# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001410368-25-019479
**Filing Date:** 2025-10
**Character Count:** 148842
**Document Hash:** 1959666b2caa7205760add611503c0a0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-019479.hdr.sgml**: 20251029

**ACCESSION NUMBER**: 0001410368-25-019479

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251029

**DATE AS OF CHANGE**: 20251029

**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:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04347
- **FILM NUMBER:** 251428507

**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:** 2025-08-31

**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:** $2522319405.45

**Total Liabilities:** $105027905.27

**Net Assets:** $2417291500.18

**Cash Not Reported:** $8173229.81

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1145.62000000 | **1-Year:** -18623.54000000 | **5-Year:** -75650.71000000 | **10-Year:** -332835.87000000 | **30-Year:** -268671.26000000

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

- **3-Month:** -3653.21000000 | **1-Year:** -52418.91000000 | **5-Year:** -167093.36000000 | **10-Year:** -481134.73000000 | **30-Year:** -246979.18000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000013327 | 3.46%                | 2.35%                | 1.96%                |
| Class ID C000013330 | 3.42%                | 2.34%                | 2.02%                |
| Class ID C000013328 | 3.42%                | 2.38%                | 1.97%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-967002.76              | $69474753.37                               |
| Month 2  | $-1042079.63             | $30927171.66                               |
| Month 3  | $2438490.94              | $36553634.92                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Barclays Bank PLC                                         | REVERSE REPO BANK OF NEW YORK                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | Short            | RA               | CORP              | US        |    -2402416 | PA      | $-2402416.25  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY                                                   | Hungary Government International Bond                                            | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    17300000 | PA      | $17005381.00  | 0.70%             | 2036-03-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                                  | FSWP: OIS 4.100000 17-SEP-2040 SOF                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12000000 | OU      | $-191274.98   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Scenery Journey Ltd                                       | Scenery Journey Ltd                                                              | CUSIP: 000000000<br>LEI: 549300Q2FGQXKG7X0I83 | Long             | DBT              | CORP              | VG        |     1900000 | PA      | $21375.00     | 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      | $3049051.56   | 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      | $3164917.70   | 0.13%             | 2028-03-09      | Fixed         | 11.85%                | No            |                  3 | On Loan: No      |
| Ghana Government International Bonds                      | Ghana Government International Bonds                                             | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     4069108 | PA      | $3412964.32   | 0.14%             | 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        |    21970000 | PA      | $16010637.50  | 0.66%             | 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      | $32038236.19  | 1.33%             | 2030-08-02      | Fixed         | 4.30%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -413770 | PA      | $-413769.94   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Ukraine Government International Bonds                    | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    13555124 | PA      | $7218103.53   | 0.30%             | 2035-02-01      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -885600 | PA      | $-885600.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -761062 | PA      | $-761062.50   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COMPARTMENT BERNINA                                       | Delphos Securities SARL - Compartment Bernina                                    | CUSIP: 000000000<br>LEI: 2138009URW4RUTSQ7O74 | Long             | DBT              | CORP              | LU        |    17500000 | PA      | $20028472.73  | 0.83%             | 2035-04-08      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| UZBEKNEFTEGAZ                                             | Uzbekneftegaz JSC                                                                | CUSIP: 000000000<br>LEI: 213800LUZJZFLJD4MJ51 | Long             | DBT              | CORP              | UZ        |     9850000 | PA      | $9289633.50   | 0.38%             | 2028-11-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Republic of Guatemala                                     | Guatemala Government Bond                                                        | CUSIP: P8056GAB9<br>LEI: N/A                  | Long             | DBT              | NUSS              | GT        |     3315000 | PA      | $3750922.50   | 0.16%             | 2034-10-06      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -871200 | PA      | $-871200.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                    | Romania Government International Bonds                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    34450000 | PA      | $32690983.00  | 1.35%             | 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        |     4500000 | PA      | $3356150.28   | 0.14%             | 2042-04-13      | Fixed         | 2.88%                 | Yes           |                  2 | 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        |     8851000 | PA      | $7257820.00   | 0.30%             | 2039-10-15      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | MORGAN STANLEY REPO                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Long             | RA               | CORP              | US        |     3038000 | PA      | $3038000.00   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                  | SWP: EUR 2.400000 20-MAR-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    24600000 | OU      | $2966071.56   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | BARCLAYS CAPITAL REPO REPO                                                       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | RA               | CORP              | US        |     5395000 | PA      | $5395000.00   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-66848.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                              | KazMunayGas National Co. JSC                                                     | CUSIP: 000000000<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     9680000 | PA      | $9262501.60   | 0.38%             | 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        |     3000000 | PA      | $3144000.00   | 0.13%             | 2045-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Republic of Senegal                                       | Senegal Government International Bond                                            | CUSIP: 000000000<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |     2400000 | PA      | $2466448.44   | 0.10%             | 2028-03-13      | Fixed         | 4.75%                 | Yes           |                  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      | $161197.32    | 0.01%             | 2035-12-15      | Variable      | 4.55%                 | No            |                  3 | 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  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                    | Egypt Government International Bond                                              | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Short            | DBT              | NUSS              | EG        |   -10000000 | PA      | $-10082500.00 | -0.42%            | 2028-02-21      | Fixed         | 6.59%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | SWAP/CDSWAP/SCDS: (SOAF)                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    21500000 | OU      | $442031.16    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FIN DEPT GOVT SHARJAH                                     | Finance Department Government of Sharjah                                         | CUSIP: 000000000<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |    16400000 | PA      | $11382584.00  | 0.47%             | 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      | $23270103.00  | 0.96%             | 2048-02-28      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | KR        |           1 | NC      | $-77206.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | Petroleos Mexicanos                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   110500000 | PA      | $94233295.00  | 3.90%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | BARCLAYS REV REPO EUR                                                            | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | Short            | RA               | CORP              | GB        |    -1551000 | PA      | $-1814514.71  | -0.08%            |  |  |  | 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      | $3884125.00   | 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        |     5655668 | PA      | $1787201.35   | 0.07%             | 2036-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| BRASKEM AMERICA FINANCE                                   | Braskem America Finance Co                                                       | CUSIP: 000000000<br>LEI: 254900QMQAJ26H49CL75 | Long             | DBT              | CORP              | US        |      257000 | PA      | $171945.85    | 0.01%             | 2041-07-22      | Fixed         | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -3355695 | PA      | $-3355695.00  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Turkiye Government International Bonds                    | Turkiye Government International Bonds                                           | CUSIP: 900123CB4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    27700000 | PA      | $20179450.00  | 0.83%             | 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              | IQ        |     9350000 | PA      | $10033765.50  | 0.42%             | 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        |    14170000 | PA      | $10060700.00  | 0.42%             | 2034-10-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                              | Oriental Republic of Uruguay                                                     | CUSIP: 760942BG6<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     1900000 | PA      | $1730900.00   | 0.07%             | 2060-09-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                     | Venezuela Government International Bond                                          | CUSIP: P97475AG5<br>LEI: N/A                  | Long             | DBT              | NUSS              | VE        |    13200000 | PA      | $2191200.00   | 0.09%             | 2020-12-09      | None          | 0.00%                 | Yes           |                  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      | $748023.35    | 0.03%             |  |  |  | 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        |      320458 | PA      | $308119.06    | 0.01%             | 2036-05-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| EMPRESA NACIONAL DEL PET                                  | Empresa Nacional del Petroleo                                                    | CUSIP: P37110AM8<br>LEI: 549300YP3P0JZBLIV197 | Long             | DBT              | CORP              | CL        |     8650000 | PA      | $7071375.00   | 0.29%             | 2047-09-14      | Fixed         | 4.50%                 | Yes           |                  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      | $9598183.26   | 0.40%             | 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      | $2227467.91   | 0.09%             | 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      | $1910298.19   | 0.08%             |  |  |  | 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      | $3890068.00   | 0.16%             | 2049-09-30      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Costa Rica Government International Bonds                 | Costa Rica Government International Bonds                                        | CUSIP: 000000000<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     2680000 | PA      | $2838790.00   | 0.12%             | 2034-04-03      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Ecopetrol SA                                              | Ecopetrol SA                                                                     | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    12020000 | PA      | $8870760.00   | 0.37%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | U.S. Treasury Floating Rate Notes                                                | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    23100000 | PA      | $23097187.81  | 0.96%             | 2027-04-30      | Floating      | 4.30%                 | No            |                  1 | On Loan: No      |
| Nomura Securities International, Inc.                     | NOMURA REPO                                                                      | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Long             | RA               | CORP              | US        |    58999000 | PA      | $58999000.38  | 2.44%             |  |  |  | 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      |
| LCH Ltd.                                                  | FSWP: GBP 4.600000 17-SEP-2055 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    22300000 | OU      | $606156.47    | 0.03%             |  |  |  | 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      | $19958006.75  | 0.83%             | 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        |    53906000 | PA      | $50546164.57  | 2.09%             | 2114-03-19      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| AI CANDELARIA -SPAIN- SA                                  | AL Candelaria -spain- SA                                                         | CUSIP: 000000000<br>LEI: 213800L5KA2MJ5FKRZ02 | Long             | DBT              | CORP              | ES        |     3090000 | PA      | $2709930.00   | 0.11%             | 2033-06-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                                     | Sri Lanka Government International Bond                                          | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     5715484 | PA      | $4786717.85   | 0.20%             | 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      | $7324397.41   | 0.30%             | 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        |      404274 | PA      | $304668.47    | 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      | $6333696.61   | 0.26%             | 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        |    59200000 | PA      | $13201600.00  | 0.55%             | 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        |     2048958 | PA      | $1462894.34   | 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      | $4305600.00   | 0.18%             | 2031-02-02      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                     | Guatemala Government Bond                                                        | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     4600000 | PA      | $3753600.00   | 0.16%             | 2041-10-07      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -621000 | PA      | $-621000.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | MORGAN STANLEY REPO                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Long             | RA               | CORP              | US        |     3035244 | PA      | $3035244.44   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| TAJIKISTAN INT BOND                                       | Republic of Tajikistan International Bond                                        | CUSIP: 000000000<br>LEI: 529900W1LSYUF3CYVU10 | Long             | DBT              | NUSS              | TJ        |     4811667 | PA      | $4763549.99   | 0.20%             | 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      | $30720000.00  | 1.27%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                          | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | XX        |           1 | NC      | $9490.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                  | SWP: ZAR 9.150000 20-MAR-2039 JIB                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   257800000 | OU      | $625244.13    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                   | Colombia Government International Bonds                                          | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    60600000 | PA      | $48252750.00  | 2.00%             | 2044-02-26      | Fixed         | 5.63%                 | No            |                  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        |    10900000 | PA      | $10773996.00  | 0.45%             | 2036-03-05      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                     | Indonesia Government International Bond                                          | CUSIP: 455780DP8<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     3391000 | PA      | $3281640.25   | 0.14%             | 2052-09-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                           | State of Israel                                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    11550000 | PA      | $7444206.00   | 0.31%             | 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        |     5546892 | PA      | $4164329.17   | 0.17%             | 2030-07-31      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                                    | Kazakhstan Government International Bond                                         | CUSIP: 486661BP5<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |     5000000 | PA      | $5059700.00   | 0.21%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                     | Panama Government International Bonds                                            | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     4600000 | PA      | $3254500.00   | 0.13%             | 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      |
| Barclays Bank PLC                                         | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $4348.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -348750 | PA      | $-348750.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Ukraine Government International Bonds                    | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     7982158 | PA      | $4130766.77   | 0.17%             | 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      | $4018032.00   | 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      | $1147876.03   | 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      | $284892.72    | 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        |     3730000 | PA      | $3816063.41   | 0.16%             | 2036-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -4425231 | PA      | $-4425231.33  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -691111 | PA      | $-691110.58   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| DOM REP CB NOTES                                          | Dominican Republic Central Bank Notes                                            | CUSIP: 25714PEU8<br>LEI: 549300DTVR57NON7XL66 | Long             | DBT              | NUSS              | DO        |   273000000 | PA      | $4387255.26   | 0.18%             | 2026-01-30      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                    | Asian Development Bank                                                           | CUSIP: 000000000<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | NUSS              | XX        |  1891000000 | PA      | $1227217.39   | 0.05%             | 2026-03-27      | Fixed         | 20.00%                | No            |                  2 | On Loan: No      |
| REPUBLIC OF CAMEROON                                      | Republic of Cameroon International Bond                                          | CUSIP: 000000000<br>LEI: 54930021BO6NHYGBBV24 | Long             | DBT              | NUSS              | CM        |    20550000 | PA      | $19471404.72  | 0.81%             | 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      | $2846616.99   | 0.12%             | 2026-07-31      | Fixed         | 22.50%                | No            |                  2 | On Loan: No      |
| COMMONWEALTH OF BAHAMAS                                   | Bahamas Government International Bond                                            | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |    14890000 | PA      | $15373925.00  | 0.64%             | 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      | $5589196.68   | 0.23%             | 2035-07-09      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Morocco Government International Bonds                    | Morocco Government International Bonds                                           | CUSIP: 000000000<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |     5700000 | PA      | $3998906.25   | 0.17%             | 2050-12-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| NCB FINANCIAL GROUP                                       | NCB Financial Group Ltd                                                          | CUSIP: 639935AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | JM        |    21100000 | PA      | $20994500.00  | 0.87%             | 2030-07-31      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| UKRAINE GOVERNMENT                                        | Ukraine Government International Bond                                            | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     2211014 | PA      | $1116562.07   | 0.05%             | 2030-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                   | Colombia Government International Bonds                                          | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     8000000 | PA      | $5864000.00   | 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      | $37125.00     | 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      | $15186886.50  | 0.63%             | 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        |    18400000 | PA      | $13984000.00  | 0.58%             | 2030-02-28      | Fixed         | 6.20%                 | Yes           |                  3 | On Loan: No      |
| Ghana Government International Bonds                      | Ghana Government International Bonds                                             | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    27492000 | PA      | $22440345.00  | 0.93%             | 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        |     7860000 | PA      | $8139030.00   | 0.34%             | 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        | 27446497255 | PA      | $5721934.52   | 0.24%             | 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      | $1921318.00   | 0.08%             | 2038-08-01      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| TRANSNET SOC LTD                                          | Transnet/South Africa                                                            | CUSIP: 000000000<br>LEI: 378900B07CD6F01EA796 | Long             | DBT              | CORP              | ZA        |     4130000 | PA      | $4327723.75   | 0.18%             | 2028-02-06      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                                    | Eskom Holdings                                                                   | CUSIP: 000000000<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |   150350000 | PA      | $2907789.46   | 0.12%             | 2032-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                                         | Lebanon Government International Bond                                            | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |    13300000 | PA      | $2613450.00   | 0.11%             | 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      | $10973547.00  | 0.45%             | 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        |   255250796 | PA      | $321332.36    | 0.01%             | 2033-12-31      | Variable      | 4.33%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -5092358 | PA      | $-5092358.10  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| ISLAMIC REP OF PAKISTAN                                   | Pakistan Government International Bond                                           | CUSIP: 000000000<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |     8650000 | PA      | $7871500.00   | 0.33%             | 2036-03-31      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                  | Uruguay Government International Bonds                                           | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     2218000 | PA      | $2053868.00   | 0.08%             | 2050-06-18      | Fixed         | 5.10%                 | 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        |     9696115 | PA      | $9737323.49   | 0.40%             | 2039-12-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Nomura International PLC                                  | REVERSE REPO NOMURA                                                              | CUSIP: 000000000<br>LEI: DGQCSV2PHVF7I2743539 | Short            | RA               | CORP              | US        |     -449695 | PA      | $-449695.13   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST                                               | Ivory Coast Government International Bond                                        | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    16550000 | PA      | $15628686.06  | 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        |     2802545 | PA      | $1895087.22   | 0.08%             | 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      | $5035626.78   | 0.21%             | 2035-10-20      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Colombia Government International Bonds                   | Colombia Government International Bonds                                          | CUSIP: 195325EA9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     8790000 | PA      | $6091470.00   | 0.25%             | 2042-02-22      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -1758038 | PA      | $-1758037.50  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Finance Department Government of Sharjah                  | Finance Department Government of Sharjah                                         | CUSIP: 000000000<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |    10300000 | PA      | $6744440.00   | 0.28%             | 2050-07-28      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                  | Saudi Government International Bond                                              | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    11440000 | PA      | $7927920.00   | 0.33%             | 2055-01-21      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                                  | FSWP: USD 4.000000 18-SEP-2034 SOF                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    29400000 | OU      | $705227.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Enel Generacion Chile SA                                  | Enel Generacion Chile SA                                                         | CUSIP: 29244TAC5<br>LEI: 549300PVHXUFEIE6LY50 | Long             | DBT              | CORP              | CL        |    15951000 | PA      | $14872712.40  | 0.62%             | 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      | $144959.37    | 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        |    57059864 | PA      | $35063286.22  | 1.45%             | 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        |      382872 | PA      | $369973.62    | 0.02%             | 2035-12-15      | Floating      | 4.72%                 | 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      | $5880429.19   | 0.24%             | 2035-06-15      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| ENFRAGEN ENERGIA SUR SA                                   | EnfraGen Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA                  | CUSIP: 000000000<br>LEI: 2549002TO75PYMY3VY07 | Long             | DBT              | CORP              | ES        |     4565000 | PA      | $4188387.50   | 0.17%             | 2030-12-30      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Republic of Colombia                                      | Colombia Government International Bond                                           | CUSIP: 195325AL9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      992000 | PA      | $1023111.19   | 0.04%             | 2027-02-15      | Fixed         | 8.38%                 | No            |                  3 | On Loan: No      |
| Peru LNG Srl                                              | Peru LNG Srl                                                                     | CUSIP: 000000000<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |    10384164 | PA      | $9872743.92   | 0.41%             | 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      | $7524950.00   | 0.31%             | 2047-10-04      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-331121.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                    | Egypt Government International Bond                                              | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     5600000 | PA      | $4723264.00   | 0.20%             | 2049-03-01      | Fixed         | 8.70%                 | Yes           |                  2 | On Loan: No      |
| Romania Government International Bonds                    | Romania Government International Bonds                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    13200000 | PA      | $13218348.00  | 0.55%             | 2034-01-30      | Fixed         | 6.38%                 | Yes           |                  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      | $14361690.93  | 0.59%             | 2029-06-13      | Variable      | 8.42%                 | No            |                  3 | On Loan: No      |
| ROMANIA                                                   | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    10058000 | PA      | $10071980.62  | 0.42%             | 2034-01-30      | Fixed         | 6.38%                 | Yes           |                  2 | 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        |    51390000 | PA      | $39000641.85  | 1.61%             | 2049-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BRASKEM IDESA SAPI                                        | Braskem Idesa SAPI                                                               | CUSIP: 000000000<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |    12640000 | PA      | $8687092.80   | 0.36%             | 2032-02-20      | Fixed         | 6.99%                 | Yes           |                  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        |    16088544 | PA      | $15123231.36  | 0.63%             | 2042-03-12      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | TRSWAP: JPEICRIG INDEX                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    10410000 | OU      | $16376.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nigeria Government International Bonds                    | Nigeria Government International Bonds                                           | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    23950000 | PA      | $21121026.00  | 0.87%             | 2051-09-28      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | REVERSE REPO BARCLAYS REVERSE REPO                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | Short            | RA               | CORP              | US        |   -13300000 | PA      | $-13300000.00 | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| Guatemala Government Bonds                                | Guatemala Government Bonds                                                       | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     4860000 | PA      | $5078700.00   | 0.21%             | 2036-06-13      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                                    | U.S. Treasury Floating Rate Notes                                                | CUSIP: 91282CMJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1900000 | PA      | $1899405.91   | 0.08%             | 2027-01-31      | Floating      | 4.24%                 | No            |                  1 | On Loan: No      |
| Republic of Albania                                       | Albania Government International Bond                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AL        |    36649849 | PA      | $36649849.00  | 1.52%             | 2025-08-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Ukraine Government International Bonds                    | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    14953917 | PA      | $7888191.22   | 0.33%             | 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        |     8871428 | PA      | $10171109.25  | 0.42%             | 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        |    45213988 | PA      | $34136560.94  | 1.41%             | 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        |     1000000 | PA      | $880875.00    | 0.04%             | 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        |    31764000 | PA      | $24974445.00  | 1.03%             | 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        |    10800000 | PA      | $6574500.00   | 0.27%             | 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        |     2900000 | PA      | $2544315.00   | 0.11%             | 2051-04-08      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $328805.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Ecuador Government International Bonds                    | Ecuador Government International Bonds                                           | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    16603750 | PA      | $10744417.79  | 0.44%             | 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      | $1715448.00   | 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      | $8034982.80   | 0.33%             | 2031-09-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                               | SWAP/CDSWAP/SCDS: (PANAMA - BOND AND LOAN)                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   118200000 | OU      | $-1358315.64  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Dominican Republic International Bonds                    | Dominican Republic International Bonds                                           | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    35654000 | PA      | $30733748.00  | 1.27%             | 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        |    12196276 | PA      | $10138154.43  | 0.42%             | 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      | $4007400.00   | 0.17%             | 2028-11-09      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -557646 | PA      | $-557646.18   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Congo                                         | Congolese International Bond                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | SN               | NUSS              | CG        |    25202512 | PA      | $22934285.92  | 0.95%             | 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      | $6004000.00   | 0.25%             | 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        |    22050000 | PA      | $18454527.00  | 0.76%             | 2050-01-20      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| HERITAGE PETROL CO LTD                                    | Heritage Petroleum Co Ltd                                                        | CUSIP: 000000000<br>LEI: 25490055MYPABN06OA04 | Long             | DBT              | CORP              | TT        |     6433000 | PA      | $6643552.09   | 0.27%             | 2029-08-12      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| PAKISTAN WATER & POWER                                    | Pakistan Water & Power Development Authority                                     | CUSIP: 000000000<br>LEI: 213800UA74QOTK6IES10 | Long             | DBT              | NUSS              | PK        |     4426000 | PA      | $4001275.29   | 0.17%             | 2031-06-04      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Perusahaan Penerbit SBSN Indonesia III                    | Perusahaan Penerbit SBSN Indonesia III                                           | CUSIP: 71567RAV8<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     2800000 | PA      | $2804900.00   | 0.12%             | 2032-06-06      | Fixed         | 4.70%                 | 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        |    36900000 | PA      | $37248705.00  | 1.54%             | 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        |    55005000 | PA      | $10808482.50  | 0.45%             | 2031-11-20      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Lebanon Government International Bonds                    | Lebanon Government International Bonds                                           | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |     6200000 | PA      | $1212100.00   | 0.05%             | 2027-03-23      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Saudi Government International Bonds                      | Saudi Government International Bonds                                             | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    28600000 | PA      | $17908176.00  | 0.74%             | 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        |     5605171 | PA      | $1771172.44   | 0.07%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Ecuador Government International Bonds                    | Ecuador Government International Bonds                                           | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    27126250 | PA      | $24440751.25  | 1.01%             | 2030-07-31      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                               | SWAP/CDSWAP/SCDS: (EGYPT)                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     2300000 | OU      | $107463.10    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Egypt Government International Bonds                      | Egypt Government International Bonds                                             | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    17830000 | PA      | $15189020.40  | 0.63%             | 2050-05-29      | Fixed         | 8.88%                 | Yes           |                  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      |
| REPUBLIC OF SERBIA                                        | Serbia International Bond                                                        | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     1600000 | PA      | $1443076.18   | 0.06%             | 2036-09-23      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Hungary Government International Bonds                    | Hungary Government International Bonds                                           | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    22400000 | PA      | $13496000.00  | 0.56%             | 2051-09-21      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF MONTENEGRO                                    | Montenegro Government International Bond                                         | CUSIP: 000000000<br>LEI: 747800V014106FYLL014 | Long             | DBT              | NUSS              | ME        |     1200000 | PA      | $1265172.00   | 0.05%             | 2031-03-12      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -1157805 | PA      | $-1157805.00  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Argentina Republic Government International Bonds         | Argentina Republic Government International Bonds                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    19146794 | PA      | $14455829.77  | 0.60%             | 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      | $15032237.50  | 0.62%             | 2035-06-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | SWAP/CDSWAP/SCDS: (SOAF)                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    34300000 | OU      | $-247208.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bonds                  | Sri Lanka Government International Bonds                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     4621404 | PA      | $4396110.27   | 0.18%             | 2028-04-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SADEREA                                                   | Saderea DAC                                                                      | CUSIP: 000000000<br>LEI: 635400IPZLZJ55ANED20 | Long             | SN               | CORP              | IE        |     6469920 | PA      | $4850110.50   | 0.20%             | 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      | $3327600.00   | 0.14%             | 2025-09-28      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| Angola Government International Bonds                     | Angola Government International Bonds                                            | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Short            | DBT              | NUSS              | AO        |    -6500000 | PA      | $-6201910.00  | -0.26%            | 2029-11-26      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA                                                   | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    12460000 | PA      | $7989975.00   | 0.33%             | 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      | $636345.00    | 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      | $146250.00    | 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        |     7900000 | PA      | $5680100.00   | 0.23%             | 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      | $7821024.00   | 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      | $13663728.00  | 0.57%             | 2049-03-01      | Fixed         | 8.70%                 | Yes           |                  2 | On Loan: No      |
| Bahrain Government International Bonds                    | Bahrain Government International Bonds                                           | CUSIP: 000000000<br>LEI: 549300RODM1WN85LFQ95 | Long             | DBT              | NUSS              | BH        |    37296000 | PA      | $32650783.20  | 1.35%             | 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        |     7161957 | PA      | $7814232.23   | 0.32%             | 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      | $6988690.00   | 0.29%             | 2028-03-13      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| DEVT BANK OF MONGOLIA                                     | Development Bank of Mongolia LLC                                                 | CUSIP: 000000000<br>LEI: 254900HRWK3OKXS9UW60 | Long             | DBT              | NUSS              | MN        |     8800000 | PA      | $8932000.00   | 0.37%             | 2028-07-03      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| HUNGARY                                                   | Hungary Government International Bond                                            | CUSIP: 445545AW6<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     2980000 | PA      | $3053576.20   | 0.13%             | 2035-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Jordan Government International Bonds                     | Jordan Government International Bonds                                            | CUSIP: 000000000<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |      600000 | PA      | $556500.00    | 0.02%             | 2047-10-10      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                   | SWAP/CDSWAP/CDS: (MEX)_                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    14700000 | OU      | $153470.94    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Indonesia Government International Bonds                  | Indonesia Government International Bonds                                         | CUSIP: 455780DR4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     2800000 | PA      | $2819600.00   | 0.12%             | 2033-01-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                           | SWAP/CDSWAP/ICE: (CDX.EM.43.V1)                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   156600000 | OU      | $2696373.60   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds         | Republic of Poland Government International Bonds                                | CUSIP: 731011AW2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     1650000 | PA      | $1543756.50   | 0.06%             | 2053-04-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SCENERY JOURNEY LTD                                       | Scenery Journey Ltd                                                              | CUSIP: 000000000<br>LEI: 549300Q2FGQXKG7X0I83 | Long             | DBT              | CORP              | VG        |     5500000 | PA      | $61875.00     | 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        |     8898352 | PA      | $8288459.16   | 0.34%             | 2033-06-30      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Nomura International PLC                                  | REVERSE REPO NOMURA                                                              | CUSIP: 000000000<br>LEI: DGQCSV2PHVF7I2743539 | Short            | RA               | CORP              | US        |     -399597 | PA      | $-399597.49   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| TUNISIAN REPUBLIC                                         | Tunisian Republic                                                                | CUSIP: 000000000<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |   730000000 | PA      | $3918121.19   | 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      | $2474800.00   | 0.10%             | 2024-12-11      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| BANGKO PILIPINAS BOND                                     | Bangko Sentral ng Pilipinas International Bond                                   | CUSIP: 059891AB7<br>LEI: 4IDQTQC5NXVM3WSFHR30 | Long             | DBT              | NUSS              | PH        |     3500000 | PA      | $4916850.19   | 0.20%             | 2097-06-15      | Fixed         | 8.60%                 | No            |                  3 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-179198.34   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Ghana Government International Bonds                      | Ghana Government International Bonds                                             | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     1264000 | PA      | $1213440.00   | 0.05%             | 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        |    20850000 | PA      | $18217687.50  | 0.75%             | 2051-01-25      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | SWAP/CDSWAP/SCDS: (EGYPT)                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     2500000 | OU      | $116807.73    | 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        |    15776000 | PA      | $15695936.85  | 0.65%             | 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      | $-107126.88   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                     | Venezuela Government International Bond                                          | CUSIP: P17625AA5<br>LEI: N/A                  | Long             | DBT              | NUSS              | VE        |   134093000 | PA      | $26148135.00  | 1.08%             | 2023-05-07      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                          | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | ZA        |           1 | NC      | $45982.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                  | FSWP: OIS 2.800000 20-MAR-2034 THO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   930000000 | OU      | $-3564628.08  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| RIO SMART LIGHTING SARL                                   | Rio Smart Lighting Sarl                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    43205791 | PA      | $7525076.89   | 0.31%             | 2032-09-20      | Fixed         | 12.25%                | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |           1 | NC      | $-2669.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF LATVIA                                        | Latvia Government International Bond                                             | CUSIP: 000000000<br>LEI: 25490002QDEB2KTLNK39 | Long             | DBT              | NUSS              | LV        |     6850000 | PA      | $6968505.00   | 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        |    40100000 | PA      | $38348031.00  | 1.59%             | 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      | $-205915.62   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Guatemala Government Bonds                                | Guatemala Government Bonds                                                       | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    16700000 | PA      | $15518475.00  | 0.64%             | 2050-06-01      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -1882323 | PA      | $-1882322.52  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                | Philippines Government International Bonds                                       | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    10400000 | PA      | $7384000.00   | 0.31%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -685804 | PA      | $-685803.63   | -0.03%            |  |  |  | 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        |     2866523 | PA      | $1030396.09   | 0.04%             | 2037-04-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SURINAME INT                                  | Suriname Government International Bond                                           | CUSIP: 000000000<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |    13009668 | PA      | $12928357.58  | 0.53%             | 2033-07-15      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| JSCB AGROBANK                                             | Jscb Agrobank                                                                    | CUSIP: 000000000<br>LEI: 254900JPMU0LFCP18673 | Long             | DBT              | CORP              | UZ        |     3300000 | PA      | $3531825.00   | 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      | $154132.93    | 0.01%             | 2028-07-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                                  | FSWP: KRW 2.680500 19-MAR-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 18467000000 | OU      | $-134811.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                     | Argentine Republic Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     6060000 | PA      | $4007817.97   | 0.17%             | 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      | $39289896.75  | 1.63%             | 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      | $1456161.75   | 0.06%             | 2050-01-28      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Romania Government International Bonds                    | Romania Government International Bonds                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    10310000 | PA      | $10949220.00  | 0.45%             | 2037-02-10      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| NORTH MACEDONIA                                           | North Macedonia Government International Bond                                    | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |     6455000 | PA      | $7098601.50   | 0.29%             | 2028-03-10      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| Republic of Kenya Government International Bonds          | Republic of Kenya Government International Bonds                                 | CUSIP: 000000000<br>LEI: 549300VVURQQYU45PR87 | Short            | DBT              | NUSS              | KE        |    -6200000 | PA      | $-6285250.00  | -0.26%            | 2028-02-28      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| ELECTRICIDAD DE CARACAS                                   | CA La Electricidad de Caracas                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | VE        |   101165000 | PA      | $7334462.50   | 0.30%             | 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      | $434250.00    | 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        |     7200000 | PA      | $5829768.00   | 0.24%             | 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        |      280326 | PA      | $303352.38    | 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      | $4747496.00   | 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      | $369729.99    | 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        |    25145000 | PA      | $23321987.50  | 0.96%             | 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      | $41625.00     | 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        |    64470000 | PA      | $10992135.00  | 0.45%             | 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        |     4250000 | PA      | $4377500.00   | 0.18%             | 2055-09-23      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LLPL Capital Pte Ltd                                      | LLPL Capital Pte Ltd                                                             | CUSIP: 000000000<br>LEI: 254900VXZ8FXTUQNON22 | Long             | DBT              | CORP              | SG        |     2809200 | PA      | $2904010.50   | 0.12%             | 2039-02-04      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | LU        |    -1568000 | PA      | $-1834403.01  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -127215 | PA      | $-127215.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                    | Romania Government International Bonds                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    10350000 | PA      | $8115849.00   | 0.34%             | 2048-06-15      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                        | Dominican Republic International Bond                                            | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   230000000 | PA      | $3892118.01   | 0.16%             | 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        |   200000000 | PA      | $5471061.74   | 0.23%             | 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      | $986688.50    | 0.04%             | 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      | $114750.00    | 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        |     2800000 | PA      | $2885680.00   | 0.12%             | 2032-06-30      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Oman Government International Bonds                       | Oman Government International Bonds                                              | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    29590000 | PA      | $31630316.31  | 1.31%             | 2048-01-17      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -2001170 | PA      | $-2001169.52  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Government of Grenada                                     | Grenada Government International Bond                                            | CUSIP: P48863AE7<br>LEI: N/A                  | Long             | DBT              | NUSS              | GD        |     3638684 | PA      | $3503543.06   | 0.14%             | 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      | $4157748.99   | 0.17%             | 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      | $34571.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                  | FSWP: KRW 2.664500 19-MAR-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 17153000000 | OU      | $-116240.48   | -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        |     7100000 | PA      | $4932050.50   | 0.20%             | 2049-09-30      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| UZBEKNEFTEGAZ                                             | Uzbekneftegaz JSC                                                                | CUSIP: 91825MAC7<br>LEI: 213800LUZJZFLJD4MJ51 | Long             | DBT              | NUSS              | UZ        |     7100000 | PA      | $7514625.09   | 0.31%             | 2030-05-07      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -298462 | PA      | $-298462.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                                     | Sri Lanka Government International Bond                                          | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     2817885 | PA      | $2595976.56   | 0.11%             | 2030-01-15      | Variable      | 3.10%                 | 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        |     5350000 | PA      | $4694625.00   | 0.19%             | 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        |   137200000 | PA      | $20580000.00  | 0.85%             | 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        |     7200000 | PA      | $7683624.00   | 0.32%             | 2029-07-24      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                                  | SWP: EUR 2.700000 20-MAR-2034 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    21700000 | OU      | $-272122.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | SWAP/CDSWAP/SCDS: (EGYPT)                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     2500000 | OU      | $116807.73    | 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        |     2635714 | PA      | $2522167.71   | 0.10%             | 2027-02-19      | Fixed         | 6.93%                 | Yes           |                  3 | On Loan: No      |
| REPUBLIC OF SURINAME INT                                  | Suriname Government International Bond                                           | CUSIP: 000000000<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |     8195000 | PA      | $9498005.00   | 0.39%             | 2050-12-31      | Variable      | 9.00%                 | Yes           |                  2 | On Loan: No      |
| CHINA EVERGRANDE GROUP                                    | China Evergrande Group                                                           | CUSIP: 000000000<br>LEI: 549300CUF7B1LAB15T90 | Long             | DBT              | CORP              | KY        |     6800000 | PA      | $76500.00     | 0.00%             | 2024-04-11      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ECOPETROL SA                                              | Ecopetrol SA                                                                     | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     6350000 | PA      | $6421120.00   | 0.27%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                                         | Lebanon Government International Bond                                            | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |    51714000 | PA      | $10161801.00  | 0.42%             | 2034-05-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |    -3758266 | PA      | $-3758266.25  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Securities International, Inc.                     | NOMURA REPO                                                                      | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Long             | RA               | CORP              | US        |     9312500 | PA      | $9312500.00   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos del Peru SA                                     | Petroleos del Peru SA                                                            | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |    63145000 | PA      | $42843882.50  | 1.77%             | 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      | $13872056.70  | 0.57%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Barclays Bank PLC                                         | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $397814.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSNET SOC LTD                                          | Transnet/South Africa                                                            | CUSIP: 000000000<br>LEI: 378900B07CD6F01EA796 | Long             | DBT              | CORP              | ZA        |    20200000 | PA      | $1162301.59   | 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      | $8346363.30   | 0.35%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| REPUBLIC OF ARMENIA                                       | Republic of Armenia International Bond                                           | CUSIP: 000000000<br>LEI: 5299000H77JSW90G7935 | Long             | DBT              | NUSS              | AM        |     6100000 | PA      | $6195312.50   | 0.26%             | 2035-03-12      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Zambia Government International Bonds                     | Zambia Government International Bonds                                            | CUSIP: 000000000<br>LEI: 213800DMLAZ6LGMMD849 | Long             | DBT              | NUSS              | ZM        |    11943974 | PA      | $7959822.59   | 0.33%             | 2053-12-31      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                     | Venezuela Government International Bond                                          | CUSIP: P97475AN0<br>LEI: N/A                  | Long             | DBT              | NUSS              | VE        |    24228000 | PA      | $4118760.00   | 0.17%             | 2019-10-13      | None          | 0.00%                 | 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        |     3785185 | NS      | $3785185.36   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                  | Petroleos de Venezuela SA                                                        | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    14497000 | PA      | $2183103.23   | 0.09%             | 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      | $1798800.00   | 0.07%             | 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      | $2996508.96   | 0.12%             | 2036-02-01      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| TELECOM OF TRIN & TOBAGO                                  | Telecommunications Services of Trinidad & Tobago Ltd                             | CUSIP: 000000000<br>LEI: 5299007N4G3EZWXAMB76 | Long             | DBT              | CORP              | TT        |     5822000 | PA      | $5892970.18   | 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      | $3022456.00   | 0.13%             | 2031-02-06      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                        | Ukraine Government International Bond                                            | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    10646000 | PA      | $8144190.00   | 0.34%             | 2041-08-01      | Variable      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| INDO ASAHAN/MINERAL IND                                   | Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT            | CUSIP: 000000000<br>LEI: 2549008P48EB9SN2OI80 | Long             | DBT              | CORP              | ID        |     6500000 | PA      | $6280625.00   | 0.26%             | 2050-05-15      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                                    | U.S. Treasury Bonds                                                              | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15000000 | PA      | $13420312.50  | 0.56%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PE        |           1 | NC      | $30339.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HONDURAS GOVERNMENT                                       | Honduras Government International Bond                                           | CUSIP: 000000000<br>LEI: 5493002DW1JNBNG17615 | Long             | DBT              | NUSS              | HN        |     2450000 | PA      | $2347100.00   | 0.10%             | 2030-06-24      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Bank of America NA                                        | SWAP/CDSWAP/SCDS: (ISRAEL)                                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |     9500000 | OU      | $-127691.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Serbia International Bonds                                | Serbia International Bonds                                                       | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     9500000 | PA      | $9728000.00   | 0.40%             | 2034-06-12      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                               | SWAP/CDSWAP/SCDS: (PANAMA)                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   118200000 | OU      | $-199135.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | SWAP/CDSWAP/SCDS: (COLOM)                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    45300000 | OU      | $-162821.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Ghana Government International Bonds                      | Ghana Government International Bonds                                             | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    18118000 | PA      | $17325337.50  | 0.72%             | 2029-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Panama Government International Bonds                     | Panama Government International Bonds                                            | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    29420000 | PA      | $20200507.50  | 0.84%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Angola Government International Bonds                     | Angola Government International Bonds                                            | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    17000000 | PA      | $14069116.70  | 0.58%             | 2048-05-08      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SENEGAL                                       | Senegal Government International Bond                                            | CUSIP: 000000000<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |    13050000 | PA      | $8290795.50   | 0.34%             | 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   | 0.18%             | 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      | $6861150.00   | 0.28%             | 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      | $18372123.87  | 0.76%             | 2096-12-15      | Fixed         | 8.10%                 | Yes           |                  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      |
| CEZ AS                                                    | CEZ AS                                                                           | CUSIP: 000000000<br>LEI: 529900S5R9YHJHYKKG94 | Long             | DBT              | CORP              | CZ        |     4058000 | PA      | $3636419.74   | 0.15%             | 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      | $9444235.32   | 0.39%             | 2038-01-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bonds                    | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     4022412 | PA      | $2162046.45   | 0.09%             | 2034-02-01      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | REVERSE REPO BARCLAYS REVERSE REPO                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | Short            | RA               | CORP              | US        |    -2975000 | PA      | $-2975000.00  | -0.12%            |  |  |  | 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      | $6218.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -826200 | PA      | $-826200.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                        | CWHEQ Revolving Home Equity Loan Trust Series 2005-H                             | CUSIP: 126685AP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       16980 | PA      | $16973.01     | 0.00%             | 2035-12-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| BNQ CEN TUNISIA INT BOND                                  | Tunisian Republic                                                                | CUSIP: 000000000<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |   380000000 | PA      | $2230274.57   | 0.09%             | 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        |   239989675 | PA      | $24558417.68  | 1.02%             | 2035-12-15      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                    | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $232260.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | SWAP/CDSWAP/SCDS: (ISRAEL)                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     3800000 | OU      | $-51076.49    | -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      | $2.70         | 0.00%             | 2050-01-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Chicago Mercantile Exchange                               | SWP: BRL 15.000000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   360784572 | OU      | $4561433.19   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| POLARIS RENEWABLE ENERGY                                  | Polaris Renewable Energy Inc                                                     | CUSIP: 000000000<br>LEI: 254900IRAKXV4MM4QF30 | Long             | DBT              | CORP              | CA        |     3375000 | PA      | $3474140.63   | 0.14%             | 2029-12-03      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | REVERSE REPO BANK OF NEW YORK                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | Short            | RA               | CORP              | US        |    -3600790 | PA      | $-3600790.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co International PLC                     | REVERSE REPO MORGAN STANLEY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | Short            | RA               | CORP              | US        |     -970788 | PA      | $-970788.24   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Panama                                        | Panama Government International Bond                                             | CUSIP: 698299AT1<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     8937000 | PA      | $9982360.89   | 0.41%             | 2034-04-28      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                                        | Serbia International Bond                                                        | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     6500000 | PA      | $5862496.99   | 0.24%             | 2036-09-23      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Egypt Government International Bonds                      | Egypt Government International Bonds                                             | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    21270000 | PA      | $17650696.80  | 0.73%             | 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        |     2675000 | PA      | $3156968.13   | 0.13%             | 2045-07-28      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| BRASKEM IDESA SAPI                                        | Braskem Idesa SAPI                                                               | CUSIP: 000000000<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |     3300000 | PA      | $2376594.00   | 0.10%             | 2029-11-15      | Fixed         | 7.45%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                          | Peruvian Government International Bond                                           | CUSIP: 715638FC1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     4260000 | PA      | $4302600.00   | 0.18%             | 2036-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-14

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer