0001752724-19-182423.txt : 20191127
0001752724-19-182423.hdr.sgml : 20191127
20191127125358
ACCESSION NUMBER: 0001752724-19-182423
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20190930
FILED AS OF DATE: 20191127
PERIOD START: 20190930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI INSTITUTIONAL INTERNATIONAL TRUST
CENTRAL INDEX KEY: 0000835597
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0228
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05601
FILM NUMBER: 191255592
BUSINESS ADDRESS:
STREET 1: SEI INVESTMENTS ATTN: CAREN ROSCH
STREET 2: 1FREEDOM CIRCLE DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
BUSINESS PHONE: 610 676-3097
MAIL ADDRESS:
STREET 1: SEI INVESTMENTS ATTN: CAREN ROSCH
STREET 2: 1FREEDOM CIRCLE DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
FORMER COMPANY:
FORMER CONFORMED NAME: SEI INTERNATIONAL TRUST
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: SEI WEALTH MANAGEMENT TRUST
DATE OF NAME CHANGE: 19900129
0000835597
S000006421
SIT EMERGING MARKETS DEBT FUND
C000017610
SIT EMERGING MARKETS DEBT FUND - CLASS F, effective 1-31-2017 (formerly Class A)
SITEX
C000147410
Class Y
SIEDX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000835597
XXXXXXXX
S000006421
C000147410
C000017610
SEI INSTITUTIONAL INTERNATIONAL TRUST
811-05601
0000835597
E8Z427H460ISEID6A824
ONE FREEDOM VALLEY DRIVE
OAKS
19456
8003425734
SIT Emerging Markets Debt Fund
S000006421
1BNBZ6S2ZXNZOA0AG379
2019-09-30
2019-09-30
N
1716615916.85
120905597.83
1595710319.02
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
39462437.59000000
USD
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 5.400000% 03/30/2050
P75744AG0
367000.00000000
PA
USD
415994.50000000
0.026069550033
Long
DBT
NUSS
PY
N
2
2050-03-30
Fixed
5.40000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 6.750000% 06/20/2026
N/A
1122000.00000000
PA
1317260.73000000
0.082550116665
Long
DBT
NUSS
UA
N
2
2026-06-20
Fixed
6.75000000
N
N
N
N
N
N
Magyarorszag
5299008DH62LEB10JK83
HUNGARY GOVERNMENT BOND 3.000000% 06/26/2024
N/A
1144280000.00000000
PA
4081595.30000000
0.255785480068
Long
DBT
NUSS
HU
N
2
2024-06-26
Fixed
3.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-01
N/A
1.00000000
NC
-115.25000000
-0.00000722248
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
31317.02000000
USD
28620.14000000
EUR
2019-10-01
-115.25000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 8.280000% 12/31/2033
040114GL8
2004914.34000000
PA
USD
982408.03000000
0.061565562263
Long
DBT
NUSS
AR
N
2
2033-12-31
Fixed
8.28000000
N
N
Y
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 12/17/2028
N/A
332842000.00000000
PA
12157914.26000000
0.761912366867
Long
DBT
NUSS
TH
N
2
2028-12-17
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2019-12-18
N/A
1.00000000
NC
USD
17909.01000000
0.001122322127
N/A
DFE
US
N
2
JP MORGAN
N/A
3426975.00000000
PLN
873912.41000000
USD
2019-12-18
17909.01000000
N
N
N
Gol Finance S.A.
5299007RH8MA67ZC6J07
GOL FINANCE INC 144A 7.000000% 01/31/2025
36254VAA6
998000.00000000
PA
USD
973050.00000000
0.060979113088
Long
DBT
NUSS
KY
Y
2
2025-01-31
Fixed
7.00000000
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.100000% 10/04/2022
N/A
1481000.00000000
PA
USD
1047807.50000000
0.065664017303
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-12-04
N/A
1.00000000
NC
-12086.88000000
-0.00075746079
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1501586.47000000
USD
1360000.00000000
EUR
2019-12-04
-12086.88000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND 144A 4.350000% 01/08/2027
455780BX3
2704000.00000000
PA
USD
2932752.72000000
0.183789794741
Long
DBT
NUSS
ID
Y
2
2027-01-08
Fixed
4.35000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
CBB INTERNATIONAL SUKUK PROGRAMME CO SPC 144A 5.625000% 09/30/2031
05675M2A1
1626000.00000000
PA
USD
1640149.45000000
0.102784912176
Long
DBT
NUSS
BH
Y
2
2031-09-30
Fixed
5.62500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 8.500000% 09/14/2022
N/A
3863771.00000000
PA
607467.05000000
0.038068754883
Long
DBT
NUSS
TR
N
2
2022-09-14
Fixed
8.50000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 8.250000% 05/09/2028
N/A
1126000.00000000
PA
USD
1165410.00000000
0.073033932669
Long
DBT
NUSS
AO
N
2
2028-05-09
Fixed
8.25000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 6.375000% 01/23/2045
71656LAY7
806000.00000000
PA
USD
747565.00000000
0.046848415472
Long
DBT
NUSS
MX
Y
2
2045-01-23
Fixed
6.37500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.350000% 08/10/2024
900123CV0
1800000.00000000
PA
USD
1832040.00000000
0.114810312258
Long
DBT
NUSS
TR
N
2
2024-08-10
Fixed
6.35000000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 4.500000% 09/16/2025
21987BAV0
2281000.00000000
PA
USD
2494766.61000000
0.156342074138
Long
DBT
NUSS
CL
Y
2
2025-09-16
Fixed
4.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
Turkey Government Bond 3.000000% 08/02/2023
N/A
5302000.00000000
PA
1742081.56000000
0.109172795289
Long
DBT
USGA
TR
N
2
2023-08-02
Fixed
3.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.059000% 09/30/2024
N/A
8000000.00000000
PA
1973433.05000000
0.123671134195
Long
DBT
NUSS
MY
N
2
2024-09-30
Fixed
4.05900000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-12-16
N/A
1.00000000
NC
17016.88000000
0.001066414110
N/A
DFE
TR
N
2
CITIGROUP GLOBAL MARKETS
N/A
3286152.07000000
USD
19077000.00000000
TRY
2019-12-16
17016.88000000
N
N
N
BANCO MERCANTIL DEL NORTE S.A.
N/A
BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN 144A 7.500000% MATURITY: PERPETUAL
05971PAB4
476000.00000000
PA
USD
482426.00000000
0.030232680346
Long
DBT
NUSS
MX
Y
2
2167-09-27
Fixed
7.50000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 7.500000% 09/15/2033
N/A
35200000.00000000
PA
1771651.74000000
0.111025899806
Long
DBT
NUSS
ZA
N
2
2033-09-15
Fixed
7.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2019-11-07
N/A
1.00000000
NC
32596.05000000
0.002042729786
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
10642187.93000000
PLN
2459825.24000000
EUR
2019-11-07
32596.05000000
N
N
N
URUGUAY PESO
N/A
FX Forward Contract: UYU/USD SETTLE 2019-12-12
N/A
1.00000000
NC
652.28000000
0.000040877093
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
368735.52000000
USD
13787021.00000000
UYU
2019-12-12
652.28000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.750000% 01/14/2029
718286CG0
1035000.00000000
PA
USD
1157733.21000000
0.072552843470
Long
DBT
NUSS
PH
N
2
2029-01-14
Fixed
3.75000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 8.747000% 01/21/2031
65412JAK9
535000.00000000
PA
USD
599975.75000000
0.037599289974
Long
DBT
NUSS
NG
Y
2
2031-01-21
Fixed
8.74700000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.817000% 03/14/2049
74727PBB6
2725000.00000000
PA
USD
3370977.60000000
0.211252478587
Long
DBT
NUSS
QA
Y
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
Magyarorszag
5299008DH62LEB10JK83
HUNGARY 6.375000% 03/29/2021
445545AE6
3908000.00000000
PA
USD
4146786.62000000
0.259870890760
Long
DBT
NUSS
HU
N
2
2021-03-29
Fixed
6.37500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 9.750000% 11/01/2028
N/A
4396000.00000000
PA
USD
5033595.84000000
0.315445465257
Long
DBT
NUSS
UA
N
2
2028-11-01
Fixed
9.75000000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN LISTRIK NEGARA PT MTN 5.450000% 05/21/2028
71568PAE9
262000.00000000
PA
USD
301634.44000000
0.018902831949
Long
DBT
NUSS
ID
Y
2
2028-05-21
Fixed
5.45000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 7.450000% 04/30/2044
25714PCF3
687000.00000000
PA
USD
814101.87000000
0.051018149114
Long
DBT
NUSS
DO
Y
2
2044-04-30
Fixed
7.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2019-10-15
N/A
1.00000000
NC
USD
-21466.37000000
-0.00134525482
N/A
DFE
US
N
2
JP MORGAN
N/A
128923667.00000000
PHP
2465551.10000000
USD
2019-10-15
-21466.37000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 01/08/2026
Y20721BN8
2159000.00000000
PA
USD
2380484.32000000
0.149180229746
Long
DBT
NUSS
ID
N
2
2026-01-08
Fixed
4.75000000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond 5.000000% 04/15/2026
P75744AD7
885000.00000000
PA
USD
964658.85000000
0.060453256365
Long
DBT
NUSS
PY
N
2
2026-04-15
Fixed
5.00000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 1.500000% 06/26/2029
N/A
2176000.00000000
PA
2468217.78000000
0.154678311632
Long
DBT
NUSS
RS
N
2
2029-06-26
Fixed
1.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.070000% 09/30/2026
N/A
6500000.00000000
PA
1617821.25000000
0.101385648179
Long
DBT
NUSS
MY
N
2
2026-09-30
Fixed
4.07000000
N
N
N
N
N
N
African Export-Import Bank
21380068LJCDYA42GJ76
AFRICAN EXPORT-IMPORT BANK/THE MTN 3.994000% 09/21/2029
00831TAA9
363000.00000000
PA
USD
363000.00000000
0.022748489852
Long
DBT
NUSS
XX
Y
2
2029-09-21
Fixed
3.99400000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
27057471.00000000
NC
47498.80000000
0.002976655564
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-27057471.00000000
BRL
47498.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2019-12-18
N/A
1.00000000
NC
USD
14486.40000000
0.000907833948
N/A
DFE
US
N
2
JP MORGAN
N/A
2772042.00000000
PLN
706898.04000000
USD
2019-12-18
14486.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
3020.52000000
0.000189289996
N/A
DFE
US
N
2
JP MORGAN
N/A
66101000.00000000
CZK
2794507.46000000
USD
2019-10-03
3020.52000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
8732623.00000000
NC
28956.79000000
0.001814664582
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-8732623.00000000
BRL
28956.79000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 12/05/2024
N/A
403161200.00000000
PA
23350433.48000000
1.463325341803
Long
DBT
NUSS
MX
N
2
2024-12-05
Floating
10.00000080
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2026
903724AT9
249000.00000000
PA
USD
259642.26000000
0.016271265335
Long
DBT
NUSS
UA
Y
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-11-01
N/A
1.00000000
NC
USD
-9235.44000000
-0.00057876670
N/A
DFE
US
N
2
JP MORGAN
N/A
22739276.38000000
MXN
1136464.34000000
USD
2019-11-01
-9235.44000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.850000% 11/03/2025
Y8137FAE8
1339000.00000000
PA
USD
1341919.21000000
0.084095414688
Long
DBT
NUSS
LK
N
2
2025-11-03
Fixed
6.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-11-01
N/A
1.00000000
NC
USD
10283.07000000
0.000644419596
N/A
DFE
US
N
2
JP MORGAN
N/A
27606226.00000000
MXN
1401200.11000000
USD
2019-11-01
10283.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2019-10-22
N/A
1.00000000
NC
USD
-5461.81000000
-0.00034228079
N/A
DFE
US
N
2
JP MORGAN
N/A
1187843.77000000
ILS
336769.83000000
USD
2019-10-22
-5461.81000000
N
N
N
JANUB GAZ DAHLIZI GAPALI SAHMDAR JAMIYYATI
213800DG58KG59XY6318
SOUTHERN GAS CORRIDOR CJSC 144A 6.875000% 03/24/2026
84302LAA0
1216000.00000000
PA
USD
1409927.68000000
0.088357370582
Long
DBT
NUSS
AZ
Y
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
Azarbayjan Respublikasi
549300P74FF45UQVU281
REPUBLIC OF AZERBAIJAN 5.125000% 09/01/2029
N/A
2011000.00000000
PA
USD
2166852.50000000
0.135792347406
Long
DBT
NUSS
AZ
N
2
2029-09-01
Fixed
5.12500000
N
N
N
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 3.375000% 06/19/2024
N/A
592000.00000000
PA
USD
596824.68000000
0.037401818668
Long
DBT
NUSS
HK
N
2
2024-06-19
Fixed
3.37500000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 6.000000% 01/15/2029
86964WAC6
688000.00000000
PA
USD
747856.00000000
0.046866651865
Long
DBT
NUSS
AT
Y
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2019-10-25
N/A
1.00000000
NC
USD
24312.10000000
0.001523591074
N/A
DFE
US
N
2
JP MORGAN
N/A
7744000.00000000
PEN
2311986.86000000
USD
2019-10-25
24312.10000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.900000% 11/26/2022
718286BX4
45000000.00000000
PA
866920.70000000
0.054328200404
Long
DBT
NUSS
PH
N
2
2022-11-26
Fixed
3.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-11-01
N/A
1.00000000
NC
USD
-4671.52000000
-0.00029275489
N/A
DFE
US
N
2
JP MORGAN
N/A
41575616.00000000
MXN
2090081.77000000
USD
2019-11-01
-4671.52000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 7.690000% 01/23/2050
71654QCW0
4782000.00000000
PA
USD
4985235.00000000
0.312414787356
Long
DBT
NUSS
MX
Y
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 7 DAY CNRR007 (CNY)
N/A
20500000.00000000
NC
-9762.65000000
-0.00061180590
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-07-05
0.00000000
CNY
0.00000000
CNY
-20500000.00000000
CNY
-9762.65000000
N
N
N
TURKIYE CUMHURIYETI ZIRAAT BANKASI ANONIM SIRKETI
213800K5KTZFSUS8MR51
TC ZIRAAT BANKASI AS MTN 4.750000% 04/29/2021
90014TAB7
561000.00000000
PA
USD
556339.21000000
0.034864674582
Long
DBT
NUSS
TR
Y
2
2021-04-29
Fixed
4.75000000
N
N
N
N
N
N
Republica de Costa Rica
N/A
COSTA RICA GOVERNMENT 7.000000% 04/04/2044
P3699PGH4
1208000.00000000
PA
USD
1197442.08000000
0.075041319575
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.480000% 03/15/2023
N/A
2858000.00000000
PA
689329.17000000
0.043198891539
Long
DBT
NUSS
MY
N
2
2023-03-15
Fixed
3.48000000
N
N
N
N
N
N
HAZINE MUSTESARLIGI VARLIK KIRALAMA ANONIM SIRKETI
6354003QFJP7RDXEOZ20
HAZINE MUSTESARLIGI VARLIK KIRALAMA AS 144A 5.800000% 02/21/2022
421790AF3
2770000.00000000
PA
USD
2823954.06000000
0.176971598562
Long
DBT
NUSS
TR
Y
2
2022-02-21
Fixed
5.80000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.250000% 06/23/2047
N/A
3400000.00000000
PA
USD
4037214.40000000
0.253004217111
Long
DBT
NUSS
RU
N
2
2047-06-23
Fixed
5.25000000
N
N
N
N
N
Minerva Luxembourg S.A.
222100NM3G3RCPGZ2Z17
MINERVA LUXEMBOURG SA 144A 6.500000% 09/20/2026
603374AD1
1247000.00000000
PA
USD
1297129.40000000
0.081288526152
Long
DBT
NUSS
LU
Y
2
2026-09-20
Fixed
6.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 06/03/2027
N/A
159530000.00000000
PA
8388576.07000000
0.525695420403
Long
DBT
NUSS
MX
N
2
2027-06-03
Floating
7.49999880
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY 6-MONTH PZL - WIBOR
N/A
12000000.00000000
NC
-663.74000000
-0.00004159526
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-08-16
0.00000000
PLN
0.00000000
PLN
-12000000.00000000
PLN
-663.74000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2023
N/A
56278000.00000000
PA
14999682.76000000
0.940000361043
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
14792.59000000
0.000927022268
N/A
DFE
TR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1289546.03000000
USD
7367112.00000000
TRY
2019-10-03
14792.59000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
Mexican Bonos 5.750000% 03/05/2026
N/A
15837300.00000000
PA
759194.15000000
0.047577191232
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 4.200000% 12/04/2036
N/A
28000000.00000000
PA
1668645.13000000
0.104570679910
Long
DBT
NUSS
CZ
N
2
2036-12-04
Fixed
4.20000000
N
N
N
N
N
N
VEB FINANCE PUBLIC LIMITED COMPANY
635400KYY8E2NCZXJ191
VNESHECONOMBANK (VEB FINANCE) 6.902% 07/09/2020
N/A
1310000.00000000
PA
USD
1348702.64000000
0.084520518788
Long
DBT
NUSS
XX
N
2
2020-07-09
Fixed
6.90200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2020-02-19
N/A
1.00000000
NC
USD
-38093.59000000
-0.00238724971
N/A
DFE
US
N
2
JP MORGAN
N/A
5804237054.00000000
UGX
1499802.86000000
USD
2020-02-19
-38093.59000000
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 3.717000% 01/25/2027
G10367AD5
1521000.00000000
PA
USD
1595163.96000000
0.099965760764
Long
DBT
NUSS
BM
N
2
2027-01-25
Fixed
3.71700000
N
N
N
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 5.125000% 03/14/2028
N/A
1779000.00000000
PA
USD
1994894.58000000
0.125016085703
Long
DBT
NUSS
HK
N
2
2028-03-14
Fixed
5.12500000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 8.747000% 01/21/2031
N/A
2749000.00000000
PA
USD
3082866.05000000
0.193197099326
Long
DBT
NUSS
NG
N
2
2031-01-21
Fixed
8.74700000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 6.125000% 01/18/2041
195325BM6
1584000.00000000
PA
USD
2063175.84000000
0.129295136805
Long
DBT
NUSS
CO
N
2
2041-01-18
Fixed
6.12500000
N
N
N
N
N
N
DIANJIAN HAIYU LIMITED
30030053J86AJARAGD28
DIANJIAN HAIYU LTD MTN 4.300000% MATURITY: PERPETUAL
N/A
204000.00000000
PA
USD
207952.30000000
0.013031958089
Long
DBT
NUSS
VG
N
2
2167-12-20
Fixed
4.30000000
N
N
N
N
N
N
N/A
N/A
R023 BOND FUTURE NOV19 FINANCIAL COMMODITY FUTURE.
N/A
578.00000000
NC
3909391.49000000
0.244993808926
N/A
DIR
ZA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
South African Govt. Bond Futures
R023 Bond Future Nov 2019
2019-11-07
4308025.28000000
ZAR
-398633.79000000
N
N
N
LIQUID TELECOMMUNICATIONS FINANCING PLC
635400MXAVJRJJCWVI87
LIQUID TELECOMMUNICATIONS FINANCING PLC 144A 8.500000% 07/13/2022
536333AA5
1286000.00000000
PA
USD
1268767.60000000
0.079511148413
Long
DBT
NUSS
GB
Y
2
2022-07-13
Fixed
8.50000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA MTN 8.375000% 04/19/2039
AZ5258761
3409000000.00000000
PA
253603.66000000
0.015892838253
Long
DBT
CORP
US
Y
3
2039-04-19
Fixed
8.37500000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 6.750000% 08/06/2023
N/A
1556000.00000000
PA
USD
1597691.46000000
0.100124154174
Long
DBT
NUSS
ZA
N
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
132954.45000000
0.008331991616
N/A
DFE
US
N
2
JP MORGAN
N/A
7918495.00000000
EUR
8817046.22000000
USD
2019-12-18
132954.45000000
N
N
N
Perusahaan Penerbit Surat Berharga Syariah Negara Indonesia III
254900G208H6Q0L5B953
PERUSAHAAN PENERBIT SBSN 4.400000% 03/01/2028
71567RAK2
573000.00000000
PA
USD
624283.50000000
0.039122608443
Long
DBT
NUSS
ID
N
2
2028-03-01
Fixed
4.40000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH HUF - BUBOR
N/A
1537321547.00000000
NC
-98022.41000000
-0.00614286997
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-10
0.00000000
HUF
0.00000000
HUF
-1537321547.00000000
HUF
-98022.41000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.000000% 03/14/2029
74727PBA8
3331000.00000000
PA
USD
3689082.50000000
0.231187481589
Long
DBT
NUSS
QA
Y
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.125000% 05/15/2028
N/A
28570000000.00000000
PA
1862534.55000000
0.116721345209
Long
DBT
NUSS
ID
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 8.280000% 12/31/2033
N/A
1261834.21000000
PA
USD
604431.20000000
0.037878504186
Long
DBT
NUSS
AR
N
2
2033-12-31
Fixed
8.28000000
N
N
Y
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
PARAGUAY GOVERNMENT INTERNATIONAL BOND 144A 5.400000% 03/30/2050
699149AH3
240000.00000000
PA
USD
272040.00000000
0.017048207106
Long
DBT
NUSS
PY
Y
2
2050-03-30
Fixed
5.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2019-11-18
N/A
1.00000000
NC
USD
-60671.32000000
-0.00380215125
N/A
DFE
US
N
2
JP MORGAN
N/A
10231389400.00000000
UGX
2698151.21000000
USD
2019-11-18
-60671.32000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:1.64
N/A
14000000.00000000
NC
2942.21000000
0.000184382463
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-06-21
0.00000000
CZK
0.00000000
CZK
-14000000.00000000
CZK
2942.21000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.625000% 04/16/2030
N/A
2714000.00000000
PA
2957628.59000000
0.185348716163
Long
DBT
NUSS
EG
Y
2
2030-04-16
Fixed
5.62500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 8.125000% 05/21/2024
195325BD6
1127000.00000000
PA
USD
1393265.02000000
0.087313154736
Long
DBT
NUSS
CO
N
2
2024-05-21
Fixed
8.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-30711.07000000
-0.00192460182
N/A
DFE
US
N
2
JP MORGAN
N/A
107854815.42000000
INR
1481929.31000000
USD
2019-12-18
-30711.07000000
N
N
N
Magyarorszag
5299008DH62LEB10JK83
HUNGARY GOVERNMENT BOND 6.750000% 10/22/2028
N/A
419240000.00000000
PA
1941392.44000000
0.121663212731
Long
DBT
NUSS
HU
N
2
2028-10-22
Fixed
6.75000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.650000% 06/15/2035
P01012AN6
1153000.00000000
PA
USD
1236604.03000000
0.077495521289
Long
DBT
NUSS
SV
N
2
2035-06-15
Fixed
7.65000000
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
41920000.00000000
PA
1939504.01000000
0.121544868569
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 08/01/2029
68205LAB9
1419000.00000000
PA
USD
1410883.32000000
0.088417258645
Long
DBT
NUSS
OM
Y
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.000000% 01/27/2045
105756BW9
1557000.00000000
PA
USD
1612740.60000000
0.101067253923
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-196754.21000000
-0.01233019600
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
3890321.92000000
USD
1134768000.00000000
HUF
2019-10-03
-196754.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-13467.27000000
-0.00084396709
N/A
DFE
US
N
2
JP MORGAN
N/A
19077000.00000000
TRY
3364093.41000000
USD
2019-10-03
-13467.27000000
N
N
N
JANUB GAZ DAHLIZI GAPALI SAHMDAR JAMIYYATI
213800DG58KG59XY6318
Southern Gas Corridor CJSC 6.875000% 03/24/2026
84302LAB8
1437000.00000000
PA
USD
1666172.76000000
0.104415741387
Long
DBT
CORP
XX
Y
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 01/01/2022
N/A
8000000.00000000
PA
1700436.88000000
0.106563005812
Long
DBT
NUSS
BR
N
2
2022-01-01
None
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-10-17
N/A
1.00000000
NC
USD
42273.00000000
0.002649165045
N/A
DFE
US
N
2
JP MORGAN
N/A
2445562.00000000
BRL
628795.56000000
USD
2019-10-17
42273.00000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-12-20
N/A
1.00000000
NC
-119346.92000000
-0.00747923470
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
3554403.55000000
USD
52614972.00000000
ZAR
2019-12-20
-119346.92000000
N
N
N
KONDOR FINANCE PLC
213800PUC1T9GI6EIO63
NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC 7.125000% 07/19/2024
N/A
500000.00000000
PA
571746.29000000
0.035830205719
Long
DBT
NUSS
GB
N
2
2024-07-19
Fixed
7.12500000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.124000% 07/16/2031
N/A
418000.00000000
PA
472885.11000000
0.029634771697
Long
DBT
NUSS
RO
N
2
2031-07-16
Fixed
2.12400000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.625000% 06/16/2023
N/A
55000000.00000000
PA
1942128.89000000
0.121709364591
Long
DBT
NUSS
TH
N
2
2023-06-16
Fixed
3.62500000
N
N
N
N
N
N
GTLK EUROPE DESIGNATED ACTIVITY COMPANY
635400FDT7BRRHTMEC11
GTLK EUROPE DAC 5.950000% 07/19/2021
N/A
470000.00000000
PA
USD
487625.00000000
0.030558491361
Long
DBT
NUSS
IE
N
2
2021-07-19
Fixed
5.95000000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 5.625000% 06/19/2047
P7808BAB3
2272000.00000000
PA
USD
2698000.00000000
0.169078307499
Long
DBT
NUSS
PE
N
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
Republica de Costa Rica
N/A
COSTA RICA GOVERNMENT INTERNATIONAL BOND 144A 7.158000% 03/12/2045
221597BV8
1037000.00000000
PA
USD
1037010.37000000
0.064987382586
Long
DBT
NUSS
CR
Y
2
2045-03-12
Fixed
7.15800000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2019-11-20
N/A
1.00000000
NC
-12097.55000000
-0.00075812945
N/A
DFE
ID
N
2
STANDARD CHARTERED BANK
N/A
1911078.64000000
USD
27083806421.00000000
IDR
2019-11-20
-12097.55000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3000000.00000000
NC
222434.03000000
0.013939499378
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-3000000.00000000
BRL
222434.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
6548.31000000
0.000410369596
N/A
DFE
US
N
2
JP MORGAN
N/A
14457126000.00000000
IDR
1016103.88000000
USD
2019-12-18
6548.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-11-06
N/A
1.00000000
NC
USD
-57334.58000000
-0.00359304438
N/A
DFE
US
N
2
JP MORGAN
N/A
25055285.00000000
TRY
4334074.55000000
USD
2019-11-06
-57334.58000000
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVT INT'L 3.125000% 09/30/2049
N/A
1063000.00000000
PA
USD
1029781.25000000
0.064534347978
Long
DBT
NUSS
AE
N
2
2049-09-30
Fixed
3.12500000
N
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
Venezuela Government International Bond 9.250000% 05/07/2028
P17625AB3
2941000.00000000
PA
USD
316157.50000000
0.019812963307
Long
DBT
NUSS
VE
N
2
2028-05-07
Fixed
9.25000000
Y
Y
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2019-10-07
N/A
1.00000000
NC
603.22000000
0.000037802600
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
80388073.00000000
HUF
240536.66000000
EUR
2019-10-07
603.22000000
N
N
N
AZARBAYJAN RESPUBLIKASI DOVLAT NEFT SHIRKATI
2549002HARR1VE257O76
State Oil Co of the Azerbaijan Republic MTN 4.750000% 03/13/2023
N/A
1300000.00000000
PA
USD
1347632.00000000
0.084453423903
Long
DBT
NUSS
XX
N
2
2023-03-13
Fixed
4.75000000
N
N
N
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
KINGDOM OF JORDAN 7.375000% 10/10/2047
N/A
493000.00000000
PA
USD
518261.32000000
0.032478408757
Long
DBT
NUSS
JO
N
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2019-12-04
N/A
1.00000000
NC
USD
16617.39000000
0.001041378864
N/A
DFE
US
N
2
JP MORGAN
N/A
162607139.00000000
RUB
2502225.73000000
USD
2019-12-04
16617.39000000
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 6.250000% 07/30/2024
N/A
877000.00000000
PA
USD
950755.70000000
0.059581973536
Long
DBT
NUSS
SN
N
2
2024-07-30
Fixed
6.25000000
N
N
N
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
ISLAMIC REP OF PAKISTAN 8.250000% 09/30/2025
N/A
1000000.00000000
PA
USD
1079840.00000000
0.067671430530
Long
DBT
NUSS
PK
N
2
2025-09-30
Fixed
8.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
2727.87000000
0.000170950201
N/A
DFE
US
N
2
JP MORGAN
N/A
1644464.15000000
SGD
1193275.82000000
USD
2019-12-18
2727.87000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-12-20
N/A
1.00000000
NC
-33305.57000000
-0.00208719399
N/A
DFE
XX
N
2
JP MORGAN
N/A
1924134.92000000
USD
37794416.00000000
MXN
2019-12-20
-33305.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
5091.90000000
0.000319099271
N/A
DFE
US
N
2
JP MORGAN
N/A
683139.00000000
EUR
749910.71000000
USD
2019-10-03
5091.90000000
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA 5.125000% 06/15/2048
N/A
1410000.00000000
PA
USD
1630380.18000000
0.102172691406
Long
DBT
NUSS
RO
N
2
2048-06-15
Fixed
5.12500000
N
N
N
N
N
MHP Lux S.A.
222100RHC7R1WZ1J3M44
MHP LUX SA 144A 6.250000% 09/19/2029
59318YAB4
1542000.00000000
PA
USD
1487351.52000000
0.093209369035
Long
DBT
NUSS
LU
Y
2
2029-09-19
Fixed
6.25000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-12-18
N/A
1.00000000
NC
11232.57000000
0.000703922877
N/A
DFE
TR
N
2
CITIGROUP GLOBAL MARKETS
N/A
390237.99000000
USD
2320000.00000000
TRY
2019-12-18
11232.57000000
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
Venezuela Government International Bond 8.250000% 10/13/2024
P97475AP5
3303600.00000000
PA
USD
355137.00000000
0.022255731241
Long
DBT
NUSS
VE
N
2
2024-10-13
Fixed
8.25000000
Y
Y
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-86561.33000000
-0.00542462682
N/A
DFE
CL
N
2
CITIGROUP GLOBAL MARKETS
N/A
9810961.00000000
USD
7066344660.00000000
CLP
2019-12-18
-86561.33000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2029
N/A
76525000000.00000000
PA
5753957.61000000
0.360589108274
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY BRL - CETIP
N/A
8089237.00000000
NC
106465.19000000
0.006671962243
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2021-01-04
0.00000000
BRL
0.00000000
BRL
-8089237.00000000
BRL
106465.19000000
N
N
N
Empresa de Transmision Electrica S.A.
254900RX1DOMC83TZ320
EMPRESA DE TRANSMISION ELECTRICA SA 144A 5.125000% 05/02/2049
29247QAA2
635000.00000000
PA
USD
729853.13000000
0.045738447718
Long
DBT
NUSS
PA
Y
2
2049-05-02
Fixed
5.12500000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 5.000000% 01/15/2027
QZ7930907
2065000.00000000
PA
863407.10000000
0.054108010063
Long
DBT
NUSS
AR
N
2
2027-01-15
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-12-09
N/A
1.00000000
NC
USD
-20910.87000000
-0.00131044273
N/A
DFE
US
N
2
JP MORGAN
N/A
2593094.00000000
TRY
429003.91000000
USD
2019-12-09
-20910.87000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-9272.53000000
-0.00058109105
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
1178004.85000000
USD
27612893.00000000
CZK
2019-12-18
-9272.53000000
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 4.625000% 03/14/2023
N/A
294000.00000000
PA
USD
308174.55000000
0.019312687668
Long
DBT
NUSS
HK
N
2
2023-03-14
Fixed
4.62500000
N
N
N
N
N
N
N/A
N/A
R2035 BOND FUTURE NOV19 FINANCIAL COMMODITY FUTURE.
N/A
581.00000000
NC
3666510.23000000
0.229772922208
N/A
DIR
ZA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2035 Bond Future Nov 2019
2019-11-07
4098362.88000000
ZAR
-431852.65000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH PLN - WIBOR
N/A
7000000.00000000
NC
19954.12000000
0.001250485113
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-12
0.00000000
PLN
0.00000000
PLN
-7000000.00000000
PLN
19954.12000000
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 3.125000% 09/30/2049
29135LAF7
2034000.00000000
PA
USD
1970437.50000000
0.123483409019
Long
DBT
NUSS
AE
Y
2
2049-09-30
Fixed
3.12500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
87650000.00000000
PA
4201686.36000000
0.263311348552
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.94
N/A
35891742.00000000
NC
-18674.71000000
-0.00117030702
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-08-20
0.00000000
MXN
0.00000000
MXN
-35891742.00000000
MXN
-18674.71000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 11/07/2047
N/A
38771000.00000000
PA
2113121.61000000
0.132425139125
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.700000% 03/23/2033
N/A
229686000.00000000
PA
3713810.13000000
0.232737113104
Long
DBT
NUSS
RU
N
2
2033-03-23
Fixed
7.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2019-12-18
N/A
1.00000000
NC
USD
30702.94000000
0.001924092338
N/A
DFE
US
N
2
JP MORGAN
N/A
11052100800.00000000
COP
3200909.64000000
USD
2019-12-18
30702.94000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.875000% 01/29/2026
P3579EBK2
989000.00000000
PA
USD
1115107.39000000
0.069881567895
Long
DBT
NUSS
DO
N
2
2026-01-29
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ARS SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-76043.98000000
-0.00476552536
N/A
DFE
US
N
2
JP MORGAN
N/A
32959545.00000000
ARS
494146.10000000
USD
2019-10-03
-76043.98000000
N
N
N
Sinopec Group Overseas Development (2017) Limited
5493001IPW8ZGQ181Z16
SINOPEC GROUP OVERSEAS DEVELOPMENT 2017 LTD 3.625000% 04/12/2027
G8201NAC6
2458000.00000000
PA
USD
2586846.91000000
0.162112563863
Long
DBT
NUSS
VG
N
2
2027-04-12
Fixed
3.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2019-11-07
N/A
1.00000000
NC
19617.81000000
0.001229409233
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
9912957.00000000
PLN
2281442.79000000
EUR
2019-11-07
19617.81000000
N
N
N
Republika e Shqiperise
254900EDM43U3SGRND29
REPUBLIC OF ALBANIA 3.500000% 10/09/2025
N/A
403000.00000000
PA
471205.00000000
0.029529482537
Long
DBT
NUSS
AL
N
2
2025-10-09
Fixed
3.50000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 6.350000% 06/28/2024
85227SBA3
1294000.00000000
PA
USD
1293436.71000000
0.081057112596
Long
DBT
NUSS
LK
Y
2
2024-06-28
Fixed
6.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2019-10-04
N/A
1.00000000
NC
USD
-25230.72000000
-0.00158115916
N/A
DFE
US
N
2
JP MORGAN
N/A
137781485.00000000
PHP
2633035.56000000
USD
2019-10-04
-25230.72000000
N
N
N
1MDB Global Investments Limited
N/A
1MDB Global Investments Ltd 4.400000% 03/09/2023
N/A
1000000.00000000
PA
USD
956789.31000000
0.059960087905
Long
DBT
NUSS
XX
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.250000% 01/17/2042
Y20721BB4
3120000.00000000
PA
USD
3751569.06000000
0.235103390338
Long
DBT
NUSS
ID
N
2
2042-01-17
Fixed
5.25000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-17
N/A
1.00000000
NC
-794344.94000000
-0.04978002150
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
8693036.99000000
USD
32934353.00000000
BRL
2019-10-17
-794344.94000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2019-10-07
N/A
1.00000000
NC
1957.36000000
0.000122663868
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
302752898.00000000
HUF
905606.90000000
EUR
2019-10-07
1957.36000000
N
N
N
Republic of Zambia
2549001MFDXXJB4IQU56
ZAMBIA GOVERNMENT INTERNATIONAL BOND 144A 5.375000% 09/20/2022
988895AA6
443000.00000000
PA
USD
309144.01000000
0.019373441803
Long
DBT
NUSS
ZM
Y
2
2022-09-20
Fixed
5.37500000
N
N
N
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 1.125000% 06/19/2029
N/A
963000.00000000
PA
1114094.60000000
0.069818098355
Long
DBT
NUSS
HR
N
2
2029-06-19
Fixed
1.12500000
N
N
N
N
N
N
JANUB GAZ DAHLIZI GAPALI SAHMDAR JAMIYYATI
213800DG58KG59XY6318
SOUTHERN GAS CORRIDOR CJSC 6.875000% 03/24/2026
N/A
4605000.00000000
PA
USD
5339405.40000000
0.334609943694
Long
DBT
NUSS
AZ
N
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 8.500000% 09/17/2024
N/A
9200000.00000000
PA
639898.91000000
0.040101195208
Long
DBT
NUSS
XX
N
2
2024-09-17
Fixed
8.50000000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 3.000000% 09/30/2029
21987BAZ1
2734000.00000000
PA
USD
2723692.82000000
0.170688425557
Long
DBT
NUSS
CL
Y
2
2029-09-30
Fixed
3.00000000
N
N
N
N
N
N
BRK: CREDIT SUISSE
N/A
Credit Default Swap
CDS98W625
-2100000.00000000
NC
USD
2486.11000000
0.000155799581
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2019-12-20
0.00000000
USD
-7701.07000000
USD
-2100000.00000000
USD
10187.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-12-18
N/A
1.00000000
NC
USD
2360.87000000
0.000147951039
N/A
DFE
US
N
2
JP MORGAN
N/A
3387806.00000000
MXN
171900.91000000
USD
2019-12-18
2360.87000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU GOVERNMENT BOND 144A 6.150000% 08/12/2032
N/A
13992000.00000000
PA
4733960.69000000
0.296667924846
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 04/18/2028
85227SAW6
5224000.00000000
PA
USD
4981144.70000000
0.312158456370
Long
DBT
NUSS
LK
Y
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY BRL - CETIP
N/A
169546.00000000
NC
3169.53000000
0.000198628157
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2021-01-04
0.00000000
BRL
0.00000000
BRL
-169546.00000000
BRL
3169.53000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
6561700000.00000000
PA
2024324.11000000
0.126860375963
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
Republique du Cameroun
54930021BO6NHYGBBV24
REPUBLIC OF CAMEROON INTERNATIONAL BOND 144A 9.500000% 11/19/2025
133653AA3
324000.00000000
PA
USD
354438.50000000
0.022211957632
Long
DBT
NUSS
CM
Y
2
2025-11-19
Fixed
9.50000000
N
N
N
N
N
N
POWERTEK INVESTMENT HOLDINGS SDN. BHD.
N/A
1MDB ENERGY LTD 5.990000% 05/11/2022
N/A
2000000.00000000
PA
USD
2102210.66000000
0.131741371534
Long
DBT
NUSS
MY
N
2
2022-05-11
Fixed
5.99000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 5.103000% 04/23/2048
74727PAY7
1218000.00000000
PA
USD
1555995.00000000
0.097511119747
Long
DBT
NUSS
QA
Y
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.470000% 11/12/2026
N/A
175079400.00000000
PA
7360003.14000000
0.461236795442
Long
DBT
NUSS
MX
N
2
2026-11-12
Fixed
7.47000000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 144A 5.625000% 06/19/2047
716564AB5
366000.00000000
PA
USD
434625.00000000
0.027237086507
Long
DBT
NUSS
PE
Y
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.500000% 04/22/2029
91087BAF7
2636000.00000000
PA
USD
2863381.36000000
0.179442429234
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-16
N/A
1.00000000
NC
USD
-76714.29000000
-0.00480753236
N/A
DFE
US
N
2
JP MORGAN
N/A
15858725.00000000
TRY
2720329.68000000
USD
2019-10-16
-76714.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-25670.36000000
-0.00160871053
N/A
DFE
US
N
2
JP MORGAN
N/A
73238332.82000000
INR
1001481.37000000
USD
2019-12-18
-25670.36000000
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 3.500000% 04/16/2029
80414L2D6
930000.00000000
PA
USD
970363.82000000
0.060810775516
Long
DBT
NUSS
SA
Y
2
2029-04-16
Fixed
3.50000000
N
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 6.250000% 05/23/2033
N/A
740000.00000000
PA
USD
744773.00000000
0.046673446371
Long
DBT
NUSS
SN
N
2
2033-05-23
Fixed
6.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: ARS/USD SETTLE 2019-10-03
N/A
1.00000000
NC
69120.90000000
0.004331669675
N/A
DFE
AR
N
2
JP MORGAN
N/A
615116.64000000
USD
39552000.00000000
ARS
2019-10-03
69120.90000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.000000% 03/25/2027
900123CL2
252000.00000000
PA
USD
247455.94000000
0.015507572837
Long
DBT
NUSS
TR
N
2
2027-03-25
Fixed
6.00000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.550000% 06/26/2020
N/A
5000000.00000000
PA
164804.10000000
0.010327945995
Long
DBT
NUSS
TH
N
2
2020-06-26
Fixed
2.55000000
N
N
N
N
N
N
Huarong Finance 2017 Co., Ltd.
5493006V07LYI3HE6G83
HUARONG FINANCE 2017 CO LTD 4.500000% MATURITY: PERPETUAL
G463PSAB0
1378000.00000000
PA
USD
1392331.20000000
0.087254634090
Long
DBT
NUSS
VG
N
2
2168-07-24
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
RITEKRO 0% 01/11/2022 (RESTRUCTURE OF TEOREMA HLDG 11% 10/27/08)
084138541
914000.00000000
PA
USD
612380.00000000
0.038376639713
Long
DBT
NUSS
RU
N
3
2022-11-07
Fixed
0.00000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-09
N/A
1.00000000
NC
-789748.59000000
-0.04949197737
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
11015455.02000000
USD
42614169.00000000
BRL
2019-10-09
-789748.59000000
N
N
N
AEROPUERTO INTERNACIONAL DE TOCUMEN, S.A.
254900FO1PHX49ZIGB14
AEROPUERTO INTERNACIONAL DE TOCUMEN SA 144A 6.000000% 11/18/2048
00787CAC6
413000.00000000
PA
USD
520900.38000000
0.032643793412
Long
DBT
NUSS
PA
Y
2
2048-11-18
Fixed
6.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 5.625000% 11/18/2050
715638BM3
823000.00000000
PA
USD
1205703.23000000
0.075559029457
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-1319.15000000
-0.00008266851
N/A
DFE
MY
N
2
STANDARD BANK
N/A
414163.30000000
USD
1730250.00000000
MYR
2019-12-18
-1319.15000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2019-10-16
N/A
1.00000000
NC
-20581.42000000
-0.00128979676
N/A
DFE
TH
N
2
BT BROKERAGE CORP
N/A
2680000.53000000
USD
81308536.00000000
THB
2019-10-16
-20581.42000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
30930000.00000000
PA
1296726.97000000
0.081263306663
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
3.30000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.500000% 03/13/2027
71654QCG5
926000.00000000
PA
USD
962114.00000000
0.060293775664
Long
DBT
NUSS
MX
N
2
2027-03-13
Fixed
6.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2019-10-07
N/A
1.00000000
NC
72612.24000000
0.004550465027
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
778121979.00000000
HUF
2389515.97000000
EUR
2019-10-07
72612.24000000
N
N
N
VEDANTA RESOURCES LIMITED
2138007MYEKPEAZQTW83
VEDANTA RESOURCES LTD 8.250000% 06/07/2021
G9328DAG5
820000.00000000
PA
USD
853210.00000000
0.053468978036
Long
DBT
NUSS
GB
N
2
2021-06-07
Fixed
8.25000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 3.750000% 01/17/2022
AW7147597
350070000.00000000
PA
3360144.32000000
0.210573578421
Long
DBT
NUSS
RS
N
2
2022-01-17
Fixed
3.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-11-05
N/A
1.00000000
NC
-8585.42000000
-0.00053803123
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1132031.33000000
USD
1027808.00000000
EUR
2019-11-05
-8585.42000000
N
N
N
CHINA MINMETALS CORPORATION
3003002ULBI4T3DT7Z09
CHINA MINMETALS CORP 3.750000% MATURITY: PERPETUAL
N/A
2047000.00000000
PA
USD
2046601.80000000
0.128256474599
Long
DBT
NUSS
CN
N
2
2168-05-13
Fixed
3.75000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 7.820000% 12/31/2033
ED7860460
16637521.68400000
PA
8647970.68000000
0.541951166005
Long
DBT
NUSS
AR
N
2
2033-12-31
Fixed
7.82000000
N
N
Y
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.850000% 03/14/2024
Y8137FAN8
1212000.00000000
PA
USD
1238987.02000000
0.077644858545
Long
DBT
NUSS
LK
N
2
2024-03-14
Fixed
6.85000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 6.000000% 01/01/2043
N/A
2815000000.00000000
PA
5820925.43000000
0.364785848698
Long
DBT
NUSS
CL
N
2
2043-01-01
Fixed
6.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 3.750000% 06/14/2028
N/A
359000.00000000
PA
484167.42000000
0.030341811682
Long
DBT
NUSS
ID
N
2
2028-06-14
Fixed
3.75000000
N
N
N
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
EXPORT CREDIT BANK OF TURKEY 144A 8.250000% 01/24/2024
90015LAF4
423000.00000000
PA
USD
446975.64000000
0.028011076614
Long
DBT
NUSS
TR
Y
2
2024-01-24
Fixed
8.25000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
12719000.00000000
PA
3068757.39000000
0.192312937594
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-16
N/A
1.00000000
NC
15692.28000000
0.000983404056
N/A
DFE
TR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2781351.69000000
USD
15858725.00000000
TRY
2019-10-16
15692.28000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 07/01/2020
N/A
17181000.00000000
PA
3982392.01000000
0.249568606690
Long
DBT
NUSS
BR
N
2
2020-07-01
None
0.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.181000% 07/15/2024
N/A
4186000.00000000
PA
1038681.08000000
0.065092082668
Long
DBT
NUSS
MY
N
2
2024-07-15
Fixed
4.18100000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST STEP COUPON 12/31/2032
N/A
3413000.00000000
PA
USD
3347572.79000000
0.209785745576
Long
DBT
NUSS
XX
N
2
2032-12-31
Floating
5.74999920
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.625000% 01/07/2041
105756BR0
347000.00000000
PA
USD
388209.72000000
0.024328332992
Long
DBT
NUSS
BR
N
2
2041-01-07
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
69501.84000000
0.004355542429
N/A
DFE
US
N
2
JP MORGAN
N/A
100601653005.00000000
IDR
7094615.87000000
USD
2019-12-18
69501.84000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 8.875000% 10/23/2027
P8054QAV5
4504000.00000000
PA
USD
4487155.04000000
0.281201104393
Long
DBT
NUSS
EC
N
2
2027-10-23
Fixed
8.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2019-11-07
N/A
1.00000000
NC
-6221.45000000
-0.00038988592
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
5450322.00000000
PLN
1238820.48000000
EUR
2019-11-07
-6221.45000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2019-10-07
N/A
1.00000000
NC
-19146.49000000
-0.00119987254
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
872591.56000000
EUR
286414220.00000000
HUF
2019-10-07
-19146.49000000
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 4.250000% 04/16/2039
80414L2E4
7519000.00000000
PA
USD
8105760.43000000
0.507971925316
Long
DBT
NUSS
SA
Y
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
JBS Investments II GmbH
529900V1Q46CPWIWT649
JBS INVESTMENTS II GMBH 144A 5.750000% 01/15/2028
46650CAB5
466000.00000000
PA
USD
485339.00000000
0.030415232277
Long
DBT
NUSS
AT
Y
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2019-10-07
N/A
1.00000000
NC
2205.75000000
0.000138229976
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
381856026.00000000
HUF
1141982.25000000
EUR
2019-10-07
2205.75000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-241243.77000000
-0.01511826846
N/A
DFE
CO
N
2
J P MORGAN CHASE BANK
N/A
7622214.10000000
USD
25731832595.00000000
COP
2019-12-18
-241243.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2019-10-18
N/A
1.00000000
NC
USD
12159.09000000
0.000761986048
N/A
DFE
US
N
2
JP MORGAN
N/A
1387491.00000000
CNY
206368.81000000
USD
2019-10-18
12159.09000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
5215277.00000000
NC
234857.10000000
0.014718028529
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-5215277.00000000
BRL
234857.10000000
N
N
N
Mong Duong Finance Holdings B.V.
549300995KGQFMWSV879
MONG DUONG FINANCE HOLDINGS BV 144A 5.125000% 05/07/2029
60935DAA3
692000.00000000
PA
USD
705479.22000000
0.044210983133
Long
DBT
NUSS
NL
Y
2
2029-05-07
Fixed
5.12500000
N
N
N
N
N
N
N/A
N/A
FX Swap: USD/TRY SETTLE 2024-12-09
N/A
1.00000000
NC
USD
-470974.58000000
-0.02951504257
N/A
DIR
XX
N
3
N/A
N/A
Y
2024-12-09
0.00000000
TRY
0.00000000
USD
-13500000.00000000
TRY
-470974.58000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 10/12/2028
05674RAG9
674000.00000000
PA
USD
755684.76000000
0.047357264723
Long
DBT
NUSS
BH
Y
2
2028-10-12
Fixed
7.00000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2019-12-04
N/A
1.00000000
NC
126108.37000000
0.007902961364
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
4716012.82000000
USD
316768922.00000000
RUB
2019-12-04
126108.37000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 15.840000% 02/26/2025
N/A
66553000.00000000
PA
2831409.38000000
0.177438808676
Long
DBT
NUSS
UA
N
2
2025-02-26
Fixed
15.84000000
N
N
N
N
N
N
N/A
N/A
R2037 BOND FUTURE NOV19 FINANCIAL COMMODITY FUTURE.
N/A
418.00000000
NC
2532076.25000000
0.158680195259
N/A
DIR
ZA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2037 Bond Future Nov 2019
2019-11-07
2833253.66000000
ZAR
-301177.41000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS REC:1.88%
N/A
400000000.00000000
NC
-840.91000000
-0.00005269816
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-09-13
0.00000000
HUF
0.00000000
HUF
-400000000.00000000
HUF
-840.91000000
N
N
N
PERU LNG S.R.L.
254900F70J1LOALV5K70
PERU LNG SRL 144A 5.375000% 03/22/2030
715604AA2
754000.00000000
PA
USD
782275.00000000
0.049023622312
Long
DBT
NUSS
PE
Y
2
2030-03-22
Fixed
5.37500000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 10/04/2047
80413TAF6
423000.00000000
PA
USD
480210.75000000
0.030093855023
Long
DBT
NUSS
SA
Y
2
2047-10-04
Fixed
4.62500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
8452000.00000000
PA
2108720.51000000
0.132149330919
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 9.500000% 01/12/2022
N/A
13692526.00000000
PA
2239448.82000000
0.140341814758
Long
DBT
NUSS
TR
N
2
2022-01-12
Fixed
9.50000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.050000% 01/19/2028
N/A
1041377000.00000000
PA
16267999.63000000
1.019483263101
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.400000% 12/17/2023
N/A
88000000.00000000
PA
2993728.32000000
0.187611014625
Long
DBT
NUSS
TH
N
2
2023-12-17
Fixed
2.40000000
N
N
N
N
N
N
TRADE AND DEVELOPMENT BANK OF MONGOLIA LLC
549300O080RZNQXWR806
TRADE & DEVELOPMENT BANK OF MONGOLIA LLC MTN 9.375000% 05/19/2020
89253XAA2
355000.00000000
PA
USD
363857.79000000
0.022802245850
Long
DBT
CORP
MN
Y
2
2020-05-19
Fixed
9.37500000
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ANGOLA VIA AVENIR II BV MTN VARIABLE RATE 07/01/2023
N/A
4553846.12630000
PA
USD
4967792.83000000
0.311321721166
Long
DBT
NUSS
NL
N
2
2023-07-01
Floating
9.71337960
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-11-01
N/A
1.00000000
NC
USD
-17372.81000000
-0.00108871953
N/A
DFE
US
N
2
JP MORGAN
N/A
68769623.00000000
MXN
3447528.21000000
USD
2019-11-01
-17372.81000000
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 6.875000% 06/24/2024
N/A
473000.00000000
PA
USD
498734.98000000
0.031254731767
Long
DBT
NUSS
KE
N
2
2024-06-24
Fixed
6.87500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.875000% 10/09/2026
900123CK4
1587000.00000000
PA
USD
1467517.94000000
0.091966437924
Long
DBT
NUSS
TR
N
2
2026-10-09
Fixed
4.87500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.850000% 02/12/2042
715638BL5
613000.00000000
PA
221188.23000000
0.013861427563
Long
DBT
NUSS
PE
N
2
2042-02-12
Fixed
6.85000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
Bonos de la Nacion Argentina con Ajuste por CER 4.000000% 03/06/2020
N/A
23296000.00000000
PA
298374.42000000
0.018698532963
Long
DBT
NUSS
XX
N
2
2020-03-06
Fixed
4.00000000
N
N
Y
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU GOVERNMENT BOND 144A 5.400000% 08/12/2034
N/A
554000.00000000
PA
174565.36000000
0.010939664794
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
5.40000000
N
N
N
N
N
N
Magyarorszag
5299008DH62LEB10JK83
HUNGARY GOVERNMENT BOND 2.750000% 12/22/2026
N/A
1072960000.00000000
PA
3797908.54000000
0.238007393618
Long
DBT
NUSS
HU
N
2
2026-12-22
Fixed
2.75000000
N
N
N
N
N
N
The Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXPORT-IMPORT BANK OF KOREA MTN 8.400000% 11/30/2021
AV7191332
22400000000.00000000
PA
1604839.98000000
0.100572137741
Long
DBT
NUSS
KR
N
2
2021-11-30
Fixed
8.40000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY BRL - CETIP
N/A
3480462.00000000
NC
18067.16000000
0.001132233074
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2020-01-02
0.00000000
BRL
0.00000000
BRL
-3480462.00000000
BRL
18067.16000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-9243.98000000
-0.00057930188
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
633781.75000000
USD
569478.00000000
EUR
2019-12-18
-9243.98000000
N
N
N
URUGUAY PESO
N/A
FX Forward Contract: UYU/USD SETTLE 2020-10-19
N/A
1.00000000
NC
-12297.80000000
-0.00077067872
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
208277.70000000
USD
7800000.00000000
UYU
2020-10-19
-12297.80000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 11/26/2025
N/A
31502600000.00000000
PA
9453530.91000000
0.592434027487
Long
DBT
NUSS
CO
N
2
2025-11-26
Fixed
6.25000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.500000% 01/27/2025
P3579EBD8
949000.00000000
PA
USD
1000018.24000000
0.062669159187
Long
DBT
NUSS
DO
N
2
2025-01-27
Fixed
5.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-11-05
N/A
1.00000000
NC
-10758.39000000
-0.00067420695
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1134202.11000000
USD
1027806.00000000
EUR
2019-11-05
-10758.39000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-12-03
N/A
1.00000000
NC
575.79000000
0.000036083617
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
256418.93000000
USD
1074344.02000000
BRL
2019-12-03
575.79000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 05/31/2029
N/A
56640000.00000000
PA
3193487.36000000
0.200129517365
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.935000% 09/30/2043
N/A
2200000.00000000
PA
615748.97000000
0.038587766379
Long
DBT
NUSS
MY
N
2
2043-09-30
Fixed
4.93500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.875000% 09/16/2043
N/A
2200000.00000000
PA
USD
2794479.60000000
0.175124492628
Long
DBT
NUSS
RU
N
2
2043-09-16
Fixed
5.87500000
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2022
N/A
830000.00000000
PA
USD
871500.00000000
0.054615176051
Long
DBT
NUSS
UA
N
2
2022-09-01
Fixed
7.75000000
N
N
N
N
N
N
CHINALCO CAPITAL HOLDINGS LIMITED
5493003PX4GYVUD3CQ19
CHINALCO CAPITAL HOLDINGS LTD 4.100000% MATURITY: PERPETUAL
N/A
224000.00000000
PA
USD
223991.74000000
0.014037117973
Long
DBT
NUSS
VG
N
2
2168-03-11
Fixed
4.10000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
142246.11000000
0.008914281514
N/A
DFE
TR
N
2
CITIGROUP GLOBAL MARKETS
N/A
3235314.57000000
USD
19077000.00000000
TRY
2019-10-03
142246.11000000
N
N
N
AZARBAYJAN RESPUBLIKASI DOVLAT NEFT SHIRKATI
2549002HARR1VE257O76
STATE OIL CO OF THE AZER 6.95% 03/18/2030
N/A
2310000.00000000
PA
USD
2760450.00000000
0.172991925106
Long
DBT
NUSS
XX
N
2
2030-03-18
Fixed
6.95000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 24.750000% 07/19/2021
N/A
119.00000000
PA
23.92000000
0.000001499018
Long
DBT
NUSS
GH
N
2
2021-07-19
Fixed
24.75000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 9.650000% 12/13/2026
N/A
206000.00000000
PA
USD
216044.56000000
0.013539083969
Long
DBT
NUSS
EC
Y
2
2026-12-13
Fixed
9.65000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.850000% 01/27/2045
P3579EBE6
1050000.00000000
PA
USD
1169437.50000000
0.073286328104
Long
DBT
NUSS
DO
N
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
Minera Mexico, S.A. de C.V.
N/A
MINERA MEXICO SA DE CV 144A 4.500000% 01/26/2050
60284MAB8
627000.00000000
PA
USD
616748.55000000
0.038650408075
Long
DBT
NUSS
MX
Y
2
2050-01-26
Fixed
4.50000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-11-01
N/A
1.00000000
NC
-195913.19000000
-0.01227749094
N/A
DFE
XX
N
2
JP MORGAN
N/A
13874574.68000000
USD
271487234.00000000
MXN
2019-11-01
-195913.19000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.124600% 01/20/2050
P01012CA2
640000.00000000
PA
USD
651200.00000000
0.040809412099
Long
DBT
NUSS
SV
N
2
2050-01-20
Fixed
7.12460000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2021
N/A
67339000.00000000
PA
17076361.92000000
1.070141724124
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
10.00000000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.375000% 10/27/2027
760942BB7
2904000.00000000
PA
USD
3187169.04000000
0.199733560785
Long
DBT
NUSS
UY
N
2
2027-10-27
Fixed
4.37500000
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 5.750000% 04/19/2047
48667QAP0
2252000.00000000
PA
USD
2639749.36000000
0.165427855453
Long
DBT
NUSS
KZ
Y
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 10.500000% 03/24/2020
N/A
862000.00000000
PA
USD
880326.12000000
0.055168291481
Long
DBT
NUSS
EC
N
2
2020-03-24
Fixed
10.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2019-12-04
N/A
1.00000000
NC
USD
17359.58000000
0.001087890439
N/A
DFE
US
N
2
JP MORGAN
N/A
182553872.00000000
RUB
2807873.14000000
USD
2019-12-04
17359.58000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 8.875000% 10/23/2027
AP6418317
245000.00000000
PA
USD
244083.70000000
0.015296241246
Long
DBT
NUSS
EC
Y
2
2027-10-23
Fixed
8.87500000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2019-10-30
N/A
1.00000000
NC
-50111.42000000
-0.00314038327
N/A
DFE
XX
N
2
BT BROKERAGE CORP
N/A
6946763.02000000
USD
30003000.00000000
RON
2019-10-30
-50111.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-01-24
N/A
1.00000000
NC
USD
4127.35000000
0.000258652836
N/A
DFE
US
N
2
JP MORGAN
N/A
908005.60000000
EUR
1002773.24000000
USD
2020-01-24
4127.35000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
1844000.00000000
PA
490587.69000000
0.030744157266
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
2.75000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 6.900000% 03/19/2049
71647NBD0
1756000.00000000
PA
USD
2014132.00000000
0.126221656649
Long
DBT
NUSS
NL
N
2
2049-03-19
Fixed
6.90000000
N
N
N
N
N
N
AGUA Y SANEAMIENTOS ARGENTINOS SOCIEDAD ANONIMA
5299003HUR94018IBF62
AGUA Y SANEAMIENTOS ARGENTINOS SA 6.625000% 02/01/2023
N/A
1230000.00000000
PA
USD
412050.00000000
0.025822356043
Long
DBT
NUSS
AR
N
2
2023-02-01
Fixed
6.62500000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 2.500000% 09/30/2029
29135LAE0
4067000.00000000
PA
USD
4038449.66000000
0.253081628404
Long
DBT
NUSS
AE
Y
2
2029-09-30
Fixed
2.50000000
N
N
N
N
N
N
Sinopec Group Overseas Development (2018) Limited
549300C6OZZ8LTVR8209
SINOPEC GROUP OVERSEAS DEVELOPMENT 2018 LTD 144A 2.500000% 08/08/2024
82939GAF5
3010000.00000000
PA
USD
3010859.69000000
0.188684603597
Long
DBT
NUSS
VG
Y
2
2024-08-08
Fixed
2.50000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 5.750000% 02/01/2029
71647NAZ2
790000.00000000
PA
USD
871275.20000000
0.054601088281
Long
DBT
NUSS
NL
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 7.124600% 01/20/2050
283875BZ4
545000.00000000
PA
USD
554537.50000000
0.034751764990
Long
DBT
NUSS
SV
Y
2
2050-01-20
Fixed
7.12460000
N
N
N
N
N
N
COMCEL TRUST
549300W3HHHYJSCDBJ77
COMUNICACIONES CELULARES SA VIA COMCEL TRUST 144A 6.875000% 02/06/2024
200303AA3
390000.00000000
PA
USD
401700.00000000
0.025173742076
Long
DBT
NUSS
KY
Y
2
2024-02-06
Fixed
6.87500000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.125000% 11/20/2045
760942AY8
346000.00000000
PA
USD
369358.46000000
0.023146961926
Long
DBT
NUSS
UY
N
2
2045-11-20
Fixed
4.12500000
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-7279.64000000
-0.00045620059
N/A
DFE
XX
N
2
JP MORGAN
N/A
1575379.43000000
USD
31334296.84000000
MXN
2019-12-18
-7279.64000000
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 5.800000% 07/26/2027
N/A
2680000.00000000
PA
683891.60000000
0.042858129815
Long
DBT
NUSS
RO
N
2
2027-07-26
Fixed
5.80000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2019-12-16
N/A
1.00000000
NC
-951.41000000
-0.00005962297
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
2798293.11000000
USD
66101000.00000000
CZK
2019-12-16
-951.41000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.625000% 04/16/2030
N/A
3322000.00000000
PA
3620207.14000000
0.226871199418
Long
DBT
NUSS
EG
N
2
2030-04-16
Fixed
5.62500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.369000% 10/31/2028
N/A
1200000.00000000
PA
307931.38000000
0.019297448686
Long
DBT
NUSS
MY
N
2
2028-10-31
Fixed
4.36900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
3096.31000000
0.000194039605
N/A
DFE
US
N
2
JP MORGAN
N/A
1932831.81000000
SGD
1402414.72000000
USD
2019-12-18
3096.31000000
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 4.500000% 01/11/2026
N/A
211800000.00000000
PA
2085819.85000000
0.130714191989
Long
DBT
NUSS
RS
N
2
2026-01-11
Fixed
4.50000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 8.900000% 02/15/2023
25714PDX3
65750000.00000000
PA
1261797.71000000
0.079074359234
Long
DBT
NUSS
DO
Y
2
2023-02-15
Fixed
8.90000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 09/20/2029
05674RAJ3
1185000.00000000
PA
USD
1313323.65000000
0.082303387672
Long
DBT
NUSS
BH
Y
2
2029-09-20
Fixed
6.75000000
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2019-12-18
N/A
1.00000000
NC
USD
4366.30000000
0.000273627358
N/A
DFE
US
N
2
JP MORGAN
N/A
2448465408.00000000
COP
706689.01000000
USD
2019-12-18
4366.30000000
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2019-12-19
N/A
1.00000000
NC
40511.21000000
0.002538757161
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
1091506.84000000
USD
413026187.77000000
NGN
2019-12-19
40511.21000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 7.820000% 12/31/2033
N/A
5376866.50000000
PA
2739841.92000000
0.171700457617
Long
DBT
NUSS
AR
N
2
2033-12-31
Floating
7.81999920
N
N
Y
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 7.875000% 02/16/2032
N/A
3714000.00000000
PA
USD
3907826.23000000
0.244895717187
Long
DBT
NUSS
NG
N
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2022
N/A
40233000000.00000000
PA
2872344.27000000
0.180004117023
Long
DBT
NUSS
ID
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 5.375000% 04/24/2030
48667QAQ8
1834000.00000000
PA
USD
2060957.50000000
0.129156117838
Long
DBT
NUSS
KZ
Y
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2019-10-16
N/A
1.00000000
NC
USD
792.16000000
0.000049643095
N/A
DFE
US
N
2
JP MORGAN
N/A
127743854.00000000
THB
4179005.95000000
USD
2019-10-16
792.16000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 9.750000% 05/17/2035
P7807HAQ8
1000000.00000000
PA
USD
80000.00000000
0.005013441289
Long
DBT
NUSS
XX
N
2
2035-05-17
Fixed
9.75000000
Y
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
STANDARD CHARTERED BANK MTN 8.250000% 05/17/2029
AV6441332
40930000000.00000000
PA
3077549.62000000
0.192863929205
Long
DBT
NUSS
GB
Y
2
2029-05-17
Fixed
8.25000000
N
N
N
N
N
N
Perusahaan Penerbit Surat Berharga Syariah Negara Indonesia III
254900G208H6Q0L5B953
PERUSAHAAN PENERBIT SBSN 4.325000% 05/28/2025
71567RAD8
1757000.00000000
PA
USD
1884804.18000000
0.118116938740
Long
DBT
NUSS
ID
N
2
2025-05-28
Fixed
4.32500000
N
N
N
N
N
N
GRUPO BIMBO, S.A.B. DE C.V.
5493000RIXURZEBFEV60
GRUPO BIMBO SAB DE CV 144A 4.000000% 09/06/2049
40052VAG9
608000.00000000
PA
USD
574681.60000000
0.036014155774
Long
DBT
NUSS
MX
Y
2
2049-09-06
Fixed
4.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-39962.98000000
-0.00250440067
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
2899568.16000000
USD
2607500.00000000
EUR
2019-12-18
-39962.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2019-11-27
N/A
1.00000000
NC
USD
-46369.16000000
-0.00290586326
N/A
DFE
US
N
2
JP MORGAN
N/A
28221725.00000000
MYR
6691259.45000000
USD
2019-11-27
-46369.16000000
N
N
N
GTLK EUROPE CAPITAL DESIGNATED ACTIVITY COMPANY
635400I6H6CSZ39WIN49
GTLK EUROPE CAPITAL DAC 4.949000% 02/18/2026
N/A
968000.00000000
PA
USD
970746.22000000
0.060834739766
Long
DBT
NUSS
IE
N
2
2026-02-18
Fixed
4.94900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2019-12-18
N/A
1.00000000
NC
USD
3859.74000000
0.000241882248
N/A
DFE
US
N
2
JP MORGAN
N/A
7753473792.00000000
COP
2227881.67000000
USD
2019-12-18
3859.74000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2019-12-17
N/A
1.00000000
NC
2813.85000000
0.000176338397
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
700682.79000000
EUR
18221286.00000000
CZK
2019-12-17
2813.85000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA MTN VARIABLE RATE 07/07/2020
P989MJBH3
368000.00000000
PA
USD
80560.46000000
0.005048564206
Long
DBT
NUSS
AR
N
2
2020-07-07
Floating
52.43749870
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2019-12-04
N/A
1.00000000
NC
54983.89000000
0.003445731305
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
2267005.70000000
USD
151903290.00000000
RUB
2019-12-04
54983.89000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 4.500000% 01/23/2026
71654QBW1
2372000.00000000
PA
USD
2291328.28000000
0.143592997594
Long
DBT
NUSS
MX
N
2
2026-01-23
Fixed
4.50000000
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2019-10-24
N/A
1.00000000
NC
USD
-15557.38000000
-0.00097495014
N/A
DFE
US
N
2
JP MORGAN
N/A
181199514.00000000
INR
2537808.32000000
USD
2019-10-24
-15557.38000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.125000% 05/15/2024
N/A
76235000000.00000000
PA
5674526.31000000
0.355611306285
Long
DBT
NUSS
ID
N
2
2024-05-15
Fixed
8.12500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 04/15/2043
Y20721BE8
1745000.00000000
PA
USD
1948308.76000000
0.122096644784
Long
DBT
NUSS
ID
N
2
2043-04-15
Fixed
4.62500000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 9.750000% 06/05/2026
25714PEA2
25300000.00000000
PA
495715.84000000
0.031065528253
Long
DBT
NUSS
DO
Y
2
2026-06-05
Fixed
9.75000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 4.000000% 01/15/2021
718286BK2
3560000.00000000
PA
USD
3637829.18000000
0.227975537704
Long
DBT
NUSS
PH
N
2
2021-01-15
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
23315.37000000
0.001461127983
N/A
DFE
US
N
2
JP MORGAN
N/A
1129939.00000000
EUR
1255275.22000000
USD
2019-10-03
23315.37000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 15.600000% 08/06/2026
AZ9605991
25450000.00000000
PA
1667172.33000000
0.104478382456
Long
DBT
NUSS
EG
N
2
2026-08-06
Fixed
15.60000000
N
N
N
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2019-11-20
N/A
1.00000000
NC
151746.24000000
0.009509635814
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
4061649.97000000
USD
1531242037.00000000
NGN
2019-11-20
151746.24000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 6.400000% 06/05/2049
25714PEB0
1440000.00000000
PA
USD
1533614.40000000
0.096108571945
Long
DBT
NUSS
DO
Y
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-10-17
N/A
1.00000000
NC
USD
196054.28000000
0.012286332780
N/A
DFE
US
N
2
JP MORGAN
N/A
8531263.00000000
BRL
2242119.05000000
USD
2019-10-17
196054.28000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
60779000000.00000000
PA
4668229.68000000
0.292548692852
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-11-01
N/A
1.00000000
NC
USD
-5588.40000000
-0.00035021394
N/A
DFE
US
N
2
JP MORGAN
N/A
6630876.00000000
MXN
328502.85000000
USD
2019-11-01
-5588.40000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-68271.48000000
-0.00427843820
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
3693958.22000000
USD
55520000.00000000
ZAR
2019-12-18
-68271.48000000
N
N
N
AXTEL, S.A.B. DE C.V.
549300BVRDR8XTSXAD13
AXTEL SAB DE CV 144A 6.375000% 11/14/2024
05462GAJ3
713000.00000000
PA
USD
733505.88000000
0.045967358314
Long
DBT
NUSS
MX
Y
2
2024-11-14
Fixed
6.37500000
N
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
Venezuela Government International Bond 7.750000% 10/13/2019
P97475AN0
3976100.00000000
PA
USD
427430.75000000
0.026786237132
Long
DBT
CORP
VE
N
2
2019-10-13
Fixed
7.75000000
Y
Y
N
N
N
N
Azarbayjan Respublikasi
549300P74FF45UQVU281
REPUBLIC OF AZERBAIJAN INTERNATIONAL BOND 144A 3.500000% 09/01/2032
N/A
507000.00000000
PA
USD
491169.43000000
0.030780613758
Long
DBT
NUSS
AZ
Y
2
2032-09-01
Fixed
3.50000000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 6.750000% 02/07/2022
77586TAA4
1716000.00000000
PA
USD
1886086.49000000
0.118197298564
Long
DBT
NUSS
RO
N
2
2022-02-07
Fixed
6.75000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-994.79000000
-0.00006234151
N/A
DFE
MY
N
2
STANDARD BANK
N/A
221192.17000000
USD
922857.97000000
MYR
2019-12-18
-994.79000000
N
N
N
Financiera de Desarrollo Territorial S.A.
54930036EU95I2CWYJ76
FINANCIERA DE DESARROLLO TERRITORIAL SA FINDETER 1 7.875000% 08/12/2024
31772MAA0
1127000000.00000000
PA
343434.08000000
0.021522332462
Long
DBT
NUSS
CO
Y
2
2024-08-12
Fixed
7.87500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 04/11/2031
N/A
442000.00000000
PA
500486.48000000
0.031364494797
Long
DBT
NUSS
EG
N
2
2031-04-11
Fixed
6.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:1.675%
N/A
21146319.00000000
NC
2613.92000000
0.000163809180
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-07-17
0.00000000
CZK
0.00000000
CZK
-21146319.00000000
CZK
2613.92000000
N
N
N
AZARBAYJAN RESPUBLIKASI DOVLAT NEFT SHIRKATI
2549002HARR1VE257O76
STATE OIL CO OF THE AZER 4.75% 03/13/2023
N/A
2353000.00000000
PA
USD
2439213.92000000
0.152860697266
Long
DBT
NUSS
XX
N
2
2023-03-13
Fixed
4.75000000
N
N
N
N
N
N
Inter-American Development Bank
VKU1UKDS9E7LYLMACP54
INTER-AMERICAN DEVELOPMENT BANK MTN 7.875000% 03/14/2023
N/A
50880000000.00000000
PA
3711426.28000000
0.232587721954
Long
DBT
NUSS
XX
N
2
2023-03-14
Fixed
7.87500000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY BRL - CETIP
N/A
3649331.07000000
NC
17529.21000000
0.001098520814
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2020-01-02
0.00000000
BRL
0.00000000
BRL
-3649331.07000000
BRL
17529.21000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 6.0% 08/15/2020
N/A
2318000.00000000
PA
1870118.22000000
0.117196598762
Long
DBT
NUSS
XX
N
2
2020-08-15
Floating
3.23579880
N
N
N
N
N
N
IHS Netherlands Holdco B.V.
5493006Z6YQYCCN2XI74
IHS NETHERLANDS HOLDCO BV 144A 8.000000% 09/18/2027
44963LAC0
598000.00000000
PA
USD
610827.10000000
0.038279322551
Long
DBT
NUSS
NL
Y
2
2027-09-18
Fixed
8.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
1405.40000000
0.000088073629
N/A
DFE
US
N
2
JP MORGAN
N/A
730749.27000000
SGD
530448.28000000
USD
2019-12-18
1405.40000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
23145437.00000000
NC
-11954.00000000
-0.00074913346
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-05-21
0.00000000
MXN
0.00000000
MXN
-23145437.00000000
MXN
-11954.00000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.400000% 09/17/2025
N/A
144900000.00000000
PA
6495398.02000000
0.407053707842
Long
DBT
NUSS
CZ
N
2
2025-09-17
Fixed
2.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
14504.95000000
0.000908996440
N/A
DFE
US
N
2
JP MORGAN
N/A
911883.00000000
EUR
1008720.78000000
USD
2019-10-03
14504.95000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.000000% 06/15/2045
195325CU7
3822000.00000000
PA
USD
4471740.00000000
0.280235074417
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2019-10-23
N/A
1.00000000
NC
USD
32947.38000000
0.002064746941
N/A
DFE
US
N
2
JP MORGAN
N/A
68851258000.00000000
IDR
4876151.42000000
USD
2019-10-23
32947.38000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.250000% 07/27/2021
Y2029SAG9
1834000.00000000
PA
USD
1861457.47000000
0.116653846742
Long
DBT
NUSS
LK
N
2
2021-07-27
Fixed
6.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 7 DAY CNRR007 (CNY)
N/A
20500000.00000000
NC
4287.24000000
0.000268672825
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-07-03
0.00000000
CNY
0.00000000
CNY
-20500000.00000000
CNY
4287.24000000
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 2.750000% 01/27/2030
N/A
2169000.00000000
PA
2876645.53000000
0.180273668454
Long
DBT
NUSS
HR
N
2
2030-01-27
Fixed
2.75000000
N
N
N
N
N
N
AI CANDELARIA (SPAIN) SL
N/A
AI CANDELARIA SPAIN SLU 144A 7.500000% 12/15/2028
001355AA4
1269000.00000000
PA
USD
1441913.94000000
0.090361886039
Long
DBT
NUSS
ES
Y
2
2028-12-15
Fixed
7.50000000
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
20299.94000000
0.001272156967
N/A
DFE
US
N
2
JP MORGAN
N/A
420000.00000000
EUR
478221.24000000
USD
2019-10-03
20299.94000000
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 5.750000% 04/19/2047
Y4596HAD9
63000.00000000
PA
USD
73847.34000000
0.004627866293
Long
DBT
NUSS
KZ
N
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.000000% 10/13/2033
N/A
36060000.00000000
PA
1627300.40000000
0.101979687704
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
2.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH HUF - BUBOR
N/A
1390000000.00000000
NC
48303.79000000
0.003027102690
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-09-21
0.00000000
HUF
0.00000000
HUF
-1390000000.00000000
HUF
48303.79000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2019-11-07
N/A
1.00000000
NC
39840.97000000
0.002496754550
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
10642178.01000000
PLN
2466450.28000000
EUR
2019-11-07
39840.97000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 10.750000% 10/14/2030
374422AD5
1577000.00000000
PA
USD
1999099.82000000
0.125279619751
Long
DBT
NUSS
GH
Y
2
2030-10-14
Fixed
10.75000000
N
N
N
N
N
N
Republic of Kazakhstan
5493007OEK8EF02UO833
KAZAKHSTAN GOVERNMENT INTERNATIONAL BOND MTN 6.500000% 07/21/2045
N/A
330000.00000000
PA
USD
479483.40000000
0.030048273441
Long
DBT
NUSS
KZ
N
2
2045-07-21
Fixed
6.50000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 6.875000% 04/22/2021
040114GW4
2657000.00000000
PA
USD
1301956.57000000
0.081591035320
Long
DBT
NUSS
AR
N
2
2021-04-22
Fixed
6.87500000
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4260.09000000
0.000266971388
N/A
DFE
US
N
2
JP MORGAN
N/A
284144.00000000
EUR
314059.11000000
USD
2019-10-03
4260.09000000
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 7.000000% 02/28/2031
N/A
51041000.00000000
PA
2848197.20000000
0.178490868051
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
7.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.200000% 05/15/2049
195325DQ5
2186000.00000000
PA
USD
2639595.00000000
0.165418182018
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2020-01-15
N/A
1.00000000
NC
USD
-39749.35000000
-0.00249101290
N/A
DFE
US
N
2
JP MORGAN
N/A
5804237054.00000000
UGX
1511520.07000000
USD
2020-01-15
-39749.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2019-12-18
N/A
1.00000000
NC
USD
4298.04000000
0.000269349640
N/A
DFE
US
N
2
JP MORGAN
N/A
35201557.00000000
RUB
541230.10000000
USD
2019-12-18
4298.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
7367.74000000
0.000461721649
N/A
DFE
US
N
2
JP MORGAN
N/A
24610000.00000000
ZAR
1630233.17000000
USD
2019-10-03
7367.74000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.232000% 06/30/2031
N/A
6200000.00000000
PA
1568779.94000000
0.098312326573
Long
DBT
NUSS
MY
N
2
2031-06-30
Fixed
4.23200000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 3.375000% 01/15/2023
N/A
680000.00000000
PA
281708.57000000
0.017654117206
Long
DBT
NUSS
AR
N
2
2023-01-15
Fixed
3.37500000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 4.375000% 02/05/2049
21987BAY4
3824000.00000000
PA
USD
4264218.88000000
0.267230137523
Long
DBT
NUSS
CL
Y
2
2049-02-05
Fixed
4.37500000
N
N
N
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-343.62000000
-0.00002153398
N/A
DFE
TW
N
2
CITIGROUP GLOBAL MARKETS
N/A
281305.36000000
USD
8670000.00000000
TWD
2019-12-18
-343.62000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.250000% 04/25/2022
N/A
13055000.00000000
PA
3309325.26000000
0.207388848749
Long
DBT
NUSS
PL
N
2
2022-04-25
Fixed
2.25000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 8.875000% 02/28/2035
N/A
74378087.00000000
PA
4616469.43000000
0.289304980670
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 7.850000% 03/14/2029
Y8137FAP3
1598000.00000000
PA
USD
1606087.25000000
0.100650301677
Long
DBT
NUSS
LK
N
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.500000% 01/31/2047
038461AM1
934000.00000000
PA
USD
987895.54000000
0.061909453628
Long
DBT
NUSS
EG
Y
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2019-10-07
N/A
1.00000000
NC
-45930.73000000
-0.00287838772
N/A
DFE
KR
N
2
STANDARD CHARTERED BANK
N/A
2554406.06000000
USD
3001171682.00000000
KRW
2019-10-07
-45930.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-10-17
N/A
1.00000000
NC
USD
57782.33000000
0.003621103988
N/A
DFE
US
N
2
JP MORGAN
N/A
2384071.00000000
BRL
629557.42000000
USD
2019-10-17
57782.33000000
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.750000% 03/16/2025
698299BE3
2240000.00000000
PA
USD
2368822.40000000
0.148449400355
Long
DBT
NUSS
PA
N
2
2025-03-16
Fixed
3.75000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 7.696000% 02/23/2038
N/A
3863000.00000000
PA
USD
3928439.22000000
0.246187492377
Long
DBT
NUSS
NG
N
2
2038-02-23
Fixed
7.69600000
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2019-10-23
N/A
1.00000000
NC
-3895.98000000
-0.00024415333
N/A
DFE
ID
N
2
STANDARD CHARTERED BANK
N/A
838468.83000000
USD
11864334000.00000000
IDR
2019-10-23
-3895.98000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.000000% 04/25/2021
N/A
912000.00000000
PA
229344.97000000
0.014372594277
Long
DBT
NUSS
PL
N
2
2021-04-25
Fixed
2.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.200000% 08/12/2026
715638AY8
8208000.00000000
PA
3077958.02000000
0.192889522823
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BNQ CEN TUNISIA INT BOND 5.625000% 02/17/2024
N/A
1650000.00000000
PA
1742981.82000000
0.109229212797
Long
DBT
NUSS
TN
N
2
2024-02-17
Fixed
5.62500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2036
N/A
72516000000.00000000
PA
5314076.69000000
0.333022643687
Long
DBT
NUSS
ID
N
2
2036-05-15
Fixed
8.25000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
29083.58000000
0.001822610260
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
1593781.85000000
USD
24610000.00000000
ZAR
2019-10-03
29083.58000000
N
N
N
CENCOSUD S.A.
549300NLTGCFV7482429
CENCOSUD SA 144A 4.375000% 07/17/2027
15132HAH4
1819000.00000000
PA
USD
1812196.94000000
0.113566787053
Long
DBT
NUSS
CL
Y
2
2027-07-17
Fixed
4.37500000
N
N
N
N
N
N
Cometa Energia, S.A. de C.V.
N/A
COMETA ENERGIA SA DE CV 144A 6.375000% 04/24/2035
20039FAA7
692250.00000000
PA
USD
736380.94000000
0.046147532620
Long
DBT
NUSS
MX
Y
2
2035-04-24
Fixed
6.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-10-09
N/A
1.00000000
NC
USD
-816.76000000
-0.00005118472
N/A
DFE
US
N
2
JP MORGAN
N/A
3753978.00000000
SGD
2714137.60000000
USD
2019-10-09
-816.76000000
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND 144A 8.250000% 09/30/2025
695847AR4
714000.00000000
PA
USD
771005.76000000
0.048317401398
Long
DBT
NUSS
PK
Y
2
2025-09-30
Fixed
8.25000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2020
N/A
656000.00000000
PA
USD
670542.21000000
0.042021550027
Long
DBT
NUSS
UA
N
2
2020-09-01
Fixed
7.75000000
N
N
N
N
N
N
NEON CAPITAL LIMITED
N/A
NEON CAPITAL LTD/KY MTN VARIABLE RATE 01/06/2028
N/A
347451584.00000000
PA
2673199.09000000
0.167524083672
Long
DBT
NUSS
KY
N
3
2028-01-06
Floating
0.00000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.350000% 02/12/2048
P78625DE0
878000.00000000
PA
USD
806802.98000000
0.050560742158
Long
DBT
NUSS
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 07/01/2021
N/A
5000000.00000000
PA
1097947.53000000
0.068806193512
Long
DBT
NUSS
BR
N
2
2021-07-01
None
0.00000000
N
N
N
N
N
N
Transnet SOC Ltd
378900B07CD6F01EA796
TRANSNET SOC LTD MTN 9.500000% 05/13/2021
N/A
6760000.00000000
PA
451588.06000000
0.028300127825
Long
DBT
NUSS
ZA
Y
2
2021-05-13
Fixed
9.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
16909.54000000
0.001059687325
N/A
DFE
US
N
2
JP MORGAN
N/A
1587796.00000000
EUR
1748065.75000000
USD
2019-10-03
16909.54000000
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 4.000000% 10/27/2021
N/A
10545000.00000000
PA
2449996.37000000
0.153536412016
Long
DBT
NUSS
RO
N
2
2021-10-27
Fixed
4.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3-MONTH MOSCOW PRIME OFFERED RATE - RUB
N/A
1080955928.00000000
NC
293757.09000000
0.018409174052
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-02-21
0.00000000
RUB
0.00000000
RUB
-1080955928.00000000
RUB
293757.09000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2026
N/A
5121000.00000000
PA
USD
5339871.54000000
0.334639155763
Long
DBT
NUSS
UA
N
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.000000% 07/19/2028
P3579ECB1
3381000.00000000
PA
USD
3689550.06000000
0.231216782646
Long
DBT
NUSS
DO
N
2
2028-07-19
Fixed
6.00000000
N
N
N
N
N
N
ADECOAGRO S.A.
529900Q00UR5LFELO811
ADECOAGRO SA 144A 6.000000% 09/21/2027
00676LAA4
1071000.00000000
PA
USD
1022805.00000000
0.064097160230
Long
DBT
NUSS
LU
Y
2
2027-09-21
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 4.850000% 09/27/2027
836205AW4
820000.00000000
PA
USD
838450.00000000
0.052543998118
Long
DBT
NUSS
ZA
N
2
2027-09-27
Fixed
4.85000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-6026.56000000
-0.00037767255
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
363756.50000000
USD
109339421.22000000
HUF
2019-12-18
-6026.56000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.889000% 07/31/2020
N/A
7629000.00000000
PA
1833383.35000000
0.114894497337
Long
DBT
NUSS
MY
N
2
2020-07-31
Fixed
3.88900000
N
N
N
N
N
N
N/A
N/A
R186 BOND FUTURE NOV19 FINANCIAL COMMODITY FUTURE.
N/A
470.00000000
NC
3580163.82000000
0.224361763994
N/A
DIR
ZA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R186 Bond Future Nov 2019
2019-11-07
3720946.71000000
ZAR
-140782.89000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT BOND 13.980000% 02/23/2028
N/A
773531000.00000000
PA
2097841.75000000
0.131467580612
Long
DBT
NUSS
NG
N
2
2028-02-23
Fixed
13.98000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-11-01
N/A
1.00000000
NC
USD
10836.22000000
0.000679084409
N/A
DFE
US
N
2
JP MORGAN
N/A
39077619.67000000
MXN
1979730.02000000
USD
2019-11-01
10836.22000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.500000% 01/23/2029
71654QCM2
785000.00000000
PA
USD
798266.50000000
0.050025777892
Long
DBT
NUSS
MX
Y
2
2029-01-23
Fixed
6.50000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 5.875000% 01/30/2025
P01012AS5
2141000.00000000
PA
USD
2202575.16000000
0.138031015639
Long
DBT
NUSS
SV
N
2
2025-01-30
Fixed
5.87500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
146707800.00000000
PA
7772972.17000000
0.487116745273
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
RIO ENERGY Sociedad Anonima
529900D1ZX75KRP2HC66
RIO ENERGY SA / UGEN SA / UENSA SA 144A 6.875000% 02/01/2025
76706AAA2
1571000.00000000
PA
USD
730530.71000000
0.045780910312
Long
DBT
NUSS
AR
Y
2
2025-02-01
Fixed
6.87500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 9.500000% 09/15/2027
71654QAM4
169000.00000000
PA
USD
195195.00000000
0.012232483407
Long
DBT
NUSS
MX
N
2
2027-09-15
Fixed
9.50000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 04/25/2024
N/A
6060000.00000000
PA
1560179.90000000
0.097773379127
Long
DBT
NUSS
PL
N
2
2024-04-25
Fixed
2.50000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.400000% 06/05/2049
P3579ECE5
511000.00000000
PA
USD
544220.11000000
0.034105194627
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-01-24
N/A
1.00000000
NC
USD
290862.68000000
0.018227787119
N/A
DFE
US
N
2
JP MORGAN
N/A
23527800.00000000
EUR
26167289.77000000
USD
2020-01-24
290862.68000000
N
N
N
THE OIL AND GAS HOLDING COMPANY B.S.C (CLOSED)
549300OBH16L6TS6IW50
OIL AND GAS HOLDING CO BSCC/THE 144A 8.375000% 11/07/2028
67778M2D1
560000.00000000
PA
USD
653800.00000000
0.040972348941
Long
DBT
NUSS
BH
Y
2
2028-11-07
Fixed
8.37500000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 8.450000% 08/10/2028
29646AAD8
178000.00000000
PA
USD
195577.50000000
0.012256453923
Long
DBT
NUSS
ZA
Y
2
2028-08-10
Fixed
8.45000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.492000% 03/31/2020
N/A
25134000.00000000
PA
6014639.25000000
0.376925509493
Long
DBT
NUSS
MY
N
2
2020-03-31
Fixed
3.49200000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICAN UDIBONOS 4.00% 11/03/2050
N/A
40012911.94900000
PA
2278846.74000000
0.142810804244
Long
DBT
NUSS
XX
N
2
2050-11-03
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-12-04
N/A
1.00000000
NC
USD
106151.45000000
0.006652300780
N/A
DFE
US
N
2
JP MORGAN
N/A
16803782.50000000
EUR
18509994.89000000
USD
2019-12-04
106151.45000000
N
N
N
Rumo Luxembourg S.a r.l.
222100HOIQFT7YOSPB46
RUMO LUXEMBOURG SARL 7.375000% 02/09/2024
L79090AA1
750000.00000000
PA
USD
807195.00000000
0.050585309274
Long
DBT
NUSS
LU
N
2
2024-02-09
Fixed
7.37500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICAN UDIBONOS 4.0% 11/15/2040
N/A
37715808.00000000
PA
2096623.75000000
0.131391250968
Long
DBT
NUSS
XX
N
2
2040-11-15
Floating
4.00000034
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 4.625000% 01/13/2028
105756BZ2
40000.00000000
PA
USD
42500.40000000
0.002663415752
Long
DBT
NUSS
BR
N
2
2028-01-13
Fixed
4.62500000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-12-09
N/A
1.00000000
NC
44771.52000000
0.002805742337
N/A
DFE
TR
N
2
CITIGROUP GLOBAL MARKETS
N/A
920268.15000000
USD
5562028.00000000
TRY
2019-12-09
44771.52000000
N
N
N
LIMA METRO LINE 2 FINANCE LIMITED
5493009BVQNQT1UKQ352
LIMA METRO LINE 2 FINANCE LTD 144A 4.350000% 04/05/2036
532522AB5
1520000.00000000
PA
USD
1616900.00000000
0.101327915269
Long
DBT
NUSS
KY
Y
2
2036-04-05
Fixed
4.35000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.375000% 09/25/2032
903724BM3
270000.00000000
PA
USD
271152.36000000
0.016992580468
Long
DBT
NUSS
UA
Y
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 3.250000% 07/25/2025
N/A
11310000.00000000
PA
3037872.52000000
0.190377444063
Long
DBT
NUSS
PL
N
2
2025-07-25
Fixed
3.25000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FOREIGN BOND - EUROBOND 144A 5.100000% 03/28/2035
AX8009109
7000000.00000000
PA
USD
7910000.00000000
0.495704007533
Long
DBT
NUSS
RU
Y
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2019-10-11
N/A
1.00000000
NC
USD
3773.68000000
0.000236489039
N/A
DFE
US
N
2
JP MORGAN
N/A
12861231.00000000
MYR
3074863.37000000
USD
2019-10-11
3773.68000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2019-10-04
N/A
1.00000000
NC
-13645.71000000
-0.00085514957
N/A
DFE
KR
N
2
STANDARD CHARTERED BANK
N/A
2609610.89000000
USD
3105436956.00000000
KRW
2019-10-04
-13645.71000000
N
N
N
STATE BANK OF INDIA
N/A
STATE BANK OF INDIA/LONDON 4.000000% 01/24/2022
Y81647AD4
822000.00000000
PA
USD
843067.29000000
0.052833354522
Long
DBT
NUSS
IN
N
2
2022-01-24
Fixed
4.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH PLN - WIBOR
N/A
6841849.00000000
NC
17653.55000000
0.001106312956
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-16
0.00000000
PLN
0.00000000
PLN
-6841849.00000000
PLN
17653.55000000
N
N
N
VEB FINANCE PUBLIC LIMITED COMPANY
635400KYY8E2NCZXJ191
VNESHECONOMBANK VIA VEB FINANCE PLC 144A 6.800000% 11/22/2025
91821XAD5
150000.00000000
PA
USD
173599.50000000
0.010879136264
Long
DBT
NUSS
IE
Y
2
2025-11-22
Fixed
6.80000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 5.875000% 04/18/2024
25714PBY3
71000.00000000
PA
USD
74994.46000000
0.004699754028
Long
DBT
NUSS
DO
Y
2
2024-04-18
Fixed
5.87500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.750000% 09/20/2029
N/A
200000.00000000
PA
USD
221658.00000000
0.013890867117
Long
DBT
NUSS
BH
N
2
2029-09-20
Fixed
6.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 04/11/2031
N/A
1441000.00000000
PA
1631676.50000000
0.102253929209
Long
DBT
NUSS
EG
Y
2
2031-04-11
Fixed
6.37500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.625% 4/4/42
N/A
800000.00000000
PA
USD
985084.80000000
0.061733310128
Long
DBT
NUSS
XX
N
2
2042-04-04
Fixed
5.62500000
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 03/26/2027
37443GAA9
1110000.00000000
PA
USD
1138176.24000000
0.071327246959
Long
DBT
NUSS
GH
Y
2
2027-03-26
Fixed
7.87500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.400000% 06/17/2036
N/A
234056000.00000000
PA
9768556.39000000
0.612176049347
Long
DBT
NUSS
TH
N
2
2036-06-17
Fixed
3.40000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA VARIABLE RATE 06/21/2020
N/A
1158440.00000000
PA
9468.61000000
0.000593379004
Long
DBT
NUSS
AR
N
2
2020-06-21
Floating
82.59708735
N
N
N
N
N
N
ABU DHABI CRUDE OIL PIPELINE L.L.C.
549300DONDFW2383FV66
ABU DHABI CRUDE OIL PIPELINE LLC 144A 3.650000% 11/02/2029
00401MAA4
1574000.00000000
PA
USD
1706530.80000000
0.106944899688
Long
DBT
NUSS
AE
Y
2
2029-11-02
Fixed
3.65000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
16624088.00000000
NC
-17141.37000000
-0.00107421565
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-12-08
0.00000000
MXN
0.00000000
MXN
-16624088.00000000
MXN
-17141.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-01-24
N/A
1.00000000
NC
USD
141.16000000
0.000008846217
N/A
DFE
US
N
2
JP MORGAN
N/A
66694.11000000
EUR
73492.91000000
USD
2020-01-24
141.16000000
N
N
N
GTH Finance B.V.
72450009205A34CIJN40
GTH FINANCE BV 6.250000% 04/26/2020
N/A
580000.00000000
PA
USD
586090.00000000
0.036729097569
Long
DBT
NUSS
NL
N
2
2020-04-26
Fixed
6.25000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 4.750000% 05/27/2026
N/A
3400000.00000000
PA
USD
3712276.40000000
0.232640997288
Long
DBT
NUSS
RU
N
2
2026-05-27
Fixed
4.75000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 01/25/2023
N/A
41804000.00000000
PA
10716538.89000000
0.671584231941
Long
DBT
NUSS
PL
N
2
2023-01-25
Fixed
2.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-16086.21000000
-0.00100809086
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1141641.50000000
USD
1032346.00000000
EUR
2019-10-03
-16086.21000000
N
N
N
The Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXPORT-IMPORT BANK OF KOREA MTN 7.250000% 12/07/2024
N/A
700000000.00000000
PA
49470.94000000
0.003100245665
Long
DBT
NUSS
KR
N
2
2024-12-07
Fixed
7.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2019-11-27
N/A
1.00000000
NC
USD
69.99000000
0.000004386134
N/A
DFE
US
N
2
JP MORGAN
N/A
2437241.00000000
MYR
581934.66000000
USD
2019-11-27
69.99000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/11/2025
N/A
457000.00000000
PA
516029.46000000
0.032338542519
Long
DBT
NUSS
EG
N
2
2025-04-11
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2019-12-18
N/A
1.00000000
NC
USD
35069.02000000
0.002197705910
N/A
DFE
US
N
2
JP MORGAN
N/A
6375696.60000000
PLN
1627615.80000000
USD
2019-12-18
35069.02000000
N
N
N
Magyarorszag
5299008DH62LEB10JK83
HUNGARY 5.375000% 03/25/2024
445545AL0
1107000.00000000
PA
USD
1249758.72000000
0.078319899614
Long
DBT
NUSS
HU
N
2
2024-03-25
Fixed
5.37500000
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 7.625000% 04/26/2029
900123CT5
260000.00000000
PA
USD
276274.96000000
0.017313603647
Long
DBT
NUSS
TR
N
2
2029-04-26
Fixed
7.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-11-05
N/A
1.00000000
NC
USD
3137.77000000
0.000196637820
N/A
DFE
US
N
2
JP MORGAN
N/A
913832.00000000
EUR
1002002.17000000
USD
2019-11-05
3137.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-01-24
N/A
1.00000000
NC
USD
115.50000000
0.000007238155
N/A
DFE
US
N
2
JP MORGAN
N/A
28620.14000000
EUR
31592.60000000
USD
2020-01-24
115.50000000
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
PANAMA NOTAS DEL TESORO 144A 3.750000% 04/17/2026
N/A
997000.00000000
PA
USD
1051835.00000000
0.065916412738
Long
DBT
NUSS
PA
N
2
2026-04-17
Fixed
3.75000000
N
N
N
N
N
N
INKIA ENERGY LIMITED
N/A
INKIA ENERGY LTD 144A 5.875000% 11/09/2027
45721RAC7
359000.00000000
PA
USD
372466.09000000
0.023341710933
Long
DBT
NUSS
BM
Y
2
2027-11-09
Fixed
5.87500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 09/15/2026
N/A
31281000000.00000000
PA
2360828.53000000
0.147948440381
Long
DBT
NUSS
ID
N
2
2026-09-15
Fixed
8.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.800000% 08/17/2023
N/A
30074000.00000000
PA
7328084.17000000
0.459236496916
Long
DBT
NUSS
MY
N
2
2023-08-17
Fixed
3.80000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 12.200000% 01/18/2023
AQ8745293
22054788.00000000
PA
3800462.01000000
0.238167414517
Long
DBT
NUSS
TR
N
2
2023-01-18
Fixed
12.20000000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.375000% 01/23/2031
917288BK7
4754007.00000000
PA
USD
5246094.26000000
0.328762319668
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2019-10-30
N/A
1.00000000
NC
-76762.04000000
-0.00481052476
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
11600964.80000000
USD
46173000.00000000
PLN
2019-10-30
-76762.04000000
N
N
N
BRAZIL LOAN TRUST 1
N/A
BRAZIL LOAN TRUST 1 5.477000% 07/24/2023
U0952YAA8
216625.96000000
PA
USD
225291.00000000
0.014118540020
Long
DBT
NUSS
US
N
2
2023-07-24
Fixed
5.47700000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 12/07/2023
N/A
16617400.00000000
PA
881166.59000000
0.055220962069
Long
DBT
NUSS
MX
N
2
2023-12-07
Fixed
8.00000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2025
903724AS1
1661000.00000000
PA
USD
1741973.75000000
0.109166039050
Long
DBT
NUSS
UA
Y
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.840000% 01/23/2030
71654QCT7
4061000.00000000
PA
USD
4206789.90000000
0.263631177279
Long
DBT
NUSS
MX
Y
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT TREASURY BILL ZERO COUPON 02/04/2020
AX0030715
44875000.00000000
PA
2618169.62000000
0.164075495958
Long
DBT
NUSS
EG
N
2
2020-02-04
Fixed
0.00000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 7.143000% 02/23/2030
65412JAD5
618000.00000000
PA
USD
631905.00000000
0.039600232728
Long
DBT
NUSS
NG
Y
2
2030-02-23
Fixed
7.14300000
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-09
N/A
1.00000000
NC
-42016.05000000
-0.00263306249
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
595246.31000000
USD
2305508.00000000
BRL
2019-10-09
-42016.05000000
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE VIA STATE OF MINAS GERAIS 144A 5.333000% 02/15/2028
105860AA8
201600.00000000
PA
USD
213950.02000000
0.013407823302
Long
DBT
NUSS
KY
Y
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 9.850000% 06/28/2027
N/A
5060000000.00000000
PA
1849800.50000000
0.115923327558
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.875000% 04/25/2027
195325DL6
946000.00000000
PA
USD
1003242.46000000
0.062871214658
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
3.87500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.500000% 03/08/2047
N/A
2273000.00000000
PA
USD
2099101.86000000
0.131546549206
Long
DBT
NUSS
OM
N
2
2047-03-08
Fixed
6.50000000
N
N
N
N
N
N
Republique du Benin
635400Q11P6AE5A5Y230
BENIN GOVERNMENT INTERNATIONAL BOND 144A 5.750000% 03/26/2026
N/A
1688000.00000000
PA
1883969.65000000
0.118064640401
Long
DBT
NUSS
BJ
Y
2
2026-03-26
Fixed
5.75000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B 6.000000% 05/15/2045
N/A
3475000.00000000
PA
3778387.70000000
0.236784061302
Long
DBT
NUSS
XX
N
2
2045-05-15
Fixed
6.00000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.875000% 06/17/2022
N/A
57000000.00000000
PA
1888133.51000000
0.118325581247
Long
DBT
NUSS
TH
N
2
2022-06-17
Fixed
1.87500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 8.200000% 08/12/2026
N/A
963000.00000000
PA
361120.07000000
0.022630678369
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 5.750000% 01/20/2042
74727PAR2
574000.00000000
PA
USD
792909.82000000
0.049690085383
Long
DBT
NUSS
QA
Y
2
2042-01-20
Fixed
5.75000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.950000% 10/07/2026
N/A
688722000.00000000
PA
11294584.36000000
0.707809194775
Long
DBT
NUSS
RU
N
2
2026-10-07
Fixed
7.95000000
N
N
N
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2019-12-19
N/A
1.00000000
NC
24751.89000000
0.001551151841
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
734718.49000000
USD
277099077.71000000
NGN
2019-12-19
24751.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
2275.50000000
0.000142601070
N/A
DFE
US
N
2
JP MORGAN
N/A
1870894.21000000
SGD
1356752.75000000
USD
2019-12-18
2275.50000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS: 8.125%
N/A
60000000.00000000
NC
-44695.12000000
-0.00280095450
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-28
0.00000000
MXN
0.00000000
MXN
-60000000.00000000
MXN
-44695.12000000
N
N
N
Joint Stock Company KazTransGas
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 4.375000% 09/26/2027
N/A
1796000.00000000
PA
USD
1881288.45000000
0.117896614916
Long
DBT
NUSS
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE 5.333% 02/15/28
G13201AA9
1176000.00000000
PA
USD
1248041.76000000
0.078212301137
Long
DBT
NUSS
XX
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
Star Energy Geothermal (Wayang Windu) Limited
N/A
STAR ENERGY GEOTHERMAL WAYANG WINDU LTD 6.750000% 04/24/2033
G84393AC4
451218.00000000
PA
USD
469943.55000000
0.029450429968
Long
DBT
NUSS
VG
N
2
2033-04-24
Fixed
6.75000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICO GOVERNMENT INTERNATIONAL BOND MTN 5.750000% 10/12/2110
91086QAZ1
3576000.00000000
PA
USD
4107965.76000000
0.257438064480
Long
DBT
NUSS
MX
N
2
2110-10-12
Fixed
5.75000000
N
N
N
N
N
N
MILLICOM INTERNATIONAL CELLULAR S.A.
549300CTHC1CP86P2G96
MILLICOM INTERNATIONAL CELLULAR SA 144A 6.250000% 03/25/2029
600814AQ0
449000.00000000
PA
USD
490357.39000000
0.030729724822
Long
DBT
NUSS
LU
Y
2
2029-03-25
Fixed
6.25000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 15.700000% 01/20/2021
903724BS0
48000000.00000000
PA
1920298.72000000
0.120341311145
Long
DBT
NUSS
UA
Y
2
2021-01-20
Fixed
15.70000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 28-DAY MXN - TIIE
N/A
40000000.00000000
NC
-55770.05000000
-0.00349499839
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2026-06-18
0.00000000
MXN
0.00000000
MXN
-40000000.00000000
MXN
-55770.05000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/16/2026
N/A
1584000.00000000
PA
1767919.87000000
0.110792030917
Long
DBT
NUSS
EG
N
2
2026-04-16
Fixed
4.75000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 5.750000% 02/14/2042
200447AC4
500000.00000000
PA
USD
542505.00000000
0.033997712086
Long
DBT
NUSS
MX
Y
2
2042-02-14
Fixed
5.75000000
N
N
N
N
N
N
Independent State of Papua New Guinea
254900NKI6OC90ZW9W36
PNG GOVT INTL BOND 8.375000% 10/04/2028
Y6726SAP6
531000.00000000
PA
USD
561532.50000000
0.035190127763
Long
DBT
NUSS
PG
N
2
2028-10-04
Fixed
8.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2019-12-18
N/A
1.00000000
NC
USD
8936.78000000
0.000560050273
N/A
DFE
US
N
2
JP MORGAN
N/A
2422764.71000000
PLN
614104.56000000
USD
2019-12-18
8936.78000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 4.375000% 03/21/2029
N/A
4000000.00000000
PA
USD
4278456.00000000
0.268122349589
Long
DBT
NUSS
RU
N
2
2029-03-21
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2019-12-18
N/A
1.00000000
NC
USD
62716.01000000
0.003930287925
N/A
DFE
US
N
2
JP MORGAN
N/A
12692500.00000000
PLN
3233098.99000000
USD
2019-12-18
62716.01000000
N
N
N
European Bank for Reconstruction and Development
549300HTGDOVDU6OGK19
EUROPEAN BANK FOR RECONSTRUCTION & DEVELOPMENT MTN 9.250000% 12/02/2020
N/A
9210000000.00000000
PA
664553.89000000
0.041646273893
Long
DBT
NUSS
XX
N
2
2020-12-02
Fixed
9.25000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-12-03
N/A
1.00000000
NC
8361.82000000
0.000524018670
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
3096932.50000000
USD
12981411.98000000
BRL
2019-12-03
8361.82000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 4.750000% 06/15/2026
N/A
900000.00000000
PA
USD
864414.00000000
0.054171110488
Long
DBT
NUSS
OM
N
2
2026-06-15
Fixed
4.75000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.190000% 09/12/2024
P78625DC4
108672100.00000000
PA
4802289.67000000
0.300949966466
Long
DBT
NUSS
MX
N
2
2024-09-12
Fixed
7.19000000
N
N
N
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 8.125000% 04/28/2034
698299AT1
478000.00000000
PA
USD
650080.00000000
0.040739223921
Long
DBT
NUSS
PA
N
2
2034-04-28
Fixed
8.12500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 04/01/2020
N/A
3000000.00000000
PA
703314.00000000
0.044075293091
Long
DBT
NUSS
BR
N
2
2020-04-01
None
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-10-21
N/A
1.00000000
NC
USD
51554.76000000
0.003230834530
N/A
DFE
US
N
2
JP MORGAN
N/A
6176183.00000000
BRL
1532399.51000000
USD
2019-10-21
51554.76000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2019-10-07
N/A
1.00000000
NC
-10042.23000000
-0.00062932663
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
340945.37000000
EUR
111123232.00000000
HUF
2019-10-07
-10042.23000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-12-17
N/A
1.00000000
NC
-7214.17000000
-0.00045209772
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
1614564.54000000
USD
24610000.00000000
ZAR
2019-12-17
-7214.17000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-31433.21000000
-0.00196985691
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1573157.19000000
USD
1414051.00000000
EUR
2019-10-03
-31433.21000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
26758053.00000000
NC
6887.88000000
0.000431649774
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-06-23
0.00000000
MXN
0.00000000
MXN
-26758053.00000000
MXN
6887.88000000
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 3.625000% 08/01/2027
21987BAW8
368000.00000000
PA
USD
387470.88000000
0.024282031355
Long
DBT
NUSS
CL
Y
2
2027-08-01
Fixed
3.62500000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-343.72000000
-0.00002154025
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
852545.63000000
USD
3550000.00000000
BRL
2019-10-03
-343.72000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.375000% 03/21/2023
195325BP9
2871000000.00000000
PA
809106.72000000
0.050705112974
Long
DBT
NUSS
CO
N
2
2023-03-21
Fixed
4.37500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-2838.98000000
-0.00017791324
N/A
DFE
XX
N
2
JP MORGAN
N/A
582821.09000000
USD
11589397.46000000
MXN
2019-12-18
-2838.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-9753.02000000
-0.00061120241
N/A
DFE
US
N
2
JP MORGAN
N/A
20071027852.00000000
KRW
16774082.03000000
USD
2019-12-18
-9753.02000000
N
N
N
YAPI VE KREDI BANKASI ANONIM SIRKETI
B85ZYWEZ5IZCZ2WNIO12
YAPI VE KREDI BANKASI AS MTN 5.850000% 06/21/2024
984848AJ0
429000.00000000
PA
USD
406477.50000000
0.025473138523
Long
DBT
NUSS
TR
Y
2
2024-06-21
Fixed
5.85000000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2019-12-18
N/A
1.00000000
NC
59441.46000000
0.003725078373
N/A
DFE
PH
N
2
JP MORGAN
N/A
9511358.82000000
USD
497253839.00000000
PHP
2019-12-18
59441.46000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 9.500000% 03/27/2030
N/A
788000.00000000
PA
USD
798604.12000000
0.050046935868
Long
DBT
NUSS
EC
Y
2
2030-03-27
Fixed
9.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2019-10-07
N/A
1.00000000
NC
42041.84000000
0.002634678706
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
592491357.00000000
HUF
1807320.41000000
EUR
2019-10-07
42041.84000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 16.100000% 05/07/2029
N/A
14920000.00000000
PA
995756.65000000
0.062402093796
Long
DBT
NUSS
EG
N
2
2029-05-07
Fixed
16.10000000
N
N
N
N
N
N
MALAYSIA SUKUK GLOBAL BERHAD
N/A
MALAYSIA SUKUK GLOBAL BHD 3.179000% 04/27/2026
Y54788AA5
3003000.00000000
PA
USD
3139709.86000000
0.196759388128
Long
DBT
NUSS
MY
N
2
2026-04-27
Fixed
3.17900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2019-10-07
N/A
1.00000000
NC
USD
-36844.67000000
-0.00230898237
N/A
DFE
US
N
2
JP MORGAN
N/A
2907666597.00000000
KRW
2393476.12000000
USD
2019-10-07
-36844.67000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-4514.99000000
-0.00028294546
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
314544.06000000
USD
284355.00000000
EUR
2019-10-03
-4514.99000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 6.500000% 11/28/2027
N/A
680000.00000000
PA
USD
687262.40000000
0.043069371163
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 5.875000% 09/16/2025
836205AR5
2364000.00000000
PA
USD
2574821.52000000
0.161358956529
Long
DBT
NUSS
ZA
N
2
2025-09-16
Fixed
5.87500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
14708814.00000000
NC
49274.11000000
0.003087910719
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-14708814.00000000
BRL
49274.11000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.750000% 07/23/2029
N/A
115370000.00000000
PA
5500567.63000000
0.344709660922
Long
DBT
NUSS
CZ
N
2
2029-07-23
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
BRK: GOLDMAN SACHS PAY: 1.9865%
N/A
22000000.00000000
NC
-80310.10000000
-0.00503287464
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-03-25
0.00000000
PLN
0.00000000
PLN
-22000000.00000000
PLN
-80310.10000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 4.250000% 06/23/2027
N/A
800000.00000000
PA
USD
850560.00000000
0.053302907793
Long
DBT
NUSS
RU
Y
2
2027-06-23
Fixed
4.25000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC BON 11.250000% 02/05/2027
N/A
14500000.00000000
PA
296567.06000000
0.018585269297
Long
DBT
NUSS
DO
N
2
2027-02-05
Fixed
11.25000000
N
N
N
N
N
N
Gaz Capital S.A.
213800568PRHV2JR9650
GAZPROM OAO VIA GAZ CAPITAL SA 144A 5.150000% 02/11/2026
N/A
2673000.00000000
PA
USD
2908785.33000000
0.182287805958
Long
DBT
NUSS
LU
Y
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
Republiek Suriname
N/A
REPUBLIC OF SURINAME INT 9.250000% 10/26/2026
P68788AA9
361000.00000000
PA
USD
322192.50000000
0.020191164784
Long
DBT
NUSS
SR
N
2
2026-10-26
Fixed
9.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2020-01-15
N/A
1.00000000
NC
USD
-38173.21000000
-0.00239223933
N/A
DFE
US
N
2
JP MORGAN
N/A
5804237054.00000000
UGX
1513096.21000000
USD
2020-01-15
-38173.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-193484.13000000
-0.01212526657
N/A
DFE
US
N
2
JP MORGAN
N/A
7365370.58000000
TRY
1081075.97000000
USD
2019-12-18
-193484.13000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.500000% 03/08/2047
682051AF4
482000.00000000
PA
USD
445124.11000000
0.027895044902
Long
DBT
NUSS
OM
Y
2
2047-03-08
Fixed
6.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-01-24
N/A
1.00000000
NC
USD
3139.18000000
0.000196726182
N/A
DFE
US
N
2
JP MORGAN
N/A
291628200.00000000
JPY
2725469.18000000
USD
2020-01-24
3139.18000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6M CZK PRIBOR
N/A
121000000.00000000
NC
-1583.37000000
-0.00009922665
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-09-30
0.00000000
CZK
0.00000000
CZK
-121000000.00000000
CZK
-1583.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2019-12-18
N/A
1.00000000
NC
USD
4766.66000000
0.000298717125
N/A
DFE
US
N
2
JP MORGAN
N/A
1275139.32000000
PLN
323276.02000000
USD
2019-12-18
4766.66000000
N
N
N
CSN Resources S.A.
222100ZEX458NMOXZP08
CSN RESOURCES SA 144A 7.625000% 04/17/2026
12644VAC2
763000.00000000
PA
USD
791700.25000000
0.049614284031
Long
DBT
NUSS
LU
Y
2
2026-04-17
Fixed
7.62500000
N
N
N
N
N
N
TURKIYE CUMHURIYETI ZIRAAT BANKASI ANONIM SIRKETI
213800K5KTZFSUS8MR51
TC ZIRAAT BANKASI AS MTN 5.125000% 05/03/2022
90015JAA0
1063000.00000000
PA
USD
1031110.00000000
0.064617618104
Long
DBT
NUSS
TR
Y
2
2022-05-03
Fixed
5.12500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3-MONTH MOSCOW PRIME OFFERED RATE - RUB
N/A
715569627.00000000
NC
196695.54000000
0.012326519272
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-03-23
0.00000000
RUB
0.00000000
RUB
-715569627.00000000
RUB
196695.54000000
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 04/03/2049
N/A
278000.00000000
PA
392938.75000000
0.024624691920
Long
DBT
NUSS
RO
N
2
2049-04-03
Fixed
4.62500000
N
N
N
N
N
N
Sasol Financing USA LLC
549300XRB1PFMESFEL85
SASOL FINANCING USA LLC 5.875000% 03/27/2024
80386WAA3
442000.00000000
PA
USD
477493.88000000
0.029923594170
Long
DBT
CORP
US
N
2
2024-03-27
Fixed
5.87500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 16.300000% 04/09/2024
N/A
15034000.00000000
PA
983102.83000000
0.061609104001
Long
DBT
NUSS
EG
N
2
2024-04-09
Fixed
16.30000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 18.000000% 11/06/2028
N/A
30307000.00000000
PA
2200684.11000000
0.137912507287
Long
DBT
NUSS
EG
N
2
2028-11-06
Fixed
18.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2019-10-24
N/A
1.00000000
NC
USD
-3200.25000000
-0.00020055331
N/A
DFE
US
N
2
JP MORGAN
N/A
36114135551.00000000
IDR
2536995.82000000
USD
2019-10-24
-3200.25000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.500000% 03/15/2029
195325DP7
5504000.00000000
PA
USD
6117696.00000000
0.383383871563
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2019-10-16
N/A
1.00000000
NC
USD
-1356.22000000
-0.00008499161
N/A
DFE
US
N
2
JP MORGAN
N/A
16966090.00000000
THB
553566.38000000
USD
2019-10-16
-1356.22000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 11.000000% 03/02/2022
N/A
34649000.00000000
PA
5866367.48000000
0.367633611820
Long
DBT
NUSS
TR
N
2
2022-03-02
Fixed
11.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 7.750000% 01/17/2038
Y20721AL3
1797000.00000000
PA
USD
2690881.93000000
0.168632232174
Long
DBT
NUSS
ID
N
2
2038-01-17
Fixed
7.75000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 7.550000% 03/28/2030
Y8137FAR9
405000.00000000
PA
USD
399294.05000000
0.025022965963
Long
DBT
NUSS
LK
N
2
2030-03-28
Fixed
7.55000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 3.625000% 06/15/2021
N/A
1326000.00000000
PA
USD
1318707.00000000
0.082640751537
Long
DBT
NUSS
OM
N
2
2021-06-15
Fixed
3.62500000
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.350000% 02/12/2048
71654QCJ9
742000.00000000
PA
USD
681831.22000000
0.042729009888
Long
DBT
NUSS
MX
Y
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
Azarbayjan Respublikasi
549300P74FF45UQVU281
REPUBLIC OF AZERBAIJAN 4.750000% 03/18/2024
N/A
1173000.00000000
PA
USD
1240679.75000000
0.077750938576
Long
DBT
NUSS
AZ
Y
2
2024-03-18
Fixed
4.75000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.627000% 06/16/2049
N/A
737000.00000000
PA
USD
734789.00000000
0.046047768899
Long
DBT
NUSS
GH
N
2
2049-06-16
Fixed
8.62700000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 5.625000% 01/17/2028
682051AH0
2663000.00000000
PA
USD
2620221.57000000
0.164204087594
Long
DBT
NUSS
OM
Y
2
2028-01-17
Fixed
5.62500000
N
N
N
N
N
N
Instituto Costarricense de Electricidad
5493009VA6AFUB2Q0289
INSTITUTO COSTARRICENSE DE ELECTRICIDAD 6.375000% 05/15/2043
P56226AQ9
250000.00000000
PA
USD
206877.50000000
0.012964602505
Long
DBT
NUSS
CR
N
2
2043-05-15
Fixed
6.37500000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-489.06000000
-0.00003064841
N/A
DFE
MY
N
2
STANDARD BANK
N/A
328012.09000000
USD
1372665.00000000
MYR
2019-12-18
-489.06000000
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY BRL - CETIP
N/A
5738292.00000000
NC
29451.68000000
0.001845678357
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2020-01-02
0.00000000
BRL
0.00000000
BRL
-5738292.00000000
BRL
29451.68000000
N
N
N
BANCO MERCANTIL DEL NORTE S.A.
N/A
BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN 144A 6.750000% MATURITY: PERPETUAL
05971PAA6
609000.00000000
PA
USD
608269.20000000
0.038119024032
Long
DBT
NUSS
MX
Y
2
2167-09-27
Fixed
6.75000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.82%
N/A
33993222.00000000
NC
-1632.99000000
-0.00010233624
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-09-10
0.00000000
MXN
0.00000000
MXN
-33993222.00000000
MXN
-1632.99000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-18568.09000000
-0.00116362536
N/A
DFE
XX
N
2
JP MORGAN
N/A
3083314.87000000
USD
61240800.00000000
MXN
2019-12-18
-18568.09000000
N
N
N
DEVELOPMENT BANK OF MONGOLIA
254900HRWK3OKXS9UW60
DEVELOPMENT BANK OF MONGOLIA LLC 144A 7.250000% 10/23/2023
25161AAA7
784000.00000000
PA
USD
812206.34000000
0.050899360010
Long
DBT
NUSS
MN
Y
2
2023-10-23
Fixed
7.25000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 0.845%
N/A
3000000000.00000000
NC
-1585.48000000
-0.00009935888
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2019-10-10
0.00000000
HUF
0.00000000
HUF
-3000000000.00000000
HUF
-1585.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-26081.01000000
-0.00163444515
N/A
DFE
US
N
2
JP MORGAN
N/A
73238332.81000000
INR
1001070.71000000
USD
2019-12-18
-26081.01000000
N
N
N
Emirate of Dubai
N/A
EMIRATE OF DUBAI GOVERNMENT INTERNATIONAL BONDS MT 5.250000% 01/30/2043
N/A
490000.00000000
PA
USD
566562.50000000
0.035505347884
Long
DBT
NUSS
AE
N
2
2043-01-30
Fixed
5.25000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 3.875000% 04/19/2022
N/A
2577000.00000000
PA
USD
2642466.11000000
0.165598108785
Long
DBT
NUSS
KZ
N
2
2022-04-19
Fixed
3.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-11-06
N/A
1.00000000
NC
USD
62272.46000000
0.003902491527
N/A
DFE
US
N
2
JP MORGAN
N/A
35649538.00000000
ZAR
2402580.53000000
USD
2019-11-06
62272.46000000
N
N
N
ABU DHABI CRUDE OIL PIPELINE L.L.C.
549300DONDFW2383FV66
ABU DHABI CRUDE OIL PIPELINE LLC 4.600000% 11/02/2047
AP6574192
330000.00000000
PA
USD
384562.20000000
0.024099750149
Long
DBT
NUSS
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-79784.03000000
-0.00499990687
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
2838214.72000000
USD
2530000.00000000
EUR
2019-10-03
-79784.03000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 10.700000% 02/17/2021
N/A
6560000.00000000
PA
1124023.73000000
0.070440337234
Long
DBT
NUSS
TR
N
2
2021-02-17
Fixed
10.70000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 17.700000% 08/07/2025
N/A
29457000.00000000
PA
2054248.07000000
0.128735651171
Long
DBT
NUSS
EG
N
2
2025-08-07
Fixed
17.70000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
149249000000.00000000
PA
11117709.94000000
0.696724825770
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
N
N
N
N
N
N
Empresa Nacional del Petroleo
549300YP3P0JZBLIV197
EMPRESA NACIONAL DEL PETROLEO 3.750000% 08/05/2026
P37110AK2
749000.00000000
PA
USD
773349.99000000
0.048464309642
Long
DBT
NUSS
CL
N
2
2026-08-05
Fixed
3.75000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 4.854000% 02/06/2024
G10367AB9
868000.00000000
PA
USD
948298.68000000
0.059427996967
Long
DBT
NUSS
BM
N
2
2024-02-06
Fixed
4.85400000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 5.650000% 09/27/2047
836205AX2
386000.00000000
PA
USD
384871.34000000
0.024119123340
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
BANCO NACIONAL DE COMERCIO EXTERIOR, SOCIEDAD NACIONAL DE CREDITO
N/A
BANCO NACIONAL DE COMERCIO EXTERIOR SNC/CAYMAN ISL 3.800000% 08/11/2026
P14517AB5
2166000.00000000
PA
USD
2190389.16000000
0.137267343194
Long
DBT
NUSS
MX
N
2
2026-08-11
Fixed
3.80000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICO GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 03/08/2044
91086QBB3
386000.00000000
PA
USD
417845.00000000
0.026185517196
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY BRL - CETIP
N/A
5814810.00000000
NC
85528.36000000
0.005359892643
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2021-01-04
0.00000000
BRL
0.00000000
BRL
-5814810.00000000
BRL
85528.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-11-04
N/A
1.00000000
NC
USD
1986.39000000
0.000124483120
N/A
DFE
US
N
2
JP MORGAN
N/A
1153295.00000000
BRL
278263.15000000
USD
2019-11-04
1986.39000000
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 5.000000% 04/15/2026
P75744AD7
595000.00000000
PA
USD
648555.95000000
0.040643714731
Long
DBT
NUSS
PY
N
2
2026-04-15
Fixed
5.00000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 6.000000% 04/07/2026
105756BX7
1238000.00000000
PA
USD
1429357.66000000
0.089575008882
Long
DBT
NUSS
BR
N
2
2026-04-07
Fixed
6.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-11-05
N/A
1.00000000
NC
-77150.73000000
-0.00483488319
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
11067107.56000000
USD
10054392.00000000
EUR
2019-11-05
-77150.73000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2019-11-07
N/A
1.00000000
NC
-162958.74000000
-0.01021230094
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
10299228.70000000
EUR
44452501.00000000
PLN
2019-11-07
-162958.74000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
164452600.00000000
PA
8825000.95000000
0.553045301820
Long
DBT
NUSS
MX
N
2
2031-05-29
Floating
7.75000080
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 4.875000% 02/01/2025
68205LAA1
2015000.00000000
PA
USD
2015979.29000000
0.126337422649
Long
DBT
NUSS
OM
Y
2
2025-02-01
Fixed
4.87500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 5.248000% 09/15/2028
N/A
1050000.00000000
PA
284090.88000000
0.017803411848
Long
DBT
NUSS
MY
N
2
2028-09-15
Fixed
5.24800000
N
N
N
N
N
N
N/A
N/A
R213 BOND FUTURE NOV19 FINANCIAL COMMODITY FUTURE.
N/A
807.00000000
NC
4574490.08000000
0.286674218087
N/A
DIR
ZA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R213 Bond Future Nov 2019
2019-11-07
5111534.21000000
ZAR
-537044.13000000
N
N
N
Republic of Namibia
549300T6Y4CWK77SML15
REPUBLIC OF NAMIBIA 5.250000% 10/29/2025
N/A
379000.00000000
PA
USD
382536.07000000
0.023972776602
Long
DBT
NUSS
NA
N
2
2025-10-29
Fixed
5.25000000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 3.650000% 07/30/2029
69370PAD3
1643000.00000000
PA
USD
1687159.90000000
0.105730963815
Long
DBT
NUSS
ID
Y
2
2029-07-30
Fixed
3.65000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.125000% 06/15/2025
N/A
2216000.00000000
PA
2581983.30000000
0.161807771073
Long
DBT
NUSS
CI
N
2
2025-06-15
Fixed
5.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-10-23
N/A
1.00000000
NC
USD
76591.47000000
0.004799835476
N/A
DFE
US
N
2
JP MORGAN
N/A
20943000.00000000
BRL
5097356.76000000
USD
2019-10-23
76591.47000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)DEC19 FINANCIAL COMMODITY FUTURE.
N/A
157.00000000
NC
USD
20459062.50000000
1.282128858611
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Dec 2019
2019-12-22
20620739.68000000
USD
-161677.18000000
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 6.757000% 11/15/2048
74445PAD4
232000.00000000
PA
USD
300626.17000000
0.018839645668
Long
DBT
NUSS
ID
Y
2
2048-11-15
Fixed
6.75700000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-7758.33000000
-0.00048619914
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
370307.61000000
USD
110812441.90000000
HUF
2019-12-18
-7758.33000000
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 9.375000% 05/08/2048
N/A
3200000.00000000
PA
USD
3372620.80000000
0.211355454671
Long
DBT
NUSS
AO
N
2
2048-05-08
Fixed
9.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
19922000.00000000
PA
4912440.22000000
0.307852882910
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
N
N
N
N/A
N/A
KOREA 3YR BND FUT DEC19 FINANCIAL COMMODITY FUTURE.
N/A
48.00000000
NC
4447468.96000000
0.278714056491
N/A
DIR
KR
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Korea Govt. Bond Futures
KOREA 3YR BND FUT Dec 2019
2019-12-20
4445190.18000000
KRW
2278.78000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.625000% 02/21/2047
105756BY5
193000.00000000
PA
USD
215920.68000000
0.013531320655
Long
DBT
NUSS
BR
N
2
2047-02-21
Fixed
5.62500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 5.375000% 03/08/2027
682051AE7
60000.00000000
PA
USD
58950.00000000
0.003694279550
Long
DBT
NUSS
OM
Y
2
2027-03-08
Fixed
5.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 2.379%
N/A
279795000.00000000
NC
-96787.19000000
-0.00606546118
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2028-06-07
0.00000000
HUF
0.00000000
HUF
-279795000.00000000
HUF
-96787.19000000
N
N
N
BRK: J.P. MORGAN CHASE
N/A
Credit Default Swap
N/A
-1894629.00000000
NC
USD
-1127259.57000000
-0.07064312090
N/A
DO
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2023-06-20
116248.97000000
USD
0.00000000
USD
-1894629.00000000
USD
-1243508.54000000
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
JORDAN GOVERNMENT INTERNATIONAL BOND 144A 7.375000% 10/10/2047
418097AJ0
1629000.00000000
PA
USD
1712469.96000000
0.107317095063
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-124260.51000000
-0.00778715964
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
7836110.39000000
USD
30874079.04000000
PLN
2019-12-18
-124260.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2019-10-04
N/A
1.00000000
NC
USD
-28371.02000000
-0.00177795553
N/A
DFE
US
N
2
JP MORGAN
N/A
3244730086.00000000
KRW
2684035.14000000
USD
2019-10-04
-28371.02000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-7990.35000000
-0.00050073938
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
378884.75000000
USD
113363111.92000000
HUF
2019-12-18
-7990.35000000
N
N
N
CHINALCO CAPITAL HOLDINGS LIMITED
5493003PX4GYVUD3CQ19
CHINALCO CAPITAL HOLDINGS LTD 4.250000% 04/21/2022
N/A
740000.00000000
PA
USD
747136.73000000
0.046821576641
Long
DBT
NUSS
VG
N
2
2022-04-21
Fixed
4.25000000
N
N
N
N
N
N
ELEMENTIA, S.A.B. DE C.V.
549300BH08XQJ1ITLQ77
ELEMENTIA SAB DE CV 5.500000% 01/15/2025
P3713LAA6
670000.00000000
PA
USD
649906.70000000
0.040728363554
Long
DBT
NUSS
MX
N
2
2025-01-15
Fixed
5.50000000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 144A 4.750000% 06/19/2032
716564AA7
1201000.00000000
PA
USD
1316596.25000000
0.082508475022
Long
DBT
NUSS
PE
Y
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 5.875000% 02/08/2028
N/A
354740000.00000000
PA
3857243.31000000
0.241725785941
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.87500000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 4.250000% 06/28/2023
N/A
2730000.00000000
PA
639282.11000000
0.040062541576
Long
DBT
NUSS
RO
N
2
2023-06-28
Fixed
4.25000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.750000% 01/17/2048
N/A
2865000.00000000
PA
USD
2700262.50000000
0.169220093886
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 6.250000% 03/31/2036
N/A
68414000.00000000
PA
3267197.98000000
0.204748815687
Long
DBT
NUSS
ZA
N
2
2036-03-31
Fixed
6.25000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 4.875000% 01/24/2022
71654QBB7
889000.00000000
PA
USD
920115.00000000
0.057661781655
Long
DBT
NUSS
MX
N
2
2022-01-24
Fixed
4.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-10-17
N/A
1.00000000
NC
USD
83786.91000000
0.005250759426
N/A
DFE
US
N
2
JP MORGAN
N/A
5240019.00000000
BRL
1340508.01000000
USD
2019-10-17
83786.91000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 8.25% 04/12/2021
N/A
828000.00000000
PA
USD
703800.00000000
0.044105749747
Long
DBT
NUSS
LB
N
2
2021-04-12
Fixed
8.25000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-17
N/A
1.00000000
NC
-14374.50000000
-0.00090082139
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
422393.43000000
USD
1701274.00000000
BRL
2019-10-17
-14374.50000000
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 8.500000% 01/31/2037
N/A
47888754.00000000
PA
2832357.92000000
0.177498251796
Long
DBT
NUSS
ZA
N
2
2037-01-31
Fixed
8.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 2.265%
N/A
150000000.00000000
NC
-46502.32000000
-0.00291420813
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-04-24
0.00000000
HUF
0.00000000
HUF
-150000000.00000000
HUF
-46502.32000000
N
N
N
Lietuvos Respublika
529900F7Y171QF1RSU09
REPUBLIC OF LITHUANIA 7.375000% 02/11/2020
N/A
923000.00000000
PA
USD
939213.42000000
0.058858641747
Long
DBT
NUSS
LT
N
2
2020-02-11
Fixed
7.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-11-01
N/A
1.00000000
NC
USD
5123.76000000
0.000321095874
N/A
DFE
US
N
2
JP MORGAN
N/A
9969708.00000000
MXN
507439.32000000
USD
2019-11-01
5123.76000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.750000% 04/18/2028
Y8137FAL2
1017000.00000000
PA
USD
969721.32000000
0.060770511316
Long
DBT
NUSS
LK
Y
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
Charming Light Investments Ltd
254900BMY30PLHVJID29
CHARMING LIGHT INVESTMENTS LTD MTN 4.375000% 12/21/2027
N/A
1600000.00000000
PA
USD
1713477.66000000
0.107380245623
Long
DBT
NUSS
VG
N
2
2027-12-21
Fixed
4.37500000
N
N
N
N
N
N
THE OIL AND GAS HOLDING COMPANY B.S.C (CLOSED)
549300OBH16L6TS6IW50
OIL AND GAS HOLDING CO BSCC/THE 7.500000% 10/25/2027
67778NAA6
200000.00000000
PA
USD
221434.40000000
0.013876854549
Long
DBT
NUSS
BH
N
2
2027-10-25
Fixed
7.50000000
N
N
N
N
N
N
SCF CAPITAL DESIGNATED ACTIVITY COMPANY
213800L15FRHHBOWMF92
SCF CAPITAL DESIGNATED ACTIVITY CO 144A 5.375000% 06/16/2023
78403LAB8
729000.00000000
PA
USD
770290.56000000
0.048272581233
Long
DBT
NUSS
IE
Y
2
2023-06-16
Fixed
5.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.620000% 11/30/2021
N/A
22657000.00000000
PA
5466101.41000000
0.342549731291
Long
DBT
NUSS
MY
N
2
2021-11-30
Fixed
3.62000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2019-10-23
N/A
1.00000000
NC
-14981.10000000
-0.00093883581
N/A
DFE
KR
N
2
STANDARD CHARTERED BANK
N/A
2455352.75000000
USD
2921747000.00000000
KRW
2019-10-23
-14981.10000000
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY BRL - CETIP
N/A
4625967.00000000
NC
74451.41000000
0.004665722162
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2021-01-04
0.00000000
BRL
0.00000000
BRL
-4625967.00000000
BRL
74451.41000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERUVIAN GOVERNMENT INTERNATIONAL BOND 144A 5.700000% 08/12/2024
715638BT8
4932000.00000000
PA
1623635.49000000
0.101750015065
Long
DBT
NUSS
PE
Y
2
2024-08-12
Fixed
5.70000000
N
N
N
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2019-12-19
N/A
1.00000000
NC
21384.29000000
0.001340111030
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
551718.71000000
USD
209101391.33000000
NGN
2019-12-19
21384.29000000
N
N
N
THE OIL AND GAS HOLDING COMPANY B.S.C (CLOSED)
549300OBH16L6TS6IW50
OIL AND GAS HOLDING CO BSCC/THE 8.375000% 11/07/2028
N/A
821000.00000000
PA
USD
958517.50000000
0.060068390144
Long
DBT
NUSS
BH
N
2
2028-11-07
Fixed
8.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
2390.21000000
0.000149789718
N/A
DFE
US
N
2
JP MORGAN
N/A
6939420480.00000000
IDR
486976.88000000
USD
2019-12-18
2390.21000000
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 5.875000% 06/22/2030
836205AY0
1402000.00000000
PA
USD
1496635.00000000
0.093791146310
Long
DBT
NUSS
ZA
N
2
2030-06-22
Fixed
5.87500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6M CZK PRIBOR
N/A
150349290.00000000
NC
-1967.42000000
-0.00012329430
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-09-30
0.00000000
CZK
0.00000000
CZK
-150349290.00000000
CZK
-1967.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2019-12-18
N/A
1.00000000
NC
USD
27735.94000000
0.001738156335
N/A
DFE
US
N
2
JP MORGAN
N/A
4249127.00000000
PEN
1280628.99000000
USD
2019-12-18
27735.94000000
N
N
N
Leader Goal International Limited
N/A
LEADER GOAL INTERNATIONAL LTD MTN 4.250000% MATURITY: PERPETUAL
N/A
212000.00000000
PA
USD
215288.12000000
0.013491679375
Long
DBT
NUSS
VG
N
2
2168-07-19
Fixed
4.25000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.775000% 06/25/2032
N/A
267434000.00000000
PA
10984298.54000000
0.688364198004
Long
DBT
NUSS
TH
N
2
2032-06-25
Fixed
3.77500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 5.350000% 02/12/2028
71654QCH3
1079000.00000000
PA
USD
1031124.77000000
0.064618543711
Long
DBT
NUSS
MX
Y
2
2028-02-12
Fixed
5.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
2803.99000000
0.000175720490
N/A
DFE
US
N
2
JP MORGAN
N/A
1134768000.00000000
HUF
3696371.70000000
USD
2019-10-03
2803.99000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2025
EK0169285
37953000.00000000
PA
10426603.89000000
0.653414580686
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
10.00000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 10.700000% 08/17/2022
N/A
21356000.00000000
PA
3526907.56000000
0.221024299834
Long
DBT
NUSS
TR
N
2
2022-08-17
Fixed
10.70000000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
REPUBLIC OF KOREA 2.500000% 06/19/2029
50064FAQ7
1469000.00000000
PA
USD
1500451.29000000
0.094030305633
Long
DBT
NUSS
KR
N
2
2029-06-19
Fixed
2.50000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY-CLP - SINACOFI CHILE INTERBANK RATE AVG
N/A
420526827.00000000
NC
25218.97000000
0.001580422818
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2022-05-10
0.00000000
CLP
0.00000000
CLP
-420526827.00000000
CLP
25218.97000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 10.750000% 10/14/2030
N/A
4683000.00000000
PA
USD
5936451.78000000
0.372025655862
Long
DBT
NUSS
GH
N
2
2030-10-14
Fixed
10.75000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
924.20000000
0.000057917780
N/A
DFE
MY
N
2
STANDARD BANK
N/A
650860.05000000
USD
2731659.61000000
MYR
2019-12-18
924.20000000
N
N
N
ALIBABA GROUP HOLDING LIMITED
5493001NTNQJDH60PM02
ALIBABA GROUP HOLDING LTD 4.200000% 12/06/2047
01609WAV4
310000.00000000
PA
USD
351442.60000000
0.022024210523
Long
DBT
NUSS
KY
N
2
2047-12-06
Fixed
4.20000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-11-01
N/A
1.00000000
NC
-20219.43000000
-0.00126711156
N/A
DFE
XX
N
2
JP MORGAN
N/A
1251560.00000000
USD
24439032.00000000
MXN
2019-11-01
-20219.43000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
REPUBLIC OF POLAND 5.000000% 03/23/2022
857524AB8
2864000.00000000
PA
USD
3072671.04000000
0.192558198275
Long
DBT
NUSS
PL
N
2
2022-03-23
Fixed
5.00000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2019-11-07
N/A
1.00000000
NC
3096.28000000
0.000194037724
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2272557.76000000
EUR
9965041.00000000
PLN
2019-11-07
3096.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
1155.17000000
0.000072392212
N/A
DFE
US
N
2
JP MORGAN
N/A
647078.48000000
SGD
469622.64000000
USD
2019-12-18
1155.17000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 7.625000% 11/28/2047
N/A
402000.00000000
PA
USD
396661.44000000
0.024857985517
Long
DBT
NUSS
NG
N
2
2047-11-28
Fixed
7.62500000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-11-04
N/A
1.00000000
NC
1915.48000000
0.000120039331
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1850573.38000000
USD
7733065.00000000
BRL
2019-11-04
1915.48000000
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 9.375000% 04/01/2029
698299AK0
1004000.00000000
PA
USD
1541150.04000000
0.096580815554
Long
DBT
NUSS
PA
N
2
2029-04-01
Fixed
9.37500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 5.750000% 04/18/2023
Y8137FAK4
1252000.00000000
PA
USD
1242666.59000000
0.077875449897
Long
DBT
NUSS
LK
Y
2
2023-04-18
Fixed
5.75000000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 05/16/2024
P7807HAT2
10191733.00000000
PA
USD
815338.64000000
0.051095655037
Long
DBT
NUSS
XX
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
EXPORT CREDIT BANK OF TURKEY MTN 5.375000% 02/08/2021
90015LAA5
896000.00000000
PA
USD
893401.60000000
0.055987705873
Long
DBT
NUSS
TR
Y
2
2021-02-08
Fixed
5.37500000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 2.969%
N/A
200000000.00000000
NC
-38957.03000000
-0.00244135978
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2029-02-08
0.00000000
HUF
0.00000000
HUF
-200000000.00000000
HUF
-38957.03000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2019-10-15
N/A
1.00000000
NC
-6819.95000000
-0.00042739273
N/A
DFE
MY
N
2
CITIGROUP GLOBAL MARKETS
N/A
2631989.57000000
USD
18717636.00000000
CNY
2019-10-15
-6819.95000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.000000% 02/26/2024
195325BQ7
965000.00000000
PA
USD
1017119.65000000
0.063740870625
Long
DBT
NUSS
CO
N
2
2024-02-26
Fixed
4.00000000
N
N
N
N
N
N
Provincia de Buenos Aires
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE 5.375000% 01/20/2023
N/A
620000.00000000
PA
226435.25000000
0.014190247897
Long
DBT
NUSS
AR
N
2
2023-01-20
Fixed
5.37500000
N
N
N
N
N
N
INDIKA ENERGY CAPITAL III PTE. LTD
N/A
INDIKA ENERGY CAPITAL III PTE LTD 144A 5.875000% 11/09/2024
45569FAA2
330000.00000000
PA
USD
321572.87000000
0.020152333801
Long
DBT
NUSS
SG
Y
2
2024-11-09
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
23186.87000000
0.001453075143
N/A
DFE
US
N
2
JP MORGAN
N/A
1144212.00000000
EUR
1270708.41000000
USD
2019-10-03
23186.87000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-11-06
N/A
1.00000000
NC
3886.30000000
0.000243546711
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
846447.31000000
USD
3550000.00000000
BRL
2019-11-06
3886.30000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
STANDARD CHARTERED BANK MTN 8.375000% 10/18/2039
AX1409058
20797000000.00000000
PA
1542450.27000000
0.096662298389
Long
DBT
NUSS
GB
N
2
2039-10-18
Fixed
8.37500000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
KENYA GOVERNMENT INTERNATIONAL BOND 144A 8.250000% 02/28/2048
491798AH7
654000.00000000
PA
USD
667357.30000000
0.041821958036
Long
DBT
NUSS
KE
Y
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
78507.61000000
0.004919916169
N/A
DFE
US
N
2
JP MORGAN
N/A
10054392.00000000
EUR
11040698.70000000
USD
2019-10-03
78507.61000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.048000% 09/30/2021
N/A
2259000.00000000
PA
549251.46000000
0.034420499350
Long
DBT
NUSS
MY
N
2
2021-09-30
Fixed
4.04800000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 4.850000% 04/22/2026
AV5054920
20495000.00000000
PA
4949558.52000000
0.310179013133
Long
DBT
NUSS
RO
N
2
2026-04-22
Fixed
4.85000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2027
N/A
63129000000.00000000
PA
4414982.98000000
0.276678224573
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2019-11-07
N/A
1.00000000
NC
-12875.74000000
-0.00080689708
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
720390.34000000
EUR
3103358.00000000
PLN
2019-11-07
-12875.74000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.375000% 09/25/2032
N/A
2189000.00000000
PA
USD
2198342.65000000
0.137765772634
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
BIZ FINANCE PLC
213800CQK26QNHYTY203
UKREXIMBANK VIA BIZ FINANCE PLC 144A 9.625000% 04/27/2022
N/A
855500.00000000
PA
USD
890977.59000000
0.055835797975
Long
DBT
NUSS
GB
Y
2
2022-04-27
Fixed
9.62500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-16989.65000000
-0.00106470766
N/A
DFE
XX
N
2
JP MORGAN
N/A
1582872.64000000
USD
31290000.00000000
MXN
2019-12-18
-16989.65000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2019-11-27
N/A
1.00000000
NC
USD
-2164.72000000
-0.00013565870
N/A
DFE
US
N
2
JP MORGAN
N/A
3686908.00000000
MYR
878044.30000000
USD
2019-11-27
-2164.72000000
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 0.6925%
N/A
1750000000.00000000
NC
-13635.16000000
-0.00085448842
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2020-04-20
0.00000000
HUF
0.00000000
HUF
-1750000000.00000000
HUF
-13635.16000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-11-06
N/A
1.00000000
NC
70721.03000000
0.004431946648
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
5914219.41000000
USD
91167639.00000000
ZAR
2019-11-06
70721.03000000
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-12324.33000000
-0.00077234131
N/A
DFE
PE
N
2
J P MORGAN CHASE BANK
N/A
691410.69000000
USD
2303089.00000000
PEN
2019-12-18
-12324.33000000
N
N
N
Dianjian International Finance Limited
549300UN39CUV8F5DI82
DIANJIAN INTERNATIONAL FINANCE LTD 4.600000% MATURITY: PERPETUAL
N/A
303000.00000000
PA
USD
311029.50000000
0.019491601720
Long
DBT
NUSS
VG
N
2
2168-07-19
Fixed
4.60000000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN LISTRIK NEGARA PT MTN 6.150000% 05/21/2048
71568QAF4
250000.00000000
PA
USD
320164.50000000
0.020064074048
Long
DBT
NUSS
ID
N
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
EXPORT CREDIT BANK OF TURKEY 144A 5.000000% 09/23/2021
30214YAE4
538000.00000000
PA
USD
532929.89000000
0.033397658938
Long
DBT
NUSS
TR
Y
2
2021-09-23
Fixed
5.00000000
N
N
N
N
N
N
MV24 CAPITAL BV
N/A
MV24 CAPITAL BV 144A 6.748000% 06/01/2034
55388RAA4
895000.00000000
PA
USD
923237.25000000
0.057857446868
Long
DBT
NUSS
NL
Y
2
2034-06-01
Fixed
6.74800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-10-30
N/A
1.00000000
NC
USD
-615.13000000
-0.00003854897
N/A
DFE
US
N
2
JP MORGAN
N/A
2404000.00000000
BRL
575436.24000000
USD
2019-10-30
-615.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-10-21
N/A
1.00000000
NC
USD
53437.86000000
0.003348844672
N/A
DFE
US
N
2
JP MORGAN
N/A
22607054.00000000
BRL
5473862.95000000
USD
2019-10-21
53437.86000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-21
N/A
1.00000000
NC
-92886.55000000
-0.00582101581
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2760934.15000000
USD
11127669.00000000
BRL
2019-10-21
-92886.55000000
N
N
N
Republica de Costa Rica
N/A
COSTA RICA GOVERNMENT 7.158000% 03/12/2045
P3699PGJ0
1643000.00000000
PA
USD
1643016.43000000
0.102964580125
Long
DBT
NUSS
CR
N
2
2045-03-12
Fixed
7.15800000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-13008.10000000
-0.00081519182
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
438609.43000000
USD
130084170.93000000
HUF
2019-12-18
-13008.10000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.50000% 10/18/2034
P6S32JS68
6609500000.00000000
PA
2078937.17000000
0.130282868088
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-3994.76000000
-0.00025034368
N/A
DFE
PE
N
2
J P MORGAN CHASE BANK
N/A
937432.04000000
USD
3165708.00000000
PEN
2019-12-18
-3994.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2019-12-18
N/A
1.00000000
NC
USD
11401.44000000
0.000714505625
N/A
DFE
US
N
2
JP MORGAN
N/A
2360843.12000000
PEN
707517.12000000
USD
2019-12-18
11401.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-03-23
N/A
1.00000000
NC
USD
-12649.87000000
-0.00079274225
N/A
DFE
US
N
2
JP MORGAN
N/A
24000000.00000000
EGP
1393728.22000000
USD
2020-03-23
-12649.87000000
N
N
N
The Government of Belize
529900096070LUHXVI62
REPUBLIC OF BELIZE 5.0% 02/20/2038
N/A
1117000.00000000
PA
USD
670200.00000000
0.042000104405
Long
DBT
NUSS
XX
N
2
2038-02-20
Fixed
5.00000000
N
Y
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA 6.0% 05/16/2024
N/A
7785099.00000000
PA
USD
622807.92000000
0.039030136772
Long
DBT
NUSS
XX
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 7.950000% 06/20/2024
N/A
2153000.00000000
PA
USD
2196081.53000000
0.137624072729
Long
DBT
NUSS
EC
N
2
2024-06-20
Fixed
7.95000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-12-18
N/A
1.00000000
NC
33427.27000000
0.002094820695
N/A
DFE
TR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2826367.43000000
USD
16526053.00000000
TRY
2019-12-18
33427.27000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.125000% 08/01/2023
N/A
520000.00000000
PA
USD
560965.60000000
0.035154601265
Long
DBT
NUSS
BH
N
2
2023-08-01
Fixed
6.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-30
N/A
1.00000000
NC
USD
154682.22000000
0.009693627856
N/A
DFE
US
N
2
JP MORGAN
N/A
125915000.00000000
ZAR
8427842.43000000
USD
2019-10-30
154682.22000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2027
N/A
1424000.00000000
PA
USD
1480903.04000000
0.092805255587
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2019-10-07
N/A
1.00000000
NC
-22625.48000000
-0.00141789394
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
617807.94000000
EUR
200000000.00000000
HUF
2019-10-07
-22625.48000000
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 4.750000% 02/15/2029
G10367AF0
1204000.00000000
PA
USD
1363530.00000000
0.085449720024
Long
DBT
NUSS
BM
N
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
ACWA POWER MANAGEMENT AND INVESTMENTS ONE LTD
635400M3OWQGQBZOYO38
ACWA POWER MANAGEMENT AND INVESTMENTS ONE LTD 144A 5.950000% 12/15/2039
005117AA4
2864000.00000000
PA
USD
3106065.28000000
0.194650949046
Long
DBT
NUSS
AE
Y
2
2039-12-15
Fixed
5.95000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.000000% 08/16/2023
N/A
402085000.00000000
PA
6283699.42000000
0.393786976564
Long
DBT
NUSS
RU
N
2
2023-08-16
Fixed
7.00000000
N
N
N
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
EXPORT CREDIT BANK OF TURKEY 144A 6.125000% 05/03/2024
90015LAD9
547000.00000000
PA
USD
533325.00000000
0.033422419698
Long
DBT
NUSS
TR
Y
2
2024-05-03
Fixed
6.12500000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 5.000000% 02/12/2029
N/A
17220000.00000000
PA
4204618.61000000
0.263495106842
Long
DBT
NUSS
RO
N
2
2029-02-12
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-11-01
N/A
1.00000000
NC
USD
-1349.84000000
-0.00008459179
N/A
DFE
US
N
2
JP MORGAN
N/A
16937078.71000000
MXN
852010.97000000
USD
2019-11-01
-1349.84000000
N
N
N
Republic of Zambia
2549001MFDXXJB4IQU56
REPUBLIC OF ZAMBIA 5.375000% 09/20/2022
N/A
1695000.00000000
PA
USD
1182842.19000000
0.074126373433
Long
DBT
NUSS
ZM
N
2
2022-09-20
Fixed
5.37500000
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2019-12-19
N/A
1.00000000
NC
USD
-243425.44000000
-0.01525498939
N/A
DFE
US
N
2
JP MORGAN
N/A
1520033000.00000000
NGN
3922665.81000000
USD
2019-12-19
-243425.44000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2027
N/A
2577000.00000000
PA
667655.21000000
0.041840627464
Long
DBT
NUSS
PL
N
2
2027-07-25
Fixed
2.50000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 4.500000% 05/30/2029
105756CA6
7341000.00000000
PA
USD
7638310.50000000
0.478677765566
Long
DBT
NUSS
BR
N
2
2029-05-30
Fixed
4.50000000
N
N
N
N
N
SHARJAH SUKUK PROGRAMME LIMITED
549300N3BQ9P6RRMVV02
SHARJAH SUKUK PROGRAM LTD MTN 3.854000% 04/03/2026
N/A
359000.00000000
PA
USD
378745.00000000
0.023735197766
Long
DBT
NUSS
KY
N
2
2026-04-03
Fixed
3.85400000
N
N
N
N
N
N
State of Kuwait
549300FSC1YD0D9XX589
KUWAIT INTL BOND 2.750000% 03/20/2022
N/A
390000.00000000
PA
USD
394875.00000000
0.024746032866
Long
DBT
NUSS
KW
N
2
2022-03-20
Fixed
2.75000000
N
N
N
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 6.757000% 11/15/2048
Y7140WAD0
1530000.00000000
PA
USD
1982577.78000000
0.124244216282
Long
DBT
NUSS
ID
N
2
2048-11-15
Fixed
6.75700000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 08/01/2029
N/A
393000.00000000
PA
USD
390752.04000000
0.024487655142
Long
DBT
NUSS
OM
N
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
MDC - GMTN B.V.
213800L53ZH5KG593W13
MDC-GMTN BV MTN 4.500000% 11/07/2028
N/A
1225000.00000000
PA
USD
1410073.00000000
0.088366477498
Long
DBT
NUSS
NL
N
2
2028-11-07
Fixed
4.50000000
N
N
N
N
N
N
INDIKA ENERGY CAPITAL III PTE. LTD
N/A
INDIKA ENERGY CAPITAL III PTE LTD 5.875000% 11/09/2024
Y39694AA5
236000.00000000
PA
USD
229973.32000000
0.014411971725
Long
DBT
NUSS
SG
N
2
2024-11-09
Fixed
5.87500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 04/25/2028
N/A
18202000.00000000
PA
4820239.55000000
0.302074849836
Long
DBT
NUSS
PL
N
2
2028-04-25
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: ARS/USD SETTLE 2019-10-09
N/A
1.00000000
NC
-232970.93000000
-0.01459982599
N/A
DFE
AR
N
2
JP MORGAN
N/A
1269554.40000000
USD
61256000.00000000
ARS
2019-10-09
-232970.93000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
56784.39000000
0.003558565068
N/A
DFE
TR
N
2
CITIGROUP GLOBAL MARKETS
N/A
5787615.28000000
USD
33010099.00000000
TRY
2019-10-03
56784.39000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.160000% 07/15/2021
N/A
15369000.00000000
PA
3736602.42000000
0.234165460701
Long
DBT
NUSS
MY
N
2
2021-07-15
Fixed
4.16000000
N
N
N
N
N
N
Ciudad de Buenos Aires
5299007MC8RF52X0ON96
CITY OF BUENOS AIRES VARIABLE RATE 02/22/2028
N/A
30497000.00000000
PA
312277.84000000
0.019569832711
Long
DBT
NUSS
AR
N
2
2028-02-22
Floating
60.44880260
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.125000% 06/15/2033
N/A
920000.00000000
PA
USD
885590.16000000
0.055498178425
Long
DBT
NUSS
CI
N
2
2033-06-15
Fixed
6.12500000
N
N
N
N
N
N/A
N/A
R214 BOND FUTURE NOV19 FINANCIAL COMMODITY FUTURE.
N/A
255.00000000
NC
1199688.18000000
0.075182078206
N/A
DIR
ZA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
South African Govt. Bond Futures
R214 Bond Future Nov 2019
2019-11-07
1341155.44000000
ZAR
-141467.26000000
N
N
N
GHANA CEDI
N/A
FX Forward Contract: GHS/USD SETTLE 2019-10-09
N/A
1.00000000
NC
15795.31000000
0.000989860741
N/A
DFE
GH
N
2
CITIGROUP GLOBAL MARKETS
N/A
183311.55000000
USD
1076772.02000000
GHS
2019-10-09
15795.31000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 8.994000% 02/01/2024
N/A
1487000.00000000
PA
USD
1630501.45000000
0.102180291157
Long
DBT
NUSS
UA
N
2
2024-02-01
Fixed
8.99400000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 7.000000% 05/22/2027
N/A
1250000.00000000
PA
USD
1296875.00000000
0.081272583409
Long
DBT
NUSS
KE
N
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2020-02-03
N/A
1.00000000
NC
77376.23000000
0.004849014829
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
1772181.12000000
USD
680163112.00000000
NGN
2020-02-03
77376.23000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-87667.38000000
-0.00549394078
N/A
DFE
CL
N
2
CITIGROUP GLOBAL MARKETS
N/A
3637912.86000000
USD
2579825908.00000000
CLP
2019-12-18
-87667.38000000
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 7.350000% 11/25/2025
N/A
39784700.00000000
PA
1823599.75000000
0.114281378534
Long
DBT
NUSS
MX
N
2
2025-11-25
Fixed
7.35000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 19.750000% 03/25/2024
N/A
5311000.00000000
PA
992428.10000000
0.062193500171
Long
DBT
NUSS
GH
N
2
2024-03-25
Fixed
19.75000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
65590900.00000000
PA
3741412.04000000
0.234466870045
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
4444.79000000
0.000278546171
N/A
DFE
US
N
2
JP MORGAN
N/A
930628.26000000
SGD
678194.70000000
USD
2019-12-18
4444.79000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 9.625000% 06/02/2027
N/A
777000.00000000
PA
USD
807116.52000000
0.050580391088
Long
DBT
NUSS
EC
N
2
2027-06-02
Fixed
9.62500000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT
529900LIZJABE4JJS826
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT 144A 5.000000% 07/27/2027
06675QAB9
865000.00000000
PA
USD
918630.00000000
0.057568719651
Long
DBT
NUSS
XX
Y
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-625.11000000
-0.00003917440
N/A
DFE
MY
N
2
STANDARD BANK
N/A
455723.04000000
USD
1907337.63000000
MYR
2019-12-18
-625.11000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.350000% 08/12/2028
N/A
1570000.00000000
PA
540434.96000000
0.033867986786
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
EMGESA S.A. ESP.
2549007VY3IWUVGW7A82
EMGESA SA ESP 8.750000% 01/25/2021
N/A
870000000.00000000
PA
259490.20000000
0.016261736037
Long
DBT
NUSS
CO
N
2
2021-01-25
Fixed
8.75000000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.125000% 03/11/2039
N/A
528000.00000000
PA
701603.47000000
0.043968097569
Long
DBT
NUSS
RO
N
2
2039-03-11
Fixed
4.12500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.825000% 07/18/2026
Y8137FAF5
500000.00000000
PA
USD
494190.06000000
0.030969910647
Long
DBT
NUSS
LK
N
2
2026-07-18
Fixed
6.82500000
N
N
N
N
N
N
ABY TRANSMISION SUR S.A.
549300PQCSQSSZTVDH16
ABY TRANSMISION SUR SA 144A 6.875000% 04/30/2043
00289LAA3
268632.00000000
PA
USD
332770.58000000
0.020854072072
Long
DBT
NUSS
PE
Y
2
2043-04-30
Fixed
6.87500000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-6700.49000000
-0.00041990641
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
372714.70000000
USD
111871492.03000000
HUF
2019-12-18
-6700.49000000
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
ISLAMIC REP OF PAKISTAN 6.875000% 12/05/2027
N/A
1328000.00000000
PA
USD
1308412.00000000
0.081995584311
Long
DBT
NUSS
PK
Y
2
2027-12-05
Fixed
6.87500000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 18.200000% 10/03/2021
QZ7003432
5928453.00000000
PA
27729.82000000
0.001737772806
Long
DBT
NUSS
AR
N
2
2021-10-03
Fixed
18.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
1397.38000000
0.000087571032
N/A
DFE
US
N
2
JP MORGAN
N/A
1130000.00000000
ZAR
75191.08000000
USD
2019-12-18
1397.38000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
46500000.00000000
NC
-48045.72000000
-0.00301092995
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-03-17
0.00000000
MXN
0.00000000
MXN
-46500000.00000000
MXN
-48045.72000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.750000% 03/22/2024
900123CF5
683000.00000000
PA
USD
680442.85000000
0.042642003494
Long
DBT
NUSS
TR
N
2
2024-03-22
Fixed
5.75000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-17
N/A
1.00000000
NC
-58943.07000000
-0.00369384526
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1189611.91000000
USD
4714432.00000000
BRL
2019-10-17
-58943.07000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2021
N/A
316000.00000000
PA
USD
328707.62000000
0.020599454429
Long
DBT
NUSS
UA
N
2
2021-09-01
Fixed
7.75000000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2019-10-15
N/A
1.00000000
NC
7173.06000000
0.000449521439
N/A
DFE
PH
N
2
JP MORGAN
N/A
2457088.13000000
USD
127744012.00000000
PHP
2019-10-15
7173.06000000
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP PAY: 6-MONTH PLN - WIBOR
N/A
11000000.00000000
NC
42833.22000000
0.002684272921
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2021-12-14
0.00000000
PLN
0.00000000
PLN
-11000000.00000000
PLN
42833.22000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 7.375000% 09/18/2037
195325BK0
1091000.00000000
PA
USD
1553322.16000000
0.097343618167
Long
DBT
NUSS
CO
N
2
2037-09-18
Fixed
7.37500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 08/15/2032
N/A
26770000000.00000000
PA
1867110.85000000
0.117008132851
Long
DBT
NUSS
ID
N
2
2032-08-15
Fixed
7.50000000
N
N
N
N
N
N
TURKIYE CUMHURIYETI ZIRAAT BANKASI ANONIM SIRKETI
213800K5KTZFSUS8MR51
TC ZIRAAT BANKASI AS MTN 5.125000% 09/29/2023
90014TAC5
655000.00000000
PA
USD
614062.50000000
0.038482078650
Long
DBT
NUSS
TR
Y
2
2023-09-29
Fixed
5.12500000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
Argentina Treasury Bond BONCER 2.500000% 07/22/2021
N/A
2000000.00000000
PA
32337.15000000
0.002026505037
Long
DBT
NUSS
XX
N
2
2021-07-22
Fixed
2.50000000
N
N
N
N
N
N
TRADE AND DEVELOPMENT BANK OF MONGOLIA LLC
549300O080RZNQXWR806
TRADE & DEVELOPMENT BANK OF MONGOLIA LLC MTN 9.375000% 05/19/2020
89253YAA0
350000.00000000
PA
USD
358733.03000000
0.022481087307
Long
DBT
NUSS
MN
N
2
2020-05-19
Fixed
9.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-6233.76000000
-0.00039065737
N/A
DFE
US
N
2
JP MORGAN
N/A
3348660.00000000
PEN
981148.55000000
USD
2019-12-18
-6233.76000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-3391.83000000
-0.00021255925
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
290679.20000000
USD
261959.88000000
EUR
2019-12-18
-3391.83000000
N
N
N
TURKIYE SISE VE CAM FABRIKALARI ANONIM SIRKETI
789000KWOK751Q6R8875
TURKIYE SISE VE CAM FABRIKALARI AS 144A 6.950000% 03/14/2026
90016AAB6
500000.00000000
PA
USD
513750.00000000
0.032195693283
Long
DBT
NUSS
TR
Y
2
2026-03-14
Fixed
6.95000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA MTN 7.500000% 06/15/2035
ZR7661609
63788000000.00000000
PA
4432387.48000000
0.277768930060
Long
DBT
CORP
US
N
3
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Magyarorszag
5299008DH62LEB10JK83
HUNGARY GOVERNMENT BOND 3.000000% 10/27/2027
N/A
3041400000.00000000
PA
10958224.26000000
0.686730174605
Long
DBT
NUSS
HU
N
2
2027-10-27
Fixed
3.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.9225%
N/A
42601696.00000000
NC
-19012.48000000
-0.00119147440
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-08-31
0.00000000
MXN
0.00000000
MXN
-42601696.00000000
MXN
-19012.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-28990.56000000
-0.00181678088
N/A
DFE
US
N
2
JP MORGAN
N/A
103181106.75000000
INR
1418102.07000000
USD
2019-12-18
-28990.56000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-42021.04000000
-0.00263337521
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1513910.93000000
USD
1350000.00000000
EUR
2019-10-03
-42021.04000000
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 8.250000% 02/28/2048
N/A
660000.00000000
PA
USD
673479.84000000
0.042205645471
Long
DBT
NUSS
KE
N
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2020-02-19
N/A
1.00000000
NC
USD
-36153.36000000
-0.00226565934
N/A
DFE
US
N
2
JP MORGAN
N/A
5804237054.00000000
UGX
1501743.09000000
USD
2020-02-19
-36153.36000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 7.875000% 01/23/2028
N/A
2004000.00000000
PA
USD
1898810.04000000
0.118994658201
Long
DBT
NUSS
EC
N
2
2028-01-23
Fixed
7.87500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.650000% 06/20/2031
N/A
84500000.00000000
PA
3394389.09000000
0.212719630219
Long
DBT
NUSS
TH
N
2
2031-06-20
Fixed
3.65000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-327.98000000
-0.00002055385
N/A
DFE
MY
N
2
STANDARD BANK
N/A
261878.51000000
USD
1096171.05000000
MYR
2019-12-18
-327.98000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VEN 5.375% 04/12/2027
N/A
4563300.00000000
PA
USD
365064.00000000
0.022877836637
Long
DBT
NUSS
VE
N
2
2027-04-12
Fixed
5.37500000
Y
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 6.750000% 08/06/2023
29646AAA4
388000.00000000
PA
USD
398396.07000000
0.024966691338
Long
DBT
NUSS
ZA
Y
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
ISLAMIC REP OF PAKISTAN 7.875000% 03/31/2036
Y8793YAL6
200000.00000000
PA
USD
199700.00000000
0.012514802819
Long
DBT
NUSS
PK
N
2
2036-03-31
Fixed
7.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
15997.49000000
0.001002530961
N/A
DFE
US
N
2
JP MORGAN
N/A
1887527.00000000
EUR
2086019.34000000
USD
2019-12-18
15997.49000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 3.380000% 12/31/2038
N/A
8640000.00000000
PA
3587833.33000000
0.224842396971
Long
DBT
NUSS
AR
N
2
2038-12-31
Floating
3.38000040
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
11724600000.00000000
PA
3410934.32000000
0.213756486960
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2019-10-15
N/A
1.00000000
NC
USD
8946.72000000
0.000560673193
N/A
DFE
US
N
2
JP MORGAN
N/A
18943569.00000000
CNY
2665803.70000000
USD
2019-10-15
8946.72000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 7 DAY CNRR007 (CNY)
N/A
25760306.59000000
NC
-9552.28000000
-0.00059862243
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-07-05
0.00000000
CNY
0.00000000
CNY
-25760306.59000000
CNY
-9552.28000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.950000% 01/25/2027
P3579EBV8
638000.00000000
PA
USD
689843.88000000
0.043231147394
Long
DBT
NUSS
DO
N
2
2027-01-25
Fixed
5.95000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 6.825000% 07/18/2026
85227SAR7
1584000.00000000
PA
USD
1565594.09000000
0.098112675674
Long
DBT
NUSS
LK
Y
2
2026-07-18
Fixed
6.82500000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 6.200000% 02/28/2030
N/A
358000.00000000
PA
USD
376488.55000000
0.023593790521
Long
DBT
NUSS
BY
N
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.375000% 12/01/2019
P01012AQ9
1290000.00000000
PA
USD
1293225.00000000
0.081043845150
Long
DBT
NUSS
SV
N
2
2019-12-01
Fixed
7.37500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2027
N/A
24002000.00000000
PA
6748920.84000000
0.422941480014
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 8.250000% 03/31/2032
N/A
57695056.00000000
PA
3506534.62000000
0.219747568102
Long
DBT
NUSS
ZA
N
2
2032-03-31
Fixed
8.25000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-11-04
N/A
1.00000000
NC
-13271.46000000
-0.00083169606
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
996070.70000000
USD
4102616.00000000
BRL
2019-11-04
-13271.46000000
N
N
N
Transportadora de Gas del Sur S.A.
5299002TRC7IFQYSW596
TRANSPORTADORA DE GAS DEL SUR SA 144A 6.750000% 05/02/2025
893870AX3
238000.00000000
PA
USD
208250.00000000
0.013050614357
Long
DBT
NUSS
AR
Y
2
2025-05-02
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2019-10-23
N/A
1.00000000
NC
USD
23632.46000000
0.001480999384
N/A
DFE
US
N
2
JP MORGAN
N/A
7744000.00000000
PEN
2311365.81000000
USD
2019-10-23
23632.46000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 4.625000% 01/11/2023
040114HP8
3258000.00000000
PA
USD
1356989.58000000
0.085039844878
Long
DBT
NUSS
AR
N
2
2023-01-11
Fixed
4.62500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 4.125000% 01/15/2025
Y20721BG3
1600000.00000000
PA
USD
1702548.93000000
0.106695363795
Long
DBT
NUSS
ID
N
2
2025-01-15
Fixed
4.12500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-11-01
N/A
1.00000000
NC
-4032.17000000
-0.00025268809
N/A
DFE
XX
N
2
JP MORGAN
N/A
323652.63000000
USD
6343667.00000000
MXN
2019-11-01
-4032.17000000
N
N
N
N/A
N/A
SEI LIQUIDITY FUND
N/A
82029451.07000000
NS
USD
82022457.48000000
5.140184687805
Long
EC
US
N
2
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
Ivory Coast Government International Bond 6.625000% 03/22/2048
AR7769417
271000.00000000
PA
298488.21000000
0.018705663956
Long
DBT
CORP
XX
Y
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
BRAZIL LOAN TRUST 1
N/A
BRAZIL LOAN TRUST 1 144A 5.477000% 07/24/2023
105859AA0
1375707.59000000
PA
USD
1430735.89000000
0.089661379822
Long
DBT
CORP
US
Y
2
2023-07-24
Fixed
5.47700000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.500000% 08/18/2021
N/A
21285000.00000000
PA
333841.44000000
0.020921180744
Long
DBT
NUSS
RU
N
2
2021-08-18
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-11-01
N/A
1.00000000
NC
USD
13971.31000000
0.000875554280
N/A
DFE
US
N
2
JP MORGAN
N/A
9284248.00000000
MXN
481750.53000000
USD
2019-11-01
13971.31000000
N
N
N
International Bank for Reconstruction and Development
ZTMSNXROF84AHWJNKQ93
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMEN 7.450000% 08/20/2021
N/A
10914700000.00000000
PA
775985.58000000
0.048629476838
Long
DBT
NUSS
XX
N
2
2021-08-20
Fixed
7.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
529.41000000
0.000033177074
N/A
DFE
US
N
2
JP MORGAN
N/A
349422.38000000
SGD
253501.84000000
USD
2019-12-18
529.41000000
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 8.750000% 01/31/2044
N/A
52605377.00000000
PA
3089535.91000000
0.193615086220
Long
DBT
NUSS
ZA
N
2
2044-01-31
Fixed
8.75000000
N
N
N
N
N
N
1MDB Global Investments Limited
N/A
1MDB GLOBAL INVESTMENTS 4.4% 03/09/2023
N/A
8600000.00000000
PA
USD
8228388.07000000
0.515656756237
Long
DBT
NUSS
XX
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 5.000000% 10/12/2046
836205AV6
357000.00000000
PA
USD
334421.89000000
0.020957556394
Long
DBT
NUSS
ZA
N
2
2046-10-12
Fixed
5.00000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 7.850000% 03/14/2029
85227SAZ9
408000.00000000
PA
USD
410064.83000000
0.025697949377
Long
DBT
NUSS
LK
Y
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
USD CALL HKD PUT
N/A
USD CALL HKD PUT EXPIRATION: 9/1/2020
N/A
26834317.00000000
NC
USD
126040.62000000
0.007898715606
N/A
DO
US
N
3
JPM CHASE
N/A
Call
Purchased
N/A
N/A
26834317.00000000
7.85120000
USD
2020-09-01
XXXX
-153036.28000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 6.500000% 11/28/2027
65412JAC7
2480000.00000000
PA
USD
2506486.40000000
0.157076530127
Long
DBT
NUSS
NG
Y
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
75955700.00000000
NC
-66319.04000000
-0.00415608266
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-09-12
0.00000000
MXN
0.00000000
MXN
-75955700.00000000
MXN
-66319.04000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 5.103000% 04/23/2048
N/A
2005000.00000000
PA
USD
2561387.50000000
0.160517073147
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 6.500000% 02/28/2041
N/A
6319000.00000000
PA
292976.55000000
0.018360259159
Long
DBT
NUSS
ZA
N
2
2041-02-28
Fixed
6.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 04/15/2039
N/A
152918000000.00000000
PA
11341463.22000000
0.710746999929
Long
DBT
NUSS
ID
N
2
2039-04-15
Fixed
8.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2019-11-20
N/A
1.00000000
NC
USD
-75347.91000000
-0.00472190403
N/A
DFE
US
N
2
JP MORGAN
N/A
358027116.58000000
NGN
909806.66000000
USD
2019-11-20
-75347.91000000
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 7.000000% 03/16/2047
86964WAB8
399000.00000000
PA
USD
454860.00000000
0.028505173813
Long
DBT
NUSS
AT
Y
2
2047-03-16
Fixed
7.00000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2027
903724AU6
866000.00000000
PA
USD
900605.36000000
0.056439151220
Long
DBT
NUSS
UA
Y
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN BOND MTN 5.375000% 02/20/2029
N/A
1233000.00000000
PA
USD
1353217.50000000
0.084803456107
Long
DBT
NUSS
UZ
N
2
2029-02-20
Fixed
5.37500000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 01/23/2028
N/A
516000.00000000
PA
USD
488915.16000000
0.030639343129
Long
DBT
NUSS
EC
Y
2
2028-01-23
Fixed
7.87500000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.750000% 12/31/2032
N/A
3792440.00000000
PA
USD
3719738.93000000
0.233108659238
Long
DBT
NUSS
CI
N
2
2032-12-31
Fixed
5.75000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-10-21
N/A
1.00000000
NC
33879.72000000
0.002123174839
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
2786120.03000000
USD
42867566.00000000
ZAR
2019-10-21
33879.72000000
N
N
N
BANCO NACIONAL DE COMERCIO EXTERIOR, SOCIEDAD NACIONAL DE CREDITO
N/A
BANCO NACIONAL DE COMERCIO EXTERIOR SNC/CAYMAN ISL 3.800000% 08/11/2026
05970AAB8
1685000.00000000
PA
USD
1703973.10000000
0.106784613703
Long
DBT
NUSS
MX
Y
2
2026-08-11
Fixed
3.80000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.2% 08/12/2026
715638AY8
11712000.00000000
PA
4391940.09000000
0.275234172371
Long
DBT
NUSS
XX
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.550000% 03/14/2037
715638AU6
520000.00000000
PA
USD
759855.20000000
0.047618617924
Long
DBT
NUSS
PE
N
2
2037-03-14
Fixed
6.55000000
N
N
N
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 5.875000% 09/18/2023
279158AC3
836000.00000000
PA
USD
930886.00000000
0.058336778856
Long
DBT
NUSS
CO
N
2
2023-09-18
Fixed
5.87500000
N
N
N
N
N
N
Republika Crna Gora
5493002R4X8WZY3J8573
REPUBLIC OF MONTENEGRO 3.375000% 04/21/2025
N/A
230000.00000000
PA
268592.44000000
0.016832155360
Long
DBT
NUSS
ME
Y
2
2025-04-21
Fixed
3.37500000
N
N
N
N
N
N
Empresa Electrica Angamos S.A.
529900PQ7VWZL30RZ733
EMPRESA ELECTRICA ANGAMOS SA 144A 4.875000% 05/25/2029
29246TAA7
1150348.50000000
PA
USD
1201780.66000000
0.075313209777
Long
DBT
NUSS
CL
Y
2
2029-05-25
Fixed
4.87500000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2019-10-24
N/A
1.00000000
NC
7437.62000000
0.000466100890
N/A
DFE
IN
N
2
STANDARD CHARTERED BANK
N/A
2512996.52000000
USD
178862527.00000000
INR
2019-10-24
7437.62000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 7.500000% 03/31/2030
N/A
2382.00000000
PA
USD
2710.84000000
0.000169882964
Long
DBT
NUSS
RU
N
2
2030-03-31
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-12-03
N/A
1.00000000
NC
USD
10758.14000000
0.000674191290
N/A
DFE
US
N
2
JP MORGAN
N/A
2431656.00000000
BRL
592436.59000000
USD
2019-12-03
10758.14000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 4.750000% 02/11/2029
455780CH7
985000.00000000
PA
USD
1120408.18000000
0.070213757888
Long
DBT
NUSS
ID
N
2
2029-02-11
Fixed
4.75000000
N
N
N
N
N
N
Mexico City Airport Trust
N/A
MEXICO CITY AIRPORT TRUST 144A 5.500000% 07/31/2047
59284MAD6
715000.00000000
PA
USD
709208.50000000
0.044444689712
Long
DBT
NUSS
MX
Y
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2020-02-03
N/A
1.00000000
NC
USD
-86038.01000000
-0.00539183139
N/A
DFE
US
N
2
JP MORGAN
N/A
681434000.00000000
NGN
1766975.24000000
USD
2020-02-03
-86038.01000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2019-10-30
N/A
1.00000000
NC
-1777.24000000
-0.00011137610
N/A
DFE
TH
N
2
BT BROKERAGE CORP
N/A
699967.20000000
USD
21338500.00000000
THB
2019-10-30
-1777.24000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 01/26/2026
05674RAF1
295000.00000000
PA
USD
331070.24000000
0.020747515138
Long
DBT
NUSS
BH
Y
2
2026-01-26
Fixed
7.00000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BNQ CEN TUNISIA INT BOND 6.375000% 07/15/2026
N/A
472000.00000000
PA
497234.81000000
0.031160719090
Long
DBT
NUSS
TN
N
2
2026-07-15
Fixed
6.37500000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 5.000000% 04/17/2049
80413TAJ8
1360000.00000000
PA
USD
1635780.80000000
0.102511137548
Long
DBT
NUSS
SA
Y
2
2049-04-17
Fixed
5.00000000
N
N
N
N
N
N
VEB FINANCE PUBLIC LIMITED COMPANY
635400KYY8E2NCZXJ191
VEB FINANCE 6.8% 11/22/2025
N/A
580000.00000000
PA
USD
671251.40000000
0.042065993557
Long
DBT
NUSS
XX
N
2
2025-11-22
Fixed
6.80000000
N
N
N
N
N
N
CSN Resources S.A.
222100ZEX458NMOXZP08
CSN RESOURCES SA 144A 7.625000% 02/13/2023
12644VAB4
694000.00000000
PA
USD
724362.50000000
0.045394360828
Long
DBT
NUSS
LU
Y
2
2023-02-13
Fixed
7.62500000
N
N
N
N
N
N
N/A
N/A
R208 BOND FUTURE NOV19 FINANCIAL COMMODITY FUTURE.
N/A
114.00000000
NC
759328.42000000
0.047585605667
N/A
DIR
ZA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R208 Bond Future Nov 2019
2019-11-07
838154.18000000
ZAR
-78825.76000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2019-10-16
N/A
1.00000000
NC
35206.28000000
0.002206307722
N/A
DFE
TH
N
2
BT BROKERAGE CORP
N/A
3721898.78000000
USD
114868962.00000000
THB
2019-10-16
35206.28000000
N
N
N
Provincia de Buenos Aires
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE 7.875000% 06/15/2027
N/A
2762000.00000000
PA
USD
994320.00000000
0.062312061791
Long
DBT
NUSS
AR
N
2
2027-06-15
Fixed
7.87500000
N
N
N
N
N
N
Republic of Kazakhstan
5493007OEK8EF02UO833
KAZAKHSTAN GOVERNMENT INTERNATIONAL BOND MTN 2.375000% 11/09/2028
N/A
556000.00000000
PA
682645.99000000
0.042780069907
Long
DBT
NUSS
KZ
N
2
2028-11-09
Fixed
2.37500000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-69948.85000000
-0.00438355565
N/A
DFE
TH
N
2
BT BROKERAGE CORP
N/A
9391408.57000000
USD
284587854.00000000
THB
2019-12-18
-69948.85000000
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 4.500000% 06/17/2024
N/A
8245000.00000000
PA
1939690.07000000
0.121556528580
Long
DBT
NUSS
RO
N
2
2024-06-17
Fixed
4.50000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2019-12-17
N/A
1.00000000
NC
2233.48000000
0.000139967760
N/A
DFE
XX
N
2
BT BROKERAGE CORP
N/A
4380477.39000000
EUR
20920248.00000000
RON
2019-12-17
2233.48000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-17
N/A
1.00000000
NC
-112748.62000000
-0.00706573233
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2750894.04000000
USD
11000000.00000000
BRL
2019-10-17
-112748.62000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-46.39000000
-0.00000290716
N/A
DFE
MY
N
2
STANDARD BANK
N/A
229051.67000000
USD
959772.29000000
MYR
2019-12-18
-46.39000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 7.125000% 02/11/2025
N/A
1430000.00000000
PA
USD
1471547.22000000
0.092218944908
Long
DBT
NUSS
ZA
N
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 6.875000% 01/26/2027
040114HL7
1320000.00000000
PA
USD
553093.20000000
0.034661253575
Long
DBT
NUSS
AR
N
2
2027-01-26
Fixed
6.87500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 6.300000% 06/22/2048
836205AZ7
964000.00000000
PA
USD
1041370.64000000
0.065260632057
Long
DBT
NUSS
ZA
N
2
2048-06-22
Fixed
6.30000000
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-11427.99000000
-0.00071616946
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
783521.39000000
USD
704025.00000000
EUR
2019-12-18
-11427.99000000
N
N
N
Republic of Armenia
5299000H77JSW90G7935
REPUBLIC OF ARMENIA 3.950000% 09/26/2029
N/A
758000.00000000
PA
USD
742343.81000000
0.046521213853
Long
DBT
NUSS
AM
N
2
2029-09-26
Fixed
3.95000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 5.100000% 07/15/2050
AW8539859
75000000.00000000
PA
142190.88000000
0.008910820360
Long
DBT
NUSS
CL
N
2
2050-07-15
Fixed
5.10000000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.875000% 10/29/2035
N/A
140000.00000000
PA
183154.18000000
0.011477909105
Long
DBT
NUSS
RO
N
2
2035-10-29
Fixed
3.87500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 10.000000% 07/24/2024
N/A
27897700000.00000000
PA
9667044.38000000
0.605814493067
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT 6.250000% 01/19/2027
P5178RAC2
326000.00000000
PA
USD
352490.76000000
0.022089896630
Long
DBT
NUSS
HN
N
2
2027-01-19
Fixed
6.25000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 6.850000% 01/27/2045
25714PCW6
479000.00000000
PA
USD
533486.25000000
0.033432524916
Long
DBT
NUSS
DO
Y
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA REPUBLIC 7.25% 9/28/2021
N/A
2697000.00000000
PA
USD
2946472.50000000
0.184649586136
Long
DBT
NUSS
XX
N
2
2021-09-28
Fixed
7.25000000
N
N
N
N
N
N
AZARBAYJAN RESPUBLIKASI DOVLAT NEFT SHIRKATI
2549002HARR1VE257O76
STATE OIL CO OF THE AZERBAIJAN REPUBLIC 6.950000% 03/18/2030
N/A
611000.00000000
PA
USD
730145.00000000
0.045756738632
Long
DBT
NUSS
AZ
N
2
2030-03-18
Fixed
6.95000000
N
N
N
N
N
N
PETROAMAZONAS ECUADOR S.A.
N/A
PETROAMAZONAS EP 144A 4.625000% 02/16/2020
50284PAA4
158333.31000000
PA
USD
157937.48000000
0.009897628543
Long
DBT
NUSS
EC
Y
2
2020-02-16
Fixed
4.62500000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2019-12-18
N/A
1.00000000
NC
29917.02000000
0.001874840291
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
5114973.19000000
USD
337301792.00000000
RUB
2019-12-18
29917.02000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2019-10-23
N/A
1.00000000
NC
-24080.31000000
-0.00150906525
N/A
DFE
CO
N
2
J P MORGAN CHASE BANK
N/A
884367.07000000
USD
2993582518.00000000
COP
2019-10-23
-24080.31000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-106458.30000000
-0.00667153046
N/A
DFE
TH
N
2
BT BROKERAGE CORP
N/A
13520266.23000000
USD
409528864.00000000
THB
2019-12-18
-106458.30000000
N
N
N
VOTORANTIM CIMENTOS S.A.
LXVM6T3LO7QIZ8LUZ688
VOTORANTIM CIMENTOS INTERNATIONAL SA 7.250000% 04/05/2041
P98088AA8
940000.00000000
PA
USD
1181580.00000000
0.074047274490
Long
DBT
NUSS
LU
N
2
2041-04-05
Fixed
7.25000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 5.750000% 01/26/2021
N/A
665000.00000000
PA
USD
669567.22000000
0.041960449338
Long
DBT
NUSS
ZA
N
2
2021-01-26
Fixed
5.75000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND ZERO COUPON 07/25/2020
N/A
10140000.00000000
PA
2503500.99000000
0.156889440405
Long
DBT
NUSS
PL
N
2
2020-07-25
Fixed
0.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
9867180.00000000
NC
25206.87000000
0.001579664535
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-9867180.00000000
BRL
25206.87000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 17.000000% 05/11/2022
N/A
71848000.00000000
PA
3036356.61000000
0.190282444990
Long
DBT
NUSS
UA
N
2
2022-05-11
Fixed
17.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
10774.55000000
0.000675219673
N/A
DFE
US
N
2
JP MORGAN
N/A
50889083520.00000000
IDR
3564410.14000000
USD
2019-12-18
10774.55000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-8945.37000000
-0.00056058859
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
759468.57000000
USD
688371.00000000
EUR
2019-10-03
-8945.37000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 01/17/2048
682051AJ6
808000.00000000
PA
USD
761540.00000000
0.047724200998
Long
DBT
NUSS
OM
Y
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.500000% 01/25/2050
168863DL9
2627000.00000000
PA
USD
2830592.50000000
0.177387616427
Long
DBT
NUSS
CL
N
2
2050-01-25
Fixed
3.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.625000% 05/15/2023
N/A
121661000000.00000000
PA
8327286.20000000
0.521854505842
Long
DBT
NUSS
ID
N
2
2023-05-15
Fixed
5.62500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 19.000000% 11/02/2026
N/A
11055000.00000000
PA
1987297.26000000
0.124539976730
Long
DBT
NUSS
GH
N
2
2026-11-02
Fixed
19.00000000
N
N
N
N
N
N
Jamaica
529900Y93KNSXZI8KK56
GOVERNMENT OF JAMAICA 7.875000% 07/28/2045
470160CB6
3056000.00000000
PA
USD
3995750.56000000
0.250405760517
Long
DBT
NUSS
JM
N
2
2045-07-28
Fixed
7.87500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
8109783.00000000
NC
21227.93000000
0.001330312259
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-04-20
0.00000000
MXN
0.00000000
MXN
-8109783.00000000
MXN
21227.93000000
N
N
N
Magyarorszag
5299008DH62LEB10JK83
HUNGARY GOVERNMENT BOND 2.500000% 10/24/2024
N/A
653680000.00000000
PA
2273242.37000000
0.142459589494
Long
DBT
NUSS
HU
N
2
2024-10-24
Fixed
2.50000000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2019-10-23
N/A
1.00000000
NC
3851.58000000
0.000241370877
N/A
DFE
PH
N
2
JP MORGAN
N/A
472056.94000000
USD
24673000.00000000
PHP
2019-10-23
3851.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-387716.57000000
-0.02429742825
N/A
DFE
US
N
2
JP MORGAN
N/A
14735065.46000000
TRY
2162151.94000000
USD
2019-12-18
-387716.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-24281.64000000
-0.00152168220
N/A
DFE
US
N
2
JP MORGAN
N/A
70023612.43000000
INR
957784.33000000
USD
2019-12-18
-24281.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
72446.41000000
0.004540072789
N/A
DFE
US
N
2
JP MORGAN
N/A
322718546.00000000
TWD
10530527.51000000
USD
2019-12-18
72446.41000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-39481.93000000
-0.00247425422
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
2830968.87000000
USD
66101000.00000000
CZK
2019-10-03
-39481.93000000
N
N
N
CHINA MINMETALS CORPORATION
3003002ULBI4T3DT7Z09
CHINA MINMETALS CORP 4.450000% MATURITY: PERPETUAL
N/A
640000.00000000
PA
USD
649907.46000000
0.040728411181
Long
DBT
NUSS
CN
N
2
2167-11-13
Fixed
4.45000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.250000% 04/14/2026
900123CJ7
338000.00000000
PA
USD
304510.96000000
0.019083097750
Long
DBT
NUSS
TR
N
2
2026-04-14
Fixed
4.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
2368423.00000000
NC
46262.04000000
0.002899150268
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-2368423.00000000
BRL
46262.04000000
N
N
N
Republica de Costa Rica
N/A
REPUBLIC OF COSTA RICA 7% 04/04/2044
N/A
230000.00000000
PA
USD
227989.80000000
0.014287668462
Long
DBT
NUSS
XX
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2019-12-04
N/A
1.00000000
NC
41808.96000000
0.002620084579
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
1253178.15000000
USD
84717349.00000000
RUB
2019-12-04
41808.96000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 7.375000% 02/05/2025
900123AW0
655000.00000000
PA
USD
695695.15000000
0.043597834876
Long
DBT
NUSS
TR
N
2
2025-02-05
Fixed
7.37500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.600300% 03/01/2029
N/A
1550000.00000000
PA
USD
1640148.00000000
0.102784821308
Long
DBT
NUSS
EG
N
2
2029-03-01
Fixed
7.60030000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 06/17/2046
N/A
3431000.00000000
PA
140286.69000000
0.008791488550
Long
DBT
NUSS
TH
N
2
2046-06-17
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2019-11-20
N/A
1.00000000
NC
USD
-37673.96000000
-0.00236095233
N/A
DFE
US
N
2
JP MORGAN
N/A
179013558.29000000
NGN
454903.33000000
USD
2019-11-20
-37673.96000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.350000% 01/15/2047
91087BAB6
1763000.00000000
PA
USD
1818499.24000000
0.113961739692
Long
DBT
NUSS
MX
N
2
2047-01-15
Fixed
4.35000000
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 5.670000% 03/13/2028
N/A
3000000.00000000
PA
130496.33000000
0.008177946112
Long
DBT
NUSS
TH
N
2
2028-03-13
Fixed
5.67000000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 9.000000% 11/17/2021
P7807HAP0
4300000.00000000
PA
USD
344000.00000000
0.021557797546
Long
DBT
NUSS
VE
N
2
2021-11-17
Fixed
9.00000000
Y
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: ARS/USD SETTLE 2019-10-04
N/A
1.00000000
NC
54684.94000000
0.003426996701
N/A
DFE
AR
N
2
JP MORGAN
N/A
371735.54000000
USD
24739000.00000000
ARS
2019-10-04
54684.94000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3-MONTH MOSCOW PRIME OFFERED RATE - RUB
N/A
1020769995.00000000
NC
16737.68000000
0.001048917200
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-06-10
0.00000000
RUB
0.00000000
RUB
-1020769995.00000000
RUB
16737.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-21277.62000000
-0.00133342623
N/A
DFE
US
N
2
JP MORGAN
N/A
69868349.43000000
INR
958610.82000000
USD
2019-12-18
-21277.62000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 11/15/2026
P7807HAR6
13215353.00000000
PA
USD
1057228.24000000
0.066254396390
Long
DBT
NUSS
XX
N
2
2026-11-15
Fixed
6.00000000
Y
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-12-04
N/A
1.00000000
NC
-17334.26000000
-0.00108630368
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1466534.12000000
USD
1323204.00000000
EUR
2019-12-04
-17334.26000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.625000% 03/22/2048
N/A
1552000.00000000
PA
1709423.28000000
0.107126165672
Long
DBT
NUSS
CI
N
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 2.125000% 09/30/2024
29135LAD2
3292000.00000000
PA
USD
3272248.00000000
0.205065290422
Long
DBT
NUSS
AE
Y
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 6.625000% 07/14/2020
N/A
2080000.00000000
PA
USD
2146064.96000000
0.134489633514
Long
DBT
NUSS
HR
N
2
2020-07-14
Fixed
6.62500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 9.000000% 01/31/2040
N/A
119298065.00000000
PA
7262488.53000000
0.455125748291
Long
DBT
NUSS
ZA
N
2
2040-01-31
Fixed
9.00000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE REC: 0.81%
N/A
75000000.00000000
NC
1216.64000000
0.000076244415
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2024-09-12
0.00000000
HUF
0.00000000
HUF
-75000000.00000000
HUF
1216.64000000
N
N
N
Estado Plurinacional de Bolivia
529900TGIRPY3SZXEB56
BOLIVIA GOVERNMENT 4.500000% 03/20/2028
P37878AC2
1201000.00000000
PA
USD
1139749.00000000
0.071425808708
Long
DBT
NUSS
BO
N
2
2028-03-20
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-4015.36000000
-0.00025163464
N/A
DFE
US
N
2
JP MORGAN
N/A
3550000.00000000
BRL
848186.55000000
USD
2019-10-03
-4015.36000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.418000% 08/15/2022
N/A
10450000.00000000
PA
2515851.20000000
0.157663403564
Long
DBT
NUSS
MY
N
2
2022-08-15
Fixed
3.41800000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.906000% 07/15/2026
N/A
12945000.00000000
PA
3196150.49000000
0.200296410438
Long
DBT
NUSS
MY
N
2
2026-07-15
Fixed
3.90600000
N
N
N
N
N
N
N/A
N/A
R2032 BOND FUTURE NOV19 FINANCIAL COMMODITY FUTURE.
N/A
502.00000000
NC
3073861.30000000
0.192632789508
N/A
DIR
ZA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2032 Bond Future Nov 2019
2019-11-07
3435604.98000000
ZAR
-361743.68000000
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 4.750000% 03/13/2028
N/A
1135000.00000000
PA
1284351.87000000
0.080487783696
Long
DBT
NUSS
SN
N
2
2028-03-13
Fixed
4.75000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.250000% 03/22/2030
N/A
1578000.00000000
PA
1726792.29000000
0.108214647070
Long
DBT
NUSS
CI
N
2
2030-03-22
Fixed
5.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4197.30000000
0.000263036464
N/A
DFE
US
N
2
JP MORGAN
N/A
282934.00000000
EUR
312677.07000000
USD
2019-10-03
4197.30000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.659000% 10/15/2020
N/A
1419000.00000000
PA
340715.76000000
0.021351980741
Long
DBT
NUSS
MY
N
2
2020-10-15
Fixed
3.65900000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 7.000000% 10/12/2028
N/A
406000.00000000
PA
USD
455204.76000000
0.028526779238
Long
DBT
NUSS
BH
N
2
2028-10-12
Fixed
7.00000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-117045.43000000
-0.00733500489
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
4512922.60000000
USD
67313896.00000000
ZAR
2019-12-18
-117045.43000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.900000% 05/23/2029
N/A
481563000.00000000
PA
7422152.59000000
0.465131578177
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 04/20/2023
N/A
13915000.00000000
PA
3382742.68000000
0.211989772810
Long
DBT
NUSS
MY
N
2
2023-04-20
Fixed
3.75700000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 9.200000% 09/22/2021
N/A
9386520.00000000
PA
1546826.68000000
0.096936559321
Long
DBT
NUSS
TR
N
2
2021-09-22
Fixed
9.20000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.795000% 09/30/2022
N/A
3200000.00000000
PA
778251.27000000
0.048771463136
Long
DBT
NUSS
MY
N
2
2022-09-30
Fixed
3.79500000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-146.00000000
NC
-27735320.41000000
-1.73811750663
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-Bund Future Dec 2019
2019-12-09
-28193127.35000000
EUR
457806.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2019-11-26
N/A
1.00000000
NC
USD
11253.26000000
0.000705219479
N/A
DFE
US
N
2
JP MORGAN
N/A
32551764894.00000000
IDR
2291732.25000000
USD
2019-11-26
11253.26000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND 144A 5.250000% 01/08/2047
455780BY1
170000.00000000
PA
USD
207425.96000000
0.012998973405
Long
DBT
NUSS
ID
Y
2
2047-01-08
Fixed
5.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2019-12-18
N/A
1.00000000
NC
USD
66.82000000
0.000004187476
N/A
DFE
US
N
2
JP MORGAN
N/A
11760000.00000000
THB
385256.72000000
USD
2019-12-18
66.82000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.875000% 03/17/2036
900123AY6
1117000.00000000
PA
USD
1111683.08000000
0.069666973181
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.87500000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
REPUBLIC OF KOREA 2.000000% 06/19/2024
50064FAR5
1024000.00000000
PA
USD
1026874.00000000
0.064352156388
Long
DBT
NUSS
KR
N
2
2024-06-19
Fixed
2.00000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 9.248000% 01/21/2049
N/A
912000.00000000
PA
USD
1018320.96000000
0.063816154339
Long
DBT
NUSS
NG
N
2
2049-01-21
Fixed
9.24800000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 02/08/2038
N/A
973000.00000000
PA
1219140.59000000
0.076401122150
Long
DBT
NUSS
RO
N
2
2038-02-08
Fixed
3.37500000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.600000% 01/28/2024
P3579EAT4
656000.00000000
PA
USD
720780.00000000
0.045169852661
Long
DBT
NUSS
DO
N
2
2024-01-28
Fixed
6.60000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.150000% 02/03/2027
EJ0370613
827610000.00000000
PA
13731444.40000000
0.860522379051
Long
DBT
NUSS
RU
N
2
2027-02-03
Fixed
8.15000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
ZAGV 4.85 09/30/2029
836205BA1
2666000.00000000
PA
USD
2655735.90000000
0.166429700199
Long
DBT
NUSS
US
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
11423.04000000
0.000715859254
N/A
DFE
US
N
2
JP MORGAN
N/A
1122637.00000000
EUR
1235421.60000000
USD
2019-10-03
11423.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-21
N/A
1.00000000
NC
USD
-33975.14000000
-0.00212915462
N/A
DFE
US
N
2
JP MORGAN
N/A
42867566.00000000
ZAR
2786024.61000000
USD
2019-10-21
-33975.14000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 5.577000% 02/21/2023
03846JW30
741000.00000000
PA
USD
756217.18000000
0.047390630428
Long
DBT
NUSS
EG
Y
2
2023-02-21
Fixed
5.57700000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-405108.19000000
-0.02538732658
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
18876614.40000000
USD
16941847.00000000
EUR
2019-10-03
-405108.19000000
N
N
N
Joint Stock Company KazTransGas
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 144A 4.375000% 09/26/2027
48668NAA9
932000.00000000
PA
USD
976258.82000000
0.061180203471
Long
DBT
NUSS
KZ
Y
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS PAY:1-DAY BRL -CETIP
N/A
16116470.00000000
NC
51116.02000000
0.003203339565
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-16116470.00000000
BRL
51116.02000000
N
N
N
Sinopec Group Overseas Development (2018) Limited
549300C6OZZ8LTVR8209
SINOPEC GROUP OVERSEAS DEVELOPMENT 2018 LTD 4.250000% 09/12/2028
G82016AC3
1616000.00000000
PA
USD
1785623.91000000
0.111901507981
Long
DBT
NUSS
VG
N
2
2028-09-12
Fixed
4.25000000
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.125000% 02/17/2028
900123CP3
6296000.00000000
PA
USD
5817516.59000000
0.364572223458
Long
DBT
NUSS
TR
N
2
2028-02-17
Fixed
5.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2019-10-23
N/A
1.00000000
NC
USD
30212.98000000
0.001893387517
N/A
DFE
US
N
2
JP MORGAN
N/A
294242000.00000000
RUB
4552715.46000000
USD
2019-10-23
30212.98000000
N
N
N
ETERNA CAPITAL PTE. LTD.
N/A
ETERNA CAPITAL PTE LTD 7.500000% 12/11/2022
N/A
153439.00000000
PA
USD
141071.20000000
0.008840652236
Long
DBT
NUSS
SG
N
2
2022-12-11
Fixed
7.50000000
N
N
Y
N
N
HBIS Group Hong Kong Co., Limited
3003007YDGH5Y16N0B63
HBIS GROUP HONG KONG CO LTD 4.250000% 04/07/2020
N/A
684000.00000000
PA
USD
684335.28000000
0.042885934360
Long
DBT
NUSS
HK
N
2
2020-04-07
Fixed
4.25000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA INTERNATIONAL BOND 144A 7.250000% 09/28/2021
817477AB8
200000.00000000
PA
USD
218500.00000000
0.013692961522
Long
DBT
NUSS
RS
Y
2
2021-09-28
Fixed
7.25000000
N
N
N
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
TULLOW OIL PLC 144A 7.000000% 03/01/2025
899415AE3
660000.00000000
PA
USD
670890.00000000
0.042043345336
Long
DBT
NUSS
GB
Y
2
2025-03-01
Fixed
7.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
5012193.00000000
NC
310512.87000000
0.019459225543
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-03
0.00000000
BRL
0.00000000
BRL
-5012193.00000000
BRL
310512.87000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.817000% 03/14/2049
N/A
4636000.00000000
PA
USD
5734991.62000000
0.359400547307
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.1% 10/04/2022
N/A
569000.00000000
PA
USD
402567.50000000
0.025228106580
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
N
N
N
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 5.710000% 11/15/2023
74445PAB8
618000.00000000
PA
USD
679800.00000000
0.042601717360
Long
DBT
NUSS
ID
Y
2
2023-11-15
Fixed
5.71000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3524301.00000000
NC
110290.38000000
0.006911679312
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-3524301.00000000
BRL
110290.38000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.392000% 04/15/2026
N/A
3480000.00000000
PA
878881.67000000
0.055077770665
Long
DBT
NUSS
MY
N
2
2026-04-15
Fixed
4.39200000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
1050000.00000000
PA
250634.11000000
0.015706742446
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 8.994000% 02/01/2024
903724BW1
155000.00000000
PA
USD
169958.12000000
0.010650938204
Long
DBT
NUSS
UA
Y
2
2024-02-01
Fixed
8.99400000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-117897.45000000
-0.00738839929
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
6177208.07000000
USD
24258204.96000000
PLN
2019-12-18
-117897.45000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.500000% 01/28/2026
195325CX1
2352000.00000000
PA
USD
2568384.00000000
0.160955529922
Long
DBT
NUSS
CO
N
2
2026-01-28
Fixed
4.50000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 8.250000% 04/12/2021
N/A
3065000.00000000
PA
USD
2605250.00000000
0.163265849004
Long
DBT
NUSS
LB
N
2
2021-04-12
Fixed
8.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-12-09
N/A
1.00000000
NC
USD
-3929.32000000
-0.00024624268
N/A
DFE
US
N
2
JP MORGAN
N/A
3442451.00000000
TRY
593353.14000000
USD
2019-12-09
-3929.32000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: CNY/USD SETTLE 2019-10-18
N/A
1.00000000
NC
-8623.14000000
-0.00054039507
N/A
DFE
CN
N
2
CITIGROUP GLOBAL MARKETS
N/A
510529.68000000
USD
3585767.00000000
CNY
2019-10-18
-8623.14000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-6607.22000000
-0.00041406136
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
552453.23000000
USD
497723.77000000
EUR
2019-12-18
-6607.22000000
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
SENEGAL GOVERNMENT INTERNATIONAL BOND 144A 6.250000% 05/23/2033
81720TAC9
151000.00000000
PA
USD
151973.95000000
0.009523905948
Long
DBT
NUSS
SN
Y
2
2033-05-23
Fixed
6.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 7.750000% 04/14/2021
N/A
3331000000.00000000
PA
997158.31000000
0.062489933048
Long
DBT
NUSS
CO
N
2
2021-04-14
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2019-11-20
N/A
1.00000000
NC
USD
-102749.55000000
-0.00643911045
N/A
DFE
US
N
2
JP MORGAN
N/A
484515825.13000000
NGN
1230453.88000000
USD
2019-11-20
-102749.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-12-09
N/A
1.00000000
NC
USD
-7460.85000000
-0.00046755666
N/A
DFE
US
N
2
JP MORGAN
N/A
5501057.00000000
TRY
947000.05000000
USD
2019-12-09
-7460.85000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 7.250000% 12/23/2023
900123CR9
2322000.00000000
PA
USD
2454790.54000000
0.153836853139
Long
DBT
NUSS
TR
N
2
2023-12-23
Fixed
7.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
26000000.00000000
NC
-19345.39000000
-0.00121233721
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-09-16
0.00000000
MXN
0.00000000
MXN
-26000000.00000000
MXN
-19345.39000000
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN LISTRIK NEGARA PT MTN 6.150000% 05/21/2048
71568PAF6
857000.00000000
PA
USD
1097523.90000000
0.068779645460
Long
DBT
NUSS
ID
Y
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 6.875000% 01/11/2048
040114HR4
855000.00000000
PA
USD
359108.55000000
0.022504620401
Long
DBT
NUSS
AR
N
2
2048-01-11
Fixed
6.87500000
N
N
N
N
N
N
Avenir II B.V.
724500CRIYMKEWLTHZ15
REPUBLIC OF ANGOLA VIA AVENIR II BV MTN VARIABLE RATE 12/07/2023
N/A
621000.00000000
PA
USD
625657.50000000
0.039208714297
Long
DBT
NUSS
NL
N
2
2023-12-07
Floating
6.90837840
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-12-03
N/A
1.00000000
NC
USD
3471.72000000
0.000217565804
N/A
DFE
US
N
2
JP MORGAN
N/A
3896550.00000000
BRL
935568.68000000
USD
2019-12-03
3471.72000000
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.160000% 01/23/2030
698299BK9
4390000.00000000
PA
USD
4528285.00000000
0.283778637389
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2019-10-16
N/A
1.00000000
NC
USD
-2509.60000000
-0.00015727165
N/A
DFE
US
N
2
JP MORGAN
N/A
45324949.00000000
THB
1479967.41000000
USD
2019-10-16
-2509.60000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2026
N/A
19771000.00000000
PA
5110283.85000000
0.320251350704
Long
DBT
NUSS
PL
N
2
2026-07-25
Fixed
2.50000000
N
N
N
N
N
N
Republic of Iraq
N/A
REPUBLIC OF IRAQ 5.800000% 01/15/2028
M82152AA3
1086000.00000000
PA
USD
1057462.09000000
0.066269051305
Long
DBT
NUSS
IQ
N
2
2028-01-15
Fixed
5.80000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS: 8.145%
N/A
136359090.00000000
NC
-102892.78000000
-0.00644808639
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-28
0.00000000
MXN
0.00000000
MXN
-136359090.00000000
MXN
-102892.78000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 8.250000% 01/20/2034
105756BB5
748000.00000000
PA
USD
1021955.00000000
0.064043892416
Long
DBT
NUSS
BR
N
2
2034-01-20
Fixed
8.25000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 6.350000% 08/10/2028
29646AAC0
322000.00000000
PA
USD
344470.45000000
0.021587279714
Long
DBT
NUSS
ZA
Y
2
2028-08-10
Fixed
6.35000000
N
N
N
N
N
N
BBVA Bancomer SA (Houston Branch)
N/A
BBVA BANCOMER SA/TEXAS 144A 5.875000% 09/13/2034
05533UAG3
903000.00000000
PA
USD
897356.25000000
0.056235535943
Long
DBT
NUSS
MX
Y
2
2034-09-13
Fixed
5.87500000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVT INTL BOND 3.250000% 10/19/2023
N/A
1535000.00000000
PA
USD
1606941.67000000
0.100703846484
Long
DBT
NUSS
CN
N
2
2023-10-19
Fixed
3.25000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 5.000000% 04/17/2049
N/A
1003000.00000000
PA
USD
1206388.34000000
0.075601963941
Long
DBT
NUSS
SA
N
2
2049-04-17
Fixed
5.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.642000% 11/07/2033
N/A
1700000.00000000
PA
449362.53000000
0.028160658275
Long
DBT
NUSS
MY
N
2
2033-11-07
Fixed
4.64200000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
KENYA GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 05/22/2027
491798AJ3
671000.00000000
PA
USD
696162.50000000
0.043627122774
Long
DBT
NUSS
KE
Y
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1.3775%
N/A
654998166.00000000
NC
-37664.48000000
-0.00236035823
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2021-06-17
0.00000000
HUF
0.00000000
HUF
-654998166.00000000
HUF
-37664.48000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 4.500000% 02/13/2020
N/A
2955000.00000000
PA
USD
1055489.06000000
0.066145405429
Long
DBT
NUSS
AR
N
2
2020-02-13
Fixed
4.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
37637400.00000000
NC
8365.33000000
0.000524238635
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-07-07
36.59000000
MXN
0.00000000
MXN
-37637400.00000000
MXN
8328.74000000
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA GOVERNMENT INTERNATIONAL BOND MTN 8.750000% 03/09/2024
Y6142NAA6
1951000.00000000
PA
USD
2180368.67000000
0.136639378965
Long
DBT
NUSS
MN
N
2
2024-03-09
Fixed
8.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.000000% 01/14/2041
900123BJ8
918000.00000000
PA
USD
821731.18000000
0.051496262837
Long
DBT
NUSS
TR
N
2
2041-01-14
Fixed
6.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.350000% 08/12/2028
P78024AC3
5940000.00000000
PA
2044702.95000000
0.128137477437
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 2.875000% 04/16/2024
N/A
1645000.00000000
PA
USD
1663382.56000000
0.104240885088
Long
DBT
NUSS
SA
N
2
2024-04-16
Fixed
2.87500000
N
N
N
N
N
N
QNB FINANSBANK ANONIM SIRKETI
789000Q21SW842S9IJ58
QNB FINANSBANK AS 144A 6.875000% 09/07/2024
31772DAD4
613000.00000000
PA
USD
635987.50000000
0.039856074904
Long
DBT
NUSS
TR
Y
2
2024-09-07
Fixed
6.87500000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA S 5.50% 04/12/2037
N/A
1740000.00000000
PA
USD
139200.00000000
0.008723387844
Long
DBT
CORP
VE
N
2
2037-04-12
Fixed
5.50000000
Y
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2029
N/A
19032000.00000000
PA
5438706.39000000
0.340832939736
Long
DBT
NUSS
BR
N
2
2029-01-01
Fixed
10.00000000
N
N
N
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
EXPORT CREDIT BANK OF TURKEY 144A 5.375000% 10/24/2023
90015LAB3
1033000.00000000
PA
USD
993336.93000000
0.062250454744
Long
DBT
NUSS
TR
Y
2
2023-10-24
Fixed
5.37500000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO 5.375% 04/24/2030
N/A
2560000.00000000
PA
USD
2876800.00000000
0.180283348782
Long
DBT
CORP
XX
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 15.900000% 07/02/2024
N/A
19208000.00000000
PA
1241222.54000000
0.077784954148
Long
DBT
NUSS
EG
N
2
2024-07-02
Fixed
15.90000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-46804.30000000
-0.00293313262
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
1579492.84000000
USD
23470000.00000000
ZAR
2019-12-18
-46804.30000000
N
N
N
Empresas Publicas de Medellin E.S.P.
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP 7.625000% 09/10/2024
29246BAC2
3116000000.00000000
PA
937006.80000000
0.058720357249
Long
DBT
CORP
XX
Y
2
2024-09-10
Fixed
7.62500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 5.875000% 07/25/2022
85227SAK2
960000.00000000
PA
USD
962390.75000000
0.060311119037
Long
DBT
NUSS
LK
Y
2
2022-07-25
Fixed
5.87500000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
Ecuador Government International Bond 10.750000% 01/31/2029
27927WAL6
760000.00000000
PA
USD
820807.60000000
0.051438383910
Long
DBT
NUSS
XX
Y
2
2029-01-31
Fixed
10.75000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 4.125000% 08/25/2027
715638BU5
607000.00000000
PA
USD
678328.57000000
0.042509505761
Long
DBT
NUSS
PE
N
2
2027-08-25
Fixed
4.12500000
N
N
N
N
N
N
BRK: CITIBANK
N/A
BRK: CITIBANK PAY: 7 DAY CNRR007 (CNY)
N/A
99767693.41000000
NC
-42335.65000000
-0.00265309119
N/A
DIR
XX
N
2
BRK: CITIBANK
N/A
Y
2024-07-05
0.00000000
CNY
0.00000000
CNY
-99767693.41000000
CNY
-42335.65000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.750000% 05/11/2047
900123CM0
2447000.00000000
PA
USD
2132413.68000000
0.133634134879
Long
DBT
NUSS
TR
N
2
2047-05-11
Fixed
5.75000000
N
N
N
N
N
N
CEMEX S.A.B. de C.V.
549300RIG2CXWN6IV731
CEMEX SAB DE CV 7.750000% 04/16/2026
P2253TJK6
670000.00000000
PA
USD
727794.20000000
0.045609418659
Long
DBT
NUSS
MX
N
2
2026-04-16
Fixed
7.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.600300% 03/01/2029
03846JW71
378000.00000000
PA
USD
399984.48000000
0.025066233841
Long
DBT
NUSS
EG
Y
2
2029-03-01
Fixed
7.60030000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.125000% 03/26/2032
N/A
2132000.00000000
PA
USD
2139231.74000000
0.134061409173
Long
DBT
NUSS
GH
N
2
2032-03-26
Fixed
8.12500000
N
N
N
N
N
N
BIOCEANICO SOVEREIGN CERTIFICATE LIMITED
N/A
BIOCEANICO SOVEREIGN CERTIFICATE LTD 144A ZERO COUPON 06/05/2034
09076AAA5
1993000.00000000
PA
USD
1382643.75000000
0.086647540817
Long
DBT
NUSS
KY
Y
2
2034-06-05
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
864171.31000000
0.054155901588
N/A
DFE
US
N
2
JP MORGAN
N/A
16803782.50000000
EUR
19185147.34000000
USD
2019-10-03
864171.31000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.750000% 01/11/2028
91087BAE0
1738000.00000000
PA
USD
1791009.00000000
0.112238980888
Long
DBT
NUSS
MX
N
2
2028-01-11
Fixed
3.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.882000% 03/10/2022
N/A
19617000.00000000
PA
4768472.44000000
0.298830707752
Long
DBT
NUSS
MY
N
2
2022-03-10
Fixed
3.88200000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-11-04
N/A
1.00000000
NC
97.39000000
0.000006103238
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
317423.67000000
USD
1325466.00000000
BRL
2019-11-04
97.39000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3M JIBAR (ZAR)
N/A
10000000.00000000
NC
-1538.42000000
-0.00009640972
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-07-18
0.00000000
ZAR
0.00000000
ZAR
-10000000.00000000
ZAR
-1538.42000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 16.200000% 06/14/2023
N/A
20813706.00000000
PA
3999445.85000000
0.250637337010
Long
DBT
NUSS
TR
N
2
2023-06-14
Fixed
16.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-37957.66000000
-0.00237873124
N/A
DFE
US
N
2
JP MORGAN
N/A
101788869.34000000
INR
1389609.14000000
USD
2019-12-18
-37957.66000000
N
N
N
State of Kuwait
549300FSC1YD0D9XX589
KUWAIT INTL BOND 3.500000% 03/20/2027
N/A
418000.00000000
PA
USD
450294.68000000
0.028219074266
Long
DBT
NUSS
KW
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.200000% 02/16/2026
N/A
1502000.00000000
PA
1702984.98000000
0.106722690183
Long
DBT
NUSS
TR
N
2
2026-02-16
Fixed
5.20000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 10.750000% 01/31/2029
N/A
3157000.00000000
PA
USD
3409591.57000000
0.213672339481
Long
DBT
NUSS
EC
N
2
2029-01-31
Fixed
10.75000000
N
N
N
N
N
N
Magyarorszag
5299008DH62LEB10JK83
HUNGARY GOVERNMENT BOND 5.500000% 06/24/2025
N/A
500750000.00000000
PA
2020106.45000000
0.126596063578
Long
DBT
NUSS
HU
N
2
2025-06-24
Fixed
5.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
8000000.00000000
NC
25655.55000000
0.001607782421
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-12-03
0.00000000
MXN
0.00000000
MXN
-8000000.00000000
MXN
25655.55000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: CNY/USD SETTLE 2019-10-18
N/A
1.00000000
NC
-74564.27000000
-0.00467279487
N/A
DFE
CN
N
2
CITIGROUP GLOBAL MARKETS
N/A
2741792.95000000
USD
19055461.00000000
CNY
2019-10-18
-74564.27000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 7.903000% 02/21/2048
03846JW55
421000.00000000
PA
USD
423049.43000000
0.026511668500
Long
DBT
NUSS
EG
Y
2
2048-02-21
Fixed
7.90300000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
Colombian TES 4.750000% 04/04/2035
N/A
1170600000.00000000
PA
1151429.31000000
0.072157790563
Long
DBT
NUSS
CO
N
2
2035-04-04
Fixed
4.75000000
N
N
N
N
N
N
Minejesa Capital B.V.
549300KS7ERCP10BKC35
MINEJESA CAPITAL BV 144A 4.625000% 08/10/2030
602736AA8
599000.00000000
PA
USD
614594.62000000
0.038515425555
Long
DBT
NUSS
NL
Y
2
2030-08-10
Fixed
4.62500000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 8.250000% 04/10/2032
N/A
700000.00000000
PA
USD
798007.00000000
0.050009515542
Long
DBT
NUSS
SV
N
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
Banco Internacional del Peru S.A.A. - Interbank
5493001TRCGXJLRLHN14
BANCO INTERNACIONAL DEL PERU SAA INTERBANK 144A 3.250000% 10/04/2026
05968DAC4
1058000.00000000
PA
USD
1056413.00000000
0.066203306916
Long
DBT
NUSS
PE
Y
2
2026-10-04
Fixed
3.25000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.000000% 09/19/2044
N/A
200000.00000000
PA
USD
196298.00000000
0.012301606228
Long
DBT
NUSS
BH
N
2
2044-09-19
Fixed
6.00000000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 4.750000% 06/19/2032
P7808BAA5
633000.00000000
PA
USD
693926.25000000
0.043486981423
Long
DBT
NUSS
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
31244000000.00000000
PA
9982515.10000000
0.625584417234
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
4194011.00000000
NC
13705.23000000
0.000858879574
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2020-01-02
0.00000000
BRL
0.00000000
BRL
-4194011.00000000
BRL
13705.23000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 144A 7.125000% 02/11/2025
29646AAB2
2085000.00000000
PA
USD
2145577.59000000
0.134459091003
Long
DBT
NUSS
ZA
Y
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.950000% 05/15/2030
N/A
69140000.00000000
PA
2784864.56000000
0.174521937146
Long
DBT
NUSS
CZ
N
2
2030-05-15
Fixed
0.95000000
N
N
N
N
N
N
Republique Gabonaise
N/A
GABON GOVERNMENT INTERNATIONAL BOND 144A 6.950000% 06/16/2025
362420AC5
913000.00000000
PA
USD
907759.38000000
0.056887479461
Long
DBT
NUSS
GA
Y
2
2025-06-16
Fixed
6.95000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 4.875000% 02/21/2028
AM5152690
755000.00000000
PA
858085.49000000
0.053774515322
Long
DBT
NUSS
MX
N
2
2028-02-21
Fixed
4.87500000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-11-04
N/A
1.00000000
NC
-27240.59000000
-0.00170711373
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1161301.12000000
USD
4734044.00000000
BRL
2019-11-04
-27240.59000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-88749.43000000
-0.00556175071
N/A
DFE
MY
N
2
CITIGROUP GLOBAL MARKETS
N/A
10173195.79000000
USD
71993672.00000000
CNY
2019-12-18
-88749.43000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.125000% 10/24/2028
900123CQ1
1712000.00000000
PA
USD
1670980.48000000
0.104717031661
Long
DBT
NUSS
TR
N
2
2028-10-24
Fixed
6.12500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 05/04/2022
N/A
17384100000.00000000
PA
5257941.76000000
0.329504778989
Long
DBT
NUSS
CO
N
2
2022-05-04
Fixed
7.00000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 7.500000% 09/20/2047
05674RAK0
1285000.00000000
PA
USD
1459760.00000000
0.091480263215
Long
DBT
NUSS
BH
Y
2
2047-09-20
Fixed
7.50000000
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:5.37
N/A
1800000000.00000000
NC
-7591.05000000
-0.00047571604
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-06-21
0.00000000
COP
0.00000000
COP
-1800000000.00000000
COP
-7591.05000000
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 7.625000% 06/29/2027
N/A
1000000.00000000
PA
USD
1125000.00000000
0.070501518138
Long
DBT
NUSS
BY
N
2
2027-06-29
Fixed
7.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2019-12-17
N/A
1.00000000
NC
USD
34054.69000000
0.002134139861
N/A
DFE
US
N
2
JP MORGAN
N/A
4182467187.00000000
COP
1233766.13000000
USD
2019-12-17
34054.69000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 05/15/2038
N/A
76662000000.00000000
PA
5280847.96000000
0.330940265100
Long
DBT
NUSS
ID
N
2
2038-05-15
Fixed
7.50000000
N
N
N
N
N
N
MDC - GMTN B.V.
213800L53ZH5KG593W13
MDC-GMTN BV MTN 4.500000% 11/07/2028
55276VAG7
772000.00000000
PA
USD
888633.76000000
0.055688914799
Long
DBT
NUSS
NL
Y
2
2028-11-07
Fixed
4.50000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.875000% 06/22/2029
N/A
22000000.00000000
PA
939249.11000000
0.058860878369
Long
DBT
NUSS
TH
N
2
2029-06-22
Fixed
4.87500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 06/15/2032
N/A
12030000000.00000000
PA
888855.55000000
0.055702813938
Long
DBT
NUSS
ID
N
2
2032-06-15
Fixed
8.25000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-21
N/A
1.00000000
NC
-45646.94000000
-0.00286060317
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2796995.11000000
USD
11475092.00000000
BRL
2019-10-21
-45646.94000000
N
N
N
Minejesa Capital B.V.
549300KS7ERCP10BKC35
MINEJESA CAPITAL BV 144A 5.625000% 08/10/2037
602736AB6
96000.00000000
PA
USD
103716.50000000
0.006499707294
Long
DBT
NUSS
NL
Y
2
2037-08-10
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-252816.01000000
-0.01584347779
N/A
DFE
US
N
2
JP MORGAN
N/A
40377211.00000000
TRY
6895922.28000000
USD
2019-10-03
-252816.01000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST GOVERNMENT INTERNATIONAL BOND 144A 6.125000% 06/15/2033
221625AN6
375000.00000000
PA
USD
360974.25000000
0.022621540118
Long
DBT
NUSS
CI
Y
2
2033-06-15
Fixed
6.12500000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 144 4.700000% 09/01/2030
N/A
1100000000.00000000
PA
1777073.45000000
0.111365667616
Long
DBT
NUSS
CL
N
2
2030-09-01
Fixed
4.70000000
N
N
N
N
N
N
N/A
N/A
NIGERIA T-BILL ZERO COUPON 02/27/2020
N/A
229138000.00000000
PA
601420.67000000
0.037689840244
Long
DBT
NUSS
NG
N
2
2020-02-27
Fixed
0.00000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 6.000000% 01/01/2020
N/A
80000000.00000000
PA
112605.65000000
0.007056772689
Long
DBT
NUSS
CL
N
2
2020-01-01
Fixed
6.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.100000% 03/28/2035
N/A
600000.00000000
PA
USD
678633.60000000
0.042528621386
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
Rumo Luxembourg S.a r.l.
222100HOIQFT7YOSPB46
RUMO LUXEMBOURG SARL 144A 7.375000% 02/09/2024
781467AA3
847000.00000000
PA
USD
911592.22000000
0.057127675940
Long
DBT
NUSS
LU
Y
2
2024-02-09
Fixed
7.37500000
N
N
N
N
N
N
Nexa Resources S.A.
549300QRMRHM7GAU7L47
NEXA RESOURCES SA 144A 5.375000% 05/04/2027
91832CAA4
2891000.00000000
PA
USD
3064460.00000000
0.192043628688
Long
DBT
NUSS
LU
Y
2
2027-05-04
Fixed
5.37500000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS98A857
-3245000.00000000
NC
USD
-153289.24000000
-0.00960633256
N/A
DO
XX
N
2
BRK: CITIBANK
N/A
Y
2024-06-20
0.00000000
USD
-169070.63000000
USD
-3245000.00000000
USD
15781.39000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 7.45%
N/A
67046013.00000000
NC
-92627.91000000
-0.00580480735
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2020-01-02
0.00000000
BRL
0.00000000
BRL
-67046013.00000000
BRL
-92627.91000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.800000% 01/30/2023
AR0026302
65021000.00000000
PA
4048145.80000000
0.253689266262
Long
DBT
NUSS
EG
N
2
2023-01-30
Fixed
14.80000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.625000% 02/01/2041
P01012AR7
327000.00000000
PA
USD
350710.77000000
0.021978348188
Long
DBT
NUSS
SV
N
2
2041-02-01
Fixed
7.62500000
N
N
N
N
N
N
Fondo MIVIVIENDA S.A.
549300X41PNOK11PZ670
FONDO MIVIVIENDA SA 144A 7.000000% 02/14/2024
344593AE8
3704000.00000000
PA
1214928.64000000
0.076137167599
Long
DBT
NUSS
PE
Y
2
2024-02-14
Fixed
7.00000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.750000% 02/23/2027
200447AF7
458000.00000000
PA
USD
480904.58000000
0.030137335973
Long
DBT
NUSS
MX
Y
2
2027-02-23
Fixed
4.75000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.750000% 09/18/2030
N/A
3550700000.00000000
PA
1161053.29000000
0.072760906297
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
7729.80000000
0.000484411231
N/A
DFE
US
N
2
JP MORGAN
N/A
1352832.00000000
EUR
1482707.39000000
USD
2019-10-03
7729.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
4464.50000000
0.000279781357
N/A
DFE
US
N
2
JP MORGAN
N/A
4606482.80000000
SGD
3339434.54000000
USD
2019-12-18
4464.50000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-19808.65000000
-0.00124136879
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
946554.14000000
USD
850000.00000000
EUR
2019-10-03
-19808.65000000
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 5.625000% 10/18/2043
P3143NAS3
442000.00000000
PA
USD
575333.45000000
0.036055005920
Long
DBT
NUSS
CL
N
2
2043-10-18
Fixed
5.62500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.500000% 04/23/2028
74727PAX9
1799000.00000000
PA
USD
2049784.20000000
0.128455909294
Long
DBT
NUSS
QA
Y
2
2028-04-23
Fixed
4.50000000
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 4.250000% 04/16/2039
N/A
1530000.00000000
PA
USD
1649396.66000000
0.103364416482
Long
DBT
NUSS
SA
N
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B 6.000000% 08/15/2050
N/A
3455000.00000000
PA
3879117.41000000
0.243096592392
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 5.750000% 09/30/2049
836205BB9
3964000.00000000
PA
USD
3943839.10000000
0.247152572305
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.625000% 05/15/2033
N/A
24323000000.00000000
PA
1558711.05000000
0.097681329212
Long
DBT
NUSS
ID
N
2
2033-05-15
Fixed
6.62500000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT DEC19 FINANCIAL COMMODITY FUTURE.
N/A
40.00000000
NC
USD
7676250.00000000
0.481055358764
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Dec 2019
2019-12-22
7946648.88000000
USD
-270398.88000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2019-10-07
N/A
1.00000000
NC
-31796.55000000
-0.00199262670
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
1404635.04000000
EUR
460749242.00000000
HUF
2019-10-07
-31796.55000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: KZT/USD SETTLE 2019-12-06
N/A
1.00000000
NC
899.72000000
0.000056383667
N/A
DFE
XX
N
2
BT BROKERAGE CORP
N/A
1335877.86000000
USD
525000000.00000000
KZT
2019-12-06
899.72000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
47200221.00000000
NC
-56980.14000000
-0.00357083233
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-03-05
0.00000000
MXN
0.00000000
MXN
-47200221.00000000
MXN
-56980.14000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.899000% 11/16/2027
N/A
2500000.00000000
PA
613784.41000000
0.038464651301
Long
DBT
NUSS
MY
N
2
2027-11-16
Fixed
3.89900000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA 144A 8.500000% 06/27/2029
984245AS9
1673000.00000000
PA
USD
1313305.00000000
0.082302218914
Long
DBT
NUSS
AR
Y
2
2029-06-27
Fixed
8.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 9.000000% 03/15/2029
N/A
61750000000.00000000
PA
4813759.42000000
0.301668752944
Long
DBT
NUSS
ID
N
2
2029-03-15
Fixed
9.00000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.000000% 06/26/2026
N/A
32290000.00000000
PA
1336196.49000000
0.083736783178
Long
DBT
NUSS
CZ
N
2
2026-06-26
Fixed
1.00000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.125000% 12/17/2026
N/A
52817000.00000000
PA
1805309.27000000
0.113135150439
Long
DBT
NUSS
TH
N
2
2026-12-17
Fixed
2.12500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.750000% 09/16/2026
N/A
68909000.00000000
PA
1118368.67000000
0.070085945843
Long
DBT
NUSS
RU
N
2
2026-09-16
Fixed
7.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.500000% 01/31/2047
N/A
6005000.00000000
PA
USD
6351512.52000000
0.398036689008
Long
DBT
NUSS
EG
N
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 9.500000% 11/12/2025
N/A
1402000.00000000
PA
USD
1574014.18000000
0.098640346010
Long
DBT
NUSS
AO
N
2
2025-11-12
Fixed
9.50000000
N
N
N
N
N
N
America Movil, S.A.B. de C.V.
5493000FNR3UCEAONM59
AMERICA MOVIL SAB DE CV 7.125000% 12/09/2024
N/A
18110000.00000000
PA
889723.46000000
0.055757204136
Long
DBT
NUSS
MX
N
2
2024-12-09
Fixed
7.12500000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 4.750000% 04/24/2025
48667QAR6
2068000.00000000
PA
USD
2254984.42000000
0.141315399989
Long
DBT
NUSS
KZ
Y
2
2025-04-24
Fixed
4.75000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.500000% 02/15/2048
P3579EBY2
2817000.00000000
PA
USD
3028303.17000000
0.189777751882
Long
DBT
NUSS
DO
N
2
2048-02-15
Fixed
6.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS:1.7
N/A
140000000.00000000
NC
12906.40000000
0.000808818483
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-06-18
0.00000000
CZK
0.00000000
CZK
-140000000.00000000
CZK
12906.40000000
N
N
N
Magyarorszag
5299008DH62LEB10JK83
HUNGARY 5.750000% 11/22/2023
445545AJ5
886000.00000000
PA
USD
1004185.31000000
0.062930301197
Long
DBT
NUSS
HU
N
2
2023-11-22
Fixed
5.75000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERUVIAN GOVERNMENT INTERNATIONAL BOND 144A 6.350000% 08/12/2028
715638BV3
1465000.00000000
PA
504291.22000000
0.031602930305
Long
DBT
NUSS
PE
Y
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO BUXL 30Y BND DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-11.00000000
NC
-2608311.71000000
-0.16345772029
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Dec 2019
2019-12-09
-2695353.56000000
EUR
87041.85000000
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 6.100000% 08/11/2044
P75744AB1
1010000.00000000
PA
USD
1228422.60000000
0.076982807302
Long
DBT
NUSS
PY
N
2
2044-08-11
Fixed
6.10000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.100000% 10/16/2024
N/A
124175000.00000000
PA
1944580.60000000
0.121863008393
Long
DBT
NUSS
RU
N
2
2024-10-16
Fixed
7.10000000
N
N
N
N
N
N
Sinopec Group Overseas Development (2016) Limited
5299002BJODD4TLAOX51
SINOPEC GROUP OVERSEAS DEVELOPMENT 2016 LTD 2.750000% 09/29/2026
G8200TAH3
1066000.00000000
PA
USD
1063383.11000000
0.066640109882
Long
DBT
NUSS
VG
N
2
2026-09-29
Fixed
2.75000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-6483.02000000
-0.00040627800
N/A
DFE
MY
N
2
STANDARD BANK
N/A
2758777.38000000
USD
11535000.00000000
MYR
2019-12-18
-6483.02000000
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 10.500000% 12/21/2026
N/A
241396958.00000000
PA
17764268.80000000
1.113251483571
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2019-10-07
N/A
1.00000000
NC
-24923.22000000
-0.00156188875
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
2236141.87000000
EUR
741392836.00000000
HUF
2019-10-07
-24923.22000000
N
N
N
INDUSTRIAS PENOLES, S.A.B. DE C.V.
549300WA2HB7776CB324
INDUSTRIAS PENOLES SAB DE CV 144A 5.650000% 09/12/2049
456472AC3
359000.00000000
PA
USD
370990.60000000
0.023249244902
Long
DBT
NUSS
MX
Y
2
2049-09-12
Fixed
5.65000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-12-20
N/A
1.00000000
NC
-38318.86000000
-0.00240136693
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1919474.20000000
USD
7870612.00000000
BRL
2019-12-20
-38318.86000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 03/27/2025
N/A
447000.00000000
PA
USD
445915.58000000
0.027944644756
Long
DBT
NUSS
EC
Y
2
2025-03-27
Fixed
7.87500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.000000% 01/27/2023
N/A
864000.00000000
PA
USD
596808.00000000
0.037400773366
Long
DBT
NUSS
LB
N
2
2023-01-27
Fixed
6.00000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 16.000000% 08/11/2021
N/A
148624000.00000000
PA
6133782.31000000
0.384391968698
Long
DBT
NUSS
UA
N
2
2021-08-11
Fixed
16.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.500000% 09/17/2031
QJ4075223
176982000.00000000
PA
3050148.69000000
0.191146767282
Long
DBT
NUSS
RU
N
2
2031-09-17
Fixed
8.50000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 4.875000% 04/14/2026
836205AT1
568000.00000000
PA
USD
586414.56000000
0.036749437100
Long
DBT
NUSS
ZA
N
2
2026-04-14
Fixed
4.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-22574.88000000
-0.00141472294
N/A
DFE
XX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1459011.75000000
USD
1309799.40000000
EUR
2019-12-18
-22574.88000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.893000% 06/08/2038
N/A
3400000.00000000
PA
938260.33000000
0.058798913488
Long
DBT
NUSS
MY
N
2
2038-06-08
Fixed
4.89300000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.625000% 01/23/2046
71654QBX9
468000.00000000
PA
USD
398268.00000000
0.024958665445
Long
DBT
NUSS
MX
N
2
2046-01-23
Fixed
5.62500000
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.900000% 08/12/2037
N/A
2480000.00000000
PA
895986.32000000
0.056149685147
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.90000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.950000% 08/12/2031
715638BE1
10913000.00000000
PA
3931264.63000000
0.246364555216
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.870000% 07/23/2060
698299BL7
1148000.00000000
PA
USD
1240999.48000000
0.077770975421
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2019-12-16
N/A
1.00000000
NC
-127.88000000
-0.00000801398
N/A
DFE
HU
N
2
CITIGROUP GLOBAL MARKETS
N/A
3712149.19000000
USD
1134768000.00000000
HUF
2019-12-16
-127.88000000
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2019-10-22
N/A
1.00000000
NC
32728.59000000
0.002051035805
N/A
DFE
IL
N
2
CITIGROUP GLOBAL MARKETS
N/A
2528675.12000000
USD
8890316.00000000
ILS
2019-10-22
32728.59000000
N
N
N
Republic of Georgia
254900MHQHBC58M2GR84
GEORGIA GOVERNMENT INTERNATIONAL BOND 144A 6.875000% 04/12/2021
37311PAA8
66000.00000000
PA
USD
69712.50000000
0.004368744073
Long
DBT
NUSS
GE
Y
2
2021-04-12
Fixed
6.87500000
N
N
N
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2019-12-19
N/A
1.00000000
NC
18207.43000000
0.001141023516
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
525494.02000000
USD
198373991.73000000
NGN
2019-12-19
18207.43000000
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN BOND MTN 4.750000% 02/20/2024
N/A
632000.00000000
PA
USD
662020.00000000
0.041487480033
Long
DBT
NUSS
UZ
N
2
2024-02-20
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2019-10-18
N/A
1.00000000
NC
USD
60835.18000000
0.003812420041
N/A
DFE
US
N
2
JP MORGAN
N/A
21084786.00000000
CNY
3012112.29000000
USD
2019-10-18
60835.18000000
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY BRL - CETIP
N/A
3556668.00000000
NC
63420.69000000
0.003974448823
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2021-01-04
0.00000000
BRL
0.00000000
BRL
-3556668.00000000
BRL
63420.69000000
N
N
N
GeoPark Limited
529900ZR5QI19AH4KZ07
GEOPARK LTD 144A 6.500000% 09/21/2024
37255BAA7
492000.00000000
PA
USD
506145.00000000
0.031719103020
Long
DBT
NUSS
BM
Y
2
2024-09-21
Fixed
6.50000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BNQ CEN TUNISIA INT BOND 5.750000% 01/30/2025
N/A
646000.00000000
PA
USD
577414.18000000
0.036185401141
Long
DBT
NUSS
TN
N
2
2025-01-30
Fixed
5.75000000
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.654000% 10/31/2019
N/A
31500000.00000000
PA
7526579.08000000
0.471675779136
Long
DBT
NUSS
MY
N
2
2019-10-31
Fixed
3.65400000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.625000% 06/15/2035
706451BG5
3100000.00000000
PA
USD
3029475.00000000
0.189851188144
Long
DBT
NUSS
MX
N
2
2035-06-15
Fixed
6.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2019-10-16
N/A
1.00000000
NC
USD
-55420.88000000
-0.00347311660
N/A
DFE
US
N
2
JP MORGAN
N/A
10231389391.00000000
UGX
2717500.50000000
USD
2019-10-16
-55420.88000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.600000% 11/27/2026
N/A
93000.00000000
PA
USD
60007.32000000
0.003760539697
Long
DBT
NUSS
LB
N
2
2026-11-27
Fixed
6.60000000
N
N
N
N
N
N
Nostrum Oil & Gas Finance B.V.
213800SGF6UKA42KSB50
NOSTRUM OIL & GAS FINANCE BV 144A 7.000000% 02/16/2025
66978CAC6
441000.00000000
PA
USD
222705.00000000
0.013956480530
Long
DBT
NUSS
NL
Y
2
2025-02-16
Fixed
7.00000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2019-10-24
N/A
1.00000000
NC
-20828.76000000
-0.00130529706
N/A
DFE
ID
N
2
STANDARD CHARTERED BANK
N/A
2529542.36000000
USD
35666547252.00000000
IDR
2019-10-24
-20828.76000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.200000% 05/11/2027
Y8137FAH1
1080000.00000000
PA
USD
1007166.54000000
0.063117128967
Long
DBT
NUSS
LK
N
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 06/20/2026
N/A
547000.00000000
PA
642193.96000000
0.040245021439
Long
DBT
NUSS
UA
Y
2
2026-06-20
Fixed
6.75000000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
PARAGUAY GOVERNMENT INTERNATIONAL BOND 144A 6.100000% 08/11/2044
699149AB6
530000.00000000
PA
USD
644617.80000000
0.040396918683
Long
DBT
NUSS
PY
Y
2
2044-08-11
Fixed
6.10000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
60739426.00000000
NC
29704.40000000
0.001861515818
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-08-26
0.00000000
MXN
0.00000000
MXN
-60739426.00000000
MXN
29704.40000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/23/2034
N/A
39185000.00000000
PA
2096707.11000000
0.131396474974
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
7.75000000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-213680.15000000
-0.01339091108
N/A
DFE
CO
N
2
J P MORGAN CHASE BANK
N/A
6252655.87000000
USD
21053317577.03000000
COP
2019-12-18
-213680.15000000
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 4.750000% 04/19/2027
48667QAN5
1703000.00000000
PA
USD
1842475.70000000
0.115464296873
Long
DBT
NUSS
KZ
Y
2
2027-04-19
Fixed
4.75000000
N
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
Venezuela Government International Bond Maturity:09/15/2027
922646AS3
2300000.00000000
PA
USD
247250.00000000
0.015494666986
Long
DBT
NUSS
VE
N
2
2027-09-15
Fixed
9.25000000
Y
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2019-12-17
N/A
1.00000000
NC
-20640.68000000
-0.00129351046
N/A
DFE
CO
N
2
J P MORGAN CHASE BANK
N/A
627755.34000000
USD
2116539909.00000000
COP
2019-12-17
-20640.68000000
N
N
N
RIO ENERGY Sociedad Anonima
529900D1ZX75KRP2HC66
RIO ENERGY SA / UGEN SA / UENSA SA 6.875000% 02/01/2025
P8S12UAA3
195000.00000000
PA
USD
90676.95000000
0.005682544564
Long
DBT
NUSS
AR
N
2
2025-02-01
Fixed
6.87500000
N
N
N
N
N
ABU DHABI CRUDE OIL PIPELINE L.L.C.
549300DONDFW2383FV66
ABU DHABI CRUDE OIL PIPELINE LLC 144A 4.600000% 11/02/2047
00401MAB2
5448000.00000000
PA
USD
6348772.32000000
0.397864966111
Long
DBT
NUSS
AE
Y
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2019-12-18
N/A
1.00000000
NC
-947.95000000
-0.00005940614
N/A
DFE
MY
N
2
STANDARD BANK
N/A
195239.76000000
USD
814286.45000000
MYR
2019-12-18
-947.95000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.125000% 01/15/2045
Y20721BM0
410000.00000000
PA
USD
488842.54000000
0.030634792178
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
TURKIYE GARANTI BANKASI ANONIM SIRKETI
5493002XSS7K7RHN1V37
TURKIYE GARANTI BANKASI AS 144A 6.125000% 05/24/2027
900148AE7
1170000.00000000
PA
USD
1048015.80000000
0.065677071051
Long
DBT
NUSS
TR
Y
2
2027-05-24
Fixed
6.12500000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2019-10-16
N/A
1.00000000
NC
1656.82000000
0.000103829622
N/A
DFE
TH
N
2
BT BROKERAGE CORP
N/A
1029486.79000000
USD
31525974.00000000
THB
2019-10-16
1656.82000000
N
N
N
Provincia de Cordoba
5299006CLM2Z97AATT29
PROVINCIA DE CORDOBA 144A 7.125000% 06/10/2021
74408DAC8
531000.00000000
PA
USD
329225.31000000
0.020631897035
Long
DBT
NUSS
AR
Y
2
2021-06-10
Fixed
7.12500000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-21
N/A
1.00000000
NC
-36216.97000000
-0.00226964565
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1179751.30000000
USD
4769357.00000000
BRL
2019-10-21
-36216.97000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 3.850000% 07/18/2027
Y20721BT5
3978000.00000000
PA
USD
4198599.55000000
0.263117904293
Long
DBT
NUSS
ID
N
2
2027-07-18
Fixed
3.85000000
N
N
N
N
N
N
Empresa Nacional del Petroleo
549300YP3P0JZBLIV197
EMPRESA NACIONAL DEL PETROLEO 4.750000% 12/06/2021
P37110AG1
1621000.00000000
PA
USD
1694015.12000000
0.106160566852
Long
DBT
NUSS
CL
N
2
2021-12-06
Fixed
4.75000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 6.750000% 09/21/2047
71656MBM0
553000.00000000
PA
USD
530769.40000000
0.033262265316
Long
DBT
NUSS
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-21
N/A
1.00000000
NC
-116119.19000000
-0.00727695927
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
3244542.89000000
USD
13047767.00000000
BRL
2019-10-21
-116119.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-12-18
N/A
1.00000000
NC
USD
-65296.95000000
-0.00409203031
N/A
DFE
US
N
2
JP MORGAN
N/A
33010099.00000000
TRY
5647023.24000000
USD
2019-12-18
-65296.95000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 5.875000% 01/11/2028
040114HQ6
4379000.00000000
PA
USD
1773538.79000000
0.111144157486
Long
DBT
NUSS
AR
N
2
2028-01-11
Fixed
5.87500000
N
N
N
N
N
N
RUSAL CAPITAL DESIGNATED ACTIVITY COMPANY
549300VAUKY08SYXL004
RUSAL CAPITAL DAC 5.125000% 02/02/2022
N/A
860000.00000000
PA
USD
875093.00000000
0.054840342233
Long
DBT
NUSS
IE
N
2
2022-02-02
Fixed
5.12500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS INTERNATIONAL
N/A
BRK: GOLDMAN SACHS INTERNATIONAL PAY: 5.915%
N/A
3600000000.00000000
NC
-60163.74000000
-0.00377034222
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS INTERNATIONAL
N/A
Y
2029-05-15
0.00000000
COP
0.00000000
COP
-3600000000.00000000
COP
-60163.74000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.750000% 07/25/2021
N/A
5000000.00000000
PA
1252260.58000000
0.078476686217
Long
DBT
NUSS
PL
N
2
2021-07-25
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2019-10-24
N/A
1.00000000
NC
USD
2125.58000000
0.000133205881
N/A
DFE
US
N
2
JP MORGAN
N/A
102327500.00000000
THB
3349728.30000000
USD
2019-10-24
2125.58000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2019-11-07
N/A
1.00000000
NC
-5719.45000000
-0.00035842658
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
918580.89000000
EUR
4000000.00000000
PLN
2019-11-07
-5719.45000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A VARIABLE RATE 05/31/2040
903724AW2
2206000.00000000
PA
USD
2057642.09000000
0.128948347671
Long
DBT
NUSS
UA
Y
2
2040-05-31
Floating
0.00005040
N
N
N
N
N
N
Joint Stock Company Development Bank of Kazakhstan
213800LCDPGJ1BI7KX98
DEVELOPMENT BANK OF KAZA 4.125% 12/10/2022
N/A
770000.00000000
PA
USD
798158.90000000
0.050019034813
Long
DBT
NUSS
KZ
N
2
2022-12-10
Fixed
4.12500000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
GUATEMALA GOVERNMENT BOND 144A 4.900000% 06/01/2030
401494AQ2
1292000.00000000
PA
USD
1365127.20000000
0.085549813379
Long
DBT
NUSS
GT
Y
2
2030-06-01
Fixed
4.90000000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 8.000000% 05/22/2032
N/A
1872000.00000000
PA
USD
1960231.10000000
0.122843794179
Long
DBT
NUSS
KE
N
2
2032-05-22
Fixed
8.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-12-03
N/A
1.00000000
NC
USD
-31156.63000000
-0.00195252419
N/A
DFE
US
N
2
JP MORGAN
N/A
36704411.78000000
BRL
8748936.14000000
USD
2019-12-03
-31156.63000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.125000% 01/31/2022
038461AK5
865000.00000000
PA
USD
891460.35000000
0.055866051586
Long
DBT
NUSS
EG
Y
2
2022-01-31
Fixed
6.12500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.950000% 03/26/2051
N/A
591000.00000000
PA
USD
591729.29000000
0.037082500686
Long
DBT
NUSS
GH
N
2
2051-03-26
Fixed
8.95000000
N
N
N
N
N
N
Financiera de Desarrollo Territorial S.A.
54930036EU95I2CWYJ76
FINDETER 7.875000% 08/12/2024
P40420AA2
884000000.00000000
PA
269383.97000000
0.016881758975
Long
DBT
NUSS
CO
N
2
2024-08-12
Fixed
7.87500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
1500000.00000000
PA
367111.30000000
0.023006136867
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 7.100000% 03/08/2023
N/A
37883871.00000000
PA
5558626.96000000
0.348348123951
Long
DBT
NUSS
TR
N
2
2023-03-08
Fixed
7.10000000
N
N
N
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE VIA STATE OF MINAS GERAIS 5.333000% 02/15/2028
G13201AA9
2187300.00000000
PA
USD
2321294.00000000
0.145470889818
Long
DBT
NUSS
KY
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2024
N/A
60173000000.00000000
PA
4501805.16000000
0.282119198349
Long
DBT
NUSS
ID
N
2
2024-03-15
Fixed
8.37500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 8.700200% 03/01/2049
03846JW89
529000.00000000
PA
USD
568675.00000000
0.035637734068
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70020000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 2.439%
N/A
220205000.00000000
NC
-79852.21000000
-0.00500417958
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2028-06-08
0.00000000
HUF
0.00000000
HUF
-220205000.00000000
HUF
-79852.21000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 8.250000% 04/10/2032
283875AH5
326000.00000000
PA
USD
371643.26000000
0.023290145809
Long
DBT
NUSS
SV
Y
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2019-12-19
N/A
1.00000000
NC
17733.60000000
0.001111329530
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
515899.31000000
USD
194700399.29000000
NGN
2019-12-19
17733.60000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.500000% 10/26/2046
N/A
822000.00000000
PA
USD
916628.64000000
0.057443298390
Long
DBT
NUSS
SA
N
2
2046-10-26
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-11-01
N/A
1.00000000
NC
USD
60995.62000000
0.003822474497
N/A
DFE
US
N
2
JP MORGAN
N/A
62023591.96000000
MXN
3186003.40000000
USD
2019-11-01
60995.62000000
N
N
N
Empresas Publicas de Medellin E.S.P.
549300SU25TO8EMXB434
EMPRESAS PUBLICAS DE MEDELLIN ESP 144A 8.375000% 11/08/2027
29246BAD0
1760000000.00000000
PA
539821.27000000
0.033829528051
Long
DBT
NUSS
CO
Y
2
2027-11-08
Fixed
8.37500000
N
N
N
N
N
N
NWD (MTN) LIMITED
254900STSWBVJ5FV9O74
NWD MTN LTD 4.125000% 07/18/2029
N/A
757000.00000000
PA
USD
748449.63000000
0.046903853480
Long
DBT
NUSS
VG
N
2
2029-07-18
Fixed
4.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-10-30
N/A
1.00000000
NC
USD
24436.35000000
0.001531377575
N/A
DFE
US
N
2
JP MORGAN
N/A
34071000.00000000
MXN
1741675.63000000
USD
2019-10-30
24436.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2019-12-04
N/A
1.00000000
NC
USD
19975.06000000
0.001251797382
N/A
DFE
US
N
2
JP MORGAN
N/A
163264973.00000000
RUB
2515639.03000000
USD
2019-12-04
19975.06000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT TREASURY BILL ZERO COUPON 08/04/2020
AZ9120801
33000000.00000000
PA
1795516.48000000
0.112521455717
Long
DBT
NUSS
EG
N
2
2020-08-04
Fixed
0.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.250000% 05/10/2034
N/A
162776000.00000000
PA
2533367.31000000
0.158761103428
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2019-11-20
N/A
1.00000000
NC
USD
-121803.58000000
-0.00763318871
N/A
DFE
US
N
2
JP MORGAN
N/A
509516500.00000000
NGN
1280192.21000000
USD
2019-11-20
-121803.58000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS: 8.09%
N/A
133260019.00000000
NC
-97016.65000000
-0.00607984098
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-28
0.00000000
MXN
0.00000000
MXN
-133260019.00000000
MXN
-97016.65000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.750000% 01/24/2023
P01012AJ5
1690000.00000000
PA
USD
1842116.90000000
0.115441811589
Long
DBT
NUSS
SV
N
2
2023-01-24
Fixed
7.75000000
N
N
N
N
N
N
Ciudad de Buenos Aires
5299007MC8RF52X0ON96
CITY OF BUENOS AIRES VARIABLE RATE 03/29/2024
N/A
66430204.00000000
PA
631298.93000000
0.039562251523
Long
DBT
NUSS
AR
N
2
2024-03-29
Floating
62.71157581
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
5889.46000000
0.000369080774
N/A
DFE
US
N
2
JP MORGAN
N/A
2717434.53000000
SGD
1973239.20000000
USD
2019-12-18
5889.46000000
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 4.700000% 07/30/2049
69370PAE1
244000.00000000
PA
USD
253085.23000000
0.015860349274
Long
DBT
NUSS
ID
Y
2
2049-07-30
Fixed
4.70000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.35% 08/12/2028
P78024AC3
346000.00000000
PA
119102.23000000
0.007463900469
Long
DBT
CORP
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 8.500000% 10/12/2035
Y20721AE9
1704000.00000000
PA
USD
2676168.72000000
0.167710184492
Long
DBT
NUSS
ID
N
2
2035-10-12
Fixed
8.50000000
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 10/04/2047
N/A
1041000.00000000
PA
USD
1181795.25000000
0.074060763781
Long
DBT
NUSS
SA
N
2
2047-10-04
Fixed
4.62500000
N
N
N
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA INTL BOND 5.625000% 05/01/2023
Y6142NAB4
2687000.00000000
PA
USD
2713848.10000000
0.170071476486
Long
DBT
NUSS
MN
N
2
2023-05-01
Fixed
5.62500000
N
N
N
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.500000% 05/15/2047
698299BG8
764000.00000000
PA
USD
907257.64000000
0.056856036411
Long
DBT
NUSS
PA
N
2
2047-05-15
Fixed
4.50000000
N
N
N
N
N
N
Independent State of Papua New Guinea
254900NKI6OC90ZW9W36
PAPUA NEW GUINEA GOVERNMENT INTERNATIONAL BOND 144 8.375000% 10/04/2028
69888UAB1
2203000.00000000
PA
USD
2329672.50000000
0.145995953791
Long
DBT
NUSS
PG
Y
2
2028-10-04
Fixed
8.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
4067.70000000
0.000254914689
N/A
DFE
US
N
2
JP MORGAN
N/A
1005078.53000000
SGD
731717.61000000
USD
2019-12-18
4067.70000000
N
N
N
Republica de Costa Rica
N/A
COSTA RICA GOVERNMENT 4.250000% 01/26/2023
P3699PGB7
870000.00000000
PA
USD
850433.70000000
0.053294992823
Long
DBT
NUSS
CR
N
2
2023-01-26
Fixed
4.25000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.95% 08/12/2031
715638BE1
2240000.00000000
PA
806930.52000000
0.050568734837
Long
DBT
NUSS
XX
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2019-10-22
N/A
1.00000000
NC
USD
-15694.74000000
-0.00098355821
N/A
DFE
US
N
2
JP MORGAN
N/A
4393681.00000000
ILS
1250175.99000000
USD
2019-10-22
-15694.74000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.650000% 11/03/2028
N/A
2183000.00000000
PA
USD
1403756.32000000
0.087970623694
Long
DBT
NUSS
LB
N
2
2028-11-03
Fixed
6.65000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
10608431.15000000
NC
398429.23000000
0.024968769409
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-04
0.00000000
BRL
0.00000000
BRL
-10608431.15000000
BRL
398429.23000000
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 5.000000% 01/15/2030
86964WAG7
494000.00000000
PA
USD
495333.80000000
0.031041586564
Long
DBT
NUSS
AT
Y
2
2030-01-15
Fixed
5.00000000
N
N
N
N
N
N
Republica de Costa Rica
N/A
COSTA RICA GOVERNMENT 7.158% 03/12/2045
N/A
912000.00000000
PA
USD
912009.12000000
0.057153802236
Long
DBT
NUSS
XX
N
2
2045-03-12
Fixed
7.15800000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST GOVERNMENT INTERNATIONAL BOND 144A 6.375000% 03/03/2028
221625AM8
139000.00000000
PA
USD
142235.92000000
0.008913642927
Long
DBT
NUSS
CI
Y
2
2028-03-03
Fixed
6.37500000
N
N
N
N
N
N
Banco de Credito e Inversiones
549300E9E5Y3PKW24142
BANCO DE CREDITO E INVERSIONES SA 144A 3.500000% 10/12/2027
05890MAA1
1046000.00000000
PA
USD
1094639.00000000
0.068598854500
Long
DBT
NUSS
CL
Y
2
2027-10-12
Fixed
3.50000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.844000% 06/20/2030
715638DA7
2843000.00000000
PA
USD
2906967.50000000
0.182173886159
Long
DBT
NUSS
PE
N
2
2030-06-20
Fixed
2.84400000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU GOVERNMENT BOND 144A 5.940000% 02/12/2029
N/A
3863000.00000000
PA
1293878.44000000
0.081084794939
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 3.625000% 08/01/2027
P3143NAY0
353000.00000000
PA
USD
371677.23000000
0.023292274642
Long
DBT
NUSS
CL
N
2
2027-08-01
Fixed
3.62500000
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 5.750000% 04/18/2023
85227SAV8
2108000.00000000
PA
USD
2092285.28000000
0.131119367660
Long
DBT
NUSS
LK
Y
2
2023-04-18
Fixed
5.75000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
549300KEVMSOSY8T8R35
REPUBLIC OF SOUTH AFRICA 8.750000% 02/28/2048
N/A
43401285.00000000
PA
2531849.12000000
0.158665961473
Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
8.75000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 6.375000% 10/24/2048
48667QAS4
1965000.00000000
PA
USD
2441913.36000000
0.153029865815
Long
DBT
NUSS
KZ
Y
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-12-18
N/A
1.00000000
NC
USD
3167.96000000
0.000198529768
N/A
DFE
US
N
2
JP MORGAN
N/A
821142.58000000
SGD
597653.17000000
USD
2019-12-18
3167.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
16583.25000000
0.001039239378
N/A
DFE
US
N
2
JP MORGAN
N/A
1243011.00000000
EUR
1371824.23000000
USD
2019-10-03
16583.25000000
N
N
N
THE OIL AND GAS HOLDING COMPANY B.S.C (CLOSED)
549300OBH16L6TS6IW50
OIL AND GAS HOLDING CO BSCC/THE 144A 7.625000% 11/07/2024
67778M2C3
1158000.00000000
PA
USD
1311958.42000000
0.082217831417
Long
DBT
NUSS
BH
Y
2
2024-11-07
Fixed
7.62500000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2019-12-04
N/A
1.00000000
NC
41616.86000000
0.002608046053
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
1228839.89000000
USD
83112586.00000000
RUB
2019-12-04
41616.86000000
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2019-12-19
N/A
1.00000000
NC
20026.24000000
0.001255004731
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
606786.56000000
USD
228697856.17000000
NGN
2019-12-19
20026.24000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2019-12-20
N/A
1.00000000
NC
-9809.81000000
-0.00061476133
N/A
DFE
KR
N
2
STANDARD CHARTERED BANK
N/A
1629453.14000000
USD
1936719115.00000000
KRW
2019-12-20
-9809.81000000
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
KENYA GOVERNMENT INTERNATIONAL BOND 144A 8.000000% 05/22/2032
491798AK0
961000.00000000
PA
USD
1006293.85000000
0.063062439216
Long
DBT
NUSS
KE
Y
2
2032-05-22
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
R2040 BOND FUTURE NOV19 FINANCIAL COMMODITY FUTURE.
N/A
950.00000000
NC
5928196.11000000
0.371508289401
N/A
DIR
ZA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2040 Bond Future Nov 2019
2019-11-07
6627189.02000000
ZAR
-698992.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2019-10-22
N/A
1.00000000
NC
USD
-16395.35000000
-0.00102746405
N/A
DFE
US
N
2
JP MORGAN
N/A
3308791.00000000
ILS
936905.92000000
USD
2019-10-22
-16395.35000000
N
N
N
Republic of Zambia
2549001MFDXXJB4IQU56
ZAMBIA GOVERNMENT INTERNATIONAL BOND 144A 8.500000% 04/14/2024
988895AE8
1901000.00000000
PA
USD
1351112.94000000
0.084671567507
Long
DBT
NUSS
ZM
Y
2
2024-04-14
Fixed
8.50000000
N
N
N
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.125000% 08/16/2027
156830AA9
723000.00000000
PA
USD
748312.23000000
0.046895242894
Long
DBT
NUSS
PE
Y
2
2027-08-16
Fixed
4.12500000
N
N
N
N
N
N
2019-09-30
SEI INSTITUTIONAL INTERNATIONAL TRUST
James Hoffmayer
James Hoffmayer
CFO