0001752724-23-241008.txt : 20231027
0001752724-23-241008.hdr.sgml : 20231027
20231027143401
ACCESSION NUMBER: 0001752724-23-241008
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230831
FILED AS OF DATE: 20231027
DATE AS OF CHANGE: 20231027
PERIOD START: 20240229
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: 231354994
BUSINESS ADDRESS:
STREET 1: 53 STATE STREET
STREET 2: FLOOR 33
CITY: BOSTON
STATE: MA
ZIP: 02109
BUSINESS PHONE: 6173467646
MAIL ADDRESS:
STREET 1: 53 STATE STREET
STREET 2: FLOOR 33
CITY: BOSTON
STATE: MA
ZIP: 02109
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
53 State Street, 33rd Floor
BOSTON
02109
617-346-7646
GMO Emerging Country Debt Fund
S000004922
YNMTZW424II1WNE1YT44
2024-02-29
2023-08-31
N
2640985773.09
39595395.32
2601390377.77
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
22991304.41000000
EUR
GBP
JPY
USD
ZAR
N
The Fund's Designated Reference Portfolio is the Fund?s Securities Portfolio for FUND IZFB
The Fund's Designated Reference Portfolio is the Fund?s Securities Portfolio for FUND IZFB
INVERSIONES LATAM POWER
N/A
Inversiones Latin America Power Ltda
000000000
23601659.26000000
PA
USD
9785955.98000000
0.376181755096
Long
DBT
CORP
CL
Y
2
2033-06-15
Fixed
5.13000000
N
Y
N
N
N
N
Scenery Journey Ltd
549300Q2FGQXKG7X0I83
Scenery Journey Ltd
000000000
2100000.00000000
PA
USD
84000.00000000
0.003229042465
Long
DBT
CORP
VG
Y
2
2022-11-06
Fixed
13.00000000
N
Y
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325AQ8
3100000.00000000
PA
USD
3560515.48000000
0.136869710537
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
3500000.00000000
PA
USD
2988510.00000000
0.114881258327
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
28500000.00000000
PA
USD
11800425.00000000
0.453619921901
Long
DBT
NUSS
GH
Y
2
2051-03-26
Fixed
8.95000000
N
Y
N
N
N
N
BNQ CEN TUNISIA INT BOND
254900B5LFB16S9T2T11
Tunisian Republic
000000000
5960000000.00000000
PA
16795078.87000000
0.645619320095
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
14800000.00000000
PA
USD
14095520.00000000
0.541845626879
Long
DBT
CORP
ID
Y
2
2049-01-25
Fixed
6.25000000
N
N
N
N
N
N
UZBEKNEFTEGAZ JSC
213800LUZJZFLJD4MJ51
Uzbekneftegaz JSC
000000000
7400000.00000000
PA
USD
6046540.00000000
0.232434933705
Long
DBT
NUSS
UZ
Y
2
2028-11-16
Fixed
4.75000000
N
N
N
N
N
N
Republic of Guatemala
N/A
Guatemala Government Bond
P8056GAB9
1965000.00000000
PA
USD
2131730.25000000
0.081945803606
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
5300000.00000000
PA
USD
1770518.00000000
0.068060450101
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.75000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
5000000.00000000
PA
3330853.79000000
0.128041289706
Long
DBT
NUSS
RO
Y
2
2042-04-13
Fixed
2.88000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HU7
33412437.00000000
PA
USD
11704042.56000000
0.449914886286
Long
DBT
NUSS
AR
N
2
2038-01-09
Variable
4.25000000
N
N
N
N
N
N
ADANIREN KODSOPAR WARSOM
N/A
Adani Renewable Energy RJ Ltd/Kodangal Solar Parks Pvt Ltd/Wardha Solar Maharash
000000000
2848000.00000000
PA
USD
2082058.88000000
0.080036387379
Long
DBT
CORP
IN
Y
2
2039-10-15
Fixed
4.63000000
N
N
N
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
4000000.00000000
PA
USD
1796640.00000000
0.069064605426
Long
DBT
NUSS
LK
Y
2
2030-03-28
Fixed
7.55000000
N
Y
N
N
N
N
MINEJESA CAPITAL BV
549300KS7ERCP10BKC35
Minejesa Capital BV
000000000
23400000.00000000
PA
USD
18360576.00000000
0.705798566677
Long
DBT
CORP
NL
Y
2
2037-08-10
Fixed
5.63000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
23800000.00000000
PA
USD
19885376.00000000
0.764413375629
Long
DBT
CORP
KZ
Y
2
2048-10-24
Fixed
6.38000000
N
N
N
N
N
N
Republic of Senegal
549300NP14ZLQGWIUZ97
Senegal Government International Bond
000000000
6500000.00000000
PA
USD
4513730.00000000
0.173512212491
Long
DBT
NUSS
SN
Y
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
000000000
9400000.00000000
PA
USD
9467210.00000000
0.363928846700
Long
DBT
NUSS
HU
Y
2
2032-09-22
Fixed
6.25000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
1757427.27000000
0.067557229588
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
39800000.00000000
GBP
52183626.72000000
USD
2023-10-18
1757427.27000000
N
N
N
PT PERTAMINA (PERSERO)
529900FWX0GRR7WG5W79
Pertamina Persero PT
Y7138AAB6
4100000.00000000
PA
USD
4153915.00000000
0.159680570647
Long
DBT
CORP
ID
Y
2
2041-05-27
Fixed
6.50000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
REVERSE REPO NOMURA
000000000
-146062.50000000
PA
USD
-146062.50000000
-0.00561478589
Short
RA
CORP
US
N
2
Reverse repurchase
N
3.50000000
2024-08-06
500000.00000000
USD
153750.00000000
USD
N
N
N
GTLK EUROPE CAPITAL DAC
635400I6H6CSZ39WIN49
GTLK Europe Capital DAC
000000000
6870000.00000000
PA
USD
3435.00000000
0.000132044772
Long
DBT
CORP
IE
Y
3
2027-03-10
Fixed
4.65000000
N
Y
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
1898045000.00000000
PA
259343.17000000
0.009969406061
Long
DBT
NUSS
AR
N
3
2035-12-15
None
0.00000000
N
Y
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
458453.14000000
0.017623388781
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
666400000.00000000
ZAR
35671415.09000000
USD
2023-09-29
458453.14000000
N
N
N
Nomura Securities International Inc
OXTKY6Q8X53C9ILVV871
REVERSE REPO NOMURA
000000000
-5909000.00000000
PA
USD
-5909000.00000000
-0.22714776107
Short
RA
CORP
US
N
2
Reverse repurchase
N
4.50000000
2024-05-23
6220000.00000000
USD
6220000.00000000
USD
CDS
N
N
N
Chad A
N/A
Chad A
000000000
1362049.65000000
PA
USD
1115518.66000000
0.042881632435
Long
DBT
CORP
US
N
3
2025-09-30
Variable
9.70000000
N
N
N
N
N
N
ORYX FUNDING LTD
549300S728CF0BBRC295
Oryx Funding Ltd
000000000
4300000.00000000
PA
USD
4136170.00000000
0.158998435426
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
21100000.00000000
PA
USD
13778089.00000000
0.529643267605
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
22600880.00000000
0.868800015296
Long
DBT
NUSS
KE
Y
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
86200000.00000000
PA
USD
57486780.00000000
2.209848260040
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
6584784.68000000
PA
USD
2279345.61000000
0.087620282963
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
5.65000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.300000 21-DEC-2027_
000000000
8570000000.00000000
OU
Notional Amount
110395.33000000
0.004243704864
N/A
DIR
JP
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-12-21
0.00000000
JPY
-9025899.00000000
JPY
8570000000.00000000
JPY
172895.05000000
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
731011AV4
8300000.00000000
PA
USD
8045439.00000000
0.309274573656
Long
DBT
NUSS
PL
N
2
2033-10-04
Fixed
4.88000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-23619.63000000
-0.00090796176
N/A
DFE
CO
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
27604599.95000000
USD
112820000000.00000000
COP
2023-09-05
-23619.63000000
N
N
N
REPUBLIC OF VENEZUELA
N/A
Venezuela Government International Bond
P97475AG5
36600000.00000000
PA
USD
2653500.00000000
0.102003145036
Long
DBT
NUSS
VE
Y
3
2020-12-09
None
0.00000000
Y
N
N
N
N
N
HUARONG FINANCE 2017 CO
5493006V07LYI3HE6G83
Huarong Finance 2017 Co Ltd
000000000
7300000.00000000
PA
USD
5704804.00000000
0.219298266371
Long
DBT
CORP
VG
Y
2
2027-04-27
Fixed
4.75000000
N
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2006-D
126685DT0
524291.67000000
PA
USD
493690.02000000
0.018977929042
Long
ABS-O
CORP
US
N
2
2036-05-15
Floating
5.62000000
N
N
N
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
800000.00000000
PA
USD
358200.00000000
0.013769559657
Long
DBT
NUSS
LK
Y
2
2028-04-18
Fixed
6.75000000
N
Y
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
228189.84000000
0.008771841471
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
8800000.00000000
GBP
11377701.28000000
USD
2023-10-18
228189.84000000
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AS8
10600000.00000000
PA
USD
10716865.00000000
0.411966811731
Long
DBT
CORP
CO
N
2
2033-01-13
Fixed
8.88000000
N
N
N
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
P37110AM8
22950000.00000000
PA
USD
17032342.50000000
0.654739966963
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
2769000.00000000
PA
USD
789165.00000000
0.030336277351
Long
DBT
NUSS
UA
Y
3
2029-09-01
Fixed
7.75000000
N
Y
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.008500 21-DEC-2027_
000000000
50200000.00000000
OU
Notional Amount
USD
-523233.97000000
-0.02011362748
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-12-21
1257669.79000000
USD
0.00000000
USD
50200000.00000000
USD
-1780889.30000000
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
000000000
6200000.00000000
PA
USD
4324252.00000000
0.166228492153
Long
DBT
NUSS
AE
Y
2
2049-09-30
Fixed
3.13000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
Zambia Government International Bond
000000000
2200000.00000000
PA
USD
1141162.00000000
0.043867387599
Long
DBT
NUSS
ZM
Y
2
2027-07-30
Fixed
8.97000000
N
Y
N
N
N
N
REP OF ANGOLA(AVENIR II)
724500CRIYMKEWLTHZ15
Republic of Angola Via Avenir II BV
000000000
97000.00000000
PA
USD
96515.00000000
0.003710131352
Long
DBT
NUSS
NL
Y
3
2023-12-07
Floating
10.16000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BV5
2600000.00000000
PA
USD
2652338.00000000
0.101958476615
Long
DBT
NUSS
PA
N
2
2054-03-28
Fixed
6.85000000
N
N
N
N
N
N
COSTA RICA GOVERNMENT
N/A
Costa Rica Government International Bond
P3699PGJ0
11231000.00000000
PA
USD
11270982.36000000
0.433267627047
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
64506000.00000000
PA
59388035.28000000
2.282934379533
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
2600000.00000000
PA
USD
1872286.00000000
0.071972511930
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
28000000.00000000
PA
USD
7350000.00000000
0.282541215759
Long
DBT
NUSS
UA
Y
3
2034-09-25
Fixed
7.38000000
N
Y
N
N
N
N
GMR HYDERABAD INTERNATIO
335800NSPGIN89SVOU83
GMR Hyderabad International Airport Ltd
000000000
12440000.00000000
PA
USD
11062767.60000000
0.425263647260
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
505342.00000000
PA
USD
147030.37000000
0.005651991767
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
2434375.00000000
0.093579764913
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
2900000.00000000
PA
USD
1380545.00000000
0.053069505130
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
6526500.00000000
0.250885067299
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
5766763.19000000
PA
USD
4428701.13000000
0.170243619252
Long
DBT
NUSS
LU
Y
2
2035-01-30
None
0.00000000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
000000000
5100000.00000000
PA
USD
3997788.00000000
0.153678895492
Long
DBT
NUSS
GT
Y
2
2041-10-07
Fixed
4.65000000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
000000000
9500000.00000000
PA
USD
9631670.00000000
0.370250850556
Long
DBT
NUSS
HU
Y
2
2052-09-25
Fixed
6.75000000
N
N
N
N
N
N
TAJIKISTAN INT BOND
529900W1LSYUF3CYVU10
Republic of Tajikistan International Bond
000000000
9274000.00000000
PA
USD
7465570.00000000
0.286983840018
Long
DBT
NUSS
TJ
Y
2
2027-09-14
Fixed
7.13000000
N
N
N
N
N
N
Nomura Securities International Inc
OXTKY6Q8X53C9ILVV871
REVERSE REPO NOMURA
000000000
-1356570.31000000
PA
USD
-1356570.31000000
-0.05214789451
Short
RA
CORP
US
N
2
Reverse repurchase
N
3.00000000
2024-06-21
2375000.00000000
USD
1427968.75000000
USD
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
000000000
3900000.00000000
PA
USD
3210870.00000000
0.123428995026
Long
DBT
CORP
CL
Y
2
2031-09-16
Fixed
3.45000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
SWAP/CDSWAP/SCDS: (NGERIA)_
000000000
9100000.00000000
OU
Notional Amount
USD
-100847.80000000
-0.00387668843
N/A
DCR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
The Federal Republic of Nigeria
The Federal Republic of Nigeria
Y
buy protection
2023-12-21
182830.82000000
USD
0.00000000
USD
9100000.00000000
USD
-283678.62000000
N
N
N
MONGOLIA INTL BOND
N/A
Mongolia Government International Bond
000000000
3000000.00000000
PA
USD
2318700.00000000
0.089133104351
Long
DBT
NUSS
MN
Y
2
2031-07-07
Fixed
4.45000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
NOMURA REPO
000000000
20000000.01000000
PA
USD
20000000.01000000
0.768819635103
Long
RA
CORP
US
N
2
Repurchase
N
5.27000000
2023-09-01
20463000.00000000
USD
20408159.16000000
USD
UST
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CB4
10800000.00000000
PA
USD
7926876.00000000
0.304716895539
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BR5
77100000.00000000
PA
USD
58406334.00000000
2.245196818559
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.63000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
14000000.00000000
OU
Notional Amount
USD
-139609.02000000
-0.00536670778
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Brazil Government International Bonds
Brazil Government International Bonds
Y
buy protection
2025-06-21
110956.86000000
USD
0.00000000
USD
14000000.00000000
USD
-250565.88000000
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780DP8
10191000.00000000
PA
USD
10040784.66000000
0.385977619729
Long
DBT
NUSS
ID
N
2
2052-09-20
Fixed
5.45000000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
8900000.00000000
PA
USD
8767123.00000000
0.337016815120
Long
DBT
NUSS
RS
Y
2
2033-09-26
Fixed
6.50000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
6146892.00000000
PA
USD
1688797.11000000
0.064919018861
Long
DBT
NUSS
EC
Y
2
2030-07-31
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED HKD / SOLD USD
000000000
1.00000000
NC
-14295.54000000
-0.00054953459
N/A
DFE
HK
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
5276842.09000000
USD
41200000.00000000
HKD
2023-10-11
-14295.54000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
17600000.00000000
PA
USD
5665792.00000000
0.217798606791
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentina Bonar Bonds
000000000
8786557.00000000
PA
USD
2709746.94000000
0.104165332629
Long
DBT
NUSS
AR
N
2
2038-01-09
Variable
4.25000000
N
N
N
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
2600000.00000000
PA
USD
1033500.00000000
0.039728754624
Long
DBT
NUSS
RU
Y
3
2035-03-28
Fixed
5.10000000
N
Y
N
N
N
N
BENIN INTL GOV BOND
635400Q11P6AE5A5Y230
Benin Government International Bond
000000000
3650000.00000000
PA
2717519.63000000
0.104464122463
Long
DBT
NUSS
BJ
Y
2
2052-01-19
Fixed
6.88000000
N
N
N
N
N
N
COMMONWEALTH OF BAHAMAS
549300W13SXC7EKNJC20
Bahamas Government International Bond
000000000
11700000.00000000
PA
USD
9990162.00000000
0.384031634981
Long
DBT
NUSS
BS
Y
2
2032-10-15
Fixed
8.95000000
N
N
N
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
000000000
5720000.00000000
PA
USD
4633200.00000000
0.178104756579
Long
DBT
CORP
MX
Y
2
2049-07-30
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
271173000.00000000
PA
294479.77000000
0.011320091460
Long
DBT
NUSS
AR
N
3
2038-12-31
Fixed
0.67000000
N
Y
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
9000000.00000000
PA
USD
3706200.00000000
0.142469966509
Long
DBT
NUSS
GH
Y
2
2042-05-07
Fixed
8.88000000
N
Y
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
12900000.00000000
PA
USD
5328603.00000000
0.204836730601
Long
DBT
NUSS
GH
Y
2
2049-06-16
Fixed
8.63000000
N
Y
N
N
N
N
Saka Energi Indonesia PT
25490049636XFM5KBR83
Saka Energi Indonesia PT
000000000
4595000.00000000
PA
USD
4506270.55000000
0.173225463909
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
10900000.00000000
PA
USD
9267398.00000000
0.356247877258
Long
DBT
NUSS
SR
Y
2
2023-12-30
Fixed
12.88000000
N
Y
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
OPTION/OTC/APR24 BRAZIL BR P @ 100
000000000
81200000.00000000
NC
USD
158506.38000000
0.006093140858
N/A
DE
US
N
3
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Put
Purchased
Brazil Credit Linked Put Option Swap
Brazil Credit Linked Put Option Swap
1.00000000
1.00000000
USD
2024-04-15
XXXX
158506.38000000
N
N
N
REPUBLIC OF CAMEROON
54930021BO6NHYGBBV24
Republic of Cameroon International Bond
000000000
9900000.00000000
PA
7308435.92000000
0.280943451719
Long
DBT
NUSS
CM
Y
2
2032-07-07
Fixed
5.95000000
N
N
N
N
N
N
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
16200000.00000000
OU
Notional Amount
USD
-35973.45000000
-0.00138285473
N/A
DCR
US
N
2
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
Mexico Government International Bonds
Mexico Government International Bonds
Y
buy protection
2028-06-21
269613.08000000
USD
0.00000000
USD
16200000.00000000
USD
-305586.53000000
N
N
N
FREEPORT INDONESIA PT
549300T4HTQHRKLNE619
Freeport Indonesia PT
000000000
3750000.00000000
PA
USD
3332812.50000000
0.128116584441
Long
DBT
CORP
ID
Y
2
2052-04-14
Fixed
6.20000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DQ5
12900000.00000000
PA
USD
9064314.00000000
0.348441128923
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
SCENERY JOURNEY LTD
549300Q2FGQXKG7X0I83
Scenery Journey Ltd
000000000
3600000.00000000
PA
USD
144000.00000000
0.005535501369
Long
DBT
CORP
VG
Y
2
2023-10-24
Fixed
12.00000000
N
Y
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BS2
11000000.00000000
PA
USD
7837170.00000000
0.301268508831
Long
DBT
NUSS
PA
N
2
2063-01-19
Fixed
4.50000000
N
N
N
N
N
N
TELECOM OF TRIN & TOBAGO
5299007N4G3EZWXAMB76
Telecommunications Services of Trinidad & Tobago Ltd
000000000
300000.00000000
PA
USD
244356.00000000
0.009393284533
Long
DBT
CORP
TT
Y
2
2029-10-18
Fixed
8.88000000
N
N
N
N
N
N
Republic of Belarus
635400CVCOWYLHF4ZB08
Republic of Belarus International Bond
000000000
20300000.00000000
PA
USD
7815500.00000000
0.300435492757
Long
DBT
NUSS
BY
Y
3
2030-02-28
Fixed
6.20000000
N
Y
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AQ2
20900000.00000000
PA
USD
14015122.00000000
0.538755048829
Long
DBT
CORP
CO
N
2
2051-11-02
Fixed
5.88000000
N
N
N
N
N
N
PA AUTOPISTA RIO MAGDA
549300DOJDJENE63OG19
PA Autopista Rio Magdalena
000000000
26927998398.40000000
PA
5249988.69000000
0.201814719346
Long
DBT
CORP
CO
Y
2
2036-06-15
Fixed
6.05000000
N
N
N
N
N
N
TRANSNET SOC LTD
378900B07CD6F01EA796
Transnet SOC Ltd
000000000
9100000.00000000
PA
USD
8834189.00000000
0.339594898001
Long
DBT
CORP
ZA
Y
2
2028-02-06
Fixed
8.25000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
165550000.00000000
PA
1866678.16000000
0.071756941055
Long
DBT
CORP
ZA
N
2
2032-12-31
None
0.00000000
N
N
N
N
N
N
REPUBLIC OF MONTENEGRO
747800V014106FYLL014
Montenegro Government International Bond
000000000
7300000.00000000
PA
6799241.17000000
0.261369505634
Long
DBT
NUSS
ME
Y
2
2027-12-16
Fixed
2.88000000
N
N
N
N
N
N
UZBEK INDUSTRIAL AND CON
213800C2NIFPFTXYIU69
Uzbek Industrial and Construction Bank ATB
000000000
1037000.00000000
PA
USD
985378.14000000
0.037878903082
Long
DBT
CORP
UZ
Y
2
2024-12-02
Fixed
5.75000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
21000000.00000000
PA
USD
1522080.00000000
0.058510249480
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
330767206.56000000
PA
494462.82000000
0.019007636232
Long
DBT
NUSS
AR
N
3
2033-12-31
Fixed
4.33000000
N
Y
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CU9
8700000.00000000
PA
USD
9199380.00000000
0.353633198562
Long
DBT
NUSS
PH
N
2
2047-10-13
Fixed
5.95000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
1600000.00000000
PA
USD
1285488.00000000
0.049415420729
Long
DBT
CORP
KZ
Y
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
GABON BLUE BOND MASTER
N/A
Gabon Blue Bond Master Trust Series 2
362419AA1
8100000.00000000
PA
USD
7972833.24000000
0.306483536962
Long
DBT
CORP
US
N
2
2038-08-01
Fixed
6.10000000
N
N
N
N
N
N
REPUBLIC OF SURINAME INT
N/A
Suriname Government International Bond
P68788AA9
14259000.00000000
PA
USD
11770661.91000000
0.452475799502
Long
DBT
NUSS
SR
Y
2
2026-10-26
Fixed
9.25000000
N
Y
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SWAP/CDSWAP/ICE: (CDX.EM.38.V1)_
000000000
116100000.00000000
OU
Notional Amount
USD
3910970.40000000
0.150341541716
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.EM.S38
2I65BZFC1
Y
buy protection
2027-12-21
11377800.00000000
USD
0.00000000
USD
116100000.00000000
USD
-7466829.60000000
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BA9
9418000.00000000
PA
USD
9079987.98000000
0.349043652102
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
Nomura Securities International Inc
OXTKY6Q8X53C9ILVV871
REVERSE REPO NOMURA
000000000
-9647250.00000000
PA
USD
-9647250.00000000
-0.37084976105
Short
RA
CORP
US
N
2
Reverse repurchase
N
4.50000000
2024-06-01
6000000.00000000
USD
5130000.00000000
USD
UST
5000000.00000000
USD
5025000.00000000
USD
CDS
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Kenya Government International Bond
000000000
1194000.00000000
PA
USD
887679.30000000
0.034123263758
Long
DBT
NUSS
KE
Y
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
000000000
5690000.00000000
PA
USD
5490281.00000000
0.211051791646
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
23695612.50000000
PA
USD
22862711.72000000
0.878865083663
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
27000000.00000000
PA
20444746.38000000
0.785916122190
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
22200000.00000000
PA
USD
9971352.00000000
0.383308560114
Long
DBT
NUSS
LK
Y
2
2030-03-28
Fixed
7.55000000
N
Y
N
N
N
N
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (TURKEY)_
000000000
14000000.00000000
OU
Notional Amount
USD
185917.49000000
0.007146850837
N/A
DCR
US
N
2
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
Turkey Government International Bonds
Turkey Government International Bonds
Y
buy protection
2024-12-21
1744253.86000000
USD
0.00000000
USD
14000000.00000000
USD
-1558336.37000000
N
N
N
MVM ENERGETIKA ZRT
529900ELI5AQ9F74PF85
MVM Energetika Zrt
000000000
3900000.00000000
PA
USD
3958500.00000000
0.152168626201
Long
DBT
CORP
HU
Y
2
2028-06-09
Fixed
7.50000000
N
N
N
N
N
N
FIN DEPT GOVT SHARJAH
254900ZNL8O3F1CLJO24
Finance Department Government of Sharjah
000000000
14600000.00000000
PA
USD
8967612.00000000
0.344723809107
Long
DBT
NUSS
AE
Y
2
2050-07-28
Fixed
4.00000000
N
N
N
N
N
N
Enel Generacion Chile SA
549300PVHXUFEIE6LY50
Enel Generacion Chile SA
29244TAC5
16611000.00000000
PA
USD
15549557.10000000
0.597740240483
Long
DBT
CORP
CL
N
3
2097-02-01
Fixed
8.13000000
N
N
N
N
N
N
Republic of Sudan
N/A
DEM REP OF SUDAN TRANCHE B
000000000
5155077.16000000
PA
291791.32000000
0.011216744802
Long
LON
CORP
SD
N
3
2059-12-31
None
0.00000000
N
N
N
N
N
N
Republic of Sri Lanka
N/A
Sri Lanka Government International Bond
Y8137FAH1
9444000.00000000
PA
USD
4241017.08000000
0.163028860114
Long
DBT
NUSS
LK
Y
2
2027-05-11
Fixed
6.20000000
N
Y
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HW3
30247000.00000000
PA
USD
8997575.09000000
0.345875619702
Long
DBT
NUSS
AR
N
2
2046-07-09
Variable
3.63000000
N
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2005-F
126685AK2
704703.44000000
PA
USD
676013.84000000
0.025986635676
Long
ABS-O
CORP
US
N
2
2035-12-15
Floating
5.66000000
N
N
N
N
N
N
HUTAMA KARYA PERSERO PT
2549009QN3GU8QCI7Q61
Hutama Karya Persero PT
000000000
5500000.00000000
PA
USD
4952365.00000000
0.190373772514
Long
DBT
CORP
ID
Y
2
2030-05-11
Fixed
3.75000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123BJ8
13000000.00000000
PA
USD
9987900.00000000
0.383944681480
Long
DBT
NUSS
TR
N
2
2041-01-14
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BT0
2600000.00000000
PA
USD
2663414.00000000
0.102384248929
Long
DBT
NUSS
PA
N
2
2035-02-14
Fixed
6.40000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD HKD
000000000
1.00000000
NC
501054.01000000
0.019261008047
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
851300000.00000000
HKD
109239060.70000000
USD
2023-10-11
501054.01000000
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
5300000.00000000
PA
USD
4030226.00000000
0.154925844057
Long
DBT
NUSS
SV
Y
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325AL9
347000.00000000
PA
USD
353178.71000000
0.013576536340
Long
DBT
NUSS
CO
N
3
2027-02-15
Fixed
8.38000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
14900000.00000000
PA
USD
12625366.00000000
0.485331463816
Long
DBT
NUSS
SA
Y
2
2047-10-04
Fixed
4.63000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
3585371.00000000
PA
USD
1154202.63000000
0.044368682219
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
5600000.00000000
PA
USD
2950192.00000000
0.113408276789
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70000000
N
N
N
N
N
N
Republic of Sri Lanka
N/A
Sri Lanka Government International Bond
Y8137FAF5
5380000.00000000
PA
USD
2519077.40000000
0.096835808324
Long
DBT
NUSS
LK
Y
2
2026-07-18
Fixed
6.83000000
N
Y
N
N
N
N
REPUBLIC OF ALBANIA
254900EDM43U3SGRND29
Albania Government International Bond
000000000
9200000.00000000
PA
8275212.51000000
0.318107292958
Long
DBT
NUSS
AL
Y
2
2031-11-23
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
53161.03000000
0.002043562183
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
112820000000.00000000
COP
27376850.28000000
USD
2023-10-02
53161.03000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
REVERSE REPO BARCLAYS
000000000
-10064250.00000000
PA
USD
-10064250.00000000
-0.38687965043
Short
RA
CORP
US
N
2
Reverse repurchase
N
4.50000000
2024-07-26
15000000.00000000
USD
10064250.00000000
USD
UST
N
N
N
Nomura Securities International Inc
OXTKY6Q8X53C9ILVV871
REVERSE REPO NOMURA
000000000
-216448.00000000
PA
USD
-216448.00000000
-0.00832047361
Short
RA
CORP
US
N
2
Reverse repurchase
N
4.50000000
2024-07-04
256000.00000000
USD
227840.00000000
USD
UST
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BB9
48000000.00000000
PA
USD
33920160.00000000
1.303924251041
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
39550000.00000000
PA
USD
28171069.50000000
1.082923568132
Long
DBT
NUSS
NG
Y
2
2051-09-28
Fixed
8.25000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
3300000.00000000
PA
USD
3542880.00000000
0.136191785372
Long
DBT
NUSS
RO
Y
2
2053-01-17
Fixed
7.63000000
N
N
N
N
N
N
Republic of Albania
N/A
Albania Government International Bond
000000000
40349849.00000000
PA
USD
35700457.76000000
1.372360644718
Long
DBT
NUSS
AL
N
3
2025-08-31
None
0.00000000
N
N
N
N
N
N
ISTANBUL METROPOLITAN MU
213800T1VDQSNKA2MD76
Istanbul Metropolitan Municipality
000000000
11644000.00000000
PA
USD
10872119.24000000
0.417934937136
Long
DBT
NUSS
TR
Y
2
2025-12-09
Fixed
6.38000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
211735.20000000
0.008139308956
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
26500000.00000000
BRL
5538950.32000000
USD
2023-10-03
211735.20000000
N
N
N
EGMV13925 TURKISH HOSPITALS
N/A
EGMV13925 TURKISH HOSPITALS
000000000
14785714.28000000
PA
14910594.52000000
0.573177891615
Long
DBT
NUSS
TR
N
3
2028-06-23
Fixed
8.85000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
97987125.00000000
PA
USD
35661434.27000000
1.370860543451
Long
DBT
NUSS
EC
Y
2
2035-07-31
Variable
3.50000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
27264000.00000000
PA
USD
13897278.72000000
0.534225037455
Long
DBT
NUSS
EG
Y
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DW9
21900000.00000000
PA
USD
14358516.00000000
0.551955451311
Long
DBT
NUSS
PE
N
2
2072-01-15
Fixed
3.60000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
4410000.00000000
PA
USD
3688656.30000000
0.141795569458
Long
DBT
NUSS
DO
Y
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
27303750.00000000
PA
USD
8876722.16000000
0.341229914427
Long
DBT
NUSS
EC
Y
2
2040-07-31
Variable
2.50000000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
000000000
6200000.00000000
PA
USD
5504236.00000000
0.211588235546
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
7576000.00000000
PA
USD
5715940.48000000
0.219726363595
Long
DBT
NUSS
MZ
Y
2
2031-09-15
Variable
5.00000000
N
N
N
N
N
N
MV24 CAPITAL BV
N/A
MV24 Capital BV
000000000
19535311.60000000
PA
USD
17566933.60000000
0.675290173674
Long
DBT
CORP
NL
Y
2
2034-06-01
Fixed
6.75000000
N
N
N
N
N
N
AEROPUERTO INTL TOCUMEN
254900FO1PHX49ZIGB14
Aeropuerto Internacional de Tocumen SA
000000000
9061000.00000000
PA
USD
6788319.98000000
0.260949684369
Long
DBT
CORP
PA
Y
2
2061-08-11
Fixed
5.13000000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AP9
11100000.00000000
PA
USD
11125641.00000000
0.427680562482
Long
DBT
NUSS
MA
N
2
2033-09-08
Fixed
6.50000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
84929000.00000000
PA
USD
65013149.50000000
2.499169292527
Long
DBT
NUSS
DO
Y
2
2060-01-30
Fixed
5.88000000
N
N
N
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
735392.69000000
NS
USD
735392.69000000
0.028269216965
Long
STIV
RF
US
N
1
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAN9
7400000.00000000
PA
USD
6470375.00000000
0.248727567199
Long
DBT
CORP
NL
N
2
2115-06-05
Fixed
6.85000000
N
N
N
N
N
N
NPC UKRENERGO
8945009LCLS92V4AK321
NPC Ukrenergo
000000000
5500000.00000000
PA
USD
1498750.00000000
0.057613421376
Long
DBT
CORP
UA
Y
3
2028-11-09
Fixed
6.88000000
N
Y
N
N
N
N
Nomura Securities International Inc
OXTKY6Q8X53C9ILVV871
REVERSE REPO NOMURA
000000000
-1128372.00000000
PA
USD
-1128372.00000000
-0.04337572744
Short
RA
CORP
US
N
2
Reverse repurchase
N
4.50000000
2024-06-11
1344000.00000000
USD
1187760.00000000
USD
UST
N
N
N
Republic of Congo
N/A
Congolese International Bond
000000000
38164654.00000000
PA
USD
31728948.40000000
1.219691925946
Long
SN
NUSS
CG
Y
3
2029-06-30
Fixed
6.00000000
N
N
N
N
N
N
BOLIVIA GOVERNMENT
529900TGIRPY3SZXEB56
Bolivian Government International Bond
000000000
6900000.00000000
PA
USD
4300425.00000000
0.165312558881
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
24500000.00000000
PA
USD
16241295.00000000
0.624331324463
Long
DBT
NUSS
SV
Y
2
2050-01-20
Fixed
7.12000000
N
N
N
N
N
N
HERITAGE PETROL CO LTD
25490055MYPABN06OA04
Heritage Petroleum Co Ltd
000000000
21100000.00000000
PA
USD
21876058.00000000
0.840937146033
Long
DBT
CORP
TT
Y
2
2029-08-12
Fixed
9.00000000
N
N
N
N
N
N
PAKISTAN WATER & POWER
213800UA74QOTK6IES10
Pakistan Water & Power Development Authority
000000000
4826000.00000000
PA
USD
2075710.86000000
0.079792363258
Long
DBT
NUSS
PK
Y
2
2031-06-04
Fixed
7.50000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
4000000.00000000
PA
2714346.28000000
0.104342135774
Long
DBT
NUSS
RO
Y
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
PERUSAHAAN PENERBIT SBSN
254900G208H6Q0L5B953
Perusahaan Penerbit SBSN Indonesia III
71567RAV8
5400000.00000000
PA
USD
5247882.00000000
0.201733736114
Long
DBT
NUSS
ID
Y
2
2032-06-06
Fixed
4.70000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
7600000.00000000
PA
USD
6491844.00000000
0.249552856636
Long
DBT
NUSS
DO
Y
2
2048-02-15
Fixed
6.50000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
60605000.00000000
PA
USD
4532041.90000000
0.174216139904
Long
DBT
NUSS
LB
Y
2
2031-11-20
None
0.00000000
Y
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
6800000.00000000
PA
USD
517140.00000000
0.019879369294
Long
DBT
NUSS
LB
Y
2
2027-03-23
None
0.00000000
Y
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.000000 20-SEP-2053_
000000000
26500000.00000000
OU
Notional Amount
-171789.98000000
-0.00660377548
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-09-22
0.00000000
GBP
-244914.54000000
GBP
26500000.00000000
GBP
139656.88000000
N
N
N
ABU DHABI CRUDE OIL
549300DONDFW2383FV66
Abu Dhabi Crude Oil Pipeline LLC
000000000
3100000.00000000
PA
USD
2749514.00000000
0.105694017456
Long
DBT
CORP
AE
Y
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
44500000.00000000
PA
USD
29434080.00000000
1.131474931695
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
6531249.81000000
PA
USD
2260890.09000000
0.086910834656
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
5.58000000
N
N
N
N
N
N
COMMONWEALTH OF BAHAMAS
549300W13SXC7EKNJC20
Bahamas Government International Bond
000000000
2131000.00000000
PA
USD
1742369.53000000
0.066978395280
Long
DBT
NUSS
BS
Y
2
2028-11-21
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HT0
42247942.00000000
PA
USD
12409910.48000000
0.477049142106
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
3.63000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
OPTION/OTC/APR24 BRAZIL BR P @ 100
000000000
41197000.00000000
NC
USD
110847.41000000
0.004261083263
N/A
DE
US
N
3
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Put
Purchased
Brazil Credit Linked Put Option Swap
Brazil Credit Linked Put Option Swap
1.00000000
1.00000000
USD
2024-04-15
XXXX
110847.41000000
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
19676250.00000000
PA
USD
9567773.33000000
0.367794599832
Long
DBT
NUSS
EC
Y
2
2030-07-31
Variable
6.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (EGYPT)
000000000
2500000.00000000
OU
Notional Amount
USD
962174.66000000
0.036986938531
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Egypt Government International Bonds
Egypt Government International Bonds
Y
buy protection
2027-12-21
712499.78000000
USD
0.00000000
USD
2500000.00000000
USD
249674.88000000
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
46800000.00000000
PA
USD
24956568.00000000
0.959354974680
Long
DBT
NUSS
EG
Y
2
2050-05-29
Fixed
8.88000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
3800000.00000000
PA
USD
1510500.00000000
0.058065102912
Long
DBT
NUSS
RU
Y
3
2035-03-28
Fixed
5.10000000
N
Y
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
56500000.00000000
PA
USD
37679850.00000000
1.448450425664
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
1600000.00000000
PA
1077046.36000000
0.041402719453
Long
DBT
NUSS
RS
Y
2
2036-09-23
Fixed
2.05000000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
000000000
15100000.00000000
PA
USD
9100921.00000000
0.349848337941
Long
DBT
NUSS
HU
Y
2
2051-09-21
Fixed
3.13000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
SWAP/CDSWAP/CDS: (BAHAMA)_SDB250620BH4
000000000
14536906.00000000
OU
Notional Amount
997683.48000000
0.038351932432
N/A
DCR
XX
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
COMMONWEALTH OF BAHAMAS
COMMONWEALTH OF BAHAMAS
Y
buy protection
2025-06-21
1416144.89000000
EUR
0.00000000
EUR
14536906.00000000
EUR
-807425.38000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
826994.73000000
0.031790489311
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
132700000.00000000
EUR
144829907.95000000
USD
2023-09-21
826994.73000000
N
N
N
Bona Fide Investments Feeder LLC
N/A
EGMV14006 BONA FIDE INV FEEDER
000000000
3083695.00000000
NS
USD
4225164.79000000
0.162419482523
Long
PF
US
Y
3
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
21033493.00000000
PA
USD
7026448.67000000
0.270103584992
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR 3.000000 20-SEP-2033_
000000000
21400000.00000000
OU
Notional Amount
68737.99000000
0.002642355818
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
8176.77000000
EUR
0.00000000
EUR
21400000.00000000
EUR
59913.21000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
977200000.00000000
PA
30494595.82000000
1.172242200962
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
9300000.00000000
PA
USD
9509250.00000000
0.365544905572
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
1966666.63000000
PA
USD
1832157.92000000
0.070429949140
Long
DBT
NUSS
US
N
3
2025-04-10
Variable
9.17000000
N
N
N
N
N
N
SADEREA
635400IPZLZJ55ANED20
Saderea DAC
000000000
7121144.48000000
PA
USD
2995367.00000000
0.115144848139
Long
SN
CORP
IE
Y
2
2026-11-30
Fixed
12.50000000
N
Y
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71656MAF6
5200000.00000000
PA
USD
3019250.00000000
0.116062934106
Long
DBT
CORP
MX
Y
2
2023-10-02
Fixed
6.63000000
N
N
N
N
N
N
Nomura Securities International Inc
OXTKY6Q8X53C9ILVV871
REVERSE REPO NOMURA
000000000
-646000.00000000
PA
USD
-646000.00000000
-0.02483287420
Short
RA
CORP
US
N
2
Reverse repurchase
N
4.50000000
2024-07-11
850000.00000000
USD
680000.00000000
USD
AMBS
N
N
N
CHINA EVERGRANDE GROUP
549300CUF7B1LAB15T90
China Evergrande Group
000000000
14300000.00000000
PA
USD
629200.00000000
0.024187065708
Long
DBT
CORP
KY
Y
2
2024-01-22
None
0.00000000
Y
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
10000000.00000000
PA
USD
9731900.00000000
0.374103790156
Long
DBT
NUSS
RO
Y
2
2034-05-25
Fixed
6.00000000
N
N
N
N
N
N
TRANSJAMAICAN HIGHWAY
254900AWJ3QIGYQ04W45
TransJamaican Highway Ltd
000000000
7290178.67000000
PA
USD
6033351.87000000
0.231927969041
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
800000.00000000
PA
USD
587176.00000000
0.022571621891
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
REPUBLIC OF GABON
N/A
Gabon Government International Bond
000000000
10600000.00000000
PA
USD
7643554.00000000
0.293825719711
Long
DBT
NUSS
GA
Y
2
2031-11-24
Fixed
7.00000000
N
N
N
N
N
N
DEBT AND ASSET TRADING C
5493008AE7RS4XK4BZ08
Viet Nam Debt & Asset Trading Corp
Y2031QAA2
14458000.00000000
PA
USD
12139081.38000000
0.466638205620
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
6800000.00000000
PA
USD
3985956.00000000
0.153224061796
Long
DBT
NUSS
AE
Y
2
2070-09-02
Fixed
2.70000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
000000000
4100000.00000000
PA
USD
2884862.50000000
0.110896946673
Long
DBT
CORP
MA
Y
2
2051-06-23
Fixed
5.13000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
18400000.00000000
PA
USD
9693488.00000000
0.372627195165
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70000000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
000000000
1950000.00000000
PA
USD
2115457.50000000
0.081320263120
Long
DBT
NUSS
GT
Y
2
2034-10-06
Fixed
8.13000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
34000000.00000000
PA
USD
13515000.00000000
0.519529868161
Long
DBT
NUSS
RU
N
3
2035-03-28
Fixed
5.10000000
N
Y
N
N
N
N
SOCIALIST REP OF VIETNAM
5493008AE7RS4XK4BZ08
Vietnam Government International Bond
000000000
8018000.00000000
PA
USD
7376560.00000000
0.283562208234
Long
DBT
NUSS
VN
N
3
2028-03-13
Floating
6.31000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
SWAP/CDSWAP/CDS: (BAHAMA)_SDB250620BH3
000000000
19426321.00000000
OU
Notional Amount
USD
-1212925.51000000
-0.04662604737
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
COMMONWEALTH OF BAHAMAS
COMMONWEALTH OF BAHAMAS
Y
sell protection
2025-06-21
0.00000000
USD
-2080154.30000000
USD
19426321.00000000
USD
867228.79000000
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
5000000.00000000
PA
USD
3307200.00000000
0.127132014797
Long
DBT
NUSS
SA
Y
2
2061-02-02
Fixed
3.45000000
N
N
N
N
N
N
Kingdom of Jordan
5493000JZ4MYPVMBVN50
Jordan Government International Bond
000000000
1645000.00000000
PA
USD
1434785.45000000
0.055154561278
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.38000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (MEX)_
000000000
16200000.00000000
OU
Notional Amount
USD
617826.34000000
0.023749851051
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
UNITED MEXICAN STATES
UNITED MEXICAN STATES
Y
buy protection
2031-09-23
2138930.55000000
USD
0.00000000
USD
16200000.00000000
USD
-1521104.21000000
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780DR4
3100000.00000000
PA
USD
3036171.00000000
0.116713393958
Long
DBT
NUSS
ID
N
2
2033-01-11
Fixed
4.85000000
N
N
N
N
N
N
Commonwealth of Bahamas
549300W13SXC7EKNJC20
Bahamas Government International Bond
000000000
6709000.00000000
PA
USD
5485479.67000000
0.210867223807
Long
DBT
NUSS
BS
Y
2
2028-11-21
Fixed
6.00000000
N
N
N
N
N
N
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (SOAF)
000000000
37800000.00000000
OU
Notional Amount
USD
78662.05000000
0.003023846427
N/A
DCR
US
N
2
Barclays Capital, Inc.
G5GSEF7VJP5I7OUK5573
Republic of South Africa Government International Bonds
Republic of South Africa Government International Bonds
Y
buy protection
2025-06-21
561569.37000000
USD
0.00000000
USD
37800000.00000000
USD
-482907.32000000
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
731011AW2
6700000.00000000
PA
USD
6508648.00000000
0.250198818893
Long
DBT
NUSS
PL
N
2
2053-04-04
Fixed
5.50000000
N
N
N
N
N
N
SCENERY JOURNEY LTD
549300Q2FGQXKG7X0I83
Scenery Journey Ltd
000000000
6100000.00000000
PA
USD
244000.00000000
0.009379599543
Long
DBT
CORP
VG
Y
2
2022-10-24
Fixed
11.50000000
N
Y
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.450000 20-SEP-2033_
000000000
54000000.00000000
OU
Notional Amount
USD
-1539203.06000000
-0.05916847671
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
USD
-1200.00000000
USD
54000000.00000000
USD
-1538003.06000000
N
N
N
TUNISIAN REPUBLIC
254900B5LFB16S9T2T11
Tunisian Republic
000000000
730000000.00000000
PA
1705900.55000000
0.065576491885
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
2990000.00000000
PA
USD
1944995.00000000
0.074767517271
Long
DBT
NUSS
ET
Y
2
2024-12-11
Fixed
6.63000000
N
N
N
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
857524AE2
10500000.00000000
PA
USD
10907715.00000000
0.419303273096
Long
DBT
NUSS
PL
N
2
2032-11-16
Fixed
5.75000000
N
N
N
N
N
N
DELHI INTL AIRPORT
335800HBF5DARYMEUD12
Delhi International Airport Ltd
000000000
24100000.00000000
PA
USD
22603872.00000000
0.868915030714
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
22300000.00000000
PA
USD
5908162.00000000
0.227115547535
Long
DBT
NUSS
UA
Y
3
2035-03-15
Fixed
7.25000000
N
Y
N
N
N
N
BANGKO PILIPINAS BOND
4IDQTQC5NXVM3WSFHR30
Bangko Sentral ng Pilipinas International Bond
059891AB7
3800000.00000000
PA
USD
5700000.00000000
0.219113595895
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
4519000.00000000
PA
USD
1287915.00000000
0.049508716992
Long
DBT
NUSS
UA
Y
3
2028-09-01
Fixed
7.75000000
N
Y
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
500000.00000000
PA
USD
398680.00000000
0.015325650598
Long
DBT
NUSS
BH
Y
2
2051-01-25
Fixed
6.25000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HV5
64101240.00000000
PA
USD
19720746.49000000
0.758084855641
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
SWAP/CDSWAP/SCDS: (EGYPT)
000000000
2800000.00000000
OU
Notional Amount
USD
1077635.61000000
0.041425370802
N/A
DCR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Egypt Government International Bonds
Egypt Government International Bonds
Y
buy protection
2027-12-21
812000.00000000
USD
0.00000000
USD
2800000.00000000
USD
265635.61000000
N
N
N
REPUBLIC OF VENEZUELA
N/A
Venezuela Government International Bond
P17625AA5
172793000.00000000
PA
USD
16415335.00000000
0.631021592924
Long
DBT
NUSS
VE
Y
3
2023-05-07
None
0.00000000
Y
N
N
N
N
N
EIG PEARL HOLDINGS SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings Sarl
28249NAB7
10800000.00000000
PA
USD
8134560.00000000
0.312700472390
Long
DBT
CORP
LU
N
2
2046-11-30
Fixed
4.39000000
N
N
N
N
N
N
REPUBLIC OF VENEZUELA
N/A
Venezuela Government International Bond
922646BL7
7000000.00000000
PA
USD
665000.00000000
0.025563252854
Long
DBT
NUSS
VE
N
3
2034-01-13
None
0.00000000
Y
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
REVERSE REPO NOMURA
000000000
-513000.00000000
PA
USD
-513000.00000000
-0.01972022363
Short
RA
CORP
US
N
2
Reverse repurchase
N
4.75000000
2024-08-02
500000.00000000
USD
540000.00000000
USD
CDS
N
N
N
RIO SMART LIGHTING SARL
N/A
Rio Smart Lighting Sarl
000000000
60119770.00000000
PA
12489051.97000000
0.480091418678
Long
DBT
CORP
BR
Y
2
2032-09-20
Fixed
12.25000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BE3
21200000.00000000
PA
USD
17865028.00000000
0.686749215060
Long
DBT
NUSS
ZA
N
2
2052-04-20
Fixed
7.30000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
5600000.00000000
PA
4790730.10000000
0.184160368276
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
9400000.00000000
PA
USD
8969950.00000000
0.344813684122
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
14600000.00000000
PA
USD
13285854.00000000
0.510721270960
Long
DBT
NUSS
GT
Y
2
2050-06-01
Fixed
6.13000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780DS2
1500000.00000000
PA
USD
1529460.00000000
0.058793943925
Long
DBT
NUSS
ID
N
2
2053-01-11
Fixed
5.65000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
14900000.00000000
PA
16810851.31000000
0.646225628173
Long
DBT
NUSS
RO
Y
2
2029-09-27
Fixed
6.63000000
N
N
N
N
N
N
PARIS CLUB LOAN PARTICIPATION
N/A
PARIS CLUB LOAN PARTICIPATION
000000000
119.83000000
PA
110.05000000
0.000004230430
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
14700000.00000000
PA
USD
6722898.00000000
0.258434799230
Long
DBT
NUSS
PK
Y
2
2036-03-31
Fixed
7.88000000
N
N
N
N
N
N
STATE AGE ROADS
254900FGEO8P5USHG994
State Agency of Roads of Ukraine
000000000
13900000.00000000
PA
USD
3627761.00000000
0.139454694343
Long
DBT
NUSS
UA
Y
3
2030-06-24
Fixed
6.25000000
N
Y
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust
92926SAE6
3394852.67000000
PA
USD
1267170.18000000
0.048711265745
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.79000000
N
N
N
N
N
N
UKRAINE RAIL (RAIL CAPL)
213800IW9C7PR3HKI783
Ukraine Railways Via Rail Capital Markets PLC
000000000
200000.00000000
PA
USD
75794.00000000
0.002913595769
Long
DBT
CORP
GB
Y
3
2028-07-15
Fixed
7.88000000
N
Y
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
19700000.00000000
PA
USD
19079450.00000000
0.733432788982
Long
DBT
CORP
ZA
Y
2
2028-08-10
Fixed
8.45000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
6660000.00000000
PA
1910737.13000000
0.073450611116
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
3.00000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CM0
76613000.00000000
PA
USD
54333939.60000000
2.088649979807
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
4000000.00000000
PA
USD
4294400.00000000
0.165080951966
Long
DBT
NUSS
RO
Y
2
2053-01-17
Fixed
7.63000000
N
N
N
N
N
N
AES PANAMA GENERATION HL
N/A
AES Panama Generation Holdings SRL
000000000
2874037.55000000
PA
USD
2486617.29000000
0.095588009829
Long
DBT
CORP
PA
Y
2
2030-05-31
Fixed
4.38000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
10900000.00000000
PA
7396593.62000000
0.284332320254
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
10200000.00000000
PA
9102467.87000000
0.349907801142
Long
DBT
NUSS
MK
Y
2
2028-03-10
Fixed
1.63000000
N
N
N
N
N
N
PANAMA BONOS DEL TESORO
549300SHS4T08CL0LP14
Panama Bonos del Tesoro
000000000
22800000.00000000
PA
USD
22331004.00000000
0.858425716910
Long
DBT
NUSS
PA
Y
2
2033-07-25
Fixed
6.38000000
N
N
N
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CM0
700000.00000000
PA
USD
496440.00000000
0.019083640973
Long
DBT
NUSS
TR
N
2
2047-05-11
Fixed
5.75000000
N
N
N
N
N
N
ELECTRICIDAD DE CARACAS
N/A
CA La Electricidad de Caracas
000000000
111465000.00000000
PA
USD
557325.00000000
0.021424120146
Long
DBT
CORP
VE
Y
3
2018-04-10
None
0.00000000
Y
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
3300000.00000000
PA
USD
2927958.00000000
0.112553580001
Long
DBT
NUSS
SA
Y
2
2053-01-18
Fixed
5.00000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
REVERSE REPO NOMURA
000000000
-989833.50000000
PA
USD
-989833.50000000
-0.03805017149
Short
RA
CORP
US
N
2
Reverse repurchase
N
4.75000000
2024-08-30
1224000.00000000
USD
1041930.00000000
USD
CDS
N
N
N
LIRAQUEAR 12/27 FIXED 4.5
N/A
LIRAQUEAR
000000000
503981.39000000
PA
452905.66000000
0.017410138204
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
5700000.00000000
PA
USD
4578069.00000000
0.175985466815
Long
DBT
NUSS
UZ
Y
2
2030-11-25
Fixed
3.70000000
N
N
N
N
N
N
Republic of Sudan
N/A
DEM REP OF SUDAN TRANCHE A
000000000
11833577.95000000
PA
669812.53000000
0.025748251232
Long
LON
CORP
SD
N
3
2059-12-31
None
0.00000000
N
N
N
N
N
N
Kingdom of Jordan
5493000JZ4MYPVMBVN50
Jordan Government International Bond
000000000
39450000.00000000
PA
USD
34408684.50000000
1.322703612423
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.38000000
N
N
N
N
N
N
Scenery Journey Ltd
549300Q2FGQXKG7X0I83
Scenery Journey Ltd
000000000
4100000.00000000
PA
USD
164000.00000000
0.006304321004
Long
DBT
CORP
VG
Y
2
2023-11-06
None
0.00000000
Y
N
N
N
N
N
India Airport Infra
254900N1JEUJFV1S3E87
India Airport Infra
000000000
3350000.00000000
PA
USD
3267992.00000000
0.125624820785
Long
DBT
CORP
MU
Y
2
2025-10-25
Fixed
6.25000000
N
N
N
N
N
N
PETROLEOS DEL PERU SA
549300ZMGDLC9JT2OR80
Petroleos del Peru SA
000000000
3200000.00000000
PA
USD
2051936.00000000
0.078878434299
Long
DBT
CORP
PE
Y
2
2047-06-19
Fixed
5.63000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BB9
5600000.00000000
PA
USD
3957352.00000000
0.152124495954
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
17800000.00000000
PA
USD
5206500.00000000
0.200142971408
Long
DBT
NUSS
UA
Y
3
2030-11-01
Fixed
9.75000000
N
Y
N
N
N
N
REPUBLIC OF SURINAME INT
254900SYU4G5JM13TN77
Suriname Government International Bond
000000000
2700000.00000000
PA
USD
2295594.00000000
0.088244887027
Long
DBT
NUSS
SR
Y
2
2023-12-30
Fixed
12.88000000
N
Y
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
REVERSE REPO NOMURA
000000000
-217193.75000000
PA
USD
-217193.75000000
-0.00834914097
Short
RA
CORP
US
N
2
Reverse repurchase
N
4.00000000
2024-08-22
775000.00000000
USD
228625.00000000
USD
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/SCDS: (SOAF)
000000000
41600000.00000000
OU
Notional Amount
USD
2405732.55000000
0.092478721016
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Republic of South Africa Government International Bonds
Republic of South Africa Government International Bonds
Y
buy protection
2028-06-21
3441729.74000000
USD
0.00000000
USD
41600000.00000000
USD
-1035997.19000000
N
N
N
MV24 CAPITAL BV
N/A
MV24 Capital BV
000000000
3362360.00000000
PA
USD
3023568.61000000
0.116228945714
Long
DBT
CORP
NL
Y
2
2034-06-01
Fixed
6.75000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BF8
81100000.00000000
PA
2224312.58000000
0.085504759262
Long
DBT
NUSS
UY
N
2
2033-07-20
Fixed
9.75000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
5547000.00000000
PA
USD
410866.29000000
0.015794103549
Long
DBT
NUSS
LB
Y
2
2028-03-20
None
0.00000000
Y
N
N
N
N
N
CHINA EVERGRANDE GROUP
549300CUF7B1LAB15T90
China Evergrande Group
000000000
11200000.00000000
PA
USD
448000.00000000
0.017221559817
Long
DBT
CORP
KY
Y
2
2023-01-22
None
0.00000000
Y
N
N
N
N
N
ACWA POWER MGMT INVST
635400M3OWQGQBZOYO38
Acwa Power Management And Investments One Ltd
000000000
3591756.00000000
PA
USD
3465505.78000000
0.133217444394
Long
DBT
CORP
AE
Y
2
2039-12-15
Fixed
5.95000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
56500000.00000000
PA
USD
54537190.00000000
2.096463124721
Long
DBT
NUSS
OM
Y
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
1600000.00000000
PA
USD
456000.00000000
0.017529087671
Long
DBT
NUSS
UA
Y
3
2029-09-01
Fixed
7.75000000
N
Y
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (COLOM)
000000000
4900000.00000000
OU
Notional Amount
USD
-30611.76000000
-0.00117674610
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Colombia Government International Bonds
Colombia Government International Bonds
Y
buy protection
2025-06-21
66491.77000000
USD
0.00000000
USD
4900000.00000000
USD
-97103.53000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
3016.70000000
0.000115964909
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3695100000.00000000
JPY
25464439.51000000
USD
2023-09-21
3016.70000000
N
N
N
Government of Grenada
N/A
Grenada Government International Bond
P48863AE7
6538875.30000000
PA
USD
5541696.82000000
0.213028266243
Long
DBT
NUSS
GD
Y
2
2030-05-12
Fixed
7.00000000
N
N
N
N
N
N
EMPRESAS PUBLIC MEDELLIN
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP
000000000
41560000000.00000000
PA
8224826.11000000
0.316170390276
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
3600000.00000000
PA
USD
1615140.00000000
0.062087567241
Long
DBT
NUSS
LK
Y
2
2029-03-14
Fixed
7.85000000
N
Y
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/SCDS: (TURKEY)
000000000
1800000.00000000
OU
Notional Amount
USD
193134.71000000
0.007424287859
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Turkey Government International Bonds
Turkey Government International Bonds
Y
buy protection
2028-06-21
394493.33000000
USD
0.00000000
USD
1800000.00000000
USD
-201358.62000000
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
000000000
6100000.00000000
PA
USD
5800917.00000000
0.222992944448
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
4900000.00000000
PA
USD
2198385.00000000
0.084508077633
Long
DBT
NUSS
LK
Y
2
2029-03-14
Fixed
7.85000000
N
Y
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
2800000.00000000
PA
USD
798000.00000000
0.030675903425
Long
DBT
NUSS
UA
Y
3
2028-09-01
Fixed
7.75000000
N
Y
N
N
N
N
LLPL CAPITAL PTE LTD
254900VXZ8FXTUQNON22
LLPL Capital Pte Ltd
000000000
2333340.00000000
PA
USD
2059965.89000000
0.079187111154
Long
DBT
CORP
SG
Y
2
2039-02-04
Fixed
6.88000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
1500000.00000000
PA
1220463.65000000
0.046915820879
Long
DBT
NUSS
CI
Y
2
2040-10-17
Fixed
6.88000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CX3
2300000.00000000
PA
USD
2310810.00000000
0.088829805005
Long
DBT
NUSS
PH
N
2
2048-01-17
Fixed
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR 2.650000 20-SEP-2053_
000000000
28400000.00000000
OU
Notional Amount
289888.95000000
0.011143615832
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-09-22
15926.56000000
EUR
0.00000000
EUR
28400000.00000000
EUR
272700.20000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (MEX)_SGO29M20MX00
000000000
16200000.00000000
OU
Notional Amount
USD
174520.62000000
0.006708743965
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
United Mexican States
United Mexican States
Y
buy protection
2029-06-21
1287609.48000000
USD
0.00000000
USD
16200000.00000000
USD
-1113088.86000000
N
N
N
GTLK EUROPE CAPITAL DAC
635400I6H6CSZ39WIN49
GTLK Europe Capital DAC
000000000
5200000.00000000
PA
USD
2600.00000000
0.000099946552
Long
DBT
CORP
IE
Y
3
2028-02-26
Fixed
4.80000000
N
Y
N
N
N
N
REPUBLIC OF RWANDA
213800DQC28OBRZDYJ87
Rwanda International Government Bond
000000000
4500000.00000000
PA
USD
3460725.00000000
0.133033666518
Long
DBT
NUSS
RW
Y
2
2031-08-09
Fixed
5.50000000
N
N
N
N
N
N
PETROLEOS DE VENEZUELA S
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA
P7807HAT2
176000000.00000000
PA
USD
11264000.00000000
0.432999218274
Long
DBT
CORP
VE
Y
3
2024-05-16
None
0.00000000
Y
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
SWAP/CDSWAP/SCDS: (EGYPT)
000000000
2800000.00000000
OU
Notional Amount
USD
1077635.61000000
0.041425370802
N/A
DCR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Egypt Government International Bonds
Egypt Government International Bonds
Y
buy protection
2027-12-21
772800.00000000
USD
0.00000000
USD
2800000.00000000
USD
304835.61000000
N
N
N
REP OF ANGOLA(AVENIR IS)
635400VEZIQKZPR7KU35
Republic of Angola Via Avenir Issuer II Ireland DAC
000000000
6800000.00000000
PA
USD
6358000.00000000
0.244407761877
Long
DBT
NUSS
IE
Y
3
2027-02-19
Fixed
6.93000000
N
N
N
N
N
N
COSTA RICA GOVERNMENT
549300S1EK2VN6XVJP58
Costa Rica Government International Bond
221597CR6
4100000.00000000
PA
USD
4123657.00000000
0.158517423422
Long
DBT
NUSS
CR
N
2
2034-04-03
Fixed
6.55000000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
445545AQ9
21900000.00000000
PA
USD
20758791.00000000
0.797988305691
Long
DBT
NUSS
HU
N
2
2034-06-16
Fixed
5.50000000
N
N
N
N
N
N
CHINA EVERGRANDE GROUP
549300CUF7B1LAB15T90
China Evergrande Group
000000000
7500000.00000000
PA
USD
300000.00000000
0.011532294520
Long
DBT
CORP
KY
Y
2
2024-04-11
None
0.00000000
Y
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
56914000.00000000
PA
USD
4163259.10000000
0.160039767025
Long
DBT
NUSS
LB
N
2
2034-05-17
None
0.00000000
Y
N
N
N
N
N
Petroleos del Peru SA
549300ZMGDLC9JT2OR80
Petroleos del Peru SA
P7808BAB3
46395000.00000000
PA
USD
29749865.85000000
1.143614049787
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
13100000.00000000
PA
USD
12359850.00000000
0.475124768109
Long
DBT
NUSS
AZ
Y
2
2029-09-01
Fixed
5.13000000
N
N
N
N
N
N
Bona Fide Investment Holdings II LLC
N/A
Bona Fide Investment Holdings II LLC
000000000
9300000.00000000
NS
USD
9284087.70000000
0.356889445710
Long
PF
US
Y
3
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325EG6
4700000.00000000
PA
USD
4658546.00000000
0.179079081702
Long
DBT
NUSS
CO
N
2
2034-02-02
Fixed
7.50000000
N
N
N
N
N
N
Transnet SOC Ltd
378900B07CD6F01EA796
Transnet SOC Ltd
000000000
22200000.00000000
PA
1260339.32000000
0.048448680781
Long
DBT
CORP
ZA
N
2
2028-04-18
Fixed
13.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFZ9
9100000.00000000
PA
USD
8932929.64000000
0.343390585139
Long
DBT
UST
US
N
1
2027-11-30
Fixed
3.88000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-43757.96000000
-0.00168209894
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
112820000000.00000000
COP
27537222.36000000
USD
2023-09-05
-43757.96000000
N
N
N
REPUBLIC OF VENEZUELA
N/A
Venezuela Government International Bond
P97475AN0
19028000.00000000
PA
USD
1379530.00000000
0.053030487534
Long
DBT
NUSS
VE
Y
3
2019-10-13
None
0.00000000
Y
N
N
N
N
N
COMMONWEALTH OF BAHAMAS
549300W13SXC7EKNJC20
Bahamas Government International Bond
000000000
4400000.00000000
PA
USD
3910236.00000000
0.150313310659
Long
DBT
NUSS
BS
Y
2
2029-06-16
Fixed
9.00000000
N
N
N
N
N
N
PETROLEOS DE VENEZUELA S
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA
P7807HAR6
61967000.00000000
PA
USD
3872937.50000000
0.148879519702
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
5600000.00000000
PA
USD
4076016.00000000
0.156686056611
Long
DBT
NUSS
CL
N
2
2041-05-07
Fixed
3.10000000
N
N
N
N
N
N
CHILE ELECTRICITY LUX
N/A
Chile Electricity Lux MPC Sarl
168829AA7
4400000.00000000
PA
USD
4443120.00000000
0.170797894770
Long
DBT
CORP
LU
N
2
2033-01-20
Fixed
6.01000000
N
N
N
N
N
N
TELECOM OF TRIN & TOBAGO
5299007N4G3EZWXAMB76
Telecommunications Services of Trinidad & Tobago Ltd
000000000
9900000.00000000
PA
USD
8063748.00000000
0.309978389591
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
900000.00000000
PA
USD
704061.00000000
0.027064796042
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
4100000.00000000
PA
USD
2965735.00000000
0.114005764968
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
11746000.00000000
PA
USD
5344430.00000000
0.205445136019
Long
DBT
NUSS
UA
Y
3
2041-08-01
Floating
7.75000000
N
N
N
N
N
N
INSTITUTO COSTARRICENSE
5493009VA6AFUB2Q0289
Instituto Costarricense de Electricidad
P56226AQ9
4598000.00000000
PA
USD
3826455.60000000
0.147092709833
Long
DBT
CORP
CR
Y
2
2043-05-15
Fixed
6.38000000
N
N
N
N
N
N
INDO ASAHAN/MINERAL IND
2549008P48EB9SN2OI80
Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT
000000000
15600000.00000000
PA
USD
13324740.00000000
0.512216086976
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
6150000.00000000
PA
USD
5266675.50000000
0.202456176704
Long
DBT
NUSS
HN
Y
2
2030-06-24
Fixed
5.63000000
N
N
N
N
N
N
REPUBLIC OF EL SALVADOR
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
900000.00000000
PA
USD
684378.00000000
0.026308162198
Long
DBT
NUSS
SV
Y
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
INSTITUTO COSTARRICENSE
5493009VA6AFUB2Q0289
Instituto Costarricense de Electricidad
000000000
3700000.00000000
PA
USD
3079140.00000000
0.118365164502
Long
DBT
CORP
CR
Y
2
2043-05-15
Fixed
6.38000000
N
N
N
N
N
N
CHAD B
N/A
CHAD B
000000000
11913032.03000000
PA
USD
8029383.59000000
0.308657387934
Long
DBT
CORP
US
N
3
2027-12-31
Variable
11.15000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (COLOM)
000000000
45000000.00000000
OU
Notional Amount
USD
-281128.38000000
-0.01080685092
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Colombia Government International Bonds
Colombia Government International Bonds
Y
buy protection
2025-06-21
913315.32000000
USD
0.00000000
USD
45000000.00000000
USD
-1194443.70000000
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
2800000.00000000
PA
USD
2702728.00000000
0.103895517685
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
68190000.00000000
PA
USD
62727299.10000000
2.411298959050
Long
DBT
NUSS
BH
Y
2
2047-09-20
Fixed
7.50000000
N
N
N
N
N
N
INDIA AIRPORT INFRA
254900N1JEUJFV1S3E87
India Airport Infra
000000000
2981000.00000000
PA
USD
2908025.12000000
0.111787340525
Long
DBT
CORP
MU
Y
2
2025-10-25
Fixed
6.25000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HW3
12200000.00000000
PA
USD
3629134.00000000
0.139507473811
Long
DBT
NUSS
AR
N
2
2046-07-09
Variable
3.63000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BM5
24400000.00000000
PA
USD
17612652.00000000
0.677047633854
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
000000000
4000000.00000000
PA
USD
3833600.00000000
0.147367347583
Long
DBT
CORP
CL
Y
2
2033-02-02
Fixed
5.13000000
N
N
N
N
N
N
DUA CAPITAL LTD
213800ILVLALFTITCB43
Dua Capital Ltd
000000000
4900000.00000000
PA
USD
4131435.00000000
0.158816417378
Long
DBT
CORP
MY
Y
2
2031-05-11
Fixed
2.78000000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
05675M2K9
5000000.00000000
PA
USD
5110400.00000000
0.196448793063
Long
DBT
NUSS
BH
N
2
2035-04-18
Fixed
7.75000000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
Angolan Government International Bond
000000000
18900000.00000000
PA
USD
14399532.00000000
0.553532146618
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
24100000.00000000
PA
USD
10790775.00000000
0.414807984692
Long
DBT
NUSS
LK
Y
2
2028-04-18
Fixed
6.75000000
N
Y
N
N
N
N
DEVELOPMENT BANK BELARUS
253400D4JRB0M70A0687
Development Bank of the Republic of Belarus JSC
000000000
8304000.00000000
PA
USD
3197040.00000000
0.122897356249
Long
DBT
NUSS
BY
Y
3
2024-05-02
Fixed
6.75000000
N
Y
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
9000000.00000000
PA
USD
7985340.00000000
0.306964309095
Long
DBT
NUSS
SA
Y
2
2053-01-18
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325AL9
745000.00000000
PA
USD
758265.53000000
0.029148471389
Long
DBT
NUSS
CO
N
3
2027-02-15
Fixed
8.38000000
N
N
N
N
N
N
Israel Electric Corp Ltd
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
M60170AC7
15783000.00000000
PA
USD
18939284.34000000
0.728044683406
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
2375000.00000000
PA
USD
1673638.75000000
0.064336316621
Long
DBT
NUSS
SV
Y
2
2035-06-15
Fixed
7.65000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (PETBRA)_
000000000
40600000.00000000
OU
Notional Amount
USD
-317600.67000000
-0.01220888155
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Petrobras Global Finance BV
Petrobras Global Finance BV
Y
buy protection
2024-12-21
644565.28000000
USD
0.00000000
USD
40600000.00000000
USD
-962165.95000000
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
36600000.00000000
PA
USD
15053214.00000000
0.578660324441
Long
DBT
NUSS
GH
Y
2
2061-03-11
Fixed
8.75000000
N
Y
N
N
N
N
GTLK EUROPE CAPITAL DAC
635400I6H6CSZ39WIN49
GTLK Europe Capital DAC
000000000
6800000.00000000
PA
USD
3400.00000000
0.000130699337
Long
DBT
CORP
IE
Y
3
2029-02-27
Fixed
4.35000000
N
Y
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
1300000.00000000
PA
USD
1196000.00000000
0.045975414156
Long
DBT
NUSS
EC
N
3
2025-02-28
Fixed
5.00000000
N
N
N
N
N
N
CEZ AS
529900S5R9YHJHYKKG94
CEZ AS
000000000
4458000.00000000
PA
USD
4002550.44000000
0.153861968361
Long
DBT
CORP
CZ
Y
2
2042-04-03
Fixed
5.63000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
25230000.00000000
PA
8025517.48000000
0.308508770870
Long
DBT
NUSS
AR
N
2
2038-01-09
Variable
3.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 0.580000 21-DEC-2032_
000000000
4360000000.00000000
OU
Notional Amount
530395.75000000
0.020388933338
N/A
DIR
JP
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-12-21
0.00000000
JPY
-14484679.00000000
JPY
4360000000.00000000
JPY
630687.62000000
N
N
N
PNG GOVT INTL BOND
N/A
Papua New Guinea Government International Bond
000000000
1100000.00000000
PA
USD
1014871.00000000
0.039012637575
Long
DBT
NUSS
PG
Y
2
2028-10-04
Fixed
8.38000000
N
N
N
N
N
N
Nomura Securities International Inc
OXTKY6Q8X53C9ILVV871
REVERSE REPO NOMURA
000000000
-693618.75000000
PA
USD
-693618.75000000
-0.02666338570
Short
RA
CORP
US
N
2
Reverse repurchase
N
4.50000000
2024-07-23
900000.00000000
USD
730125.00000000
USD
AMBS
N
N
N
OFFICE CHERIFIEN DES PHO
529900F3MBW9XY5K1X07
OCP SA
000000000
9200000.00000000
PA
USD
8228940.00000000
0.316328532246
Long
DBT
CORP
MA
Y
2
2044-04-25
Fixed
6.88000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (TURKEY)
000000000
19700000.00000000
OU
Notional Amount
USD
261612.47000000
0.010056640181
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Turkey Government International Bonds
Turkey Government International Bonds
Y
buy protection
2024-12-21
1335734.77000000
USD
0.00000000
USD
19700000.00000000
USD
-1074122.30000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/SCDS: (BHRAIN)
000000000
6000000.00000000
OU
Notional Amount
USD
271879.25000000
0.010451305283
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Bahrain Government International Bonds
Bahrain Government International Bonds
Y
buy protection
2028-06-21
446556.91000000
USD
0.00000000
USD
6000000.00000000
USD
-174677.66000000
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123BJ8
4202000.00000000
PA
USD
3228396.60000000
0.124102734737
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
211202.67000000
PA
USD
207891.41000000
0.007991549894
Long
ABS-O
CORP
US
N
2
2035-12-15
Floating
5.66000000
N
N
N
N
N
N
BNQ CEN TUNISIA INT BOND
254900B5LFB16S9T2T11
Tunisian Republic
000000000
2030000000.00000000
PA
5441424.10000000
0.209173684445
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
271989675.47000000
PA
11726502.39000000
0.450778264200
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
2.50000000
0.000000096102
Long
DBT
NUSS
RU
N
3
2050-01-01
None
0.00000000
N
N
N
N
N
N
GMO US Treasury Fund
0NIBQB0NDRTFX04R2J69
GMO US Treasury Fund
362013369
5516891.35000000
NS
USD
27584456.77000000
1.060373598892
Long
EC
RF
US
N
1
N
N
N
BULGARIAN ENERGY HLD
635400E1RWKJXPSBCV07
Bulgarian Energy Holding EAD
000000000
2800000.00000000
PA
2556738.10000000
0.098283522605
Long
DBT
CORP
BG
Y
2
2028-07-22
Fixed
2.45000000
N
N
N
N
N
N
BANK GOSPODARSTWA KRAJOW
259400BCOV9JJIGLYF05
Bank Gospodarstwa Krajowego
06237MAA1
4600000.00000000
PA
USD
4496500.00000000
0.172849874375
Long
DBT
NUSS
PL
N
2
2033-05-22
Fixed
5.38000000
N
N
N
N
N
N
BARBADOS GOVT OF
529900UD1KUUS4SFD905
Barbados Government International Bond
000000000
16520000.00000000
PA
USD
15379624.40000000
0.591207860666
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
9837000.00000000
PA
USD
11169913.50000000
0.429382440845
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
32512000.00000000
PA
USD
36932981.76000000
1.419740077291
Long
DBT
CORP
PH
N
2
2028-05-15
Fixed
9.63000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
OPTION/OTC/JAN24 PHILIP PH P @ 100
000000000
7946000.00000000
NC
USD
9946.38000000
0.000382348611
N/A
DE
US
N
3
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Put
Purchased
Brazil Credit Linked Put Option Swap
Brazil Credit Linked Put Option Swap
1.00000000
1.00000000
USD
2024-01-24
XXXX
23818.69000000
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
10900000.00000000
PA
7337378.32000000
0.282056025989
Long
DBT
NUSS
RS
Y
2
2036-09-23
Fixed
2.05000000
N
N
N
N
N
N
GMR HYDERABAD INTERNATIO
335800NSPGIN89SVOU83
GMR Hyderabad International Airport Ltd
000000000
300000.00000000
PA
USD
266787.00000000
0.010255554194
Long
DBT
CORP
IN
Y
2
2027-10-27
Fixed
4.25000000
N
N
N
N
N
N
FREEPORT INDONESIA PT
549300T4HTQHRKLNE619
Freeport Indonesia PT
000000000
200000.00000000
PA
USD
177750.00000000
0.006832884503
Long
DBT
CORP
ID
Y
2
2052-04-14
Fixed
6.20000000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA (TRANCHE C2
000000000
3850000.00000000
PA
USD
3657500.00000000
0.140597890699
Long
DBT
UST
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
22372000.00000000
PA
USD
11604580.12000000
0.446091452446
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
3975000.00000000
PA
USD
4506696.00000000
0.173241818625
Long
DBT
NUSS
JM
N
2
2045-07-28
Fixed
7.88000000
N
N
N
N
N
N
2023-09-26
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer