UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22048
Emerging Markets Local Income Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
October 31, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
Foreign Corporate Bonds — 2.4% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 0.8% | |||
Simpar Finance S.a.r.l., 10.75%, 2/12/28(1) | BRL | 53,195 | $ 8,441,775 |
$ 8,441,775 | |||
Colombia — 0.3% | |||
Patrimonio Autonomo Union del Sur, 6.66%, 2/28/41(2) | COP | 18,185,000 | $ 3,667,043 |
$ 3,667,043 | |||
Mexico — 0.1% | |||
Petroleos Mexicanos, 7.19%, 9/12/24(2) | MXN | 10,630 | $ 556,246 |
$ 556,246 | |||
Peru — 1.0% | |||
Alicorp SAA, 6.875%, 4/17/27(1) | PEN | 25,530 | $ 6,349,936 |
Telefonica del Peru SAA, 7.375%, 4/10/27(2) | PEN | 24,500 | 4,771,684 |
$ 11,121,620 | |||
Uzbekistan — 0.2% | |||
International Finance Corp., 16.00%, 2/21/25 | UZS | 27,000,000 | $ 2,216,031 |
$ 2,216,031 | |||
Total Foreign Corporate Bonds (identified cost $23,040,707) | $ 26,002,715 |
Loan Participation Notes — 2.4% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 2.4% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(1)(3)(4) | UZS | 159,404,590 | $ 12,737,558 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/21/26(1)(3)(4) | UZS | 168,226,770 | 12,819,584 |
Total Loan Participation Notes (identified cost $28,312,513) | $ 25,557,142 |
Sovereign Government Bonds — 74.3% |
Security | Principal Amount (000's omitted) | Value | |
Armenia — 2.4% | |||
Republic of Armenia Treasury Bond: | |||
9.00%, 4/29/26 | AMD | 212,760 | $ 514,421 |
9.25%, 4/29/28 | AMD | 3,148,100 | 7,499,198 |
9.60%, 10/29/33 | AMD | 5,743,604 | 13,651,980 |
9.75%, 10/29/50 | AMD | 719,503 | 1,716,387 |
9.75%, 10/29/52 | AMD | 781,610 | 1,861,584 |
$ 25,243,570 | |||
Azerbaijan — 0.3% | |||
Republic of Azerbaijan, 4.75%, 3/18/24(1) | USD | 3,142 | $ 3,111,051 |
$ 3,111,051 | |||
Bahrain — 0.2% | |||
CBB International Sukuk Programme Co. WLL, 6.25%, 11/14/24(1) | USD | 2,624 | $ 2,600,762 |
$ 2,600,762 | |||
Benin — 0.0%(5) | |||
Benin Government International Bond, 5.75%, 3/26/26(1) | EUR | 316 | $ 326,853 |
$ 326,853 | |||
Bosnia and Herzegovina — 0.1% | |||
Republic of Srpska: | |||
1.50%, 12/15/23 | BAM | 5 | $ 2,590 |
1.50%, 5/31/25 | BAM | 1,112 | 594,438 |
1.50%, 6/9/25 | BAM | 107 | 57,290 |
1.50%, 12/24/25 | BAM | 174 | 93,598 |
1.50%, 9/25/26 | BAM | 108 | 58,347 |
1.50%, 9/26/27 | BAM | 44 | 23,292 |
$ 829,555 | |||
Brazil — 0.4% | |||
Nota do Tesouro Nacional, 10.00%, 1/1/27 | BRL | 22,375 | $ 4,301,621 |
$ 4,301,621 | |||
Chile — 0.5% | |||
Bonos de la Tesoreria de la Republica en pesos, 5.30%, 11/1/37(1)(2) | CLP | 5,355,000 | $ 5,302,158 |
$ 5,302,158 |
Security | Principal Amount (000's omitted) | Value | |
Colombia — 0.1% | |||
Titulos De Tesoreria B, 10.00%, 7/24/24 | COP | 3,528,300 | $ 856,560 |
$ 856,560 | |||
Czech Republic — 3.3% | |||
Czech Republic Government Bond: | |||
0.95%, 5/15/30(1) | CZK | 140,000 | $ 4,828,461 |
2.00%, 10/13/33 | CZK | 308,750 | 10,546,940 |
2.50%, 8/25/28(1) | CZK | 509,740 | 20,113,594 |
$ 35,488,995 | |||
Dominican Republic — 5.2% | |||
Dominican Republic: | |||
8.00%, 1/15/27(1) | DOP | 111,360 | $ 1,821,686 |
8.00%, 2/12/27(1) | DOP | 568,540 | 9,401,250 |
11.25%, 9/15/35(2) | DOP | 140,600 | 2,457,159 |
12.00%, 8/8/25(2) | DOP | 616,460 | 10,972,001 |
12.75%, 9/23/29(2) | DOP | 377,800 | 7,368,915 |
13.00%, 6/10/34(1) | DOP | 35,400 | 723,258 |
13.625%, 2/3/33(2) | DOP | 467,800 | 9,382,225 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(1) | DOP | 36,140 | 577,843 |
12.00%, 10/3/25(2) | DOP | 221,270 | 3,942,496 |
13.00%, 12/5/25(2) | DOP | 383,340 | 6,968,610 |
13.00%, 1/30/26(2) | DOP | 105,090 | 1,912,179 |
$ 55,527,622 | |||
Hungary — 2.0% | |||
Hungary Government Bond: | |||
2.25%, 4/20/33 | HUF | 1,715,000 | $ 3,184,697 |
3.00%, 4/25/41 | HUF | 4,910,850 | 7,734,134 |
3.25%, 10/22/31 | HUF | 2,700,000 | 5,715,856 |
4.00%, 4/28/51 | HUF | 524,540 | 867,824 |
4.75%, 11/24/32 | HUF | 1,572,100 | 3,588,731 |
$ 21,091,242 | |||
India — 3.3% | |||
India Government Bond: | |||
7.10%, 4/18/29 | INR | 2,259,990 | $ 26,804,727 |
7.26%, 2/6/33 | INR | 693,050 | 8,268,279 |
$ 35,073,006 | |||
Indonesia — 7.4% | |||
Indonesia Government Bond: | |||
6.375%, 4/15/32 | IDR | 46,500,000 | $ 2,797,874 |
Security | Principal Amount (000's omitted) | Value | |
Indonesia (continued) | |||
Indonesia Government Bond: (continued) | |||
6.50%, 2/15/31 | IDR | 335,135,000 | $ 20,301,987 |
7.00%, 2/15/33 | IDR | 27,742,000 | 1,733,050 |
7.125%, 6/15/38 | IDR | 37,641,000 | 2,359,831 |
7.125%, 6/15/42 | IDR | 60,101,000 | 3,757,514 |
7.125%, 6/15/43 | IDR | 162,709,000 | 10,215,636 |
7.375%, 5/15/48 | IDR | 16,622,000 | 1,066,539 |
7.50%, 5/15/38 | IDR | 232,589,000 | 15,000,782 |
7.50%, 4/15/40 | IDR | 45,427,000 | 2,926,374 |
8.25%, 6/15/32 | IDR | 11,609,000 | 776,915 |
8.25%, 5/15/36 | IDR | 242,576,000 | 16,454,090 |
8.375%, 4/15/39 | IDR | 22,764,000 | 1,573,346 |
9.50%, 5/15/41 | IDR | 5,702,000 | 442,071 |
$ 79,406,009 | |||
Ivory Coast — 0.2% | |||
Ivory Coast Government International Bond, 5.125%, 6/15/25(1) | EUR | 1,726 | $ 1,799,617 |
$ 1,799,617 | |||
Jordan — 0.4% | |||
Kingdom of Jordan, 4.95%, 7/7/25(1) | USD | 4,503 | $ 4,208,742 |
$ 4,208,742 | |||
Malaysia — 5.8% | |||
Malaysia Government Bond: | |||
3.582%, 7/15/32 | MYR | 29,072 | $ 5,848,938 |
3.733%, 6/15/28 | MYR | 7,900 | 1,643,919 |
3.757%, 5/22/40 | MYR | 17,415 | 3,358,018 |
3.828%, 7/5/34 | MYR | 130,100 | 26,409,692 |
4.065%, 6/15/50 | MYR | 25,800 | 4,996,896 |
4.254%, 5/31/35 | MYR | 27,750 | 5,840,165 |
4.642%, 11/7/33 | MYR | 25,940 | 5,693,935 |
4.696%, 10/15/42 | MYR | 36,069 | 7,831,552 |
$ 61,623,115 | |||
Mexico — 6.2% | |||
Mexican Bonos: | |||
7.50%, 6/3/27 | MXN | 148,017 | $ 7,520,818 |
7.75%, 5/29/31 | MXN | 149,400 | 7,224,218 |
7.75%, 11/13/42(6) | MXN | 361,250 | 16,009,693 |
8.00%, 7/31/53(6) | MXN | 120,800 | 5,390,270 |
8.50%, 5/31/29 | MXN | 178,520 | 9,209,692 |
8.50%, 11/18/38 | MXN | 410,469 | 19,890,964 |
Security | Principal Amount (000's omitted) | Value | |
Mexico (continued) | |||
Mexican Bonos: (continued) | |||
10.00%, 11/20/36 | MXN | 22,074 | $ 1,213,278 |
$ 66,458,933 | |||
North Macedonia — 0.1% | |||
North Macedonia Government International Bond: | |||
2.75%, 1/18/25(1) | EUR | 913 | $ 928,283 |
3.675%, 6/3/26(1) | EUR | 600 | 597,194 |
$ 1,525,477 | |||
Oman — 0.3% | |||
Oman Government International Bond, 4.875%, 2/1/25(1) | USD | 3,173 | $ 3,114,696 |
$ 3,114,696 | |||
Panama — 0.0%(5) | |||
Panama Bonos del Tesoro, 6.375%, 7/25/33(1)(2) | USD | 395 | $ 361,145 |
$ 361,145 | |||
Paraguay — 0.2% | |||
Republic of Paraguay, 5.00%, 4/15/26(1) | USD | 2,174 | $ 2,119,085 |
$ 2,119,085 | |||
Peru — 4.7% | |||
Peru Government Bond: | |||
5.40%, 8/12/34 | PEN | 7,309 | $ 1,589,512 |
5.94%, 2/12/29 | PEN | 100,914 | 25,188,408 |
6.15%, 8/12/32 | PEN | 15,223 | 3,625,042 |
6.35%, 8/12/28 | PEN | 8,808 | 2,261,537 |
6.85%, 2/12/42 | PEN | 19,284 | 4,597,275 |
6.90%, 8/12/37 | PEN | 8,763 | 2,121,034 |
6.95%, 8/12/31 | PEN | 3,863 | 980,754 |
7.30%, 8/12/33(1)(2) | PEN | 40,795 | 10,412,163 |
$ 50,775,725 | |||
Romania — 5.0% | |||
Romania Government International Bond: | |||
2.75%, 2/26/26(1) | EUR | 2,755 | $ 2,794,674 |
3.624%, 5/26/30(1) | EUR | 2,755 | 2,524,290 |
Romanian Government Bond: | |||
2.50%, 10/25/27 | RON | 70,650 | 13,013,678 |
3.25%, 6/24/26 | RON | 57,650 | 11,437,786 |
4.15%, 1/26/28 | RON | 48,045 | 9,368,411 |
4.25%, 4/28/36 | RON | 20,630 | 3,384,732 |
Security | Principal Amount (000's omitted) | Value | |
Romania (continued) | |||
Romanian Government Bond: (continued) | |||
4.85%, 4/22/26 | RON | 32,030 | $ 6,604,830 |
5.80%, 7/26/27 | RON | 16,020 | 3,325,502 |
8.75%, 10/30/28 | RON | 6,025 | 1,389,715 |
$ 53,843,618 | |||
Serbia — 2.2% | |||
Serbia Treasury Bond: | |||
4.50%, 8/20/32 | RSD | 2,566,470 | $ 20,416,230 |
5.875%, 2/8/28 | RSD | 296,460 | 2,739,407 |
$ 23,155,637 | |||
Seychelles — 0.0%(5) | |||
Republic of Seychelles, 8.00%, 1/1/26(1) | USD | 491 | $ 496,040 |
$ 496,040 | |||
South Africa — 14.2% | |||
Republic of South Africa: | |||
8.00%, 1/31/30 | ZAR | 361,300 | $ 17,063,731 |
8.25%, 3/31/32 | ZAR | 181,004 | 7,987,499 |
8.50%, 1/31/37 | ZAR | 369,200 | 14,677,922 |
8.75%, 1/31/44 | ZAR | 284,087 | 10,747,672 |
8.75%, 2/28/48 | ZAR | 69,430 | 2,611,425 |
9.00%, 1/31/40 | ZAR | 334,480 | 13,343,307 |
10.50%, 12/21/26 | ZAR | 831,768 | 46,036,766 |
10.50%, 12/21/26 | ZAR | 710,195 | 39,307,909 |
$151,776,231 | |||
Suriname — 0.9% | |||
Republic of Suriname: | |||
9.25%, 10/26/26(1)(7) | USD | 8,268 | $ 7,544,550 |
12.875%, 12/30/23(1)(7) | USD | 1,698 | 1,555,368 |
12.875%, 12/30/23(2)(7) | USD | 1,055 | 966,380 |
$ 10,066,298 | |||
Thailand — 4.5% | |||
Thailand Government Bond: | |||
1.585%, 12/17/35 | THB | 378,694 | $ 8,669,452 |
1.60%, 12/17/29 | THB | 200,000 | 5,140,018 |
3.30%, 6/17/38 | THB | 594,751 | 15,976,260 |
3.40%, 6/17/36 | THB | 205,000 | 5,645,362 |
3.65%, 6/20/31 | THB | 264,884 | 7,627,451 |
4.875%, 6/22/29 | THB | 183,489 | 5,614,269 |
$ 48,672,812 |
Security | Principal Amount (000's omitted) | Value | |
Ukraine — 0.5% | |||
Ukraine Government Bond: | |||
10.95%, 11/1/23 | UAH | 31,964 | $ 835,799 |
11.67%, 11/22/23 | UAH | 17,516 | 409,187 |
15.84%, 2/26/25 | UAH | 187,405 | 4,054,555 |
$ 5,299,541 | |||
United Arab Emirates — 0.3% | |||
Sharjah Sukuk, Ltd., 3.764%, 9/17/24(1) | USD | 2,747 | $ 2,685,341 |
$ 2,685,341 | |||
Uruguay — 1.5% | |||
Uruguay Government Bond: | |||
3.875%, 7/2/40(8) | UYU | 259,753 | $ 6,595,380 |
9.75%, 7/20/33 | UYU | 323,861 | 8,076,428 |
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24 | UYU | 38,225 | 897,640 |
$ 15,569,448 | |||
Uzbekistan — 1.3% | |||
Republic of Uzbekistan: | |||
4.75%, 2/20/24(1) | USD | 3,100 | $ 3,080,141 |
14.00%, 7/19/24(1) | UZS | 10,590,000 | 864,780 |
16.25%, 10/12/26(1) | UZS | 117,030,000 | 9,613,182 |
$ 13,558,103 | |||
Vietnam — 0.3% | |||
Vietnam Government International Bond, 4.80%, 11/19/24(1) | USD | 3,124 | $ 3,069,174 |
$ 3,069,174 | |||
Zambia — 0.5% | |||
Zambia Government Bond: | |||
11.00%, 1/25/26 | ZMW | 100,560 | $ 3,983,076 |
11.00%, 6/28/26 | ZMW | 4,262 | 160,508 |
11.00%, 12/27/26 | ZMW | 21,670 | 769,794 |
12.00%, 6/28/28 | ZMW | 14,500 | 470,466 |
12.00%, 8/30/28 | ZMW | 1,500 | 47,984 |
12.00%, 11/29/28 | ZMW | 4,500 | 141,229 |
13.00%, 1/25/31 | ZMW | 7,100 | 199,993 |
$ 5,773,050 | |||
Total Sovereign Government Bonds (identified cost $918,487,957) | $795,110,832 |
Short-Term Investments — 15.8% |
Affiliated Fund — 9.1% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(9) | 97,178,009 | $ 97,178,009 | |
Total Affiliated Fund (identified cost $97,178,009) | $ 97,178,009 |
Repurchase Agreements — 0.8% |
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: | |||
Dated 9/29/23 with an interest rate of 5.15%, collateralized by MXN 71,042,171 Mexican Udibonos, 4.00%, due 11/3/50 and a market value, including accrued interest, of $3,444,949(10) | USD | 3,566 | $ 3,566,423 |
Dated 10/16/23 with an interest rate of 5.15%, collateralized by MXN 91,904,389 Mexican Udibonos, 4.00%, due 11/15/40 and a market value, including accrued interest, of $4,595,894(10) | USD | 4,685 | 4,684,754 |
Total Repurchase Agreements (identified cost $8,251,177) | $ 8,251,177 |
Sovereign Government Securities — 3.1% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 2.3% | |||
Letra do Tesouro Nacional, 0.00%, 1/1/24 | BRL | 130,000 | $ 25,307,594 |
$ 25,307,594 | |||
Sri Lanka — 0.8% | |||
Sri Lanka Treasury Bills: | |||
0.00%, 11/17/23 | LKR | 639,000 | $ 1,938,744 |
0.00%, 11/24/23 | LKR | 97,000 | 293,450 |
0.00%, 12/8/23 | LKR | 101,000 | 303,758 |
0.00%, 1/5/24 | LKR | 70,000 | 207,977 |
0.00%, 1/12/24 | LKR | 1,847,000 | 5,470,501 |
$ 8,214,430 | |||
Total Sovereign Government Securities (identified cost $34,642,396) | $ 33,522,024 |
U.S. Treasury Obligations — 2.8% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 11/30/23(11) | $ | 20,000 | $ 19,914,869 |
0.00%, 1/9/24 | 10,000 | 9,898,848 | |
Total U.S. Treasury Obligations (identified cost $29,813,076) | $ 29,813,717 | ||
Total Short-Term Investments (identified cost $169,884,658) | $168,764,927 |
Total Purchased Options — 0.0%(5) (identified cost $505,336) | $ 412,361 | ||
Total Investments — 94.9% (identified cost $1,140,231,171) | $1,015,847,977 | ||
Total Written Options — (0.0)%(5) (premiums received $180,858) | $ (108,317) |
Securities Sold Short — (0.7)% | |||
Sovereign Government Bonds — (0.7)% |
Security | Principal Amount (000's omitted) | Value | |
Mexico — (0.7)% | |||
Mexican Udibonos: | |||
4.00%, 11/15/40(8) | MXN | (91,904) | $ (4,514,899) |
4.00%, 11/3/50(8) | MXN | (71,042) | (3,382,340) |
Total Sovereign Government Bonds (proceeds $8,108,487) | $ (7,897,239) | ||
Total Securities Sold Short (proceeds $8,108,487) | $ (7,897,239) |
Value | |||
Other Assets, Less Liabilities — 5.8% | $ 62,171,742 | ||
Net Assets — 100.0% | $1,070,014,163 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At October 31, 2023, the aggregate value of these securities is $146,924,234 or 13.7% of the Portfolio's net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At October 31, 2023, the aggregate value of these securities is $69,040,404 or 6.5% of the Portfolio's net assets. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9). |
(4) | 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. |
(5) | Amount is less than 0.05% or (0.05)%, as applicable. |
(6) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(7) | Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(8) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(9) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
(10) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(11) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Currency Options (OTC) — 0.0%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 25,800,000 | CNH | 7.30 | 1/18/24 | $224,924 |
Call USD vs. Put CNH | Goldman Sachs International | USD | 21,500,000 | CNH | 7.30 | 1/18/24 | 187,437 |
Total | $412,361 |
(1) | Amount is less than 0.05%. |
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 | 25,800,000 | CNH | 7.50 | 1/18/24 | $ (59,082) |
Call USD vs. Put CNH | Goldman Sachs International | USD | 21,500,000 | CNH | 7.50 | 1/18/24 | (49,235) |
Total | $(108,317) |
(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 | 134,571,000 | USD | 26,984,343 | 11/3/23 | $ (293,016) |
BRL | 140,344,000 | USD | 28,136,327 | 11/3/23 | (299,961) |
USD | 29,186,251 | BRL | 146,048,000 | 11/3/23 | 218,531 |
USD | 25,686,067 | BRL | 128,867,000 | 11/3/23 | 126,093 |
BRL | 511,000 | USD | 101,916 | 12/4/23 | (945) |
BRL | 7,016,000 | USD | 1,399,960 | 12/4/23 | (13,632) |
BRL | 15,300,000 | USD | 3,059,523 | 12/4/23 | (36,315) |
BRL | 114,634,018 | USD | 23,221,719 | 12/4/23 | (570,580) |
BRL | 166,539,000 | USD | 33,745,137 | 12/4/23 | (837,819) |
USD | 10,775,855 | BRL | 53,195,005 | 12/4/23 | 264,773 |
USD | 4,589,695 | BRL | 22,800,000 | 12/4/23 | 84,523 |
USD | 1,262,069 | BRL | 6,400,000 | 12/4/23 | (2,541) |
USD | 2,825,551 | BRL | 14,387,000 | 12/4/23 | (17,252) |
USD | 2,532,453 | BRL | 13,100,000 | 12/4/23 | (56,045) |
CLP | 24,220,766,480 | USD | 26,934,408 | 12/20/23 | 51,636 |
CLP | 388,498,000 | USD | 433,471 | 12/20/23 | (618) |
CLP | 388,498,000 | USD | 433,722 | 12/20/23 | (870) |
CLP | 776,996,000 | USD | 866,699 | 12/20/23 | (994) |
CLP | 388,498,000 | USD | 433,955 | 12/20/23 | (1,102) |
CLP | 388,498,000 | USD | 433,955 | 12/20/23 | (1,102) |
CLP | 388,498,000 | USD | 434,805 | 12/20/23 | (1,952) |
COP | 11,180,000,000 | USD | 2,674,533 | 12/20/23 | 12,847 |
COP | 246,540,445,850 | USD | 59,585,663 | 12/20/23 | (323,785) |
EUR | 10,518,605 | USD | 11,263,533 | 12/20/23 | (108,987) |
EUR | 204,326,386 | USD | 218,796,781 | 12/20/23 | (2,117,097) |
IDR | 5,348,958,600 | USD | 340,184 | 12/20/23 | (4,652) |
IDR | 51,781,800,000 | USD | 3,370,443 | 12/20/23 | (122,247) |
IDR | 67,024,020,864 | USD | 4,362,776 | 12/20/23 | (158,459) |
IDR | 1,211,703,462,139 | USD | 77,062,235 | 12/20/23 | (1,053,870) |
KRW | 2,077,000,000 | USD | 1,566,767 | 12/20/23 | (27,494) |
KRW | 2,524,400,000 | USD | 1,904,992 | 12/20/23 | (34,149) |
KRW | 20,895,000,000 | USD | 15,761,960 | 12/20/23 | (276,596) |
KRW | 25,386,400,000 | USD | 19,157,378 | 12/20/23 | (343,420) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
PEN | 31,080,000 | USD | 8,002,678 | 12/20/23 | $ 72,371 |
PEN | 22,000,000 | USD | 5,668,642 | 12/20/23 | 47,287 |
PEN | 4,400,000 | USD | 1,134,708 | 12/20/23 | 8,478 |
PEN | 12,722,200 | USD | 3,313,677 | 12/20/23 | (8,259) |
PEN | 14,000,000 | USD | 3,665,401 | 12/20/23 | (27,992) |
PEN | 46,088,218 | USD | 12,390,638 | 12/20/23 | (416,231) |
USD | 9,114,867 | CLP | 8,196,543,685 | 12/20/23 | (17,474) |
USD | 2,399,352 | CLP | 2,193,200,000 | 12/20/23 | (44,245) |
USD | 4,418,767 | COP | 18,283,000,000 | 12/20/23 | 24,011 |
USD | 2,706,205 | COP | 11,197,140,625 | 12/20/23 | 14,705 |
USD | 312,575 | COP | 1,293,302,166 | 12/20/23 | 1,699 |
USD | 8,845,257 | COP | 36,884,900,000 | 12/20/23 | (20,908) |
USD | 48,488,062 | EUR | 45,281,244 | 12/20/23 | 469,175 |
USD | 47,762,895 | EUR | 44,604,037 | 12/20/23 | 462,158 |
USD | 37,382,736 | EUR | 34,910,383 | 12/20/23 | 361,719 |
USD | 21,652,581 | EUR | 20,220,561 | 12/20/23 | 209,512 |
USD | 7,086,873 | EUR | 6,618,174 | 12/20/23 | 68,573 |
USD | 5,893,758 | EUR | 5,503,967 | 12/20/23 | 57,029 |
USD | 1,930,776 | EUR | 1,803,082 | 12/20/23 | 18,682 |
USD | 1,229,668 | EUR | 1,148,342 | 12/20/23 | 11,898 |
USD | 753,189 | EUR | 703,376 | 12/20/23 | 7,288 |
USD | 10,682,290 | IDR | 164,331,000,000 | 12/20/23 | 374,049 |
USD | 18,370,028 | IDR | 288,844,814,013 | 12/20/23 | 251,221 |
USD | 6,889,305 | IDR | 105,840,397,540 | 12/20/23 | 250,094 |
USD | 5,339,550 | IDR | 82,165,000,000 | 12/20/23 | 185,461 |
USD | 5,339,268 | IDR | 82,166,000,000 | 12/20/23 | 185,117 |
USD | 9,764,321 | IDR | 153,531,259,462 | 12/20/23 | 133,533 |
USD | 2,811,839 | IDR | 43,339,611,579 | 12/20/23 | 93,210 |
USD | 2,653,144 | IDR | 40,862,100,000 | 12/20/23 | 89,925 |
USD | 2,253,655 | IDR | 34,946,300,000 | 12/20/23 | 61,525 |
USD | 825,172 | INR | 68,540,000 | 12/20/23 | 3,297 |
USD | 1,508,621 | INR | 126,000,000 | 12/20/23 | (2,267) |
USD | 2,525,736 | INR | 211,000,000 | 12/20/23 | (4,402) |
USD | 3,787,294 | INR | 316,400,000 | 12/20/23 | (6,714) |
USD | 5,052,682 | INR | 422,000,000 | 12/20/23 | (7,594) |
USD | 6,500,658 | INR | 543,000,000 | 12/20/23 | (10,550) |
USD | 794,407 | KRW | 1,050,000,000 | 12/20/23 | 16,248 |
USD | 2,459,266 | KRW | 3,316,000,000 | 12/20/23 | 1,765 |
USD | 22,085,840 | PEN | 82,230,000 | 12/20/23 | 721,257 |
USD | 13,001,207 | PEN | 48,475,000 | 12/20/23 | 406,678 |
USD | 6,381,339 | PEN | 23,759,000 | 12/20/23 | 208,395 |
USD | 3,756,470 | PEN | 14,006,000 | 12/20/23 | 117,502 |
USD | 2,348,701 | PEN | 8,736,229 | 12/20/23 | 78,898 |
USD | 5,733,735 | PEN | 21,900,000 | 12/20/23 | 43,788 |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 678,765 | PEN | 2,524,734 | 12/20/23 | $ 22,801 |
USD | 610,228 | PEN | 2,272,000 | 12/20/23 | 19,928 |
USD | 2,127,670 | PEN | 8,142,000 | 12/20/23 | 12,257 |
USD | 2,067,635 | PEN | 7,930,000 | 12/20/23 | 7,302 |
USD | 176,193 | PEN | 656,000 | 12/20/23 | 5,754 |
USD | 5,596,151 | PEN | 21,520,000 | 12/20/23 | 4,934 |
USD | 2,022,633 | PEN | 7,775,000 | 12/20/23 | 2,571 |
USD | 16,204 | PEN | 62,690 | 12/20/23 | (84) |
USD | 3,264,948 | PEN | 12,659,510 | 12/20/23 | (24,182) |
BRL | 128,867,000 | USD | 25,508,621 | 1/3/24 | (125,111) |
BRL | 146,048,000 | USD | 28,984,104 | 1/3/24 | (216,376) |
$ (1,747,391) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 8,931,620 | USD | 9,461,033 | Goldman Sachs International | 11/3/23 | $ — | $ (10,111) |
EUR | 2,865,394 | USD | 3,030,660 | Standard Chartered Bank | 11/3/23 | 1,334 | — |
EUR | 2,768,618 | USD | 2,930,352 | Standard Chartered Bank | 11/3/23 | — | (761) |
EUR | 6,780,736 | USD | 7,145,621 | UBS AG | 11/3/23 | 29,361 | — |
USD | 219,729 | UZS | 2,692,778,443 | JPMorgan Chase Bank, N.A. | 11/6/23 | 145 | — |
UZS | 2,692,778,443 | USD | 216,810 | JPMorgan Chase Bank, N.A. | 11/7/23 | 2,155 | — |
ILS | 15,206,967 | USD | 4,015,781 | Goldman Sachs International | 11/13/23 | — | (252,017) |
USD | 3,862,970 | ILS | 15,206,967 | Citibank, N.A. | 11/13/23 | 99,206 | — |
USD | 5,245,855 | PEN | 20,107,000 | Standard Chartered Bank | 11/13/23 | 14,119 | — |
MYR | 15,000,000 | USD | 3,252,456 | Barclays Bank PLC | 11/15/23 | — | (101,673) |
MYR | 48,967,000 | USD | 10,845,404 | Goldman Sachs International | 11/15/23 | — | (559,779) |
MYR | 97,050,000 | USD | 20,970,182 | State Street Bank and Trust Company | 11/15/23 | — | (584,618) |
USD | 8,630,565 | MYR | 38,967,000 | Goldman Sachs International | 11/15/23 | 445,462 | — |
ILS | 34,199,026 | USD | 9,047,361 | HSBC Bank USA, N.A. | 11/24/23 | — | (579,103) |
USD | 5,222,891 | ILS | 20,560,434 | Standard Chartered Bank | 11/24/23 | 131,780 | — |
USD | 3,454,645 | ILS | 13,638,592 | UBS AG | 11/24/23 | 77,498 | — |
UZS | 11,828,431,118 | USD | 1,004,111 | ICBC Standard Bank plc | 11/27/23 | — | (39,536) |
ILS | 30,166,667 | USD | 8,024,095 | BNP Paribas | 11/28/23 | — | (553,063) |
USD | 2,797,463 | ILS | 11,035,552 | Citibank, N.A. | 11/28/23 | 64,414 | — |
USD | 4,853,519 | ILS | 19,131,115 | JPMorgan Chase Bank, N.A. | 11/28/23 | 115,535 | — |
TRY | 49,720,000 | USD | 1,726,972 | Standard Chartered Bank | 12/8/23 | — | (20,724) |
TRY | 182,048,945 | USD | 6,345,431 | Standard Chartered Bank | 12/8/23 | — | (98,031) |
UZS | 25,102,783,000 | USD | 2,008,223 | ICBC Standard Bank plc | 12/18/23 | — | (32,931) |
CNH | 20,000,000 | USD | 2,746,502 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (13,349) |
CNH | 427,813,617 | USD | 58,749,547 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (285,538) |
CNH | 661,171,267 | USD | 90,795,410 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (441,289) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
CZK | 178,846,941 | EUR | 7,262,734 | Goldman Sachs International | 12/20/23 | $ — | $ (7,464) |
CZK | 921,722,851 | EUR | 37,484,865 | Goldman Sachs International | 12/20/23 | — | (96,727) |
CZK | 33,300,000 | EUR | 1,353,204 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (2,382) |
CZK | 22,100,000 | EUR | 907,178 | UBS AG | 12/20/23 | — | (11,237) |
CZK | 178,846,940 | EUR | 7,269,988 | UBS AG | 12/20/23 | — | (15,157) |
CZK | 883,194,768 | EUR | 35,890,555 | UBS AG | 12/20/23 | — | (63,584) |
EUR | 1,595,349 | CZK | 39,522,565 | Bank of America, N.A. | 12/20/23 | — | (8,540) |
EUR | 3,475,011 | CZK | 85,500,000 | Barclays Bank PLC | 12/20/23 | 6,719 | — |
EUR | 627,566 | CZK | 15,542,447 | Citibank, N.A. | 12/20/23 | — | (3,160) |
EUR | 3,988,955 | CZK | 98,806,413 | Citibank, N.A. | 12/20/23 | — | (20,734) |
EUR | 16,809,818 | CZK | 413,339,966 | Goldman Sachs International | 12/20/23 | 43,377 | — |
EUR | 3,257,410 | CZK | 80,214,663 | Goldman Sachs International | 12/20/23 | 3,348 | — |
EUR | 1,272,920 | CZK | 31,300,091 | Goldman Sachs International | 12/20/23 | 3,285 | — |
EUR | 246,667 | CZK | 6,074,240 | Goldman Sachs International | 12/20/23 | 254 | — |
EUR | 3,486,968 | CZK | 86,406,010 | Standard Chartered Bank | 12/20/23 | — | (19,580) |
EUR | 16,007,449 | CZK | 393,911,293 | UBS AG | 12/20/23 | 28,359 | — |
EUR | 3,260,663 | CZK | 80,214,663 | UBS AG | 12/20/23 | 6,798 | — |
EUR | 1,212,161 | CZK | 29,828,859 | UBS AG | 12/20/23 | 2,147 | — |
EUR | 246,913 | CZK | 6,074,240 | UBS AG | 12/20/23 | 515 | — |
EUR | 1,595,883 | CZK | 39,522,565 | UBS AG | 12/20/23 | — | (7,974) |
EUR | 4,352,488 | HUF | 1,706,201,500 | BNP Paribas | 12/20/23 | — | (71,744) |
EUR | 1,085,954 | HUF | 425,881,276 | Goldman Sachs International | 12/20/23 | — | (18,397) |
EUR | 1,539,973 | HUF | 602,188,766 | Goldman Sachs International | 12/20/23 | — | (21,291) |
EUR | 3,820,523 | HUF | 1,493,366,162 | Goldman Sachs International | 12/20/23 | — | (51,157) |
EUR | 1,085,991 | HUF | 425,881,276 | HSBC Bank USA, N.A. | 12/20/23 | — | (18,358) |
EUR | 1,539,695 | HUF | 602,188,766 | Standard Chartered Bank | 12/20/23 | — | (21,586) |
EUR | 3,849,874 | HUF | 1,505,471,911 | Standard Chartered Bank | 12/20/23 | — | (53,290) |
EUR | 4,349,892 | HUF | 1,706,201,500 | UBS AG | 12/20/23 | — | (74,498) |
EUR | 2,152,045 | PLN | 10,000,000 | HSBC Bank USA, N.A. | 12/20/23 | — | (88,551) |
EUR | 2,829,091 | PLN | 13,130,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (112,603) |
EUR | 1,739,834 | RON | 8,700,000 | Citibank, N.A. | 12/20/23 | — | (7,321) |
EUR | 2,197,698 | RON | 10,980,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (7,217) |
EUR | 45,236,812 | RON | 226,190,134 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (187,069) |
HUF | 5,237,431,926 | EUR | 13,360,591 | BNP Paribas | 12/20/23 | 220,229 | — |
HUF | 4,794,126,245 | EUR | 12,264,957 | Goldman Sachs International | 12/20/23 | 164,228 | — |
HUF | 1,928,327,208 | EUR | 4,931,296 | Goldman Sachs International | 12/20/23 | 68,179 | — |
HUF | 1,310,758,364 | EUR | 3,342,300 | Goldman Sachs International | 12/20/23 | 56,622 | — |
HUF | 1,310,758,364 | EUR | 3,342,414 | HSBC Bank USA, N.A. | 12/20/23 | 56,501 | — |
HUF | 4,761,301,751 | EUR | 12,175,857 | Standard Chartered Bank | 12/20/23 | 168,538 | — |
HUF | 1,928,327,208 | EUR | 4,930,406 | Standard Chartered Bank | 12/20/23 | 69,123 | — |
HUF | 5,237,431,924 | EUR | 13,352,621 | UBS AG | 12/20/23 | 228,681 | — |
ILS | 31,921,320 | USD | 8,406,741 | BNP Paribas | 12/20/23 | — | (488,122) |
MXN | 63,908,825 | USD | 3,630,335 | BNP Paribas | 12/20/23 | — | (112,931) |
MXN | 81,000,000 | USD | 4,650,310 | Citibank, N.A. | 12/20/23 | — | (192,245) |
MXN | 113,506,000 | USD | 6,542,133 | Citibank, N.A. | 12/20/23 | — | (295,007) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
MXN | 53,200,000 | USD | 2,918,002 | Goldman Sachs International | 12/20/23 | $ 10,012 | $ — |
MXN | 72,500,000 | USD | 3,981,801 | Goldman Sachs International | 12/20/23 | 8,442 | — |
MXN | 53,200,000 | USD | 2,925,652 | Goldman Sachs International | 12/20/23 | 2,362 | — |
MXN | 53,200,000 | USD | 2,925,902 | Goldman Sachs International | 12/20/23 | 2,112 | — |
MXN | 6,111,945 | USD | 351,519 | Goldman Sachs International | 12/20/23 | — | (15,131) |
MXN | 10,156,130 | USD | 584,606 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (25,635) |
MXN | 159,600,000 | USD | 8,761,499 | Standard Chartered Bank | 12/20/23 | 22,540 | — |
MXN | 132,578,000 | USD | 7,644,688 | Standard Chartered Bank | 12/20/23 | — | (347,881) |
MXN | 134,448,000 | USD | 7,721,447 | UBS AG | 12/20/23 | — | (321,719) |
MXN | 2,019,366,844 | USD | 113,556,666 | UBS AG | 12/20/23 | — | (2,415,071) |
MYR | 162,578,714 | USD | 34,933,114 | Barclays Bank PLC | 12/20/23 | — | (703,929) |
MYR | 71,522,058 | USD | 15,381,088 | Goldman Sachs International | 12/20/23 | — | (322,894) |
PLN | 148,632,682 | EUR | 31,806,504 | BNP Paribas | 12/20/23 | 1,506,952 | — |
PLN | 6,467,391 | EUR | 1,383,983 | BNP Paribas | 12/20/23 | 65,571 | — |
PLN | 2,607,451 | EUR | 557,979 | BNP Paribas | 12/20/23 | 26,436 | — |
PLN | 36,754,327 | EUR | 7,866,170 | Goldman Sachs International | 12/20/23 | 371,621 | — |
PLN | 10,800,000 | EUR | 2,396,413 | Goldman Sachs International | 12/20/23 | 19,065 | — |
PLN | 1,599,276 | EUR | 342,277 | Goldman Sachs International | 12/20/23 | 16,170 | — |
PLN | 644,778 | EUR | 137,996 | Goldman Sachs International | 12/20/23 | 6,519 | — |
PLN | 148,378,583 | EUR | 31,750,280 | UBS AG | 12/20/23 | 1,506,336 | — |
PLN | 36,754,328 | EUR | 7,873,054 | UBS AG | 12/20/23 | 364,321 | — |
PLN | 6,456,335 | EUR | 1,381,537 | UBS AG | 12/20/23 | 65,545 | — |
PLN | 2,602,993 | EUR | 556,992 | UBS AG | 12/20/23 | 26,425 | — |
PLN | 1,599,275 | EUR | 342,577 | UBS AG | 12/20/23 | 15,853 | — |
PLN | 644,778 | EUR | 138,116 | UBS AG | 12/20/23 | 6,391 | — |
RON | 8,600,000 | EUR | 1,720,229 | Goldman Sachs International | 12/20/23 | 6,820 | — |
RON | 197,871,000 | EUR | 39,573,137 | JPMorgan Chase Bank, N.A. | 12/20/23 | 163,648 | — |
THB | 120,400,000 | USD | 3,261,228 | Standard Chartered Bank | 12/20/23 | 102,961 | — |
THB | 840,563,013 | USD | 23,702,725 | Standard Chartered Bank | 12/20/23 | — | (215,902) |
THB | 765,594,000 | USD | 21,801,546 | Standard Chartered Bank | 12/20/23 | — | (409,491) |
THB | 1,374,000,000 | USD | 39,448,185 | Standard Chartered Bank | 12/20/23 | — | (1,056,186) |
USD | 10,135,919 | CNH | 74,000,000 | Citibank, N.A. | 12/20/23 | 23,251 | — |
USD | 1,779,269 | CNH | 12,850,000 | Citibank, N.A. | 12/20/23 | 23,218 | — |
USD | 6,453,209 | CNH | 47,000,000 | Goldman Sachs International | 12/20/23 | 30,299 | — |
USD | 12,741,337 | CNH | 93,047,000 | Goldman Sachs International | 12/20/23 | 25,751 | — |
USD | 3,844,465 | CNH | 28,000,000 | Goldman Sachs International | 12/20/23 | 18,050 | — |
USD | 961,116 | CNH | 7,000,000 | Goldman Sachs International | 12/20/23 | 4,513 | — |
USD | 40,633,881 | CNH | 295,895,515 | JPMorgan Chase Bank, N.A. | 12/20/23 | 197,491 | — |
USD | 24,473,013 | CNH | 178,212,234 | JPMorgan Chase Bank, N.A. | 12/20/23 | 118,945 | — |
USD | 5,837,179 | CNH | 42,506,280 | JPMorgan Chase Bank, N.A. | 12/20/23 | 28,370 | — |
USD | 3,213,703 | CNH | 23,400,000 | Standard Chartered Bank | 12/20/23 | 15,914 | — |
USD | 2,306,254 | CNH | 16,800,000 | Standard Chartered Bank | 12/20/23 | 10,405 | — |
USD | 5,024,703 | ILS | 19,610,862 | BNP Paribas | 12/20/23 | 159,899 | — |
USD | 3,125,400 | ILS | 12,310,458 | HSBC Bank USA, N.A. | 12/20/23 | 71,584 | — |
USD | 1,903,973 | MXN | 34,920,000 | Goldman Sachs International | 12/20/23 | — | (17,948) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 1,903,973 | MXN | 34,920,000 | Goldman Sachs International | 12/20/23 | $ — | $ (17,948) |
USD | 4,238,362 | MXN | 73,900,000 | State Street Bank and Trust Company | 12/20/23 | 171,066 | — |
USD | 1,044,286 | MXN | 18,935,000 | State Street Bank and Trust Company | 12/20/23 | 2,144 | — |
USD | 1,007,991 | MXN | 18,306,000 | State Street Bank and Trust Company | 12/20/23 | 468 | — |
USD | 961,195 | MXN | 17,546,200 | State Street Bank and Trust Company | 12/20/23 | — | (4,510) |
USD | 555,964 | MXN | 10,221,000 | State Street Bank and Trust Company | 12/20/23 | — | (6,578) |
USD | 56,948,142 | MXN | 1,012,703,123 | UBS AG | 12/20/23 | 1,211,147 | — |
USD | 25,907,411 | MXN | 460,708,900 | UBS AG | 12/20/23 | 550,987 | — |
USD | 1,208,557 | MXN | 21,491,654 | UBS AG | 12/20/23 | 25,703 | — |
USD | 24,873,968 | MYR | 115,763,447 | Barclays Bank PLC | 12/20/23 | 501,230 | — |
USD | 2,546,149 | MYR | 12,000,000 | Barclays Bank PLC | 12/20/23 | 19,679 | — |
USD | 3,451,233 | MYR | 16,100,000 | Goldman Sachs International | 12/20/23 | 61,552 | — |
USD | 22,343,679 | THB | 778,241,524 | Standard Chartered Bank | 12/20/23 | 598,230 | — |
USD | 980,795 | THB | 35,100,000 | Standard Chartered Bank | 12/20/23 | 39 | — |
USD | 2,080,736 | THB | 75,600,000 | Standard Chartered Bank | 12/20/23 | — | (31,662) |
USD | 2,437,305 | UYU | 95,002,000 | Citibank, N.A. | 12/20/23 | 74,750 | — |
USD | 1,215,058 | UYU | 47,448,000 | Citibank, N.A. | 12/20/23 | 35,098 | — |
USD | 3,868,309 | ZAR | 73,400,000 | Citibank, N.A. | 12/20/23 | — | (53,605) |
USD | 1,772,739 | ZAR | 33,833,202 | Goldman Sachs International | 12/20/23 | — | (35,039) |
USD | 1,842,430 | ZAR | 35,242,918 | Goldman Sachs International | 12/20/23 | — | (40,672) |
USD | 1,643,629 | ZAR | 31,531,548 | Goldman Sachs International | 12/20/23 | — | (41,167) |
USD | 4,396,497 | ZAR | 83,908,346 | Goldman Sachs International | 12/20/23 | — | (86,900) |
USD | 4,569,336 | ZAR | 87,404,527 | Goldman Sachs International | 12/20/23 | — | (100,869) |
USD | 4,866,030 | ZAR | 93,350,418 | Goldman Sachs International | 12/20/23 | — | (121,876) |
USD | 6,117,334 | ZAR | 117,107,183 | Goldman Sachs International | 12/20/23 | — | (139,945) |
USD | 6,458,463 | ZAR | 123,978,601 | Goldman Sachs International | 12/20/23 | — | (165,970) |
USD | 15,171,351 | ZAR | 290,432,756 | Goldman Sachs International | 12/20/23 | — | (347,073) |
USD | 19,120,541 | ZAR | 367,043,650 | Goldman Sachs International | 12/20/23 | — | (491,361) |
USD | 1,772,301 | ZAR | 33,833,202 | HSBC Bank USA, N.A. | 12/20/23 | — | (35,477) |
USD | 1,662,877 | ZAR | 31,901,631 | HSBC Bank USA, N.A. | 12/20/23 | — | (41,693) |
USD | 1,841,156 | ZAR | 35,242,918 | HSBC Bank USA, N.A. | 12/20/23 | — | (41,947) |
USD | 4,395,413 | ZAR | 83,908,345 | HSBC Bank USA, N.A. | 12/20/23 | — | (87,984) |
USD | 4,964,079 | ZAR | 94,737,950 | HSBC Bank USA, N.A. | 12/20/23 | — | (97,966) |
USD | 4,566,175 | ZAR | 87,404,527 | HSBC Bank USA, N.A. | 12/20/23 | — | (104,030) |
USD | 4,923,014 | ZAR | 94,446,064 | HSBC Bank USA, N.A. | 12/20/23 | — | (123,434) |
USD | 6,114,938 | ZAR | 117,107,183 | HSBC Bank USA, N.A. | 12/20/23 | — | (142,341) |
USD | 12,311,209 | ZAR | 234,955,732 | HSBC Bank USA, N.A. | 12/20/23 | — | (242,962) |
USD | 15,165,409 | ZAR | 290,432,755 | HSBC Bank USA, N.A. | 12/20/23 | — | (353,014) |
USD | 6,430,013 | ZAR | 123,295,492 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (157,921) |
USD | 19,036,312 | ZAR | 365,021,275 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (467,531) |
USD | 4,936,112 | ZAR | 94,148,939 | UBS AG | 12/20/23 | — | (94,460) |
USD | 12,241,851 | ZAR | 233,494,950 | UBS AG | 12/20/23 | — | (234,267) |
USD | 285,754 | ZMW | 5,986,547 | JPMorgan Chase Bank, N.A. | 12/20/23 | 15,774 | — |
ZAR | 222,509,928 | USD | 11,591,292 | Goldman Sachs International | 12/20/23 | 297,874 | — |
ZAR | 130,570,951 | USD | 6,820,642 | Goldman Sachs International | 12/20/23 | 156,035 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
ZAR | 55,595,885 | USD | 2,898,019 | Goldman Sachs International | 12/20/23 | $ 72,584 | $ — |
ZAR | 39,093,099 | USD | 2,043,710 | Goldman Sachs International | 12/20/23 | 45,115 | — |
ZAR | 32,915,534 | USD | 1,719,410 | Goldman Sachs International | 12/20/23 | 39,335 | — |
ZAR | 33,620,065 | USD | 1,761,571 | Goldman Sachs International | 12/20/23 | 34,819 | — |
ZAR | 22,100,000 | USD | 1,157,615 | Goldman Sachs International | 12/20/23 | 23,233 | — |
ZAR | 9,854,950 | USD | 515,197 | Goldman Sachs International | 12/20/23 | 11,373 | — |
ZAR | 8,475,257 | USD | 444,073 | Goldman Sachs International | 12/20/23 | 8,777 | — |
ZAR | 168,000,000 | USD | 8,746,294 | HSBC Bank USA, N.A. | 12/20/23 | 230,294 | — |
ZAR | 130,570,950 | USD | 6,817,970 | HSBC Bank USA, N.A. | 12/20/23 | 158,706 | — |
ZAR | 93,326,610 | USD | 4,890,127 | HSBC Bank USA, N.A. | 12/20/23 | 96,507 | — |
ZAR | 55,595,884 | USD | 2,897,943 | HSBC Bank USA, N.A. | 12/20/23 | 72,660 | — |
ZAR | 39,093,099 | USD | 2,042,296 | HSBC Bank USA, N.A. | 12/20/23 | 46,529 | — |
ZAR | 32,915,534 | USD | 1,718,737 | HSBC Bank USA, N.A. | 12/20/23 | 40,008 | — |
ZAR | 33,620,065 | USD | 1,761,137 | HSBC Bank USA, N.A. | 12/20/23 | 35,253 | — |
ZAR | 37,523,059 | USD | 1,975,678 | HSBC Bank USA, N.A. | 12/20/23 | 29,257 | — |
ZAR | 23,526,637 | USD | 1,232,749 | HSBC Bank USA, N.A. | 12/20/23 | 24,328 | — |
ZAR | 9,854,950 | USD | 514,841 | HSBC Bank USA, N.A. | 12/20/23 | 11,729 | — |
ZAR | 8,475,257 | USD | 443,964 | HSBC Bank USA, N.A. | 12/20/23 | 8,887 | — |
ZAR | 18,761,530 | USD | 994,888 | HSBC Bank USA, N.A. | 12/20/23 | 7,579 | — |
ZAR | 219,457,439 | USD | 11,444,977 | JPMorgan Chase Bank, N.A. | 12/20/23 | 281,088 | — |
ZAR | 38,528,059 | USD | 2,032,204 | Standard Chartered Bank | 12/20/23 | 26,430 | — |
ZAR | 18,761,529 | USD | 995,260 | State Street Bank and Trust Company | 12/20/23 | 7,208 | — |
ZAR | 93,823,437 | USD | 4,919,047 | UBS AG | 12/20/23 | 94,134 | — |
ZAR | 23,651,881 | USD | 1,240,039 | UBS AG | 12/20/23 | 23,730 | — |
UZS | 15,485,095,000 | USD | 1,235,349 | ICBC Standard Bank plc | 12/21/23 | 8,975 | — |
UZS | 7,711,664,000 | USD | 617,674 | ICBC Standard Bank plc | 12/21/23 | 2,006 | — |
USD | 26,427,867 | BRL | 130,000,000 | BNP Paribas | 1/3/24 | 821,186 | — |
UZS | 14,343,835,000 | USD | 1,142,935 | JPMorgan Chase Bank, N.A. | 1/10/24 | — | (11,346) |
HUF | 438,538,871 | EUR | 1,075,932 | BNP Paribas | 1/11/24 | 59,290 | — |
HUF | 1,336,803,348 | EUR | 3,325,712 | UBS AG | 1/11/24 | 131,967 | — |
HUF | 396,963,222 | EUR | 979,156 | UBS AG | 1/11/24 | 48,120 | — |
UZS | 7,795,050,000 | USD | 617,674 | ICBC Standard Bank plc | 1/22/24 | 9,160 | — |
UZS | 6,864,495,463 | USD | 543,938 | ICBC Standard Bank plc | 1/22/24 | 8,066 | — |
HUF | 2,149,534,827 | EUR | 5,036,398 | Barclays Bank PLC | 1/30/24 | 522,420 | — |
TRY | 64,681,680 | USD | 2,071,488 | Standard Chartered Bank | 3/20/24 | — | (52,846) |
USD | 2,006,862 | TRY | 64,681,680 | Standard Chartered Bank | 3/20/24 | — | (11,779) |
UZS | 8,143,221,557 | USD | 632,483 | JPMorgan Chase Bank, N.A. | 4/19/24 | — | (22,413) |
NGN | 250,679,285 | USD | 294,917 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (56,377) |
NGN | 1,316,619,858 | USD | 1,595,903 | Societe Generale | 6/21/24 | — | (343,430) |
TRY | 31,652,538 | USD | 936,473 | Standard Chartered Bank | 6/21/24 | — | (34,366) |
USD | 901,518 | TRY | 31,652,538 | Standard Chartered Bank | 6/21/24 | — | (590) |
NGN | 684,364,061 | USD | 805,141 | Standard Chartered Bank | 6/24/24 | — | (154,723) |
NGN | 704,894,982 | USD | 805,141 | Standard Chartered Bank | 6/26/24 | — | (135,625) |
NGN | 664,421,370 | USD | 746,547 | Standard Chartered Bank | 7/3/24 | — | (116,835) |
NGN | 715,710,229 | USD | 795,234 | Societe Generale | 7/8/24 | — | (117,957) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 425,197 | AMD | 169,568,504 | Citibank, N.A. | 9/6/24 | $ 26,486 | $ — |
USD | 1,260,027 | AMD | 511,886,000 | Citibank, N.A. | 9/16/24 | 58,272 | — |
EUR | 2,509,535 | PLN | 11,900,000 | Goldman Sachs International | 9/20/24 | — | (112,352) |
TRY | 156,911,000 | USD | 4,284,165 | Standard Chartered Bank | 9/20/24 | — | (190,914) |
USD | 4,096,723 | TRY | 156,911,000 | Standard Chartered Bank | 9/20/24 | 3,472 | — |
TRY | 42,655,000 | USD | 1,148,656 | Standard Chartered Bank | 9/23/24 | — | (39,146) |
USD | 1,112,450 | TRY | 42,655,000 | Standard Chartered Bank | 9/23/24 | 2,940 | — |
UZS | 2,692,778,443 | USD | 197,273 | JPMorgan Chase Bank, N.A. | 11/1/24 | — | (2,026) |
$14,005,403 | $(16,815,163) |
Non-Deliverable Bond Forward Contracts* | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
11/10/23 | COP | 18,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | $ 4,373,178 | $ (130,732) |
12/14/23 | COP | 18,000,000 | Republic of Colombia, 7.25%, 10/18/34 | Goldman Sachs International | 4,373,178 | 55,365 |
1/2/24 | COP | 67,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 16,277,940 | 183,566 |
1/2/24 | COP | 56,900,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 13,824,101 | 40,657 |
1/2/24 | COP | 72,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 17,492,711 | 23,545 |
1/2/24 | COP | 73,500,000 | Republic of Colombia, 10.00%, 7/24/24 | Bank of America, N.A. | 17,857,143 | (130,643) |
$ 41,758 |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
Euro-Bobl | (23) | Short | 12/7/23 | $ (2,830,069) | $ 16,305 |
Euro-Bund | (15) | Short | 12/7/23 | (2,047,265) | 39,837 |
U.S. 5-Year Treasury Note | (128) | Short | 12/29/23 | (13,373,000) | 66,224 |
U.S. 10-Year Treasury Note | (4) | Short | 12/19/23 | (424,688) | 15,816 |
$138,182 |
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 | $ 170,133 | $ — | $ 170,133 |
BRL | 716,538 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.69% (pays upon termination) | 1/2/24 | 662,923 | — | 662,923 |
BRL | 27,758 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 14.07% (pays upon termination) | 1/2/24 | 49,601 | — | 49,601 |
BRL | 383,000 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.29% (pays upon termination) | 7/1/24 | (231,733) | — | (231,733) |
BRL | 72,000 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.36% (pays upon termination) | 1/2/25 | 2,555,356 | — | 2,555,356 |
BRL | 95,450 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.40% (pays upon termination) | 1/2/25 | (200,731) | — | (200,731) |
BRL | 95,450 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.50% (pays upon termination) | 1/2/25 | (178,142) | — | (178,142) |
BRL | 93,368 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (172,188) | — | (172,188) |
BRL | 97,532 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (179,281) | — | (179,281) |
BRL | 78,730 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.60% (pays upon termination) | 1/2/25 | (179,695) | — | (179,695) |
BRL | 183,700 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.96% (pays upon termination) | 1/2/25 | (104,866) | — | (104,866) |
BRL | 94,990 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.07% (pays upon termination) | 1/2/25 | (16,945) | — | (16,945) |
BRL | 51,700 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.45% (pays upon termination) | 1/2/25 | (32,480) | — | (32,480) |
BRL | 57,316 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.48% (pays upon termination) | 1/2/25 | (195,314) | — | (195,314) |
BRL | 57,254 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.49% (pays upon termination) | 1/2/25 | (192,520) | — | (192,520) |
BRL | 37,730 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.51% (pays upon termination) | 1/2/25 | (123,465) | — | (123,465) |
BRL | 88,800 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.02% (pays upon termination) | 1/4/27 | (804,703) | — | (804,703) |
BRL | 34,300 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.44% (pays upon termination) | 1/4/27 | (224,973) | — | (224,973) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
BRL | 19,090 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.17% (pays upon termination) | 1/2/29 | $ 354,307 | $ — | $ 354,307 |
BRL | 15,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.07% (pays upon termination) | 1/2/31 | 354,992 | — | 354,992 |
CLP | 5,000,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.68% (pays semi-annually) | 2/11/24 | (159,452) | — | (159,452) |
CLP | 1,140,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.49% (pays semi-annually) | 4/26/24 | (31,557) | — | (31,557) |
CLP | 2,650,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.38% (pays semi-annually) | 6/17/25 | (361,071) | — | (361,071) |
CLP | 3,700,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.33% (pays semi-annually) | 9/11/25 | (452,194) | — | (452,194) |
CLP | 5,200,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.48% (pays semi-annually) | 12/23/25 | (800,813) | — | (800,813) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.59% (pays semi-annually) | 1/27/26 | (360,726) | — | (360,726) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.92% (pays semi-annually) | 2/23/26 | (327,410) | — | (327,410) |
CLP | 584,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.87% (pays semi-annually) | 5/31/26 | (78,991) | — | (78,991) |
CLP | 4,854,200 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.51% (pays semi-annually) | 9/20/28 | 166,262 | — | 166,262 |
CLP | 4,854,200 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.68% (pays semi-annually) | 9/20/28 | (126,125) | — | (126,125) |
CLP | 3,362,600 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.08% (pays semi-annually) | 7/1/31 | (526,737) | — | (526,737) |
CLP | 4 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.18% (pays semi-annually) | 7/2/31 | (1) | — | (1) |
CLP | 25,304,700 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.23% (pays semi-annually) | 9/20/33 | 635,343 | — | 635,343 |
CLP | 6,236,900 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.56% (pays semi-annually) | 12/20/33 | 85,751 | — | 85,751 |
CNY | 507,400 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/21/27 | 154,173 | — | 154,173 |
CNY | 68,700 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/21/27 | 22,684 | — | 22,684 |
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 | $ 142,183 | $ — | $ 142,183 |
CNY | 22,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.82% (pays quarterly) | 6/21/28 | 55,872 | — | 55,872 |
CNY | 41,300 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.87% (pays quarterly) | 6/21/28 | 116,993 | — | 116,993 |
CNY | 45,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.28% (pays quarterly) | 9/20/28 | (29,839) | — | (29,839) |
CNY | 108,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | (69,319) | — | (69,319) |
CNY | 45,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | (28,474) | — | (28,474) |
CNY | 18,990 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.41% (pays quarterly) | 9/20/28 | 1,695 | — | 1,695 |
CNY | 51,620 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 9/20/28 | 24,181 | — | 24,181 |
CNY | 114,500 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.48% (pays quarterly) | 9/20/28 | 58,847 | — | 58,847 |
CNY | 62,400 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.49% (pays quarterly) | 9/20/28 | 38,885 | — | 38,885 |
CNY | 13,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 1,522 | — | 1,522 |
CNY | 10,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 1,350 | — | 1,350 |
CNY | 30,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 4,411 | — | 4,411 |
CNY | 24,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 3,672 | — | 3,672 |
CNY | 9,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.45% (pays quarterly) | 12/20/28 | 1,646 | — | 1,646 |
CNY | 21,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.46% (pays quarterly) | 12/20/28 | 5,601 | — | 5,601 |
CNY | 21,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 6,230 | — | 6,230 |
CNY | 27,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 8,817 | — | 8,817 |
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 | 18,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | $ 5,986 | $ — | $ 5,986 |
COP | 6,031,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 183,414 | — | 183,414 |
COP | 6,488,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 178,872 | — | 178,872 |
COP | 5,979,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.73% (pays quarterly) | 11/26/25 | 153,583 | — | 153,583 |
COP | 20,568,100 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (433,203) | — | (433,203) |
COP | 3,792,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.42% (pays quarterly) | 11/26/25 | 10,918 | — | 10,918 |
COP | 17,453,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.49% (pays quarterly) | 9/20/28 | 89,793 | — | 89,793 |
CZK | 200,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.40% (pays annually) | 3/6/25 | (475,022) | — | (475,022) |
CZK | 258,400 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 1.37% (pays annually) | 3/17/25 | 607,620 | — | 607,620 |
CZK | 300,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.46% (pays annually) | 3/15/26 | (963,456) | — | (963,456) |
CZK | 110,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 5.39% (pays annually) | 3/15/28 | 296,518 | — | 296,518 |
CZK | 53,900 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.61% (pays annually) | 6/21/28 | (8,275) | — | (8,275) |
CZK | 230,500 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.15% (pays annually) | 9/20/28 | (169,257) | — | (169,257) |
CZK | 51,941 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | (109,450) | — | (109,450) |
CZK | 103,882 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (213,735) | — | (213,735) |
CZK | 125,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (256,598) | — | (256,598) |
CZK | 156,178 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (317,284) | — | (317,284) |
CZK | 61,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.31% (pays annually) | 12/20/33 | (31,134) | — | (31,134) |
HUF | 480,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.79% (pays annually) | 8/6/24 | (140,962) | — | (140,962) |
HUF | 3,500,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.71% (pays annually) | 11/22/24 | (1,522,180) | — | (1,522,180) |
HUF | 6,619,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.30% (pays annually) | 3/16/25 | 2,045,241 | — | 2,045,241 |
HUF | 1,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.20% (pays annually) | 11/4/25 | (555,823) | — | (555,823) |
INR | 841,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/25 | 13,969 | — | 13,969 |
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) | |
INR | 1,743,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | $ 38,277 | $ — | $ 38,277 |
INR | 2,479,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 55,253 | — | 55,253 |
INR | 536,600 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/28 | 14,545 | — | 14,545 |
KRW | 3,290,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.11% (pays quarterly) | 6/21/28 | (103,092) | — | (103,092) |
KRW | 3,303,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.57% (pays quarterly) | 6/21/28 | (54,640) | — | (54,640) |
KRW | 3,303,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.60% (pays quarterly) | 6/21/28 | (50,881) | — | (50,881) |
KRW | 3,417,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.61% (pays quarterly) | 6/21/28 | (52,082) | — | (52,082) |
KRW | 11,700,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 2.07% (pays quarterly) | 11/24/31 | (1,257,473) | — | (1,257,473) |
KRW | 944,071 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.23% (pays quarterly) | 6/21/33 | (51,393) | — | (51,393) |
KRW | 2,086,473 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 6/21/33 | (103,849) | — | (103,849) |
KRW | 1,055,244 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 6/21/33 | (51,292) | — | (51,292) |
KRW | 658,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.35% (pays quarterly) | 6/21/33 | (30,933) | — | (30,933) |
KRW | 1,056,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.29% (pays quarterly) | 9/20/33 | (54,928) | — | (54,928) |
KRW | 766,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (39,123) | — | (39,123) |
KRW | 191,712 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (9,731) | — | (9,731) |
KRW | 1,021,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 9/20/33 | (50,418) | — | (50,418) |
KRW | 1,021,500 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.34% (pays quarterly) | 9/20/33 | (49,931) | — | (49,931) |
KRW | 2,183,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 9/20/33 | (98,149) | — | (98,149) |
KRW | 2,228,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.52% (pays quarterly) | 9/20/33 | (84,104) | — | (84,104) |
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 | 4,502,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | $ (159,358) | $ — | $ (159,358) |
KRW | 2,073,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (73,248) | — | (73,248) |
KRW | 1,773,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (62,203) | — | (62,203) |
KRW | 2,101,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.59% (pays quarterly) | 9/20/33 | (69,758) | — | (69,758) |
KRW | 543,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.02% (pays quarterly) | 12/20/33 | (3,960) | — | (3,960) |
KRW | 1,075,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.03% (pays quarterly) | 12/20/33 | (7,045) | — | (7,045) |
MXN | 350,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.98% (pays monthly) | 11/29/23 | (77,035) | 314 | (76,721) |
MXN | 185,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.13% (pays monthly) | 2/2/24 | (108,004) | — | (108,004) |
MXN | 600,760 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.76% (pays monthly) | 3/7/24 | 610,455 | — | 610,455 |
MXN | 166,961 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.79% (pays monthly) | 3/7/24 | 168,593 | — | 168,593 |
MXN | 408,300 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.35% (pays monthly) | 3/14/24 | 363,124 | — | 363,124 |
MXN | 67,771 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.08% (pays monthly) | 6/27/24 | (138,111) | — | (138,111) |
MXN | 224,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.19% (pays monthly) | 6/27/24 | (363,874) | — | (363,874) |
MXN | 130,204 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.66% (pays monthly) | 11/7/24 | 350,891 | — | 350,891 |
MXN | 391,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.65% (pays monthly) | 2/6/25 | (1,750,538) | — | (1,750,538) |
MXN | 144,000 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.40% (pays monthly) | 3/11/25 | 385,982 | — | 385,982 |
MXN | 222,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.71% (pays monthly) | 12/12/25 | (1,410,279) | — | (1,410,279) |
MXN | 111,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.07% (pays monthly) | 4/28/26 | (601,052) | — | (601,052) |
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 | 165,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.11% (pays monthly) | 6/8/26 | $ (887,688) | $ — | $ (887,688) |
MXN | 130,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.21% (pays monthly) | 6/29/26 | (698,637) | — | (698,637) |
MXN | 160,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.54% (pays monthly) | 9/4/26 | (841,301) | — | (841,301) |
MXN | 23,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 4/17/28 | (52,675) | — | (52,675) |
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.04% (pays annually) | 1/31/24 | (58,326) | — | (58,326) |
PLN | 16,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 2/11/24 | (48,202) | — | (48,202) |
PLN | 13,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.05% (pays annually) | 2/28/24 | (35,093) | — | (35,093) |
PLN | 15,522 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 3/13/24 | (30,070) | — | (30,070) |
PLN | 18,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.00% (pays annually) | 5/30/24 | (178,984) | — | (178,984) |
PLN | 37,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.79% (pays annually) | 7/5/24 | (377,077) | — | (377,077) |
PLN | 27,850 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.77% (pays annually) | 8/6/24 | (267,612) | — | (267,612) |
PLN | 12,200 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.66% (pays annually) | 10/2/24 | (102,881) | — | (102,881) |
PLN | 11,400 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.44% (pays annually) | 10/28/24 | (74,172) | — | (74,172) |
PLN | 50,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.97% (pays annually) | 1/20/25 | (505,219) | — | (505,219) |
PLN | 10,800 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.48% (pays annually) | 8/7/25 | (230,144) | — | (230,144) |
PLN | 11,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.69% (pays annually) | 8/26/25 | (221,371) | — | (221,371) |
PLN | 42,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.64% (pays annually) | 1/25/26 | (1,006,514) | — | (1,006,514) |
PLN | 48,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.69% (pays annually) | 9/20/26 | 956,853 | — | 956,853 |
PLN | 102,370 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.19% (pays annually) | 10/8/26 | 1,696,351 | — | 1,696,351 |
PLN | 13,250 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.87% (pays annually) | 3/3/27 | (35,069) | — | (35,069) |
PLN | 99,138 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.91% (pays annually) | 3/3/27 | (227,648) | — | (227,648) |
PLN | 24,350 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.02% (pays annually) | 12/21/27 | (432,896) | — | (432,896) |
PLN | 75,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.84% (pays annually) | 1/10/28 | (1,229,022) | — | (1,229,022) |
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.29% (pays annually) | 3/15/28 | 238,352 | — | 238,352 |
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 | 26,700 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.74% (pays annually) | 7/2/31 | $ (1,377,149) | $ — | $ (1,377,149) |
PLN | 20,500 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.19% (pays annually) | 9/21/32 | 86,630 | — | 86,630 |
PLN | 8,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.85% (pays annually) | 12/21/32 | (169,682) | — | (169,682) |
PLN | 46,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.24% (pays annually) | 6/21/33 | (130,784) | — | (130,784) |
THB | 200,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.87% (pays semi-annually) | 11/4/23 | (52,564) | — | (52,564) |
THB | 200,000 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 2.24% (pays semi-annually) | 11/4/23 | 118,702 | — | 118,702 |
THB | 120,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.01% (pays semi-annually) | 11/18/23 | (34,461) | — | (34,461) |
THB | 120,000 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 2.24% (pays semi-annually) | 11/18/23 | 36,608 | — | 36,608 |
THB | 175,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.94% (pays semi-annually) | 11/25/23 | (48,370) | — | (48,370) |
THB | 175,000 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 2.24% (pays semi-annually) | 11/25/23 | 101,944 | — | 101,944 |
THB | 175,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.29% (pays semi-annually) | 11/25/24 | (103,915) | — | (103,915) |
THB | 233,000 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 1.02% (pays semi-annually) | 3/17/25 | 157,442 | — | 157,442 |
THB | 291,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 0.90% (pays semi-annually) | 2/23/26 | (357,530) | — | (357,530) |
THB | 120,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.30% (pays semi-annually) | 11/18/26 | (148,642) | — | (148,642) |
THB | 514,900 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 2.94% (pays semi-annually) | 12/20/28 | 42,176 | — | 42,176 |
THB | 177,200 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 2.95% (pays semi-annually) | 12/20/28 | 16,601 | — | 16,601 |
THB | 204,600 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.72% (pays semi-annually) | 10/29/31 | (592,160) | — | (592,160) |
THB | 200,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.69% (pays semi-annually) | 11/4/31 | (615,881) | — | (615,881) |
ZAR | 244,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 7.04% (pays quarterly) | 3/12/25 | 231,399 | — | 231,399 |
ZAR | 65,700 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.91% (pays quarterly) | 3/13/25 | 69,085 | — | 69,085 |
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 | $ 300,475 | $ (472) | $ 300,003 |
Total | $(14,215,265) | $(158) | $ (14,215,423) |
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 | $ (109,235) |
Citibank, N.A. | THB | 87,340 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.96% (pays semi-annually) | 3/18/24 | (7,768) |
Deutsche Bank AG | THB | 324,320 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.13% (pays semi-annually) | 11/19/23 | 8,008 |
JPMorgan Chase Bank, N.A. | MYR | 88,787 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | (557,615) |
Total | $(666,610) |
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 | $ (391) | $ (1,677) | $ (2,068) | |
Total | $(391) | $(1,677) | $(2,068) |
* | 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. |
Abbreviations: | |
BUBOR | – Budapest Interbank Offered Rate |
FBIL | – Financial Benchmarks India Ltd. |
JIBAR | – Johannesburg Interbank Average Rate |
KLIBOR | – Kuala Lumpur Interbank Offered Rate |
MIBOR | – Mumbai Interbank Offered Rate |
OTC | – Over-the-counter |
PRIBOR | – Prague Interbank Offered Rate |
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 |
EUR | – Euro |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
ILS | – Israeli Shekel |
INR | – Indian Rupee |
KRW | – South Korean Won |
LKR | – Sri Lankan Rupee |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NGN | – Nigerian Naira |
PEN | – Peruvian Sol |
PLN | – Polish Zloty |
RON | – Romanian Leu |
RSD | – Serbian Dinar |
THB | – Thai Baht |
TRY | – Turkish Lira |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,043,053,162) | $ 918,669,968 |
Affiliated investments, at value (identified cost $97,178,009) | 97,178,009 |
Cash | 244,397 |
Deposits for derivatives collateral: | |
Futures contracts | 427,600 |
Centrally cleared derivatives | 31,137,406 |
OTC derivatives | 1,944,000 |
Foreign currency, at value (identified cost $27,055,536) | 26,902,809 |
Interest receivable | 19,713,635 |
Dividends receivable from affiliated investments | 309,717 |
Receivable for investments sold | 258,346 |
Receivable for variation margin on open centrally cleared derivatives | 115,861 |
Receivable for open forward foreign currency exchange contracts | 14,005,403 |
Receivable for open swap contracts | 8,009 |
Receivable for open non-deliverable bond forward contracts | 303,133 |
Trustees' deferred compensation plan | 76,997 |
Total assets | $1,111,295,290 |
Liabilities | |
Cash collateral due to brokers | $ 1,944,000 |
Payable for reverse repurchase agreements, including accrued interest of $36,006 | 11,447,196 |
Written options outstanding, at value (premiums received $180,858) | 108,317 |
Payable for investments purchased | 215,738 |
Payable for securities sold short, at value (proceeds $8,108,487) | 7,897,239 |
Payable for variation margin on open futures contracts | 617 |
Payable for open forward foreign currency exchange contracts | 16,815,163 |
Payable for open swap contracts | 674,618 |
Payable for closed swap contracts | 72,097 |
Payable for open non-deliverable bond forward contracts | 261,375 |
Payable to affiliates: | |
Investment adviser fee | 581,161 |
Trustees' fees | 6,387 |
Trustees' deferred compensation plan | 76,997 |
Interest payable on securities sold short | 402,881 |
Accrued foreign capital gains taxes | 354,305 |
Accrued expenses | 423,036 |
Total liabilities | $ 41,281,127 |
Net Assets applicable to investors' interest in Portfolio | $1,070,014,163 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income from affiliated investments | $ 4,233,631 |
Interest income (net of foreign taxes withheld of $1,465,277) | 76,327,546 |
Total investment income | $ 80,561,177 |
Expenses | |
Investment adviser fee | $ 7,293,177 |
Trustees’ fees and expenses | 72,550 |
Custodian fee | 687,836 |
Legal and accounting services | 167,742 |
Miscellaneous | 42,579 |
Total expenses | $ 8,263,884 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 139,990 |
Total expense reductions | $ 139,990 |
Net expenses | $ 8,123,894 |
Net investment income | $ 72,437,283 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $147,122) | $(105,948,046) |
Written options | 15,859 |
Securities sold short | 79,751 |
Futures contracts | 439,343 |
Swap contracts | (19,955,113) |
Foreign currency transactions | 11,329,290 |
Forward foreign currency exchange contracts | 45,468,483 |
Non-deliverable bond forward contracts | 4,851,325 |
Net realized loss | $ (63,719,108) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $108,306) | $ 131,646,403 |
Written options | 72,541 |
Securities sold short | 211,248 |
Futures contracts | (83,986) |
Swap contracts | 13,218,974 |
Foreign currency | 962,591 |
Forward foreign currency exchange contracts | (16,417,746) |
Non-deliverable bond forward contracts | 1,162,661 |
Net change in unrealized appreciation (depreciation) | $ 130,772,686 |
Net realized and unrealized gain | $ 67,053,578 |
Net increase in net assets from operations | $ 139,490,861 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 72,437,283 | $ 79,020,018 |
Net realized loss | (63,719,108) | (174,403,398) |
Net change in unrealized appreciation (depreciation) | 130,772,686 | (183,608,590) |
Net increase (decrease) in net assets from operations | $ 139,490,861 | $ (278,991,970) |
Capital transactions: | ||
Contributions | $ 327,529,582 | $ 154,343,479 |
Withdrawals | (355,736,811) | (478,241,966) |
Net decrease in net assets from capital transactions | $ (28,207,229) | $ (323,898,487) |
Net increase (decrease) in net assets | $ 111,283,632 | $ (602,890,457) |
Net Assets | ||
At beginning of year | $ 958,730,531 | $1,561,620,988 |
At end of year | $1,070,014,163 | $ 958,730,531 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.72% (1) | 0.76% (1) | 0.75% | 0.79% | 0.78% |
Net investment income | 6.43% | 6.43% | 4.98% | 5.79% | 7.01% |
Portfolio Turnover | 67% | 33% | 56% | 56% | 46% |
Total Return | 15.00% | (20.12)% | 1.48% | 0.08% | 23.15% |
Net assets, end of year (000’s omitted) | $1,070,014 | $958,731 | $1,561,621 | $1,253,935 | $1,238,490 |
(1) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
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 | $1,063,376,993 |
Gross unrealized appreciation | $ 88,272,436 |
Gross unrealized depreciation | (143,735,525) |
Net unrealized depreciation | $ (55,463,089) |
Fair Value | ||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ — | $ 412,361 | $ — | $ 412,361 |
Not applicable | — | 5,890,498* | 15,447,264* | 21,337,762 |
Receivable for open forward foreign currency exchange contracts | — | 14,005,403 | — | 14,005,403 |
Receivable for open swap contracts | — | — | 8,008 | 8,008 |
Receivable for open non-deliverable bond forward contracts | — | — | 303,133 | 303,133 |
Total Asset Derivatives | $ — | $ 20,308,262 | $ 15,758,405 | $ 36,066,667 |
Derivatives not subject to master netting or similar agreements | $ — | $ 5,890,498 | $ 15,447,264 | $ 21,337,762 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $ 14,417,764 | $ 311,141 | $ 14,728,905 |
Written options outstanding, at value | $ — | $ (108,317) | $ — | $ (108,317) |
Not applicable | (391)* | (7,637,889)* | (29,524,347)* | (37,162,627) |
Payable for open forward foreign currency exchange contracts | — | (16,815,163) | — | (16,815,163) |
Payable for open swap contracts | — | — | (674,618) | (674,618) |
Payable for open non-deliverable bond forward contracts | — | — | (261,375) | (261,375) |
Total Liability Derivatives | $(391) | $(24,561,369) | $(30,460,340) | $(55,022,100) |
Derivatives not subject to master netting or similar agreements | $(391) | $ (7,637,889) | $(29,524,347) | $(37,162,627) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $(16,923,480) | $ (935,993) | $(17,859,473) |
* | 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. | $ 247,768 | $ (139,183) | $ (52,550) | $ — | $ 56,035 | $ — |
Barclays Bank PLC | 1,274,972 | (864,684) | — | (370,000) | 40,288 | 370,000 |
BNP Paribas | 2,859,563 | (1,335,095) | — | (1,524,468) | — | 1,530,000 |
Citibank, N.A. | 404,695 | (404,695) | — | — | — | — |
Deutsche Bank AG | 8,008 | — | — | (8,008) | — | 44,000 |
Goldman Sachs International | 2,299,990 | (2,299,990) | — | — | — | — |
HSBC Bank USA, N.A. | 889,822 | (889,822) | — | — | — | — |
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 |
ICBC Standard Bank plc | $ 28,207 | $ (28,207) | $ — | $ — | $ — | $ — |
JPMorgan Chase Bank, N.A. | 923,151 | (923,151) | — | — | — | — |
Standard Chartered Bank | 1,167,825 | (1,167,825) | — | — | — | — |
State Street Bank and Trust Company | 180,886 | (180,886) | — | — | — | — |
UBS AG | 4,444,018 | (3,237,967) | (1,206,051) | — | — | — |
$14,728,905 | $(11,471,505) | $(1,258,601) | $(1,902,476) | $96,323 | $1,944,000 |
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. | $ (139,183) | $ 139,183 | $ — | $ — | $ — | $ — |
Barclays Bank PLC | (864,684) | 864,684 | — | — | — | — |
BNP Paribas | (1,335,095) | 1,335,095 | — | — | — | — |
Citibank, N.A. | (579,840) | 404,695 | 175,145 | — | — | — |
Goldman Sachs International | (3,254,055) | 2,299,990 | 708,969 | — | (245,096) | — |
HSBC Bank USA, N.A. | (1,956,860) | 889,822 | 869,284 | — | (197,754) | — |
ICBC Standard Bank plc | (72,467) | 28,207 | — | — | (44,260) | — |
JPMorgan Chase Bank, N.A. | (2,350,311) | 923,151 | 1,124,194 | — | (302,966) | — |
Societe Generale | (461,387) | — | 461,387 | — | — | — |
Standard Chartered Bank | (3,011,918) | 1,167,825 | 1,844,093 | — | — | — |
State Street Bank and Trust Company | (595,706) | 180,886 | 291,753 | — | (123,067) | — |
UBS AG | (3,237,967) | 3,237,967 | — | — | — | — |
$(17,859,473) | $11,471,505 | $5,474,825 | $ — | $(913,143) | $ — | |
Total — Deposits for derivatives collateral — OTC derivatives | $1,944,000 |
(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 | $ — | $ 797,239 | $ — | $ 797,239 |
Written options | — | 15,859 | — | 15,859 |
Futures contracts | — | — | 439,343 | 439,343 |
Swap contracts | 18,074 | 60,233 | (20,033,420) | (19,955,113) |
Forward foreign currency exchange contracts | — | 45,468,483 | — | 45,468,483 |
Non-deliverable bond forward contracts | — | — | 4,851,325 | 4,851,325 |
Total | $18,074 | $ 46,341,814 | $(14,742,752) | $ 31,617,136 |
Change in unrealized appreciation (depreciation): | ||||
Investments | $ — | $ (92,975) | $ — | $ (92,975) |
Written options | — | 72,541 | — | 72,541 |
Futures contracts | — | — | (83,986) | (83,986) |
Swap contracts | 1,489 | — | 13,217,485 | 13,218,974 |
Forward foreign currency exchange contracts | — | (16,417,746) | — | (16,417,746) |
Non-deliverable bond forward contracts | — | — | 1,162,661 | 1,162,661 |
Total | $ 1,489 | $(16,438,180) | $ 14,296,160 | $ (2,140,531) |
Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Swap Contracts |
$7,986,000 | $2,671,129,000 | $101,005,000 | $1,502,100,000 |
* | 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. |
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
Barclays Bank PLC | 9/29/23 | On Demand(1) | 5.65% | $ 5,404,935 | $ 5,428,687 |
Barclays Bank PLC | 10/16/23 | On Demand(1) | 5.65 | 6,006,255 | 6,018,509 |
Total | $11,411,190 | $11,447,196 |
(1) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Counterparty | Repurchase Agreements | Liabilities Available for Offset | Securities Collateral Received(a) | Net Amount(b) |
Barclays Bank PLC | $8,251,177 | $(8,251,177) | $ — | $ — |
Counterparty | Reverse Repurchase Agreements* | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(c) |
Barclays Bank PLC | $(11,447,196) | $8,251,177 | $3,196,019 | $ — |
* | Including accrued interest. |
(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 receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
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 | $1,077,538,470 | $(1,014,559,446) | $ — | $ — | $97,178,009 | $4,233,631 | 97,178,009 |
• | 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 | $ — | $ 26,002,715 | $ — | $ 26,002,715 |
Loan Participation Notes | — | — | 25,557,142 | 25,557,142 |
Sovereign Government Bonds | — | 795,110,832 | — | 795,110,832 |
Short-Term Investments: | ||||
Affiliated Fund | 97,178,009 | — | — | 97,178,009 |
Repurchase Agreements | — | 8,251,177 | — | 8,251,177 |
Sovereign Government Securities | — | 33,522,024 | — | 33,522,024 |
U.S. Treasury Obligations | — | 29,813,717 | — | 29,813,717 |
Purchased Currency Options | — | 412,361 | — | 412,361 |
Total Investments | $ 97,178,009 | $ 893,112,826 | $ 25,557,142 | $ 1,015,847,977 |
Forward Foreign Currency Exchange Contracts | $ — | $ 19,895,901 | $ — | $ 19,895,901 |
Non-Deliverable Bond Forward Contracts | — | 303,133 | — | 303,133 |
Futures Contracts | 138,182 | — | — | 138,182 |
Swap Contracts | — | 15,317,090 | — | 15,317,090 |
Total | $ 97,316,191 | $ 928,628,950 | $ 25,557,142 | $ 1,051,502,283 |
Liability Description | ||||
Securities Sold Short | $ — | $ (7,897,239) | $ — | $ (7,897,239) |
Written Currency Options | — | (108,317) | — | (108,317) |
Forward Foreign Currency Exchange Contracts | — | (24,453,052) | — | (24,453,052) |
Liability Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Non-Deliverable Bond Forward Contracts | $ — | $ (261,375) | $ — | $ (261,375) |
Swap Contracts | — | (30,199,356) | — | (30,199,356) |
Total | $ — | $ (62,919,339) | $ — | $ (62,919,339) |
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) | (3,219,071) | — | — | (3,219,071) |
Change in net unrealized appreciation (depreciation) | 745,339 | — | — | 745,339 |
Cost of purchases | 20,217,220 | — | — | 20,217,220 |
Proceeds from sales, including return of capital | (21,726,478) | — | — | (21,726,478) |
Accrued discount (premium) | 159,454 | — | — | 159,454 |
Transfers to Level 3 | — | — | — | — |
Transfers from Level 3(1) | — | (39,170,230) | (2,887,584) | (42,057,814) |
Balance as of October 31, 2023 | $ 25,557,142 | $ — | $ — | $ 25,557,142 |
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2023 | $ (1,916,974) | $ — | $ — | $ (1,916,974) |
(1) | Transferred from Level 3 based on the observability of valuation inputs resulting from new market activity. |
Type of Investment | Fair Value as of October 31, 2023 | Valuation Technique | Unobservable Input | Range of Unobservable Input | Impact to Valuation from an Increase to Input* |
Loan Participation Notes | $25,557,142 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 5.46%-9.79%** | 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. |
** | The weighted average of the unobservable input is 7.68% based on relative principal amounts. |
Boston, Massachusetts
December 22, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management `Classic' (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
Item 2. Code of Ethics
The registrant (sometimes referred to as the “Fund”) has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees (the “Board”) has designated George J. Gorman and Scott E. Wennerholm, each an independent trustee, as audit committee financial experts. Mr. Gorman is a certified public accountant who is the Principal at George J. Gorman LLC (a consulting firm). Previously, Mr. Gorman served in various capacities at Ernst & Young LLP (a registered public accounting firm), including as Senior Partner. Mr. Gorman also has experience serving as an independent trustee and audit committee financial expert of other mutual fund complexes. Mr. Wennerholm is a private investor. Previously, Mr. Wennerholm served as a Trustee at Wheelock College (postsecondary institution), as a Consultant at GF Parish Group (executive recruiting firm), Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm), Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm), and Vice President at Fidelity Investments Institutional Services (investment management firm).
Item 4. Principal Accountant Fees and Services
(a)-(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended October 31, 2022 and October 31, 2023 by the registrant’s principal accountant, Deloitte & Touche LLP (“D&T”), for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by D&T during such periods.
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 94,900 | $ | 91,900 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 3,000 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 1,200 | ||||
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Total | $ | 97,900 | $ | 93,100 | ||||
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(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by D&T for the registrant’s fiscal years ended October 31, 2022 and October 31, 2023; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same time periods.
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Registrant | $ | 3,000 | $ | 1,200 | ||||
Eaton Vance(1) | $ | 52,836 | $ | 0 |
(1) | Certain subsidiaries of Morgan Stanley. provide ongoing services to the registrant. |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
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/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President |
Date: December 22, 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: December 22, 2023
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President |
Date: December 22, 2023