# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001410368-26-041706
**Filing Date:** 2026-4
**Character Count:** 137364
**Document Hash:** 0dfb45d0a4a62427dfff6897f3cde555
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-041706.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0001410368-26-041706

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GMO TRUST
- **CENTRAL INDEX KEY:** 0000772129

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04347
- **FILM NUMBER:** 26911164

**BUSINESS ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 6173467646

**MAIL ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GMO CORE TRUST
- **DATE OF NAME CHANGE:** 19900927

## Series and Classes Contracts Data

### GMO Emerging Country Debt Fund (Series ID: S000004922)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000013327 | Class III    | GMCDX           |
| C000013328 | Class IV     | GMDFX           |
| C000013330 | Class VI     | GMOQX           |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** GMO TRUST

- **b. Investment Company Act file number:** 811-04347

- **c. CIK number of Registrant:** 0000772129

- **d. LEI of Registrant:** 549300Y2Q6TQD4HU5C66

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 53 State Street, 33rd Floor

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-346-7646

**Item A.2. Information about the Series.**

- **a. Name of Series:** GMO Emerging Country Debt Fund

- **b. EDGAR series identifier (if any):** S000004922

- **c. LEI of Series:** YNMTZW424II1WNE1YT44

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2026-02-28

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $2513707648.90

**Total Liabilities:** $60800294.70

**Net Assets:** $2452907354.20

**Delayed Delivery Securities:** $4459082.00

**Cash Not Reported:** $4085915.41

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** -923.44000000 | **1-Year:** 19740.33000000 | **5-Year:** -51125.28000000 | **10-Year:** -310173.76000000 | **30-Year:** -260734.68000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** -1361.22000000 | **1-Year:** -63274.20000000 | **5-Year:** -208865.95000000 | **10-Year:** -522027.49000000 | **30-Year:** -248678.67000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000013327 | 0.93%                | 3.86%                | 1.54%                |
| Class ID C000013330 | 0.94%                | 3.87%                | 1.54%                |
| Class ID C000013328 | 0.97%                | 3.83%                | 1.54%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-12477125.57            | $23736792.01                               |
| Month 2  | $-5509040.77             | $81704043.99                               |
| Month 3  | $-28737752.16            | $52398561.33                               |

**Designated Index Information**

- **Index Name:** The Fund's Designated Reference Portfolio is the Fund's Securities Portfolio for FUND IZFB

- **Index Identifier:** The Fund's Designated Reference Portfolio is the Fund's Securities Portfolio for FUND IZFB

### Schedule of Portfolio Investments

| Name                                                      | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Morgan Stanley & Co. LLC                                  | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -4309200 | PA      | $-4309200.00  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY                                                   | Hungary Government International Bond                                            | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    18280000 | PA      | $18517640.00  | 0.75%             | 2036-03-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| KINGDOM OF BAHRAIN                                        | Bahrain Government International Bond                                            | CUSIP: 056909AB0<br>LEI: 549300RODM1WN85LFQ95 | Long             | DBT              | NUSS              | BH        |     4800000 | PA      | $4819200.00   | 0.20%             | 2038-02-03      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF TURKIYE                                       | Turkiye Government International Bond                                            | CUSIP: 900123DU1<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     5900000 | PA      | $5876400.00   | 0.24%             | 2038-01-14      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SCENERY JOURNEY LTD                                       | Scenery Journey Ltd                                                              | CUSIP: 000000000<br>LEI: 549300Q2FGQXKG7X0I83 | Long             | DBT              | CORP              | VG        |     1900000 | PA      | $19000.00     | 0.00%             | 2022-11-06      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| EASTERN EUROPEAN ELECT                                    | Eastern European Electric Co BV                                                  | CUSIP: 000000000<br>LEI: 8945004UQXDLRHI1KJ27 | Long             | DBT              | CORP              | NL        |     2500000 | PA      | $3101700.32   | 0.13%             | 2030-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                      | Colombia Government International Bond                                           | CUSIP: 195325AQ8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     2800000 | PA      | $3111638.12   | 0.13%             | 2028-03-09      | Fixed         | 11.85%                | No            |                  3 | On Loan: No      |
| Morgan Stanley & Co. LLC                                  | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -1260707 | PA      | $-1260706.75  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Ghana Government International Bonds                      | Ghana Government International Bonds                                             | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     3617226 | PA      | $3119857.40   | 0.13%             | 2030-01-03      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Colombia Government International Bonds                   | Colombia Government International Bonds                                          | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    39590000 | PA      | $29189707.00  | 1.19%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNQ CEN TUNISIA INT BOND                                  | Tunisian Republic                                                                | CUSIP: 000000000<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |  5411700000 | PA      | $30451966.67  | 1.24%             | 2030-08-02      | Fixed         | 4.30%                 | No            |                  3 | On Loan: No      |
| Ukraine Government International Bonds                    | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    13555124 | PA      | $8227960.27   | 0.34%             | 2035-02-01      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| COMPARTMENT BERNINA                                       | Delphos Securities SARL - Compartment Bernina                                    | CUSIP: 000000000<br>LEI: 2138009URW4RUTSQ7O74 | Long             | DBT              | CORP              | LU        |    17500000 | PA      | $19821407.64  | 0.81%             | 2035-04-08      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| UZBEKNEFTEGAZ                                             | Uzbekneftegaz JSC                                                                | CUSIP: 000000000<br>LEI: 213800LUZJZFLJD4MJ51 | Long             | DBT              | CORP              | UZ        |     5900000 | PA      | $5777398.00   | 0.24%             | 2028-11-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Romania Government International Bonds                    | Romania Government International Bonds                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    34450000 | PA      | $34828950.00  | 1.42%             | 2035-03-24      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA                                                   | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    38880000 | PA      | $31971910.06  | 1.30%             | 2042-04-13      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF TURKIYE                                       | Turkiye Government International Bond                                            | CUSIP: 900123DS6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     6200000 | PA      | $6200000.00   | 0.25%             | 2036-11-04      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                      | Paraguay Government International Bond                                           | CUSIP: 699149CC2<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        | 29020000000 | PA      | $4494801.42   | 0.18%             | 2038-04-04      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | U.S. Treasury Floating Rate Notes                                                | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    36020000 | PA      | $36063296.76  | 1.47%             | 2027-07-31      | Floating      | 3.78%                 | No            |                  1 | On Loan: No      |
| ADANIREN KODSOPAR WARSOM                                  | Adani Renewable Energy RJ Ltd/Kodangal Solar Parks Pvt Ltd/Wardha Solar Maharash | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |     8705250 | PA      | $7377699.38   | 0.30%             | 2039-10-15      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                              | KazMunayGas National Co. JSC                                                     | CUSIP: 000000000<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     2510000 | PA      | $2560350.60   | 0.10%             | 2048-10-24      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| YINSON BERGENIA PRODUCTI                                  | Yinson Bergenia Production BV                                                    | CUSIP: 98585VAA6<br>LEI: 549300JDIAWKPMZD5256 | Long             | DBT              | CORP              | NL        |     2960100 | PA      | $3149176.39   | 0.13%             | 2045-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                          | SWAP/CDSWAP/SCDS: (PANAMA - BOND AND LOAN)                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | BE        |   118200000 | OU      | $-68172.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SENEGAL                                       | Senegal Government International Bond                                            | CUSIP: 000000000<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |     2200000 | PA      | $2060925.67   | 0.08%             | 2028-03-13      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                        | Dominican Republic International Bond                                            | CUSIP: 25714PFF0<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     2690000 | PA      | $2687646.25   | 0.11%             | 2035-10-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GTLK EUROPE CAPITAL DAC                                   | GTLK Europe Capital DAC                                                          | CUSIP: 000000000<br>LEI: 635400I6H6CSZ39WIN49 | Long             | DBT              | CORP              | IE        |     6870000 | PA      | $3435.00      | 0.00%             | 2027-03-10      | Fixed         | 4.65%                 | Yes           |                  3 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                     | Argentine Republic Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  1723445000 | PA      | $195889.92    | 0.01%             | 2035-12-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FIN DEPT GOVT SHARJAH                                     | Finance Department Government of Sharjah                                         | CUSIP: 000000000<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |    12500000 | PA      | $8912000.00   | 0.36%             | 2051-03-10      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya Government International Bonds          | Republic of Kenya Government International Bonds                                 | CUSIP: 000000000<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    27074000 | PA      | $25339639.56  | 1.03%             | 2048-02-28      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Peru Government International Bonds                       | Peru Government International Bonds                                              | CUSIP: 715638DR0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     3010000 | PA      | $1694630.00   | 0.07%             | 2121-07-28      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                       | Petroleos Mexicanos                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    96400000 | PA      | $87752920.00  | 3.58%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                    | Brazilian Government International Bond                                          | CUSIP: 105756CQ1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    26500000 | PA      | $26791500.00  | 1.09%             | 2036-05-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| KYRGYZ REP INTL BOND                                      | Kyrgyz Republic International Bond                                               | CUSIP: 50158LAA6<br>LEI: N/A                  | Long             | DBT              | NUSS              | KG        |     3860000 | PA      | $4031287.50   | 0.16%             | 2030-06-03      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estate Capital Trust             | Morgan Stanley IXIS Real Estate Capital Trust 2006-2                             | CUSIP: 617463AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5582871 | PA      | $1827477.34   | 0.07%             | 2036-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| BRASKEM AMERICA FINANCE                                   | Braskem America Finance Co                                                       | CUSIP: 000000000<br>LEI: 254900QMQAJ26H49CL75 | Long             | DBT              | CORP              | US        |     1657000 | PA      | $643744.50    | 0.03%             | 2041-07-22      | Fixed         | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Turkiye Government International Bonds                    | Turkiye Government International Bonds                                           | CUSIP: 900123CB4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    28600000 | PA      | $21753160.00  | 0.89%             | 2043-04-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PEARL PETROLEUM CO LTD                                    | Pearl Petroleum Co Ltd                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |     9350000 | PA      | $10167564.00  | 0.41%             | 2028-05-15      | Fixed         | 13.00%                | Yes           |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                                       | Braskem Netherlands Finance BV                                                   | CUSIP: 000000000<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |    33912000 | PA      | $13897815.84  | 0.57%             | 2034-10-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                                  | FSWP: OIS 1.400000 17-DEC-2035 THO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   835000000 | OU      | $583013.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                              | Oriental Republic of Uruguay                                                     | CUSIP: 760942BG6<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     1900000 | PA      | $1806254.00   | 0.07%             | 2060-09-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $69610.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                  | FSWP: JPY 1.100000 18-SEP-2034 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  7694000000 | OU      | $2610963.62   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                        | CWHEQ Revolving Home Equity Loan Trust Series 2006-D                             | CUSIP: 126685DT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      295140 | PA      | $287537.92    | 0.01%             | 2036-05-15      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bonds                  | Sri Lanka Government International Bonds                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |    11435771 | PA      | $11412899.46  | 0.47%             | 2038-02-15      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                                   | European Bank for Reconstruction & Development                                   | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | XX        |  3450000000 | PA      | $2522182.01   | 0.10%             | 2026-07-21      | Fixed         | 21.00%                | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                  | FSWP: OIS 4.008500 21-DEC-2027_                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   162500000 | OU      | $2268758.44   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Abu Dhabi Government International Bonds                  | Abu Dhabi Government International Bonds                                         | CUSIP: 000000000<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |     5600000 | PA      | $4006912.00   | 0.16%             | 2049-09-30      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| ECOPETROL SA                                              | Ecopetrol SA                                                                     | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    29940000 | PA      | $22440030.00  | 0.91%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                  | FSWP: GBP 4.600000 17-SEP-2055 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    25800000 | OU      | $-1331906.34  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Costa Rica Government International Bonds                 | Costa Rica Government International Bonds                                        | CUSIP: P3699PGJ0<br>LEI: N/A                  | Long             | DBT              | NUSS              | CR        |    18931000 | PA      | $21206860.21  | 0.86%             | 2045-03-12      | Fixed         | 7.16%                 | Yes           |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                     | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    50406000 | PA      | $53503118.13  | 2.18%             | 2114-03-19      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                                     | Sri Lanka Government International Bond                                          | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     2715484 | PA      | $2704622.06   | 0.11%             | 2036-05-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bonds                    | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    18426157 | PA      | $9028816.93   | 0.37%             | 2034-02-01      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Argentina Bonar Bonds                                     | Argentina Bonar Bonds                                                            | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      353739 | PA      | $300076.02    | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                     | Venezuela Government International Bond                                          | CUSIP: P17625AC1<br>LEI: N/A                  | Long             | DBT              | NUSS              | VE        |    29650000 | PA      | $13727950.00  | 0.56%             | 2022-08-23      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                     | Venezuela Government International Bond                                          | CUSIP: P17625AD9<br>LEI: N/A                  | Long             | DBT              | NUSS              | VE        |    13850000 | PA      | $6354553.13   | 0.26%             | 2031-08-05      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ECUADOR SOCIAL BOND SARL                                  | Ecuador Social Bond Sarl                                                         | CUSIP: 000000000<br>LEI: 5493006P8FVL2JCVBP02 | Long             | DBT              | NUSS              | LU        |     1902395 | PA      | $1422972.47   | 0.06%             | 2035-01-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF ARMENIA                                       | Republic of Armenia International Bond                                           | CUSIP: 000000000<br>LEI: 5299000H77JSW90G7935 | Long             | DBT              | NUSS              | AM        |     4800000 | PA      | $4422000.00   | 0.18%             | 2031-02-02      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| TAJIKISTAN INT BOND                                       | Republic of Tajikistan International Bond                                        | CUSIP: 000000000<br>LEI: 529900W1LSYUF3CYVU10 | Long             | DBT              | NUSS              | TJ        |     1916000 | PA      | $1916613.11   | 0.08%             | 2027-09-14      | Fixed         | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds         | Republic of Poland Government International Bonds                                | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    30000000 | PA      | $31414500.00  | 1.28%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                   | Colombia Government International Bonds                                          | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    43660000 | PA      | $35382500.60  | 1.44%             | 2044-02-26      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                           | State of Israel                                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     8050000 | PA      | $5516584.50   | 0.22%             | 2060-05-13      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                       | Ecuador Government International Bond                                            | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     3192203 | PA      | $2677460.10   | 0.11%             | 2030-07-31      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| UZBEKNEFTEGAZ                                             | Uzbekneftegaz JSC                                                                | CUSIP: 000000000<br>LEI: 213800LUZJZFLJD4MJ51 | Long             | DBT              | CORP              | UZ        |    10590000 | PA      | $11559646.88  | 0.47%             | 2030-05-07      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| ARDSHININVESTBK (DILIJAN                                  | Ardshinbank CJSC Via Dilijan Finance BV                                          | CUSIP: 254032AD7<br>LEI: 549300DCGXFXAP2FEV07 | Long             | DBT              | CORP              | NL        |     3290000 | PA      | $3335237.50   | 0.14%             | 2031-01-22      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                                    | Kazakhstan Government International Bond                                         | CUSIP: 486661BP5<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |     5000000 | PA      | $5156450.00   | 0.21%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TSETSENS MINING & ENERGY                                  | Tsetsens Mining And Energy LLC                                                   | CUSIP: 000000000<br>LEI: 254900OLCXKF6P2T0706 | Long             | DBT              | CORP              | MN        |    21180000 | PA      | $22080150.00  | 0.90%             | 2031-02-05      | Fixed         | 11.38%                | Yes           |                  2 | On Loan: No      |
| Panama Government International Bonds                     | Panama Government International Bonds                                            | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     4600000 | PA      | $3685462.50   | 0.15%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RUSSIAN FEDERATION                                        | Russian Foreign Bond - Eurobond                                                  | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     2600000 | PA      | $1300.00      | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | Yes           |                  3 | On Loan: No      |
| Ukraine Government International Bonds                    | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     7982158 | PA      | $4521892.51   | 0.18%             | 2035-02-01      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                  | Comision Federal de Electricidad                                                 | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     4800000 | PA      | $4150920.00   | 0.17%             | 2049-07-30      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                        | Dominican Republic International Bond                                            | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    60500000 | PA      | $1256353.37   | 0.05%             | 2033-02-03      | Fixed         | 13.63%                | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                     | Argentine Republic Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   246273000 | PA      | $268090.87    | 0.01%             | 2038-12-31      | Variable      | 0.67%                 | No            |                  3 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                     | Guatemala Government Bond                                                        | CUSIP: 401494BA6<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |      830000 | PA      | $880474.38    | 0.04%             | 2036-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $658074.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                    | Asian Development Bank                                                           | CUSIP: 000000000<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | NUSS              | XX        |  1891000000 | PA      | $1387400.52   | 0.06%             | 2026-03-27      | Fixed         | 20.00%                | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-130889.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF CAMEROON                                      | Republic of Cameroon International Bond                                          | CUSIP: 000000000<br>LEI: 54930021BO6NHYGBBV24 | Long             | DBT              | NUSS              | CM        |    20550000 | PA      | $21240333.92  | 0.87%             | 2032-07-07      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                                   | European Bank for Reconstruction & Development                                   | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | XX        |  4325000000 | PA      | $3204970.13   | 0.13%             | 2026-07-31      | Fixed         | 22.50%                | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                    | Uruguay Government International Bonds                                           | CUSIP: 760942BD3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     1718000 | PA      | $1592586.00   | 0.06%             | 2055-04-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH OF BAHAMAS                                   | Bahamas Government International Bond                                            | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |     8270000 | PA      | $9255205.10   | 0.38%             | 2036-06-24      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                     | Argentine Republic Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     7800000 | PA      | $6855863.69   | 0.28%             | 2035-07-09      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-76773.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morocco Government International Bonds                    | Morocco Government International Bonds                                           | CUSIP: 000000000<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |     5700000 | PA      | $4184142.00   | 0.17%             | 2050-12-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                  | Uruguay Government International Bond                                            | CUSIP: 760942BJ0<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   146000000 | PA      | $4004033.01   | 0.16%             | 2035-10-29      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                   | Colombia Government International Bonds                                          | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     8000000 | PA      | $5914400.00   | 0.24%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SCENERY JOURNEY LTD                                       | Scenery Journey Ltd                                                              | CUSIP: 000000000<br>LEI: 549300Q2FGQXKG7X0I83 | Long             | DBT              | CORP              | VG        |     3300000 | PA      | $33000.00     | 0.00%             | 2023-10-24      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Hungary Government International Bonds                    | Hungary Government International Bonds                                           | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    15450000 | PA      | $15650850.00  | 0.64%             | 2036-03-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF BELARUS                                       | Republic of Belarus International Bond                                           | CUSIP: 000000000<br>LEI: 635400CVCOWYLHF4ZB08 | Long             | DBT              | NUSS              | BY        |    13400000 | PA      | $10318000.00  | 0.42%             | 2030-02-28      | Fixed         | 6.20%                 | Yes           |                  3 | On Loan: No      |
| KINGDOM OF JORDAN                                         | Jordan Government International Bond                                             | CUSIP: 418097AP6<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |     3000000 | PA      | $2949000.00   | 0.12%             | 2032-11-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ghana Government International Bonds                      | Ghana Government International Bonds                                             | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    27492000 | PA      | $24875105.25  | 1.01%             | 2035-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Costa Rica Government International Bonds                 | Costa Rica Government International Bonds                                        | CUSIP: 000000000<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     4260000 | PA      | $4727801.25   | 0.19%             | 2044-04-04      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| PA AUTOPISTA RIO MAGDA                                    | PA Autopista Rio Magdalena                                                       | CUSIP: 000000000<br>LEI: 549300DOJDJENE63OG19 | Long             | DBT              | CORP              | CO        | 27866999780 | PA      | $6220312.45   | 0.25%             | 2036-06-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| GABON BLUE BOND MASTER                                    | Gabon Blue Bond Master Trust Series 2                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     1900000 | PA      | $1917746.00   | 0.08%             | 2038-08-01      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| ESKOM HOLDINGS                                            | Eskom Holdings                                                                   | CUSIP: 000000000<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |   150350000 | PA      | $3814988.15   | 0.16%             | 2032-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                               | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-94713.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KINGDOM OF BAHRAIN                                        | Bahrain Government International Bond                                            | CUSIP: 056909AA2<br>LEI: 549300RODM1WN85LFQ95 | Long             | DBT              | NUSS              | BH        |     4870000 | PA      | $4748225.65   | 0.19%             | 2037-10-06      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -253159 | PA      | $-253159.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                                         | Lebanon Government International Bond                                            | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |    13300000 | PA      | $3903550.00   | 0.16%             | 2033-05-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds         | Republic of Poland Government International Bonds                                | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    11700000 | PA      | $11450088.00  | 0.47%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                     | Argentine Republic Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   240236036 | PA      | $261519.07    | 0.01%             | 2033-12-31      | Variable      | 4.33%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-176393.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ISLAMIC REP OF PAKISTAN                                   | Pakistan Government International Bond                                           | CUSIP: 000000000<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |     3010000 | PA      | $2968027.66   | 0.12%             | 2036-03-31      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                                       | Braskem Netherlands Finance BV                                                   | CUSIP: 000000000<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |    11010000 | PA      | $4672644.00   | 0.19%             | 2031-01-12      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-138802.83   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                                   | Philippine Government International Bond                                         | CUSIP: 718286DL8<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     8000000 | PA      | $8288000.00   | 0.34%             | 2051-01-27      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ACWA POWER MGMT INVST                                     | Acwa Power Management And Investments One Ltd                                    | CUSIP: 000000000<br>LEI: 635400M3OWQGQBZOYO38 | Long             | DBT              | CORP              | AE        |     2251137 | PA      | $2310228.99   | 0.09%             | 2039-12-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA                                                   | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     9710000 | PA      | $10350860.00  | 0.42%             | 2036-05-16      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| IVORY COAST                                               | Ivory Coast Government International Bond                                        | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    14450000 | PA      | $15987746.63  | 0.65%             | 2048-03-22      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                     | Argentine Republic Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     2735818 | PA      | $2214231.22   | 0.09%             | 2046-07-09      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Chile Electricity Lux MPC II SARL                         | Chile Electricity Lux Mpc II Sarl                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     4985276 | PA      | $5147296.95   | 0.21%             | 2035-10-20      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Finance Department Government of Sharjah                  | Finance Department Government of Sharjah                                         | CUSIP: 000000000<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |     8300000 | PA      | $5580588.00   | 0.23%             | 2050-07-28      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Nomura International PLC                                  | REPO BANK OF NEW YORK                                                            | CUSIP: 000000000<br>LEI: DGQCSV2PHVF7I2743539 | Long             | RA               | CORP              | US        |     3214363 | PA      | $3214362.82   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                  | Saudi Government International Bond                                              | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    12740000 | PA      | $9184743.75   | 0.37%             | 2055-01-21      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -5763000 | PA      | $-5763000.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL GENERACION CHILE SA                                  | Enel Generacion Chile SA                                                         | CUSIP: 29244TAC5<br>LEI: 549300PVHXUFEIE6LY50 | Long             | DBT              | CORP              | CL        |    15951000 | PA      | $15394310.10  | 0.63%             | 2097-02-01      | Fixed         | 8.13%                 | No            |                  3 | On Loan: No      |
| DEM REP OF SUDAN TRANCHE B                                | Republic of Sudan                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | SD        |     5155077 | PA      | $150860.69    | 0.01%             | 2059-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Argentina Republic Government International Bonds         | Argentina Republic Government International Bonds                                | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    56055386 | PA      | $39862386.63  | 1.63%             | 2046-07-09      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                        | CWHEQ Revolving Home Equity Loan Trust Series 2005-F                             | CUSIP: 126685AK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      320226 | PA      | $313030.22    | 0.01%             | 2035-12-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bonds                  | Sri Lanka Government International Bonds                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     8235292 | PA      | $6728233.56   | 0.27%             | 2035-06-15      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                      | Colombia Government International Bond                                           | CUSIP: 195325AL9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      992000 | PA      | $1015116.10   | 0.04%             | 2027-02-15      | Fixed         | 8.38%                 | No            |                  3 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                  | Petroleos de Venezuela SA                                                        | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     9300000 | PA      | $2647803.00   | 0.11%             | 2022-10-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                  | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -7980188 | PA      | $-7980187.50  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ZA        |           1 | NC      | $10197.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                              | Peru LNG Srl                                                                     | CUSIP: 000000000<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |     8510635 | PA      | $8270975.13   | 0.34%             | 2030-03-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                  | Saudi Government International Bond                                              | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     8900000 | PA      | $7745225.00   | 0.32%             | 2047-10-04      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                    | Egypt Government International Bond                                              | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     3030000 | PA      | $2943826.80   | 0.12%             | 2049-03-01      | Fixed         | 8.70%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                          | SWAP/CDSWAP/SCDS: (PANAMA)                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | BE        |   118200000 | OU      | $-1238409.10  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| TELEKOM SRBIJA A.D. BEOGRAD                               | TELEKOM SRBIJA A.D. BEOGRAD                                                      | CUSIP: 000000000<br>LEI: 254900OVY0XI1DFYC092 | Long             | DBT              | NUSS              | RS        |    12400000 | PA      | $14578582.32  | 0.59%             | 2029-06-13      | Variable      | 8.42%                 | No            |                  3 | On Loan: No      |
| Republic of South Africa Government International Bonds   | Republic of South Africa Government International Bonds                          | CUSIP: 836205BB9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    49420000 | PA      | $41574575.00  | 1.69%             | 2049-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -5629418 | PA      | $-5629417.77  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| ADANI GREEN ENERGY UP                                     | Adani Green Energy UP Ltd / Prayatna Developers Pvt Ltd / Parampujya Solar Energ | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    16057116 | PA      | $15575402.52  | 0.63%             | 2042-03-12      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Nigeria Government International Bonds                    | Nigeria Government International Bonds                                           | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    22150000 | PA      | $22028175.00  | 0.90%             | 2051-09-28      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                     | Guatemala Government Bond                                                        | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     4860000 | PA      | $5276137.50   | 0.22%             | 2036-06-13      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                                  | FSWP: EUR 2.800000 17-DEC-2055 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    38300000 | OU      | $1537022.47   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Ukraine Government International Bonds                    | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    14953917 | PA      | $8972350.20   | 0.37%             | 2036-02-01      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| EGMV13925 TURKISH HOSPITALS                               | EGMV13925 TURKISH HOSPITALS                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | TR        |     7392857 | PA      | $8560692.26   | 0.35%             | 2028-06-23      | Fixed         | 8.85%                 | No            |                  3 | On Loan: No      |
| Ecuador Government International Bonds                    | Ecuador Government International Bonds                                           | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    41185988 | PA      | $37386580.61  | 1.52%             | 2035-07-31      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic International Bonds                    | Dominican Republic International Bonds                                           | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      700000 | PA      | $639800.00    | 0.03%             | 2041-01-21      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                    | Egypt Government International Bond                                              | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    26564000 | PA      | $24105236.16  | 0.98%             | 2059-11-20      | Fixed         | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Peru Government International Bonds                       | Peru Government International Bonds                                              | CUSIP: 715638DW9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     2200000 | PA      | $1437260.00   | 0.06%             | 2072-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ISLAMIC REP OF PAKISTAN                                   | Pakistan Government International Bond                                           | CUSIP: 000000000<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |     6130000 | PA      | $6038908.20   | 0.25%             | 2051-04-08      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Ecuador Government International Bonds                    | Ecuador Government International Bonds                                           | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    20281750 | PA      | $16570189.75  | 0.68%             | 2040-07-31      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF GABON                                         | Gabon Government International Bond                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | GA        |     2100000 | PA      | $1735776.00   | 0.07%             | 2031-02-06      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF MOZAMBIQUE                                    | Mozambique International Bond                                                    | CUSIP: 000000000<br>LEI: 213800759WLKYIKPER73 | Long             | DBT              | NUSS              | MZ        |     9076000 | PA      | $7682834.00   | 0.31%             | 2031-09-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                         | Republic of Kenya Government International Bond                                  | CUSIP: 491798AS3<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    10100000 | PA      | $9858500.92   | 0.40%             | 2039-02-26      | Fixed         | 8.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -1262214 | PA      | $-1262214.37  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Dominican Republic International Bonds                    | Dominican Republic International Bonds                                           | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    32554000 | PA      | $29363708.00  | 1.20%             | 2060-01-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Sri Lanka Government International Bonds                  | Sri Lanka Government International Bonds                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |    10401276 | PA      | $9712191.47   | 0.40%             | 2033-03-15      | Variable      | 3.35%                 | Yes           |                  2 | On Loan: No      |
| NPC UKRENERGO                                             | NPC Ukrenergo                                                                    | CUSIP: 000000000<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |     5000000 | PA      | $4655386.00   | 0.19%             | 2028-11-09      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                      | Colombia Government International Bond                                           | CUSIP: 195325EV3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     1500000 | PA      | $1491000.00   | 0.06%             | 2033-01-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                                        | Serbia International Bond                                                        | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     9000000 | PA      | $9476224.20   | 0.39%             | 2034-06-12      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF CONGO                                         | Congolese International Bond                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | SN               | NUSS              | CG        |    22052198 | PA      | $20628508.10  | 0.84%             | 2029-06-30      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| Bolivia Government International Bonds                    | Bolivia Government International Bonds                                           | CUSIP: 000000000<br>LEI: 529900TGIRPY3SZXEB56 | Long             | DBT              | NUSS              | BO        |     7600000 | PA      | $7277000.00   | 0.30%             | 2028-03-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| El Salvador Government International Bonds                | El Salvador Government International Bonds                                       | CUSIP: 000000000<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |    18420000 | PA      | $16762200.00  | 0.68%             | 2050-01-20      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| PAKISTAN WATER & POWER                                    | Pakistan Water & Power Development Authority                                     | CUSIP: 000000000<br>LEI: 213800UA74QOTK6IES10 | Long             | DBT              | NUSS              | PK        |     1946000 | PA      | $1877890.00   | 0.08%             | 2031-06-04      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds         | Republic of Poland Government International Bonds                                | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    33900000 | PA      | $35222100.00  | 1.44%             | 2034-09-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                                         | Lebanon Government International Bond                                            | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |    45005000 | PA      | $13186465.00  | 0.54%             | 2031-11-20      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                       | Suzano Austria GmbH                                                              | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Short            | DBT              | CORP              | AT        |    -3400000 | PA      | $-3258074.14  | -0.13%            | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                    | Brazilian Government International Bond                                          | CUSIP: 105756CN8<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    26500000 | PA      | $26924000.00  | 1.10%             | 2056-01-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Saudi Government International Bonds                      | Saudi Government International Bonds                                             | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    28600000 | PA      | $18675800.00  | 0.76%             | 2061-02-02      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estate Capital Trust             | Morgan Stanley IXIS Real Estate Capital Trust 2006-2                             | CUSIP: 617463AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5533024 | PA      | $1811198.19   | 0.07%             | 2036-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                               | SWAP/CDSWAP/SCDS: (EGYPT)                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     2300000 | OU      | $41084.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN FEDERATION                                        | Russian Foreign Bond - Eurobond                                                  | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     3800000 | PA      | $1900.00      | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | Yes           |                  3 | On Loan: No      |
| KINETICS LNG HOLDINGS LT                                  | Kinetics LNG Holdings Ltd                                                        | CUSIP: 000000000<br>LEI: 25490021IVBADCMVD229 | Long             | DBT              | CORP              | IM        |    13375000 | PA      | $13569199.38  | 0.55%             | 2029-11-13      | Fixed         | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Hungary Government International Bonds                    | Hungary Government International Bonds                                           | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    18900000 | PA      | $11973433.50  | 0.49%             | 2051-09-21      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-13391.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                  | FSWP: EUR 2.900000 18-MAR-2036 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    34400000 | OU      | $-810413.80   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF MONTENEGRO                                    | Montenegro Government International Bond                                         | CUSIP: 000000000<br>LEI: 747800V014106FYLL014 | Long             | DBT              | NUSS              | ME        |     1200000 | PA      | $1285128.00   | 0.05%             | 2031-03-12      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| THREELANDS LTD SA RL                                      | Threelands Energy Ltd Sarl                                                       | CUSIP: 88580LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     8210000 | PA      | $8548662.50   | 0.35%             | 2035-10-20      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Argentina Republic Government International Bonds         | Argentina Republic Government International Bonds                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     9276115 | PA      | $7867305.00   | 0.32%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| BARBADOS GOVT OF                                          | Barbados Government International Bond                                           | CUSIP: 067070AK8<br>LEI: 529900UD1KUUS4SFD905 | Long             | DBT              | NUSS              | BB        |    14900000 | PA      | $15972800.00  | 0.65%             | 2035-06-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $17119.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | SWAP/CDSWAP/SCDS: (SOAF)                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    34300000 | OU      | $-237913.15   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SADEREA                                                   | Saderea DAC                                                                      | CUSIP: 000000000<br>LEI: 635400IPZLZJ55ANED20 | Long             | SN               | CORP              | IE        |     6469920 | PA      | $6793415.54   | 0.28%             | 2026-11-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                       | Petroleos Mexicanos                                                              | CUSIP: 71656MAF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     4700000 | PA      | $3555550.00   | 0.14%             | 2026-03-29      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA                                                   | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    12460000 | PA      | $9001976.20   | 0.37%             | 2051-02-14      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| UZBEKISTAN INTL BOND                                      | Republic of Uzbekistan International Bond                                        | CUSIP: 000000000<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |      600000 | PA      | $653280.00    | 0.03%             | 2032-05-25      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| CHINA EVERGRANDE GROUP                                    | China Evergrande Group                                                           | CUSIP: 000000000<br>LEI: 549300CUF7B1LAB15T90 | Long             | DBT              | CORP              | KY        |    13000000 | PA      | $130000.00    | 0.01%             | 2024-01-22      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Brazil Government International Bonds                     | Brazil Government International Bonds                                            | CUSIP: 105756CB4<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     5650000 | PA      | $4243150.00   | 0.17%             | 2050-01-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GABON                                         | Gabon Government International Bond                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | GA        |     9600000 | PA      | $7832448.00   | 0.32%             | 2031-11-24      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Egypt Government International Bonds                      | Egypt Government International Bonds                                             | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    16200000 | PA      | $15739272.00  | 0.64%             | 2049-03-01      | Fixed         | 8.70%                 | Yes           |                  2 | On Loan: No      |
| COSTA RICA GOVERNMENT                                     | Costa Rica Government International Bond                                         | CUSIP: 000000000<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    18750000 | PA      | $23143336.96  | 0.94%             | 2036-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bahrain Government International Bonds                    | Bahrain Government International Bonds                                           | CUSIP: 000000000<br>LEI: 549300RODM1WN85LFQ95 | Long             | DBT              | NUSS              | BH        |    37296000 | PA      | $32298708.96  | 1.32%             | 2044-09-19      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTIO                                  | Yinson Boronia Production BV                                                     | CUSIP: 000000000<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |     6295061 | PA      | $6923874.42   | 0.28%             | 2042-07-31      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| RUSSIAN FEDERATION                                        | Russian Foreign Bond - Eurobond                                                  | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    20000000 | PA      | $10000.00     | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | Yes           |                  3 | On Loan: No      |
| SOCIALIST REP OF VIETNAM                                  | Vietnam Government International Bond                                            | CUSIP: 000000000<br>LEI: 5493008AE7RS4XK4BZ08 | Long             | DBT              | NUSS              | VN        |     7318000 | PA      | $7391180.00   | 0.30%             | 2028-03-13      | Floating      | 5.49%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs & Co. LLC                                   | SWAP/CDSWAP/CDS: (MEX)_                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    14700000 | OU      | $10991.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCENERY JOURNEY LTD                                       | Scenery Journey Ltd                                                              | CUSIP: 000000000<br>LEI: 549300Q2FGQXKG7X0I83 | Long             | DBT              | CORP              | VG        |     5500000 | PA      | $55000.00     | 0.00%             | 2022-10-24      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Zambia Government International Bonds                     | Zambia Government International Bonds                                            | CUSIP: 000000000<br>LEI: 213800DMLAZ6LGMMD849 | Long             | DBT              | NUSS              | ZM        |     4540219 | PA      | $4415362.91   | 0.18%             | 2033-06-30      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-1684976.77  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| TUNISIAN REPUBLIC                                         | Tunisian Republic                                                                | CUSIP: 000000000<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |   730000000 | PA      | $3885713.83   | 0.16%             | 2033-02-03      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL REP OF ETHIOPIA                                   | Ethiopia International Bond                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | ET        |     2690000 | PA      | $2784150.00   | 0.11%             | 2024-12-11      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |           1 | NC      | $11524.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANGKO PILIPINAS BOND                                     | Bangko Sentral ng Pilipinas International Bond                                   | CUSIP: 059891AB7<br>LEI: 4IDQTQC5NXVM3WSFHR30 | Long             | DBT              | NUSS              | PH        |     3500000 | PA      | $5035073.19   | 0.21%             | 2097-06-15      | Fixed         | 8.60%                 | No            |                  3 | On Loan: No      |
| Ghana Government International Bonds                      | Ghana Government International Bonds                                             | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      632000 | PA      | $621730.00    | 0.03%             | 2026-07-03      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| KINGDOM OF BAHRAIN                                        | Bahrain Government International Bond                                            | CUSIP: 000000000<br>LEI: 549300RODM1WN85LFQ95 | Long             | DBT              | NUSS              | BH        |    17350000 | PA      | $15197559.00  | 0.62%             | 2051-01-25      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                     | Mexico Government International Bond                                             | CUSIP: 91087BBS8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4000000 | PA      | $4060000.00   | 0.17%             | 2056-02-09      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Argentina Republic Government International Bonds         | Argentina Republic Government International Bonds                                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      722000 | PA      | $506122.00    | 0.02%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | SWAP/CDSWAP/SCDS: (EGYPT)                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     2500000 | OU      | $44656.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PORT OF SPAIN WATERFRONT                                  | Port Of Spain Waterfront Development                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | TT        |    19628000 | PA      | $19946955.14  | 0.81%             | 2040-02-19      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                       | SWAP/CDSWAP/SCDS: (BRAZIL)                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    12700000 | OU      | $-74997.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                     | Venezuela Government International Bond                                          | CUSIP: P17625AA5<br>LEI: N/A                  | Long             | DBT              | NUSS              | VE        |    56743000 | PA      | $22753943.00  | 0.93%             | 2023-05-07      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                  | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -3115766 | PA      | $-3115765.80  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| RIO SMART LIGHTING SARL                                   | Rio Smart Lighting Sarl                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    41418104 | PA      | $7788714.40   | 0.32%             | 2032-09-20      | Fixed         | 12.25%                | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                                  | SWP: OIS 4.000000 17-SEP-2035 SOF                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    87800000 | OU      | $3500884.10   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                  | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -4173750 | PA      | $-4173750.00  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF LATVIA                                        | Latvia Government International Bond                                             | CUSIP: 000000000<br>LEI: 25490002QDEB2KTLNK39 | Long             | DBT              | NUSS              | LV        |     6850000 | PA      | $7083037.00   | 0.29%             | 2034-07-30      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| ZORLU ENERJI ELEKTRIK                                     | Zorlu Enerji Elektrik Uretim AS                                                  | CUSIP: 000000000<br>LEI: 7890005B5CSNL39OYO75 | Long             | DBT              | CORP              | TR        |    42350000 | PA      | $38069473.75  | 1.55%             | 2030-04-23      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                       | SWAP/CDSWAP/SCDS: (MEX)                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    29400000 | OU      | $-363420.86   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Guatemala Government Bonds                                | Guatemala Government Bonds                                                       | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    20810000 | PA      | $20864106.00  | 0.85%             | 2050-06-01      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                               | SWP: OIS 13.300000 02-JAN-2031 BZD                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   266263658 | OU      | $967770.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | LU        |    -2643273 | PA      | $-3123291.70  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-11073.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                | Philippines Government International Bonds                                       | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     9400000 | PA      | $6833800.00   | 0.28%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                            | WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust                        | CUSIP: 92926SAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2843601 | PA      | $1035564.04   | 0.04%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| JSCB AGROBANK                                             | Jscb Agrobank                                                                    | CUSIP: 000000000<br>LEI: 254900JPMU0LFCP18673 | Long             | DBT              | CORP              | UZ        |     3300000 | PA      | $3620925.00   | 0.15%             | 2029-10-02      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| UKRAINE RAIL (RAIL CAPL)                                  | Ukraine Railways Via Rail Capital Markets PLC                                    | CUSIP: 000000000<br>LEI: 213800IW9C7PR3HKI783 | Long             | DBT              | CORP              | GB        |      211141 | PA      | $163634.28    | 0.01%             | 2028-07-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                  | Petroleos de Venezuela SA                                                        | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     9800000 | PA      | $3655400.00   | 0.15%             | 2021-11-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                     | Argentine Republic Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    11268000 | PA      | $9053703.73   | 0.37%             | 2041-07-09      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Turkiye Government International Bonds                    | Turkiye Government International Bonds                                           | CUSIP: 900123CM0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    50713000 | PA      | $41445199.25  | 1.69%             | 2047-05-11      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                   | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     2000000 | PA      | $1601469.91   | 0.07%             | 2050-01-28      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -358875 | PA      | $-358875.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICIDAD DE CARACAS                                   | CA La Electricidad de Caracas                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | VE        |   101165000 | PA      | $27836561.40  | 1.13%             | 2018-04-10      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                  | Saudi Government International Bond                                              | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      500000 | PA      | $448750.00    | 0.02%             | 2053-01-18      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Angola Government International Bonds                     | Angola Government International Bonds                                            | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     8520000 | PA      | $7538130.49   | 0.31%             | 2049-11-26      | Fixed         | 9.13%                 | Yes           |                  2 | On Loan: No      |
| LIRAQUEAR 12/27 FIXED 4.5                                 | LIRAQUEAR                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      224413 | PA      | $249601.29    | 0.01%             | 2027-12-30      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| REPUBLIC OF UZBEKISTAN                                    | Republic of Uzbekistan International Bond                                        | CUSIP: 000000000<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |     5200000 | PA      | $4900168.00   | 0.20%             | 2030-11-25      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| DEM REP OF SUDAN TRANCHE A                                | Republic of Sudan                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | SD        |    11833578 | PA      | $384781.75    | 0.02%             | 2059-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Jordan Government International Bonds                     | Jordan Government International Bonds                                            | CUSIP: 000000000<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |    21455000 | PA      | $21197540.00  | 0.86%             | 2047-10-10      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| SCENERY JOURNEY LTD                                       | Scenery Journey Ltd                                                              | CUSIP: 000000000<br>LEI: 549300Q2FGQXKG7X0I83 | Long             | DBT              | CORP              | VG        |     3700000 | PA      | $37000.00     | 0.00%             | 2023-11-06      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                  | Petroleos de Venezuela SA                                                        | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    71670000 | PA      | $27306270.00  | 1.11%             | 2035-05-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| HUNGARY                                                   | Hungary Government International Bond                                            | CUSIP: 445545AX4<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     8250000 | PA      | $8827500.00   | 0.36%             | 2055-09-23      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                  | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -1480050 | PA      | $-1480050.00  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LLPL CAPITAL PTE LTD                                      | LLPL Capital Pte Ltd                                                             | CUSIP: 000000000<br>LEI: 254900VXZ8FXTUQNON22 | Long             | DBT              | CORP              | SG        |     2695200 | PA      | $2803008.00   | 0.11%             | 2039-02-04      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | SWAP/CDSWAP/SCDS: (REPSOU)                                                       | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    21500000 | OU      | $342376.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                       | Nigeria Government International Bond                                            | CUSIP: 65412AFG2<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     4400000 | PA      | $4787200.00   | 0.20%             | 2046-01-13      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | KR        |           1 | NC      | $14889.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                  | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -408854 | PA      | $-408854.02   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                        | Dominican Republic International Bond                                            | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   230000000 | PA      | $4328397.06   | 0.18%             | 2036-06-01      | Fixed         | 10.75%                | Yes           |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                  | Uruguay Government International Bond                                            | CUSIP: 760942BF8<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    85300000 | PA      | $2529830.97   | 0.10%             | 2033-07-20      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                                         | Lebanon Government International Bond                                            | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |     5047000 | PA      | $1471200.50   | 0.06%             | 2028-03-20      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHINA EVERGRANDE GROUP                                    | China Evergrande Group                                                           | CUSIP: 000000000<br>LEI: 549300CUF7B1LAB15T90 | Long             | DBT              | CORP              | KY        |    10200000 | PA      | $102000.00    | 0.00%             | 2023-01-22      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ENFRAGEN ENERGIA SUR SAU                                  | EnfraGen Energia Sur SAU/ EnfraGen Chile SpA/ EnfraGen Spain SAU                 | CUSIP: 29281MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |     8690000 | PA      | $9059846.40   | 0.37%             | 2032-06-30      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LAOS GOVERNMENT INTL BON                                  | Laos Government International Bond                                               | CUSIP: 51656QAD4<br>LEI: N/A                  | Long             | DBT              | NUSS              | LA        |     5800000 | PA      | $6162500.00   | 0.25%             | 2030-11-12      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Oman Government International Bonds                       | Oman Government International Bonds                                              | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    20710000 | PA      | $22814550.20  | 0.93%             | 2048-01-17      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Government of Grenada                                     | Grenada Government International Bond                                            | CUSIP: P48863AE7<br>LEI: N/A                  | Long             | DBT              | NUSS              | GD        |     3274814 | PA      | $3156986.18   | 0.13%             | 2030-05-12      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| EMPRESAS PUBLIC MEDELLIN                                  | Empresas Publicas de Medellin ESP                                                | CUSIP: 000000000<br>LEI: 549300SU25TO8EMXB434 | Long             | DBT              | CORP              | CO        | 18236000000 | PA      | $4443323.88   | 0.18%             | 2027-11-08      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                       | SWAP/CDSWAP/SCDS: (TURKEY)                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     1600000 | OU      | $14190.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT INT'L                                      | Abu Dhabi Government International Bond                                          | CUSIP: 000000000<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |     5100000 | PA      | $3649152.00   | 0.15%             | 2049-09-30      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF KAZA                                  | Development Bank of Kazakhstan JSC                                               | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | NUSS              | KZ        |  1919000000 | PA      | $3949213.46   | 0.16%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| REPUBLIC OF ALBANIA                                       | Albania Government International Bond                                            | CUSIP: 000000000<br>LEI: 254900EDM43U3SGRND29 | Long             | DBT              | NUSS              | AL        |     2610000 | PA      | $3161075.73   | 0.13%             | 2035-02-14      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                             | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |           1 | NC      | $4006.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GTLK EUROPE CAPITAL DAC                                   | GTLK Europe Capital DAC                                                          | CUSIP: 000000000<br>LEI: 635400I6H6CSZ39WIN49 | Long             | DBT              | CORP              | IE        |     5200000 | PA      | $2600.00      | 0.00%             | 2028-02-26      | Fixed         | 4.80%                 | Yes           |                  3 | On Loan: No      |
| REPUBLIC OF RWANDA                                        | Rwanda International Government Bond                                             | CUSIP: 000000000<br>LEI: 213800DQC28OBRZDYJ87 | Long             | DBT              | NUSS              | RW        |     2440000 | PA      | $2288256.40   | 0.09%             | 2031-08-09      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                  | Petroleos de Venezuela SA                                                        | CUSIP: P7807HAT2<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    85620000 | PA      | $27184350.00  | 1.11%             | 2024-05-16      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| UZBEK INDUSTRIAL AND CON                                  | Uzbek Industrial and Construction Bank ATB                                       | CUSIP: 000000000<br>LEI: 213800C2NIFPFTXYIU69 | Long             | DBT              | CORP              | UZ        |     5100000 | PA      | $5574300.00   | 0.23%             | 2029-07-24      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | SWAP/CDSWAP/SCDS: (EGYPT)                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     2500000 | OU      | $44656.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REP OF ANGOLA(AVENIR IS)                                  | Republic of Angola Via Avenir Issuer II Ireland DAC                              | CUSIP: 000000000<br>LEI: 635400VEZIQKZPR7KU35 | Long             | DBT              | NUSS              | IE        |     1757143 | PA      | $1736619.43   | 0.07%             | 2027-02-19      | Fixed         | 6.93%                 | Yes           |                  3 | On Loan: No      |
| Sri Lanka Government International Bonds                  | Sri Lanka Government International Bonds                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     1822885 | PA      | $1817416.35   | 0.07%             | 2030-01-15      | Variable      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| CHINA EVERGRANDE GROUP                                    | China Evergrande Group                                                           | CUSIP: 000000000<br>LEI: 549300CUF7B1LAB15T90 | Long             | DBT              | CORP              | KY        |     6800000 | PA      | $68000.00     | 0.00%             | 2024-04-11      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                                         | Lebanon Government International Bond                                            | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |    51714000 | PA      | $15178059.00  | 0.62%             | 2034-05-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PE        |           1 | NC      | $-9009.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA                                     | Petroleos del Peru SA                                                            | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |    63145000 | PA      | $40391753.77  | 1.65%             | 2047-06-19      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Bona Fide Investment Holdings II LLC                      | Bona Fide Investment Holdings II LLC                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             |  | PF                | US        |     9300000 | NS      | $15843070.80  | 0.65%             |  |  |  | Yes           |                  3 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $259552.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                       | Ecuador Government International Bond                                            | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     4700000 | PA      | $4742300.00   | 0.19%             | 2034-01-29      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | TRSWAP: JPEMXCUS INDEX                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    63800000 | OU      | $916088.63    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSNET/SOUTH AFRICA                                     | Transnet/South Africa                                                            | CUSIP: 000000000<br>LEI: 378900B07CD6F01EA796 | Long             | DBT              | CORP              | ZA        |    20200000 | PA      | $1346085.25   | 0.05%             | 2028-04-18      | Fixed         | 13.50%                | Yes           |                  2 | On Loan: No      |
| United States Treasury                                    | U.S. Treasury Notes                                                              | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8300000 | PA      | $8364195.35   | 0.34%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| NORTH MACEDONIA                                           | North Macedonia Government International Bond                                    | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |     3200000 | PA      | $3756921.22   | 0.15%             | 2034-01-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARMENIA                                       | Republic of Armenia International Bond                                           | CUSIP: 000000000<br>LEI: 5299000H77JSW90G7935 | Long             | DBT              | NUSS              | AM        |     7200000 | PA      | $7627536.00   | 0.31%             | 2035-03-12      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                           | SWAP/CDSWAP/ICE: (CDX.EM.44.V1)                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    80600000 | OU      | $1047182.06   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                  | Petroleos de Venezuela SA                                                        | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      797000 | PA      | $253047.50    | 0.01%             | 2026-11-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Chile Government International Bonds                      | Chile Government International Bonds                                             | CUSIP: 168863DS4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     2400000 | PA      | $1891800.00   | 0.08%             | 2041-05-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bonds                    | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     5818464 | PA      | $3284522.93   | 0.13%             | 2036-02-01      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| State Street Global Advisors                              | State Street Institutional Treasury Money Market Fund                            | CUSIP: 857492870<br>LEI: 549300Q3FHSMZ70NLT76 | Long             | STIV             | RF                | US        |     4785230 | NS      | $4785229.71   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| TELECOM OF TRIN & TOBAGO                                  | Telecommunications Services of Trinidad & Tobago Ltd                             | CUSIP: 000000000<br>LEI: 5299007N4G3EZWXAMB76 | Long             | DBT              | CORP              | TT        |     5822000 | PA      | $5940652.36   | 0.24%             | 2029-10-18      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF GABON                                         | Gabon Government International Bond                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | GA        |     3700000 | PA      | $3058272.00   | 0.12%             | 2031-02-06      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                                    | U.S. Treasury Bonds                                                              | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15000000 | PA      | $14054296.80  | 0.57%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-345151.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                        | SWAP/CDSWAP/SCDS: (ISRAEL)                                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |     9500000 | OU      | $-108992.49   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Serbia International Bonds                                | Serbia International Bonds                                                       | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     9500000 | PA      | $10002681.10  | 0.41%             | 2034-06-12      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | SWAP/CDSWAP/SCDS: (COLOM)                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    45300000 | OU      | $-98089.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                  | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -2222789 | PA      | $-2222789.40  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Ghana Government International Bonds                      | Ghana Government International Bonds                                             | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     4959500 | PA      | $4855350.50   | 0.20%             | 2029-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Angola Government International Bonds                     | Angola Government International Bonds                                            | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     5180000 | PA      | $4668475.00   | 0.19%             | 2048-05-08      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| Ukraine Government International Bonds                    | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     2211014 | PA      | $1419470.99   | 0.06%             | 2030-02-01      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SENEGAL                                       | Senegal Government International Bond                                            | CUSIP: 000000000<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |    17450000 | PA      | $9826618.50   | 0.40%             | 2048-03-13      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| DEVELOPMENT BANK BELARUS                                  | Development Bank of the Republic of Belarus JSC                                  | CUSIP: 000000000<br>LEI: 253400D4JRB0M70A0687 | Long             | DBT              | NUSS              | BY        |     7504000 | PA      | $4277280.00   | 0.17%             | 2024-05-02      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Saudi Government International Bonds                      | Saudi Government International Bonds                                             | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     7900000 | PA      | $7090250.00   | 0.29%             | 2053-01-18      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| ISRAEL ELECTRIC CORP LTD                                  | Israel Electric Corp Ltd                                                         | CUSIP: M60170AC7<br>LEI: 254900JW7GE35YNJGJ55 | Long             | DBT              | CORP              | IL        |    13983000 | PA      | $18266971.71  | 0.74%             | 2096-12-15      | Fixed         | 8.10%                 | Yes           |                  2 | On Loan: No      |
| Nomura Securities International, Inc.                     | NOMURA REPO                                                                      | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Long             | RA               | CORP              | US        |    49999339 | PA      | $49999339.47  | 2.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINIDAD & TOBAGO                                         | Trinidad & Tobago Government International Bond                                  | CUSIP: 896292AN9<br>LEI: N/A                  | Long             | DBT              | NUSS              | TT        |     8000000 | PA      | $8094000.00   | 0.33%             | 2036-01-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GTLK EUROPE CAPITAL DAC                                   | GTLK Europe Capital DAC                                                          | CUSIP: 000000000<br>LEI: 635400I6H6CSZ39WIN49 | Long             | DBT              | CORP              | IE        |     6800000 | PA      | $3400.00      | 0.00%             | 2029-02-27      | Fixed         | 4.35%                 | Yes           |                  3 | On Loan: No      |
| Barclays Bank PLC                                         | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |           1 | NC      | $180827.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CEZ AS                                                    | CEZ AS                                                                           | CUSIP: 000000000<br>LEI: 529900S5R9YHJHYKKG94 | Long             | DBT              | CORP              | CZ        |     4058000 | PA      | $3920641.57   | 0.16%             | 2042-04-03      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                     | Argentine Republic Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    12360000 | PA      | $11318547.58  | 0.46%             | 2038-01-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                        | Dominican Republic International Bond                                            | CUSIP: 25714PFH6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    14720000 | PA      | $14778880.00  | 0.60%             | 2038-05-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bonds                    | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     4022412 | PA      | $2497917.85   | 0.10%             | 2034-02-01      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                        | Ukraine Government International Bond                                            | CUSIP: 903724CH3<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    14265640 | PA      | $11055871.00  | 0.45%             | 2032-02-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                       | SWAP/CDSWAP/SCDS: (BHRAIN)                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     5400000 | OU      | $53006.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNQ CEN TUNISIA INT BOND                                  | Tunisian Republic                                                                | CUSIP: 000000000<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |   190000000 | PA      | $1076745.75   | 0.04%             | 2031-03-17      | Fixed         | 4.20%                 | No            |                  3 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                     | Argentine Republic Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   198089675 | PA      | $23563100.55  | 0.96%             | 2035-12-15      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | SWAP/CDSWAP/SCDS: (ISRAEL)                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     3800000 | OU      | $-43596.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN FTO EURO NON-PERFORMIN G LOAN PARTICIPATION W/GML | RUSSIAN FTO EURO NON-PERFORMIN                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | RU        |    76893500 | PA      | $2.73         | 0.00%             | 2050-01-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| POLARIS RENEWABLE ENERGY                                  | Polaris Renewable Energy Inc                                                     | CUSIP: 000000000<br>LEI: 254900IRAKXV4MM4QF30 | Long             | DBT              | CORP              | CA        |     3375000 | PA      | $3528562.50   | 0.14%             | 2029-12-03      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| NCB FINANCIAL GROUP                                       | NCB Financial Group Ltd                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | JM        |    21100000 | PA      | $21850105.00  | 0.89%             | 2030-07-31      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                        | Panama Government International Bond                                             | CUSIP: 698299AT1<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     2679000 | PA      | $3198726.00   | 0.13%             | 2034-04-28      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bonds                      | Egypt Government International Bonds                                             | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    18970000 | PA      | $18116350.00  | 0.74%             | 2047-01-31      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Jamaica Government International Bonds                    | Jamaica Government International Bonds                                           | CUSIP: 470160CB6<br>LEI: N/A                  | Long             | DBT              | NUSS              | JM        |      505000 | PA      | $610292.50    | 0.02%             | 2045-07-28      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-22477.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-26

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer