0001752724-21-259454.txt : 20211126
0001752724-21-259454.hdr.sgml : 20211126
20211126100723
ACCESSION NUMBER: 0001752724-21-259454
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210930
FILED AS OF DATE: 20211126
PERIOD START: 20210930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI INSTITUTIONAL INTERNATIONAL TRUST
CENTRAL INDEX KEY: 0000835597
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05601
FILM NUMBER: 211449578
BUSINESS ADDRESS:
STREET 1: SEI INVESTMENTS ATTN: CAREN ROSCH
STREET 2: 1FREEDOM CIRCLE DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
BUSINESS PHONE: 610 676-3097
MAIL ADDRESS:
STREET 1: SEI INVESTMENTS ATTN: CAREN ROSCH
STREET 2: 1FREEDOM CIRCLE DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
FORMER COMPANY:
FORMER CONFORMED NAME: SEI INTERNATIONAL TRUST
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: SEI WEALTH MANAGEMENT TRUST
DATE OF NAME CHANGE: 19900129
0000835597
S000006421
SIT EMERGING MARKETS DEBT FUND
C000017610
SIT EMERGING MARKETS DEBT FUND - CLASS F, effective 1-31-2017 (formerly Class A)
SITEX
C000147410
Class Y
SIEDX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000835597
XXXXXXXX
S000006421
C000017610
C000147410
SEI INSTITUTIONAL INTERNATIONAL TRUST
811-05601
0000835597
E8Z427H460ISEID6A824
ONE FREEDOM VALLEY DRIVE
OAKS
19456
8003425734
SIT Emerging Markets Debt Fund
S000006421
1BNBZ6S2ZXNZOA0AG379
2021-09-30
2021-09-30
N
1618068895.87
77054360.54
1541014535.33
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
72952980.70000000
USD
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.000000% 03/14/2029
74727PBA8
985000.00000000
PA
USD
1119206.25000000
0.072627884055
Long
DBT
NUSS
QA
N
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 09/20/2029
05674RAJ3
721000.00000000
PA
USD
773301.34000000
0.050181313820
Long
DBT
NUSS
BH
N
2
2029-09-20
Fixed
6.75000000
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
441236.25000000
0.028632841539
Long
DBT
CORP
IL
N
2
2031-01-29
Fixed
3.27500000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 8.450000% 08/10/2028
29646AAD8
353000.00000000
PA
USD
390065.00000000
0.025312220686
Long
DBT
NUSS
ZA
N
2
2028-08-10
Fixed
8.45000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 11.700000% 11/13/2030
N/A
4073000.00000000
PA
333523.65000000
0.021643121615
Long
DBT
NUSS
TR
N
2
2030-11-13
Fixed
11.70000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.250000% 06/28/2023
N/A
2730000.00000000
PA
652343.88000000
0.042332104275
Long
DBT
NUSS
RO
N
2
2023-06-28
Fixed
4.25000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 4.500000% 07/16/2025
N/A
914186000.00000000
PA
11470058.44000000
0.744318640547
Long
DBT
NUSS
RU
N
2
2025-07-16
Fixed
4.50000000
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
779051.75000000
0.050554471235
Long
DBT
NUSS
ID
N
2
2031-11-05
Fixed
1.87500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.750000% 03/11/2061
37443GAJ0
77000.00000000
PA
USD
68722.50000000
0.004459562088
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B 6.000000% 05/15/2045
N/A
818000.00000000
PA
625685.21000000
0.040602161475
Long
DBT
NUSS
BR
N
2
2045-05-15
Fixed
6.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.020000% 05/27/2031
N/A
1500000.00000000
PA
234931.87000000
0.015245272813
Long
DBT
NUSS
CN
N
2
2031-05-27
Fixed
3.02000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 08/15/2032
N/A
26770000000.00000000
PA
1999450.13000000
0.129748946824
Long
DBT
NUSS
ID
N
2
2032-08-15
Fixed
7.50000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 4.750000% 02/15/2029
G10367AF0
1204000.00000000
PA
USD
1396399.20000000
0.090615576166
Long
DBT
NUSS
BM
N
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.625000% 02/26/2044
195325BR5
132000.00000000
PA
USD
137661.48000000
0.008933172065
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 04/15/2040
N/A
56606000000.00000000
PA
4136934.57000000
0.268455259516
Long
DBT
NUSS
ID
N
2
2040-04-15
Fixed
7.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 04/11/2031
N/A
900000.00000000
PA
1022694.56000000
0.066365017107
Long
DBT
NUSS
EG
N
2
2031-04-11
Fixed
6.37500000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2021-12-15
N/A
1.00000000
NC
-2389.27000000
-0.00015504526
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
1719163.13000000
EUR
43660332.74000000
CZK
2021-12-15
-2389.27000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 1.000000% 07/31/2035
N/A
3982124.00000000
PA
USD
2623264.01000000
0.170229673365
Long
DBT
NUSS
EC
N
2
2035-07-31
Fixed
1.00000000
N
N
N
N
N
N
Minejesa Capital B.V.
549300KS7ERCP10BKC35
MINEJESA CAPITAL BV 144A 5.625000% 08/10/2037
602736AB6
297000.00000000
PA
USD
313780.50000000
0.020361942915
Long
DBT
NUSS
ID
N
2
2037-08-10
Fixed
5.62500000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 7.625000% 02/01/2041
283875AQ5
545000.00000000
PA
USD
382867.95000000
0.024845187454
Long
DBT
NUSS
SV
N
2
2041-02-01
Fixed
7.62500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 1.300000% 03/23/2034
BR4171160
514000.00000000
PA
581403.49000000
0.037728618171
Long
DBT
NUSS
ID
N
2
2034-03-23
Fixed
1.30000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-35943.46000000
-0.00233245431
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
932386.45000000
USD
8263834.31000000
TRY
2021-12-15
-35943.46000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY COP - COLUMBIA IBR OVERNIGHT INTERBANK
N/A
879919000.00000000
NC
14465.88000000
0.000938724435
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-03-11
0.00000000
COP
0.00000000
COP
-879919000.00000000
COP
14465.88000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.350000% 02/12/2048
P78625DE0
678000.00000000
PA
USD
572886.27000000
0.037175916051
Long
DBT
NUSS
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 4.750000% 01/14/2050
105756CB4
754000.00000000
PA
USD
667493.58000000
0.043315203373
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-10-26
N/A
1.00000000
NC
57805.00000000
0.003751100244
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
2612916.04000000
USD
38273994150.00000000
IDR
2021-10-26
57805.00000000
N
N
N
Republica de Mocambique
N/A
REPUBLIC OF MOZAMBIQUE 5.000000% 09/15/2031
N/A
200000.00000000
PA
USD
172040.00000000
0.011164073800
Long
DBT
NUSS
MZ
N
2
2031-09-15
Fixed
5.00000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 19.000000% 11/02/2026
N/A
11055000.00000000
PA
1821800.15000000
0.118220828436
Long
DBT
NUSS
GH
N
2
2026-11-02
Fixed
19.00000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 6.375000% 01/18/2027
283875AS1
256000.00000000
PA
USD
190082.56000000
0.012334897279
Long
DBT
NUSS
SV
N
2
2027-01-18
Fixed
6.37500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 5.750000% 11/03/2027
N/A
34702000000.00000000
PA
8562593.53000000
0.555646512975
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
5.75000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BANQUE CENTRALE DE TUNISIE INTERNATIONAL BOND 144A 6.375000% 07/15/2026
AZ5985371
1448000.00000000
PA
1400608.77000000
0.090888744907
Long
DBT
NUSS
TN
N
2
2026-07-15
Fixed
6.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-12-15
N/A
1.00000000
NC
USD
70194.40000000
0.004555077086
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
2847976.00000000
EUR
3375568.68000000
USD
2021-12-15
70194.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2021-10-08
N/A
1.00000000
NC
USD
-2540.42000000
-0.00016485373
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
3268963.00000000
CNY
503268.93000000
USD
2021-10-08
-2540.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
31394.28000000
0.002037247493
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
10079077.00000000
ZAR
701322.96000000
USD
2021-10-01
31394.28000000
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
307308.13000000
0.019941935845
Long
DBT
NUSS
CO
N
2
2024-08-12
Fixed
7.87500000
N
N
N
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
TURKIYE IHRACAT KREDI BANKASI AS 144A 6.125000% 05/03/2024
90015LAD9
247000.00000000
PA
USD
253273.80000000
0.016435523104
Long
DBT
NUSS
TR
N
2
2024-05-03
Fixed
6.12500000
N
N
N
N
N
N
Mong Duong Finance Holdings B.V.
549300995KGQFMWSV879
MONG DUONG FINANCE HOLDINGS BV 144A 5.125000% 05/07/2029
60935DAA3
1111000.00000000
PA
USD
1106011.61000000
0.071771653325
Long
DBT
NUSS
VN
N
2
2029-05-07
Fixed
5.12500000
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 4.250000% 04/16/2039
80414L2E4
920000.00000000
PA
USD
1031448.80000000
0.066933100003
Long
DBT
NUSS
SA
N
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 19.250000% 12/18/2023
BN1508850
5450000.00000000
PA
933262.58000000
0.060561568927
Long
DBT
NUSS
GH
N
2
2023-12-18
Fixed
19.25000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2022-01-21
N/A
1.00000000
NC
12014.06000000
0.000779620160
N/A
DFE
PA
N
2
JP MORGAN
N/A
2540714.84000000
EUR
11770267.00000000
PLN
2022-01-21
12014.06000000
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT INTERNATIONAL BOND 144A 5.625000% 06/24/2030
438180AJ0
736000.00000000
PA
USD
765447.36000000
0.049671650880
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/EUR SETTLE 2021-10-06
N/A
1.00000000
NC
USD
21633.58000000
0.001403853078
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
2055687.00000000
EUR
2404143.83000000
USD
2021-10-06
21633.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2021-10-08
N/A
1.00000000
NC
USD
-9338.61000000
-0.00060600401
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
16645260.00000000
CNY
2566196.27000000
USD
2021-10-08
-9338.61000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT VARIABLE RATE 05/31/2040
N/A
410000.00000000
PA
USD
447221.44000000
0.029021234371
Long
DBT
NUSS
UA
N
2
2040-05-31
Floating
1.25799840
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 3.300000% 03/11/2041
715638DS8
568000.00000000
PA
USD
550505.60000000
0.035723582573
Long
DBT
NUSS
PE
N
2
2041-03-11
Fixed
3.30000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND 144A 2.750000% 04/14/2041
N/A
623000.00000000
PA
670363.45000000
0.043501435880
Long
DBT
NUSS
RO
N
2
2041-04-14
Fixed
2.75000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.125000% 04/15/2031
195325DS1
1537000.00000000
PA
USD
1438678.11000000
0.093359152494
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
117065000000.00000000
PA
9254780.61000000
0.600564134719
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
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
529276.46000000
0.034345974542
Long
DBT
NUSS
KW
N
2
2170-05-27
Fixed
4.50000000
N
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 10/13/2024
P97475AP5
3303600.00000000
PA
USD
350181.60000000
0.022724094547
Long
DBT
NUSS
VE
N
2
2024-10-13
Floating
0.00000000
Y
Y
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.250000% 03/31/2032
N/A
86525337.00000000
PA
5141978.56000000
0.333674890282
Long
DBT
NUSS
ZA
N
2
2032-03-31
Fixed
8.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.000000% 02/26/2024
195325BQ7
908000.00000000
PA
USD
948860.00000000
0.061573721613
Long
DBT
NUSS
CO
N
2
2024-02-26
Fixed
4.00000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A VARIABLE RATE 05/31/2040
903724AW2
2206000.00000000
PA
USD
2406269.50000000
0.156148397359
Long
DBT
NUSS
UA
N
2
2040-05-31
Floating
1.25799840
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-61749.32000000
-0.00400705629
N/A
DFE
CL
N
2
STANDARD BANK
N/A
1083403.63000000
USD
834925006.00000000
CLP
2021-12-15
-61749.32000000
N
N
N
WANDA PROPERTIES OVERSEAS LIMITED
549300BJ7FGBP0KHXY31
WANDA PROPERTIES OVERSEAS LTD 6.875000% 07/23/2023
N/A
232000.00000000
PA
USD
224136.33000000
0.014544725235
Long
DBT
NUSS
CN
N
2
2023-07-23
Fixed
6.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2021-12-15
N/A
1.00000000
NC
-3564.04000000
-0.00023127880
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
26437670.00000000
CZK
1036688.56000000
EUR
2021-12-15
-3564.04000000
N
N
N
Republic of Georgia
254900MHQHBC58M2GR84
GEORGIA GOVERNMENT INTERNATIONAL BOND 144A 2.750000% 04/22/2026
37311PAB6
499000.00000000
PA
USD
504538.90000000
0.032740697016
Long
DBT
NUSS
GE
N
2
2026-04-22
Fixed
2.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.125000% 12/17/2026
N/A
15000000.00000000
PA
466493.40000000
0.030271836462
Long
DBT
NUSS
TH
N
2
2026-12-17
Fixed
2.12500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-2445.35000000
-0.00015868442
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
658615.14000000
USD
9452444523.00000000
IDR
2021-12-15
-2445.35000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 5.850000% 04/26/2023
N/A
1720000.00000000
PA
420267.68000000
0.027272142498
Long
DBT
NUSS
RO
N
2
2023-04-26
Fixed
5.85000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2021-12-15
N/A
1.00000000
NC
6334.26000000
0.000411044792
N/A
DFE
RU
N
2
BARCLAYS CAPITAL INC.
N/A
1219563.52000000
USD
90447343.00000000
RUB
2021-12-15
6334.26000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.300000% 09/30/2033
03846JAE0
964000.00000000
PA
USD
935851.20000000
0.060729550471
Long
DBT
NUSS
EG
N
2
2033-09-30
Fixed
7.30000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.500000% 01/23/2029
71654QCM2
785000.00000000
PA
USD
806901.50000000
0.052361705973
Long
DBT
NUSS
MX
N
2
2029-01-23
Fixed
6.50000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-11-15
N/A
1.00000000
NC
498.50000000
0.000032348818
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
56674.30000000
USD
865000.00000000
ZAR
2021-11-15
498.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
800.20000000
0.000051926830
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
9346595.00000000
MYR
2233356.03000000
USD
2021-10-04
800.20000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.000000% 01/30/2030
195325DR3
1457000.00000000
PA
USD
1376923.28000000
0.089351738639
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-01-28
N/A
1.00000000
NC
USD
110521.36000000
0.007171986861
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
7566900.00000000
EUR
8902230.84000000
USD
2022-01-28
110521.36000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
1048.07000000
0.000068011688
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
495281.33000000
USD
7541525.00000000
ZAR
2021-12-15
1048.07000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.000000% 01/28/2032
N/A
40000.00000000
PA
45084.82000000
0.002925658322
Long
DBT
NUSS
RO
N
2
2032-01-28
Fixed
2.00000000
N
N
N
N
N
N
Sinopec Group Overseas Development (2018) Limited
549300C6OZZ8LTVR8209
SINOPEC GROUP OVERSEAS DEVELOPMENT 2018 LTD 2.300000% 01/08/2031
G82016AS8
2858000.00000000
PA
USD
2829018.31000000
0.183581546126
Long
DBT
NUSS
CN
N
2
2031-01-08
Fixed
2.30000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.500000% 04/16/2050
698299BH6
1825000.00000000
PA
USD
1985983.25000000
0.128875049810
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.625000% 06/15/2035
706451BG5
3945000.00000000
PA
USD
3742818.75000000
0.242880171743
Long
DBT
NUSS
MX
N
2
2035-06-15
Fixed
6.62500000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 10/27/2038
N/A
138140000.00000000
PA
406154.32000000
0.026356293901
Long
DBT
NUSS
HU
N
2
2038-10-27
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2021-12-15
N/A
1.00000000
NC
USD
6759.53000000
0.000438641547
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
7330834075.29000000
COP
1921632.04000000
USD
2021-12-15
6759.53000000
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA GOVERNMENT INTERNATIONAL BOND MTN 8.750000% 03/09/2024
Y6142NAA6
2351000.00000000
PA
USD
2665585.71000000
0.172976026435
Long
DBT
NUSS
MN
N
2
2024-03-09
Fixed
8.75000000
N
N
N
N
N
N
CEMEX, Sociedad Anonima Bursatil de Capital Variable
549300RIG2CXWN6IV731
CEMEX SAB DE CV 144A 5.450000% 11/19/2029
151290BV4
750000.00000000
PA
USD
812812.50000000
0.052745284445
Long
DBT
NUSS
MX
N
2
2029-11-19
Fixed
5.45000000
N
N
N
N
N
N
DIANJIAN HAIYU LIMITED
30030053J86AJARAGD28
DIANJIAN HAIYU LTD MTN 4.300000% MATURITY: PERPETUAL
N/A
204000.00000000
PA
USD
212594.52000000
0.013795750469
Long
DBT
NUSS
CN
N
2
2169-12-20
Fixed
4.30000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 7.625000% 05/29/2032
N/A
4332000.00000000
PA
USD
4316967.96000000
0.280138042894
Long
DBT
NUSS
EG
N
2
2032-05-29
Fixed
7.62500000
N
N
N
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE 5.333% 02/15/28
G13201AA9
1176000.00000000
PA
USD
1258919.76000000
0.081694217097
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
9711000.00000000
PA
2590578.13000000
0.168108610957
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
2.75000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.950000% 08/12/2031
N/A
1700000.00000000
PA
426244.99000000
0.027660023979
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 5.875000% 01/30/2025
283875AR3
93000.00000000
PA
USD
70913.43000000
0.004601736607
Long
DBT
NUSS
SV
N
2
2025-01-30
Fixed
5.87500000
N
N
N
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
KINGDOM OF JORDAN 7.375000% 10/10/2047
N/A
342000.00000000
PA
USD
354058.92000000
0.022975702816
Long
DBT
NUSS
JO
N
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
Republique Gabonaise
N/A
GABON GOVERNMENT INTERNATIONAL BOND 144A 6.625000% 02/06/2031
362420AD3
613000.00000000
PA
USD
602897.76000000
0.039123431101
Long
DBT
NUSS
GA
N
2
2031-02-06
Fixed
6.62500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.292000% 01/05/2028
N/A
19000000.00000000
PA
1195613.54000000
0.077586129954
Long
DBT
NUSS
EG
N
2
2028-01-05
Fixed
14.29200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-12-03
N/A
1.00000000
NC
USD
349175.70000000
0.022658819368
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
12882983.00000000
EUR
15295671.98000000
USD
2021-12-03
349175.70000000
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS INTERNATIONAL BOND 144A 6.200000% 02/28/2030
07737JAC7
89000.00000000
PA
USD
78298.64000000
0.005080979978
Long
DBT
NUSS
BY
N
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
Qatar Petroleum
254900QTESJKJ3P87J26
QATAR PETROLEUM 144A 3.300000% 07/12/2051
74730DAD5
1635000.00000000
PA
USD
1651350.00000000
0.107159923682
Long
DBT
NUSS
QA
N
2
2051-07-12
Fixed
3.30000000
N
N
N
N
N
N
Fondo MIVIVIENDA S.A.
549300X41PNOK11PZ670
FONDO MIVIVIENDA SA 144A 7.000000% 02/14/2024
344593AE8
3704000.00000000
PA
916011.22000000
0.059442088247
Long
DBT
NUSS
PE
N
2
2024-02-14
Fixed
7.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.050000% 01/19/2028
N/A
508555000.00000000
PA
6951451.12000000
0.451095752871
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 10/04/2047
80413TAF6
390000.00000000
PA
USD
458250.00000000
0.029736903156
Long
DBT
NUSS
SA
N
2
2047-10-04
Fixed
4.62500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.750000% 03/11/2061
N/A
693000.00000000
PA
USD
618502.50000000
0.040136058798
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2021-11-22
N/A
1.00000000
NC
114.96000000
0.000007460020
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
74965.85000000
USD
88899000.00000000
KRW
2021-11-22
114.96000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 05/31/2029
N/A
81760000.00000000
PA
4256558.24000000
0.276217916340
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-11-01
N/A
1.00000000
NC
USD
1519.88000000
0.000098628531
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
18250476400.00000000
IDR
1274563.61000000
USD
2021-11-01
1519.88000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 7.000000% 02/28/2031
N/A
51041000.00000000
PA
2854496.34000000
0.185234874464
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
7.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
37637400.00000000
NC
14483.70000000
0.000939880816
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-07-07
14.82000000
MXN
0.00000000
MXN
-37637400.00000000
MXN
14468.88000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 4.500000% 01/30/2030
P3579ECF2
3319000.00000000
PA
USD
3377115.69000000
0.219148853730
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 3.000000% 09/22/2030
N/A
561000.00000000
PA
USD
561639.68000000
0.036446098795
Long
DBT
NUSS
CN
N
2
2030-09-22
Fixed
3.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.125000% 05/15/2024
N/A
77129000000.00000000
PA
5876623.55000000
0.381347704078
Long
DBT
NUSS
ID
N
2
2024-05-15
Fixed
8.12500000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 2.950000% 05/05/2045
718286CH8
309000.00000000
PA
USD
293604.41000000
0.019052669735
Long
DBT
NUSS
PH
N
2
2045-05-05
Fixed
2.95000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 2.125000% 12/01/2030
N/A
917000.00000000
PA
USD
857649.93000000
0.055654889057
Long
DBT
NUSS
RS
N
2
2030-12-01
Fixed
2.12500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
Mexican Udibonos 4.500000% 12/04/2025
EF2271213
31311542.37000000
PA
1662120.22000000
0.107858828187
Long
DBT
NUSS
MX
N
2
2025-12-04
Fixed
4.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 7.625000% 05/29/2032
03846JX54
3568000.00000000
PA
USD
3555619.04000000
0.230732349272
Long
DBT
NUSS
EG
N
2
2032-05-29
Fixed
7.62500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 1.250000% 03/11/2033
N/A
2088000.00000000
PA
2330806.68000000
0.151251440305
Long
DBT
NUSS
PE
N
2
2033-03-11
Fixed
1.25000000
N
N
N
N
N
N
African Export-Import Bank
21380068LJCDYA42GJ76
AFRICAN EXPORT-IMPORT BANK/THE 144A 3.798000% 05/17/2031
00831TAC5
200000.00000000
PA
USD
207000.00000000
0.013432709118
Long
DBT
NUSS
XX
N
2
2031-05-17
Fixed
3.79800000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2021-10-01
N/A
1.00000000
NC
133.80000000
0.000008682591
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
176015.05000000
USD
208560233.00000000
KRW
2021-10-01
133.80000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND MTN 4.250000% 01/25/2028
N/A
597000.00000000
PA
USD
588045.00000000
0.038159601127
Long
DBT
NUSS
BH
N
2
2028-01-25
Fixed
4.25000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 5.000000% 02/12/2029
N/A
8095000.00000000
PA
1989337.67000000
0.129092725888
Long
DBT
NUSS
RO
N
2
2029-02-12
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-12-03
N/A
1.00000000
NC
USD
-1589.21000000
-0.00010312751
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
19368758039.00000000
IDR
1344809.83000000
USD
2021-12-03
-1589.21000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 8.125000% 04/28/2034
698299AT1
478000.00000000
PA
USD
690714.78000000
0.044822080789
Long
DBT
NUSS
PA
N
2
2034-04-28
Fixed
8.12500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.600000% 11/27/2026
N/A
1896000.00000000
PA
USD
312915.84000000
0.020305833126
Long
DBT
NUSS
LB
N
2
2026-11-27
Fixed
6.60000000
Y
N
N
N
N
N
Provincia de Buenos Aires
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS MTN 2.000000% 09/01/2037
N/A
665743.00000000
PA
249602.12000000
0.016197259291
Long
DBT
NUSS
AR
N
2
2037-09-01
Fixed
2.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.060000% 01/12/2026
N/A
44207000.00000000
PA
2767749.71000000
0.179605684861
Long
DBT
NUSS
EG
N
2
2026-01-12
Fixed
14.06000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2021-12-13
N/A
1.00000000
NC
-231928.91000000
-0.01505040378
N/A
DFE
HU
N
2
MERRILL LYNCH
N/A
4363887.69000000
USD
1283476100.00000000
HUF
2021-12-13
-231928.91000000
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
574056.34000000
0.037251844602
Long
DBT
NUSS
CL
N
2
2043-10-18
Fixed
5.62500000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 1.648000% 06/10/2031
718286CK1
1928000.00000000
PA
USD
1833241.54000000
0.118963286716
Long
DBT
NUSS
PH
N
2
2031-06-10
Fixed
1.64800000
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-99245.12000000
-0.00644024554
N/A
DFE
SG
N
2
GOLDMAN, SACHS & CO.
N/A
7955677.60000000
USD
10665182.50000000
SGD
2021-12-15
-99245.12000000
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
1237030.00000000
0.080273739905
Long
DBT
NUSS
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
MERCADOLIBRE, INC.
549300DKPDN9M5S8GB14
MERCADOLIBRE INC 3.125000% 01/14/2031
58733RAF9
651000.00000000
PA
USD
628221.51000000
0.040766747853
Long
DBT
CORP
AR
N
2
2031-01-14
Fixed
3.12500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICO GOVERNMENT INTERNATIONAL BOND MTN 5.750000% 10/12/2110
91086QAZ1
1716000.00000000
PA
USD
1952070.12000000
0.126674348310
Long
DBT
NUSS
MX
N
2
2110-10-12
Fixed
5.75000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-191529.86000000
-0.01242881592
N/A
DFE
PA
N
2
JP MORGAN
N/A
6265307.26000000
USD
24118989.48000000
PLN
2021-12-15
-191529.86000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2021-10-06
N/A
1.00000000
NC
13559.19000000
0.000879887222
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
1814638.16000000
EUR
9040527.31000000
RON
2021-10-06
13559.19000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.254000% 05/31/2035
N/A
5300000.00000000
PA
1312359.25000000
0.085162029293
Long
DBT
NUSS
MY
N
2
2035-05-31
Fixed
4.25400000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-5998.17000000
-0.00038923513
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
368486.44000000
USD
312773.00000000
EUR
2021-10-04
-5998.17000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2021-10-08
N/A
1.00000000
NC
30.24000000
0.000001962343
N/A
DFE
CN
N
2
MORGAN STANLEY & CO, INC
N/A
4342.45000000
USD
28260.00000000
CNY
2021-10-08
30.24000000
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 6.100000% 08/11/2044
P75744AB1
1010000.00000000
PA
USD
1229685.10000000
0.079797112344
Long
DBT
NUSS
PY
N
2
2044-08-11
Fixed
6.10000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 06/17/2035
N/A
27023000.00000000
PA
737412.96000000
0.047852433776
Long
DBT
NUSS
TH
N
2
2035-06-17
Fixed
1.60000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 8.875000% 05/29/2050
N/A
300000.00000000
PA
USD
296749.20000000
0.019256742437
Long
DBT
NUSS
EG
N
2
2050-05-29
Fixed
8.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2021-12-20
N/A
1.00000000
NC
USD
-8311.51000000
-0.00053935312
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
240132231.99000000
RUB
3242160.41000000
USD
2021-12-20
-8311.51000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.500000% 07/09/2029
N/A
13070.00000000
PA
6028.70000000
0.000391216296
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
0.50000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 19.750000% 03/25/2024
N/A
5311000.00000000
PA
919273.15000000
0.059653762435
Long
DBT
NUSS
GH
N
2
2024-03-25
Fixed
19.75000000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 3.000000% 09/30/2029
P3143NBE3
224000.00000000
PA
USD
228905.19000000
0.014854187598
Long
DBT
NUSS
CL
N
2
2029-09-30
Fixed
3.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 04/15/2043
Y20721BE8
605000.00000000
PA
USD
685050.53000000
0.044454514496
Long
DBT
NUSS
ID
N
2
2043-04-15
Fixed
4.62500000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.100000% 05/07/2041
168863DS4
212000.00000000
PA
USD
204584.24000000
0.013275944860
Long
DBT
NUSS
CL
N
2
2041-05-07
Fixed
3.10000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2021-12-15
N/A
1.00000000
NC
-30357.87000000
-0.00196999245
N/A
DFE
HU
N
2
MERRILL LYNCH
N/A
1040248.06000000
EUR
365603293.00000000
HUF
2021-12-15
-30357.87000000
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
SENEGAL GOVERNMENT INTERNATIONAL BOND 144A 4.750000% 03/13/2028
N/A
113000.00000000
PA
136119.92000000
0.008833136669
Long
DBT
NUSS
SN
N
2
2028-03-13
Fixed
4.75000000
N
N
N
N
N
N
Joint Stock Company KazTransGas
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 144A 4.375000% 09/26/2027
48668NAA9
165000.00000000
PA
USD
181633.32000000
0.011786606539
Long
DBT
NUSS
KZ
N
2
2027-09-26
Fixed
4.37500000
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
465868.00000000
0.030231252809
Long
DBT
CORP
ZA
N
2
2024-03-27
Fixed
5.87500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-9202.98000000
-0.00059720267
N/A
DFE
MX
N
2
CITIGROUP GLOBAL MARKETS
N/A
759209.23000000
USD
15574680.00000000
MXN
2021-12-15
-9202.98000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 04/25/2024
N/A
8185000.00000000
PA
2144743.09000000
0.139177343290
Long
DBT
NUSS
PL
N
2
2024-04-25
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2021-12-15
N/A
1.00000000
NC
USD
-47929.22000000
-0.00311023802
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
335474426.00000000
RUB
4498996.55000000
USD
2021-12-15
-47929.22000000
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 4.500000% 01/11/2026
N/A
27640000.00000000
PA
292868.76000000
0.019004931704
Long
DBT
NUSS
RS
N
2
2026-01-11
Fixed
4.50000000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT DEC21 FINANCIAL COMMODITY FUTURE.
N/A
55.00000000
NC
USD
10508437.50000000
0.681916832001
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Dec 2021
2021-12-24
10888707.45000000
USD
-380269.95000000
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 16.375000% 03/04/2032
V3843WBJ8
1427900000.00000000
PA
465029.00000000
0.030176808157
Long
DBT
NUSS
UG
N
2
2032-03-04
Fixed
16.37500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.500000% 01/31/2037
N/A
188228066.00000000
PA
10479170.26000000
0.680017613056
Long
DBT
NUSS
ZA
N
2
2037-01-31
Fixed
8.50000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-37947.31000000
-0.00246248877
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2388602.80000000
USD
2783176099.00000000
KRW
2021-10-01
-37947.31000000
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
967716.84000000
0.062797385606
Long
DBT
NUSS
LK
N
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.750000% 02/28/2048
N/A
163190910.00000000
PA
8925441.82000000
0.579192578354
Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
8.75000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 3.500000% 04/14/2033
N/A
1832000.00000000
PA
USD
1885824.16000000
0.122375494634
Long
DBT
NUSS
KZ
N
2
2033-04-14
Fixed
3.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 04/15/2039
N/A
72056000000.00000000
PA
5658755.91000000
0.367209768646
Long
DBT
NUSS
ID
N
2
2039-04-15
Fixed
8.37500000
N
N
N
N
N
N
The Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXPORT-IMPORT BANK OF KOREA MTN 7.250000% 12/07/2024
N/A
700000000.00000000
PA
51705.85000000
0.003355312283
Long
DBT
NUSS
KR
N
2
2024-12-07
Fixed
7.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-12-02
N/A
1.00000000
NC
USD
170725.47000000
0.011078770906
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
27358419.16000000
BRL
5142463.33000000
USD
2021-12-02
170725.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
16780.13000000
0.001088901474
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1033055.00000000
EUR
1214039.21000000
USD
2021-10-04
16780.13000000
N
N
N
DERZHAVNE AHENTSTVO AVTOMOBIL'NYKH DORIH UKRAINY
254900FGEO8P5USHG994
STATE AGENCY OF ROADS OF UKRAINE 144A 6.250000% 06/24/2028
857329AA4
2131000.00000000
PA
USD
2108334.68000000
0.136814717295
Long
DBT
NUSS
UA
N
2
2028-06-24
Fixed
6.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
COLOMBIA GOVT BOND I/L 3.00% 03/25/2033
N/A
1380300000.00000000
PA
975079.85000000
0.063275188367
Long
DBT
NUSS
CO
N
2
2033-03-25
Fixed
3.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2027
N/A
66663000000.00000000
PA
4988371.91000000
0.323706999229
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 10/27/2027
N/A
354300000.00000000
PA
1155110.28000000
0.074957779665
Long
DBT
NUSS
HU
N
2
2027-10-27
Fixed
3.00000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 6.125000% 09/28/2028
65412JAR4
665000.00000000
PA
USD
666835.40000000
0.043272492550
Long
DBT
NUSS
NG
N
2
2028-09-28
Fixed
6.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2021-10-26
N/A
1.00000000
NC
USD
4471.09000000
0.000290139378
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
6892678.54000000
PEN
1675013.01000000
USD
2021-10-26
4471.09000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-10445.96000000
-0.00067786252
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
975278.78000000
USD
832506.00000000
EUR
2021-10-04
-10445.96000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 6.125000% 01/22/2044
77586RAC4
468000.00000000
PA
USD
611859.46000000
0.039704976557
Long
DBT
NUSS
RO
N
2
2044-01-22
Fixed
6.12500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 02/08/2038
N/A
241000.00000000
PA
289780.96000000
0.018804557215
Long
DBT
NUSS
RO
N
2
2038-02-08
Fixed
3.37500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 2.850000% 02/14/2030
455780CQ7
3196000.00000000
PA
USD
3299263.40000000
0.214096838437
Long
DBT
NUSS
ID
N
2
2030-02-14
Fixed
2.85000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
7329100000.00000000
PA
1818946.06000000
0.118035619930
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.500000% 01/27/2025
P3579EBD8
949000.00000000
PA
USD
1036791.99000000
0.067279831969
Long
DBT
NUSS
DO
N
2
2025-01-27
Fixed
5.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-12-03
N/A
1.00000000
NC
USD
-357.13000000
-0.00002317499
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
16802030501.00000000
IDR
1167618.52000000
USD
2021-12-03
-357.13000000
N
N
N
NEON CAPITAL LIMITED
N/A
NEON CAPITAL LTD/KY MTN VARIABLE RATE 01/06/2028
N/A
265619210.00000000
PA
1981401.46000000
0.128577726852
Long
DBT
NUSS
KY
N
2
2028-01-06
Floating
0.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE DEC21 FINANCIAL COMMODITY FUTURE.
N/A
-104.00000000
NC
-20468540.31000000
-1.32825095680
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-Bund Future Dec 2021
2021-12-11
-21241375.72000000
EUR
772835.41000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
8953117.00000000
NC
-148530.73000000
-0.00963850285
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-8953117.00000000
BRL
-148530.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2021-12-15
N/A
1.00000000
NC
USD
-12926.85000000
-0.00083885321
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
75844723.00000000
RUB
1015051.14000000
USD
2021-12-15
-12926.85000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.280000% 12/03/2027
N/A
50290000.00000000
PA
8017271.00000000
0.520259271810
Long
DBT
NUSS
CN
N
2
2027-12-03
Fixed
3.28000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.750000% 04/18/2028
Y8137FAL2
3312000.00000000
PA
USD
2005217.28000000
0.130123190536
Long
DBT
NUSS
LK
N
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 05/22/2040
N/A
10982000.00000000
PA
2506618.87000000
0.162660300245
Long
DBT
NUSS
MY
N
2
2040-05-22
Fixed
3.75700000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2021-11-15
N/A
1.00000000
NC
-127659.39000000
-0.00828411329
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
6540462.60000000
USD
27442800.00000000
RON
2021-11-15
-127659.39000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.875000% 06/17/2022
N/A
20000000.00000000
PA
596653.67000000
0.038718237649
Long
DBT
NUSS
TH
N
2
2022-06-17
Fixed
1.87500000
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
1867875.47000000
0.121210762596
Long
DBT
NUSS
MX
N
2
2025-11-25
Fixed
7.35000000
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
255704.20000000
0.016593237385
Long
DBT
NUSS
LB
N
2
2023-05-26
Fixed
6.40000000
Y
N
N
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT 6.250000% 01/19/2027
P5178RAC2
326000.00000000
PA
USD
352898.26000000
0.022900384902
Long
DBT
NUSS
HN
N
2
2027-01-19
Fixed
6.25000000
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
227250.00000000
0.014746778488
Long
DBT
NUSS
AE
N
2
2050-05-21
Fixed
3.95000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BANQUE CENTRALE DE TUNISIE INTERNATIONAL BOND 144A 5.750000% 01/30/2025
066716AH4
786000.00000000
PA
USD
664487.54000000
0.043120134480
Long
DBT
NUSS
TN
N
2
2025-01-30
Fixed
5.75000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 5.375000% 02/21/2023
445545AH9
694000.00000000
PA
USD
739595.80000000
0.047994083316
Long
DBT
NUSS
HU
N
2
2023-02-21
Fixed
5.37500000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA GOVERNMENT INTERNATIONAL BOND 14 8.250000% 02/28/2048
491798AH7
780000.00000000
PA
USD
842548.20000000
0.054674902843
Long
DBT
NUSS
KE
N
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 1.750000% 04/28/2041
N/A
402000.00000000
PA
464407.02000000
0.030136446435
Long
DBT
NUSS
PH
N
2
2041-04-28
Fixed
1.75000000
N
N
N
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 3.875000% 06/19/2029
N/A
1156000.00000000
PA
USD
1236318.88000000
0.080227593682
Long
DBT
NUSS
CN
N
2
2029-06-19
Fixed
3.87500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.750000% 10/28/2027
N/A
3535000.00000000
PA
USD
3928728.30000000
0.254944272745
Long
DBT
NUSS
OM
N
2
2027-10-28
Fixed
6.75000000
N
N
N
N
N
N
CENCOSUD S.A.
549300NLTGCFV7482429
CENCOSUD SA 144A 4.375000% 07/17/2027
15132HAH4
1819000.00000000
PA
USD
1975888.75000000
0.128219994341
Long
DBT
NUSS
CL
N
2
2027-07-17
Fixed
4.37500000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIAGENL REP 1.50% 03/01/2026
N/A
636931050.00000000
PA
784361.53000000
0.050899035149
Long
DBT
USGA
CL
N
2
2026-03-01
Fixed
0.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS REC: 2.158% FIXED
N/A
89310081.00000000
NC
-92819.81000000
-0.00602329230
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-08-30
0.00000000
CZK
0.00000000
CZK
-89310081.00000000
CZK
-92819.81000000
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 5.000000% 01/15/2030
86964WAG7
494000.00000000
PA
USD
547599.00000000
0.035534966572
Long
DBT
NUSS
BR
N
2
2030-01-15
Fixed
5.00000000
N
N
N
N
N
N
MDGH ? GMTN B.V.
213800L53ZH5KG593W13
MDGH - GMTN BV MTN 4.500000% 11/07/2028
55276VAG7
548000.00000000
PA
USD
638420.00000000
0.041428551474
Long
DBT
NUSS
AE
N
2
2028-11-07
Fixed
4.50000000
N
N
N
N
N
N
WANDA PROPERTIES OVERSEAS LIMITED
549300BJ7FGBP0KHXY31
WANDA PROPERTIES OVERSEAS LTD 6.950000% 12/05/2022
N/A
200000.00000000
PA
USD
195130.83000000
0.012662491204
Long
DBT
NUSS
CN
N
2
2022-12-05
Fixed
6.95000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2026
N/A
1905000.00000000
PA
USD
2065663.89000000
0.134045710967
Long
DBT
NUSS
UA
N
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.125000% 01/31/2022
038461AK5
385000.00000000
PA
USD
387695.00000000
0.025158425901
Long
DBT
NUSS
EG
N
2
2022-01-31
Fixed
6.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.899000% 11/16/2027
N/A
3026000.00000000
PA
751053.78000000
0.048737618158
Long
DBT
NUSS
MY
N
2
2027-11-16
Fixed
3.89900000
N
N
N
N
N
N
BANK RAZVITIYA RESPUBLIKI BELARUS' OAO
253400D4JRB0M70A0687
DEVELOPMENT BANK BELARUS 6.750000% 05/02/2024
N/A
972000.00000000
PA
USD
913096.80000000
0.059252964788
Long
DBT
NUSS
BY
N
2
2024-05-02
Fixed
6.75000000
N
N
N
N
N
N
AI CANDELARIA (SPAIN) S.A.
N/A
AI CANDELARIA SPAIN SLU 144A 7.500000% 12/15/2028
001355AA4
975000.00000000
PA
USD
1057884.75000000
0.068648589987
Long
DBT
NUSS
CO
N
2
2028-12-15
Fixed
7.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2027
N/A
1804000.00000000
PA
USD
1954107.23000000
0.126806541093
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD.
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 144A 7.500000% 04/01/2025
335934AL9
404000.00000000
PA
USD
414435.32000000
0.026893667158
Long
DBT
NUSS
ZM
N
2
2025-04-01
Fixed
7.50000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-17649.97000000
-0.00114534740
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
780843.74000000
USD
7035480.16000000
TRY
2021-12-15
-17649.97000000
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP REC: 1.822 % FIXED
N/A
65749863.00000000
NC
-111357.27000000
-0.00722623099
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2026-07-12
0.00000000
CZK
0.00000000
CZK
-65749863.00000000
CZK
-111357.27000000
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
KINGDOM OF JORDAN 4.950000% 07/07/2025
N/A
1100000.00000000
PA
USD
1146750.00000000
0.074415261745
Long
DBT
NUSS
JO
N
2
2025-07-07
Fixed
4.95000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2036
N/A
70055000000.00000000
PA
5467349.17000000
0.354788942261
Long
DBT
NUSS
ID
N
2
2036-05-15
Fixed
8.25000000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VEN 5.375% 04/12/2027
N/A
4563300.00000000
PA
USD
262389.75000000
0.017027078199
Long
DBT
NUSS
VE
N
2
2027-04-12
Fixed
5.37500000
Y
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-35450.48000000
-0.00230046370
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
747996.25000000
USD
10720251.12000000
ZAR
2021-10-01
-35450.48000000
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
530145.00000000
0.034402336113
Long
DBT
NUSS
MX
N
2
2170-09-27
Fixed
7.50000000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 5.625000% 06/19/2047
P7808BAB3
4678000.00000000
PA
USD
4672900.98000000
0.303235360398
Long
DBT
NUSS
PE
N
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-6119.60000000
-0.00039711500
N/A
DFE
PE
N
2
CITIGROUP GLOBAL MARKETS
N/A
1502935.38000000
USD
6180916.00000000
PEN
2021-12-15
-6119.60000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.000000% 01/27/2045
105756BW9
2338000.00000000
PA
USD
2179530.36000000
0.141434769759
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 2.5% IDX/LKD 07/2030 RUB 2.50% 7/17/2030
N/A
295004000.00000000
PA
4143896.08000000
0.268907008012
Long
DBT
USGA
RU
N
2
2030-07-17
Fixed
2.50000000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2021-12-13
N/A
1.00000000
NC
-6565.61000000
-0.00042605762
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
995543.34000000
USD
73913717.00000000
INR
2021-12-13
-6565.61000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-23854.84000000
-0.00154799578
N/A
DFE
MX
N
2
CITIGROUP GLOBAL MARKETS
N/A
2082802.01000000
USD
42756234.53000000
MXN
2021-12-15
-23854.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2021-10-20
N/A
1.00000000
NC
USD
26192.30000000
0.001699678971
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
61709879.00000000
PHP
1233432.85000000
USD
2021-10-20
26192.30000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.350000% 02/12/2028
71654QCK6
908000.00000000
PA
USD
894834.00000000
0.058067849425
Long
DBT
NUSS
MX
N
2
2028-02-12
Fixed
5.35000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.900000% 11/26/2022
718286BX4
45000000.00000000
PA
886589.81000000
0.057532864854
Long
DBT
NUSS
PH
N
2
2022-11-26
Fixed
3.90000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 6.876000% 05/21/2029
90372UAR5
281000.00000000
PA
USD
284773.83000000
0.018479632960
Long
DBT
NUSS
UA
N
2
2029-05-21
Fixed
6.87600000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 6.000000% 01/15/2029
86964WAC6
288000.00000000
PA
USD
337968.00000000
0.021931525774
Long
DBT
NUSS
BR
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-10-15
N/A
1.00000000
NC
-1797.70000000
-0.00011665691
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
2568659.67000000
USD
36761886593.00000000
IDR
2021-10-15
-1797.70000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 4.875000% 02/21/2028
AM5152690
755000.00000000
PA
883757.32000000
0.057349058022
Long
DBT
NUSS
MX
N
2
2028-02-21
Fixed
4.87500000
N
N
N
N
N
N
ATP TOWER HOLDINGS, LLC
254900CIKL1FQZ45N873
ATP TOWER HOLDINGS LLC / ANDEAN TOWER PARTNERS COL 4.050000% 04/27/2026
00216DAA9
255000.00000000
PA
USD
255637.50000000
0.016588909068
Long
DBT
NUSS
CL
N
2
2026-04-27
Fixed
4.05000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.000000% 12/17/2031
N/A
66700000.00000000
PA
1985148.92000000
0.128820908206
Long
DBT
NUSS
TH
N
2
2031-12-17
Fixed
2.00000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2021-11-15
N/A
1.00000000
NC
-59584.99000000
-0.00386660791
N/A
DFE
PA
N
2
JP MORGAN
N/A
2725235.57000000
USD
10584150.00000000
PLN
2021-11-15
-59584.99000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.875000% 04/13/2042
BQ4352952
297000.00000000
PA
321396.09000000
0.020856136177
Long
DBT
NUSS
RO
N
2
2042-04-13
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2021-10-27
N/A
1.00000000
NC
USD
-1863.88000000
-0.00012095148
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
11530511.00000000
EGP
728396.15000000
USD
2021-10-27
-1863.88000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.020000% 10/22/2025
N/A
43500000.00000000
PA
6814941.57000000
0.442237332209
Long
DBT
NUSS
CN
N
2
2025-10-22
Fixed
3.02000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2021-10-15
N/A
1.00000000
NC
USD
32094.36000000
0.002082677305
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
40328811.00000000
THB
1223987.93000000
USD
2021-10-15
32094.36000000
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
707072.00000000
0.045883538655
Long
DBT
NUSS
RU
N
2
2028-02-06
Fixed
4.95000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 20.750000% 03/06/2023
BG6008471
1920000.00000000
PA
336806.32000000
0.021856141670
Long
DBT
NUSS
GH
N
2
2023-03-06
Fixed
20.75000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 13.000000% 08/29/2026
N/A
1375000.00000000
PA
60560.68000000
0.003929922697
Long
DBT
NUSS
ZM
N
2
2026-08-29
Fixed
13.00000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY BRL - CETIP
N/A
20697000.00000000
NC
-39885.29000000
-0.00258824878
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-20697000.00000000
BRL
-39885.29000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 04/11/2031
N/A
232000.00000000
PA
263627.93000000
0.017107426565
Long
DBT
NUSS
EG
N
2
2031-04-11
Fixed
6.37500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-2615.25000000
-0.00016970962
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
505788.02000000
USD
7248448106.00000000
IDR
2021-12-15
-2615.25000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 5.625000% 09/30/2031
05675M2A1
1146000.00000000
PA
USD
1134540.00000000
0.073622926584
Long
DBT
NUSS
BH
N
2
2031-09-30
Fixed
5.62500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-192644.91000000
-0.01250117410
N/A
DFE
PA
N
2
JP MORGAN
N/A
6266422.31000000
USD
24118989.48000000
PLN
2021-12-15
-192644.91000000
N
N
N
JBS Investments II GmbH
529900V1Q46CPWIWT649
JBS USA FOOD CO 144A 5.750000% 01/15/2028
46650CAB5
466000.00000000
PA
USD
489304.66000000
0.031752111922
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 2.750000% 12/22/2026
N/A
910960000.00000000
PA
2938332.72000000
0.190675211208
Long
DBT
NUSS
HU
N
2
2026-12-22
Fixed
2.75000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.750000% 11/21/2033
715638AP7
490000.00000000
PA
USD
757388.10000000
0.049148666844
Long
DBT
NUSS
PE
N
2
2033-11-21
Fixed
8.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-15334.06000000
-0.00099506264
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
739456.45000000
USD
624809.00000000
EUR
2021-10-04
-15334.06000000
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
266325.00000000
0.017282445680
Long
DBT
NUSS
ID
N
2
2050-02-05
Fixed
4.37500000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 144A 7.125000% 02/11/2025
29646AAB2
2948000.00000000
PA
USD
3065377.57000000
0.198919445580
Long
DBT
NUSS
ZA
N
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
TULLOW OIL PLC 144A 10.250000% 05/15/2026
899415AG8
810000.00000000
PA
USD
845850.60000000
0.054889203223
Long
DBT
NUSS
GH
N
2
2026-05-15
Fixed
10.25000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-12-22
N/A
1.00000000
NC
-21406.69000000
-0.00138912966
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
1184479.61000000
USD
10760405.00000000
TRY
2021-12-22
-21406.69000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-10571.44000000
-0.00068600521
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
975421.65000000
USD
832521.00000000
EUR
2021-10-04
-10571.44000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-55098.80000000
-0.00357548866
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
2300215.58000000
USD
1937199.01000000
EUR
2021-10-04
-55098.80000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
26758053.00000000
NC
10447.52000000
0.000677963754
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-06-23
0.00000000
MXN
0.00000000
MXN
-26758053.00000000
MXN
10447.52000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-14495.50000000
-0.00094064654
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
713161.82000000
USD
6440635.71000000
TRY
2021-12-15
-14495.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-10-07
N/A
1.00000000
NC
USD
-3863.52000000
-0.00025071275
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
7738603234.00000000
IDR
536732.09000000
USD
2021-10-07
-3863.52000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 6.500000% 11/28/2027
65412JAC7
667000.00000000
PA
USD
691185.42000000
0.044852621708
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
Joint Stock Company Development Bank of Kazakhstan
213800LCDPGJ1BI7KX98
DEVELOPMENT BANK OF KAZAKHSTAN JSC 2.950000% 05/06/2031
N/A
530000.00000000
PA
USD
532809.00000000
0.034575209239
Long
DBT
NUSS
KZ
N
2
2031-05-06
Fixed
2.95000000
N
N
N
N
N
N
StoneCo Ltd.
549300O1A9LEF0XZCR35
STONECO LTD 3.950000% 06/16/2028
G85158AA4
1270000.00000000
PA
USD
1228090.00000000
0.079693602613
Long
DBT
NUSS
BR
N
2
2028-06-16
Fixed
3.95000000
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 7.875000% 02/16/2032
N/A
3315000.00000000
PA
USD
3443588.85000000
0.223462450940
Long
DBT
NUSS
NG
N
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-10-15
N/A
1.00000000
NC
-64.84000000
-0.00000420761
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
138114.95000000
USD
1977115499.00000000
IDR
2021-10-15
-64.84000000
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
REPUBLIC OF ZAMBIA 8.970000% 07/30/2027
N/A
1821000.00000000
PA
USD
1404533.66000000
0.091143440103
Long
DBT
NUSS
ZM
N
2
2027-07-30
Fixed
8.97000000
Y
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 144A 5.625000% 06/19/2047
716564AB5
917000.00000000
PA
USD
916000.47000000
0.059441390655
Long
DBT
NUSS
PE
N
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.200000% 08/12/2026
715638AY8
3397000.00000000
PA
924592.16000000
0.059998925305
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 17.000000% 04/03/2031
N/A
8683400000.00000000
PA
2925551.14000000
0.189845784898
Long
DBT
NUSS
UG
N
2
2031-04-03
Fixed
17.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.50000% 10/18/2034
P6S32JS68
18842900000.00000000
PA
4686590.12000000
0.304123680377
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.500000% 09/17/2031
QJ4075223
176982000.00000000
PA
2656274.05000000
0.172371771265
Long
DBT
NUSS
RU
N
2
2031-09-17
Fixed
8.50000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.125000% 01/18/2026
374422AC7
420000.00000000
PA
USD
424200.00000000
0.027527319845
Long
DBT
NUSS
GH
N
2
2026-01-18
Fixed
8.12500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 12/17/2028
N/A
62796000.00000000
PA
2024941.16000000
0.131403118762
Long
DBT
NUSS
TH
N
2
2028-12-17
Fixed
2.87500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.495% FIXED
N/A
1600000000.00000000
NC
48660.89000000
0.003157717781
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2031-02-19
0.00000000
KRW
0.00000000
KRW
-1600000000.00000000
KRW
48660.89000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 5.000000% 01/13/2037
718286BW6
519000.00000000
PA
USD
639705.16000000
0.041511948481
Long
DBT
NUSS
PH
N
2
2037-01-13
Fixed
5.00000000
N
N
N
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 3.500000% 04/21/2030
Y68856AT3
819000.00000000
PA
USD
886190.39000000
0.057506945566
Long
DBT
NUSS
MY
N
2
2030-04-21
Fixed
3.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.23% FIXED
N/A
41889945.00000000
NC
269683.87000000
0.017500410529
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-41889945.00000000
BRL
269683.87000000
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND MTN 8.875000% 04/08/2051
N/A
396000.00000000
PA
USD
397980.00000000
0.025825843356
Long
DBT
NUSS
PK
N
2
2051-04-08
Fixed
8.87500000
N
N
N
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT 4.375000% 04/30/2025
P3699PGE1
393000.00000000
PA
USD
398898.93000000
0.025885474851
Long
DBT
NUSS
CR
N
2
2025-04-30
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2021-12-22
N/A
1.00000000
NC
USD
5617.51000000
0.000364533226
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
10825735.00000000
TRY
1175751.83000000
USD
2021-12-22
5617.51000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
-520.19000000
-0.00003375633
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
4311489.22000000
EUR
21655886.00000000
RON
2022-04-06
-520.19000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.9225%
N/A
42601696.00000000
NC
51727.03000000
0.003356686703
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-08-31
0.00000000
MXN
0.00000000
MXN
-42601696.00000000
MXN
51727.03000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
26000000.00000000
NC
-36339.88000000
-0.00235817892
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-09-16
0.00000000
MXN
0.00000000
MXN
-26000000.00000000
MXN
-36339.88000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 9.000000% 05/04/2022
N/A
3294000.00000000
PA
353898.53000000
0.022965294738
Long
DBT
NUSS
TR
N
2
2022-05-04
Fixed
9.00000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-2873.91000000
-0.00018649467
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
508065.85000000
USD
7277535226.00000000
IDR
2021-12-15
-2873.91000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 8.250000% 04/10/2032
283875AH5
404000.00000000
PA
USD
301060.80000000
0.019536532141
Long
DBT
NUSS
SV
Y
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2021-10-25
N/A
1.00000000
NC
USD
16593.71000000
0.001076804249
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
40645700.00000000
THB
1217823.15000000
USD
2021-10-25
16593.71000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-30885.47000000
-0.00200422963
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
1167346.95000000
USD
17098063.00000000
ZAR
2021-10-01
-30885.47000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 01/25/2051
68205LAT0
448000.00000000
PA
USD
454396.54000000
0.029486843218
Long
DBT
NUSS
OM
N
2
2051-01-25
Fixed
7.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
18818980.00000000
NC
-325191.57000000
-0.02110243365
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-18818980.00000000
BRL
-325191.57000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.900000% 05/23/2029
N/A
403763000.00000000
PA
5466624.28000000
0.354741902472
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 12.600000% 10/01/2025
N/A
34229000.00000000
PA
3282562.74000000
0.213013093954
Long
DBT
NUSS
TR
N
2
2025-10-01
Fixed
12.60000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:4.21%
N/A
266911013.00000000
NC
-10788.83000000
-0.00070011215
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-07-08
0.00000000
COP
0.00000000
COP
-266911013.00000000
COP
-10788.83000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.750000% 01/31/2044
N/A
126009377.00000000
PA
6906854.95000000
0.448201804178
Long
DBT
NUSS
ZA
N
2
2044-01-31
Fixed
8.75000000
N
N
N
N
N
N
UZAUTO MOTORS Joint Stock Company
25490082QA3E2MKBZI88
UZAUTO MOTORS AJ 144A 4.850000% 05/04/2026
46653NAA0
727000.00000000
PA
USD
719599.14000000
0.046696453764
Long
DBT
NUSS
UZ
N
2
2026-05-04
Fixed
4.85000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-116860.79000000
-0.00758336714
N/A
DFE
CL
N
2
STANDARD BANK
N/A
2222087.86000000
USD
1720451528.00000000
CLP
2021-12-15
-116860.79000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.250000% 02/14/2025
N/A
48060000.00000000
PA
2139350.44000000
0.138827401750
Long
DBT
NUSS
CZ
N
2
2025-02-14
Fixed
1.25000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.500000% 04/15/2026
N/A
60500000000.00000000
PA
4273149.34000000
0.277294551221
Long
DBT
NUSS
ID
N
2
2026-04-15
Fixed
5.50000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 4.000000% 04/28/2051
N/A
124570000.00000000
PA
424030.17000000
0.027516299183
Long
DBT
NUSS
HU
N
2
2051-04-28
Fixed
4.00000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 6.750000% 08/06/2023
N/A
846000.00000000
PA
USD
872176.93000000
0.056597579711
Long
DBT
NUSS
ZA
N
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
N
Huarong Finance II Co., Ltd.
549300BHVD63HE2GHX17
HUARONG FINANCE II CO LTD MTN 5.500000% 01/16/2025
N/A
640000.00000000
PA
USD
632000.00000000
0.041011942814
Long
DBT
NUSS
CN
N
2
2025-01-16
Fixed
5.50000000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 7.000000% 03/16/2047
86964WAB8
399000.00000000
PA
USD
523192.74000000
0.033951187870
Long
DBT
NUSS
BR
N
2
2047-03-16
Fixed
7.00000000
N
N
N
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 1.500000% 06/17/2031
N/A
650000.00000000
PA
787316.22000000
0.051090771822
Long
DBT
NUSS
HR
N
2
2031-06-17
Fixed
1.50000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.750000% 04/07/2029
N/A
870000.00000000
PA
USD
828414.00000000
0.053757701891
Long
DBT
NUSS
GH
N
2
2029-04-07
Fixed
7.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-06
N/A
1.00000000
NC
-84352.39000000
-0.00547382182
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
2466862.64000000
USD
2055687.00000000
EUR
2021-10-06
-84352.39000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 9.248000% 01/21/2049
N/A
322000.00000000
PA
USD
349772.50000000
0.022697547101
Long
DBT
NUSS
NG
N
2
2049-01-21
Fixed
9.24800000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.250000% 09/21/2071
168863DU9
1615000.00000000
PA
USD
1458926.40000000
0.094673110898
Long
DBT
NUSS
CL
N
2
2071-09-21
Fixed
3.25000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 2.375000% 08/20/2030
G10367AE3
221000.00000000
PA
USD
218790.00000000
0.014197789507
Long
DBT
NUSS
BM
N
2
2030-08-20
Fixed
2.37500000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS BIDCO LIMITED
549300L82YB0C6JQIC26
GALAXY PIPELINE ASSETS BIDCO LTD 144A 2.940000% 09/30/2040
36321PAE0
593000.00000000
PA
USD
591763.52000000
0.038400904497
Long
DBT
NUSS
AE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-11-15
N/A
1.00000000
NC
-21466.58000000
-0.00139301606
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
870558.74000000
USD
12846400.00000000
ZAR
2021-11-15
-21466.58000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 4.750000% 06/15/2026
N/A
900000.00000000
PA
USD
922500.00000000
0.059863160200
Long
DBT
NUSS
OM
N
2
2026-06-15
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-10-26
N/A
1.00000000
NC
USD
4590.90000000
0.000297914127
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
105174103554.00000000
IDR
7343534.67000000
USD
2021-10-26
4590.90000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.950000% 10/07/2026
N/A
267449000.00000000
PA
3797816.29000000
0.246449089410
Long
DBT
NUSS
RU
N
2
2026-10-07
Fixed
7.95000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
30757000.00000000
PA
7689669.20000000
0.499000432747
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
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
837481.11000000
0.054346087645
Long
DBT
NUSS
MN
N
2
2023-10-23
Fixed
7.25000000
N
N
N
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
JORDAN GOVERNMENT INTERNATIONAL BOND 144A 5.850000% 07/07/2030
418097AL5
1227000.00000000
PA
USD
1270595.31000000
0.082451870561
Long
DBT
NUSS
JO
N
2
2030-07-07
Fixed
5.85000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-5716.68000000
-0.00037096859
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
547640.54000000
USD
467599.00000000
EUR
2021-10-04
-5716.68000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND MTN 5.250000% 01/25/2033
05675M2G8
1640000.00000000
PA
USD
1557114.40000000
0.101044757482
Long
DBT
NUSS
BH
N
2
2033-01-25
Fixed
5.25000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
33019000.00000000
PA
7814373.87000000
0.507092807422
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.125000% 07/09/2035
040114HT0
1959000.00000000
PA
USD
640710.54000000
0.041577189916
Long
DBT
NUSS
AR
N
2
2035-07-09
Fixed
1.12500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.650000% 02/26/2030
N/A
1925000.00000000
PA
USD
317409.40000000
0.020597430635
Long
DBT
NUSS
LB
N
2
2030-02-26
Fixed
6.65000000
Y
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2021-12-08
N/A
1.00000000
NC
200.99000000
0.000013042706
N/A
DFE
CN
N
2
MORGAN STANLEY & CO, INC
N/A
131736.69000000
USD
856000.00000000
CNY
2021-12-08
200.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-12-02
N/A
1.00000000
NC
USD
161049.59000000
0.010450880657
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
25807878.96000000
BRL
4851013.88000000
USD
2021-12-02
161049.59000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 05/15/2038
N/A
58662000000.00000000
PA
4266699.88000000
0.276876030834
Long
DBT
NUSS
ID
N
2
2038-05-15
Fixed
7.50000000
N
N
N
N
N
N
JANUB GAZ DAHLIZI GAPALI SAHMDAR JAMIYYATI
213800DG58KG59XY6318
SOUTHERN GAS CORRIDOR CJSC 6.875000% 03/24/2026
N/A
4125000.00000000
PA
USD
4853310.00000000
0.314942519277
Long
DBT
NUSS
AZ
N
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
Empresas Publicas de Medellin E.S.P.
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP 7.625000% 09/10/2024
29246BAC2
3116000000.00000000
PA
825472.63000000
0.053566829583
Long
DBT
CORP
CO
N
2
2024-09-10
Fixed
7.62500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 3.875000% 06/12/2030
105756CC2
1053000.00000000
PA
USD
1020830.85000000
0.066244076651
Long
DBT
NUSS
BR
N
2
2030-06-12
Fixed
3.87500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.000000% 09/19/2044
N/A
297000.00000000
PA
USD
272883.60000000
0.017708048415
Long
DBT
NUSS
BH
N
2
2044-09-19
Fixed
6.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.150000% 02/03/2027
EJ0370613
821910000.00000000
PA
11790108.28000000
0.765087415445
Long
DBT
NUSS
RU
N
2
2027-02-03
Fixed
8.15000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 8.875000% 05/29/2050
03846JX62
1737000.00000000
PA
USD
1718177.87000000
0.111496538845
Long
DBT
NUSS
EG
N
2
2050-05-29
Fixed
8.87500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 1.650000% 03/03/2033
N/A
270000.00000000
PA
297082.92000000
0.019278398301
Long
DBT
NUSS
RS
N
2
2033-03-03
Fixed
1.65000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 1.000000% 07/31/2035
N/A
5391299.00000000
PA
USD
3551572.13000000
0.230469735915
Long
DBT
NUSS
EC
N
2
2035-07-31
Fixed
1.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.880000% 11/05/2023
N/A
25000000.00000000
PA
3893083.30000000
0.252631186192
Long
DBT
NUSS
CN
N
2
2023-11-05
Fixed
2.88000000
N
N
N
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT 7.158% 03/12/2045
N/A
500000.00000000
PA
USD
499375.00000000
0.032405599593
Long
DBT
NUSS
CR
N
2
2045-03-12
Fixed
7.15800000
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
1904700.00000000
PA
USD
2039000.40000000
0.132315455386
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
4102283.00000000
NC
-82486.52000000
-0.00535274120
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-4102283.00000000
BRL
-82486.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
55197.20000000
0.003581874066
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
17532878.00000000
ZAR
1220559.65000000
USD
2021-10-01
55197.20000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.150000% 11/20/2059
N/A
277000.00000000
PA
USD
255197.33000000
0.016560345418
Long
DBT
NUSS
EG
N
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.500000% 09/20/2033
900123DD9
3685000.00000000
PA
USD
3534224.54000000
0.229344010648
Long
DBT
NUSS
TR
N
2
2033-09-20
Fixed
6.50000000
N
N
N
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 4.750000% 05/15/2025
74445PAE2
240000.00000000
PA
USD
261012.00000000
0.016937672813
Long
DBT
NUSS
ID
N
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-240.16000000
-0.00001558453
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
72364.43000000
USD
1032278582.00000000
IDR
2021-10-04
-240.16000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 1.500000% 04/22/2026
N/A
188890000.00000000
PA
579789.96000000
0.037623912475
Long
DBT
NUSS
HU
N
2
2026-04-22
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2021-10-29
N/A
1.00000000
NC
USD
-4731.61000000
-0.00030704512
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
19699838.00000000
CNY
3041741.37000000
USD
2021-10-29
-4731.61000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 8.250000% 05/17/2034
N/A
7412000.00000000
PA
USD
1198891.00000000
0.077798811919
Long
DBT
NUSS
LB
N
2
2034-05-17
Fixed
8.25000000
Y
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.625000% 05/16/2029
N/A
995000.00000000
PA
USD
945090.80000000
0.061329129500
Long
DBT
NUSS
GH
N
2
2029-05-16
Fixed
7.62500000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 7.375000% 09/28/2033
65412JAS2
271000.00000000
PA
USD
273168.00000000
0.017726503789
Long
DBT
NUSS
NG
N
2
2033-09-28
Fixed
7.37500000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2021-10-08
N/A
1.00000000
NC
29794.03000000
0.001933403567
N/A
DFE
CN
N
2
MORGAN STANLEY & CO, INC
N/A
4670939.23000000
USD
30380069.00000000
CNY
2021-10-08
29794.03000000
N
N
N
SHIMAO GROUP HOLDINGS LIMITED
254900WTJ6B5CU69ZD26
SHIMAO GROUP HOLDINGS LTD 5.600000% 07/15/2026
N/A
200000.00000000
PA
USD
197526.27000000
0.012817936850
Long
DBT
NUSS
CN
N
2
2026-07-15
Fixed
5.60000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-96990.64000000
-0.00629394712
N/A
DFE
SG
N
2
GOLDMAN, SACHS & CO.
N/A
7953423.12000000
USD
10665182.50000000
SGD
2021-12-15
-96990.64000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.875000% 02/28/2035
N/A
183640769.00000000
PA
10844686.57000000
0.703736812429
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-11-15
N/A
1.00000000
NC
-6653.89000000
-0.00043178632
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
2037591.34000000
USD
29157932124.00000000
IDR
2021-11-15
-6653.89000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 4.500000% 03/01/2026
N/A
625000000.00000000
PA
753893.75000000
0.048921910385
Long
DBT
NUSS
CL
N
2
2026-03-01
Fixed
4.50000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-111363.43000000
-0.00722663073
N/A
DFE
TH
N
2
DEUTSCHE BANK SECURITIES, INC.
N/A
3403442.79000000
USD
111416805.00000000
THB
2021-12-15
-111363.43000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.500000% 07/09/2030
040114HS2
19036076.00000000
PA
USD
6980909.79000000
0.453007394151
Long
DBT
NUSS
AR
N
2
2030-07-09
Fixed
0.50000000
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 9.375000% 04/01/2029
698299AK0
804000.00000000
PA
USD
1168549.68000000
0.075829893437
Long
DBT
NUSS
PA
N
2
2029-04-01
Fixed
9.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
-31768.94000000
-0.00206156004
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
37215478.00000000
ZAR
2441842.09000000
USD
2021-10-01
-31768.94000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2021-11-16
N/A
1.00000000
NC
-952.63000000
-0.00006181836
N/A
DFE
MX
N
2
CITIGROUP GLOBAL MARKETS
N/A
195979.85000000
USD
4033000.00000000
MXN
2021-11-16
-952.63000000
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2021-12-15
N/A
1.00000000
NC
1432.29000000
0.000092944613
N/A
DFE
RU
N
2
BARCLAYS CAPITAL INC.
N/A
587716.55000000
USD
43467692.00000000
RUB
2021-12-15
1432.29000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 9.500000% 09/15/2027
U70577AS7
280000.00000000
PA
USD
322896.00000000
0.020953468808
Long
DBT
NUSS
MX
N
2
2027-09-15
Fixed
9.50000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 6.125000% 06/01/2050
P5015VAJ5
168000.00000000
PA
USD
193201.68000000
0.012537304196
Long
DBT
NUSS
GT
N
2
2050-06-01
Fixed
6.12500000
N
N
N
N
N
N
DIGICEL HOLDINGS (BERMUDA) LIMITED
N/A
DIGICEL INTERNATIONAL FINANCE LTD/DIGICEL INTERNAT 8.750000% 05/25/2024
25381VAA5
530000.00000000
PA
USD
548550.00000000
0.035596679163
Long
DBT
NUSS
JM
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
Republic of Trinidad and Tobago
HYBZ5SXKW67ICKUUWH81
TRINIDAD & TOBAGO 4.500000% 08/04/2026
P93960AG0
482000.00000000
PA
USD
507309.82000000
0.032920508429
Long
DBT
NUSS
TT
N
2
2026-08-04
Fixed
4.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
52614870.00000000
NC
-23874.64000000
-0.00154928064
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-04-13
0.00000000
MXN
0.00000000
MXN
-52614870.00000000
MXN
-23874.64000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2027
903724AU6
223000.00000000
PA
USD
241555.38000000
0.015675087707
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 4.550000% 04/21/2050
Y68856AV8
1401000.00000000
PA
USD
1713634.62000000
0.111201716837
Long
DBT
NUSS
MY
N
2
2050-04-21
Fixed
4.55000000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 05/16/2024
P7807HAT2
10191733.00000000
PA
USD
586024.65000000
0.038028495939
Long
DBT
NUSS
VE
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
INKIA ENERGY LIMITED
N/A
INKIA ENERGY LTD 144A 5.875000% 11/09/2027
45721RAC7
359000.00000000
PA
USD
373683.10000000
0.024249161278
Long
DBT
NUSS
PE
N
2
2027-11-09
Fixed
5.87500000
N
N
N
N
N
N
CSN Inova Ventures.
222100R8R68DM7VM3661
CSN INOVA VENTURES 144A 6.750000% 01/28/2028
12642KAB0
592000.00000000
PA
USD
631308.80000000
0.040967089247
Long
DBT
NUSS
BR
N
2
2028-01-28
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2021-12-15
N/A
1.00000000
NC
USD
34367.14000000
0.002230163260
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
22940288.00000000
MXN
1139067.81000000
USD
2021-12-15
34367.14000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.250000% 10/22/2030
80413TAT6
1286000.00000000
PA
USD
1376436.66000000
0.089320160741
Long
DBT
NUSS
SA
N
2
2030-10-22
Fixed
3.25000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.825000% 07/18/2026
Y8137FAF5
500000.00000000
PA
USD
311875.00000000
0.020238290609
Long
DBT
NUSS
LK
N
2
2026-07-18
Fixed
6.82500000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 2.250000% 02/02/2033
80413TAV1
1199000.00000000
PA
USD
1165739.74000000
0.075647549927
Long
DBT
NUSS
SA
N
2
2033-02-02
Fixed
2.25000000
N
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 10/13/2019
P97475AN0
3976100.00000000
PA
USD
407550.25000000
0.026446879030
Long
DBT
NUSS
VE
N
2
2019-10-13
Floating
0.00000000
Y
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.350000% 02/12/2048
71654QCJ9
430000.00000000
PA
USD
363334.95000000
0.023577645873
Long
DBT
NUSS
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2021-10-06
N/A
1.00000000
NC
7681.57000000
0.000498474856
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
1141328.53000000
EUR
5682483.00000000
RON
2021-10-06
7681.57000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-11318.45000000
-0.00073448041
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
495910.21000000
USD
418130.00000000
EUR
2021-10-04
-11318.45000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.600000% 02/10/2048
91087BAD2
394000.00000000
PA
USD
405745.14000000
0.026329741264
Long
DBT
NUSS
MX
N
2
2048-02-10
Fixed
4.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-12-15
N/A
1.00000000
NC
USD
246150.18000000
0.015973254914
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
63682260.00000000
ZAR
4437262.48000000
USD
2021-12-15
246150.18000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.375000% 10/27/2027
760942BB7
1819000.00000000
PA
USD
2085501.69000000
0.135333031725
Long
DBT
NUSS
UY
N
2
2027-10-27
Fixed
4.37500000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 11/15/2026
P7807HAR6
13215353.00000000
PA
USD
759882.80000000
0.049310553702
Long
DBT
NUSS
VE
N
2
2026-11-15
Fixed
6.00000000
Y
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.700000% 03/23/2033
N/A
151607000.00000000
PA
2150659.39000000
0.139561265691
Long
DBT
NUSS
RU
N
2
2033-03-23
Fixed
7.70000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.2% 08/12/2026
715638AY8
15000.00000000
PA
4082.69000000
0.000264935203
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.750000% 05/11/2047
900123CM0
69000.00000000
PA
USD
57159.60000000
0.003709218744
Long
DBT
NUSS
TR
N
2
2047-05-11
Fixed
5.75000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
29694400000.00000000
PA
8068269.32000000
0.523568670834
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
UKRANIAN HRYVNIA
N/A
FX Forward Contract: UAH/USD SETTLE 2021-12-09
N/A
1.00000000
NC
58539.00000000
0.003798731203
N/A
DFE
UA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1371605.96000000
USD
38651856.00000000
UAH
2021-12-09
58539.00000000
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.750000% 02/23/2027
200447AF7
258000.00000000
PA
USD
288960.00000000
0.018751283221
Long
DBT
NUSS
MX
N
2
2027-02-23
Fixed
4.75000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2021-11-22
N/A
1.00000000
NC
-112862.51000000
-0.00732390950
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
3410117.22000000
USD
18110791.53000000
BRL
2021-11-22
-112862.51000000
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 3.650000% 07/30/2029
69370PAD3
1035000.00000000
PA
USD
1106544.40000000
0.071806227302
Long
DBT
NUSS
ID
N
2
2029-07-30
Fixed
3.65000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-53957.22000000
-0.00350140889
N/A
DFE
CL
N
2
STANDARD BANK
N/A
1993598.63000000
USD
1585130206.00000000
CLP
2021-12-15
-53957.22000000
N
N
N
State Institution National Bank of the Republic of Kazakhstan
N/A
KAZAKHSTAN NATIONAL BANK ZERO COUPON 10/15/2021
BQ5516365
415220600.00000000
PA
971729.31000000
0.063057764071
Long
DBT
NUSS
KZ
N
2
2021-10-15
Fixed
0.00000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2021-10-14
N/A
1.00000000
NC
12663.04000000
0.000821733975
N/A
DFE
MY
N
2
STANDARD BANK
N/A
1027424.14000000
USD
4354429.00000000
MYR
2021-10-14
12663.04000000
N
N
N
1MDB Global Investments Limited
N/A
1MDB GLOBAL INVESTMENTS LTD 4.400000% 03/09/2023
N/A
4000000.00000000
PA
USD
4015886.80000000
0.260600189545
Long
DBT
NUSS
MY
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
3589.90000000
0.000232956920
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
7952663.63000000
ZAR
532181.70000000
USD
2021-10-01
3589.90000000
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 17.000000% 01/16/2025
N/A
440400000.00000000
PA
145244.52000000
0.009425253082
Long
DBT
NUSS
UG
N
2
2025-01-16
Fixed
17.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
12388713.00000000
NC
-319834.25000000
-0.02075478476
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-12388713.00000000
BRL
-319834.25000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 12/07/2023
N/A
30252000.00000000
PA
1523680.64000000
0.098875163411
Long
DBT
NUSS
MX
N
2
2023-12-07
Fixed
8.00000000
N
N
N
N
N
N
0000902
N/A
FX Forward Contract: VND/USD SETTLE 2021-11-19
N/A
1.00000000
NC
8397.23000000
0.000544915690
N/A
DFE
VN
N
2
J P MORGAN CHASE BANK
N/A
1335158.70000000
USD
30595161569.00000000
VND
2021-11-19
8397.23000000
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
834786.16000000
0.054171206102
Long
DBT
NUSS
LK
N
2
2025-11-03
Fixed
6.85000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT INTERNATIONAL BOND 144A 5.375000% 09/20/2022
988895AA6
299000.00000000
PA
USD
223998.84000000
0.014535803190
Long
DBT
NUSS
ZM
N
2
2022-09-20
Fixed
5.37500000
Y
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 1.862000% 12/01/2032
715638DP4
1585000.00000000
PA
USD
1439576.25000000
0.093417434877
Long
DBT
NUSS
PE
N
2
2032-12-01
Fixed
1.86200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-11-15
N/A
1.00000000
NC
USD
-20709.33000000
-0.00134387635
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
22287249560.00000000
IDR
1531664.46000000
USD
2021-11-15
-20709.33000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 01/17/2048
682051AJ6
1089000.00000000
PA
USD
1076803.20000000
0.069876251995
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.400000% 06/05/2049
P3579ECE5
1026000.00000000
PA
USD
1086031.26000000
0.070475082168
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
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
381949.43000000
0.024785582565
Long
DBT
NUSS
AE
N
2
2026-04-03
Fixed
3.85400000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 10.000000% 09/07/2023
BR1345247
2225200000.00000000
PA
626056.73000000
0.040626270268
Long
DBT
NUSS
UG
N
2
2023-09-07
Fixed
10.00000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 7.375000% 09/28/2033
N/A
616000.00000000
PA
USD
620928.00000000
0.040293455107
Long
DBT
NUSS
NG
N
2
2033-09-28
Fixed
7.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.37
N/A
1800000000.00000000
NC
27584.25000000
0.001790005828
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-06-21
0.00000000
COP
0.00000000
COP
-1800000000.00000000
COP
27584.25000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 15.900000% 07/02/2024
N/A
20628000.00000000
PA
1350096.60000000
0.087610893281
Long
DBT
NUSS
EG
N
2
2024-07-02
Fixed
15.90000000
N
N
N
N
N
N
Independent State of Papua New Guinea
254900NKI6OC90ZW9W36
PNG GOVT INTL BOND 8.375000% 10/04/2028
Y6726SAP6
282000.00000000
PA
USD
283551.00000000
0.018400280691
Long
DBT
NUSS
PG
N
2
2028-10-04
Fixed
8.37500000
N
N
N
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
251724.70000000
0.016334998420
Long
DBT
NUSS
CL
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 7.650000% 06/15/2035
283875AN2
149000.00000000
PA
USD
107280.00000000
0.006961647508
Long
DBT
NUSS
SV
Y
2
2035-06-15
Fixed
7.65000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.810000% 09/14/2050
N/A
9340000.00000000
PA
1533695.74000000
0.099525066431
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
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
330579.10000000
0.021452042950
Long
DBT
NUSS
ID
N
2
2048-11-15
Fixed
6.75700000
N
N
N
N
N
N
Empresa Nacional del Petroleo
549300YP3P0JZBLIV197
EMPRESA NACIONAL DEL PETROLEO 144A 3.450000% 09/16/2031
29245JAM4
331000.00000000
PA
USD
325042.00000000
0.021092727715
Long
DBT
NUSS
CL
N
2
2031-09-16
Fixed
3.45000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 03/26/2027
37443GAA9
653000.00000000
PA
USD
637295.35000000
0.041355570332
Long
DBT
NUSS
GH
N
2
2027-03-26
Fixed
7.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2021-12-22
N/A
1.00000000
NC
USD
474.33000000
0.000030780371
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
10671879.00000000
TRY
1153978.63000000
USD
2021-12-22
474.33000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 3.750000% 03/01/2030
JK2053607
200000.00000000
PA
274671.15000000
0.017824046672
Long
DBT
NUSS
PE
N
2
2030-03-01
Fixed
3.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 0.950000% 06/17/2025
N/A
67000000.00000000
PA
1990235.72000000
0.129151002431
Long
DBT
NUSS
TH
N
2
2025-06-17
Fixed
0.95000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.350000% 02/12/2048
71654QCL4
981000.00000000
PA
USD
828910.67000000
0.053789931956
Long
DBT
NUSS
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE DEC21 FINANCIAL COMMODITY FUTURE.
N/A
-38.00000000
NC
-5942330.64000000
-0.38561158923
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-BOBL Future Dec 2021
2021-12-11
-6109881.59000000
EUR
167550.95000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA 3.000000% 02/14/2031
N/A
1210000.00000000
PA
USD
1233488.52000000
0.080043925071
Long
DBT
NUSS
RO
N
2
2031-02-14
Fixed
3.00000000
N
N
N
N
N
GEOPARK LIMITED
529900ZR5QI19AH4KZ07
GEOPARK LTD 144A 5.500000% 01/17/2027
37255BAB5
974000.00000000
PA
USD
959643.24000000
0.062273471015
Long
DBT
NUSS
CO
N
2
2027-01-17
Fixed
5.50000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 7.696000% 02/23/2038
65412JAH6
601000.00000000
PA
USD
594238.75000000
0.038561527901
Long
DBT
NUSS
NG
N
2
2038-02-23
Fixed
7.69600000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
92472000.00000000
PA
3033845.89000000
0.196873281883
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
3.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: ZMW/USD SETTLE 2022-02-16
N/A
1.00000000
NC
2799.15000000
0.000181643322
N/A
DFE
ZM
N
2
STANDARD BANK
N/A
174295.35000000
USD
3179147.14000000
ZMW
2022-02-16
2799.15000000
N
N
N
INTER AMERICAN DEVELOPMENT BANK
VKU1UKDS9E7LYLMACP54
INTER-AMERICAN DEVELOPMENT BANK MTN 7.875000% 03/14/2023
N/A
44650000000.00000000
PA
3264090.48000000
0.211814386247
Long
DBT
NUSS
XX
N
2
2023-03-14
Fixed
7.87500000
N
N
N
N
N
N
MILLICOM INTERNATIONAL CELLULAR S.A.
549300CTHC1CP86P2G96
MILLICOM INTERNATIONAL CELLULAR SA 144A 6.250000% 03/25/2029
600814AQ0
402753.00000000
PA
USD
441014.54000000
0.028618454264
Long
DBT
NUSS
CO
N
2
2029-03-25
Fixed
6.25000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.750000% 03/16/2025
698299BE3
1109000.00000000
PA
USD
1190178.80000000
0.077233457096
Long
DBT
NUSS
PA
N
2
2025-03-16
Fixed
3.75000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-15605.95000000
-0.00101270621
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
712645.87000000
USD
6425642.76000000
TRY
2021-12-15
-15605.95000000
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
709612.50000000
0.046048397580
Long
DBT
NUSS
PA
N
2
2049-05-02
Fixed
5.12500000
N
N
N
N
N
N
N/A
N/A
R2040 BOND FUTURE NOV21 FINANCIAL COMMODITY FUTURE.
N/A
229.00000000
NC
1332793.70000000
0.086488068051
N/A
DIR
ZA
N
1
BARCLAYS CAPITAL INC - NY
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2040 Bond Future Nov 2021
2021-11-07
1336120.30000000
ZAR
-3326.60000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2021-10-08
N/A
1.00000000
NC
USD
-22591.19000000
-0.00146599460
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
19976659.00000000
CNY
3068413.82000000
USD
2021-10-08
-22591.19000000
N
N
N
MALAYSIA WAKALA SUKUK BERHAD
254900MRLMI21YQTK511
MALAYSIA WAKALA SUKUK BHD 2.070000% 04/28/2031
Y57542AA3
1230000.00000000
PA
USD
1218895.35000000
0.079096940493
Long
DBT
NUSS
MY
N
2
2031-04-28
Fixed
2.07000000
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
97440.00000000
0.006323107132
Long
DBT
CORP
VE
N
2
2037-04-12
Fixed
5.50000000
Y
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
6143793.00000000
NC
-20501.50000000
-0.00133038978
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-07-25
0.00000000
MXN
0.00000000
MXN
-6143793.00000000
MXN
-20501.50000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-59736.41000000
-0.00387643390
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
3527214.81000000
USD
52168212.50000000
ZAR
2021-10-01
-59736.41000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.800000% 08/17/2023
N/A
31953000.00000000
PA
7885973.84000000
0.511739095200
Long
DBT
NUSS
MY
N
2
2023-08-17
Fixed
3.80000000
N
N
N
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN INTERNATIONAL BOND MTN 3.700000% 11/25/2030
91822Q2C0
205000.00000000
PA
USD
198337.50000000
0.012870579443
Long
DBT
NUSS
UZ
N
2
2030-11-25
Fixed
3.70000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-4113.79000000
-0.00026695335
N/A
DFE
MY
N
2
STANDARD BANK
N/A
2236669.62000000
USD
9346595.00000000
MYR
2021-10-04
-4113.79000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIAGENL REP 1.90% 09/01/2030
N/A
1901187848.59000000
PA
2306612.30000000
0.149681410987
Long
DBT
NUSS
CL
N
2
2030-09-01
Fixed
0.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVT INTL BOND 0.550000% 10/21/2025
Y15025AB8
1150000.00000000
PA
USD
1127540.50000000
0.073168712828
Long
DBT
NUSS
CN
N
2
2025-10-21
Fixed
0.55000000
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
538660.57000000
0.034954931160
Long
DBT
NUSS
IN
N
2
2030-02-12
Fixed
3.94900000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT
529900LIZJABE4JJS826
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT 144A 5.000000% 07/27/2027
06675QAB9
865000.00000000
PA
USD
968756.75000000
0.062864867773
Long
DBT
NUSS
XX
N
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
Banco Nacional de Comercio Exterior, S.N.C.
4469000001BL6VG3DH44
BANCO NACIONAL DE COMERCIO EXTERIOR SNC/CAYMAN ISL 2.720000% 08/11/2031
05973JAA8
1833000.00000000
PA
USD
1839873.75000000
0.119393666173
Long
DBT
NUSS
MX
N
2
2031-08-11
Fixed
2.72000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.483000% 04/06/2026
N/A
31272000.00000000
PA
1985763.88000000
0.128860814383
Long
DBT
NUSS
EG
N
2
2026-04-06
Fixed
14.48300000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 2.632000% 04/15/2031
N/A
13166000.00000000
PA
2949511.07000000
0.191400600213
Long
DBT
NUSS
MY
N
2
2031-04-15
Fixed
2.63200000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.100000% 10/04/2022
N/A
2290000.00000000
PA
USD
378124.80000000
0.024537393472
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
Y
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 6.750000% 06/20/2026
N/A
1299000.00000000
PA
1633441.50000000
0.105997799667
Long
DBT
NUSS
UA
N
2
2026-06-20
Fixed
6.75000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 7.000000% 03/20/2028
N/A
2048000.00000000
PA
USD
328007.68000000
0.021285177555
Long
DBT
NUSS
LB
N
2
2028-03-20
Fixed
7.00000000
Y
N
N
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
STATE OF ISRAEL 2.500000% 01/15/2030
46513JXM8
203000.00000000
PA
USD
211954.33000000
0.013754207059
Long
DBT
NUSS
IL
N
2
2030-01-15
Fixed
2.50000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2021-12-01
N/A
1.00000000
NC
4022.11000000
0.000261004027
N/A
DFE
MY
N
2
STANDARD BANK
N/A
2227925.96000000
USD
9346595.00000000
MYR
2021-12-01
4022.11000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 02/16/2032
65412JAA1
723000.00000000
PA
USD
751045.17000000
0.048737059435
Long
DBT
NUSS
NG
N
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 08/01/2029
68205LAB9
1051000.00000000
PA
USD
1104775.47000000
0.071691437340
Long
DBT
NUSS
OM
N
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
Republique du Benin
635400Q11P6AE5A5Y230
BENIN INTL GOV BOND 4.950000% 01/22/2035
N/A
389000.00000000
PA
438981.89000000
0.028486550901
Long
DBT
NUSS
BJ
N
2
2035-01-22
Fixed
4.95000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
11518838.00000000
NC
-103206.30000000
-0.00669729568
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-11518838.00000000
BRL
-103206.30000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.406000% 07/07/2027
N/A
17842000.00000000
PA
1128229.94000000
0.073213452185
Long
DBT
NUSS
EG
N
2
2027-07-07
Fixed
14.40600000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
Mexican Udibonos 2.000000% 06/09/2022
N/A
34394735.82000000
PA
1678192.56000000
0.108901799530
Long
DBT
USGA
MX
N
2
2022-06-09
Fixed
2.00000000
N
N
N
N
N
N
Republique du Benin
635400Q11P6AE5A5Y230
BENIN INTL GOV BOND 4.875000% 01/19/2032
N/A
102000.00000000
PA
117789.70000000
0.007643646266
Long
DBT
NUSS
BJ
N
2
2032-01-19
Fixed
4.87500000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY-CLP - Sinacofi Chile Interbank Rate Avg
N/A
420526827.00000000
NC
4804.08000000
0.000311747870
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
4804.08000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 06/15/2035
N/A
12896000000.00000000
PA
953290.34000000
0.061861216629
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.125000% 01/15/2045
Y20721BM0
210000.00000000
PA
USD
253703.93000000
0.016463435235
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
CHINA MINMETALS CORPORATION
3003002ULBI4T3DT7Z09
CHINA MINMETALS CORP 3.750000% MATURITY: PERPETUAL
N/A
2047000.00000000
PA
USD
2080257.88000000
0.134992748757
Long
DBT
NUSS
CN
N
2
2170-05-13
Fixed
3.75000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
PANAMA BONOS DEL 3.362000% 06/30/2031
N/A
1458000.00000000
PA
USD
1468935.00000000
0.095322592118
Long
DBT
NUSS
PA
N
2
2031-06-30
Fixed
3.36200000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
Bonos de la Tesoreria de la Republica 2.000000% 03/01/2035
N/A
1393428565.00000000
PA
1633101.02000000
0.105975705131
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
2.00000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.450000% 12/17/2024
N/A
85200000.00000000
PA
2572915.73000000
0.166962456940
Long
DBT
NUSS
TH
N
2
2024-12-17
Fixed
1.45000000
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
1052140.00000000
0.068275799862
Long
DBT
NUSS
IL
N
2
2027-06-30
Fixed
6.50000000
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
217331.90000000
0.014103170023
Long
DBT
NUSS
CN
N
2
2170-07-19
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
10830.70000000
0.000702829191
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
18536347.00000000
ZAR
1242890.99000000
USD
2021-10-01
10830.70000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-06-30
N/A
1.00000000
NC
-57.42000000
-0.00000372611
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
347999.55000000
EUR
1761968.00000000
RON
2022-06-30
-57.42000000
N
N
N
Financiera de Desarrollo Territorial S.A.
54930036EU95I2CWYJ76
FINDETER 7.875000% 08/12/2024
P40420AA2
884000000.00000000
PA
241047.37000000
0.015642121762
Long
DBT
NUSS
CO
N
2
2024-08-12
Fixed
7.87500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.000000% 01/27/2023
N/A
560000.00000000
PA
USD
92467.20000000
0.006000410630
Long
DBT
NUSS
LB
N
2
2023-01-27
Fixed
6.00000000
Y
N
N
N
N
N
DP WORLD SALAAM
549300SUYBT9X88E9435
DP WORLD SALAAM 6.000000% MATURITY: PERPETUAL
N/A
877000.00000000
PA
USD
960315.00000000
0.062317063076
Long
DBT
NUSS
AE
N
2
2170-01-01
Fixed
6.00000000
N
N
N
N
N
N
Studio City Finance Limited
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD 144A 6.000000% 07/15/2025
86389QAE2
87000.00000000
PA
USD
86130.00000000
0.005589175054
Long
DBT
NUSS
MO
N
2
2025-07-15
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-11-03
N/A
1.00000000
NC
USD
9416.44000000
0.000611054586
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1559647.00000000
BRL
294356.33000000
USD
2021-11-03
9416.44000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.250000% 10/26/2026
80413TAB5
1884000.00000000
PA
USD
2030179.56000000
0.131743050662
Long
DBT
NUSS
SA
N
2
2026-10-26
Fixed
3.25000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.750000% 10/11/2034
N/A
870000.00000000
PA
206653.27000000
0.013410209005
Long
DBT
NUSS
RO
N
2
2034-10-11
Fixed
4.75000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 4.875000% 09/23/2032
P3579ECH8
259000.00000000
PA
USD
264182.59000000
0.017143419737
Long
DBT
NUSS
DO
N
2
2032-09-23
Fixed
4.87500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.950000% 01/15/2031
900123DA5
2756000.00000000
PA
USD
2605599.57000000
0.169083386967
Long
DBT
NUSS
TR
N
2
2031-01-15
Fixed
5.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2021-10-25
N/A
1.00000000
NC
USD
17561.47000000
0.001139604435
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
58940281.00000000
PHP
1169867.83000000
USD
2021-10-25
17561.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-05
N/A
1.00000000
NC
USD
34343.48000000
0.002228627907
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1106468.00000000
EUR
1316703.89000000
USD
2021-10-05
34343.48000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1D BRL- CETIP
N/A
5677464.00000000
NC
-87008.64000000
-0.00564619203
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-5677464.00000000
BRL
-87008.64000000
N
N
N
TENGIZCHEVROIL FINANCE COMPANY INTERNATIONAL LTD.
5493001VEV2XTJIBZH31
TENGIZCHEVROIL FINANCE CO INTERNATIONAL LTD 2.625000% 08/15/2025
N/A
1071000.00000000
PA
USD
1091884.50000000
0.070854912459
Long
DBT
NUSS
KZ
N
2
2025-08-15
Fixed
2.62500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 3.200000% 09/23/2061
455780DG8
873000.00000000
PA
USD
811614.08000000
0.052667516197
Long
DBT
NUSS
ID
N
2
2061-09-23
Fixed
3.20000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2021-12-08
N/A
1.00000000
NC
31448.04000000
0.002040736104
N/A
DFE
CN
N
2
MORGAN STANLEY & CO, INC
N/A
11342320.05000000
USD
73792000.00000000
CNY
2021-12-08
31448.04000000
N
N
N
ULKER BISKUVI SANAYI ANONIM SIRKETI
7890009HEU9BS7J3DA93
ULKER BISKUVI SANAYI AS 6.950000% 10/30/2025
N/A
871000.00000000
PA
USD
923146.77000000
0.059905130602
Long
DBT
NUSS
TR
N
2
2025-10-30
Fixed
6.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
38463.79000000
0.002496004360
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
15271888.00000000
ZAR
1053544.41000000
USD
2021-10-01
38463.79000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.000000% 10/06/2027
N/A
16284000.00000000
PA
211609.24000000
0.013731813370
Long
DBT
NUSS
RU
N
2
2027-10-06
Fixed
6.00000000
N
N
N
N
N
N
Empresas Publicas de Medellin E.S.P.
549300SU25TO8EMXB434
EMPRESAS PUBLICAS DE MEDELLIN ESP 144A 8.375000% 11/08/2027
29246BAD0
2351000000.00000000
PA
582876.38000000
0.037824197412
Long
DBT
NUSS
CO
N
2
2027-11-08
Fixed
8.37500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-80063.16000000
-0.00519548376
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
6398955.20000000
USD
5452256.00000000
EUR
2021-10-04
-80063.16000000
N
N
N
CHINALCO CAPITAL HOLDINGS LIMITED
5493003PX4GYVUD3CQ19
CHINALCO CAPITAL HOLDINGS LTD 2.125000% 06/03/2026
N/A
413000.00000000
PA
USD
409344.38000000
0.026563304278
Long
DBT
NUSS
CN
N
2
2026-06-03
Fixed
2.12500000
N
N
N
N
N
N
DIGICEL HOLDINGS (BERMUDA) LIMITED
N/A
DIGICEL INTERNATIONAL FINANCE LTD/DIGICEL INTERNAT 8.750000% 05/25/2024
25381XAA1
435000.00000000
PA
USD
450225.00000000
0.029216142332
Long
DBT
NUSS
JM
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2021-12-15
N/A
1.00000000
NC
USD
17252.80000000
0.001119574124
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
2111482.00000000
PLN
548977.88000000
USD
2021-12-15
17252.80000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 6.400000% 01/20/2040
74727PAL5
547000.00000000
PA
USD
799910.92000000
0.051908071057
Long
DBT
NUSS
QA
N
2
2040-01-20
Fixed
6.40000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-16499.83000000
-0.00107071215
N/A
DFE
MY
N
2
STANDARD BANK
N/A
3156796.15000000
USD
13156895.00000000
MYR
2021-12-15
-16499.83000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.556000% 10/13/2027
N/A
11537000.00000000
PA
734393.10000000
0.047656468071
Long
DBT
NUSS
EG
N
2
2027-10-13
Fixed
14.55600000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 7.375000% 09/18/2037
195325BK0
1009000.00000000
PA
USD
1239516.14000000
0.080435071284
Long
DBT
NUSS
CO
N
2
2037-09-18
Fixed
7.37500000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-106701.89000000
-0.00692413261
N/A
DFE
CL
N
2
STANDARD BANK
N/A
3232198.80000000
USD
2554245100.00000000
CLP
2021-12-15
-106701.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2021-12-15
N/A
1.00000000
NC
USD
5664.51000000
0.000367583164
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
3665417037.65000000
COP
963100.76000000
USD
2021-12-15
5664.51000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.950000% 01/25/2027
P3579EBV8
625000.00000000
PA
USD
703131.25000000
0.045627814266
Long
DBT
NUSS
DO
N
2
2027-01-25
Fixed
5.95000000
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
7429390.58000000
0.482110350659
Long
DBT
NUSS
MY
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
14671.44000000
0.000952063699
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
521833.00000000
EUR
619449.79000000
USD
2021-10-04
14671.44000000
N
N
N
DP WORLD CRESCENT LIMITED
21380096JRTWB8TL9236
DP WORLD CRESCENT LTD MTN 4.848000% 09/26/2028
N/A
475000.00000000
PA
USD
541276.75000000
0.035124701136
Long
DBT
NUSS
AE
N
2
2028-09-26
Fixed
4.84800000
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
134713.80000000
0.008741890287
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.390000% 03/16/2050
N/A
8350000.00000000
PA
1266645.70000000
0.082195571226
Long
DBT
NUSS
CN
N
2
2050-03-16
Fixed
3.39000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.350000% 08/10/2024
900123CV0
294000.00000000
PA
USD
304070.09000000
0.019731811934
Long
DBT
NUSS
TR
N
2
2024-08-10
Fixed
6.35000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
16624088.00000000
NC
-22450.33000000
-0.00145685387
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-12-08
0.00000000
MXN
0.00000000
MXN
-16624088.00000000
MXN
-22450.33000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.250000% 02/10/2027
N/A
10460000.00000000
PA
434273.30000000
0.028180999597
Long
DBT
NUSS
CZ
N
2
2027-02-10
Fixed
0.25000000
N
N
N
N
N
N
BROKER: GOLDMAN SACHS
N/A
BROKER: GOLDMAN SACHS PAY: 0.733 FIXED
N/A
67400000.00000000
NC
-8459.41000000
-0.00054895069
N/A
DIR
XX
N
2
BROKER: GOLDMAN SACHS
N/A
Y
2026-09-30
0.00000000
TWD
0.00000000
TWD
-67400000.00000000
TWD
-8459.41000000
N
N
N
NWD (MTN) LIMITED
254900STSWBVJ5FV9O74
NWD MTN LTD 4.125000% 07/18/2029
N/A
757000.00000000
PA
USD
754532.18000000
0.048963339585
Long
DBT
NUSS
HK
N
2
2029-07-18
Fixed
4.12500000
N
N
N
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT INTERNATIONAL BOND 144A 7.158000% 03/12/2045
221597BV8
665000.00000000
PA
USD
664168.75000000
0.043099447459
Long
DBT
NUSS
CR
N
2
2045-03-12
Fixed
7.15800000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 0.500000% 07/31/2040
N/A
1611329.00000000
PA
USD
936601.09000000
0.060778212568
Long
DBT
NUSS
EC
N
2
2040-07-31
Fixed
0.50000000
N
N
N
N
N
N
European Bank for Reconstruction and Development
549300HTGDOVDU6OGK19
EUROPEAN BANK FOR RECONSTRUCTION & DEVELOPMENT MTN 5.200000% 05/28/2024
N/A
11593600000.00000000
PA
817080.48000000
0.053022243545
Long
DBT
NUSS
XX
N
2
2024-05-28
Fixed
5.20000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 10.750000% 10/14/2030
N/A
2404000.00000000
PA
USD
2902830.00000000
0.188371357534
Long
DBT
NUSS
GH
N
2
2030-10-14
Fixed
10.75000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.650000% 09/24/2031
N/A
5510000.00000000
PA
1207485.66000000
0.078356539300
Long
DBT
NUSS
RO
N
2
2031-09-24
Fixed
3.65000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.125000% 08/01/2023
N/A
520000.00000000
PA
USD
550648.80000000
0.035732875153
Long
DBT
NUSS
BH
N
2
2023-08-01
Fixed
6.12500000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2021-10-12
N/A
1.00000000
NC
-16539.04000000
-0.00107325658
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1226009.62000000
USD
1431905675.00000000
KRW
2021-10-12
-16539.04000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2021-10-08
N/A
1.00000000
NC
1679.93000000
0.000109014546
N/A
DFE
CN
N
2
MORGAN STANLEY & CO, INC
N/A
3046492.33000000
USD
19699838.00000000
CNY
2021-10-08
1679.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2021-10-27
N/A
1.00000000
NC
USD
-65934.51000000
-0.00427864296
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
26314950.00000000
EGP
1600666.06000000
USD
2021-10-27
-65934.51000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-2313.80000000
-0.00015014783
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
1042078.01000000
USD
14978308323.00000000
IDR
2021-12-15
-2313.80000000
N
N
N
Avenir Issuer II (Ireland) DAC
635400VEZIQKZPR7KU35
REPUBLIC OF ANGOLA VIA AVENIR ISSUER II IRELAND DA 6.927000% 02/19/2027
N/A
2537857.14000000
PA
USD
2385585.71000000
0.154806178352
Long
DBT
NUSS
AO
N
2
2027-02-19
Fixed
6.92700000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
74112.36000000
0.004809322579
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
22893201.75000000
ZAR
1595760.86000000
USD
2021-10-01
74112.36000000
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
308875.00000000
0.020043613666
Long
DBT
NUSS
ID
N
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
EXPORT-IMPORT BANK OF INDIA
335800OFZ8YEIVN1QI11
EXPORT-IMPORT BANK OF INDIA MTN 2.250000% 01/13/2031
30216KAF9
615000.00000000
PA
USD
570596.69000000
0.037027339906
Long
DBT
NUSS
IN
N
2
2031-01-13
Fixed
2.25000000
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
312843.59000000
0.020301144656
Long
DBT
NUSS
CN
N
2
2170-07-19
Fixed
4.60000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.125000% 05/15/2028
N/A
11097000000.00000000
PA
790842.97000000
0.051319630793
Long
DBT
NUSS
ID
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.250000% 03/31/2036
N/A
70195000.00000000
PA
3224350.94000000
0.209235595516
Long
DBT
NUSS
ZA
N
2
2036-03-31
Fixed
6.25000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 3.717000% 01/25/2027
G10367AD5
631000.00000000
PA
USD
690951.31000000
0.044837429768
Long
DBT
NUSS
BM
N
2
2027-01-25
Fixed
3.71700000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-198180.89000000
-0.01286041665
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
6002282.45000000
USD
53504946.00000000
TRY
2021-12-15
-198180.89000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 9.875000% 06/20/2022
P96006AE4
13061000.00000000
PA
309680.06000000
0.020095855872
Long
DBT
NUSS
UY
N
2
2022-06-20
Fixed
9.87500000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2021-12-15
N/A
1.00000000
NC
8590.43000000
0.000557452885
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
2097238.70000000
EUR
53514099.00000000
CZK
2021-12-15
8590.43000000
N
N
N
Republica de Mocambique
N/A
MOZAMBIQUE INTERNATIONAL BOND 144A 5.000000% 09/15/2031
N/A
1839000.00000000
PA
USD
1581907.80000000
0.102653658595
Long
DBT
NUSS
MZ
N
2
2031-09-15
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-11-03
N/A
1.00000000
NC
USD
18775.37000000
0.001218377216
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
5579209.00000000
BRL
1038069.62000000
USD
2021-11-03
18775.37000000
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 7.000000% 05/22/2027
N/A
1394000.00000000
PA
USD
1504906.64000000
0.097656875097
Long
DBT
NUSS
KE
N
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
KAZAKHSTAN NATIONAL BANK ZERO COUPON 03/25/2022
Y6S04LPJ2
600000000.00000000
PA
1349719.33000000
0.087586411357
Long
DBT
NUSS
KZ
N
2
2022-03-25
Fixed
0.00000000
N
N
N
N
N
N
BRK: JP MORGAN CHASE
N/A
BRK: JP MORGAN CHASE PAY: 1D BRL CETIP
N/A
3999241.00000000
NC
-65254.52000000
-0.00423451683
N/A
DIR
XX
N
2
BRK: JP MORGAN CHASE
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-3999241.00000000
BRL
-65254.52000000
N
N
N
Federal Democratic Republic of Ethiopia
N/A
ETHIOPIA INTERNATIONAL BOND 144A 6.625000% 12/11/2024
29766LAA4
296000.00000000
PA
USD
256087.36000000
0.016618101525
Long
DBT
NUSS
ET
N
2
2024-12-11
Fixed
6.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-12-13
N/A
1.00000000
NC
USD
260561.02000000
0.016908407677
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
26759369.80000000
BRL
5113581.08000000
USD
2021-12-13
260561.02000000
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
985153.72000000
0.063928905108
Long
DBT
NUSS
UA
N
2
2026-11-08
Fixed
7.62500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.190000% 09/12/2024
P78625DC4
45182100.00000000
PA
2091229.48000000
0.135704721276
Long
DBT
NUSS
MX
N
2
2024-09-12
Fixed
7.19000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 9.500000% 09/15/2027
71654QAM4
169000.00000000
PA
USD
194890.80000000
0.012646915102
Long
DBT
NUSS
MX
N
2
2027-09-15
Fixed
9.50000000
N
N
N
N
N
N
Africa Finance Corporation
213800LXFHRRXIJRXW97
AFRICA FINANCE CORP 144A 2.875000% 04/28/2028
00830YAD3
1679000.00000000
PA
USD
1689074.00000000
0.109607921358
Long
DBT
NUSS
XX
N
2
2028-04-28
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2021-12-15
N/A
1.00000000
NC
USD
6569.25000000
0.000426293837
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
6782232.00000000
MXN
333170.91000000
USD
2021-12-15
6569.25000000
N
N
N
Republic of Kazakhstan
5493007OEK8EF02UO833
KAZAKHSTAN GOVERNMENT INTERNATIONAL BOND 144A 4.875000% 10/14/2044
486661AF8
318000.00000000
PA
USD
389795.50000000
0.025294732208
Long
DBT
NUSS
KZ
N
2
2044-10-14
Fixed
4.87500000
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
-134579.58000000
-0.00873318044
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-04-02
0.00000000
RUB
0.00000000
RUB
-715569627.00000000
RUB
-134579.58000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT INTERNATIONAL BOND 144A 2.125000% 09/22/2031
445545AM8
3882000.00000000
PA
USD
3818917.50000000
0.247818395767
Long
DBT
NUSS
HU
N
2
2031-09-22
Fixed
2.12500000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.500000% 10/26/2046
N/A
580000.00000000
PA
USD
669169.20000000
0.043423938234
Long
DBT
NUSS
SA
N
2
2046-10-26
Fixed
4.50000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 2.000000% 01/09/2038
040114HU7
3404246.00000000
PA
USD
1320132.56000000
0.085666457371
Long
DBT
NUSS
AR
N
2
2038-01-09
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
856.43000000
0.000055575724
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
4235353.00000000
ZAR
282368.76000000
USD
2021-10-01
856.43000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.300000% 06/22/2048
836205AZ7
1464000.00000000
PA
USD
1507890.72000000
0.097850518955
Long
DBT
NUSS
ZA
N
2
2048-06-22
Fixed
6.30000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2023
N/A
77155000.00000000
PA
14279079.35000000
0.926602509102
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.059000% 09/30/2024
N/A
8576000.00000000
PA
2133899.84000000
0.138473699700
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: ZMW/USD SETTLE 2022-02-16
N/A
1.00000000
NC
22329.14000000
0.001448989577
N/A
DFE
ZM
N
2
STANDARD BANK
N/A
223399.53000000
USD
4411247.10000000
ZMW
2022-02-16
22329.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2021-10-06
N/A
1.00000000
NC
USD
-32239.41000000
-0.00209208993
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
49131368.20000000
EGP
3091967.79000000
USD
2021-10-06
-32239.41000000
N
N
N
GALAXY PIPELINE ASSETS BIDCO LIMITED
549300L82YB0C6JQIC26
GALAXY PIPELINE ASSETS BIDCO LTD 2.940000% 09/30/2040
N/A
3622000.00000000
PA
USD
3614447.70000000
0.234549877183
Long
DBT
NUSS
AE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.625000% 01/07/2041
105756BR0
517000.00000000
PA
USD
522149.32000000
0.033883477931
Long
DBT
NUSS
BR
N
2
2041-01-07
Fixed
5.62500000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 1.625000% 06/02/2028
N/A
1152000.00000000
PA
USD
1141761.02000000
0.074091515285
Long
DBT
NUSS
AE
N
2
2028-06-02
Fixed
1.62500000
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
3067737.99000000
0.199072618698
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
BRK: JPMORGAN CHASE
N/A
BRK: JPMORGAN CHASE PAY:1D BRL CETIP
N/A
6669601.00000000
NC
-125604.80000000
-0.00815078619
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-6669601.00000000
BRL
-125604.80000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2021-12-15
N/A
1.00000000
NC
-48641.62000000
-0.00315646730
N/A
DFE
HU
N
2
MERRILL LYNCH
N/A
1308698.47000000
EUR
456706322.00000000
HUF
2021-12-15
-48641.62000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.875000% 01/30/2060
P3579ECG0
1862000.00000000
PA
USD
1821985.62000000
0.118232864014
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 8.250000% 05/09/2028
N/A
1085000.00000000
PA
USD
1122975.00000000
0.072872446966
Long
DBT
NUSS
AO
N
2
2028-05-09
Fixed
8.25000000
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
661856.10000000
0.042949374248
Long
DBT
NUSS
TR
N
2
2024-09-07
Fixed
6.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2021-12-15
N/A
1.00000000
NC
35511.82000000
0.002304444194
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
364915111.00000000
HUF
1042779.96000000
EUR
2021-12-15
35511.82000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 8.250000% 04/10/2032
N/A
1661000.00000000
PA
USD
1237777.20000000
0.080322227443
Long
DBT
NUSS
SV
N
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.625000% 01/23/2046
71654QBX9
253000.00000000
PA
USD
203207.07000000
0.013186577111
Long
DBT
NUSS
MX
N
2
2046-01-23
Fixed
5.62500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 04/20/2023
N/A
14611000.00000000
PA
3584372.20000000
0.232598208376
Long
DBT
NUSS
MY
N
2
2023-04-20
Fixed
3.75700000
N
N
N
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT 5.625000% 06/24/2030
P5178RAD0
299000.00000000
PA
USD
310962.99000000
0.020179108170
Long
DBT
NUSS
HN
N
2
2030-06-24
Fixed
5.62500000
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
1573203.84000000
0.102088838484
Long
DBT
NUSS
KR
N
2
2021-11-30
Fixed
8.40000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.160000% 01/23/2030
698299BK9
1762000.00000000
PA
USD
1813908.52000000
0.117708722300
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
N
The Government of Belize
529900096070LUHXVI62
REPUBLIC OF BELIZE 5.0% 02/20/2038
N/A
1173007.05000000
PA
USD
574773.45000000
0.037298379530
Long
DBT
NUSS
BL
N
2
2038-02-20
Fixed
5.00000000
N
Y
N
N
N
N
Empresa Nacional del Petroleo
549300YP3P0JZBLIV197
EMPRESA NACIONAL DEL PETROLEO 3.750000% 08/05/2026
P37110AK2
749000.00000000
PA
USD
786392.92000000
0.051030856748
Long
DBT
NUSS
CL
N
2
2026-08-05
Fixed
3.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2021-10-08
N/A
1.00000000
NC
USD
-2888.49000000
-0.00018744080
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
3282240.00000000
CNY
504975.23000000
USD
2021-10-08
-2888.49000000
N
N
N
AEROPUERTO INTERNACIONAL DE TOCUMEN, S.A.
254900FO1PHX49ZIGB14
AEROPUERTO INTERNACIONAL DE TOCUMEN SA 144A 5.125000% 08/11/2061
00787CAE2
311000.00000000
PA
USD
325617.00000000
0.021130040796
Long
DBT
NUSS
PA
N
2
2061-08-11
Fixed
5.12500000
N
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 5.375000% 06/08/2037
N/A
268000.00000000
PA
306368.24000000
0.019880944207
Long
DBT
NUSS
SN
N
2
2037-06-08
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2021-10-15
N/A
1.00000000
NC
USD
40667.74000000
0.002639023777
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
42230360.00000000
THB
1288760.44000000
USD
2021-10-15
40667.74000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.250000% 01/25/2031
68205LAS2
954000.00000000
PA
USD
1019703.89000000
0.066170945609
Long
DBT
NUSS
OM
N
2
2031-01-25
Fixed
6.25000000
N
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
SENEGAL GOVERNMENT INTERNATIONAL BOND 144A 5.375000% 06/08/2037
N/A
152000.00000000
PA
173761.09000000
0.011275759314
Long
DBT
NUSS
SN
N
2
2037-06-08
Fixed
5.37500000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2021-10-27
N/A
1.00000000
NC
-496.98000000
-0.00003225018
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2048751.85000000
USD
2424615866.00000000
KRW
2021-10-27
-496.98000000
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC 144A 3.375000% 03/20/2028
23371DAG9
550000.00000000
PA
USD
566786.00000000
0.036780055411
Long
DBT
CORP
AE
N
2
2028-03-20
Fixed
3.37500000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.125000% 07/09/2046
040114HW3
1056000.00000000
PA
USD
350908.80000000
0.022771284238
Long
DBT
NUSS
AR
N
2
2046-07-09
Fixed
1.12500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.400000% 09/25/2023
N/A
790000.00000000
PA
189803.29000000
0.012316774803
Long
DBT
NUSS
RO
N
2
2023-09-25
Fixed
4.40000000
N
N
N
N
N
N
BIZ FINANCE PLC
213800CQK26QNHYTY203
UKREXIMBANK VIA BIZ FINANCE PLC 9.750000% 01/22/2025
N/A
237562.50000000
PA
USD
255873.82000000
0.016604244420
Long
DBT
NUSS
UA
N
2
2025-01-22
Fixed
9.75000000
N
N
N
N
N
N
BRK: MORGAN STANLEY & CO
N/A
BRK: MORGAN STANLEY & CO PAY: 10.29 % FIXED
N/A
2660091.00000000
NC
6128.76000000
0.000397709421
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY & CO
N/A
Y
2027-01-04
0.00000000
BRL
0.00000000
BRL
-2660091.00000000
BRL
6128.76000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.900000% 11/30/2026
N/A
2006000.00000000
PA
501032.82000000
0.032513179370
Long
DBT
NUSS
MY
N
2
2026-11-30
Fixed
3.90000000
N
N
N
N
N
N
Minerva Luxembourg S.A.
222100NM3G3RCPGZ2Z17
MINERVA LUXEMBOURG SA 144A 4.375000% 03/18/2031
603374AF6
1189000.00000000
PA
USD
1148514.55000000
0.074529767479
Long
DBT
NUSS
BR
N
2
2031-03-18
Fixed
4.37500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2024
N/A
20173000000.00000000
PA
1537728.77000000
0.099786779082
Long
DBT
NUSS
ID
N
2
2024-03-15
Fixed
8.37500000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-134814.32000000
-0.00874841326
N/A
DFE
HU
N
2
MERRILL LYNCH
N/A
3007633.65000000
USD
892394979.00000000
HUF
2021-12-15
-134814.32000000
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 05/07/2028
P17625AB3
2941000.00000000
PA
USD
313216.50000000
0.020325343649
Long
DBT
NUSS
VE
N
2
2028-05-07
Floating
0.00000000
Y
Y
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 5.103000% 04/23/2048
74727PAY7
1353000.00000000
PA
USD
1793823.64000000
0.116405367949
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-06-30
N/A
1.00000000
NC
1824.58000000
0.000118401219
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
1238928.35000000
EUR
6281674.00000000
RON
2022-06-30
1824.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2021-10-13
N/A
1.00000000
NC
USD
1302.16000000
0.000084500176
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
542200.00000000
PEN
132551.03000000
USD
2021-10-13
1302.16000000
N
N
N
IHS Netherlands Holdco B.V.
5493006Z6YQYCCN2XI74
IHS NETHERLANDS HOLDCO BV 144A 8.000000% 09/18/2027
44963LAC0
299000.00000000
PA
USD
319182.50000000
0.020712491198
Long
DBT
NUSS
NG
N
2
2027-09-18
Fixed
8.00000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 0.500000% 07/31/2040
N/A
2887485.00000000
PA
USD
1678379.53000000
0.108913932446
Long
DBT
NUSS
EC
N
2
2040-07-31
Fixed
0.50000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.500000% 02/08/2030
N/A
657000.00000000
PA
795846.79000000
0.051644340254
Long
DBT
NUSS
RO
N
2
2030-02-08
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-12-03
N/A
1.00000000
NC
USD
-451.02000000
-0.00002926773
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
4817635595.00000000
IDR
334441.90000000
USD
2021-12-03
-451.02000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 6.125000% 01/18/2041
195325BM6
2378000.00000000
PA
USD
2611828.74000000
0.169487612226
Long
DBT
NUSS
CO
N
2
2041-01-18
Fixed
6.12500000
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
775143.43000000
0.050300851304
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
DP World Limited
549300M3U2DNF4QVSS04
DP WORLD LTD/UNITED ARAB EMIRATES MTN 6.850000% 07/02/2037
23330JAA9
210000.00000000
PA
USD
280350.00000000
0.018192560392
Long
DBT
NUSS
AE
N
2
2037-07-02
Fixed
6.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
326.01000000
0.000021155543
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
12993941.00000000
ZAR
863997.73000000
USD
2021-10-01
326.01000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 9.000000% 03/15/2029
N/A
42750000000.00000000
PA
3487205.24000000
0.226292819441
Long
DBT
NUSS
ID
N
2
2029-03-15
Fixed
9.00000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.750000% 07/23/2029
N/A
55670000.00000000
PA
2665475.69000000
0.172968886982
Long
DBT
NUSS
CZ
N
2
2029-07-23
Fixed
2.75000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 5.500000% 06/24/2025
N/A
338870000.00000000
PA
1210263.71000000
0.078536813394
Long
DBT
NUSS
HU
N
2
2025-06-24
Fixed
5.50000000
N
N
N
N
N
N
OCP S.A.
213800D26TAPVTCVWG40
OCP SA 144A 3.750000% 06/23/2031
67091TAD7
202000.00000000
PA
USD
201252.60000000
0.013059747029
Long
DBT
NUSS
MA
N
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 5.000000% 04/17/2049
80413TAJ8
200000.00000000
PA
USD
248862.00000000
0.016149231191
Long
DBT
NUSS
SA
N
2
2049-04-17
Fixed
5.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.950000% 08/12/2031
715638BE1
18487000.00000000
PA
4635288.89000000
0.300794624822
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 2.500000% 07/09/2041
040114HV5
5586899.00000000
PA
USD
2051900.40000000
0.133152566244
Long
DBT
NUSS
AR
N
2
2041-07-09
Fixed
2.50000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.95% 08/12/2031
715638BE1
154000.00000000
PA
38612.78000000
0.002505672666
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
Provincia de Cordoba
5299006CLM2Z97AATT29
PROVINCIA DE CORDOBA 144A 5.000000% 12/10/2025
74408DAC8
540167.00000000
PA
USD
408312.24000000
0.026496326325
Long
DBT
NUSS
AR
N
2
2025-12-10
Fixed
5.00000000
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 17.000000% 05/11/2022
N/A
71848000.00000000
PA
2789421.40000000
0.181012010986
Long
DBT
NUSS
UA
N
2
2022-05-11
Fixed
17.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 3.500000% 01/11/2028
455780CD6
1659000.00000000
PA
USD
1798481.06000000
0.116707598712
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2021-10-06
N/A
1.00000000
NC
5220.03000000
0.000338739828
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
579561.25000000
EUR
2891173.16000000
RON
2021-10-06
5220.03000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.125000% 07/09/2030
N/A
402550.00000000
PA
167252.92000000
0.010853429099
Long
DBT
NUSS
AR
N
2
2030-07-09
Fixed
0.12500000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 8.747000% 01/21/2031
N/A
628000.00000000
PA
USD
688279.21000000
0.044664031014
Long
DBT
NUSS
NG
N
2
2031-01-21
Fixed
8.74700000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA 4.000000% 02/14/2051
N/A
438000.00000000
PA
USD
436248.00000000
0.028309142451
Long
DBT
NUSS
RO
N
2
2051-02-14
Fixed
4.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:2.33%
N/A
830040908.00000000
NC
157204.95000000
0.010201393069
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-06-05
0.00000000
CLP
0.00000000
CLP
-830040908.00000000
CLP
157204.95000000
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
ISLAMIC REP OF PAKISTAN 7.875000% 03/31/2036
Y8793YAL6
200000.00000000
PA
USD
195882.00000000
0.012711236364
Long
DBT
NUSS
PK
N
2
2036-03-31
Fixed
7.87500000
N
N
N
N
N
N
UKRANIAN HRYVNIA
N/A
FX Forward Contract: UAH/USD SETTLE 2021-12-16
N/A
1.00000000
NC
67132.09000000
0.004356356702
N/A
DFE
UA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1250404.38000000
USD
35674037.00000000
UAH
2021-12-16
67132.09000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.875000% 09/16/2025
836205AR5
790000.00000000
PA
USD
884784.20000000
0.057415694642
Long
DBT
NUSS
ZA
N
2
2025-09-16
Fixed
5.87500000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2021-12-15
N/A
1.00000000
NC
-12132.96000000
-0.00078733585
N/A
DFE
HU
N
2
MERRILL LYNCH
N/A
1028480.86000000
EUR
367022219.00000000
HUF
2021-12-15
-12132.96000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-70226.88000000
-0.00455718478
N/A
DFE
TW
N
2
GOLDMAN, SACHS & CO.
N/A
9643503.54000000
USD
265263852.00000000
TWD
2021-12-15
-70226.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: ZMW/USD SETTLE 2022-02-16
N/A
1.00000000
NC
13385.48000000
0.000868614778
N/A
DFE
ZM
N
2
STANDARD BANK
N/A
171845.79000000
USD
3325216.06000000
ZMW
2022-02-16
13385.48000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.500000% 02/16/2061
N/A
1119000.00000000
PA
USD
980333.52000000
0.063616111173
Long
DBT
NUSS
EG
N
2
2061-02-16
Fixed
7.50000000
N
N
N
N
N
N
Republique du Benin
635400Q11P6AE5A5Y230
BENIN INTL GOV BOND 6.875000% 01/19/2052
N/A
158000.00000000
PA
188475.68000000
0.012230623117
Long
DBT
NUSS
BJ
N
2
2052-01-19
Fixed
6.87500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.000000% 06/15/2045
195325CU7
4204000.00000000
PA
USD
4097386.56000000
0.265888897610
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 9.000000% 11/17/2021
P7807HAP0
4300000.00000000
PA
USD
247250.00000000
0.016044624780
Long
DBT
NUSS
VE
N
2
2021-11-17
Fixed
9.00000000
Y
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.921000% 07/06/2048
N/A
1768000.00000000
PA
464362.55000000
0.030133560674
Long
DBT
NUSS
MY
N
2
2048-07-06
Fixed
4.92100000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 5.500000% 06/10/2051
71647NBJ7
457000.00000000
PA
USD
425467.00000000
0.027609538407
Long
DBT
NUSS
BR
N
2
2051-06-10
Fixed
5.50000000
N
N
N
N
N
N
Qatar Petroleum
254900QTESJKJ3P87J26
QATAR PETROLEUM 144A 3.125000% 07/12/2041
74730DAE3
912000.00000000
PA
USD
911562.24000000
0.059153383637
Long
DBT
NUSS
QA
N
2
2041-07-12
Fixed
3.12500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 11/26/2025
N/A
25567200000.00000000
PA
6717214.32000000
0.435895584759
Long
DBT
NUSS
CO
N
2
2025-11-26
Fixed
6.25000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 6.375000% 10/24/2048
48667QAS4
1166000.00000000
PA
USD
1498030.16000000
0.097210644394
Long
DBT
NUSS
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
Joint Stock Company Development Bank of Kazakhstan
213800LCDPGJ1BI7KX98
DEVELOPMENT BANK OF KAZA 4.125% 12/10/2022
N/A
770000.00000000
PA
USD
796950.00000000
0.051715930105
Long
DBT
NUSS
KZ
N
2
2022-12-10
Fixed
4.12500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 5.103000% 04/23/2048
N/A
567000.00000000
PA
USD
751735.40000000
0.048781850058
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.400000% 12/17/2023
N/A
88000000.00000000
PA
2704080.05000000
0.175474013255
Long
DBT
NUSS
TH
N
2
2023-12-17
Fixed
2.40000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
27057471.00000000
NC
-17177.99000000
-0.00111471953
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-27057471.00000000
BRL
-17177.99000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 5.100000% 06/18/2050
760942BA9
350000.00000000
PA
USD
444860.50000000
0.028868027510
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY-CLP - Sinacofi Chile Interbank Rate Avg
N/A
1931133335.00000000
NC
-276207.78000000
-0.01792376214
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-06-17
0.00000000
CLP
0.00000000
CLP
-1931133335.00000000
CLP
-276207.78000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2021-11-16
N/A
1.00000000
NC
-47734.38000000
-0.00309759440
N/A
DFE
MX
N
2
CITIGROUP GLOBAL MARKETS
N/A
2485748.73000000
USD
50416100.00000000
MXN
2021-11-16
-47734.38000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 8.250000% 09/28/2051
65412JAT0
970000.00000000
PA
USD
976790.00000000
0.063386163959
Long
DBT
NUSS
NG
N
2
2051-09-28
Fixed
8.25000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.375000% 10/14/2025
900123CZ1
200000.00000000
PA
USD
205276.00000000
0.013320834767
Long
DBT
NUSS
TR
N
2
2025-10-14
Fixed
6.37500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 5.350000% 02/12/2028
71654QCH3
279000.00000000
PA
USD
274954.50000000
0.017842433909
Long
DBT
NUSS
MX
N
2
2028-02-12
Fixed
5.35000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 7.903000% 02/21/2048
03846JW55
1510000.00000000
PA
USD
1377875.00000000
0.089413497952
Long
DBT
NUSS
EG
N
2
2048-02-21
Fixed
7.90300000
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
419120.00000000
0.027197666887
Long
DBT
NUSS
ZM
N
2
2026-03-01
Fixed
6.87500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.250000% 10/25/2030
N/A
25552000.00000000
PA
6010229.32000000
0.390017691735
Long
DBT
NUSS
PL
N
2
2030-10-25
Fixed
1.25000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.418000% 08/15/2022
N/A
10450000.00000000
PA
2532714.37000000
0.164353697640
Long
DBT
NUSS
MY
N
2
2022-08-15
Fixed
3.41800000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 3.230000% 07/28/2121
715638DR0
2442000.00000000
PA
USD
2023123.74000000
0.131285182171
Long
DBT
NUSS
PE
N
2
2121-07-28
Fixed
3.23000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.700000% 03/01/2041
718286CA3
714000.00000000
PA
USD
754241.11000000
0.048944451379
Long
DBT
NUSS
PH
N
2
2041-03-01
Fixed
3.70000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 04/03/2049
N/A
1419000.00000000
PA
1923136.81000000
0.124796798856
Long
DBT
NUSS
RO
N
2
2049-04-03
Fixed
4.62500000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 144 2.800000% 10/01/2033
N/A
1290000000.00000000
PA
1213762.62000000
0.078763865763
Long
DBT
NUSS
CL
N
2
2033-10-01
Fixed
2.80000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.148% FIXED
N/A
200000000.00000000
NC
11728.24000000
0.000761072639
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-09-02
0.00000000
INR
0.00000000
INR
-200000000.00000000
INR
11728.24000000
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN INTERNATIONAL BOND MTN 5.375000% 02/20/2029
N/A
833000.00000000
PA
USD
906587.22000000
0.058830543075
Long
DBT
NUSS
UZ
N
2
2029-02-20
Fixed
5.37500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-11-03
N/A
1.00000000
NC
71.65000000
0.000004649534
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
90911.98000000
USD
1304496000.00000000
IDR
2021-11-03
71.65000000
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGLOBAL CANADA ULC MTN 5.875000% 05/18/2030
58518N2A9
222000.00000000
PA
USD
272560.50000000
0.017687081708
Long
DBT
NUSS
KW
N
2
2030-05-18
Fixed
5.87500000
N
N
N
N
N
N
C&W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY
5493009O8OIWZPZRY516
C&W SENIOR FINANCING DAC 144A 7.500000% 10/15/2026
12674TAB2
677000.00000000
PA
USD
702123.47000000
0.045562417089
Long
DBT
NUSS
PA
N
2
2026-10-15
Fixed
7.50000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.625000% 04/07/2034
N/A
2907000.00000000
PA
USD
2763103.50000000
0.179304181540
Long
DBT
NUSS
GH
N
2
2034-04-07
Fixed
8.62500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-17304.23000000
-0.00112291153
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
472413.83000000
USD
6847124.00000000
ZAR
2021-10-01
-17304.23000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND MTN 6.250000% 01/25/2051
N/A
541000.00000000
PA
USD
495707.48000000
0.032167605732
Long
DBT
NUSS
BH
N
2
2051-01-25
Fixed
6.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3591362.00000000
NC
-70998.87000000
-0.00460728100
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-3591362.00000000
BRL
-70998.87000000
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
642495.00000000
0.041692987656
Long
DBT
NUSS
MX
N
2
2170-09-27
Fixed
6.75000000
N
N
N
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
SASOL FINANCING USA LLC 6.500000% 09/27/2028
80386WAB1
360000.00000000
PA
USD
397260.00000000
0.025779120890
Long
DBT
CORP
ZA
N
2
2028-09-27
Fixed
6.50000000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 6.200000% 02/28/2030
N/A
1240000.00000000
PA
USD
1090902.40000000
0.070791181717
Long
DBT
NUSS
BY
N
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 04/07/2029
37443GAL5
413000.00000000
PA
USD
393258.60000000
0.025519460782
Long
DBT
NUSS
GH
N
2
2029-04-07
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2021-12-13
N/A
1.00000000
NC
USD
94043.92000000
0.006102727641
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1345498700.00000000
CLP
1740776.91000000
USD
2021-12-13
94043.92000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 6.825000% 07/18/2026
85227SAR7
909000.00000000
PA
USD
566988.75000000
0.036793212328
Long
DBT
NUSS
LK
N
2
2026-07-18
Fixed
6.82500000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.500000% 02/15/2048
P3579EBY2
2472000.00000000
PA
USD
2641356.72000000
0.171403751193
Long
DBT
NUSS
DO
N
2
2048-02-15
Fixed
6.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 2.25% 04/18/2029
P6S32JU32
181900000.00000000
PA
130004.41000000
0.008436287070
Long
DBT
NUSS
CO
N
2
2029-04-18
Fixed
2.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.750000% 09/18/2030
N/A
12738000000.00000000
PA
3408079.06000000
0.221158138477
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2021-10-06
N/A
1.00000000
NC
USD
-5798.68000000
-0.00037628976
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
10410202.00000000
EGP
656174.09000000
USD
2021-10-06
-5798.68000000
N
N
N
HAZINE MUSTESARLIGI VARLIK KIRALAMA ANONIM SIRKETI
6354003QFJP7RDXEOZ20
HAZINE MUSTESARLIGI VARLIK KIRALAMA AS 144A 5.800000% 02/21/2022
421790AF3
1479000.00000000
PA
USD
1497724.14000000
0.097190786047
Long
DBT
NUSS
TR
N
2
2022-02-21
Fixed
5.80000000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 8.000000% 05/22/2032
N/A
639000.00000000
PA
USD
705647.70000000
0.045791112531
Long
DBT
NUSS
KE
N
2
2032-05-22
Fixed
8.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
15239.78000000
0.000988944597
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
6506684.00000000
ZAR
447721.27000000
USD
2021-10-01
15239.78000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1D SINACOFI CHILE INTERBANK RATE AVG(CLICP)
N/A
1623158367.00000000
NC
-210917.38000000
-0.01368691697
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-03-16
0.00000000
CLP
0.00000000
CLP
-1623158367.00000000
CLP
-210917.38000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 15.840000% 02/26/2025
N/A
66553000.00000000
PA
2659044.46000000
0.172551549582
Long
DBT
NUSS
UA
N
2
2025-02-26
Fixed
15.84000000
N
N
N
N
N
N
THE OIL AND GAS HOLDING COMPANY B.S.C (CLOSED)
549300OBH16L6TS6IW50
OIL AND GAS HOLDING CO BSCC/THE 144A 7.625000% 11/07/2024
67778M2C3
794000.00000000
PA
USD
869896.87000000
0.056449621340
Long
DBT
NUSS
BH
N
2
2024-11-07
Fixed
7.62500000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 4.500000% 01/30/2030
25714PED6
755000.00000000
PA
USD
768220.05000000
0.049851577151
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 5.375000% 04/24/2032
P5015VAK2
498000.00000000
PA
USD
565230.00000000
0.036679082970
Long
DBT
NUSS
GT
N
2
2032-04-24
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
1063000.00000000
PA
USD
1095891.35000000
0.071114926230
Long
DBT
NUSS
ZA
N
2
2023-08-06
Fixed
6.75000000
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
440006.40000000
0.028553033726
Long
DBT
NUSS
SV
N
2
2050-01-20
Fixed
7.12460000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
8937.76000000
0.000579991933
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
527912.00000000
EUR
620761.37000000
USD
2021-10-04
8937.76000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-11-03
N/A
1.00000000
NC
-91549.63000000
-0.00594086738
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
10014989.56000000
USD
8558570.00000000
EUR
2021-11-03
-91549.63000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.470000% 11/12/2026
N/A
15660000.00000000
PA
682897.81000000
0.044314819512
Long
DBT
NUSS
MX
N
2
2026-11-12
Fixed
7.47000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.250000% 06/23/2047
N/A
1000000.00000000
PA
USD
1266300.00000000
0.082173137953
Long
DBT
NUSS
RU
N
2
2047-06-23
Fixed
5.25000000
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.250000% 06/24/2026
N/A
2360000.00000000
PA
544118.87000000
0.035309132881
Long
DBT
NUSS
RO
N
2
2026-06-24
Fixed
3.25000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 1.500000% 06/26/2029
N/A
903000.00000000
PA
1032200.64000000
0.066981888641
Long
DBT
NUSS
RS
N
2
2029-06-26
Fixed
1.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.500000% 03/15/2029
195325DP7
721000.00000000
PA
USD
759861.90000000
0.049309197452
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2021-10-21
N/A
1.00000000
NC
USD
24569.00000000
0.001594339276
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
47054845.00000000
THB
1415225.87000000
USD
2021-10-21
24569.00000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 6.750000% 10/22/2028
N/A
489630000.00000000
PA
1962793.76000000
0.127370230130
Long
DBT
NUSS
HU
N
2
2028-10-22
Fixed
6.75000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 1.990000% 04/09/2025
N/A
60830000.00000000
PA
9195264.30000000
0.596701983607
Long
DBT
NUSS
CN
N
2
2025-04-09
Fixed
1.99000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.750000% 12/31/2032
N/A
850202.99000000
PA
USD
850202.99000000
0.055171639884
Long
DBT
NUSS
CI
N
2
2032-12-31
Fixed
5.75000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 4.375000% 03/21/2029
N/A
6800000.00000000
PA
USD
7699476.80000000
0.499636870612
Long
DBT
NUSS
RU
N
2
2029-03-21
Fixed
4.37500000
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 8.500000% 10/12/2035
Y20721AE9
1359000.00000000
PA
USD
2121653.68000000
0.137679018033
Long
DBT
NUSS
ID
N
2
2035-10-12
Fixed
8.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS REC: 7.7325% FIXED
N/A
10901721.00000000
NC
-151162.55000000
-0.00980928774
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-10901721.00000000
BRL
-151162.55000000
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 3.150000% 01/14/2030
P3143NBH6
800000.00000000
PA
USD
825616.00000000
0.053576133194
Long
DBT
NUSS
CL
N
2
2030-01-14
Fixed
3.15000000
N
N
N
N
N
N
BRK: JPMORGAN CHASE BANK
N/A
BRK: JPMORGAN CHASE BANK PAY: 6M PLN WIBOR
N/A
2144948.00000000
NC
-14245.23000000
-0.00092440594
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE BANK
N/A
Y
2031-05-18
0.00000000
PLN
0.00000000
PLN
-2144948.00000000
PLN
-14245.23000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.392000% 04/15/2026
N/A
3480000.00000000
PA
883167.23000000
0.057310765716
Long
DBT
NUSS
MY
N
2
2026-04-15
Fixed
4.39200000
N
N
N
N
N
N
Minera Mexico, S.A. de C.V.
N/A
MINERA MEXICO SA DE CV 144A 4.500000% 01/26/2050
60284MAB8
627000.00000000
PA
USD
694402.50000000
0.045061385475
Long
DBT
NUSS
MX
N
2
2050-01-26
Fixed
4.50000000
N
N
N
N
N
N
UKRANIAN HRYVNIA
N/A
FX Forward Contract: UAH/USD SETTLE 2022-02-16
N/A
1.00000000
NC
4510.02000000
0.000292665636
N/A
DFE
UA
N
2
CITIGROUP GLOBAL MARKETS
N/A
403585.27000000
USD
11219670.41000000
UAH
2022-02-16
4510.02000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.100000% 03/28/2035
N/A
4000000.00000000
PA
USD
4786440.00000000
0.310603170201
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA INTL BOND 5.125000% 04/07/2026
Y6142NAC2
381000.00000000
PA
USD
399720.87000000
0.025938812440
Long
DBT
NUSS
MN
N
2
2026-04-07
Fixed
5.12500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
5012193.00000000
NC
35687.09000000
0.002315817870
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-03
0.00000000
BRL
0.00000000
BRL
-5012193.00000000
BRL
35687.09000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
STANDARD CHARTERED BANK MTN 8.375000% 10/18/2039
AX1409058
20797000000.00000000
PA
1633245.62000000
0.105985088560
Long
DBT
NUSS
GB
N
2
2039-10-18
Fixed
8.37500000
N
N
N
N
N
N
AES PANAMA GENERATION HOLDINGS, S.R.L.
N/A
AES PANAMA GENERATION HOLDINGS SRL 144A 4.375000% 05/31/2030
00109AAB3
492000.00000000
PA
USD
507252.00000000
0.032916756355
Long
DBT
NUSS
PA
N
2
2030-05-31
Fixed
4.37500000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.250000% 03/22/2030
N/A
139000.00000000
PA
166934.03000000
0.010832735588
Long
DBT
NUSS
CI
N
2
2030-03-22
Fixed
5.25000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-11-15
N/A
1.00000000
NC
-675.46000000
-0.00004383216
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
320226.43000000
USD
4587756000.00000000
IDR
2021-11-15
-675.46000000
N
N
N
BRK: JPMORGAN CHASE
N/A
BRK: JPMORGAN CHASE REC:1D OVERNIGHT BRAZIL INTERBANK DEPOSIT
N/A
12557923.51000000
NC
130102.93000000
0.008442680261
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-12557923.51000000
BRL
130102.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-11-15
N/A
1.00000000
NC
USD
-7416.30000000
-0.00048126087
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
7245800203.00000000
IDR
497275.42000000
USD
2021-11-15
-7416.30000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 7.450000% 04/30/2044
P3579EAY3
228000.00000000
PA
USD
271664.28000000
0.017628923918
Long
DBT
NUSS
DO
N
2
2044-04-30
Fixed
7.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2021-10-25
N/A
1.00000000
NC
USD
-7152.30000000
-0.00046412930
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
7932358.00000000
CNY
1219674.12000000
USD
2021-10-25
-7152.30000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR ZERO COUPON 07/31/2030
N/A
292282.00000000
PA
USD
156008.44000000
0.010123748765
Long
DBT
NUSS
EC
N
2
2030-07-31
Fixed
0.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:28D MEXICAN INTERBANK RATE (TIIE)
N/A
148276430.00000000
NC
-135145.62000000
-0.00876991208
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-11-22
0.00000000
MXN
0.00000000
MXN
-148276430.00000000
MXN
-135145.62000000
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 11.000000% 06/28/2026
BQ2494160
78885000.00000000
PA
3241638.17000000
0.210357403884
Long
DBT
NUSS
ZM
N
2
2026-06-28
Fixed
11.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 5.248000% 09/15/2028
N/A
1050000.00000000
PA
281871.66000000
0.018291304432
Long
DBT
NUSS
MY
N
2
2028-09-15
Fixed
5.24800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
11547.05000000
0.000749314801
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
468617.00000000
EUR
554650.72000000
USD
2021-10-04
11547.05000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.795000% 09/30/2022
N/A
3200000.00000000
PA
779999.52000000
0.050615974224
Long
DBT
NUSS
MY
N
2
2022-09-30
Fixed
3.79500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2021-12-15
N/A
1.00000000
NC
USD
-11424.42000000
-0.00074135705
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
14241654040.00000000
COP
3708609.55000000
USD
2021-12-15
-11424.42000000
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
644856.80000000
0.041846250325
Long
DBT
NUSS
BH
N
2
2028-11-07
Fixed
8.37500000
N
N
N
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP REC: 1.8282% FIXED
N/A
70762510.00000000
NC
-118930.34000000
-0.00771766503
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2026-07-12
0.00000000
CZK
0.00000000
CZK
-70762510.00000000
CZK
-118930.34000000
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2021-12-15
N/A
1.00000000
NC
74950.82000000
0.004863732189
N/A
DFE
RU
N
2
BARCLAYS CAPITAL INC.
N/A
10503016.42000000
USD
780447640.83000000
RUB
2021-12-15
74950.82000000
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 9.125000% 11/26/2049
035198AE0
670000.00000000
PA
USD
679808.80000000
0.044114366504
Long
DBT
NUSS
AO
N
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2021-10-06
N/A
1.00000000
NC
222.67000000
0.000014449571
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
296106.15000000
EUR
1466702.00000000
RON
2021-10-06
222.67000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 11/07/2047
N/A
61317400.00000000
PA
3004939.11000000
0.194997454021
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
MC Brazil Downstream Trading S.a r.l.
213800T2A7R9TYNXZI63
MC BRAZIL DOWNSTREAM TRADING SARL 144A 7.250000% 06/30/2031
55292WAA8
3213000.00000000
PA
USD
3230671.50000000
0.209645751284
Long
DBT
NUSS
BR
N
2
2031-06-30
Fixed
7.25000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.125000% 03/11/2039
N/A
613000.00000000
PA
792136.52000000
0.051403572246
Long
DBT
NUSS
RO
N
2
2039-03-11
Fixed
4.12500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 7.550000% 03/28/2030
Y8137FAR9
3079000.00000000
PA
USD
1864580.82000000
0.120996965132
Long
DBT
NUSS
LK
N
2
2030-03-28
Fixed
7.55000000
N
N
N
N
N
N
Republique du Cameroun
54930021BO6NHYGBBV24
REPUBLIC OF CAMEROON 5.950000% 07/07/2032
N/A
543000.00000000
PA
615213.30000000
0.039922614997
Long
DBT
NUSS
CM
N
2
2032-07-07
Fixed
5.95000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
19541000.00000000
PA
4786693.16000000
0.310619598339
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
BRAZIL LOAN TRUST 1
N/A
BRAZIL LOAN TRUST 1 144A 5.477000% 07/24/2023
105859AA0
108177.85000000
PA
USD
111424.27000000
0.007230578780
Long
DBT
CORP
BR
N
2
2023-07-24
Fixed
5.47700000
N
N
N
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 3.000000% 12/15/2032
N/A
2235000.00000000
PA
USD
2123339.40000000
0.137788408306
Long
DBT
NUSS
MA
N
2
2032-12-15
Fixed
3.00000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) DEC21 FINANCIAL COMMODITY FUTURE.
N/A
14.00000000
NC
USD
3080765.63000000
0.199918012411
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Dec 2021
2022-01-03
3082518.74000000
USD
-1753.11000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-10-20
N/A
1.00000000
NC
-53288.23000000
-0.00345799658
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
1399986.30000000
USD
12061050.00000000
TRY
2021-10-20
-53288.23000000
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
2977828.92000000
0.193238211044
Long
DBT
NUSS
RU
N
2
2026-02-11
Fixed
5.15000000
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
410785.06000000
0.026656793338
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.870000% 07/23/2060
698299BL7
1290000.00000000
PA
USD
1261516.80000000
0.081862745034
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.750000% 03/22/2024
900123CF5
200000.00000000
PA
USD
204425.60000000
0.013265650343
Long
DBT
NUSS
TR
N
2
2024-03-22
Fixed
5.75000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 8.625000% 02/28/2029
P01012BX3
41000.00000000
PA
USD
31262.91000000
0.002028722590
Long
DBT
NUSS
SV
N
2
2029-02-28
Fixed
8.62500000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BNQ CEN TUNISIA INT BOND 5.625000% 02/17/2024
N/A
1105000.00000000
PA
1082304.50000000
0.070233244086
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: 1-DAY-CLP - Sinacofi Chile Interbank Rate Avg
N/A
2335690714.00000000
NC
-355697.66000000
-0.02308204444
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-06-23
0.00000000
CLP
0.00000000
CLP
-2335690714.00000000
CLP
-355697.66000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2021-12-15
N/A
1.00000000
NC
-122376.54000000
-0.00794129693
N/A
DFE
PA
N
2
JP MORGAN
N/A
6136223.31000000
EUR
27794453.00000000
PLN
2021-12-15
-122376.54000000
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
324316.16000000
0.021045626278
Long
DBT
NUSS
LK
N
2
2024-03-14
Fixed
6.85000000
N
N
N
N
N
N
Cable Onda, S.A.
5299008Q5GONPYNF9J32
CABLE ONDA SA 144A 4.500000% 01/30/2030
12686LAA7
208000.00000000
PA
USD
218192.00000000
0.014158983902
Long
DBT
NUSS
PA
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3-MONTH MOSCOW PRIME OFFERED RATE - RUB
N/A
535000000.00000000
NC
-22167.95000000
-0.00143852958
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-12-14
0.00000000
RUB
0.00000000
RUB
-535000000.00000000
RUB
-22167.95000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.350000% 08/12/2028
N/A
1513000.00000000
PA
377989.57000000
0.024528618084
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2021-11-15
N/A
1.00000000
NC
436.83000000
0.000028346909
N/A
DFE
PA
N
2
JP MORGAN
N/A
87711.74000000
USD
350000.00000000
PLN
2021-11-15
436.83000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-11-17
N/A
1.00000000
NC
-56437.20000000
-0.00366234053
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
1383925.60000000
USD
12061050.00000000
TRY
2021-11-17
-56437.20000000
N
N
N
CHINALCO CAPITAL HOLDINGS LIMITED
5493003PX4GYVUD3CQ19
CHINALCO CAPITAL HOLDINGS LTD 4.250000% 04/21/2022
N/A
740000.00000000
PA
USD
751100.00000000
0.048740617481
Long
DBT
NUSS
CN
N
2
2022-04-21
Fixed
4.25000000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 4.750000% 06/19/2032
P7808BAA5
754000.00000000
PA
USD
776620.00000000
0.050396669349
Long
DBT
NUSS
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2021-12-20
N/A
1.00000000
NC
-11298.40000000
-0.00073317932
N/A
DFE
PH
N
2
STANDARD BANK
N/A
490858.45000000
USD
24673000.00000000
PHP
2021-12-20
-11298.40000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 5.670000% 03/13/2028
N/A
3000000.00000000
PA
112305.35000000
0.007287754101
Long
DBT
NUSS
TH
N
2
2028-03-13
Fixed
5.67000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD 7.000000% 07/09/2025
N/A
214000.00000000
PA
USD
172035.39000000
0.011163774646
Long
DBT
NUSS
CN
N
2
2025-07-09
Fixed
7.00000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2026
N/A
11319000.00000000
PA
2995598.11000000
0.194391294911
Long
DBT
NUSS
PL
N
2
2026-07-25
Fixed
2.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.200000% 05/15/2049
195325DQ5
1060000.00000000
PA
USD
1055908.40000000
0.068520340061
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2021-12-15
N/A
1.00000000
NC
-15016.94000000
-0.00097448399
N/A
DFE
HU
N
2
MERRILL LYNCH
N/A
1035540.74000000
EUR
368671609.00000000
HUF
2021-12-15
-15016.94000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND 5.250000% 01/16/2050
N/A
680000.00000000
PA
USD
879471.20000000
0.057070921775
Long
DBT
NUSS
SA
N
2
2050-01-16
Fixed
5.25000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.750000% 09/20/2029
N/A
200000.00000000
PA
USD
214508.00000000
0.013919920616
Long
DBT
NUSS
BH
N
2
2029-09-20
Fixed
6.75000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.950000% 03/26/2051
37443GAC5
1014000.00000000
PA
USD
924007.50000000
0.059960985364
Long
DBT
NUSS
GH
N
2
2051-03-26
Fixed
8.95000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.900000% 07/23/2031
N/A
463627000.00000000
PA
6192352.16000000
0.401836064360
Long
DBT
NUSS
RU
N
2
2031-07-23
Fixed
6.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-11-03
N/A
1.00000000
NC
USD
50611.15000000
0.003284274667
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
5218500.00000000
BRL
1004005.63000000
USD
2021-11-03
50611.15000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
47200221.00000000
NC
-73445.53000000
-0.00476605043
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-03-05
0.00000000
MXN
0.00000000
MXN
-47200221.00000000
MXN
-73445.53000000
N
N
N
SIERRACOL ENERGY ANDINA, LLC
N/A
SIERRACOL ENERGY ANDINA LLC 144A 6.000000% 06/15/2028
82653LAA9
672000.00000000
PA
USD
657014.40000000
0.042635185128
Long
DBT
CORP
CO
N
2
2028-06-15
Fixed
6.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.783000% 01/23/2031
715638DF6
2887000.00000000
PA
USD
2856975.20000000
0.185395733427
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
76026800.00000000
PA
3657923.58000000
0.237371127665
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 3.250000% 07/25/2025
N/A
9426000.00000000
PA
2553950.52000000
0.165731760567
Long
DBT
NUSS
PL
N
2
2025-07-25
Fixed
3.25000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2027
N/A
4898000.00000000
PA
1295824.09000000
0.084089024489
Long
DBT
NUSS
PL
N
2
2027-07-25
Fixed
2.50000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.817000% 03/14/2049
N/A
2837000.00000000
PA
USD
3644466.94000000
0.236497895149
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
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
207000.00000000
PA
USD
230028.75000000
0.014927098007
Long
DBT
NUSS
AE
N
2
2029-11-02
Fixed
3.65000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A ZERO COUPON 07/31/2030
N/A
1612758.00000000
PA
USD
860825.71000000
0.055860972772
Long
DBT
NUSS
EC
N
2
2030-07-31
Fixed
0.00000000
N
N
N
N
N
N
BRK: JPMORGAN CHASE
N/A
BRK: JPMORGAN CHASE REC: 2.7% FIXED
N/A
459110520.00000000
NC
-73211.23000000
-0.00475084616
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE
N/A
Y
2031-08-06
0.00000000
HUF
0.00000000
HUF
-459110520.00000000
HUF
-73211.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2021-12-15
N/A
1.00000000
NC
USD
21274.17000000
0.001380530132
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
24441870.00000000
MXN
1198284.25000000
USD
2021-12-15
21274.17000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
8000000.00000000
NC
10866.45000000
0.000705149091
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-12-03
0.00000000
MXN
0.00000000
MXN
-8000000.00000000
MXN
10866.45000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)DEC21 FINANCIAL COMMODITY FUTURE.
N/A
22.00000000
NC
USD
2895406.25000000
0.187889613213
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Dec 2021
2021-12-24
2924020.70000000
USD
-28614.45000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 1.500000% 11/17/2050
N/A
255000.00000000
PA
274881.94000000
0.017837725323
Long
DBT
NUSS
HU
N
2
2050-11-17
Fixed
1.50000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.200000% 03/13/2031
N/A
29710000.00000000
PA
1254177.21000000
0.081386462051
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
1.20000000
N
N
N
N
N
N
The Commonwealth of The Bahamas
549300W13SXC7EKNJC20
BAHAMAS GOVERNMENT INTERNATIONAL BOND 144A 8.950000% 10/15/2032
056732AL4
510000.00000000
PA
USD
479400.00000000
0.031109375609
Long
DBT
NUSS
BS
N
2
2032-10-15
Fixed
8.95000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.250000% 05/10/2034
N/A
100213000.00000000
PA
1364485.67000000
0.088544633338
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND DEC21 FINANCIAL COMMODITY FUTURE.
N/A
-37.00000000
NC
-8719452.97000000
-0.56582548510
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Dec 2021
2021-12-11
-9207449.60000000
EUR
487996.63000000
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO REC: 6.22% FIXED
N/A
117315378.00000000
NC
-77069.14000000
-0.00500119487
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO
N/A
Y
2024-09-04
0.00000000
MXN
0.00000000
MXN
-117315378.00000000
MXN
-77069.14000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.055% FIXED
N/A
10457608.00000000
NC
96541.29000000
0.006264787760
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-07-22
0.00000000
PLN
0.00000000
PLN
-10457608.00000000
PLN
96541.29000000
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
1055147.52000000
0.068470964796
Long
DBT
NUSS
TR
N
2
2023-10-24
Fixed
5.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH PLN - WIBOR
N/A
4531309.00000000
NC
-34265.49000000
-0.00222356695
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-02-26
0.00000000
PLN
0.00000000
PLN
-4531309.00000000
PLN
-34265.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-11-15
N/A
1.00000000
NC
USD
-19065.75000000
-0.00123722064
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
20311978969.00000000
IDR
1395724.52000000
USD
2021-11-15
-19065.75000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.000000% 07/09/2029
040114HX1
7383372.00000000
PA
USD
2805755.19000000
0.182071948425
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 07/01/2023
N/A
14000000.00000000
PA
2190103.69000000
0.142120897615
Long
DBT
NUSS
BR
N
2
2023-07-01
None
0.00000000
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
285000.00000000
PA
USD
234415.35000000
0.015211754634
Long
DBT
NUSS
AR
N
2
2025-02-01
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-11-03
N/A
1.00000000
NC
USD
73.89000000
0.000004794893
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1032278582.00000000
IDR
72071.39000000
USD
2021-11-03
73.89000000
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 5.800000% 05/15/2050
74445PAG7
1165000.00000000
PA
USD
1361593.75000000
0.088356969956
Long
DBT
NUSS
ID
N
2
2050-05-15
Fixed
5.80000000
N
N
N
N
N
Sinopec Group Overseas Development (2018) Limited
549300C6OZZ8LTVR8209
SINOPEC GROUP OVERSEAS DEVELOPMENT 2018 LTD 2.700000% 05/13/2030
G82016AP4
548000.00000000
PA
USD
560325.57000000
0.036360823156
Long
DBT
NUSS
CN
N
2
2030-05-13
Fixed
2.70000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-31025.58000000
-0.00201332169
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
1245410.36000000
USD
18270419.00000000
ZAR
2021-10-01
-31025.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-01-28
N/A
1.00000000
NC
USD
2120.88000000
0.000137628812
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
234691.18000000
EUR
274800.14000000
USD
2022-01-28
2120.88000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.650000% 06/20/2031
N/A
78000000.00000000
PA
2668128.26000000
0.173141018389
Long
DBT
NUSS
TH
N
2
2031-06-20
Fixed
3.65000000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 16.250000% 11/08/2035
V3843WFY1
1123900000.00000000
PA
360180.39000000
0.023372939173
Long
DBT
NUSS
UG
N
2
2035-11-08
Fixed
16.25000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-16292.28000000
-0.00105724375
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
720778.83000000
USD
6494289.37000000
TRY
2021-12-15
-16292.28000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERUVIAN GOVERNMENT INTERNATIONAL BOND 144A 5.700000% 08/12/2024
715638BT8
4932000.00000000
PA
1235268.84000000
0.080159454156
Long
DBT
NUSS
PE
N
2
2024-08-12
Fixed
5.70000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVT INTL BOND 3.250000% 10/19/2023
N/A
1192000.00000000
PA
USD
1261839.33000000
0.081883674752
Long
DBT
NUSS
CN
N
2
2023-10-19
Fixed
3.25000000
N
N
N
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2021-10-13
N/A
1.00000000
NC
-316.70000000
-0.00002055139
N/A
DFE
PE
N
2
CITIGROUP GLOBAL MARKETS
N/A
56215.96000000
USD
230924.50000000
PEN
2021-10-13
-316.70000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.940000% 02/12/2029
N/A
1918000.00000000
PA
466041.32000000
0.030242499945
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-33342.61000000
-0.00216367913
N/A
DFE
MX
N
2
CITIGROUP GLOBAL MARKETS
N/A
1280437.17000000
USD
25897249.00000000
MXN
2021-12-15
-33342.61000000
N
N
N
Nexa Resources S.A.
549300QRMRHM7GAU7L47
NEXA RESOURCES SA 144A 5.375000% 05/04/2027
91832CAA4
2591000.00000000
PA
USD
2720575.91000000
0.176544467792
Long
DBT
NUSS
BR
N
2
2027-05-04
Fixed
5.37500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.100000% 10/16/2024
N/A
107422000.00000000
PA
1475634.31000000
0.095757325850
Long
DBT
NUSS
RU
N
2
2024-10-16
Fixed
7.10000000
N
N
N
N
N
N
UKRANIAN HRYVNIA
N/A
FX Forward Contract: UAH/USD SETTLE 2022-02-16
N/A
1.00000000
NC
1932.87000000
0.000125428408
N/A
DFE
UA
N
2
CITIGROUP GLOBAL MARKETS
N/A
172965.11000000
USD
4808430.18000000
UAH
2022-02-16
1932.87000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 3.050000% 03/12/2051
455780CW4
2378000.00000000
PA
USD
2246448.80000000
0.145777262218
Long
DBT
NUSS
ID
N
2
2051-03-12
Fixed
3.05000000
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2021-12-15
N/A
1.00000000
NC
USD
-61991.88000000
-0.00402279657
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
34097343785.00000000
COP
8844507.10000000
USD
2021-12-15
-61991.88000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 2.650000% 12/10/2045
718286CL9
1071000.00000000
PA
USD
977548.12000000
0.063435360120
Long
DBT
NUSS
PH
N
2
2045-12-10
Fixed
2.65000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.196000% 07/07/2023
N/A
21779000.00000000
PA
1380441.19000000
0.089580023961
Long
DBT
NUSS
EG
N
2
2023-07-07
Fixed
14.19600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2021-11-15
N/A
1.00000000
NC
USD
10975.43000000
0.000712221056
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
2048200.00000000
PLN
526820.87000000
USD
2021-11-15
10975.43000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-3443.78000000
-0.00022347485
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
1067199.35000000
USD
15323915495.00000000
IDR
2021-12-15
-3443.78000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 5.875000% 01/30/2025
P01012AS5
1606000.00000000
PA
USD
1224591.06000000
0.079466548298
Long
DBT
NUSS
SV
N
2
2025-01-30
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2021-10-18
N/A
1.00000000
NC
USD
2254.95000000
0.000146328924
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
16525785.00000000
CNY
2558624.55000000
USD
2021-10-18
2254.95000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-18
N/A
1.00000000
NC
USD
798.33000000
0.000051805481
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1336400.00000000
ZAR
89465.45000000
USD
2021-10-18
798.33000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2021-10-06
N/A
1.00000000
NC
260.37000000
0.000016896011
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
21655886.00000000
RON
4375074.95000000
EUR
2021-10-06
260.37000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.906000% 07/15/2026
N/A
16854000.00000000
PA
4209576.74000000
0.273169178063
Long
DBT
NUSS
MY
N
2
2026-07-15
Fixed
3.90600000
N
N
N
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 1.125000% 03/04/2033
N/A
452000.00000000
PA
521016.63000000
0.033809975055
Long
DBT
NUSS
HR
N
2
2033-03-04
Fixed
1.12500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 7.690000% 01/23/2050
71654QCW0
427000.00000000
PA
USD
404326.30000000
0.026237669452
Long
DBT
NUSS
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2021-12-06
N/A
1.00000000
NC
26884.98000000
0.001744628579
N/A
DFE
CN
N
2
MORGAN STANLEY & CO, INC
N/A
6938943.49000000
USD
45186400.00000000
CNY
2021-12-06
26884.98000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 6.350000% 06/28/2024
85227SBA3
864000.00000000
PA
USD
547931.52000000
0.035556544564
Long
DBT
NUSS
LK
N
2
2024-06-28
Fixed
6.35000000
N
N
N
N
N
N
THE BIDVEST GROUP (UK) PLC
984500A80C777F496830
BIDVEST GROUP UK PLC/THE 144A 3.625000% 09/23/2026
88332EAA1
344000.00000000
PA
USD
343759.20000000
0.022307330146
Long
DBT
NUSS
ZA
N
2
2026-09-23
Fixed
3.62500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 2.659000% 05/24/2031
91087BAM2
1940000.00000000
PA
USD
1871576.20000000
0.121450911532
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2021-12-20
N/A
1.00000000
NC
-40886.32000000
-0.00265320793
N/A
DFE
TH
N
2
DEUTSCHE BANK SECURITIES, INC.
N/A
1545983.19000000
USD
50938600.00000000
THB
2021-12-20
-40886.32000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 7.375000% 10/28/2032
68205LAE3
701000.00000000
PA
USD
797802.49000000
0.051771250154
Long
DBT
NUSS
OM
N
2
2032-10-28
Fixed
7.37500000
N
N
N
N
N
N
ORYX FUNDING LIMITED
549300S728CF0BBRC295
ORYX FUNDING LTD 144A 5.800000% 02/03/2031
67114NAA9
204000.00000000
PA
USD
215695.73000000
0.013996995164
Long
DBT
NUSS
OM
N
2
2031-02-03
Fixed
5.80000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 5.950000% 01/28/2031
71654QCZ3
540000.00000000
PA
USD
523476.00000000
0.033969569267
Long
DBT
NUSS
MX
N
2
2031-01-28
Fixed
5.95000000
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
548430.00000000
0.035588892085
Long
DBT
NUSS
TR
N
2
2026-03-14
Fixed
6.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-11-03
N/A
1.00000000
NC
USD
5915.97000000
0.000383900986
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1908958.00000000
BRL
354673.28000000
USD
2021-11-03
5915.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-11-03
N/A
1.00000000
NC
USD
12368.56000000
0.000802624486
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1308844.00000000
BRL
251487.97000000
USD
2021-11-03
12368.56000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2021-11-22
N/A
1.00000000
NC
-55479.89000000
-0.00360021847
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
10436541.71000000
USD
12291637000.00000000
KRW
2021-11-22
-55479.89000000
N
N
N
Republic of Armenia
5299000H77JSW90G7935
REPUBLIC OF ARMENIA INTERNATIONAL BOND 144A 3.600000% 02/02/2031
042207AD2
449000.00000000
PA
USD
423182.50000000
0.027461291915
Long
DBT
NUSS
AM
N
2
2031-02-02
Fixed
3.60000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.960%
N/A
2569904926.00000000
NC
1887.81000000
0.000122504360
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2021-12-12
0.00000000
CLP
0.00000000
CLP
-2569904926.00000000
CLP
1887.81000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-06-30
N/A
1.00000000
NC
-185.32000000
-0.00001202584
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
708300.13000000
RON
139714.85000000
EUR
2022-06-30
-185.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2021-12-15
N/A
1.00000000
NC
USD
101.60000000
0.000006593059
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
219516.97000000
PEN
53261.43000000
USD
2021-12-15
101.60000000
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
TULLOW OIL PLC 144A 7.000000% 03/01/2025
899415AE3
783000.00000000
PA
USD
679252.50000000
0.044078266909
Long
DBT
NUSS
GH
N
2
2025-03-01
Fixed
7.00000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 2.252000% 09/29/2032
698299BN3
6892000.00000000
PA
USD
6484131.44000000
0.420770297186
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25200000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
REPUBLIC OF POLAND 5.000000% 03/23/2022
857524AB8
1871000.00000000
PA
USD
1910938.37000000
0.124005213850
Long
DBT
NUSS
PL
N
2
2022-03-23
Fixed
5.00000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-2642.25000000
-0.00017146171
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
497647.53000000
USD
7130791483.00000000
IDR
2021-12-15
-2642.25000000
N
N
N
OOREDOO INTERNATIONAL FINANCE LIMITED
549300BHXCDJ03WU7N77
OOREDOO INTERNATIONAL FINANCE LTD MTN 2.625000% 04/08/2031
74735KAA0
363000.00000000
PA
USD
369621.12000000
0.023985569994
Long
DBT
NUSS
QA
N
2
2031-04-08
Fixed
2.62500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 9.000000% 01/31/2040
N/A
62828901.00000000
PA
3568292.87000000
0.231554783435
Long
DBT
NUSS
ZA
N
2
2040-01-31
Fixed
9.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 5.000000% 04/27/2051
91087BAL4
1632000.00000000
PA
USD
1789716.48000000
0.116138844830
Long
DBT
NUSS
MX
N
2
2051-04-27
Fixed
5.00000000
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 8.000000% 11/26/2029
N/A
2097000.00000000
PA
USD
2145482.64000000
0.139225334402
Long
DBT
NUSS
AO
N
2
2029-11-26
Fixed
8.00000000
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
236039.28000000
0.015317135211
Long
DBT
NUSS
JO
N
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
N/A
N/A
SEI LIQUIDITY FUND
N/A
50688951.02400000
NS
USD
50698507.76000000
3.289943514331
Long
EC
US
N
2
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 3.750000% 06/14/2028
N/A
307000.00000000
PA
419713.14000000
0.027236157114
Long
DBT
NUSS
ID
N
2
2028-06-14
Fixed
3.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 2.150000% 07/28/2031
455780CY0
660000.00000000
PA
USD
644240.30000000
0.041806244213
Long
DBT
NUSS
ID
N
2
2031-07-28
Fixed
2.15000000
N
N
N
N
N
N
HAZINE MUSTESARLIGI VARLIK KIRALAMA ANONIM SIRKETI
6354003QFJP7RDXEOZ20
HAZINE MUSTESARLIGI VARLIK KIRALAMA AS 144A 5.125000% 06/22/2026
421790AG1
855000.00000000
PA
USD
844620.30000000
0.054809366208
Long
DBT
NUSS
TR
N
2
2026-06-22
Fixed
5.12500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.000000% 10/25/2023
N/A
3430000.00000000
PA
818220.80000000
0.053096241550
Long
DBT
NUSS
RO
N
2
2023-10-25
Fixed
4.00000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.850000% 01/27/2045
P3579EBE6
1386000.00000000
PA
USD
1545403.86000000
0.100284833437
Long
DBT
NUSS
DO
N
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-163544.93000000
-0.01061280904
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
9731971.68000000
USD
209626670.00000000
CZK
2021-12-15
-163544.93000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2021-11-15
N/A
1.00000000
NC
-128.34000000
-0.00000832827
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
46396.76000000
USD
198000.00000000
RON
2021-11-15
-128.34000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.400000% 04/16/2050
74727PBE0
2071000.00000000
PA
USD
2524010.54000000
0.163788885966
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.000000% 03/14/2029
N/A
267000.00000000
PA
USD
303378.75000000
0.019686949282
Long
DBT
NUSS
QA
N
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
Blossom Joy Limited
300300LGCJ91O86HIU38
BLOSSOM JOY LTD 3.100000% MATURITY: PERPETUAL
N/A
202000.00000000
PA
USD
207238.76000000
0.013448202807
Long
DBT
NUSS
CN
N
2
2170-04-21
Fixed
3.10000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.350000% 08/12/2028
P78024AC3
5940000.00000000
PA
1483977.55000000
0.096298738005
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
Sociedad Quimica y Minera de Chile S.A.
TJ88LXZZW5PWIN93ZC81
SOCIEDAD QUIMICA Y MINERA DE CHILE SA 144A 3.500000% 09/10/2051
833636AL7
1495000.00000000
PA
USD
1441180.00000000
0.093521505927
Long
DBT
NUSS
CL
N
2
2051-09-10
Fixed
3.50000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.250000% 10/22/2030
N/A
1567000.00000000
PA
USD
1677197.71000000
0.108837241411
Long
DBT
NUSS
SA
N
2
2030-10-22
Fixed
3.25000000
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
677490.95000000
0.043963955852
Long
DBT
NUSS
XX
N
2
2022-12-13
Fixed
6.45000000
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
2380000.00000000
PA
USD
2928675.68000000
0.190048543531
Long
DBT
NUSS
AZ
N
2
2030-03-18
Fixed
6.95000000
N
N
N
N
N
N
ENN Clean Energy International Investment Limited
3003009YZ3S5V395NR77
ENN CLEAN ENERGY INTERNATIONAL INVESTMENT LTD 144A 3.375000% 05/12/2026
268733AA0
647000.00000000
PA
USD
651912.14000000
0.042304087667
Long
DBT
NUSS
CN
N
2
2026-05-12
Fixed
3.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2021-12-15
N/A
1.00000000
NC
USD
15013.35000000
0.000974251031
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
3116286.00000000
RON
741969.32000000
USD
2021-12-15
15013.35000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.125000% 06/15/2042
N/A
1189000000.00000000
PA
84569.57000000
0.005487915140
Long
DBT
NUSS
ID
N
2
2042-06-15
Fixed
7.12500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.625000% 04/16/2030
N/A
732000.00000000
PA
809971.98000000
0.052560956527
Long
DBT
NUSS
EG
N
2
2030-04-16
Fixed
5.62500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.382000% 01/12/2031
BN4651095
9502000.00000000
PA
594384.37000000
0.038570977519
Long
DBT
NUSS
EG
N
2
2031-01-12
Fixed
14.38200000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.124000% 07/16/2031
N/A
158000.00000000
PA
182674.62000000
0.011854178906
Long
DBT
NUSS
RO
N
2
2031-07-16
Fixed
2.12400000
N
N
N
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-22112.14000000
-0.00143490794
N/A
DFE
PE
N
2
CITIGROUP GLOBAL MARKETS
N/A
6826073.88000000
USD
28096120.11000000
PEN
2021-12-15
-22112.14000000
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 4.125000% 07/19/2027
N/A
713000.00000000
PA
USD
777183.95000000
0.050433265370
Long
DBT
NUSS
CN
N
2
2027-07-19
Fixed
4.12500000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 1.875000% 09/15/2031
29135LAQ3
941000.00000000
PA
USD
917661.32000000
0.059549167055
Long
DBT
NUSS
AE
N
2
2031-09-15
Fixed
1.87500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.1%
N/A
95000000.00000000
NC
14651.06000000
0.000950741194
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-03-10
0.00000000
THB
0.00000000
THB
-95000000.00000000
THB
14651.06000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.232000% 06/30/2031
N/A
1200000.00000000
PA
304055.60000000
0.019730871645
Long
DBT
NUSS
MY
N
2
2031-06-30
Fixed
4.23200000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-21645.77000000
-0.00140464411
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
1327499.94000000
USD
19646576.00000000
ZAR
2021-10-01
-21645.77000000
N
N
N
MEITUAN
21380033K525E5JLIA77
MEITUAN 3.050000% 10/28/2030
G59669AC8
204000.00000000
PA
USD
189172.25000000
0.012275825156
Long
DBT
NUSS
CN
N
2
2030-10-28
Fixed
3.05000000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2021-10-25
N/A
1.00000000
NC
651.97000000
0.000042307842
N/A
DFE
CO
N
2
JP MORGAN
N/A
110357.72000000
USD
423575000.00000000
COP
2021-10-25
651.97000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-1630.66000000
-0.00010581730
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
1146679.05000000
USD
16494978156.00000000
IDR
2021-12-15
-1630.66000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.817000% 03/14/2049
74727PBB6
1036000.00000000
PA
USD
1330866.32000000
0.086362995902
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2021-12-20
N/A
1.00000000
NC
-180.54000000
-0.00001171565
N/A
DFE
RU
N
2
BARCLAYS CAPITAL INC.
N/A
187948.00000000
USD
13871530.27000000
RUB
2021-12-20
-180.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
-824.92000000
-0.00005353096
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
7541525.00000000
ZAR
500439.62000000
USD
2021-10-01
-824.92000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.130000% 11/21/2029
N/A
6500000.00000000
PA
1019034.09000000
0.066127480736
Long
DBT
NUSS
CN
N
2
2029-11-21
Fixed
3.13000000
N
N
N
N
N
N
POWERTEK INVESTMENT HOLDINGS SDN. BHD.
N/A
1MDB ENERGY LTD 5.990000% 05/11/2022
N/A
1000000.00000000
PA
USD
1023220.06000000
0.066399118018
Long
DBT
NUSS
MY
N
2
2022-05-11
Fixed
5.99000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.150000% 01/26/2028
N/A
8360000.00000000
PA
1995459.16000000
0.129489963543
Long
DBT
NUSS
RO
N
2
2028-01-26
Fixed
4.15000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 5.875000% 02/08/2028
N/A
38770000.00000000
PA
448299.74000000
0.029091207754
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.87500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.650000% 07/28/2025
N/A
13645000.00000000
PA
3207457.11000000
0.208139315786
Long
DBT
NUSS
RO
N
2
2025-07-28
Fixed
3.65000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.1% 10/04/2022
N/A
569000.00000000
PA
USD
93953.28000000
0.006096845801
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
Y
N
N
N
N
N
ANGLOGOLD ASHANTI HOLDINGS PLC
213800745ZIXC4L6A131
ANGLOGOLD ASHANTI HOLDINGS PLC 3.750000% 10/01/2030
03512TAE1
229000.00000000
PA
USD
234949.42000000
0.015246411673
Long
DBT
NUSS
IM
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT TREASURY BILL ZERO COUPON 10/05/2021
BN2902755
95375000.00000000
PA
6061169.71000000
0.393323331548
Long
DBT
NUSS
EG
N
2
2021-10-05
Fixed
0.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 6.500000% 06/09/2022
EJ0234298
8698000.00000000
PA
425765.71000000
0.027628922390
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
6.50000000
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
95833127.00000000
NC
-78508.04000000
-0.00509456842
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2024-06-19
0.00000000
MXN
0.00000000
MXN
-95833127.00000000
MXN
-78508.04000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-12523.47000000
-0.00081267695
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
621769.57000000
USD
525688.00000000
EUR
2021-10-04
-12523.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-01-28
N/A
1.00000000
NC
USD
36971.02000000
0.002399135060
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
224737900.00000000
JPY
2054019.74000000
USD
2022-01-28
36971.02000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.840000% 01/23/2030
P78625DX8
2693000.00000000
PA
USD
2781572.77000000
0.180502695219
Long
DBT
NUSS
MX
N
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-11-03
N/A
1.00000000
NC
-21904.04000000
-0.00142140385
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
2405419.80000000
USD
2055687.00000000
EUR
2021-11-03
-21904.04000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
4693020.00000000
NC
-27855.82000000
-0.00180762863
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-4693020.00000000
BRL
-27855.82000000
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
557375.00000000
0.036169353839
Long
DBT
NUSS
AE
N
2
2043-01-30
Fixed
5.25000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-11-15
N/A
1.00000000
NC
-127580.77000000
-0.00827901146
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
4804336.02000000
USD
70757300.00000000
ZAR
2021-11-15
-127580.77000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 6.375000% 02/11/2027
N/A
1016000.00000000
PA
USD
955294.00000000
0.061991238765
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.37500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 3.125000% 05/15/2027
N/A
320000.00000000
PA
407187.90000000
0.026423365300
Long
DBT
NUSS
RS
N
2
2027-05-15
Fixed
3.12500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.625000% 02/21/2047
105756BY5
709000.00000000
PA
USD
710205.30000000
0.046086865744
Long
DBT
NUSS
BR
N
2
2047-02-21
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-10-22
N/A
1.00000000
NC
USD
23141.72000000
0.001501719774
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
97268675350.00000000
IDR
6812008.92000000
USD
2021-10-22
23141.72000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-11-03
N/A
1.00000000
NC
USD
27362.28000000
0.001775601681
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
6680038.00000000
BRL
1247772.61000000
USD
2021-11-03
27362.28000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.642000% 11/07/2033
N/A
500000.00000000
PA
128319.33000000
0.008326938329
Long
DBT
NUSS
MY
N
2
2033-11-07
Fixed
4.64200000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2021-11-03
N/A
1.00000000
NC
-36478.25000000
-0.00236715807
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1239400.28000000
USD
6584314.00000000
BRL
2021-11-03
-36478.25000000
N
N
N
Instituto Costarricense de Electricidad
5493009VA6AFUB2Q0289
INSTITUTO COSTARRICENSE DE ELECTRICIDAD 6.375000% 05/15/2043
P56226AQ9
250000.00000000
PA
USD
217187.50000000
0.014093799572
Long
DBT
NUSS
CR
N
2
2043-05-15
Fixed
6.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3000000.00000000
NC
34872.46000000
0.002262954644
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-3000000.00000000
BRL
34872.46000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.500000% 02/28/2041
N/A
23055000.00000000
PA
1000046.06000000
0.064895303520
Long
DBT
NUSS
ZA
N
2
2041-02-28
Fixed
6.50000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.000000% 04/14/2033
N/A
530000.00000000
PA
585558.32000000
0.037998234706
Long
DBT
NUSS
RO
N
2
2033-04-14
Fixed
2.00000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.875000% 02/11/2035
N/A
1114000.00000000
PA
USD
1001352.32000000
0.064980069755
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.87500000
N
N
N
N
N
N
POWER FINANCE CORPORATION LIMITED
3358003Q6D9LIJJZ1614
POWER FINANCE CORP LTD MTN 3.950000% 04/23/2030
73928QAB4
569000.00000000
PA
USD
581284.44000000
0.037720892741
Long
DBT
NUSS
IN
N
2
2030-04-23
Fixed
3.95000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 5.875000% 04/18/2024
25714PBY3
71000.00000000
PA
USD
75118.00000000
0.004874580886
Long
DBT
NUSS
DO
N
2
2024-04-18
Fixed
5.87500000
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
718217.88000000
0.046606820606
Long
DBT
NUSS
LK
N
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-11-15
N/A
1.00000000
NC
USD
-13901.90000000
-0.00090212646
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
13935125507.00000000
IDR
956721.40000000
USD
2021-11-15
-13901.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2021-12-15
N/A
1.00000000
NC
USD
31739.14000000
0.002059626257
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
927675163.00000000
CLP
1166887.00000000
USD
2021-12-15
31739.14000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 06/03/2027
N/A
139959000.00000000
PA
6920730.54000000
0.449102223329
Long
DBT
NUSS
MX
N
2
2027-06-03
Floating
7.49999880
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 6.876000% 05/21/2029
N/A
3069000.00000000
PA
USD
3110216.67000000
0.201829158563
Long
DBT
NUSS
UA
N
2
2029-05-21
Fixed
6.87600000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2021-12-13
N/A
1.00000000
NC
-589.42000000
-0.00003824882
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
125182.22000000
USD
687000.00000000
BRL
2021-12-13
-589.42000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/11/2025
N/A
457000.00000000
PA
538908.85000000
0.034971042624
Long
DBT
NUSS
EG
N
2
2025-04-11
Fixed
4.75000000
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
62887.50000000
0.004080915433
Long
DBT
NUSS
LB
N
2
2029-05-25
Fixed
6.85000000
Y
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 5.875000% 02/24/2026
N/A
1842000.00000000
PA
USD
1724738.28000000
0.111922259035
Long
DBT
NUSS
BY
N
2
2026-02-24
Fixed
5.87500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.250000% 01/25/2031
N/A
793000.00000000
PA
USD
847615.50000000
0.055003731669
Long
DBT
NUSS
OM
N
2
2031-01-25
Fixed
6.25000000
N
N
N
N
N
N
Republique Gabonaise
N/A
REPUBLIC OF GABON 6.375000% 12/12/2024
N/A
1084303.00000000
PA
USD
1152245.43000000
0.074771872917
Long
DBT
NUSS
GA
N
2
2024-12-12
Fixed
6.37500000
N
N
N
N
N
N
NBK SPC LIMITED
549300P1ANDK86KWB419
NBK SPC LTD 144A 1.625000% 09/15/2027
62877PAB0
680000.00000000
PA
USD
671500.00000000
0.043575189240
Long
DBT
NUSS
KW
N
2
2027-09-15
Fixed
1.62500000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 2.739000% 01/29/2033
P75744AK1
674000.00000000
PA
USD
647040.00000000
0.041987923226
Long
DBT
NUSS
PY
N
2
2033-01-29
Fixed
2.73900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2021-12-15
N/A
1.00000000
NC
USD
-1464.74000000
-0.00009505036
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
3512271.59000000
PEN
849092.61000000
USD
2021-12-15
-1464.74000000
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 2.480000% 01/28/2032
Y6886MAE0
1266000.00000000
PA
USD
1258822.79000000
0.081687924489
Long
DBT
NUSS
MY
N
2
2032-01-28
Fixed
2.48000000
N
N
N
N
N
N
Qatar Petroleum
254900QTESJKJ3P87J26
QATAR PETROLEUM 144A 2.250000% 07/12/2031
74730DAC7
3226000.00000000
PA
USD
3195030.40000000
0.207332917811
Long
DBT
NUSS
QA
N
2
2031-07-12
Fixed
2.25000000
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
832571.25000000
0.054027475465
Long
DBT
NUSS
CN
N
2
2170-09-03
Fixed
3.37500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 12/05/2024
N/A
165575000.00000000
PA
8835367.95000000
0.573347476447
Long
DBT
NUSS
MX
N
2
2024-12-05
Floating
10.00000080
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 5.400000% 08/12/2034
N/A
1243000.00000000
PA
259346.12000000
0.016829570004
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
5.40000000
N
N
N
N
N
N
EXPORT-IMPORT BANK OF INDIA
335800OFZ8YEIVN1QI11
EXPORT-IMPORT BANK OF INDIA MTN 3.250000% 01/15/2030
30216KAE2
1060000.00000000
PA
USD
1075168.15000000
0.069770149816
Long
DBT
NUSS
IN
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
Republic of North Macedonia
529900FA29F5OY2J7P74
NORTH MACEDONIA 1.625000% 03/10/2028
N/A
296000.00000000
PA
334379.66000000
0.021698670086
Long
DBT
NUSS
MK
N
2
2028-03-10
Fixed
1.62500000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 5.875000% 01/30/2060
25714PEE4
75000.00000000
PA
USD
73388.25000000
0.004762333405
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
Iochpe-Maxion Austria GmbH
529900AOUL9V2EKUEZ41
IOCHPE-MAXION AUSTRIA GMBH / MAXION WHEELS DE MEXI 5.000000% 05/07/2028
46188AAA2
581000.00000000
PA
USD
580419.00000000
0.037664732336
Long
DBT
NUSS
BR
N
2
2028-05-07
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2021-12-15
N/A
1.00000000
NC
USD
157553.47000000
0.010224009338
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
31943368.00000000
RON
7609187.23000000
USD
2021-12-15
157553.47000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-06-30
N/A
1.00000000
NC
-816.87000000
-0.00005300858
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
1566240.00000000
RON
308597.44000000
EUR
2022-06-30
-816.87000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 1.750000% 06/05/2035
N/A
265000.00000000
PA
322170.71000000
0.020906403061
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/CNY SETTLE 2021-10-18
N/A
1.00000000
NC
USD
1323.11000000
0.000085859670
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
4278633.00000000
CNY
663183.79000000
USD
2021-10-18
1323.11000000
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
675195.90000000
0.043815024746
Long
DBT
NUSS
ID
N
2
2023-11-15
Fixed
5.71000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-05
N/A
1.00000000
NC
USD
16035.61000000
0.001040587848
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
509369.00000000
EUR
606377.71000000
USD
2021-10-05
16035.61000000
N
N
N
MV24 CAPITAL B.V
N/A
MV24 CAPITAL BV 144A 6.748000% 06/01/2034
55388RAA4
649903.91000000
PA
USD
686142.55000000
0.044525378201
Long
DBT
NUSS
BR
N
2
2034-06-01
Fixed
6.74800000
N
N
N
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
SASOL FINANCING USA LLC 4.375000% 09/18/2026
80386WAC9
351000.00000000
PA
USD
356107.05000000
0.023108610712
Long
DBT
CORP
ZA
N
2
2026-09-18
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: ZMW/USD SETTLE 2022-02-16
N/A
1.00000000
NC
2392.93000000
0.000155282766
N/A
DFE
ZM
N
2
STANDARD BANK
N/A
173003.99000000
USD
3148672.67000000
ZMW
2022-02-16
2392.93000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-01-28
N/A
1.00000000
NC
-3913.48000000
-0.00025395477
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
286227.83000000
USD
242983.97000000
EUR
2022-01-28
-3913.48000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND 144A 4.375000% 04/16/2029
80413TAK5
1514000.00000000
PA
USD
1743028.84000000
0.113109175808
Long
DBT
NUSS
SA
N
2
2029-04-16
Fixed
4.37500000
N
N
N
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 04/08/2026
N/A
2441000.00000000
PA
USD
2425743.75000000
0.157412126517
Long
DBT
NUSS
PK
N
2
2026-04-08
Fixed
6.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
87650000.00000000
PA
4068219.43000000
0.263996175034
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
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
1809000.00000000
PA
1397269.18000000
0.090672031182
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT 7.158000% 03/12/2045
P3699PGJ0
2407000.00000000
PA
USD
2403991.25000000
0.156000556444
Long
DBT
NUSS
CR
N
2
2045-03-12
Fixed
7.15800000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.875000% 06/26/2031
900123DC1
1788000.00000000
PA
USD
1677873.50000000
0.108881094988
Long
DBT
NUSS
TR
N
2
2031-06-26
Fixed
5.87500000
N
N
N
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 5.125000% 03/14/2028
N/A
246000.00000000
PA
USD
281001.42000000
0.018234832544
Long
DBT
NUSS
CN
N
2
2028-03-14
Fixed
5.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
5574.48000000
0.000361740909
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
415587.00000000
EUR
487219.03000000
USD
2021-10-04
5574.48000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2021-12-15
N/A
1.00000000
NC
-18464.43000000
-0.00119819960
N/A
DFE
HU
N
2
MERRILL LYNCH
N/A
1038220.18000000
EUR
368566700.00000000
HUF
2021-12-15
-18464.43000000
N
N
N
GALAXY PIPELINE ASSETS BIDCO LIMITED
549300L82YB0C6JQIC26
GALAXY PIPELINE ASSETS BIDCO LTD 144A 2.625000% 03/31/2036
36321PAB6
580000.00000000
PA
USD
570995.78000000
0.037053237779
Long
DBT
NUSS
AE
N
2
2036-03-31
Fixed
2.62500000
N
N
N
N
N
N
BRK: MORGAN STANLEY & CO
N/A
BRK: MORGAN STANLEY & CO PAY: 5.145% FIXED
N/A
200000000.00000000
NC
11701.19000000
0.000759317302
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY & CO
N/A
Y
2026-08-27
0.00000000
INR
0.00000000
INR
-200000000.00000000
INR
11701.19000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 7.903000% 02/21/2048
N/A
762000.00000000
PA
USD
695325.00000000
0.045121248635
Long
DBT
NUSS
EG
N
2
2048-02-21
Fixed
7.90300000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.200000% 07/06/2046
718286CP0
1971000.00000000
PA
USD
1936314.66000000
0.125651940043
Long
DBT
NUSS
PH
N
2
2046-07-06
Fixed
3.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2021-10-01
N/A
1.00000000
NC
USD
-1785.46000000
-0.00011586263
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
2783176099.00000000
KRW
2348870.03000000
USD
2021-10-01
-1785.46000000
N
N
N
FIRST QUANTUM MINERALS LTD.
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 144A 6.875000% 10/15/2027
335934AT2
529000.00000000
PA
USD
559417.50000000
0.036301896391
Long
DBT
NUSS
ZM
N
2
2027-10-15
Fixed
6.87500000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 13.000000% 12/18/2027
AQ3216613
5630000.00000000
PA
228239.43000000
0.014810984891
Long
DBT
NUSS
ZM
N
2
2027-12-18
Fixed
13.00000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2021-10-25
N/A
1.00000000
NC
-8783.41000000
-0.00056997580
N/A
DFE
SG
N
2
GOLDMAN, SACHS & CO.
N/A
2442592.73000000
USD
3303763.00000000
SGD
2021-10-25
-8783.41000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.000000% 10/13/2033
N/A
46630000.00000000
PA
2103629.87000000
0.136509411285
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
2.00000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2026
903724AT9
169000.00000000
PA
USD
183253.12000000
0.011891719110
Long
DBT
NUSS
UA
N
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2025
903724AS1
2103000.00000000
PA
USD
2284446.84000000
0.148243042984
Long
DBT
NUSS
UA
N
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 4.000000% 12/15/2050
N/A
1049000.00000000
PA
USD
956897.80000000
0.062095313059
Long
DBT
NUSS
MA
N
2
2050-12-15
Fixed
4.00000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2021-10-06
N/A
1.00000000
NC
4526.24000000
0.000293718189
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
516287.82000000
EUR
2575001.00000000
RON
2021-10-06
4526.24000000
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD 6.500000% 01/26/2026
N/A
206000.00000000
PA
USD
165322.47000000
0.010728157730
Long
DBT
NUSS
CN
N
2
2026-01-26
Fixed
6.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.625000% 05/15/2023
N/A
1885000000.00000000
PA
135193.19000000
0.008772999014
Long
DBT
NUSS
ID
N
2
2023-05-15
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-11-15
N/A
1.00000000
NC
USD
-9388.15000000
-0.00060921878
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
7077632333.00000000
IDR
483590.17000000
USD
2021-11-15
-9388.15000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 0.995%
N/A
91000000.00000000
NC
25606.09000000
0.001661638447
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-03-01
0.00000000
THB
0.00000000
THB
-91000000.00000000
THB
25606.09000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.600000% 01/28/2024
P3579EAT4
656000.00000000
PA
USD
722590.56000000
0.046890573932
Long
DBT
NUSS
DO
N
2
2024-01-28
Fixed
6.60000000
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.000000% 01/31/2030
N/A
40088000.00000000
PA
2475635.92000000
0.160649744907
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
R213 BOND FUTURE NOV21 FINANCIAL COMMODITY FUTURE.
N/A
837.00000000
NC
4741269.81000000
0.307671972022
N/A
DIR
ZA
N
1
BARCLAYS CAPITAL INC - NY
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R213 Bond Future Nov 2021
2021-11-07
4842819.63000000
ZAR
-101549.82000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 7.500000% 03/31/2030
N/A
1429.20000000
PA
USD
1657.87000000
0.000107583021
Long
DBT
NUSS
RU
N
2
2030-03-31
Fixed
7.50000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-105.33000000
-0.00000683510
N/A
DFE
MY
N
2
STANDARD BANK
N/A
176385.72000000
USD
737997.87000000
MYR
2021-10-01
-105.33000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 02/15/2031
N/A
43827000000.00000000
PA
3094301.03000000
0.200796355846
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2021-12-28
N/A
1.00000000
NC
-572.07000000
-0.00003712294
N/A
DFE
TH
N
2
DEUTSCHE BANK SECURITIES, INC.
N/A
325767.22000000
USD
11006013.00000000
THB
2021-12-28
-572.07000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.844000% 06/20/2030
715638DA7
173000.00000000
PA
USD
174401.30000000
0.011317304022
Long
DBT
NUSS
PE
N
2
2030-06-20
Fixed
2.84400000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 5.375000% 04/24/2030
N/A
3728000.00000000
PA
USD
4394380.00000000
0.285161489346
Long
DBT
NUSS
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY BRL - CETIP
N/A
5579011.00000000
NC
-37830.70000000
-0.00245492168
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-5579011.00000000
BRL
-37830.70000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-12-22
N/A
1.00000000
NC
-14651.81000000
-0.00095078986
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
361764.45000000
USD
3211383.00000000
TRY
2021-12-22
-14651.81000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-11-03
N/A
1.00000000
NC
-4761.46000000
-0.00030898216
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
594228.80000000
USD
508392.00000000
EUR
2021-11-03
-4761.46000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-52.89000000
-0.00000343215
N/A
DFE
MY
N
2
STANDARD BANK
N/A
88556.59000000
USD
370520.76000000
MYR
2021-10-01
-52.89000000
N
N
N
Joint Stock Company Development Bank of Kazakhstan
213800LCDPGJ1BI7KX98
DEVELOPMENT BANK OF KAZAKHSTAN JSC 144A 2.950000% 05/06/2031
25159XAD5
465000.00000000
PA
USD
467464.50000000
0.030334853389
Long
DBT
NUSS
KZ
N
2
2031-05-06
Fixed
2.95000000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 6.450000% 05/30/2044
69370RAA5
959000.00000000
PA
USD
1249529.24000000
0.081084844519
Long
DBT
NUSS
ID
N
2
2044-05-30
Fixed
6.45000000
N
N
N
N
N
N
Joint Stock Company KazTransGas
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 4.375000% 09/26/2027
N/A
1205000.00000000
PA
USD
1326473.64000000
0.086077944729
Long
DBT
NUSS
KZ
N
2
2027-09-26
Fixed
4.37500000
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
737000.00000000
PA
USD
736535.69000000
0.047795505695
Long
DBT
NUSS
PK
N
2
2021-10-13
Fixed
5.50000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 3.750000% 04/16/2030
N/A
1557000.00000000
PA
USD
1752842.57000000
0.113746011462
Long
DBT
NUSS
QA
N
2
2030-04-16
Fixed
3.75000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.000000% 04/17/2025
N/A
2038000.00000000
PA
USD
2229042.12000000
0.144647702464
Long
DBT
NUSS
SA
N
2
2025-04-17
Fixed
4.00000000
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
3507000.00000000
PA
USD
4135103.70000000
0.268336450124
Long
DBT
NUSS
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2021-12-15
N/A
1.00000000
NC
USD
-274.64000000
-0.00001782202
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
658550.95000000
PEN
159204.87000000
USD
2021-12-15
-274.64000000
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
455859.00000000
0.029581745632
Long
DBT
NUSS
KZ
N
2
2030-08-15
Fixed
3.25000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 7.000000% 01/25/2051
N/A
200000.00000000
PA
USD
202855.60000000
0.013163769409
Long
DBT
NUSS
OM
N
2
2051-01-25
Fixed
7.00000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-136912.34000000
-0.00888455863
N/A
DFE
HU
N
2
MERRILL LYNCH
N/A
2949580.55000000
USD
873710001.71000000
HUF
2021-12-15
-136912.34000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.950000% 05/15/2030
N/A
5530000.00000000
PA
230595.38000000
0.014963867939
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 PAY:28D MEXICAN INTERBANK RATE (TIIE)
N/A
123473362.00000000
NC
-111478.60000000
-0.00723410438
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-02-22
0.00000000
MXN
0.00000000
MXN
-123473362.00000000
MXN
-111478.60000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-1456.84000000
-0.00009453771
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
626730.16000000
USD
9007365788.00000000
IDR
2021-12-15
-1456.84000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2025
EK0169285
46744000.00000000
PA
8518791.48000000
0.552804096567
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
10.00000000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 4.950000% 04/28/2031
P75744AJ4
880000.00000000
PA
USD
992640.00000000
0.064414707145
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
4.95000000
N
N
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN INTERNATIONAL BOND 144A 3.900000% 10/19/2031
91822Q2E6
1363000.00000000
PA
USD
1325735.58000000
0.086030050308
Long
DBT
NUSS
UZ
N
2
2031-10-19
Fixed
3.90000000
N
N
N
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 04/08/2026
695847AS2
462000.00000000
PA
USD
459112.50000000
0.029792872777
Long
DBT
NUSS
PK
N
2
2026-04-08
Fixed
6.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.850000% 02/12/2042
715638BL5
613000.00000000
PA
138701.89000000
0.009000686678
Long
DBT
NUSS
PE
N
2
2042-02-12
Fixed
6.85000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.125000% 02/17/2028
900123CP3
242000.00000000
PA
USD
229416.00000000
0.014887335241
Long
DBT
NUSS
TR
N
2
2028-02-17
Fixed
5.12500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.690000% 01/23/2050
71654QDD1
680000.00000000
PA
USD
643892.00000000
0.041783642219
Long
DBT
NUSS
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
15624975.00000000
NC
-30810.28000000
-0.00199935038
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
-15624975.00000000
BRL
-30810.28000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICAN UDIBONOS 3.5% 11/16/2023
N/A
66254401.26000000
PA
3330666.75000000
0.216134674504
Long
DBT
NUSS
MX
N
2
2023-11-16
Fixed
3.50000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.350000% 08/12/2040
N/A
708000.00000000
PA
135836.07000000
0.008814716985
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.720000% 04/12/2051
N/A
20100000.00000000
PA
3285940.90000000
0.213232310576
Long
DBT
NUSS
CN
N
2
2051-04-12
Fixed
3.72000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.650000% 09/27/2047
836205AX2
946000.00000000
PA
USD
899646.00000000
0.058380111243
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
4807975.00000000
NC
-66643.75000000
-0.00432466718
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-4807975.00000000
BRL
-66643.75000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 8.700200% 03/01/2049
N/A
600000.00000000
PA
USD
582039.60000000
0.037769896821
Long
DBT
NUSS
EG
N
2
2049-03-01
Fixed
8.70020000
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
57500.00000000
0.003731308088
Long
DBT
NUSS
VE
N
2
2035-05-17
Fixed
9.75000000
Y
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.150000% 10/24/2030
N/A
670000.00000000
PA
156477.60000000
0.010154193644
Long
DBT
NUSS
RO
N
2
2030-10-24
Fixed
4.15000000
N
N
N
N
N
N
Studio City Finance Limited
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD 144A 6.500000% 01/15/2028
86389QAF9
371000.00000000
PA
USD
363873.09000000
0.023612567023
Long
DBT
NUSS
MO
N
2
2028-01-15
Fixed
6.50000000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.375000% 01/23/2031
917288BK7
4404834.00000000
PA
USD
5093001.22000000
0.330496637327
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
BANCO NACIONAL DE PANAMA
529900H2Q7WMDKKIW109
BANCO NACIONAL DE PANAMA 144A 2.500000% 08/11/2030
059626AC5
791000.00000000
PA
USD
758569.00000000
0.049225298179
Long
DBT
NUSS
PA
N
2
2030-08-11
Fixed
2.50000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND 144A 5.250000% 01/16/2050
80413TAL3
869000.00000000
PA
USD
1123912.46000000
0.072933280915
Long
DBT
NUSS
SA
N
2
2050-01-16
Fixed
5.25000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.850000% 06/04/2027
N/A
41980000.00000000
PA
6502559.96000000
0.421966166503
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
JANUB GAZ DAHLIZI GAPALI SAHMDAR JAMIYYATI
213800DG58KG59XY6318
Southern Gas Corridor CJSC 6.875000% 03/24/2026
84302LAB8
1437000.00000000
PA
USD
1690716.72000000
0.109714521261
Long
DBT
CORP
AZ
N
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-8514.46000000
-0.00055252301
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
551837.17000000
USD
468806.00000000
EUR
2021-10-04
-8514.46000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.625000% 02/01/2041
P01012AR7
527000.00000000
PA
USD
370222.77000000
0.024024612455
Long
DBT
NUSS
SV
N
2
2041-02-01
Fixed
7.62500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.650000% 04/22/2024
N/A
2250000.00000000
PA
USD
369090.00000000
0.023951104388
Long
DBT
NUSS
LB
N
2
2024-04-22
Fixed
6.65000000
Y
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-3484.06000000
-0.00022608871
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
244961.72000000
USD
208359.00000000
EUR
2021-10-04
-3484.06000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
62105000000.00000000
PA
5076880.35000000
0.329450516760
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 5.750000% 04/19/2047
48667QAP0
1852000.00000000
PA
USD
2222177.76000000
0.144202258256
Long
DBT
NUSS
KZ
N
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-11-15
N/A
1.00000000
NC
USD
-18298.08000000
-0.00118740476
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
20311978968.00000000
IDR
1396492.19000000
USD
2021-11-15
-18298.08000000
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.125000% 08/16/2027
156830AA9
936000.00000000
PA
USD
976004.64000000
0.063335200131
Long
DBT
NUSS
PE
N
2
2027-08-16
Fixed
4.12500000
N
N
N
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA INTL BOND 3.500000% 07/07/2027
Y6142NAF5
1130000.00000000
PA
USD
1096840.52000000
0.071176520068
Long
DBT
NUSS
MN
N
2
2027-07-07
Fixed
3.50000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 6.375000% 02/11/2027
37443GAG6
451000.00000000
PA
USD
424052.75000000
0.027517764451
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.37500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.625000% 06/16/2023
N/A
30000000.00000000
PA
932444.45000000
0.060508478578
Long
DBT
NUSS
TH
N
2
2023-06-16
Fixed
3.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-10-15
N/A
1.00000000
NC
USD
-6696.30000000
-0.00043453840
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
67832887950.00000000
IDR
4729667.27000000
USD
2021-10-15
-6696.30000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.915%
N/A
3600000000.00000000
NC
22953.62000000
0.001489513529
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-05-15
0.00000000
COP
0.00000000
COP
-3600000000.00000000
COP
22953.62000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
24960000.00000000
PA
6168229.49000000
0.400270688470
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.253000% 03/15/2033
903724BY7
297000.00000000
PA
USD
300784.97000000
0.019518632894
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25300000
N
N
N
N
N
N
Republic of Armenia
5299000H77JSW90G7935
REPUBLIC OF ARMENIA 3.600000% 02/02/2031
N/A
1005000.00000000
PA
USD
947212.50000000
0.061466811524
Long
DBT
NUSS
AM
N
2
2031-02-02
Fixed
3.60000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.500000% 10/26/2046
80413TAC3
663000.00000000
PA
USD
764929.62000000
0.049638053533
Long
DBT
NUSS
SA
N
2
2046-10-26
Fixed
4.50000000
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
749974.98000000
0.048667612329
Long
DBT
NUSS
XX
N
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-11-03
N/A
1.00000000
NC
-3105.61000000
-0.00020153022
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
594137.08000000
USD
509741.00000000
EUR
2021-11-03
-3105.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-12-15
N/A
1.00000000
NC
USD
-486.54000000
-0.00003157270
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1670000.00000000
ZAR
109420.95000000
USD
2021-12-15
-486.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2021-10-14
N/A
1.00000000
NC
USD
-6580.91000000
-0.00042705048
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1861378.00000000
MYR
438022.83000000
USD
2021-10-14
-6580.91000000
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
438223.50000000
0.028437337218
Long
DBT
NUSS
TR
N
2
2024-06-21
Fixed
5.85000000
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 7.450000% 04/30/2044
25714PCF3
687000.00000000
PA
USD
818567.37000000
0.053118731279
Long
DBT
NUSS
DO
N
2
2044-04-30
Fixed
7.45000000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-10771.22000000
-0.00069896939
N/A
DFE
PH
N
2
STANDARD BANK
N/A
475096.74000000
USD
23878362.00000000
PHP
2021-12-15
-10771.22000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
23145437.00000000
NC
-18756.08000000
-0.00121712544
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-05-21
0.00000000
MXN
0.00000000
MXN
-23145437.00000000
MXN
-18756.08000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.875000% 05/07/2042
N/A
1286000.00000000
PA
USD
1195980.00000000
0.077609910392
Long
DBT
NUSS
GH
N
2
2042-05-07
Fixed
8.87500000
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-11-03
N/A
1.00000000
NC
-5608.17000000
-0.00036392713
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
594966.52000000
USD
508298.00000000
EUR
2021-11-03
-5608.17000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-8219.17000000
-0.00053336096
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
491536.08000000
USD
417030.00000000
EUR
2021-10-04
-8219.17000000
N
N
N
FEL Energy VI S.a r.l.
N/A
FEL ENERGY VI SARL 144A 5.750000% 12/01/2040
30260LAA3
191000.00000000
PA
USD
199835.66000000
0.012967798513
Long
DBT
NUSS
MX
N
2
2040-12-01
Fixed
5.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.775000% 06/25/2032
N/A
181773000.00000000
PA
6294719.37000000
0.408478909554
Long
DBT
NUSS
TH
N
2
2032-06-25
Fixed
3.77500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2021-10-01
N/A
1.00000000
NC
USD
4115.32000000
0.000267052640
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
208560233.00000000
KRW
180264.17000000
USD
2021-10-01
4115.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
18150.85000000
0.001177850668
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1019349.00000000
EUR
1199525.36000000
USD
2021-10-04
18150.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
90340.06000000
0.005862375592
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
8558570.00000000
EUR
10009294.69000000
USD
2021-10-04
90340.06000000
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 10.000000% 06/28/2024
BQ2493055
66325000.00000000
PA
3105062.96000000
0.201494722393
Long
DBT
NUSS
ZM
N
2
2024-06-28
Fixed
10.00000000
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
864300.00000000
0.056086427492
Long
DBT
NUSS
RU
N
2
2022-02-02
Fixed
5.12500000
N
N
N
N
N
N
Gol Finance SA
5299007RH8MA67ZC6J07
GOL FINANCE SA 144A 7.000000% 01/31/2025
36254VAA6
998000.00000000
PA
USD
940375.48000000
0.061023141472
Long
DBT
NUSS
BR
N
2
2025-01-31
Fixed
7.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-7305.56000000
-0.00047407469
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
609361.54000000
USD
519484.00000000
EUR
2021-10-04
-7305.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2021-12-22
N/A
1.00000000
NC
USD
48000.44000000
0.003114859652
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
10442293.00000000
TRY
1176689.20000000
USD
2021-12-22
48000.44000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST GOVERNMENT INTERNATIONAL BOND 144A 5.875000% 10/17/2031
N/A
205000.00000000
PA
247629.83000000
0.016069272827
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BNQ CEN TUNISIA INT BOND 5.750000% 01/30/2025
N/A
200000.00000000
PA
USD
169080.80000000
0.010972044463
Long
DBT
NUSS
TN
N
2
2025-01-30
Fixed
5.75000000
N
N
N
N
N
N
CSN Resources S.A.
222100ZEX458NMOXZP08
CSN RESOURCES SA 144A 4.625000% 06/10/2031
12644VAD0
315000.00000000
PA
USD
311062.50000000
0.020185565604
Long
DBT
NUSS
BR
N
2
2031-06-10
Fixed
4.62500000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 4.125000% 10/11/2047
29135LAB6
591000.00000000
PA
USD
698118.75000000
0.045302541539
Long
DBT
NUSS
AE
N
2
2047-10-11
Fixed
4.12500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.625000% 05/16/2029
374422AG8
908000.00000000
PA
USD
862454.72000000
0.055966683001
Long
DBT
NUSS
GH
N
2
2029-05-16
Fixed
7.62500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.875000% 10/29/2035
N/A
550000.00000000
PA
714108.25000000
0.046340137203
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/KRW SETTLE 2021-10-12
N/A
1.00000000
NC
USD
-2732.69000000
-0.00017733057
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1401713436.00000000
KRW
1181235.78000000
USD
2021-10-12
-2732.69000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-3855.25000000
-0.00025017609
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
365671.32000000
USD
312193.00000000
EUR
2021-10-04
-3855.25000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.400000% 08/12/2034
N/A
8120000.00000000
PA
1694199.92000000
0.109940554171
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
5.40000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.935000% 09/30/2043
N/A
2200000.00000000
PA
576386.46000000
0.037403051482
Long
DBT
NUSS
MY
N
2
2043-09-30
Fixed
4.93500000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-17533.47000000
-0.00113778745
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
429447.27000000
USD
3797215.69000000
TRY
2021-12-15
-17533.47000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
2368423.00000000
NC
939.83000000
0.000060987744
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-2368423.00000000
BRL
939.83000000
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
REPUBLIC OF COSTA RICA 7% 04/04/2044
N/A
230000.00000000
PA
USD
226552.30000000
0.014701503120
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
ISLAMIC REP OF PAKISTAN 6.875000% 12/05/2027
N/A
749000.00000000
PA
USD
752804.92000000
0.048851253686
Long
DBT
NUSS
PK
N
2
2027-12-05
Fixed
6.87500000
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
5097000.00000000
PA
USD
3085927.68000000
0.200252989783
Long
DBT
NUSS
LK
N
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT 144A 2.300000% 02/09/2031
69370PAL5
1375000.00000000
PA
USD
1309686.32000000
0.084988576679
Long
DBT
NUSS
ID
N
2
2031-02-09
Fixed
2.30000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.950000% 01/28/2031
71654QDE9
2673000.00000000
PA
USD
2591206.20000000
0.168149367873
Long
DBT
NUSS
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 4.314000% 07/23/2027
N/A
253000.00000000
PA
USD
247717.36000000
0.016074952852
Long
DBT
NUSS
ZA
N
2
2027-07-23
Fixed
4.31400000
N
N
N
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS REC:7.45% FIXED
N/A
9407094.00000000
NC
-89067.06000000
-0.00577976767
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-9407094.00000000
BRL
-89067.06000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.250000% 01/17/2042
Y20721BB4
2985000.00000000
PA
USD
3622948.44000000
0.235101509877
Long
DBT
NUSS
ID
N
2
2042-01-17
Fixed
5.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.875000% 04/25/2027
195325DL6
558000.00000000
PA
USD
578294.46000000
0.037526866018
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
3.87500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-3735.46000000
-0.00024240264
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
622198.00000000
USD
8909253195.00000000
IDR
2021-12-15
-3735.46000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.480000% 03/15/2023
N/A
9914000.00000000
PA
2418510.89000000
0.156942769490
Long
DBT
NUSS
MY
N
2
2023-03-15
Fixed
3.48000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.650000% 04/10/2030
N/A
7375000.00000000
PA
104470.98000000
0.006779363698
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.181000% 07/15/2024
N/A
20513000.00000000
PA
5112794.28000000
0.331781054803
Long
DBT
NUSS
MY
N
2
2024-07-15
Fixed
4.18100000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 8.250000% 04/12/2021
N/A
1073000.00000000
PA
USD
182624.60000000
0.011850932993
Long
DBT
NUSS
LB
N
2
2021-04-12
Fixed
8.25000000
Y
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA GOVERNMENT INTERNATIONAL BOND 14 6.300000% 01/23/2034
491798AL8
854000.00000000
PA
USD
842291.66000000
0.054658255369
Long
DBT
NUSS
KE
N
2
2034-01-23
Fixed
6.30000000
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
235257.46000000
0.015266401101
Long
DBT
NUSS
CL
N
2
2030-05-07
Fixed
3.65000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.270000% 11/19/2030
N/A
34600000.00000000
PA
5496142.92000000
0.356657435344
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
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
156790.44000000
PA
USD
167845.73000000
0.010891897912
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 3.000000% 06/30/2030
71568QAN7
565000.00000000
PA
USD
564152.50000000
0.036609161501
Long
DBT
NUSS
ID
N
2
2030-06-30
Fixed
3.00000000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 14.250000% 06/22/2034
V3843WBS8
5311800000.00000000
PA
1548384.02000000
0.100478222917
Long
DBT
NUSS
UG
N
2
2034-06-22
Fixed
14.25000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 06/17/2046
N/A
3431000.00000000
PA
105416.57000000
0.006840725222
Long
DBT
NUSS
TH
N
2
2046-06-17
Fixed
2.87500000
N
N
N
N
N
N
Republic of Kazakhstan
5493007OEK8EF02UO833
REPUBLIC OF KAZAKHSTAN 4.875000% 10/14/2044
N/A
510000.00000000
PA
USD
625143.72000000
0.040567022936
Long
DBT
NUSS
KZ
N
2
2044-10-14
Fixed
4.87500000
N
N
N
N
N
N
VEB FINANCE PUBLIC LIMITED COMPANY
635400KYY8E2NCZXJ191
VEB FINANCE 6.8% 11/22/2025
N/A
580000.00000000
PA
USD
680945.52000000
0.044188130896
Long
DBT
NUSS
RU
N
2
2025-11-22
Fixed
6.80000000
N
N
N
N
N
N
The Commonwealth of The Bahamas
549300W13SXC7EKNJC20
COMMONWEALTH OF BAHAMAS 6.000000% 11/21/2028
P06518AG2
200000.00000000
PA
USD
171752.00000000
0.011145384813
Long
DBT
NUSS
BS
N
2
2028-11-21
Fixed
6.00000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2021-12-15
N/A
1.00000000
NC
5652.87000000
0.000366827818
N/A
DFE
RU
N
2
BARCLAYS CAPITAL INC.
N/A
1228462.92000000
USD
91053672.00000000
RUB
2021-12-15
5652.87000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 5.625000% 09/30/2031
N/A
528000.00000000
PA
USD
522720.00000000
0.033920510677
Long
DBT
NUSS
BH
N
2
2031-09-30
Fixed
5.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2021-12-15
N/A
1.00000000
NC
6930.39000000
0.000449729048
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
4754155.00000000
PLN
1037517.79000000
EUR
2021-12-15
6930.39000000
N
N
N
VEDANTA RESOURCES LIMITED
2138007MYEKPEAZQTW83
VEDANTA RESOURCES LTD 7.125000% 05/31/2023
G9328DAJ9
200000.00000000
PA
USD
191500.00000000
0.012426878242
Long
DBT
NUSS
IN
N
2
2023-05-31
Fixed
7.12500000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
BNQ CEN TUNISIA INT BOND 6.375000% 07/15/2026
N/A
622000.00000000
PA
601642.72000000
0.039041988651
Long
DBT
NUSS
TN
N
2
2026-07-15
Fixed
6.37500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.400000% 09/17/2025
N/A
165160000.00000000
PA
7643891.69000000
0.496029824167
Long
DBT
NUSS
CZ
N
2
2025-09-17
Fixed
2.40000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA INTERNATIONAL BOND MTN 2.050000% 09/23/2036
N/A
491000.00000000
PA
533570.21000000
0.034624605918
Long
DBT
NUSS
RS
N
2
2036-09-23
Fixed
2.05000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-12-15
N/A
1.00000000
NC
USD
1031.45000000
0.000066933177
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1140000.00000000
ZAR
76058.12000000
USD
2021-12-15
1031.45000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 01/26/2026
05674RAF1
1165000.00000000
PA
USD
1289440.64000000
0.083674787643
Long
DBT
NUSS
BH
N
2
2026-01-26
Fixed
7.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.150000% 08/12/2032
N/A
14279000.00000000
PA
3347053.31000000
0.217198036310
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU BONO SOBERANO 6.9% 08/12/2037
P87324BE1
1944000.00000000
PA
449651.62000000
0.029178934376
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.90000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.750000% 09/30/2051
03846JAF7
839000.00000000
PA
USD
818360.60000000
0.053105313495
Long
DBT
NUSS
EG
N
2
2051-09-30
Fixed
8.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.750000% 01/26/2026
900123DB3
3813000.00000000
PA
USD
3682061.58000000
0.238937498354
Long
DBT
NUSS
TR
N
2
2026-01-26
Fixed
4.75000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 4.500000% 05/03/2026
P5015VAF3
649000.00000000
PA
USD
694436.49000000
0.045063591165
Long
DBT
NUSS
GT
N
2
2026-05-03
Fixed
4.50000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2021-12-15
N/A
1.00000000
NC
7911.61000000
0.000513402684
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
1013789.92000000
EUR
25950680.00000000
CZK
2021-12-15
7911.61000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 4.88 %
N/A
1954438429.00000000
NC
-61687.68000000
-0.00400305633
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2031-03-16
0.00000000
COP
0.00000000
COP
-1954438429.00000000
COP
-61687.68000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 03/09/2020
N/A
2750000.00000000
PA
USD
454300.00000000
0.029480578513
Long
DBT
NUSS
LB
N
2
2021-10-31
Fixed
6.37500000
Y
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
8109783.00000000
NC
6980.34000000
0.000452970419
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-04-20
0.00000000
MXN
0.00000000
MXN
-8109783.00000000
MXN
6980.34000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 5.450000% 09/16/2032
N/A
3479000.00000000
PA
USD
3374630.00000000
0.218987551553
Long
DBT
NUSS
BH
N
2
2032-09-16
Fixed
5.45000000
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B 6.000000% 08/15/2026
N/A
1000000.00000000
PA
717420.08000000
0.046555049517
Long
DBT
NUSS
BR
N
2
2026-08-15
Fixed
6.00000000
N
N
N
N
N
N
VEON Holdings B.V.
5493000XDKGUH5NQGE22
VEON HOLDINGS BV 144A 3.375000% 11/25/2027
91823N2A0
549000.00000000
PA
USD
556581.69000000
0.036117874117
Long
DBT
NUSS
NL
N
2
2027-11-25
Fixed
3.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2021-12-15
N/A
1.00000000
NC
USD
-775.49000000
-0.00005032334
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1536631.15000000
PEN
371346.34000000
USD
2021-12-15
-775.49000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-61889.92000000
-0.00401618015
N/A
DFE
CL
N
2
STANDARD BANK
N/A
1083544.23000000
USD
834925007.00000000
CLP
2021-12-15
-61889.92000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.627000% 06/16/2049
374422AH6
593000.00000000
PA
USD
530735.00000000
0.034440622578
Long
DBT
NUSS
GH
N
2
2049-06-16
Fixed
8.62700000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 03/26/2031
N/A
17065600000.00000000
PA
4278386.88000000
0.277634427314
Long
DBT
NUSS
CO
N
2
2031-03-26
Fixed
7.00000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.625000% 03/22/2048
N/A
2469000.00000000
PA
2872292.41000000
0.186389702637
Long
DBT
NUSS
CI
N
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND 144A 5.250000% 01/08/2047
455780BY1
170000.00000000
PA
USD
211602.98000000
0.013731407144
Long
DBT
NUSS
ID
N
2
2047-01-08
Fixed
5.25000000
N
N
N
N
N
N
Republique du Cameroun
54930021BO6NHYGBBV24
REPUBLIC OF CAMEROON INTERNATIONAL BOND 144A 5.950000% 07/07/2032
N/A
250000.00000000
PA
283247.38000000
0.018380578087
Long
DBT
NUSS
CM
N
2
2032-07-07
Fixed
5.95000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.375000% 09/25/2032
N/A
3520000.00000000
PA
USD
3603635.20000000
0.233848229032
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.37500000
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
586352.51000000
0.038049771534
Long
DBT
NUSS
NG
N
2
2031-01-21
Fixed
8.74700000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 1.100000% 03/12/2033
N/A
690000.00000000
PA
773686.04000000
0.050206277894
Long
DBT
NUSS
ID
N
2
2033-03-12
Fixed
1.10000000
N
N
N
N
N
N
NETWORK I2I LIMITED
2549003L8M1FGHLHOX45
NETWORK I2I LTD 144A 5.650000% MATURITY: PERPETUAL
64132NAA4
275000.00000000
PA
USD
292875.00000000
0.019005336632
Long
DBT
NUSS
IN
N
2
2170-04-15
Fixed
5.65000000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2021-12-14
N/A
1.00000000
NC
-13037.38000000
-0.00084602576
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
2651267.16000000
USD
197195949.00000000
INR
2021-12-14
-13037.38000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.375000% 03/21/2023
195325BP9
2871000000.00000000
PA
753905.25000000
0.048922656647
Long
DBT
NUSS
CO
N
2
2023-03-21
Fixed
4.37500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.875000% 02/15/2061
195325DX0
2327000.00000000
PA
USD
1873630.59000000
0.121584225654
Long
DBT
NUSS
CO
N
2
2061-02-15
Fixed
3.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2021-12-15
N/A
1.00000000
NC
USD
3896.36000000
0.000252843818
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
3665417037.64000000
COP
961332.61000000
USD
2021-12-15
3896.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2021-12-28
N/A
1.00000000
NC
USD
3635.84000000
0.000235938073
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
21873263.00000000
THB
649926.10000000
USD
2021-12-28
3635.84000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.680000% 05/21/2030
N/A
51050000.00000000
PA
7710409.23000000
0.500346301298
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
2.68000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 01/01/2024
N/A
58000000.00000000
PA
8592098.22000000
0.557561140600
Long
DBT
NUSS
BR
N
2
2024-01-01
None
0.00000000
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
75592.44000000
0.004905368396
Long
DBT
NUSS
KZ
N
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2021-11-03
N/A
1.00000000
NC
-265511.62000000
-0.01722966356
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
7906992.55000000
USD
41826410.00000000
BRL
2021-11-03
-265511.62000000
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
867485.26000000
0.056293126386
Long
DBT
NUSS
MX
N
2
2024-12-09
Fixed
7.12500000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2021-10-14
N/A
1.00000000
NC
8590.00000000
0.000557424982
N/A
DFE
MY
N
2
STANDARD BANK
N/A
1867232.15000000
USD
7853317.00000000
MYR
2021-10-14
8590.00000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
STANDARD CHARTERED BANK MTN 8.250000% 05/18/2029
AV6441332
14336000000.00000000
PA
1127848.80000000
0.073188719129
Long
DBT
NUSS
GB
N
2
2029-05-18
Fixed
8.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-5930.90000000
-0.00038486982
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
368203.60000000
USD
312587.00000000
EUR
2021-10-04
-5930.90000000
N
N
N
Independent State of Papua New Guinea
254900NKI6OC90ZW9W36
PAPUA NEW GUINEA GOVERNMENT INTERNATIONAL BOND 144 8.375000% 10/04/2028
69888UAB1
275000.00000000
PA
USD
276512.50000000
0.017943536135
Long
DBT
NUSS
PG
N
2
2028-10-04
Fixed
8.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
34053.65000000
0.002209820168
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1459694.00000000
EUR
1725766.00000000
USD
2021-10-04
34053.65000000
N
N
N
Poinsettia Finance Limited S.a r.l.
N/A
POINSETTIA FINANCE LTD 6.625000% 06/17/2031
G7150PAA8
4195507.50000000
PA
USD
4137862.86000000
0.268515498402
Long
DBT
NUSS
MX
N
2
2031-06-17
Fixed
6.62500000
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
1159890.00000000
0.075267946758
Long
DBT
NUSS
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.875000% 05/07/2042
37443GAN1
426000.00000000
PA
USD
396180.00000000
0.025709037190
Long
DBT
NUSS
GH
N
2
2042-05-07
Fixed
8.87500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.950000% 01/28/2031
P78625EA7
1490000.00000000
PA
USD
1444406.00000000
0.093730848534
Long
DBT
NUSS
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.25% 3/12/28
N/A
56563000.00000000
PA
1724729.63000000
0.111921697716
Long
DBT
USGA
TH
N
2
2028-03-12
Fixed
1.25000000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI TURK ANONIM ORTAKLIGI
789000KAIHOLSQKQ9858
TURKIYE VAKIFLAR BANKASI TAO 144A 6.500000% 01/08/2026
90015WAK9
379000.00000000
PA
USD
384969.25000000
0.024981545674
Long
DBT
NUSS
TR
N
2
2026-01-08
Fixed
6.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2021-12-15
N/A
1.00000000
NC
USD
12068.70000000
0.000783165876
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
7552980562.42000000
COP
1984967.65000000
USD
2021-12-15
12068.70000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.070000% 09/30/2026
N/A
6500000.00000000
PA
1638703.91000000
0.106339289632
Long
DBT
NUSS
MY
N
2
2026-09-30
Fixed
4.07000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.950000% 01/28/2060
71654QDF6
574000.00000000
PA
USD
501618.60000000
0.032551191990
Long
DBT
NUSS
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
Powerchina Roadbridge Group (British Virgin Islands) Limited
54930030HB6G7DYU0727
POWERCHINA ROADBRIDGE GROUP BRITISH VIRGIN ISLANDS 3.080000% MATURITY: PERPETUAL
N/A
285000.00000000
PA
USD
285438.90000000
0.018522790892
Long
DBT
NUSS
CN
N
2
2170-10-01
Fixed
3.08000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-49837.25000000
-0.00323405450
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
1308647.69000000
USD
18938803.00000000
ZAR
2021-10-01
-49837.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-11-03
N/A
1.00000000
NC
USD
32366.02000000
0.002100305951
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
24559978.32000000
BRL
4519354.17000000
USD
2021-11-03
32366.02000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/11/2025
N/A
443000.00000000
PA
522399.61000000
0.033899719828
Long
DBT
NUSS
EG
N
2
2025-04-11
Fixed
4.75000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 3.348000% 02/09/2031
200447AH3
391000.00000000
PA
USD
383672.66000000
0.024897406948
Long
DBT
NUSS
MX
N
2
2031-02-09
Fixed
3.34800000
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-01
N/A
1.00000000
NC
USD
51877.24000000
0.003366434177
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
20663820.00000000
ZAR
1425344.84000000
USD
2021-10-01
51877.24000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.200000% 09/12/2023
N/A
800000.00000000
PA
199782.54000000
0.012964351433
Long
DBT
NUSS
PE
N
2
2023-09-12
Fixed
5.20000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA MTN VARIABLE RATE 09/18/2030
U48057EU0
57637000000.00000000
PA
4222350.71000000
0.273998110543
Long
DBT
CORP
US
N
2
2030-09-18
Fixed
7.00000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.000000% 01/14/2041
900123BJ8
558000.00000000
PA
USD
482670.00000000
0.031321573478
Long
DBT
NUSS
TR
N
2
2041-01-14
Fixed
6.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
32210000000.00000000
PA
2359628.65000000
0.153121764649
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2021-12-07
N/A
1.00000000
NC
USD
12582.37000000
0.000816499112
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
29379348.00000000
PHP
584291.56000000
USD
2021-12-07
12582.37000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.125000% 02/22/2042
195325EA9
8131000.00000000
PA
USD
7309931.62000000
0.474358382248
Long
DBT
NUSS
CO
N
2
2042-02-22
Fixed
4.12500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 3.750000% 09/12/2031
105756CE8
6586000.00000000
PA
USD
6246821.00000000
0.405370673461
Long
DBT
NUSS
BR
N
2
2031-09-12
Fixed
3.75000000
N
N
N
N
N
TENCENT HOLDINGS LIMITED
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD MTN 3.240000% 06/03/2050
88032WAV8
450000.00000000
PA
USD
423499.50000000
0.027481862778
Long
DBT
NUSS
CN
N
2
2050-06-03
Fixed
3.24000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.82%
N/A
33993222.00000000
NC
52134.01000000
0.003383096577
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-09-10
0.00000000
MXN
0.00000000
MXN
-33993222.00000000
MXN
52134.01000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-323785.45000000
-0.02101118727
N/A
DFE
PA
N
2
JP MORGAN
N/A
10595131.39000000
USD
40787547.54000000
PLN
2021-12-15
-323785.45000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2027
N/A
46182000.00000000
PA
8262752.68000000
0.536189146212
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
Ivory Coast Government International Bond 6.625000% 03/22/2048
AR7769417
481000.00000000
PA
559567.70000000
0.036311643217
Long
DBT
CORP
CI
N
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.850000% 04/22/2026
N/A
1945000.00000000
PA
476888.66000000
0.030946408944
Long
DBT
NUSS
RO
N
2
2026-04-22
Fixed
4.85000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 12/17/2029
N/A
7000000.00000000
PA
204897.33000000
0.013296261995
Long
DBT
NUSS
TH
N
2
2029-12-17
Fixed
1.60000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 6.875000% 08/04/2026
71654QCB6
713000.00000000
PA
USD
775458.80000000
0.050321316393
Long
DBT
NUSS
MX
N
2
2026-08-04
Fixed
6.87500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 10/12/2028
05674RAG9
507000.00000000
PA
USD
553897.50000000
0.035943690815
Long
DBT
NUSS
BH
N
2
2028-10-12
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-11-03
N/A
1.00000000
NC
USD
-872.36000000
-0.00005660945
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1758892.00000000
BRL
320468.62000000
USD
2021-11-03
-872.36000000
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
1076308.76000000
0.069844166639
Long
DBT
NUSS
TR
N
2
2022-05-03
Fixed
5.12500000
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 4.250000% 04/16/2039
N/A
160000.00000000
PA
USD
179382.40000000
0.011640539131
Long
DBT
NUSS
SA
N
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: ZMW/USD SETTLE 2022-02-16
N/A
1.00000000
NC
5545.64000000
0.000359869415
N/A
DFE
ZM
N
2
STANDARD BANK
N/A
68738.32000000
USD
1333523.34000000
ZMW
2022-02-16
5545.64000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.625000% 05/15/2033
N/A
24323000000.00000000
PA
1705371.56000000
0.110665507748
Long
DBT
NUSS
ID
N
2
2033-05-15
Fixed
6.62500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.750000% 01/17/2048
N/A
3429000.00000000
PA
USD
3390595.20000000
0.220023570334
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVT INTL BOND 0.400000% 10/21/2023
Y15025AA0
2410000.00000000
PA
USD
2410626.60000000
0.156431139663
Long
DBT
NUSS
CN
N
2
2023-10-21
Fixed
0.40000000
N
N
N
N
N
N
INDUSTRIAS PENOLES, S.A.B. DE C.V.
549300WA2HB7776CB324
INDUSTRIAS PENOLES SAB DE CV 144A 5.650000% 09/12/2049
456472AC3
359000.00000000
PA
USD
444262.50000000
0.028829221906
Long
DBT
NUSS
MX
N
2
2049-09-12
Fixed
5.65000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.478000% 06/14/2024
N/A
6671000.00000000
PA
1634725.64000000
0.106081130483
Long
DBT
NUSS
MY
N
2
2024-06-14
Fixed
3.47800000
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
1424352.72000000
0.092429544780
Long
DBT
NUSS
CN
N
2
2026-12-05
Fixed
3.12000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 8.200000% 05/17/2033
N/A
2700000.00000000
PA
USD
438750.00000000
0.028471503022
Long
DBT
NUSS
LB
N
2
2033-05-17
Fixed
8.20000000
Y
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 5.000000% 07/31/2030
N/A
2447644.00000000
PA
USD
2056045.44000000
0.133421547484
Long
DBT
NUSS
EC
N
2
2030-07-31
Fixed
5.00000000
N
N
N
N
N
N
BIOCEANICO SOVEREIGN CERTIFICATE LIMITED
N/A
BIOCEANICO SOVEREIGN CERTIFICATE LTD ZERO COUPON 06/05/2034
G11176AA5
1665975.11530000
PA
USD
1253646.27000000
0.081352008125
Long
DBT
NUSS
PY
N
2
2034-06-05
Fixed
0.00000000
N
N
N
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 6.875000% 04/29/2030
279158AN9
492000.00000000
PA
USD
575886.00000000
0.037370575474
Long
DBT
NUSS
CO
N
2
2030-04-29
Fixed
6.87500000
N
N
N
N
N
N
GRUPO AVAL LIMITED
549300J4FW1ELLQ80113
GRUPO AVAL LTD 144A 4.375000% 02/04/2030
40053FAC2
812000.00000000
PA
USD
802256.00000000
0.052060248726
Long
DBT
NUSS
CO
N
2
2030-02-04
Fixed
4.37500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.875000% 10/09/2026
900123CK4
1017000.00000000
PA
USD
974082.60000000
0.063210474506
Long
DBT
NUSS
TR
N
2
2026-10-09
Fixed
4.87500000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 3.000000% 09/15/2051
N/A
720000.00000000
PA
USD
706003.20000000
0.045814181749
Long
DBT
NUSS
AE
N
2
2051-09-15
Fixed
3.00000000
N
N
N
N
N
N
DP World Limited
549300M3U2DNF4QVSS04
DP WORLD LTD/UNITED ARAB EMIRATES MTN 4.700000% 09/30/2049
23330JAC5
134000.00000000
PA
USD
146869.36000000
0.009530692711
Long
DBT
NUSS
AE
N
2
2049-09-30
Fixed
4.70000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.253000% 03/15/2033
N/A
724000.00000000
PA
USD
733226.66000000
0.047580775079
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25300000
N
N
N
N
N
N
Minejesa Capital B.V.
549300KS7ERCP10BKC35
MINEJESA CAPITAL BV 144A 4.625000% 08/10/2030
602736AA8
386000.00000000
PA
USD
396946.96000000
0.025758807000
Long
DBT
NUSS
ID
N
2
2030-08-10
Fixed
4.62500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2031
N/A
7579000.00000000
PA
1303418.95000000
0.084581872533
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
10.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 06/15/2032
N/A
12030000000.00000000
PA
947796.67000000
0.061504719668
Long
DBT
NUSS
ID
N
2
2032-06-15
Fixed
8.25000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 9.500000% 07/15/2052
P01012CC8
3093000.00000000
PA
USD
2404838.43000000
0.156055531915
Long
DBT
NUSS
SV
N
2
2052-07-15
Fixed
9.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: ZMW/USD SETTLE 2022-02-16
N/A
1.00000000
NC
13864.12000000
0.000899674836
N/A
DFE
ZM
N
2
STANDARD BANK
N/A
171845.79000000
USD
3333808.35000000
ZMW
2022-02-16
13864.12000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.500000% 04/17/2030
80413TAH2
463000.00000000
PA
USD
542084.10000000
0.035177091946
Long
DBT
NUSS
SA
N
2
2030-04-17
Fixed
4.50000000
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
2940615.35630000
PA
USD
2896506.13000000
0.187960986972
Long
DBT
NUSS
AO
N
2
2023-07-01
Floating
7.66087920
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3361902.00000000
NC
-66462.60000000
-0.00431291194
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-3361902.00000000
BRL
-66462.60000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2021-10-18
N/A
1.00000000
NC
USD
853211.09000000
0.055366842455
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
296383500.00000000
ZAR
20517585.60000000
USD
2021-10-18
853211.09000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-12-03
N/A
1.00000000
NC
6.70000000
0.000000434778
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
241098.70000000
USD
3468445848.00000000
IDR
2021-12-03
6.70000000
N
N
N
CEMEX, Sociedad Anonima Bursatil de Capital Variable
549300RIG2CXWN6IV731
CEMEX SAB DE CV 144A 3.875000% 07/11/2031
151290BZ5
572000.00000000
PA
USD
572343.20000000
0.037140674982
Long
DBT
NUSS
MX
N
2
2031-07-11
Fixed
3.87500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 6.750000% 02/07/2022
77586TAA4
988000.00000000
PA
USD
1008115.68000000
0.065418959840
Long
DBT
NUSS
RO
N
2
2022-02-07
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
8307.27000000
0.000539077978
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
519438.00000000
EUR
610309.94000000
USD
2021-10-04
8307.27000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 10.500000% 12/21/2026
N/A
157533071.00000000
PA
11755558.58000000
0.762845405444
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 0.250000% 10/25/2026
N/A
10120000.00000000
PA
2391594.59000000
0.155196108483
Long
DBT
NUSS
PL
N
2
2026-10-25
Fixed
0.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2021-12-15
N/A
1.00000000
NC
USD
5700.26000000
0.000369903065
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
101279314.00000000
CNY
15607365.16000000
USD
2021-12-15
5700.26000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 4.850000% 09/30/2029
836205BA1
2362000.00000000
PA
USD
2427309.30000000
0.157513718680
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85000000
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
1119272.30000000
0.072632170193
Long
DBT
NUSS
CL
N
2
2027-10-12
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2021-10-01
N/A
1.00000000
NC
USD
1838.11000000
0.000119279212
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
2574615866.00000000
KRW
2176344.75000000
USD
2021-10-01
1838.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
8670.52000000
0.000562650111
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
414324.00000000
EUR
488851.32000000
USD
2021-10-04
8670.52000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.950000% 01/28/2060
71654QDA7
864000.00000000
PA
USD
755049.60000000
0.048996916167
Long
DBT
NUSS
MX
N
2
2060-01-28
Fixed
6.95000000
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
-71345.10000000
-0.00462974867
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
-71345.10000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 01/01/2022
N/A
77000000.00000000
PA
13886439.65000000
0.901123210173
Long
DBT
NUSS
BR
N
2
2022-01-01
None
0.00000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2021-11-16
N/A
1.00000000
NC
-3581.21000000
-0.00023239300
N/A
DFE
MX
N
2
CITIGROUP GLOBAL MARKETS
N/A
126797.02000000
USD
2548000.00000000
MXN
2021-11-16
-3581.21000000
N
N
N
Republic of Georgia
254900MHQHBC58M2GR84
REPUBLIC OF GEORGIA 2.750000% 04/22/2026
N/A
480000.00000000
PA
USD
485328.00000000
0.031494057250
Long
DBT
NUSS
GE
N
2
2026-04-22
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-11-03
N/A
1.00000000
NC
USD
3998.39000000
0.000259464781
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
349976.00000000
EUR
409786.48000000
USD
2021-11-03
3998.39000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-239.98000000
-0.00001557285
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
402985.45000000
USD
6119554.94000000
ZAR
2021-12-15
-239.98000000
N
N
N
DP World Limited
549300M3U2DNF4QVSS04
DP WORLD LTD/UNITED ARAB EMIRATES MTN 5.625000% 09/25/2048
23330JAB7
439000.00000000
PA
USD
541155.30000000
0.035116819964
Long
DBT
NUSS
AE
N
2
2048-09-25
Fixed
5.62500000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
REPUBLIC OF KOREA 1.000000% 09/16/2030
50064FAS3
791000.00000000
PA
USD
746435.87000000
0.048437951290
Long
DBT
NUSS
KR
N
2
2030-09-16
Fixed
1.00000000
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
383261.93000000
0.024870753728
Long
DBT
NUSS
XX
N
2
2029-09-21
Fixed
3.99400000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
84640000.00000000
PA
3973983.32000000
0.257880975739
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-10-15
N/A
1.00000000
NC
USD
633.22000000
0.000041091111
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
34874913371.00000000
IDR
2435739.17000000
USD
2021-10-15
633.22000000
N
N
N
GRAN TIERRA ENERGY INC.
549300IH2S17MAIUCM32
GRAN TIERRA ENERGY INC 144A 7.750000% 05/23/2027
38502JAA9
293000.00000000
PA
USD
253884.50000000
0.016475152841
Long
DBT
CORP
CO
N
2
2027-05-23
Fixed
7.75000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT INTERNATIONAL BOND 144A 3.125000% 09/21/2051
445545AN6
1983000.00000000
PA
USD
1952640.27000000
0.126711346663
Long
DBT
NUSS
HU
N
2
2051-09-21
Fixed
3.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-05
N/A
1.00000000
NC
USD
308461.71000000
0.020016794321
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
10355394.00000000
EUR
12310026.39000000
USD
2021-10-05
308461.71000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 17.700000% 08/07/2025
N/A
29457000.00000000
PA
2041991.45000000
0.132509551544
Long
DBT
NUSS
EG
N
2
2025-08-07
Fixed
17.70000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-3906.01000000
-0.00025347002
N/A
DFE
RU
N
2
BARCLAYS CAPITAL INC.
N/A
1288026.82000000
USD
94743067.00000000
RUB
2021-12-15
-3906.01000000
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
Venezuela Government International Bond Maturity:09/15/2027
922646AS3
2300000.00000000
PA
USD
243800.00000000
0.015820746294
Long
DBT
NUSS
VE
N
2
2027-09-15
Fixed
9.25000000
Y
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
163217000.00000000
PA
8445066.61000000
0.548019919110
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 4.900000% 06/01/2030
P5015VAH9
964000.00000000
PA
USD
1045949.64000000
0.067874093074
Long
DBT
NUSS
GT
N
2
2030-06-01
Fixed
4.90000000
N
N
N
N
N
BRK: JP MORGAN CHASE
N/A
BRK: JP MORGAN CHASE REC: 7.192 % FIXED
N/A
1287603600.00000000
NC
-98722.77000000
-0.00640634904
N/A
DIR
XX
N
2
BRK: JP MORGAN CHASE
N/A
Y
2023-07-27
0.00000000
RUB
0.00000000
RUB
-1287603600.00000000
RUB
-98722.77000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
STATE OF ISRAEL 4.500000% 04/03/2120
46513JB59
3121000.00000000
PA
USD
3917635.25000000
0.254224419055
Long
DBT
NUSS
IL
N
2
2120-04-03
Fixed
4.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 07/09/2036
N/A
5769500000.00000000
PA
1276684.24000000
0.082846995322
Long
DBT
NUSS
CO
N
2
2036-07-09
Fixed
6.25000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.000000% 08/16/2023
N/A
219831000.00000000
PA
3016050.51000000
0.195718498486
Long
DBT
NUSS
RU
N
2
2023-08-16
Fixed
7.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.771000% 05/24/2061
91087BAN0
434000.00000000
PA
USD
384832.14000000
0.024972648289
Long
DBT
NUSS
MX
N
2
2061-05-24
Fixed
3.77100000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 7.500000% 09/15/2033
N/A
35200000.00000000
PA
1738993.71000000
0.112847326883
Long
DBT
NUSS
ZA
N
2
2033-09-15
Fixed
7.50000000
N
N
N
N
N
N
Qatar Petroleum
254900QTESJKJ3P87J26
QATAR PETROLEUM 3.125000% 07/12/2041
N/A
474000.00000000
PA
USD
473772.48000000
0.030744192811
Long
DBT
NUSS
QA
N
2
2041-07-12
Fixed
3.12500000
N
N
N
N
N
N
VEDANTA RESOURCES FINANCE II PLC
8945002DGA3BBXO3N634
VEDANTA RESOURCES FINANCE II PLC 144A 13.875000% 01/21/2024
92243XAD3
286000.00000000
PA
USD
309237.50000000
0.020067137130
Long
DBT
NUSS
IN
N
2
2024-01-21
Fixed
13.87500000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY-CLP - Sinacofi Chile Interbank Rate Avg
N/A
444724581.00000000
NC
-128729.52000000
-0.00835355650
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2030-08-24
0.00000000
CLP
0.00000000
CLP
-444724581.00000000
CLP
-128729.52000000
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 3.000000% 09/15/2051
29135LAR1
1576000.00000000
PA
USD
1545362.56000000
0.100282153384
Long
DBT
NUSS
AE
N
2
2051-09-15
Fixed
3.00000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.750000% 01/24/2023
P01012AJ5
1630000.00000000
PA
USD
1373291.30000000
0.089116051050
Long
DBT
NUSS
SV
N
2
2023-01-24
Fixed
7.75000000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 16.000000% 05/06/2027
N/A
2226000000.00000000
PA
738569.51000000
0.047927484982
Long
DBT
NUSS
UG
N
2
2027-05-06
Fixed
16.00000000
N
N
N
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 2.375000% 12/15/2027
N/A
745000.00000000
PA
USD
729198.55000000
0.047319381698
Long
DBT
NUSS
MA
N
2
2027-12-15
Fixed
2.37500000
N
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 6.750000% 03/13/2048
N/A
1622000.00000000
PA
USD
1637198.14000000
0.106241576731
Long
DBT
NUSS
SN
N
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 2.250000% 04/20/2033
N/A
36320000.00000000
PA
105320.10000000
0.006834465060
Long
DBT
NUSS
HU
N
2
2033-04-20
Fixed
2.25000000
N
N
N
N
N
N
VEDANTA RESOURCES LIMITED
2138007MYEKPEAZQTW83
VEDANTA RESOURCES LTD 6.375000% 07/30/2022
G9328DAM2
350000.00000000
PA
USD
349125.00000000
0.022655529327
Long
DBT
NUSS
IN
N
2
2022-07-30
Fixed
6.37500000
N
N
N
N
N
N
GTLK EUROPE CAPITAL DESIGNATED ACTIVITY COMPANY
635400I6H6CSZ39WIN49
GTLK EUROPE CAPITAL DAC 4.650000% 03/10/2027
N/A
596000.00000000
PA
USD
622963.04000000
0.040425513563
Long
DBT
NUSS
RU
N
2
2027-03-10
Fixed
4.65000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2021-11-03
N/A
1.00000000
NC
-323108.59000000
-0.02096726426
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
6027836.31000000
USD
31225397.64000000
BRL
2021-11-03
-323108.59000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
6361099.00000000
NC
-35444.52000000
-0.00230007694
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-6361099.00000000
BRL
-35444.52000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA 6.0% 05/16/2024
N/A
7785099.00000000
PA
USD
447643.19000000
0.029048602705
Long
DBT
NUSS
VE
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.369000% 10/31/2028
N/A
1200000.00000000
PA
305819.06000000
0.019845306646
Long
DBT
NUSS
MY
N
2
2028-10-31
Fixed
4.36900000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 16.300000% 04/09/2024
N/A
15034000.00000000
PA
990742.23000000
0.064291556457
Long
DBT
NUSS
EG
N
2
2024-04-09
Fixed
16.30000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 5.750000% 02/14/2042
200447AC4
500000.00000000
PA
USD
545630.00000000
0.035407193604
Long
DBT
NUSS
MX
N
2
2042-02-14
Fixed
5.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 10.600000% 02/11/2026
N/A
13915967.00000000
PA
1228812.35000000
0.079740477576
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
27064261.00000000
NC
-16563.11000000
-0.00107481854
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-04-01
0.00000000
MXN
0.00000000
MXN
-27064261.00000000
MXN
-16563.11000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-16048.33000000
-0.00104141327
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
1209025.07000000
USD
17948335.00000000
ZAR
2021-10-01
-16048.33000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2021-10-01
N/A
1.00000000
NC
-6300.19000000
-0.00040883391
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
1321359.88000000
USD
19785073.00000000
ZAR
2021-10-01
-6300.19000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2024
903724AR3
131000.00000000
PA
USD
141975.18000000
0.009213098043
Long
DBT
NUSS
UA
N
2
2024-09-01
Fixed
7.75000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 10.000000% 07/24/2024
N/A
20024400000.00000000
PA
5862392.58000000
0.380424223496
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 08/21/2030
N/A
727940000.00000000
PA
2332377.36000000
0.151353365365
Long
DBT
NUSS
HU
N
2
2030-08-21
Fixed
3.00000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 4.875000% 02/01/2025
68205LAA1
717000.00000000
PA
USD
744694.84000000
0.048324971823
Long
DBT
NUSS
OM
N
2
2025-02-01
Fixed
4.87500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-272431.02000000
-0.01767867945
N/A
DFE
PA
N
2
JP MORGAN
N/A
7745397.94000000
USD
29675175.50000000
PLN
2021-12-15
-272431.02000000
N
N
N
Emirate of Sharjah
N/A
FINANCE DEPARTMENT GOVERNMENT OF SHARJAH MTN 4.000000% 07/28/2050
38381CAB8
1627000.00000000
PA
USD
1447053.80000000
0.093902670404
Long
DBT
NUSS
AE
N
2
2050-07-28
Fixed
4.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-6238.21000000
-0.00040481188
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
487946.50000000
USD
415642.00000000
EUR
2021-10-04
-6238.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
4531.44000000
0.000294055629
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
207162.00000000
EUR
244621.84000000
USD
2021-10-04
4531.44000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.9865%
N/A
12429983.00000000
NC
-44178.22000000
-0.00286682694
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-03-25
0.00000000
PLN
0.00000000
PLN
-12429983.00000000
PLN
-44178.22000000
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
389103.00000000
0.025249794280
Long
DBT
NUSS
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2029
N/A
25306000.00000000
PA
4442049.69000000
0.288254885866
Long
DBT
NUSS
BR
N
2
2029-01-01
Fixed
10.00000000
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
470077.50000000
0.030504417007
Long
DBT
NUSS
ID
N
2
2027-01-30
Fixed
6.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.065000% 06/15/2050
N/A
3119000.00000000
PA
717455.68000000
0.046557359684
Long
DBT
NUSS
MY
N
2
2050-06-15
Fixed
4.06500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
2705129.00000000
NC
-22095.16000000
-0.00143380607
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-2705129.00000000
BRL
-22095.16000000
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS INTERNATIONAL BOND 144A 6.378000% 02/24/2031
07737JAD5
899000.00000000
PA
USD
791120.00000000
0.051337607911
Long
DBT
NUSS
BY
N
2
2031-02-24
Fixed
6.37800000
N
N
N
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 5.500000% 12/11/2042
N/A
401000.00000000
PA
USD
451258.13000000
0.029283184529
Long
DBT
NUSS
MA
N
2
2042-12-11
Fixed
5.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 16.100000% 05/07/2029
N/A
14920000.00000000
PA
1012593.87000000
0.065709559954
Long
DBT
NUSS
EG
N
2
2029-05-07
Fixed
16.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
-922.82000000
-0.00005988392
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1032278582.00000000
IDR
71201.45000000
USD
2021-10-04
-922.82000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28D MEXICAN INTERBANK RATE TIIE
N/A
27590294.00000000
NC
-63438.78000000
-0.00411668926
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-04-06
0.00000000
MXN
0.00000000
MXN
-27590294.00000000
MXN
-63438.78000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 4.850000% 09/27/2027
836205AW4
682000.00000000
PA
USD
714360.90000000
0.046356532246
Long
DBT
NUSS
ZA
N
2
2027-09-27
Fixed
4.85000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS BIDCO LIMITED
549300L82YB0C6JQIC26
GALAXY PIPELINE ASSETS BIDCO LTD 2.160000% 03/31/2034
N/A
1660000.00000000
PA
USD
1629038.78000000
0.105712096975
Long
DBT
NUSS
AE
N
2
2034-03-31
Fixed
2.16000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
75955700.00000000
NC
2906.37000000
0.000188601076
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-09-12
0.00000000
MXN
0.00000000
MXN
-75955700.00000000
MXN
2906.37000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
25503900000.00000000
PA
6292995.48000000
0.408367042342
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
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
600000.00000000
PA
USD
579570.00000000
0.037609638761
Long
DBT
NUSS
CN
N
2
2024-01-29
Fixed
7.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-06-30
N/A
1.00000000
NC
1201.98000000
0.000077999264
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
3349893.00000000
RON
662562.11000000
EUR
2022-06-30
1201.98000000
N
N
N
KONDOR FINANCE PLC
213800PUC1T9GI6EIO63
NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC 7.125000% 07/19/2024
N/A
720000.00000000
PA
841853.86000000
0.054629845514
Long
DBT
NUSS
UA
N
2
2024-07-19
Fixed
7.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2021-12-15
N/A
1.00000000
NC
USD
265.88000000
0.000017253568
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
658208.91000000
PEN
159662.56000000
USD
2021-12-15
265.88000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.300000% 01/21/2041
P3579ECJ4
2694000.00000000
PA
USD
2664392.94000000
0.172898624828
Long
DBT
NUSS
DO
N
2
2041-01-21
Fixed
5.30000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 9.125000% 11/26/2049
N/A
409000.00000000
PA
USD
414987.76000000
0.026929516269
Long
DBT
NUSS
AO
N
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2021-11-15
N/A
1.00000000
NC
-42.37000000
-0.00000274948
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
1042473.41000000
USD
14966060952.00000000
IDR
2021-11-15
-42.37000000
N
N
N
UKRANIAN HRYVNIA
N/A
FX Forward Contract: UAH/USD SETTLE 2022-02-16
N/A
1.00000000
NC
13108.10000000
0.000850614948
N/A
DFE
UA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1254670.93000000
USD
34854758.41000000
UAH
2022-02-16
13108.10000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 18.000000% 11/06/2028
N/A
30307000.00000000
PA
2212421.56000000
0.143569155856
Long
DBT
NUSS
EG
N
2
2028-11-06
Fixed
18.00000000
N
N
N
N
N
N
BRK: JPMORGAN CHASE
N/A
BRK: JPMORGAN CHASE PAY: 1.3965%
N/A
1600000000.00000000
NC
59909.58000000
0.003887671311
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE
N/A
Y
2031-02-05
0.00000000
KRW
0.00000000
KRW
-1600000000.00000000
KRW
59909.58000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.250000% 04/22/2032
195325DZ5
269000.00000000
PA
USD
250847.88000000
0.016278099540
Long
DBT
NUSS
CO
N
2
2032-04-22
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2021-12-15
N/A
1.00000000
NC
USD
29685.76000000
0.001926377676
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
858458888.00000000
CLP
1080137.26000000
USD
2021-12-15
29685.76000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.400000% 06/17/2036
N/A
193984000.00000000
PA
6448846.52000000
0.418480577058
Long
DBT
NUSS
TH
N
2
2036-06-17
Fixed
3.40000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.000000% 07/30/2036
N/A
86250000.00000000
PA
1136459.44000000
0.073747483488
Long
DBT
NUSS
RU
N
2
2036-07-30
Fixed
7.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.882000% 03/10/2022
N/A
4459000.00000000
PA
1074809.62000000
0.069746883975
Long
DBT
NUSS
MY
N
2
2022-03-10
Fixed
3.88200000
N
N
N
N
N
N
ALFA DESARROLLO SPA
2549006BJAN34R520038
ALFA DESARROLLO SPA 144A 4.550000% 09/27/2051
01538TAA3
2047000.00000000
PA
USD
1996848.50000000
0.129580121031
Long
DBT
NUSS
CL
N
2
2051-09-27
Fixed
4.55000000
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
224531.00000000
0.014570336285
Long
DBT
NUSS
BR
N
2
2030-02-04
Fixed
4.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-12872.49000000
-0.00083532567
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
1107567.59000000
USD
943211.00000000
EUR
2021-12-15
-12872.49000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 7.750000% 01/17/2038
Y20721AL3
1797000.00000000
PA
USD
2672793.27000000
0.173443741685
Long
DBT
NUSS
ID
N
2
2038-01-17
Fixed
7.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2029
N/A
68743000000.00000000
PA
5408182.92000000
0.350949507354
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2021-11-03
N/A
1.00000000
NC
-166294.93000000
-0.01079126291
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
5703207.39000000
USD
30306844.06000000
BRL
2021-11-03
-166294.93000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/16/2026
N/A
670000.00000000
PA
780006.26000000
0.050616411598
Long
DBT
NUSS
EG
N
2
2026-04-16
Fixed
4.75000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) DEC21 FINANCIAL COMMODITY FUTURE.
N/A
93.00000000
NC
USD
11415023.44000000
0.740747292014
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 5-Year Note (consolidated) Dec 2021
2022-01-03
11470258.53000000
USD
-55235.09000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 06/15/2025
N/A
58731000000.00000000
PA
4308649.78000000
0.279598256941
Long
DBT
NUSS
ID
N
2
2025-06-15
Fixed
6.50000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 13.000000% 01/25/2031
N/A
30744000.00000000
PA
1032501.43000000
0.067001407600
Long
DBT
NUSS
ZM
N
2
2031-01-25
Fixed
13.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2022
N/A
40233000000.00000000
PA
2875693.21000000
0.186610388420
Long
DBT
NUSS
ID
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.600300% 03/01/2029
N/A
200000.00000000
PA
USD
207126.00000000
0.013440885549
Long
DBT
NUSS
EG
N
2
2029-03-01
Fixed
7.60030000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 5.400000% 03/30/2050
P75744AG0
571000.00000000
PA
USD
655228.21000000
0.042519275125
Long
DBT
NUSS
PY
N
2
2050-03-30
Fixed
5.40000000
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
529692.92000000
0.034372999595
Long
DBT
NUSS
EG
N
2
2032-01-15
Fixed
7.05290000
N
N
N
N
N
N
Republic of Iraq
2549004N3P710UQ9X454
REPUBLIC OF IRAQ 01/15/2028 5.8%
N/A
1339812.50000000
PA
USD
1290574.39000000
0.083748359305
Long
DBT
NUSS
IQ
N
2
2028-01-15
Fixed
5.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2021-10-25
N/A
1.00000000
NC
USD
-8755.54000000
-0.00056816725
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
11683319335.01000000
COP
3053185.42000000
USD
2021-10-25
-8755.54000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 1.950000% 01/06/2032
718286CN5
3849000.00000000
PA
USD
3714653.46000000
0.241052460884
Long
DBT
NUSS
PH
N
2
2032-01-06
Fixed
1.95000000
N
N
N
N
N
N
B3 S.A. - BRASIL, BOLSA, BALCAO
4GTK5S46E6H318LMDS44
B3 SA - BRASIL BOLSA BALCAO 144A 4.125000% 09/20/2031
11778EAA4
437000.00000000
PA
USD
428150.75000000
0.027783693156
Long
DBT
NUSS
BR
N
2
2031-09-20
Fixed
4.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-21093.10000000
-0.00136878008
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
1989927.36000000
USD
1698808.64000000
EUR
2021-10-04
-21093.10000000
N
N
N
Perusahaan Penerbit Surat Berharga Syariah Negara Indonesia III
254900G208H6Q0L5B953
PERUSAHAAN PENERBIT SBSN 4.325000% 05/28/2025
71567RAD8
1673000.00000000
PA
USD
1853600.35000000
0.120284417019
Long
DBT
NUSS
ID
N
2
2025-05-28
Fixed
4.32500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2021-12-22
N/A
1.00000000
NC
USD
-5308.15000000
-0.00034445813
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
11352055.00000000
TRY
1221715.15000000
USD
2021-12-22
-5308.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
15997.56000000
0.001038118696
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
932992.00000000
EUR
1097288.63000000
USD
2021-10-04
15997.56000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.500000% 01/31/2047
N/A
2970000.00000000
PA
USD
2866050.00000000
0.185984618203
Long
DBT
NUSS
EG
N
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.975000% 04/20/2055
760942BD3
446000.00000000
PA
USD
557937.08000000
0.036205828511
Long
DBT
NUSS
UY
N
2
2055-04-20
Fixed
4.97500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 01/28/2050
N/A
2100000.00000000
PA
2391933.71000000
0.155218114765
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
GAZ FINANCE PLC
213800UNP9N6BPNYMQ45
GAZPROM PJSC VIA GAZ FINANCE PLC 144A 4.598500% MATURITY: PERPETUAL
N/A
774000.00000000
PA
USD
805460.00000000
0.052268163702
Long
DBT
NUSS
RU
N
2
2170-01-26
Fixed
4.59850000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-259220.83000000
-0.01682143964
N/A
DFE
MX
N
2
CITIGROUP GLOBAL MARKETS
N/A
8534728.67000000
USD
171849749.00000000
MXN
2021-12-15
-259220.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2021-12-02
N/A
1.00000000
NC
USD
269024.52000000
0.017457623781
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
41715609.83000000
BRL
7849838.14000000
USD
2021-12-02
269024.52000000
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.875000% 05/24/2026
48344FAA8
263000.00000000
PA
USD
281544.13000000
0.018270050252
Long
DBT
NUSS
PE
N
2
2026-05-24
Fixed
4.87500000
N
N
N
N
N
N
OQ S.A.O.C
549300YK417GKI6EQ392
OQ SAOC MTN 5.125000% 05/06/2028
67624L2A5
273000.00000000
PA
USD
276134.04000000
0.017918976990
Long
DBT
NUSS
OM
N
2
2028-05-06
Fixed
5.12500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.150000% 11/20/2059
03846JX39
1019000.00000000
PA
USD
938794.51000000
0.060920548669
Long
DBT
NUSS
EG
N
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 6.378000% 02/24/2031
N/A
372000.00000000
PA
USD
327360.00000000
0.021243148101
Long
DBT
NUSS
BY
N
2
2031-02-24
Fixed
6.37800000
N
N
N
N
N
N
BRK: BNP PARIBAS SA
N/A
BRK: BNP PARIBAS SA REC: 2.465% FXIED
N/A
89830258.00000000
NC
-25840.58000000
-0.00167685504
N/A
DIR
XX
N
2
BRK: BNP PARIBAS SA
N/A
Y
2024-09-21
0.00000000
CZK
0.00000000
CZK
-89830258.00000000
CZK
-25840.58000000
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 11.000000% 01/25/2026
N/A
18620000.00000000
PA
789555.02000000
0.051236052736
Long
DBT
NUSS
ZM
N
2
2026-01-25
Fixed
11.00000000
N
N
N
N
N
N
Leviathan Bond LTD
254900D9T8VKYVQNZ220
LEVIATHAN BOND LTD 144A 6.750000% 06/30/2030
N/A
393849.00000000
PA
USD
435203.15000000
0.028241339716
Long
DBT
NUSS
IL
N
2
2030-06-30
Fixed
6.75000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2021-10-01
N/A
1.00000000
NC
1651.66000000
0.000107180040
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2172854.98000000
USD
2574615866.00000000
KRW
2021-10-01
1651.66000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 7.250000% 12/23/2023
900123CR9
1061000.00000000
PA
USD
1128447.77000000
0.073227587678
Long
DBT
NUSS
TR
N
2
2023-12-23
Fixed
7.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2021-12-15
N/A
1.00000000
NC
3996.69000000
0.000259354464
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
52939317.95000000
CZK
2085478.62000000
EUR
2021-12-15
3996.69000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 9.850000% 06/28/2027
N/A
5060000000.00000000
PA
1549753.01000000
0.100567059847
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.000000% 06/26/2026
N/A
35200000.00000000
PA
1529554.90000000
0.099256357739
Long
DBT
NUSS
CZ
N
2
2026-06-26
Fixed
1.00000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2021-10-08
N/A
1.00000000
NC
196.22000000
0.000012733169
N/A
DFE
CN
N
2
MORGAN STANLEY & CO, INC
N/A
354000.60000000
USD
2289116.00000000
CNY
2021-10-08
196.22000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.664000% 10/06/2030
N/A
4750000.00000000
PA
301413.74000000
0.019559435235
Long
DBT
NUSS
EG
N
2
2030-10-06
Fixed
14.66400000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT
529900LIZJABE4JJS826
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT 4.700000% 10/22/2031
N/A
280000.00000000
PA
USD
307456.80000000
0.019951583385
Long
DBT
NUSS
XX
N
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.280000% 08/14/2041
91087BAQ3
1402000.00000000
PA
USD
1430460.60000000
0.092825899250
Long
DBT
NUSS
MX
N
2
2041-08-14
Fixed
4.28000000
N
N
N
N
N
N
AYDEM YENILENEBILIR ENERJI ANONIM SIRKETI
9845009C50EDA74OA532
AYDEM YENILENEBILIR ENERJI AS 144A 7.750000% 02/02/2027
054644AA7
655000.00000000
PA
USD
637970.00000000
0.041399349933
Long
DBT
NUSS
TR
N
2
2027-02-02
Fixed
7.75000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 1-DAY BRL - CETIP
N/A
21544051.00000000
NC
-423570.50000000
-0.02748647013
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-21544051.00000000
BRL
-423570.50000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.000000% 10/12/2046
836205AV6
357000.00000000
PA
USD
316172.05000000
0.020517136130
Long
DBT
NUSS
ZA
N
2
2046-10-12
Fixed
5.00000000
N
N
N
N
N
N
Mexico City Airport Trust
N/A
MEXICO CITY AIRPORT TRUST 144A 5.500000% 07/31/2047
59284MAD6
715000.00000000
PA
USD
730458.30000000
0.047401129791
Long
DBT
NUSS
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 9.375000% 05/08/2048
N/A
2800000.00000000
PA
USD
2885568.00000000
0.187251186399
Long
DBT
NUSS
AO
N
2
2048-05-08
Fixed
9.37500000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2021-12-15
N/A
1.00000000
NC
1060.06000000
0.000068789746
N/A
DFE
HU
N
2
MERRILL LYNCH
N/A
506463.31000000
EUR
182921025.00000000
HUF
2021-12-15
1060.06000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 6.750000% 09/21/2047
71654QCC4
6432000.00000000
PA
USD
5609765.28000000
0.364030653273
Long
DBT
NUSS
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
7185000.00000000
PA
1750826.43000000
0.113615179471
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-162571.68000000
-0.01054965260
N/A
DFE
HU
N
2
MERRILL LYNCH
N/A
3536714.16000000
USD
1048122925.93000000
HUF
2021-12-15
-162571.68000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.500000% 04/01/2056
698299BM5
444000.00000000
PA
USD
483049.80000000
0.031346219579
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2021-10-08
N/A
1.00000000
NC
USD
-7455.95000000
-0.00048383385
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
4601751.00000000
CNY
704576.80000000
USD
2021-10-08
-7455.95000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.875000% 10/17/2040
N/A
1169000.00000000
PA
1445002.41000000
0.093769550959
Long
DBT
NUSS
CI
N
2
2040-10-17
Fixed
6.87500000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 8.250000% 02/28/2048
N/A
1154000.00000000
PA
USD
1246539.26000000
0.080890817797
Long
DBT
NUSS
KE
N
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
ATLANTICA TRANSMISION SUR S.A.
549300PQCSQSSZTVDH16
ABY TRANSMISION SUR SA 144A 6.875000% 04/30/2043
00289LAA3
262980.90000000
PA
USD
339931.74000000
0.022058957408
Long
DBT
NUSS
PE
N
2
2043-04-30
Fixed
6.87500000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 8.000000% 11/26/2029
035198AD2
731000.00000000
PA
USD
747900.72000000
0.048533008797
Long
DBT
NUSS
AO
N
2
2029-11-26
Fixed
8.00000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 9.750000% 11/01/2028
N/A
751000.00000000
PA
USD
880697.70000000
0.057150512198
Long
DBT
NUSS
UA
N
2
2028-11-01
Fixed
9.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-6002.00000000
-0.00038948367
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
487013.76000000
USD
415041.00000000
EUR
2021-10-04
-6002.00000000
N
N
N
Azarbayjan Respublikasi
549300P74FF45UQVU281
REPUBLIC OF AZERBAIJAN 5.125000% 09/01/2029
N/A
1711000.00000000
PA
USD
1902820.21000000
0.123478407657
Long
DBT
NUSS
AZ
N
2
2029-09-01
Fixed
5.12500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS REC: 6.69% FIXED
N/A
7233498.00000000
NC
-18664.37000000
-0.00121117416
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2031-05-27
0.00000000
MXN
0.00000000
MXN
-7233498.00000000
MXN
-18664.37000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.500000% 06/02/2041
71654QAZ5
201000.00000000
PA
USD
177891.03000000
0.011543760679
Long
DBT
NUSS
MX
N
2
2041-06-02
Fixed
6.50000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 3.875000% 04/16/2050
N/A
260000.00000000
PA
USD
296839.40000000
0.019262595724
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
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
1083750.00000000
0.070327045926
Long
DBT
NUSS
PK
N
2
2025-09-30
Fixed
8.25000000
N
N
N
N
N
N
CEMEX, Sociedad Anonima Bursatil de Capital Variable
549300RIG2CXWN6IV731
CEMEX SAB DE CV 144A 5.125000% MATURITY: PERPETUAL
151290CA9
200000.00000000
PA
USD
203702.00000000
0.013218694264
Long
DBT
NUSS
MX
N
2
2170-09-08
Fixed
5.12500000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2021-12-28
N/A
1.00000000
NC
-349.25000000
-0.00002266364
N/A
DFE
TH
N
2
DEUTSCHE BANK SECURITIES, INC.
N/A
323544.12000000
USD
10938315.00000000
THB
2021-12-28
-349.25000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2021-10-26
N/A
1.00000000
NC
-39778.75000000
-0.00258133515
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
1499994.28000000
USD
13117450.00000000
TRY
2021-10-26
-39778.75000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.050000% 11/29/2029
N/A
31030000.00000000
PA
1203691.16000000
0.078110305412
Long
DBT
NUSS
CZ
N
2
2029-11-29
Fixed
0.05000000
N
N
N
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP REC: 1.8775 % FIXED
N/A
39645445.00000000
NC
-62424.72000000
-0.00405088456
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2026-07-09
0.00000000
CZK
0.00000000
CZK
-39645445.00000000
CZK
-62424.72000000
N
N
N
N/A
N/A
KOREA 10YR BND FU DEC21 FINANCIAL COMMODITY FUTURE.
N/A
-14.00000000
NC
-1468699.32000000
-0.09530729829
N/A
DIR
KR
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Korea Govt. Bond Futures
KOFEX Korea Exchange 10 Year Treasury Electronic Day Session Bond Future Dec 2021
2021-12-24
-1508110.35000000
KRW
39411.03000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2021-12-13
N/A
1.00000000
NC
-2389.28000000
-0.00015504590
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
114735.54000000
USD
2461300.00000000
CZK
2021-12-13
-2389.28000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 8.700200% 03/01/2049
03846JW89
816000.00000000
PA
USD
791573.86000000
0.051367059936
Long
DBT
NUSS
EG
N
2
2049-03-01
Fixed
8.70020000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2021-10-08
N/A
1.00000000
NC
USD
-6222.79000000
-0.00040381124
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
4622410.00000000
CNY
709006.54000000
USD
2021-10-08
-6222.79000000
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 04/04/2044
221602AC9
563000.00000000
PA
USD
554560.63000000
0.035986722856
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
SA GLOBAL SUKUK LIMITED
5493007DFAVKU7UOGR47
SA GLOBAL SUKUK LTD 1.602000% 06/17/2026
N/A
1680000.00000000
PA
USD
1669516.80000000
0.108338809383
Long
DBT
NUSS
SA
N
2
2026-06-17
Fixed
1.60200000
N
N
N
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT 7.000000% 04/04/2044
P3699PGH4
2052000.00000000
PA
USD
2021240.52000000
0.131162975667
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
SAGICOR FINANCIAL COMPANY LTD
213800UV8KH689JE3785
SAGICOR FINANCIAL CO LTD 144A 5.300000% 05/13/2028
78669QAA8
520000.00000000
PA
USD
544700.00000000
0.035346843752
Long
DBT
NUSS
US
N
2
2028-05-13
Fixed
5.30000000
N
N
N
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
811723.50000000
0.052674616714
Long
DBT
NUSS
ID
N
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 2.550000% 07/27/2033
168863DT2
7436000.00000000
PA
USD
7248910.24000000
0.470398563661
Long
DBT
NUSS
CL
N
2
2033-07-27
Fixed
2.55000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.750000% 04/27/2032
91087BAK6
1222000.00000000
PA
USD
1374468.94000000
0.089192470835
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 08/01/2029
N/A
392000.00000000
PA
USD
412057.07000000
0.026739337011
Long
DBT
NUSS
OM
N
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2021-10-04
N/A
1.00000000
NC
-10252.98000000
-0.00066533960
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
433603.50000000
USD
365288.00000000
EUR
2021-10-04
-10252.98000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 6.750000% 09/21/2047
71656MBM0
553000.00000000
PA
USD
482307.25000000
0.031298033791
Long
DBT
NUSS
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2021-10-04
N/A
1.00000000
NC
USD
10629.12000000
0.000689748198
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
458187.00000000
EUR
541644.94000000
USD
2021-10-04
10629.12000000
N
N
N
CHINALCO CAPITAL HOLDINGS LIMITED
5493003PX4GYVUD3CQ19
CHINALCO CAPITAL HOLDINGS LTD 4.100000% MATURITY: PERPETUAL
N/A
224000.00000000
PA
USD
234606.36000000
0.015224149715
Long
DBT
NUSS
CN
N
2
2170-03-11
Fixed
4.10000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
REPUBLIC OF ZAMBIA 5.375000% 09/20/2022
N/A
3087000.00000000
PA
USD
2312656.92000000
0.150073660369
Long
DBT
NUSS
ZM
N
2
2022-09-20
Fixed
5.37500000
Y
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT TREASURY BILL ZERO COUPON 01/11/2022
BP0468739
21625000.00000000
PA
1331516.68000000
0.086405199267
Long
DBT
NUSS
EG
N
2
2022-01-11
Fixed
0.00000000
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
176106.60000000
0.011427964886
Long
DBT
NUSS
RU
N
2
2025-11-22
Fixed
6.80000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.250000% 10/22/2031
N/A
794110000.00000000
PA
2587729.71000000
0.167923770391
Long
DBT
NUSS
HU
N
2
2031-10-22
Fixed
3.25000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-118537.56000000
-0.00769217663
N/A
DFE
HU
N
2
MERRILL LYNCH
N/A
2550184.88000000
USD
755352009.36000000
HUF
2021-12-15
-118537.56000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.000000% 02/01/2028
718286CC9
262000.00000000
PA
USD
279476.11000000
0.018135851647
Long
DBT
NUSS
PH
N
2
2028-02-01
Fixed
3.00000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 7.696000% 02/23/2038
N/A
2619000.00000000
PA
USD
2589536.25000000
0.168041000953
Long
DBT
NUSS
NG
N
2
2038-02-23
Fixed
7.69600000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-246956.43000000
-0.01602557434
N/A
DFE
MX
N
2
CITIGROUP GLOBAL MARKETS
N/A
8339252.40000000
USD
168045159.00000000
MXN
2021-12-15
-246956.43000000
N
N
N
GTLK EUROPE CAPITAL DESIGNATED ACTIVITY COMPANY
635400I6H6CSZ39WIN49
GTLK EUROPE CAPITAL DAC 4.949000% 02/18/2026
N/A
718000.00000000
PA
USD
763539.87000000
0.049547869438
Long
DBT
NUSS
RU
N
2
2026-02-18
Fixed
4.94900000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.875000% 03/17/2036
900123AY6
2482000.00000000
PA
USD
2407540.00000000
0.156230843045
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.87500000
N
N
N
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT 6.125000% 02/19/2031
P3699PGK7
1921000.00000000
PA
USD
1969044.21000000
0.127775836298
Long
DBT
NUSS
CR
N
2
2031-02-19
Fixed
6.12500000
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2021-12-15
N/A
1.00000000
NC
USD
-1300.06000000
-0.00008436390
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
2195168.74000000
PEN
530298.04000000
USD
2021-12-15
-1300.06000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2021-12-15
N/A
1.00000000
NC
-123217.50000000
-0.00799586877
N/A
DFE
CL
N
2
STANDARD BANK
N/A
2166526.13000000
USD
1669850013.00000000
CLP
2021-12-15
-123217.50000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.750000% 09/30/2049
836205BB9
3793000.00000000
PA
USD
3612832.50000000
0.234445063117
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 04/25/2028
N/A
1358000.00000000
PA
364219.28000000
0.023635032094
Long
DBT
NUSS
PL
N
2
2028-04-25
Fixed
2.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.119000% 11/30/2034
N/A
5564000.00000000
PA
1357333.37000000
0.088080504036
Long
DBT
NUSS
MY
N
2
2034-11-30
Fixed
4.11900000
N
N
N
N
N
N
2021-09-30
SEI INSTITUTIONAL INTERNATIONAL TRUST
Peter Rodriguez
Peter Rodriguez
CFO