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