0001752724-20-240685.txt : 20201123
0001752724-20-240685.hdr.sgml : 20201123
20201123125338
ACCESSION NUMBER: 0001752724-20-240685
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200930
FILED AS OF DATE: 20201123
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: 201336048
BUSINESS ADDRESS:
STREET 1: SEI INVESTMENTS ATTN: CAREN ROSCH
STREET 2: 1FREEDOM CIRCLE DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
BUSINESS PHONE: 610 676-3097
MAIL ADDRESS:
STREET 1: SEI INVESTMENTS ATTN: CAREN ROSCH
STREET 2: 1FREEDOM CIRCLE DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
FORMER COMPANY:
FORMER CONFORMED NAME: SEI INTERNATIONAL TRUST
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: SEI WEALTH MANAGEMENT TRUST
DATE OF NAME CHANGE: 19900129
0000835597
S000006421
SIT EMERGING MARKETS DEBT FUND
C000017610
SIT EMERGING MARKETS DEBT FUND - CLASS F, effective 1-31-2017 (formerly Class A)
SITEX
C000147410
Class Y
SIEDX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000835597
XXXXXXXX
S000006421
C000147410
C000017610
SEI INSTITUTIONAL INTERNATIONAL TRUST
811-05601
0000835597
E8Z427H460ISEID6A824
ONE FREEDOM VALLEY DRIVE
OAKS
19456
8003425734
SIT Emerging Markets Debt Fund
S000006421
1BNBZ6S2ZXNZOA0AG379
2020-09-30
2020-09-30
N
1517768149.25
43753673.03
1474014476.22
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
32919388.48000000
USD
N
KONDOR FINANCE PLC
213800PUC1T9GI6EIO63
NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC 7.125000% 07/19/2024
N/A
720000.00000000
PA
812004.17000000
0.055087937269
Long
DBT
NUSS
UA
N
2
2024-07-19
Fixed
7.12500000
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
1216000.00000000
PA
USD
1285628.16000000
0.087219507049
Long
DBT
NUSS
CL
Y
2
2050-01-30
Fixed
3.70000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 18.000000% 11/06/2028
N/A
30307000.00000000
PA
2236197.30000000
0.151707960544
Long
DBT
NUSS
EG
N
2
2028-11-06
Fixed
18.00000000
N
N
N
N
N
N
Minejesa Capital B.V.
549300KS7ERCP10BKC35
MINEJESA CAPITAL BV 144A 4.625000% 08/10/2030
602736AA8
557000.00000000
PA
USD
572378.77000000
0.038831285529
Long
DBT
NUSS
ID
Y
2
2030-08-10
Fixed
4.62500000
N
N
N
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT INTERNATIONAL BOND 144A 5.625000% 06/24/2030
438180AJ0
736000.00000000
PA
USD
787152.00000000
0.053401917871
Long
DBT
NUSS
HN
Y
2
2030-06-24
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2020-11-05
N/A
1.00000000
NC
USD
-124505.44000000
-0.00844669045
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
10068937.00000000
UAH
352553.82000000
USD
2020-11-05
-124505.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-10-21
N/A
1.00000000
NC
USD
3027.75000000
0.000205408430
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
184095958.00000000
INR
2498079.35000000
USD
2020-10-21
3027.75000000
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO PAY:1-DAY BRL - CETIP
N/A
12388713.00000000
NC
-47579.52000000
-0.00322788688
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-12388713.00000000
BRL
-47579.52000000
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP PAY: 6-MONTH PLN - WIBOR
N/A
11000000.00000000
NC
75285.17000000
0.005107491901
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2021-12-14
0.00000000
PLN
0.00000000
PLN
-11000000.00000000
PLN
75285.17000000
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
348125.00000000
0.023617474971
Long
DBT
NUSS
LK
N
2
2026-07-18
Fixed
6.82500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-11237.66000000
-0.00076238464
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
1033090.29000000
USD
870000.00000000
EUR
2020-12-16
-11237.66000000
N
N
N
Republique du Cameroun
54930021BO6NHYGBBV24
REPUBLIC OF CAMEROON INTERNATIONAL BOND 144A 9.500000% 11/19/2025
133653AA3
283000.00000000
PA
USD
291324.16000000
0.019763995856
Long
DBT
NUSS
CM
Y
2
2025-11-19
Fixed
9.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
2291.28000000
0.000155444877
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
2733917.75000000
USD
2333242.00000000
EUR
2020-10-05
2291.28000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-11-20
N/A
1.00000000
NC
-71745.01000000
-0.00486732058
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
1489876.78000000
USD
5480400.00000000
PLN
2020-11-20
-71745.01000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 7.690000% 01/23/2050
71654QCW0
8402000.00000000
PA
USD
7032474.00000000
0.477096671264
Long
DBT
NUSS
MX
Y
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GHS SETTLE 2021-02-17
N/A
1.00000000
NC
USD
-4826.46000000
-0.00032743640
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1032853.99000000
GHS
166000.32000000
USD
2021-02-17
-4826.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2021-02-04
N/A
1.00000000
NC
USD
-12767.13000000
-0.00086614685
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
134894000.00000000
NGN
321176.19000000
USD
2021-02-04
-12767.13000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 144 4.700000% 09/01/2030
N/A
815000000.00000000
PA
1215044.67000000
0.082430986235
Long
DBT
NUSS
CL
N
2
2030-09-01
Fixed
4.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-10-02
N/A
1.00000000
NC
USD
15646.54000000
0.001061491610
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
10569696.00000000
BRL
1890886.45000000
USD
2020-10-02
15646.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2020-10-29
N/A
1.00000000
NC
USD
-184766.93000000
-0.01253494677
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
16979556.50000000
UAH
599984.33000000
USD
2020-10-29
-184766.93000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-11-04
N/A
1.00000000
NC
-508125.83000000
-0.03447224150
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
6533626.17000000
USD
33980083.00000000
BRL
2020-11-04
-508125.83000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 8.875000% 05/29/2050
03846JX62
4440000.00000000
PA
USD
4393646.40000000
0.298073490517
Long
DBT
NUSS
EG
Y
2
2050-05-29
Fixed
8.87500000
N
N
N
N
N
N
Minejesa Capital B.V.
549300KS7ERCP10BKC35
MINEJESA CAPITAL BV 144A 5.625000% 08/10/2037
602736AB6
82000.00000000
PA
USD
84366.52000000
0.005723588293
Long
DBT
NUSS
ID
Y
2
2037-08-10
Fixed
5.62500000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 7.000000% 05/22/2027
N/A
1394000.00000000
PA
USD
1366817.00000000
0.092727515370
Long
DBT
NUSS
KE
N
2
2027-05-22
Fixed
7.00000000
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
573470.40000000
0.038905343824
Long
DBT
NUSS
BR
Y
2
2028-01-28
Fixed
6.75000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-10-07
N/A
1.00000000
NC
-42341.91000000
-0.00287255727
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
NEW RUSSIAN ROUBLE
N/A
2403676.87000000
USD
183328435.00000000
RUB
2020-10-07
-42341.91000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 5.875000% 04/18/2024
25714PBY3
71000.00000000
PA
USD
75118.00000000
0.005096150764
Long
DBT
NUSS
DO
Y
2
2024-04-18
Fixed
5.87500000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-437430.60000000
-0.02967614002
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
CZECH REPUBLIC KORUNA
N/A
15685751.87000000
USD
351737300.00000000
CZK
2020-12-16
-437430.60000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 2.950000% 05/05/2045
718286CH8
530000.00000000
PA
USD
560458.24000000
0.038022573661
Long
DBT
NUSS
PH
N
2
2045-05-05
Fixed
2.95000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVT INTL BOND 1.875000% 12/03/2022
N/A
752000.00000000
PA
USD
774713.99000000
0.052558099156
Long
DBT
NUSS
CN
N
2
2022-12-03
Fixed
1.87500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.052900% 01/15/2032
03846JX21
547000.00000000
PA
USD
521017.50000000
0.035346837389
Long
DBT
NUSS
EG
Y
2
2032-01-15
Fixed
7.05290000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 3.750000% 04/16/2030
74727PBD2
4027000.00000000
PA
USD
4665649.98000000
0.316526740766
Long
DBT
NUSS
QA
Y
2
2030-04-16
Fixed
3.75000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
REPUBLIC OF ZAMBIA 5.375000% 09/20/2022
N/A
1053000.00000000
PA
USD
522020.02000000
0.035414850289
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/RUB SETTLE 2020-12-16
N/A
1.00000000
NC
USD
6173.27000000
0.000418806606
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
36239850.23000000
RUB
469378.86000000
USD
2020-12-16
6173.27000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.9865%
N/A
14396202.00000000
NC
-213576.96000000
-0.01448947506
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-03-25
0.00000000
PLN
0.00000000
PLN
-14396202.00000000
PLN
-213576.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
8305.57000000
0.000563465972
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
480361.00000000
EUR
571628.24000000
USD
2020-10-05
8305.57000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.150000% 11/20/2059
03846JX39
485000.00000000
PA
USD
451050.00000000
0.030600106530
Long
DBT
NUSS
EG
Y
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
1731000.00000000
PA
443736.67000000
0.030103956043
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2022
N/A
566000.00000000
PA
USD
579442.50000000
0.039310502667
Long
DBT
NUSS
UA
N
2
2022-09-01
Fixed
7.75000000
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
2565780.00000000
0.174067489932
Long
DBT
NUSS
BR
N
2
2049-03-19
Fixed
6.90000000
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
973220.29000000
0.066025151428
Long
DBT
NUSS
TR
Y
2
2023-10-24
Fixed
5.37500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 4.850000% 09/30/2029
836205BA1
1508000.00000000
PA
USD
1436828.43000000
0.097477226525
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.350000% 08/10/2024
900123CV0
294000.00000000
PA
USD
292885.74000000
0.019869936471
Long
DBT
NUSS
TR
N
2
2024-08-10
Fixed
6.35000000
N
N
N
N
N
N
NEON CAPITAL LIMITED
N/A
NEON CAPITAL LTD/KY MTN VARIABLE RATE 01/06/2028
N/A
306529263.00000000
PA
2167751.25000000
0.147064447803
Long
DBT
NUSS
KY
N
2
2028-01-06
Floating
0.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.070000% 09/30/2026
N/A
6500000.00000000
PA
1705576.63000000
0.115709625483
Long
DBT
NUSS
MY
N
2
2026-09-30
Fixed
4.07000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 10.500000% 08/11/2027
N/A
24058876.00000000
PA
2801193.09000000
0.190038370395
Long
DBT
NUSS
TR
N
2
2027-08-11
Fixed
10.50000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 6.375000% 03/29/2021
445545AE6
2228000.00000000
PA
USD
2290504.31000000
0.155392253397
Long
DBT
NUSS
HU
N
2
2021-03-29
Fixed
6.37500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND 144A 4.350000% 01/08/2027
455780BX3
206000.00000000
PA
USD
236044.05000000
0.016013686012
Long
DBT
NUSS
ID
Y
2
2027-01-08
Fixed
4.35000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.250000% 04/25/2022
N/A
13055000.00000000
PA
3492726.57000000
0.236953342477
Long
DBT
NUSS
PL
N
2
2022-04-25
Fixed
2.25000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 12/07/2023
N/A
3082000.00000000
PA
153146.81000000
0.010389776523
Long
DBT
NUSS
MX
N
2
2023-12-07
Fixed
8.00000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 3.875000% 04/16/2050
N/A
460000.00000000
PA
USD
561200.00000000
0.038072896097
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 04/03/2049
N/A
1338000.00000000
PA
1910753.34000000
0.129629211301
Long
DBT
NUSS
RO
Y
2
2049-04-03
Fixed
4.62500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 5.875000% 07/25/2022
85227SAK2
308000.00000000
PA
USD
244860.00000000
0.016611777153
Long
DBT
NUSS
LK
Y
2
2022-07-25
Fixed
5.87500000
N
N
N
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 6.375000% 03/24/2021
N/A
1181000.00000000
PA
USD
1211162.74000000
0.082167628577
Long
DBT
NUSS
HR
N
2
2021-03-24
Fixed
6.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH CZK - PRIBOR
N/A
155000000.00000000
NC
138164.85000000
0.009373371308
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-18
0.00000000
CZK
0.00000000
CZK
-155000000.00000000
CZK
138164.85000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.200000% 08/12/2026
715638AY8
4697000.00000000
PA
1734383.19000000
0.117663918365
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-12-03
N/A
1.00000000
NC
USD
377847.39000000
0.025633899537
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
14252000.00000000
EUR
17110195.84000000
USD
2020-12-03
377847.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-07
N/A
1.00000000
NC
USD
17942.00000000
0.001217220067
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
32021946.00000000
RUB
430395.97000000
USD
2020-10-07
17942.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-10-21
N/A
1.00000000
NC
USD
9607.47000000
0.000651789392
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
3872000.00000000
PEN
1086572.19000000
USD
2020-10-21
9607.47000000
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
1102860.00000000
0.074820160710
Long
DBT
NUSS
LK
Y
2
2026-07-18
Fixed
6.82500000
N
N
N
N
N
N
TENGIZCHEVROIL FINANCE COMPANY INTERNATIONAL LTD.
5493001VEV2XTJIBZH31
TENGIZCHEVROIL FINANCE CO INTERNATIONAL LTD 144A 2.625000% 08/15/2025
88034QAB3
1990000.00000000
PA
USD
1997960.00000000
0.135545480199
Long
DBT
NUSS
KZ
Y
2
2025-08-15
Fixed
2.62500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.000000% 06/15/2045
195325CU7
2530000.00000000
PA
USD
2947450.00000000
0.199960722743
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 01/28/2050
N/A
471000.00000000
PA
563043.75000000
0.038197979672
Long
DBT
NUSS
RO
Y
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 04/20/2023
N/A
13915000.00000000
PA
3492250.58000000
0.236921050392
Long
DBT
NUSS
MY
N
2
2023-04-20
Fixed
3.75700000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 8.250000% 02/28/2048
N/A
1793000.00000000
PA
USD
1717694.00000000
0.116531691357
Long
DBT
NUSS
KE
N
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 5.000000% 02/12/2029
N/A
8095000.00000000
PA
2155894.58000000
0.146260068322
Long
DBT
NUSS
RO
N
2
2029-02-12
Fixed
5.00000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.817000% 03/14/2049
N/A
3737000.00000000
PA
USD
5031683.65000000
0.341359174633
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 5.625000% 09/30/2031
05675M2A1
717000.00000000
PA
USD
698757.71000000
0.047405077851
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 6.500000% 02/28/2041
N/A
16423000.00000000
PA
612881.70000000
0.041579082830
Long
DBT
NUSS
ZA
N
2
2041-02-28
Fixed
6.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.625000% 04/16/2030
N/A
244000.00000000
PA
258586.72000000
0.017543024452
Long
DBT
NUSS
EG
Y
2
2030-04-16
Fixed
5.62500000
N
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
Venezuela Government International Bond Maturity:09/15/2027
922646AS3
2300000.00000000
PA
USD
172500.00000000
0.011702734456
Long
DBT
NUSS
VE
N
2
2027-09-15
Fixed
9.25000000
Y
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2021-01-05
N/A
1.00000000
NC
-189870.00000000
-0.01288114893
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
5822516.78000000
USD
31828788.00000000
BRL
2021-01-05
-189870.00000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-59786.48000000
-0.00405603072
N/A
DFE
CL
N
2
JP MORGAN
N/A
CHILEAN PESO
N/A
2936435.98000000
USD
2263404853.00000000
CLP
2020-12-16
-59786.48000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.125000% 02/17/2028
900123CP3
242000.00000000
PA
USD
220099.00000000
0.014931942904
Long
DBT
NUSS
TR
N
2
2028-02-17
Fixed
5.12500000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-185623.13000000
-0.01259303303
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
NEW RUSSIAN ROUBLE
N/A
5439028.09000000
USD
411011035.86000000
RUB
2020-12-16
-185623.13000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
64267.21000000
0.004360012132
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
1212069.38000000
USD
21373252.00000000
ZAR
2020-11-06
64267.21000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH HUF - BUBOR
N/A
1390000000.00000000
NC
-22977.43000000
-0.00155883340
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-09-21
0.00000000
HUF
0.00000000
HUF
-1390000000.00000000
HUF
-22977.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-11-19
N/A
1.00000000
NC
USD
-113487.01000000
-0.00769917879
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
26495381.00000000
EGP
1555075.77000000
USD
2020-11-19
-113487.01000000
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 5.875000% 05/28/2045
279158AJ8
420000.00000000
PA
USD
457800.00000000
0.031058039618
Long
DBT
NUSS
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 16.000000% 08/11/2021
N/A
148624000.00000000
PA
5491937.92000000
0.372583716686
Long
DBT
NUSS
UA
N
2
2021-08-11
Fixed
16.00000000
N
N
N
N
N
N
THE THIRD PAKISTAN INTERNATIONAL SUKUK COMPANY LIMITED
529900OMZDJ2H3CXKF72
THIRD PAKISTAN INTERNATIONAL SUKUK CO LTD/THE 5.500000% 10/13/2021
QZ8096401
1201000.00000000
PA
USD
1197493.08000000
0.081240252339
Long
DBT
NUSS
PK
N
2
2021-10-13
Fixed
5.50000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 2.500000% 04/16/2025
29135LAG5
3135000.00000000
PA
USD
3326109.60000000
0.225649724182
Long
DBT
NUSS
AE
Y
2
2025-04-16
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2021-01-28
N/A
1.00000000
NC
USD
-64663.52000000
-0.00438689857
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
547259622.00000000
NGN
1294523.06000000
USD
2021-01-28
-64663.52000000
N
N
N
Republica de Mocambique
N/A
MOZAMBIQUE INTERNATIONAL BOND 144A 5.000000% 09/15/2031
N/A
3120000.00000000
PA
USD
2526633.97000000
0.171411747358
Long
DBT
NUSS
MZ
Y
2
2031-09-15
Fixed
5.00000000
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
2488031.86000000
0.168792905370
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GHS SETTLE 2021-02-17
N/A
1.00000000
NC
USD
-3841.50000000
-0.00026061480
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
999851.08000000
GHS
161526.83000000
USD
2021-02-17
-3841.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-11-20
N/A
1.00000000
NC
USD
-1799.25000000
-0.00012206460
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
2094100.00000000
MXN
92533.59000000
USD
2020-11-20
-1799.25000000
N
N
N
AES PANAMA GENERATION HOLDINGS, S.R.L.
N/A
AES PANAMA GENERATION HOLDINGS SRL 144A 4.375000% 05/31/2030
00109AAB3
984000.00000000
PA
USD
1009830.00000000
0.068508825136
Long
DBT
NUSS
PA
Y
2
2030-05-31
Fixed
4.37500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.875000% 03/26/2027
N/A
72000.00000000
PA
USD
68310.72000000
0.004634331690
Long
DBT
NUSS
GH
N
2
2027-03-26
Fixed
7.87500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
10682.84000000
0.000724744578
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
1622271.30000000
USD
27345091.00000000
ZAR
2020-11-06
10682.84000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-368220.31000000
-0.02498077976
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
MEXICAN PESO
N/A
10932749.22000000
USD
235215912.96000000
MXN
2020-12-16
-368220.31000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.100000% 10/16/2024
N/A
139464000.00000000
PA
1924805.83000000
0.130582559469
Long
DBT
NUSS
RU
N
2
2024-10-16
Fixed
7.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
9614.90000000
0.000652293458
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
425981.00000000
EUR
509165.76000000
USD
2020-10-05
9614.90000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.470000% 11/12/2026
N/A
175079400.00000000
PA
6257438.44000000
0.424516756175
Long
DBT
NUSS
MX
N
2
2026-11-12
Fixed
7.47000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.400000% 12/17/2023
N/A
88000000.00000000
PA
2925776.12000000
0.198490324701
Long
DBT
NUSS
TH
N
2
2023-12-17
Fixed
2.40000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 9.000000% 03/15/2029
N/A
42750000000.00000000
PA
3235841.73000000
0.219525776863
Long
DBT
NUSS
ID
N
2
2029-03-15
Fixed
9.00000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 9.000000% 01/31/2040
N/A
54699175.00000000
PA
2624982.12000000
0.178083876539
Long
DBT
NUSS
ZA
N
2
2040-01-31
Fixed
9.00000000
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
179019.00000000
0.012144996055
Long
DBT
NUSS
RU
Y
2
2025-11-22
Fixed
6.80000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-11-06
N/A
1.00000000
NC
67239.35000000
0.004561647872
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
MEXICAN PESO
N/A
6585053.54000000
USD
147440409.00000000
MXN
2020-11-06
67239.35000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-12-16
N/A
1.00000000
NC
19270.23000000
0.001307329765
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
INDONESIA RUPIAH
N/A
2435757.20000000
USD
36938257864.00000000
IDR
2020-12-16
19270.23000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-12-15
N/A
1.00000000
NC
-110.93000000
-0.00000752570
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
86690.94000000
USD
73716.22000000
EUR
2020-12-15
-110.93000000
N
N
N
TENCENT HOLDINGS LIMITED
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD MTN 3.240000% 06/03/2050
88032WAV8
450000.00000000
PA
USD
457129.91000000
0.031012579413
Long
DBT
NUSS
CN
Y
2
2050-06-03
Fixed
3.24000000
N
N
N
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 5.710000% 11/15/2023
74445PAB8
618000.00000000
PA
USD
686032.50000000
0.046541774932
Long
DBT
NUSS
ID
Y
2
2023-11-15
Fixed
5.71000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.369000% 10/31/2028
N/A
1200000.00000000
PA
324210.20000000
0.021995048571
Long
DBT
NUSS
MY
N
2
2028-10-31
Fixed
4.36900000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2020-11-10
N/A
1.00000000
NC
-134.88000000
-0.00000915052
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
16486780.47000000
CZK
608489.37000000
EUR
2020-11-10
-134.88000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 8.700200% 03/01/2049
N/A
800000.00000000
PA
USD
778528.00000000
0.052816848990
Long
DBT
NUSS
EG
N
2
2049-03-01
Fixed
8.70020000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.392000% 04/15/2026
N/A
3480000.00000000
PA
923427.42000000
0.062647106585
Long
DBT
NUSS
MY
N
2
2026-04-15
Fixed
4.39200000
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
626532.00000000
0.042505145648
Long
DBT
NUSS
KE
Y
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2020-10-21
N/A
1.00000000
NC
2937.32000000
0.000199273483
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
INDIA RUPEE
N/A
2689911.47000000
USD
198690311.00000000
INR
2020-10-21
2937.32000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH PLN - WIBOR
N/A
7000000.00000000
NC
40217.32000000
0.002728420965
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-12
0.00000000
PLN
0.00000000
PLN
-7000000.00000000
PLN
40217.32000000
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 2.700000% 09/02/2070
29135LAN0
2830000.00000000
PA
USD
2734487.50000000
0.185512933835
Long
DBT
NUSS
AE
Y
2
2070-09-02
Fixed
2.70000000
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
227489.45000000
0.015433325362
Long
DBT
NUSS
CN
N
2
2169-03-11
Fixed
4.10000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2020-11-10
N/A
1.00000000
NC
-37978.18000000
-0.00257651336
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
CZECH REPUBLIC KORUNA
N/A
1049668.60000000
EUR
27558245.00000000
CZK
2020-11-10
-37978.18000000
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 3.500000% 04/21/2030
716743AP4
2200000.00000000
PA
USD
2458670.72000000
0.166800988705
Long
DBT
NUSS
MY
Y
2
2030-04-21
Fixed
3.50000000
N
N
N
N
N
N
URUGUAY PESO
N/A
FX Forward Contract: UYU/USD SETTLE 2020-12-07
N/A
1.00000000
NC
-17135.47000000
-0.00116250350
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
URUGUAY PESO
N/A
337668.90000000
USD
13787021.00000000
UYU
2020-12-07
-17135.47000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-10-02
N/A
1.00000000
NC
-99371.25000000
-0.00674153826
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
1208546.88000000
USD
6251813.00000000
BRL
2020-10-02
-99371.25000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND 144A 5.250000% 01/08/2047
455780BY1
170000.00000000
PA
USD
219946.62000000
0.014921605150
Long
DBT
NUSS
ID
Y
2
2047-01-08
Fixed
5.25000000
N
N
N
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT 7.000000% 04/04/2044
P3699PGH4
1208000.00000000
PA
USD
1092636.00000000
0.074126544727
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/RON SETTLE 2020-12-09
N/A
1.00000000
NC
-880.10000000
-0.00005970769
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
2423235.25000000
RON
493545.03000000
EUR
2020-12-09
-880.10000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
REPUBLIC OF KOREA 1.000000% 09/16/2030
50064FAS3
1948000.00000000
PA
USD
1920953.42000000
0.130321204505
Long
DBT
NUSS
KR
N
2
2030-09-16
Fixed
1.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3-MONTH ZAR - JIBAR
N/A
10000000.00000000
NC
-10684.52000000
-0.00072485855
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-07-18
0.00000000
ZAR
0.00000000
ZAR
-10000000.00000000
ZAR
-10684.52000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 5.750000% 01/20/2042
74727PAR2
574000.00000000
PA
USD
846328.56000000
0.057416570437
Long
DBT
NUSS
QA
Y
2
2042-01-20
Fixed
5.75000000
N
N
N
N
N
N
BRK: JP MORGAN CHASE BANK
N/A
BRK: JP MORGAN CHASE BANK PAY:28D MEXICAN INTERBANK RATE(TIIE)
N/A
95833127.00000000
NC
3170.02000000
0.000215060303
N/A
DIR
XX
N
2
BRK: JP MORGAN CHASE BANK
N/A
Y
2024-06-19
0.00000000
MXN
0.00000000
MXN
-95833127.00000000
MXN
3170.02000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.750000% 01/17/2048
N/A
7649000.00000000
PA
USD
6316911.35000000
0.428551513700
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
NETWORK I2I LIMITED
2549003L8M1FGHLHOX45
NETWORK I2I LTD 144A 5.650000% MATURITY: PERPETUAL
64132NAA4
275000.00000000
PA
USD
275000.00000000
0.018656533191
Long
DBT
NUSS
IN
Y
2
2169-04-15
Fixed
5.65000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-8754.01000000
-0.00059388901
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
1010735.91000000
USD
854418.00000000
EUR
2020-10-05
-8754.01000000
N
N
N
NWD (MTN) LIMITED
254900STSWBVJ5FV9O74
NWD MTN LTD 4.125000% 07/18/2029
N/A
757000.00000000
PA
USD
769379.78000000
0.052196216008
Long
DBT
NUSS
HK
N
2
2029-07-18
Fixed
4.12500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 16.200000% 06/14/2023
N/A
11583951.00000000
PA
1605843.56000000
0.108943540644
Long
DBT
NUSS
TR
N
2
2023-06-14
Fixed
16.20000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.250000% 01/17/2042
Y20721BB4
3200000.00000000
PA
USD
4045602.14000000
0.274461493103
Long
DBT
NUSS
ID
N
2
2042-01-17
Fixed
5.25000000
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
-33284.27000000
-0.00225806941
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-03-12
0.00000000
COP
0.00000000
COP
-1338005800.00000000
COP
-33284.27000000
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT 7.158000% 03/12/2045
P3699PGJ0
4422000.00000000
PA
USD
4026231.00000000
0.273147317407
Long
DBT
NUSS
CR
N
2
2045-03-12
Fixed
7.15800000
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
498120.00000000
0.033793426593
Long
DBT
NUSS
GH
Y
2
2049-06-16
Fixed
8.62700000
N
N
N
N
N
N
Republic of Trinidad and Tobago
HYBZ5SXKW67ICKUUWH81
TRINIDAD & TOBAGO 4.375000% 01/16/2024
P93960AF2
1287000.00000000
PA
USD
1306305.00000000
0.088622263965
Long
DBT
NUSS
TT
N
2
2024-01-16
Fixed
4.37500000
N
N
N
N
N
N
EMGESA S.A. ESP.
2549007VY3IWUVGW7A82
EMGESA SA ESP 8.750000% 01/25/2021
N/A
870000000.00000000
PA
228644.77000000
0.015511704510
Long
DBT
NUSS
CO
N
2
2021-01-25
Fixed
8.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.480000% 03/15/2023
N/A
5870000.00000000
PA
1462096.86000000
0.099191485808
Long
DBT
NUSS
MY
N
2
2023-03-15
Fixed
3.48000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA REPUBLIC 7.25% 9/28/2021
N/A
437000.00000000
PA
USD
462428.16000000
0.031372022965
Long
DBT
NUSS
RS
N
2
2021-09-28
Fixed
7.25000000
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
05970AAB8
1015000.00000000
PA
USD
1012472.65000000
0.068688107636
Long
DBT
NUSS
MX
Y
2
2026-08-11
Fixed
3.80000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.625000% 01/07/2041
105756BR0
360000.00000000
PA
USD
389883.60000000
0.026450459360
Long
DBT
NUSS
BR
N
2
2041-01-07
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2021-01-27
N/A
1.00000000
NC
USD
-37667.89000000
-0.00255546269
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
10929426.10000000
EGP
637098.58000000
USD
2021-01-27
-37667.89000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.125000% 03/26/2032
37443GAB7
1163000.00000000
PA
USD
1017157.47000000
0.069005934908
Long
DBT
NUSS
GH
Y
2
2032-03-26
Fixed
8.12500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.253000% 03/15/2033
903724BY7
1568000.00000000
PA
USD
1440678.40000000
0.097738415954
Long
DBT
NUSS
UA
Y
2
2033-03-15
Fixed
7.25300000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS MINISTRY OF FINANCE 144A 5.875000% 02/24/2026
07737JAE3
410000.00000000
PA
USD
379430.40000000
0.025741294004
Long
DBT
NUSS
BY
Y
2
2026-02-24
Fixed
5.87500000
N
N
N
N
N
N
BRK: JPMORGAN CHASE
N/A
BRK: JPMORGAN CHASE PAY: 1D COLOMBIA OVERBIGHT INTERBANK REF RATE.
N/A
12743637675.00000000
NC
13229.76000000
0.000897532569
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE
N/A
Y
2022-09-02
0.00000000
COP
0.00000000
COP
-12743637675.00000000
COP
13229.76000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2031
N/A
6682000.00000000
PA
1372653.13000000
0.093123449745
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
10.00000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD.
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 144A 6.875000% 03/01/2026
335934AR6
403000.00000000
PA
USD
388391.25000000
0.026349215442
Long
DBT
NUSS
ZM
Y
2
2026-03-01
Fixed
6.87500000
N
N
N
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
803861.90000000
0.054535549885
Long
DBT
NUSS
KZ
Y
2
2025-04-24
Fixed
4.75000000
N
N
N
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
TULLOW OIL PLC 144A 7.000000% 03/01/2025
899415AE3
783000.00000000
PA
USD
364095.00000000
0.024700910735
Long
DBT
NUSS
GH
Y
2
2025-03-01
Fixed
7.00000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 2.750000% 02/03/2032
80413TAQ2
727000.00000000
PA
USD
756138.16000000
0.051297878833
Long
DBT
NUSS
SA
Y
2
2032-02-03
Fixed
2.75000000
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
698600.00000000
0.047394378499
Long
DBT
NUSS
BR
Y
2
2025-01-31
Fixed
7.00000000
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
1074100.91000000
0.072869088284
Long
DBT
NUSS
KR
N
2
2024-06-19
Fixed
2.00000000
N
N
N
N
N
N
Banco Santander (Mexico) S.A., Institucion de Banca Multiple, Grupo Financiero Santander Mexico
SCRYQ25DTVRHYYMM6P89
BANCO SANTANDER MEXICO SA INSTITUCION DE BANCA MUL 5.375000% 04/17/2025
05969BAD5
414000.00000000
PA
USD
460782.00000000
0.031260344279
Long
DBT
NUSS
MX
Y
2
2025-04-17
Fixed
5.37500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 9.850000% 06/28/2027
N/A
5060000000.00000000
PA
1685021.29000000
0.114315111363
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
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
4625967.00000000
NC
19973.68000000
0.001355053177
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
19973.68000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.750000% 04/18/2028
Y8137FAL2
746000.00000000
PA
USD
503550.00000000
0.034161808321
Long
DBT
NUSS
LK
Y
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.750000% 03/16/2025
698299BE3
2016000.00000000
PA
USD
2200484.16000000
0.149285111883
Long
DBT
NUSS
PA
N
2
2025-03-16
Fixed
3.75000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.950000% 05/15/2030
N/A
61080000.00000000
PA
2667501.31000000
0.180968460828
Long
DBT
NUSS
CZ
N
2
2030-05-15
Fixed
0.95000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS REF: TIIE 28D MXN
N/A
6143793.00000000
NC
-2119.88000000
-0.00014381676
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-07-25
0.00000000
MXN
0.00000000
MXN
-6143793.00000000
MXN
-2119.88000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
142065000000.00000000
PA
10243382.96000000
0.694930960669
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
N
N
N
N
N
N
Financiera de Desarrollo Territorial S.A.
54930036EU95I2CWYJ76
FINDETER 7.875000% 08/12/2024
P40420AA2
884000000.00000000
PA
249106.79000000
0.016899887621
Long
DBT
NUSS
CO
N
2
2024-08-12
Fixed
7.87500000
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 4.250000% 04/16/2039
80414L2E4
1597000.00000000
PA
USD
1835729.09000000
0.124539420719
Long
DBT
NUSS
SA
Y
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 4.550000% 04/21/2050
716743AR0
563000.00000000
PA
USD
715241.04000000
0.048523338918
Long
DBT
NUSS
MY
Y
2
2050-04-21
Fixed
4.55000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2020-11-03
N/A
1.00000000
NC
-59768.74000000
-0.00405482720
N/A
DFE
HU
N
2
JP MORGAN
N/A
HUNGARIAN FORINT
N/A
2124836.67000000
EUR
753668943.00000000
HUF
2020-11-03
-59768.74000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2020-11-27
N/A
1.00000000
NC
120522.04000000
0.008176448871
N/A
DFE
CN
N
2
CITIGROUP GLOBAL MARKETS
N/A
CHINESE YUAN RENMINBI
N/A
6395685.98000000
USD
44392725.00000000
CNY
2020-11-27
120522.04000000
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 5.750000% 04/19/2047
48667QAP0
2247000.00000000
PA
USD
2662065.84000000
0.180599708004
Long
DBT
NUSS
KZ
Y
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
16624088.00000000
NC
38452.29000000
0.002608677907
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-12-08
0.00000000
MXN
0.00000000
MXN
-16624088.00000000
MXN
38452.29000000
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BNQ CEN TUNISIA INT BOND 8.250000% 09/19/2027
066716AB7
337000.00000000
PA
USD
316435.08000000
0.021467569355
Long
DBT
NUSS
TN
N
2
2027-09-19
Fixed
8.25000000
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
285600.00000000
0.019375657743
Long
DBT
NUSS
ZA
N
2
2046-10-12
Fixed
5.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 05/04/2022
N/A
10083500000.00000000
PA
2798251.63000000
0.189838816045
Long
DBT
NUSS
CO
N
2
2022-05-04
Fixed
7.00000000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 4.500000% 09/16/2025
21987BAV0
735000.00000000
PA
USD
828259.73000000
0.056190745977
Long
DBT
NUSS
CL
Y
2
2025-09-16
Fixed
4.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY COP - COLUMBIA IBR OVERNIGHT INTERBANK
N/A
29005671078.00000000
NC
221142.50000000
0.015002735968
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-19
0.00000000
COP
0.00000000
COP
-29005671078.00000000
COP
221142.50000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 03/26/2027
37443GAA9
1357000.00000000
PA
USD
1287467.32000000
0.087344279229
Long
DBT
NUSS
GH
Y
2
2027-03-26
Fixed
7.87500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
19783000.00000000
PA
5134629.92000000
0.348343249190
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 8.700200% 03/01/2049
03846JW89
816000.00000000
PA
USD
794098.56000000
0.053873185970
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70020000
N
N
N
N
N
N
Sands China Ltd.
549300EVO6UZDGY05787
SANDS CHINA LTD 5.400000% 08/08/2028
80007RAE5
635000.00000000
PA
USD
706386.70000000
0.047922643325
Long
DBT
NUSS
MO
N
2
2028-08-08
Fixed
5.40000000
N
N
N
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 2.252000% 09/29/2032
698299BN3
1719000.00000000
PA
USD
1731892.50000000
0.117494945127
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25200000
N
N
N
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT 6.125000% 02/19/2031
P3699PGK7
1362000.00000000
PA
USD
1280280.00000000
0.086856677505
Long
DBT
NUSS
CR
N
2
2031-02-19
Fixed
6.12500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 5.850000% 04/26/2023
N/A
7190000.00000000
PA
1842389.93000000
0.124991305019
Long
DBT
NUSS
RO
N
2
2023-04-26
Fixed
5.85000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 10.500000% 12/21/2026
N/A
192763542.00000000
PA
13373609.69000000
0.907291611158
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH HUF - BUBOR
N/A
1537321547.00000000
NC
-12555.95000000
-0.00085181999
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-10
0.00000000
HUF
0.00000000
HUF
-1537321547.00000000
HUF
-12555.95000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 5.000000% 04/17/2049
N/A
803000.00000000
PA
USD
1038198.70000000
0.070433412747
Long
DBT
NUSS
SA
N
2
2049-04-17
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GHS SETTLE 2021-02-17
N/A
1.00000000
NC
USD
-6101.37000000
-0.00041392877
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1988405.31000000
GHS
322766.87000000
USD
2021-02-17
-6101.37000000
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 7.000000% 03/16/2047
86964WAB8
399000.00000000
PA
USD
472200.54000000
0.032035000172
Long
DBT
NUSS
BR
Y
2
2047-03-16
Fixed
7.00000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-10-07
N/A
1.00000000
NC
-51931.81000000
-0.00352315467
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
NEW RUSSIAN ROUBLE
N/A
2639303.05000000
USD
200877355.00000000
RUB
2020-10-07
-51931.81000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 7.750000% 02/28/2023
N/A
5181000.00000000
PA
332727.05000000
0.022572848188
Long
DBT
NUSS
ZA
N
2
2023-02-28
Fixed
7.75000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 4.875000% 02/01/2025
68205LAA1
917000.00000000
PA
USD
883604.69000000
0.059945455370
Long
DBT
NUSS
OM
Y
2
2025-02-01
Fixed
4.87500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.400000% 05/26/2023
N/A
1555000.00000000
PA
USD
246312.00000000
0.016710283648
Long
DBT
NUSS
LB
N
2
2023-05-26
Fixed
6.40000000
Y
N
N
N
N
N
N/A
N/A
R186 BOND FUTURE NOV20 FINANCIAL COMMODITY FUTURE.
N/A
1511.00000000
NC
10849282.56000000
0.736036364298
N/A
DIR
ZA
N
1
R186 BOND FUTURE NOV20
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R186 Bond Future Nov 2020
2020-11-08
10664176.34000000
ZAR
185106.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2020-10-13
N/A
1.00000000
NC
USD
-5947.48000000
-0.00040348857
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
10191233.00000000
MYR
2447756.21000000
USD
2020-10-13
-5947.48000000
N
N
N
BRK: J.P. MORGAN CHASE
N/A
FX Swap: USD/TRY SETTLE 2025-12-07
N/A
1.00000000
NC
USD
163246.68000000
0.011074971286
N/A
DIR
US
N
3
BRK: J.P. MORGAN CHASE
N/A
Y
2025-12-07
0.00000000
TRY
0.00000000
USD
0.00000000
TRY
163246.68000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2036
N/A
72516000000.00000000
PA
5147758.79000000
0.349233937186
Long
DBT
NUSS
ID
N
2
2036-05-15
Fixed
8.25000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.200000% 05/11/2027
Y8137FAH1
1186000.00000000
PA
USD
800550.00000000
0.054310864168
Long
DBT
NUSS
LK
N
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
BRK : MORGAN STANLEY & CO INTERNATIONAL
N/A
BRK : MORGAN STANLEY & CO INTERNATIONAL PAY : 1D FBIL OVERNIGHT MUMBAI INTERBANK SWAP
N/A
204000000.00000000
NC
-21088.48000000
-0.00143068337
N/A
DIR
XX
N
2
BRK : MORGAN STANLEY & CO INTERNATIONAL
N/A
Y
2025-08-14
0.00000000
INR
0.00000000
INR
-204000000.00000000
INR
-21088.48000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.550000% 03/14/2037
715638AU6
309000.00000000
PA
USD
466979.34000000
0.031680783841
Long
DBT
NUSS
PE
N
2
2037-03-14
Fixed
6.55000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BNQ CEN TUNISIA INT BOND 5.625000% 02/17/2024
N/A
1650000.00000000
PA
1746871.25000000
0.118511132569
Long
DBT
NUSS
TN
N
2
2024-02-17
Fixed
5.62500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
23145437.00000000
NC
59950.65000000
0.004067168332
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-05-21
0.00000000
MXN
0.00000000
MXN
-23145437.00000000
MXN
59950.65000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 7.550000% 03/28/2030
Y8137FAR9
1689000.00000000
PA
USD
1140075.00000000
0.077344898465
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/BRL SETTLE 2020-11-04
N/A
1.00000000
NC
USD
-7019.64000000
-0.00047622598
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
9411458.00000000
BRL
1661862.20000000
USD
2020-11-04
-7019.64000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.680000% 05/21/2030
N/A
36100000.00000000
PA
5095059.73000000
0.345658730778
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
2.68000000
N
N
N
N
N
N
Republika e Shqiperise
254900EDM43U3SGRND29
REPUBLIC OF ALBANIA 3.500000% 10/09/2025
N/A
403000.00000000
PA
483845.74000000
0.032825033119
Long
DBT
NUSS
AL
N
2
2025-10-09
Fixed
3.50000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 3.875000% 04/16/2050
29135LAJ9
201000.00000000
PA
USD
245220.00000000
0.016636200251
Long
DBT
NUSS
AE
Y
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
DP World PLC
549300M3U2DNF4QVSS04
DP WORLD PLC MTN 4.700000% 09/30/2049
23330JAC5
134000.00000000
PA
USD
135340.00000000
0.009181728007
Long
DBT
NUSS
AE
Y
2
2049-09-30
Fixed
4.70000000
N
N
N
N
N
N
TURKIYE CUMHURIYETI ZIRAAT BANKASI ANONIM SIRKETI
213800K5KTZFSUS8MR51
TC ZIRAAT BANKASI AS MTN 4.750000% 04/29/2021
90014TAB7
311000.00000000
PA
USD
309375.96000000
0.020988664968
Long
DBT
NUSS
TR
Y
2
2021-04-29
Fixed
4.75000000
N
N
N
N
N
N
BANK LEUMI LE ISRAEL B.M.
7JDSZWRGUQY2DSTWCR57
BANK LEUMI LE-ISRAEL BM 144A 3.275000% 01/29/2031
06326BAA7
431000.00000000
PA
USD
432810.20000000
0.029362683133
Long
DBT
CORP
IL
Y
2
2031-01-29
Fixed
3.27500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.906000% 07/15/2026
N/A
16152000.00000000
PA
4199041.91000000
0.284871144601
Long
DBT
NUSS
MY
N
2
2026-07-15
Fixed
3.90600000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
75955700.00000000
NC
89056.47000000
0.006041763594
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-09-12
0.00000000
MXN
0.00000000
MXN
-75955700.00000000
MXN
89056.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2020-10-30
N/A
1.00000000
NC
USD
-397969.46000000
-0.02699901978
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
34275904.72000000
UAH
1199968.66000000
USD
2020-10-30
-397969.46000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.875000% 03/17/2036
900123AY6
1757000.00000000
PA
USD
1644130.32000000
0.111540988675
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.87500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.150000% 01/26/2028
N/A
3980000.00000000
PA
999409.40000000
0.067801871428
Long
DBT
NUSS
RO
N
2
2028-01-26
Fixed
4.15000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.500000% 01/23/2029
71654QCP5
423000.00000000
PA
USD
380150.10000000
0.025790119848
Long
DBT
NUSS
MX
N
2
2029-01-23
Fixed
6.50000000
N
N
N
N
N
N
Republic of Trinidad and Tobago
HYBZ5SXKW67ICKUUWH81
TRINIDAD & TOBAGO GOVERNMENT INTERNATIONAL BOND 14 4.500000% 06/26/2030
896292AK5
1026000.00000000
PA
USD
1007019.00000000
0.068318121446
Long
DBT
NUSS
TT
Y
2
2030-06-26
Fixed
4.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 9.750000% 11/01/2028
903724BV3
375000.00000000
PA
USD
405000.00000000
0.027475985245
Long
DBT
NUSS
UA
Y
2
2028-11-01
Fixed
9.75000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 6.125000% 06/01/2050
P5015VAJ5
962000.00000000
PA
USD
1147185.00000000
0.077827254650
Long
DBT
NUSS
GT
N
2
2050-06-01
Fixed
6.12500000
N
N
N
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP PAY: 5.0975%
N/A
76447360.00000000
NC
-30990.78000000
-0.00210247460
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2025-02-26
0.00000000
INR
0.00000000
INR
-76447360.00000000
INR
-30990.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-12-02
N/A
1.00000000
NC
USD
70616.52000000
0.004790761633
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
6383389.00000000
BRL
1201466.03000000
USD
2020-12-02
70616.52000000
N
N
N
Independent State of Papua New Guinea
254900NKI6OC90ZW9W36
PAPUA NEW GUINEA GOVERNMENT INTERNATIONAL BOND 144 8.375000% 10/04/2028
69888UAB1
2882000.00000000
PA
USD
2884882.00000000
0.195715988312
Long
DBT
NUSS
PG
Y
2
2028-10-04
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
114313362.00000000
PA
5372499.39000000
0.364480775234
Long
DBT
NUSS
ZA
N
2
2037-01-31
Fixed
8.50000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-10-21
N/A
1.00000000
NC
-67170.81000000
-0.00455699798
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
1197530.86000000
USD
6372900.00000000
BRL
2020-10-21
-67170.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-11-06
N/A
1.00000000
NC
USD
-6042.02000000
-0.00040990235
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
42865350.00000000
ZAR
2553728.24000000
USD
2020-11-06
-6042.02000000
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 3.000000% 09/30/2029
21987BAZ1
442000.00000000
PA
USD
466871.34000000
0.031673456911
Long
DBT
NUSS
CL
Y
2
2029-09-30
Fixed
3.00000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
FX Swap: USD/TRY SETTLE 2025-10-07
N/A
1.00000000
NC
USD
68992.75000000
0.004680601928
N/A
DIR
US
N
3
BRK: J.P. MORGAN CHASE
N/A
Y
2025-10-07
0.00000000
TRY
0.00000000
USD
0.00000000
TRY
68992.75000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-2185.84000000
-0.00014829162
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
9428168.00000000
TRY
1195709.32000000
USD
2020-12-16
-2185.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-11-02
N/A
1.00000000
NC
USD
22483.58000000
0.001525329660
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
87754165400.00000000
IDR
5910963.59000000
USD
2020-11-02
22483.58000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
46500000.00000000
NC
8681.81000000
0.000588990823
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-03-17
0.00000000
MXN
0.00000000
MXN
-46500000.00000000
MXN
8681.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
-7544.50000000
-0.00051183350
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
818264.73000000
EUR
952040.21000000
USD
2020-10-05
-7544.50000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.000000% 01/27/2045
105756BW9
2078000.00000000
PA
USD
2093585.00000000
0.142032865604
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2026
N/A
29930000.00000000
PA
8481988.44000000
0.575434541304
Long
DBT
NUSS
PL
N
2
2026-07-25
Fixed
2.50000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-46543.46000000
-0.00315759856
N/A
DFE
CL
N
2
JP MORGAN
N/A
CHILEAN PESO
N/A
1655588.32000000
USD
1266028390.00000000
CLP
2020-12-16
-46543.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-12-15
N/A
1.00000000
NC
USD
229132.27000000
0.015544777456
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
15288900.00000000
EUR
18186008.95000000
USD
2020-12-15
229132.27000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/11/2025
N/A
457000.00000000
PA
521656.41000000
0.035390182282
Long
DBT
NUSS
EG
N
2
2025-04-11
Fixed
4.75000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.400000% 06/05/2049
P3579ECE5
959000.00000000
PA
USD
962356.50000000
0.065288130851
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
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
735806.25000000
0.049918522638
Long
DBT
NUSS
PA
Y
2
2049-05-02
Fixed
5.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2020-11-10
N/A
1.00000000
NC
77394.34000000
0.005250582083
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
47135479.00000000
CZK
1805946.12000000
EUR
2020-11-10
77394.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
-1840.73000000
-0.00012487869
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
209471.00000000
EUR
243807.36000000
USD
2020-10-05
-1840.73000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 8.125000% 05/21/2024
195325BD6
908000.00000000
PA
USD
1094140.00000000
0.074228579003
Long
DBT
NUSS
CO
N
2
2024-05-21
Fixed
8.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.935000% 09/30/2043
N/A
2200000.00000000
PA
608604.38000000
0.041288901148
Long
DBT
NUSS
MY
N
2
2043-09-30
Fixed
4.93500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.250000% 04/14/2026
900123CJ7
338000.00000000
PA
USD
304337.90000000
0.020646873209
Long
DBT
NUSS
TR
N
2
2026-04-14
Fixed
4.25000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.400000% 04/16/2050
N/A
317000.00000000
PA
USD
407883.90000000
0.027671634612
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 3.750000% 01/17/2022
AW7147597
159400000.00000000
PA
1627554.81000000
0.110416473939
Long
DBT
NUSS
RS
N
2
2022-01-17
Fixed
3.75000000
N
N
N
N
N
N
Inter-American Development Bank
VKU1UKDS9E7LYLMACP54
INTER-AMERICAN DEVELOPMENT BANK MTN 7.875000% 03/14/2023
N/A
50880000000.00000000
PA
3586561.29000000
0.243319271815
Long
DBT
NUSS
XX
N
2
2023-03-14
Fixed
7.87500000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2020-11-03
N/A
1.00000000
NC
-35837.72000000
-0.00243130040
N/A
DFE
HU
N
2
JP MORGAN
N/A
HUNGARIAN FORINT
N/A
2016513.60000000
EUR
721715865.00000000
HUF
2020-11-03
-35837.72000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 6.000000% 01/01/2043
N/A
1515000000.00000000
PA
2635823.47000000
0.178819374743
Long
DBT
NUSS
CL
N
2
2043-01-01
Fixed
6.00000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 5.375000% 04/24/2030
N/A
3678000.00000000
PA
USD
4293402.96000000
0.291272781188
Long
DBT
NUSS
KZ
N
2
2030-04-24
Fixed
5.37500000
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
1222095.24000000
0.082909310574
Long
DBT
NUSS
ZA
Y
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 6.500000% 06/09/2022
EJ0234298
12008000.00000000
PA
561824.76000000
0.038115281027
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
6.50000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 6.500000% 11/28/2027
65412JAC7
1129000.00000000
PA
USD
1074198.34000000
0.072875698124
Long
DBT
NUSS
NG
Y
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 4.000000% 01/15/2021
718286BK2
157000.00000000
PA
USD
158240.30000000
0.010735328760
Long
DBT
NUSS
PH
N
2
2021-01-15
Fixed
4.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 5.625000% 11/18/2050
715638BM3
758000.00000000
PA
USD
1207115.00000000
0.081893022047
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 3.500000% 01/11/2028
455780CD6
2300000.00000000
PA
USD
2513501.53000000
0.170520817166
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
KINGDOM OF JORDAN 7.375000% 10/10/2047
N/A
141000.00000000
PA
USD
139836.44000000
0.009486775215
Long
DBT
NUSS
JO
N
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
28209000.00000000
PA
7354161.99000000
0.498920608219
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
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
114082.50000000
0.007739577991
Long
DBT
NUSS
VE
N
2
2027-04-12
Fixed
5.37500000
Y
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.600000% 11/27/2026
N/A
2201000.00000000
PA
USD
346657.50000000
0.023517916926
Long
DBT
NUSS
LB
N
2
2026-11-27
Fixed
6.60000000
Y
N
N
N
N
N
BRK: GOLDMAN SACHS INTERNATIONAL
N/A
BRK: GOLDMAN SACHS INTERNATIONAL REC: .725%
N/A
598334068.00000000
NC
-49829.29000000
-0.00338051564
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS INTERNATIONAL
N/A
Y
2025-03-25
0.00000000
HUF
0.00000000
HUF
-598334068.00000000
HUF
-49829.29000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.150000% 02/03/2027
EJ0370613
827610000.00000000
PA
12036400.65000000
0.816572757200
Long
DBT
NUSS
RU
N
2
2027-02-03
Fixed
8.15000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-07
N/A
1.00000000
NC
USD
73214.56000000
0.004967017704
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
89886191.00000000
RUB
1230980.43000000
USD
2020-10-07
73214.56000000
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-10-07
N/A
1.00000000
NC
-58041.34000000
-0.00393763704
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
NEW RUSSIAN ROUBLE
N/A
1277401.35000000
USD
94668214.00000000
RUB
2020-10-07
-58041.34000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 7.500000% 09/15/2033
N/A
35200000.00000000
PA
1491540.59000000
0.101189005539
Long
DBT
NUSS
ZA
N
2
2033-09-15
Fixed
7.50000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.650000% 07/28/2025
N/A
8440000.00000000
PA
2060822.30000000
0.139810180513
Long
DBT
NUSS
RO
N
2
2025-07-28
Fixed
3.65000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 1.400000% 10/30/2031
N/A
300000.00000000
PA
342999.87000000
0.023269776215
Long
DBT
NUSS
ID
N
2
2031-10-30
Fixed
1.40000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 5.999000% 01/27/2028
71647NAY5
437000.00000000
PA
USD
485507.00000000
0.032937736218
Long
DBT
NUSS
BR
N
2
2028-01-27
Fixed
5.99900000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.750000% 09/18/2030
N/A
12839000000.00000000
PA
3843622.22000000
0.260758783716
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 04/15/2039
N/A
80801000000.00000000
PA
5778791.95000000
0.392044450256
Long
DBT
NUSS
ID
N
2
2039-04-15
Fixed
8.37500000
N
N
N
N
N
N
Votorantim Cimentos International S.A
635400TDXGDD6FQOI583
VOTORANTIM CIMENTOS INTERNATIONAL SA 7.250000% 04/05/2041
P98088AA8
536000.00000000
PA
USD
687152.00000000
0.046617723983
Long
DBT
NUSS
BR
N
2
2041-04-05
Fixed
7.25000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 16.100000% 05/07/2029
N/A
14920000.00000000
PA
1020732.50000000
0.069248471875
Long
DBT
NUSS
EG
N
2
2029-05-07
Fixed
16.10000000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT DEC20 FINANCIAL COMMODITY FUTURE.
N/A
42.00000000
NC
USD
9316125.00000000
0.632023982823
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
US ULTRA BOND CBT DEC20
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Dec 2020
2020-12-24
9382149.96000000
USD
-66024.96000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 4.875000% 02/21/2028
AM5152690
755000.00000000
PA
774929.23000000
0.052572701455
Long
DBT
NUSS
MX
N
2
2028-02-21
Fixed
4.87500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.124000% 07/16/2031
N/A
158000.00000000
PA
184767.19000000
0.012534964410
Long
DBT
NUSS
RO
N
2
2031-07-16
Fixed
2.12400000
N
N
N
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HOLDINGS CO LTD 4.800000% 08/06/2030
N/A
407000.00000000
PA
USD
423483.50000000
0.028729941722
Long
DBT
NUSS
CN
N
2
2030-08-06
Fixed
4.80000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 0.500000% 07/31/2030
N/A
5415120.00000000
PA
USD
3655260.15000000
0.247979935676
Long
DBT
NUSS
EC
Y
2
2030-07-31
Fixed
0.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.950000% 01/28/2060
P78625EB5
5729000.00000000
PA
USD
4431381.50000000
0.300633512865
Long
DBT
NUSS
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.750000% 01/31/2044
N/A
85589377.00000000
PA
3958226.98000000
0.268533792839
Long
DBT
NUSS
ZA
N
2
2044-01-31
Fixed
8.75000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 7.143000% 02/23/2030
N/A
682000.00000000
PA
USD
646331.40000000
0.043848375333
Long
DBT
NUSS
NG
N
2
2030-02-23
Fixed
7.14300000
N
N
N
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
JORDAN GOVERNMENT INTERNATIONAL BOND 144A 7.375000% 10/10/2047
418097AJ0
228000.00000000
PA
USD
226118.50000000
0.015340317456
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
8000000.00000000
NC
47256.55000000
0.003205975976
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-12-03
0.00000000
MXN
0.00000000
MXN
-8000000.00000000
MXN
47256.55000000
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 6.150000% 05/21/2048
71568PAF6
657000.00000000
PA
USD
845407.89000000
0.057354110399
Long
DBT
NUSS
ID
Y
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 08/21/2030
N/A
727940000.00000000
PA
2512977.17000000
0.170485243567
Long
DBT
NUSS
HU
N
2
2030-08-21
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-12-15
N/A
1.00000000
NC
USD
-9496.01000000
-0.00064422772
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
237342800.00000000
JPY
2242364.06000000
USD
2020-12-15
-9496.01000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.600000% 11/14/2024
900123CW8
870000.00000000
PA
USD
843003.90000000
0.057191019057
Long
DBT
NUSS
TR
N
2
2024-11-14
Fixed
5.60000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 08/01/2029
68205LAB9
309000.00000000
PA
USD
284365.90000000
0.019291934006
Long
DBT
NUSS
OM
Y
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICO GOVERNMENT INTERNATIONAL BOND MTN 5.750000% 10/12/2110
91086QAZ1
1906000.00000000
PA
USD
2206195.00000000
0.149672546341
Long
DBT
NUSS
MX
N
2
2110-10-12
Fixed
5.75000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2020-10-21
N/A
1.00000000
NC
-6226.84000000
-0.00042244089
N/A
DFE
CN
N
2
CITIGROUP GLOBAL MARKETS
N/A
CHINESE YUAN RENMINBI
N/A
2406504.86000000
USD
16329384.00000000
CNY
2020-10-21
-6226.84000000
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 3.717000% 01/25/2027
G10367AD5
1521000.00000000
PA
USD
1665510.21000000
0.112991441866
Long
DBT
NUSS
BM
N
2
2027-01-25
Fixed
3.71700000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.950000% 10/07/2026
N/A
280027000.00000000
PA
4034019.86000000
0.273675728772
Long
DBT
NUSS
RU
N
2
2026-10-07
Fixed
7.95000000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 3.150000% 01/14/2030
P3143NBH6
300000.00000000
PA
USD
319023.00000000
0.021643138866
Long
DBT
NUSS
CL
N
2
2030-01-14
Fixed
3.15000000
N
N
N
N
N
N
KOSMOS ENERGY LTD.
213800YDFJ3OT9B5P157
KOSMOS ENERGY LTD 144A 7.125000% 04/04/2026
500688AC0
182000.00000000
PA
USD
160160.00000000
0.010865564930
Long
DBT
CORP
GH
Y
2
2026-04-04
Fixed
7.12500000
N
N
N
N
N
N
Republic of Namibia
549300T6Y4CWK77SML15
REPUBLIC OF NAMIBIA 5.250000% 10/29/2025
N/A
379000.00000000
PA
USD
375740.60000000
0.025490970818
Long
DBT
NUSS
NA
N
2
2025-10-29
Fixed
5.25000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
93842000000.00000000
PA
6326767.10000000
0.429220146889
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.00000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2020-12-11
N/A
1.00000000
NC
-33857.24000000
-0.00229694080
N/A
DFE
HU
N
2
JP MORGAN
N/A
HUNGARIAN FORINT
N/A
2023712.54000000
EUR
726042087.00000000
HUF
2020-12-11
-33857.24000000
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 05/07/2028
P17625AB3
2941000.00000000
PA
USD
220575.00000000
0.014964235667
Long
DBT
NUSS
VE
N
2
2028-05-07
Floating
0.00000000
Y
Y
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 06/15/2032
N/A
12030000000.00000000
PA
864009.48000000
0.058616078331
Long
DBT
NUSS
ID
N
2
2032-06-15
Fixed
8.25000000
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
1157000.00000000
PA
1226153.80000000
0.083184651153
Long
DBT
NUSS
CI
Y
2
2031-10-17
Fixed
5.87500000
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
794825.48000000
0.053922501632
Long
DBT
NUSS
AE
Y
2
2049-11-07
Fixed
3.70000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2020-11-27
N/A
1.00000000
NC
128636.90000000
0.008726976707
N/A
DFE
CN
N
2
CITIGROUP GLOBAL MARKETS
N/A
CHINESE YUAN RENMINBI
N/A
6387571.12000000
USD
44392725.00000000
CNY
2020-11-27
128636.90000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.844000% 06/20/2030
715638DA7
1153000.00000000
PA
USD
1253887.50000000
0.085066159134
Long
DBT
NUSS
PE
N
2
2030-06-20
Fixed
2.84400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-10-26
N/A
1.00000000
NC
USD
30902.59000000
0.002096491621
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
7744000.00000000
PEN
2185101.58000000
USD
2020-10-26
30902.59000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 7.450000% 04/30/2044
25714PCF3
687000.00000000
PA
USD
772875.00000000
0.052433338509
Long
DBT
NUSS
DO
Y
2
2044-04-30
Fixed
7.45000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 5.500000% 06/24/2025
N/A
500750000.00000000
PA
1908610.42000000
0.129483831454
Long
DBT
NUSS
HU
N
2
2025-06-24
Fixed
5.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2021-01-28
N/A
1.00000000
NC
USD
-70303.82000000
-0.00476954745
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
547259622.00000000
NGN
1288882.76000000
USD
2021-01-28
-70303.82000000
N
N
N
The Government of Belize
529900096070LUHXVI62
REPUBLIC OF BELIZE 5.0% 02/20/2038
N/A
1117000.00000000
PA
USD
485895.00000000
0.032964058890
Long
DBT
NUSS
BL
N
2
2038-02-20
Fixed
5.00000000
N
Y
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-12-16
N/A
1.00000000
NC
USD
3082.08000000
0.000209094282
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
11766185.14000000
RUB
153473.51000000
USD
2020-12-16
3082.08000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.850000% 01/27/2045
P3579EBE6
2391000.00000000
PA
USD
2517723.00000000
0.170807209876
Long
DBT
NUSS
DO
N
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-11-04
N/A
1.00000000
NC
USD
46730.53000000
0.003170289759
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
3250085.00000000
BRL
623050.14000000
USD
2020-11-04
46730.53000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2027
N/A
63129000000.00000000
PA
4369816.53000000
0.296456825933
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 11.000000% 03/02/2022
N/A
3699834.00000000
PA
467752.88000000
0.031733262294
Long
DBT
NUSS
TR
N
2
2022-03-02
Fixed
11.00000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 1.500000% 06/26/2029
N/A
2344000.00000000
PA
2652485.43000000
0.179949754415
Long
DBT
NUSS
RS
N
2
2029-06-26
Fixed
1.50000000
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
885933.00000000
0.060103412435
Long
DBT
NUSS
EG
Y
2
2022-01-31
Fixed
6.12500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.875000% 02/11/2035
N/A
1055000.00000000
PA
USD
888204.50000000
0.060257515399
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.87500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-34784.99000000
-0.00235988116
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
1359543.33000000
USD
5118680.65000000
PLN
2020-12-16
-34784.99000000
N
N
N
BRAZIL LOAN TRUST 1
N/A
BRAZIL LOAN TRUST 1 5.477000% 07/24/2023
U0952YAA8
216625.96000000
PA
USD
221500.04000000
0.015026992175
Long
DBT
NUSS
BR
N
2
2023-07-24
Fixed
5.47700000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 8.500000% 10/12/2035
Y20721AE9
1969000.00000000
PA
USD
3148365.49000000
0.213591219136
Long
DBT
NUSS
ID
N
2
2035-10-12
Fixed
8.50000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2020-11-23
N/A
1.00000000
NC
-195671.61000000
-0.01327474140
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
5389560.91000000
EUR
23690825.00000000
PLN
2020-11-23
-195671.61000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 7.696000% 02/23/2038
N/A
3163000.00000000
PA
USD
2851128.20000000
0.193426065075
Long
DBT
NUSS
NG
N
2
2038-02-23
Fixed
7.69600000
N
N
N
N
N
N
JANUB GAZ DAHLIZI GAPALI SAHMDAR JAMIYYATI
213800DG58KG59XY6318
SOUTHERN GAS CORRIDOR CJSC 6.875000% 03/24/2026
N/A
4625000.00000000
PA
USD
5252150.00000000
0.356316039274
Long
DBT
NUSS
AZ
N
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.100000% 10/04/2022
N/A
1573000.00000000
PA
USD
258758.50000000
0.017554678340
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
Y
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS: 8.09%
N/A
133260019.00000000
NC
-71338.49000000
-0.00483974147
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-28
0.00000000
MXN
0.00000000
MXN
-133260019.00000000
MXN
-71338.49000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.130000% 11/21/2029
N/A
6500000.00000000
PA
949126.36000000
0.064390572501
Long
DBT
NUSS
CN
N
2
2029-11-21
Fixed
3.13000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-10-07
N/A
1.00000000
NC
-13017.99000000
-0.00088316568
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
NEW RUSSIAN ROUBLE
N/A
341145.63000000
USD
25475050.00000000
RUB
2020-10-07
-13017.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-3423.81000000
-0.00023227790
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
5432761749.00000000
IDR
357653.83000000
USD
2020-12-16
-3423.81000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 7.903000% 02/21/2048
03846JW55
421000.00000000
PA
USD
388372.50000000
0.026347943406
Long
DBT
NUSS
EG
Y
2
2048-02-21
Fixed
7.90300000
N
N
N
N
N
N
Republic of Armenia
5299000H77JSW90G7935
REPUBLIC OF ARMENIA 3.950000% 09/26/2029
N/A
758000.00000000
PA
USD
733516.60000000
0.049763188342
Long
DBT
NUSS
AM
N
2
2029-09-26
Fixed
3.95000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND 5.250000% 01/16/2050
N/A
680000.00000000
PA
USD
913637.12000000
0.061982913651
Long
DBT
NUSS
SA
N
2
2050-01-16
Fixed
5.25000000
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
4535496.66000000
0.307696887186
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 2020-10-05
N/A
1.00000000
NC
USD
5464.01000000
0.000370689032
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
543489.00000000
EUR
642817.32000000
USD
2020-10-05
5464.01000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.750000% 09/30/2049
836205BB9
3772000.00000000
PA
USD
3193676.96000000
0.216665237114
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 04/15/2043
Y20721BE8
1320000.00000000
PA
USD
1544082.12000000
0.104753524806
Long
DBT
NUSS
ID
N
2
2043-04-15
Fixed
4.62500000
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
317582.98000000
0.021545445117
Long
DBT
NUSS
CO
Y
2
2024-08-12
Fixed
7.87500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 7.850000% 03/14/2029
Y8137FAP3
1598000.00000000
PA
USD
1102620.00000000
0.074803878644
Long
DBT
NUSS
LK
N
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 7.000000% 03/20/2028
N/A
2432000.00000000
PA
USD
375792.64000000
0.025494501313
Long
DBT
NUSS
LB
N
2
2028-03-20
Fixed
7.00000000
Y
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-104275.28000000
-0.00707423717
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
10417028.23000000
USD
8793973.00000000
EUR
2020-10-05
-104275.28000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.50000% 10/18/2034
P6S32JS68
6666800000.00000000
PA
1891176.79000000
0.128301100193
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-207.68000000
-0.00001408941
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
11655729146.00000000
IDR
774467.05000000
USD
2020-12-16
-207.68000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-11-05
N/A
1.00000000
NC
-6594.89000000
-0.00044741012
N/A
DFE
TR
N
2
GOLDMAN, SACHS & CO.
N/A
TURKISH LIRA
N/A
1241019.94000000
USD
9584397.00000000
TRY
2020-11-05
-6594.89000000
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 4.750000% 06/19/2032
P7808BAA5
1843000.00000000
PA
USD
1995969.00000000
0.135410406899
Long
DBT
NUSS
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-10992.88000000
-0.00074577829
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
888809.74000000
USD
748539.00000000
EUR
2020-10-05
-10992.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2020-10-30
N/A
1.00000000
NC
USD
-400829.59000000
-0.02719305654
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
34283934.43000000
UAH
1197482.87000000
USD
2020-10-30
-400829.59000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 3.625000% 06/15/2021
N/A
1326000.00000000
PA
USD
1317725.76000000
0.089397070466
Long
DBT
NUSS
OM
N
2
2021-06-15
Fixed
3.62500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2021
N/A
1510000.00000000
PA
272971.26000000
0.018518899536
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
10.00000000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 6.450000% 05/30/2044
69370RAA5
529000.00000000
PA
USD
685273.14000000
0.046490258478
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:1-DAY BRL CETIP D
N/A
3361902.00000000
NC
9547.08000000
0.000647692417
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-3361902.00000000
BRL
9547.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2020-10-20
N/A
1.00000000
NC
USD
141322.07000000
0.009587563234
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
12399270282.00000000
COP
3356279.26000000
USD
2020-10-20
141322.07000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-1820.93000000
-0.00012353542
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
803980.60000000
USD
684024.00000000
EUR
2020-10-05
-1820.93000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-11-06
N/A
1.00000000
NC
39039.67000000
0.002648526905
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
MEXICAN PESO
N/A
1430547.42000000
USD
32571705.00000000
MXN
2020-11-06
39039.67000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY COP - COLUMBIA IBR OVERNIGHT INTERBANK
N/A
879919000.00000000
NC
-22256.49000000
-0.00150992343
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-03-11
0.00000000
COP
0.00000000
COP
-879919000.00000000
COP
-22256.49000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.35% 08/12/2028
P78024AC3
346000.00000000
PA
116133.29000000
0.007878707561
Long
DBT
CORP
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2020-12-16
N/A
1.00000000
NC
6008.57000000
0.000407633038
N/A
DFE
MY
N
2
J P MORGAN CHASE BANK
N/A
MALAYSIAN RINGGIT
N/A
819585.61000000
USD
3423491.07000000
MYR
2020-12-16
6008.57000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.000000% 03/25/2027
900123CL2
597000.00000000
PA
USD
571627.50000000
0.038780317915
Long
DBT
NUSS
TR
N
2
2027-03-25
Fixed
6.00000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-10-26
N/A
1.00000000
NC
8245.76000000
0.000559408345
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
INDONESIA RUPIAH
N/A
2463243.62000000
USD
36813175939.00000000
IDR
2020-10-26
8245.76000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 2.450000% 01/31/2031
168863DP0
3509000.00000000
PA
USD
3689748.59000000
0.250319698315
Long
DBT
NUSS
CL
N
2
2031-01-31
Fixed
2.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-3686.02000000
-0.00025006674
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
6893249519.00000000
IDR
454460.02000000
USD
2020-12-16
-3686.02000000
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
680295.00000000
0.046152531808
Long
DBT
NUSS
MX
Y
2
2050-01-26
Fixed
4.50000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-29188.94000000
-0.00198023428
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
1102463.96000000
USD
4146984.35000000
PLN
2020-12-16
-29188.94000000
N
N
N
BRK: JPMORGAN CHASE BANK NA
N/A
BRK: JPMORGAN CHASE REC: 4.835%
N/A
21544051.00000000
NC
-76084.39000000
-0.00516171253
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE BANK NA
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-21544051.00000000
BRL
-76084.39000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-30608.88000000
-0.00207656576
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
1103456.84000000
USD
4145334.25000000
PLN
2020-12-16
-30608.88000000
N
N
N
LIQUID TELECOMMUNICATIONS FINANCING PLC
635400MXAVJRJJCWVI87
LIQUID TELECOMMUNICATIONS FINANCING PLC 144A 8.500000% 07/13/2022
536333AA5
496000.00000000
PA
USD
501208.00000000
0.034002922500
Long
DBT
NUSS
ZA
Y
2
2022-07-13
Fixed
8.50000000
N
N
N
N
N
N
Transnet SOC Ltd
378900B07CD6F01EA796
TRANSNET SOC LTD MTN 9.500000% 05/13/2021
N/A
6760000.00000000
PA
410503.84000000
0.027849376422
Long
DBT
NUSS
ZA
Y
2
2021-05-13
Fixed
9.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.500000% 01/31/2050
91087BAG5
893000.00000000
PA
USD
944347.50000000
0.064066365373
Long
DBT
NUSS
MX
N
2
2050-01-31
Fixed
4.50000000
N
N
N
N
N
N
Dianjian International Finance Limited
549300UN39CUV8F5DI82
DIANJIAN INTERNATIONAL FINANCE LTD 4.600000% MATURITY: PERPETUAL
N/A
303000.00000000
PA
USD
311727.12000000
0.021148172221
Long
DBT
NUSS
CN
N
2
2169-07-19
Fixed
4.60000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 8.994000% 02/01/2024
N/A
1128000.00000000
PA
USD
1175940.00000000
0.079778049603
Long
DBT
NUSS
UA
N
2
2024-02-01
Fixed
8.99400000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-28407.17000000
-0.00192719749
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
1103573.36000000
USD
4154291.54000000
PLN
2020-12-16
-28407.17000000
N
N
N
GRUPO AVAL LIMITED
549300J4FW1ELLQ80113
GRUPO AVAL LTD 144A 4.375000% 02/04/2030
40053FAC2
812000.00000000
PA
USD
784148.40000000
0.053198147823
Long
DBT
NUSS
CO
Y
2
2030-02-04
Fixed
4.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.059000% 09/30/2024
N/A
8576000.00000000
PA
2208894.28000000
0.149855670730
Long
DBT
NUSS
MY
N
2
2024-09-30
Fixed
4.05900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-10-26
N/A
1.00000000
NC
USD
-9720.61000000
-0.00065946502
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
67832887950.00000000
IDR
4544308.16000000
USD
2020-10-26
-9720.61000000
N
N
N
JBS Investments II GmbH
529900V1Q46CPWIWT649
JBS INVESTMENTS II GMBH 144A 5.750000% 01/15/2028
46650CAB5
466000.00000000
PA
USD
484640.00000000
0.032878917257
Long
DBT
NUSS
US
Y
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 4.625000% 01/13/2028
105756BZ2
618000.00000000
PA
USD
669918.18000000
0.045448548220
Long
DBT
NUSS
BR
N
2
2028-01-13
Fixed
4.62500000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
VALE OVERSEAS LTD 3.750000% 07/08/2030
91911TAQ6
180000.00000000
PA
USD
185220.00000000
0.012565683918
Long
DBT
NUSS
BR
N
2
2030-07-08
Fixed
3.75000000
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
402182.32000000
0.027284828370
Long
DBT
NUSS
CL
Y
2
2027-08-01
Fixed
3.62500000
N
N
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO PAY: 1.960%
N/A
2569904926.00000000
NC
-57724.84000000
-0.00391616506
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
-57724.84000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 02/16/2032
65412JAA1
588000.00000000
PA
USD
560258.16000000
0.038008999846
Long
DBT
NUSS
NG
Y
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 6.350000% 06/28/2024
85227SBA3
1294000.00000000
PA
USD
938150.00000000
0.063645914957
Long
DBT
NUSS
LK
Y
2
2024-06-28
Fixed
6.35000000
N
N
N
N
N
N
1MDB Global Investments Limited
N/A
1MDB GLOBAL INVESTMENTS LTD 4.400000% 03/09/2023
N/A
3000000.00000000
PA
USD
3002852.13000000
0.203719310661
Long
DBT
NUSS
MY
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-12-15
N/A
1.00000000
NC
-668.42000000
-0.00004534690
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
285955.25000000
USD
242899.80000000
EUR
2020-12-15
-668.42000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERUVIAN GOVERNMENT INTERNATIONAL BOND 144A 6.350000% 08/12/2028
715638BV3
1465000.00000000
PA
491720.44000000
0.033359268035
Long
DBT
NUSS
PE
Y
2
2028-08-12
Fixed
6.35000000
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
1309707.70000000
0.088853109730
Long
DBT
NUSS
SA
Y
2
2049-04-17
Fixed
5.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.750000% 04/27/2032
91087BAK6
3640000.00000000
PA
USD
4107740.00000000
0.278677046003
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.000000% 01/28/2032
N/A
950000.00000000
PA
1096888.67000000
0.074415054105
Long
DBT
NUSS
RO
N
2
2032-01-28
Fixed
2.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
2368423.00000000
NC
38226.71000000
0.002593374123
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-2368423.00000000
BRL
38226.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-11-06
N/A
1.00000000
NC
USD
-61836.28000000
-0.00419509312
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
57607163.00000000
MXN
2537313.60000000
USD
2020-11-06
-61836.28000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 12/17/2028
N/A
85796000.00000000
PA
3050913.58000000
0.206979892614
Long
DBT
NUSS
TH
N
2
2028-12-17
Fixed
2.87500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.625000% 06/16/2023
N/A
30000000.00000000
PA
1021732.29000000
0.069316299567
Long
DBT
NUSS
TH
N
2
2023-06-16
Fixed
3.62500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-11-06
N/A
1.00000000
NC
9139.51000000
0.000620042078
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
MEXICAN PESO
N/A
875317.10000000
USD
19602962.00000000
MXN
2020-11-06
9139.51000000
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 9.125000% 11/26/2049
035198AE0
670000.00000000
PA
USD
520925.00000000
0.035340562009
Long
DBT
NUSS
AO
Y
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
1366.54000000
0.000092708723
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
198531.53000000
EUR
234550.41000000
USD
2020-12-16
1366.54000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 5.000000% 04/27/2051
91087BAL4
397000.00000000
PA
USD
444640.00000000
0.030165239702
Long
DBT
NUSS
MX
N
2
2051-04-27
Fixed
5.00000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 8.747000% 01/21/2031
65412JAK9
535000.00000000
PA
USD
545914.00000000
0.037035864220
Long
DBT
NUSS
NG
Y
2
2031-01-21
Fixed
8.74700000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.817000% 03/14/2049
74727PBB6
573000.00000000
PA
USD
771515.85000000
0.052341131138
Long
DBT
NUSS
QA
Y
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.350000% 08/12/2028
N/A
1570000.00000000
PA
526963.20000000
0.035750205204
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 6.200000% 02/28/2030
N/A
358000.00000000
PA
USD
333835.00000000
0.022648013665
Long
DBT
NUSS
BY
N
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
ACWA POWER MANAGEMENT AND INVESTMENTS ONE LTD
635400M3OWQGQBZOYO38
ACWA POWER MANAGEMENT AND INVESTMENTS ONE LTD 144A 5.950000% 12/15/2039
005117AA4
1742000.00000000
PA
USD
1966488.06000000
0.133410362769
Long
DBT
NUSS
SA
Y
2
2039-12-15
Fixed
5.95000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-10-07
N/A
1.00000000
NC
-73882.66000000
-0.00501234290
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
NEW RUSSIAN ROUBLE
N/A
2533565.28000000
USD
190963914.00000000
RUB
2020-10-07
-73882.66000000
N
N
N
BRK: JPMORGAN CHASE
N/A
BRK: JPMORGAN CHASE REC: 3.8875%
N/A
12477696.00000000
NC
-24545.59000000
-0.00166522041
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-12477696.00000000
BRL
-24545.59000000
N
N
N
DP World PLC
549300M3U2DNF4QVSS04
DP WORLD PLC MTN 6.850000% 07/02/2037
23330JAA9
421000.00000000
PA
USD
525197.50000000
0.035630416693
Long
DBT
NUSS
AE
Y
2
2037-07-02
Fixed
6.85000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.125000% 12/17/2026
N/A
15000000.00000000
PA
504654.39000000
0.034236732280
Long
DBT
NUSS
TH
N
2
2026-12-17
Fixed
2.12500000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2020-11-20
N/A
1.00000000
NC
-41031.28000000
-0.00278364158
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
ROMANIAN LEU
N/A
4042854.79000000
USD
16684700.00000000
RON
2020-11-20
-41031.28000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2026
903724AT9
45000.00000000
PA
USD
44718.75000000
0.003033806704
Long
DBT
NUSS
UA
Y
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.850000% 02/12/2042
715638BL5
613000.00000000
PA
196986.08000000
0.013363917599
Long
DBT
NUSS
PE
N
2
2042-02-12
Fixed
6.85000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-34814.27000000
-0.00236186757
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
CZECH REPUBLIC KORUNA
N/A
1275099.20000000
USD
28610000.00000000
CZK
2020-12-16
-34814.27000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA 5.125000% 06/15/2048
N/A
628000.00000000
PA
USD
765104.96000000
0.051906203931
Long
DBT
NUSS
RO
N
2
2048-06-15
Fixed
5.12500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA MTN VARIABLE RATE 09/18/2030
U48057EU0
67028000000.00000000
PA
4518984.52000000
0.306576671593
Long
DBT
CORP
US
Y
2
2030-09-18
Fixed
7.00000000
N
N
N
N
N
N
BIZ FINANCE PLC
213800CQK26QNHYTY203
UKREXIMBANK VIA BIZ FINANCE PLC 144A 9.625000% 04/27/2022
N/A
570333.34000000
PA
USD
582082.21000000
0.039489585712
Long
DBT
NUSS
UA
Y
2
2022-04-27
Fixed
9.62500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
2705129.00000000
NC
11603.28000000
0.000787189012
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-2705129.00000000
BRL
11603.28000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.625000% 02/21/2047
105756BY5
709000.00000000
PA
USD
771037.50000000
0.052308678947
Long
DBT
NUSS
BR
N
2
2047-02-21
Fixed
5.62500000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.375000% 10/27/2027
760942BB7
2310000.00000000
PA
USD
2668073.10000000
0.181007252170
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 2020-10-05
N/A
1.00000000
NC
1498.91000000
0.000101688960
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
1242231.83000000
USD
1060564.00000000
EUR
2020-10-05
1498.91000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-10-26
N/A
1.00000000
NC
-183126.09000000
-0.01242362900
N/A
DFE
CL
N
2
JP MORGAN
N/A
CHILEAN PESO
N/A
5385699.75000000
USD
4096901800.00000000
CLP
2020-10-26
-183126.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2020-12-16
N/A
1.00000000
NC
USD
588618.98000000
0.039933052863
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
53323498512.00000000
COP
14384581.16000000
USD
2020-12-16
588618.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-11-20
N/A
1.00000000
NC
USD
-8962.71000000
-0.00060804762
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
39654700.00000000
MXN
1777360.94000000
USD
2020-11-20
-8962.71000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 144A 5.750000% 01/26/2021
296464AA8
1681000.00000000
PA
USD
1639546.54000000
0.111230016153
Long
DBT
NUSS
ZA
Y
2
2021-01-26
Fixed
5.75000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-10-21
N/A
1.00000000
NC
-67098.22000000
-0.00455207334
N/A
DFE
TR
N
2
GOLDMAN, SACHS & CO.
N/A
TURKISH LIRA
N/A
3441777.07000000
USD
26107600.00000000
TRY
2020-10-21
-67098.22000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 02/08/2038
N/A
973000.00000000
PA
1212299.33000000
0.082244737046
Long
DBT
NUSS
RO
N
2
2038-02-08
Fixed
3.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-11-05
N/A
1.00000000
NC
USD
19125.43000000
0.001297506253
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
5462114.00000000
TRY
722619.90000000
USD
2020-11-05
19125.43000000
N
N
N
AI CANDELARIA (SPAIN) SL
N/A
AI CANDELARIA SPAIN SLU 144A 7.500000% 12/15/2028
001355AA4
975000.00000000
PA
USD
1053000.00000000
0.071437561637
Long
DBT
NUSS
ES
Y
2
2028-12-15
Fixed
7.50000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.750000% 02/28/2048
N/A
124195244.00000000
PA
5722065.05000000
0.388195987374
Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
8.75000000
N
N
N
N
N
N
UKRANIAN HRYVNIA
N/A
FX Forward Contract: UAH/USD SETTLE 2021-02-26
N/A
1.00000000
NC
243836.73000000
0.016542356532
N/A
DFE
UA
N
2
J P MORGAN CHASE BANK
N/A
UKRANIAN HRYVNIA
N/A
688747.81000000
USD
19980574.00000000
UAH
2021-02-26
243836.73000000
N
N
N
BRK: CITIBANK
N/A
BRK: CITIBANK REC: 3M MALAYSIA BUMIPUTRA BANK RATE(KLIBOR)
N/A
11000000.00000000
NC
30199.60000000
0.002048799417
N/A
DIR
XX
N
2
BRK: CITIBANK
N/A
Y
2025-08-18
0.00000000
MYR
0.00000000
MYR
-11000000.00000000
MYR
30199.60000000
N
N
N
MDGH ? GMTN B.V.
213800L53ZH5KG593W13
MDGH - GMTN BV MTN 4.500000% 11/07/2028
55276VAG7
1346000.00000000
PA
USD
1610421.70000000
0.109254130538
Long
DBT
NUSS
AE
Y
2
2028-11-07
Fixed
4.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
47200221.00000000
NC
104076.69000000
0.007060764441
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-03-05
0.00000000
MXN
0.00000000
MXN
-47200221.00000000
MXN
104076.69000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)DEC20 FINANCIAL COMMODITY FUTURE.
N/A
102.00000000
NC
USD
14232187.50000000
0.965539194465
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
US 10YR NOTE (CBT)DEC20
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Dec 2020
2020-12-24
14195695.47000000
USD
36492.03000000
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA GOVERNMENT INTERNATIONAL BOND MTN 5.125000% 12/05/2022
60937GAB2
500000.00000000
PA
USD
509988.28000000
0.034598593719
Long
DBT
NUSS
MN
N
2
2022-12-05
Fixed
5.12500000
N
N
N
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
937409.86000000
0.063595702425
Long
DBT
NUSS
LK
N
2
2025-11-03
Fixed
6.85000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.500000% 07/09/2029
N/A
13070.00000000
PA
6320.66000000
0.000428805829
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
0.50000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2020-11-27
N/A
1.00000000
NC
25298.90000000
0.001716326427
N/A
DFE
CN
N
2
CITIGROUP GLOBAL MARKETS
N/A
CHINESE YUAN RENMINBI
N/A
2279718.91000000
USD
15703308.00000000
CNY
2020-11-27
25298.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-10-16
N/A
1.00000000
NC
USD
11837.93000000
0.000803108123
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
4387748.14000000
TRY
579623.27000000
USD
2020-10-16
11837.93000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
STANDARD CHARTERED BANK MTN 8.375000% 10/18/2039
AX1409058
20797000000.00000000
PA
1487376.84000000
0.100906528666
Long
DBT
NUSS
GB
N
2
2039-10-18
Fixed
8.37500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-90790.51000000
-0.00615940423
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
MEXICAN PESO
N/A
2568889.88000000
USD
55174103.04000000
MXN
2020-12-16
-90790.51000000
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE 5.333% 02/15/28
G13201AA9
1176000.00000000
PA
USD
1206870.00000000
0.081876400772
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-11-06
N/A
1.00000000
NC
USD
2044.66000000
0.000138713698
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
7791965.00000000
MXN
353606.58000000
USD
2020-11-06
2044.66000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS REF:CETIP BRAZIL INTREBANK DEPOSIT
N/A
4102283.00000000
NC
10545.32000000
0.000715414954
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-4102283.00000000
BRL
10545.32000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 5.670000% 03/13/2028
N/A
3000000.00000000
PA
125061.63000000
0.008484423458
Long
DBT
NUSS
TH
N
2
2028-03-13
Fixed
5.67000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.875000% 10/17/2031
N/A
1729000.00000000
PA
1832342.20000000
0.124309647534
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
BRK: JP MORGAN CHASE BANK
N/A
BRK: JP MORGAN CHASE PAY:1D OVERNIGHT BRAZIL INTERBANK DEPOSIT(CETIP)
N/A
20697000.00000000
NC
-964.79000000
-0.00006545322
N/A
DIR
XX
N
2
BRK: JP MORGAN CHASE BANK
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-20697000.00000000
BRL
-964.79000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.875000% 06/17/2022
N/A
20000000.00000000
PA
645081.57000000
0.043763584442
Long
DBT
NUSS
TH
N
2
2022-06-17
Fixed
1.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-07
N/A
1.00000000
NC
USD
41861.87000000
0.002839990425
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
104691444.00000000
RUB
1390324.62000000
USD
2020-10-07
41861.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-1807.49000000
-0.00012262362
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
10509742016.00000000
IDR
696701.49000000
USD
2020-12-16
-1807.49000000
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVT INT'L 3.125000% 09/30/2049
N/A
293000.00000000
PA
USD
313510.00000000
0.021269126257
Long
DBT
NUSS
AE
N
2
2049-09-30
Fixed
3.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-1105.81000000
-0.00007502029
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
2067974856.00000000
IDR
136338.00000000
USD
2020-12-16
-1105.81000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.250000% 10/26/2026
80413TAB5
1884000.00000000
PA
USD
2048774.64000000
0.138992843900
Long
DBT
NUSS
SA
Y
2
2026-10-26
Fixed
3.25000000
N
N
N
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS PAY:4.21%
N/A
1318748038.00000000
NC
2647.95000000
0.000179642062
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2030-07-08
0.00000000
COP
0.00000000
COP
-1318748038.00000000
COP
2647.95000000
N
N
N
FIRST QUANTUM MINERALS LTD.
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 144A 7.500000% 04/01/2025
335934AL9
404000.00000000
PA
USD
399600.44000000
0.027109668625
Long
DBT
NUSS
ZM
Y
2
2025-04-01
Fixed
7.50000000
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
1595580.00000000
0.108247240833
Long
DBT
NUSS
LK
N
2
2021-07-27
Fixed
6.25000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-19
N/A
1.00000000
NC
212140.55000000
0.014392026226
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
4418008.71000000
USD
77652600.00000000
ZAR
2020-11-19
212140.55000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 04/03/2049
N/A
1248000.00000000
PA
1781301.69000000
0.120846960375
Long
DBT
NUSS
RO
N
2
2049-04-03
Fixed
4.62500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.37
N/A
1800000000.00000000
NC
-44201.75000000
-0.00299873242
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-06-21
0.00000000
COP
0.00000000
COP
-1800000000.00000000
COP
-44201.75000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/16/2026
N/A
670000.00000000
PA
746784.01000000
0.050663275160
Long
DBT
NUSS
EG
N
2
2026-04-16
Fixed
4.75000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A VARIABLE RATE 05/31/2040
903724AW2
2206000.00000000
PA
USD
2003930.40000000
0.135950523711
Long
DBT
NUSS
UA
Y
2
2040-05-31
Floating
2.99999880
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 04/15/2040
N/A
28717000000.00000000
PA
1941485.35000000
0.131714130445
Long
DBT
NUSS
ID
N
2
2040-04-15
Fixed
7.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:1D OVERNIGHT BRAZIL INTERBANK DEPOSIT(CETIP)
N/A
3591362.00000000
NC
10198.70000000
0.000691899582
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-3591362.00000000
BRL
10198.70000000
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
25111.22000000
0.001703593852
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
25111.22000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 16.300000% 04/09/2024
N/A
15034000.00000000
PA
1001779.10000000
0.067962636470
Long
DBT
NUSS
EG
N
2
2024-04-09
Fixed
16.30000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-11-04
N/A
1.00000000
NC
-189.89000000
-0.00001288250
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
424701.55000000
USD
361810.00000000
EUR
2020-11-04
-189.89000000
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 4.950000% 04/28/2031
P75744AJ4
847000.00000000
PA
USD
975320.50000000
0.066167633746
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
4.95000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.375000% 09/25/2032
N/A
2536000.00000000
PA
USD
2378007.20000000
0.161328619112
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.850000% 06/04/2027
N/A
9640000.00000000
PA
1384385.87000000
0.093919421575
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.125000% 10/24/2028
900123CQ1
1455000.00000000
PA
USD
1381929.90000000
0.093752803808
Long
DBT
NUSS
TR
N
2
2028-10-24
Fixed
6.12500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 2.850000% 02/14/2030
455780CQ7
1059000.00000000
PA
USD
1112115.61000000
0.075448079238
Long
DBT
NUSS
ID
N
2
2030-02-14
Fixed
2.85000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
15930.63000000
0.001080764826
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
1023993.81000000
USD
17414346.00000000
ZAR
2020-11-06
15930.63000000
N
N
N
TENGIZCHEVROIL FINANCE COMPANY INTERNATIONAL LTD.
5493001VEV2XTJIBZH31
TENGIZCHEVROIL FINANCE CO INTERNATIONAL LTD 144A 3.250000% 08/15/2030
88034QAC1
450000.00000000
PA
USD
454053.60000000
0.030803876578
Long
DBT
NUSS
KZ
Y
2
2030-08-15
Fixed
3.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.805%
N/A
11500000.00000000
NC
-252373.97000000
-0.01712153944
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-12-17
0.00000000
PLN
0.00000000
PLN
-11500000.00000000
PLN
-252373.97000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2020-12-16
N/A
1.00000000
NC
63632.90000000
0.004316979312
N/A
DFE
CN
N
2
CITIGROUP GLOBAL MARKETS
N/A
CHINESE YUAN RENMINBI
N/A
7246051.12000000
USD
49865150.00000000
CNY
2020-12-16
63632.90000000
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.125000% 08/16/2027
156830AA9
1197000.00000000
PA
USD
1250865.00000000
0.084861106873
Long
DBT
NUSS
PE
Y
2
2027-08-16
Fixed
4.12500000
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
389828.05000000
0.026446690740
Long
DBT
NUSS
AE
N
2
2026-04-03
Fixed
3.85400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2020-12-16
N/A
1.00000000
NC
USD
5737.59000000
0.000389249230
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1826975.08000000
RON
443136.27000000
USD
2020-12-16
5737.59000000
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
411913.47000000
0.027945008454
Long
DBT
NUSS
BR
N
2
2045-05-15
Fixed
6.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2020-12-09
N/A
1.00000000
NC
-43.24000000
-0.00000293348
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
3982973.15000000
RON
812414.95000000
EUR
2020-12-09
-43.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-11-05
N/A
1.00000000
NC
USD
338930.62000000
0.022993710405
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
28334012.00000000
TRY
3988217.49000000
USD
2020-11-05
338930.62000000
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 9.375000% 05/08/2048
N/A
2800000.00000000
PA
USD
2183216.00000000
0.148113606427
Long
DBT
NUSS
AO
N
2
2048-05-08
Fixed
9.37500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.500000% 01/31/2047
N/A
4131000.00000000
PA
USD
3990802.12000000
0.270743753496
Long
DBT
NUSS
EG
N
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
N/A
N/A
R2040 BOND FUTURE NOV20 FINANCIAL COMMODITY FUTURE.
N/A
379.00000000
NC
1870930.55000000
0.126927556016
N/A
DIR
ZA
N
1
R2040 BOND FUTURE NOV20
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2040 Bond Future Nov 2020
2020-11-08
1942606.10000000
ZAR
-71675.55000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.975000% 04/20/2055
760942BD3
661000.00000000
PA
USD
879130.00000000
0.059641883725
Long
DBT
NUSS
UY
N
2
2055-04-20
Fixed
4.97500000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
KENYA GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 05/22/2027
491798AJ3
362000.00000000
PA
USD
354941.00000000
0.024079885627
Long
DBT
NUSS
KE
Y
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA INTL BOND 5.625000% 05/01/2023
Y6142NAB4
1287000.00000000
PA
USD
1320806.98000000
0.089606106405
Long
DBT
NUSS
MN
N
2
2023-05-01
Fixed
5.62500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.450000% 12/17/2024
N/A
85200000.00000000
PA
2760477.61000000
0.187276153289
Long
DBT
NUSS
TH
N
2
2024-12-17
Fixed
1.45000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.350000% 02/12/2048
71654QCJ9
430000.00000000
PA
USD
323575.00000000
0.021951955372
Long
DBT
NUSS
MX
Y
2
2048-02-12
Fixed
6.35000000
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
-5897.51000000
-0.00040009851
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
-5897.51000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.232000% 06/30/2031
N/A
1200000.00000000
PA
325191.62000000
0.022061630007
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/TRY SETTLE 2020-11-05
N/A
1.00000000
NC
USD
22160.63000000
0.001503420105
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
5706341.00000000
TRY
757110.39000000
USD
2020-11-05
22160.63000000
N
N
N
N/A
N/A
R2032 BOND FUTURE NOV20 FINANCIAL COMMODITY FUTURE.
N/A
525.00000000
NC
2711674.73000000
0.183965271287
N/A
DIR
ZA
N
1
R2032 BOND FUTURE NOV20
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2032 Bond Future Nov 2020
2020-11-08
2804268.29000000
ZAR
-92593.56000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2020-10-21
N/A
1.00000000
NC
-3249.01000000
-0.00022041913
N/A
DFE
MY
N
2
J P MORGAN CHASE BANK
N/A
MALAYSIAN RINGGIT
N/A
1238913.55000000
USD
5130341.00000000
MYR
2020-10-21
-3249.01000000
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT 5.625000% 06/24/2030
P5178RAD0
299000.00000000
PA
USD
319780.50000000
0.021694529135
Long
DBT
NUSS
HN
N
2
2030-06-24
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-28607.13000000
-0.00194076316
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
357249633.36000000
PHP
7319189.37000000
USD
2020-12-16
-28607.13000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.000000% 01/30/2030
195325DR3
1842000.00000000
PA
USD
1883445.00000000
0.127776560568
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 2.500000% 10/24/2024
N/A
653680000.00000000
PA
2199374.98000000
0.149209862961
Long
DBT
NUSS
HU
N
2
2024-10-24
Fixed
2.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 06/03/2027
N/A
146597000.00000000
PA
7381132.30000000
0.500750326342
Long
DBT
NUSS
MX
N
2
2027-06-03
Floating
7.49999880
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.875000% 10/09/2026
900123CK4
1017000.00000000
PA
USD
929802.42000000
0.063079598945
Long
DBT
NUSS
TR
N
2
2026-10-09
Fixed
4.87500000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 5.875000% 02/24/2026
N/A
1077000.00000000
PA
USD
996698.88000000
0.067617984496
Long
DBT
NUSS
BY
N
2
2026-02-24
Fixed
5.87500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.625000% 05/15/2023
N/A
3267000000.00000000
PA
222937.62000000
0.015124520389
Long
DBT
NUSS
ID
N
2
2023-05-15
Fixed
5.62500000
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
400760.00000000
0.027188335424
Long
DBT
NUSS
ID
Y
2
2027-01-30
Fixed
6.37500000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2020-10-13
N/A
1.00000000
NC
12755.82000000
0.000865379560
N/A
DFE
MY
N
2
J P MORGAN CHASE BANK
N/A
MALAYSIAN RINGGIT
N/A
2453713.05000000
USD
10244252.00000000
MYR
2020-10-13
12755.82000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 11/26/2025
N/A
32448500000.00000000
PA
9226769.76000000
0.625961950093
Long
DBT
NUSS
CO
N
2
2025-11-26
Fixed
6.25000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-11-20
N/A
1.00000000
NC
2359.84000000
0.000160096121
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
MEXICAN PESO
N/A
177828.00000000
USD
4000000.00000000
MXN
2020-11-20
2359.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2020-11-02
N/A
1.00000000
NC
USD
-33335.84000000
-0.00226156801
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
76692670.73000000
NGN
163873.23000000
USD
2020-11-02
-33335.84000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
134983000.00000000
PA
6893468.37000000
0.467666259810
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
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
136500.00000000
0.009260424656
Long
DBT
NUSS
AR
N
2
2027-06-15
Fixed
7.87500000
Y
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
330000.00000000
PA
USD
403946.40000000
0.027404506978
Long
DBT
NUSS
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 3.250000% 07/25/2025
N/A
8585000.00000000
PA
2498982.49000000
0.169535817342
Long
DBT
NUSS
PL
N
2
2025-07-25
Fixed
3.25000000
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
768787.50000000
0.052156034584
Long
DBT
NUSS
BR
Y
2
2026-09-20
Fixed
6.50000000
N
N
N
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 5.450000% 05/15/2030
74445PAF9
1051000.00000000
PA
USD
1215012.08000000
0.082428775266
Long
DBT
NUSS
ID
Y
2
2030-05-15
Fixed
5.45000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 8.200000% 05/17/2033
N/A
2700000.00000000
PA
USD
417636.00000000
0.028333235984
Long
DBT
NUSS
LB
N
2
2033-05-17
Fixed
8.20000000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-12-16
N/A
1.00000000
NC
USD
93441.64000000
0.006339262029
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
36210068.03000000
PEN
10164942.95000000
USD
2020-12-16
93441.64000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 0.500000% 07/31/2040
N/A
2978002.00000000
PA
USD
1485278.50000000
0.100764173212
Long
DBT
NUSS
EC
Y
2
2040-07-31
Fixed
0.50000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B 6.000000% 08/15/2050
N/A
1670000.00000000
PA
1245981.15000000
0.084529777020
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 5.625000% 06/19/2047
P7808BAB3
1993000.00000000
PA
USD
2291950.00000000
0.155490331809
Long
DBT
NUSS
PE
N
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2021-02-04
N/A
1.00000000
NC
USD
-52206.42000000
-0.00354178475
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
451160000.00000000
NGN
1064684.37000000
USD
2021-02-04
-52206.42000000
N
N
N
MV24 CAPITAL BV
N/A
MV24 CAPITAL BV 144A 6.748000% 06/01/2034
55388RAA4
1215024.44000000
PA
USD
1226567.17000000
0.083212694976
Long
DBT
NUSS
BR
Y
2
2034-06-01
Fixed
6.74800000
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
394255.80000000
0.026747077885
Long
DBT
NUSS
CN
N
2
2047-12-06
Fixed
4.20000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 0.500000% 07/31/2030
N/A
360000.00000000
PA
USD
243003.60000000
0.016485835378
Long
DBT
NUSS
EC
N
2
2030-07-31
Fixed
0.50000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2020-12-16
N/A
1.00000000
NC
2491.19000000
0.000169007159
N/A
DFE
MY
N
2
J P MORGAN CHASE BANK
N/A
MALAYSIAN RINGGIT
N/A
776682.69000000
USD
3231000.00000000
MYR
2020-12-16
2491.19000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
Colombian TES 4.750000% 04/04/2035
N/A
1170600000.00000000
PA
1023143.24000000
0.069412021150
Long
DBT
NUSS
CO
N
2
2035-04-04
Fixed
4.75000000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2020-10-20
N/A
1.00000000
NC
602.01000000
0.000040841525
N/A
DFE
CO
N
2
CITIGROUP GLOBAL MARKETS
N/A
COLOMBIA PESO
N/A
91105.11000000
USD
353691000.00000000
COP
2020-10-20
602.01000000
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
373760.00000000
0.025356603074
Long
DBT
NUSS
LK
N
2
2024-03-14
Fixed
6.85000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 0.900000% 02/14/2027
N/A
428000.00000000
PA
490270.98000000
0.033260933858
Long
DBT
NUSS
ID
N
2
2027-02-14
Fixed
0.90000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-56334.22000000
-0.00382182270
N/A
DFE
HU
N
2
JP MORGAN
N/A
HUNGARIAN FORINT
N/A
2060791.89000000
USD
621215000.00000000
HUF
2020-12-16
-56334.22000000
N
N
N
United States of America
N/A
US LONG BOND(CBT) DEC20 FINANCIAL COMMODITY FUTURE.
N/A
-22.00000000
NC
USD
-3878187.50000000
-0.26310375932
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
US LONG BOND(CBT) DEC20
N/A
Short
U.S. Treasury Futures
US Long Bond (CBT) Dec 2020
2020-12-24
-3907455.56000000
USD
29268.06000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 02/15/2031
N/A
1038000000.00000000
PA
67688.97000000
0.004592150965
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT TREASURY BILL ZERO COUPON 04/06/2021
N/A
87225000.00000000
PA
5183672.72000000
0.351670407830
Long
DBT
NUSS
EG
N
2
2021-04-06
Fixed
0.00000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 3.400000% 04/16/2025
N/A
654000.00000000
PA
USD
716770.92000000
0.048627128943
Long
DBT
NUSS
QA
N
2
2025-04-16
Fixed
3.40000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.000000% 01/14/2041
900123BJ8
308000.00000000
PA
USD
255153.36000000
0.017310098653
Long
DBT
NUSS
TR
N
2
2041-01-14
Fixed
6.00000000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 6.000000% 01/15/2029
86964WAC6
288000.00000000
PA
USD
328320.00000000
0.022273865372
Long
DBT
NUSS
BR
Y
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.000000% 07/09/2029
040114HX1
5821288.00000000
PA
USD
2654507.33000000
0.180086924031
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
19782.65000000
0.001342093332
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1063744.00000000
EUR
1267242.59000000
USD
2020-10-05
19782.65000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2021-01-21
N/A
1.00000000
NC
USD
-91468.13000000
-0.00620537528
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
41916064.10000000
EGP
2500585.48000000
USD
2021-01-21
-91468.13000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2029
N/A
33729000.00000000
PA
6908226.10000000
0.468667452826
Long
DBT
NUSS
BR
N
2
2029-01-01
Fixed
10.00000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND 144A 5.250000% 01/16/2050
80413TAL3
326000.00000000
PA
USD
438008.38000000
0.029715337743
Long
DBT
NUSS
SA
Y
2
2050-01-16
Fixed
5.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
11931400000.00000000
PA
3349479.34000000
0.227235172655
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.124600% 01/20/2050
P01012CA2
640000.00000000
PA
USD
498176.00000000
0.033797225742
Long
DBT
NUSS
SV
N
2
2050-01-20
Fixed
7.12460000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 4.900000% 06/01/2030
P5015VAH9
558000.00000000
PA
USD
617427.00000000
0.041887444795
Long
DBT
NUSS
GT
N
2
2030-06-01
Fixed
4.90000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.783000% 01/23/2031
715638DF6
1840000.00000000
PA
USD
1988120.00000000
0.134877915520
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2024
903724AR3
245000.00000000
PA
USD
245612.50000000
0.016662828212
Long
DBT
NUSS
UA
Y
2
2024-09-01
Fixed
7.75000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 4.375000% 03/21/2029
N/A
5600000.00000000
PA
USD
6425193.60000000
0.435897591486
Long
DBT
NUSS
RU
N
2
2029-03-21
Fixed
4.37500000
N
N
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 7.375000% 09/18/2043
279158AE9
268000.00000000
PA
USD
335672.68000000
0.022772685439
Long
DBT
NUSS
CO
N
2
2043-09-18
Fixed
7.37500000
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
1328905.11000000
0.090155499246
Long
DBT
NUSS
CN
N
2
2026-12-05
Fixed
3.12000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 2.375000% 08/20/2030
G10367AE3
221000.00000000
PA
USD
223486.25000000
0.015161740512
Long
DBT
NUSS
BM
N
2
2030-08-20
Fixed
2.37500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-11-02
N/A
1.00000000
NC
29.77000000
0.000002019654
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
INDONESIA RUPIAH
N/A
102819.48000000
USD
1532730000.00000000
IDR
2020-11-02
29.77000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2020-12-16
N/A
1.00000000
NC
1919.36000000
0.000130213103
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
39006498.00000000
HUF
108791.71000000
EUR
2020-12-16
1919.36000000
N
N
N
BRAZIL LOAN TRUST 1
N/A
BRAZIL LOAN TRUST 1 144A 5.477000% 07/24/2023
105859AA0
1034279.25000000
PA
USD
1057550.53000000
0.071746278415
Long
DBT
CORP
BR
Y
2
2023-07-24
Fixed
5.47700000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH CZK - PRIBOR
N/A
150349290.00000000
NC
114184.75000000
0.007746514830
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-09-30
0.00000000
CZK
0.00000000
CZK
-150349290.00000000
CZK
114184.75000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.350000% 08/12/2040
N/A
708000.00000000
PA
194917.27000000
0.013223565517
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
-27001.71000000
-0.00183184835
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
1292252.88000000
USD
21187618.00000000
ZAR
2020-11-06
-27001.71000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.750000% 12/31/2032
N/A
1162000.00000000
PA
USD
1074850.00000000
0.072919908002
Long
DBT
NUSS
CI
N
2
2032-12-31
Fixed
5.75000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 2.457000% 05/05/2030
718286CJ4
915000.00000000
PA
USD
986225.91000000
0.066907477905
Long
DBT
NUSS
PH
N
2
2030-05-05
Fixed
2.45700000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.600000% 01/28/2024
P3579EAT4
656000.00000000
PA
USD
719304.00000000
0.048798978002
Long
DBT
NUSS
DO
N
2
2024-01-28
Fixed
6.60000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 06/26/2024
N/A
413620000.00000000
PA
1409385.77000000
0.095615463262
Long
DBT
NUSS
HU
N
2
2024-06-26
Fixed
3.00000000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 8.500000% 03/15/2028
P80557BV5
8397000.00000000
PA
204720.36000000
0.013888626150
Long
DBT
NUSS
UY
N
2
2028-03-15
Fixed
8.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-10-20
N/A
1.00000000
NC
USD
-892.95000000
-0.00006057945
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1035924700.00000000
IDR
68672.50000000
USD
2020-10-20
-892.95000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-12-30
N/A
1.00000000
NC
838.59000000
0.000056891571
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
ROMANIAN LEU
N/A
2083940.30000000
EUR
10242056.00000000
RON
2020-12-30
838.59000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 9.750000% 06/05/2026
25714PEA2
29200000.00000000
PA
507656.22000000
0.034440382247
Long
DBT
NUSS
DO
Y
2
2026-06-05
Fixed
9.75000000
N
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
812043.75000000
0.055090622453
Long
DBT
NUSS
CN
N
2
2169-09-03
Fixed
3.37500000
N
N
N
N
N
N
Azarbayjan Respublikasi
549300P74FF45UQVU281
REPUBLIC OF AZERBAIJAN 5.125000% 09/01/2029
N/A
1711000.00000000
PA
USD
1797747.70000000
0.121962689580
Long
DBT
NUSS
AZ
N
2
2029-09-01
Fixed
5.12500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.125000% 05/15/2028
N/A
9066000000.00000000
PA
586121.77000000
0.039763637295
Long
DBT
NUSS
ID
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2021
N/A
2047000.00000000
PA
USD
2095759.54000000
0.142180390614
Long
DBT
NUSS
UA
N
2
2021-09-01
Fixed
7.75000000
N
N
N
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
STATE OF ISRAEL 3.875000% 07/03/2050
46513JB42
2695000.00000000
PA
USD
3234000.00000000
0.219400830329
Long
DBT
NUSS
IL
N
2
2050-07-03
Fixed
3.87500000
N
N
N
N
N
N
Joint Stock Company KazTransGas
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 4.375000% 09/26/2027
N/A
799000.00000000
PA
USD
859636.11000000
0.058319380431
Long
DBT
NUSS
KZ
N
2
2027-09-26
Fixed
4.37500000
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
4000293.44000000
0.271387663047
Long
DBT
NUSS
AE
Y
2
2047-11-02
Fixed
4.60000000
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
1989589.61000000
0.134977616712
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
7.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.875000% 04/16/2043
900123CB4
4934000.00000000
PA
USD
3669573.69000000
0.248950993982
Long
DBT
NUSS
TR
N
2
2043-04-16
Fixed
4.87500000
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
420900.00000000
0.028554672073
Long
DBT
NUSS
PE
Y
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICAN UDIBONOS 4.00% 11/03/2050
N/A
41686112.33900000
PA
2229937.69000000
0.151283296465
Long
DBT
NUSS
MX
N
2
2050-11-03
Fixed
4.00000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.400000% 09/17/2025
N/A
99550000.00000000
PA
4710258.55000000
0.319553072645
Long
DBT
NUSS
CZ
N
2
2025-09-17
Fixed
2.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2020-11-05
N/A
1.00000000
NC
USD
-535977.55000000
-0.03636175618
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
43310943.89000000
UAH
1516064.96000000
USD
2020-11-05
-535977.55000000
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 10/13/2024
P97475AP5
3303600.00000000
PA
USD
247770.00000000
0.016809197195
Long
DBT
NUSS
VE
N
2
2024-10-13
Floating
0.00000000
Y
Y
N
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 1.500000% 06/17/2031
N/A
650000.00000000
PA
791338.81000000
0.053685959179
Long
DBT
NUSS
HR
N
2
2031-06-17
Fixed
1.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT TREASURY BILL ZERO COUPON 01/05/2021
ZP2414826
84700000.00000000
PA
5201565.23000000
0.352884270400
Long
DBT
NUSS
EG
N
2
2021-01-05
Fixed
0.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3-MONTH MOSCOW PRIME OFFERED RATE - RUB
N/A
715569627.00000000
NC
310454.95000000
0.021061865742
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-04-02
0.00000000
RUB
0.00000000
RUB
-715569627.00000000
RUB
310454.95000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.375000% 03/21/2023
195325BP9
2871000000.00000000
PA
753299.16000000
0.051105275569
Long
DBT
NUSS
CO
N
2
2023-03-21
Fixed
4.37500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2023
N/A
376000.00000000
PA
USD
381873.12000000
0.025907012865
Long
DBT
NUSS
UA
N
2
2023-09-01
Fixed
7.75000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2020-11-10
N/A
1.00000000
NC
-99693.68000000
-0.00676341254
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
CZECH REPUBLIC KORUNA
N/A
3232446.97000000
EUR
85263870.00000000
CZK
2020-11-10
-99693.68000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.500000% 09/17/2031
QJ4075223
176982000.00000000
PA
2685955.07000000
0.182220399686
Long
DBT
NUSS
RU
N
2
2031-09-17
Fixed
8.50000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 3.375000% 08/20/2050
G10367AG8
330000.00000000
PA
USD
339075.00000000
0.023003505424
Long
DBT
NUSS
BM
N
2
2050-08-20
Fixed
3.37500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.2% 08/12/2026
715638AY8
4478000.00000000
PA
1653516.70000000
0.112177778894
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
America Movil, S.A.B. de C.V.
5493000FNR3UCEAONM59
AMERICA MOVIL SAB DE CV 7.125000% 12/09/2024
N/A
18110000.00000000
PA
855960.68000000
0.058070032133
Long
DBT
NUSS
MX
N
2
2024-12-09
Fixed
7.12500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.400000% 04/16/2050
74727PBE0
662000.00000000
PA
USD
851795.40000000
0.057787451462
Long
DBT
NUSS
QA
Y
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2020-11-10
N/A
1.00000000
NC
-30128.64000000
-0.00204398535
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
CZECH REPUBLIC KORUNA
N/A
2129092.20000000
EUR
56980490.00000000
CZK
2020-11-10
-30128.64000000
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2020-10-19
N/A
1.00000000
NC
-3686.76000000
-0.00025011694
N/A
DFE
PE
N
2
J P MORGAN CHASE BANK
N/A
PERUVIAN INTI
N/A
189448.31000000
USD
667900.00000000
PEN
2020-10-19
-3686.76000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.250000% 06/28/2023
N/A
2730000.00000000
PA
675051.68000000
0.045796814813
Long
DBT
NUSS
RO
N
2
2023-06-28
Fixed
4.25000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 07/01/2021
N/A
5000000.00000000
PA
871093.45000000
0.059096668591
Long
DBT
NUSS
BR
N
2
2021-07-01
None
0.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-84673.30000000
-0.00574440084
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
7510253.49000000
USD
6332000.00000000
EUR
2020-10-05
-84673.30000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS: 8.145%
N/A
136359090.00000000
NC
-74120.28000000
-0.00502846350
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-28
0.00000000
MXN
0.00000000
MXN
-136359090.00000000
MXN
-74120.28000000
N
N
N
Studio City Finance Limited
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD 144A 6.000000% 07/15/2025
86389QAE2
142000.00000000
PA
USD
145166.60000000
0.009848383604
Long
DBT
NUSS
MO
Y
2
2025-07-15
Fixed
6.00000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.250000% 10/22/2030
80413TAT6
3329000.00000000
PA
USD
3615227.42000000
0.245264037655
Long
DBT
NUSS
SA
Y
2
2030-10-22
Fixed
3.25000000
N
N
N
N
N
N
Emirate of Sharjah
N/A
FINANCE DEPARTMENT GOVERNMENT OF SHARJAH MTN 4.000000% 07/28/2050
38381CAB8
2231000.00000000
PA
USD
2281911.42000000
0.154809295079
Long
DBT
NUSS
AE
Y
2
2050-07-28
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-10-02
N/A
1.00000000
NC
USD
26560.31000000
0.001801902927
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
5984859.00000000
BRL
1088373.86000000
USD
2020-10-02
26560.31000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 7.450000% 04/30/2044
P3579EAY3
1672000.00000000
PA
USD
1881000.00000000
0.127610687028
Long
DBT
NUSS
DO
N
2
2044-04-30
Fixed
7.45000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 3.750000% 04/16/2030
N/A
367000.00000000
PA
USD
425203.26000000
0.028846613575
Long
DBT
NUSS
QA
N
2
2030-04-16
Fixed
3.75000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 3.875000% 04/19/2022
N/A
1777000.00000000
PA
USD
1834006.16000000
0.124422533807
Long
DBT
NUSS
KZ
N
2
2022-04-19
Fixed
3.87500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.350000% 08/12/2028
P78024AC3
5940000.00000000
PA
1993733.39000000
0.135258738782
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.478000% 06/14/2024
N/A
6160000.00000000
PA
1550371.06000000
0.105180178689
Long
DBT
NUSS
MY
N
2
2024-06-14
Fixed
3.47800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GHS SETTLE 2021-02-24
N/A
1.00000000
NC
USD
-5051.17000000
-0.00034268116
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1008969.24000000
GHS
161383.44000000
USD
2021-02-24
-5051.17000000
N
N
N
N/A
N/A
R2037 BOND FUTURE NOV20 FINANCIAL COMMODITY FUTURE.
N/A
419.00000000
NC
2014394.75000000
0.136660445504
N/A
DIR
ZA
N
1
R2037 BOND FUTURE NOV20
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2037 Bond Future Nov 2020
2020-11-08
2109562.80000000
ZAR
-95168.05000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.200000% 03/13/2031
N/A
40700000.00000000
PA
1807483.26000000
0.122623168846
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
1.20000000
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
413935.20000000
0.028082166537
Long
DBT
NUSS
ZA
N
2
2027-09-27
Fixed
4.85000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-29453.48000000
-0.00199818118
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
1102646.93000000
USD
4146669.18000000
PLN
2020-12-16
-29453.48000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 05/31/2029
N/A
55069000.00000000
PA
2949527.65000000
0.200101674548
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
ARGENTINA BONCER INFLATION LINKED 2.000000% 11/09/2026
N/A
102998365.00000000
PA
579161.18000000
0.039291417373
Long
DBT
NUSS
AR
N
2
2026-11-09
Fixed
2.00000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.125000% 07/09/2035
040114HT0
6924019.00000000
PA
USD
2603431.14000000
0.176621816271
Long
DBT
NUSS
AR
N
2
2035-07-09
Fixed
0.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2020-10-21
N/A
1.00000000
NC
USD
-22323.37000000
-0.00151446070
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
19322025.00000000
MYR
4631468.88000000
USD
2020-10-21
-22323.37000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.850000% 04/22/2026
N/A
9840000.00000000
PA
2544233.28000000
0.172605718671
Long
DBT
NUSS
RO
N
2
2026-04-22
Fixed
4.85000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.190000% 09/12/2024
P78625DC4
108672100.00000000
PA
4264035.11000000
0.289280409303
Long
DBT
NUSS
MX
N
2
2024-09-12
Fixed
7.19000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-10-05
N/A
1.00000000
NC
USD
-9768.76000000
-0.00066273161
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
2984362101.00000000
KRW
2543129.19000000
USD
2020-10-05
-9768.76000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 10.700000% 08/17/2022
N/A
21356000.00000000
PA
2672220.04000000
0.181288588620
Long
DBT
NUSS
TR
N
2
2022-08-17
Fixed
10.70000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.196000% 07/07/2023
N/A
21779000.00000000
PA
1374603.90000000
0.093255793764
Long
DBT
NUSS
EG
N
2
2023-07-07
Fixed
14.19600000
N
N
N
N
N
N
Leviathan Bond LTD
254900D9T8VKYVQNZ220
LEVIATHAN BOND LTD 144A 6.500000% 06/30/2027
N/A
959000.00000000
PA
USD
994962.50000000
0.067500185110
Long
DBT
NUSS
IL
Y
2
2027-06-30
Fixed
6.50000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.125000% 07/09/2030
040114HS2
15039456.00000000
PA
USD
6316571.52000000
0.428528458974
Long
DBT
NUSS
AR
N
2
2030-07-09
Fixed
0.12500000
N
N
N
N
N
N
Republic of Iraq
2549004N3P710UQ9X454
REPUBLIC OF IRAQ 01/15/2028 5.8%
N/A
1405312.50000000
PA
USD
1252203.70000000
0.084951926877
Long
DBT
NUSS
IQ
N
2
2028-01-15
Fixed
5.80000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.850000% 05/25/2029
N/A
387000.00000000
PA
USD
59919.98000000
0.004065087620
Long
DBT
NUSS
LB
N
2
2029-05-25
Fixed
6.85000000
Y
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2020-10-09
N/A
1.00000000
NC
17252.39000000
0.001170435587
N/A
DFE
CN
N
2
CITIGROUP GLOBAL MARKETS
N/A
CHINESE YUAN RENMINBI
N/A
2517609.39000000
USD
17256941.00000000
CNY
2020-10-09
17252.39000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.9225%
N/A
42601696.00000000
NC
-166059.23000000
-0.01126578013
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-08-31
0.00000000
MXN
0.00000000
MXN
-42601696.00000000
MXN
-166059.23000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 11/07/2047
N/A
60700000.00000000
PA
3038388.91000000
0.206130194717
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-11-06
N/A
1.00000000
NC
USD
-17984.11000000
-0.00122007689
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
11388002.00000000
ZAR
662067.93000000
USD
2020-11-06
-17984.11000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.915%
N/A
3600000000.00000000
NC
-133523.29000000
-0.00905847887
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-05-15
0.00000000
COP
0.00000000
COP
-3600000000.00000000
COP
-133523.29000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.250000% 10/22/2030
N/A
395000.00000000
PA
USD
428962.10000000
0.029101620568
Long
DBT
NUSS
SA
N
2
2030-10-22
Fixed
3.25000000
N
N
N
N
N
N
BRK: JPMORGAN CHASE BANK
N/A
BRK: JPMORGAN CHASE BANK PAY: SINACOFI CHILE INTERBANK RATE AVG(CLICP)
N/A
444724581.00000000
NC
-7757.92000000
-0.00052631233
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE BANK
N/A
Y
2030-08-24
0.00000000
CLP
0.00000000
CLP
-444724581.00000000
CLP
-7757.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-11-06
N/A
1.00000000
NC
USD
28253.25000000
0.001916755259
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
59543993.00000000
ZAR
3584014.31000000
USD
2020-11-06
28253.25000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.000000% 01/27/2023
N/A
560000.00000000
PA
USD
88200.00000000
0.005983659008
Long
DBT
NUSS
LB
N
2
2023-01-27
Fixed
6.00000000
Y
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 9.125000% 11/26/2049
N/A
1061000.00000000
PA
USD
824927.50000000
0.055964681033
Long
DBT
NUSS
AO
N
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND 144A 4.000000% 02/14/2051
77586RAJ9
1742000.00000000
PA
USD
1794260.00000000
0.121726077250
Long
DBT
NUSS
RO
Y
2
2051-02-14
Fixed
4.00000000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 4.375000% 02/05/2050
71568PAM1
265000.00000000
PA
USD
274275.00000000
0.018607347785
Long
DBT
NUSS
ID
Y
2
2050-02-05
Fixed
4.37500000
N
N
N
N
N
N
GTLK EUROPE DESIGNATED ACTIVITY COMPANY
635400FDT7BRRHTMEC11
GTLK EUROPE DAC 5.950000% 07/19/2021
N/A
220000.00000000
PA
USD
224400.00000000
0.015223731084
Long
DBT
NUSS
RU
N
2
2021-07-19
Fixed
5.95000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BNQ CEN TUNISIA INT BOND 6.375000% 07/15/2026
N/A
1630000.00000000
PA
1718556.00000000
0.116590171109
Long
DBT
NUSS
TN
N
2
2026-07-15
Fixed
6.37500000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 4.750000% 02/15/2029
G10367AF0
1204000.00000000
PA
USD
1436010.80000000
0.097421756920
Long
DBT
NUSS
BM
N
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2020-12-16
N/A
1.00000000
NC
62811.51000000
0.004261254622
N/A
DFE
CN
N
2
CITIGROUP GLOBAL MARKETS
N/A
CHINESE YUAN RENMINBI
N/A
7246872.51000000
USD
49865150.00000000
CNY
2020-12-16
62811.51000000
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
731325.00000000
0.049614505949
Long
DBT
NUSS
LK
Y
2
2023-04-18
Fixed
5.75000000
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
1519799.37000000
0.103106135965
Long
DBT
NUSS
CN
N
2
2027-12-21
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
R208 BOND FUTURE NOV20 FINANCIAL COMMODITY FUTURE.
N/A
117.00000000
NC
715706.61000000
0.048554924089
N/A
DIR
ZA
N
1
R208 BOND FUTURE NOV20
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R208 Bond Future Nov 2020
2020-11-08
728681.71000000
ZAR
-12975.10000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-11-06
N/A
1.00000000
NC
USD
-11529.91000000
-0.00078221144
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
19535642.00000000
MXN
869889.32000000
USD
2020-11-06
-11529.91000000
N
N
N
Empresas Publicas de Medellin E.S.P.
549300SU25TO8EMXB434
EMPRESAS PUBLICAS DE MEDELLIN ESP 144A 8.375000% 11/08/2027
29246BAD0
2351000000.00000000
PA
630025.97000000
0.042742183347
Long
DBT
NUSS
CO
Y
2
2027-11-08
Fixed
8.37500000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 8.450000% 08/10/2028
29646AAD8
471000.00000000
PA
USD
432495.75000000
0.029341350236
Long
DBT
NUSS
ZA
Y
2
2028-08-10
Fixed
8.45000000
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
385789.02000000
0.026172675114
Long
DBT
NUSS
CL
N
2
2027-08-01
Fixed
3.62500000
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
1717934.46000000
0.116548004630
Long
DBT
NUSS
NG
N
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 5.350000% 02/12/2028
71654QCH3
1079000.00000000
PA
USD
933335.00000000
0.063319256022
Long
DBT
NUSS
MX
Y
2
2028-02-12
Fixed
5.35000000
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
2175520.90000000
0.147591555924
Long
DBT
NUSS
MN
N
2
2024-03-09
Fixed
8.75000000
N
N
N
N
N
BRK:JPM MORGAN
N/A
BRK:JPM MORGAN REC:6.23% FIXED
N/A
5579011.00000000
NC
34750.11000000
0.002357514838
N/A
DIR
XX
N
2
BRK:JPM MORGAN
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-5579011.00000000
BRL
34750.11000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.642000% 11/07/2033
N/A
500000.00000000
PA
138623.07000000
0.009404457841
Long
DBT
NUSS
MY
N
2
2033-11-07
Fixed
4.64200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
97081.90000000
0.006586224325
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
7598800.00000000
EUR
9022201.14000000
USD
2020-12-16
97081.90000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 01/01/2024
N/A
20000000.00000000
PA
2946738.00000000
0.199912419283
Long
DBT
NUSS
BR
N
2
2024-01-01
None
0.00000000
N
N
N
N
N
N
ABY TRANSMISION SUR S.A.
549300PQCSQSSZTVDH16
ABY TRANSMISION SUR SA 144A 6.875000% 04/30/2043
00289LAA3
266120.40000000
PA
USD
346954.47000000
0.023538063946
Long
DBT
NUSS
PE
Y
2
2043-04-30
Fixed
6.87500000
N
N
N
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
508270.00000000
0.034482022273
Long
DBT
NUSS
TR
Y
2
2026-03-14
Fixed
6.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2020-10-29
N/A
1.00000000
NC
USD
-650302.36000000
-0.04411777295
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
59753399.25000000
UAH
2111345.47000000
USD
2020-10-29
-650302.36000000
N
N
N
Leviathan Bond LTD
254900D9T8VKYVQNZ220
LEVIATHAN BOND LTD 144A 6.750000% 06/30/2030
N/A
393849.00000000
PA
USD
407633.72000000
0.027654661916
Long
DBT
NUSS
IL
Y
2
2030-06-30
Fixed
6.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
Turkey Government Bond 3.000000% 08/02/2023
N/A
5302000.00000000
PA
1485724.72000000
0.100794445642
Long
DBT
USGA
TR
N
2
2023-08-02
Fixed
3.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 06/15/2035
N/A
31796000000.00000000
PA
2150717.34000000
0.145908834322
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
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
404300.75000000
0.027428546769
Long
DBT
NUSS
TR
Y
2
2024-06-21
Fixed
5.85000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS: 1.7
N/A
140000000.00000000
NC
-270385.71000000
-0.01834349081
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-06-18
0.00000000
CZK
0.00000000
CZK
-140000000.00000000
CZK
-270385.71000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.390000% 03/16/2050
N/A
8350000.00000000
PA
1123153.83000000
0.076196933484
Long
DBT
NUSS
CN
N
2
2050-03-16
Fixed
3.39000000
N
N
N
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-3214.40000000
-0.00021807112
N/A
DFE
PE
N
2
J P MORGAN CHASE BANK
N/A
PERUVIAN INTI
N/A
715590.29000000
USD
2561205.00000000
PEN
2020-12-16
-3214.40000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-12-09
N/A
1.00000000
NC
-6802.31000000
-0.00046148189
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
ROMANIAN LEU
N/A
3213797.08000000
EUR
15726958.00000000
RON
2020-12-09
-6802.31000000
N
N
N
Cable Onda, S.A.
5299008Q5GONPYNF9J32
CABLE ONDA SA 144A 4.500000% 01/30/2030
12686LAA7
208000.00000000
PA
USD
216486.40000000
0.014686857116
Long
DBT
NUSS
PA
Y
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.64
N/A
14000000.00000000
NC
-25703.80000000
-0.00174379562
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-06-21
0.00000000
CZK
0.00000000
CZK
-14000000.00000000
CZK
-25703.80000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 15.700000% 01/20/2021
903724BS0
48000000.00000000
PA
1729790.41000000
0.117352335265
Long
DBT
NUSS
UA
Y
2
2021-01-20
Fixed
15.70000000
N
N
N
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGLOBAL CANADA ULC MTN 5.875000% 05/18/2030
58518N2A9
222000.00000000
PA
USD
258908.39000000
0.017564847169
Long
DBT
NUSS
KW
Y
2
2030-05-18
Fixed
5.87500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS & CO.
N/A
BRK: GOLDMAN SACHS & CO. REC:6M BUDAPEST INTERBANK OFFER RATE(BUBOR)
N/A
734635285.00000000
NC
36058.30000000
0.002446264984
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO.
N/A
Y
2025-06-23
0.00000000
HUF
0.00000000
HUF
-734635285.00000000
HUF
36058.30000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2029
N/A
68743000000.00000000
PA
5030065.75000000
0.341249413160
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2020-10-30
N/A
1.00000000
NC
USD
-275120.80000000
-0.01866472849
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
23434077.54000000
UAH
817372.78000000
USD
2020-10-30
-275120.80000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 5.100000% 06/18/2050
760942BA9
535000.00000000
PA
USD
719575.00000000
0.048817363167
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.625000% 06/15/2035
706451BG5
4400000.00000000
PA
USD
3653958.00000000
0.247891595296
Long
DBT
NUSS
MX
N
2
2035-06-15
Fixed
6.62500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2020-12-16
N/A
1.00000000
NC
-31806.01000000
-0.00215778138
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
1495050.12000000
EUR
6662048.00000000
PLN
2020-12-16
-31806.01000000
N
N
N
Instituto Costarricense de Electricidad
5493009VA6AFUB2Q0289
INSTITUTO COSTARRICENSE DE ELECTRICIDAD 6.375000% 05/15/2043
P56226AQ9
250000.00000000
PA
USD
198125.00000000
0.013441184140
Long
DBT
NUSS
CR
N
2
2043-05-15
Fixed
6.37500000
N
N
N
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE VIA STATE OF MINAS GERAIS 5.333000% 02/15/2028
G13201AA9
1744800.00000000
PA
USD
1790601.00000000
0.121477843595
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.253000% 03/15/2033
N/A
453000.00000000
PA
USD
416216.40000000
0.028236927568
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25300000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.875000% 02/28/2035
N/A
41898591.00000000
PA
2102498.10000000
0.142637547589
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-5964.28000000
-0.00040462831
N/A
DFE
TR
N
2
GOLDMAN, SACHS & CO.
N/A
TURKISH LIRA
N/A
1533469.39000000
USD
12022400.00000000
TRY
2020-12-16
-5964.28000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC BON 11.250000% 02/05/2027
N/A
14500000.00000000
PA
270505.60000000
0.018351624381
Long
DBT
NUSS
DO
N
2
2027-02-05
Fixed
11.25000000
N
N
N
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
741520.00000000
0.050306154516
Long
DBT
NUSS
MX
Y
2
2024-11-14
Fixed
6.37500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.125000% 03/11/2039
N/A
1258000.00000000
PA
1674343.61000000
0.113590716849
Long
DBT
NUSS
RO
N
2
2039-03-11
Fixed
4.12500000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS980FQ9
317794.10000000
NC
USD
11861.15000000
0.000804683413
N/A
DO
XX
N
2
BRK; GOLDMAN SACHS
N/A
Y
2025-06-20
9167.72000000
USD
0.00000000
USD
317794.10000000
USD
2693.43000000
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 8.125000% 04/28/2034
698299AT1
478000.00000000
PA
USD
685337.28000000
0.046494609860
Long
DBT
NUSS
PA
N
2
2034-04-28
Fixed
8.12500000
N
N
N
N
N
N
BRK: CITIBANK
N/A
BRK: CITIBANK REC: 2.5375%
N/A
44500000.00000000
NC
12879.87000000
0.000873795353
N/A
DIR
XX
N
2
BRK: CITIBANK
N/A
Y
2022-08-31
0.00000000
CNY
0.00000000
CNY
-44500000.00000000
CNY
12879.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-10-19
N/A
1.00000000
NC
USD
21127.01000000
0.001433297321
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1912200.00000000
BRL
360302.98000000
USD
2020-10-19
21127.01000000
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
2434649.10000000
0.165171315429
Long
DBT
NUSS
AZ
N
2
2023-03-13
Fixed
4.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 05/22/2040
N/A
1500000.00000000
PA
382242.81000000
0.025932093352
Long
DBT
NUSS
MY
N
2
2040-05-22
Fixed
3.75700000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.000000% 03/14/2029
N/A
1334000.00000000
PA
USD
1559072.48000000
0.105770499893
Long
DBT
NUSS
QA
N
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
10281.14000000
0.000697492471
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
851653.00000000
EUR
1009020.50000000
USD
2020-10-05
10281.14000000
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
595055.76000000
0.040369736498
Long
DBT
NUSS
CL
N
2
2043-10-18
Fixed
5.62500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
10608431.15000000
NC
91428.69000000
0.006202699598
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-04
0.00000000
BRL
0.00000000
BRL
-10608431.15000000
BRL
91428.69000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-10-02
N/A
1.00000000
NC
-505876.64000000
-0.03431965209
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
7980710.98000000
USD
42131530.00000000
BRL
2020-10-02
-505876.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
-3586.70000000
-0.00024332868
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
497124.00000000
EUR
579394.05000000
USD
2020-10-05
-3586.70000000
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-1591.60000000
-0.00010797722
N/A
DFE
PE
N
2
J P MORGAN CHASE BANK
N/A
PERUVIAN INTI
N/A
465228.20000000
USD
1666912.63000000
PEN
2020-12-16
-1591.60000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICAN UDIBONOS 4.0% 11/15/2040
N/A
39297480.00000000
PA
2041601.61000000
0.138506211637
Long
DBT
NUSS
MX
N
2
2040-11-15
Floating
3.99999966
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-149009.40000000
-0.01010908660
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
9178548443.00000000
KRW
7732885.50000000
USD
2020-12-16
-149009.40000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
55738.83000000
0.003781430297
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
1202662.92000000
USD
21072919.00000000
ZAR
2020-11-06
55738.83000000
N
N
N
BRK: JPMORGAN CHASE
N/A
BRK: JPMORGAN CHASE PAY:7D CHINA FIXING REPO RATES (CNRR07)
N/A
45500000.00000000
NC
-6370.88000000
-0.00043221285
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE
N/A
Y
2025-07-16
0.00000000
CNY
0.00000000
CNY
-45500000.00000000
CNY
-6370.88000000
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT 4.250000% 01/26/2023
P3699PGB7
670000.00000000
PA
USD
646550.00000000
0.043863205581
Long
DBT
NUSS
CR
N
2
2023-01-26
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-4568.87000000
-0.00030996099
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
17297247048.00000000
IDR
1145058.06000000
USD
2020-12-16
-4568.87000000
N
N
N
Studio City Finance Limited
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD 144A 6.500000% 01/15/2028
86389QAF9
371000.00000000
PA
USD
387695.00000000
0.026301980493
Long
DBT
NUSS
MO
Y
2
2028-01-15
Fixed
6.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.125000% 04/15/2031
195325DS1
3061000.00000000
PA
USD
3140616.61000000
0.213065520092
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2020-10-01
N/A
1.00000000
NC
505.10000000
0.000034266963
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
10242056.00000000
RON
2101796.84000000
EUR
2020-10-01
505.10000000
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
807314.20000000
0.054769760611
Long
DBT
NUSS
KZ
N
2
2022-12-10
Fixed
4.12500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.625000% 05/16/2029
374422AG8
653000.00000000
PA
USD
588842.75000000
0.039948233853
Long
DBT
NUSS
GH
Y
2
2029-05-16
Fixed
7.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-19
N/A
1.00000000
NC
USD
16340.96000000
0.001108602409
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
63503600.00000000
RUB
833369.64000000
USD
2020-10-19
16340.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
19395.17000000
0.001315805937
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1952647.80000000
EUR
2312864.46000000
USD
2020-12-16
19395.17000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 9.000000% 11/17/2021
P7807HAP0
4300000.00000000
PA
USD
107500.00000000
0.007293008429
Long
DBT
NUSS
VE
N
2
2021-11-17
Fixed
9.00000000
Y
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
23602.66000000
0.001601250217
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
23602.66000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.750000% 09/20/2029
N/A
200000.00000000
PA
USD
214028.91000000
0.014520136230
Long
DBT
NUSS
BH
N
2
2029-09-20
Fixed
6.75000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 5.875000% 02/08/2028
N/A
203510000.00000000
PA
2367921.72000000
0.160644400594
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.87500000
N
N
N
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
599865.00000000
0.040696004664
Long
DBT
NUSS
MX
Y
2
2169-09-27
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-11-27
N/A
1.00000000
NC
USD
8289.27000000
0.000562360148
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
11462626023.00000000
IDR
772674.49000000
USD
2020-11-27
8289.27000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.400000% 06/17/2036
N/A
216743000.00000000
PA
8424510.15000000
0.571535102667
Long
DBT
NUSS
TH
N
2
2036-06-17
Fixed
3.40000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
12719000.00000000
PA
3299495.28000000
0.223844157111
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
6017.11000000
0.000408212408
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
11655729146.00000000
IDR
780691.84000000
USD
2020-12-16
6017.11000000
N
N
N
Provincia de Cordoba
5299006CLM2Z97AATT29
PROVINCIA DE CORDOBA 144A 7.125000% 06/10/2021
74408DAC8
531000.00000000
PA
USD
323910.00000000
0.021974682421
Long
DBT
NUSS
AR
Y
2
2021-06-10
Fixed
7.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-8377.83000000
-0.00056836823
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
879582.97000000
USD
742901.00000000
EUR
2020-10-05
-8377.83000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-11-27
N/A
1.00000000
NC
-352.40000000
-0.00002390749
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
INDONESIA RUPIAH
N/A
253138.71000000
USD
3790752234.00000000
IDR
2020-11-27
-352.40000000
N
N
N
VEB FINANCE PUBLIC LIMITED COMPANY
635400KYY8E2NCZXJ191
VEB FINANCE 6.8% 11/22/2025
N/A
580000.00000000
PA
USD
692206.80000000
0.046960651416
Long
DBT
NUSS
RU
N
2
2025-11-22
Fixed
6.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2020-11-02
N/A
1.00000000
NC
USD
-52227.22000000
-0.00354319586
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
114780600.75000000
NGN
242921.91000000
USD
2020-11-02
-52227.22000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-9975.36000000
-0.00067674776
N/A
DFE
TH
N
2
JP MORGAN
N/A
THAILAND BAHT
N/A
764034.41000000
USD
23893266.00000000
THB
2020-12-16
-9975.36000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.795000% 09/30/2022
N/A
3200000.00000000
PA
798798.51000000
0.054192039690
Long
DBT
NUSS
MY
N
2
2022-09-30
Fixed
3.79500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.950000% 01/28/2060
71654QDA7
3398000.00000000
PA
USD
2628353.00000000
0.178312563574
Long
DBT
NUSS
MX
Y
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2020-10-19
N/A
1.00000000
NC
1886.54000000
0.000127986531
N/A
DFE
PH
N
2
JP MORGAN
N/A
PHILLIPINE PESO
N/A
506866.62000000
USD
24673000.00000000
PHP
2020-10-19
1886.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-10-05
N/A
1.00000000
NC
USD
-41879.52000000
-0.00284118783
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
2974855505.00000000
KRW
2502886.25000000
USD
2020-10-05
-41879.52000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.000000% 10/13/2033
N/A
24480000.00000000
PA
1184670.82000000
0.080370365360
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
2.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2020-12-11
N/A
1.00000000
NC
-7578.96000000
-0.00051417134
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
769824990.00000000
HUF
2108726.52000000
EUR
2020-12-11
-7578.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-11-05
N/A
1.00000000
NC
USD
2461.21000000
0.000166973258
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1852848.00000000
TRY
241099.28000000
USD
2020-11-05
2461.21000000
N
N
N
Gaz Capital S.A.
213800568PRHV2JR9650
GAZPROM PJSC VIA GAZ CAPITAL SA 144A 4.950000% 02/06/2028
368266AT9
640000.00000000
PA
USD
713536.00000000
0.048407665698
Long
DBT
NUSS
RU
Y
2
2028-02-06
Fixed
4.95000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.875000% 09/16/2025
836205AR5
790000.00000000
PA
USD
844336.20000000
0.057281404872
Long
DBT
NUSS
ZA
N
2
2025-09-16
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-11-27
N/A
1.00000000
NC
USD
5906.50000000
0.000400708411
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
4833064135.00000000
IDR
328199.38000000
USD
2020-11-27
5906.50000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.125000% 07/09/2046
040114HW3
4969165.00000000
PA
USD
1907165.53000000
0.129385807315
Long
DBT
NUSS
AR
N
2
2046-07-09
Fixed
0.12500000
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
739968.51000000
0.050200898426
Long
DBT
NUSS
DO
Y
2
2023-02-15
Fixed
8.90000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-6121.25000000
-0.00041527746
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
568315.77000000
USD
479399.00000000
EUR
2020-10-05
-6121.25000000
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 6.250000% 07/30/2024
N/A
677000.00000000
PA
USD
695482.10000000
0.047182854118
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/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
-4625.13000000
-0.00031377778
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
520560.00000000
EUR
605839.18000000
USD
2020-10-05
-4625.13000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2023
N/A
101817000.00000000
PA
20063975.34000000
1.361178988652
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.750000% 07/23/2029
N/A
97920000.00000000
PA
4946390.10000000
0.335572694827
Long
DBT
NUSS
CZ
N
2
2029-07-23
Fixed
2.75000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.700000% 03/23/2033
N/A
345745000.00000000
PA
4978514.14000000
0.337752051985
Long
DBT
NUSS
RU
N
2
2033-03-23
Fixed
7.70000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 5.450000% 09/16/2032
05675M2D5
1929000.00000000
PA
USD
1832065.61000000
0.124290883132
Long
DBT
NUSS
BH
Y
2
2032-09-16
Fixed
5.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
9769.58000000
0.000662787249
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1088926.59000000
EUR
1288760.95000000
USD
2020-12-16
9769.58000000
N
N
N
POWERTEK INVESTMENT HOLDINGS SDN. BHD.
N/A
1MDB ENERGY LTD 5.990000% 05/11/2022
N/A
2000000.00000000
PA
USD
2084561.38000000
0.141420685727
Long
DBT
NUSS
MY
N
2
2022-05-11
Fixed
5.99000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
49554.07000000
0.003361844188
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
1220278.08000000
USD
21264330.00000000
ZAR
2020-11-06
49554.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-12-16
N/A
1.00000000
NC
USD
6822.00000000
0.000462817707
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
25885607.31000000
RUB
337683.14000000
USD
2020-12-16
6822.00000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-11-06
N/A
1.00000000
NC
15701.02000000
0.001065187639
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
MEXICAN PESO
N/A
2430372.46000000
USD
54214401.00000000
MXN
2020-11-06
15701.02000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 5.103000% 04/23/2048
74727PAY7
694000.00000000
PA
USD
964090.92000000
0.065405797266
Long
DBT
NUSS
QA
Y
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
MILLICOM INTERNATIONAL CELLULAR S.A.
549300CTHC1CP86P2G96
MILLICOM INTERNATIONAL CELLULAR SA 144A 6.250000% 03/25/2029
600814AQ0
449000.00000000
PA
USD
479307.50000000
0.032517150118
Long
DBT
NUSS
CO
Y
2
2029-03-25
Fixed
6.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-11-27
N/A
1.00000000
NC
USD
2451.20000000
0.000166294160
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
11241086602.00000000
IDR
752063.06000000
USD
2020-11-27
2451.20000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.250000% 03/22/2030
N/A
855000.00000000
PA
906504.33000000
0.061499011347
Long
DBT
NUSS
CI
N
2
2030-03-22
Fixed
5.25000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 2.750000% 02/03/2032
N/A
1146000.00000000
PA
USD
1191931.68000000
0.080862956180
Long
DBT
NUSS
SA
N
2
2032-02-03
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
9273.05000000
0.000629101691
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
479230.00000000
EUR
571269.38000000
USD
2020-10-05
9273.05000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.950000% 08/12/2031
715638BE1
23360000.00000000
PA
7949418.00000000
0.539303930066
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-11-20
N/A
1.00000000
NC
-62.76000000
-0.00000425776
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
47157.86000000
USD
182000.00000000
PLN
2020-11-20
-62.76000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2025
N/A
1058000.00000000
PA
USD
1059248.44000000
0.071861467922
Long
DBT
NUSS
UA
N
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-2216.92000000
-0.00015040015
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
3446624759.00000000
IDR
226856.10000000
USD
2020-12-16
-2216.92000000
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
1067560.65000000
0.072425384365
Long
DBT
NUSS
IN
Y
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-11-06
N/A
1.00000000
NC
USD
-24531.74000000
-0.00166428080
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
22338713.00000000
ZAR
1309458.84000000
USD
2020-11-06
-24531.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2020-12-17
N/A
1.00000000
NC
USD
185.98000000
0.000012617243
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
17838967.00000000
PHP
367072.04000000
USD
2020-12-17
185.98000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
18330000.00000000
PA
899515.57000000
0.061024880319
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
N
N
N
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE VIA STATE OF MINAS GERAIS 144A 5.333000% 02/15/2028
105860AA8
179200.00000000
PA
USD
183904.00000000
0.012476403927
Long
DBT
NUSS
BR
Y
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 5.103000% 04/23/2048
N/A
567000.00000000
PA
USD
787665.06000000
0.053436724856
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 05/15/2038
N/A
58662000000.00000000
PA
3908828.83000000
0.265182526566
Long
DBT
NUSS
ID
N
2
2038-05-15
Fixed
7.50000000
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
374027.94000000
0.025374780643
Long
DBT
NUSS
XX
Y
2
2029-09-21
Fixed
3.99400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2020-12-16
N/A
1.00000000
NC
USD
144999.64000000
0.009837056714
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
14074855013.00000000
COP
3786474.28000000
USD
2020-12-16
144999.64000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 3.875000% 06/12/2030
105756CC2
6250000.00000000
PA
USD
6250000.00000000
0.424012117983
Long
DBT
NUSS
BR
N
2
2030-06-12
Fixed
3.87500000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 3.150000% 01/14/2030
21987BBB3
297000.00000000
PA
USD
315832.77000000
0.021426707477
Long
DBT
NUSS
CL
Y
2
2030-01-14
Fixed
3.15000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 4.750000% 02/11/2029
455780CH7
985000.00000000
PA
USD
1168103.05000000
0.079246375720
Long
DBT
NUSS
ID
N
2
2029-02-11
Fixed
4.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 10.600000% 02/11/2026
N/A
13915967.00000000
PA
1656372.44000000
0.112371517832
Long
DBT
NUSS
TR
N
2
2026-02-11
Fixed
10.60000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
26000000.00000000
NC
68392.44000000
0.004639875734
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-09-16
0.00000000
MXN
0.00000000
MXN
-26000000.00000000
MXN
68392.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GHS SETTLE 2021-02-24
N/A
1.00000000
NC
USD
-5264.14000000
-0.00035712946
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1010260.31000000
GHS
161383.44000000
USD
2021-02-24
-5264.14000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3-MONTH MOSCOW PRIME OFFERED RATE - RUB
N/A
535000000.00000000
NC
92092.07000000
0.006247704584
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-12-14
0.00000000
RUB
0.00000000
RUB
-535000000.00000000
RUB
92092.07000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
STATE OF ISRAEL 4.500000% 04/03/2120
46513JB59
2842000.00000000
PA
USD
3893540.00000000
0.264145302696
Long
DBT
NUSS
IL
N
2
2120-04-03
Fixed
4.50000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 6.500000% 11/28/2027
N/A
130000.00000000
PA
USD
123689.80000000
0.008391355851
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 6.375000% 02/11/2027
37443GAG6
2568000.00000000
PA
USD
2307954.05000000
0.156576077591
Long
DBT
NUSS
GH
Y
2
2027-02-11
Fixed
6.37500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.750000% 03/11/2061
37443GAJ0
658000.00000000
PA
USD
554114.96000000
0.037592233247
Long
DBT
NUSS
GH
Y
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
GEOPARK LIMITED
529900ZR5QI19AH4KZ07
GEOPARK LTD 144A 6.500000% 09/21/2024
37255BAA7
492000.00000000
PA
USD
466170.00000000
0.031625876646
Long
DBT
NUSS
CO
Y
2
2024-09-21
Fixed
6.50000000
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
4007384.58630000
PA
USD
3546553.35000000
0.240605055595
Long
DBT
NUSS
AO
N
2
2023-07-01
Floating
7.86687840
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 5.375000% 04/24/2032
P5015VAK2
600000.00000000
PA
USD
688200.00000000
0.046688822335
Long
DBT
NUSS
GT
N
2
2032-04-24
Fixed
5.37500000
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
757785.00000000
0.051409603652
Long
DBT
NUSS
LK
Y
2
2023-04-18
Fixed
5.75000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 6.750000% 10/22/2028
N/A
489630000.00000000
PA
2138088.10000000
0.145052042194
Long
DBT
NUSS
HU
N
2
2028-10-22
Fixed
6.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.800000% 08/17/2023
N/A
30074000.00000000
PA
7582668.10000000
0.514422905767
Long
DBT
NUSS
MY
N
2
2023-08-17
Fixed
3.80000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.500000% 01/25/2050
168863DL9
1423000.00000000
PA
USD
1622220.00000000
0.110054550085
Long
DBT
NUSS
CL
N
2
2050-01-25
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
10420.93000000
0.000706976096
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1088717.01000000
EUR
1289166.14000000
USD
2020-12-16
10420.93000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2020-11-10
N/A
1.00000000
NC
-555.64000000
-0.00003769569
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
11787960.53000000
CZK
434675.34000000
EUR
2020-11-10
-555.64000000
N
N
N
BRK: GOLDMAN SACHS & CO.
N/A
BRK: GOLDMAN SACHS & CO. PAY: 1D SINACOFI CHILE INTERBANK RATE AVG (CLICP)
N/A
2335690714.00000000
NC
-4066.04000000
-0.00027584803
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO.
N/A
Y
2025-06-23
0.00000000
CLP
0.00000000
CLP
-2335690714.00000000
CLP
-4066.04000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 7.750000% 01/17/2038
Y20721AL3
1797000.00000000
PA
USD
2776072.48000000
0.188334139507
Long
DBT
NUSS
ID
N
2
2038-01-17
Fixed
7.75000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 5.950000% 01/28/2031
71654QCZ3
2188000.00000000
PA
USD
1847766.00000000
0.125356028031
Long
DBT
NUSS
MX
Y
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.160000% 01/23/2030
698299BK9
2099000.00000000
PA
USD
2282683.49000000
0.154861673804
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.650000% 04/10/2030
N/A
100827000.00000000
PA
1437086.43000000
0.097494729745
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA GOVERNMENT INTERNATIONAL BOND 144A 5.125000% 04/07/2026
60937LAC9
201000.00000000
PA
USD
202005.00000000
0.013704410862
Long
DBT
NUSS
MN
Y
2
2026-04-07
Fixed
5.12500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 01/28/2050
N/A
1660000.00000000
PA
1984400.48000000
0.134625576072
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
21493.82000000
0.001458182422
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
616412.74000000
USD
10682243.00000000
ZAR
2020-11-06
21493.82000000
N
N
N
Emirate of Sharjah
N/A
FINANCE DEPARTMENT GOVERNMENT OF SHARJAH MTN 4.000000% 07/28/2050
N/A
674000.00000000
PA
USD
689380.68000000
0.046768921955
Long
DBT
NUSS
AE
N
2
2050-07-28
Fixed
4.00000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 24.750000% 07/19/2021
N/A
119.00000000
PA
21.73000000
0.000001474205
Long
DBT
NUSS
GH
N
2
2021-07-19
Fixed
24.75000000
N
N
N
N
N
N
Banco de Credito e Inversiones
549300E9E5Y3PKW24142
BANCO DE CREDITO E INVERSIONES SA 144A 3.500000% 10/12/2027
05890MAA1
1046000.00000000
PA
USD
1138707.44000000
0.077252120543
Long
DBT
NUSS
CL
Y
2
2027-10-12
Fixed
3.50000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 7.350000% 11/25/2025
N/A
39784700.00000000
PA
1734247.62000000
0.117654721034
Long
DBT
NUSS
MX
N
2
2025-11-25
Fixed
7.35000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2020-10-05
N/A
1.00000000
NC
29337.91000000
0.001990340697
N/A
DFE
KR
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
2523560.04000000
USD
2984362101.00000000
KRW
2020-10-05
29337.91000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.750000% 05/11/2047
900123CM0
252000.00000000
PA
USD
199256.40000000
0.013517940509
Long
DBT
NUSS
TR
N
2
2047-05-11
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
8688.81000000
0.000589465716
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1090634.22000000
EUR
1289685.87000000
USD
2020-12-16
8688.81000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
-7557.19000000
-0.00051269442
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
1276151.77000000
USD
21243606.00000000
ZAR
2020-11-06
-7557.19000000
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.870000% 07/23/2060
698299BL7
2826000.00000000
PA
USD
3231531.00000000
0.219233328582
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.000000% 04/25/2021
N/A
912000.00000000
PA
238523.26000000
0.016181880425
Long
DBT
NUSS
PL
N
2
2021-04-25
Fixed
2.00000000
N
N
N
N
N
N
URUGUAY PESO
N/A
FX Forward Contract: UYU/USD SETTLE 2020-10-19
N/A
1.00000000
NC
-25258.53000000
-0.00171358764
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
URUGUAY PESO
N/A
208277.70000000
USD
7800000.00000000
UYU
2020-10-19
-25258.53000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 7.625000% 05/29/2032
N/A
621000.00000000
PA
USD
606251.25000000
0.041129260246
Long
DBT
NUSS
EG
N
2
2032-05-29
Fixed
7.62500000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 3.125000% 09/30/2049
29135LAF7
2552000.00000000
PA
USD
2730640.00000000
0.185251911975
Long
DBT
NUSS
AE
Y
2
2049-09-30
Fixed
3.12500000
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
226678.00000000
0.015378275020
Long
DBT
NUSS
BR
Y
2
2030-02-04
Fixed
4.62500000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND DEC20 FINANCIAL COMMODITY FUTURE.
N/A
-18.00000000
NC
-4700259.16000000
-0.31887469464
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
EURO-BUXL 30Y BND DEC20
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Dec 2020
2020-12-11
-4646611.67000000
EUR
-53647.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2020-12-16
N/A
1.00000000
NC
USD
5094.37000000
0.000345611938
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
2145960.80000000
RON
518861.87000000
USD
2020-12-16
5094.37000000
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
2408813.75000000
0.163418595194
Long
DBT
NUSS
ID
N
2
2025-05-28
Fixed
4.32500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.000000% 06/26/2026
N/A
16430000.00000000
PA
727295.52000000
0.049341138213
Long
DBT
NUSS
CZ
N
2
2026-06-26
Fixed
1.00000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-10-19
N/A
1.00000000
NC
-20549.31000000
-0.00139410503
N/A
DFE
TH
N
2
JP MORGAN
N/A
THAILAND BAHT
N/A
1628159.56000000
USD
50938600.00000000
THB
2020-10-19
-20549.31000000
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP PAY: 5.08125%
N/A
152894682.00000000
NC
-60605.16000000
-0.00411157156
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2025-02-25
0.00000000
INR
0.00000000
INR
-152894682.00000000
INR
-60605.16000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH PZL - WIBOR
N/A
11700000.00000000
NC
243006.92000000
0.016486060613
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-02-26
0.00000000
PLN
0.00000000
PLN
-11700000.00000000
PLN
243006.92000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
11518838.00000000
NC
33211.33000000
0.002253121019
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-11518838.00000000
BRL
33211.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-12-15
N/A
1.00000000
NC
USD
-1380.00000000
-0.00009362187
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
244283.40000000
EUR
285531.87000000
USD
2020-12-15
-1380.00000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.700000% 11/25/2024
N/A
1740000.00000000
PA
425434.29000000
0.028862287098
Long
DBT
NUSS
RO
N
2
2024-11-25
Fixed
3.70000000
N
N
N
N
N
N
DIANJIAN HAIYU LIMITED
30030053J86AJARAGD28
DIANJIAN HAIYU LTD MTN 4.300000% MATURITY: PERPETUAL
N/A
204000.00000000
PA
USD
210222.00000000
0.014261868074
Long
DBT
NUSS
CN
N
2
2168-12-20
Fixed
4.30000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.400000% 09/25/2023
N/A
790000.00000000
PA
196474.73000000
0.013329226623
Long
DBT
NUSS
RO
N
2
2023-09-25
Fixed
4.40000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-12-15
N/A
1.00000000
NC
-10325.34000000
-0.00070049108
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
1025588.51000000
USD
864418.54000000
EUR
2020-12-15
-10325.34000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 8.500000% 09/17/2024
N/A
9200000.00000000
PA
621540.53000000
0.042166514646
Long
DBT
NUSS
XX
N
2
2024-09-17
Fixed
8.50000000
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
748440.00000000
0.050775620733
Long
DBT
NUSS
PA
Y
2
2048-11-18
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2020-11-02
N/A
1.00000000
NC
USD
-33335.84000000
-0.00226156801
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
76692670.73000000
NGN
163873.23000000
USD
2020-11-02
-33335.84000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERUVIAN GOVERNMENT INTERNATIONAL BOND 144A 5.700000% 08/12/2024
715638BT8
4932000.00000000
PA
1614037.71000000
0.109499447667
Long
DBT
NUSS
PE
Y
2
2024-08-12
Fixed
5.70000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.125000% 08/01/2023
N/A
520000.00000000
PA
USD
550759.35000000
0.037364582158
Long
DBT
NUSS
BH
N
2
2023-08-01
Fixed
6.12500000
N
N
N
N
N
N
DP World PLC
549300M3U2DNF4QVSS04
DP WORLD PLC MTN 5.625000% 09/25/2048
23330JAB7
1009000.00000000
PA
USD
1150260.00000000
0.078035868613
Long
DBT
NUSS
AE
Y
2
2048-09-25
Fixed
5.62500000
N
N
N
N
N
N
CENCOSUD S.A.
549300NLTGCFV7482429
CENCOSUD SA 144A 4.375000% 07/17/2027
15132HAH4
1819000.00000000
PA
USD
1979226.09000000
0.134274535422
Long
DBT
NUSS
CL
Y
2
2027-07-17
Fixed
4.37500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.750000% 07/25/2021
N/A
5000000.00000000
PA
1311779.79000000
0.088993684333
Long
DBT
NUSS
PL
N
2
2021-07-25
Fixed
1.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.775000% 06/25/2032
N/A
210074000.00000000
PA
8263028.34000000
0.560579863583
Long
DBT
NUSS
TH
N
2
2032-06-25
Fixed
3.77500000
N
N
N
N
N
N
KONDOR FINANCE PLC
213800PUC1T9GI6EIO63
NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC 144A 7.625000% 11/08/2026
50050MAB1
990000.00000000
PA
USD
949389.80000000
0.064408444782
Long
DBT
NUSS
UA
Y
2
2026-11-08
Fixed
7.62500000
N
N
N
N
N
N
CBB International Sukuk Programme Company S.P.C.
5493006IRJ2IWXTNIM16
CBB INTERNATIONAL SUKUK PROGRAMME CO SPC 144A 3.950000% 09/16/2027
12482TAB4
1929000.00000000
PA
USD
1884756.86000000
0.127865559694
Long
DBT
NUSS
BH
Y
2
2027-09-16
Fixed
3.95000000
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
215719.98000000
0.014634861697
Long
DBT
NUSS
CN
N
2
2169-07-19
Fixed
4.25000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-42013.78000000
-0.00285029629
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
1578370.98000000
USD
5936269.03000000
PLN
2020-12-16
-42013.78000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.050000% 01/19/2028
N/A
953320000.00000000
PA
13073786.96000000
0.886951055835
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-10-26
N/A
1.00000000
NC
USD
7679.62000000
0.000521000310
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
2881966775.00000000
KRW
2480231.31000000
USD
2020-10-26
7679.62000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 9.500000% 09/15/2027
71654QAM4
169000.00000000
PA
USD
179106.20000000
0.012150911872
Long
DBT
NUSS
MX
N
2
2027-09-15
Fixed
9.50000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2020-12-17
N/A
1.00000000
NC
-3083.97000000
-0.00020922250
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
CZECH REPUBLIC KORUNA
N/A
109789.48000000
USD
2461300.00000000
CZK
2020-12-17
-3083.97000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 8.250000% 04/10/2032
283875AH5
326000.00000000
PA
USD
294215.00000000
0.019960116046
Long
DBT
NUSS
SV
Y
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.900000% 11/26/2022
718286BX4
45000000.00000000
PA
945669.89000000
0.064156078875
Long
DBT
NUSS
PH
N
2
2022-11-26
Fixed
3.90000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2020-12-16
N/A
1.00000000
NC
5294.87000000
0.000359214246
N/A
DFE
MY
N
2
J P MORGAN CHASE BANK
N/A
MALAYSIAN RINGGIT
N/A
770384.40000000
USD
3216508.93000000
MYR
2020-12-16
5294.87000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 02/11/2035
37443GAH4
1589000.00000000
PA
USD
1337779.10000000
0.090757527933
Long
DBT
NUSS
GH
Y
2
2035-02-11
Fixed
7.87500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.950000% 03/26/2051
37443GAC5
3695000.00000000
PA
USD
3190499.48000000
0.216449670710
Long
DBT
NUSS
GH
Y
2
2051-03-26
Fixed
8.95000000
N
N
N
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
JORDAN GOVERNMENT INTERNATIONAL BOND 144A 4.950000% 07/07/2025
418097AK7
1030000.00000000
PA
USD
1025876.95000000
0.069597481337
Long
DBT
NUSS
JO
Y
2
2025-07-07
Fixed
4.95000000
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
269017.60000000
0.018250675576
Long
DBT
NUSS
BR
N
2
2030-01-15
Fixed
5.09300000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.675%
N/A
21146319.00000000
NC
-40671.25000000
-0.00275921645
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-07-17
0.00000000
CZK
0.00000000
CZK
-21146319.00000000
CZK
-40671.25000000
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 3.750000% 01/15/2031
21987BBC1
234000.00000000
PA
USD
260102.70000000
0.017645871475
Long
DBT
NUSS
CL
Y
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-12-02
N/A
1.00000000
NC
-27018.30000000
-0.00183297385
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
1088026.74000000
USD
5989152.00000000
BRL
2020-12-02
-27018.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2020-10-15
N/A
1.00000000
NC
USD
3399.76000000
0.000230646310
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
4459909.00000000
PEN
1243700.22000000
USD
2020-10-15
3399.76000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3524301.00000000
NC
80326.43000000
0.005449500754
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-3524301.00000000
BRL
80326.43000000
N
N
N
BRK: GOLDMAN SACHS & CO.
N/A
BRK: GOLDMAN SACHS & CO. PAY:6M BUDAPEST INTERBANK OFFER RATE(BUBOR)
N/A
1807262260.00000000
NC
-28496.26000000
-0.00193324152
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO.
N/A
Y
2022-06-23
0.00000000
HUF
0.00000000
HUF
-1807262260.00000000
HUF
-28496.26000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-11238.73000000
-0.00076245723
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
763898.45000000
USD
641814.00000000
EUR
2020-10-05
-11238.73000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.625% 4/4/42
N/A
2200000.00000000
PA
USD
2939050.40000000
0.199390877594
Long
DBT
NUSS
RU
N
2
2042-04-04
Fixed
5.62500000
N
N
N
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
REPUBLIC OF COSTA RICA 7% 04/04/2044
N/A
230000.00000000
PA
USD
208035.00000000
0.014113497754
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
99572000.00000000
PA
3803055.69000000
0.258006671668
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
3.30000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.125000% 01/15/2045
Y20721BM0
410000.00000000
PA
USD
515031.05000000
0.034940705014
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-5369.00000000
-0.00036424336
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
ROMANIAN LEU
N/A
374948.39000000
USD
1543700.00000000
RON
2020-12-16
-5369.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-07
N/A
1.00000000
NC
USD
56179.55000000
0.003811329597
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
95304438.00000000
RUB
1283734.35000000
USD
2020-10-07
56179.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-07
N/A
1.00000000
NC
USD
-129676.29000000
-0.00879749094
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
624380441.00000000
RUB
7912564.20000000
USD
2020-10-07
-129676.29000000
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
532440.31000000
0.036121782966
Long
DBT
NUSS
TR
Y
2
2021-09-23
Fixed
5.00000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
16669.55000000
0.001130894592
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
391597.19000000
USD
6836745.00000000
ZAR
2020-11-06
16669.55000000
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
1235363.66000000
0.083809465912
Long
DBT
NUSS
BH
Y
2
2024-11-07
Fixed
7.62500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-12-17
N/A
1.00000000
NC
160047.08000000
0.010857904218
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
22482706.54000000
USD
381050400.00000000
ZAR
2020-12-17
160047.08000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
3898.67000000
0.000264493331
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
486195.37000000
USD
8207007.00000000
ZAR
2020-11-06
3898.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2020-12-16
N/A
1.00000000
NC
USD
14117.27000000
0.000957742968
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
6437882.39000000
RON
1555419.76000000
USD
2020-12-16
14117.27000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.893000% 06/08/2038
N/A
800000.00000000
PA
227362.88000000
0.015424738607
Long
DBT
NUSS
MY
N
2
2038-06-08
Fixed
4.89300000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.119000% 11/30/2034
N/A
5564000.00000000
PA
1474925.28000000
0.100061790694
Long
DBT
NUSS
MY
N
2
2034-11-30
Fixed
4.11900000
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
751988.27000000
0.051016342249
Long
DBT
NUSS
CN
N
2
2022-04-21
Fixed
4.25000000
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 01/25/2023
N/A
16804000.00000000
PA
4588853.80000000
0.311316739016
Long
DBT
NUSS
PL
N
2
2023-01-25
Fixed
2.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 7.250000% 12/23/2023
900123CR9
1732000.00000000
PA
USD
1783890.72000000
0.121022605190
Long
DBT
NUSS
TR
N
2
2023-12-23
Fixed
7.25000000
N
N
N
N
N
N
GRUPO TELEVISA, S.A.B.
549300O4AF0C816ILN62
GRUPO TELEVISA SAB 6.625000% 01/15/2040
40049JAZ0
616000.00000000
PA
USD
812956.91000000
0.055152572998
Long
DBT
NUSS
MX
N
2
2040-01-15
Fixed
6.62500000
N
N
N
N
N
N
MSU Energy S.A.
529900D1ZX75KRP2HC66
MSU ENERGY SA / UGEN SA / UENSA SA 144A 6.875000% 02/01/2025
76706AAA2
1040000.00000000
PA
USD
637000.00000000
0.043215315064
Long
DBT
NUSS
AR
Y
2
2025-02-01
Fixed
6.87500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.000000% 08/16/2023
N/A
321552000.00000000
PA
4373534.00000000
0.296709026305
Long
DBT
NUSS
RU
N
2
2023-08-16
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-07
N/A
1.00000000
NC
USD
41224.82000000
0.002796771718
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
94720442.00000000
RUB
1261257.55000000
USD
2020-10-07
41224.82000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 04/25/2028
N/A
21486000.00000000
PA
6214037.84000000
0.421572375322
Long
DBT
NUSS
PL
N
2
2028-04-25
Fixed
2.75000000
N
N
N
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA INTL BOND 5.125000% 04/07/2026
Y6142NAC2
381000.00000000
PA
USD
384062.48000000
0.026055543293
Long
DBT
NUSS
MN
N
2
2026-04-07
Fixed
5.12500000
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
4437000.00000000
PA
USD
2994975.00000000
0.203184910889
Long
DBT
NUSS
LK
Y
2
2028-04-18
Fixed
6.75000000
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
1302329.60000000
0.088352565121
Long
DBT
NUSS
ZA
N
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
Republique Gabonaise
N/A
GABON GOVERNMENT INTERNATIONAL BOND 144A 6.625000% 02/06/2031
362420AD3
247000.00000000
PA
USD
220321.13000000
0.014947012634
Long
DBT
NUSS
GA
Y
2
2031-02-06
Fixed
6.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-12-02
N/A
1.00000000
NC
USD
85570.45000000
0.005805265238
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
27575860.00000000
BRL
4970772.95000000
USD
2020-12-02
85570.45000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.250000% 05/10/2034
N/A
229175000.00000000
PA
3189527.12000000
0.216383703922
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-12-02
N/A
1.00000000
NC
-25953.60000000
-0.00176074254
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
3858044.17000000
USD
21631282.05000000
BRL
2020-12-02
-25953.60000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 04/11/2031
N/A
300000.00000000
PA
326317.76000000
0.022138029528
Long
DBT
NUSS
EG
Y
2
2031-04-11
Fixed
6.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 2.969%
N/A
200000000.00000000
NC
-32495.20000000
-0.00220453737
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-02-08
0.00000000
HUF
0.00000000
HUF
-200000000.00000000
HUF
-32495.20000000
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
620779.04000000
0.042114853688
Long
DBT
NUSS
BH
Y
2
2028-11-07
Fixed
8.37500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.875000% 10/29/2035
N/A
330000.00000000
PA
439351.17000000
0.029806435220
Long
DBT
NUSS
RO
N
2
2035-10-29
Fixed
3.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2020-11-02
N/A
1.00000000
NC
USD
-73313.01000000
-0.00497369674
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
156159331.68000000
NGN
328238.22000000
USD
2020-11-02
-73313.01000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.500000% 10/26/2046
N/A
580000.00000000
PA
USD
696069.60000000
0.047222711257
Long
DBT
NUSS
SA
N
2
2046-10-26
Fixed
4.50000000
N
N
N
N
N
N
Jamaica
529900Y93KNSXZI8KK56
GOVERNMENT OF JAMAICA 7.875000% 07/28/2045
470160CB6
736000.00000000
PA
USD
931408.00000000
0.063188524605
Long
DBT
NUSS
JM
N
2
2045-07-28
Fixed
7.87500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-248340.47000000
-0.01684789898
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
MEXICAN PESO
N/A
7584818.88000000
USD
163344384.00000000
MXN
2020-12-16
-248340.47000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:1D OVERNIGHT BRAZIL INTERBANK DEPOSIT (CETIP)
N/A
8953117.00000000
NC
8202.38000000
0.000556465362
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-8953117.00000000
BRL
8202.38000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-19
N/A
1.00000000
NC
1810.96000000
0.000122859037
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
126743.68000000
USD
2156000.00000000
ZAR
2020-11-19
1810.96000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 7.696000% 02/23/2038
65412JAH6
601000.00000000
PA
USD
541741.40000000
0.036752786946
Long
DBT
NUSS
NG
Y
2
2038-02-23
Fixed
7.69600000
N
N
N
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 1.500000% 11/27/2031
N/A
481000.00000000
PA
530111.33000000
0.035963780448
Long
DBT
NUSS
MA
N
2
2031-11-27
Fixed
1.50000000
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
1976006.23000000
0.134056093876
Long
DBT
NUSS
MY
N
2
2026-04-27
Fixed
3.17900000
N
N
N
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 5.125000% 03/14/2028
N/A
780000.00000000
PA
USD
888043.12000000
0.060246567067
Long
DBT
NUSS
CN
N
2
2028-03-14
Fixed
5.12500000
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
558301.10000000
0.037876229101
Long
DBT
NUSS
AE
N
2
2043-01-30
Fixed
5.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.000000% 02/26/2024
195325BQ7
965000.00000000
PA
USD
1028854.05000000
0.069799453573
Long
DBT
NUSS
CO
N
2
2024-02-26
Fixed
4.00000000
N
N
N
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-5232.88000000
-0.00035500872
N/A
DFE
PE
N
2
J P MORGAN CHASE BANK
N/A
PERUVIAN INTI
N/A
421833.88000000
USD
1497805.55000000
PEN
2020-12-16
-5232.88000000
N
N
N
State of Kuwait
549300FSC1YD0D9XX589
KUWAIT INTL BOND 2.750000% 03/20/2022
N/A
645000.00000000
PA
USD
662109.27000000
0.044918776625
Long
DBT
NUSS
KW
N
2
2022-03-20
Fixed
2.75000000
N
N
N
N
N
N
IHS Netherlands Holdco B.V.
5493006Z6YQYCCN2XI74
IHS NETHERLANDS HOLDCO BV 144A 8.000000% 09/18/2027
44963LAC0
299000.00000000
PA
USD
305727.50000000
0.020741146368
Long
DBT
NUSS
NG
Y
2
2027-09-18
Fixed
8.00000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-11-06
N/A
1.00000000
NC
20943.45000000
0.001420844254
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
MEXICAN PESO
N/A
1114891.66000000
USD
25174476.77000000
MXN
2020-11-06
20943.45000000
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 7.625000% 06/29/2027
N/A
1754000.00000000
PA
USD
1707922.42000000
0.115868768424
Long
DBT
NUSS
BY
N
2
2027-06-29
Fixed
7.62500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2027
N/A
16396000.00000000
PA
4659227.96000000
0.316091058477
Long
DBT
NUSS
PL
N
2
2027-07-25
Fixed
2.50000000
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
1031416.14000000
0.069973270726
Long
DBT
NUSS
TR
Y
2
2022-05-03
Fixed
5.12500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
25298000.00000000
PA
7374098.57000000
0.500273144461
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
2.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2020-11-10
N/A
1.00000000
NC
45565.43000000
0.003091247116
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
33933611.00000000
CZK
1291479.01000000
EUR
2020-11-10
45565.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-11-06
N/A
1.00000000
NC
USD
21365.54000000
0.001449479658
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
54792793.70000000
MXN
2493535.24000000
USD
2020-11-06
21365.54000000
N
N
N
BRK: GOLMAN SACHS
N/A
BRK: GOLMAN SACHS REC: 5.56 %
N/A
18818980.00000000
NC
-555.29000000
-0.00003767195
N/A
DIR
XX
N
2
BRK: GOLMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-18818980.00000000
BRL
-555.29000000
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
2755873.00000000
0.186963767619
Long
DBT
NUSS
TR
Y
2
2022-02-21
Fixed
5.80000000
N
N
N
N
N
MAF SUKUK LTD.
549300IS9H0W5N2N4K34
MAF SUKUK LTD MTN 3.932500% 02/28/2030
N/A
691000.00000000
PA
USD
722958.75000000
0.049046923328
Long
DBT
NUSS
AE
N
2
2030-02-28
Fixed
3.93250000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 6.750000% 09/21/2047
71656MBM0
553000.00000000
PA
USD
429238.60000000
0.029120378864
Long
DBT
NUSS
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 8.000000% 11/26/2029
035198AD2
1357000.00000000
PA
USD
1071313.50000000
0.072679984985
Long
DBT
NUSS
AO
Y
2
2029-11-26
Fixed
8.00000000
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
254793.33000000
0.017285673520
Long
DBT
NUSS
VE
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 06/15/2025
N/A
52680000000.00000000
PA
3651842.74000000
0.247748091956
Long
DBT
NUSS
ID
N
2
2025-06-15
Fixed
6.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.750000% 03/22/2024
900123CF5
1918000.00000000
PA
USD
1882133.40000000
0.127687579081
Long
DBT
NUSS
TR
N
2
2024-03-22
Fixed
5.75000000
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
2487647.80000000
0.168766849995
Long
DBT
NUSS
AZ
N
2
2030-03-18
Fixed
6.95000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 6.850000% 01/27/2045
25714PCW6
129000.00000000
PA
USD
135837.00000000
0.009215445451
Long
DBT
NUSS
DO
Y
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.000000% 10/27/2021
N/A
10545000.00000000
PA
2568840.55000000
0.174275123578
Long
DBT
NUSS
RO
N
2
2021-10-27
Fixed
4.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-5735.72000000
-0.00038912236
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
255681.78000000
USD
213136.00000000
EUR
2020-10-05
-5735.72000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
87650000.00000000
PA
4064677.80000000
0.275755622863
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-10-26
N/A
1.00000000
NC
-92.51000000
-0.00000627605
N/A
DFE
CL
N
2
JP MORGAN
N/A
CHILEAN PESO
N/A
51088.35000000
USD
40158000.00000000
CLP
2020-10-26
-92.51000000
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
235885.00000000
0.016002895752
Long
DBT
NUSS
TR
Y
2
2024-05-03
Fixed
6.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-11-05
N/A
1.00000000
NC
USD
9701.15000000
0.000658144825
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
2816115.00000000
TRY
372403.46000000
USD
2020-11-05
9701.15000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.650000% 09/27/2047
836205AX2
386000.00000000
PA
USD
326749.00000000
0.022167285686
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-21
N/A
1.00000000
NC
USD
68603.53000000
0.004654196489
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
184808700.00000000
RUB
2445880.82000000
USD
2020-10-21
68603.53000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 5.875000% 01/30/2060
25714PEE4
3727000.00000000
PA
USD
3522052.27000000
0.238942854824
Long
DBT
NUSS
DO
Y
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-11-04
N/A
1.00000000
NC
USD
489.87000000
0.000033233730
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
361810.00000000
EUR
425001.53000000
USD
2020-11-04
489.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2020-11-05
N/A
1.00000000
NC
USD
-420374.19000000
-0.02851900010
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
34030027.35000000
UAH
1191944.92000000
USD
2020-11-05
-420374.19000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-11-04
N/A
1.00000000
NC
49670.12000000
0.003369717245
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
7114043.02000000
USD
6105611.00000000
EUR
2020-11-04
49670.12000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
26758053.00000000
NC
46215.96000000
0.003135380333
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-06-23
0.00000000
MXN
0.00000000
MXN
-26758053.00000000
MXN
46215.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-11-06
N/A
1.00000000
NC
USD
-37813.03000000
-0.00256530927
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
55793938.00000000
MXN
2479526.82000000
USD
2020-11-06
-37813.03000000
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT INTERNATIONAL BOND 144A 7.158000% 03/12/2045
221597BV8
387000.00000000
PA
USD
352363.50000000
0.023905023029
Long
DBT
NUSS
CR
Y
2
2045-03-12
Fixed
7.15800000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-11-06
N/A
1.00000000
NC
30761.68000000
0.002086932014
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
MEXICAN PESO
N/A
1244557.79000000
USD
28265987.00000000
MXN
2020-11-06
30761.68000000
N
N
N
Banco Nacional de Panama
529900H2Q7WMDKKIW109
BANCO NACIONAL DE PANAMA 144A 2.500000% 08/11/2030
059626AC5
791000.00000000
PA
USD
782694.50000000
0.053099512428
Long
DBT
NUSS
PA
Y
2
2030-08-11
Fixed
2.50000000
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
588300.80000000
0.039911466915
Long
DBT
NUSS
TR
Y
2
2027-05-24
Fixed
6.12500000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.950000% 01/25/2027
P3579EBV8
638000.00000000
PA
USD
684574.00000000
0.046442827465
Long
DBT
NUSS
DO
N
2
2027-01-25
Fixed
5.95000000
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
16485.65000000
0.001118418459
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
16485.65000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
REPUBLIC OF POLAND 5.000000% 03/23/2022
857524AB8
2281000.00000000
PA
USD
2437430.98000000
0.165360043562
Long
DBT
NUSS
PL
N
2
2022-03-23
Fixed
5.00000000
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
469193.20000000
0.031830976396
Long
DBT
NUSS
MX
Y
2
2169-09-27
Fixed
7.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 4.500000% 01/23/2026
71654QBW1
709000.00000000
PA
USD
633137.00000000
0.042953241654
Long
DBT
NUSS
MX
N
2
2026-01-23
Fixed
4.50000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVT INTL BOND 3.250000% 10/19/2023
N/A
1762000.00000000
PA
USD
1907210.03000000
0.129388826281
Long
DBT
NUSS
CN
N
2
2023-10-19
Fixed
3.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.625000% 02/26/2044
195325BR5
132000.00000000
PA
USD
164143.32000000
0.011135801082
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-10-07
N/A
1.00000000
NC
-68982.36000000
-0.00467989705
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
NEW RUSSIAN ROUBLE
N/A
1197464.31000000
USD
87612657.00000000
RUB
2020-10-07
-68982.36000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH HUF - BUBOR
N/A
75000000.00000000
NC
-4324.78000000
-0.00029340146
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-09-12
0.00000000
HUF
0.00000000
HUF
-75000000.00000000
HUF
-4324.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-07
N/A
1.00000000
NC
USD
-8837.37000000
-0.00059954431
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
39877580.00000000
RUB
504799.94000000
USD
2020-10-07
-8837.37000000
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 5.750000% 02/14/2042
200447AC4
500000.00000000
PA
USD
550630.00000000
0.037355806804
Long
DBT
NUSS
MX
Y
2
2042-02-14
Fixed
5.75000000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2020-11-27
N/A
1.00000000
NC
22338.71000000
0.001515501398
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
INDIA RUPEE
N/A
2368575.34000000
USD
176969291.00000000
INR
2020-11-27
22338.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-12-17
N/A
1.00000000
NC
USD
-1566.32000000
-0.00010626218
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1100000.00000000
ZAR
63797.81000000
USD
2020-12-17
-1566.32000000
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT INTERNATIONAL BOND 144A 5.375000% 09/20/2022
988895AA6
794000.00000000
PA
USD
393621.93000000
0.026704074915
Long
DBT
NUSS
ZM
Y
2
2022-09-20
Fixed
5.37500000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
MINISTRY OF FINANCE OF T 6.378000% 02/24/2031
N/A
721000.00000000
PA
USD
672369.99000000
0.045614883764
Long
DBT
NUSS
BY
N
2
2031-02-24
Fixed
6.37800000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.700000% 03/16/2039
N/A
54617000.00000000
PA
801646.40000000
0.054385246070
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-10-22
N/A
1.00000000
NC
USD
17460.76000000
0.001184571812
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
123753800.00000000
ZAR
7420182.28000000
USD
2020-10-22
17460.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2020-11-19
N/A
1.00000000
NC
USD
-65179.33000000
-0.00442189212
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
22635987.20000000
EGP
1360335.77000000
USD
2020-11-19
-65179.33000000
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN BOND MTN 5.375000% 02/20/2029
N/A
783000.00000000
PA
USD
872919.72000000
0.059220566289
Long
DBT
NUSS
UZ
N
2
2029-02-20
Fixed
5.37500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2020-11-03
N/A
1.00000000
NC
-7692.45000000
-0.00052187072
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
766942138.00000000
HUF
2103862.78000000
EUR
2020-11-03
-7692.45000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-4487.12000000
-0.00030441492
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
503873.81000000
USD
425841.00000000
EUR
2020-10-05
-4487.12000000
N
N
N
BIOCEANICO SOVEREIGN CERTIFICATE LIMITED
N/A
BIOCEANICO SOVEREIGN CERTIFICATE LTD ZERO COUPON 06/05/2034
G11176AA5
2303275.11000000
PA
USD
1710181.77000000
0.116022047109
Long
DBT
NUSS
KY
N
2
2034-06-05
Fixed
0.00000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2020-12-16
N/A
1.00000000
NC
7762.70000000
0.000526636618
N/A
DFE
MY
N
2
J P MORGAN CHASE BANK
N/A
MALAYSIAN RINGGIT
N/A
1593510.76000000
USD
6640000.00000000
MYR
2020-12-16
7762.70000000
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
417624.70000000
0.028332469371
Long
DBT
NUSS
MX
Y
2
2049-09-12
Fixed
5.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-07
N/A
1.00000000
NC
USD
32838.23000000
0.002227809192
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
57474271.00000000
RUB
773127.13000000
USD
2020-10-07
32838.23000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.125000% 07/09/2030
N/A
402550.00000000
PA
185383.44000000
0.012576772005
Long
DBT
NUSS
AR
N
2
2030-07-09
Fixed
0.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
10089.46000000
0.000684488528
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1089368.85000000
EUR
1289600.29000000
USD
2020-12-16
10089.46000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.375000% 01/23/2031
917288BK7
4957305.00000000
PA
USD
5893045.89000000
0.399795659070
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.37500000
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
183804.90000000
0.012469680791
Long
DBT
NUSS
LB
N
2
2021-04-12
Fixed
8.25000000
Y
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-11-04
N/A
1.00000000
NC
-9466.21000000
-0.00064220604
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
378366.73000000
USD
2080370.00000000
BRL
2020-11-04
-9466.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-10-26
N/A
1.00000000
NC
USD
172893.16000000
0.011729407193
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
14008700.00000000
BRL
2657440.96000000
USD
2020-10-26
172893.16000000
N
N
N
CHINA MINMETALS CORPORATION
3003002ULBI4T3DT7Z09
CHINA MINMETALS CORP 4.450000% MATURITY: PERPETUAL
N/A
640000.00000000
PA
USD
644587.26000000
0.043730049494
Long
DBT
NUSS
CN
N
2
2168-11-13
Fixed
4.45000000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2020-12-16
N/A
1.00000000
NC
3581.00000000
0.000242941983
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
INDIA RUPEE
N/A
8382423.05000000
USD
621992555.00000000
INR
2020-12-16
3581.00000000
N
N
N
COMCEL TRUST
549300W3HHHYJSCDBJ77
COMUNICACIONES CELULARES SA VIA COMCEL TRUST 144A 6.875000% 02/06/2024
200303AA3
390000.00000000
PA
USD
398782.80000000
0.027054198342
Long
DBT
NUSS
GT
Y
2
2024-02-06
Fixed
6.87500000
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
-65626.53000000
-0.00445223103
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-03-11
0.00000000
COP
0.00000000
COP
-2751827932.00000000
COP
-65626.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2020-11-02
N/A
1.00000000
NC
USD
-35342.02000000
-0.00239767116
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
77671726.11000000
NGN
164384.61000000
USD
2020-11-02
-35342.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2020-11-27
N/A
1.00000000
NC
USD
-2811.77000000
-0.00019075592
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
189036716.00000000
INR
2551137.21000000
USD
2020-11-27
-2811.77000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
8320.49000000
0.000564478174
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
1261539.85000000
USD
21264802.00000000
ZAR
2020-11-06
8320.49000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 7.375000% 09/18/2037
195325BK0
749000.00000000
PA
USD
1054217.50000000
0.071520159198
Long
DBT
NUSS
CO
N
2
2037-09-18
Fixed
7.37500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 4.200000% 12/04/2036
N/A
9570000.00000000
PA
608207.93000000
0.041262005211
Long
DBT
NUSS
CZ
N
2
2036-12-04
Fixed
4.20000000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA 6.0% 05/16/2024
N/A
7785099.00000000
PA
USD
194627.48000000
0.013203905602
Long
DBT
NUSS
VE
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
Provincia de Buenos Aires
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE 5.375000% 01/20/2023
N/A
620000.00000000
PA
298087.41000000
0.020222827849
Long
DBT
NUSS
AR
N
2
2023-01-20
Fixed
5.37500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 4.500000% 01/11/2026
N/A
211800000.00000000
PA
2279098.99000000
0.154618494374
Long
DBT
NUSS
RS
N
2
2026-01-11
Fixed
4.50000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.875000% 09/16/2043
N/A
3800000.00000000
PA
USD
5262559.20000000
0.357022219584
Long
DBT
NUSS
RU
N
2
2043-09-16
Fixed
5.87500000
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
435053.92000000
0.029514901448
Long
DBT
NUSS
GA
Y
2
2025-06-16
Fixed
6.95000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.250000% 03/31/2032
N/A
4179847.00000000
PA
214878.13000000
0.014577748961
Long
DBT
NUSS
ZA
N
2
2032-03-31
Fixed
8.25000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.750000% 01/14/2029
718286CG0
2522000.00000000
PA
USD
2942238.69000000
0.199607177369
Long
DBT
NUSS
PH
N
2
2029-01-14
Fixed
3.75000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-11-06
N/A
1.00000000
NC
-12777.75000000
-0.00086686733
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
1278009.04000000
USD
21187285.00000000
ZAR
2020-11-06
-12777.75000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.625000% 02/01/2041
P01012AR7
327000.00000000
PA
USD
273372.00000000
0.018546086514
Long
DBT
NUSS
SV
N
2
2041-02-01
Fixed
7.62500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.625000% 04/16/2030
N/A
2433000.00000000
PA
2578448.76000000
0.174926963174
Long
DBT
NUSS
EG
N
2
2030-04-16
Fixed
5.62500000
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
1873017.48000000
0.127069137394
Long
DBT
NUSS
BJ
Y
2
2026-03-26
Fixed
5.75000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-12-11
N/A
1.00000000
NC
-1181.88000000
-0.00008018103
N/A
DFE
TH
N
2
JP MORGAN
N/A
THAILAND BAHT
N/A
215392.24000000
USD
6787548.00000000
THB
2020-12-11
-1181.88000000
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
758437.50000000
0.051453870517
Long
DBT
NUSS
MX
Y
2
2029-11-19
Fixed
5.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GHS SETTLE 2021-02-24
N/A
1.00000000
NC
USD
-10899.75000000
-0.00073946017
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1994300.70000000
GHS
318070.29000000
USD
2021-02-24
-10899.75000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 06/17/2046
N/A
3431000.00000000
PA
124962.56000000
0.008477702357
Long
DBT
NUSS
TH
N
2
2046-06-17
Fixed
2.87500000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 8.000000% 05/22/2032
N/A
368000.00000000
PA
USD
362591.87000000
0.024598935481
Long
DBT
NUSS
KE
N
2
2032-05-22
Fixed
8.00000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-10-30
N/A
1.00000000
NC
356.72000000
0.000024200576
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
140102.60000000
USD
792000.00000000
BRL
2020-10-30
356.72000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.840000% 01/23/2030
P78625DX8
3342000.00000000
PA
USD
2982735.00000000
0.202354525557
Long
DBT
NUSS
MX
N
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.406000% 07/07/2027
N/A
17842000.00000000
PA
1124091.96000000
0.076260578042
Long
DBT
NUSS
EG
N
2
2027-07-07
Fixed
14.40600000
N
N
N
N
N
N
ADANI ELECTRICITY MUMBAI LIMITED
335800AIC1B5EBFVUC38
ADANI ELECTRICITY MUMBAI LTD 144A 3.949000% 02/12/2030
00654GAA1
540000.00000000
PA
USD
527957.00000000
0.035817626523
Long
DBT
NUSS
IN
Y
2
2030-02-12
Fixed
3.94900000
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
212137.53000000
0.014391821343
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-18
0.00000000
COP
0.00000000
COP
-26994328922.00000000
COP
212137.53000000
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS REC:0.65 FIXED
N/A
2803570.00000000
NC
7862.49000000
0.000533406566
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2024-03-26
0.00000000
PLN
0.00000000
PLN
-2803570.00000000
PLN
7862.49000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.899000% 11/16/2027
N/A
2500000.00000000
PA
654514.71000000
0.044403546950
Long
DBT
NUSS
MY
N
2
2027-11-16
Fixed
3.89900000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.625000% 05/16/2029
N/A
995000.00000000
PA
USD
897241.25000000
0.060870586040
Long
DBT
NUSS
GH
N
2
2029-05-16
Fixed
7.62500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 4.500000% 08/20/2032
BG1390940
177880000.00000000
PA
1874059.69000000
0.127139842941
Long
DBT
NUSS
RS
N
2
2032-08-20
Fixed
4.50000000
N
N
N
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
ISLAMIC REP OF PAKISTAN 6.875000% 12/05/2027
N/A
1114000.00000000
PA
USD
1107316.00000000
0.075122464389
Long
DBT
NUSS
PK
N
2
2027-12-05
Fixed
6.87500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 01/17/2048
682051AJ6
1059000.00000000
PA
USD
874573.03000000
0.059332730045
Long
DBT
NUSS
OM
Y
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
GOHL CAPITAL LIMITED
N/A
GOHL CAPITAL LTD 4.250000% 01/24/2027
N/A
850000.00000000
PA
USD
844925.50000000
0.057321384126
Long
DBT
NUSS
MY
N
2
2027-01-24
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2020-10-30
N/A
1.00000000
NC
USD
-315897.81000000
-0.02143111991
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
26768900.80000000
UAH
932064.79000000
USD
2020-10-30
-315897.81000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 5.625000% 09/30/2031
N/A
462000.00000000
PA
USD
450245.55000000
0.030545531082
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/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
-467786.32000000
-0.03173553092
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
11120000.00000000
EUR
12572714.58000000
USD
2020-10-05
-467786.32000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)DEC20 FINANCIAL COMMODITY FUTURE.
N/A
-11.00000000
NC
USD
-1534843.75000000
-0.10412677587
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
US 10YR NOTE (CBT)DEC20
N/A
Short
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Dec 2020
2020-12-24
-1533180.00000000
USD
-1663.75000000
N
N
N
POWER FINANCE CORPORATION LIMITED
3358003Q6D9LIJJZ1614
POWER FINANCE CORP LTD MTN 3.950000% 04/23/2030
73928QAB4
569000.00000000
PA
USD
549133.15000000
0.037254257597
Long
DBT
NUSS
IN
Y
2
2030-04-23
Fixed
3.95000000
N
N
N
N
N
N
RUSAL CAPITAL DESIGNATED ACTIVITY COMPANY
549300VAUKY08SYXL004
RUSAL CAPITAL DAC 5.125000% 02/02/2022
N/A
860000.00000000
PA
USD
865607.20000000
0.058724470754
Long
DBT
NUSS
RU
N
2
2022-02-02
Fixed
5.12500000
N
N
N
N
N
N
Infraestructura Energetica Nova, S.A.B. de C.V.
715K4H1JYF3O6JOK1411
INFRAESTRUCTURA ENERGETICA NOVA SAB DE CV 144A 4.750000% 01/15/2051
456829AC4
1410000.00000000
PA
USD
1321522.50000000
0.089654648670
Long
DBT
NUSS
MX
Y
2
2051-01-15
Fixed
4.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 04/11/2031
N/A
1230000.00000000
PA
1337902.83000000
0.090765922016
Long
DBT
NUSS
EG
N
2
2031-04-11
Fixed
6.37500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.125000% 01/18/2026
374422AC7
83000.00000000
PA
USD
82827.53000000
0.005619180227
Long
DBT
NUSS
GH
Y
2
2026-01-18
Fixed
8.12500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2026
N/A
3153000.00000000
PA
USD
3133293.75000000
0.212568723072
Long
DBT
NUSS
UA
N
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
Nexa Resources S.A.
549300QRMRHM7GAU7L47
NEXA RESOURCES SA 144A 5.375000% 05/04/2027
91832CAA4
2891000.00000000
PA
USD
3003026.25000000
0.203731123299
Long
DBT
NUSS
PE
Y
2
2027-05-04
Fixed
5.37500000
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
267736.32000000
0.018163751056
Long
DBT
CORP
CI
Y
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 6.150000% 05/21/2048
71568QAF4
250000.00000000
PA
USD
321692.50000000
0.021824242922
Long
DBT
NUSS
ID
N
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS MINISTRY OF FINANCE 144A 6.378000% 02/24/2031
07737JAD5
604000.00000000
PA
USD
563261.41000000
0.038212746149
Long
DBT
NUSS
BY
Y
2
2031-02-24
Fixed
6.37800000
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
67081.61000000
0.004550946485
Long
DBT
NUSS
GE
Y
2
2021-04-12
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-11-06
N/A
1.00000000
NC
USD
-47148.28000000
-0.00319863072
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
21936296.00000000
ZAR
1262811.35000000
USD
2020-11-06
-47148.28000000
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.500000% 04/01/2056
698299BM5
4367000.00000000
PA
USD
5469667.50000000
0.371072848214
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
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
597348.00000000
0.040525246504
Long
DBT
NUSS
CL
Y
2
2049-02-05
Fixed
4.37500000
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
1794000.00000000
PA
USD
2036692.32000000
0.138173155885
Long
DBT
NUSS
AE
Y
2
2029-11-02
Fixed
3.65000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.750000% 01/24/2023
P01012AJ5
2488000.00000000
PA
USD
2401168.80000000
0.162899946963
Long
DBT
NUSS
SV
N
2
2023-01-24
Fixed
7.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.921000% 07/06/2048
N/A
1768000.00000000
PA
493837.70000000
0.033502907058
Long
DBT
NUSS
MY
N
2
2048-07-06
Fixed
4.92100000
N
N
N
N
N
N
MDGH ? GMTN B.V.
213800L53ZH5KG593W13
MDGH - GMTN BV MTN 3.950000% 05/21/2050
N/A
200000.00000000
PA
USD
234000.00000000
0.015875013697
Long
DBT
NUSS
AE
N
2
2050-05-21
Fixed
3.95000000
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
43500.00000000
0.002951124341
Long
DBT
CORP
VE
N
2
2037-04-12
Fixed
5.50000000
Y
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
89874900.00000000
PA
4771696.33000000
0.323721130760
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
European Bank for Reconstruction and Development
549300HTGDOVDU6OGK19
EUROPEAN BANK FOR RECONSTRUCTION & DEVELOPMENT MTN 6.450000% 12/13/2022
N/A
9486000000.00000000
PA
643683.75000000
0.043668753623
Long
DBT
NUSS
XX
N
2
2022-12-13
Fixed
6.45000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 2.550000% 01/27/2032
168863DN5
540000.00000000
PA
USD
569975.40000000
0.038668236248
Long
DBT
NUSS
CL
N
2
2032-01-27
Fixed
2.55000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 4.125000% 10/11/2047
29135LAB6
824000.00000000
PA
USD
1037028.72000000
0.070354039036
Long
DBT
NUSS
AE
Y
2
2047-10-11
Fixed
4.12500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA MTN 7.500000% 06/15/2035
ZR7661609
41500000000.00000000
PA
2807106.85000000
0.190439571339
Long
DBT
CORP
US
Y
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 1.750000% 06/05/2035
N/A
265000.00000000
PA
326289.62000000
0.022136120456
Long
DBT
NUSS
HU
N
2
2035-06-05
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
10192.63000000
0.000691487781
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
956750.00000000
EUR
1132179.97000000
USD
2020-10-05
10192.63000000
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
931293.60000000
0.063180763488
Long
DBT
NUSS
XX
Y
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
REPUBLIC OF ANGOLA VIA AVENIR ISSUER II IRELAND DA 6.927000% 02/19/2027
N/A
700000.00000000
PA
USD
554750.00000000
0.037635315592
Long
DBT
NUSS
AO
N
2
2027-02-19
Fixed
6.92700000
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
819339.67000000
0.055585591811
Long
DBT
NUSS
MN
Y
2
2023-10-23
Fixed
7.25000000
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
825300.00000000
0.055989952155
Long
DBT
NUSS
OM
N
2
2026-06-15
Fixed
4.75000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH PLN - WIBOR
N/A
6841849.00000000
NC
38522.14000000
0.002613416667
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-16
0.00000000
PLN
0.00000000
PLN
-6841849.00000000
PLN
38522.14000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 2.25% 04/18/2029
P6S32JU32
805600000.00000000
PA
580576.37000000
0.039387426607
Long
DBT
NUSS
CO
N
2
2029-04-18
Fixed
2.25000000
N
N
N
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 4.750000% 05/15/2025
74445PAE2
1370000.00000000
PA
USD
1507000.00000000
0.102237801888
Long
DBT
NUSS
ID
Y
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
CEMEX S.A.B. de C.V.
549300RIG2CXWN6IV731
CEMEX SAB DE CV 144A 7.375000% 06/05/2027
151290BW2
572000.00000000
PA
USD
618051.72000000
0.041929827011
Long
DBT
NUSS
MX
Y
2
2027-06-05
Fixed
7.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-1416.13000000
-0.00009607300
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
21344578381.00000000
IDR
1417208.58000000
USD
2020-12-16
-1416.13000000
N
N
N
JANUB GAZ DAHLIZI GAPALI SAHMDAR JAMIYYATI
213800DG58KG59XY6318
Southern Gas Corridor CJSC 6.875000% 03/24/2026
84302LAB8
1437000.00000000
PA
USD
1631857.20000000
0.110708356418
Long
DBT
CORP
AZ
Y
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 5.625000% 01/17/2028
682051AH0
366000.00000000
PA
USD
336182.71000000
0.022807286863
Long
DBT
NUSS
OM
Y
2
2028-01-17
Fixed
5.62500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2027
903724AU6
223000.00000000
PA
USD
220573.76000000
0.014964151543
Long
DBT
NUSS
UA
Y
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
SEI LIQUIDITY FUND
N/A
15316810.62900000
NS
USD
15321075.80000000
1.039411487958
Long
EC
US
N
2
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.500000% 01/23/2029
71654QCM2
785000.00000000
PA
USD
705479.50000000
0.047861097118
Long
DBT
NUSS
MX
Y
2
2029-01-23
Fixed
6.50000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-119498.14000000
-0.00810698550
N/A
DFE
TH
N
2
JP MORGAN
N/A
THAILAND BAHT
N/A
12892203.55000000
USD
404718500.00000000
THB
2020-12-16
-119498.14000000
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
743783.99000000
0.050459747987
Long
DBT
NUSS
XX
N
2
2021-08-20
Fixed
7.45000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.350000% 02/12/2048
P78625DE0
678000.00000000
PA
USD
510195.00000000
0.034612618005
Long
DBT
NUSS
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH CZK - PRIBOR
N/A
121000000.00000000
NC
91895.04000000
0.006234337686
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-09-30
0.00000000
CZK
0.00000000
CZK
-121000000.00000000
CZK
91895.04000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-107418.88000000
-0.00728750509
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
1674814.38000000
USD
8851394.00000000
BRL
2020-12-16
-107418.88000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 8.747000% 01/21/2031
N/A
1719000.00000000
PA
USD
1754067.60000000
0.118999346905
Long
DBT
NUSS
NG
N
2
2031-01-21
Fixed
8.74700000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
STANDARD CHARTERED BANK MTN 8.250000% 05/18/2029
AV6441332
40930000000.00000000
PA
2994931.72000000
0.203181974689
Long
DBT
NUSS
GB
Y
2
2029-05-18
Fixed
8.25000000
N
N
N
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
476187.50000000
0.032305483269
Long
DBT
NUSS
CN
N
2
2021-02-27
Fixed
7.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 7.625000% 05/29/2032
03846JX54
6199000.00000000
PA
USD
6051773.75000000
0.410564064846
Long
DBT
NUSS
EG
Y
2
2032-05-29
Fixed
7.62500000
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
187964.00000000
0.012751842199
Long
DBT
NUSS
LB
N
2
2030-02-26
Fixed
6.65000000
Y
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.81%
N/A
10000000.00000000
NC
-42617.82000000
-0.00289127553
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-01-17
0.00000000
CZK
0.00000000
CZK
-10000000.00000000
CZK
-42617.82000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.418000% 08/15/2022
N/A
10450000.00000000
PA
2585427.27000000
0.175400398823
Long
DBT
NUSS
MY
N
2
2022-08-15
Fixed
3.41800000
N
N
N
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-5097.63000000
-0.00034583310
N/A
DFE
PE
N
2
J P MORGAN CHASE BANK
N/A
PERUVIAN INTI
N/A
468734.22000000
USD
1666912.62000000
PEN
2020-12-16
-5097.63000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 6.750000% 08/06/2023
N/A
1556000.00000000
PA
USD
1430835.36000000
0.097070645036
Long
DBT
NUSS
ZA
N
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2020-12-16
N/A
1.00000000
NC
USD
38582.09000000
0.002617483791
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
1453237566.00000000
CLP
1885558.39000000
USD
2020-12-16
38582.09000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2022
N/A
40233000000.00000000
PA
2813876.55000000
0.190898840913
Long
DBT
NUSS
ID
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
7854.44000000
0.000532860438
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
480409.00000000
EUR
571233.40000000
USD
2020-10-05
7854.44000000
N
N
N
Joint Stock Company KazTransGas
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 144A 4.375000% 09/26/2027
48668NAA9
932000.00000000
PA
USD
1002729.48000000
0.068027112092
Long
DBT
NUSS
KZ
Y
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 3.125000% 05/15/2027
N/A
320000.00000000
PA
400689.52000000
0.027183553924
Long
DBT
NUSS
RS
N
2
2027-05-15
Fixed
3.12500000
N
N
N
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
JORDAN GOVERNMENT INTERNATIONAL BOND 144A 5.850000% 07/07/2030
418097AL5
1238000.00000000
PA
USD
1199337.88000000
0.081365407148
Long
DBT
NUSS
JO
Y
2
2030-07-07
Fixed
5.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2020-12-16
N/A
1.00000000
NC
USD
23543.89000000
0.001597263146
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
2935000.00000000
PLN
783147.00000000
USD
2020-12-16
23543.89000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.625000% 05/15/2033
N/A
24323000000.00000000
PA
1556966.23000000
0.105627607809
Long
DBT
NUSS
ID
N
2
2033-05-15
Fixed
6.62500000
N
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 10/13/2019
P97475AN0
3976100.00000000
PA
USD
298207.50000000
0.020230974987
Long
DBT
NUSS
VE
N
2
2019-10-13
Floating
0.00000000
Y
Y
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-10-01
N/A
1.00000000
NC
-578.82000000
-0.00003926827
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
ROMANIAN LEU
N/A
370198.35000000
EUR
1801940.49000000
RON
2020-10-01
-578.82000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 08/15/2032
N/A
26770000000.00000000
PA
1825865.12000000
0.123870229869
Long
DBT
NUSS
ID
N
2
2032-08-15
Fixed
7.50000000
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
1332850.00000000
PA
USD
1459470.75000000
0.099013325414
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/ZAR SETTLE 2020-11-06
N/A
1.00000000
NC
USD
-17646.84000000
-0.00119719584
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
23129358.00000000
ZAR
1363558.32000000
USD
2020-11-06
-17646.84000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-12-17
N/A
1.00000000
NC
286.50000000
0.000019436715
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
SOUTH AFRICAN RAND
N/A
678906.26000000
USD
11430000.00000000
ZAR
2020-12-17
286.50000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 8.250000% 04/10/2032
N/A
3324000.00000000
PA
USD
2999910.00000000
0.203519710857
Long
DBT
NUSS
SV
N
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 8.000000% 11/26/2029
N/A
1017000.00000000
PA
USD
802893.02000000
0.054469819187
Long
DBT
NUSS
AO
N
2
2029-11-26
Fixed
8.00000000
N
N
N
N
N
N
Empresa de Transporte de Pasajeros Metro S.A.
959800T4M5QUPYMSCH69
EMPRESA DE TRANSPORTE DE PASAJEROS METRO SA 144A 3.650000% 05/07/2030
29246QAD7
217000.00000000
PA
USD
240327.50000000
0.016304283565
Long
DBT
NUSS
CL
Y
2
2030-05-07
Fixed
3.65000000
N
N
N
N
N
N
BRK:GOLDMAN
N/A
BRK:GOLDMAN PAY:0.644 FIXED
N/A
11247547.00000000
NC
-24973.25000000
-0.00169423370
N/A
DIR
XX
N
2
BRK:GOLDMAN
N/A
Y
2025-06-09
0.00000000
PLN
0.00000000
PLN
-11247547.00000000
PLN
-24973.25000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 17.700000% 08/07/2025
N/A
29457000.00000000
PA
2070730.71000000
0.140482386259
Long
DBT
NUSS
EG
N
2
2025-08-07
Fixed
17.70000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 28-DAY MXN - TIIE
N/A
40000000.00000000
NC
83319.15000000
0.005652532681
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
83319.15000000
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 4.250000% 04/16/2039
N/A
2150000.00000000
PA
USD
2471394.84000000
0.167664217677
Long
DBT
NUSS
SA
N
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 06/17/2035
N/A
27023000.00000000
PA
856896.25000000
0.058133503016
Long
DBT
NUSS
TH
N
2
2035-06-17
Fixed
1.60000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 4.875000% 09/23/2032
25714PEF1
2441000.00000000
PA
USD
2427574.50000000
0.164691360849
Long
DBT
NUSS
DO
Y
2
2032-09-23
Fixed
4.87500000
N
N
N
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN BOND MTN 4.750000% 02/20/2024
N/A
232000.00000000
PA
USD
243604.18000000
0.016526579889
Long
DBT
NUSS
UZ
N
2
2024-02-20
Fixed
4.75000000
N
N
N
N
N
N
Celulosa Arauco y Constitucion S.A.
549300QEKV8G0AMNQD28
CELULOSA ARAUCO Y CONSTITUCION SA 144A 5.150000% 01/29/2050
151191BL6
576000.00000000
PA
USD
609984.00000000
0.041382497244
Long
DBT
NUSS
CL
Y
2
2050-01-29
Fixed
5.15000000
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
428641.00000000
0.029079836522
Long
DBT
NUSS
SV
N
2
2035-06-15
Fixed
7.65000000
N
N
N
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS REC:6.62 FIXED
N/A
19327774.00000000
NC
59207.02000000
0.004016719031
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2025-03-21
0.00000000
MXN
0.00000000
MXN
-19327774.00000000
MXN
59207.02000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 12/05/2024
N/A
305381500.00000000
PA
16439964.04000000
1.115319035546
Long
DBT
NUSS
MX
N
2
2024-12-05
Floating
10.00000080
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.250000% 03/31/2036
N/A
68414000.00000000
PA
2669002.57000000
0.181070309217
Long
DBT
NUSS
ZA
N
2
2036-03-31
Fixed
6.25000000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 5.400000% 03/30/2050
P75744AG0
571000.00000000
PA
USD
692337.50000000
0.046969518357
Long
DBT
NUSS
PY
N
2
2050-03-30
Fixed
5.40000000
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
500000.00000000
PA
USD
517350.00000000
0.035098027078
Long
DBT
NUSS
AZ
N
2
2023-03-13
Fixed
4.75000000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 3.650000% 07/30/2029
69370PAD3
1035000.00000000
PA
USD
1110434.42000000
0.075334024048
Long
DBT
NUSS
ID
Y
2
2029-07-30
Fixed
3.65000000
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
25000.00000000
0.001696048471
Long
DBT
NUSS
VE
N
2
2035-05-17
Fixed
9.75000000
Y
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 3.125000% 04/16/2030
N/A
300000.00000000
PA
USD
335364.00000000
0.022751743989
Long
DBT
NUSS
AE
N
2
2030-04-16
Fixed
3.12500000
N
N
N
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 6.875000% 04/29/2030
279158AN9
1228000.00000000
PA
USD
1470530.00000000
0.099763606377
Long
DBT
NUSS
CO
N
2
2030-04-29
Fixed
6.87500000
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
511665.00000000
0.034712345655
Long
DBT
NUSS
KZ
N
2
2045-07-21
Fixed
6.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-11-27
N/A
1.00000000
NC
USD
8393.45000000
0.000569427921
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
11462626024.00000000
IDR
772778.67000000
USD
2020-11-27
8393.45000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2020-10-19
N/A
1.00000000
NC
-25479.76000000
-0.00172859632
N/A
DFE
CL
N
2
JP MORGAN
N/A
CHILEAN PESO
N/A
917299.46000000
USD
702376200.00000000
CLP
2020-10-19
-25479.76000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.625000% 01/23/2046
71654QBX9
253000.00000000
PA
USD
185196.00000000
0.012564055712
Long
DBT
NUSS
MX
N
2
2046-01-23
Fixed
5.62500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-11-20
N/A
1.00000000
NC
-140154.58000000
-0.00950835844
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
4256059.25000000
USD
15906000.00000000
PLN
2020-11-20
-140154.58000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.950000% 01/28/2031
P78625EA7
1490000.00000000
PA
USD
1258305.00000000
0.085365850899
Long
DBT
NUSS
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Republique Gabonaise
N/A
REPUBLIC OF GABON 6.625000% 02/06/2031
N/A
603000.00000000
PA
USD
537869.01000000
0.036490076500
Long
DBT
NUSS
GA
N
2
2031-02-06
Fixed
6.62500000
N
N
N
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
714691.20000000
0.048486036706
Long
DBT
NUSS
XX
Y
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS REC:6.77 FIXED
N/A
6361099.00000000
NC
51090.58000000
0.003466084005
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-6361099.00000000
BRL
51090.58000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 144A 7.125000% 02/11/2025
29646AAB2
2085000.00000000
PA
USD
1898851.20000000
0.128821747047
Long
DBT
NUSS
ZA
Y
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
30830000.00000000
PA
8123747.66000000
0.551130792204
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-12-18
N/A
1.00000000
NC
126766.05000000
0.008600054615
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
NEW RUSSIAN ROUBLE
N/A
7851373.04000000
USD
624380441.00000000
RUB
2020-12-18
126766.05000000
N
N
N
BRK: GOLDMAN SACHS & CO. LLC
N/A
BRK: GOLDMAN SACHS & CO. LLC PAY: COLOMBIA OVERNIGHT INTERBANK REFERENCE RATE
N/A
16554805000.00000000
NC
21221.93000000
0.001439736877
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO. LLC
N/A
Y
2022-09-01
0.00000000
COP
0.00000000
COP
-16554805000.00000000
COP
21221.93000000
N
N
N
BRK: JP MORGAN CHASE BANK
N/A
BRK: JP MORGAN CHASE BANK PAY:6M BUDAPEST INTERBANK OFFER RATE(BUBOR)
N/A
1811931408.00000000
NC
-49794.41000000
-0.00337814931
N/A
DIR
XX
N
2
BRK: JP MORGAN CHASE BANK
N/A
Y
2022-06-25
0.00000000
HUF
0.00000000
HUF
-1811931408.00000000
HUF
-49794.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
15626.50000000
0.001060132057
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
2153750.00000000
EUR
2541344.02000000
USD
2020-10-05
15626.50000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2027
N/A
1030000.00000000
PA
USD
1018793.60000000
0.069116933139
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-11853.07000000
-0.00080413525
N/A
DFE
TR
N
2
GOLDMAN, SACHS & CO.
N/A
TURKISH LIRA
N/A
1421857.78000000
USD
11097600.00000000
TRY
2020-12-16
-11853.07000000
N
N
N
SHIMAO GROUP HOLDINGS LIMITED
254900WTJ6B5CU69ZD26
SHIMAO GROUP HOLDINGS LTD 5.600000% 07/15/2026
N/A
400000.00000000
PA
USD
436522.86000000
0.029614557186
Long
DBT
NUSS
CN
N
2
2026-07-15
Fixed
5.60000000
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
2977657.85000000
0.202010081857
Long
DBT
NUSS
RU
Y
2
2026-02-11
Fixed
5.15000000
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
813.64000000
0.000055198915
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
813.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
44917.78000000
0.003047309285
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
3421399.00000000
EUR
4057216.05000000
USD
2020-10-05
44917.78000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 11/15/2026
P7807HAR6
13215353.00000000
PA
USD
330383.83000000
0.022413879600
Long
DBT
NUSS
VE
N
2
2026-11-15
Fixed
6.00000000
Y
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 6.375000% 10/24/2048
48667QAS4
1688000.00000000
PA
USD
2152200.00000000
0.146009420851
Long
DBT
NUSS
KZ
Y
2
2048-10-24
Fixed
6.37500000
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
198704.00000000
0.013480464622
Long
DBT
NUSS
PK
N
2
2036-03-31
Fixed
7.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-12-16
N/A
1.00000000
NC
USD
6960.06000000
0.000472183965
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
26064334.17000000
RUB
340105.62000000
USD
2020-12-16
6960.06000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE DEC20 FINANCIAL COMMODITY FUTURE.
N/A
-71.00000000
NC
-14530201.58000000
-0.98575704746
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
EURO-BUND FUTURE DEC20
N/A
Short
Germany Govt. Bond Futures
Euro-Bund Future Dec 2020
2020-12-11
-14688604.49000000
EUR
158402.91000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.000000% 01/31/2030
N/A
63249452.00000000
PA
3460463.79000000
0.234764572928
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAYS: 8.125%
N/A
60000000.00000000
NC
-32434.37000000
-0.00220041054
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-01-28
0.00000000
MXN
0.00000000
MXN
-60000000.00000000
MXN
-32434.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-07
N/A
1.00000000
NC
USD
21525.22000000
0.001460312659
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
36926791.00000000
RUB
497155.32000000
USD
2020-10-07
21525.22000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.000000% 03/14/2029
74727PBA8
2833000.00000000
PA
USD
3310983.76000000
0.224623557869
Long
DBT
NUSS
QA
Y
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-12-30
N/A
1.00000000
NC
2775.71000000
0.000188309548
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
ROMANIAN LEU
N/A
2062257.91000000
EUR
10143628.00000000
RON
2020-12-30
2775.71000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-10-30
N/A
1.00000000
NC
-203795.76000000
-0.01382589949
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
5955799.99000000
USD
32433500.00000000
BRL
2020-10-30
-203795.76000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.000000% 10/06/2027
N/A
16284000.00000000
PA
211495.54000000
0.014348267497
Long
DBT
NUSS
RU
N
2
2027-10-06
Fixed
6.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICO GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 03/08/2044
91086QBB3
386000.00000000
PA
USD
420933.00000000
0.028556910857
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-07
N/A
1.00000000
NC
USD
66151.80000000
0.004487866372
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
80107555.00000000
RUB
1097965.39000000
USD
2020-10-07
66151.80000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
37637400.00000000
NC
65386.63000000
0.004435955755
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-07-07
25.77000000
MXN
0.00000000
MXN
-37637400.00000000
MXN
65360.86000000
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
783310.50000000
0.053141303062
Long
DBT
NUSS
RU
Y
2
2023-06-16
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2020-11-04
N/A
1.00000000
NC
USD
-499920.11000000
-0.03391554954
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
39842318.52000000
UAH
1388234.10000000
USD
2020-11-04
-499920.11000000
N
N
N
CHINA MINMETALS CORPORATION
3003002ULBI4T3DT7Z09
CHINA MINMETALS CORP 3.750000% MATURITY: PERPETUAL
N/A
2047000.00000000
PA
USD
2081740.52000000
0.141229313116
Long
DBT
NUSS
CN
N
2
2169-05-13
Fixed
3.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-1902.92000000
-0.00012909778
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
3446624759.00000000
IDR
227170.10000000
USD
2020-12-16
-1902.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-11-06
N/A
1.00000000
NC
USD
-10547.95000000
-0.00071559337
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
9502447.00000000
ZAR
556905.28000000
USD
2020-11-06
-10547.95000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1D SINACOFI CHILE INTERBANK RATE AVG(CLICP)
N/A
1931133335.00000000
NC
20497.99000000
0.001390623384
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-06-17
0.00000000
CLP
0.00000000
CLP
-1931133335.00000000
CLP
20497.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
-50517.92000000
-0.00342723364
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
6105611.00000000
EUR
7109574.32000000
USD
2020-10-05
-50517.92000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-33605.64000000
-0.00227987177
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
2487229.21000000
USD
2092273.47000000
EUR
2020-10-05
-33605.64000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 5.250000% 10/06/2025
038461AS8
2585000.00000000
PA
USD
2579054.50000000
0.174968057750
Long
DBT
NUSS
EG
Y
2
2025-10-06
Fixed
5.25000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-28470.61000000
-0.00193150138
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
CZECH REPUBLIC KORUNA
N/A
1662420.24000000
USD
37690774.00000000
CZK
2020-12-16
-28470.61000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 10.750000% 10/14/2030
N/A
2854000.00000000
PA
USD
3458990.92000000
0.234664650571
Long
DBT
NUSS
GH
N
2
2030-10-14
Fixed
10.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.160000% 07/15/2021
N/A
1920000.00000000
PA
470675.37000000
0.031931529682
Long
DBT
NUSS
MY
N
2
2021-07-15
Fixed
4.16000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2024
N/A
20173000000.00000000
PA
1474066.06000000
0.100003499543
Long
DBT
NUSS
ID
N
2
2024-03-15
Fixed
8.37500000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 5.375000% 04/24/2030
48667QAQ8
984000.00000000
PA
USD
1148642.88000000
0.077926160056
Long
DBT
NUSS
KZ
Y
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.500000% 04/22/2029
91087BAF7
2486000.00000000
PA
USD
2788073.86000000
0.189148336395
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-10-07
N/A
1.00000000
NC
USD
73062.85000000
0.004956725403
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
89886188.00000000
RUB
1230828.68000000
USD
2020-10-07
73062.85000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 6.350000% 08/10/2028
29646AAC0
322000.00000000
PA
USD
323207.50000000
0.021927023459
Long
DBT
NUSS
ZA
Y
2
2028-08-10
Fixed
6.35000000
N
N
N
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 6.757000% 11/15/2048
Y7140WAD0
257000.00000000
PA
USD
330079.74000000
0.022393249545
Long
DBT
NUSS
ID
N
2
2048-11-15
Fixed
6.75700000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2027
N/A
41212000.00000000
PA
8313135.23000000
0.563979212152
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-12-02
N/A
1.00000000
NC
USD
-3332.34000000
-0.00022607240
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
260352355.00000000
KRW
220240.04000000
USD
2020-12-02
-3332.34000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-10-01
N/A
1.00000000
NC
-967.64000000
-0.00006564657
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
ROMANIAN LEU
N/A
1712292.04000000
EUR
8341687.51000000
RON
2020-10-01
-967.64000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.181000% 07/15/2024
N/A
4186000.00000000
PA
1079030.73000000
0.073203536831
Long
DBT
NUSS
MY
N
2
2024-07-15
Fixed
4.18100000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.659000% 10/15/2020
N/A
36600000.00000000
PA
8813407.62000000
0.597918661056
Long
DBT
NUSS
MY
N
2
2020-10-15
Fixed
3.65900000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2020-12-16
N/A
1.00000000
NC
3368.31000000
0.000228512681
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
INDIA RUPEE
N/A
1669019.67000000
USD
124041542.00000000
INR
2020-12-16
3368.31000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.750000% 03/11/2061
N/A
233000.00000000
PA
USD
196213.96000000
0.013311535481
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.100000% 03/28/2035
N/A
3200000.00000000
PA
USD
3922099.20000000
0.266082814197
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.875000% 01/30/2060
P3579ECG0
2782000.00000000
PA
USD
2629017.82000000
0.178357666251
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-10-02
N/A
1.00000000
NC
USD
192116.69000000
0.013033568740
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
31828788.00000000
BRL
5839073.20000000
USD
2020-10-02
192116.69000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU BONO SOBERANO 6.9% 08/12/2037
P87324BE1
7121000.00000000
PA
2359352.43000000
0.160063043346
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.90000000
N
N
N
N
N
N
ADECOAGRO S.A.
529900Q00UR5LFELO811
ADECOAGRO SA 144A 6.000000% 09/21/2027
00676LAA4
663000.00000000
PA
USD
655786.56000000
0.044489831720
Long
DBT
NUSS
BR
Y
2
2027-09-21
Fixed
6.00000000
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2020-12-17
N/A
1.00000000
NC
-99794.86000000
-0.00677027679
N/A
DFE
HU
N
2
JP MORGAN
N/A
HUNGARIAN FORINT
N/A
4241157.67000000
USD
1283476100.00000000
HUF
2020-12-17
-99794.86000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
4693020.00000000
NC
35204.57000000
0.002388346286
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-4693020.00000000
BRL
35204.57000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
32148200000.00000000
PA
8811645.00000000
0.597799081498
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.500000% 02/15/2048
P3579EBY2
3120000.00000000
PA
USD
3155880.00000000
0.214101018064
Long
DBT
NUSS
DO
N
2
2048-02-15
Fixed
6.50000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.400000% 08/12/2034
N/A
4002000.00000000
PA
1163447.54000000
0.078930536895
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
5.40000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.650000% 06/20/2031
N/A
84500000.00000000
PA
3242570.03000000
0.219982237780
Long
DBT
NUSS
TH
N
2
2031-06-20
Fixed
3.65000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICO GOVERNMENT INTERNATIONAL BOND MTN 6.050000% 01/11/2040
91086QAV0
1116000.00000000
PA
USD
1396674.00000000
0.094753072139
Long
DBT
NUSS
MX
N
2
2040-01-11
Fixed
6.05000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 5.750000% 11/03/2027
N/A
34339900000.00000000
PA
9320611.41000000
0.632328349576
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
5.75000000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 144A 4.750000% 06/19/2032
716564AA7
1201000.00000000
PA
USD
1300683.00000000
0.088240856584
Long
DBT
NUSS
PE
Y
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.500000% 01/27/2025
P3579EBD8
949000.00000000
PA
USD
1009508.24000000
0.068486996314
Long
DBT
NUSS
DO
N
2
2025-01-27
Fixed
5.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 4.375000% 01/27/2030
N/A
961000.00000000
PA
917872.93000000
0.062270279214
Long
DBT
NUSS
UA
Y
2
2030-01-27
Fixed
4.37500000
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
374302.38000000
0.025393399185
Long
DBT
NUSS
PE
Y
2
2027-11-09
Fixed
5.87500000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 9.875000% 06/20/2022
P96006AE4
42797000.00000000
PA
1051790.68000000
0.071355519024
Long
DBT
NUSS
UY
N
2
2022-06-20
Fixed
9.87500000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 8.250000% 05/09/2028
N/A
1085000.00000000
PA
USD
862032.50000000
0.058481956175
Long
DBT
NUSS
AO
N
2
2028-05-09
Fixed
8.25000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 0.500000% 07/31/2035
N/A
9662811.00000000
PA
USD
5338799.71000000
0.362194523604
Long
DBT
NUSS
EC
Y
2
2035-07-31
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-11-06
N/A
1.00000000
NC
USD
-6805.25000000
-0.00046168135
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
12132905.00000000
MXN
540613.45000000
USD
2020-11-06
-6805.25000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3000000.00000000
NC
159573.50000000
0.010825775633
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-3000000.00000000
BRL
159573.50000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 2.750000% 12/22/2026
N/A
1072960000.00000000
PA
3637724.62000000
0.246790291322
Long
DBT
NUSS
HU
N
2
2026-12-22
Fixed
2.75000000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 5.000000% 01/15/2030
86964WAG7
494000.00000000
PA
USD
532285.00000000
0.036111246435
Long
DBT
NUSS
BR
Y
2
2030-01-15
Fixed
5.00000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-11-04
N/A
1.00000000
NC
3139.61000000
0.000212997229
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
654410.75000000
USD
3708176.00000000
BRL
2020-11-04
3139.61000000
N
N
N
N/A
N/A
Credit Default Swap
CDS980J69
21297798.00000000
NC
USD
1354922.20000000
0.091920549075
N/A
DO
XX
N
2
BRK; GOLDMAN SACHS
N/A
Y
2025-12-20
1426989.19000000
USD
0.00000000
USD
21297798.00000000
USD
-72066.99000000
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
48350.81000000
0.003280212696
Long
DBT
NUSS
KR
N
2
2024-12-07
Fixed
7.25000000
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
1391768.71000000
0.094420287755
Long
DBT
NUSS
CN
N
2
2169-07-24
Fixed
4.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.200000% 05/15/2049
195325DQ5
531000.00000000
PA
USD
639111.60000000
0.043358570102
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 6.100000% 08/11/2044
P75744AB1
1010000.00000000
PA
USD
1305425.00000000
0.088562563058
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/IDR SETTLE 2020-10-27
N/A
1.00000000
NC
USD
31911.97000000
0.002164969918
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
49458310950.00000000
IDR
3352196.76000000
USD
2020-10-27
31911.97000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A ZERO COUPON 07/31/2030
N/A
2297341.00000000
PA
USD
1065506.76000000
0.072286044485
Long
DBT
NUSS
EC
Y
2
2030-07-31
Fixed
0.00000000
N
N
N
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 4.550000% 04/21/2050
Y68856AV8
561000.00000000
PA
USD
712700.22000000
0.048350964763
Long
DBT
NUSS
MY
N
2
2050-04-21
Fixed
4.55000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.150000% 08/12/2032
N/A
21790000.00000000
PA
6950318.02000000
0.471523050290
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 7.750000% 04/14/2021
N/A
3331000000.00000000
PA
883992.74000000
0.059971781435
Long
DBT
NUSS
CO
N
2
2021-04-14
Fixed
7.75000000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2020-12-16
N/A
1.00000000
NC
2148.78000000
0.000145777401
N/A
DFE
CO
N
2
CITIGROUP GLOBAL MARKETS
N/A
COLOMBIA PESO
N/A
432469.51000000
USD
1679865983.00000000
COP
2020-12-16
2148.78000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-10-05
N/A
1.00000000
NC
-10894.39000000
-0.00073909654
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
1269286.31000000
USD
1073066.00000000
EUR
2020-10-05
-10894.39000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.61%
N/A
135000000.00000000
NC
3365.66000000
0.000228332900
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-01-17
0.00000000
HUF
0.00000000
HUF
-135000000.00000000
HUF
3365.66000000
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
989325.04000000
0.067117728893
Long
DBT
NUSS
RU
N
2
2026-02-18
Fixed
4.94900000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
32033500000.00000000
PA
9576039.15000000
0.649657062701
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 10.000000% 07/24/2024
N/A
19277300000.00000000
PA
6144448.61000000
0.416851307034
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND 144A 3.000000% 02/14/2031
77586RAH3
1224000.00000000
PA
USD
1255970.88000000
0.085207499672
Long
DBT
NUSS
RO
Y
2
2031-02-14
Fixed
3.00000000
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
841898.44000000
0.057116022507
Long
DBT
NUSS
MX
N
2
2026-08-11
Fixed
3.80000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.125000% 06/15/2025
N/A
371000.00000000
PA
443231.82000000
0.030069706040
Long
DBT
NUSS
CI
N
2
2025-06-15
Fixed
5.12500000
N
N
N
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT INTERNATIONAL BOND 144A 5.625000% 04/30/2043
221597BT3
450000.00000000
PA
USD
370800.00000000
0.025155790935
Long
DBT
NUSS
CR
Y
2
2043-04-30
Fixed
5.62500000
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
237526.17000000
0.016114235906
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-06-10
0.00000000
RUB
0.00000000
RUB
-1020769995.00000000
RUB
237526.17000000
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 5.800000% 05/15/2050
74445PAG7
2234000.00000000
PA
USD
2608722.85000000
0.176980816137
Long
DBT
NUSS
ID
Y
2
2050-05-15
Fixed
5.80000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2020-11-10
N/A
1.00000000
NC
1615.77000000
0.000109616969
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
28274741.00000000
CZK
1045130.11000000
EUR
2020-11-10
1615.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-12-15
N/A
1.00000000
NC
USD
-2325.63000000
-0.00015777524
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
484894.50000000
EUR
567184.98000000
USD
2020-12-15
-2325.63000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.300000% 06/22/2048
836205AZ7
964000.00000000
PA
USD
877105.04000000
0.059504506512
Long
DBT
NUSS
ZA
N
2
2048-06-22
Fixed
6.30000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 8.250000% 05/17/2034
N/A
4532000.00000000
PA
USD
703366.40000000
0.047717740317
Long
DBT
NUSS
LB
N
2
2034-05-17
Fixed
8.25000000
Y
N
N
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO REC:6M PZL - WIBOR
N/A
8140627.00000000
NC
-21550.55000000
-0.00146203109
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO
N/A
Y
2030-06-12
0.00000000
PLN
0.00000000
PLN
-8140627.00000000
PLN
-21550.55000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-12-15
N/A
1.00000000
NC
-6575.86000000
-0.00044611909
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
887251.30000000
USD
749827.43000000
EUR
2020-12-15
-6575.86000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 10/27/2027
N/A
1192460000.00000000
PA
4123491.90000000
0.279745685440
Long
DBT
NUSS
HU
N
2
2027-10-27
Fixed
3.00000000
N
N
N
N
N
N
Fondo MIVIVIENDA S.A.
549300X41PNOK11PZ670
FONDO MIVIVIENDA SA 144A 7.000000% 02/14/2024
344593AE8
3704000.00000000
PA
1150227.41000000
0.078033657644
Long
DBT
NUSS
PE
Y
2
2024-02-14
Fixed
7.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.95% 08/12/2031
715638BE1
154000.00000000
PA
52406.27000000
0.003555342966
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.500000% 01/28/2026
195325CX1
581000.00000000
PA
USD
643457.50000000
0.043653404385
Long
DBT
NUSS
CO
N
2
2026-01-28
Fixed
4.50000000
N
N
N
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.500000% 04/16/2050
698299BH6
1000.00000000
PA
USD
1249.01000000
0.000084735260
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
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
30562.54000000
0.002073421970
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
30562.54000000
N
N
N
BRK:GOLDMAN SACHS & CO
N/A
BRK:GOLDMAN SACHS & CO REF:CETIP 1D BRL 1/3/2022
N/A
15624975.00000000
NC
-4198.58000000
-0.00028483980
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS & CO
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-15624975.00000000
BRL
-4198.58000000
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-10-07
N/A
1.00000000
NC
-562273.35000000
-0.03814571424
N/A
DFE
RU
N
2
CITIGROUP GLOBAL MARKETS
N/A
NEW RUSSIAN ROUBLE
N/A
7805561.27000000
USD
562351662.00000000
RUB
2020-10-07
-562273.35000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 05/20/2021
9127962Y4
14990900.00000000
PA
USD
14981040.34000000
1.016342823064
Long
DBT
UST
US
N
2
2021-05-20
None
0.00000000
N
N
N
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT 6.250000% 01/19/2027
P5178RAC2
326000.00000000
PA
USD
356644.00000000
0.024195420448
Long
DBT
NUSS
HN
N
2
2027-01-19
Fixed
6.25000000
N
N
N
N
N
N
Raizen Fuels Finance S.A.
52990010NH26VC32Q522
RAIZEN FUELS FINANCE SA 144A 5.300000% 01/20/2027
75102XAA4
661000.00000000
PA
USD
718176.50000000
0.048722486216
Long
DBT
NUSS
BR
Y
2
2027-01-20
Fixed
5.30000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 5.750000% 04/19/2047
Y4596HAD9
63000.00000000
PA
USD
74637.36000000
0.005063543215
Long
DBT
NUSS
KZ
N
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS REF:TIIE 28D MEXICAN 4/1/2025
N/A
27064261.00000000
NC
74424.03000000
0.005049070494
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2025-04-01
0.00000000
MXN
0.00000000
MXN
-27064261.00000000
MXN
74424.03000000
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS REC:6.5 FIXED
N/A
4807975.00000000
NC
20856.34000000
0.001414934543
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-4807975.00000000
BRL
20856.34000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
8109783.00000000
NC
44514.66000000
0.003019960842
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-04-20
0.00000000
MXN
0.00000000
MXN
-8109783.00000000
MXN
44514.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-10-22
N/A
1.00000000
NC
USD
-2112.00000000
-0.00014328217
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
855000.00000000
ZAR
49032.51000000
USD
2020-10-22
-2112.00000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.650000% 04/22/2024
N/A
2250000.00000000
PA
USD
354465.00000000
0.024047592864
Long
DBT
NUSS
LB
N
2
2024-04-22
Fixed
6.65000000
Y
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 15.840000% 02/26/2025
N/A
66553000.00000000
PA
2633276.92000000
0.178646611853
Long
DBT
NUSS
UA
N
2
2025-02-26
Fixed
15.84000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.750000% 02/23/2027
200447AF7
458000.00000000
PA
USD
491777.50000000
0.033363139096
Long
DBT
NUSS
MX
Y
2
2027-02-23
Fixed
4.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
60779000000.00000000
PA
4556382.69000000
0.309113835956
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
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
2394000.00000000
PA
USD
2496295.62000000
0.169353534871
Long
DBT
NUSS
CN
N
2
2024-08-08
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-01
N/A
1.00000000
NC
USD
112.11000000
0.000007605759
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
73716.22000000
EUR
86555.37000000
USD
2020-10-01
112.11000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.1% 10/04/2022
N/A
569000.00000000
PA
USD
93600.50000000
0.006350039399
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% 01/01/2025
EK0169285
32832000.00000000
PA
6591442.94000000
0.447176269048
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
10.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-10-16
N/A
1.00000000
NC
USD
17758.29000000
0.001204756824
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
5954548.20000000
TRY
788291.39000000
USD
2020-10-16
17758.29000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-38321.79000000
-0.00259982453
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
1661916.88000000
USD
6273344.00000000
PLN
2020-12-16
-38321.79000000
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
589882.66000000
0.040018783364
Long
DBT
NUSS
RU
N
2
2027-03-10
Fixed
4.65000000
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
614662.50000000
0.041699895755
Long
DBT
NUSS
PA
N
2
2036-05-18
Fixed
5.62500000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2020-11-04
N/A
1.00000000
NC
-8025.65000000
-0.00054447565
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
ROMANIAN LEU
N/A
2052929.16000000
EUR
9997765.00000000
RON
2020-11-04
-8025.65000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
5012193.00000000
NC
231827.93000000
0.015727656257
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-03
0.00000000
BRL
0.00000000
BRL
-5012193.00000000
BRL
231827.93000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH CZK - PRIBOR
N/A
40000000.00000000
NC
35461.21000000
0.002405757241
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-11-11
0.00000000
CZK
0.00000000
CZK
-40000000.00000000
CZK
35461.21000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.620000% 11/30/2021
N/A
18334000.00000000
PA
4506336.82000000
0.305718627103
Long
DBT
NUSS
MY
N
2
2021-11-30
Fixed
3.62000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2020-12-16
N/A
1.00000000
NC
11537.41000000
0.000782720264
N/A
DFE
KR
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1681611.87000000
USD
1971689915.00000000
KRW
2020-12-16
11537.41000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.82%
N/A
33993222.00000000
NC
-120834.68000000
-0.00819765897
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-09-10
0.00000000
MXN
0.00000000
MXN
-33993222.00000000
MXN
-120834.68000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 7.500000% 03/31/2030
N/A
1873.84000000
PA
USD
2168.97000000
0.000147147130
Long
DBT
NUSS
RU
N
2
2030-03-31
Fixed
7.50000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
BERMUDA GOVERNMENT INTERNATIONAL BOND 144A 2.375000% 08/20/2030
085209AG9
1720000.00000000
PA
USD
1739350.00000000
0.118000876386
Long
DBT
NUSS
BM
Y
2
2030-08-20
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
6215.83000000
0.000421693958
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
427044.00000000
EUR
507013.28000000
USD
2020-10-05
6215.83000000
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO REC:REC:1D CLOIS SINACOFI CHILE INTERBANK RATE AVG
N/A
830040908.00000000
NC
-79603.40000000
-0.00540044899
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO
N/A
Y
2030-06-05
0.00000000
CLP
0.00000000
CLP
-830040908.00000000
CLP
-79603.40000000
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 2.700000% 09/02/2070
N/A
681000.00000000
PA
USD
658016.25000000
0.044641098212
Long
DBT
NUSS
AE
N
2
2070-09-02
Fixed
2.70000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.392000% 01/23/2026
715638DE9
1475000.00000000
PA
USD
1547289.75000000
0.104971136645
Long
DBT
NUSS
PE
N
2
2026-01-23
Fixed
2.39200000
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
425425.00000000
0.028861656846
Long
DBT
CORP
ZA
N
2
2024-03-27
Fixed
5.87500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.490000% 01/23/2027
71654QCQ3
62000.00000000
PA
USD
58125.00000000
0.003943312697
Long
DBT
NUSS
MX
Y
2
2027-01-23
Fixed
6.49000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 19.000000% 11/02/2026
N/A
11055000.00000000
PA
1826459.50000000
0.123910553760
Long
DBT
NUSS
GH
N
2
2026-11-02
Fixed
19.00000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.875000% 10/17/2040
N/A
1515000.00000000
PA
1594288.03000000
0.108159591084
Long
DBT
NUSS
CI
N
2
2040-10-17
Fixed
6.87500000
N
N
N
N
N
N
DP WORLD SALAAM
549300SUYBT9X88E9435
DP WORLD SALAAM 6.000000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
USD
209120.00000000
0.014187106258
Long
DBT
NUSS
AE
N
2
2169-01-01
Fixed
6.00000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 9.248000% 01/21/2049
N/A
322000.00000000
PA
USD
319250.12000000
0.021658547127
Long
DBT
NUSS
NG
N
2
2049-01-21
Fixed
9.24800000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-12-02
N/A
1.00000000
NC
-57547.55000000
-0.00390413736
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
5425515.59000000
USD
30300962.00000000
BRL
2020-12-02
-57547.55000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 12.200000% 01/18/2023
AQ8745293
6050000.00000000
PA
776652.84000000
0.052689634500
Long
DBT
NUSS
TR
N
2
2023-01-18
Fixed
12.20000000
N
N
N
N
N
N
Vedanta Holdings Mauritius II Limited
894500ANJHA7BPW5U641
VEDANTA HOLDINGS MAURITIUS II LTD 144A 13.000000% 08/21/2023
92243WAA1
601000.00000000
PA
USD
618930.94000000
0.041989475000
Long
DBT
NUSS
IN
Y
2
2023-08-21
Fixed
13.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 6.875000% 08/04/2026
71654QCB6
741000.00000000
PA
USD
713138.40000000
0.048380691743
Long
DBT
NUSS
MX
N
2
2026-08-04
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2020-12-16
N/A
1.00000000
NC
USD
5335.32000000
0.000361958453
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
24159900.15000000
RUB
314139.05000000
USD
2020-12-16
5335.32000000
N
N
N
Mexico City Airport Trust
N/A
MEXICO CITY AIRPORT TRUST 144A 5.500000% 07/31/2047
59284MAD6
715000.00000000
PA
USD
583811.80000000
0.039606924451
Long
DBT
NUSS
MX
Y
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-12-16
N/A
1.00000000
NC
-2471.19000000
-0.00016765032
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
POLISH ZLOTY
N/A
93840.96000000
USD
353040.00000000
PLN
2020-12-16
-2471.19000000
N
N
N
N/A
N/A
R2035 BOND FUTURE NOV20 FINANCIAL COMMODITY FUTURE.
N/A
976.00000000
NC
4968232.62000000
0.337054533734
N/A
DIR
ZA
N
1
R2035 BOND FUTURE NOV20
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2035 Bond Future Nov 2020
2020-11-08
5187678.05000000
ZAR
-219445.43000000
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 6.757000% 11/15/2048
74445PAD4
331000.00000000
PA
USD
425122.15000000
0.028841110915
Long
DBT
NUSS
ID
Y
2
2048-11-15
Fixed
6.75700000
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
1062080.00000000
0.072053566442
Long
DBT
NUSS
PK
N
2
2025-09-30
Fixed
8.25000000
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.625000% 03/22/2048
N/A
1552000.00000000
PA
1533309.10000000
0.104022662242
Long
DBT
NUSS
CI
N
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
N/A
N/A
R023 BOND FUTURE NOV20 FINANCIAL COMMODITY FUTURE.
N/A
594.00000000
NC
3865536.91000000
0.262245518776
N/A
DIR
ZA
N
1
R023 BOND FUTURE NOV20
N/A
Long
South African Govt. Bond Futures
R023 Bond Future Nov 2020
2020-11-08
3890337.80000000
ZAR
-24800.89000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 19.750000% 03/25/2024
N/A
5311000.00000000
PA
911619.88000000
0.061846060178
Long
DBT
NUSS
GH
N
2
2024-03-25
Fixed
19.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.150000% 11/20/2059
N/A
277000.00000000
PA
USD
257610.00000000
0.017476761874
Long
DBT
NUSS
EG
N
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2020-11-23
N/A
1.00000000
NC
58141.15000000
0.003944408344
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
EURO
N/A
7058228.00000000
PLN
1605584.10000000
EUR
2020-11-23
58141.15000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.4925%
N/A
33000000.00000000
NC
96749.00000000
0.006563639744
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-11-18
0.00000000
CZK
0.00000000
CZK
-33000000.00000000
CZK
96749.00000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.125000% 01/09/2038
040114HU7
8349542.00000000
PA
USD
3590303.06000000
0.243573120747
Long
DBT
NUSS
AR
N
2
2038-01-09
Fixed
0.12500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 6.125000% 01/18/2041
195325BM6
2137000.00000000
PA
USD
2740702.50000000
0.185934571485
Long
DBT
NUSS
CO
N
2
2041-01-18
Fixed
6.12500000
N
N
N
N
N
N
1MDB Global Investments Limited
N/A
1MDB GLOBAL INVESTMENTS 4.4% 03/09/2023
N/A
7400000.00000000
PA
USD
7407035.25000000
0.502507632692
Long
DBT
NUSS
MY
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 6.750000% 06/20/2026
N/A
1299000.00000000
PA
1481381.26000000
0.100499776894
Long
DBT
NUSS
UA
N
2
2026-06-20
Fixed
6.75000000
N
N
N
N
N
N
State of Kuwait
549300FSC1YD0D9XX589
KUWAIT INTL BOND 3.500000% 03/20/2027
N/A
418000.00000000
PA
USD
470250.00000000
0.031902671757
Long
DBT
NUSS
KW
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-10-05
N/A
1.00000000
NC
USD
275.80000000
0.000018710806
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
24325.95000000
EUR
28803.01000000
USD
2020-10-05
275.80000000
N
N
N
ANGLOGOLD ASHANTI HOLDINGS PLC
213800745ZIXC4L6A131
ANGLOGOLD ASHANTI HOLDINGS PLC 3.750000% 10/01/2030
03512TAE1
229000.00000000
PA
USD
234913.45000000
0.015936983916
Long
DBT
NUSS
IM
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.875000% 05/24/2026
48344FAA8
192000.00000000
PA
USD
206881.92000000
0.014035270571
Long
DBT
NUSS
PE
Y
2
2026-05-24
Fixed
4.87500000
N
N
N
N
N
N
Republica de Costa Rica
549300DYYS8QPMR8OP36
COSTA RICA GOVERNMENT 7.158% 03/12/2045
N/A
500000.00000000
PA
USD
455250.00000000
0.030885042673
Long
DBT
NUSS
CR
N
2
2045-03-12
Fixed
7.15800000
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
1539096.77000000
0.104415308996
Long
DBT
NUSS
KR
N
2
2021-11-30
Fixed
8.40000000
N
N
N
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
398000.00000000
0.027001091673
Long
DBT
NUSS
CN
N
2
2024-01-29
Fixed
7.25000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.125000% 05/15/2024
N/A
76235000000.00000000
PA
5533185.48000000
0.375382031131
Long
DBT
NUSS
ID
N
2
2024-05-15
Fixed
8.12500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 12/17/2029
N/A
40631000.00000000
PA
1309740.10000000
0.088855307809
Long
DBT
NUSS
TH
N
2
2029-12-17
Fixed
1.60000000
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
483000.01000000
PA
USD
417795.01000000
0.028344023531
Long
DBT
NUSS
AO
N
2
2023-12-07
Floating
4.98049920
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.250000% 06/23/2047
N/A
1000000.00000000
PA
USD
1323964.00000000
0.089820284763
Long
DBT
NUSS
RU
N
2
2047-06-23
Fixed
5.25000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 17.000000% 05/11/2022
N/A
71848000.00000000
PA
2750693.93000000
0.186612409469
Long
DBT
NUSS
UA
N
2
2022-05-11
Fixed
17.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 1.990000% 04/09/2025
N/A
42870000.00000000
PA
6025190.73000000
0.408760621228
Long
DBT
NUSS
CN
N
2
2025-04-09
Fixed
1.99000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 5.875000% 01/30/2025
P01012AS5
1396000.00000000
PA
USD
1217312.00000000
0.082584806298
Long
DBT
NUSS
SV
N
2
2025-01-30
Fixed
5.87500000
N
N
N
N
N
N
Empresa Nacional del Petroleo
549300YP3P0JZBLIV197
EMPRESA NACIONAL DEL PETROLEO 3.750000% 08/05/2026
P37110AK2
749000.00000000
PA
USD
795320.32000000
0.053956072537
Long
DBT
NUSS
CL
N
2
2026-08-05
Fixed
3.75000000
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 6.750000% 03/13/2048
N/A
260000.00000000
PA
USD
246186.20000000
0.016701749132
Long
DBT
NUSS
SN
N
2
2048-03-13
Fixed
6.75000000
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
620174.55000000
0.042073843914
Long
DBT
NUSS
TR
Y
2
2024-09-07
Fixed
6.87500000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2020-10-05
N/A
1.00000000
NC
9737.64000000
0.000660620377
N/A
DFE
KR
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
2535028.13000000
USD
2974855505.00000000
KRW
2020-10-05
9737.64000000
N
N
N
Mong Duong Finance Holdings B.V.
549300995KGQFMWSV879
MONG DUONG FINANCE HOLDINGS BV 144A 5.125000% 05/07/2029
60935DAA3
684000.00000000
PA
USD
697124.65000000
0.047294287895
Long
DBT
NUSS
VN
Y
2
2029-05-07
Fixed
5.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.882000% 03/10/2022
N/A
5848000.00000000
PA
1448544.31000000
0.098272054540
Long
DBT
NUSS
MY
N
2
2022-03-10
Fixed
3.88200000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.25% 3/12/28
N/A
413000.00000000
PA
12347.96000000
0.000837709547
Long
DBT
USGA
TH
N
2
2028-03-12
Fixed
1.25000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 04/25/2024
N/A
6060000.00000000
PA
1689709.69000000
0.114633181509
Long
DBT
NUSS
PL
N
2
2024-04-25
Fixed
2.50000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.940000% 02/12/2029
N/A
367000.00000000
PA
119693.42000000
0.008120233683
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 3.850000% 07/18/2027
Y20721BT5
400000.00000000
PA
USD
449728.72000000
0.030510468333
Long
DBT
NUSS
ID
N
2
2027-07-18
Fixed
3.85000000
N
N
N
N
N
N
N/A
N/A
R213 BOND FUTURE NOV20 FINANCIAL COMMODITY FUTURE.
N/A
837.00000000
NC
4131254.87000000
0.280272340377
N/A
DIR
ZA
N
1
R213 BOND FUTURE NOV20
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R213 Bond Future Nov 2020
2020-11-08
4262065.24000000
ZAR
-130810.37000000
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
845596.41000000
0.057366899962
Long
DBT
CORP
CO
Y
2
2024-09-10
Fixed
7.62500000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 1.875000% 11/05/2031
N/A
691000.00000000
PA
775700.72000000
0.052625040833
Long
DBT
NUSS
ID
Y
2
2031-11-05
Fixed
1.87500000
N
N
N
N
N
N
Republique Gabonaise
N/A
REPUBLIC OF GABON 6.375000% 12/12/2024
N/A
946000.00000000
PA
USD
891794.20000000
0.060501047607
Long
DBT
NUSS
GA
N
2
2024-12-12
Fixed
6.37500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.500000% 06/17/2024
N/A
8245000.00000000
PA
2069383.12000000
0.140390963140
Long
DBT
NUSS
RO
N
2
2024-06-17
Fixed
4.50000000
N
N
N
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
894313.73000000
0.060671977407
Long
DBT
NUSS
TR
Y
2
2021-02-08
Fixed
5.37500000
N
N
N
N
N
N
AIA Group Limited
ZP5ILWVSYE4LJGMMVD57
AIA GROUP LTD 144A 3.200000% 09/16/2040
00131LAK1
200000.00000000
PA
USD
206526.00000000
0.014011124268
Long
DBT
NUSS
HK
Y
2
2040-09-16
Fixed
3.20000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 9.750000% 11/01/2028
N/A
1807000.00000000
PA
USD
1951560.00000000
0.132397614235
Long
DBT
NUSS
UA
N
2
2028-11-01
Fixed
9.75000000
N
N
N
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
505884.69000000
0.034320198217
Long
DBT
NUSS
KW
Y
2
2169-05-27
Fixed
4.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 5.248000% 09/15/2028
N/A
1050000.00000000
PA
299071.38000000
0.020289582281
Long
DBT
NUSS
MY
N
2
2028-09-15
Fixed
5.24800000
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
4654111.46000000
0.315743945197
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.125000% 07/09/2041
040114HV5
9246899.00000000
PA
USD
3671018.90000000
0.249049039831
Long
DBT
NUSS
AR
N
2
2041-07-09
Fixed
0.12500000
N
N
N
N
N
N
Independent State of Papua New Guinea
254900NKI6OC90ZW9W36
PNG GOVT INTL BOND 8.375000% 10/04/2028
Y6726SAP6
306000.00000000
PA
USD
306306.00000000
0.020780392929
Long
DBT
NUSS
PG
N
2
2028-10-04
Fixed
8.37500000
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
1542405.04000000
0.104639748447
Long
DBT
NUSS
PA
N
2
2029-04-01
Fixed
9.37500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 5.450000% 09/16/2032
N/A
364000.00000000
PA
USD
343117.00000000
0.023277722541
Long
DBT
NUSS
BH
N
2
2032-09-16
Fixed
5.45000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 4.854000% 02/06/2024
G10367AB9
268000.00000000
PA
USD
294467.68000000
0.019977258347
Long
DBT
NUSS
BM
N
2
2024-02-06
Fixed
4.85400000
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
771583.75000000
0.052345737606
Long
DBT
NUSS
BR
Y
2
2026-04-17
Fixed
7.62500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.585000% 12/17/2035
N/A
32515000.00000000
PA
1029088.86000000
0.069815383539
Long
DBT
NUSS
TH
N
2
2035-12-17
Fixed
1.58500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-11-06
N/A
1.00000000
NC
USD
-44023.90000000
-0.00298666673
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
21706833.00000000
ZAR
1252233.00000000
USD
2020-11-06
-44023.90000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 9.500000% 07/15/2052
P01012CC8
568000.00000000
PA
USD
536760.00000000
0.036414839111
Long
DBT
NUSS
SV
N
2
2052-07-15
Fixed
9.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:1M MXIBOR +0 BPS
N/A
52614870.00000000
NC
55941.22000000
0.003795160827
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-04-13
0.00000000
MXN
0.00000000
MXN
-52614870.00000000
MXN
55941.22000000
N
N
N
BRK:GOLDMAN
N/A
BRK:GOLDMAN REC:0.63 FIXED
N/A
3196430.00000000
NC
8388.36000000
0.000569082606
N/A
DIR
XX
N
2
BRK:GOLDMAN
N/A
Y
2024-03-26
0.00000000
PLN
0.00000000
PLN
-3196430.00000000
PLN
8388.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2020-12-16
N/A
1.00000000
NC
USD
-28967.15000000
-0.00196518761
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
U.S. DOLLARS
N/A
15816500.00000000
SGD
11561523.92000000
USD
2020-12-16
-28967.15000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
27057471.00000000
NC
159715.62000000
0.010835417329
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-27057471.00000000
BRL
159715.62000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 4.500000% 01/30/2030
25714PED6
3240000.00000000
PA
USD
3183300.00000000
0.215961244028
Long
DBT
NUSS
DO
Y
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
2020-09-30
SEI INSTITUTIONAL INTERNATIONAL TRUST
James Hoffmayer
James Hoffmayer
CFO