0001752724-20-078430.txt : 20200424
0001752724-20-078430.hdr.sgml : 20200424
20200424133858
ACCESSION NUMBER: 0001752724-20-078430
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200229
FILED AS OF DATE: 20200424
PERIOD START: 20200229
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GMO TRUST
CENTRAL INDEX KEY: 0000772129
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04347
FILM NUMBER: 20814285
BUSINESS ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
BUSINESS PHONE: 6173467646
MAIL ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
FORMER COMPANY:
FORMER CONFORMED NAME: GMO CORE TRUST
DATE OF NAME CHANGE: 19900927
0000772129
S000004922
GMO Emerging Country Debt Fund
C000013327
Class III
GMCDX
C000013328
Class IV
GMDFX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000772129
XXXXXXXX
S000004922
C000013328
C000013327
GMO TRUST
811-04347
0000772129
549300Y2Q6TQD4HU5C66
40 ROWES WHARF
BOSTON
02110
617-346-7646
GMO Emerging Country Debt Fund
S000004922
YNMTZW424II1WNE1YT44
2020-02-29
2020-02-29
N
4365652136.45
10368572.59
4355283563.86
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
12592417.64000000
GBP
USD
EUR
JPY
N
REPUBLIC OF SURINAME INT
N/A
Suriname Government International Bond
P68788AA9
16178000.00000000
PA
USD
14155750.00000000
0.325024761130
Long
DBT
NUSS
SR
Y
2
2026-10-26
Fixed
9.25000000
N
N
N
N
N
N
INSTITUTO COSTARRICENSE
5493009VA6AFUB2Q0289
Instituto Costarricense de Electricidad
P56226AQ9
10800000.00000000
PA
USD
9466875.00000000
0.217365295765
Long
DBT
CORP
CR
Y
2
2043-05-15
Fixed
6.38000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
LEBANON GAP PUT
000000000
46000000.00000000
OU
Notional Amount
USD
-57500.00000000
-0.00132023550
N/A
DCR
LB
N
3
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Purchased
LEBANON GAP PUT
LEBANON GAP PUT
1.00000000
100.00000000
USD
2021-04-13
XXXX
889972.12000000
N
N
N
CENTRAIS ELETRICAS BRASI
254900I8KYDELP4B4Z08
Centrais Eletricas Brasileiras SA
15236FAB6
5300000.00000000
PA
USD
5359625.00000000
0.123060299551
Long
DBT
CORP
BR
N
2
2030-02-04
Fixed
4.63000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
1193719.10000000
0.027408527653
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
57311000.00000000
GBP
74763059.17000000
USD
2020-04-17
1193719.10000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDA7
22986000.00000000
PA
USD
22066560.00000000
0.506661843630
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
BANGKO PILIPINAS BOND
4IDQTQC5NXVM3WSFHR30
Bangko Sentral ng Pilipinas Bond
059891AB7
4700000.00000000
PA
USD
14447468.84000000
0.331722805832
Long
DBT
NUSS
PH
N
3
2097-06-15
Fixed
8.60000000
N
N
N
N
N
N
Morgan Stanley IXIS Real Estate Capital Trust
N/A
Morgan Stanley IXIS Real Estate Capital Trust 2006-2
617463AD6
9637144.31000000
PA
USD
4755720.63000000
0.109194282307
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
1.85000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
United States of Mexico 1.00%
000000000
20000000.00000000
OU
Notional Amount
USD
1705751.97000000
0.039165118527
N/A
DCR
MX
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Mexico Government International Bond
Mexico Government International Bond
Y
buy protection
2031-09-23
2640655.00000000
USD
0.00000000
USD
20000000.00000000
USD
-934903.03000000
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
40308592.50000000
PA
USD
21073836.02000000
0.483868288046
Long
DBT
NUSS
AR
N
2
2033-12-31
Fixed
8.28000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
RUSSIA CDS USD SR 10Y D14
000000000
8487000.00000000
OU
Notional Amount
USD
-97352.28000000
-0.00223526846
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Russian Foreign Bond - Eurobond
Russian Foreign Bond - Eurobond
Y
sell protection
2026-12-22
0.00000000
USD
-1059662.84000000
USD
8487000.00000000
USD
962310.56000000
N
N
N
Republic of Ecuador
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
34000000.00000000
PA
USD
24618125.00000000
0.565247351614
Long
DBT
NUSS
EC
Y
2
2027-10-23
Fixed
8.88000000
N
N
N
N
N
N
PNG GOVT INTL BOND
N/A
Papua New Guinea Government International Bond
000000000
1400000.00000000
PA
USD
1514187.50000000
0.034766680005
Long
DBT
NUSS
PG
Y
2
2028-10-04
Fixed
8.38000000
N
N
N
N
N
N
Republic of Kenya
549300VVURQQYU45PR87
Kenya Government International Bond
000000000
35400000.00000000
PA
USD
37789500.00000000
0.867670254896
Long
DBT
NUSS
KE
Y
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
Delhi International Airport Ltd
335800HBF5DARYMEUD12
Delhi International Airport Ltd
246724AA6
5200000.00000000
PA
USD
5526612.00000000
0.126894424185
Long
DBT
CORP
IN
N
2
2029-06-04
Fixed
6.45000000
N
N
N
N
N
N
ACWA POWER MGMT INVST
635400M3OWQGQBZOYO38
Acwa Power Management And Investments One Ltd
000000000
17900000.00000000
PA
USD
19712375.00000000
0.452608302328
Long
DBT
CORP
AE
Y
2
2039-12-15
Fixed
5.95000000
N
N
N
N
N
N
Republic of Zambia
N/A
Zambia Government International Bond
000000000
3600000.00000000
PA
USD
2378250.00000000
0.054606088561
Long
DBT
NUSS
ZM
Y
2
2022-09-20
Fixed
5.38000000
N
N
N
N
N
N
AUTOPISTAS DEL NORDESTE
N/A
Autopistas del Nordeste Cayman Ltd
000000000
16341503.68000000
PA
USD
17505835.82000000
0.401944800225
Long
DBT
CORP
KY
Y
2
2024-04-15
Fixed
9.39000000
N
N
N
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
000000000
4300000.00000000
PA
USD
4875125.00000000
0.111935880374
Long
DBT
CORP
CL
Y
2
2029-11-06
Fixed
5.25000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCW0
131800000.00000000
PA
USD
137053548.00000000
3.146834092210
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
335089675.47000000
PA
2781334.79000000
0.063861164243
Long
DBT
NUSS
AR
N
2
2035-12-15
Variable
0.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
EUR-USD XCCY BASIS SWAP -0.3475
000000000
1.00000000
NC
N/A
1370896.19000000
0.031476623046
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
0.00000000
EUR
122436000.00000000
USD
2020-09-11
1370896.19000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
REPSOU CDS USD SR 5Y D14
000000000
19000000.00000000
OU
Notional Amount
USD
959608.28000000
0.022033198663
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Republic of South Africa Government International Bond
Republic of South Africa Government International Bond
Y
buy protection
2024-12-21
768101.77000000
USD
0.00000000
USD
19000000.00000000
USD
191506.51000000
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123BG4
16544000.00000000
PA
USD
16011490.00000000
0.367633697444
Long
DBT
NUSS
TR
N
2
2040-05-30
Fixed
6.75000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
P3579EBE6
29811000.00000000
PA
USD
33118157.81000000
0.760413353674
Long
DBT
NUSS
DO
Y
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
6400000.00000000
PA
USD
5864096.00000000
0.134643265220
Long
DBT
NUSS
LK
Y
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAR0
22700000.00000000
PA
USD
22983750.00000000
0.527721092392
Long
DBT
NUSS
SA
N
2
2055-01-21
Fixed
3.75000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CT5
24100000.00000000
PA
USD
25734281.25000000
0.590874988336
Long
DBT
NUSS
TR
N
2
2029-04-26
Fixed
7.63000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
11019000.00000000
PA
USD
12065805.00000000
0.277038333396
Long
DBT
NUSS
UA
Y
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
SOUTHERN GAS CORRIDOR
N/A
Southern Gas Corridor CJSC
Y8T6JPAA4
7450000.00000000
PA
USD
8856187.50000000
0.203343533667
Long
DBT
CORP
AZ
Y
2
2026-03-24
Fixed
6.88000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
28900000.00000000
PA
USD
20970562.50000000
0.481497064255
Long
DBT
NUSS
EC
N
2
2030-03-27
Fixed
9.50000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
6000000.00000000
PA
USD
1379997.00000000
0.031685583263
Long
DBT
NUSS
LB
Y
2
2031-11-20
Fixed
7.15000000
N
N
N
N
N
N
Government of Jamaica
N/A
Jamaica Government International Bond
470160CB6
20675000.00000000
PA
USD
28046929.69000000
0.643974824572
Long
DBT
NUSS
JM
N
2
2045-07-28
Fixed
7.88000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
LEBAN CDS USD SR 5Y D14
000000000
3750000.00000000
OU
Notional Amount
USD
2870912.94000000
0.065917933882
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Lebanon Government International Bond
Lebanon Government International Bond
Y
buy protection
2024-12-21
1715625.00000000
USD
0.00000000
USD
3750000.00000000
USD
1155287.94000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828N89
38000000.00000000
PA
USD
38092031.44000000
0.874616563570
Long
DBT
UST
US
N
1
2021-01-31
Fixed
1.38000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
3800000.00000000
PA
USD
4086187.50000000
0.093821388207
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70000000
N
N
N
N
N
N
Republic of Rwanda
N/A
Rwanda International Government Bond
000000000
5487000.00000000
PA
USD
5871086.16000000
0.134803763610
Long
DBT
NUSS
RW
Y
2
2023-05-02
Fixed
6.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828S27
35000000.00000000
PA
USD
35050585.85000000
0.804783094741
Long
DBT
UST
US
N
1
2021-06-30
Fixed
1.13000000
N
N
N
N
N
N
BANCO DEL ESTADO -CHILE
5493004R4EJC0W0XVQ72
Banco del Estado de Chile
05965MAG8
5300000.00000000
PA
USD
5359625.00000000
0.123060299551
Long
DBT
CORP
CL
N
2
2025-01-09
Fixed
2.70000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
23400000.00000000
PA
USD
25162312.50000000
0.577742232648
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70000000
N
N
N
N
N
N
HONDURAS GOVERNMENT
N/A
Honduras Government International Bond
P5178RAC2
6646000.00000000
PA
USD
7412366.88000000
0.170192520677
Long
DBT
NUSS
HN
Y
2
2027-01-19
Fixed
6.25000000
N
N
N
N
N
N
BNQ CEN TUNISIA INT BOND
254900B5LFB16S9T2T11
Banque Centrale de Tunisie International Bond
000000000
2500000000.00000000
PA
18628546.26000000
0.427722925197
Long
DBT
NUSS
TN
N
3
2031-03-17
Fixed
4.20000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
Commonwealth of Bahamas
000000000
3487000.00000000
OU
Notional Amount
USD
-60606.19000000
-0.00139155554
N/A
DCR
BS
N
2
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
BNP Paribas Emissions- und Handelsgesellschaft mbH
BNP Paribas Emissions- und Handelsgesellschaft mbH
Y
sell protection
2023-06-21
0.00000000
USD
-641462.96000000
USD
3487000.00000000
USD
580856.77000000
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
21000000.00000000
PA
USD
25961250.00000000
0.596086330989
Long
DBT
NUSS
SA
Y
2
2049-04-17
Fixed
5.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
LEBAN CDS USD SR 5Y D14
000000000
7500000.00000000
OU
Notional Amount
USD
5741825.88000000
0.131835867764
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Lebanon Government International Bond
Lebanon Government International Bond
Y
buy protection
2024-12-21
3450000.00000000
USD
0.00000000
USD
7500000.00000000
USD
2291825.88000000
N
N
N
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
Commonwealth of Bahamas
000000000
51746000.00000000
OU
Notional Amount
-246005.29000000
-0.00564843336
N/A
DCR
BS
N
2
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
BNP Paribas Emissions- und Handelsgesellschaft mbH
BNP Paribas Emissions- und Handelsgesellschaft mbH
Y
buy protection
2020-12-22
5767280.66000000
EUR
0.00000000
EUR
51746000.00000000
EUR
-7976326.65000000
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAJ0
14300000.00000000
PA
USD
14157000.00000000
0.325053461902
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
12000000.00000000
PA
5162346.91000000
0.118530672786
Long
DBT
NUSS
AR
Y
2
2028-01-15
Fixed
5.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
912828Y53
7000000.00000000
PA
USD
7000421.40000000
0.160733998081
Long
DBT
UST
US
N
1
2020-07-31
Floating
1.55000000
N
N
N
N
N
N
TC Ziraat Bankasi AS
213800K5KTZFSUS8MR51
TC Ziraat Bankasi AS
000000000
5000000.00000000
PA
USD
4821875.00000000
0.110713227492
Long
DBT
CORP
TR
Y
2
2023-09-29
Fixed
5.13000000
N
N
N
N
N
N
QNB Finansbank AS/Turkey
789000Q21SW842S9IJ58
QNB Finansbank AS
000000000
13378000.00000000
PA
USD
13801681.26000000
0.316895124223
Long
DBT
CORP
TR
Y
2
2024-09-07
Fixed
6.88000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HL7
23100000.00000000
PA
USD
9853593.75000000
0.226244597062
Long
DBT
NUSS
AR
N
2
2027-01-26
Fixed
6.88000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CM0
57813000.00000000
PA
USD
49285582.50000000
1.131627407890
Long
DBT
NUSS
TR
N
2
2047-05-11
Fixed
5.75000000
N
N
N
N
N
N
COSTA RICA GOVERNMENT
N/A
Costa Rica Government International Bond
000000000
26400000.00000000
PA
USD
30941098.32000000
0.710426723457
Long
DBT
NUSS
CR
Y
2
2026-08-26
Fixed
9.20000000
N
N
N
N
N
N
IRAQ PARISCLUB JPY REP OF IRA
N/A
IRAQ PARISCLUB JPY REP OF IRA
000000000
2318433288.12000000
PA
11523382.96000000
0.264583988413
Long
DBT
NUSS
JP
N
3
2028-01-01
None
0.00000000
N
N
N
N
N
N
Morgan Stanley IXIS Real Estate Capital Trust
N/A
Morgan Stanley IXIS Real Estate Capital Trust 2006-2
617463AC8
9510339.75000000
PA
USD
4634953.47000000
0.106421393740
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
1.78000000
N
N
N
N
N
N
KONDOR FINANCE PLC (NAK)
N/A
NAK Naftogaz Ukraine via Kondor Finance PLC
000000000
3800000.00000000
PA
4504392.62000000
0.103423636003
Long
DBT
CORP
GB
Y
2
2024-07-19
Fixed
7.13000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
4500000.00000000
PA
USD
5356406.25000000
0.122986395063
Long
DBT
NUSS
RO
Y
2
2048-06-15
Fixed
5.13000000
N
N
N
N
N
N
PARIS CLUB LOANS DTD 3/10/99 D UE 6/1/2021 REPUBLIC OF INDONE
N/A
PARIS CLUB LOANS DTD 3/10/99 D UE 6/1/2021 REPUBLIC OF INDONE
000000000
289696.87000000
PA
307911.25000000
0.007069832434
Long
DBT
CORP
ID
N
3
2021-06-01
None
0.00000000
N
N
N
N
N
N
Government of Grenada
N/A
Grenada Government International Bond
P48863AE7
12076312.95000000
PA
USD
11714023.56000000
0.268961214309
Long
DBT
NUSS
GD
Y
2
2030-05-12
Fixed
7.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SJ8
25500000.00000000
PA
USD
28985332.10000000
0.665521123366
Long
DBT
UST
US
N
1
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
Republic of Congo
N/A
Congolese International Bond
000000000
69470602.50000000
PA
USD
60352585.92000000
1.385732640253
Long
SN
NUSS
CG
Y
3
2029-06-30
Variable
6.00000000
N
N
N
N
N
N
Ambac Assurance Corp
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
385402.00000000
PA
USD
570394.96000000
0.013096620498
Long
DBT
CORP
US
N
2
2020-06-07
Fixed
5.10000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325AQ8
3800000.00000000
PA
USD
6156000.00000000
0.141345561310
Long
DBT
NUSS
CO
N
3
2028-03-09
Fixed
11.85000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AE9
40011000.00000000
PA
USD
54439966.88000000
1.249975256071
Long
DBT
CORP
CO
N
2
2043-09-18
Fixed
7.38000000
N
N
N
N
N
N
GMO US Treasury Fund
0NIBQB0NDRTFX04R2J69
GMO US Treasury Fund
362013369
14838144.30200000
NS
USD
74487484.40000000
1.710278637609
Long
EC
RF
US
N
1
N
N
N
REPUBLIC OF EL SALVADOR
529900AKDMUSFSDOM949
El Salvador Government International Bond
283875BZ4
5300000.00000000
PA
USD
5543468.75000000
0.127281465574
Long
DBT
NUSS
SV
N
2
2050-01-20
Fixed
7.12000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PETBRA CDS USD SR 5Y D14
000000000
53000000.00000000
OU
Notional Amount
USD
977246.65000000
0.022438186530
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Petrobras Global Finance BV
Petrobras Global Finance BV
Y
buy protection
2024-06-21
2755223.60000000
USD
0.00000000
USD
53000000.00000000
USD
-1777976.95000000
N
N
N
PETROLEOS DE VENEZUELA S
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA
P7807HAT2
176000000.00000000
PA
USD
17864000.00000000
0.410168470963
Long
DBT
CORP
VE
N
3
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.74 %
000000000
28500000.00000000
OU
Notional Amount
176018.12000000
0.004041484725
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2049-12-15
158045.45000000
GBP
0.00000000
GBP
28500000.00000000
GBP
-20395.89000000
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
ECUA CDS USD SR 1Y D14
000000000
7500000.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DCR
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
Ecuador Government International Bond
Ecuador Government International Bond
Y
buy protection
2020-12-21
0.00000000
USD
0.00000000
USD
7500000.00000000
USD
0.00000000
N
N
N
POWER SECTOR ASSETS & LI
529900RAHBALMYIJ3T08
Power Sector Assets & Liabilities Management Corp
637193BA0
42012000.00000000
PA
USD
62637266.25000000
1.438190311413
Long
DBT
CORP
PH
N
2
2028-05-15
Fixed
9.63000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
Commonwealth of Bahamas
000000000
59796571.00000000
OU
Notional Amount
USD
-1218670.24000000
-0.02798142123
N/A
DCR
BS
N
2
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
BNP Paribas Emissions- und Handelsgesellschaft mbH
BNP Paribas Emissions- und Handelsgesellschaft mbH
Y
sell protection
2025-06-21
0.00000000
USD
-6983424.46000000
USD
59796571.00000000
USD
5764754.22000000
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
17641371.46000000
PA
9877575.34000000
0.226795229177
Long
DBT
NUSS
AR
N
2
2033-12-31
Fixed
7.82000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
EQUITY: JPEICORE INDEX SHORT SWAP
000000000
8999999.10000000
OU
Notional Amount
USD
71693.74000000
0.001646132541
N/A
DE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
J.P. Morgan EMBI Global Core Index
JPEICORE Index
Y
equity-performance leg
2020-04-22
0.00000000
USD
0.00000000
USD
8999999.10000000
USD
71693.74000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
97226.92000000
0.002232390120
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
12861600.00000000
EUR
14334329.08000000
USD
2020-04-17
97226.92000000
N
N
N
Republic of Belize
N/A
Belize Government International Bond
P16394AG6
35228000.00000000
PA
USD
22259692.50000000
0.511096285089
Long
DBT
NUSS
BZ
Y
2
2034-02-20
Variable
4.94000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91086QAZ1
19578000.00000000
PA
USD
24735579.38000000
0.567944176706
Long
DBT
NUSS
MX
N
2
2110-10-12
Fixed
5.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
REPSOU CDS USD SR 2Y D14
000000000
15000000.00000000
OU
Notional Amount
USD
48500.20000000
0.001113594540
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Republic of South Africa Government International Bond
Republic of South Africa Government International Bond
Y
buy protection
2021-12-21
0.00000000
USD
-13865.92000000
USD
15000000.00000000
USD
62366.12000000
N
N
N
INDIAN RAILWAY FINANCE
335800F2JHSOGXQEBY56
Indian Railway Finance Corp Ltd
45434L2A1
7500000.00000000
PA
USD
7493437.50000000
0.172053952173
Long
DBT
CORP
IN
N
2
2030-02-13
Fixed
3.25000000
N
N
N
N
N
N
Republic of Zambia
N/A
Zambia Government International Bond
000000000
14900000.00000000
PA
USD
9764156.25000000
0.224191056835
Long
DBT
NUSS
ZM
Y
2
2027-07-30
Fixed
8.97000000
N
N
N
N
N
N
DP WORLD PLC
21380096JRTWB8TL9236
DP World PLC
000000000
14000000.00000000
PA
USD
13720000.00000000
0.315019672056
Long
DBT
CORP
AE
Y
2
2049-09-30
Fixed
4.70000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
MEX CDS USD SR 10Y D14
000000000
20000000.00000000
OU
Notional Amount
USD
1213489.62000000
0.027862471001
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Mexico Government International Bond
Mexico Government International Bond
Y
buy protection
2029-06-21
1589641.33000000
USD
0.00000000
USD
20000000.00000000
USD
-376151.71000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
REPSOU CDS USD SR 5Y D14
000000000
19000000.00000000
OU
Notional Amount
USD
959608.28000000
0.022033198663
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Republic of South Africa Government International Bond
Republic of South Africa Government International Bond
Y
buy protection
2024-12-21
774754.47000000
USD
0.00000000
USD
19000000.00000000
USD
184853.81000000
N
N
N
SADEREA
635400IPZLZJ55ANED20
Saderea DAC
000000000
12897659.32000000
PA
USD
14057694.15000000
0.322773338265
Long
SN
CORP
IE
Y
2
2026-11-30
Fixed
12.50000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BA9
42218000.00000000
PA
USD
53221066.25000000
1.221988544939
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
REPUBLIC OF GABON
N/A
Gabon Government International Bond
362420AD3
15800000.00000000
PA
USD
15799368.00000000
0.362763245339
Long
DBT
NUSS
GA
N
2
2031-02-06
Fixed
6.63000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
15000000.00000000
PA
USD
13992187.50000000
0.321269265131
Long
DBT
NUSS
OM
Y
2
2047-03-08
Fixed
6.50000000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
529900FWX0GRR7WG5W79
Pertamina Persero PT
Y7138AAB6
18400000.00000000
PA
USD
24245680.00000000
0.556695784430
Long
DBT
CORP
ID
Y
2
2041-05-27
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828N48
17500000.00000000
PA
USD
17586132.90000000
0.403788470765
Long
DBT
UST
US
N
1
2020-12-31
Fixed
1.75000000
N
N
N
N
N
N
Republic of Guatemala
N/A
Guatemala Government Bond
P8056GAB9
17765000.00000000
PA
USD
24227018.75000000
0.556267310607
Long
DBT
NUSS
GT
Y
2
2034-10-06
Fixed
8.13000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71656MAF6
6400000.00000000
PA
USD
5739200.00000000
0.131775575937
Long
DBT
CORP
MX
Y
2
2020-03-30
Fixed
6.63000000
N
N
N
N
N
N
Republic of Albania
N/A
Albania Government International Bond
000000000
49649849.00000000
PA
USD
43828157.45000000
1.006321558800
Long
DBT
NUSS
AL
N
3
2025-08-31
None
0.00000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAN9
17039000.00000000
PA
USD
20169916.25000000
0.463113731959
Long
DBT
CORP
NL
N
2
2115-06-05
Fixed
6.85000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DQ5
4600000.00000000
PA
USD
5794562.50000000
0.133046733123
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
16500000.00000000
PA
USD
18670781.25000000
0.428692666648
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
Commonwealth of Bahamas
000000000
6975000.00000000
OU
Notional Amount
USD
-121229.75000000
-0.00278350991
N/A
DCR
BS
N
2
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
BNP Paribas Emissions- und Handelsgesellschaft mbH
BNP Paribas Emissions- und Handelsgesellschaft mbH
Y
sell protection
2023-06-21
0.00000000
USD
-1263915.08000000
USD
6975000.00000000
USD
1142685.33000000
N
N
N
IRAQ PARISCLUB JPY JPY KANEM
N/A
IRAQ PARISCLUB JPY JPY KANEM
000000000
302926475.00000000
PA
1505645.13000000
0.034570541915
Long
DBT
CORP
JP
N
3
2028-01-01
None
0.00000000
N
N
N
N
N
N
AEROPUERTO INTL TOCUMEN
254900FO1PHX49ZIGB14
Aeropuerto Internacional de Tocumen SA
000000000
12900000.00000000
PA
USD
16383000.00000000
0.376163796450
Long
DBT
CORP
PA
Y
2
2048-11-18
Fixed
6.00000000
N
N
N
N
N
N
Republic of Peru
N/A
Peruvian Government International Bond
000000000
5000000.00000000
PA
USD
5031265.50000000
0.115520962670
Long
SN
NUSS
PE
N
3
2027-03-07
Variable
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828R77
43000000.00000000
PA
USD
43191484.16000000
0.991703146917
Long
DBT
UST
US
N
1
2021-05-31
Fixed
1.38000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
8800000.00000000
PA
USD
10590800.00000000
0.243171307785
Long
DBT
NUSS
RU
Y
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
Enel Generacion Chile SA
549300PVHXUFEIE6LY50
Enel Generacion Chile SA
29244TAC5
20411000.00000000
PA
USD
29902115.00000000
0.686571024861
Long
DBT
CORP
CL
N
3
2097-02-01
Fixed
8.13000000
N
N
N
N
N
N
UKREXIMBANK(BIZ FIN PLC)
254900R5STMV7BZYC307
Ukreximbank Via Biz Finance PLC
G11451AE4
5100000.00000000
PA
USD
5418750.00000000
0.124417846060
Long
DBT
CORP
GB
Y
2
2025-01-22
Fixed
9.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
24000000.00000000
PA
USD
24315000.00000000
0.558287414435
Long
DBT
NUSS
EG
Y
2
2048-02-21
Fixed
7.90000000
N
N
N
N
N
N
Petroleos del Peru SA
549300ZMGDLC9JT2OR80
Petroleos del Peru SA
P7808BAB3
27395000.00000000
PA
USD
33113706.25000000
0.760311143108
Long
DBT
CORP
PE
Y
2
2047-06-19
Fixed
5.63000000
N
N
N
N
N
N
Republic of Senegal
549300NP14ZLQGWIUZ97
Senegal Government International Bond
000000000
17400000.00000000
PA
USD
17432625.00000000
0.400263834590
Long
DBT
NUSS
SN
Y
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
PARIS CLUB LOAN PARTICIPATION CHF NON-PERFORMING LOAN ASSIGN
N/A
PARIS CLUB LOAN PARTICIPATION CHF NON-PERFORMING LOAN ASSIGN
000000000
27357.66000000
PA
27377.17000000
0.000628596728
Long
DBT
NUSS
EG
N
3
2024-01-03
None
0.00000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
407485275.56000000
PA
982723.69000000
0.022563942751
Long
DBT
NUSS
AR
N
3
2033-12-31
Variable
4.33000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Q37
51000000.00000000
PA
USD
51101601.69000000
1.173324329879
Long
DBT
UST
US
N
1
2021-03-31
Fixed
1.25000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123BJ8
59402000.00000000
PA
USD
52997721.88000000
1.216860420289
Long
DBT
NUSS
TR
N
2
2041-01-14
Fixed
6.00000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
64900000.00000000
PA
USD
61208812.50000000
1.405392131247
Long
DBT
NUSS
OM
Y
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
REPUBLIC OF KENYA 4/10/2025
N/A
REPUBLIC OF KENYA 4/10/2025
000000000
6691666.67000000
PA
USD
6933242.13000000
0.159191520559
Long
DBT
NUSS
US
N
3
2025-04-10
Variable
1.00000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
11000000.00000000
PA
USD
14602500.00000000
0.335282416997
Long
DBT
NUSS
QA
Y
2
2048-04-23
Fixed
5.10000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
7900000.00000000
PA
USD
10119406.25000000
0.232347816201
Long
DBT
NUSS
ID
Y
2
2047-01-08
Fixed
5.25000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
80830000.00000000
PA
34967904.03000000
0.802884669098
Long
DBT
NUSS
AR
N
2
2038-12-31
Variable
3.38000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
17687000.00000000
PA
USD
21417851.56000000
0.491767097272
Long
DBT
NUSS
DO
Y
2
2027-04-20
Fixed
8.63000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CB4
15000000.00000000
PA
USD
15857812.50000000
0.364105167148
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
Republic of Venezuela
N/A
Venezuela Government International Bond
P97475AG5
36600000.00000000
PA
USD
5673000.00000000
0.130255583059
Long
DBT
NUSS
VE
Y
3
2020-12-09
Fixed
6.00000000
Y
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
912828YN4
78000000.00000000
PA
USD
78282414.60000000
1.797412578358
Long
DBT
UST
US
N
1
2021-10-31
Floating
1.81000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828L99
25000000.00000000
PA
USD
25028320.25000000
0.574665687848
Long
DBT
UST
US
N
1
2020-10-31
Fixed
1.38000000
N
N
N
N
N
N
Ardshinbank CJSC Via Dilijan Finance BV
549300DCGXFXAP2FEV07
Ardshinbank CJSC Via Dilijan Finance BV
254032AC9
7600000.00000000
PA
USD
7657000.00000000
0.175809448173
Long
DBT
CORP
NL
N
2
2025-01-28
Fixed
6.50000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
Commonwealth of Bahamas
000000000
44558436.00000000
OU
Notional Amount
1043556.47000000
0.023960700944
N/A
DCR
BS
N
2
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
BNP Paribas Emissions- und Handelsgesellschaft mbH
BNP Paribas Emissions- und Handelsgesellschaft mbH
Y
buy protection
2025-06-21
4721543.00000000
EUR
0.00000000
EUR
44558436.00000000
EUR
-5127459.13000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
8585000.00000000
PA
USD
9301847.50000000
0.213576162461
Long
DBT
NUSS
UA
Y
2
2024-09-01
Fixed
7.75000000
N
N
N
N
N
N
BARBADOS GOVT OF
529900UD1KUUS4SFD905
Barbados Government International Bond
067070AH5
7600000.00000000
PA
USD
8048875.00000000
0.184807140154
Long
DBT
NUSS
BB
N
2
2029-10-01
Fixed
6.50000000
N
N
N
N
N
N
PETROLEOS DE VENEZUELA S
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA
P7807HAR6
61967000.00000000
PA
USD
6289650.50000000
0.144414259319
Long
DBT
CORP
VE
N
3
2026-11-15
Fixed
6.00000000
Y
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
000000000
11200000.00000000
PA
USD
11028500.00000000
0.253221170063
Long
DBT
CORP
TR
Y
2
2023-01-30
Fixed
5.75000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
12900000.00000000
PA
14741099.40000000
0.338464744806
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust
92926SAE6
5146903.17000000
PA
USD
2742461.47000000
0.062968608812
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
1.99000000
N
N
N
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
El Salvador Government International Bond
P01012AN6
26275000.00000000
PA
USD
29395156.25000000
0.674930938915
Long
DBT
NUSS
SV
Y
2
2035-06-15
Fixed
7.65000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAF7
26300000.00000000
PA
USD
26801343.75000000
0.615375402244
Long
DBT
NUSS
AE
N
2
2049-09-30
Fixed
3.13000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828SA9
79478700.00000000
PA
USD
80011263.72000000
1.837108021712
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.13000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
36050000.00000000
PA
15262304.08000000
0.350431926101
Long
DBT
NUSS
AR
N
2
2038-12-31
Variable
3.38000000
N
N
N
N
N
N
PTTEP Treasury Center Co
2549006WFOUPZX6TZG08
PTTEP Treasury Center Co Ltd
69371MAD9
3800000.00000000
PA
USD
4313000.00000000
0.099029143263
Long
DBT
CORP
TH
N
2
2059-12-06
Fixed
3.90000000
N
N
N
N
N
N
COSTA RICA GOVERNMENT
N/A
Costa Rica Government International Bond
P3699PGJ0
34431000.00000000
PA
USD
35743681.88000000
0.820697007574
Long
DBT
NUSS
CR
Y
2
2045-03-12
Fixed
7.16000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
Commonwealth of Bahamas
000000000
61270000.00000000
OU
Notional Amount
USD
262595.01000000
0.006029343581
N/A
DCR
BS
N
2
Deutsche Bank Aktiengesellschaft (New York, NY, US, Branch)
7LTWFZYICNSX8D621K86
BNP Paribas Emissions- und Handelsgesellschaft mbH
BNP Paribas Emissions- und Handelsgesellschaft mbH
Y
sell protection
2020-12-22
0.00000000
USD
-7515363.69000000
USD
61270000.00000000
USD
7777958.70000000
N
N
N
JPMORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Republic of Brazil
000000000
10000000.00000000
OU
Notional Amount
USD
-1006325.53000000
-0.02310585557
N/A
DCR
BR
N
2
JPMORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Brazilian Government International Bond
Brazilian Government International Bond
Y
sell protection
2030-03-21
0.00000000
USD
-1418589.50000000
USD
10000000.00000000
USD
412263.97000000
N
N
N
TRINIDAD GEN UNLTD
N/A
Trinidad Generation UnLtd
P9400VAA9
4792000.00000000
PA
USD
5094495.00000000
0.116972751034
Long
DBT
CORP
TT
Y
2
2027-11-04
Fixed
5.25000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
163000000.00000000
PA
1638776.92000000
0.037627330022
Long
DBT
CORP
ZA
N
2
2032-12-31
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
REPSOU CDS USD SR 2Y D14
000000000
7400000.00000000
OU
Notional Amount
USD
23926.77000000
0.000549373413
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Republic of South Africa Government International Bond
Republic of South Africa Government International Bond
Y
buy protection
2021-12-21
13728.07000000
USD
0.00000000
USD
7400000.00000000
USD
10198.70000000
N
N
N
MV24 CAPITAL BV
N/A
MV24 Capital BV
55388RAA4
18735140.00000000
PA
USD
19449417.21000000
0.446570629094
Long
DBT
CORP
NL
N
2
2034-06-01
Fixed
6.75000000
N
N
N
N
N
N
CHAD B
N/A
CHAD B
000000000
2974007.35000000
PA
USD
2246862.55000000
0.051589351578
Long
DBT
NUSS
US
N
3
2027-12-31
Variable
4.14000000
N
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2005-H
126685AP1
1164880.28000000
PA
USD
1137324.57000000
0.026113674421
Long
ABS-O
CORP
US
N
2
2035-12-15
Floating
1.90000000
N
N
N
N
N
N
Republic of Armenia
5299000H77JSW90G7935
Republic of Armenia International Bond
000000000
2195000.00000000
PA
USD
2573637.50000000
0.059092306212
Long
DBT
NUSS
AM
Y
2
2025-03-26
Fixed
7.15000000
N
N
N
N
N
N
Kingdom of Jordan
5493000JZ4MYPVMBVN50
Jordan Government International Bond
000000000
26750000.00000000
PA
USD
28747890.63000000
0.660069320596
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.38000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714WBJ1
1500000000.00000000
PA
27703295.68000000
0.636084775509
Long
DBT
NUSS
DO
N
2
2030-01-11
Fixed
10.38000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
68205LAB9
33800000.00000000
PA
USD
34095750.00000000
0.782859474017
Long
DBT
NUSS
OM
N
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
14700000.00000000
PA
USD
19406296.14000000
0.445580542700
Long
DBT
CORP
KZ
Y
2
2048-10-24
Fixed
6.38000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
3019000.00000000
PA
USD
3177497.50000000
0.072957304694
Long
DBT
NUSS
UA
Y
2
2021-09-01
Fixed
7.75000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114GX2
5400000.00000000
PA
USD
2343937.50000000
0.053818252373
Long
DBT
NUSS
AR
N
2
2026-04-22
Fixed
7.50000000
N
N
N
N
N
N
ECUADOR SOCIAL BOND SARL
5493006P8FVL2JCVBP02
Ecuador Social Bond Sarl
000000000
20600000.00000000
PA
USD
12048940.00000000
0.276651102582
Long
DBT
CORP
LU
N
2
2035-01-30
None
0.00000000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
000000000
8800000.00000000
PA
USD
9622250.00000000
0.220932801708
Long
DBT
CORP
CL
Y
2
2042-07-17
Fixed
4.25000000
N
N
N
N
N
N
Republic of Venezuela
N/A
Venezuela Government International Bond
922646BL7
7000000.00000000
PA
USD
1085000.00000000
0.024912269984
Long
DBT
NUSS
VE
N
3
2034-01-13
Fixed
9.38000000
Y
N
N
N
N
N
Transnet SOC Ltd
378900B07CD6F01EA796
Transnet SOC Ltd
000000000
27300000.00000000
PA
2144852.50000000
0.049247137839
Long
DBT
CORP
ZA
N
2
2028-04-18
Fixed
13.50000000
N
N
N
N
N
N
ISLAMIC REP OF PAKISTAN
N/A
Pakistan Government International Bond
000000000
39562000.00000000
PA
USD
43312081.98000000
0.994472147333
Long
DBT
NUSS
PK
Y
2
2036-03-31
Fixed
7.88000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
14446000.00000000
PA
USD
14310568.75000000
0.328579495230
Long
DBT
NUSS
UA
Y
2
2040-05-31
None
0.00000000
N
N
N
N
N
N
DEBT AND ASSET TRADING C
5493008AE7RS4XK4BZ08
Debt and Asset Trading Corp
Y2031QAA2
25105000.00000000
PA
USD
19730960.94000000
0.453035046988
Long
DBT
NUSS
VN
Y
2
2025-10-10
Fixed
1.00000000
N
N
N
N
N
N
REPUBLIC OF VENEZUELA
N/A
Venezuela Government International Bond
000000000
1080062.02000000
NS
USD
1080062.02000000
0.024798890914
N/A
DE
VE
N
3
N/A
N/A
Call
Purchased
Venezuela Government International Bond
Venezuela Government International Bond
1.00000000
1.00000000
USD
2020-04-15
XXXX
-4812734.58000000
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
4182861.87000000
NS
USD
4182861.87000000
0.096041091439
Long
STIV
RF
US
N
1
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
7200000.00000000
PA
USD
6894000.00000000
0.158290497023
Long
DBT
NUSS
NG
Y
2
2038-02-23
Fixed
7.70000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
11867000.00000000
PA
USD
17633620.31000000
0.404878811022
Long
DBT
CORP
LU
Y
2
2034-04-28
Fixed
8.63000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
35900000.00000000
PA
USD
43248281.25000000
0.993007243176
Long
DBT
NUSS
UA
Y
2
2028-11-01
Fixed
9.75000000
N
N
N
N
N
N
REPUBLIC OF ANGOLA (TRANCHE 2) LANG0523
N/A
REPUBLIC OF ANGOLA (TRANCHE 2) LANG0523
000000000
13900000.00000000
PA
USD
13761000.00000000
0.315961057373
Long
DBT
NUSS
AO
N
3
2023-12-13
Variable
8.55000000
N
N
N
N
N
N
Republic of Ecuador
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
36000000.00000000
PA
USD
27405000.00000000
0.629235722500
Long
DBT
NUSS
EC
Y
2
2029-01-31
Fixed
10.75000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
740189000.00000000
PA
451665.58000000
0.010370520618
Long
DBT
NUSS
AR
N
3
2035-12-15
Variable
1.00000000
N
N
N
N
N
N
BANGKO PILIPINAS BOND
4IDQTQC5NXVM3WSFHR30
Bangko Sentral ng Pilipinas Bond
059891AA9
23300000.00000000
PA
USD
31600625.00000000
0.725569863285
Long
DBT
NUSS
PH
N
2
2027-06-15
Fixed
8.60000000
N
N
N
N
N
N
URUGUAY PAR BOND
549300RDR012H2V82H43
Uruguay Par Bond
000000000
4000000.00000000
PA
USD
0.04000000
0.000000000918
Long
DBT
NUSS
UY
N
3
2021-01-02
None
0.00000000
N
N
N
N
N
N
ST SAVINGS BK (SSB #1)
N/A
State Savings Bank of Ukraine Via SSB #1 PLC
G8841YAK0
8189000.00000000
PA
USD
8506323.75000000
0.195310445927
Long
DBT
CORP
GB
Y
2
2025-03-20
Variable
9.63000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
3869000.00000000
PA
USD
4226882.50000000
0.097051832286
Long
DBT
NUSS
UA
Y
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
Hellenic Republic
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
5800000.00000000
PA
8100827.76000000
0.186000007605
Long
DBT
NUSS
GR
Y
2
2036-02-24
Variable
3.65000000
N
N
N
N
N
N
REPUBLIC OF SURINAME INT
N/A
Suriname Government International Bond
86886PAB8
14000000.00000000
PA
USD
13300000.00000000
0.305376212707
Long
DBT
NUSS
SR
N
2
2023-12-30
Fixed
9.88000000
N
N
N
N
N
N
Republic of South Africa
549300KEVMSOSY8T8R35
Republic of South Africa Government International Bond
836205AX2
13700000.00000000
PA
USD
13156281.25000000
0.302076341461
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
BNQ CEN TUNISIA INT BOND
254900B5LFB16S9T2T11
Banque Centrale de Tunisie International Bond
000000000
7340000000.00000000
PA
55729150.75000000
1.279575713793
Long
DBT
NUSS
TN
N
3
2030-08-02
Fixed
4.30000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
ARGENT CDS USD SR 5Y D14
000000000
2500000.00000000
OU
Notional Amount
USD
1542258.79000000
0.035411214158
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Argentine Republic Government International Bond
Argentine Republic Government International Bond
Y
buy protection
2024-06-21
359815.22000000
USD
0.00000000
USD
2500000.00000000
USD
1182443.57000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BB9
89200000.00000000
PA
USD
84954972.00000000
1.950618616545
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
IRAQ PARISCLUB JPY JPY T CHA
N/A
IRAQ PARISCLUB JPY JPY T CHA
000000000
128758461.07000000
PA
638659.16000000
0.014664008683
Long
DBT
CORP
JP
N
3
2028-01-01
None
0.00000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
5300000.00000000
PA
USD
5392750.00000000
0.123820870006
Long
DBT
NUSS
EG
Y
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
TRINIDAD PETROLEUM HOLDI
5493004LGJQF7TV6GH26
Trinidad Petroleum Holdings Ltd
896366AA9
11361000.00000000
PA
USD
12860652.00000000
0.295288511331
Long
DBT
CORP
TT
N
2
2026-06-15
Fixed
9.75000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CG3
29600000.00000000
PA
USD
27888750.00000000
0.640342921214
Long
DBT
NUSS
TR
N
2
2045-02-17
Fixed
6.63000000
N
N
N
N
N
N
AMBAC LSNI LLC
5493000UC0RBBNDHI717
Ambac LSNI LLC
02315QAA6
1515843.20000000
PA
USD
1534791.24000000
0.035239754599
Long
DBT
CORP
KY
N
2
2023-02-12
Floating
6.94000000
N
N
N
N
N
N
TELECOM OF TRIN & TOBAGO
N/A
Telecommunications Services of Trinidad & Tobago Ltd
87929TAA9
9800000.00000000
PA
USD
10290000.00000000
0.236264754042
Long
DBT
CORP
TT
N
2
2029-10-18
Fixed
8.88000000
N
N
N
N
N
N
PETKIM PETROKIMYA HOLDIN
529900XZCVZOEYWNBQ67
Petkim Petrokimya Holding AS
000000000
14750000.00000000
PA
USD
14643984.38000000
0.336234923978
Long
DBT
CORP
TR
Y
2
2023-01-26
Fixed
5.88000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HN3
7600000.00000000
PA
USD
3047125.00000000
0.069963871590
Long
DBT
NUSS
AR
N
2
2117-06-28
Fixed
7.13000000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
05675M2A1
19500000.00000000
PA
USD
20182500.00000000
0.463402662629
Long
DBT
NUSS
BH
N
2
2031-09-30
Fixed
5.63000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Philippines Credit Linked Put Option Swap
000000000
45000000.00000000
OU
Notional Amount
USD
113306.04000000
0.002601576644
N/A
DCR
PH
N
3
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Purchased
Philippines Credit Linked Put Option Swap
Philippines Credit Linked Put Option Swap
1.00000000
1.00000000
USD
2021-01-20
XXXX
113306.04000000
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BK5
19897000.00000000
PA
USD
26742811.56000000
0.614031467018
Long
DBT
NUSS
BR
N
2
2037-01-20
Fixed
7.13000000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BBA5
38700000.00000000
PA
USD
39147468.75000000
0.898850055937
Long
DBT
CORP
CL
N
2
2050-01-30
Fixed
3.70000000
N
N
N
N
N
N
Republic of Venezuela
N/A
Venezuela Government International Bond
P97475AN0
19028000.00000000
PA
USD
2949340.00000000
0.067718667608
Long
DBT
NUSS
VE
N
3
2019-10-13
Fixed
7.75000000
Y
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
3800000.00000000
PA
USD
3845125.00000000
0.088286444352
Long
DBT
NUSS
GH
Y
2
2051-03-26
Fixed
8.95000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325AL9
647000.00000000
PA
USD
788693.00000000
0.018108878295
Long
DBT
NUSS
CO
N
2
2027-02-15
Fixed
8.38000000
N
N
N
N
N
N
REPUBLIC OF MOZAMBIQUE
N/A
Mozambique International Bond
000000000
5876000.00000000
PA
USD
5514258.75000000
0.126610785937
Long
DBT
NUSS
MZ
Y
2
2031-09-15
Fixed
5.00000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEB0
11900000.00000000
PA
USD
12591687.50000000
0.289112920327
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
50396000.00000000
PA
75741161.18000000
1.739063830619
Long
DBT
NUSS
MX
N
2
2114-03-19
Fixed
5.63000000
N
N
N
N
N
N
Republic of Venezuela
N/A
Venezuela Government International Bond
P17625AD9
68700000.00000000
PA
USD
10648500.00000000
0.244496135414
Long
DBT
NUSS
VE
N
3
2031-08-05
Fixed
11.95000000
Y
N
N
N
N
N
TURKIYE SINAI KALKINMA B
549300MFCXK5HOOEWP84
Turkiye Sinai Kalkinma Bankasi AS
90015YAA7
1600000.00000000
PA
USD
1554000.00000000
0.035680799590
Long
DBT
CORP
TR
N
2
2025-01-23
Fixed
6.00000000
N
N
N
N
N
N
Republic of Kazakhstan
5493007OEK8EF02UO833
Kazakhstan Government International Bond
000000000
21299000.00000000
PA
USD
32427727.50000000
0.744560647418
Long
DBT
NUSS
KZ
Y
2
2045-07-21
Fixed
6.50000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
17482000.00000000
PA
USD
22114730.00000000
0.507767856575
Long
DBT
NUSS
GH
Y
2
2030-10-14
Fixed
10.75000000
N
N
N
N
N
N
PANAMA NOTAS DEL TESORO
549300SHS4T08CL0LP14
Panama Notas del Tesoro
000000000
4200000.00000000
PA
USD
4500300.00000000
0.103329666920
Long
DBT
NUSS
PA
N
2
2026-04-17
Fixed
3.75000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
15000000.00000000
PA
USD
3900000.00000000
0.089546408237
Long
DBT
NUSS
LB
Y
2
2027-03-23
Fixed
6.85000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
TURKEY CDS USD SR 5Y D14
000000000
19000000.00000000
OU
Notional Amount
USD
2203192.03000000
0.050586649472
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Turkey Government International Bond
Turkey Government International Bond
Y
buy protection
2024-12-21
1209114.48000000
USD
0.00000000
USD
19000000.00000000
USD
994077.55000000
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
18600000.00000000
PA
USD
23895187.50000000
0.548648260202
Long
DBT
NUSS
SA
Y
2
2050-01-16
Fixed
5.25000000
N
N
N
N
N
N
Republic of Gabon
N/A
Gabon Government International Bond
000000000
5879378.00000000
PA
USD
6154973.84000000
0.141322000043
Long
DBT
NUSS
GA
Y
2
2024-12-12
Fixed
6.38000000
N
N
N
N
N
N
CENTRAL BANK OF NIGERIA
N/A
Central Bank of Nigeria Bond
000000000
28000.00000000
NS
USD
798000.00000000
0.018322572762
N/A
DE
NG
N
3
N/A
N/A
Call
Purchased
Central Bank of Nigeria Bond
Central Bank of Nigeria Bond
1.00000000
1.00000000
USD
2020-11-15
XXXX
554250.00000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
MALAYS CDS USD SR 10Y D14
000000000
17200000.00000000
OU
Notional Amount
USD
54059.40000000
0.001241237205
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Penerbangan Malaysia Bhd
Penerbangan Malaysia Bhd
Y
sell protection
2028-12-21
0.00000000
USD
-845599.06000000
USD
17200000.00000000
USD
899658.46000000
N
N
N
Republic of Cameroon
54930021BO6NHYGBBV24
Republic of Cameroon International Bond
000000000
4500000.00000000
PA
USD
5042812.50000000
0.115786088920
Long
DBT
NUSS
CM
Y
2
2025-11-19
Fixed
9.50000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
8500000.00000000
PA
USD
8962187.50000000
0.205777359122
Long
DBT
CORP
ZA
Y
2
2028-08-10
Fixed
8.45000000
N
N
N
N
N
N
Republic of Venezuela
N/A
Venezuela Government International Bond
P17625AC1
23750000.00000000
PA
USD
3681250.00000000
0.084523773160
Long
DBT
NUSS
VE
Y
3
2022-08-23
Fixed
12.75000000
Y
N
N
N
N
N
Israel Electric Corp Ltd
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
000000000
2500000000.00000000
PA
28856851.47000000
0.662571128765
Long
DBT
CORP
IL
N
3
2032-01-14
Fixed
4.10000000
N
N
N
N
N
N
LIRAQUEAR 12/27 FIXED 4.5
N/A
LIRAQUEAR 12/27 FIXED 4.5
000000000
895375.26000000
PA
748750.62000000
0.017191776586
Long
DBT
CORP
US
N
3
2027-12-30
Fixed
4.50000000
N
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2006-D
126685DT0
1704320.68000000
PA
USD
1628376.32000000
0.037388525824
Long
ABS-O
CORP
US
N
2
2036-05-15
Floating
1.86000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
18700000.00000000
PA
USD
18700000.00000000
0.429363547190
Long
DBT
NUSS
BH
Y
2
2044-09-19
Fixed
6.00000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
LEBANON GAP PUT
000000000
24000000.00000000
OU
Notional Amount
USD
-3000.00000000
-0.00006888185
N/A
DCR
LB
N
3
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Purchased
LEBANON GAP PUT
LEBANON GAP PUT
1.00000000
100.00000000
USD
2020-03-10
XXXX
358332.72000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Philippines Credit Linked Put Option Swap
000000000
9746000.00000000
OU
Notional Amount
USD
96921.06000000
0.002225367386
N/A
DCR
PH
N
3
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Purchased
Philippines Credit Linked Put Option Swap
Philippines Credit Linked Put Option Swap
1.00000000
1.00000000
USD
2021-01-20
XXXX
79906.27000000
N
N
N
Israel Electric Corp Ltd
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
M60170AC7
12323000.00000000
PA
USD
17621890.00000000
0.404609475861
Long
DBT
CORP
IL
Y
2
2096-12-15
Fixed
8.10000000
N
N
N
N
N
N
Republic of Venezuela
N/A
Venezuela Government International Bond
P17625AA5
172793000.00000000
PA
USD
26782915.00000000
0.614952266764
Long
DBT
NUSS
VE
Y
3
2023-05-07
Fixed
9.00000000
Y
N
N
N
N
N
RUSSIAN FTO EURO NON-PERFORMIN G LOAN PARTICIPATION W/GML
N/A
RUSSIAN FTO EURO NON-PERFORMIN G LOAN PARTICIPATION W/GML
000000000
76893500.26000000
PA
2.55000000
0.000000058549
Long
DBT
NUSS
RU
N
3
2050-01-01
None
0.00000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
529900F3MBW9XY5K1X07
OCP SA
000000000
14500000.00000000
PA
USD
19099218.75000000
0.438529856206
Long
DBT
CORP
MA
Y
2
2044-04-25
Fixed
6.88000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
3700000.00000000
PA
4595192.52000000
0.105508457775
Long
DBT
NUSS
UA
N
2
2026-06-20
Fixed
6.75000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114GY0
27500000.00000000
PA
USD
11120312.50000000
0.255329241757
Long
DBT
NUSS
AR
N
2
2046-04-22
Fixed
7.63000000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA (TRANCHE C2
000000000
15833333.34000000
PA
USD
14645833.34000000
0.336277377241
Long
DBT
NUSS
US
N
3
2024-08-30
Fixed
7.50000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
10786556.92000000
PA
USD
6215753.43000000
0.142717536960
Long
DBT
NUSS
AR
N
2
2033-12-31
Fixed
8.28000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
9100000.00000000
PA
USD
9129859.83000000
0.209627219356
Long
DBT
CORP
ZA
Y
2
2025-02-11
Fixed
7.13000000
N
N
N
N
N
N
NTL ROAD OPERAT & CONSTR
N/A
National Road Operating & Constructing Co Ltd
P7080CAB0
11400000.00000000
PA
USD
13680000.00000000
0.314101247356
Long
DBT
CORP
JM
Y
3
2024-11-10
Fixed
9.38000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEE4
7600000.00000000
PA
USD
7524000.00000000
0.172755686046
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.88000000
N
N
N
N
N
N
INTERNATIONAL BANK OF AZ
549300Y3ZQ0BCCDJGI40
International Bank of Azerbaijan OJSC
000000000
10900000.00000000
PA
USD
10559375.00000000
0.242449770380
Long
DBT
CORP
AZ
Y
2
2024-09-01
Fixed
3.50000000
N
N
N
N
N
N
SOCIALIST REP OF VIETNAM
5493008AE7RS4XK4BZ08
Vietnam Government International Bond
000000000
6498000.00000000
PA
USD
5864445.00000000
0.134651278476
Long
DBT
NUSS
VN
N
3
2028-03-13
Floating
2.85000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828WC0
40000000.00000000
PA
USD
40142187.60000000
0.921689414969
Long
DBT
UST
US
N
1
2020-10-31
Fixed
1.75000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
49600000.00000000
PA
USD
59693600.00000000
1.370601916608
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299BB9
11500000.00000000
PA
USD
14155781.25000000
0.325025478649
Long
DBT
NUSS
PA
N
2
2053-04-29
Fixed
4.30000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
22500000.00000000
PA
USD
5271975.00000000
0.121047801427
Long
DBT
NUSS
LB
N
2
2034-05-17
Fixed
8.25000000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Listrik Negara PT
71568QAH0
14200000.00000000
PA
USD
18825224.00000000
0.432238767556
Long
DBT
CORP
ID
Y
2
2049-01-25
Fixed
6.25000000
N
N
N
N
N
N
POWER FINANCE CORP LTD
3358003Q6D9LIJJZ1614
Power Finance Corp Ltd
73928QAB4
15000000.00000000
PA
USD
15019350.00000000
0.344853550400
Long
DBT
CORP
IN
N
2
2030-04-23
Fixed
3.95000000
N
N
N
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
Republic of Uzbekistan Bond
000000000
7200000.00000000
PA
USD
7929000.00000000
0.182054736132
Long
DBT
NUSS
UZ
Y
2
2029-02-20
Fixed
5.38000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CH7
12200000.00000000
PA
USD
14097466.00000000
0.323686524500
Long
DBT
NUSS
ID
N
2
2029-02-11
Fixed
4.75000000
N
N
N
N
N
N
Republic of Belarus
635400CVCOWYLHF4ZB08
Republic of Belarus International Bond
000000000
3700000.00000000
PA
USD
3960156.25000000
0.090927632883
Long
DBT
NUSS
BY
Y
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
FEDERAL REP OF ETHIOPIA
N/A
Ethiopia International Bond
000000000
4190000.00000000
PA
USD
4436162.50000000
0.101857030316
Long
DBT
NUSS
ET
Y
2
2024-12-11
Fixed
6.63000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
30050000.00000000
PA
USD
35083375.00000000
0.805535953872
Long
DBT
NUSS
BH
Y
2
2047-09-20
Fixed
7.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.53 %
000000000
30000000.00000000
OU
Notional Amount
-3981552.03000000
-0.09141889320
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-01-24
26306.34000000
EUR
0.00000000
EUR
30000000.00000000
EUR
-4010453.97000000
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216JAE5
7500000.00000000
PA
USD
7621875.00000000
0.175002956483
Long
DBT
NUSS
IN
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
9128285H9
87500000.00000000
PA
USD
87508230.25000000
2.009243002594
Long
DBT
UST
US
N
1
2020-10-31
Floating
1.56000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-EMS31V1-5Y
000000000
199000000.00000000
OU
Notional Amount
USD
10116165.00000000
0.232273395099
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.EM.S31.V1
2I65BZDL3
Y
buy protection
2024-06-21
6218750.00000000
USD
0.00000000
USD
199000000.00000000
USD
3897415.00000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
221131.09000000
0.005077306374
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
13718863.90000000
USD
1500000000.00000000
JPY
2020-04-17
221131.09000000
N
N
N
PERU ENHANCED PASS-THRU
N/A
Peru Enhanced Pass-Through Finance Ltd
000000000
10543088.54000000
PA
USD
9891209.38000000
0.227108275155
Long
DBT
CORP
KY
Y
3
2025-06-02
None
0.00000000
N
N
N
N
N
N
1MDB GLOBAL INVESTMENTS
N/A
1MDB Global Investments Ltd
000000000
7700000.00000000
PA
USD
7489453.51000000
0.171962477303
Long
DBT
CORP
VG
Y
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
KAZAKHSTAN TEMIR ZHOLY
N/A
Kazakhstan Temir Zholy Finance BV
000000000
9000000.00000000
PA
USD
12529687.50000000
0.287689362042
Long
DBT
CORP
NL
Y
2
2042-07-10
Fixed
6.95000000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
263000000.00000000
PA
14123890.38000000
0.324293244582
Long
DBT
NUSS
XX
Y
2
2029-02-15
None
0.00000000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
Angolan Government International Bond
000000000
12700000.00000000
PA
USD
12922250.00000000
0.296702839448
Long
DBT
NUSS
AO
Y
2
2048-05-08
Fixed
9.38000000
N
N
N
N
N
N
Republic of Zambia
N/A
Zambia Government International Bond
000000000
3000000.00000000
PA
USD
1965937.50000000
0.045139138960
Long
DBT
NUSS
ZM
Y
2
2027-07-30
Fixed
8.97000000
N
N
N
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
P37110AM8
3600000.00000000
PA
USD
3714187.68000000
0.085280042631
Long
DBT
CORP
CL
Y
2
2047-09-14
Fixed
4.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCL4
27884000.00000000
PA
USD
25812218.80000000
0.592664482611
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
901808.16000000
0.020706072217
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
106000000.00000000
TRY
17558969.31000000
USD
2020-04-16
901808.16000000
N
N
N
Republic of Sri Lanka
N/A
Sri Lanka Government International Bond
Y8137FAH1
10844000.00000000
PA
USD
9880564.82000000
0.226863869484
Long
DBT
NUSS
LK
Y
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
CHAD A
N/A
CHAD A
000000000
5772255.34000000
PA
USD
4914498.20000000
0.112839913359
Long
DBT
NUSS
US
N
3
2025-09-30
Variable
3.89000000
N
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2005-F
126685AK2
2353106.61000000
PA
USD
2282561.18000000
0.052409014167
Long
ABS-O
CORP
US
N
2
2035-12-15
Floating
1.90000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Brazil Credit Linked Put Option Swap
000000000
100000000.00000000
OU
Notional Amount
USD
409289.30000000
0.009397535062
N/A
DCR
BR
N
3
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Purchased
Brazil Credit Linked Put Option Swap
Brazil Credit Linked Put Option Swap
1.00000000
1.00000000
USD
2024-04-15
XXXX
409289.30000000
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299AT1
7951000.00000000
PA
USD
11040361.05000000
0.253493507095
Long
DBT
NUSS
PA
N
2
2034-04-28
Fixed
8.13000000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Listrik Negara PT
71568QAF4
6100000.00000000
PA
USD
7914750.00000000
0.181727547332
Long
DBT
CORP
ID
Y
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
TAJIKISTAN INT BOND
529900W1LSYUF3CYVU10
Republic of Tajikistan International Bond
000000000
10770000.00000000
PA
USD
9003046.88000000
0.206715515717
Long
DBT
NUSS
TJ
Y
2
2027-09-14
Fixed
7.13000000
N
N
N
N
N
N
ELECTRICIDAD DE CARACAS
N/A
CA La Electricidad de Caracas
000000000
111465000.00000000
PA
USD
5015925.00000000
0.115168735317
Long
DBT
CORP
VE
N
3
2018-04-10
Fixed
8.50000000
Y
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
LEBAN CDS USD SR 5Y D14
000000000
3750000.00000000
OU
Notional Amount
USD
2870912.94000000
0.065917933882
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Lebanon Government International Bond
Lebanon Government International Bond
Y
buy protection
2024-12-21
1725000.00000000
USD
0.00000000
USD
3750000.00000000
USD
1145912.94000000
N
N
N
EXPORT CREDIT BANK OF TU
789000JVRVYLAXGDWR11
Export Credit Bank of Turkey
000000000
12400000.00000000
PA
USD
12264375.00000000
0.281597623212
Long
DBT
NUSS
TR
Y
2
2024-05-03
Fixed
6.13000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
10750000.00000000
PA
USD
10021015.63000000
0.230088706810
Long
DBT
NUSS
NG
Y
2
2047-11-28
Fixed
7.63000000
N
N
N
N
N
N
Republic of Ecuador
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
10700000.00000000
PA
USD
7918000.00000000
0.181802169339
Long
DBT
NUSS
EC
Y
2
2027-06-02
Fixed
9.63000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BR5
7800000.00000000
PA
USD
10044937.50000000
0.230637967717
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.63000000
N
N
N
N
N
N
Pertamina Persero PT
254900NDAKGNZ2IBBL45
Pertamina Persero PT
000000000
8100000.00000000
PA
USD
9800716.50000000
0.225030502751
Long
DBT
CORP
ID
Y
2
2043-05-20
Fixed
5.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RV2
10000000.00000000
PA
USD
12903125.00000000
0.296263717638
Long
DBT
UST
US
N
1
2047-02-15
Fixed
3.00000000
N
N
N
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
000000000
4300000.00000000
PA
USD
5006812.50000000
0.114959506690
Long
DBT
NUSS
BM
Y
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
KONDOR FINANCE PLC (NAK)
N/A
NAK Naftogaz Ukraine via Kondor Finance PLC
50050MAB1
8000000.00000000
PA
USD
8354000.00000000
0.191812998568
Long
DBT
CORP
GB
N
2
2026-11-08
Fixed
7.63000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
Y20721AJ8
43091000.00000000
PA
USD
60596718.75000000
1.391338080781
Long
DBT
NUSS
ID
Y
2
2037-02-17
Fixed
6.63000000
N
N
N
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
85227SBB1
26800000.00000000
PA
USD
25160242.00000000
0.577694692689
Long
DBT
NUSS
LK
N
2
2030-03-28
Fixed
7.55000000
N
N
N
N
N
N
REPUBLIC OF ANGOLA (TRANCHE 3) LANG0523 A3
N/A
REPUBLIC OF ANGOLA (TRANCHE 3) LANG0523 A3
000000000
5074500.00000000
PA
USD
5023755.00000000
0.115348516952
Long
DBT
NUSS
US
N
3
2023-12-20
Variable
8.55000000
N
N
N
N
N
N
Republic of Azerbaijan
N/A
Republic of Azerbaijan International Bond
000000000
20300000.00000000
PA
USD
22126916.77000000
0.508047672340
Long
DBT
NUSS
AZ
Y
2
2029-09-01
Fixed
5.13000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
ARGENT CDS USD SR 5Y D14
000000000
10000000.00000000
OU
Notional Amount
USD
6169035.14000000
0.141644856174
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Argentine Republic Government International Bond
Argentine Republic Government International Bond
Y
buy protection
2024-06-21
1476726.78000000
USD
0.00000000
USD
10000000.00000000
USD
4692308.36000000
N
N
N
Republic of Sri Lanka
N/A
Sri Lanka Government International Bond
Y8137FAF5
9280000.00000000
PA
USD
8989350.40000000
0.206401036079
Long
DBT
NUSS
LK
Y
2
2026-07-18
Fixed
6.83000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
6585000.00000000
PA
USD
7167772.50000000
0.164576482676
Long
DBT
NUSS
UA
Y
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
28300000.00000000
PA
31241789.37000000
0.717330775640
Long
DBT
NUSS
CI
Y
2
2048-03-22
Fixed
6.63000000
N
N
N
N
N
N
TRANSJAMAICAN HIGHWAY
N/A
TransJamaican Highway Ltd
893727AA5
5300000.00000000
PA
USD
5459000.00000000
0.125342010915
Long
DBT
CORP
JM
N
2
2036-10-10
Fixed
5.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
JPY-USD XCCY SWAP -0.2175%
000000000
1.00000000
NC
N/A
-5520987.00000000
-0.12676527071
N/A
DFE
JP
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
0.00000000
JPY
14852761000.00000000
USD
2025-04-28
-5520987.00000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
6585000.00000000
PA
USD
7118385.00000000
0.163442515180
Long
DBT
NUSS
UA
Y
2
2023-09-01
Fixed
7.75000000
N
N
N
N
N
N
TRINIDAD PETROLEUM HOLDI
5493004LGJQF7TV6GH26
Trinidad Petroleum Holdings Ltd
000000000
4900000.00000000
PA
USD
5546800.00000000
0.127357953131
Long
DBT
CORP
TT
Y
2
2026-06-15
Fixed
9.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
RUSSIA CDS USD SR 10Y D14
000000000
2436000.00000000
OU
Notional Amount
USD
-6081.61000000
-0.00013963752
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Russian Foreign Bond - Eurobond
Russian Foreign Bond - Eurobond
Y
sell protection
2025-12-23
0.00000000
USD
-238040.57000000
USD
2436000.00000000
USD
231958.96000000
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
20800000.00000000
PA
USD
26910000.00000000
0.617870216839
Long
DBT
NUSS
RU
Y
2
2047-06-23
Fixed
5.25000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Brazil Credit Linked Put Option Swap
000000000
50797000.00000000
OU
Notional Amount
USD
477153.02000000
0.010955727979
N/A
DCR
BR
N
3
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Purchased
Brazil Credit Linked Put Option Swap
Brazil Credit Linked Put Option Swap
1.00000000
1.00000000
USD
2024-04-15
XXXX
509303.83000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828P87
15000000.00000000
PA
USD
15007031.25000000
0.344570704294
Long
DBT
UST
US
N
1
2021-02-28
Fixed
1.13000000
N
N
N
N
N
N
2020-03-18
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer