UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22048
Emerging Markets Local Income Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
October 31, 2022
Date of Reporting Period
Item 1. Reports to Stockholders
Foreign Corporate Bonds — 2.7% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 0.9% | |||
Simpar Finance S.a.r.l., 10.75%, 2/12/28(1) | BRL | 53,195 | $ 8,354,153 |
$ 8,354,153 | |||
Colombia — 0.3% | |||
Patrimonio Autonomo Union del Sur, 6.66%, 2/28/41(2) | COP | 18,185,000 | $ 2,964,095 |
$ 2,964,095 | |||
Mexico — 0.0%(3) | |||
Petroleos Mexicanos, 7.19%, 9/12/24(2) | MXN | 10,630 | $ 488,910 |
$ 488,910 | |||
Peru — 1.2% | |||
Alicorp SAA, 6.875%, 4/17/27(1) | PEN | 25,530 | $ 5,961,284 |
Telefonica del Peru SAA, 7.375%, 4/10/27(2) | PEN | 24,500 | 5,397,216 |
$ 11,358,500 | |||
Uzbekistan — 0.3% | |||
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(1) | UZS | 34,000,000 | $ 3,049,577 |
$ 3,049,577 | |||
Total Foreign Corporate Bonds (identified cost $25,394,686) | $ 26,215,235 |
Loan Participation Notes — 3.1% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 3.1% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(1)(4)(5) | UZS | 159,708,000 | $ 14,300,922 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/26/23(1)(4)(5) | UZS | 168,539,054 | 15,079,756 |
Total Loan Participation Notes (identified cost $32,881,388) | $ 29,380,678 |
Sovereign Government Bonds — 61.3% |
Security | Principal Amount (000's omitted) | Value | |
Argentina — 0.1% | |||
Provincia de Cordoba, 6.875%, 12/10/25(1) | USD | 1,106 | $ 846,272 |
$ 846,272 | |||
Armenia — 0.6% | |||
Republic of Armenia, 7.15%, 3/26/25(1) | USD | 5,828 | $ 5,728,085 |
$ 5,728,085 | |||
Azerbaijan — 0.3% | |||
Republic of Azerbaijan, 4.75%, 3/18/24(1) | USD | 3,142 | $ 3,080,178 |
$ 3,080,178 | |||
Bahrain — 0.3% | |||
CBB International Sukuk Programme Co. WLL, 6.25%, 11/14/24(1) | USD | 2,624 | $ 2,641,116 |
$ 2,641,116 | |||
Bolivia — 0.3% | |||
Bolivian Government International Bond, 5.95%, 8/22/23(1) | USD | 2,762 | $ 2,644,615 |
$ 2,644,615 | |||
Bosnia and Herzegovina — 0.1% | |||
Republic of Srpska: | |||
1.50%, 6/30/23 | BAM | 32 | $ 16,315 |
1.50%, 10/30/23 | BAM | 88 | 43,986 |
1.50%, 12/15/23 | BAM | 10 | 4,793 |
1.50%, 5/31/25 | BAM | 1,669 | 781,811 |
1.50%, 6/9/25 | BAM | 160 | 77,177 |
1.50%, 12/24/25 | BAM | 232 | 115,843 |
1.50%, 9/25/26 | BAM | 145 | 72,273 |
1.50%, 9/26/27 | BAM | 55 | 25,425 |
$ 1,137,623 | |||
Brazil — 0.4% | |||
Nota do Tesouro Nacional, 10.00%, 1/1/27 | BRL | 22,375 | $ 4,114,701 |
$ 4,114,701 | |||
China — 2.0% | |||
China Government Bond: | |||
2.68%, 5/21/30 | CNY | 40,600 | $ 5,568,123 |
Security | Principal Amount (000's omitted) | Value | |
China (continued) | |||
China Government Bond: (continued) | |||
3.53%, 10/18/51 | CNY | 93,820 | $ 13,847,468 |
$ 19,415,591 | |||
Colombia — 2.5% | |||
Republic of Colombia: | |||
2.625%, 3/15/23 | USD | 3,500 | $ 3,447,066 |
4.00%, 2/26/24 | USD | 3,429 | 3,289,748 |
Titulos De Tesoreria B: | |||
5.75%, 11/3/27 | COP | 27,398,000 | 4,027,515 |
6.00%, 4/28/28 | COP | 18,865,200 | 2,744,340 |
7.00%, 3/26/31 | COP | 64,677,900 | 8,790,405 |
7.00%, 6/30/32 | COP | 5,447,000 | 712,701 |
10.00%, 7/24/24 | COP | 3,528,300 | 687,059 |
$ 23,698,834 | |||
Costa Rica — 0.7% | |||
Costa Rica Government Bond, 9.66%, 9/30/26(1) | CRC | 4,136,100 | $ 6,752,472 |
$ 6,752,472 | |||
Czech Republic — 0.4% | |||
Czech Republic Government Bond, 0.95%, 5/15/30(1) | CZK | 140,000 | $ 3,987,779 |
$ 3,987,779 | |||
Dominican Republic — 5.1% | |||
Dominican Republic: | |||
8.00%, 1/15/27(1) | DOP | 111,360 | $ 1,746,879 |
8.00%, 2/12/27(1) | DOP | 568,540 | 8,866,241 |
8.90%, 2/15/23(1) | DOP | 145,250 | 2,675,276 |
12.00%, 8/8/25(2) | DOP | 836,870 | 14,761,457 |
12.75%, 9/23/29(2) | DOP | 587,800 | 11,092,860 |
13.00%, 6/10/34(1) | DOP | 312,000 | 5,708,155 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(1) | DOP | 36,140 | 538,626 |
12.00%, 10/3/25(2) | DOP | 221,270 | 3,895,602 |
$ 49,285,096 | |||
Ecuador — 0.2% | |||
Republic of Ecuador, 1.50% to 7/31/23, 7/31/40(1)(6) | USD | 6,853 | $ 2,288,275 |
$ 2,288,275 | |||
El Salvador — 0.5% | |||
Republic of El Salvador, 7.75%, 1/24/23(1) | USD | 4,660 | $ 4,252,080 |
$ 4,252,080 |
Security | Principal Amount (000's omitted) | Value | |
Honduras — 0.2% | |||
Honduras Government International Bond, 7.50%, 3/15/24(1) | USD | 2,218 | $ 2,218,000 |
$ 2,218,000 | |||
Hungary — 0.7% | |||
Hungary Government Bond, 3.25%, 10/22/31 | HUF | 4,850,000 | $ 7,114,005 |
$ 7,114,005 | |||
Indonesia — 6.1% | |||
Indonesia Government Bond: | |||
6.50%, 2/15/31 | IDR | 339,135,000 | $ 20,334,619 |
7.50%, 5/15/38 | IDR | 267,486,000 | 17,042,961 |
7.50%, 4/15/40 | IDR | 45,427,000 | 2,872,553 |
8.25%, 5/15/36 | IDR | 242,576,000 | 16,197,032 |
8.375%, 4/15/39 | IDR | 22,764,000 | 1,544,770 |
9.50%, 5/15/41 | IDR | 5,702,000 | 427,465 |
$ 58,419,400 | |||
Iraq — 0.2% | |||
Republic of Iraq, 6.752%, 3/9/23(1) | USD | 1,710 | $ 1,687,582 |
$ 1,687,582 | |||
Ivory Coast — 0.1% | |||
Ivory Coast Government International Bond, 5.125%, 6/15/25(1) | EUR | 721 | $ 666,926 |
$ 666,926 | |||
Jordan — 0.4% | |||
Kingdom of Jordan, 4.95%, 7/7/25(1) | USD | 4,503 | $ 4,217,442 |
$ 4,217,442 | |||
Macedonia — 0.6% | |||
North Macedonia Government International Bond: | |||
2.75%, 1/18/25(1) | EUR | 913 | $ 823,941 |
5.625%, 7/26/23(1) | EUR | 5,192 | 5,122,434 |
$ 5,946,375 | |||
Malaysia — 1.2% | |||
Malaysia Government Bond: | |||
3.828%, 7/5/34 | MYR | 28,100 | $ 5,496,585 |
4.254%, 5/31/35 | MYR | 27,750 | 5,633,437 |
$ 11,130,022 |
Security | Principal Amount (000's omitted) | Value | |
Mexico — 3.2% | |||
Mexican Bonos: | |||
7.75%, 11/13/42 | MXN | 230,000 | $ 9,371,617 |
8.50%, 5/31/29 | MXN | 39,000 | 1,844,030 |
8.50%, 11/18/38 | MXN | 410,469 | 18,271,349 |
10.00%, 11/20/36 | MXN | 22,074 | 1,120,646 |
$ 30,607,642 | |||
Oman — 0.3% | |||
Oman Government International Bond, 4.875%, 2/1/25(1) | USD | 3,173 | $ 3,091,454 |
$ 3,091,454 | |||
Paraguay — 0.2% | |||
Republic of Paraguay, 4.625%, 1/25/23(1) | USD | 2,330 | $ 2,326,528 |
$ 2,326,528 | |||
Peru — 2.4% | |||
Peru Government Bond: | |||
5.94%, 2/12/29 | PEN | 4,380 | $ 987,224 |
6.15%, 8/12/32 | PEN | 6,602 | 1,413,466 |
6.714%, 2/12/55 | PEN | 4,100 | 830,512 |
6.85%, 2/12/42 | PEN | 19,284 | 4,093,957 |
6.90%, 8/12/37 | PEN | 8,763 | 1,891,033 |
6.95%, 8/12/31 | PEN | 59,887 | 13,834,224 |
$ 23,050,416 | |||
Romania — 3.2% | |||
Romania Government International Bond: | |||
2.75%, 2/26/26(1) | EUR | 2,755 | $ 2,487,020 |
3.624%, 5/26/30(1) | EUR | 2,755 | 2,144,069 |
Romanian Government Bond: | |||
3.25%, 6/24/26 | RON | 57,650 | 9,589,911 |
4.15%, 1/26/28 | RON | 48,045 | 7,722,013 |
4.85%, 4/22/26 | RON | 32,030 | 5,668,019 |
5.80%, 7/26/27 | RON | 16,020 | 2,824,513 |
$ 30,435,545 | |||
Serbia — 3.9% | |||
Serbia Treasury Bond: | |||
4.50%, 1/11/26 | RSD | 1,114,580 | $ 8,757,149 |
4.50%, 8/20/32 | RSD | 3,298,130 | 21,393,150 |
5.875%, 2/8/28 | RSD | 970,810 | 7,626,941 |
$ 37,777,240 |
Security | Principal Amount (000's omitted) | Value | |
Seychelles — 0.1% | |||
Republic of Seychelles, 8.00%, 1/1/26(1) | USD | 688 | $ 674,683 |
$ 674,683 | |||
South Africa — 12.4% | |||
Republic of South Africa: | |||
8.25%, 3/31/32 | ZAR | 147,394 | $ 6,613,121 |
8.50%, 1/31/37 | ZAR | 369,200 | 15,504,566 |
8.75%, 1/31/44 | ZAR | 408,487 | 16,882,091 |
8.75%, 2/28/48 | ZAR | 231,000 | 9,504,090 |
9.00%, 1/31/40 | ZAR | 334,480 | 14,345,197 |
10.50%, 12/21/26 | ZAR | 980,230 | 56,004,172 |
$118,853,237 | |||
Suriname — 0.5% | |||
Republic of Suriname, 9.25%, 10/26/26(1)(7) | USD | 5,529 | $ 4,439,787 |
$ 4,439,787 | |||
Thailand — 3.8% | |||
Thailand Government Bond: | |||
1.585%, 12/17/35 | THB | 528,144 | $ 10,972,076 |
3.30%, 6/17/38 | THB | 594,751 | 14,658,518 |
3.40%, 6/17/36 | THB | 205,000 | 5,239,907 |
4.875%, 6/22/29 | THB | 183,489 | 5,363,958 |
$ 36,234,459 | |||
Ukraine — 4.1% | |||
Ukraine Government Bond: | |||
9.79%, 5/26/27(4) | UAH | 914,377 | $ 8,188,451 |
9.99%, 5/22/24(4) | UAH | 589,859 | 6,896,361 |
10.00%, 8/23/23(4) | UAH | 38,483 | 402,061 |
10.95%, 11/1/23(4) | UAH | 12,367 | 129,208 |
11.67%, 11/22/23(4) | UAH | 118,929 | 1,242,542 |
12.52%, 5/13/26(4) | UAH | 166,150 | 1,529,241 |
15.84%, 2/26/25(4) | UAH | 1,853,842 | 20,751,963 |
15.97%, 4/19/23(4) | UAH | 2,910 | 30,403 |
$ 39,170,230 | |||
United Arab Emirates — 0.3% | |||
Sharjah Sukuk Ltd., 3.764%, 9/17/24(1) | USD | 2,747 | $ 2,629,665 |
$ 2,629,665 | |||
Uruguay — 1.8% | |||
Uruguay Government Bond, 3.875%, 7/2/40(8) | UYU | 678,613 | $ 16,847,962 |
Security | Principal Amount (000's omitted) | Value | |
Uruguay (continued) | |||
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24 | UYU | 38,225 | $ 783,044 |
$ 17,631,006 | |||
Uzbekistan — 0.5% | |||
Republic of Uzbekistan: | |||
4.75%, 2/20/24(1) | USD | 3,100 | $ 2,960,113 |
14.00%, 7/19/24(1) | UZS | 5,000,000 | 437,758 |
14.50%, 11/25/23(1) | UZS | 11,470,000 | 1,032,022 |
$ 4,429,893 | |||
Vietnam — 0.3% | |||
Vietnam Government International Bond, 4.80%, 11/19/24(1) | USD | 3,124 | $ 3,022,470 |
$ 3,022,470 | |||
Zambia — 1.3% | |||
Zambia Government Bond: | |||
11.00%, 1/25/26 | ZMW | 100,560 | $ 4,136,824 |
11.00%, 12/27/26 | ZMW | 73,540 | 2,733,385 |
12.00%, 3/22/28 | ZMW | 31,390 | 1,070,406 |
12.00%, 5/31/28 | ZMW | 14,200 | 476,572 |
12.00%, 11/1/28 | ZMW | 21,800 | 712,711 |
12.00%, 2/21/29 | ZMW | 47,550 | 1,517,673 |
13.00%, 12/27/31 | ZMW | 57,140 | 1,731,079 |
14.00%, 12/5/31 | ZMW | 4,800 | 154,681 |
$ 12,533,331 | |||
Total Sovereign Government Bonds (identified cost $838,113,831) | $588,180,055 |
Short-Term Investments — 16.1% |
Affiliated Fund — 3.6% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 2.88%(9) | 34,198,985 | $ 34,198,985 | |
Total Affiliated Fund (identified cost $34,198,985) | $ 34,198,985 |
Sovereign Government Securities — 8.6% |
Security | Principal Amount (000's omitted) | Value | |
Israel — 4.8% | |||
Bank of Israel Treasury Bill: | |||
0.00%, 12/7/22 | ILS | 156,100 | $ 44,114,689 |
0.00%, 1/4/23 | ILS | 5,359 | 1,510,546 |
$ 45,625,235 | |||
Uganda — 1.9% | |||
Uganda Treasury Bill: | |||
0.00%, 3/30/23 | UGX | 22,640,400 | $ 5,683,418 |
0.00%, 4/13/23 | UGX | 16,824,100 | 4,199,437 |
0.00%, 4/27/23 | UGX | 1,425,700 | 353,813 |
0.00%, 5/25/23 | UGX | 31,532,000 | 7,738,089 |
$ 17,974,757 | |||
Ukraine — 0.3% | |||
Ukraine Treasury Bill, 0.00%, 3/1/23(4) | UAH | 122,375 | $ 2,887,584 |
$ 2,887,584 | |||
Uruguay — 1.6% | |||
Uruguay Monetary Regulation Bill: | |||
0.00%, 11/11/22 | UYU | 118,450 | $ 2,905,215 |
0.00%, 11/16/22 | UYU | 31,006 | 759,278 |
0.00%, 11/23/22 | UYU | 236,075 | 5,768,358 |
0.00%, 1/11/23 | UYU | 262,600 | 6,316,621 |
$ 15,749,472 | |||
Total Sovereign Government Securities (identified cost $85,759,735) | $ 82,237,048 |
U.S. Treasury Obligations — 3.9% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill: | |||
0.00%, 11/8/22(10) | $ | 15,950 | $ 15,941,739 |
0.00%, 11/15/22(10) | 21,700 | 21,674,726 | |
Total U.S. Treasury Obligations (identified cost $37,617,744) | $ 37,616,465 | ||
Total Short-Term Investments (identified cost $157,576,464) | $154,052,498 |
Value | |||
Total Investments — 83.2% (identified cost $1,053,966,369) | $797,828,466 | ||
Other Assets, Less Liabilities — 16.8% | $160,902,065 | ||
Net Assets — 100.0% | $958,730,531 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At October 31, 2022, the aggregate value of these securities is $138,483,635 or 14.4% of the Portfolio's net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At October 31, 2022, the aggregate value of these securities is $38,600,140 or 4.0% of the Portfolio's net assets. |
(3) | Amount is less than 0.05%. |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(5) | Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower. |
(6) | Step coupon security. Interest rate represents the rate in effect at October 31, 2022. |
(7) | Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(8) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(9) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2022. |
(10) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
BRL | 83,521,000 | USD | 15,230,497 | 11/3/22 | $ 938,509 |
BRL | 47,329,000 | USD | 8,678,806 | 11/3/22 | 483,715 |
BRL | 53,195,000 | USD | 9,914,452 | 11/3/22 | 383,680 |
BRL | 11,137,000 | USD | 2,038,325 | 11/3/22 | 117,710 |
BRL | 7,610,000 | USD | 1,396,927 | 11/3/22 | 76,308 |
BRL | 400,000 | USD | 75,357 | 11/3/22 | 2,079 |
BRL | 100,000 | USD | 18,850 | 11/3/22 | 509 |
BRL | 7,000,000 | USD | 1,363,332 | 11/3/22 | (8,187) |
BRL | 34,074,000 | USD | 6,683,208 | 11/3/22 | (86,750) |
BRL | 110,858,000 | USD | 21,562,251 | 11/3/22 | (101,018) |
USD | 2,446,226 | BRL | 12,900,000 | 11/3/22 | (51,112) |
USD | 3,405,405 | BRL | 17,900,000 | 11/3/22 | (59,894) |
USD | 6,490,026 | BRL | 34,554,000 | 11/3/22 | (199,356) |
USD | 9,950,193 | BRL | 52,850,452 | 11/3/22 | (281,237) |
USD | 14,974,129 | BRL | 80,164,000 | 11/3/22 | (544,988) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 9,700,390 | BRL | 53,195,000 | 11/3/22 | $ (597,742) |
USD | 19,320,190 | BRL | 103,660,548 | 11/3/22 | (747,673) |
BRL | 66,930,800 | USD | 12,406,080 | 11/4/22 | 548,024 |
BRL | 10,328,827 | USD | 1,909,902 | 11/4/22 | 89,188 |
USD | 14,857,621 | BRL | 77,259,627 | 11/4/22 | (95,573) |
USD | 17,235,892 | ZAR | 296,164,336 | 11/18/22 | 1,132,749 |
USD | 782,688 | ZAR | 13,448,922 | 11/18/22 | 51,439 |
BRL | 103,660,548 | USD | 19,198,531 | 12/2/22 | 745,295 |
BRL | 34,554,000 | USD | 6,449,168 | 12/2/22 | 198,867 |
BRL | 77,259,627 | USD | 14,765,902 | 12/2/22 | 98,505 |
BRL | 25,600,000 | USD | 4,848,898 | 12/2/22 | 76,427 |
BRL | 25,600,000 | USD | 4,867,855 | 12/2/22 | 57,471 |
BRL | 4,940,000 | USD | 937,234 | 12/2/22 | 13,200 |
BRL | 30,106,000 | USD | 5,848,778 | 12/2/22 | (56,518) |
USD | 9,852,021 | BRL | 53,195,000 | 12/2/22 | (382,460) |
CLP | 7,662,300,480 | USD | 8,162,411 | 12/21/22 | (107,615) |
COP | 267,305,447 | USD | 59,827 | 12/21/22 | (6,162) |
COP | 669,840,234 | USD | 149,919 | 12/21/22 | (15,443) |
COP | 17,745,107,000 | USD | 3,599,413 | 12/21/22 | (36,912) |
COP | 155,687,623,689 | USD | 34,733,095 | 12/21/22 | (3,477,302) |
EUR | 10,518,605 | USD | 10,584,023 | 12/21/22 | (146,526) |
EUR | 232,869,495 | USD | 234,317,771 | 12/21/22 | (3,243,905) |
IDR | 98,100,000,000 | USD | 6,250,000 | 12/21/22 | 18,033 |
IDR | 85,900,000,000 | USD | 5,473,429 | 12/21/22 | 15,093 |
IDR | 76,890,000,000 | USD | 4,899,100 | 12/21/22 | 13,734 |
IDR | 74,380,000,000 | USD | 4,740,720 | 12/21/22 | 11,739 |
IDR | 68,460,462,674 | USD | 4,363,744 | 12/21/22 | 10,491 |
IDR | 46,458,231,000 | USD | 2,969,810 | 12/21/22 | (1,393) |
IDR | 46,678,064,232 | USD | 3,118,280 | 12/21/22 | (135,817) |
IDR | 102,741,465,413 | USD | 6,899,345 | 12/21/22 | (334,750) |
IDR | 352,113,312,995 | USD | 23,519,378 | 12/21/22 | (1,021,338) |
KRW | 440,000,000 | USD | 308,462 | 12/21/22 | 90 |
KRW | 2,833,400,000 | USD | 2,035,503 | 12/21/22 | (48,566) |
KRW | 4,601,400,000 | USD | 3,305,627 | 12/21/22 | (78,870) |
KRW | 8,555,100,000 | USD | 6,146,040 | 12/21/22 | (146,729) |
KRW | 8,897,400,000 | USD | 6,394,475 | 12/21/22 | (155,124) |
KRW | 8,555,100,000 | USD | 6,161,978 | 12/21/22 | (162,667) |
PEN | 7,203,306 | USD | 1,794,099 | 12/21/22 | 3,946 |
PEN | 13,554,568 | USD | 3,457,445 | 12/21/22 | (74,037) |
PEN | 63,737,218 | USD | 16,298,161 | 12/21/22 | (388,468) |
USD | 10,203,828 | COP | 45,737,641,000 | 12/21/22 | 1,021,556 |
USD | 5,125,511 | COP | 22,974,590,000 | 12/21/22 | 513,140 |
USD | 4,274,784 | COP | 19,209,683,000 | 12/21/22 | 418,255 |
USD | 2,458,543 | COP | 11,020,172,000 | 12/21/22 | 246,137 |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 2,433,158 | COP | 10,933,638,859 | 12/21/22 | $ 238,125 |
USD | 2,147,278 | COP | 9,649,265,000 | 12/21/22 | 210,095 |
USD | 1,222,206 | COP | 5,492,103,191 | 12/21/22 | 119,613 |
USD | 1,029,980 | COP | 4,628,443,000 | 12/21/22 | 100,776 |
USD | 586,253 | COP | 2,634,385,000 | 12/21/22 | 57,374 |
USD | 2,296,964 | COP | 11,347,000,000 | 12/21/22 | 18,944 |
USD | 2,286,937 | COP | 11,346,000,000 | 12/21/22 | 9,119 |
USD | 2,284,995 | COP | 11,345,000,000 | 12/21/22 | 7,377 |
USD | 1,920,346 | COP | 9,547,000,000 | 12/21/22 | 3,694 |
USD | 47,728,127 | EUR | 47,433,128 | 12/21/22 | 660,750 |
USD | 35,576,732 | EUR | 35,356,839 | 12/21/22 | 492,526 |
USD | 15,093,289 | EUR | 15,000,000 | 12/21/22 | 208,952 |
USD | 8,282,029 | EUR | 8,230,839 | 12/21/22 | 114,657 |
USD | 6,659,334 | EUR | 6,618,174 | 12/21/22 | 92,192 |
USD | 5,538,197 | EUR | 5,503,967 | 12/21/22 | 76,671 |
USD | 5,185,654 | EUR | 5,153,602 | 12/21/22 | 71,790 |
USD | 1,155,484 | EUR | 1,148,342 | 12/21/22 | 15,997 |
USD | 707,750 | EUR | 703,376 | 12/21/22 | 9,798 |
USD | 396,156 | EUR | 398,508 | 12/21/22 | 721 |
USD | 16,406,328 | IDR | 245,622,414,013 | 12/21/22 | 712,451 |
USD | 3,687,617 | IDR | 55,128,400,000 | 12/21/22 | 165,226 |
USD | 3,402,804 | IDR | 50,944,061,062 | 12/21/22 | 147,768 |
USD | 2,730,746 | IDR | 40,692,600,000 | 12/21/22 | 130,720 |
USD | 1,167,254 | IDR | 17,394,000,000 | 12/21/22 | 55,876 |
USD | 89,144 | IDR | 1,334,599,288 | 12/21/22 | 3,871 |
USD | 57,714 | IDR | 859,900,000 | 12/21/22 | 2,771 |
USD | 55,727 | IDR | 830,000,000 | 12/21/22 | 2,695 |
USD | 56,057 | IDR | 839,900,000 | 12/21/22 | 2,392 |
USD | 14,683 | IDR | 218,800,000 | 12/21/22 | 703 |
USD | 14,447,030 | PEN | 56,498,002 | 12/21/22 | 344,347 |
USD | 6,306,008 | PEN | 24,778,196 | 12/21/22 | 121,027 |
USD | 5,738,661 | PEN | 22,534,000 | 12/21/22 | 113,862 |
USD | 3,359,198 | PEN | 13,440,151 | 12/21/22 | 4,350 |
USD | 28,538 | PEN | 114,417 | 12/21/22 | (22) |
USD | 3,326,274 | PEN | 13,350,000 | 12/21/22 | (6,071) |
BRL | 113,618,000 | USD | 20,780,499 | 1/4/23 | 926,279 |
BRL | 72,310,542 | USD | 13,235,447 | 1/4/23 | 579,519 |
IDR | 50,196,000,000 | USD | 3,291,239 | 1/11/23 | (87,743) |
IDR | 53,482,000,000 | USD | 3,504,718 | 1/11/23 | (91,511) |
IDR | 60,168,000,000 | USD | 3,946,996 | 1/11/23 | (107,089) |
BRL | 80,164,000 | USD | 14,691,200 | 2/2/23 | 529,912 |
BRL | 52,850,452 | USD | 9,761,271 | 2/2/23 | 273,690 |
USD | 5,258,970 | IDR | 80,173,000,000 | 7/11/23 | 190,068 |
USD | 3,018,893 | IDR | 46,020,000,000 | 7/11/23 | 109,299 |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 2,471,594 | IDR | 37,653,000,000 | 7/11/23 | $ 91,000 |
$ 1,216,318 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
KZT | 253,765,227 | USD | 525,938 | Citibank, N.A. | 11/1/22 | $ 17,282 | $ — |
KZT | 253,765,226 | USD | 525,938 | Citibank, N.A. | 11/1/22 | 17,282 | — |
KZT | 54,546,232 | USD | 113,049 | Citibank, N.A. | 11/1/22 | 3,715 | — |
KZT | 54,546,232 | USD | 113,049 | Citibank, N.A. | 11/1/22 | 3,715 | — |
USD | 116,495 | KZT | 54,546,231 | Citibank, N.A. | 11/1/22 | — | (269) |
USD | 116,495 | KZT | 54,546,231 | Citibank, N.A. | 11/1/22 | — | (269) |
USD | 541,967 | KZT | 253,765,226 | Citibank, N.A. | 11/1/22 | — | (1,253) |
USD | 541,967 | KZT | 253,765,227 | Citibank, N.A. | 11/1/22 | — | (1,253) |
USD | 621,851 | ZMW | 10,695,839 | Citibank, N.A. | 11/1/22 | — | (39,572) |
USD | 12,586,414 | EUR | 12,500,000 | Citibank, N.A. | 11/4/22 | 231,607 | — |
USD | 3,476,909 | EUR | 3,500,000 | Standard Chartered Bank | 11/4/22 | 17,563 | — |
USD | 283,190 | EUR | 287,296 | UBS AG | 11/4/22 | — | (768) |
KZT | 593,832,875 | USD | 1,221,250 | JPMorgan Chase Bank, N.A. | 11/7/22 | 47,662 | — |
KZT | 591,389,138 | USD | 1,225,677 | JPMorgan Chase Bank, N.A. | 11/7/22 | 38,013 | — |
USD | 456,988 | ZMW | 8,385,735 | Standard Chartered Bank | 11/16/22 | — | (60,002) |
TRY | 105,000,000 | USD | 5,527,770 | Standard Chartered Bank | 11/17/22 | 53,945 | — |
USD | 12,843,753 | CNH | 88,000,000 | Standard Chartered Bank | 11/17/22 | 838,527 | — |
USD | 9,194,420 | CNH | 62,000,000 | Standard Chartered Bank | 11/17/22 | 736,193 | — |
USD | 9,795,756 | CNH | 67,040,000 | Standard Chartered Bank | 11/17/22 | 649,957 | — |
USD | 2,045,986 | CNH | 15,000,000 | UBS AG | 11/17/22 | — | (359) |
EUR | 3,117,028 | USD | 3,065,257 | UBS AG | 11/18/22 | 18,605 | — |
KZT | 384,173,671 | USD | 779,257 | Citibank, N.A. | 11/18/22 | 38,439 | — |
KZT | 383,939,893 | USD | 779,257 | Citibank, N.A. | 11/18/22 | 37,941 | — |
KZT | 383,784,042 | USD | 779,257 | Citibank, N.A. | 11/18/22 | 37,610 | — |
KZT | 383,589,228 | USD | 779,257 | Citibank, N.A. | 11/18/22 | 37,195 | — |
USD | 1,595,026 | EUR | 1,558,514 | Standard Chartered Bank | 11/18/22 | 53,095 | — |
USD | 1,581,885 | EUR | 1,558,514 | Standard Chartered Bank | 11/18/22 | 39,954 | — |
EUR | 1,243,906 | USD | 1,224,078 | Citibank, N.A. | 11/22/22 | 6,945 | — |
KZT | 306,373,977 | USD | 621,953 | Citibank, N.A. | 11/22/22 | 29,223 | — |
KZT | 306,000,805 | USD | 621,953 | Citibank, N.A. | 11/22/22 | 28,430 | — |
USD | 1,257,177 | EUR | 1,243,906 | UBS AG | 11/22/22 | 26,154 | — |
EUR | 519,197 | USD | 511,094 | UBS AG | 11/25/22 | 2,836 | — |
KZT | 251,291,340 | USD | 519,197 | JPMorgan Chase Bank, N.A. | 11/25/22 | 14,336 | — |
USD | 521,427 | EUR | 519,197 | Standard Chartered Bank | 11/25/22 | 7,497 | — |
EUR | 3,109,764 | USD | 3,061,744 | Citibank, N.A. | 11/28/22 | 17,139 | — |
KZT | 1,530,781,465 | USD | 3,109,764 | Citibank, N.A. | 11/28/22 | 136,881 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
KZT | 610,446,727 | USD | 1,243,906 | Citibank, N.A. | 11/28/22 | $ 50,795 | $ — |
KZT | 609,202,822 | USD | 1,243,906 | Citibank, N.A. | 11/28/22 | 48,157 | — |
USD | 3,131,215 | EUR | 3,109,764 | UBS AG | 11/28/22 | 52,333 | — |
KZT | 405,452,305 | USD | 832,979 | JPMorgan Chase Bank, N.A. | 12/2/22 | 25,730 | — |
KZT | 90,806,655 | USD | 186,557 | JPMorgan Chase Bank, N.A. | 12/2/22 | 5,763 | — |
KZT | 1,331,886,823 | USD | 2,726,483 | JPMorgan Chase Bank, N.A. | 12/6/22 | 89,846 | — |
KZT | 486,656,961 | USD | 1,000,837 | JPMorgan Chase Bank, N.A. | 12/6/22 | 28,219 | — |
KZT | 765,741,473 | USD | 1,565,133 | Citibank, N.A. | 12/7/22 | 53,416 | — |
USD | 45,998,350 | ILS | 156,100,000 | Citibank, N.A. | 12/8/22 | 1,722,374 | — |
SGD | 7,960,000 | USD | 5,528,876 | Goldman Sachs International | 12/12/22 | 95,538 | — |
SGD | 5,840,000 | USD | 4,054,443 | Goldman Sachs International | 12/12/22 | 72,011 | — |
SGD | 18,317,600 | USD | 12,915,089 | Goldman Sachs International | 12/12/22 | 27,846 | — |
SGD | 10,520,000 | USD | 7,409,703 | Standard Chartered Bank | 12/12/22 | 23,568 | — |
SGD | 9,280,000 | USD | 6,537,122 | Standard Chartered Bank | 12/12/22 | 19,984 | — |
SGD | 12,600,000 | USD | 8,971,004 | Standard Chartered Bank | 12/12/22 | — | (68,038) |
SGD | 14,491,800 | USD | 10,321,317 | Standard Chartered Bank | 12/12/22 | — | (81,633) |
SGD | 18,300,000 | USD | 12,894,171 | UBS AG | 12/12/22 | 36,329 | — |
SGD | 15,900,000 | USD | 11,203,945 | UBS AG | 12/12/22 | 30,751 | — |
USD | 1,334,105 | SGD | 1,900,000 | JPMorgan Chase Bank, N.A. | 12/12/22 | — | (8,406) |
USD | 1,875,306 | SGD | 2,675,300 | Standard Chartered Bank | 12/12/22 | — | (15,020) |
KZT | 597,803,980 | USD | 1,221,878 | JPMorgan Chase Bank, N.A. | 12/13/22 | 38,700 | — |
KZT | 596,887,571 | USD | 1,221,878 | JPMorgan Chase Bank, N.A. | 12/13/22 | 36,767 | — |
USD | 761,647 | ZMW | 13,892,445 | ICBC Standard Bank plc | 12/13/22 | — | (89,489) |
ZMW | 22,954,909 | USD | 1,262,994 | ICBC Standard Bank plc | 12/13/22 | 143,365 | — |
EUR | 1,406,924 | PLN | 6,800,000 | UBS AG | 12/14/22 | — | (20,234) |
EUR | 31,910,357 | RON | 160,000,000 | Goldman Sachs International | 12/14/22 | — | (435,485) |
EUR | 2,592,988 | RON | 13,030,000 | Standard Chartered Bank | 12/14/22 | — | (41,128) |
PLN | 168,059,960 | EUR | 35,008,845 | Standard Chartered Bank | 12/14/22 | 264,942 | — |
PLN | 168,059,960 | EUR | 35,008,845 | Standard Chartered Bank | 12/14/22 | 264,942 | — |
PLN | 3,250,000 | EUR | 677,013 | Standard Chartered Bank | 12/14/22 | 5,124 | — |
PLN | 3,250,000 | EUR | 677,013 | Standard Chartered Bank | 12/14/22 | 5,124 | — |
RON | 187,327,000 | EUR | 37,360,447 | Goldman Sachs International | 12/14/22 | 509,863 | — |
USD | 8,416,611 | MYR | 37,900,000 | Goldman Sachs International | 12/14/22 | 397,749 | — |
USD | 6,843,684 | MYR | 30,800,000 | Goldman Sachs International | 12/14/22 | 327,036 | — |
USD | 6,290,986 | MYR | 28,300,000 | Goldman Sachs International | 12/14/22 | 303,287 | — |
USD | 1,480,261 | ZAR | 26,000,000 | Standard Chartered Bank | 12/14/22 | 69,423 | — |
USD | 7,689,508 | ZAR | 142,424,500 | Standard Chartered Bank | 12/14/22 | — | (38,875) |
USD | 7,670,626 | ZAR | 142,424,500 | Standard Chartered Bank | 12/14/22 | — | (57,756) |
ZAR | 58,719,700 | USD | 3,212,794 | Standard Chartered Bank | 12/14/22 | — | (26,486) |
ZAR | 56,749,560 | USD | 3,230,930 | Standard Chartered Bank | 12/14/22 | — | (151,528) |
KZT | 898,996,991 | USD | 1,832,817 | JPMorgan Chase Bank, N.A. | 12/15/22 | 61,381 | — |
USD | 2,519,891 | ZAR | 45,000,000 | Citibank, N.A. | 12/15/22 | 78,238 | — |
USD | 4,028,159 | ZAR | 73,200,000 | Standard Chartered Bank | 12/15/22 | 56,403 | — |
USD | 33,881,494 | ZAR | 603,395,524 | State Street Bank and Trust Company | 12/15/22 | 1,141,878 | — |
USD | 22,711,675 | ZAR | 401,031,402 | State Street Bank and Trust Company | 12/15/22 | 952,127 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 17,115,663 | ZAR | 300,773,550 | State Street Bank and Trust Company | 12/15/22 | $ 796,002 | $ — |
USD | 11,410,442 | ZAR | 200,515,700 | State Street Bank and Trust Company | 12/15/22 | 530,668 | — |
USD | 14,571,279 | ZAR | 259,499,899 | State Street Bank and Trust Company | 12/15/22 | 491,083 | — |
USD | 9,767,519 | ZAR | 172,469,970 | State Street Bank and Trust Company | 12/15/22 | 409,477 | — |
USD | 7,360,865 | ZAR | 129,352,477 | State Street Bank and Trust Company | 12/15/22 | 342,333 | — |
USD | 4,907,243 | ZAR | 86,234,985 | State Street Bank and Trust Company | 12/15/22 | 228,222 | — |
USD | 5,235,070 | ZAR | 93,231,362 | State Street Bank and Trust Company | 12/15/22 | 176,433 | — |
USD | 3,509,208 | ZAR | 61,963,839 | State Street Bank and Trust Company | 12/15/22 | 147,114 | — |
USD | 2,644,562 | ZAR | 46,472,879 | State Street Bank and Trust Company | 12/15/22 | 122,991 | — |
USD | 1,763,041 | ZAR | 30,981,920 | State Street Bank and Trust Company | 12/15/22 | 81,994 | — |
USD | 23,218,116 | ZAR | 419,351,000 | UBS AG | 12/15/22 | 464,565 | — |
ZAR | 17,636,914 | USD | 998,834 | State Street Bank and Trust Company | 12/15/22 | — | (41,873) |
ZAR | 17,636,914 | USD | 1,003,637 | State Street Bank and Trust Company | 12/15/22 | — | (46,676) |
ZAR | 17,636,914 | USD | 1,003,637 | State Street Bank and Trust Company | 12/15/22 | — | (46,676) |
ZAR | 53,586,117 | USD | 3,008,935 | State Street Bank and Trust Company | 12/15/22 | — | (101,407) |
ZAR | 283,784,583 | USD | 16,071,617 | State Street Bank and Trust Company | 12/15/22 | — | (673,760) |
ZAR | 283,784,584 | USD | 16,148,898 | State Street Bank and Trust Company | 12/15/22 | — | (751,041) |
ZAR | 283,784,583 | USD | 16,148,898 | State Street Bank and Trust Company | 12/15/22 | — | (751,041) |
ZAR | 862,220,778 | USD | 48,414,890 | State Street Bank and Trust Company | 12/15/22 | — | (1,631,684) |
CZK | 38,870,000 | EUR | 1,561,535 | Goldman Sachs International | 12/16/22 | 16,002 | — |
CZK | 7,071,566 | EUR | 286,895 | Goldman Sachs International | 12/16/22 | 127 | — |
CZK | 7,071,566 | EUR | 286,904 | Goldman Sachs International | 12/16/22 | 118 | — |
CZK | 7,071,566 | EUR | 286,906 | Goldman Sachs International | 12/16/22 | 116 | — |
CZK | 2,585,304 | EUR | 104,907 | Goldman Sachs International | 12/16/22 | 26 | — |
CZK | 1,373,097,322 | EUR | 55,125,343 | UBS AG | 12/16/22 | 601,441 | — |
CZK | 227,046,936 | EUR | 9,154,229 | UBS AG | 12/16/22 | 60,731 | — |
EUR | 5,271,610 | CZK | 131,308,627 | UBS AG | 12/16/22 | — | (57,516) |
EUR | 7,848,209 | HUF | 3,270,030,050 | Goldman Sachs International | 12/16/22 | — | (11,459) |
EUR | 862,886 | HUF | 364,500,000 | HSBC Bank USA, N.A. | 12/16/22 | — | (13,109) |
HUF | 12,380,028,669 | EUR | 29,712,587 | Goldman Sachs International | 12/16/22 | 43,384 | — |
EUR | 984,526 | HUF | 416,120,000 | UBS AG | 12/21/22 | — | (13,663) |
EUR | 3,432,667 | PLN | 16,660,000 | UBS AG | 12/21/22 | — | (54,228) |
MXN | 3,214,967 | USD | 158,440 | Goldman Sachs International | 12/21/22 | 2,440 | — |
MXN | 2,244,692,380 | USD | 109,896,642 | Standard Chartered Bank | 12/21/22 | 2,430,017 | — |
MXN | 6,484,637 | USD | 317,478 | Standard Chartered Bank | 12/21/22 | 7,020 | — |
MXN | 141,308,986 | USD | 6,947,893 | UBS AG | 12/21/22 | 123,351 | — |
MXN | 135,855,681 | USD | 6,693,570 | UBS AG | 12/21/22 | 104,785 | — |
MYR | 13,386,240 | USD | 2,961,230 | Goldman Sachs International | 12/21/22 | — | (129,101) |
MYR | 264,857,029 | USD | 58,590,207 | Goldman Sachs International | 12/21/22 | — | (2,554,358) |
PLN | 7,000,000 | EUR | 1,452,189 | Goldman Sachs International | 12/21/22 | 12,969 | — |
RON | 11,000,000 | EUR | 2,228,751 | BNP Paribas | 12/21/22 | — | (7,543) |
THB | 46,000,000 | USD | 1,215,645 | Standard Chartered Bank | 12/21/22 | — | (1,711) |
THB | 814,000,000 | USD | 22,173,795 | Standard Chartered Bank | 12/21/22 | — | (692,436) |
THB | 1,149,302,124 | USD | 31,218,311 | Standard Chartered Bank | 12/21/22 | — | (888,371) |
THB | 1,334,000,000 | USD | 36,238,675 | Standard Chartered Bank | 12/21/22 | — | (1,034,582) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 3,001,666 | MXN | 60,960,000 | Barclays Bank PLC | 12/21/22 | $ — | $ (48,833) |
USD | 3,920,997 | MXN | 80,000,000 | Goldman Sachs International | 12/21/22 | — | (82,283) |
USD | 1,052,181 | MXN | 21,491,654 | Standard Chartered Bank | 12/21/22 | — | (23,283) |
USD | 14,044,203 | MXN | 286,864,271 | Standard Chartered Bank | 12/21/22 | — | (310,773) |
USD | 28,241,086 | MXN | 576,847,145 | Standard Chartered Bank | 12/21/22 | — | (624,924) |
USD | 16,260,532 | THB | 595,750,000 | Standard Chartered Bank | 12/21/22 | 538,764 | — |
USD | 12,360,268 | THB | 455,000,000 | Standard Chartered Bank | 12/21/22 | 352,875 | — |
USD | 8,780,158 | THB | 323,241,524 | Standard Chartered Bank | 12/21/22 | 249,855 | — |
USD | 5,847,624 | THB | 214,140,000 | Standard Chartered Bank | 12/21/22 | 196,496 | — |
USD | 2,953,074 | THB | 109,500,000 | Standard Chartered Bank | 12/21/22 | 63,383 | — |
USD | 4,202,918 | THB | 159,900,000 | Standard Chartered Bank | 12/21/22 | — | (16,823) |
USD | 5,208,114 | THB | 198,200,000 | Standard Chartered Bank | 12/21/22 | — | (22,359) |
USD | 11,120,780 | THB | 422,990,000 | Standard Chartered Bank | 12/21/22 | — | (41,873) |
CNH | 552,778,617 | USD | 82,586,488 | BNP Paribas | 12/22/22 | — | (7,016,729) |
CNH | 63,840,000 | USD | 9,548,267 | Standard Chartered Bank | 12/22/22 | — | (820,771) |
CNH | 72,270,000 | USD | 10,807,020 | Standard Chartered Bank | 12/22/22 | — | (927,067) |
USD | 12,502,164 | CNH | 83,848,000 | Bank of America, N.A. | 12/22/22 | 1,039,396 | — |
USD | 11,951,751 | CNH | 80,000,000 | Bank of America, N.A. | 12/22/22 | 1,015,038 | — |
USD | 10,043,289 | CNH | 67,400,000 | Bank of America, N.A. | 12/22/22 | 829,109 | — |
USD | 25,174,315 | CNH | 168,500,000 | BNP Paribas | 12/22/22 | 2,138,865 | — |
USD | 15,134,470 | CNH | 101,300,000 | BNP Paribas | 12/22/22 | 1,285,858 | — |
USD | 7,383,405 | CNH | 49,400,000 | BNP Paribas | 12/22/22 | 629,985 | — |
USD | 4,439,011 | CNH | 29,700,000 | BNP Paribas | 12/22/22 | 378,756 | — |
USD | 3,645,420 | CNH | 24,400,000 | BNP Paribas | 12/22/22 | 309,723 | — |
USD | 1,061,178 | CNH | 7,100,000 | BNP Paribas | 12/22/22 | 90,544 | — |
USD | 5,767,050 | CNH | 38,600,000 | JPMorgan Chase Bank, N.A. | 12/22/22 | 490,086 | — |
USD | 3,466,206 | CNH | 23,200,000 | JPMorgan Chase Bank, N.A. | 12/22/22 | 294,559 | — |
USD | 836,670 | CNH | 5,600,000 | JPMorgan Chase Bank, N.A. | 12/22/22 | 71,101 | — |
USD | 14,897,157 | CNH | 100,000,000 | Standard Chartered Bank | 12/22/22 | 1,226,267 | — |
USD | 11,576,010 | CNH | 77,500,000 | Standard Chartered Bank | 12/22/22 | 981,070 | — |
USD | 6,871,774 | CNH | 46,000,000 | Standard Chartered Bank | 12/22/22 | 583,165 | — |
USD | 6,036,903 | CNH | 40,395,516 | Standard Chartered Bank | 12/22/22 | 514,477 | — |
USD | 4,138,003 | CNH | 27,700,000 | Standard Chartered Bank | 12/22/22 | 351,166 | — |
USD | 3,633,339 | CNH | 24,312,235 | Standard Chartered Bank | 12/22/22 | 309,640 | — |
USD | 985,950 | CNH | 6,600,000 | Standard Chartered Bank | 12/22/22 | 83,671 | — |
USD | 867,719 | CNH | 5,806,280 | Standard Chartered Bank | 12/22/22 | 73,949 | — |
USD | 1,523,357 | ILS | 5,354,449 | Goldman Sachs International | 1/4/23 | — | (470) |
USD | 646,542 | ZMW | 10,779,473 | Societe Generale | 1/19/23 | — | (7,864) |
USD | 2,058,311 | ZMW | 35,608,787 | Goldman Sachs International | 1/26/23 | — | (99,365) |
USD | 617,493 | ZMW | 10,645,586 | Societe Generale | 1/26/23 | — | (27,565) |
USD | 576,926 | ZMW | 9,908,699 | Societe Generale | 1/30/23 | — | (22,835) |
USD | 463,820 | ZMW | 8,842,724 | Societe Generale | 2/17/23 | — | (68,634) |
USD | 304,659 | ZMW | 5,986,547 | Standard Chartered Bank | 5/17/23 | — | (46,283) |
UZS | 17,164,000,000 | USD | 1,400,000 | ICBC Standard Bank plc | 8/1/23 | — | (16,502) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
UZS | 8,143,221,557 | USD | 648,862 | JPMorgan Chase Bank, N.A. | 10/24/23 | $ — | $ (8,386) |
$31,517,957 | $(20,873,680) |
Non-Deliverable Bond Forward Contracts* | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
11/21/22 | COP | 27,573,800 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | $ 5,583,154 | $ (95,438) |
11/22/22 | COP | 14,598,340 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 2,955,878 | (120,955) |
11/22/22 | COP | 56,900,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 11,521,134 | (509,914) |
11/22/22 | COP | 24,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 4,859,529 | (120,774) |
11/22/22 | COP | 67,000,000 | Republic of Colombia, 7.75%, 9/18/30 | Bank of America, N.A. | 13,566,186 | (812,533) |
11/22/22 | COP | 73,500,000 | Republic of Colombia, 10.00%, 7/24/24 | Bank of America, N.A. | 14,882,308 | (77,968) |
11/23/22 | COP | 28,233,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 5,716,750 | 79,623 |
12/7/22 | COP | 48,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 9,719,058 | (51,492) |
12/8/22 | COP | 28,680,000 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 5,807,137 | 265,851 |
12/8/22 | COP | 18,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | 3,644,647 | (151,067) |
12/8/22 | COP | 36,489,600 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 7,388,428 | 235,055 |
12/8/22 | COP | 4,122,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 834,624 | (19,260) |
12/14/22 | COP | 6,183,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,251,936 | (4,294) |
12/16/22 | COP | 7,756,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,570,438 | 24,926 |
12/19/22 | COP | 6,183,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,251,936 | (9,135) |
12/20/22 | COP | 25,537,800 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 5,170,904 | (1,329) |
12/21/22 | COP | 5,496,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,112,832 | 37,003 |
12/22/22 | COP | 43,166,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 8,740,289 | 210,798 |
1/10/23 | COP | 4,072,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 824,500 | — |
$ (1,120,903) |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
Euro-Bobl | (23) | Short | 12/8/22 | $(2,720,069) | $ 70,462 |
Euro-Bund | (15) | Short | 12/8/22 | (2,052,199) | 90,870 |
U.S. 5-Year Treasury Note | (13) | Short | 12/30/22 | (1,385,719) | 60,836 |
$222,168 |
Interest Rate Swaps (Centrally Cleared) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
BRL | 63,539 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.12% (pays upon termination) | 1/2/23 | $ (942,842) | $ — | $ (942,842) |
BRL | 109,032 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.70% (pays upon termination) | 1/2/23 | (1,225,951) | — | (1,225,951) |
BRL | 175,133 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.71% (pays upon termination) | 1/2/23 | 2,357,167 | — | 2,357,167 |
BRL | 62,400 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.84% (pays upon termination) | 1/2/23 | (647,746) | — | (647,746) |
BRL | 40,336 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.84% (pays upon termination) | 1/2/23 | (154,440) | — | (154,440) |
BRL | 30,974 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.96% (pays upon termination) | 1/2/23 | (83,880) | — | (83,880) |
BRL | 76,081 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.55% (pays upon termination) | 1/2/23 | 130,916 | — | 130,916 |
BRL | 35,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 8.13% (pays upon termination) | 1/2/23 | 540,952 | — | 540,952 |
BRL | 31,500 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.41% (pays upon termination) | 1/2/25 | (1,011,387) | — | (1,011,387) |
BRL | 69,990 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.76% (pays upon termination) | 1/2/25 | (2,233,474) | — | (2,233,474) |
BRL | 67,422 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.09% (pays upon termination) | 1/2/25 | (2,011,976) | — | (2,011,976) |
BRL | 70,160 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.27% (pays upon termination) | 1/2/25 | (1,563,074) | — | (1,563,074) |
BRL | 72,000 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.36% (pays upon termination) | 1/2/25 | 2,061,079 | — | 2,061,079 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
BRL | 11,269 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 8.57% (pays upon termination) | 1/2/25 | $ 77,400 | $ — | $ 77,400 |
BRL | 47,000 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.58% (pays upon termination) | 1/2/25 | 1,463,168 | — | 1,463,168 |
BRL | 5,239 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.90% (pays upon termination) | 1/2/25 | 197,283 | — | 197,283 |
BRL | 57,316 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.48% (pays upon termination) | 1/2/25 | (46,237) | — | (46,237) |
BRL | 57,254 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.49% (pays upon termination) | 1/2/25 | (43,921) | — | (43,921) |
BRL | 37,730 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.51% (pays upon termination) | 1/2/25 | (25,958) | — | (25,958) |
BRL | 77,800 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.74% (pays upon termination) | 1/2/25 | (2,167) | — | (2,167) |
BRL | 48,500 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.19% (pays upon termination) | 1/2/25 | 294,217 | — | 294,217 |
BRL | 11,000 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.53% (pays upon termination) | 1/4/27 | 14,244 | — | 14,244 |
BRL | 19,090 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.17% (pays upon termination) | 1/2/29 | 413,555 | — | 413,555 |
BRL | 15,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.07% (pays upon termination) | 1/2/31 | 424,098 | — | 424,098 |
CLP | 5,000,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.68% (pays semi-annually) | 2/11/24 | (477,237) | — | (477,237) |
CLP | 1,140,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.49% (pays semi-annually) | 4/26/24 | (100,944) | — | (100,944) |
CLP | 2,650,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays annually) | 1.38% (pays annually) | 6/17/25 | (521,370) | — | (521,370) |
CLP | 3,700,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.33% (pays semi-annually) | 9/11/25 | (684,308) | — | (684,308) |
CLP | 5,200,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.48% (pays semi-annually) | 12/23/25 | (1,085,484) | — | (1,085,484) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.59% (pays semi-annually) | 1/27/26 | (500,138) | — | (500,138) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.92% (pays semi-annually) | 2/23/26 | (462,519) | — | (462,519) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
CLP | 584,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.87% (pays semi-annually) | 5/31/26 | $ (102,350) | $ — | $ (102,350) |
CLP | 2,217,300 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.61% (pays semi-annually) | 12/21/27 | 2,331 | — | 2,331 |
CLP | 794,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.02% (pays semi-annually) | 3/18/29 | (112,397) | — | (112,397) |
CLP | 3,362,600 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.08% (pays semi-annually) | 7/1/31 | (586,464) | — | (586,464) |
CLP | 1,759,504 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.18% (pays semi-annually) | 7/2/31 | (293,833) | — | (293,833) |
CLP | 4,871,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.22% (pays semi-annually) | 7/12/31 | (795,492) | — | (795,492) |
CLP | 466,400 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.20% (pays semi-annually) | 4/8/32 | (6,822) | — | (6,822) |
CLP | 1,432,670 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.35% (pays semi-annually) | 4/11/32 | (5,601) | — | (5,601) |
CLP | 274,770 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.40% (pays semi-annually) | 4/20/32 | 224 | — | 224 |
CLP | 1,398,810 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.38% (pays semi-annually) | 4/22/32 | (118) | — | (118) |
CNY | 33,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 9/21/27 | 24,129 | — | 24,129 |
CNY | 56,300 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 9/21/27 | 41,166 | — | 41,166 |
CNY | 24,400 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.50% (pays quarterly) | 9/21/27 | 22,396 | — | 22,396 |
CNY | 28,200 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.50% (pays quarterly) | 9/21/27 | 26,761 | — | 26,761 |
CNY | 18,800 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.51% (pays quarterly) | 9/21/27 | 19,244 | — | 19,244 |
CNY | 28,100 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.52% (pays quarterly) | 9/21/27 | 31,037 | — | 31,037 |
CNY | 28,100 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.52% (pays quarterly) | 9/21/27 | 30,163 | — | 30,163 |
CNY | 9,400 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.52% (pays quarterly) | 9/21/27 | 10,324 | — | 10,324 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
CNY | 28,100 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.52% (pays quarterly) | 9/21/27 | $ 30,862 | $ — | $ 30,862 |
COP | 6,031,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 247,822 | — | 247,822 |
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.00% (pays quarterly) | 11/26/25 | 479,599 | — | 479,599 |
COP | 11,354,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.05% (pays quarterly) | 11/26/25 | 448,117 | — | 448,117 |
COP | 15,464,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.11% (pays quarterly) | 11/26/25 | 605,821 | — | 605,821 |
COP | 12,992,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.16% (pays quarterly) | 11/26/25 | 505,024 | — | 505,024 |
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.20% (pays quarterly) | 11/26/25 | 466,231 | — | 466,231 |
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.28% (pays quarterly) | 11/26/25 | 460,884 | — | 460,884 |
COP | 6,488,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 245,614 | — | 245,614 |
COP | 20,568,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.53% (pays quarterly) | 11/26/25 | 757,450 | — | 757,450 |
COP | 12,079,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.55% (pays quarterly) | 11/26/25 | 443,763 | — | 443,763 |
COP | 5,979,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.73% (pays quarterly) | 11/26/25 | 213,530 | — | 213,530 |
COP | 25,137,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.78% (pays quarterly) | 11/26/25 | 890,752 | — | 890,752 |
COP | 20,568,100 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (626,281) | — | (626,281) |
COP | 5,427,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.60% (pays quarterly) | 11/26/25 | 77,535 | — | 77,535 |
COP | 10,304,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.75% (pays quarterly) | 11/26/25 | 138,478 | — | 138,478 |
COP | 5,427,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.85% (pays quarterly) | 11/26/25 | 69,928 | — | 69,928 |
COP | 5,496,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.23% (pays quarterly) | 11/26/25 | 59,154 | — | 59,154 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
COP | 3,792,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.42% (pays quarterly) | 11/26/25 | $ 36,990 | $ — | $ 36,990 |
COP | 9,065,738 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.00% (pays quarterly) | 11/26/25 | 58,948 | — | 58,948 |
COP | 3,383,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.17% (pays quarterly) | 11/26/25 | 18,784 | (59) | 18,725 |
COP | 6,495,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.28% (pays quarterly) | 11/26/25 | 32,228 | — | 32,228 |
COP | 25,708,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.38% (pays quarterly) | 3/30/26 | 1,025,153 | — | 1,025,153 |
COP | 41,744,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.38% (pays quarterly) | 3/30/26 | 1,664,127 | — | 1,664,127 |
COP | 17,723,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.56% (pays quarterly) | 4/6/26 | 687,016 | — | 687,016 |
COP | 41,012,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 11.93% (pays quarterly) | 12/21/27 | (266,614) | — | (266,614) |
COP | 10,005,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 12.10% (pays quarterly) | 12/21/27 | (77,500) | — | (77,500) |
COP | 7,441,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 378,261 | — | 378,261 |
COP | 5,315,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 269,751 | — | 269,751 |
COP | 14,203,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 11.93% (pays quarterly) | 12/21/32 | (165,061) | — | (165,061) |
CZK | 200,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.40% (pays annually) | 3/6/25 | (951,099) | — | (951,099) |
CZK | 258,400 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 1.37% (pays annually) | 3/17/25 | 1,224,121 | — | 1,224,121 |
CZK | 300,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.46% (pays annually) | 3/15/26 | (1,766,187) | — | (1,766,187) |
CZK | 147,500 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.73% (pays annually) | 5/6/26 | (961,481) | — | (961,481) |
CZK | 143,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 5.15% (pays annually) | 9/21/27 | (222,494) | — | (222,494) |
CZK | 422,198 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.74% (pays annually) | 5/31/29 | (4,101,742) | — | (4,101,742) |
CZK | 243,250 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 2.47% (pays annually) | 10/5/31 | (2,208,481) | — | (2,208,481) |
CZK | 116,720 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 2.51% (pays annually) | 10/6/31 | (1,044,857) | — | (1,044,857) |
CZK | 391,000 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 2.75% (pays annually) | 10/20/31 | 3,217,959 | — | 3,217,959 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
CZK | 388,980 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 2.65% (pays annually) | 12/15/31 | $ (3,326,879) | $ — | $ (3,326,879) |
HUF | 480,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.79% (pays annually) | 8/6/24 | (270,279) | — | (270,279) |
HUF | 3,500,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.71% (pays annually) | 11/22/24 | (2,221,339) | — | (2,221,339) |
HUF | 6,619,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.30% (pays annually) | 3/16/25 | 4,045,840 | — | 4,045,840 |
HUF | 1,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.20% (pays annually) | 11/4/25 | (778,475) | — | (778,475) |
HUF | 2,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.06% (pays annually) | 12/22/25 | (1,534,103) | — | (1,534,103) |
HUF | 881,600 | Receives | 6-month HUF BUBOR (pays semi-annually) | 10.03% (pays annually) | 9/21/27 | 164,816 | — | 164,816 |
ILS | 13,000 | Pays | 3-month ILS TELBOR (pays quarterly) | 3.64% (pays annually) | 12/21/27 | 540 | — | 540 |
INR | 289,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.87% (pays semi-annually) | 12/21/27 | (11,886) | — | (11,886) |
KRW | 93,003,200 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.75% (pays quarterly) | 10/5/23 | (1,502,771) | — | (1,502,771) |
KRW | 63,950,500 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.75% (pays quarterly) | 10/5/23 | (1,032,932) | — | (1,032,932) |
KRW | 40,588,300 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.77% (pays quarterly) | 10/5/23 | (652,471) | — | (652,471) |
KRW | 11,700,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 2.07% (pays quarterly) | 11/24/31 | (1,250,183) | — | (1,250,183) |
MXN | 267,700 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.58% (pays monthly) | 3/21/23 | (173,519) | (783) | (174,302) |
MXN | 350,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.98% (pays monthly) | 11/29/23 | (324,835) | (2,917) | (327,752) |
MXN | 185,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.13% (pays monthly) | 2/2/24 | (283,501) | — | (283,501) |
MXN | 600,760 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.76% (pays monthly) | 3/7/24 | 1,492,817 | — | 1,492,817 |
MXN | 166,961 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.79% (pays monthly) | 3/7/24 | 411,589 | — | 411,589 |
MXN | 408,300 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.35% (pays monthly) | 3/14/24 | 855,039 | — | 855,039 |
MXN | 67,771 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.08% (pays monthly) | 6/27/24 | (228,236) | — | (228,236) |
MXN | 224,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.19% (pays monthly) | 6/27/24 | (558,770) | — | (558,770) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
MXN | 130,204 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.66% (pays monthly) | 11/7/24 | $ 428,483 | $ — | $ 428,483 |
MXN | 391,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.65% (pays monthly) | 2/6/25 | (2,174,007) | — | (2,174,007) |
MXN | 144,000 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.40% (pays monthly) | 3/11/25 | 387,544 | — | 387,544 |
MXN | 205,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.44% (pays monthly) | 3/14/25 | (982,373) | — | (982,373) |
MXN | 222,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.71% (pays monthly) | 12/12/25 | (1,477,912) | — | (1,477,912) |
MXN | 111,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.07% (pays monthly) | 4/28/26 | (573,288) | — | (573,288) |
MXN | 165,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.11% (pays monthly) | 6/8/26 | (846,928) | — | (846,928) |
MXN | 130,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.21% (pays monthly) | 6/29/26 | (658,455) | — | (658,455) |
MXN | 160,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.54% (pays monthly) | 9/4/26 | (763,479) | — | (763,479) |
MXN | 176,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.86% (pays monthly) | 1/5/28 | (535,156) | (3,658) | (538,814) |
MXN | 83,120 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.77% (pays monthly) | 9/18/29 | (537,060) | — | (537,060) |
MXN | 15,300 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.91% (pays monthly) | 5/1/30 | (141,172) | — | (141,172) |
MXN | 124,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.37% (pays monthly) | 12/6/30 | (1,406,995) | — | (1,406,995) |
MXN | 29,200 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.95% (pays monthly) | 12/3/31 | (120,241) | (243,071) | (363,312) |
PLN | 35,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.35% (pays annually) | 11/19/22 | (61,356) | — | (61,356) |
PLN | 25,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.43% (pays annually) | 6/8/23 | (256,528) | — | (256,528) |
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.04% (pays annually) | 1/31/24 | (301,549) | — | (301,549) |
PLN | 16,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 2/11/24 | (244,918) | — | (244,918) |
PLN | 13,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.05% (pays annually) | 2/28/24 | (196,030) | — | (196,030) |
PLN | 15,522 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 3/13/24 | (237,432) | — | (237,432) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
PLN | 18,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.99% (pays annually) | 5/30/24 | $ (413,458) | $ — | $ (413,458) |
PLN | 37,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.79% (pays annually) | 7/5/24 | (896,089) | — | (896,089) |
PLN | 27,850 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.76% (pays annually) | 8/6/24 | (668,969) | — | (668,969) |
PLN | 12,200 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.66% (pays annually) | 10/2/24 | (296,227) | — | (296,227) |
PLN | 11,400 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.44% (pays annually) | 10/28/24 | (245,343) | — | (245,343) |
PLN | 50,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.97% (pays annually) | 1/20/25 | (1,304,817) | — | (1,304,817) |
PLN | 37,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.44% (pays annually) | 3/17/25 | 1,059,495 | — | 1,059,495 |
PLN | 10,800 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.48% (pays annually) | 8/7/25 | (439,562) | — | (439,562) |
PLN | 11,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.69% (pays annually) | 8/26/25 | (432,804) | — | (432,804) |
PLN | 42,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.64% (pays annually) | 1/25/26 | (1,863,397) | — | (1,863,397) |
PLN | 48,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.69% (pays annually) | 9/20/26 | 2,001,000 | — | 2,001,000 |
PLN | 102,370 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.19% (pays annually) | 10/8/26 | 3,897,877 | — | 3,897,877 |
PLN | 13,250 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.87% (pays annually) | 3/3/27 | (324,361) | — | (324,361) |
PLN | 99,138 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.91% (pays annually) | 3/3/27 | (2,387,989) | — | (2,387,989) |
PLN | 75,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.84% (pays annually) | 1/10/28 | (3,026,970) | — | (3,026,970) |
PLN | 23,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 0.93% (pays annually) | 5/8/30 | 1,895,440 | — | 1,895,440 |
PLN | 18,500 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.02% (pays annually) | 5/26/31 | 1,369,396 | — | 1,369,396 |
PLN | 26,700 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.74% (pays annually) | 7/2/31 | (2,076,830) | — | (2,076,830) |
PLN | 20,500 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.19% (pays annually) | 9/21/32 | (651,605) | — | (651,605) |
THB | 175,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.29% (pays semi-annually) | 11/25/24 | (75,471) | — | (75,471) |
THB | 233,000 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.02% (pays semi-annually) | 3/17/25 | 178,016 | — | 178,016 |
THB | 291,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.90% (pays semi-annually) | 2/23/26 | (397,526) | — | (397,526) |
THB | 120,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.30% (pays semi-annually) | 11/18/26 | (160,570) | — | (160,570) |
THB | 155,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 2.45% (pays quarterly) | 6/15/27 | (36,828) | — | (36,828) |
THB | 93,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 1.96% (pays quarterly) | 8/19/27 | (80,217) | — | (80,217) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
THB | 219,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 2.02% (pays quarterly) | 9/21/27 | $ (189,776) | $ — | $ (189,776) |
THB | 93,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 2.04% (pays quarterly) | 9/21/27 | (79,033) | — | (79,033) |
THB | 81,729 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 2.87% (pays quarterly) | 12/21/27 | 1,504 | — | 1,504 |
THB | 85,271 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 2.87% (pays quarterly) | 12/21/27 | 1,996 | — | 1,996 |
THB | 204,600 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.72% (pays semi-annually) | 10/29/31 | (646,281) | — | (646,281) |
THB | 200,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.69% (pays semi-annually) | 11/4/31 | (618,733) | — | (618,733) |
ZAR | 55,027 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.64% (pays quarterly) | 2/14/25 | (70,460) | — | (70,460) |
ZAR | 244,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 7.04% (pays quarterly) | 3/12/25 | 204,768 | — | 204,768 |
ZAR | 65,700 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.91% (pays quarterly) | 3/13/25 | 66,203 | — | 66,203 |
ZAR | 43,340 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.40% (pays quarterly) | 6/11/25 | (139,388) | — | (139,388) |
ZAR | 50,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 4.97% (pays quarterly) | 8/24/25 | (208,136) | 64 | (208,072) |
ZAR | 54,900 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.56% (pays quarterly) | 2/19/26 | (219,094) | 132 | (218,962) |
ZAR | 68,770 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.79% (pays quarterly) | 3/18/26 | 92,705 | — | 92,705 |
ZAR | 79,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.96% (pays quarterly) | 5/20/26 | (284,434) | 262 | (284,172) |
ZAR | 132,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.64% (pays quarterly) | 10/18/26 | 389,741 | (589) | 389,152 |
ZAR | 15,850 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.54% (pays quarterly) | 2/23/27 | (54,732) | — | (54,732) |
ZAR | 185,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.07% (pays quarterly) | 9/21/27 | (142,207) | — | (142,207) |
ZAR | 108,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.38% (pays quarterly) | 5/4/32 | (381,703) | 726 | (380,977) |
Total | $(30,717,430) | $ (249,893) | $ (30,967,323) |
Interest Rate Swaps (OTC) | |||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Bank of America, N.A. | BRL | 12,953 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.10% (pays upon termination) | 1/2/23 | $ 2,124,718 |
Bank of America, N.A. | THB | 400,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.91% (pays semi-annually) | 11/2/22 | 69,643 |
Bank of America, N.A. | THB | 230,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.90% (pays semi-annually) | 12/8/22 | 34,907 |
BNP Paribas | MYR | 17,413 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | (177,947) |
Citibank, N.A. | THB | 330,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.87% (pays semi-annually) | 3/27/23 | 51,129 |
Citibank, N.A. | THB | 250,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.22% (pays semi-annually) | 10/25/23 | 26,711 |
Citibank, N.A. | THB | 87,340 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.96% (pays semi-annually) | 3/18/24 | 6,361 |
Credit Suisse International | RUB | 275,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 7.85% (pays annually) | 11/1/22 | 217,304 |
Deutsche Bank AG | BRL | 1,970 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.98% (pays upon termination) | 1/2/23 | 313,782 |
Deutsche Bank AG | THB | 324,320 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.13% (pays semi-annually) | 11/19/23 | 88,204 |
JPMorgan Chase Bank, N.A. | MYR | 88,787 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | (908,154) |
Nomura International PLC | BRL | 4,440 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.83% (pays upon termination) | 1/2/23 | 678,953 |
Nomura International PLC | BRL | 2,006 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.90% (pays upon termination) | 1/2/23 | 312,517 |
Standard Chartered Bank | THB | 650,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.15% (pays semi-annually) | 8/20/23 | 141,827 |
Total | $ 2,979,955 |
Credit Default Swaps - Buy Protection (Centrally Cleared) | |||||||
Reference Entity | Notional Amount (000's omitted) | Contract Annual Fixed Rate* | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
Markit CDX Emerging Markets Index (CDX.EM.31.V2) | $86 | 1.00% (pays quarterly)(1) | 6/20/24 | $ 759 | $ (4,316) | $ (3,557) | |
Total | $759 | $(4,316) | $(3,557) |
* | The contract annual fixed rate represents the fixed rate of interest paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Effective Date/ Termination Date(1) | Value/Unrealized Appreciation (Depreciation) |
BNP Paribas | 3-month PLN WIBOR + 1.45% on PLN 17,142,858 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date* | 3-month EURIBOR on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount * | 10/14/25/ 10/14/28 | $ (980) |
Citibank, N.A. | 1-day Indice Camara Promedio Rate on CLP 731,637,500 (pays semi-annually)** | (0.07)% on CLP equivalent of CLF 25,000 (pays semi-annually)** | Not Applicable/ 2/25/31 | 42,985 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 381,027,240 (pays semi-annually)** | 2.10% on CLP equivalent of CLF 12,000 (pays semi-annually)** | Not Applicable/ 4/8/32 | (23,637) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,174,947,580 (pays semi-annually)** | 2.25% on CLP equivalent of CLF 37,000 (pays semi-annually)** | Not Applicable/ 4/11/32 | (89,930) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 214,234,175 (pays semi-annually)** | 1.85% on CLP equivalent of CLF 6,700 (pays semi-annually)** | Not Applicable/ 4/20/32 | (6,902) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,088,523,600 (pays semi-annually)** | 1.84% on CLP equivalent of CLF 34,000 (pays semi-annually)** | Not Applicable/ 4/22/32 | (33,686) |
$(112,150) |
* | The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered. |
** | At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date. |
(1) | Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual. |
Abbreviations: | |
BUBOR | – Budapest Interbank Offered Rate |
EURIBOR | – Euro Interbank Offered Rate |
FBIL | – Financial Benchmarks India Ltd. |
JIBAR | – Johannesburg Interbank Average Rate |
KLIBOR | – Kuala Lumpur Interbank Offered Rate |
MIBOR | – Mumbai Interbank Offered Rate |
OTC | – Over-the-counter |
PRIBOR | – Prague Interbank Offered Rate |
TELBOR | – Tel Aviv Interbank Offered Rate |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
BAM | – Bosnia-Herzegovina Convertible Mark |
BRL | – Brazilian Real |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
COP | – Colombian Peso |
CRC | – Costa Rican Colon |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EUR | – Euro |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
ILS | – Israeli Shekel |
INR | – Indian Rupee |
KRW | – South Korean Won |
KZT | – Kazakhstani Tenge |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
PEN | – Peruvian Sol |
PLN | – Polish Zloty |
RON | – Romania New Leu |
RSD | – Serbian Dinar |
RUB | – Russian Ruble |
SGD | – Singapore Dollar |
THB | – Thai Baht |
TRY | – New Turkish Lira |
UAH | – Ukrainian Hryvnia |
UGX | – Ugandan Shilling |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
October 31, 2022 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,019,767,384) | $ 763,629,481 |
Affiliated investment, at value (identified cost $34,198,985) | 34,198,985 |
Cash | 1,507,847 |
Deposits for derivatives collateral: | |
Centrally cleared derivatives | 35,051,228 |
OTC derivatives | 450,000 |
Foreign currency, at value (identified cost $22,657,562) | 22,078,086 |
Interest receivable | 20,008,013 |
Dividends receivable from affiliated investment | 124,691 |
Receivable for investments sold | 70,818,400 |
Receivable for variation margin on open futures contracts | 17,234 |
Receivable for variation margin on open centrally cleared derivatives | 327,445 |
Receivable for open forward foreign currency exchange contracts | 31,517,957 |
Receivable for open swap contracts | 4,109,041 |
Receivable for open non-deliverable bond forward contracts | 853,256 |
Total assets | $984,691,664 |
Liabilities | |
Cash collateral due to brokers | $ 450,000 |
Payable for open forward foreign currency exchange contracts | 20,873,680 |
Payable for open swap contracts | 1,241,236 |
Payable for closed swap contracts | 32,266 |
Payable for open non-deliverable bond forward contracts | 1,974,159 |
Payable to affiliates: | |
Investment adviser fee | 529,112 |
Trustees' fees | 6,786 |
Accrued foreign capital gains taxes | 246,000 |
Accrued expenses | 607,894 |
Total liabilities | $ 25,961,133 |
Net Assets applicable to investors' interest in Portfolio | $958,730,531 |
Year Ended | |
October 31, 2022 | |
Investment Income | |
Dividend income from affiliated investments | $ 751,897 |
Interest income (net of foreign taxes withheld of $2,013,621) | 87,634,586 |
Total investment income | $ 88,386,483 |
Expenses | |
Investment adviser fee | $ 7,941,172 |
Trustees’ fees and expenses | 74,175 |
Custodian fee | 1,178,480 |
Legal and accounting services | 148,069 |
Miscellaneous | 86,597 |
Total expenses | $ 9,428,493 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 62,028 |
Total expense reductions | $ 62,028 |
Net expenses | $ 9,366,465 |
Net investment income | $ 79,020,018 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $299,630) | $ (75,285,871) |
Investment transactions - affiliated investment | 4,584 |
Futures contracts | 5,282,556 |
Swap contracts | (55,459,009) |
Foreign currency transactions | (6,345,402) |
Forward foreign currency exchange contracts | (21,520,267) |
Non-deliverable bond forward contracts | (21,079,989) |
Net realized loss | $(174,403,398) |
Change in unrealized appreciation (depreciation): | |
Investments (including net decrease in accrued foreign capital gains taxes of $1,334,335) | $ (196,713,633) |
Futures contracts | (320,378) |
Swap contracts | 4,988,242 |
Foreign currency | (989,719) |
Forward foreign currency exchange contracts | 8,920,609 |
Non-deliverable bond forward contracts | 506,289 |
Net change in unrealized appreciation (depreciation) | $(183,608,590) |
Net realized and unrealized loss | $(358,011,988) |
Net decrease in net assets from operations | $(278,991,970) |
Year Ended October 31, | ||
2022 | 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 79,020,018 | $ 82,706,890 |
Net realized gain (loss) | (174,403,398) | 14,692,597 |
Net change in unrealized appreciation (depreciation) | (183,608,590) | (102,304,622) |
Net decrease in net assets from operations | $ (278,991,970) | $ (4,905,135) |
Capital transactions: | ||
Contributions | $ 154,343,479 | $ 713,025,206 |
Withdrawals | (478,241,966) | (400,434,173) |
Net increase (decrease) in net assets from capital transactions | $ (323,898,487) | $ 312,591,033 |
Net increase (decrease) in net assets | $ (602,890,457) | $ 307,685,898 |
Net Assets | ||
At beginning of year | $1,561,620,988 | $ 1,253,935,090 |
At end of year | $ 958,730,531 | $1,561,620,988 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.76% (1) | 0.75% | 0.79% | 0.78% | 0.87% (2) |
Net investment income | 6.43% | 4.98% | 5.79% | 7.01% | 7.22% |
Portfolio Turnover | 33% | 56% | 56% | 46% | 52% |
Total Return | (20.12)% | 1.48% | 0.08% | 23.15% | (9.33)% |
Net assets, end of year (000’s omitted) | $958,731 | $1,561,621 | $1,253,935 | $1,238,490 | $783,270 |
(1) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended October 31, 2022). |
(2) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.02% of average daily net assets for the year ended October 31, 2018. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.650% |
$1 billion but less than $2 billion | 0.625% |
$2 billion but less than $5 billion | 0.600% |
$5 billion and over | 0.575% |
Aggregate cost | $ 896,765,769 |
Gross unrealized appreciation | $ 13,365,158 |
Gross unrealized depreciation | (141,436,386) |
Net unrealized depreciation | $ (128,071,228) |
Fair Value | ||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Not applicable | $ 759* | $ 14,302,886* | $ 42,102,733* | $ 56,406,378 |
Receivable for open forward foreign currency exchange contracts | — | 31,517,957 | — | 31,517,957 |
Receivable for open swap contracts | — | — | 4,109,041 | 4,109,041 |
Receivable for open non-deliverable bond forward contracts | — | — | 853,256 | 853,256 |
Total Asset Derivatives | $ 759 | $ 45,820,843 | $ 47,065,030 | $ 92,886,632 |
Derivatives not subject to master netting or similar agreements | $ 759 | $ 14,302,886 | $ 42,102,733 | $ 56,406,378 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $ 31,517,957 | $ 4,962,297 | $ 36,480,254 |
Not applicable | $ — | $ (13,086,568)* | $ (72,597,995)* | $ (85,684,563) |
Payable for open forward foreign currency exchange contracts | — | (20,873,680) | — | (20,873,680) |
Payable for open swap contracts; Upfront receipts on non-centrally cleared swap contracts | — | — | (1,241,236) | (1,241,236) |
Payable for open non-deliverable bond forward contracts | — | — | (1,974,159) | (1,974,159) |
Total Liability Derivatives | $ — | $(33,960,248) | $(75,813,390) | $(109,773,638) |
Derivatives not subject to master netting or similar agreements | $ — | $(13,086,568) | $(72,597,995) | $ (85,684,563) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $(20,873,680) | $ (3,215,395) | $ (24,089,075) |
* | Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Bank of America, N.A. | $ 5,613,717 | $ (1,789,074) | $ (3,638,683) | $ — | $ 185,960 |
BNP Paribas | 4,833,731 | (4,833,731) | — | — | — |
Citibank, N.A. | 2,723,570 | (42,616) | — | — | 2,680,954 |
Credit Suisse International | 217,304 | — | — | — | 217,304 |
Deutsche Bank AG | 401,986 | — | (353,142) | — | 48,844 |
Goldman Sachs International | 2,160,862 | (2,160,862) | — | — | — |
ICBC Standard Bank plc | 143,365 | (105,991) | — | — | 37,374 |
JPMorgan Chase Bank, N.A. | 1,242,163 | (924,946) | (268,203) | — | 49,014 |
Nomura International PLC | 991,470 | — | (519,490) | (450,000) | 21,980 |
Standard Chartered Bank | 11,209,883 | (5,991,722) | — | — | 5,218,161 |
State Street Bank and Trust Company | 5,420,322 | (4,044,158) | (718,382) | — | 657,782 |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
UBS AG | $ 1,521,881 | $ (146,768) | $ (1,065,353) | $ — | $ 309,760 |
$36,480,254 | $(20,039,868) | $(6,563,253) | $(450,000) | $9,427,133 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Bank of America, N.A. | $ (1,789,074) | $ 1,789,074 | $ — | $ — | $ — |
Barclays Bank PLC | (48,833) | — | — | — | (48,833) |
BNP Paribas | (7,203,199) | 4,833,731 | 2,183,712 | — | (185,756) |
Citibank, N.A. | (42,616) | 42,616 | — | — | — |
Goldman Sachs International | (3,651,761) | 2,160,862 | 1,490,899 | — | — |
HSBC Bank USA, N.A. | (13,109) | — | — | — | (13,109) |
ICBC Standard Bank plc | (105,991) | 105,991 | — | — | — |
JPMorgan Chase Bank, N.A. | (924,946) | 924,946 | — | — | — |
Societe Generale | (126,898) | — | — | — | (126,898) |
Standard Chartered Bank | (5,991,722) | 5,991,722 | — | — | — |
State Street Bank and Trust Company | (4,044,158) | 4,044,158 | — | — | — |
UBS AG | (146,768) | 146,768 | — | — | — |
$(24,089,075) | $20,039,868 | $3,674,611 | $ — | $(374,596) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Statement of Operations Caption | Credit | Foreign Exchange | Interest Rate | Total |
Net realized gain (loss): | ||||
Investment transactions | $ — | $ — | $ (923,502) | $ (923,502) |
Futures contracts | — | — | 5,282,556 | 5,282,556 |
Swap contracts | 69,265 | — | (55,528,274) | (55,459,009) |
Forward foreign currency exchange contracts | — | (21,520,267) | — | (21,520,267) |
Non-deliverable bond forward contracts | — | — | (21,079,989) | (21,079,989) |
Total | $69,265 | $(21,520,267) | $(72,249,209) | $(93,700,211) |
Change in unrealized appreciation (depreciation): | ||||
Investments | $ — | $ — | $ 912,553 | $ 912,553 |
Futures contracts | — | — | (320,378) | (320,378) |
Swap contracts | 19,069 | — | 4,969,173 | 4,988,242 |
Forward foreign currency exchange contracts | — | 8,920,609 | — | 8,920,609 |
Non-deliverable bond forward contracts | — | — | 506,289 | 506,289 |
Total | $19,069 | $ 8,920,609 | $ 6,067,637 | $ 15,007,315 |
Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Purchased Swaptions | Swap Contracts |
$35,150,000 | $3,077,607,000 | $137,538,000 | $9,192,000 | $1,688,215,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $7,541,545 | $533,888,639 | $(541,434,768) | $ 4,584 | $ — | $ — | $ 47,112 | — |
Liquidity Fund | — | 530,770,839 | (496,571,854) | — | — | 34,198,985 | 704,785 | 34,198,985 |
Total | $4,584 | $ — | $34,198,985 | $751,897 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Foreign Corporate Bonds | $ — | $ 26,215,235 | $ — | $ 26,215,235 |
Loan Participation Notes | — | — | 29,380,678 | 29,380,678 |
Sovereign Government Bonds | — | 549,009,825 | 39,170,230 | 588,180,055 |
Short-Term Investments: | ||||
Affiliated Fund | 34,198,985 | — | — | 34,198,985 |
Sovereign Government Securities | — | 79,349,464 | 2,887,584 | 82,237,048 |
U.S. Treasury Obligations | — | 37,616,465 | — | 37,616,465 |
Total Investments | $34,198,985 | $ 692,190,989 | $71,438,492 | $ 797,828,466 |
Forward Foreign Currency Exchange Contracts | $ — | $ 45,820,843 | $ — | $ 45,820,843 |
Non-Deliverable Bond Forward Contracts | — | 853,256 | — | 853,256 |
Futures Contracts | 222,168 | — | — | 222,168 |
Swap Contracts | — | 45,990,365 | — | 45,990,365 |
Total | $34,421,153 | $ 784,855,453 | $71,438,492 | $ 890,715,098 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (33,960,248) | $ — | $ (33,960,248) |
Non-Deliverable Bond Forward Contracts | — | (1,974,159) | — | (1,974,159) |
Liability Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Swap Contracts | $ — | $ (73,839,231) | $ — | $ (73,839,231) |
Total | $ — | $ (109,773,638) | $ — | $ (109,773,638) |
Loan Participation Notes | Sovereign Government Bonds | Sovereign Government Securities | Total | |
Balance as of October 31, 2021 | $39,020,280 | $ — | $ — | $ 39,020,280 |
Realized gains (losses) | (756,428) | (653,303) | — | (1,409,731) |
Change in net unrealized appreciation (depreciation) | (1,439,386) | (102,233,847) | (925,450) | (104,598,683) |
Cost of purchases | — | 12,624,653 | 3,708,424 | 16,333,077 |
Proceeds from sales, including return of capital | (7,443,788) | (2,785,765) | — | (10,229,553) |
Accrued discount (premium) | — | 1,046,208 | 104,610 | 1,150,818 |
Transfers to Level 3 | — | 131,172,284 | — | 131,172,284 |
Transfers from Level 3 | — | — | — | — |
Balance as of October 31, 2022 | $29,380,678 | $ 39,170,230 | $2,887,584 | $ 71,438,492 |
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2022 | $ (1,888,764) | $(102,159,577) | $ (925,450) | $(104,973,791) |
Type of Investment | Fair Value as of October 31, 2022 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* |
Loan Participation Notes | $29,380,678 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 3.59% | Decrease |
Sovereign Government Bonds | 39,170,230 | Third Party Indication of Value | Foreign Currency Exchange Rate | 40.20 UAH/USD | Decrease |
Sovereign Government Securities | 2,887,584 | Third Party Indication of Value | Foreign Currency Exchange Rate | 40.20 UAH/USD | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
Boston, Massachusetts
December 28, 2022
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Thomas E. Faust Jr. 1958 | Trustee | Since 2007 | Chairman of Morgan Stanley Investment Management, Inc. (MSIM), member of the Board of Managers and President of EV (since 2021), Chief Executive Officer of EVM and BMR. Formerly, Chairman, Chief Executive Officer (2007-2021) and President (2006-2021) of EVC and Director of EVD (2007-2022). Mr. Faust is an interested person because of his positions with MSIM, BMR, EVM and EV, which are affiliates of the Trust and the Portfolio. Other Directorships. Formerly, Director of EVC (2007-2021) and Hexavest Inc. (investment management firm) (2012-2021). |
Noninterested Trustees | |||
Alan C. Bowser(1) 1962 | Trustee | Since 2022 | Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- present). Other Directorships. None. |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987- 1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (since 2021). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser(1) 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Eric A. Stein 1980 | President | Since 2020 | Vice President and Chief Investment Officer, Fixed Income of EVM and BMR. Prior to November 1, 2020, Mr. Stein was a co-Director of Eaton Vance’s Global Income Investments. Also Vice President of Calvert Research and Management (“CRM”). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
Item 2. Code of Ethics
The registrant (sometimes referred to as the “Fund”) has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees (the “Board”) has designated George J. Gorman and Scott E. Wennerholm, each an independent trustee, as audit committee financial experts. Mr. Gorman is a certified public accountant who is the Principal at George J. Gorman LLC (a consulting firm). Previously, Mr. Gorman served in various capacities at Ernst & Young LLP (a registered public accounting firm), including as Senior Partner. Mr. Gorman also has experience serving as an independent trustee and audit committee financial expert of other mutual fund complexes. Mr. Wennerholm is a private investor. Previously, Mr. Wennerholm served as a Trustee at Wheelock College (postsecondary institution), as a Consultant at GF Parish Group (executive recruiting firm), Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm), Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm), and Vice President at Fidelity Investments Institutional Services (investment management firm).
Item 4. Principal Accountant Fees and Services
(a)-(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended October 31, 2021 and October 31, 2022 by the registrant’s principal accountant, Deloitte & Touche LLP (“D&T”), for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by D&T during such periods.
Fiscal Years Ended | 10/31/21 | 10/31/22 | ||||||
Audit Fees | $ | 89,400 | $ | 94,900 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 17,019 | $ | 3,000 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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|
|
| |||||
Total | $ | 106,419 | $ | 97,900 | ||||
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(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by D&T for the registrant’s fiscal years ended October 31, 2021 and October 31, 2022; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same time periods.
Fiscal Years Ended | 10/31/21 | 10/31/22 | ||||||
Registrant | $ | 17,019 | $ | 3,000 | ||||
Eaton Vance(1) | $ | 51,800 | $ | 52,836 |
(1) | Certain subsidiaries of Morgan Stanley provide ongoing services to the registrant. |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) The registrant maintains disclosure controls and procedures to provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. Within 90 days prior to the filing date of the annual report on Form N-CSR, management carried out an evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures. Based on such evaluation, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures were not effective due to a material weakness. A material weakness exists in the design and operating effectiveness of controls over the amounts used to determine the mark-to-market adjustment on unrealized gains and losses arising from foreign currencies at year-end for tax purposes. The controls were not effective to ensure the correct amounts were utilized, affecting the registrant’s determination of its tax-related financial statement disclosures. This material weakness resulted in an audit adjustment to decrease the cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the registrant at October 31, 2022, as determined on a federal income tax basis. The aforementioned adjusted amounts are presented in the notes to the registrant’s financial statements included herein. This material weakness did not result in a misstatement of previously issued financial statements.
To remediate the material weakness described above, management of the registrant is enhancing its oversight and review controls over activities performed by an outsourced tax preparer.
(b) Other than the enhancements to controls noted above that are being implemented subsequent to October 31, 2022, there have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report and subsequent to the date of their evaluation in connection with the preparation of this Form N-CSR that materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Emerging Markets Local Income Portfolio | ||
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President |
Date: January 6, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer |
Date: January 6, 2023
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President |
Date: January 6, 2023