Form NPORT-P FIDELITY HANOVER STREET For: Mar 31

May 25, 2022 11:55 AM EDT

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    NPORT-P
    false
    
      
      
        
          0000702533
          XXXXXXXX
        
      
      
      
      
        S000069653
        C000222143
      
      
      
    
  
  
    
      Fidelity Hanover Street Trust
      811-03466
      0000702533
      13LNM41WRMGAYS9Y7N22
      245 Summer Street
      Boston
      
      02210
      1-800-FIDELITY
      Fidelity Emerging Markets Debt Local Currency Central Fund
      S000069653
      549300KILRIY7MLU0D16
      2022-12-31
      2022-03-31
      N
    
    
      91033165.21
      996393.23
      90036771.98
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      
        
          BRL
          
          
        
        
          CLP
          
          
        
        
          CNY
          
          
        
        
          COP
          
          
        
        
          CZK
          
          
        
        
          DOP
          
          
        
        
          HUF
          
          
        
        
          IDR
          
          
        
        
          MXN
          
          
        
        
          MYR
          
          
        
        
          PEN
          
          
        
        
          PLN
          
          
        
        
          RON
          
          
        
        
          THB
          
          
        
        
          ZAR
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        PHILIPPINES REPUBLIC OF
        529900RAHBALMYIJ3T08
        PHILIPPINE GOVT 6.25% 1/14/36
        718286BM8
        
          
        
        10000000.00000000
        PA
        
        200264.48000000
        0.222425210939
        Long
        DBT
        NUSS
        PH
        N
        
        2
        
          2036-01-14
          Fixed
          0.06250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        MEXICO GOVT 8.5% 5/31/29
        N/A
        
          
        
        43000000.00000000
        PA
        
        2182493.21000000
        2.424002062718
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2029-05-31
          Fixed
          0.08500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: INR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1502.99000000
        -0.00166930684
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            233957.78000000
            USD
            17734000.00000000
            INR
            2022-05-18
            -1502.99000000
          
        
        
          N
          N
          N
        
      
      
        CHINA PEOPLES REPUBLIC OF
        300300CHN201808MOF68
        CHINA PEOPLES REPUBLIC OF 2.68% 05/21/2030
        N/A
        
          
        
        19000000.00000000
        PA
        
        2945497.78000000
        3.271438674694
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2030-05-21
          Fixed
          0.02680000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA, REPUBLIC OF
        315700IASY927EDWBK92
        ROMANIA REPUBLIC OF 3.65% 09/24/2031
        N/A
        
          
        
        2475000.00000000
        PA
        
        456769.24000000
        0.507314100622
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2031-09-24
          Fixed
          0.03650000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: PEN/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5670.44000000
        0.006297915701
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            157887.86000000
            USD
            604000.00000000
            PEN
            2022-05-18
            5670.44000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        UKRAINE GOVERNMENT 11.15% 08/26/2022
        N/A
        
          
        
        9000000.00000000
        PA
        
        124978.83000000
        0.138808652566
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2022-08-26
          Fixed
          0.11150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        TITULOS DE TESORERIA B 6.0% 04/28/2028
        N/A
        
          
        
        500000000.00000000
        PA
        
        112100.30000000
        0.124505018932
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2028-04-28
          Fixed
          0.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: USD/TRY settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1894.20000000
        -0.00210380709
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            3150000.00000000
            TRY
            205544.48000000
            USD
            2022-05-18
            -1894.20000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: INR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1231.47000000
        -0.00136774117
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            507548.78000000
            USD
            38627000.00000000
            INR
            2022-05-18
            -1231.47000000
          
        
        
          N
          N
          N
        
      
      
        EGYPT, (ARAB) REPUBLIC OF
        529900GFIVH4086NMH82
        EGYPT (ARAB) REP OF 14.06% 01/12/2026
        N/A
        
          
        
        4000000.00000000
        PA
        
        213509.32000000
        0.237135689457
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2026-01-12
          Fixed
          0.14060000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT OF
        254900GSIL471JOBYY43
        MALAYSIA GOVT OF 3.828% 07/05/2034
        N/A
        
          
        
        4450000.00000000
        PA
        
        1015610.28000000
        1.127994993229
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2034-07-05
          Fixed
          0.03828000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/HUF settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -22392.59000000
        -0.02487049402
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            152002000.00000000
            HUF
            432429.92000000
            USD
            2022-05-18
            -22392.59000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        MEXICO UNITED MEXICAN STATES 5.75% 03/05/26
        N/A
        
          
        
        53750000.00000000
        PA
        
        2464642.88000000
        2.737373659450
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2026-03-05
          Fixed
          0.05750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/CNY settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1585.88000000
        -0.00176136923
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            1364000.00000000
            CNY
            212975.25000000
            USD
            2022-05-18
            -1585.88000000
          
        
        
          N
          N
          N
        
      
      
        SOUTH AFRICA REPUBLIC OF
        549300KEVMSOSY8T8R35
        SOUTH AFRICA GOVT 8.875% 2/28/35
        N/A
        
          
        
        26500000.00000000
        PA
        
        1630953.00000000
        1.811429890403
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2035-02-28
          Fixed
          0.08875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: BRL/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20938.25000000
        0.023255220661
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            302366.18000000
            USD
            1559000.00000000
            BRL
            2022-05-18
            20938.25000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: CLP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5259.13000000
        0.005841091238
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            236943.01000000
            USD
            192066000.00000000
            CLP
            2022-05-18
            5259.13000000
          
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        DOMINICAN REPUBLIC 9.75% 06/05/2026 REGS
        N/A
        
          
        
        20000000.00000000
        PA
        
        368014.54000000
        0.408738043253
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2026-06-05
          Fixed
          0.09750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA REPUBLIC OF
        254900G208H6Q0L5B953
        INDONESIA GOVT 8.375% 9/15/26
        N/A
        
          
        
        32400000000.00000000
        PA
        
        2497253.26000000
        2.773592616752
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2026-09-15
          Fixed
          0.08375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: PEN/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        765.67000000
        0.000850396991
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            180935.69000000
            USD
            671000.00000000
            PEN
            2022-05-18
            765.67000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: USD/RUB settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -221791.66000000
        -0.24633453101
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            76758000.00000000
            RUB
            679274.34000000
            USD
            2022-05-18
            -221791.66000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: COP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        20417.31000000
        0.022676634835
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            522946.25000000
            USD
            2062500000.00000000
            COP
            2022-05-18
            20417.31000000
          
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: IDR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -767.59000000
        -0.00085252945
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            528375.56000000
            USD
            7591700000.00000000
            IDR
            2022-05-18
            -767.59000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: CLP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        121.60000000
        0.000135055930
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            240321.40000000
            USD
            190671000.00000000
            CLP
            2022-05-18
            121.60000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: THB/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3218.58000000
        -0.00357473944
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            177974.47000000
            USD
            5811000.00000000
            THB
            2022-05-18
            -3218.58000000
          
        
        
          N
          N
          N
        
      
      
        INTL FINANCE CORP
        QKL54NQY28TCDAI75F60
        INTL FIN CORP 5.85% 11/25/2022
        45950VLJ3
        
          
        
        17500000.00000000
        PA
        
        230295.66000000
        0.255779560878
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-25
          Fixed
          0.05850000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: USD/INR settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2179.08000000
        -0.00242021115
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            77079000.00000000
            INR
            1008161.66000000
            USD
            2022-05-18
            -2179.08000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        TITULOS DE TESORERIA B 5.75% 11/03/2027
        N/A
        
          
        
        3350000000.00000000
        PA
        
        751984.33000000
        0.835196901735
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2027-11-03
          Fixed
          0.05750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: KZT/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -20474.73000000
        -0.02274040877
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            239191.32000000
            USD
            104706000.00000000
            KZT
            2022-05-18
            -20474.73000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        COLOMBIA GOVT 7.5% 8/26/26
        N/A
        
          
        
        3400000000.00000000
        PA
        
        843900.42000000
        0.937284180054
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2026-08-26
          Fixed
          0.07500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: MYR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1264.73000000
        -0.00140468163
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            518333.33000000
            USD
            2177000.00000000
            MYR
            2022-05-18
            -1264.73000000
          
        
        
          N
          N
          N
        
      
      
        BROWN BROTHERS HARRIMAN and CO.
        5493006KMX1VFTPYPW14
        FX Forward: MXN/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7177.24000000
        0.007971454153
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BROWN BROTHERS HARRIMAN and CO.
              5493006KMX1VFTPYPW14
            
            124394.99000000
            USD
            2638000.00000000
            MXN
            2022-05-18
            7177.24000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: BRL/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        13938.49000000
        0.015480885968
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            208786.94000000
            USD
            1074000.00000000
            BRL
            2022-05-18
            13938.49000000
          
        
        
          N
          N
          N
        
      
      
        BRAZIL LETRAS DO TESOURO NACIONAL
        254900ZFY40OYEADAP90
        BRAZIL LETRAS DO TESOURO NACIONAL 0% 07/01/2023
        N/A
        
          
        
        13000000.00000000
        PA
        
        2353552.24000000
        2.613990026789
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2023-07-01
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, N.A.
        B4TYDEB6GKMZO031MB27
        FX Forward: COP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        778.54000000
        0.000864691151
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, N.A.
              B4TYDEB6GKMZO031MB27
            
            215723.85000000
            USD
            821800000.00000000
            COP
            2022-05-18
            778.54000000
          
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: CZK/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5183.17000000
        0.005756725708
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            232546.76000000
            USD
            5274000.00000000
            CZK
            2022-05-18
            5183.17000000
          
        
        
          N
          N
          N
        
      
      
        HUNGARY REPUBLIC OF
        5299008DH62LEB10JK83
        HUNGARY REPUBLIC OF 2.25% 06/22/2034
        N/A
        
          
        
        100000000.00000000
        PA
        
        204935.13000000
        0.227612702558
        Long
        DBT
        NUSS
        HU
        N
        
        2
        
          2034-06-22
          Fixed
          0.02250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: PLN/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -67629.91000000
        -0.07511365469
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            1537932.24000000
            USD
            6205000.00000000
            PLN
            2022-05-18
            -67629.91000000
          
        
        
          N
          N
          N
        
      
      
        HUNGARY REPUBLIC OF
        5299008DH62LEB10JK83
        HUNGARY REPUBLIC OF 3.0% 06/26/2024
        N/A
        
          
        
        75000000.00000000
        PA
        
        209954.10000000
        0.233187058335
        Long
        DBT
        NUSS
        HU
        N
        
        2
        
          2024-06-26
          Fixed
          0.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA REPUBLIC OF
        254900G208H6Q0L5B953
        INDONESIA REPUBLIC OF 8.25% 05/15/2036
        N/A
        
          
        
        8750000000.00000000
        PA
        
        661009.57000000
        0.734155118474
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2036-05-15
          Fixed
          0.08250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/MXN settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8292.58000000
        -0.00921021469
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            3692000.00000000
            MXN
            175848.69000000
            USD
            2022-05-18
            -8292.58000000
          
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: CNY/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8231.07000000
        0.009141898158
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            889339.15000000
            USD
            5706000.00000000
            CNY
            2022-05-18
            8231.07000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/BRL settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -23160.09000000
        -0.02572292352
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            1289000.00000000
            BRL
            244151.91000000
            USD
            2022-05-18
            -23160.09000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/BRL settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3140.17000000
        -0.00348765280
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            2200000.00000000
            BRL
            453094.43000000
            USD
            2022-05-18
            -3140.17000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/THB settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        15104.77000000
        0.016776223389
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            14932000.00000000
            THB
            464159.15000000
            USD
            2022-05-18
            15104.77000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/CZK settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3321.65000000
        -0.00368921489
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            4463000.00000000
            CZK
            197851.78000000
            USD
            2022-05-18
            -3321.65000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/PEN settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5876.54000000
        -0.00652682217
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            604000.00000000
            PEN
            157681.76000000
            USD
            2022-05-18
            -5876.54000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: CNY/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        432.98000000
        0.000480892407
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            150105.87000000
            USD
            957000.00000000
            CNY
            2022-05-18
            432.98000000
          
        
        
          N
          N
          N
        
      
      
        POLAND REPUBLIC OF
        259400R9L8QEP0TPXS31
        POLAND REPUBLIC OF 2.5% 07/25/2026
        N/A
        
          
        
        6950000.00000000
        PA
        
        1460000.36000000
        1.621560089164
        Long
        DBT
        NUSS
        PL
        N
        
        2
        
          2026-07-25
          Fixed
          0.02500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: MYR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -611.01000000
        -0.00067862272
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            158082.98000000
            USD
            663000.00000000
            MYR
            2022-05-18
            -611.01000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: THB/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2028.38000000
        0.002252835097
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            427147.56000000
            USD
            14271000.00000000
            THB
            2022-05-18
            2028.38000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/COP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -14003.59000000
        -0.01555318976
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            978900000.00000000
            COP
            243886.64000000
            USD
            2022-05-18
            -14003.59000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: USD/EGP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        31615.84000000
        0.035114364170
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            3963000.00000000
            EGP
            247223.96000000
            USD
            2022-05-18
            31615.84000000
          
        
        
          N
          N
          N
        
      
      
        POLAND REPUBLIC OF
        259400R9L8QEP0TPXS31
        POLAND GOVT 2.5% 01/25/2023
        N/A
        
          
        
        2750000.00000000
        PA
        
        641785.57000000
        0.712803842126
        Long
        DBT
        NUSS
        PL
        N
        
        2
        
          2023-01-25
          Fixed
          0.02500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOTA DO TESOURO NACIONAL
        254900ZFY40OYEADAP90
        NOTA DO TESOURO NACIONAL 10% 01/01/2029
        N/A
        
          
        
        3500000.00000000
        PA
        
        687015.44000000
        0.763038728390
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2029-01-01
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNGARY REPUBLIC OF
        5299008DH62LEB10JK83
        HUNGARY REPUBLIC OF 3.25% 10/22/2031
        N/A
        
          
        
        223000000.00000000
        PA
        
        537276.91000000
        0.596730533741
        Long
        DBT
        NUSS
        HU
        N
        
        2
        
          2031-10-22
          Fixed
          0.03250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THAILAND KINGDOM OF
        254900PHJ6MSKT6C7026
        THAILAND KINGDOM OF 2.875% 06/17/2046
        N/A
        
          
        
        4500000.00000000
        PA
        
        121783.37000000
        0.135259591522
        Long
        DBT
        NUSS
        TH
        N
        
        2
        
          2046-06-17
          Fixed
          0.02875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: IDR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -821.79000000
        -0.00091272708
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            128454.87000000
            USD
            1836500000.00000000
            IDR
            2022-05-18
            -821.79000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: USD/RUB settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7981.79000000
        0.008865033501
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            40581000.00000000
            RUB
            484364.18000000
            USD
            2022-05-18
            7981.79000000
          
        
        
          N
          N
          N
        
      
      
        CHILE REPUBLIC OF
        549300FLZTJM5YJF8D34
        BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 4.5% 03/01/2026
        N/A
        
          
        
        695000000.00000000
        PA
        
        822513.42000000
        0.913530551920
        Long
        DBT
        NUSS
        CL
        N
        
        2
        
          2026-03-01
          Fixed
          0.04500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTER AMERICAN DEV BANK
        VKU1UKDS9E7LYLMACP54
        INTER AMERICAN DEV BANK 5.7% 11/12/2024
        N/A
        
          
        
        20000000.00000000
        PA
        
        257301.27000000
        0.285773539345
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-12
          Fixed
          0.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: CNY/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4779.32000000
        0.005308186749
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            847802.28000000
            USD
            5420000.00000000
            CNY
            2022-05-18
            4779.32000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/PLN settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        908.07000000
        0.001008554593
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            1294000.00000000
            PLN
            307527.12000000
            USD
            2022-05-18
            908.07000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: PHP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5171.42000000
        0.005743675485
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            450019.06000000
            USD
            23608000.00000000
            PHP
            2022-05-18
            5171.42000000
          
        
        
          N
          N
          N
        
      
      
        SOUTH AFRICA REPUBLIC OF
        549300KEVMSOSY8T8R35
        SOUTH AFRICA REPUBLIC OF 8.0% 01/31/2030
        N/A
        
          
        
        53500000.00000000
        PA
        
        3345762.77000000
        3.715995916360
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2030-01-31
          Fixed
          0.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA REPUBLIC OF
        254900G208H6Q0L5B953
        INDONESIA GOVT 8.25% 05/15/2029
        N/A
        
          
        
        26000000000.00000000
        PA
        
        1970478.68000000
        2.188526572718
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2029-05-15
          Fixed
          0.08250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: HUF/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1908.53000000
        0.002119722817
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            49602.43000000
            USD
            17215000.00000000
            HUF
            2022-05-18
            1908.53000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/CNY settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        13.97000000
        0.000015515882
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            3470000.00000000
            CNY
            545854.96000000
            USD
            2022-05-18
            13.97000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/COP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3157.06000000
        -0.00350641180
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            1625072000.00000000
            COP
            424966.53000000
            USD
            2022-05-18
            -3157.06000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: USD/CNY settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1517.74000000
        -0.00168568904
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            1425000.00000000
            CNY
            222638.86000000
            USD
            2022-05-18
            -1517.74000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: MYR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -39.86000000
        -0.00004427080
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            217127.92000000
            USD
            914000.00000000
            MYR
            2022-05-18
            -39.86000000
          
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT OF
        254900GSIL471JOBYY43
        MALAYSIA GOVT OF 4.065% 06/15/2050
        N/A
        
          
        
        3750000.00000000
        PA
        
        824005.59000000
        0.915187841455
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2050-06-15
          Fixed
          0.04065000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CZECH REPUBLIC
        3157007EFDLQABN47912
        CZECH REPUBLIC 2% 10/13/2033
        N/A
        
          
        
        22000000.00000000
        PA
        
        836722.72000000
        0.929312214997
        Long
        DBT
        NUSS
        CZ
        N
        
        2
        
          2033-10-13
          Fixed
          0.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: ZAR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        16055.61000000
        0.017832280796
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            305643.49000000
            USD
            4728000.00000000
            ZAR
            2022-05-18
            16055.61000000
          
        
        
          N
          N
          N
        
      
      
        KAZAKHSTAN REPUBLIC OF
        5493007OEK8EF02UO833
        KAZAKHSTAN REPUBLIC OF 8.05% 05/20/2024
        N/A
        
          
        
        140000000.00000000
        PA
        
        260649.87000000
        0.289492686452
        Long
        DBT
        NUSS
        KZ
        N
        
        2
        
          2024-05-20
          Fixed
          0.08050000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: USD/KZT settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -67939.34000000
        -0.07545732538
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            267476000.00000000
            KZT
            490781.65000000
            USD
            2022-05-18
            -67939.34000000
          
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        DOMINICAN REPUBLIC 8.9% 02/15/2023 REGS
        N/A
        
          
        
        46000000.00000000
        PA
        
        849725.12000000
        0.943753425754
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2023-02-15
          Fixed
          0.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CZECH REPUBLIC
        3157007EFDLQABN47912
        CZECH REPUBLIC 0.95% 05/15/2030 REGS
        N/A
        
          
        
        24750000.00000000
        PA
        
        901439.74000000
        1.001190647083
        Long
        DBT
        NUSS
        CZ
        N
        
        2
        
          2030-05-15
          Fixed
          0.00950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        MEXICO GOVT 7.75% 11/13/42
        N/A
        
          
        
        38250000.00000000
        PA
        
        1798379.81000000
        1.997383702738
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2042-11-13
          Fixed
          0.07750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/IDR settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1561.74000000
        -0.00173455796
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            4989600000.00000000
            IDR
            345205.48000000
            USD
            2022-05-18
            -1561.74000000
          
        
        
          N
          N
          N
        
      
      
        THAILAND KINGDOM OF
        254900PHJ6MSKT6C7026
        THAILAND GOVT 2% 12/17/2022
        N/A
        
          
        
        6000000.00000000
        PA
        
        182193.21000000
        0.202354222606
        Long
        DBT
        NUSS
        TH
        N
        
        2
        
          2022-12-17
          Fixed
          0.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: TRY/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4357.66000000
        -0.00483986698
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            242681.66000000
            USD
            3619000.00000000
            TRY
            2022-05-18
            -4357.66000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: USD/CNY settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4167.62000000
        -0.00462879766
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            2795000.00000000
            CNY
            435493.92000000
            USD
            2022-05-18
            -4167.62000000
          
        
        
          N
          N
          N
        
      
      
        RUSSIAN FEDERATION
        5493004EHVGF71PDBU58
        RUSSIAN FEDN 8.5% 09/17/2031
        N/A
        
          
        
        141000000.00000000
        PA
        
        52061.54000000
        0.057822530567
        Long
        DBT
        NUSS
        RU
        N
        
        3
        
          2031-09-17
          Fixed
          0.08500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TURKEY REPUBLIC OF
        5493000PCHOG3B6S3Q85
        TURKEY REPUBLIC OF 12.4% 03/08/2028
        N/A
        
          
        
        4000000.00000000
        PA
        
        174553.14000000
        0.193868722924
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2028-03-08
          Fixed
          0.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/COP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2926.02000000
        -0.00324980553
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            1718000000.00000000
            COP
            449679.36000000
            USD
            2022-05-18
            -2926.02000000
          
        
        
          N
          N
          N
        
      
      
        PERU, REPUBLIC OF
        254900STKLK2DBJJZ530
        PERU REPUBLIC OF 5.4% 08/12/2034
        N/A
        
          
        
        3250000.00000000
        PA
        
        773643.15000000
        0.859252428743
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2034-08-12
          Fixed
          0.05400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: IDR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -892.96000000
        -0.00099177256
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            117983.19000000
            USD
            1684800000.00000000
            IDR
            2022-05-18
            -892.96000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: CZK/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -25113.49000000
        -0.02789248153
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            1855778.17000000
            USD
            40613000.00000000
            CZK
            2022-05-18
            -25113.49000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/CLP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5070.97000000
        0.005632109957
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            394648000.00000000
            CLP
            502736.31000000
            USD
            2022-05-18
            5070.97000000
          
        
        
          N
          N
          N
        
      
      
        THAILAND KINGDOM OF
        254900PHJ6MSKT6C7026
        THAILAND KINGDOM OF 3.3% 06/17/2038
        N/A
        
          
        
        35250000.00000000
        PA
        
        1079737.54000000
        1.199218404053
        Long
        DBT
        NUSS
        TH
        N
        
        2
        
          2038-06-17
          Fixed
          0.03300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/PLN settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -14407.27000000
        -0.01600153990
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            2875000.00000000
            PLN
            666836.76000000
            USD
            2022-05-18
            -14407.27000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: THB/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -682.24000000
        -0.00075773485
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            435451.81000000
            USD
            14457000.00000000
            THB
            2022-05-18
            -682.24000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLICA ORIENTAL DEL URUGUAY
        549300RDR012H2V82H43
        URUGUAY REPUBLICA ORIENTAL DL 8.25% 05/21/2031
        917288BM3
        
          
        
        6500000.00000000
        PA
        
        151629.96000000
        0.168408925226
        Long
        DBT
        NUSS
        UY
        N
        
        2
        
          2031-05-21
          Fixed
          0.08250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: RUB/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -36174.47000000
        -0.04017743995
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            488679.63000000
            USD
            38547000.00000000
            RUB
            2022-05-18
            -36174.47000000
          
        
        
          N
          N
          N
        
      
      
        RUSSIAN FEDERATION
        5493004EHVGF71PDBU58
        RUSSIAN FEDN 7.05% 01/19/2028
        N/A
        
          
        
        42750000.00000000
        PA
        
        15784.62000000
        0.017531303769
        Long
        DBT
        NUSS
        RU
        N
        
        3
        
          2028-01-19
          Fixed
          0.07050000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA PEOPLES REPUBLIC OF
        300300CHN201808MOF68
        CHINA PEOPLES REPUBLIC OF 2.88% 11/05/2023
        N/A
        
          
        
        18950000.00000000
        PA
        
        3014054.29000000
        3.347581464459
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2023-11-05
          Fixed
          0.02880000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHILE REPUBLIC OF
        549300FLZTJM5YJF8D34
        BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 4% 03/01/2023 144A REGS
        N/A
        
          
        
        400000000.00000000
        PA
        
        495833.86000000
        0.550701506835
        Long
        DBT
        NUSS
        CL
        N
        
        2
        
          2023-03-01
          Fixed
          0.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: MXN/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2958.72000000
        0.003286124030
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            66817.45000000
            USD
            1399000.00000000
            MXN
            2022-05-18
            2958.72000000
          
        
        
          N
          N
          N
        
      
      
        THAILAND KINGDOM OF
        254900PHJ6MSKT6C7026
        THAILAND KINGDOM OF 1.6% 06/17/2035
        N/A
        
          
        
        36250000.00000000
        PA
        
        938707.73000000
        1.042582613033
        Long
        DBT
        NUSS
        TH
        N
        
        2
        
          2035-06-17
          Fixed
          0.01600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: USD/MXN settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -28312.29000000
        -0.03144525217
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            10134000.00000000
            MXN
            477128.55000000
            USD
            2022-05-18
            -28312.29000000
          
        
        
          N
          N
          N
        
      
      
        CHINA PEOPLES REPUBLIC OF
        300300CHN201808MOF68
        CHINA PEOPLES REPUBLIC OF 3.81% 09/14/2050
        N/A
        
          
        
        2500000.00000000
        PA
        
        419820.78000000
        0.466277023007
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2050-09-14
          Fixed
          0.03810000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNGARY REPUBLIC OF
        5299008DH62LEB10JK83
        HUNGARY REPUBLIC OF 3% 10/27/2038
        N/A
        
          
        
        160000000.00000000
        PA
        
        332352.83000000
        0.369130103946
        Long
        DBT
        NUSS
        HU
        N
        
        2
        
          2038-10-27
          Fixed
          0.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA REPUBLIC OF
        254900G208H6Q0L5B953
        INDONESIA REPUBLIC OF 7.5% 04/15/2040
        N/A
        
          
        
        12000000000.00000000
        PA
        
        850966.06000000
        0.945131684850
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2040-04-15
          Fixed
          0.07500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERU, REPUBLIC OF
        254900STKLK2DBJJZ530
        PERU GOVT 6.95% 8/12/31
        N/A
        
          
        
        1750000.00000000
        PA
        
        487132.82000000
        0.541037633055
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2031-08-12
          Fixed
          0.06950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLICA ORIENTAL DEL URUGUAY
        549300RDR012H2V82H43
        URUGUAY REPUBLICA ORIENTAL DL 9.875% 06/20/2022 RGS
        N/A
        
          
        
        8500000.00000000
        PA
        
        206980.59000000
        0.229884507683
        Long
        DBT
        NUSS
        UY
        N
        
        2
        
          2022-06-20
          Fixed
          0.09875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA REPUBLIC OF
        254900G208H6Q0L5B953
        INDONESIA TREASURY BOND 8.375% 03/15/2034
        N/A
        
          
        
        15800000000.00000000
        PA
        
        1205695.39000000
        1.339114412351
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2034-03-15
          Fixed
          0.08375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSSIAN FEDERATION
        5493004EHVGF71PDBU58
        RUSSIAN FEDN 7.25% 05/10/2034
        N/A
        
          
        
        61000000.00000000
        PA
        
        22523.08000000
        0.025015423703
        Long
        DBT
        NUSS
        RU
        N
        
        3
        
          2034-05-10
          Fixed
          0.07250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KAZAKHSTAN REPUBLIC OF
        5493007OEK8EF02UO833
        KAZAKHSTAN GOVERNMENT BOND - MEOKAM 10.5% 08/04/2026
        N/A
        
          
        
        90000000.00000000
        PA
        
        164441.24000000
        0.182637867155
        Long
        DBT
        NUSS
        KZ
        N
        
        2
        
          2026-08-04
          Fixed
          0.10500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: USD/EGP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        30419.96000000
        0.033786151292
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            3758000.00000000
            EGP
            234875.00000000
            USD
            2022-05-18
            30419.96000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: RON/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3957.68000000
        -0.00439562626
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            216224.45000000
            USD
            954000.00000000
            RON
            2022-05-18
            -3957.68000000
          
        
        
          N
          N
          N
        
      
      
        BRAZILIAN GOVERNMENT INTERNATIONAL BOND
        254900ZFY40OYEADAP90
        BRAZIL GOVT 10% 1/01/23
        N/A
        
          
        
        9000000.00000000
        PA
        
        1855102.45000000
        2.060383118146
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2023-01-01
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: COP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        257.95000000
        0.000286494056
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            233184.21000000
            USD
            886100000.00000000
            COP
            2022-05-18
            257.95000000
          
        
        
          N
          N
          N
        
      
      
        BRAZILIAN GOVERNMENT INTERNATIONAL BOND
        254900ZFY40OYEADAP90
        NOTAS DO TESOURO 10% 01/01/2025
        N/A
        
          
        
        12000000.00000000
        PA
        
        2434362.34000000
        2.703742356001
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2025-01-01
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOTA DO TESOURO NACIONAL
        254900ZFY40OYEADAP90
        NOTA DO TESOURO NACIONAL 10.0% 01/01/2027
        N/A
        
          
        
        4250000.00000000
        PA
        
        849592.23000000
        0.943605830503
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2027-01-01
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        POLAND REPUBLIC OF
        259400R9L8QEP0TPXS31
        POLAND REPUBLIC OF 2.75% 10/25/2029
        N/A
        
          
        
        9500000.00000000
        PA
        
        1925571.49000000
        2.138650073358
        Long
        DBT
        NUSS
        PL
        N
        
        2
        
          2029-10-25
          Fixed
          0.02750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EGYPT, (ARAB) REPUBLIC OF
        529900GFIVH4086NMH82
        EGYPT (ARAB) REP OF 15.9% 07/02/2024
        N/A
        
          
        
        3750000.00000000
        PA
        
        208809.15000000
        0.231915411234
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2024-07-02
          Fixed
          0.15900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: CZK/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1271.65000000
        0.001412367382
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            203192.31000000
            USD
            4536000.00000000
            CZK
            2022-05-18
            1271.65000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: TRY/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -486.50000000
        -0.00054033478
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            157020.39000000
            USD
            2377000.00000000
            TRY
            2022-05-18
            -486.50000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/CLP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6470.81000000
        -0.00718685250
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            158677000.00000000
            CLP
            193626.60000000
            USD
            2022-05-18
            -6470.81000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: RUB/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -189736.06000000
        -0.21073174418
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            2629908.91000000
            USD
            207868000.00000000
            RUB
            2022-05-18
            -189736.06000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: USD/PEN settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4679.86000000
        -0.00519772077
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            671000.00000000
            PEN
            177021.50000000
            USD
            2022-05-18
            -4679.86000000
          
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT OF
        254900GSIL471JOBYY43
        MALAYSIA GOVT OF 3.885% 08/15/2029
        N/A
        
          
        
        4800000.00000000
        PA
        
        1140276.80000000
        1.266456776408
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2029-08-15
          Fixed
          0.03885000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/IDR settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        155.56000000
        0.000172773852
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            2951700000.00000000
            IDR
            205292.81000000
            USD
            2022-05-18
            155.56000000
          
        
        
          N
          N
          N
        
      
      
        Fidelity Revere Street Trust
        549300BDV45LJNXBZC55
        Fidelity Cash Central Fund
        31635A105
        
          
        
        14078662.61300000
        NS
        USD
        14081478.35000000
        15.63969702637
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: EGP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -128369.96000000
        -0.14257503592
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            997439.90000000
            USD
            15974000.00000000
            EGP
            2022-05-18
            -128369.96000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/THB settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8512.76000000
        0.009454759219
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            18652000.00000000
            THB
            569439.78000000
            USD
            2022-05-18
            8512.76000000
          
        
        
          N
          N
          N
        
      
      
        PERU, REPUBLIC OF
        254900STKLK2DBJJZ530
        PERU REPUBLIC OF 5.35% 08/12/2040
        N/A
        
          
        
        500000.00000000
        PA
        
        112022.57000000
        0.124418687539
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2040-08-12
          Fixed
          0.05350000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/THB settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4802.34000000
        -0.00533375408
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            14996000.00000000
            THB
            446176.73000000
            USD
            2022-05-18
            -4802.34000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: TRY/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4554.04000000
        -0.00505797786
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            75807.58000000
            USD
            1082000.00000000
            TRY
            2022-05-18
            -4554.04000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/EGP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        78602.12000000
        0.087300020060
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            11078000.00000000
            EGP
            681303.81000000
            USD
            2022-05-18
            78602.12000000
          
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: MXN/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        12012.59000000
        0.013341871033
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            1030390.56000000
            USD
            20900000.00000000
            MXN
            2022-05-18
            12012.59000000
          
        
        
          N
          N
          N
        
      
      
        BRAZIL LETRAS DO TESOURO NACIONAL
        254900ZFY40OYEADAP90
        BRAZIL LETRAS DO TESOURO NACIONAL 0% 01/01/2024
        N/A
        
          
        
        2500000.00000000
        PA
        
        429811.07000000
        0.477372811739
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2024-01-01
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/THB settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3927.68000000
        -0.00436230654
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            7684000.00000000
            THB
            227155.49000000
            USD
            2022-05-18
            -3927.68000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: HUF/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        31431.21000000
        0.034909303508
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            645422.56000000
            USD
            226205000.00000000
            HUF
            2022-05-18
            31431.21000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: USD/RUB settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -319393.73000000
        -0.35473698465
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            88500000.00000000
            RUB
            719512.20000000
            USD
            2022-05-18
            -319393.73000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, N.A.
        B4TYDEB6GKMZO031MB27
        FX Forward: USD/PLN settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11042.44000000
        0.012264366832
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, N.A.
              B4TYDEB6GKMZO031MB27
            
            937000.00000000
            PLN
            233068.75000000
            USD
            2022-05-18
            11042.44000000
          
        
        
          N
          N
          N
        
      
      
        TURKEY REPUBLIC OF
        5493000PCHOG3B6S3Q85
        TURKEY REPUBLIC OF 11% 02/24/2027
        N/A
        
          
        
        750000.00000000
        PA
        
        31680.78000000
        0.035186490256
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2027-02-24
          Fixed
          0.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTH AFRICA REPUBLIC OF
        549300KEVMSOSY8T8R35
        SOUTH AFRICA GOVT 6.5 2/28/41
        N/A
        
          
        
        29000000.00000000
        PA
        
        1330422.95000000
        1.477643990052
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2041-02-28
          Fixed
          0.06500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: USD/PHP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -25.35000000
        -0.00002815516
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            11369000.00000000
            PHP
            219182.57000000
            USD
            2022-05-18
            -25.35000000
          
        
        
          N
          N
          N
        
      
      
        EGYPT, (ARAB) REPUBLIC OF
        529900GFIVH4086NMH82
        EGYPT (ARAB) REP OF 14.556% 10/13/2027
        N/A
        
          
        
        7000000.00000000
        PA
        
        378005.74000000
        0.419834842684
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2027-10-13
          Fixed
          0.14556000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: MYR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        246.96000000
        0.000274287932
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            602089.27000000
            USD
            2536000.00000000
            MYR
            2022-05-18
            246.96000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: PLN/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        39855.40000000
        0.044265691809
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            1798911.09000000
            USD
            7760000.00000000
            PLN
            2022-05-18
            39855.40000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/COP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8058.50000000
        -0.00895023202
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            618300000.00000000
            COP
            154832.02000000
            USD
            2022-05-18
            -8058.50000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: CZK/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5075.52000000
        0.005637163448
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            105901.17000000
            USD
            2462000.00000000
            CZK
            2022-05-18
            5075.52000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/THB settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1112.52000000
        -0.00123562848
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            14031000.00000000
            THB
            420845.83000000
            USD
            2022-05-18
            -1112.52000000
          
        
        
          N
          N
          N
        
      
      
        CHILE REPUBLIC OF
        549300FLZTJM5YJF8D34
        BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 4.7% 09/01/2030 144A REGS
        N/A
        
          
        
        200000000.00000000
        PA
        
        230203.74000000
        0.255677469257
        Long
        DBT
        NUSS
        CL
        N
        
        2
        
          2030-09-01
          Fixed
          0.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TURKEY REPUBLIC OF
        5493000PCHOG3B6S3Q85
        TURKEY REPUBLIC OF 8.0% 03/12/2025
        N/A
        
          
        
        7250000.00000000
        PA
        
        332313.80000000
        0.369086754991
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2025-03-12
          Fixed
          0.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVT OF
        254900GSIL471JOBYY43
        MALAYSIA GOVT OF 4.762% 04/07/2037
        N/A
        
          
        
        3550000.00000000
        PA
        
        893440.80000000
        0.992306565808
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2037-04-07
          Fixed
          0.04762000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: USD/COP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -13420.21000000
        -0.01490525449
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            1081100000.00000000
            COP
            271394.50000000
            USD
            2022-05-18
            -13420.21000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        COLOMBIA TREAS 10% 7/24/24
        N/A
        
          
        
        4200000000.00000000
        PA
        
        1141120.01000000
        1.267393293768
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2024-07-24
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: THB/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -133556.74000000
        -0.14833577111
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            5179073.06000000
            USD
            167774000.00000000
            THB
            2022-05-18
            -133556.74000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA, REPUBLIC OF
        315700IASY927EDWBK92
        ROMANIA REPUBLIC OF 4.25% 06/28/2023
        N/A
        
          
        
        3750000.00000000
        PA
        
        831822.46000000
        0.923869705351
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2023-06-28
          Fixed
          0.04250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHILE REPUBLIC OF
        549300FLZTJM5YJF8D34
        BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 5.0% 03/01/2035
        N/A
        
          
        
        455000000.00000000
        PA
        
        521884.88000000
        0.579635262930
        Long
        DBT
        NUSS
        CL
        N
        
        2
        
          2035-03-01
          Fixed
          0.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOTA DO TESOURO NACIONAL
        254900ZFY40OYEADAP90
        NOTA DO TESOURO NACIONAL 10% 01/01/2031
        N/A
        
          
        
        2000000.00000000
        PA
        
        385447.96000000
        0.428100598814
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2031-01-01
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        TITULOS DE TESORERIA B 7% 06/30/2032
        N/A
        
          
        
        5050000000.00000000
        PA
        
        1104182.44000000
        1.226368311210
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2032-06-30
          Fixed
          0.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: EGP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -70707.23000000
        -0.07853150267
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            550561.80000000
            USD
            8820000.00000000
            EGP
            2022-05-18
            -70707.23000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: INR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1519.54000000
        0.001687688226
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            216726.33000000
            USD
            16650000.00000000
            INR
            2022-05-18
            1519.54000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA, REPUBLIC OF
        315700IASY927EDWBK92
        ROMANIA REPUBLIC OF 5% 02/12/2029
        N/A
        
          
        
        1000000.00000000
        PA
        
        210260.54000000
        0.233527408164
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2029-02-12
          Fixed
          0.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        TITULOS DE TESORERIA B 7.25% 10/26/2050
        N/A
        
          
        
        650000000.00000000
        PA
        
        127465.21000000
        0.141570168717
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2050-10-26
          Fixed
          0.07250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: ZAR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11569.71000000
        0.012849983118
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            241884.00000000
            USD
            3725000.00000000
            ZAR
            2022-05-18
            11569.71000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: HUF/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -20244.71000000
        -0.02248493538
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            420243.88000000
            USD
            133680000.00000000
            HUF
            2022-05-18
            -20244.71000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: MYR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5390.07000000
        -0.00598652070
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            2447274.46000000
            USD
            10281000.00000000
            MYR
            2022-05-18
            -5390.07000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: MYR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -527.51000000
        -0.00058588284
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            216190.48000000
            USD
            908000.00000000
            MYR
            2022-05-18
            -527.51000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/BRL settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7134.12000000
        -0.00792356261
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            361000.00000000
            BRL
            67729.83000000
            USD
            2022-05-18
            -7134.12000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: USD/PLN settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7073.91000000
        0.007856689932
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            2013000.00000000
            PLN
            484063.21000000
            USD
            2022-05-18
            7073.91000000
          
        
        
          N
          N
          N
        
      
      
        INDONESIA REPUBLIC OF
        254900G208H6Q0L5B953
        INDONESIA GOVT 8.125% 05/15/2024
        N/A
        
          
        
        2500000000.00000000
        PA
        
        186945.17000000
        0.207632021771
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2024-05-15
          Fixed
          0.08125000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/BRL settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -42455.91000000
        -0.04715396728
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            2528000.00000000
            BRL
            481799.12000000
            USD
            2022-05-18
            -42455.91000000
          
        
        
          N
          N
          N
        
      
      
        RUSSIAN FEDERATION
        5493004EHVGF71PDBU58
        RUSSIAN FEDN 7.7% 03/16/2039
        N/A
        
          
        
        31500000.00000000
        PA
        
        11630.77000000
        0.012917799854
        Long
        DBT
        NUSS
        RU
        N
        
        3
        
          2039-03-16
          Fixed
          0.07700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: EGP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1513.65000000
        0.001681146454
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            186184.57000000
            USD
            3450000.00000000
            EGP
            2022-05-18
            1513.65000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, N.A.
        B4TYDEB6GKMZO031MB27
        FX Forward: MXN/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3689.68000000
        0.004097970105
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, N.A.
              B4TYDEB6GKMZO031MB27
            
            110675.41000000
            USD
            2293000.00000000
            MXN
            2022-05-18
            3689.68000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: COP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        552.93000000
        0.000614115752
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            216397.32000000
            USD
            823500000.00000000
            COP
            2022-05-18
            552.93000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: TRY/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3616.34000000
        0.004016514497
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            55651.85000000
            USD
            900000.00000000
            TRY
            2022-05-18
            3616.34000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: IDR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -626.67000000
        -0.00069601562
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            231783.97000000
            USD
            3326100000.00000000
            IDR
            2022-05-18
            -626.67000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        MEXICAN BONOS 7.75% 11/23/2034
        N/A
        
          
        
        4500000.00000000
        PA
        
        216840.50000000
        0.240835488913
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2034-11-23
          Fixed
          0.07750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THAILAND KINGDOM OF
        254900PHJ6MSKT6C7026
        THAILAND GOVT 4.875% 6/22/29
        N/A
        
          
        
        15000000.00000000
        PA
        
        533115.69000000
        0.592108844282
        Long
        DBT
        NUSS
        TH
        N
        
        2
        
          2029-06-22
          Fixed
          0.04875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: MYR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        870.33000000
        0.000966638386
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            219067.90000000
            USD
            926000.00000000
            MYR
            2022-05-18
            870.33000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: USD/PHP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1294.16000000
        -0.00143736827
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            12239000.00000000
            PHP
            234688.40000000
            USD
            2022-05-18
            -1294.16000000
          
        
        
          N
          N
          N
        
      
      
        CZECH REPUBLIC
        3157007EFDLQABN47912
        CZECH REPUBLIC 1.2% 03/13/2031
        N/A
        
          
        
        25000000.00000000
        PA
        
        914034.65000000
        1.015179276088
        Long
        DBT
        NUSS
        CZ
        N
        
        2
        
          2031-03-13
          Fixed
          0.01200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: MYR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -868.85000000
        -0.00096499461
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            442170.40000000
            USD
            1858000.00000000
            MYR
            2022-05-18
            -868.85000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: MXN/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6202.54000000
        0.006888896462
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            224422.92000000
            USD
            4624000.00000000
            MXN
            2022-05-18
            6202.54000000
          
        
        
          N
          N
          N
        
      
      
        RUSSIAN FEDERATION
        5493004EHVGF71PDBU58
        RUSSIAN FEDN 6.9% 05/23/2029
        N/A
        
          
        
        45000000.00000000
        PA
        
        16615.38000000
        0.018453993445
        Long
        DBT
        NUSS
        RU
        N
        
        3
        
          2029-05-23
          Fixed
          0.06900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA REPUBLIC OF
        254900G208H6Q0L5B953
        INDONESIA REPUBLIC OF 6.5% 06/15/2025
        N/A
        
          
        
        12750000000.00000000
        PA
        
        923681.46000000
        1.025893576243
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-06-15
          Fixed
          0.06500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROWN BROTHERS HARRIMAN and CO.
        5493006KMX1VFTPYPW14
        FX Forward: ZAR/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7000.23000000
        0.007774856701
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BROWN BROTHERS HARRIMAN and CO.
              5493006KMX1VFTPYPW14
            
            169839.02000000
            USD
            2599000.00000000
            ZAR
            2022-05-18
            7000.23000000
          
        
        
          N
          N
          N
        
      
      
        CHILE REPUBLIC OF
        549300FLZTJM5YJF8D34
        BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 6.0% 01/01/2043
        N/A
        
          
        
        75000000.00000000
        PA
        
        94732.01000000
        0.105214800482
        Long
        DBT
        NUSS
        CL
        N
        
        2
        
          2043-01-01
          Fixed
          0.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: COP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        11488.71000000
        0.012760019875
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            521020.75000000
            USD
            2021300000.00000000
            COP
            2022-05-18
            11488.71000000
          
        
        
          N
          N
          N
        
      
      
        KAZAKHSTAN REPUBLIC OF
        5493007OEK8EF02UO833
        KAZAKHSTAN GOVERNMENT BOND - MEUKAM 7.2% 05/27/2025
        N/A
        
          
        
        200000000.00000000
        PA
        
        339858.98000000
        0.377466864400
        Long
        DBT
        NUSS
        KZ
        N
        
        2
        
          2025-05-27
          Fixed
          0.07200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: THB/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -7465.71000000
        -0.00829184547
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            243240.31000000
            USD
            7840000.00000000
            THB
            2022-05-18
            -7465.71000000
          
        
        
          N
          N
          N
        
      
      
        INDONESIA REPUBLIC OF
        254900G208H6Q0L5B953
        INDONESIA REPUBLIC OF 8.375% 04/15/2039
        N/A
        
          
        
        6000000000.00000000
        PA
        
        462036.55000000
        0.513164277038
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2039-04-15
          Fixed
          0.08375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNGARY REPUBLIC OF
        5299008DH62LEB10JK83
        HUNGARY GOVT 6.75% 10/22/28
        N/A
        
          
        
        198000000.00000000
        PA
        
        608690.13000000
        0.676046149383
        Long
        DBT
        NUSS
        HU
        N
        
        2
        
          2028-10-22
          Fixed
          0.06750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: PLN/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3774.92000000
        0.004192642535
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            210194.94000000
            USD
            903000.00000000
            PLN
            2022-05-18
            3774.92000000
          
        
        
          N
          N
          N
        
      
      
        BROWN BROTHERS HARRIMAN and CO.
        5493006KMX1VFTPYPW14
        FX Forward: USD/ZAR settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10325.71000000
        -0.01146832541
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BROWN BROTHERS HARRIMAN and CO.
              5493006KMX1VFTPYPW14
            
            2599000.00000000
            ZAR
            166513.54000000
            USD
            2022-05-18
            -10325.71000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: PLN/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8786.15000000
        0.009758401824
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            200444.62000000
            USD
            883000.00000000
            PLN
            2022-05-18
            8786.15000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: USD/CNY settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4802.46000000
        -0.00533388736
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            2850000.00000000
            CNY
            443510.74000000
            USD
            2022-05-18
            -4802.46000000
          
        
        
          N
          N
          N
        
      
      
        EGYPT, (ARAB) REPUBLIC OF
        529900GFIVH4086NMH82
        EGYPT (ARAB) REPUBLIC OF 14.531% 09/14/2024
        N/A
        
          
        
        3750000.00000000
        PA
        
        203160.05000000
        0.225641196960
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2024-09-14
          Fixed
          0.14531000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, N.A.
        B4TYDEB6GKMZO031MB27
        FX Forward: BRL/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4591.98000000
        0.005100116206
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, N.A.
              B4TYDEB6GKMZO031MB27
            
            210045.66000000
            USD
            1035000.00000000
            BRL
            2022-05-18
            4591.98000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: BRL/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        47206.32000000
        0.052430044927
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            573065.35000000
            USD
            2991000.00000000
            BRL
            2022-05-18
            47206.32000000
          
        
        
          N
          N
          N
        
      
      
        SOUTH AFRICA REPUBLIC OF
        549300KEVMSOSY8T8R35
        SOUTH AFRICA 7% 2/28/31
        N/A
        
          
        
        4500000.00000000
        PA
        
        256908.01000000
        0.285336762247
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2031-02-28
          Fixed
          0.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA PEOPLES REPUBLIC OF
        300300CHN201808MOF68
        CHINA PEOPLES REPUBLIC OF 3.28% 12/03/2027
        N/A
        
          
        
        20000000.00000000
        PA
        
        3249641.64000000
        3.609238279579
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2027-12-03
          Fixed
          0.03280000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THAILAND KINGDOM OF
        254900PHJ6MSKT6C7026
        THAILAND KINGDOM OF 1.6% 12/17/2029
        N/A
        
          
        
        24000000.00000000
        PA
        
        689536.63000000
        0.765838906522
        Long
        DBT
        NUSS
        TH
        N
        
        2
        
          2029-12-17
          Fixed
          0.01600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/PLN settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3599.40000000
        -0.00399769996
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            1182000.00000000
            PLN
            276480.75000000
            USD
            2022-05-18
            -3599.40000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: CLP/USD settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3645.17000000
        0.004048534748
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            217319.86000000
            USD
            175225000.00000000
            CLP
            2022-05-18
            3645.17000000
          
        
        
          N
          N
          N
        
      
      
        ASIAN INFRASTRUCTURE INVESTMENT BANK
        25490065OSV2524LCR32
        ASIAN INFRASTRUCTURE INVESTMENT BANK 2.375% 02/10/2025 REGS
        N/A
        
          
        
        19400000.00000000
        PA
        
        353628.18000000
        0.392759727190
        Long
        DBT
        CORP
        CN
        N
        
        2
        
          2025-02-10
          Fixed
          0.02375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: USD/IDR settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -509.78000000
        -0.00056619088
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            1358800000.00000000
            IDR
            93924.10000000
            USD
            2022-05-18
            -509.78000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        MEXICO GOVT 8% 12/07/23
        N/A
        
          
        
        26000000.00000000
        PA
        
        1299885.62000000
        1.443727480910
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2023-12-07
          Fixed
          0.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: USD/RUB settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        50407.50000000
        0.055985458931
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            40576000.00000000
            RUB
            526731.19000000
            USD
            2022-05-18
            50407.50000000
          
        
        
          N
          N
          N
        
      
      
        SOUTH AFRICA REPUBLIC OF
        549300KEVMSOSY8T8R35
        SOUTH AFRICA 8.75% 2/28/48
        N/A
        
          
        
        24500000.00000000
        PA
        
        1407699.50000000
        1.563471756087
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2048-02-28
          Fixed
          0.08750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERU, REPUBLIC OF
        254900STKLK2DBJJZ530
        PERU GOVERNMENT BOND 6.35% 08/12/2028
        N/A
        
          
        
        2825000.00000000
        PA
        
        765556.57000000
        0.850271009460
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2028-08-12
          Fixed
          0.06350000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THAILAND KINGDOM OF
        254900PHJ6MSKT6C7026
        THAILAND KINGDOM OF 1.585% 12/17/2035
        N/A
        
          
        
        11000000.00000000
        PA
        
        280988.44000000
        0.312081868130
        Long
        DBT
        NUSS
        TH
        N
        
        2
        
          2035-12-17
          Fixed
          0.01585000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: USD/EGP settle 2022-05-18
        N/A
        
          
        
        1.00000000
        NC
        N/A
        28478.27000000
        0.031629599077
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            3596000.00000000
            EGP
            224119.66000000
            USD
            2022-05-18
            28478.27000000
          
        
        
          N
          N
          N
        
      
    
    
      2022-04-30
      Stacie M. Smith
      Stacie M. Smith
      Stacie M. Smith
      President and Treasurer
    
  
  XXXX



Quarterly Holdings Report
for
Fidelity® Emerging Markets Debt Local Currency Central Fund
March 31, 2022
MDL-NPRT1-0522
1.9899758.101
Foreign Government and Government Agency Obligations - 82.0%
 
 
Principal
Amount (a)
 
Value ($)
 
Brazil - 10.0%
 
 
 
Brazil Letras Do Tesouro Nacio, yield at date of purchase 5.1772% to 6.2765% 7/1/23 to 1/1/24
BRL
15,500,000
2,783,363
Brazilian Federative Republic:
 
 
 
 10% 1/1/23
BRL
9,000,000
1,855,102
 10% 1/1/25
BRL
12,000,000
2,434,362
 10% 1/1/27
BRL
4,250,000
849,592
 10% 1/1/29
BRL
3,500,000
687,015
 10% 1/1/31
BRL
2,000,000
385,448
TOTAL BRAZIL
 
 
8,994,882
Chile - 2.4%
 
 
 
Chilean Republic:
 
 
 
 4% 3/1/23 (Reg. S) (b)
CLP
400,000,000
495,834
 4.5% 3/1/26
CLP
695,000,000
822,513
 4.7% 9/1/30 (Reg. S) (b)
CLP
200,000,000
230,204
 5% 3/1/35
CLP
455,000,000
521,885
 6% 1/1/43
CLP
75,000,000
94,732
TOTAL CHILE
 
 
2,165,168
China - 10.7%
 
 
 
Peoples Republic of China:
 
 
 
 2.68% 5/21/30
CNY
19,000,000
2,945,498
 2.88% 11/5/23
CNY
18,950,000
3,014,054
 3.28% 12/3/27
CNY
20,000,000
3,249,642
 3.81% 9/14/50
CNY
2,500,000
419,821
TOTAL CHINA
 
 
9,629,015
Colombia - 4.5%
 
 
 
Colombian Republic:
 
 
 
 5.75% 11/3/27
COP
3,350,000,000
751,984
 6% 4/28/28
COP
500,000,000
112,100
 7% 6/30/32
COP
5,050,000,000
1,104,182
 7.25% 10/26/50
COP
650,000,000
127,465
 7.5% 8/26/26
COP
3,400,000,000
843,900
 10% 7/24/24
COP
4,200,000,000
1,141,120
TOTAL COLOMBIA
 
 
4,080,751
Czech Republic - 2.9%
 
 
 
Czech Republic:
 
 
 
 0.95% 5/15/30 (Reg. S)
CZK
24,750,000
901,440
 1.2% 3/13/31
CZK
25,000,000
914,035
 2% 10/13/33
CZK
22,000,000
836,723
TOTAL CZECH REPUBLIC
 
 
2,652,198
Dominican Republic - 1.4%
 
 
 
Dominican Republic:
 
 
 
 8.9% 2/15/23(Reg. S)
DOP
46,000,000
849,725
 9.75% 6/5/26 (Reg. S)
DOP
20,000,000
368,015
TOTAL DOMINICAN REPUBLIC
 
 
1,217,740
Egypt - 1.1%
 
 
 
Arab Republic of Egypt:
 
 
 
 14.06% 1/12/26
EGP
4,000,000
213,509
 14.531% 9/14/24
EGP
3,750,000
203,160
 14.556% 10/13/27
EGP
7,000,000
378,006
 15.9% 7/2/24
EGP
3,750,000
208,809
TOTAL EGYPT
 
 
1,003,484
Hungary - 2.1%
 
 
 
Hungarian Republic:
 
 
 
 2.25% 6/22/34
HUF
100,000,000
204,935
 3% 6/26/24
HUF
75,000,000
209,954
 3% 10/27/38
HUF
160,000,000
332,353
 3.25% 10/22/31
HUF
223,000,000
537,277
 6.75% 10/22/28
HUF
198,000,000
608,690
TOTAL HUNGARY
 
 
1,893,209
Indonesia - 9.7%
 
 
 
Indonesian Republic:
 
 
 
 6.5% 6/15/25
IDR
12,750,000,000
923,681
 7.5% 4/15/40
IDR
12,000,000,000
850,966
 8.125% 5/15/24
IDR
2,500,000,000
186,945
 8.25% 5/15/29
IDR
26,000,000,000
1,970,479
 8.25% 5/15/36
IDR
8,750,000,000
661,010
 8.375% 9/15/26
IDR
32,400,000,000
2,497,253
 8.375% 3/15/34
IDR
15,800,000,000
1,205,695
 8.375% 4/15/39
IDR
6,000,000,000
462,037
TOTAL INDONESIA
 
 
8,758,066
Kazakhstan - 0.9%
 
 
 
Kazakhstan Republic:
 
 
 
 7.2% 5/27/25
KZT
200,000,000
339,859
 8.05% 5/20/24
KZT
140,000,000
260,650
 10.5% 8/4/26
KZT
90,000,000
164,441
TOTAL KAZAKHSTAN
 
 
764,950
Malaysia - 4.3%
 
 
 
Malaysian Government:
 
 
 
 3.828% 7/5/34
MYR
4,450,000
1,015,610
 3.885% 8/15/29
MYR
4,800,000
1,140,277
 4.065% 6/15/50
MYR
3,750,000
824,006
 4.762% 4/7/37
MYR
3,550,000
893,441
TOTAL MALAYSIA
 
 
3,873,334
Mexico - 8.8%
 
 
 
United Mexican States:
 
 
 
 5.75% 3/5/26
MXN
53,750,000
2,464,643
 7.75% 11/23/34
MXN
4,500,000
216,841
 7.75% 11/13/42
MXN
38,250,000
1,798,380
 8% 12/7/23
MXN
26,000,000
1,299,886
 8.5% 5/31/29
MXN
43,000,000
2,182,493
TOTAL MEXICO
 
 
7,962,243
Peru - 2.4%
 
 
 
Peruvian Republic:
 
 
 
 5.35% 8/12/40
PEN
500,000
112,023
 5.4% 8/12/34(Reg. S)
PEN
3,250,000
773,643
 6.35% 8/12/28
PEN
2,825,000
765,557
 6.95% 8/12/31
PEN
1,750,000
487,133
TOTAL PERU
 
 
2,138,356
Philippines - 0.2%
 
 
 
Philippine Republic 6.25% 1/14/36
PHP
10,000,000
200,264
Poland - 4.5%
 
 
 
Polish Government:
 
 
 
 2.5% 1/25/23
PLN
2,750,000
641,786
 2.5% 7/25/26
PLN
6,950,000
1,460,000
 2.75% 10/25/29
PLN
9,500,000
1,925,571
TOTAL POLAND
 
 
4,027,357
Romania - 1.7%
 
 
 
Romanian Republic:
 
 
 
 3.65% 9/24/31
RON
2,475,000
456,769
 4.25% 6/28/23
RON
3,750,000
831,822
 5% 2/12/29
RON
1,000,000
210,261
TOTAL ROMANIA
 
 
1,498,852
Russia - 0.1%
 
 
 
Ministry of Finance of the Russian Federation:
 
 
 
 6.9% 5/23/29 (c)
RUB
45,000,000
16,615
 7.05% 1/19/28 (c)
RUB
42,750,000
15,785
 7.25% 5/10/34 (c)
RUB
61,000,000
22,523
 7.7% 3/16/39 (c)
RUB
31,500,000
11,631
 8.5% 9/17/31 (c)
RUB
141,000,000
52,062
TOTAL RUSSIA
 
 
118,616
South Africa - 8.9%
 
 
 
South African Republic:
 
 
 
 6.5% 2/28/41
ZAR
29,000,000
1,330,423
 7% 2/28/31
ZAR
4,500,000
256,908
 8% 1/31/30
ZAR
53,500,000
3,345,762
 8.75% 2/28/48
ZAR
24,500,000
1,407,700
 8.875% 2/28/35
ZAR
26,500,000
1,630,953
TOTAL SOUTH AFRICA
 
 
7,971,746
Thailand - 4.3%
 
 
 
Kingdom of Thailand:
 
 
 
 1.585% 12/17/35
THB
11,000,000
280,988
 1.6% 12/17/29
THB
24,000,000
689,537
 1.6% 6/17/35
THB
36,250,000
938,708
 2% 12/17/22
THB
6,000,000
182,193
 2.875% 6/17/46
THB
4,500,000
121,783
 3.3% 6/17/38
THB
35,250,000
1,079,738
 4.875% 6/22/29
THB
15,000,000
533,116
TOTAL THAILAND
 
 
3,826,063
Turkey - 0.6%
 
 
 
Turkish Republic:
 
 
 
 8% 3/12/25
TRY
7,250,000
332,314
 11% 2/24/27
TRY
750,000
31,681
 12.4% 3/8/28
TRY
4,000,000
174,553
TOTAL TURKEY
 
 
538,548
Ukraine - 0.1%
 
 
 
Ukraine Government 11.15% 8/26/22 (c)
UAH
9,000,000
124,979
Uruguay - 0.4%
 
 
 
Uruguay Republic:
 
 
 
 8.25% 5/21/31
UYU
6,500,000
151,630
 9.875% 6/20/22
UYU
8,500,000
206,981
TOTAL URUGUAY
 
 
358,611
 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $81,217,402)
 
 
 
73,798,432
 
 
 
 
Supranational Obligations - 0.9%
 
 
Principal
Amount (a)
 
Value ($)
 
Asian Infrastructure Investment Bank 2.375% 2/10/25 (Reg. S)
PHP
19,400,000
353,628
Inter-American Development Bank 5.7% 11/12/24
INR
20,000,000
257,301
International Finance Corp. 5.85% 11/25/22
INR
17,500,000
230,296
 
TOTAL SUPRANATIONAL OBLIGATIONS
 (Cost $913,533)
 
 
841,225
 
 
 
 
Money Market Funds - 15.6%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 0.31% (d)
 
 (Cost $14,081,478)
 
 
14,078,663
14,081,478
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 98.5%
 (Cost $96,212,413)
 
 
 
88,721,135
NET OTHER ASSETS (LIABILITIES) - 1.5% (e)
1,312,835
NET ASSETS - 100.0%
90,033,970
 
 
 Forward Foreign Currency Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized  
Appreciation/
(Depreciation) ($)
 
 
 
 
 
 
 
BRL
1,035,000
USD
210,046
Bank Of America NA
5/18/22
4,592
BRL
1,559,000
USD
302,366
Citibank NA
5/18/22
20,938
BRL
2,991,000
USD
573,065
Goldman Sachs Bank USA
5/18/22
47,206
BRL
1,074,000
USD
208,787
HSBC Bank USA
5/18/22
13,938
BRL
682,000
USD
141,803
JPMorgan Chase Bank, N.A.
5/18/22
(370)
CLP
175,225,000
USD
217,320
Citibank NA
5/18/22
3,645
CLP
190,671,000
USD
240,321
Citibank NA
5/18/22
122
CLP
192,066,000
USD
236,943
Citibank NA
5/18/22
5,259
CNY
957,000
USD
150,106
BNP Paribas
5/18/22
433
CNY
5,420,000
USD
847,802
BNP Paribas
5/18/22
4,779
CNY
5,706,000
USD
889,339
State Street Bank And Trust Co
5/18/22
8,231
COP
2,062,500,000
USD
522,946
BNP Paribas
5/18/22
20,417
COP
821,800,000
USD
215,724
Bank Of America NA
5/18/22
779
COP
2,021,300,000
USD
521,021
Citibank NA
5/18/22
11,489
COP
886,100,000
USD
233,184
Citibank NA
5/18/22
258
COP
823,500,000
USD
216,397
Citibank NA
5/18/22
553
COP
326,700,000
USD
86,589
Goldman Sachs Bank USA
5/18/22
(521)
CZK
4,536,000
USD
203,192
BNP Paribas
5/18/22
1,272
CZK
40,613,000
USD
1,855,778
Goldman Sachs Bank USA
5/18/22
(25,113)
CZK
2,462,000
USD
105,901
HSBC Bank USA
5/18/22
5,076
CZK
5,274,000
USD
232,547
State Street Bank And Trust Co
5/18/22
5,183
EGP
15,974,000
USD
997,440
BNP Paribas
5/18/22
(128,370)
EGP
3,450,000
USD
186,185
Citibank NA
5/18/22
1,514
EGP
8,820,000
USD
550,562
Goldman Sachs Bank USA
5/18/22
(70,707)
HUF
133,680,000
USD
420,244
Goldman Sachs Bank USA
5/18/22
(20,245)
HUF
17,215,000
USD
49,602
HSBC Bank USA
5/18/22
1,909
HUF
226,205,000
USD
645,423
JPMorgan Chase Bank, N.A.
5/18/22
31,431
IDR
3,326,100,000
USD
231,784
BNP Paribas
5/18/22
(627)
IDR
1,836,500,000
USD
128,455
HSBC Bank USA
5/18/22
(822)
IDR
7,591,700,000
USD
528,376
State Street Bank And Trust Co
5/18/22
(768)
IDR
1,684,800,000
USD
117,983
State Street Bank And Trust Co
5/18/22
(893)
INR
17,734,000
USD
233,958
Citibank NA
5/18/22
(1,503)
INR
16,650,000
USD
216,726
Citibank NA
5/18/22
1,520
INR
38,627,000
USD
507,549
HSBC Bank USA
5/18/22
(1,231)
KZT
104,706,000
USD
239,191
Goldman Sachs Bank USA
5/18/22
(20,475)
MXN
2,293,000
USD
110,675
Bank Of America NA
5/18/22
3,690
MXN
2,638,000
USD
124,395
Brown Brothers Harriman & Co.
5/18/22
7,177
MXN
1,399,000
USD
66,817
Goldman Sachs Bank USA
5/18/22
2,959
MXN
4,624,000
USD
224,423
Goldman Sachs Bank USA
5/18/22
6,203
MXN
20,900,000
USD
1,030,391
State Street Bank And Trust Co
5/18/22
12,013
MYR
1,304,000
USD
310,343
Goldman Sachs Bank USA
5/18/22
(625)
MYR
10,281,000
USD
2,447,274
Goldman Sachs Bank USA
5/18/22
(5,390)
MYR
1,858,000
USD
442,170
Goldman Sachs Bank USA
5/18/22
(869)
MYR
663,000
USD
158,083
Goldman Sachs Bank USA
5/18/22
(611)
MYR
2,177,000
USD
518,333
Goldman Sachs Bank USA
5/18/22
(1,265)
MYR
914,000
USD
217,128
Goldman Sachs Bank USA
5/18/22
(40)
MYR
908,000
USD
216,190
Goldman Sachs Bank USA
5/18/22
(528)
MYR
926,000
USD
219,068
Goldman Sachs Bank USA
5/18/22
870
MYR
2,536,000
USD
602,089
Goldman Sachs Bank USA
5/18/22
247
PEN
671,000
USD
180,936
Citibank NA
5/18/22
766
PEN
823,000
USD
222,072
JPMorgan Chase Bank, N.A.
5/18/22
789
PEN
604,000
USD
157,888
JPMorgan Chase Bank, N.A.
5/18/22
5,670
PHP
23,608,000
USD
450,019
Goldman Sachs Bank USA
5/18/22
5,171
PLN
6,205,000
USD
1,537,932
BNP Paribas
5/18/22
(67,630)
PLN
883,000
USD
200,445
BNP Paribas
5/18/22
8,786
PLN
7,760,000
USD
1,798,911
BNP Paribas
5/18/22
39,855
PLN
903,000
USD
210,195
Citibank NA
5/18/22
3,775
RON
788,000
USD
176,158
Goldman Sachs Bank USA
5/18/22
(827)
RON
954,000
USD
216,224
Goldman Sachs Bank USA
5/18/22
(3,958)
RUB
207,868,000
USD
2,629,909
BNP Paribas
5/18/22
(189,736)
RUB
38,547,000
USD
488,680
Goldman Sachs Bank USA
5/18/22
(36,174)
THB
10,303,000
USD
310,160
JPMorgan Chase Bank, N.A.
5/18/22
(315)
THB
167,774,000
USD
5,179,073
JPMorgan Chase Bank, N.A.
5/18/22
(133,557)
THB
7,840,000
USD
243,240
JPMorgan Chase Bank, N.A.
5/18/22
(7,466)
THB
5,811,000
USD
177,974
JPMorgan Chase Bank, N.A.
5/18/22
(3,219)
THB
14,271,000
USD
427,148
JPMorgan Chase Bank, N.A.
5/18/22
2,028
THB
14,457,000
USD
435,452
JPMorgan Chase Bank, N.A.
5/18/22
(682)
TRY
3,619,000
USD
242,682
Citibank NA
5/18/22
(4,358)
TRY
2,377,000
USD
157,020
Citibank NA
5/18/22
(487)
TRY
900,000
USD
55,652
Citibank NA
5/18/22
3,616
TRY
1,082,000
USD
75,808
Goldman Sachs Bank USA
5/18/22
(4,554)
USD
67,730
BRL
361,000
Citibank NA
5/18/22
(7,134)
USD
244,152
BRL
1,289,000
Citibank NA
5/18/22
(23,160)
USD
453,094
BRL
2,200,000
Citibank NA
5/18/22
(3,140)
USD
481,799
BRL
2,528,000
HSBC Bank USA
5/18/22
(42,456)
USD
193,627
CLP
158,677,000
Citibank NA
5/18/22
(6,471)
USD
502,736
CLP
394,648,000
Citibank NA
5/18/22
5,071
USD
192,914
CLP
153,087,000
JPMorgan Chase Bank, N.A.
5/18/22
(134)
USD
435,494
CNY
2,795,000
BNP Paribas
5/18/22
(4,168)
USD
443,511
CNY
2,850,000
BNP Paribas
5/18/22
(4,802)
USD
222,639
CNY
1,425,000
BNP Paribas
5/18/22
(1,518)
USD
545,855
CNY
3,470,000
Citibank NA
5/18/22
14
USD
212,975
CNY
1,364,000
Citibank NA
5/18/22
(1,586)
USD
154,832
COP
618,300,000
Citibank NA
5/18/22
(8,059)
USD
243,887
COP
978,900,000
Citibank NA
5/18/22
(14,004)
USD
449,679
COP
1,718,000,000
Citibank NA
5/18/22
(2,926)
USD
424,967
COP
1,625,072,000
Citibank NA
5/18/22
(3,157)
USD
271,395
COP
1,081,100,000
Goldman Sachs Bank USA
5/18/22
(13,420)
USD
197,852
CZK
4,463,000
HSBC Bank USA
5/18/22
(3,322)
USD
224,120
EGP
3,596,000
BNP Paribas
5/18/22
28,478
USD
681,304
EGP
11,078,000
Citibank NA
5/18/22
78,602
USD
234,875
EGP
3,758,000
Goldman Sachs Bank USA
5/18/22
30,420
USD
247,224
EGP
3,963,000
Goldman Sachs Bank USA
5/18/22
31,616
USD
101,054
HUF
33,712,000
HSBC Bank USA
5/18/22
180
USD
432,430
HUF
152,002,000
JPMorgan Chase Bank, N.A.
5/18/22
(22,393)
USD
345,205
IDR
4,989,600,000
Citibank NA
5/18/22
(1,562)
USD
205,293
IDR
2,951,700,000
Citibank NA
5/18/22
156
USD
93,924
IDR
1,358,800,000
State Street Bank And Trust Co
5/18/22
(510)
USD
1,008,162
INR
77,079,000
State Street Bank And Trust Co
5/18/22
(2,179)
USD
490,782
KZT
267,476,000
Goldman Sachs Bank USA
5/18/22
(67,939)
USD
175,849
MXN
3,692,000
Citibank NA
5/18/22
(8,293)
USD
477,129
MXN
10,134,000
Goldman Sachs Bank USA
5/18/22
(28,312)
USD
435,971
MXN
8,762,000
HSBC Bank USA
5/18/22
(1,041)
USD
177,022
PEN
671,000
BNP Paribas
5/18/22
(4,680)
USD
157,682
PEN
604,000
HSBC Bank USA
5/18/22
(5,877)
USD
234,688
PHP
12,239,000
Citibank NA
5/18/22
(1,294)
USD
219,183
PHP
11,369,000
State Street Bank And Trust Co
5/18/22
(25)
USD
484,063
PLN
2,013,000
BNP Paribas
5/18/22
7,074
USD
233,069
PLN
937,000
Bank Of America NA
5/18/22
11,042
USD
307,527
PLN
1,294,000
HSBC Bank USA
5/18/22
908
USD
276,481
PLN
1,182,000
HSBC Bank USA
5/18/22
(3,599)
USD
666,837
PLN
2,875,000
HSBC Bank USA
5/18/22
(14,407)
USD
526,731
RUB
40,576,000
BNP Paribas
5/18/22
50,408
USD
484,364
RUB
40,581,000
BNP Paribas
5/18/22
7,982
USD
679,274
RUB
76,758,000
Goldman Sachs Bank USA
5/18/22
(221,792)
USD
719,512
RUB
88,500,000
Goldman Sachs Bank USA
5/18/22
(319,394)
USD
464,159
THB
14,932,000
JPMorgan Chase Bank, N.A.
5/18/22
15,105
USD
569,440
THB
18,652,000
JPMorgan Chase Bank, N.A.
5/18/22
8,513
USD
420,846
THB
14,031,000
JPMorgan Chase Bank, N.A.
5/18/22
(1,113)
USD
446,177
THB
14,996,000
JPMorgan Chase Bank, N.A.
5/18/22
(4,802)
USD
227,155
THB
7,684,000
JPMorgan Chase Bank, N.A.
5/18/22
(3,928)
USD
205,544
TRY
3,150,000
Goldman Sachs Bank USA
5/18/22
(1,894)
USD
166,514
ZAR
2,599,000
Brown Brothers Harriman & Co.
5/18/22
(10,326)
USD
64,174
ZAR
944,000
Citibank NA
5/18/22
(57)
ZAR
2,599,000
USD
169,839
Brown Brothers Harriman & Co.
5/18/22
7,000
ZAR
4,728,000
USD
305,643
HSBC Bank USA
5/18/22
16,056
ZAR
3,725,000
USD
241,884
HSBC Bank USA
5/18/22
11,570
 
 
 
 
 
 
 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
 
(994,456)
 
 
 
 
 
 
 
Unrealized Appreciation
 
 
604,354
Unrealized Depreciation
 
 
(1,598,810)
Currency Abbreviations
         BRL
-
Brazilian real
         CLP
-
Chilean peso
         CNY
-
Chinese yuan
         COP
-
Colombian peso
         CZK
-
Czech koruna
         DOP
-
Dominican Republic peso
         EGP
-
Egyptian pound
         HUF
-
Hungarian forint
         IDR
-
Indonesian rupiah
         INR
-
Indian rupee
         KZT
-
Kazakhstan tenge
         MXN
-
Mexican peso
         MYR
-
Malyasian ringgit
         PEN
-
Peruvian new sol
         PHP
-
Philippine peso
         PLN
-
Polish zloty
         RON
-
Romanian leu (new)
         RUB
-
Russian ruble
         THB
-
Thai baht
         TRY
-
Turkish Lira
         UAH
-
Ukrainian hryvnia
         USD
-
U.S. dollar
         UYU
-
Uruguay peso
         ZAR
-
South African rand
 
Categorizations in Schedule of Investments are based on country or territory of incorporation.
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $726,038 or 0.8% of net assets.
 
(c)
Level 3 security
 
(d)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
(e)
Includes $900,000 of cash collateral segregated for open forward foreign currency contracts
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
%ownership,
end
of period
Fidelity Cash Central Fund 0.31%
9,588,114
11,871,148
7,377,784
3,114
-
-
14,081,478
0.0%
Total
9,588,114
11,871,148
7,377,784
3,114
-
-
14,081,478
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
 
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Directors (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.   
 
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities.Foreign Government and Government Agency Obligations and Supranational Obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 in the hierarchy.
 
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
 
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
 
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.  
 
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
 
Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
 
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. 
 
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
 
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.  
 
Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.  
 
The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
 
Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
 
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
 
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
 
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.


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