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: 811-22424
Global Macro Absolute Return Advantage 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 — 5.2% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
Interest Only:(1) | |||
Series 2770, Class SH, 1.656%, (6.986% - 30-day SOFR Average), 3/15/34(2) | $ | 564 | $ 50,400 |
Series 4791, Class JI, 4.00%, 5/15/48 | 6,979 | 1,547,168 | |
Federal National Mortgage Association: | |||
Series 2023-54, Class C, 6.50%, 11/25/53(3) | 7,070 | 7,204,805 | |
Interest Only:(1) | |||
Series 424, Class C8, 3.50%, 2/25/48 | 8,871 | 1,601,086 | |
Series 2010-109, Class PS, 1.156%, (6.486% - 30-day SOFR Average), 10/25/40(2) | 1,227 | 74,360 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 7,857 | 1,368,191 | |
Series 2018-58, Class BI, 4.00%, 8/25/48 | 1,293 | 270,945 | |
Government National Mortgage Association: | |||
Series 2023-148, Class HL, 6.50%, 10/20/53(3) | 7,070 | 7,174,437 | |
Sereis 2023-151, Class GL, 6.50%, 10/20/53(3) | 5,096 | 5,171,340 | |
Series 2023-155, Class CH, 6.50%, 10/20/53(3) | 19,303 | 19,598,919 | |
Series 2023-165, Class EY, 6.50%, 11/20/53(3) | 35,330 | 35,891,118 | |
Series 2023-169, Class JW, 6.50%, 11/20/53(3) | 3,600 | 3,661,321 | |
Series 2024-1, Class GL, 6.00%, 1/20/54(3) | 3,616 | 3,550,751 | |
Series 2024-3, Class CY, 6.00%, 1/20/54(3) | 1,516 | 1,488,716 | |
Series 2024-6, Class CB, 6.00%, 1/20/54(3) | 6,573 | 6,453,310 | |
Series 2024-6, Class LB, 6.00%, 1/20/54(3) | 1,288 | 1,264,258 | |
Series 2024-25, Class GL, 6.00%, 2/20/54 | 2,208 | 2,159,703 | |
PNMAC GMSR Issuer Trust, 2024 Participation, 11.068%, (30-day SOFR Average + 5.75%), 12/24/24(4) | 6,442 | 6,492,847 | |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(5)(6) | 45,442 | 40,571,833 | |
Total Collateralized Mortgage Obligations (identified cost $173,319,804) | $ 145,595,508 |
Common Stocks — 7.6% |
Security | Shares | Value | |
Bulgaria — 0.3% | |||
Eurohold Bulgaria AD(7) | 10,954,272 | $ 7,844,031 | |
$ 7,844,031 | |||
Cyprus — 0.8% | |||
Bank of Cyprus Holdings PLC | 5,391,218 | $ 21,526,972 | |
Galaxy Cosmos Mezz PLC | 48,440 | 40,544 | |
Sunrisemezz PLC | 272,828 | 99,435 | |
$ 21,666,951 |
Security | Shares | Value | |
Georgia — 1.0% | |||
Bank of Georgia Group PLC | 137,373 | $ 9,198,365 | |
Georgia Capital PLC(7) | 579,892 | 9,852,457 | |
TBC Bank Group PLC | 217,683 | 9,391,732 | |
$ 28,442,554 | |||
Greece — 2.2% | |||
Alpha Services and Holdings SA(7) | 1,820,600 | $ 3,074,297 | |
Athens International Airport SA(7) | 45,135 | 400,277 | |
Cenergy Holdings SA | 226,100 | 1,908,721 | |
Eurobank Ergasias Services and Holdings SA, Class A(7) | 3,074,700 | 6,577,540 | |
Hellenic Telecommunications Organization SA | 325,212 | 4,940,506 | |
Ideal Holdings SA | 45,400 | 302,426 | |
JUMBO SA | 203,438 | 6,331,520 | |
Motor Oil (Hellas) Corinth Refineries SA | 109,300 | 3,171,231 | |
Mytilineos SA | 145,257 | 5,893,093 | |
National Bank of Greece SA(7) | 837,127 | 6,736,963 | |
OPAP SA | 233,095 | 3,877,907 | |
Optima bank SA(7) | 186,213 | 2,112,823 | |
Piraeus Financial Holdings SA(7) | 3,371,096 | 13,504,448 | |
Public Power Corp. SA(7) | 186,100 | 2,221,371 | |
Titan Cement International SA | 7,468 | 236,387 | |
$ 61,289,510 | |||
Iceland — 0.2% | |||
Arion Banki Hf.(5) | 1,970,378 | $ 2,000,916 | |
Eik fasteignafelag Hf. | 6,056,328 | 417,606 | |
Eimskipafelag Islands Hf. | 483,446 | 1,115,798 | |
Hagar Hf. | 1,926,423 | 1,020,598 | |
Islandsbanki Hf. | 1,104,783 | 813,167 | |
Reginn Hf.(7) | 2,864,793 | 456,331 | |
Reitir fasteignafelag Hf. | 1,754,792 | 937,141 | |
Siminn Hf. | 3,351,976 | 237,572 | |
$ 6,999,129 | |||
Poland — 2.3% | |||
Alior Bank SA(7) | 66,107 | $ 1,684,094 | |
Allegro.eu SA(5)(7) | 417,704 | 3,482,025 | |
AmRest Holdings SE(7) | 56,376 | 365,292 | |
Asseco Poland SA | 40,317 | 792,350 | |
Bank Millennium SA(7) | 450,948 | 1,026,756 | |
Bank Polska Kasa Opieki SA | 140,796 | 5,828,996 | |
Budimex SA | 10,034 | 1,697,382 | |
CCC SA(7) | 38,148 | 884,267 | |
CD Projekt SA | 50,560 | 1,470,908 | |
Cyfrowy Polsat SA(7) | 196,985 | 485,455 | |
Dino Polska SA(5)(7) | 37,998 | 3,640,304 |
Security | Shares | Value | |
Poland (continued) | |||
Enea SA(7) | 202,252 | $ 421,942 | |
Eurocash SA | 61,718 | 207,492 | |
Grupa Azoty SA(7) | 34,078 | 184,065 | |
Grupa Kety SA | 7,490 | 1,552,037 | |
Jastrzebska Spolka Weglowa SA(7) | 41,170 | 309,944 | |
KGHM Polska Miedz SA | 102,976 | 3,540,278 | |
KRUK SA | 12,056 | 1,370,415 | |
LPP SA | 820 | 3,159,616 | |
mBank SA(7) | 11,202 | 1,881,249 | |
Orange Polska SA | 473,873 | 916,016 | |
ORLEN SA | 415,272 | 6,770,754 | |
Pepco Group NV(7)(8) | 125,339 | 590,943 | |
PGE Polska Grupa Energetyczna SA(7) | 704,333 | 1,049,804 | |
Powszechna Kasa Oszczednosci Bank Polski SA | 654,320 | 9,714,770 | |
Powszechny Zaklad Ubezpieczen SA | 487,100 | 6,130,586 | |
Santander Bank Polska SA | 26,855 | 3,680,020 | |
Tauron Polska Energia SA(7) | 791,900 | 568,361 | |
Text SA | 13,085 | 289,734 | |
Warsaw Stock Exchange | 20,509 | 227,140 | |
XTB SA(5) | 38,845 | 607,070 | |
$ 64,530,065 | |||
United Kingdom — 0.0%(9) | |||
Tesnik Cuatro Ltd.(10) | 584,285 | $ 367,399 | |
$ 367,399 | |||
Vietnam — 0.8% | |||
Bank for Foreign Trade of Vietnam JSC(7) | 488,725 | $ 1,755,786 | |
Duc Giang Chemicals JSC | 238,600 | 1,113,603 | |
FPT Corp. | 1,500,675 | 7,801,532 | |
FPT Digital Retail JSC | 85,200 | 539,628 | |
Gemadept Corp. | 193,900 | 641,760 | |
Hoa Phat Group JSC(7) | 1,781,421 | 1,994,361 | |
KIDO Group Corp. | 42,590 | 104,848 | |
Masan Group Corp.(7) | 167,040 | 441,156 | |
Mobile World Investment Corp. | 1,186,200 | 2,558,630 | |
Phu Nhuan Jewelry JSC | 525,166 | 2,024,400 | |
Refrigeration Electrical Engineering Corp. | 642,424 | 1,668,098 | |
SSI Securities Corp. | 280,688 | 388,594 | |
Vietnam Dairy Products JSC | 389,696 | 998,049 | |
Vingroup JSC(7) | 513,852 | 898,687 | |
$ 22,929,132 | |||
Total Common Stocks (identified cost $175,412,499) | $ 214,068,771 |
Convertible Bonds — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
China — 0.0%(9) | |||
Sunac China Holdings Ltd., 1.00%, 9/30/32(8)(11) | USD | 900 | $ 49,498 |
$ 49,498 | |||
India — 0.2% | |||
Indiabulls Housing Finance Ltd., 4.50%, 9/28/26(8) | USD | 4,605 | $ 4,514,558 |
$ 4,514,558 | |||
Total Convertible Bonds (identified cost $5,400,052) | $ 4,564,056 |
Foreign Corporate Bonds — 5.4% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 0.0%(9) | |||
Coruripe Netherlands BV: | |||
10.00%, 2/10/27(5) | USD | 357 | $ 319,258 |
10.00%, 2/10/27(8) | USD | 882 | 788,754 |
$ 1,108,012 | |||
China — 0.1% | |||
KWG Group Holdings Ltd., 7.875%, 8/30/24(12) | USD | 2,385 | $ 119,250 |
Shimao Group Holdings Ltd., 5.60%, 7/15/26(8)(12) | USD | 7,800 | 273,000 |
Sunac China Holdings Ltd.: | |||
6.00%, (5.00% cash or 6.00% PIK), 9/30/26(8)(11) | USD | 746 | 78,346 |
6.25%, (5.25% cash or 6.25% PIK), 9/30/27(8)(11) | USD | 747 | 72,965 |
6.50%, (5.50% cash or 6.50% PIK), 9/30/27(8)(11) | USD | 1,496 | 119,675 |
6.75%, (5.75% cash or 6.75% PIK), 9/30/28(8)(11) | USD | 2,247 | 167,530 |
7.00%, (6.00% cash or 7.00% PIK), 9/30/29(8)(11) | USD | 2,249 | 149,019 |
7.25%, (6.25% cash or 7.25% PIK), 9/30/30(8)(11) | USD | 1,058 | 58,183 |
Times China Holdings Ltd.: | |||
5.55%, 6/4/24(8)(12) | USD | 6,284 | 162,756 |
6.75%, 7/16/23(8)(12) | USD | 4,471 | 100,598 |
$ 1,301,322 |
Security | Principal Amount (000's omitted) | Value | |
Georgia — 1.1% | |||
Bank of Georgia JSC: | |||
9.50% to 7/16/29(5)(13)(14) | USD | 480 | $ 476,558 |
9.50% to 7/16/29(8)(13)(14) | USD | 20,790 | 20,640,936 |
TBC Bank JSC, 10.25% to 7/30/29(8)(13)(14) | USD | 11,120 | 11,110,878 |
$ 32,228,372 | |||
Hungary — 0.1% | |||
MBH Bank Nyrt, 8.625% to 10/19/26, 10/19/27(8)(14) | EUR | 3,382 | $ 3,809,821 |
$ 3,809,821 | |||
Iceland — 0.0% | |||
Wow Air Hf.: | |||
0.00% (10)(12)(13) | EUR | 121 | $ 0 |
0.00%, (3 mo. EURIBOR + 9.00%)(10)(12)(13) | EUR | 5,500 | 0 |
$ 0 | |||
India — 0.0%(9) | |||
Vedanta Resources Finance II PLC, 13.875%, 1/21/27(8) | USD | 1,041 | $ 976,129 |
$ 976,129 | |||
Kazakhstan — 0.8% | |||
Development Bank of Kazakhstan JSC, 13.00%, 4/15/27(5) | KZT | 10,204,000 | $ 22,820,155 |
$ 22,820,155 | |||
Mexico — 0.1% | |||
Alpha Holding SA de CV: | |||
9.00%, 2/10/25(8)(12) | USD | 5,542 | $ 83,135 |
10.00%, 12/19/22(8)(12) | USD | 2,697 | 40,453 |
Grupo Kaltex SA de CV, 14.50%, (13.00% cash and 1.50% PIK), 9/30/25(5) | USD | 2,068 | 1,706,100 |
$ 1,829,688 | |||
Moldova — 0.1% | |||
Aragvi Finance International DAC, 8.45%, 4/29/26(8) | USD | 2,262 | $ 1,853,935 |
$ 1,853,935 | |||
Paraguay — 0.5% | |||
Itau BBA International PLC, 9.03%, 2/19/30 | PYG | 86,780,460 | $ 12,540,037 |
$ 12,540,037 |
Security | Principal Amount (000's omitted) | Value | |
Saint Lucia — 0.0%(9) | |||
Digicel Intermediate Holdings Ltd./Digicel International Finance Ltd./DIFL U.S., 10.50%, (9.00% cash and 1.50% PIK), 5/25/27 | USD | 1 | $ 532 |
$ 532 | |||
Supranational — 0.4% | |||
European Bank for Reconstruction & Development: | |||
17.20%, 4/9/26(8) | USD | 8,700 | $ 8,700,687 |
17.35%, 3/1/27(8) | USD | 3,200 | 3,149,165 |
$ 11,849,852 | |||
Tunisia — 0.0%(9) | |||
Tunisian Republic, 3.28%, 8/9/27 | JPY | 100,000 | $ 431,945 |
$ 431,945 | |||
United Arab Emirates — 1.3% | |||
Abu Dhabi Developmental Holding Co. PJSC, 5.50%, 5/8/34(5) | USD | 36,338 | $ 36,158,854 |
$ 36,158,854 | |||
Uzbekistan — 0.7% | |||
International Finance Corp., 16.00%, 2/21/25 | UZS | 25,000,000 | $ 1,960,361 |
Ipoteka-Bank ATIB, 20.50%, 4/25/27(8) | UZS | 228,330,000 | 18,106,814 |
$ 20,067,175 | |||
Venezuela — 0.2% | |||
Petroleos de Venezuela SA: | |||
5.375%, 4/12/27(8)(12) | USD | 8,079 | $ 1,009,907 |
6.00%, 5/16/24(8)(12) | USD | 3,960 | 495,000 |
6.00%, 11/15/26(8)(12) | USD | 3,960 | 495,990 |
8.50%, 10/27/20(8)(12) | USD | 2,736 | 2,158,899 |
9.00%, 11/17/21(8)(12) | USD | 3,960 | 529,988 |
9.75%, 5/17/35(8)(12) | USD | 3,960 | 601,920 |
12.75%, 2/17/22(8)(12) | USD | 3,940 | 608,792 |
$ 5,900,496 | |||
Total Foreign Corporate Bonds (identified cost $184,490,686) | $ 152,876,325 |
Loan Participation Notes — 1.9% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 1.9% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(8)(10)(15) | UZS | 316,179,530 | $ 26,935,425 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/21/26(8)(10)(15) | UZS | 331,541,810 | 27,203,861 |
Total Loan Participation Notes (identified cost $56,417,884) | $ 54,139,286 |
Reinsurance Side Cars — 1.5% |
Security | Shares | Value | |
Eden Re II Ltd.: | |||
Series 2021A, 0.00%, 3/21/25(5)(10)(16)(17) | 326,007 | $ 93,564 | |
Series 2022A, 0.00%, 3/20/26(5)(10)(16)(17) | 230,974 | 133,411 | |
Series 2022B, 0.00%, 3/20/26(5)(10)(16)(17) | 463,327 | 263,123 | |
Series 2024A, 0.00%, 3/17/28(5)(10)(16)(17) | 13,000,000 | 13,417,300 | |
Mt. Logan Re Ltd., Series A-1(7)(10)(17)(18) | 8,600 | 11,815,016 | |
PartnerRe ILS Fund SAC Ltd.(10)(17)(18) | 13,000,000 | 13,449,800 | |
Sussex Capital Ltd.: | |||
Designated Investment Series 14(7)(10)(17)(18) | 1,114 | 24,047 | |
Designated Investment Series 14(7)(10)(17)(18) | 1,081 | 305,880 | |
Series 14, Preference Shares(10)(17)(18) | 1,466 | 1,864,819 | |
Total Reinsurance Side Cars (identified cost $38,845,800) | $ 41,366,960 |
Senior Floating-Rate Loans — 0.6%(19) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(9) | |||
Desa LLC, Term Loan, 2.50%, 6/30/24(10)(20) | $ | 426 | $ 407,885 |
$ 407,885 | |||
Tanzania — 0.6% | |||
Tanzania, Term Loan, 10.696%, (SOFR + 5.45%), 2/27/31 | $ | 16,200 | $ 16,159,500 |
$ 16,159,500 | |||
Total Senior Floating-Rate Loans (identified cost $16,621,974) | $ 16,567,385 |
Sovereign Government Bonds — 51.5% |
Security | Principal Amount (000's omitted) | Value | |
Albania — 2.1% | |||
Albania Government International Bonds: | |||
3.50%, 6/16/27(8) | EUR | 304 | $ 314,978 |
3.50%, 11/23/31(8) | EUR | 9,744 | 9,372,649 |
5.90%, 6/9/28(8) | EUR | 39,296 | 43,234,654 |
Albanian Government Bonds, 5.25%, 1/26/29 | ALL | 506,700 | 5,452,717 |
$ 58,374,998 | |||
Angola — 1.7% | |||
Angola Government International Bonds: | |||
8.75%, 4/14/32(8) | USD | 17,010 | $ 15,433,853 |
9.125%, 11/26/49(8) | USD | 18,421 | 15,373,614 |
9.375%, 5/8/48(8) | USD | 20,954 | 17,871,038 |
$ 48,678,505 | |||
Argentina — 0.3% | |||
Bonos Para La Reconstruccion De Una Argentina Libre: | |||
0.00%, 6/30/25 | USD | 5,449 | $ 5,030,271 |
3.00%, 5/31/26 | USD | 5,535 | 4,360,425 |
$ 9,390,696 | |||
Armenia — 2.0% | |||
Republic of Armenia Treasury Bonds: | |||
9.00%, 4/29/26 | AMD | 592,250 | $ 1,512,674 |
9.25%, 4/29/28 | AMD | 5,316,340 | 13,531,966 |
9.60%, 10/29/33 | AMD | 12,278,380 | 31,673,475 |
9.75%, 10/29/50 | AMD | 1,586,875 | 4,132,307 |
9.75%, 10/29/52 | AMD | 1,720,950 | 4,474,681 |
$ 55,325,103 | |||
Bahamas — 0.5% | |||
Bahamas Government International Bonds: | |||
6.00%, 11/21/28(8) | USD | 8,125 | $ 7,266,685 |
8.95%, 10/15/32(8) | USD | 6,418 | 6,191,606 |
$ 13,458,291 | |||
Barbados — 0.2% | |||
Barbados Government International Bonds, 6.50%, 10/1/29(8) | USD | 7,111 | $ 6,734,117 |
$ 6,734,117 |
Security | Principal Amount (000's omitted) | Value | |
Benin — 2.7% | |||
Benin Government International Bonds: | |||
4.875%, 1/19/32(8) | EUR | 19,208 | $ 17,420,383 |
4.95%, 1/22/35(8) | EUR | 24,515 | 21,198,887 |
6.875%, 1/19/52(8) | EUR | 37,044 | 32,262,596 |
7.96%, 2/13/38(8) | USD | 4,920 | 4,651,122 |
$ 75,532,988 | |||
Cameroon — 0.5% | |||
Republic of Cameroon International Bonds, 5.95%, 7/7/32(8) | EUR | 15,891 | $ 13,325,358 |
$ 13,325,358 | |||
China — 1.4% | |||
China Government Bonds: | |||
2.67%, 11/25/33 | CNY | 141,300 | $ 20,024,801 |
3.00%, 10/15/53 | CNY | 120,500 | 18,238,412 |
$ 38,263,213 | |||
Colombia — 1.2% | |||
Titulos De Tesoreria B: | |||
6.25%, 7/9/36 | COP | 46,839,800 | $ 8,313,580 |
9.25%, 5/28/42 | COP | 118,815,500 | 25,919,769 |
$ 34,233,349 | |||
Dominican Republic — 3.4% | |||
Dominican Republic Bonds: | |||
8.00%, 1/15/27(8) | DOP | 128,350 | $ 2,046,111 |
8.00%, 2/12/27(8) | DOP | 621,240 | 9,910,058 |
11.25%, 9/15/35(5) | DOP | 289,800 | 5,234,277 |
11.25%, 9/15/35(8) | DOP | 116,200 | 2,098,768 |
12.00%, 8/8/25(5) | DOP | 535,040 | 9,312,346 |
12.75%, 9/23/29(5) | DOP | 1,010,500 | 19,578,961 |
13.00%, 6/10/34(8) | DOP | 402,900 | 8,247,365 |
13.625%, 2/3/33(8) | DOP | 45,000 | 919,211 |
13.625%, 2/3/33(5) | DOP | 827,650 | 16,906,335 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(8) | DOP | 46,050 | 741,295 |
12.00%, 10/3/25(5) | DOP | 379,500 | 6,619,342 |
13.00%, 12/5/25(5) | DOP | 497,230 | 8,738,471 |
13.00%, 1/30/26(5) | DOP | 342,670 | 6,045,362 |
$ 96,397,902 |
Security | Principal Amount (000's omitted) | Value | |
Ecuador — 2.2% | |||
Ecuador Government International Bonds: | |||
0.00%, 7/31/30(8) | USD | 57,236 | $ 31,327,514 |
2.50% to 7/31/24, 7/31/40(8)(21) | USD | 296 | 123,504 |
2.50% to 7/31/24, 7/31/40(8)(21) | USD | 2,242 | 934,830 |
2.50% to 7/31/24, 7/31/40(8)(21) | USD | 3,486 | 1,453,546 |
2.50% to 7/31/24, 7/31/40(8)(21) | USD | 5,975 | 3,070,960 |
3.50% to 7/31/24, 7/31/35(8)(21) | USD | 26,353 | 14,539,236 |
6.00% to 7/31/24, 7/31/30(8)(21) | USD | 14,347 | 10,127,069 |
$ 61,576,659 | |||
El Salvador — 0.9% | |||
El Salvador Government International Bonds: | |||
6.375%, 1/18/27(8) | USD | 6,520 | $ 5,804,530 |
7.625%, 2/1/41(8) | USD | 7,942 | 5,491,401 |
7.65%, 6/15/35(8) | USD | 534 | 387,002 |
8.25%, 4/10/32(8) | USD | 17,250 | 13,881,353 |
$ 25,564,286 | |||
Ethiopia — 1.6% | |||
Ethiopia International Bonds, 6.625%, 12/11/24(8)(12) | USD | 65,040 | $ 46,065,230 |
$ 46,065,230 | |||
Ghana — 2.0% | |||
Ghana Government International Bonds: | |||
6.375%, 2/11/27(8)(12) | USD | 7,300 | $ 3,534,470 |
7.625%, 5/16/29(8)(12) | USD | 20,259 | 9,870,185 |
7.75%, 4/7/29(8)(12) | USD | 10,826 | 5,281,572 |
7.875%, 3/26/27(8)(12) | USD | 2,904 | 1,419,275 |
7.875%, 2/11/35(8)(12) | USD | 7,615 | 3,712,313 |
8.125%, 1/18/26(8)(12) | USD | 5,386 | 2,706,040 |
8.125%, 3/26/32(8)(12) | USD | 12,023 | 5,858,387 |
8.625%, 4/7/34(8)(12) | USD | 13,204 | 6,456,756 |
8.627%, 6/16/49(8)(12) | USD | 8,126 | 3,865,985 |
8.75%, 3/11/61(8)(12) | USD | 13,017 | 6,334,398 |
8.875%, 5/7/42(8)(12) | USD | 6,584 | 3,196,598 |
8.95%, 3/26/51(8)(12) | USD | 9,370 | 4,552,667 |
$ 56,788,646 | |||
Greece — 0.1% | |||
Hellenic Republic Government Bonds, 0.00%, GDP-Linked, 10/15/42 | EUR | 579,743 | $ 1,732,364 |
$ 1,732,364 |
Security | Principal Amount (000's omitted) | Value | |
Iceland — 1.9% | |||
Republic of Iceland: | |||
4.50%, 2/17/42 | ISK | 5,322,180 | $ 30,247,752 |
6.50%, 1/24/31 | ISK | 1,273,622 | 8,684,797 |
7.00%, 9/17/35 | ISK | 2,076,207 | 14,826,879 |
$ 53,759,428 | |||
Indonesia — 1.3% | |||
Indonesia Treasury Bonds: | |||
7.125%, 6/15/42 | IDR | 101,384,000 | $ 6,166,948 |
7.125%, 6/15/43 | IDR | 464,841,000 | 28,498,956 |
7.375%, 5/15/48 | IDR | 36,392,000 | 2,290,838 |
$ 36,956,742 | |||
Ivory Coast — 1.2% | |||
Ivory Coast Government International Bonds: | |||
6.625%, 3/22/48(8) | EUR | 21,739 | $ 18,198,212 |
6.875%, 10/17/40(8) | EUR | 6,307 | 5,652,622 |
8.25%, 1/30/37(8) | USD | 10,877 | 10,425,604 |
$ 34,276,438 | |||
Jordan — 0.1% | |||
Jordan Government International Bonds, 7.50%, 1/13/29(8) | USD | 4,016 | $ 3,966,141 |
$ 3,966,141 | |||
Kenya — 3.9% | |||
Republic of Kenya Government International Bonds: | |||
8.25%, 2/28/48(8) | USD | 3,677 | $ 3,105,815 |
9.75%, 2/16/31(8) | USD | 53,560 | 53,760,850 |
Republic of Kenya Infrastructure Bonds, 18.461%, 8/9/32 | KES | 6,838,750 | 52,783,905 |
$ 109,650,570 | |||
Montenegro — 0.7% | |||
Montenegro Government International Bonds: | |||
2.875%, 12/16/27(8) | EUR | 4,040 | $ 3,947,027 |
7.25%, 3/12/31(8) | USD | 14,446 | 14,467,582 |
$ 18,414,609 | |||
Nigeria — 0.0%(9) | |||
Nigeria Government International Bonds, 8.25%, 9/28/51(8) | USD | 1,404 | $ 1,104,864 |
$ 1,104,864 |
Security | Principal Amount (000's omitted) | Value | |
North Macedonia — 1.7% | |||
North Macedonia Government International Bonds: | |||
1.625%, 3/10/28(8) | EUR | 24,292 | $ 22,699,719 |
3.675%, 6/3/26(8) | EUR | 2,343 | 2,437,248 |
6.96%, 3/13/27(8) | EUR | 20,719 | 23,158,669 |
$ 48,295,636 | |||
Panama — 1.0% | |||
Panama Government International Bonds: | |||
2.252%, 9/29/32 | USD | 6,997 | $ 4,856,279 |
3.16%, 1/23/30 | USD | 14,293 | 11,678,450 |
7.50%, 3/1/31 | USD | 12,073 | 12,239,620 |
$ 28,774,349 | |||
Paraguay — 0.8% | |||
Paraguay Government Bonds, 7.90%, 2/9/31(5) | PYG | 166,288,000 | $ 22,968,354 |
$ 22,968,354 | |||
Peru — 0.9% | |||
Peru Government Bonds: | |||
5.40%, 8/12/34 | PEN | 11,066 | $ 2,542,245 |
6.15%, 8/12/32 | PEN | 5,374 | 1,348,672 |
6.35%, 8/12/28 | PEN | 28,346 | 7,673,733 |
7.30%, 8/12/33(5)(8) | PEN | 49,689 | 13,303,013 |
$ 24,867,663 | |||
Serbia — 5.4% | |||
Serbia International Bonds: | |||
1.50%, 6/26/29(8) | EUR | 15,362 | $ 13,760,667 |
1.65%, 3/3/33(8) | EUR | 9,131 | 7,218,143 |
Serbia Treasury Bonds: | |||
4.50%, 8/20/32 | RSD | 4,306,760 | 35,867,199 |
7.00%, 10/26/31 | RSD | 9,588,280 | 93,449,241 |
$ 150,295,250 | |||
Sri Lanka — 2.0% | |||
Sri Lanka Government International Bonds: | |||
5.75%, 4/18/23(8)(12) | USD | 9,753 | $ 5,569,323 |
6.20%, 5/11/27(8)(12) | USD | 14,900 | 8,495,492 |
6.35%, 6/28/24(8)(12) | USD | 8,675 | 4,924,263 |
6.75%, 4/18/28(8)(12) | USD | 1,800 | 1,026,637 |
6.825%, 7/18/26(8)(12) | USD | 38,017 | 21,775,658 |
6.85%, 3/14/24(8)(12) | USD | 4,733 | 2,702,718 |
6.85%, 11/3/25(8)(12) | USD | 20,479 | 11,738,743 |
$ 56,232,834 |
Security | Principal Amount (000's omitted) | Value | |
Suriname — 2.6% | |||
Suriname Government International Bonds: | |||
0.00%, Oil-Linked, 12/31/50(5) | USD | 33,349 | $ 25,128,471 |
7.95%, (4.95% cash and 3.00% PIK), 7/15/33(5) | USD | 50,231 | 46,639,858 |
$ 71,768,329 | |||
Tajikistan — 0.0%(9) | |||
Republic of Tajikistan International Bonds, 7.125%, 9/14/27(8) | USD | 841 | $ 777,925 |
$ 777,925 | |||
Tunisia — 0.7% | |||
Tunisian Republic: | |||
3.50%, 2/3/33 | JPY | 800,000 | $ 3,025,598 |
4.20%, 3/17/31 | JPY | 60,000 | 234,537 |
5.75%, 1/30/25(8) | USD | 5,665 | 5,343,228 |
6.375%, 7/15/26(8) | EUR | 12,019 | 10,775,389 |
$ 19,378,752 | |||
Ukraine — 0.5% | |||
Ukraine Government Bonds: | |||
15.84%, 2/26/25 | UAH | 59,167 | $ 1,181,700 |
19.19%, 9/30/26 | UAH | 77,738 | 1,524,718 |
Ukraine Government International Bonds: | |||
4.375%, 1/27/32(8)(12) | EUR | 759 | 198,613 |
6.876%, 5/21/31(8)(12) | USD | 357 | 90,366 |
7.253%, 3/15/35(8)(12) | USD | 21,719 | 5,436,961 |
7.375%, 9/25/34(8)(12) | USD | 4,200 | 1,055,250 |
7.75%, 9/1/25(8)(12) | USD | 178 | 56,695 |
7.75%, 9/1/26(8)(12) | USD | 717 | 211,090 |
7.75%, 9/1/29(8)(12) | USD | 4,322 | 1,233,110 |
9.75%, 11/1/30(8)(12) | USD | 12,666 | 3,903,028 |
$ 14,891,531 | |||
Uruguay — 1.7% | |||
Uruguay Government Bonds: | |||
3.875%, 7/2/40(22) | UYU | 623,178 | $ 17,572,788 |
8.25%, 5/21/31 | UYU | 10,704 | 266,296 |
9.75%, 7/20/33 | UYU | 1,130,374 | 30,749,327 |
$ 48,588,411 | |||
Uzbekistan — 1.1% | |||
Republic of Uzbekistan Bonds: | |||
14.00%, 7/19/24(8) | UZS | 4,180,000 | $ 328,453 |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan (continued) | |||
Republic of Uzbekistan Bonds: (continued) | |||
16.25%, 10/12/26(8) | UZS | 367,300,000 | $ 29,250,374 |
$ 29,578,827 | |||
Venezuela — 0.5% | |||
Venezuela Government International Bonds: | |||
6.00%, 12/9/20(8)(12) | USD | 6,031 | $ 980,210 |
7.00%, 3/31/38(8)(12) | USD | 4,698 | 808,713 |
7.65%, 4/21/25(8)(12) | USD | 11,631 | 2,125,744 |
7.75%, 10/13/19(8)(12) | USD | 1,608 | 277,246 |
8.25%, 10/13/24(8)(12) | USD | 13,055 | 2,405,016 |
9.00%, 5/7/23(8)(12) | USD | 3,806 | 750,897 |
9.25%, 9/15/27(12) | USD | 14,820 | 3,183,336 |
9.25%, 5/7/28(8)(12) | USD | 11,235 | 2,226,730 |
9.375%, 1/13/34(12) | USD | 1,557 | 323,086 |
11.75%, 10/21/26(8)(12) | USD | 1,997 | 433,844 |
11.95%, 8/5/31(8)(12) | USD | 3,851 | 834,900 |
12.75%, 8/23/22(8)(12) | USD | 1,882 | 404,801 |
$ 14,754,523 | |||
Zambia — 0.7% | |||
Zambia Government International Bonds: | |||
5.375%, 9/20/22(8)(12) | USD | 5,132 | $ 3,398,257 |
8.50%, 4/14/24(8)(12) | USD | 14,633 | 10,784,009 |
8.97%, 7/30/27(8)(12) | USD | 5,424 | 3,988,050 |
$ 18,170,316 | |||
Total Sovereign Government Bonds (identified cost $1,395,098,107) | $1,448,913,197 |
Sovereign Loans — 3.1% |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Ivory Coast — 0.2% | |||
Republic of Ivory Coast, Term Loan, 9.623%, (6 mo. EURIBOR + 5.75%), 1/6/28(4) | EUR | 4,524 | $ 5,383,266 |
$ 5,383,266 | |||
Kenya — 0.1% | |||
Government of Kenya, Term Loan, 12.062%, (6 mo. SOFR + 6.45%), 6/29/25(4) | USD | 3,947 | $ 3,968,241 |
$ 3,968,241 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Tanzania — 2.8% | |||
Government of the United Republic of Tanzania, Term Loan, 12.022%, (6 mo. SOFR + 6.30%), 4/28/31(4) | USD | 76,489 | $ 78,213,866 |
$ 78,213,866 | |||
Total Sovereign Loans (identified cost $85,735,387) | $ 87,565,373 |
U.S. Government Guaranteed Small Business Administration Loans — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
SBA IO Trust: Interest Only:(23)(24) Series 2018-3, Class A, 2.876%, 5/24/44(5)(6) | $ | 100,454 | $ 5,733,898 |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $21,126,688) | $ 5,733,898 |
Miscellaneous — 0.0% |
Security | Shares | Value | |
Financial Intermediaries — 0.0% | |||
Alpha Holding SA, Escrow Certificates(7)(10) | 5,728,000 | $ 0 | |
Alpha Holding SA, Escrow Certificates(7)(10) | 11,758,000 | 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Short-Term Investments — 18.5% |
Affiliated Fund — 1.3% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(25) | 36,275,308 | $ 36,275,308 | |
Total Affiliated Fund (identified cost $36,275,308) | $ 36,275,308 |
Repurchase Agreements — 3.2% |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: | |||
Dated 4/10/24 with an interest rate of 2.00%, collateralized by USD 2,000,000 Pakistan Government International Bonds, 6.875%, due 12/5/27 and a market value, including accrued interest, of $2,055,764(26) | USD | 1,788 | $ 1,787,500 |
Barclays Bank PLC: | |||
Dated 12/15/23 with an interest rate of 4.95%, collateralized by USD 3,649,000 Republic of Armenia International Bonds, 3.60%, due 2/2/31 and a market value, including accrued interest, of $2,931,249(26) | USD | 3,152 | 3,151,824 |
Dated 1/3/24 with an interest rate of 2.60%, collateralized by EUR 3,000,000 Republic of Poland Government International Bonds, 2.75%, due 5/25/32 and a market value, including accrued interest, of $3,112,540(26) | EUR | 3,086 | 3,293,648 |
Dated 1/3/24 with an interest rate of 2.75%, collateralized by EUR 1,800,000 Republic of Poland Government International Bonds, 1.00%, due 3/7/29 and a market value, including accrued interest, of $1,745,110(26) | EUR | 1,751 | 1,868,134 |
Dated 1/3/24 with an interest rate of 3.10%, collateralized by EUR 6,000,000 Republic of Poland Government International Bonds, 1.00%, due 3/7/29 and a market value, including accrued interest, of $5,817,034(26) | EUR | 5,835 | 6,227,115 |
JPMorgan Chase Bank, N.A.: | |||
Dated 1/8/24 with an interest rate of 10.70%, collateralized by MXN 1,017,700,000 Mexican Bonos, 8.00%, due 7/31/53 and a market value, including accrued interest, of $48,920,533(26) | MXN | 917,505 | 53,558,961 |
Nomura International PLC: | |||
Dated 12/18/23 with an interest rate of 4.75%, collateralized by USD 4,379,000 Republic of Armenia International Bonds, 3.60%, due 2/2/31 and a market value, including accrued interest, of $3,517,659(26) | USD | 3,787 | 3,786,918 |
Dated 12/18/23 with an interest rate of 4.85%, collateralized by USD 8,762,000 Republic of Azerbaijan International Bonds, 3.50%, due 9/1/32 and a market value, including accrued interest, of $7,305,575(26) | USD | 8,030 | 8,030,031 |
Dated 12/19/23 with an interest rate of 3.40%, collateralized by EUR 3,044,000 Republic of Poland Government International Bonds, 1.00%, due 3/7/29 and a market value, including accrued interest, of $2,951,175(26) | USD | 3,240 | 3,239,738 |
Dated 12/19/23 with an interest rate of 4.85%, collateralized by USD 5,066,000 Republic of Azerbaijan International Bonds, 3.50%, due 9/1/32 and a market value, including accrued interest, of $4,223,926(26) | USD | 4,646 | 4,646,234 |
Total Repurchase Agreements (identified cost $90,816,691) | $ 89,590,103 |
Sovereign Government Securities — 10.3% |
Security | Principal Amount (000's omitted) | Value | |
Egypt — 8.0% | |||
Egypt Treasury Bills: | |||
0.00%, 5/7/24 | EGP | 331,700 | $ 6,928,838 |
0.00%, 5/14/24 | EGP | 1,028,375 | 21,371,541 |
0.00%, 5/21/24 | EGP | 1,326,200 | 27,421,479 |
0.00%, 5/28/24 | EGP | 113,825 | 2,341,773 |
0.00%, 12/10/24 | EGP | 1,453,775 | 26,334,611 |
0.00%, 12/17/24 | EGP | 4,526,650 | 81,645,610 |
0.00%, 3/11/25 | EGP | 3,115,400 | 53,442,018 |
0.00%, 3/18/25 | EGP | 319,350 | 5,456,082 |
$ 224,941,952 | |||
Nigeria — 2.3% | |||
Nigeria OMO Bills: | |||
0.00%, 6/4/24 | NGN | 7,299,524 | $ 5,264,524 |
0.00%, 7/9/24 | NGN | 605,722 | 428,946 |
0.00%, 1/28/25 | NGN | 2,429,768 | 1,523,550 |
0.00%, 2/25/25 | NGN | 4,055,290 | 2,497,017 |
0.00%, 4/1/25 | NGN | 4,945,369 | 3,018,611 |
Nigeria Treasury Bills: | |||
0.00%, 2/6/25 | NGN | 5,006,921 | 3,121,203 |
0.00%, 2/20/25 | NGN | 21,273,936 | 13,141,949 |
0.00%, 3/6/25 | NGN | 9,930,998 | 6,079,094 |
0.00%, 3/27/25 | NGN | 29,959,479 | 18,087,643 |
0.00%, 4/10/25 | NGN | 19,248,446 | 11,513,711 |
$ 64,676,248 | |||
Total Sovereign Government Securities (identified cost $284,352,497) | $ 289,618,200 |
U.S. Treasury Obligations — 3.7% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 5/9/24(27) | $ | 23,546 | $ 23,518,391 |
0.00%, 6/13/24(27) | 18,427 | 18,311,235 | |
0.00%, 6/20/24(27) | 18,027 | 17,895,052 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: (continued) | |||
0.00%, 7/11/24(27) | $ | 47,000 | $ 46,512,891 |
Total U.S. Treasury Obligations (identified cost $106,241,718) | $ 106,237,569 | ||
Total Short-Term Investments (identified cost $517,686,214) | $ 521,721,180 |
Total Purchased Options — 0.1% (identified cost $5,477,105) | $ 1,809,347 | ||
Total Investments — 95.8% (identified cost $2,675,632,200) | $2,694,921,286 | ||
Total Written Options — (0.0)%(9) (premiums received $1,081,464) | $ (213,958) |
Securities Sold Short — (6.0)% | |||
Common Stocks — (1.5)% |
Security | Shares | Value | |
New Zealand — (1.5)% | |||
a2 Milk Co. Ltd.(7) | (685,400) | $ (2,699,806) | |
Air New Zealand Ltd. | (1,590,400) | (515,159) | |
Auckland International Airport Ltd. | (1,008,167) | (4,660,824) | |
Chorus Ltd. | (314,835) | (1,333,998) | |
Contact Energy Ltd. | (650,450) | (3,320,806) | |
EBOS Group Ltd. | (39,953) | (823,311) | |
Fisher & Paykel Healthcare Corp. Ltd. | (394,070) | (6,599,783) | |
Fletcher Building Ltd. | (766,350) | (1,715,256) | |
Freightways Group Ltd. | (62,218) | (307,652) | |
Goodman Property Trust | (767,200) | (1,028,948) | |
Infratil Ltd. | (645,000) | (4,141,378) | |
Kiwi Property Group Ltd. | (869,785) | (414,135) | |
Mainfreight Ltd. | (68,660) | (2,744,152) | |
Mercury NZ Ltd. | (572,315) | (2,147,821) | |
Meridian Energy Ltd. | (1,040,140) | (3,668,448) | |
Precinct Properties New Zealand Ltd. | (1,353,345) | (931,453) | |
Ryman Healthcare Ltd.(7) | (449,340) | (1,072,547) | |
SKYCITY Entertainment Group Ltd. | (489,400) | (512,883) | |
Spark New Zealand Ltd. | (1,609,900) | (4,524,066) | |
Total Common Stocks (proceeds $45,264,280) | $ (43,162,426) | ||
Exchange-Traded Funds — (1.7)% |
Security | Shares | Value | |
United States — (1.7)% | |||
iShares JPMorgan USD Emerging Markets Bond ETF | (541,669) | $ (47,206,453) | |
Total Exchange-Traded Funds (proceeds $48,480,651) | $ (47,206,453) | ||
Sovereign Government Bonds — (2.8)% |
Security | Principal Amount (000's omitted) | Value | |
Armenia — (0.2)% | |||
Republic of Armenia International Bonds, 3.60%, 2/2/31(8) | USD | (8,028) | $ (6,377,459) |
$ (6,377,459) | |||
Azerbaijan — (0.4)% | |||
Republic of Azerbaijan International Bonds, 3.50%, 9/1/32(8) | USD | (13,828) | $ (11,448,837) |
$ (11,448,837) | |||
Mexico — (1.7)% | |||
Mexican Bonos, 8.00%, 7/31/53 | MXN | (1,017,700) | $ (48,207,640) |
$ (48,207,640) | |||
Poland — (0.5)% | |||
Republic of Poland Government International Bonds: | |||
1.00%, 3/7/29(8) | EUR | (10,844) | $ (10,495,881) |
2.75%, 5/25/32(8) | EUR | (3,000) | (3,030,044) |
$ (13,525,925) | |||
Total Sovereign Government Bonds (proceeds $81,457,132) | $ (79,559,861) | ||
Total Securities Sold Short (proceeds $175,202,063) | $ (169,928,740) |
Other Assets, Less Liabilities — 10.2% | $ 288,199,187 | ||
Net Assets — 100.0% | $2,812,977,775 |
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets. | |
(1) | Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated. |
(2) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at April 30, 2024. |
(3) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(4) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2024. |
(5) | 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 $311,899,159 or 11.1% of the Portfolio's net assets. |
(6) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at April 30, 2024. |
(7) | Non-income producing security. |
(8) | 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 $870,412,417 or 30.9% of the Portfolio's net assets. |
(9) | Amount is less than 0.05% or (0.05)%, as applicable. |
(10) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 10). |
(11) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(12) | Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(13) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(14) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(15) | 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. |
(16) | Quantity held represents principal in USD. |
(17) | Security is subject to risk of loss depending on the occurrence, frequency and severity of the loss events that are covered by underlying reinsurance contracts and that may occur during a specified risk period. |
(18) | Restricted security (see Note 5). |
(19) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(20) | Fixed-rate loan. |
(21) | Step coupon security. Interest rate represents the rate in effect at April 30, 2024. |
(22) | 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. |
(23) | Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated. |
(24) | The stated interest rate represents the weighted average fixed interest rate at April 30, 2024 of all interest only securities comprising the trust. |
(25) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2024. |
(26) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(27) | 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 | 59,025,000 | BRL | 5.01 | 6/11/24 | $ 126,314 |
Put USD vs. Call BRL | JPMorgan Chase Bank, N.A. | USD | 50,105,000 | BRL | 5.01 | 6/11/24 | 107,976 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 50,900,000 | INR | 85.50 | 1/25/29 | 412,850 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 27,200,000 | INR | 85.50 | 1/25/29 | 220,619 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 26,300,000 | INR | 85.50 | 1/30/29 | 213,714 |
Put USD vs. Call MXN | Citibank, N.A. | USD | 35,400,000 | MXN | 17.02 | 5/17/24 | 213,958 |
Put USD vs. Call MXN | Standard Chartered Bank | USD | 55,500,000 | MXN | 16.74 | 6/20/24 | 230,991 |
Put USD vs. Call MXN | Standard Chartered Bank | USD | 20,300,000 | MXN | 16.82 | 7/2/24 | 121,820 |
Put USD vs. Call MXN | Standard Chartered Bank | USD | 35,400,000 | MXN | 16.71 | 7/5/24 | 161,105 |
Total | $1,809,347 |
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 | 35,400,000 | MXN | 17.02 | 5/17/24 | $(213,958) |
Total | $(213,958) |
(1) | Amount is less than (0.05)%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 7,252,470 | PHP | 414,000,000 | 5/17/24 | $ 87,025 |
TWD | 157,165,000 | USD | 4,826,357 | 5/29/24 | (11,124) |
COP | 35,265,160,000 | USD | 8,851,586 | 6/20/24 | 72,021 |
COP | 8,312,000,000 | USD | 2,095,043 | 6/20/24 | 8,251 |
EUR | 2,140,000 | USD | 2,338,882 | 6/20/24 | (50,526) |
EUR | 3,087,961 | USD | 3,374,943 | 6/20/24 | (72,908) |
EUR | 5,860,367 | USD | 6,359,776 | 6/20/24 | (93,138) |
EUR | 7,384,197 | USD | 8,013,463 | 6/20/24 | (117,356) |
EUR | 8,398,820 | USD | 9,114,550 | 6/20/24 | (133,481) |
EUR | 9,881,442 | USD | 10,723,518 | 6/20/24 | (157,044) |
EUR | 9,919,625 | USD | 10,764,956 | 6/20/24 | (157,651) |
EUR | 19,603,034 | USD | 21,273,565 | 6/20/24 | (311,548) |
EUR | 30,797,832 | USD | 33,422,362 | 6/20/24 | (489,465) |
EUR | 36,935,319 | USD | 40,082,873 | 6/20/24 | (587,007) |
EUR | 69,800,000 | USD | 76,286,907 | 6/20/24 | (1,648,011) |
IDR | 72,622,650,000 | USD | 4,474,028 | 6/20/24 | (14,027) |
IDR | 199,633,874,289 | USD | 12,780,658 | 6/20/24 | (520,469) |
INR | 13,023,901,264 | USD | 156,730,834 | 6/20/24 | (996,253) |
KRW | 24,072,000,000 | USD | 17,329,456 | 6/20/24 | 79,432 |
KRW | 4,891,790,000 | USD | 3,645,366 | 6/20/24 | (107,620) |
KRW | 103,931,200,000 | USD | 79,601,118 | 6/20/24 | (4,438,000) |
PEN | 1,100,000 | USD | 295,906 | 6/20/24 | (3,880) |
PEN | 4,191,000 | USD | 1,125,705 | 6/20/24 | (13,086) |
PEN | 9,359,000 | USD | 2,513,833 | 6/20/24 | (29,222) |
PEN | 39,835,000 | USD | 10,659,050 | 6/20/24 | (83,723) |
PEN | 44,838,000 | USD | 12,094,679 | 6/20/24 | (191,165) |
PEN | 82,600,000 | USD | 22,331,428 | 6/20/24 | (402,923) |
TWD | 271,000,000 | USD | 8,468,327 | 6/20/24 | (158,120) |
TWD | 584,000,000 | USD | 18,164,852 | 6/20/24 | (256,510) |
USD | 12,541,087 | COP | 49,546,700,000 | 6/20/24 | 3,634 |
USD | 7,253,657 | COP | 28,708,160,000 | 6/20/24 | (10,746) |
USD | 16,462,758 | COP | 65,257,550,000 | 6/20/24 | (50,218) |
USD | 175,109,859 | EUR | 160,219,737 | 6/20/24 | 3,782,865 |
USD | 76,286,907 | EUR | 69,800,000 | 6/20/24 | 1,648,011 |
USD | 68,213,599 | EUR | 62,413,190 | 6/20/24 | 1,473,605 |
USD | 65,166,449 | EUR | 59,625,149 | 6/20/24 | 1,407,778 |
USD | 62,686,856 | EUR | 57,356,402 | 6/20/24 | 1,354,212 |
USD | 59,587,953 | EUR | 54,521,009 | 6/20/24 | 1,287,267 |
USD | 57,323,967 | EUR | 52,449,536 | 6/20/24 | 1,238,359 |
USD | 50,952,659 | EUR | 46,620,000 | 6/20/24 | 1,100,720 |
USD | 46,492,250 | EUR | 42,538,873 | 6/20/24 | 1,004,363 |
USD | 36,319,157 | EUR | 33,230,829 | 6/20/24 | 784,596 |
USD | 30,543,374 | EUR | 27,946,178 | 6/20/24 | 659,823 |
USD | 21,424,855 | EUR | 19,603,034 | 6/20/24 | 462,837 |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 16,387,440 | EUR | 14,993,967 | 6/20/24 | $ 354,015 |
USD | 15,547,699 | EUR | 14,225,631 | 6/20/24 | 335,874 |
USD | 10,799,779 | EUR | 9,881,441 | 6/20/24 | 233,306 |
USD | 8,561,194 | EUR | 7,833,210 | 6/20/24 | 184,946 |
USD | 7,034,744 | EUR | 6,436,558 | 6/20/24 | 151,970 |
USD | 3,696,308 | EUR | 3,382,000 | 6/20/24 | 79,851 |
USD | 2,918,914 | EUR | 2,670,710 | 6/20/24 | 63,057 |
USD | 2,875,867 | EUR | 2,631,323 | 6/20/24 | 62,127 |
USD | 2,608,833 | EUR | 2,386,996 | 6/20/24 | 56,358 |
USD | 2,196,610 | EUR | 2,009,826 | 6/20/24 | 47,453 |
USD | 2,115,701 | EUR | 1,949,563 | 6/20/24 | 30,984 |
USD | 1,302,262 | EUR | 1,200,000 | 6/20/24 | 19,071 |
USD | 762,799 | EUR | 697,936 | 6/20/24 | 16,479 |
USD | 868,273 | EUR | 800,091 | 6/20/24 | 12,716 |
USD | 631,129 | EUR | 581,569 | 6/20/24 | 9,243 |
USD | 380,893 | EUR | 348,505 | 6/20/24 | 8,228 |
USD | 363,019 | EUR | 332,150 | 6/20/24 | 7,842 |
USD | 209,277 | EUR | 191,481 | 6/20/24 | 4,521 |
USD | 209,256 | EUR | 192,824 | 6/20/24 | 3,064 |
USD | 67,765 | EUR | 62,443 | 6/20/24 | 992 |
USD | 485,693 | IDR | 7,586,523,636 | 6/20/24 | 19,779 |
USD | 32,338,843 | PEN | 119,146,000 | 6/20/24 | 708,169 |
USD | 21,558,776 | PEN | 79,429,000 | 6/20/24 | 472,103 |
USD | 23,444,232 | PEN | 86,716,065 | 6/20/24 | 423,001 |
USD | 28,150,550 | PEN | 105,908,000 | 6/20/24 | 34,278 |
USD | 47,833,298 | PEN | 180,714,199 | 6/20/24 | (142,395) |
USD | 42,021,744 | PEN | 158,859,000 | 6/20/24 | (151,868) |
USD | 11,143,442 | PHP | 636,870,000 | 6/20/24 | 128,297 |
BRL | 15,092,039 | USD | 2,992,072 | 7/2/24 | (102,843) |
BRL | 15,829,000 | USD | 3,139,304 | 7/2/24 | (108,992) |
BRL | 23,744,000 | USD | 4,707,002 | 7/2/24 | (161,437) |
BRL | 23,791,000 | USD | 4,716,880 | 7/2/24 | (162,318) |
BRL | 25,643,961 | USD | 5,087,694 | 7/2/24 | (178,399) |
BRL | 42,500,000 | USD | 8,435,552 | 7/2/24 | (299,328) |
BRL | 48,563,000 | USD | 9,657,744 | 7/2/24 | (360,816) |
$ 7,148,906 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
HUF | 3,269,062,468 | EUR | 8,255,237 | BNP Paribas | 5/2/24 | $ 102,936 | $ — |
HUF | 3,321,061,473 | EUR | 8,372,459 | UBS AG | 5/2/24 | 119,609 | — |
CZK | 340,176,151 | EUR | 13,412,088 | Goldman Sachs International | 5/6/24 | 117,744 | — |
CZK | 336,923,849 | EUR | 13,283,530 | HSBC Bank USA, N.A. | 5/6/24 | 116,971 | — |
EUR | 26,885,931 | CZK | 677,100,000 | Societe Generale | 5/6/24 | — | (31,589) |
USD | 1,554,834 | KES | 215,111,315 | Citibank, N.A. | 5/6/24 | — | (37,871) |
EUR | 5,714,237 | USD | 6,131,051 | Barclays Bank PLC | 5/10/24 | — | (31,151) |
EUR | 641,457 | USD | 683,818 | Citibank, N.A. | 5/10/24 | 931 | — |
EUR | 1,339,697 | USD | 1,456,324 | UBS AG | 5/10/24 | — | (26,209) |
USD | 7,432,577 | EUR | 6,842,258 | Bank of America, N.A. | 5/10/24 | 128,525 | — |
USD | 93,520 | EUR | 86,278 | BNP Paribas | 5/10/24 | 1,419 | — |
USD | 2,686,725 | EUR | 2,520,616 | Citibank, N.A. | 5/10/24 | — | (4,011) |
USD | 1,554,782 | EUR | 1,460,402 | Citibank, N.A. | 5/10/24 | — | (4,185) |
USD | 5,327,082 | EUR | 5,004,325 | Citibank, N.A. | 5/10/24 | — | (14,992) |
USD | 31,268 | EUR | 28,989 | JPMorgan Chase Bank, N.A. | 5/10/24 | 322 | — |
USD | 14,634 | EUR | 13,571 | JPMorgan Chase Bank, N.A. | 5/10/24 | 147 | — |
USD | 6,219,703 | EUR | 5,834,293 | JPMorgan Chase Bank, N.A. | 5/10/24 | — | (8,356) |
USD | 1,898,069 | EUR | 1,772,569 | Standard Chartered Bank | 5/10/24 | 5,867 | — |
USD | 5,975,747 | EUR | 5,576,185 | UBS AG | 5/10/24 | 23,216 | — |
USD | 963,016 | EUR | 885,866 | UBS AG | 5/10/24 | 17,361 | — |
USD | 1,735,216 | EUR | 1,626,914 | UBS AG | 5/10/24 | — | (1,501) |
USD | 10,682,195 | EUR | 10,012,377 | UBS AG | 5/10/24 | — | (5,933) |
HUF | 4,274,997,999 | EUR | 10,839,156 | HSBC Bank USA, N.A. | 5/13/24 | 76,640 | — |
HUF | 8,004,266,938 | EUR | 20,426,865 | JPMorgan Chase Bank, N.A. | 5/13/24 | 2,321 | — |
HUF | 4,093,087,887 | EUR | 10,367,628 | UBS AG | 5/13/24 | 84,375 | — |
ILS | 111,378,125 | USD | 29,692,915 | Bank of America, N.A. | 5/13/24 | 88,019 | — |
ILS | 102,821,875 | USD | 27,432,334 | BNP Paribas | 5/13/24 | 60,780 | — |
ISK | 2,327,000,000 | EUR | 15,441,274 | Citibank, N.A. | 5/13/24 | 66,090 | — |
TRY | 335,116,310 | USD | 9,983,882 | Standard Chartered Bank | 5/13/24 | 269,226 | — |
TRY | 301,442,832 | USD | 8,982,278 | Standard Chartered Bank | 5/13/24 | 240,568 | — |
TRY | 262,593,198 | USD | 7,811,291 | Standard Chartered Bank | 5/13/24 | 222,924 | — |
USD | 58,062,942 | ILS | 214,200,000 | JPMorgan Chase Bank, N.A. | 5/13/24 | 788,893 | — |
USD | 7,001,545 | UZS | 89,724,797,000 | ICBC Standard Bank plc | 5/14/24 | — | (75,605) |
UZS | 37,765,034,000 | USD | 2,888,339 | ICBC Standard Bank plc | 5/14/24 | 90,423 | — |
UZS | 26,151,403,000 | USD | 2,005,168 | ICBC Standard Bank plc | 5/14/24 | 57,555 | — |
UZS | 25,808,360,000 | USD | 1,990,464 | ICBC Standard Bank plc | 5/14/24 | 45,201 | — |
HUF | 4,744,006,690 | EUR | 12,128,000 | UBS AG | 5/15/24 | — | (23,787) |
EGP | 292,565,127 | USD | 6,082,435 | Goldman Sachs International | 5/16/24 | 13,636 | — |
EUR | 21,187 | HUF | 8,347,173 | JPMorgan Chase Bank, N.A. | 5/17/24 | — | (117) |
USD | 38,267,216 | PHP | 2,183,980,000 | Standard Chartered Bank | 5/17/24 | 469,322 | — |
EGP | 245,552,479 | USD | 4,970,698 | HSBC Bank USA, N.A. | 5/20/24 | 141,454 | — |
USD | 12,682,390 | KRW | 17,668,670,544 | Standard Chartered Bank | 5/20/24 | — | (91,910) |
MXN | 131,967,000 | USD | 7,760,596 | Bank of America, N.A. | 5/21/24 | — | (79,103) |
MXN | 32,678,743 | USD | 1,924,303 | Goldman Sachs International | 5/21/24 | — | (22,149) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
MXN | 33,007,164 | USD | 1,943,549 | Goldman Sachs International | 5/21/24 | $ — | $ (22,278) |
MXN | 100,174,000 | USD | 5,886,433 | Goldman Sachs International | 5/21/24 | — | (55,536) |
MXN | 123,130,000 | USD | 7,238,212 | Goldman Sachs International | 5/21/24 | — | (71,100) |
MXN | 127,447,093 | USD | 7,499,340 | Goldman Sachs International | 5/21/24 | — | (80,940) |
USD | 20,870,549 | MXN | 355,271,000 | Citibank, N.A. | 5/21/24 | 191,047 | — |
USD | 11,354,086 | MXN | 193,133,000 | JPMorgan Chase Bank, N.A. | 5/21/24 | 112,261 | — |
TRY | 265,735,902 | USD | 7,800,659 | Standard Chartered Bank | 5/22/24 | 250,334 | — |
USD | 9,328,439 | PHP | 537,458,000 | Societe Generale | 5/23/24 | 27,209 | — |
USD | 18,468,220 | PHP | 1,062,542,000 | Standard Chartered Bank | 5/23/24 | 80,558 | — |
HUF | 6,234,086,736 | EUR | 15,771,717 | Bank of America, N.A. | 5/29/24 | 123,529 | — |
HUF | 6,233,720,009 | EUR | 15,765,246 | BNP Paribas | 5/29/24 | 129,444 | — |
TWD | 954,235,000 | USD | 29,292,025 | Standard Chartered Bank | 5/29/24 | — | (42,604) |
HUF | 3,434,643,973 | EUR | 8,737,107 | BNP Paribas | 6/3/24 | 12,697 | — |
HUF | 3,155,479,968 | EUR | 8,023,087 | Citibank, N.A. | 6/3/24 | 15,809 | — |
PLN | 106,000,000 | EUR | 24,473,530 | Barclays Bank PLC | 6/5/24 | — | (30,211) |
CZK | 677,100,000 | EUR | 26,853,676 | Societe Generale | 6/6/24 | 32,794 | — |
BRL | 164,647,000 | USD | 32,863,673 | Goldman Sachs International | 6/13/24 | — | (1,275,001) |
EGP | 198,513,016 | USD | 4,315,500 | Citibank, N.A. | 6/13/24 | — | (208,826) |
EGP | 198,843,585 | USD | 3,699,416 | Standard Chartered Bank | 6/13/24 | 414,097 | — |
USD | 32,844,006 | BRL | 164,647,000 | Goldman Sachs International | 6/13/24 | 1,255,334 | — |
USD | 10,353,220 | EGP | 397,356,601 | Citibank, N.A. | 6/13/24 | 2,133,034 | — |
KZT | 2,500,499,000 | USD | 5,092,666 | JPMorgan Chase Bank, N.A. | 6/18/24 | 501,291 | — |
USD | 4,951,483 | KZT | 2,500,499,000 | ICBC Standard Bank plc | 6/18/24 | — | (642,474) |
AUD | 26,740,000 | USD | 17,522,588 | BNP Paribas | 6/20/24 | — | (175,205) |
AUD | 61,500,000 | USD | 40,816,271 | BNP Paribas | 6/20/24 | — | (918,587) |
AUD | 72,000,000 | USD | 47,764,728 | Citibank, N.A. | 6/20/24 | — | (1,055,245) |
AUD | 29,975,670 | USD | 19,744,524 | UBS AG | 6/20/24 | — | (298,023) |
AUD | 42,000,000 | USD | 27,634,530 | UBS AG | 6/20/24 | — | (387,332) |
CAD | 5,738,800 | USD | 4,258,256 | Bank of America, N.A. | 6/20/24 | — | (86,239) |
CAD | 19,147,100 | USD | 14,207,369 | Bank of America, N.A. | 6/20/24 | — | (287,731) |
CAD | 6,746,000 | USD | 5,004,514 | Goldman Sachs International | 6/20/24 | — | (100,279) |
CAD | 22,509,000 | USD | 16,698,282 | Goldman Sachs International | 6/20/24 | — | (334,597) |
CAD | 8,433,000 | USD | 6,258,859 | HSBC Bank USA, N.A. | 6/20/24 | — | (128,202) |
CAD | 28,136,000 | USD | 20,882,160 | HSBC Bank USA, N.A. | 6/20/24 | — | (427,735) |
CAD | 4,216,000 | USD | 3,136,123 | Standard Chartered Bank | 6/20/24 | — | (71,158) |
CAD | 14,069,000 | USD | 10,465,397 | Standard Chartered Bank | 6/20/24 | — | (237,458) |
CAD | 6,746,200 | USD | 5,027,450 | UBS AG | 6/20/24 | — | (123,070) |
CAD | 22,508,900 | USD | 16,774,240 | UBS AG | 6/20/24 | — | (410,628) |
CZK | 144,760,000 | EUR | 5,724,212 | Bank of America, N.A. | 6/20/24 | 22,165 | — |
EUR | 2,008,863 | CZK | 51,187,829 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (24,141) |
EUR | 2,669,430 | CZK | 68,019,755 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (32,079) |
EUR | 1,714,012 | PLN | 7,378,531 | Citibank, N.A. | 6/20/24 | 14,805 | — |
EUR | 1,769,980 | PLN | 7,616,755 | Goldman Sachs International | 6/20/24 | 15,956 | — |
EUR | 7,248,076 | USD | 7,786,997 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (36,447) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 14,281,924 | USD | 15,342,965 | JPMorgan Chase Bank, N.A. | 6/20/24 | $ — | $ (70,945) |
ISK | 1,073,125,968 | EUR | 7,118,580 | Bank of America, N.A. | 6/20/24 | — | (8,928) |
ISK | 1,197,685,232 | EUR | 7,950,118 | Bank of America, N.A. | 6/20/24 | — | (15,603) |
ISK | 1,940,746,312 | EUR | 12,905,615 | Bank of America, N.A. | 6/20/24 | — | (50,017) |
ISK | 1,293,500,051 | EUR | 8,603,259 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (35,172) |
JPY | 2,689,280,000 | USD | 18,225,666 | Citibank, N.A. | 6/20/24 | — | (1,047,235) |
JPY | 4,083,457,667 | USD | 27,674,224 | Citibank, N.A. | 6/20/24 | — | (1,590,142) |
MXN | 58,212,000 | USD | 3,398,124 | Bank of America, N.A. | 6/20/24 | — | (25,894) |
MXN | 67,289,000 | USD | 3,945,168 | Goldman Sachs International | 6/20/24 | — | (47,107) |
MXN | 55,522,300 | USD | 3,269,768 | Goldman Sachs International | 6/20/24 | — | (53,354) |
MXN | 476,702,700 | USD | 28,073,537 | Goldman Sachs International | 6/20/24 | — | (458,084) |
MXN | 27,397,000 | USD | 1,615,882 | Societe Generale | 6/20/24 | — | (28,770) |
MXN | 44,939,700 | USD | 2,630,437 | Standard Chartered Bank | 6/20/24 | — | (27,074) |
MXN | 44,900,000 | USD | 2,643,312 | Standard Chartered Bank | 6/20/24 | — | (42,249) |
MXN | 386,110,300 | USD | 22,600,035 | Standard Chartered Bank | 6/20/24 | — | (232,612) |
MXN | 386,100,000 | USD | 22,730,131 | Standard Chartered Bank | 6/20/24 | — | (363,304) |
MXN | 8,311,538 | USD | 486,837 | State Street Bank and Trust Company | 6/20/24 | — | (5,349) |
MXN | 58,788,000 | USD | 3,411,667 | State Street Bank and Trust Company | 6/20/24 | — | (6,070) |
MXN | 10,044,046 | USD | 588,289 | State Street Bank and Trust Company | 6/20/24 | — | (6,436) |
MXN | 68,328,000 | USD | 3,982,120 | State Street Bank and Trust Company | 6/20/24 | — | (23,869) |
MXN | 65,617,000 | USD | 3,858,614 | State Street Bank and Trust Company | 6/20/24 | — | (57,412) |
MXN | 587,057,000 | USD | 34,213,373 | State Street Bank and Trust Company | 6/20/24 | — | (205,079) |
NGN | 495,390,017 | USD | 582,812 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (227,311) |
NZD | 12,967,274 | USD | 8,006,112 | Australia and New Zealand Banking Group Limited | 6/20/24 | — | (365,172) |
NZD | 45,180,000 | USD | 26,999,220 | BNP Paribas | 6/20/24 | — | (376,996) |
NZD | 37,742,000 | USD | 22,623,593 | BNP Paribas | 6/20/24 | — | (384,195) |
NZD | 60,483,200 | USD | 37,393,751 | BNP Paribas | 6/20/24 | — | (1,754,147) |
NZD | 40,158,000 | USD | 24,089,061 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (426,041) |
PLN | 112,694,442 | EUR | 25,731,675 | Barclays Bank PLC | 6/20/24 | 251,791 | — |
SEK | 269,562,000 | EUR | 24,056,705 | UBS AG | 6/20/24 | — | (1,210,930) |
SGD | 6,420,000 | USD | 4,780,788 | Citibank, N.A. | 6/20/24 | — | (67,068) |
SGD | 19,000,000 | USD | 14,258,131 | Citibank, N.A. | 6/20/24 | — | (307,871) |
SGD | 18,000,000 | USD | 13,506,112 | Goldman Sachs International | 6/20/24 | — | (290,076) |
SGD | 19,000,000 | USD | 14,261,374 | Goldman Sachs International | 6/20/24 | — | (311,114) |
SGD | 23,000,000 | USD | 17,256,035 | Goldman Sachs International | 6/20/24 | — | (368,879) |
SGD | 50,599,700 | USD | 38,125,151 | Goldman Sachs International | 6/20/24 | — | (973,626) |
TRY | 498,964,769 | USD | 14,015,937 | Standard Chartered Bank | 6/20/24 | 643,580 | — |
TRY | 470,830,000 | USD | 13,839,097 | Standard Chartered Bank | 6/20/24 | — | (6,176) |
TWD | 381,000,000 | USD | 11,904,783 | Standard Chartered Bank | 6/20/24 | — | (221,429) |
TWD | 485,000,000 | USD | 15,158,171 | Standard Chartered Bank | 6/20/24 | — | (285,661) |
USD | 21,459,033 | AUD | 32,633,000 | BNP Paribas | 6/20/24 | 288,609 | — |
USD | 26,932,521 | AUD | 41,280,000 | HSBC Bank USA, N.A. | 6/20/24 | 152,417 | — |
USD | 21,689,576 | AUD | 32,967,000 | Standard Chartered Bank | 6/20/24 | 302,472 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 21,370,954 | CNH | 153,000,000 | BNP Paribas | 6/20/24 | $ 233,592 | $ — |
USD | 4,469,742 | CNH | 32,000,000 | BNP Paribas | 6/20/24 | 48,856 | — |
USD | 27,451,173 | CNH | 196,000,000 | Citibank, N.A. | 6/20/24 | 373,245 | — |
USD | 25,970,708 | CNH | 185,420,000 | Goldman Sachs International | 6/20/24 | 354,436 | — |
USD | 16,536,841 | CNH | 118,032,000 | Goldman Sachs International | 6/20/24 | 230,402 | — |
USD | 21,787,773 | CNH | 156,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 235,953 | — |
USD | 4,469,287 | CNH | 32,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 48,401 | — |
USD | 37,588,889 | CNH | 269,000,000 | JPMorgan Chase Bank, N.A. | 6/20/24 | 425,815 | — |
USD | 7,825,196 | CNH | 56,000,000 | JPMorgan Chase Bank, N.A. | 6/20/24 | 88,645 | — |
USD | 12,093,456 | CNH | 87,828,000 | Standard Chartered Bank | 6/20/24 | — | (40,219) |
USD | 99,733,480 | CNH | 713,687,700 | UBS AG | 6/20/24 | 1,135,602 | — |
USD | 20,850,931 | CNH | 149,208,196 | UBS AG | 6/20/24 | 237,416 | — |
USD | 3,292,491 | JPY | 485,822,045 | Citibank, N.A. | 6/20/24 | 189,184 | — |
USD | 256,741 | JPY | 37,378,931 | UBS AG | 6/20/24 | 17,974 | — |
USD | 18,568,359 | MXN | 308,840,000 | Goldman Sachs International | 6/20/24 | 677,215 | — |
USD | 16,172,206 | MXN | 274,612,143 | Goldman Sachs International | 6/20/24 | 263,886 | — |
USD | 597,628 | MXN | 10,148,025 | Goldman Sachs International | 6/20/24 | 9,752 | — |
USD | 35,091,125 | MXN | 584,500,000 | Standard Chartered Bank | 6/20/24 | 1,230,959 | — |
USD | 23,517,795 | MYR | 109,560,000 | Barclays Bank PLC | 6/20/24 | 595,805 | — |
USD | 39,295,888 | NZD | 63,559,847 | BNP Paribas | 6/20/24 | 1,843,376 | — |
USD | 4,000,079 | NZD | 6,470,000 | BNP Paribas | 6/20/24 | 187,644 | — |
USD | 12,282,678 | NZD | 20,462,604 | Citibank, N.A. | 6/20/24 | 225,130 | — |
USD | 10,573,961 | NZD | 17,617,396 | Citibank, N.A. | 6/20/24 | 192,946 | — |
USD | 96,785,178 | NZD | 157,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 4,273,244 | — |
USD | 9,863,458 | NZD | 16,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 435,490 | — |
USD | 717,367 | NZD | 1,197,100 | State Street Bank and Trust Company | 6/20/24 | 11,978 | — |
USD | 50,460,249 | THB | 1,779,505,000 | Standard Chartered Bank | 6/20/24 | 2,262,093 | — |
USD | 2,836,600 | THB | 104,190,000 | Standard Chartered Bank | 6/20/24 | 14,598 | — |
USD | 16,164,004 | ZAR | 307,745,665 | Barclays Bank PLC | 6/20/24 | — | (123,728) |
USD | 7,708,866 | ZAR | 146,681,372 | BNP Paribas | 6/20/24 | — | (54,385) |
USD | 10,085,747 | ZAR | 188,790,451 | Goldman Sachs International | 6/20/24 | 93,833 | — |
USD | 10,135,544 | ZAR | 189,822,321 | Goldman Sachs International | 6/20/24 | 89,017 | — |
USD | 49,236,263 | ZAR | 928,034,630 | HSBC Bank USA, N.A. | 6/20/24 | 119,147 | — |
USD | 7,654,704 | ZAR | 145,638,303 | HSBC Bank USA, N.A. | 6/20/24 | — | (53,342) |
USD | 21,568,787 | ZAR | 406,015,152 | JPMorgan Chase Bank, N.A. | 6/20/24 | 80,048 | — |
USD | 12,975,547 | ZAR | 244,668,723 | JPMorgan Chase Bank, N.A. | 6/20/24 | 26,222 | — |
USD | 12,967,381 | ZAR | 244,668,723 | JPMorgan Chase Bank, N.A. | 6/20/24 | 18,057 | — |
USD | 40,570,462 | ZAR | 762,465,000 | UBS AG | 6/20/24 | 216,277 | — |
USD | 15,080,079 | ZAR | 286,468,716 | UBS AG | 6/20/24 | — | (81,551) |
USD | 23,708,739 | ZAR | 453,175,944 | UBS AG | 6/20/24 | — | (276,029) |
ZAR | 10,459,354 | USD | 556,538 | UBS AG | 6/20/24 | — | (2,967) |
NGN | 2,601,891,623 | USD | 3,153,808 | Societe Generale | 6/21/24 | — | (1,287,315) |
TRY | 131,342,227 | USD | 3,885,896 | Standard Chartered Bank | 6/21/24 | — | (31,081) |
USD | 3,740,848 | TRY | 131,342,227 | Standard Chartered Bank | 6/21/24 | — | (113,967) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
NGN | 1,352,433,739 | USD | 1,591,111 | Standard Chartered Bank | 6/24/24 | $ — | $ (621,972) |
KZT | 1,957,500,000 | USD | 3,828,851 | Societe Generale | 6/25/24 | 543,588 | — |
KZT | 217,617,000 | USD | 442,311 | Societe Generale | 6/25/24 | 43,777 | — |
USD | 4,244,131 | KZT | 2,175,117,000 | ICBC Standard Bank plc | 6/25/24 | — | (614,396) |
NGN | 1,393,006,751 | USD | 1,591,111 | Standard Chartered Bank | 6/26/24 | — | (593,613) |
ILS | 100,402,956 | USD | 26,831,362 | Barclays Bank PLC | 7/2/24 | 75,140 | — |
ILS | 100,738,729 | USD | 26,946,296 | Goldman Sachs International | 7/2/24 | 50,187 | — |
USD | 13,704,064 | ILS | 50,572,243 | Bank of America, N.A. | 7/2/24 | 151,453 | — |
USD | 27,344,932 | ILS | 100,738,729 | Barclays Bank PLC | 7/2/24 | 348,448 | — |
USD | 13,502,582 | ILS | 49,830,713 | Goldman Sachs International | 7/2/24 | 148,691 | — |
NGN | 1,313,023,184 | USD | 1,475,319 | Standard Chartered Bank | 7/3/24 | — | (537,445) |
NGN | 1,414,379,737 | USD | 1,571,533 | Societe Generale | 7/8/24 | — | (562,899) |
EGP | 49,210,000 | USD | 994,141 | HSBC Bank USA, N.A. | 7/10/24 | 14,560 | — |
ILS | 113,461,271 | USD | 30,393,312 | Barclays Bank PLC | 7/10/24 | 24,826 | — |
USD | 30,947,356 | ILS | 113,461,271 | Citibank, N.A. | 7/10/24 | 529,219 | — |
USD | 9,048,690 | SAR | 34,000,000 | Standard Chartered Bank | 7/15/24 | — | (11,730) |
PLN | 144,535,181 | EUR | 33,110,591 | Citibank, N.A. | 7/19/24 | 147,927 | — |
PLN | 95,856,308 | EUR | 21,904,506 | UBS AG | 7/19/24 | 156,536 | — |
UZS | 75,753,887,244 | USD | 5,691,502 | ICBC Standard Bank plc | 7/22/24 | 157,766 | — |
UZS | 82,952,605,575 | USD | 6,255,853 | ICBC Standard Bank plc | 7/22/24 | 149,258 | — |
ISK | 2,592,013,830 | EUR | 17,063,949 | Bank of America, N.A. | 8/8/24 | — | (15,983) |
ISK | 2,864,103,680 | EUR | 18,855,192 | Bank of America, N.A. | 8/8/24 | — | (17,661) |
USD | 763,809 | ZMW | 20,852,000 | Citibank, N.A. | 8/26/24 | 27,394 | — |
UZS | 21,633,982,210 | USD | 1,632,507 | ICBC Standard Bank plc | 8/26/24 | 3,724 | — |
ZMW | 20,852,000 | USD | 820,952 | Standard Chartered Bank | 8/26/24 | — | (84,536) |
USD | 36,365,894 | OMR | 14,010,800 | Standard Chartered Bank | 8/29/24 | — | (12,681) |
USD | 26,650,006 | OMR | 10,530,750 | Standard Chartered Bank | 8/29/24 | — | (692,735) |
UZS | 78,826,461,000 | USD | 5,832,517 | ICBC Standard Bank plc | 8/30/24 | 178,574 | — |
UZS | 54,219,745,000 | USD | 4,010,336 | JPMorgan Chase Bank, N.A. | 8/30/24 | 124,314 | — |
USD | 874,322 | AMD | 348,679,825 | Citibank, N.A. | 9/6/24 | — | (11,699) |
EGP | 2,209,540 | USD | 37,757 | Citibank, N.A. | 9/11/24 | 6,637 | — |
USD | 52,039 | EGP | 2,209,540 | Standard Chartered Bank | 9/11/24 | 7,645 | — |
KZT | 3,688,854,849 | USD | 7,073,547 | Citibank, N.A. | 9/16/24 | 1,021,120 | — |
KZT | 2,362,387,916 | USD | 4,527,816 | Citibank, N.A. | 9/16/24 | 656,108 | — |
KZT | 1,846,195,811 | USD | 3,536,774 | Citibank, N.A. | 9/16/24 | 514,440 | — |
KZT | 1,844,427,424 | USD | 3,536,774 | Citibank, N.A. | 9/16/24 | 510,560 | — |
USD | 1,213,868 | AMD | 493,134,000 | Citibank, N.A. | 9/16/24 | — | (37,801) |
USD | 3,536,773 | KZT | 1,808,175,000 | Citibank, N.A. | 9/16/24 | — | (431,010) |
USD | 7,073,549 | KZT | 3,589,826,000 | Citibank, N.A. | 9/16/24 | — | (803,813) |
USD | 8,488,256 | KZT | 4,343,865,000 | Citibank, N.A. | 9/16/24 | — | (1,043,737) |
EGP | 322,370,319 | USD | 6,947,636 | HSBC Bank USA, N.A. | 9/17/24 | — | (482,172) |
EGP | 184,573,681 | USD | 3,770,657 | ICBC Standard Bank plc | 9/17/24 | — | (68,845) |
USD | 12,532,608 | EGP | 506,944,000 | Citibank, N.A. | 9/17/24 | 2,365,331 | — |
KZT | 1,835,586,000 | USD | 3,649,276 | Citibank, N.A. | 9/19/24 | 375,887 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 3,536,775 | KZT | 1,835,586,000 | Citibank, N.A. | 9/19/24 | $ — | $ (488,388) |
TRY | 75,337,746 | USD | 2,070,930 | Standard Chartered Bank | 9/20/24 | — | (71,857) |
TRY | 75,337,748 | USD | 2,071,636 | Standard Chartered Bank | 9/20/24 | — | (72,564) |
TRY | 188,013,000 | USD | 5,127,202 | Standard Chartered Bank | 9/20/24 | — | (138,314) |
TRY | 651,103,833 | USD | 17,777,187 | Standard Chartered Bank | 9/20/24 | — | (500,276) |
USD | 16,999,396 | TRY | 651,103,833 | Standard Chartered Bank | 9/20/24 | — | (277,515) |
TRY | 552,643,974 | USD | 14,015,825 | Standard Chartered Bank | 9/23/24 | 598,957 | — |
TRY | 517,381,190 | USD | 13,212,087 | Standard Chartered Bank | 9/23/24 | 470,163 | — |
TRY | 176,998,064 | USD | 4,766,379 | Standard Chartered Bank | 9/23/24 | — | (85,629) |
USD | 4,616,140 | TRY | 176,998,064 | Standard Chartered Bank | 9/23/24 | — | (64,610) |
KZT | 1,877,496,000 | USD | 3,732,596 | Societe Generale | 9/30/24 | 374,117 | — |
USD | 3,603,639 | KZT | 1,877,496,000 | Bank of America, N.A. | 9/30/24 | — | (503,074) |
UZS | 37,010,823,256 | USD | 2,756,858 | JPMorgan Chase Bank, N.A. | 10/4/24 | 34,444 | — |
TRY | 149,730,527 | USD | 3,709,768 | Standard Chartered Bank | 10/17/24 | 145,736 | — |
TRY | 149,629,425 | USD | 3,709,237 | Standard Chartered Bank | 10/17/24 | 143,663 | — |
PLN | 102,314,069 | EUR | 23,284,950 | Bank of America, N.A. | 10/21/24 | 124,871 | — |
UZS | 20,105,998,239 | USD | 1,478,382 | JPMorgan Chase Bank, N.A. | 10/22/24 | 30,397 | — |
UZS | 20,179,917,352 | USD | 1,478,382 | JPMorgan Chase Bank, N.A. | 10/24/24 | 34,998 | — |
UZS | 66,799,282,000 | USD | 4,916,411 | ICBC Standard Bank plc | 11/15/24 | 58,955 | — |
EGP | 75,991,538 | USD | 1,468,436 | HSBC Bank USA, N.A. | 11/27/24 | 22,371 | — |
USD | 940,538 | ZMW | 26,241,000 | Citibank, N.A. | 11/29/24 | 40,146 | — |
ZMW | 26,241,000 | USD | 1,017,101 | Standard Chartered Bank | 11/29/24 | — | (116,709) |
USD | 13,644,426 | HKD | 106,000,000 | BNP Paribas | 12/9/24 | 23,360 | — |
USD | 37,448,989 | HKD | 290,900,000 | Deutsche Bank AG | 12/9/24 | 68,158 | — |
TRY | 810,105,292 | USD | 20,812,120 | Standard Chartered Bank | 12/16/24 | — | (1,208,994) |
TRY | 222,407,816 | USD | 5,330,964 | Standard Chartered Bank | 12/18/24 | 40,247 | — |
USD | 3,172,432 | KES | 466,347,541 | Standard Chartered Bank | 12/18/24 | — | (161,285) |
EGP | 429,234,287 | USD | 8,215,010 | Goldman Sachs International | 12/26/24 | 123,649 | — |
EGP | 992,980,000 | USD | 18,968,099 | Goldman Sachs International | 12/31/24 | 289,984 | — |
EGP | 340,478,000 | USD | 6,630,536 | HSBC Bank USA, N.A. | 1/2/25 | — | (31,655) |
TRY | 584,426,780 | USD | 13,824,517 | Standard Chartered Bank | 1/6/25 | 28,680 | — |
TRY | 276,896,900 | USD | 6,550,337 | Standard Chartered Bank | 1/6/25 | 13,201 | — |
TRY | 197,106,600 | USD | 4,659,096 | Standard Chartered Bank | 1/6/25 | 13,100 | — |
TRY | 207,660,500 | USD | 4,912,716 | Standard Chartered Bank | 1/6/25 | 9,649 | — |
UZS | 50,108,154,000 | USD | 3,579,154 | JPMorgan Chase Bank, N.A. | 1/6/25 | 92,669 | — |
EGP | 172,186,615 | USD | 3,286,004 | Standard Chartered Bank | 1/15/25 | 36,698 | — |
TRY | 274,200,000 | USD | 6,384,219 | Standard Chartered Bank | 1/15/25 | 58,981 | — |
UZS | 54,430,517,000 | USD | 3,868,551 | ICBC Standard Bank plc | 1/23/25 | 207,215 | — |
UZS | 45,422,117,948 | USD | 3,250,241 | ICBC Standard Bank plc | 1/23/25 | 150,975 | — |
TRY | 204,065,622 | USD | 4,650,682 | Standard Chartered Bank | 1/29/25 | 80,611 | — |
TRY | 275,637,775 | USD | 6,349,345 | Standard Chartered Bank | 1/29/25 | 41,358 | — |
TRY | 205,726,000 | USD | 4,736,885 | Standard Chartered Bank | 1/29/25 | 32,904 | — |
UZS | 11,980,321,831 | USD | 865,630 | JPMorgan Chase Bank, N.A. | 1/29/25 | 6,384 | — |
TRY | 348,446,365 | USD | 8,051,043 | Standard Chartered Bank | 2/10/25 | — | (57,288) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
UZS | 54,159,721,000 | USD | 3,868,552 | ICBC Standard Bank plc | 2/10/25 | $ 59,861 | $ — |
EGP | 523,539,906 | USD | 8,696,676 | Citibank, N.A. | 2/13/25 | 1,303,750 | — |
UZS | 49,482,178,280 | USD | 3,521,863 | JPMorgan Chase Bank, N.A. | 2/13/25 | 64,147 | — |
UZS | 63,552,436,124 | USD | 4,520,088 | JPMorgan Chase Bank, N.A. | 2/18/25 | 78,939 | — |
EGP | 175,382,970 | USD | 2,898,892 | Citibank, N.A. | 2/20/25 | 442,182 | — |
EGP | 107,664,850 | USD | 1,739,335 | Citibank, N.A. | 2/20/25 | 311,698 | — |
EGP | 90,590,377 | USD | 1,449,446 | Citibank, N.A. | 2/20/25 | 276,315 | — |
NGN | 5,359,349,909 | USD | 2,912,690 | Standard Chartered Bank | 2/24/25 | 577,868 | — |
NGN | 2,716,083,583 | USD | 1,456,345 | Standard Chartered Bank | 2/24/25 | 312,647 | — |
NGN | 4,159,580,543 | USD | 2,514,861 | JPMorgan Chase Bank, N.A. | 2/25/25 | 193,412 | — |
EGP | 43,308,143 | USD | 801,261 | Goldman Sachs International | 2/26/25 | 21,868 | — |
EGP | 94,648,825 | USD | 1,449,446 | Citibank, N.A. | 2/27/25 | 348,791 | — |
EGP | 81,498,172 | USD | 1,468,436 | HSBC Bank USA, N.A. | 2/27/25 | 79,952 | — |
UZS | 64,418,704,293 | USD | 4,576,817 | ICBC Standard Bank plc | 2/28/25 | 71,443 | — |
UZS | 22,806,122,207 | USD | 1,632,507 | ICBC Standard Bank plc | 3/5/25 | 10,743 | — |
UZS | 21,100,777,180 | USD | 1,495,979 | JPMorgan Chase Bank, N.A. | 3/17/25 | 19,156 | — |
UZS | 19,658,896,895 | USD | 1,393,260 | JPMorgan Chase Bank, N.A. | 3/20/25 | 17,126 | — |
USD | 3,172,432 | KES | 475,864,837 | Standard Chartered Bank | 3/21/25 | — | (167,394) |
EGP | 2,859,077,953 | USD | 52,346,808 | Goldman Sachs International | 3/25/25 | 1,436,904 | — |
EGP | 357,517,247 | USD | 6,572,008 | Goldman Sachs International | 3/26/25 | 150,897 | — |
EGP | 1,034,713,000 | USD | 18,968,158 | Bank of America, N.A. | 3/27/25 | 481,642 | — |
EGP | 53,780,069 | USD | 1,004,867 | Standard Chartered Bank | 4/3/25 | 3,376 | — |
USD | 4,758,696 | KES | 693,580,000 | Standard Chartered Bank | 4/4/25 | — | (95,641) |
UZS | 19,573,694,237 | USD | 1,378,429 | JPMorgan Chase Bank, N.A. | 4/4/25 | 9,513 | — |
UZS | 9,422,051,685 | USD | 665,869 | JPMorgan Chase Bank, N.A. | 4/4/25 | 2,235 | — |
EGP | 507,174,446 | USD | 9,444,589 | Goldman Sachs International | 4/8/25 | 45,724 | — |
TRY | 261,370,000 | USD | 5,694,381 | Standard Chartered Bank | 4/8/25 | 30,562 | — |
TRY | 234,960,000 | USD | 5,124,578 | Standard Chartered Bank | 4/8/25 | 21,891 | — |
USD | 2,774,809 | KES | 405,122,112 | Standard Chartered Bank | 4/9/25 | — | (57,816) |
UZS | 17,433,106,209 | USD | 1,217,396 | Standard Chartered Bank | 4/15/25 | 18,761 | — |
USD | 2,774,809 | KES | 404,705,891 | Standard Chartered Bank | 4/16/25 | 133,777 | — |
UZS | 100,794,050,000 | USD | 7,075,749 | ICBC Standard Bank plc | 4/17/25 | 97,862 | — |
USD | 1,131,469 | KES | 174,812,031 | Standard Chartered Bank | 5/5/25 | — | (84,561) |
USD | 1,131,469 | KES | 174,812,032 | Standard Chartered Bank | 5/5/25 | — | (84,561) |
USD | 7,657,092 | BHD | 2,927,000 | Standard Chartered Bank | 6/13/25 | — | (75,317) |
USD | 35,111,769 | BHD | 13,422,878 | Standard Chartered Bank | 6/18/25 | — | (346,511) |
USD | 11,380,379 | SAR | 42,945,000 | Standard Chartered Bank | 6/18/25 | — | (39,469) |
UZS | 53,922,250,000 | USD | 3,359,642 | Standard Chartered Bank | 3/25/26 | 65,185 | — |
$45,227,924 | $(33,437,732) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
Nikkei 225 Index | 174 | Long | 6/13/24 | $ 33,225,300 | $ (1,209,534) |
Euro Stoxx 50 Index | (891) | Short | 6/21/24 | (46,373,562) | (30,891) |
IFSC Nifty 50 Index | (468) | Short | 5/30/24 | (21,243,454) | (146,632) |
S&P/TSX 60 Index | (146) | Short | 6/20/24 | (27,690,844) | 326,387 |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 398 | Long | 6/28/24 | 41,687,391 | (632,229) |
Euro-Bobl | (567) | Short | 6/6/24 | (70,452,109) | 937,474 |
Euro-BTP | (544) | Short | 6/6/24 | (67,919,375) | 1,522,991 |
Euro-Bund | (1,534) | Short | 6/6/24 | (212,952,101) | 4,319,831 |
Euro-Buxl | (68) | Short | 6/6/24 | (9,355,678) | 311,664 |
Euro-Schatz | (163) | Short | 6/6/24 | (18,284,272) | 97,817 |
Japan 10-Year Bond | (133) | Short | 6/13/24 | (121,855,879) | 880,342 |
U.S. 2-Year Treasury Note | (7) | Short | 6/28/24 | (1,418,594) | 13,607 |
U.S. 10-Year Treasury Note | (799) | Short | 6/18/24 | (85,842,563) | 263,739 |
U.S. Long Treasury Bond | (271) | Short | 6/18/24 | (30,843,188) | 178,093 |
U.S. Ultra 10-Year Treasury Note | (148) | Short | 6/18/24 | (16,312,375) | 432,754 |
U.S. Ultra-Long Treasury Bond | (530) | Short | 6/18/24 | (63,368,125) | 3,206,709 |
$10,472,122 |
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 | 11,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | $ 1,383,078 |
EUR | 10,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 1,371,909 |
EUR | 10,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 1,371,909 |
EUR | 11,410 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 1,533,736 |
EUR | 10,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,653,717) |
EUR | 10,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,657,832) |
EUR | 11,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,668,888) |
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 | 11,410 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | $ (1,949,385) |
EUR | 4,350 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.10% (pays upon termination) | 3/12/50 | (2,075,317) |
EUR | 7,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | 138,350 |
USD | 9,489 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.44% (pays upon termination) | 1/13/33 | 173,587 |
USD | 4,900 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.60% (pays upon termination) | 4/3/33 | 35,530 |
USD | 10,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.61% (pays upon termination) | 4/3/33 | 63,038 |
USD | 6,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.53% (pays upon termination) | 11/21/33 | 46,511 |
USD | 51,550 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (2,163,973) |
USD | 18,160 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (773,369) |
USD | 34,300 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 1,379,194 |
USD | 17,300 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 689,231 |
USD | 18,140 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 860,580 |
USD | 5,824 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.42% (pays upon termination) | 6/8/48 | 525,616 |
USD | 10,710 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | 399,879 |
$ (1,970,333) |
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 | 230,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.34% (pays upon termination) | 7/1/25 | $ (54,569) | $ — | $ (54,569) |
BRL | 345,800 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.43% (pays upon termination) | 7/1/25 | (14,518) | — | (14,518) |
BRL | 483,000 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 7/1/25 | 72,935 | — | 72,935 |
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 | 163,800 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.56% (pays upon termination) | 7/1/25 | $ 39,974 | $ — | $ 39,974 |
BRL | 79,100 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.60% (pays upon termination) | 7/1/25 | 25,606 | — | 25,606 |
BRL | 901,620 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.96% (pays upon termination) | 1/2/26 | (1,866,061) | — | (1,866,061) |
BRL | 1,007,688 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.98% (pays upon termination) | 1/2/26 | (1,999,443) | — | (1,999,443) |
CLP | 40,832,380 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.77% (pays semi-annually) | 6/6/33 | 886,029 | 12,225 | 898,254 |
CLP | 13,713,620 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.65% (pays semi-annually) | 6/14/33 | 361,414 | — | 361,414 |
CLP | 11,010,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.00% (pays semi-annually) | 6/22/33 | 375,472 | — | 375,472 |
CLP | 12,557,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.20% (pays semi-annually) | 6/22/33 | 223,740 | — | 223,740 |
CLP | 6,085,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.22% (pays semi-annually) | 12/20/33 | 114,026 | — | 114,026 |
CLP | 15,037,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.94% (pays semi-annually) | 6/21/34 | 495,279 | — | 495,279 |
CLP | 10,270,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.94% (pays semi-annually) | 6/21/34 | 334,134 | — | 334,134 |
CLP | 4,971,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.06% (pays semi-annually) | 6/21/34 | 115,731 | — | 115,731 |
CLP | 12,325,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.07% (pays semi-annually) | 6/21/34 | 272,064 | — | 272,064 |
CLP | 6,705,037 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.08% (pays semi-annually) | 6/21/34 | 142,613 | — | 142,613 |
CLP | 12,326,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.09% (pays semi-annually) | 6/21/34 | 252,250 | — | 252,250 |
CLP | 6,161,963 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.12% (pays semi-annually) | 6/21/34 | 111,229 | — | 111,229 |
COP | 86,746,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.84% (pays quarterly) | 5/5/25 | 1,658,935 | — | 1,658,935 |
COP | 40,662,300 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.19% (pays quarterly) | 6/4/25 | (825,119) | — | (825,119) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
COP | 61,940,900 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.26% (pays quarterly) | 6/5/25 | $ (1,242,865) | $ — | $ (1,242,865) |
COP | 85,106,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.34% (pays quarterly) | 6/8/25 | (1,678,188) | — | (1,678,188) |
COP | 41,729,700 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.44% (pays quarterly) | 6/9/25 | (803,480) | — | (803,480) |
COP | 6,351,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.02% (pays quarterly) | 11/26/25 | 141,665 | — | 141,665 |
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.07% (pays quarterly) | 11/26/25 | 647,307 | — | 647,307 |
COP | 20,326,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.11% (pays quarterly) | 11/26/25 | 445,795 | — | 445,795 |
COP | 6,192,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.21% (pays quarterly) | 11/26/25 | 133,230 | — | 133,230 |
COP | 15,771,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 330,235 | — | 330,235 |
COP | 27,035,200 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (415,944) | — | (415,944) |
COP | 35,344,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.06% (pays quarterly) | 11/26/25 | 397,318 | — | 397,318 |
COP | 7,565,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.17% (pays quarterly) | 11/26/25 | (24,796) | (64) | (24,860) |
COP | 14,525,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.28% (pays quarterly) | 11/26/25 | (54,249) | — | (54,249) |
CZK | 569,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.18% (pays annually) | 9/20/28 | 442,212 | — | 442,212 |
CZK | 155,489 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | (17,120) | — | (17,120) |
CZK | 310,979 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (18,649) | — | (18,649) |
CZK | 467,532 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (15,813) | — | (15,813) |
CZK | 753,484 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.12% (pays annually) | 12/20/33 | (573,605) | — | (573,605) |
CZK | 642,816 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.15% (pays annually) | 12/20/33 | (403,938) | — | (403,938) |
CZK | 225,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.31% (pays annually) | 12/20/33 | (19,799) | — | (19,799) |
CZK | 340,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.41% (pays annually) | 3/20/34 | (976,809) | — | (976,809) |
CZK | 680,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.43% (pays annually) | 3/20/34 | (1,916,679) | — | (1,916,679) |
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 | 340,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.45% (pays annually) | 3/20/34 | $ (924,368) | $ — | $ (924,368) |
CZK | 340,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.47% (pays annually) | 3/20/34 | (910,136) | — | (910,136) |
CZK | 824,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.08% (pays annually) | 6/19/34 | (261,693) | — | (261,693) |
CZK | 311,610 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.11% (pays annually) | 6/19/34 | (68,693) | — | (68,693) |
CZK | 311,610 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.12% (pays annually) | 6/19/34 | (57,882) | — | (57,882) |
CZK | 576,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.20% (pays annually) | 6/19/34 | 52,951 | — | 52,951 |
CZK | 357,180 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.27% (pays annually) | 6/19/34 | 122,632 | — | 122,632 |
EUR | 2,800 | Receives | 1-day Euro Short-Term Rate (pays annually) | 2.60% (pays annually) | 1/24/28 | 40,855 | (45) | 40,810 |
EUR | 5,444 | Pays | 6-month EURIBOR (pays semi-annually) | 3.03% (pays annually) | 10/10/29 | 108,125 | — | 108,125 |
EUR | 1,800 | Pays | 6-month EURIBOR (pays semi-annually) | 3.17% (pays annually) | 10/17/29 | 51,762 | — | 51,762 |
EUR | 2,719 | Pays | 6-month EURIBOR (pays semi-annually) | 3.01% (pays annually) | 10/27/29 | 52,908 | — | 52,908 |
EUR | 600 | Pays | 6-month EURIBOR (pays semi-annually) | 3.26% (pays annually) | 10/17/32 | 28,752 | — | 28,752 |
EUR | 1,200 | Pays | 6-month EURIBOR (pays semi-annually) | 3.31% (pays annually) | 10/18/32 | 63,060 | — | 63,060 |
EUR | 1,200 | Pays | 6-month EURIBOR (pays semi-annually) | 3.20% (pays annually) | 10/19/32 | 51,994 | — | 51,994 |
EUR | 2,700 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.83% (pays annually) | 3/17/52 | 1,013,558 | (1,497) | 1,012,061 |
EUR | 2,702 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.86% (pays annually) | 3/18/52 | 995,702 | 643 | 996,345 |
EUR | 3,019 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.87% (pays annually) | 3/18/52 | 1,103,950 | (106) | 1,103,844 |
EUR | 970 | Receives | 1-day Euro Short-Term Rate (pays annually) | 1.29% (pays annually) | 4/20/52 | 267,158 | 33 | 267,191 |
GBP | 15,312 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.56% (pays annually) | 10/2/28 | 112,369 | — | 112,369 |
GBP | 12,044 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 3.61% (pays annually) | 12/20/28 | (509,820) | — | (509,820) |
GBP | 12,044 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 3.64% (pays annually) | 12/20/28 | (489,693) | — | (489,693) |
GBP | 12,044 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 3.69% (pays annually) | 12/20/28 | (455,715) | — | (455,715) |
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) | |
GBP | 12,269 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 3.72% (pays annually) | 12/20/28 | $ (447,124) | $ — | $ (447,124) |
GBP | 15,232 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.27% (pays annually) | 12/20/28 | (80,679) | — | (80,679) |
GBP | 15,218 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.28% (pays annually) | 12/20/28 | (72,101) | — | (72,101) |
GBP | 30,192 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.39% (pays annually) | 12/20/28 | 42,999 | — | 42,999 |
GBP | 15,096 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.59% (pays annually) | 12/20/28 | 187,643 | — | 187,643 |
GBP | 17,726 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 3.73% (pays annually) | 3/20/29 | (543,945) | — | (543,945) |
GBP | 17,726 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 3.76% (pays annually) | 3/20/29 | (519,465) | — | (519,465) |
GBP | 17,933 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 3.76% (pays annually) | 3/20/29 | (524,051) | — | (524,051) |
GBP | 17,726 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 3.77% (pays annually) | 3/20/29 | (507,713) | — | (507,713) |
GBP | 17,799 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 3.83% (pays annually) | 3/20/29 | (450,342) | — | (450,342) |
HUF | 4,990,512 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.92% (pays annually) | 6/19/29 | 16,823 | — | 16,823 |
HUF | 3,342,301 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.94% (pays annually) | 6/19/29 | 16,826 | — | 16,826 |
HUF | 5,032,188 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.94% (pays annually) | 6/19/29 | 28,122 | — | 28,122 |
HUF | 3,776,964 | Pays | 6-month HUF BUBOR (pays semi-annually) | 7.90% (pays annually) | 4/27/33 | 605,673 | — | 605,673 |
HUF | 5,920,391 | Pays | 6-month HUF BUBOR (pays semi-annually) | 8.08% (pays annually) | 5/25/33 | 1,618,265 | — | 1,618,265 |
HUF | 1,888,482 | Pays | 6-month HUF BUBOR (pays semi-annually) | 7.88% (pays annually) | 6/5/33 | 438,614 | — | 438,614 |
HUF | 7,257,534 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.74% (pays annually) | 6/19/34 | (368,879) | — | (368,879) |
HUF | 1,441,968 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.76% (pays annually) | 6/19/34 | (68,165) | — | (68,165) |
HUF | 19,475,497 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.78% (pays annually) | 6/19/34 | (845,468) | — | (845,468) |
HUF | 2,254,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.84% (pays annually) | 6/19/34 | (72,363) | — | (72,363) |
HUF | 6,810,948 | Pays | 6-month HUF BUBOR (pays semi-annually) | 6.99% (pays annually) | 6/19/34 | (27,286) | — | (27,286) |
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 | 14,714,051 | Pays | 6-month HUF BUBOR (pays semi-annually) | 7.03% (pays annually) | 6/19/34 | $ 66,867 | $ — | $ 66,867 |
INR | 4,859,300 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.53% (pays semi-annually) | 9/18/26 | (72,852) | — | (72,852) |
INR | 4,860,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.55% (pays semi-annually) | 9/18/26 | (53,087) | — | (53,087) |
INR | 2,429,400 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.57% (pays semi-annually) | 9/18/26 | (18,213) | — | (18,213) |
INR | 2,429,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.59% (pays semi-annually) | 9/18/26 | (7,025) | — | (7,025) |
INR | 2,430,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.61% (pays semi-annually) | 9/18/26 | 2,079 | — | 2,079 |
INR | 2,430,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.61% (pays semi-annually) | 9/18/26 | 4,680 | — | 4,680 |
INR | 1,804,100 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.62% (pays semi-annually) | 9/18/26 | 5,408 | — | 5,408 |
INR | 2,429,400 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.64% (pays semi-annually) | 9/18/26 | 21,328 | — | 21,328 |
INR | 2,429,400 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.66% (pays semi-annually) | 9/18/26 | 30,695 | — | 30,695 |
INR | 2,520,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.31% (pays semi-annually) | 3/20/29 | (375,420) | — | (375,420) |
INR | 7,000,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.31% (pays semi-annually) | 3/20/29 | (1,042,480) | — | (1,042,480) |
INR | 5,960,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.31% (pays semi-annually) | 3/20/29 | (886,404) | — | (886,404) |
INR | 1,134,200 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.57% (pays semi-annually) | 6/19/29 | (13,443) | — | (13,443) |
JPY | 6,104,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.31% (pays annually) | 12/1/27 | 181,624 | — | 181,624 |
JPY | 559,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.32% (pays annually) | 12/1/27 | 15,726 | — | 15,726 |
JPY | 5,588,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.32% (pays annually) | 12/1/27 | 157,205 | — | 157,205 |
JPY | 3,184,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.41% (pays annually) | 9/20/28 | 56,581 | — | 56,581 |
JPY | 6,296,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.57% (pays annually) | 6/19/29 | 73,613 | — | 73,613 |
JPY | 45,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 1,357 | — | 1,357 |
JPY | 57,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 1,683 | — | 1,683 |
JPY | 36,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.81% (pays annually) | 9/20/33 | 949 | — | 949 |
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 | 6,992,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.82% (pays annually) | 9/20/33 | $ 130,666 | $ — | $ 130,666 |
JPY | 2,841,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.86% (pays annually) | 9/20/33 | (28,124) | — | (28,124) |
JPY | 3,117,900 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.99% (pays annually) | 12/20/33 | (197,522) | (123) | (197,645) |
JPY | 2,031,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.07% (pays annually) | 12/20/33 | (224,195) | — | (224,195) |
JPY | 3,335,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.95% (pays annually) | 3/21/34 | (24,274) | (15) | (24,289) |
JPY | 2,826,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.55% (pays annually) | 6/19/54 | 502,599 | — | 502,599 |
KRW | 4,881,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.29% (pays quarterly) | 9/20/33 | (70,254) | — | (70,254) |
KRW | 3,543,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (47,808) | — | (47,808) |
KRW | 887,765 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (11,713) | — | (11,713) |
KRW | 4,723,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 9/20/33 | (56,082) | — | (56,082) |
KRW | 4,723,600 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.34% (pays quarterly) | 9/20/33 | (53,823) | — | (53,823) |
KRW | 7,533,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 9/20/33 | (57,597) | — | (57,597) |
KRW | 7,690,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.52% (pays quarterly) | 9/20/33 | (5,758) | — | (5,758) |
KRW | 7,156,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | 11,166 | — | 11,166 |
KRW | 7,250,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.59% (pays quarterly) | 9/20/33 | 26,096 | — | 26,096 |
MXN | 2,363,270 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.88% (pays monthly) | 1/6/25 | (182,850) | — | (182,850) |
MXN | 6,487,980 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.82% (pays monthly) | 1/7/25 | (647,693) | — | (647,693) |
MXN | 5,724,050 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.80% (pays monthly) | 1/8/25 | (737,635) | — | (737,635) |
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 | 449,560 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 12/1/33 | $ (1,477,075) | $ — | $ (1,477,075) |
MXN | 432,300 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.77% (pays monthly) | 12/1/33 | (1,322,928) | — | (1,322,928) |
MXN | 267,690 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.43% (pays monthly) | 12/2/33 | (1,160,089) | — | (1,160,089) |
MXN | 276,650 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.49% (pays monthly) | 12/2/33 | (1,141,775) | — | (1,141,775) |
TWD | 339,300 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.26% (pays quarterly) | 3/20/29 | 304,980 | — | 304,980 |
TWD | 451,200 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.27% (pays quarterly) | 3/20/29 | 395,567 | — | 395,567 |
TWD | 458,400 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.32% (pays quarterly) | 3/20/29 | 368,029 | — | 368,029 |
TWD | 1,079,800 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.33% (pays quarterly) | 3/20/29 | 846,989 | — | 846,989 |
TWD | 372,000 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.35% (pays quarterly) | 3/20/29 | 282,181 | — | 282,181 |
TWD | 1,486,900 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.36% (pays quarterly) | 3/20/29 | 1,105,928 | — | 1,105,928 |
TWD | 451,200 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.37% (pays quarterly) | 3/20/29 | 328,931 | — | 328,931 |
TWD | 451,200 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.38% (pays quarterly) | 3/20/29 | 325,599 | — | 325,599 |
TWD | 2,187,400 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.64% (pays quarterly) | 6/19/29 | 818,693 | — | 818,693 |
TWD | 829,000 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.95% (pays quarterly) | 6/19/29 | (76,935) | — | (76,935) |
USD | 5,458 | Pays | SOFR (pays annually) | 1.60% (pays semi-annually) | 3/10/27 | (484,274) | (3,174) | (487,448) |
USD | 5,970 | Receives | SOFR (pays annually) | 1.60% (pays semi-annually) | 3/10/27 | 529,702 | 3,681 | 533,383 |
USD | 55,000 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (1,705,897) | — | (1,705,897) |
USD | 55,000 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (1,703,376) | — | (1,703,376) |
USD | 11,800 | Pays | SOFR (pays annually) | 4.05% (pays annually) | 9/20/28 | (322,984) | — | (322,984) |
USD | 11,800 | Pays | SOFR (pays annually) | 4.06% (pays annually) | 9/20/28 | (321,642) | — | (321,642) |
USD | 1,908 | Receives | SOFR (pays annually) | 1.94% (pays annually) | 3/17/32 | 312,208 | 87 | 312,295 |
USD | 10,205 | Pays | SOFR (pays annually) | 3.23% (pays semi-annually) | 1/13/33 | (848,061) | — | (848,061) |
USD | 4,900 | Pays | SOFR (pays annually) | 3.27% (pays annually) | 4/3/33 | (390,873) | — | (390,873) |
USD | 10,000 | Pays | SOFR (pays annually) | 3.28% (pays annually) | 4/3/33 | (789,572) | — | (789,572) |
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) | |
USD | 32,400 | Pays | SOFR (pays annually) | 3.76% (pays annually) | 9/20/33 | $ (404,300) | $ — | $ (404,300) |
USD | 6,000 | Pays | SOFR (pays annually) | 4.11% (pays annually) | 11/21/33 | (132,142) | — | (132,142) |
Total | $(16,274,337) | $11,645 | $(16,262,692) |
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 | 86,300 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.63% (pays quarterly) | 3/20/29 | $ 138,011 |
JPMorgan Chase Bank, N.A. | MYR | 146,000 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.65% (pays quarterly) | 3/20/29 | 209,410 |
Standard Chartered Bank | MYR | 195,000 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.64% (pays quarterly) | 3/20/29 | 285,365 |
Total | $632,786 |
Credit Default Swaps - Sell Protection (Centrally Cleared) | |||||||
Reference Entity | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Egypt | $ 8,778 | 1.00% (pays quarterly)(1) | 6.31% | 12/20/28 | $ (1,637,671) | $ 2,476,055 | $ 838,384 |
Panama | 34,641 | 1.00% (pays quarterly)(1) | 1.80 | 6/20/29 | (1,332,295) | 1,319,866 | (12,429) |
Total | $43,419 | $(2,969,966) | $3,795,921 | $825,955 |
Credit Default Swaps - Buy Protection (Centrally Cleared) | |||||||
Reference Entity | Notional Amount (000's omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
Austria | $12,213 | 1.00% (pays quarterly)(1) | 6/20/29 | $ (482,617) | $ 471,932 | $ (10,685) | |
Finland | 18,801 | 0.25% (pays quarterly)(1) | 6/20/29 | (40,134) | 21,696 | (18,438) | |
France | 60,573 | 0.25% (pays quarterly)(1) | 6/20/29 | (25,057) | (13,962) | (39,019) |
Credit Default Swaps - Buy Protection (Centrally Cleared) (continued) | |||||||
Reference Entity | Notional Amount (000's omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
Germany | $ 85,444 | 0.25% (pays quarterly)(1) | 6/20/29 | $ (606,880) | $ 495,110 | $ (111,770) | |
Hungary | 13,438 | 1.00% (pays quarterly)(1) | 6/20/29 | 138,725 | (238,916) | (100,191) | |
Malaysia | 383,450 | 1.00% (pays quarterly)(1) | 6/20/29 | (9,588,682) | 10,044,203 | 455,521 | |
Markit CDX Emerging Markets Index (CDX.EM.31.V3) | 860 | 1.00% (pays quarterly)(1) | 6/20/24 | (1,946) | (3,614) | (5,560) | |
Markit CDX Emerging Markets Index (CDX.EM.IG.41.V1) | 357,000 | 1.00% (pays quarterly)(1) | 6/20/29 | (4,326,748) | 4,966,775 | 640,027 | |
Philippines | 147,000 | 1.00% (pays quarterly)(1) | 6/20/29 | (2,351,211) | 2,145,308 | (205,903) | |
Poland | 61,949 | 1.00% (pays quarterly)(1) | 6/20/29 | (831,782) | 771,505 | (60,277) | |
Qatar | 20,242 | 1.00% (pays quarterly)(1) | 6/20/29 | (541,062) | 558,360 | 17,298 | |
Romania | 13,120 | 1.00% (pays quarterly)(1) | 6/20/29 | 290,363 | (364,568) | (74,205) | |
Saudi Arabia | 132,151 | 1.00% (pays quarterly)(1) | 6/20/29 | (2,906,353) | 2,819,873 | (86,480) | |
South Africa | 579,860 | 1.00% (pays quarterly)(1) | 6/20/29 | 34,324,659 | (38,880,819) | (4,556,160) | |
South Africa | 9,464 | 1.00% (pays quarterly)(1) | 6/20/31 | 1,041,791 | (1,030,040) | 11,751 | |
Sweden | 41,185 | 0.25% (pays quarterly)(1) | 6/20/29 | (224,856) | 181,142 | (43,714) | |
Turkey | 137,050 | 1.00% (pays quarterly)(1) | 6/20/29 | 11,111,835 | (12,853,376) | (1,741,541) | |
United Kingdom | 59,267 | 1.00% (pays quarterly)(1) | 6/20/29 | (2,050,263) | 1,894,891 | (155,372) | |
Total | $22,929,782 | $ (29,014,500) | $ (6,084,718) |
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) |
Benin | Barclays Bank PLC | $ 1,100 | 1.00% (pays quarterly)(1) | 2.40% | 6/20/27 | $ (42,160) | $ 95,250 | $ 53,090 |
Benin | Barclays Bank PLC | 1,100 | 1.00% (pays quarterly)(1) | 2.40 | 6/20/27 | (42,160) | 93,135 | 50,975 |
Indonesia | Barclays Bank PLC | 45,000 | 1.00% (pays quarterly)(1) | 0.76 | 6/20/29 | 538,443 | (464,393) | 74,050 |
Indonesia | BNP Paribas | 22,000 | 1.00% (pays quarterly)(1) | 0.76 | 6/20/29 | 263,524 | (234,656) | 28,868 |
Indonesia | Deutsche Bank AG | 23,000 | 1.00% (pays quarterly)(1) | 0.76 | 6/20/29 | 275,502 | (226,559) | 48,943 |
Credit Default Swaps - Sell Protection (OTC) (continued) | ||||||||
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) |
Indonesia | Goldman Sachs International | $ 19,000 | 1.00% (pays quarterly)(1) | 0.76% | 6/20/29 | $ 227,589 | $ (187,157) | $ 40,432 |
Indonesia | JPMorgan Chase Bank, N.A. | 18,000 | 1.00% (pays quarterly)(1) | 0.76 | 6/20/29 | 180,224 | (181,374) | (1,150) |
Ivory Coast | Barclays Bank PLC | 18,000 | 1.00% (pays quarterly)(1) | 1.86 | 6/20/25 | (150,386) | 305,765 | 155,379 |
Ivory Coast | Barclays Bank PLC | 6,486 | 1.00% (pays quarterly)(1) | 3.03 | 6/20/27 | (358,971) | 527,747 | 168,776 |
Ivory Coast | Deutsche Bank AG | 15,100 | 1.00% (pays quarterly)(1) | 2.99 | 6/20/27 | (819,336) | 1,230,627 | 411,291 |
Ivory Coast | Deutsche Bank AG | 16,821 | 1.00% (pays quarterly)(1) | 2.99 | 6/20/27 | (912,721) | 1,369,260 | 456,539 |
Panama | Bank of America, N.A. | 3,560 | 1.00% (pays quarterly)(1) | 1.80 | 6/20/29 | (122,077) | 133,858 | 11,781 |
Panama | Bank of America, N.A. | 3,660 | 1.00% (pays quarterly)(1) | 1.80 | 6/20/29 | (125,506) | 116,021 | (9,485) |
Panama | Barclays Bank PLC | 6,927 | 1.00% (pays quarterly)(1) | 1.80 | 6/20/29 | (237,536) | 230,585 | (6,951) |
Panama | Citibank, N.A. | 4,175 | 1.00% (pays quarterly)(1) | 1.80 | 6/20/29 | (143,166) | 164,466 | 21,300 |
Panama | Deutsche Bank AG | 4,345 | 1.00% (pays quarterly)(1) | 1.80 | 6/20/29 | (148,996) | 148,857 | (139) |
Panama | Deutsche Bank AG | 4,350 | 1.00% (pays quarterly)(1) | 1.80 | 6/20/29 | (149,168) | 138,117 | (11,051) |
Panama | Goldman Sachs International | 24,350 | 1.00% (pays quarterly)(1) | 1.80 | 6/20/29 | (834,995) | 772,007 | (62,988) |
Panama | JPMorgan Chase Bank, N.A. | 5,083 | 1.00% (pays quarterly)(1) | 1.80 | 6/20/29 | (174,303) | 191,577 | 17,274 |
Petroleos Mexicanos | Bank of America, N.A. | 63,175 | 1.00% (pays quarterly)(1) | 1.89 | 3/20/25 | (412,116) | 932,646 | 520,530 |
Petroleos Mexicanos | Barclays Bank PLC | 25,790 | 1.00% (pays quarterly)(1) | 1.37 | 6/20/24 | 16,478 | 27,863 | 44,341 |
Vietnam | Bank of America, N.A. | 5,000 | 1.00% (pays quarterly)(1) | 1.18 | 6/20/29 | (34,494) | 41,987 | 7,493 |
Vietnam | BNP Paribas | 7,000 | 1.00% (pays quarterly)(1) | 1.18 | 6/20/29 | (48,292) | 64,983 | 16,691 |
Vietnam | Goldman Sachs International | 19,880 | 1.00% (pays quarterly)(1) | 0.49 | 6/20/24 | 37,405 | (8,133) | 29,272 |
Vietnam | Goldman Sachs International | 9,500 | 1.00% (pays quarterly)(1) | 1.18 | 6/20/29 | (65,593) | 84,168 | 18,575 |
Vietnam | Goldman Sachs International | 7,500 | 1.00% (pays quarterly)(1) | 1.30 | 6/20/29 | (75,755) | 66,337 | (9,418) |
Total | $379,902 | $ (3,358,566) | $5,432,984 | $2,074,418 |
Credit Default Swaps - Buy Protection (OTC) | |||||||
Reference Entity | Counterparty | Notional Amount (000's omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Czech Republic | JPMorgan Chase Bank, N.A. | $19,840 | 1.00% (pays quarterly)(1) | 6/20/29 | $ (642,021) | $ 650,030 | $ 8,009 |
Dubai | Barclays Bank PLC | 6,348 | 1.00% (pays quarterly)(1) | 12/20/24 | (38,732) | (13,460) | (52,192) |
Dubai | Barclays Bank PLC | 9,572 | 1.00% (pays quarterly)(1) | 12/20/24 | (58,403) | (20,314) | (78,717) |
Saudi Arabia | Barclays Bank PLC | 25,486 | 1.00% (pays quarterly)(1) | 6/20/31 | (547,311) | (335,105) | (882,416) |
Saudi Arabia | Goldman Sachs International | 57,200 | 1.00% (pays quarterly)(1) | 6/20/34 | (856,217) | 731,013 | (125,204) |
Total | $(2,142,684) | $1,012,164 | $ (1,130,520) |
* | 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 $423,321,000. |
** | 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) | |
BNP Paribas | USD | 217,500 | Excess Return on Bloomberg Commodity 3 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.12% (pays upon termination) | 8/26/24 | $ 182,340 |
Citibank, N.A. | USD | 32,381 | 5.35% on PEN 119,519,558 (pays upon termination) | SOFR + 1.10% on Notional Amount (pays upon termination) | 6/15/24 | (2,125,591) |
Citibank, N.A. | USD | 54,140 | 5.94% on PEN 199,830,221 (pays upon termination) | SOFR + 1.10% on Notional Amount (pays upon termination) | 6/15/24 | (2,206,517) |
Citibank, N.A. | USD | 82,400 | Excess Return on Bloomberg Commodity 3 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.12% (pays upon termination) | 6/18/24 | 341,065 |
Citibank, N.A. | USD | 61,519 | Excess Return on EGP 3,545,975,000 Treasury Bill, 0.00%, 12/17/24 at 0.82 (pays upon termination) | SOFR + 0.70% on Notional Amount (pays upon termination) | 12/17/24 | 744,396 |
Citibank, N.A. | KRW | 59,500 | Positive Return on KOSPI 200 Index Futures 6/2024 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 6/2024 (pays upon termination) | 6/13/24 | 289,764 |
Total Return Swaps (OTC) (continued) | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Goldman Sachs International | USD | 53,984 | 5.94% on PEN 198,770,371 (pays upon termination) | SOFR + 1.10% on Notional Amount (pays upon termination) | 6/6/24 | $ (2,387,015) |
$(5,161,558) |
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 7,890,662,080 (pays semi-annually)* | 1.41% on CLP equivalent of CLF 224,000 (pays semi-annually)* | 1/13/33 | $ 331,396 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 2,698,942,950 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 85,000 (pays semi-annually)* | 4/8/32 | (420,038) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 8,224,633,060 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 259,000 (pays semi-annually)* | 4/11/32 | (1,392,664) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,531,614,475 (pays semi-annually)* | 1.85% on CLP equivalent of CLF 47,900 (pays semi-annually)* | 4/20/32 | (193,596) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 6,500,579,580 (pays semi-annually)* | 2.34% on CLP equivalent of CLF 178,000 (pays semi-annually)* | 11/21/33 | 62,083 |
$(1,612,819) |
* | 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 |
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 |
PIK | – Payment In Kind |
PRIBOR | – Prague Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TAIBOR | – Taipei Interbank Offered Rate |
Currency Abbreviations: | |
ALL | – Albanian Lek |
AMD | – Armenian Dram |
AUD | – Australian Dollar |
BHD | – Bahraini Dinar |
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 |
KES | – Kenyan Shilling |
KRW | – South Korean Won |
KZT | – Kazakhstani Tenge |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NGN | – Nigerian Naira |
NZD | – New Zealand Dollar |
OMR | – Omani Rial |
PEN | – Peruvian Sol |
PHP | – Philippine Peso |
PLN | – Polish Zloty |
PYG | – Paraguayan Guarani |
RSD | – Serbian Dinar |
SAR | – Saudi Riyal |
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 |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
April 30, 2024 | |
Assets | |
Unaffiliated investments, at value (identified cost $2,639,356,892) | $ 2,658,645,978 |
Affiliated investments, at value (identified cost $36,275,308) | 36,275,308 |
Cash | 6,407,274 |
Deposits for derivatives collateral: | |
Centrally cleared derivatives | 175,526,488 |
OTC derivatives | 21,884,300 |
Cash collateral for securities sold short | 137,350,920 |
Foreign currency, at value (identified cost $37,541,874) | 37,610,169 |
Interest and dividends receivable | 51,060,240 |
Dividends receivable from affiliated investments | 845,518 |
Receivable for investments sold | 47,770,470 |
Receivable for variation margin on open futures contracts | 3,508,644 |
Receivable for open forward foreign currency exchange contracts | 45,227,924 |
Receivable for open swap contracts | 4,767,439 |
Upfront payments on open non-centrally cleared swap contracts | 1,671,151 |
Receivable for closed swap contracts | 4,678,577 |
Tax reclaims receivable | 359,595 |
Receivable from affiliates | 80,694 |
Trustees' deferred compensation plan | 158,640 |
Total assets | $3,233,829,329 |
Liabilities | |
Cash collateral due to brokers | $ 4,279,000 |
Payable for reverse repurchase agreements, including accrued interest of $420,386 | 88,246,507 |
Written options outstanding, at value (premiums received $1,081,464) | 213,958 |
Payable for investments purchased | 94,675,391 |
Payable for securities sold short, at value (proceeds $175,202,063) | 169,928,740 |
Payable for variation margin on open centrally cleared derivatives | 3,227,627 |
Payable for open forward foreign currency exchange contracts | 33,437,732 |
Payable for open swap contracts | 9,965,132 |
Payable for closed swap contracts | 95,518 |
Upfront receipts on open non-centrally cleared swap contracts | 8,116,299 |
Payable to affiliates: | |
Investment adviser fee | 2,144,988 |
Trustees' fees | 9,222 |
Trustees' deferred compensation plan | 158,640 |
Interest and dividends payable on securities sold short | 5,107,899 |
Accrued foreign capital gains taxes | 19,468 |
Accrued expenses | 1,225,433 |
Total liabilities | $ 420,851,554 |
Net Assets applicable to investors' interest in Portfolio | $2,812,977,775 |
Six Months Ended | |
April 30, 2024 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $299,619) | $ 3,430,202 |
Dividend income from affiliated investments | 4,491,840 |
Interest income (net of foreign taxes withheld of $973,836) | 101,172,135 |
Other income | 260,699 |
Total investment income | $109,354,876 |
Expenses | |
Investment adviser fee | $ 12,420,775 |
Trustees’ fees and expenses | 54,250 |
Custodian fee | 866,985 |
Legal and accounting services | 97,659 |
Interest expense and fees | 2,991,247 |
Interest and dividend expense on securities sold short | 9,429,403 |
Miscellaneous | 51,334 |
Total expenses | $ 25,911,653 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 214,149 |
Total expense reductions | $ 214,149 |
Net expenses | $ 25,697,504 |
Net investment income | $ 83,657,372 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 2,081,074 |
Written options | 626,309 |
Securities sold short | (11,823,142) |
Futures contracts | (14,285,981) |
Swap contracts | (36,718,203) |
Foreign currency transactions | 9,580,955 |
Forward foreign currency exchange contracts | (12,528,324) |
Non-deliverable bond forward contracts | 3,158,005 |
Net realized loss | $ (59,909,307) |
Change in unrealized appreciation (depreciation): | |
Investments (including net decrease in accrued foreign capital gains taxes of $862) | $ 168,179,744 |
Written options | 731,804 |
Securities sold short | (7,997,827) |
Futures contracts | 5,569,661 |
Swap contracts | (20,226,243) |
Foreign currency | 1,245,070 |
Forward foreign currency exchange contracts | 16,404,097 |
Net change in unrealized appreciation (depreciation) | $163,906,306 |
Net realized and unrealized gain | $103,996,999 |
Net increase in net assets from operations | $187,654,371 |
Six Months Ended April 30, 2024 (Unaudited) | Year Ended October 31, 2023 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 83,657,372 | $ 135,016,357 |
Net realized loss | (59,909,307) | (197,706,941) |
Net change in unrealized appreciation (depreciation) | 163,906,306 | 252,495,787 |
Net increase in net assets from operations | $ 187,654,371 | $ 189,805,203 |
Capital transactions: | ||
Contributions | $ 287,809,575 | $ 548,261,795 |
Withdrawals | (135,503,954) | (209,820,317) |
Net increase in net assets from capital transactions | $ 152,305,621 | $ 338,441,478 |
Net increase in net assets | $ 339,959,992 | $ 528,246,681 |
Net Assets | ||
At beginning of period | $ 2,473,017,783 | $ 1,944,771,102 |
At end of period | $2,812,977,775 | $2,473,017,783 |
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) | 1.95% (2)(3)(4) | 1.68% (3)(4) | 1.17% (3)(4) | 1.12% | 1.11% (3) | 1.26% (3) |
Net investment income | 6.34% (2) | 5.97% | 6.13% | 5.37% | 5.69% | 5.86% |
Portfolio Turnover | 100% (5) | 56% | 94% | 82% | 80% | 71% |
Total Return | 7.40% (5) | 9.60% | (4.83)% (3) | 5.94% | 6.57% (3) | 8.22% (3) |
Net assets, end of period (000’s omitted) | $2,812,978 | $2,473,018 | $1,944,771 | $2,632,155 | $3,045,720 | $3,331,278 |
(1) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.94%, 0.68%, 0.16%, 0.11%, 0.09% and 0.24% 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. |
(2) | Annualized. |
(3) | The investment adviser reimbursed certain operating expenses (equal to 0.02%, 0.01%, 0.01%, 0.04% and 0.05% of average daily net assets for six months ended April 30, 2024 and the years ended October 31, 2023, 2022, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(4) | 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%, 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). |
(5) | Not annualized. |
backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Portfolio may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 1.000% |
$500 million but less than $1 billion | 0.950% |
$1 billion but less than $2.5 billion | 0.925% |
$2.5 billion but less than $5 billion | 0.900% |
$5 billion and over | 0.880% |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 2,023,396,069 | $ 1,800,387,250 |
U.S. Government and Agency Securities | 55,381,415 | 18,702,712 |
$2,078,777,484 | $1,819,089,962 |
Aggregate cost | $2,591,655,539 |
Gross unrealized appreciation | $ 178,891,952 |
Gross unrealized depreciation | (242,643,218) |
Net unrealized depreciation | $ (63,751,266) |
Description | Date(s) of Acquisition | Shares | Cost | Value |
Reinsurance Side Cars | ||||
Mt. Logan Re Ltd., Series A-1 | 12/30/20 | 8,600 | $ 8,600,000 | $ 11,815,016 |
PartnerRe ILS Fund SAC Ltd. | 1/2/24 | 13,000,000 | 13,000,000 | 13,449,800 |
Sussex Capital Ltd., Designated Investment Series 14 | 1/24/22 | 1,114 | 1,107,140 | 24,047 |
Sussex Capital Ltd., Designated Investment Series 14 | 11/30/22 | 1,081 | 1,080,115 | 305,880 |
Sussex Capital Ltd., Series 14, Preference Shares | 6/1/21 | 1,466 | 1,038,237 | 1,864,819 |
Total Restricted Securities | $24,825,492 | $27,459,562 |
Fair Value | ||||||
Consolidated Statement of Assets and Liabilities Caption | Commodity | Credit | Equity Price | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ — | $ — | $ — | $ 1,809,347 | $ — | $ 1,809,347 |
Not applicable | — | 46,907,373* | 326,387* | 19,922,523* | 44,086,232* | 111,242,515 |
Receivable for open forward foreign currency exchange contracts | — | — | — | 45,227,924 | — | 45,227,924 |
Receivable/Payable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | 523,405 | 1,539,165 | 289,764 | — | 1,770,661 | 4,122,995 |
Total Asset Derivatives | $523,405 | $ 48,446,538 | $ 616,151 | $ 66,959,794 | $ 45,856,893 | $ 162,402,781 |
Derivatives not subject to master netting or similar agreements | $ — | $ 46,907,373 | $ 326,387 | $ 19,922,523 | $ 44,086,232 | $ 111,242,515 |
Total Asset Derivatives subject to master netting or similar agreements | $523,405 | $ 1,539,165 | $ 289,764 | $ 47,037,271 | $ 1,770,661 | $ 51,160,266 |
Written options outstanding, at value | $ — | $ — | $ — | $ (213,958) | $ — | $ (213,958) |
Not applicable | — | (26,947,557)* | (1,387,057)* | (12,773,617)* | (50,798,110)* | (91,906,341) |
Payable for open forward foreign currency exchange contracts | — | — | — | (33,437,732) | — | (33,437,732) |
Payable/Receivable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | — | (7,040,415) | — | — | (8,725,421) | (15,765,836) |
Total Liability Derivatives | $ — | $(33,987,972) | $(1,387,057) | $(46,425,307) | $(59,523,531) | $(141,323,867) |
Derivatives not subject to master netting or similar agreements | $ — | $(26,947,557) | $(1,387,057) | $(12,773,617) | $(50,798,110) | $ (91,906,341) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $ (7,040,415) | $ — | $(33,651,690) | $ (8,725,421) | $ (49,417,526) |
* | Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Consolidated 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. | $ 1,120,204 | $ (1,120,204) | $ — | $ — | $ — | $ — |
Barclays Bank PLC | 2,182,327 | (1,660,749) | (521,578) | — | — | — |
BNP Paribas | 3,516,588 | (3,334,248) | (182,340) | — | — | 400,000 |
Citibank, N.A. | 13,868,909 | (11,629,168) | (272,403) | — | 1,967,338 | — |
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 |
Deutsche Bank AG | $ 343,660 | $ (343,660) | $ — | $ — | $ — | $ — |
Goldman Sachs International | 5,842,506 | (5,842,506) | — | — | — | — |
HSBC Bank USA, N.A. | 5,716,600 | (1,123,106) | (2,534,592) | — | 2,058,902 | — |
ICBC Standard Bank plc | 1,339,555 | (1,339,555) | — | — | — | — |
JPMorgan Chase Bank, N.A. | 4,096,549 | (1,676,933) | — | (2,419,616) | — | 3,879,000 |
Societe Generale | 1,021,485 | (1,021,485) | — | — | — | — |
Standard Chartered Bank | 10,091,539 | (8,281,883) | — | — | 1,809,656 | — |
State Street Bank and Trust Company | 11,978 | (11,978) | — | — | — | — |
UBS AG | 2,008,366 | (2,008,366) | — | — | — | — |
$51,160,266 | $(39,393,841) | $(3,510,913) | $(2,419,616) | $5,835,896 | $4,279,000 |
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 |
Australia and New Zealand Banking Group Limited | $ (365,172) | $ — | $ 280,692 | $ — | $ (84,480) | $ — |
Bank of America, N.A. | (1,784,426) | 1,120,204 | 664,222 | — | — | — |
Barclays Bank PLC | (1,660,749) | 1,660,749 | — | — | — | — |
BNP Paribas | (3,711,807) | 3,334,248 | — | — | (377,559) | — |
Citibank, N.A. | (11,629,168) | 11,629,168 | — | — | — | 7,762,300 |
Deutsche Bank AG | (2,030,221) | 343,660 | 1,686,561 | — | — | — |
Goldman Sachs International | (10,689,993) | 5,842,506 | 3,786,691 | — | (1,060,796) | — |
HSBC Bank USA, N.A. | (1,123,106) | 1,123,106 | — | — | — | — |
ICBC Standard Bank plc | (1,401,320) | 1,339,555 | 61,765 | — | — | — |
JPMorgan Chase Bank, N.A. | (1,676,933) | 1,676,933 | — | — | — | — |
Societe Generale | (1,910,573) | 1,021,485 | 889,088 | — | — | — |
Standard Chartered Bank | (8,281,883) | 8,281,883 | — | — | — | 9,640,000 |
State Street Bank and Trust Company | (304,215) | 11,978 | 69,905 | — | (222,332) | — |
UBS AG | (2,847,960) | 2,008,366 | 649,847 | 189,747 | — | 203,000 |
$(49,417,526) | $39,393,841 | $8,088,771 | $189,747 | $(1,745,167) | $17,605,300 | |
Total — Deposits for derivatives collateral — OTC derivatives | $21,884,300 |
(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. |
Consolidated Statement of Operations Caption | Commodity | Credit | Equity Price | Foreign Exchange | Interest Rate | Total |
Net realized gain (loss): | ||||||
Investment transactions | $ — | $ — | $ — | $ (1,242,797) | $ — | $ (1,242,797) |
Written options | — | — | — | 1,230,867 | (604,558) | 626,309 |
Futures contracts | (2,112,470) | — | (6,625,974) | — | (5,547,537) | (14,285,981) |
Swap contracts | (15,710) | (65,546,839) | 4,754,043 | — | 24,090,303 | (36,718,203) |
Forward foreign currency exchange contracts | — | — | — | (12,528,324) | — | (12,528,324) |
Non-deliverable bond forward contracts | — | — | — | — | 3,158,005 | 3,158,005 |
Total | $(2,128,180) | $(65,546,839) | $(1,871,931) | $(12,540,254) | $ 21,096,213 | $(60,990,991) |
Change in unrealized appreciation (depreciation): | ||||||
Investments | $ — | $ — | $ — | $ (3,487,484) | $ — | $ (3,487,484) |
Written options | — | — | — | 731,804 | — | 731,804 |
Futures contracts | 729,379 | — | (3,261,758) | — | 8,102,040 | 5,569,661 |
Swap contracts | 469,590 | (9,815,202) | 2,031,723 | — | (12,912,354) | (20,226,243) |
Forward foreign currency exchange contracts | — | — | — | 16,404,097 | — | 16,404,097 |
Total | $ 1,198,969 | $ (9,815,202) | $(1,230,035) | $ 13,648,417 | $ (4,810,314) | $ (1,008,165) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Swap Contracts |
$126,955,000 | $1,065,548,000 | $3,980,285,000 | $30,019,000 | $7,761,963,000 |
* | 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 |
MUFG Securities Americas, Inc. | 2/13/24 | On Demand(1) | 5.55% | $ 16,084,121 | $ 16,275,053 |
MUFG Securities Americas, Inc. | 4/3/24 | On Demand(1) | 5.55 | 13,916,000 | 13,976,071 |
MUFG Securities Americas, Inc. | 4/12/24 | On Demand(1) | 5.55 | 57,826,000 | 57,995,383 |
Total | $87,826,121 | $88,246,507 |
(1) | Open reverse 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) |
Bank of America, N.A. | $ 1,787,500 | $ — | $ (1,787,500) | $ — |
Barclays Bank PLC | 14,540,721 | — | (13,605,933) | 934,788 |
JPMorgan Chase Bank, N.A. | 53,558,961 | — | (48,920,533) | 4,638,428 |
Nomura International PLC | 19,702,921 | — | (17,998,335) | 1,704,586 |
$89,590,103 | $ — | $(82,312,301) | $7,277,802 |
Counterparty | Reverse Repurchase Agreements* | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(c) |
MUFG Securities Americas, Inc. | $(88,246,507) | $ — | $88,246,507 | $ — |
* | 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 | $230,125,366 | $1,352,870,566 | $(1,546,720,624) | $ — | $ — | $36,275,308 | $4,491,840 | 36,275,308 |
• | 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 | $ — | $ 145,595,508 | $ — | $ 145,595,508 |
Common Stocks | 400,277 | 213,301,095* | 367,399 | 214,068,771 |
Convertible Bonds | — | 4,564,056 | — | 4,564,056 |
Foreign Corporate Bonds | — | 152,876,325 | 0 | 152,876,325 |
Loan Participation Notes | — | — | 54,139,286 | 54,139,286 |
Reinsurance Side Cars | — | — | 41,366,960 | 41,366,960 |
Senior Floating-Rate Loans | — | 16,159,500 | 407,885 | 16,567,385 |
Sovereign Government Bonds | — | 1,448,913,197 | — | 1,448,913,197 |
Sovereign Loans | — | 87,565,373 | — | 87,565,373 |
U.S. Government Guaranteed Small Business Administration Loans | — | 5,733,898 | — | 5,733,898 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 36,275,308 | — | — | 36,275,308 |
Repurchase Agreements | — | 89,590,103 | — | 89,590,103 |
Sovereign Government Securities | — | 289,618,200 | — | 289,618,200 |
U.S. Treasury Obligations | — | 106,237,569 | — | 106,237,569 |
Purchased Currency Options | — | 1,809,347 | — | 1,809,347 |
Total Investments | $ 36,675,585 | $ 2,561,964,171 | $ 96,281,530 | $ 2,694,921,286 |
Forward Foreign Currency Exchange Contracts | $ — | $ 65,150,447 | $ — | $ 65,150,447 |
Futures Contracts | 12,491,408 | — | — | 12,491,408 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Swap Contracts | $ — | $ 82,951,579 | $ — | $ 82,951,579 |
Total | $ 49,166,993 | $ 2,710,066,197 | $ 96,281,530 | $ 2,855,514,720 |
Liability Description | ||||
Securities Sold Short | $ (47,206,453) | $ (122,722,287) | $ — | $ (169,928,740) |
Written Currency Options | — | (213,958) | — | (213,958) |
Forward Foreign Currency Exchange Contracts | — | (46,211,349) | — | (46,211,349) |
Futures Contracts | (1,841,763) | (177,523) | — | (2,019,286) |
Swap Contracts | — | (92,879,274) | — | (92,879,274) |
Total | $ (49,048,216) | $ (262,204,391) | $ — | $ (311,252,607) |
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Common Stocks | Foreign Corporate Bonds | Loan Participation Notes | Reinsurance Side Cars** | Senior Floating-Rate Loans | Miscellaneous | Total | |
Balance as of October 31, 2023 | $ 818,174 | $ 0 | $50,529,862 | $20,158,090 | $ 397,208 | $ 0 | $71,903,334 |
Realized gains (losses) | — | — | — | 3,027,524 | 13,429 | 116,131 | 3,157,084 |
Change in net unrealized appreciation (depreciation) | (450,775) | — | 3,147,767 | 182,993 | 670,469 | — | 3,550,454 |
Cost of purchases | — | — | — | 26,000,000 | — | — | 26,000,000 |
Proceeds from sales, including return of capital | — | — | — | (8,001,647) | (699,275) | (116,131) | (8,817,053) |
Accrued discount (premium) | — | — | 461,657 | — | 26,054 | — | 487,711 |
Transfers to Level 3 | — | — | — | — | — | — | — |
Transfers from Level 3 | — | — | — | — | — | — | — |
Balance as of April 30, 2024 | $ 367,399 | $ 0 | $54,139,286 | $41,366,960 | $ 407,885 | $ 0 | $96,281,530 |
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2024 | $(450,775) | $ — | $ 3,147,767 | $ 2,294,447 | $ 245,091 | $ — | $ 5,236,530 |
* | The Portfolio’s investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations. |
Type of Investment | Fair Value as of April 30, 2024 | Valuation Technique | Unobservable Input | Range of Unobservable Input | Impact to Valuation from an Increase to Input* |
Common Stocks | $ 367,399 | Market Approach | Discount Rate | 30% | Decrease |
Foreign Corporate Bonds | 0 | Estimated Recovery Value | Estimated Recovery Value Percentage | 0% | Increase |
Loan Participation Notes | 54,139,286 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 4.38% - 6.67%** | Decrease |
Miscellaneous | 0 | Estimated Value | Estimated Recovery Value Percentage | 0% | Increase |
Senior Floating-Rate Loans | 407,885 | Market Approach | Discount Rate | 10% | 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 5.55% based on relative principal amounts. |
Officers of Eaton Vance Global Macro Absolute Return Advantage Fund and Global Macro Absolute Return Advantage 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 Macro Absolute Return Advantage Fund and Global Macro Absolute Return Advantage 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
One Post Office Square
Boston, MA 02109
125 Old Broad Street
London, EC2N 1AR
United Kingdom
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.
Global Macro Absolute Return Advantage 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 |