0001752724-24-092617.txt : 20240426 0001752724-24-092617.hdr.sgml : 20240426 20240426151159 ACCESSION NUMBER: 0001752724-24-092617 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20240229 FILED AS OF DATE: 20240426 DATE AS OF CHANGE: 20240426 PERIOD START: 20240229 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GMO TRUST CENTRAL INDEX KEY: 0000772129 ORGANIZATION NAME: 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: 24882759 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 2024-02-29 N 2307798301.39 30134459.41 2277663841.98 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 30119358.56000000 BRL CLP EUR GBP JPY THB 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 206136.72000000 PA USD 110062.58000000 0.004832257419 Long DBT CORP CL Y 2 2033-06-15 None 0.00000000 Y N N N N N Scenery Journey Ltd 549300Q2FGQXKG7X0I83 Scenery Journey Ltd 000000000 1900000.00000000 PA USD 19000.00000000 0.000834188068 Long DBT CORP VG Y 2 2022-11-06 None 0.00000000 Y N N N N N Republic of Colombia 549300MHDRBVRF6B9117 Colombia Government International Bond 195325AQ8 2800000.00000000 PA USD 3209028.20000000 0.140891212340 Long DBT NUSS CO N 3 2028-03-09 Fixed 11.85000000 N N N N N N Ghana Government International Bonds 213800PP4399SNNXZ126 Ghana Government International Bonds 000000000 25900000.00000000 PA USD 11043760.00000000 0.484872253598 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 5411700000.00000000 PA 19131543.49000000 0.839963436982 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 10700000.00000000 PA USD 10553196.00000000 0.463334220155 Long DBT CORP ID Y 2 2049-01-25 Fixed 6.25000000 N N N N N N UZBEKNEFTEGAZ JSC 213800LUZJZFLJD4MJ51 Uzbekneftegaz JSC 000000000 9850000.00000000 PA USD 8317340.00000000 0.365169778204 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 3515000.00000000 PA USD 3860313.60000000 0.169485660212 Long DBT NUSS GT Y 2 2034-10-06 Fixed 8.13000000 N N N N N N ROMANIA 315700IASY927EDWBK92 Romanian Government International Bond 000000000 4500000.00000000 PA 3235751.55000000 0.142064491272 Long DBT NUSS RO Y 2 2042-04-13 Fixed 2.88000000 N N N N N N Argentina Government International Bonds 549300KPBYGYF7HCHO27 Argentina Republic Government International Bonds 040114HU7 30312437.00000000 PA USD 12579661.36000000 0.552305442451 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 8850125.00000000 PA USD 7403926.07000000 0.325066672857 Long DBT CORP IN Y 2 2039-10-15 Fixed 4.63000000 N N N N N N REPUBLIC OF SENEGAL 549300NP14ZLQGWIUZ97 Senegal Government International Bond 000000000 4000000.00000000 PA 3053258.56000000 0.134052203126 Long DBT NUSS SN Y 2 2037-06-08 Fixed 5.38000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 KazMunayGas National Co JSC 000000000 18980000.00000000 PA USD 17319439.80000000 0.760403685600 Long DBT CORP KZ Y 2 2048-10-24 Fixed 6.38000000 N N N N N N Senegal Government International Bonds 549300NP14ZLQGWIUZ97 Senegal Government International Bonds 000000000 5800000.00000000 PA USD 4197750.00000000 0.184300682244 Long DBT NUSS SN Y 2 2048-03-13 Fixed 6.75000000 N N N N N N Hungary Government International Bonds 5299003F3UFKGCCMAP43 Hungary Government International Bonds 000000000 8500000.00000000 PA USD 8768515.00000000 0.384978451972 Long DBT NUSS HU Y 2 2032-09-22 Fixed 6.25000000 N N N N N N JP Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 REVERSE REPO JPM CHASE 000000000 -216218.75000000 PA USD -216218.75000000 -0.00949300533 Short RA CORP US N 2 Reverse repurchase N 4.50000000 2025-02-12 500000.00000000 USD 227013.44000000 USD N N N GTLK EUROPE CAPITAL DAC 635400I6H6CSZ39WIN49 GTLK Europe Capital DAC 000000000 6870000.00000000 PA USD 3435.00000000 0.000150812421 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 1723445000.00000000 PA 323088.46000000 0.014185080960 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 EUR / SOLD USD 000000000 1.00000000 NC -592.21000000 -0.00002600076 N/A DFE XX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1191944.38000000 USD 1100000.00000000 EUR 2024-04-24 -592.21000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PURCHASED USD / SOLD COP 000000000 1.00000000 NC -363489.01000000 -0.01595885236 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 112820000000.00000000 COP 28134312.54000000 USD 2024-04-26 -363489.01000000 N N N Chad A N/A Chad A 000000000 277243.43000000 PA USD 224289.93000000 0.009847367546 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 1100000.00000000 PA USD 1089957.00000000 0.047854164425 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 16400000.00000000 PA USD 11154132.00000000 0.489718095990 Long DBT NUSS AE Y 2 2051-03-10 Fixed 4.38000000 N N N N N N Republic of Kenya Government International Bonds 549300VVURQQYU45PR87 Republic of Kenya Government International Bonds 000000000 24294000.00000000 PA USD 19799610.00000000 0.869294653366 Long DBT NUSS KE Y 2 2048-02-28 Fixed 8.25000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 Petroleos Mexicanos 71654QDD1 125900000.00000000 PA USD 86726215.00000000 3.807682828411 Long DBT CORP MX N 2 2050-01-23 Fixed 7.69000000 N N N N N N INVERSIONES LATAM POWER N/A Inversiones Latin America Power SpA 46137NAD0 13591746.00000000 PA USD 11901476.47000000 0.522529982284 Long DBT CORP CL N 2 2033-06-15 Fixed 11.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED ZAR / SOLD USD 000000000 1.00000000 NC 6666.61000000 0.000292695079 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4010277.32000000 USD 77200000.00000000 ZAR 2024-03-28 6666.61000000 N N N Morgan Stanley IXIS Real Estate Capital Trust N/A Morgan Stanley IXIS Real Estate Capital Trust 2006-2 617463AD6 5933528.14000000 PA USD 1959863.33000000 0.086047084467 Long ABS-O CORP US N 2 2036-11-25 Floating 5.66000000 N N N N N N Turkiye Government International Bonds 5493000PCHOG3B6S3Q85 Turkiye Government International Bonds 900123CB4 10800000.00000000 PA USD 7491852.00000000 0.328927028735 Long DBT NUSS TR N 2 2043-04-16 Fixed 4.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 FSWP: OIS 0.300000 21-DEC-2027_ 000000000 8570000000.00000000 OU Notional Amount 244886.89000000 0.010751669560 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 307380.14000000 N N N Republic of Poland Government International Bonds 259400R9L8QEP0TPXS31 Republic of Poland Government International Bonds 731011AV4 10200000.00000000 PA USD 10005690.00000000 0.439296168977 Long DBT NUSS PL N 2 2033-10-04 Fixed 4.88000000 N N N N N N REPUBLIC OF VENEZUELA N/A Venezuela Government International Bond P97475AG5 33200000.00000000 PA USD 4515200.00000000 0.198238208675 Long DBT NUSS VE Y 2 2020-12-09 None 0.00000000 Y N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 1140937.38000000 0.050092439409 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 142200000.00000000 EUR 155150281.98000000 USD 2024-04-24 1140937.38000000 N N N Countrywide Home Equity Loan Trust N/A CWHEQ Revolving Home Equity Loan Trust Series 2006-D 126685DT0 439642.95000000 PA USD 416427.47000000 0.018283096141 Long ABS-O CORP US N 2 2036-05-15 Floating 5.63000000 N N N N N N EMPRESA NACIONAL DEL PET 549300YP3P0JZBLIV197 Empresa Nacional del Petroleo P37110AM8 18750000.00000000 PA USD 13781437.50000000 0.605068985422 Long DBT CORP CL Y 2 2047-09-14 Fixed 4.50000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 SWAP/CDSWAP/SCDS: (MEX) 000000000 14700000.00000000 OU Notional Amount USD -126990.19000000 -0.00557545796 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Mexico Government International Bonds Mexico Government International Bonds Y buy protection 2028-12-21 140629.62000000 USD 0.00000000 USD 14700000.00000000 USD -267619.81000000 N N N LCH Limited F226TOH6YD6XJB17KS62 FSWP: EUR 3.200000 20-DEC-2033 EUR 000000000 34000000.00000000 OU Notional Amount -1431690.28000000 -0.06285783940 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-12-20 163186.42000000 EUR 0.00000000 EUR 34000000.00000000 EUR -1605622.59000000 N N N Ukraine Government International Bonds 6354001WLTJXOMEXPY07 Ukraine Government International Bonds 000000000 2369000.00000000 PA USD 669337.26000000 0.029387008199 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 162500000.00000000 OU Notional Amount USD -1160740.34000000 -0.05096188114 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-21 155080.85000000 USD 0.00000000 USD 162500000.00000000 USD -1315821.19000000 N N N Abu Dhabi Government International Bonds 213800FER4348CINTA77 Abu Dhabi Government International Bonds 000000000 5600000.00000000 PA USD 3887744.00000000 0.170689981916 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 1485000.00000000 0.065198383213 Long DBT NUSS ZM Y 2 2027-07-30 Fixed 8.97000000 N Y N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 PURCHASED BRL / SOLD USD 000000000 1.00000000 NC 5051.78000000 0.000221796557 N/A DFE BR N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1599420.69000000 USD 8000000.00000000 BRL 2024-04-02 5051.78000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PURCHASED USD / SOLD GBP 000000000 1.00000000 NC 167751.12000000 0.007365051721 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 44300000.00000000 GBP 56102516.75000000 USD 2024-04-18 167751.12000000 N N N Costa Rica Government International Bonds N/A Costa Rica Government International Bonds P3699PGJ0 19331000.00000000 PA USD 19988254.00000000 0.877576999361 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 56606000.00000000 PA 54150492.66000000 2.377457623989 Long DBT NUSS MX N 2 2114-03-19 Fixed 5.63000000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 Ukraine Government International Bond 000000000 25400000.00000000 PA USD 6632194.00000000 0.291184057882 Long DBT NUSS UA Y 3 2034-09-25 Fixed 7.38000000 N Y N N N N AI CANDELARIA SPAIN SLU 213800L5KA2MJ5FKRZ02 AI Candelaria Spain SA 000000000 6740000.00000000 PA USD 5311120.00000000 0.233182785892 Long DBT CORP ES Y 2 2033-06-15 Fixed 5.75000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 14782.36000000 0.000649014122 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 4500000.00000000 EUR 4888495.80000000 USD 2024-04-24 14782.36000000 N N N Argentina Bonar Bonds 549300KPBYGYF7HCHO27 Argentina Bonar Bonds 000000000 505342.00000000 PA USD 218460.46000000 0.009591426793 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 21550000.00000000 PA USD 3555750.00000000 0.156113906471 Long DBT NUSS VE Y 2 2022-08-23 None 0.00000000 Y N N N N N Republic of Zambia 213800DMLAZ6LGMMD849 Zambia Government International Bond 000000000 2600000.00000000 PA USD 1585610.00000000 0.069615628556 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 62400000.00000000 PA USD 11169600.00000000 0.490397212886 Long DBT NUSS VE Y 2 2031-08-05 None 0.00000000 Y N N N N N ECUADOR SOCIAL BOND SARL 5493006P8FVL2JCVBP02 Ecuador Social Bond Sarl 000000000 3744250.46000000 PA USD 2539388.10000000 0.111490908060 Long DBT NUSS 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 2400000.00000000 PA USD 1941912.00000000 0.085258937873 Long DBT NUSS AM Y 2 2031-02-02 Fixed 3.60000000 N N N N N N REPUBLIC OF GUATEMALA 529900QKDFFU9UWW5315 Guatemala Government Bond 000000000 4600000.00000000 PA USD 3655298.00000000 0.160484525092 Long DBT NUSS GT Y 2 2041-10-07 Fixed 4.65000000 N N N N N N Hungary Government International Bonds 5299003F3UFKGCCMAP43 Hungary Government International Bonds 000000000 7700000.00000000 PA USD 8170778.00000000 0.358735027066 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 5774000.00000000 PA USD 5215076.80000000 0.228966044237 Long DBT NUSS TJ Y 2 2027-09-14 Fixed 7.13000000 N N N N N N REPUBLIC OF SURINAME INT 254900SYU4G5JM13TN77 Suriname Government International Bond 86886PAD4 12095000.00000000 PA USD 8526975.00000000 0.374373726396 Long DBT NUSS SR N 2 2050-12-31 Variable 9.00000000 N N N N N N EMPRESA NACIONAL DEL PET 549300YP3P0JZBLIV197 Empresa Nacional del Petroleo 000000000 3500000.00000000 PA USD 2942415.00000000 0.129185657065 Long DBT CORP CL Y 2 2031-09-16 Fixed 3.45000000 N N N N N N Colombia Government International Bonds 549300MHDRBVRF6B9117 Colombia Government International Bonds 195325BR5 74600000.00000000 PA USD 58451338.00000000 2.566284669522 Long DBT NUSS CO N 2 2044-02-26 Fixed 5.63000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 Indonesia Government International Bond 455780DP8 3391000.00000000 PA USD 3377639.46000000 0.148294028194 Long DBT NUSS ID N 2 2052-09-20 Fixed 5.45000000 N N N N N N Serbia International Bonds 254900W94OCY91V32O78 Serbia International Bonds 000000000 6100000.00000000 PA USD 6203700.00000000 0.272371185144 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 5546892.00000000 PA USD 2238170.92000000 0.098266077669 Long DBT NUSS EC Y 2 2030-07-31 None 0.00000000 N N N N N N Argentina Bonar Bonds 549300KPBYGYF7HCHO27 Argentina Bonar Bonds 000000000 7986557.00000000 PA USD 2997969.01000000 0.131624735606 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 1430000.00000000 0.062783628279 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 3350000.00000000 PA 2905340.88000000 0.127557931352 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 13840000.00000000 PA USD 13043508.00000000 0.572670459950 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 5200000.00000000 PA USD 4316000.00000000 0.189492405351 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 246273000.00000000 PA 279258.34000000 0.012260735533 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 8200000.00000000 PA USD 3481474.00000000 0.152852845790 Long DBT NUSS GH Y 2 2042-05-07 Fixed 8.88000000 N Y N N N N Ghana Government International Bonds 213800PP4399SNNXZ126 Ghana Government International Bonds 000000000 11700000.00000000 PA USD 4870125.00000000 0.213821061310 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 4195000.00000000 PA USD 4155315.30000000 0.182437602222 Long DBT CORP ID Y 2 2024-05-05 Fixed 4.45000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 OPTION/OTC/APR24 BRAZIL BR P @ 100 000000000 81200000.00000000 NC USD 70274.86000000 0.003085392089 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 70274.86000000 N N N REPUBLIC OF CAMEROON 54930021BO6NHYGBBV24 Republic of Cameroon International Bond 000000000 9200000.00000000 PA 7321292.51000000 0.321438676553 Long DBT NUSS CM Y 2 2032-07-07 Fixed 5.95000000 N N N N N N Colombia Government International Bonds 549300MHDRBVRF6B9117 Colombia Government International Bonds 195325DQ5 6700000.00000000 PA USD 4857902.00000000 0.213284414954 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 3300000.00000000 PA USD 33000.00000000 0.001448852960 Long DBT CORP VG Y 2 2023-10-24 None 0.00000000 Y N N N N N Panama Government International Bonds 549300SHS4T08CL0LP14 Panama Government International Bonds 698299BS2 8200000.00000000 PA USD 5075800.00000000 0.222851147146 Long DBT NUSS PA N 2 2063-01-19 Fixed 4.50000000 N N N N N N Republic of Belarus 635400CVCOWYLHF4ZB08 Republic of Belarus International Bond 000000000 18400000.00000000 PA USD 6716000.00000000 0.294863529736 Long DBT NUSS BY Y 3 2030-02-28 Fixed 6.20000000 N Y N N N N PA AUTOPISTA RIO MAGDA 549300DOJDJENE63OG19 PA Autopista Rio Magdalena 000000000 25193328310.41000000 PA 5091298.86000000 0.223531618940 Long DBT CORP CO Y 2 2036-06-15 Fixed 6.05000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 Ecopetrol SA 279158AQ2 11720000.00000000 PA USD 8334560.80000000 0.365925851145 Long DBT CORP CO N 2 2051-11-02 Fixed 5.88000000 N N N N N N TRANSNET SOC LTD 378900B07CD6F01EA796 Transnet SOC Ltd 000000000 8300000.00000000 PA USD 8253312.50000000 0.362358674176 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 150350000.00000000 PA 1653614.83000000 0.072601355806 Long DBT CORP ZA N 2 2032-12-31 None 0.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 SWAP/CDSWAP/SCDS: (BRAZIL) 000000000 12700000.00000000 OU Notional Amount USD -139292.87000000 -0.00611560263 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Brazil Government International Bonds Brazil Government International Bonds Y buy protection 2025-12-23 0.00000000 USD -72847.43000000 USD 12700000.00000000 USD -66445.44000000 N N N REPUBLIC OF MONTENEGRO 747800V014106FYLL014 Montenegro Government International Bond 000000000 3100000.00000000 PA 2978139.75000000 0.130754139180 Long DBT NUSS ME Y 2 2027-12-16 Fixed 2.88000000 N N N N N N State Street Global Advisors 549300Q3FHSMZ70NLT76 State Street Institutional Treasury Money Market Fund 857492870 5449508.63000000 NS USD 5449508.63000000 0.239258688203 Long STIV RF US N 1 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PURCHASED USD / SOLD ZAR 000000000 1.00000000 NC 45003.38000000 0.001975856979 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 725300000.00000000 ZAR 37784503.82000000 USD 2024-03-28 45003.38000000 N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 Lebanon Government International Bond 000000000 19100000.00000000 PA USD 1098250.00000000 0.048218265564 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 300295076.31000000 PA 455690.57000000 0.020006928221 Long DBT NUSS AR N 3 2033-12-31 Fixed 4.33000000 N Y N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 PURCHASED HKD / SOLD USD 000000000 1.00000000 NC -9951.24000000 -0.00043690556 N/A DFE HK N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 4740835.20000000 USD 37000000.00000000 HKD 2024-04-10 -9951.24000000 N N N ISLAMIC REP OF PAKISTAN 529900LOP29R5WKHOD86 Pakistan Government International Bond 000000000 13300000.00000000 PA USD 9211713.00000000 0.404436898466 Long DBT NUSS PK Y 2 2036-03-31 Fixed 7.88000000 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 Philippine Government International Bond 718286CU9 7900000.00000000 PA USD 8417608.00000000 0.369572008162 Long DBT NUSS PH N 2 2047-10-13 Fixed 5.95000000 N N N N N N GABON BLUE BOND MASTER N/A Gabon Blue Bond Master Trust Series 2 362419AA1 7400000.00000000 PA USD 7325275.61000000 0.321613553105 Long DBT CORP US N 2 2038-08-01 Fixed 6.10000000 N N N N N N INVERSIONES LATAM POWER N/A Inversiones Latin America Power SpA 46137NAF5 974428.00000000 PA USD 964683.72000000 0.042354086771 Long DBT CORP CL N 3 2033-06-15 Fixed 12.00000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 Uruguay Government International Bonds 760942BA9 2218000.00000000 PA USD 2131564.54000000 0.093585563449 Long DBT NUSS UY N 2 2050-06-18 Fixed 5.10000000 N N N N N N REPUBLIC OF KENYA 549300VVURQQYU45PR87 Kenya Government International Bond 000000000 1400000.00000000 PA USD 1141000.00000000 0.050095188717 Long DBT NUSS KE Y 2 2048-02-28 Fixed 8.25000000 N N N N N N ACWA POWER MGMT INVST 635400M3OWQGQBZOYO38 Acwa Power Management And Investments One Ltd 000000000 21651165.00000000 PA USD 20958327.72000000 0.920167732117 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 22500000.00000000 PA 18968031.03000000 0.832784482081 Long DBT NUSS CI Y 2 2048-03-22 Fixed 6.63000000 N N N N N N ROMANIA 315700IASY927EDWBK92 Romanian Government International Bond 000000000 18600000.00000000 PA 21172946.29000000 0.929590482131 Long DBT NUSS RO N 2 2033-09-18 Fixed 6.38000000 N N N N N N Sri Lanka Government International Bonds 254900HXCCIOHM74FA02 Sri Lanka Government International Bonds 000000000 23800000.00000000 PA USD 12698014.00000000 0.557501671930 Long DBT NUSS LK Y 2 2030-03-28 Fixed 7.55000000 N Y N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 PURCHASED COP / SOLD USD 000000000 1.00000000 NC 2362.16000000 0.000103709772 N/A DFE CO N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1050960.23000000 USD 4170000000.00000000 COP 2024-04-26 2362.16000000 N N N Barclays Capital, Inc. G5GSEF7VJP5I7OUK5573 SWAP/CDSWAP/SCDS: (TURKEY)_ 000000000 12700000.00000000 OU Notional Amount USD -50693.76000000 -0.00222569103 N/A DCR US N 2 Barclays Capital, Inc. G5GSEF7VJP5I7OUK5573 Turkey Government International Bonds Turkey Government International Bonds Y buy protection 2024-12-21 1582287.43000000 USD 0.00000000 USD 12700000.00000000 USD -1632981.19000000 N N N MVM ENERGETIKA ZRT 529900ELI5AQ9F74PF85 MVM Energetika Zrt 000000000 3500000.00000000 PA USD 3622500.00000000 0.159044540868 Long DBT CORP HU Y 2 2028-06-09 Fixed 7.50000000 N N N N N N Finance Department Government of Sharjah 254900ZNL8O3F1CLJO24 Finance Department Government of Sharjah 000000000 13300000.00000000 PA USD 8431668.00000000 0.370189307333 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 15951000.00000000 PA USD 13875774.90000000 0.609210834551 Long DBT CORP CL N 3 2097-02-01 Fixed 8.13000000 N N N N N N Republic of Sudan N/A Republic of Sudan 000000000 5155077.16000000 PA 262315.23000000 0.011516854470 Long DBT CORP SD N 3 2059-12-31 None 0.00000000 N N N N N N Sri Lanka Government International Bonds N/A Sri Lanka Government International Bonds Y8137FAH1 8544000.00000000 PA USD 4594536.00000000 0.201721426810 Long DBT NUSS LK Y 2 2027-05-11 Fixed 6.20000000 N Y N N N N Argentina Republic Government International Bonds 549300KPBYGYF7HCHO27 Argentina Republic Government International Bonds 040114HW3 38547000.00000000 PA USD 14917689.00000000 0.654955692980 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 584929.00000000 PA USD 567358.43000000 0.024909664874 Long ABS-O CORP US N 2 2035-12-15 Floating 5.67000000 N N N N N N Panama Government International Bonds 549300SHS4T08CL0LP14 Panama Government International Bonds 698299BT0 7600000.00000000 PA USD 7003400.00000000 0.307481721881 Long DBT NUSS PA N 2 2035-02-14 Fixed 6.40000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 FSWP: OIS 3.700000 20-MAR-2054 SON 000000000 25000000.00000000 OU Notional Amount 666726.05000000 0.029272363977 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2054-03-20 0.00000000 GBP -585404.89000000 GBP 25000000.00000000 GBP 1408111.84000000 N N N Republic of Colombia 549300MHDRBVRF6B9117 Colombia Government International Bond 195325AL9 992000.00000000 PA USD 1015508.32000000 0.044585522291 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 10900000.00000000 PA USD 9237750.00000000 0.405580043452 Long DBT NUSS SA Y 2 2047-10-04 Fixed 4.63000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -8911.93000000 -0.00039127503 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 2800000.00000000 EUR 3023620.88000000 USD 2024-04-24 -8911.93000000 N N N Argentina Republic Government International Bonds 549300KPBYGYF7HCHO27 Argentina Republic Government International Bonds 040114HX1 19285371.00000000 PA USD 8890556.03000000 0.390336618869 Long DBT NUSS AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N HUNGARY 5299003F3UFKGCCMAP43 Hungary Government International Bond 445545AU0 2100000.00000000 PA USD 2022132.00000000 0.088780967706 Long DBT NUSS HU N 2 2036-03-26 Fixed 5.50000000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 Egypt Government International Bond 000000000 5600000.00000000 PA USD 4414536.00000000 0.193818592482 Long DBT NUSS EG Y 2 2049-03-01 Fixed 8.70000000 N N N N N N Sri Lanka Government International Bonds N/A Sri Lanka Government International Bonds Y8137FAF5 4880000.00000000 PA USD 2701226.40000000 0.118596359577 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 8400000.00000000 PA 8194176.44000000 0.359762327037 Long DBT NUSS AL Y 2 2031-11-23 Fixed 3.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 REVERSE REPO BARCLAYS 000000000 -10064250.00000000 PA USD -10064250.00000000 -0.44186722441 Short RA CORP US N 2 Reverse repurchase N 4.50000000 2024-07-26 15000000.00000000 USD 9796044.75000000 USD UST N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 SWAP/CDSWAP/SCDS: (COLOM) 000000000 45300000.00000000 OU Notional Amount USD -464078.94000000 -0.02037521654 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Colombia Government International Bonds Colombia Government International Bonds Y buy protection 2025-12-23 151692.11000000 USD 0.00000000 USD 45300000.00000000 USD -615771.05000000 N N N Republic of South Africa Government International Bonds 378900AAFB4F17004C49 Republic of South Africa Government International Bonds 836205BB9 41300000.00000000 PA USD 30071562.50000000 1.320280980263 Long DBT NUSS ZA N 2 2049-09-30 Fixed 5.75000000 N N N N N N Nigeria Government International Bonds 549300GSBZD84TNEQ285 Nigeria Government International Bonds 000000000 26450000.00000000 PA USD 21493799.00000000 0.943677403304 Long DBT NUSS NG Y 2 2051-09-28 Fixed 8.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 FSWP: CLP 5.560000 20-DEC-2033 CLI 000000000 25400000000.00000000 OU Notional Amount -746164.27000000 -0.03276007004 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-12-20 203751288.00000000 CLP 0.00000000 CLP 25400000000.00000000 CLP -963244.27000000 N N N Romania Government International Bonds 315700IASY927EDWBK92 Romania Government International Bonds 000000000 2300000.00000000 PA USD 2507851.00000000 0.110106283191 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 36649849.00000000 PA USD 33570113.08000000 1.473883567068 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 10544000.00000000 PA USD 10295899.68000000 0.452037719097 Long DBT NUSS TR Y 2 2025-12-09 Fixed 6.38000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 PURCHASED USD / SOLD HKD 000000000 1.00000000 NC 6480.91000000 0.000284541989 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 14700000.00000000 HKD 1886048.32000000 USD 2024-04-10 6480.91000000 N N N EGMV13925 TURKISH HOSPITALS N/A EGMV13925 TURKISH HOSPITALS 000000000 13307142.86000000 PA 14094706.14000000 0.618822930768 Long DBT NUSS TR N 3 2028-06-23 Fixed 8.85000000 N N N N N N Ecuador Government International Bonds 5299003Y2U5XK0A35H71 Ecuador Government International Bonds 000000000 58587125.00000000 PA USD 27770297.25000000 1.219244769055 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 17764000.00000000 PA USD 13390147.92000000 0.587889559170 Long DBT NUSS EG Y 2 2059-11-20 Fixed 8.15000000 N N N N N N Peru Government International Bonds 254900STKLK2DBJJZ530 Peru Government International Bonds 715638DW9 18500000.00000000 PA USD 12127860.00000000 0.532469268575 Long DBT NUSS PE N 2 2072-01-15 Fixed 3.60000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 REVERSE REPO BANK OF NEW YORK 000000000 -330125.00000000 PA USD -330125.00000000 -0.01449401768 Short RA CORP US N 2 Reverse repurchase N 4.50000000 2025-02-21 500000.00000000 USD 341250.00000000 USD N N N Dominican Republic International Bonds 254900EHU7Q8FGVPI369 Dominican Republic International Bonds 000000000 6410000.00000000 PA USD 5982132.50000000 0.262643344893 Long DBT NUSS DO Y 2 2049-06-05 Fixed 6.40000000 N N N N N N Ecuador Government International Bonds 5299003Y2U5XK0A35H71 Ecuador Government International Bonds 000000000 24803750.00000000 PA USD 10789631.25000000 0.473714823545 Long DBT NUSS EC Y 2 2040-07-31 Variable 2.50000000 N N N N N N REPUBLIC OF MOZAMBIQUE 213800759WLKYIKPER73 Mozambique International Bond 000000000 6876000.00000000 PA USD 5766351.12000000 0.253169542129 Long DBT NUSS MZ Y 2 2031-09-15 Fixed 9.00000000 N N N N N N MV24 CAPITAL BV N/A MV24 Capital BV 000000000 19384894.40000000 PA USD 18166553.79000000 0.797595916270 Long DBT CORP NL Y 2 2034-06-01 Fixed 6.75000000 N N N N N N ROMANIA 315700IASY927EDWBK92 Romanian Government International Bond 77586RAU4 13200000.00000000 PA USD 13136244.00000000 0.576742000197 Long DBT NUSS RO N 2 2034-01-30 Fixed 6.38000000 N N N N N N KINGDOM OF MOROCCO 529900F3MBW9XY5K1X07 Morocco Government International Bond 617726AP9 8300000.00000000 PA USD 8516381.00000000 0.373908600691 Long DBT NUSS MA N 2 2033-09-08 Fixed 6.50000000 N N N N N N Dominican Republic International Bonds 254900EHU7Q8FGVPI369 Dominican Republic International Bonds 000000000 59929000.00000000 PA USD 50538724.99000000 2.218884282154 Long DBT NUSS DO Y 2 2060-01-30 Fixed 5.88000000 N N N N N N NPC UKRENERGO 8945009LCLS92V4AK321 NPC Ukrenergo 000000000 5000000.00000000 PA USD 1625000.00000000 0.071345032135 Long DBT CORP UA Y 3 2028-11-09 Fixed 6.88000000 N Y N N N N Republic of Congo N/A Congolese International Bond 000000000 32290718.50000000 PA USD 26167752.46000000 1.148885624722 Long SN NUSS CG Y 3 2029-06-30 Fixed 6.00000000 N N N N N N Bolivia Government International Bonds 529900TGIRPY3SZXEB56 Bolivia Government International Bonds 000000000 6300000.00000000 PA USD 3678696.00000000 0.161511805745 Long DBT NUSS BO Y 2 2028-03-20 Fixed 4.50000000 N N N N N N El Salvador Government International Bonds 529900AKDMUSFSDOM949 El Salvador Government International Bonds 000000000 22200000.00000000 PA USD 15146616.00000000 0.665006649393 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 18400000.00000000 PA USD 19323312.00000000 0.848382963449 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 4426000.00000000 PA USD 2648208.58000000 0.116268631533 Long DBT NUSS PK Y 2 2031-06-04 Fixed 7.50000000 N N N N N N Perusahaan Penerbit SBSN Indonesia III 254900G208H6Q0L5B953 Perusahaan Penerbit SBSN Indonesia III 71567RAV8 4900000.00000000 PA USD 4793915.00000000 0.210475089064 Long DBT NUSS ID Y 2 2032-06-06 Fixed 4.70000000 N N N N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 Lebanon Government International Bond 000000000 55005000.00000000 PA USD 3162787.50000000 0.138861031277 Long DBT NUSS LB Y 2 2031-11-20 None 0.00000000 Y N N N N N Minejesa Capital BV 549300KS7ERCP10BKC35 Minejesa Capital BV 000000000 26200000.00000000 PA USD 22859500.00000000 1.003638007447 Long DBT CORP NL Y 2 2037-08-10 Fixed 5.63000000 N N N N N N Lebanese Republic 529900QPC4K9S1KHL354 Lebanon Government International Bond 000000000 6200000.00000000 PA USD 356500.00000000 0.015652002434 Long DBT NUSS LB Y 2 2027-03-23 None 0.00000000 Y N N N N N Saudi Government International Bonds 635400FMICXSM3SI3H65 Saudi Government International Bonds 000000000 33600000.00000000 PA USD 22000272.00000000 0.965913915587 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 5880550.18000000 PA USD 1942398.65000000 0.085280304064 Long ABS-O CORP US N 2 2036-11-25 Floating 5.59000000 N N N N N N Argentina Government International Bonds 549300KPBYGYF7HCHO27 Argentina Republic Government International Bonds 040114HT0 21347942.00000000 PA USD 7898738.54000000 0.346791233825 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 46744.05000000 0.002052280461 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 46744.05000000 N N N Ecuador Government International Bonds 5299003Y2U5XK0A35H71 Ecuador Government International Bonds 000000000 28276250.00000000 PA USD 17135407.50000000 0.752323814611 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 2300000.00000000 OU Notional Amount USD 321453.28000000 0.014113288979 N/A DCR US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 Egypt Government International Bonds Egypt Government International Bonds Y buy protection 2027-12-21 655499.80000000 USD 0.00000000 USD 2300000.00000000 USD -334046.52000000 N N N Egypt Government International Bonds 529900GFIVH4086NMH82 Egypt Government International Bonds 000000000 42500000.00000000 PA USD 33986718.75000000 1.492174487015 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 2090000.00000000 0.091760687485 Long DBT NUSS RU Y 3 2035-03-28 Fixed 5.10000000 N Y N N N N Citibank NA E57ODZWZ7FF32TWEFA76 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC -3238.70000000 -0.00014219394 N/A DFE XX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 869676.64000000 USD 800000.00000000 EUR 2024-04-24 -3238.70000000 N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 Serbia International Bond 000000000 1600000.00000000 PA 1192787.61000000 0.052368904840 Long DBT NUSS RS Y 2 2036-09-23 Fixed 2.05000000 N N N N N N Hungary Government International Bonds 5299003F3UFKGCCMAP43 Hungary Government International Bonds 000000000 13700000.00000000 PA USD 8529483.00000000 0.374483839221 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 13236906.00000000 OU Notional Amount 431129.30000000 0.018928574623 N/A DCR XX N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 COMMONWEALTH OF BAHAMAS COMMONWEALTH OF BAHAMAS Y buy protection 2025-06-21 1265935.15000000 EUR 0.00000000 EUR 13236906.00000000 EUR -1173081.67000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PURCHASED BRL / SOLD USD 000000000 1.00000000 NC 1008.83000000 0.000044292313 N/A DFE BR N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1382848.67000000 USD 6900000.00000000 BRL 2024-04-02 1008.83000000 N N N KINGDOM OF BAHRAIN 549300RODM1WN85LFQ95 Bahrain Government International Bond 05675M2L7 5800000.00000000 PA USD 5885724.00000000 0.258410564874 Long DBT NUSS BH N 2 2036-02-12 Fixed 7.50000000 N N N N N N Bona Fide Investments Feeder LLC N/A EGMV14006 BONA FIDE INV FEEDER 000000000 690075.00000000 NS USD 908968.86000000 0.039907946170 Long PF US Y 3 N N N Argentina Republic Government International Bonds 549300KPBYGYF7HCHO27 Argentina Republic Government International Bonds 040114HS2 23933493.00000000 PA USD 11076899.23000000 0.486327219400 Long DBT NUSS AR N 2 2030-07-09 Variable 0.75000000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 933900000.00000000 PA 28819189.91000000 1.265296018614 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 4200000.00000000 PA USD 4244310.00000000 0.186344882057 Long DBT CORP JM Y 2 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 1474999.97000000 PA USD 1441912.76000000 0.063306653660 Long DBT NUSS US N 3 2025-04-10 Variable 12.58000000 N N N N N N SADEREA 635400IPZLZJ55ANED20 Saderea DAC 000000000 6469919.56000000 PA USD 2915798.65000000 0.128017075929 Long SN CORP IE Y 2 2026-11-30 Fixed 12.50000000 N Y N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 Petroleos Mexicanos 71656MAF6 4700000.00000000 PA USD 2739442.00000000 0.120274201552 Long DBT CORP MX Y 2 2024-04-01 Fixed 6.63000000 N N N N N N CHINA EVERGRANDE GROUP 549300CUF7B1LAB15T90 China Evergrande Group 000000000 13000000.00000000 PA USD 113750.00000000 0.004994152249 Long DBT CORP KY Y 2 2024-01-22 None 0.00000000 Y N N N N N TRANSJAMAICAN HIGHWAY 254900AWJ3QIGYQ04W45 TransJamaican Highway Ltd 000000000 5920810.06000000 PA USD 5197050.24000000 0.228174594697 Long DBT CORP JM Y 2 2036-10-10 Fixed 5.75000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 Panama Government International Bond 698299BY9 7200000.00000000 PA USD 7369200.00000000 0.323542037423 Long DBT NUSS PA N 2 2038-03-01 Fixed 8.00000000 N N N N N N Brazil Government International Bonds 254900ZFY40OYEADAP90 Brazil Government International Bonds 105756CB4 10500000.00000000 PA USD 7767795.00000000 0.341042205475 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 9600000.00000000 PA USD 7824000.00000000 0.343509865494 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 5858000.00000000 PA USD 5218130.66000000 0.229100122846 Long DBT NUSS VN Y 2 2025-10-10 Fixed 1.00000000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 OCP SA 000000000 1500000.00000000 PA USD 1108890.00000000 0.048685410882 Long DBT CORP MA Y 2 2051-06-23 Fixed 5.13000000 N N N N N N Egypt Government International Bonds 529900GFIVH4086NMH82 Egypt Government International Bonds 000000000 16200000.00000000 PA USD 12770622.00000000 0.560689499680 Long DBT NUSS EG Y 2 2049-03-01 Fixed 8.70000000 N N N N N N Bahrain Government International Bonds 549300RODM1WN85LFQ95 Bahrain Government International Bonds 000000000 3400000.00000000 PA USD 2743460.00000000 0.120450610376 Long DBT NUSS BH Y 2 2044-09-19 Fixed 6.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PURCHASED USD / SOLD JPY 000000000 1.00000000 NC 35543.57000000 0.001560527473 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 3695100000.00000000 JPY 24748232.89000000 USD 2024-03-21 35543.57000000 N N N Russian Federation 5493004EHVGF71PDBU58 Russian Foreign Bond - Eurobond 000000000 27000000.00000000 PA USD 14850000.00000000 0.651983832130 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 7318000.00000000 PA USD 6688652.00000000 0.293662825774 Long DBT NUSS VN N 3 2028-03-13 Floating 6.71000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 SWAP/CDSWAP/CDS: (BAHAMA)_SDB250620BH3 000000000 17626321.00000000 OU Notional Amount USD -525334.86000000 -0.02306463536 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 -1850317.38000000 USD 17626321.00000000 USD 1324982.52000000 N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 Saudi Government International Bond 000000000 2000000.00000000 PA USD 1309540.00000000 0.057494875927 Long DBT NUSS SA Y 2 2061-02-02 Fixed 3.45000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 SWAP/CDSWAP/CDS: (MEX)_ 000000000 14700000.00000000 OU Notional Amount USD 279150.32000000 0.012255992954 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2031-09-23 1940881.43000000 USD 0.00000000 USD 14700000.00000000 USD -1661731.11000000 N N N Indonesia Government International Bonds 529900FWX0GRR7WG5W79 Indonesia Government International Bonds 455780DR4 2800000.00000000 PA USD 2749068.00000000 0.120696827570 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 8040000.00000000 PA USD 7094013.60000000 0.311460078930 Long DBT NUSS BS Y 2 2028-11-21 Fixed 6.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PURCHASED USD / SOLD HKD 000000000 1.00000000 NC 313197.20000000 0.013750808799 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 723800000.00000000 HKD 92859516.30000000 USD 2024-04-10 313197.20000000 N N N Republic of Poland Government International Bonds 259400R9L8QEP0TPXS31 Republic of Poland Government International Bonds 731011AW2 5200000.00000000 PA USD 5195580.00000000 0.228110044346 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 5500000.00000000 PA USD 55000.00000000 0.002414754933 Long DBT CORP VG Y 2 2022-10-24 None 0.00000000 Y N N N N N LCH Limited F226TOH6YD6XJB17KS62 FSWP: OIS 3.450000 20-SEP-2033_ 000000000 54000000.00000000 OU Notional Amount USD -2311369.24000000 -0.10147982320 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 -2310169.24000000 N N N ILAP HOLDINGS LTD N/A ILAP Holdings LTD 449642AA5 9061825.00000000 PA USD 928837.06000000 0.040780252242 Long DBT CORP CL N 3 2033-06-15 Fixed 5.00000000 N N N N N ILAP Holdings LTD ILAP Holdings LTD USD XXXX N N N TUNISIAN REPUBLIC 254900B5LFB16S9T2T11 Tunisian Republic 000000000 730000000.00000000 PA 2239861.26000000 0.098340291430 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 2690000.00000000 PA USD 1859758.40000000 0.081652014038 Long DBT NUSS ET Y 2 2024-12-11 Fixed 6.63000000 N Y N N N N Republic of Poland Government International Bonds 259400R9L8QEP0TPXS31 Republic of Poland Government International Bonds 857524AE2 9500000.00000000 PA USD 9904035.00000000 0.434833043290 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 12700000.00000000 PA USD 12504801.00000000 0.549018725657 Long DBT CORP IN Y 2 2029-06-04 Fixed 6.45000000 N N N N N N Ukraine Government International Bonds 6354001WLTJXOMEXPY07 Ukraine Government International Bonds 000000000 20200000.00000000 PA USD 5293612.00000000 0.232414103540 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 3500000.00000000 PA USD 4646250.00000000 0.203991911113 Long DBT NUSS PH N 3 2097-06-15 Fixed 8.60000000 N N N N N N Ukraine Government International Bonds 6354001WLTJXOMEXPY07 Ukraine Government International Bonds 000000000 3819000.00000000 PA USD 1090057.17000000 0.047858562352 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 450000.00000000 PA USD 363937.50000000 0.015978543158 Long DBT NUSS BH Y 2 2051-01-25 Fixed 6.25000000 N N N N N N Argentina Government International Bonds 549300KPBYGYF7HCHO27 Argentina Republic Government International Bonds 040114HV5 26801240.00000000 PA USD 9568042.68000000 0.420081423063 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 2500000.00000000 OU Notional Amount USD 349405.74000000 0.015340531537 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 725000.00000000 USD 0.00000000 USD 2500000.00000000 USD -375594.26000000 N N N REPUBLIC OF VENEZUELA N/A Venezuela Government International Bond P17625AA5 151993000.00000000 PA USD 22798950.00000000 1.000979581788 Long DBT NUSS VE Y 2 2023-05-07 None 0.00000000 Y N N N N N REPUBLIC OF SURINAME INT 254900SYU4G5JM13TN77 Suriname Government International Bond 86886PAC6 24224446.00000000 PA USD 21293288.03000000 0.934874042320 Long DBT NUSS SR N 2 2033-07-15 Fixed 7.95000000 N N Y N N N LCH Limited F226TOH6YD6XJB17KS62 FSWP: OIS 2.800000 20-MAR-2034 THO 000000000 930000000.00000000 OU Notional Amount -561592.17000000 -0.02465649933 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2034-03-20 0.00000000 THB -3058641.31000000 THB 930000000.00000000 THB -475433.26000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC -50773.62000000 -0.00222919726 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 22579660.60000000 USD 739800000.00000000 TRY 2024-04-18 -50773.62000000 N N N REPUBLIC OF VENEZUELA N/A Venezuela Government International Bond 922646BL7 4400000.00000000 PA USD 776600.00000000 0.034096339665 Long DBT NUSS VE N 2 2034-01-13 None 0.00000000 Y N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 REVERSE REPO BARCLAYS 000000000 -1910999.99000000 PA USD -1910999.99000000 -0.08390175735 Short RA CORP US N 2 Reverse repurchase N 4.55000000 2025-01-31 2450000.00000000 USD 1902486.25000000 USD N N N RIO SMART LIGHTING SARL N/A Rio Smart Lighting Sarl 000000000 47313781.80000000 PA 9912756.48000000 0.435215956687 Long DBT CORP BR Y 2 2032-09-20 Fixed 12.25000000 N N N N N N Lamar Funding Ltd 549300TSXHL7X0727895 Lamar Funding Ltd 000000000 2500000.00000000 PA USD 2430225.00000000 0.106698141982 Long DBT CORP KY Y 2 2025-05-07 Fixed 3.96000000 N N N N N N Guatemala Government Bonds 529900QKDFFU9UWW5315 Guatemala Government Bonds 000000000 13300000.00000000 PA USD 12108187.00000000 0.531605532688 Long DBT NUSS GT Y 2 2050-06-01 Fixed 6.13000000 N N N N N N STATE AGE ROADS 254900FGEO8P5USHG994 State Agency of Roads of Ukraine 000000000 12600000.00000000 PA USD 3325266.00000000 0.145994590541 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 3055621.98000000 PA USD 1141012.94000000 0.050095756843 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.80000000 N N N N N N UKRAINE RAIL (RAIL CAPL) 213800IW9C7PR3HKI783 Ukraine Railways Via Rail Capital Markets PLC 000000000 180000.00000000 PA USD 93600.00000000 0.004109473851 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 16900000.00000000 PA USD 16790150.00000000 0.737165410037 Long DBT CORP ZA Y 2 2028-08-10 Fixed 8.45000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 SWP: OIS 10.050000 02-JAN-2029 BZD 000000000 234791358.80000000 OU Notional Amount -552086.87000000 -0.02423917260 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-01-02 0.00000000 BRL -110212.03000000 BRL 234791358.80000000 BRL -529594.62000000 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 Argentine Republic Government International Bond 000000000 6060000.00000000 PA 1951466.70000000 0.085678433491 Long DBT NUSS AR N 2 2041-07-09 Variable 3.00000000 N N N N N N Turkiye Government International Bonds 5493000PCHOG3B6S3Q85 Turkiye Government International Bonds 900123CM0 63813000.00000000 PA USD 47836777.32000000 2.100256255480 Long DBT NUSS TR N 2 2047-05-11 Fixed 5.75000000 N N N N N N Romania Government International Bonds 315700IASY927EDWBK92 Romania Government International Bonds 000000000 3400000.00000000 PA USD 3707258.00000000 0.162765809935 Long DBT NUSS RO Y 2 2053-01-17 Fixed 7.63000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 REVERSE REPO BANK OF NEW YORK 000000000 -1622006.25000000 PA USD -1622006.25000000 -0.07121359263 Short RA CORP US N 2 Reverse repurchase N 4.75000000 2025-02-08 2175000.00000000 USD 1647562.50000000 USD N N N AES PANAMA GENERATION HL N/A AES Panama Generation Holdings SRL 000000000 1964189.67000000 PA USD 1642062.56000000 0.072094157607 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 9500000.00000000 PA 6958759.93000000 0.305521815894 Long DBT NUSS RO Y 2 2050-01-28 Fixed 3.38000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 SWAP/CDSWAP/ICE: (CDX.EM.40.V1) 000000000 94100000.00000000 OU Notional Amount USD 2394562.70000000 0.105132401712 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.EM.S40 2I65BZFE7 Y buy protection 2028-12-21 2766540.00000000 USD 0.00000000 USD 94100000.00000000 USD -371977.30000000 N N N NORTH MACEDONIA 635400RD1N6RVNCE4958 North Macedonia Government International Bond 000000000 10700000.00000000 PA 10010972.28000000 0.439528085553 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 20700000.00000000 PA USD 18899721.00000000 0.829785355136 Long DBT NUSS PA Y 2 2033-07-25 Fixed 6.38000000 N N N N N N ELECTRICIDAD DE CARACAS N/A CA La Electricidad de Caracas 000000000 101165000.00000000 PA USD 5652088.55000000 0.248152885681 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 2910567.00000000 0.127787382244 Long DBT NUSS SA Y 2 2053-01-18 Fixed 5.00000000 N N N N N N REPUBLIC OF TURKIYE 5493000PCHOG3B6S3Q85 Turkiye Government International Bond 900123DK3 10000000.00000000 PA USD 9962500.00000000 0.437399927784 Long DBT NUSS TR N 2 2034-05-15 Fixed 7.63000000 N N N N N N LIRAQUEAR 12/27 FIXED 4.5 N/A LIRAQUEAR 000000000 448067.98000000 PA 410662.36000000 0.018029981089 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 5200000.00000000 PA USD 4318392.00000000 0.189597425239 Long DBT NUSS UZ Y 2 2030-11-25 Fixed 3.70000000 N N N N N N Republic of Sudan N/A Republic of Sudan 000000000 11833577.95000000 PA 602149.61000000 0.026437158938 Long DBT CORP SD N 3 2059-12-31 None 0.00000000 N N N N N N Jordan Government International Bonds 5493000JZ4MYPVMBVN50 Jordan Government International Bonds 000000000 30495000.00000000 PA USD 26263818.75000000 1.153103380135 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 3700000.00000000 PA USD 37000.00000000 0.001624471500 Long DBT CORP VG Y 2 2023-11-06 None 0.00000000 Y N N N N N PETROLEOS DE VENEZUELA S 549300YWR8TN1OFD4P06 Petroleos de Venezuela SA 000000000 6600000.00000000 PA USD 792000.00000000 0.034772471046 Long DBT CORP VE Y 2 2035-05-17 None 0.00000000 Y N N N N N LLPL Capital Pte Ltd 254900VXZ8FXTUQNON22 LLPL Capital Pte Ltd 000000000 2012920.00000000 PA USD 1951525.94000000 0.085681034401 Long DBT CORP SG Y 2 2039-02-04 Fixed 6.88000000 N N N N N N Ukraine Government International Bonds 6354001WLTJXOMEXPY07 Ukraine Government International Bonds 000000000 16200000.00000000 PA USD 4810752.00000000 0.211214311406 Long DBT NUSS UA Y 3 2030-11-01 Fixed 9.75000000 N Y N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 PURCHASED USD / SOLD GBP 000000000 1.00000000 NC 3511.54000000 0.000154172882 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3400000.00000000 GBP 4296473.24000000 USD 2024-04-18 3511.54000000 N N N LCH Limited F226TOH6YD6XJB17KS62 FSWP: EUR 2.900000 20-DEC-2053 EUR 000000000 25500000.00000000 OU Notional Amount -2564789.63000000 -0.11260615296 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-12-22 239404.86000000 EUR 0.00000000 EUR 25500000.00000000 EUR -2819959.39000000 N N N Nomura International PLC DGQCSV2PHVF7I2743539 REVERSE REPO BANK OF NEW YORK 000000000 -726275.00000000 PA USD -726275.00000000 -0.03188683890 Short RA CORP US N 2 Reverse repurchase N 4.70000000 2025-02-25 1100000.00000000 USD 750750.00000000 USD N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 Uruguay Government International Bond 760942BF8 379600000.00000000 PA 10113098.68000000 0.444011907885 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 5047000.00000000 PA USD 290202.50000000 0.012741234885 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 10200000.00000000 PA USD 89250.00000000 0.003918488688 Long DBT CORP KY Y 2 2023-01-22 None 0.00000000 Y N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 PURCHASED USD / SOLD BRL 000000000 1.00000000 NC 66904.41000000 0.002937413711 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 63000000.00000000 BRL 12702125.09000000 USD 2024-04-02 66904.41000000 N N N Oman Government International Bonds 549300SZ20F0QTKNQC75 Oman Government International Bonds 000000000 45100000.00000000 PA USD 45358874.00000000 1.991464814253 Long DBT NUSS OM Y 2 2048-01-17 Fixed 6.75000000 N N N N N N Ukraine Government International Bonds 6354001WLTJXOMEXPY07 Ukraine Government International Bonds 000000000 1600000.00000000 PA USD 452064.00000000 0.019847704989 Long DBT NUSS UA Y 3 2029-09-01 Fixed 7.75000000 N Y N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 SWAP/CDSWAP/SCDS: (REPSOU) 000000000 30500000.00000000 OU Notional Amount USD 1584309.04000000 0.069558510382 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 2028-12-21 2200073.20000000 USD 0.00000000 USD 30500000.00000000 USD -615764.16000000 N N N Government of Grenada N/A Grenada Government International Bond P48863AE7 3679812.80000000 PA USD 3422225.90000000 0.150251579575 Long DBT NUSS GD Y 2 2030-05-12 Fixed 7.00000000 N N N N N N ROMANIA 315700IASY927EDWBK92 Romanian Government International Bond 000000000 15600000.00000000 PA 16562378.88000000 0.727165202113 Long DBT NUSS RO N 2 2036-02-22 Fixed 5.63000000 N N N N N N EMPRESAS PUBLIC MEDELLIN 549300SU25TO8EMXB434 Empresas Publicas de Medellin ESP 000000000 37736000000.00000000 PA 8439980.88000000 0.370554281296 Long DBT CORP CO Y 2 2027-11-08 Fixed 8.38000000 N N N N N N Sri Lanka Government International Bonds 254900HXCCIOHM74FA02 Sri Lanka Government International Bonds 000000000 7700000.00000000 PA USD 4105717.00000000 0.180260006956 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 1600000.00000000 OU Notional Amount USD 98689.35000000 0.004332919905 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 350660.74000000 USD 0.00000000 USD 1600000.00000000 USD -251971.39000000 N N N EMPRESA NACIONAL DEL PET 549300YP3P0JZBLIV197 Empresa Nacional del Petroleo 000000000 700000.00000000 PA USD 677061.00000000 0.029726116186 Long DBT CORP CL Y 2 2029-11-06 Fixed 5.25000000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 Ukraine Government International Bond 000000000 2800000.00000000 PA USD 799204.00000000 0.035088760038 Long DBT NUSS UA Y 3 2028-09-01 Fixed 7.75000000 N Y N N N N LCH Limited F226TOH6YD6XJB17KS62 FSWP: ZAR 10.035000 20-MAR-2039 JI 000000000 208000000.00000000 OU Notional Amount -16895.16000000 -0.00074177583 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2039-03-22 0.00000000 ZAR -665076.85000000 ZAR 208000000.00000000 ZAR 17946.14000000 N N N IVORY COAST 254900ICW11T82O6H590 Ivory Coast Government International Bond 000000000 1400000.00000000 PA 1253997.61000000 0.055056307558 Long DBT NUSS CI Y 2 2040-10-17 Fixed 6.88000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 SWAP/CDSWAP/CDS: (MEX)_SGO29M20MX00 000000000 14700000.00000000 OU Notional Amount USD -50867.05000000 -0.00223329927 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 United Mexican States United Mexican States Y buy protection 2029-06-21 1168386.38000000 USD 0.00000000 USD 14700000.00000000 USD -1219253.43000000 N N N GTLK EUROPE CAPITAL DAC 635400I6H6CSZ39WIN49 GTLK Europe Capital DAC 000000000 5200000.00000000 PA USD 2600.00000000 0.000114152051 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 4100000.00000000 PA USD 3319237.00000000 0.145729889495 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 159800000.00000000 PA USD 15740300.00000000 0.691072128814 Long DBT CORP VE Y 2 2024-05-16 None 0.00000000 Y N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 SWAP/CDSWAP/SCDS: (EGYPT) 000000000 2500000.00000000 OU Notional Amount USD 349405.74000000 0.015340531537 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 690000.00000000 USD 0.00000000 USD 2500000.00000000 USD -340594.26000000 N N N REP OF ANGOLA(AVENIR IS) 635400VEZIQKZPR7KU35 Republic of Angola Via Avenir Issuer II Ireland DAC 000000000 5271428.58000000 PA USD 4945759.72000000 0.217141776097 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 7000000.00000000 PA USD 7218610.00000000 0.316930438414 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 19900000.00000000 PA USD 19358322.00000000 0.849920064726 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 6800000.00000000 PA USD 59500.00000000 0.002612325792 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 51714000.00000000 PA USD 2973555.00000000 0.130552847404 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 44845000.00000000 PA USD 30600882.65000000 1.343520588332 Long DBT CORP PE Y 2 2047-06-19 Fixed 5.63000000 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 12461562.90000000 0.547120372651 Long PF US Y 3 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 SWAP/CDSWAP/SCDS: (REPSOU) 000000000 34300000.00000000 OU Notional Amount USD -54440.15000000 -0.00239017492 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 2025-12-23 360718.25000000 USD 0.00000000 USD 34300000.00000000 USD -415158.40000000 N N N Transnet SOC Ltd 378900B07CD6F01EA796 Transnet SOC Ltd 000000000 20200000.00000000 PA 1100910.53000000 0.048335075163 Long DBT CORP ZA Y 2 2028-04-18 Fixed 13.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CFZ9 8300000.00000000 PA USD 8162207.05000000 0.358358722633 Long DBT UST US N 1 2027-11-30 Fixed 3.88000000 N N N N N N REPUBLIC OF VENEZUELA N/A Venezuela Government International Bond P97475AN0 17228000.00000000 PA USD 2411920.00000000 0.105894467635 Long DBT NUSS VE Y 2 2019-10-13 None 0.00000000 Y N N N N N COMMONWEALTH OF BAHAMAS 549300W13SXC7EKNJC20 Bahamas Government International Bond 000000000 4000000.00000000 PA USD 3836240.00000000 0.168428717587 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 49667000.00000000 PA USD 4941866.50000000 0.216970845693 Long DBT CORP VE Y 2 2026-11-15 None 0.00000000 Y N N N N N Chile Government International Bonds 549300FLZTJM5YJF8D34 Chile Government International Bonds 168863DS4 4200000.00000000 PA USD 3082758.00000000 0.135347365277 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 4000000.00000000 PA USD 4067360.00000000 0.178575956865 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 9300000.00000000 PA USD 8809518.00000000 0.386778673728 Long DBT CORP TT Y 2 2029-10-18 Fixed 8.88000000 N N N N N N REPUBLIC OF GABON N/A Gabon Government International Bond 000000000 3700000.00000000 PA USD 3008581.00000000 0.132090651155 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 10646000.00000000 PA USD 4881191.00000000 0.214306910002 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 3463000.00000000 PA USD 3010766.83000000 0.132186619223 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 14200000.00000000 PA USD 13120090.00000000 0.576032764720 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 2450000.00000000 PA USD 2142378.00000000 0.094060324465 Long DBT NUSS HN Y 2 2030-06-24 Fixed 5.63000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC -12602.41000000 -0.00055330421 N/A DFE XX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 3911573.16000000 USD 3600000.00000000 EUR 2024-04-24 -12602.41000000 N N N CHAD B N/A CHAD B 000000000 9610454.99000000 PA USD 6390952.57000000 0.280592440912 Long DBT CORP US N 3 2027-12-31 Variable 11.15000000 N N N N N N Kingdom of Bahrain 549300RODM1WN85LFQ95 Bahrain Government International Bond 000000000 54190000.00000000 PA USD 50964069.30000000 2.237558868902 Long DBT NUSS BH Y 2 2047-09-20 Fixed 7.50000000 N N N N N N Panama Government International Bonds 549300SHS4T08CL0LP14 Panama Government International Bonds 698299BM5 23800000.00000000 PA USD 15012564.00000000 0.659121145241 Long DBT NUSS PA N 2 2056-04-01 Fixed 4.50000000 N N N N N N Nomura Securities International, Inc. OXTKY6Q8X53C9ILVV871 Nomura Securities International, Inc. 000000000 21999134.40000000 PA USD 21999134.40000000 0.965863969674 Long RA CORP US N 2 Repurchase N 5.30000000 2024-03-01 22906000.00000000 USD 22385246.29000000 USD UST N N N DUA CAPITAL LTD 213800ILVLALFTITCB43 Dua Capital Ltd 000000000 4400000.00000000 PA USD 3750076.00000000 0.164645718603 Long DBT CORP MY Y 2 2031-05-11 Fixed 2.78000000 N N N N N N Angola Government International Bonds 549300QHR2R3J8JSGK83 Angola Government International Bonds 000000000 17200000.00000000 PA USD 14083360.00000000 0.618324782631 Long DBT NUSS AO Y 2 2048-05-08 Fixed 9.38000000 N N N N N N Sri Lanka Government International Bonds 254900HXCCIOHM74FA02 Sri Lanka Government International Bonds 000000000 22600000.00000000 PA USD 12176202.00000000 0.534591706448 Long DBT NUSS LK Y 2 2028-04-18 Fixed 6.75000000 N Y N N N N REPUBLIC OF SENEGAL 549300NP14ZLQGWIUZ97 Senegal Government International Bond 000000000 1400000.00000000 PA USD 1013250.00000000 0.044486371576 Long DBT NUSS SN Y 2 2048-03-13 Fixed 6.75000000 N N N N N N DEVELOPMENT BANK BELARUS 253400D4JRB0M70A0687 Development Bank of the Republic of Belarus JSC 000000000 7504000.00000000 PA USD 2326240.00000000 0.102132718495 Long DBT NUSS BY Y 3 2024-05-02 Fixed 6.75000000 N Y N N N N Saudi Government International Bonds 635400FMICXSM3SI3H65 Saudi Government International Bonds 000000000 7900000.00000000 PA USD 6967721.00000000 0.305915248403 Long DBT NUSS SA Y 2 2053-01-18 Fixed 5.00000000 N N N N N N Israel Electric Corp Ltd 254900JW7GE35YNJGJ55 Israel Electric Corp Ltd M60170AC7 14283000.00000000 PA USD 16299016.88000000 0.715602389588 Long DBT CORP IL Y 2 2096-12-15 Fixed 8.10000000 N N N N N N El Salvador Government International Bonds 529900AKDMUSFSDOM949 El Salvador Government International Bonds P01012AN6 2175000.00000000 PA USD 1631685.00000000 0.071638534621 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 36900000.00000000 OU Notional Amount USD -314192.61000000 -0.01379451191 N/A DCR US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 Petrobras Global Finance BV Petrobras Global Finance BV Y buy protection 2024-12-21 585824.11000000 USD 0.00000000 USD 36900000.00000000 USD -900016.72000000 N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 Ghana Government International Bond 000000000 33200000.00000000 PA USD 14080784.00000000 0.618211684291 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 0.000149275759 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 1200000.00000000 PA USD 1104000.00000000 0.048470717217 Long DBT NUSS EC N 3 2025-02-28 Fixed 5.00000000 N N N N N N CEZ AS 529900S5R9YHJHYKKG94 CEZ AS 000000000 4058000.00000000 PA USD 3631834.81000000 0.159454382295 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 22930000.00000000 PA 8930209.75000000 0.392077600978 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 531225.58000000 0.023323265277 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 631514.16000000 N N N PNG GOVT INTL BOND N/A Papua New Guinea Government International Bond 000000000 1100000.00000000 PA USD 1029600.00000000 0.045204212361 Long DBT NUSS PG Y 2 2028-10-04 Fixed 8.38000000 N N N N N N OFFICE CHERIFIEN DES PHO 529900F3MBW9XY5K1X07 OCP SA 000000000 8400000.00000000 PA USD 7875000.00000000 0.345749001887 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 17900000.00000000 OU Notional Amount USD -71450.26000000 -0.00313699759 N/A DCR US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 Turkey Government International Bonds Turkey Government International Bonds Y buy protection 2024-12-21 1213687.94000000 USD 0.00000000 USD 17900000.00000000 USD -1285138.20000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 SWAP/CDSWAP/SCDS: (BHRAIN) 000000000 5400000.00000000 OU Notional Amount USD 175401.00000000 0.007700916911 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 401901.22000000 USD 0.00000000 USD 5400000.00000000 USD -226500.22000000 N N N Countrywide Home Equity Loan Trust N/A CWHEQ Revolving Home Equity Loan Trust Series 2005-H 126685AP1 137223.16000000 PA USD 136408.93000000 0.005988984304 Long ABS-O CORP US N 2 2035-12-15 Floating 5.67000000 N N N N N N BNQ CEN TUNISIA INT BOND 254900B5LFB16S9T2T11 Tunisian Republic 000000000 1780000000.00000000 PA 6173959.45000000 0.271065437146 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 246989675.47000000 PA 15005052.37000000 0.658791349866 Long DBT NUSS AR N 2 2035-12-15 Variable 6.06000000 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 0.000000109761 Long DBT NUSS RU N 3 2050-01-01 None 0.00000000 N N N N N N BULGARIAN ENERGY HLD 635400E1RWKJXPSBCV07 Bulgarian Energy Holding EAD 000000000 2500000.00000000 PA 2370159.50000000 0.104060988119 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 4200000.00000000 PA USD 4151437.50000000 0.182267348828 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 15020000.00000000 PA USD 14263592.80000000 0.626237837959 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 8937000.00000000 PA USD 9364532.41000000 0.411146378908 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 10112000.00000000 PA USD 11681483.52000000 0.512871272076 Long DBT CORP PH N 2 2028-05-15 Fixed 9.63000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 Serbia International Bond 000000000 9700000.00000000 PA 7231274.88000000 0.317486485350 Long DBT NUSS RS Y 2 2036-09-23 Fixed 2.05000000 N N N N N N Republic of Angola 549300QHR2R3J8JSGK83 REPUBLIC OF ANGOLA (TRANCHE C2 000000000 2566666.67000000 PA USD 2489666.67000000 0.109307906817 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 20072000.00000000 PA USD 13548600.00000000 0.594846339933 Long DBT NUSS ZM Y 2 2027-07-30 Fixed 8.97000000 N Y N N N N Jamaica Government International Bonds N/A Jamaica Government International Bonds 470160CB6 2675000.00000000 PA USD 3100967.00000000 0.136146824779 Long DBT NUSS JM N 2 2045-07-28 Fixed 7.88000000 N N N N N N 2024-03-28 GMO TRUST Betty Maganzini Betty Maganzini Treasurer