0001752724-22-169834.txt : 20220728
0001752724-22-169834.hdr.sgml : 20220728
20220728153649
ACCESSION NUMBER: 0001752724-22-169834
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220531
FILED AS OF DATE: 20220728
DATE AS OF CHANGE: 20220728
PERIOD START: 20220531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI INSTITUTIONAL INVESTMENTS TRUST
CENTRAL INDEX KEY: 0000939934
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0531
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07257
FILM NUMBER: 221114995
BUSINESS ADDRESS:
STREET 1: 1 FREEDOM VALLEY DRIVE
CITY: OAK
STATE: PA
ZIP: 19456
BUSINESS PHONE: 610 676-3097
MAIL ADDRESS:
STREET 1: 1 FREEDOM VALLEY DRIVE
CITY: OAK
STATE: PA
ZIP: 19456
0000939934
S000006764
SIIT EMERGING MARKETS DEBT FUND
C000018353
SIIT EMERGING MARKETS DEBT FUND - CLASS A
SEDAX
NPORT-P
1
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SEI INSTITUTIONAL INVESTMENTS TRUST
811-07257
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ONE FREEDOM VALLEY DRIVE
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8003425734
SIIT EMERGING MARKETS DEBT FUND
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2022-05-31
2022-05-31
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0.00000000
0.00000000
0.00000000
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0.00000000
0.00000000
0.00000000
0.00000000
76436819.92000000
MXN
USD
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 5.000000% 02/12/2029
N/A
11435000.00000000
PA
2111271.31000000
0.106245963457
Long
DBT
NUSS
RO
N
2
2029-02-12
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-14887.22000000
-0.00074917279
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
48922806215.00000000
IDR
3344005.89000000
USD
2022-06-15
-14887.22000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
4746000.00000000
PA
1074774.36000000
0.054086102926
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
25260.73000000
0.001271201187
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
1888951.53000000
USD
1785719.11000000
EUR
2022-06-15
25260.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-13
N/A
1.00000000
NC
USD
12719.94000000
0.000640108295
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
440613634.00000000
CLP
546986.00000000
USD
2022-06-13
12719.94000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-06-14
N/A
1.00000000
NC
10678.43000000
0.000537372945
N/A
DFE
HU
N
2
J P MORGAN CHASE BANK
N/A
5416814.10000000
USD
2013976900.00000000
HUF
2022-06-14
10678.43000000
N
N
N
SA GLOBAL SUKUK LIMITED
5493007DFAVKU7UOGR47
SA GLOBAL SUKUK LTD 1.602000% 06/17/2026
N/A
2600000.00000000
PA
USD
2407750.80000000
0.121165765053
Long
DBT
NUSS
SA
N
2
2026-06-17
Fixed
1.60200000
N
N
N
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND MTN 6.000000% 04/08/2026
695847AS2
2006000.00000000
PA
USD
1489455.00000000
0.074954166597
Long
DBT
NUSS
PK
N
2
2026-04-08
Fixed
6.00000000
N
N
N
N
N
N
VEDANTA RESOURCES FINANCE II PLC
8945002DGA3BBXO3N634
VEDANTA RESOURCES FINANCE II PLC 8.950000% 03/11/2025
G9T27HAD6
760000.00000000
PA
USD
688180.00000000
0.034631431207
Long
DBT
NUSS
IN
N
2
2025-03-11
Fixed
8.95000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 2.500000% 07/09/2041
040114HV5
8229839.00000000
PA
USD
2657950.12000000
0.133756599629
Long
DBT
NUSS
AR
N
2
2041-07-09
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-12237.87000000
-0.00061584898
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1291707007.00000000
CLP
1553466.03000000
USD
2022-06-15
-12237.87000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 7.650000% 06/15/2035
283875AN2
196000.00000000
PA
USD
75709.75000000
0.003809958148
Long
DBT
NUSS
SV
Y
2
2035-06-15
Fixed
7.65000000
N
N
N
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
TULLOW OIL PLC 144A 10.250000% 05/15/2026
899415AG8
506000.00000000
PA
USD
491735.86000000
0.024745730198
Long
DBT
NUSS
GH
N
2
2026-05-15
Fixed
10.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-66191.84000000
-0.00333098630
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
42302055.28000000
CZK
1763153.52000000
USD
2022-06-15
-66191.84000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
23389000000.00000000
PA
1702660.46000000
0.085683351143
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 5.625000% 09/30/2031
05675M2A1
1664000.00000000
PA
USD
1551280.64000000
0.078065431670
Long
DBT
NUSS
BH
N
2
2031-09-30
Fixed
5.62500000
N
N
N
N
N
GRUPO AVAL LIMITED
549300J4FW1ELLQ80113
GRUPO AVAL LTD 144A 4.375000% 02/04/2030
40053FAC2
1083000.00000000
PA
USD
895370.25000000
0.045057911037
Long
DBT
NUSS
CO
N
2
2030-02-04
Fixed
4.37500000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.298000% 01/19/2033
698299BR4
1885000.00000000
PA
USD
1681438.45000000
0.084615391337
Long
DBT
NUSS
PA
N
2
2033-01-19
Fixed
3.29800000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-02
N/A
1.00000000
NC
544291.99000000
0.027390523712
N/A
DFE
BR
N
2
STANDARD BANK
N/A
7870318.44000000
USD
39873473.00000000
BRL
2022-06-02
544291.99000000
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 8.000000% 11/26/2029
N/A
2427000.00000000
PA
USD
2259779.70000000
0.113719383335
Long
DBT
NUSS
AO
N
2
2029-11-26
Fixed
8.00000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
93296.57000000
0.004694983501
N/A
DFE
MX
N
2
STATE STREET BANK
N/A
1605397.02000000
USD
33574448.00000000
MXN
2022-06-15
93296.57000000
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA GOVERNMENT INTERNATIONAL BOND MTN 8.750000% 03/09/2024
Y6142NAA6
2896000.00000000
PA
USD
2964402.01000000
0.149178244470
Long
DBT
NUSS
MN
N
2
2024-03-09
Fixed
8.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 06/17/2035
N/A
15000000.00000000
PA
366018.37000000
0.018419221717
Long
DBT
NUSS
TH
N
2
2035-06-17
Fixed
1.60000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
35000000.00000000
NC
-144302.63000000
-0.00726177250
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-09-16
0.00000000
MXN
0.00000000
MXN
-35000000.00000000
MXN
-144302.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-5304.60000000
-0.00026694453
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
6768362.20000000
MXN
337139.56000000
USD
2022-06-15
-5304.60000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
36068.63000000
0.001815089480
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
1351648.50000000
EUR
34338814.00000000
CZK
2022-06-15
36068.63000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.250000% 02/10/2027
N/A
15200000.00000000
PA
529575.66000000
0.026649950650
Long
DBT
NUSS
CZ
N
2
2027-02-10
Fixed
0.25000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
REPUBLIC OF ZAMBIA 8.970000% 07/30/2027
N/A
3476000.00000000
PA
USD
2409917.75000000
0.121274812947
Long
DBT
NUSS
ZM
N
2
2027-07-30
Fixed
8.97000000
Y
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 9.250000% 05/28/2042
N/A
3869500000.00000000
PA
866263.63000000
0.043593172294
Long
DBT
NUSS
CO
N
2
2042-05-28
Fixed
9.25000000
N
N
N
N
N
N
IHS Netherlands Holdco B.V.
5493006Z6YQYCCN2XI74
IHS NETHERLANDS HOLDCO BV 144A 8.000000% 09/18/2027
44963LAC0
399000.00000000
PA
USD
385521.78000000
0.019400696043
Long
DBT
NUSS
NG
N
2
2027-09-18
Fixed
8.00000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
GUATEMALA GOVERNMENT BOND 144A 3.700000% 10/07/2033
401494AT6
320000.00000000
PA
USD
264953.21000000
0.013333297778
Long
DBT
NUSS
GT
N
2
2033-10-07
Fixed
3.70000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.750000% 02/23/2027
200447AF7
364000.00000000
PA
USD
358540.00000000
0.018042886083
Long
DBT
NUSS
MX
N
2
2027-02-23
Fixed
4.75000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 8.875000% 05/29/2050
03846JX62
2810000.00000000
PA
USD
2064057.40000000
0.103870007637
Long
DBT
NUSS
EG
N
2
2050-05-29
Fixed
8.87500000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-71043.47000000
-0.00357513592
N/A
DFE
CL
N
2
J P MORGAN CHASE BANK
N/A
1605742.45000000
USD
1266127923.00000000
CLP
2022-06-15
-71043.47000000
N
N
N
TENGIZCHEVROIL FINANCE COMPANY INTERNATIONAL LTD.
5493001VEV2XTJIBZH31
TENGIZCHEVROIL FINANCE CO INTERNATIONAL LTD 2.625000% 08/15/2025
N/A
1794000.00000000
PA
USD
1574235.00000000
0.079220568901
Long
DBT
NUSS
KZ
N
2
2025-08-15
Fixed
2.62500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.625000% 02/26/2044
195325BR5
1555000.00000000
PA
USD
1302241.19000000
0.065532965483
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA S 6.00% 05/16/2024
N/A
7900000.00000000
PA
USD
395000.00000000
0.019877670561
Long
DBT
NUSS
VE
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.875000% 04/16/2043
900123CB4
804000.00000000
PA
USD
520397.04000000
0.026188052967
Long
DBT
NUSS
TR
N
2
2043-04-16
Fixed
4.87500000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.688000% 05/15/2029
200447AL4
2734000.00000000
PA
USD
2515280.00000000
0.126576980276
Long
DBT
NUSS
MX
N
2
2029-05-15
Fixed
4.68800000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
151954.82000000
0.007646855321
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
6427573.00000000
EUR
30166914.00000000
PLN
2022-06-15
151954.82000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 6.400000% 01/20/2040
74727PAL5
674000.00000000
PA
USD
841515.96000000
0.042347789936
Long
DBT
NUSS
QA
N
2
2040-01-20
Fixed
6.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
117135.09000000
0.005894614506
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
14752395.82000000
EGP
906723.78000000
USD
2022-06-15
117135.09000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-09-21
N/A
1.00000000
NC
-834.52000000
-0.00004199573
N/A
DFE
TH
N
2
CITIGROUP GLOBAL MARKETS
N/A
4352235.81000000
USD
148228882.38000000
THB
2022-09-21
-834.52000000
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 5.875000% 02/24/2026
N/A
625000.00000000
PA
USD
88281.25000000
0.004442596466
Long
DBT
NUSS
BY
N
2
2026-02-24
Fixed
5.87500000
N
N
N
N
N
N
Independent State of Papua New Guinea
254900NKI6OC90ZW9W36
PNG GOVT INTL BOND 8.375000% 10/04/2028
Y6726SAP6
450000.00000000
PA
USD
388926.00000000
0.019572007343
Long
DBT
NUSS
PG
N
2
2028-10-04
Fixed
8.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2023-03-15
N/A
1.00000000
NC
USD
-20405.51000000
-0.00102687089
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
259119601.00000000
NGN
534928.99000000
USD
2023-03-15
-20405.51000000
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 3.700000% 10/07/2033
P5015VAM8
1055000.00000000
PA
USD
873517.60000000
0.043958215398
Long
DBT
NUSS
GT
N
2
2033-10-07
Fixed
3.70000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 07/09/2036
N/A
8114800000.00000000
PA
1440056.86000000
0.072468293297
Long
DBT
NUSS
CO
N
2
2036-07-09
Fixed
6.25000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 3.050000% 03/12/2051
455780CW4
2357000.00000000
PA
USD
1888243.47000000
0.095022485154
Long
DBT
NUSS
ID
N
2
2051-03-12
Fixed
3.05000000
N
N
N
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 5.875000% 11/02/2051
279158AQ2
504000.00000000
PA
USD
397756.80000000
0.020016401604
Long
DBT
NUSS
CO
N
2
2051-11-02
Fixed
5.87500000
N
N
N
N
N
N
CONVERSION ADJUSTMENT
N/A
CONVERSION ADJUSTMENT
N/A
1.00000000
NS
USD
0.00000000
0.000000
Long
EC
US
N
2
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE 5.333% 02/15/28
G13201AA9
1100000.00000000
PA
USD
1105511.00000000
0.055632869518
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
22570.12000000
0.001135801037
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
2590000.00000000
MYR
614472.12000000
USD
2022-06-15
22570.12000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 6.150000% 08/12/2032
N/A
7207000.00000000
PA
1749928.62000000
0.088062036997
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.700000% 02/16/2032
71643VAA3
2331000.00000000
PA
USD
2013727.59000000
0.101337249706
Long
DBT
NUSS
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND 6.250000% 01/25/2031
N/A
1965000.00000000
PA
USD
2020452.30000000
0.101675658744
Long
DBT
NUSS
OM
N
2
2031-01-25
Fixed
6.25000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 10.000000% 06/28/2024
BQ2493055
99750000.00000000
PA
4579243.26000000
0.230442250486
Long
DBT
NUSS
ZM
N
2
2024-06-28
Fixed
10.00000000
N
N
N
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.875000% 01/30/2060
P3579ECG0
3748000.00000000
PA
USD
2914357.62000000
0.146659849792
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 02/08/2038
N/A
1496000.00000000
PA
1222646.54000000
0.061527506670
Long
DBT
NUSS
RO
N
2
2038-02-08
Fixed
3.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH HUF - BUBOR
N/A
2832027678.00000000
NC
-96975.18000000
-0.00488010298
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-04-04
0.00000000
HUF
0.00000000
HUF
-2832027678.00000000
HUF
-96975.18000000
N
N
N
GEOPARK LIMITED
529900ZR5QI19AH4KZ07
GEOPARK LTD 144A 5.500000% 01/17/2027
37255BAB5
1438000.00000000
PA
USD
1298657.80000000
0.065352637772
Long
DBT
NUSS
CO
N
2
2027-01-17
Fixed
5.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
17582.39000000
0.000884802420
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
2450000.00000000
MYR
577489.69000000
USD
2022-06-15
17582.39000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
17354000000.00000000
PA
1187429.50000000
0.059755271938
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-6169.27000000
-0.00031045751
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
1939754.14000000
PEN
519512.06000000
USD
2022-06-15
-6169.27000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.059000% 09/30/2024
N/A
6000000.00000000
PA
1393466.54000000
0.070123718532
Long
DBT
NUSS
MY
N
2
2024-09-30
Fixed
4.05900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-06-02
N/A
1.00000000
NC
USD
-39099.09000000
-0.00196759197
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1873550523.00000000
KRW
1475248.25000000
USD
2022-06-02
-39099.09000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-07-21
N/A
1.00000000
NC
9616.22000000
0.000483919122
N/A
DFE
XX
N
2
JP MORGAN
N/A
780803.26000000
USD
736000.00000000
EUR
2022-07-21
9616.22000000
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.125000% 08/16/2027
156830AA9
322000.00000000
PA
USD
301472.50000000
0.015171065919
Long
DBT
NUSS
PE
N
2
2027-08-16
Fixed
4.12500000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 4.500000% 03/23/2028
N/A
1049560000.00000000
PA
2471164.26000000
0.124356934336
Long
DBT
NUSS
HU
N
2
2028-03-23
Fixed
4.50000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 5.450000% 09/16/2032
05675M2D5
981000.00000000
PA
USD
892710.00000000
0.044924038700
Long
DBT
NUSS
BH
N
2
2032-09-16
Fixed
5.45000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2022-07-06
N/A
1.00000000
NC
-92683.95000000
-0.00466415449
N/A
DFE
HU
N
2
J P MORGAN CHASE BANK
N/A
1421630.00000000
EUR
533195170.00000000
HUF
2022-07-06
-92683.95000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B 6.000000% 05/15/2045
N/A
435000.00000000
PA
371871.66000000
0.018713778097
Long
DBT
NUSS
BR
N
2
2045-05-15
Fixed
6.00000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-30634.04000000
-0.00154160343
N/A
DFE
TH
N
2
MORGAN STANLEY & CO, INC
N/A
1831668.84000000
USD
61603767.00000000
THB
2022-06-15
-30634.04000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH HUF - BUBOR
N/A
3123150423.00000000
NC
-96215.89000000
-0.00484189307
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-03-31
0.00000000
HUF
0.00000000
HUF
-3123150423.00000000
HUF
-96215.89000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 3.750000% 09/12/2031
105756CE8
10350000.00000000
PA
USD
9050824.94000000
0.455466623962
Long
DBT
NUSS
BR
N
2
2031-09-12
Fixed
3.75000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT INTERNATIONAL BOND 144A 5.375000% 09/20/2022
988895AA6
452000.00000000
PA
USD
299264.68000000
0.015059961315
Long
DBT
NUSS
ZM
N
2
2022-09-20
Fixed
5.37500000
Y
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 8.250000% 05/09/2028
N/A
1796000.00000000
PA
USD
1725237.60000000
0.086819505449
Long
DBT
NUSS
AO
N
2
2028-05-09
Fixed
8.25000000
N
N
N
N
N
N
THE OIL AND GAS HOLDING COMPANY B.S.C (CLOSED)
549300OBH16L6TS6IW50
OIL AND GAS HOLDING CO BSCC/THE 144A 8.375000% 11/07/2028
67778M2D1
810000.00000000
PA
USD
868320.00000000
0.043696655447
Long
DBT
NUSS
BH
N
2
2028-11-07
Fixed
8.37500000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.250000% 09/21/2071
168863DU9
574000.00000000
PA
USD
410771.10000000
0.020671323042
Long
DBT
NUSS
CL
N
2
2071-09-21
Fixed
3.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-07-28
N/A
1.00000000
NC
-1944.74000000
-0.00009786557
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
3610942.15000000
RON
720905.22000000
EUR
2022-07-28
-1944.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-06-03
N/A
1.00000000
NC
USD
-6363.86000000
-0.00032024990
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
625363.00000000
EUR
663589.50000000
USD
2022-06-03
-6363.86000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 12.8875% FIXED
N/A
86565523.89000000
NC
-677.29000000
-0.00003408341
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-86565523.89000000
BRL
-677.29000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-02
N/A
1.00000000
NC
468690.88000000
0.023586032677
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
17724968.85000000
USD
86212476.00000000
BRL
2022-06-02
468690.88000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-11251.19000000
-0.00056619607
N/A
DFE
PH
N
2
STANDARD BANK
N/A
3483915.68000000
USD
182208790.13000000
PHP
2022-06-15
-11251.19000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.600000% 11/27/2026
N/A
2218000.00000000
PA
USD
201216.96000000
0.010125884663
Long
DBT
NUSS
LB
N
2
2026-11-27
Fixed
6.60000000
Y
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 05/16/2024
P7807HAT2
13504280.00000000
PA
USD
675214.00000000
0.033978940380
Long
DBT
NUSS
VE
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 10/13/2019
P97475AN0
7815700.00000000
PA
USD
625256.00000000
0.031464893125
Long
DBT
NUSS
VE
N
2
2019-10-13
Floating
0.00000000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-13069.15000000
-0.00065768166
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
50003209.00000000
THB
1448713.31000000
USD
2022-06-13
-13069.15000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
-57067.10000000
-0.00287180003
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
6849272.00000000
PLN
1438302.04000000
EUR
2022-06-15
-57067.10000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.000000% 01/27/2023
N/A
738000.00000000
PA
USD
67896.00000000
0.003416745115
Long
DBT
NUSS
LB
N
2
2023-01-27
Fixed
6.00000000
Y
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 5.375000% 04/24/2030
N/A
4625000.00000000
PA
USD
4275816.15000000
0.215172822304
Long
DBT
NUSS
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 5.375000% 04/24/2032
P5015VAK2
935000.00000000
PA
USD
910905.05000000
0.045839672143
Long
DBT
NUSS
GT
N
2
2032-04-24
Fixed
5.37500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-08-16
N/A
1.00000000
NC
812726.41000000
0.040899007175
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
24402990.59000000
USD
108934950.00000000
PLN
2022-08-16
812726.41000000
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 5.375000% 04/24/2030
N/A
1420000.00000000
PA
USD
1312791.12000000
0.066063871896
Long
DBT
NUSS
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 7.345%
N/A
23157457.00000000
NC
85773.27000000
0.004316386845
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2031-11-10
0.00000000
MXN
0.00000000
MXN
-23157457.00000000
MXN
85773.27000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 8.625000% 02/28/2029
P01012BX3
1343000.00000000
PA
USD
527865.85000000
0.026563907511
Long
DBT
NUSS
SV
N
2
2029-02-28
Fixed
8.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
82380.69000000
0.004145661307
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
20340000.00000000
ZAR
1385432.12000000
USD
2022-06-15
82380.69000000
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT MTN 3.650000% 07/30/2029
69370PAD3
985000.00000000
PA
USD
932441.87000000
0.046923474201
Long
DBT
NUSS
ID
N
2
2029-07-30
Fixed
3.65000000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
3397.90000000
0.000170993257
N/A
DFE
PH
N
2
STANDARD BANK
N/A
3597981.86000000
USD
188962409.46000000
PHP
2022-06-15
3397.90000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.400000% 09/17/2025
N/A
85920000.00000000
PA
3415481.16000000
0.171877998244
Long
DBT
NUSS
CZ
N
2
2025-09-17
Fixed
2.40000000
N
N
N
N
N
N
GOVERNMENT OF BERMUDA
549300FP5PUZXX9FVJ40
GOVT OF BERMUDA 3.717000% 01/25/2027
G10367AD5
1093000.00000000
PA
USD
1079483.67000000
0.054323090553
Long
DBT
NUSS
BM
N
2
2027-01-25
Fixed
3.71700000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-2423.49000000
-0.00012195781
N/A
DFE
ID
N
2
MERRILL LYNCH
N/A
164059.64000000
USD
2354255872.00000000
IDR
2022-06-15
-2423.49000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 3.200000% 09/23/2061
455780DG8
673000.00000000
PA
USD
510330.16000000
0.025681455184
Long
DBT
NUSS
ID
N
2
2061-09-23
Fixed
3.20000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.000000% 01/27/2045
105756BW9
2428000.00000000
PA
USD
1940289.73000000
0.097641620370
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 04/20/2023
N/A
20811000.00000000
PA
4804455.60000000
0.241775659856
Long
DBT
NUSS
MY
N
2
2023-04-20
Fixed
3.75700000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
31649.76000000
0.001592717728
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
1771423.60000000
USD
35637500.00000000
MXN
2022-06-15
31649.76000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 2.33 %
N/A
1146740329.00000000
NC
337133.98000000
0.016965666302
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2030-06-05
0.00000000
CLP
0.00000000
CLP
-1146740329.00000000
CLP
337133.98000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
783600000.00000000
PA
161454.94000000
0.008124931918
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA INTERNATIONAL BOND MTN 2.050000% 09/23/2036
N/A
1524000.00000000
PA
1113891.86000000
0.056054621351
Long
DBT
NUSS
RS
N
2
2036-09-23
Fixed
2.05000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 5.375000% 04/24/2032
P5015VAK2
253000.00000000
PA
USD
246480.19000000
0.012403675991
Long
DBT
NUSS
GT
N
2
2032-04-24
Fixed
5.37500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2027
N/A
18967000.00000000
PA
3614789.48000000
0.181907834004
Long
DBT
NUSS
PL
N
2
2027-07-25
Fixed
2.50000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.000000% 06/17/2042
N/A
75324000.00000000
PA
1702853.12000000
0.085693046414
Long
DBT
NUSS
TH
N
2
2042-06-17
Fixed
2.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 4.500000% 07/16/2025
N/A
959165000.00000000
PA
951552.58000000
0.047885186599
Long
DBT
NUSS
RU
N
2
2025-07-16
Fixed
4.50000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.940000% 02/12/2029
N/A
4067000.00000000
PA
1022661.89000000
0.051463635810
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-112612.42000000
-0.00566701920
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
81854362.41000000
MXN
4028795.38000000
USD
2022-06-15
-112612.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
211490.80000000
0.010642897339
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
26635879.13000000
EGP
1637116.11000000
USD
2022-06-15
211490.80000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
15387123.00000000
NC
-157066.65000000
-0.00790409905
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-15387123.00000000
BRL
-157066.65000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-31387.57000000
-0.00157952348
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
30370976.04000000
ZAR
1914283.21000000
USD
2022-06-15
-31387.57000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.88%
N/A
15522131.00000000
NC
-60853.70000000
-0.00306235392
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-05-13
0.00000000
PLN
0.00000000
PLN
-15522131.00000000
PLN
-60853.70000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 04/15/2040
N/A
1001000000.00000000
PA
67498.35000000
0.003396734087
Long
DBT
NUSS
ID
N
2
2040-04-15
Fixed
7.50000000
N
N
N
N
N
N
DIGICEL HOLDINGS (BERMUDA) LIMITED
N/A
DIGICEL INTERNATIONAL FINANCE LTD/DIGICEL INTERNAT 8.750000% 05/25/2024
25381XAA1
650000.00000000
PA
USD
618319.00000000
0.031115800971
Long
DBT
NUSS
JM
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
CHINALCO CAPITAL HOLDINGS LIMITED
5493003PX4GYVUD3CQ19
CHINALCO CAPITAL HOLDINGS LTD 4.100000% MATURITY: PERPETUAL
N/A
307000.00000000
PA
USD
307085.04000000
0.015453506985
Long
DBT
NUSS
CN
N
2
2171-03-11
Fixed
4.10000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-06-13
N/A
1.00000000
NC
31325.01000000
0.001576375263
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1474650.70000000
USD
1865093960.00000000
KRW
2022-06-13
31325.01000000
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR ZERO COUPON 07/31/2030
N/A
100000.00000000
PA
USD
55050.61000000
0.002770323771
Long
DBT
NUSS
EC
N
2
2030-07-31
Fixed
0.00000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 01/25/2051
68205LAT0
642000.00000000
PA
USD
613276.92000000
0.030862067287
Long
DBT
NUSS
OM
N
2
2051-01-25
Fixed
7.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH CZK - PRIBOR
N/A
48086116.00000000
NC
-247897.90000000
-0.01247501971
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-08-30
0.00000000
CZK
0.00000000
CZK
-48086116.00000000
CZK
-247897.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-26669.07000000
-0.00134207338
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
3390000.00000000
PEN
892034.84000000
USD
2022-06-15
-26669.07000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-21
N/A
1.00000000
NC
-59532.23000000
-0.00299585330
N/A
DFE
TH
N
2
J P MORGAN CHASE BANK
N/A
2280888.76000000
USD
75965000.00000000
THB
2022-06-21
-59532.23000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERU BONO SOBERANO 6.9% 08/12/2037
P87324BE1
9608000.00000000
PA
2388667.19000000
0.120205416413
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.90000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 7.300000% 09/30/2033
03846JAE0
2758000.00000000
PA
USD
2128789.88000000
0.107127554250
Long
DBT
NUSS
EG
N
2
2033-09-30
Fixed
7.30000000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT 144A 2.300000% 02/09/2031
69370PAL5
3682000.00000000
PA
USD
3084525.39000000
0.155223239342
Long
DBT
NUSS
ID
N
2
2031-02-09
Fixed
2.30000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2022-06-15
N/A
1.00000000
NC
323046.65000000
0.016256746543
N/A
DFE
CZ
N
2
BARCLAYS CAPITAL INC.
N/A
11602347.74000000
USD
275764601.00000000
CZK
2022-06-15
323046.65000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.906000% 07/15/2026
N/A
17569000.00000000
PA
4047078.11000000
0.203661988370
Long
DBT
NUSS
MY
N
2
2026-07-15
Fixed
3.90600000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.200000% 05/11/2027
Y8137FAH1
1585000.00000000
PA
USD
610708.47000000
0.030732814621
Long
DBT
NUSS
LK
N
2
2027-05-11
Fixed
6.20000000
Y
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.625000% 05/15/2033
N/A
16461000000.00000000
PA
1062023.04000000
0.053444415487
Long
DBT
NUSS
ID
N
2
2033-05-15
Fixed
6.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-06-02
N/A
1.00000000
NC
USD
-10382.79000000
-0.00052249539
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1860817499.00000000
KRW
1493672.74000000
USD
2022-06-02
-10382.79000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.625000% 01/07/2041
105756BR0
523000.00000000
PA
USD
464979.15000000
0.023399246484
Long
DBT
NUSS
BR
N
2
2041-01-07
Fixed
5.62500000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.530000% 10/18/2051
Y6S39BG95
15870000.00000000
PA
2479765.73000000
0.124789787974
Long
DBT
NUSS
CN
N
2
2051-10-18
Fixed
3.53000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.795000% 09/30/2022
N/A
4800000.00000000
PA
1102605.32000000
0.055486646354
Long
DBT
NUSS
MY
N
2
2022-09-30
Fixed
3.79500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-06-03
N/A
1.00000000
NC
USD
-28081.30000000
-0.00141314134
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1525001.00000000
EUR
1605657.08000000
USD
2022-06-03
-28081.30000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2022-08-31
N/A
1.00000000
NC
-15774.28000000
-0.00079381250
N/A
DFE
HU
N
2
J P MORGAN CHASE BANK
N/A
1389550.09000000
EUR
555090523.00000000
HUF
2022-08-31
-15774.28000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 2.252000% 09/29/2032
698299BN3
900000.00000000
PA
USD
736864.85000000
0.037081409459
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25200000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.125000% 07/09/2035
040114HT0
1180000.00000000
PA
USD
320322.80000000
0.016119673649
Long
DBT
NUSS
AR
N
2
2035-07-09
Fixed
1.12500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.400000% 04/16/2050
N/A
200000.00000000
PA
USD
203360.00000000
0.010233729329
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
TUNISIAN REPUBLIC 5.625000% 02/17/2024
N/A
3398000.00000000
PA
2233421.76000000
0.112392967011
Long
DBT
NUSS
TN
N
2
2024-02-17
Fixed
5.62500000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 11/15/2026
P7807HAR6
11979000.00000000
PA
USD
628897.50000000
0.031648145118
Long
DBT
NUSS
VE
N
2
2026-11-15
Fixed
6.00000000
Y
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
16771700000.00000000
PA
3455683.89000000
0.173901128935
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
11913223.00000000
NC
-26162.03000000
-0.00131655750
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-04-20
0.00000000
MXN
0.00000000
MXN
-11913223.00000000
MXN
-26162.03000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
41320000.00000000
PA
1891487.59000000
0.095185739708
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 7.625000% 05/16/2029
374422AG8
403000.00000000
PA
USD
215661.42000000
0.010852776353
Long
DBT
NUSS
GH
N
2
2029-05-16
Fixed
7.62500000
N
N
N
N
N
N
Joint-Stock Cornpany Uzbekneftegaz
213800LUZJZFLJD4MJ51
UZBEKNEFTEGAZ JSC 144A 4.750000% 11/16/2028
91825MAB9
864000.00000000
PA
USD
691200.00000000
0.034783407321
Long
DBT
NUSS
UZ
N
2
2028-11-16
Fixed
4.75000000
N
N
N
N
N
N
SHARJAH SUKUK PROGRAMME LIMITED
549300N3BQ9P6RRMVV02
SHARJAH SUKUK PROGRAM LTD MTN 3.854000% 04/03/2026
N/A
1037000.00000000
PA
USD
1030715.78000000
0.051868933461
Long
DBT
NUSS
AE
N
2
2026-04-03
Fixed
3.85400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2022-09-21
N/A
1.00000000
NC
USD
-4601.92000000
-0.00023158341
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
188962409.46000000
PHP
3560357.42000000
USD
2022-09-21
-4601.92000000
N
N
N
Studio City Finance Limited
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD 144A 6.000000% 07/15/2025
86389QAE2
119000.00000000
PA
USD
90583.99000000
0.004558477750
Long
DBT
NUSS
MO
N
2
2025-07-15
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-10
N/A
1.00000000
NC
USD
-8683.86000000
-0.00043699976
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25289850.00000000
THB
730557.35000000
USD
2022-06-10
-8683.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
6645.28000000
0.000334411864
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
6325029.50000000
MYR
1452126.98000000
USD
2022-06-15
6645.28000000
N
N
N
Banco de Credito e Inversiones
549300E9E5Y3PKW24142
BANCO DE CREDITO E INVERSIONES SA 144A 3.500000% 10/12/2027
05890MAA1
1691000.00000000
PA
USD
1615302.39000000
0.081287212064
Long
DBT
NUSS
CL
N
2
2027-10-12
Fixed
3.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.375000% 10/14/2025
900123CZ1
409000.00000000
PA
USD
379920.10000000
0.019118801487
Long
DBT
NUSS
TR
N
2
2025-10-14
Fixed
6.37500000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.810000% 09/14/2050
N/A
8700000.00000000
PA
1419368.77000000
0.071427202063
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-150749.18000000
-0.00758618363
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
5545565.54000000
USD
5032684.65000000
EUR
2022-06-15
-150749.18000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.395
N/A
460499214.00000000
NC
8835.28000000
0.000444619709
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-01-06
0.00000000
COP
0.00000000
COP
-460499214.00000000
COP
8835.28000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
45289.49000000
0.002279112815
N/A
DFE
CO
N
2
GOLDMAN, SACHS & CO.
N/A
767187.07000000
USD
3069830000.00000000
COP
2022-06-15
45289.49000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.250000% 02/10/2027
N/A
29920000.00000000
PA
1042427.88000000
0.052458324006
Long
DBT
NUSS
CZ
N
2
2027-02-10
Fixed
0.25000000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 4.950000% 04/28/2031
P75744AJ4
1086000.00000000
PA
USD
1056889.88000000
0.053186098365
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
4.95000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
7533671.00000000
NC
-68429.58000000
-0.00344359657
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-7533671.00000000
BRL
-68429.58000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 4.850000% 09/27/2027
836205AW4
690000.00000000
PA
USD
672750.00000000
0.033854943974
Long
DBT
NUSS
ZA
N
2
2027-09-27
Fixed
4.85000000
N
N
N
N
N
N
TURKIYE IHRACAT KREDI BANKASI ANONIM SIRKETI
789000JVRVYLAXGDWR11
TURKIYE IHRACAT KREDI BANKASI AS 144A 6.125000% 05/03/2024
90015LAD9
831000.00000000
PA
USD
790862.70000000
0.039798754961
Long
DBT
NUSS
TR
N
2
2024-05-03
Fixed
6.12500000
N
N
N
N
N
N
MEDCO BELL PTE. LTD.
2549003PNDCWIWGKC768
MEDCO BELL PTE LTD 144A 6.375000% 01/30/2027
58406LAA9
626000.00000000
PA
USD
579363.00000000
0.029155409745
Long
DBT
NUSS
ID
N
2
2027-01-30
Fixed
6.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.900000% 11/30/2026
N/A
4500000.00000000
PA
1035128.47000000
0.052090994215
Long
DBT
NUSS
MY
N
2
2026-11-30
Fixed
3.90000000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 6.150000% 05/21/2048
71568QAF4
1070000.00000000
PA
USD
1060380.70000000
0.053361767656
Long
DBT
NUSS
ID
N
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 1.000000% 07/31/2035
N/A
1925000.00000000
PA
USD
1229706.98000000
0.061882810722
Long
DBT
NUSS
EC
N
2
2035-07-31
Fixed
1.00000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.750000% 02/28/2048
N/A
89449141.00000000
PA
4624636.10000000
0.232726564206
Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
8.75000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
25306.60000000
0.001273509513
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
602635.02000000
USD
2690000.00000000
PLN
2022-06-15
25306.60000000
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT INTERNATIONAL BOND 144A 5.375000% 09/20/2022
988895AA6
1370000.00000000
PA
USD
907063.30000000
0.045646342925
Long
DBT
NUSS
ZM
N
2
2022-09-20
Fixed
5.37500000
Y
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.000000% 01/14/2041
900123BJ8
1091000.00000000
PA
USD
787811.10000000
0.039645188633
Long
DBT
NUSS
TR
N
2
2041-01-14
Fixed
6.00000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 6.900000% 05/23/2029
N/A
128287000.00000000
PA
127268.85000000
0.006404577906
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEXICAN UDIBONOS 4.00% 11/30/2028
N/A
178023689.70940000
PA
9072137.08000000
0.456539119400
Long
DBT
NUSS
MX
N
2
2028-11-30
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-22736.43000000
-0.00114417029
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
13319283.96000000
MXN
651150.52000000
USD
2022-06-15
-22736.43000000
N
N
N
Banco Nacional de Comercio Exterior, S.N.C.
4469000001BL6VG3DH44
BANCO NACIONAL DE COMERCIO EXTERIOR SNC/CAYMAN ISL 2.720000% 08/11/2031
05973JAA8
1777000.00000000
PA
USD
1599317.77000000
0.080482814569
Long
DBT
NUSS
MX
N
2
2031-08-11
Fixed
2.72000000
N
N
N
N
N
N
SHIMAO GROUP HOLDINGS LIMITED
254900WTJ6B5CU69ZD26
SHIMAO GROUP HOLDINGS LTD 5.600000% 07/15/2026
N/A
2542000.00000000
PA
USD
343170.00000000
0.017269418244
Long
DBT
NUSS
CN
N
2
2026-07-15
Fixed
5.60000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.500000% 07/09/2030
040114HS2
8763440.00000000
PA
USD
2558924.48000000
0.128773310897
Long
DBT
NUSS
AR
N
2
2030-07-09
Fixed
0.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-06-30
N/A
1.00000000
NC
-5343.37000000
-0.00026889556
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
1918523.66000000
RON
381109.15000000
EUR
2022-06-30
-5343.37000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.392000% 04/15/2026
N/A
5125000.00000000
PA
1201656.30000000
0.060471210276
Long
DBT
NUSS
MY
N
2
2026-04-15
Fixed
4.39200000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
TUNISIAN REPUBLIC 6.375000% 07/15/2026
N/A
962000.00000000
PA
593828.81000000
0.029883375835
Long
DBT
NUSS
TN
N
2
2026-07-15
Fixed
6.37500000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-06-06
N/A
1.00000000
NC
-447420.68000000
-0.02251564779
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
9979317.75000000
USD
63468900.00000000
CNY
2022-06-06
-447420.68000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 5.750000% 04/18/2023
Y8137FAK4
881000.00000000
PA
USD
342486.70000000
0.017235032390
Long
DBT
NUSS
LK
N
2
2023-04-18
Fixed
5.75000000
Y
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.750000% 07/23/2029
N/A
78020000.00000000
PA
2982477.50000000
0.150087861269
Long
DBT
NUSS
CZ
N
2
2029-07-23
Fixed
2.75000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 12/05/2024
N/A
173332500.00000000
PA
8977450.54000000
0.451774188137
Long
DBT
NUSS
MX
N
2
2024-12-05
Floating
10.00000080
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.650000% 07/28/2025
N/A
16080000.00000000
PA
3088249.29000000
0.155410637968
Long
DBT
NUSS
RO
N
2
2025-07-28
Fixed
3.65000000
N
N
N
N
N
N
Republika Srbija
254900W94OCY91V32O78
SERBIA TREASURY BONDS 4.500000% 01/11/2026
N/A
24780000.00000000
PA
210191.54000000
0.010577514397
Long
DBT
NUSS
RS
N
2
2026-01-11
Fixed
4.50000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2022-06-13
N/A
1.00000000
NC
1808.06000000
0.000090987395
N/A
DFE
CZ
N
2
J P MORGAN CHASE BANK
N/A
150496.52000000
USD
3521000.00000000
CZK
2022-06-13
1808.06000000
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
ZAMBIA GOVERNMENT BOND 13.000000% 12/18/2027
AQ3216613
8370000.00000000
PA
301746.31000000
0.015184844919
Long
DBT
NUSS
ZM
N
2
2027-12-18
Fixed
13.00000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 5.750000% 04/19/2047
48667QAP0
178000.00000000
PA
USD
150592.98000000
0.007578323152
Long
DBT
NUSS
KZ
N
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.750000% 04/19/2071
91087BAP5
1095000.00000000
PA
USD
771402.56000000
0.038819458121
Long
DBT
NUSS
MX
N
2
2071-04-19
Fixed
3.75000000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.750000% 09/16/2026
N/A
214105000.00000000
PA
212405.75000000
0.010688940566
Long
DBT
NUSS
RU
N
2
2026-09-16
Fixed
7.75000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 6.125000% 01/18/2041
195325BM6
3480000.00000000
PA
USD
3150526.41000000
0.158544622968
Long
DBT
NUSS
CO
N
2
2041-01-18
Fixed
6.12500000
N
N
N
N
N
N
Minejesa Capital B.V.
549300KS7ERCP10BKC35
MINEJESA CAPITAL BV 144A 5.625000% 08/10/2037
602736AB6
447000.00000000
PA
USD
380186.91000000
0.019132228224
Long
DBT
NUSS
ID
N
2
2037-08-10
Fixed
5.62500000
N
N
N
N
N
N
MEITUAN
21380033K525E5JLIA77
MEITUAN 3.050000% 10/28/2030
G59669AC8
238000.00000000
PA
USD
180262.37000000
0.009071382292
Long
DBT
NUSS
CN
N
2
2030-10-28
Fixed
3.05000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-19278.78000000
-0.00097017022
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
17687390.00000000
MXN
875611.76000000
USD
2022-06-15
-19278.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-07-21
N/A
1.00000000
NC
USD
-3611.03000000
-0.00018171864
N/A
DFE
US
N
2
JP MORGAN
N/A
154452.88000000
EUR
162262.02000000
USD
2022-07-21
-3611.03000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.125000% 03/26/2032
37443GAB7
240000.00000000
PA
USD
127464.00000000
0.006414398482
Long
DBT
NUSS
GH
N
2
2032-03-26
Fixed
8.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
9238000.00000000
PA
2088805.60000000
0.105115416666
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
6493593.00000000
NC
-138625.28000000
-0.00697606999
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-6493593.00000000
BRL
-138625.28000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-79546.28000000
-0.00400302467
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
2064052.25000000
USD
1851294.29000000
EUR
2022-06-15
-79546.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-06-02
N/A
1.00000000
NC
USD
-1359.56000000
-0.00006841743
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3150400.00000000
BRL
663478.16000000
USD
2022-06-02
-1359.56000000
N
N
N
Republic of Armenia
5299000H77JSW90G7935
REPUBLIC OF ARMENIA 3.600000% 02/02/2031
N/A
648000.00000000
PA
USD
472754.88000000
0.023790546230
Long
DBT
NUSS
AM
N
2
2031-02-02
Fixed
3.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-7962.49000000
-0.00040069810
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
747284.17000000
PEN
194554.59000000
USD
2022-06-15
-7962.49000000
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 3.500000% 04/21/2030
Y68856AT3
1790000.00000000
PA
USD
1723718.25000000
0.086743046870
Long
DBT
NUSS
MY
N
2
2030-04-21
Fixed
3.50000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 6.375000% 10/24/2048
48667QAS4
1495000.00000000
PA
USD
1356628.15000000
0.068269892252
Long
DBT
NUSS
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.250000% 05/10/2034
N/A
60340000.00000000
PA
59861.11000000
0.003012403605
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-43097.50000000
-0.00216880482
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
16284885000.00000000
COP
4266941.59000000
USD
2022-06-15
-43097.50000000
N
N
N
ATLANTICA TRANSMISION SUR S.A.
549300PQCSQSSZTVDH16
ABY TRANSMISION SUR SA 144A 6.875000% 04/30/2043
00289LAA3
310421.10000000
PA
USD
366296.90000000
0.018433238242
Long
DBT
NUSS
PE
N
2
2043-04-30
Fixed
6.87500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-08-15
N/A
1.00000000
NC
-13960.15000000
-0.00070251965
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
2717556.91000000
USD
42487100.00000000
ZAR
2022-08-15
-13960.15000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.650000% 06/20/2031
N/A
62000000.00000000
PA
1931686.91000000
0.097208698796
Long
DBT
NUSS
TH
N
2
2031-06-20
Fixed
3.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-4429.80000000
-0.00022292178
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1174157014.00000000
COP
306328.47000000
USD
2022-06-15
-4429.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2022-06-15
N/A
1.00000000
NC
USD
311828.94000000
0.015692235293
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
1478940000.00000000
HUF
4296933.34000000
USD
2022-06-15
311828.94000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
36321000.00000000
PA
7728095.69000000
0.388902633397
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-29969.40000000
-0.00150815660
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
120226470.00000000
THB
3484946.43000000
USD
2022-06-15
-29969.40000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 6.125000% 01/18/2041
195325BM6
524000.00000000
PA
USD
474389.61000000
0.023872811101
Long
DBT
NUSS
CO
N
2
2041-01-18
Fixed
6.12500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.1
N/A
1237291401.00000000
NC
299150.39000000
0.015054209875
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-01-11
0.00000000
HUF
0.00000000
HUF
-1237291401.00000000
HUF
299150.39000000
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2022-06-13
N/A
1.00000000
NC
-2862.37000000
-0.00014404366
N/A
DFE
PE
N
2
J P MORGAN CHASE BANK
N/A
395992.03000000
USD
1450400.00000000
PEN
2022-06-13
-2862.37000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.899000% 11/16/2027
N/A
2700000.00000000
PA
618232.71000000
0.031111458581
Long
DBT
NUSS
MY
N
2
2027-11-16
Fixed
3.89900000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 8.250000% 04/10/2032
N/A
1508000.00000000
PA
USD
621930.36000000
0.031297536223
Long
DBT
NUSS
SV
N
2
2032-04-10
Fixed
8.25000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-06-14
N/A
1.00000000
NC
-158138.90000000
-0.00795805811
N/A
DFE
HU
N
2
J P MORGAN CHASE BANK
N/A
2473936.66000000
USD
859321900.00000000
HUF
2022-06-14
-158138.90000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 10/27/2027
N/A
460560000.00000000
PA
1015464.74000000
0.051101452071
Long
DBT
NUSS
HU
N
2
2027-10-27
Fixed
3.00000000
N
N
N
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 1.125000% 03/04/2033
N/A
1336000.00000000
PA
1178497.72000000
0.059305796038
Long
DBT
NUSS
HR
N
2
2033-03-04
Fixed
1.12500000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 8.375000% 03/24/2029
N/A
379000.00000000
PA
USD
337689.00000000
0.016993596694
Long
DBT
NUSS
NG
N
2
2029-03-24
Fixed
8.37500000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND 144A 8.750000% 04/14/2032
035198AF7
1230000.00000000
PA
USD
1159668.60000000
0.058358254154
Long
DBT
NUSS
AO
N
2
2032-04-14
Fixed
8.75000000
N
N
N
N
N
N
Republique du Benin
635400Q11P6AE5A5Y230
BENIN INTL GOV BOND 4.950000% 01/22/2035
N/A
581000.00000000
PA
465619.07000000
0.023431449317
Long
DBT
NUSS
BJ
N
2
2035-01-22
Fixed
4.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-07-26
N/A
1.00000000
NC
USD
-1315.73000000
-0.00006621176
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
6496128351.00000000
IDR
444909.82000000
USD
2022-07-26
-1315.73000000
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-7939.94000000
-0.00039956332
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
685413.71000000
USD
52670000.00000000
INR
2022-06-15
-7939.94000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-07-05
N/A
1.00000000
NC
-2350.66000000
-0.00011829277
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
557764.58000000
USD
517604.00000000
EUR
2022-07-05
-2350.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2022-07-25
N/A
1.00000000
NC
USD
-58763.79000000
-0.00295718293
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
143524076.00000000
RUB
2007329.73000000
USD
2022-07-25
-58763.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-27
N/A
1.00000000
NC
USD
-13604.21000000
-0.00068460760
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
41444648.00000000
CNY
6201659.42000000
USD
2022-06-27
-13604.21000000
N
N
N
America Movil, S.A.B. de C.V.
5493000FNR3UCEAONM59
AMERICA MOVIL SAB DE CV 144A 5.375000% 04/04/2032
03217KAB4
1478000.00000000
PA
USD
1405385.86000000
0.070723537054
Long
DBT
NUSS
MX
N
2
2032-04-04
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NGN SETTLE 2023-05-17
N/A
1.00000000
NC
USD
-16499.88000000
-0.00083032703
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
409970735.37000000
NGN
838986.46000000
USD
2023-05-17
-16499.88000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
198839.09000000
0.010006222596
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
3067735.27000000
USD
13993474.44000000
PLN
2022-06-15
198839.09000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 5.103000% 04/23/2048
N/A
1310000.00000000
PA
USD
1462523.30000000
0.073598876824
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-13
N/A
1.00000000
NC
USD
11155.06000000
0.000561358500
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1872000.00000000
CNY
292160.82000000
USD
2022-06-13
11155.06000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.800000% 09/30/2027
N/A
642000.00000000
PA
USD
534978.60000000
0.026921843969
Long
DBT
NUSS
EG
N
2
2027-09-30
Fixed
5.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-09-21
N/A
1.00000000
NC
USD
12858.47000000
0.000647079571
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
22386266.93000000
TRY
1219627.73000000
USD
2022-09-21
12858.47000000
N
N
N
MC Brazil Downstream Trading S.a r.l.
213800T2A7R9TYNXZI63
MC BRAZIL DOWNSTREAM TRADING SARL 7.250000% 06/30/2031
L626A6AA2
420000.00000000
PA
USD
374325.00000000
0.018837238057
Long
DBT
NUSS
BR
N
2
2031-06-30
Fixed
7.25000000
N
N
N
N
N
N
Qatar Energy
254900QTESJKJ3P87J26
QATAR ENERGY 144A 3.125000% 07/12/2041
74730DAE3
466000.00000000
PA
USD
389692.50000000
0.019610580089
Long
DBT
NUSS
QA
N
2
2041-07-12
Fixed
3.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-06-03
N/A
1.00000000
NC
USD
-395061.02000000
-0.01988074128
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21738197.00000000
BRL
4191077.51000000
USD
2022-06-03
-395061.02000000
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.253000% 03/15/2033
N/A
864000.00000000
PA
USD
310435.20000000
0.015622097813
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25300000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
1688.76000000
0.000084983835
N/A
DFE
CO
N
2
J P MORGAN CHASE BANK
N/A
626874.78000000
USD
2374940161.00000000
COP
2022-06-15
1688.76000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.000000% 10/25/2023
N/A
4865000.00000000
PA
1002184.97000000
0.050433171329
Long
DBT
NUSS
RO
N
2
2023-10-25
Fixed
4.00000000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 05/16/2024
P7807HAT2
3316664.00000000
PA
USD
165833.20000000
0.008345260044
Long
DBT
NUSS
VE
N
2
2024-05-16
Fixed
6.00000000
Y
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
10140220.00000000
NC
-223857.44000000
-0.01126522644
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-10140220.00000000
BRL
-223857.44000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.500000% 01/31/2037
N/A
179772879.00000000
PA
9526361.98000000
0.479397177432
Long
DBT
NUSS
ZA
N
2
2037-01-31
Fixed
8.50000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD 144A 7.125000% 02/11/2025
29646AAB2
4243000.00000000
PA
USD
4040184.60000000
0.203315084773
Long
DBT
NUSS
ZA
N
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.254000% 05/31/2035
N/A
10759000.00000000
PA
2386082.29000000
0.120075335930
Long
DBT
NUSS
MY
N
2
2035-05-31
Fixed
4.25400000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 5.375000% 04/24/2032
P5015VAK2
810000.00000000
PA
USD
789126.30000000
0.039711373728
Long
DBT
NUSS
GT
N
2
2032-04-24
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-07-21
N/A
1.00000000
NC
USD
28970.76000000
0.001457901830
N/A
DFE
US
N
2
JP MORGAN
N/A
10862300.00000000
EUR
11694423.87000000
USD
2022-07-21
28970.76000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.250000% 04/22/2032
195325DZ5
635000.00000000
PA
USD
509783.44000000
0.025653942475
Long
DBT
NUSS
CO
N
2
2032-04-22
Fixed
3.25000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-33670.45000000
-0.00169440534
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
2827299.39000000
USD
40689644696.00000000
IDR
2022-06-15
-33670.45000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
802109.61000000
0.040364735649
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
9756853.18000000
USD
208696465.00000000
MXN
2022-06-15
802109.61000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 2.750000% 12/22/2026
N/A
1555570000.00000000
PA
3489204.70000000
0.175588003917
Long
DBT
NUSS
HU
N
2
2026-12-22
Fixed
2.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.000000% 12/17/2031
N/A
39000000.00000000
PA
1058582.13000000
0.053271257828
Long
DBT
NUSS
TH
N
2
2031-12-17
Fixed
2.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT 7.625000% 05/29/2032
N/A
558000.00000000
PA
USD
445685.76000000
0.022428341040
Long
DBT
NUSS
EG
N
2
2032-05-29
Fixed
7.62500000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 1.990000% 04/09/2025
N/A
85700000.00000000
PA
12726355.05000000
0.640431121847
Long
DBT
NUSS
CN
N
2
2025-04-09
Fixed
1.99000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.375000% 03/09/2020
N/A
4097000.00000000
PA
USD
389215.00000000
0.019586550753
Long
DBT
NUSS
LB
N
2
2023-12-31
Fixed
6.37500000
Y
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 7.350000% 11/25/2025
N/A
52304700.00000000
PA
2433210.85000000
0.122446996664
Long
DBT
NUSS
MX
N
2
2025-11-25
Fixed
7.35000000
N
N
N
N
N
N
America Movil, S.A.B. de C.V.
5493000FNR3UCEAONM59
AMERICA MOVIL SAB DE CV 7.125000% 12/09/2024
N/A
23310000.00000000
PA
1100996.35000000
0.055405677808
Long
DBT
NUSS
MX
N
2
2024-12-09
Fixed
7.12500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.775000% 06/25/2032
N/A
14000000.00000000
PA
439080.32000000
0.022095934052
Long
DBT
NUSS
TH
N
2
2032-06-25
Fixed
3.77500000
N
N
N
N
N
N
PRIVATE JOINT STOCK COMPANY NATIONAL POWER COMPANY UKRENERGO
8945009LCLS92V4AK321
NPC UKRENERGO 144A 6.875000% 11/09/2026
63718LAA2
614000.00000000
PA
USD
208760.00000000
0.010505474699
Long
DBT
NUSS
UA
N
2
2026-11-09
Fixed
6.87500000
N
N
N
N
N
N
MV24 CAPITAL B.V
N/A
MV24 CAPITAL BV 144A 6.748000% 06/01/2034
55388RAA4
579770.94000000
PA
USD
530426.64000000
0.026692774700
Long
DBT
NUSS
BR
N
2
2034-06-01
Fixed
6.74800000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.254000% 05/31/2035
N/A
8170000.00000000
PA
1811905.60000000
0.091180917987
Long
DBT
NUSS
MY
N
2
2035-05-31
Fixed
4.25400000
N
N
N
N
N
N
THE OIL AND GAS HOLDING COMPANY B.S.C (CLOSED)
549300OBH16L6TS6IW50
OIL AND GAS HOLDING CO BSCC/THE 144A 7.625000% 11/07/2024
67778M2C3
554000.00000000
PA
USD
575474.15000000
0.028959710304
Long
DBT
NUSS
BH
N
2
2024-11-07
Fixed
7.62500000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 6.375000% 01/18/2027
283875AS1
1014000.00000000
PA
USD
394786.76000000
0.019866939638
Long
DBT
NUSS
SV
N
2
2027-01-18
Fixed
6.37500000
N
N
N
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
EL SALVADOR GOVERNMENT INTERNATIONAL BOND 144A 5.875000% 01/30/2025
283875AR3
1221000.00000000
PA
USD
520601.69000000
0.026198351613
Long
DBT
NUSS
SV
N
2
2025-01-30
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-15
N/A
1.00000000
NC
USD
54827.74000000
0.002759108236
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
9270000.00000000
CNY
1446155.29000000
USD
2022-06-15
54827.74000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.200000% 07/06/2046
718286CP0
1110000.00000000
PA
USD
903236.37000000
0.045453759498
Long
DBT
NUSS
PH
N
2
2046-07-06
Fixed
3.20000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
34113.89000000
0.001716720675
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
1849799.46000000
USD
1757454.04000000
EUR
2022-06-15
34113.89000000
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.688000% 05/15/2029
200447AL4
957000.00000000
PA
USD
880440.00000000
0.044306572832
Long
DBT
NUSS
MX
N
2
2029-05-15
Fixed
4.68800000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-06-30
N/A
1.00000000
NC
4328.65000000
0.000217831591
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
520606.08000000
EUR
2606999.00000000
RON
2022-06-30
4328.65000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 5.000000% 03/01/2035
N/A
115000000.00000000
PA
123447.24000000
0.006212262198
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
REPUBLICA DEL PARAGUAY
529900UXKJTJPCU0HK83
REPUBLIC OF PARAGUAY 6.100000% 08/11/2044
P75744AB1
1980000.00000000
PA
USD
1888702.73000000
0.095045596595
Long
DBT
NUSS
PY
N
2
2044-08-11
Fixed
6.10000000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND 144A 7.696000% 02/23/2038
65412JAH6
852000.00000000
PA
USD
638352.48000000
0.032123950125
Long
DBT
NUSS
NG
N
2
2038-02-23
Fixed
7.69600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-15428.05000000
-0.00077638910
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1428182.70000000
PEN
371679.63000000
USD
2022-06-13
-15428.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-15
N/A
1.00000000
NC
USD
86592.70000000
0.004357623199
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
22061200.00000000
CNY
3397742.15000000
USD
2022-06-15
86592.70000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 06/15/2025
N/A
27423000000.00000000
PA
1921169.94000000
0.096679451036
Long
DBT
NUSS
ID
N
2
2025-06-15
Fixed
6.50000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.625000% 05/16/2029
N/A
1276000.00000000
PA
USD
682838.64000000
0.034362636790
Long
DBT
NUSS
GH
N
2
2029-05-16
Fixed
7.62500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
1814.65000000
0.000091319025
N/A
DFE
ID
N
2
J P MORGAN CHASE BANK
N/A
224286.83000000
USD
3293203580.00000000
IDR
2022-06-15
1814.65000000
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
REPUBLIC OF GUATEMALA 4.650000% 10/07/2041
P5015VAN6
247000.00000000
PA
USD
200372.14000000
0.010083370604
Long
DBT
NUSS
GT
N
2
2041-10-07
Fixed
4.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-07-21
N/A
1.00000000
NC
USD
-26988.94000000
-0.00135817027
N/A
DFE
US
N
2
JP MORGAN
N/A
800091.78000000
EUR
832261.23000000
USD
2022-07-21
-26988.94000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.890000% 11/18/2031
N/A
3000000.00000000
PA
452919.69000000
0.022792375667
Long
DBT
NUSS
CN
N
2
2031-11-18
Fixed
2.89000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
8568000.00000000
PA
1940300.61000000
0.097642167887
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 01/26/2026
05674RAF1
1674000.00000000
PA
USD
1771610.94000000
0.089153161083
Long
DBT
NUSS
BH
N
2
2026-01-26
Fixed
7.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.950000% 01/28/2031
P78625EA7
1757000.00000000
PA
USD
1470433.30000000
0.073996933467
Long
DBT
NUSS
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 7.01%
N/A
300000000.00000000
NC
25291.26000000
0.001272737555
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-05-17
0.00000000
INR
0.00000000
INR
-300000000.00000000
INR
25291.26000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 5.850000% 04/26/2023
N/A
2330000.00000000
PA
499009.87000000
0.025111781778
Long
DBT
NUSS
RO
N
2
2023-04-26
Fixed
5.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-09-02
N/A
1.00000000
NC
USD
-9236.43000000
-0.00046480686
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
3151871.58000000
BRL
638256.79000000
USD
2022-09-02
-9236.43000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.690000% 08/12/2026
Y6S39BF47
6000000.00000000
PA
906519.68000000
0.045618986218
Long
DBT
NUSS
CN
N
2
2026-08-12
Fixed
2.69000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-226639.47000000
-0.01140522714
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
10374143.04000000
USD
158397603.00000000
ZAR
2022-06-15
-226639.47000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-20141.09000000
-0.00101356443
N/A
DFE
TH
N
2
CITIGROUP GLOBAL MARKETS
N/A
682333.67000000
USD
22650066.30000000
THB
2022-06-15
-20141.09000000
N
N
N
EMPRESA DE TRANSMISION ELECTRICA, S.A.
254900RX1DOMC83TZ320
EMPRESA DE TRANSMISION ELECTRICA SA 144A 5.125000% 05/02/2049
29247QAA2
873000.00000000
PA
USD
776970.00000000
0.039099629610
Long
DBT
NUSS
PA
N
2
2049-05-02
Fixed
5.12500000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT 7.375000% 09/25/2032
N/A
2142000.00000000
PA
USD
769277.88000000
0.038712537389
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGLOBAL CANADA ULC MTN 5.875000% 05/18/2030
58518N2A9
250000.00000000
PA
USD
267500.00000000
0.013461460443
Long
DBT
NUSS
KW
N
2
2030-05-18
Fixed
5.87500000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.000000% 07/09/2029
040114HX1
1626622.00000000
PA
USD
480192.40000000
0.024164826160
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
BANCO MERCANTIL DEL NORTE S.A.
N/A
BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN 144A 6.750000% MATURITY: PERPETUAL
05971PAA6
1569000.00000000
PA
USD
1498865.70000000
0.075427743291
Long
DBT
NUSS
MX
N
2
2170-09-27
Fixed
6.75000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.000000% 10/13/2033
N/A
61020000.00000000
PA
2017858.54000000
0.101545132398
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-06-30
N/A
1.00000000
NC
USD
-13012.28000000
-0.00065481978
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22031900193.00000000
IDR
1501526.63000000
USD
2022-06-30
-13012.28000000
N
N
N
Independent State of Papua New Guinea
254900NKI6OC90ZW9W36
PNG GOVT INTL BOND 8.375000% 10/04/2028
Y6726SAP6
400000.00000000
PA
USD
345712.00000000
0.017397339860
Long
DBT
NUSS
PG
N
2
2028-10-04
Fixed
8.37500000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
2066.08000000
0.000103971791
N/A
DFE
CO
N
2
GOLDMAN, SACHS & CO.
N/A
1381988.95000000
USD
5229460000.00000000
COP
2022-06-15
2066.08000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
106393.56000000
0.005354066165
N/A
DFE
CO
N
2
GOLDMAN, SACHS & CO.
N/A
1283549.94000000
USD
5251708761.00000000
COP
2022-06-15
106393.56000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.250000% 10/25/2030
N/A
5030000.00000000
PA
779021.60000000
0.039202872721
Long
DBT
NUSS
PL
N
2
2030-10-25
Fixed
1.25000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2036
N/A
34828000000.00000000
PA
2514085.23000000
0.126516855607
Long
DBT
NUSS
ID
N
2
2036-05-15
Fixed
8.25000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.750000% 03/11/2061
37443GAJ0
1817000.00000000
PA
USD
917585.00000000
0.046175828713
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-290225.71000000
-0.01460509127
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
10109342.40000000
USD
9160000.00000000
EUR
2022-06-15
-290225.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-60996.58000000
-0.00306954410
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
17644751.40000000
MXN
831736.67000000
USD
2022-06-15
-60996.58000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-08-16
N/A
1.00000000
NC
6195.68000000
0.000311786546
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
1849516.21000000
USD
8016900.00000000
PLN
2022-08-16
6195.68000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT BOND 19.250000% 12/18/2023
BN1508850
5730000.00000000
PA
675394.15000000
0.033988006108
Long
DBT
NUSS
GH
N
2
2023-12-18
Fixed
19.25000000
N
N
N
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
ISLAMIC REP OF PAKISTAN 6.875000% 12/05/2027
N/A
1455000.00000000
PA
USD
1082307.57000000
0.054465198284
Long
DBT
NUSS
PK
N
2
2027-12-05
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2022-06-15
N/A
1.00000000
NC
USD
53280.20000000
0.002681231045
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
8758025376.00000000
UGX
2368954.66000000
USD
2022-06-15
53280.20000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.700000% 03/23/2033
N/A
115299000.00000000
PA
114383.93000000
0.005756167286
Long
DBT
NUSS
RU
N
2
2033-03-23
Fixed
7.70000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
17207.05000000
0.000865914104
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
936232.01000000
USD
889438.64000000
EUR
2022-06-15
17207.05000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/HUF SETTLE 2022-07-06
N/A
1.00000000
NC
64945.03000000
0.003268242812
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
653751579.00000000
HUF
1697685.51000000
EUR
2022-07-06
64945.03000000
N
N
N
GAZ FINANCE PLC
213800UNP9N6BPNYMQ45
GAZPROM PJSC VIA GAZ FINANCE PLC 144A 4.598500% MATURITY: PERPETUAL
N/A
1233000.00000000
PA
USD
191115.00000000
0.009617521542
Long
DBT
NUSS
RU
N
2
2171-01-26
Fixed
4.59850000
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.200000% 03/13/2031
N/A
38160000.00000000
PA
1244516.00000000
0.062628048243
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
1.20000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-07-21
N/A
1.00000000
NC
-16303.50000000
-0.00082044456
N/A
DFE
JP
N
2
JPM CHASE
N/A
2430936.01000000
USD
309932600.00000000
JPY
2022-07-21
-16303.50000000
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 14.250000% 06/22/2034
V3843WBS8
1163100000.00000000
PA
303418.47000000
0.015268993389
Long
DBT
NUSS
UG
N
2
2034-06-22
Fixed
14.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-06-02
N/A
1.00000000
NC
USD
-8518.58000000
-0.00042868234
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2294685.00000000
BRL
475735.21000000
USD
2022-06-02
-8518.58000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.000000% 06/15/2045
195325CU7
3320000.00000000
PA
USD
2573926.28000000
0.129528249728
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
319371.30000000
0.016071791109
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
38888383.53000000
EGP
2400784.26000000
USD
2022-06-15
319371.30000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
1015.98000000
0.000051127381
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
812927.21000000
USD
12705258.00000000
ZAR
2022-06-15
1015.98000000
N
N
N
CNAC (HK) FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE CO LTD 4.125000% 07/19/2027
N/A
575000.00000000
PA
USD
562604.37000000
0.028312061577
Long
DBT
NUSS
CN
N
2
2027-07-19
Fixed
4.12500000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.688000% 05/15/2029
200447AL4
1886000.00000000
PA
USD
1735120.00000000
0.087316819605
Long
DBT
NUSS
MX
N
2
2029-05-15
Fixed
4.68800000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 4.500000% 03/01/2026
N/A
595000000.00000000
PA
688901.71000000
0.034667749975
Long
DBT
NUSS
CL
N
2
2026-03-01
Fixed
4.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 6.500000% 01/23/2029
71654QCM2
1111000.00000000
PA
USD
1007954.75000000
0.050723525218
Long
DBT
NUSS
MX
N
2
2029-01-23
Fixed
6.50000000
N
N
N
N
N
N
UZAUTO MOTORS Joint Stock Company
25490082QA3E2MKBZI88
UZAUTO MOTORS AJ 144A 4.850000% 05/04/2026
46653NAA0
1269000.00000000
PA
USD
1065960.00000000
0.053642535978
Long
DBT
NUSS
UZ
N
2
2026-05-04
Fixed
4.85000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.125000% 02/17/2028
900123CP3
2826000.00000000
PA
USD
2348349.48000000
0.118176499560
Long
DBT
NUSS
TR
N
2
2028-02-17
Fixed
5.12500000
N
N
N
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.875000% 05/24/2026
48344FAA8
398000.00000000
PA
USD
388734.56000000
0.019562373467
Long
DBT
NUSS
PE
N
2
2026-05-24
Fixed
4.87500000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-06-14
N/A
1.00000000
NC
-74332.34000000
-0.00374064244
N/A
DFE
HU
N
2
J P MORGAN CHASE BANK
N/A
1101118.72000000
USD
381009100.00000000
HUF
2022-06-14
-74332.34000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 5.875000% 04/20/2032
836205BC7
2853000.00000000
PA
USD
2707497.00000000
0.136249958004
Long
DBT
NUSS
ZA
N
2
2032-04-20
Fixed
5.87500000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 5.000000% 01/27/2045
105756BW9
1330000.00000000
PA
USD
1062844.04000000
0.053485730848
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-10
N/A
1.00000000
NC
-13782.75000000
-0.00069359231
N/A
DFE
TH
N
2
MORGAN STANLEY & CO, INC
N/A
625142.98000000
USD
20914971.00000000
THB
2022-06-10
-13782.75000000
N
N
N
NWD (MTN) LIMITED
254900STSWBVJ5FV9O74
NWD MTN LTD 4.125000% 07/18/2029
N/A
1026000.00000000
PA
USD
926642.16000000
0.046631614138
Long
DBT
NUSS
HK
N
2
2029-07-18
Fixed
4.12500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
7036000000.00000000
PA
512203.13000000
0.025775709059
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.500000% 03/08/2047
682051AF4
1656000.00000000
PA
USD
1508996.88000000
0.075937576857
Long
DBT
NUSS
OM
N
2
2047-03-08
Fixed
6.50000000
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 05/22/2040
N/A
10600000.00000000
PA
2153641.62000000
0.108378173745
Long
DBT
NUSS
MY
N
2
2040-05-22
Fixed
3.75700000
N
N
N
N
N
N
DERZHAVNE AHENTSTVO AVTOMOBIL'NYKH DORIH UKRAINY
254900FGEO8P5USHG994
STATE AGENCY OF ROADS OF UKRAINE 6.250000% 06/24/2028
N/A
2299000.00000000
PA
USD
756371.00000000
0.038063021671
Long
DBT
NUSS
UA
N
2
2028-06-24
Fixed
6.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-11564.62000000
-0.00058196887
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
10050000.00000000
MXN
496913.45000000
USD
2022-06-15
-11564.62000000
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 2.480000% 01/28/2032
Y6886MAE0
2221000.00000000
PA
USD
1940915.38000000
0.097673105091
Long
DBT
NUSS
MY
N
2
2032-01-28
Fixed
2.48000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
NOTA DO TESOURO NACIONAL 10.000000% 01/01/2027
N/A
36841000.00000000
PA
7151939.15000000
0.359908583033
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
25331000000.00000000
PA
1905062.67000000
0.095868881399
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-13
N/A
1.00000000
NC
USD
4787.81000000
0.000240937999
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
765000.00000000
CNY
119621.90000000
USD
2022-06-13
4787.81000000
N
N
N
CHINA MINMETALS CORPORATION
3003002ULBI4T3DT7Z09
CHINA MINMETALS CORP 3.750000% MATURITY: PERPETUAL
N/A
2559000.00000000
PA
USD
2567083.78000000
0.129183913119
Long
DBT
NUSS
CN
N
2
2171-05-13
Fixed
3.75000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.400000% 05/26/2023
N/A
2645000.00000000
PA
USD
238579.00000000
0.012006062695
Long
DBT
NUSS
LB
N
2
2023-05-26
Fixed
6.40000000
Y
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2022-06-15
N/A
1.00000000
NC
3058.57000000
0.000153917080
N/A
DFE
CZ
N
2
BARCLAYS CAPITAL INC.
N/A
2451477.64000000
USD
56759061.81000000
CZK
2022-06-15
3058.57000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 7.690000% 01/23/2050
71654QCW0
2359000.00000000
PA
USD
1833886.60000000
0.092287072611
Long
DBT
NUSS
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.010000% 05/13/2028
N/A
11870000.00000000
PA
1812151.54000000
0.091193294479
Long
DBT
NUSS
CN
N
2
2028-05-13
Fixed
3.01000000
N
N
N
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 5.710000% 11/15/2023
74445PAB8
866000.00000000
PA
USD
888949.00000000
0.044734773083
Long
DBT
NUSS
ID
N
2
2023-11-15
Fixed
5.71000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.125000% 06/15/2042
N/A
6817000000.00000000
PA
455651.07000000
0.022929827494
Long
DBT
NUSS
ID
N
2
2042-06-15
Fixed
7.12500000
N
N
N
N
N
N
TSMC ARIZONA CORPORATION
2549005GOBWLCSY63Q97
TSMC ARIZONA CORP 4.250000% 04/22/2032
872898AH4
631000.00000000
PA
USD
631933.84000000
0.031800943514
Long
DBT
CORP
TW
N
2
2032-04-22
Fixed
4.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.250000% 04/22/2032
195325DZ5
1946000.00000000
PA
USD
1562265.46000000
0.078618223147
Long
DBT
NUSS
CO
N
2
2032-04-22
Fixed
3.25000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.875000% 02/28/2035
N/A
155028710.00000000
PA
8701603.44000000
0.437892674772
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 1.500000% 11/17/2050
N/A
800000.00000000
PA
519267.69000000
0.026131220442
Long
DBT
NUSS
HU
N
2
2050-11-17
Fixed
1.50000000
N
N
N
N
N
N
Petroleos de Venezuela, S.A.
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA 6.000000% 11/15/2026
P7807HAR6
6273945.00000000
PA
USD
329382.11000000
0.016575567269
Long
DBT
NUSS
VE
N
2
2026-11-15
Fixed
6.00000000
Y
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-02
N/A
1.00000000
NC
32034.93000000
0.001612100721
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
1930570.06000000
USD
9300000.00000000
BRL
2022-06-02
32034.93000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.921000% 07/06/2048
N/A
3873000.00000000
PA
891312.48000000
0.044853710998
Long
DBT
NUSS
MY
N
2
2048-07-06
Fixed
4.92100000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
527074.80000000
0.026524099330
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
10484207.64000000
USD
47170547.01000000
PLN
2022-06-15
527074.80000000
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 28-DAY MXN - TIIE
N/A
47000000.00000000
NC
-207260.15000000
-0.01042999742
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2026-06-18
0.00000000
MXN
0.00000000
MXN
-47000000.00000000
MXN
-207260.15000000
N
N
N
Republique du Benin
635400Q11P6AE5A5Y230
BENIN INTL GOV BOND 4.875000% 01/19/2032
N/A
156000.00000000
PA
133391.04000000
0.006712666199
Long
DBT
NUSS
BJ
N
2
2032-01-19
Fixed
4.87500000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2022-07-06
N/A
1.00000000
NC
-41199.96000000
-0.00207331451
N/A
DFE
HU
N
2
J P MORGAN CHASE BANK
N/A
1406613.15000000
EUR
546356680.00000000
HUF
2022-07-06
-41199.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-21295.48000000
-0.00107165705
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
5784292.66000000
PEN
1546271.56000000
USD
2022-06-15
-21295.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-220644.21000000
-0.01110352637
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
60851221.00000000
MXN
2858113.15000000
USD
2022-06-15
-220644.21000000
N
N
N
EGYPTIAN POUND
N/A
FX Forward Contract: EGP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-4852.56000000
-0.00024419642
N/A
DFE
EG
N
2
CITIGROUP GLOBAL MARKETS
N/A
1231067.17000000
USD
22910160.00000000
EGP
2022-06-15
-4852.56000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 3.750000% 06/14/2028
N/A
372000.00000000
PA
409225.90000000
0.020593563608
Long
DBT
NUSS
ID
N
2
2028-06-14
Fixed
3.75000000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 6.150000% 05/21/2048
71568PAF6
1015000.00000000
PA
USD
1005875.15000000
0.050618873056
Long
DBT
NUSS
ID
N
2
2048-05-21
Fixed
6.15000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 12.23
N/A
2222413.00000000
NC
-4648.96000000
-0.00023395062
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-01-04
0.00000000
BRL
0.00000000
BRL
-2222413.00000000
BRL
-4648.96000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 7.903000% 02/21/2048
03846JW55
96000.00000000
PA
USD
67620.67000000
0.003402889623
Long
DBT
NUSS
EG
N
2
2048-02-21
Fixed
7.90300000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD 7.000000% 07/09/2025
N/A
232000.00000000
PA
USD
38280.00000000
0.001926372731
Long
DBT
NUSS
CN
N
2
2025-07-09
Fixed
7.00000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
27180000.00000000
PA
773415.49000000
0.038920755233
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
3.30000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
21000000.00000000
NC
-18592.97000000
-0.00093565805
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-12-28
0.00000000
MXN
0.00000000
MXN
-21000000.00000000
MXN
-18592.97000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-09-21
N/A
1.00000000
NC
5628.48000000
0.000283243218
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
242594.01000000
EUR
1254527.15000000
RON
2022-09-21
5628.48000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
757.10000000
0.000038099707
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
1467498.67000000
EUR
36393967.00000000
CZK
2022-06-15
757.10000000
N
N
N
Islamic Republic of Pakistan
529900LOP29R5WKHOD86
PAKISTAN GOVERNMENT INTERNATIONAL BOND 144A 8.250000% 09/30/2025
695847AR4
335000.00000000
PA
USD
255437.50000000
0.012854436643
Long
DBT
NUSS
PK
N
2
2025-09-30
Fixed
8.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-06-03
N/A
1.00000000
NC
USD
-310.00000000
-0.00001560019
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
262452.00000000
EUR
280855.66000000
USD
2022-06-03
-310.00000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 6.95% 08/12/2031
715638BE1
724000.00000000
PA
188676.30000000
0.009494798314
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-31612.53000000
-0.00159084419
N/A
DFE
TH
N
2
CITIGROUP GLOBAL MARKETS
N/A
1159129.63000000
USD
38566329.09000000
THB
2022-06-15
-31612.53000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.000000% 06/17/2042
N/A
27000000.00000000
PA
610390.24000000
0.030716800264
Long
DBT
NUSS
TH
N
2
2042-06-17
Fixed
2.00000000
N
N
N
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2022-06-03
N/A
1.00000000
NC
17593.90000000
0.000885381640
N/A
DFE
IL
N
2
DEUTSCHE BANK SECURITIES, INC.
N/A
1605191.34000000
USD
5403493.00000000
ILS
2022-06-03
17593.90000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.750000% 03/11/2061
N/A
1039000.00000000
PA
USD
524695.00000000
0.026404340139
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
Republica de Guatemala
529900QKDFFU9UWW5315
GUATEMALA GOVERNMENT BOND 144A 4.650000% 10/07/2041
401494AU3
495000.00000000
PA
USD
401555.49000000
0.020207563904
Long
DBT
NUSS
GT
N
2
2041-10-07
Fixed
4.65000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 4.125000% 10/11/2047
29135LAB6
863000.00000000
PA
USD
845988.54000000
0.042572864548
Long
DBT
NUSS
AE
N
2
2047-10-11
Fixed
4.12500000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 1.875000% 11/05/2031
N/A
1143000.00000000
PA
993263.56000000
0.049984217281
Long
DBT
NUSS
ID
N
2
2031-11-05
Fixed
1.87500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.125000% 01/15/2045
Y20721BM0
280000.00000000
PA
USD
282417.54000000
0.014212159040
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
ATP TOWER HOLDINGS, LLC
254900CIKL1FQZ45N873
ATP TOWER HOLDINGS LLC / ANDEAN TOWER PARTNERS COL 4.050000% 04/27/2026
00216DAA9
381000.00000000
PA
USD
327663.81000000
0.016489096886
Long
DBT
NUSS
CL
N
2
2026-04-27
Fixed
4.05000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA INVESTMNT ISSUE 4.070000% 09/30/2026
N/A
14000000.00000000
PA
3236186.19000000
0.162855298632
Long
DBT
NUSS
MY
N
2
2026-09-30
Fixed
4.07000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-13
N/A
1.00000000
NC
USD
3630.87000000
0.000182717057
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
136619048.00000000
CLP
169288.30000000
USD
2022-06-13
3630.87000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 8.625000% 04/07/2034
N/A
4290000.00000000
PA
USD
2236291.20000000
0.112537366462
Long
DBT
NUSS
GH
N
2
2034-04-07
Fixed
8.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-15
N/A
1.00000000
NC
USD
8066.66000000
0.000405940278
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
148228882.38000000
THB
4341655.14000000
USD
2022-06-15
8066.66000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
17384.96000000
0.000874867107
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
691157.26000000
USD
11060000.00000000
ZAR
2022-06-15
17384.96000000
N
N
N
CT Trust
5493003LN2KNNGM2Q244
CT TRUST 144A 5.125000% 02/03/2032
12659BAA2
824000.00000000
PA
USD
736820.80000000
0.037079192721
Long
DBT
NUSS
GT
N
2
2032-02-03
Fixed
5.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2022-07-18
N/A
1.00000000
NC
USD
8630.76000000
0.000434327604
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
57711000.00000000
HUF
163479.70000000
USD
2022-07-18
8630.76000000
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6.000000% 02/22/2033
P3579ECN5
1209000.00000000
PA
USD
1118039.56000000
0.056263346957
Long
DBT
NUSS
DO
N
2
2033-02-22
Fixed
6.00000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT INTERNATIONAL BOND 144A 2.125000% 09/22/2031
445545AM8
1519000.00000000
PA
USD
1223706.40000000
0.061580842235
Long
DBT
NUSS
HU
N
2
2031-09-22
Fixed
2.12500000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 3.700000% 01/30/2050
21987BBA5
669000.00000000
PA
USD
539688.99000000
0.027158885946
Long
DBT
NUSS
CL
N
2
2050-01-30
Fixed
3.70000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 10.750000% 10/14/2030
N/A
3743000.00000000
PA
USD
3402387.00000000
0.171219057994
Long
DBT
NUSS
GH
N
2
2030-10-14
Fixed
10.75000000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 8.450000% 08/10/2028
29646AAD8
1612000.00000000
PA
USD
1539460.00000000
0.077470579043
Long
DBT
NUSS
ZA
N
2
2028-08-10
Fixed
8.45000000
N
N
N
N
N
N
Republika Hrvatska
74780000O00QGQ7CER13
CROATIA 1.500000% 06/17/2031
N/A
700000.00000000
PA
661976.88000000
0.033312805923
Long
DBT
NUSS
HR
N
2
2031-06-17
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-13
N/A
1.00000000
NC
USD
53566.25000000
0.002695626001
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7580900.00000000
CNY
1191534.51000000
USD
2022-06-13
53566.25000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.01 %
N/A
211564590.00000000
NC
-449881.76000000
-0.02263949725
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-11-22
0.00000000
MXN
0.00000000
MXN
-211564590.00000000
MXN
-449881.76000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 03/26/2031
N/A
1757100000.00000000
PA
371160.51000000
0.018677990742
Long
DBT
NUSS
CO
N
2
2031-03-26
Fixed
7.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT INTERNATIONAL BOND 144A 1.250000% 10/26/2026
60367QAB9
2160000.00000000
PA
USD
2021945.03000000
0.101750777719
Long
DBT
NUSS
CN
N
2
2026-10-26
Fixed
1.25000000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT
529900LIZJABE4JJS826
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT 4.700000% 10/22/2031
N/A
430000.00000000
PA
USD
394877.60000000
0.019871510999
Long
DBT
NUSS
XX
N
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
BRK: J.P. MORGAN CHASE
N/A
BRK: J.P. MORGAN CHASE PAY: 2.48%
N/A
37000000.00000000
NC
65032.09000000
0.003272623951
N/A
DIR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2023-10-27
0.00000000
MYR
0.00000000
MYR
-37000000.00000000
MYR
65032.09000000
N
N
N
Bank of Israel
M8LYVLF5DOB9X0LZOW72
ISRAEL MAKAM BILL ZERO COUPON 08/03/2022
N/A
3842356.00000000
PA
1153531.82000000
0.058049431645
Long
DBT
NUSS
IL
N
2
2022-08-03
Fixed
0.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
60441.70000000
0.003041620761
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
4406053.56000000
USD
4166677.91000000
EUR
2022-06-15
60441.70000000
N
N
N
POWER FINANCE CORPORATION LIMITED
3358003Q6D9LIJJZ1614
POWER FINANCE CORP LTD MTN 3.950000% 04/23/2030
73928QAB4
786000.00000000
PA
USD
707666.94000000
0.035612076709
Long
DBT
NUSS
IN
N
2
2030-04-23
Fixed
3.95000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.875000% 05/07/2042
37443GAN1
1486000.00000000
PA
USD
761726.57000000
0.038332531180
Long
DBT
NUSS
GH
N
2
2042-05-07
Fixed
8.87500000
N
N
N
N
N
N
Minejesa Capital B.V.
549300KS7ERCP10BKC35
MINEJESA CAPITAL BV 144A 4.625000% 08/10/2030
602736AA8
582000.00000000
PA
USD
543442.50000000
0.027347774643
Long
DBT
NUSS
ID
N
2
2030-08-10
Fixed
4.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-07-18
N/A
1.00000000
NC
USD
10564.69000000
0.000531649183
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2725000.00000000
ZAR
184471.49000000
USD
2022-07-18
10564.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-934.17000000
-0.00004701043
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
250000.00000000
MXN
11714.54000000
USD
2022-06-15
-934.17000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-07-05
N/A
1.00000000
NC
-1272.89000000
-0.00006405591
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
514614.74000000
USD
478396.00000000
EUR
2022-07-05
-1272.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-15
N/A
1.00000000
NC
USD
2115.56000000
0.000106461784
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
26077437.09000000
THB
764510.03000000
USD
2022-06-15
2115.56000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-12526.78000000
-0.00063038786
N/A
DFE
TH
N
2
CITIGROUP GLOBAL MARKETS
N/A
383954.40000000
USD
12704552.04000000
THB
2022-06-15
-12526.78000000
N
N
N
Republique Gabonaise
N/A
GABON GOVERNMENT INTERNATIONAL BOND 144A 6.375000% 12/12/2024
362420AB7
699000.00000000
PA
USD
685746.96000000
0.034508992808
Long
DBT
NUSS
GA
N
2
2024-12-12
Fixed
6.37500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-03
N/A
1.00000000
NC
129560.67000000
0.006519909660
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
6925531.97000000
USD
6585524.00000000
EUR
2022-06-03
129560.67000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 7.500000% 09/15/2033
N/A
52500000.00000000
PA
2507265.92000000
0.126173685993
Long
DBT
NUSS
ZA
N
2
2033-09-15
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-65869.65000000
-0.00331477266
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
19070000.00000000
MXN
898973.82000000
USD
2022-06-15
-65869.65000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
TURKEY GOVERNMENT BOND 1.5% 06/18/2025
N/A
20575000.00000000
PA
3634683.04000000
0.182908941933
Long
DBT
USGA
TR
N
2
2025-06-18
Fixed
1.50000000
N
N
N
N
N
N
NAUTILUS INKIA HOLDINGS LLC
N/A
INKIA ENERGY LTD 144A 5.875000% 11/09/2027
45721RAC7
487000.00000000
PA
USD
451088.62000000
0.022700230334
Long
DBT
NUSS
PE
N
2
2027-11-09
Fixed
5.87500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 4.125000% 03/11/2039
N/A
546000.00000000
PA
481087.60000000
0.024209875503
Long
DBT
NUSS
RO
N
2
2039-03-11
Fixed
4.12500000
N
N
N
N
N
N
Sagicor Financial Corporation Limited
213800UV8KH689JE3785
SAGICOR FINANCIAL CO LTD 144A 5.300000% 05/13/2028
78669QAA8
712000.00000000
PA
USD
682808.00000000
0.034361094887
Long
DBT
NUSS
US
N
2
2028-05-13
Fixed
5.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-113.96000000
-0.00000573483
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
63368.15000000
MXN
3092.14000000
USD
2022-06-15
-113.96000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-27000.13000000
-0.00135873339
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
657384.89000000
USD
9840000.00000000
ZAR
2022-06-15
-27000.13000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 2.250000% 02/02/2033
80413TAV1
2132000.00000000
PA
USD
1865657.77000000
0.093885900081
Long
DBT
NUSS
SA
N
2
2033-02-02
Fixed
2.25000000
N
N
N
N
N
N
0000005
N/A
FX Forward Contract: VND/USD SETTLE 2022-08-08
N/A
1.00000000
NC
7210.47000000
0.000362854043
N/A
DFE
VN
N
2
GOLDMAN, SACHS & CO.
N/A
1429147.23000000
USD
33364871150.00000000
VND
2022-08-08
7210.47000000
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 6.375000% 10/24/2048
Y44709AG1
350000.00000000
PA
USD
317605.25000000
0.015982917792
Long
DBT
NUSS
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-35350.28000000
-0.00177893979
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
21408857.15000000
CZK
890472.19000000
USD
2022-06-15
-35350.28000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.950000% 01/15/2031
900123DA5
2328000.00000000
PA
USD
1879860.00000000
0.094600601978
Long
DBT
NUSS
TR
N
2
2031-01-15
Fixed
5.95000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
BAHRAIN GOVERNMENT INTERNATIONAL BOND MTN 6.250000% 01/25/2051
N/A
347000.00000000
PA
USD
289745.00000000
0.014580900396
Long
DBT
NUSS
BH
N
2
2051-01-25
Fixed
6.25000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 1.950000% 01/06/2032
718286CN5
7171000.00000000
PA
USD
6078707.90000000
0.305900134365
Long
DBT
NUSS
PH
N
2
2032-01-06
Fixed
1.95000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.935000% 09/30/2043
N/A
1200000.00000000
PA
279910.53000000
0.014085998232
Long
DBT
NUSS
MY
N
2
2043-09-30
Fixed
4.93500000
N
N
N
N
N
N
Republic of Uganda
549300NF1DEFHG8XLQ11
UGANDA GOVERNMENT BOND 14.250000% 06/22/2034
V3843WBS8
5200000000.00000000
PA
1356526.56000000
0.068264779917
Long
DBT
NUSS
UG
N
2
2034-06-22
Fixed
14.25000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-63678.27000000
-0.00320449537
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
2271183.97000000
USD
34458092.00000000
ZAR
2022-06-15
-63678.27000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 144 2.800000% 10/01/2033
N/A
265000000.00000000
PA
232740.25000000
0.011712238014
Long
DBT
NUSS
CL
N
2
2033-10-01
Fixed
2.80000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-42621.99000000
-0.00214487563
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
1311404.49000000
USD
1183614.38000000
EUR
2022-06-15
-42621.99000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 12/17/2029
N/A
15000000.00000000
PA
405855.69000000
0.020423963800
Long
DBT
NUSS
TH
N
2
2029-12-17
Fixed
1.60000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-03
N/A
1.00000000
NC
160479.78000000
0.008075858730
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
4335543.92000000
USD
88648008.00000000
MXN
2022-06-03
160479.78000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.844000% 06/20/2030
715638DA7
255000.00000000
PA
USD
229564.73000000
0.011552435634
Long
DBT
NUSS
PE
N
2
2030-06-20
Fixed
2.84400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
6656.43000000
0.000334972968
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
1989900.50000000
PLN
471169.94000000
USD
2022-06-15
6656.43000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
PERUVIAN GOVERNMENT INTERNATIONAL BOND 144A 5.700000% 08/12/2024
715638BT8
6317000.00000000
PA
1705264.91000000
0.085814415444
Long
DBT
NUSS
PE
N
2
2024-08-12
Fixed
5.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2022-06-15
N/A
1.00000000
NC
USD
72737.00000000
0.003660359806
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
120570000.00000000
CZK
5286766.64000000
USD
2022-06-15
72737.00000000
N
N
N
The Commonwealth of The Bahamas
549300W13SXC7EKNJC20
COMMONWEALTH OF BAHAMAS 6.000000% 11/21/2028
P06518AG2
980000.00000000
PA
USD
743421.29000000
0.037411350609
Long
DBT
NUSS
BS
N
2
2028-11-21
Fixed
6.00000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
197187.19000000
0.009923093675
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
3209874.43000000
USD
14595299.05000000
PLN
2022-06-15
197187.19000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-02
N/A
1.00000000
NC
9669.10000000
0.000486580213
N/A
DFE
BR
N
2
STANDARD BANK
N/A
655479.17000000
USD
3151871.58000000
BRL
2022-06-02
9669.10000000
N
N
N
Republique du Senegal
549300NP14ZLQGWIUZ97
REPUBLIC OF SENEGAL 6.750000% 03/13/2048
N/A
1500000.00000000
PA
USD
1156830.00000000
0.058215406671
Long
DBT
NUSS
SN
N
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 06/15/2035
N/A
11500000000.00000000
PA
790645.94000000
0.039787846901
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-13
N/A
1.00000000
NC
5199.04000000
0.000261632416
N/A
DFE
BR
N
2
J P MORGAN CHASE BANK
N/A
59170.45000000
USD
306000.00000000
BRL
2022-06-13
5199.04000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH HUF - BUBOR
N/A
539012774.00000000
NC
-366699.89000000
-0.01845351799
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2031-10-04
0.00000000
HUF
0.00000000
HUF
-539012774.00000000
HUF
-366699.89000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 8.125000% 04/28/2034
698299AT1
699000.00000000
PA
USD
951520.74000000
0.047883584308
Long
DBT
NUSS
PA
N
2
2034-04-28
Fixed
8.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-23
N/A
1.00000000
NC
USD
17816.20000000
0.000896568491
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
23529747.00000000
THB
705916.83000000
USD
2022-06-23
17816.20000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6.9225%
N/A
58394262.00000000
NC
253054.37000000
0.012734509875
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2029-08-31
0.00000000
MXN
0.00000000
MXN
-58394262.00000000
MXN
253054.37000000
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 7.850000% 03/14/2029
Y8137FAP3
2519000.00000000
PA
USD
969975.56000000
0.048812290213
Long
DBT
NUSS
LK
N
2
2029-03-14
Fixed
7.85000000
Y
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-457522.02000000
-0.02302397971
N/A
DFE
TH
N
2
CITIGROUP GLOBAL MARKETS
N/A
13865560.01000000
USD
458617263.00000000
THB
2022-06-15
-457522.02000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND 144A 7.625000% 05/29/2032
03846JX54
2905000.00000000
PA
USD
2320281.60000000
0.116764033554
Long
DBT
NUSS
EG
N
2
2032-05-29
Fixed
7.62500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-1176.54000000
-0.00005920727
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
498394.26000000
USD
2130000.00000000
PLN
2022-06-15
-1176.54000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 1.648000% 06/10/2031
718286CK1
2599000.00000000
PA
USD
2165908.59000000
0.108995487133
Long
DBT
NUSS
PH
N
2
2031-06-10
Fixed
1.64800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-2144.00000000
-0.00010789297
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
106985234.00000000
CLP
127534.94000000
USD
2022-06-15
-2144.00000000
N
N
N
ESKOM HOLDINGS SOC LIMITED
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD MTN 6.750000% 08/06/2023
N/A
1456000.00000000
PA
USD
1428976.64000000
0.071910700986
Long
DBT
NUSS
ZA
N
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
N
ABU DHABI CRUDE OIL PIPELINE L.L.C.
549300DONDFW2383FV66
ABU DHABI CRUDE OIL PIPELINE LLC 144A 3.650000% 11/02/2029
00401MAA4
923000.00000000
PA
USD
903388.10000000
0.045461395039
Long
DBT
NUSS
AE
N
2
2029-11-02
Fixed
3.65000000
N
N
N
N
N
N
CONVERSION ADJUSTMENT
N/A
CONVERSION ADJUSTMENT
N/A
1.00000000
NS
USD
0.00000000
0.000000
Long
EC
US
N
2
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.200000% 05/15/2049
195325DQ5
3847000.00000000
PA
USD
3036904.36000000
0.152826795934
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 3.348000% 02/09/2031
200447AH3
605000.00000000
PA
USD
485216.05000000
0.024417632387
Long
DBT
NUSS
MX
N
2
2031-02-09
Fixed
3.34800000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.750000% 04/27/2032
91087BAK6
152000.00000000
PA
USD
152788.23000000
0.007688795193
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
139290.71000000
0.007009556571
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
16453243.52000000
EGP
1019913.43000000
USD
2022-06-15
139290.71000000
N
N
N
DIANJIAN HAIYU LIMITED
30030053J86AJARAGD28
DIANJIAN HAIYU LTD MTN 4.300000% MATURITY: PERPETUAL
N/A
205000.00000000
PA
USD
206505.07000000
0.010391999368
Long
DBT
NUSS
CN
N
2
2170-12-20
Fixed
4.30000000
N
N
N
N
N
N
TENGIZCHEVROIL FINANCE COMPANY INTERNATIONAL LTD.
5493001VEV2XTJIBZH31
TENGIZCHEVROIL FINANCE CO INTERNATIONAL LTD 144A 3.250000% 08/15/2030
88034QAC1
630000.00000000
PA
USD
504308.70000000
0.025378435948
Long
DBT
NUSS
KZ
N
2
2030-08-15
Fixed
3.25000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2022-06-15
N/A
1.00000000
NC
36162.90000000
0.001819833449
N/A
DFE
CZ
N
2
BARCLAYS CAPITAL INC.
N/A
3387620.64000000
USD
79172082.00000000
CZK
2022-06-15
36162.90000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.181000% 07/15/2024
N/A
25873000.00000000
PA
6012185.86000000
0.302552531337
Long
DBT
NUSS
MY
N
2
2024-07-15
Fixed
4.18100000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
38174.32000000
0.001921054574
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1379270.38000000
EUR
6497260.00000000
PLN
2022-06-15
38174.32000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.585000% 12/17/2035
N/A
72557000.00000000
PA
1748329.63000000
0.087981570677
Long
DBT
NUSS
TH
N
2
2035-12-17
Fixed
1.58500000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.750000% 04/18/2028
Y8137FAL2
3386000.00000000
PA
USD
1303836.62000000
0.065613252653
Long
DBT
NUSS
LK
N
2
2028-04-18
Fixed
6.75000000
Y
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.750000% 04/25/2032
N/A
4410000.00000000
PA
676089.66000000
0.034023006408
Long
DBT
NUSS
PL
N
2
2032-04-25
Fixed
1.75000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.530000% 10/18/2051
Y6S39BG95
1000000.00000000
PA
156254.93000000
0.007863250688
Long
DBT
NUSS
CN
N
2
2051-10-18
Fixed
3.53000000
N
N
N
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 4.000000% 12/15/2050
N/A
1029000.00000000
PA
USD
713817.30000000
0.035921582608
Long
DBT
NUSS
MA
N
2
2050-12-15
Fixed
4.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-50.00000000
NC
-8687827.40000000
-0.43719942012
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2022
2022-06-11
-11057929.25000000
EUR
2370101.85000000
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 10/13/2024
P97475AP5
270000.00000000
PA
USD
22950.00000000
0.001154917821
Long
DBT
NUSS
VE
N
2
2024-10-13
Floating
0.00000000
Y
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
REPUBLIC OF GHANA 7.750000% 04/07/2029
N/A
1321000.00000000
PA
USD
713340.00000000
0.035897563337
Long
DBT
NUSS
GH
N
2
2029-04-07
Fixed
7.75000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 6.300000% 06/22/2048
836205AZ7
570000.00000000
PA
USD
496071.00000000
0.024963888387
Long
DBT
NUSS
ZA
N
2
2048-06-22
Fixed
6.30000000
N
N
N
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
REPUBLIC OF UZBEKISTAN INTERNATIONAL BOND MTN 3.700000% 11/25/2030
N/A
301000.00000000
PA
USD
244756.34000000
0.012316926314
Long
DBT
NUSS
UZ
N
2
2030-11-25
Fixed
3.70000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.375000% 01/28/2050
N/A
3177000.00000000
PA
2386948.72000000
0.120118937475
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
Sinopec Group Overseas Development (2018) Limited
549300C6OZZ8LTVR8209
SINOPEC GROUP OVERSEAS DEVELOPMENT 2018 LTD 2.300000% 01/08/2031
G82016AS8
2792000.00000000
PA
USD
2432165.92000000
0.122394412425
Long
DBT
NUSS
CN
N
2
2031-01-08
Fixed
2.30000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
11433.43000000
0.000575366974
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
1453241.33000000
EUR
36287436.00000000
CZK
2022-06-15
11433.43000000
N
N
N
Empresa de Transporte de Pasajeros Metro S.A.
959800T4M5QUPYMSCH69
EMPRESA DE TRANSPORTE DE PASAJEROS METRO SA 144A 3.650000% 05/07/2030
29246QAD7
217000.00000000
PA
USD
199097.50000000
0.010019226619
Long
DBT
NUSS
CL
N
2
2030-05-07
Fixed
3.65000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND 144A 5.000000% 07/31/2030
N/A
2099223.00000000
PA
USD
1736977.01000000
0.087410270322
Long
DBT
NUSS
EC
N
2
2030-07-31
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-06
N/A
1.00000000
NC
USD
57900.35000000
0.002913731854
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
81651019.00000000
CNY
12280664.50000000
USD
2022-06-06
57900.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
17496.49000000
0.000880479656
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
20815960000.00000000
IDR
1446657.86000000
USD
2022-06-15
17496.49000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.250000% 10/22/2031
N/A
1109650000.00000000
PA
2231568.99000000
0.112299729665
Long
DBT
NUSS
HU
N
2
2031-10-22
Fixed
3.25000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.280000% 12/03/2027
N/A
38530000.00000000
PA
5980867.76000000
0.300976503807
Long
DBT
NUSS
CN
N
2
2027-12-03
Fixed
3.28000000
N
N
N
N
N
N
THE REPUBLIC OF KENYA
549300VVURQQYU45PR87
REPUBLIC OF KENYA 8.250000% 02/28/2048
N/A
1007000.00000000
PA
USD
780928.50000000
0.039298834063
Long
DBT
NUSS
KE
N
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
33731.94000000
0.001697499723
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
8440000.00000000
ZAR
574427.81000000
USD
2022-06-15
33731.94000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
31940.28000000
0.001607337629
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
1771133.08000000
USD
35637500.00000000
MXN
2022-06-15
31940.28000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.478000% 06/14/2024
N/A
4040000.00000000
PA
927696.09000000
0.046684651286
Long
DBT
NUSS
MY
N
2
2024-06-14
Fixed
3.47800000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND MTN 3.875000% 04/16/2050
N/A
628000.00000000
PA
USD
593460.00000000
0.029864816129
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-12200.58000000
-0.00061397243
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
373677.08000000
USD
337212.08000000
EUR
2022-06-15
-12200.58000000
N
N
N
Provincia de Cordoba
5299006CLM2Z97AATT29
PROVINCIA DE CORDOBA 144A 5.000000% 12/10/2025
74408DAC8
721240.00000000
PA
USD
585646.88000000
0.029471634799
Long
DBT
NUSS
AR
N
2
2025-12-10
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.500000% 01/31/2037
N/A
48618000.00000000
PA
2576321.13000000
0.129648766284
Long
DBT
NUSS
ZA
N
2
2037-01-31
Fixed
8.50000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/EUR SETTLE 2022-07-06
N/A
1.00000000
NC
-55915.04000000
-0.00281382466
N/A
DFE
HU
N
2
J P MORGAN CHASE BANK
N/A
1383496.40000000
EUR
531649995.00000000
HUF
2022-07-06
-55915.04000000
N
N
N
FEL Energy VI S.a r.l.
254900H2U8PBIY32VI94
FEL ENERGY VI SARL 144A 5.750000% 12/01/2040
30260LAA3
281146.65000000
PA
USD
215150.29000000
0.010827054647
Long
DBT
NUSS
MX
N
2
2040-12-01
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-06-27
N/A
1.00000000
NC
USD
-78411.56000000
-0.00394592191
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
85211821166.00000000
IDR
5777856.06000000
USD
2022-06-27
-78411.56000000
N
N
N
National company QazaqGaz JSC
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 4.375000% 09/26/2027
N/A
1787000.00000000
PA
USD
1614733.20000000
0.081258568592
Long
DBT
NUSS
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: ZMW/USD SETTLE 2022-06-15
N/A
1.00000000
NC
99460.90000000
0.005005192415
N/A
DFE
ZM
N
2
STANDARD BANK
N/A
1816388.05000000
USD
33140000.00000000
ZMW
2022-06-15
99460.90000000
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 3.900000% 11/26/2022
718286BX4
52000000.00000000
PA
965474.97000000
0.048585806047
Long
DBT
NUSS
PH
N
2
2022-11-26
Fixed
3.90000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.250000% 05/15/2029
N/A
45578000000.00000000
PA
3345563.77000000
0.168359530283
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.250000% 06/28/2023
N/A
3930000.00000000
PA
824367.22000000
0.041484810178
Long
DBT
NUSS
RO
N
2
2023-06-28
Fixed
4.25000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.750000% 01/26/2026
900123DB3
703000.00000000
PA
USD
615216.39000000
0.030959667656
Long
DBT
NUSS
TR
N
2
2026-01-26
Fixed
4.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 4.750000% 02/11/2029
455780CH7
534000.00000000
PA
USD
557560.43000000
0.028058234292
Long
DBT
NUSS
ID
N
2
2029-02-11
Fixed
4.75000000
N
N
N
N
N
N
National company QazaqGaz JSC
635400YGLXBBSVHONW39
KAZTRANSGAS JSC 144A 4.375000% 09/26/2027
48668NAA9
1219000.00000000
PA
USD
1101488.40000000
0.055430439347
Long
DBT
NUSS
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-34334.83000000
-0.00172783908
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
137739000.00000000
THB
3992573.65000000
USD
2022-06-15
-34334.83000000
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
REPUBLIC OF ANGOLA 9.375000% 05/08/2048
N/A
200000.00000000
PA
USD
178752.00000000
0.008995375615
Long
DBT
NUSS
AO
N
2
2048-05-08
Fixed
9.37500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-07-21
N/A
1.00000000
NC
393.49000000
0.000019801682
N/A
DFE
XX
N
2
JP MORGAN
N/A
119245.18000000
USD
111401.68000000
EUR
2022-07-21
393.49000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 8.50% 10/12/2035
Y20721AE9
400000.00000000
PA
USD
529508.02000000
0.026646546787
Long
DBT
NUSS
ID
N
2
2035-10-12
Fixed
8.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/RON SETTLE 2022-06-30
N/A
1.00000000
NC
-2026.60000000
-0.00010198503
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
4104547.28000000
RON
824123.54000000
EUR
2022-06-30
-2026.60000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
2473871.00000000
NC
-15760.51000000
-0.00079311955
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-2473871.00000000
BRL
-15760.51000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.800000% 08/17/2023
N/A
36102000.00000000
PA
8352041.99000000
0.420301618205
Long
DBT
NUSS
MY
N
2
2023-08-17
Fixed
3.80000000
N
N
N
N
N
N
BANK RAZVITIYA RESPUBLIKI BELARUS' OAO
253400D4JRB0M70A0687
DEVELOPMENT BANK BELARUS 6.750000% 05/02/2024
N/A
2096000.00000000
PA
USD
209600.00000000
0.010547746201
Long
DBT
NUSS
BY
N
2
2024-05-02
Fixed
6.75000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-06-30
N/A
1.00000000
NC
6610.36000000
0.000332654578
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
557186.29000000
EUR
2799339.00000000
RON
2022-06-30
6610.36000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 8.000000% 01/31/2030
N/A
72850000.00000000
PA
4217551.62000000
0.212240763740
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.00000000
N
N
N
N
N
N
DEVELOPMENT BANK OF MONGOLIA
254900HRWK3OKXS9UW60
DEVELOPMENT BANK OF MONGOLIA LLC 144A 7.250000% 10/23/2023
25161AAA7
1149000.00000000
PA
USD
1120216.02000000
0.056372873425
Long
DBT
NUSS
MN
N
2
2023-10-23
Fixed
7.25000000
N
N
N
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 144A 5.800000% 05/15/2050
74445PAG7
1683000.00000000
PA
USD
1510829.10000000
0.076029780061
Long
DBT
NUSS
ID
N
2
2050-05-15
Fixed
5.80000000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-70869.18000000
-0.00356636509
N/A
DFE
TH
N
2
CITIGROUP GLOBAL MARKETS
N/A
2404456.23000000
USD
79819531.22000000
THB
2022-06-15
-70869.18000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-06-13
N/A
1.00000000
NC
-9564.74000000
-0.00048132848
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
245537.53000000
USD
1572000.00000000
CNY
2022-06-13
-9564.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-06-03
N/A
1.00000000
NC
USD
-15568.20000000
-0.00078344190
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
843701.45000000
EUR
888291.83000000
USD
2022-06-03
-15568.20000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT INTERNATIONAL BOND 144A 3.125000% 09/21/2051
445545AN6
2475000.00000000
PA
USD
1670377.50000000
0.084058768754
Long
DBT
NUSS
HU
N
2
2051-09-21
Fixed
3.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-06-07
N/A
1.00000000
NC
USD
-384452.95000000
-0.01934690907
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22365620.00000000
EUR
23580773.21000000
USD
2022-06-07
-384452.95000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 4.625000% 10/04/2047
80413TAF6
3186000.00000000
PA
USD
3124268.06000000
0.157223218333
Long
DBT
NUSS
SA
N
2
2047-10-04
Fixed
4.62500000
N
N
N
N
N
N
EGYPTIAN POUND
N/A
FX Forward Contract: EGP/USD SETTLE 2022-09-21
N/A
1.00000000
NC
-6169.39000000
-0.00031046354
N/A
DFE
EG
N
2
CITIGROUP GLOBAL MARKETS
N/A
711401.71000000
USD
13694483.00000000
EGP
2022-09-21
-6169.39000000
N
N
N
Empresas Publicas de Medellin E.S.P.
549300SU25TO8EMXB434
EMPRESAS PUBLICAS DE MEDELLIN ESP 144A 7.625000% 09/10/2024
29246BAC2
2224000000.00000000
PA
547577.54000000
0.027555863156
Long
DBT
NUSS
CO
N
2
2024-09-10
Fixed
7.62500000
N
N
N
N
N
N
PT Indonesia Asahan Aluminium (Persero)
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM PERSERO PT 6.757000% 11/15/2048
Y7140WAD0
345000.00000000
PA
USD
348795.00000000
0.017552486337
Long
DBT
NUSS
ID
N
2
2048-11-15
Fixed
6.75700000
N
N
N
N
N
N
Republica de Costa Rica
549300S1EK2VN6XVJP58
COSTA RICA GOVERNMENT 7.000000% 04/04/2044
P3699PGH4
312000.00000000
PA
USD
286926.79000000
0.014439079004
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-06-15
N/A
1.00000000
NC
USD
184526.87000000
0.009285985649
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
65380000.00000000
TRY
4111949.69000000
USD
2022-06-15
184526.87000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-07-18
N/A
1.00000000
NC
-13926.38000000
-0.00070082023
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
245570.24000000
USD
3629700.00000000
ZAR
2022-07-18
-13926.38000000
N
N
N
Studio City Finance Limited
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD 144A 6.500000% 01/15/2028
86389QAF9
507000.00000000
PA
USD
354900.00000000
0.017859709575
Long
DBT
NUSS
MO
N
2
2028-01-15
Fixed
6.50000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
BONOS DE TESORERIA 5.350000% 08/12/2040
N/A
959000.00000000
PA
196875.44000000
0.009907405412
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
KINGDOM OF BAHRAIN 5.450000% 09/16/2032
N/A
5975000.00000000
PA
USD
5437250.00000000
0.273619909517
Long
DBT
NUSS
BH
N
2
2032-09-16
Fixed
5.45000000
N
N
N
N
N
N
Banque Centrale de Tunisie
254900B5LFB16S9T2T11
TUNISIAN REPUBLIC 5.750000% 01/30/2025
N/A
628000.00000000
PA
USD
371983.24000000
0.018719393162
Long
DBT
NUSS
TN
N
2
2025-01-30
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2022-06-15
N/A
1.00000000
NC
USD
42084.35000000
0.002117819860
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
6917687675.00000000
UGX
1871162.48000000
USD
2022-06-15
42084.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-07-21
N/A
1.00000000
NC
USD
-48100.60000000
-0.00242057691
N/A
DFE
US
N
2
JP MORGAN
N/A
3049010.50000000
EUR
3226352.23000000
USD
2022-07-21
-48100.60000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.150000% 10/24/2030
N/A
4200000.00000000
PA
709923.51000000
0.035725634570
Long
DBT
NUSS
RO
N
2
2030-10-24
Fixed
4.15000000
N
N
N
N
N
N
Republique du Cameroun
54930021BO6NHYGBBV24
REPUBLIC OF CAMEROON 5.950000% 07/07/2032
N/A
823000.00000000
PA
709929.96000000
0.035725959155
Long
DBT
NUSS
CM
N
2
2032-07-07
Fixed
5.95000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 3.750000% 04/16/2030
N/A
4548000.00000000
PA
USD
4652121.91000000
0.234109738577
Long
DBT
NUSS
QA
N
2
2030-04-16
Fixed
3.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-08-15
N/A
1.00000000
NC
USD
-3533.55000000
-0.00017781960
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
35072500.00000000
CNY
5244878.12000000
USD
2022-08-15
-3533.55000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.880000% 11/05/2023
N/A
37000000.00000000
PA
5618165.10000000
0.282724139282
Long
DBT
NUSS
CN
N
2
2023-11-05
Fixed
2.88000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-62728.43000000
-0.00315669637
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
4128005.44000000
USD
63457000.00000000
ZAR
2022-06-15
-62728.43000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 11/26/2025
N/A
26494300000.00000000
PA
6270355.11000000
0.315544438427
Long
DBT
NUSS
CO
N
2
2025-11-26
Fixed
6.25000000
N
N
N
N
N
N
THE DEMOCRATIC SOCIALIST REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
REPUBLIC OF SRI LANKA 6.350000% 06/28/2024
Y8137FAQ1
472000.00000000
PA
USD
182050.25000000
0.009161354164
Long
DBT
NUSS
LK
N
2
2024-06-28
Fixed
6.35000000
Y
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 5.750000% 02/14/2042
200447AC4
570000.00000000
PA
USD
504028.20000000
0.025364320286
Long
DBT
NUSS
MX
N
2
2042-02-14
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
R186 BOND FUTURE AUG22 FINANCIAL COMMODITY FUTURE.
N/A
767.00000000
NC
5361639.46000000
0.269814943934
N/A
DIR
ZA
N
1
JPM CHASE
N/A
Long
South African Govt. Bond Futures
Johannesburg Stock Exchange Interest Rate Exchange YieldX R186 Bond Future Aug 2022
2022-08-07
5542719.23000000
ZAR
-181079.77000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-06-30
N/A
1.00000000
NC
10643.39000000
0.000535609620
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
745637.54000000
EUR
3754455.00000000
RON
2022-06-30
10643.39000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
41751035.00000000
NC
-200050.99000000
-0.01006720930
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2026-04-06
0.00000000
MXN
0.00000000
MXN
-41751035.00000000
MXN
-200050.99000000
N
N
N
MC Brazil Downstream Trading S.a r.l.
213800T2A7R9TYNXZI63
MC BRAZIL DOWNSTREAM TRADING SARL 144A 7.250000% 06/30/2031
55292WAA8
524000.00000000
PA
USD
467015.00000000
0.023501697005
Long
DBT
NUSS
BR
N
2
2031-06-30
Fixed
7.25000000
N
N
N
N
N
N
Nexa Resources S.A.
549300QRMRHM7GAU7L47
NEXA RESOURCES SA 144A 5.375000% 05/04/2027
91832CAA4
4041000.00000000
PA
USD
3950643.24000000
0.198809075518
Long
DBT
NUSS
BR
N
2
2027-05-04
Fixed
5.37500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 2.125000% 03/07/2028
N/A
594000.00000000
PA
558626.87000000
0.028111900983
Long
DBT
NUSS
RO
N
2
2028-03-07
Fixed
2.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
1650000.00000000
PA
373657.33000000
0.018803638755
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
1415.08000000
0.000071211377
N/A
DFE
CZ
N
2
GOLDMAN, SACHS & CO.
N/A
98055.13000000
EUR
2463319.85000000
CZK
2022-06-15
1415.08000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH CZK - PRIBOR
N/A
133862841.00000000
NC
-421507.59000000
-0.02121161775
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-09-21
0.00000000
CZK
0.00000000
CZK
-133862841.00000000
CZK
-421507.59000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-48072.42000000
-0.00241915880
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
1578277.57000000
USD
25473400.00000000
TRY
2022-06-15
-48072.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-07-21
N/A
1.00000000
NC
USD
378.20000000
0.000019032240
N/A
DFE
US
N
2
JP MORGAN
N/A
147186.94000000
EUR
158448.07000000
USD
2022-07-21
378.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-133818.54000000
-0.00673417937
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
17466000000.00000000
COP
4488820.35000000
USD
2022-06-15
-133818.54000000
N
N
N
Republica de El Salvador
529900AKDMUSFSDOM949
REPUBLIC OF EL SALVADOR 9.500000% 07/15/2052
P01012CC8
1088000.00000000
PA
USD
455645.34000000
0.022929539142
Long
DBT
NUSS
SV
N
2
2052-07-15
Fixed
9.50000000
N
N
N
N
N
N
NBK SPC LIMITED
549300P1ANDK86KWB419
NBK SPC LTD 144A 1.625000% 09/15/2027
62877PAB0
1000000.00000000
PA
USD
898104.00000000
0.045195482131
Long
DBT
NUSS
KW
N
2
2027-09-15
Fixed
1.62500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
19516459.00000000
NC
-455305.58000000
-0.02291244132
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
-19516459.00000000
BRL
-455305.58000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-06-06
N/A
1.00000000
NC
-333827.85000000
-0.01679929120
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
7276479.20000000
USD
46228200.00000000
CNY
2022-06-06
-333827.85000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/PLN SETTLE 2022-06-15
N/A
1.00000000
NC
-131157.92000000
-0.00660028841
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
16110032.40000000
PLN
3385863.23000000
EUR
2022-06-15
-131157.92000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.010000% 05/13/2028
N/A
2000000.00000000
PA
305333.03000000
0.015365340207
Long
DBT
NUSS
CN
N
2
2028-05-13
Fixed
3.01000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-06-13
N/A
1.00000000
NC
USD
27412.85000000
0.001379502788
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
37606500.00000000
TRY
2292031.08000000
USD
2022-06-13
27412.85000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.625000% 04/16/2030
N/A
1081000.00000000
PA
870020.35000000
0.043782222528
Long
DBT
NUSS
EG
N
2
2030-04-16
Fixed
5.62500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 2.375000% 02/11/2030
N/A
820000.00000000
PA
800546.42000000
0.040286070900
Long
DBT
NUSS
MX
N
2
2030-02-11
Fixed
2.37500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.750000% 02/07/2034
N/A
2792000.00000000
PA
2533577.97000000
0.127497792984
Long
DBT
NUSS
RO
N
2
2034-02-07
Fixed
3.75000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 8.200000% 05/17/2033
N/A
3557000.00000000
PA
USD
309245.58000000
0.015562232308
Long
DBT
NUSS
LB
N
2
2033-05-17
Fixed
8.20000000
Y
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 8.150000% 11/20/2059
N/A
874000.00000000
PA
USD
615750.48000000
0.030986544783
Long
DBT
NUSS
EG
N
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.050000% 11/29/2029
N/A
47130000.00000000
PA
1443388.40000000
0.072635947106
Long
DBT
NUSS
CZ
N
2
2029-11-29
Fixed
0.05000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-21
N/A
1.00000000
NC
USD
28190.51000000
0.001418637141
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
32418900.00000000
THB
976178.86000000
USD
2022-06-21
28190.51000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.500000% 01/19/2063
698299BS2
1897000.00000000
PA
USD
1591408.68000000
0.080084803720
Long
DBT
NUSS
PA
N
2
2063-01-19
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-5294.42000000
-0.00026643224
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
56681092142.00000000
IDR
3886259.32000000
USD
2022-06-15
-5294.42000000
N
N
N
Republique Gabonaise
N/A
GABON GOVERNMENT INTERNATIONAL BOND 144A 7.000000% 11/24/2031
362420AE1
1130000.00000000
PA
USD
949200.00000000
0.047766797207
Long
DBT
NUSS
GA
N
2
2031-11-24
Fixed
7.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 05/15/2027
N/A
27100000000.00000000
PA
1905567.01000000
0.095894261410
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.250000% 06/24/2026
N/A
4730000.00000000
PA
866789.20000000
0.043619620667
Long
DBT
NUSS
RO
N
2
2026-06-24
Fixed
3.25000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT INTERNATIONAL BOND 144A VARIABLE RATE 05/31/2040
903724AW2
3182000.00000000
PA
USD
1183290.34000000
0.059546976093
Long
DBT
NUSS
UA
N
2
2040-05-31
Floating
1.25799840
N
N
N
N
N
N
Federal Democratic Republic of Ethiopia
N/A
ETHIOPIA INTERNATIONAL BOND 144A 6.625000% 12/11/2024
29766LAA4
432000.00000000
PA
USD
267796.80000000
0.013476396374
Long
DBT
NUSS
ET
N
2
2024-12-11
Fixed
6.62500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2027
N/A
7320000.00000000
PA
1395068.22000000
0.070204320221
Long
DBT
NUSS
PL
N
2
2027-07-25
Fixed
2.50000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.875000% 03/17/2036
900123AY6
910000.00000000
PA
USD
745967.04000000
0.037539460938
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.87500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 04/25/2028
N/A
7185000.00000000
PA
1355562.10000000
0.068216245187
Long
DBT
NUSS
PL
N
2
2028-04-25
Fixed
2.75000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.875000% 06/22/2029
N/A
15000000.00000000
PA
501376.42000000
0.025230874187
Long
DBT
NUSS
TH
N
2
2029-06-22
Fixed
4.87500000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 2.783000% 01/23/2031
715638DF6
5954000.00000000
PA
USD
5252183.50000000
0.264306767950
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 6.264000% 02/15/2052
200447AM2
405000.00000000
PA
USD
346275.00000000
0.017425671831
Long
DBT
NUSS
MX
N
2
2052-02-15
Fixed
6.26400000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.875000% 10/09/2026
900123CK4
847000.00000000
PA
USD
726631.14000000
0.036566416254
Long
DBT
NUSS
TR
N
2
2026-10-09
Fixed
4.87500000
N
N
N
N
N
N
Kallpa Generacion S.A.
549300NG1PWEI5BZG095
KALLPA GENERACION SA 144A 4.125000% 08/16/2027
156830AA9
875000.00000000
PA
USD
819218.75000000
0.041225722607
Long
DBT
NUSS
PE
N
2
2027-08-16
Fixed
4.12500000
N
N
N
N
N
N
PETRONAS Capital Limited
549300G7YFX3540OYR85
PETRONAS CAPITAL LTD MTN 4.550000% 04/21/2050
Y68856AV8
1931000.00000000
PA
USD
1915865.81000000
0.096412530153
Long
DBT
NUSS
MY
N
2
2050-04-21
Fixed
4.55000000
N
N
N
N
N
N
EIG Pearl Holdings S.a r.l.
549300KIMRL45BWA5H76
EIG PEARL HOLDINGS SARL 144A 4.387000% 11/30/2046
28249NAB7
1240000.00000000
PA
USD
1039911.12000000
0.052331672547
Long
DBT
NUSS
SA
N
2
2046-11-30
Fixed
4.38700000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-48075.69000000
-0.00241932336
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
33470000.00000000
MXN
1645333.37000000
USD
2022-06-15
-48075.69000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-21874.50000000
-0.00110079520
N/A
DFE
TH
N
2
CITIGROUP GLOBAL MARKETS
N/A
680777.57000000
USD
22537549.79000000
THB
2022-06-15
-21874.50000000
N
N
N
Republica Bolivariana de Venezuela
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA VARIABLE RATE 10/13/2024
P97475AP5
3881200.00000000
PA
USD
329902.00000000
0.016601729806
Long
DBT
NUSS
VE
N
2
2024-10-13
Floating
0.00000000
Y
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-10
N/A
1.00000000
NC
-22606.65000000
-0.00113763934
N/A
DFE
TH
N
2
MORGAN STANLEY & CO, INC
N/A
878296.49000000
USD
29273622.00000000
THB
2022-06-10
-22606.65000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 8.150000% 02/03/2027
EJ0370613
407814000.00000000
PA
404577.38000000
0.020359635129
Long
DBT
NUSS
RU
N
2
2027-02-03
Fixed
8.15000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-02
N/A
1.00000000
NC
13795.93000000
0.000694255573
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
1795972.57000000
USD
8575769.00000000
BRL
2022-06-02
13795.93000000
N
N
N
RUSSIA, FEDERATION OF (GOVERNMENT)
5493004EHVGF71PDBU58
RUSSIA GOVT BOND - OFZ 7.950000% 10/07/2026
N/A
183025000.00000000
PA
181572.42000000
0.009137308222
Long
DBT
NUSS
RU
N
2
2026-10-07
Fixed
7.95000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.500000% 03/15/2029
195325DP7
1817000.00000000
PA
USD
1684239.60000000
0.084756354215
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 8.37% FIXED
N/A
15931147823.00000000
NC
12312.66000000
0.000619612656
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-04-13
0.00000000
COP
0.00000000
COP
-15931147823.00000000
COP
12312.66000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.817000% 03/14/2049
74727PBB6
333000.00000000
PA
USD
358361.28000000
0.018033892318
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-07-21
N/A
1.00000000
NC
USD
-4128.37000000
-0.00020775285
N/A
DFE
US
N
2
JP MORGAN
N/A
241389.43000000
EUR
255109.28000000
USD
2022-07-21
-4128.37000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 28-DAY MXN - TIIE
N/A
99661577.00000000
NC
-27473.37000000
-0.00138254834
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2022-09-12
0.00000000
MXN
0.00000000
MXN
-99661577.00000000
MXN
-27473.37000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-07-18
N/A
1.00000000
NC
-45641.37000000
-0.00229682054
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
777600.75000000
USD
11469300.00000000
ZAR
2022-07-18
-45641.37000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA 7.300000% 04/20/2052
836205BE3
1500000.00000000
PA
USD
1411590.00000000
0.071035749335
Long
DBT
NUSS
ZA
N
2
2052-04-20
Fixed
7.30000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.020000% 05/27/2031
N/A
7640000.00000000
PA
1163534.10000000
0.058552778548
Long
DBT
NUSS
CN
N
2
2031-05-27
Fixed
3.02000000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 3.250000% 03/23/2023
900123CA6
1359000.00000000
PA
USD
1327063.50000000
0.066782103966
Long
DBT
NUSS
TR
N
2
2023-03-23
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-06-03
N/A
1.00000000
NC
USD
-162.28000000
-0.00000816645
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
10605.00000000
EUR
11198.89000000
USD
2022-06-03
-162.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-61678.15000000
-0.00310384290
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
23904523.50000000
RON
5108895.81000000
USD
2022-06-15
-61678.15000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-52.00000000
NC
-7046117.25000000
-0.35458328463
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-BOBL Future Jun 2022
2022-06-11
-7587510.73000000
EUR
541393.48000000
N
N
N
Minerva Luxembourg S.A.
222100NM3G3RCPGZ2Z17
MINERVA LUXEMBOURG SA 144A 4.375000% 03/18/2031
603374AF6
462000.00000000
PA
USD
390145.14000000
0.019633358389
Long
DBT
NUSS
BR
N
2
2031-03-18
Fixed
4.37500000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.400000% 09/17/2025
N/A
81450000.00000000
PA
3237790.27000000
0.162936021097
Long
DBT
NUSS
CZ
N
2
2025-09-17
Fixed
2.40000000
N
N
N
N
N
N
WANDA PROPERTIES OVERSEAS LIMITED
549300BJ7FGBP0KHXY31
WANDA PROPERTIES OVERSEAS LTD 6.875000% 07/23/2023
N/A
244000.00000000
PA
USD
190442.00000000
0.009583654017
Long
DBT
NUSS
CN
N
2
2023-07-23
Fixed
6.87500000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.850000% 06/04/2027
N/A
63890000.00000000
PA
9703244.84000000
0.488298491911
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-13499.84000000
-0.00067935537
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
671258478.00000000
CLP
800145.99000000
USD
2022-06-15
-13499.84000000
N
N
N
CONVERSION ADJUSTMENT
N/A
CONVERSION ADJUSTMENT
N/A
1.00000000
NS
USD
0.00000000
0.000000
Long
EC
US
N
2
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.50000% 10/18/2034
P6S32JS68
13406200000.00000000
PA
2678830.40000000
0.134807362482
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
47634000.00000000
PA
2175220.76000000
0.109464105481
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
Sultanate of Oman
549300SZ20F0QTKNQC75
OMAN GOVERNMENT INTERNATIONAL BOND 144A 6.750000% 01/17/2048
682051AJ6
2188000.00000000
PA
USD
2043045.00000000
0.102812596080
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-14883.96000000
-0.00074900874
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
12697448.59000000
MXN
627541.33000000
USD
2022-06-15
-14883.96000000
N
N
N
Republica de Honduras
5493002DW1JNBNG17615
HONDURAS GOVERNMENT 5.625000% 06/24/2030
P5178RAD0
696000.00000000
PA
USD
494325.18000000
0.024876033109
Long
DBT
NUSS
HN
N
2
2030-06-24
Fixed
5.62500000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST GOVERNMENT INTERNATIONAL BOND 144A 6.625000% 03/22/2048
AR7769417
675000.00000000
PA
571243.40000000
0.028746805355
Long
DBT
NUSS
CI
N
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
ABU DHABI CRUDE OIL PIPELINE L.L.C.
549300DONDFW2383FV66
ABU DHABI CRUDE OIL PIPELINE LLC 144A 4.600000% 11/02/2047
00401MAB2
628000.00000000
PA
USD
612614.00000000
0.030828707020
Long
DBT
NUSS
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-03
N/A
1.00000000
NC
184624.60000000
0.009290903737
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
4401513.93000000
USD
21738197.00000000
BRL
2022-06-03
184624.60000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 4.875000% 04/16/2043
900123CB4
3357000.00000000
PA
USD
2172851.82000000
0.109344892801
Long
DBT
NUSS
TR
N
2
2043-04-16
Fixed
4.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
8979.93000000
0.000451898962
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1276397339.00000000
CLP
1556126.67000000
USD
2022-06-15
8979.93000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-09-21
N/A
1.00000000
NC
-241.67000000
-0.00001216161
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
702553.58000000
EUR
3555434.00000000
RON
2022-09-21
-241.67000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 06/15/2035
N/A
39500000000.00000000
PA
2715696.92000000
0.136662604354
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 11/07/2047
N/A
13507500.00000000
PA
630322.59000000
0.031719860231
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-09-21
N/A
1.00000000
NC
11914.80000000
0.000599591061
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
1005710.59000000
EUR
5147208.70000000
RON
2022-09-21
11914.80000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1-DAY BRL - CETIP
N/A
30016641.00000000
NC
-766433.90000000
-0.03856941916
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
-30016641.00000000
BRL
-766433.90000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 0.950000% 05/15/2030
N/A
47180000.00000000
PA
1543305.03000000
0.077664073321
Long
DBT
NUSS
CZ
N
2
2030-05-15
Fixed
0.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-07-18
N/A
1.00000000
NC
USD
1582189.62000000
0.079620870966
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
491234450.00000000
ZAR
32932286.39000000
USD
2022-07-18
1582189.62000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 9.375000% 04/01/2029
698299AK0
595000.00000000
PA
USD
752035.14000000
0.037844827249
Long
DBT
NUSS
PA
N
2
2029-04-01
Fixed
9.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-06-02
N/A
1.00000000
NC
USD
-8168.59000000
-0.00041106972
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2161874.00000000
BRL
448057.72000000
USD
2022-06-02
-8168.59000000
N
N
N
BELARUS, REPUBLIC OF (GOVERNMENT)
635400CVCOWYLHF4ZB08
REPUBLIC OF BELARUS 5.875000% 02/24/2026
N/A
1645000.00000000
PA
USD
232356.25000000
0.011692913899
Long
DBT
NUSS
BY
N
2
2026-02-24
Fixed
5.87500000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 8.250000% 09/28/2051
65412JAT0
4133000.00000000
PA
USD
3079085.00000000
0.154949461418
Long
DBT
NUSS
NG
N
2
2051-09-28
Fixed
8.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-3049.11000000
-0.00015344102
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
830000.00000000
BRL
171547.86000000
USD
2022-06-13
-3049.11000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
93821.09000000
0.004721379034
N/A
DFE
CO
N
2
GOLDMAN, SACHS & CO.
N/A
1116016.42000000
USD
4571203251.00000000
COP
2022-06-15
93821.09000000
N
N
N
Republic of Iraq
2549004N3P710UQ9X454
REPUBLIC OF IRAQ 01/15/2028 5.8%
N/A
1391250.00000000
PA
USD
1321687.50000000
0.066511566354
Long
DBT
NUSS
IQ
N
2
2028-01-15
Fixed
5.80000000
N
N
N
N
N
N
EXPORT-IMPORT BANK OF INDIA
335800OFZ8YEIVN1QI11
EXPORT-IMPORT BANK OF INDIA MTN 3.250000% 01/15/2030
30216KAE2
1430000.00000000
PA
USD
1283713.95000000
0.064600615172
Long
DBT
NUSS
IN
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
BRK: CITIGROUP
N/A
BRK: CITIGROUP PAY: FLOATING QUARTERLY
N/A
153000000.00000000
NC
-51007.40000000
-0.00256685643
N/A
DIR
XX
N
2
BRK: CITIGROUP
N/A
Y
2027-03-16
0.00000000
CNY
0.00000000
CNY
-153000000.00000000
CNY
-51007.40000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 5.103000% 04/23/2048
N/A
273000.00000000
PA
USD
304785.39000000
0.015337781200
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 06/17/2035
N/A
36336000.00000000
PA
886642.89000000
0.044618722209
Long
DBT
NUSS
TH
N
2
2035-06-17
Fixed
1.60000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 144A 5.950000% 01/28/2031
71654QCZ3
727000.00000000
PA
USD
608426.30000000
0.030617968486
Long
DBT
NUSS
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 2.150000% 07/28/2031
455780CY0
2191000.00000000
PA
USD
1905861.88000000
0.095909100217
Long
DBT
NUSS
ID
N
2
2031-07-28
Fixed
2.15000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-07-26
N/A
1.00000000
NC
USD
-5864.11000000
-0.00029510087
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
8908830727.00000000
IDR
606092.38000000
USD
2022-07-26
-5864.11000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 3.870000% 07/23/2060
698299BL7
1049000.00000000
PA
USD
802501.90000000
0.040384476944
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-174991.18000000
-0.00880611905
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
18142458.95000000
PEN
4742506.59000000
USD
2022-06-13
-174991.18000000
N
N
N
PRIVATE JOINT STOCK COMPANY NATIONAL POWER COMPANY UKRENERGO
8945009LCLS92V4AK321
NPC UKRENERGO 6.875000% 11/09/2026
N/A
400000.00000000
PA
USD
136000.00000000
0.006843957459
Long
DBT
NUSS
UA
N
2
2026-11-09
Fixed
6.87500000
N
N
N
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 5.750000% 03/22/2024
900123CF5
145000.00000000
PA
USD
139097.05000000
0.006999810977
Long
DBT
NUSS
TR
N
2
2024-03-22
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-12414.01000000
-0.00062471291
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
675583970.00000000
CLP
806474.83000000
USD
2022-06-15
-12414.01000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
COLOMBIA REP OF COLO 9.85 9.85 06/28/2027
N/A
994000000.00000000
PA
257221.19000000
0.012944197661
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-06-13
N/A
1.00000000
NC
-44150.02000000
-0.00222177101
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
991013.35000000
USD
6307800.00000000
CNY
2022-06-13
-44150.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-19872.13000000
-0.00100002950
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
86602092380.00000000
IDR
5925967.73000000
USD
2022-06-15
-19872.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
39959.55000000
0.002010893090
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
9640669.00000000
ZAR
657574.47000000
USD
2022-06-15
39959.55000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-02
N/A
1.00000000
NC
31544.26000000
0.001587408628
N/A
DFE
BR
N
2
STANDARD BANK
N/A
525582.32000000
USD
2640000.00000000
BRL
2022-06-02
31544.26000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-35698.45000000
-0.00179646083
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
1665804.45000000
USD
25445163.00000000
ZAR
2022-06-15
-35698.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-06-03
N/A
1.00000000
NC
USD
1262.61000000
0.000063538596
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
478396.00000000
EUR
513769.75000000
USD
2022-06-03
1262.61000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-40655.74000000
-0.00204592761
N/A
DFE
TH
N
2
CITIGROUP GLOBAL MARKETS
N/A
1370805.68000000
USD
45497314.67000000
THB
2022-06-15
-40655.74000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-03
N/A
1.00000000
NC
23125.48000000
0.001163748539
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
1302144.02000000
USD
1237063.00000000
EUR
2022-06-03
23125.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PHP SETTLE 2022-09-21
N/A
1.00000000
NC
USD
10116.37000000
0.000509088278
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
182261063.86000000
PHP
3448648.32000000
USD
2022-09-21
10116.37000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 4.400000% 04/16/2050
N/A
1929000.00000000
PA
USD
1961407.20000000
0.098704319387
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/11/2025
N/A
325000.00000000
PA
315150.67000000
0.015859395431
Long
DBT
NUSS
EG
N
2
2025-04-11
Fixed
4.75000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
REPUBLIC OF PHILIPPINES 1.750000% 04/28/2041
N/A
606000.00000000
PA
479481.94000000
0.024129073527
Long
DBT
NUSS
PH
N
2
2041-04-28
Fixed
1.75000000
N
N
N
N
N
N
Republique Gabonaise
N/A
REPUBLIC OF GABON 6.625000% 02/06/2031
N/A
366000.00000000
PA
USD
310185.00000000
0.015609506944
Long
DBT
NUSS
GA
N
2
2031-02-06
Fixed
6.62500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-13144.39000000
-0.00066146798
N/A
DFE
ID
N
2
MERRILL LYNCH
N/A
1008920.80000000
USD
14503640000.00000000
IDR
2022-06-15
-13144.39000000
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
PANAMA BONOS DEL 3.362000% 06/30/2031
N/A
2115000.00000000
PA
USD
1886580.00000000
0.094938773993
Long
DBT
NUSS
PA
N
2
2031-06-30
Fixed
3.36200000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/EUR SETTLE 2022-07-28
N/A
1.00000000
NC
26556.90000000
0.001336428631
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
N/A
2124095.60000000
EUR
10736241.23000000
RON
2022-07-28
26556.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-4684.89000000
-0.00023575873
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
889807750.00000000
CLP
1073868.88000000
USD
2022-06-15
-4684.89000000
N
N
N
DP World Limited
549300M3U2DNF4QVSS04
DP WORLD LTD/UNITED ARAB EMIRATES MTN 5.625000% 09/25/2048
23330JAB7
648000.00000000
PA
USD
617422.18000000
0.031070670104
Long
DBT
NUSS
AE
N
2
2048-09-25
Fixed
5.62500000
N
N
N
N
N
N
FEDERAL REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA 9.248000% 01/21/2049
N/A
524000.00000000
PA
USD
427060.00000000
0.021491032885
Long
DBT
NUSS
NG
N
2
2049-01-21
Fixed
9.24800000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 04/20/2023
N/A
4500000.00000000
PA
1038876.09000000
0.052279586508
Long
DBT
NUSS
MY
N
2
2023-04-20
Fixed
3.75700000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.500000% 03/15/2029
195325DP7
1375000.00000000
PA
USD
1274534.65000000
0.064138683269
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SPE 5.333% 02/15/28
G13201AA9
196200.00000000
PA
USD
197182.96000000
0.009922880808
Long
DBT
NUSS
BR
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.125000% 02/22/2042
195325EA9
5895000.00000000
PA
USD
4297639.10000000
0.216271023344
Long
DBT
NUSS
CO
N
2
2042-02-22
Fixed
4.12500000
N
N
N
N
N
N
Republica de Angola
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND MTN 9.125000% 11/26/2049
035198AE0
3433000.00000000
PA
USD
3003806.34000000
0.151161197104
Long
DBT
NUSS
AO
N
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 6-MONTH CZK - PRIBOR
N/A
259528968.00000000
NC
-418323.86000000
-0.02105140222
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2023-11-25
0.00000000
CZK
0.00000000
CZK
-259528968.00000000
CZK
-418323.86000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-06-15
N/A
1.00000000
NC
205350.81000000
0.010333913292
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
3271896.28000000
USD
14895962.21000000
PLN
2022-06-15
205350.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UAH SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-778016.91000000
-0.03915231348
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
73613766.32000000
UAH
1711948.05000000
USD
2022-06-15
-778016.91000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.800000% 08/17/2023
N/A
5900000.00000000
PA
1364939.55000000
0.068688148635
Long
DBT
NUSS
MY
N
2
2023-08-17
Fixed
3.80000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
GHANA GOVERNMENT INTERNATIONAL BOND 144A 8.627000% 06/16/2049
374422AH6
731000.00000000
PA
USD
367076.04000000
0.018472447073
Long
DBT
NUSS
GH
N
2
2049-06-16
Fixed
8.62700000
N
N
N
N
N
N
RELIANCE INDUSTRIES LIMITED
5493003UOETFYRONLG31
RELIANCE INDUSTRIES LTD 144A 2.875000% 01/12/2032
759470BB2
1175000.00000000
PA
USD
1005905.75000000
0.050620412947
Long
DBT
NUSS
IN
N
2
2032-01-12
Fixed
2.87500000
N
N
N
N
N
N
KONDOR FINANCE PLC
213800PUC1T9GI6EIO63
NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC 144A 7.625000% 11/08/2026
50050MAB1
1334000.00000000
PA
USD
415927.86000000
0.020930827793
Long
DBT
NUSS
UA
N
2
2026-11-08
Fixed
7.62500000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT
529900LIZJABE4JJS826
BANQUE OUEST AFRICAINE DE DEVELOPPEMENT 144A 5.000000% 07/27/2027
06675QAB9
1274000.00000000
PA
USD
1240621.20000000
0.062432049379
Long
DBT
NUSS
XX
N
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
Leviathan Bond LTD
254900D9T8VKYVQNZ220
LEVIATHAN BOND LTD 144A 6.750000% 06/30/2030
N/A
549829.00000000
PA
USD
542956.14000000
0.027323299443
Long
DBT
NUSS
IL
N
2
2030-06-30
Fixed
6.75000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 5.3
N/A
2887654494.00000000
NC
-326647.15000000
-0.01643793528
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2024-01-11
0.00000000
HUF
0.00000000
HUF
-2887654494.00000000
HUF
-326647.15000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-06-02
N/A
1.00000000
NC
63330.85000000
0.003187012082
N/A
DFE
BR
N
2
STANDARD CHARTERED BANK
N/A
1355463.31000000
USD
6723098.00000000
BRL
2022-06-02
63330.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-09-21
N/A
1.00000000
NC
USD
769.65000000
0.000038731263
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
8983077.37000000
THB
264476.52000000
USD
2022-09-21
769.65000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/UGX SETTLE 2022-06-15
N/A
1.00000000
NC
USD
30569.74000000
0.001538367647
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
6215893273.00000000
UGX
1674089.22000000
USD
2022-06-15
30569.74000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2022-06-15
N/A
1.00000000
NC
6802.48000000
0.000342322674
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
328833.01000000
EUR
1539170.00000000
PLN
2022-06-15
6802.48000000
N
N
N
Turkiye Cumhuriyeti
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY 6.875000% 03/17/2036
900123AY6
403000.00000000
PA
USD
330356.83000000
0.016624618314
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-44932.89000000
-0.00226116755
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
5425514.90000000
PEN
1425403.91000000
USD
2022-06-15
-44932.89000000
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.500000% 01/31/2034
168863DV7
336000.00000000
PA
USD
310556.38000000
0.015628195980
Long
DBT
NUSS
CL
N
2
2034-01-31
Fixed
3.50000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL ZERO COUPON 07/01/2023
N/A
23000000.00000000
PA
4237240.11000000
0.213231551887
Long
DBT
NUSS
BR
N
2
2023-07-01
None
0.00000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.250000% 05/27/2022
N/A
409000.00000000
PA
USD
38855.00000000
0.001955308581
Long
DBT
NUSS
LB
N
2
2022-05-27
Fixed
6.25000000
Y
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-39070.37000000
-0.00196614669
N/A
DFE
TH
N
2
CITIGROUP GLOBAL MARKETS
N/A
1346417.74000000
USD
44717360.70000000
THB
2022-06-15
-39070.37000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 6.875000% 10/17/2040
N/A
2734000.00000000
PA
2407293.02000000
0.121142728091
Long
DBT
NUSS
CI
N
2
2040-10-17
Fixed
6.87500000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
BONOS TESORERIA PESOS 4.500000% 03/01/2026
N/A
935000000.00000000
PA
1082559.83000000
0.054477892819
Long
DBT
NUSS
CL
N
2
2026-03-01
Fixed
4.50000000
N
N
N
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
Ivory Coast Government International Bond 6.625000% 03/22/2048
AR7769417
883000.00000000
PA
747270.99000000
0.037605079896
Long
DBT
CORP
CI
N
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-45536.52000000
-0.00229154415
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
26638567.93000000
MXN
1302237.38000000
USD
2022-06-15
-45536.52000000
N
N
N
Republique de Cote d'Ivoire
254900ICW11T82O6H590
IVORY COAST 4.875000% 01/30/2032
N/A
2057000.00000000
PA
1825163.59000000
0.091848102689
Long
DBT
NUSS
CI
N
2
2032-01-30
Fixed
4.87500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS MTN 6.750000% 09/21/2047
71656MBM0
440000.00000000
PA
USD
316448.00000000
0.015924681250
Long
DBT
NUSS
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANON GOVERNMENT INTERNATIONAL BOND MTN 6.850000% 05/25/2029
N/A
2419000.00000000
PA
USD
217710.00000000
0.010955867488
Long
DBT
NUSS
LB
N
2
2029-05-25
Fixed
6.85000000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-06-15
N/A
1.00000000
NC
USD
4266.93000000
0.000214725642
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2172589046.00000000
COP
579275.21000000
USD
2022-06-15
4266.93000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 2.250000% 08/12/2036
N/A
608000.00000000
PA
507247.43000000
0.025526322295
Long
DBT
NUSS
MX
N
2
2036-08-12
Fixed
2.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
33131.77000000
0.001667297238
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
1854904.60000000
USD
1761300.30000000
EUR
2022-06-15
33131.77000000
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 4.750000% 01/14/2050
105756CB4
1450000.00000000
PA
USD
1098714.05000000
0.055290825131
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 6.375000% 10/24/2048
48667QAS4
1057000.00000000
PA
USD
959167.86000000
0.048268411984
Long
DBT
NUSS
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 3.250000% 10/22/2030
N/A
1914000.00000000
PA
USD
1872466.20000000
0.094228522179
Long
DBT
NUSS
SA
N
2
2030-10-22
Fixed
3.25000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.762000% 04/07/2037
N/A
2775000.00000000
PA
647442.96000000
0.032581412319
Long
DBT
NUSS
MY
N
2
2037-04-07
Fixed
4.76200000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.500000% 02/12/2034
91087BAR1
946000.00000000
PA
USD
830291.20000000
0.041782923907
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
Gol Finance SA
5299007RH8MA67ZC6J07
GOL FINANCE SA 144A 7.000000% 01/31/2025
36254VAA6
1322000.00000000
PA
USD
1058359.07000000
0.053260032731
Long
DBT
NUSS
BR
N
2
2025-01-31
Fixed
7.00000000
N
N
N
N
N
ROYAUME DU MAROC
529900F3MBW9XY5K1X07
KINGDOM OF MOROCCO 3.000000% 12/15/2032
N/A
480000.00000000
PA
USD
375000.00000000
0.018871206229
Long
DBT
NUSS
MA
N
2
2032-12-15
Fixed
3.00000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 6.125000% 01/22/2044
77586TAE6
312000.00000000
PA
USD
315747.74000000
0.015889441914
Long
DBT
NUSS
RO
N
2
2044-01-22
Fixed
6.12500000
N
N
N
N
N
N
Empresas Publicas de Medellin E.S.P.
549300SU25TO8EMXB434
EMPRESAS PUBLICAS DE MEDELLIN ESP 144A 8.375000% 11/08/2027
29246BAD0
4600000000.00000000
PA
1026594.28000000
0.051661526323
Long
DBT
NUSS
CO
N
2
2027-11-08
Fixed
8.37500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-08-29
N/A
1.00000000
NC
1467.29000000
0.000073838752
N/A
DFE
ID
N
2
GOLDMAN, SACHS & CO.
N/A
148677.54000000
USD
2189306563.00000000
IDR
2022-08-29
1467.29000000
N
N
N
Empresas Publicas de Medellin E.S.P.
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP 7.625000% 09/10/2024
29246BAC2
1827000000.00000000
PA
449831.01000000
0.022636943354
Long
DBT
CORP
CO
N
2
2024-09-10
Fixed
7.62500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-84293.14000000
-0.00424190194
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
1497481.88000000
USD
22059190.00000000
ZAR
2022-06-15
-84293.14000000
N
N
N
EGYPTIAN POUND
N/A
FX Forward Contract: EGP/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-5136.20000000
-0.00025847010
N/A
DFE
EG
N
2
CITIGROUP GLOBAL MARKETS
N/A
1220183.17000000
USD
22701507.85000000
EGP
2022-06-15
-5136.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-06-15
N/A
1.00000000
NC
USD
90695.01000000
0.004564064633
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22982398.00000000
ZAR
1563027.68000000
USD
2022-06-15
90695.01000000
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 6.1% 10/04/2022
N/A
3411000.00000000
PA
USD
324045.00000000
0.016306986726
Long
DBT
NUSS
LB
N
2
2022-10-04
Fixed
6.10000000
Y
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-70203.77000000
-0.00353287952
N/A
DFE
TH
N
2
CITIGROUP GLOBAL MARKETS
N/A
2414208.62000000
USD
80175868.42000000
THB
2022-06-15
-70203.77000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 4.400000% 04/16/2050
74727PBE0
2116000.00000000
PA
USD
2151548.80000000
0.108272856311
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
BIOCEANICO SOVEREIGN CERTIFICATE LIMITED
N/A
BIOCEANICO SOVEREIGN CERTIFICATE LTD ZERO COUPON 06/05/2034
G11176AA5
2520247.71320000
PA
USD
1701167.21000000
0.085608206000
Long
DBT
NUSS
PY
N
2
2034-06-05
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-07-05
N/A
1.00000000
NC
USD
5040.63000000
0.000253660715
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1880124508.00000000
KRW
1520454.83000000
USD
2022-07-05
5040.63000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.899000% 11/16/2027
N/A
2110000.00000000
PA
483137.41000000
0.024313028536
Long
DBT
NUSS
MY
N
2
2027-11-16
Fixed
3.89900000
N
N
N
N
N
N
Republique Gabonaise
N/A
GABON GOVERNMENT INTERNATIONAL BOND 144A 6.625000% 02/06/2031
362420AD3
609000.00000000
PA
USD
516127.50000000
0.025973195981
Long
DBT
NUSS
GA
N
2
2031-02-06
Fixed
6.62500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
4410000.00000000
PA
797674.42000000
0.040141542622
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
2.75000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.125000% 07/09/2030
N/A
407400.00000000
PA
117835.22000000
0.005929847300
Long
DBT
NUSS
AR
N
2
2030-07-09
Fixed
0.12500000
N
N
N
N
N
N
Government of Mongolia
254900PW61ADCBDCLP71
MONGOLIA INTL BOND 4.450000% 07/07/2031
Y6142NAE8
200000.00000000
PA
USD
164359.35000000
0.008271091172
Long
DBT
NUSS
MN
N
2
2031-07-07
Fixed
4.45000000
N
N
N
N
N
N
Republic of Lebanon
529900QPC4K9S1KHL354
LEBANESE REPUBLIC 8.250000% 05/17/2034
N/A
11222000.00000000
PA
USD
975640.68000000
0.049097377274
Long
DBT
NUSS
LB
N
2
2034-05-17
Fixed
8.25000000
Y
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.975000% 04/20/2055
760942BD3
2620585.00000000
PA
USD
2742286.28000000
0.138000666477
Long
DBT
NUSS
UY
N
2
2055-04-20
Fixed
4.97500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 02/15/2031
N/A
10160000000.00000000
PA
674938.59000000
0.033965080863
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
Republica del Ecuador
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR 1.000000% 07/31/2035
N/A
5911329.00000000
PA
USD
3776209.10000000
0.190030988507
Long
DBT
NUSS
EC
N
2
2035-07-31
Fixed
1.00000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.875000% 12/17/2028
N/A
59248000.00000000
PA
1763757.92000000
0.088757971857
Long
DBT
NUSS
TH
N
2
2028-12-17
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EGP SETTLE 2022-09-21
N/A
1.00000000
NC
USD
-22322.46000000
-0.00112333798
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
30324128.00000000
EGP
1539295.84000000
USD
2022-09-21
-22322.46000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 8.2% 08/12/2026
715638AY8
18000.00000000
PA
5164.82000000
0.000259910355
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.20000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-06-17
N/A
1.00000000
NC
43553.80000000
0.002191767311
N/A
DFE
SG
N
2
STANDARD BANK
N/A
2728707.32000000
USD
3800167.00000000
SGD
2022-06-17
43553.80000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-06-03
N/A
1.00000000
NC
18010.48000000
0.000906345286
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
N/A
1160006.25000000
USD
1099611.00000000
EUR
2022-06-03
18010.48000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.350000% 01/15/2047
91087BAB6
564000.00000000
PA
USD
469105.89000000
0.023606917315
Long
DBT
NUSS
MX
N
2
2047-01-15
Fixed
4.35000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-139662.77000000
-0.00702827982
N/A
DFE
ID
N
2
MERRILL LYNCH
N/A
9543238.03000000
USD
136964552267.00000000
IDR
2022-06-15
-139662.77000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 10.29%
N/A
7948377.00000000
NC
127341.56000000
0.006408236907
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2027-01-04
0.00000000
BRL
0.00000000
BRL
-7948377.00000000
BRL
127341.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-25271.60000000
-0.00127174820
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
14520000.00000000
MXN
709365.38000000
USD
2022-06-15
-25271.60000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/16/2026
N/A
580000.00000000
PA
530673.07000000
0.026705175851
Long
DBT
NU