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