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: 811-22049
International Income Portfolio
(Exact Name of Registrant as Specified in Charter)
One Post Office Square, Boston, Massachusetts 02109
(Address of Principal Executive Offices)
Deidre E. Walsh
One Post Office Square, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2024
Date of Reporting Period
Item 1. Reports to Stockholders
Collateralized Mortgage Obligations — 8.8% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA1, Class M2, 7.83%, (30-day SOFR Average + 2.50%), 1/25/42(1)(2) | $ | 1,800 | $ 1,833,364 |
Government National Mortgage Association, Series 2023-115, Class AL, 6.00%, 8/20/53 | 1,000 | 982,606 | |
Total Collateralized Mortgage Obligations (identified cost $2,699,742) | $ 2,815,970 |
Foreign Corporate Bonds — 0.9% |
Security | Principal Amount (000's omitted) | Value | |
Paraguay — 0.9% | |||
Itau BBA International PLC, 9.03%, 2/19/30 | PYG | 1,906,340 | $ 275,472 |
Total Foreign Corporate Bonds (identified cost $280,990) | $ 275,472 |
Sovereign Government Bonds — 53.1% |
Security | Principal Amount (000's omitted) | Value | |
China — 2.5% | |||
China Government Bonds: | |||
2.67%, 11/25/33 | CNY | 3,000 | $ 425,155 |
3.00%, 10/15/53 | CNY | 2,500 | 378,390 |
$ 803,545 | |||
Colombia — 1.8% | |||
Titulos De Tesoreria B: | |||
6.25%, 7/9/36 | COP | 804,400 | $ 142,773 |
9.25%, 5/28/42 | COP | 2,040,500 | 445,138 |
$ 587,911 | |||
Czech Republic — 5.1% | |||
Czech Republic Government Bonds: | |||
4.50%, 11/11/32 | CZK | 12,330 | $ 530,464 |
4.90%, 4/14/34 | CZK | 24,620 | 1,092,635 |
$ 1,623,099 |
Security | Principal Amount (000's omitted) | Value | |
Dominican Republic — 5.2% | |||
Dominican Republic Bonds: | |||
8.00%, 1/15/27(3) | DOP | 3,970 | $ 63,288 |
8.00%, 2/12/27(3) | DOP | 20,150 | 321,434 |
11.25%, 9/15/35(1) | DOP | 8,000 | 144,494 |
12.00%, 8/8/25(1) | DOP | 10,500 | 182,752 |
13.00%, 6/10/34(3) | DOP | 25,400 | 519,938 |
13.625%, 2/3/33(1) | DOP | 8,000 | 163,415 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(3) | DOP | 900 | 14,488 |
13.00%, 12/5/25(1) | DOP | 8,440 | 148,327 |
13.00%, 1/30/26(1) | DOP | 6,240 | 110,086 |
$ 1,668,222 | |||
Germany — 4.7% | |||
Bundesrepublik Deutschland Bundesanleihe, 1.70%, 8/15/32(3) | EUR | 1,500 | $ 1,501,987 |
$ 1,501,987 | |||
Greece — 0.1% | |||
Hellenic Republic Government Bonds, 0.00%, GDP-Linked, 10/15/42 | EUR | 8,072 | $ 24,120 |
$ 24,120 | |||
Hungary — 1.4% | |||
Hungary Government Bonds: | |||
4.00%, 4/28/51 | HUF | 37,210 | $ 65,261 |
4.75%, 11/24/32 | HUF | 167,540 | 388,577 |
$ 453,838 | |||
Iceland — 7.5% | |||
Republic of Iceland: | |||
4.50%, 2/17/42 | ISK | 184,453 | $ 1,048,310 |
5.00%, 11/15/28 | ISK | 3,916 | 25,041 |
7.00%, 9/17/35 | ISK | 15,871 | 113,339 |
8.00%, 6/12/25 | ISK | 172,866 | 1,217,506 |
$ 2,404,196 | |||
Indonesia — 5.9% | |||
Indonesia Treasury Bonds: | |||
6.125%, 5/15/28 | IDR | 1,053,000 | $ 62,368 |
7.125%, 6/15/42 | IDR | 1,472,000 | 89,538 |
7.125%, 6/15/43 | IDR | 27,958,000 | 1,714,078 |
7.375%, 5/15/48 | IDR | 529,000 | 33,300 |
$ 1,899,284 |
Security | Principal Amount (000's omitted) | Value | |
Paraguay — 1.6% | |||
Paraguay Government Bonds, 7.90%, 2/9/31(1) | PYG | 3,731,000 | $ 515,341 |
$ 515,341 | |||
Peru — 1.9% | |||
Peru Government Bonds: | |||
5.40%, 8/12/34 | PEN | 119 | $ 27,338 |
6.714%, 2/12/55 | PEN | 1,820 | 440,394 |
7.30%, 8/12/33(1)(3) | PEN | 554 | 148,320 |
$ 616,052 | |||
Philippines — 1.7% | |||
Philippines Government International Bonds, 6.25%, 1/14/36 | PHP | 34,000 | $ 553,481 |
$ 553,481 | |||
Serbia — 9.0% | |||
Serbia Treasury Bonds: | |||
5.875%, 2/8/28 | RSD | 161,760 | $ 1,521,194 |
7.00%, 10/26/31 | RSD | 138,300 | 1,347,899 |
$ 2,869,093 | |||
South Korea — 1.6% | |||
Korea Treasury Bonds, 4.00%, 12/10/31 | KRW | 692,140 | $ 515,290 |
$ 515,290 | |||
Ukraine — 0.1% | |||
Ukraine Government Bonds: | |||
15.84%, 2/26/25 | UAH | 110 | $ 2,197 |
19.19%, 9/30/26 | UAH | 682 | 13,376 |
$ 15,573 | |||
Uruguay — 3.0% | |||
Uruguay Government Bonds: | |||
3.875%, 7/2/40(4) | UYU | 10,132 | $ 285,711 |
8.25%, 5/21/31 | UYU | 433 | 10,781 |
9.75%, 7/20/33 | UYU | 24,908 | 677,558 |
$ 974,050 | |||
Total Sovereign Government Bonds (identified cost $18,039,930) | $17,025,082 |
U.S. Government Agency Mortgage-Backed Securities — 11.1% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: | |||
5.00%, with maturity at 2052 | $ | 913 | $ 867,671 |
5.224%, (COF + 1.791%), with maturity at 2035(5) | 88 | 86,203 | |
Uniform Mortgage-Backed Security, 5.50%, 30-Year, TBA(6) | 2,700 | 2,622,480 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $3,444,068) | $ 3,576,354 |
U.S. Treasury Obligations — 0.9% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bonds, 0.625%, 7/15/32(7) | $ | 347 | $ 305,971 |
Total U.S. Treasury Obligations (identified cost $332,444) | $ 305,971 |
Short-Term Investments — 36.9% |
Affiliated Fund — 9.7% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(8) | 3,109,163 | $ 3,109,163 | |
Total Affiliated Fund (identified cost $3,109,163) | $ 3,109,163 |
Repurchase Agreements — 3.6% |
Description | Principal Amount (000's omitted) | Value | |
JPMorgan Chase Bank, N.A.: | |||
Dated 1/8/24 with an interest rate of 10.70%, collateralized by MXN 22,000,000 Mexican Bonos, 8.00%, due 7/31/53 and a market value, including accrued interest, of $1,057,533(9) | MXN | 19,834 | $ 1,157,803 |
Total Repurchase Agreements (identified cost $1,178,564) | $ 1,157,803 |
U.S. Treasury Obligations — 23.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 5/9/24(10) | $ | 1,481 | $ 1,479,263 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: (continued) | |||
0.00%, 5/30/24(10) | $ | 1,000 | $ 995,755 |
0.00%, 6/13/24 | 1,300 | 1,291,833 | |
0.00%, 6/20/24(10) | 1,250 | 1,240,851 | |
0.00%, 7/11/24(10) | 1,836 | 2,573,054 | |
Total U.S. Treasury Obligations (identified cost $7,581,067) | $ 7,580,756 | ||
Total Short-Term Investments (identified cost $11,868,794) | $11,847,722 |
Total Purchased Options — 0.1% (identified cost $106,031) | $ 36,321 | ||
Total Investments — 111.8% (identified cost $36,771,999) | $35,882,892 | ||
Total Written Options and Swaptions — (0.2)% (premiums received $42,055) | $ (62,129) |
Securities Sold Short — (3.2)% | |||
Sovereign Government Bonds — (3.2)% |
Security | Principal Amount (000's omitted) | Value | |
Mexico — (3.2)% | |||
Mexican Bonos, 8.00%, 7/31/53 | MXN | (22,000) | $ (1,042,123) |
Total Sovereign Government Bonds (proceeds $1,115,274) | $(1,042,123) | ||
Total Securities Sold Short (proceeds $1,115,274) | $(1,042,123) |
Other Assets, Less Liabilities — (8.4)% | $ (2,696,242) | ||
Net Assets — 100.0% | $32,082,398 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2024, the aggregate value of these securities is $3,246,099 or 10.1% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2024. |
(3) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2024, the aggregate value of these securities is $2,569,455 or 8.0% of the Portfolio's net assets. |
(4) | 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. |
(5) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at April 30, 2024. |
(6) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount, which is not expected to differ significantly from the commitment amount, and maturity date are determined upon settlement. |
(7) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(8) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2024. |
(9) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(10) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Currency Options (OTC) — 0.1% | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Put USD vs. Call BRL | Goldman Sachs International | USD | 1,120,000 | BRL | 5.01 | 6/11/24 | $ 2,394 |
Put USD vs. Call BRL | JPMorgan Chase Bank, N.A. | USD | 950,000 | BRL | 5.01 | 6/11/24 | 2,045 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 1,100,000 | INR | 85.50 | 1/25/29 | 8,922 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 600,000 | INR | 85.50 | 1/25/29 | 4,867 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 510,000 | INR | 85.50 | 1/30/29 | 4,144 |
Purchased Currency Options (OTC) (continued) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Put USD vs. Call MXN | Citibank, N.A. | USD | 700,000 | MXN | 17.02 | 5/17/24 | $ 4,252 |
Put USD vs. Call MXN | Standard Chartered Bank | USD | 1,050,000 | MXN | 16.74 | 6/20/24 | 4,395 |
Put USD vs. Call MXN | Standard Chartered Bank | USD | 350,000 | MXN | 16.82 | 7/2/24 | 2,102 |
Put USD vs. Call MXN | Standard Chartered Bank | USD | 700,000 | MXN | 16.71 | 7/5/24 | 3,200 |
Total | $36,321 |
Written Currency Options (OTC) — (0.0)%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Put USD vs. Call MXN | Standard Chartered Bank | USD | 700,000 | MXN | 17.02 | 5/17/24 | $(4,252) |
Total | $(4,252) |
(1) | Amount is less than (0.05)%. |
Written Interest Rate Swaptions (OTC) — (0.2)% | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Option to enter into interest rate swap expiring 5/9/34 to pay SOFR and receive 3.93% | JPMorgan Chase Bank, N.A. | USD | (950,000) | 5/7/24 | $ (30,293) |
Option to enter into interest rate swap expiring 8/9/34 to pay SOFR and receive 4.14% | Citibank, N.A. | USD | (1,150,000) | 8/7/24 | (27,584) |
Total | $(57,877) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
TWD | 2,720,000 | USD | 83,528 | 5/29/24 | $ (193) |
COP | 506,940,000 | USD | 127,242 | 6/20/24 | 1,035 |
COP | 120,000,000 | USD | 30,246 | 6/20/24 | 119 |
EUR | 67,274 | USD | 73,526 | 6/20/24 | (1,588) |
EUR | 2,014,724 | USD | 2,186,415 | 6/20/24 | (32,020) |
EUR | 8,940,651 | USD | 9,771,556 | 6/20/24 | (211,093) |
IDR | 10,107,886,775 | USD | 641,343 | 6/20/24 | (20,584) |
IDR | 17,549,829,911 | USD | 1,123,549 | 6/20/24 | (45,754) |
INR | 33,157,083 | USD | 399,015 | 6/20/24 | (2,536) |
INR | 66,378,900 | USD | 798,687 | 6/20/24 | (4,955) |
INR | 92,100,000 | USD | 1,108,170 | 6/20/24 | (6,875) |
KRW | 445,500,000 | USD | 320,716 | 6/20/24 | 1,470 |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
KRW | 1,260,757,211 | USD | 965,617 | 6/20/24 | $ (53,836) |
PEN | 165,000 | USD | 44,151 | 6/20/24 | (347) |
PEN | 200,000 | USD | 53,555 | 6/20/24 | (459) |
PEN | 148,000 | USD | 39,753 | 6/20/24 | (462) |
PEN | 185,000 | USD | 49,902 | 6/20/24 | (789) |
PEN | 332,000 | USD | 89,175 | 6/20/24 | (1,037) |
PEN | 800,000 | USD | 214,483 | 6/20/24 | (2,100) |
PEN | 721,042 | USD | 194,555 | 6/20/24 | (3,134) |
PEN | 1,190,000 | USD | 321,724 | 6/20/24 | (5,805) |
TWD | 5,000,000 | USD | 156,242 | 6/20/24 | (2,917) |
TWD | 11,000,000 | USD | 342,146 | 6/20/24 | (4,832) |
USD | 215,402 | COP | 851,000,000 | 6/20/24 | 62 |
USD | 124,570 | COP | 493,017,000 | 6/20/24 | (185) |
USD | 282,721 | COP | 1,120,693,000 | 6/20/24 | (862) |
USD | 2,480,354 | EUR | 2,269,442 | 6/20/24 | 53,583 |
USD | 2,238,004 | EUR | 2,047,700 | 6/20/24 | 48,347 |
USD | 2,201,964 | EUR | 2,014,725 | 6/20/24 | 47,569 |
USD | 1,272,720 | EUR | 1,164,497 | 6/20/24 | 27,494 |
USD | 1,766,775 | EUR | 1,628,037 | 6/20/24 | 25,874 |
USD | 847,834 | EUR | 775,740 | 6/20/24 | 18,316 |
USD | 842,539 | EUR | 770,895 | 6/20/24 | 18,201 |
USD | 593,509 | EUR | 543,041 | 6/20/24 | 12,821 |
USD | 241,839 | EUR | 221,274 | 6/20/24 | 5,224 |
USD | 172,769 | EUR | 158,078 | 6/20/24 | 3,732 |
USD | 14,469 | EUR | 13,239 | 6/20/24 | 313 |
USD | 6,952 | EUR | 6,406 | 6/20/24 | 102 |
USD | 1,002,391 | IDR | 15,655,338,716 | 6/20/24 | 40,944 |
USD | 746,465 | IDR | 11,659,784,263 | 6/20/24 | 30,398 |
USD | 646,883 | IDR | 10,103,275,267 | 6/20/24 | 26,407 |
USD | 181,995 | IDR | 2,842,772,640 | 6/20/24 | 7,410 |
USD | 149,692 | IDR | 2,338,029,536 | 6/20/24 | 6,106 |
USD | 128,782 | IDR | 2,090,400,000 | 6/20/24 | 404 |
USD | 295 | IDR | 4,611,508 | 6/20/24 | 12 |
USD | 331,135 | PEN | 1,220,000 | 6/20/24 | 7,251 |
USD | 220,666 | PEN | 813,000 | 6/20/24 | 4,832 |
USD | 239,833 | PEN | 887,099 | 6/20/24 | 4,327 |
USD | 36,099 | PEN | 133,000 | 6/20/24 | 791 |
USD | 24,157 | PEN | 89,000 | 6/20/24 | 529 |
USD | 26,041 | PEN | 96,322 | 6/20/24 | 470 |
USD | 288,129 | PEN | 1,084,000 | 6/20/24 | 351 |
USD | 31,365 | PEN | 118,000 | 6/20/24 | 38 |
USD | 53,371 | PEN | 201,637 | 6/20/24 | (159) |
USD | 46,820 | PEN | 177,000 | 6/20/24 | (169) |
USD | 489,598 | PEN | 1,849,702 | 6/20/24 | (1,457) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 430,113 | PEN | 1,626,000 | 6/20/24 | $ (1,554) |
USD | 638,811 | PHP | 35,500,000 | 6/20/24 | 24,812 |
CLP | 157,600,000 | USD | 165,767 | 6/21/24 | (1,686) |
USD | 165,767 | CLP | 157,600,000 | 6/21/24 | 1,686 |
BRL | 260,560 | USD | 51,657 | 7/2/24 | (1,776) |
BRL | 274,000 | USD | 54,341 | 7/2/24 | (1,887) |
BRL | 411,000 | USD | 81,477 | 7/2/24 | (2,794) |
BRL | 411,000 | USD | 81,486 | 7/2/24 | (2,804) |
BRL | 443,440 | USD | 87,977 | 7/2/24 | (3,085) |
BRL | 700,000 | USD | 138,939 | 7/2/24 | (4,930) |
BRL | 699,000 | USD | 139,010 | 7/2/24 | (5,193) |
$ (8,827) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
HUF | 47,693,372 | EUR | 120,438 | BNP Paribas | 5/2/24 | $ 1,502 | $ — |
HUF | 48,452,002 | EUR | 122,148 | UBS AG | 5/2/24 | 1,745 | — |
CZK | 4,848,176 | EUR | 191,149 | Goldman Sachs International | 5/6/24 | 1,678 | — |
CZK | 4,801,824 | EUR | 189,316 | HSBC Bank USA, N.A. | 5/6/24 | 1,667 | — |
EUR | 383,177 | CZK | 9,650,000 | Societe Generale | 5/6/24 | — | (450) |
HUF | 47,972,008 | EUR | 121,632 | HSBC Bank USA, N.A. | 5/13/24 | 860 | — |
HUF | 89,820,102 | EUR | 229,221 | JPMorgan Chase Bank, N.A. | 5/13/24 | 26 | — |
HUF | 45,930,699 | EUR | 116,341 | UBS AG | 5/13/24 | 947 | — |
ILS | 1,949,897 | USD | 519,834 | Bank of America, N.A. | 5/13/24 | 1,541 | — |
ILS | 1,800,103 | USD | 480,258 | BNP Paribas | 5/13/24 | 1,064 | — |
ISK | 30,000,000 | EUR | 199,071 | Citibank, N.A. | 5/13/24 | 852 | — |
TRY | 5,228,409 | USD | 155,766 | Standard Chartered Bank | 5/13/24 | 4,200 | — |
TRY | 4,703,042 | USD | 140,139 | Standard Chartered Bank | 5/13/24 | 3,753 | — |
USD | 1,016,508 | ILS | 3,750,000 | JPMorgan Chase Bank, N.A. | 5/13/24 | 13,811 | — |
USD | 169,989 | TRY | 5,900,000 | Standard Chartered Bank | 5/13/24 | — | (10,526) |
HUF | 41,771,424 | EUR | 106,788 | UBS AG | 5/15/24 | — | (209) |
EUR | 402,147 | HUF | 158,435,825 | JPMorgan Chase Bank, N.A. | 5/17/24 | — | (2,214) |
HUF | 169,404,238 | EUR | 429,987 | JPMorgan Chase Bank, N.A. | 5/17/24 | 2,367 | — |
USD | 292,474 | KRW | 407,465,193 | Standard Chartered Bank | 5/20/24 | — | (2,120) |
MXN | 2,609,000 | USD | 153,428 | Bank of America, N.A. | 5/21/24 | — | (1,564) |
MXN | 563,447 | USD | 33,179 | Goldman Sachs International | 5/21/24 | — | (382) |
MXN | 569,110 | USD | 33,511 | Goldman Sachs International | 5/21/24 | — | (384) |
MXN | 1,981,000 | USD | 116,408 | Goldman Sachs International | 5/21/24 | — | (1,098) |
MXN | 2,197,443 | USD | 129,304 | Goldman Sachs International | 5/21/24 | — | (1,396) |
MXN | 2,435,000 | USD | 143,142 | Goldman Sachs International | 5/21/24 | — | (1,406) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 412,687 | MXN | 7,025,000 | Citibank, N.A. | 5/21/24 | $ 3,778 | $ — |
USD | 195,767 | MXN | 3,330,000 | JPMorgan Chase Bank, N.A. | 5/21/24 | 1,936 | — |
TRY | 3,818,477 | USD | 112,091 | Standard Chartered Bank | 5/22/24 | 3,597 | — |
USD | 471,093 | PHP | 27,142,000 | Societe Generale | 5/23/24 | 1,374 | — |
USD | 932,639 | PHP | 53,658,000 | Standard Chartered Bank | 5/23/24 | 4,068 | — |
HUF | 98,971,039 | EUR | 250,388 | Bank of America, N.A. | 5/29/24 | 1,961 | — |
HUF | 98,965,216 | EUR | 250,286 | BNP Paribas | 5/29/24 | 2,055 | — |
TWD | 16,480,000 | USD | 505,884 | Standard Chartered Bank | 5/29/24 | — | (736) |
HUF | 50,109,092 | EUR | 127,468 | BNP Paribas | 6/3/24 | 185 | — |
HUF | 46,036,282 | EUR | 117,051 | Citibank, N.A. | 6/3/24 | 231 | — |
PLN | 1,520,000 | EUR | 350,941 | Barclays Bank PLC | 6/5/24 | — | (433) |
CZK | 9,650,000 | EUR | 382,717 | Societe Generale | 6/6/24 | 467 | — |
BRL | 3,124,000 | USD | 623,553 | Goldman Sachs International | 6/13/24 | — | (24,192) |
USD | 623,180 | BRL | 3,124,000 | Goldman Sachs International | 6/13/24 | 23,819 | — |
AUD | 1,310,000 | USD | 858,436 | BNP Paribas | 6/20/24 | — | (8,583) |
AUD | 1,000,000 | USD | 663,679 | BNP Paribas | 6/20/24 | — | (14,936) |
AUD | 1,000,000 | USD | 663,399 | Citibank, N.A. | 6/20/24 | — | (14,656) |
AUD | 4,932 | USD | 3,249 | UBS AG | 6/20/24 | — | (49) |
AUD | 1,000,000 | USD | 657,965 | UBS AG | 6/20/24 | — | (9,222) |
CAD | 82,800 | USD | 61,439 | Bank of America, N.A. | 6/20/24 | — | (1,244) |
CAD | 309,900 | USD | 229,949 | Bank of America, N.A. | 6/20/24 | — | (4,657) |
CAD | 97,000 | USD | 71,959 | Goldman Sachs International | 6/20/24 | — | (1,442) |
CAD | 364,000 | USD | 270,033 | Goldman Sachs International | 6/20/24 | — | (5,411) |
CAD | 121,000 | USD | 89,805 | HSBC Bank USA, N.A. | 6/20/24 | — | (1,840) |
CAD | 455,000 | USD | 337,695 | HSBC Bank USA, N.A. | 6/20/24 | — | (6,917) |
CAD | 61,000 | USD | 45,376 | Standard Chartered Bank | 6/20/24 | — | (1,030) |
CAD | 227,000 | USD | 168,857 | Standard Chartered Bank | 6/20/24 | — | (3,831) |
CAD | 97,200 | USD | 72,436 | UBS AG | 6/20/24 | — | (1,773) |
CAD | 364,100 | USD | 271,337 | UBS AG | 6/20/24 | — | (6,642) |
CNH | 1,430,000 | USD | 196,904 | Standard Chartered Bank | 6/20/24 | 655 | — |
CZK | 800,000 | EUR | 31,396 | JPMorgan Chase Bank, N.A. | 6/20/24 | 377 | — |
CZK | 4,771,861 | EUR | 188,163 | UBS AG | 6/20/24 | 1,296 | — |
EUR | 1,809,417 | CZK | 46,087,667 | HSBC Bank USA, N.A. | 6/20/24 | — | (20,976) |
GBP | 1,240,000 | USD | 1,581,862 | State Street Bank and Trust Company | 6/20/24 | — | (32,025) |
JPY | 38,670,000 | USD | 262,073 | Citibank, N.A. | 6/20/24 | — | (15,059) |
JPY | 640,849,895 | USD | 4,343,139 | Citibank, N.A. | 6/20/24 | — | (249,554) |
MXN | 943,000 | USD | 55,048 | Bank of America, N.A. | 6/20/24 | — | (419) |
MXN | 15,364 | USD | 905 | Goldman Sachs International | 6/20/24 | — | (15) |
MXN | 1,054,000 | USD | 61,796 | Goldman Sachs International | 6/20/24 | — | (738) |
MXN | 847,300 | USD | 49,898 | Goldman Sachs International | 6/20/24 | — | (814) |
MXN | 5,821,000 | USD | 342,805 | Goldman Sachs International | 6/20/24 | — | (5,594) |
MXN | 427,000 | USD | 25,185 | Societe Generale | 6/20/24 | — | (448) |
MXN | 6,900 | USD | 404 | Standard Chartered Bank | 6/20/24 | — | (4) |
MXN | 647,700 | USD | 37,912 | Standard Chartered Bank | 6/20/24 | — | (390) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
MXN | 600,000 | USD | 35,323 | Standard Chartered Bank | 6/20/24 | $ — | $ (565) |
MXN | 4,753,000 | USD | 278,205 | Standard Chartered Bank | 6/20/24 | — | (2,863) |
MXN | 4,800,000 | USD | 282,581 | Standard Chartered Bank | 6/20/24 | — | (4,517) |
MXN | 10,000 | USD | 583 | State Street Bank and Trust Company | 6/20/24 | — | (3) |
MXN | 96,771 | USD | 5,668 | State Street Bank and Trust Company | 6/20/24 | — | (62) |
MXN | 116,943 | USD | 6,849 | State Street Bank and Trust Company | 6/20/24 | — | (75) |
MXN | 923,000 | USD | 53,565 | State Street Bank and Trust Company | 6/20/24 | — | (95) |
MXN | 985,000 | USD | 57,405 | State Street Bank and Trust Company | 6/20/24 | — | (344) |
MXN | 978,000 | USD | 57,511 | State Street Bank and Trust Company | 6/20/24 | — | (856) |
MXN | 7,226,000 | USD | 421,128 | State Street Bank and Trust Company | 6/20/24 | — | (2,524) |
NZD | 123,149 | USD | 76,137 | BNP Paribas | 6/20/24 | — | (3,572) |
NZD | 630,000 | USD | 377,639 | BNP Paribas | 6/20/24 | — | (6,413) |
NZD | 870,000 | USD | 519,905 | BNP Paribas | 6/20/24 | — | (7,260) |
NZD | 670,000 | USD | 401,904 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (7,108) |
PLN | 1,954,954 | EUR | 446,377 | Barclays Bank PLC | 6/20/24 | 4,368 | — |
PLN | 151,618 | EUR | 35,220 | Citibank, N.A. | 6/20/24 | — | (304) |
PLN | 151,580 | EUR | 35,224 | Goldman Sachs International | 6/20/24 | — | (318) |
SEK | 3,887,000 | EUR | 346,890 | UBS AG | 6/20/24 | — | (17,461) |
SGD | 505,000 | USD | 380,500 | Goldman Sachs International | 6/20/24 | — | (9,717) |
SGD | 1,000,000 | USD | 750,262 | Goldman Sachs International | 6/20/24 | — | (16,038) |
SGD | 1,000,000 | USD | 750,599 | Goldman Sachs International | 6/20/24 | — | (16,374) |
TRY | 6,998,660 | USD | 196,593 | Standard Chartered Bank | 6/20/24 | 9,027 | — |
TRY | 10,212,000 | USD | 300,161 | Standard Chartered Bank | 6/20/24 | — | (134) |
TWD | 7,000,000 | USD | 218,723 | Standard Chartered Bank | 6/20/24 | — | (4,068) |
TWD | 9,000,000 | USD | 281,286 | Standard Chartered Bank | 6/20/24 | — | (5,301) |
USD | 412,307 | AUD | 627,000 | BNP Paribas | 6/20/24 | 5,545 | — |
USD | 508,899 | AUD | 780,000 | HSBC Bank USA, N.A. | 6/20/24 | 2,880 | — |
USD | 416,462 | AUD | 633,000 | Standard Chartered Bank | 6/20/24 | 5,808 | — |
USD | 279,359 | CNH | 2,000,000 | BNP Paribas | 6/20/24 | 3,053 | — |
USD | 139,679 | CNH | 1,000,000 | BNP Paribas | 6/20/24 | 1,527 | — |
USD | 840,342 | CNH | 6,000,000 | Citibank, N.A. | 6/20/24 | 11,426 | — |
USD | 809,571 | CNH | 5,780,000 | Goldman Sachs International | 6/20/24 | 11,049 | — |
USD | 514,563 | CNH | 3,672,700 | Goldman Sachs International | 6/20/24 | 7,169 | — |
USD | 279,330 | CNH | 2,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 3,025 | — |
USD | 139,665 | CNH | 1,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 1,513 | — |
USD | 139,665 | CNH | 1,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 1,513 | — |
USD | 558,943 | CNH | 4,000,000 | JPMorgan Chase Bank, N.A. | 6/20/24 | 6,332 | — |
USD | 139,736 | CNH | 1,000,000 | JPMorgan Chase Bank, N.A. | 6/20/24 | 1,583 | — |
USD | 1,331,633 | CNH | 9,529,100 | UBS AG | 6/20/24 | 15,162 | — |
USD | 370,771 | CNH | 2,653,216 | UBS AG | 6/20/24 | 4,222 | — |
USD | 51,845 | CNH | 371,000 | UBS AG | 6/20/24 | 590 | — |
USD | 123,853 | MXN | 2,060,000 | Goldman Sachs International | 6/20/24 | 4,517 | — |
USD | 248,640 | MXN | 4,222,039 | Goldman Sachs International | 6/20/24 | 4,057 | — |
USD | 240,145 | MXN | 4,000,000 | Standard Chartered Bank | 6/20/24 | 8,424 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 339,158 | MYR | 1,580,000 | Barclays Bank PLC | 6/20/24 | $ 8,592 | $ — |
USD | 852,667 | NZD | 1,379,162 | BNP Paribas | 6/20/24 | 39,999 | — |
USD | 197,840 | NZD | 320,000 | BNP Paribas | 6/20/24 | 9,281 | — |
USD | 428,991 | NZD | 714,687 | Citibank, N.A. | 6/20/24 | 7,863 | — |
USD | 369,311 | NZD | 615,313 | Citibank, N.A. | 6/20/24 | 6,739 | — |
USD | 1,232,932 | NZD | 2,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 54,435 | — |
USD | 57,569 | NZD | 96,000 | Standard Chartered Bank | 6/20/24 | 1,001 | — |
USD | 993,606 | THB | 35,040,000 | Standard Chartered Bank | 6/20/24 | 44,543 | — |
USD | 729,312 | ZAR | 13,885,340 | Barclays Bank PLC | 6/20/24 | — | (5,583) |
USD | 347,820 | ZAR | 6,618,194 | BNP Paribas | 6/20/24 | — | (2,454) |
USD | 345,377 | ZAR | 6,571,132 | HSBC Bank USA, N.A. | 6/20/24 | — | (2,407) |
USD | 1,890,664 | ZAR | 35,500,000 | JPMorgan Chase Bank, N.A. | 6/20/24 | 11,792 | — |
USD | 35,467 | ZAR | 666,552 | UBS AG | 6/20/24 | 189 | — |
USD | 680,406 | ZAR | 12,925,334 | UBS AG | 6/20/24 | — | (3,680) |
TRY | 1,020,467 | USD | 30,191 | Standard Chartered Bank | 6/21/24 | — | (241) |
USD | 29,065 | TRY | 1,020,467 | Standard Chartered Bank | 6/21/24 | — | (885) |
ILS | 3,750,000 | USD | 1,004,527 | Barclays Bank PLC | 7/10/24 | 821 | — |
USD | 1,022,839 | ILS | 3,750,000 | Citibank, N.A. | 7/10/24 | 17,491 | — |
PLN | 2,507,308 | EUR | 574,382 | Citibank, N.A. | 7/19/24 | 2,566 | — |
PLN | 1,662,856 | EUR | 379,986 | UBS AG | 7/19/24 | 2,715 | — |
TRY | 1,633,974 | USD | 44,916 | Standard Chartered Bank | 9/20/24 | — | (1,558) |
TRY | 1,633,974 | USD | 44,931 | Standard Chartered Bank | 9/20/24 | — | (1,574) |
TRY | 4,078,000 | USD | 111,209 | Standard Chartered Bank | 9/20/24 | — | (3,000) |
TRY | 5,059,000 | USD | 138,127 | Standard Chartered Bank | 9/20/24 | — | (3,887) |
USD | 131,770 | TRY | 5,059,000 | Standard Chartered Bank | 9/20/24 | — | (2,470) |
TRY | 7,751,584 | USD | 196,591 | Standard Chartered Bank | 9/23/24 | 8,401 | — |
TRY | 7,256,976 | USD | 185,318 | Standard Chartered Bank | 9/23/24 | 6,595 | — |
TRY | 1,375,000 | USD | 37,027 | Standard Chartered Bank | 9/23/24 | — | (665) |
USD | 35,860 | TRY | 1,375,000 | Standard Chartered Bank | 9/23/24 | — | (502) |
TRY | 7,598,673 | USD | 188,267 | Standard Chartered Bank | 10/17/24 | 7,396 | — |
TRY | 7,593,543 | USD | 188,240 | Standard Chartered Bank | 10/17/24 | 7,291 | — |
PLN | 1,774,882 | EUR | 403,933 | Bank of America, N.A. | 10/21/24 | 2,166 | — |
USD | 296,058 | HKD | 2,300,000 | BNP Paribas | 12/9/24 | 507 | — |
USD | 823,903 | HKD | 6,400,000 | Deutsche Bank AG | 12/9/24 | 1,500 | — |
TRY | 17,570,092 | USD | 451,387 | Standard Chartered Bank | 12/16/24 | — | (26,221) |
USD | 174,010 | TRY | 7,700,000 | Standard Chartered Bank | 12/16/24 | — | (12,317) |
TRY | 8,197,382 | USD | 193,908 | Standard Chartered Bank | 1/6/25 | 402 | — |
TRY | 7,050,000 | USD | 164,146 | Standard Chartered Bank | 1/15/25 | 1,516 | — |
TRY | 10,356,125 | USD | 236,017 | Standard Chartered Bank | 1/29/25 | 4,091 | — |
TRY | 6,375,000 | USD | 146,786 | Standard Chartered Bank | 1/29/25 | 1,020 | — |
TRY | 5,436,380 | USD | 125,611 | Standard Chartered Bank | 2/10/25 | — | (894) |
EGP | 80,175,000 | USD | 1,500,000 | Bank of America, N.A. | 4/3/25 | 3,082 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EGP | 74,325,000 | USD | 1,384,078 | ICBC Standard Bank plc | 4/15/25 | $ 3,035 | $ — |
$449,631 | $(629,689) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 87 | Long | 6/28/24 | $ 9,112,570 | $ (171,240) |
Euro-Bobl | (1) | Short | 6/6/24 | (124,254) | 1,654 |
Euro-BTP | (10) | Short | 6/6/24 | (1,248,518) | 27,321 |
Euro-Bund | (4) | Short | 6/6/24 | (555,286) | 5,293 |
Japan 10-Year Bond | (1) | Short | 6/13/24 | (916,210) | 6,594 |
U.S. 10-Year Treasury Note | (6) | Short | 6/18/24 | (644,625) | 1,594 |
U.S. Ultra-Long Treasury Bond | (1) | Short | 6/18/24 | (119,563) | 7,383 |
$ (121,401) |
Inflation Swaps (Centrally Cleared) | |||||||
Notional Amount (000's omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
EUR | 300 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | $ 37,759 |
EUR | 300 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 37,759 |
EUR | 200 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 25,147 |
EUR | 280 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 37,638 |
EUR | 200 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (30,343) |
EUR | 300 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (45,515) |
EUR | 300 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (45,628) |
Inflation Swaps (Centrally Cleared) (continued) | |||||||
Notional Amount (000's omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
EUR | 280 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | $ (47,838) |
EUR | 110 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | 1,926 |
USD | 150 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.44% (pays upon termination) | 1/13/33 | 2,744 |
USD | 1,300 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (54,572) |
USD | 450 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (19,164) |
USD | 800 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 32,168 |
USD | 400 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 15,936 |
USD | 490 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 23,246 |
USD | 150 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | 5,601 |
$ (23,136) |
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) | |
AUD | 500 | Pays | 6-month AUD Bank Bill (pays semi-annually) | 4.48% (pays semi-annually) | 6/21/25 | $ (515) | $ — | $ (515) |
BRL | 4,000 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.34% (pays upon termination) | 7/1/25 | (948) | — | (948) |
BRL | 5,900 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.43% (pays upon termination) | 7/1/25 | (248) | — | (248) |
BRL | 8,300 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 7/1/25 | 1,253 | — | 1,253 |
BRL | 2,800 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.56% (pays upon termination) | 7/1/25 | 683 | — | 683 |
BRL | 1,400 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.60% (pays upon termination) | 7/1/25 | 453 | — | 453 |
BRL | 15,720 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.96% (pays upon termination) | 1/2/26 | (32,535) | — | (32,535) |
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 | 17,574 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.98% (pays upon termination) | 1/2/26 | $ (34,870) | $ — | $ (34,870) |
CLP | 444,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.53% (pays semi-annually) | 3/20/29 | 16,087 | — | 16,087 |
CLP | 756,080 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.77% (pays semi-annually) | 6/6/33 | 16,406 | 226 | 16,632 |
CLP | 253,920 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.65% (pays semi-annually) | 6/14/33 | 6,692 | — | 6,692 |
CLP | 284,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.94% (pays semi-annually) | 6/21/34 | 9,354 | — | 9,354 |
CLP | 194,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.94% (pays semi-annually) | 6/21/34 | 6,312 | — | 6,312 |
CLP | 94,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.06% (pays semi-annually) | 6/21/34 | 2,188 | — | 2,188 |
CLP | 232,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.07% (pays semi-annually) | 6/21/34 | 5,121 | — | 5,121 |
CLP | 126,628 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.08% (pays semi-annually) | 6/21/34 | 2,693 | — | 2,693 |
CLP | 233,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.09% (pays semi-annually) | 6/21/34 | 4,768 | — | 4,768 |
CLP | 116,372 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.12% (pays semi-annually) | 6/21/34 | 2,101 | — | 2,101 |
CNY | 4,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.28% (pays quarterly) | 9/20/28 | 4,360 | — | 4,360 |
CNY | 8,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | 8,885 | — | 8,885 |
CNY | 4,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | 4,478 | — | 4,478 |
CNY | 2,300 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | 2,683 | — | 2,683 |
CNY | 4,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.43% (pays quarterly) | 12/20/28 | 7,993 | — | 7,993 |
CNY | 6,700 | Receives | 7-day China Fixing Repo Rates (pays quarterly) | 2.20% (pays quarterly) | 6/19/29 | (2,257) | — | (2,257) |
COP | 1,317,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.35% (pays quarterly) | 6/20/29 | (1,663) | — | (1,663) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
CZK | 15,300 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 3.53% (pays annually) | 3/20/29 | $ 21,112 | $ — | $ 21,112 |
CZK | 3,829 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | (422) | — | (422) |
CZK | 7,658 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (459) | — | (459) |
CZK | 11,513 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (389) | — | (389) |
CZK | 11,170 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.12% (pays annually) | 12/20/33 | (8,504) | — | (8,504) |
CZK | 9,530 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.15% (pays annually) | 12/20/33 | (5,988) | — | (5,988) |
CZK | 4,500 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.37% (pays annually) | 3/20/34 | (13,568) | — | (13,568) |
CZK | 16,500 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.08% (pays annually) | 6/19/34 | (5,240) | — | (5,240) |
CZK | 11,550 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.20% (pays annually) | 6/19/34 | 1,060 | — | 1,060 |
CZK | 4,950 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.27% (pays annually) | 6/19/34 | 1,700 | — | 1,700 |
EUR | 4,100 | Pays | 6-month EURIBOR (pays semi-annually) | 3.60% (pays annually) | 6/21/25 | 70,640 | — | 70,640 |
EUR | 1,695 | Pays | 6-month EURIBOR (pays semi-annually) | 3.14% (pays annually) | 9/20/28 | 34,511 | — | 34,511 |
EUR | 2,065 | Pays | 6-month EURIBOR (pays semi-annually) | 3.20% (pays annually) | 9/20/28 | 48,564 | — | 48,564 |
EUR | 500 | Pays | 6-month EURIBOR (pays semi-annually) | 2.96% (pays annually) | 9/20/43 | 20,075 | — | 20,075 |
EUR | 625 | Pays | 6-month EURIBOR (pays semi-annually) | 3.00% (pays annually) | 9/20/43 | 29,459 | — | 29,459 |
GBP | 101 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.56% (pays annually) | 10/2/28 | 742 | — | 742 |
GBP | 540 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.27% (pays annually) | 12/20/28 | (2,862) | — | (2,862) |
GBP | 540 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.28% (pays annually) | 12/20/28 | (2,557) | — | (2,557) |
GBP | 199 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.39% (pays annually) | 12/20/28 | 283 | — | 283 |
GBP | 100 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.59% (pays annually) | 12/20/28 | 1,239 | — | 1,239 |
GBP | 1,853 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 3.83% (pays annually) | 3/20/29 | (46,880) | — | (46,880) |
GBP | 850 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.20% (pays annually) | 6/21/33 | 361 | — | 361 |
HUF | 87,361 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.92% (pays annually) | 6/19/29 | 294 | — | 294 |
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) | |
HUF | 55,937 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.94% (pays annually) | 6/19/29 | $ 282 | $ — | $ 282 |
HUF | 84,219 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.94% (pays annually) | 6/19/29 | 471 | — | 471 |
HUF | 139,370 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.74% (pays annually) | 6/19/34 | (7,084) | — | (7,084) |
HUF | 27,680 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.76% (pays annually) | 6/19/34 | (1,309) | — | (1,309) |
HUF | 373,950 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.78% (pays annually) | 6/19/34 | (16,234) | — | (16,234) |
HUF | 119,229 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.99% (pays annually) | 6/19/34 | (478) | — | (478) |
HUF | 246,254 | Pays | 6-month HUF BUBOR (pays semi-annually) | 7.03% (pays annually) | 6/19/34 | 1,119 | — | 1,119 |
ILS | 2,700 | Receives | 3-month ILS TELBOR (pays quarterly) | 4.09% (pays annually) | 6/19/29 | 9,758 | — | 9,758 |
INR | 83,400 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.53% (pays semi-annually) | 9/18/26 | (1,250) | — | (1,250) |
INR | 83,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.55% (pays semi-annually) | 9/18/26 | (907) | — | (907) |
INR | 41,800 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.57% (pays semi-annually) | 9/18/26 | (313) | — | (313) |
INR | 42,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.59% (pays semi-annually) | 9/18/26 | (121) | — | (121) |
INR | 42,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.61% (pays semi-annually) | 9/18/26 | 36 | — | 36 |
INR | 42,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.61% (pays semi-annually) | 9/18/26 | 81 | — | 81 |
INR | 30,500 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.62% (pays semi-annually) | 9/18/26 | 91 | — | 91 |
INR | 41,700 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.64% (pays semi-annually) | 9/18/26 | 366 | — | 366 |
INR | 41,800 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.66% (pays semi-annually) | 9/18/26 | 528 | — | 528 |
INR | 34,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.14% (pays semi-annually) | 3/20/29 | (7,933) | — | (7,933) |
INR | 191,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.23% (pays semi-annually) | 3/20/29 | (35,839) | — | (35,839) |
INR | 61,900 | Receives | 1-day INR FBIL MIBOR (pays semi-annually) | 6.54% (pays semi-annually) | 6/19/29 | 1,665 | — | 1,665 |
JPY | 129,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.41% (pays annually) | 9/20/28 | 2,292 | — | 2,292 |
JPY | 89,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.57% (pays annually) | 6/19/29 | 1,041 | — | 1,041 |
JPY | 80,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.43% (pays annually) | 6/15/32 | 13,675 | — | 13,675 |
JPY | 90,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.43% (pays annually) | 6/15/32 | 15,384 | — | 15,384 |
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) | |
JPY | 21,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.90% (pays annually) | 2/2/33 | $ (680) | $ — | $ (680) |
JPY | 1,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 30 | — | 30 |
JPY | 1,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 29 | — | 29 |
JPY | 1,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.81% (pays annually) | 9/20/33 | 26 | — | 26 |
JPY | 87,200 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.82% (pays annually) | 9/20/33 | 1,628 | — | 1,628 |
JPY | 42,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.91% (pays annually) | 6/19/34 | 1,649 | — | 1,649 |
JPY | 34,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.55% (pays annually) | 6/19/54 | 6,047 | — | 6,047 |
KRW | 446,000 | Receives | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.41% (pays quarterly) | 6/19/29 | 1,697 | — | 1,697 |
KRW | 554,000 | Receives | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.42% (pays quarterly) | 6/19/29 | 1,923 | — | 1,923 |
MXN | 51,430 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.88% (pays monthly) | 1/6/25 | (3,979) | — | (3,979) |
MXN | 141,200 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.82% (pays monthly) | 1/7/25 | (14,096) | — | (14,096) |
MXN | 124,570 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.80% (pays monthly) | 1/8/25 | (16,053) | — | (16,053) |
MXN | 9,470 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 9.02% (pays monthly) | 3/28/29 | 16,842 | — | 16,842 |
MXN | 9,770 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 12/1/33 | (32,100) | — | (32,100) |
MXN | 9,400 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.77% (pays monthly) | 12/1/33 | (28,766) | — | (28,766) |
MXN | 5,820 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.43% (pays monthly) | 12/2/33 | (25,222) | — | (25,222) |
MXN | 6,010 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.49% (pays monthly) | 12/2/33 | (24,804) | — | (24,804) |
PLN | 2,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 4.79% (pays annually) | 3/20/29 | 10,705 | — | 10,705 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
THB | 14,000 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 2.59% (pays semi-annually) | 6/19/29 | $ 826 | $ — | $ 826 |
THB | 7,260 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 2.61% (pays semi-annually) | 6/19/29 | 244 | — | 244 |
THB | 9,000 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 2.61% (pays semi-annually) | 6/19/29 | 268 | — | 268 |
TWD | 7,400 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.26% (pays quarterly) | 3/20/29 | 6,652 | — | 6,652 |
TWD | 9,900 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.27% (pays quarterly) | 3/20/29 | 8,679 | — | 8,679 |
TWD | 10,100 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.32% (pays quarterly) | 3/20/29 | 8,109 | — | 8,109 |
TWD | 23,800 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.33% (pays quarterly) | 3/20/29 | 18,669 | — | 18,669 |
TWD | 8,000 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.35% (pays quarterly) | 3/20/29 | 6,068 | — | 6,068 |
TWD | 32,700 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.36% (pays quarterly) | 3/20/29 | 24,322 | — | 24,322 |
TWD | 9,900 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.37% (pays quarterly) | 3/20/29 | 7,217 | — | 7,217 |
TWD | 9,900 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.38% (pays quarterly) | 3/20/29 | 7,144 | — | 7,144 |
TWD | 24,100 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.64% (pays quarterly) | 6/19/29 | 9,020 | — | 9,020 |
TWD | 5,800 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.95% (pays quarterly) | 6/19/29 | (538) | — | (538) |
USD | 850 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (26,364) | — | (26,364) |
USD | 1,050 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (32,519) | — | (32,519) |
USD | 1,000 | Pays | SOFR (pays annually) | 3.06% (pays annually) | 11/7/32 | (101,421) | — | (101,421) |
USD | 160 | Pays | SOFR (pays annually) | 3.23% (pays semi-annually) | 1/13/33 | (13,296) | — | (13,296) |
USD | 220 | Pays | SOFR (pays annually) | 3.22% (pays annually) | 6/6/33 | (7,146) | — | (7,146) |
USD | 310 | Pays | SOFR (pays annually) | 3.25% (pays annually) | 6/6/33 | (9,815) | — | (9,815) |
USD | 300 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/7/33 | (9,363) | — | (9,363) |
USD | 270 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/14/33 | (8,368) | — | (8,368) |
USD | 1,265 | Pays | SOFR (pays annually) | 3.80% (pays annually) | 11/28/33 | (65,583) | — | (65,583) |
Total | $(134,353) | $ 226 | $ (134,127) |
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) | |
Citibank, N.A. | MYR | 4,000 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.62% (pays quarterly) | 3/20/29 | $ 6,785 |
Goldman Sachs International | MYR | 4,700 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.73% (pays quarterly) | 6/19/29 | 4,353 |
JPMorgan Chase Bank, N.A. | MYR | 2,200 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.63% (pays quarterly) | 3/20/29 | 3,497 |
JPMorgan Chase Bank, N.A. | MYR | 2,000 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.63% (pays quarterly) | 3/20/29 | 3,198 |
Nomura International PLC | MYR | 4,000 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.60% (pays quarterly) | 3/20/29 | 7,561 |
Standard Chartered Bank | MYR | 2,000 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.62% (pays quarterly) | 3/20/29 | 3,392 |
Total | $28,786 |
Credit Default Swaps - Sell Protection (OTC) | ||||||||
Reference Entity | Counterparty | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Vietnam | Goldman Sachs International | $ 300 | 1.00% (pays quarterly)(1) | 0.49% | 6/20/24 | $ 564 | $ (123) | $ 441 |
Total | $300 | $564 | $(123) | $441 |
* | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At April 30, 2024, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $300,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Total Return Swaps (OTC) | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Barclays Bank PLC | USD | 911 | 5.35% on PEN 3,351,456 (pays upon termination) | SOFR + 1.10% on Notional Amount (pays upon termination) | 6/10/24 | $ (58,688) |
$(58,688) |
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) |
Barclays Bank PLC | 1-day Indice Camara Promedio Rate on CLP 140,904,680 (pays semi-annually)* | 1.41% on CLP equivalent of CLF 172,000 (pays semi-annually)* | 1/13/33 | $ 5,918 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 63,504,540 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 2,000 (pays semi-annually)* | 4/8/32 | (9,883) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 158,776,700 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 5,000 (pays semi-annually)* | 4/11/32 | (26,885) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 28,777,725 (pays semi-annually)* | 1.85% on CLP equivalent of CLF 900 (pays semi-annually)* | 4/20/32 | (3,638) |
$(34,488) |
* | At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date. |
Abbreviations: | |
BUBOR | – Budapest Interbank Offered Rate |
COF | – Cost of Funds 11th District |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
EURIBOR | – Euro Interbank Offered Rate |
FBIL | – Financial Benchmarks India Ltd. |
GDP | – Gross Domestic Product |
HICP | – Harmonised Indices of Consumer Prices |
KLIBOR | – Kuala Lumpur Interbank Offered Rate |
MIBOR | – Mumbai Interbank Offered Rate |
OTC | – Over-the-counter |
PRIBOR | – Prague Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
STACR | – Structured Agency Credit Risk |
TAIBOR | – Taipei Interbank Offered Rate |
TBA | – To Be Announced |
TELBOR | – Tel Aviv Interbank Offered Rate |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
AUD | – Australian Dollar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CLF | – Chilean Unidad de Fomento |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EGP | – Egyptian Pound |
EUR | – Euro |
GBP | – British Pound Sterling |
HKD | – Hong Kong Dollar |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
ILS | – Israeli Shekel |
INR | – Indian Rupee |
ISK | – Icelandic Krona |
JPY | – Japanese Yen |
KRW | – South Korean Won |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NZD | – New Zealand Dollar |
PEN | – Peruvian Sol |
PHP | – Philippine Peso |
PLN | – Polish Zloty |
PYG | – Paraguayan Guarani |
RSD | – Serbian Dinar |
SEK | – Swedish Krona |
SGD | – Singapore Dollar |
THB | – Thai Baht |
TRY | – Turkish Lira |
TWD | – New Taiwan Dollar |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
ZAR | – South African Rand |
April 30, 2024 | |
Assets | |
Unaffiliated investments, at value (identified cost $33,662,836) | $ 32,773,729 |
Affiliated investments, at value (identified cost $3,109,163) | 3,109,163 |
Deposits for derivatives collateral: | |
Centrally cleared derivatives | 1,179,750 |
Foreign currency, at value (identified cost $455,638) | 462,480 |
Interest and dividends receivable | 520,484 |
Dividends receivable from affiliated investments | 12,428 |
Receivable for investments sold | 10,267 |
Receivable for open forward foreign currency exchange contracts | 449,631 |
Receivable for open swap contracts | 35,145 |
Upfront payments on open non-centrally cleared swap contracts | 123 |
Receivable for closed swap contracts | 5,493 |
Receivable from affiliates | 17,943 |
Trustees' deferred compensation plan | 41,554 |
Total assets | $38,618,190 |
Liabilities | |
Written options and swaptions outstanding, at value (premiums received $42,055) | $ 62,129 |
Payable for when-issued securities/forward purchase commitments | 2,675,524 |
Payable for securities sold short, at value (proceeds $1,115,274) | 1,042,123 |
Payable for variation margin on open futures contracts | 21,200 |
Payable for variation margin on open centrally cleared derivatives | 1,274,257 |
Payable for open forward foreign currency exchange contracts | 629,689 |
Payable for open swap contracts | 99,094 |
Payable for closed swap contracts | 9,002 |
Due to custodian | 469,762 |
Payable to affiliates: | |
Investment adviser fee | 13,053 |
Trustees' fees | 246 |
Trustees' deferred compensation plan | 41,554 |
Interest payable on securities sold short | 75,795 |
Accrued foreign capital gains taxes | 166 |
Accrued expenses | 122,198 |
Total liabilities | $ 6,535,792 |
Net Assets applicable to investors' interest in Portfolio | $32,082,398 |
Six Months Ended | |
April 30, 2024 | |
Investment Income | |
Dividend income from affiliated investments | $ 41,501 |
Interest income (net of foreign taxes withheld of $5,734) | 1,105,695 |
Total investment income | $ 1,147,196 |
Expenses | |
Investment adviser fee | $ 88,432 |
Trustees’ fees and expenses | 1,431 |
Custodian fee | 77,248 |
Legal and accounting services | 45,306 |
Interest expense and fees | 21,776 |
Interest expense on securities sold short | 46,664 |
Miscellaneous | 1,235 |
Total expenses | $ 282,092 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 90,982 |
Total expense reductions | $ 90,982 |
Net expenses | $ 191,110 |
Net investment income | $ 956,086 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $9,009) | $ (794,001) |
Written options and swaptions | 7,933 |
Securities sold short | (53,627) |
Futures contracts | (161,701) |
Swap contracts | (244,082) |
Foreign currency transactions | (14,664) |
Forward foreign currency exchange contracts | (334,868) |
Net realized loss | $(1,595,010) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $10) | $ 1,564,226 |
Written options and swaptions | 40,422 |
Securities sold short | 58,514 |
Futures contracts | 37,447 |
Swap contracts | 430,373 |
Foreign currency | 11,554 |
Forward foreign currency exchange contracts | 4,227 |
Net change in unrealized appreciation (depreciation) | $ 2,146,763 |
Net realized and unrealized gain | $ 551,753 |
Net increase in net assets from operations | $ 1,507,839 |
Six Months Ended April 30, 2024 (Unaudited) | Year Ended October 31, 2023 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 956,086 | $ 1,782,189 |
Net realized loss | (1,595,010) | (3,196,761) |
Net change in unrealized appreciation (depreciation) | 2,146,763 | 3,004,838 |
Net increase in net assets from operations | $ 1,507,839 | $ 1,590,266 |
Capital transactions: | ||
Contributions | $ 2,223,868 | $ 17,066,116 |
Withdrawals | (7,677,594) | (11,182,963) |
Net increase (decrease) in net assets from capital transactions | $ (5,453,726) | $ 5,883,153 |
Net increase (decrease) in net assets | $ (3,945,887) | $ 7,473,419 |
Net Assets | ||
At beginning of period | $ 36,028,285 | $ 28,554,866 |
At end of period | $32,082,398 | $ 36,028,285 |
Six Months Ended April 30, 2024 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 1.08% (1)(2)(3)(4) | 0.72% (2)(3)(4) | 0.72% (2)(3)(4) | 0.71% (3)(4) | 0.71% (3)(4) | 0.81% (3)(4) |
Net investment income | 5.42% (1) | 4.66% | 3.13% | 1.86% | 2.48% | 3.73% |
Portfolio Turnover | 119% (5)(6) | 230% (6) | 159% (6) | 102% (6) | 88% (6) | 92% |
Total Return | 3.44% (4)(5) | 6.86% (4) | (18.54)% (4) | (0.08)% (4) | 6.04% (4) | 5.92% (4) |
Net assets, end of period (000’s omitted) | $32,082 | $36,028 | $28,555 | $58,102 | $57,167 | $84,644 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.01%, 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2024 and the years ended October 31, 2023 and 2022, respectively). |
(3) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.38%, 0.03% and 0.02% of average daily net assets for the six months ended April 30, 2024 and the years ended October 31, 2023 and 2022, respectively, and 0.01% of average daily net assets for each of the years ended October 31, 2021, 2020 and 2019. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.52%, 0.56%, 0.40%, 0.19%, 0.16% and 0.09% of average daily net assets for the six months ended April 30, 2024 and the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(5) | Not annualized. |
(6) | Includes the effect of To Be Announced (TBA) transactions. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.500% |
$1 billion but less than $2.5 billion | 0.475% |
$2.5 billion but less than $5 billion | 0.455% |
$5 billion and over | 0.440% |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 14,259,825 | $ 15,740,443 |
U.S. Government and Agency Securities | 16,049,496 | 16,086,046 |
$30,309,321 | $31,826,489 |
Aggregate cost | $34,567,250 |
Gross unrealized appreciation | $ 380,496 |
Gross unrealized depreciation | (700,604) |
Net unrealized depreciation | $ (320,108) |
Fair Value | ||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ — | $ 36,321 | $ — | $ 36,321 |
Not applicable | — | 421,030* | 786,896* | 1,207,926 |
Receivable for open forward foreign currency exchange contracts | — | 449,631 | — | 449,631 |
Receivable for open swap contracts; Upfront payments on open non-centrally cleared swap contracts | 564 | — | 34,704 | 35,268 |
Total Asset Derivatives | $ 564 | $ 906,982 | $ 821,600 | $ 1,729,146 |
Derivatives not subject to master netting or similar agreements | $ — | $ 421,030 | $ 786,896 | $ 1,207,926 |
Total Asset Derivatives subject to master netting or similar agreements | $ 564 | $ 485,952 | $ 34,704 | $ 521,220 |
Written options and swaptions outstanding, at value | $ — | $ (4,252) | $ (57,877) | $ (62,129) |
Not applicable | — | (429,857)* | (1,065,786)* | (1,495,643) |
Payable for open forward foreign currency exchange contracts | — | (629,689) | — | (629,689) |
Payable for open swap contracts | — | — | (99,094) | (99,094) |
Total Liability Derivatives | $ — | $(1,063,798) | $(1,222,757) | $(2,286,555) |
Derivatives not subject to master netting or similar agreements | $ — | $ (429,857) | $(1,065,786) | $(1,495,643) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $ (633,941) | $ (156,971) | $ (790,912) |
* | Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Bank of America, N.A. | $ 8,750 | $ (7,884) | $ — | $ — | $ 866 |
Barclays Bank PLC | 19,699 | (19,699) | — | — | — |
BNP Paribas | 64,718 | (43,218) | — | — | 21,500 |
Citibank, N.A. | 61,983 | (61,983) | — | — | — |
Deutsche Bank AG | 1,500 | — | — | — | 1,500 |
Goldman Sachs International | 59,600 | (59,600) | — | — | — |
HSBC Bank USA, N.A. | 65,893 | (32,140) | — | — | 33,753 |
ICBC Standard Bank plc | 3,035 | — | — | — | 3,035 |
JPMorgan Chase Bank, N.A. | 64,897 | (39,615) | (25,282) | — | — |
Nomura International PLC | 7,561 | — | — | — | 7,561 |
Societe Generale | 1,841 | (898) | — | — | 943 |
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) |
Standard Chartered Bank | $ 134,877 | $ (94,551) | $ — | $ — | $ 40,326 |
UBS AG | 26,866 | (26,866) | — | — | — |
$521,220 | $(386,454) | $(25,282) | $ — | $109,484 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Bank of America, N.A. | $ (7,884) | $ 7,884 | $ — | $ — | $ — |
Barclays Bank PLC | (64,704) | 19,699 | 45,005 | — | — |
BNP Paribas | (43,218) | 43,218 | — | — | — |
Citibank, N.A. | (307,157) | 61,983 | 245,174 | — | — |
Goldman Sachs International | (125,725) | 59,600 | — | — | (66,125) |
HSBC Bank USA, N.A. | (32,140) | 32,140 | — | — | — |
JPMorgan Chase Bank, N.A. | (39,615) | 39,615 | — | — | — |
Societe Generale | (898) | 898 | — | — | — |
Standard Chartered Bank | (94,551) | 94,551 | — | — | — |
State Street Bank and Trust Company | (35,984) | — | — | — | (35,984) |
UBS AG | (39,036) | 26,866 | — | — | (12,170) |
$(790,912) | $386,454 | $290,179 | $ — | $(114,279) |
(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 | $ — | $ (5,884) | $ — | $ (5,884) |
Written options and swaptions | — | — | 7,933 | 7,933 |
Futures contracts | — | — | (161,701) | (161,701) |
Swap contracts | 1,070 | — | (245,152) | (244,082) |
Forward foreign currency exchange contracts | — | (334,868) | — | (334,868) |
Total | $1,070 | $(340,752) | $(398,920) | $(738,602) |
Change in unrealized appreciation (depreciation): | ||||
Investments | $ — | $ (69,710) | $ — | $ (69,710) |
Written options and swaptions | — | 17,133 | 23,289 | 40,422 |
Futures contracts | — | — | 37,447 | 37,447 |
Swap contracts | 56 | — | 430,317 | 430,373 |
Forward foreign currency exchange contracts | — | 4,227 | — | 4,227 |
Total | $ 56 | $ (48,350) | $ 491,053 | $ 442,759 |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Written Options and Swaptions | Swap Contracts |
$9,054,000 | $10,008,000 | $75,356,000 | $1,155,000 | $82,588,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $803,076 | $23,078,322 | $(20,772,235) | $ — | $ — | $3,109,163 | $41,501 | 3,109,163 |
• | 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 |
Collateralized Mortgage Obligations | $ — | $ 2,815,970 | $ — | $ 2,815,970 |
Foreign Corporate Bonds | — | 275,472 | — | 275,472 |
Sovereign Government Bonds | — | 17,025,082 | — | 17,025,082 |
U.S. Government Agency Mortgage-Backed Securities | — | 3,576,354 | — | 3,576,354 |
U.S. Treasury Obligations | — | 305,971 | — | 305,971 |
Short-Term Investments: | ||||
Affiliated Fund | 3,109,163 | — | — | 3,109,163 |
Repurchase Agreements | — | 1,157,803 | — | 1,157,803 |
U.S. Treasury Obligations | — | 7,580,756 | — | 7,580,756 |
Purchased Currency Options | — | 36,321 | — | 36,321 |
Total Investments | $ 3,109,163 | $ 32,773,729 | $ — | $ 35,882,892 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Forward Foreign Currency Exchange Contracts | $ — | $ 870,661 | $ — | $ 870,661 |
Futures Contracts | 49,839 | — | — | 49,839 |
Swap Contracts | — | 772,325 | — | 772,325 |
Total | $ 3,159,002 | $ 34,416,715 | $ — | $ 37,575,717 |
Liability Description | ||||
Securities Sold Short | $ — | $ (1,042,123) | $ — | $ (1,042,123) |
Written Currency Options | — | (4,252) | — | (4,252) |
Written Interest Rate Swaptions | — | (57,877) | — | (57,877) |
Forward Foreign Currency Exchange Contracts | — | (1,059,546) | — | (1,059,546) |
Futures Contracts | (171,240) | — | — | (171,240) |
Swap Contracts | — | (993,640) | — | (993,640) |
Total | $ (171,240) | $ (3,157,438) | $ — | $ (3,328,678) |
Officers of Eaton Vance Global Sovereign Opportunities Fund and International Income Portfolio | |
Kenneth A. Topping President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Laura T. Donovan Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Global Sovereign Opportunities Fund and International Income Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley | |
Anchal Pachnanda* |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
U.S. Customer Privacy Notice | March 2024 |
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 information 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 affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No* |
For our affiliates’ everyday business purposes — information about your creditworthiness | Yes | Yes* |
For our affiliates to market to you | Yes | Yes* |
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 |
U.S. Customer Privacy Notice — continued | March 2024 |
Who we are | |
Who is providing this notice? | Eaton Vance Management and our investment management affiliates (“Eaton Vance”) (see 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.) |
What happens when I limit sharing for an account I hold jointly with someone else? | Your choices will apply to everyone on your account. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include registered investment advisers such as Eaton Vance Management, Eaton Vance Advisers International Ltd., Boston Management and Research, Calvert Research and Management, Parametric Portfolio Associates LLC, Atlanta Capital Management Company LLC, Morgan Stanley Investment Management Inc., Morgan Stanley Investment Management Co.; registered broker-dealers such as Morgan Stanley Distributors Inc. and Eaton Vance Distributors, Inc. (together, the “Investment Management Affiliates”); and companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. (the “Morgan Stanley Affiliates”). |
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 does not jointly market. |
U.S. Customer Privacy Notice — continued | March 2024 |
Other important information | |
*PLEASE NOTE: Eaton Vance does not share your creditworthiness information or your transactions and experiences information with the Morgan Stanley Affiliates, nor does Eaton Vance enable the Morgan Stanley Affiliates to market to you. Your opt outs will prevent Eaton Vance from sharing your creditworthiness information with the Investment Management Affiliates and will prevent the Investment Management Affiliates from marketing their products to you.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. |
One Post Office Square
Boston, MA 02109
Global Sovereign Opportunities Fund
One Post Office Square
Boston, MA 02109
One Post Office Square
Boston, MA 02109
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02109
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). |
(a)(2)(i) |
(a)(2)(ii) |
(b) |
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.
International Income Portfolio | ||
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
Principal Executive Officer | ||
Date: | June 25, 2024 |
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 | ||
Principal Financial Officer | ||
Date: | June 25, 2024 | |
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
Principal Executive Officer | ||
Date: | June 25, 2024 |