0001752724-20-107121.txt : 20200528
0001752724-20-107121.hdr.sgml : 20200528
20200528115428
ACCESSION NUMBER: 0001752724-20-107121
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200331
FILED AS OF DATE: 20200528
PERIOD START: 20200930
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: 20918984
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
C000017610
C000147410
SEI INSTITUTIONAL INTERNATIONAL TRUST
811-05601
0000835597
E8Z427H460ISEID6A824
ONE FREEDOM VALLEY DRIVE
OAKS
19456
8003425734
SIT Emerging Markets Debt Fund
S000006421
1BNBZ6S2ZXNZOA0AG379
2020-09-30
2020-03-31
N
1453777956.73
111824172.73
1341953784.00
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
62013922.25000000
USD
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3524301.00000000
NC
90145.04000000
0.006717447431
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-3524301.00000000
BRL
90145.04000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2020-04-06
N/A
1.00000000
NC
-196495.56000000
-0.01464249829
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2662102.76000000
EUR
11317078.00000000
PLN
2020-04-06
-196495.56000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.625000% 06/16/2023
N/A
55000000.00000000
PA
1815674.41000000
0.135300815247
Long
DBT
NUSS
TH
N
2
2023-06-16
Fixed
3.62500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 5.625000% 09/30/2031
05675M2A1
1826000.00000000
PA
USD
1506523.04000000
0.112263407127
Long
DBT
NUSS
BH
Y
2
2031-09-30
Fixed
5.62500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 4.850000% 09/27/2027
836205AW4
420000.00000000
PA
USD
368137.56000000
0.027432953682
Long
DBT
NUSS
ZA
N
2
2027-09-27
Fixed
4.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-06-18
N/A
1.00000000
NC
USD
10568.17000000
0.000787521159
N/A
DFE
US
N
2
JP MORGAN
N/A
3758398.00000000
PEN
1101523.45000000
USD
2020-06-18
10568.17000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 4.500000% 09/30/2020
N/A
1507000.00000000
PA
USD
730895.00000000
0.054464990427
Long
DBT
NUSS
AR
N
2
2020-09-30
Fixed
4.50000000
N
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 6.750000% 03/13/2048
N/A
460000.00000000
PA
USD
376500.80000000
0.028056167394
Long
DBT
NUSS
SN
N
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-04-13
N/A
1.00000000
NC
USD
20109.91000000
0.001498554588
N/A
DFE
US
N
2
JP MORGAN
N/A
103401829.00000000
INR
1384153.85000000
USD
2020-04-13
20109.91000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.500000% 04/22/2029
91087BAF7
2486000.00000000
PA
USD
2548174.86000000
0.189885440943
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 7.500000% 03/31/2030
N/A
2127.92000000
PA
USD
2399.23000000
0.000178786335
Long
DBT
NUSS
RU
N
2
2030-03-31
Fixed
7.50000000
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
613060.00000000
0.045684136615
Long
DBT
NUSS
XX
N
2
2025-11-22
Fixed
6.80000000
N
N
N
N
N
N
1MDB Global Investments Limited
N/A
1MDB GLOBAL INVESTMENTS 4.4% 03/09/2023
N/A
6200000.00000000
PA
USD
5362951.64000000
0.399637580961
Long
DBT
NUSS
XX
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA INTERNATIONAL BOND 144A 7.250000% 09/28/2021
817477AB8
200000.00000000
PA
USD
209009.60000000
0.015575022217
Long
DBT
NUSS
RS
Y
2
2021-09-28
Fixed
7.25000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 8.250000% 04/10/2032
283875AH5
326000.00000000
PA
USD
296660.00000000
0.022106573530
Long
DBT
NUSS
SV
Y
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3-MONTH MOSCOW PRIME OFFERED RATE - RUB
N/A
535000000.00000000
NC
-43595.69000000
-0.00324867298
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-12-14
0.00000000
RUB
0.00000000
RUB
-535000000.00000000
RUB
-43595.69000000
N
N
N
PERU LNG S.R.L.
254900F70J1LOALV5K70
PERU LNG SRL 144A 5.375000% 03/22/2030
715604AA2
754000.00000000
PA
USD
452400.00000000
0.033712040265
Long
DBT
NUSS
PE
Y
2
2030-03-22
Fixed
5.37500000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-04-16
N/A
1.00000000
NC
-208502.39000000
-0.01553722583
N/A
DFE
RU
N
2
J P MORGAN CHASE BANK
N/A
2560475.06000000
USD
184114800.00000000
RUB
2020-04-16
-208502.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-05-14
N/A
1.00000000
NC
USD
116191.69000000
0.008658397285
N/A
DFE
US
N
2
JP MORGAN
N/A
196196095.00000000
RUB
2613160.56000000
USD
2020-05-14
116191.69000000
N
N
N
Republic of Kazakhstan
5493007OEK8EF02UO833
REPUBLIC OF KAZAKHSTAN 4.875000% 10/14/2044
N/A
764000.00000000
PA
USD
859004.93000000
0.064011513678
Long
DBT
NUSS
KZ
N
2
2044-10-14
Fixed
4.87500000
N
N
N
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
TURKIYE IHRACAT KREDI BANKASI AS 144A 5.000000% 09/23/2021
30214YAE4
538000.00000000
PA
USD
518416.80000000
0.038631494331
Long
DBT
NUSS
TR
Y
2
2021-09-23
Fixed
5.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
75955700.00000000
NC
8550.71000000
0.000637183642
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-09-12
0.00000000
MXN
0.00000000
MXN
-75955700.00000000
MXN
8550.71000000
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 6.000000% 01/15/2029
86964WAC6
688000.00000000
PA
USD
642420.00000000
0.047871991394
Long
DBT
NUSS
AT
Y
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:CZK - 6M PRAGUE INTERBANK OFFERRATE
N/A
316571217.00000000
NC
-112608.14000000
-0.00839135753
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-03-12
0.00000000
CZK
0.00000000
CZK
-316571217.00000000
CZK
-112608.14000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND 144A 5.250000% 01/16/2050
80413TAL3
326000.00000000
PA
USD
364864.42000000
0.027189045133
Long
DBT
NUSS
SA
Y
2
2050-01-16
Fixed
5.25000000
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2020-04-16
N/A
1.00000000
NC
-4168.54000000
-0.00031063215
N/A
DFE
XX
N
2
STANDARD BANK
N/A
2545355.80000000
USD
3616917.00000000
SGD
2020-04-16
-4168.54000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2026
903724AT9
1008000.00000000
PA
USD
924840.00000000
0.068917425549
Long
DBT
NUSS
UA
Y
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
Republique Gabonaise
N/A
GABON GOVERNMENT INTERNATIONAL BOND 144A 6.950000% 06/16/2025
362420AC5
465000.00000000
PA
USD
308784.97000000
0.023010104646
Long
DBT
NUSS
GA
Y
2
2025-06-16
Fixed
6.95000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 3.125000% 09/30/2049
29135LAF7
3256000.00000000
PA
USD
3028080.00000000
0.225647115131
Long
DBT
NUSS
AE
Y
2
2049-09-30
Fixed
3.12500000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 7.625000% 06/29/2027
N/A
1000000.00000000
PA
USD
1001780.00000000
0.074650856977
Long
DBT
NUSS
BY
N
2
2027-06-29
Fixed
7.62500000
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
1329740.76000000
0.099089907257
Long
DBT
NUSS
VG
N
2
2168-07-24
Fixed
4.50000000
N
N
N
N
N
N
BANCO BRADESCO S.A.
N/A
BANCO BRADESCO SA/CAYMAN ISLANDS MTN 3.200000% 01/27/2025
05947KAZ3
1167000.00000000
PA
USD
1070722.50000000
0.079788328984
Long
DBT
NUSS
BR
Y
2
2025-01-27
Fixed
3.20000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
12719000.00000000
PA
2996854.22000000
0.223320225758
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH CZK - PRIBOR
N/A
121000000.00000000
NC
98406.17000000
0.007333052089
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-09-30
0.00000000
CZK
0.00000000
CZK
-121000000.00000000
CZK
98406.17000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
4693020.00000000
NC
28551.87000000
0.002127634374
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-4693020.00000000
BRL
28551.87000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2026
N/A
26843000.00000000
PA
6856276.55000000
0.510917487006
Long
DBT
NUSS
PL
N
2
2026-07-25
Fixed
2.50000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2020-04-21
N/A
1.00000000
NC
-93355.47000000
-0.00695668294
N/A
DFE
HU
N
2
J P MORGAN CHASE BANK
N/A
1526739.02000000
EUR
519747186.00000000
HUF
2020-04-21
-93355.47000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-12662.68000000
-0.00094360030
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
603317.46000000
USD
502255756.00000000
CLP
2020-06-17
-12662.68000000
N
N
N
MILLICOM INTERNATIONAL CELLULAR S.A.
549300CTHC1CP86P2G96
MILLICOM INTERNATIONAL CELLULAR SA 144A 6.250000% 03/25/2029
600814AQ0
449000.00000000
PA
USD
401855.00000000
0.029945517110
Long
DBT
NUSS
LU
Y
2
2029-03-25
Fixed
6.25000000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VEN 5.375% 04/12/2027
N/A
4563300.00000000
PA
USD
273798.00000000
0.020402938108
Long
DBT
NUSS
VE
N
2
2027-04-12
Fixed
5.37500000
Y
N
N
N
N
N
AI CANDELARIA (SPAIN) SL
N/A
AI CANDELARIA SPAIN SLU 144A 7.500000% 12/15/2028
001355AA4
975000.00000000
PA
USD
724342.13000000
0.053976682255
Long
DBT
NUSS
ES
Y
2
2028-12-15
Fixed
7.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO PAY: 1-DAY-CLP - SINACOFI CHILE INTERBANK RATE AVG
N/A
165659000.00000000
NC
6630.64000000
0.000494103454
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO
N/A
Y
2030-01-08
0.00000000
CLP
0.00000000
CLP
-165659000.00000000
CLP
6630.64000000
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
51845.44000000
0.003863429621
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
51845.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-04-22
N/A
1.00000000
NC
USD
29793.20000000
0.002220136069
N/A
DFE
US
N
2
JP MORGAN
N/A
2852000.00000000
BRL
578909.98000000
USD
2020-04-22
29793.20000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.750000% 12/31/2032
N/A
1316714.99000000
PA
USD
1181422.52000000
0.088037496826
Long
DBT
NUSS
CI
N
2
2032-12-31
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-04-23
N/A
1.00000000
NC
USD
-6693.54000000
-0.00049879064
N/A
DFE
US
N
2
JP MORGAN
N/A
5140227.70000000
EGP
317906.35000000
USD
2020-04-23
-6693.54000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 8.450000% 08/10/2028
29646AAD8
471000.00000000
PA
USD
326874.00000000
0.024358066864
Long
DBT
NUSS
ZA
Y
2
2028-08-10
Fixed
8.45000000
N
N
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO PAY: 1-DAY-CLP - SINACOFI CHILE INTERBANK RATE AVG
N/A
614727008.00000000
NC
-9607.54000000
-0.00071593672
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO
N/A
Y
2030-03-19
0.00000000
CLP
0.00000000
CLP
-614727008.00000000
CLP
-9607.54000000
N
N
N
Republique Gabonaise
N/A
GABON GOVERNMENT INTERNATIONAL BOND 144A 6.625000% 02/06/2031
362420AD3
536000.00000000
PA
USD
329015.97000000
0.024517682644
Long
DBT
NUSS
GA
Y
2
2031-02-06
Fixed
6.62500000
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
1643053.36000000
0.122437402807
Long
DBT
NUSS
ID
N
2
2025-01-15
Fixed
4.12500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 4.250000% 06/23/2027
N/A
800000.00000000
PA
USD
837488.00000000
0.062408110471
Long
DBT
NUSS
RU
Y
2
2027-06-23
Fixed
4.25000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-06-02
N/A
1.00000000
NC
-1210367.66000000
-0.09019443697
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
8674839.00000000
USD
38862871.00000000
BRL
2020-06-02
-1210367.66000000
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN LISTRIK NEGARA PT MTN 4.375000% 02/05/2050
71568PAM1
265000.00000000
PA
USD
235850.00000000
0.017575120902
Long
DBT
NUSS
ID
Y
2
2050-02-05
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-6731.64000000
-0.00050162979
N/A
DFE
US
N
2
JP MORGAN
N/A
68989594.25000000
INR
892376.07000000
USD
2020-06-17
-6731.64000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-96793.34000000
-0.00721286687
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
2619510.33000000
USD
59471259.00000000
MXN
2020-05-06
-96793.34000000
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 9.125000% 11/26/2049
035198AE0
2649000.00000000
PA
USD
1036151.05000000
0.077212126256
Long
DBT
NUSS
AO
Y
2
2049-11-26
Fixed
9.12500000
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
315022.50000000
0.023474914244
Long
DBT
NUSS
BM
Y
2
2027-11-09
Fixed
5.87500000
N
N
N
N
N
N
LIQUID TELECOMMUNICATIONS FINANCING PLC
635400MXAVJRJJCWVI87
LIQUID TELECOMMUNICATIONS FINANCING PLC 144A 8.500000% 07/13/2022
536333AA5
836000.00000000
PA
USD
609744.96000000
0.045437105753
Long
DBT
NUSS
GB
Y
2
2022-07-13
Fixed
8.50000000
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
155552.93000000
0.011591526612
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-03-23
0.00000000
RUB
0.00000000
RUB
-715569627.00000000
RUB
155552.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-05-06
N/A
1.00000000
NC
USD
8703.14000000
0.000648542453
N/A
DFE
US
N
2
JP MORGAN
N/A
1784910.00000000
TRY
277075.27000000
USD
2020-05-06
8703.14000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: KZT/USD SETTLE 2020-06-05
N/A
1.00000000
NC
-13865.74000000
-0.00103325018
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
109118.28000000
USD
43756431.00000000
KZT
2020-06-05
-13865.74000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.950000% 05/15/2030
N/A
122330000.00000000
PA
4576042.07000000
0.340998484788
Long
DBT
NUSS
CZ
N
2
2030-05-15
Fixed
0.95000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
141240.00000000
0.010524952623
N/A
DFE
XX
N
2
JP MORGAN
N/A
13802949.93000000
USD
12707893.00000000
EUR
2020-04-03
141240.00000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
47200221.00000000
NC
-40748.05000000
-0.00303647193
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-03-05
0.00000000
MXN
0.00000000
MXN
-47200221.00000000
MXN
-40748.05000000
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO PAY: 1.960%
N/A
2569904926.00000000
NC
-66322.10000000
-0.00494220447
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO
N/A
Y
2021-12-12
0.00000000
CLP
0.00000000
CLP
-2569904926.00000000
CLP
-66322.10000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6M HUF BUBOR
N/A
460000000.00000000
NC
26389.99000000
0.001966534936
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-02-18
0.00000000
HUF
0.00000000
HUF
-460000000.00000000
HUF
26389.99000000
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN LISTRIK NEGARA PT MTN 6.150000% 05/21/2048
71568PAF6
657000.00000000
PA
USD
709560.00000000
0.052875144320
Long
DBT
NUSS
ID
Y
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-5904.25000000
-0.00043997416
N/A
DFE
US
N
2
JP MORGAN
N/A
68772198.07000000
INR
890370.25000000
USD
2020-06-17
-5904.25000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 5.350000% 02/12/2028
71654QCH3
1079000.00000000
PA
USD
752613.29000000
0.056083398621
Long
DBT
NUSS
MX
Y
2
2028-02-12
Fixed
5.35000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.750000% 03/22/2024
900123CF5
683000.00000000
PA
USD
635907.15000000
0.047386665441
Long
DBT
NUSS
TR
N
2
2024-03-22
Fixed
5.75000000
N
N
N
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT 4.375000% 04/30/2025
P3699PGE1
662000.00000000
PA
USD
544495.00000000
0.040574795234
Long
DBT
NUSS
CR
N
2
2025-04-30
Fixed
4.37500000
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
631839.72000000
0.047083567819
Long
DBT
NUSS
ID
Y
2
2023-11-15
Fixed
5.71000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-30053.21000000
-0.00223951155
N/A
DFE
XX
N
2
JP MORGAN
N/A
1070793.63000000
USD
948468.00000000
EUR
2020-04-03
-30053.21000000
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE REC: 1.005%
N/A
900000000.00000000
NC
3677.35000000
0.000274029556
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2025-03-06
0.00000000
HUF
0.00000000
HUF
-900000000.00000000
HUF
3677.35000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 15.900000% 07/02/2024
N/A
19208000.00000000
PA
1294982.48000000
0.096499782290
Long
DBT
NUSS
EG
N
2
2024-07-02
Fixed
15.90000000
N
N
N
N
N
N
JANUB GAZ DAHLIZI GAPALI SAHMDAR JAMIYYATI
213800DG58KG59XY6318
SOUTHERN GAS CORRIDOR CJSC 144A 6.875000% 03/24/2026
84302LAA0
1122000.00000000
PA
USD
1141635.00000000
0.085072601874
Long
DBT
NUSS
AZ
Y
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 9.500000% 09/15/2027
71654QAM4
169000.00000000
PA
USD
145862.21000000
0.010869391460
Long
DBT
NUSS
MX
N
2
2027-09-15
Fixed
9.50000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-20
N/A
1.00000000
NC
-180476.95000000
-0.01344882008
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
1649477.82000000
USD
34700700.00000000
MXN
2020-05-20
-180476.95000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-04-21
N/A
1.00000000
NC
USD
-80963.99000000
-0.00603329197
N/A
DFE
US
N
2
JP MORGAN
N/A
47000000.00000000
EGP
2888752.30000000
USD
2020-04-21
-80963.99000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.817000% 03/14/2049
74727PBB6
795000.00000000
PA
USD
936363.72000000
0.069776152589
Long
DBT
NUSS
QA
Y
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 8.747000% 01/21/2031
65412JAK9
1582000.00000000
PA
USD
1135711.47000000
0.084631190994
Long
DBT
NUSS
NG
Y
2
2031-01-21
Fixed
8.74700000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-05-05
N/A
1.00000000
NC
-18470.79000000
-0.00137641029
N/A
DFE
TH
N
2
GOLDMAN, SACHS & CO.
N/A
383397.26000000
USD
11970318.00000000
THB
2020-05-05
-18470.79000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT VARIABLE RATE 05/31/2040
N/A
5133000.00000000
PA
USD
3734770.80000000
0.278308451790
Long
DBT
NUSS
UA
N
2
2040-05-31
Floating
0.00001080
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.000000% 10/12/2046
836205AV6
357000.00000000
PA
USD
246330.00000000
0.018356071791
Long
DBT
NUSS
ZA
N
2
2046-10-12
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-05-13
N/A
1.00000000
NC
USD
236071.98000000
0.017591662456
N/A
DFE
US
N
2
JP MORGAN
N/A
17725212.00000000
TRY
2896148.70000000
USD
2020-05-13
236071.98000000
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 3.150000% 01/14/2030
21987BBB3
897000.00000000
PA
USD
829276.50000000
0.061796204153
Long
DBT
NUSS
CL
Y
2
2030-01-14
Fixed
3.15000000
N
N
N
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
359689.27000000
0.026803402195
Long
DBT
NUSS
CL
Y
2
2027-08-01
Fixed
3.62500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH HUF - BUBOR
N/A
1390000000.00000000
NC
18958.07000000
0.001412721527
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-09-21
0.00000000
HUF
0.00000000
HUF
-1390000000.00000000
HUF
18958.07000000
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE VIA STATE OF MINAS GERAIS 5.333000% 02/15/2028
G13201AA9
1204800.00000000
PA
USD
1208426.45000000
0.090049781475
Long
DBT
NUSS
KY
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 5.250000% 01/15/2028
N/A
155000.00000000
PA
39457.08000000
0.002940271153
Long
DBT
NUSS
AR
N
2
2028-01-15
Fixed
5.25000000
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
967330.00000000
0.072083704486
Long
DBT
NUSS
TR
Y
2
2022-05-03
Fixed
5.12500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
94897800.00000000
PA
3952421.52000000
0.294527394842
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 8.250000% 05/09/2028
N/A
596000.00000000
PA
USD
240073.57000000
0.017889853798
Long
DBT
NUSS
AO
N
2
2028-05-09
Fixed
8.25000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICAN UDIBONOS 4.0% 11/15/2040
N/A
37715808.00000000
PA
1667747.96000000
0.124277600308
Long
DBT
NUSS
XX
N
2
2040-11-15
Floating
3.99999936
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2020-05-20
N/A
1.00000000
NC
USD
314422.79000000
0.023430224926
N/A
DFE
US
N
2
JP MORGAN
N/A
14419600.00000000
PLN
3787654.32000000
USD
2020-05-20
314422.79000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2021
N/A
1448000.00000000
PA
USD
1390080.00000000
0.103586279689
Long
DBT
NUSS
UA
N
2
2021-09-01
Fixed
7.75000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 3.375000% 01/15/2023
N/A
680000.00000000
PA
186532.36000000
0.013900058424
Long
DBT
NUSS
AR
N
2
2023-01-15
Fixed
3.37500000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN LISTRIK NEGARA PT 144A 1.875000% 11/05/2031
N/A
691000.00000000
PA
690038.60000000
0.051420444446
Long
DBT
NUSS
ID
Y
2
2031-11-05
Fixed
1.87500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2027
N/A
624000.00000000
PA
USD
569593.44000000
0.042445086171
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.950000% 01/28/2060
71654QDA7
9965000.00000000
PA
USD
6676550.00000000
0.497524585392
Long
DBT
NUSS
MX
Y
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 18.000000% 11/06/2028
N/A
30307000.00000000
PA
2307706.61000000
0.171966176295
Long
DBT
NUSS
EG
N
2
2028-11-06
Fixed
18.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 01/08/2026
Y20721BN8
1433000.00000000
PA
USD
1516576.73000000
0.113012590156
Long
DBT
NUSS
ID
N
2
2026-01-08
Fixed
4.75000000
N
N
N
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
674891.17000000
0.050291685007
Long
DBT
NUSS
XX
N
2
2021-08-20
Fixed
7.45000000
N
N
N
N
N
N
CHINA MINMETALS CORPORATION
3003002ULBI4T3DT7Z09
CHINA MINMETALS CORP 4.450000% MATURITY: PERPETUAL
N/A
640000.00000000
PA
USD
633920.00000000
0.047238586571
Long
DBT
NUSS
CN
N
2
2168-11-13
Fixed
4.45000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 5.875000% 01/11/2028
040114HQ6
1294000.00000000
PA
USD
353921.94000000
0.026373631060
Long
DBT
NUSS
AR
N
2
2028-01-11
Fixed
5.87500000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.650000% 06/15/2035
P01012AN6
499000.00000000
PA
USD
424150.00000000
0.031606900703
Long
DBT
NUSS
SV
N
2
2035-06-15
Fixed
7.65000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 10.750000% 01/31/2029
N/A
1375000.00000000
PA
USD
388437.50000000
0.028945668966
Long
DBT
NUSS
EC
N
2
2029-01-31
Fixed
10.75000000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 8.500000% 03/15/2028
P80557BV5
8397000.00000000
PA
156264.51000000
0.011644552283
Long
DBT
NUSS
UY
N
2
2028-03-15
Fixed
8.50000000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.000000% 01/28/2032
N/A
380000.00000000
PA
373513.02000000
0.027833523363
Long
DBT
NUSS
RO
N
2
2032-01-28
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
592.24000000
0.000044132667
N/A
DFE
US
N
2
JP MORGAN
N/A
136471.25000000
EUR
150340.20000000
USD
2020-04-03
592.24000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.625000% 04/16/2030
N/A
2155000.00000000
PA
1797665.88000000
0.133958851745
Long
DBT
NUSS
EG
Y
2
2030-04-16
Fixed
5.62500000
N
N
N
N
N
N
Gaz Capital S.A.
213800568PRHV2JR9650
GAZPROM PJSC VIA GAZ CAPITAL SA 144A 5.150000% 02/11/2026
N/A
2673000.00000000
PA
USD
2791969.88000000
0.208052610551
Long
DBT
NUSS
LU
Y
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2021
N/A
22386000.00000000
PA
4522323.59000000
0.336995479570
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
10.00000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 6.750000% 08/06/2023
29646AAA4
1329000.00000000
PA
USD
987447.00000000
0.073582787408
Long
DBT
NUSS
ZA
Y
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FOREIGN BOND - EUROBOND 144A 5.100000% 03/28/2035
AX8009109
600000.00000000
PA
USD
693000.00000000
0.051641122687
Long
DBT
NUSS
RU
Y
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.2% 08/12/2026
715638AY8
9942000.00000000
PA
3594769.50000000
0.267875804879
Long
DBT
NUSS
XX
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 8.000000% 11/26/2029
N/A
132000.00000000
PA
USD
53460.00000000
0.003983743750
Long
DBT
NUSS
AO
N
2
2029-11-26
Fixed
8.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
181933.51000000
0.013557360333
N/A
DFE
US
N
2
JP MORGAN
N/A
6708595.00000000
EUR
7562599.14000000
USD
2020-06-17
181933.51000000
N
N
N
KONDOR FINANCE PLC
213800PUC1T9GI6EIO63
NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC 7.125000% 07/19/2024
N/A
720000.00000000
PA
647815.93000000
0.048274086464
Long
DBT
NUSS
GB
N
2
2024-07-19
Fixed
7.12500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.470000% 11/12/2026
N/A
175079400.00000000
PA
5645856.80000000
0.420719168373
Long
DBT
NUSS
MX
N
2
2026-11-12
Fixed
7.47000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 2.750000% 02/03/2032
80413TAQ2
2850000.00000000
PA
USD
2622000.00000000
0.195386758565
Long
DBT
NUSS
SA
Y
2
2032-02-03
Fixed
2.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.000000% 01/14/2041
900123BJ8
308000.00000000
PA
USD
240873.25000000
0.017949444524
Long
DBT
NUSS
TR
N
2
2041-01-14
Fixed
6.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 17.700000% 08/07/2025
N/A
29457000.00000000
PA
2128792.84000000
0.158633841595
Long
DBT
NUSS
EG
N
2
2025-08-07
Fixed
17.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-3159.95000000
-0.00023547383
N/A
DFE
US
N
2
JP MORGAN
N/A
5237911.77000000
PEN
1517311.71000000
USD
2020-06-17
-3159.95000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-04-02
N/A
1.00000000
NC
-12985.68000000
-0.00096766968
N/A
DFE
XX
N
2
JP MORGAN
N/A
1671892.77000000
EUR
8021418.82000000
RON
2020-04-02
-12985.68000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.882000% 03/10/2022
N/A
5848000.00000000
PA
1382148.12000000
0.102995210153
Long
DBT
NUSS
MY
N
2
2022-03-10
Fixed
3.88200000
N
N
N
N
N
N
Ciudad de Buenos Aires
5299007MC8RF52X0ON96
CITY OF BUENOS AIRES VARIABLE RATE 03/29/2024
N/A
16585535.00000000
PA
170730.97000000
0.012722567053
Long
DBT
NUSS
AR
N
2
2024-03-29
Floating
32.39919503
N
N
N
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2020-06-17
N/A
1.00000000
NC
24852.16000000
0.001851938591
N/A
DFE
IL
N
2
CITIGROUP GLOBAL MARKETS
N/A
678465.90000000
USD
2476739.78000000
ILS
2020-06-17
24852.16000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-06
N/A
1.00000000
NC
USD
93130.68000000
0.006939931993
N/A
DFE
US
N
2
JP MORGAN
N/A
11223123.31000000
MXN
569205.41000000
USD
2020-05-06
93130.68000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 9.500000% 03/27/2030
N/A
1489000.00000000
PA
USD
439255.00000000
0.032732498334
Long
DBT
NUSS
EC
Y
2
2030-03-27
Fixed
9.50000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.000000% 01/27/2045
105756BW9
327000.00000000
PA
USD
310650.00000000
0.023149083351
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
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
547000.00000000
PA
USD
481994.52000000
0.035917371056
Long
DBT
NUSS
BH
N
2
2028-11-07
Fixed
8.37500000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 5.500000% 06/24/2025
N/A
648990000.00000000
PA
2344857.41000000
0.174734587580
Long
DBT
NUSS
HU
N
2
2025-06-24
Fixed
5.50000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 02/11/2035
37443GAH4
1897000.00000000
PA
USD
1335488.00000000
0.099518181320
Long
DBT
NUSS
GH
Y
2
2035-02-11
Fixed
7.87500000
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
264690.00000000
0.019724226210
Long
DBT
NUSS
VE
N
2
2028-05-07
Fixed
9.25000000
Y
Y
N
N
N
N
Fondo MIVIVIENDA S.A.
549300X41PNOK11PZ670
FONDO MIVIVIENDA SA 144A 7.000000% 02/14/2024
344593AE8
3704000.00000000
PA
1147216.12000000
0.085488496971
Long
DBT
NUSS
PE
Y
2
2024-02-14
Fixed
7.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
26000000.00000000
NC
-16422.48000000
-0.00122377388
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-09-16
0.00000000
MXN
0.00000000
MXN
-26000000.00000000
MXN
-16422.48000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.130000% 11/21/2029
N/A
6500000.00000000
PA
958931.21000000
0.071457841650
Long
DBT
NUSS
CN
N
2
2029-11-21
Fixed
3.13000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 1.500000% 06/26/2029
N/A
3154000.00000000
PA
3157910.62000000
0.235321861129
Long
DBT
NUSS
RS
N
2
2029-06-26
Fixed
1.50000000
N
N
N
N
N
N
ALIBABA GROUP HOLDING LIMITED
5493001NTNQJDH60PM02
ALIBABA GROUP HOLDING LTD 4.200000% 12/06/2047
01609WAV4
310000.00000000
PA
USD
377962.04000000
0.028165056390
Long
DBT
NUSS
KY
N
2
2047-12-06
Fixed
4.20000000
N
N
N
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 9.375000% 04/01/2029
698299AK0
1004000.00000000
PA
USD
1421925.04000000
0.105959315212
Long
DBT
NUSS
PA
N
2
2029-04-01
Fixed
9.37500000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-14856.46000000
-0.00110707687
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
593119.88000000
USD
491718921.00000000
CLP
2020-06-17
-14856.46000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 6.750000% 06/20/2026
N/A
939000.00000000
PA
911059.87000000
0.067890554865
Long
DBT
NUSS
UA
N
2
2026-06-20
Fixed
6.75000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
STANDARD CHARTERED BANK MTN 8.375000% 10/18/2039
AX1409058
20797000000.00000000
PA
1272837.16000000
0.094849552583
Long
DBT
NUSS
GB
N
2
2039-10-18
Fixed
8.37500000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 01/28/2050
N/A
1660000.00000000
PA
1624347.26000000
0.121043457633
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 8.250000% 05/17/2034
N/A
3822000.00000000
PA
USD
612284.40000000
0.045626340288
Long
DBT
NUSS
LB
N
2
2034-05-17
Fixed
8.25000000
Y
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 4.500000% 08/20/2032
BG1390940
177880000.00000000
PA
1835590.39000000
0.136784918518
Long
DBT
NUSS
RS
N
2
2032-08-20
Fixed
4.50000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.500000% 01/25/2050
168863DL9
4669000.00000000
PA
USD
4820742.50000000
0.359233123932
Long
DBT
NUSS
CL
N
2
2050-01-25
Fixed
3.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH PZL - WIBOR
N/A
11700000.00000000
NC
182263.26000000
0.013581932714
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-02-26
0.00000000
PLN
0.00000000
PLN
-11700000.00000000
PLN
182263.26000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.250000% 03/31/2036
N/A
68414000.00000000
PA
2329370.29000000
0.173580515049
Long
DBT
NUSS
ZA
N
2
2036-03-31
Fixed
6.25000000
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
755277.60000000
0.056281938245
Long
DBT
NUSS
KZ
N
2
2022-12-10
Fixed
4.12500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 3.750000% 01/17/2022
AW7147597
159400000.00000000
PA
1520633.14000000
0.113314866587
Long
DBT
NUSS
RS
N
2
2022-01-17
Fixed
3.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 8.500000% 09/14/2022
N/A
3863771.00000000
PA
543340.51000000
0.040488764701
Long
DBT
NUSS
TR
N
2
2022-09-14
Fixed
8.50000000
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
525112.50000000
0.039130445940
Long
DBT
NUSS
MX
Y
2
2050-01-26
Fixed
4.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 7.375000% 09/18/2037
195325BK0
749000.00000000
PA
USD
932505.00000000
0.069488607664
Long
DBT
NUSS
CO
N
2
2037-09-18
Fixed
7.37500000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
REPUBLIC OF KOREA 2.000000% 06/19/2024
50064FAR5
1026000.00000000
PA
USD
1051416.65000000
0.078349691512
Long
DBT
NUSS
KR
N
2
2024-06-19
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-04-16
N/A
1.00000000
NC
USD
889947.73000000
0.066317315887
N/A
DFE
US
N
2
JP MORGAN
N/A
425523300.00000000
RUB
6325790.87000000
USD
2020-04-16
889947.73000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.500000% 03/13/2027
71654QCG5
709000.00000000
PA
USD
523022.21000000
0.038974681262
Long
DBT
NUSS
MX
N
2
2027-03-13
Fixed
6.50000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-6657.39000000
-0.00049609681
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
593570.41000000
USD
499074000.00000000
CLP
2020-06-17
-6657.39000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS: 8.125%
N/A
60000000.00000000
NC
-48040.40000000
-0.00357988483
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-28
0.00000000
MXN
0.00000000
MXN
-60000000.00000000
MXN
-48040.40000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1D BRL CETIP
N/A
6503772.00000000
NC
10404.89000000
0.000775353825
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-6503772.00000000
BRL
10404.89000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-113841.78000000
-0.00848328618
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1961454.51000000
USD
7670464.02000000
PLN
2020-06-17
-113841.78000000
N
N
N
MDGH ? GMTN B.V.
213800L53ZH5KG593W13
MDGH - GMTN BV MTN 4.500000% 11/07/2028
55276VAG7
1346000.00000000
PA
USD
1415830.48000000
0.105505159483
Long
DBT
NUSS
NL
Y
2
2028-11-07
Fixed
4.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 11.000000% 03/02/2022
N/A
28809000.00000000
PA
4297143.05000000
0.320215427776
Long
DBT
NUSS
TR
N
2
2022-03-02
Fixed
11.00000000
N
N
N
N
N
N
VOTORANTIM CIMENTOS S.A.
LXVM6T3LO7QIZ8LUZ688
VOTORANTIM CIMENTOS INTERNATIONAL SA 7.250000% 04/05/2041
P98088AA8
740000.00000000
PA
USD
744632.40000000
0.055488676948
Long
DBT
NUSS
LU
N
2
2041-04-05
Fixed
7.25000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 4.625000% 01/11/2023
040114HP8
4611000.00000000
PA
USD
1341847.11000000
0.099992050843
Long
DBT
NUSS
AR
N
2
2023-01-11
Fixed
4.62500000
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
1546550.80000000
0.115246204335
Long
DBT
NUSS
BJ
Y
2
2026-03-26
Fixed
5.75000000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 5.800000% 07/26/2027
N/A
3950000.00000000
PA
970351.26000000
0.072308843387
Long
DBT
NUSS
RO
N
2
2027-07-26
Fixed
5.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-8712.64000000
-0.00064925037
N/A
DFE
US
N
2
JP MORGAN
N/A
9201017.39000000
PEN
2662177.36000000
USD
2020-06-17
-8712.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2020-06-17
N/A
1.00000000
NC
USD
11871.52000000
0.000884644474
N/A
DFE
US
N
2
JP MORGAN
N/A
3125726244.00000000
COP
778512.14000000
USD
2020-06-17
11871.52000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.000000% 08/16/2023
N/A
384668000.00000000
PA
5010339.62000000
0.373361562800
Long
DBT
NUSS
RU
N
2
2023-08-16
Fixed
7.00000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 7.875000% 01/23/2028
N/A
2771000.00000000
PA
USD
759863.62000000
0.056623680268
Long
DBT
NUSS
EC
N
2
2028-01-23
Fixed
7.87500000
N
N
N
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-3390.55000000
-0.00025265773
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
163905.85000000
USD
64742810.59000000
NGN
2020-04-30
-3390.55000000
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-2179.03000000
-0.00016237742
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
164477.83000000
USD
65462175.16000000
NGN
2020-04-30
-2179.03000000
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
934560.00000000
0.069641742595
Long
DBT
NUSS
LK
Y
2
2026-07-18
Fixed
6.82500000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 6.375000% 10/24/2048
48667QAS4
2522000.00000000
PA
USD
2496780.00000000
0.186055587738
Long
DBT
NUSS
KZ
Y
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 6.000000% 09/19/2044
05674RAD6
2302000.00000000
PA
USD
1754989.55000000
0.130778687829
Long
DBT
NUSS
BH
Y
2
2044-09-19
Fixed
6.00000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-06-17
N/A
1.00000000
NC
539.53000000
0.000040204812
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
174281.47000000
USD
2881744050.00000000
IDR
2020-06-17
539.53000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
16116470.00000000
NC
89389.07000000
0.006661113897
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-16116470.00000000
BRL
89389.07000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.500000% 03/08/2047
N/A
957000.00000000
PA
USD
624597.53000000
0.046543892751
Long
DBT
NUSS
OM
N
2
2047-03-08
Fixed
6.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-04-16
N/A
1.00000000
NC
USD
-565.82000000
-0.00004216389
N/A
DFE
US
N
2
JP MORGAN
N/A
1936000.00000000
PEN
562381.99000000
USD
2020-04-16
-565.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-06
N/A
1.00000000
NC
USD
280388.49000000
0.020894049656
N/A
DFE
US
N
2
JP MORGAN
N/A
30934735.75000000
MXN
1592611.98000000
USD
2020-05-06
280388.49000000
N
N
N
Perusahaan Penerbit Surat Berharga Syariah Negara Indonesia III
254900G208H6Q0L5B953
PERUSAHAAN PENERBIT SBSN 4.325000% 05/28/2025
71567RAD8
2135000.00000000
PA
USD
2148429.15000000
0.160097104357
Long
DBT
NUSS
ID
N
2
2025-05-28
Fixed
4.32500000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 5.875000% 01/30/2025
P01012AS5
903000.00000000
PA
USD
792382.50000000
0.059046929145
Long
DBT
NUSS
SV
N
2
2025-01-30
Fixed
5.87500000
N
N
N
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
582963.77000000
0.043441419291
Long
DBT
NUSS
NL
Y
2
2029-05-07
Fixed
5.12500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.000000% 06/15/2045
195325CU7
2365000.00000000
PA
USD
2424125.00000000
0.180641466859
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.125000% 06/15/2033
N/A
646000.00000000
PA
USD
562323.62000000
0.041903352164
Long
DBT
NUSS
CI
N
2
2033-06-15
Fixed
6.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2020-04-14
N/A
1.00000000
NC
USD
203232.57000000
0.015144528255
N/A
DFE
US
N
2
JP MORGAN
N/A
4988698282.00000000
COP
1431185.69000000
USD
2020-04-14
203232.57000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 5.875000% 07/25/2022
85227SAK2
308000.00000000
PA
USD
203280.00000000
0.015148062654
Long
DBT
NUSS
LK
Y
2
2022-07-25
Fixed
5.87500000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2020-04-16
N/A
1.00000000
NC
-146236.54000000
-0.01089728586
N/A
DFE
KR
N
2
JP MORGAN
N/A
6629398.20000000
USD
7893491850.00000000
KRW
2020-04-16
-146236.54000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 4.500000% 05/30/2029
105756CA6
3004000.00000000
PA
USD
3082374.36000000
0.229693033899
Long
DBT
NUSS
BR
N
2
2029-05-30
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2020-07-29
N/A
1.00000000
NC
USD
332425.38000000
0.024771745790
N/A
DFE
US
N
2
JP MORGAN
N/A
1094519244.00000000
NGN
2834367.22000000
USD
2020-07-29
332425.38000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2020-04-16
N/A
1.00000000
NC
-52839.67000000
-0.00393751786
N/A
DFE
MY
N
2
BARCLAYS CAPITAL INC.
N/A
5205799.07000000
USD
36505666.00000000
CNY
2020-04-16
-52839.67000000
N
N
N
RUSAL CAPITAL DESIGNATED ACTIVITY COMPANY
549300VAUKY08SYXL004
RUSAL CAPITAL DAC 5.125000% 02/02/2022
N/A
860000.00000000
PA
USD
801950.00000000
0.059759882162
Long
DBT
NUSS
IE
N
2
2022-02-02
Fixed
5.12500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 04/11/2031
N/A
2151000.00000000
PA
1859059.53000000
0.138533796928
Long
DBT
NUSS
EG
Y
2
2031-04-11
Fixed
6.37500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2027
N/A
13716000.00000000
PA
3499842.39000000
0.260802006129
Long
DBT
NUSS
PL
N
2
2027-07-25
Fixed
2.50000000
N
N
N
N
N
N
Banco del Estado de Chile
5493004R4EJC0W0XVQ72
BANCO DEL ESTADO DE CHILE 144A 2.704000% 01/09/2025
05965MAG8
272000.00000000
PA
USD
253166.72000000
0.018865531959
Long
DBT
NUSS
CL
Y
2
2025-01-09
Fixed
2.70400000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-9939.74000000
-0.00074069167
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
493202.74000000
USD
410936527.00000000
CLP
2020-06-17
-9939.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-04-14
N/A
1.00000000
NC
USD
237120.84000000
0.017669821630
N/A
DFE
US
N
2
JP MORGAN
N/A
8202500.00000000
BRL
1817285.54000000
USD
2020-04-14
237120.84000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 7.125000% 06/28/2117
040114HN3
400000.00000000
PA
USD
107004.00000000
0.007973747030
Long
DBT
NUSS
AR
N
2
2117-06-28
Fixed
7.12500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 9.000000% 01/31/2040
N/A
83611065.00000000
PA
3678530.27000000
0.274117507909
Long
DBT
NUSS
ZA
N
2
2040-01-31
Fixed
9.00000000
N
N
N
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
JORDAN GOVERNMENT INTERNATIONAL BOND 144A 7.375000% 10/10/2047
418097AJ0
1629000.00000000
PA
USD
1364346.14000000
0.101668638388
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.37500000
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
871500.00000000
0.064942623985
Long
DBT
NUSS
PK
N
2
2025-09-30
Fixed
8.25000000
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
36517.68000000
0.002721232313
N/A
DFE
US
N
2
JP MORGAN
N/A
2032877.00000000
EUR
2267164.65000000
USD
2020-04-03
36517.68000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.450000% 12/17/2024
N/A
53200000.00000000
PA
1650310.95000000
0.122978225455
Long
DBT
NUSS
TH
N
2
2024-12-17
Fixed
1.45000000
N
N
N
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
TURKIYE IHRACAT KREDI BANKASI AS 144A 6.125000% 05/03/2024
90015LAD9
247000.00000000
PA
USD
210444.00000000
0.015681911143
Long
DBT
NUSS
TR
Y
2
2024-05-03
Fixed
6.12500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2023
903724AQ5
266000.00000000
PA
USD
248710.00000000
0.018533425142
Long
DBT
NUSS
UA
Y
2
2023-09-01
Fixed
7.75000000
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
599247.12000000
0.044654825460
Long
DBT
NUSS
KE
Y
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU GOVERNMENT BOND 144A 5.400000% 08/12/2034
N/A
4002000.00000000
PA
1152324.40000000
0.085869156877
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
5.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-01
N/A
1.00000000
NC
USD
-1550.43000000
-0.00011553527
N/A
DFE
US
N
2
JP MORGAN
N/A
1561000.00000000
MXN
64990.49000000
USD
2020-04-01
-1550.43000000
N
N
N
POWERTEK INVESTMENT HOLDINGS SDN. BHD.
N/A
1MDB ENERGY LTD 5.990000% 05/11/2022
N/A
2000000.00000000
PA
USD
2007417.42000000
0.149589162006
Long
DBT
NUSS
MY
N
2
2022-05-11
Fixed
5.99000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-30152.20000000
-0.00224688810
N/A
DFE
TH
N
2
GOLDMAN, SACHS & CO.
N/A
2233642.43000000
USD
72311940.00000000
THB
2020-04-03
-30152.20000000
N
N
N
N/A
N/A
R208 BOND FUTURE MAY20 FINANCIAL COMMODITY FUTURE.
N/A
114.00000000
NC
654948.96000000
0.048805627124
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R208 Bond Future May 2020
2020-05-10
787926.85000000
ZAR
-132977.89000000
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
-43535.89000000
-0.00324421679
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
-43535.89000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.9225%
N/A
42601696.00000000
NC
5027.06000000
0.000374607535
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-08-31
0.00000000
MXN
0.00000000
MXN
-42601696.00000000
MXN
5027.06000000
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE 5.333% 02/15/28
G13201AA9
1176000.00000000
PA
USD
1179539.76000000
0.087897196912
Long
DBT
NUSS
XX
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 8.900000% 02/15/2023
25714PDX3
43400000.00000000
PA
733268.39000000
0.054641851212
Long
DBT
NUSS
DO
Y
2
2023-02-15
Fixed
8.90000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 5.093000% 01/15/2030
N6945AAL1
256000.00000000
PA
USD
232320.00000000
0.017312071605
Long
DBT
NUSS
NL
N
2
2030-01-15
Fixed
5.09300000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 4.750000% 02/11/2029
455780CH7
985000.00000000
PA
USD
1066002.13000000
0.079436575440
Long
DBT
NUSS
ID
N
2
2029-02-11
Fixed
4.75000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 9.625000% 06/02/2027
N/A
777000.00000000
PA
USD
209790.00000000
0.015633176231
Long
DBT
NUSS
EC
N
2
2027-06-02
Fixed
9.62500000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-04-02
N/A
1.00000000
NC
-95358.56000000
-0.00710594963
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
549479.76000000
USD
2355345.00000000
BRL
2020-04-02
-95358.56000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
8109783.00000000
NC
16079.78000000
0.001198236496
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-04-20
0.00000000
MXN
0.00000000
MXN
-8109783.00000000
MXN
16079.78000000
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.750000% 02/23/2027
200447AF7
458000.00000000
PA
USD
423650.00000000
0.031569641596
Long
DBT
NUSS
MX
Y
2
2027-02-23
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
R2035 BOND FUTURE MAY20 FINANCIAL COMMODITY FUTURE.
N/A
937.00000000
NC
4307498.12000000
0.320987069104
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2035 Bond Future May 2020
2020-05-10
6023960.35000000
ZAR
-1716462.23000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 5.000000% 03/01/2035
N/A
720000000.00000000
PA
937687.31000000
0.069874784152
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS REC:6.62 FIXED
N/A
19327774.00000000
NC
9811.51000000
0.000731136207
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2025-03-21
0.00000000
MXN
0.00000000
MXN
-19327774.00000000
MXN
9811.51000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-06-17
N/A
1.00000000
NC
86946.20000000
0.006479075586
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
2634398.29000000
USD
64545376.81000000
MXN
2020-06-17
86946.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2020-04-20
N/A
1.00000000
NC
USD
23200.38000000
0.001728850894
N/A
DFE
US
N
2
JP MORGAN
N/A
83659000.00000000
TWD
2799364.23000000
USD
2020-04-20
23200.38000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.9865%
N/A
14396202.00000000
NC
-162305.68000000
-0.01209472948
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-03-25
0.00000000
PLN
0.00000000
PLN
-14396202.00000000
PLN
-162305.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-05-14
N/A
1.00000000
NC
USD
36027.30000000
0.002684690071
N/A
DFE
US
N
2
JP MORGAN
N/A
35662396.00000000
RUB
489899.19000000
USD
2020-05-14
36027.30000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 5.625000% 09/30/2031
N/A
200000.00000000
PA
USD
165008.00000000
0.012296101547
Long
DBT
NUSS
BH
N
2
2031-09-30
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-04-20
N/A
1.00000000
NC
USD
-14992.48000000
-0.00111721284
N/A
DFE
US
N
2
JP MORGAN
N/A
2555520.00000000
PEN
728068.38000000
USD
2020-04-20
-14992.48000000
N
N
N
DIANJIAN HAIYU LIMITED
30030053J86AJARAGD28
DIANJIAN HAIYU LTD MTN 4.300000% MATURITY: PERPETUAL
N/A
204000.00000000
PA
USD
196263.30000000
0.014625190698
Long
DBT
NUSS
VG
N
2
2168-12-20
Fixed
4.30000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 4.875000% 02/21/2028
AM5152690
755000.00000000
PA
596464.66000000
0.044447481508
Long
DBT
NUSS
MX
N
2
2028-02-21
Fixed
4.87500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-151451.61000000
-0.01128590356
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
1469850.40000000
USD
31270038.44000000
MXN
2020-06-17
-151451.61000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-04-02
N/A
1.00000000
NC
-1403713.07000000
-0.10460219172
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
6751829.95000000
USD
27738543.00000000
BRL
2020-04-02
-1403713.07000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.625000% 02/01/2041
P01012AR7
327000.00000000
PA
USD
268143.27000000
0.019981557725
Long
DBT
NUSS
SV
N
2
2041-02-01
Fixed
7.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
5779.58000000
0.000430683982
N/A
DFE
US
N
2
JP MORGAN
N/A
1919009.00000000
EUR
2111480.81000000
USD
2020-04-03
5779.58000000
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 6.875000% 06/24/2024
N/A
473000.00000000
PA
USD
448948.90000000
0.033454870454
Long
DBT
NUSS
KE
N
2
2024-06-24
Fixed
6.87500000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2020-04-27
N/A
1.00000000
NC
2705.77000000
0.000201629149
N/A
DFE
XX
N
2
STANDARD BANK
N/A
2352712.95000000
USD
3351525.00000000
SGD
2020-04-27
2705.77000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.000000% 04/25/2021
N/A
912000.00000000
PA
222197.76000000
0.016557780353
Long
DBT
NUSS
PL
N
2
2021-04-25
Fixed
2.00000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.000000% 07/19/2028
P3579ECB1
516000.00000000
PA
USD
485045.16000000
0.036144699302
Long
DBT
NUSS
DO
N
2
2028-07-19
Fixed
6.00000000
N
N
N
N
N
N
URUGUAY PESO
N/A
FX Forward Contract: UYU/USD SETTLE 2020-10-19
N/A
1.00000000
NC
-36662.56000000
-0.00273202851
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
208277.70000000
USD
7800000.00000000
UYU
2020-10-19
-36662.56000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-596069.61000000
-0.04441804308
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
2944388.55000000
USD
55359949.00000000
MXN
2020-05-06
-596069.61000000
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 5.750000% 02/14/2042
200447AC4
500000.00000000
PA
USD
465000.00000000
0.034650969768
Long
DBT
NUSS
MX
Y
2
2042-02-14
Fixed
5.75000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-06-19
N/A
1.00000000
NC
-165.83000000
-0.00001235735
N/A
DFE
TH
N
2
GOLDMAN, SACHS & CO.
N/A
100036.38000000
USD
3275055.00000000
THB
2020-06-19
-165.83000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2020-04-21
N/A
1.00000000
NC
-9208.29000000
-0.00068618532
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
1072302.84000000
EUR
29144119.00000000
CZK
2020-04-21
-9208.29000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA 144A 6.950000% 07/21/2027
984245AQ3
521000.00000000
PA
USD
268471.30000000
0.020006001935
Long
DBT
NUSS
AR
Y
2
2027-07-21
Fixed
6.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-06-25
N/A
1.00000000
NC
USD
-524858.30000000
-0.03911150341
N/A
DFE
US
N
2
JP MORGAN
N/A
21914700.00000000
EUR
23592270.29000000
USD
2020-06-25
-524858.30000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.000000% 10/13/2033
N/A
44060000.00000000
PA
1801126.27000000
0.134216713829
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-21023.73000000
-0.00156665082
N/A
DFE
US
N
2
JP MORGAN
N/A
70425359.34000000
INR
896795.61000000
USD
2020-06-17
-21023.73000000
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 4.500000% 06/17/2024
N/A
14875000.00000000
PA
3415634.40000000
0.254526977063
Long
DBT
NUSS
RO
N
2
2024-06-17
Fixed
4.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 11/26/2025
N/A
31502600000.00000000
PA
7456677.37000000
0.555658284130
Long
DBT
NUSS
CO
N
2
2025-11-26
Fixed
6.25000000
N
N
N
N
N
N
MEDCO BELL PTE. LTD.
2549003PNDCWIWGKC768
MEDCO BELL PTE LTD 144A 6.375000% 01/30/2027
58406LAA9
466000.00000000
PA
USD
270277.19000000
0.020140573633
Long
DBT
NUSS
SG
Y
2
2027-01-30
Fixed
6.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
23042.05000000
0.001717052425
N/A
DFE
US
N
2
JP MORGAN
N/A
1262852.00000000
EUR
1408751.56000000
USD
2020-04-03
23042.05000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.125000% 01/18/2026
374422AC7
83000.00000000
PA
USD
64864.50000000
0.004833586728
Long
DBT
NUSS
GH
Y
2
2026-01-18
Fixed
8.12500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 7D CNY CNRR007
N/A
12730000.00000000
NC
53905.30000000
0.004016926711
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-10-14
0.00000000
CNY
0.00000000
CNY
-12730000.00000000
CNY
53905.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
19123.82000000
0.001425072921
N/A
DFE
US
N
2
JP MORGAN
N/A
14860000.00000000
ZAR
843221.04000000
USD
2020-06-17
19123.82000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
8000000.00000000
NC
20249.58000000
0.001508962547
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-12-03
0.00000000
MXN
0.00000000
MXN
-8000000.00000000
MXN
20249.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-06-02
N/A
1.00000000
NC
USD
54191.71000000
0.004038269472
N/A
DFE
US
N
2
JP MORGAN
N/A
1854874.00000000
BRL
410461.16000000
USD
2020-06-02
54191.71000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-27550.93000000
-0.00205304611
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
948253.35000000
USD
782907555.00000000
CLP
2020-06-17
-27550.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-04-02
N/A
1.00000000
NC
USD
109729.00000000
0.008176809164
N/A
DFE
US
N
2
JP MORGAN
N/A
38067008.00000000
BRL
7449220.77000000
USD
2020-04-02
109729.00000000
N
N
N
VEB FINANCE PUBLIC LIMITED COMPANY
635400KYY8E2NCZXJ191
VNESHECONOMBANK (VEB FINANCE) 6.902% 07/09/2020
N/A
1310000.00000000
PA
USD
1308493.50000000
0.097506599377
Long
DBT
NUSS
XX
N
2
2020-07-09
Fixed
6.90200000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.935000% 09/30/2043
N/A
2200000.00000000
PA
565794.96000000
0.042162030223
Long
DBT
NUSS
MY
N
2
2043-09-30
Fixed
4.93500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-22
N/A
1.00000000
NC
USD
593134.97000000
0.044199358954
N/A
DFE
US
N
2
JP MORGAN
N/A
145799900.00000000
ZAR
8733199.96000000
USD
2020-04-22
593134.97000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 08/15/2032
N/A
26770000000.00000000
PA
1513548.24000000
0.112786912488
Long
DBT
NUSS
ID
N
2
2032-08-15
Fixed
7.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
12216000000.00000000
PA
700304.11000000
0.052185411923
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
7303.04000000
0.000544209501
N/A
DFE
US
N
2
JP MORGAN
N/A
846783.00000000
EUR
936465.96000000
USD
2020-04-03
7303.04000000
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 5.875000% 02/08/2028
N/A
203510000.00000000
PA
2277396.57000000
0.169707526231
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.87500000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.750000% 01/24/2023
P01012AJ5
1690000.00000000
PA
USD
1639300.00000000
0.122157709121
Long
DBT
NUSS
SV
N
2
2023-01-24
Fixed
7.75000000
N
N
N
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
454553.40000000
0.033872507788
Long
DBT
NUSS
AE
N
2
2043-01-30
Fixed
5.25000000
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
3556668.00000000
NC
43193.81000000
0.003218725601
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
43193.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-10084.14000000
-0.00075145210
N/A
DFE
US
N
2
JP MORGAN
N/A
52008693.55000000
INR
667719.78000000
USD
2020-06-17
-10084.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-4899.72000000
-0.00036511838
N/A
DFE
US
N
2
JP MORGAN
N/A
17559389.60000000
INR
223943.24000000
USD
2020-06-17
-4899.72000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-04-16
N/A
1.00000000
NC
-253721.88000000
-0.01890690149
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2520368.39000000
USD
11767600.00000000
BRL
2020-04-16
-253721.88000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.750000% 09/18/2030
N/A
11738000000.00000000
PA
2961034.28000000
0.220650987783
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
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
273700.00000000
0.020395635323
Long
DBT
NUSS
ZA
Y
2
2028-08-10
Fixed
6.35000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
24833000.00000000
PA
5984465.58000000
0.445951690091
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 01/26/2026
05674RAF1
295000.00000000
PA
USD
278627.50000000
0.020762823826
Long
DBT
NUSS
BH
Y
2
2026-01-26
Fixed
7.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY COP - COLUMBIA IBR OVERNIGHT INTERBANK
N/A
2751827932.00000000
NC
7692.73000000
0.000573248504
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-03-11
0.00000000
COP
0.00000000
COP
-2751827932.00000000
COP
7692.73000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-1286996.24000000
-0.09590466194
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
17989124.65000000
USD
301170327.00000000
ZAR
2020-06-17
-1286996.24000000
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
KINGDOM OF JORDAN 7.375000% 10/10/2047
N/A
693000.00000000
PA
USD
580412.45000000
0.043251299479
Long
DBT
NUSS
JO
N
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
12428.02000000
0.000926113860
N/A
DFE
XX
N
2
JP MORGAN
N/A
897557.64000000
USD
829306.00000000
EUR
2020-04-03
12428.02000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.899000% 11/16/2027
N/A
2500000.00000000
PA
596503.77000000
0.044450395916
Long
DBT
NUSS
MY
N
2
2027-11-16
Fixed
3.89900000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-470427.74000000
-0.03505543526
N/A
DFE
TH
N
2
GOLDMAN, SACHS & CO.
N/A
14643544.41000000
USD
464786099.54000000
THB
2020-06-17
-470427.74000000
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 6.757000% 11/15/2048
Y7140WAD0
257000.00000000
PA
USD
273522.79000000
0.020382429951
Long
DBT
NUSS
ID
N
2
2048-11-15
Fixed
6.75700000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-11965.33000000
-0.00089163502
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
477965.15000000
USD
396257006.00000000
CLP
2020-06-17
-11965.33000000
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
730788.97000000
0.054457089261
Long
DBT
NUSS
IE
Y
2
2023-06-16
Fixed
5.37500000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 9.875000% 06/20/2022
P96006AE4
42797000.00000000
PA
928097.73000000
0.069160185772
Long
DBT
NUSS
UY
N
2
2022-06-20
Fixed
9.87500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.1% 10/04/2022
N/A
569000.00000000
PA
USD
102420.00000000
0.007632155534
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
Y
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2020-04-21
N/A
1.00000000
NC
-64757.11000000
-0.00482558421
N/A
DFE
HU
N
2
J P MORGAN CHASE BANK
N/A
924042.53000000
EUR
311861036.00000000
HUF
2020-04-21
-64757.11000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.350000% 02/12/2048
71654QCJ9
742000.00000000
PA
USD
463750.00000000
0.034557822000
Long
DBT
NUSS
MX
Y
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-72927.38000000
-0.00543441814
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
865931.28000000
USD
18694503.00000000
MXN
2020-05-06
-72927.38000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.478000% 06/14/2024
N/A
6160000.00000000
PA
1454283.60000000
0.108370617329
Long
DBT
NUSS
MY
N
2
2024-06-14
Fixed
3.47800000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2020-04-21
N/A
1.00000000
NC
-189183.90000000
-0.01409764645
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
3462561.52000000
EUR
15000000.00000000
PLN
2020-04-21
-189183.90000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.150000% 11/20/2059
N/A
515000.00000000
PA
USD
417191.20000000
0.031088343352
Long
DBT
NUSS
EG
N
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.875000% 02/28/2035
N/A
47613577.00000000
PA
2141304.66000000
0.159566200083
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-04-21
N/A
1.00000000
NC
USD
-16053.29000000
-0.00119626250
N/A
DFE
US
N
2
JP MORGAN
N/A
2594240.00000000
PEN
738258.39000000
USD
2020-04-21
-16053.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-05-14
N/A
1.00000000
NC
USD
-105.45000000
-0.00000785794
N/A
DFE
US
N
2
JP MORGAN
N/A
25404223.00000000
RUB
323211.66000000
USD
2020-05-14
-105.45000000
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 5.999000% 01/27/2028
71647NAY5
437000.00000000
PA
USD
423234.50000000
0.031538679278
Long
DBT
NUSS
NL
N
2
2028-01-27
Fixed
5.99900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2020-04-16
N/A
1.00000000
NC
USD
53660.29000000
0.003998669003
N/A
DFE
US
N
2
JP MORGAN
N/A
51163750.00000000
THB
1613031.62000000
USD
2020-04-16
53660.29000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.392000% 04/15/2026
N/A
3480000.00000000
PA
854627.56000000
0.063685319881
Long
DBT
NUSS
MY
N
2
2026-04-15
Fixed
4.39200000
N
N
N
N
N
N
CENCOSUD S.A.
549300NLTGCFV7482429
CENCOSUD SA 144A 4.375000% 07/17/2027
15132HAH4
1819000.00000000
PA
USD
1490652.09000000
0.111080732270
Long
DBT
NUSS
CL
Y
2
2027-07-17
Fixed
4.37500000
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
617320.00000000
0.046001584209
Long
DBT
NUSS
KE
Y
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 6.000000% 01/01/2043
N/A
3160000000.00000000
PA
4710937.80000000
0.351050673739
Long
DBT
NUSS
CL
N
2
2043-01-01
Fixed
6.00000000
N
N
N
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS REC:0.65 FIXED
N/A
2803570.00000000
NC
-3815.69000000
-0.00028433840
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2024-03-26
0.00000000
PLN
0.00000000
PLN
-2803570.00000000
PLN
-3815.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
26372.53000000
0.001965233848
N/A
DFE
US
N
2
JP MORGAN
N/A
6820000.00000000
ZAR
404592.11000000
USD
2020-06-17
26372.53000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 04/15/2043
Y20721BE8
1228000.00000000
PA
USD
1304164.34000000
0.097183998104
Long
DBT
NUSS
ID
N
2
2043-04-15
Fixed
4.62500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.875000% 06/22/2029
N/A
4047000.00000000
PA
158754.87000000
0.011830129464
Long
DBT
NUSS
TH
N
2
2029-06-22
Fixed
4.87500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.875000% 06/17/2022
N/A
20000000.00000000
PA
622816.69000000
0.046411187734
Long
DBT
NUSS
TH
N
2
2022-06-17
Fixed
1.87500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.37
N/A
1800000000.00000000
NC
2118.99000000
0.000157903351
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-06-21
0.00000000
COP
0.00000000
COP
-1800000000.00000000
COP
2118.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-04-23
N/A
1.00000000
NC
USD
202531.16000000
0.015092260435
N/A
DFE
US
N
2
JP MORGAN
N/A
29592078912.00000000
IDR
2016496.01000000
USD
2020-04-23
202531.16000000
N
N
N
BRAZIL LOAN TRUST 1
N/A
BRAZIL LOAN TRUST 1 5.477000% 07/24/2023
U0952YAA8
216625.96000000
PA
USD
226376.29000000
0.016869156948
Long
DBT
NUSS
US
N
2
2023-07-24
Fixed
5.47700000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 04/11/2031
N/A
1030000.00000000
PA
890205.16000000
0.066336499111
Long
DBT
NUSS
EG
N
2
2031-04-11
Fixed
6.37500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.750000% 01/17/2048
N/A
4256000.00000000
PA
USD
2808960.00000000
0.209318683958
Long
DBT
NUSS
OM
N
2
2048-01-17
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
15256.08000000
0.001136855842
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-09-10
0.00000000
MXN
0.00000000
MXN
-33993222.00000000
MXN
15256.08000000
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
337250.00000000
0.025131267858
Long
DBT
CORP
MN
Y
2
2020-05-19
Fixed
9.37500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
REPUBLIC OF POLAND 5.000000% 03/23/2022
857524AB8
2784000.00000000
PA
USD
2964191.62000000
0.220886267123
Long
DBT
NUSS
PL
N
2
2022-03-23
Fixed
5.00000000
N
N
N
N
N
N
Metinvest B.V.
635400TMCKVEU87EJ582
METINVEST BV 8.500000% 04/23/2026
N/A
702000.00000000
PA
USD
493295.40000000
0.036759492456
Long
DBT
NUSS
NL
N
2
2026-04-23
Fixed
8.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.875000% 10/09/2026
900123CK4
1017000.00000000
PA
USD
859365.00000000
0.064038345451
Long
DBT
NUSS
TR
N
2
2026-10-09
Fixed
4.87500000
N
N
N
N
N
Jamaica
529900Y93KNSXZI8KK56
GOVERNMENT OF JAMAICA 7.875000% 07/28/2045
470160CB6
2228000.00000000
PA
USD
2383982.28000000
0.177650103038
Long
DBT
NUSS
JM
N
2
2045-07-28
Fixed
7.87500000
N
N
N
N
N
N
LIMA METRO LINE 2 FINANCE LIMITED
5493009BVQNQT1UKQ352
LIMA METRO LINE 2 FINANCE LTD 144A 4.350000% 04/05/2036
532522AB5
1486000.00000000
PA
USD
1400555.00000000
0.104366857987
Long
DBT
NUSS
KY
Y
2
2036-04-05
Fixed
4.35000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 10.750000% 10/14/2030
N/A
4126000.00000000
PA
USD
4259393.58000000
0.317402404671
Long
DBT
NUSS
GH
N
2
2030-10-14
Fixed
10.75000000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 4.150000% 02/25/2060
69370PAJ0
1089000.00000000
PA
USD
896520.86000000
0.066807133799
Long
DBT
NUSS
ID
Y
2
2060-02-25
Fixed
4.15000000
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
258000.00000000
0.019225699355
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: USD/PHP SETTLE 2020-06-19
N/A
1.00000000
NC
USD
-48161.43000000
-0.00358890377
N/A
DFE
US
N
2
JP MORGAN
N/A
154829095.55000000
PHP
2955317.72000000
USD
2020-06-19
-48161.43000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.95% 08/12/2031
715638BE1
154000.00000000
PA
51029.37000000
0.003802617542
Long
DBT
NUSS
XX
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 9.500000% 11/12/2025
N/A
2676000.00000000
PA
USD
1105188.00000000
0.082356636508
Long
DBT
NUSS
AO
N
2
2025-11-12
Fixed
9.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 8.994000% 02/01/2024
N/A
1687000.00000000
PA
USD
1559057.92000000
0.116178212587
Long
DBT
NUSS
UA
N
2
2024-02-01
Fixed
8.99400000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2020-04-02
N/A
1.00000000
NC
1376.06000000
0.000102541534
N/A
DFE
XX
N
2
JP MORGAN
N/A
11059499.00000000
RON
2290052.42000000
EUR
2020-04-02
1376.06000000
N
N
N
BRK: J.P. MORGAN CHASE
N/A
Credit Default Swap
N/A
-1894629.00000000
NC
USD
-1393761.33000000
-0.10386060582
N/A
DO
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2023-06-20
100595.13000000
USD
0.00000000
USD
-1894629.00000000
USD
-1494356.46000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-04-06
N/A
1.00000000
NC
-939.02000000
-0.00006997409
N/A
DFE
XX
N
2
JP MORGAN
N/A
509087.01000000
EUR
2456809.61000000
RON
2020-04-06
-939.02000000
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO PAY: 1-DAY-CLP - SINACOFI CHILE INTERBANK RATE AVG
N/A
15170000000.00000000
NC
132336.30000000
0.009861464796
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO
N/A
Y
2020-11-07
0.00000000
CLP
0.00000000
CLP
-15170000000.00000000
CLP
132336.30000000
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND 144A 8.250000% 09/30/2025
695847AR4
714000.00000000
PA
USD
622251.00000000
0.046369033525
Long
DBT
NUSS
PK
Y
2
2025-09-30
Fixed
8.25000000
N
N
N
N
N
N
Minerva Luxembourg S.A.
222100NM3G3RCPGZ2Z17
MINERVA LUXEMBOURG SA 144A 6.500000% 09/20/2026
603374AD1
741000.00000000
PA
USD
674617.52000000
0.050271293098
Long
DBT
NUSS
LU
Y
2
2026-09-20
Fixed
6.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2020-04-09
N/A
1.00000000
NC
USD
113406.57000000
0.008450855115
N/A
DFE
US
N
2
JP MORGAN
N/A
84945215.00000000
THB
2702094.84000000
USD
2020-04-09
113406.57000000
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-04-16
N/A
1.00000000
NC
36154.00000000
0.002694131529
N/A
DFE
RU
N
2
J P MORGAN CHASE BANK
N/A
1098460.87000000
USD
88818800.00000000
RUB
2020-04-16
36154.00000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-180487.21000000
-0.01344958463
N/A
DFE
MY
N
2
BARCLAYS CAPITAL INC.
N/A
19669764.66000000
USD
138139341.00000000
CNY
2020-06-17
-180487.21000000
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 8.000000% 11/26/2029
035198AD2
1357000.00000000
PA
USD
549585.00000000
0.040954092946
Long
DBT
NUSS
AO
Y
2
2029-11-26
Fixed
8.00000000
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
461775.00000000
0.034410648526
Long
DBT
NUSS
IE
N
2
2021-07-19
Fixed
5.95000000
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
3553974.22000000
0.264835813451
Long
DBT
NUSS
ID
N
2
2042-01-17
Fixed
5.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
13432.96000000
0.001001000195
N/A
DFE
XX
N
2
JP MORGAN
N/A
564159.61000000
USD
526383.00000000
EUR
2020-04-03
13432.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-05-14
N/A
1.00000000
NC
USD
209433.45000000
0.015606606762
N/A
DFE
US
N
2
JP MORGAN
N/A
104910819.00000000
RUB
1544623.37000000
USD
2020-05-14
209433.45000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH CZK - PRIBOR
N/A
155000000.00000000
NC
137588.52000000
0.010252850853
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-18
0.00000000
CZK
0.00000000
CZK
-155000000.00000000
CZK
137588.52000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.124600% 01/20/2050
P01012CA2
640000.00000000
PA
USD
492800.00000000
0.036722576133
Long
DBT
NUSS
SV
N
2
2050-01-20
Fixed
7.12460000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-70855.58000000
-0.00528003131
N/A
DFE
XX
N
2
JP MORGAN
N/A
2912786.18000000
USD
2589964.00000000
EUR
2020-04-03
-70855.58000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
26758053.00000000
NC
23861.90000000
0.001778146183
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-06-23
0.00000000
MXN
0.00000000
MXN
-26758053.00000000
MXN
23861.90000000
N
N
N
N/A
N/A
KOREA 3YR BND FUT JUN20 FINANCIAL COMMODITY FUTURE.
N/A
49.00000000
NC
4482392.08000000
0.334019854740
N/A
DIR
KR
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Korea Govt. Bond Futures
KOREA 3YR BND FUT Jun 2020
2020-06-19
4391699.52000000
KRW
90692.56000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2020-04-21
N/A
1.00000000
NC
29345.76000000
0.002186793639
N/A
DFE
XX
N
2
JP MORGAN
N/A
126371684.00000000
HUF
377266.63000000
EUR
2020-04-21
29345.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-04-02
N/A
1.00000000
NC
USD
12337.50000000
0.000919368472
N/A
DFE
US
N
2
JP MORGAN
N/A
2961432.00000000
BRL
583315.02000000
USD
2020-04-02
12337.50000000
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP PAY: 5.0975%
N/A
270914664.00000000
NC
7975.96000000
0.000594354298
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2025-02-26
0.00000000
INR
0.00000000
INR
-270914664.00000000
INR
7975.96000000
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 7.000000% 05/22/2027
N/A
1250000.00000000
PA
USD
1150000.00000000
0.085695946739
Long
DBT
NUSS
KE
N
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.844000% 06/20/2030
715638DA7
3588000.00000000
PA
USD
3788928.00000000
0.282344149640
Long
DBT
NUSS
PE
N
2
2030-06-20
Fixed
2.84400000
N
N
N
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
379012.92000000
0.028243366091
Long
DBT
NUSS
TR
Y
2
2024-06-21
Fixed
5.85000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 6.750000% 10/22/2028
N/A
489630000.00000000
PA
1947435.63000000
0.145119426109
Long
DBT
NUSS
HU
N
2
2028-10-22
Fixed
6.75000000
N
N
N
N
N
N
GRUPO AVAL LIMITED
549300J4FW1ELLQ80113
GRUPO AVAL LTD 144A 4.375000% 02/04/2030
40053FAC2
1762000.00000000
PA
USD
1414005.00000000
0.105369127972
Long
DBT
NUSS
KY
Y
2
2030-02-04
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-2177.37000000
-0.00016225372
N/A
DFE
US
N
2
JP MORGAN
N/A
19625474.28000000
INR
253591.86000000
USD
2020-06-17
-2177.37000000
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT 7.158% 03/12/2045
N/A
912000.00000000
PA
USD
729600.00000000
0.054368489339
Long
DBT
NUSS
XX
N
2
2045-03-12
Fixed
7.15800000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.000000% 09/19/2044
N/A
320000.00000000
PA
USD
243960.32000000
0.018179487468
Long
DBT
NUSS
BH
N
2
2044-09-19
Fixed
6.00000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 15.700000% 01/20/2021
903724BS0
48000000.00000000
PA
1671734.41000000
0.124574663444
Long
DBT
NUSS
UA
Y
2
2021-01-20
Fixed
15.70000000
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
53560.00000000
0.003991195571
Long
DBT
NUSS
EC
Y
2
2026-12-13
Fixed
9.65000000
N
N
N
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
493449.60000000
0.036770983165
Long
DBT
NUSS
BH
Y
2
2028-11-07
Fixed
8.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-05-04
N/A
1.00000000
NC
USD
72768.87000000
0.005422606267
N/A
DFE
US
N
2
JP MORGAN
N/A
8500005129.00000000
IDR
593530.18000000
USD
2020-05-04
72768.87000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-05-20
N/A
1.00000000
NC
-626162.08000000
-0.04666048022
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
11265962.57000000
USD
44172600.00000000
PLN
2020-05-20
-626162.08000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
31166400000.00000000
PA
7786352.20000000
0.580225063846
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-05-21
N/A
1.00000000
NC
USD
-6197.15000000
-0.00046180055
N/A
DFE
US
N
2
JP MORGAN
N/A
5183814.47000000
EGP
318240.19000000
USD
2020-05-21
-6197.15000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-31186.28000000
-0.00232394590
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1701064.86000000
USD
29967317.68000000
ZAR
2020-05-06
-31186.28000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.975000% 04/20/2055
760942BD3
961000.00000000
PA
USD
1090744.61000000
0.081280340873
Long
DBT
NUSS
UY
N
2
2055-04-20
Fixed
4.97500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-96730.38000000
-0.00720817521
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1982589.42000000
USD
7829245.61000000
PLN
2020-06-17
-96730.38000000
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.875000% 10/29/2035
N/A
330000.00000000
PA
375322.00000000
0.027968325323
Long
DBT
NUSS
RO
N
2
2035-10-29
Fixed
3.87500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
11518838.00000000
NC
1357.92000000
0.000101189773
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-11518838.00000000
BRL
1357.92000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY COP - COLUMBIA IBR OVERNIGHT INTERBANK
N/A
879919000.00000000
NC
1233.76000000
0.000091937592
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-03-11
0.00000000
COP
0.00000000
COP
-879919000.00000000
COP
1233.76000000
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 4.750000% 06/19/2032
P7808BAA5
1843000.00000000
PA
USD
1677148.43000000
0.124978106548
Long
DBT
NUSS
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 4.875000% 04/14/2026
836205AT1
300000.00000000
PA
USD
267300.00000000
0.019918718750
Long
DBT
NUSS
ZA
N
2
2026-04-14
Fixed
4.87500000
N
N
N
N
N
N
MDGH ? GMTN B.V.
213800L53ZH5KG593W13
MDGH - GMTN BV MTN 3.700000% 11/07/2049
55276VAK8
711000.00000000
PA
USD
657675.00000000
0.049008766757
Long
DBT
NUSS
NL
Y
2
2049-11-07
Fixed
3.70000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.750000% 05/11/2047
900123CM0
1506000.00000000
PA
USD
1106910.00000000
0.082484956873
Long
DBT
NUSS
TR
N
2
2047-05-11
Fixed
5.75000000
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
104400.00000000
0.007779701599
Long
DBT
CORP
VE
N
2
2037-04-12
Fixed
5.50000000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2020-06-17
N/A
1.00000000
NC
USD
8026.48000000
0.000598118958
N/A
DFE
US
N
2
JP MORGAN
N/A
13847000.00000000
CNY
1961619.30000000
USD
2020-06-17
8026.48000000
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 0.6925%
N/A
1750000000.00000000
NC
-1288.86000000
-0.00009604354
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
-1288.86000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.850000% 03/14/2024
Y8137FAN8
512000.00000000
PA
USD
322532.30000000
0.024034531132
Long
DBT
NUSS
LK
N
2
2024-03-14
Fixed
6.85000000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 4.700000% 07/30/2049
69370PAE1
244000.00000000
PA
USD
226735.00000000
0.016895887377
Long
DBT
NUSS
ID
Y
2
2049-07-30
Fixed
4.70000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-15793.31000000
-0.00117688926
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
847978.21000000
USD
707637818.00000000
CLP
2020-06-17
-15793.31000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.915%
N/A
3600000000.00000000
NC
-32643.36000000
-0.00243252490
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-05-15
0.00000000
COP
0.00000000
COP
-3600000000.00000000
COP
-32643.36000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.81%
N/A
10000000.00000000
NC
-41741.37000000
-0.00311049236
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-01-17
0.00000000
CZK
0.00000000
CZK
-10000000.00000000
CZK
-41741.37000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 8.125000% 05/21/2024
195325BD6
1127000.00000000
PA
USD
1299983.23000000
0.096872429252
Long
DBT
NUSS
CO
N
2
2024-05-21
Fixed
8.12500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.675%
N/A
21146319.00000000
NC
-31926.99000000
-0.00237914229
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-07-17
0.00000000
CZK
0.00000000
CZK
-21146319.00000000
CZK
-31926.99000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.600000% 01/28/2024
P3579EAT4
656000.00000000
PA
USD
642886.56000000
0.047906758613
Long
DBT
NUSS
DO
N
2
2024-01-28
Fixed
6.60000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.625000% 05/15/2033
N/A
24323000000.00000000
PA
1279679.13000000
0.095359403971
Long
DBT
NUSS
ID
N
2
2033-05-15
Fixed
6.62500000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 5.000000% 04/17/2049
80413TAJ8
1013000.00000000
PA
USD
1093523.37000000
0.081487409107
Long
DBT
NUSS
SA
Y
2
2049-04-17
Fixed
5.00000000
N
N
N
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
42111.41000000
0.003138067085
Long
DBT
NUSS
KR
N
2
2024-12-07
Fixed
7.25000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.750000% 01/14/2029
718286CG0
1872000.00000000
PA
USD
2071136.88000000
0.154337422398
Long
DBT
NUSS
PH
N
2
2029-01-14
Fixed
3.75000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 5.750000% 04/18/2023
Y8137FAK4
995000.00000000
PA
USD
676533.98000000
0.050414104275
Long
DBT
NUSS
LK
Y
2
2023-04-18
Fixed
5.75000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.650000% 02/26/2030
N/A
1225000.00000000
PA
USD
220549.00000000
0.016434917702
Long
DBT
NUSS
LB
N
2
2030-02-26
Fixed
6.65000000
Y
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA 144A 8.500000% 07/28/2025
984245AL4
1050000.00000000
PA
USD
541800.00000000
0.040373968646
Long
DBT
NUSS
AR
Y
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 1.500000% 11/27/2031
N/A
1121000.00000000
PA
1082414.39000000
0.080659587752
Long
DBT
NUSS
MA
N
2
2031-11-27
Fixed
1.50000000
N
N
N
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
635006.35000000
0.047319539433
Long
DBT
NUSS
PA
Y
2
2049-05-02
Fixed
5.12500000
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
2059022.72000000
0.153434696824
Long
DBT
NUSS
PE
N
2
2047-06-19
Fixed
5.62500000
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
185556.02000000
0.013827303310
Long
DBT
CORP
US
N
2
2024-03-27
Fixed
5.87500000
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
452253.00000000
0.033701086087
Long
DBT
NUSS
AT
Y
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-05-06
N/A
1.00000000
NC
USD
264434.31000000
0.019705172648
N/A
DFE
US
N
2
JP MORGAN
N/A
18563549.00000000
TRY
3055577.34000000
USD
2020-05-06
264434.31000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA MTN 8.375000% 04/19/2039
AZ5258761
101000000.00000000
PA
6282.15000000
0.000468134601
Long
DBT
CORP
US
Y
2
2039-04-19
Fixed
8.37500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.875000% 04/16/2043
900123CB4
229000.00000000
PA
USD
159155.00000000
0.011859946437
Long
DBT
NUSS
TR
N
2
2043-04-16
Fixed
4.87500000
N
N
N
N
N
N
MV24 CAPITAL BV
N/A
MV24 CAPITAL BV 144A 6.748000% 06/01/2034
55388RAA4
1228630.76000000
PA
USD
967423.86000000
0.072090698765
Long
DBT
NUSS
NL
Y
2
2034-06-01
Fixed
6.74800000
N
N
N
N
N
N
Leader Goal International Limited
N/A
LEADER GOAL INTERNATIONAL LTD MTN 4.250000% MATURITY: PERPETUAL
N/A
212000.00000000
PA
USD
201407.41000000
0.015008520591
Long
DBT
NUSS
VG
N
2
2168-07-19
Fixed
4.25000000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 3.700000% 01/30/2050
21987BBA5
349000.00000000
PA
USD
297070.12000000
0.022137134940
Long
DBT
NUSS
CL
Y
2
2050-01-30
Fixed
3.70000000
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 4.250000% 04/16/2039
80414L2E4
2330000.00000000
PA
USD
2306907.35000000
0.171906616867
Long
DBT
NUSS
SA
Y
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.700000% 03/23/2033
N/A
582650000.00000000
PA
8076097.42000000
0.601816360316
Long
DBT
NUSS
RU
N
2
2033-03-23
Fixed
7.70000000
N
N
N
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 5.875000% 09/18/2023
279158AC3
537000.00000000
PA
USD
531630.00000000
0.039616118404
Long
DBT
NUSS
CO
N
2
2023-09-18
Fixed
5.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-01
N/A
1.00000000
NC
-2488.05000000
-0.00018540504
N/A
DFE
XX
N
2
JP MORGAN
N/A
385335.15000000
USD
348915.36000000
EUR
2020-04-01
-2488.05000000
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.500000% 04/01/2056
698299BM5
4248000.00000000
PA
USD
4598460.00000000
0.342669028905
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
Provincia de Cordoba
5299006CLM2Z97AATT29
PROVINCIA DE CORDOBA 144A 7.125000% 06/10/2021
74408DAC8
531000.00000000
PA
USD
344491.56000000
0.025670895980
Long
DBT
NUSS
AR
Y
2
2021-06-10
Fixed
7.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2020-09-09
N/A
1.00000000
NC
USD
-15580.50000000
-0.00116103104
N/A
DFE
US
N
2
JP MORGAN
N/A
858516238.00000000
UGX
203439.87000000
USD
2020-09-09
-15580.50000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.375000% 09/25/2032
903724BM3
564000.00000000
PA
USD
510420.00000000
0.038035587073
Long
DBT
NUSS
UA
Y
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
Empresa Nacional del Petroleo
549300YP3P0JZBLIV197
EMPRESA NACIONAL DEL PETROLEO 3.750000% 08/05/2026
P37110AK2
1811000.00000000
PA
USD
1684230.00000000
0.125505812501
Long
DBT
NUSS
CL
N
2
2026-08-05
Fixed
3.75000000
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2020-04-15
N/A
1.00000000
NC
-154811.37000000
-0.01153626688
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
2709140.78000000
USD
193703566.00000000
INR
2020-04-15
-154811.37000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.200000% 08/12/2026
715638AY8
8208000.00000000
PA
2967800.04000000
0.221155160139
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
23145437.00000000
NC
-1773.63000000
-0.00013216774
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-05-21
0.00000000
MXN
0.00000000
MXN
-23145437.00000000
MXN
-1773.63000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.950000% 08/12/2031
715638BE1
25372000.00000000
PA
8407254.87000000
0.626493622227
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-05-06
N/A
1.00000000
NC
USD
288115.60000000
0.021469860097
N/A
DFE
US
N
2
JP MORGAN
N/A
24348145.72000000
ZAR
1644875.24000000
USD
2020-05-06
288115.60000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-06-19
N/A
1.00000000
NC
-16071.76000000
-0.00119763885
N/A
DFE
TH
N
2
GOLDMAN, SACHS & CO.
N/A
976835.07000000
USD
31506311.00000000
THB
2020-06-19
-16071.76000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2020-04-14
N/A
1.00000000
NC
-2781.14000000
-0.00020724558
N/A
DFE
PH
N
2
JP MORGAN
N/A
486608.55000000
USD
24673000.00000000
PHP
2020-04-14
-2781.14000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
REPUBLIC OF KOREA 2.500000% 06/19/2029
50064FAQ7
1183000.00000000
PA
USD
1242667.88000000
0.092601391703
Long
DBT
NUSS
KR
N
2
2029-06-19
Fixed
2.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
22868.25000000
0.001704101160
N/A
DFE
XX
N
2
JP MORGAN
N/A
915484.44000000
USD
855158.00000000
EUR
2020-04-03
22868.25000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY COP - COLUMBIA IBR OVERNIGHT INTERBANK
N/A
29005671078.00000000
NC
87603.86000000
0.006528083235
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-19
0.00000000
COP
0.00000000
COP
-29005671078.00000000
COP
87603.86000000
N
N
N
IHS Netherlands Holdco B.V.
5493006Z6YQYCCN2XI74
IHS NETHERLANDS HOLDCO BV 144A 8.000000% 09/18/2027
44963LAC0
510000.00000000
PA
USD
418302.00000000
0.031171118185
Long
DBT
NUSS
NL
Y
2
2027-09-18
Fixed
8.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 5.950000% 01/28/2031
71654QCZ3
1869000.00000000
PA
USD
1296188.88000000
0.096589681064
Long
DBT
NUSS
MX
Y
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-05-14
N/A
1.00000000
NC
-2690337.19000000
-0.20047912395
N/A
DFE
RU
N
2
J P MORGAN CHASE BANK
N/A
12910063.48000000
USD
803001758.00000000
RUB
2020-05-14
-2690337.19000000
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 8.125000% 04/28/2034
698299AT1
478000.00000000
PA
USD
633350.00000000
0.047196111188
Long
DBT
NUSS
PA
N
2
2034-04-28
Fixed
8.12500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
22119000.00000000
PA
5812128.71000000
0.433109454237
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
2.75000000
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
206078.86000000
0.015356628704
Long
DBT
NUSS
VG
N
2
2169-03-11
Fixed
4.10000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-252961.57000000
-0.01885024454
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
5495854.30000000
USD
124351947.25000000
MXN
2020-06-17
-252961.57000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 5.350000% 08/12/2040
715638DC3
7330000.00000000
PA
2041899.08000000
0.152158673744
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-6191.91000000
-0.00046141007
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
685156.63000000
USD
11192033631.00000000
IDR
2020-06-17
-6191.91000000
N
N
N
DP World PLC
549300M3U2DNF4QVSS04
DP WORLD PLC MTN 4.700000% 09/30/2049
23330JAC5
282000.00000000
PA
USD
217140.00000000
0.016180885108
Long
DBT
NUSS
AE
Y
2
2049-09-30
Fixed
4.70000000
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
2508800.00000000
0.186951296677
Long
DBT
CORP
XX
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2020-04-24
N/A
1.00000000
NC
-10877.00000000
-0.00081053461
N/A
DFE
KR
N
2
JP MORGAN
N/A
1128838.86000000
USD
1361278065.00000000
KRW
2020-04-24
-10877.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-11142.82000000
-0.00083034305
N/A
DFE
US
N
2
JP MORGAN
N/A
532305.00000000
EUR
572947.87000000
USD
2020-04-03
-11142.82000000
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 5.000000% 02/12/2029
N/A
9575000.00000000
PA
2189305.23000000
0.163143116857
Long
DBT
NUSS
RO
N
2
2029-02-12
Fixed
5.00000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.400000% 06/17/2036
N/A
212056000.00000000
PA
7915045.01000000
0.589815022273
Long
DBT
NUSS
TH
N
2
2036-06-17
Fixed
3.40000000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 4.850000% 04/22/2026
N/A
13365000.00000000
PA
3109208.11000000
0.231692637039
Long
DBT
NUSS
RO
N
2
2026-04-22
Fixed
4.85000000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 4.400000% 09/25/2023
N/A
7500000.00000000
PA
1724647.29000000
0.128517636789
Long
DBT
NUSS
RO
N
2
2023-09-25
Fixed
4.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-04-22
N/A
1.00000000
NC
USD
-22294.98000000
-0.00166138210
N/A
DFE
US
N
2
JP MORGAN
N/A
2594240.00000000
PEN
732009.03000000
USD
2020-04-22
-22294.98000000
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
ISLAMIC REP OF PAKISTAN 6.875000% 12/05/2027
N/A
1578000.00000000
PA
USD
1305195.36000000
0.097260827873
Long
DBT
NUSS
PK
N
2
2027-12-05
Fixed
6.87500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2029
N/A
19890000.00000000
PA
4355904.98000000
0.324594261884
Long
DBT
NUSS
BR
N
2
2029-01-01
Fixed
10.00000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-442131.54000000
-0.03294685295
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2705674.24000000
USD
40621099.00000000
ZAR
2020-05-06
-442131.54000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.700000% 02/02/2042
718286CB1
702000.00000000
PA
USD
770398.20000000
0.057408698360
Long
DBT
NUSS
PH
N
2
2042-02-02
Fixed
3.70000000
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
666390.00000000
0.049658192997
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/PEN SETTLE 2020-04-17
N/A
1.00000000
NC
USD
-7147.29000000
-0.00053260328
N/A
DFE
US
N
2
JP MORGAN
N/A
1936000.00000000
PEN
555794.79000000
USD
2020-04-17
-7147.29000000
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.160000% 01/23/2030
698299BK9
2099000.00000000
PA
USD
2099020.99000000
0.156415296489
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/MYR SETTLE 2020-05-04
N/A
1.00000000
NC
USD
-6224.54000000
-0.00046384160
N/A
DFE
US
N
2
JP MORGAN
N/A
1177616.00000000
MYR
267670.42000000
USD
2020-05-04
-6224.54000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH CZK - PRIBOR
N/A
150349290.00000000
NC
122275.19000000
0.009111728843
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-09-30
0.00000000
CZK
0.00000000
CZK
-150349290.00000000
CZK
122275.19000000
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 4.750000% 04/24/2025
48667QAR6
732000.00000000
PA
USD
728792.38000000
0.054308306939
Long
DBT
NUSS
KZ
Y
2
2025-04-24
Fixed
4.75000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 2.550000% 01/27/2032
168863DN5
1777000.00000000
PA
USD
1772557.50000000
0.132087820097
Long
DBT
NUSS
CL
N
2
2032-01-27
Fixed
2.55000000
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
611503.98000000
0.045568184783
Long
DBT
NUSS
XX
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU GOVERNMENT BOND 144A 5.350000% 08/12/2040
N/A
708000.00000000
PA
197225.72000000
0.014696908518
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 7.100000% 03/08/2023
N/A
37883871.00000000
PA
5029913.45000000
0.374820169663
Long
DBT
NUSS
TR
N
2
2023-03-08
Fixed
7.10000000
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
341826.21000000
0.025472278857
Long
DBT
NUSS
XX
Y
2
2029-09-21
Fixed
3.99400000
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
331691.16000000
0.024717033027
Long
DBT
NUSS
PE
Y
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 4.750000% 02/15/2029
G10367AF0
1204000.00000000
PA
USD
1216040.00000000
0.090617129628
Long
DBT
NUSS
BM
N
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2020-04-02
N/A
1.00000000
NC
-67.91000000
-0.00000506053
N/A
DFE
XX
N
2
JP MORGAN
N/A
1334902.00000000
RON
276200.30000000
EUR
2020-04-02
-67.91000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND ZERO COUPON 07/25/2020
N/A
10140000.00000000
PA
2434248.34000000
0.181395840082
Long
DBT
NUSS
PL
N
2
2020-07-25
Fixed
0.00000000
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
506000.00000000
PA
USD
486867.00000000
0.036280459566
Long
DBT
NUSS
CL
Y
2
2049-02-05
Fixed
4.37500000
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2020-04-16
N/A
1.00000000
NC
USD
-8582.81000000
-0.00063957567
N/A
DFE
US
N
2
JP MORGAN
N/A
16641827.00000000
CNY
2340495.25000000
USD
2020-04-16
-8582.81000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2020-04-21
N/A
1.00000000
NC
-177654.30000000
-0.01323848124
N/A
DFE
HU
N
2
J P MORGAN CHASE BANK
N/A
2650540.30000000
EUR
897206194.00000000
HUF
2020-04-21
-177654.30000000
N
N
N
RIO ENERGY Sociedad Anonima
529900D1ZX75KRP2HC66
MSU ENERGY SA / UGEN SA / UENSA SA 144A 6.875000% 02/01/2025
76706AAA2
1040000.00000000
PA
USD
400410.40000000
0.029837868097
Long
DBT
NUSS
AR
Y
2
2025-02-01
Fixed
6.87500000
N
N
N
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA GOVERNMENT INTERNATIONAL BOND MTN 8.750000% 03/09/2024
Y6142NAA6
1951000.00000000
PA
USD
1853363.41000000
0.138109332236
Long
DBT
NUSS
MN
N
2
2024-03-09
Fixed
8.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.070000% 09/30/2026
N/A
6500000.00000000
PA
1568822.73000000
0.116905868794
Long
DBT
NUSS
MY
N
2
2026-09-30
Fixed
4.07000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 24.750000% 07/19/2021
N/A
119.00000000
PA
22.10000000
0.000001646852
Long
DBT
NUSS
GH
N
2
2021-07-19
Fixed
24.75000000
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
291010.32000000
0.021685569463
Long
DBT
NUSS
CM
Y
2
2025-11-19
Fixed
9.50000000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 8.250000% 02/28/2048
N/A
660000.00000000
PA
USD
604744.80000000
0.045064502757
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/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
18431.04000000
0.001373448193
N/A
DFE
US
N
2
JP MORGAN
N/A
906774.00000000
EUR
1013421.23000000
USD
2020-04-03
18431.04000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
20741367.00000000
NC
24868.78000000
0.001853177083
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-20741367.00000000
BRL
24868.78000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
Colombian TES 4.750000% 04/04/2035
N/A
1170600000.00000000
PA
996163.49000000
0.074232324680
Long
DBT
NUSS
CO
N
2
2035-04-04
Fixed
4.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.775000% 06/25/2032
N/A
228074000.00000000
PA
8539892.77000000
0.636377561717
Long
DBT
NUSS
TH
N
2
2032-06-25
Fixed
3.77500000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 5.000000% 04/15/2026
P75744AD7
385000.00000000
PA
USD
388853.85000000
0.028976694625
Long
DBT
NUSS
PY
N
2
2026-04-15
Fixed
5.00000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 5.750000% 04/19/2047
48667QAP0
3012000.00000000
PA
USD
2987349.79000000
0.222611972604
Long
DBT
NUSS
KZ
Y
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
ITAU UNIBANCO HOLDING S.A.
5493002W2IVG62O3ZJ94
ITAU UNIBANCO HOLDING SA/CAYMAN ISLAND 144A 2.900000% 01/24/2023
46556JAA7
900000.00000000
PA
USD
855630.00000000
0.063760019920
Long
DBT
NUSS
BR
Y
2
2023-01-24
Fixed
2.90000000
N
N
N
N
N
N
The Government of Belize
529900096070LUHXVI62
REPUBLIC OF BELIZE 5.0% 02/20/2038
N/A
1117000.00000000
PA
USD
566877.50000000
0.042242699171
Long
DBT
NUSS
XX
N
2
2038-02-20
Fixed
5.00000000
N
Y
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-04-02
N/A
1.00000000
NC
-241094.03000000
-0.01796589665
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1263089.17000000
USD
5300680.00000000
BRL
2020-04-02
-241094.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-04-16
N/A
1.00000000
NC
USD
-208442.60000000
-0.01553277038
N/A
DFE
US
N
2
JP MORGAN
N/A
5540032200.00000000
KRW
4341752.05000000
USD
2020-04-16
-208442.60000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2020-04-21
N/A
1.00000000
NC
-31449.34000000
-0.00234354866
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
374349.43000000
EUR
9470000.00000000
CZK
2020-04-21
-31449.34000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.160000% 07/15/2021
N/A
4917000.00000000
PA
1161337.42000000
0.086540791035
Long
DBT
NUSS
MY
N
2
2021-07-15
Fixed
4.16000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 4.850000% 09/30/2029
836205BA1
1675000.00000000
PA
USD
1371088.00000000
0.102171029758
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 3.380000% 12/31/2038
N/A
7800000.00000000
PA
2221609.66000000
0.165550385302
Long
DBT
NUSS
AR
N
2
2038-12-31
Floating
3.38000040
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 7.143000% 02/23/2030
65412JAD5
1324000.00000000
PA
USD
913665.92000000
0.068084753058
Long
DBT
NUSS
NG
Y
2
2030-02-23
Fixed
7.14300000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERUVIAN GOVERNMENT INTERNATIONAL BOND 144A 5.700000% 08/12/2024
715638BT8
4932000.00000000
PA
1625976.95000000
0.121164899222
Long
DBT
NUSS
PE
Y
2
2024-08-12
Fixed
5.70000000
N
N
N
N
N
N
CSN Resources S.A.
222100ZEX458NMOXZP08
CSN RESOURCES SA 144A 7.625000% 04/17/2026
12644VAC2
763000.00000000
PA
USD
496903.75000000
0.037028380256
Long
DBT
NUSS
LU
Y
2
2026-04-17
Fixed
7.62500000
N
N
N
N
N
N
AZARBAYJAN RESPUBLIKASI DOVLAT NEFT SHIRKATI
2549002HARR1VE257O76
STATE OIL CO OF THE AZER 6.95% 03/18/2030
N/A
2110000.00000000
PA
USD
2084047.00000000
0.155299461490
Long
DBT
NUSS
XX
N
2
2030-03-18
Fixed
6.95000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-05-05
N/A
1.00000000
NC
-171336.69000000
-0.01276770422
N/A
DFE
TH
N
2
GOLDMAN, SACHS & CO.
N/A
3448178.47000000
USD
107486964.00000000
THB
2020-05-05
-171336.69000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 4.750000% 01/14/2050
105756CB4
2856000.00000000
PA
USD
2616096.00000000
0.194946803026
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS INTERNATIONAL
N/A
BRK: GOLDMAN SACHS INTERNATIONAL REC: .725%
N/A
765000000.00000000
NC
-26668.62000000
-0.00198729794
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS INTERNATIONAL
N/A
Y
2025-03-25
0.00000000
HUF
0.00000000
HUF
-765000000.00000000
HUF
-26668.62000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.500000% 02/28/2041
N/A
16423000.00000000
PA
546391.19000000
0.040716095927
Long
DBT
NUSS
ZA
N
2
2041-02-28
Fixed
6.50000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2025
EK0169285
32832000.00000000
PA
7143651.14000000
0.532332128361
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
10.00000000
N
N
N
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
394481.44000000
0.029396052584
Long
DBT
NUSS
CO
Y
2
2027-11-08
Fixed
8.37500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 11/07/2047
N/A
60700000.00000000
PA
2583636.05000000
0.192527945507
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2020-04-13
N/A
1.00000000
NC
-20849.22000000
-0.00155364664
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
1499011.26000000
USD
112052591.00000000
INR
2020-04-13
-20849.22000000
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
464484.30000000
0.034612540725
Long
DBT
NUSS
MX
Y
2
2168-09-27
Fixed
6.75000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 12/05/2024
N/A
318931500.00000000
PA
15361814.57000000
1.144734994092
Long
DBT
NUSS
MX
N
2
2024-12-05
Floating
10.00000080
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
4280615.35630000
PA
USD
4629764.78000000
0.345001805218
Long
DBT
NUSS
NL
N
2
2023-07-01
Floating
9.41213160
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 2.969%
N/A
200000000.00000000
NC
-28607.36000000
-0.00213176939
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-02-08
0.00000000
HUF
0.00000000
HUF
-200000000.00000000
HUF
-28607.36000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 4.200000% 12/04/2036
N/A
16120000.00000000
PA
873029.61000000
0.065056607791
Long
DBT
NUSS
CZ
N
2
2036-12-04
Fixed
4.20000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2020-04-06
N/A
1.00000000
NC
430.06000000
0.000032047303
N/A
DFE
XX
N
2
JP MORGAN
N/A
1853693.00000000
RON
383858.66000000
EUR
2020-04-06
430.06000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.500000% 01/28/2026
195325CX1
1468000.00000000
PA
USD
1486350.00000000
0.110760148204
Long
DBT
NUSS
CO
N
2
2026-01-28
Fixed
4.50000000
N
N
N
N
N
N
JANUB GAZ DAHLIZI GAPALI SAHMDAR JAMIYYATI
213800DG58KG59XY6318
SOUTHERN GAS CORRIDOR CJSC 6.875000% 03/24/2026
N/A
6045000.00000000
PA
USD
6150787.50000000
0.458345702611
Long
DBT
NUSS
AZ
N
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
MERSIN ULUSLARARASI LIMAN ISLETMECILIGI ANONIM SIRKETI
635400DAFN6NT43HM530
MERSIN ULUSLARARASI LIMAN ISLETMECILIGI AS 144A 5.375000% 11/15/2024
590454AB0
235000.00000000
PA
USD
211508.45000000
0.015761232057
Long
DBT
NUSS
TR
Y
2
2024-11-15
Fixed
5.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 05/22/2040
N/A
1500000.00000000
PA
332829.86000000
0.024801886918
Long
DBT
NUSS
MY
N
2
2040-05-22
Fixed
3.75700000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 7.000000% 03/20/2028
AQ5804309
2432000.00000000
PA
USD
389606.40000000
0.029032773307
Long
DBT
NUSS
LB
N
2
2028-03-20
Fixed
7.00000000
Y
N
N
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO PAY: 1-DAY-CLP - SINACOFI CHILE INTERBANK RATE AVG
N/A
610397919.00000000
NC
22787.60000000
0.001698091266
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO
N/A
Y
2029-11-29
0.00000000
CLP
0.00000000
CLP
-610397919.00000000
CLP
22787.60000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.500000% 01/31/2047
N/A
4772000.00000000
PA
USD
3897693.25000000
0.290449141875
Long
DBT
NUSS
EG
N
2
2047-01-31
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
3985957.16000000
0.297026410858
Long
DBT
NUSS
ID
N
2
2029-03-15
Fixed
9.00000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
Ivory Coast Government International Bond 6.625000% 03/22/2048
AR7769417
271000.00000000
PA
251115.90000000
0.018712708514
Long
DBT
CORP
XX
Y
2
2048-03-22
Fixed
6.62500000
N
N
N
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
301050.60000000
0.022433753202
Long
DBT
NUSS
HK
N
2
2023-03-14
Fixed
4.62500000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 6.500000% 11/28/2027
65412JAC7
2480000.00000000
PA
USD
1710208.00000000
0.127441646678
Long
DBT
NUSS
NG
Y
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.550000% 06/26/2020
N/A
5000000.00000000
PA
152971.83000000
0.011399187648
Long
DBT
NUSS
TH
N
2
2020-06-26
Fixed
2.55000000
N
N
N
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
361764.76000000
0.026958064004
Long
DBT
NUSS
MX
Y
2
2168-09-27
Fixed
7.50000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 01/17/2048
682051AJ6
808000.00000000
PA
USD
533280.00000000
0.039739073458
Long
DBT
NUSS
OM
Y
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-3885.20000000
-0.00028951816
N/A
DFE
XX
N
2
JP MORGAN
N/A
700715.42000000
USD
635049.00000000
EUR
2020-04-03
-3885.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
18122.79000000
0.001350477953
N/A
DFE
US
N
2
JP MORGAN
N/A
904500.00000000
EUR
1010617.75000000
USD
2020-04-03
18122.79000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.181000% 07/15/2024
N/A
4186000.00000000
PA
1012263.76000000
0.075432088054
Long
DBT
NUSS
MY
N
2
2024-07-15
Fixed
4.18100000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 06/17/2035
N/A
95023000.00000000
PA
2852368.35000000
0.212553396697
Long
DBT
NUSS
TH
N
2
2035-06-17
Fixed
1.60000000
N
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 4.750000% 03/13/2028
N/A
1135000.00000000
PA
1122337.00000000
0.083634549369
Long
DBT
NUSS
SN
N
2
2028-03-13
Fixed
4.75000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 6.0% 08/15/2020
N/A
2318000.00000000
PA
1485387.82000000
0.110688448269
Long
DBT
NUSS
XX
N
2
2020-08-15
Floating
6.00000120
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
5012193.00000000
NC
257385.55000000
0.019179911638
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-03
0.00000000
BRL
0.00000000
BRL
-5012193.00000000
BRL
257385.55000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.893000% 06/08/2038
N/A
800000.00000000
PA
206396.67000000
0.015380311338
Long
DBT
NUSS
MY
N
2
2038-06-08
Fixed
4.89300000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.900000% 08/12/2037
N/A
2480000.00000000
PA
824414.19000000
0.061433873493
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.90000000
N
N
N
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP PAY: 6-MONTH PLN - WIBOR
N/A
11000000.00000000
NC
71742.23000000
0.005346102887
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2021-12-14
0.00000000
PLN
0.00000000
PLN
-11000000.00000000
PLN
71742.23000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-04-06
N/A
1.00000000
NC
-3677.30000000
-0.00027402583
N/A
DFE
XX
N
2
JP MORGAN
N/A
949773.50000000
EUR
4575042.80000000
RON
2020-04-06
-3677.30000000
N
N
N
Instituto Costarricense de Electricidad
5493009VA6AFUB2Q0289
INSTITUTO COSTARRICENSE DE ELECTRICIDAD 6.375000% 05/15/2043
P56226AQ9
250000.00000000
PA
USD
152502.50000000
0.011364214015
Long
DBT
NUSS
CR
N
2
2043-05-15
Fixed
6.37500000
N
N
N
N
N
N
BIZ FINANCE PLC
213800CQK26QNHYTY203
UKREXIMBANK VIA BIZ FINANCE PLC 144A 9.625000% 04/27/2022
N/A
712916.67000000
PA
USD
658735.00000000
0.049087756065
Long
DBT
NUSS
GB
Y
2
2022-04-27
Fixed
9.62500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS: 8.09%
N/A
133260019.00000000
NC
-105063.28000000
-0.00782912804
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-28
0.00000000
MXN
0.00000000
MXN
-133260019.00000000
MXN
-105063.28000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.642000% 11/07/2033
N/A
1700000.00000000
PA
429309.84000000
0.031991402768
Long
DBT
NUSS
MY
N
2
2033-11-07
Fixed
4.64200000
N
N
N
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS REC:6.5 FIXED
N/A
4807975.00000000
NC
12545.12000000
0.000934839943
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-4807975.00000000
BRL
12545.12000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-622032.65000000
-0.04635276247
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
3097326.15000000
USD
58353284.00000000
MXN
2020-05-06
-622032.65000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 9.750000% 11/01/2028
N/A
4017000.00000000
PA
USD
3898659.18000000
0.290521121254
Long
DBT
NUSS
UA
N
2
2028-11-01
Fixed
9.75000000
N
N
N
N
N
N
ADECOAGRO S.A.
529900Q00UR5LFELO811
ADECOAGRO SA 144A 6.000000% 09/21/2027
00676LAA4
1071000.00000000
PA
USD
830025.00000000
0.061851981036
Long
DBT
NUSS
LU
Y
2
2027-09-21
Fixed
6.00000000
N
N
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2020-06-17
N/A
1.00000000
NC
25037.96000000
0.001865784075
N/A
DFE
IL
N
2
CITIGROUP GLOBAL MARKETS
N/A
678280.10000000
USD
2476739.78000000
ILS
2020-06-17
25037.96000000
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 3.375000% 06/19/2024
N/A
292000.00000000
PA
USD
285124.47000000
0.021246966430
Long
DBT
NUSS
HK
N
2
2024-06-19
Fixed
3.37500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 12/07/2023
N/A
19699400.00000000
PA
880530.87000000
0.065615588293
Long
DBT
NUSS
MX
N
2
2023-12-07
Fixed
8.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
16761633.00000000
NC
37462.82000000
0.002791662458
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-16761633.00000000
BRL
37462.82000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 5.577000% 02/21/2023
03846JW30
741000.00000000
PA
USD
685276.80000000
0.051065603612
Long
DBT
NUSS
EG
Y
2
2023-02-21
Fixed
5.57700000
N
N
N
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
1262300.00000000
0.094064342233
Long
DBT
NUSS
XX
N
2
2023-03-13
Fixed
4.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 7.625000% 04/26/2029
900123CT5
1443000.00000000
PA
USD
1374457.50000000
0.102422118882
Long
DBT
NUSS
TR
N
2
2029-04-26
Fixed
7.62500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 1.400000% 10/30/2031
N/A
300000.00000000
PA
283501.76000000
0.021126044978
Long
DBT
NUSS
ID
N
2
2031-10-30
Fixed
1.40000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 6.875000% 01/26/2027
040114HL7
1264000.00000000
PA
USD
353932.64000000
0.026374428405
Long
DBT
NUSS
AR
N
2
2027-01-26
Fixed
6.87500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 12/17/2029
N/A
16631000.00000000
PA
514356.54000000
0.038328931005
Long
DBT
NUSS
TH
N
2
2029-12-17
Fixed
1.60000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.4925%
N/A
33000000.00000000
NC
100345.08000000
0.007477536201
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-11-18
0.00000000
CZK
0.00000000
CZK
-33000000.00000000
CZK
100345.08000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
Argentina Treasury Bond BONCER 2.500000% 07/22/2021
N/A
256308.00000000
PA
7719.07000000
0.000575211314
Long
DBT
NUSS
XX
N
2
2021-07-22
Fixed
2.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.375000% 09/25/2032
N/A
2146000.00000000
PA
USD
1942130.00000000
0.144724060035
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
TURKIYE GARANTI BANKASI ANONIM SIRKETI
5493002XSS7K7RHN1V37
TURKIYE GARANTI BANKASI AS 144A 6.125000% 05/24/2027
900148AE7
656000.00000000
PA
USD
521520.00000000
0.038862739255
Long
DBT
NUSS
TR
Y
2
2027-05-24
Fixed
6.12500000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 7.000000% 03/16/2047
86964WAB8
399000.00000000
PA
USD
377553.75000000
0.028134631348
Long
DBT
NUSS
AT
Y
2
2047-03-16
Fixed
7.00000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.875000% 03/17/2036
900123AY6
1757000.00000000
PA
USD
1549719.68000000
0.115482343615
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-04-23
N/A
1.00000000
NC
USD
-6280.12000000
-0.00046798332
N/A
DFE
US
N
2
JP MORGAN
N/A
5140227.70000000
EGP
318319.77000000
USD
2020-04-23
-6280.12000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2026
N/A
5681000.00000000
PA
USD
5212317.50000000
0.388412593797
Long
DBT
NUSS
UA
N
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD.
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 144A 7.500000% 04/01/2025
335934AL9
412000.00000000
PA
USD
342862.28000000
0.025549484944
Long
DBT
NUSS
CA
Y
2
2025-04-01
Fixed
7.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 10.700000% 08/17/2022
N/A
21356000.00000000
PA
3143328.40000000
0.234235220130
Long
DBT
NUSS
TR
N
2
2022-08-17
Fixed
10.70000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 2.500000% 10/24/2024
N/A
827300000.00000000
PA
2618236.90000000
0.195106339071
Long
DBT
NUSS
HU
N
2
2024-10-24
Fixed
2.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
2705129.00000000
NC
5244.30000000
0.000390795872
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-2705129.00000000
BRL
5244.30000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.875000% 06/22/2030
836205AY0
1402000.00000000
PA
USD
1219740.00000000
0.090892847022
Long
DBT
NUSS
ZA
N
2
2030-06-22
Fixed
5.87500000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 06/26/2024
N/A
666660000.00000000
PA
2153462.55000000
0.160472184338
Long
DBT
NUSS
HU
N
2
2024-06-26
Fixed
3.00000000
N
N
N
N
N
N
1MDB Global Investments Limited
N/A
1MDB Global Investments Ltd 4.400000% 03/09/2023
N/A
1000000.00000000
PA
USD
864992.20000000
0.064457674348
Long
DBT
NUSS
XX
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
Republic of Zambia
2549001MFDXXJB4IQU56
ZAMBIA GOVERNMENT INTERNATIONAL BOND 144A 8.500000% 04/14/2024
988895AE8
1139000.00000000
PA
USD
454461.00000000
0.033865622305
Long
DBT
NUSS
ZM
Y
2
2024-04-14
Fixed
8.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-58582.77000000
-0.00436548342
N/A
DFE
XX
N
2
JP MORGAN
N/A
3956625.66000000
USD
3552441.00000000
EUR
2020-04-03
-58582.77000000
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.125000% 08/16/2027
156830AA9
723000.00000000
PA
USD
649622.73000000
0.048408725974
Long
DBT
NUSS
PE
Y
2
2027-08-16
Fixed
4.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-05-14
N/A
1.00000000
NC
USD
27358.35000000
0.002038695395
N/A
DFE
US
N
2
JP MORGAN
N/A
24687596.00000000
RUB
341555.01000000
USD
2020-05-14
27358.35000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-04-02
N/A
1.00000000
NC
-13965.34000000
-0.00104067220
N/A
DFE
XX
N
2
JP MORGAN
N/A
1793461.50000000
EUR
8604526.11000000
RON
2020-04-02
-13965.34000000
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 9.375000% 05/08/2048
N/A
4772000.00000000
PA
USD
1861080.00000000
0.138684358745
Long
DBT
NUSS
AO
N
2
2048-05-08
Fixed
9.37500000
N
N
N
N
N
N
N/A
N/A
R186 BOND FUTURE MAY20 FINANCIAL COMMODITY FUTURE.
N/A
1003.00000000
NC
5993185.02000000
0.446601447192
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R186 Bond Future May 2020
2020-05-10
7943773.71000000
ZAR
-1950588.69000000
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
1742000.00000000
PA
USD
1568148.40000000
0.116855618926
Long
DBT
NUSS
AE
Y
2
2039-12-15
Fixed
5.95000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2020-06-17
N/A
1.00000000
NC
24401.97000000
0.001818391236
N/A
DFE
XX
N
2
STANDARD BANK
N/A
2298420.52000000
USD
3301796.00000000
SGD
2020-06-17
24401.97000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.400000% 09/17/2025
N/A
144900000.00000000
PA
6102219.41000000
0.454726495260
Long
DBT
NUSS
CZ
N
2
2025-09-17
Fixed
2.40000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-05-04
N/A
1.00000000
NC
-70620.08000000
-0.00526248227
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
557586.34000000
USD
7948393260.00000000
IDR
2020-05-04
-70620.08000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.000000% 01/27/2023
N/A
560000.00000000
PA
USD
104204.80000000
0.007765155644
Long
DBT
NUSS
LB
N
2
2023-01-27
Fixed
6.00000000
Y
N
N
N
N
N
MINMETALS BOUNTEOUS FINANCE (BVI) LIMITED
3003005FATJ63Y0MR949
MINMETALS BOUNTEOUS FINANCE BVI LTD 3.375000% MATURITY: PERPETUAL
N/A
805000.00000000
PA
USD
758696.40000000
0.056536701117
Long
DBT
NUSS
VG
N
2
2168-09-03
Fixed
3.37500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-234423.62000000
-0.01746882961
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1450616.67000000
USD
21825565.00000000
ZAR
2020-05-06
-234423.62000000
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-8837.94000000
-0.00065858750
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
427242.76000000
USD
168760889.48000000
NGN
2020-04-30
-8837.94000000
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT 7.000000% 04/04/2044
P3699PGH4
1208000.00000000
PA
USD
966400.00000000
0.072014402546
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
6900.69000000
0.000514227098
N/A
DFE
XX
N
2
JP MORGAN
N/A
655543.00000000
USD
603711.19000000
EUR
2020-04-03
6900.69000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH CZK - PRIBOR
N/A
40000000.00000000
NC
37522.63000000
0.002796119393
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-11
0.00000000
CZK
0.00000000
CZK
-40000000.00000000
CZK
37522.63000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
142065000000.00000000
PA
8623197.42000000
0.642585275500
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-04-16
N/A
1.00000000
NC
USD
168344.06000000
0.012544698782
N/A
DFE
US
N
2
JP MORGAN
N/A
7526500.00000000
BRL
1618080.19000000
USD
2020-04-16
168344.06000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 3.850000% 07/18/2027
Y20721BT5
1420000.00000000
PA
USD
1430246.75000000
0.106579434184
Long
DBT
NUSS
ID
N
2
2027-07-18
Fixed
3.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-06-02
N/A
1.00000000
NC
USD
930103.33000000
0.069309639503
N/A
DFE
US
N
2
JP MORGAN
N/A
33685233.00000000
BRL
7400095.12000000
USD
2020-06-02
930103.33000000
N
N
N
MDGH ? GMTN B.V.
213800L53ZH5KG593W13
MDGH - GMTN BV MTN 4.500000% 11/07/2028
N/A
1225000.00000000
PA
USD
1288553.00000000
0.096020668920
Long
DBT
NUSS
NL
N
2
2028-11-07
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2020-05-05
N/A
1.00000000
NC
USD
48459.58000000
0.003611121379
N/A
DFE
US
N
2
JP MORGAN
N/A
31473911.00000000
THB
1007971.53000000
USD
2020-05-05
48459.58000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.64
N/A
14000000.00000000
NC
-20358.93000000
-0.00151711111
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-06-21
0.00000000
CZK
0.00000000
CZK
-14000000.00000000
CZK
-20358.93000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.190000% 09/12/2024
P78625DC4
108672100.00000000
PA
3682740.05000000
0.274431213198
Long
DBT
NUSS
MX
N
2
2024-09-12
Fixed
7.19000000
N
N
N
N
N
N
N/A
N/A
R2032 BOND FUTURE MAY20 FINANCIAL COMMODITY FUTURE.
N/A
506.00000000
NC
2275247.98000000
0.169547417141
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2032 Bond Future May 2020
2020-05-10
3184228.34000000
ZAR
-908980.36000000
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN BOND MTN 5.375000% 02/20/2029
N/A
983000.00000000
PA
USD
964323.00000000
0.071859628215
Long
DBT
NUSS
UZ
N
2
2029-02-20
Fixed
5.37500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-04-22
N/A
1.00000000
NC
-846155.53000000
-0.06305399933
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
5357597.20000000
USD
73597312706.00000000
IDR
2020-04-22
-846155.53000000
N
N
N
Azarbayjan Respublikasi
549300P74FF45UQVU281
REPUBLIC OF AZERBAIJAN 5.125000% 09/01/2029
N/A
1711000.00000000
PA
USD
1488570.00000000
0.110925578641
Long
DBT
NUSS
AZ
N
2
2029-09-01
Fixed
5.12500000
N
N
N
N
N
N
Republic of Iraq
N/A
REPUBLIC OF IRAQ 01/15/2028 5.8%
N/A
879000.00000000
PA
USD
668215.80000000
0.049794248353
Long
DBT
NUSS
IQ
N
2
2028-01-15
Fixed
5.80000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
60779000000.00000000
PA
3796164.89000000
0.282883429761
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2023
N/A
77185000.00000000
PA
16551501.93000000
1.233388372039
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
Joint Stock Company KazTransGas
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 4.375000% 09/26/2027
N/A
2251000.00000000
PA
USD
2017931.46000000
0.150372649495
Long
DBT
NUSS
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS: 1.7
N/A
140000000.00000000
NC
-218340.61000000
-0.01627035242
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-06-18
0.00000000
CZK
0.00000000
CZK
-140000000.00000000
CZK
-218340.61000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.500000% 01/23/2029
71654QCP5
2295000.00000000
PA
USD
1658137.50000000
0.123561445987
Long
DBT
NUSS
MX
N
2
2029-01-23
Fixed
6.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-06-18
N/A
1.00000000
NC
USD
-2252.45000000
-0.00016784855
N/A
DFE
US
N
2
JP MORGAN
N/A
4153887.00000000
PEN
1203501.96000000
USD
2020-06-18
-2252.45000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-86.00000000
NC
-16278635.46000000
-1.21305484988
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-Bund Future Jun 2020
2020-06-11
-16747891.54000000
EUR
469256.08000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 6.375000% 03/29/2021
445545AE6
2228000.00000000
PA
USD
2309656.20000000
0.172111456261
Long
DBT
NUSS
HU
N
2
2021-03-29
Fixed
6.37500000
N
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
Venezuela Government International Bond Maturity:09/15/2027
922646AS3
2300000.00000000
PA
USD
207000.00000000
0.015425270413
Long
DBT
NUSS
VE
N
2
2027-09-15
Fixed
9.25000000
Y
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-6692.20000000
-0.00049869079
N/A
DFE
TR
N
2
J P MORGAN CHASE BANK
N/A
302453.50000000
USD
1967072.00000000
TRY
2020-05-06
-6692.20000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2020-04-21
N/A
1.00000000
NC
29357.48000000
0.002187666993
N/A
DFE
XX
N
2
JP MORGAN
N/A
2462253.00000000
PLN
566834.47000000
EUR
2020-04-21
29357.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2020-05-11
N/A
1.00000000
NC
USD
167883.65000000
0.012510389851
N/A
DFE
US
N
2
JP MORGAN
N/A
20092869.00000000
ILS
5860841.37000000
USD
2020-05-11
167883.65000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 8.747000% 01/21/2031
N/A
1719000.00000000
PA
USD
1234063.22000000
0.091960187803
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 9.850000% 06/28/2027
N/A
5060000000.00000000
PA
1375488.49000000
0.102498946416
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 10.750000% 01/31/2029
27927WAL6
4412000.00000000
PA
USD
1246390.00000000
0.092878757440
Long
DBT
NUSS
EC
Y
2
2029-01-31
Fixed
10.75000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD.
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 144A 6.875000% 03/01/2026
335934AR6
411000.00000000
PA
USD
329827.50000000
0.024578156411
Long
DBT
NUSS
CA
Y
2
2026-03-01
Fixed
6.87500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3000000.00000000
NC
180285.16000000
0.013434528234
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-3000000.00000000
BRL
180285.16000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 7.500000% 09/15/2033
N/A
35200000.00000000
PA
1260563.64000000
0.093934951786
Long
DBT
NUSS
ZA
N
2
2033-09-15
Fixed
7.50000000
N
N
N
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
285906.75000000
0.021305260539
Long
DBT
NUSS
CO
Y
2
2024-08-12
Fixed
7.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2020-06-17
N/A
1.00000000
NC
USD
708.14000000
0.000052769328
N/A
DFE
US
N
2
JP MORGAN
N/A
222802844.81000000
PHP
4324169.72000000
USD
2020-06-17
708.14000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.620000% 11/30/2021
N/A
18334000.00000000
PA
4307887.82000000
0.321016108852
Long
DBT
NUSS
MY
N
2
2021-11-30
Fixed
3.62000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.050000% 01/19/2028
N/A
953320000.00000000
PA
12515918.61000000
0.932663908342
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.906000% 07/15/2026
N/A
16152000.00000000
PA
3868565.71000000
0.288278609600
Long
DBT
NUSS
MY
N
2
2026-07-15
Fixed
3.90600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-21420.09000000
-0.00159618686
N/A
DFE
US
N
2
JP MORGAN
N/A
38858439.08000000
INR
485002.98000000
USD
2020-06-17
-21420.09000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2025
903724AS1
1361000.00000000
PA
USD
1235107.50000000
0.092038005684
Long
DBT
NUSS
UA
Y
2
2025-09-01
Fixed
7.75000000
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
582646.35000000
0.043417765719
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/UGX SETTLE 2020-09-09
N/A
1.00000000
NC
USD
-15526.68000000
-0.00115702047
N/A
DFE
US
N
2
JP MORGAN
N/A
855550454.00000000
UGX
202737.07000000
USD
2020-09-09
-15526.68000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
10608431.15000000
NC
248981.66000000
0.018553668760
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-04
0.00000000
BRL
0.00000000
BRL
-10608431.15000000
BRL
248981.66000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 7.820000% 12/31/2033
ED7860460
16728344.54400000
PA
5701847.71000000
0.424891511017
Long
DBT
NUSS
AR
N
2
2033-12-31
Fixed
7.82000000
N
N
Y
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 04/03/2049
N/A
278000.00000000
PA
321530.06000000
0.023959845997
Long
DBT
NUSS
RO
N
2
2049-04-03
Fixed
4.62500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.550000% 03/14/2037
715638AU6
309000.00000000
PA
USD
448822.50000000
0.033445451352
Long
DBT
NUSS
PE
N
2
2037-03-14
Fixed
6.55000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.627000% 06/16/2049
374422AH6
593000.00000000
PA
USD
412728.00000000
0.030755753657
Long
DBT
NUSS
GH
Y
2
2049-06-16
Fixed
8.62700000
N
N
N
N
N
N
BRAZIL LOAN TRUST 1
N/A
BRAZIL LOAN TRUST 1 144A 5.477000% 07/24/2023
105859AA0
1230240.53000000
PA
USD
1285613.66000000
0.095801634551
Long
DBT
CORP
US
Y
2
2023-07-24
Fixed
5.47700000
N
N
N
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2020-05-11
N/A
1.00000000
NC
-103408.40000000
-0.00770580933
N/A
DFE
IL
N
2
CITIGROUP GLOBAL MARKETS
N/A
2884579.04000000
USD
9815934.00000000
ILS
2020-05-11
-103408.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-05-14
N/A
1.00000000
NC
USD
85882.33000000
0.006399797893
N/A
DFE
US
N
2
JP MORGAN
N/A
39351954.00000000
RUB
586710.87000000
USD
2020-05-14
85882.33000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 5.875000% 04/18/2024
25714PBY3
71000.00000000
PA
USD
69935.00000000
0.005211431334
Long
DBT
NUSS
DO
Y
2
2024-04-18
Fixed
5.87500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.232000% 06/30/2031
N/A
6200000.00000000
PA
1499817.57000000
0.111763727475
Long
DBT
NUSS
MY
N
2
2031-06-30
Fixed
4.23200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
11554.10000000
0.000860990902
N/A
DFE
US
N
2
JP MORGAN
N/A
499532.00000000
EUR
559683.45000000
USD
2020-04-03
11554.10000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-20
N/A
1.00000000
NC
USD
513567.25000000
0.038270114524
N/A
DFE
US
N
2
JP MORGAN
N/A
49447700.00000000
MXN
2606859.73000000
USD
2020-05-20
513567.25000000
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 6.100000% 08/11/2044
P75744AB1
1010000.00000000
PA
USD
1060510.10000000
0.079027319170
Long
DBT
NUSS
PY
N
2
2044-08-11
Fixed
6.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2020-08-26
N/A
1.00000000
NC
USD
-14505.71000000
-0.00108093961
N/A
DFE
US
N
2
JP MORGAN
N/A
1014028279.00000000
UGX
245230.54000000
USD
2020-08-26
-14505.71000000
N
N
N
Republic of Zambia
2549001MFDXXJB4IQU56
ZAMBIA GOVERNMENT INTERNATIONAL BOND 144A 5.375000% 09/20/2022
988895AA6
794000.00000000
PA
USD
329510.00000000
0.024554496878
Long
DBT
NUSS
ZM
Y
2
2022-09-20
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-06-17
N/A
1.00000000
NC
USD
155165.49000000
0.011562655275
N/A
DFE
US
N
2
JP MORGAN
N/A
16742174.00000000
TRY
2643682.04000000
USD
2020-06-17
155165.49000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-20814.00000000
-0.00155102211
N/A
DFE
CO
N
2
J P MORGAN CHASE BANK
N/A
1516136.41000000
USD
6096687749.00000000
COP
2020-06-17
-20814.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-04-02
N/A
1.00000000
NC
USD
32460.18000000
0.002418874657
N/A
DFE
US
N
2
JP MORGAN
N/A
6007069.00000000
BRL
1190650.32000000
USD
2020-04-02
32460.18000000
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
789985.59000000
0.058868315691
Long
DBT
NUSS
LK
N
2
2025-11-03
Fixed
6.85000000
N
N
N
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT 4.250000% 01/26/2023
P3699PGB7
870000.00000000
PA
USD
776475.00000000
0.057861530647
Long
DBT
NUSS
CR
N
2
2023-01-26
Fixed
4.25000000
N
N
N
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
TURKIYE IHRACAT KREDI BANKASI AS 144A 5.375000% 10/24/2023
90015LAB3
1033000.00000000
PA
USD
909040.00000000
0.067740037759
Long
DBT
NUSS
TR
Y
2
2023-10-24
Fixed
5.37500000
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
27495.12000000
0.002048887251
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
27495.12000000
N
N
N
Republic of Namibia
549300T6Y4CWK77SML15
REPUBLIC OF NAMIBIA 5.250000% 10/29/2025
N/A
379000.00000000
PA
USD
324579.39000000
0.024187076624
Long
DBT
NUSS
NA
N
2
2025-10-29
Fixed
5.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-06
N/A
1.00000000
NC
USD
253669.44000000
0.018902993756
N/A
DFE
US
N
2
JP MORGAN
N/A
26700211.00000000
MXN
1386268.23000000
USD
2020-05-06
253669.44000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2020-04-16
N/A
1.00000000
NC
-11488.18000000
-0.00085607866
N/A
DFE
TW
N
2
GOLDMAN, SACHS & CO.
N/A
2107373.64000000
USD
63208565.00000000
TWD
2020-04-16
-11488.18000000
N
N
N
Rumo Luxembourg S.a r.l.
222100HOIQFT7YOSPB46
RUMO LUXEMBOURG SARL 7.375000% 02/09/2024
L79090AA1
750000.00000000
PA
USD
750000.00000000
0.055888660916
Long
DBT
NUSS
LU
N
2
2024-02-09
Fixed
7.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-05-06
N/A
1.00000000
NC
USD
286155.34000000
0.021323785022
N/A
DFE
US
N
2
JP MORGAN
N/A
23981013.35000000
ZAR
1622457.14000000
USD
2020-05-06
286155.34000000
N
N
N
Nexa Resources S.A.
549300QRMRHM7GAU7L47
NEXA RESOURCES SA 144A 5.375000% 05/04/2027
91832CAA4
2891000.00000000
PA
USD
2234771.91000000
0.166531212672
Long
DBT
NUSS
LU
Y
2
2027-05-04
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-06-03
N/A
1.00000000
NC
USD
200922.47000000
0.014972383728
N/A
DFE
US
N
2
JP MORGAN
N/A
11140000.00000000
EUR
12450704.55000000
USD
2020-06-03
200922.47000000
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
539289.30000000
0.040186875765
Long
DBT
NUSS
TR
Y
2
2021-04-29
Fixed
4.75000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 6.500000% 06/09/2022
EJ0234298
12008000.00000000
PA
512859.34000000
0.038217362335
Long
DBT
NUSS
MX
N
2
2022-06-09
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
212568000.00000000
PA
9209399.81000000
0.686268030971
Long
DBT
NUSS
MX
N
2
2027-06-03
Floating
7.49999880
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-04-22
N/A
1.00000000
NC
-34814.28000000
-0.00259429798
N/A
DFE
TH
N
2
GOLDMAN, SACHS & CO.
N/A
1911583.36000000
USD
61572100.00000000
THB
2020-04-22
-34814.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-05-28
N/A
1.00000000
NC
USD
-37813.26000000
-0.00281777662
N/A
DFE
US
N
2
JP MORGAN
N/A
26495381.00000000
EGP
1616557.72000000
USD
2020-05-28
-37813.26000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B 6.000000% 05/15/2045
N/A
562000.00000000
PA
437595.03000000
0.032608800334
Long
DBT
NUSS
XX
N
2
2045-05-15
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
SEI LIQUIDITY FUND
N/A
49498304.81000000
NS
USD
49506524.50000000
3.689137814600
Long
EC
US
N
2
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 6.200000% 02/28/2030
N/A
358000.00000000
PA
USD
323826.75000000
0.024130991235
Long
DBT
NUSS
BY
N
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.61%
N/A
135000000.00000000
NC
16943.90000000
0.001262629175
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-01-17
0.00000000
HUF
0.00000000
HUF
-135000000.00000000
HUF
16943.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2020-05-20
N/A
1.00000000
NC
USD
37549.31000000
0.002798107539
N/A
DFE
US
N
2
JP MORGAN
N/A
3525000.00000000
PLN
886611.78000000
USD
2020-05-20
37549.31000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-21993.77000000
-0.00163893647
N/A
DFE
XX
N
2
JP MORGAN
N/A
708980.24000000
USD
626078.00000000
EUR
2020-04-03
-21993.77000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.750000% 09/16/2026
N/A
68909000.00000000
PA
936457.73000000
0.069783158046
Long
DBT
NUSS
RU
N
2
2026-09-16
Fixed
7.75000000
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
60763.97000000
0.004528022553
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
60763.97000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.400000% 05/26/2023
N/A
1555000.00000000
PA
USD
286306.60000000
0.021335056647
Long
DBT
NUSS
LB
N
2
2023-05-26
Fixed
6.40000000
Y
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-5230.85000000
-0.00038979360
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
849299.74000000
USD
717743212.00000000
CLP
2020-06-17
-5230.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-06
N/A
1.00000000
NC
USD
550675.63000000
0.041035364746
N/A
DFE
US
N
2
JP MORGAN
N/A
54294144.00000000
MXN
2853784.08000000
USD
2020-05-06
550675.63000000
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 5.850000% 04/26/2023
N/A
1720000.00000000
PA
411702.48000000
0.030679333737
Long
DBT
NUSS
RO
N
2
2023-04-26
Fixed
5.85000000
N
N
N
N
N
N
State of Kuwait
549300FSC1YD0D9XX589
KUWAIT INTL BOND 2.750000% 03/20/2022
N/A
645000.00000000
PA
USD
648347.55000000
0.048313701837
Long
DBT
NUSS
KW
N
2
2022-03-20
Fixed
2.75000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS: 8.145%
N/A
136359090.00000000
NC
-110134.76000000
-0.00820704567
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-28
0.00000000
MXN
0.00000000
MXN
-136359090.00000000
MXN
-110134.76000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.875000% 04/25/2027
195325DL6
1037000.00000000
PA
USD
1021445.00000000
0.076116257666
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
3.87500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2020-04-06
N/A
1.00000000
NC
-386804.80000000
-0.02882400307
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
5750266.27000000
EUR
24601723.00000000
PLN
2020-04-06
-386804.80000000
N
N
N
POWER FINANCE CORPORATION LIMITED
3358003Q6D9LIJJZ1614
POWER FINANCE CORP LTD MTN 3.950000% 04/23/2030
73928QAB4
569000.00000000
PA
USD
478235.98000000
0.035637291365
Long
DBT
NUSS
IN
Y
2
2030-04-23
Fixed
3.95000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 19.000000% 11/02/2026
N/A
11055000.00000000
PA
1703464.06000000
0.126939100311
Long
DBT
NUSS
GH
N
2
2026-11-02
Fixed
19.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-40366.88000000
-0.00300806782
N/A
DFE
XX
N
2
JP MORGAN
N/A
4083396.34000000
USD
3684573.00000000
EUR
2020-04-03
-40366.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-05-21
N/A
1.00000000
NC
USD
-5698.17000000
-0.00042461745
N/A
DFE
US
N
2
JP MORGAN
N/A
5183814.48000000
EGP
318739.17000000
USD
2020-05-21
-5698.17000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2020-04-16
N/A
1.00000000
NC
-1735.94000000
-0.00012935914
N/A
DFE
TW
N
2
GOLDMAN, SACHS & CO.
N/A
407715.98000000
USD
12243711.00000000
TWD
2020-04-16
-1735.94000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-06-03
N/A
1.00000000
NC
-74859.28000000
-0.00557837988
N/A
DFE
XX
N
2
JP MORGAN
N/A
2395060.37000000
USD
2110000.00000000
EUR
2020-06-03
-74859.28000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.805%
N/A
11500000.00000000
NC
194142.81000000
0.014467175570
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-12-17
0.00000000
PLN
0.00000000
PLN
-11500000.00000000
PLN
194142.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2020-09-09
N/A
1.00000000
NC
USD
-24491.72000000
-0.00182507924
N/A
DFE
US
N
2
JP MORGAN
N/A
1542246295.00000000
UGX
368958.44000000
USD
2020-09-09
-24491.72000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-474274.60000000
-0.03534209640
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2892120.59000000
USD
43390196.00000000
ZAR
2020-05-06
-474274.60000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.625000% 01/07/2041
105756BR0
360000.00000000
PA
USD
369000.00000000
0.027497221171
Long
DBT
NUSS
BR
N
2
2041-01-07
Fixed
5.62500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-06-17
N/A
1.00000000
NC
11968.68000000
0.000891884664
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
305390.09000000
USD
5231332170.00000000
IDR
2020-06-17
11968.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-04-24
N/A
1.00000000
NC
USD
-36046.89000000
-0.00268614988
N/A
DFE
US
N
2
JP MORGAN
N/A
60080887488.00000000
IDR
3646791.35000000
USD
2020-04-24
-36046.89000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B 6.000000% 08/15/2050
N/A
1124000.00000000
PA
890139.56000000
0.066331610716
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-6939.91000000
-0.00051714970
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
593852.93000000
USD
499074000.00000000
CLP
2020-06-17
-6939.91000000
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 5.875000% 05/28/2045
279158AJ8
420000.00000000
PA
USD
372124.20000000
0.027730030976
Long
DBT
NUSS
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
MALAYSIA SUKUK GLOBAL BERHAD
N/A
MALAYSIA SUKUK GLOBAL BHD 3.179000% 04/27/2026
Y54788AA5
1777000.00000000
PA
USD
1845245.76000000
0.137504419451
Long
DBT
NUSS
MY
N
2
2026-04-27
Fixed
3.17900000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2020-04-21
N/A
1.00000000
NC
-14295.32000000
-0.00106526172
N/A
DFE
XX
N
2
JP MORGAN
N/A
28862001.00000000
CZK
1040597.09000000
EUR
2020-04-21
-14295.32000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-04-27
N/A
1.00000000
NC
-104421.84000000
-0.00778132907
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
3475622.58000000
USD
17515400.00000000
BRL
2020-04-27
-104421.84000000
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 2.500000% 09/30/2029
29135LAE0
2193000.00000000
PA
USD
2130060.90000000
0.158728335162
Long
DBT
NUSS
AE
Y
2
2029-09-30
Fixed
2.50000000
N
N
N
N
N
N
VEDANTA RESOURCES LIMITED
2138007MYEKPEAZQTW83
VEDANTA RESOURCES LTD 8.250000% 06/07/2021
G9328DAG5
820000.00000000
PA
USD
376445.60000000
0.028052053989
Long
DBT
NUSS
GB
N
2
2021-06-07
Fixed
8.25000000
N
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
354017.08000000
0.026380720723
Long
DBT
NUSS
KY
N
2
2026-04-03
Fixed
3.85400000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.650000% 04/22/2024
N/A
2250000.00000000
PA
USD
405270.00000000
0.030199996813
Long
DBT
NUSS
LB
N
2
2024-04-22
Fixed
6.65000000
Y
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 06/20/2026
N/A
751000.00000000
PA
728653.84000000
0.054297983185
Long
DBT
NUSS
UA
Y
2
2026-06-20
Fixed
6.75000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.000000% 03/14/2029
74727PBA8
2833000.00000000
PA
USD
3029270.24000000
0.225735809691
Long
DBT
NUSS
QA
Y
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-381829.84000000
-0.02845327794
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
3037580.16000000
USD
47659581.00000000
ZAR
2020-05-06
-381829.84000000
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 5.125000% 03/14/2028
N/A
1227000.00000000
PA
USD
1337612.33000000
0.099676482599
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 7.696000% 02/23/2038
N/A
4684000.00000000
PA
USD
3148566.06000000
0.234625521202
Long
DBT
NUSS
NG
N
2
2038-02-23
Fixed
7.69600000
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND 144A 5.250000% 01/08/2047
455780BY1
170000.00000000
PA
USD
188000.73000000
0.014009478734
Long
DBT
NUSS
ID
Y
2
2047-01-08
Fixed
5.25000000
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
2685936.04000000
0.200151158111
Long
DBT
NUSS
TR
Y
2
2022-02-21
Fixed
5.80000000
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
77803.81000000
0.005797801006
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
77803.81000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.350000% 08/12/2028
N/A
1570000.00000000
PA
504824.04000000
0.037618586125
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.120000% 12/05/2026
N/A
9040000.00000000
PA
1317670.07000000
0.098190420989
Long
DBT
NUSS
CN
N
2
2026-12-05
Fixed
3.12000000
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
1994000.00000000
PA
USD
1950490.92000000
0.145347100865
Long
DBT
NUSS
AE
Y
2
2029-11-02
Fixed
3.65000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2020-05-29
N/A
1.00000000
NC
5726.37000000
0.000426718868
N/A
DFE
MY
N
2
BARCLAYS CAPITAL INC.
N/A
2376502.43000000
USD
16877944.00000000
CNY
2020-05-29
5726.37000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.500000% 10/26/2046
80413TAC3
958000.00000000
PA
USD
970599.62000000
0.072327350730
Long
DBT
NUSS
SA
Y
2
2046-10-26
Fixed
4.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: China 7-Day Reverse Repo Rate
N/A
25760306.59000000
NC
86986.52000000
0.006482080160
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-07-05
0.00000000
CNY
0.00000000
CNY
-25760306.59000000
CNY
86986.52000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.125000% 12/17/2026
N/A
52817000.00000000
PA
1698125.75000000
0.126541298981
Long
DBT
NUSS
TH
N
2
2026-12-17
Fixed
2.12500000
N
N
N
N
N
N
Gol Finance S.A.
5299007RH8MA67ZC6J07
GOL FINANCE SA 144A 7.000000% 01/31/2025
36254VAA6
998000.00000000
PA
USD
434130.00000000
0.032350592485
Long
DBT
NUSS
LU
Y
2
2025-01-31
Fixed
7.00000000
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.795000% 09/30/2022
N/A
3200000.00000000
PA
757770.84000000
0.056467730039
Long
DBT
NUSS
MY
N
2
2022-09-30
Fixed
3.79500000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-05-14
N/A
1.00000000
NC
-5244.86000000
-0.00039083760
N/A
DFE
RU
N
2
J P MORGAN CHASE BANK
N/A
1171743.86000000
USD
91656148.00000000
RUB
2020-05-14
-5244.86000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 5.100000% 06/18/2050
760942BA9
1191000.00000000
PA
USD
1347330.66000000
0.100400675199
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
7386.26000000
0.000550410907
N/A
DFE
US
N
2
JP MORGAN
N/A
15930000.00000000
ZAR
890822.91000000
USD
2020-06-17
7386.26000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.250000% 04/14/2026
900123CJ7
338000.00000000
PA
USD
281385.00000000
0.020968307802
Long
DBT
NUSS
TR
N
2
2026-04-14
Fixed
4.25000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-04-06
N/A
1.00000000
NC
108.62000000
0.000008094168
N/A
DFE
XX
N
2
JP MORGAN
N/A
276047.37000000
EUR
1334902.00000000
RON
2020-04-06
108.62000000
N
N
N
JANUB GAZ DAHLIZI GAPALI SAHMDAR JAMIYYATI
213800DG58KG59XY6318
Southern Gas Corridor CJSC 6.875000% 03/24/2026
84302LAB8
1437000.00000000
PA
USD
1462147.50000000
0.108956621117
Long
DBT
CORP
XX
Y
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 6.125000% 01/18/2041
195325BM6
1584000.00000000
PA
USD
1820617.92000000
0.135669196786
Long
DBT
NUSS
CO
N
2
2041-01-18
Fixed
6.12500000
N
N
N
N
N
N
N/A
N/A
R2037 BOND FUTURE MAY20 FINANCIAL COMMODITY FUTURE.
N/A
423.00000000
NC
1856538.71000000
0.138345949922
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2037 Bond Future May 2020
2020-05-10
2592510.68000000
ZAR
-735971.97000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-06-02
N/A
1.00000000
NC
-29828.95000000
-0.00222280009
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2339588.33000000
USD
12025484.00000000
BRL
2020-06-02
-29828.95000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-107199.73000000
-0.00798833248
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1883758.56000000
USD
7375479.89000000
PLN
2020-06-17
-107199.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-06-18
N/A
1.00000000
NC
USD
-10689.77000000
-0.00079658257
N/A
DFE
US
N
2
JP MORGAN
N/A
1387263.00000000
PEN
391992.94000000
USD
2020-06-18
-10689.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
102683.52000000
0.007651792574
N/A
DFE
US
N
2
JP MORGAN
N/A
19035389.00000000
EUR
20989944.65000000
USD
2020-04-03
102683.52000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 7.690000% 01/23/2050
71654QCW0
5158000.00000000
PA
USD
3559020.00000000
0.265211815968
Long
DBT
NUSS
MX
Y
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA MTN VARIABLE RATE 07/07/2020
P989MJBH3
368000.00000000
PA
USD
73600.00000000
0.005484540591
Long
DBT
NUSS
AR
N
2
2020-07-07
Floating
42.75000048
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.625000% 03/22/2048
N/A
1552000.00000000
PA
1438125.02000000
0.107166508798
Long
DBT
NUSS
CI
N
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST STEP COUPON 12/31/2032
N/A
489900.00000000
PA
USD
439562.78000000
0.032755433550
Long
DBT
NUSS
XX
N
2
2032-12-31
Floating
5.74999920
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2020-05-20
N/A
1.00000000
NC
-15418.14000000
-0.00114893226
N/A
DFE
XX
N
2
JP MORGAN
N/A
6806797.04000000
USD
30003000.00000000
RON
2020-05-20
-15418.14000000
N
N
N
ITAU UNIBANCO HOLDING S.A.
5493002W2IVG62O3ZJ94
ITAU UNIBANCO HOLDING SA/CAYMAN ISLAND 144A 4.625000% MATURITY: PERPETUAL
465562AA4
650000.00000000
PA
USD
536055.00000000
0.039945861503
Long
DBT
NUSS
BR
Y
2
2168-08-27
Fixed
4.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-06-03
N/A
1.00000000
NC
-21385.87000000
-0.00159363684
N/A
DFE
XX
N
2
JP MORGAN
N/A
1155058.12000000
USD
1030966.00000000
EUR
2020-06-03
-21385.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-05-04
N/A
1.00000000
NC
USD
-760.22000000
-0.00005665023
N/A
DFE
US
N
2
JP MORGAN
N/A
2521102846.00000000
IDR
153697.67000000
USD
2020-05-04
-760.22000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-04-14
N/A
1.00000000
NC
-67083.64000000
-0.00499895307
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1402576.80000000
USD
1137770300.00000000
CLP
2020-04-14
-67083.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-4997.50000000
-0.00037240477
N/A
DFE
US
N
2
JP MORGAN
N/A
68998631.40000000
INR
894227.99000000
USD
2020-06-17
-4997.50000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 9.200000% 09/22/2021
N/A
5521520.00000000
PA
817304.77000000
0.060904092208
Long
DBT
NUSS
TR
N
2
2021-09-22
Fixed
9.20000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2020-05-04
N/A
1.00000000
NC
26890.42000000
0.002003826087
N/A
DFE
MY
N
2
STANDARD CHARTERED BANK
N/A
3792780.37000000
USD
16422739.00000000
MYR
2020-05-04
26890.42000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.750000% 02/28/2048
N/A
140688082.00000000
PA
5904408.77000000
0.439985999547
Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
8.75000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 8.250000% 04/12/2021
N/A
1073000.00000000
PA
USD
197517.84000000
0.014718676779
Long
DBT
NUSS
LB
N
2
2021-04-12
Fixed
8.25000000
Y
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2020-04-21
N/A
1.00000000
NC
-96975.43000000
-0.00722643589
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2288927.53000000
EUR
10032369.38000000
PLN
2020-04-21
-96975.43000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-120002.62000000
-0.00894238098
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1287768.70000000
USD
20956504.00000000
ZAR
2020-05-06
-120002.62000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICO GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 03/08/2044
91086QBB3
386000.00000000
PA
USD
388512.86000000
0.028951284659
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.150000% 11/20/2059
03846JX39
789000.00000000
PA
USD
639153.12000000
0.047628549330
Long
DBT
NUSS
EG
Y
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2020-04-20
N/A
1.00000000
NC
15140.75000000
0.001128261657
N/A
DFE
TW
N
2
GOLDMAN, SACHS & CO.
N/A
2761023.10000000
USD
83659000.00000000
TWD
2020-04-20
15140.75000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
46500000.00000000
NC
-8804.03000000
-0.00065606059
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-03-17
0.00000000
MXN
0.00000000
MXN
-46500000.00000000
MXN
-8804.03000000
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
REPUBLIC OF COSTA RICA 7% 04/04/2044
N/A
230000.00000000
PA
USD
184000.00000000
0.013711351478
Long
DBT
NUSS
XX
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND 144A 4.350000% 01/08/2027
455780BX3
655000.00000000
PA
USD
676430.97000000
0.050406428154
Long
DBT
NUSS
ID
Y
2
2027-01-08
Fixed
4.35000000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 4.000000% 10/27/2021
N/A
10545000.00000000
PA
2407049.65000000
0.179369042265
Long
DBT
NUSS
RO
N
2
2021-10-27
Fixed
4.00000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2020-04-06
N/A
1.00000000
NC
-59539.29000000
-0.00443676158
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
830332.42000000
EUR
3537158.00000000
PLN
2020-04-06
-59539.29000000
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
926897.24000000
0.069070727401
Long
DBT
NUSS
LK
N
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-04-20
N/A
1.00000000
NC
-148598.13000000
-0.01107326733
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
2765842.19000000
USD
2229268805.00000000
CLP
2020-04-20
-148598.13000000
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 6.450000% 05/30/2044
69370RAA5
789000.00000000
PA
USD
859616.90000000
0.064057116589
Long
DBT
NUSS
ID
N
2
2044-05-30
Fixed
6.45000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
37637400.00000000
NC
32461.45000000
0.002418969295
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-07-07
31.12000000
MXN
0.00000000
MXN
-37637400.00000000
MXN
32430.33000000
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP PAY: China 7-Day Reverse Repo Rate
N/A
99767693.41000000
NC
331968.74000000
0.024737717793
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2024-07-05
0.00000000
CNY
0.00000000
CNY
-99767693.41000000
CNY
331968.74000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-304576.38000000
-0.02269648803
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
2958598.16000000
USD
66101000.00000000
CZK
2020-06-17
-304576.38000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.625000% 01/23/2046
71654QBX9
468000.00000000
PA
USD
290394.00000000
0.021639642397
Long
DBT
NUSS
MX
N
2
2046-01-23
Fixed
5.62500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.125000% 01/31/2022
038461AK5
865000.00000000
PA
USD
830400.00000000
0.061879925367
Long
DBT
NUSS
EG
Y
2
2022-01-31
Fixed
6.12500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.625000% 06/15/2035
706451BG5
3100000.00000000
PA
USD
2124740.00000000
0.158331831195
Long
DBT
NUSS
MX
N
2
2035-06-15
Fixed
6.62500000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.125000% 11/20/2045
760942AY8
346000.00000000
PA
USD
352923.46000000
0.026299226114
Long
DBT
NUSS
UY
N
2
2045-11-20
Fixed
4.12500000
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
641812.70000000
0.047826736483
Long
DBT
NUSS
NG
N
2
2049-01-21
Fixed
9.24800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2020-05-04
N/A
1.00000000
NC
USD
13496.92000000
0.001005766380
N/A
DFE
US
N
2
JP MORGAN
N/A
1679244.00000000
MYR
404062.66000000
USD
2020-05-04
13496.92000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 05/04/2022
N/A
18296600000.00000000
PA
4662625.45000000
0.347450523676
Long
DBT
NUSS
CO
N
2
2022-05-04
Fixed
7.00000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 8.625000% 02/28/2029
P01012BX3
1237000.00000000
PA
USD
1199890.00000000
0.089413660463
Long
DBT
NUSS
SV
N
2
2029-02-28
Fixed
8.62500000
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-5414.66000000
-0.00040349079
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
355893.52000000
USD
298025232.00000000
CLP
2020-06-17
-5414.66000000
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
1092922.01000000
0.081442596833
Long
DBT
NUSS
PE
Y
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2020-04-06
N/A
1.00000000
NC
173167.09000000
0.012904102366
N/A
DFE
XX
N
2
JP MORGAN
N/A
11235097.00000000
PLN
2622857.52000000
EUR
2020-04-06
173167.09000000
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
776400.00000000
0.057855941781
Long
DBT
NUSS
LK
Y
2
2024-06-28
Fixed
6.35000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 7.903000% 02/21/2048
03846JW55
421000.00000000
PA
USD
338825.85000000
0.025248697387
Long
DBT
NUSS
EG
Y
2
2048-02-21
Fixed
7.90300000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 03/26/2027
37443GAA9
771000.00000000
PA
USD
568882.35000000
0.042392097014
Long
DBT
NUSS
GH
Y
2
2027-03-26
Fixed
7.87500000
N
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
SENEGAL GOVERNMENT INTERNATIONAL BOND 144A 6.250000% 05/23/2033
81720TAC9
151000.00000000
PA
USD
135255.23000000
0.010078978248
Long
DBT
NUSS
SN
Y
2
2033-05-23
Fixed
6.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3-MONTH MOSCOW PRIME OFFERED RATE - RUB
N/A
1020769995.00000000
NC
88217.95000000
0.006573844125
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-06-10
0.00000000
RUB
0.00000000
RUB
-1020769995.00000000
RUB
88217.95000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.500000% 03/08/2047
682051AF4
482000.00000000
PA
USD
314583.08000000
0.023442169451
Long
DBT
NUSS
OM
Y
2
2047-03-08
Fixed
6.50000000
N
N
N
N
N
N
Metinvest B.V.
635400TMCKVEU87EJ582
METINVEST BV 144A 7.750000% 10/17/2029
591555AF4
1524000.00000000
PA
USD
1013764.80000000
0.075543942875
Long
DBT
NUSS
NL
Y
2
2029-10-17
Fixed
7.75000000
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2020-04-06
N/A
1.00000000
NC
-157134.21000000
-0.01170936077
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2518396.45000000
EUR
10825579.00000000
PLN
2020-04-06
-157134.21000000
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT INTERNATIONAL BOND 144A 7.158000% 03/12/2045
221597BV8
387000.00000000
PA
USD
309600.00000000
0.023070839226
Long
DBT
NUSS
CR
Y
2
2045-03-12
Fixed
7.15800000
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
3374000.00000000
PA
USD
3002860.00000000
0.223767765760
Long
DBT
NUSS
PG
Y
2
2028-10-04
Fixed
8.37500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 16.200000% 06/14/2023
N/A
20813706.00000000
PA
3466187.53000000
0.258294106050
Long
DBT
NUSS
TR
N
2
2023-06-14
Fixed
16.20000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.480000% 03/15/2023
N/A
2858000.00000000
PA
673482.41000000
0.050186706727
Long
DBT
NUSS
MY
N
2
2023-03-15
Fixed
3.48000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 18.200000% 10/03/2021
QZ7003432
5928453.00000000
PA
43640.34000000
0.003252000219
Long
DBT
NUSS
AR
N
2
2021-10-03
Fixed
18.20000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.000000% 01/30/2030
195325DR3
3469000.00000000
PA
USD
3165462.50000000
0.235884613743
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
KENYA GOVERNMENT INTERNATIONAL BOND 144A 7.250000% 02/28/2028
491798AG9
842000.00000000
PA
USD
778439.10000000
0.058007891872
Long
DBT
NUSS
KE
Y
2
2028-02-28
Fixed
7.25000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.500000% 01/31/2047
038461AM1
147000.00000000
PA
USD
120067.25000000
0.008947197096
Long
DBT
NUSS
EG
Y
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 04/20/2023
N/A
13915000.00000000
PA
3300372.84000000
0.245937891405
Long
DBT
NUSS
MY
N
2
2023-04-20
Fixed
3.75700000
N
N
N
N
N
N
BRK:JPM MORGAN
N/A
BRK:JPM MORGAN REC:6.23% FIXED
N/A
5579011.00000000
NC
24789.71000000
0.001847284928
N/A
DIR
XX
N
2
BRK:JPM MORGAN
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-5579011.00000000
BRL
24789.71000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.650000% 06/20/2031
N/A
84500000.00000000
PA
3048999.98000000
0.227206034690
Long
DBT
NUSS
TH
N
2
2031-06-20
Fixed
3.65000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 5.875000% 01/30/2060
25714PEE4
3241000.00000000
PA
USD
2714337.50000000
0.202267584201
Long
DBT
NUSS
DO
Y
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
The Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXPORT-IMPORT BANK OF KOREA MTN 8.400000% 11/30/2021
N/A
22400000000.00000000
PA
1388635.19000000
0.103478615028
Long
DBT
NUSS
KR
N
2
2021-11-30
Fixed
8.40000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-19
N/A
1.00000000
NC
-9761.93000000
-0.00072744159
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1219871.00000000
USD
21750300.00000000
ZAR
2020-05-19
-9761.93000000
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
2284763.00000000
0.170256459443
Long
DBT
NUSS
XX
N
2
2023-03-13
Fixed
4.75000000
N
N
N
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
740649.69000000
0.055191892510
Long
DBT
CORP
XX
Y
2
2024-09-10
Fixed
7.62500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 5.670000% 03/13/2028
N/A
3000000.00000000
PA
120315.06000000
0.008965663455
Long
DBT
NUSS
TH
N
2
2028-03-13
Fixed
5.67000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-05-04
N/A
1.00000000
NC
USD
143343.33000000
0.010681689020
N/A
DFE
US
N
2
JP MORGAN
N/A
45862524333.00000000
IDR
2953156.75000000
USD
2020-05-04
143343.33000000
N
N
N
BRK:GOLDMAN
N/A
BRK:GOLDMAN REC:0.63 FIXED
N/A
3196430.00000000
NC
-4962.22000000
-0.00036977577
N/A
DIR
XX
N
2
BRK:GOLDMAN
N/A
Y
2024-03-26
0.00000000
PLN
0.00000000
PLN
-3196430.00000000
PLN
-4962.22000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 05/31/2029
N/A
53545000.00000000
PA
2463399.82000000
0.183568156323
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 08/01/2029
68205LAB9
1091000.00000000
PA
USD
781886.97000000
0.058264820988
Long
DBT
NUSS
OM
Y
2
2029-08-01
Fixed
6.00000000
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
2139.83000000
0.000159456311
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
2139.83000000
N
N
N
ENN Clean Energy International Investment Limited
3003009YZ3S5V395NR77
ENN CLEAN ENERGY INTERNATIONAL INVESTMENT LTD 7.500000% 02/27/2021
N/A
475000.00000000
PA
USD
439428.65000000
0.032745438422
Long
DBT
NUSS
VG
N
2
2021-02-27
Fixed
7.50000000
N
N
N
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
567321.32000000
0.042275771845
Long
DBT
NUSS
XX
N
2
2020-12-02
Fixed
9.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH HUF - BUBOR
N/A
75000000.00000000
NC
-844.78000000
-0.00006295149
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-09-12
0.00000000
HUF
0.00000000
HUF
-75000000.00000000
HUF
-844.78000000
N
N
N
DP World PLC
549300M3U2DNF4QVSS04
DP WORLD PLC MTN 5.625000% 09/25/2048
23330JAB7
1556000.00000000
PA
USD
1299372.03000000
0.096826883719
Long
DBT
NUSS
AE
Y
2
2048-09-25
Fixed
5.62500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 12/17/2028
N/A
243342000.00000000
PA
8261471.54000000
0.615630108763
Long
DBT
NUSS
TH
N
2
2028-12-17
Fixed
2.87500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.950000% 03/26/2051
37443GAC5
2294000.00000000
PA
USD
1606791.01000000
0.119735197229
Long
DBT
NUSS
GH
Y
2
2051-03-26
Fixed
8.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2020-06-17
N/A
1.00000000
NC
USD
114311.63000000
0.008518298570
N/A
DFE
US
N
2
JP MORGAN
N/A
5700000.00000000
PLN
1487291.49000000
USD
2020-06-17
114311.63000000
N
N
N
Wanda Properties International Co. Limited
N/A
WANDA PROPERTIES INTERNATIONAL CO LTD 7.250000% 01/29/2024
N/A
400000.00000000
PA
USD
289600.00000000
0.021580474935
Long
DBT
NUSS
VG
N
2
2024-01-29
Fixed
7.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
2368423.00000000
NC
40621.36000000
0.003027031220
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-2368423.00000000
BRL
40621.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-05-06
N/A
1.00000000
NC
USD
402339.74000000
0.029981639069
N/A
DFE
US
N
2
JP MORGAN
N/A
42377920.00000000
ZAR
2763778.35000000
USD
2020-05-06
402339.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-05-14
N/A
1.00000000
NC
USD
47171.05000000
0.003515102424
N/A
DFE
US
N
2
JP MORGAN
N/A
42862132.00000000
RUB
592673.29000000
USD
2020-05-14
47171.05000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-04-21
N/A
1.00000000
NC
-85338.36000000
-0.00635926222
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
4851924.47000000
USD
4059847800.00000000
CLP
2020-04-21
-85338.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-3601.64000000
-0.00026838778
N/A
DFE
US
N
2
JP MORGAN
N/A
5056149.28000000
PEN
1464107.63000000
USD
2020-06-17
-3601.64000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVT INTL BOND 1.875000% 12/03/2022
N/A
752000.00000000
PA
USD
765395.77000000
0.057035926208
Long
DBT
NUSS
CN
N
2
2022-12-03
Fixed
1.87500000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 10.750000% 03/28/2022
N/A
3286000.00000000
PA
USD
1014585.36000000
0.075605089541
Long
DBT
NUSS
EC
N
2
2022-03-28
Fixed
10.75000000
N
N
N
N
N
N
N/A
N/A
MOZAMBIQUE INTERNATIONAL BOND 144A 5.000000% 09/15/2031
N/A
3120000.00000000
PA
USD
2340624.00000000
0.174419121426
Long
DBT
NUSS
XX
N
2
2031-09-15
Fixed
5.00000000
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
739144.39000000
0.055079720241
Long
DBT
NUSS
QA
Y
2
2042-01-20
Fixed
5.75000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.50000% 10/18/2034
P6S32JS68
6609500000.00000000
PA
1605555.04000000
0.119643094951
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
KOSMOS ENERGY LTD.
213800YDFJ3OT9B5P157
KOSMOS ENERGY LTD 144A 7.125000% 04/04/2026
500688AC0
190000.00000000
PA
USD
102600.00000000
0.007645568813
Long
DBT
CORP
US
Y
2
2026-04-04
Fixed
7.12500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.125000% 08/01/2023
N/A
520000.00000000
PA
USD
493722.32000000
0.036791305772
Long
DBT
NUSS
BH
N
2
2023-08-01
Fixed
6.12500000
N
N
N
N
N
N
EXPORT-IMPORT BANK OF INDIA
335800OFZ8YEIVN1QI11
EXPORT-IMPORT BANK OF INDIA MTN 3.250000% 01/15/2030
30216JAE5
1060000.00000000
PA
USD
931221.44000000
0.069392959064
Long
DBT
NUSS
IN
Y
2
2030-01-15
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
803000.00000000
PA
USD
866830.47000000
0.064594658946
Long
DBT
NUSS
SA
N
2
2049-04-17
Fixed
5.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY COP - COLUMBIA IBR OVERNIGHT INTERBANK
N/A
26994328922.00000000
NC
87502.91000000
0.006520560621
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-18
0.00000000
COP
0.00000000
COP
-26994328922.00000000
COP
87502.91000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.200000% 05/15/2049
195325DQ5
1924000.00000000
PA
USD
2016986.92000000
0.150302264060
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/COP SETTLE 2020-06-17
N/A
1.00000000
NC
USD
144632.79000000
0.010777777277
N/A
DFE
US
N
2
JP MORGAN
N/A
20654645360.97000000
COP
5210556.35000000
USD
2020-06-17
144632.79000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.700000% 03/16/2039
N/A
21712000.00000000
PA
302897.46000000
0.022571377912
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
1612.99000000
0.000120197134
N/A
DFE
CO
N
2
J P MORGAN CHASE BANK
N/A
368897.92000000
USD
1510636964.00000000
COP
2020-06-17
1612.99000000
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
990734.44000000
0.073827761567
Long
DBT
NUSS
CL
Y
2
2027-10-12
Fixed
3.50000000
N
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
3268000.00000000
PA
USD
3254928.00000000
0.242551423067
Long
DBT
NUSS
AE
Y
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.500000% 01/23/2029
71654QCM2
785000.00000000
PA
USD
567162.50000000
0.042263936862
Long
DBT
NUSS
MX
Y
2
2029-01-23
Fixed
6.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH PLN - WIBOR
N/A
6841849.00000000
NC
37112.06000000
0.002765524449
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-16
0.00000000
PLN
0.00000000
PLN
-6841849.00000000
PLN
37112.06000000
N
N
N
NETWORK I2I LIMITED
2549003L8M1FGHLHOX45
NETWORK I2I LTD 144A 5.650000% MATURITY: PERPETUAL
64132NAA4
324000.00000000
PA
USD
260820.00000000
0.019435840720
Long
DBT
NUSS
MU
Y
2
2168-04-15
Fixed
5.65000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
8732623.00000000
NC
58688.41000000
0.004373355528
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-8732623.00000000
BRL
58688.41000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.100000% 10/16/2024
N/A
170937000.00000000
PA
2236994.79000000
0.166696857721
Long
DBT
NUSS
RU
N
2
2024-10-16
Fixed
7.10000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
Ecuador Government International Bond 10.750000% 01/31/2029
27927WAL6
2792000.00000000
PA
USD
788740.00000000
0.058775496548
Long
DBT
NUSS
XX
Y
2
2029-01-31
Fixed
10.75000000
N
N
N
N
N
N
Republic of Georgia
254900MHQHBC58M2GR84
GEORGIA GOVERNMENT INTERNATIONAL BOND 144A 6.875000% 04/12/2021
37311PAA8
66000.00000000
PA
USD
66055.97000000
0.004922372945
Long
DBT
NUSS
GE
Y
2
2021-04-12
Fixed
6.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-06-25
N/A
1.00000000
NC
461.60000000
0.000034397607
N/A
DFE
XX
N
2
JP MORGAN
N/A
56101.35000000
USD
51397.50000000
EUR
2020-06-25
461.60000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
15929.84000000
0.001187063234
N/A
DFE
US
N
2
JP MORGAN
N/A
999322.00000000
EUR
1112471.63000000
USD
2020-04-03
15929.84000000
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
455192.00000000
0.033920095120
Long
DBT
NUSS
TR
Y
2
2026-03-14
Fixed
6.95000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.840000% 01/23/2030
71654QCT7
2571000.00000000
PA
USD
1860169.92000000
0.138616541208
Long
DBT
NUSS
MX
Y
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.375000% 03/21/2023
195325BP9
2871000000.00000000
PA
676671.77000000
0.050424372140
Long
DBT
NUSS
CO
N
2
2023-03-21
Fixed
4.37500000
N
N
N
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
158550.00000000
0.011814862917
Long
DBT
NUSS
IE
Y
2
2025-11-22
Fixed
6.80000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 04/25/2028
N/A
21486000.00000000
PA
5550814.55000000
0.413636789596
Long
DBT
NUSS
PL
N
2
2028-04-25
Fixed
2.75000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: China 7-Day Reverse Repo Rate
N/A
20500000.00000000
NC
66035.26000000
0.004920829672
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-07-05
0.00000000
CNY
0.00000000
CNY
-20500000.00000000
CNY
66035.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-05-13
N/A
1.00000000
NC
USD
176289.74000000
0.013136796669
N/A
DFE
US
N
2
JP MORGAN
N/A
12211980.00000000
TRY
2008978.89000000
USD
2020-05-13
176289.74000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.750000% 03/11/2061
N/A
233000.00000000
PA
USD
161563.13000000
0.012039395985
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-05-21
N/A
1.00000000
NC
USD
-5531.50000000
-0.00041219750
N/A
DFE
US
N
2
JP MORGAN
N/A
5183814.47000000
EGP
318905.84000000
USD
2020-05-21
-5531.50000000
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 3.717000% 01/25/2027
G10367AD5
1521000.00000000
PA
USD
1448752.50000000
0.107958449633
Long
DBT
NUSS
BM
N
2
2027-01-25
Fixed
3.71700000
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
3030449.82000000
0.225823709887
Long
DBT
NUSS
LK
Y
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
URUGUAY PESO
N/A
FX Forward Contract: UYU/USD SETTLE 2020-12-07
N/A
1.00000000
NC
-38695.09000000
-0.00288348901
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
337668.90000000
USD
13787021.00000000
UYU
2020-12-07
-38695.09000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 5.103000% 04/23/2048
74727PAY7
694000.00000000
PA
USD
841502.76000000
0.062707283218
Long
DBT
NUSS
QA
Y
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-07-02
N/A
1.00000000
NC
-116020.81000000
-0.00864566361
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
7415843.53000000
USD
38067008.00000000
BRL
2020-07-02
-116020.81000000
N
N
N
CEMEX S.A.B. de C.V.
549300RIG2CXWN6IV731
CEMEX SAB DE CV 144A 5.450000% 11/19/2029
151290BV4
750000.00000000
PA
USD
612000.00000000
0.045605147308
Long
DBT
NUSS
MX
Y
2
2029-11-19
Fixed
5.45000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 4.375000% 03/21/2029
N/A
8600000.00000000
PA
USD
9184937.60000000
0.684445150757
Long
DBT
NUSS
RU
N
2
2029-03-21
Fixed
4.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.369000% 10/31/2028
N/A
1200000.00000000
PA
294044.63000000
0.021911680827
Long
DBT
NUSS
MY
N
2
2028-10-31
Fixed
4.36900000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.000000% 01/31/2030
N/A
7409000.00000000
PA
340083.89000000
0.025342444281
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.00000000
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
282128.88000000
0.021023740412
Long
DBT
NUSS
DO
N
2
2027-02-05
Fixed
11.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
14708814.00000000
NC
99173.80000000
0.007390254506
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-14708814.00000000
BRL
99173.80000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.650000% 09/27/2047
836205AX2
386000.00000000
PA
USD
284675.00000000
0.021213472728
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.875000% 09/16/2025
836205AR5
1460000.00000000
PA
USD
1400505.00000000
0.104363132076
Long
DBT
NUSS
ZA
N
2
2025-09-16
Fixed
5.87500000
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-04-06
N/A
1.00000000
NC
-13273.92000000
-0.00098914881
N/A
DFE
XX
N
2
JP MORGAN
N/A
1599811.69000000
EUR
7675079.00000000
RON
2020-04-06
-13273.92000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 9.500000% 03/27/2030
N/A
3384000.00000000
PA
USD
998280.00000000
0.074390043226
Long
DBT
NUSS
EC
N
2
2030-03-27
Fixed
9.50000000
N
N
N
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP PAY: 5.08125%
N/A
541829328.00000000
NC
21104.38000000
0.001572660716
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2025-02-25
0.00000000
INR
0.00000000
INR
-541829328.00000000
INR
21104.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-05-06
N/A
1.00000000
NC
USD
326268.89000000
0.024312975147
N/A
DFE
US
N
2
JP MORGAN
N/A
43602409.00000000
ZAR
2755940.10000000
USD
2020-05-06
326268.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
10135.81000000
0.000755302464
N/A
DFE
US
N
2
JP MORGAN
N/A
454210.00000000
EUR
508533.97000000
USD
2020-04-03
10135.81000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
21783000.00000000
PA
5244257.25000000
0.390792686940
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3-MONTH ZAR - JIBAR
N/A
10000000.00000000
NC
-45189.33000000
-0.00336742818
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-07-18
0.00000000
ZAR
0.00000000
ZAR
-10000000.00000000
ZAR
-45189.33000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.750000% 07/25/2021
N/A
5000000.00000000
PA
1219157.67000000
0.090849452830
Long
DBT
NUSS
PL
N
2
2021-07-25
Fixed
1.75000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.875000% 01/30/2060
P3579ECG0
1742000.00000000
PA
USD
1458925.00000000
0.108716486170
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 4.375000% 01/27/2030
N/A
1094000.00000000
PA
960312.50000000
0.071560772915
Long
DBT
NUSS
UA
Y
2
2030-01-27
Fixed
4.37500000
N
N
N
N
N
N
MHP Lux S.A.
222100RHC7R1WZ1J3M44
MHP LUX SA 144A 6.250000% 09/19/2029
59318YAB4
1049000.00000000
PA
USD
818429.80000000
0.060987927435
Long
DBT
NUSS
LU
Y
2
2029-09-19
Fixed
6.25000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERUVIAN GOVERNMENT INTERNATIONAL BOND 144A 6.350000% 08/12/2028
715638BV3
1465000.00000000
PA
471061.92000000
0.035102693223
Long
DBT
NUSS
PE
Y
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.250000% 03/13/2030
900123CY4
4535000.00000000
PA
USD
3667681.25000000
0.273309058309
Long
DBT
NUSS
TR
N
2
2030-03-13
Fixed
5.25000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 4.875000% 02/01/2025
68205LAA1
1274000.00000000
PA
USD
990458.56000000
0.073807203482
Long
DBT
NUSS
OM
Y
2
2025-02-01
Fixed
4.87500000
N
N
N
N
N
N
GeoPark Limited
529900ZR5QI19AH4KZ07
GEOPARK LTD 144A 6.500000% 09/21/2024
37255BAA7
492000.00000000
PA
USD
279210.00000000
0.020806230686
Long
DBT
NUSS
BM
Y
2
2024-09-21
Fixed
6.50000000
N
N
N
N
N
N
Financiera de Desarrollo Territorial S.A.
54930036EU95I2CWYJ76
FINDETER 7.875000% 08/12/2024
P40420AA2
884000000.00000000
PA
224260.49000000
0.016711491310
Long
DBT
NUSS
CO
N
2
2024-08-12
Fixed
7.87500000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 5.375000% 03/25/2024
445545AL0
1000.00000000
PA
USD
1100.00000000
0.000081970036
Long
DBT
NUSS
HU
N
2
2024-03-25
Fixed
5.37500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.250000% 04/16/2030
91087BAH3
2640000.00000000
PA
USD
2481600.00000000
0.184924401241
Long
DBT
NUSS
MX
N
2
2030-04-16
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2020-06-17
N/A
1.00000000
NC
USD
27920.15000000
0.002080559728
N/A
DFE
US
N
2
JP MORGAN
N/A
101270990.00000000
HUF
336956.37000000
USD
2020-06-17
27920.15000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
60739426.00000000
NC
54782.94000000
0.004082326876
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-08-26
0.00000000
MXN
0.00000000
MXN
-60739426.00000000
MXN
54782.94000000
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
KENYA GOVERNMENT INTERNATIONAL BOND 144A 8.000000% 05/22/2032
491798AK0
728000.00000000
PA
USD
667557.07000000
0.049745160970
Long
DBT
NUSS
KE
Y
2
2032-05-22
Fixed
8.00000000
N
N
N
N
N
N
Joint Stock Company KazTransGas
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 144A 4.375000% 09/26/2027
48668NAA9
932000.00000000
PA
USD
835500.72000000
0.062260021914
Long
DBT
NUSS
KZ
Y
2
2027-09-26
Fixed
4.37500000
N
N
N
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
313906.01000000
0.023391715403
Long
DBT
NUSS
MX
Y
2
2049-09-12
Fixed
5.65000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 6.500000% 11/28/2027
N/A
230000.00000000
PA
USD
158608.00000000
0.011819184974
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/11/2025
N/A
457000.00000000
PA
436255.31000000
0.032508966791
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/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
15685.95000000
0.001168888987
N/A
DFE
US
N
2
JP MORGAN
N/A
999439.00000000
EUR
1112356.12000000
USD
2020-04-03
15685.95000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2020-04-03
N/A
1.00000000
NC
39918.35000000
0.002974644170
N/A
DFE
KR
N
2
JP MORGAN
N/A
2764857.90000000
USD
3414433612.00000000
KRW
2020-04-03
39918.35000000
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
KENYA GOVERNMENT INTERNATIONAL BOND 144A 6.875000% 06/24/2024
491798AE4
289000.00000000
PA
USD
274304.93000000
0.020440713627
Long
DBT
NUSS
KE
Y
2
2024-06-24
Fixed
6.87500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 06/15/2035
N/A
30000000000.00000000
PA
1722250.15000000
0.128339006196
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.750000% 07/23/2029
N/A
103930000.00000000
PA
4536226.75000000
0.338031518229
Long
DBT
NUSS
CZ
N
2
2029-07-23
Fixed
2.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.125000% 02/17/2028
900123CP3
242000.00000000
PA
USD
202660.48000000
0.015101897130
Long
DBT
NUSS
TR
N
2
2028-02-17
Fixed
5.12500000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-06-02
N/A
1.00000000
NC
-252330.31000000
-0.01880320417
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1803382.63000000
USD
8075367.10000000
BRL
2020-06-02
-252330.31000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
STANDARD CHARTERED BANK MTN 8.250000% 05/17/2029
AV6441332
40930000000.00000000
PA
2545825.05000000
0.189710337297
Long
DBT
NUSS
GB
Y
2
2029-05-17
Fixed
8.25000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-05-14
N/A
1.00000000
NC
-172380.54000000
-0.01284549006
N/A
DFE
RU
N
2
J P MORGAN CHASE BANK
N/A
829835.44000000
USD
51658667.00000000
RUB
2020-05-14
-172380.54000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.375000% 10/27/2027
760942BB7
3536000.00000000
PA
USD
3814495.36000000
0.284249383658
Long
DBT
NUSS
UY
N
2
2027-10-27
Fixed
4.37500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-11979.32000000
-0.00089267753
N/A
DFE
XX
N
2
JP MORGAN
N/A
977549.08000000
USD
879962.00000000
EUR
2020-04-03
-11979.32000000
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
588595.76000000
0.043861105130
Long
DBT
NUSS
MX
Y
2
2024-11-14
Fixed
6.37500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.875000% 03/26/2027
N/A
899000.00000000
PA
USD
663327.15000000
0.049429954884
Long
DBT
NUSS
GH
N
2
2027-03-26
Fixed
7.87500000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 5.000000% 01/15/2027
QZ7930907
553000.00000000
PA
148952.06000000
0.011099641565
Long
DBT
NUSS
AR
N
2
2027-01-15
Fixed
5.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-53137.75000000
-0.00395973025
N/A
DFE
XX
N
2
JP MORGAN
N/A
1404976.24000000
USD
1231984.00000000
EUR
2020-04-03
-53137.75000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-11136.41000000
-0.00082986538
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
702123.07000000
USD
587571691.00000000
CLP
2020-06-17
-11136.41000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU GOVERNMENT BOND 144A 6.150000% 08/12/2032
N/A
21790000.00000000
PA
6761074.30000000
0.503823185314
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.950000% 01/25/2027
P3579EBV8
638000.00000000
PA
USD
602858.96000000
0.044923973328
Long
DBT
NUSS
DO
N
2
2027-01-25
Fixed
5.95000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 5.625000% 01/17/2028
682051AH0
1893000.00000000
PA
USD
1353722.16000000
0.100876958367
Long
DBT
NUSS
OM
Y
2
2028-01-17
Fixed
5.62500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.817000% 03/14/2049
N/A
5681000.00000000
PA
USD
6691172.70000000
0.498614242888
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS REC:6.77 FIXED
N/A
6361099.00000000
NC
43042.21000000
0.003207428639
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-6361099.00000000
BRL
43042.21000000
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BNQ CEN TUNISIA INT BOND 5.625000% 02/17/2024
N/A
1650000.00000000
PA
1489661.94000000
0.111006948060
Long
DBT
NUSS
TN
N
2
2024-02-17
Fixed
5.62500000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-9247.50000000
-0.00068910718
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
884806.65000000
USD
744520555.00000000
CLP
2020-06-17
-9247.50000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.750000% 09/20/2029
N/A
200000.00000000
PA
USD
179008.00000000
0.013339356551
Long
DBT
NUSS
BH
N
2
2029-09-20
Fixed
6.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 04/15/2039
N/A
108881000000.00000000
PA
6663835.30000000
0.496577108649
Long
DBT
NUSS
ID
N
2
2039-04-15
Fixed
8.37500000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-17.00000000
NC
-3915314.31000000
-0.29176223180
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2020
2020-06-11
-4122043.84000000
EUR
206729.53000000
N
N
N
DP World PLC
549300M3U2DNF4QVSS04
DP WORLD PLC MTN 6.850000% 07/02/2037
23330JAA9
432000.00000000
PA
USD
406944.00000000
0.030324740304
Long
DBT
NUSS
AE
Y
2
2037-07-02
Fixed
6.85000000
N
N
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO PAY: 1-DAY-CLP - SINACOFI CHILE INTERBANK RATE AVG
N/A
588237356.00000000
NC
-9193.53000000
-0.00068508544
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO
N/A
Y
2030-03-19
0.00000000
CLP
0.00000000
CLP
-588237356.00000000
CLP
-9193.53000000
N
N
N
NBK Tier 1 Financing (2) Limited
N/A
NBK TIER 1 FINANCING 2 LTD 144A 4.500000% MATURITY: PERPETUAL
62878WAA6
513000.00000000
PA
USD
482220.00000000
0.035934173423
Long
DBT
NUSS
AE
Y
2
2168-05-27
Fixed
4.50000000
N
N
N
N
N
N
GTLK EUROPE CAPITAL DESIGNATED ACTIVITY COMPANY
635400I6H6CSZ39WIN49
GTLK EUROPE CAPITAL DAC 4.650000% 03/10/2027
N/A
596000.00000000
PA
USD
515540.00000000
0.038417120332
Long
DBT
NUSS
IE
N
2
2027-03-10
Fixed
4.65000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 5.625000% 01/26/2022
040114HK9
591000.00000000
PA
USD
173163.00000000
0.012903797587
Long
DBT
NUSS
AR
N
2
2022-01-26
Fixed
5.62500000
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
430155.00000000
0.032054382582
Long
DBT
NUSS
KZ
N
2
2045-07-21
Fixed
6.50000000
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
-22187.72000000
-0.00165338927
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
-22187.72000000
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 3.650000% 07/30/2029
69370PAD3
1643000.00000000
PA
USD
1511519.37000000
0.112635724718
Long
DBT
NUSS
ID
Y
2
2029-07-30
Fixed
3.65000000
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-131042.29000000
-0.00976503748
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1499489.85000000
USD
24557895.00000000
ZAR
2020-05-06
-131042.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2020-05-20
N/A
1.00000000
NC
USD
40031.41000000
0.002983069199
N/A
DFE
US
N
2
JP MORGAN
N/A
3513000.00000000
PLN
886203.45000000
USD
2020-05-20
40031.41000000
N
N
N
Minejesa Capital B.V.
549300KS7ERCP10BKC35
MINEJESA CAPITAL BV 144A 5.625000% 08/10/2037
602736AB6
96000.00000000
PA
USD
84480.00000000
0.006295298765
Long
DBT
NUSS
NL
Y
2
2037-08-10
Fixed
5.62500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.418000% 08/15/2022
N/A
10450000.00000000
PA
2440238.43000000
0.181842210893
Long
DBT
NUSS
MY
N
2
2022-08-15
Fixed
3.41800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-04-20
N/A
1.00000000
NC
USD
80950.08000000
0.006032255429
N/A
DFE
US
N
2
JP MORGAN
N/A
3311860000.00000000
KRW
2800964.14000000
USD
2020-04-20
80950.08000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-06-02
N/A
1.00000000
NC
-161849.08000000
-0.01206070446
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1253232.30000000
USD
5682155.27000000
BRL
2020-06-02
-161849.08000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
65590900.00000000
PA
2954592.65000000
0.220170969017
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.900000% 05/23/2029
N/A
334404000.00000000
PA
4358813.06000000
0.324810966813
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-06-03
N/A
1.00000000
NC
USD
17054.78000000
0.001270891755
N/A
DFE
US
N
2
JP MORGAN
N/A
961302.00000000
EUR
1074123.00000000
USD
2020-06-03
17054.78000000
N
N
N
Ecuador Social Bond S.a r.l.
5493006P8FVL2JCVBP02
ECUADOR SOCIAL BOND SARL 144A ZERO COUPON 01/30/2035
N/A
1819000.00000000
PA
USD
454750.00000000
0.033887158069
Long
DBT
NUSS
LU
Y
2
2035-01-30
Fixed
0.00000000
N
N
N
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
1042200.00000000
0.077662883209
Long
DBT
NUSS
BH
Y
2
2024-11-07
Fixed
7.62500000
N
N
N
N
N
N
NWD (MTN) LIMITED
254900STSWBVJ5FV9O74
NWD MTN LTD 4.125000% 07/18/2029
N/A
757000.00000000
PA
USD
744420.51000000
0.055472887283
Long
DBT
NUSS
VG
N
2
2029-07-18
Fixed
4.12500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 7.750000% 01/17/2038
Y20721AL3
1797000.00000000
PA
USD
2483670.77000000
0.185078711324
Long
DBT
NUSS
ID
N
2
2038-01-17
Fixed
7.75000000
N
N
N
N
N
N
ABU DHABI CRUDE OIL PIPELINE L.L.C.
549300DONDFW2383FV66
ABU DHABI CRUDE OIL PIPELINE LLC 4.600000% 11/02/2047
AP6574192
1064000.00000000
PA
USD
1059744.00000000
0.078970230766
Long
DBT
NUSS
AE
N
2
2047-11-02
Fixed
4.60000000
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
345028.02000000
0.025710872022
Long
DBT
NUSS
CL
N
2
2027-08-01
Fixed
3.62500000
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
120000.00000000
PA
28136.94000000
0.002096714531
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-05-14
N/A
1.00000000
NC
USD
553231.08000000
0.041225792318
N/A
DFE
US
N
2
JP MORGAN
N/A
184329722.00000000
RUB
2899177.76000000
USD
2020-05-14
553231.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2020-04-23
N/A
1.00000000
NC
USD
292491.43000000
0.021795939136
N/A
DFE
US
N
2
JP MORGAN
N/A
22351062.00000000
MYR
5482770.45000000
USD
2020-04-23
292491.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2020-06-19
N/A
1.00000000
NC
USD
-1049.82000000
-0.00007823071
N/A
DFE
US
N
2
JP MORGAN
N/A
16280703.00000000
THB
495419.03000000
USD
2020-06-19
-1049.82000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 06/15/2032
N/A
12030000000.00000000
PA
722270.26000000
0.053822290201
Long
DBT
NUSS
ID
N
2
2032-06-15
Fixed
8.25000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE REC: 1.37%
N/A
460000000.00000000
NC
29519.03000000
0.002199705411
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2025-02-17
0.00000000
HUF
0.00000000
HUF
-460000000.00000000
HUF
29519.03000000
N
N
N
NEON CAPITAL LIMITED
N/A
NEON CAPITAL LTD/KY MTN VARIABLE RATE 01/06/2028
N/A
326988648.00000000
PA
1950936.85000000
0.145380330773
Long
DBT
NUSS
KY
N
2
2028-01-06
Floating
0.00000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVT INT'L 3.125000% 09/30/2049
N/A
400000.00000000
PA
USD
372000.00000000
0.027720775814
Long
DBT
NUSS
AE
N
2
2049-09-30
Fixed
3.12500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.000000% 03/14/2029
N/A
1904000.00000000
PA
USD
2035909.12000000
0.151712312620
Long
DBT
NUSS
QA
N
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-28715.27000000
-0.00213981065
N/A
DFE
XX
N
2
JP MORGAN
N/A
1194545.39000000
USD
5158047.00000000
RON
2020-06-17
-28715.27000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1378.39000000
-0.00010271516
N/A
DFE
XX
N
2
JP MORGAN
N/A
551346.79000000
USD
501208.00000000
EUR
2020-04-03
-1378.39000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 7.500000% 09/20/2047
N/A
670000.00000000
PA
USD
543839.00000000
0.040525911285
Long
DBT
NUSS
BH
N
2
2047-09-20
Fixed
7.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICAN UDIBONOS 4.00% 11/03/2050
N/A
40012911.94900000
PA
1781961.90000000
0.132788619194
Long
DBT
NUSS
XX
N
2
2050-11-03
Fixed
4.00000000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.124000% 07/16/2031
N/A
158000.00000000
PA
158629.32000000
0.011820773702
Long
DBT
NUSS
RO
N
2
2031-07-16
Fixed
2.12400000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/16/2026
N/A
1269000.00000000
PA
1192687.62000000
0.088876951965
Long
DBT
NUSS
EG
N
2
2026-04-16
Fixed
4.75000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 144A 5.750000% 01/26/2021
296464AA8
298000.00000000
PA
USD
251810.00000000
0.018764431607
Long
DBT
NUSS
ZA
Y
2
2021-01-26
Fixed
5.75000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 6.000000% 04/07/2026
105756BX7
801000.00000000
PA
USD
909135.00000000
0.067747116990
Long
DBT
NUSS
BR
N
2
2026-04-07
Fixed
6.00000000
N
N
N
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2020-06-17
N/A
1.00000000
NC
17789.44000000
0.001325637306
N/A
DFE
PE
N
2
CITIGROUP GLOBAL MARKETS
N/A
491152.77000000
USD
1753268.05000000
PEN
2020-06-17
17789.44000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.625000% 05/15/2023
N/A
3267000000.00000000
PA
194158.53000000
0.014468346996
Long
DBT
NUSS
ID
N
2
2023-05-15
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2020-05-04
N/A
1.00000000
NC
USD
158286.23000000
0.011795207248
N/A
DFE
US
N
2
JP MORGAN
N/A
14439858.00000000
MYR
3516770.09000000
USD
2020-05-04
158286.23000000
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 6.625000% 07/14/2020
N/A
258000.00000000
PA
USD
259455.12000000
0.019334132299
Long
DBT
NUSS
HR
N
2
2020-07-14
Fixed
6.62500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 6.375000% 02/11/2027
37443GAG6
2040000.00000000
PA
USD
1494300.00000000
0.111352568010
Long
DBT
NUSS
GH
Y
2
2027-02-11
Fixed
6.37500000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.850000% 01/27/2045
P3579EBE6
1151000.00000000
PA
USD
1056042.50000000
0.078694401594
Long
DBT
NUSS
DO
N
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.900000% 11/26/2022
718286BX4
45000000.00000000
PA
879493.15000000
0.065538259252
Long
DBT
NUSS
PH
N
2
2022-11-26
Fixed
3.90000000
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
1006000.00000000
PA
USD
926970.37000000
0.069076176918
Long
DBT
NUSS
CL
Y
2
2029-09-30
Fixed
3.00000000
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 4.250000% 04/16/2039
N/A
1330000.00000000
PA
USD
1316818.36000000
0.098126953081
Long
DBT
NUSS
SA
N
2
2039-04-16
Fixed
4.25000000
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
160059.69000000
0.011927362321
Long
DBT
NUSS
AR
N
2
2023-01-20
Fixed
5.37500000
N
N
N
N
N
N
CHINALCO CAPITAL HOLDINGS LIMITED
5493003PX4GYVUD3CQ19
CHINALCO CAPITAL HOLDINGS LTD 4.250000% 04/21/2022
N/A
740000.00000000
PA
USD
717928.39000000
0.053498741801
Long
DBT
NUSS
VG
N
2
2022-04-21
Fixed
4.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.94
N/A
35891742.00000000
NC
2224.94000000
0.000165798556
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-08-20
0.00000000
MXN
0.00000000
MXN
-35891742.00000000
MXN
2224.94000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 7.750000% 04/14/2021
N/A
3331000000.00000000
PA
841145.17000000
0.062680636250
Long
DBT
NUSS
CO
N
2
2021-04-14
Fixed
7.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2024
N/A
60173000000.00000000
PA
3835720.91000000
0.285831073747
Long
DBT
NUSS
ID
N
2
2024-03-15
Fixed
8.37500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.500000% 01/31/2037
N/A
112001224.00000000
PA
4739927.73000000
0.353210951562
Long
DBT
NUSS
ZA
N
2
2037-01-31
Fixed
8.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.800000% 01/30/2023
AR0026302
65021000.00000000
PA
4212446.83000000
0.313904016682
Long
DBT
NUSS
EG
N
2
2023-01-30
Fixed
14.80000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 8.875000% 10/23/2027
AP6418317
245000.00000000
PA
USD
61558.70000000
0.004587244414
Long
DBT
NUSS
EC
Y
2
2027-10-23
Fixed
8.87500000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 6.875000% 04/22/2021
040114GW4
4434000.00000000
PA
USD
1314681.00000000
0.097967680830
Long
DBT
NUSS
AR
N
2
2021-04-22
Fixed
6.87500000
N
N
N
N
N
N
AEROPUERTO INTERNACIONAL DE TOCUMEN, S.A.
254900FO1PHX49ZIGB14
AEROPUERTO INTERNACIONAL DE TOCUMEN SA 144A 6.000000% 11/18/2048
00787CAC6
672000.00000000
PA
USD
725760.00000000
0.054082339395
Long
DBT
NUSS
PA
Y
2
2048-11-18
Fixed
6.00000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 4.854000% 02/06/2024
G10367AB9
868000.00000000
PA
USD
878850.00000000
0.065490332862
Long
DBT
NUSS
BM
N
2
2024-02-06
Fixed
4.85400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-05-06
N/A
1.00000000
NC
USD
74992.40000000
0.005588299753
N/A
DFE
US
N
2
JP MORGAN
N/A
6453212.00000000
ZAR
434586.83000000
USD
2020-05-06
74992.40000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICO GOVERNMENT INTERNATIONAL BOND MTN 5.750000% 10/12/2110
91086QAZ1
3176000.00000000
PA
USD
3291161.76000000
0.245251498169
Long
DBT
NUSS
MX
N
2
2110-10-12
Fixed
5.75000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 7.000000% 02/28/2031
N/A
51041000.00000000
PA
2101654.61000000
0.156611549150
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
7.00000000
N
N
N
N
N
N
Charming Light Investments Ltd
254900BMY30PLHVJID29
CHARMING LIGHT INVESTMENTS LTD MTN 4.375000% 12/21/2027
N/A
1341000.00000000
PA
USD
1457920.25000000
0.108641613994
Long
DBT
NUSS
VG
N
2
2027-12-21
Fixed
4.37500000
N
N
N
N
N
N
Republic of Zambia
2549001MFDXXJB4IQU56
REPUBLIC OF ZAMBIA 5.375000% 09/20/2022
N/A
1695000.00000000
PA
USD
703425.00000000
0.052417975073
Long
DBT
NUSS
ZM
N
2
2022-09-20
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-06
N/A
1.00000000
NC
USD
63182.13000000
0.004708219519
N/A
DFE
US
N
2
JP MORGAN
N/A
7515804.73000000
MXN
381995.76000000
USD
2020-05-06
63182.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-6685.91000000
-0.00049822207
N/A
DFE
US
N
2
JP MORGAN
N/A
34793023.04000000
INR
446754.58000000
USD
2020-06-17
-6685.91000000
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN BOND MTN 4.750000% 02/20/2024
N/A
632000.00000000
PA
USD
618065.66000000
0.046057149461
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/TWD SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-258716.87000000
-0.01927911922
N/A
DFE
US
N
2
JP MORGAN
N/A
295543019.00000000
TWD
9639367.87000000
USD
2020-06-17
-258716.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2020-05-05
N/A
1.00000000
NC
USD
16016.61000000
0.001193529180
N/A
DFE
US
N
2
JP MORGAN
N/A
11343363.00000000
THB
361829.76000000
USD
2020-05-05
16016.61000000
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
603375.20000000
0.044962442611
Long
DBT
NUSS
MX
N
2
2026-04-16
Fixed
7.75000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 6.750000% 09/21/2047
71656MBM0
553000.00000000
PA
USD
360224.20000000
0.026843264223
Long
DBT
NUSS
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 7.550000% 03/28/2030
Y8137FAR9
839000.00000000
PA
USD
461479.48000000
0.034388626903
Long
DBT
NUSS
LK
N
2
2030-03-28
Fixed
7.55000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-04-14
N/A
1.00000000
NC
USD
-4834.52000000
-0.00036025979
N/A
DFE
US
N
2
JP MORGAN
N/A
3872000.00000000
PEN
1121084.02000000
USD
2020-04-14
-4834.52000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 5.103000% 04/23/2048
N/A
782000.00000000
PA
USD
948206.28000000
0.070658639016
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 9.750000% 05/17/2035
P7807HAQ8
1000000.00000000
PA
USD
60000.00000000
0.004471092873
Long
DBT
NUSS
XX
N
2
2035-05-17
Fixed
9.75000000
Y
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-04-02
N/A
1.00000000
NC
-614000.06000000
-0.04575418820
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2858426.27000000
USD
11640941.00000000
BRL
2020-04-02
-614000.06000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 144A 7.125000% 02/11/2025
29646AAB2
2085000.00000000
PA
USD
1499748.84000000
0.111758605838
Long
DBT
NUSS
ZA
Y
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: KZT/USD SETTLE 2020-06-05
N/A
1.00000000
NC
-81357.01000000
-0.00606257912
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
679230.77000000
USD
274646963.00000000
KZT
2020-06-05
-81357.01000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 07/01/2021
N/A
5000000.00000000
PA
921399.46000000
0.068661042651
Long
DBT
NUSS
BR
N
2
2021-07-01
None
0.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.625000% 04/16/2030
N/A
3322000.00000000
PA
2771158.26000000
0.206501765786
Long
DBT
NUSS
EG
N
2
2030-04-16
Fixed
5.62500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.750000% 01/31/2044
N/A
76319377.00000000
PA
3229883.68000000
0.240685165056
Long
DBT
NUSS
ZA
N
2
2044-01-31
Fixed
8.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-04-14
N/A
1.00000000
NC
USD
308382.64000000
0.022980123732
N/A
DFE
US
N
2
JP MORGAN
N/A
34588378500.00000000
IDR
2428788.60000000
USD
2020-04-14
308382.64000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.875000% 10/17/2031
N/A
1379000.00000000
PA
1289923.41000000
0.096122789426
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
1050000.00000000
PA
246545.83000000
0.018372155057
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-21341.16000000
-0.00159030513
N/A
DFE
US
N
2
JP MORGAN
N/A
70155530.38000000
INR
892961.63000000
USD
2020-06-17
-21341.16000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
27057471.00000000
NC
154721.39000000
0.011529561736
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-27057471.00000000
BRL
154721.39000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.250000% 04/25/2022
N/A
13055000.00000000
PA
3227996.87000000
0.240544563343
Long
DBT
NUSS
PL
N
2
2022-04-25
Fixed
2.25000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.500000% 02/15/2048
P3579EBY2
3120000.00000000
PA
USD
2745600.00000000
0.204597209884
Long
DBT
NUSS
DO
N
2
2048-02-15
Fixed
6.50000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA REPUBLIC 7.25% 9/28/2021
N/A
697000.00000000
PA
USD
728398.46000000
0.054278952724
Long
DBT
NUSS
XX
N
2
2021-09-28
Fixed
7.25000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 4.000000% 01/15/2021
718286BK2
232000.00000000
PA
USD
233844.40000000
0.017425667171
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/THB SETTLE 2020-06-17
N/A
1.00000000
NC
USD
5926.55000000
0.000441635924
N/A
DFE
US
N
2
JP MORGAN
N/A
61385330.00000000
THB
1877801.47000000
USD
2020-06-17
5926.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-04-03
N/A
1.00000000
NC
USD
9010.70000000
0.000671461275
N/A
DFE
US
N
2
JP MORGAN
N/A
1713416408.00000000
KRW
1416491.47000000
USD
2020-04-03
9010.70000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.125000% 05/15/2028
N/A
9066000000.00000000
PA
488493.19000000
0.036401640341
Long
DBT
NUSS
ID
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 4.500000% 01/23/2026
71654QBW1
2720000.00000000
PA
USD
1981384.00000000
0.147649198029
Long
DBT
NUSS
MX
N
2
2026-01-23
Fixed
4.50000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 9.650000% 12/13/2026
N/A
200000.00000000
PA
USD
52000.00000000
0.003874947156
Long
DBT
NUSS
EC
N
2
2026-12-13
Fixed
9.65000000
N
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 6.250000% 07/30/2024
N/A
877000.00000000
PA
USD
819995.00000000
0.061104563344
Long
DBT
NUSS
SN
N
2
2024-07-30
Fixed
6.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2020-04-03
N/A
1.00000000
NC
USD
52797.57000000
0.003934380649
N/A
DFE
US
N
2
JP MORGAN
N/A
45337388.00000000
THB
1434318.96000000
USD
2020-04-03
52797.57000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.600000% 11/27/2026
N/A
588000.00000000
PA
USD
105840.00000000
0.007887007828
Long
DBT
NUSS
LB
N
2
2026-11-27
Fixed
6.60000000
Y
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 7.950000% 06/20/2024
N/A
1283000.00000000
PA
USD
359240.00000000
0.026769923397
Long
DBT
NUSS
EC
N
2
2024-06-20
Fixed
7.95000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.940000% 10/17/2024
N/A
10330000.00000000
PA
1497969.64000000
0.111626023031
Long
DBT
NUSS
CN
N
2
2024-10-17
Fixed
2.94000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2020-06-17
N/A
1.00000000
NC
USD
77922.86000000
0.005806672400
N/A
DFE
US
N
2
JP MORGAN
N/A
3200000.00000000
PLN
848718.57000000
USD
2020-06-17
77922.86000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.875000% 09/16/2043
N/A
2200000.00000000
PA
USD
2728000.00000000
0.203285689308
Long
DBT
NUSS
RU
N
2
2043-09-16
Fixed
5.87500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2020
N/A
656000.00000000
PA
USD
641410.56000000
0.047796769728
Long
DBT
NUSS
UA
N
2
2020-09-01
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-20
N/A
1.00000000
NC
USD
675282.39000000
0.050320838023
N/A
DFE
US
N
2
JP MORGAN
N/A
63787800.00000000
MXN
3375640.99000000
USD
2020-05-20
675282.39000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.100000% 10/04/2022
N/A
1573000.00000000
PA
USD
283140.00000000
0.021099087269
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
Y
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2031
N/A
6000000.00000000
PA
1346217.20000000
0.100317702148
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
10.00000000
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
1797320.00000000
0.133933077385
Long
DBT
NUSS
KZ
Y
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 2.875000% 04/16/2024
N/A
660000.00000000
PA
USD
641042.91000000
0.047769373106
Long
DBT
NUSS
SA
N
2
2024-04-16
Fixed
2.87500000
N
N
N
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
484229.73000000
0.036083934914
Long
DBT
NUSS
CL
N
2
2043-10-18
Fixed
5.62500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.400000% 12/17/2023
N/A
88000000.00000000
PA
2817356.84000000
0.209944401483
Long
DBT
NUSS
TH
N
2
2023-12-17
Fixed
2.40000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH HUF - BUBOR
N/A
1537321547.00000000
NC
-62425.03000000
-0.00465180177
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-10
0.00000000
HUF
0.00000000
HUF
-1537321547.00000000
HUF
-62425.03000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A VARIABLE RATE 05/31/2040
903724AW2
2206000.00000000
PA
USD
1605085.60000000
0.119608113121
Long
DBT
NUSS
UA
Y
2
2040-05-31
Floating
0.00005040
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA GOVERNMENT BOND 4.250000% 06/28/2023
N/A
2730000.00000000
PA
624265.68000000
0.046519163882
Long
DBT
NUSS
RO
N
2
2023-06-28
Fixed
4.25000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-04-15
N/A
1.00000000
NC
-1863956.23000000
-0.13889869026
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
10516875.12000000
USD
44919677.00000000
BRL
2020-04-15
-1863956.23000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 9.500000% 01/12/2022
N/A
8242526.00000000
PA
1203813.40000000
0.089706025226
Long
DBT
NUSS
TR
N
2
2022-01-12
Fixed
9.50000000
N
N
N
N
N
N
State of Kuwait
549300FSC1YD0D9XX589
KUWAIT INTL BOND 3.500000% 03/20/2027
N/A
218000.00000000
PA
USD
226224.70000000
0.016857860732
Long
DBT
NUSS
KW
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 0.900000% 02/14/2027
N/A
428000.00000000
PA
410919.82000000
0.030621011311
Long
DBT
NUSS
ID
N
2
2027-02-14
Fixed
0.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-05-06
N/A
1.00000000
NC
USD
489842.40000000
0.036502181061
N/A
DFE
US
N
2
JP MORGAN
N/A
62648161.55000000
ZAR
3980806.27000000
USD
2020-05-06
489842.40000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.875000% 10/17/2040
N/A
2322000.00000000
PA
2172010.27000000
0.161854327317
Long
DBT
NUSS
CI
N
2
2040-10-17
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-04-23
N/A
1.00000000
NC
USD
-6319.54000000
-0.00047092083
N/A
DFE
US
N
2
JP MORGAN
N/A
5140227.70000000
EGP
318280.35000000
USD
2020-04-23
-6319.54000000
N
N
N
Azarbayjan Respublikasi
549300P74FF45UQVU281
REPUBLIC OF AZERBAIJAN 4.750000% 03/18/2024
N/A
400000.00000000
PA
USD
389236.80000000
0.029005231375
Long
DBT
NUSS
AZ
Y
2
2024-03-18
Fixed
4.75000000
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
687990.00000000
PA
USD
622630.95000000
0.046397346721
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/THB SETTLE 2020-04-17
N/A
1.00000000
NC
USD
63820.35000000
0.004755778534
N/A
DFE
US
N
2
JP MORGAN
N/A
51163750.00000000
THB
1623215.42000000
USD
2020-04-17
63820.35000000
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
739538.47000000
0.055109086379
Long
DBT
NUSS
MX
N
2
2024-12-09
Fixed
7.12500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.650000% 04/10/2030
N/A
49309000.00000000
PA
675512.87000000
0.050338012981
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA MTN 7.500000% 06/15/2035
ZR7661609
43612000000.00000000
PA
2503692.46000000
0.186570691915
Long
DBT
CORP
US
Y
2
2035-06-15
Fixed
7.50000000
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
1716575.33000000
0.127916128742
Long
DBT
NUSS
KE
N
2
2032-05-22
Fixed
8.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.350000% 08/12/2028
P78024AC3
5940000.00000000
PA
1909971.20000000
0.142327643676
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 7.125000% 02/11/2025
N/A
1430000.00000000
PA
USD
1028604.72000000
0.076649787218
Long
DBT
NUSS
ZA
N
2
2025-02-11
Fixed
7.12500000
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
419500.31000000
0.031260414106
Long
DBT
NUSS
TN
N
2
2026-07-15
Fixed
6.37500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
Turkey Government Bond 3.000000% 08/02/2023
N/A
5302000.00000000
PA
1666600.51000000
0.124192094382
Long
DBT
USGA
TR
N
2
2023-08-02
Fixed
3.00000000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 8.500000% 09/17/2024
N/A
9200000.00000000
PA
555801.57000000
0.041417340643
Long
DBT
NUSS
XX
N
2
2024-09-17
Fixed
8.50000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 7.875000% 02/16/2032
N/A
1803000.00000000
PA
USD
1262100.00000000
0.094049438590
Long
DBT
NUSS
NG
N
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2020-04-02
N/A
1.00000000
NC
1588.44000000
0.000118367712
N/A
DFE
XX
N
2
JP MORGAN
N/A
6126074.12000000
RON
1269258.08000000
EUR
2020-04-02
1588.44000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-06-17
N/A
1.00000000
NC
2322.90000000
0.000173098360
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
59270.61000000
USD
1015305605.00000000
IDR
2020-06-17
2322.90000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2020-04-21
N/A
1.00000000
NC
122203.62000000
0.009106395574
N/A
DFE
XX
N
2
JP MORGAN
N/A
63402891.00000000
CZK
2425846.37000000
EUR
2020-04-21
122203.62000000
N
N
N
CABLE ONDA , S.A.
5299008Q5GONPYNF9J32
CABLE ONDA SA 144A 4.500000% 01/30/2030
12686LAA7
208000.00000000
PA
USD
183040.00000000
0.013639813992
Long
DBT
NUSS
PA
Y
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
AEROPUERTO INTERNACIONAL DE TOCUMEN, S.A.
254900FO1PHX49ZIGB14
AEROPUERTO INTERNACIONAL DE TOCUMEN SA 5.625000% 05/18/2036
P0092AAC3
555000.00000000
PA
USD
566105.55000000
0.042185174836
Long
DBT
NUSS
PA
N
2
2036-05-18
Fixed
5.62500000
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
513169.48000000
0.038240473414
Long
DBT
NUSS
TN
N
2
2025-01-30
Fixed
5.75000000
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 4.500000% 01/11/2026
N/A
211800000.00000000
PA
2162383.24000000
0.161136938230
Long
DBT
NUSS
RS
N
2
2026-01-11
Fixed
4.50000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2020-04-21
N/A
1.00000000
NC
-33878.05000000
-0.00252453179
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
406155.85000000
EUR
10280686.00000000
CZK
2020-04-21
-33878.05000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-06
N/A
1.00000000
NC
26179.75000000
0.001950868227
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
412901.80000000
USD
10351035.23000000
MXN
2020-05-06
26179.75000000
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 7.350000% 11/25/2025
N/A
39784700.00000000
PA
1572218.30000000
0.117158900607
Long
DBT
NUSS
MX
N
2
2025-11-25
Fixed
7.35000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-263486.28000000
-0.01963452714
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
1311237.93000000
USD
24700000.00000000
MXN
2020-05-06
-263486.28000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-20
N/A
1.00000000
NC
107409.40000000
0.008003956714
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
1877996.24000000
USD
46899200.00000000
MXN
2020-05-20
107409.40000000
N
N
N
Dianjian International Finance Limited
549300UN39CUV8F5DI82
DIANJIAN INTERNATIONAL FINANCE LTD 4.600000% MATURITY: PERPETUAL
N/A
303000.00000000
PA
USD
290890.45000000
0.021676636965
Long
DBT
NUSS
VG
N
2
2168-07-19
Fixed
4.60000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.217000% 10/15/2026
ZQ1105126
22322000.00000000
PA
1431001.96000000
0.106635711084
Long
DBT
NUSS
EG
N
2
2026-10-15
Fixed
14.21700000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-17
N/A
1.00000000
NC
-276798.77000000
-0.02062655013
N/A
DFE
TR
N
2
J P MORGAN CHASE BANK
N/A
4325986.92000000
USD
26793000.00000000
TRY
2020-04-17
-276798.77000000
N
N
N
Republic of Armenia
5299000H77JSW90G7935
REPUBLIC OF ARMENIA 3.950000% 09/26/2029
N/A
758000.00000000
PA
USD
667661.56000000
0.049752947378
Long
DBT
NUSS
AM
N
2
2029-09-26
Fixed
3.95000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 06/17/2046
N/A
3431000.00000000
PA
113593.96000000
0.008464819083
Long
DBT
NUSS
TH
N
2
2046-06-17
Fixed
2.87500000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 5.100000% 07/15/2050
N/A
75000000.00000000
PA
99904.93000000
0.007444737008
Long
DBT
NUSS
CL
N
2
2050-07-15
Fixed
5.10000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-9720.78000000
-0.00072437516
N/A
DFE
XX
N
2
JP MORGAN
N/A
614843.62000000
USD
551472.43000000
EUR
2020-04-03
-9720.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-05-04
N/A
1.00000000
NC
USD
427359.96000000
0.031846101191
N/A
DFE
US
N
2
JP MORGAN
N/A
38744797817.00000000
IDR
2801098.74000000
USD
2020-05-04
427359.96000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 8.875000% 10/23/2027
P8054QAV5
4497000.00000000
PA
USD
1129916.22000000
0.084199339311
Long
DBT
NUSS
EC
N
2
2027-10-23
Fixed
8.87500000
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
472590.00000000
0.035216563016
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/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
19856.36000000
0.001479660494
N/A
DFE
US
N
2
JP MORGAN
N/A
1425792.00000000
EUR
1584357.61000000
USD
2020-04-03
19856.36000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
41920000.00000000
PA
1803871.16000000
0.134421258131
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
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
437345.46000000
0.032590202823
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70020000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-06
N/A
1.00000000
NC
31179.82000000
0.002323464516
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
454582.23000000
USD
11451495.00000000
MXN
2020-05-06
31179.82000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.950000% 10/07/2026
N/A
688722000.00000000
PA
9446753.22000000
0.703955183303
Long
DBT
NUSS
RU
N
2
2026-10-07
Fixed
7.95000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.625000% 02/26/2044
195325BR5
132000.00000000
PA
USD
144870.00000000
0.010795453742
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.250000% 03/22/2030
N/A
1278000.00000000
PA
1198953.22000000
0.089343853290
Long
DBT
NUSS
CI
N
2
2030-03-22
Fixed
5.25000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-11310.08000000
-0.00084280696
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
1983998.41000000
USD
32517734000.00000000
IDR
2020-06-17
-11310.08000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.125000% 10/24/2028
900123CQ1
1172000.00000000
PA
USD
1031360.00000000
0.076855105764
Long
DBT
NUSS
TR
N
2
2028-10-24
Fixed
6.12500000
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
24636.04000000
0.001835833714
N/A
DO
US
N
2
JPM CHASE
N/A
Call
Purchased
N/A
N/A
26834317.00000000
7.85120000
USD
2020-09-01
XXXX
-254440.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-04-03
N/A
1.00000000
NC
USD
24234.68000000
0.001805925083
N/A
DFE
US
N
2
JP MORGAN
N/A
1701017204.00000000
KRW
1421530.16000000
USD
2020-04-03
24234.68000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 8.994000% 02/01/2024
903724BW1
155000.00000000
PA
USD
143244.80000000
0.010674346740
Long
DBT
NUSS
UA
Y
2
2024-02-01
Fixed
8.99400000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.889000% 07/31/2020
N/A
2796000.00000000
PA
650159.30000000
0.048448710212
Long
DBT
NUSS
MY
N
2
2020-07-31
Fixed
3.88900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2020-04-20
N/A
1.00000000
NC
USD
464737.86000000
0.034631435563
N/A
DFE
US
N
2
JP MORGAN
N/A
9518000000.00000000
COP
2806841.64000000
USD
2020-04-20
464737.86000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.750000% 03/11/2061
37443GAJ0
1113000.00000000
PA
USD
771758.65000000
0.057510076665
Long
DBT
NUSS
GH
Y
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 16.100000% 05/07/2029
N/A
14920000.00000000
PA
1050636.54000000
0.078291559107
Long
DBT
NUSS
EG
N
2
2029-05-07
Fixed
16.10000000
N
N
N
N
N
N
KONDOR FINANCE PLC
213800PUC1T9GI6EIO63
NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC 144A 7.625000% 11/08/2026
50050MAB1
1880000.00000000
PA
USD
1523306.27000000
0.113514063461
Long
DBT
NUSS
GB
Y
2
2026-11-08
Fixed
7.62500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.800000% 08/17/2023
N/A
30074000.00000000
PA
7168326.49000000
0.534170891387
Long
DBT
NUSS
MY
N
2
2023-08-17
Fixed
3.80000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 2.850000% 02/14/2030
455780CQ7
287000.00000000
PA
USD
278380.54000000
0.020744420807
Long
DBT
NUSS
ID
N
2
2030-02-14
Fixed
2.85000000
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
1156108.00000000
0.086151103993
Long
DBT
NUSS
ZA
N
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 12.200000% 01/18/2023
AQ8745293
10717139.00000000
PA
1622145.77000000
0.120879406529
Long
DBT
NUSS
TR
N
2
2023-01-18
Fixed
12.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-05-06
N/A
1.00000000
NC
USD
254641.97000000
0.018975464955
N/A
DFE
US
N
2
JP MORGAN
N/A
45980466.00000000
ZAR
2816826.42000000
USD
2020-05-06
254641.97000000
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT 7.158000% 03/12/2045
P3699PGJ0
2468000.00000000
PA
USD
1974400.00000000
0.147128762818
Long
DBT
NUSS
CR
N
2
2045-03-12
Fixed
7.15800000
N
N
N
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
STATE OF ISRAEL 2.500000% 01/15/2030
46513JXM8
463000.00000000
PA
USD
466282.67000000
0.034746552046
Long
DBT
NUSS
IL
N
2
2030-01-15
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2020-06-17
N/A
1.00000000
NC
USD
6229.65000000
0.000464222395
N/A
DFE
US
N
2
JP MORGAN
N/A
328684291.00000000
CLP
392763.69000000
USD
2020-06-17
6229.65000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 08/21/2030
N/A
609200000.00000000
PA
1892170.64000000
0.141001177727
Long
DBT
NUSS
HU
N
2
2030-08-21
Fixed
3.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.500000% 03/15/2029
195325DP7
240000.00000000
PA
USD
246007.20000000
0.018332017311
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
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
1219920.00000000
0.090906260300
Long
DBT
NUSS
OM
N
2
2021-06-15
Fixed
3.62500000
N
N
N
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT 6.125000% 02/19/2031
P3699PGK7
1557000.00000000
PA
USD
1315665.00000000
0.098041006753
Long
DBT
NUSS
CR
N
2
2031-02-19
Fixed
6.12500000
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
567141.47000000
0.042262369744
Long
DBT
NUSS
TR
Y
2
2024-09-07
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-05-06
N/A
1.00000000
NC
USD
224781.34000000
0.016750304122
N/A
DFE
US
N
2
JP MORGAN
N/A
28886349.00000000
ZAR
1834424.75000000
USD
2020-05-06
224781.34000000
N
N
N
Republic of Trinidad and Tobago
N/A
TRINIDAD & TOBAGO 4.375000% 01/16/2024
P93960AF2
1553000.00000000
PA
USD
1436525.00000000
0.107047278164
Long
DBT
NUSS
TT
N
2
2024-01-16
Fixed
4.37500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 16.300000% 04/09/2024
N/A
15034000.00000000
PA
1022915.98000000
0.076225872470
Long
DBT
NUSS
EG
N
2
2024-04-09
Fixed
16.30000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 7.820000% 12/31/2033
N/A
2191435.51000000
PA
757433.52000000
0.056442593555
Long
DBT
NUSS
AR
N
2
2033-12-31
Floating
7.81999920
N
N
Y
N
N
N
BANK LEUMI LE ISRAEL B.M.
7JDSZWRGUQY2DSTWCR57
BANK LEUMI LE-ISRAEL BM 144A 3.275000% 01/29/2031
06326BAA7
1457000.00000000
PA
USD
1353611.28000000
0.100868695788
Long
DBT
CORP
IL
Y
2
2031-01-29
Fixed
3.27500000
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
357849.00000000
0.026666268560
Long
DBT
CORP
VE
N
2
2019-10-13
Fixed
7.75000000
Y
Y
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-06
N/A
1.00000000
NC
USD
-548.35000000
-0.00004086206
N/A
DFE
US
N
2
JP MORGAN
N/A
7707633.00000000
MXN
326402.47000000
USD
2020-05-06
-548.35000000
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
202206.82000000
0.015068091197
Long
DBT
NUSS
KY
Y
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT 6.250000% 01/19/2027
P5178RAC2
326000.00000000
PA
USD
283623.26000000
0.021135098941
Long
DBT
NUSS
HN
N
2
2027-01-19
Fixed
6.25000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.059000% 09/30/2024
N/A
8000000.00000000
PA
1929730.07000000
0.143800039390
Long
DBT
NUSS
MY
N
2
2024-09-30
Fixed
4.05900000
N
N
N
N
N
N
Centrais Eletricas Brasileiras S.A.
254900I8KYDELP4B4Z08
CENTRAIS ELETRICAS BRASILEIRAS SA 144A 4.625000% 02/04/2030
15236FAB6
226000.00000000
PA
USD
200010.00000000
0.014904388093
Long
DBT
NUSS
BR
Y
2
2030-02-04
Fixed
4.62500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2025
N/A
200000.00000000
PA
USD
181500.00000000
0.013525055941
Long
DBT
NUSS
UA
N
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 8.200000% 05/17/2033
N/A
2700000.00000000
PA
USD
432540.00000000
0.032232108523
Long
DBT
NUSS
LB
N
2
2033-05-17
Fixed
8.20000000
Y
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2020-04-06
N/A
1.00000000
NC
33356.03000000
0.002485631800
N/A
DFE
XX
N
2
JP MORGAN
N/A
2462044.20000000
PLN
570585.44000000
EUR
2020-04-06
33356.03000000
N
N
N
Transnet SOC Ltd
378900B07CD6F01EA796
TRANSNET SOC LTD MTN 9.500000% 05/13/2021
N/A
6760000.00000000
PA
383114.78000000
0.028549029375
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/RUB SETTLE 2020-05-14
N/A
1.00000000
NC
USD
-14304.93000000
-0.00106597784
N/A
DFE
US
N
2
JP MORGAN
N/A
38204571.00000000
RUB
471920.98000000
USD
2020-05-14
-14304.93000000
N
N
N
N/A
N/A
KOREA 10YR BND FU JUN20 FINANCIAL COMMODITY FUTURE.
N/A
13.00000000
NC
1405347.69000000
0.104724000688
N/A
DIR
KR
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Korea Govt. Bond Futures
KOFEX Korea Exchange 10 Year Treasury Electronic Day Session Bond Future Jun 2020
2020-06-19
1405506.50000000
KRW
-158.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-06-25
N/A
1.00000000
NC
USD
66.78000000
0.000004976326
N/A
DFE
US
N
2
JP MORGAN
N/A
696000.00000000
EUR
766014.82000000
USD
2020-06-25
66.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-04-24
N/A
1.00000000
NC
USD
-22442.37000000
-0.00167236534
N/A
DFE
US
N
2
JP MORGAN
N/A
1387112633.00000000
KRW
1116736.36000000
USD
2020-04-24
-22442.37000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: KZT/USD SETTLE 2020-06-05
N/A
1.00000000
NC
-78238.39000000
-0.00583018513
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
649065.38000000
USD
262222413.00000000
KZT
2020-06-05
-78238.39000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 01/25/2023
N/A
16804000.00000000
PA
4219711.57000000
0.314445372136
Long
DBT
NUSS
PL
N
2
2023-01-25
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2021-01-27
N/A
1.00000000
NC
USD
15556.24000000
0.001159223230
N/A
DFE
US
N
2
JP MORGAN
N/A
10929426.10000000
EGP
637098.58000000
USD
2021-01-27
15556.24000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 05/15/2038
N/A
76662000000.00000000
PA
4253691.23000000
0.316977475731
Long
DBT
NUSS
ID
N
2
2038-05-15
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2471.92000000
0.000184203064
N/A
DFE
US
N
2
JP MORGAN
N/A
768573.00000000
EUR
845816.12000000
USD
2020-04-03
2471.92000000
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.125000% 03/11/2039
N/A
1908000.00000000
PA
2088317.59000000
0.155617698232
Long
DBT
NUSS
RO
N
2
2039-03-11
Fixed
4.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2020-04-13
N/A
1.00000000
NC
USD
66009.37000000
0.004918900396
N/A
DFE
US
N
2
JP MORGAN
N/A
11820343.00000000
MYR
2806749.06000000
USD
2020-04-13
66009.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2020-06-17
N/A
1.00000000
NC
USD
157376.34000000
0.011727403870
N/A
DFE
US
N
2
JP MORGAN
N/A
7190000.00000000
PLN
1889257.95000000
USD
2020-06-17
157376.34000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-05-04
N/A
1.00000000
NC
-68162.82000000
-0.00507937164
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
434722.85000000
USD
5983090634.00000000
IDR
2020-05-04
-68162.82000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA 6.0% 05/16/2024
N/A
7785099.00000000
PA
USD
467105.94000000
0.034807900657
Long
DBT
NUSS
XX
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-13362.13000000
-0.00099572207
N/A
DFE
XX
N
2
JP MORGAN
N/A
530077.28000000
USD
470903.00000000
EUR
2020-04-03
-13362.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-04-16
N/A
1.00000000
NC
USD
20390.92000000
0.001519494951
N/A
DFE
US
N
2
JP MORGAN
N/A
3047875951.00000000
KRW
2523702.87000000
USD
2020-04-16
20390.92000000
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2020-06-17
N/A
1.00000000
NC
51195.63000000
0.003815006940
N/A
DFE
IL
N
2
CITIGROUP GLOBAL MARKETS
N/A
1165016.87000000
USD
4282901.40000000
ILS
2020-06-17
51195.63000000
N
N
N
Empresa Electrica Angamos S.A.
529900PQ7VWZL30RZ733
EMPRESA ELECTRICA ANGAMOS SA 144A 4.875000% 05/25/2029
29246TAA7
2452.97000000
PA
USD
2342.59000000
0.000174565624
Long
DBT
NUSS
CL
Y
2
2029-05-25
Fixed
4.87500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-54419.97000000
-0.00405527900
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
449600.91000000
USD
7091840.66000000
ZAR
2020-05-06
-54419.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-06-02
N/A
1.00000000
NC
USD
193935.34000000
0.014451715276
N/A
DFE
US
N
2
JP MORGAN
N/A
6840153.00000000
BRL
1507737.56000000
USD
2020-06-02
193935.34000000
N
N
N
N/A
N/A
FX Swap: USD/TRY SETTLE 2025-10-07
N/A
1.00000000
NC
USD
47718.31000000
0.003555883262
N/A
DIR
XX
N
3
N/A
N/A
Y
2025-10-07
0.00000000
TRY
0.00000000
USD
-17500000.00000000
TRY
47718.31000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2029
N/A
61031000000.00000000
PA
3796096.95000000
0.282878366994
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.600300% 03/01/2029
N/A
301000.00000000
PA
USD
269277.01000000
0.020066042006
Long
DBT
NUSS
EG
N
2
2029-03-01
Fixed
7.60030000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-175134.26000000
-0.01305069236
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
1878138.84000000
USD
40392193.06000000
MXN
2020-06-17
-175134.26000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2027
903724AU6
1485000.00000000
PA
USD
1355522.85000000
0.101011142571
Long
DBT
NUSS
UA
Y
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
FX Swap: USD/TRY SETTLE 2025-12-07
N/A
1.00000000
NC
USD
138878.51000000
0.010348978605
N/A
DIR
XX
N
3
N/A
N/A
Y
2025-12-07
0.00000000
TRY
0.00000000
USD
-13500000.00000000
TRY
138878.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
334521.66000000
0.024927956833
N/A
DFE
US
N
2
JP MORGAN
N/A
15077000.00000000
EUR
16878298.94000000
USD
2020-04-03
334521.66000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-35096.87000000
-0.00261535608
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1157145.25000000
USD
20136063.00000000
ZAR
2020-05-06
-35096.87000000
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
295000.00000000
0.021982873293
Long
DBT
NUSS
LK
N
2
2026-07-18
Fixed
6.82500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/23/2034
N/A
39185000.00000000
PA
1703198.91000000
0.126919341806
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
7.75000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 19.750000% 03/25/2024
N/A
5311000.00000000
PA
865645.57000000
0.064506362314
Long
DBT
NUSS
GH
N
2
2024-03-25
Fixed
19.75000000
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
1654129.78000000
0.123262797849
Long
DBT
NUSS
CN
N
2
2023-10-19
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
45691.54000000
0.003404851981
N/A
DFE
US
N
2
JP MORGAN
N/A
21310000.00000000
ZAR
1227489.10000000
USD
2020-06-17
45691.54000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
151863000.00000000
PA
6637453.87000000
0.494611211588
Long
DBT
NUSS
MX
N
2
2031-05-29
Floating
7.75000080
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 15.840000% 02/26/2025
N/A
66553000.00000000
PA
2074506.27000000
0.154588503325
Long
DBT
NUSS
UA
N
2
2025-02-26
Fixed
15.84000000
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
810608.80000000
0.060405120479
Long
DBT
NUSS
XX
Y
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-04-14
N/A
1.00000000
NC
USD
406183.75000000
0.030268087831
N/A
DFE
US
N
2
JP MORGAN
N/A
185216000.00000000
RUB
2772860.65000000
USD
2020-04-14
406183.75000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.250000% 03/13/2025
900123CX6
4445000.00000000
PA
USD
3796919.00000000
0.282939624692
Long
DBT
NUSS
TR
N
2
2025-03-13
Fixed
4.25000000
N
N
N
N
N
N
BIOCEANICO SOVEREIGN CERTIFICATE LIMITED
N/A
BIOCEANICO SOVEREIGN CERTIFICATE LTD ZERO COUPON 06/05/2034
G11176AA5
2041000.00000000
PA
USD
1153165.00000000
0.085931796888
Long
DBT
NUSS
KY
N
2
2034-06-05
Fixed
0.00000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND 144A 9.375000% 05/08/2048
035198AC4
217000.00000000
PA
USD
84630.00000000
0.006306476497
Long
DBT
NUSS
AO
Y
2
2048-05-08
Fixed
9.37500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-126058.04000000
-0.00939362007
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2141715.55000000
USD
8368110.98000000
PLN
2020-06-17
-126058.04000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 01/01/2022
N/A
8000000.00000000
PA
1435521.26000000
0.106972481252
Long
DBT
NUSS
BR
N
2
2022-01-01
None
0.00000000
N
N
N
N
N
N
N/A
N/A
R213 BOND FUTURE MAY20 FINANCIAL COMMODITY FUTURE.
N/A
811.00000000
NC
3409441.73000000
0.254065510351
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R213 Bond Future May 2020
2020-05-10
4758162.37000000
ZAR
-1348720.64000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-132730.22000000
-0.00989081901
N/A
DFE
CO
N
2
J P MORGAN CHASE BANK
N/A
2391645.06000000
USD
9209985957.00000000
COP
2020-06-17
-132730.22000000
N
N
N
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT
529900LIZJABE4JJS826
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT 144A 4.700000% 10/22/2031
06675QAC7
683000.00000000
PA
USD
620683.08000000
0.046252194926
Long
DBT
NUSS
XX
Y
2
2031-10-22
Fixed
4.70000000
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
3186473.08000000
0.237450284651
Long
DBT
NUSS
XX
N
2
2023-03-14
Fixed
7.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2020-04-30
N/A
1.00000000
NC
USD
177840.56000000
0.013252361006
N/A
DFE
US
N
2
JP MORGAN
N/A
1069867948.00000000
NGN
2830338.49000000
USD
2020-04-30
177840.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-04-15
N/A
1.00000000
NC
USD
341616.71000000
0.025456667291
N/A
DFE
US
N
2
JP MORGAN
N/A
9620921.00000000
BRL
2194903.61000000
USD
2020-04-15
341616.71000000
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN20 FINANCIAL COMMODITY FUTURE.
N/A
44.00000000
NC
USD
9762500.00000000
0.727484069600
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2020
2020-06-22
8910624.98000000
USD
851875.02000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 10.700000% 02/17/2021
N/A
3800000.00000000
PA
576176.93000000
0.042935676091
Long
DBT
NUSS
TR
N
2
2021-02-17
Fixed
10.70000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-16906.37000000
-0.00125983250
N/A
DFE
XX
N
2
JP MORGAN
N/A
2125096.25000000
USD
1921277.00000000
EUR
2020-04-03
-16906.37000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.850000% 02/12/2042
715638BL5
613000.00000000
PA
198907.98000000
0.014822267530
Long
DBT
NUSS
PE
N
2
2042-02-12
Fixed
6.85000000
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
844000.00000000
PA
USD
762351.44000000
0.056809068172
Long
DBT
NUSS
MX
N
2
2026-08-11
Fixed
3.80000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-3726.68000000
-0.00027770553
N/A
DFE
XX
N
2
JP MORGAN
N/A
1268743.53000000
USD
1152860.00000000
EUR
2020-04-03
-3726.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2020-06-17
N/A
1.00000000
NC
USD
109.20000000
0.000008137389
N/A
DFE
US
N
2
JP MORGAN
N/A
37346831.00000000
TWD
1250898.68000000
USD
2020-06-17
109.20000000
N
N
N
CSN Resources S.A.
222100ZEX458NMOXZP08
CSN RESOURCES SA 144A 7.625000% 02/13/2023
12644VAB4
694000.00000000
PA
USD
482330.00000000
0.035942370426
Long
DBT
NUSS
LU
Y
2
2023-02-13
Fixed
7.62500000
N
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
1031000.00000000
PA
USD
701011.59000000
0.052238132069
Long
DBT
NUSS
LK
Y
2
2023-04-18
Fixed
5.75000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.250000% 06/23/2047
N/A
1000000.00000000
PA
USD
1210000.00000000
0.090167039612
Long
DBT
NUSS
RU
N
2
2047-06-23
Fixed
5.25000000
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
2474878.64000000
0.184423537494
Long
DBT
NUSS
KZ
N
2
2022-04-19
Fixed
3.87500000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-05-05
N/A
1.00000000
NC
-114147.19000000
-0.00850604479
N/A
DFE
TH
N
2
GOLDMAN, SACHS & CO.
N/A
2109440.10000000
USD
65449598.00000000
THB
2020-05-05
-114147.19000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 7.903000% 02/21/2048
N/A
2191000.00000000
PA
USD
1763343.09000000
0.131401178716
Long
DBT
NUSS
EG
N
2
2048-02-21
Fixed
7.90300000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 5.248000% 09/15/2028
N/A
1050000.00000000
PA
273384.55000000
0.020372128553
Long
DBT
NUSS
MY
N
2
2028-09-15
Fixed
5.24800000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-06-02
N/A
1.00000000
NC
-80217.73000000
-0.00597768201
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
858679.03000000
USD
4052965.00000000
BRL
2020-06-02
-80217.73000000
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
2354104.07000000
0.175423632174
Long
DBT
NUSS
CL
Y
2
2025-09-16
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
19673.62000000
0.001466043036
N/A
DFE
US
N
2
JP MORGAN
N/A
626131.00000000
EUR
706718.25000000
USD
2020-04-03
19673.62000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-37701.36000000
-0.00280943803
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2205152.36000000
USD
38896656.00000000
ZAR
2020-05-06
-37701.36000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.125000% 01/15/2045
Y20721BM0
410000.00000000
PA
USD
457219.31000000
0.034071166641
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 6.900000% 03/19/2049
71647NBD0
2296000.00000000
PA
USD
2229990.00000000
0.166174873277
Long
DBT
NUSS
NL
N
2
2049-03-19
Fixed
6.90000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 4.750000% 06/15/2026
N/A
900000.00000000
PA
USD
642600.00000000
0.047885404673
Long
DBT
NUSS
OM
N
2
2026-06-15
Fixed
4.75000000
N
N
N
N
N
N
CHINA MINMETALS CORPORATION
3003002ULBI4T3DT7Z09
CHINA MINMETALS CORP 3.750000% MATURITY: PERPETUAL
N/A
2047000.00000000
PA
USD
1985476.00000000
0.147954126563
Long
DBT
NUSS
CN
N
2
2168-05-13
Fixed
3.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2020-04-21
N/A
1.00000000
NC
217102.59000000
0.016178097382
N/A
DFE
XX
N
2
JP MORGAN
N/A
66683981.00000000
CZK
2632057.04000000
EUR
2020-04-21
217102.59000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.125000% 05/15/2024
N/A
76235000000.00000000
PA
4813415.27000000
0.358687111835
Long
DBT
NUSS
ID
N
2
2024-05-15
Fixed
8.12500000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2020-04-20
N/A
1.00000000
NC
-433632.59000000
-0.03231352637
N/A
DFE
CO
N
2
J P MORGAN CHASE BANK
N/A
2775736.37000000
USD
9518000000.00000000
COP
2020-04-20
-433632.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KZT SETTLE 2020-06-05
N/A
1.00000000
NC
USD
184787.25000000
0.013770015942
N/A
DFE
US
N
2
JP MORGAN
N/A
558343895.00000000
KZT
1400235.47000000
USD
2020-06-05
184787.25000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.400000% 06/05/2049
P3579ECE5
1750000.00000000
PA
USD
1540000.00000000
0.114758050415
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-04-02
N/A
1.00000000
NC
-1098.00000000
-0.00008182099
N/A
DFE
XX
N
2
JP MORGAN
N/A
393079.67000000
EUR
1894530.00000000
RON
2020-04-02
-1098.00000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 8.500000% 10/12/2035
Y20721AE9
2024000.00000000
PA
USD
2900500.87000000
0.216140146149
Long
DBT
NUSS
ID
N
2
2035-10-12
Fixed
8.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH PLN - WIBOR
N/A
7000000.00000000
NC
39288.75000000
0.002927727502
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-12
0.00000000
PLN
0.00000000
PLN
-7000000.00000000
PLN
39288.75000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 7.000000% 10/12/2028
N/A
788000.00000000
PA
USD
717347.92000000
0.053455486213
Long
DBT
NUSS
BH
N
2
2028-10-12
Fixed
7.00000000
N
N
N
N
N
N
ABY TRANSMISION SUR S.A.
549300PQCSQSSZTVDH16
ABY TRANSMISION SUR SA 144A 6.875000% 04/30/2043
00289LAA3
267403.50000000
PA
USD
343281.92000000
0.025580755767
Long
DBT
NUSS
PE
Y
2
2043-04-30
Fixed
6.87500000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST GOVERNMENT INTERNATIONAL BOND 144A 5.875000% 10/17/2031
N/A
2429000.00000000
PA
2272098.60000000
0.169312730966
Long
DBT
NUSS
CI
Y
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.750000% 04/18/2028
Y8137FAL2
1052000.00000000
PA
USD
610266.69000000
0.045475984141
Long
DBT
NUSS
LK
Y
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2020-06-17
N/A
1.00000000
NC
USD
86799.47000000
0.006468141528
N/A
DFE
US
N
2
JP MORGAN
N/A
11907009556.00000000
COP
3007207.89000000
USD
2020-06-17
86799.47000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 10.000000% 07/24/2024
N/A
18219100000.00000000
PA
5094797.81000000
0.379655236323
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
13816.51000000
0.001029581656
N/A
DFE
US
N
2
JP MORGAN
N/A
12626919.80000000
ZAR
714072.87000000
USD
2020-06-17
13816.51000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-06-17
N/A
1.00000000
NC
3284.51000000
0.000244755820
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
398011.43000000
USD
6614950000.00000000
IDR
2020-06-17
3284.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-04-15
N/A
1.00000000
NC
USD
-6908.72000000
-0.00051482547
N/A
DFE
US
N
2
JP MORGAN
N/A
29469694.00000000
INR
381702.12000000
USD
2020-04-15
-6908.72000000
N
N
N
Adani Electricity Mumbai Ltd
335800AIC1B5EBFVUC38
ADANI ELECTRICITY MUMBAI LTD 144A 3.949000% 02/12/2030
00654GAA1
540000.00000000
PA
USD
442727.37000000
0.032991253147
Long
DBT
NUSS
IN
Y
2
2030-02-12
Fixed
3.94900000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.750000% 01/21/2055
80413TAR0
3525000.00000000
PA
USD
3244974.00000000
0.241809668759
Long
DBT
NUSS
SA
Y
2
2055-01-21
Fixed
3.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.921000% 07/06/2048
N/A
1768000.00000000
PA
459250.28000000
0.034222510899
Long
DBT
NUSS
MY
N
2
2048-07-06
Fixed
4.92100000
N
N
N
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2020-04-16
N/A
1.00000000
NC
-2516.18000000
-0.00018750124
N/A
DFE
TW
N
2
GOLDMAN, SACHS & CO.
N/A
315649.01000000
USD
9443587.00000000
TWD
2020-04-16
-2516.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-06-18
N/A
1.00000000
NC
USD
-25511.55000000
-0.00190107515
N/A
DFE
US
N
2
JP MORGAN
N/A
3363048.00000000
PEN
950684.95000000
USD
2020-06-18
-25511.55000000
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
TULLOW OIL PLC 144A 7.000000% 03/01/2025
899415AE3
1016000.00000000
PA
USD
254000.00000000
0.018927626497
Long
DBT
NUSS
GB
Y
2
2025-03-01
Fixed
7.00000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 4.900000% 06/01/2030
P5015VAH9
1292000.00000000
PA
USD
1237090.00000000
0.092185738044
Long
DBT
NUSS
GT
N
2
2030-06-01
Fixed
4.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-06
N/A
1.00000000
NC
USD
236809.81000000
0.017646644230
N/A
DFE
US
N
2
JP MORGAN
N/A
27841989.00000000
MXN
1417841.79000000
USD
2020-05-06
236809.81000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
22557500000.00000000
PA
5125840.44000000
0.381968477686
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU GOVERNMENT BOND 144A 5.940000% 02/12/2029
N/A
367000.00000000
PA
114625.09000000
0.008541657050
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2020-04-27
N/A
1.00000000
NC
USD
-63243.06000000
-0.00471275991
N/A
DFE
US
N
2
JP MORGAN
N/A
3175393.00000000
SGD
2168391.83000000
USD
2020-04-27
-63243.06000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.250000% 05/10/2034
N/A
690546000.00000000
PA
9235443.76000000
0.688208779625
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
Provincia de Buenos Aires
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE 7.875000% 06/15/2027
N/A
350000.00000000
PA
USD
91000.00000000
0.006781157524
Long
DBT
NUSS
AR
N
2
2027-06-15
Fixed
7.87500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
62930000.00000000
PA
2309678.42000000
0.172113112056
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
3.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2020-04-27
N/A
1.00000000
NC
USD
91.29000000
0.000006802767
N/A
DFE
US
N
2
JP MORGAN
N/A
6624000.00000000
PHP
129610.43000000
USD
2020-04-27
91.29000000
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 4.125000% 10/11/2047
29135LAB6
824000.00000000
PA
USD
891818.50000000
0.066456722327
Long
DBT
NUSS
AE
Y
2
2047-10-11
Fixed
4.12500000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 4.500000% 01/30/2030
25714PED6
3240000.00000000
PA
USD
2818800.00000000
0.210051943189
Long
DBT
NUSS
DO
Y
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.125000% 06/15/2025
N/A
371000.00000000
PA
388760.88000000
0.028969766666
Long
DBT
NUSS
CI
N
2
2025-06-15
Fixed
5.12500000
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
332500.00000000
0.024777306339
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/THB SETTLE 2020-04-03
N/A
1.00000000
NC
USD
63486.14000000
0.004730873801
N/A
DFE
US
N
2
JP MORGAN
N/A
44611240.00000000
THB
1422880.34000000
USD
2020-04-03
63486.14000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.750000% 09/30/2049
836205BB9
3787000.00000000
PA
USD
2745575.00000000
0.204595346928
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-36864.10000000
-0.00274704691
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
980218.98000000
USD
16929264.00000000
ZAR
2020-05-06
-36864.10000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-2660.53000000
-0.00019825794
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
212681.75000000
USD
178588866.00000000
CLP
2020-06-17
-2660.53000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-20
N/A
1.00000000
NC
1512.26000000
0.000112690915
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
64570.28000000
USD
1561000.00000000
MXN
2020-05-20
1512.26000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: KZT/USD SETTLE 2020-06-05
N/A
1.00000000
NC
-154394.70000000
-0.01150521738
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
1297257.23000000
USD
525000000.00000000
KZT
2020-06-05
-154394.70000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 7.696000% 02/23/2038
65412JAH6
601000.00000000
PA
USD
403989.80000000
0.030104598594
Long
DBT
NUSS
NG
Y
2
2038-02-23
Fixed
7.69600000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-42692.97000000
-0.00318140389
N/A
DFE
KR
N
2
JP MORGAN
N/A
4253300.55000000
USD
5116082571.00000000
KRW
2020-06-17
-42692.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-19735.28000000
-0.00147063782
N/A
DFE
US
N
2
JP MORGAN
N/A
796749.00000000
EUR
854526.05000000
USD
2020-04-03
-19735.28000000
N
N
N
N/A
N/A
R2040 BOND FUTURE MAY20 FINANCIAL COMMODITY FUTURE.
N/A
474.00000000
NC
2154140.77000000
0.160522724082
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2040 Bond Future May 2020
2020-05-10
2989011.11000000
ZAR
-834870.34000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 10/27/2027
N/A
2224390000.00000000
PA
7136290.83000000
0.531783651202
Long
DBT
NUSS
HU
N
2
2027-10-27
Fixed
3.00000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2020-04-20
N/A
1.00000000
NC
-21565.85000000
-0.00160704863
N/A
DFE
KR
N
2
JP MORGAN
N/A
2738298.50000000
USD
3307864590.00000000
KRW
2020-04-20
-21565.85000000
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIA 5.125000% 06/15/2048
N/A
838000.00000000
PA
USD
863140.00000000
0.064319651711
Long
DBT
NUSS
RO
N
2
2048-06-15
Fixed
5.12500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-19
N/A
1.00000000
NC
-163979.99000000
-0.01221949607
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1647636.70000000
USD
26667000.00000000
ZAR
2020-05-19
-163979.99000000
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
127308.71000000
0.009486817766
Long
DBT
NUSS
CI
Y
2
2028-03-03
Fixed
6.37500000
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
637000.00000000
0.047468102672
Long
DBT
NUSS
SV
N
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-4691.45000000
-0.00034959847
N/A
DFE
US
N
2
JP MORGAN
N/A
29471593.01000000
INR
379397.44000000
USD
2020-06-17
-4691.45000000
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 5.750000% 04/19/2047
Y4596HAD9
63000.00000000
PA
USD
62484.41000000
0.004656226670
Long
DBT
NUSS
KZ
N
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 5.625000% 11/18/2050
715638BM3
158000.00000000
PA
USD
235420.00000000
0.017543078070
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
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
378303.90000000
0.028190531187
Long
DBT
NUSS
KY
Y
2
2024-02-06
Fixed
6.87500000
N
N
N
N
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
677228.41000000
0.050465851959
Long
DBT
NUSS
HK
N
2
2020-04-07
Fixed
4.25000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 02/16/2032
65412JAA1
2110000.00000000
PA
USD
1477000.00000000
0.110063402898
Long
DBT
NUSS
NG
Y
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond 5.000000% 04/15/2026
P75744AD7
885000.00000000
PA
USD
893858.85000000
0.066608765566
Long
DBT
NUSS
PY
N
2
2026-04-15
Fixed
5.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-06-03
N/A
1.00000000
NC
-12189.09000000
-0.00090830922
N/A
DFE
XX
N
2
JP MORGAN
N/A
377547.09000000
USD
332258.00000000
EUR
2020-06-03
-12189.09000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 10.500000% 12/21/2026
N/A
209572605.00000000
PA
11972040.41000000
0.892135075942
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
Sinopec Group Overseas Development (2018) Limited
549300C6OZZ8LTVR8209
SINOPEC GROUP OVERSEAS DEVELOPMENT 2018 LTD 2.500000% 08/08/2024
G82016AF6
3010000.00000000
PA
USD
2999481.19000000
0.223515982872
Long
DBT
NUSS
VG
N
2
2024-08-08
Fixed
2.50000000
N
N
N
N
N
N
DEVELOPMENT BANK OF MONGOLIA
254900HRWK3OKXS9UW60
DEVELOPMENT BANK OF MONGOLIA LLC 144A 7.250000% 10/23/2023
25161AAA7
784000.00000000
PA
USD
658532.65000000
0.049072677304
Long
DBT
NUSS
MN
Y
2
2023-10-23
Fixed
7.25000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 2.750000% 12/22/2026
N/A
1072960000.00000000
PA
3428607.97000000
0.255493744335
Long
DBT
NUSS
HU
N
2
2026-12-22
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-05-06
N/A
1.00000000
NC
USD
54876.43000000
0.004089293584
N/A
DFE
US
N
2
JP MORGAN
N/A
20162652.00000000
ZAR
1178406.44000000
USD
2020-05-06
54876.43000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.375000% 01/23/2031
917288BK7
5445562.00000000
PA
USD
5915296.18000000
0.440797309901
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.150000% 02/03/2027
EJ0370613
827610000.00000000
PA
11543932.79000000
0.860233260462
Long
DBT
NUSS
RU
N
2
2027-02-03
Fixed
8.15000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 04/25/2024
N/A
6060000.00000000
PA
1538488.49000000
0.114645415389
Long
DBT
NUSS
PL
N
2
2024-04-25
Fixed
2.50000000
N
N
N
N
N
N
EMGESA S.A. ESP.
2549007VY3IWUVGW7A82
EMGESA SA ESP 8.750000% 01/25/2021
N/A
870000000.00000000
PA
217226.79000000
0.016187352544
Long
DBT
NUSS
CO
N
2
2021-01-25
Fixed
8.75000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-131701.69000000
-0.00981417479
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
834952.01000000
USD
12620394.00000000
ZAR
2020-05-06
-131701.69000000
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2020-05-11
N/A
1.00000000
NC
-97476.18000000
-0.00726375089
N/A
DFE
IL
N
2
CITIGROUP GLOBAL MARKETS
N/A
3009263.27000000
USD
10276935.00000000
ILS
2020-05-11
-97476.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
9897.39000000
0.000737535831
N/A
DFE
US
N
2
JP MORGAN
N/A
681008.00000000
EUR
757157.77000000
USD
2020-04-03
9897.39000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-126512.00000000
-0.00942744835
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2011926.40000000
USD
7827399.66000000
PLN
2020-06-17
-126512.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-14982.13000000
-0.00111644157
N/A
DFE
US
N
2
JP MORGAN
N/A
796176874.00000000
CLP
921325.06000000
USD
2020-06-17
-14982.13000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.950000% 01/28/2060
P78625EB5
338000.00000000
PA
USD
226460.00000000
0.016875394868
Long
DBT
NUSS
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
N/A
N/A
R023 BOND FUTURE MAY20 FINANCIAL COMMODITY FUTURE.
N/A
579.00000000
NC
3352476.78000000
0.249820583985
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
R023 Bond Future May 2020
2020-05-10
4113067.17000000
ZAR
-760590.39000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2020-04-21
N/A
1.00000000
NC
-189426.47000000
-0.01411572233
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
2511549.30000000
EUR
64073390.00000000
CZK
2020-04-21
-189426.47000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 5.750000% 01/26/2021
N/A
665000.00000000
PA
USD
561925.00000000
0.041873647714
Long
DBT
NUSS
ZA
N
2
2021-01-26
Fixed
5.75000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-315398.94000000
-0.02350296588
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
3367312.06000000
USD
50307642227.00000000
IDR
2020-06-17
-315398.94000000
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
TURKIYE IHRACAT KREDI BANKASI AS MTN 5.375000% 02/08/2021
90015LAA5
896000.00000000
PA
USD
881825.28000000
0.065712045415
Long
DBT
NUSS
TR
Y
2
2021-02-08
Fixed
5.37500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 3.500000% 01/11/2028
455780CD6
1526000.00000000
PA
USD
1500497.35000000
0.111814383467
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 16.000000% 08/11/2021
N/A
148624000.00000000
PA
5072352.06000000
0.377982619109
Long
DBT
NUSS
UA
N
2
2021-08-11
Fixed
16.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-06
N/A
1.00000000
NC
USD
-19990.24000000
-0.00148963699
N/A
DFE
US
N
2
JP MORGAN
N/A
14792974.00000000
MXN
607514.33000000
USD
2020-05-06
-19990.24000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2027
N/A
30000000.00000000
PA
6563176.86000000
0.489076221420
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY COP - COLUMBIA IBR OVERNIGHT INTERBANK
N/A
1338005800.00000000
NC
2419.54000000
0.000180299800
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-03-12
0.00000000
COP
0.00000000
COP
-1338005800.00000000
COP
2419.54000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-05-04
N/A
1.00000000
NC
-109550.84000000
-0.00816353299
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
720356.91000000
USD
9969739633.00000000
IDR
2020-05-04
-109550.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2020-06-17
N/A
1.00000000
NC
USD
419568.31000000
0.031265481345
N/A
DFE
US
N
2
JP MORGAN
N/A
13294262727.00000000
COP
3680225.54000000
USD
2020-06-17
419568.31000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 8.200000% 08/12/2026
N/A
963000.00000000
PA
348195.84000000
0.025946932312
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.20000000
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
439482.50000000
0.032749451228
Long
DBT
NUSS
DO
Y
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-05-06
N/A
1.00000000
NC
USD
93630.38000000
0.006977168745
N/A
DFE
US
N
2
JP MORGAN
N/A
7037544.00000000
TRY
1151768.13000000
USD
2020-05-06
93630.38000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.350000% 02/12/2048
P78625DE0
678000.00000000
PA
USD
423750.00000000
0.031577093417
Long
DBT
NUSS
MX
N
2
2048-02-12
Fixed
6.35000000
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
552000.00000000
PA
USD
300840.00000000
0.022418059666
Long
DBT
NUSS
NL
N
2
2023-12-07
Floating
6.38813160
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
5239.23000000
0.000390418065
N/A
DFE
XX
N
2
JP MORGAN
N/A
476300.23000000
USD
438846.00000000
EUR
2020-04-03
5239.23000000
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 2.750000% 01/27/2030
N/A
839000.00000000
PA
966621.68000000
0.072030921744
Long
DBT
NUSS
HR
N
2
2030-01-27
Fixed
2.75000000
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
173120.00000000
0.012900593303
Long
DBT
NUSS
PK
N
2
2036-03-31
Fixed
7.87500000
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.500000% 01/27/2025
P3579EBD8
949000.00000000
PA
USD
911040.00000000
0.067889074188
Long
DBT
NUSS
DO
N
2
2025-01-27
Fixed
5.50000000
N
N
N
N
N
N
CSN ISLANDS XI CORP.
222100R8R68DM7VM3661
CSN ISLANDS XI CORP 144A 6.750000% 01/28/2028
12642KAB0
592000.00000000
PA
USD
379170.08000000
0.028255077374
Long
DBT
NUSS
KY
Y
2
2028-01-28
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-06
N/A
1.00000000
NC
USD
773253.04000000
0.057621435940
N/A
DFE
US
N
2
JP MORGAN
N/A
76708626.00000000
MXN
4027163.53000000
USD
2020-05-06
773253.04000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-06-03
N/A
1.00000000
NC
49606.88000000
0.003696616127
N/A
DFE
XX
N
2
JP MORGAN
N/A
3780374.36000000
USD
3483000.00000000
EUR
2020-06-03
49606.88000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2022
N/A
40233000000.00000000
PA
2509690.63000000
0.187017664834
Long
DBT
NUSS
ID
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.000000% 02/26/2024
195325BQ7
965000.00000000
PA
USD
977072.15000000
0.072809672110
Long
DBT
NUSS
CO
N
2
2024-02-26
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
12566.95000000
0.000936466676
N/A
DFE
US
N
2
JP MORGAN
N/A
13550000.00000000
ZAR
764014.95000000
USD
2020-06-17
12566.95000000
N
N
N
Republika e Shqiperise
254900EDM43U3SGRND29
REPUBLIC OF ALBANIA 3.500000% 10/09/2025
N/A
403000.00000000
PA
461057.08000000
0.034357150409
Long
DBT
NUSS
AL
N
2
2025-10-09
Fixed
3.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
16624088.00000000
NC
-10807.24000000
-0.00080533622
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-12-08
0.00000000
MXN
0.00000000
MXN
-16624088.00000000
MXN
-10807.24000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2020-04-21
N/A
1.00000000
NC
199287.17000000
0.014850524092
N/A
DFE
XX
N
2
JP MORGAN
N/A
896599492.00000000
HUF
2668560.47000000
EUR
2020-04-21
199287.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
662.68000000
0.000049381730
N/A
DFE
US
N
2
JP MORGAN
N/A
316962.00000000
EUR
348460.57000000
USD
2020-04-03
662.68000000
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 5.000000% 01/15/2030
86964WAG7
494000.00000000
PA
USD
434720.00000000
0.032394558231
Long
DBT
NUSS
AT
Y
2
2030-01-15
Fixed
5.00000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 7.250000% 12/23/2023
900123CR9
1717000.00000000
PA
USD
1678367.50000000
0.125068949468
Long
DBT
NUSS
TR
N
2
2023-12-23
Fixed
7.25000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-4095.04000000
-0.00030515506
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
803895.50000000
USD
13183886230.00000000
IDR
2020-06-17
-4095.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-20246.25000000
-0.00150871440
N/A
DFE
US
N
2
JP MORGAN
N/A
3203838454.00000000
COP
765552.80000000
USD
2020-06-17
-20246.25000000
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN LISTRIK NEGARA PT MTN 6.150000% 05/21/2048
71568QAF4
250000.00000000
PA
USD
270000.00000000
0.020119917930
Long
DBT
NUSS
ID
N
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2020-04-21
N/A
1.00000000
NC
131966.70000000
0.009833922864
N/A
DFE
XX
N
2
JP MORGAN
N/A
11478365.00000000
PLN
2637976.88000000
EUR
2020-04-21
131966.70000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2027
N/A
63129000000.00000000
PA
3685448.14000000
0.274633015230
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2020-06-17
N/A
1.00000000
NC
USD
141649.26000000
0.010555449948
N/A
DFE
US
N
2
JP MORGAN
N/A
17926207.00000000
SGD
12752784.79000000
USD
2020-06-17
141649.26000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 144 4.700000% 09/01/2030
N/A
2925000000.00000000
PA
3750704.73000000
0.279495819805
Long
DBT
NUSS
CL
N
2
2030-09-01
Fixed
4.70000000
N
N
N
N
N
N
Rumo Luxembourg S.a r.l.
222100HOIQFT7YOSPB46
RUMO LUXEMBOURG SARL 144A 7.375000% 02/09/2024
781467AA3
692000.00000000
PA
USD
692000.00000000
0.051566604472
Long
DBT
NUSS
LU
Y
2
2024-02-09
Fixed
7.37500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 09/20/2029
05674RAJ3
275000.00000000
PA
USD
246136.00000000
0.018341615257
Long
DBT
NUSS
BH
Y
2
2029-09-20
Fixed
6.75000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 01/23/2028
N/A
1386000.00000000
PA
USD
380068.92000000
0.028322057326
Long
DBT
NUSS
EC
Y
2
2028-01-23
Fixed
7.87500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 06/15/2025
N/A
60000000000.00000000
PA
3564684.24000000
0.265633905019
Long
DBT
NUSS
ID
N
2
2025-06-15
Fixed
6.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2020-04-06
N/A
1.00000000
NC
16749.79000000
0.001248164444
N/A
DFE
XX
N
2
JP MORGAN
N/A
14171270.00000000
RON
2946822.62000000
EUR
2020-04-06
16749.79000000
N
N
N
UKRANIAN HRYVNIA
N/A
FX Forward Contract: UAH/USD SETTLE 2020-08-27
N/A
1.00000000
NC
127148.50000000
0.009474879203
N/A
DFE
UA
N
2
J P MORGAN CHASE BANK
N/A
631313.13000000
USD
16250000.00000000
UAH
2020-08-27
127148.50000000
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
1015000.00000000
PA
USD
916808.90000000
0.068318962316
Long
DBT
NUSS
MX
Y
2
2026-08-11
Fixed
3.80000000
N
N
N
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
1210440.00000000
0.090199827626
Long
DBT
NUSS
LK
N
2
2021-07-27
Fixed
6.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-06-25
N/A
1.00000000
NC
USD
-64394.17000000
-0.00479853857
N/A
DFE
US
N
2
JP MORGAN
N/A
232620900.00000000
JPY
2098655.93000000
USD
2020-06-25
-64394.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2020-04-16
N/A
1.00000000
NC
USD
41289.74000000
0.003076837704
N/A
DFE
US
N
2
JP MORGAN
N/A
3740260.00000000
SGD
2669135.80000000
USD
2020-04-16
41289.74000000
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2020-06-17
N/A
1.00000000
NC
49852.98000000
0.003714955059
N/A
DFE
IL
N
2
CITIGROUP GLOBAL MARKETS
N/A
1356783.14000000
USD
4953479.57000000
ILS
2020-06-17
49852.98000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 7.875000% 03/27/2025
N/A
943000.00000000
PA
USD
265218.75000000
0.019763627716
Long
DBT
NUSS
EC
N
2
2025-03-27
Fixed
7.87500000
N
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
Venezuela Government International Bond 8.250000% 10/13/2024
P97475AP5
3303600.00000000
PA
USD
297324.00000000
0.022156053624
Long
DBT
NUSS
VE
N
2
2024-10-13
Fixed
8.25000000
Y
Y
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU BONO SOBERANO 6.9% 08/12/2037
P87324BE1
7121000.00000000
PA
2367198.98000000
0.176399441487
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.90000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-217533.73000000
-0.01621022516
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
3818171.53000000
USD
89677394.79000000
CZK
2020-06-17
-217533.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2020-06-17
N/A
1.00000000
NC
USD
255991.05000000
0.019075995988
N/A
DFE
US
N
2
JP MORGAN
N/A
63639700.00000000
CZK
2811189.15000000
USD
2020-06-17
255991.05000000
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2020-06-17
N/A
1.00000000
NC
24852.16000000
0.001851938591
N/A
DFE
IL
N
2
CITIGROUP GLOBAL MARKETS
N/A
678465.90000000
USD
2476739.78000000
ILS
2020-06-17
24852.16000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-05-06
N/A
1.00000000
NC
USD
56572.94000000
0.004215714480
N/A
DFE
US
N
2
JP MORGAN
N/A
20162588.00000000
ZAR
1180099.38000000
USD
2020-05-06
56572.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-06-25
N/A
1.00000000
NC
USD
2683.84000000
0.000199994964
N/A
DFE
US
N
2
JP MORGAN
N/A
348915.36000000
EUR
386665.21000000
USD
2020-06-25
2683.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-05-06
N/A
1.00000000
NC
USD
-486.22000000
-0.00003623224
N/A
DFE
US
N
2
JP MORGAN
N/A
7648922.00000000
TRY
1149575.95000000
USD
2020-05-06
-486.22000000
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 5.400000% 03/30/2050
P75744AG0
571000.00000000
PA
USD
571005.71000000
0.042550326010
Long
DBT
NUSS
PY
N
2
2050-03-30
Fixed
5.40000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2020-04-06
N/A
1.00000000
NC
-25137.98000000
-0.00187323738
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
421313.91000000
EUR
1815835.00000000
PLN
2020-04-06
-25137.98000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
87650000.00000000
PA
3530397.82000000
0.263078942217
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2020-04-21
N/A
1.00000000
NC
-189661.38000000
-0.01413322740
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
2324366.81000000
EUR
58939992.00000000
CZK
2020-04-21
-189661.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-04-29
N/A
1.00000000
NC
USD
-40769.87000000
-0.00303809792
N/A
DFE
US
N
2
JP MORGAN
N/A
26495381.00000000
EGP
1629482.23000000
USD
2020-04-29
-40769.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-04-22
N/A
1.00000000
NC
USD
848887.00000000
0.063257543599
N/A
DFE
US
N
2
JP MORGAN
N/A
73597312706.00000000
IDR
5360328.67000000
USD
2020-04-22
848887.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2020-04-13
N/A
1.00000000
NC
USD
65010.04000000
0.004844432108
N/A
DFE
US
N
2
JP MORGAN
N/A
11820344.00000000
MYR
2805749.96000000
USD
2020-04-13
65010.04000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.052900% 01/15/2032
N/A
3853000.00000000
PA
USD
3113378.12000000
0.232003378739
Long
DBT
NUSS
EG
N
2
2032-01-15
Fixed
7.05290000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2020-04-06
N/A
1.00000000
NC
172777.75000000
0.012875089444
N/A
DFE
XX
N
2
JP MORGAN
N/A
11281950.00000000
PLN
2632782.61000000
EUR
2020-04-06
172777.75000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-508373.59000000
-0.03788309225
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
2940910.63000000
USD
57345331.00000000
MXN
2020-05-06
-508373.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-05-06
N/A
1.00000000
NC
USD
204277.63000000
0.015222404261
N/A
DFE
US
N
2
JP MORGAN
N/A
20990850.00000000
MXN
1094690.49000000
USD
2020-05-06
204277.63000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-05-05
N/A
1.00000000
NC
-3159.94000000
-0.00023547308
N/A
DFE
XX
N
2
JP MORGAN
N/A
584478.84000000
USD
529210.00000000
EUR
2020-05-05
-3159.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2020-04-20
N/A
1.00000000
NC
USD
192157.83000000
0.014319258404
N/A
DFE
US
N
2
JP MORGAN
N/A
2233260000.00000000
CLP
2814087.70000000
USD
2020-04-20
192157.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-22908.47000000
-0.00170709828
N/A
DFE
US
N
2
JP MORGAN
N/A
113172215.00000000
TWD
3767362.67000000
USD
2020-06-17
-22908.47000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN20 FINANCIAL COMMODITY FUTURE.
N/A
107.00000000
NC
USD
14839562.50000000
1.105817702288
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Jun 2020
2020-06-22
14282980.21000000
USD
556582.29000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
7110200000.00000000
PA
1688511.35000000
0.125824851059
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.500000% 09/17/2031
QJ4075223
176982000.00000000
PA
2591315.25000000
0.193100185781
Long
DBT
NUSS
RU
N
2
2031-09-17
Fixed
8.50000000
N
N
N
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
880880.00000000
0.065641604837
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/MXN SETTLE 2020-05-06
N/A
1.00000000
NC
USD
126653.08000000
0.009437961389
N/A
DFE
US
N
2
JP MORGAN
N/A
58581186.00000000
MXN
2611613.97000000
USD
2020-05-06
126653.08000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-05-05
N/A
1.00000000
NC
-110116.84000000
-0.00820571030
N/A
DFE
XX
N
2
JP MORGAN
N/A
21019834.01000000
USD
19035389.00000000
EUR
2020-05-05
-110116.84000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.500000% 10/26/2046
N/A
580000.00000000
PA
USD
587628.16000000
0.043789001305
Long
DBT
NUSS
SA
N
2
2046-10-26
Fixed
4.50000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-200614.51000000
-0.01494943509
N/A
DFE
HU
N
2
J P MORGAN CHASE BANK
N/A
1975433.05000000
USD
581607000.00000000
HUF
2020-06-17
-200614.51000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-05-04
N/A
1.00000000
NC
12852.47000000
0.000957743117
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
280181.79000000
USD
4782983340.00000000
IDR
2020-05-04
12852.47000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2036
N/A
72516000000.00000000
PA
4320910.32000000
0.321986522301
Long
DBT
NUSS
ID
N
2
2036-05-15
Fixed
8.25000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.35% 08/12/2028
P78024AC3
346000.00000000
PA
111254.21000000
0.008290465091
Long
DBT
CORP
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2020-06-17
N/A
1.00000000
NC
USD
1421.50000000
0.000105927641
N/A
DFE
US
N
2
JP MORGAN
N/A
2976752389.00000000
COP
731523.60000000
USD
2020-06-17
1421.50000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2020-04-21
N/A
1.00000000
NC
-190540.62000000
-0.01419874680
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2806375.50000000
EUR
12002868.00000000
PLN
2020-04-21
-190540.62000000
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA INTL BOND 5.625000% 05/01/2023
Y6142NAB4
2087000.00000000
PA
USD
1857362.21000000
0.138407315672
Long
DBT
NUSS
MN
N
2
2023-05-01
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-04-16
N/A
1.00000000
NC
USD
645665.32000000
0.048113826846
N/A
DFE
US
N
2
JP MORGAN
N/A
86676391900.00000000
IDR
5959188.17000000
USD
2020-04-16
645665.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-05-04
N/A
1.00000000
NC
USD
257773.65000000
0.019208832157
N/A
DFE
US
N
2
JP MORGAN
N/A
24559809914.00000000
IDR
1762454.96000000
USD
2020-05-04
257773.65000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.200000% 05/11/2027
Y8137FAH1
1262000.00000000
PA
USD
732001.43000000
0.054547439615
Long
DBT
NUSS
LK
N
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2020-06-18
N/A
1.00000000
NC
76486.37000000
0.005699627730
N/A
DFE
PE
N
2
CITIGROUP GLOBAL MARKETS
N/A
2215255.61000000
USD
7895171.00000000
PEN
2020-06-18
76486.37000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.000000% 06/26/2026
N/A
16430000.00000000
PA
639465.40000000
0.047651819878
Long
DBT
NUSS
CZ
N
2
2026-06-26
Fixed
1.00000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-06-02
N/A
1.00000000
NC
-93883.48000000
-0.00699602930
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
725880.43000000
USD
3290416.00000000
BRL
2020-06-02
-93883.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2020-05-05
N/A
1.00000000
NC
USD
25259.67000000
0.001882305508
N/A
DFE
US
N
2
JP MORGAN
N/A
16190015.00000000
THB
518827.59000000
USD
2020-05-05
25259.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
-6443.15000000
-0.00048013203
N/A
DFE
US
N
2
JP MORGAN
N/A
38858439.08000000
INR
499979.92000000
USD
2020-06-17
-6443.15000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-2818.07000000
-0.00020999754
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
886319.63000000
USD
20827921.00000000
MXN
2020-05-06
-2818.07000000
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-05-14
N/A
1.00000000
NC
-556922.58000000
-0.04150087630
N/A
DFE
RU
N
2
J P MORGAN CHASE BANK
N/A
3057172.86000000
USD
196453928.00000000
RUB
2020-05-14
-556922.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2020-04-16
N/A
1.00000000
NC
USD
22386.42000000
0.001668196048
N/A
DFE
US
N
2
JP MORGAN
N/A
84730013.00000000
TWD
2831885.46000000
USD
2020-04-16
22386.42000000
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-9517.78000000
-0.00070924797
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
460107.59000000
USD
181742496.37000000
NGN
2020-04-30
-9517.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-01
N/A
1.00000000
NC
USD
42714.79000000
0.003183029885
N/A
DFE
US
N
2
JP MORGAN
N/A
42571199.10000000
ZAR
2426320.56000000
USD
2020-04-01
42714.79000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2022
N/A
1030000.00000000
PA
USD
973226.40000000
0.072523093686
Long
DBT
NUSS
UA
N
2
2022-09-01
Fixed
7.75000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.875000% 02/11/2035
N/A
285000.00000000
PA
USD
200640.00000000
0.014951334568
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.87500000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 4.500000% 03/01/2026
N/A
1980000000.00000000
PA
2536580.20000000
0.189021427581
Long
DBT
NUSS
CL
N
2
2026-03-01
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-05-21
N/A
1.00000000
NC
USD
579.64000000
0.000043193737
N/A
DFE
US
N
2
JP MORGAN
N/A
7084543.78000000
EGP
443977.17000000
USD
2020-05-21
579.64000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2020-04-06
N/A
1.00000000
NC
-32258.34000000
-0.00240383390
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
420203.37000000
EUR
1781200.92000000
PLN
2020-04-06
-32258.34000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2020-04-14
N/A
1.00000000
NC
-60767.26000000
-0.00452826771
N/A
DFE
KR
N
2
JP MORGAN
N/A
2287666.45000000
USD
2711273650.00000000
KRW
2020-04-14
-60767.26000000
N
N
N
NIGERIAN NAIRA
N/A
FX Forward Contract: NGN/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-981.72000000
-0.00007315602
N/A
DFE
NG
N
2
CITIGROUP GLOBAL MARKETS
N/A
168960.98000000
USD
67753351.29000000
NGN
2020-04-30
-981.72000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 11/15/2026
P7807HAR6
13215353.00000000
PA
USD
792921.18000000
0.059087070617
Long
DBT
NUSS
XX
N
2
2026-11-15
Fixed
6.00000000
Y
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-05-06
N/A
1.00000000
NC
-25002.43000000
-0.00186313644
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1546102.76000000
USD
27297371.97000000
ZAR
2020-05-06
-25002.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2020-06-17
N/A
1.00000000
NC
USD
44706.46000000
0.003331445578
N/A
DFE
US
N
2
JP MORGAN
N/A
179133822.00000000
HUF
591347.11000000
USD
2020-06-17
44706.46000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-06-02
N/A
1.00000000
NC
-68685.06000000
-0.00511828803
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2123776.30000000
USD
10699585.00000000
BRL
2020-06-02
-68685.06000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-04-24
N/A
1.00000000
NC
-45270.35000000
-0.00337346565
N/A
DFE
TH
N
2
GOLDMAN, SACHS & CO.
N/A
6415407.52000000
USD
208981900.00000000
THB
2020-04-24
-45270.35000000
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 9.125000% 11/26/2049
N/A
861000.00000000
PA
USD
336778.43000000
0.025096127304
Long
DBT
NUSS
AO
N
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-06-17
N/A
1.00000000
NC
-172592.56000000
-0.01286128941
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
3330919.37000000
USD
13111964.25000000
PLN
2020-06-17
-172592.56000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 17.000000% 05/11/2022
N/A
71848000.00000000
PA
2429252.92000000
0.181023590302
Long
DBT
NUSS
UA
N
2
2022-05-11
Fixed
17.00000000
N
N
N
N
N
N
Romania
259400VHILGGKLBNL383
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 02/08/2038
N/A
973000.00000000
PA
1019516.35000000
0.075972538112
Long
DBT
NUSS
RO
N
2
2038-02-08
Fixed
3.37500000
N
N
N
N
N
N
Republique Gabonaise
N/A
REPUBLIC OF GABON 6.625000% 02/06/2031
N/A
603000.00000000
PA
USD
370142.96000000
0.027582392509
Long
DBT
NUSS
GA
N
2
2031-02-06
Fixed
6.62500000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-06-17
N/A
1.00000000
NC
10660.93000000
0.000794433469
N/A
DFE
CL
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1222945.11000000
USD
1048981164.00000000
CLP
2020-06-17
10660.93000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.300000% 06/22/2048
836205AZ7
964000.00000000
PA
USD
766380.00000000
0.057109269271
Long
DBT
NUSS
ZA
N
2
2048-06-22
Fixed
6.30000000
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-05-04
N/A
1.00000000
NC
-350635.06000000
-0.02612869863
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
2748523.31000000
USD
39138971939.00000000
IDR
2020-05-04
-350635.06000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2023
N/A
905000.00000000
PA
USD
846175.00000000
0.063055450201
Long
DBT
NUSS
UA
N
2
2023-09-01
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-06-17
N/A
1.00000000
NC
USD
64653.80000000
0.004817885740
N/A
DFE
US
N
2
JP MORGAN
N/A
12190000.00000000
ZAR
740679.71000000
USD
2020-06-17
64653.80000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
2889.49000000
0.000215319635
N/A
DFE
XX
N
2
JP MORGAN
N/A
476780.20000000
USD
437142.00000000
EUR
2020-04-03
2889.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2020-04-27
N/A
1.00000000
NC
USD
-34822.02000000
-0.00259487475
N/A
DFE
US
N
2
JP MORGAN
N/A
3221890.00000000
SGD
2229490.50000000
USD
2020-04-27
-34822.02000000
N
N
N
2020-03-31
SEI INSTITUTIONAL INTERNATIONAL TRUST
James Hoffmayer
James Hoffmayer
CFO