0001752724-23-139599.txt : 20230622 0001752724-23-139599.hdr.sgml : 20230622 20230622132603 ACCESSION NUMBER: 0001752724-23-139599 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20230428 FILED AS OF DATE: 20230622 DATE AS OF CHANGE: 20230622 PERIOD START: 20231031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PRUDENTIAL WORLD FUND, INC. CENTRAL INDEX KEY: 0000741350 IRS NUMBER: 133204887 STATE OF INCORPORATION: MD FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-03981 FILM NUMBER: 231032590 BUSINESS ADDRESS: STREET 1: 655 BROAD STREET STREET 2: 17TH FLOOR CITY: NEWARK STATE: NJ ZIP: 07102 BUSINESS PHONE: (973) 367-8982 MAIL ADDRESS: STREET 1: 655 BROAD STREET STREET 2: 17TH FLOOR CITY: NEWARK STATE: NJ ZIP: 07102 FORMER COMPANY: FORMER CONFORMED NAME: PRUDENTIAL WORLD FUND INC DATE OF NAME CHANGE: 19960807 FORMER COMPANY: FORMER CONFORMED NAME: PRUDENTIAL GLOBAL FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: PRUDENTIAL BACHE GLOBAL FUND INC DATE OF NAME CHANGE: 19911230 0000741350 S000031677 PGIM Emerging Markets Debt Local Currency Fund C000098570 Class A EMDAX C000098580 Class C EMDCX C000098581 Class R6 EMDQX C000098582 Class Z EMDZX NPORT-P 1 primary_doc.xml NPORT-P false 0000741350 XXXXXXXX S000031677 C000098581 C000098582 C000098580 C000098570 Prudential World Fund, Inc. 811-03981 0000741350 5493003FFF3WYM74WH03 655 Broad Street Newark 07102-4077 1-800-225-1852 PGIM Emerging Markets Debt Local Currency Fund S000031677 AWZ6MOVC3OARNLHKRS70 2023-10-31 2023-04-28 N 50500389.48 1202504.42 49297885.06 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 939485.86000000 BRL CLP CNY COP CZK HUF IDR MXN MYR PEN PLN RON THB USD ZAR N J.P. Morgan EMBI Global Divers JPEIDIVR Index UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC -6286.29000000 -0.01275164237 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-05-10 0.00000000 USD 0.00000000 USD -270894.00000000 PLN -6286.29000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 THB/USD FORWARD 000000000 1.00000000 NC USD 4211.34000000 0.008542638279 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -154002.00000000 USD 5373460.88000000 THB 2023-06-21 4211.34000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 USD/ZAR FORWARD 000000000 1.00000000 NC USD -363.83000000 -0.00073802354 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -601837.70000000 ZAR 32373.00000000 USD 2023-06-21 -363.83000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/EGP FORWARD 000000000 1.00000000 NC USD -136.89000000 -0.00027767925 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -83357.00000000 USD 3057534.76000000 EGP 2023-07-26 -136.89000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 USD/KRW FORWARD 000000000 1.00000000 NC USD -8581.72000000 -0.01740788674 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -322000.00000000 USD 417952780.00000000 KRW 2023-06-21 -8581.72000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 Malaysia Government Bond 000000000 755000.00000000 PA 185264.02000000 0.375805209035 Long DBT NUSS MY N 2 2042-10-15 Fixed 4.69600000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC -7809.00000000 -0.01584043613 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-01-02 0.00000000 USD 0.00000000 USD 2676543.68000000 BRL -7809.00000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC -2845.89000000 -0.00577284400 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 0.00000000 USD 0.00000000 USD 1687947.27000000 BRL -2845.89000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD/HUF FORWARD 000000000 1.00000000 NC USD 6999.55000000 0.014198479288 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -474361.85000000 USD 166975425.00000000 HUF 2023-07-19 6999.55000000 N N N PHILIPPINE GOVERNMENT 529900RAHBALMYIJ3T08 Philippine Government Bond 000000000 5600000.00000000 PA 95213.04000000 0.193138184090 Long DBT NUSS PH N 2 2025-09-09 Fixed 3.62500000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 COP/USD FORWARD 000000000 1.00000000 NC USD -1003.21000000 -0.00203499602 N/A DFE CORP US N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 -36375.00000000 USD 168261662.00000000 COP 2023-06-21 -1003.21000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/MYR FORWARD 000000000 1.00000000 NC USD -690.28000000 -0.00140022234 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -69472.00000000 USD 304808.40000000 MYR 2023-06-21 -690.28000000 N N N THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 USD/ZAR FORWARD 000000000 1.00000000 NC USD -2072.82000000 -0.00420468342 N/A DFE CORP US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 -347128.99000000 USD 6343552.68000000 ZAR 2023-06-21 -2072.82000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/CNH FORWARD 000000000 1.00000000 NC USD 22334.35000000 0.045304884728 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -15457271.00000000 CNY 2258316.19000000 USD 2023-05-23 22334.35000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 RON/USD FORWARD 000000000 1.00000000 NC USD 51.99000000 0.000105460913 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -102623.36000000 USD 460001.00000000 RON 2023-07-19 51.99000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 2080000.00000000 PA 51851.53000000 0.105180029400 Long DBT NUSS TH N 2 2042-06-17 Fixed 2.00000000 N N N N N N CZECH REPUBLIC 3157007EFDLQABN47912 Czech Republic Government Bond 000000000 7520000.00000000 PA 272506.26000000 0.552774748183 Long DBT NUSS CZ N 2 2031-03-13 Fixed 1.20000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 PHP/USD FORWARD 000000000 1.00000000 NC USD -6336.21000000 -0.01285290432 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -315060.00000000 USD 17108073.06000000 PHP 2023-06-21 -6336.21000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 EUR/JPY FORWARD 000000000 1.00000000 NC USD -5564.07000000 -0.01128663023 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -224000.00000000 EUR 32612406.00000000 JPY 2023-07-19 -5564.07000000 N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 PEN/USD FORWARD 000000000 1.00000000 NC USD -3043.17000000 -0.00617302343 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -460346.00000000 PEN 120736.99000000 USD 2023-06-21 -3043.17000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 2700000.00000000 PA 70198.22000000 0.142396007282 Long DBT NUSS TH N 2 2035-06-17 Fixed 1.60000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD/ZAR FORWARD 000000000 1.00000000 NC USD -645.23000000 -0.00130883910 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -147771.82000000 USD 2704792.34000000 ZAR 2023-06-21 -645.23000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 BRL CALL VERSUS USD PUT 000000000 695000.00000000 NC USD 0.67000000 0.000001359084 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 BRL CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A BRL N/A USD 2023-05-17 695000.00000000 USD 4.25000000 USD 2023-05-17 XXXX -3.50000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 Colombian TES 000000000 222980615.00000000 PA 39483.18000000 0.080091022063 Long DBT NUSS CO N 2 2049-06-16 Fixed 3.75000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS CNY 000000000 1.00000000 NC -382.35000000 -0.00077559108 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-12-15 0.00000000 USD -2265.49000000 USD 4547000.00000000 CNY 1883.14000000 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 IRS MYR 000000000 1.00000000 NC 4484.83000000 0.009097408528 N/A DIR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y 2027-07-21 0.00000000 USD -11.31000000 USD 2300000.00000000 MYR 4496.14000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 PEN/USD FORWARD 000000000 1.00000000 NC USD -2508.04000000 -0.00508752048 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -424085.00000000 PEN 111522.08000000 USD 2023-06-21 -2508.04000000 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 26169184.00000000 PA 1504109.42000000 3.051062775146 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS COP 000000000 1.00000000 NC 3270.36000000 0.006633874852 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-09-21 0.00000000 USD -154.21000000 USD -2065890000.00000000 COP 3424.57000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 Malaysia Government Bond 000000000 390000.00000000 PA 87360.70000000 0.177209833431 Long DBT NUSS MY N 2 2033-04-15 Fixed 3.84400000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/AUD FORWARD 000000000 1.00000000 NC USD 8220.73000000 0.016675624096 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -876579.00000000 AUD 590282.16000000 USD 2023-07-19 8220.73000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC -85237.41000000 -0.17290277239 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-09-21 0.00000000 USD -15532.11000000 USD -4829831.00000000 PLN -69705.30000000 N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 Republic of Poland Government Bond 000000000 1660000.00000000 PA 330827.42000000 0.671078322320 Long DBT NUSS PL N 2 2026-10-25 Fixed 0.25000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/COP FORWARD 000000000 1.00000000 NC USD 11544.29000000 0.023417414329 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -539684.86000000 USD 2622166826.00000000 COP 2023-06-21 11544.29000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 Malaysia Government Bond 000000000 2015000.00000000 PA 457236.27000000 0.927496726164 Long DBT NUSS MY N 2 2029-08-15 Fixed 3.88500000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS MXN PUT 000000000 974000.00000000 NC USD 531.59000000 0.001078322121 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS MXN PUT 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A MXN 2023-06-02 974000.00000000 USD 20.25000000 USD 2023-06-02 XXXX -27266.37000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/ILS FORWARD 000000000 1.00000000 NC USD -6681.59000000 -0.01355350232 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -504800.53000000 USD 1804359.00000000 ILS 2023-06-21 -6681.59000000 N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 USD/CLP FORWARD 000000000 1.00000000 NC USD -1836.29000000 -0.00372488596 N/A DFE CORP US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 -237000.00000000 USD 191232930.00000000 CLP 2023-06-22 -1836.29000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS CNY 000000000 1.00000000 NC 3211.43000000 0.006514336256 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2028-04-24 0.00000000 USD 0.00000000 USD 5630000.00000000 CNY 3211.43000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 COP/USD FORWARD 000000000 1.00000000 NC USD 132.72000000 0.000269220474 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -78379.62000000 USD 373478890.00000000 COP 2023-06-21 132.72000000 N N N ROMANIA GOVERNMENT BOND 315700IASY927EDWBK92 Romania Government Bond 000000000 1050000.00000000 PA 225829.06000000 0.458090767433 Long DBT NUSS RO N 2 2032-02-25 Fixed 6.70000000 N N N N N N BONOS TESORERIA PESOS 549300FLZTJM5YJF8D34 Bonos de la Tesoreria de la Republica en pesos 000000000 110000000.00000000 PA 131351.56000000 0.266444614896 Long DBT NUSS CL N 2 2028-10-01 Fixed 5.00000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 Malaysia Government Bond 000000000 1830000.00000000 PA 417989.15000000 0.847884548173 Long DBT NUSS MY N 2 2027-11-16 Fixed 3.89900000 N N N N N N BONOS TESORERIA PESOS 549300FLZTJM5YJF8D34 Bonos de la Tesoreria de la Republica en pesos 000000000 50000000.00000000 PA 49018.35000000 0.099432967439 Long DBT NUSS CL N 2 2033-10-01 Fixed 2.80000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 USD/IDR FORWARD 000000000 1.00000000 NC USD -19687.86000000 -0.03993652055 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -5133711000.00000000 IDR 330000.00000000 USD 2023-06-21 -19687.86000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 486000.00000000 NC USD 0.00000000 0.000000 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A ZAR N/A USD 2023-05-04 486000.00000000 USD 16.00000000 USD 2023-05-04 XXXX -27.70000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CNH/USD FORWARD 000000000 1.00000000 NC USD 3078.54000000 0.006244770939 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -3863806.20000000 CNY 562000.00000000 USD 2023-05-23 3078.54000000 N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 Brazil Notas do Tesouro Nacional Serie F 000000000 200000.00000000 PA 35934.36000000 0.072892295392 Long DBT NUSS BR N 2 2031-01-01 Fixed 10.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 -230000.00000000 NC USD -1313.59000000 -0.00266459706 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A ZAR N/A USD 2023-05-19 -230000.00000000 USD 18.00000000 USD 2023-05-19 XXXX 1508.51000000 N N N MALAYSIA INVESTMNT ISSUE 254900GSIL471JOBYY43 Malaysia Government Investment Issue 000000000 430000.00000000 PA 90863.47000000 0.184315148387 Long DBT NUSS MY N 2 2036-07-15 Fixed 3.44700000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/KRW FORWARD 000000000 1.00000000 NC USD 1895.96000000 0.003845925636 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -704242750.00000000 KRW 530000.00000000 USD 2023-06-21 1895.96000000 N N N LCH LIMITED F226TOH6YD6XJB17KS62 IRS ZAR 000000000 1.00000000 NC -22776.79000000 -0.04620236744 N/A DIR CORP GB N 2 LCH LIMITED F226TOH6YD6XJB17KS62 Y 2025-08-21 0.00000000 USD -7510.02000000 USD 5789000.00000000 ZAR -15266.77000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC -15708.71000000 -0.03186487611 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2031-04-13 0.00000000 USD -39.68000000 USD 3244000.00000000 ZAR -15669.03000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 15085000.00000000 PA 486626.26000000 0.987113867882 Long DBT NUSS TH N 2 2032-06-25 Fixed 3.77500000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 China Government Bond 000000000 1240000.00000000 PA 199922.28000000 0.405539263513 Long DBT NUSS CN N 2 2050-09-14 Fixed 3.81000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC 26241.89000000 0.053231269390 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2023-12-15 0.00000000 USD 0.00000000 USD -2360000.00000000 PLN 26241.89000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MXN CALL VERSUS USD PUT 000000000 -463000.00000000 NC USD -10756.01000000 -0.02181840049 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MXN CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A MXN N/A USD 2023-05-18 -463000.00000000 USD 18.40000000 USD 2023-05-18 XXXX -1996.05000000 N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 Republic of Poland Government Bond 000000000 3925000.00000000 PA 850078.75000000 1.724371641836 Long DBT NUSS PL N 2 2026-07-25 Fixed 2.50000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 TRY CALL VERSUS USD PUT 000000000 1160000.00000000 NC USD 23662.97000000 0.047999969920 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 TRY CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A TRY N/A USD 2023-04-28 1160000.00000000 USD 19.85000000 USD 2023-04-28 XXXX 1455.21000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 Mexican Bonos 000000000 7316900.00000000 PA 388109.67000000 0.787274483535 Long DBT NUSS MX N 2 2038-11-18 Fixed 8.50000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 Malaysia Government Bond 000000000 880000.00000000 PA 192489.27000000 0.390461517295 Long DBT NUSS MY N 2 2050-06-15 Fixed 4.06500000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 Brazil Notas do Tesouro Nacional Serie B 000000000 533634.40000000 PA 107820.32000000 0.218711857250 Long DBT NUSS BR N 2 2035-05-15 Fixed 6.00000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 1410000000.00000000 PA 97865.25000000 0.198518151196 Long DBT NUSS ID N 2 2024-03-15 Fixed 8.37500000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD/THB FORWARD 000000000 1.00000000 NC USD 178.61000000 0.000362307632 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -1585050.55000000 THB 46848.00000000 USD 2023-06-21 178.61000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC -90438.68000000 -0.18345346841 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2026-03-11 0.00000000 USD -8744.30000000 USD 14445800.00000000 MXN -81694.38000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/INR FORWARD 000000000 1.00000000 NC USD 7000.17000000 0.014199736949 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -1237951.41000000 USD 102035669.00000000 INR 2023-06-21 7000.17000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC 36403.86000000 0.073844668905 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2031-07-13 93.28000000 USD 0.00000000 USD -6680000.00000000 ZAR 36310.58000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC 7810.87000000 0.015844229403 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-06-14 0.00000000 USD 0.00000000 USD 12350000.00000000 MXN 7810.87000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 -489000.00000000 NC USD -15828.24000000 -0.03210734087 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A HUF N/A USD 2023-05-18 -489000.00000000 USD 350.00000000 USD 2023-05-18 XXXX -5841.88000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 USD/THB FORWARD 000000000 1.00000000 NC USD 2973.62000000 0.006031942336 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -284000.00000000 USD 9746596.00000000 THB 2023-06-21 2973.62000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC -39908.53000000 -0.08095383798 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2024-07-24 0.00000000 USD 0.00000000 USD 2700000.00000000 PLN -39908.53000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS COP 000000000 1.00000000 NC -13376.50000000 -0.02713402407 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-12-21 0.00000000 USD 0.00000000 USD -1047000000.00000000 COP -13376.50000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC 6676.81000000 0.013543806173 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-03-16 5758.21000000 USD 0.00000000 USD -2808000.00000000 ZAR 918.60000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 Mexican Bonos 000000000 16610100.00000000 PA 868345.30000000 1.761425056963 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 EGP/USD FORWARD 000000000 1.00000000 NC USD -17510.02000000 -0.03551880568 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -81907.57000000 USD 2684257.80000000 EGP 2024-01-10 -17510.02000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 TRY/USD FORWARD 000000000 1.00000000 NC USD -18437.93000000 -0.03740105681 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -209098.12000000 USD 4215690.00000000 TRY 2023-06-21 -18437.93000000 N N N THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 USD/HUF FORWARD 000000000 1.00000000 NC USD 1162.08000000 0.002357261368 N/A DFE CORP US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 -377308.08000000 USD 131284346.00000000 HUF 2023-07-19 1162.08000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC -28175.09000000 -0.05715273579 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 0.00000000 USD -33234.97000000 USD -5351074.11000000 BRL 5059.88000000 N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 KRW/USD FORWARD 000000000 1.00000000 NC USD -4210.08000000 -0.00854008238 N/A DFE CORP US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 -286000.00000000 USD 375775400.00000000 KRW 2023-06-21 -4210.08000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC -1016.88000000 -0.00206272540 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2028-06-21 0.00000000 USD 0.00000000 USD 1020886.00000000 PLN -1016.88000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 USD/KRW FORWARD 000000000 1.00000000 NC USD -9256.37000000 -0.01877640387 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -412000.00000000 USD 537070840.00000000 KRW 2023-06-21 -9256.37000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC 14728.88000000 0.029877306059 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 0.00000000 USD 0.00000000 USD 2510102.13000000 BRL 14728.88000000 N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 33070000.00000000 PA 70625.18000000 0.143262089061 Long DBT NUSS HU N 2 2031-10-22 Fixed 3.25000000 N N N N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 74510000.00000000 PA 201870.83000000 0.409491867154 Long DBT NUSS HU N 2 2028-10-22 Fixed 6.75000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 USD/KRW FORWARD 000000000 1.00000000 NC USD 2916.41000000 0.005915892733 N/A DFE CORP US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 -1137612841.00000000 KRW 856000.00000000 USD 2023-06-21 2916.41000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 993000000.00000000 PA 68066.53000000 0.138071906973 Long DBT NUSS ID N 2 2025-06-15 Fixed 6.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS ZAR PUT 000000000 230000.00000000 NC USD 3376.53000000 0.006849239061 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS ZAR PUT 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A ZAR 2023-09-21 230000.00000000 USD 20.00000000 USD 2023-09-21 XXXX -2578.40000000 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 10845000.00000000 PA 480612.81000000 0.974915677244 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 CBOT 5 YEAR US TREASURY NOTE 000000000 -4.00000000 NC USD -9855.21000000 -0.01999114158 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2023-06-30 -429113.55000000 USD -9855.21000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC 12012.51000000 0.024367191382 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-08-02 0.00000000 USD 0.00000000 USD 1670000.00000000 PLN 12012.51000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD/SGD FORWARD 000000000 1.00000000 NC USD -90.36000000 -0.00018329386 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -699247.50000000 SGD 525000.00000000 USD 2023-06-21 -90.36000000 N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 Serbia International Bond 000000000 100000.00000000 PA 99226.09000000 0.201278594161 Long DBT NUSS RS N 2 2027-05-15 Fixed 3.12500000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 MXN/USD FORWARD 000000000 1.00000000 NC USD 8.65000000 0.000017546391 N/A DFE CORP US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 -500000.00000000 MXN 27508.25000000 USD 2023-06-21 8.65000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 CNH/USD FORWARD 000000000 1.00000000 NC USD -2393.30000000 -0.00485477216 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -4427346.40000000 CNY 638047.44000000 USD 2023-05-23 -2393.30000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC -4403.99000000 -0.00893342583 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2033-03-30 0.00000000 USD -13.77000000 USD 5848000.00000000 ZAR -4390.22000000 N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 Peruvian Government International Bond 715638BL5 245000.00000000 PA 61348.89000000 0.124445277774 Long DBT NUSS PE N 2 2042-02-12 Fixed 6.85000000 N N N N N N THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 PLN/USD FORWARD 000000000 1.00000000 NC USD -31.87000000 -0.00006464780 N/A DFE CORP US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 -272000.00000000 USD 1137242.88000000 PLN 2023-07-19 -31.87000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC 9712.83000000 0.019702325948 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-01-02 0.00000000 USD 0.00000000 USD 7014789.84000000 BRL 9712.83000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 Mexican Bonos 000000000 6812800.00000000 PA 338725.50000000 0.687099455864 Long DBT NUSS MX N 2 2047-11-07 Fixed 8.00000000 N N N N N N SERBIA TREASURY BONDS 254900W94OCY91V32O78 Serbia Treasury Bonds 000000000 6240000.00000000 PA 50436.34000000 0.102309338298 Long DBT NUSS RS N 2 2032-08-20 Fixed 4.50000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC 40758.97000000 0.082678942413 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2031-06-17 0.00000000 USD 0.00000000 USD -700000.00000000 PLN 40758.97000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC 6968.05000000 0.014134582024 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 0.00000000 USD 0.00000000 USD 1574475.49000000 BRL 6968.05000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC 1333.38000000 0.002704740778 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-03-08 12494.44000000 USD 0.00000000 USD -6775000.00000000 MXN -11161.06000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 IRS MYR 000000000 1.00000000 NC 1928.25000000 0.003911425404 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Y 2027-07-29 0.00000000 USD -12.58000000 USD 3000000.00000000 MYR 1940.83000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 -394000.00000000 NC USD -8060.78000000 -0.01635116798 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A HUF N/A USD 2023-05-09 -394000.00000000 USD 345.00000000 USD 2023-05-09 XXXX -1428.18000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS CZK 000000000 1.00000000 NC -2212.12000000 -0.00448725132 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2028-06-21 0.00000000 USD -5291.80000000 USD 29942000.00000000 CZK 3079.68000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 MYR/USD FORWARD 000000000 1.00000000 NC USD 30881.01000000 0.062641652806 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -2272090.83000000 USD 10205694.00000000 MYR 2023-06-21 30881.01000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS COP 000000000 1.00000000 NC -12581.92000000 -0.02552223079 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-06-15 0.00000000 USD -5728.02000000 USD 1382980000.00000000 COP -6853.90000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 USD/SGD FORWARD 000000000 1.00000000 NC USD 1296.15000000 0.002629220297 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -597000.00000000 USD 796733.51000000 SGD 2023-06-21 1296.15000000 N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 29330000.00000000 PA 51482.11000000 0.104430666624 Long DBT NUSS HU N 2 2051-04-28 Fixed 4.00000000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 COP CALL VERSUS USD PUT 000000000 462000.00000000 NC USD 5.79000000 0.000011744925 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 COP CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A COP N/A USD 2023-05-18 462000.00000000 USD 4100.00000000 USD 2023-05-18 XXXX -183.06000000 N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 21890000.00000000 PA 37721.35000000 0.076517177063 Long DBT NUSS HU N 2 2038-10-27 Fixed 3.00000000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 CDS CDX.EM.39.V1 000000000 1.00000000 NC USD 68714.82000000 0.139386953246 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD. CDX.EM.39.V1 Y Default Event 2028-06-20 76595.85000000 USD 0.00000000 USD -1160000.00000000 USD -7881.03000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 BRL/USD FORWARD 000000000 1.00000000 NC USD -50642.28000000 -0.10272708441 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -16175746.43000000 BRL 3189056.47000000 USD 2023-05-03 -50642.28000000 N N N CZECH REPUBLIC 3157007EFDLQABN47912 Czech Republic Government Bond 000000000 11770000.00000000 PA 465003.07000000 0.943251560252 Long DBT NUSS CZ N 2 2027-02-10 Fixed 0.25000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 1354000000.00000000 PA 94018.95000000 0.190715990930 Long DBT NUSS ID N 2 2042-06-15 Fixed 7.12500000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 Dominican Republic International Bond 000000000 100000.00000000 PA USD 99081.25000000 0.200984788453 Long DBT NUSS DO N 2 2027-01-25 Fixed 5.95000000 N N N N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 8340000.00000000 PA 244921.48000000 0.496819447126 Long DBT NUSS TH N 2 2026-12-17 Fixed 2.12500000 N N N N N N ROMANIA GOVERNMENT BOND 315700IASY927EDWBK92 Romania Government Bond 000000000 540000.00000000 PA 121016.60000000 0.245480307832 Long DBT NUSS RO N 2 2031-04-28 Fixed 7.35000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 COP/USD FORWARD 000000000 1.00000000 NC USD 4765.14000000 0.009666013043 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -1328304920.00000000 COP 284000.00000000 USD 2023-06-21 4765.14000000 N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 20430000.00000000 PA 50489.49000000 0.102417152254 Long DBT NUSS HU N 2 2028-03-23 Fixed 4.50000000 N N N N N N CZECH REPUBLIC 3157007EFDLQABN47912 Czech Republic Government Bond 000000000 6050000.00000000 PA 211172.23000000 0.428359613689 Long DBT NUSS CZ N 2 2029-11-29 Fixed 0.05000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 HUF/EUR FORWARD 000000000 1.00000000 NC USD -5386.67000000 -0.01092677706 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -159957801.00000000 HUF 411700.00000000 EUR 2023-07-19 -5386.67000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC -8544.12000000 -0.01733161572 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-03-08 0.00000000 USD 0.00000000 USD 8450000.00000000 MXN -8544.12000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC -2943.08000000 -0.00596999241 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-09-21 0.00000000 USD -3643.66000000 USD 1744000.00000000 ZAR 700.58000000 N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 Brazil Notas do Tesouro Nacional Serie F 000000000 2969000.00000000 PA 564543.59000000 1.145167970822 Long DBT NUSS BR N 2 2027-01-01 Fixed 10.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS COP PUT 000000000 2500000.00000000 NC USD 0.38000000 0.000000770824 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS COP PUT 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A COP 2023-05-08 2500000.00000000 USD 6600.00000000 USD 2023-05-08 XXXX -799.62000000 N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 IRS MYR 000000000 1.00000000 NC 2537.49000000 0.005147259353 N/A DIR CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 Y 2028-06-21 0.00000000 USD 0.00000000 USD 4100000.00000000 MYR 2537.49000000 N N N BONOS TESORERIA PESOS 549300FLZTJM5YJF8D34 Bonos de la Tesoreria de la Republica en pesos 000000000 115000000.00000000 PA 137257.18000000 0.278424074040 Long DBT NUSS CL N 2 2035-03-01 Fixed 5.00000000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 China Government Bond 000000000 680000.00000000 PA 110128.57000000 0.223394106797 Long DBT NUSS CN N 2 2049-07-22 Fixed 3.86000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 3843000000.00000000 PA 291434.05000000 0.591169478457 Long DBT NUSS ID N 2 2036-05-15 Fixed 8.25000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 Colombian TES 000000000 1221000000.00000000 PA 207553.11000000 0.421018284551 Long DBT NUSS CO N 2 2028-04-28 Fixed 6.00000000 N N N N N N THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 USD/HUF FORWARD 000000000 1.00000000 NC USD -114.95000000 -0.00023317430 N/A DFE CORP US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 -97802682.00000000 HUF 284000.00000000 USD 2023-06-21 -114.95000000 N N N MEXICAN UDIBONOS 254900EGTWEU67VP6075 Mexican Udibonos 000000000 3299155.62570000 PA 161911.76000000 0.328435509561 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.75000000 N N N N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 3065000.00000000 PA 85999.07000000 0.174447787963 Long DBT NUSS TH N 2 2046-06-17 Fixed 2.87500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS COP 000000000 1.00000000 NC -9947.26000000 -0.02017786358 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2023-12-12 0.00000000 USD 0.00000000 USD 950000000.00000000 COP -9947.26000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS HUF 000000000 1.00000000 NC 48218.19000000 0.097809855212 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-03-17 0.00000000 USD 0.00000000 USD -150000000.00000000 HUF 48218.19000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 CZK/USD FORWARD 000000000 1.00000000 NC USD -2189.11000000 -0.00444057589 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -261971.47000000 USD 5568138.00000000 CZK 2023-07-19 -2189.11000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 Mexican Bonos 000000000 3000000.00000000 PA 147289.83000000 0.298775149929 Long DBT NUSS MX N 2 2027-03-04 Fixed 5.50000000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 13864485.00000000 PA 635770.75000000 1.289651167035 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.87500000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/COP FORWARD 000000000 1.00000000 NC USD -15543.69000000 -0.03153013558 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -2071857464.00000000 COP 420000.00000000 USD 2023-06-21 -15543.69000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC -23671.94000000 -0.04801816542 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2031-07-24 0.00000000 USD 0.00000000 USD 4450000.00000000 MXN -23671.94000000 N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 Brazil Notas do Tesouro Nacional Serie B 000000000 1912874.08000000 PA 389883.42000000 0.790872508071 Long DBT NUSS BR N 2 2030-08-15 Fixed 6.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS CZK 000000000 1.00000000 NC -61380.53000000 -0.12450945902 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2031-06-15 0.00000000 USD 0.00000000 USD 6507000.00000000 CZK -61380.53000000 N N N BONOS TESORERIA PESOS 549300FLZTJM5YJF8D34 Bonos de la Tesoreria de la Republica en pesos 000000000 95000000.00000000 PA 112043.88000000 0.227279283611 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.70000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 CLP CALL VERSUS USD PUT 000000000 490000.00000000 NC USD 0.46000000 0.000000933102 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 Put Purchased HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 CLP CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A CLP N/A USD 2023-05-15 490000.00000000 USD 700.00000000 USD 2023-05-15 XXXX -197.49000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 THB/USD FORWARD 000000000 1.00000000 NC USD -14695.04000000 -0.02980866214 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -21658283.50000000 THB 623000.00000000 USD 2023-06-21 -14695.04000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD/MXN FORWARD 000000000 1.00000000 NC USD 14952.31000000 0.030330530370 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -1480611.74000000 USD 27192471.00000000 MXN 2023-06-21 14952.31000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 USD/THB FORWARD 000000000 1.00000000 NC USD 3245.01000000 0.006582452768 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -347000.00000000 USD 11895507.00000000 THB 2023-06-21 3245.01000000 N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 USD/INR FORWARD 000000000 1.00000000 NC USD 75.53000000 0.000153211440 N/A DFE CORP US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 -122705.89000000 USD 10063110.00000000 INR 2023-06-21 75.53000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS CLP 000000000 1.00000000 NC -468.32000000 -0.00094997990 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2033-03-15 0.00000000 USD -601.48000000 USD 25080000.00000000 CLP 133.16000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 8238000000.00000000 PA 630344.58000000 1.278644264825 Long DBT NUSS ID N 2 2034-03-15 Fixed 8.37500000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/THB FORWARD 000000000 1.00000000 NC USD -4173.23000000 -0.00846533273 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -17327211.00000000 THB 506000.00000000 USD 2023-06-21 -4173.23000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 BRL CALL VERSUS USD PUT 000000000 -695000.00000000 NC USD -23529.26000000 -0.04772874124 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 BRL CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A BRL N/A USD 2023-05-17 -695000.00000000 USD 5.15000000 USD 2023-05-17 XXXX 7356.54000000 N N N ROMANIA GOVERNMENT BOND 315700IASY927EDWBK92 Romania Government Bond 000000000 750000.00000000 PA 162854.24000000 0.330347315715 Long DBT NUSS RO N 2 2024-04-29 Fixed 3.25000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 394000.00000000 NC USD 0.57000000 0.000001156236 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A HUF N/A USD 2023-05-09 394000.00000000 USD 300.00000000 USD 2023-05-09 XXXX -9.28000000 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 Peru Government Bond 000000000 190000.00000000 PA 49971.39000000 0.101366194389 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 3754000000.00000000 PA 268386.56000000 0.544418000231 Long DBT NUSS ID N 2 2038-05-15 Fixed 7.50000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 USD/ZAR FORWARD 000000000 1.00000000 NC USD 898.09000000 0.001821761722 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -2134431.00000000 ZAR 117000.00000000 USD 2023-06-21 898.09000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 CLP CALL VERSUS USD PUT 000000000 -233000.00000000 NC USD -2721.49000000 -0.00552050051 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 CLP CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A CLP N/A USD 2023-06-22 -233000.00000000 USD 790.00000000 USD 2023-06-22 XXXX 2367.23000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC 1253.73000000 0.002543171980 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-09-21 1025.00000000 USD 0.00000000 USD -19350000.00000000 ZAR 228.73000000 N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 CLP/USD FORWARD 000000000 1.00000000 NC USD -3098.74000000 -0.00628574632 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -161252399.00000000 CLP 195197.19000000 USD 2023-06-22 -3098.74000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/TWD FORWARD 000000000 1.00000000 NC USD -11829.26000000 -0.02399547158 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -1349339.81000000 USD 40950841.00000000 TWD 2023-06-21 -11829.26000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 KRW/USD FORWARD 000000000 1.00000000 NC USD 4574.57000000 0.009279444735 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -477971175.00000000 KRW 363000.00000000 USD 2023-06-21 4574.57000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC 92.24000000 0.000187107418 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-06-21 0.00000000 USD 0.00000000 USD -27470000.00000000 ZAR 92.24000000 N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 ZAR CALL VERSUS USD PUT 000000000 -488000.00000000 NC USD -3553.72000000 -0.00720866624 N/A DFE CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 ZAR CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A ZAR N/A USD 2023-05-11 -488000.00000000 USD 18.20000000 USD 2023-05-11 XXXX 2965.47000000 N N N CZECH REPUBLIC 3157007EFDLQABN47912 Czech Republic Government Bond 000000000 2100000.00000000 PA 88488.24000000 0.179497030942 Long DBT NUSS CZ N 2 2028-08-25 Fixed 2.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 USD/ZAR FORWARD 000000000 1.00000000 NC USD -340.99000000 -0.00069169295 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -1231147.36000000 ZAR 66627.00000000 USD 2023-06-21 -340.99000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 462000.00000000 NC USD 6.32000000 0.000012820022 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A HUF N/A USD 2023-05-18 462000.00000000 USD 300.00000000 USD 2023-05-18 XXXX 4.01000000 N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 BRL/USD FORWARD 000000000 1.00000000 NC USD -1692.24000000 -0.00343268275 N/A DFE CORP US N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 -124293.81000000 USD 612147.00000000 BRL 2023-05-03 -1692.24000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC 9117.93000000 0.018495580467 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-02-01 0.00000000 USD 0.00000000 USD -930000.00000000 PLN 9117.93000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS COP 000000000 1.00000000 NC -9336.34000000 -0.01893862178 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-12-21 446.66000000 USD 0.00000000 USD -1416700000.00000000 COP -9783.00000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 Mexican Bonos 000000000 2000000.00000000 PA 102475.04000000 0.207869039159 Long DBT NUSS MX N 2 2034-11-23 Fixed 7.75000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS KRW 000000000 1.00000000 NC 76078.67000000 0.154324409469 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-12-21 88207.47000000 USD 0.00000000 USD 2200000000.00000000 KRW -12128.80000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 6230000.00000000 PA 195442.93000000 0.396452971080 Long DBT NUSS TH N 2 2033-06-17 Fixed 3.35000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC -4426.27000000 -0.00897862047 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2028-06-21 0.00000000 USD 0.00000000 USD 1912000.00000000 PLN -4426.27000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 USD/RON FORWARD 000000000 1.00000000 NC USD 3040.05000000 0.006166694567 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -428975.38000000 USD 1935494.00000000 RON 2023-07-19 3040.05000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 -245000.00000000 NC USD -7930.31000000 -0.01608651160 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A HUF N/A USD 2023-05-18 -245000.00000000 USD 350.00000000 USD 2023-05-18 XXXX -2959.26000000 N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CLP CALL VERSUS USD PUT 000000000 233000.00000000 NC USD 1.16000000 0.000002353042 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CLP CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A CLP N/A USD 2023-06-22 233000.00000000 USD 650.00000000 USD 2023-06-22 XXXX -22.14000000 N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 Republic of Poland Government Bond 000000000 4301000.00000000 PA 976826.43000000 1.981477357114 Long DBT NUSS PL N 2 2025-07-25 Fixed 3.25000000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 China Government Bond 000000000 3370000.00000000 PA 491671.38000000 0.997347816040 Long DBT NUSS CN N 2 2027-06-04 Fixed 2.85000000 N N N N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 226920000.00000000 PA 532077.72000000 1.079311453934 Long DBT NUSS HU N 2 2026-12-22 Fixed 2.75000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 2 YEAR US TREASURY NOTE 000000000 -3.00000000 NC USD -5929.94000000 -0.01202879188 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2023-06-30 -612562.25000000 USD -5929.94000000 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 Peru Government Bond 000000000 1080000.00000000 PA 245193.19000000 0.497370606673 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.40000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 CLP CALL VERSUS USD PUT 000000000 -490000.00000000 NC USD -4091.99000000 -0.00830053864 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 Put Written HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 CLP CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A CLP N/A USD 2023-05-15 -490000.00000000 USD 800.00000000 USD 2023-05-15 XXXX 6100.01000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 3640000000.00000000 PA 278797.45000000 0.565536330129 Long DBT NUSS ID N 2 2029-03-15 Fixed 9.00000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 Colombian TES 000000000 210000000.00000000 PA 27273.85000000 0.055324584344 Long DBT NUSS CO N 2 2050-10-26 Fixed 7.25000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC -5519.21000000 -0.01119563241 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 0.00000000 USD 0.00000000 USD -517553.32000000 BRL -5519.21000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 USD/ILS FORWARD 000000000 1.00000000 NC USD 804.80000000 0.001632524395 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1699587.21000000 ILS 470000.00000000 USD 2023-06-21 804.80000000 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 12439700.00000000 PA 579433.98000000 1.175372897427 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS CLP PUT 000000000 233000.00000000 NC USD 1862.74000000 0.003778539378 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS CLP PUT 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A CLP 2023-06-22 233000.00000000 USD 860.00000000 USD 2023-06-22 XXXX -2771.63000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 8837000000.00000000 PA 597913.11000000 1.212857527807 Long DBT NUSS ID N 2 2028-05-15 Fixed 6.12500000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 INR/USD FORWARD 000000000 1.00000000 NC USD 4810.27000000 0.009757558552 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -405000.00000000 USD 33587865.00000000 INR 2023-06-21 4810.27000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD/RON FORWARD 000000000 1.00000000 NC USD -155.87000000 -0.00031617989 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -1014658.00000000 RON 226322.70000000 USD 2023-07-19 -155.87000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS CLP 000000000 1.00000000 NC 3316.67000000 0.006727813974 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-06-22 0.00000000 USD 0.00000000 USD -514380000.00000000 CLP 3316.67000000 N N N ROMANIA GOVERNMENT BOND 315700IASY927EDWBK92 Romania Government Bond 000000000 1270000.00000000 PA 220212.27000000 0.446697195492 Long DBT NUSS RO N 2 2031-09-24 Fixed 3.65000000 N N N N N N ROMANIA GOVERNMENT BOND 315700IASY927EDWBK92 Romania Government Bond 000000000 980000.00000000 PA 206743.18000000 0.419375354030 Long DBT NUSS RO N 2 2026-04-22 Fixed 4.85000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 488000.00000000 NC USD 0.04000000 0.000000081139 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A ZAR N/A USD 2023-05-11 488000.00000000 USD 15.50000000 USD 2023-05-11 XXXX -48.76000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS COP 000000000 1.00000000 NC -5398.21000000 -0.01095018578 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-11-04 0.00000000 USD 0.00000000 USD -363880000.00000000 COP -5398.21000000 N N N MEXICAN UDIBONOS 254900EGTWEU67VP6075 Mexican Udibonos 000000000 31131452.00000000 PA 1676089.19000000 3.399921087811 Long DBT NUSS MX N 2 2025-12-04 Fixed 4.50000000 N N N N N N JSM GLOBAL SARL 222100JFIJNVE1XMFY68 JSM Global Sarl 46592BAA0 200000.00000000 PA USD 38725.00000000 0.078553065619 Long DBT CORP LU N 2 2030-10-20 Fixed 4.75000000 Y N N N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 USD/CNH FORWARD 000000000 1.00000000 NC USD -3297.99000000 -0.00668992188 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -716154.89000000 USD 4927957.00000000 CNY 2023-05-23 -3297.99000000 N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 Peruvian Government International Bond 715638BE1 478000.00000000 PA 125717.50000000 0.255016011025 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95000000 N N N N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 128070000.00000000 PA 269567.97000000 0.546814472206 Long DBT NUSS HU N 2 2029-05-23 Fixed 2.00000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CNH/USD FORWARD 000000000 1.00000000 NC USD -2410.04000000 -0.00488872899 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -543483.00000000 USD 3740420.07000000 CNY 2023-05-23 -2410.04000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 3120000.00000000 PA 80775.31000000 0.163851471319 Long DBT NUSS TH N 2 2035-12-17 Fixed 1.58500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 EUR/PLN FORWARD 000000000 1.00000000 NC USD 1524.81000000 0.003093053582 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -296900.00000000 EUR 1380688.92000000 PLN 2023-07-19 1524.81000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/EUR FORWARD 000000000 1.00000000 NC USD -5885.91000000 -0.01193947771 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -582124.00000000 EUR 638514.35000000 USD 2023-07-19 -5885.91000000 N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 Brazilian Government International Bond 105756BT6 54000.00000000 PA 10444.22000000 0.021185939289 Long DBT NUSS BR N 2 2024-01-05 Fixed 8.50000000 N N N N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 USD/THB FORWARD 000000000 1.00000000 NC USD 2800.22000000 0.005680203109 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -375000.00000000 USD 12831375.00000000 THB 2023-06-21 2800.22000000 N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 USD/KRW FORWARD 000000000 1.00000000 NC USD 4550.42000000 0.009230456832 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -451332777.00000000 KRW 343000.00000000 USD 2023-06-21 4550.42000000 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 Peru Government Bond 000000000 800000.00000000 PA 203596.69000000 0.412992747563 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC -1514.68000000 -0.00307250503 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-06-15 0.00000000 USD -15196.03000000 USD 1186322.00000000 PLN 13681.35000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 USD/HUF FORWARD 000000000 1.00000000 NC USD 9685.04000000 0.019645954361 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -347479.69000000 USD 123893883.00000000 HUF 2023-07-19 9685.04000000 N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 IRS MYR 000000000 1.00000000 NC 331.82000000 0.000673091755 N/A DIR CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 Y 2028-06-21 0.00000000 USD 0.00000000 USD 3750000.00000000 MYR 331.82000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS CLP 000000000 1.00000000 NC 580.23000000 0.001176987611 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-06-22 0.00000000 USD 0.00000000 USD -660000000.00000000 CLP 580.23000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 489000.00000000 NC USD 6.69000000 0.000013570561 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 HUF CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A HUF N/A USD 2023-05-18 489000.00000000 USD 300.00000000 USD 2023-05-18 XXXX 3.76000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 USD/ILS FORWARD 000000000 1.00000000 NC USD -397.90000000 -0.00080713401 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -33913.75000000 USD 121406.00000000 ILS 2023-06-21 -397.90000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 1063000.00000000 PA 24166.76000000 0.049021900169 Long DBT NUSS TH N 2 2049-06-17 Fixed 1.87500000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD/ZAR FORWARD 000000000 1.00000000 NC USD 5995.08000000 0.012160927375 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -8530320.34000000 ZAR 470000.00000000 USD 2023-06-21 5995.08000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC -4244.95000000 -0.00861081564 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-12-21 0.00000000 USD -1107.80000000 USD -3900000.00000000 ZAR -3137.15000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC 27457.10000000 0.055696304144 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-12-21 25750.92000000 USD 0.00000000 USD 2235000.00000000 PLN 1706.18000000 N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 USD/EUR FORWARD 000000000 1.00000000 NC USD 2340.40000000 0.004747465326 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -592819.00000000 EUR 658579.82000000 USD 2023-07-19 2340.40000000 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 9087993.00000000 PA 390416.65000000 0.791954156907 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 COP/USD FORWARD 000000000 1.00000000 NC USD 9850.85000000 0.019982297390 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1318383290.00000000 COP 287000.00000000 USD 2023-06-21 9850.85000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 8415000000.00000000 PA 589368.36000000 1.195524634135 Long DBT NUSS ID N 2 2030-09-15 Fixed 7.00000000 N N N N N N BONOS TESORERIA PESOS 549300FLZTJM5YJF8D34 Bonos de la Tesoreria de la Republica en pesos 000000000 135000000.00000000 PA 179478.51000000 0.364069391174 Long DBT NUSS CL N 2 2043-01-01 Fixed 6.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS COP 000000000 1.00000000 NC -1442.83000000 -0.00292675841 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-12-21 0.00000000 USD 0.00000000 USD -236760000.00000000 COP -1442.83000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC 1185.84000000 0.002405458162 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-06-14 1392.75000000 USD 0.00000000 USD 12500000.00000000 MXN -206.91000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD/KRW FORWARD 000000000 1.00000000 NC USD 11718.85000000 0.023771506598 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -1493928890.00000000 KRW 1132000.00000000 USD 2023-06-21 11718.85000000 N N N CZECH REPUBLIC 3157007EFDLQABN47912 Czech Republic Government Bond 000000000 2950000.00000000 PA 132845.36000000 0.269474765171 Long DBT NUSS CZ N 2 2036-12-04 Fixed 4.20000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PHP/USD FORWARD 000000000 1.00000000 NC USD -12679.44000000 -0.02572004860 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -906000.00000000 USD 49503776.50000000 PHP 2023-06-21 -12679.44000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 MXN/USD FORWARD 000000000 1.00000000 NC USD -4583.58000000 -0.00929772138 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2923071.52000000 MXN 156183.00000000 USD 2023-06-21 -4583.58000000 N N N REPUBLIC OF ANGOLA 549300QHR2R3J8JSGK83 Angolan Government International Bond 000000000 200000.00000000 PA USD 197350.00000000 0.400321433180 Long DBT NUSS AO N 2 2025-11-12 Fixed 9.50000000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 USD/EUR FORWARD 000000000 1.00000000 NC USD -3382.35000000 -0.00686104484 N/A DFE CORP US N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 -566929.00000000 EUR 624197.33000000 USD 2023-07-19 -3382.35000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC -2043.37000000 -0.00414494454 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-03-08 0.00000000 USD 0.00000000 USD 8470000.00000000 MXN -2043.37000000 N N N DIGICEL LTD N/A Digicel Ltd 000000000 235000.00000000 PA USD 45825.00000000 0.092955306184 Long DBT CORP JM N 2 2023-03-01 Fixed 6.75000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC -26015.00000000 -0.05277102652 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2033-03-15 9772.24000000 USD 0.00000000 USD 12165699.00000000 ZAR -35787.24000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MXN CALL VERSUS USD PUT 000000000 974000.00000000 NC USD 3.75000000 0.000007606817 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MXN CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A MXN N/A USD 2023-06-02 974000.00000000 USD 16.00000000 USD 2023-06-02 XXXX -132.61000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS BRL PUT 000000000 230000.00000000 NC USD 1365.36000000 0.002769611715 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS BRL PUT 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A BRL 2023-09-20 230000.00000000 USD 6.00000000 USD 2023-09-20 XXXX -2829.84000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 Colombian TES 000000000 1405800000.00000000 PA 212690.09000000 0.431438569304 Long DBT NUSS CO N 2 2034-10-18 Fixed 7.25000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 Mexican Bonos 000000000 7817700.00000000 PA 475205.89000000 0.963947823363 Long DBT NUSS MX N 2 2036-11-20 Fixed 10.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS CNY 000000000 1.00000000 NC -4010.93000000 -0.00813610968 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-07-28 0.00000000 USD 0.00000000 USD 3000000.00000000 CNY -4010.93000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 USD/KRW FORWARD 000000000 1.00000000 NC USD -270.32000000 -0.00054833995 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -449760200.00000000 KRW 337000.00000000 USD 2023-06-21 -270.32000000 N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 45870000.00000000 PA 108387.08000000 0.219861521174 Long DBT NUSS HU N 2 2032-11-24 Fixed 4.75000000 N N N N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 Republic of Poland Government Bond 000000000 1480000.00000000 PA 308392.30000000 0.625569027199 Long DBT NUSS PL N 2 2028-04-25 Fixed 2.75000000 N N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 Peru Government Bond 000000000 393000.00000000 PA 96943.43000000 0.196648253534 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 USD/INR FORWARD 000000000 1.00000000 NC USD 4118.36000000 0.008354029782 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -799000.00000000 USD 65823218.00000000 INR 2023-06-21 4118.36000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 USD/IDR FORWARD 000000000 1.00000000 NC USD 3304.95000000 0.006704040134 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -106833.16000000 USD 1616919851.00000000 IDR 2023-06-21 3304.95000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 USD/CNH FORWARD 000000000 1.00000000 NC USD 1615.73000000 0.003277483401 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -1447245.00000000 CNY 210967.92000000 USD 2023-05-23 1615.73000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 BRL/USD FORWARD 000000000 1.00000000 NC USD 48754.00000000 0.098896737538 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -3131862.32000000 USD 15982833.00000000 BRL 2023-06-02 48754.00000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/ZAR FORWARD 000000000 1.00000000 NC USD -3490.88000000 -0.00708119627 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -324000.00000000 USD 5892276.96000000 ZAR 2023-06-21 -3490.88000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC -730.12000000 -0.00148103716 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-06-14 0.00000000 USD 0.00000000 USD 7550000.00000000 MXN -730.12000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 USD/CNH FORWARD 000000000 1.00000000 NC USD 419.46000000 0.000850868144 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -840482.40000000 CNY 122000.00000000 USD 2023-05-23 419.46000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/ZAR FORWARD 000000000 1.00000000 NC USD 2567.64000000 0.005208418164 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -6626230.50000000 ZAR 363000.00000000 USD 2023-06-21 2567.64000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 9696000000.00000000 PA 703373.09000000 1.426781471748 Long DBT NUSS ID N 2 2026-09-15 Fixed 8.37500000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 9460000.00000000 PA 392414.87000000 0.796007515377 Long DBT NUSS ZA N 2 2044-01-31 Fixed 8.75000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 USD/BRL FORWARD 000000000 1.00000000 NC USD 5098.40000000 0.010342025816 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -91726.97000000 USD 483447.00000000 BRL 2023-05-03 5098.40000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD/INR FORWARD 000000000 1.00000000 NC USD -9569.32000000 -0.01941121812 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -66985483.30000000 INR 807730.00000000 USD 2023-06-21 -9569.32000000 N N N EUROPEAN INVESTMENT BANK 5493006YXS1U5GIHE750 European Investment Bank 000000000 600000.00000000 PA 138473.44000000 0.280891238704 Long DBT NUSS N/A N 2 2024-05-24 Fixed 3.00000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 HUF/USD FORWARD 000000000 1.00000000 NC USD -1652.35000000 -0.00335176650 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -35648973.00000000 HUF 101117.50000000 USD 2023-07-19 -1652.35000000 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 2955000.00000000 PA 121469.28000000 0.246398562234 Long DBT NUSS ZA N 2 2048-02-28 Fixed 8.75000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/CLP FORWARD 000000000 1.00000000 NC USD -1640.36000000 -0.00332744497 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -95664040.00000000 CLP 116000.00000000 USD 2023-06-22 -1640.36000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 6284000000.00000000 PA 467551.87000000 0.948421761767 Long DBT NUSS ID N 2 2029-05-15 Fixed 8.25000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 Uruguay Government International Bond 760942BC5 1870000.00000000 PA 45314.52000000 0.091919805372 Long DBT NUSS UY N 2 2028-03-15 Fixed 8.50000000 N N N N N N CZECH REPUBLIC 3157007EFDLQABN47912 Czech Republic Government Bond 000000000 9290000.00000000 PA 343416.17000000 0.696614407660 Long DBT NUSS CZ N 2 2033-10-13 Fixed 2.00000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 Colombian TES 000000000 2648100000.00000000 PA 413502.11000000 0.838782656693 Long DBT NUSS CO N 2 2032-06-30 Fixed 7.00000000 N N N N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 CLP/USD FORWARD 000000000 1.00000000 NC USD 3076.64000000 0.006240916818 N/A DFE CORP US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 -889480769.00000000 CLP 1096892.43000000 USD 2023-06-22 3076.64000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 USD/PLN FORWARD 000000000 1.00000000 NC USD -10528.31000000 -0.02135651455 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -3706038.00000000 PLN 875759.25000000 USD 2023-07-19 -10528.31000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC -696.06000000 -0.00141194698 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-12-15 0.00000000 USD 0.00000000 USD 4906000.00000000 MXN -696.06000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 USD/KRW FORWARD 000000000 1.00000000 NC USD 27002.32000000 0.054773789924 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2093270439.00000000 KRW 1596723.24000000 USD 2023-06-21 27002.32000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 Colombian TES 000000000 2281200000.00000000 PA 369183.67000000 0.748883384247 Long DBT NUSS CO N 2 2031-03-26 Fixed 7.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 NZD/USD FORWARD 000000000 1.00000000 NC USD 1722.53000000 0.003494125555 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -377193.00000000 NZD 234882.61000000 USD 2023-07-19 1722.53000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 USD/SGD FORWARD 000000000 1.00000000 NC USD 1500.19000000 0.003043112292 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -994092.00000000 SGD 748000.00000000 USD 2023-06-21 1500.19000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 Malaysia Government Bond 000000000 910000.00000000 PA 197376.46000000 0.400375106882 Long DBT NUSS MY N 2 2040-05-22 Fixed 3.75700000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC 12308.28000000 0.024967156268 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2023-10-05 0.00000000 USD 0.00000000 USD -2450000.00000000 PLN 12308.28000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 ZAR/USD FORWARD 000000000 1.00000000 NC USD 10130.39000000 0.020549339972 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -689506.34000000 USD 12862203.00000000 ZAR 2023-06-21 10130.39000000 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 Peru Government Bond 000000000 540000.00000000 PA 114767.96000000 0.232805037904 Long DBT NUSS PE N 2 2040-08-12 Fixed 5.35000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD/RON FORWARD 000000000 1.00000000 NC USD 38.59000000 0.000078279220 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -115418.55000000 USD 516483.00000000 RON 2023-05-03 38.59000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC 12452.15000000 0.025258994345 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2023-10-05 0.00000000 USD 0.00000000 USD -2450000.00000000 PLN 12452.15000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC 61634.08000000 0.125023781294 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-10-25 0.00000000 USD 0.00000000 USD 1970000.00000000 PLN 61634.08000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC 4090.66000000 0.008297840759 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-06-14 0.00000000 USD 0.00000000 USD 6630000.00000000 MXN 4090.66000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 3885000.00000000 PA 108793.65000000 0.220686242153 Long DBT NUSS TH N 2 2029-12-17 Fixed 1.60000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 Colombian TES 000000000 759800000.00000000 PA 123518.51000000 0.250555393704 Long DBT NUSS CO N 2 2031-03-26 Fixed 7.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC -1899.04000000 -0.00385217336 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 342.80000000 USD 0.00000000 USD 413297.69000000 BRL -2241.84000000 N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 COP/USD FORWARD 000000000 1.00000000 NC USD 9552.62000000 0.019377342432 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -615695.07000000 USD 2974268963.00000000 COP 2023-06-21 9552.62000000 N N N STATE OF MINAS GERAIS N/A Brazil Minas SPE via State of Minas Gerais 000000000 117500.00000000 PA USD 115722.81000000 0.234741936411 Long DBT CORP KY N 2 2028-02-15 Fixed 5.33300000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS COP 000000000 1.00000000 NC -22533.96000000 -0.04570979053 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-12-21 0.00000000 USD 0.00000000 USD -1081990000.00000000 COP -22533.96000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 230000.00000000 NC USD 0.45000000 0.000000912818 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A ZAR N/A USD 2023-05-19 230000.00000000 USD 15.50000000 USD 2023-05-19 XXXX -13.35000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC 35433.68000000 0.071876673729 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2031-09-27 1662.27000000 USD 0.00000000 USD -6610000.00000000 ZAR 33771.41000000 N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 CNH/USD FORWARD 000000000 1.00000000 NC USD -766.26000000 -0.00155434659 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -4395031.85000000 CNY 635000.00000000 USD 2023-05-23 -766.26000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS CLP 000000000 1.00000000 NC 7776.30000000 0.015774104691 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-06-22 2405.88000000 USD 0.00000000 USD -618410000.00000000 CLP 5370.42000000 N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 THB/USD FORWARD 000000000 1.00000000 NC USD -4766.53000000 -0.00966883263 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -6479077.50000000 THB 186000.00000000 USD 2023-06-21 -4766.53000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC 24689.36000000 0.050081986214 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-01-04 5064.43000000 USD 0.00000000 USD -4635000.00000000 ZAR 19624.93000000 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 17645000.00000000 PA 863616.57000000 1.751832901044 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8.00000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 CLP/USD FORWARD 000000000 1.00000000 NC USD 4925.61000000 0.009991523964 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -234000.00000000 USD 194292072.00000000 CLP 2023-06-22 4925.61000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 -975000.00000000 NC USD -5568.47000000 -0.01129555556 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A ZAR N/A USD 2023-05-19 -975000.00000000 USD 18.00000000 USD 2023-05-19 XXXX 11055.28000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 USD/IDR FORWARD 000000000 1.00000000 NC USD 1763.47000000 0.003577171714 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -32801.81000000 USD 507447279.00000000 IDR 2023-06-21 1763.47000000 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 3850000.00000000 PA 137908.90000000 0.279746078015 Long DBT NUSS ZA N 2 2036-03-31 Fixed 6.25000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 7837000000.00000000 PA 533151.06000000 1.081488707580 Long DBT NUSS ID N 2 2031-02-15 Fixed 6.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 CLP/USD FORWARD 000000000 1.00000000 NC USD 410.40000000 0.000832490074 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -194018830.00000000 CLP 239000.00000000 USD 2023-06-22 410.40000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 Colombian TES 000000000 250000000.00000000 PA 42845.63000000 0.086911700061 Long DBT NUSS CO N 2 2027-11-03 Fixed 5.75000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC -25306.89000000 -0.05133463630 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-06-18 1131.13000000 USD 0.00000000 USD -44000000.00000000 MXN -26438.02000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 Malaysia Government Bond 000000000 810000.00000000 PA 180324.65000000 0.365785773122 Long DBT NUSS MY N 2 2034-07-05 Fixed 3.82800000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS ZAR PUT 000000000 975000.00000000 NC USD 23285.54000000 0.047234358982 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD CALL VERSUS ZAR PUT 000000000 0.00000000 NC USD 0.00000000 0.00000000 DFE CORP US N/A USD N/A ZAR 2023-09-21 975000.00000000 USD 19.25000000 USD 2023-09-21 XXXX -1108.96000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 USD/PEN FORWARD 000000000 1.00000000 NC USD -2755.72000000 -0.00558993554 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -768937.20000000 PEN 204000.00000000 USD 2023-06-21 -2755.72000000 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 4565000.00000000 PA 152456.73000000 0.309256126940 Long DBT NUSS ZA N 2 2041-02-28 Fixed 6.50000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 7548000000.00000000 PA 527971.54000000 1.070982131094 Long DBT NUSS ID N 2 2027-05-15 Fixed 7.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS COP 000000000 1.00000000 NC -6618.44000000 -0.01342540352 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2031-11-09 0.00000000 USD 0.00000000 USD 211800000.00000000 COP -6618.44000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS COP 000000000 1.00000000 NC -37057.53000000 -0.07517062842 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-06-21 0.00000000 USD -19401.11000000 USD -3728230000.00000000 COP -17656.42000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 9585000.00000000 PA 298851.44000000 0.606215539746 Long DBT NUSS TH N 2 2036-06-17 Fixed 3.40000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 Malaysia Government Bond 000000000 680000.00000000 PA 155065.31000000 0.314547591263 Long DBT NUSS MY N 2 2025-09-15 Fixed 3.95500000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 China Government Bond 000000000 1090000.00000000 PA 156366.40000000 0.317186832274 Long DBT NUSS CN N 2 2030-05-21 Fixed 2.68000000 N N N N N N (PIPA070) PGIM Core Government Money Market Fund N/A (PIPA070) PGIM Core Government Money Market Fund 000000000 5333312.27000000 NS USD 5333312.27000000 10.81854173563 Long STIV RF US N 1 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 THB/USD FORWARD 000000000 1.00000000 NC USD 19661.24000000 0.039882522294 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -805879.89000000 USD 28038173.00000000 THB 2023-06-21 19661.24000000 N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 Republic of South Africa Government Bond 000000000 6530000.00000000 PA 283306.51000000 0.574682888840 Long DBT NUSS ZA N 2 2040-01-31 Fixed 9.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 CZK/EUR FORWARD 000000000 1.00000000 NC USD 89.54000000 0.000181630509 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -6114869.05000000 CZK 257800.00000000 EUR 2023-07-19 89.54000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 Malaysia Government Bond 000000000 280000.00000000 PA 64765.65000000 0.131376122771 Long DBT NUSS MY N 2 2031-06-30 Fixed 4.23200000 N N N N N N LCH LIMITED F226TOH6YD6XJB17KS62 IRS PLN 000000000 1.00000000 NC 28527.37000000 0.057867330343 N/A DIR CORP GB N 2 LCH LIMITED F226TOH6YD6XJB17KS62 Y 2027-10-06 0.00000000 USD 0.00000000 USD 1434000.00000000 PLN 28527.37000000 N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 PHP/USD FORWARD 000000000 1.00000000 NC USD 6465.98000000 0.013116140767 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -35107584.00000000 PHP 640000.00000000 USD 2023-06-21 6465.98000000 N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 42680000.00000000 PA 98418.81000000 0.199641039124 Long DBT NUSS HU N 2 2027-10-27 Fixed 3.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 USD/IDR FORWARD 000000000 1.00000000 NC USD -15023.06000000 -0.03047404565 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -10012670500.00000000 IDR 667000.00000000 USD 2023-06-21 -15023.06000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS KRW 000000000 1.00000000 NC -6142.13000000 -0.01245921603 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2028-03-15 0.00000000 USD -15914.36000000 USD 3330000000.00000000 KRW 9772.23000000 N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 Republic of Poland Government Bond 000000000 2420000.00000000 PA 486482.74000000 0.986822739774 Long DBT NUSS PL N 2 2029-10-25 Fixed 2.75000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912796YH6 2130000.00000000 PA USD 2093141.69000000 4.245905655896 Long DBT UST US N 2 2023-09-07 None 0.00000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CZK/USD FORWARD 000000000 1.00000000 NC USD 1224.00000000 0.002482865134 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -219288.30000000 USD 4726429.00000000 CZK 2023-07-19 1224.00000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 Colombian TES 000000000 1644000000.00000000 PA 218764.33000000 0.443760071519 Long DBT NUSS CO N 2 2036-07-09 Fixed 6.25000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 MXN/USD FORWARD 000000000 1.00000000 NC USD 2485.16000000 0.005041108755 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -87799.71000000 USD 1641567.00000000 MXN 2023-06-21 2485.16000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC -50680.63000000 -0.10280487679 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 0.00000000 USD 0.00000000 USD 1055859.07000000 BRL -50680.63000000 N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 Republic of Poland Government Bond 000000000 750000.00000000 PA 130776.53000000 0.265278175404 Long DBT NUSS PL N 2 2030-10-25 Fixed 1.25000000 N N N N N N ROMANIA 315700IASY927EDWBK92 Romanian Government International Bond 000000000 120000.00000000 PA USD 109260.00000000 0.221632225940 Long DBT NUSS RO N 2 2027-02-27 Fixed 3.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 USD/ILS FORWARD 000000000 1.00000000 NC USD 7923.33000000 0.016072352780 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -1717269.60000000 ILS 482000.00000000 USD 2023-06-21 7923.33000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 Mexican Bonos 000000000 7611800.00000000 PA 370616.70000000 0.751790263515 Long DBT NUSS MX N 2 2042-11-13 Fixed 7.75000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 Colombian TES 000000000 1094100000.00000000 PA 182078.41000000 0.369343248251 Long DBT NUSS CO N 2 2042-05-28 Fixed 9.25000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC -44508.55000000 -0.09028490765 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2024-01-02 0.00000000 USD 0.00000000 USD 1374263.42000000 BRL -44508.55000000 N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 Republic of Poland Government Bond 000000000 830000.00000000 PA 212865.36000000 0.431794101797 Long DBT NUSS PL N 2 2028-07-25 Fixed 7.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC -686.79000000 -0.00139314292 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 0.00000000 USD 0.00000000 USD 3098917.48000000 BRL -686.79000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS PLN 000000000 1.00000000 NC -79945.43000000 -0.16216807253 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-09-08 0.00000000 USD -1820.54000000 USD 2730000.00000000 PLN -78124.89000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 TRY CALL VERSUS USD PUT 000000000 -1160000.00000000 NC USD -8825.38000000 -0.01790214730 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 TRY CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A TRY N/A USD 2023-04-28 -1160000.00000000 USD 19.60000000 USD 2023-04-28 XXXX 4626.66000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 8815000.00000000 PA 270326.02000000 0.548352164947 Long DBT NUSS TH N 2 2038-06-17 Fixed 3.30000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 USD/ILS FORWARD 000000000 1.00000000 NC USD -3358.55000000 -0.00681276690 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -1968232.51000000 ILS 540000.00000000 USD 2023-06-21 -3358.55000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 USD/SGD FORWARD 000000000 1.00000000 NC USD 2172.35000000 0.004406578491 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -589700.65000000 SGD 445000.00000000 USD 2023-06-21 2172.35000000 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 PHP/USD FORWARD 000000000 1.00000000 NC USD 3336.84000000 0.006768728508 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -55064737.00000000 PHP 997007.73000000 USD 2023-06-21 3336.84000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 6870000000.00000000 PA 527697.30000000 1.070425839481 Long DBT NUSS ID N 2 2031-05-15 Fixed 8.75000000 N N N N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 12015000.00000000 PA 363731.06000000 0.737822848905 Long DBT NUSS TH N 2 2028-12-17 Fixed 2.87500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC -47613.71000000 -0.09658367684 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-01-02 0.00000000 USD 0.00000000 USD 1478083.60000000 BRL -47613.71000000 N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 CHINA GOVERNMENT BOND 000000000 6890000.00000000 PA 986587.61000000 2.001277760291 Long DBT NUSS CN N 2 2025-04-09 Fixed 1.99000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC -33850.85000000 -0.06866592747 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 0.00000000 USD 0.00000000 USD 668456.46000000 BRL -33850.85000000 N N N REPUBLIC OF POLAND 259400R9L8QEP0TPXS31 Republic of Poland Government International Bond 857524AD4 25000.00000000 PA USD 26153.13000000 0.053051221098 Long DBT NUSS PL N 2 2027-11-16 Fixed 5.50000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS HUF 000000000 1.00000000 NC 94947.00000000 0.192598526051 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2026-09-03 5523.21000000 USD 0.00000000 USD -157860000.00000000 HUF 89423.79000000 N N N CZECH REPUBLIC 3157007EFDLQABN47912 Czech Republic Government Bond 000000000 8770000.00000000 PA 322881.54000000 0.654960227212 Long DBT NUSS CZ N 2 2030-05-15 Fixed 0.95000000 N N N N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 Republic of Poland Government Bond 000000000 710000.00000000 PA 122754.38000000 0.249005367777 Long DBT NUSS PL N 2 2032-04-25 Fixed 1.75000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 USD/CNH FORWARD 000000000 1.00000000 NC USD -6189.18000000 -0.01255465623 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -840157.72000000 USD 5765197.90000000 CNY 2023-05-23 -6189.18000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 975000.00000000 NC USD 1.92000000 0.000003894690 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A ZAR N/A USD 2023-05-19 975000.00000000 USD 15.50000000 USD 2023-05-19 XXXX -17.58000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 INR/USD FORWARD 000000000 1.00000000 NC USD 38.11000000 0.000077305547 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -122743.31000000 USD 10063110.00000000 INR 2023-06-21 38.11000000 N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 65380000.00000000 PA 148709.57000000 0.301655070636 Long DBT NUSS HU N 2 2026-08-26 Fixed 1.50000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 USD/SGD FORWARD 000000000 1.00000000 NC USD 111.94000000 0.000227068564 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -1230558.40000000 SGD 924182.96000000 USD 2023-06-21 111.94000000 N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 Peruvian Government International Bond 000000000 7000.00000000 PA 1777.31000000 0.003605245940 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.90000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 Colombian TES 000000000 500000000.00000000 PA 86123.62000000 0.174700435718 Long DBT NUSS CO N 2 2030-09-18 Fixed 7.75000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 Malaysia Government Bond 000000000 567000.00000000 PA 128816.60000000 0.261302487608 Long DBT NUSS MY N 2 2025-03-14 Fixed 3.88200000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 THB/USD FORWARD 000000000 1.00000000 NC USD 302.64000000 0.000613900575 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -57546.04000000 USD 1964737.00000000 THB 2023-06-21 302.64000000 N N N GOHL CAPITAL LTD 254900TF7OK6KSDZA888 Gohl Capital Ltd 000000000 200000.00000000 PA USD 188240.00000000 0.381841938596 Long DBT CORP IM N 2 2027-01-24 Fixed 4.25000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS KRW 000000000 1.00000000 NC -5947.30000000 -0.01206400638 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2028-03-15 0.00000000 USD -4884.28000000 USD 904550000.00000000 KRW -1063.02000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 24635000.00000000 PA 693699.16000000 1.407158053851 Long DBT NUSS TH N 2 2031-12-17 Fixed 2.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 BRL/USD FORWARD 000000000 1.00000000 NC USD 166020.30000000 0.336769619625 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -2854251.62000000 USD 15080153.00000000 BRL 2023-05-03 166020.30000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS BRL 000000000 1.00000000 NC 10253.01000000 0.020798072752 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 0.00000000 USD 0.00000000 USD 2234607.71000000 BRL 10253.01000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC -27708.73000000 -0.05620673172 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2030-01-28 0.00000000 USD -28291.62000000 USD 5346400.00000000 MXN 582.89000000 N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 USD/THB FORWARD 000000000 1.00000000 NC USD -1175.17000000 -0.00238381423 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -3911739.00000000 THB 114000.00000000 USD 2023-06-21 -1175.17000000 N N N ROMANIA GOVERNMENT BOND 315700IASY927EDWBK92 Romania Government Bond 000000000 1170000.00000000 PA 215583.19000000 0.437307178061 Long DBT NUSS RO N 2 2027-10-25 Fixed 2.50000000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 COP CALL VERSUS USD PUT 000000000 -462000.00000000 NC USD -6425.89000000 -0.01303481882 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 Put Written CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 COP CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A COP N/A USD 2023-05-18 -462000.00000000 USD 4700.00000000 USD 2023-05-18 XXXX 10484.14000000 N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 ESKOM HOLDINGS SOC LTD 29646AAA4 200000.00000000 PA USD 197787.50000000 0.401208895187 Long DBT CORP ZA N 2 2023-08-06 Fixed 6.75000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD/MXN FORWARD 000000000 1.00000000 NC USD -34936.96000000 -0.07086908486 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -18162755.52000000 MXN 964000.00000000 USD 2023-06-21 -34936.96000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 ILS/USD FORWARD 000000000 1.00000000 NC USD -20702.86000000 -0.04199543241 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1717211.28000000 USD 6145340.00000000 ILS 2023-06-21 -20702.86000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 -486000.00000000 NC USD -41.73000000 -0.00008464866 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 ZAR CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A ZAR N/A USD 2023-05-04 -486000.00000000 USD 17.60000000 USD 2023-05-04 XXXX 4535.42000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/SGD FORWARD 000000000 1.00000000 NC USD 195.46000000 0.000396487597 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -606981.60000000 SGD 456000.00000000 USD 2023-06-21 195.46000000 N N N SERBIA TREASURY BONDS 254900W94OCY91V32O78 Serbia Treasury Bonds 000000000 9460000.00000000 PA 86395.67000000 0.175252284950 Long DBT NUSS RS N 2 2026-01-11 Fixed 4.50000000 N N N N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 USD/INR FORWARD 000000000 1.00000000 NC USD -1812.08000000 -0.00367577634 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -9573865.00000000 INR 115000.00000000 USD 2023-06-21 -1812.08000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC 37.03000000 0.000075114784 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2027-06-09 71.06000000 USD 0.00000000 USD -124000.00000000 MXN -34.03000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS MXN 000000000 1.00000000 NC 7883.27000000 0.015991091687 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-06-14 0.00000000 USD -738.03000000 USD 18340000.00000000 MXN 8621.30000000 N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 Sasol Financing USA LLC 80386WAA3 200000.00000000 PA USD 197412.50000000 0.400448213467 Long DBT CORP US N 2 2024-03-27 Fixed 5.87500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS CLP 000000000 1.00000000 NC -1679.52000000 -0.00340688043 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-06-22 0.00000000 USD 0.00000000 USD -259740000.00000000 CLP -1679.52000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 7659000.00000000 PA 242305.10000000 0.491512160623 Long DBT NUSS TH N 2 2031-06-20 Fixed 3.65000000 N N N N N N ROMANIA GOVERNMENT BOND 315700IASY927EDWBK92 Romania Government Bond 000000000 1245000.00000000 PA 206105.39000000 0.418081606846 Long DBT NUSS RO N 2 2036-04-28 Fixed 4.25000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 IRS COP 000000000 1.00000000 NC 2113.62000000 0.004287445592 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2028-03-15 9888.44000000 USD 0.00000000 USD -1700665000.00000000 COP -7774.82000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 USD/COP FORWARD 000000000 1.00000000 NC USD 24693.84000000 0.050091073825 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -1436237.37000000 USD 6949569647.00000000 COP 2023-06-21 24693.84000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC 21034.82000000 0.042668808153 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2028-03-15 10970.87000000 USD 0.00000000 USD -14962000.00000000 ZAR 10063.95000000 N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 China Government Bond 000000000 2890000.00000000 PA 434349.01000000 0.881070272023 Long DBT NUSS CN N 2 2030-11-19 Fixed 3.27000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC -871.45000000 -0.00176772289 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2032-11-10 0.00000000 USD -10.86000000 USD 2682000.00000000 ZAR -860.59000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 HUF/USD FORWARD 000000000 1.00000000 NC USD 1037.65000000 0.002104857031 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -408832.91000000 USD 141092327.00000000 HUF 2023-06-21 1037.65000000 N N N STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 USD/KRW FORWARD 000000000 1.00000000 NC USD -14889.17000000 -0.03020245185 N/A DFE CORP US N 2 STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC 5493003GCX71N8988W38 -567000.00000000 USD 736256531.00000000 KRW 2023-06-21 -14889.17000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 PLN/USD FORWARD 000000000 1.00000000 NC USD -15706.90000000 -0.03186120455 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -3286486.00000000 PLN 770246.09000000 USD 2023-07-19 -15706.90000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD/INR FORWARD 000000000 1.00000000 NC USD -7460.68000000 -0.01513387438 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 -43066520.00000000 INR 518000.00000000 USD 2023-06-21 -7460.68000000 N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 55760000.00000000 PA 99940.93000000 0.202728636083 Long DBT NUSS HU N 2 2034-06-22 Fixed 2.25000000 N N N N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 Hungary Government Bond 000000000 198840000.00000000 PA 460325.72000000 0.933763627871 Long DBT NUSS HU N 2 2026-04-22 Fixed 1.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 USD/INR FORWARD 000000000 1.00000000 NC USD -9338.99000000 -0.01894399727 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -51990137.50000000 INR 625000.00000000 USD 2023-06-21 -9338.99000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 Malaysia Government Bond 000000000 842000.00000000 PA 204632.14000000 0.415093141928 Long DBT NUSS MY N 2 2037-04-07 Fixed 4.76200000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS ZAR 000000000 1.00000000 NC 8176.06000000 0.016585011689 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-03-30 7.42000000 USD 0.00000000 USD -21502000.00000000 ZAR 8168.64000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 Indonesia Treasury Bond 000000000 1850000000.00000000 PA 142961.49000000 0.289995178953 Long DBT NUSS ID N 2 2039-04-15 Fixed 8.37500000 N N N N N N CZECH REPUBLIC 3157007EFDLQABN47912 Czech Republic Government Bond 000000000 9420000.00000000 PA 394294.91000000 0.799821147540 Long DBT NUSS CZ N 2 2029-07-23 Fixed 2.75000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 Brazil Notas do Tesouro Nacional Serie F 000000000 4717000.00000000 PA 916936.26000000 1.859991070375 Long DBT NUSS BR N 2 2025-01-01 Fixed 10.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MXN CALL VERSUS USD PUT 000000000 463000.00000000 NC USD 26.13000000 0.000053004302 N/A DFE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 MXN CALL VERSUS USD PUT 000000000 0.00000000 NC 0.00000000 0.00000000 DFE CORP US US N/A MXN N/A USD 2023-05-18 463000.00000000 USD 17.00000000 USD 2023-05-18 XXXX -5.82000000 N N N CZECH REPUBLIC 3157007EFDLQABN47912 Czech Republic Government Bond 000000000 3600000.00000000 PA 158254.81000000 0.321017442852 Long DBT NUSS CZ N 2 2025-09-17 Fixed 2.40000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 IRS KRW 000000000 1.00000000 NC -1343.29000000 -0.00272484306 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-09-21 0.00000000 USD -783.95000000 USD 496506941.00000000 KRW -559.34000000 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 Peru Government Bond 000000000 260000.00000000 PA 66014.45000000 0.133909294322 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.90000000 N N N N N N 2023-06-22 Prudential World Fund, Inc. Christian J. Kelly Christian J. Kelly Chief Financial Officer