0001752724-22-123689.txt : 20220526
0001752724-22-123689.hdr.sgml : 20220526
20220526115049
ACCESSION NUMBER: 0001752724-22-123689
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220331
FILED AS OF DATE: 20220526
PERIOD START: 20220930
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: 22967260
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
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C000017610
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SEI INSTITUTIONAL INTERNATIONAL TRUST
811-05601
0000835597
E8Z427H460ISEID6A824
ONE FREEDOM VALLEY DRIVE
OAKS
19456
8003425734
SIT Emerging Markets Debt Fund
S000006421
1BNBZ6S2ZXNZOA0AG379
2022-09-30
2022-03-31
N
1617712509.41
174678493.95
1443034015.46
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
94690965.53000000
USD
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-1871.53000000
-0.00012969410
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
155025289.05000000
INR
2026569.73000000
USD
2022-06-15
-1871.53000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-05-23
N/A
1.00000000
NC
-394.87000000
-0.00002736387
N/A
DFE
CN
N
2
STANDARD CHARTERED BANK
N/A
415191.15000000
USD
2638191.00000000
CNY
2022-05-23
-394.87000000
N
N
N
BRK: JPMORGAN CHASE BANK
N/A
BRK: JPMORGAN CHASE BANK PAY: 2.48%
N/A
26000000.00000000
NC
9441.44000000
0.000654277023
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE BANK
N/A
Y
2023-10-27
0.00000000
MYR
0.00000000
MYR
-26000000.00000000
MYR
9441.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-28
N/A
1.00000000
NC
USD
297.63000000
0.000020625293
N/A
DFE
US
N
2
JP MORGAN
N/A
333000.00000000
EUR
371025.94000000
USD
2022-04-28
297.63000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 4.750000% 06/15/2026
N/A
900000.00000000
PA
USD
902880.00000000
0.062568171666
Long
DBT
NUSS
OM
N
2
2026-06-15
Fixed
4.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/11/2025
N/A
457000.00000000
PA
484537.15000000
0.033577666555
Long
DBT
NUSS
EG
N
2
2025-04-11
Fixed
4.75000000
N
N
N
N
N
N
HAZINE MUSTESARLIGI VARLIK KIRALAMA ANONIM SIRKETI
6354003QFJP7RDXEOZ20
HAZINE MUSTESARLIGI VARLIK KIRALAMA AS 144A 7.250000% 02/24/2027
421790AH9
3059000.00000000
PA
USD
3069132.94000000
0.212686111839
Long
DBT
NUSS
TR
N
2
2027-02-24
Fixed
7.25000000
N
N
N
N
N
N
The Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXPORT-IMPORT BANK OF KOREA MTN 8.000000% 05/15/2024
N/A
8800000000.00000000
PA
643587.12000000
0.044599580682
Long
DBT
NUSS
KR
N
2
2024-05-15
Fixed
8.00000000
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
-252256.73000000
-0.01748099679
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
-252256.73000000
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 5.375000% 04/24/2030
N/A
4263000.00000000
PA
USD
4091721.36000000
0.283549889757
Long
DBT
NUSS
KZ
N
2
2030-04-24
Fixed
5.37500000
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
343609.99000000
0.023811634813
Long
DBT
NUSS
XX
N
2
2029-09-21
Fixed
3.99400000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
4729.78000000
0.000327766355
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
257566.95000000
EUR
1294191.00000000
RON
2022-04-06
4729.78000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.250000% 10/26/2050
N/A
4553000000.00000000
PA
901307.71000000
0.062459214429
Long
DBT
NUSS
CO
N
2
2050-10-26
Fixed
7.25000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.100000% 03/28/2035
N/A
2400000.00000000
PA
USD
420000.00000000
0.029105343013
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
America Movil, S.A.B. de C.V.
5493000FNR3UCEAONM59
AMERICA MOVIL SAB DE CV 7.125000% 12/09/2024
N/A
18110000.00000000
PA
855734.28000000
0.059301047018
Long
DBT
NUSS
MX
N
2
2024-12-09
Fixed
7.12500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.375000% 01/23/2045
71654QBR2
1059000.00000000
PA
USD
846977.61000000
0.058694223485
Long
DBT
NUSS
MX
N
2
2045-01-23
Fixed
6.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
23145437.00000000
NC
-69976.69000000
-0.00484927515
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-05-21
0.00000000
MXN
0.00000000
MXN
-23145437.00000000
MXN
-69976.69000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3361902.00000000
NC
-87902.04000000
-0.00609147387
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-3361902.00000000
BRL
-87902.04000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 7.500000% 03/31/2030
N/A
628.09500000
PA
USD
232.40000000
0.000016104956
Long
DBT
NUSS
RU
N
2
2030-03-31
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-19767.42000000
-0.00136985128
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
1630499.08000000
EUR
1794442.18000000
USD
2022-04-05
-19767.42000000
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 6.875000% 04/29/2030
279158AN9
492000.00000000
PA
USD
516265.44000000
0.035776387421
Long
DBT
NUSS
CO
N
2
2030-04-29
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-04-13
N/A
1.00000000
NC
USD
-2580.00000000
-0.00017878996
N/A
DFE
US
N
2
JP MORGAN
N/A
500820000.00000000
COP
130728.27000000
USD
2022-04-13
-2580.00000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 04/15/2039
N/A
4760000000.00000000
PA
365717.14000000
0.025343625727
Long
DBT
NUSS
ID
N
2
2039-04-15
Fixed
8.37500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 5.103000% 04/23/2048
74727PAY7
3521000.00000000
PA
USD
4305084.45000000
0.298335618140
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 04/03/2049
N/A
1419000.00000000
PA
1547896.66000000
0.107266817234
Long
DBT
NUSS
RO
N
2
2049-04-03
Fixed
4.62500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.500000% 02/28/2041
N/A
23055000.00000000
PA
1056151.72000000
0.073189662106
Long
DBT
NUSS
ZA
N
2
2041-02-28
Fixed
6.50000000
N
N
N
N
N
N
BANCO MERCANTIL DEL NORTE S.A.
N/A
BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN 144A 7.500000% MATURITY: PERPETUAL
05971PAB4
476000.00000000
PA
USD
466722.76000000
0.032343157195
Long
DBT
NUSS
MX
N
2
2170-09-27
Fixed
7.50000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
48754.88000000
0.003378636918
N/A
DFE
MX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1163166.14000000
USD
24483255.00000000
MXN
2022-06-15
48754.88000000
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
527350.00000000
0.036544530090
Long
DBT
NUSS
JM
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
79842000.00000000
PA
2414833.39000000
0.167344176514
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
3.30000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 5.375000% 04/24/2032
P5015VAK2
124000.00000000
PA
USD
129581.24000000
0.008979777234
Long
DBT
NUSS
GT
N
2
2032-04-24
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
89776.33000000
0.006221359236
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
11891261.84000000
EGP
737122.60000000
USD
2022-06-15
89776.33000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.250000% 02/10/2027
N/A
17840000.00000000
PA
673860.74000000
0.046697495192
Long
DBT
NUSS
CZ
N
2
2027-02-10
Fixed
0.25000000
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
79605.00000000
0.005516501977
Long
DBT
NUSS
MO
N
2
2025-07-15
Fixed
6.00000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-04-04
N/A
1.00000000
NC
-4021.02000000
-0.00027865039
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
506330.69000000
USD
7340000.00000000
ZAR
2022-04-04
-4021.02000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
170563.25000000
0.011819766420
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2083305.86000000
USD
9456750.28000000
PLN
2022-06-15
170563.25000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-4557.97000000
-0.00031586019
N/A
DFE
TH
N
2
STANDARD BANK
N/A
852833.67000000
USD
28171654.56000000
THB
2022-06-15
-4557.97000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIAGENL REP 1.90% 09/01/2030
N/A
587219870.00000000
PA
748832.66000000
0.051892931973
Long
DBT
NUSS
CL
N
2
2030-09-01
Fixed
0.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 5.750000% 11/03/2027
N/A
1609700000.00000000
PA
362457.73000000
0.025117753713
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
5.75000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.890000% 11/18/2031
N/A
15500000.00000000
PA
2458688.53000000
0.170383269116
Long
DBT
NUSS
CN
N
2
2031-11-18
Fixed
2.89000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.232000% 06/30/2031
N/A
1200000.00000000
PA
289481.08000000
0.020060586022
Long
DBT
NUSS
MY
N
2
2031-06-30
Fixed
4.23200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-04-13
N/A
1.00000000
NC
USD
-502.81000000
-0.00003484394
N/A
DFE
US
N
2
JP MORGAN
N/A
370575.66000000
PEN
99190.49000000
USD
2022-04-13
-502.81000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 03/09/2020
N/A
2750000.00000000
PA
USD
319825.00000000
0.022163372212
Long
DBT
NUSS
LB
N
2
2023-12-31
Fixed
6.37500000
Y
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 03/26/2031
N/A
12545100000.00000000
PA
2813578.41000000
0.194976582662
Long
DBT
NUSS
CO
N
2
2031-03-26
Fixed
7.00000000
N
N
N
N
N
N
BRK: BNP PARIBAS
N/A
BRK: BNP PARIBAS PAY: 6.395
N/A
752359754.00000000
NC
13095.83000000
0.000907520533
N/A
DIR
XX
N
2
BRK: BNP PARIBAS
N/A
Y
2027-01-06
0.00000000
COP
0.00000000
COP
-752359754.00000000
COP
13095.83000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 9.000000% 03/15/2029
N/A
42750000000.00000000
PA
3352760.84000000
0.232341081643
Long
DBT
NUSS
ID
N
2
2029-03-15
Fixed
9.00000000
N
N
N
N
N
N
VEDANTA RESOURCES LIMITED
2138007MYEKPEAZQTW83
VEDANTA RESOURCES LTD 7.125000% 05/31/2023
G9328DAJ9
200000.00000000
PA
USD
188800.00000000
0.013083544668
Long
DBT
NUSS
IN
N
2
2023-05-31
Fixed
7.12500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.875000% 10/09/2026
900123CK4
1017000.00000000
PA
USD
915666.12000000
0.063454229781
Long
DBT
NUSS
TR
N
2
2026-10-09
Fixed
4.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-05-16
N/A
1.00000000
NC
USD
411.70000000
0.000028530165
N/A
DFE
US
N
2
JP MORGAN
N/A
13297500.00000000
MXN
662353.09000000
USD
2022-05-16
411.70000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
-1895.54000000
-0.00013135795
N/A
DFE
PA
N
2
JP MORGAN
N/A
1722067.98000000
USD
7194800.00000000
PLN
2022-05-16
-1895.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-04-13
N/A
1.00000000
NC
USD
-19773.41000000
-0.00137026638
N/A
DFE
US
N
2
JP MORGAN
N/A
12132894828.75000000
COP
3209760.54000000
USD
2022-04-13
-19773.41000000
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 05/07/2028
P17625AB3
2941000.00000000
PA
USD
241162.00000000
0.016712149361
Long
DBT
NUSS
VE
N
2
2028-05-07
Floating
0.00000000
Y
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-04
N/A
1.00000000
NC
-487.56000000
-0.00003378714
N/A
DFE
XX
N
2
JP MORGAN
N/A
178761.69000000
USD
160108.00000000
EUR
2022-05-04
-487.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-14784.39000000
-0.00102453510
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
4742940000.00000000
COP
1237460.86000000
USD
2022-06-15
-14784.39000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:28D MEXICAN INTERBANK RATE (TIIE)
N/A
148276430.00000000
NC
-276782.45000000
-0.01918059082
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-11-22
0.00000000
MXN
0.00000000
MXN
-148276430.00000000
MXN
-276782.45000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:7.205
N/A
4520800000.00000000
NC
-22084.60000000
-0.00153042823
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-02-22
0.00000000
CLP
0.00000000
CLP
-4520800000.00000000
CLP
-22084.60000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.400000% 05/26/2023
N/A
2649000.00000000
PA
USD
321323.70000000
0.022267229778
Long
DBT
NUSS
LB
N
2
2023-05-26
Fixed
6.40000000
Y
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 7.375000% 10/28/2032
68205LAE3
701000.00000000
PA
USD
801768.75000000
0.055561320205
Long
DBT
NUSS
OM
N
2
2032-10-28
Fixed
7.37500000
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
1191000.00000000
PA
USD
1129973.16000000
0.078305372423
Long
DBT
NUSS
MX
N
2
2031-08-11
Fixed
2.72000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 9.500000% 07/15/2052
P01012CC8
127000.00000000
PA
USD
61277.50000000
0.004246434896
Long
DBT
NUSS
SV
N
2
2052-07-15
Fixed
9.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.921000% 07/06/2048
N/A
3070000.00000000
PA
768028.60000000
0.053223180588
Long
DBT
NUSS
MY
N
2
2048-07-06
Fixed
4.92100000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-15
N/A
1.00000000
NC
USD
11040.77000000
0.000765108090
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
48197638.00000000
CNY
7575732.83000000
USD
2022-06-15
11040.77000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-04-14
N/A
1.00000000
NC
844.01000000
0.000058488572
N/A
DFE
ID
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
233678.64000000
USD
3367449453.00000000
IDR
2022-04-14
844.01000000
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.688000% 05/15/2029
200447AL4
638000.00000000
PA
USD
625240.00000000
0.043328153965
Long
DBT
NUSS
MX
N
2
2029-05-15
Fixed
4.68800000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.700000% 03/16/2039
N/A
21712000.00000000
PA
7909.65000000
0.000548126372
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 6.750000% 09/21/2047
71656MBM0
553000.00000000
PA
USD
449533.70000000
0.031151982225
Long
DBT
NUSS
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Empresa de los Ferrocarriles del Estado
8755006LY8XNRFOGWN86
EMPRESA DE LOS FERROCARRILES DEL ESTADO 3.830000% 09/14/2061
P3742RAX8
350000.00000000
PA
USD
290941.00000000
0.020161756194
Long
DBT
NUSS
CL
N
2
2061-09-14
Fixed
3.83000000
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
2686.70000000
0.000186184107
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.125000% 03/11/2039
N/A
613000.00000000
PA
637526.55000000
0.044179592661
Long
DBT
NUSS
RO
N
2
2039-03-11
Fixed
4.12500000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-04-01
N/A
1.00000000
NC
463.18000000
0.000032097649
N/A
DFE
CN
N
2
JP MORGAN
N/A
163494.51000000
USD
1040000.00000000
CNY
2022-04-01
463.18000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
492465.05000000
0.034127057624
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
6810070.88000000
USD
30639870.92000000
PLN
2022-06-15
492465.05000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
20721000000.00000000
PA
5165692.82000000
0.357974431971
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
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
176000.00000000
0.012196524691
Long
DBT
NUSS
CN
N
2
2022-12-05
Fixed
6.95000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.900000% 11/26/2022
718286BX4
45000000.00000000
PA
864261.80000000
0.059891990815
Long
DBT
NUSS
PH
N
2
2022-11-26
Fixed
3.90000000
N
N
N
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
TURKIYE IHRACAT KREDI BANKASI AS 144A 5.375000% 10/24/2023
90015LAB3
1033000.00000000
PA
USD
1016003.02000000
0.070407419999
Long
DBT
NUSS
TR
N
2
2023-10-24
Fixed
5.37500000
N
N
N
N
N
N
Emirate of Sharjah
N/A
FINANCE DEPARTMENT GOVERNMENT OF SHARJAH MTN 4.000000% 07/28/2050
38381CAB8
1465000.00000000
PA
USD
1184634.16000000
0.082093294219
Long
DBT
NUSS
AE
N
2
2050-07-28
Fixed
4.00000000
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
50611.00000000
0.003507263131
Long
DBT
NUSS
CN
N
2
2025-07-09
Fixed
7.00000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.688000% 05/15/2029
200447AL4
1234000.00000000
PA
USD
1209320.00000000
0.083803984316
Long
DBT
NUSS
MX
N
2
2029-05-15
Fixed
4.68800000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
26000000.00000000
NC
-96824.83000000
-0.00670980926
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-09-16
0.00000000
MXN
0.00000000
MXN
-26000000.00000000
MXN
-96824.83000000
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
598342.50000000
0.041464199290
Long
DBT
NUSS
MX
N
2
2170-09-27
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KZT SETTLE 2022-04-20
N/A
1.00000000
NC
USD
-19195.60000000
-0.00133022505
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
352108683.00000000
KZT
729758.93000000
USD
2022-04-20
-19195.60000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 11/07/2047
N/A
56125000.00000000
PA
2681374.55000000
0.185815061964
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2022-05-23
N/A
1.00000000
NC
11210.28000000
0.000776854868
N/A
DFE
RU
N
2
JP MORGAN
N/A
47127.19000000
USD
5113300.00000000
RUB
2022-05-23
11210.28000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-19
N/A
1.00000000
NC
91735.86000000
0.006357151599
N/A
DFE
XX
N
2
JP MORGAN
N/A
8611008.99000000
USD
7818806.00000000
EUR
2022-04-19
91735.86000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 9.250000% 05/28/2042
N/A
2626000000.00000000
PA
655438.32000000
0.045420850304
Long
DBT
NUSS
CO
N
2
2042-05-28
Fixed
9.25000000
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
1001011.00000000
0.069368496464
Long
DBT
NUSS
VN
N
2
2029-05-07
Fixed
5.12500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.150000% 06/19/2020
N/A
5287000.00000000
PA
USD
628095.60000000
0.043526042579
Long
DBT
NUSS
LB
N
2
2023-12-31
Fixed
6.15000000
Y
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 8.500000% 10/12/2035
Y20721AE9
194000.00000000
PA
USD
276531.95000000
0.019163231568
Long
DBT
NUSS
ID
N
2
2035-10-12
Fixed
8.50000000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 10.000000% 09/07/2023
BR1345247
1112600000.00000000
PA
307907.39000000
0.021337500481
Long
DBT
NUSS
UG
N
2
2023-09-07
Fixed
10.00000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.000000% 01/31/2030
N/A
48100000.00000000
PA
3004665.87000000
0.208218644731
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-7428.59000000
-0.00051478966
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
21750000.00000000
MXN
1069196.32000000
USD
2022-06-15
-7428.59000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 3.750000% 09/12/2031
105756CE8
1104000.00000000
PA
USD
996360.00000000
0.069046189440
Long
DBT
NUSS
BR
N
2
2031-09-12
Fixed
3.75000000
N
N
N
N
N
N
Blossom Joy Limited
300300LGCJ91O86HIU38
BLOSSOM JOY LTD 3.100000% MATURITY: PERPETUAL
N/A
202000.00000000
PA
USD
198290.91000000
0.013741249885
Long
DBT
NUSS
CN
N
2
2170-04-21
Fixed
3.10000000
N
N
N
N
N
N
Minerva Luxembourg S.A.
222100NM3G3RCPGZ2Z17
MINERVA LUXEMBOURG SA 144A 4.375000% 03/18/2031
603374AF6
297000.00000000
PA
USD
268695.90000000
0.018620205561
Long
DBT
NUSS
BR
N
2
2031-03-18
Fixed
4.37500000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-06-30
N/A
1.00000000
NC
3459.41000000
0.000239731701
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
191087.90000000
EUR
973761.00000000
RON
2022-06-30
3459.41000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS REC: 2.158% FIXED
N/A
66602581.00000000
NC
-287102.13000000
-0.01989572850
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-08-30
0.00000000
CZK
0.00000000
CZK
-66602581.00000000
CZK
-287102.13000000
N
N
N
BROKER: CITIGROUP
N/A
BROKER: CITIGROUP RECEIVE: 2.4251 FIXED
N/A
99100000.00000000
NC
3931.82000000
0.000272468975
N/A
DIR
XX
N
2
BROKER: CITIGROUP
N/A
Y
2027-03-16
0.00000000
CNY
0.00000000
CNY
-99100000.00000000
CNY
3931.82000000
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
1637130.96000000
0.113450614639
Long
DBT
NUSS
KZ
N
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 2.125000% 12/01/2030
N/A
400000.00000000
PA
USD
333080.00000000
0.023081922978
Long
DBT
NUSS
RS
N
2
2030-12-01
Fixed
2.12500000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA 6.0% 05/16/2024
N/A
1755099.00000000
PA
USD
116275.31000000
0.008057697098
Long
DBT
NUSS
VE
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT 6.250000% 01/19/2027
P5178RAC2
326000.00000000
PA
USD
309703.26000000
0.021461951463
Long
DBT
NUSS
HN
N
2
2027-01-19
Fixed
6.25000000
N
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 10/13/2024
P97475AP5
3073600.00000000
PA
USD
252035.20000000
0.017465645112
Long
DBT
NUSS
VE
N
2
2024-10-13
Floating
0.00000000
Y
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-04-13
N/A
1.00000000
NC
-140.42000000
-0.00000973088
N/A
DFE
TR
N
2
JP MORGAN
N/A
53799.05000000
USD
792000.00000000
TRY
2022-04-13
-140.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-75595.39000000
-0.00523864227
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
42780000.00000000
TRY
2690566.04000000
USD
2022-06-15
-75595.39000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.850000% 03/23/2027
N/A
742000.00000000
PA
USD
88112.50000000
0.006106058419
Long
DBT
NUSS
LB
N
2
2027-03-23
Fixed
6.85000000
Y
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
223725.00000000
0.015503792537
Long
DBT
NUSS
AR
N
2
2025-02-01
Fixed
6.87500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.9865%
N/A
12429983.00000000
NC
205544.65000000
0.014243922721
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-03-25
0.00000000
PLN
0.00000000
PLN
-12429983.00000000
PLN
205544.65000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-02
N/A
1.00000000
NC
44346.54000000
0.003073145852
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
656369.27000000
USD
3389162.73000000
BRL
2022-06-02
44346.54000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 9.750000% 05/17/2035
P7807HAQ8
1000000.00000000
PA
USD
62500.00000000
0.004331152234
Long
DBT
NUSS
VE
N
2
2035-05-17
Fixed
9.75000000
Y
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 7.625000% 05/29/2032
N/A
366000.00000000
PA
USD
331135.57000000
0.022947177020
Long
DBT
NUSS
EG
N
2
2032-05-29
Fixed
7.62500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 05/15/2038
N/A
20345000000.00000000
PA
1448464.84000000
0.100376347645
Long
DBT
NUSS
ID
N
2
2038-05-15
Fixed
7.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.375000% 04/15/2032
N/A
11804000000.00000000
PA
798201.07000000
0.055314085561
Long
DBT
NUSS
ID
N
2
2032-04-15
Fixed
6.37500000
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
534691.95000000
0.037053315741
Long
DBT
NUSS
AE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2022-04-08
N/A
1.00000000
NC
3988.88000000
0.000276423144
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
973580.65000000
EUR
4532652.00000000
PLN
2022-04-08
3988.88000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.000000% 06/17/2042
N/A
12000000.00000000
PA
283309.07000000
0.019632875383
Long
DBT
NUSS
TH
N
2
2042-06-17
Fixed
2.00000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-02
N/A
1.00000000
NC
63945.77000000
0.004431341833
N/A
DFE
BR
N
2
J P MORGAN CHASE BANK
N/A
11377173.46000000
USD
55337434.00000000
BRL
2022-06-02
63945.77000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.280000% 08/14/2041
91087BAQ3
1402000.00000000
PA
USD
1306902.34000000
0.090566287835
Long
DBT
NUSS
MX
N
2
2041-08-14
Fixed
4.28000000
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
750902.50000000
0.052036368647
Long
DBT
NUSS
KZ
N
2
2022-12-10
Fixed
4.12500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.125000% 05/15/2024
N/A
77240000000.00000000
PA
5773653.03000000
0.400105123520
Long
DBT
NUSS
ID
N
2
2024-05-15
Fixed
8.12500000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
41.13000000
0.000002850244
N/A
DFE
TH
N
2
STANDARD BANK
N/A
850002.67000000
USD
28230373.73000000
THB
2022-06-15
41.13000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.750000% 03/16/2025
698299BE3
859000.00000000
PA
USD
873783.39000000
0.060551822108
Long
DBT
NUSS
PA
N
2
2025-03-16
Fixed
3.75000000
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
301000.00000000
0.020858829159
Long
DBT
NUSS
VE
N
2
2021-11-17
Fixed
9.00000000
Y
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
271840.92000000
0.018838150527
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VEN 5.375% 04/12/2027
N/A
199000.00000000
PA
USD
13183.75000000
0.000913613252
Long
DBT
NUSS
VE
N
2
2027-04-12
Fixed
5.37500000
Y
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.900000% 05/23/2029
N/A
37889000.00000000
PA
13802.91000000
0.000956520071
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.070000% 09/30/2026
N/A
6500000.00000000
PA
1580240.86000000
0.109508219700
Long
DBT
NUSS
MY
N
2
2026-09-30
Fixed
4.07000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.900000% 07/23/2031
N/A
54797000.00000000
PA
19962.48000000
0.001383368637
Long
DBT
NUSS
RU
N
2
2031-07-23
Fixed
6.90000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
-502130.22000000
-0.03479683878
N/A
DFE
PA
N
2
JP MORGAN
N/A
15050543.40000000
USD
60850250.00000000
PLN
2022-05-16
-502130.22000000
N
N
N
BIOCEANICO SOVEREIGN CERTIFICATE LIMITED
N/A
BIOCEANICO SOVEREIGN CERTIFICATE LTD ZERO COUPON 06/05/2034
G11176AA5
1639214.30530000
PA
USD
1190889.19000000
0.082526758014
Long
DBT
NUSS
PY
N
2
2034-06-05
Fixed
0.00000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-04-21
N/A
1.00000000
NC
23008.09000000
0.001594424646
N/A
DFE
TR
N
2
GOLDMAN, SACHS & CO.
N/A
506559.73000000
USD
7860338.00000000
TRY
2022-04-21
23008.09000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.750000% 02/28/2048
N/A
28796910.00000000
PA
1650661.54000000
0.114388262668
Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
8.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-04-14
N/A
1.00000000
NC
USD
-2162.40000000
-0.00014985093
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
8901307423.00000000
IDR
617760.25000000
USD
2022-04-14
-2162.40000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1D BRL- CETIP
N/A
5677464.00000000
NC
-121095.40000000
-0.00839172179
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-5677464.00000000
BRL
-121095.40000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 6.125000% 01/18/2041
195325BM6
2454000.00000000
PA
USD
2380699.02000000
0.164978718068
Long
DBT
NUSS
CO
N
2
2041-01-18
Fixed
6.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-162343.77000000
-0.01125016931
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
709719365.00000000
PHP
13469716.55000000
USD
2022-06-15
-162343.77000000
N
N
N
HAZINE MUSTESARLIGI VARLIK KIRALAMA ANONIM SIRKETI
6354003QFJP7RDXEOZ20
HAZINE MUSTESARLIGI VARL 7.250000% 02/24/2027
N/A
375000.00000000
PA
USD
376350.00000000
0.026080466293
Long
DBT
NUSS
TR
N
2
2027-02-24
Fixed
7.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-04-14
N/A
1.00000000
NC
USD
-338.91000000
-0.00002348593
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
1384093258.00000000
IDR
96054.88000000
USD
2022-04-14
-338.91000000
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS INTERNATIONAL BOND 144A 6.378000% 02/24/2031
07737JAD5
899000.00000000
PA
USD
116870.00000000
0.008098908185
Long
DBT
NUSS
BY
N
2
2031-02-24
Fixed
6.37800000
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
631256.81000000
0.043745109487
Long
DBT
NUSS
ID
N
2
2043-04-15
Fixed
4.62500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.350000% 02/12/2048
71654QCJ9
430000.00000000
PA
USD
338023.00000000
0.023424465146
Long
DBT
NUSS
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-36574.58000000
-0.00253456118
N/A
DFE
TH
N
2
STANDARD BANK
N/A
9031382.57000000
USD
298722010.00000000
THB
2022-06-15
-36574.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-06
N/A
1.00000000
NC
USD
128.40000000
0.000008897919
N/A
DFE
US
N
2
JP MORGAN
N/A
1098000.00000000
CNY
172558.49000000
USD
2022-06-06
128.40000000
N
N
N
Africa Finance Corporation
213800LXFHRRXIJRXW97
AFRICA FINANCE CORP 144A 2.875000% 04/28/2028
00830YAD3
1679000.00000000
PA
USD
1545217.28000000
0.107081140392
Long
DBT
NUSS
XX
N
2
2028-04-28
Fixed
2.87500000
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
284806.40000000
0.019736638010
Long
DBT
NUSS
SV
N
2
2050-01-20
Fixed
7.12460000
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
215915.00000000
0.014962571754
Long
DBT
NUSS
CL
N
2
2030-05-07
Fixed
3.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2022-05-23
N/A
1.00000000
NC
USD
-6425.79000000
-0.00044529719
N/A
DFE
US
N
2
JP MORGAN
N/A
5113300.00000000
RUB
51911.68000000
USD
2022-05-23
-6425.79000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.125000% 12/17/2026
N/A
10313000.00000000
PA
316819.62000000
0.021955104079
Long
DBT
NUSS
TH
N
2
2026-12-17
Fixed
2.12500000
N
N
N
N
N
N
ATLANTICA TRANSMISION SUR S.A.
549300PQCSQSSZTVDH16
ABY TRANSMISION SUR SA 144A 6.875000% 04/30/2043
00289LAA3
261097.20000000
PA
USD
313316.64000000
0.021712353045
Long
DBT
NUSS
PE
N
2
2043-04-30
Fixed
6.87500000
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
487537.89000000
0.033785613144
Long
DBT
NUSS
IN
N
2
2030-02-12
Fixed
3.94900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-7071.06000000
-0.00049001339
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
579508.00000000
EUR
637730.88000000
USD
2022-04-05
-7071.06000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
1072.73000000
0.000074338510
N/A
DFE
MX
N
2
STANDARD BANK
N/A
949327.19000000
USD
19200000.00000000
MXN
2022-06-15
1072.73000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.9225%
N/A
42601696.00000000
NC
151435.80000000
0.010494264055
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-08-31
0.00000000
MXN
0.00000000
MXN
-42601696.00000000
MXN
151435.80000000
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
1993000.00000000
PA
USD
2107836.66000000
0.146069783346
Long
DBT
NUSS
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-07-28
N/A
1.00000000
NC
4279.59000000
0.000296568892
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
841853.48000000
EUR
4262304.17000000
RON
2022-07-28
4279.59000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.400000% 04/16/2050
N/A
600000.00000000
PA
USD
674326.80000000
0.046729792421
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-972.94000000
-0.00006742322
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
985421.35000000
USD
14516100.00000000
ZAR
2022-06-15
-972.94000000
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 5.375000% 06/08/2037
N/A
668000.00000000
PA
629826.87000000
0.043646016881
Long
DBT
NUSS
SN
N
2
2037-06-08
Fixed
5.37500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 06/03/2027
N/A
147983000.00000000
PA
7121839.56000000
0.493532341143
Long
DBT
NUSS
MX
N
2
2027-06-03
Floating
7.49999880
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 19.250000% 12/18/2023
BN1508850
4011000.00000000
PA
530100.79000000
0.036735155534
Long
DBT
NUSS
GH
N
2
2023-12-18
Fixed
19.25000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-04-04
N/A
1.00000000
NC
122731.34000000
0.008505089879
N/A
DFE
BR
N
2
J P MORGAN CHASE BANK
N/A
1161779.23000000
USD
6103930.00000000
BRL
2022-04-04
122731.34000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 02/11/2035
37443GAH4
1464000.00000000
PA
USD
1018621.92000000
0.070588905672
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.87500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.400000% 08/12/2034
N/A
3863000.00000000
PA
910672.28000000
0.063108164481
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
5.40000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 7.875000% 02/16/2032
N/A
2142000.00000000
PA
USD
2024832.60000000
0.140317731828
Long
DBT
NUSS
NG
N
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-565961.80000000
-0.03922026743
N/A
DFE
US
N
2
JP MORGAN
N/A
41227512.18000000
BRL
7931418.27000000
USD
2022-06-13
-565961.80000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.450000% 02/02/2061
N/A
1061000.00000000
PA
USD
940784.46000000
0.065194891452
Long
DBT
NUSS
SA
N
2
2061-02-02
Fixed
3.45000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
13444000000.00000000
PA
951877.32000000
0.065963609298
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.00000000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-04-13
N/A
1.00000000
NC
271.40000000
0.000018807595
N/A
DFE
CO
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
75005.51000000
USD
282804523.20000000
COP
2022-04-13
271.40000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.600300% 03/01/2029
N/A
200000.00000000
PA
USD
189704.00000000
0.013146190454
Long
DBT
NUSS
EG
N
2
2029-03-01
Fixed
7.60030000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-91817.88000000
-0.00636283545
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
4030000.00000000
PLN
868669.84000000
USD
2022-06-15
-91817.88000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.010000% 05/13/2028
N/A
8850000.00000000
PA
1412368.15000000
0.097874903492
Long
DBT
NUSS
CN
N
2
2028-05-13
Fixed
3.01000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-05-16
N/A
1.00000000
NC
32677.58000000
0.002264505177
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
633365.40000000
USD
9783000.00000000
ZAR
2022-05-16
32677.58000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 5.000000% 07/31/2030
N/A
1032929.00000000
PA
USD
862506.04000000
0.059770319393
Long
DBT
NUSS
EC
N
2
2030-07-31
Fixed
5.00000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.500000% 09/20/2033
900123DD9
2248000.00000000
PA
USD
1961964.48000000
0.135961069453
Long
DBT
NUSS
TR
N
2
2033-09-20
Fixed
6.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-1132.33000000
-0.00007846869
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
380000.00000000
MXN
17677.67000000
USD
2022-06-15
-1132.33000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
668.78000000
0.000046345407
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
1882131.98000000
USD
27056400000.00000000
IDR
2022-06-15
668.78000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 1.000000% 07/31/2035
N/A
2887633.00000000
PA
USD
1888540.86000000
0.130872927440
Long
DBT
NUSS
EC
N
2
2035-07-31
Fixed
1.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.250000% 06/23/2047
N/A
600000.00000000
PA
USD
135000.00000000
0.009355288825
Long
DBT
NUSS
RU
N
2
2047-06-23
Fixed
5.25000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.470000% 11/12/2026
N/A
15660000.00000000
PA
697797.41000000
0.048356268980
Long
DBT
NUSS
MX
N
2
2026-11-12
Fixed
7.47000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.750000% 09/18/2030
N/A
4918900000.00000000
PA
1169424.82000000
0.081039310748
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA INTL BOND 3.500000% 07/07/2027
Y6142NAF5
1072000.00000000
PA
USD
964575.17000000
0.066843550440
Long
DBT
NUSS
MN
N
2
2027-07-07
Fixed
3.50000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 8.625000% 02/28/2029
P01012BX3
249000.00000000
PA
USD
119522.49000000
0.008282721593
Long
DBT
NUSS
SV
N
2
2029-02-28
Fixed
8.62500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.627000% 06/16/2049
374422AH6
593000.00000000
PA
USD
412063.84000000
0.028555379539
Long
DBT
NUSS
GH
N
2
2049-06-16
Fixed
8.62700000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 7.000000% 05/22/2027
N/A
1394000.00000000
PA
USD
1341139.52000000
0.092938870853
Long
DBT
NUSS
KE
N
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.000000% 02/22/2033
P3579ECN5
806000.00000000
PA
USD
786664.06000000
0.054514588815
Long
DBT
NUSS
DO
N
2
2033-02-22
Fixed
6.00000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-04-04
N/A
1.00000000
NC
80365.45000000
0.005569199973
N/A
DFE
BR
N
2
J P MORGAN CHASE BANK
N/A
1084953.00000000
USD
5537535.00000000
BRL
2022-04-04
80365.45000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.196000% 07/07/2023
N/A
6084000.00000000
PA
332980.45000000
0.023075024319
Long
DBT
NUSS
EG
N
2
2023-07-07
Fixed
14.19600000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.1% 10/04/2022
N/A
569000.00000000
PA
USD
69019.70000000
0.004782957245
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
Y
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 6.750000% 09/21/2047
71654QCC4
2022000.00000000
PA
USD
1643683.80000000
0.113904716201
Long
DBT
NUSS
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.000000% 10/13/2033
N/A
8000000.00000000
PA
305678.17000000
0.021183019022
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
2.00000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 3.875000% 06/12/2030
105756CC2
400000.00000000
PA
USD
368760.00000000
0.025554491165
Long
DBT
NUSS
BR
N
2
2030-06-12
Fixed
3.87500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 4.500000% 01/11/2026
N/A
15250000.00000000
PA
138552.37000000
0.009601462509
Long
DBT
NUSS
RS
N
2
2026-01-11
Fixed
4.50000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 03/09/2020
N/A
1767000.00000000
PA
USD
205502.10000000
0.014240974072
Long
DBT
NUSS
LB
N
2
2023-12-31
Fixed
6.37500000
Y
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 9.500000% 07/15/2052
P01012CC8
868000.00000000
PA
USD
418810.00000000
0.029022877874
Long
DBT
NUSS
SV
N
2
2052-07-15
Fixed
9.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.700000% 02/16/2032
71643VAA3
2787000.00000000
PA
USD
2647650.00000000
0.183478003403
Long
DBT
NUSS
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
4950500000.00000000
PA
1113657.42000000
0.077174717163
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.250000% 10/26/2026
80413TAB5
1497000.00000000
PA
USD
1532014.83000000
0.106166231259
Long
DBT
NUSS
SA
N
2
2026-10-26
Fixed
3.25000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 8.875000% 05/29/2050
03846JX62
1290000.00000000
PA
USD
1114405.20000000
0.077226537147
Long
DBT
NUSS
EG
N
2
2050-05-29
Fixed
8.87500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 3.125000% 05/15/2027
N/A
320000.00000000
PA
346343.85000000
0.024001087035
Long
DBT
NUSS
RS
N
2
2027-05-15
Fixed
3.12500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.750000% 04/07/2029
N/A
870000.00000000
PA
USD
635883.00000000
0.044065697217
Long
DBT
NUSS
GH
N
2
2029-04-07
Fixed
7.75000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 1.250000% 03/11/2033
N/A
2088000.00000000
PA
2003774.68000000
0.138858450911
Long
DBT
NUSS
PE
N
2
2033-03-11
Fixed
1.25000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.125000% 07/09/2030
N/A
402550.00000000
PA
129768.58000000
0.008992759603
Long
DBT
NUSS
AR
N
2
2030-07-09
Fixed
0.12500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.150000% 08/12/2032
N/A
2767000.00000000
PA
717184.03000000
0.049699731421
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
N/A
N/A
R2035 BOND FUTURE MAY22 FINANCIAL COMMODITY FUTURE.
N/A
623.00000000
NC
3888730.83000000
0.269482963557
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2035 Bond Future May 2022
2022-05-08
3612286.29000000
ZAR
276444.54000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.000000% 07/09/2029
040114HX1
6790683.00000000
PA
USD
2319493.59000000
0.160737277510
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.750000% 04/18/2028
Y8137FAL2
321000.00000000
PA
USD
150581.10000000
0.010435034682
Long
DBT
NUSS
LK
N
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.950000% 01/15/2031
900123DA5
2175000.00000000
PA
USD
1873218.75000000
0.129811129185
Long
DBT
NUSS
TR
N
2
2031-01-15
Fixed
5.95000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
GUATEMALA GOVERNMENT BOND 144A 5.375000% 04/24/2032
401494AS8
248000.00000000
PA
USD
259162.48000000
0.017959554468
Long
DBT
NUSS
GT
N
2
2032-04-24
Fixed
5.37500000
N
N
N
N
N
N
UKRANIAN HRYVNIA
N/A
FX Forward Contract: UAH/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-69912.66000000
-0.00484483797
N/A
DFE
UA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1187383.12000000
USD
34600344.12000000
UAH
2022-06-15
-69912.66000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 1.648000% 06/10/2031
718286CK1
1728000.00000000
PA
USD
1537531.03000000
0.106548495290
Long
DBT
NUSS
PH
N
2
2031-06-10
Fixed
1.64800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2022-04-11
N/A
1.00000000
NC
USD
-24947.38000000
-0.00172881440
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
85083152.00000000
PHP
1618442.72000000
USD
2022-04-11
-24947.38000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 1.950000% 01/06/2032
718286CN5
332000.00000000
PA
USD
301154.98000000
0.020869569031
Long
DBT
NUSS
PH
N
2
2032-01-06
Fixed
1.95000000
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
1526949.01000000
0.105815177857
Long
DBT
NUSS
AE
N
2
2034-03-31
Fixed
2.16000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-04-04
N/A
1.00000000
NC
316.41000000
0.000021926718
N/A
DFE
MY
N
2
JP MORGAN
N/A
313047.44000000
USD
1317616.66000000
MYR
2022-04-04
316.41000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
-35333.91000000
-0.00244858469
N/A
DFE
XX
N
2
JP MORGAN
N/A
7044039.58000000
USD
6298990.00000000
EUR
2022-04-05
-35333.91000000
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 4.125000% 10/11/2047
29135LAB6
591000.00000000
PA
USD
637765.83000000
0.044196174391
Long
DBT
NUSS
AE
N
2
2047-10-11
Fixed
4.12500000
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
733646.22000000
0.050840535437
Long
DBT
NUSS
AO
N
2
2029-11-26
Fixed
8.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
69855100.00000000
PA
3555422.12000000
0.246385191333
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2036
N/A
50369000000.00000000
PA
3809421.94000000
0.263986981539
Long
DBT
NUSS
ID
N
2
2036-05-15
Fixed
8.25000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 3.000000% 09/15/2051
29135LAR1
519000.00000000
PA
USD
463207.50000000
0.032099555175
Long
DBT
NUSS
AE
N
2
2051-09-15
Fixed
3.00000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 5.625000% 09/30/2031
N/A
200000.00000000
PA
USD
194114.80000000
0.013451851995
Long
DBT
NUSS
BH
N
2
2031-09-30
Fixed
5.62500000
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
241956.00000000
0.016767172319
Long
DBT
NUSS
PG
N
2
2028-10-04
Fixed
8.37500000
N
N
N
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 1.500000% 06/17/2031
N/A
650000.00000000
PA
678017.49000000
0.046985551465
Long
DBT
NUSS
HR
N
2
2031-06-17
Fixed
1.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.875000% 03/17/2036
900123AY6
550000.00000000
PA
USD
488994.00000000
0.033886519289
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.87500000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-04-01
N/A
1.00000000
NC
-1767.47000000
-0.00012248290
N/A
DFE
CO
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
484096.33000000
USD
1810520269.90000000
COP
2022-04-01
-1767.47000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2022-06-15
N/A
1.00000000
NC
666633.70000000
0.046196672625
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
9031668.29000000
USD
214664692.00000000
CZK
2022-06-15
666633.70000000
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 6.375000% 10/24/2048
Y44709AG1
200000.00000000
PA
USD
188419.65000000
0.013057187008
Long
DBT
NUSS
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
174527.50000000
0.012094482744
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2084990.41000000
USD
9480451.41000000
PLN
2022-06-15
174527.50000000
N
N
N
EGYPTIAN POUND
N/A
FX Forward Contract: EGP/USD SETTLE 2022-09-21
N/A
1.00000000
NC
-6719.31000000
-0.00046563767
N/A
DFE
EG
N
2
CITIGROUP GLOBAL MARKETS
N/A
489456.60000000
USD
9079420.00000000
EGP
2022-09-21
-6719.31000000
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
642600.00000000
0.044531174810
Long
DBT
NUSS
AE
N
2
2051-09-15
Fixed
3.00000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.750000% 12/31/2032
N/A
377467.91880000
PA
USD
369470.13000000
0.025603702063
Long
DBT
NUSS
CI
N
2
2032-12-31
Fixed
5.75000000
N
N
N
N
N
N
SHIMAO GROUP HOLDINGS LIMITED
254900WTJ6B5CU69ZD26
SHIMAO GROUP HOLDINGS LTD 5.600000% 07/15/2026
N/A
1949000.00000000
PA
USD
550592.50000000
0.038155198983
Long
DBT
NUSS
CN
N
2
2026-07-15
Fixed
5.60000000
N
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
514668.44000000
0.035665717819
Long
DBT
NUSS
CN
N
2
2030-05-13
Fixed
2.70000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.750000% 04/19/2071
91087BAP5
1345000.00000000
PA
USD
1070606.55000000
0.074191359214
Long
DBT
NUSS
MX
N
2
2071-04-19
Fixed
3.75000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
GUATEMALA GOVERNMENT BOND 144A 3.700000% 10/07/2033
401494AT6
226000.00000000
PA
USD
209052.26000000
0.014486994607
Long
DBT
NUSS
GT
N
2
2033-10-07
Fixed
3.70000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 7.375000% 09/28/2033
65412JAS2
799000.00000000
PA
USD
725492.00000000
0.050275460746
Long
DBT
NUSS
NG
N
2
2033-09-28
Fixed
7.37500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 07/09/2036
N/A
5569900000.00000000
PA
1077772.80000000
0.074687969129
Long
DBT
NUSS
CO
N
2
2036-07-09
Fixed
6.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.750000% 09/18/2030
N/A
8414500000.00000000
PA
2000472.70000000
0.138629628863
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
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
548892.40000000
0.038037384713
Long
DBT
NUSS
BH
N
2
2028-10-12
Fixed
7.00000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
680.11000000
0.000047130559
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
335017.47000000
USD
4950000.00000000
ZAR
2022-06-15
680.11000000
N
N
N
Qatar Energy
254900QTESJKJ3P87J26
QATAR ENERGY 144A 2.250000% 07/12/2031
74730DAC7
705000.00000000
PA
USD
648698.70000000
0.044953805180
Long
DBT
NUSS
QA
N
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-7324.22000000
-0.00050755698
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
5753402.30000000
USD
82572829850.00000000
IDR
2022-06-15
-7324.22000000
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS PAY: 7.375
N/A
19826883.00000000
NC
-51277.14000000
-0.00355342559
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2031-11-10
0.00000000
MXN
0.00000000
MXN
-19826883.00000000
MXN
-51277.14000000
N
N
N
BRK: MORGAN STANLEY & CO
N/A
BRK: MORGAN STANLEY & CO PAY: 5.145% FIXED
N/A
200000000.00000000
NC
66584.91000000
0.004614230107
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
66584.91000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
STATE OF ISRAEL 4.500000% 04/03/2120
46513JB59
1200000.00000000
PA
USD
1281936.00000000
0.088836159526
Long
DBT
NUSS
IL
N
2
2120-04-03
Fixed
4.50000000
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
242366.77000000
0.016795638037
Long
DBT
NUSS
TR
N
2
2024-05-03
Fixed
6.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-1337.24000000
-0.00009266864
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
4909496.56000000
PEN
1312524.15000000
USD
2022-06-15
-1337.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-157192.35000000
-0.01089318396
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
16676036.85000000
RON
3564017.28000000
USD
2022-06-15
-157192.35000000
N
N
N
Republic of Georgia
254900MHQHBC58M2GR84
REPUBLIC OF GEORGIA 2.750000% 04/22/2026
N/A
480000.00000000
PA
USD
405946.84000000
0.028131481008
Long
DBT
NUSS
GE
N
2
2026-04-22
Fixed
2.75000000
N
N
N
N
N
N
Provincia de Cordoba
5299006CLM2Z97AATT29
PROVINCIA DE CORDOBA 144A 5.000000% 12/10/2025
74408DAC8
540167.00000000
PA
USD
420952.14000000
0.029171324826
Long
DBT
NUSS
AR
N
2
2025-12-10
Fixed
5.00000000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 5.250000% 05/15/2047
71568QAD9
480000.00000000
PA
USD
477600.00000000
0.033096932912
Long
DBT
NUSS
ID
N
2
2047-05-15
Fixed
5.25000000
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
321227.20000000
0.022260542479
Long
DBT
NUSS
ZA
N
2
2026-09-23
Fixed
3.62500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
12388713.00000000
NC
-394096.59000000
-0.02731027721
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-12388713.00000000
BRL
-394096.59000000
N
N
N
KSA SUKUK LIMITED
635400XBJFPNCGN9CK71
KSA SUKUK LTD 144A 2.250000% 05/17/2031
48266XAE5
1716000.00000000
PA
USD
1613743.56000000
0.111829904403
Long
DBT
NUSS
SA
N
2
2031-05-17
Fixed
2.25000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.906000% 07/15/2026
N/A
4329000.00000000
PA
1046404.93000000
0.072514224806
Long
DBT
NUSS
MY
N
2
2026-07-15
Fixed
3.90600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-10
N/A
1.00000000
NC
USD
297.17000000
0.000020593416
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
17342100.00000000
THB
522405.91000000
USD
2022-06-10
297.17000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-06-14
N/A
1.00000000
NC
405948.86000000
0.028131620990
N/A
DFE
HU
N
2
JP MORGAN
N/A
3500195.27000000
USD
1301376100.00000000
HUF
2022-06-14
405948.86000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.124000% 07/16/2031
N/A
158000.00000000
PA
150094.73000000
0.010401330002
Long
DBT
NUSS
RO
N
2
2031-07-16
Fixed
2.12400000
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
410060.00000000
0.028416516562
Long
DBT
NUSS
ZM
N
2
2025-04-01
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-99341.62000000
-0.00688421887
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
13644030.15000000
RON
2945284.44000000
USD
2022-06-15
-99341.62000000
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT 6.125000% 02/19/2031
P3699PGK7
1669000.00000000
PA
USD
1685706.69000000
0.116816836743
Long
DBT
NUSS
CR
N
2
2031-02-19
Fixed
6.12500000
N
N
N
N
N
N
NETWORK I2I LIMITED
2549003L8M1FGHLHOX45
NETWORK I2I LTD 144A 5.650000% MATURITY: PERPETUAL
64132NAA4
260000.00000000
PA
USD
257530.00000000
0.017846426157
Long
DBT
NUSS
IN
N
2
2170-04-15
Fixed
5.65000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
-17930.44000000
-0.00124255144
N/A
DFE
XX
N
2
JP MORGAN
N/A
686566.94000000
USD
600590.65000000
EUR
2022-04-28
-17930.44000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:12.23
N/A
4506605.00000000
NC
47900.82000000
0.003319451896
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-01-04
0.00000000
BRL
0.00000000
BRL
-4506605.00000000
BRL
47900.82000000
N
N
N
BRK: MORGAN STANLEY & CO
N/A
BRK: MORGAN STANLEY & CO PAY: 10.29 % FIXED
N/A
2660091.00000000
NC
21219.64000000
0.001470487859
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
21219.64000000
N
N
N
MV24 CAPITAL B.V
N/A
MV24 CAPITAL BV 144A 6.748000% 06/01/2034
55388RAA4
374774.04000000
PA
USD
364471.50000000
0.025257304824
Long
DBT
NUSS
BR
N
2
2034-06-01
Fixed
6.74800000
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
276164.00000000
0.019137733209
Long
DBT
NUSS
XX
N
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-06-15
N/A
1.00000000
NC
16409.45000000
0.001137149216
N/A
DFE
SG
N
2
CITIGROUP GLOBAL MARKETS
N/A
4348500.04000000
USD
5905654.42000000
SGD
2022-06-15
16409.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-10163.87000000
-0.00070434029
N/A
DFE
US
N
2
JP MORGAN
N/A
11682700.00000000
CNY
1823683.68000000
USD
2022-06-13
-10163.87000000
N
N
N
1MDB Global Investments Limited
N/A
1MDB GLOBAL INVESTMENTS LTD 4.400000% 03/09/2023
N/A
1000000.00000000
PA
USD
977521.57000000
0.067740715709
Long
DBT
NUSS
MY
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-10
N/A
1.00000000
NC
1792.34000000
0.000124206358
N/A
DFE
TH
N
2
MORGAN STANLEY & CO, INC
N/A
519917.97000000
USD
17328866.00000000
THB
2022-06-10
1792.34000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 7.625000% 11/28/2047
65412JAB9
478000.00000000
PA
USD
397170.20000000
0.027523273585
Long
DBT
NUSS
NG
N
2
2047-11-28
Fixed
7.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-06-30
N/A
1.00000000
NC
-2787.11000000
-0.00019314236
N/A
DFE
XX
N
2
JP MORGAN
N/A
854041.00000000
RON
167815.64000000
EUR
2022-06-30
-2787.11000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 1.500000% 04/22/2026
N/A
188890000.00000000
PA
472684.41000000
0.032756290214
Long
DBT
NUSS
HU
N
2
2026-04-22
Fixed
1.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 05/31/2029
N/A
104935400.00000000
PA
5295812.12000000
0.366991495922
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
1050000.00000000
PA
247870.20000000
0.017177017128
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 3.33
N/A
62485119.00000000
NC
-134013.22000000
-0.00928690651
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-11-25
0.00000000
CZK
0.00000000
CZK
-62485119.00000000
CZK
-134013.22000000
N
N
N
Qatar Energy
254900QTESJKJ3P87J26
QATAR ENERGY 144A 3.300000% 07/12/2051
74730DAD5
234000.00000000
PA
USD
214770.35000000
0.014883249299
Long
DBT
NUSS
QA
N
2
2051-07-12
Fixed
3.30000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 2.550000% 01/27/2032
168863DN5
893000.00000000
PA
USD
839080.66000000
0.058146977202
Long
DBT
NUSS
CL
N
2
2032-01-27
Fixed
2.55000000
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
258362.22000000
0.017904097701
Long
DBT
NUSS
CN
N
2
2028-03-14
Fixed
5.12500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2027
N/A
35500000000.00000000
PA
2588799.65000000
0.179399766205
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
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
320915.00000000
0.022238907507
Long
DBT
NUSS
MO
N
2
2028-01-15
Fixed
6.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.125000% 02/17/2028
900123CP3
242000.00000000
PA
USD
212369.52000000
0.014716875536
Long
DBT
NUSS
TR
N
2
2028-02-17
Fixed
5.12500000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 7.450000% 04/30/2044
P3579EAY3
1135000.00000000
PA
USD
1197425.00000000
0.082979679423
Long
DBT
NUSS
DO
N
2
2044-04-30
Fixed
7.45000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 4.500000% 03/01/2026
N/A
465000000.00000000
PA
553089.56000000
0.038328241335
Long
DBT
NUSS
CL
N
2
2026-03-01
Fixed
4.50000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2023
N/A
45091000.00000000
PA
9310016.71000000
0.645169594774
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2027
N/A
845000.00000000
PA
USD
357451.90000000
0.024770857524
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-09-21
N/A
1.00000000
NC
1100.55000000
0.000076266393
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
317976.80000000
EUR
1623511.00000000
RON
2022-09-21
1100.55000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
-53973.15000000
-0.00374025486
N/A
DFE
PA
N
2
JP MORGAN
N/A
1699861.72000000
USD
6884100.00000000
PLN
2022-05-16
-53973.15000000
N
N
N
GEOPARK LIMITED
529900ZR5QI19AH4KZ07
GEOPARK LTD 144A 5.500000% 01/17/2027
37255BAB5
974000.00000000
PA
USD
927501.24000000
0.064274385084
Long
DBT
NUSS
CO
N
2
2027-01-17
Fixed
5.50000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
STANDARD CHARTERED BANK MTN 8.250000% 05/18/2029
AV6441332
6861000000.00000000
PA
519969.45000000
0.036033069520
Long
DBT
NUSS
GB
N
2
2029-05-18
Fixed
8.25000000
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
55690.74000000
0.003859281167
Long
DBT
NUSS
KZ
N
2
2047-04-19
Fixed
5.75000000
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
863000.00000000
PA
USD
776691.15000000
0.053823481752
Long
DBT
NUSS
CN
N
2
2031-01-08
Fixed
2.30000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.483000% 04/06/2026
N/A
71798000.00000000
PA
3744696.80000000
0.259501630583
Long
DBT
NUSS
EG
N
2
2026-04-06
Fixed
14.48300000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
4675.78000000
0.000324024239
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
969782.18000000
EUR
24050598.00000000
CZK
2022-06-15
4675.78000000
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.125000% 08/16/2027
156830AA9
213000.00000000
PA
USD
213106.50000000
0.014767947097
Long
DBT
NUSS
PE
N
2
2027-08-16
Fixed
4.12500000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-06-30
N/A
1.00000000
NC
839.30000000
0.000058162177
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
181189.07000000
EUR
912354.00000000
RON
2022-06-30
839.30000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2027
N/A
33913000.00000000
PA
6774415.33000000
0.469456385464
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.060000% 01/12/2026
N/A
44207000.00000000
PA
2290713.61000000
0.158742869915
Long
DBT
NUSS
EG
N
2
2026-01-12
Fixed
14.06000000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA GOVERNMENT INTERNATIONAL BOND 14 7.000000% 05/22/2027
491798AJ3
200000.00000000
PA
USD
192416.00000000
0.013334127812
Long
DBT
NUSS
KE
N
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.000000% 01/31/2030
N/A
13933000.00000000
PA
870353.63000000
0.060314145105
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 8.700200% 03/01/2049
N/A
600000.00000000
PA
USD
511824.00000000
0.035468602577
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/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-33996.94000000
-0.00235593476
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
14410000.00000000
MXN
679298.00000000
USD
2022-06-15
-33996.94000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.690000% 01/23/2050
71654QDD1
1230000.00000000
PA
USD
1074712.50000000
0.074475895126
Long
DBT
NUSS
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.059000% 09/30/2024
N/A
7200000.00000000
PA
1758426.12000000
0.121856179491
Long
DBT
NUSS
MY
N
2
2024-09-30
Fixed
4.05900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-851.06000000
-0.00005897712
N/A
DFE
US
N
2
JP MORGAN
N/A
90670053.00000000
CLP
113033.79000000
USD
2022-06-13
-851.06000000
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
-467568.68000000
-0.03240177812
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-06-23
0.00000000
CLP
0.00000000
CLP
-2335690714.00000000
CLP
-467568.68000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
6550000000.00000000
PA
463760.52000000
0.032137878596
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.00000000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 11/15/2026
P7807HAR6
5067000.00000000
PA
USD
354690.00000000
0.024579462174
Long
DBT
NUSS
VE
N
2
2026-11-15
Fixed
6.00000000
Y
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.100000% 10/04/2022
N/A
3174000.00000000
PA
USD
385006.20000000
0.026680327412
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
Y
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 8.450000% 08/10/2028
29646AAD8
619000.00000000
PA
USD
602294.43000000
0.041738061857
Long
DBT
NUSS
ZA
N
2
2028-08-10
Fixed
8.45000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 7.000000% 02/28/2031
N/A
57222000.00000000
PA
3263563.03000000
0.226159812938
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
7.00000000
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
46440.00000000
0.003218219356
Long
DBT
NUSS
LB
N
2
2029-05-25
Fixed
6.85000000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: ZMW/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-7765.58000000
-0.00053814254
N/A
DFE
ZM
N
2
STANDARD BANK
N/A
974513.57000000
USD
17780000.00000000
ZMW
2022-06-15
-7765.58000000
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
699104.37000000
0.048446839264
Long
DBT
NUSS
BR
N
2
2045-05-15
Fixed
6.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.700000% 03/14/2029
N/A
326479000.00000000
PA
118935.88000000
0.008242070438
Long
DBT
NUSS
RU
N
2
2029-03-14
Fixed
6.70000000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 6.100000% 08/11/2044
P75744AB1
1260000.00000000
PA
USD
1393572.60000000
0.096572401278
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 2.875000% 12/17/2028
N/A
16000000.00000000
PA
501876.77000000
0.034779275098
Long
DBT
NUSS
TH
N
2
2028-12-17
Fixed
2.87500000
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
1038000.00000000
PA
USD
1097809.56000000
0.076076485255
Long
DBT
NUSS
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
75955700.00000000
NC
-24589.59000000
-0.00170402012
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-09-12
0.00000000
MXN
0.00000000
MXN
-75955700.00000000
MXN
-24589.59000000
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
-161999.17000000
-0.01122628907
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
-161999.17000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2027
N/A
14163000000.00000000
PA
1032821.68000000
0.071572926828
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-06-06
N/A
1.00000000
NC
-8815.93000000
-0.00061093015
N/A
DFE
CN
N
2
JP MORGAN
N/A
7239949.91000000
USD
46046400.00000000
CNY
2022-06-06
-8815.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-04-25
N/A
1.00000000
NC
USD
1547.77000000
0.000107258039
N/A
DFE
US
N
2
JP MORGAN
N/A
5795354509.00000000
IDR
405269.55000000
USD
2022-04-25
1547.77000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 7.375000% 09/28/2033
N/A
2086000.00000000
PA
USD
1894088.00000000
0.131257335565
Long
DBT
NUSS
NG
N
2
2033-09-28
Fixed
7.37500000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VEN 5.375% 04/12/2027
N/A
4364300.00000000
PA
USD
289134.88000000
0.020036594903
Long
DBT
NUSS
VE
N
2
2027-04-12
Fixed
5.37500000
Y
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.125000% 08/01/2023
N/A
520000.00000000
PA
USD
537160.00000000
0.037224347745
Long
DBT
NUSS
BH
N
2
2023-08-01
Fixed
6.12500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND 144A 3.625000% 03/27/2032
77586RAL4
1168000.00000000
PA
USD
1101424.00000000
0.076326960293
Long
DBT
NUSS
RO
N
2
2032-03-27
Fixed
3.62500000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-04-01
N/A
1.00000000
NC
-1707.05000000
-0.00011829589
N/A
DFE
BR
N
2
JP MORGAN
N/A
740803.98000000
USD
3512151.66000000
BRL
2022-04-01
-1707.05000000
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT 7.000000% 04/04/2044
P3699PGH4
58000.00000000
PA
USD
57130.58000000
0.003959059827
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
Sagicor Financial Corporation Limited
213800UV8KH689JE3785
SAGICOR FINANCIAL CO LTD 144A 5.300000% 05/13/2028
78669QAA8
520000.00000000
PA
USD
518050.00000000
0.035900054638
Long
DBT
NUSS
US
N
2
2028-05-13
Fixed
5.30000000
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
944464.89000000
0.065449939494
Long
DBT
NUSS
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-05-23
N/A
1.00000000
NC
USD
-516.47000000
-0.00003579056
N/A
DFE
US
N
2
JP MORGAN
N/A
116699000.00000000
KRW
95654.13000000
USD
2022-05-23
-516.47000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-06-15
N/A
1.00000000
NC
13621.99000000
0.000943982598
N/A
DFE
SG
N
2
CITIGROUP GLOBAL MARKETS
N/A
4351287.50000000
USD
5905654.42000000
SGD
2022-06-15
13621.99000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.950000% 10/07/2026
N/A
75903000.00000000
PA
27651.37000000
0.001916196687
Long
DBT
NUSS
RU
N
2
2026-10-07
Fixed
7.95000000
N
N
N
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 6.757000% 11/15/2048
74445PAD4
365000.00000000
PA
USD
408391.20000000
0.028300871332
Long
DBT
NUSS
ID
N
2
2048-11-15
Fixed
6.75700000
N
N
N
N
N
N
CHINALCO CAPITAL HOLDINGS LIMITED
5493003PX4GYVUD3CQ19
CHINALCO CAPITAL HOLDINGS LTD 4.250000% 04/21/2022
N/A
740000.00000000
PA
USD
740000.00000000
0.051280842452
Long
DBT
NUSS
CN
N
2
2022-04-21
Fixed
4.25000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND 144A 2.750000% 04/14/2041
N/A
983000.00000000
PA
835140.95000000
0.057873961462
Long
DBT
NUSS
RO
N
2
2041-04-14
Fixed
2.75000000
N
N
N
N
N
N
Republique du Benin
635400Q11P6AE5A5Y230
BENIN INTL GOV BOND 4.875000% 01/19/2032
N/A
102000.00000000
PA
98770.08000000
0.006844612042
Long
DBT
NUSS
BJ
N
2
2032-01-19
Fixed
4.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-04-19
N/A
1.00000000
NC
USD
-4023.18000000
-0.00027880008
N/A
DFE
US
N
2
JP MORGAN
N/A
1306900.00000000
ZAR
85255.98000000
USD
2022-04-19
-4023.18000000
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 11.000000% 06/28/2026
BQ2494160
78885000.00000000
PA
3130841.01000000
0.216962384563
Long
DBT
NUSS
ZM
N
2
2026-06-28
Fixed
11.00000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.100000% 10/04/2022
N/A
3841000.00000000
PA
USD
465913.30000000
0.032287062883
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
Y
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 07/21/2022
912796S42
4150200.00000000
PA
USD
4141754.34000000
0.287017097007
Long
DBT
UST
US
N
2
2022-07-21
None
0.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 1.300000% 03/23/2034
BR4171160
514000.00000000
PA
498238.46000000
0.034527145906
Long
DBT
NUSS
ID
N
2
2034-03-23
Fixed
1.30000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
687.43000000
0.000047637823
N/A
DFE
XX
N
2
JP MORGAN
N/A
428459.89000000
USD
385691.00000000
EUR
2022-04-05
687.43000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2026
903724AT9
636000.00000000
PA
USD
271126.80000000
0.018788663128
Long
DBT
NUSS
UA
N
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-26219.85000000
-0.00181699459
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
7690000.00000000
ZAR
495298.21000000
USD
2022-06-15
-26219.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-3658.55000000
-0.00025353179
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
239413.00000000
EUR
262729.43000000
USD
2022-04-05
-3658.55000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2022-04-13
N/A
1.00000000
NC
18610.14000000
0.001289653591
N/A
DFE
PH
N
2
JP MORGAN
N/A
1608606.34000000
USD
84258800.00000000
PHP
2022-04-13
18610.14000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.125000% 02/22/2042
195325EA9
4042000.00000000
PA
USD
3157852.92000000
0.218834267672
Long
DBT
NUSS
CO
N
2
2042-02-22
Fixed
4.12500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.664000% 10/06/2030
N/A
4750000.00000000
PA
250254.64000000
0.017342255090
Long
DBT
NUSS
EG
N
2
2030-10-06
Fixed
14.66400000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.400000% 04/16/2050
N/A
948000.00000000
PA
USD
1065436.34000000
0.073833071749
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
BANCO NACIONAL DE PANAMA
529900H2Q7WMDKKIW109
BANCO NACIONAL DE PANAMA 144A 2.500000% 08/11/2030
059626AC5
563000.00000000
PA
USD
497202.19000000
0.034455334016
Long
DBT
NUSS
PA
N
2
2030-08-11
Fixed
2.50000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 5.000000% 03/01/2035
N/A
275000000.00000000
PA
315374.83000000
0.021854982392
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
5.00000000
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
31420.77000000
0.002177410210
Long
DBT
NUSS
RU
N
2
2036-07-30
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-21
N/A
1.00000000
NC
USD
-107.33000000
-0.00000743780
N/A
DFE
US
N
2
JP MORGAN
N/A
21492100.00000000
THB
647157.48000000
USD
2022-06-21
-107.33000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3000000.00000000
NC
-6842.00000000
-0.00047413989
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-3000000.00000000
BRL
-6842.00000000
N
N
N
BRKR: GOLDMAN SACHS
N/A
BRKR: GOLDMAN SACHS PAY: 7.235% FIXED
N/A
4520800000.00000000
NC
22988.78000000
0.001593086493
N/A
DIR
XX
N
2
BRKR: GOLDMAN SACHS
N/A
Y
2024-02-18
0.00000000
CLP
0.00000000
CLP
-4520800000.00000000
CLP
22988.78000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.382000% 01/12/2031
BN4651095
9502000.00000000
PA
491818.45000000
0.034082249256
Long
DBT
NUSS
EG
N
2
2031-01-12
Fixed
14.38200000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-6815.99000000
-0.00047233744
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
1504230.65000000
USD
22080000.00000000
ZAR
2022-06-15
-6815.99000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.000000% 02/01/2028
718286CC9
471000.00000000
PA
USD
472886.52000000
0.032770296121
Long
DBT
NUSS
PH
N
2
2028-02-01
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-04-11
N/A
1.00000000
NC
USD
2189.92000000
0.000151758030
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
34551389.00000000
THB
1041391.43000000
USD
2022-04-11
2189.92000000
N
N
N
CT Trust
5493003LN2KNNGM2Q244
CT TRUST 144A 5.125000% 02/03/2032
12659BAA2
548000.00000000
PA
USD
547452.00000000
0.037937567246
Long
DBT
NUSS
GT
N
2
2032-02-03
Fixed
5.12500000
N
N
N
N
N
N
N/A
N/A
R2040 BOND FUTURE MAY22 FINANCIAL COMMODITY FUTURE.
N/A
229.00000000
NC
1401396.94000000
0.097114615801
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2040 Bond Future May 2022
2022-05-08
1296254.48000000
ZAR
105142.46000000
N
N
N
OCP S.A.
213800D26TAPVTCVWG40
OCP SA 144A 3.750000% 06/23/2031
67091TAD7
202000.00000000
PA
USD
182810.00000000
0.012668447038
Long
DBT
NUSS
MA
N
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.100000% 07/18/2035
N/A
74413000.00000000
PA
27108.56000000
0.001878580803
Long
DBT
NUSS
RU
N
2
2035-07-18
Fixed
6.10000000
N
N
N
N
N
N
Qatar Energy
254900QTESJKJ3P87J26
QATAR ENERGY 3.125000% 07/12/2041
N/A
474000.00000000
PA
USD
431269.85000000
0.029886325989
Long
DBT
NUSS
QA
N
2
2041-07-12
Fixed
3.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.480000% 03/15/2023
N/A
4194000.00000000
PA
1009880.94000000
0.069983169431
Long
DBT
NUSS
MY
N
2
2023-03-15
Fixed
3.48000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
8109783.00000000
NC
-13028.10000000
-0.00090282695
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-04-20
0.00000000
MXN
0.00000000
MXN
-8109783.00000000
MXN
-13028.10000000
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 4.250000% 04/16/2039
N/A
160000.00000000
PA
USD
163794.24000000
0.011350684616
Long
DBT
NUSS
SA
N
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT INTERNATIONAL BOND 144A 7.158000% 03/12/2045
221597BV8
387000.00000000
PA
USD
384101.37000000
0.026617624108
Long
DBT
NUSS
CR
N
2
2045-03-12
Fixed
7.15800000
N
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
222227.91000000
0.015400046542
Long
DBT
NUSS
AR
N
2
2037-09-01
Fixed
2.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.750000% 11/21/2033
715638AP7
490000.00000000
PA
USD
708677.20000000
0.049110221409
Long
DBT
NUSS
PE
N
2
2033-11-21
Fixed
8.75000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 5.875000% 01/30/2025
P01012AS5
1398000.00000000
PA
USD
774072.60000000
0.053642020334
Long
DBT
NUSS
SV
N
2
2025-01-30
Fixed
5.87500000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2022-04-18
N/A
1.00000000
NC
11974.52000000
0.000829815504
N/A
DFE
PH
N
2
JP MORGAN
N/A
806549.36000000
USD
42400300.00000000
PHP
2022-04-18
11974.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-10771.86000000
-0.00074647304
N/A
DFE
US
N
2
JP MORGAN
N/A
10210600.00000000
CNY
1591998.38000000
USD
2022-06-13
-10771.86000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 12/17/2029
N/A
7000000.00000000
PA
200297.69000000
0.013880316600
Long
DBT
NUSS
TH
N
2
2029-12-17
Fixed
1.60000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/16/2026
N/A
420000.00000000
PA
430140.64000000
0.029808073502
Long
DBT
NUSS
EG
N
2
2026-04-16
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-91628.51000000
-0.00634971241
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
36200707.00000000
MXN
1700306.34000000
USD
2022-06-15
-91628.51000000
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
SASOL FINANCING USA LLC 6.500000% 09/27/2028
80386WAB1
360000.00000000
PA
USD
365472.00000000
0.025326637909
Long
DBT
CORP
ZA
N
2
2028-09-27
Fixed
6.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-79384.85000000
-0.00550124592
N/A
DFE
US
N
2
JP MORGAN
N/A
20118800.00000000
ZAR
1290336.65000000
USD
2022-05-16
-79384.85000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2023
N/A
16002000.00000000
PA
3303960.60000000
0.228959301347
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 04/15/2040
N/A
17705000000.00000000
PA
1255492.52000000
0.087003667727
Long
DBT
NUSS
ID
N
2
2040-04-15
Fixed
7.50000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 144 4.700000% 09/01/2030
N/A
1035000000.00000000
PA
1199109.83000000
0.083096435506
Long
DBT
NUSS
CL
N
2
2030-09-01
Fixed
4.70000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 5.000000% 03/01/2035
N/A
115000000.00000000
PA
131884.02000000
0.009139356285
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
GRUPO AVAL LIMITED
549300J4FW1ELLQ80113
GRUPO AVAL LTD 144A 4.375000% 02/04/2030
40053FAC2
812000.00000000
PA
USD
703175.76000000
0.048728980222
Long
DBT
NUSS
CO
N
2
2030-02-04
Fixed
4.37500000
N
N
N
N
N
N
MEITUAN
21380033K525E5JLIA77
MEITUAN 3.050000% 10/28/2030
G59669AC8
204000.00000000
PA
USD
163805.97000000
0.011351497486
Long
DBT
NUSS
CN
N
2
2030-10-28
Fixed
3.05000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 8.375000% 03/24/2029
65412JAU7
549000.00000000
PA
USD
554292.36000000
0.038411593494
Long
DBT
NUSS
NG
N
2
2029-03-24
Fixed
8.37500000
N
N
N
N
N
N
BRK: JPMORGAN CHASE
N/A
BRK: JPMORGAN CHASE REC:1D OVERNIGHT BRAZIL INTERBANK DEPOSIT
N/A
12557923.51000000
NC
157169.59000000
0.010891606733
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-12557923.51000000
BRL
157169.59000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
31410000.00000000
PA
1598677.96000000
0.110785881889
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-04-08
N/A
1.00000000
NC
USD
-4632.65000000
-0.00032103539
N/A
DFE
US
N
2
JP MORGAN
N/A
23956479936.00000000
IDR
1663528.92000000
USD
2022-04-08
-4632.65000000
N
N
N
OOREDOO INTERNATIONAL FINANCE LIMITED
549300BHXCDJ03WU7N77
OOREDOO INTERNATIONAL FINANCE LTD MTN 2.625000% 04/08/2031
74735KAA0
363000.00000000
PA
USD
340274.75000000
0.023580507898
Long
DBT
NUSS
QA
N
2
2031-04-08
Fixed
2.62500000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 2.500000% 07/09/2041
040114HV5
1745614.00000000
PA
USD
615171.83000000
0.042630445534
Long
DBT
NUSS
AR
N
2
2041-07-09
Fixed
2.50000000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 3.150000% 01/14/2030
P3143NBH6
800000.00000000
PA
USD
769267.50000000
0.053309034420
Long
DBT
NUSS
CL
N
2
2030-01-14
Fixed
3.15000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 6.264000% 02/15/2052
200447AM2
263000.00000000
PA
USD
256293.50000000
0.017760738641
Long
DBT
NUSS
MX
N
2
2052-02-15
Fixed
6.26400000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.875000% 10/17/2040
N/A
1619000.00000000
PA
1634203.57000000
0.113247751091
Long
DBT
NUSS
CI
N
2
2040-10-17
Fixed
6.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/28/2022
912796P37
4572500.00000000
PA
USD
4572135.62000000
0.316841846485
Long
DBT
UST
US
N
2
2022-04-28
None
0.00000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 3.717000% 01/25/2027
G10367AD5
631000.00000000
PA
USD
639676.25000000
0.044328563509
Long
DBT
NUSS
BM
N
2
2027-01-25
Fixed
3.71700000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2022
N/A
40233000000.00000000
PA
2814559.22000000
0.195044551261
Long
DBT
NUSS
ID
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-1678.59000000
-0.00011632366
N/A
DFE
CL
N
2
CITIGROUP GLOBAL MARKETS
N/A
325325.59000000
USD
257758716.00000000
CLP
2022-06-15
-1678.59000000
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
527093.03000000
0.036526722471
Long
DBT
NUSS
IN
N
2
2031-01-13
Fixed
2.25000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
34147.22000000
0.002366348931
N/A
DFE
CL
N
2
STANDARD BANK
N/A
1274946.90000000
USD
1042587823.00000000
CLP
2022-06-15
34147.22000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
-11170.89000000
-0.00077412520
N/A
DFE
XX
N
2
JP MORGAN
N/A
2129186.03000000
PLN
444855.95000000
EUR
2022-06-15
-11170.89000000
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
JORDAN GOVERNMENT INTERNATIONAL BOND 144A 7.375000% 10/10/2047
418097AJ0
228000.00000000
PA
USD
206992.08000000
0.014344227355
Long
DBT
NUSS
JO
N
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-06-14
N/A
1.00000000
NC
1111.27000000
0.000077009272
N/A
DFE
HU
N
2
JP MORGAN
N/A
271594.46000000
USD
90855000.00000000
HUF
2022-06-14
1111.27000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 2.550000% 07/27/2033
168863DT2
6402000.00000000
PA
USD
5829725.22000000
0.403990838576
Long
DBT
NUSS
CL
N
2
2033-07-27
Fixed
2.55000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.783000% 01/23/2031
715638DF6
973000.00000000
PA
USD
916079.50000000
0.063482876369
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
18448000.00000000
PA
4363635.27000000
0.302393098378
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 04/15/2039
N/A
18619000000.00000000
PA
1430522.56000000
0.099132975707
Long
DBT
NUSS
ID
N
2
2039-04-15
Fixed
8.37500000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-04-13
N/A
1.00000000
NC
833.45000000
0.000057756781
N/A
DFE
TR
N
2
JP MORGAN
N/A
25352.23000000
USD
386500.00000000
TRY
2022-04-13
833.45000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
28971000000.00000000
PA
2209703.14000000
0.153128971065
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
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
2841223.44000000
0.196892339997
Long
DBT
NUSS
ZA
N
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
TUNISIAN REPUBLIC 6.375000% 07/15/2026
N/A
622000.00000000
PA
429785.97000000
0.029783495426
Long
DBT
NUSS
TN
N
2
2026-07-15
Fixed
6.37500000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
REPUBLIC OF ZAMBIA 5.375000% 09/20/2022
N/A
702000.00000000
PA
USD
481557.96000000
0.033371213349
Long
DBT
NUSS
ZM
N
2
2022-09-20
Fixed
5.37500000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-05-23
N/A
1.00000000
NC
USD
-5540.40000000
-0.00038394105
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
24962336.00000000
CNY
3919226.28000000
USD
2022-05-23
-5540.40000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.300000% 04/29/2053
698299BB9
200000.00000000
PA
USD
191996.00000000
0.013305022469
Long
DBT
NUSS
PA
N
2
2053-04-29
Fixed
4.30000000
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
234193.27000000
0.016229227273
Long
DBT
NUSS
CL
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-04
N/A
1.00000000
NC
-11315.19000000
-0.00078412496
N/A
DFE
XX
N
2
JP MORGAN
N/A
4855141.04000000
USD
4350240.00000000
EUR
2022-05-04
-11315.19000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.750000% 01/24/2023
P01012AJ5
510000.00000000
PA
USD
414987.00000000
0.028757949955
Long
DBT
NUSS
SV
N
2
2023-01-24
Fixed
7.75000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 01/17/2048
682051AJ6
1089000.00000000
PA
USD
1086408.18000000
0.075286387455
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-1061.16000000
-0.00007353672
N/A
DFE
TH
N
2
STANDARD BANK
N/A
453602.68000000
USD
15029126.96000000
THB
2022-06-15
-1061.16000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
CBB INTERNATIONAL SUKUK PROGRAMME CO WLL 144A 3.875000% 05/18/2029
12482TAC2
1094000.00000000
PA
USD
1061031.22000000
0.073527803823
Long
DBT
NUSS
BH
N
2
2029-05-18
Fixed
3.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-04-13
N/A
1.00000000
NC
USD
881.12000000
0.000061060237
N/A
DFE
US
N
2
JP MORGAN
N/A
1810520269.90000000
COP
482805.41000000
USD
2022-04-13
881.12000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-06-15
N/A
1.00000000
NC
12454.39000000
0.000863069745
N/A
DFE
SG
N
2
CITIGROUP GLOBAL MARKETS
N/A
4094318.77000000
USD
5556400.00000000
SGD
2022-06-15
12454.39000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.000000% 06/15/2045
195325CU7
1510000.00000000
PA
USD
1270831.10000000
0.088066607327
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
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
1045375.46000000
0.072442884145
Long
DBT
NUSS
ZA
N
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.650000% 09/24/2031
N/A
2635000.00000000
PA
490419.92000000
0.033985333314
Long
DBT
NUSS
RO
N
2
2031-09-24
Fixed
3.65000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
179030000.00000000
PA
8649405.95000000
0.599390302469
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 9.248000% 01/21/2049
N/A
322000.00000000
PA
USD
306599.38000000
0.021246857434
Long
DBT
NUSS
NG
N
2
2049-01-21
Fixed
9.24800000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.1
N/A
839296187.00000000
NC
137321.54000000
0.009516167916
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-01-11
0.00000000
HUF
0.00000000
HUF
-839296187.00000000
HUF
137321.54000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.250000% 01/17/2042
Y20721BB4
692000.00000000
PA
USD
771580.00000000
0.053469287053
Long
DBT
NUSS
ID
N
2
2042-01-17
Fixed
5.25000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 8.875000% 05/29/2050
03846JX62
2537000.00000000
PA
USD
2191663.56000000
0.151878856390
Long
DBT
NUSS
EG
N
2
2050-05-29
Fixed
8.87500000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 05/16/2024
P7807HAT2
2089797.00000000
PA
USD
138449.05000000
0.009594302595
Long
DBT
NUSS
VE
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.750000% 04/27/2032
91087BAK6
805000.00000000
PA
USD
852615.75000000
0.059084937767
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 6.375000% 10/24/2048
48667QAS4
1026000.00000000
PA
USD
966592.81000000
0.066983369736
Long
DBT
NUSS
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
DERZHAVNE AHENTSTVO AVTOMOBIL'NYKH DORIH UKRAINY
254900FGEO8P5USHG994
STATE AGENCY OF ROADS OF UKRAINE 6.250000% 06/24/2028
N/A
1483000.00000000
PA
USD
593200.00000000
0.041107832084
Long
DBT
NUSS
UA
N
2
2028-06-24
Fixed
6.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-1996.64000000
-0.00013836402
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
478955.00000000
EUR
530922.86000000
USD
2022-04-05
-1996.64000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 15.840000% 02/26/2025
N/A
66553000.00000000
PA
686395.07000000
0.047566104654
Long
DBT
NUSS
UA
N
2
2025-02-26
Fixed
15.84000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.875000% 05/07/2042
N/A
1286000.00000000
PA
USD
895056.00000000
0.062025980705
Long
DBT
NUSS
GH
N
2
2042-05-07
Fixed
8.87500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 04/20/2023
N/A
13111000.00000000
PA
3170867.79000000
0.219736177805
Long
DBT
NUSS
MY
N
2
2023-04-20
Fixed
3.75700000
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
365735.00000000
0.025344863397
Long
DBT
NUSS
ID
N
2
2030-08-10
Fixed
4.62500000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 6.125000% 06/01/2050
P5015VAJ5
168000.00000000
PA
USD
176401.68000000
0.012224360487
Long
DBT
NUSS
GT
N
2
2050-06-01
Fixed
6.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-04-19
N/A
1.00000000
NC
USD
-1686332.30000000
-0.11686019053
N/A
DFE
US
N
2
JP MORGAN
N/A
324379900.00000000
ZAR
20473255.63000000
USD
2022-04-19
-1686332.30000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
Ivory Coast Government International Bond 6.625000% 03/22/2048
AR7769417
210000.00000000
PA
203533.36000000
0.014104543470
Long
DBT
CORP
CI
N
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.000000% 01/28/2032
N/A
40000.00000000
PA
36933.11000000
0.002559406750
Long
DBT
NUSS
RO
N
2
2032-01-28
Fixed
2.00000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2022-04-04
N/A
1.00000000
NC
-325.98000000
-0.00002258990
N/A
DFE
HU
N
2
HSBC
N/A
346083.64000000
EUR
126987501.00000000
HUF
2022-04-04
-325.98000000
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
196250.00000000
0.013599818015
Long
DBT
NUSS
MX
N
2
2170-09-08
Fixed
5.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.800000% 08/17/2023
N/A
4300000.00000000
PA
1043810.63000000
0.072334443874
Long
DBT
NUSS
MY
N
2
2023-08-17
Fixed
3.80000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
10451.11000000
0.000724245574
N/A
DFE
XX
N
2
JP MORGAN
N/A
1049180.30000000
USD
952331.00000000
EUR
2022-04-05
10451.11000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.350000% 08/12/2040
N/A
708000.00000000
PA
156977.83000000
0.010878318065
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 3.000000% 01/15/2034
715638DU3
722000.00000000
PA
USD
673019.52000000
0.046639199962
Long
DBT
NUSS
PE
N
2
2034-01-15
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-2074.88000000
-0.00014378593
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
1335387.58000000
PLN
316193.95000000
USD
2022-06-15
-2074.88000000
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
651249.43000000
0.045130566779
Long
DBT
NUSS
LK
N
2
2025-11-03
Fixed
6.85000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.059000% 09/30/2024
N/A
2627000.00000000
PA
641581.31000000
0.044460581187
Long
DBT
NUSS
MY
N
2
2024-09-30
Fixed
4.05900000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.400000% 06/05/2049
P3579ECE5
651000.00000000
PA
USD
608691.51000000
0.042181369495
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
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
440000.00000000
PA
USD
444400.00000000
0.030796224845
Long
DBT
NUSS
CN
N
2
2025-01-16
Fixed
5.50000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 02/08/2038
N/A
890000.00000000
PA
855197.55000000
0.059263852469
Long
DBT
NUSS
RO
N
2
2038-02-08
Fixed
3.37500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.150000% 02/03/2027
EJ0370613
523082000.00000000
PA
190558.11000000
0.013205378941
Long
DBT
NUSS
RU
N
2
2027-02-03
Fixed
8.15000000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 16.000000% 05/06/2027
N/A
2226000000.00000000
PA
670082.07000000
0.046435639272
Long
DBT
NUSS
UG
N
2
2027-05-06
Fixed
16.00000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 5.800000% 04/14/2020
N/A
5839000.00000000
PA
USD
693673.20000000
0.048070467679
Long
DBT
NUSS
LB
N
2
2023-04-14
Fixed
5.80000000
Y
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 9.125000% 11/26/2049
035198AE0
413000.00000000
PA
USD
401212.98000000
0.027803431915
Long
DBT
NUSS
AO
N
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 8.375000% 03/24/2029
65412JAU7
2436000.00000000
PA
USD
2459483.04000000
0.170438327416
Long
DBT
NUSS
NG
N
2
2029-03-24
Fixed
8.37500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.000000% 06/26/2026
N/A
46200000.00000000
PA
1839371.37000000
0.127465558697
Long
DBT
NUSS
CZ
N
2
2026-06-26
Fixed
1.00000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 04/25/2028
N/A
5935000.00000000
PA
1227660.93000000
0.085074982075
Long
DBT
NUSS
PL
N
2
2028-04-25
Fixed
2.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
10701000.00000000
PA
2603816.23000000
0.180440391709
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-21897.38000000
-0.00151745418
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
4656126339.00000000
UGX
1263877.94000000
USD
2022-06-15
-21897.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-1446.19000000
-0.00010021870
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
191794.00000000
EUR
211957.50000000
USD
2022-04-05
-1446.19000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 3.250000% 03/23/2023
900123CA6
483000.00000000
PA
USD
474054.84000000
0.032851258869
Long
DBT
NUSS
TR
N
2
2023-03-23
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-16162.58000000
-0.00112004151
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
2416300000.00000000
COP
621796.19000000
USD
2022-06-15
-16162.58000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 6.000000% 02/22/2033
25714PEN4
1498000.00000000
PA
USD
1462062.98000000
0.101318677476
Long
DBT
NUSS
DO
N
2
2033-02-22
Fixed
6.00000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-06-30
N/A
1.00000000
NC
752.00000000
0.000052112423
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
355571.18000000
EUR
1786412.00000000
RON
2022-06-30
752.00000000
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
Venezuela Government International Bond Maturity:09/15/2027
922646AS3
2300000.00000000
PA
USD
188600.00000000
0.013069684981
Long
DBT
NUSS
VE
N
2
2027-09-15
Fixed
9.25000000
Y
N
N
N
N
N
N/A
N/A
R186 BOND FUTURE MAY22 FINANCIAL COMMODITY FUTURE.
N/A
494.00000000
NC
3809045.11000000
0.263960867809
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R186 Bond Future May 2022
2022-05-08
3636392.45000000
ZAR
172652.66000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.125000% 04/15/2031
195325DS1
639000.00000000
PA
USD
540753.75000000
0.037473388998
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 1.5% 06/18/2025
N/A
12602000.00000000
PA
2045158.24000000
0.141726266885
Long
DBT
USGA
TR
N
2
2025-06-18
Fixed
1.50000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
1586.86000000
0.000109966915
N/A
DFE
MY
N
2
STANDARD CHARTERED BANK
N/A
1478327.11000000
USD
6218583.00000000
MYR
2022-04-28
1586.86000000
N
N
N
Nexa Resources S.A.
549300QRMRHM7GAU7L47
NEXA RESOURCES SA 144A 5.375000% 05/04/2027
91832CAA4
2591000.00000000
PA
USD
2629865.00000000
0.182245530723
Long
DBT
NUSS
BR
N
2
2027-05-04
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-20337.08000000
-0.00140932783
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
16720000.00000000
MXN
807302.85000000
USD
2022-06-15
-20337.08000000
N
N
N
Mexico City Airport Trust
N/A
MEXICO CITY AIRPORT TRUST 144A 5.500000% 07/31/2047
59284MAD6
715000.00000000
PA
USD
630100.90000000
0.043665006732
Long
DBT
NUSS
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 2.252000% 09/29/2032
698299BN3
2352000.00000000
PA
USD
2078721.12000000
0.144052121968
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25200000
N
N
N
N
N
N
AI CANDELARIA (SPAIN) S.A.
213800L5KA2MJ5FKRZ02
AI CANDELARIA SPAIN SA 144A 7.500000% 12/15/2028
001355AA4
975000.00000000
PA
USD
958035.00000000
0.066390326890
Long
DBT
NUSS
CO
N
2
2028-12-15
Fixed
7.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
22492000.00000000
PA
5472856.25000000
0.379260377189
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
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
283010.00000000
0.019612150300
Long
DBT
NUSS
PA
N
2
2061-08-11
Fixed
5.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-06-30
N/A
1.00000000
NC
-3422.82000000
-0.00023719607
N/A
DFE
XX
N
2
JP MORGAN
N/A
981725.40000000
RON
192708.93000000
EUR
2022-06-30
-3422.82000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
14600.76000000
0.001011809828
N/A
DFE
XX
N
2
JP MORGAN
N/A
1053267.76000000
USD
959734.00000000
EUR
2022-04-05
14600.76000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 144 2.800000% 10/01/2033
N/A
640000000.00000000
PA
607122.66000000
0.042072650644
Long
DBT
NUSS
CL
N
2
2033-10-01
Fixed
2.80000000
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
143313.90000000
0.009931429090
Long
DBT
NUSS
SN
N
2
2037-06-08
Fixed
5.37500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERUVIAN GOVERNMENT INTERNATIONAL BOND 144A 5.700000% 08/12/2024
715638BT8
4932000.00000000
PA
1341444.96000000
0.092960037367
Long
DBT
NUSS
PE
N
2
2024-08-12
Fixed
5.70000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.480000% 03/15/2023
N/A
8686000.00000000
PA
2091517.84000000
0.144938914647
Long
DBT
NUSS
MY
N
2
2023-03-15
Fixed
3.48000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 13.000000% 08/29/2026
N/A
1375000.00000000
PA
57934.24000000
0.004014752208
Long
DBT
NUSS
ZM
N
2
2026-08-29
Fixed
13.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-05-31
N/A
1.00000000
NC
USD
-17.52000000
-0.00000121410
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
48518787.00000000
IDR
3360.12000000
USD
2022-05-31
-17.52000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 11/15/2026
P7807HAR6
4166279.00000000
PA
USD
291639.53000000
0.020210163230
Long
DBT
NUSS
VE
N
2
2026-11-15
Fixed
6.00000000
Y
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.680000% 05/21/2030
N/A
51050000.00000000
PA
7924737.67000000
0.549171924230
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
2.68000000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 17.000000% 01/16/2025
N/A
440400000.00000000
PA
135336.29000000
0.009378593196
Long
DBT
NUSS
UG
N
2
2025-01-16
Fixed
17.00000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 5.500000% 06/24/2025
N/A
338870000.00000000
PA
998769.42000000
0.069213158477
Long
DBT
NUSS
HU
N
2
2025-06-24
Fixed
5.50000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.750000% 09/30/2049
836205BB9
2335000.00000000
PA
USD
2037287.50000000
0.141180836915
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2036
N/A
27920000000.00000000
PA
2111597.62000000
0.146330411991
Long
DBT
NUSS
ID
N
2
2036-05-15
Fixed
8.25000000
N
N
N
N
N
N
BRK: JP MORGAN CHASE
N/A
BRK: JP MORGAN CHASE REC:7.61
N/A
2064374099.00000000
NC
13927.75000000
0.000965171288
N/A
DIR
XX
N
2
BRK: JP MORGAN CHASE
N/A
Y
2024-03-31
0.00000000
HUF
0.00000000
HUF
-2064374099.00000000
HUF
13927.75000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 11/07/2047
N/A
9449400.00000000
PA
451445.54000000
0.031284469746
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.875000% 02/28/2035
N/A
105574213.00000000
PA
6489427.42000000
0.449707169094
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.000000% 01/27/2045
105756BW9
1519000.00000000
PA
USD
1350406.19000000
0.093581036589
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-04-11
N/A
1.00000000
NC
-4743.45000000
-0.00032871366
N/A
DFE
MY
N
2
STANDARD CHARTERED BANK
N/A
1266550.07000000
USD
5304565.00000000
MYR
2022-04-11
-4743.45000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-04-11
N/A
1.00000000
NC
-3227.24000000
-0.00022364268
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
2124474.89000000
USD
2571676855.00000000
KRW
2022-04-11
-3227.24000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.100000% 03/28/2035
N/A
1200000.00000000
PA
USD
210000.00000000
0.014552671506
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2029
N/A
41036000.00000000
PA
8026754.55000000
0.556241534434
Long
DBT
NUSS
BR
N
2
2029-01-01
Fixed
10.00000000
N
N
N
N
N
N
DERZHAVNE AHENTSTVO AVTOMOBIL'NYKH DORIH UKRAINY
254900FGEO8P5USHG994
STATE AGENCY OF ROADS OF UKRAINE 144A 6.250000% 06/24/2028
857329AA4
363000.00000000
PA
USD
145200.00000000
0.010062132870
Long
DBT
NUSS
UA
N
2
2028-06-24
Fixed
6.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
136.48000000
0.000009457850
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
8452482.00000000
MXN
418534.31000000
USD
2022-06-15
136.48000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.585000% 12/17/2035
N/A
17000000.00000000
PA
429667.02000000
0.029775252377
Long
DBT
NUSS
TH
N
2
2035-12-17
Fixed
1.58500000
N
N
N
N
N
N
Republic of Kazakhstan
5493007OEK8EF02UO833
KAZAKHSTAN GOVERNMENT INTERNATIONAL BOND MTN 2.375000% 11/09/2028
N/A
350000.00000000
PA
354897.41000000
0.024593835363
Long
DBT
NUSS
KZ
N
2
2028-11-09
Fixed
2.37500000
N
N
N
N
N
N
EGYPTIAN POUND
N/A
FX Forward Contract: EGP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-108305.95000000
-0.00750543291
N/A
DFE
EG
N
2
CITIGROUP GLOBAL MARKETS
N/A
1288331.42000000
USD
21676176.09000000
EGP
2022-06-15
-108305.95000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 0.500000% 07/31/2040
N/A
2255000.00000000
PA
USD
1285372.55000000
0.089074307066
Long
DBT
NUSS
EC
N
2
2040-07-31
Fixed
0.50000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 1.000000% 07/31/2035
N/A
4027847.00000000
PA
USD
2634252.22000000
0.182549558207
Long
DBT
NUSS
EC
N
2
2035-07-31
Fixed
1.00000000
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
276450.00000000
0.019157552562
Long
DBT
NUSS
CN
N
2
2170-10-01
Fixed
3.08000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
4973.63000000
0.000344664778
N/A
DFE
XX
N
2
JP MORGAN
N/A
262464.72000000
USD
240357.00000000
EUR
2022-04-05
4973.63000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6M HUF BUBOR
N/A
345651277.00000000
NC
166278.35000000
0.011522829553
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2031-11-11
0.00000000
HUF
0.00000000
HUF
-345651277.00000000
HUF
166278.35000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVT INTL BOND 0.400000% 10/21/2023
Y15025AA0
2410000.00000000
PA
USD
2337965.10000000
0.162017324259
Long
DBT
NUSS
CN
N
2
2023-10-21
Fixed
0.40000000
N
N
N
N
N
N
ULKER BISKUVI SANAYI ANONIM SIRKETI
7890009HEU9BS7J3DA93
ULKER BISKUVI SANAYI AS 6.950000% 10/30/2025
N/A
384000.00000000
PA
USD
335339.52000000
0.023238504179
Long
DBT
NUSS
TR
N
2
2025-10-30
Fixed
6.95000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.50000% 10/18/2034
P6S32JS68
1137200000.00000000
PA
248110.25000000
0.017193652217
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
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
222003.20000000
0.015384474490
Long
DBT
NUSS
LB
N
2
2028-03-20
Fixed
7.00000000
Y
N
N
N
N
N
DP WORLD SALAAM
549300SUYBT9X88E9435
DP WORLD SALAAM 6.000000% MATURITY: PERPETUAL
N/A
877000.00000000
PA
USD
904716.71000000
0.062695452796
Long
DBT
NUSS
AE
N
2
2171-01-01
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2022-05-24
N/A
1.00000000
NC
USD
-7270.07000000
-0.00050380447
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
722210.00000000
ILS
219414.28000000
USD
2022-05-24
-7270.07000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 3.050000% 03/12/2051
455780CW4
1787000.00000000
PA
USD
1614721.96000000
0.111897705993
Long
DBT
NUSS
ID
N
2
2051-03-12
Fixed
3.05000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.750000% 02/28/2048
N/A
141864000.00000000
PA
8131756.13000000
0.563517979678
Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
8.75000000
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
673642.90000000
0.046682399221
Long
DBT
NUSS
XX
N
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 2.125000% 12/01/2030
N/A
517000.00000000
PA
USD
430505.90000000
0.029833385449
Long
DBT
NUSS
RS
N
2
2030-12-01
Fixed
2.12500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.250000% 03/31/2032
N/A
13809000.00000000
PA
843234.95000000
0.058434863001
Long
DBT
NUSS
ZA
N
2
2032-03-31
Fixed
8.25000000
N
N
N
N
N
N
N/A
N/A
SEI LIQUIDITY FUND
N/A
123852168.29300000
NS
USD
123869269.20000000
8.583946592590
Long
EC
US
N
2
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 9.000000% 01/31/2040
N/A
17965450.00000000
PA
1073562.43000000
0.074396197074
Long
DBT
NUSS
ZA
N
2
2040-01-31
Fixed
9.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.280000% 12/03/2027
N/A
25350000.00000000
PA
4115290.97000000
0.285183226861
Long
DBT
NUSS
CN
N
2
2027-12-03
Fixed
3.28000000
N
N
N
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT 5.625000% 06/24/2030
P5178RAD0
299000.00000000
PA
USD
270595.00000000
0.018751810220
Long
DBT
NUSS
HN
N
2
2030-06-24
Fixed
5.62500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.250000% 05/10/2034
N/A
71438000.00000000
PA
26024.77000000
0.001803475851
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 8.200000% 05/17/2033
N/A
2700000.00000000
PA
USD
280260.00000000
0.019421579602
Long
DBT
NUSS
LB
N
2
2033-05-17
Fixed
8.20000000
Y
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
427371.28000000
0.029616161186
Long
DBT
NUSS
CO
N
2
2029-03-25
Fixed
6.25000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
1499.93000000
0.000103942802
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
1696367.24000000
USD
24398850000.00000000
IDR
2022-06-15
1499.93000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.750000% 02/07/2034
N/A
730000.00000000
PA
756511.60000000
0.052425070503
Long
DBT
NUSS
RO
N
2
2034-02-07
Fixed
3.75000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-09-21
N/A
1.00000000
NC
2906.93000000
0.000201445701
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
162316.26000000
EUR
839386.57000000
RON
2022-09-21
2906.93000000
N
N
N
NAUTILUS INKIA HOLDINGS LLC
N/A
INKIA ENERGY LTD 144A 5.875000% 11/09/2027
45721RAC7
359000.00000000
PA
USD
346438.59000000
0.024007652369
Long
DBT
NUSS
PE
N
2
2027-11-09
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-3689.35000000
-0.00025566618
N/A
DFE
US
N
2
JP MORGAN
N/A
1111000.00000000
ZAR
71949.39000000
USD
2022-05-16
-3689.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-64323.61000000
-0.00445752555
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
512507059.00000000
INR
6641617.54000000
USD
2022-06-15
-64323.61000000
N
N
N
VEDANTA RESOURCES LIMITED
2138007MYEKPEAZQTW83
VEDANTA RESOURCES LTD 6.375000% 07/30/2022
G9328DAM2
350000.00000000
PA
USD
340301.50000000
0.023582361632
Long
DBT
NUSS
IN
N
2
2022-07-30
Fixed
6.37500000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 3.500000% 04/14/2033
N/A
1271000.00000000
PA
USD
1055336.72000000
0.073133183881
Long
DBT
NUSS
KZ
N
2
2033-04-14
Fixed
3.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.350000% 08/10/2024
900123CV0
294000.00000000
PA
USD
291502.18000000
0.020200645090
Long
DBT
NUSS
TR
N
2
2024-08-10
Fixed
6.35000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.375000% 09/25/2032
N/A
1778000.00000000
PA
USD
736074.22000000
0.051008792039
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-06-30
N/A
1.00000000
NC
3762.98000000
0.000260768627
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
347999.55000000
EUR
1761968.00000000
RON
2022-06-30
3762.98000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIAGENL REP 1.90% 09/01/2030
N/A
725081033.82000000
PA
924635.53000000
0.064075795864
Long
DBT
NUSS
CL
N
2
2030-09-01
Fixed
0.00000000
N
N
N
N
N
N
Gol Finance SA
5299007RH8MA67ZC6J07
GOL FINANCE SA 144A 7.000000% 01/31/2025
36254VAA6
998000.00000000
PA
USD
828340.00000000
0.057402666266
Long
DBT
NUSS
BR
N
2
2025-01-31
Fixed
7.00000000
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
790801.08000000
0.054801277830
Long
DBT
NUSS
MN
N
2
2023-10-23
Fixed
7.25000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.875000% 02/28/2035
N/A
23592000.00000000
PA
1450151.20000000
0.100493209755
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
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
73463.70000000
0.005090919494
Long
DBT
NUSS
DO
N
2
2024-04-18
Fixed
5.87500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.250000% 04/22/2032
195325DZ5
441000.00000000
PA
USD
368177.67000000
0.025514136607
Long
DBT
NUSS
CO
N
2
2032-04-22
Fixed
3.25000000
N
N
N
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY:7 2
N/A
102358929.00000000
NC
33039.52000000
0.002289587053
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2023-01-27
0.00000000
MXN
0.00000000
MXN
-102358929.00000000
MXN
33039.52000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-888.93000000
-0.00006160145
N/A
DFE
TH
N
2
STANDARD BANK
N/A
242393.02000000
USD
8020470.05000000
THB
2022-06-15
-888.93000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.650000% 02/26/2030
N/A
1225000.00000000
PA
USD
142406.25000000
0.009868530365
Long
DBT
NUSS
LB
N
2
2030-02-26
Fixed
6.65000000
Y
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
43720000.00000000
PA
2042970.57000000
0.141574664776
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2024
N/A
20173000000.00000000
PA
1507781.64000000
0.104486909098
Long
DBT
NUSS
ID
N
2
2024-03-15
Fixed
8.37500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 06/15/2035
N/A
2000000000.00000000
PA
142845.60000000
0.009898976633
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.250000% 09/21/2071
168863DU9
1236000.00000000
PA
USD
1000307.16000000
0.069319721453
Long
DBT
NUSS
CL
N
2
2071-09-21
Fixed
3.25000000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA 6.0% 05/16/2024
N/A
6030000.00000000
PA
USD
399487.50000000
0.027683858850
Long
DBT
NUSS
VE
N
2
2024-05-16
Fixed
6.00000000
Y
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
184260.00000000
0.012768929770
Long
DBT
NUSS
XX
N
2
2031-05-17
Fixed
3.79800000
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
1723817.46000000
0.119457853490
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
N
ALFA DESARROLLO SPA
2549006BJAN34R520038
ALFA DESARROLLO SPA 144A 4.550000% 09/27/2051
01538TAA3
227000.00000000
PA
USD
196922.50000000
0.013646421213
Long
DBT
NUSS
CL
N
2
2051-09-27
Fixed
4.55000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-05-25
N/A
1.00000000
NC
13.03000000
0.000000902958
N/A
DFE
MY
N
2
STANDARD CHARTERED BANK
N/A
272440.67000000
USD
1145613.00000000
MYR
2022-05-25
13.03000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 03/26/2031
N/A
1211900000.00000000
PA
271801.39000000
0.018835411160
Long
DBT
NUSS
CO
N
2
2031-03-26
Fixed
7.00000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
22444.01000000
0.001555334784
N/A
DFE
CL
N
2
CITIGROUP GLOBAL MARKETS
N/A
894605.32000000
USD
730355787.00000000
CLP
2022-06-15
22444.01000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
180968.86000000
0.012540858916
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
5101386.78000000
USD
77890524.00000000
ZAR
2022-06-15
180968.86000000
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 144A 5.625000% 06/19/2047
716564AB5
720000.00000000
PA
USD
604800.00000000
0.041911693939
Long
DBT
NUSS
PE
N
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 2.659000% 05/24/2031
91087BAM2
2153000.00000000
PA
USD
1959660.60000000
0.135801414173
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 2022-06-15
N/A
1.00000000
NC
5624.34000000
0.000389757964
N/A
DFE
TH
N
2
STANDARD BANK
N/A
745042.02000000
USD
24930000.00000000
THB
2022-06-15
5624.34000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.253000% 03/15/2033
N/A
724000.00000000
PA
USD
300279.00000000
0.020808864987
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25300000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 14.250000% 06/22/2034
V3843WBS8
811800000.00000000
PA
225433.67000000
0.015622200695
Long
DBT
NUSS
UG
N
2
2034-06-22
Fixed
14.25000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 1.700000% 03/02/2031
N/A
970000.00000000
PA
USD
883997.86000000
0.061259668901
Long
DBT
NUSS
AE
N
2
2031-03-02
Fixed
1.70000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.625000% 01/07/2041
105756BR0
757000.00000000
PA
USD
732367.22000000
0.050751902737
Long
DBT
NUSS
BR
N
2
2041-01-07
Fixed
5.62500000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-04-04
N/A
1.00000000
NC
308.76000000
0.000021396585
N/A
DFE
MY
N
2
JP MORGAN
N/A
305466.20000000
USD
1285707.25000000
MYR
2022-04-04
308.76000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.642000% 11/07/2033
N/A
500000.00000000
PA
123582.48000000
0.008564072549
Long
DBT
NUSS
MY
N
2
2033-11-07
Fixed
4.64200000
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
2990000.00000000
PA
USD
1402609.00000000
0.097198609663
Long
DBT
NUSS
LK
N
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-04-26
N/A
1.00000000
NC
112.74000000
0.000007812705
N/A
DFE
ID
N
2
JP MORGAN
N/A
2744809.49000000
USD
39401740202.00000000
IDR
2022-04-26
112.74000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.300000% 06/22/2048
836205AZ7
540000.00000000
PA
USD
509014.80000000
0.035273929411
Long
DBT
NUSS
ZA
N
2
2048-06-22
Fixed
6.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-19718.07000000
-0.00136643140
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
3108060000.00000000
COP
800881.26000000
USD
2022-06-15
-19718.07000000
N
N
N
United Arab Emirates Government
98450060C643D82DF808
UAE INTERNATIONAL GOVERNMENT BOND MTN 2.000000% 10/19/2031
31424EAA0
1328000.00000000
PA
USD
1253313.28000000
0.086852649803
Long
DBT
NUSS
AE
N
2
2031-10-19
Fixed
2.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVT INTL BOND 1.875000% 12/03/2022
N/A
200000.00000000
PA
USD
200074.00000000
0.013864815233
Long
DBT
NUSS
CN
N
2
2022-12-03
Fixed
1.87500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.200000% 05/15/2049
195325DQ5
1410000.00000000
PA
USD
1201700.70000000
0.083275978745
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 0.250000% 10/25/2026
N/A
5980000.00000000
PA
1134940.79000000
0.078649621411
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/RON SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-38932.31000000
-0.00269794818
N/A
DFE
US
N
2
JP MORGAN
N/A
7257900.00000000
RON
1587745.01000000
USD
2022-05-16
-38932.31000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 6.500000% 11/28/2027
65412JAC7
667000.00000000
PA
USD
633583.30000000
0.043906331604
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.850000% 02/12/2042
715638BL5
613000.00000000
PA
160289.08000000
0.011107782511
Long
DBT
NUSS
PE
N
2
2042-02-12
Fixed
6.85000000
N
N
N
N
N
N
National company QazaqGaz JSC
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 4.375000% 09/26/2027
N/A
1815000.00000000
PA
USD
1639126.50000000
0.113588902440
Long
DBT
NUSS
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.500000% 03/15/2029
195325DP7
1234000.00000000
PA
USD
1191969.96000000
0.082601653684
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.181000% 07/15/2024
N/A
4186000.00000000
PA
1022799.19000000
0.070878383949
Long
DBT
NUSS
MY
N
2
2024-07-15
Fixed
4.18100000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-1262.05000000
-0.00008745809
N/A
DFE
TH
N
2
STANDARD BANK
N/A
893808.04000000
USD
29641892.42000000
THB
2022-06-15
-1262.05000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.480000% 03/15/2023
N/A
1350000.00000000
PA
325068.97000000
0.022526771130
Long
DBT
NUSS
MY
N
2
2023-03-15
Fixed
3.48000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
65855.77000000
0.004563701845
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
6070020.00000000
USD
5500000.00000000
EUR
2022-06-15
65855.77000000
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
TUNISIAN REPUBLIC 5.625000% 02/17/2024
N/A
715000.00000000
PA
538740.04000000
0.037333842045
Long
DBT
NUSS
TN
N
2
2024-02-17
Fixed
5.62500000
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
342128.91000000
0.023708998286
Long
DBT
NUSS
MX
N
2
2031-02-09
Fixed
3.34800000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 5.670000% 03/13/2028
N/A
3000000.00000000
PA
109167.55000000
0.007565140449
Long
DBT
NUSS
TH
N
2
2028-03-13
Fixed
5.67000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT INTERNATIONAL BOND 144A 2.125000% 09/22/2031
445545AM8
2292000.00000000
PA
USD
2071472.93000000
0.143549833739
Long
DBT
NUSS
HU
N
2
2031-09-22
Fixed
2.12500000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.250000% 09/21/2071
168863DU9
379000.00000000
PA
USD
306728.49000000
0.021255804555
Long
DBT
NUSS
CL
N
2
2071-09-21
Fixed
3.25000000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 144A 4.750000% 06/19/2032
716564AA7
588000.00000000
PA
USD
526554.00000000
0.036489368535
Long
DBT
NUSS
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 6.876000% 05/21/2029
N/A
260000.00000000
PA
USD
107620.24000000
0.007457914286
Long
DBT
NUSS
UA
N
2
2029-05-21
Fixed
6.87600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-80067.49000000
-0.00554855181
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
11406180000.00000000
COP
2931426.37000000
USD
2022-06-15
-80067.49000000
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS INTERNATIONAL BOND 144A 6.875000% 02/28/2023
07737JAB9
1612000.00000000
PA
USD
241800.00000000
0.016756361763
Long
DBT
NUSS
BY
N
2
2023-02-28
Fixed
6.87500000
N
N
N
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 4.550000% 04/21/2050
Y68856AV8
1401000.00000000
PA
USD
1543145.46000000
0.106937566506
Long
DBT
NUSS
MY
N
2
2050-04-21
Fixed
4.55000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
TUNISIAN REPUBLIC 5.750000% 01/30/2025
N/A
426000.00000000
PA
USD
284142.00000000
0.019690596129
Long
DBT
NUSS
TN
N
2
2025-01-30
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-12101.17000000
-0.00083859215
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
15280000.00000000
CZK
678231.52000000
USD
2022-06-15
-12101.17000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.125000% 12/17/2026
N/A
15000000.00000000
PA
460806.19000000
0.031933148149
Long
DBT
NUSS
TH
N
2
2026-12-17
Fixed
2.12500000
N
N
N
N
N
N
Republic of Armenia
5299000H77JSW90G7935
REPUBLIC OF ARMENIA 3.600000% 02/02/2031
N/A
570000.00000000
PA
USD
448327.80000000
0.031068415241
Long
DBT
NUSS
AM
N
2
2031-02-02
Fixed
3.60000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.625000% 05/15/2023
N/A
1885000000.00000000
PA
134096.50000000
0.009292677689
Long
DBT
NUSS
ID
N
2
2023-05-15
Fixed
5.62500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.250000% 02/10/2027
N/A
27240000.00000000
PA
1028921.90000000
0.071302678175
Long
DBT
NUSS
CZ
N
2
2027-02-10
Fixed
0.25000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.750000% 04/07/2029
N/A
200000.00000000
PA
USD
146180.00000000
0.010130045337
Long
DBT
NUSS
GH
N
2
2029-04-07
Fixed
7.75000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.500000% 02/12/2034
91087BAR1
1979000.00000000
PA
USD
1839460.71000000
0.127471749819
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 12/05/2024
N/A
118927000.00000000
PA
6177023.77000000
0.428058084828
Long
DBT
NUSS
MX
N
2
2024-12-05
Floating
10.00000080
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
3476.08000000
0.000240886906
N/A
DFE
MX
N
2
JP MORGAN
N/A
66991.62000000
USD
1415600.00000000
MXN
2022-05-16
3476.08000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-05-23
N/A
1.00000000
NC
-137635.42000000
-0.00953791930
N/A
DFE
KR
N
2
J P MORGAN CHASE BANK
N/A
10996338.55000000
USD
13176582600.00000000
KRW
2022-05-23
-137635.42000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.478000% 06/14/2024
N/A
2437000.00000000
PA
586676.71000000
0.040655778291
Long
DBT
NUSS
MY
N
2
2024-06-14
Fixed
3.47800000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-04-19
N/A
1.00000000
NC
62690.80000000
0.004344374375
N/A
DFE
HU
N
2
JP MORGAN
N/A
1195092.97000000
USD
415856500.00000000
HUF
2022-04-19
62690.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-21128.84000000
-0.00146419556
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
10540850000.00000000
COP
2761898.00000000
USD
2022-06-15
-21128.84000000
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGLOBAL CANADA ULC MTN 5.875000% 05/18/2030
58518N2A9
222000.00000000
PA
USD
245933.82000000
0.017042829023
Long
DBT
NUSS
KW
N
2
2030-05-18
Fixed
5.87500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
71681.38000000
0.004967407506
N/A
DFE
MX
N
2
JP MORGAN
N/A
1593140.41000000
USD
33444000.00000000
MXN
2022-05-16
71681.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-04-11
N/A
1.00000000
NC
USD
-34880.78000000
-0.00241718349
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
2517944529.00000000
KRW
2042045.76000000
USD
2022-04-11
-34880.78000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
11471.91000000
0.000794985418
N/A
DFE
XX
N
2
JP MORGAN
N/A
1596864.12000000
USD
1445472.68000000
EUR
2022-04-05
11471.91000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-175.60000000
-0.00001216880
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
304246.69000000
USD
4369590901.00000000
IDR
2022-06-15
-175.60000000
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
TULLOW OIL PLC 144A 7.000000% 03/01/2025
899415AE3
1241000.00000000
PA
USD
1023825.00000000
0.070949470977
Long
DBT
NUSS
GH
N
2
2025-03-01
Fixed
7.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 7.903000% 02/21/2048
03846JW55
110000.00000000
PA
USD
89120.90000000
0.006175938962
Long
DBT
NUSS
EG
N
2
2048-02-21
Fixed
7.90300000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
877.39000000
0.000060801754
N/A
DFE
XX
N
2
JP MORGAN
N/A
71188.95000000
USD
64732.29000000
EUR
2022-04-28
877.39000000
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 6.200000% 02/28/2030
N/A
260000.00000000
PA
USD
36400.00000000
0.002522463061
Long
DBT
NUSS
BY
N
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.150000% 08/12/2032
N/A
1462000.00000000
PA
378938.58000000
0.026259850837
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-06-30
N/A
1.00000000
NC
-4176.28000000
-0.00028940967
N/A
DFE
XX
N
2
JP MORGAN
N/A
1566240.00000000
RON
308597.44000000
EUR
2022-06-30
-4176.28000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.000000% 06/15/2045
195325CU7
2220000.00000000
PA
USD
1868374.20000000
0.129475409448
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-06-13
N/A
1.00000000
NC
USD
2333.68000000
0.000161720373
N/A
DFE
US
N
2
JP MORGAN
N/A
3512151.66000000
BRL
726221.34000000
USD
2022-06-13
2333.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-28545.85000000
-0.00197818275
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
4183765697.00000000
UGX
1126788.50000000
USD
2022-06-15
-28545.85000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.020000% 10/22/2025
N/A
37700000.00000000
PA
6042900.32000000
0.418763539546
Long
DBT
NUSS
CN
N
2
2025-10-22
Fixed
3.02000000
N
N
N
N
N
N
Republic of Trinidad and Tobago
HYBZ5SXKW67ICKUUWH81
TRINIDAD & TOBAGO 4.500000% 08/04/2026
P93960AG0
482000.00000000
PA
USD
482004.82000000
0.033402180048
Long
DBT
NUSS
TT
N
2
2026-08-04
Fixed
4.50000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.500000% 04/01/2056
698299BM5
1177000.00000000
PA
USD
1150317.41000000
0.079715197124
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
TUNISIAN REPUBLIC 5.625000% 02/17/2024
N/A
250000.00000000
PA
188370.64000000
0.013053790692
Long
DBT
NUSS
TN
N
2
2024-02-17
Fixed
5.62500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 1.500000% 06/26/2029
N/A
1123000.00000000
PA
1058350.91000000
0.073342062533
Long
DBT
NUSS
RS
N
2
2029-06-26
Fixed
1.50000000
N
N
N
N
N
N
Republique Gabonaise
N/A
GABON GOVERNMENT INTERNATIONAL BOND 144A 6.625000% 02/06/2031
362420AD3
400000.00000000
PA
USD
378680.00000000
0.026241931648
Long
DBT
NUSS
GA
N
2
2031-02-06
Fixed
6.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-21
N/A
1.00000000
NC
USD
-53.66000000
-0.00000371855
N/A
DFE
US
N
2
JP MORGAN
N/A
10746300.00000000
THB
323586.27000000
USD
2022-06-21
-53.66000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
-4732.76000000
-0.00032797286
N/A
DFE
XX
N
2
JP MORGAN
N/A
227392.40000000
USD
200000.00000000
EUR
2022-04-28
-4732.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-4918.69000000
-0.00034085752
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
1571092833.00000000
COP
409885.95000000
USD
2022-06-15
-4918.69000000
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
1165000.00000000
0.080732677644
Long
DBT
NUSS
ID
N
2
2050-05-15
Fixed
5.80000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.000000% 12/17/2031
N/A
20000000.00000000
PA
582611.65000000
0.040374075992
Long
DBT
NUSS
TH
N
2
2031-12-17
Fixed
2.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 04/11/2031
N/A
2060000.00000000
PA
1957958.08000000
0.135683432200
Long
DBT
NUSS
EG
N
2
2031-04-11
Fixed
6.37500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.650000% 06/20/2031
N/A
58000000.00000000
PA
1934696.37000000
0.134071432084
Long
DBT
NUSS
TH
N
2
2031-06-20
Fixed
3.65000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.750000% 02/23/2027
200447AF7
258000.00000000
PA
USD
263805.00000000
0.018281273842
Long
DBT
NUSS
MX
N
2
2027-02-23
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-28
N/A
1.00000000
NC
USD
13357.76000000
0.000925671873
N/A
DFE
US
N
2
JP MORGAN
N/A
720468.27000000
EUR
815453.80000000
USD
2022-04-28
13357.76000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.400000% 12/17/2023
N/A
88000000.00000000
PA
2719908.61000000
0.188485412045
Long
DBT
NUSS
TH
N
2
2023-12-17
Fixed
2.40000000
N
N
N
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 1.125000% 03/04/2033
N/A
1002000.00000000
PA
988331.70000000
0.068489840808
Long
DBT
NUSS
HR
N
2
2033-03-04
Fixed
1.12500000
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
-136189.74000000
-0.00943773594
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
-136189.74000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
12315.55000000
0.000853448350
N/A
DFE
XX
N
2
JP MORGAN
N/A
667413.15000000
USD
610898.00000000
EUR
2022-04-05
12315.55000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.650000% 07/28/2025
N/A
12120000.00000000
PA
2552625.44000000
0.176892950038
Long
DBT
NUSS
RO
N
2
2025-07-28
Fixed
3.65000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 6.375000% 10/24/2048
48667QAS4
720000.00000000
PA
USD
678310.75000000
0.047005873924
Long
DBT
NUSS
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-24033.06000000
-0.00166545346
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
10174496.89000000
MXN
479604.50000000
USD
2022-06-15
-24033.06000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-04-28
N/A
1.00000000
NC
USD
-15373.94000000
-0.00106538999
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
12711547.00000000
CNY
1987081.79000000
USD
2022-04-28
-15373.94000000
N
N
N
Joint-Stock Cornpany Uzbekneftegaz
213800LUZJZFLJD4MJ51
UZBEKNEFTEGAZ JSC 144A 4.750000% 11/16/2028
91825MAB9
218000.00000000
PA
USD
178090.74000000
0.012341409702
Long
DBT
NUSS
UZ
N
2
2028-11-16
Fixed
4.75000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 4.200000% 12/04/2036
N/A
7740000.00000000
PA
369679.54000000
0.025618213849
Long
DBT
NUSS
CZ
N
2
2036-12-04
Fixed
4.20000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 11.000000% 01/25/2026
N/A
18620000.00000000
PA
769052.77000000
0.053294153967
Long
DBT
NUSS
ZM
N
2
2026-01-25
Fixed
11.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 04/20/2023
N/A
1500000.00000000
PA
362771.85000000
0.025139521737
Long
DBT
NUSS
MY
N
2
2023-04-20
Fixed
3.75700000
N
N
N
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT 7.158000% 03/12/2045
P3699PGJ0
1660000.00000000
PA
USD
1647566.60000000
0.114173788167
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 1.000000% 07/31/2035
N/A
3260000.00000000
PA
USD
2132072.60000000
0.147749296077
Long
DBT
NUSS
EC
N
2
2035-07-31
Fixed
1.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.483000% 04/06/2026
N/A
31272000.00000000
PA
1631022.57000000
0.113027312767
Long
DBT
NUSS
EG
N
2
2026-04-06
Fixed
14.48300000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KZT SETTLE 2022-04-20
N/A
1.00000000
NC
USD
-56651.49000000
-0.00392585963
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
183413408.00000000
KZT
333478.92000000
USD
2022-04-20
-56651.49000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 6.000000% 02/22/2033
25714PEN4
2613000.00000000
PA
USD
2550314.13000000
0.176732779870
Long
DBT
NUSS
DO
N
2
2033-02-22
Fixed
6.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 5.950000% 01/28/2031
71654QCZ3
540000.00000000
PA
USD
498425.40000000
0.034540100556
Long
DBT
NUSS
MX
N
2
2031-01-28
Fixed
5.95000000
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
408577.68000000
0.028313794104
Long
DBT
NUSS
OM
N
2
2029-08-01
Fixed
6.00000000
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
587273.28000000
0.040697119659
Long
DBT
NUSS
MX
N
2
2050-01-26
Fixed
4.50000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.270000% 11/19/2030
N/A
37740000.00000000
PA
6132787.19000000
0.424992559031
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
-39945.45000000
-0.00276815720
N/A
DFE
XX
N
2
JP MORGAN
N/A
10336116.40000000
PLN
2172352.95000000
EUR
2022-06-15
-39945.45000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-200.96000000
-0.00001392621
N/A
DFE
TH
N
2
STANDARD BANK
N/A
430761.89000000
USD
14299140.79000000
THB
2022-06-15
-200.96000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.975000% 04/20/2055
760942BD3
718526.00000000
PA
USD
837636.06000000
0.058046868682
Long
DBT
NUSS
UY
N
2
2055-04-20
Fixed
4.97500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.783000% 01/23/2031
715638DF6
3890000.00000000
PA
USD
3662435.00000000
0.253801016522
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
-2798.64000000
-0.00019394137
N/A
DFE
XX
N
2
JP MORGAN
N/A
291818.78000000
USD
259607.12000000
EUR
2022-04-28
-2798.64000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.500000% 06/02/2041
71654QAZ5
1540000.00000000
PA
USD
1276968.00000000
0.088491884898
Long
DBT
NUSS
MX
N
2
2041-06-02
Fixed
6.50000000
N
N
N
N
N
N
Braskem Netherlands Finance B.V.
2549000TLMHFQ74DS330
BRASKEM NETHERLANDS FINANCE BV 144A 5.875000% 01/31/2050
10554TAE5
309000.00000000
PA
USD
306528.00000000
0.021241910912
Long
DBT
NUSS
BR
N
2
2050-01-31
Fixed
5.87500000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 13.000000% 12/18/2027
AQ3216613
5630000.00000000
PA
214020.67000000
0.014831297648
Long
DBT
NUSS
ZM
N
2
2027-12-18
Fixed
13.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
367.82000000
0.000025489350
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
35295130.50000000
INR
462189.88000000
USD
2022-06-15
367.82000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.200000% 08/12/2026
715638AY8
3397000.00000000
PA
986773.74000000
0.068381876617
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
United States of America
N/A
US LONG BOND(CBT) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-15.00000000
NC
USD
-2250937.50000000
-0.15598644771
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US Long Bond (CBT) Jun 2022
2022-06-24
-2319268.35000000
USD
68330.85000000
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
522300.00000000
0.036194572990
Long
DBT
NUSS
CN
N
2
2024-01-29
Fixed
7.25000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-05-23
N/A
1.00000000
NC
9963.57000000
0.000690459815
N/A
DFE
BR
N
2
JP MORGAN
N/A
97992.33000000
USD
520447.05000000
BRL
2022-05-23
9963.57000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
4587900000.00000000
PA
1143751.85000000
0.079260214086
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
872.21000000
0.000060442788
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
50970000.00000000
INR
667793.41000000
USD
2022-06-15
872.21000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 11/26/2025
N/A
1870400000.00000000
PA
453718.21000000
0.031441962222
Long
DBT
NUSS
CO
N
2
2025-11-26
Fixed
6.25000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND 144A 2.000000% 04/14/2033
N/A
179000.00000000
PA
159804.64000000
0.011074211576
Long
DBT
NUSS
RO
N
2
2033-04-14
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
156349.08000000
0.010834746674
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
21617656.70000000
EGP
1333188.82000000
USD
2022-06-15
156349.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-9910.11000000
-0.00068675512
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
430000.00000000
EUR
469803.81000000
USD
2022-06-15
-9910.11000000
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 5.875000% 11/02/2051
279158AQ2
346000.00000000
PA
USD
294421.78000000
0.020402968803
Long
DBT
NUSS
CO
N
2
2051-11-02
Fixed
5.87500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.200000% 03/13/2031
N/A
29710000.00000000
PA
1095558.36000000
0.075920480616
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
1.20000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-1357.43000000
-0.00009406777
N/A
DFE
TH
N
2
STANDARD BANK
N/A
429779.50000000
USD
14228108.36000000
THB
2022-06-15
-1357.43000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 4.500000% 01/30/2030
25714PED6
206000.00000000
PA
USD
189007.06000000
0.013097893602
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
MDGH GMTN (RSC) LTD
213800WRY6FRL9IXLT77
MDGH GMTN RSC LTD MTN 3.950000% 05/21/2050
N/A
200000.00000000
PA
USD
205045.60000000
0.014209339336
Long
DBT
NUSS
AE
N
2
2050-05-21
Fixed
3.95000000
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
296496.00000000
0.020546709005
Long
DBT
NUSS
GH
N
2
2042-05-07
Fixed
8.87500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.900000% 05/23/2029
N/A
90751000.00000000
PA
33060.47000000
0.002291038856
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
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
129819.20000000
0.008996267489
Long
DBT
NUSS
AE
N
2
2049-09-30
Fixed
4.70000000
N
N
N
N
N
N
0000902
N/A
FX Forward Contract: VND/USD SETTLE 2022-05-11
N/A
1.00000000
NC
1440.37000000
0.000099815387
N/A
DFE
VN
N
2
J P MORGAN CHASE BANK
N/A
1144381.80000000
USD
26217787083.00000000
VND
2022-05-11
1440.37000000
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 1.625000% 06/02/2028
N/A
1599000.00000000
PA
USD
1497642.59000000
0.103784288793
Long
DBT
NUSS
AE
N
2
2028-06-02
Fixed
1.62500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.750000% 04/18/2028
Y8137FAL2
2757000.00000000
PA
USD
1293308.70000000
0.089624269847
Long
DBT
NUSS
LK
N
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-6835.05000000
-0.00047365827
N/A
DFE
MY
N
2
STANDARD BANK
N/A
2790925.54000000
USD
11709049.00000000
MYR
2022-06-15
-6835.05000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-05-25
N/A
1.00000000
NC
-3084.18000000
-0.00021372884
N/A
DFE
MY
N
2
STANDARD CHARTERED BANK
N/A
1995510.09000000
USD
8377750.00000000
MYR
2022-05-25
-3084.18000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 06/15/2025
N/A
13731000000.00000000
PA
995477.18000000
0.068985011395
Long
DBT
NUSS
ID
N
2
2025-06-15
Fixed
6.50000000
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
1061690.00000000
0.073573456247
Long
DBT
NUSS
CL
N
2
2027-10-12
Fixed
3.50000000
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
2708461.50630000
PA
USD
2735546.12000000
0.189569067027
Long
DBT
NUSS
AO
N
2
2023-07-01
Floating
7.84513080
N
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 10/13/2024
P97475AP5
230000.00000000
PA
USD
18860.00000000
0.001306968498
Long
DBT
NUSS
VE
N
2
2024-10-13
Floating
0.00000000
Y
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.750000% 05/11/2047
900123CM0
69000.00000000
PA
USD
51294.60000000
0.003554635542
Long
DBT
NUSS
TR
N
2
2047-05-11
Fixed
5.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 8.700200% 03/01/2049
03846JW89
529000.00000000
PA
USD
451258.16000000
0.031271484605
Long
DBT
NUSS
EG
N
2
2049-03-01
Fixed
8.70020000
N
N
N
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 4.125000% 07/19/2027
N/A
1363000.00000000
PA
USD
1363845.41000000
0.094512353512
Long
DBT
NUSS
CN
N
2
2027-07-19
Fixed
4.12500000
N
N
N
N
N
N
BRK: JPM
N/A
BRK: JPM PAY: 1.9075% FIXED
N/A
4864984.00000000
NC
22048.90000000
0.001527954279
N/A
DIR
XX
N
2
BRK: JPM
N/A
Y
2027-04-01
0.00000000
ILS
0.00000000
ILS
-4864984.00000000
ILS
22048.90000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 3.200000% 09/23/2061
455780DG8
772000.00000000
PA
USD
649105.26000000
0.044981979152
Long
DBT
NUSS
ID
N
2
2061-09-23
Fixed
3.20000000
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
270457.11000000
0.018742254659
Long
DBT
NUSS
ID
N
2
2037-08-10
Fixed
5.62500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.250000% 01/25/2031
68205LAS2
324000.00000000
PA
USD
342902.16000000
0.023762583302
Long
DBT
NUSS
OM
N
2
2031-01-25
Fixed
6.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:7.5
N/A
2341774664.00000000
NC
33842.70000000
0.002345246171
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-03-10
0.00000000
CLP
0.00000000
CLP
-2341774664.00000000
CLP
33842.70000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
180786.96000000
0.012528253531
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
2125277.02000000
USD
9675748.71000000
PLN
2022-06-15
180786.96000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2027
N/A
32450000.00000000
PA
6731004.86000000
0.466448107798
Long
DBT
NUSS
PL
N
2
2027-07-25
Fixed
2.50000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.690000% 08/12/2026
Y6S39BF47
4000000.00000000
PA
633387.46000000
0.043892760199
Long
DBT
NUSS
CN
N
2
2026-08-12
Fixed
2.69000000
N
N
N
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND MTN 7.375000% 04/08/2031
N/A
1415000.00000000
PA
USD
1054882.50000000
0.073101707146
Long
DBT
NUSS
PK
N
2
2031-04-08
Fixed
7.37500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.000000% 10/25/2023
N/A
3430000.00000000
PA
757396.03000000
0.052486360119
Long
DBT
NUSS
RO
N
2
2023-10-25
Fixed
4.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 5.625000% 11/18/2050
715638BM3
417000.00000000
PA
USD
529143.81000000
0.036668838317
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
-3975.09000000
-0.00027546751
N/A
DFE
XX
N
2
JP MORGAN
N/A
140910.77000000
USD
123000.00000000
EUR
2022-04-28
-3975.09000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.392000% 04/15/2026
N/A
3480000.00000000
PA
858305.81000000
0.059479250024
Long
DBT
NUSS
MY
N
2
2026-04-15
Fixed
4.39200000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
2844.04000000
0.000197087523
N/A
DFE
MX
N
2
JP MORGAN
N/A
88451.35000000
USD
1834000.00000000
MXN
2022-05-16
2844.04000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 11/15/2026
P7807HAR6
3982074.00000000
PA
USD
278745.18000000
0.019316604945
Long
DBT
NUSS
VE
N
2
2026-11-15
Fixed
6.00000000
Y
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 2.750000% 01/31/2027
168863DX3
1597000.00000000
PA
USD
1561259.14000000
0.108192816196
Long
DBT
NUSS
CL
N
2
2027-01-31
Fixed
2.75000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 9.375000% 04/01/2029
698299AK0
350000.00000000
PA
USD
472573.50000000
0.032748604325
Long
DBT
NUSS
PA
N
2
2029-04-01
Fixed
9.37500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.500000% 01/23/2029
71654QCM2
785000.00000000
PA
USD
777809.40000000
0.053900974728
Long
DBT
NUSS
MX
N
2
2029-01-23
Fixed
6.50000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
2846.84000000
0.000197281558
N/A
DFE
MX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1069009.99000000
USD
21653675.00000000
MXN
2022-06-15
2846.84000000
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 5.400000% 03/30/2050
P75744AG0
571000.00000000
PA
USD
578137.50000000
0.040064024396
Long
DBT
NUSS
PY
N
2
2050-03-30
Fixed
5.40000000
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
788000.00000000
PA
USD
795887.88000000
0.055153785113
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.625000% 06/15/2035
706451BG5
2963000.00000000
PA
USD
2655618.38000000
0.184030199672
Long
DBT
NUSS
MX
N
2
2035-06-15
Fixed
6.62500000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 5.000000% 04/17/2049
80413TAJ8
200000.00000000
PA
USD
227516.40000000
0.015766530626
Long
DBT
NUSS
SA
N
2
2049-04-17
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-04-12
N/A
1.00000000
NC
USD
-317.85000000
-0.00002202650
N/A
DFE
US
N
2
JP MORGAN
N/A
261287.54000000
PEN
69978.99000000
USD
2022-04-12
-317.85000000
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
389.23000000
0.000026973030
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
389.23000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 04/15/2039
N/A
20877000000.00000000
PA
1604007.71000000
0.111155225227
Long
DBT
NUSS
ID
N
2
2039-04-15
Fixed
8.37500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.050000% 01/19/2028
N/A
271518000.00000000
PA
98913.66000000
0.006854561911
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.369000% 10/31/2028
N/A
1200000.00000000
PA
294582.15000000
0.020414082193
Long
DBT
NUSS
MY
N
2
2028-10-31
Fixed
4.36900000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
-3471.49000000
-0.00024056882
N/A
DFE
XX
N
2
JP MORGAN
N/A
345254.04000000
USD
307000.00000000
EUR
2022-04-28
-3471.49000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
28298.49000000
0.001961041090
N/A
DFE
MX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1072629.29000000
USD
22240967.00000000
MXN
2022-06-15
28298.49000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.850000% 05/25/2029
N/A
1609000.00000000
PA
USD
193080.00000000
0.013380141973
Long
DBT
NUSS
LB
N
2
2029-05-25
Fixed
6.85000000
Y
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 9.500000% 07/15/2052
P01012CC8
2758000.00000000
PA
USD
1330735.00000000
0.092217853892
Long
DBT
NUSS
SV
N
2
2052-07-15
Fixed
9.50000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-1298.85000000
-0.00009000827
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
1145528.77000000
USD
16442920000.00000000
IDR
2022-06-15
-1298.85000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 8.700200% 03/01/2049
03846JW89
997000.00000000
PA
USD
850480.88000000
0.058936994616
Long
DBT
NUSS
EG
N
2
2049-03-01
Fixed
8.70020000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-06-30
N/A
1.00000000
NC
-6107.55000000
-0.00042324366
N/A
DFE
XX
N
2
JP MORGAN
N/A
3349893.00000000
RON
662562.11000000
EUR
2022-06-30
-6107.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-254505.12000000
-0.01763680670
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
28151044.12000000
UAH
654675.44000000
USD
2022-06-15
-254505.12000000
N
N
N
DIANJIAN HAIYU LIMITED
30030053J86AJARAGD28
DIANJIAN HAIYU LTD MTN 4.300000% MATURITY: PERPETUAL
N/A
204000.00000000
PA
USD
205831.92000000
0.014263830082
Long
DBT
NUSS
CN
N
2
2170-12-20
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
1936000.00000000
PA
USD
1751580.51000000
0.121381789426
Long
DBT
NUSS
EG
N
2
2032-05-29
Fixed
7.62500000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.688000% 05/15/2029
200447AL4
2075000.00000000
PA
USD
2033500.00000000
0.140918369089
Long
DBT
NUSS
MX
N
2
2029-05-15
Fixed
4.68800000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.950000% 08/12/2031
715638BE1
15522000.00000000
PA
4281519.71000000
0.296702618519
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.950000% 01/28/2031
P78625EA7
1490000.00000000
PA
USD
1375284.90000000
0.095305092275
Long
DBT
NUSS
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.950000% 08/12/2031
N/A
2780000.00000000
PA
766822.88000000
0.053139626078
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
456.40000000
0.000031627806
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
160108.00000000
EUR
178608.35000000
USD
2022-04-06
456.40000000
N
N
N
POWER FINANCE CORPORATION LIMITED
3358003Q6D9LIJJZ1614
POWER FINANCE CORP LTD MTN 3.950000% 04/23/2030
73928QAB4
569000.00000000
PA
USD
542803.18000000
0.037615411292
Long
DBT
NUSS
IN
N
2
2030-04-23
Fixed
3.95000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
12045.51000000
0.000834735000
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
963496.40000000
EUR
24058505.00000000
CZK
2022-06-15
12045.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-22028.46000000
-0.00152653781
N/A
DFE
US
N
2
JP MORGAN
N/A
3629000.00000000
RON
791321.41000000
USD
2022-05-16
-22028.46000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.500000% 07/09/2030
040114HS2
20153501.00000000
PA
USD
6751624.37000000
0.467877007587
Long
DBT
NUSS
AR
N
2
2030-07-09
Fixed
0.50000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.125000% 07/09/2035
040114HT0
820000.00000000
PA
USD
250026.20000000
0.017326424555
Long
DBT
NUSS
AR
N
2
2035-07-09
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-4147.22000000
-0.00028739585
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
333634.00000000
EUR
367077.77000000
USD
2022-04-05
-4147.22000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 07/01/2023
N/A
14000000.00000000
PA
2535959.34000000
0.175738015378
Long
DBT
NUSS
BR
N
2
2023-07-01
None
0.00000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 0.500000% 07/31/2040
N/A
1585781.00000000
PA
USD
903911.03000000
0.062639620432
Long
DBT
NUSS
EC
N
2
2040-07-31
Fixed
0.50000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.530000% 10/18/2051
Y6S39BG95
7300000.00000000
PA
1187316.65000000
0.082279186580
Long
DBT
NUSS
CN
N
2
2051-10-18
Fixed
3.53000000
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
304789.04000000
0.021121403704
Long
DBT
NUSS
CN
N
2
2170-07-19
Fixed
4.60000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2027
N/A
18000000.00000000
PA
3595655.83000000
0.249173324500
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 05/22/2040
N/A
5620000.00000000
PA
1215836.66000000
0.084255578660
Long
DBT
NUSS
MY
N
2
2040-05-22
Fixed
3.75700000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-9087.92000000
-0.00062977864
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
3440000.00000000
MXN
161192.07000000
USD
2022-06-15
-9087.92000000
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
-145818.24000000
-0.01010497593
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
-145818.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-50989.90000000
-0.00353352030
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
6449300.00000000
UAH
157300.00000000
USD
2022-06-15
-50989.90000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2022-04-08
N/A
1.00000000
NC
61652.34000000
0.004272410722
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
759469.88000000
EUR
3779857.00000000
PLN
2022-04-08
61652.34000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.625000% 10/30/2042
168863BP2
925000.00000000
PA
USD
862109.25000000
0.059742822467
Long
DBT
NUSS
CL
N
2
2042-10-30
Fixed
3.62500000
N
N
N
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN INTERNATIONAL BOND MTN 3.700000% 11/25/2030
N/A
205000.00000000
PA
USD
176812.50000000
0.012252829670
Long
DBT
NUSS
UZ
N
2
2030-11-25
Fixed
3.70000000
N
N
N
N
N
N
BRK: JPM
N/A
BRK: JPM PAY: FIXED 1.95%
N/A
9462410.00000000
NC
38108.63000000
0.002640868447
N/A
DIR
XX
N
2
BRK: JPM
N/A
Y
2027-03-31
0.00000000
ILS
0.00000000
ILS
-9462410.00000000
ILS
38108.63000000
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 10/13/2019
P97475AN0
3976100.00000000
PA
USD
326040.20000000
0.022594075850
Long
DBT
NUSS
VE
N
2
2019-10-13
Floating
0.00000000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-04-21
N/A
1.00000000
NC
USD
10677.55000000
0.000739937512
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
2405910.00000000
TRY
172768.86000000
USD
2022-04-21
10677.55000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.82%
N/A
17914814.00000000
NC
69247.34000000
0.004798732341
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-09-10
0.00000000
MXN
0.00000000
MXN
-17914814.00000000
MXN
69247.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-5295.11000000
-0.00036694284
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
1883238.90000000
PLN
443545.54000000
USD
2022-06-15
-5295.11000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.625000% 05/16/2029
374422AG8
908000.00000000
PA
USD
657392.00000000
0.045556237272
Long
DBT
NUSS
GH
N
2
2029-05-16
Fixed
7.62500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.625000% 05/16/2029
N/A
995000.00000000
PA
USD
720380.00000000
0.049921207142
Long
DBT
NUSS
GH
N
2
2029-05-16
Fixed
7.62500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.700000% 02/16/2032
P8000UAA7
137000.00000000
PA
USD
130150.00000000
0.009019191412
Long
DBT
NUSS
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.500000% 02/08/2030
N/A
657000.00000000
PA
674117.26000000
0.046715271627
Long
DBT
NUSS
RO
N
2
2030-02-08
Fixed
2.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 2.25% 04/18/2029
P6S32JU32
883500000.00000000
PA
660879.00000000
0.045797880917
Long
DBT
NUSS
CO
N
2
2029-04-18
Fixed
2.25000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-04-13
N/A
1.00000000
NC
16056.17000000
0.001112667465
N/A
DFE
TR
N
2
JP MORGAN
N/A
789893.76000000
USD
11895800.00000000
TRY
2022-04-13
16056.17000000
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
673415.19000000
0.046666619274
Long
DBT
NUSS
XX
N
2
2022-12-13
Fixed
6.45000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
3591362.00000000
NC
-93901.62000000
-0.00650723538
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-3591362.00000000
BRL
-93901.62000000
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 5.750000% 02/14/2042
200447AC4
500000.00000000
PA
USD
471880.00000000
0.032700545859
Long
DBT
NUSS
MX
N
2
2042-02-14
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-04-04
N/A
1.00000000
NC
USD
-72694.25000000
-0.00503759781
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
55337434.00000000
BRL
11572511.19000000
USD
2022-04-04
-72694.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-309.46000000
-0.00002144509
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
196946828.19000000
INR
2576657.66000000
USD
2022-06-15
-309.46000000
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE VIA STATE OF MINAS GERAIS 144A 5.333000% 02/15/2028
105860AA8
134390.44000000
PA
USD
135735.69000000
0.009406270991
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
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
3843577.22000000
0.266353889015
Long
DBT
NUSS
OM
N
2
2027-10-28
Fixed
6.75000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-04-29
N/A
1.00000000
NC
7051.83000000
0.000488680788
N/A
DFE
ID
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
688462.36000000
USD
9982979615.00000000
IDR
2022-04-29
7051.83000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.000000% 04/17/2025
N/A
657000.00000000
PA
USD
681637.50000000
0.047236412495
Long
DBT
NUSS
SA
N
2
2025-04-17
Fixed
4.00000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 6.375000% 01/18/2027
283875AS1
838000.00000000
PA
USD
410628.38000000
0.028455904407
Long
DBT
NUSS
SV
N
2
2027-01-18
Fixed
6.37500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.750000% 09/30/2049
836205BB9
2222000.00000000
PA
USD
1938695.00000000
0.134348530889
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 4.875000% 02/21/2028
AM5152690
755000.00000000
PA
798094.37000000
0.055306691418
Long
DBT
NUSS
MX
N
2
2028-02-21
Fixed
4.87500000
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
252177.66000000
0.017475517368
Long
DBT
NUSS
AE
N
2
2037-07-02
Fixed
6.85000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
11066500000.00000000
PA
2432905.04000000
0.168596513591
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD.
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 144A 6.875000% 10/15/2027
335934AT2
529000.00000000
PA
USD
554127.50000000
0.038400168953
Long
DBT
NUSS
ZM
N
2
2027-10-15
Fixed
6.87500000
N
N
N
N
N
N
1MDB Global Investments Limited
N/A
1MDB GLOBAL INVESTMENTS LTD 4.400000% 03/09/2023
N/A
3000000.00000000
PA
USD
2932564.71000000
0.203222147127
Long
DBT
NUSS
MY
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 2.500000% 07/09/2041
040114HV5
6316899.00000000
PA
USD
2226138.38000000
0.154267907488
Long
DBT
NUSS
AR
N
2
2041-07-09
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-7969.43000000
-0.00055226903
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
1879063.20000000
PLN
439876.01000000
USD
2022-06-15
-7969.43000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
1699.68000000
0.000117785165
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
251900.08000000
USD
227318.60000000
EUR
2022-06-15
1699.68000000
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
671656.06000000
0.046544714317
Long
DBT
NUSS
ID
N
2
2031-11-05
Fixed
1.87500000
N
N
N
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
3265858.77000000
0.226318904129
Long
DBT
NUSS
AE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
N/A
N/A
N/A
N/A
1.00000000
NS
USD
0.00000000
0.000000
Long
EC
US
N
2
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.750000% 09/20/2029
N/A
200000.00000000
PA
USD
210504.00000000
0.014587597918
Long
DBT
NUSS
BH
N
2
2029-09-20
Fixed
6.75000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.500000% 01/31/2034
168863DV7
228000.00000000
PA
USD
224919.72000000
0.015586584764
Long
DBT
NUSS
CL
N
2
2034-01-31
Fixed
3.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
Mexican Udibonos 4.500000% 12/04/2025
EF2271213
130042720.51300000
PA
6750783.55000000
0.467818740076
Long
DBT
NUSS
MX
N
2
2025-12-04
Fixed
4.50000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 2.950000% 05/05/2045
718286CH8
309000.00000000
PA
USD
266896.53000000
0.018495512035
Long
DBT
NUSS
PH
N
2
2045-05-05
Fixed
2.95000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 5.500000% 02/22/2029
25714PEP9
1077000.00000000
PA
USD
1063537.50000000
0.073701485107
Long
DBT
NUSS
DO
N
2
2029-02-22
Fixed
5.50000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-04-04
N/A
1.00000000
NC
-430.45000000
-0.00002982951
N/A
DFE
MX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1071661.69000000
USD
21362493.33000000
MXN
2022-04-04
-430.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-28
N/A
1.00000000
NC
USD
137642.60000000
0.009538416872
N/A
DFE
US
N
2
JP MORGAN
N/A
8347500.00000000
EUR
9430899.49000000
USD
2022-04-28
137642.60000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.300000% 09/30/2033
N/A
647000.00000000
PA
USD
564266.82000000
0.039102807969
Long
DBT
NUSS
EG
N
2
2033-09-30
Fixed
7.30000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-13
N/A
1.00000000
NC
807.55000000
0.000055961951
N/A
DFE
BR
N
2
JP MORGAN
N/A
663071.00000000
USD
3221000.00000000
BRL
2022-06-13
807.55000000
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 6.150000% 05/21/2048
71568QAF4
740000.00000000
PA
USD
825026.00000000
0.057173011249
Long
DBT
NUSS
ID
N
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-04-01
N/A
1.00000000
NC
-656.93000000
-0.00004552422
N/A
DFE
ID
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
419340.17000000
USD
6013338000.00000000
IDR
2022-04-01
-656.93000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.000000% 06/17/2027
Y6065BNV5
29000000.00000000
PA
844022.16000000
0.058489415423
Long
DBT
NUSS
TH
N
2
2027-06-17
Fixed
1.00000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
REPUBLIC OF ZAMBIA 5.375000% 09/20/2022
N/A
1792000.00000000
PA
USD
1229276.16000000
0.085186914988
Long
DBT
NUSS
ZM
N
2
2022-09-20
Fixed
5.37500000
Y
N
N
N
N
N
EIG Pearl Holdings S.a r.l.
549300KIMRL45BWA5H76
EIG PEARL HOLDINGS SARL 144A 4.387000% 11/30/2046
28249NAB7
822000.00000000
PA
USD
768570.00000000
0.053260698761
Long
DBT
NUSS
SA
N
2
2046-11-30
Fixed
4.38700000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 7.625000% 05/29/2032
03846JX54
2092000.00000000
PA
USD
1892720.26000000
0.131162553323
Long
DBT
NUSS
EG
N
2
2032-05-29
Fixed
7.62500000
N
N
N
N
N
N
CT Trust
5493003LN2KNNGM2Q244
CT TRUST 144A 5.125000% 02/03/2032
12659BAA2
414000.00000000
PA
USD
413586.00000000
0.028660862846
Long
DBT
NUSS
GT
N
2
2032-02-03
Fixed
5.12500000
N
N
N
N
N
N
UKRANIAN HRYVNIA
N/A
FX Forward Contract: UAH/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-33187.85000000
-0.00229986609
N/A
DFE
UA
N
2
CITIGROUP GLOBAL MARKETS
N/A
559056.30000000
USD
16282514.88000000
UAH
2022-06-15
-33187.85000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2022-06-15
N/A
1.00000000
NC
-18201.74000000
-0.00126135210
N/A
DFE
XX
N
2
JP MORGAN
N/A
23619651.06000000
CZK
940205.96000000
EUR
2022-06-15
-18201.74000000
N
N
N
PRIVATE JOINT STOCK COMPANY NATIONAL POWER COMPANY UKRENERGO
8945009LCLS92V4AK321
NPC UKRENERGO 144A 6.875000% 11/09/2026
63718LAA2
731000.00000000
PA
USD
277780.00000000
0.019249719481
Long
DBT
NUSS
UA
N
2
2026-11-09
Fixed
6.87500000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 4.314000% 07/23/2027
N/A
1189000.00000000
PA
USD
1117660.00000000
0.077452089696
Long
DBT
NUSS
ZA
N
2
2027-07-23
Fixed
4.31400000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.875000% 02/11/2035
N/A
285000.00000000
PA
USD
198297.30000000
0.013741692702
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
3178.33000000
0.000220253297
N/A
DFE
XX
N
2
JP MORGAN
N/A
392704.57000000
USD
355795.00000000
EUR
2022-04-05
3178.33000000
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 3.500000% 04/21/2030
Y68856AT3
819000.00000000
PA
USD
833279.95000000
0.057744997073
Long
DBT
NUSS
MY
N
2
2030-04-21
Fixed
3.50000000
N
N
N
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
519903.21000000
0.036028479192
Long
DBT
NUSS
AE
N
2
2036-03-31
Fixed
2.62500000
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
941816.88000000
0.065266436543
Long
DBT
NUSS
SA
N
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 6.750000% 06/20/2026
N/A
1299000.00000000
PA
584315.86000000
0.040492175079
Long
DBT
NUSS
UA
N
2
2026-06-20
Fixed
6.75000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
4693020.00000000
NC
-46274.84000000
-0.00320677402
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-4693020.00000000
BRL
-46274.84000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.375000% 04/15/2032
N/A
6000000000.00000000
PA
405727.42000000
0.028116275545
Long
DBT
NUSS
ID
N
2
2032-04-15
Fixed
6.37500000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2022-06-15
N/A
1.00000000
NC
3499.32000000
0.000242497402
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
662888.58000000
USD
14750000.00000000
CZK
2022-06-15
3499.32000000
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
379891.05000000
0.026325855518
Long
DBT
NUSS
KZ
N
2
2031-05-06
Fixed
2.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-34392.80000000
-0.00238336724
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
4473960.00000000
PLN
1031905.87000000
USD
2022-06-15
-34392.80000000
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
REPUBLIC OF ZAMBIA 8.970000% 07/30/2027
N/A
1821000.00000000
PA
USD
1294275.75000000
0.089691284899
Long
DBT
NUSS
ZM
N
2
2027-07-30
Fixed
8.97000000
Y
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
24236.68000000
0.001679564011
N/A
DFE
MX
N
2
JP MORGAN
N/A
477290.63000000
USD
10075000.00000000
MXN
2022-05-16
24236.68000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-06-14
N/A
1.00000000
NC
43672.56000000
0.003026440093
N/A
DFE
HU
N
2
JP MORGAN
N/A
813090.79000000
USD
285440400.00000000
HUF
2022-06-14
43672.56000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
2500000.00000000
PA
608311.43000000
0.042155030545
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV MTN 3.061000% 07/13/2031
74365PAF5
907000.00000000
PA
USD
753430.82000000
0.052211577269
Long
DBT
NUSS
CN
N
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.690000% 01/23/2050
71654QDD1
3524000.00000000
PA
USD
3079095.00000000
0.213376467014
Long
DBT
NUSS
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
67619.40000000
0.004685918646
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
9626916.60000000
EGP
591697.39000000
USD
2022-06-15
67619.40000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
37637400.00000000
NC
-915.49000000
-0.00006344202
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-07-07
9.64000000
MXN
0.00000000
MXN
-37637400.00000000
MXN
-925.13000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.2% 08/12/2026
715638AY8
15000.00000000
PA
4357.26000000
0.000301951302
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 1.100000% 03/12/2033
N/A
690000.00000000
PA
667889.54000000
0.046283700373
Long
DBT
NUSS
ID
N
2
2033-03-12
Fixed
1.10000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.875000% 02/28/2035
N/A
33566841.00000000
PA
2063283.94000000
0.142982349542
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-05-16
N/A
1.00000000
NC
281117.73000000
0.019481018949
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
4952422.37000000
USD
76871500.00000000
ZAR
2022-05-16
281117.73000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-06-13
N/A
1.00000000
NC
2222.96000000
0.000154047650
N/A
DFE
CN
N
2
JP MORGAN
N/A
456603.89000000
USD
2923000.00000000
CNY
2022-06-13
2222.96000000
N
N
N
IHS Netherlands Holdco B.V.
5493006Z6YQYCCN2XI74
IHS NETHERLANDS HOLDCO BV 144A 8.000000% 09/18/2027
44963LAC0
299000.00000000
PA
USD
297654.50000000
0.020626991242
Long
DBT
NUSS
NG
N
2
2027-09-18
Fixed
8.00000000
N
N
N
N
N
N
Poinsettia Finance Limited S.a r.l.
N/A
POINSETTIA FINANCE LTD 6.625000% 06/17/2031
G7150PAA8
4534887.50000000
PA
USD
4429814.16000000
0.306979191934
Long
DBT
NUSS
MX
N
2
2031-06-17
Fixed
6.62500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.125000% 05/15/2028
N/A
13191000000.00000000
PA
905483.51000000
0.062748590837
Long
DBT
NUSS
ID
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2023
903724AQ5
24000.00000000
PA
USD
12108.00000000
0.000839065460
Long
DBT
NUSS
UA
N
2
2023-09-01
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-17615.31000000
-0.00122071342
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
10540850000.00000000
COP
2765411.53000000
USD
2022-06-15
-17615.31000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2027
903724AU6
223000.00000000
PA
USD
94333.46000000
0.006537161216
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-04
N/A
1.00000000
NC
USD
7941.70000000
0.000550347387
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
400000.00000000
EUR
453326.40000000
USD
2022-05-04
7941.70000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 8.875000% 05/29/2050
N/A
1650000.00000000
PA
USD
1425402.00000000
0.098778128909
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/TWD SETTLE 2022-04-11
N/A
1.00000000
NC
USD
10211.42000000
0.000707635432
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
28379281.00000000
TWD
1001304.80000000
USD
2022-04-11
10211.42000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.125000% 07/09/2035
040114HT0
5956000.00000000
PA
USD
1816043.96000000
0.125849005674
Long
DBT
NUSS
AR
N
2
2035-07-09
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-04
N/A
1.00000000
NC
USD
-25531.30000000
-0.00176927915
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
2850000.00000000
EUR
3147834.69000000
USD
2022-05-04
-25531.30000000
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
437092.65000000
0.030289836921
Long
DBT
NUSS
LK
N
2
2026-07-18
Fixed
6.82500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 5.750000% 11/03/2027
N/A
13657500000.00000000
PA
3075272.72000000
0.213111588989
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
5.75000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.500000% 01/31/2037
N/A
31581000.00000000
PA
1842017.88000000
0.127648957700
Long
DBT
NUSS
ZA
N
2
2037-01-31
Fixed
8.50000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.400000% 06/17/2036
N/A
135084000.00000000
PA
4208632.74000000
0.291651665512
Long
DBT
NUSS
TH
N
2
2036-06-17
Fixed
3.40000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 01/28/2050
N/A
2100000.00000000
PA
1867139.17000000
0.129389823801
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-06-06
N/A
1.00000000
NC
-11042.91000000
-0.00076525638
N/A
DFE
CN
N
2
JP MORGAN
N/A
4784278.54000000
USD
30395000.00000000
CNY
2022-06-06
-11042.91000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.254000% 05/31/2035
N/A
6700000.00000000
PA
1587636.81000000
0.110020747466
Long
DBT
NUSS
MY
N
2
2035-05-31
Fixed
4.25400000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.950000% 05/15/2030
N/A
5750000.00000000
PA
211245.87000000
0.014639008348
Long
DBT
NUSS
CZ
N
2
2030-05-15
Fixed
0.95000000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 3.650000% 07/30/2029
69370PAD3
1035000.00000000
PA
USD
1022062.44000000
0.070827328326
Long
DBT
NUSS
ID
N
2
2029-07-30
Fixed
3.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-16075.97000000
-0.00111403957
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
1218451.00000000
EUR
1343244.75000000
USD
2022-06-15
-16075.97000000
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN INTERNATIONAL BOND MTN 5.375000% 02/20/2029
N/A
1233000.00000000
PA
USD
1233000.00000000
0.085444971275
Long
DBT
NUSS
UZ
N
2
2029-02-20
Fixed
5.37500000
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
50789.90000000
0.003519660621
Long
DBT
NUSS
KR
N
2
2024-12-07
Fixed
7.25000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
15917.41000000
0.001103051614
N/A
DFE
MX
N
2
JP MORGAN
N/A
207771.24000000
USD
4493600.00000000
MXN
2022-05-16
15917.41000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.000000% 12/17/2031
N/A
21883000.00000000
PA
637464.53000000
0.044175294772
Long
DBT
NUSS
TH
N
2
2031-12-17
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
6 MONTHS FBIL MIBOR 02/07/2027 PAY: 5.9171 FIXED
N/A
589752397.00000000
NC
-17652.90000000
-0.00122331835
N/A
DIR
XX
N
2
6 MONTHS FBIL MIBOR 02/07/2027
N/A
Y
2027-02-07
0.00000000
INR
0.00000000
INR
-589752397.00000000
INR
-17652.90000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND MTN 6.250000% 01/25/2051
N/A
232000.00000000
PA
USD
204046.32000000
0.014140090795
Long
DBT
NUSS
BH
N
2
2051-01-25
Fixed
6.25000000
N
N
N
N
N
N
BRK: JP MORGAN
N/A
BRK: JP MORGAN PAY:5.365
N/A
10366903.00000000
NC
45079.14000000
0.003123913886
N/A
DIR
XX
N
2
BRK: JP MORGAN
N/A
Y
2027-03-29
0.00000000
PLN
0.00000000
PLN
-10366903.00000000
PLN
45079.14000000
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 8.250000% 05/09/2028
N/A
1085000.00000000
PA
USD
1103987.50000000
0.076504606833
Long
DBT
NUSS
AO
N
2
2028-05-09
Fixed
8.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
47200221.00000000
NC
-179441.55000000
-0.01243501872
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-03-05
0.00000000
MXN
0.00000000
MXN
-47200221.00000000
MXN
-179441.55000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 4.375000% 03/21/2029
N/A
5200000.00000000
PA
USD
936000.00000000
0.064863335858
Long
DBT
NUSS
RU
N
2
2029-03-21
Fixed
4.37500000
N
N
N
N
N
N
CHINALCO CAPITAL HOLDINGS LIMITED
5493003PX4GYVUD3CQ19
CHINALCO CAPITAL HOLDINGS LTD 2.125000% 06/03/2026
N/A
173000.00000000
PA
USD
161838.73000000
0.011215170832
Long
DBT
NUSS
CN
N
2
2026-06-03
Fixed
2.12500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.875000% 06/17/2022
N/A
20000000.00000000
PA
603148.79000000
0.041797267669
Long
DBT
NUSS
TH
N
2
2022-06-17
Fixed
1.87500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 8.250000% 04/12/2021
N/A
10523000.00000000
PA
USD
1310113.50000000
0.090788816200
Long
DBT
NUSS
LB
N
2
2023-12-31
Fixed
8.25000000
Y
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.940000% 02/12/2029
N/A
2683000.00000000
PA
699660.72000000
0.048485393449
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 2022-04-01
N/A
1.00000000
NC
-674.78000000
-0.00004676119
N/A
DFE
MX
N
2
JP MORGAN
N/A
667483.53000000
USD
13297500.00000000
MXN
2022-04-01
-674.78000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-02
N/A
1.00000000
NC
-1827.30000000
-0.00012662903
N/A
DFE
BR
N
2
J P MORGAN CHASE BANK
N/A
753780.01000000
USD
3636981.00000000
BRL
2022-06-02
-1827.30000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.906000% 07/15/2026
N/A
10695000.00000000
PA
2585193.06000000
0.179149835160
Long
DBT
NUSS
MY
N
2
2026-07-15
Fixed
3.90600000
N
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 6.750000% 03/13/2048
N/A
1005000.00000000
PA
USD
866571.30000000
0.060052035552
Long
DBT
NUSS
SN
N
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.625000% 04/07/2034
N/A
292000.00000000
PA
USD
207320.00000000
0.014366951698
Long
DBT
NUSS
GH
N
2
2034-04-07
Fixed
8.62500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
18328000.00000000
PA
885473.45000000
0.061361924979
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-32908.66000000
-0.00228051866
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
1426393.00000000
EUR
1554197.96000000
USD
2022-04-05
-32908.66000000
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
870899.30000000
0.060351959182
Long
DBT
NUSS
XX
N
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2025
EK0169285
10370000.00000000
PA
2105776.14000000
0.145926992533
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
10.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:7.62
N/A
2341774664.00000000
NC
40271.33000000
0.002790740174
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-03-11
0.00000000
CLP
0.00000000
CLP
-2341774664.00000000
CLP
40271.33000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 5.000000% 02/12/2029
N/A
8095000.00000000
PA
1712496.38000000
0.118673320355
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/RON SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-22690.59000000
-0.00157242239
N/A
DFE
US
N
2
JP MORGAN
N/A
7398100.00000000
RON
1635409.07000000
USD
2022-05-16
-22690.59000000
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 4.750000% 02/15/2029
G10367AF0
1754000.00000000
PA
USD
1882217.40000000
0.130434721554
Long
DBT
NUSS
BM
N
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.875000% 01/30/2060
P3579ECG0
3002000.00000000
PA
USD
2566710.00000000
0.177868988014
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 04/25/2024
N/A
5096000.00000000
PA
1153703.34000000
0.079949836777
Long
DBT
NUSS
PL
N
2
2024-04-25
Fixed
2.50000000
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
827000.00000000
0.057309806362
Long
DBT
NUSS
PK
N
2
2025-09-30
Fixed
8.25000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
12684.17000000
0.000878993139
N/A
DFE
MX
N
2
JP MORGAN
N/A
239000.41000000
USD
5056000.00000000
MXN
2022-05-16
12684.17000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.100000% 01/22/2061
168863DQ8
308000.00000000
PA
USD
253653.40000000
0.017577783841
Long
DBT
NUSS
CL
N
2
2061-01-22
Fixed
3.10000000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 5.600000% 03/13/2048
P75744AF2
200000.00000000
PA
USD
205000.00000000
0.014206179327
Long
DBT
NUSS
PY
N
2
2048-03-13
Fixed
5.60000000
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
-209605.67000000
-0.01452534505
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-02-22
0.00000000
MXN
0.00000000
MXN
-123473362.00000000
MXN
-209605.67000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A VARIABLE RATE 05/31/2040
903724AW2
2206000.00000000
PA
USD
675741.92000000
0.046827858024
Long
DBT
NUSS
UA
N
2
2040-05-31
Floating
1.25799840
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.750000% 04/25/2032
N/A
16065000.00000000
PA
2838866.40000000
0.196729000812
Long
DBT
NUSS
PL
N
2
2032-04-25
Fixed
1.75000000
N
N
N
N
N
N
TURKIYE CUMHURIYETI ZIRAAT BANKASI ANONIM SIRKETI
213800K5KTZFSUS8MR51
TC ZIRAAT BANKASI AS MTN 5.125000% 05/03/2022
90015JAA0
1063000.00000000
PA
USD
1063042.52000000
0.073667183767
Long
DBT
NUSS
TR
N
2
2022-05-03
Fixed
5.12500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.400000% 09/17/2025
N/A
65400000.00000000
PA
2778066.28000000
0.192515647603
Long
DBT
NUSS
CZ
N
2
2025-09-17
Fixed
2.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-04
N/A
1.00000000
NC
USD
234378.35000000
0.016242053027
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
11521583.00000000
EUR
13063220.35000000
USD
2022-05-04
234378.35000000
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT 7.000000% 04/04/2044
P3699PGH4
271000.00000000
PA
USD
266937.71000000
0.018498365744
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 09/01/2025
903724AS1
2445000.00000000
PA
USD
1048416.00000000
0.072653588811
Long
DBT
NUSS
UA
N
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
KINGDOM OF JORDAN 4.950000% 07/07/2025
N/A
270000.00000000
PA
USD
268693.20000000
0.018620018455
Long
DBT
NUSS
JO
N
2
2025-07-07
Fixed
4.95000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.500000% 02/12/2034
91087BAR1
1205000.00000000
PA
USD
1120035.45000000
0.077616704665
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 8.250000% 09/28/2051
65412JAT0
2230000.00000000
PA
USD
1938003.80000000
0.134300631810
Long
DBT
NUSS
NG
N
2
2051-09-28
Fixed
8.25000000
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
807859.00000000
0.055983365003
Long
DBT
NUSS
XX
N
2
2024-05-28
Fixed
5.20000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.935000% 09/30/2043
N/A
2200000.00000000
PA
549913.38000000
0.038108137029
Long
DBT
NUSS
MY
N
2
2043-09-30
Fixed
4.93500000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC 144A 3.375000% 03/20/2028
23371DAG9
550000.00000000
PA
USD
514250.00000000
0.035636720582
Long
DBT
CORP
AE
N
2
2028-03-20
Fixed
3.37500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.700000% 02/16/2032
71643VAA3
183000.00000000
PA
USD
173850.00000000
0.012047533054
Long
DBT
NUSS
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.350000% 01/15/2047
91087BAB6
1056000.00000000
PA
USD
974941.44000000
0.067561916736
Long
DBT
NUSS
MX
N
2
2047-01-15
Fixed
4.35000000
N
N
N
N
N
N
AES Panama Generation Holding, S.R.L.
N/A
AES PANAMA GENERATION HOLDINGS SRL 144A 4.375000% 05/31/2030
00109AAB3
492000.00000000
PA
USD
468630.00000000
0.032475325943
Long
DBT
NUSS
PA
N
2
2030-05-31
Fixed
4.37500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2031
N/A
24869000.00000000
PA
4771441.45000000
0.330653428739
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
10.00000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-06-15
N/A
1.00000000
NC
12152.67000000
0.000842161021
N/A
DFE
SG
N
2
CITIGROUP GLOBAL MARKETS
N/A
4094620.49000000
USD
5556400.00000000
SGD
2022-06-15
12152.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-4689.18000000
-0.00032495283
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
406212.48000000
EUR
447291.81000000
USD
2022-04-05
-4689.18000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.250000% 05/10/2034
N/A
14387000.00000000
PA
5241.17000000
0.000363204882
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.000000% 06/17/2042
N/A
14454000.00000000
PA
341245.78000000
0.023647798759
Long
DBT
NUSS
TH
N
2
2042-06-17
Fixed
2.00000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 6.876000% 05/21/2029
N/A
3669000.00000000
PA
USD
1518687.16000000
0.105242644575
Long
DBT
NUSS
UA
N
2
2029-05-21
Fixed
6.87600000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 4.850000% 09/30/2029
836205BA1
1976000.00000000
PA
USD
1930465.06000000
0.133778208920
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-05-16
N/A
1.00000000
NC
36123.17000000
0.002503279175
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
699281.41000000
USD
10801800.00000000
ZAR
2022-05-16
36123.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-04-21
N/A
1.00000000
NC
USD
48801.19000000
0.003381846129
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
23950378.28000000
TRY
1662389.52000000
USD
2022-04-21
48801.19000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 10.000000% 07/24/2024
N/A
9907300000.00000000
PA
2708945.13000000
0.187725660031
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 20.750000% 03/06/2023
BG6008471
1920000.00000000
PA
262045.64000000
0.018159352946
Long
DBT
NUSS
GH
N
2
2023-03-06
Fixed
20.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
7300000.00000000
PA
1730159.46000000
0.119897344169
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
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
514715.00000000
0.035668944355
Long
DBT
NUSS
ID
N
2
2030-06-30
Fixed
3.00000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.870000% 07/23/2060
698299BL7
1142000.00000000
PA
USD
998975.92000000
0.069227468604
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 02/15/2031
N/A
4338000000.00000000
PA
296850.59000000
0.020571281537
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-04-04
N/A
1.00000000
NC
-4022.61000000
-0.00027876058
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
402780.51000000
USD
5826849.75000000
ZAR
2022-04-04
-4022.61000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.150000% 02/03/2027
EJ0370613
276842000.00000000
PA
100853.19000000
0.006988968307
Long
DBT
NUSS
RU
N
2
2027-02-03
Fixed
8.15000000
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
379291.32000000
0.026284295168
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 3.750000% 06/14/2028
N/A
557000.00000000
PA
670090.66000000
0.046436234546
Long
DBT
NUSS
ID
N
2
2028-06-14
Fixed
3.75000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:5.3
N/A
1958792734.00000000
NC
177802.11000000
0.012321408095
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-11
0.00000000
HUF
0.00000000
HUF
-1958792734.00000000
HUF
177802.11000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.750000% 01/17/2048
N/A
3569000.00000000
PA
USD
3560505.78000000
0.246737481019
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT INTERNATIONAL BOND 144A 3.125000% 09/21/2051
445545AN6
1687000.00000000
PA
USD
1412288.92000000
0.097869412977
Long
DBT
NUSS
HU
N
2
2051-09-21
Fixed
3.12500000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST GOVERNMENT INTERNATIONAL BOND 144A 5.875000% 10/17/2031
N/A
205000.00000000
PA
210966.89000000
0.014619675471
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 06/15/2032
N/A
12030000000.00000000
PA
918615.58000000
0.063658622746
Long
DBT
NUSS
ID
N
2
2032-06-15
Fixed
8.25000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.119000% 11/30/2034
N/A
5564000.00000000
PA
1300011.74000000
0.090088780033
Long
DBT
NUSS
MY
N
2
2034-11-30
Fixed
4.11900000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.250000% 11/17/2051
80413TAZ2
1380000.00000000
PA
USD
1215332.88000000
0.084220667494
Long
DBT
NUSS
SA
N
2
2051-11-17
Fixed
3.25000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 2.450000% 01/31/2031
168863DP0
236000.00000000
PA
USD
221021.08000000
0.015316415110
Long
DBT
NUSS
CL
N
2
2031-01-31
Fixed
2.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-13
N/A
1.00000000
NC
USD
1030.70000000
0.000071425897
N/A
DFE
US
N
2
JP MORGAN
N/A
5036300.00000000
CNY
791584.80000000
USD
2022-06-13
1030.70000000
N
N
N
VEB FINANCE PUBLIC LIMITED COMPANY
635400KYY8E2NCZXJ191
VEB FINANCE 6.8% 11/22/2025
N/A
580000.00000000
PA
USD
29000.00000000
0.002009654636
Long
DBT
NUSS
RU
N
2
2025-11-22
Fixed
6.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
185163.41000000
0.012831534670
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
25377249.18000000
EGP
1566670.94000000
USD
2022-06-15
185163.41000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.250000% 01/17/2042
Y20721BB4
2768000.00000000
PA
USD
3086320.00000000
0.213877148212
Long
DBT
NUSS
ID
N
2
2042-01-17
Fixed
5.25000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2022-04-08
N/A
1.00000000
NC
52513.13000000
0.003639077765
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
2169811.35000000
EUR
10283730.42000000
PLN
2022-04-08
52513.13000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA MTN VARIABLE RATE 09/18/2030
U48057EU0
50431000000.00000000
PA
3570672.81000000
0.247442040294
Long
DBT
CORP
US
N
2
2030-09-18
Fixed
7.00000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
37480.06000000
0.002597309529
N/A
DFE
MX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1064246.15000000
USD
22257097.00000000
MXN
2022-06-15
37480.06000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 08/15/2032
N/A
26770000000.00000000
PA
1937877.74000000
0.134291896049
Long
DBT
NUSS
ID
N
2
2032-08-15
Fixed
7.50000000
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
432994.10000000
0.030005813817
Long
DBT
NUSS
KZ
N
2
2031-05-06
Fixed
2.95000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-13
N/A
1.00000000
NC
12190.83000000
0.000844805449
N/A
DFE
BR
N
2
JP MORGAN
N/A
213521.46000000
USD
1095108.86000000
BRL
2022-06-13
12190.83000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 1.990000% 04/09/2025
N/A
60830000.00000000
PA
9443797.32000000
0.654440381780
Long
DBT
NUSS
CN
N
2
2025-04-09
Fixed
1.99000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS REC: 3.795
N/A
178342944.00000000
NC
-196576.80000000
-0.01362246474
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-11-25
0.00000000
CZK
0.00000000
CZK
-178342944.00000000
CZK
-196576.80000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-04-29
N/A
1.00000000
NC
5227.17000000
0.000362234704
N/A
DFE
SG
N
2
GOLDMAN, SACHS & CO.
N/A
2075537.39000000
USD
2815701.00000000
SGD
2022-04-29
5227.17000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.750000% 02/07/2034
N/A
988000.00000000
PA
1023881.45000000
0.070953382874
Long
DBT
NUSS
RO
N
2
2034-02-07
Fixed
3.75000000
N
N
N
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT 5.625000% 06/24/2030
P5178RAD0
259000.00000000
PA
USD
234395.00000000
0.016243206846
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/CLP SETTLE 2022-06-13
N/A
1.00000000
NC
USD
148.53000000
0.000010292896
N/A
DFE
US
N
2
JP MORGAN
N/A
43560000.00000000
CLP
54861.46000000
USD
2022-06-13
148.53000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 5.400000% 08/12/2034
N/A
1243000.00000000
PA
293027.61000000
0.020306355003
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
5.40000000
N
N
N
N
N
N
1MDB Global Investments Limited
N/A
1MDB GLOBAL INVESTMENTS 4.4% 03/09/2023
N/A
3100000.00000000
PA
USD
3030316.87000000
0.209996218906
Long
DBT
NUSS
MY
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 5.625000% 06/19/2047
P7808BAB3
979000.00000000
PA
USD
822360.00000000
0.056988261620
Long
DBT
NUSS
PE
N
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 06/17/2035
N/A
27023000.00000000
PA
694045.22000000
0.048096248083
Long
DBT
NUSS
TH
N
2
2035-06-17
Fixed
1.60000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 0.500000% 07/31/2040
N/A
1447485.00000000
PA
USD
825080.92000000
0.057176817120
Long
DBT
NUSS
EC
N
2
2040-07-31
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
AMERICA MOVIL SAB DE CV 144A 5.375000% 04/04/2032
03217KAB4
1005000.00000000
PA
USD
1005000.00000000
0.069644927924
Long
DBT
CORP
MX
N
2
2032-04-04
Fixed
5.37500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.950000% 01/28/2060
71654QDF6
159000.00000000
PA
USD
129045.99000000
0.008942685246
Long
DBT
NUSS
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2022-04-08
N/A
1.00000000
NC
11012.50000000
0.000763149023
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
963853.23000000
EUR
4516809.00000000
PLN
2022-04-08
11012.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-5549.36000000
-0.00038456196
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
381210.00000000
EUR
418612.08000000
USD
2022-04-05
-5549.36000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.700000% 03/14/2029
N/A
121855000.00000000
PA
44391.62000000
0.003076269826
Long
DBT
NUSS
RU
N
2
2029-03-14
Fixed
6.70000000
N
N
N
N
N
N
BRK:JP MORGAN CHASE
N/A
BRK:JP MORGAN CHASE PAY: 7.64
N/A
23014490.00000000
NC
40344.93000000
0.002795840539
N/A
DIR
XX
N
2
BRK:JP MORGAN CHASE
N/A
Y
2032-01-01
0.00000000
MXN
0.00000000
MXN
-23014490.00000000
MXN
40344.93000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-06-13
N/A
1.00000000
NC
-53.93000000
-0.00000373726
N/A
DFE
CN
N
2
JP MORGAN
N/A
61413.98000000
USD
390900.00000000
CNY
2022-06-13
-53.93000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 144 4.700000% 09/01/2030
N/A
375000000.00000000
PA
434460.08000000
0.030107403938
Long
DBT
NUSS
CL
N
2
2030-09-01
Fixed
4.70000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.530000% 10/18/2051
Y6S39BG95
11100000.00000000
PA
1805371.89000000
0.125109447917
Long
DBT
NUSS
CN
N
2
2051-10-18
Fixed
3.53000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-354807.68000000
-0.02458761721
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
1457683470.00000000
HUF
4019975.92000000
USD
2022-06-15
-354807.68000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND MTN 4.250000% 01/25/2028
N/A
797000.00000000
PA
USD
770380.20000000
0.053386142789
Long
DBT
NUSS
BH
N
2
2028-01-25
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-04-29
N/A
1.00000000
NC
USD
-13226.29000000
-0.00091656120
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
13385479.00000000
CNY
2095326.67000000
USD
2022-04-29
-13226.29000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.750000% 03/11/2061
37443GAJ0
77000.00000000
PA
USD
53245.50000000
0.003689829860
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-04-21
N/A
1.00000000
NC
USD
-25550.65000000
-0.00177062007
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
15553320.00000000
TRY
1022309.86000000
USD
2022-04-21
-25550.65000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 08/01/2029
68205LAB9
1051000.00000000
PA
USD
1095446.79000000
0.075912748990
Long
DBT
NUSS
OM
N
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-04-21
N/A
1.00000000
NC
USD
-5260.66000000
-0.00036455550
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
3184710.00000000
TRY
209300.08000000
USD
2022-04-21
-5260.66000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.250000% 03/31/2036
N/A
73304000.00000000
PA
3530631.66000000
0.244667251234
Long
DBT
NUSS
ZA
N
2
2036-03-31
Fixed
6.25000000
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
193694.02000000
0.013422692599
Long
DBT
NUSS
ID
N
2
2047-01-08
Fixed
5.25000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 6.000000% 01/01/2043
N/A
375000000.00000000
PA
473584.79000000
0.032818685140
Long
DBT
NUSS
CL
N
2
2043-01-01
Fixed
6.00000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
7395.30000000
0.000512482721
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
588440.76000000
USD
2500000.00000000
PLN
2022-06-15
7395.30000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 2.550000% 07/27/2033
168863DT2
1085000.00000000
PA
USD
988011.85000000
0.068467675703
Long
DBT
NUSS
CL
N
2
2033-07-27
Fixed
2.55000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2022-05-16
N/A
1.00000000
NC
-65889.29000000
-0.00456602472
N/A
DFE
RO
N
2
JP MORGAN
N/A
6790336.09000000
USD
30003100.00000000
RON
2022-05-16
-65889.29000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-04-21
N/A
1.00000000
NC
-12844.76000000
-0.00089012177
N/A
DFE
TR
N
2
GOLDMAN, SACHS & CO.
N/A
431693.47000000
USD
6216942.00000000
TRY
2022-04-21
-12844.76000000
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD 6.500000% 01/26/2026
N/A
206000.00000000
PA
USD
47122.50000000
0.003265515538
Long
DBT
NUSS
CN
N
2
2026-01-26
Fixed
6.50000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 5.450000% 09/16/2032
N/A
3796000.00000000
PA
USD
3615310.40000000
0.250535355457
Long
DBT
NUSS
BH
N
2
2032-09-16
Fixed
5.45000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-04-04
N/A
1.00000000
NC
1857334.40000000
0.128710368577
N/A
DFE
BR
N
2
J P MORGAN CHASE BANK
N/A
10363365.52000000
USD
58072155.00000000
BRL
2022-04-04
1857334.40000000
N
N
N
N/A
N/A
R2032 BOND FUTURE MAY22 FINANCIAL COMMODITY FUTURE.
N/A
844.00000000
NC
5195366.54000000
0.360030774350
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2032 Bond Future May 2022
2022-05-08
4893142.96000000
ZAR
302223.58000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 06/17/2046
N/A
3431000.00000000
PA
91620.38000000
0.006349149016
Long
DBT
NUSS
TH
N
2
2046-06-17
Fixed
2.87500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.875000% 02/11/2035
N/A
429000.00000000
PA
USD
298489.62000000
0.020684863752
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.87500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
78580000.00000000
PA
3671926.53000000
0.254458764704
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
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
942480.00000000
0.065312389722
Long
DBT
NUSS
KZ
N
2
2025-08-15
Fixed
2.62500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 5.625000% 09/30/2031
05675M2A1
946000.00000000
PA
USD
918163.00000000
0.063627259660
Long
DBT
NUSS
BH
N
2
2031-09-30
Fixed
5.62500000
N
N
N
N
N
N
Emirate of Sharjah
N/A
FINANCE DEPARTMENT GOVERNMENT OF SHARJAH MTN 3.625000% 03/10/2033
38381CAC6
842000.00000000
PA
USD
775734.60000000
0.053757194334
Long
DBT
NUSS
AE
N
2
2033-03-10
Fixed
3.62500000
N
N
N
N
N
N
Republique du Cameroun
54930021BO6NHYGBBV24
REPUBLIC OF CAMEROON 5.950000% 07/07/2032
N/A
543000.00000000
PA
531001.27000000
0.036797557390
Long
DBT
NUSS
CM
N
2
2032-07-07
Fixed
5.95000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.500000% 01/31/2037
N/A
118576258.00000000
PA
6916170.72000000
0.479279812249
Long
DBT
NUSS
ZA
N
2
2037-01-31
Fixed
8.50000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 10.000000% 06/28/2024
BQ2493055
66325000.00000000
PA
3113398.90000000
0.215753673624
Long
DBT
NUSS
ZM
N
2
2024-06-28
Fixed
10.00000000
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
2542000.00000000
PA
USD
1192452.20000000
0.082635072162
Long
DBT
NUSS
LK
N
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.000000% 12/17/2031
N/A
21932000.00000000
PA
638891.93000000
0.044274211359
Long
DBT
NUSS
TH
N
2
2031-12-17
Fixed
2.00000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
745640.48000000
0.051671718893
N/A
DFE
MX
N
2
STANDARD BANK
N/A
12682772.59000000
USD
271281094.00000000
MXN
2022-06-15
745640.48000000
N
N
N
Republic of Kazakhstan
5493007OEK8EF02UO833
KAZAKHSTAN GOVERNMENT INTERNATIONAL BOND 144A 4.875000% 10/14/2044
486661AF8
318000.00000000
PA
USD
312835.68000000
0.021679023269
Long
DBT
NUSS
KZ
N
2
2044-10-14
Fixed
4.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-04-04
N/A
1.00000000
NC
USD
-77590.98000000
-0.00537693354
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
5233717.00000000
BRL
1023792.03000000
USD
2022-04-04
-77590.98000000
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 5.500000% 12/11/2042
N/A
200000.00000000
PA
USD
196008.00000000
0.013583047793
Long
DBT
NUSS
MA
N
2
2042-12-11
Fixed
5.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.478000% 06/14/2024
N/A
4234000.00000000
PA
1019281.56000000
0.070634617692
Long
DBT
NUSS
MY
N
2
2024-06-14
Fixed
3.47800000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2022-04-08
N/A
1.00000000
NC
100476.53000000
0.006962866358
N/A
DFE
HU
N
2
HSBC
N/A
1184131.81000000
EUR
468278494.00000000
HUF
2022-04-08
100476.53000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.650000% 09/24/2031
N/A
2875000.00000000
PA
535088.14000000
0.037080771088
Long
DBT
NUSS
RO
N
2
2031-09-24
Fixed
3.65000000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 7.000000% 03/16/2047
86964WAB8
399000.00000000
PA
USD
447382.74000000
0.031002924061
Long
DBT
NUSS
BR
N
2
2047-03-16
Fixed
7.00000000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 4.375000% 02/05/2050
71568PAM1
265000.00000000
PA
USD
242475.00000000
0.016803138207
Long
DBT
NUSS
ID
N
2
2050-02-05
Fixed
4.37500000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
REPUBLIC OF ZAMBIA 5.375000% 09/20/2022
N/A
853000.00000000
PA
USD
585140.94000000
0.040549351833
Long
DBT
NUSS
ZM
N
2
2022-09-20
Fixed
5.37500000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-04-21
N/A
1.00000000
NC
USD
-13709.53000000
-0.00095004898
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
5674500.00000000
TRY
368593.70000000
USD
2022-04-21
-13709.53000000
N
N
N
FIRST QUANTUM MINERALS LTD.
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS LTD 144A 6.875000% 03/01/2026
335934AR6
403000.00000000
PA
USD
414223.55000000
0.028705044064
Long
DBT
NUSS
ZM
N
2
2026-03-01
Fixed
6.87500000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.500000% 01/19/2063
698299BS2
1262000.00000000
PA
USD
1210586.12000000
0.083891724452
Long
DBT
NUSS
PA
N
2
2063-01-19
Fixed
4.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
3190.06000000
0.000221066167
N/A
DFE
XX
N
2
JP MORGAN
N/A
263421.57000000
USD
239614.00000000
EUR
2022-04-05
3190.06000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
8953117.00000000
NC
-203140.21000000
-0.01407729879
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-8953117.00000000
BRL
-203140.21000000
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
33.00000000
NC
USD
3784687.50000000
0.262272923538
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2022
2022-07-03
3886474.68000000
USD
-101787.18000000
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 5.000000% 01/15/2030
86964WAG7
494000.00000000
PA
USD
503267.44000000
0.034875646354
Long
DBT
NUSS
BR
N
2
2030-01-15
Fixed
5.00000000
N
N
N
N
N
N
Republique Gabonaise
N/A
GABON GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 11/24/2031
362420AE1
700000.00000000
PA
USD
671426.00000000
0.046528771519
Long
DBT
NUSS
GA
N
2
2031-11-24
Fixed
7.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
2920000.00000000
PA
666007.38000000
0.046153269629
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 3.000000% 12/15/2032
N/A
933000.00000000
PA
USD
807045.00000000
0.055926956076
Long
DBT
NUSS
MA
N
2
2032-12-15
Fixed
3.00000000
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
160837.20000000
0.011145766369
Long
DBT
NUSS
RU
N
2
2171-01-26
Fixed
4.59850000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2029
N/A
7110000000.00000000
PA
538840.23000000
0.037340785056
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-04-04
N/A
1.00000000
NC
USD
-39439.57000000
-0.00273310050
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
2557003.00000000
BRL
498655.95000000
USD
2022-04-04
-39439.57000000
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 2.480000% 01/28/2032
Y6886MAE0
1466000.00000000
PA
USD
1361643.71000000
0.094359779146
Long
DBT
NUSS
MY
N
2
2032-01-28
Fixed
2.48000000
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
48360.00000000
0.003351272352
Long
DBT
NUSS
BY
N
2
2031-02-24
Fixed
6.37800000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS REC: 7.7325% FIXED
N/A
10901721.00000000
NC
-218008.67000000
-0.01510765981
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-10901721.00000000
BRL
-218008.67000000
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 5.625000% 06/19/2047
P7808BAB3
640000.00000000
PA
USD
537600.00000000
0.037254839057
Long
DBT
NUSS
PE
N
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
15355.87000000
0.001064137770
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
1071500.24000000
USD
974222.56000000
EUR
2022-06-15
15355.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-65268.47000000
-0.00452300287
N/A
DFE
US
N
2
JP MORGAN
N/A
2057896678.97000000
CLP
2519523.84000000
USD
2022-06-13
-65268.47000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-06-15
N/A
1.00000000
NC
238094.93000000
0.016499606208
N/A
DFE
HU
N
2
GOLDMAN, SACHS & CO.
N/A
5056722.75000000
USD
1764240000.00000000
HUF
2022-06-15
238094.93000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.875000% 09/16/2025
836205AR5
341000.00000000
PA
USD
360778.00000000
0.025001351051
Long
DBT
NUSS
ZA
N
2
2025-09-16
Fixed
5.87500000
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
404482.92000000
0.028030033642
Long
DBT
NUSS
IL
N
2
2030-06-30
Fixed
6.75000000
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
240425.00000000
0.016661076414
Long
DBT
NUSS
LK
N
2
2026-07-18
Fixed
6.82500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.250000% 10/25/2030
N/A
4084000.00000000
PA
721590.79000000
0.050005112995
Long
DBT
NUSS
PL
N
2
2030-10-25
Fixed
1.25000000
N
N
N
N
N
N
ABU DHABI CRUDE OIL PIPELINE L.L.C.
549300DONDFW2383FV66
ABU DHABI CRUDE OIL PIPELINE LLC 4.600000% 11/02/2047
AP6574192
580000.00000000
PA
USD
613419.60000000
0.042509018736
Long
DBT
NUSS
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.900000% 07/23/2031
N/A
203566000.00000000
PA
74158.83000000
0.005139090915
Long
DBT
NUSS
RU
N
2
2031-07-23
Fixed
6.90000000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 144A 6.000000% 01/15/2029
86964WAC6
288000.00000000
PA
USD
310887.36000000
0.021544007741
Long
DBT
NUSS
BR
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS REC:7.45% FIXED
N/A
9407094.00000000
NC
-150424.29000000
-0.01042416799
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-9407094.00000000
BRL
-150424.29000000
N
N
N
Emirate of Dubai
549300IY6A4IPIRLLX57
EMIRATE OF DUBAI GOVERNMENT INTERNATIONAL BONDS MT 5.250000% 01/30/2043
N/A
490000.00000000
PA
USD
504700.00000000
0.034974920521
Long
DBT
NUSS
AE
N
2
2043-01-30
Fixed
5.25000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 2.850000% 02/14/2030
455780CQ7
2929000.00000000
PA
USD
2878657.99000000
0.199486495755
Long
DBT
NUSS
ID
N
2
2030-02-14
Fixed
2.85000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.298000% 01/19/2033
698299BR4
1380000.00000000
PA
USD
1317762.00000000
0.091318845285
Long
DBT
NUSS
PA
N
2
2033-01-19
Fixed
3.29800000
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
204502.00000000
0.014171668706
Long
DBT
NUSS
OM
N
2
2051-01-25
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-04-26
N/A
1.00000000
NC
USD
10982.17000000
0.000761047202
N/A
DFE
US
N
2
JP MORGAN
N/A
96503101885.00000000
IDR
6733870.76000000
USD
2022-04-26
10982.17000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.200000% 05/15/2049
195325DQ5
3070000.00000000
PA
USD
2616468.90000000
0.181317201948
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-04-21
N/A
1.00000000
NC
21958.01000000
0.001521655745
N/A
DFE
TR
N
2
GOLDMAN, SACHS & CO.
N/A
507609.88000000
USD
7860339.00000000
TRY
2022-04-21
21958.01000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 7.250000% 12/23/2023
900123CR9
1061000.00000000
PA
USD
1081583.40000000
0.074952037749
Long
DBT
NUSS
TR
N
2
2023-12-23
Fixed
7.25000000
N
N
N
N
N
N
PERUVIAN NEW SOL
N/A
FX Forward Contract: PEN/USD SETTLE 2022-04-01
N/A
1.00000000
NC
401.16000000
0.000027799760
N/A
DFE
PE
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
99354.11000000
USD
370590.84000000
PEN
2022-04-01
401.16000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 1.000000% 07/31/2035
N/A
1438000.00000000
PA
USD
940466.38000000
0.065172849005
Long
DBT
NUSS
EC
N
2
2035-07-31
Fixed
1.00000000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 5.875000% 02/24/2026
N/A
1112000.00000000
PA
USD
133440.00000000
0.009247183265
Long
DBT
NUSS
BY
N
2
2026-02-24
Fixed
5.87500000
N
N
N
N
N
N
TURKIYE SISE VE CAM FABRIKALARI ANONIM SIRKETI
789000KWOK751Q6R8875
TURKIYE SISE VE CAM FABRIKALARI AS 144A 6.950000% 03/14/2026
90016AAB6
500000.00000000
PA
USD
492500.00000000
0.034129479605
Long
DBT
NUSS
TR
N
2
2026-03-14
Fixed
6.95000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-332.14000000
-0.00002301678
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
235190.39000000
USD
3374982106.00000000
IDR
2022-06-15
-332.14000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
139386.23000000
0.009659247703
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
3308899.32000000
USD
50846400.00000000
ZAR
2022-06-15
139386.23000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 3.500000% 01/11/2028
455780CD6
1859000.00000000
PA
USD
1904984.15000000
0.132012421716
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-555.72000000
-0.00003851052
N/A
DFE
US
N
2
JP MORGAN
N/A
1040000.00000000
CNY
163065.38000000
USD
2022-05-16
-555.72000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6M PRAGUE INTERBANK OFFER RATE (PRIBOR)
N/A
188902876.00000000
NC
-212980.45000000
-0.01475921202
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-11-22
0.00000000
CZK
0.00000000
CZK
-188902876.00000000
CZK
-212980.45000000
N
N
N
Globo Comunicacao e Participacoes S.A.
52990054HEKS017PVR75
GLOBO COMUNICACAO E PARTICIPACOES SA 144A 5.500000% 01/14/2032
37959DAC8
410000.00000000
PA
USD
369004.10000000
0.025571406913
Long
DBT
NUSS
BR
N
2
2032-01-14
Fixed
5.50000000
N
N
N
N
N
N
DP World Limited
549300M3U2DNF4QVSS04
DP WORLD LTD/UNITED ARAB EMIRATES MTN 5.625000% 09/25/2048
23330JAB7
439000.00000000
PA
USD
474102.44000000
0.032854557475
Long
DBT
NUSS
AE
N
2
2048-09-25
Fixed
5.62500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.400000% 09/17/2025
N/A
99760000.00000000
PA
4237613.03000000
0.293659954276
Long
DBT
NUSS
CZ
N
2
2025-09-17
Fixed
2.40000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 5.000000% 04/27/2051
91087BAL4
452000.00000000
PA
USD
456605.88000000
0.031642073236
Long
DBT
NUSS
MX
N
2
2051-04-27
Fixed
5.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.418000% 08/15/2022
N/A
7790000.00000000
PA
1863839.76000000
0.129161179849
Long
DBT
NUSS
MY
N
2
2022-08-15
Fixed
3.41800000
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
299227.50000000
0.020735997682
Long
DBT
NUSS
IN
N
2
2024-01-21
Fixed
13.87500000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2022-04-01
N/A
1.00000000
NC
14.49000000
0.000001004134
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
636359.50000000
USD
13970000.00000000
CZK
2022-04-01
14.49000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
COLOMBIA GOVT BOND I/L 3.00% 03/25/2033
N/A
1051100000.00000000
PA
755562.73000000
0.052359315297
Long
DBT
NUSS
CO
N
2
2033-03-25
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-5700.33000000
-0.00039502395
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
382117.00000000
EUR
419470.31000000
USD
2022-04-05
-5700.33000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-2855.80000000
-0.00019790247
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
295518.10000000
USD
4315427.00000000
ZAR
2022-06-15
-2855.80000000
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 2.739000% 01/29/2033
P75744AK1
1074000.00000000
PA
USD
950490.00000000
0.065867470192
Long
DBT
NUSS
PY
N
2
2033-01-29
Fixed
2.73900000
N
N
N
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2022-05-24
N/A
1.00000000
NC
43868.28000000
0.003040003182
N/A
DFE
IL
N
2
GOLDMAN, SACHS & CO.
N/A
4430929.08000000
USD
14256579.00000000
ILS
2022-05-24
43868.28000000
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 3.000000% 12/15/2032
N/A
336000.00000000
PA
USD
290640.00000000
0.020140897365
Long
DBT
NUSS
MA
N
2
2032-12-15
Fixed
3.00000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
1350.85000000
0.000093611791
N/A
DFE
TH
N
2
STANDARD BANK
N/A
731766.41000000
USD
24347185.68000000
THB
2022-06-15
1350.85000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 9.850000% 06/28/2027
N/A
5060000000.00000000
PA
1403323.49000000
0.097248122702
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.400000% 06/05/2049
P3579ECE5
375000.00000000
PA
USD
350628.75000000
0.024298023902
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.250000% 10/22/2030
N/A
1258000.00000000
PA
USD
1269082.98000000
0.087945465346
Long
DBT
NUSS
SA
N
2
2030-10-22
Fixed
3.25000000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 5.100000% 06/18/2050
760942BA9
170000.00000000
PA
USD
200185.20000000
0.013872521219
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-69013.72000000
-0.00478254284
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
33148880.00000000
TRY
2074398.00000000
USD
2022-06-15
-69013.72000000
N
N
N
Federal Democratic Republic of Ethiopia
N/A
FEDERAL REP OF ETHIOPIA 6.625000% 12/11/2024
N/A
400000.00000000
PA
USD
288000.00000000
0.019957949494
Long
DBT
NUSS
ET
N
2
2024-12-11
Fixed
6.62500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND MTN 5.250000% 01/25/2033
05675M2G8
1347000.00000000
PA
USD
1243585.42000000
0.086178524322
Long
DBT
NUSS
BH
N
2
2033-01-25
Fixed
5.25000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 7.696000% 02/23/2038
N/A
1811000.00000000
PA
USD
1580097.50000000
0.109498285076
Long
DBT
NUSS
NG
N
2
2038-02-23
Fixed
7.69600000
N
N
N
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
521955.72000000
0.036170714924
Long
DBT
NUSS
MX
N
2
2031-07-11
Fixed
3.87500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.500000% 03/15/2029
195325DP7
843000.00000000
PA
USD
814287.42000000
0.056428844453
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 4.500000% 05/30/2029
105756CA6
274000.00000000
PA
USD
268629.60000000
0.018615611075
Long
DBT
NUSS
BR
N
2
2029-05-30
Fixed
4.50000000
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
910600.00000000
PA
USD
919715.11000000
0.063734818455
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-1520.70000000
-0.00010538213
N/A
DFE
TH
N
2
STANDARD BANK
N/A
437283.07000000
USD
14471883.28000000
THB
2022-06-15
-1520.70000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.750000% 02/17/2032
N/A
3000000.00000000
PA
471404.18000000
0.032667572278
Long
DBT
NUSS
CN
N
2
2032-02-17
Fixed
2.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.800000% 09/30/2027
N/A
414000.00000000
PA
USD
378702.36000000
0.026243481161
Long
DBT
NUSS
EG
N
2
2027-09-30
Fixed
5.80000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.500000% 07/09/2029
N/A
13070.00000000
PA
4617.17000000
0.000319962658
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
0.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.406000% 07/07/2027
N/A
17842000.00000000
PA
906380.49000000
0.062810750147
Long
DBT
NUSS
EG
N
2
2027-07-07
Fixed
14.40600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-28
N/A
1.00000000
NC
USD
112490.66000000
0.007795426774
N/A
DFE
US
N
2
JP MORGAN
N/A
205712900.00000000
JPY
1808318.48000000
USD
2022-04-28
112490.66000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
800000.00000000
PA
189229.63000000
0.013113317355
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-04-11
N/A
1.00000000
NC
31690.28000000
0.002196086832
N/A
DFE
TH
N
2
MORGAN STANLEY & CO, INC
N/A
2074977.69000000
USD
70042532.00000000
THB
2022-04-11
31690.28000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.750000% 09/16/2026
N/A
62302000.00000000
PA
22696.54000000
0.001572834718
Long
DBT
NUSS
RU
N
2
2026-09-16
Fixed
7.75000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 2.750000% 12/22/2026
N/A
675760000.00000000
PA
1741879.47000000
0.120709522529
Long
DBT
NUSS
HU
N
2
2026-12-22
Fixed
2.75000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 9.125000% 11/26/2049
N/A
614000.00000000
PA
USD
596476.44000000
0.041334884251
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 2022-04-14
N/A
1.00000000
NC
12781.41000000
0.000885731719
N/A
DFE
ID
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
1906528.29000000
USD
27558866500.00000000
IDR
2022-04-14
12781.41000000
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT 144A 2.300000% 02/09/2031
69370PAL5
1375000.00000000
PA
USD
1210000.00000000
0.083851107252
Long
DBT
NUSS
ID
N
2
2031-02-09
Fixed
2.30000000
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
6671225.65000000
0.462305502055
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA INTL BOND 5.125000% 04/07/2026
Y6142NAC2
381000.00000000
PA
USD
374049.03000000
0.025921012671
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:2.33%
N/A
830040908.00000000
NC
196955.34000000
0.013648696973
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-06-05
0.00000000
CLP
0.00000000
CLP
-830040908.00000000
CLP
196955.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-5802.02000000
-0.00040207091
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
523896.00000000
EUR
577122.05000000
USD
2022-04-05
-5802.02000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-23
N/A
1.00000000
NC
40131.79000000
0.002781070270
N/A
DFE
TH
N
2
MORGAN STANLEY & CO, INC
N/A
3047701.70000000
USD
102523771.00000000
THB
2022-06-23
40131.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-9166.96000000
-0.00063525598
N/A
DFE
US
N
2
JP MORGAN
N/A
328423922.00000000
CLP
403345.31000000
USD
2022-06-13
-9166.96000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT VARIABLE RATE 05/31/2040
N/A
410000.00000000
PA
USD
125591.20000000
0.008703273703
Long
DBT
NUSS
UA
N
2
2040-05-31
Floating
1.25799840
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
5570.99000000
0.000386060892
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
5443713.04000000
USD
78307812071.00000000
IDR
2022-06-15
5570.99000000
N
N
N
TSMC ARIZONA CORPORATION
2549005GOBWLCSY63Q97
TSMC ARIZONA CORP 2.500000% 10/25/2031
872898AC5
200000.00000000
PA
USD
185212.77000000
0.012834955241
Long
DBT
CORP
TW
N
2
2031-10-25
Fixed
2.50000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-02
N/A
1.00000000
NC
3426.15000000
0.000237426835
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
906282.18000000
USD
4400000.00000000
BRL
2022-06-02
3426.15000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA 4.000000% 02/12/2026
P989MJBR1
626650.00000000
PA
USD
560851.75000000
0.038866148960
Long
DBT
NUSS
AR
N
2
2026-02-12
Fixed
4.00000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 1.000000% 07/31/2035
N/A
5695666.00000000
PA
USD
3725022.52000000
0.258138233755
Long
DBT
NUSS
EC
N
2
2035-07-31
Fixed
1.00000000
N
N
N
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE 5.333% 02/15/28
G13201AA9
850000.00000000
PA
USD
858508.50000000
0.059493296124
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY:3.745
N/A
24381679.00000000
NC
33471.53000000
0.002319524671
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2027-02-11
0.00000000
CZK
0.00000000
CZK
-24381679.00000000
CZK
33471.53000000
N
N
N
INTER AMERICAN DEVELOPMENT BANK
VKU1UKDS9E7LYLMACP54
INTER-AMERICAN DEVELOPMENT BANK MTN 7.875000% 03/14/2023
N/A
44650000000.00000000
PA
3215732.64000000
0.222845241730
Long
DBT
NUSS
XX
N
2
2023-03-14
Fixed
7.87500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.250000% 02/14/2025
N/A
48060000.00000000
PA
1996616.33000000
0.138362388454
Long
DBT
NUSS
CZ
N
2
2025-02-14
Fixed
1.25000000
N
N
N
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA GOVERNMENT INTERNATIONAL BOND MTN 8.750000% 03/09/2024
Y6142NAA6
2651000.00000000
PA
USD
2816402.57000000
0.195172292532
Long
DBT
NUSS
MN
N
2
2024-03-09
Fixed
8.75000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
11445.10000000
0.000793127526
N/A
DFE
MX
N
2
JP MORGAN
N/A
144712.83000000
USD
3137000.00000000
MXN
2022-05-16
11445.10000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 06/15/2035
N/A
12896000000.00000000
PA
921068.46000000
0.063828603493
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 08/21/2030
N/A
146200000.00000000
PA
356542.97000000
0.024707870097
Long
DBT
NUSS
HU
N
2
2030-08-21
Fixed
3.00000000
N
N
N
N
N
N
Republic of Iraq
2549004N3P710UQ9X454
REPUBLIC OF IRAQ 01/15/2028 5.8%
N/A
936750.00000000
PA
USD
913565.44000000
0.063308655943
Long
DBT
NUSS
IQ
N
2
2028-01-15
Fixed
5.80000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.250000% 01/25/2031
N/A
1768000.00000000
PA
USD
1871145.12000000
0.129667429870
Long
DBT
NUSS
OM
N
2
2031-01-25
Fixed
6.25000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A ZERO COUPON 07/31/2030
N/A
1500533.00000000
PA
USD
832810.82000000
0.057712487098
Long
DBT
NUSS
EC
N
2
2030-07-31
Fixed
0.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
48685000.00000000
PA
2220340.68000000
0.153866135947
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
18883.56000000
0.001308601169
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
1035686.00000000
EUR
1171289.92000000
USD
2022-04-06
18883.56000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.50000% 10/18/2034
P6S32JS68
13907400000.00000000
PA
3034267.04000000
0.210269959508
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.500000% 02/15/2048
P3579EBY2
296000.00000000
PA
USD
281202.96000000
0.019486925255
Long
DBT
NUSS
DO
N
2
2048-02-15
Fixed
6.50000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 6.375000% 02/11/2027
N/A
977000.00000000
PA
USD
731264.96000000
0.050675517844
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.37500000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 144A 4.750000% 06/19/2032
716564AA7
613000.00000000
PA
USD
548941.50000000
0.038040787266
Long
DBT
NUSS
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.844000% 06/20/2030
715638DA7
173000.00000000
PA
USD
165663.07000000
0.011480191611
Long
DBT
NUSS
PE
N
2
2030-06-20
Fixed
2.84400000
N
N
N
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
2735714.27000000
PA
USD
2581830.34000000
0.178916803924
Long
DBT
NUSS
AO
N
2
2027-02-19
Fixed
6.92700000
N
N
N
N
N
N
NEON CAPITAL LIMITED
N/A
NEON CAPITAL LTD/KY MTN VARIABLE RATE 01/06/2028
N/A
245168372.00000000
PA
1778543.79000000
0.123250302553
Long
DBT
NUSS
KY
N
2
2028-01-06
Floating
0.00000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 5.375000% 04/24/2032
P5015VAK2
498000.00000000
PA
USD
520414.98000000
0.036063944052
Long
DBT
NUSS
GT
N
2
2032-04-24
Fixed
5.37500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/16/2026
N/A
250000.00000000
PA
256036.09000000
0.017742900531
Long
DBT
NUSS
EG
N
2
2026-04-16
Fixed
4.75000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
21981.12000000
0.001523257231
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
899124.08000000
EUR
4300916.00000000
PLN
2022-06-15
21981.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-12928.96000000
-0.00089595670
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
5944122.96000000
MXN
281305.10000000
USD
2022-06-15
-12928.96000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
-2051.66000000
-0.00014217682
N/A
DFE
XX
N
2
JP MORGAN
N/A
115260.94000000
USD
101688.19000000
EUR
2022-04-28
-2051.66000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
GOVERNMENT OF UKRAINE 17.000000% 05/11/2022
N/A
71848000.00000000
PA
1573475.41000000
0.109039384598
Long
DBT
NUSS
UA
N
2
2022-05-11
Fixed
17.00000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
11511.60000000
0.000797735872
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
958907.85000000
EUR
23933381.00000000
CZK
2022-06-15
11511.60000000
N
N
N
BANCO NACIONAL DE PANAMA
529900H2Q7WMDKKIW109
BANCO NACIONAL DE PANAMA 144A 2.500000% 08/11/2030
059626AC5
228000.00000000
PA
USD
201353.64000000
0.013953492283
Long
DBT
NUSS
PA
N
2
2030-08-11
Fixed
2.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.750000% 01/26/2026
900123DB3
670000.00000000
PA
USD
616400.00000000
0.042715555793
Long
DBT
NUSS
TR
N
2
2026-01-26
Fixed
4.75000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.700000% 03/23/2033
N/A
98296000.00000000
PA
35809.11000000
0.002481515308
Long
DBT
NUSS
RU
N
2
2033-03-23
Fixed
7.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
64244.96000000
0.004452075232
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
9146500.00000000
EGP
562169.64000000
USD
2022-06-15
64244.96000000
N
N
N
Republic of Armenia
5299000H77JSW90G7935
REPUBLIC OF ARMENIA 3.600000% 02/02/2031
N/A
435000.00000000
PA
USD
342144.90000000
0.023710106368
Long
DBT
NUSS
AM
N
2
2031-02-02
Fixed
3.60000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.875000% 04/25/2027
195325DL6
1466000.00000000
PA
USD
1405424.88000000
0.097393745742
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
3.87500000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 9.375000% 04/01/2029
698299AK0
454000.00000000
PA
USD
612995.34000000
0.042479618181
Long
DBT
NUSS
PA
N
2
2029-04-01
Fixed
9.37500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICO GOVERNMENT INTERNATIONAL BOND MTN 5.750000% 10/12/2110
91086QAZ1
2756000.00000000
PA
USD
2791800.44000000
0.193467403407
Long
DBT
NUSS
MX
N
2
2110-10-12
Fixed
5.75000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.600000% 11/27/2026
N/A
1613000.00000000
PA
USD
191543.75000000
0.013273682251
Long
DBT
NUSS
LB
N
2
2026-11-27
Fixed
6.60000000
Y
N
N
N
N
N
Republique Gabonaise
N/A
REPUBLIC OF GABON 6.625000% 02/06/2031
N/A
240000.00000000
PA
USD
227208.00000000
0.015745158989
Long
DBT
NUSS
GA
N
2
2031-02-06
Fixed
6.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2022-04-01
N/A
1.00000000
NC
USD
-32589.53000000
-0.00225840345
N/A
DFE
US
N
2
JP MORGAN
N/A
57935400.00000000
RUB
670936.88000000
USD
2022-04-01
-32589.53000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
6576000.00000000
PA
1552375.63000000
0.107577202849
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-121379.69000000
-0.00841142264
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
17506800.00000000
PLN
4051093.37000000
USD
2022-06-15
-121379.69000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY:7.14
N/A
10885264411.00000000
NC
103158.07000000
0.007148692885
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-01-31
0.00000000
COP
0.00000000
COP
-10885264411.00000000
COP
103158.07000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2025
EK0169285
35886000.00000000
PA
7287163.20000000
0.504989010787
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
10.00000000
N
N
N
N
N
N
BRK: MORGAN STANLEY & CO
N/A
BRK: MORGAN STANLEY & CO PAY:5.39
N/A
2812244.00000000
NC
-5390.93000000
-0.00037358301
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY & CO
N/A
Y
2027-03-28
0.00000000
PLN
0.00000000
PLN
-2812244.00000000
PLN
-5390.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-04-13
N/A
1.00000000
NC
USD
-23672.82000000
-0.00164048939
N/A
DFE
US
N
2
JP MORGAN
N/A
12994687.63000000
PEN
3472194.42000000
USD
2022-04-13
-23672.82000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-04-29
N/A
1.00000000
NC
15291.66000000
0.001059688117
N/A
DFE
ID
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
1655009.91000000
USD
23974473500.00000000
IDR
2022-04-29
15291.66000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.870000% 07/23/2060
698299BL7
1290000.00000000
PA
USD
1128440.40000000
0.078199154552
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-28
N/A
1.00000000
NC
USD
897.62000000
0.000062203661
N/A
DFE
US
N
2
JP MORGAN
N/A
259607.12000000
EUR
289917.76000000
USD
2022-04-28
897.62000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.950000% 03/26/2051
37443GAC5
613000.00000000
PA
USD
426341.50000000
0.029544799043
Long
DBT
NUSS
GH
N
2
2051-03-26
Fixed
8.95000000
N
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 6.750000% 03/13/2048
N/A
230000.00000000
PA
USD
198319.80000000
0.013743251917
Long
DBT
NUSS
SN
N
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2026
N/A
1905000.00000000
PA
USD
812101.50000000
0.056277363617
Long
DBT
NUSS
UA
N
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND 144A 6.350000% 06/28/2024
85227SBA3
864000.00000000
PA
USD
425520.00000000
0.029487870378
Long
DBT
NUSS
LK
N
2
2024-06-28
Fixed
6.35000000
N
N
N
N
N
N
N/A
N/A
R2030 BOND FUTURE MAY22 FINANCIAL COMMODITY FUTURE.
N/A
569.00000000
NC
3631647.12000000
0.251667464598
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
R2030 Bond Future May 2022
2022-05-08
3445180.72000000
ZAR
186466.40000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.250000% 03/31/2032
N/A
72363392.00000000
PA
4418809.56000000
0.306216590368
Long
DBT
NUSS
ZA
N
2
2032-03-31
Fixed
8.25000000
N
N
N
N
N
N
Independent State of Papua New Guinea
254900NKI6OC90ZW9W36
PAPUA NEW GUINEA GOVERNMENT INTERNATIONAL BOND 144 8.375000% 10/04/2028
69888UAB1
275000.00000000
PA
USD
235950.00000000
0.016350965914
Long
DBT
NUSS
PG
N
2
2028-10-04
Fixed
8.37500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.000000% 10/06/2027
N/A
16284000.00000000
PA
5932.24000000
0.000411094952
Long
DBT
NUSS
RU
N
2
2027-10-06
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.750000% 01/31/2044
N/A
42248377.00000000
PA
2434720.84000000
0.168722345690
Long
DBT
NUSS
ZA
N
2
2044-01-31
Fixed
8.75000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 2.250000% 02/02/2033
80413TAV1
1268000.00000000
PA
USD
1166560.00000000
0.080840783204
Long
DBT
NUSS
SA
N
2
2033-02-02
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-12203.95000000
-0.00084571464
N/A
DFE
US
N
2
JP MORGAN
N/A
4817000.00000000
MXN
227583.35000000
USD
2022-05-16
-12203.95000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.280000% 12/03/2027
N/A
24600000.00000000
PA
3993536.80000000
0.276745853335
Long
DBT
NUSS
CN
N
2
2027-12-03
Fixed
3.28000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
2705129.00000000
NC
-30814.07000000
-0.00213536684
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-2705129.00000000
BRL
-30814.07000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 7.650000% 06/15/2035
283875AN2
149000.00000000
PA
USD
69746.90000000
0.004833351068
Long
DBT
NUSS
SV
Y
2
2035-06-15
Fixed
7.65000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.000000% 03/14/2029
74727PBA8
759000.00000000
PA
USD
810293.22000000
0.056152052641
Long
DBT
NUSS
QA
N
2
2029-03-14
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
831973.32000000
0.057654449658
Long
DBT
NUSS
ZA
N
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-87273.88000000
-0.00604794336
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
99220000.00000000
MXN
4824115.72000000
USD
2022-06-15
-87273.88000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-06-30
N/A
1.00000000
NC
-1712.31000000
-0.00011866040
N/A
DFE
XX
N
2
JP MORGAN
N/A
708300.13000000
RON
139714.85000000
EUR
2022-06-30
-1712.31000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 10/27/2027
N/A
290310000.00000000
PA
741917.53000000
0.051413724281
Long
DBT
NUSS
HU
N
2
2027-10-27
Fixed
3.00000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 01/26/2026
05674RAF1
957000.00000000
PA
USD
1032576.20000000
0.071555915448
Long
DBT
NUSS
BH
N
2
2026-01-26
Fixed
7.00000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
Ivory Coast Government International Bond 6.625000% 03/22/2048
AR7769417
271000.00000000
PA
262654.95000000
0.018201577176
Long
DBT
CORP
CI
N
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.300000% 09/30/2033
03846JAE0
1953000.00000000
PA
USD
1703265.98000000
0.118033668073
Long
DBT
NUSS
EG
N
2
2033-09-30
Fixed
7.30000000
N
N
N
N
N
N
Republique du Benin
635400Q11P6AE5A5Y230
BENIN INTL GOV BOND 4.950000% 01/22/2035
N/A
389000.00000000
PA
352314.30000000
0.024414829881
Long
DBT
NUSS
BJ
N
2
2035-01-22
Fixed
4.95000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.700000% 03/16/2039
N/A
83896000.00000000
PA
30563.21000000
0.002117982644
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
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
1000821.19000000
0.069355342928
Long
DBT
NUSS
IN
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
KONDOR FINANCE PLC
213800PUC1T9GI6EIO63
NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC 144A 7.625000% 11/08/2026
50050MAB1
990000.00000000
PA
USD
326922.39000000
0.022655210237
Long
DBT
NUSS
UA
N
2
2026-11-08
Fixed
7.62500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.625000% 04/07/2034
N/A
2860000.00000000
PA
USD
2030600.00000000
0.140717403626
Long
DBT
NUSS
GH
N
2
2034-04-07
Fixed
8.62500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
13399.21000000
0.000928544293
N/A
DFE
MX
N
2
JP MORGAN
N/A
239181.39000000
USD
5074000.00000000
MXN
2022-05-16
13399.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
10469.10000000
0.000725492253
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
4350240.00000000
EUR
4850856.48000000
USD
2022-04-05
10469.10000000
N
N
N
POWERTEK INVESTMENT HOLDINGS SDN. BHD.
N/A
1MDB ENERGY LTD 5.990000% 05/11/2022
N/A
1000000.00000000
PA
USD
998000.00000000
0.069159838874
Long
DBT
NUSS
MY
N
2
2022-05-11
Fixed
5.99000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-7139.82000000
-0.00049477835
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
1895720000.00000000
COP
493373.86000000
USD
2022-06-15
-7139.82000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.181000% 07/15/2024
N/A
16327000.00000000
PA
3989307.79000000
0.276452789557
Long
DBT
NUSS
MY
N
2
2024-07-15
Fixed
4.18100000
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
513724.13000000
0.035600278614
Long
DBT
NUSS
CN
N
2
2030-09-22
Fixed
3.00000000
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
520764.30000000
0.036088151382
Long
DBT
NUSS
TR
N
2
2027-02-02
Fixed
7.75000000
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
392151.70000000
0.027175499385
Long
DBT
NUSS
BR
N
2
2051-06-10
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
R2037 BOND FUTURE MAY22 FINANCIAL COMMODITY FUTURE.
N/A
1204.00000000
NC
7183107.26000000
0.497778096915
N/A
DIR
ZA
N
1
ABSOLUTE CAPITAL
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange R2037 Bond Future May 2022
2022-05-08
6636181.11000000
ZAR
546926.15000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-04-29
N/A
1.00000000
NC
97.62000000
0.000006764913
N/A
DFE
SG
N
2
GOLDMAN, SACHS & CO.
N/A
259440.29000000
USD
351208.00000000
SGD
2022-04-29
97.62000000
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
404062.50000000
0.028000899193
Long
DBT
CORP
IL
N
2
2031-01-29
Fixed
3.27500000
N
N
N
Y
Y
BANK LEUMI LE ISRAEL B.M.
LUMI 3.275 01/29/2031
ILS
XXXX
N
N
N
FEL Energy VI S.a r.l.
254900H2U8PBIY32VI94
FEL ENERGY VI SARL 144A 5.750000% 12/01/2040
30260LAA3
191000.00000000
PA
USD
171424.41000000
0.011879443461
Long
DBT
NUSS
MX
N
2
2040-12-01
Fixed
5.75000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.125000% 02/22/2042
195325EA9
327000.00000000
PA
USD
255472.02000000
0.017703811362
Long
DBT
NUSS
CO
N
2
2042-02-22
Fixed
4.12500000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-36.00000000
NC
-7458275.85000000
-0.51684684976
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2022
2022-06-11
-7948048.75000000
EUR
489772.90000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.375000% 10/14/2025
900123CZ1
819000.00000000
PA
USD
800670.78000000
0.055485232601
Long
DBT
NUSS
TR
N
2
2025-10-14
Fixed
6.37500000
N
N
N
N
N
N
GRAN TIERRA ENERGY INC.
549300IH2S17MAIUCM32
GRAN TIERRA ENERGY INC 144A 7.750000% 05/23/2027
38502JAA9
293000.00000000
PA
USD
271027.93000000
0.018781811592
Long
DBT
CORP
CO
N
2
2027-05-23
Fixed
7.75000000
N
N
N
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
366601.50000000
0.025404910492
Long
DBT
NUSS
KZ
N
2
2030-08-15
Fixed
3.25000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND 144A 2.625000% 12/02/2040
N/A
296000.00000000
PA
250178.56000000
0.017336982865
Long
DBT
NUSS
RO
N
2
2040-12-02
Fixed
2.62500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
89629.45000000
0.006211180681
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1024102.89000000
USD
4672981.50000000
PLN
2022-06-15
89629.45000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA S 5.50% 04/12/2037
N/A
1000000.00000000
PA
USD
61250.00000000
0.004244529189
Long
DBT
CORP
VE
N
2
2037-04-12
Fixed
5.50000000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-19
N/A
1.00000000
NC
USD
-68424.87000000
-0.00474173645
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
7818806.00000000
EUR
8634319.98000000
USD
2022-04-19
-68424.87000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
2368423.00000000
NC
-16098.15000000
-0.00111557661
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-2368423.00000000
BRL
-16098.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-26341.63000000
-0.00182543375
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
4656126340.00000000
UGX
1259433.69000000
USD
2022-06-15
-26341.63000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT INTERNATIONAL BOND 144A 1.250000% 10/26/2026
60367QAB9
1460000.00000000
PA
USD
1381582.80000000
0.095741526893
Long
DBT
NUSS
CN
N
2
2026-10-26
Fixed
1.25000000
N
N
N
N
N
N
Federal Democratic Republic of Ethiopia
N/A
ETHIOPIA INTERNATIONAL BOND 144A 6.625000% 12/11/2024
29766LAA4
296000.00000000
PA
USD
213120.00000000
0.014768882626
Long
DBT
NUSS
ET
N
2
2024-12-11
Fixed
6.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-04-06
N/A
1.00000000
NC
-686.32000000
-0.00004756090
N/A
DFE
XX
N
2
JP MORGAN
N/A
1786412.00000000
RON
360778.26000000
EUR
2022-04-06
-686.32000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.125000% 03/26/2032
37443GAB7
160000.00000000
PA
USD
115200.00000000
0.007983179797
Long
DBT
NUSS
GH
N
2
2032-03-26
Fixed
8.12500000
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
447878.60000000
0.031037286384
Long
DBT
CORP
ZA
N
2
2024-03-27
Fixed
5.87500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-04-26
N/A
1.00000000
NC
131.36000000
0.000009103042
N/A
DFE
ID
N
2
JP MORGAN
N/A
410847.76000000
USD
5899363000.00000000
IDR
2022-04-26
131.36000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.500000% 04/16/2050
698299BH6
136000.00000000
PA
USD
134320.40000000
0.009308193608
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
GUATEMALA GOVERNMENT BOND 144A 4.650000% 10/07/2041
401494AU3
338000.00000000
PA
USD
314343.38000000
0.021783504521
Long
DBT
NUSS
GT
N
2
2041-10-07
Fixed
4.65000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
26758053.00000000
NC
-495.14000000
-0.00003431242
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-06-23
0.00000000
MXN
0.00000000
MXN
-26758053.00000000
MXN
-495.14000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 7.375000% 09/18/2037
195325BK0
260000.00000000
PA
USD
292110.00000000
0.020242766065
Long
DBT
NUSS
CO
N
2
2037-09-18
Fixed
7.37500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 6.000000% 09/19/2044
N/A
297000.00000000
PA
USD
258806.39000000
0.017934877988
Long
DBT
NUSS
BH
N
2
2044-09-19
Fixed
6.00000000
N
N
N
N
N
N
SIERRACOL ENERGY ANDINA, LLC
N/A
SIERRACOL ENERGY ANDINA LLC 144A 6.000000% 06/15/2028
82653LAA9
672000.00000000
PA
USD
609840.00000000
0.042260958055
Long
DBT
CORP
CO
N
2
2028-06-15
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-42.74000000
-0.00000296181
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
30287.00000000
PEN
8062.56000000
USD
2022-06-15
-42.74000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 5.850000% 04/26/2023
N/A
1720000.00000000
PA
391403.01000000
0.027123616339
Long
DBT
NUSS
RO
N
2
2023-04-26
Fixed
5.85000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.750000% 07/23/2029
N/A
55670000.00000000
PA
2360950.69000000
0.163610189691
Long
DBT
NUSS
CZ
N
2
2029-07-23
Fixed
2.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 8.500000% 10/12/2035
Y20721AE9
1265000.00000000
PA
USD
1803159.34000000
0.124956121663
Long
DBT
NUSS
ID
N
2
2035-10-12
Fixed
8.50000000
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
1133377.08000000
0.078541258754
Long
DBT
NUSS
CN
N
2
2029-06-19
Fixed
3.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
860.96000000
0.000059663181
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
1391401.71000000
USD
1247979.09000000
EUR
2022-06-15
860.96000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.750000% 04/07/2029
37443GAL5
413000.00000000
PA
USD
301861.70000000
0.020918543621
Long
DBT
NUSS
GH
N
2
2029-04-07
Fixed
7.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.800000% 08/17/2023
N/A
2379000.00000000
PA
577494.30000000
0.040019451642
Long
DBT
NUSS
MY
N
2
2023-08-17
Fixed
3.80000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.148% FIXED
N/A
200000000.00000000
NC
66847.58000000
0.004632432727
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-09-02
0.00000000
INR
0.00000000
INR
-200000000.00000000
INR
66847.58000000
N
N
N
N/A
N/A
R213 BOND FUTURE MAY22 FINANCIAL COMMODITY FUTURE.
N/A
853.00000000
NC
4935001.22000000
0.341987864951
N/A
DIR
ZA
N
1
ABSA BANK LTD
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R213 Bond Future May 2022
2022-05-08
4673813.20000000
ZAR
261188.02000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-06-30
N/A
1.00000000
NC
15359.30000000
0.001064375464
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
1238928.35000000
EUR
6281674.00000000
RON
2022-06-30
15359.30000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-05-25
N/A
1.00000000
NC
189.41000000
0.000013125816
N/A
DFE
MY
N
2
STANDARD CHARTERED BANK
N/A
215171.91000000
USD
905551.00000000
MYR
2022-05-25
189.41000000
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND MTN 8.875000% 04/08/2051
N/A
542000.00000000
PA
USD
376364.80000000
0.026081491909
Long
DBT
NUSS
PK
N
2
2051-04-08
Fixed
8.87500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 2.632000% 04/15/2031
N/A
9700000.00000000
PA
2066417.04000000
0.143199468471
Long
DBT
NUSS
MY
N
2
2031-04-15
Fixed
2.63200000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 6.450000% 05/30/2044
69370RAA5
327000.00000000
PA
USD
382555.11000000
0.026510470709
Long
DBT
NUSS
ID
N
2
2044-05-30
Fixed
6.45000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 05/22/2040
N/A
11679000.00000000
PA
2526647.04000000
0.175092687554
Long
DBT
NUSS
MY
N
2
2040-05-22
Fixed
3.75700000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 4.500000% 03/01/2026
N/A
625000000.00000000
PA
743399.94000000
0.051516452975
Long
DBT
NUSS
CL
N
2
2026-03-01
Fixed
4.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 5.350000% 02/12/2028
71654QCH3
279000.00000000
PA
USD
265616.37000000
0.018406798949
Long
DBT
NUSS
MX
N
2
2028-02-12
Fixed
5.35000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
6082700000.00000000
PA
1337245.87000000
0.092669046999
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 3.66
N/A
24381678.00000000
NC
37718.12000000
0.002613806715
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2027-02-10
0.00000000
CZK
0.00000000
CZK
-24381678.00000000
CZK
37718.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2022-05-24
N/A
1.00000000
NC
USD
-542.80000000
-0.00003761519
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
59891.45000000
ILS
18255.69000000
USD
2022-05-24
-542.80000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2022-04-21
N/A
1.00000000
NC
26068.57000000
0.001806511123
N/A
DFE
PH
N
2
JP MORGAN
N/A
1832515.70000000
USD
96298700.00000000
PHP
2022-04-21
26068.57000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 10.750000% 10/14/2030
N/A
3054000.00000000
PA
USD
3218305.20000000
0.223023516114
Long
DBT
NUSS
GH
N
2
2030-10-14
Fixed
10.75000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.000000% 01/27/2045
105756BW9
810000.00000000
PA
USD
720098.10000000
0.049901671913
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.250000% 04/22/2032
195325DZ5
1103000.00000000
PA
USD
920861.61000000
0.063814269111
Long
DBT
NUSS
CO
N
2
2032-04-22
Fixed
3.25000000
N
N
N
N
N
N
Financiera de Desarrollo Territorial S.A.
54930036EU95I2CWYJ76
FINANCIERA DE DESARROLLO TERRITORIAL SA FINDETER 1 7.875000% 08/12/2024
31772MAA0
1127000000.00000000
PA
285074.75000000
0.019755234245
Long
DBT
NUSS
CO
N
2
2024-08-12
Fixed
7.87500000
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
669927.01000000
0.046424893857
Long
DBT
NUSS
BR
N
2
2047-02-21
Fixed
5.62500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 5.875000% 02/08/2028
N/A
22990000.00000000
PA
217008.58000000
0.015038355137
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.87500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 4.850000% 09/27/2027
836205AW4
420000.00000000
PA
USD
422100.00000000
0.029250869728
Long
DBT
NUSS
ZA
N
2
2027-09-27
Fixed
4.85000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 10/27/2027
N/A
483760000.00000000
PA
1236299.22000000
0.085673602060
Long
DBT
NUSS
HU
N
2
2027-10-27
Fixed
3.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 5.248000% 09/15/2028
N/A
567000.00000000
PA
145769.10000000
0.010101570610
Long
DBT
NUSS
MY
N
2
2028-09-15
Fixed
5.24800000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.200000% 07/06/2046
718286CP0
605000.00000000
PA
USD
540057.73000000
0.037425155901
Long
DBT
NUSS
PH
N
2
2046-07-06
Fixed
3.20000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.700000% 03/01/2041
718286CA3
714000.00000000
PA
USD
690866.40000000
0.047875960829
Long
DBT
NUSS
PH
N
2
2041-03-01
Fixed
3.70000000
N
N
N
N
N
N
BRK: STANDARD CHARTERED
N/A
BRK: STANDARD CHARTERED REC: 5.741
N/A
930000000.00000000
NC
31373.04000000
0.002174102596
N/A
DIR
XX
N
2
BRK: STANDARD CHARTERED
N/A
Y
2024-01-20
0.00000000
INR
0.00000000
INR
-930000000.00000000
INR
31373.04000000
N
N
N
BRK: JP MORGAN CHASE
N/A
BRK: JP MORGAN CHASE PAY: 1D BRL CETIP
N/A
3999241.00000000
NC
-88799.94000000
-0.00615369693
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
-88799.94000000
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
432825.00000000
0.029994095451
Long
DBT
NUSS
JM
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
BRK: JP MORGAN CHASE
N/A
BRK: JP MORGAN CHASE REC:11.135
N/A
20169697.00000000
NC
-25265.97000000
-0.00175089219
N/A
DIR
XX
N
2
BRK: JP MORGAN CHASE
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-20169697.00000000
BRL
-25265.97000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.950000% 01/28/2060
71654QDA7
308000.00000000
PA
USD
249975.88000000
0.017322937458
Long
DBT
NUSS
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.775000% 06/25/2032
N/A
181773000.00000000
PA
6086983.52000000
0.421818436349
Long
DBT
NUSS
TH
N
2
2032-06-25
Fixed
3.77500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
46491.31000000
0.003221775058
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
3738330.48000000
USD
3392591.48000000
EUR
2022-06-15
46491.31000000
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
ISLAMIC REP OF PAKISTAN 7.875000% 03/31/2036
Y8793YAL6
200000.00000000
PA
USD
137750.00000000
0.009545859524
Long
DBT
NUSS
PK
N
2
2036-03-31
Fixed
7.87500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.400000% 04/16/2050
74727PBE0
878000.00000000
PA
USD
986764.88000000
0.068381262633
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
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
795460.75000000
0.055124185672
Long
DBT
NUSS
CN
N
2
2170-09-03
Fixed
3.37500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.500000% 09/17/2031
QJ4075223
118055000.00000000
PA
43007.29000000
0.002980337922
Long
DBT
NUSS
RU
N
2
2031-09-17
Fixed
8.50000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 2.375000% 08/20/2030
G10367AE3
221000.00000000
PA
USD
202215.00000000
0.014013183184
Long
DBT
NUSS
BM
N
2
2030-08-20
Fixed
2.37500000
N
N
N
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.125000% 08/16/2027
156830AA9
723000.00000000
PA
USD
723361.50000000
0.050127820429
Long
DBT
NUSS
PE
N
2
2027-08-16
Fixed
4.12500000
N
N
N
N
N
N
Empresa Nacional del Petroleo
549300YP3P0JZBLIV197
EMPRESA NACIONAL DEL PETROLEO 5.250000% 11/06/2029
P37110AN6
749000.00000000
PA
USD
780083.50000000
0.054058566301
Long
DBT
NUSS
CL
N
2
2029-11-06
Fixed
5.25000000
N
N
N
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 6.750000% 03/13/2048
N/A
724000.00000000
PA
USD
624276.24000000
0.043261366905
Long
DBT
NUSS
SN
N
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-33180.75000000
-0.00229937407
N/A
DFE
US
N
2
JP MORGAN
N/A
1345498700.00000000
CLP
1656814.06000000
USD
2022-06-13
-33180.75000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 1.750000% 04/28/2041
N/A
402000.00000000
PA
379631.38000000
0.026307860794
Long
DBT
NUSS
PH
N
2
2041-04-28
Fixed
1.75000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 4.500000% 01/30/2030
P3579ECF2
1873000.00000000
PA
USD
1718496.23000000
0.119089100574
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/CZK SETTLE 2022-06-15
N/A
1.00000000
NC
-8702.12000000
-0.00060304330
N/A
DFE
XX
N
2
JP MORGAN
N/A
15096110.25000000
CZK
603544.57000000
EUR
2022-06-15
-8702.12000000
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 3.875000% 04/16/2050
29135LAJ9
612000.00000000
PA
USD
639871.70000000
0.044342107888
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 7.850000% 03/14/2029
Y8137FAP3
1598000.00000000
PA
USD
759050.00000000
0.052600977653
Long
DBT
NUSS
LK
N
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
Gaz Capital S.A.
213800568PRHV2JR9650
GAZPROM PJSC VIA GAZ CAPITAL SA 144A 4.950000% 02/06/2028
368266AT9
497000.00000000
PA
USD
213511.20000000
0.014795992174
Long
DBT
NUSS
RU
N
2
2028-02-06
Fixed
4.95000000
N
N
N
N
N
N
WANDA PROPERTIES OVERSEAS LIMITED
549300BJ7FGBP0KHXY31
WANDA PROPERTIES OVERSEAS LTD 6.875000% 07/23/2023
N/A
232000.00000000
PA
USD
206596.00000000
0.014316779631
Long
DBT
NUSS
CN
N
2
2023-07-23
Fixed
6.87500000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 5.875000% 02/24/2026
N/A
452000.00000000
PA
USD
54240.00000000
0.003758747154
Long
DBT
NUSS
BY
N
2
2026-02-24
Fixed
5.87500000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 16.375000% 03/04/2032
V3843WBJ8
1427900000.00000000
PA
454021.23000000
0.031462961034
Long
DBT
NUSS
UG
N
2
2032-03-04
Fixed
16.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
4807975.00000000
NC
-98198.39000000
-0.00680499481
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-4807975.00000000
BRL
-98198.39000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.500000% 02/12/2034
91087BAR1
643000.00000000
PA
USD
597662.07000000
0.041417046555
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-27767.66000000
-0.00192425540
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
1905726.00000000
EUR
2092679.05000000
USD
2022-04-05
-27767.66000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
2896.48000000
0.000200721533
N/A
DFE
MX
N
2
JP MORGAN
N/A
817517.58000000
USD
16481000.00000000
MXN
2022-05-16
2896.48000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A ZERO COUPON 07/31/2030
N/A
112225.00000000
PA
USD
62286.00000000
0.004316322368
Long
DBT
NUSS
EC
N
2
2030-07-31
Fixed
0.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
50510000000.00000000
PA
3852545.85000000
0.266975401045
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 12.750000% 06/24/2028
N/A
200000.00000000
PA
USD
80000.00000000
0.005543874859
Long
DBT
NUSS
RU
N
2
2028-06-24
Fixed
12.75000000
N
N
N
N
N
N
MDGH GMTN (RSC) LTD
213800WRY6FRL9IXLT77
MDGH GMTN RSC LTD MTN 4.500000% 11/07/2028
55276VAG7
548000.00000000
PA
USD
591281.04000000
0.040974851158
Long
DBT
NUSS
AE
N
2
2028-11-07
Fixed
4.50000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
85262.42000000
0.005908552333
N/A
DFE
CL
N
2
CITIGROUP GLOBAL MARKETS
N/A
2837553.36000000
USD
2327786895.00000000
CLP
2022-06-15
85262.42000000
N
N
N
CENCOSUD S.A.
549300NLTGCFV7482429
CENCOSUD SA 144A 4.375000% 07/17/2027
15132HAH4
1819000.00000000
PA
USD
1848558.75000000
0.128102229760
Long
DBT
NUSS
CL
N
2
2027-07-17
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-26120.51000000
-0.00181011048
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
11007215577.80000000
COP
2880037.57000000
USD
2022-06-15
-26120.51000000
N
N
N
Centrais Eletricas Brasileiras S.A.
254900I8KYDELP4B4Z08
CENTRAIS ELETRICAS BRASILEIRAS SA 144A 4.625000% 02/04/2030
15236FAB6
226000.00000000
PA
USD
211310.00000000
0.014643452457
Long
DBT
NUSS
BR
N
2
2030-02-04
Fixed
4.62500000
N
N
N
N
N
N
BRK: JPMORGAN CHASE
N/A
BRK: JPMORGAN CHASE PAY:1D BRL CETIP
N/A
6669601.00000000
NC
-162041.55000000
-0.01122922594
N/A
DIR
XX
N
2
BRK: JPMORGAN CHASE
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-6669601.00000000
BRL
-162041.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-75289.33000000
-0.00521743279
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
21470000.00000000
CZK
894700.39000000
USD
2022-06-15
-75289.33000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 10.500000% 12/21/2026
N/A
80813178.00000000
PA
6027045.43000000
0.417664820470
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
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
7500.00000000
0.000519738268
Long
DBT
NUSS
RU
N
2
2025-11-22
Fixed
6.80000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.292000% 01/05/2028
N/A
19000000.00000000
PA
970943.92000000
0.067284894853
Long
DBT
NUSS
EG
N
2
2028-01-05
Fixed
14.29200000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28D MEXICAN INTERBANK RATE TIIE
N/A
27590294.00000000
NC
-121475.55000000
-0.00841806559
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-04-06
0.00000000
MXN
0.00000000
MXN
-27590294.00000000
MXN
-121475.55000000
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 3.700000% 10/07/2033
P5015VAM8
700000.00000000
PA
USD
647507.00000000
0.044871222234
Long
DBT
NUSS
GT
N
2
2033-10-07
Fixed
3.70000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.100000% 10/16/2024
N/A
41950000.00000000
PA
15282.33000000
0.001059041563
Long
DBT
NUSS
RU
N
2
2024-10-16
Fixed
7.10000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 10/27/2038
N/A
138140000.00000000
PA
288786.64000000
0.020012462416
Long
DBT
NUSS
HU
N
2
2038-10-27
Fixed
3.00000000
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
732489.30000000
0.050760362690
Long
DBT
NUSS
ID
N
2
2048-05-21
Fixed
6.15000000
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
1063991.50000000
0.073732946597
Long
DBT
NUSS
CN
N
2
2025-10-21
Fixed
0.55000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
1617.85000000
0.000112114474
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
534621.96000000
EUR
2509287.00000000
PLN
2022-06-15
1617.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-04-21
N/A
1.00000000
NC
USD
33418.89000000
0.002315876801
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
9326926.00000000
TRY
661793.89000000
USD
2022-04-21
33418.89000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B 6.000000% 08/15/2050
N/A
281000.00000000
PA
241006.63000000
0.016701382463
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.190000% 09/12/2024
P78625DC4
45182100.00000000
PA
2129734.93000000
0.147587299203
Long
DBT
NUSS
MX
N
2
2024-09-12
Fixed
7.19000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
6361099.00000000
NC
-61204.98000000
-0.00424140937
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-6361099.00000000
BRL
-61204.98000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 2.250000% 04/20/2033
N/A
36320000.00000000
PA
77512.86000000
0.005371519948
Long
DBT
NUSS
HU
N
2
2033-04-20
Fixed
2.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
18818980.00000000
NC
-437435.68000000
-0.03031360836
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-18818980.00000000
BRL
-437435.68000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
12732.96000000
0.000882374210
N/A
DFE
XX
N
2
JP MORGAN
N/A
1364788.66000000
USD
1238031.00000000
EUR
2022-04-05
12732.96000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-05-23
N/A
1.00000000
NC
345013.99000000
0.023908929817
N/A
DFE
BR
N
2
JP MORGAN
N/A
3170717.29000000
USD
16949069.30000000
BRL
2022-05-23
345013.99000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
33958.80000000
0.002353291719
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1174202.14000000
USD
17814834.00000000
ZAR
2022-06-15
33958.80000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 8.250000% 05/17/2034
N/A
7412000.00000000
PA
USD
769291.48000000
0.053310696196
Long
DBT
NUSS
LB
N
2
2034-05-17
Fixed
8.25000000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-3186.63000000
-0.00022082847
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
288283.00000000
EUR
317577.60000000
USD
2022-04-05
-3186.63000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: KZT/USD SETTLE 2022-04-20
N/A
1.00000000
NC
-68157.43000000
-0.00472320328
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
1203108.53000000
USD
533578635.00000000
KZT
2022-04-20
-68157.43000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.000000% 10/13/2033
N/A
38630000.00000000
PA
1476043.46000000
0.102287502871
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
2.00000000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 17.000000% 04/03/2031
N/A
8683400000.00000000
PA
2822682.05000000
0.195607450674
Long
DBT
NUSS
UG
N
2
2031-04-03
Fixed
17.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 6.125000% 01/18/2041
195325BM6
684000.00000000
PA
USD
663568.92000000
0.045984288165
Long
DBT
NUSS
CO
N
2
2041-01-18
Fixed
6.12500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.875000% 03/26/2027
37443GAA9
525000.00000000
PA
USD
406923.30000000
0.028199148158
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/PHP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-3669.99000000
-0.00025432456
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
33630000.00000000
PHP
642284.19000000
USD
2022-06-15
-3669.99000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.582000% 07/15/2032
N/A
1900000.00000000
PA
440329.15000000
0.030514121308
Long
DBT
NUSS
MY
N
2
2032-07-15
Fixed
3.58200000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.000000% 08/16/2023
N/A
48857000.00000000
PA
17798.54000000
0.001233410980
Long
DBT
NUSS
RU
N
2
2023-08-16
Fixed
7.00000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 8.000000% 11/26/2029
N/A
45000.00000000
PA
USD
45162.90000000
0.003129718323
Long
DBT
NUSS
AO
N
2
2029-11-26
Fixed
8.00000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 2.650000% 12/10/2045
718286CL9
1071000.00000000
PA
USD
880420.76000000
0.061011781466
Long
DBT
NUSS
PH
N
2
2045-12-10
Fixed
2.65000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.750000% 03/11/2061
N/A
693000.00000000
PA
USD
479209.50000000
0.033208468744
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.950000% 10/07/2026
N/A
191546000.00000000
PA
69779.96000000
0.004835642074
Long
DBT
NUSS
RU
N
2
2026-10-07
Fixed
7.95000000
N
N
N
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY REC:2.355
N/A
15800000.00000000
NC
-7784.97000000
-0.00053948624
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2027-01-18
0.00000000
CNY
0.00000000
CNY
-15800000.00000000
CNY
-7784.97000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.50000% 10/18/2034
P6S32JS68
8674600000.00000000
PA
1892593.36000000
0.131153759351
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-04
N/A
1.00000000
NC
42367.09000000
0.002935973064
N/A
DFE
XX
N
2
JP MORGAN
N/A
2398341.07000000
USD
2192000.00000000
EUR
2022-05-04
42367.09000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 05/15/2038
N/A
5891000000.00000000
PA
419410.49000000
0.029064490892
Long
DBT
NUSS
ID
N
2
2038-05-15
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-04
N/A
1.00000000
NC
USD
32722.70000000
0.002267631923
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
987469.00000000
EUR
1132231.66000000
USD
2022-05-04
32722.70000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
173685.44000000
0.012036129303
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1992663.19000000
USD
9089533.14000000
PLN
2022-06-15
173685.44000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
117546.33000000
0.008145776796
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
2004469.28000000
USD
31290000.00000000
ZAR
2022-06-15
117546.33000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.900000% 11/30/2026
N/A
3285000.00000000
PA
797103.23000000
0.055238006967
Long
DBT
NUSS
MY
N
2
2026-11-30
Fixed
3.90000000
N
N
N
N
N
N
Republique du Benin
635400Q11P6AE5A5Y230
BENIN INTL GOV BOND 6.875000% 01/19/2052
N/A
158000.00000000
PA
146829.45000000
0.010175051206
Long
DBT
NUSS
BJ
N
2
2052-01-19
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-33349.39000000
-0.00231106056
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
5894812624.00000000
UGX
1594485.43000000
USD
2022-06-15
-33349.39000000
N
N
N
Fondo MIVIVIENDA S.A.
549300X41PNOK11PZ670
FONDO MIVIVIENDA SA 144A 7.000000% 02/14/2024
344593AE8
3704000.00000000
PA
1005015.34000000
0.069645990962
Long
DBT
NUSS
PE
N
2
2024-02-14
Fixed
7.00000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 3.125000% 09/21/2051
N/A
1000000.00000000
PA
USD
837160.00000000
0.058013878469
Long
DBT
NUSS
HU
N
2
2051-09-21
Fixed
3.12500000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 4.950000% 04/28/2031
P75744AJ4
880000.00000000
PA
USD
919608.80000000
0.063727451338
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
4.95000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.065000% 06/15/2050
N/A
1019000.00000000
PA
223398.44000000
0.015481162440
Long
DBT
NUSS
MY
N
2
2050-06-15
Fixed
4.06500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 5.103000% 04/23/2048
N/A
214000.00000000
PA
USD
261655.23000000
0.018132298143
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.150000% 10/24/2030
N/A
2875000.00000000
PA
564072.55000000
0.039089345362
Long
DBT
NUSS
RO
N
2
2030-10-24
Fixed
4.15000000
N
N
N
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY:4.03
N/A
55578679.00000000
NC
-6634.93000000
-0.00045979027
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2027-01-10
0.00000000
CZK
0.00000000
CZK
-55578679.00000000
CZK
-6634.93000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-09-21
N/A
1.00000000
NC
4142.76000000
0.000287086787
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
672906.89000000
EUR
3443925.35000000
RON
2022-09-21
4142.76000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 02/15/2031
N/A
8359000000.00000000
PA
572008.77000000
0.039639312994
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-04-06
N/A
1.00000000
NC
-11967.38000000
-0.00082932071
N/A
DFE
XX
N
2
JP MORGAN
N/A
2954022.69000000
RON
586849.99000000
EUR
2022-04-06
-11967.38000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-04-06
N/A
1.00000000
NC
-31472.91000000
-0.00218102343
N/A
DFE
XX
N
2
JP MORGAN
N/A
7824151.37000000
RON
1554557.76000000
EUR
2022-04-06
-31472.91000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
11951000000.00000000
PA
941118.89000000
0.065218066928
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
267822.69000000
0.018559693474
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
3046856.91000000
USD
13907683.04000000
PLN
2022-06-15
267822.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-06-02
N/A
1.00000000
NC
USD
-352612.43000000
-0.02443548982
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
27430000.00000000
BRL
5318592.00000000
USD
2022-06-02
-352612.43000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
-18396.25000000
-0.00127483134
N/A
DFE
XX
N
2
JP MORGAN
N/A
4527893.00000000
PLN
950827.73000000
EUR
2022-06-15
-18396.25000000
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA INTL BOND 3.500000% 07/07/2027
Y6142NAF5
494000.00000000
PA
USD
444496.39000000
0.030802904521
Long
DBT
NUSS
MN
N
2
2027-07-07
Fixed
3.50000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 7.550000% 03/28/2030
Y8137FAR9
1255000.00000000
PA
USD
583575.00000000
0.040440834640
Long
DBT
NUSS
LK
N
2
2030-03-28
Fixed
7.55000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
27529.94000000
0.001907781778
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
910628.69000000
USD
13833538.00000000
ZAR
2022-06-15
27529.94000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
9219000.00000000
PA
2184978.09000000
0.151415563776
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.500000% 01/31/2037
N/A
25913123.00000000
PA
1511428.90000000
0.104739658511
Long
DBT
NUSS
ZA
N
2
2037-01-31
Fixed
8.50000000
N
N
N
N
N
N
EMPRESA DE TRANSMISION ELECTRICA, S.A.
254900RX1DOMC83TZ320
EMPRESA DE TRANSMISION ELECTRICA SA 144A 5.125000% 05/02/2049
29247QAA2
635000.00000000
PA
USD
641356.35000000
0.044444991810
Long
DBT
NUSS
PA
N
2
2049-05-02
Fixed
5.12500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA INTERNATIONAL BOND MTN 2.050000% 09/23/2036
N/A
1141000.00000000
PA
975504.47000000
0.067600933834
Long
DBT
NUSS
RS
N
2
2036-09-23
Fixed
2.05000000
N
N
N
N
N
N
Qatar Energy
254900QTESJKJ3P87J26
QATAR ENERGY 144A 3.125000% 07/12/2041
74730DAE3
292000.00000000
PA
USD
265676.78000000
0.018410985268
Long
DBT
NUSS
QA
N
2
2041-07-12
Fixed
3.12500000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.650000% 04/22/2024
N/A
2250000.00000000
PA
USD
264375.00000000
0.018320773950
Long
DBT
NUSS
LB
N
2
2024-04-22
Fixed
6.65000000
Y
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-05-16
N/A
1.00000000
NC
11428.72000000
0.000791992418
N/A
DFE
CN
N
2
JP MORGAN
N/A
1680319.03000000
USD
10753000.00000000
CNY
2022-05-16
11428.72000000
N
N
N
SHARJAH SUKUK PROGRAMME LIMITED
549300N3BQ9P6RRMVV02
SHARJAH SUKUK PROGRAM LTD MTN 3.854000% 04/03/2026
N/A
359000.00000000
PA
USD
363368.31000000
0.025180855482
Long
DBT
NUSS
AE
N
2
2026-04-03
Fixed
3.85400000
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
697523.74000000
0.048337304077
Long
DBT
NUSS
SA
N
2
2046-10-26
Fixed
4.50000000
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
-370782.28000000
-0.02569463200
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-06-17
0.00000000
CLP
0.00000000
CLP
-1931133335.00000000
CLP
-370782.28000000
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
639240.66000000
0.044298377803
Long
DBT
NUSS
ID
N
2
2023-11-15
Fixed
5.71000000
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
-541416.73000000
-0.03751933247
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
-541416.73000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 9.750000% 11/01/2028
N/A
751000.00000000
PA
USD
317688.02000000
0.022015282841
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 2022-04-05
N/A
1.00000000
NC
3092.92000000
0.000214334517
N/A
DFE
XX
N
2
JP MORGAN
N/A
1812434.26000000
USD
1631683.24000000
EUR
2022-04-05
3092.92000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.052900% 01/15/2032
03846JX21
547000.00000000
PA
USD
480539.50000000
0.033300635664
Long
DBT
NUSS
EG
N
2
2032-01-15
Fixed
7.05290000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 2.875000% 06/06/2025
105756CD0
1969000.00000000
PA
USD
1928714.26000000
0.133656881219
Long
DBT
NUSS
BR
N
2
2025-06-06
Fixed
2.87500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
39920.45000000
0.002766424739
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1111517.84000000
USD
16978435.00000000
ZAR
2022-06-15
39920.45000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-04-28
N/A
1.00000000
NC
7132.99000000
0.000494305049
N/A
DFE
SG
N
2
GOLDMAN, SACHS & CO.
N/A
2092667.73000000
USD
2841473.00000000
SGD
2022-04-28
7132.99000000
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
251504.64000000
0.017428878134
Long
DBT
NUSS
LK
N
2
2024-03-14
Fixed
6.85000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-05-16
N/A
1.00000000
NC
4730.55000000
0.000327819715
N/A
DFE
PA
N
2
JP MORGAN
N/A
563814.80000000
USD
2378000.00000000
PLN
2022-05-16
4730.55000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND 5.250000% 01/16/2050
N/A
680000.00000000
PA
USD
803041.92000000
0.055649548894
Long
DBT
NUSS
SA
N
2
2050-01-16
Fixed
5.25000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-05-31
N/A
1.00000000
NC
-57.46000000
-0.00000398188
N/A
DFE
ID
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
429820.97000000
USD
6173432576.00000000
IDR
2022-05-31
-57.46000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.875000% 04/13/2042
N/A
260000.00000000
PA
221307.22000000
0.015336244165
Long
DBT
NUSS
RO
N
2
2042-04-13
Fixed
2.87500000
N
N
N
N
N
N
Joint-Stock Cornpany Uzbekneftegaz
213800LUZJZFLJD4MJ51
UZBEKNEFTEGAZ JSC 144A 4.750000% 11/16/2028
91825MAB9
592000.00000000
PA
USD
483622.56000000
0.033514286899
Long
DBT
NUSS
UZ
N
2
2028-11-16
Fixed
4.75000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 4.375000% 03/21/2029
N/A
2200000.00000000
PA
USD
396000.00000000
0.027442180555
Long
DBT
NUSS
RU
N
2
2029-03-21
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2022-04-11
N/A
1.00000000
NC
USD
9821.66000000
0.000680625674
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
29709572.00000000
TWD
1047372.96000000
USD
2022-04-11
9821.66000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.125000% 06/15/2042
N/A
6189000000.00000000
PA
424419.97000000
0.029411640020
Long
DBT
NUSS
ID
N
2
2042-06-15
Fixed
7.12500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
260.87000000
0.000018077882
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
1385209.07000000
USD
19909610000.00000000
IDR
2022-06-15
260.87000000
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 04/08/2026
695847AS2
843000.00000000
PA
USD
661755.00000000
0.045858586347
Long
DBT
NUSS
PK
N
2
2026-04-08
Fixed
6.00000000
N
N
N
N
N
N
JANUB GAZ DAHLIZI GAPALI SAHMDAR JAMIYYATI
213800DG58KG59XY6318
SOUTHERN GAS CORRIDOR CJSC 6.875000% 03/24/2026
N/A
5562000.00000000
PA
USD
6069699.36000000
0.420620671097
Long
DBT
NUSS
AZ
N
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.400000% 08/12/2034
N/A
4002000.00000000
PA
943440.45000000
0.065378947404
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
5.40000000
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
123487.00000000
0.008557455934
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
121620000.00000000
PA
5875779.21000000
0.407182308043
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-04-13
N/A
1.00000000
NC
-1216.20000000
-0.00008428075
N/A
DFE
ID
N
2
JP MORGAN
N/A
300314.10000000
USD
4294791937.00000000
IDR
2022-04-13
-1216.20000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 5.248000% 09/15/2028
N/A
950000.00000000
PA
244233.94000000
0.016925029998
Long
DBT
NUSS
MY
N
2
2028-09-15
Fixed
5.24800000
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
202904.00000000
0.014060929806
Long
DBT
NUSS
PA
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 2.150000% 07/28/2031
455780CY0
1545000.00000000
PA
USD
1425262.50000000
0.098768461777
Long
DBT
NUSS
ID
N
2
2031-07-28
Fixed
2.15000000
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
250705.45000000
0.017373495518
Long
DBT
NUSS
SV
N
2
2041-02-01
Fixed
7.62500000
N
N
N
N
N
N
PRIVATE JOINT STOCK COMPANY NATIONAL POWER COMPANY UKRENERGO
8945009LCLS92V4AK321
NPC UKRENERGO 144A 6.875000% 11/09/2026
63718LAA2
500000.00000000
PA
USD
190000.00000000
0.013166702791
Long
DBT
NUSS
UA
N
2
2026-11-09
Fixed
6.87500000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 144A 5.625000% 06/19/2047
716564AB5
197000.00000000
PA
USD
165480.00000000
0.011467505147
Long
DBT
NUSS
PE
N
2
2047-06-19
Fixed
5.62500000
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
544517.86000000
0.037734235933
Long
DBT
NUSS
CO
N
2
2027-11-08
Fixed
8.37500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
24229.28000000
0.001679051203
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
691247.38000000
USD
10550000.00000000
ZAR
2022-06-15
24229.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-05-23
N/A
1.00000000
NC
USD
2248.30000000
0.000155803673
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
180741417.00000000
KRW
151195.68000000
USD
2022-05-23
2248.30000000
N
N
N
CHINALCO CAPITAL HOLDINGS LIMITED
5493003PX4GYVUD3CQ19
CHINALCO CAPITAL HOLDINGS LTD 4.100000% MATURITY: PERPETUAL
N/A
224000.00000000
PA
USD
223484.93000000
0.015487156061
Long
DBT
NUSS
CN
N
2
2171-03-11
Fixed
4.10000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.350000% 08/12/2028
P78024AC3
5940000.00000000
PA
1593814.98000000
0.110448884982
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2022-04-18
N/A
1.00000000
NC
USD
-349556.95000000
-0.02422374983
N/A
DFE
US
N
2
JP MORGAN
N/A
78886700.00000000
RUB
589807.10000000
USD
2022-04-18
-349556.95000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 1.950000% 01/06/2032
718286CN5
4668000.00000000
PA
USD
4234311.52000000
0.293431164798
Long
DBT
NUSS
PH
N
2
2032-01-06
Fixed
1.95000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.650000% 09/27/2047
836205AX2
386000.00000000
PA
USD
336785.00000000
0.023338673682
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.250000% 03/22/2030
N/A
321000.00000000
PA
329343.23000000
0.022822970662
Long
DBT
NUSS
CI
N
2
2030-03-22
Fixed
5.25000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
6822000.00000000
PA
1616869.57000000
0.112046532006
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
-959.13000000
-0.00006646620
N/A
DFE
XX
N
2
JP MORGAN
N/A
226958.67000000
USD
203000.00000000
EUR
2022-04-28
-959.13000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-06-14
N/A
1.00000000
NC
69994.79000000
0.004850529457
N/A
DFE
HU
N
2
JP MORGAN
N/A
1643531.60000000
USD
570880700.00000000
HUF
2022-06-14
69994.79000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.650000% 09/27/2047
836205AX2
560000.00000000
PA
USD
488600.00000000
0.033859215705
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA MTN 7.500000% 06/15/2035
ZR7661609
36336000000.00000000
PA
2595218.95000000
0.179844613654
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 5.375000% 04/24/2032
P5015VAK2
203000.00000000
PA
USD
212137.03000000
0.014700764342
Long
DBT
NUSS
GT
N
2
2032-04-24
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-6728.87000000
-0.00046630016
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
619154.00000000
EUR
682186.04000000
USD
2022-04-05
-6728.87000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.150000% 08/12/2032
N/A
4479000.00000000
PA
1160920.59000000
0.080449980912
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
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
3976468.29000000
0.275563032291
Long
DBT
NUSS
CN
N
2
2023-11-05
Fixed
2.88000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 3.750000% 03/01/2030
JK2053607
200000.00000000
PA
247544.62000000
0.017154454943
Long
DBT
NUSS
PE
N
2
2030-03-01
Fixed
3.75000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.000000% 06/26/2026
N/A
35200000.00000000
PA
1401425.81000000
0.097116616447
Long
DBT
NUSS
CZ
N
2
2026-06-26
Fixed
1.00000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 01/01/2024
N/A
58000000.00000000
PA
9989982.64000000
0.692290170084
Long
DBT
NUSS
BR
N
2
2024-01-01
None
0.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
16390000000.00000000
PA
1250113.37000000
0.086630901046
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.750000% 10/11/2034
N/A
870000.00000000
PA
170932.59000000
0.011845361105
Long
DBT
NUSS
RO
N
2
2034-10-11
Fixed
4.75000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.125000% 07/09/2046
040114HW3
1056000.00000000
PA
USD
330485.76000000
0.022902146204
Long
DBT
NUSS
AR
N
2
2046-07-09
Fixed
1.12500000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2022-04-21
N/A
1.00000000
NC
640.53000000
0.000044387727
N/A
DFE
PH
N
2
JP MORGAN
N/A
163430.48000000
USD
8501000.00000000
PHP
2022-04-21
640.53000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.400000% 09/25/2023
N/A
790000.00000000
PA
175766.82000000
0.012180365682
Long
DBT
NUSS
RO
N
2
2023-09-25
Fixed
4.40000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.817000% 03/14/2049
74727PBB6
1036000.00000000
PA
USD
1227514.96000000
0.085064866583
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.875000% 02/15/2061
195325DX0
1413000.00000000
PA
USD
1007793.99000000
0.069838547061
Long
DBT
NUSS
CO
N
2
2061-02-15
Fixed
3.87500000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
293.19000000
0.000020317608
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
324935.30000000
EUR
8030208.00000000
CZK
2022-06-15
293.19000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.375000% 03/21/2023
195325BP9
2871000000.00000000
PA
746641.04000000
0.051741056135
Long
DBT
NUSS
CO
N
2
2023-03-21
Fixed
4.37500000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-10
N/A
1.00000000
NC
4507.19000000
0.000312341216
N/A
DFE
TH
N
2
MORGAN STANLEY & CO, INC
N/A
621700.97000000
USD
20799814.00000000
THB
2022-06-10
4507.19000000
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
220000.00000000
PA
USD
231000.00000000
0.016007938657
Long
DBT
NUSS
BH
N
2
2024-11-07
Fixed
7.62500000
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
675207.00000000
0.046790788904
Long
DBT
NUSS
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.100000% 05/07/2041
168863DS4
243000.00000000
PA
USD
213781.68000000
0.014814736015
Long
DBT
NUSS
CL
N
2
2041-05-07
Fixed
3.10000000
N
N
N
N
N
N
BRAZIL LOAN TRUST 1
549300V5WCG7Q7KQX569
BRAZIL LOAN TRUST 1 144A 5.477000% 07/24/2023
105859AA0
83053.84000000
PA
USD
84508.11000000
0.005856279830
Long
DBT
CORP
BR
N
2
2023-07-24
Fixed
5.47700000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.250000% 06/28/2023
N/A
2730000.00000000
PA
609148.46000000
0.042213035415
Long
DBT
NUSS
RO
N
2
2023-06-28
Fixed
4.25000000
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
205108.02000000
0.014213664945
Long
DBT
NUSS
ZM
N
2
2022-09-20
Fixed
5.37500000
Y
N
N
N
N
N
THE OIL AND GAS HOLDING COMPANY B.S.C (CLOSED)
549300OBH16L6TS6IW50
OIL AND GAS HOLDING CO BSCC/THE 144A 8.375000% 11/07/2028
67778M2D1
560000.00000000
PA
USD
610426.88000000
0.042301627921
Long
DBT
NUSS
BH
N
2
2028-11-07
Fixed
8.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.899000% 11/16/2027
N/A
776000.00000000
PA
187612.72000000
0.013001268022
Long
DBT
NUSS
MY
N
2
2027-11-16
Fixed
3.89900000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.000000% 10/12/2046
836205AV6
357000.00000000
PA
USD
295417.50000000
0.020471970642
Long
DBT
NUSS
ZA
N
2
2046-10-12
Fixed
5.00000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
36.00000000
NC
USD
7629187.50000000
0.528690759764
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Jun 2022
2022-07-03
7735028.76000000
USD
-105841.26000000
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 4.000000% 12/15/2050
N/A
673000.00000000
PA
USD
538198.10000000
0.037296286451
Long
DBT
NUSS
MA
N
2
2050-12-15
Fixed
4.00000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2022-06-13
N/A
1.00000000
NC
6021.97000000
0.000417313101
N/A
DFE
CZ
N
2
JP MORGAN
N/A
105202.24000000
USD
2461300.00000000
CZK
2022-06-13
6021.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-06-02
N/A
1.00000000
NC
USD
-115995.26000000
-0.00803829007
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
7850000.00000000
BRL
1507007.10000000
USD
2022-06-02
-115995.26000000
N
N
N
RELIANCE INDUSTRIES LIMITED
5493003UOETFYRONLG31
RELIANCE INDUSTRIES LTD 144A 2.875000% 01/12/2032
759470BB2
800000.00000000
PA
USD
733943.22000000
0.050861117072
Long
DBT
NUSS
IN
N
2
2032-01-12
Fixed
2.87500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU BONO SOBERANO 6.9% 08/12/2037
P87324BE1
7222000.00000000
PA
1916684.74000000
0.132823254300
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.90000000
N
N
N
N
N
N
NBK Tier 1 Financing (2) Limited
549300HMWSJFNREWT164
NBK TIER 1 FINANCING 2 LTD 144A 4.500000% MATURITY: PERPETUAL
62878WAA6
513000.00000000
PA
USD
498944.83000000
0.034576096242
Long
DBT
NUSS
KW
N
2
2170-05-27
Fixed
4.50000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 5.750000% 04/18/2023
Y8137FAK4
434000.00000000
PA
USD
213935.96000000
0.014825427377
Long
DBT
NUSS
LK
N
2
2023-04-18
Fixed
5.75000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 1.500000% 11/17/2050
N/A
255000.00000000
PA
214223.15000000
0.014845329195
Long
DBT
NUSS
HU
N
2
2050-11-17
Fixed
1.50000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA 4.000000% 02/14/2051
N/A
1464000.00000000
PA
USD
1264017.60000000
0.087594442435
Long
DBT
NUSS
RO
N
2
2051-02-14
Fixed
4.00000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-21
N/A
1.00000000
NC
385.26000000
0.000026697915
N/A
DFE
TH
N
2
J P MORGAN CHASE BANK
N/A
48072.04000000
USD
1609000.00000000
THB
2022-06-21
385.26000000
N
N
N
UZAUTO MOTORS Joint Stock Company
25490082QA3E2MKBZI88
UZAUTO MOTORS AJ 144A 4.850000% 05/04/2026
46653NAA0
727000.00000000
PA
USD
639760.00000000
0.044334367253
Long
DBT
NUSS
UZ
N
2
2026-05-04
Fixed
4.85000000
N
N
N
N
N
N
EGYPTIAN POUND
N/A
FX Forward Contract: EGP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-45978.85000000
-0.00318626238
N/A
DFE
EG
N
2
CITIGROUP GLOBAL MARKETS
N/A
543413.06000000
USD
9137490.57000000
EGP
2022-06-15
-45978.85000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2023
N/A
35989000.00000000
PA
7430711.03000000
0.514936650861
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
3717.76000000
0.000257634952
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
412337.00000000
EUR
462524.56000000
USD
2022-04-06
3717.76000000
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 4.900000% 06/01/2030
P5015VAH9
1501000.00000000
PA
USD
1528018.00000000
0.105889257192
Long
DBT
NUSS
GT
N
2
2030-06-01
Fixed
4.90000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 14.556000% 10/13/2027
N/A
11537000.00000000
PA
592678.67000000
0.041071704731
Long
DBT
NUSS
EG
N
2
2027-10-13
Fixed
14.55600000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
99052900.00000000
PA
5041505.51000000
0.349368445649
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.400000% 06/17/2036
N/A
58900000.00000000
PA
1835069.06000000
0.127167415344
Long
DBT
NUSS
TH
N
2
2036-06-17
Fixed
3.40000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.25% 3/12/28
N/A
56563000.00000000
PA
1871069.76000000
0.129662207540
Long
DBT
USGA
TH
N
2
2028-03-12
Fixed
1.25000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.150000% 01/26/2028
N/A
2145000.00000000
PA
438534.22000000
0.030389735467
Long
DBT
NUSS
RO
N
2
2028-01-26
Fixed
4.15000000
N
N
N
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND MTN 8.875000% 04/08/2051
N/A
596000.00000000
PA
USD
413862.40000000
0.028680016934
Long
DBT
NUSS
PK
N
2
2051-04-08
Fixed
8.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-481.38000000
-0.00003335888
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
13970000.00000000
CZK
630667.03000000
USD
2022-06-15
-481.38000000
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
574000.00000000
PA
USD
602700.00000000
0.041766167224
Long
DBT
NUSS
BH
N
2
2024-11-07
Fixed
7.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
3787.04000000
0.000262435948
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
7340000.00000000
ZAR
501568.91000000
USD
2022-06-15
3787.04000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 9.750000% 06/05/2026
N/A
19150000.00000000
PA
355667.73000000
0.024647217334
Long
DBT
NUSS
DO
N
2
2026-06-05
Fixed
9.75000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-68.00000000
NC
-12004183.54000000
-0.83187114173
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-Bund Future Jun 2022
2022-06-11
-12464459.79000000
EUR
460276.25000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.875000% 01/30/2060
P3579ECG0
922000.00000000
PA
USD
788310.00000000
0.054628649883
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.817000% 03/14/2049
N/A
2837000.00000000
PA
USD
3361447.82000000
0.232943075768
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-901.81000000
-0.00006249402
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
389239.52000000
USD
5580526993.00000000
IDR
2022-06-15
-901.81000000
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 8.250000% 02/28/2048
N/A
1154000.00000000
PA
USD
1024313.48000000
0.070983321877
Long
DBT
NUSS
KE
N
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.625000% 02/01/2041
P01012AR7
527000.00000000
PA
USD
242425.27000000
0.016799691996
Long
DBT
NUSS
SV
N
2
2041-02-01
Fixed
7.62500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND MTN 4.875000% 02/01/2025
68205LAA1
449000.00000000
PA
USD
457980.00000000
0.031737297603
Long
DBT
NUSS
OM
N
2
2025-02-01
Fixed
4.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
209.59000000
0.000014524259
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
12385520000.00000000
IDR
862093.16000000
USD
2022-06-15
209.59000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1D SINACOFI CHILE INTERBANK RATE AVG(CLICP)
N/A
1623158367.00000000
NC
-301589.03000000
-0.02089964801
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-03-16
0.00000000
CLP
0.00000000
CLP
-1623158367.00000000
CLP
-301589.03000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.875000% 04/13/2042
BQ4352952
297000.00000000
PA
252800.95000000
0.017518710390
Long
DBT
NUSS
RO
N
2
2042-04-13
Fixed
2.87500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 4.750000% 02/11/2029
455780CH7
119000.00000000
PA
USD
131530.49000000
0.009114857209
Long
DBT
NUSS
ID
N
2
2029-02-11
Fixed
4.75000000
N
N
N
N
N
N
1MDB Global Investments Limited
N/A
1MDB GLOBAL INVESTMENTS 4.4% 03/09/2023
N/A
4300000.00000000
PA
USD
4203342.75000000
0.291285077480
Long
DBT
NUSS
MY
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 11/26/2025
N/A
23696800000.00000000
PA
5748326.38000000
0.398350026292
Long
DBT
NUSS
CO
N
2
2025-11-26
Fixed
6.25000000
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
777733.04000000
0.053895683100
Long
DBT
CORP
CO
N
2
2024-09-10
Fixed
7.62500000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
REPUBLIC OF SERBIA 1.650000% 03/03/2033
N/A
270000.00000000
PA
234893.63000000
0.016277761125
Long
DBT
NUSS
RS
N
2
2033-03-03
Fixed
1.65000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-04
N/A
1.00000000
NC
-12038.47000000
-0.00083424713
N/A
DFE
XX
N
2
JP MORGAN
N/A
3374692.96000000
USD
3020000.00000000
EUR
2022-05-04
-12038.47000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.000000% 04/14/2033
N/A
990000.00000000
PA
883835.73000000
0.061248433545
Long
DBT
NUSS
RO
N
2
2033-04-14
Fixed
2.00000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 5.375000% 04/24/2030
N/A
600000.00000000
PA
USD
575893.22000000
0.039908499302
Long
DBT
NUSS
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS & CO
N/A
BRK: GOLDMAN SACHS & CO REC: 3.305% FIXED
N/A
424147078.00000000
NC
-244137.58000000
-0.01691835240
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS & CO
N/A
Y
2031-10-04
0.00000000
HUF
0.00000000
HUF
-424147078.00000000
HUF
-244137.58000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-04-14
N/A
1.00000000
NC
13704.22000000
0.000949681009
N/A
DFE
ID
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
1905605.48000000
USD
27558866500.00000000
IDR
2022-04-14
13704.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-9643.93000000
-0.00066830926
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
5740000.00000000
ZAR
379629.63000000
USD
2022-06-15
-9643.93000000
N
N
N
The Commonwealth of The Bahamas
549300W13SXC7EKNJC20
COMMONWEALTH OF BAHAMAS 6.000000% 11/21/2028
P06518AG2
650000.00000000
PA
USD
502944.00000000
0.034853232467
Long
DBT
NUSS
BS
N
2
2028-11-21
Fixed
6.00000000
N
N
N
N
N
N
GTLK EUROPE CAPITAL DESIGNATED ACTIVITY COMPANY
635400I6H6CSZ39WIN49
GTLK EUROPE CAPITAL DAC 4.650000% 03/10/2027
N/A
392000.00000000
PA
USD
82320.00000000
0.005704647230
Long
DBT
NUSS
RU
N
2
2027-03-10
Fixed
4.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-04-13
N/A
1.00000000
NC
USD
-35567.01000000
-0.00246473815
N/A
DFE
US
N
2
JP MORGAN
N/A
102577561554.00000000
IDR
7108139.53000000
USD
2022-04-13
-35567.01000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.875000% 10/29/2035
N/A
1700000.00000000
PA
1770098.80000000
0.122665077956
Long
DBT
NUSS
RO
N
2
2035-10-29
Fixed
3.87500000
N
N
N
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.875000% 05/24/2026
48344FAA8
263000.00000000
PA
USD
270367.95000000
0.018736076010
Long
DBT
NUSS
PE
N
2
2026-05-24
Fixed
4.87500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
29099000.00000000
PA
6637037.29000000
0.459936302186
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.150000% 11/20/2059
N/A
277000.00000000
PA
USD
228110.05000000
0.015807669642
Long
DBT
NUSS
EG
N
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
DP WORLD CRESCENT LIMITED
21380096JRTWB8TL9236
DP WORLD CRESCENT LTD MTN 4.848000% 09/26/2028
N/A
475000.00000000
PA
USD
505271.75000000
0.035014541901
Long
DBT
NUSS
AE
N
2
2028-09-26
Fixed
4.84800000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-04-04
N/A
1.00000000
NC
87.53000000
0.000006065692
N/A
DFE
MY
N
2
JP MORGAN
N/A
163556.04000000
USD
688080.28000000
MYR
2022-04-04
87.53000000
N
N
N
NBK SPC LIMITED
549300P1ANDK86KWB419
NBK SPC LTD 144A 1.625000% 09/15/2027
62877PAB0
680000.00000000
PA
USD
621193.60000000
0.043047744775
Long
DBT
NUSS
KW
N
2
2027-09-15
Fixed
1.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
1037.65000000
0.000071907521
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
59153850.00000000
INR
775041.11000000
USD
2022-06-15
1037.65000000
N
N
N
Republica de Mocambique
N/A
MOZAMBIQUE INTERNATIONAL BOND 144A 5.000000% 09/15/2031
N/A
1122000.00000000
PA
USD
963405.30000000
0.066762480279
Long
DBT
NUSS
MZ
N
2
2031-09-15
Fixed
5.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.270000% 11/19/2030
N/A
26300000.00000000
PA
4273775.91000000
0.296165985292
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
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
244560.00000000
0.016947625446
Long
DBT
NUSS
ID
N
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.940000% 02/12/2029
N/A
367000.00000000
PA
95704.62000000
0.006632180459
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
YAPI VE KREDI BANKASI ANONIM SIRKETI
B85ZYWEZ5IZCZ2WNIO12
YAPI VE KREDI BANKASI AS MTN 5.850000% 06/21/2024
984848AJ0
429000.00000000
PA
USD
421492.50000000
0.029208770928
Long
DBT
NUSS
TR
N
2
2024-06-21
Fixed
5.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-37390.12000000
-0.00259107682
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
12571888564.00000000
COP
3281877.61000000
USD
2022-06-15
-37390.12000000
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
242250.00000000
0.016787546059
Long
DBT
NUSS
CL
N
2
2026-04-27
Fixed
4.05000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
3410.73000000
0.000236358253
N/A
DFE
XX
N
2
JP MORGAN
N/A
423185.24000000
USD
383398.00000000
EUR
2022-04-05
3410.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-13
N/A
1.00000000
NC
USD
214.20000000
0.000014843724
N/A
DFE
US
N
2
JP MORGAN
N/A
5127500.00000000
CNY
805084.08000000
USD
2022-06-13
214.20000000
N
N
N
Republica de Mocambique
N/A
REPUBLIC OF MOZAMBIQUE 5.000000% 09/15/2031
N/A
200000.00000000
PA
USD
171730.00000000
0.011900620370
Long
DBT
NUSS
MZ
N
2
2031-09-15
Fixed
5.00000000
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
620000.00000000
PA
USD
564959.50000000
0.039150809609
Long
DBT
NUSS
BR
N
2
2028-05-07
Fixed
5.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.875000% 04/25/2027
195325DL6
763000.00000000
PA
USD
731472.84000000
0.050689923602
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
3.87500000
N
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS INTERNATIONAL BOND 144A 6.200000% 02/28/2030
07737JAC7
89000.00000000
PA
USD
12460.00000000
0.000863458509
Long
DBT
NUSS
BY
N
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
StoneCo Ltd.
549300O1A9LEF0XZCR35
STONECO LTD 3.950000% 06/16/2028
G85158AA4
1035000.00000000
PA
USD
869400.00000000
0.060248060037
Long
DBT
NUSS
BR
N
2
2028-06-16
Fixed
3.95000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
5012193.00000000
NC
-28280.97000000
-0.00195982698
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-03
0.00000000
BRL
0.00000000
BRL
-5012193.00000000
BRL
-28280.97000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
27064261.00000000
NC
-74780.39000000
-0.00518216405
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-04-01
0.00000000
MXN
0.00000000
MXN
-27064261.00000000
MXN
-74780.39000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 05/16/2024
P7807HAT2
8101936.00000000
PA
USD
536753.26000000
0.037196161299
Long
DBT
NUSS
VE
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-32055.84000000
-0.00222141956
N/A
DFE
XX
N
2
JP MORGAN
N/A
1821420.95000000
USD
1608131.00000000
EUR
2022-04-06
-32055.84000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 5.000000% 01/13/2037
718286BW6
519000.00000000
PA
USD
580354.00000000
0.040217624379
Long
DBT
NUSS
PH
N
2
2037-01-13
Fixed
5.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 2.632000% 04/15/2031
N/A
12621000.00000000
PA
2688685.51000000
0.186321700056
Long
DBT
NUSS
MY
N
2
2031-04-15
Fixed
2.63200000
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
524372.50000000
0.036338193998
Long
DBT
NUSS
NG
N
2
2038-02-23
Fixed
7.69600000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.000000% 01/27/2023
N/A
560000.00000000
PA
USD
64400.00000000
0.004462819262
Long
DBT
NUSS
LB
N
2
2023-01-27
Fixed
6.00000000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-10406.58000000
-0.00072115971
N/A
DFE
US
N
2
JP MORGAN
N/A
660000.00000000
PLN
147389.86000000
USD
2022-05-16
-10406.58000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.500000% 07/09/2030
040114HS2
5649575.00000000
PA
USD
1892664.12000000
0.131158662909
Long
DBT
NUSS
AR
N
2
2030-07-09
Fixed
0.50000000
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
337000.00000000
PA
USD
310040.00000000
0.021485287018
Long
DBT
NUSS
BR
N
2
2031-06-30
Fixed
7.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
4102283.00000000
NC
-108688.72000000
-0.00753195827
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-4102283.00000000
BRL
-108688.72000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
9800800000.00000000
PA
2204773.98000000
0.152787387988
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.200000% 05/11/2027
Y8137FAH1
276000.00000000
PA
USD
129720.00000000
0.008989393085
Long
DBT
NUSS
LK
N
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
TUNISIAN REPUBLIC 144A 6.375000% 07/15/2026
AZ5985371
1747000.00000000
PA
1207131.98000000
0.083652357953
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 2022-04-05
N/A
1.00000000
NC
USD
-13734.02000000
-0.00095174610
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
962100.00000000
EUR
1056767.08000000
USD
2022-04-05
-13734.02000000
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 8.375000% 03/24/2029
N/A
300000.00000000
PA
USD
302892.00000000
0.020989941800
Long
DBT
NUSS
NG
N
2
2029-03-24
Fixed
8.37500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.200000% 09/12/2023
N/A
800000.00000000
PA
217953.22000000
0.015103817211
Long
DBT
NUSS
PE
N
2
2023-09-12
Fixed
5.20000000
N
N
N
N
N
N
MALAYSIA WAKALA SUKUK BERHAD
254900MRLMI21YQTK511
MALAYSIA WAKALA SUKUK BHD 2.070000% 04/28/2031
Y57542AA3
1230000.00000000
PA
USD
1151695.20000000
0.079810675816
Long
DBT
NUSS
MY
N
2
2031-04-28
Fixed
2.07000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 4.650000% 10/07/2041
P5015VAN6
210000.00000000
PA
USD
195302.10000000
0.013534130027
Long
DBT
NUSS
GT
N
2
2041-10-07
Fixed
4.65000000
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
239187.46000000
0.016575316828
Long
DBT
NUSS
CN
N
2
2031-05-27
Fixed
3.02000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.500000% 02/16/2061
N/A
565000.00000000
PA
USD
447762.50000000
0.031029240835
Long
DBT
NUSS
EG
N
2
2061-02-16
Fixed
7.50000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.050000% 01/19/2028
N/A
179342000.00000000
PA
65334.06000000
0.004527548158
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.750000% 01/31/2044
N/A
88105000.00000000
PA
5077380.36000000
0.351854516636
Long
DBT
NUSS
ZA
N
2
2044-01-31
Fixed
8.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-23162.68000000
-0.00160513749
N/A
DFE
US
N
2
JP MORGAN
N/A
16066800.00000000
MXN
776632.76000000
USD
2022-05-16
-23162.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-88996.73000000
-0.00616733417
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
16282514.88000000
UAH
436871.72000000
USD
2022-06-15
-88996.73000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-06-15
N/A
1.00000000
NC
9630.29000000
0.000667364032
N/A
DFE
SG
N
2
CITIGROUP GLOBAL MARKETS
N/A
2964239.93000000
USD
4023600.00000000
SGD
2022-06-15
9630.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-1527.75000000
-0.00010587068
N/A
DFE
US
N
2
JP MORGAN
N/A
1391000.00000000
CNY
217315.47000000
USD
2022-05-16
-1527.75000000
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
TULLOW OIL PLC 144A 10.250000% 05/15/2026
899415AG8
351000.00000000
PA
USD
357626.88000000
0.024782983364
Long
DBT
NUSS
GH
N
2
2026-05-15
Fixed
10.25000000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 3.375000% 02/05/2030
71568QAL1
750000.00000000
PA
USD
701250.00000000
0.048595528067
Long
DBT
NUSS
ID
N
2
2030-02-05
Fixed
3.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.906000% 07/15/2026
N/A
2250000.00000000
PA
543869.51000000
0.037689306293
Long
DBT
NUSS
MY
N
2
2026-07-15
Fixed
3.90600000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 16.250000% 11/08/2035
N/A
1123900000.00000000
PA
343341.23000000
0.023793010166
Long
DBT
NUSS
UG
N
2
2035-11-08
Fixed
16.25000000
N
N
N
N
N
N
NWD (MTN) LIMITED
254900STSWBVJ5FV9O74
NWD MTN LTD 4.125000% 07/18/2029
N/A
757000.00000000
PA
USD
689339.34000000
0.047770137960
Long
DBT
NUSS
HK
N
2
2029-07-18
Fixed
4.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.795000% 09/30/2022
N/A
3200000.00000000
PA
768700.85000000
0.053269766461
Long
DBT
NUSS
MY
N
2
2022-09-30
Fixed
3.79500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-05
N/A
1.00000000
NC
-9358.70000000
-0.00064854327
N/A
DFE
XX
N
2
JP MORGAN
N/A
1028043.81000000
USD
915531.00000000
EUR
2022-04-05
-9358.70000000
N
N
N
MC Brazil Downstream Trading S.a r.l.
213800T2A7R9TYNXZI63
MC BRAZIL DOWNSTREAM TRADING SARL 144A 7.250000% 06/30/2031
55292WAA8
888000.00000000
PA
USD
816960.00000000
0.056614050067
Long
DBT
NUSS
BR
N
2
2031-06-30
Fixed
7.25000000
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
683735.37000000
0.047381791605
Long
DBT
NUSS
EG
N
2
2030-04-16
Fixed
5.62500000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 5.000000% 07/31/2030
N/A
1559715.00000000
PA
USD
1302377.62000000
0.090252731816
Long
DBT
NUSS
EC
N
2
2030-07-31
Fixed
5.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 5.750000% 11/03/2027
N/A
7660800000.00000000
PA
1724989.88000000
0.119539100362
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
5.75000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-06-14
N/A
1.00000000
NC
31304.43000000
0.002169348030
N/A
DFE
HU
N
2
JP MORGAN
N/A
811080.00000000
USD
280649900.00000000
HUF
2022-06-14
31304.43000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 16.100000% 05/07/2029
N/A
14920000.00000000
PA
849555.59000000
0.058872873466
Long
DBT
NUSS
EG
N
2
2029-05-07
Fixed
16.10000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 3.000000% 01/15/2034
715638DU3
1046000.00000000
PA
USD
975039.36000000
0.067568702439
Long
DBT
NUSS
PE
N
2
2034-01-15
Fixed
3.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.95% 08/12/2031
715638BE1
154000.00000000
PA
42478.68000000
0.002943706076
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
EIG Pearl Holdings S.a r.l.
549300KIMRL45BWA5H76
EIG PEARL HOLDINGS SARL 144A 3.545000% 08/31/2036
28249NAA9
657000.00000000
PA
USD
625847.69000000
0.043370265932
Long
DBT
NUSS
SA
N
2
2036-08-31
Fixed
3.54500000
N
N
N
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
KINGDOM OF JORDAN 7.375000% 10/10/2047
N/A
1237000.00000000
PA
USD
1123022.82000000
0.077823724733
Long
DBT
NUSS
JO
N
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-04-21
N/A
1.00000000
NC
USD
-19007.25000000
-0.00131717269
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
9669739.00000000
TRY
632463.80000000
USD
2022-04-21
-19007.25000000
N
N
N
Republic of Kazakhstan
5493007OEK8EF02UO833
REPUBLIC OF KAZAKHSTAN 4.875000% 10/14/2044
N/A
1204000.00000000
PA
USD
1184447.04000000
0.082080327096
Long
DBT
NUSS
KZ
N
2
2044-10-14
Fixed
4.87500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.875000% 06/26/2031
900123DC1
2181000.00000000
PA
USD
1859158.55000000
0.128836779319
Long
DBT
NUSS
TR
N
2
2031-06-26
Fixed
5.87500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 5.103000% 04/23/2048
N/A
353000.00000000
PA
USD
431608.86000000
0.029909818852
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
CSN Resources S.A.
222100ZEX458NMOXZP08
CSN RESOURCES SA 144A 4.625000% 06/10/2031
12644VAD0
625000.00000000
PA
USD
569537.50000000
0.039468057848
Long
DBT
NUSS
BR
N
2
2031-06-10
Fixed
4.62500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 3.750000% 04/16/2030
N/A
2981000.00000000
PA
USD
3145002.70000000
0.217943767527
Long
DBT
NUSS
QA
N
2
2030-04-16
Fixed
3.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 12/17/2028
N/A
20155000.00000000
PA
632207.90000000
0.043811018536
Long
DBT
NUSS
TH
N
2
2028-12-17
Fixed
2.87500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.800000% 09/30/2027
03846JAD2
498000.00000000
PA
USD
455540.52000000
0.031568245455
Long
DBT
NUSS
EG
N
2
2027-09-30
Fixed
5.80000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 0.500000% 07/31/2040
N/A
459000.00000000
PA
USD
261634.59000000
0.018130867824
Long
DBT
NUSS
EC
N
2
2040-07-31
Fixed
0.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
1316800.00000000
PA
61532.11000000
0.004264078971
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 04/08/2026
N/A
1094000.00000000
PA
USD
858790.00000000
0.059512803634
Long
DBT
NUSS
PK
N
2
2026-04-08
Fixed
6.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 7.690000% 01/23/2050
71654QCW0
427000.00000000
PA
USD
373091.25000000
0.025854640015
Long
DBT
NUSS
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIAN FEDERATION 5.250000% 06/23/2047
N/A
2000000.00000000
PA
USD
450000.00000000
0.031184296085
Long
DBT
NUSS
RU
N
2
2047-06-23
Fixed
5.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-12665.64000000
-0.00087770903
N/A
DFE
US
N
2
JP MORGAN
N/A
883000.00000000
BRL
169329.01000000
USD
2022-06-13
-12665.64000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.625000% 04/07/2034
N/A
407000.00000000
PA
USD
288970.00000000
0.020025168977
Long
DBT
NUSS
GH
N
2
2034-04-07
Fixed
8.62500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.350000% 02/12/2048
P78625DE0
678000.00000000
PA
USD
532975.80000000
0.036934389230
Long
DBT
NUSS
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.375000% 01/23/2031
917288BK7
4015069.00000000
PA
USD
4375180.54000000
0.303193167529
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-06-15
N/A
1.00000000
NC
23272.36000000
0.001612738144
N/A
DFE
SG
N
2
CITIGROUP GLOBAL MARKETS
N/A
5489766.96000000
USD
7459056.16000000
SGD
2022-06-15
23272.36000000
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
ISLAMIC REP OF PAKISTAN 6.875000% 12/05/2027
N/A
749000.00000000
PA
USD
589088.50000000
0.040822911566
Long
DBT
NUSS
PK
N
2
2027-12-05
Fixed
6.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-04-06
N/A
1.00000000
NC
-40244.92000000
-0.00278891000
N/A
DFE
XX
N
2
JP MORGAN
N/A
10385491.08000000
RON
2064838.85000000
EUR
2022-04-06
-40244.92000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.750000% 07/23/2029
N/A
35760000.00000000
PA
1516572.60000000
0.105096108875
Long
DBT
NUSS
CZ
N
2
2029-07-23
Fixed
2.75000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.500000% 01/19/2063
698299BS2
95000.00000000
PA
USD
91129.70000000
0.006315145660
Long
DBT
NUSS
PA
N
2
2063-01-19
Fixed
4.50000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 7.500000% 09/15/2033
N/A
35200000.00000000
PA
1838304.31000000
0.127391613108
Long
DBT
NUSS
ZA
N
2
2033-09-15
Fixed
7.50000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 6.264000% 02/15/2052
200447AM2
608000.00000000
PA
USD
592496.00000000
0.041059045985
Long
DBT
NUSS
MX
N
2
2052-02-15
Fixed
6.26400000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 8.000000% 05/22/2032
N/A
1471000.00000000
PA
USD
1426134.50000000
0.098828890013
Long
DBT
NUSS
KE
N
2
2032-05-22
Fixed
8.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICAN UDIBONOS 3.5% 11/16/2023
N/A
66254401.26000000
PA
3339298.90000000
0.231408190259
Long
DBT
NUSS
MX
N
2
2023-11-16
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-15205.52000000
-0.00105371875
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
54125919.86000000
MXN
2664027.30000000
USD
2022-06-15
-15205.52000000
N
N
N
TSMC ARIZONA CORPORATION
2549005GOBWLCSY63Q97
TSMC ARIZONA CORP 3.250000% 10/25/2051
872898AE1
220000.00000000
PA
USD
198974.45000000
0.013788618138
Long
DBT
CORP
TW
N
2
2051-10-25
Fixed
3.25000000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-04-13
N/A
1.00000000
NC
1769.08000000
0.000122594476
N/A
DFE
CO
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
165559.57000000
USD
628629680.00000000
COP
2022-04-13
1769.08000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.625000% 06/15/2035
706451BG5
3100000.00000000
PA
USD
2778406.00000000
0.192539189667
Long
DBT
NUSS
MX
N
2
2035-06-15
Fixed
6.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-21
N/A
1.00000000
NC
USD
-107.33000000
-0.00000743780
N/A
DFE
US
N
2
JP MORGAN
N/A
21492500.00000000
THB
647169.53000000
USD
2022-06-21
-107.33000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 2.250000% 06/22/2034
N/A
84940000.00000000
PA
174301.80000000
0.012078842087
Long
DBT
NUSS
HU
N
2
2034-06-22
Fixed
2.25000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.625000% 03/22/2048
N/A
2849000.00000000
PA
2761269.22000000
0.191351637620
Long
DBT
NUSS
CI
N
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
EGYPTIAN POUND
N/A
FX Forward Contract: EGP/USD SETTLE 2022-09-21
N/A
1.00000000
NC
11079.11000000
0.000767764992
N/A
DFE
EG
N
2
CITIGROUP GLOBAL MARKETS
N/A
471658.23000000
USD
9079421.00000000
EGP
2022-09-21
11079.11000000
N
N
N
N/A
N/A
Credit Default Swap
CDS9866N6
13920901.00000000
NC
USD
817907.66000000
0.056679721422
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-06-20
893421.62000000
USD
0.00000000
USD
13920901.00000000
USD
-75513.96000000
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
212175.00000000
0.014703395604
Long
DBT
NUSS
AE
N
2
2029-11-02
Fixed
3.65000000
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
610201.76000000
0.042286027457
Long
DBT
NUSS
SA
N
2
2046-10-26
Fixed
4.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.771000% 05/24/2061
91087BAN0
757000.00000000
PA
USD
611890.67000000
0.042403066278
Long
DBT
NUSS
MX
N
2
2061-05-24
Fixed
3.77100000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-05-16
N/A
1.00000000
NC
-850.64000000
-0.00005894802
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
282096.02000000
USD
4131000.00000000
ZAR
2022-05-16
-850.64000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 1.750000% 06/05/2035
N/A
265000.00000000
PA
275391.13000000
0.019084174527
Long
DBT
NUSS
HU
N
2
2035-06-05
Fixed
1.75000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND 144A 3.000000% 02/27/2027
77586RAK6
660000.00000000
PA
USD
640355.76000000
0.044375652489
Long
DBT
NUSS
RO
N
2
2027-02-27
Fixed
3.00000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 2.000000% 01/09/2038
040114HU7
3404246.00000000
PA
USD
1280336.92000000
0.088725345784
Long
DBT
NUSS
AR
N
2
2038-01-09
Fixed
2.00000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.350000% 08/12/2028
N/A
2615000.00000000
PA
701654.24000000
0.048623541266
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 2.000000% 01/09/2038
040114HU7
1364000.00000000
PA
USD
513000.40000000
0.035550125257
Long
DBT
NUSS
AR
N
2
2038-01-09
Fixed
2.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.000000% 01/30/2030
195325DR3
945000.00000000
PA
USD
813474.90000000
0.056372538088
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.810000% 09/14/2050
N/A
5900000.00000000
PA
993994.03000000
0.068882231420
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
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
-58035.67000000
-0.00402178114
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
-58035.67000000
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 3.700000% 01/30/2050
21987BBA5
452000.00000000
PA
USD
405294.26000000
0.028086258234
Long
DBT
NUSS
CL
N
2
2050-01-30
Fixed
3.70000000
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
27360000.00000000
PA
11055.53000000
0.000766130935
Long
DBT
USGA
RU
N
2
2030-07-17
Fixed
2.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.900000% 11/30/2026
N/A
800000.00000000
PA
194119.51000000
0.013452178390
Long
DBT
NUSS
MY
N
2
2026-11-30
Fixed
3.90000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.750000% 09/01/2027
N/A
580000.00000000
PA
USD
245351.60000000
0.017002482087
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 2.252000% 09/29/2032
698299BN3
1814000.00000000
PA
USD
1603231.34000000
0.111101424001
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25200000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 8.000000% 11/26/2029
N/A
1603000.00000000
PA
USD
1608802.86000000
0.111487521622
Long
DBT
NUSS
AO
N
2
2029-11-26
Fixed
8.00000000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 9.375000% 05/08/2048
N/A
3350000.00000000
PA
USD
3290035.00000000
0.227994279050
Long
DBT
NUSS
AO
N
2
2048-05-08
Fixed
9.37500000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.850000% 01/27/2045
P3579EBE6
1386000.00000000
PA
USD
1372153.86000000
0.095088116101
Long
DBT
NUSS
DO
N
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.890000% 11/18/2031
N/A
53550000.00000000
PA
8494372.32000000
0.588646714422
Long
DBT
NUSS
CN
N
2
2031-11-18
Fixed
2.89000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-18403.25000000
-0.00127531643
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
16368499.00000000
ZAR
1091670.59000000
USD
2022-06-15
-18403.25000000
N
N
N
SHIMAO GROUP HOLDINGS LIMITED
254900WTJ6B5CU69ZD26
SHIMAO GROUP HOLDINGS LTD 5.200000% 01/30/2025
N/A
1406000.00000000
PA
USD
383135.00000000
0.026550656179
Long
DBT
NUSS
CN
N
2
2025-01-30
Fixed
5.20000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/11/2025
N/A
443000.00000000
PA
469693.57000000
0.032549029681
Long
DBT
NUSS
EG
N
2
2025-04-11
Fixed
4.75000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
21792.40000000
0.001510179231
N/A
DFE
MX
N
2
STATE STREET GLOBAL MARKETS, LLC
N/A
1068610.39000000
USD
22028341.00000000
MXN
2022-06-15
21792.40000000
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT 7.158% 03/12/2045
N/A
500000.00000000
PA
USD
493755.00000000
0.034216449141
Long
DBT
NUSS
CR
N
2
2045-03-12
Fixed
7.15800000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 9.000000% 01/31/2040
N/A
34150329.00000000
PA
2040723.17000000
0.141418923472
Long
DBT
NUSS
ZA
N
2
2040-01-31
Fixed
9.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.899000% 11/16/2027
N/A
2250000.00000000
PA
543980.17000000
0.037696974857
Long
DBT
NUSS
MY
N
2
2027-11-16
Fixed
3.89900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-04-20
N/A
1.00000000
NC
USD
10894.89000000
0.000754998834
N/A
DFE
US
N
2
JP MORGAN
N/A
75510556183.00000000
IDR
5270507.17000000
USD
2022-04-20
10894.89000000
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 8.250000% 05/21/2031
917288BM3
13839901.00000000
PA
321975.77000000
0.022312417209
Long
DBT
NUSS
UY
N
2
2031-05-21
Fixed
8.25000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.650000% 02/26/2030
N/A
1870000.00000000
PA
USD
217387.50000000
0.015064613700
Long
DBT
NUSS
LB
N
2
2030-02-26
Fixed
6.65000000
Y
N
N
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 6.875000% 02/28/2023
N/A
409000.00000000
PA
USD
61350.00000000
0.004251459033
Long
DBT
NUSS
BY
N
2
2023-02-28
Fixed
6.87500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.900000% 07/23/2031
N/A
110487000.00000000
PA
40250.27000000
0.002789280749
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/RON SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-39763.90000000
-0.00275557606
N/A
DFE
US
N
2
JP MORGAN
N/A
5968000.00000000
RON
1297814.50000000
USD
2022-05-16
-39763.90000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.000000% 07/09/2029
040114HX1
1117484.00000000
PA
USD
381699.01000000
0.026451144318
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
122088.80000000
0.008460562862
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
17381677.52000000
EGP
1068326.83000000
USD
2022-06-15
122088.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-28
N/A
1.00000000
NC
USD
35334.47000000
0.002448623498
N/A
DFE
US
N
2
JP MORGAN
N/A
1096261.79000000
EUR
1255800.77000000
USD
2022-04-28
35334.47000000
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 2.500000% 07/09/2041
040114HV5
3835000.00000000
PA
USD
1351492.35000000
0.093656305778
Long
DBT
NUSS
AR
N
2
2041-07-09
Fixed
2.50000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 10/04/2047
80413TAF6
3598000.00000000
PA
USD
3860279.81000000
0.267511352375
Long
DBT
NUSS
SA
N
2
2047-10-04
Fixed
4.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
2601.83000000
0.000180302749
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
28660000.00000000
MXN
1421271.72000000
USD
2022-06-15
2601.83000000
N
N
N
BRK: HSBC BANK
N/A
BRK: HSBC BANK PAY: 7.345
N/A
15930397.00000000
NC
-42845.95000000
-0.00296915731
N/A
DIR
XX
N
2
BRK: HSBC BANK
N/A
Y
2031-11-10
0.00000000
MXN
0.00000000
MXN
-15930397.00000000
MXN
-42845.95000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
81831.02000000
0.005670761681
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
12658608.00000000
EUR
14166701.39000000
USD
2022-04-05
81831.02000000
N
N
N
TENCENT HOLDINGS LIMITED
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD MTN 3.240000% 06/03/2050
88032WAV8
450000.00000000
PA
USD
349115.86000000
0.024193182992
Long
DBT
NUSS
CN
N
2
2050-06-03
Fixed
3.24000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-528.80000000
-0.00003664501
N/A
DFE
TH
N
2
STANDARD BANK
N/A
865398.94000000
USD
28722763.97000000
THB
2022-06-15
-528.80000000
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 13.000000% 01/25/2031
N/A
17744000.00000000
PA
565738.49000000
0.039204792398
Long
DBT
NUSS
ZM
N
2
2031-01-25
Fixed
13.00000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 4.000000% 04/28/2051
N/A
124570000.00000000
PA
267589.00000000
0.018543499122
Long
DBT
NUSS
HU
N
2
2051-04-28
Fixed
4.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-29.00000000
NC
-4157884.19000000
-0.28813487038
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-BOBL Future Jun 2022
2022-06-11
-4236507.38000000
EUR
78623.19000000
N
N
N
Qatar Energy
254900QTESJKJ3P87J26
QATAR ENERGY 2.250000% 07/12/2031
M8180AAD0
2776000.00000000
PA
USD
2554308.64000000
0.177009593165
Long
DBT
NUSS
QA
N
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.450000% 12/17/2024
N/A
85200000.00000000
PA
2581082.21000000
0.178864959685
Long
DBT
NUSS
TH
N
2
2024-12-17
Fixed
1.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-4059.72000000
-0.00028133224
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
11210000.00000000
CNY
1755366.71000000
USD
2022-06-15
-4059.72000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 4.500000% 07/16/2025
N/A
633644000.00000000
PA
230835.70000000
0.015996552924
Long
DBT
NUSS
RU
N
2
2025-07-16
Fixed
4.50000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-05-23
N/A
1.00000000
NC
-859.33000000
-0.00005955022
N/A
DFE
KR
N
2
J P MORGAN CHASE BANK
N/A
346638.85000000
USD
419589000.00000000
KRW
2022-05-23
-859.33000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 3.600000% 01/15/2072
715638DW9
326000.00000000
PA
USD
280148.10000000
0.019413825107
Long
DBT
NUSS
PE
N
2
2072-01-15
Fixed
3.60000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-04-18
N/A
1.00000000
NC
12656.33000000
0.000877063871
N/A
DFE
SG
N
2
GOLDMAN, SACHS & CO.
N/A
2055149.42000000
USD
2798297.00000000
SGD
2022-04-18
12656.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-2617.62000000
-0.00018139697
N/A
DFE
US
N
2
JP MORGAN
N/A
263000.00000000
RON
56327.27000000
USD
2022-05-16
-2617.62000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.020000% 05/27/2031
N/A
5100000.00000000
PA
813237.38000000
0.056356078324
Long
DBT
NUSS
CN
N
2
2031-05-27
Fixed
3.02000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 1.950000% 11/17/2036
715638DX7
750000.00000000
PA
722578.89000000
0.050073586780
Long
DBT
NUSS
PE
N
2
2036-11-17
Fixed
1.95000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 7.750000% 01/17/2038
Y20721AL3
1089000.00000000
PA
USD
1490804.31000000
0.103310406686
Long
DBT
NUSS
ID
N
2
2038-01-17
Fixed
7.75000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 2.252000% 09/29/2032
698299BN3
1100000.00000000
PA
USD
972191.00000000
0.067371315546
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25200000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 12/17/2028
N/A
36796000.00000000
PA
1154191.11000000
0.079983638475
Long
DBT
NUSS
TH
N
2
2028-12-17
Fixed
2.87500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
4922400000.00000000
PA
1227141.85000000
0.085039010643
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 7.875000% 02/16/2032
N/A
1823000.00000000
PA
USD
1723281.90000000
0.119420740019
Long
DBT
NUSS
NG
N
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A 6.876000% 05/21/2029
90372UAR5
281000.00000000
PA
USD
116312.64000000
0.008060284009
Long
DBT
NUSS
UA
N
2
2029-05-21
Fixed
6.87600000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-04-21
N/A
1.00000000
NC
24434.31000000
0.001693259461
N/A
DFE
TR
N
2
GOLDMAN, SACHS & CO.
N/A
441174.78000000
USD
6911003.00000000
TRY
2022-04-21
24434.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-1411.86000000
-0.00009783968
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
116948902.26000000
INR
1528815.76000000
USD
2022-06-15
-1411.86000000
N
N
N
BANK RAZVITIYA RESPUBLIKI BELARUS' OAO
253400D4JRB0M70A0687
DEVELOPMENT BANK BELARUS 6.750000% 05/02/2024
N/A
1172000.00000000
PA
USD
110871.20000000
0.007683200729
Long
DBT
NUSS
BY
N
2
2024-05-02
Fixed
6.75000000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 14.250000% 06/22/2034
V3843WBS8
4500000000.00000000
PA
1249632.33000000
0.086597565726
Long
DBT
NUSS
UG
N
2
2034-06-22
Fixed
14.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
52614870.00000000
NC
-71832.10000000
-0.00497785216
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-04-13
0.00000000
MXN
0.00000000
MXN
-52614870.00000000
MXN
-71832.10000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.500000% 02/15/2048
P3579EBY2
2176000.00000000
PA
USD
2067221.76000000
0.143255234308
Long
DBT
NUSS
DO
N
2
2048-02-15
Fixed
6.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2029
N/A
10876000000.00000000
PA
824251.24000000
0.057119321593
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
24642000.00000000
PA
745301.03000000
0.051648195539
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
3.30000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.300000% 09/30/2033
03846JAE0
326000.00000000
PA
USD
284313.73000000
0.019702496750
Long
DBT
NUSS
EG
N
2
2033-09-30
Fixed
7.30000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.200000% 05/11/2027
Y8137FAH1
910000.00000000
PA
USD
427700.00000000
0.029638940968
Long
DBT
NUSS
LK
N
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN 3.900000% 10/19/2031
N/A
505000.00000000
PA
USD
446319.00000000
0.030929208543
Long
DBT
NUSS
UZ
N
2
2031-10-19
Fixed
3.90000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT INTERNATIONAL BOND 144A 2.125000% 09/22/2031
445545AM8
1183000.00000000
PA
USD
1069176.47000000
0.074092256907
Long
DBT
NUSS
HU
N
2
2031-09-22
Fixed
2.12500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.600300% 03/01/2029
03846JW71
1167000.00000000
PA
USD
1106922.84000000
0.076708021303
Long
DBT
NUSS
EG
N
2
2029-03-01
Fixed
7.60030000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 3.750000% 09/12/2031
105756CE8
3239000.00000000
PA
USD
2923197.50000000
0.202573014127
Long
DBT
NUSS
BR
N
2
2031-09-12
Fixed
3.75000000
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
397327.14000000
0.027534149281
Long
DBT
NUSS
AO
N
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
REPUBLIC OF COSTA RICA 7% 04/04/2044
N/A
230000.00000000
PA
USD
224827.30000000
0.015580180203
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
11518838.00000000
NC
-136263.85000000
-0.00944287165
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-11518838.00000000
BRL
-136263.85000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.050000% 11/29/2029
N/A
31030000.00000000
PA
1055323.90000000
0.073132295475
Long
DBT
NUSS
CZ
N
2
2029-11-29
Fixed
0.05000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-21
N/A
1.00000000
NC
4629.52000000
0.000320818494
N/A
DFE
TH
N
2
J P MORGAN CHASE BANK
N/A
1529458.04000000
USD
50938600.00000000
THB
2022-06-21
4629.52000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-06-15
N/A
1.00000000
NC
1798.49000000
0.000124632543
N/A
DFE
SG
N
2
CITIGROUP GLOBAL MARKETS
N/A
715135.13000000
USD
970000.00000000
SGD
2022-06-15
1798.49000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.750000% 11/29/2027
N/A
1123000.00000000
PA
USD
130548.75000000
0.009046824163
Long
DBT
NUSS
LB
N
2
2027-11-29
Fixed
6.75000000
Y
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
449690.00000000
0.031162813570
Long
DBT
NUSS
ID
N
2
2027-01-30
Fixed
6.37500000
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
232176.47000000
0.016089466188
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
120.82000000
0.000008372637
N/A
DFE
CO
N
2
GOLDMAN, SACHS & CO.
N/A
427206.44000000
USD
1618522848.00000000
COP
2022-06-15
120.82000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVT INTL BOND 3.250000% 10/19/2023
N/A
1592000.00000000
PA
USD
1613232.36000000
0.111794479043
Long
DBT
NUSS
CN
N
2
2023-10-19
Fixed
3.25000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LIMITED
5493003UOETFYRONLG31
RELIANCE INDUSTRIES LTD 144A 3.625000% 01/12/2052
759470BD8
671000.00000000
PA
USD
594658.91000000
0.041208932265
Long
DBT
NUSS
IN
N
2
2052-01-12
Fixed
3.62500000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.300000% 01/21/2041
P3579ECJ4
2844000.00000000
PA
USD
2467198.44000000
0.170972992567
Long
DBT
NUSS
DO
N
2
2041-01-21
Fixed
5.30000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
77381.47000000
0.005362414826
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
4311489.22000000
EUR
21655886.00000000
RON
2022-04-06
77381.47000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-06-15
N/A
1.00000000
NC
6028.13000000
0.000417739979
N/A
DFE
CN
N
2
CITIGROUP GLOBAL MARKETS
N/A
1199359.47000000
USD
7680000.00000000
CNY
2022-06-15
6028.13000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.750000% 01/17/2048
N/A
40000.00000000
PA
USD
39904.80000000
0.002765340218
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
AZARBAYJAN RESPUBLIKASI DOVLAT NEFT SHIRKATI
2549002HARR1VE257O76
STATE OIL CO OF THE AZER 6.95% 03/18/2030
N/A
2380000.00000000
PA
USD
2623950.00000000
0.181835630476
Long
DBT
NUSS
AZ
N
2
2030-03-18
Fixed
6.95000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-04
N/A
1.00000000
NC
-1008.78000000
-0.00006990687
N/A
DFE
XX
N
2
JP MORGAN
N/A
384526.80000000
USD
344690.66000000
EUR
2022-04-04
-1008.78000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 6.375000% 02/11/2027
37443GAG6
451000.00000000
PA
USD
337564.48000000
0.023392690427
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.37500000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-07-28
N/A
1.00000000
NC
4467.89000000
0.000309617788
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
1397244.67000000
EUR
7062373.20000000
RON
2022-07-28
4467.89000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.418000% 08/15/2022
N/A
2410000.00000000
PA
576617.95000000
0.039958721958
Long
DBT
NUSS
MY
N
2
2022-08-15
Fixed
3.41800000
N
N
N
N
N
N
Republique Gabonaise
N/A
GABON GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 11/24/2031
362420AE1
866000.00000000
PA
USD
830649.88000000
0.057562737336
Long
DBT
NUSS
GA
N
2
2031-11-24
Fixed
7.00000000
N
N
N
N
N
N
The Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXPORT-IMPORT BANK OF KOREA MTN 5.750000% 03/05/2024
Y2R832FT7
12200000000.00000000
PA
856484.60000000
0.059353043020
Long
DBT
NUSS
KR
N
2
2024-03-05
Fixed
5.75000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 8.125000% 04/28/2034
698299AT1
478000.00000000
PA
USD
659644.78000000
0.045712351402
Long
DBT
NUSS
PA
N
2
2034-04-28
Fixed
8.12500000
N
N
N
N
N
N
6 MONTHS FBIL MIBOR 02/04/2027
N/A
6 MONTHS FBIL MIBOR 02/04/2027 PAY: 5.87 FIXED
N/A
504947603.00000000
NC
-2041.46000000
-0.00014146998
N/A
DIR
XX
N
2
6 MONTHS FBIL MIBOR 02/04/2027
N/A
Y
2027-02-04
0.00000000
INR
0.00000000
INR
-504947603.00000000
INR
-2041.46000000
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.500000% 03/08/2047
682051AF4
1823000.00000000
PA
USD
1784374.28000000
0.123654346389
Long
DBT
NUSS
OM
N
2
2047-03-08
Fixed
6.50000000
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
287552.16000000
0.019926914883
Long
DBT
NUSS
ID
N
2
2048-11-15
Fixed
6.75700000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.500000% 01/31/2047
N/A
2691000.00000000
PA
USD
2289448.98000000
0.158655233034
Long
DBT
NUSS
EG
N
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
71173.34000000
0.004932201128
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
12661505.02000000
EGP
760450.75000000
USD
2022-06-15
71173.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-45549.78000000
-0.00315652850
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
N/A
64480000.00000000
MXN
3146209.96000000
USD
2022-06-15
-45549.78000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.600000% 02/10/2048
91087BAD2
394000.00000000
PA
USD
374721.58000000
0.025967619334
Long
DBT
NUSS
MX
N
2
2048-02-10
Fixed
4.60000000
N
N
N
N
N
N
National company QazaqGaz JSC
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 144A 4.375000% 09/26/2027
48668NAA9
165000.00000000
PA
USD
149011.50000000
0.010326263858
Long
DBT
NUSS
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-4224.04000000
-0.00029271936
N/A
DFE
US
N
2
JP MORGAN
N/A
288975227.00000000
CLP
358739.25000000
USD
2022-06-13
-4224.04000000
N
N
N
Republic of Georgia
254900MHQHBC58M2GR84
GEORGIA GOVERNMENT INTERNATIONAL BOND 144A 2.750000% 04/22/2026
37311PAB6
499000.00000000
PA
USD
422015.57000000
0.029245018861
Long
DBT
NUSS
GE
N
2
2026-04-22
Fixed
2.75000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2025
EK0169285
21000000.00000000
PA
4264348.97000000
0.295512713097
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
10.00000000
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
361702.44000000
0.025065413297
Long
DBT
NUSS
TR
N
2
2026-01-08
Fixed
6.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.625000% 02/26/2044
195325BR5
132000.00000000
PA
USD
119654.04000000
0.008291837802
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 01/25/2051
68205LAT0
448000.00000000
PA
USD
458084.48000000
0.031744537903
Long
DBT
NUSS
OM
N
2
2051-01-25
Fixed
7.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
1851.64000000
0.000128315755
N/A
DFE
XX
N
2
JP MORGAN
N/A
199317.81000000
USD
180696.82000000
EUR
2022-04-28
1851.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-1540.09000000
-0.00010672582
N/A
DFE
US
N
2
JP MORGAN
N/A
91079365.00000000
CLP
112858.87000000
USD
2022-06-13
-1540.09000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.065000% 06/15/2050
N/A
2100000.00000000
PA
460389.32000000
0.031904259710
Long
DBT
NUSS
MY
N
2
2050-06-15
Fixed
4.06500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2029
N/A
48720000000.00000000
PA
3692306.05000000
0.255871033561
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN22 FINANCIAL COMMODITY FUTURE.
N/A
77.00000000
NC
USD
9461375.00000000
0.655658487508
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Jun 2022
2022-06-24
9741564.87000000
USD
-280189.87000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.800000% 08/17/2023
N/A
25274000.00000000
PA
6135179.03000000
0.425158309802
Long
DBT
NUSS
MY
N
2
2023-08-17
Fixed
3.80000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
12216000000.00000000
PA
864931.07000000
0.059938370179
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.500000% 01/31/2047
N/A
279000.00000000
PA
USD
237367.62000000
0.016449204762
Long
DBT
NUSS
EG
N
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
GUATEMALA GOVERNMENT BOND 144A 4.650000% 10/07/2041
401494AU3
507000.00000000
PA
USD
471515.07000000
0.032675256781
Long
DBT
NUSS
GT
N
2
2041-10-07
Fixed
4.65000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 2.500000% 04/16/2025
N/A
1853000.00000000
PA
USD
1842956.74000000
0.127714019229
Long
DBT
NUSS
AE
N
2
2025-04-16
Fixed
2.50000000
N
N
N
N
N
N
CHINA MINMETALS CORPORATION
3003002ULBI4T3DT7Z09
CHINA MINMETALS CORP 3.750000% MATURITY: PERPETUAL
N/A
1647000.00000000
PA
USD
1649944.89000000
0.114338599944
Long
DBT
NUSS
CN
N
2
2170-05-13
Fixed
3.75000000
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
303527.00000000
0.021033946306
Long
DBT
NUSS
CL
N
2
2031-09-16
Fixed
3.45000000
N
N
N
N
N
N
Financiera de Desarrollo Territorial S.A.
54930036EU95I2CWYJ76
FINDETER 7.875000% 08/12/2024
P40420AA2
884000000.00000000
PA
223607.88000000
0.015495676304
Long
DBT
NUSS
CO
N
2
2024-08-12
Fixed
7.87500000
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
213365.44000000
0.014785891234
Long
DBT
NUSS
CL
N
2
2029-09-30
Fixed
3.00000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 4.750000% 01/14/2050
105756CB4
1868000.00000000
PA
USD
1563964.32000000
0.108380280938
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.720000% 04/12/2051
N/A
4000000.00000000
PA
665845.58000000
0.046142057142
Long
DBT
NUSS
CN
N
2
2051-04-12
Fixed
3.72000000
N
N
N
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2022-04-18
N/A
1.00000000
NC
191622.82000000
0.013279161679
N/A
DFE
RU
N
2
JP MORGAN
N/A
747741.23000000
USD
78886700.00000000
RUB
2022-04-18
191622.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-04-11
N/A
1.00000000
NC
USD
-2199.83000000
-0.00015244477
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
14472154.00000000
THB
433078.89000000
USD
2022-04-11
-2199.83000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-05-31
N/A
1.00000000
NC
3489.73000000
0.000241832830
N/A
DFE
ID
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
499890.47000000
USD
7230915720.00000000
IDR
2022-05-31
3489.73000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-06-30
N/A
1.00000000
NC
-1248.18000000
-0.00008649692
N/A
DFE
XX
N
2
JP MORGAN
N/A
1448116.43000000
RON
287664.12000000
EUR
2022-06-30
-1248.18000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 03/26/2031
N/A
20111800000.00000000
PA
4510615.80000000
0.312578619192
Long
DBT
NUSS
CO
N
2
2031-03-26
Fixed
7.00000000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 8.250000% 02/28/2048
N/A
684000.00000000
PA
USD
607132.08000000
0.042073303435
Long
DBT
NUSS
KE
N
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
8000000.00000000
NC
-9153.76000000
-0.00063434124
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-12-03
0.00000000
MXN
0.00000000
MXN
-8000000.00000000
MXN
-9153.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-28
N/A
1.00000000
NC
USD
7866.49000000
0.000545135451
N/A
DFE
US
N
2
JP MORGAN
N/A
244323.80000000
EUR
279871.74000000
USD
2022-04-28
7866.49000000
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 5.625000% 06/19/2047
P7808BAB3
3688000.00000000
PA
USD
3097920.00000000
0.214681010067
Long
DBT
NUSS
PE
N
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 06/03/2027
N/A
19400000.00000000
PA
933645.67000000
0.064700184472
Long
DBT
NUSS
MX
N
2
2027-06-03
Floating
7.49999880
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
8964.45000000
0.000621222362
N/A
DFE
XX
N
2
JP MORGAN
N/A
437468.14000000
USD
401000.00000000
EUR
2022-04-28
8964.45000000
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
SASOL FINANCING USA LLC 4.375000% 09/18/2026
80386WAC9
351000.00000000
PA
USD
335205.00000000
0.023229182154
Long
DBT
CORP
ZA
N
2
2026-09-18
Fixed
4.37500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 6.400000% 01/20/2040
74727PAL5
547000.00000000
PA
USD
730709.95000000
0.050637056519
Long
DBT
NUSS
QA
N
2
2040-01-20
Fixed
6.40000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 3.550000% 03/31/2032
455780DJ2
249000.00000000
PA
USD
255686.88000000
0.017718700824
Long
DBT
NUSS
ID
N
2
2032-03-31
Fixed
3.55000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 01/01/2025
N/A
34000000.00000000
PA
5298195.90000000
0.367156688147
Long
DBT
NUSS
BR
N
2
2025-01-01
None
0.00000000
N
N
N
N
N
N
ANGLOGOLD ASHANTI HOLDINGS PLC
213800745ZIXC4L6A131
ANGLOGOLD ASHANTI HOLDINGS PLC 3.750000% 10/01/2030
03512TAE1
229000.00000000
PA
USD
214229.50000000
0.014845769240
Long
DBT
NUSS
IM
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
Leader Goal International Limited
N/A
LEADER GOAL INTERNATIONAL LTD MTN 4.250000% MATURITY: PERPETUAL
N/A
212000.00000000
PA
USD
212535.47000000
0.014728375611
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/BRL SETTLE 2022-04-04
N/A
1.00000000
NC
USD
-166427.14000000
-0.01153314046
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
6585466.00000000
BRL
1219417.83000000
USD
2022-04-04
-166427.14000000
N
N
N
CSN Inova Ventures.
222100R8R68DM7VM3661
CSN INOVA VENTURES 144A 6.750000% 01/28/2028
12642KAB0
592000.00000000
PA
USD
613460.00000000
0.042511818392
Long
DBT
NUSS
BR
N
2
2028-01-28
Fixed
6.75000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 5.750000% 12/31/2032
N/A
23925.00000000
PA
USD
23418.08000000
0.001622836312
Long
DBT
NUSS
CI
N
2
2032-12-31
Fixed
5.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 7.903000% 02/21/2048
N/A
2757000.00000000
PA
USD
2233693.83000000
0.154791488355
Long
DBT
NUSS
EG
N
2
2048-02-21
Fixed
7.90300000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
16624088.00000000
NC
-59604.50000000
-0.00413049861
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-12-08
0.00000000
MXN
0.00000000
MXN
-16624088.00000000
MXN
-59604.50000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 7.750000% 01/24/2023
P01012AJ5
1120000.00000000
PA
USD
911344.00000000
0.063154713626
Long
DBT
NUSS
SV
N
2
2023-01-24
Fixed
7.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.625000% 06/16/2023
N/A
30000000.00000000
PA
934362.74000000
0.064749876301
Long
DBT
NUSS
TH
N
2
2023-06-16
Fixed
3.62500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
84640000.00000000
PA
3555554.73000000
0.246394380999
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
55848000000.00000000
PA
4397925.50000000
0.304769357678
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
N
N
N
N
N
N
The Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
JORDAN GOVERNMENT INTERNATIONAL BOND 144A 5.850000% 07/07/2030
418097AL5
559000.00000000
PA
USD
520183.04000000
0.036047870973
Long
DBT
NUSS
JO
N
2
2030-07-07
Fixed
5.85000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.254000% 05/31/2035
N/A
11099000.00000000
PA
2630027.01000000
0.182256757763
Long
DBT
NUSS
MY
N
2
2035-05-31
Fixed
4.25400000
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
1815798.19000000
0.125831974197
Long
DBT
NUSS
MX
N
2
2025-11-25
Fixed
7.35000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-06-30
N/A
1.00000000
NC
9225.16000000
0.000639289157
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
461963.14000000
EUR
2357980.00000000
RON
2022-06-30
9225.16000000
N
N
N
SA GLOBAL SUKUK LIMITED
5493007DFAVKU7UOGR47
SA GLOBAL SUKUK LTD 1.602000% 06/17/2026
N/A
1680000.00000000
PA
USD
1578796.80000000
0.109408148601
Long
DBT
NUSS
SA
N
2
2026-06-17
Fixed
1.60200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-05
N/A
1.00000000
NC
USD
-13312.38000000
-0.00092252711
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
958391.00000000
EUR
1053061.82000000
USD
2022-04-05
-13312.38000000
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
44.00000000
NC
USD
7793500.00000000
0.540077358988
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2022
2022-06-24
8105775.04000000
USD
-312275.04000000
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
SENEGAL GOVERNMENT INTERNATIONAL BOND 144A 4.750000% 03/13/2028
N/A
113000.00000000
PA
121956.92000000
0.008451423784
Long
DBT
NUSS
SN
N
2
2028-03-13
Fixed
4.75000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 2.659000% 05/24/2031
91087BAM2
339000.00000000
PA
USD
308557.80000000
0.021382572877
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-04-13
N/A
1.00000000
NC
2573.05000000
0.000178308340
N/A
DFE
CO
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
457185.02000000
USD
1727245000.00000000
COP
2022-04-13
2573.05000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 7.450000% 04/30/2044
25714PCF3
687000.00000000
PA
USD
724785.00000000
0.050226466752
Long
DBT
NUSS
DO
N
2
2044-04-30
Fixed
7.45000000
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
604098.63000000
0.041863090095
Long
DBT
NUSS
BL
N
2
2038-02-20
Fixed
5.00000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 4.340000% 03/07/2042
168863DY1
547000.00000000
PA
USD
561533.79000000
0.038913413265
Long
DBT
NUSS
CL
N
2
2042-03-07
Fixed
4.34000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT BOND 16.300000% 04/09/2024
N/A
15034000.00000000
PA
840654.11000000
0.058256014826
Long
DBT
NUSS
EG
N
2
2024-04-09
Fixed
16.30000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.250000% 10/22/2031
N/A
325910000.00000000
PA
793202.37000000
0.054967683471
Long
DBT
NUSS
HU
N
2
2031-10-22
Fixed
3.25000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.150000% 11/20/2059
03846JX39
406000.00000000
PA
USD
334341.81000000
0.023169364437
Long
DBT
NUSS
EG
N
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 144 5.000000% 10/01/2028
N/A
1115000000.00000000
PA
1357279.07000000
0.094057316422
Long
DBT
NUSS
CL
N
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-04-13
N/A
1.00000000
NC
-3211.21000000
-0.00022253182
N/A
DFE
TR
N
2
JP MORGAN
N/A
862179.53000000
USD
12678350.00000000
TRY
2022-04-13
-3211.21000000
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
758445.00000000
0.052559052099
Long
DBT
NUSS
MX
N
2
2029-11-19
Fixed
5.45000000
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
51494.10000000
0.003568460580
Long
DBT
NUSS
SV
N
2
2025-01-30
Fixed
5.87500000
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
64125.00000000
0.004443762192
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2022-04-11
N/A
1.00000000
NC
8959.39000000
0.000620871712
N/A
DFE
PH
N
2
JP MORGAN
N/A
796930.57000000
USD
41723300.00000000
PHP
2022-04-11
8959.39000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 3.230000% 07/28/2121
715638DR0
2903000.00000000
PA
USD
2203522.15000000
0.152700638127
Long
DBT
NUSS
PE
N
2
2121-07-28
Fixed
3.23000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-14194.74000000
-0.00098367327
N/A
DFE
US
N
2
JP MORGAN
N/A
16484900.00000000
MXN
806413.46000000
USD
2022-05-16
-14194.74000000
N
N
N
Azarbayjan Respublikasi
549300P74FF45UQVU281
REPUBLIC OF AZERBAIJAN 5.125000% 09/01/2029
N/A
1945000.00000000
PA
USD
1992681.17000000
0.138089688021
Long
DBT
NUSS
AZ
N
2
2029-09-01
Fixed
5.12500000
N
N
N
N
N
N
Perusahaan Penerbit Surat Berharga Syariah Negara Indonesia III
254900G208H6Q0L5B953
PERUSAHAAN PENERBIT SBSN INDONESIA III 4.325000% 05/28/2025
71567RAD8
1770000.00000000
PA
USD
1847667.60000000
0.128040474459
Long
DBT
NUSS
ID
N
2
2025-05-28
Fixed
4.32500000
N
N
N
N
N
N
KONDOR FINANCE PLC
213800PUC1T9GI6EIO63
NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC 7.125000% 07/19/2024
N/A
720000.00000000
PA
240331.12000000
0.016654570677
Long
DBT
NUSS
UA
N
2
2024-07-19
Fixed
7.12500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 02/15/2031
N/A
18789000000.00000000
PA
1285736.67000000
0.089099540012
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2022-06-15
N/A
1.00000000
NC
26158.12000000
0.001812716798
N/A
DFE
RO
N
2
JP MORGAN
N/A
701301.50000000
USD
3260000.00000000
RON
2022-06-15
26158.12000000
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 4.500000% 05/03/2026
P5015VAF3
649000.00000000
PA
USD
657891.30000000
0.045590837981
Long
DBT
NUSS
GT
N
2
2026-05-03
Fixed
4.50000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
119791.66000000
0.008301374653
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
N/A
2817636.77000000
USD
43313600.00000000
ZAR
2022-06-15
119791.66000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2026
N/A
26907000.00000000
PA
5683899.96000000
0.393885376166
Long
DBT
NUSS
PL
N
2
2026-07-25
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-05-16
N/A
1.00000000
NC
USD
-35190.32000000
-0.00243863412
N/A
DFE
US
N
2
JP MORGAN
N/A
5456000.00000000
RON
1187636.05000000
USD
2022-05-16
-35190.32000000
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE 5.333% 02/15/28
G13201AA9
326000.00000000
PA
USD
329263.26000000
0.022817428866
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICAN UDIBONOS 3.5% 11/16/2023
N/A
106653620.02000000
PA
5375466.53000000
0.372511421935
Long
DBT
NUSS
MX
N
2
2023-11-16
Fixed
3.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
6620000.00000000
PA
1565875.19000000
0.108512701240
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-04-21
N/A
1.00000000
NC
16837.83000000
0.001166835280
N/A
DFE
TR
N
2
GOLDMAN, SACHS & CO.
N/A
580365.13000000
USD
8864241.60000000
TRY
2022-04-21
16837.83000000
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA S 5.50% 04/12/2037
N/A
740000.00000000
PA
USD
45325.00000000
0.003140951600
Long
DBT
CORP
VE
N
2
2037-04-12
Fixed
5.50000000
Y
N
N
N
N
N
2022-03-31
SEI INSTITUTIONAL INTERNATIONAL TRUST
Peter Rodriguez
Peter Rodriguez
CFO