0001752724-22-196160.txt : 20220826
0001752724-22-196160.hdr.sgml : 20220826
20220826123839
ACCESSION NUMBER: 0001752724-22-196160
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220630
FILED AS OF DATE: 20220826
DATE AS OF CHANGE: 20220826
PERIOD START: 20221231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY HANOVER STREET TRUST
CENTRAL INDEX KEY: 0000702533
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1130
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03466
FILM NUMBER: 221202364
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY ADVISOR SERIES III
DATE OF NAME CHANGE: 19930630
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY FRANKLIN STREET TRUST
DATE OF NAME CHANGE: 19920819
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY ADVISOR EQUITY PORTFOLIO INCOME
DATE OF NAME CHANGE: 19920703
0000702533
S000069653
Fidelity Emerging Markets Debt Local Currency Central Fund
C000222143
Fidelity Emerging Markets Debt Local Currency Central Fund
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000702533
XXXXXXXX
S000069653
C000222143
Fidelity Hanover Street Trust
811-03466
0000702533
13LNM41WRMGAYS9Y7N22
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Emerging Markets Debt Local Currency Central Fund
S000069653
549300KILRIY7MLU0D16
2022-12-31
2022-06-30
N
83035789.23
4558.87
83031230.36
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
120548.07000000
BRL
CLP
CNY
COP
CZK
EGP
HUF
IDR
MXN
MYR
PEN
PLN
RON
THB
ZAR
N
PHILIPPINES REPUBLIC OF
529900RAHBALMYIJ3T08
PHILIPPINE GOVT 6.25% 1/14/36
718286BM8
10000000.00000000
PA
175219.59000000
0.211028536178
Long
DBT
NUSS
PH
N
2
2036-01-14
Fixed
0.06250000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: IDR/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-5901.57000000
-0.00710765090
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
479313.86000000
USD
7055500000.00000000
IDR
2022-08-04
-5901.57000000
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO GOVT 8.5% 5/31/29
N/A
51500000.00000000
PA
2487350.51000000
2.995680660416
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
0.08500000
N
N
N
N
N
N
CHINA PEOPLES REPUBLIC OF
300300CHN201808MOF68
CHINA PEOPLES REPUBLIC OF 2.68% 05/21/2030
N/A
19000000.00000000
PA
2790752.94000000
3.361088265102
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
0.02680000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/PLN settle 2022-08-04
N/A
1.00000000
NC
N/A
6017.32000000
0.007247056287
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
818000.00000000
PLN
187737.27000000
USD
2022-08-04
6017.32000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/KZT settle 2022-08-04
N/A
1.00000000
NC
N/A
10893.66000000
0.013119954928
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
67885000.00000000
KZT
153759.91000000
USD
2022-08-04
10893.66000000
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA REPUBLIC OF 3.65% 09/24/2031
N/A
5375000.00000000
PA
776757.81000000
0.935500782816
Long
DBT
NUSS
RO
N
2
2031-09-24
Fixed
0.03650000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 11.15% 08/26/2022
N/A
9000000.00000000
PA
81119.28000000
0.097697311780
Long
DBT
NUSS
UA
N
3
2022-08-26
Fixed
0.11150000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 6.0% 04/28/2028
N/A
1000000000.00000000
PA
187791.02000000
0.226169140437
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
0.06000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/MYR settle 2022-08-04
N/A
1.00000000
NC
N/A
297.80000000
0.000358660227
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
372000.00000000
MYR
84689.81000000
USD
2022-08-04
297.80000000
N
N
N
EGYPT, (ARAB) REPUBLIC OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF 14.06% 01/12/2026
N/A
4000000.00000000
PA
204651.49000000
0.246475319121
Long
DBT
NUSS
EG
N
2
2026-01-12
Fixed
0.14060000
N
N
N
N
N
N
MALAYSIA GOVT OF
254900GSIL471JOBYY43
MALAYSIA GOVT OF 3.828% 07/05/2034
N/A
3650000.00000000
PA
764102.47000000
0.920259120197
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
0.03828000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 5.75% 03/05/26
N/A
53750000.00000000
PA
2375509.71000000
2.860983391069
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
0.05750000
N
N
N
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: ZAR/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-6582.14000000
-0.00792730635
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
170360.88000000
USD
2673000.00000000
ZAR
2022-08-04
-6582.14000000
N
N
N
SOUTH AFRICA REPUBLIC OF
378900AAFB4F17004C49
SOUTH AFRICA GOVT 8.875% 2/28/35
N/A
26500000.00000000
PA
1364606.45000000
1.643485763228
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
0.08875000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: CZK/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-4194.53000000
-0.00505174978
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
271953.15000000
USD
6350000.00000000
CZK
2022-08-04
-4194.53000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: MXN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
13603.64000000
0.016383763002
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
666912.01000000
USD
13762000.00000000
MXN
2022-08-04
13603.64000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA GOVT 8.375% 9/15/26
N/A
32400000000.00000000
PA
2351025.34000000
2.831495245592
Long
DBT
NUSS
ID
N
2
2026-09-15
Fixed
0.08375000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: USD/PHP settle 2022-08-04
N/A
1.00000000
NC
N/A
2420.29000000
0.002914915254
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
10935000.00000000
PHP
201084.96000000
USD
2022-08-04
2420.29000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/IDR settle 2022-08-04
N/A
1.00000000
NC
N/A
1853.17000000
0.002231895145
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
926300000.00000000
IDR
64006.36000000
USD
2022-08-04
1853.17000000
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
INTL FIN CORP 5.85% 11/25/2022
45950VLJ3
17500000.00000000
PA
220892.45000000
0.266035380955
Long
DBT
CORP
US
N
2
2022-11-25
Fixed
0.05850000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/ZAR settle 2022-08-04
N/A
1.00000000
NC
N/A
5364.58000000
0.006460918351
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
3092000.00000000
ZAR
194816.08000000
USD
2022-08-04
5364.58000000
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/ZAR settle 2022-08-04
N/A
1.00000000
NC
N/A
3354.00000000
0.004039443936
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
3583000.00000000
ZAR
222889.81000000
USD
2022-08-04
3354.00000000
N
N
N
EGYPT, (ARAB) REPUBLIC OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF 16.1% 05/07/2029
N/A
2500000.00000000
PA
131816.08000000
0.158754819636
Long
DBT
NUSS
EG
N
2
2029-05-07
Fixed
0.16100000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/MXN settle 2022-08-04
N/A
1.00000000
NC
N/A
7651.95000000
0.009215749263
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
7783000.00000000
MXN
392512.68000000
USD
2022-08-04
7651.95000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/PLN settle 2022-08-04
N/A
1.00000000
NC
N/A
5820.94000000
0.007010542870
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
3092000.00000000
PLN
692713.47000000
USD
2022-08-04
5820.94000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 5.75% 11/03/2027
N/A
3350000000.00000000
PA
633820.64000000
0.763352099266
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
0.05750000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA GOVT 7.5% 8/26/26
N/A
3400000000.00000000
PA
726483.55000000
0.874952167817
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
0.07500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/MYR settle 2022-08-04
N/A
1.00000000
NC
N/A
109.16000000
0.000131468604
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1060000.00000000
MYR
240581.03000000
USD
2022-08-04
109.16000000
N
N
N
BRAZIL LETRAS DO TESOURO NACIONAL
254900ZFY40OYEADAP90
BRAZIL LETRAS DO TESOURO NACIONAL 0% 07/01/2023
N/A
13000000.00000000
PA
2183477.61000000
2.629706437605
Long
DBT
NUSS
BR
N
2
2023-07-01
Fixed
0.00000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/BRL settle 2022-08-04
N/A
1.00000000
NC
N/A
3174.21000000
0.003822910953
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
1188000.00000000
BRL
228023.03000000
USD
2022-08-04
3174.21000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: RON/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-2438.41000000
-0.00293673836
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
211666.95000000
USD
992000.00000000
RON
2022-08-04
-2438.41000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/THB settle 2022-08-04
N/A
1.00000000
NC
N/A
10931.44000000
0.013165455880
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
14146000.00000000
THB
412179.49000000
USD
2022-08-04
10931.44000000
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY REPUBLIC OF 2.25% 06/22/2034
N/A
100000000.00000000
PA
150946.03000000
0.181794283121
Long
DBT
NUSS
HU
N
2
2034-06-22
Fixed
0.02250000
N
N
N
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA REPUBLIC OF 4% 10/25/2023
N/A
2000000.00000000
PA
399639.75000000
0.481312571507
Long
DBT
NUSS
RO
N
2
2023-10-25
Fixed
0.04000000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: USD/MXN settle 2022-08-04
N/A
1.00000000
NC
N/A
426.84000000
0.000514071630
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
3166000.00000000
MXN
156982.03000000
USD
2022-08-04
426.84000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: COP/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-4092.46000000
-0.00492882013
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
229748.84000000
USD
942200000.00000000
COP
2022-08-04
-4092.46000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/HUF settle 2022-08-04
N/A
1.00000000
NC
N/A
1144.94000000
0.001378926935
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
39169000.00000000
HUF
104160.54000000
USD
2022-08-04
1144.94000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: MXN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
5208.92000000
0.006273446722
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
252222.01000000
USD
5206000.00000000
MXN
2022-08-04
5208.92000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/HUF settle 2022-08-04
N/A
1.00000000
NC
N/A
13267.25000000
0.015978626286
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
153671000.00000000
HUF
417426.43000000
USD
2022-08-04
13267.25000000
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY REPUBLIC OF 3.0% 06/26/2024
N/A
75000000.00000000
PA
179858.98000000
0.216616060270
Long
DBT
NUSS
HU
N
2
2024-06-26
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: CNY/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-1401.69000000
-0.00168814793
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
466637.72000000
USD
3117000.00000000
CNY
2022-08-04
-1401.69000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 8.25% 05/15/2036
N/A
250000000.00000000
PA
17704.31000000
0.021322470982
Long
DBT
NUSS
ID
N
2
2036-05-15
Fixed
0.08250000
N
N
N
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: HUF/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-2486.93000000
-0.00299517421
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
116093.66000000
USD
43196000.00000000
HUF
2022-08-04
-2486.93000000
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: USD/COP settle 2022-08-04
N/A
1.00000000
NC
N/A
18172.14000000
0.021885909580
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
1705200000.00000000
COP
426566.60000000
USD
2022-08-04
18172.14000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/PLN settle 2022-08-04
N/A
1.00000000
NC
N/A
7206.29000000
0.008679011462
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
940000.00000000
PLN
216028.73000000
USD
2022-08-04
7206.29000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/PLN settle 2022-08-04
N/A
1.00000000
NC
N/A
-3069.02000000
-0.00369622368
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
2607000.00000000
PLN
576080.02000000
USD
2022-08-04
-3069.02000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: BRL/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-8015.57000000
-0.00965368086
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
211098.72000000
USD
1073000.00000000
BRL
2022-08-04
-8015.57000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: THB/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-2231.41000000
-0.00268743458
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
425235.24000000
USD
14913000.00000000
THB
2022-08-04
-2231.41000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/IDR settle 2022-08-04
N/A
1.00000000
NC
N/A
5335.05000000
0.006425353420
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
6653400000.00000000
IDR
451767.10000000
USD
2022-08-04
5335.05000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: BRL/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-4594.99000000
-0.00553405023
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
222630.21000000
USD
1152000.00000000
BRL
2022-08-04
-4594.99000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: CNY/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
3605.74000000
0.004342631061
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
422524.79000000
USD
2855000.00000000
CNY
2022-08-04
3605.74000000
N
N
N
POLAND REPUBLIC OF
259400R9L8QEP0TPXS31
POLAND REPUBLIC OF 2.5% 07/25/2026
N/A
9200000.00000000
PA
1710480.65000000
2.060044928376
Long
DBT
NUSS
PL
N
2
2026-07-25
Fixed
0.02500000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: PEN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-7692.43000000
-0.00926450200
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
225576.07000000
USD
837000.00000000
PEN
2022-08-04
-7692.43000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: PLN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
19249.64000000
0.023183614064
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2052979.82000000
USD
9328000.00000000
PLN
2022-08-04
19249.64000000
N
N
N
POLAND REPUBLIC OF
259400R9L8QEP0TPXS31
POLAND GOVT 2.5% 01/25/2023
N/A
1000000.00000000
PA
217782.39000000
0.262289730088
Long
DBT
NUSS
PL
N
2
2023-01-25
Fixed
0.02500000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: PLN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-5571.08000000
-0.00670961995
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
399445.74000000
USD
1773000.00000000
PLN
2022-08-04
-5571.08000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: ZAR/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-1056.29000000
-0.00127215987
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
591836.15000000
USD
9642000.00000000
ZAR
2022-08-04
-1056.29000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/RON settle 2022-08-04
N/A
1.00000000
NC
N/A
-182.49000000
-0.00021978477
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1046000.00000000
RON
220435.51000000
USD
2022-08-04
-182.49000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: THB/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-11217.22000000
-0.01350963962
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
425229.42000000
USD
14596000.00000000
THB
2022-08-04
-11217.22000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/CLP settle 2022-08-04
N/A
1.00000000
NC
N/A
6769.48000000
0.008152932301
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
170819000.00000000
CLP
191608.52000000
USD
2022-08-04
6769.48000000
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10% 01/01/2029
N/A
3500000.00000000
PA
585553.22000000
0.705220454353
Long
DBT
NUSS
BR
N
2
2029-01-01
Fixed
0.10000000
N
N
N
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY REPUBLIC OF 3.25% 10/22/2031
N/A
223000000.00000000
PA
410653.39000000
0.494577026282
Long
DBT
NUSS
HU
N
2
2031-10-22
Fixed
0.03250000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/THB settle 2022-08-04
N/A
1.00000000
NC
N/A
16252.68000000
0.019574177004
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
19932000.00000000
THB
581619.29000000
USD
2022-08-04
16252.68000000
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND KINGDOM OF 2.875% 06/17/2046
N/A
4500000.00000000
PA
102107.27000000
0.122974535674
Long
DBT
NUSS
TH
N
2
2046-06-17
Fixed
0.02875000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/KZT settle 2022-08-04
N/A
1.00000000
NC
N/A
38979.27000000
0.046945311819
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
314027000.00000000
KZT
699859.59000000
USD
2022-08-04
38979.27000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: PLN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-5795.66000000
-0.00698009649
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
438768.99000000
USD
1949000.00000000
PLN
2022-08-04
-5795.66000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: MXN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-8122.70000000
-0.00978270460
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
639387.26000000
USD
12766000.00000000
MXN
2022-08-04
-8122.70000000
N
N
N
CHILE REPUBLIC OF
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 4.5% 03/01/2026
N/A
495000000.00000000
PA
507114.27000000
0.610751241191
Long
DBT
NUSS
CL
N
2
2026-03-01
Fixed
0.04500000
N
N
N
N
N
N
INTER AMERICAN DEV BANK
VKU1UKDS9E7LYLMACP54
INTER AMERICAN DEV BANK 5.7% 11/12/2024
N/A
20000000.00000000
PA
241605.02000000
0.290980898334
Long
DBT
CORP
US
N
2
2024-11-12
Fixed
0.05700000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: COP/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-4171.33000000
-0.00502380848
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
413260.33000000
USD
1708100000.00000000
COP
2022-08-04
-4171.33000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: MYR/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-324.62000000
-0.00039096132
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
178863.64000000
USD
787000.00000000
MYR
2022-08-04
-324.62000000
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND KINGDOM OF 2% 12/17/2031
N/A
16000000.00000000
PA
423634.81000000
0.510211408602
Long
DBT
NUSS
TH
N
2
2031-12-17
Fixed
0.02000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/ZAR settle 2022-08-04
N/A
1.00000000
NC
N/A
3271.11000000
0.003939614029
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
3783000.00000000
ZAR
235061.22000000
USD
2022-08-04
3271.11000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: IDR/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-10131.14000000
-0.01220160168
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
427127.15000000
USD
6214700000.00000000
IDR
2022-08-04
-10131.14000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/CNY settle 2022-08-04
N/A
1.00000000
NC
N/A
-3714.59000000
-0.00447372631
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1424000.00000000
CNY
208828.27000000
USD
2022-08-04
-3714.59000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: RON/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-10059.27000000
-0.01211504388
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
448975.19000000
USD
2081000.00000000
RON
2022-08-04
-10059.27000000
N
N
N
SOUTH AFRICA REPUBLIC OF
378900AAFB4F17004C49
SOUTH AFRICA REPUBLIC OF 8.0% 01/31/2030
N/A
64750000.00000000
PA
3457690.40000000
4.164325140080
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
0.08000000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA GOVT 8.25% 05/15/2029
N/A
26000000000.00000000
PA
1856083.24000000
2.235403753446
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
0.08250000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/COP settle 2022-08-04
N/A
1.00000000
NC
N/A
15599.63000000
0.018787665716
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
722300000.00000000
COP
188590.08000000
USD
2022-08-04
15599.63000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/RON settle 2022-08-04
N/A
1.00000000
NC
N/A
861.46000000
0.001037513229
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
700000.00000000
RON
148502.57000000
USD
2022-08-04
861.46000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/CLP settle 2022-08-04
N/A
1.00000000
NC
N/A
67393.52000000
0.081166471588
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
693564000.00000000
CLP
817882.08000000
USD
2022-08-04
67393.52000000
N
N
N
MALAYSIA GOVT OF
254900GSIL471JOBYY43
MALAYSIA GOVT OF 4.065% 06/15/2050
N/A
3750000.00000000
PA
732651.73000000
0.882380914775
Long
DBT
NUSS
MY
N
2
2050-06-15
Fixed
0.04065000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/COP settle 2022-08-04
N/A
1.00000000
NC
N/A
7376.17000000
0.008883609176
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
630100000.00000000
COP
158284.77000000
USD
2022-08-04
7376.17000000
N
N
N
CZECH REPUBLIC
3157007EFDLQABN47912
CZECH REPUBLIC 2% 10/13/2033
N/A
29500000.00000000
PA
940981.02000000
1.133285651579
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
0.02000000
N
N
N
N
N
N
KAZAKHSTAN REPUBLIC OF
5493007OEK8EF02UO833
KAZAKHSTAN REPUBLIC OF 8.05% 05/20/2024
N/A
140000000.00000000
PA
271557.08000000
0.327054144353
Long
DBT
NUSS
KZ
N
2
2024-05-20
Fixed
0.08050000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 8.9% 02/15/2023 REGS
N/A
25500000.00000000
PA
462318.73000000
0.556801010891
Long
DBT
NUSS
DO
N
2
2023-02-15
Fixed
0.08900000
N
N
N
N
N
N
CZECH REPUBLIC
3157007EFDLQABN47912
CZECH REPUBLIC 0.95% 05/15/2030 REGS
N/A
15500000.00000000
PA
485878.52000000
0.585175623549
Long
DBT
NUSS
CZ
N
2
2030-05-15
Fixed
0.00950000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA REPUBLIC OF 9.25% 05/28/2042
N/A
375000000.00000000
PA
71815.45000000
0.086492094226
Long
DBT
NUSS
CO
N
2
2042-05-28
Fixed
0.09250000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO GOVT 7.75% 11/13/42
N/A
44000000.00000000
PA
1914178.87000000
2.305372161415
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
0.07750000
N
N
N
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND GOVT 2% 12/17/2022
N/A
6000000.00000000
PA
170685.28000000
0.205567566878
Long
DBT
NUSS
TH
N
2
2022-12-17
Fixed
0.02000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/CZK settle 2022-08-04
N/A
1.00000000
NC
N/A
5372.96000000
0.006471010939
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
5260000.00000000
CZK
227169.86000000
USD
2022-08-04
5372.96000000
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: IDR/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-242.38000000
-0.00029191425
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
59886.09000000
USD
888900000.00000000
IDR
2022-08-04
-242.38000000
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
RUSSIAN FEDN 8.5% 09/17/2031
N/A
141000000.00000000
PA
217909.09000000
0.262442323274
Long
DBT
NUSS
RU
N
3
2031-09-17
Fixed
0.08500000
Y
Y
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 12.4% 03/08/2028
N/A
4000000.00000000
PA
185965.70000000
0.223970786887
Long
DBT
NUSS
TR
N
2
2028-03-08
Fixed
0.12400000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/RON settle 2022-08-04
N/A
1.00000000
NC
N/A
2240.06000000
0.002697852350
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
618000.00000000
RON
132586.07000000
USD
2022-08-04
2240.06000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/RON settle 2022-08-04
N/A
1.00000000
NC
N/A
2674.74000000
0.003221366211
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1095000.00000000
RON
233627.61000000
USD
2022-08-04
2674.74000000
N
N
N
PERU, REPUBLIC OF
254900STKLK2DBJJZ530
PERU REPUBLIC OF 5.4% 08/12/2034
N/A
3250000.00000000
PA
682324.28000000
0.821768239542
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
0.05400000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: THB/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-59821.93000000
-0.07204750518
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
3574614.16000000
USD
123914000.00000000
THB
2022-08-04
-59821.93000000
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND KINGDOM OF 3.3% 06/17/2038
N/A
42750000.00000000
PA
1159977.25000000
1.397037289427
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
0.03300000
N
N
N
N
N
N
REPUBLICA ORIENTAL DEL URUGUAY
549300RDR012H2V82H43
URUGUAY REPUBLICA ORIENTAL DL 8.25% 05/21/2031
917288BM3
6500000.00000000
PA
140910.90000000
0.169708312630
Long
DBT
NUSS
UY
N
2
2031-05-21
Fixed
0.08250000
N
N
N
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
RUSSIAN FEDN 7.05% 01/19/2028
N/A
42750000.00000000
PA
66068.18000000
0.079570277007
Long
DBT
NUSS
RU
N
3
2028-01-19
Fixed
0.07050000
Y
Y
N
N
N
N
CHINA PEOPLES REPUBLIC OF
300300CHN201808MOF68
CHINA PEOPLES REPUBLIC OF 2.88% 11/05/2023
N/A
14750000.00000000
PA
2222040.06000000
2.676149745542
Long
DBT
NUSS
CN
N
2
2023-11-05
Fixed
0.02880000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/MXN settle 2022-08-04
N/A
1.00000000
NC
N/A
1132.46000000
0.001363896446
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
4407000.00000000
MXN
219053.73000000
USD
2022-08-04
1132.46000000
N
N
N
CHILE REPUBLIC OF
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 4% 03/01/2023 144A REGS
N/A
400000000.00000000
PA
421712.11000000
0.507895773881
Long
DBT
NUSS
CL
N
2
2023-03-01
Fixed
0.04000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/THB settle 2022-08-04
N/A
1.00000000
NC
N/A
6835.07000000
0.008231926674
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
8003000.00000000
THB
233838.33000000
USD
2022-08-04
6835.07000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/TRY settle 2022-08-04
N/A
1.00000000
NC
N/A
-4659.52000000
-0.00561176798
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
2082000.00000000
TRY
117806.82000000
USD
2022-08-04
-4659.52000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: THB/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
453.22000000
0.000545842808
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
456531.60000000
USD
16111000.00000000
THB
2022-08-04
453.22000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 6.375% 04/15/2032
N/A
6500000000.00000000
PA
411226.72000000
0.495267525504
Long
DBT
NUSS
ID
N
2
2032-04-15
Fixed
0.06375000
N
N
N
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND KINGDOM OF 1.6% 06/17/2035
N/A
36250000.00000000
PA
834437.88000000
1.004968704404
Long
DBT
NUSS
TH
N
2
2035-06-17
Fixed
0.01600000
N
N
N
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: USD/IDR settle 2022-08-04
N/A
1.00000000
NC
N/A
2793.73000000
0.003364673735
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
3022700000.00000000
IDR
205611.86000000
USD
2022-08-04
2793.73000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: RON/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-5540.96000000
-0.00667334444
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
291964.71000000
USD
1358000.00000000
RON
2022-08-04
-5540.96000000
N
N
N
CHINA PEOPLES REPUBLIC OF
300300CHN201808MOF68
CHINA PEOPLES REPUBLIC OF 3.81% 09/14/2050
N/A
2500000.00000000
PA
401309.84000000
0.483323971305
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
0.03810000
N
N
N
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY REPUBLIC OF 3% 10/27/2038
N/A
275000000.00000000
PA
403806.00000000
0.486330261817
Long
DBT
NUSS
HU
N
2
2038-10-27
Fixed
0.03000000
N
N
N
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: PLN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-11040.58000000
-0.01329690039
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
258073.08000000
USD
1112000.00000000
PLN
2022-08-04
-11040.58000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 7.5% 04/15/2040
N/A
9000000000.00000000
PA
601107.57000000
0.723953586371
Long
DBT
NUSS
ID
N
2
2040-04-15
Fixed
0.07500000
N
N
N
N
N
N
PERU, REPUBLIC OF
254900STKLK2DBJJZ530
PERU GOVT 6.95% 8/12/31
N/A
1750000.00000000
PA
432992.56000000
0.521481565577
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
0.06950000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA TREASURY BOND 8.375% 03/15/2034
N/A
18800000000.00000000
PA
1342090.95000000
1.616368858056
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
0.08375000
N
N
N
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: USD/CNY settle 2022-08-04
N/A
1.00000000
NC
N/A
188.99000000
0.000227613151
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
1757000.00000000
CNY
262434.65000000
USD
2022-08-04
188.99000000
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
RUSSIAN FEDN 7.25% 05/10/2034
N/A
61000000.00000000
PA
94272.73000000
0.113538881203
Long
DBT
NUSS
RU
N
3
2034-05-10
Fixed
0.07250000
Y
Y
N
N
N
N
KAZAKHSTAN REPUBLIC OF
5493007OEK8EF02UO833
KAZAKHSTAN GOVERNMENT BOND - MEOKAM 10.5% 08/04/2026
N/A
90000000.00000000
PA
173279.23000000
0.208691632351
Long
DBT
NUSS
KZ
N
2
2026-08-04
Fixed
0.10500000
N
N
N
N
N
N
BRAZILIAN GOVERNMENT INTERNATIONAL BOND
254900ZFY40OYEADAP90
BRAZIL GOVT 10% 1/01/23
N/A
9000000.00000000
PA
1690124.14000000
2.035528237594
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
0.10000000
N
N
N
N
N
N
BRAZILIAN GOVERNMENT INTERNATIONAL BOND
254900ZFY40OYEADAP90
NOTAS DO TESOURO 10% 01/01/2025
N/A
12000000.00000000
PA
2160672.29000000
2.602240483047
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
0.10000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: CLP/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-1885.27000000
-0.00227055529
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
190412.02000000
USD
174227000.00000000
CLP
2022-08-04
-1885.27000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: USD/MXN settle 2022-08-04
N/A
1.00000000
NC
N/A
6198.31000000
0.007465034509
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
8565000.00000000
MXN
429728.07000000
USD
2022-08-04
6198.31000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/PHP settle 2022-08-04
N/A
1.00000000
NC
N/A
7646.52000000
0.009209209555
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
13107000.00000000
PHP
245771.61000000
USD
2022-08-04
7646.52000000
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.0% 01/01/2027
N/A
4250000.00000000
PA
736900.36000000
0.887497820765
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
0.10000000
N
N
N
N
N
N
MALAYSIA GOVT OF
254900GSIL471JOBYY43
MALAYSIA GOVT OF 3.757% 05/22/2040
N/A
2000000.00000000
PA
392980.15000000
0.473291974954
Long
DBT
NUSS
MY
N
2
2040-05-22
Fixed
0.03757000
N
N
N
N
N
N
POLAND REPUBLIC OF
259400R9L8QEP0TPXS31
POLAND REPUBLIC OF 2.75% 10/25/2029
N/A
8000000.00000000
PA
1369714.82000000
1.649638110938
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
0.02750000
N
N
N
N
N
N
EGYPT, (ARAB) REPUBLIC OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF 15.9% 07/02/2024
N/A
3750000.00000000
PA
201125.74000000
0.242229025305
Long
DBT
NUSS
EG
N
2
2024-07-02
Fixed
0.15900000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/PEN settle 2022-08-04
N/A
1.00000000
NC
N/A
4811.58000000
0.005794903892
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
837000.00000000
PEN
222695.22000000
USD
2022-08-04
4811.58000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/MYR settle 2022-08-04
N/A
1.00000000
NC
N/A
-142.15000000
-0.00017120064
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1842000.00000000
MYR
417734.44000000
USD
2022-08-04
-142.15000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/BRL settle 2022-08-04
N/A
1.00000000
NC
N/A
15336.32000000
0.018470544075
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1018000.00000000
BRL
208009.81000000
USD
2022-08-04
15336.32000000
N
N
N
MALAYSIA GOVT OF
254900GSIL471JOBYY43
MALAYSIA GOVT OF 3.885% 08/15/2029
N/A
3300000.00000000
PA
730881.68000000
0.880249126540
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
0.03885000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: THB/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-19.13000000
-0.00002303952
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
134865.25000000
USD
4754000.00000000
THB
2022-08-04
-19.13000000
N
N
N
MALAYSIA GOVT OF
254900GSIL471JOBYY43
MALAYSIA GOVT OF 4.696% 10/15/2042
N/A
1750000.00000000
PA
392925.13000000
0.473225710731
Long
DBT
NUSS
MY
N
2
2042-10-15
Fixed
0.04696000
N
N
N
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: ZAR/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-12516.92000000
-0.01507495426
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
338052.43000000
USD
5313000.00000000
ZAR
2022-08-04
-12516.92000000
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
11681300.77000000
NS
USD
11683637.03000000
14.07137649212
Long
STIV
RF
US
N
1
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/MXN settle 2022-08-04
N/A
1.00000000
NC
N/A
-5361.86000000
-0.00645764247
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
4490000.00000000
MXN
216663.67000000
USD
2022-08-04
-5361.86000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: CLP/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-11459.06000000
-0.01380090352
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
244006.81000000
USD
214909000.00000000
CLP
2022-08-04
-11459.06000000
N
N
N
PERU, REPUBLIC OF
254900STKLK2DBJJZ530
PERU REPUBLIC OF 5.35% 08/12/2040
N/A
500000.00000000
PA
97706.67000000
0.117674602166
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
0.05350000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/ZAR settle 2022-08-04
N/A
1.00000000
NC
N/A
2974.56000000
0.003582459259
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
3450000.00000000
ZAR
214361.26000000
USD
2022-08-04
2974.56000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/BRL settle 2022-08-04
N/A
1.00000000
NC
N/A
1385.03000000
0.001668083194
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1226000.00000000
BRL
233425.99000000
USD
2022-08-04
1385.03000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: USD/PHP settle 2022-08-04
N/A
1.00000000
NC
N/A
6906.72000000
0.008318219506
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
11560000.00000000
PHP
216926.25000000
USD
2022-08-04
6906.72000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/PLN settle 2022-08-04
N/A
1.00000000
NC
N/A
12456.95000000
0.015002728426
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1876000.00000000
PLN
429213.22000000
USD
2022-08-04
12456.95000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/BRL settle 2022-08-04
N/A
1.00000000
NC
N/A
24490.72000000
0.029495793201
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
1378000.00000000
BRL
285300.21000000
USD
2022-08-04
24490.72000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/COP settle 2022-08-04
N/A
1.00000000
NC
N/A
6514.28000000
0.007845578069
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
317600000.00000000
COP
82579.30000000
USD
2022-08-04
6514.28000000
N
N
N
BRAZIL LETRAS DO TESOURO NACIONAL
254900ZFY40OYEADAP90
BRAZIL LETRAS DO TESOURO NACIONAL 0% 01/01/2024
N/A
2500000.00000000
PA
395489.78000000
0.476314488277
Long
DBT
NUSS
BR
N
2
2024-01-01
Fixed
0.00000000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 11% 02/24/2027
N/A
750000.00000000
PA
32801.62000000
0.039505159513
Long
DBT
NUSS
TR
N
2
2027-02-24
Fixed
0.11000000
N
N
N
N
N
N
SOUTH AFRICA REPUBLIC OF
378900AAFB4F17004C49
SOUTH AFRICA GOVT 6.5 2/28/41
N/A
29500000.00000000
PA
1112282.23000000
1.339595023676
Long
DBT
NUSS
ZA
N
2
2041-02-28
Fixed
0.06500000
N
N
N
N
N
N
EGYPT, (ARAB) REPUBLIC OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF 14.556% 10/13/2027
N/A
7000000.00000000
PA
354646.36000000
0.427124057372
Long
DBT
NUSS
EG
N
2
2027-10-13
Fixed
0.14556000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/ZAR settle 2022-08-04
N/A
1.00000000
NC
N/A
2493.76000000
0.003003400032
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
3226000.00000000
ZAR
200155.64000000
USD
2022-08-04
2493.76000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: EGP/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
25.54000000
0.000030759510
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
175104.17000000
USD
3362000.00000000
EGP
2022-08-04
25.54000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: HUF/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-19721.23000000
-0.02375158107
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1162763.38000000
USD
434612000.00000000
HUF
2022-08-04
-19721.23000000
N
N
N
CHILE REPUBLIC OF
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 4.7% 09/01/2030 144A REGS
N/A
200000000.00000000
PA
195324.34000000
0.235242015748
Long
DBT
NUSS
CL
N
2
2030-09-01
Fixed
0.04700000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 8.0% 03/12/2025
N/A
7250000.00000000
PA
313173.07000000
0.377175032385
Long
DBT
NUSS
TR
N
2
2025-03-12
Fixed
0.08000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: MXN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
2126.93000000
0.002561602412
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
220145.84000000
USD
4495000.00000000
MXN
2022-08-04
2126.93000000
N
N
N
MALAYSIA GOVT OF
254900GSIL471JOBYY43
MALAYSIA GOVT OF 4.762% 04/07/2037
N/A
3550000.00000000
PA
812908.76000000
0.979039761876
Long
DBT
NUSS
MY
N
2
2037-04-07
Fixed
0.04762000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: BRL/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-15937.43000000
-0.01919450058
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
213153.32000000
USD
1042000.00000000
BRL
2022-08-04
-15937.43000000
N
N
N
POLAND REPUBLIC OF
259400R9L8QEP0TPXS31
POLAND REPUBLIC OF 1.75% 04/25/2032
N/A
2000000.00000000
PA
285977.60000000
0.344421729944
Long
DBT
NUSS
PL
N
2
2032-04-25
Fixed
0.01750000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: COP/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-2226.75000000
-0.00268182223
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
175839.90000000
USD
724900000.00000000
COP
2022-08-04
-2226.75000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: TRY/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
885.75000000
0.001066767282
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
326044.08000000
USD
5558000.00000000
TRY
2022-08-04
885.75000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA TREAS 10% 7/24/24
N/A
2700000000.00000000
PA
647695.10000000
0.780062028699
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
0.10000000
N
N
N
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA REPUBLIC OF 4.25% 06/28/2023
N/A
3750000.00000000
PA
762651.12000000
0.918511163442
Long
DBT
NUSS
RO
N
2
2023-06-28
Fixed
0.04250000
N
N
N
N
N
N
CHILE REPUBLIC OF
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 5.0% 03/01/2035
N/A
455000000.00000000
PA
436623.78000000
0.525854883887
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
0.05000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10% 01/01/2031
N/A
3250000.00000000
PA
529377.43000000
0.637564236618
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
0.10000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 7% 06/30/2032
N/A
5800000000.00000000
PA
1023955.95000000
1.233217845334
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
0.07000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: CLP/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-22220.10000000
-0.02676113542
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
225037.82000000
USD
187434000.00000000
CLP
2022-08-04
-22220.10000000
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA REPUBLIC OF 5% 02/12/2029
N/A
1000000.00000000
PA
172786.32000000
0.208097988251
Long
DBT
NUSS
RO
N
2
2029-02-12
Fixed
0.05000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: ZAR/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-9372.80000000
-0.01128828268
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
254520.10000000
USD
4001000.00000000
ZAR
2022-08-04
-9372.80000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/CZK settle 2022-08-04
N/A
1.00000000
NC
N/A
1313.98000000
0.001582512982
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
5354000.00000000
CZK
227074.55000000
USD
2022-08-04
1313.98000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 7.25% 10/26/2050
N/A
1650000000.00000000
PA
248239.08000000
0.298970735377
Long
DBT
NUSS
CO
N
2
2050-10-26
Fixed
0.07250000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/MXN settle 2022-08-04
N/A
1.00000000
NC
N/A
144.05000000
0.000173488938
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
8889000.00000000
MXN
439695.25000000
USD
2022-08-04
144.05000000
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA GOVT 8.125% 05/15/2024
N/A
2500000000.00000000
PA
176623.59000000
0.212719466198
Long
DBT
NUSS
ID
N
2
2024-05-15
Fixed
0.08125000
N
N
N
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
RUSSIAN FEDN 7.7% 03/16/2039
N/A
31500000.00000000
PA
48681.82000000
0.058630734229
Long
DBT
NUSS
RU
N
3
2039-03-16
Fixed
0.07700000
Y
Y
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/CNY settle 2022-08-04
N/A
1.00000000
NC
N/A
-755.63000000
-0.00091005516
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
2791000.00000000
CNY
415822.41000000
USD
2022-08-04
-755.63000000
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICAN BONOS 7.75% 11/23/2034
N/A
250000.00000000
PA
11221.75000000
0.013515095406
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
0.07750000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: MXN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-3388.65000000
-0.00408117522
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
447538.60000000
USD
8982000.00000000
MXN
2022-08-04
-3388.65000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: MYR/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-1654.54000000
-0.00199267190
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
194485.76000000
USD
850000.00000000
MYR
2022-08-04
-1654.54000000
N
N
N
INTER AMERICAN DEV BANK
VKU1UKDS9E7LYLMACP54
INTER AMERICAN DEV BANK 5.1% 11/17/2026
N/A
5000000000.00000000
PA
320677.97000000
0.386213679611
Long
DBT
CORP
US
N
2
2026-11-17
Fixed
0.05100000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: CZK/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-1564.88000000
-0.00188468843
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
86699.47000000
USD
2019000.00000000
CZK
2022-08-04
-1564.88000000
N
N
N
CZECH REPUBLIC
3157007EFDLQABN47912
CZECH REPUBLIC 1.2% 03/13/2031
N/A
25000000.00000000
PA
780932.31000000
0.940528409146
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
0.01200000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/HUF settle 2022-08-04
N/A
1.00000000
NC
N/A
6279.83000000
0.007563214434
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
41977000.00000000
HUF
116680.56000000
USD
2022-08-04
6279.83000000
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
RUSSIAN FEDN 6.9% 05/23/2029
N/A
45000000.00000000
PA
69545.45000000
0.083758183154
Long
DBT
NUSS
RU
N
3
2029-05-23
Fixed
0.06900000
Y
Y
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 6.5% 06/15/2025
N/A
12750000000.00000000
PA
877244.50000000
1.056523546858
Long
DBT
NUSS
ID
N
2
2025-06-15
Fixed
0.06500000
N
N
N
N
N
N
CHILE REPUBLIC OF
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 6.0% 01/01/2043
N/A
225000000.00000000
PA
235290.93000000
0.283376422317
Long
DBT
NUSS
CL
N
2
2043-01-01
Fixed
0.06000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: PEN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-6530.37000000
-0.00786495632
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
229099.68000000
USD
855000.00000000
PEN
2022-08-04
-6530.37000000
N
N
N
KAZAKHSTAN REPUBLIC OF
5493007OEK8EF02UO833
KAZAKHSTAN GOVERNMENT BOND - MEUKAM 7.2% 05/27/2025
N/A
200000000.00000000
PA
346994.15000000
0.417907994974
Long
DBT
NUSS
KZ
N
2
2025-05-27
Fixed
0.07200000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 8.375% 04/15/2039
N/A
6000000000.00000000
PA
428528.28000000
0.516104938035
Long
DBT
NUSS
ID
N
2
2039-04-15
Fixed
0.08375000
N
N
N
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY GOVT 6.75% 10/22/28
N/A
198000000.00000000
PA
485038.22000000
0.584163594706
Long
DBT
NUSS
HU
N
2
2028-10-22
Fixed
0.06750000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 11.7% 11/13/2030
N/A
2750000.00000000
PA
116153.67000000
0.139891543815
Long
DBT
NUSS
TR
N
2
2030-11-13
Fixed
0.11700000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: CZK/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
32553.77000000
0.039206657373
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1383151.39000000
USD
33574000.00000000
CZK
2022-08-04
32553.77000000
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA REPUBLIC OF 4.75% 10/11/2034
N/A
750000.00000000
PA
109433.77000000
0.131798323986
Long
DBT
NUSS
RO
N
2
2034-10-11
Fixed
0.04750000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: PLN/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-3866.11000000
-0.00465621186
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1078857.36000000
USD
4839000.00000000
PLN
2022-08-04
-3866.11000000
N
N
N
EGYPT, (ARAB) REPUBLIC OF
529900GFIVH4086NMH82
EGYPT (ARAB) REPUBLIC OF 14.531% 09/14/2024
N/A
3750000.00000000
PA
196088.94000000
0.236162874077
Long
DBT
NUSS
EG
N
2
2024-09-14
Fixed
0.14531000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/IDR settle 2022-08-04
N/A
1.00000000
NC
N/A
10262.13000000
0.012359361598
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
6641000000.00000000
IDR
455862.16000000
USD
2022-08-04
10262.13000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/RON settle 2022-08-04
N/A
1.00000000
NC
N/A
-3792.34000000
-0.00456736577
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1896000.00000000
RON
396104.14000000
USD
2022-08-04
-3792.34000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/HUF settle 2022-08-04
N/A
1.00000000
NC
N/A
-1713.68000000
-0.00206389811
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
85756000.00000000
HUF
223827.08000000
USD
2022-08-04
-1713.68000000
N
N
N
SOUTH AFRICA REPUBLIC OF
378900AAFB4F17004C49
SOUTH AFRICA 7% 2/28/31
N/A
4500000.00000000
PA
217427.33000000
0.261862107856
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
0.07000000
N
N
N
N
N
N
CHINA PEOPLES REPUBLIC OF
300300CHN201808MOF68
CHINA PEOPLES REPUBLIC OF 3.28% 12/03/2027
N/A
20000000.00000000
PA
3076067.95000000
3.704711994105
Long
DBT
NUSS
CN
N
2
2027-12-03
Fixed
0.03280000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
FX Forward: RON/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
4365.39000000
0.005257527777
N/A
DFE
CORP
GB
N
2
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
252108.30000000
USD
1216000.00000000
RON
2022-08-04
4365.39000000
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND KINGDOM OF 1.6% 12/17/2029
N/A
16000000.00000000
PA
418298.44000000
0.503784465419
Long
DBT
NUSS
TH
N
2
2029-12-17
Fixed
0.01600000
N
N
N
N
N
N
ASIAN INFRASTRUCTURE INVESTMENT BANK
25490065OSV2524LCR32
ASIAN INFRASTRUCTURE INVESTMENT BANK 2.375% 02/10/2025 REGS
N/A
19400000.00000000
PA
324366.45000000
0.390655959924
Long
DBT
CORP
CN
N
2
2025-02-10
Fixed
0.02375000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO GOVT 8% 12/07/23
N/A
19750000.00000000
PA
964012.53000000
1.161024021708
Long
DBT
NUSS
MX
N
2
2023-12-07
Fixed
0.08000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/BRL settle 2022-08-04
N/A
1.00000000
NC
N/A
21594.89000000
0.026008153686
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
1218000.00000000
BRL
252121.71000000
USD
2022-08-04
21594.89000000
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: IDR/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-7533.22000000
-0.00907275487
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
628971.14000000
USD
9261600000.00000000
IDR
2022-08-04
-7533.22000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: MYR/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-10570.27000000
-0.01273047497
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
4051631.98000000
USD
17813000.00000000
MYR
2022-08-04
-10570.27000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: HUF/USD settle 2022-08-04
N/A
1.00000000
NC
N/A
-11116.28000000
-0.01338807091
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
375572.54000000
USD
138575000.00000000
HUF
2022-08-04
-11116.28000000
N
N
N
SOUTH AFRICA REPUBLIC OF
378900AAFB4F17004C49
SOUTH AFRICA 8.75% 2/28/48
N/A
24500000.00000000
PA
1159699.09000000
1.396702282950
Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
0.08750000
N
N
N
N
N
N
PERU, REPUBLIC OF
254900STKLK2DBJJZ530
PERU GOVERNMENT BOND 6.35% 08/12/2028
N/A
2825000.00000000
PA
694189.24000000
0.836057995275
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
0.06350000
N
N
N
N
N
N
THAILAND KINGDOM OF
254900PHJ6MSKT6C7026
THAILAND KINGDOM OF 1.585% 12/17/2035
N/A
36000000.00000000
PA
823149.32000000
0.991373145298
Long
DBT
NUSS
TH
N
2
2035-12-17
Fixed
0.01585000
N
N
N
N
N
N
2022-07-30
Stacie M. Smith
Stacie M. Smith
Stacie M. Smith
President and Treasurer