0001752724-22-274688.txt : 20221129
0001752724-22-274688.hdr.sgml : 20221129
20221129145751
ACCESSION NUMBER: 0001752724-22-274688
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220930
FILED AS OF DATE: 20221129
DATE AS OF CHANGE: 20221129
PERIOD START: 20220930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: VANGUARD MALVERN FUNDS
CENTRAL INDEX KEY: 0000836906
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05628
FILM NUMBER: 221431830
BUSINESS ADDRESS:
STREET 1: P.O. BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
BUSINESS PHONE: 6106691000
MAIL ADDRESS:
STREET 1: P.O. BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
FORMER COMPANY:
FORMER CONFORMED NAME: VANGUARD ASSET ALLOCATION FUND INC
DATE OF NAME CHANGE: 19920703
0000836906
S000053069
Vanguard Emerging Markets Bond Fund
C000166997
Admiral Shares
VEGBX
C000166998
Investor Shares
VEMBX
NPORT-P
1
primary_doc.xml
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VANGUARD MALVERN FUNDS
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100 Vanguard Boulevard
Malvern
19355
610-669-1000
VANGUARD EMERGING MARKETS BOND FUND
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2022-09-30
2022-09-30
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0.00000000
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0.00000000
0.00000000
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
32426216.30000000
BRL
CHF
CNY
COP
CZK
EUR
HUF
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INR
JPY
KZT
MXN
PLN
RUB
TRY
USD
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JP Morgan Emerging Markets Bond Index Global Diversified
JPGCCOMP
N/A
N/A
SCDS: (KOREA)
N/A
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NC
USD
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-0.01141676156
N/A
DCR
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
N/A
REP OF KOREA
Y
Receipt of notional amount upon default event with regard to reference instrument
2027-06-20
0.00000000
USD
-296499.65000000
USD
12250000.00000000
USD
61451.89000000
N
N
N
N/A
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CNH/USD FWD 20221221
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DFE
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MORGAN STANLEY CAPITAL SERVICES LLC
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2022-12-21
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Petroleos del Peru SA
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Long
DBT
CORP
PE
N
2
2047-06-19
Fixed
5.62500000
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N
N
N
N
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Honduras Government International Bond
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12688666.35000000
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USD
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0.604434309474
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DBT
NUSS
HN
N
2
2024-03-15
Fixed
7.50000000
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N
N
N
N
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Republic of South Africa Government International Bond
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USD
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DBT
NUSS
ZA
N
2
2024-01-17
Fixed
4.66500000
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N
N
N
N
N
Republic of South Africa Government International Bond
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USD
13570829.11000000
0.659163568099
Long
DBT
NUSS
ZA
N
2
2032-04-20
Fixed
5.87500000
N
N
N
N
N
N
N/A
N/A
CNH/USD FWD 20221221
N/A
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NC
-50466.16000000
-0.00245124699
N/A
DFE
N/A
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2
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USD
223765123.00000000
CNY
2022-12-21
-50466.16000000
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N/A
N/A
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N/A
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12112.78000000
0.000588343071
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DFE
N/A
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2
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10722995.73000000
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1538788704.00000000
JPY
2022-12-21
12112.78000000
N
N
N
N/A
N/A
SCDS: (PHILIP)
N/A
-6790000.00000000
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-147666.08000000
-0.00717245051
N/A
DCR
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
PHILIPPINES(REP)
Y
Payout of notional amount upon default event with regard to reference instrument
2027-12-20
0.00000000
USD
-115634.59000000
USD
-6790000.00000000
USD
-32031.49000000
N
N
N
Argentine Republic Government International Bond
N/A
ARGENTINA
040114HV5
8000000.00000000
PA
USD
1718995.12000000
0.083495190136
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
3.50000000
N
N
N
N
N
N
Indonesia Asahan Aluminium Persero PT
2549008P48EB9SN2OI80
INDONESIA ASAHAN
N/A
3270000.00000000
PA
USD
3189885.00000000
0.154939389582
Long
DBT
CORP
ID
N
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
Hungary Government International Bond
N/A
HUNGARY
445545AL0
3970000.00000000
PA
USD
3902566.85000000
0.189555838389
Long
DBT
NUSS
HU
N
2
2024-03-25
Fixed
5.37500000
N
N
N
N
N
N
Romanian Government International Bond
N/A
ROMANIA
N/A
5200000.00000000
PA
2582718.58000000
0.125448046010
Long
DBT
NUSS
RO
Y
2
2041-04-14
Fixed
2.75000000
N
N
N
N
N
N
Indofood CBP Sukses Makmur Tbk PT
254900YKZW9GRKZZN285
INDOFOOD CBP SUK
N/A
10680000.00000000
PA
USD
6790095.16000000
0.329809130828
Long
DBT
CORP
ID
N
2
2051-06-09
Fixed
4.74500000
N
N
N
N
N
N
N/A
N/A
CHF/USD FWD 20221221
N/A
1.00000000
NC
32945.19000000
0.001600216819
N/A
DFE
N/A
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1651988.00000000
CHF
1721839.59000000
USD
2022-12-21
32945.19000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QCC4
39457000.00000000
PA
USD
21977014.75000000
1.067469595361
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Angolan Government International Bond
N/A
ANGOLA REP OF
N/A
6112000.00000000
PA
USD
4121967.03000000
0.200212564247
Long
DBT
NUSS
AO
N
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
N
N/A
N/A
FSWP: INR 6.805000 21-DEC-2027
N/A
2958915000.00000000
NC
243712.23000000
0.011837613001
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
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FBIL Mumbai Interbank Rate IN
IN00O/N
Y
2027-12-21
0.00000000
INR
0.00000000
INR
2958915000.00000000
INR
243712.23000000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) Dec22
N/A
532.00000000
NC
USD
371618.43000000
0.018050284791
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Long
N/A
CBOT 5 Year US Treasury Note
2022-12-30
56822538.09000000
USD
371618.43000000
N
N
N
Indonesia Asahan Aluminium Persero PT
2549008P48EB9SN2OI80
INDONESIA ASAHAN
N/A
4100000.00000000
PA
USD
3666720.20000000
0.178100273068
Long
DBT
CORP
ID
N
2
2030-05-15
Fixed
5.45000000
N
N
N
N
N
N
Bangkok Bank PCL/Hong Kong
549300CCL2BKJGMYXV60
BANGKOK BANK/HK
N/A
10552000.00000000
PA
USD
8602649.90000000
0.417848707490
Long
DBT
CORP
TH
N
2
2034-09-25
Variable
3.73300000
N
N
N
N
N
N
N/A
N/A
EURO-BUND FUTURE Dec22
N/A
-201.00000000
NC
1470473.71000000
0.071423985198
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
Eurex 10 Year Euro BUND Future
2022-12-08
-29197536.82000000
EUR
1470473.71000000
N
N
N
Ghana Government International Bond
N/A
GHANA REP OF
N/A
9212000.00000000
PA
USD
3420952.66000000
0.166162829358
Long
DBT
NUSS
GH
N
2
2051-03-26
Fixed
8.95000000
N
N
N
N
N
N
N/A
N/A
FSWP: HUF 11.780000 16-MAR-2026
N/A
18783375000.00000000
NC
-153922.77000000
-0.00747635103
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
NBH BUBOR Fix 6M
BUBOR06M
Y
2026-03-16
0.00000000
HUF
-111498.21000000
HUF
18783375000.00000000
HUF
-42424.56000000
N
N
N
Nigeria Government International Bond
N/A
REP OF NIGERIA
65412JAU7
12408000.00000000
PA
USD
8875513.00000000
0.431102239249
Long
DBT
NUSS
NG
Y
2
2029-03-24
Fixed
8.37500000
N
N
N
N
N
N
N/A
N/A
ILS/USD FWD 20221221
N/A
1.00000000
NC
403340.25000000
0.019591079969
N/A
DFE
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
75489781.00000000
ILS
21730095.71000000
USD
2022-12-21
403340.25000000
N
N
N
Petroleos de Venezuela SA
549300YWR8TN1OFD4P06
PETROLEOS DE VEN
N/A
462000.00000000
PA
USD
12705.00000000
0.000617108436
Long
DBT
CORP
VE
N
2
2027-04-12
Fixed
5.37500000
Y
N
N
N
N
N
Mexican Bonos
N/A
MEXICAN BONOS
N/A
796000000.00000000
PA
32828368.81000000
1.594542569526
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
CIBANCO SA Institucion de Banca Multiple Trust CIB/3332
N/A
CIBANCO SA
171653AA6
8565000.00000000
PA
USD
6074073.77000000
0.295030473575
Long
DBT
CORP
MX
Y
2
2031-07-22
Fixed
4.37500000
N
N
N
N
N
N
Jordan Government International Bond
N/A
JORDAN
N/A
10151000.00000000
PA
USD
7409722.45000000
0.359905724932
Long
DBT
NUSS
JO
N
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
N/A
N/A
SCDS: (MALAYS)
N/A
-24000000.00000000
NC
USD
-226660.97000000
-0.01100939762
N/A
DCR
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
N/A
MALAYS 8.75 6/1/2024
Y
Payout of notional amount upon default event with regard to reference instrument
2027-12-20
0.00000000
USD
-152539.51000000
USD
-24000000.00000000
USD
-74121.46000000
N
N
N
Vietnam Government International Bond
N/A
VIETNAM (REP OF)
N/A
4700000.00000000
PA
USD
4623918.75000000
0.224593409668
Long
DBT
NUSS
VN
N
2
2024-11-19
Fixed
4.80000000
N
N
N
N
N
N
N/A
N/A
US 10yr Ultra Fut Dec22
N/A
346.00000000
NC
USD
-2683980.01000000
-0.13036652556
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Long
N/A
Ultra 10-Year US Treasury Note Futures
2022-12-20
43679573.76000000
USD
-2683980.01000000
N
N
N
Freeport Indonesia PT
549300T4HTQHRKLNE619
FREEPORT INDONES
69377FAB2
9570000.00000000
PA
USD
7894218.83000000
0.383438727962
Long
DBT
CORP
ID
Y
2
2032-04-14
Fixed
5.31500000
N
N
N
N
N
N
Gabon Government International Bond
N/A
REPUBLIC OF GABO
N/A
7000000.00000000
PA
USD
4602605.00000000
0.223558156230
Long
DBT
NUSS
GA
N
2
2031-02-06
Fixed
6.62500000
N
N
N
N
N
N
Romanian Government International Bond
N/A
ROMANIA
77586RAN0
21839000.00000000
PA
USD
19721608.93000000
0.957919815037
Long
DBT
NUSS
RO
Y
2
2027-11-25
Fixed
5.25000000
N
N
N
N
N
N
Republic of South Africa Government International Bond
N/A
SOUTH AFRICA
836205AU8
20955000.00000000
PA
USD
17424172.82000000
0.846328535575
Long
DBT
NUSS
ZA
N
2
2028-10-12
Fixed
4.30000000
N
N
N
N
N
N
Hungary Government International Bond
N/A
HUNGARY
N/A
8905000.00000000
PA
USD
4764216.85000000
0.231407981972
Long
DBT
NUSS
HU
N
2
2051-09-21
Fixed
3.12500000
N
N
N
N
N
N
Gabon Government International Bond
N/A
REPUBLIC OF GABO
N/A
7500000.00000000
PA
USD
6208998.00000000
0.301584025767
Long
DBT
NUSS
GA
N
2
2025-06-16
Fixed
6.95000000
N
N
N
N
N
N
Colombia Government International Bond
N/A
COLOMBIA REP OF
N/A
5490000.00000000
PA
USD
5421962.98000000
0.263356087902
Long
DBT
NUSS
CO
N
2
2023-03-15
Fixed
2.62500000
N
N
N
N
N
N
Korea National Oil Corp
988400ZTQ08W926ONT36
KOREA NATL OIL
50066PAR1
22153000.00000000
PA
USD
20381044.44000000
0.989949977688
Long
DBT
NUSS
KR
Y
2
2025-04-18
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
EUR C USD P @1.040000 EO
N/A
43905000.00000000
NC
7487.06000000
0.000363662171
N/A
DFE
N/A
N
1
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
N/A
43905000.00000000
1.040000
EUR
2022-10-14
XXXX
-64326.33000000
N
N
N
Peruvian Government International Bond
N/A
REPUBLIC OF PERU
715638DF6
6000000.00000000
PA
USD
4772419.56000000
0.231806404762
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QDF6
7945000.00000000
PA
USD
4393036.24000000
0.213378963015
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
Egypt Government International Bond
N/A
ARAB REP EGYPT
N/A
10059000.00000000
PA
USD
5612203.79000000
0.272596482140
Long
DBT
NUSS
EG
N
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
Romanian Government International Bond
N/A
ROMANIA
N/A
7460000.00000000
PA
4697133.77000000
0.228149616399
Long
DBT
NUSS
RO
N
2
2030-07-13
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
TRY/USD FWD 20221221
N/A
1.00000000
NC
-374831.01000000
-0.01820632652
N/A
DFE
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
204940163.34000000
TRY
9599070.88000000
USD
2022-12-21
-374831.01000000
N
N
N
N/A
N/A
HUF/USD FWD 20221221
N/A
1.00000000
NC
19.97000000
0.000000969984
N/A
DFE
N/A
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
151685.00000000
HUF
363.33000000
USD
2022-12-21
19.97000000
N
N
N
KazTransGas JSC
635400YGLXBBSVHONW39
KAZTRANSGAS JSC
AP2207813
11599000.00000000
PA
USD
9801155.00000000
0.476062608181
Long
DBT
CORP
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
Russian Foreign Bond - Eurobond
N/A
RUSSIA-EUROBOND
N/A
11900000.00000000
PA
4637282.66000000
0.225242522742
Long
DBT
NUSS
RU
N
2
2036-05-27
Fixed
2.65000000
N
Y
N
N
N
N
Corp Financiera de Desarrollo SA
254900BOM7T4MG6T0J30
CORP FINANCIERA
N/A
203000.00000000
PA
USD
195862.52000000
0.009513452457
Long
DBT
NUSS
PE
N
2
2025-07-15
Fixed
4.75000000
N
N
N
N
N
N
Oman Government International Bond
N/A
OMAN INTRNL BOND
N/A
11031000.00000000
PA
USD
8664506.33000000
0.420853203736
Long
DBT
NUSS
OM
N
2
2047-03-08
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
SCDS: (CHILE)
N/A
-8250000.00000000
NC
USD
-256614.45000000
-0.01246430082
N/A
DCR
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N/A
CHILE
Y
Payout of notional amount upon default event with regard to reference instrument
2027-12-20
0.00000000
USD
-223116.48000000
USD
-8250000.00000000
USD
-33497.97000000
N
N
N
Serbia International Bond
N/A
SERBIA REPUBLIC
N/A
10316000.00000000
PA
5240591.21000000
0.254546481495
Long
DBT
NUSS
RS
Y
2
2036-09-23
Fixed
2.05000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QCL4
10894000.00000000
PA
USD
5844569.67000000
0.283882979179
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
Petroleos del Peru SA
549300ZMGDLC9JT2OR80
PETROLEOS DEL PE
716564AB5
8750000.00000000
PA
USD
5252319.54000000
0.255116151026
Long
DBT
CORP
PE
Y
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
N/A
N/A
FSWP: CZK 6.165000 28-JUN-2024
N/A
1267970000.00000000
NC
158174.26000000
0.007682854802
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Czech Interbank Offer Rates 6M
PRIB06M
Y
2024-06-28
0.00000000
CZK
0.00000000
CZK
1267970000.00000000
CZK
158174.26000000
N
N
N
Ukraine Government International Bond
N/A
UKRAINE GOVT
N/A
14610000.00000000
PA
USD
3025267.86000000
0.146943590615
Long
DBT
NUSS
UA
N
2
2026-02-01
Fixed
8.99400000
N
N
N
N
N
N
Republic of Azerbaijan International Bond
N/A
REPUBLIC OF AZER
N/A
6848000.00000000
PA
USD
6704139.27000000
0.325634073380
Long
DBT
NUSS
AZ
N
2
2024-03-18
Fixed
4.75000000
N
N
N
N
N
N
Thaioil Treasury Center Co Ltd
549300NH03B9E8VGJR89
THAIOIL TRSRY
88323AAH5
3500000.00000000
PA
USD
2096412.43000000
0.101827138663
Long
DBT
CORP
TH
N
2
2050-06-18
Fixed
3.75000000
N
N
N
N
N
N
KazMunayGas National Co JSC
2138001H1M69RFJCSH88
KAZMUNAYGAS NAT
N/A
1840000.00000000
PA
USD
1211640.00000000
0.058851890269
Long
DBT
CORP
KZ
N
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
Consorcio Transmantaro SA
549300NL65DC6HVEJX96
TRANSMANTARO
210314AD2
6090000.00000000
PA
USD
5197578.59000000
0.252457268534
Long
DBT
CORP
PE
Y
2
2038-04-11
Fixed
5.20000000
N
N
N
N
N
N
Ukraine Government International Bond
N/A
UKRAINE GOVT
N/A
8200000.00000000
PA
USD
1507851.26000000
0.073239491017
Long
DBT
NUSS
UA
N
2
2035-03-15
Fixed
7.25300000
N
N
N
N
N
N
Jamaica Government International Bond
N/A
JAMAICA GOVT
470160BQ4
4048000.00000000
PA
USD
4186486.01000000
0.203346386118
Long
DBT
NUSS
JM
N
2
2025-07-09
Fixed
7.62500000
N
N
N
N
N
N
Nigeria Government International Bond
N/A
REP OF NIGERIA
N/A
6164000.00000000
PA
USD
4095740.07000000
0.198938665918
Long
DBT
NUSS
NG
N
2
2028-09-28
Fixed
6.12500000
N
N
N
N
N
N
Lebanon Government International Bond
N/A
LEBANESE REP
N/A
4900000.00000000
PA
USD
294000.00000000
0.014280195222
Long
DBT
NUSS
LB
N
2
2030-02-26
Fixed
6.65000000
Y
Y
N
N
N
N
Korea Electric Power Corp
988400QG33WS7JEIV602
KOREA ELEC PWR
500631AX4
8500000.00000000
PA
USD
8488418.84000000
0.412300265867
Long
DBT
NUSS
KR
Y
2
2026-04-06
Fixed
5.37500000
N
N
N
N
N
N
Perusahaan Penerbit SBSN Indonesia III
254900G208H6Q0L5B953
SBSN INDO III
71567PAU4
2840000.00000000
PA
USD
2730767.52000000
0.132639092832
Long
DBT
CORP
ID
Y
2
2027-06-06
Fixed
4.40000000
N
N
N
N
N
N
Bahrain Government International Bond
N/A
BAHRAIN
N/A
19637000.00000000
PA
USD
13640286.32000000
0.662537250134
Long
DBT
NUSS
BH
N
2
2051-01-25
Fixed
6.25000000
N
N
N
N
N
N
El Salvador Government International Bond
N/A
EL SALVADOR REP
N/A
8500000.00000000
PA
USD
3102500.00000000
0.150694917270
Long
DBT
NUSS
SV
N
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
Philippine Government International Bond
N/A
PHILIPPINES(REP)
N/A
16378000.00000000
PA
9603316.70000000
0.466453187955
Long
DBT
NUSS
PH
N
2
2041-04-28
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
CZK/USD FWD 20221221
N/A
1.00000000
NC
23126.13000000
0.001123284527
N/A
DFE
N/A
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
29200000.00000000
CZK
1179308.15000000
USD
2022-12-21
23126.13000000
N
N
N
NORTH MACEDONIA, REPUBLIC OF (GOVERNMENT)
529900FA29F5OY2J7P74
MACEDO 1.625 3/10/2028
N/A
1114000.00000000
PA
793575.48000000
0.038545621694
Long
DBT
CORP
MK
Y
2
2028-03-10
Fixed
1.62500000
N
N
N
N
N
N
N/A
N/A
SCDS: (SOAF)
N/A
11955000.00000000
NC
USD
1061289.24000000
0.051549039233
N/A
DCR
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
N/A
SOUTH AFRICA
Y
Receipt of notional amount upon default event with regard to reference instrument
2027-06-20
898120.30000000
USD
0.00000000
USD
11955000.00000000
USD
163168.94000000
N
N
N
N/A
N/A
SCDS: (PEMEX)
N/A
15300000.00000000
NC
USD
3156967.47000000
0.153340516266
N/A
DCR
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
PETROLEOS MEXICA
Y
Receipt of notional amount upon default event with regard to reference instrument
2026-12-20
1341786.42000000
USD
0.00000000
USD
15300000.00000000
USD
1815181.05000000
N
N
N
N/A
N/A
JPN 10Y BOND(OSE) Dec22
N/A
-29.00000000
NC
21034.94000000
0.001021711053
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
TSE Japanese 10 Year Bond Futures
2022-12-13
-29985913.39000000
JPY
21034.94000000
N
N
N
N/A
N/A
FSWP: CZK 5.301250 09-AUG-2024
N/A
1759455000.00000000
NC
636072.44000000
0.030895369451
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Czech Interbank Offer Rates 6M
PRIB06M
Y
2024-08-09
0.00000000
CZK
0.00000000
CZK
1759455000.00000000
CZK
636072.44000000
N
N
N
N/A
N/A
SCDS: (COLOM)
N/A
8395000.00000000
NC
USD
693108.66000000
0.033665738010
N/A
DCR
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N/A
COLOMBIA REP OF
Y
Receipt of notional amount upon default event with regard to reference instrument
2027-06-20
526081.83000000
USD
0.00000000
USD
8395000.00000000
USD
167026.83000000
N
N
N
Croatia Government International Bond
N/A
CROATIA
N/A
3000000.00000000
PA
2437788.58000000
0.118408492630
Long
DBT
NUSS
HR
N
2
2029-06-19
Fixed
1.12500000
N
N
N
N
N
N
Argentine Republic Government International Bond
N/A
ARGENTINA
040114HT0
41371000.00000000
PA
USD
7519264.89000000
0.365226430470
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.50000000
N
N
N
N
N
N
Colombia Government International Bond
N/A
COLOMBIA REP OF
195325CU7
32587000.00000000
PA
USD
19868903.93000000
0.965074241415
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
Dominican Republic International Bond
N/A
DOMINICAN REPUBL
N/A
24589000.00000000
PA
USD
16198253.08000000
0.786783048451
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
GC Treasury Center Co Ltd
549300LUFQBC2EQNAR40
GC TREASURY
36830DAC5
3500000.00000000
PA
USD
2452876.76000000
0.119141357106
Long
DBT
CORP
TH
N
2
2051-03-18
Fixed
4.30000000
N
N
N
N
N
N
Peruvian Government International Bond
N/A
REPUBLIC OF PERU
715638DU3
16124000.00000000
PA
USD
12136187.49000000
0.589480022494
Long
DBT
NUSS
PE
N
2
2034-01-15
Fixed
3.00000000
N
N
N
N
N
N
Peruvian Government International Bond
N/A
REPUBLIC OF PERU
715638AS1
9005000.00000000
PA
USD
9454456.39000000
0.459222731194
Long
DBT
NUSS
PE
N
2
2025-07-21
Fixed
7.35000000
N
N
N
N
N
N
N/A
N/A
ILS/USD FWD 20221221
N/A
1.00000000
NC
-637198.26000000
-0.03095005288
N/A
DFE
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
21303204.90000000
USD
73150945.00000000
ILS
2022-12-21
-637198.26000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QDD1
9453000.00000000
PA
USD
5780334.81000000
0.280762957611
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
Panama Government International Bond
N/A
PANAMA
698299BS2
16572000.00000000
PA
USD
10842487.87000000
0.526642324763
Long
DBT
NUSS
PA
N
2
2063-01-19
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
SCDS: (COLOM)
N/A
11960000.00000000
NC
USD
987442.48000000
0.047962147569
N/A
DCR
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
N/A
COLOMBIA REP OF
Y
Receipt of notional amount upon default event with regard to reference instrument
2027-06-20
609411.39000000
USD
0.00000000
USD
11960000.00000000
USD
378031.09000000
N
N
N
Romanian Government International Bond
N/A
ROMANIA
N/A
6400000.00000000
PA
4921629.08000000
0.239053823383
Long
DBT
NUSS
RO
N
2
2028-05-26
Fixed
2.87500000
N
N
N
N
N
N
Lebanon Government International Bond
N/A
LEBANESE REP
AS8295618
1445000.00000000
PA
USD
86617.92000000
0.004207213630
Long
DBT
NUSS
LB
N
2
2034-05-17
Fixed
8.25000000
Y
N
N
N
N
N
Republic of Belarus International Bond
N/A
REP OF BELARUS
N/A
2200000.00000000
PA
USD
506000.00000000
0.024577478852
Long
DBT
NUSS
BY
N
2
2027-06-29
Fixed
7.62500000
N
N
N
N
N
N
Egypt Government International Bond
N/A
ARAB REP EGYPT
N/A
2518000.00000000
PA
USD
1408153.73000000
0.068396973359
Long
DBT
NUSS
EG
N
2
2050-05-29
Fixed
8.87500000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL
N/A
7300000.00000000
PA
USD
6120685.00000000
0.297294478554
Long
DBT
CORP
MX
N
2
2029-05-15
Fixed
4.68800000
N
N
N
N
N
N
Ghana Government International Bond
N/A
GHANA REP OF
N/A
900000.00000000
PA
USD
333721.62000000
0.016209557427
Long
DBT
NUSS
GH
N
2
2042-05-07
Fixed
8.87500000
N
N
N
N
N
N
Mexico Government International Bond
N/A
UNITED MEXICAN
91086QAZ1
3520000.00000000
PA
USD
2718713.99000000
0.132053627657
Long
DBT
NUSS
MX
N
2
2110-10-12
Fixed
5.75000000
N
N
N
N
N
N
Romanian Government International Bond
N/A
ROMANIA
N/A
18750000.00000000
PA
17287170.49000000
0.839674045716
Long
DBT
NUSS
RO
Y
2
2029-09-27
Fixed
6.62500000
N
N
N
N
N
N
Sri Lanka Government International Bond
N/A
REP OF SRI LANKA
N/A
5319000.00000000
PA
USD
1316319.53000000
0.063936394093
Long
DBT
NUSS
LK
N
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
N/A
N/A
TRY/USD FWD 20221221
N/A
1.00000000
NC
-28753.37000000
-0.00139661135
N/A
DFE
N/A
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1138453.41000000
USD
22801719.00000000
TRY
2022-12-21
-28753.37000000
N
N
N
Sri Lanka Government International Bond
N/A
REP OF SRI LANKA
N/A
3372000.00000000
PA
USD
828432.96000000
0.040238722440
Long
DBT
NUSS
LK
N
2
2030-03-28
Fixed
7.55000000
N
Y
N
N
N
N
Gabon Government International Bond
N/A
REPUBLIC OF GABO
N/A
4678000.00000000
PA
USD
3089177.65000000
0.150047822853
Long
DBT
NUSS
GA
N
2
2031-11-24
Fixed
7.00000000
N
N
N
N
N
N
Egypt Government International Bond
N/A
ARAB REP EGYPT
N/A
21231000.00000000
PA
USD
11101288.63000000
0.539212819241
Long
DBT
NUSS
EG
N
2
2048-02-21
Fixed
7.90300000
N
N
N
N
N
N
Finance Department Government of Sharjah
254900ZNL8O3F1CLJO24
FIN DEPT SHARJAH
N/A
5860000.00000000
PA
USD
3443570.40000000
0.167261420320
Long
DBT
NUSS
AE
N
2
2050-07-28
Fixed
4.00000000
N
N
N
N
N
N
Southern Gas Corridor CJSC
213800DG58KG59XY6318
STHRN GAS CRIDOR
N/A
23215000.00000000
PA
USD
22606767.00000000
1.098057979959
Long
DBT
CORP
AZ
N
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
N/A
N/A
SCDS: (MALAYS)
N/A
-39900000.00000000
NC
USD
-376823.86000000
-0.01830312341
N/A
DCR
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
MALAYS 8.75 6/1/2024
Y
Payout of notional amount upon default event with regard to reference instrument
2027-12-20
0.00000000
USD
-127342.25000000
USD
-39900000.00000000
USD
-249481.61000000
N
N
N
Russian Federal Bond - OFZ
N/A
RUSSIA-OFZ
N/A
928956000.00000000
PA
3780634.88000000
0.183633347452
Long
DBT
NUSS
RU
N
2
2031-07-23
Fixed
6.90000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71643VAB1
4278000.00000000
PA
USD
3009256.51000000
0.146165885840
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Antofagasta PLC
213800MY6QVH4FVLD628
ANTOFAGASTA
N/A
2480000.00000000
PA
USD
1838052.00000000
0.089278031935
Long
DBT
CORP
GB
N
2
2030-10-14
Fixed
2.37500000
N
N
N
N
N
N
Republic of South Africa Government International Bond
N/A
SOUTH AFRICA
836205BE3
23679000.00000000
PA
USD
17922736.68000000
0.870544825546
Long
DBT
NUSS
ZA
N
2
2052-04-20
Fixed
7.30000000
N
N
N
N
N
N
State Oil Co of the Azerbaijan Republic
2549002HARR1VE257O76
STATE OIL CO AZE
N/A
1335000.00000000
PA
USD
1294282.50000000
0.062866009431
Long
DBT
CORP
AZ
N
2
2030-03-18
Fixed
6.95000000
N
N
N
N
N
N
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
254900OYVDRYS9J51J61
PERUSAHAAN LISTR
N/A
4400000.00000000
PA
3100282.96000000
0.150587230998
Long
DBT
CORP
ID
Y
2
2031-11-05
Fixed
1.87500000
N
N
N
N
N
N
Venezuela Government International Bond
N/A
VENEZUELA
N/A
1500000.00000000
PA
USD
120000.00000000
0.005828651111
Long
DBT
NUSS
VE
N
2
2038-03-31
Fixed
7.00000000
Y
N
N
N
N
N
Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXP-IMP BK KOREA
302154DP1
9323000.00000000
PA
USD
9216043.65000000
0.447642525511
Long
DBT
NUSS
KR
N
2
2024-09-15
Fixed
4.00000000
N
N
N
N
N
N
Kazakhstan Temir Zholy National Co JSC
213800X9NVS4IWFKLS77
KAZAKHSTAN TEMIR
N/A
1750000.00000000
PA
1553000.76000000
0.075432496712
Long
DBT
CORP
KZ
N
2
2023-12-05
Fixed
3.25000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
085209AJ3
28430000.00000000
PA
USD
26920769.00000000
1.307598084551
Long
DBT
NUSS
BM
Y
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
Oman Government International Bond
N/A
OMAN INTRNL BOND
68205LAT0
9512000.00000000
PA
USD
7805537.88000000
0.379131308648
Long
DBT
NUSS
OM
Y
2
2051-01-25
Fixed
7.00000000
N
N
N
N
N
N
Globo Comunicacao e Participacoes SA
52990054HEKS017PVR75
GLOBO COMMUN PAR
37959DAC8
11870000.00000000
PA
USD
8911283.09000000
0.432839667372
Long
DBT
CORP
BR
Y
2
2032-01-14
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
SWP: BRL 11.850000 02-JAN-2025
N/A
183142698.68000000
NC
141038.83000000
0.006850551110
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Brazil CDI Cetip CD
BZDIOVER
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
183142698.68000000
BRL
141038.83000000
N
N
N
N/A
N/A
US ULTRA BOND CBT Dec22
N/A
369.00000000
NC
USD
-3427094.64000000
-0.16646115818
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Long
N/A
CME Ultra Long Term US Treasury Bond Future
2022-12-20
53980094.64000000
USD
-3427094.64000000
N
N
N
Chile Government International Bond
N/A
CHILE
N/A
4172000.00000000
PA
USD
2767026.85000000
0.134400284366
Long
DBT
NUSS
CL
N
2
2053-04-15
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
EUR C USD P @1.219800 EO
BVN7RFQT7
110665000.00000000
NC
108.46000000
0.000005268129
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
N/A
N/A
110665000.00000000
1.21980000
EUR
2022-10-21
XXXX
-1059814.87000000
N
N
N
Egypt Government International Bond
N/A
ARAB REP EGYPT
N/A
2300000.00000000
PA
USD
1190957.25000000
0.057847285821
Long
DBT
NUSS
EG
N
2
2061-02-16
Fixed
7.50000000
N
N
N
N
N
N
Freeport Indonesia PT
549300T4HTQHRKLNE619
FREEPORT INDONES
69377FAC0
8535000.00000000
PA
USD
6497174.35000000
0.315581354123
Long
DBT
CORP
ID
Y
2
2052-04-14
Fixed
6.20000000
N
N
N
N
N
N
Indonesia Government International Bond
N/A
INDONESIA (REP)
455780DM5
43926000.00000000
PA
USD
41810619.60000000
2.030829286595
Long
DBT
NUSS
ID
N
2
2027-09-20
Fixed
4.15000000
N
N
N
N
N
N
Export-Import Bank of India
335800OFZ8YEIVN1QI11
EX-IM BK OF IN
30216KAE2
3000000.00000000
PA
USD
2493720.81000000
0.121125238085
Long
DBT
NUSS
IN
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20221221
N/A
1.00000000
NC
-241.88000000
-0.00001174861
N/A
DFE
N/A
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
208884.22000000
USD
211478.00000000
EUR
2022-12-21
-241.88000000
N
N
N
N/A
N/A
SCDS: (MALAYS)
N/A
-5560000.00000000
NC
USD
-52509.79000000
-0.00255051038
N/A
DCR
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
N/A
MALAYS 8.75 6/1/2024
Y
Payout of notional amount upon default event with regard to reference instrument
2027-12-20
0.00000000
USD
-37846.74000000
USD
-5560000.00000000
USD
-14663.05000000
N
N
N
Ukraine Government International Bond
N/A
UKRAINE GOVT
N/A
4700000.00000000
PA
812843.03000000
0.039481486916
Long
DBT
NUSS
UA
N
2
2032-01-27
Fixed
4.37500000
N
N
N
N
N
N
Republic of Belarus International Bond
N/A
REP OF BELARUS
N/A
1760000.00000000
PA
USD
407880.00000000
0.019811585126
Long
DBT
NUSS
BY
N
2
2030-02-28
Fixed
6.20000000
N
N
N
N
N
N
Axian Telecom
984500C6FIA50FZSE337
AXIAN TELECOM
05466AAA1
3071000.00000000
PA
USD
2786720.88000000
0.135356864615
Long
DBT
CORP
MU
Y
2
2027-02-16
Fixed
7.37500000
N
N
N
N
N
N
Empresa Nacional del Petroleo
549300YP3P0JZBLIV197
EMPRESA NACIONAL
N/A
3418000.00000000
PA
USD
3158478.78000000
0.153413923756
Long
DBT
CORP
CL
N
2
2029-11-06
Fixed
5.25000000
N
N
N
N
N
N
Morocco Government International Bond
N/A
MOROCCO KINGDOM
N/A
2635000.00000000
PA
USD
1849898.85000000
0.089853458230
Long
DBT
NUSS
MA
N
2
2032-12-15
Fixed
3.00000000
N
N
N
N
N
N
Republic of South Africa Government International Bond
N/A
SOUTH AFRICA
836205BA1
12234000.00000000
PA
USD
10084654.54000000
0.489832774088
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
Romanian Government International Bond
N/A
ROMANIA
77586RAP5
14596000.00000000
PA
USD
12242604.74000000
0.594648931014
Long
DBT
NUSS
RO
Y
2
2034-05-25
Fixed
6.00000000
N
N
N
N
N
N
Paraguay Government International Bond
N/A
PARAGUAY
N/A
3512000.00000000
PA
USD
3392589.89000000
0.164785190268
Long
DBT
NUSS
PY
N
2
2026-04-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
SCDS: (CHILE)
N/A
-30000000.00000000
NC
USD
-683812.71000000
-0.03321421426
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
2027-06-20
0.00000000
USD
-558464.02000000
USD
-30000000.00000000
USD
-125348.69000000
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
ESKOM HOLDINGS
EJ7753969
15667000.00000000
PA
USD
14846467.51000000
0.721123994579
Long
DBT
CORP
ZA
N
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
N
Republic of Cameroon International Bond
N/A
REP OF CAMEROON
N/A
6192000.00000000
PA
3982301.89000000
0.193428736135
Long
DBT
NUSS
CM
Y
2
2032-07-07
Fixed
5.95000000
N
N
N
N
N
N
Dominican Republic International Bond
N/A
DOMINICAN REPUBL
25714PEN4
8574000.00000000
PA
USD
6965009.68000000
0.338305095090
Long
DBT
NUSS
DO
Y
2
2033-02-22
Fixed
6.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QCG5
6145000.00000000
PA
USD
5148625.55000000
0.250079516942
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
6.50000000
N
N
N
N
N
N
Argentine Republic Government International Bond
N/A
ARGENTINA
040114HS2
47787558.00000000
PA
USD
9594902.50000000
0.466044492653
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912810TJ7
11875000.00000000
PA
USD
10251464.25000000
0.497935070768
Long
DBT
UST
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
Indonesia Government International Bond
N/A
INDONESIA (REP)
455780DN3
29060000.00000000
PA
USD
27289710.42000000
1.325518341365
Long
DBT
NUSS
ID
N
2
2032-09-20
Fixed
4.65000000
N
N
N
N
N
N
Republic of South Africa Government International Bond
N/A
SOUTH AFRICA
836205AX2
6502000.00000000
PA
USD
4146195.95000000
0.201389413593
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
Mexico Government International Bond
N/A
UNITED MEXICAN
91087BAS9
41523000.00000000
PA
USD
28658844.91000000
1.392020068586
Long
DBT
NUSS
MX
N
2
2052-02-12
Fixed
4.40000000
N
N
N
N
N
N
Ukraine Government International Bond
N/A
UKRAINE GOVT
N/A
5900000.00000000
PA
USD
1085108.53000000
0.052705991992
Long
DBT
NUSS
UA
N
2
2031-05-21
Fixed
6.87600000
N
N
N
N
N
N
Egypt Government International Bond
N/A
ARAB REP EGYPT
N/A
20457000.00000000
PA
USD
11375796.07000000
0.552546220034
Long
DBT
NUSS
EG
N
2
2049-03-01
Fixed
8.70020000
N
N
N
N
N
N
Ukraine Government International Bond
N/A
UKRAINE GOVT
N/A
10557000.00000000
PA
USD
2147786.81000000
0.104322499806
Long
DBT
NUSS
UA
N
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
Lebanon Government International Bond
N/A
LEBANESE REP
AQ5804622
1445000.00000000
PA
USD
88156.99000000
0.004281969481
Long
DBT
NUSS
LB
N
2
2031-11-20
Fixed
7.15000000
Y
N
N
N
N
N
Republic of Uzbekistan International Bond
N/A
REPUB UZBEKISTAN
N/A
24199000.00000000
PA
USD
22792474.26000000
1.107078170187
Long
DBT
NUSS
UZ
N
2
2024-02-20
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20221221
N/A
1.00000000
NC
3548064.36000000
0.172336910620
N/A
DFE
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
183754169.00000000
EUR
184838318.60000000
USD
2022-12-21
3548064.36000000
N
N
N
Development Bank of Kazakhstan JSC
213800LCDPGJ1BI7KX98
KAZAKH DEVELOPME
N/A
3849000.00000000
PA
USD
2982118.60000000
0.144847740763
Long
DBT
CORP
KZ
N
2
2031-05-06
Fixed
2.95000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QBX9
1000.00000000
PA
USD
524.38000000
0.000025470233
Long
DBT
CORP
MX
N
2
2046-01-23
Fixed
5.62500000
N
N
N
N
N
N
Empresa Nacional del Petroleo
549300YP3P0JZBLIV197
EMPRESA NACIONAL
N/A
15771000.00000000
PA
USD
14175312.30000000
0.688524581574
Long
DBT
CORP
CL
N
2
2026-08-05
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
PLN/USD FWD 20221221
N/A
1.00000000
NC
1939711.95000000
0.094215868439
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
176825357.00000000
PLN
37106089.10000000
USD
2022-12-21
1939711.95000000
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
ESKOM HOLDINGS
EK7413587
14447000.00000000
PA
USD
12816924.76000000
0.622544856204
Long
DBT
CORP
ZA
N
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
Ecuador Government International Bond
N/A
REPUBLIC OF ECUA
N/A
36245000.00000000
PA
USD
11975641.58000000
0.581681971688
Long
DBT
NUSS
EC
N
2
2035-07-31
Variable
2.50000000
N
N
N
N
N
N
Dominican Republic International Bond
N/A
DOMINICAN REPUBL
N/A
3985000.00000000
PA
USD
3247177.25000000
0.157722194053
Long
DBT
NUSS
DO
N
2
2033-02-22
Fixed
6.00000000
N
N
N
N
N
N
Republic of Azerbaijan International Bond
N/A
REPUBLIC OF AZER
N/A
10500000.00000000
PA
USD
8425698.75000000
0.409253819848
Long
DBT
NUSS
AZ
N
2
2032-09-01
Fixed
3.50000000
N
N
N
N
N
N
Indonesia Asahan Aluminium Persero PT
2549008P48EB9SN2OI80
INDONESIA ASAHAN
N/A
9856000.00000000
PA
USD
7416640.00000000
0.360241724811
Long
DBT
CORP
ID
N
2
2050-05-15
Fixed
5.80000000
N
N
N
N
N
N
N/A
N/A
EURO-SCHATZ FUT Dec22
N/A
-968.00000000
NC
1112186.34000000
0.054021217887
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
Eurex 2 Year Euro SCHATZ Future
2022-12-08
-104429562.08000000
EUR
1112186.34000000
N
N
N
Republic of Poland Government Bond
N/A
POLAND GOVT BOND
N/A
183325000.00000000
PA
31731046.67000000
1.541243336938
Long
DBT
NUSS
PL
N
2
2027-05-25
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
HUF/USD FWD 20221221
N/A
1.00000000
NC
15623.80000000
0.000758880660
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
93021763.00000000
HUF
226189.55000000
USD
2022-12-21
15623.80000000
N
N
N
Dominican Republic International Bond
N/A
DOMINICAN REPUBL
N/A
13209000.00000000
PA
USD
10445356.22000000
0.507352809488
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
Vanguard Cmt Funds-Vanguard Market Liquidity Fund
1I6HV0TLSTR3A4XQ6L78
Vanguard Market Liquidity Fund
N/A
207971201.90000000
NS
USD
207908810.54000000
10.09856599651
Long
STIV
CORP
US
N
1
N
N
N
Colombia Government International Bond
N/A
COLOMBIA REP OF
195325DQ5
22349000.00000000
PA
USD
13793406.78000000
0.669974631295
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
Paraguay Government International Bond
N/A
PARAGUAY
N/A
7047000.00000000
PA
USD
5226902.25000000
0.253881580063
Long
DBT
NUSS
PY
N
2
2050-03-30
Fixed
5.40000000
N
N
N
N
N
N
N/A
N/A
MXN/USD FWD 20221221
N/A
1.00000000
NC
168600.32000000
0.008189270354
N/A
DFE
N/A
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
885788918.00000000
MXN
43500349.56000000
USD
2022-12-21
168600.32000000
N
N
N
Nigeria Government International Bond
N/A
REP OF NIGERIA
65412JAT0
20202000.00000000
PA
USD
11323284.64000000
0.549995629994
Long
DBT
NUSS
NG
Y
2
2051-09-28
Fixed
8.25000000
N
N
N
N
N
N
Inversiones CMPC SA
549300G475ACIABB4385
INVERSIONES CMPC
EK4876877
3980000.00000000
PA
USD
3876547.86000000
0.188292041598
Long
DBT
CORP
CL
N
2
2024-09-15
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
SCDS: (PHILIP)
N/A
-38470000.00000000
NC
USD
-836629.48000000
-0.04063684456
N/A
DCR
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
PHILIPPINES(REP)
Y
Payout of notional amount upon default event with regard to reference instrument
2027-12-20
0.00000000
USD
-132373.42000000
USD
-38470000.00000000
USD
-704256.06000000
N
N
N
NORTH MACEDONIA, REPUBLIC OF (GOVERNMENT)
529900FA29F5OY2J7P74
MACEDO 2.75 1/18/2025
N/A
869000.00000000
PA
771160.98000000
0.037456902524
Long
DBT
CORP
MK
N
2
2025-01-18
Fixed
2.75000000
N
N
N
N
N
N
Jordan Government International Bond
N/A
JORDAN
41809JAA3
20490000.00000000
PA
USD
19382322.48000000
0.941439962172
Long
DBT
NUSS
JO
Y
2
2028-01-15
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
CNH/USD FWD 20221011
N/A
1.00000000
NC
17961.71000000
0.000872437841
N/A
DFE
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
73894649.70000000
CNY
10370000.00000000
USD
2022-10-11
17961.71000000
N
N
N
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
254900OYVDRYS9J51J61
PERUSAHAAN LISTR
71568QAE7
19998000.00000000
PA
USD
19024628.15000000
0.924066000055
Long
DBT
CORP
ID
N
2
2028-05-21
Fixed
5.45000000
N
N
N
N
N
N
Republic of Belarus International Bond
N/A
REP OF BELARUS
N/A
8460000.00000000
PA
USD
1945800.00000000
0.094511577768
Long
DBT
NUSS
BY
N
2
2031-02-24
Fixed
6.37800000
N
N
N
N
N
N
Mexican Bonos
N/A
MEXICAN BONOS
N/A
150000000.00000000
PA
6615036.12000000
0.321306146928
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
Senegal Government International Bond
N/A
SENEGAL REP OF
N/A
27230000.00000000
PA
USD
17002071.63000000
0.825826197490
Long
DBT
NUSS
SN
N
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
Paraguay Government International Bond
N/A
PARAGUAY
N/A
6710000.00000000
PA
USD
6682163.57000000
0.324566667645
Long
DBT
NUSS
PY
N
2
2023-01-25
Fixed
4.62500000
N
N
N
N
N
N
Namibia International Bonds
N/A
NAMIBIA REP OF
N/A
4402000.00000000
PA
USD
3941048.97000000
0.191424995485
Long
DBT
NUSS
NA
N
2
2025-10-29
Fixed
5.25000000
N
N
N
N
N
N
JSW Infrastructure Ltd
3358003E3YFK92C9WX80
JSW INFRA
46654XAA7
5325000.00000000
PA
USD
4174002.10000000
0.202740016485
Long
DBT
CORP
IN
Y
2
2029-01-21
Fixed
4.95000000
N
N
N
N
N
N
GC Treasury Center Co Ltd
549300LUFQBC2EQNAR40
GC TREASURY
36830BAD7
16695000.00000000
PA
USD
14307069.24000000
0.694924291864
Long
DBT
CORP
TH
Y
2
2032-03-30
Fixed
4.40000000
N
N
N
N
N
N
Kazakhstan Temir Zholy Finance BV
724500NSQCZ1PR6DVD13
KAZAKHSTAN TEMIR
N/A
4115000.00000000
PA
USD
4055538.25000000
0.196985979394
Long
DBT
CORP
NL
N
2
2042-07-10
Fixed
6.95000000
N
N
N
N
N
N
Panama Government International Bond
N/A
PANAMA
698299BL7
51178000.00000000
PA
USD
30284033.38000000
1.470958873432
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
Corp Financiera de Desarrollo SA
254900BOM7T4MG6T0J30
COFIDE
21987DAE4
1903000.00000000
PA
USD
1567288.80000000
0.076126496714
Long
DBT
NUSS
PE
Y
2
2027-09-28
Fixed
2.40000000
N
N
N
N
N
N
Angolan Government International Bond
N/A
ANGOLA REP OF
035198AF7
12500000.00000000
PA
USD
9264228.25000000
0.449982952364
Long
DBT
NUSS
AO
Y
2
2032-04-14
Fixed
8.75000000
N
N
N
N
N
N
Dominican Republic International Bond
N/A
DOMINICAN REPUBL
N/A
3110000.00000000
PA
USD
2899569.63000000
0.140838164549
Long
DBT
NUSS
DO
N
2
2027-01-25
Fixed
5.95000000
N
N
N
N
N
N
Finance Department Government of Sharjah
254900ZNL8O3F1CLJO24
FIN DEPT SHARJAH
38381CAB8
2646000.00000000
PA
USD
1560140.21000000
0.075779274738
Long
DBT
NUSS
AE
Y
2
2050-07-28
Fixed
4.00000000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
500630DT2
6820000.00000000
PA
USD
6679829.09000000
0.324453277067
Long
DBT
NUSS
KR
N
2
2025-09-08
Fixed
4.00000000
N
N
N
N
N
N
Dominican Republic International Bond
N/A
DOMINICAN REPUBL
N/A
10229000.00000000
PA
USD
7707697.77000000
0.374379009765
Long
DBT
NUSS
DO
N
2
2032-09-23
Fixed
4.87500000
N
N
N
N
N
N
Dominican Republic International Bond
N/A
DOMINICAN REPUBL
25714PEP9
41335000.00000000
PA
USD
35606753.95000000
1.729494549806
Long
DBT
NUSS
DO
Y
2
2029-02-22
Fixed
5.50000000
N
N
N
N
N
N
Freeport Indonesia PT
549300T4HTQHRKLNE619
FREEPORT INDONES
N/A
4704000.00000000
PA
USD
3892560.00000000
0.189069784745
Long
DBT
CORP
ID
N
2
2032-04-14
Fixed
5.31500000
N
N
N
N
N
N
Oman Government International Bond
N/A
OMAN INTRNL BOND
N/A
11613000.00000000
PA
USD
9595996.10000000
0.466097611094
Long
DBT
NUSS
OM
N
2
2051-01-25
Fixed
7.00000000
N
N
N
N
N
N
Tunisian Republic
N/A
TUNISIAN REPUB
N/A
13250000.00000000
PA
USD
7954664.00000000
0.386374676356
Long
DBT
NUSS
TN
N
2
2025-01-30
Fixed
5.75000000
N
N
N
N
N
N
Hungary Government International Bond
N/A
HUNGARY
445545AH9
1000.00000000
PA
USD
998.23000000
0.000048486119
Long
DBT
NUSS
HU
N
2
2023-02-21
Fixed
5.37500000
N
N
N
N
N
N
N/A
N/A
SCDS: (SOAF)
N/A
12000000.00000000
NC
USD
1065284.05000000
0.051743075514
N/A
DCR
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
N/A
SOUTH AFRICA
Y
Receipt of notional amount upon default event with regard to reference instrument
2027-06-20
901500.92000000
USD
0.00000000
USD
12000000.00000000
USD
163783.13000000
N
N
N
Saudi Government International Bond
N/A
SAUDI INT BOND
N/A
5064000.00000000
PA
USD
5027426.78000000
0.244192639064
Long
DBT
NUSS
SA
N
2
2023-03-04
Fixed
2.87500000
N
N
N
N
N
N
Saudi Arabian Oil Co
5586006WD91QHB7J4X50
SAUDI ARAB OIL
N/A
10280000.00000000
PA
USD
9945900.00000000
0.483093175723
Long
DBT
CORP
SA
N
2
2024-04-16
Fixed
2.87500000
N
N
N
N
N
N
Mongolia Government International Bond
N/A
MONGOLIA
N/A
5463000.00000000
PA
USD
4995913.50000000
0.242661973110
Long
DBT
NUSS
MN
N
2
2023-05-01
Fixed
5.62500000
N
N
N
N
N
N
Dominican Republic International Bond
N/A
DOMINICAN REPUBL
N/A
6000000.00000000
PA
USD
5864325.00000000
0.284842536897
Long
DBT
NUSS
DO
N
2
2026-01-29
Fixed
6.87500000
N
N
N
N
N
N
KazMunayGas National Co JSC
2138001H1M69RFJCSH88
KAZMUNAYGAS NAT
N/A
400000.00000000
PA
USD
310200.00000000
0.015067063122
Long
DBT
CORP
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
Romanian Government International Bond
N/A
ROMANIA
N/A
19185000.00000000
PA
12079693.20000000
0.586735976609
Long
DBT
NUSS
RO
Y
2
2030-07-13
Fixed
1.75000000
N
N
N
N
N
N
El Salvador Government International Bond
N/A
EL SALVADOR REP
N/A
6855000.00000000
PA
USD
2404962.27000000
0.116814050061
Long
DBT
NUSS
SV
N
2
2052-07-15
Fixed
9.50000000
N
N
N
N
N
N
Lebanon Government International Bond
N/A
LEBANESE REP
N/A
2430000.00000000
PA
USD
285525.00000000
0.013868546737
Long
DBT
NUSS
LB
N
2
2021-04-12
Fixed
8.25000000
Y
Y
N
N
N
N
Chile Government International Bond
N/A
CHILE
168863DV7
8873000.00000000
PA
USD
7241444.03000000
0.351732089934
Long
DBT
NUSS
CL
N
2
2034-01-31
Fixed
3.50000000
N
N
N
N
N
N
Uzbekneftegaz JSC
213800LUZJZFLJD4MJ51
UZBEKNEFTEGAZ
91825MAB9
27361000.00000000
PA
USD
20615756.97000000
1.001350456428
Long
DBT
NUSS
UZ
Y
2
2028-11-16
Fixed
4.75000000
N
N
N
N
N
N
Gazprom PJSC Via Gaz Capital SA
N/A
GAZPROM
N/A
20522000.00000000
PA
USD
9973692.00000000
0.484443091321
Long
DBT
CORP
LU
N
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
N/A
N/A
TRY/USD FWD 20221221
N/A
1.00000000
NC
73.67000000
0.000003578306
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
67684.00000000
TRY
3367.67000000
USD
2022-12-21
73.67000000
N
N
N
Sri Lanka Government International Bond
N/A
REP OF SRI LANKA
N/A
14755000.00000000
PA
USD
3651493.63000000
0.177360686700
Long
DBT
NUSS
LK
N
2
2029-03-14
Fixed
7.85000000
N
Y
N
N
N
N
Sri Lanka Government International Bond
N/A
REP OF SRI LANKA
N/A
8504000.00000000
PA
USD
2313158.58000000
0.112354952730
Long
DBT
NUSS
LK
N
2
2025-06-03
Fixed
6.12500000
N
Y
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QDB5
26768000.00000000
PA
USD
22409464.26000000
1.088474573003
Long
DBT
CORP
MX
N
2
2027-01-23
Fixed
6.49000000
N
N
N
N
N
N
KazMunayGas National Co JSC
2138001H1M69RFJCSH88
KAZMUNAYGAS NAT
N/A
13500000.00000000
PA
USD
9421312.50000000
0.457612863100
Long
DBT
CORP
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
Egypt Government International Bond
N/A
ARAB REP EGYPT
N/A
14258000.00000000
PA
USD
7887035.12000000
0.383089800135
Long
DBT
NUSS
EG
N
2
2051-09-30
Fixed
8.75000000
N
N
N
N
N
N
Nigeria Government International Bond
N/A
REP OF NIGERIA
N/A
10532000.00000000
PA
USD
6782386.83000000
0.329434721110
Long
DBT
NUSS
NG
N
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
N
Morocco Government International Bond
N/A
MOROCCO KINGDOM
N/A
10430000.00000000
PA
7227681.22000000
0.351063601452
Long
DBT
NUSS
MA
Y
2
2030-09-30
Fixed
2.00000000
N
N
N
N
N
N
Tullow Oil PLC
2138003EYHWO75RKS857
TULLOW OIL PLC
N/A
800000.00000000
PA
USD
516410.64000000
0.025083145422
Long
DBT
CORP
GB
N
2
2025-03-01
Fixed
7.00000000
N
N
N
N
N
N
America Movil SAB de CV
5493000FNR3UCEAONM59
AMERICA MOVIL SA
03217KAB4
9556000.00000000
PA
USD
8234995.00000000
0.399990939645
Long
DBT
CORP
MX
Y
2
2032-04-04
Fixed
5.37500000
N
N
N
N
N
N
N/A
N/A
US LONG BOND(CBT) Dec22
N/A
81.00000000
NC
USD
-848329.28000000
-0.04120512833
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Long
N/A
CBOT US Long Bond Future
2022-12-20
11087235.53000000
USD
-848329.28000000
N
N
N
Romanian Government International Bond
N/A
ROMANIA
N/A
4600000.00000000
PA
3475200.56000000
0.168797763380
Long
DBT
NUSS
RO
N
2
2028-03-07
Fixed
2.12500000
N
N
N
N
N
N
COTE D IVOIRE (REPUBLIC OF)
254900ICW11T82O6H590
IVYCST 6.625 3/22/2048
221625AR7
10599000.00000000
PA
6067856.76000000
0.294728500389
Long
DBT
CORP
CI
Y
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
Ecuador Government International Bond
N/A
REPUBLIC OF ECUA
N/A
32989699.00000000
PA
USD
15532093.63000000
0.754426289964
Long
DBT
NUSS
EC
N
2
2030-07-31
Variable
5.50000000
N
N
N
N
N
N
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
N/A
JBS USA/FOOD/FIN
46590XAH9
19341000.00000000
PA
USD
17496040.54000000
0.849819301125
Long
DBT
CORP
N/A
Y
2
2033-04-01
Fixed
5.75000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QAZ5
4000000.00000000
PA
USD
2284373.56000000
0.110956804074
Long
DBT
CORP
MX
N
2
2041-06-02
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
SCDS: (COLOM)
N/A
14280000.00000000
NC
USD
1178986.50000000
0.057265841444
N/A
DCR
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
N/A
COLOMBIA REP OF
Y
Receipt of notional amount upon default event with regard to reference instrument
2027-06-20
616131.53000000
USD
0.00000000
USD
14280000.00000000
USD
562854.97000000
N
N
N
Georgia Government International Bond
N/A
GEORGIA REP OF
N/A
20340000.00000000
PA
USD
17233065.00000000
0.837046028846
Long
DBT
NUSS
GE
N
2
2026-04-22
Fixed
2.75000000
N
N
N
N
N
N
Pakistan Government International Bond
N/A
REP OF PAKISTAN
N/A
31846000.00000000
PA
USD
11384976.85000000
0.552992149730
Long
DBT
NUSS
PK
N
2
2051-04-08
Fixed
8.87500000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20221221
N/A
1.00000000
NC
33074.67000000
0.001606505933
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
1522576657.00000000
JPY
10655082.48000000
USD
2022-12-21
33074.67000000
N
N
N
N/A
N/A
TRY/USD FWD 20221221
N/A
1.00000000
NC
149832.63000000
0.007277684377
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
101200575.00000000
TRY
5075000.00000000
USD
2022-12-21
149832.63000000
N
N
N
Romanian Government International Bond
N/A
ROMANIA
N/A
5771000.00000000
PA
2866691.41000000
0.139241200602
Long
DBT
NUSS
RO
N
2
2041-04-14
Fixed
2.75000000
N
N
N
N
N
N
Fondo MIVIVIENDA SA
549300X41PNOK11PZ670
FONDO MIVIVIE SA
344593AF5
7168000.00000000
PA
USD
6716667.74000000
0.326242607385
Long
DBT
NUSS
PE
Y
2
2027-04-12
Fixed
4.62500000
N
N
N
N
N
N
Development Bank of Kazakhstan JSC
213800LCDPGJ1BI7KX98
KAZAKH DEVELOPME
25159XAC7
3450000000.00000000
PA
5775182.46000000
0.280512697190
Long
DBT
CORP
KZ
Y
2
2026-05-06
Fixed
10.95000000
N
N
N
N
N
N
Thaioil Treasury Center Co Ltd
549300NH03B9E8VGJR89
THAIOIL TRSRY
88323AAD4
5000000.00000000
PA
USD
3966973.35000000
0.192684196871
Long
DBT
CORP
TH
N
2
2048-11-20
Fixed
5.37500000
N
N
N
N
N
N
Mongolia Government International Bond
N/A
MONGOLIA
60937LAC9
3020000.00000000
PA
USD
2394208.89000000
0.116291735892
Long
DBT
NUSS
MN
Y
2
2026-04-07
Fixed
5.12500000
N
N
N
N
N
N
Finance Department Government of Sharjah
254900ZNL8O3F1CLJO24
FIN DEPT SHARJAH
N/A
4060000.00000000
PA
USD
2483199.94000000
0.120614217413
Long
DBT
NUSS
AE
N
2
2051-03-10
Fixed
4.37500000
N
N
N
N
N
N
Sri Lanka Government International Bond
N/A
REP OF SRI LANKA
N/A
12679000.00000000
PA
USD
3201025.29000000
0.155480496779
Long
DBT
NUSS
LK
N
2
2026-07-18
Fixed
6.82500000
N
Y
N
N
N
N
Petroleos de Venezuela SA
549300YWR8TN1OFD4P06
PETROLEOS DE VEN
N/A
2850000.00000000
PA
USD
61275.00000000
0.002976254973
Long
DBT
CORP
VE
N
2
2026-11-15
Fixed
6.00000000
Y
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QBG6
7850000.00000000
PA
USD
7734943.18000000
0.375702376343
Long
DBT
CORP
MX
N
2
2023-01-30
Fixed
3.50000000
N
N
N
N
N
N
Morocco Government International Bond
N/A
MOROCCO KINGDOM
N/A
16713000.00000000
PA
USD
9548972.55000000
0.463813578869
Long
DBT
NUSS
MA
N
2
2050-12-15
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
SCDS: (CHILE)
N/A
-15730000.00000000
NC
USD
-489278.22000000
-0.02376526700
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
2027-12-20
0.00000000
USD
-355767.60000000
USD
-15730000.00000000
USD
-133510.62000000
N
N
N
Serbia International Bond
N/A
SERBIA REPUBLIC
N/A
43998000.00000000
PA
35063696.67000000
1.703117121319
Long
DBT
NUSS
RS
N
2
2027-05-15
Fixed
3.12500000
N
N
N
N
N
N
Argentine Republic Government International Bond
N/A
ARGENTINA
040114HX1
925768.00000000
PA
USD
177527.45000000
0.008622879739
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20221221
N/A
1.00000000
NC
-18167.85000000
-0.00088245049
N/A
DFE
N/A
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
10710000.00000000
EUR
10548224.38000000
USD
2022-12-21
-18167.85000000
N
N
N
Ivory Coast Government International Bond
N/A
IVORY COAST-PDI
ZQ0630710
2815000.00000000
PA
1710228.18000000
0.083069361514
Long
DBT
NUSS
CI
N
2
2040-10-17
Fixed
6.87500000
N
N
N
N
N
N
Croatia Government International Bond
N/A
CROATIA
N/A
8000000.00000000
PA
USD
7995080.00000000
0.388337766050
Long
DBT
NUSS
HR
N
2
2023-04-04
Fixed
5.50000000
N
N
N
N
N
N
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
254900OYVDRYS9J51J61
PERUSAHAAN LISTR
71568QAJ6
3000000.00000000
PA
USD
2541674.97000000
0.123454471984
Long
DBT
CORP
ID
N
2
2029-07-17
Fixed
3.87500000
N
N
N
N
N
N
Lebanon Government International Bond
N/A
LEBANESE REP
AS8296236
1445000.00000000
PA
USD
85891.09000000
0.004171909976
Long
DBT
NUSS
LB
N
2
2033-05-17
Fixed
8.20000000
Y
N
N
N
N
N
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
254900OYVDRYS9J51J61
PERUSAHAAN LISTR
71568QAC1
6497000.00000000
PA
USD
5937635.78000000
0.288403394891
Long
DBT
CORP
ID
N
2
2027-05-15
Fixed
4.12500000
N
N
N
N
N
N
Kazakhstan Government International Bond
N/A
KAZAKHSTAN
N/A
4288000.00000000
PA
USD
3307089.98000000
0.160632280722
Long
DBT
NUSS
KZ
N
2
2044-10-14
Fixed
4.87500000
N
N
N
N
N
N
Indonesia Government International Bond
N/A
INDONESIA (REP)
455780CU8
5195000.00000000
PA
USD
3948792.07000000
0.191801094055
Long
DBT
NUSS
ID
N
2
2070-04-15
Fixed
4.45000000
N
N
N
N
N
N
Ukreximbank Via Biz Finance PLC
N/A
UKREXIMBANK
N/A
62500.00000000
PA
USD
21000.00000000
0.001020013944
Long
DBT
CORP
GB
N
2
2025-01-22
Fixed
9.75000000
N
N
N
N
N
N
Republic of Kenya Government International Bond
N/A
KENYA REP OF
N/A
7000000.00000000
PA
USD
5123288.10000000
0.248848823975
Long
DBT
NUSS
KE
N
2
2028-02-28
Fixed
7.25000000
N
N
N
N
N
N
Empresa Nacional del Petroleo
549300YP3P0JZBLIV197
EMPRESA NACIONAL
N/A
7709000.00000000
PA
USD
7525911.25000000
0.365549258084
Long
DBT
CORP
CL
N
2
2024-10-30
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20221221
N/A
1.00000000
NC
133536.34000000
0.006486139471
N/A
DFE
N/A
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2329678404.00000000
JPY
16386157.90000000
USD
2022-12-21
133536.34000000
N
N
N
Antofagasta PLC
213800MY6QVH4FVLD628
ANTOFAGASTA
03718NAB2
11225000.00000000
PA
USD
10324334.40000000
0.501474526441
Long
DBT
CORP
GB
Y
2
2032-05-13
Fixed
5.62500000
N
N
N
N
N
N
N/A
N/A
US 10YR NOTE (CBT)Dec22
N/A
-43.00000000
NC
USD
31721.19000000
0.001540764577
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
CBOT 10 Year US Treasury Note
2022-12-20
-4850408.69000000
USD
31721.19000000
N
N
N
N/A
N/A
US 2YR NOTE (CBT) Dec22
N/A
40.00000000
NC
USD
1104.96000000
0.000053670219
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Long
N/A
CBOT 2 Year US Treasury Note Future
2022-12-30
8214520.08000000
USD
1104.96000000
N
N
N
Petronas Capital Ltd
549300G7YFX3540OYR85
PETRONAS CAP LTD
N/A
3930000.00000000
PA
USD
2666491.25000000
0.129517059894
Long
DBT
CORP
MY
N
2
2061-04-28
Fixed
3.40400000
N
N
N
N
N
N
Croatia Government International Bond
N/A
CROATIA
N/A
4616000.00000000
PA
4080573.39000000
0.198201988532
Long
DBT
NUSS
HR
N
2
2030-01-27
Fixed
2.75000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QBR2
2137000.00000000
PA
USD
1176255.79000000
0.057133205145
Long
DBT
CORP
MX
N
2
2045-01-23
Fixed
6.37500000
N
N
N
N
N
N
Ukraine Government International Bond
N/A
UKRAINE GOVT
N/A
501000.00000000
PA
USD
105694.97000000
0.005133825869
Long
DBT
NUSS
UA
N
2
2030-11-01
Fixed
9.75000000
N
N
N
N
N
N
Panama Bonos del Tesoro
N/A
PANAMA TR BONDS
N/A
1941000.00000000
PA
USD
1595465.90000000
0.077495117424
Long
DBT
NUSS
PA
N
2
2031-06-30
Fixed
3.36200000
N
N
N
N
N
N
Indonesia Government International Bond
N/A
INDONESIA (REP)
N/A
15123000.00000000
PA
USD
15690414.96000000
0.762116288264
Long
DBT
NUSS
ID
N
2
2037-02-17
Fixed
6.62500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QDE9
7640000.00000000
PA
USD
5157271.53000000
0.250499470284
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
N/A
N/A
TRY/USD FWD 20221221
N/A
1.00000000
NC
45511.40000000
0.002210583934
N/A
DFE
N/A
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
35830309.00000000
TRY
1789278.85000000
USD
2022-12-21
45511.40000000
N
N
N
El Salvador Government International Bond
N/A
EL SALVADOR REP
N/A
14836000.00000000
PA
USD
5415140.00000000
0.263024681485
Long
DBT
NUSS
SV
N
2
2029-02-28
Fixed
8.62500000
N
N
N
N
N
N
Republic of South Africa Government International Bond
N/A
SOUTH AFRICA
836205BB9
7037000.00000000
PA
USD
4490605.32000000
0.218118097403
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
Ukraine Government International Bond
N/A
UKRAINE GOVT
N/A
12465000.00000000
PA
USD
2577575.03000000
0.125198213023
Long
DBT
NUSS
UA
N
2
2028-09-01
Fixed
7.75000000
N
N
N
N
N
N
Venezuela Government International Bond
N/A
VENEZUELA
N/A
640000.00000000
PA
USD
48000.00000000
0.002331460444
Long
DBT
NUSS
VE
N
2
2026-10-21
Fixed
11.75000000
Y
N
N
N
N
N
Turkey Government International Bond
N/A
TURKEY REP OF
900123CM0
18980000.00000000
PA
USD
11376531.52000000
0.552581942380
Long
DBT
NUSS
TR
N
2
2047-05-11
Fixed
5.75000000
N
N
N
N
N
N
Republic of Kenya Government International Bond
N/A
KENYA REP OF
N/A
11068000.00000000
PA
USD
8516947.75000000
0.413685974725
Long
DBT
NUSS
KE
N
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
Lebanon Government International Bond
N/A
LEBANESE REP
N/A
2890000.00000000
PA
USD
167349.93000000
0.008128536295
Long
DBT
NUSS
LB
N
2
2024-04-22
Fixed
6.65000000
Y
N
N
N
N
N
N/A
N/A
COP/USD FWD 20221221
N/A
1.00000000
NC
518108.18000000
0.025165598492
N/A
DFE
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
66326613175.00000000
COP
14687352.06000000
USD
2022-12-21
518108.18000000
N
N
N
Ukraine Government International Bond
N/A
UKRAINE GOVT
N/A
22715000.00000000
PA
USD
4483941.00000000
0.217794397434
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
TRY/USD FWD 20221221
N/A
1.00000000
NC
3181.60000000
0.000154536969
N/A
DFE
N/A
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3665474.00000000
TRY
181570.64000000
USD
2022-12-21
3181.60000000
N
N
N
Chile Government International Bond
N/A
CHILE
168863DX3
6300000.00000000
PA
USD
5682092.85000000
0.275991140034
Long
DBT
NUSS
CL
N
2
2027-01-31
Fixed
2.75000000
N
N
N
N
N
N
Chile Government International Bond
N/A
CHILE
168863DT2
7747000.00000000
PA
USD
5810471.56000000
0.282226762623
Long
DBT
NUSS
CL
N
2
2033-07-27
Fixed
2.55000000
N
N
N
N
N
N
UAE INTERNATIONAL GOVERNMENT BOND
N/A
UAE INTL BOND
31424EAE2
48390000.00000000
PA
USD
46222588.67000000
2.245127856782
Long
DBT
NUSS
AE
Y
2
2052-07-07
Fixed
4.95100000
N
N
N
N
N
N
Lebanon Government International Bond
N/A
LEBANESE REP
N/A
6310000.00000000
PA
USD
383377.30000000
0.018621437713
Long
DBT
NUSS
LB
N
2
2028-03-20
Fixed
7.00000000
Y
Y
N
N
N
N
El Salvador Government International Bond
N/A
EL SALVADOR REP
N/A
21740000.00000000
PA
USD
6956800.00000000
0.337906333753
Long
DBT
NUSS
SV
N
2
2050-01-20
Fixed
7.12460000
N
N
N
N
N
N
Hungary Government International Bond
N/A
HUNGARY
N/A
6800000.00000000
PA
4443297.20000000
0.215820243018
Long
DBT
NUSS
HU
N
2
2032-04-28
Fixed
1.62500000
N
N
N
N
N
N
Empresa de los Ferrocarriles del Estado
8755006LY8XNRFOGWN86
EFE
292487AB1
4356000.00000000
PA
USD
2918092.98000000
0.141737882420
Long
DBT
CORP
CL
Y
2
2061-09-14
Fixed
3.83000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICA
71654QCD2
2716000.00000000
PA
USD
2641675.25000000
0.128311694844
Long
DBT
CORP
MX
N
2
2023-09-21
Fixed
4.62500000
N
N
N
N
N
N
Embraer Netherlands Finance BV
724500PBR8LR26XBSP67
EMBRAER NL FINAN
N/A
17258000.00000000
PA
USD
16222520.00000000
0.787961743536
Long
DBT
CORP
NL
N
2
2028-01-17
Fixed
6.95000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20221221
N/A
1.00000000
NC
-246850.07000000
-0.01199002445
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
18675375.00000000
EUR
18178111.39000000
USD
2022-12-21
-246850.07000000
N
N
N
Petronas Capital Ltd
549300G7YFX3540OYR85
PETRONAS CAP LTD
BH7872303
44968000.00000000
PA
USD
40555834.27000000
1.969881737361
Long
DBT
CORP
MY
N
2
2030-04-21
Fixed
3.50000000
N
N
N
N
N
N
Egypt Government International Bond
N/A
ARAB REP EGYPT
ZQ5986240
11904000.00000000
PA
USD
6447459.96000000
0.313166622168
Long
DBT
NUSS
EG
N
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
Ukraine Government International Bond
N/A
UKRAINE GOVT
N/A
11800000.00000000
PA
USD
2735240.00000000
0.132856330544
Long
DBT
NUSS
UA
N
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
Lebanon Government International Bond
N/A
LEBANESE REP
N/A
2250000.00000000
PA
USD
137088.23000000
0.006658662201
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
Y
Y
N
N
N
N
Indonesia Government International Bond
N/A
INDONESIA (REP)
N/A
3273000.00000000
PA
USD
2967366.61000000
0.144131205739
Long
DBT
NUSS
ID
N
2
2042-01-17
Fixed
5.25000000
N
N
N
N
N
N
N/A
N/A
ILS/USD FWD 20221221
N/A
1.00000000
NC
-28791.72000000
-0.00139847408
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
10310000.00000000
USD
36392134.90000000
ILS
2022-12-21
-28791.72000000
N
N
N
N/A
N/A
SCDS: (TURKEY)
N/A
-41570000.00000000
NC
USD
-10447414.55000000
-0.50745278688
N/A
DCR
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
N/A
TURKEY REP OF
Y
Payout of notional amount upon default event with regard to reference instrument
2027-12-20
0.00000000
USD
-10457925.30000000
USD
-41570000.00000000
USD
10510.75000000
N
N
N
Senegal Government International Bond
N/A
SENEGAL REP OF
N/A
5046000.00000000
PA
USD
3799938.74000000
0.184570976328
Long
DBT
NUSS
SN
N
2
2033-05-23
Fixed
6.25000000
N
N
N
N
N
N
N/A
N/A
EURO-BOBL FUTURE Dec22
N/A
-346.00000000
NC
1184955.29000000
0.057555758064
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
Eurex 5 Year Euro BOBL Future
2022-12-08
-42440010.07000000
EUR
1184955.29000000
N
N
N
Croatia Government International Bond
N/A
CROATIA
N/A
14019000.00000000
PA
10848998.97000000
0.526958582515
Long
DBT
NUSS
HR
N
2
2031-06-17
Fixed
1.50000000
N
N
N
N
N
N
2022-11-25
VANGUARD MALVERN FUNDS
Ashley Grim
Ashley Grim
Treasurer