0001752724-21-222906.txt : 20211022
0001752724-21-222906.hdr.sgml : 20211022
20211022132542
ACCESSION NUMBER: 0001752724-21-222906
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210831
FILED AS OF DATE: 20211022
PERIOD START: 20220228
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: 211339941
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
C000013330
Class VI
GMOQX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000772129
XXXXXXXX
S000004922
C000013327
C000013330
C000013328
GMO TRUST
811-04347
0000772129
549300Y2Q6TQD4HU5C66
40 ROWES WHARF
BOSTON
02110
617-346-7646
GMO Emerging Country Debt Fund
S000004922
YNMTZW424II1WNE1YT44
2022-02-28
2021-08-31
N
4563830671.99
66372119.89
4497458552.10
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
38040922.20000000
0.00000000
0.00000000
32015671.47000000
EUR
GBP
JPY
USD
N
REPUBLIC OF ANGOLA (TRANCHE 3) LANG0523 A3
N/A
REPUBLIC OF ANGOLA (TRANCHE 3)
000000000
5202980.74000000
PA
USD
4994861.51000000
0.111059645178
Long
DBT
NUSS
US
N
3
2023-12-20
Variable
8.55000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325AQ8
3800000.00000000
PA
USD
5908240.00000000
0.131368414662
Long
DBT
NUSS
CO
N
3
2028-03-09
Fixed
11.85000000
N
N
N
N
N
N
COMMONWEALTH OF BAHAMAS
549300W13SXC7EKNJC20
Bahamas Government International Bond
000000000
1000000.00000000
PA
USD
1087062.50000000
0.024170595179
Long
DBT
NUSS
BS
Y
2
2032-10-15
Fixed
8.95000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
13000000.00000000
PA
USD
12738375.00000000
0.283234961532
Long
DBT
NUSS
GH
Y
2
2051-03-26
Fixed
8.95000000
N
N
N
N
N
N
BNQ CEN TUNISIA INT BOND
254900B5LFB16S9T2T11
Banque Centrale de Tunisie International Bond
000000000
7340000000.00000000
PA
42045793.76000000
0.934878960482
Long
DBT
NUSS
TN
N
3
2030-08-02
Fixed
4.30000000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568QAH0
14200000.00000000
PA
USD
18285162.50000000
0.406566559495
Long
DBT
CORP
ID
Y
2
2049-01-25
Fixed
6.25000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
5400000.00000000
PA
USD
5616000.00000000
0.124870522650
Long
DBT
NUSS
OM
Y
2
2051-01-25
Fixed
7.00000000
N
N
N
N
N
N
Republic of Guatemala
N/A
Guatemala Government Bond
P8056GAB9
1965000.00000000
PA
USD
2731350.00000000
0.060730965463
Long
DBT
NUSS
GT
Y
2
2034-10-06
Fixed
8.13000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
2000000.00000000
PA
USD
777000.00000000
0.017276423806
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HU7
61222437.00000000
PA
USD
25009365.51000000
0.556077731907
Long
DBT
NUSS
AR
N
2
2038-01-09
Variable
2.00000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
15550000.00000000
PA
USD
15596650.00000000
0.346788076406
Long
DBT
NUSS
NG
Y
2
2047-11-28
Fixed
7.63000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
E57ODZWZ7FF32TWEFA76
CDX-EMS35V1-5Y
000000000
38000000.00000000
OU
Notional Amount
USD
828666.00000000
0.018425205933
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.EM.S35.V1
2I65BZEA6
Y
buy protection
2026-06-21
897750.00000000
USD
0.00000000
USD
38000000.00000000
USD
-69084.00000000
N
N
N
DAE SUKUK DIFC LTD
635400AMGMPG1J5EQD94
DAE Sukuk Difc Ltd
000000000
3100000.00000000
PA
USD
3289875.00000000
0.073149645780
Long
DBT
CORP
AE
Y
2
2026-02-15
Fixed
3.75000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
19900000.00000000
PA
USD
26135864.00000000
0.581125177636
Long
DBT
CORP
KZ
Y
2
2048-10-24
Fixed
6.38000000
N
N
N
N
N
N
JP Morgan Securities
K6Q0W1PS1L1O4IQL9C32
REVERSE REPO JPM CHASE
000000000
-1191491.79000000
PA
USD
-1191491.79000000
-0.02649255743
Short
RA
CORP
US
N
2
Reverse repurchase
N
-0.05000000
2022-08-02
1000000.00000000
USD
1188750.00000000
USD
CDS
N
N
N
Republic of Senegal
549300NP14ZLQGWIUZ97
Senegal Government International Bond
000000000
8800000.00000000
PA
USD
9142650.00000000
0.203284808388
Long
DBT
NUSS
SN
Y
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BM6
26100000.00000000
PA
USD
30468487.50000000
0.677460106570
Long
DBT
NUSS
CO
N
2
2041-01-18
Fixed
6.13000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
MEX CDS USD SR 10Y D14
000000000
20000000.00000000
OU
Notional Amount
USD
438276.39000000
0.009744978968
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
UNITED MEXICAN STATES
UNITED MEXICAN STATES
Y
buy protection
2029-06-21
1589641.33000000
USD
0.00000000
USD
20000000.00000000
USD
-1151364.94000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
TURKEY CDS USD SR 5Y D14
000000000
15000000.00000000
OU
Notional Amount
USD
1679651.39000000
0.037346678586
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
REPUBLIC OF TURKEY
REPUBLIC OF TURKEY
Y
buy protection
2026-06-21
2501283.73000000
USD
0.00000000
USD
15000000.00000000
USD
-821632.34000000
N
N
N
PT PERTAMINA (PERSERO)
529900FWX0GRR7WG5W79
Pertamina Persero PT
Y7138AAB6
13300000.00000000
PA
USD
17550181.25000000
0.390224413336
Long
DBT
CORP
ID
Y
2
2041-05-27
Fixed
6.50000000
N
N
N
N
N
N
GTLK EUROPE CAPITAL DAC
635400I6H6CSZ39WIN49
Gtlk Europe Capital DAC
000000000
21870000.00000000
PA
USD
23045512.50000000
0.512411892917
Long
DBT
CORP
IE
Y
2
2027-03-10
Fixed
4.65000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
740189000.00000000
PA
21655.99000000
0.000481516166
Long
DBT
NUSS
AR
N
3
2035-12-15
Variable
0.00000000
N
Y
N
N
N
N
Chad A
N/A
Chad A
000000000
6509091.47000000
PA
USD
5288636.82000000
0.117591674469
Long
DBT
NUSS
US
N
3
2025-09-30
Variable
3.89000000
N
N
N
N
N
N
ORYX FUNDING LTD
549300S728CF0BBRC295
Oryx Funding Ltd
000000000
7300000.00000000
PA
USD
7719750.00000000
0.171646940390
Long
DBT
CORP
KY
Y
2
2031-02-03
Fixed
5.80000000
N
N
N
N
N
N
FIN DEPT GOVT SHARJAH
254900ZNL8O3F1CLJO24
Finance Department Government of Sharjah
000000000
28300000.00000000
PA
USD
27026500.00000000
0.600928272866
Long
DBT
NUSS
AE
Y
2
2051-03-10
Fixed
4.38000000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
000000000
30400000.00000000
PA
USD
34367200.00000000
0.764147120020
Long
DBT
NUSS
KE
Y
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DR0
26700000.00000000
PA
USD
23409225.00000000
0.520498960219
Long
DBT
NUSS
PE
N
2
2121-07-28
Fixed
3.23000000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
000000000
8100000.00000000
PA
USD
9789862.50000000
0.217675435728
Long
DBT
CORP
ID
Y
2
2043-05-20
Fixed
5.63000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
131800000.00000000
PA
USD
125921720.00000000
2.799841700402
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
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
8935608.07000000
PA
USD
4090699.04000000
0.090955791868
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
0.30000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
5600000.00000000
PA
USD
5965050.00000000
0.132631572495
Long
DBT
NUSS
SA
Y
2
2055-01-21
Fixed
3.75000000
N
N
N
N
N
N
EQUATE PETROCHEMICAL BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
000000000
4100000.00000000
PA
USD
4161500.00000000
0.092530035614
Long
DBT
CORP
NL
Y
2
2028-04-28
Fixed
2.63000000
N
N
N
N
N
N
INDONESIA ASAHAN ALUMINI
2549008P48EB9SN2OI80
Indonesia Asahan Aluminium Persero PT
000000000
3700000.00000000
PA
USD
4312350.00000000
0.095884152128
Long
DBT
CORP
ID
Y
2
2030-05-15
Fixed
5.45000000
N
N
N
N
N
N
REPUBLIC OF VENEZUELA
N/A
Venezuela Government International Bond
P97475AG5
36600000.00000000
PA
USD
3660000.00000000
0.081379293607
Long
DBT
NUSS
VE
Y
3
2020-12-09
None
0.00000000
Y
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
10700000.00000000
PA
USD
10952787.50000000
0.243532816881
Long
DBT
NUSS
NG
Y
2
2038-02-23
Fixed
7.70000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDF6
22986000.00000000
PA
USD
20105854.20000000
0.447049238299
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
KAZAKHSTAN TEMIR ZHOLY
N/A
Kazakhstan Temir Zholy Finance BV
000000000
9000000.00000000
PA
USD
12598875.00000000
0.280133209768
Long
DBT
CORP
NL
Y
2
2042-07-10
Fixed
6.95000000
N
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2006-D
126685DT0
1075098.10000000
PA
USD
1023842.58000000
0.022764914187
Long
ABS-O
CORP
US
N
2
2036-05-15
Floating
0.30000000
N
N
N
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
800000.00000000
PA
USD
511150.00000000
0.011365307630
Long
DBT
NUSS
LK
Y
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
P37110AM8
23750000.00000000
PA
USD
24556015.63000000
0.545997597210
Long
DBT
CORP
CL
Y
2
2047-09-14
Fixed
4.50000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
3869000.00000000
PA
USD
4303778.88000000
0.095693575163
Long
DBT
NUSS
UA
Y
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
000000000
10700000.00000000
PA
USD
10996256.25000000
0.244499334960
Long
DBT
NUSS
AE
Y
2
2049-09-30
Fixed
3.13000000
N
N
N
N
N
N
REP OF ANGOLA(AVENIR II)
724500CRIYMKEWLTHZ15
Republic of Angola Via Avenir II BV
000000000
585000.00000000
PA
USD
576225.00000000
0.012812235917
Long
DBT
CORP
NL
Y
3
2023-12-07
Floating
4.66000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
2800000.00000000
PA
USD
2993830.00000000
0.066567150432
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.88000000
N
N
N
N
N
N
QNB Finansbank AS/Turkey
789000Q21SW842S9IJ58
QNB Finansbank AS
000000000
13378000.00000000
PA
USD
14597070.25000000
0.324562640898
Long
DBT
CORP
TR
Y
2
2024-09-07
Fixed
6.88000000
N
N
N
N
N
N
COSTA RICA GOVERNMENT
N/A
Costa Rica Government International Bond
P3699PGJ0
34731000.00000000
PA
USD
36213579.56000000
0.805200962732
Long
DBT
NUSS
CR
Y
2
2045-03-12
Fixed
7.16000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
56796000.00000000
PA
88471425.11000000
1.967142644787
Long
DBT
NUSS
MX
N
2
2114-03-19
Fixed
5.63000000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370RAJ6
8200000.00000000
PA
USD
8419350.00000000
0.187202392250
Long
DBT
CORP
ID
Y
2
2060-02-25
Fixed
4.15000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
30200000.00000000
PA
USD
32272475.00000000
0.717571371167
Long
DBT
NUSS
UA
Y
2
2032-09-25
Fixed
7.38000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299BB9
9000000.00000000
PA
USD
10067625.00000000
0.223851423717
Long
DBT
NUSS
PA
N
2
2053-04-29
Fixed
4.30000000
N
N
N
N
N
N
GMR HYDERABAD INTERNATIO
335800NSPGIN89SVOU83
GMR Hyderabad International Airport Ltd
000000000
16440000.00000000
PA
USD
15841995.00000000
0.352243268425
Long
DBT
CORP
IN
Y
2
2027-10-27
Fixed
4.25000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentina Bonar Bonds
000000000
605342.00000000
PA
USD
213399.88000000
0.004744899314
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
REPUBLIC OF VENEZUELA
N/A
Venezuela Government International Bond
P17625AC1
23750000.00000000
PA
USD
2375000.00000000
0.052807601726
Long
DBT
NUSS
VE
Y
3
2022-08-23
None
0.00000000
Y
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
Zambia Government International Bond
000000000
3600000.00000000
PA
USD
2736000.00000000
0.060834357188
Long
DBT
NUSS
ZM
Y
2
2022-09-20
Fixed
5.38000000
N
Y
N
N
N
N
REPUBLIC OF VENEZUELA
N/A
Venezuela Government International Bond
P17625AD9
68700000.00000000
PA
USD
6955875.00000000
0.154662348066
Long
DBT
NUSS
VE
Y
3
2031-08-05
None
0.00000000
Y
N
N
N
N
N
ECUADOR SOCIAL BOND SARL
5493006P8FVL2JCVBP02
Ecuador Social Bond Sarl
000000000
16931371.57000000
PA
USD
13640336.22000000
0.303289870534
Long
DBT
CORP
LU
Y
2
2035-01-30
None
0.00000000
N
N
N
N
N
N
REPUBLIC OF ARMENIA
5299000H77JSW90G7935
Republic of Armenia International Bond
000000000
5700000.00000000
PA
USD
5417850.00000000
0.120464701058
Long
DBT
NUSS
AM
Y
2
2031-02-02
Fixed
3.60000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
Y20721AJ8
8091000.00000000
PA
USD
11323860.19000000
0.251783536386
Long
DBT
NUSS
ID
Y
2
2037-02-17
Fixed
6.63000000
N
N
N
N
N
N
TAJIKISTAN INT BOND
529900W1LSYUF3CYVU10
Republic of Tajikistan International Bond
000000000
13874000.00000000
PA
USD
12558571.38000000
0.279237067657
Long
DBT
NUSS
TJ
Y
2
2027-09-14
Fixed
7.13000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
REPSOU CDS USD SR 2Y D14
000000000
35900000.00000000
OU
Notional Amount
USD
-210694.82000000
-0.00468475290
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2023-06-21
120140.35000000
USD
0.00000000
USD
35900000.00000000
USD
-330835.17000000
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
20800000.00000000
PA
USD
26913900.00000000
0.598424636674
Long
DBT
NUSS
RU
Y
2
2047-06-23
Fixed
5.25000000
N
N
N
N
N
N
REPUBLIC OF SRPSKA BOND
N/A
Republic of Srpska Treasury Bond
000000000
9600000.00000000
PA
11666759.16000000
0.259407819435
Long
DBT
NUSS
BA
Y
2
2026-04-27
Fixed
4.75000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CB4
12100000.00000000
PA
USD
11455675.00000000
0.254714409644
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
225000000.00000000
PA
9077191.78000000
0.201829359289
Long
DBT
NUSS
XX
N
2
2041-02-25
None
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZR4
80500000.00000000
PA
USD
80531444.91000000
1.790598934422
Long
DBT
UST
US
N
1
2022-05-31
Fixed
0.13000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
8246892.00000000
PA
USD
4649185.37000000
0.103373612366
Long
DBT
NUSS
EC
Y
2
2030-07-31
None
0.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentina Bonar Bonds
000000000
10786557.00000000
PA
USD
3958457.16000000
0.088015422802
Long
DBT
NUSS
AR
N
2
2038-01-09
Variable
2.00000000
N
N
N
N
N
N
JP Morgan Securities
K6Q0W1PS1L1O4IQL9C32
REVERSE REPO JPM CHASE
000000000
-6447000.00000000
PA
USD
-6447000.00000000
-0.14334762455
Short
RA
CORP
US
N
2
Reverse repurchase
N
-0.50000000
2022-07-08
7000000.00000000
USD
6370070.00000000
USD
CDS
N
N
N
COMMONWEALTH OF BAHAMAS
549300W13SXC7EKNJC20
Bahamas Government International Bond
000000000
14600000.00000000
PA
USD
15871112.50000000
0.352890689622
Long
DBT
NUSS
BS
Y
2
2032-10-15
Fixed
8.95000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GHANA CDS USD SR 3Y D14
000000000
7500000.00000000
OU
Notional Amount
USD
-62806.01000000
-0.00139647779
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
REPUBLIC OF GHANA
REPUBLIC OF GHANA
Y
buy protection
2024-06-21
58679.86000000
USD
0.00000000
USD
7500000.00000000
USD
-121485.87000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
334073000.00000000
PA
584548.04000000
0.012997296878
Long
DBT
NUSS
AR
N
3
2038-12-31
Fixed
0.67000000
N
Y
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-304994.15000000
-0.00678147772
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
66311000.00000000
GBP
90872594.40000000
USD
2021-10-21
-304994.15000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
2800000.00000000
PA
USD
2769900.00000000
0.061588116219
Long
DBT
NUSS
EG
Y
2
2048-02-21
Fixed
7.90000000
N
N
N
N
N
N
Saka Energi Indonesia PT
25490049636XFM5KBR83
Saka Energi Indonesia PT
000000000
46000000.00000000
PA
USD
43263000.00000000
0.961943273046
Long
DBT
CORP
ID
Y
2
2024-05-05
Fixed
4.45000000
N
N
N
N
N
N
REPUBLIC OF SURINAME INT
254900SYU4G5JM13TN77
Suriname Government International Bond
000000000
14000000.00000000
PA
USD
9003750.00000000
0.200196397491
Long
DBT
NUSS
SR
Y
2
2023-12-30
Fixed
12.88000000
N
Y
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Brazil Credit Linked Put Option Swap
000000000
50797000.00000000
OU
Notional Amount
USD
290959.29000000
0.006469415707
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
323110.10000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-EMS35V1-5Y
000000000
105000000.00000000
OU
Notional Amount
USD
2289735.00000000
0.050911753237
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.EM.S35.V1
2I65BZEA6
Y
buy protection
2026-06-21
3344999.99000000
USD
0.00000000
USD
105000000.00000000
USD
-1055264.99000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Commonwealth of Bahamas
000000000
3487000.00000000
OU
Notional Amount
USD
-147141.64000000
-0.00327166194
N/A
DCR
BS
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
COMMONWEALTH OF BAHAMAS
COMMONWEALTH OF BAHAMAS
Y
sell protection
2023-06-21
0.00000000
USD
-641462.96000000
USD
3487000.00000000
USD
494321.32000000
N
N
N
CNAC HK FINBRIDGE CO LTD
549300US1UQ7R7WABI28
CNAC HK Finbridge Co Ltd
000000000
7500000.00000000
PA
USD
7571718.75000000
0.168355498161
Long
DBT
CORP
HK
Y
2
2030-09-22
Fixed
3.00000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Commonwealth of Bahamas
000000000
37970814.53000000
OU
Notional Amount
2352442.96000000
0.052306050911
N/A
DCR
BS
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
COMMONWEALTH OF BAHAMAS
COMMONWEALTH OF BAHAMAS
Y
buy protection
2025-06-21
3960552.96000000
EUR
0.00000000
EUR
37970814.53000000
EUR
-2800896.02000000
N
N
N
Republic of Belarus
635400CVCOWYLHF4ZB08
Republic of Belarus International Bond
000000000
9800000.00000000
PA
USD
8540700.00000000
0.189900582763
Long
DBT
NUSS
BY
Y
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
191150000.00000000
PA
2742717.12000000
0.060983710871
Long
DBT
CORP
ZA
N
2
2032-12-31
None
0.00000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
21000000.00000000
PA
USD
2583000.00000000
0.057432435898
Long
DBT
NUSS
LB
N
2
2033-05-17
None
0.00000000
Y
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
407485275.56000000
PA
1000054.76000000
0.022235997250
Long
DBT
NUSS
AR
N
3
2033-12-31
Fixed
4.33000000
N
Y
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
3800000.00000000
PA
USD
4740500.00000000
0.105403973045
Long
DBT
CORP
KZ
Y
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
BTUN CDS USD SR 1.5Y D14
000000000
19500000.00000000
OU
Notional Amount
USD
938374.73000000
0.020864555373
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
BNQ CEN TUNISIA INT BOND
BNQ CEN TUNISIA INT BOND
Y
buy protection
2022-06-21
2109319.69000000
USD
0.00000000
USD
19500000.00000000
USD
-1170944.96000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
REPSOU CDS USD SR 5Y D14
000000000
41800000.00000000
OU
Notional Amount
USD
1556715.01000000
0.034613215262
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2026-06-21
2604622.13000000
USD
0.00000000
USD
41800000.00000000
USD
-1047907.12000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Commonwealth of Bahamas
000000000
6975000.00000000
OU
Notional Amount
USD
-294325.47000000
-0.00654426197
N/A
DCR
BS
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
COMMONWEALTH OF BAHAMAS
COMMONWEALTH OF BAHAMAS
Y
sell protection
2023-06-21
0.00000000
USD
-1263915.08000000
USD
6975000.00000000
USD
969589.61000000
N
N
N
REPUBLIC OF SURINAME INT
N/A
Suriname Government International Bond
P68788AA9
17559000.00000000
PA
USD
11444078.25000000
0.254456558463
Long
DBT
NUSS
SR
Y
2
2026-10-26
Fixed
9.25000000
N
Y
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BA9
27918000.00000000
PA
USD
37275764.63000000
0.828818413737
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-386762.67000000
-0.00859958275
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
230000000.00000000
ZAR
15328734.71000000
USD
2021-10-29
-386762.67000000
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
000000000
6990000.00000000
PA
USD
8223298.13000000
0.182843222116
Long
DBT
NUSS
BM
Y
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
ACWA POWER MGMT INVST
635400M3OWQGQBZOYO38
Acwa Power Management And Investments One Ltd
000000000
26521591.50000000
PA
USD
31428085.93000000
0.698796566236
Long
DBT
CORP
AE
Y
2
2039-12-15
Fixed
5.95000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
29000000.00000000
PA
36773513.76000000
0.817650976301
Long
DBT
NUSS
CI
Y
2
2048-03-22
Fixed
6.63000000
N
N
N
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
30300000.00000000
PA
USD
19255650.00000000
0.428145135234
Long
DBT
NUSS
LK
Y
2
2030-03-28
Fixed
7.55000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.48 %
000000000
34600000.00000000
OU
Notional Amount
-2331966.92000000
-0.05185077067
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-14
0.00000000
EUR
-46985.04000000
EUR
34600000.00000000
EUR
-2097683.41000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325EA9
12800000.00000000
PA
USD
12288000.00000000
0.273220972637
Long
DBT
NUSS
CO
N
2
2042-02-22
Fixed
4.13000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-13099.29000000
-0.00029125982
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
10600000.00000000
PEN
2575315.84000000
USD
2021-11-18
-13099.29000000
N
N
N
FIN DEPT GOVT SHARJAH
254900ZNL8O3F1CLJO24
Finance Department Government of Sharjah
000000000
18700000.00000000
PA
USD
16993625.00000000
0.377849507741
Long
DBT
NUSS
AE
Y
2
2050-07-28
Fixed
4.00000000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568QAF4
4100000.00000000
PA
USD
5184450.00000000
0.115275103482
Long
DBT
CORP
ID
Y
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
Enel Generacion Chile SA
549300PVHXUFEIE6LY50
Enel Generacion Chile SA
29244TAC5
20411000.00000000
PA
USD
26985383.10000000
0.600014047653
Long
DBT
CORP
CL
N
3
2097-02-01
Fixed
8.13000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAN9
32439000.00000000
PA
USD
35941601.03000000
0.799153580041
Long
DBT
CORP
NL
N
2
2115-06-05
Fixed
6.85000000
N
N
N
N
N
N
Republic of Sri Lanka
N/A
Sri Lanka Government International Bond
Y8137FAH1
11644000.00000000
PA
USD
7479814.50000000
0.166312027411
Long
DBT
NUSS
LK
Y
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HW3
34047000.00000000
PA
USD
11865379.50000000
0.263824098933
Long
DBT
NUSS
AR
N
2
2046-07-09
Variable
1.13000000
N
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2005-F
126685AK2
1475991.04000000
PA
USD
1425010.60000000
0.031684796724
Long
ABS-O
CORP
US
N
2
2035-12-15
Floating
0.34000000
N
N
N
N
N
N
HUTAMA KARYA PERSERO PT
2549009QN3GU8QCI7Q61
Hutama Karya Persero PT
000000000
9200000.00000000
PA
USD
10035475.00000000
0.223136575551
Long
DBT
CORP
ID
Y
2
2030-05-11
Fixed
3.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CAA9
20000000.00000000
PA
USD
20009369.80000000
0.444903928923
Long
DBT
UST
US
N
1
2022-07-31
Floating
0.10000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325AL9
647000.00000000
PA
USD
793181.56000000
0.017636217228
Long
DBT
NUSS
CO
N
2
2027-02-15
Fixed
8.38000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
13600000.00000000
PA
USD
14346300.00000000
0.318986819640
Long
DBT
CORP
ZA
Y
2
2025-02-11
Fixed
7.13000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
10885371.00000000
PA
USD
4408575.26000000
0.098023699583
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
Republic of Sri Lanka
N/A
Sri Lanka Government International Bond
Y8137FAF5
7280000.00000000
PA
USD
4731090.00000000
0.105194743769
Long
DBT
NUSS
LK
Y
2
2026-07-18
Fixed
6.83000000
N
N
N
N
N
N
JP Morgan Securities
K6Q0W1PS1L1O4IQL9C32
REVERSE REPO JPM CHASE
000000000
-9434200.00000000
PA
USD
-9434200.00000000
-0.20976735840
Short
RA
CORP
US
N
2
Reverse repurchase
N
-0.25000000
2022-07-22
8600000.00000000
USD
9270972.00000000
USD
CDS
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GHANA CDS USD SR 2Y D14
000000000
3700000.00000000
OU
Notional Amount
USD
-78381.50000000
-0.00174279538
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
REPUBLIC OF GHANA
REPUBLIC OF GHANA
Y
buy protection
2023-06-21
0.00000000
USD
-112513.74000000
USD
3700000.00000000
USD
34132.24000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BB9
84700000.00000000
PA
USD
85112912.50000000
1.892466856870
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
Ambac Assurance Corp
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
385402.00000000
PA
USD
543416.82000000
0.012082753263
Long
DBT
CORP
US
N
2
2022-06-07
Fixed
5.10000000
N
N
N
N
N
N
Republic of Albania
N/A
Albania Government International Bond
000000000
49649849.00000000
PA
USD
45854979.97000000
1.019575376599
Long
DBT
NUSS
AL
N
3
2025-08-31
None
0.00000000
N
N
N
N
N
N
ISTANBUL METROPOLITAN MU
N/A
Istanbul Metropolitan Municipality
000000000
20100000.00000000
PA
USD
20225625.00000000
0.449712315648
Long
DBT
NUSS
TR
Y
2
2025-12-09
Fixed
6.38000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCL4
27884000.00000000
PA
USD
23489481.60000000
0.522283448038
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
AUTOPISTAS DEL NORDESTE
N/A
Autopistas del Nordeste Cayman Ltd
000000000
8025668.40000000
PA
USD
8271454.49000000
0.183913968170
Long
DBT
CORP
KY
Y
2
2024-04-15
Fixed
9.39000000
N
N
N
N
N
N
EGMV13925 TURKISH HOSPITALS
N/A
EGMV13925 TURKISH HOSPITALS
000000000
31700000.00000000
PA
37055491.73000000
0.823920694337
Long
DBT
NUSS
TR
N
3
2028-06-23
Fixed
8.85000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-116569.96000000
-0.00259190737
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
100499300.00000000
EUR
118661684.24000000
USD
2021-10-21
-116569.96000000
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
112987125.00000000
PA
USD
81491963.91000000
1.811955862760
Long
DBT
NUSS
EC
Y
2
2035-07-31
Variable
1.00000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
9100000.00000000
PA
USD
9263800.00000000
0.205978551946
Long
DBT
NUSS
DO
Y
2
2041-01-21
Fixed
5.30000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
38364000.00000000
PA
USD
38155395.75000000
0.848376817884
Long
DBT
NUSS
EG
Y
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
36603750.00000000
PA
USD
23426400.00000000
0.520880842560
Long
DBT
NUSS
EC
Y
2
2040-07-31
Variable
0.50000000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
000000000
6000000.00000000
PA
USD
6210000.00000000
0.138077981777
Long
DBT
CORP
US
Y
2
2028-03-20
Fixed
3.38000000
N
N
N
N
N
N
REPUBLIC OF MOZAMBIQUE
213800759WLKYIKPER73
Mozambique International Bond
000000000
9276000.00000000
PA
USD
7993593.00000000
0.177735779160
Long
DBT
NUSS
MZ
Y
2
2031-09-15
Variable
5.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
24000000.00000000
PA
USD
23742000.00000000
0.527898139025
Long
DBT
NUSS
EG
Y
2
2048-02-21
Fixed
7.90000000
N
N
N
N
N
N
MV24 CAPITAL BV
N/A
MV24 Capital BV
000000000
21700814.80000000
PA
USD
23630831.02000000
0.525426321249
Long
DBT
CORP
NL
Y
2
2034-06-01
Fixed
6.75000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
61900000.00000000
PA
USD
62936825.00000000
1.399386437271
Long
DBT
NUSS
DO
Y
2
2060-01-30
Fixed
5.88000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAN9
25000000.00000000
PA
USD
27699375.00000000
0.615889500239
Long
DBT
CORP
NL
N
2
2115-06-05
Fixed
6.85000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PETBRA CDS USD SR 5Y D14
000000000
37000000.00000000
OU
Notional Amount
USD
25764.44000000
0.000572866646
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PETROBRAS GLOBAL FINANCE
PETROBRAS GLOBAL FINANCE
Y
buy protection
2024-06-21
1923457.98000000
USD
0.00000000
USD
37000000.00000000
USD
-1897693.54000000
N
N
N
Republic of Congo
N/A
Congolese International Bond
000000000
59851596.00000000
PA
USD
46833873.87000000
1.041340866790
Long
SN
NUSS
CG
Y
3
2029-06-30
Variable
6.00000000
N
N
N
N
N
N
BOLIVIA GOVERNMENT
529900TGIRPY3SZXEB56
Bolivian Government International Bond
000000000
9200000.00000000
PA
USD
8342100.00000000
0.185484755520
Long
DBT
NUSS
BO
Y
2
2028-03-20
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF EL SALVADOR
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
22100000.00000000
PA
USD
18039125.00000000
0.401095969891
Long
DBT
NUSS
SV
Y
2
2050-01-20
Fixed
7.12000000
N
N
N
N
N
N
REPUBLIC OF UZBEKISTAN
213800L6VDKUM3TCM927
Republic of Uzbekistan International Bond
000000000
8000000.00000000
PA
USD
8868000.00000000
0.197178026151
Long
DBT
NUSS
UZ
Y
2
2029-02-20
Fixed
5.38000000
N
N
N
N
N
N
PETRONAS CAPITAL LTD
549300G7YFX3540OYR85
Petronas Capital Ltd
000000000
8400000.00000000
PA
USD
11377044.00000000
0.252966066684
Long
DBT
CORP
MY
Y
2
2060-04-21
Fixed
4.80000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
53605000.00000000
PA
USD
6543160.31000000
0.145485727866
Long
DBT
NUSS
LB
Y
2
2031-11-20
None
0.00000000
Y
N
N
N
N
N
KONDOR FINANCE PLC (NAK)
213800PUC1T9GI6EIO63
NAK Naftogaz Ukraine via Kondor Finance PLC
000000000
15500000.00000000
PA
USD
15914625.00000000
0.353858180473
Long
DBT
CORP
GB
Y
2
2026-11-08
Fixed
7.63000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
20400000.00000000
PA
USD
2550000.00000000
0.056698688169
Long
DBT
NUSS
LB
Y
2
2027-03-23
None
0.00000000
Y
N
N
N
N
N
IRAQ PARISCLUB JPY JPY KANEM
N/A
IRAQ PARISCLUB JPY JPY KANEM
000000000
246124274.00000000
PA
1750599.87000000
0.038924202407
Long
DBT
CORP
JP
N
3
2028-01-01
Fixed
2.57000000
N
N
N
N
N
N
ABU DHABI CRUDE OIL
549300DONDFW2383FV66
Abu Dhabi Crude Oil Pipeline LLC
000000000
4500000.00000000
PA
USD
5400000.00000000
0.120067810240
Long
DBT
CORP
AE
Y
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Philippines Credit Linked Put Option Swap
000000000
9746000.00000000
OU
Notional Amount
USD
61579.68000000
0.001369210617
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
2024-01-24
XXXX
61579.68000000
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
67500000.00000000
PA
USD
67837500.00000000
1.508351866151
Long
DBT
NUSS
SA
Y
2
2061-02-02
Fixed
3.45000000
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
8818034.24000000
PA
USD
3990230.16000000
0.088721888457
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
0.23000000
N
N
N
N
N
N
COMMONWEALTH OF BAHAMAS
549300W13SXC7EKNJC20
Bahamas Government International Bond
000000000
2131000.00000000
PA
USD
2079456.44000000
0.046236255785
Long
DBT
NUSS
BS
Y
2
2028-11-21
Fixed
6.00000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAE5
10500000.00000000
PA
USD
10600406.25000000
0.235697697426
Long
DBT
CORP
MA
N
2
2051-06-23
Fixed
5.13000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HT0
56547942.00000000
PA
USD
19650409.85000000
0.436922533523
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.13000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
16587000.00000000
PA
USD
20280717.56000000
0.450937286582
Long
DBT
NUSS
DO
Y
2
2027-04-20
Fixed
8.63000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
18576250.00000000
PA
USD
16625743.75000000
0.369669749201
Long
DBT
NUSS
EC
Y
2
2030-07-31
Variable
5.00000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
3800000.00000000
PA
USD
4623650.00000000
0.102805839040
Long
DBT
NUSS
RU
Y
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAX9
183600000.00000000
PA
USD
183643032.17000000
4.083262359010
Long
DBT
UST
US
N
1
2022-11-30
Fixed
0.13000000
N
N
N
N
N
N
REPUBLIC OF ANGOLA (TRANCHE 2) LANG0523
N/A
REPUBLIC OF ANGOLA (TRANCHE 2)
000000000
9093750.00000000
PA
USD
8730000.00000000
0.194109626556
Long
DBT
NUSS
AO
N
3
2023-12-13
Variable
8.55000000
N
N
N
N
N
N
REPUBLIC OF EL SALVADOR
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
2200000.00000000
PA
USD
2051500.00000000
0.045614650501
Long
DBT
NUSS
SV
Y
2
2052-07-15
Fixed
9.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
23333493.00000000
PA
USD
9065062.03000000
0.201559656970
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-458852.33000000
-0.01020248046
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
65583000000.00000000
COP
16892168.60000000
USD
2021-10-26
-458852.33000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
543600000.00000000
PA
25443971.46000000
0.565741099450
Long
DBT
NUSS
ZA
N
2
2041-02-28
Fixed
6.50000000
N
N
N
N
N
N
NTL ROAD OPERAT & CONSTR
N/A
National Road Operating & Constructing Co Ltd
P7080CAB0
11400000.00000000
PA
USD
13366500.00000000
0.297201182515
Long
DBT
CORP
JM
Y
3
2024-11-10
Fixed
9.38000000
N
N
N
N
N
N
REPUBLIC OF KENYA 4/10/2025
N/A
REPUBLIC OF KENYA 4/10/2025
000000000
4866666.65000000
PA
USD
5033481.48000000
0.111918351702
Long
DBT
NUSS
US
N
3
2025-04-10
Variable
9.17000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
96443.70000000
0.002144404420
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
73900000.00000000
PEN
18142092.60000000
USD
2021-11-18
96443.70000000
N
N
N
SADEREA
635400IPZLZJ55ANED20
Saderea DAC
000000000
11235530.33000000
PA
USD
12134372.76000000
0.269805104803
Long
SN
CORP
IE
Y
2
2026-11-30
Fixed
12.50000000
N
N
N
N
N
N
MONGOLIA INTL BOND
N/A
Mongolia Government International Bond
60937LAE5
3700000.00000000
PA
USD
3640282.00000000
0.080940868222
Long
DBT
NUSS
MN
N
2
2031-07-07
Fixed
4.45000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71656MAF6
6400000.00000000
PA
USD
5351200.00000000
0.118982752992
Long
DBT
CORP
MX
Y
2
2021-09-30
Fixed
6.63000000
N
N
N
N
N
N
IRAQ PARISCLUB JPY JPY T CHA
N/A
IRAQ PARISCLUB JPY JPY T CHA
000000000
104615448.07000000
PA
744094.79000000
0.016544783712
Long
DBT
CORP
JP
N
3
2028-01-01
Fixed
2.57000000
N
N
N
N
N
N
GMR HYDERABAD INTERNATIO
335800NSPGIN89SVOU83
GMR Hyderabad International Airport Ltd
000000000
1000000.00000000
PA
USD
1004562.50000000
0.022336225856
Long
DBT
CORP
IN
Y
2
2026-02-02
Fixed
4.75000000
N
N
N
N
N
N
TRANSJAMAICAN HIGHWAY
254900AWJ3QIGYQ04W45
TransJamaican Highway Ltd
000000000
6186517.46000000
PA
USD
6193477.29000000
0.137710602960
Long
DBT
CORP
JM
Y
2
2036-10-10
Fixed
5.75000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CB4
4200000.00000000
PA
USD
3976350.00000000
0.088413266157
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-EMS31V1-5Y
000000000
140060000.00000000
OU
Notional Amount
USD
-691896.40000000
-0.01538416401
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.EM.S31.V1
2I65BZDL3
Y
buy protection
2024-06-21
4376875.00000000
USD
0.00000000
USD
140060000.00000000
USD
-5068771.40000000
N
N
N
INVERSIONES LATAM POWER
N/A
Inversiones Latin America Power Ltda
46137NAC2
17200000.00000000
PA
USD
17157000.00000000
0.381482114871
Long
DBT
CORP
CL
N
2
2033-06-15
Fixed
5.13000000
N
N
N
N
N
N
DEBT AND ASSET TRADING C
5493008AE7RS4XK4BZ08
Viet Nam Debt & Asset Trading Corp
Y2031QAA2
22558000.00000000
PA
USD
20405120.88000000
0.453703366993
Long
DBT
NUSS
VN
Y
2
2025-10-10
Fixed
1.00000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
000000000
9100000.00000000
PA
USD
8427737.50000000
0.187388886464
Long
DBT
NUSS
AE
Y
2
2070-09-02
Fixed
2.70000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
8400000.00000000
PA
USD
10869075.00000000
0.241671487887
Long
DBT
NUSS
RU
Y
2
2047-06-23
Fixed
5.25000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
23500000.00000000
PA
USD
24730812.50000000
0.549884167102
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70000000
N
N
N
N
N
N
Republic of Belize
N/A
Belize Government International Bond
P16394AG6
53485866.13000000
PA
USD
20892916.46000000
0.464549394240
Long
DBT
NUSS
BZ
Y
2
2034-02-20
Fixed
4.94000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
34000000.00000000
PA
USD
41369500.00000000
0.919841717733
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
SOCIALIST REP OF VIETNAM
5493008AE7RS4XK4BZ08
Vietnam Government International Bond
000000000
9918000.00000000
PA
USD
9322920.00000000
0.207293072120
Long
DBT
NUSS
VN
N
3
2028-03-13
Floating
1.06000000
N
N
N
N
N
N
Kingdom of Jordan
5493000JZ4MYPVMBVN50
Jordan Government International Bond
000000000
4345000.00000000
PA
USD
4660827.19000000
0.103632465669
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.38000000
N
N
N
N
N
N
Commonwealth of Bahamas
549300W13SXC7EKNJC20
Bahamas Government International Bond
000000000
8709000.00000000
PA
USD
8498351.06000000
0.188958963413
Long
DBT
NUSS
BS
Y
2
2028-11-21
Fixed
6.00000000
N
N
N
N
N
N
INTERNATIONAL BANK OF AZ
549300Y3ZQ0BCCDJGI40
International Bank of Azerbaijan OJSC
000000000
11388000.00000000
PA
USD
11501880.00000000
0.255741767639
Long
DBT
CORP
AZ
Y
2
2024-09-01
Fixed
3.50000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DX0
12900000.00000000
PA
USD
11261700.00000000
0.250401418257
Long
DBT
NUSS
CO
N
2
2061-02-15
Fixed
3.88000000
N
N
N
N
N
N
BNQ CEN TUNISIA INT BOND
254900B5LFB16S9T2T11
Banque Centrale de Tunisie International Bond
000000000
900000000.00000000
PA
4294868.88000000
0.095495463276
Long
DBT
NUSS
TN
N
2
2033-02-03
Fixed
3.50000000
N
N
N
N
N
N
FEDERAL REP OF ETHIOPIA
N/A
Ethiopia International Bond
000000000
4090000.00000000
PA
USD
3633198.13000000
0.080783359933
Long
DBT
NUSS
ET
Y
2
2024-12-11
Fixed
6.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 0.9 %
000000000
24000000.00000000
OU
Notional Amount
-1872500.33000000
-0.04163463227
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-10
0.00000000
GBP
-5001.30000000
GBP
24000000.00000000
GBP
-1863854.59000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
7900000.00000000
PA
USD
10241856.25000000
0.227725417174
Long
DBT
NUSS
ID
Y
2
2047-01-08
Fixed
5.25000000
N
N
N
N
N
N
DELHI INTL AIRPORT
335800HBF5DARYMEUD12
Delhi International Airport Ltd
000000000
29700000.00000000
PA
USD
29217078.00000000
0.649635292055
Long
DBT
CORP
IN
Y
2
2029-06-04
Fixed
6.45000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
26500000.00000000
PA
USD
28045281.25000000
0.623580649496
Long
DBT
NUSS
UA
Y
2
2033-03-15
Fixed
7.25000000
N
N
N
N
N
N
BANGKO PILIPINAS BOND
4IDQTQC5NXVM3WSFHR30
Bangko Sentral ng Pilipinas International Bond
059891AB7
4700000.00000000
PA
USD
8695000.00000000
0.193331409267
Long
DBT
NUSS
PH
N
3
2097-06-15
Fixed
8.60000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
6019000.00000000
PA
USD
6691623.25000000
0.148786768626
Long
DBT
NUSS
UA
Y
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HV5
136001240.00000000
PA
USD
53040483.60000000
1.179343466661
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
2.50000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Commonwealth of Bahamas
000000000
50827085.29000000
OU
Notional Amount
USD
-2628827.68000000
-0.05845140426
N/A
DCR
BS
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
COMMONWEALTH OF BAHAMAS
COMMONWEALTH OF BAHAMAS
Y
sell protection
2025-06-21
0.00000000
USD
-5838385.29000000
USD
50827085.29000000
USD
3209557.61000000
N
N
N
REPUBLIC OF VENEZUELA
N/A
Venezuela Government International Bond
P17625AA5
172793000.00000000
PA
USD
17279300.00000000
0.384201428425
Long
DBT
NUSS
VE
Y
3
2023-05-07
None
0.00000000
Y
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
519197.75000000
0.011544247578
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
8000000000.00000000
JPY
73282232.41000000
USD
2021-11-19
519197.75000000
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
7600000.00000000
PA
USD
8720050.00000000
0.193888390498
Long
DBT
NUSS
NG
Y
2
2049-01-21
Fixed
9.25000000
N
N
N
N
N
N
REPUBLIC OF VENEZUELA
N/A
Venezuela Government International Bond
922646BL7
7000000.00000000
PA
USD
708750.00000000
0.015758900094
Long
DBT
NUSS
VE
N
3
2034-01-13
None
0.00000000
Y
N
N
N
N
N
TRINIDAD PETROLEUM HOLDI
5493004LGJQF7TV6GH26
Trinidad Petroleum Holdings Ltd
000000000
22788000.00000000
PA
USD
25556742.00000000
0.568248527561
Long
DBT
CORP
TT
Y
2
2026-06-15
Fixed
9.75000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
7100000.00000000
PA
10564565.50000000
0.234900786246
Long
DBT
NUSS
RO
Y
2
2049-04-03
Fixed
4.63000000
N
N
N
N
N
N
Lamar Funding Ltd
549300TSXHL7X0727895
Lamar Funding Ltd
000000000
14200000.00000000
PA
USD
14176037.50000000
0.315201070466
Long
DBT
CORP
KY
Y
2
2025-05-07
Fixed
3.96000000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
000000000
13500000.00000000
PA
USD
16215187.50000000
0.360541121439
Long
DBT
NUSS
GT
Y
2
2050-06-01
Fixed
6.13000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
EQUITY: JPEICRIG INDEX SHORT SWAP
000000000
18859999.96000000
OU
Notional Amount
USD
-175528.71000000
-0.00390284219
N/A
DE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
J.P. Morgan EMBI Global Core IG Index
JPEICRIG Index
Y
equity-performance leg
2021-10-13
0.00000000
USD
0.00000000
USD
18859999.96000000
USD
-175528.71000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
United States of Mexico 1.00%
000000000
20000000.00000000
OU
Notional Amount
USD
872454.16000000
0.019398826023
N/A
DCR
MX
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
UNITED MEXICAN STATES
UNITED MEXICAN STATES
Y
buy protection
2031-09-23
2640655.00000000
USD
0.00000000
USD
20000000.00000000
USD
-1768200.84000000
N
N
N
PA AUTOPISTA RIO MAGDA
549300DOJDJENE63OG19
PA Autopista Rio Magdalena
69313QAA7
26700000000.00000000
PA
6800472.26000000
0.151207002381
Long
DBT
CORP
CO
N
2
2036-06-15
Fixed
6.05000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CP0
13500000.00000000
PA
USD
13889610.00000000
0.308832418111
Long
DBT
NUSS
PH
N
2
2046-07-06
Fixed
3.20000000
N
N
N
N
N
N
PARIS CLUB LOAN PARTICIPATION
N/A
PARIS CLUB LOAN PARTICIPATION
000000000
576.99000000
PA
541.14000000
0.000012032128
Long
DBT
NUSS
EG
N
3
2024-01-03
None
0.00000000
N
N
N
N
N
N
ISLAMIC REP OF PAKISTAN
N/A
Pakistan Government International Bond
000000000
14762000.00000000
PA
USD
14681731.63000000
0.326445068029
Long
DBT
NUSS
PK
Y
2
2036-03-31
Fixed
7.88000000
N
N
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust
92926SAE6
4603068.06000000
PA
USD
2307589.37000000
0.051308741220
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.44000000
N
N
N
N
N
N
1MDB GLOBAL INVESTMENTS
N/A
1MDB Global Investments Ltd
000000000
16700000.00000000
PA
USD
16868837.00000000
0.375074874055
Long
DBT
CORP
VG
Y
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
13600000.00000000
PA
USD
15463200.00000000
0.343820845058
Long
DBT
CORP
ZA
Y
2
2028-08-10
Fixed
8.45000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
TURKEY CDS USD SR 5Y D14
000000000
17000000.00000000
OU
Notional Amount
USD
1903604.91000000
0.042326235760
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
REPUBLIC OF TURKEY
REPUBLIC OF TURKEY
Y
buy protection
2026-06-21
2834788.16000000
USD
0.00000000
USD
17000000.00000000
USD
-931183.25000000
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
15200000.00000000
PA
USD
14402000.00000000
0.320225296868
Long
DBT
NUSS
EG
Y
2
2061-02-16
Fixed
7.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
6760000.00000000
PA
2705854.99000000
0.060164089533
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
1.50000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CM0
125313000.00000000
PA
USD
111199623.38000000
2.472499125713
Long
DBT
NUSS
TR
N
2
2047-05-11
Fixed
5.75000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
10900000.00000000
PA
13594127.66000000
0.302262433383
Long
DBT
NUSS
RO
Y
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
NORTH MACEDONIA
635400RD1N6RVNCE4958
North Macedonia Government International Bond
000000000
7800000.00000000
PA
9175316.65000000
0.204011144154
Long
DBT
NUSS
MK
Y
2
2028-03-10
Fixed
1.63000000
N
N
N
N
N
N
REPUBLIC OF MONTENEGRO
747800V014106FYLL014
Montenegro Government International Bond
000000000
9100000.00000000
PA
10288173.96000000
0.228755281250
Long
DBT
NUSS
ME
N
2
2027-12-16
Fixed
2.88000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CG3
23600000.00000000
PA
USD
23110300.00000000
0.513852428705
Long
DBT
NUSS
TR
N
2
2045-02-17
Fixed
6.63000000
N
N
N
N
N
N
ELECTRICIDAD DE CARACAS
N/A
CA La Electricidad de Caracas
000000000
111465000.00000000
PA
USD
2229300.00000000
0.049567994327
Long
DBT
CORP
VE
Y
3
2018-04-10
None
0.00000000
Y
N
N
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
000000000
6300000.00000000
PA
USD
7015837.50000000
0.155995601042
Long
DBT
CORP
AE
Y
2
2049-09-30
Fixed
4.70000000
N
N
N
N
N
N
REPUBLIC OF ANGOLA
549300QHR2R3J8JSGK83
Angolan Government International Bond
000000000
5500000.00000000
PA
USD
5727906.25000000
0.127358733463
Long
DBT
NUSS
AO
Y
2
2049-11-26
Fixed
9.13000000
N
N
N
N
N
N
LIRAQUEAR 12/27 FIXED 4.5
N/A
LIRAQUEAR
000000000
727635.03000000
PA
723838.42000000
0.016094387788
Long
DBT
CORP
US
N
3
2027-12-30
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF UZBEKISTAN
213800L6VDKUM3TCM927
Republic of Uzbekistan International Bond
000000000
7600000.00000000
PA
USD
7554400.00000000
0.167970419571
Long
DBT
NUSS
UZ
Y
2
2030-11-25
Fixed
3.70000000
N
N
N
N
N
N
REPUBLIC OF CAMEROON
54930021BO6NHYGBBV24
Republic of Cameroon International Bond
000000000
7500000.00000000
PA
8827954.62000000
0.196287625949
Long
DBT
NUSS
CM
N
2
2032-07-07
Fixed
5.95000000
N
N
N
N
N
N
Kingdom of Jordan
5493000JZ4MYPVMBVN50
Jordan Government International Bond
000000000
43050000.00000000
PA
USD
46179196.88000000
1.026784268160
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.38000000
N
N
N
N
N
N
CLIFFTON LTD
254900N1JEUJFV1S3E87
Cliffton Ltd
000000000
7900000.00000000
PA
USD
7801250.00000000
0.173459074933
Long
DBT
CORP
MU
Y
2
2025-10-25
Fixed
6.25000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BB9
100000.00000000
PA
USD
100487.50000000
0.002234317422
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
TRANSJAMAICAN HIGHWAY
254900AWJ3QIGYQ04W45
TransJamaican Highway Ltd
000000000
395873.78000000
PA
USD
396319.14000000
0.008812068758
Long
DBT
CORP
JM
Y
2
2036-10-10
Fixed
5.75000000
N
N
N
N
N
N
Republic of Zambia
N/A
Zambia Government International Bond
000000000
14900000.00000000
PA
USD
11659250.00000000
0.259240854916
Long
DBT
NUSS
ZM
Y
2
2027-07-30
Fixed
8.97000000
N
Y
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
Republic of South Africa Government International Bond
836205AZ7
8600000.00000000
PA
USD
9262737.50000000
0.205954927492
Long
DBT
NUSS
ZA
N
2
2048-06-22
Fixed
6.30000000
N
N
N
N
N
N
MV24 CAPITAL BV
N/A
MV24 Capital BV
000000000
2427802.00000000
PA
USD
2643724.64000000
0.058782634889
Long
DBT
CORP
NL
Y
2
2034-06-01
Fixed
6.75000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
5547000.00000000
PA
USD
678814.13000000
0.015093282620
Long
DBT
NUSS
LB
Y
2
2028-03-20
None
0.00000000
Y
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
74900000.00000000
PA
USD
76599293.75000000
1.703168419734
Long
DBT
NUSS
OM
Y
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
Government of Grenada
N/A
Grenada Government International Bond
P48863AE7
10351125.36000000
PA
USD
9435050.77000000
0.209786275086
Long
DBT
NUSS
GD
Y
2
2030-05-12
Fixed
7.00000000
N
N
N
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGlobal Canada ULC
000000000
9200000.00000000
PA
USD
11447100.00000000
0.254523746409
Long
DBT
CORP
CA
Y
2
2030-05-18
Fixed
5.88000000
N
N
N
N
N
N
EMPRESAS PUBLIC MEDELLIN
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP
000000000
30200000000.00000000
PA
7606788.00000000
0.169135255208
Long
DBT
CORP
CO
Y
2
2027-11-08
Fixed
8.38000000
N
N
N
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
5300000.00000000
PA
USD
3383056.25000000
0.075221510344
Long
DBT
NUSS
LK
Y
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
000000000
8100000.00000000
PA
USD
9132750.00000000
0.203064684069
Long
DBT
CORP
CL
Y
2
2029-11-06
Fixed
5.25000000
N
N
N
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
3500000.00000000
PA
USD
2234093.75000000
0.049674582302
Long
DBT
NUSS
LK
Y
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
4000000.00000000
PA
USD
4447000.00000000
0.098878065211
Long
DBT
NUSS
UA
Y
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
4600000.00000000
PA
USD
4610925.00000000
0.102522901469
Long
DBT
NUSS
OM
Y
2
2047-03-08
Fixed
6.50000000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
263000000.00000000
PA
10323931.94000000
0.229550352057
Long
DBT
NUSS
XX
Y
2
2029-02-15
None
0.00000000
N
N
N
N
N
N
STATE AGE ROADS
254900FGEO8P5USHG994
State Agency of Roads of Ukraine
857329AA4
7500000.00000000
PA
USD
7526250.00000000
0.167344510523
Long
DBT
CORP
UA
N
2
2028-06-24
Fixed
6.25000000
N
N
N
N
N
N
PETKIM PETROKIMYA HOLDIN
529900XZCVZOEYWNBQ67
Petkim Petrokimya Holding AS
000000000
8750000.00000000
PA
USD
8957812.50000000
0.199174987300
Long
DBT
CORP
TR
Y
2
2023-01-26
Fixed
5.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBU4
57200000.00000000
PA
USD
57170953.27000000
1.271183549725
Long
DBT
UST
US
N
1
2023-03-31
Fixed
0.13000000
N
N
N
N
N
N
GTLK EUROPE CAPITAL DAC
635400I6H6CSZ39WIN49
Gtlk Europe Capital DAC
000000000
5200000.00000000
PA
USD
5525000.00000000
0.122847157700
Long
DBT
CORP
IE
Y
2
2028-02-26
Fixed
4.80000000
N
N
N
N
N
N
PETROLEOS DE VENEZUELA S
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA
P7807HAT2
176000000.00000000
PA
USD
7744000.00000000
0.172186133797
Long
DBT
CORP
VE
Y
3
2024-05-16
None
0.00000000
Y
N
N
N
N
N
KONDOR FINANCE PLC (NAK)
213800PUC1T9GI6EIO63
NAK Naftogaz Ukraine via Kondor Finance PLC
000000000
3800000.00000000
PA
4649500.13000000
0.103380610985
Long
DBT
CORP
GB
Y
2
2024-07-19
Fixed
7.13000000
N
N
N
N
N
N
REP OF ANGOLA(AVENIR IS)
635400VEZIQKZPR7KU35
Republic of Angola Via Avenir Issuer II Ireland DAC
000000000
3928571.43000000
PA
USD
3653571.43000000
0.081236355770
Long
DBT
CORP
IE
Y
3
2027-02-19
Fixed
6.93000000
N
N
N
N
N
N
PETRONAS CAPITAL LTD
549300G7YFX3540OYR85
Petronas Capital Ltd
000000000
4200000.00000000
PA
USD
4394376.00000000
0.097707982165
Long
DBT
CORP
MY
Y
2
2061-04-28
Fixed
3.40000000
N
N
N
N
N
N
IRAQ PARISCLUB JPY REP OF IRA
N/A
IRAQ PARISCLUB JPY REP OF IRA
000000000
1159438712.78000000
PA
8246700.84000000
0.183363576216
Long
DBT
NUSS
JP
N
3
2028-01-01
Fixed
2.57000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
50114000.00000000
PA
USD
6164022.00000000
0.137055671077
Long
DBT
NUSS
LB
N
2
2034-05-17
None
0.00000000
Y
N
N
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
37431779.96000000
NS
USD
37431779.96000000
0.832287380225
Long
STIV
RF
US
N
1
N
N
N
Petroleos del Peru SA
549300ZMGDLC9JT2OR80
Petroleos del Peru SA
P7808BAB3
48595000.00000000
PA
USD
50479271.13000000
1.122395471692
Long
DBT
CORP
PE
Y
2
2047-06-19
Fixed
5.63000000
N
N
N
N
N
N
Republic of Azerbaijan
N/A
Republic of Azerbaijan International Bond
000000000
20300000.00000000
PA
USD
22807050.00000000
0.507109731769
Long
DBT
NUSS
AZ
Y
2
2029-09-01
Fixed
5.13000000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
000000000
21400000.00000000
PA
USD
20891750.00000000
0.464523458259
Long
DBT
CORP
SA
Y
2
2070-11-24
Fixed
3.50000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Brazil Credit Linked Put Option Swap
000000000
100000000.00000000
OU
Notional Amount
USD
201311.15000000
0.004476109066
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
201311.15000000
N
N
N
Transnet SOC Ltd
378900B07CD6F01EA796
Transnet SOC Ltd
000000000
27300000.00000000
PA
2261617.42000000
0.050286565041
Long
DBT
CORP
ZA
N
2
2028-04-18
Fixed
13.50000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
38200000.00000000
PA
USD
47368000.00000000
1.053217043609
Long
DBT
NUSS
QA
Y
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
REPUBLIC OF VENEZUELA
N/A
Venezuela Government International Bond
P97475AN0
19028000.00000000
PA
USD
1902800.00000000
0.042308338764
Long
DBT
NUSS
VE
Y
3
2019-10-13
None
0.00000000
Y
N
N
N
N
N
PETROLEOS DE VENEZUELA S
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA
P7807HAR6
61967000.00000000
PA
USD
2726548.00000000
0.060624194051
Long
DBT
CORP
VE
Y
3
2026-11-15
None
0.00000000
Y
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DS4
7500000.00000000
PA
USD
7635000.00000000
0.169762542812
Long
DBT
NUSS
CL
N
2
2041-05-07
Fixed
3.10000000
N
N
N
N
N
N
TELECOM OF TRIN & TOBAGO
5299007N4G3EZWXAMB76
Telecommunications Services of Trinidad & Tobago Ltd
000000000
9800000.00000000
PA
USD
10463030.76000000
0.232643183673
Long
DBT
CORP
TT
Y
2
2029-10-18
Fixed
8.88000000
N
N
N
N
N
N
COMMONWEALTH OF BAHAMAS
549300W13SXC7EKNJC20
Bahamas Government International Bond
000000000
7900000.00000000
PA
USD
7475375.00000000
0.166213316107
Long
DBT
NUSS
BS
Y
2
2038-04-02
Fixed
7.13000000
N
N
N
N
N
N
REPUBLIC OF GABON
N/A
Gabon Government International Bond
000000000
24600000.00000000
PA
USD
24950550.00000000
0.554769982001
Long
DBT
NUSS
GA
Y
2
2031-02-06
Fixed
6.63000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
14446000.00000000
PA
USD
16426004.88000000
0.365228599434
Long
DBT
NUSS
UA
Y
2
2040-05-31
Variable
1.26000000
N
N
N
N
N
N
INSTITUTO COSTARRICENSE
5493009VA6AFUB2Q0289
Instituto Costarricense de Electricidad
P56226AQ9
3798000.00000000
PA
USD
3342240.00000000
0.074313970018
Long
DBT
CORP
CR
Y
2
2043-05-15
Fixed
6.38000000
N
N
N
N
N
N
ARDSHININVESTBK (DILIJAN
549300DCGXFXAP2FEV07
Ardshinbank CJSC Via Dilijan Finance BV
000000000
20000000.00000000
PA
USD
19828750.00000000
0.440887887465
Long
DBT
CORP
NL
Y
2
2025-01-28
Fixed
6.50000000
N
N
N
N
N
N
INDONESIA ASAHAN ALUMINI
2549008P48EB9SN2OI80
Indonesia Asahan Aluminium Persero PT
000000000
20900000.00000000
PA
USD
24985950.00000000
0.555557093201
Long
DBT
CORP
ID
Y
2
2050-05-15
Fixed
5.80000000
N
N
N
N
N
N
HONDURAS GOVERNMENT
5493002DW1JNBNG17615
Honduras Government International Bond
000000000
16100000.00000000
PA
USD
17063987.50000000
0.379414002426
Long
DBT
NUSS
HN
Y
2
2030-06-24
Fixed
5.63000000
N
N
N
N
N
N
AEROPUERTO INTL TOCUMEN
254900FO1PHX49ZIGB14
Aeropuerto Internacional de Tocumen SA
00787CAE2
26200000.00000000
PA
USD
27772000.00000000
0.617504301113
Long
DBT
CORP
PA
N
2
2061-08-11
Fixed
5.13000000
N
N
N
N
N
N
CHAD B
N/A
CHAD B
000000000
20227266.59000000
PA
USD
13299427.78000000
0.295709846481
Long
DBT
NUSS
US
N
3
2027-12-31
Variable
4.14000000
N
N
N
N
N
N
JP Morgan Securities
K6Q0W1PS1L1O4IQL9C32
REVERSE REPO JPM CHASE
000000000
-2992527.78000000
PA
USD
-2992527.78000000
-0.06653819585
Short
RA
CORP
US
N
2
Reverse repurchase
N
-0.25000000
2022-08-02
3000000.00000000
USD
2960000.00000000
USD
CDS
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
21900000.00000000
PA
USD
22396856.25000000
0.497989164114
Long
DBT
NUSS
OM
Y
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
68990000.00000000
PA
USD
72711148.13000000
1.616716358532
Long
DBT
NUSS
BH
Y
2
2047-09-20
Fixed
7.50000000
N
N
N
N
N
N
QATAR PETROLEUM
254900QTESJKJ3P87J26
Qatar Petroleum
74730DAE3
7600000.00000000
PA
USD
7818500.00000000
0.173842624883
Long
DBT
CORP
QA
N
2
2041-07-12
Fixed
3.13000000
N
N
N
N
N
N
CLIFFTON LTD
254900N1JEUJFV1S3E87
Cliffton Ltd
000000000
2850000.00000000
PA
USD
2814375.00000000
0.062577008045
Long
DBT
CORP
MU
Y
2
2025-10-25
Fixed
6.25000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BM5
16800000.00000000
PA
USD
19155150.00000000
0.425910539877
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GHANA CDS USD SR 2Y D14
000000000
3700000.00000000
OU
Notional Amount
USD
-78381.50000000
-0.00174279538
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
REPUBLIC OF GHANA
REPUBLIC OF GHANA
Y
buy protection
2023-06-21
0.00000000
USD
-112260.45000000
USD
3700000.00000000
USD
33878.95000000
N
N
N
DUA CAPITAL LTD
213800ILVLALFTITCB43
Dua Capital Ltd
000000000
6000000.00000000
PA
USD
6053100.00000000
0.134589344846
Long
DBT
CORP
MY
Y
1
2031-05-11
Fixed
2.78000000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
Angolan Government International Bond
000000000
7900000.00000000
PA
USD
8382887.50000000
0.186391656596
Long
DBT
NUSS
AO
Y
2
2048-05-08
Fixed
9.38000000
N
N
N
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
33700000.00000000
PA
USD
21532193.75000000
0.478763583934
Long
DBT
NUSS
LK
Y
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
TRINIDAD GEN UNLTD
N/A
Trinidad Generation UnLtd
P9400VAA9
6127000.00000000
PA
USD
6291663.13000000
0.139893743480
Long
DBT
CORP
TT
Y
2
2027-11-04
Fixed
5.25000000
N
N
N
N
N
N
DEVELOPMENT BANK BELARUS
253400D4JRB0M70A0687
Development Bank of the Republic of Belarus JSC
000000000
8304000.00000000
PA
USD
7722720.00000000
0.171712977685
Long
DBT
NUSS
BY
Y
2
2024-05-02
Fixed
6.75000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325AL9
745000.00000000
PA
USD
913323.44000000
0.020307545459
Long
DBT
NUSS
CO
N
2
2027-02-15
Fixed
8.38000000
N
N
N
N
N
N
TRINIDAD & TOBAGO
N/A
Trinidad & Tobago Government International Bond
000000000
3800000.00000000
PA
USD
4018500.00000000
0.089350462120
Long
DBT
NUSS
TT
Y
2
2030-06-26
Fixed
4.50000000
N
N
N
N
N
N
Israel Electric Corp Ltd
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
M60170AC7
13183000.00000000
PA
USD
19156011.12000000
0.425929686690
Long
DBT
CORP
IL
Y
2
2096-12-15
Fixed
8.10000000
N
N
N
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
El Salvador Government International Bond
P01012AN6
9775000.00000000
PA
USD
8467593.75000000
0.188275081402
Long
DBT
NUSS
SV
Y
2
2035-06-15
Fixed
7.65000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AE9
35811000.00000000
PA
USD
43796853.00000000
0.973813376880
Long
DBT
CORP
CO
N
2
2043-09-18
Fixed
7.38000000
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
26900000.00000000
PA
USD
25795418.75000000
0.573555452511
Long
DBT
NUSS
GH
Y
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
1000000.00000000
PA
USD
900000.00000000
0.020011301706
Long
DBT
NUSS
EC
N
3
2025-02-28
Fixed
5.00000000
N
N
N
N
N
N
CEZ AS
529900S5R9YHJHYKKG94
CEZ AS
000000000
5458000.00000000
PA
USD
6940060.84000000
0.154310723703
Long
DBT
CORP
CZ
Y
2
2042-04-03
Fixed
5.63000000
N
N
N
N
N
N
PNG GOVT INTL BOND
N/A
Papua New Guinea Government International Bond
000000000
1400000.00000000
PA
USD
1394750.00000000
0.031011958950
Long
DBT
NUSS
PG
Y
2
2028-10-04
Fixed
8.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCB5
6500000.00000000
PA
USD
6702109.38000000
0.149019925417
Long
DBT
UST
US
N
1
2031-05-15
Fixed
1.63000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
529900F3MBW9XY5K1X07
OCP SA
000000000
14500000.00000000
PA
USD
17661000.00000000
0.392688443826
Long
DBT
CORP
MA
Y
2
2044-04-25
Fixed
6.88000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123BJ8
10002000.00000000
PA
USD
9241222.88000000
0.205476554657
Long
DBT
NUSS
TR
N
2
2041-01-14
Fixed
6.00000000
N
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2005-H
126685AP1
608296.54000000
PA
USD
600634.19000000
0.013354968879
Long
ABS-O
CORP
US
N
2
2035-12-15
Floating
0.34000000
N
N
N
N
N
N
BNQ CEN TUNISIA INT BOND
254900B5LFB16S9T2T11
Banque Centrale de Tunisie International Bond
000000000
2500000000.00000000
PA
13639049.22000000
0.303261254372
Long
DBT
NUSS
TN
N
3
2031-03-17
Fixed
4.20000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
335089675.47000000
PA
2547043.80000000
0.056632957713
Long
DBT
NUSS
AR
N
2
2035-12-15
None
0.00000000
N
Y
N
N
N
N
RUSSIAN FTO EURO NON-PERFORMIN G LOAN PARTICIPATION W/GML
N/A
RUSSIAN FTO EURO NON-PERFORMIN
000000000
76893500.26000000
PA
2.73000000
0.000000060700
Long
DBT
NUSS
RU
N
3
2050-01-01
None
0.00000000
N
N
N
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
90000000.00000000
PA
21698881.51000000
0.482469849552
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
GMO US Treasury Fund
0NIBQB0NDRTFX04R2J69
GMO US Treasury Fund
362013369
14838144.30200000
NS
USD
74784247.28000000
1.662811261375
Long
EC
RF
US
N
1
N
N
N
BARBADOS GOVT OF
529900UD1KUUS4SFD905
Barbados Government International Bond
000000000
14000000.00000000
PA
USD
14072625.00000000
0.312901716313
Long
DBT
NUSS
BB
Y
2
2029-10-01
Fixed
6.50000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299AT1
12651000.00000000
PA
USD
18355810.31000000
0.408137397985
Long
DBT
NUSS
PA
N
2
2034-04-28
Fixed
8.13000000
N
N
N
N
N
N
POWER SECTOR ASSETS & LI
529900RAHBALMYIJ3T08
Power Sector Assets & Liabilities Management Corp
637193BA0
40012000.00000000
PA
USD
58617580.00000000
1.303348976337
Long
DBT
CORP
PH
N
2
2028-05-15
Fixed
9.63000000
N
N
N
N
N
N
GMR HYDERABAD INTERNATIO
335800NSPGIN89SVOU83
GMR Hyderabad International Airport Ltd
000000000
4700000.00000000
PA
USD
4529037.50000000
0.100702150948
Long
DBT
CORP
IN
Y
2
2027-10-27
Fixed
4.25000000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA (TRANCHE C2
000000000
11083333.34000000
PA
USD
10750833.34000000
0.239042410629
Long
DBT
NUSS
US
N
3
2024-08-30
Fixed
7.50000000
N
N
N
N
N
N
Republic of Zambia
N/A
Zambia Government International Bond
000000000
12672000.00000000
PA
USD
9915840.00000000
0.220476517685
Long
DBT
NUSS
ZM
Y
2
2027-07-30
Fixed
8.97000000
N
Y
N
N
N
N
Government of Jamaica
N/A
Jamaica Government International Bond
470160CB6
11375000.00000000
PA
USD
16076429.69000000
0.357455872105
Long
DBT
NUSS
JM
N
2
2045-07-28
Fixed
7.88000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PETBRA CDS USD SR 3.5Y D14
000000000
13000000.00000000
OU
Notional Amount
USD
9052.37000000
0.000201277452
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PETROBRAS GLOBAL FINANCE
PETROBRAS GLOBAL FINANCE
Y
buy protection
2024-06-21
371174.95000000
USD
0.00000000
USD
13000000.00000000
USD
-362122.58000000
N
N
N
2021-10-04
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer