NPORT-P false 0000836906 XXXXXXXX S000053069 C000166997 C000166998 VANGUARD MALVERN FUNDS 811-05628 0000836906 549300EW16IGZDA38J20 100 Vanguard Boulevard Malvern 19355 610-669-1000 VANGUARD EMERGING MARKETS BOND FUND S000053069 5493006QRHGOC6VL4381 2020-09-30 2020-06-30 N 704092215.98 44268452.21 659823763.77 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 0.00000000 MXN UAH ZAR IDR PLN EUR JPY RUB USD BRL COP N Peruvian Government International Bond N/A 715638AS1 3685000.00000000 PA USD 4687356.85000000 0.710395276341 Long DBT NUSS PE N 2 2025-07-21 Fixed 7.35000000 N N N N N N Trinidad & Tobago Government International Bond N/A N/A 2500000.00000000 PA USD 2529791.75000000 0.383404158641 Long DBT NUSS TT N 2 2026-08-04 Fixed 4.50000000 N N N N N N Philippine Government International Bond N/A 718286BY2 9615000.00000000 PA USD 10444389.90000000 1.582905993007 Long DBT NUSS PH N 2 2024-01-21 Fixed 4.20000000 N N N N N N Panama Government International Bond N/A 698299BF0 4200000.00000000 PA USD 4719750.00000000 0.715304640292 Long DBT NUSS PA N 2 2028-03-17 Fixed 3.87500000 N N N N N N Indonesia Government International Bond N/A N/A 4050000.00000000 PA USD 4651452.14000000 0.704953715735 Long DBT NUSS ID N 2 2043-04-15 Fixed 4.62500000 N N N N N N Petrobras Global Finance BV 549300FNENFFSMO3GT38 71647NBG3 7360000.00000000 PA USD 7525600.00000000 1.140546978332 Long DBT CORP NL N 2 2050-06-03 Fixed 6.75000000 N N N N N N Dominican Republic International Bond N/A N/A 1833333.33000000 PA USD 1889983.33000000 0.286437596488 Long DBT NUSS DO N 2 2021-05-06 Fixed 7.50000000 N N N N N N Mexico Government International Bond N/A 91087BAH3 3000000.00000000 PA USD 2953620.00000000 0.447637712095 Long DBT NUSS MX N 2 2030-04-16 Fixed 3.25000000 N N N N N N Abu Dhabi Government International Bond N/A 29135LAJ9 2000000.00000000 PA USD 2367020.00000000 0.358735185055 Long DBT NUSS AE Y 2 2050-04-16 Fixed 3.87500000 N N N N N N Colombia Government International Bond N/A 195325DP7 1500000.00000000 PA USD 1630305.00000000 0.247081886030 Long DBT NUSS CO N 2 2029-03-15 Fixed 4.50000000 N N N N N N Panama Government International Bond N/A 698299AV6 5200000.00000000 PA USD 6552000.00000000 0.992992426123 Long DBT NUSS PA N 2 2026-01-29 Fixed 7.12500000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QBX9 1000.00000000 PA USD 712.09000000 0.000107921241 Long DBT CORP MX N 2 2046-01-23 Fixed 5.62500000 N N N N N N Costa Rica Government International Bond N/A 221597CP0 4800000.00000000 PA USD 4134000.00000000 0.626530935530 Long DBT NUSS CR Y 2 2031-02-19 Fixed 6.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 337909.97670000 0.051212156223 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 622050000.00000000 JPY 6182877.81000000 USD 2022-07-22 337909.97670000 N N N N/A N/A N/A 1.00000000 NC N/A -21013.42000000 -0.00318470190 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 834687.36000000 USD 18723280.36000000 MXN 2020-07-10 -21013.42000000 N N N ALBANIA (REPUBLIC OF) 254900EDM43U3SGRND29 N/A 5160000.00000000 PA 5756394.60000000 0.872413955979 Long DBT CORP AL Y 2 2027-06-16 Fixed 3.50000000 N N N N N N Embraer Netherlands Finance BV 724500PBR8LR26XBSP67 29082HAA0 4750000.00000000 PA USD 4205840.00000000 0.637418691313 Long DBT CORP NL N 2 2025-06-15 Fixed 5.05000000 N N N N N N Kazakhstan Temir Zholy Finance BV N/A N/A 600000.00000000 PA USD 800532.00000000 0.121325124064 Long DBT CORP NL N 2 2042-07-10 Fixed 6.95000000 N N N N N N Panama Government International Bond N/A 698299BE3 6700000.00000000 PA USD 7246050.00000000 1.098179604596 Long DBT NUSS PA N 2 2025-03-16 Fixed 3.75000000 N N N N N N KazMunayGas National Co JSC 2138001H1M69RFJCSH88 AS0272011 6500000.00000000 PA USD 7345520.00000000 1.113254842176 Long DBT CORP KZ N 2 2030-04-24 Fixed 5.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 254118.94000000 0.038513153656 N/A DFE N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 794403300.00000000 RUB 11400000.00000000 USD 2020-07-14 254118.94000000 N N N Argentine Republic Government International Bond N/A 040114GX2 4200000.00000000 PA USD 1685250.00000000 0.255409109603 Long DBT NUSS AR N 2 2026-04-22 Fixed 7.50000000 N N N N N N Turkey Government International Bond N/A 900123CM0 2000000.00000000 PA USD 1627460.00000000 0.246650710289 Long DBT NUSS TR N 2 2047-05-11 Fixed 5.75000000 N N N N N N KazMunayGas National Co JSC 2138001H1M69RFJCSH88 N/A 700000.00000000 PA USD 726850.81000000 0.110158325587 Long DBT CORP KZ N 2 2023-04-30 Fixed 4.40000000 N N N N N N N/A N/A N/A 6000000.00000000 NC USD 158082.00000000 0.023958215614 N/A DCR N/A N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A COLOMBIA REP OF Y Payout of notional amount upon default event with regard to reference instrument 2025-06-20 0.00000000 USD 334163.78000000 USD 6000000.00000000 USD -176081.78000000 N N N Venezuela Government International Bond N/A N/A 1500000.00000000 PA USD 90000.00000000 0.013640005853 Long DBT NUSS VE N 2 2038-03-31 Fixed 7.00000000 N N N N N N Mexico Government International Bond N/A 91087BAF7 1000000.00000000 PA USD 1080940.00000000 0.163822532523 Long DBT NUSS MX N 2 2029-04-22 Fixed 4.50000000 N N N N N N Philippine Government International Bond N/A 718286BB2 600000.00000000 PA USD 896250.00000000 0.135831724956 Long DBT NUSS PH N 2 2031-01-14 Fixed 7.75000000 N N N N N N Jordan Government International Bond N/A N/A 500000.00000000 PA USD 524873.65000000 0.079547551758 Long DBT NUSS JO N 2 2026-01-29 Fixed 6.12500000 N N N N N N Lebanon Government International Bond N/A N/A 2890000.00000000 PA USD 501229.17000000 0.075964097918 Long DBT NUSS LB N 2 2024-04-22 Fixed 6.65000000 Y N N N N N N/A N/A N/A -17460000.00000000 NC USD -120677.47000000 -0.01828934885 N/A DCR N/A N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A RUSSIA-EUROBOND Y Payout of notional amount upon default event with regard to reference instrument 2025-06-20 -1226164.02000000 USD 0.00000000 USD -17460000.00000000 USD 1105486.55000000 N N N Argentine Republic Government International Bond N/A 040114HR4 2000000.00000000 PA USD 775000.00000000 0.117455605959 Long DBT NUSS AR N 2 2048-01-11 Fixed 6.87500000 N N N N N N Ukraine Government International Bond N/A N/A 7950000.00000000 PA USD 8287875.00000000 1.256074039020 Long DBT NUSS UA N 2 2025-09-01 Fixed 7.75000000 N N N N N N Empresa Nacional del Petroleo 549300YP3P0JZBLIV197 N/A 8420000.00000000 PA USD 9409158.87000000 1.426010911798 Long DBT CORP CL N 2 2029-11-06 Fixed 5.25000000 N N N N N N Panama Government International Bond N/A 698299AD6 500000.00000000 PA USD 709375.00000000 0.107509768357 Long DBT NUSS PA N 2 2027-09-30 Fixed 8.87500000 N N N N N N Romanian Government International Bond N/A N/A 2987000.00000000 PA 3180469.22000000 0.482017986413 Long DBT NUSS RO N 2 2031-07-16 Fixed 2.12400000 N N N N N N Republic of South Africa Government Bond N/A N/A 177400000.00000000 PA 8799979.52000000 1.333686357357 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.87500000 N N N N N N Fomento Economico Mexicano SAB de CV 549300A8MDWDJNMLV153 344419AC0 3300000.00000000 PA USD 3400848.00000000 0.515417629181 Long DBT CORP MX N 2 2050-01-16 Fixed 3.50000000 N N N N N N N/A N/A N/A -10000000.00000000 NC USD 46859.00000000 0.007101744825 N/A DCR N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A CHILE Y Payout of notional amount upon default event with regard to reference instrument 2025-06-20 58297.63000000 USD 0.00000000 USD -10000000.00000000 USD -11438.63000000 N N N Ukraine Government International Bond N/A N/A 200000.00000000 PA USD 209019.12000000 0.031678022447 Long DBT NUSS UA N 2 2023-09-01 Fixed 7.75000000 N N N N N N Costa Rica Government International Bond N/A N/A 2200000.00000000 PA USD 1959168.86000000 0.296923052423 Long DBT NUSS CR N 2 2025-04-30 Fixed 4.37500000 N N N N N N Russian Foreign Bond - Eurobond N/A N/A 200000.00000000 PA USD 281114.54000000 0.042604488567 Long DBT NUSS RU N 2 2043-09-16 Fixed 5.87500000 N N N N N N Republic of Uzbekistan Bond N/A N/A 1500000.00000000 PA USD 1576500.00000000 0.238927435864 Long DBT NUSS UZ N 2 2024-02-20 Fixed 4.75000000 N N N N N N Croatia Government International Bond N/A BJ9805851 5953000.00000000 PA 6659528.74000000 1.009289011045 Long DBT NUSS HR N 2 2031-06-17 Fixed 1.50000000 N N N N N N Saudi Government International Bond N/A N/A 2000000.00000000 PA USD 2051204.00000000 0.310871495182 Long DBT NUSS SA N 2 2027-02-03 Fixed 2.50000000 N N N N N N Dominican Republic International Bond N/A N/A 1890000.00000000 PA USD 1733829.30000000 0.262771575563 Long DBT NUSS DO N 2 2048-02-15 Fixed 6.50000000 N N N N N N Abu Dhabi Government International Bond N/A N/A 11595000.00000000 PA USD 12064365.60000000 1.828422415565 Long DBT NUSS AE N 2 2049-09-30 Fixed 3.12500000 N N N N N N Costa Rica Government International Bond N/A N/A 1400000.00000000 PA USD 1146075.00000000 0.173694107870 Long DBT NUSS CR N 2 2044-04-04 Fixed 7.00000000 N N N N N N Suzano Austria GmbH 254900287ZNSGVP1R341 86964WAB8 2830000.00000000 PA USD 3095652.10000000 0.469163475154 Long DBT CORP AT Y 2 2047-03-16 Fixed 7.00000000 N N N N N N Kazakhstan Government International Bond N/A N/A 1800000.00000000 PA USD 2282292.00000000 0.345894180433 Long DBT NUSS KZ N 2 2044-10-14 Fixed 4.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 8738.34000000 0.001324344541 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3250000.00000000 EUR 3660815.28000000 USD 2020-07-10 8738.34000000 N N N N/A N/A BVN633NV0 5000000.00000000 NC 7713.58000000 0.001169036403 N/A DFE N/A N 1 ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 Call Purchased N/A N/A 5000000.00000000 1.19000000 EUR 2021-04-22 XXXX -31816.11000000 N N N Qatar Government International Bond N/A N/A 200000.00000000 PA USD 235561.14000000 0.035700614760 Long DBT NUSS QA N 2 2028-04-23 Fixed 4.50000000 N N N N N N Lebanon Government International Bond N/A AQ5804622 1445000.00000000 PA USD 230635.15000000 0.034954053288 Long DBT NUSS LB N 2 2031-11-20 Fixed 7.15000000 N N N N N N Angolan Government International Bond N/A N/A 3000000.00000000 PA USD 2678006.40000000 0.405866921903 Long DBT NUSS AO N 2 2025-11-12 Fixed 9.50000000 N N N N N N Angolan Government International Bond N/A N/A 7400000.00000000 PA USD 5988598.00000000 0.907605686370 Long DBT NUSS AO N 2 2049-11-26 Fixed 9.12500000 N N N N N N Republic of Azerbaijan International Bond N/A N/A 5400000.00000000 PA USD 5254490.52000000 0.796347571657 Long DBT NUSS AZ N 2 2032-09-01 Fixed 3.50000000 N N N N N N Banque Ouest Africaine de Developpement 529900LIZJABE4JJS826 N/A 400000.00000000 PA USD 402707.52000000 0.061032588110 Long DBT CORP N/A N 2 2031-10-22 Fixed 4.70000000 N N N N N N Kenya Government International Bond N/A N/A 3600000.00000000 PA USD 3534170.04000000 0.535623333692 Long DBT NUSS KE N 2 2048-02-28 Fixed 8.25000000 N N N N N N Indonesia Government International Bond N/A N/A 10000000.00000000 PA USD 11261708.00000000 1.706775144874 Long DBT NUSS ID N 2 2026-01-08 Fixed 4.75000000 N N N N N N Sri Lanka Government International Bond N/A N/A 4174000.00000000 PA USD 2893521.15000000 0.438529393586 Long DBT NUSS LK N 2 2024-03-14 Fixed 6.85000000 N N N N N N N/A N/A N/A 10000000.00000000 NC USD 155762.94000000 0.023606749037 N/A DFE N/A N 1 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased N/A N/A 10000000.00000000 95.10000000 USD 2022-07-21 XXXX -170507.06000000 N N N Inversiones CMPC SA 549300G475ACIABB4385 AN0814748 2500000.00000000 PA USD 2668750.00000000 0.404464062456 Long DBT CORP CL N 2 2027-04-04 Fixed 4.37500000 N N N N N N Sri Lanka Government International Bond N/A N/A 11445000.00000000 PA USD 7634832.46000000 1.157101771596 Long DBT NUSS LK N 2 2025-11-03 Fixed 6.85000000 N N N N N N Republic of South Africa Government International Bond N/A 836205AT1 8930000.00000000 PA USD 8929821.40000000 1.353364624059 Long DBT NUSS ZA N 2 2026-04-14 Fixed 4.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3313.67000000 -0.00050220531 N/A DFE N/A N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 1989417.00000000 EUR 2232226.00000000 USD 2020-07-10 -3313.67000000 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QBR2 5511000.00000000 PA USD 4088555.79000000 0.619643610081 Long DBT CORP MX N 2 2045-01-23 Fixed 6.37500000 N N N N N N Panama Government International Bond N/A 698299BM5 5000000.00000000 PA USD 6125000.00000000 0.928278176130 Long DBT NUSS PA N 2 2056-04-01 Fixed 4.50000000 N N N N N N El Salvador Government International Bond N/A N/A 5100000.00000000 PA USD 4137192.93000000 0.627014842018 Long DBT NUSS SV N 2 2050-01-20 Fixed 7.12460000 N N N N N N Gabon Government International Bond N/A N/A 3965000.00000000 PA USD 3530997.84000000 0.535142568952 Long DBT NUSS GA N 2 2031-02-06 Fixed 6.62500000 N N N N N N Colombia Government International Bond N/A 195325CX1 5483000.00000000 PA USD 5926300.55000000 0.898164157674 Long DBT NUSS CO N 2 2026-01-28 Fixed 4.50000000 N N N N N N Lebanon Government International Bond N/A AS8296236 1445000.00000000 PA USD 227202.12000000 0.034433758296 Long DBT NUSS LB N 2 2033-05-17 Fixed 8.20000000 N N N N N N Ecopetrol SA 254900IDGKCJICKBPA66 279158AK5 8640000.00000000 PA USD 8607600.00000000 1.304530159814 Long DBT CORP CO N 2 2025-01-16 Fixed 4.12500000 N N N N N N Jordan Government International Bond N/A N/A 1320000.00000000 PA USD 1356361.64000000 0.205564230098 Long DBT NUSS JO N 2 2047-10-10 Fixed 7.37500000 N N N N N N African Export-Import Bank/The 21380068LJCDYA42GJ76 00831TAA9 2000000.00000000 PA USD 1970000.00000000 0.298564572567 Long DBT CORP N/A Y 2 2029-09-21 Fixed 3.99400000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -120409.24000000 -0.01824869709 N/A DFE N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 2975000.00000000 USD 15523550.00000000 BRL 2020-07-02 -120409.24000000 N N N Petroleos de Venezuela SA 549300YWR8TN1OFD4P06 N/A 462000.00000000 PA USD 11088.00000000 0.001680448721 Long DBT CORP VE N 2 2027-04-12 Fixed 5.37500000 N N N N N N Republic of Uzbekistan Bond N/A N/A 6150000.00000000 PA USD 6702666.06000000 1.015826714349 Long DBT NUSS UZ N 2 2029-02-20 Fixed 5.37500000 N N N N N N NORTH MACEDONIA, REPUBLIC OF (GOVERNMENT) 529900FA29F5OY2J7P74 N/A 2995000.00000000 PA 3411609.42000000 0.517048582868 Long DBT CORP MK Y 2 2026-06-03 Fixed 3.67500000 N N N N N N Republic of South Africa Government International Bond N/A 836205BB9 9000000.00000000 PA USD 7807860.00000000 1.183325067801 Long DBT NUSS ZA N 2 2049-09-30 Fixed 5.75000000 N N N N N N Qatar Government International Bond N/A N/A 11250000.00000000 PA USD 12922130.25000000 1.958421469418 Long DBT NUSS QA N 2 2029-03-14 Fixed 4.00000000 N N N N N N Guatemala Government Bond N/A N/A 13278000.00000000 PA USD 13820934.76000000 2.094640344723 Long DBT NUSS GT N 2 2026-05-03 Fixed 4.50000000 N N N N N N Philippine Government International Bond N/A 718286BZ9 200000.00000000 PA USD 231972.00000000 0.035156660420 Long DBT NUSS PH N 2 2040-01-20 Fixed 3.95000000 N N N N N N Sociedad Quimica y Minera de Chile SA TJ88LXZZW5PWIN93ZC81 833636AJ2 2900000.00000000 PA USD 2885500.00000000 0.437313743220 Long DBT CORP CL Y 2 2050-01-22 Fixed 4.25000000 N N N N N N Nigeria Government International Bond N/A N/A 1000000.00000000 PA USD 888288.50000000 0.134625114882 Long DBT NUSS NG N 2 2047-11-28 Fixed 7.62500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -146939.97000000 -0.02226957834 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 6875305.67000000 USD 479552570.48000000 RUB 2020-07-14 -146939.97000000 N N N Saudi Government International Bond N/A BH8296049 2550000.00000000 PA USD 2740421.25000000 0.415326243229 Long DBT NUSS SA N 2 2030-10-22 Fixed 3.25000000 N N N N N N Ecuador Government International Bond N/A N/A 5500000.00000000 PA USD 2244000.00000000 0.340090812610 Long DBT NUSS EC N 2 2028-01-23 Fixed 7.77500000 N N N N N N Republic of Azerbaijan International Bond N/A N/A 3000000.00000000 PA USD 3190500.00000000 0.483538207501 Long DBT NUSS AZ N 2 2024-03-18 Fixed 4.75000000 N N N N N N Mexico Government International Bond N/A 91087BAK6 14150000.00000000 PA USD 15600375.00000000 2.364324514604 Long DBT NUSS MX N 2 2032-04-27 Fixed 4.75000000 N N N N N N Lebanon Government International Bond N/A N/A 6310000.00000000 PA USD 1014095.88000000 0.153691930433 Long DBT NUSS LB N 2 2028-03-20 Fixed 7.00000000 Y N N N N N Banque Ouest Africaine de Developpement 529900LIZJABE4JJS826 N/A 500000.00000000 PA USD 524375.00000000 0.079471978548 Long DBT CORP N/A N 2 2027-07-27 Fixed 5.00000000 N N N N N N Costa Rica Government International Bond N/A 221597AF4 75000.00000000 PA USD 75187.50000000 0.011395088223 Long DBT NUSS CR Y 2 2020-08-01 Fixed 9.99500000 N N N N N N Banque Ouest Africaine de Developpement 529900LIZJABE4JJS826 N/A 1000000.00000000 PA USD 1022982.90000000 0.155038808265 Long DBT CORP N/A N 2 2021-05-06 Fixed 5.50000000 N N N N N N N/A N/A N/A -11210000.00000000 NC USD -191208.00000000 -0.02897864710 N/A DCR N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A INDONESIA (REP) Y Payout of notional amount upon default event with regard to reference instrument 2025-06-20 -865579.99000000 USD 0.00000000 USD -11210000.00000000 USD 674371.99000000 N N N Vietnam Government International Bond N/A N/A 1800000.00000000 PA USD 1960731.00000000 0.297159803520 Long DBT NUSS VN N 2 2024-11-19 Fixed 4.80000000 N N N N N N Argentine Republic Government International Bond N/A 040114GK0 700000.00000000 PA USD 272125.00000000 0.041242073253 Long DBT NUSS AR N 2 2038-12-31 Fixed 3.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3175.21000000 0.000481220922 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3070188.00000000 USD 2735000.00000000 EUR 2020-07-10 3175.21000000 N N N Republic of Belarus Ministry of Finance N/A 07737JAE3 5000000.00000000 PA USD 4918750.00000000 0.745464208790 Long DBT NUSS BY Y 2 2026-02-24 Fixed 5.87500000 N N N N N N N/A N/A BVN630YJ1 13000000.00000000 NC 749516.55000000 0.113593445879 N/A DFE N/A N 1 ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 Put Purchased N/A N/A 13000000.00000000 1.17500000 EUR 2021-04-21 XXXX 321084.59000000 N N N N/A N/A N/A 4700000.00000000 NC USD 776751.38000000 0.117721037442 N/A DCR N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N/A TURKEY REP OF Y Payout of notional amount upon default event with regard to reference instrument 2025-06-20 0.00000000 USD 760674.17000000 USD 4700000.00000000 USD 16077.21000000 N N N N/A N/A N/A 1.00000000 NC N/A 29552.90000000 0.004478908099 N/A DFE N/A N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 129088387.26000000 MXN 5639459.64000000 USD 2020-07-10 29552.90000000 N N N State Oil Co of the Azerbaijan Republic 2549002HARR1VE257O76 N/A 1335000.00000000 PA USD 1573437.01000000 0.238463222514 Long DBT CORP AZ N 2 2030-03-18 Fixed 6.95000000 N N N N N N Honduras Government International Bond N/A 438180AJ0 11412000.00000000 PA USD 11568915.00000000 1.753334092409 Long DBT NUSS HN Y 2 2030-06-24 Fixed 5.62500000 N N N N N N Lebanon Government International Bond N/A N/A 4900000.00000000 PA USD 840145.67000000 0.127328798405 Long DBT NUSS LB N 2 2030-02-26 Fixed 6.65000000 Y N N N N N Ecuador Government International Bond N/A N/A 2000000.00000000 PA USD 872500.00000000 0.132232278967 Long DBT NUSS EC N 2 2025-03-27 Fixed 7.87500000 N N N N N N Russian Foreign Bond - Eurobond N/A N/A 3000000.00000000 PA USD 3706692.00000000 0.561770006406 Long DBT NUSS RU N 2 2035-03-28 Fixed 5.10000000 N N N N N N Vanguard Cmt Funds-Vanguard Market Liquidity Fund 1I6HV0TLSTR3A4XQ6L78 N/A 465302.87500000 NS USD 46530287.50000000 7.051926598421 Long STIV CORP US N 1 N N N N/A N/A N/A -15.00000000 NC USD -3272343.75000000 -0.49594208782 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A CME Ultra Long Term US Treasury Bond Future 2020-09-21 -3294044.36000000 USD 21700.61000000 N N N N/A N/A N/A 1.00000000 NC N/A 11130.21000000 0.001686845883 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 62775243000.00000000 IDR 4395102.08000000 USD 2020-07-22 11130.21000000 N N N Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 254900OYVDRYS9J51J61 N/A 4400000.00000000 PA 4534358.02000000 0.687207443710 Long DBT CORP ID Y 2 2031-11-05 Fixed 1.87500000 N N N N N N El Salvador Government International Bond N/A N/A 2330000.00000000 PA USD 1964190.00000000 0.297684034412 Long DBT NUSS SV N 2 2041-02-01 Fixed 7.62500000 N N N N N N Colombia Government International Bond N/A 195325BB0 615000.00000000 PA USD 942715.05000000 0.142873764444 Long DBT NUSS CO N 2 2033-01-28 Fixed 10.37500000 N N N N N N Serbia International Bond N/A BJ4188717 8357000.00000000 PA 9809446.92000000 1.486676815632 Long DBT NUSS RS Y 2 2027-05-15 Fixed 3.12500000 N N N N N N N/A N/A N/A -19.00000000 NC -4695405.98000000 -0.71161516723 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A Eurex 30 Year Euro BUXL Future 2020-09-08 -4590626.65000000 EUR -143878.00000000 N N N Mexican Bonos N/A N/A 220000000.00000000 PA 10773495.09000000 1.632783734317 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75000000 N N N N N N Lebanon Government International Bond N/A AS8295618 1445000.00000000 PA USD 231416.75000000 0.035072509161 Long DBT NUSS LB N 2 2034-05-17 Fixed 8.25000000 N N N N N N Ecuador Government International Bond N/A N/A 3000000.00000000 PA USD 1241250.00000000 0.188118414060 Long DBT NUSS EC N 2 2029-01-31 Fixed 10.65000000 N N N N N N Romanian Government International Bond N/A ZP6061284 2000000.00000000 PA 2174919.50000000 0.329621274561 Long DBT NUSS RO N 2 2050-01-28 Fixed 3.37500000 N N N N N N Southern Gas Corridor CJSC 213800DG58KG59XY6318 N/A 10815000.00000000 PA USD 12430761.00000000 1.883951697795 Long DBT CORP AZ N 2 2026-03-24 Fixed 6.87500000 N N N N N N Hungary Government International Bond N/A BJ8146422 1320000.00000000 PA 1461232.75000000 0.221458036256 Long DBT NUSS HU N 2 2035-06-05 Fixed 1.75000000 N N N N N N Gazprom PJSC Via Gaz Capital SA N/A N/A 8500000.00000000 PA USD 9429185.15000000 1.429046007092 Long DBT CORP LU N 2 2026-02-11 Fixed 5.15000000 N N N N N N Venezuela Government International Bond N/A N/A 640000.00000000 PA USD 38400.00000000 0.005819735830 Long DBT NUSS VE N 2 2026-10-21 Fixed 11.75000000 N Y N N N N Brazilian Government International Bond N/A 105756BB5 4250000.00000000 PA USD 5503750.00000000 0.834124246837 Long DBT NUSS BR N 2 2034-01-20 Fixed 8.25000000 N N N N N N Ivory Coast Government International Bond N/A ZQ0630710 4600000.00000000 PA 4838227.15000000 0.733260518286 Long DBT NUSS CI N 2 2040-10-17 Fixed 6.87500000 N N N N N N Dominican Republic International Bond N/A N/A 4290000.00000000 PA USD 3903900.00000000 0.591657987231 Long DBT NUSS DO N 2 2049-06-05 Fixed 6.40000000 N N N N N N Colombia Government International Bond N/A 195325DT9 11000000.00000000 PA USD 10847980.00000000 1.644072341077 Long DBT NUSS CO N 2 2051-05-15 Fixed 4.12500000 N N N N N N Lebanon Government International Bond N/A N/A 2250000.00000000 PA USD 415864.35000000 0.063026579646 Long DBT NUSS LB N 2 2022-10-04 Fixed 6.10000000 Y N N N N N Vale Overseas Ltd 254900BA3U6G5DNV5V04 91911TAP8 227000.00000000 PA USD 266725.00000000 0.040423672902 Long DBT CORP KY N 2 2026-08-10 Fixed 6.25000000 N N N N N N Romanian Government International Bond N/A BJ5968141 2700000.00000000 PA 3271462.54000000 0.495808535495 Long DBT NUSS RO Y 2 2030-05-26 Fixed 3.62400000 N N N N N N Republic of Cameroon International Bond N/A N/A 700000.00000000 PA USD 701295.00000000 0.106285198943 Long DBT NUSS CM N 2 2025-11-19 Fixed 9.50000000 N N N N N N Lebanon Government International Bond N/A N/A 2430000.00000000 PA USD 462107.03000000 0.070034917711 Long DBT NUSS LB N 2 2021-04-12 Fixed 8.25000000 Y N N N N N Ukraine Government International Bond N/A N/A 5500000.00000000 PA USD 6256426.00000000 0.948196525122 Long DBT NUSS UA N 2 2028-11-01 Fixed 9.75000000 N N N N N N Angolan Government International Bond N/A N/A 1000000.00000000 PA USD 809930.00000000 0.122749443786 Long DBT NUSS AO N 2 2048-05-08 Fixed 9.37500000 N N N N N N Ecuador Government International Bond N/A N/A 2740000.00000000 PA USD 1137374.00000000 0.172375422416 Long DBT NUSS EC N 2 2027-10-23 Fixed 8.87500000 N N N N N N Argentine Republic Government International Bond N/A 040114HL7 4312000.00000000 PA USD 1708630.00000000 0.258952480013 Long DBT NUSS AR N 2 2027-01-26 Fixed 6.87500000 N N N N N N Petroleos de Venezuela SA 549300YWR8TN1OFD4P06 N/A 2850000.00000000 PA USD 68400.00000000 0.010366404448 Long DBT CORP VE N 2 2026-11-15 Fixed 6.00000000 N N N N N N Israel Government International Bond N/A 46513JB59 4000000.00000000 PA USD 5085640.00000000 0.770757326311 Long DBT NUSS IL N 2 2120-04-03 Fixed 4.50000000 N N N N N N Senegal Government International Bond N/A N/A 2400000.00000000 PA USD 2315599.92000000 0.350942182920 Long DBT NUSS SN N 2 2048-03-13 Fixed 6.75000000 N N N N N N N/A N/A N/A -4170000.00000000 NC USD -71128.00000000 -0.01077984818 N/A DCR N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A INDONESIA (REP) Y Payout of notional amount upon default event with regard to reference instrument 2025-06-20 -269210.90000000 USD 0.00000000 USD -4170000.00000000 USD 198082.90000000 N N N Kallpa Generacion SA 549300NG1PWEI5BZG095 LW1794947 5558000.00000000 PA USD 5885399.55000000 0.891965381236 Long DBT CORP PE N 2 2026-05-24 Fixed 4.87500000 N N N N N N Ukraine Government International Bond N/A N/A 1500000.00000000 PA USD 1556146.95000000 0.235842816740 Long DBT NUSS UA N 2 2026-09-01 Fixed 7.75000000 N N N N N N Croatia Government International Bond N/A N/A 3500000.00000000 PA 3892597.94000000 0.589945096514 Long DBT NUSS HR N 2 2029-06-19 Fixed 1.12500000 N N N N N N Egypt Government International Bond N/A 03846JX62 1400000.00000000 PA USD 1384180.00000000 0.209780258912 Long DBT NUSS EG Y 2 2050-05-29 Fixed 8.87500000 N N N N N N N/A N/A N/A 29000000.00000000 NC USD 488431.37000000 0.074024519397 N/A DFE N/A N 1 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased N/A N/A 29000000.00000000 102.00000000 USD 2021-08-19 XXXX 100411.37000000 N N N N/A N/A N/A 1.00000000 NC N/A -30625.63000000 -0.00464148636 N/A DFE N/A N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 2523038.90000000 USD 269089794.00000000 JPY 2020-07-10 -30625.63000000 N N N N/A N/A N/A -5050000.00000000 NC USD -153952.00000000 -0.02333229090 N/A DCR N/A N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N/A COLOMBIA REP OF Y Payout of notional amount upon default event with regard to reference instrument 2025-06-20 -528374.54000000 USD 0.00000000 USD -5050000.00000000 USD 374422.54000000 N N N Saudi Government International Bond N/A BH8296148 3000000.00000000 PA USD 3451683.90000000 0.523122095554 Long DBT NUSS SA N 2 2060-04-22 Fixed 4.50000000 N N N N N N KazMunayGas National Co JSC 2138001H1M69RFJCSH88 N/A 1750000.00000000 PA USD 2201937.50000000 0.333716004318 Long DBT CORP KZ N 2 2048-10-24 Fixed 6.37500000 N N N N N N Kallpa Generacion SA 549300NG1PWEI5BZG095 N/A 4307000.00000000 PA USD 4396370.25000000 0.666294621594 Long DBT CORP PE N 2 2027-08-16 Fixed 4.12500000 N N N N N N Vale Overseas Ltd 254900BA3U6G5DNV5V04 91911TAH6 4000000.00000000 PA USD 5230000.00000000 0.792635895700 Long DBT CORP KY N 2 2036-11-21 Fixed 6.87500000 N N N N N N Corp Financiera de Desarrollo SA 254900BOM7T4MG6T0J30 N/A 900000.00000000 PA USD 982385.19000000 0.148885997131 Long DBT NUSS PE N 2 2025-07-15 Fixed 4.75000000 N N N N N N N/A N/A N/A -15000000.00000000 NC USD 70288.00000000 0.010652541460 N/A DCR N/A N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A CHILE Y Payout of notional amount upon default event with regard to reference instrument 2025-06-20 50893.72000000 USD 0.00000000 USD -15000000.00000000 USD 19394.28000000 N N N Honduras Government International Bond N/A N/A 2320000.00000000 PA USD 2499611.62000000 0.378830190309 Long DBT NUSS HN N 2 2024-03-15 Fixed 7.50000000 N N N N N N Ecuador Government International Bond N/A N/A 3500000.00000000 PA USD 1696916.55000000 0.257177240829 Long DBT NUSS EC N 2 2022-03-28 Fixed 10.75000000 N N N N N N Bahrain Government International Bond N/A 05675M2C7 9635000.00000000 PA USD 10947672.40000000 1.659181284628 Long DBT NUSS BH Y 2 2030-05-14 Fixed 7.37500000 N N N N N N Petrobras Global Finance BV 549300FNENFFSMO3GT38 71647NAY5 6380000.00000000 PA USD 6683050.00000000 1.012853790202 Long DBT CORP NL N 2 2028-01-27 Fixed 5.99900000 N N N N N N Sri Lanka Government International Bond N/A N/A 800000.00000000 PA USD 520409.76000000 0.078871024139 Long DBT NUSS LK N 2 2029-03-14 Fixed 7.85000000 N N N N N N Ecuador Government International Bond N/A N/A 3950000.00000000 PA USD 1682700.00000000 0.255022642771 Long DBT NUSS EC N 2 2030-03-27 Fixed 9.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 212281.93870000 0.032172520960 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 349895000.00000000 JPY 3500000.00000000 USD 2022-07-22 212281.93870000 N N N Bahrain Government International Bond N/A N/A 8500000.00000000 PA USD 9467888.20000000 1.434911671853 Long DBT NUSS BH N 2 2028-10-12 Fixed 7.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 36187.66000000 0.005484443269 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 8435315.00000000 EUR 9515085.93000000 USD 2020-07-10 36187.66000000 N N N Credicorp Ltd 529900UYAEYQCQ2BKB17 22530EAA0 4250000.00000000 PA USD 4230322.50000000 0.641129151794 Long DBT CORP BM Y 2 2025-06-17 Fixed 2.75000000 N N N N N N Russian Federal Bond - OFZ N/A N/A 335780000.00000000 PA 5119362.25000000 0.775868122837 Long DBT NUSS RU N 2 2024-10-16 Fixed 7.10000000 N N N N N N Russian Foreign Bond - Eurobond N/A N/A 9400000.00000000 PA USD 10703835.46000000 1.622226425862 Long DBT NUSS RU N 2 2026-05-27 Fixed 4.75000000 N N N N N N Empresa de Transporte de Pasajeros Metro SA 959800T4M5QUPYMSCH69 29246QAE5 2872000.00000000 PA USD 3283126.80000000 0.497576319658 Long DBT CORP CL Y 2 2050-05-07 Fixed 4.70000000 N N N N N N Petronas Capital Ltd 549300G7YFX3540OYR85 716743AR0 8100000.00000000 PA USD 10277685.00000000 1.557640928431 Long DBT CORP MY Y 2 2050-04-21 Fixed 4.55000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 136540.70000000 0.020693510524 N/A DFE N/A N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 125093923.72000000 ZAR 7338748.18000000 USD 2020-07-10 136540.70000000 N N N Argentine Republic Government International Bond N/A 040114HQ6 11301000.00000000 PA USD 4463895.00000000 0.676528376985 Long DBT NUSS AR N 2 2028-01-11 Fixed 5.87500000 N N N N N N Republic of Armenia International Bond N/A N/A 6000000.00000000 PA USD 5763384.60000000 0.873473329767 Long DBT NUSS AM N 2 2029-09-26 Fixed 3.95000000 N N N N N N Trinidad & Tobago Government International Bond N/A 896292AK5 5750000.00000000 PA USD 5678125.00000000 0.860551758178 Long DBT NUSS TT Y 2 2030-06-26 Fixed 4.50000000 N N N N N N Ukraine Government International Bond N/A N/A 1200000.00000000 PA USD 1243612.56000000 0.188476473307 Long DBT NUSS UA N 2 2027-09-01 Fixed 7.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -14071.71000000 -0.00213264674 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3060000.00000000 USD 70089217.00000000 MXN 2020-07-10 -14071.71000000 N N N Jamaica Government International Bond N/A 470160CA8 2688000.00000000 PA USD 2997120.00000000 0.454230381590 Long DBT NUSS JM N 2 2028-04-28 Fixed 6.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 154715.49000000 0.023448002102 N/A DFE N/A N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 9996142.00000000 EUR 11387540.00000000 USD 2020-07-10 154715.49000000 N N N Ukraine Government Bond N/A N/A 43093000.00000000 PA 1655263.55000000 0.250864494564 Long DBT NUSS UA N 2 2023-11-22 Fixed 11.67000000 N N N N N N Indonesia Treasury Bond N/A N/A 63300000000.00000000 PA 4424532.63000000 0.670562788572 Long DBT NUSS ID N 2 2025-06-15 Fixed 6.50000000 N N N N N N Indonesia Government International Bond N/A 455780CU8 4600000.00000000 PA USD 5284158.00000000 0.800843845000 Long DBT NUSS ID N 2 2070-04-15 Fixed 4.45000000 N N N N N N Paraguay Government International Bond N/A 699149AJ9 12000000.00000000 PA USD 13500000.00000000 2.046000878001 Long DBT NUSS PY Y 2 2031-04-28 Fixed 4.95000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2466.38000000 0.000373793751 N/A DFE N/A N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 4060000.00000000 EUR 18059046.46000000 PLN 2020-07-10 2466.38000000 N N N N/A N/A N/A 1.00000000 NC N/A 42419.82000000 0.006428962145 N/A DFE N/A N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 5867991.16000000 EUR 6636375.26000000 USD 2020-07-10 42419.82000000 N N N N/A N/A N/A 1.00000000 NC N/A -165435.46000000 -0.02507267380 N/A DFE N/A N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 6104371.00000000 USD 136659600.00000000 MXN 2020-07-10 -165435.46000000 N N N N/A N/A N/A 1.00000000 NC N/A 1895.24000000 0.000287234274 N/A DFE N/A N 2 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 673091.32000000 USD 600673.63000000 EUR 2020-07-10 1895.24000000 N N N Panama Government International Bond N/A 698299BD5 13345000.00000000 PA USD 14479325.00000000 2.194423086138 Long DBT NUSS PA N 2 2024-09-22 Fixed 4.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 5989.07000000 0.000907677220 N/A DFE N/A N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 1454841.70000000 USD 1300000.00000000 EUR 2020-07-10 5989.07000000 N N N Ghana Government International Bond N/A 37443GAJ0 5000000.00000000 PA USD 4525000.00000000 0.685789183182 Long DBT NUSS GH Y 2 2061-03-11 Fixed 8.75000000 N N N N N N Banque Ouest Africaine de Developpement 529900LIZJABE4JJS826 06675QAC7 3000000.00000000 PA USD 3044940.00000000 0.461477771367 Long DBT CORP N/A Y 2 2031-10-22 Fixed 4.70000000 N N N N N N Russian Foreign Bond - Eurobond N/A N/A 200000.00000000 PA USD 271195.00000000 0.041101126526 Long DBT NUSS RU N 2 2042-04-04 Fixed 5.62500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 88260.78000000 0.013376417286 N/A DFE N/A N 2 ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 12477622500.00000000 COP 3405000.00000000 USD 2020-07-14 88260.78000000 N N N N/A N/A N/A -57.00000000 NC USD -10178062.50000000 -1.54254257861 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A CBOT US Long Bond Future 2020-09-21 -10130717.86000000 USD -47344.64000000 N N N Fondo MIVIVIENDA SA 549300X41PNOK11PZ670 N/A 4600000.00000000 PA USD 4724072.12000000 0.715959681871 Long DBT NUSS PE N 2 2023-01-31 Fixed 3.50000000 N N N N N N Brazilian Government International Bond N/A 105756CC2 9600000.00000000 PA USD 9243744.00000000 1.400941358520 Long DBT NUSS BR N 2 2030-06-12 Fixed 3.87500000 N N N N N N Oman Government International Bond N/A N/A 4780000.00000000 PA USD 4121978.99000000 0.624709083899 Long DBT NUSS OM N 2 2048-01-17 Fixed 6.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 108637.76000000 0.016464663136 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 15750707.50000000 BRL 3005000.00000000 USD 2020-07-02 108637.76000000 N N N Ukreximbank Via Biz Finance PLC N/A N/A 400000.00000000 PA USD 410500.00000000 0.062213582253 Long DBT CORP GB N 2 2025-01-22 Fixed 9.75000000 N N N N N N Egypt Government International Bond N/A N/A 2900000.00000000 PA USD 2838817.25000000 0.430238710073 Long DBT NUSS EG N 2 2049-03-01 Fixed 8.70020000 N N N N N N Gabon Government International Bond N/A N/A 1152820.00000000 PA USD 1090048.95000000 0.165203045093 Long DBT NUSS GA N 2 2024-12-12 Fixed 6.37500000 N N N N N N N/A N/A BVN63KXT6 -5000000.00000000 NC USD 7370.92000000 0.001117104354 N/A DCR N/A N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A URUGUAY Y Payout of notional amount upon default event with regard to reference instrument 2020-09-20 4939.02000000 USD 0.00000000 USD -5000000.00000000 USD 2431.90000000 N N N N/A N/A N/A 1.00000000 NC N/A -10521.23000000 -0.00159455154 N/A DFE N/A N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 32567888.40000000 ZAR 1864555.37000000 USD 2020-07-10 -10521.23000000 N N N Saudi Government International Bond N/A N/A 1500000.00000000 PA USD 1748998.80000000 0.265070598549 Long DBT NUSS SA N 2 2047-10-04 Fixed 4.62500000 N N N N N N Argentine Republic Government International Bond N/A 040114HP8 500000.00000000 PA USD 208750.00000000 0.031637235798 Long DBT NUSS AR N 2 2023-01-11 Fixed 4.62500000 N N N N N N Panama Government International Bond N/A 698299AK0 200000.00000000 PA USD 303250.00000000 0.045959241944 Long DBT NUSS PA N 2 2029-04-01 Fixed 9.37500000 N N N N N N Jamaica Government International Bond N/A 470160CB6 1000000.00000000 PA USD 1213750.00000000 0.183950634494 Long DBT NUSS JM N 2 2045-07-28 Fixed 7.87500000 N N N N N N 2020-07-31 VANGUARD MALVERN FUNDS Christine M. Buchanan Christine M. Buchanan Treasurer XXXX