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
April 30, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
Foreign Corporate Bonds — 2.3% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 0.7% | |||
Simpar Finance S.a.r.l., 10.75%, 2/12/28(1) | BRL | 53,195 | $ 7,946,350 |
$ 7,946,350 | |||
Colombia — 0.3% | |||
Patrimonio Autonomo Union del Sur, 6.66%, 2/28/41(2) | COP | 18,185,000 | $ 3,343,400 |
$ 3,343,400 | |||
Mexico — 0.0%(3) | |||
Petroleos Mexicanos, 7.19%, 9/12/24(2) | MXN | 10,630 | $ 549,100 |
$ 549,100 | |||
Peru — 1.1% | |||
Alicorp SAA, 6.875%, 4/17/27(1) | PEN | 25,530 | $ 6,509,416 |
Telefonica del Peru SAA, 7.375%, 4/10/27(2) | PEN | 24,500 | 5,552,708 |
$ 12,062,124 | |||
Uzbekistan — 0.2% | |||
International Finance Corp., 16.00%, 2/21/25 | UZS | 27,000,000 | $ 2,420,177 |
$ 2,420,177 | |||
Total Foreign Corporate Bonds (identified cost $23,235,342) | $ 26,321,151 |
Loan Participation Notes — 1.9% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 1.9% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(1)(4)(5) | UZS | 159,708,000 | $ 13,977,097 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(1)(4)(5) | UZS | 84,486,000 | 7,389,660 |
Total Loan Participation Notes (identified cost $24,451,264) | $ 21,366,757 |
Sovereign Government Bonds — 79.8% |
Security | Principal Amount (000's omitted) | Value | |
Argentina — 0.1% | |||
Provincia de Cordoba, 6.875%, 12/10/25(1) | USD | 1,276 | $ 1,062,867 |
$ 1,062,867 | |||
Armenia — 0.7% | |||
Republic of Armenia, 7.15%, 3/26/25(1) | USD | 5,828 | $ 5,923,235 |
Republic of Armenia Treasury Bond, 9.75%, 10/29/52 | AMD | 781,610 | 1,747,431 |
$ 7,670,666 | |||
Azerbaijan — 0.3% | |||
Republic of Azerbaijan, 4.75%, 3/18/24(1) | USD | 3,142 | $ 3,120,226 |
$ 3,120,226 | |||
Bahrain — 0.2% | |||
CBB International Sukuk Programme Co. WLL, 6.25%, 11/14/24(1) | USD | 2,624 | $ 2,643,685 |
$ 2,643,685 | |||
Benin — 0.0%(3) | |||
Benin Government International Bond, 5.75%, 3/26/26(1) | EUR | 316 | $ 341,411 |
$ 341,411 | |||
Bolivia — 0.2% | |||
Bolivian Government International Bond, 5.95%, 8/22/23(1) | USD | 2,984 | $ 2,718,212 |
$ 2,718,212 | |||
Bosnia and Herzegovina — 0.1% | |||
Republic of Srpska: | |||
1.50%, 6/30/23 | BAM | 32 | $ 18,275 |
1.50%, 10/30/23 | BAM | 88 | 49,428 |
1.50%, 12/15/23 | BAM | 5 | 2,690 |
1.50%, 5/31/25 | BAM | 1,669 | 929,943 |
1.50%, 6/9/25 | BAM | 160 | 89,382 |
1.50%, 12/24/25 | BAM | 174 | 97,358 |
1.50%, 9/25/26 | BAM | 145 | 81,441 |
1.50%, 9/26/27 | BAM | 55 | 30,345 |
$ 1,298,862 |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 0.4% | |||
Nota do Tesouro Nacional, 10.00%, 1/1/27 | BRL | 22,375 | $ 4,266,208 |
$ 4,266,208 | |||
Colombia — 0.6% | |||
Republic of Colombia, 4.00%, 2/26/24 | USD | 3,429 | $ 3,372,178 |
Titulos De Tesoreria B: | |||
6.00%, 4/28/28 | COP | 18,865,200 | 3,226,600 |
10.00%, 7/24/24 | COP | 3,528,300 | 743,064 |
$ 7,341,842 | |||
Czech Republic — 3.3% | |||
Czech Republic Government Bond: | |||
0.95%, 5/15/30(1) | CZK | 140,000 | $ 5,120,519 |
2.00%, 10/13/33 | CZK | 308,750 | 11,432,767 |
2.50%, 8/25/28(1) | CZK | 509,740 | 21,374,488 |
$ 37,927,774 | |||
Dominican Republic — 5.7% | |||
Dominican Republic: | |||
8.00%, 1/15/27(1) | DOP | 111,360 | $ 1,790,490 |
8.00%, 2/12/27(1) | DOP | 568,540 | 9,098,036 |
12.00%, 8/8/25(2) | DOP | 836,870 | 15,274,336 |
12.75%, 9/23/29(2) | DOP | 377,800 | 7,675,600 |
13.00%, 1/30/26(1) | DOP | 105,090 | 1,977,399 |
13.00%, 6/9/34(1) | DOP | 312,000 | 6,607,773 |
13.625%, 2/3/33(2) | DOP | 512,000 | 11,130,349 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(1) | DOP | 36,140 | 578,041 |
12.00%, 10/3/25(2) | DOP | 221,270 | 4,038,299 |
13.00%, 12/5/25(2) | DOP | 383,340 | 7,239,195 |
$ 65,409,518 | |||
El Salvador — 0.2% | |||
Republic of El Salvador: | |||
5.875%, 1/30/25(1) | USD | 543 | $ 453,760 |
6.375%, 1/18/27(1) | USD | 2,040 | 1,286,592 |
$ 1,740,352 | |||
Honduras — 0.1% | |||
Honduras Government International Bond, 7.50%, 3/15/24(1) | USD | 1,109 | $ 1,098,465 |
$ 1,098,465 |
Security | Principal Amount (000's omitted) | Value | |
Hungary — 1.1% | |||
Hungary Government Bond: | |||
2.25%, 4/20/33 | HUF | 1,715,000 | $ 3,231,661 |
3.00%, 4/25/41 | HUF | 1,331,520 | 2,225,089 |
3.25%, 10/22/31 | HUF | 2,700,000 | 5,777,597 |
4.00%, 4/28/51 | HUF | 524,540 | 928,999 |
$ 12,163,346 | |||
India — 2.1% | |||
India Government Bond, 7.10%, 4/18/29 | INR | 1,929,150 | $ 23,615,177 |
$ 23,615,177 | |||
Indonesia — 9.7% | |||
Indonesia Government Bond: | |||
6.375%, 4/15/32 | IDR | 161,300,000 | $ 10,881,648 |
6.50%, 2/15/31 | IDR | 335,135,000 | 22,846,521 |
7.00%, 2/15/33 | IDR | 61,564,000 | 4,340,178 |
7.125%, 6/15/42 | IDR | 54,928,000 | 3,820,660 |
7.125%, 6/15/43 | IDR | 307,987,000 | 21,472,068 |
7.375%, 5/15/48 | IDR | 19,717,000 | 1,395,377 |
7.50%, 8/15/32 | IDR | 70,753,000 | 5,103,717 |
7.50%, 5/15/38 | IDR | 232,589,000 | 16,685,684 |
7.50%, 4/15/40 | IDR | 45,427,000 | 3,261,578 |
8.25%, 6/15/32 | IDR | 11,609,000 | 873,231 |
8.25%, 5/15/36 | IDR | 242,576,000 | 18,468,682 |
8.375%, 4/15/39 | IDR | 22,764,000 | 1,759,718 |
9.50%, 5/15/41 | IDR | 5,702,000 | 487,010 |
$111,396,072 | |||
Ivory Coast — 0.2% | |||
Ivory Coast Government International Bond, 5.125%, 6/15/25(1) | EUR | 1,726 | $ 1,861,237 |
$ 1,861,237 | |||
Jordan — 0.4% | |||
Kingdom of Jordan, 4.95%, 7/7/25(1) | USD | 4,503 | $ 4,346,498 |
$ 4,346,498 | |||
Malaysia — 5.4% | |||
Malaysia Government Bond: | |||
3.733%, 6/15/28 | MYR | 7,900 | $ 1,786,492 |
3.757%, 5/22/40 | MYR | 17,415 | 3,744,587 |
3.828%, 7/5/34 | MYR | 130,100 | 28,930,080 |
4.065%, 6/15/50 | MYR | 25,800 | 5,580,291 |
4.254%, 5/31/35 | MYR | 27,750 | 6,357,536 |
Security | Principal Amount (000's omitted) | Value | |
Malaysia (continued) | |||
Malaysia Government Bond: (continued) | |||
4.642%, 11/7/33 | MYR | 25,940 | $ 6,213,040 |
4.696%, 10/15/42 | MYR | 36,069 | 8,801,819 |
$ 61,413,845 | |||
Mexico — 9.3% | |||
Mexican Bonos: | |||
7.50%, 6/3/27 | MXN | 148,017 | $ 7,792,617 |
7.75%, 5/29/31 | MXN | 149,400 | 7,803,791 |
7.75%, 11/13/42 | MXN | 230,000 | 11,180,165 |
8.50%, 5/31/29 | MXN | 178,520 | 9,780,651 |
8.50%, 11/18/38 | MXN | 410,469 | 21,677,482 |
10.00%, 11/20/36 | MXN | 22,074 | 1,338,866 |
Mexican Udibonos, 4.00%, 11/30/28 | MXN | 862,824 | 46,765,181 |
$106,338,753 | |||
North Macedonia — 0.6% | |||
North Macedonia Government International Bond: | |||
2.75%, 1/18/25(1) | EUR | 913 | $ 951,880 |
3.675%, 6/3/26(1) | EUR | 600 | 613,307 |
5.625%, 7/26/23(1) | EUR | 4,592 | 5,075,456 |
$ 6,640,643 | |||
Oman — 0.3% | |||
Oman Government International Bond, 4.875%, 2/1/25(1) | USD | 3,173 | $ 3,148,320 |
$ 3,148,320 | |||
Paraguay — 0.2% | |||
Republic of Paraguay, 5.00%, 4/15/26(1) | USD | 2,830 | $ 2,818,602 |
$ 2,818,602 | |||
Peru — 3.1% | |||
Peru Government Bond: | |||
5.40%, 8/12/34 | PEN | 7,309 | $ 1,664,365 |
5.94%, 2/12/29 | PEN | 4,380 | 1,118,124 |
6.15%, 8/12/32 | PEN | 43,186 | 10,670,765 |
6.714%, 2/12/55 | PEN | 4,100 | 996,432 |
6.85%, 2/12/42 | PEN | 19,284 | 4,844,719 |
6.90%, 8/12/37 | PEN | 8,763 | 2,228,148 |
6.95%, 8/12/31 | PEN | 52,423 | 13,795,936 |
$ 35,318,489 |
Security | Principal Amount (000's omitted) | Value | |
Romania — 5.3% | |||
Romania Government International Bond: | |||
2.75%, 2/26/26(1) | EUR | 2,755 | $ 2,878,026 |
3.624%, 5/26/30(1) | EUR | 2,755 | 2,606,786 |
Romanian Government Bond: | |||
2.50%, 10/25/27 | RON | 70,650 | 13,096,890 |
3.25%, 6/24/26 | RON | 57,650 | 11,597,135 |
4.15%, 1/26/28 | RON | 48,045 | 9,493,492 |
4.85%, 4/22/26 | RON | 32,030 | 6,778,683 |
5.80%, 7/26/27 | RON | 16,020 | 3,420,021 |
8.75%, 10/30/28 | RON | 45,610 | 10,876,687 |
$ 60,747,720 | |||
Serbia — 4.0% | |||
Serbia Treasury Bond: | |||
4.50%, 1/11/26 | RSD | 1,114,580 | $ 10,241,242 |
4.50%, 8/20/32 | RSD | 3,298,130 | 26,701,049 |
5.875%, 2/8/28 | RSD | 970,810 | 9,251,037 |
$ 46,193,328 | |||
Seychelles — 0.1% | |||
Republic of Seychelles, 8.00%, 1/1/26(1) | USD | 590 | $ 590,090 |
$ 590,090 | |||
South Africa — 15.6% | |||
Republic of South Africa: | |||
8.00%, 1/31/30 | ZAR | 253,800 | $ 12,432,974 |
8.25%, 3/31/32 | ZAR | 147,394 | 6,873,149 |
8.50%, 1/31/37 | ZAR | 369,200 | 15,897,593 |
8.75%, 1/31/44 | ZAR | 408,487 | 16,972,559 |
8.75%, 2/28/48 | ZAR | 231,000 | 9,513,399 |
9.00%, 1/31/40 | ZAR | 334,480 | 14,528,418 |
10.50%, 12/21/26 | ZAR | 831,768 | 47,783,971 |
10.50%, 12/21/26 | ZAR | 951,395 | 54,656,360 |
$178,658,423 | |||
Suriname — 0.5% | |||
Republic of Suriname: | |||
9.25%, 10/26/26(1)(6) | USD | 7,107 | $ 5,102,826 |
12.875%, 12/30/23(2)(6) | USD | 1,055 | 783,338 |
$ 5,886,164 | |||
Thailand — 4.4% | |||
Thailand Government Bond: | |||
1.585%, 12/17/35 | THB | 528,144 | $ 13,767,159 |
Security | Principal Amount (000's omitted) | Value | |
Thailand (continued) | |||
Thailand Government Bond: (continued) | |||
1.60%, 12/17/29 | THB | 200,000 | $ 5,609,879 |
3.30%, 6/17/38 | THB | 594,751 | 18,331,277 |
3.40%, 6/17/36 | THB | 205,000 | 6,441,312 |
4.875%, 6/22/29 | THB | 183,489 | 6,184,924 |
$ 50,334,551 | |||
Ukraine — 2.9% | |||
Ukraine Government Bond: | |||
9.79%, 5/26/27 | UAH | 914,377 | $ 12,021,690 |
9.99%, 5/22/24 | UAH | 589,859 | 11,123,503 |
10.00%, 8/23/23 | UAH | 38,483 | 853,474 |
10.95%, 11/1/23 | UAH | 31,964 | 666,447 |
11.67%, 11/22/23 | UAH | 118,929 | 2,448,074 |
12.52%, 5/13/26 | UAH | 9,710 | 141,846 |
15.84%, 2/26/25 | UAH | 187,932 | 3,469,130 |
16.00%, 5/24/23 | UAH | 98,697 | 2,451,041 |
$ 33,175,205 | |||
United Arab Emirates — 0.2% | |||
Sharjah Sukuk, Ltd., 3.764%, 9/17/24(1) | USD | 2,747 | $ 2,696,862 |
$ 2,696,862 | |||
Uruguay — 1.3% | |||
Uruguay Government Bond, 3.875%, 7/2/40(7) | UYU | 512,617 | $ 14,053,897 |
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24 | UYU | 38,225 | 871,345 |
$ 14,925,242 | |||
Uzbekistan — 0.4% | |||
Republic of Uzbekistan: | |||
4.75%, 2/20/24(1) | USD | 3,100 | $ 3,061,895 |
14.00%, 7/19/24(1) | UZS | 10,590,000 | 914,469 |
14.50%, 11/25/23(1) | UZS | 11,470,000 | 1,009,241 |
$ 4,985,605 | |||
Vietnam — 0.3% | |||
Vietnam Government International Bond, 4.80%, 11/19/24(1) | USD | 3,124 | $ 3,062,629 |
$ 3,062,629 | |||
Zambia — 0.5% | |||
Zambia Government Bond: | |||
11.00%, 1/25/26 | ZMW | 100,560 | $ 4,480,074 |
Security | Principal Amount (000's omitted) | Value | |
Zambia (continued) | |||
Zambia Government Bond: (continued) | |||
11.00%, 12/27/26 | ZMW | 21,670 | $ 864,655 |
$ 5,344,729 | |||
Total Sovereign Government Bonds (identified cost $1,032,290,242) | $912,301,618 |
Short-Term Investments — 9.7% |
Affiliated Fund — 6.9% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(8) | 79,394,253 | $ 79,394,253 | |
Total Affiliated Fund (identified cost $79,394,253) | $ 79,394,253 |
U.S. Treasury Obligations — 2.8% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 5/2/23(9) | $ | 23,382 | $ 23,379,604 |
0.00%, 5/30/23(9) | 8,318 | 8,290,178 | |
Total U.S. Treasury Obligations (identified cost $31,666,852) | $ 31,669,782 | ||
Total Short-Term Investments (identified cost $111,061,105) | $111,064,035 |
Total Purchased Options — 0.1% (identified cost $1,400,693) | $ 1,654,847 | ||
Total Investments — 93.8% (identified cost $1,192,438,646) | $1,072,708,408 | ||
Total Written Options — (0.0)%(3) (premiums received $271,199) | $ (179,093) | ||
Other Assets, Less Liabilities — 6.2% | $ 70,963,282 | ||
Net Assets — 100.0% | $1,143,492,597 |
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 April 30, 2023, the aggregate value of these securities is $141,755,846 or 12.4% 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 April 30, 2023, the aggregate value of these securities is $55,586,325 or 4.9% of the Portfolio's net assets. |
(3) | Amount is less than 0.05% or (0.05)%, as applicable. |
(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) | 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. |
(7) | 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. |
(8) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
(9) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Currency Options (OTC) — 0.1% | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call BRL vs. Put USD (Digital Option) | Goldman Sachs International | USD | 2,960,000 | BRL | 4.80 | 6/6/23 | $ 468,704 |
Call BRL vs. Put USD (Digital Option) | Citibank, N.A. | USD | 2,070,000 | BRL | 4.80 | 9/6/23 | 477,224 |
Call MXN vs. Put USD (Digital Option) | JPMorgan Chase Bank, N.A. | USD | 190,000 | MXN | 17.50 | 7/7/23 | 33,383 |
Call USD vs. Put CNH | Barclays Bank PLC | USD | 25,800,000 | CNH | 7.00 | 1/18/24 | 245,823 |
Call USD vs. Put CNH | Goldman Sachs International | USD | 45,100,000 | CNH | 7.00 | 1/18/24 | 429,713 |
Total | $1,654,847 |
Written Currency Options (OTC) — (0.0)%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 45,100,000 | CNH | 7.50 | 1/18/24 | $(113,922) |
Call USD vs. Put CNH | Goldman Sachs International | USD | 25,800,000 | CNH | 7.50 | 1/18/24 | (65,171) |
Total | $(179,093) |
(1) | Amount is less than (0.05)%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
BRL | 356,856,897 | USD | 68,679,024 | 5/3/23 | $ 2,866,927 |
BRL | 91,932,000 | USD | 17,448,716 | 5/3/23 | 982,656 |
BRL | 53,195,005 | USD | 10,502,469 | 5/3/23 | 162,555 |
BRL | 4,368,393 | USD | 869,401 | 5/3/23 | 6,414 |
USD | 1,337,743 | BRL | 6,800,000 | 5/3/23 | (25,584) |
USD | 2,648,915 | BRL | 13,800,000 | 5/3/23 | (117,836) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 21,909,778 | BRL | 111,056,283 | 5/3/23 | $ (355,807) |
USD | 22,070,113 | BRL | 112,061,000 | 5/3/23 | (396,906) |
USD | 10,237,664 | BRL | 53,195,005 | 5/3/23 | (427,360) |
USD | 41,350,445 | BRL | 209,440,006 | 5/3/23 | (640,012) |
BRL | 108,567,728 | USD | 20,678,583 | 6/2/23 | 955,906 |
BRL | 28,500,000 | USD | 5,620,725 | 6/2/23 | 58,521 |
BRL | 37,503,326 | USD | 7,125,629 | 6/9/23 | 338,250 |
COP | 182,882,094,077 | USD | 37,703,139 | 6/21/23 | 796,139 |
COP | 158,000,000 | USD | 34,404 | 6/21/23 | (1,143) |
COP | 7,893,340,000 | USD | 1,690,252 | 6/21/23 | (28,591) |
COP | 5,060,000,000 | USD | 1,104,071 | 6/21/23 | (38,869) |
EUR | 211,851,386 | USD | 227,823,063 | 6/21/23 | 6,269,100 |
EUR | 10,518,605 | USD | 11,311,613 | 6/21/23 | 311,266 |
EUR | 5,389,535 | USD | 5,913,398 | 6/21/23 | 41,946 |
EUR | 3,845,440 | USD | 4,219,216 | 6/21/23 | 29,929 |
KRW | 864,000,000 | USD | 670,308 | 6/21/23 | (22,657) |
KRW | 1,202,000,000 | USD | 925,477 | 6/21/23 | (24,462) |
KRW | 1,201,000,000 | USD | 925,270 | 6/21/23 | (25,005) |
KRW | 1,334,400,000 | USD | 1,032,626 | 6/21/23 | (32,364) |
KRW | 2,392,000,000 | USD | 1,830,292 | 6/21/23 | (37,258) |
KRW | 10,279,000,000 | USD | 7,974,645 | 6/21/23 | (269,545) |
KRW | 14,299,000,000 | USD | 11,009,478 | 6/21/23 | (291,001) |
KRW | 14,288,000,000 | USD | 11,007,704 | 6/21/23 | (297,472) |
KRW | 15,880,400,000 | USD | 12,289,048 | 6/21/23 | (385,160) |
PEN | 85,638,218 | USD | 22,474,863 | 6/21/23 | 559,697 |
PEN | 16,339,415 | USD | 4,288,110 | 6/21/23 | 106,788 |
USD | 1,562,784 | COP | 7,400,000,000 | 6/21/23 | 4,979 |
USD | 656,627 | COP | 3,170,140,625 | 6/21/23 | (10,733) |
USD | 991,135 | COP | 4,785,121,744 | 6/21/23 | (16,201) |
USD | 1,072,097 | COP | 5,176,000,000 | 6/21/23 | (17,524) |
USD | 1,654,854 | COP | 8,027,000,000 | 6/21/23 | (34,944) |
USD | 2,498,258 | COP | 12,118,000,000 | 6/21/23 | (52,753) |
USD | 2,702,151 | COP | 13,107,000,000 | 6/21/23 | (57,059) |
USD | 756,404 | EUR | 703,376 | 6/21/23 | (20,814) |
USD | 1,234,917 | EUR | 1,148,342 | 6/21/23 | (33,982) |
USD | 1,939,018 | EUR | 1,803,082 | 6/21/23 | (53,357) |
USD | 2,863,359 | EUR | 2,682,077 | 6/21/23 | (100,291) |
USD | 16,458,000 | EUR | 15,000,000 | 6/21/23 | (116,744) |
USD | 5,918,916 | EUR | 5,503,967 | 6/21/23 | (162,873) |
USD | 7,117,125 | EUR | 6,618,174 | 6/21/23 | (195,845) |
USD | 8,851,370 | EUR | 8,230,839 | 6/21/23 | (243,567) |
USD | 10,817,942 | EUR | 10,133,144 | 6/21/23 | (379,009) |
USD | 43,338,167 | EUR | 40,299,918 | 6/21/23 | (1,192,554) |
USD | 47,468,418 | EUR | 44,140,615 | 6/21/23 | (1,306,208) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 51,009,157 | EUR | 47,433,128 | 6/21/23 | $ (1,403,640) |
USD | 2,097,996 | INR | 172,600,000 | 6/21/23 | (8,497) |
USD | 1,356,877 | KRW | 1,752,000,000 | 6/21/23 | 43,585 |
USD | 1,649,747 | KRW | 2,150,000,000 | 6/21/23 | 38,115 |
USD | 108,758 | PEN | 416,000 | 6/21/23 | (3,136) |
USD | 360,325 | PEN | 1,377,000 | 6/21/23 | (10,054) |
USD | 1,648,215 | PEN | 6,276,734 | 6/21/23 | (40,071) |
USD | 1,628,039 | PEN | 6,208,200 | 6/21/23 | (41,813) |
USD | 3,643,449 | PEN | 13,883,000 | 6/21/23 | (90,734) |
USD | 3,688,267 | PEN | 14,070,000 | 6/21/23 | (96,215) |
USD | 4,271,407 | PEN | 16,339,415 | 6/21/23 | (123,491) |
USD | 4,722,368 | PEN | 18,030,000 | 6/21/23 | (127,256) |
USD | 5,113,119 | PEN | 19,527,000 | 6/21/23 | (139,161) |
USD | 7,899,049 | PEN | 30,081,157 | 6/21/23 | (192,038) |
USD | 17,438,139 | PEN | 66,525,735 | 6/21/23 | (455,636) |
CLP | 16,058,200,000 | USD | 19,768,805 | 6/22/23 | (7,654) |
CLP | 8,707,766,480 | USD | 10,733,765 | 6/22/23 | (18,025) |
USD | 1,407,368 | CLP | 1,153,000,000 | 6/22/23 | (11,509) |
BRL | 111,056,283 | USD | 21,651,775 | 7/5/23 | 353,386 |
IDR | 53,943,000,000 | USD | 3,452,668 | 7/11/23 | 220,924 |
IDR | 42,270,700,000 | USD | 2,695,062 | 7/11/23 | 183,631 |
IDR | 33,816,000,000 | USD | 2,157,334 | 7/11/23 | 145,582 |
IDR | 33,816,300,000 | USD | 2,159,736 | 7/11/23 | 143,201 |
USD | 2,471,594 | IDR | 37,653,000,000 | 7/11/23 | (92,627) |
USD | 3,018,893 | IDR | 46,020,000,000 | 7/11/23 | (115,132) |
USD | 5,258,970 | IDR | 80,173,000,000 | 7/11/23 | (200,921) |
KRW | 2,054,000,000 | USD | 1,566,002 | 7/21/23 | (23,346) |
IDR | 753,419,070,901 | USD | 49,089,200 | 7/25/23 | 2,209,024 |
IDR | 218,580,000,000 | USD | 14,465,917 | 7/25/23 | 416,592 |
IDR | 152,609,745,797 | USD | 9,986,242 | 7/25/23 | 404,534 |
IDR | 117,442,835,000 | USD | 7,652,016 | 7/25/23 | 344,342 |
IDR | 52,000,000,000 | USD | 3,417,012 | 7/25/23 | 123,525 |
IDR | 67,288,000,000 | USD | 4,516,185 | 7/25/23 | 65,269 |
IDR | 22,000,000,000 | USD | 1,445,922 | 7/25/23 | 51,998 |
IDR | 25,776,900,670 | USD | 1,707,419 | 7/25/23 | 47,659 |
IDR | 36,806,234,416 | USD | 2,478,100 | 7/25/23 | 27,934 |
IDR | 13,411,000,000 | USD | 897,357 | 7/25/23 | 15,761 |
IDR | 13,845,000,000 | USD | 930,231 | 7/25/23 | 12,437 |
USD | 652,767 | IDR | 9,612,510,800 | 7/25/23 | (1,723) |
USD | 1,884,367 | IDR | 27,887,800,000 | 7/25/23 | (14,436) |
USD | 895,768 | IDR | 13,414,300,000 | 7/25/23 | (17,575) |
USD | 2,355,899 | IDR | 34,860,000,000 | 7/25/23 | (17,622) |
USD | 2,828,119 | IDR | 41,831,700,000 | 7/25/23 | (20,086) |
USD | 1,939,205 | IDR | 29,316,907,070 | 7/25/23 | (56,902) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 2,314,050 | IDR | 35,000,000,000 | 7/25/23 | $ (69,004) |
USD | 3,242,199 | IDR | 49,000,000,000 | 7/25/23 | (94,076) |
USD | 3,651,132 | IDR | 55,497,203,972 | 7/25/23 | (127,519) |
USD | 4,103,976 | IDR | 62,442,030,444 | 7/25/23 | (147,530) |
USD | 8,044,487 | IDR | 123,466,461,062 | 7/25/23 | (362,003) |
USD | 7,605,416 | IDR | 117,442,835,000 | 7/25/23 | (390,942) |
USD | 18,819,753 | IDR | 288,844,814,013 | 7/25/23 | (846,893) |
IDR | 37,264,000,000 | USD | 2,494,628 | 7/27/23 | 42,500 |
USD | 3,433,841 | IDR | 51,524,792,000 | 7/27/23 | (74,235) |
BRL | 209,440,006 | USD | 40,649,808 | 8/2/23 | 605,864 |
BRL | 112,061,000 | USD | 21,689,925 | 8/2/23 | 383,946 |
USD | 10,324,516 | BRL | 53,195,006 | 8/2/23 | (153,881) |
BRL | 24,041,694 | USD | 4,482,648 | 9/11/23 | 219,063 |
$ 6,583,072 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 2,829,091 | USD | 3,090,472 | Standard Chartered Bank | 5/5/23 | $ 27,297 | $ — |
EUR | 4,875,000 | USD | 5,380,894 | Standard Chartered Bank | 5/5/23 | — | (8,454) |
CNH | 36,673,000 | USD | 5,465,600 | Citibank, N.A. | 5/8/23 | — | (170,218) |
CNH | 172,050,000 | USD | 25,350,083 | Standard Chartered Bank | 5/8/23 | — | (506,998) |
CNH | 196,980,617 | USD | 29,026,388 | Standard Chartered Bank | 5/8/23 | — | (583,458) |
CNH | 308,250,000 | USD | 45,417,978 | Standard Chartered Bank | 5/8/23 | — | (908,353) |
CNH | 352,921,267 | USD | 52,005,268 | Standard Chartered Bank | 5/8/23 | — | (1,045,355) |
MYR | 32,850,000 | USD | 7,789,898 | Barclays Bank PLC | 5/8/23 | — | (407,046) |
USD | 4,885,873 | CNH | 33,500,000 | Citibank, N.A. | 5/8/23 | 48,655 | — |
USD | 26,967,065 | CNH | 183,005,516 | Standard Chartered Bank | 5/8/23 | 542,063 | — |
USD | 23,558,412 | CNH | 159,890,000 | Standard Chartered Bank | 5/8/23 | 471,165 | — |
USD | 16,218,394 | CNH | 110,062,235 | Standard Chartered Bank | 5/8/23 | 326,005 | — |
USD | 14,166,873 | CNH | 96,150,000 | Standard Chartered Bank | 5/8/23 | 283,336 | — |
USD | 3,894,086 | CNH | 26,426,280 | Standard Chartered Bank | 5/8/23 | 78,275 | — |
USD | 3,400,639 | CNH | 23,080,000 | Standard Chartered Bank | 5/8/23 | 68,012 | — |
USD | 7,369,106 | MYR | 32,850,000 | Barclays Bank PLC | 5/8/23 | — | (13,746) |
MYR | 16,300,000 | USD | 3,685,281 | Goldman Sachs International | 5/10/23 | — | (18,322) |
MYR | 18,800,000 | USD | 4,250,989 | Goldman Sachs International | 5/10/23 | — | (21,613) |
MYR | 104,400,000 | USD | 24,599,435 | Goldman Sachs International | 5/10/23 | — | (1,112,899) |
USD | 4,217,005 | MYR | 18,500,000 | Goldman Sachs International | 5/10/23 | 55,119 | — |
MYR | 16,100,000 | USD | 3,657,345 | Barclays Bank PLC | 5/15/23 | — | (34,383) |
MYR | 39,274,000 | USD | 8,979,172 | Barclays Bank PLC | 5/15/23 | — | (141,395) |
MYR | 6,300,000 | USD | 1,434,263 | Goldman Sachs International | 5/15/23 | — | (16,582) |
MYR | 43,212,000 | USD | 9,870,260 | Goldman Sachs International | 5/15/23 | — | (146,321) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 4,241,752 | MYR | 18,553,000 | Barclays Bank PLC | 5/15/23 | $ 66,795 | $ — |
USD | 4,662,860 | MYR | 20,414,000 | Goldman Sachs International | 5/15/23 | 69,124 | — |
USD | 304,659 | ZMW | 5,986,547 | Standard Chartered Bank | 5/17/23 | — | (31,891) |
TRY | 105,000,000 | USD | 5,092,901 | Standard Chartered Bank | 5/18/23 | 98,711 | — |
EGP | 166,000,000 | USD | 5,150,481 | Citibank, N.A. | 5/22/23 | — | (177,539) |
USD | 986,920 | EGP | 33,200,000 | Citibank, N.A. | 5/22/23 | — | (7,668) |
USD | 3,858,222 | EGP | 132,800,000 | Goldman Sachs International | 5/22/23 | — | (120,131) |
CNH | 22,000,000 | USD | 3,192,769 | Standard Chartered Bank | 5/30/23 | — | (10,543) |
UZS | 7,679,942,541 | USD | 653,612 | ICBC Standard Bank plc | 6/2/23 | 12,378 | — |
MYR | 32,850,000 | USD | 7,387,667 | Barclays Bank PLC | 6/8/23 | 14,594 | — |
USD | 7,100,213 | BRL | 37,503,326 | Goldman Sachs International | 6/9/23 | — | (363,666) |
CZK | 920,001,511 | USD | 41,122,716 | Citibank, N.A. | 6/21/23 | 276,056 | — |
CZK | 50,000,000 | USD | 2,352,592 | Citibank, N.A. | 6/21/23 | — | (1,817) |
CZK | 477,724,994 | USD | 21,353,605 | Standard Chartered Bank | 6/21/23 | 204,932 | — |
CZK | 477,724,995 | USD | 21,353,605 | UBS AG | 6/21/23 | 204,673 | — |
EUR | 1,014,666 | USD | 1,100,659 | Barclays Bank PLC | 6/21/23 | — | (28,952) |
EUR | 3,053,868 | USD | 3,330,703 | BNP Paribas | 6/21/23 | — | (75,949) |
EUR | 1,972,450 | USD | 2,162,497 | Citibank, N.A. | 6/21/23 | — | (22,453) |
EUR | 20,342,842 | USD | 21,456,611 | Citibank, N.A. | 6/21/23 | — | (145,289) |
EUR | 3,164,668 | USD | 3,432,082 | Goldman Sachs International | 6/21/23 | 1,948 | — |
EUR | 3,013,717 | USD | 3,214,279 | Goldman Sachs International | 6/21/23 | — | (20,302) |
EUR | 42,148,984 | USD | 44,821,226 | Goldman Sachs International | 6/21/23 | — | (238,028) |
EUR | 4,027,131 | USD | 4,284,264 | Goldman Sachs International | 6/21/23 | — | (307,413) |
EUR | 4,016,743 | USD | 4,314,582 | JPMorgan Chase Bank, N.A. | 6/21/23 | — | (318,892) |
EUR | 10,128,092 | USD | 10,682,605 | Standard Chartered Bank | 6/21/23 | — | (103,700) |
EUR | 849,891 | USD | 932,374 | UBS AG | 6/21/23 | — | (6,726) |
EUR | 1,341,290 | USD | 1,471,463 | UBS AG | 6/21/23 | — | (11,401) |
EUR | 1,339,793 | USD | 1,469,821 | UBS AG | 6/21/23 | — | (13,337) |
EUR | 10,128,211 | USD | 10,682,730 | UBS AG | 6/21/23 | — | (103,569) |
HUF | 6,260,354,334 | USD | 17,393,775 | Goldman Sachs International | 6/21/23 | 1,177,062 | — |
HUF | 1,100,000,000 | USD | 2,987,425 | Goldman Sachs International | 6/21/23 | 183,242 | — |
HUF | 6,260,354,335 | USD | 17,240,247 | JPMorgan Chase Bank, N.A. | 6/21/23 | 1,221,014 | — |
HUF | 1,067,577,399 | USD | 3,098,375 | UBS AG | 6/21/23 | 27,734 | — |
HUF | 1,081,987,774 | USD | 3,140,197 | UBS AG | 6/21/23 | 24,032 | — |
MXN | 48,000,000 | USD | 2,523,534 | Bank of America, N.A. | 6/21/23 | 119,438 | — |
MXN | 57,223,555 | USD | 3,097,930 | Goldman Sachs International | 6/21/23 | 52,908 | — |
MXN | 31,100,000 | USD | 1,705,400 | Goldman Sachs International | 6/21/23 | 7,026 | — |
MXN | 41,800,000 | USD | 2,301,714 | Goldman Sachs International | 6/21/23 | — | (126) |
MXN | 2,039,732,380 | USD | 111,101,079 | UBS AG | 6/21/23 | 1,210,504 | — |
MYR | 88,709,400 | USD | 19,668,400 | Barclays Bank PLC | 6/21/23 | 340,487 | — |
MYR | 13,337,429 | USD | 2,960,584 | Barclays Bank PLC | 6/21/23 | 47,746 | — |
MYR | 141,660,440 | USD | 31,492,695 | Credit Agricole CIB | 6/21/23 | 459,587 | — |
MYR | 14,000,000 | USD | 3,174,603 | Goldman Sachs International | 6/21/23 | — | (16,827) |
PLN | 152,159,892 | USD | 34,637,686 | Citibank, N.A. | 6/21/23 | 1,005,798 | — |
PLN | 147,660,028 | USD | 33,613,337 | Citibank, N.A. | 6/21/23 | 996,935 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
PLN | 8,182,125 | USD | 1,862,579 | Citibank, N.A. | 6/21/23 | $ 54,085 | $ — |
PLN | 7,940,152 | USD | 1,807,497 | Citibank, N.A. | 6/21/23 | 53,608 | — |
PLN | 3,298,778 | USD | 750,934 | Citibank, N.A. | 6/21/23 | 21,805 | — |
PLN | 3,201,222 | USD | 728,726 | Citibank, N.A. | 6/21/23 | 21,613 | — |
PLN | 9,700,000 | USD | 2,330,106 | Citibank, N.A. | 6/21/23 | 5,631 | — |
RON | 202,671,000 | USD | 43,992,446 | Goldman Sachs International | 6/21/23 | 230,181 | — |
THB | 1,696,682,124 | USD | 49,108,414 | Standard Chartered Bank | 6/21/23 | 818,067 | — |
THB | 1,276,270,000 | USD | 36,741,468 | Standard Chartered Bank | 6/21/23 | 813,988 | — |
THB | 83,500,000 | USD | 2,420,660 | Standard Chartered Bank | 6/21/23 | 36,407 | — |
USD | 2,169,594 | EUR | 1,970,744 | UBS AG | 6/21/23 | — | (8,044) |
USD | 141,871 | MXN | 2,749,000 | Bank of America, N.A. | 6/21/23 | — | (9,494) |
USD | 2,229,226 | MXN | 41,000,000 | Citibank, N.A. | 6/21/23 | — | (28,313) |
USD | 202,031 | MXN | 3,737,000 | Standard Chartered Bank | 6/21/23 | — | (3,736) |
USD | 6,206,291 | MXN | 114,799,000 | Standard Chartered Bank | 6/21/23 | — | (114,763) |
USD | 2,813,803 | MXN | 54,380,000 | Standard Chartered Bank | 6/21/23 | — | (180,464) |
USD | 10,573,925 | MXN | 195,588,000 | Standard Chartered Bank | 6/21/23 | — | (195,526) |
USD | 3,206,526 | MXN | 61,864,000 | Standard Chartered Bank | 6/21/23 | — | (199,825) |
USD | 3,487,220 | MXN | 67,237,000 | Standard Chartered Bank | 6/21/23 | — | (214,978) |
USD | 210,940 | MXN | 3,894,654 | UBS AG | 6/21/23 | — | (3,507) |
USD | 754,933 | MXN | 13,860,000 | UBS AG | 6/21/23 | — | (8,225) |
USD | 6,481,295 | MXN | 119,666,100 | UBS AG | 6/21/23 | — | (107,750) |
USD | 11,042,505 | MXN | 203,881,090 | UBS AG | 6/21/23 | — | (183,579) |
USD | 23,195,829 | MXN | 425,858,000 | UBS AG | 6/21/23 | — | (252,731) |
USD | 39,519,863 | MXN | 725,555,000 | UBS AG | 6/21/23 | — | (430,589) |
USD | 1,236,822 | MYR | 5,571,882 | Barclays Bank PLC | 6/21/23 | — | (19,946) |
USD | 8,216,706 | MYR | 37,059,400 | Barclays Bank PLC | 6/21/23 | — | (142,243) |
USD | 13,156,449 | MYR | 59,180,340 | Credit Agricole CIB | 6/21/23 | — | (191,998) |
USD | 7,315,958 | MYR | 32,000,000 | Goldman Sachs International | 6/21/23 | 98,184 | — |
USD | 3,141,242 | MYR | 13,951,825 | Goldman Sachs International | 6/21/23 | — | (5,668) |
USD | 6,284,184 | THB | 215,000,000 | Standard Chartered Bank | 6/21/23 | — | (42,395) |
USD | 22,524,900 | THB | 778,241,524 | Standard Chartered Bank | 6/21/23 | — | (375,595) |
USD | 3,273,044 | UYU | 127,976,000 | Citibank, N.A. | 6/21/23 | 3,106 | — |
USD | 11,629,890 | ZAR | 212,459,741 | Goldman Sachs International | 6/21/23 | 67,100 | — |
USD | 2,375,874 | ZAR | 42,707,293 | Goldman Sachs International | 6/21/23 | 51,596 | — |
USD | 2,375,215 | ZAR | 42,707,293 | Goldman Sachs International | 6/21/23 | 50,937 | — |
USD | 2,373,652 | ZAR | 42,707,292 | Goldman Sachs International | 6/21/23 | 49,374 | — |
USD | 2,382,590 | ZAR | 42,878,122 | Goldman Sachs International | 6/21/23 | 49,015 | — |
USD | 5,782,043 | ZAR | 106,229,871 | Goldman Sachs International | 6/21/23 | 648 | — |
USD | 1,693,554 | ZAR | 31,380,685 | Goldman Sachs International | 6/21/23 | — | (14,291) |
USD | 1,697,702 | ZAR | 31,473,666 | Goldman Sachs International | 6/21/23 | — | (15,203) |
USD | 1,696,575 | ZAR | 31,473,667 | Goldman Sachs International | 6/21/23 | — | (16,330) |
USD | 1,695,388 | ZAR | 31,473,666 | Goldman Sachs International | 6/21/23 | — | (17,517) |
USD | 12,387,024 | ZAR | 229,525,161 | Goldman Sachs International | 6/21/23 | — | (104,525) |
USD | 12,417,362 | ZAR | 230,205,251 | Goldman Sachs International | 6/21/23 | — | (111,200) |
USD | 12,409,118 | ZAR | 230,205,251 | Goldman Sachs International | 6/21/23 | — | (119,443) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 12,400,441 | ZAR | 230,205,251 | Goldman Sachs International | 6/21/23 | $ — | $ (128,121) |
USD | 16,786,480 | ZAR | 310,801,684 | Goldman Sachs International | 6/21/23 | — | (128,416) |
USD | 11,590,414 | ZAR | 216,782,797 | Goldman Sachs International | 6/21/23 | — | (207,652) |
USD | 49,697,052 | ZAR | 920,140,913 | Goldman Sachs International | 6/21/23 | — | (380,182) |
USD | 10,170,982 | ZAR | 185,000,000 | UBS AG | 6/21/23 | 102,646 | — |
USD | 5,781,453 | ZAR | 106,229,870 | UBS AG | 6/21/23 | 58 | — |
USD | 11,142,844 | ZAR | 207,897,721 | UBS AG | 6/21/23 | — | (171,665) |
ZAR | 116,000,000 | USD | 6,244,269 | Citibank, N.A. | 6/21/23 | 68,850 | — |
ZAR | 29,000,000 | USD | 1,584,216 | Citibank, N.A. | 6/21/23 | — | (5,936) |
ZAR | 666,759,139 | USD | 36,011,836 | Goldman Sachs International | 6/21/23 | 275,490 | — |
ZAR | 166,939,420 | USD | 8,992,507 | Goldman Sachs International | 6/21/23 | 92,910 | — |
ZAR | 166,939,419 | USD | 8,998,800 | Goldman Sachs International | 6/21/23 | 86,618 | — |
ZAR | 166,939,420 | USD | 9,004,778 | Goldman Sachs International | 6/21/23 | 80,639 | — |
ZAR | 165,940,878 | USD | 8,955,505 | Goldman Sachs International | 6/21/23 | 75,569 | — |
ZAR | 80,000,000 | USD | 4,328,131 | UBS AG | 6/21/23 | 25,745 | — |
USD | 370,084 | UYU | 14,474,000 | Citibank, N.A. | 6/22/23 | 314 | — |
UZS | 13,021,113,284 | USD | 1,107,238 | ICBC Standard Bank plc | 7/13/23 | 9,573 | — |
UZS | 17,164,000,000 | USD | 1,400,000 | ICBC Standard Bank plc | 8/1/23 | 66,109 | — |
UZS | 13,021,113,284 | USD | 1,099,060 | ICBC Standard Bank plc | 8/1/23 | 13,173 | — |
UZS | 6,486,772,753 | USD | 547,867 | ICBC Standard Bank plc | 8/15/23 | 4,244 | — |
USD | 4,485,391 | BRL | 24,041,694 | Citibank, N.A. | 9/11/23 | — | (216,319) |
USD | 50,101,384 | ZAR | 919,861,407 | UBS AG | 9/18/23 | 474,911 | — |
USD | 16,923,054 | ZAR | 310,707,272 | UBS AG | 9/18/23 | 160,414 | — |
ZAR | 666,759,136 | USD | 36,315,857 | UBS AG | 9/18/23 | — | (344,238) |
UZS | 6,864,495,463 | USD | 573,715 | ICBC Standard Bank plc | 10/13/23 | 1,907 | — |
UZS | 8,143,221,557 | USD | 648,862 | JPMorgan Chase Bank, N.A. | 10/24/23 | 32,109 | — |
UZS | 2,692,778,443 | USD | 216,810 | JPMorgan Chase Bank, N.A. | 11/7/23 | 5,179 | — |
HUF | 2,149,534,827 | USD | 6,071,712 | Barclays Bank PLC | 1/30/24 | 334,216 | — |
$14,058,670 | $(11,961,769) |
Non-Deliverable Bond Forward Contracts* | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
5/10/23 | COP | 18,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | $ 3,831,418 | $ (60,567) |
5/10/23 | COP | 4,122,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 877,395 | (8,291) |
5/15/23 | COP | 36,489,600 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 7,767,050 | (69,639) |
5/16/23 | COP | 7,756,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,650,915 | (14,951) |
5/22/23 | COP | 6,183,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,316,092 | (7,145) |
Non-Deliverable Bond Forward Contracts* (continued) | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
5/23/23 | COP | 27,573,800 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | $ 5,869,263 | $ �� (50,658) |
5/24/23 | COP | 5,496,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,169,859 | (7,495) |
6/12/23 | COP | 6,183,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,316,092 | (14,335) |
6/12/23 | COP | 18,000,000 | Republic of Colombia, 7.25%, 11/25/25 | Goldman Sachs International | 3,831,418 | (14,483) |
6/23/23 | COP | 28,233,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 6,009,706 | (68,847) |
6/26/23 | COP | 47,238,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 10,054,938 | (139,160) |
6/29/23 | COP | 14,598,340 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 3,107,352 | (90,324) |
6/29/23 | COP | 67,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 14,261,388 | (480,495) |
6/29/23 | COP | 56,900,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 12,111,537 | (335,114) |
6/29/23 | COP | 24,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 5,108,557 | (106,575) |
6/29/23 | COP | 73,500,000 | Republic of Colombia, 10.00%, 7/24/24 | Bank of America, N.A. | 15,644,955 | (143,574) |
6/30/23 | COP | 48,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 10,217,114 | (89,124) |
$(1,700,777) |
* | 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 | 6/8/23 | $(2,989,798) | $ (76,789) |
Euro-Bund | (15) | Short | 6/8/23 | (2,240,604) | (79,035) |
U.S. 5-Year Treasury Note | (18) | Short | 6/30/23 | (1,975,359) | (44,572) |
$(200,396) |
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 | 195,900 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.66% (pays upon termination) | 1/2/24 | $ 92,019 | $ — | $ 92,019 |
BRL | 716,538 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.69% (pays upon termination) | 1/2/24 | 375,321 | — | 375,321 |
BRL | 27,758 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 14.07% (pays upon termination) | 1/2/24 | 37,101 | — | 37,101 |
BRL | 72,000 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.36% (pays upon termination) | 1/2/25 | 2,484,602 | — | 2,484,602 |
BRL | 57,316 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.48% (pays upon termination) | 1/2/25 | (230,532) | — | (230,532) |
BRL | 57,254 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.49% (pays upon termination) | 1/2/25 | (227,835) | — | (227,835) |
BRL | 37,730 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.51% (pays upon termination) | 1/2/25 | (146,915) | — | (146,915) |
BRL | 19,090 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.17% (pays upon termination) | 1/2/29 | 281,794 | — | 281,794 |
BRL | 15,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.07% (pays upon termination) | 1/2/31 | 242,316 | — | 242,316 |
CLP | 5,000,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.68% (pays semi-annually) | 2/11/24 | (416,429) | — | (416,429) |
CLP | 1,140,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.49% (pays semi-annually) | 4/26/24 | (86,901) | — | (86,901) |
CLP | 2,650,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.38% (pays semi-annually) | 6/17/25 | (523,189) | — | (523,189) |
CLP | 3,700,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.33% (pays semi-annually) | 9/11/25 | (653,891) | — | (653,891) |
CLP | 5,200,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.48% (pays semi-annually) | 12/23/25 | (1,081,129) | — | (1,081,129) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.59% (pays semi-annually) | 1/27/26 | (486,212) | — | (486,212) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.92% (pays semi-annually) | 2/23/26 | (439,749) | — | (439,749) |
CLP | 584,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.87% (pays semi-annually) | 5/31/26 | (100,912) | — | (100,912) |
CLP | 416,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.57% (pays semi-annually) | 12/21/27 | 15,742 | — | 15,742 |
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 | 4,504,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | $ 168,956 | $ — | $ 168,956 |
CLP | 3,112,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | 116,057 | — | 116,057 |
CLP | 3,089,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.62% (pays semi-annually) | 12/21/27 | 108,427 | — | 108,427 |
CLP | 3,089,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.64% (pays semi-annually) | 12/21/27 | 105,041 | — | 105,041 |
CLP | 3,089,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.67% (pays semi-annually) | 12/21/27 | 99,963 | — | 99,963 |
CLP | 2,731,600 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.68% (pays semi-annually) | 12/21/27 | 86,900 | — | 86,900 |
CLP | 1,674,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.69% (pays semi-annually) | 12/21/27 | 52,796 | — | 52,796 |
CLP | 2,327,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.72% (pays semi-annually) | 12/21/27 | 68,927 | — | 68,927 |
CLP | 2,662,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.74% (pays semi-annually) | 12/21/27 | 76,662 | — | 76,662 |
CLP | 794,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.02% (pays semi-annually) | 3/18/29 | (83,804) | — | (83,804) |
CLP | 3,362,600 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.08% (pays semi-annually) | 7/1/31 | (425,971) | — | (425,971) |
CLP | 1,759,504 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.18% (pays semi-annually) | 7/2/31 | (207,730) | — | (207,730) |
CLP | 4,871,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.22% (pays semi-annually) | 7/12/31 | (547,591) | — | (547,591) |
CLP | 466,400 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.20% (pays semi-annually) | 4/8/32 | 39,253 | — | 39,253 |
CLP | 1,432,670 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.35% (pays semi-annually) | 4/11/32 | 140,162 | — | 140,162 |
CLP | 274,770 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.40% (pays semi-annually) | 4/20/32 | 28,629 | — | 28,629 |
CNY | 507,400 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/21/27 | (923,487) | — | (923,487) |
CNY | 92,600 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/21/27 | (165,588) | — | (165,588) |
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 | 215,650 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/21/27 | $ (299,797) | $ — | $ (299,797) |
CNY | 74,572 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.85% (pays quarterly) | 3/15/28 | 76,718 | — | 76,718 |
CNY | 22,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.82% (pays quarterly) | 6/21/28 | 10,926 | — | 10,926 |
CNY | 41,300 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.87% (pays quarterly) | 6/21/28 | 34,250 | — | 34,250 |
CNY | 21,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.89% (pays quarterly) | 6/21/28 | 20,597 | — | 20,597 |
CNY | 21,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.89% (pays quarterly) | 6/21/28 | 20,527 | — | 20,527 |
CNY | 26,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.90% (pays quarterly) | 6/21/28 | 26,528 | — | 26,528 |
COP | 6,031,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 197,477 | — | 197,477 |
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.00% (pays quarterly) | 11/26/25 | 380,155 | — | 380,155 |
COP | 11,354,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.05% (pays quarterly) | 11/26/25 | 354,772 | — | 354,772 |
COP | 12,992,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.16% (pays quarterly) | 11/26/25 | 398,813 | — | 398,813 |
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.20% (pays quarterly) | 11/26/25 | 367,824 | — | 367,824 |
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.28% (pays quarterly) | 11/26/25 | 362,892 | — | 362,892 |
COP | 6,488,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 193,082 | — | 193,082 |
COP | 12,079,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.55% (pays quarterly) | 11/26/25 | 347,017 | — | 347,017 |
COP | 5,979,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.73% (pays quarterly) | 11/26/25 | 166,117 | — | 166,117 |
COP | 25,137,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.78% (pays quarterly) | 11/26/25 | 691,958 | — | 691,958 |
COP | 20,568,100 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (471,577) | — | (471,577) |
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 | 5,427,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.60% (pays quarterly) | 11/26/25 | $ 43,521 | $ — | $ 43,521 |
COP | 10,304,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.75% (pays quarterly) | 11/26/25 | 74,573 | — | 74,573 |
COP | 5,427,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.85% (pays quarterly) | 11/26/25 | 36,503 | — | 36,503 |
COP | 5,496,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.23% (pays quarterly) | 11/26/25 | 26,209 | — | 26,209 |
COP | 3,792,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.42% (pays quarterly) | 11/26/25 | 14,556 | — | 14,556 |
COP | 9,065,738 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.00% (pays quarterly) | 11/26/25 | 7,602 | — | 7,602 |
COP | 3,383,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.17% (pays quarterly) | 11/26/25 | (132) | (50) | (182) |
COP | 6,495,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.28% (pays quarterly) | 11/26/25 | (3,782) | — | (3,782) |
COP | 31,412,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 11.93% (pays quarterly) | 12/21/27 | (652,428) | — | (652,428) |
COP | 14,843,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.07% (pays quarterly) | 3/15/28 | (92,345) | — | (92,345) |
COP | 7,441,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 279,409 | — | 279,409 |
COP | 5,315,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 199,134 | — | 199,134 |
COP | 11,900,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.07% (pays quarterly) | 6/21/28 | 1,595 | — | 1,595 |
COP | 5,908,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.58% (pays quarterly) | 3/15/33 | (38,322) | — | (38,322) |
COP | 9,278,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.61% (pays quarterly) | 3/15/33 | (64,048) | — | (64,048) |
COP | 5,766,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.67% (pays quarterly) | 3/15/33 | (44,610) | — | (44,610) |
CZK | 200,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.40% (pays annually) | 3/6/25 | (850,961) | — | (850,961) |
CZK | 258,400 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 1.37% (pays annually) | 3/17/25 | 1,091,358 | — | 1,091,358 |
CZK | 300,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.46% (pays annually) | 3/15/26 | (1,555,387) | — | (1,555,387) |
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 | 147,500 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.74% (pays annually) | 5/6/26 | $ (805,025) | $ — | $ (805,025) |
CZK | 110,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 5.39% (pays annually) | 3/15/28 | 122,799 | — | 122,799 |
CZK | 53,900 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.61% (pays annually) | 6/21/28 | (3,296) | — | (3,296) |
HUF | 480,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.79% (pays annually) | 8/6/24 | (241,661) | — | (241,661) |
HUF | 3,500,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.71% (pays annually) | 11/22/24 | (2,319,299) | — | (2,319,299) |
HUF | 6,619,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.30% (pays annually) | 3/16/25 | 3,699,079 | — | 3,699,079 |
HUF | 1,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.20% (pays annually) | 11/4/25 | (802,685) | — | (802,685) |
HUF | 2,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.06% (pays annually) | 12/22/25 | (1,514,906) | — | (1,514,906) |
KRW | 3,414,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.36% (pays quarterly) | 1/12/26 | 5,868 | — | 5,868 |
KRW | 3,676,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.39% (pays quarterly) | 1/12/26 | 8,550 | — | 8,550 |
KRW | 5,357,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.39% (pays quarterly) | 1/12/26 | 12,673 | — | 12,673 |
KRW | 3,098,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.24% (pays quarterly) | 1/17/26 | (1,270) | — | (1,270) |
KRW | 6,720,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 3/15/26 | 18,910 | — | 18,910 |
KRW | 1,198,400 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.03% (pays quarterly) | 12/21/27 | 34,718 | — | 34,718 |
KRW | 1,263,900 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.04% (pays quarterly) | 12/21/27 | 37,209 | — | 37,209 |
KRW | 1,923,400 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.05% (pays quarterly) | 12/21/27 | 57,269 | — | 57,269 |
KRW | 211,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.08% (pays quarterly) | 12/21/27 | 6,495 | — | 6,495 |
KRW | 3,303,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.57% (pays quarterly) | 6/21/28 | 51,261 | — | 51,261 |
KRW | 3,303,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.60% (pays quarterly) | 6/21/28 | 55,291 | — | 55,291 |
KRW | 3,417,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.61% (pays quarterly) | 6/21/28 | 57,795 | — | 57,795 |
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) | |
KRW | 11,700,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 2.07% (pays quarterly) | 11/24/31 | $ (728,989) | $ — | $ (728,989) |
MXN | 350,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.98% (pays monthly) | 11/29/23 | (305,727) | (1,380) | (307,107) |
MXN | 185,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.13% (pays monthly) | 2/2/24 | (257,090) | — | (257,090) |
MXN | 600,760 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.76% (pays monthly) | 3/7/24 | 1,386,441 | — | 1,386,441 |
MXN | 166,961 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.79% (pays monthly) | 3/7/24 | 382,826 | — | 382,826 |
MXN | 408,300 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.35% (pays monthly) | 3/14/24 | 817,287 | — | 817,287 |
MXN | 67,771 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.08% (pays monthly) | 6/27/24 | (220,243) | — | (220,243) |
MXN | 224,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.19% (pays monthly) | 6/27/24 | (567,116) | — | (567,116) |
MXN | 130,204 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.66% (pays monthly) | 11/7/24 | 401,507 | — | 401,507 |
MXN | 391,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.65% (pays monthly) | 2/6/25 | (2,073,682) | — | (2,073,682) |
MXN | 144,000 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.40% (pays monthly) | 3/11/25 | 387,685 | — | 387,685 |
MXN | 222,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.71% (pays monthly) | 12/12/25 | (1,395,478) | — | (1,395,478) |
MXN | 111,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.07% (pays monthly) | 4/28/26 | (519,095) | — | (519,095) |
MXN | 165,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.11% (pays monthly) | 6/8/26 | (750,648) | — | (750,648) |
MXN | 130,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.21% (pays monthly) | 6/29/26 | (582,028) | — | (582,028) |
MXN | 160,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.54% (pays monthly) | 9/4/26 | (629,897) | — | (629,897) |
MXN | 270,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 9.19% (pays monthly) | 2/18/28 | 377,082 | — | 377,082 |
MXN | 43,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 4/17/28 | 18,047 | — | 18,047 |
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 | 131,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.73% (pays monthly) | 4/17/28 | $ 60,866 | $ — | $ 60,866 |
MXN | 57,700 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.56% (pays monthly) | 4/18/28 | 4,774 | — | 4,774 |
PLN | 25,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.43% (pays annually) | 6/8/23 | (77,644) | — | (77,644) |
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.04% (pays annually) | 1/31/24 | (223,408) | — | (223,408) |
PLN | 16,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 2/11/24 | (181,029) | — | (181,029) |
PLN | 13,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.05% (pays annually) | 2/28/24 | (144,973) | — | (144,973) |
PLN | 15,522 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 3/13/24 | (174,636) | — | (174,636) |
PLN | 18,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.00% (pays annually) | 5/30/24 | (270,157) | — | (270,157) |
PLN | 37,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.79% (pays annually) | 7/5/24 | (564,285) | — | (564,285) |
PLN | 27,850 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.77% (pays annually) | 8/6/24 | (414,903) | — | (414,903) |
PLN | 12,200 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.66% (pays annually) | 10/2/24 | (182,886) | — | (182,886) |
PLN | 11,400 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.44% (pays annually) | 10/28/24 | (128,651) | — | (128,651) |
PLN | 50,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.97% (pays annually) | 1/20/25 | (1,019,529) | — | (1,019,529) |
PLN | 37,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.44% (pays annually) | 3/17/25 | 813,493 | — | 813,493 |
PLN | 10,800 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.48% (pays annually) | 8/7/25 | (333,758) | — | (333,758) |
PLN | 11,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.69% (pays annually) | 8/26/25 | (322,239) | — | (322,239) |
PLN | 42,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.64% (pays annually) | 1/25/26 | (1,470,660) | — | (1,470,660) |
PLN | 48,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.69% (pays annually) | 9/20/26 | 1,371,737 | — | 1,371,737 |
PLN | 102,370 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.19% (pays annually) | 10/8/26 | 2,464,415 | — | 2,464,415 |
PLN | 13,250 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.87% (pays annually) | 3/3/27 | (202,456) | — | (202,456) |
PLN | 99,138 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.91% (pays annually) | 3/3/27 | (1,481,301) | — | (1,481,301) |
PLN | 21,250 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.56% (pays annually) | 12/21/27 | ���21,888 | — | 21,888 |
PLN | 24,350 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.02% (pays annually) | 12/21/27 | (92,526) | — | (92,526) |
PLN | 75,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.84% (pays annually) | 1/10/28 | (2,170,857) | — | (2,170,857) |
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.29% (pays semi-annually) | 3/15/28 | (51,579) | — | (51,579) |
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 | 23,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 0.93% (pays annually) | 5/8/30 | $ 1,562,858 | $ — | $ 1,562,858 |
PLN | 18,500 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.02% (pays annually) | 5/26/31 | 1,023,065 | — | 1,023,065 |
PLN | 26,700 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.74% (pays annually) | 7/2/31 | (1,580,081) | — | (1,580,081) |
PLN | 20,500 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.19% (pays annually) | 9/21/32 | 35,728 | — | 35,728 |
PLN | 14,240 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.53% (pays annually) | 12/21/32 | (16,129) | — | (16,129) |
PLN | 16,260 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.85% (pays annually) | 12/21/32 | (115,477) | — | (115,477) |
THB | 175,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.29% (pays semi-annually) | 11/25/24 | (66,671) | — | (66,671) |
THB | 233,000 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.02% (pays semi-annually) | 3/17/25 | 117,357 | — | 117,357 |
THB | 291,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.90% (pays semi-annually) | 2/23/26 | (283,083) | — | (283,083) |
THB | 120,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.30% (pays semi-annually) | 11/18/26 | (108,501) | — | (108,501) |
THB | 155,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 2.45% (pays quarterly) | 6/15/27 | 67,610 | — | 67,610 |
THB | 93,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 1.96% (pays quarterly) | 8/19/27 | (16,846) | — | (16,846) |
THB | 219,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 2.02% (pays quarterly) | 9/21/27 | (28,392) | — | (28,392) |
THB | 93,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 2.04% (pays quarterly) | 9/21/27 | (10,481) | — | (10,481) |
THB | 204,600 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.72% (pays semi-annually) | 10/29/31 | (369,831) | — | (369,831) |
THB | 200,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.69% (pays semi-annually) | 11/4/31 | (368,526) | — | (368,526) |
ZAR | 55,027 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.64% (pays quarterly) | 2/14/25 | (84,836) | — | (84,836) |
ZAR | 244,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 7.04% (pays quarterly) | 3/12/25 | 279,740 | — | 279,740 |
ZAR | 65,700 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.91% (pays quarterly) | 3/13/25 | 84,322 | — | 84,322 |
ZAR | 43,340 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.41% (pays quarterly) | 6/11/25 | (135,122) | — | (135,122) |
ZAR | 50,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 4.98% (pays quarterly) | 8/24/25 | (197,238) | 52 | (197,186) |
ZAR | 54,900 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.56% (pays quarterly) | 2/19/26 | (207,966) | 116 | (207,850) |
ZAR | 68,770 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.79% (pays quarterly) | 3/18/26 | 64,352 | — | 64,352 |
ZAR | 79,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.96% (pays quarterly) | 5/20/26 | (269,381) | 234 | (269,147) |
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) | |
ZAR | 132,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.64% (pays quarterly) | 10/18/26 | $ 349,494 | $ (529) | $ 348,965 |
ZAR | 15,850 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.54% (pays quarterly) | 2/23/27 | (49,764) | — | (49,764) |
ZAR | 37,710 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.07% (pays quarterly) | 9/21/27 | (19,261) | — | (19,261) |
ZAR | 108,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.38% (pays quarterly) | 5/4/32 | (306,444) | 693 | (305,751) |
Total | $(11,975,624) | $ (864) | $ (11,976,488) |
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) | |
BNP Paribas | MYR | 17,413 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | $ (69,329) |
Citibank, N.A. | MYR | 10,900 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.63% (pays quarterly) | 6/21/28 | 20,283 |
Citibank, N.A. | THB | 250,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.22% (pays semi-annually) | 10/25/23 | 16,386 |
Citibank, N.A. | THB | 87,340 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.96% (pays semi-annually) | 3/18/24 | 6,833 |
Deutsche Bank AG | THB | 324,320 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.13% (pays semi-annually) | 11/19/23 | 36,839 |
Goldman Sachs International | MYR | 24,900 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.61% (pays quarterly) | 6/21/28 | 40,617 |
JPMorgan Chase Bank, N.A. | MYR | 88,787 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | (354,272) |
JPMorgan Chase Bank, N.A. | MYR | 12,900 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.63% (pays quarterly) | 6/21/28 | 24,274 |
Standard Chartered Bank | THB | 650,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.14% (pays semi-annually) | 8/20/23 | 54,185 |
Total | $(224,184) |
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.V3) | $86 | 1.00% (pays quarterly)(1) | 6/20/24 | $ (42) | $ (3,007) | $ (3,049) | |
Total | $(42) | $(3,007) | $(3,049) |
* | 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 | $ 52,557 |
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 | (80,061) |
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 | (267,648) |
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 | (37,405) |
$(332,557) |
(1) | Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual. |
* | 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. |
Abbreviations: | |
BUBOR | – Budapest Interbank Offered Rate |
EURIBOR | – Euro Interbank Offered Rate |
JIBAR | – Johannesburg Interbank Average Rate |
KLIBOR | – Kuala Lumpur Interbank Offered Rate |
OTC | – Over-the-counter |
PRIBOR | – Prague Interbank Offered Rate |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
AMD | – Armenian Dram |
BAM | – Bosnia-Herzegovina Convertible Mark |
BRL | – Brazilian Real |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EGP | – Egyptian Pound |
EUR | – Euro |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
INR | – Indian Rupee |
KRW | – South Korean Won |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
PEN | – Peruvian Sol |
PLN | – Polish Zloty |
RON | – Romanian Leu |
RSD | – Serbian Dinar |
THB | – Thai Baht |
TRY | – New Turkish Lira |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,113,044,393) | $ 993,314,155 |
Affiliated investment, at value (identified cost $79,394,253) | 79,394,253 |
Cash | 57,033 |
Deposits for derivatives collateral: | |
Centrally cleared derivatives | 35,445,946 |
OTC derivatives | 1,490,000 |
Foreign currency, at value (identified cost $25,450,735) | 25,624,238 |
Interest receivable | 30,554,818 |
Dividends receivable from affiliated investment | 201,014 |
Receivable for investments sold | 312,076 |
Receivable for open forward foreign currency exchange contracts | 14,058,670 |
Receivable for open swap contracts | 251,974 |
Receivable for closed swap contracts | 1,131,330 |
Total assets | $1,181,835,507 |
Liabilities | |
Cash collateral due to brokers | $ 1,490,000 |
Written options outstanding, at value (premiums received $271,199) | 179,093 |
Payable for investments purchased | 18,935,494 |
Payable for variation margin on open futures contracts | 46,766 |
Payable for variation margin on open centrally cleared derivatives | 1,093,868 |
Payable for open forward foreign currency exchange contracts | 11,961,769 |
Payable for open swap contracts | 808,715 |
Payable for closed swap contracts | 66,180 |
Payable for closed non-deliverable bond forward contracts | 31,970 |
Payable for open non-deliverable bond forward contracts | 1,700,777 |
Payable to affiliates: | |
Investment adviser fee | 587,471 |
Trustees' fees | 6,015 |
Accrued foreign capital gains taxes | 600,995 |
Accrued expenses | 833,797 |
Total liabilities | $ 38,342,910 |
Net Assets applicable to investors' interest in Portfolio | $1,143,492,597 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income from affiliated investment | $ 1,845,244 |
Interest income (net of foreign taxes withheld of $599,806) | 37,312,589 |
Total investment income | $ 39,157,833 |
Expenses | |
Investment adviser fee | $ 3,514,558 |
Trustees’ fees and expenses | 34,611 |
Custodian fee | 412,435 |
Legal and accounting services | 76,988 |
Miscellaneous | 28,429 |
Total expenses | $ 4,067,021 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 75,587 |
Total expense reductions | $ 75,587 |
Net expenses | $ 3,991,434 |
Net investment income | $ 35,166,399 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $56,194) | $ (53,588,032) |
Futures contracts | 441,831 |
Swap contracts | (13,630,497) |
Foreign currency transactions | 2,016,566 |
Forward foreign currency exchange contracts | 54,112,114 |
Non-deliverable bond forward contracts | 5,789,861 |
Net realized loss | $ (4,858,157) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $354,995) | $ 136,052,670 |
Written options | 92,106 |
Futures contracts | (422,564) |
Swap contracts | 15,566,797 |
Foreign currency | 1,791,001 |
Forward foreign currency exchange contracts | (3,180,622) |
Non-deliverable bond forward contracts | (579,874) |
Net change in unrealized appreciation (depreciation) | $149,319,514 |
Net realized and unrealized gain | $144,461,357 |
Net increase in net assets from operations | $179,627,756 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 35,166,399 | $ 79,020,018 |
Net realized loss | (4,858,157) | (174,403,398) |
Net change in unrealized appreciation (depreciation) | 149,319,514 | (183,608,590) |
Net increase (decrease) in net assets from operations | $ 179,627,756 | $ (278,991,970) |
Capital transactions: | ||
Contributions | $ 187,043,118 | $ 154,343,479 |
Withdrawals | (181,908,808) | (478,241,966) |
Net increase (decrease) in net assets from capital transactions | $ 5,134,310 | $ (323,898,487) |
Net increase (decrease) in net assets | $ 184,762,066 | $ (602,890,457) |
Net Assets | ||
At beginning of period | $ 958,730,531 | $1,561,620,988 |
At end of period | $1,143,492,597 | $ 958,730,531 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.73% (1)(2) | 0.76% (2) | 0.75% | 0.79% | 0.78% | 0.87% (3) |
Net investment income | 6.47% (1) | 6.43% | 4.98% | 5.79% | 7.01% | 7.22% |
Portfolio Turnover | 32% (4) | 33% | 56% | 56% | 46% | 52% |
Total Return | 18.96% (4) | (20.12)% | 1.48% | 0.08% | 23.15% | (9.33)% |
Net assets, end of period (000’s omitted) | $1,143,493 | $958,731 | $1,561,621 | $1,253,935 | $1,238,490 | $783,270 |
(1) | Annualized. |
(2) | 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 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(3) | 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. |
(4) | Not annualized. |
value as of the close of each business day.
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 | $1,203,833,933 |
Gross unrealized appreciation | $ 28,419,527 |
Gross unrealized depreciation | (165,481,623) |
Net unrealized depreciation | $ (137,062,096) |
Fair Value | ||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ — | $ 1,654,847 | $ — | $ 1,654,847 |
Not applicable | — | 19,589,945* | 26,305,272* | 45,895,217 |
Receivable for open forward foreign currency exchange contracts | — | 14,058,670 | — | 14,058,670 |
Receivable for open swap contracts | — | — | 251,974 | 251,974 |
Total Asset Derivatives | $ — | $ 35,303,462 | $ 26,557,246 | $ 61,860,708 |
Derivatives not subject to master netting or similar agreements | $ — | $ 19,589,945 | $ 26,305,272 | $ 45,895,217 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $ 15,713,517 | $ 251,974 | $ 15,965,491 |
Written options outstanding, at value | $ — | $ (179,093) | $ — | $ (179,093) |
Not applicable | (42)* | (13,006,873)* | (38,481,292)* | (51,488,207) |
Payable for open forward foreign currency exchange contracts | — | (11,961,769) | — | (11,961,769) |
Payable for open swap contracts | — | — | (808,715) | (808,715) |
Payable for open non-deliverable bond forward contracts | — | — | (1,700,777) | (1,700,777) |
Total Liability Derivatives | $ (42) | $(25,147,735) | $(40,990,784) | $(66,138,561) |
Derivatives not subject to master netting or similar agreements | $ (42) | $(13,006,873) | $(38,481,292) | $(51,488,207) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $(12,140,862) | $ (2,509,492) | $(14,650,354) |
* | 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) | Total Cash Collateral Received |
Bank of America, N.A. | $ 119,438 | $ (119,438) | $ — | $ — | $ — | $ — |
Barclays Bank PLC | 1,049,661 | (901,633) | — | (148,028) | — | 550,000 |
BNP Paribas | 52,557 | (52,557) | — | — | — | — |
Citibank, N.A. | 3,077,182 | (775,552) | — | — | 2,301,630 | — |
Credit Agricole CIB | 459,587 | (191,998) | — | (267,589) | — | 300,000 |
Deutsche Bank AG | 36,839 | — | (36,839) | — | — | — |
Goldman Sachs International | 3,693,724 | (3,693,724) | — | — | — | — |
ICBC Standard Bank plc | 107,384 | — | — | — | 107,384 | — |
JPMorgan Chase Bank, N.A. | 1,315,959 | (673,164) | — | (600,000) | 42,795 | 600,000 |
Standard Chartered Bank | 3,822,443 | (3,822,443) | — | — | — | — |
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) | Total Cash Collateral Received |
UBS AG | $ 2,230,717 | $ (1,645,361) | $ (507,496) | $ (40,000) | $ 37,860 | $ 40,000 |
$15,965,491 | $(11,875,870) | $(544,335) | $(1,055,617) | $2,489,669 | $1,490,000 |
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) | Total Cash Collateral Pledged |
Bank of America, N.A. | $ (1,374,997) | $ 119,438 | $ 511,303 | $ — | $ (744,256) | $ — |
Barclays Bank PLC | (901,633) | 901,633 | — | — | — | — |
BNP Paribas | (145,278) | 52,557 | 92,721 | — | — | — |
Citibank, N.A. | (775,552) | 775,552 | — | — | — | — |
Credit Agricole CIB | (191,998) | 191,998 | — | — | — | — |
Goldman Sachs International | (4,416,337) | 3,693,724 | 722,613 | — | — | — |
JPMorgan Chase Bank, N.A. | (673,164) | 673,164 | — | — | — | — |
Standard Chartered Bank | (4,526,034) | 3,822,443 | 703,591 | — | — | — |
UBS AG | (1,645,361) | 1,645,361 | — | — | — | — |
$(14,650,354) | $11,875,870 | $2,030,228 | $ — | $(744,256) | $ — | |
Total — Deposits for derivatives collateral — OTC derivatives | $1,490,000 |
(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 | — | — | 441,831 | 441,831 |
Swap contracts | 18,964 | — | (13,649,461) | (13,630,497) |
Forward foreign currency exchange contracts | — | 54,112,114 | — | 54,112,114 |
Non-deliverable bond forward contracts | — | — | 5,789,861 | 5,789,861 |
Total | $18,964 | $55,035,616 | $ (7,417,769) | $ 47,636,811 |
Change in unrealized appreciation (depreciation): | ||||
Investments | $ — | $ 254,154 | $ — | $ 254,154 |
Written options | — | 92,106 | — | 92,106 |
Futures contracts | — | — | (422,564) | (422,564) |
Swap contracts | 508 | — | 15,566,289 | 15,566,797 |
Forward foreign currency exchange contracts | — | (3,180,622) | — | (3,180,622) |
Non-deliverable bond forward contracts | — | — | (579,874) | (579,874) |
Total | $ 508 | $ (2,834,362) | $ 14,563,851 | $ 11,729,997 |
Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Swap Contracts |
$6,995,000 | $2,602,840,000 | $110,164,000 | $1,485,613,000 |
* | 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 | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $34,198,985 | $683,264,816 | $(638,069,548) | $ — | $ — | $79,394,253 | $1,845,244 | 79,394,253 |
• | 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 | $ — | $ 26,321,151 | $ — | $ 26,321,151 |
Loan Participation Notes | — | — | 21,366,757 | 21,366,757 |
Sovereign Government Bonds | — | 912,301,618 | — | 912,301,618 |
Short-Term Investments: | ||||
Affiliated Fund | 79,394,253 | — | — | 79,394,253 |
U.S. Treasury Obligations | — | 31,669,782 | — | 31,669,782 |
Purchased Currency Options | — | 1,654,847 | — | 1,654,847 |
Total Investments | $ 79,394,253 | $ 971,947,398 | $ 21,366,757 | $ 1,072,708,408 |
Forward Foreign Currency Exchange Contracts | $ — | $ 33,648,615 | $ — | $ 33,648,615 |
Swap Contracts | — | 26,557,246 | — | 26,557,246 |
Total | $ 79,394,253 | $ 1,032,153,259 | $ 21,366,757 | $ 1,132,914,269 |
Liability Description | ||||
Written Currency Options | $ — | $ (179,093) | $ — | $ (179,093) |
Forward Foreign Currency Exchange Contracts | — | (24,968,642) | — | (24,968,642) |
Non-Deliverable Bond Forward Contracts | — | (1,700,777) | — | (1,700,777) |
Futures Contracts | (200,396) | — | — | (200,396) |
Swap Contracts | — | (39,089,653) | — | (39,089,653) |
Total | $ (200,396) | $ (65,938,165) | $ — | $ (66,138,561) |
Loan Participation Notes | Sovereign Government Bonds | Sovereign Government Securities | Total | |
Balance as of October 31, 2022 | $29,380,678 | $ 39,170,230 | $ 2,887,584 | $ 71,438,492 |
Realized gains (losses) | (1,000,732) | — | — | (1,000,732) |
Change in net unrealized appreciation (depreciation) | 416,204 | — | — | 416,204 |
Cost of purchases | — | — | — | — |
Proceeds from sales, including return of capital | (7,429,393) | — | — | (7,429,393) |
Accrued discount (premium) | — | — | — | — |
Transfers to Level 3 | — | — | — | — |
Transfers from Level 3(1) | — | (39,170,230) | (2,887,584) | (42,057,814) |
Balance as of April 30, 2023 | $21,366,757 | $ — | $ — | $ 21,366,757 |
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2023 | $ (493,411) | $ — | $ — | $ (493,411) |
(1) | Transferred from Level 3 based on the observability of valuation inputs resulting from new market activity. |
Type of Investment | Fair Value as of April 30, 2023 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* |
Loan Participation Notes | $21,366,757 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 4.73% | 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. |
Officers of Eaton Vance Emerging Markets Local Income Fund and Emerging Markets Local Income Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Emerging Markets Local Income Fund and Emerging Markets Local Income Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
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
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
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) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) 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.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is 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: | June 23, 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: | June 23, 2023 | |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 23, 2023 |