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: 811-04015
Eaton Vance Mutual Funds Trust
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 06/27/2007 | 10/31/1997 | 6.04% | 3.50% | 2.41% | 2.25% |
Class A with 3.25% Maximum Sales Charge | — | — | 2.54 | 0.13 | 1.74 | 1.92 |
Class C at NAV | 10/01/2009 | 10/31/1997 | 5.78 | 2.79 | 1.72 | 1.69 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 4.78 | 1.80 | 1.72 | 1.69 |
Class I at NAV | 06/27/2007 | 10/31/1997 | 6.34 | 3.94 | 2.74 | 2.57 |
Class R at NAV | 04/08/2010 | 10/31/1997 | 6.06 | 3.30 | 2.21 | 2.05 |
Class R6 at NAV | 05/31/2017 | 10/31/1997 | 6.25 | 3.91 | 2.79 | 2.60 |
ICE BofA 3-Month U.S. Treasury Bill Index | — | — | 2.09% | 2.81% | 1.44% | 0.90% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R | Class R6 |
1.14% | 1.84% | 0.84% | 1.33% | 0.77% |
Asset Allocation (% of net assets)1 |
Foreign Currency Exposures (% of net assets)2 | |
Serbia | 3.4% |
Dominican Republic | 3.3 |
Ukraine | 3.1 |
Uzbekistan | 2.2 |
Australia | 2.0 |
Malaysia | 1.0 |
Other | 11.8** |
Uganda | -1.0 |
Saudi Arabia | -1.4 |
Oman | -1.6 |
New Zealand | -2.0 |
Bahrain | -2.1 |
Philippines | -2.9 |
China | -3.3 |
Euro | -5.6 |
Total Long | 31.6% |
Total Short | -24.7% |
Total Net | 6.9% |
1 | Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets. |
1 | ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. | |
Additional Information | |
Effective June 30, 2023, the portfolio managers of the Fund and the Portfolio will be Patrick Campbell, Hussein Khattab, Kyle Lee and Federico Sequeda. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,060.40 | $ 6.79 | 1.33% |
Class C | $1,000.00 | $1,057.80 | $10.36 | 2.03% |
Class I | $1,000.00 | $1,063.40 | $ 5.27 | 1.03% |
Class R | $1,000.00 | $1,060.60 | $ 7.82 | 1.53% |
Class R6 | $1,000.00 | $1,062.50 | $ 4.86 | 0.95% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.20 | $ 6.66 | 1.33% |
Class C | $1,000.00 | $1,014.73 | $10.14 | 2.03% |
Class I | $1,000.00 | $1,019.69 | $ 5.16 | 1.03% |
Class R | $1,000.00 | $1,017.21 | $ 7.65 | 1.53% |
Class R6 | $1,000.00 | $1,020.08 | $ 4.76 | 0.95% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
April 30, 2023 | |
Assets | |
Investment in Global Macro Portfolio, at value (identified cost $1,972,867,867) | $ 1,780,090,874 |
Receivable for Fund shares sold | 3,539,550 |
Total assets | $1,783,630,424 |
Liabilities | |
Payable for Fund shares redeemed | $ 3,512,378 |
Payable to affiliates: | |
Distribution and service fees | 59,742 |
Trustees' fees | 43 |
Accrued expenses | 500,591 |
Total liabilities | $ 4,072,754 |
Net Assets | $1,779,557,670 |
Sources of Net Assets | |
Paid-in capital | $ 2,455,315,134 |
Accumulated loss | (675,757,464) |
Net Assets | $1,779,557,670 |
Class A Shares | |
Net Assets | $ 155,385,453 |
Shares Outstanding | 19,010,111 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.17 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 8.44 |
Class C Shares | |
Net Assets | $ 24,996,122 |
Shares Outstanding | 3,045,465 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 8.21 |
Class I Shares | |
Net Assets | $ 1,368,251,366 |
Shares Outstanding | 167,739,248 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.16 |
Class R Shares | |
Net Assets | $ 1,268,627 |
Shares Outstanding | 154,905 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.19 |
April 30, 2023 | |
Class R6 Shares | |
Net Assets | $229,656,102 |
Shares Outstanding | 28,172,191 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.15 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $80,378) | $ 3,552,814 |
Interest and other income allocated from Portfolio (net of foreign taxes withheld of $306,774) | 61,412,107 |
Expenses, excluding interest and dividend expense, allocated from Portfolio | (6,015,774) |
Interest and dividend expense allocated from Portfolio | (2,129,522) |
Total investment income from Portfolio | $ 56,819,625 |
Expenses | |
Distribution and service fees: | |
Class A | $ 238,466 |
Class C | 129,161 |
Class R | 3,250 |
Trustees’ fees and expenses | 250 |
Custodian fee | 30,720 |
Transfer and dividend disbursing agent fees | 796,625 |
Legal and accounting services | 34,982 |
Printing and postage | 104,610 |
Registration fees | 62,358 |
Miscellaneous | 15,082 |
Total expenses | $ 1,415,504 |
Net investment income | $ 55,404,121 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $154,290) | $ (94,135,010) |
Securities sold short | (879,629) |
Futures contracts | 18,699,858 |
Swap contracts | (9,955,082) |
Foreign currency transactions | 2,252,556 |
Forward foreign currency exchange contracts | (6,061,453) |
Non-deliverable bond forward contracts | 5,787,037 |
Net realized loss | $ (84,291,723) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $84,232) | $ 217,059,026 |
Written options | 64,823 |
Securities sold short | (3,775,102) |
Futures contracts | (30,731,742) |
Swap contracts | (14,147,639) |
Foreign currency | 4,341,952 |
Forward foreign currency exchange contracts | (29,693,382) |
Non-deliverable bond forward contracts | (1,540,050) |
Net change in unrealized appreciation (depreciation) | $141,577,886 |
Net realized and unrealized gain | $ 57,286,163 |
Net increase in net assets from operations | $112,690,284 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 55,404,121 | $ 115,574,082 |
Net realized gain (loss) | (84,291,723) | 110,827,016 |
Net change in unrealized appreciation (depreciation) | 141,577,886 | (319,960,670) |
Net increase (decrease) in net assets from operations | $ 112,690,284 | $ (93,559,572) |
Distributions to shareholders: | ||
Class A | $ (4,398,536) | $ (8,063,152) |
Class C | (621,296) | (1,034,667) |
Class I | (40,316,577) | (66,924,119) |
Class R | (35,399) | (49,057) |
Class R6 | (7,025,415) | (13,033,990) |
Total distributions to shareholders | $ (52,397,223) | $ (89,104,985) |
Tax return of capital to shareholders: | ||
Class A | $ — | $ (1,174,555) |
Class C | — | (156,590) |
Class I | — | (10,455,314) |
Class R | — | (7,965) |
Class R6 | — | (1,997,959) |
Total tax return of capital to shareholders | $ — | $ (13,792,383) |
Transactions in shares of beneficial interest: | ||
Class A | $ (13,299,163) | $ (95,399,484) |
Class C | (2,523,668) | (7,095,253) |
Class I | (91,103,888) | (290,445,028) |
Class R | (39,931) | 114,208 |
Class R6 | (30,768,079) | (96,685,321) |
Net decrease in net assets from Fund share transactions | $ (137,734,729) | $ (489,510,878) |
Net decrease in net assets | $ (77,441,668) | $ (685,967,818) |
Net Assets | ||
At beginning of period | $ 1,856,999,338 | $ 2,542,967,156 |
At end of period | $1,779,557,670 | $1,856,999,338 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.910 | $ 8.660 | $ 8.640 | $ 8.740 | $ 8.590 | $ 9.140 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.238 | $ 0.418 | $ 0.368 | $ 0.356 | $ 0.438 | $ 0.383 |
Net realized and unrealized gain (loss) | 0.248 | (0.792) | (0.016) | (0.046) | 0.078 | (0.647) |
Total income (loss) from operations | $ 0.486 | $ (0.374) | $ 0.352 | $ 0.310 | $ 0.516 | $ (0.264) |
Less Distributions | ||||||
From net investment income | $ (0.226) | $ (0.325) | $ (0.332) | $ (0.410) | $ (0.366) | $ (0.087) |
Tax return of capital | — | (0.051) | — | — | — | (0.199) |
Total distributions | $ (0.226) | $ (0.376) | $ (0.332) | $ (0.410) | $ (0.366) | $ (0.286) |
Net asset value — End of period | $ 8.170 | $ 7.910 | $ 8.660 | $ 8.640 | $ 8.740 | $ 8.590 |
Total Return(2) | 6.04% (3) | (4.27)% | 4.11% | 3.63% | 6.14% | (2.97)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $155,385 | $163,369 | $276,486 | $398,174 | $366,740 | $284,958 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses (5) | 1.33% (6)(7) | 1.14% (7) | 1.10% | 1.05% | 1.04% | 1.08% |
Net investment income | 5.87% (6) | 5.03% | 4.20% | 4.11% | 5.06% | 4.26% |
Portfolio Turnover of the Portfolio | 95% (3) | 81% | 88% | 81% | 61% | 78% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.24%, 0.08%, 0.06%, 0.01%, 0.01% and 0.04% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.950 | $ 8.690 | $ 8.680 | $ 8.770 | $ 8.620 | $ 9.170 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.210 | $ 0.365 | $ 0.307 | $ 0.305 | $ 0.374 | $ 0.321 |
Net realized and unrealized gain (loss) | 0.248 | (0.786) | (0.026) | (0.044) | 0.082 | (0.647) |
Total income (loss) from operations | $ 0.458 | $ (0.421) | $ 0.281 | $ 0.261 | $ 0.456 | $ (0.326) |
Less Distributions | ||||||
From net investment income | $ (0.198) | $ (0.276) | $ (0.271) | $ (0.351) | $ (0.306) | $ (0.068) |
Tax return of capital | — | (0.043) | — | — | — | (0.156) |
Total distributions | $ (0.198) | $ (0.319) | $ (0.271) | $ (0.351) | $ (0.306) | $ (0.224) |
Net asset value — End of period | $ 8.210 | $ 7.950 | $ 8.690 | $ 8.680 | $ 8.770 | $ 8.620 |
Total Return(2) | 5.78% (3) | (4.91)% | 3.37% | 2.91% | 5.39% | (3.63)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $24,996 | $26,640 | $36,557 | $54,464 | $106,291 | $178,033 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses (5) | 2.03% (6)(7) | 1.84% (7) | 1.80% | 1.75% | 1.76% | 1.78% |
Net investment income | 5.17% (6) | 4.38% | 3.49% | 3.51% | 4.31% | 3.56% |
Portfolio Turnover of the Portfolio | 95% (3) | 81% | 88% | 81% | 61% | 78% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.24%, 0.08%, 0.06%, 0.01%, 0.01% and 0.04% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.900 | $ 8.640 | $ 8.630 | $ 8.720 | $ 8.580 | $ 9.120 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.249 | $ 0.446 | $ 0.393 | $ 0.385 | $ 0.458 | $ 0.408 |
Net realized and unrealized gain (loss) | 0.249 | (0.786) | (0.024) | (0.039) | 0.074 | (0.636) |
Total income (loss) from operations | $ 0.498 | $ (0.340) | $ 0.369 | $ 0.346 | $ 0.532 | $ (0.228) |
Less Distributions | ||||||
From net investment income | $ (0.238) | $ (0.345) | $ (0.359) | $ (0.436) | $ (0.392) | $ (0.095) |
Tax return of capital | — | (0.055) | — | — | — | (0.217) |
Total distributions | $ (0.238) | $ (0.400) | $ (0.359) | $ (0.436) | $ (0.392) | $ (0.312) |
Net asset value — End of period | $ 8.160 | $ 7.900 | $ 8.640 | $ 8.630 | $ 8.720 | $ 8.580 |
Total Return(2) | 6.34% (3) | (4.00)% | 4.31% | 4.07% | 6.34% | (2.58)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $1,368,251 | $1,413,454 | $1,851,665 | $2,323,831 | $2,859,484 | $4,237,027 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses (5) | 1.03% (6)(7) | 0.84% (7) | 0.80% | 0.75% | 0.75% | 0.78% |
Net investment income | 6.17% (6) | 5.39% | 4.50% | 4.45% | 5.31% | 4.56% |
Portfolio Turnover of the Portfolio | 95% (3) | 81% | 88% | 81% | 61% | 78% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.24%, 0.08%, 0.06%, 0.01%, 0.01% and 0.04% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
Class R | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.930 | $ 8.670 | $ 8.660 | $ 8.750 | $ 8.610 | $ 9.150 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.230 | $ 0.410 | $ 0.352 | $ 0.338 | $ 0.417 | $ 0.369 |
Net realized and unrealized gain (loss) | 0.248 | (0.790) | (0.027) | (0.034) | 0.073 | (0.641) |
Total income (loss) from operations | $ 0.478 | $(0.380) | $ 0.325 | $ 0.304 | $ 0.490 | $(0.272) |
Less Distributions | ||||||
From net investment income | $ (0.218) | $ (0.311) | $ (0.315) | $ (0.394) | $ (0.350) | $ (0.081) |
Tax return of capital | — | (0.049) | — | — | — | (0.187) |
Total distributions | $(0.218) | $(0.360) | $(0.315) | $(0.394) | $(0.350) | $(0.268) |
Net asset value — End of period | $ 8.190 | $ 7.930 | $ 8.670 | $ 8.660 | $ 8.750 | $ 8.610 |
Total Return(2) | 6.06% (3) | (4.45)% | 3.78% | 3.55% | 5.80% | (3.04)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 1,269 | $ 1,267 | $ 1,274 | $ 968 | $ 861 | $ 1,034 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses (5) | 1.53% (6)(7) | 1.33% (7) | 1.29% | 1.25% | 1.26% | 1.28% |
Net investment income | 5.67% (6) | 4.95% | 4.02% | 3.89% | 4.82% | 4.09% |
Portfolio Turnover of the Portfolio | 95% (3) | 81% | 88% | 81% | 61% | 78% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.24%, 0.08%, 0.06%, 0.01%, 0.01% and 0.04% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
Class R6 | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.890 | $ 8.630 | $ 8.620 | $ 8.710 | $ 8.570 | $ 9.120 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.252 | $ 0.450 | $ 0.398 | $ 0.391 | $ 0.464 | $ 0.405 |
Net realized and unrealized gain (loss) | 0.249 | (0.783) | (0.024) | (0.040) | 0.073 | (0.638) |
Total income (loss) from operations | $ 0.501 | $ (0.333) | $ 0.374 | $ 0.351 | $ 0.537 | $ (0.233) |
Less Distributions | ||||||
From net investment income | $ (0.241) | $ (0.351) | $ (0.364) | $ (0.441) | $ (0.397) | $ (0.096) |
Tax return of capital | — | (0.056) | — | — | — | (0.221) |
Total distributions | $ (0.241) | $ (0.407) | $ (0.364) | $ (0.441) | $ (0.397) | $ (0.317) |
Net asset value — End of period | $ 8.150 | $ 7.890 | $ 8.630 | $ 8.620 | $ 8.710 | $ 8.570 |
Total Return(2) | 6.25% (3) | (3.80)% | 4.37% | 4.01% | 6.53% | (2.63)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $229,656 | $252,269 | $376,984 | $390,210 | $224,436 | $153,516 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses (5) | 0.95% (6)(7) | 0.77% (7) | 0.73% | 0.68% | 0.69% | 0.72% |
Net investment income | 6.25% (6) | 5.44% | 4.56% | 4.51% | 5.37% | 4.54% |
Portfolio Turnover of the Portfolio | 95% (3) | 81% | 88% | 81% | 61% | 78% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.24%, 0.08%, 0.06%, 0.01%, 0.01% and 0.04% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.615% |
$500 million but less than $1 billion | 0.595% |
$1 billion but less than $1.5 billion | 0.575% |
$1.5 billion but less than $2 billion | 0.555% |
$2 billion but less than $3 billion | 0.520% |
$3 billion but less than $5 billion | 0.490% |
$5 billion but less than $10 billion | 0.475% |
$10 billion and over | 0.465% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 1,489,531 | $ 12,153,411 | 4,592,167 | $ 38,339,067 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 496,678 | 4,061,960 | 1,048,566 | 8,652,844 | |
Redemptions | (3,622,395) | (29,514,534) | (16,937,765) | (142,391,395) | |
Net decrease | (1,636,186) | $ (13,299,163) | (11,297,032) | $ (95,399,484) |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class C | |||||
Sales | 186,946 | $ 1,537,739 | 332,112 | $ 2,778,239 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 73,845 | 606,327 | 142,074 | 1,173,583 | |
Redemptions | (568,224) | (4,667,734) | (1,328,038) | (11,047,075) | |
Net decrease | (307,433) | $ (2,523,668) | (853,852) | $ (7,095,253) | |
Class I | |||||
Sales | 31,583,662 | $ 257,220,354 | 71,497,227 | $ 591,643,634 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 4,214,414 | 34,388,208 | 8,239,895 | 67,606,194 | |
Redemptions | (47,049,397) | (382,712,450) | (115,115,585) | (949,694,856) | |
Net decrease | (11,251,321) | $ (91,103,888) | (35,378,463) | $(290,445,028) | |
Class R | |||||
Sales | 45,905 | $ 374,752 | 45,748 | $ 382,213 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 4,320 | 35,399 | 6,942 | 57,022 | |
Redemptions | (55,105) | (450,082) | (39,849) | (325,027) | |
Net increase (decrease) | (4,880) | $ (39,931) | 12,841 | $ 114,208 | |
Class R6 | |||||
Sales | 1,698,445 | $ 13,886,094 | 3,247,581 | $ 27,190,898 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 146,903 | 1,198,599 | 295,011 | 2,422,349 | |
Redemptions | (5,637,239) | (45,852,772) | (15,238,556) | (126,298,568) | |
Net decrease | (3,791,891) | $ (30,768,079) | (11,695,964) | $ (96,685,321) |
Asset-Backed Securities — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
CFG Investments, Ltd., Series 2021-1, Class B, 5.82%, 5/20/32(1) | $ | 3,600 | $ 3,460,156 |
Total Asset-Backed Securities (identified cost $3,599,084) | $ 3,460,156 |
Collateralized Mortgage Obligations — 3.1% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
Series 1548, Class Z, 7.00%, 7/15/23 | $ | 0 (2) | $ 433 |
Series 1650, Class K, 6.50%, 1/15/24 | 16 | 16,143 | |
Series 1817, Class Z, 6.50%, 2/15/26 | 6 | 5,815 | |
Series 1927, Class ZA, 6.50%, 1/15/27 | 32 | 31,936 | |
Series 2344, Class ZD, 6.50%, 8/15/31 | 168 | 173,306 | |
Series 2458, Class ZB, 7.00%, 6/15/32 | 350 | 366,924 | |
Interest Only:(3) Series 4791, Class JI, 4.00%, 5/15/48 | 4,247 | 848,263 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2020-DNA4, Class B1, 11.02%, (1 mo. USD LIBOR + 6.00%), 8/25/50(1)(4) | 3,988 | 4,354,454 | |
Series 2020-HQA4, Class B1, 10.27%, (1 mo. USD LIBOR + 5.25%), 9/25/50(1)(4) | 2,018 | 2,137,016 | |
Series 2022-HQA1, Class M1B, 8.315%, (30-day average SOFR + 3.50%), 3/25/42(1)(4) | 1,479 | 1,507,447 | |
Series 2022-HQA1, Class M2, 10.065%, (30-day average SOFR + 5.25%), 3/25/42(1)(4) | 2,957 | 2,994,519 | |
Federal National Mortgage Association: | |||
Series G94-7, Class PJ, 7.50%, 5/17/24 | 10 | 9,935 | |
Series 1993-79, Class PL, 7.00%, 6/25/23 | 1 | 792 | |
Series 1993-104, Class ZB, 6.50%, 7/25/23 | 0 (2) | 386 | |
Series 1993-121, Class Z, 7.00%, 7/25/23 | 7 | 6,749 | |
Series 1993-141, Class Z, 7.00%, 8/25/23 | 2 | 2,458 | |
Series 1994-42, Class ZQ, 7.00%, 4/25/24 | 63 | 62,716 | |
Series 1994-79, Class Z, 7.00%, 4/25/24 | 9 | 8,928 | |
Series 1994-89, Class ZQ, 8.00%, 7/25/24 | 21 | 21,017 | |
Series 1996-35, Class Z, 7.00%, 7/25/26 | 9 | 9,352 | |
Series 1998-16, Class H, 7.00%, 4/18/28 | 69 | 71,298 | |
Series 1998-44, Class ZA, 6.50%, 7/20/28 | 109 | 111,155 | |
Series 1999-25, Class Z, 6.00%, 6/25/29 | 114 | 115,211 | |
Series 2000-2, Class ZE, 7.50%, 2/25/30 | 24 | 24,793 | |
Series 2000-49, Class A, 8.00%, 3/18/27 | 50 | 50,640 | |
Series 2001-31, Class ZA, 6.00%, 7/25/31 | 892 | 901,885 | |
Series 2001-74, Class QE, 6.00%, 12/25/31 | 267 | 275,436 | |
Series 2009-48, Class WA, 5.80%, 7/25/39(5) | 1,310 | 1,332,039 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 2011-38, Class SA, 0.334%, (13.50% - 1 mo. USD LIBOR x 3), 5/25/41(6) | $ | 648 | $ 576,377 |
Interest Only:(3) | |||
Series 424, Class C8, 3.50%, 2/25/48 | 5,379 | 962,795 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 4,676 | 841,683 | |
Series 2018-58, Class BI, 4.00%, 8/25/48 | 745 | 143,163 | |
Government National Mortgage Association, Series 2001-35, Class K, 6.45%, 10/26/23 | 2 | 1,634 | |
PNMAC GMSR Issuer Trust: | |||
Series 2018-GT1, Class A, 8.87%, (1 mo. USD LIBOR + 3.85%), 2/25/25(1)(4) | 9,000 | 9,005,123 | |
Series 2018-GT2, Class A, 7.67%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(4) | 8,064 | 7,961,111 | |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(5) | 22,958 | 20,831,253 | |
Total Collateralized Mortgage Obligations (identified cost $70,473,223) | $ 55,764,185 |
Common Stocks — 3.3% |
Security | Shares | Value | |
Argentina — 0.3% | |||
Banco Macro S.A. ADR | 64,200 | $ 1,135,698 | |
Grupo Financiero Galicia S.A. ADR(7) | 95,400 | 1,099,008 | |
IRSA Inversiones y Representaciones S.A. ADR(7) | 69,200 | 381,984 | |
Loma Negra Cia Industrial Argentina S.A. ADR | 145,800 | 892,296 | |
Telecom Argentina S.A. ADR(7) | 174,000 | 885,660 | |
$ 4,394,646 | |||
Bulgaria — 0.2% | |||
Eurohold Bulgaria AD(7) | 5,311,731 | $ 3,973,146 | |
$ 3,973,146 | |||
Cyprus — 0.6% | |||
Bank of Cyprus Holdings PLC(7) | 3,884,695 | $ 10,782,671 | |
Galaxy Cosmos Mezz PLC(7) | 23,855 | 12,040 | |
Sunrisemezz PLC(7) | 134,028 | 30,875 | |
$ 10,825,586 | |||
Georgia — 0.2% | |||
Bank of Georgia Group PLC | 40,603 | $ 1,510,444 | |
Georgia Capital PLC(7) | 130,000 | 1,315,574 | |
TBC Bank Group PLC | 44,224 | 1,308,258 | |
$ 4,134,276 |
Security | Shares | Value | |
Greece — 0.8% | |||
Alpha Services and Holdings S.A.(7) | 644,100 | $ 807,466 | |
Eurobank Ergasias Services and Holdings S.A.(7) | 1,087,400 | 1,537,506 | |
Hellenic Telecommunications Organization S.A. | 112,400 | 1,642,353 | |
JUMBO S.A. | 71,500 | 1,647,323 | |
Motor Oil (Hellas) Corinth Refineries S.A. | 38,600 | 919,975 | |
Mytilineos S.A. | 50,500 | 1,465,146 | |
National Bank of Greece S.A.(7) | 226,500 | 1,185,310 | |
OPAP S.A. | 79,724 | 1,359,510 | |
Piraeus Financial Holdings S.A.(7) | 938,200 | 2,219,438 | |
Public Power Corp. S.A.(7) | 65,900 | 568,690 | |
Titan Cement International S.A.(7) | 3,203 | 52,904 | |
$ 13,405,621 | |||
Iceland — 0.2% | |||
Arion Banki HF(1) | 1,015,472 | $ 1,066,604 | |
Eik Fasteignafelag HF(7) | 3,253,209 | 285,105 | |
Eimskipafelag Islands HF | 220,734 | 930,040 | |
Hagar HF | 921,987 | 455,332 | |
Islandsbanki HF | 668,258 | 610,338 | |
Reginn HF(7) | 1,291,872 | 239,634 | |
Reitir Fasteignafelag HF | 875,641 | 542,836 | |
Siminn HF | 1,879,514 | 160,620 | |
$ 4,290,509 | |||
Indonesia — 0.3% | |||
Bank Central Asia Tbk PT | 3,770,000 | $ 2,333,068 | |
Bank Mandiri Persero Tbk PT | 4,080,000 | 1,442,279 | |
Bank Negara Indonesia Persero Tbk PT | 430,000 | 277,113 | |
Bank Rakyat Indonesia Persero Tbk PT | 5,300,000 | 1,846,939 | |
$ 5,899,399 | |||
Sri Lanka — 0.0%(8) | |||
Sampath Bank PLC | 3,787 | $ 569 | |
$ 569 | |||
United Arab Emirates — 0.3% | |||
Al Yah Satellite Communications Co. PJSC (Yahsat) | 5,278,406 | $ 3,696,899 | |
Dubai Electricity & Water Authority PJSC | 983,852 | 664,972 | |
$ 4,361,871 | |||
United Kingdom — 0.0%(8) | |||
Tesnik Cuatro, Ltd.(9) | 409,000 | $ 447,814 | |
$ 447,814 | |||
Vietnam — 0.4% | |||
Bank for Foreign Trade of Vietnam JSC(7) | 84,651 | $ 327,270 |
Security | Shares | Value | |
Vietnam (continued) | |||
Binh Minh Plastics JSC | 14,820 | $ 48,997 | |
Coteccons Construction JSC(7) | 36,000 | 91,068 | |
FPT Corp. | 575,901 | 2,035,574 | |
Hoa Phat Group JSC | 475,478 | 440,507 | |
KIDO Group Corp. | 10,295 | 28,084 | |
Military Commercial Joint Stock Bank(7) | 795,584 | 628,269 | |
Mobile World Investment Corp. | 1,082,498 | 1,862,962 | |
Phu Nhuan Jewelry JSC | 348,840 | 1,148,759 | |
Refrigeration Electrical Engineering Corp. | 250,251 | 758,988 | |
Vietnam Dairy Products JSC | 90,281 | 269,886 | |
Vingroup JSC(7) | 78,738 | 175,126 | |
$ 7,815,490 | |||
Total Common Stocks (identified cost $56,472,377) | $ 59,548,927 |
Convertible Bonds — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
Costa Rica — 0.2% | |||
Liberty Latin America, Ltd., 2.00%, 7/15/24 | USD | 3,340 | $ 3,094,953 |
$ 3,094,953 | |||
India — 0.1% | |||
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(10) | USD | 2,970 | $ 2,271,218 |
$ 2,271,218 | |||
Total Convertible Bonds (identified cost $6,312,153) | $ 5,366,171 |
Foreign Corporate Bonds — 5.2% |
Security | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(8) | |||
IRSA Inversiones y Representaciones S.A., 8.75%, 6/22/28(1) | USD | 280 | $ 276,030 |
$ 276,030 | |||
Armenia — 0.2% | |||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(10) | USD | 3,334 | $ 3,258,985 |
$ 3,258,985 |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 0.7% | |||
Coruripe Netherlands BV: | |||
10.00%, 2/10/27(1) | USD | 903 | $ 668,220 |
10.00%, 2/10/27(10) | USD | 1,989 | 1,471,860 |
Guara Norte S.a.r.l., 5.198%, 6/15/34(10) | USD | 1,073 | 914,687 |
Hidrovias International Finance S.a.r.l., 4.95%, 2/8/31(10) | USD | 1,383 | 1,042,927 |
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(1) | USD | 3,630 | 2,793,295 |
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1) | USD | 1,328 | 1,186,897 |
Natura Cosmeticos S.A., 4.125%, 5/3/28(10) | USD | 2,879 | 2,403,649 |
Vale S.A., 2.762%(11)(12) | BRL | 42,422 | 2,700,361 |
$ 13,181,896 | |||
Bulgaria — 0.1% | |||
Bulgarian Energy Holding EAD, 2.45%, 7/22/28(10) | EUR | 1,155 | $ 1,042,668 |
$ 1,042,668 | |||
Chile — 0.3% | |||
AES Andes S.A.: | |||
6.35% to 4/7/25, 10/7/79(10)(13) | USD | 636 | $ 591,349 |
7.125% to 4/7/24, 3/26/79(10)(13) | USD | 928 | 874,960 |
Latam Airlines Group S.A., 13.375%, 10/15/27(1) | USD | 1,900 | 1,986,872 |
VTR Comunicaciones SpA: | |||
4.375%, 4/15/29(10) | USD | 2,328 | 1,202,950 |
5.125%, 1/15/28(10) | USD | 2,324 | 1,300,266 |
$ 5,956,397 | |||
China — 0.2% | |||
KWG Group Holdings, Ltd., 7.875%, 8/30/24 | USD | 1,571 | $ 435,403 |
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(10)(14) | USD | 5,100 | 667,466 |
Sunac China Holdings, Ltd.: | |||
6.50%, 7/9/23(10)(14) | USD | 2,000 | 404,406 |
8.35%, 4/19/23(10)(14) | USD | 3,270 | 674,633 |
Times China Holdings, Ltd.: | |||
5.55%, 6/4/24(10)(14) | USD | 3,999 | 519,937 |
6.75%, 7/16/23(10)(14) | USD | 2,966 | 407,825 |
$ 3,109,670 | |||
Colombia — 0.1% | |||
ABRA Global Finance, 11.50%, (6.00% cash and 5.50% PIK), 3/2/28(1)(15) | USD | 1,449 | $ 1,162,785 |
$ 1,162,785 |
Security | Principal Amount (000's omitted) | Value | |
Georgia — 0.4% | |||
Georgia Capital JSC, 6.125%, 3/9/24(10) | USD | 6,762 | $ 6,635,212 |
$ 6,635,212 | |||
Honduras — 0.0%(8) | |||
Inversiones Atlantida S.A., 7.50%, 5/19/26(10) | USD | 487 | $ 450,112 |
$ 450,112 | |||
Iceland — 0.6% | |||
Arion Banki HF, 6.00%, 4/12/24(10) | ISK | 1,000,000 | $ 7,194,907 |
Landsbankinn HF, 5.00%, 11/23/23(10) | ISK | 560,000 | 4,056,970 |
WOW Air HF: | |||
0.00% (9)(11)(14) | EUR | 79 | 0 |
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(9)(14) | EUR | 3,600 | 0 |
$ 11,251,877 | |||
India — 1.0% | |||
Indian Railway Finance Corp., Ltd., 2.80%, 2/10/31(10) | USD | 15,006 | $ 12,636,486 |
JSW Infrastructure, Ltd., 4.95%, 1/21/29(10) | USD | 3,677 | 3,186,115 |
JSW Steel, Ltd., 5.05%, 4/5/32(10) | USD | 1,466 | 1,182,124 |
Reliance Communications, Ltd., 6.50%, 11/6/20(10)(14) | USD | 1,800 | 112,500 |
Vedanta Resources Finance II PLC, 13.875%, 1/21/24(10) | USD | 1,481 | 1,287,225 |
$ 18,404,450 | |||
Indonesia — 0.1% | |||
Alam Sutera Realty Tbk PT, 6.25%, (6.25% cash or 6.50% PIK), 11/2/25(10)(15) | USD | 1,685 | $ 1,407,723 |
$ 1,407,723 | |||
Mexico — 0.3% | |||
Alpha Holding S.A. de CV: | |||
9.00%, 2/10/25(10)(14) | USD | 3,890 | $ 53,488 |
10.00%, 12/19/22(10)(14) | USD | 1,741 | 10,708 |
Braskem Idesa SAPI, 6.99%, 2/20/32(10) | USD | 3,000 | 2,148,750 |
Grupo Kaltex S.A. de CV, 14.50%, (13.00% cash and 1.50% PIK), 9/30/25(1)(15) | USD | 1,124 | 1,011,600 |
Total Play Telecomunicaciones S.A. de CV, 7.50%, 11/12/25(10) | USD | 2,010 | 1,406,715 |
$ 4,631,261 | |||
Moldova — 0.2% | |||
Aragvi Finance International DAC, 8.45%, 4/29/26(10) | USD | 5,849 | $ 4,035,810 |
$ 4,035,810 |
Security | Principal Amount (000's omitted) | Value | |
Nigeria — 0.3% | |||
IHS Holding, Ltd., 5.625%, 11/29/26(10) | USD | 1,740 | $ 1,460,417 |
IHS Netherlands Holdco BV, 8.00%, 9/18/27(10) | USD | 970 | 855,394 |
SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(10) | USD | 3,306 | 2,652,801 |
$ 4,968,612 | |||
Paraguay — 0.2% | |||
Frigorifico Concepcion S.A., 7.70%, 7/21/28(1) | USD | 4,435 | $ 3,177,278 |
$ 3,177,278 | |||
Saint Lucia — 0.0%(8) | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(10) | USD | 1,120 | $ 1,015,347 |
$ 1,015,347 | |||
South Africa — 0.2% | |||
HTA Group, Ltd., 7.00%, 12/18/25(10) | USD | 2,353 | $ 2,221,879 |
Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(10)(15) | USD | 1,060 | 1,012,411 |
$ 3,234,290 | |||
Turkey — 0.2% | |||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(10) | USD | 4,386 | $ 3,635,552 |
$ 3,635,552 | |||
Uzbekistan — 0.1% | |||
International Finance Corp., 16.00%, 2/21/25 | UZS | 16,000,000 | $ 1,434,179 |
Ipoteka-Bank ATIB, 5.50%, 11/19/25(10) | USD | 833 | 760,154 |
National Bank of Uzbekistan, 4.85%, 10/21/25(10) | USD | 326 | 302,365 |
$ 2,496,698 | |||
Total Foreign Corporate Bonds (identified cost $116,789,382) | $ 93,332,653 |
Loan Participation Notes — 1.9% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 1.9% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(9)(10)(16) | UZS | 293,470,000 | $ 25,683,490 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(9)(10)(16) | UZS | 82,927,000 | 7,253,300 |
Total Loan Participation Notes (identified cost $37,633,693) | $ 32,936,790 |
Reinsurance Side Cars — 0.7% |
Security | Shares | Value | |
Eden Re II, Ltd.: | |||
Series 2021A, 0.00%, 3/21/25(1)(9)(17)(18) | 319,510 | $ 164,228 | |
Series 2022A, 0.00%, 3/20/26(1)(9)(17)(18) | 220,000 | 159,016 | |
Series 2022B, 0.00%, 3/20/26(1)(9)(17)(18) | 480,000 | 355,104 | |
Series 2023B, 0.00%, 3/19/27(1)(9)(17)(18) | 2,800,000 | 2,882,040 | |
Mt. Logan Re, Ltd., Series A-1(7)(9)(18)(19) | 4,400 | 3,820,362 | |
Sussex Capital, Ltd.: | |||
Designated Investment Series 16, 12/21(7)(9)(18)(19) | 817 | 295,935 | |
Designated Investment Series 16, 11/22(7)(9)(18)(19) | 793 | 824,455 | |
Series 16, Preference Shares(9)(18)(19) | 5,500 | 4,747,637 | |
Total Reinsurance Side Cars (identified cost $13,719,510) | $ 13,248,777 |
Senior Floating-Rate Loans — 1.0%(20) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(8) | |||
Desa, LLC, Term Loan, 2.50%, 6/30/24(9)(21) | $ | 830 | $ 392,940 |
$ 392,940 | |||
Luxembourg — 0.1% | |||
Zacapa S.a.r.l., Term Loan, 8.898%, (SOFR + 4.00%), 3/22/29 | $ | 1,089 | $ 1,065,178 |
$ 1,065,178 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Mexico — 0.9% | |||
Petroleos Mexicanos, Term Loan, 7.94%, (1 mo. USD LIBOR + 3.00%), 6/28/24 | $ | 15,931 | $ 15,512,806 |
$ 15,512,806 | |||
Total Senior Floating-Rate Loans (identified cost $17,459,824) | $ 16,970,924 |
Sovereign Government Bonds — 52.2% |
Security | Principal Amount (000's omitted) | Value | |
Albania — 0.1% | |||
Albania Government International Bond: | |||
0.00%, 1/18/24 | EUR | 11,000 | $ 106,175 |
3.50%, 10/9/25(10) | EUR | 2,157 | 2,265,038 |
3.50%, 6/16/27(10) | EUR | 209 | 210,575 |
$ 2,581,788 | |||
Argentina — 0.2% | |||
Province of Salta Argentina, 8.50%, 12/1/27(10)(22) | USD | 945 | $ 737,100 |
Provincia de Cordoba, 6.875%, 12/10/25(10)(22) | USD | 2,355 | 1,961,594 |
Republic of Argentina, 1.00%, 7/9/29 | USD | 2,768 | 650,393 |
$ 3,349,087 | |||
Armenia — 0.1% | |||
Republic of Armenia Treasury Bond, 9.75%, 10/29/52 | AMD | 621,020 | $ 1,388,403 |
$ 1,388,403 | |||
Barbados — 0.7% | |||
Government of Barbados, 6.50%, 10/1/29(10) | USD | 14,062 | $ 13,119,939 |
$ 13,119,939 | |||
Benin — 0.9% | |||
Benin Government International Bond: | |||
4.875%, 1/19/32(10) | EUR | 6,529 | $ 5,393,213 |
4.95%, 1/22/35(10) | EUR | 2,320 | 1,740,403 |
6.875%, 1/19/52(10) | EUR | 12,795 | 9,439,863 |
$ 16,573,479 |
Security | Principal Amount (000's omitted) | Value | |
Bolivia — 0.0%(8) | |||
Bolivian Government International Bond, 5.95%, 8/22/23(10) | USD | 1,062 | $ 967,406 |
$ 967,406 | |||
Cyprus — 0.5% | |||
Cyprus Government International Bond: | |||
2.75%, 2/26/34(10) | EUR | 812 | $ 796,504 |
4.125%, 4/13/33(10) | EUR | 7,242 | 8,063,226 |
$ 8,859,730 | |||
Dominican Republic — 3.2% | |||
Dominican Republic: | |||
8.00%, 1/15/27(10) | DOP | 96,000 | $ 1,543,526 |
8.00%, 2/12/27(10) | DOP | 490,340 | 7,846,644 |
12.00%, 8/8/25(1) | DOP | 373,380 | 6,814,836 |
12.75%, 9/23/29(1) | DOP | 368,500 | 7,486,656 |
13.00%, 1/30/26(1) | DOP | 161,230 | 3,033,743 |
13.00%, 6/9/34(10) | DOP | 613,300 | 12,988,932 |
13.625%, 2/3/33(1) | DOP | 496,000 | 10,782,525 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(10) | DOP | 31,580 | 505,106 |
12.00%, 10/3/25(1) | DOP | 138,420 | 2,526,241 |
13.00%, 12/5/25(1) | DOP | 216,700 | 4,092,277 |
$ 57,620,486 | |||
Ecuador — 0.3% | |||
Republic of Ecuador: | |||
1.50% to 7/31/23, 7/31/40(10)(22) | USD | 1,709 | $ 410,085 |
1.50% to 7/31/23, 7/31/40(10)(22) | USD | 1,130 | 271,203 |
5.50% to 7/31/23, 7/31/30(10)(22) | USD | 7,958 | 4,238,289 |
$ 4,919,577 | |||
Egypt — 0.4% | |||
Arab Republic of Egypt: | |||
6.375%, 4/11/31(10) | EUR | 5,098 | $ 2,952,383 |
7.50%, 2/16/61(10) | USD | 1,381 | 696,176 |
8.70%, 3/1/49(10) | USD | 1,260 | 674,339 |
8.75%, 9/30/51(10) | USD | 1,560 | 828,953 |
Egyptian Financial Co. for Sovereign Taskeek, 10.875%, 2/28/26(1) | USD | 1,956 | 1,617,221 |
$ 6,769,072 |
Security | Principal Amount (000's omitted) | Value | |
El Salvador — 0.2% | |||
Republic of El Salvador: | |||
5.875%, 1/30/25(10) | USD | 862 | $ 720,333 |
6.375%, 1/18/27(10) | USD | 3,246 | 2,047,196 |
$ 2,767,529 | |||
Ethiopia — 0.5% | |||
Ethiopia Government International Bond, 6.625%, 12/11/24(10) | USD | 12,079 | $ 8,481,391 |
$ 8,481,391 | |||
Honduras — 0.6% | |||
Honduras Government International Bond: | |||
5.625%, 6/24/30(10) | USD | 8,831 | $ 7,011,835 |
6.25%, 1/19/27(10) | USD | 4,103 | 3,694,593 |
$ 10,706,428 | |||
Hungary — 0.4% | |||
Hungary Government Bond: | |||
3.00%, 4/25/41 | HUF | 2,901,700 | $ 4,848,999 |
4.00%, 4/28/51 | HUF | 1,143,090 | 2,024,497 |
$ 6,873,496 | |||
Iceland — 1.1% | |||
Republic of Iceland: | |||
1.50%, 5/15/23 | ISK | 365,753 | $ 2,687,356 |
2.50%, 4/15/24 | ISK | 168,247 | 1,170,642 |
6.50%, 1/24/31 | ISK | 1,418,285 | 10,377,201 |
8.00%, 6/12/25 | ISK | 816,758 | 5,939,019 |
$ 20,174,218 | |||
India — 2.3% | |||
Export-Import Bank of India, 5.50%, 1/18/33(1) | USD | 4,490 | $ 4,576,514 |
India Government Bond, 7.10%, 4/18/29 | INR | 2,963,600 | 36,278,121 |
$ 40,854,635 | |||
Indonesia — 3.2% | |||
Indonesia Government Bond: | |||
6.125%, 5/15/28 | IDR | 550,220,000 | $ 37,302,816 |
7.125%, 6/15/42 | IDR | 47,560,000 | 3,308,159 |
7.125%, 6/15/43 | IDR | 218,057,000 | 15,202,378 |
7.375%, 5/15/48 | IDR | 17,072,000 | 1,208,190 |
$ 57,021,543 |
Security | Principal Amount (000's omitted) | Value | |
Iraq — 1.0% | |||
Republic of Iraq, 5.80%, 1/15/28(10) | USD | 18,588 | $ 17,404,406 |
$ 17,404,406 | |||
Jordan — 0.7% | |||
Kingdom of Jordan: | |||
7.375%, 10/10/47(10) | USD | 6,567 | $ 5,565,270 |
7.50%, 1/13/29(10) | USD | 6,680 | 6,745,597 |
$ 12,310,867 | |||
Kenya — 0.5% | |||
Government of Kenya: | |||
6.30%, 1/23/34(10) | USD | 916 | $ 602,784 |
7.00%, 5/22/27(10) | USD | 1,998 | 1,614,476 |
7.25%, 2/28/28(10) | USD | 1,575 | 1,218,214 |
8.00%, 5/22/32(10) | USD | 7,341 | 5,535,312 |
$ 8,970,786 | |||
Lebanon — 0.3% | |||
Lebanese Republic: | |||
5.80%, 4/14/20(10)(14) | USD | 337 | $ 20,894 |
6.00%, 1/27/23(10)(14) | USD | 1,505 | 90,300 |
6.10%, 10/4/22(10)(14) | USD | 5,758 | 356,996 |
6.15%, 6/19/20(14) | USD | 448 | 27,776 |
6.20%, 2/26/25(10)(14) | USD | 450 | 27,672 |
6.25%, 5/27/22(14) | USD | 750 | 46,219 |
6.25%, 11/4/24(10)(14) | USD | 7,663 | 471,275 |
6.25%, 6/12/25(10)(14) | USD | 2,947 | 183,186 |
6.375%, 3/9/20(14) | USD | 6,588 | 408,456 |
6.40%, 5/26/23(14) | USD | 7,625 | 482,815 |
6.65%, 4/22/24(10)(14) | USD | 7,602 | 467,523 |
6.65%, 11/3/28(10)(14) | USD | 3,522 | 214,912 |
6.65%, 2/26/30(10)(14) | USD | 453 | 28,190 |
6.75%, 11/29/27(10)(14) | USD | 194 | 11,722 |
6.85%, 5/25/29(14) | USD | 8,628 | 535,971 |
7.00%, 12/3/24(14) | USD | 3,446 | 219,510 |
7.00%, 3/20/28(10)(14) | USD | 5,356 | 329,603 |
7.05%, 11/2/35(10)(14) | USD | 1,463 | 89,272 |
7.15%, 11/20/31(10)(14) | USD | 4,621 | 283,868 |
8.20%, 5/17/33(14) | USD | 1,595 | 97,534 |
8.25%, 4/12/21(10)(14) | USD | 3,382 | 219,830 |
8.25%, 5/17/34(14) | USD | 1,326 | 79,520 |
$ 4,693,044 |
Security | Principal Amount (000's omitted) | Value | |
Mexico — 4.2% | |||
Mexican Udibonos, 4.00%, 11/30/28 | MXN | 1,371,644 | $ 74,343,349 |
$ 74,343,349 | |||
Mozambique — 0.3% | |||
Mozambique Government International Bond, 5.00% to 9/15/23, 9/15/31(10)(22) | USD | 6,827 | $ 4,802,112 |
$ 4,802,112 | |||
New Zealand — 1.3% | |||
New Zealand Government Bond, 3.00%, 9/20/30(10)(23) | NZD | 33,921 | $ 23,028,402 |
$ 23,028,402 | |||
North Macedonia — 1.5% | |||
North Macedonia Government International Bond: | |||
1.625%, 3/10/28(10) | EUR | 9,553 | $ 8,421,374 |
2.75%, 1/18/25(10) | EUR | 2,570 | 2,679,444 |
3.675%, 6/3/26(10) | EUR | 4,477 | 4,576,291 |
6.96%, 3/13/27(10) | EUR | 9,573 | 10,719,062 |
$ 26,396,171 | |||
Pakistan — 0.1% | |||
Pakistan Government International Bond: | |||
8.25%, 4/15/24(10) | USD | 3,324 | $ 1,688,825 |
8.25%, 9/30/25(10) | USD | 1,190 | 493,421 |
$ 2,182,246 | |||
Peru — 1.5% | |||
Peru Government Bond: | |||
5.35%, 8/12/40 | PEN | 17,353 | $ 3,694,485 |
5.40%, 8/12/34 | PEN | 6,979 | 1,589,219 |
6.15%, 8/12/32 | PEN | 79,993 | 19,765,352 |
6.95%, 8/12/31 | PEN | 3,691 | 971,344 |
$ 26,020,400 | |||
Philippines — 1.0% | |||
Republic of the Philippines, 6.25%, 1/14/36 | PHP | 1,024,000 | $ 18,113,570 |
$ 18,113,570 | |||
Romania — 2.6% | |||
Romania Government Bond, 4.25%, 4/28/36 | RON | 57,700 | $ 9,541,261 |
Romania Government International Bond: | |||
1.75%, 7/13/30(10) | EUR | 858 | 708,102 |
2.124%, 7/16/31(10) | EUR | 678 | 554,950 |
2.125%, 3/7/28(10) | EUR | 4,146 | 3,933,187 |
Security | Principal Amount (000's omitted) | Value | |
Romania (continued) | |||
Romania Government International Bond: (continued) | |||
2.625%, 12/2/40(10) | EUR | 894 | $ 580,230 |
2.75%, 4/14/41(10) | EUR | 1,699 | 1,111,322 |
3.375%, 1/28/50(10) | EUR | 5,202 | 3,462,008 |
4.625%, 4/3/49(10) | EUR | 9,940 | 8,203,386 |
5.00%, 9/27/26(10) | EUR | 8,524 | 9,447,546 |
6.625%, 9/27/29(10) | EUR | 8,340 | 9,468,164 |
$ 47,010,156 | |||
Serbia — 4.3% | |||
Republic of Serbia: | |||
1.00%, 9/23/28(10) | EUR | 9,388 | $ 8,004,859 |
1.50%, 6/26/29(10) | EUR | 10,232 | 8,692,143 |
1.65%, 3/3/33(10) | EUR | 368 | 267,472 |
Serbia Treasury Bond: | |||
4.50%, 8/20/32 | RSD | 1,539,040 | 12,459,783 |
5.875%, 2/8/28 | RSD | 4,951,760 | 47,186,282 |
$ 76,610,539 | |||
South Africa — 7.2% | |||
Republic of South Africa: | |||
8.00%, 1/31/30 | ZAR | 884,300 | $ 43,319,460 |
10.50%, 12/21/26 | ZAR | 824,456 | 47,363,909 |
10.50%, 12/21/26 | ZAR | 640,925 | 36,820,290 |
$127,503,659 | |||
South Korea — 1.3% | |||
Korea Treasury Bond, 1.875%, 12/10/24 | KRW | 31,500,000 | $ 22,993,666 |
$ 22,993,666 | |||
Sri Lanka — 1.2% | |||
Sri Lanka Government International Bond: | |||
5.75%, 4/18/23(10)(14) | USD | 7,202 | $ 2,442,624 |
6.20%, 5/11/27(10)(14) | USD | 5,303 | 1,791,950 |
6.35%, 6/28/24(10)(14) | USD | 3,160 | 1,074,318 |
6.75%, 4/18/28(10)(14) | USD | 10,946 | 3,700,542 |
6.825%, 7/18/26(10)(14) | USD | 13,209 | 4,733,114 |
6.85%, 3/14/24(10)(14) | USD | 6,343 | 2,157,693 |
6.85%, 11/3/25(10)(14) | USD | 5,492 | 1,965,143 |
7.55%, 3/28/30(10)(14) | USD | 5,992 | 2,024,875 |
7.85%, 3/14/29(10)(14) | USD | 4,400 | 1,487,271 |
$ 21,377,530 |
Security | Principal Amount (000's omitted) | Value | |
Suriname — 1.8% | |||
Republic of Suriname: | |||
9.25%, 10/26/26(10)(14) | USD | 44,764 | $ 32,140,552 |
12.875%, 12/30/23(10)(14) | USD | 406 | 301,653 |
$ 32,442,205 | |||
Ukraine — 2.2% | |||
Ukraine Government Bond: | |||
10.00%, 8/23/23 | UAH | 39,841 | $ 883,592 |
10.95%, 11/1/23 | UAH | 51,923 | 1,082,591 |
11.67%, 11/22/23 | UAH | 822,303 | 16,926,556 |
15.84%, 2/26/25 | UAH | 781,614 | 14,428,200 |
16.00%, 5/24/23 | UAH | 106,523 | 2,645,392 |
Ukraine Government International Bond, 0.00%, GDP-Linked, 8/1/41(10)(24) | USD | 9,576 | 2,491,167 |
$ 38,457,498 | |||
United Arab Emirates — 0.7% | |||
Finance Department Government of Sharjah, 4.00%, 7/28/50(10) | USD | 19,846 | $ 12,969,004 |
$ 12,969,004 | |||
Uruguay — 0.8% | |||
Uruguay Government Bond, 3.875%, 7/2/40(23) | UYU | 431,433 | $ 11,828,166 |
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24 | UYU | 88,660 | 2,021,019 |
$ 13,849,185 | |||
Uzbekistan — 0.1% | |||
Republic of Uzbekistan: | |||
14.00%, 7/19/24(10) | UZS | 2,500,000 | $ 215,880 |
14.50%, 11/25/23(10) | UZS | 16,470,000 | 1,449,190 |
$ 1,665,070 | |||
Vietnam — 2.0% | |||
Vietnam Government International Bond, 4.80%, 11/19/24(10) | USD | 37,214 | $ 36,482,935 |
$ 36,482,935 | |||
Zambia — 0.9% | |||
Zambia Government Bond, 11.00%, 1/25/26 | ZMW | 115,980 | $ 5,167,054 |
Zambia Government International Bond: | |||
5.375%, 9/20/22(10)(14) | USD | 13,056 | 5,725,957 |
8.50%, 4/14/24(10)(14) | USD | 7,269 | 3,462,952 |
Security | Principal Amount (000's omitted) | Value | |
Zambia (continued) | |||
Zambia Government International Bond: (continued) | |||
8.97%, 7/30/27(10)(14) | USD | 3,137 | $ 1,469,998 |
$ 15,825,961 | |||
Total Sovereign Government Bonds (identified cost $1,042,054,071) | $928,480,968 |
Sovereign Loans — 4.0% |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Ivory Coast — 0.2% | |||
Republic of Ivory Coast, Term Loan, 8.555%, (6 mo. EURIBOR + 5.75%), 1/6/28(4) | EUR | 2,665 | $ 3,104,154 |
$ 3,104,154 | |||
Kenya — 0.4% | |||
Government of Kenya: | |||
Term Loan, 11.176%, (3 mo. USD LIBOR + 6.45%), 6/29/25(4) | USD | 6,038 | $ 5,652,507 |
Term Loan, 12.173%, (6 mo. USD LIBOR + 6.70%), 10/24/24(4) | USD | 871 | 811,270 |
$ 6,463,777 | |||
Nigeria — 0.3% | |||
Bank of Industry Limited, Term Loan, 11.138%, (3 mo. USD LIBOR + 6.00%), 12/11/23(4)(25) | USD | 5,728 | $ 5,727,039 |
$ 5,727,039 | |||
Tanzania — 3.1% | |||
Government of the United Republic of Tanzania, Term Loan, 11.434%, (6 mo. USD LIBOR + 6.30%), 4/28/31(4) | USD | 58,755 | $ 55,710,140 |
$ 55,710,140 | |||
Total Sovereign Loans (identified cost $74,503,374) | $ 71,005,110 |
U.S. Government Agency Mortgage-Backed Securities — 2.0% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
3.609%, (COF + 1.25%), with maturity at 2035(26) | $ | 337 | $ 329,537 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: (continued) | |||
4.185%, (COF + 1.25%), with maturity at 2029(26) | $ | 6 | $ 5,430 |
4.231%, (1 yr. CMT + 2.31%), with maturity at 2036(26) | 525 | 535,326 | |
4.50%, with maturity at 2035 | 114 | 113,568 | |
4.519%, (COF + 1.25%), with maturity at 2030(26) | 113 | 111,334 | |
6.00%, with various maturities to 2035 | 2,793 | 2,906,081 | |
6.50%, with various maturities to 2032 | 2,983 | 3,132,609 | |
6.60%, with maturity at 2030 | 303 | 314,471 | |
7.00%, with various maturities to 2036 | 3,667 | 3,847,095 | |
7.31%, with maturity at 2026 | 0 (2) | 238 | |
7.50%, with various maturities to 2035 | 1,285 | 1,349,795 | |
7.50%, with maturity at 2024 | 0 (2) | 51 | |
8.00%, with various maturities to 2030 | 240 | 242,516 | |
8.50%, with maturity at 2025 | 2 | 2,403 | |
9.00%, with various maturities to 2027 | 12 | 12,473 | |
9.50%, with maturity at 2027 | 6 | 6,121 | |
Federal National Mortgage Association: | |||
3.566%, (COF + 1.30%), with maturity at 2024(26) | 61 | 60,636 | |
3.569%, (COF + 1.30%), with maturity at 2033(26) | 376 | 363,719 | |
3.777%, (COF + 1.25%), with maturity at 2034(26) | 95 | 91,835 | |
3.81%, (COF + 1.40%), with maturity at 2025(26) | 64 | 63,545 | |
3.86%, (COF + 1.35%), with maturity at 2027(26) | 23 | 22,620 | |
3.866%, (COF + 1.25%), with maturity at 2035(26) | 291 | 286,864 | |
4.01%, (COF + 1.60%), with maturity at 2024(26) | 26 | 26,225 | |
4.319%, (1 yr. CMT + 2.15%), with maturity at 2028(26) | 54 | 54,279 | |
4.862%, (COF + 1.79%), with maturity at 2035(26) | 793 | 772,936 | |
6.00%, with various maturities to 2035 | 9,217 | 9,614,701 | |
6.333%, (COF + 2.00%), with maturity at 2032(26) | 177 | 182,270 | |
6.50%, with various maturities to 2038 | 3,296 | 3,426,437 | |
7.00%, with various maturities to 2035 | 5,590 | 5,892,676 | |
7.50%, with various maturities to 2027 | 5 | 4,688 | |
7.725%, (1 yr. CMT + 2.23%), with maturity at 2025(26) | 3 | 3,004 | |
8.00%, with maturity at 2026 | 0 (2) | 151 | |
8.50%, with various maturities to 2037 | 700 | 749,509 | |
8.50%, with maturity at 2026 | 0 (2) | 309 | |
9.00%, with various maturities to 2032 | 53 | 54,909 | |
9.50%, with various maturities to 2031 | 13 | 13,038 | |
11.50%, with maturity at 2031 | 67 | 74,850 | |
Government National Mortgage Association: | |||
3.00%, (1 yr. CMT + 1.50%), with maturity at 2024(26) | 28 | 27,593 | |
6.50%, with various maturities to 2032 | 138 | 144,071 | |
7.00%, with various maturities to 2031 | 236 | 244,151 | |
7.50%, with various maturities to 2028 | 22 | 22,494 | |
8.00%, with maturity at 2023 | 0 (2) | 301 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
9.00%, with maturity at 2025 | $ | 1 | $ 776 |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $37,606,541) | $ 35,107,635 |
U.S. Government Guaranteed Small Business Administration Loans (27)(28)— 0.6% |
Security | Principal Amount (000's omitted) | Value | |
1.66%, 8/15/42 to 4/15/43 | $ | 6,736 | $ 367,080 |
1.91%, 9/15/42 to 2/15/43 | 6,873 | 431,563 | |
1.93%, 5/15/42 | 1,193 | 77,228 | |
2.16%, 2/15/42 to 4/15/43 | 8,662 | 638,195 | |
2.24%, 10/4/23 to 8/25/42(29) | 7,485 | 642,379 | |
2.33%, 12/28/26 to 8/17/42(29) | 18,464 | 1,211,696 | |
2.36%, 9/15/42 | 1,844 | 142,592 | |
2.39%, 7/15/39 | 922 | 61,278 | |
2.41%, 7/15/42 to 4/15/43 | 15,679 | 1,321,014 | |
2.46%, 1/15/43 | 1,406 | 144,940 | |
2.66%, 4/15/43 | 4,310 | 412,879 | |
2.71%, 8/15/27 to 9/15/42 | 2,491 | 200,804 | |
2.91%, 10/15/42 to 4/15/43 | 8,652 | 915,340 | |
2.93%, 4/15/42 | 893 | 102,947 | |
2.96%, 7/15/27 to 12/15/42 | 4,746 | 394,124 | |
3.16%, 9/15/42 to 4/15/43 | 4,046 | 510,062 | |
3.21%, 6/15/27 to 3/15/43 | 3,603 | 334,372 | |
3.41%, 3/15/43 to 4/15/43 | 5,533 | 646,276 | |
3.46%, 3/15/27 to 9/15/42 | 4,028 | 428,978 | |
3.66%, 1/15/43 to 6/15/43 | 6,055 | 854,572 | |
3.71%, 3/15/28 to 10/15/42 | 7,522 | 723,013 | |
3.78%, 5/15/27 to 6/15/42 | 974 | 95,956 | |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $18,213,400) | $ 10,657,288 |
U.S. Treasury Obligations — 6.2% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond: | |||
0.125%, 2/15/52(30) | $ | 23,339 | $ 15,953,930 |
0.625%, 7/15/32(23) | 12,220 | 11,610,548 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Note, 1.625%, 10/15/27(31) | $ | 82,043 | $ 83,397,269 |
Total U.S. Treasury Obligations (identified cost $111,359,325) | $110,961,747 |
Warrants — 0.0%(8) |
Security | Shares | Value | |
IRSA Inversiones y Representaciones S.A., Exp. 3/5/26(7) | 201,760 | $ 62,667 | |
Total Warrants (identified cost $0) | $ 62,667 |
Miscellaneous — 0.0% |
Security | Shares | Value | |
Financial Intermediaries — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(7)(9) | 3,698,000 | $ 0 | |
Alpha Holding S.A., Escrow Certificates(7)(9) | 7,780,000 | 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Short-Term Investments — 15.5% |
Affiliated Fund — 3.4% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(32) | 60,484,763 | $ 60,484,763 | |
Total Affiliated Fund (identified cost $60,484,763) | $ 60,484,763 |
Repurchase Agreements — 4.7% |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: | |||
Dated 3/24/23 with an interest rate of 4.25%, collateralized by USD 3,176,000 Republic of Colombia, 6.125%, due 1/18/41 and a market value, including accrued interest, of $2,580,649(33) | USD | 2,513 | $ 2,513,010 |
Dated 3/29/23 with an interest rate of 4.30%, collateralized by USD 3,174,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,222,767(33) | USD | 2,222 | 2,221,800 |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: (continued) | |||
Dated 4/14/23 with an interest rate of 4.50%, collateralized by USD 3,600,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,521,096(33) | USD | 2,535 | $ 2,535,464 |
Barclays Bank PLC: | |||
Dated 3/1/23 with an interest rate of 2.10%, collateralized by EUR 4,000,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $4,203,662(33) | EUR | 3,560 | 3,922,766 |
Dated 3/7/23 with an interest rate of 1.60%, collateralized by EUR 2,000,000 Republic of Poland, 2.75%, due 5/25/32 and a market value, including accrued interest, of $2,265,530(33) | EUR | 1,895 | 2,088,101 |
Dated 3/7/23 with an interest rate of 1.65%, collateralized by EUR 2,000,000 Republic of Poland, 1.50%, due 1/19/26 and a market value, including accrued interest, of $1,913,684(33) | EUR | 1,980 | 2,181,763 |
Dated 3/7/23 with an interest rate of 1.75%, collateralized by EUR 1,200,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $1,261,098(33) | EUR | 1,056 | 1,163,607 |
Dated 3/24/23 with an interest rate of 3.75%, collateralized by USD 500,000 Tengizchevroil Finance Co. International Ltd., 4.00%, due 8/15/26 and a market value, including accrued interest, of $450,617(33) | USD | 468 | 467,500 |
Dated 4/4/23 with an interest rate of 1.70%, collateralized by EUR 2,000,000 Republic of Poland, 1.375%, due 10/22/27 and a market value, including accrued interest, of $2,218,900(33) | EUR | 1,895 | 2,088,101 |
Dated 4/10/23 with an interest rate of 1.75%, collateralized by EUR 4,000,000 Republic of Poland, 1.125%, due 8/7/26 and a market value, including accrued interest, of $4,534,729(33) | EUR | 3,910 | 4,308,431 |
Dated 4/10/23 with an interest rate of 4.50%, collateralized by USD 3,500,000 Uruguay Government International Bond, 4.375%, due 1/23/31 and a market value, including accrued interest, of $3,540,481(33) | USD | 3,736 | 3,736,250 |
JPMorgan Chase Bank, N.A.: | |||
Dated 4/4/23 with an interest rate of 4.45%, collateralized by USD 3,176,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,224,167(33) | USD | 2,314 | 2,314,422 |
Dated 4/4/23 with an interest rate of 4.50%, collateralized by USD 3,187,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,231,871(33) | USD | 2,322 | 2,322,438 |
Nomura International PLC: | |||
Dated 3/23/23 with an interest rate of 2.90%, collateralized by EUR 1,956,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $1,865,496(33) | USD | 1,910 | 1,909,805 |
Description | Principal Amount (000's omitted) | Value | |
Nomura International PLC: (continued) | |||
Dated 3/23/23 with an interest rate of 3.90%, collateralized by EUR 790,000 Republic of Poland, 1.125%, due 8/7/26 and a market value, including accrued interest, of $812,786(33) | USD | 838 | $ 837,844 |
Dated 3/23/23 with an interest rate of 4.25%, collateralized by USD 1,500,000 Republic of Angola, 8.75%, due 4/14/32 and a market value, including accrued interest, of $1,253,238(33) | USD | 1,362 | 1,361,570 |
Dated 3/23/23 with an interest rate of 4.25%, collateralized by USD 13,574,000 Uruguay Government International Bond, 4.375%, due 1/23/31 and a market value, including accrued interest, of $13,730,996(33) | USD | 14,083 | 14,083,025 |
Dated 3/23/23 with an interest rate of 4.50%, collateralized by USD 4,400,000 Uruguay Government International Bond, 4.375%, due 1/23/31 and a market value, including accrued interest, of $4,450,890(33) | USD | 4,639 | 4,638,587 |
Dated 3/23/23 with an interest rate of 4.55%, collateralized by USD 4,776,000 Uruguay Government International Bond, 4.375%, due 1/23/31 and a market value, including accrued interest, of $4,883,993(33) | USD | 4,987 | 4,987,023 |
Dated 4/3/23 with an interest rate of 4.25%, collateralized by USD 1,500,000 Republic of Angola, 8.00%, due 11/26/29 and a market value, including accrued interest, of $1,319,452(33) | USD | 1,435 | 1,434,667 |
Dated 4/3/23 with an interest rate of 4.40%, collateralized by USD 3,176,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,224,167(33) | USD | 2,426 | 2,426,400 |
Dated 4/11/23 with an interest rate of 4.55%, collateralized by USD 3,175,000 Republic of Colombia, 5.00%, due 6/15/45 and a market value, including accrued interest, of $2,203,796(33) | USD | 2,395 | 2,395,061 |
Dated 4/11/23 with an interest rate of 4.55%, collateralized by USD 3,174,000 Republic of Colombia, 5.625%, due 2/26/44 and a market value, including accrued interest, of $2,356,714(33) | USD | 2,556 | 2,555,625 |
Dated 4/20/23 with an interest rate of 4.22%, collateralized by USD 1,525,000 Republic of Angola, 8.75%, due 4/14/32 and a market value, including accrued interest, of $1,274,125(33) | USD | 1,311 | 1,310,866 |
Dated 4/23/23 with an interest rate of 4.15%, collateralized by USD 1,763,000 Republic of Angola, 8.00%, due 11/26/29 and a market value, including accrued interest, of $1,550,796(33) | USD | 1,581 | 1,580,646 |
Dated 4/23/23 with an interest rate of 4.15%, collateralized by USD 1,469,000 Republic of Angola, 8.75%, due 4/14/32 and a market value, including accrued interest, of $1,227,338(33) | USD | 1,333 | 1,333,431 |
Description | Principal Amount (000's omitted) | Value | |
Nomura International PLC: (continued) | |||
Dated 4/26/23 with an interest rate of 4.20%, collateralized by USD 11,138,000 Republic of Angola, 8.25%, due 5/9/28 and a market value, including accrued interest, of $10,139,608(33) | USD | 10,546 | $ 10,546,461 |
Total Repurchase Agreements (identified cost $82,834,710) | $ 83,264,664 |
Sovereign Government Securities — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Sri Lanka — 0.2% | |||
Sri Lanka Treasury Bill, 0.00%, 7/7/23 | LKR | 810,000 | $ 2,413,699 |
Total Sovereign Government Securities (identified cost $2,421,366) | $ 2,413,699 |
U.S. Treasury Obligations — 7.2% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 5/2/23 | $ | 10,360 | $ 10,358,806 |
0.00%, 5/9/23 | 100,000 | 99,908,556 | |
0.00%, 5/16/23 | 2,625 | 2,620,393 | |
0.00%, 5/30/23(31) | 15,700 | 15,648,052 | |
Total U.S. Treasury Obligations (identified cost $128,546,091) | $128,535,807 | ||
Total Short-Term Investments (identified cost $274,286,930) | $274,698,933 |
Total Purchased Options and Swaptions — 0.1% (identified cost $1,961,415) | $ 2,170,750 | ||
Total Investments — 96.3% (identified cost $1,882,444,302) | $1,713,773,681 | ||
Total Written Options — (0.0)%(8) (premiums received $214,147) | $ (149,324) |
Securities Sold Short — (4.5)% | |||
Common Stocks — (0.2)% |
Security | Shares | Value | |
New Zealand — (0.2)% | |||
a2 Milk Co., Ltd. (The)(7) | (88,400) | $ (322,870) | |
Auckland International Airport, Ltd.(7) | (114,900) | (629,118) | |
Contact Energy, Ltd. | (74,900) | (363,268) | |
EBOS Group, Ltd. | (6,305) | (173,028) | |
Fisher & Paykel Healthcare Corp., Ltd., Class C | (45,400) | (778,742) | |
Fletcher Building, Ltd. | (74,800) | (208,566) | |
Infratil, Ltd. | (69,500) | (410,967) | |
Mainfreight, Ltd. | (8,100) | (359,745) | |
Meridian Energy, Ltd. | (115,400) | (390,824) | |
Ryman Healthcare, Ltd. | (46,097) | (151,432) | |
Spark New Zealand, Ltd. | (178,200) | (577,395) | |
Total Common Stocks (proceeds $4,565,285) | $ (4,365,955) | ||
Sovereign Government Bonds — (4.3)% |
Security | Principal Amount (000's omitted) | Value | |
Angola — (0.9)% | |||
Republic of Angola: | |||
8.00%, 11/26/29(10) | USD | (3,263) | $ (2,757,855) |
8.25%, 5/9/28(10) | USD | (11,138) | (9,792,474) |
8.75%, 4/14/32(10) | USD | (4,494) | (3,736,132) |
$(16,286,461) | |||
Colombia — (1.0)% | |||
Republic of Colombia: | |||
5.00%, 6/15/45 | USD | (3,175) | $ (2,143,824) |
5.20%, 5/15/49 | USD | (15,202) | (10,281,520) |
5.625%, 2/26/44 | USD | (3,174) | (2,324,477) |
6.125%, 1/18/41 | USD | (3,176) | (2,524,992) |
$(17,274,813) | |||
Poland — (0.9)% | |||
Republic of Poland: | |||
1.00%, 3/7/29(10) | EUR | (7,156) | $ (6,814,108) |
1.125%, 8/7/26(10) | EUR | (4,790) | (4,888,738) |
1.375%, 10/22/27(10) | EUR | (2,000) | (1,999,312) |
Security | Principal Amount (000's omitted) | Value | |
Poland (continued) | |||
Republic of Poland: (continued) | |||
2.75%, 5/25/32(10) | EUR | (2,000) | $ (2,004,637) |
$(15,706,795) | |||
Uruguay — (1.5)% | |||
Uruguay Government International Bond, 4.375%, 1/23/31 | USD | (26,250) | $ (26,530,922) |
$(26,530,922) | |||
Total Sovereign Government Bonds (proceeds $74,686,427) | $(75,798,991) | ||
Total Securities Sold Short (proceeds $79,251,712) | $(80,164,946) |
Other Assets, Less Liabilities — 8.2% | $ 146,631,478 | ||
Net Assets — 100.0% | $1,780,090,889 |
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $110,071,061 or 6.2% of the Portfolio's net assets. |
(2) | Principal amount is less than $500. |
(3) | 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. |
(4) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(5) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at April 30, 2023. |
(6) | 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, 2023. |
(7) | Non-income producing security. |
(8) | Amount is less than 0.05% or (0.05)%, as applicable. |
(9) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 10). |
(10) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $449,730,750 or 25.3% of the Portfolio's net assets. |
(11) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(12) | Variable rate security whose coupon rate is linked to the issuer’s mining activity revenue. The coupon rate shown represents the rate in effect at April 30, 2023. |
(13) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(14) | 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. |
(15) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(16) | 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. |
(17) | Quantity held represents principal in USD. |
(18) | 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. |
(19) | Restricted security (see Note 5). |
(20) | 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 London Interbank Offered Rate (“LIBOR”) or 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. |
(21) | Fixed-rate loan. |
(22) | Step coupon security. Interest rate represents the rate in effect at April 30, 2023. |
(23) | 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. |
(24) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
(25) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(26) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at April 30, 2023. |
(27) | 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. |
(28) | Securities comprise a trust that is wholly-owned by the Portfolio and may only be sold on a pro-rata basis with all securities in the trust. |
(29) | The stated interest rate represents the weighted average fixed interest rate at April 30, 2023 of all interest only securities comprising the certificate. |
(30) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(31) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
(32) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
(33) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Purchased Currency Options (OTC) — 0.1% | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call BRL vs. Put USD (Digital Option) | Goldman Sachs International | USD | 2,350,000 | BRL | 4.80 | 6/6/23 | $ 372,113 |
Call BRL vs. Put USD (Digital Option) | Citibank, N.A. | USD | 1,640,000 | BRL | 4.80 | 9/6/23 | 378,091 |
Call MXN vs. Put USD (Digital Option) | JPMorgan Chase Bank, N.A. | USD | 330,000 | MXN | 17.50 | 7/7/23 | 57,981 |
Call USD vs. Put CNH | Barclays Bank PLC | USD | 13,900,000 | CNH | 7.00 | 1/18/24 | 132,439 |
Call USD vs. Put CNH | Goldman Sachs International | USD | 24,200,000 | CNH | 7.00 | 1/18/24 | 230,578 |
Call USD vs. Put CNH | Deutsche Bank AG | USD | 18,330,000 | CNH | 7.00 | 2/16/24 | 184,748 |
Total | $1,355,950 |
Purchased Credit Default Swaptions (OTC) — 0.0%(1) | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Call - Markit CDX North America High Yield 5-Year Index (CDX.NA.HY.40.V1) - expiring 9/20/28 buy protection at 96 basis point spread | JPMorgan Chase Bank, N.A. | USD | 56,000,000 | 9/20/23 | $ 814,800 |
Total | $814,800 |
(1) | Amount is less than 0.05%. |
Written Currency Options (OTC) — (0.0)%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 13,900,000 | CNH | 7.50 | 1/18/24 | $ (35,111) |
Call USD vs. Put CNH | Goldman Sachs International | USD | 24,200,000 | CNH | 7.50 | 1/18/24 | (61,129) |
Call USD vs. Put CNH | Deutsche Bank AG | USD | 18,330,000 | CNH | 7.50 | 2/16/24 | (53,084) |
Total | $(149,324) |
(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 | 4,617,285 | PHP | 254,784,095 | 5/24/23 | $ 15,607 |
USD | 3,696,958 | PHP | 204,000,000 | 5/24/23 | 12,496 |
USD | 8,620,970 | PHP | 477,000,000 | 5/24/23 | 5,832 |
USD | 6,922,079 | PHP | 383,000,000 | 5/24/23 | 4,682 |
USD | 8,601,342 | PHP | 476,000,000 | 5/24/23 | 4,265 |
USD | 6,920,828 | PHP | 383,000,000 | 5/24/23 | 3,432 |
BRL | 29,774,600 | USD | 5,657,172 | 6/9/23 | 268,543 |
COP | 103,000,000 | USD | 22,428 | 6/21/23 | (745) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
COP | 182,000,000 | USD | 39,630 | 6/21/23 | $ (1,317) |
COP | 412,000,000 | USD | 89,713 | 6/21/23 | (2,981) |
COP | 1,000,000,000 | USD | 218,196 | 6/21/23 | (7,682) |
COP | 3,275,000,000 | USD | 714,591 | 6/21/23 | (25,157) |
COP | 4,808,227,051 | USD | 1,049,135 | 6/21/23 | (36,935) |
COP | 13,181,000,000 | USD | 2,876,039 | 6/21/23 | (101,251) |
EUR | 5,775,000 | USD | 6,210,383 | 6/21/23 | 170,894 |
EUR | 4,409,299 | USD | 4,741,720 | 6/21/23 | 130,480 |
EUR | 3,100,000 | USD | 3,333,712 | 6/21/23 | 91,735 |
EUR | 2,191,939 | USD | 2,357,191 | 6/21/23 | 64,864 |
EUR | 1,941,857 | USD | 2,088,255 | 6/21/23 | 57,463 |
EUR | 943,095 | USD | 1,034,764 | 6/21/23 | 7,340 |
EUR | 64,827 | USD | 69,209 | 6/21/23 | 2,424 |
KRW | 1,696,160,473 | USD | 1,283,366 | 6/21/23 | (11,930) |
KRW | 2,847,000,000 | USD | 2,208,757 | 6/21/23 | (74,656) |
KRW | 3,959,000,000 | USD | 3,048,222 | 6/21/23 | (80,570) |
KRW | 3,956,000,000 | USD | 3,047,766 | 6/21/23 | (82,363) |
KRW | 4,397,180,000 | USD | 3,402,758 | 6/21/23 | (106,648) |
USD | 351,337 | COP | 1,696,227,051 | 6/21/23 | (5,743) |
USD | 418,771 | COP | 2,021,793,074 | 6/21/23 | (6,845) |
USD | 885,255 | COP | 4,294,000,000 | 6/21/23 | (18,693) |
USD | 1,055,338 | COP | 5,119,000,000 | 6/21/23 | (22,285) |
USD | 2,015,361 | COP | 9,730,000,000 | 6/21/23 | (32,943) |
USD | 5,080,011 | COP | 24,641,000,000 | 6/21/23 | (107,269) |
USD | 237,423 | EUR | 220,778 | 6/21/23 | (6,533) |
USD | 578,661 | EUR | 538,093 | 6/21/23 | (15,923) |
USD | 821,250 | EUR | 763,676 | 6/21/23 | (22,599) |
USD | 1,666,856 | EUR | 1,550,000 | 6/21/23 | (45,868) |
USD | 8,668,010 | EUR | 7,900,119 | 6/21/23 | (61,486) |
USD | 2,357,191 | EUR | 2,191,939 | 6/21/23 | (64,864) |
USD | 9,778,323 | EUR | 8,912,070 | 6/21/23 | (69,362) |
USD | 2,562,192 | EUR | 2,400,000 | 6/21/23 | (89,767) |
USD | 3,817,262 | EUR | 3,549,651 | 6/21/23 | (105,041) |
USD | 4,741,720 | EUR | 4,409,299 | 6/21/23 | (130,480) |
USD | 4,866,766 | EUR | 4,525,578 | 6/21/23 | (133,921) |
USD | 6,305,914 | EUR | 5,863,834 | 6/21/23 | (173,522) |
USD | 7,298,412 | EUR | 6,786,752 | 6/21/23 | (200,833) |
USD | 8,391,990 | EUR | 7,803,664 | 6/21/23 | (230,926) |
USD | 9,750,144 | EUR | 9,060,917 | 6/21/23 | (262,014) |
USD | 9,850,624 | EUR | 9,160,039 | 6/21/23 | (271,064) |
USD | 11,829,300 | EUR | 11,000,000 | 6/21/23 | (325,512) |
USD | 14,775,389 | EUR | 13,739,551 | 6/21/23 | (406,580) |
USD | 18,386,175 | EUR | 17,097,201 | 6/21/23 | (505,940) |
USD | 25,143,693 | EUR | 23,380,979 | 6/21/23 | (691,889) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 36,257,561 | EUR | 33,715,702 | 6/21/23 | $ (997,714) |
USD | 39,421,337 | EUR | 36,657,680 | 6/21/23 | (1,084,773) |
USD | 54,988,439 | EUR | 51,133,440 | 6/21/23 | (1,513,139) |
USD | 1,454,983 | INR | 119,700,000 | 6/21/23 | (5,893) |
USD | 125,751 | PEN | 481,000 | 6/21/23 | (3,626) |
USD | 416,847 | PEN | 1,593,000 | 6/21/23 | (11,631) |
USD | 1,148,779 | PEN | 4,351,000 | 6/21/23 | (21,532) |
USD | 2,479,683 | PEN | 9,398,000 | 6/21/23 | (48,146) |
USD | 3,092,685 | PEN | 11,777,562 | 6/21/23 | (75,188) |
USD | 5,460,189 | PEN | 20,847,000 | 6/21/23 | (147,138) |
USD | 5,912,281 | PEN | 22,579,000 | 6/21/23 | (160,911) |
USD | 6,836,290 | PEN | 26,049,000 | 6/21/23 | (170,246) |
IDR | 103,833,000,000 | USD | 6,722,758 | 6/23/23 | 350,326 |
USD | 6,732,915 | IDR | 103,833,000,000 | 6/23/23 | (340,169) |
IDR | 51,304,500,000 | USD | 3,283,789 | 7/11/23 | �� 210,118 |
IDR | 40,203,200,000 | USD | 2,563,244 | 7/11/23 | 174,649 |
IDR | 32,162,000,000 | USD | 2,051,815 | 7/11/23 | 138,461 |
IDR | 32,162,300,000 | USD | 2,054,100 | 7/11/23 | 136,197 |
USD | 2,350,682 | IDR | 35,811,000,000 | 7/11/23 | (88,096) |
USD | 2,871,294 | IDR | 43,770,000,000 | 7/11/23 | (109,503) |
USD | 5,001,706 | IDR | 76,251,000,000 | 7/11/23 | (191,092) |
IDR | 130,000,000,000 | USD | 8,603,574 | 7/25/23 | 247,767 |
IDR | 13,052,087,707 | USD | 864,548 | 7/25/23 | 24,132 |
USD | 3,090,079 | IDR | 47,426,408,989 | 7/25/23 | (139,054) |
USD | 5,272,337 | IDR | 80,919,616,677 | 7/25/23 | (237,256) |
USD | 8,187,485 | IDR | 123,778,395,631 | 7/25/23 | (240,244) |
USD | 13,663,552 | IDR | 206,500,000,000 | 7/25/23 | (396,462) |
USD | 9,426,513 | PHP | 532,400,000 | 7/26/23 | (175,427) |
USD | 11,037,424 | PHP | 622,620,000 | 7/26/23 | (191,651) |
USD | 10,933,102 | PHP | 617,600,000 | 7/26/23 | (205,437) |
USD | 14,523,299 | IDR | 217,922,104,000 | 7/27/23 | (313,975) |
BRL | 19,047,526 | USD | 3,551,470 | 9/11/23 | 173,557 |
$ (9,113,176) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
ARS | 602,000,000 | USD | 2,704,403 | BNP Paribas | 5/3/23 | $ — | $ (571) |
ARS | 602,000,000 | USD | 2,704,428 | Goldman Sachs International | 5/3/23 | — | (596) |
USD | 2,704,428 | ARS | 602,000,000 | BNP Paribas | 5/3/23 | 596 | — |
USD | 2,684,504 | ARS | 602,000,000 | Goldman Sachs International | 5/3/23 | — | (19,328) |
EUR | 6,700,000 | USD | 7,400,756 | HSBC Bank USA, N.A. | 5/5/23 | — | (17,095) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 4,274,765 | EUR | 3,870,000 | HSBC Bank USA, N.A. | 5/5/23 | $ 9,874 | $ — |
USD | 1,933,033 | EUR | 1,750,000 | HSBC Bank USA, N.A. | 5/5/23 | 4,465 | — |
USD | 1,192,958 | EUR | 1,080,000 | HSBC Bank USA, N.A. | 5/5/23 | 2,756 | — |
USD | 21,177,084 | CNH | 143,713,200 | Standard Chartered Bank | 5/8/23 | 425,679 | — |
USD | 18,498,709 | CNH | 125,550,000 | Standard Chartered Bank | 5/8/23 | 369,972 | — |
USD | 9,017,146 | CNH | 61,900,000 | Standard Chartered Bank | 5/8/23 | 79,122 | — |
MYR | 13,000,000 | USD | 2,939,182 | Goldman Sachs International | 5/10/23 | — | (14,613) |
MYR | 14,900,000 | USD | 3,369,135 | Goldman Sachs International | 5/10/23 | — | (17,129) |
MYR | 12,700,000 | USD | 2,884,987 | Barclays Bank PLC | 5/15/23 | — | (27,122) |
MYR | 13,800,000 | USD | 3,210,422 | Goldman Sachs International | 5/15/23 | — | (105,026) |
MYR | 25,800,000 | USD | 6,006,286 | Goldman Sachs International | 5/15/23 | — | (200,545) |
USD | 8,949,772 | MYR | 39,200,000 | Barclays Bank PLC | 5/15/23 | 128,647 | — |
USD | 354,214 | ZMW | 6,960,304 | Standard Chartered Bank | 5/17/23 | — | (37,078) |
ILS | 33,157,532 | USD | 9,073,318 | Barclays Bank PLC | 5/24/23 | 68,309 | — |
ILS | 32,369,408 | USD | 8,855,836 | UBS AG | 5/24/23 | 68,503 | — |
KES | 280,081,950 | USD | 2,138,047 | Standard Chartered Bank | 5/25/23 | — | (122,924) |
USD | 1,958,615 | KES | 280,081,950 | Standard Chartered Bank | 5/25/23 | — | (56,508) |
USD | 2,505,723 | ARS | 602,000,000 | BNP Paribas | 5/31/23 | 10,518 | — |
UZS | 2,065,216,713 | USD | 175,763 | ICBC Standard Bank plc | 6/2/23 | 3,329 | — |
USD | 6,340,228 | TRY | 126,487,935 | Standard Chartered Bank | 6/8/23 | 434,288 | — |
USD | 5,636,994 | BRL | 29,774,600 | Goldman Sachs International | 6/9/23 | — | (288,721) |
KES | 219,560,746 | USD | 1,665,876 | Standard Chartered Bank | 6/12/23 | — | (108,097) |
USD | 1,509,009 | KES | 219,560,746 | Standard Chartered Bank | 6/12/23 | — | (48,771) |
AUD | 22,212,527 | USD | 14,663,666 | Goldman Sachs International | 6/21/23 | 65,755 | — |
AUD | 538,522 | USD | 359,545 | HSBC Bank USA, N.A. | 6/21/23 | — | (2,444) |
CAD | 8,486,000 | USD | 6,242,160 | Citibank, N.A. | 6/21/23 | 27,492 | — |
CAD | 8,486,000 | USD | 6,242,184 | Goldman Sachs International | 6/21/23 | 27,468 | — |
CAD | 7,528,000 | USD | 5,536,807 | HSBC Bank USA, N.A. | 6/21/23 | 25,052 | — |
CZK | 91,212,746 | EUR | 3,832,146 | Citibank, N.A. | 6/21/23 | 27,369 | — |
CZK | 47,363,627 | EUR | 1,984,375 | Standard Chartered Bank | 6/21/23 | 20,318 | — |
CZK | 47,363,627 | EUR | 1,984,399 | UBS AG | 6/21/23 | 20,292 | — |
EUR | 4,298,440 | HUF | 1,649,212,428 | Citibank, N.A. | 6/21/23 | — | (48,931) |
EUR | 663,171 | HUF | 256,299,999 | Goldman Sachs International | 6/21/23 | — | (12,951) |
EUR | 1,852,103 | HUF | 708,400,810 | UBS AG | 6/21/23 | — | (14,657) |
EUR | 6,952,489 | NOK | 77,360,000 | Bank of America, N.A. | 6/21/23 | 405,852 | — |
EUR | 2,488,004 | PLN | 11,806,192 | Citibank, N.A. | 6/21/23 | — | (79,710) |
EUR | 2,698,240 | PLN | 12,796,041 | Citibank, N.A. | 6/21/23 | — | (84,584) |
EUR | 3,640,651 | PLN | 17,275,786 | Citibank, N.A. | 6/21/23 | — | (116,638) |
EUR | 3,948,285 | PLN | 18,724,214 | Citibank, N.A. | 6/21/23 | — | (123,770) |
EUR | 7,565,843 | SEK | 84,430,000 | UBS AG | 6/21/23 | 106,228 | — |
HUF | 822,008,026 | EUR | 2,145,193 | UBS AG | 6/21/23 | 21,355 | — |
HUF | 833,103,657 | EUR | 2,176,990 | UBS AG | 6/21/23 | 18,504 | — |
JPY | 378,692,954 | USD | 2,869,086 | Bank of America, N.A. | 6/21/23 | — | (68,483) |
JPY | 2,994,331,969 | USD | 22,423,216 | Bank of America, N.A. | 6/21/23 | — | (278,795) |
JPY | 739,350,000 | USD | 5,652,214 | Citibank, N.A. | 6/21/23 | — | (184,390) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
MYR | 14,310,000 | USD | 3,172,773 | Barclays Bank PLC | 6/21/23 | $ 54,925 | $ — |
MYR | 2,146,000 | USD | 476,360 | Barclays Bank PLC | 6/21/23 | 7,682 | — |
MYR | 22,844,000 | USD | 5,078,476 | Credit Agricole Corporate and Investment Bank | 6/21/23 | 74,112 | — |
NOK | 77,360,000 | EUR | 6,807,486 | Goldman Sachs International | 6/21/23 | — | (245,626) |
NZD | 7,013,161 | USD | 4,354,366 | Bank of America, N.A. | 6/21/23 | — | (18,282) |
NZD | 25,450,000 | USD | 15,555,119 | Standard Chartered Bank | 6/21/23 | 180,059 | — |
PLN | 7,640,000 | EUR | 1,602,482 | HSBC Bank USA, N.A. | 6/21/23 | 59,925 | — |
SEK | 84,430,000 | EUR | 7,379,783 | Goldman Sachs International | 6/21/23 | 99,366 | — |
THB | 391,400,000 | USD | 11,451,233 | Standard Chartered Bank | 6/21/23 | 66,084 | — |
USD | 10,753,221 | BHD | 4,061,000 | Standard Chartered Bank | 6/21/23 | — | (7,449) |
USD | 16,206,945 | BHD | 6,120,833 | Standard Chartered Bank | 6/21/23 | — | (11,786) |
USD | 4,728,064 | EUR | 4,294,722 | UBS AG | 6/21/23 | — | (17,531) |
USD | 5,536,662 | JPY | 739,350,000 | Bank of America, N.A. | 6/21/23 | 68,839 | — |
USD | 2,835,863 | JPY | 378,692,954 | Bank of America, N.A. | 6/21/23 | 35,259 | — |
USD | 245,553 | MXN | 4,758,000 | Bank of America, N.A. | 6/21/23 | — | (16,432) |
USD | 9,622,267 | MXN | 177,985,000 | Standard Chartered Bank | 6/21/23 | — | (177,929) |
USD | 4,869,515 | MXN | 94,109,000 | Standard Chartered Bank | 6/21/23 | — | (312,307) |
USD | 5,549,326 | MXN | 107,064,000 | Standard Chartered Bank | 6/21/23 | — | (345,824) |
USD | 6,034,965 | MXN | 116,360,000 | Standard Chartered Bank | 6/21/23 | — | (372,040) |
USD | 10,048,594 | MXN | 185,530,200 | UBS AG | 6/21/23 | — | (167,056) |
USD | 35,962,963 | MXN | 660,253,000 | UBS AG | 6/21/23 | — | (391,835) |
USD | 21,613,007 | NZD | 34,810,000 | Bank of America, N.A. | 6/21/23 | 90,746 | — |
USD | 9,592,673 | NZD | 15,450,000 | Bank of America, N.A. | 6/21/23 | 40,276 | — |
USD | 6,828,992 | NZD | 10,998,804 | Bank of America, N.A. | 6/21/23 | 28,673 | — |
USD | 13,066,763 | NZD | 21,000,000 | HSBC Bank USA, N.A. | 6/21/23 | 82,922 | — |
USD | 6,222,268 | NZD | 10,000,000 | HSBC Bank USA, N.A. | 6/21/23 | 39,487 | — |
USD | 3,733,361 | NZD | 6,000,000 | HSBC Bank USA, N.A. | 6/21/23 | 23,692 | — |
USD | 11,848,784 | NZD | 19,386,001 | Standard Chartered Bank | 6/21/23 | — | (137,156) |
USD | 12,457,468 | SAR | 46,808,000 | Standard Chartered Bank | 6/21/23 | — | (15,921) |
USD | 118,378 | THB | 4,090,000 | Standard Chartered Bank | 6/21/23 | — | (1,974) |
USD | 11,328,419 | THB | 391,400,000 | Standard Chartered Bank | 6/21/23 | — | (188,898) |
USD | 2,384,118 | UYU | 93,219,000 | Citibank, N.A. | 6/21/23 | 2,263 | — |
USD | 2,676,648 | ZAR | 48,127,185 | Goldman Sachs International | 6/21/23 | 57,401 | — |
USD | 2,684,960 | ZAR | 48,319,693 | Goldman Sachs International | 6/21/23 | 55,236 | — |
USD | 9,398,638 | ZAR | 171,698,279 | Goldman Sachs International | 6/21/23 | 54,227 | — |
USD | 1,912,422 | ZAR | 34,376,561 | Goldman Sachs International | 6/21/23 | 41,532 | — |
USD | 1,910,634 | ZAR | 34,376,561 | Goldman Sachs International | 6/21/23 | 39,743 | — |
USD | 4,672,729 | ZAR | 85,849,139 | Goldman Sachs International | 6/21/23 | 523 | — |
USD | 12,546,149 | ZAR | 232,473,671 | Goldman Sachs International | 6/21/23 | — | (105,868) |
USD | 12,576,877 | ZAR | 233,162,497 | Goldman Sachs International | 6/21/23 | — | (112,628) |
USD | 12,568,527 | ZAR | 233,162,496 | Goldman Sachs International | 6/21/23 | — | (120,978) |
USD | 12,559,738 | ZAR | 233,162,497 | Goldman Sachs International | 6/21/23 | — | (129,767) |
USD | 9,366,735 | ZAR | 175,191,936 | Goldman Sachs International | 6/21/23 | — | (167,813) |
USD | 50,335,466 | ZAR | 931,961,159 | Goldman Sachs International | 6/21/23 | — | (385,066) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 3,681,488 | ZAR | 66,000,000 | HSBC Bank USA, N.A. | 6/21/23 | $ 89,541 | $ — |
USD | 4,672,252 | ZAR | 85,849,140 | UBS AG | 6/21/23 | 47 | — |
USD | 9,005,034 | ZAR | 168,011,506 | UBS AG | 6/21/23 | — | (138,730) |
ZAR | 52,414,000 | USD | 2,821,441 | Citibank, N.A. | 6/21/23 | 31,110 | — |
ZAR | 19,800,000 | USD | 1,078,459 | HSBC Bank USA, N.A. | 6/21/23 | — | (875) |
ZAR | 361,697,853 | USD | 19,743,960 | State Street Bank and Trust Company | 6/21/23 | — | (59,119) |
USD | 3,000,537 | UYU | 117,351,000 | Citibank, N.A. | 6/22/23 | 2,546 | — |
UZS | 3,501,513,277 | USD | 297,748 | ICBC Standard Bank plc | 7/13/23 | 2,574 | — |
AUD | 14,930,000 | USD | 10,056,054 | Bank of America, N.A. | 7/20/23 | — | (143,907) |
AUD | 15,530,000 | USD | 10,456,883 | BNP Paribas | 7/20/23 | — | (146,391) |
EGP | 123,920,000 | USD | 4,587,930 | Citibank, N.A. | 7/20/23 | — | (1,182,100) |
USD | 4,947,269 | EGP | 109,037,808 | Goldman Sachs International | 7/20/23 | 1,950,462 | — |
USD | 3,258,751 | EGP | 72,637,560 | Goldman Sachs International | 7/20/23 | 1,262,373 | — |
USD | 3,258,751 | EGP | 73,419,660 | Goldman Sachs International | 7/27/23 | 1,253,352 | — |
UZS | 3,501,513,277 | USD | 295,549 | ICBC Standard Bank plc | 8/1/23 | 3,542 | — |
USD | 5,254,049 | UGX | 20,070,467,680 | Standard Chartered Bank | 8/3/23 | — | (33,191) |
KES | 178,630,000 | USD | 1,327,128 | Standard Chartered Bank | 8/4/23 | — | (101,758) |
USD | 1,175,197 | KES | 178,630,000 | Standard Chartered Bank | 8/4/23 | — | (50,173) |
UZS | 1,744,360,902 | USD | 147,327 | ICBC Standard Bank plc | 8/15/23 | 1,141 | — |
USD | 3,831,383 | UGX | 14,501,783,000 | Goldman Sachs International | 8/22/23 | 23,220 | — |
USD | 4,064,833 | UGX | 15,661,925,653 | Standard Chartered Bank | 9/6/23 | — | (37,727) |
USD | 3,553,643 | BRL | 19,047,526 | Citibank, N.A. | 9/11/23 | ��— | (171,384) |
USD | 50,744,992 | ZAR | 931,678,062 | UBS AG | 9/18/23 | 481,012 | — |
USD | 3,027,452 | KES | 471,741,325 | Standard Chartered Bank | 9/21/23 | — | (150,761) |
USD | 2,673,938 | EGP | 98,802,000 | Goldman Sachs International | 9/25/23 | 115,928 | — |
USD | 1,421,614 | EGP | 51,960,000 | HSBC Bank USA, N.A. | 9/25/23 | 76,356 | — |
USD | 5,347,982 | EGP | 195,803,000 | Goldman Sachs International | 9/28/23 | 291,825 | — |
USD | 2,673,997 | EGP | 98,002,000 | Goldman Sachs International | 9/28/23 | 143,323 | — |
UZS | 1,845,934,481 | USD | 154,278 | ICBC Standard Bank plc | 10/13/23 | 513 | — |
USD | 1,376,114 | KES | 222,932,331 | Standard Chartered Bank | 12/21/23 | — | (83,524) |
HUF | 1,655,088,317 | EUR | 3,877,901 | Barclays Bank PLC | 1/30/24 | 257,338 | — |
USD | 5,209,600 | UGX | 20,525,823,667 | Deutsche Bank AG | 2/6/24 | — | (49,851) |
USD | 12,438,538 | SAR | 46,800,000 | Standard Chartered Bank | 3/14/24 | — | (18,959) |
USD | 10,754,098 | BHD | 4,100,000 | Standard Chartered Bank | 3/18/24 | — | (73,356) |
USD | 1,424,623 | EGP | 56,700,000 | HSBC Bank USA, N.A. | 3/25/24 | 112,336 | — |
OMR | 3,568,000 | USD | 9,252,872 | Standard Chartered Bank | 4/8/24 | — | (11,583) |
USD | 9,004,416 | OMR | 3,568,000 | BNP Paribas | 4/8/24 | — | (236,872) |
USD | 1,267,427 | OMR | 500,000 | Standard Chartered Bank | 4/22/24 | — | (27,388) |
OMR | 6,000,000 | USD | 15,554,519 | Standard Chartered Bank | 5/28/24 | — | (20,103) |
USD | 16,212,793 | OMR | 6,400,000 | Standard Chartered Bank | 5/28/24 | — | (357,251) |
USD | 9,388,519 | OMR | 3,711,000 | BNP Paribas | 7/8/24 | — | (217,980) |
USD | 9,916,350 | OMR | 3,912,000 | Standard Chartered Bank | 7/8/24 | — | (210,469) |
USD | 8,357,531 | OMR | 3,310,000 | BNP Paribas | 7/29/24 | — | (210,216) |
$9,673,254 | $(9,263,311) |
Non-Deliverable Bond Forward Contracts* | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
5/5/23 | COP | 12,267,570 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | $ 2,611,232 | $ 157,468 |
5/10/23 | COP | 5,448,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,159,642 | (10,959) |
5/15/23 | COP | 45,513,100 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 9,687,761 | (86,860) |
5/16/23 | COP | 56,130,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 11,947,765 | (108,199) |
5/16/23 | COP | 43,306,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 9,085,395 | 132,590 |
5/22/23 | COP | 39,685,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 8,447,212 | (45,860) |
5/24/23 | COP | 38,245,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 8,140,826 | (52,158) |
6/12/23 | COP | 20,731,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 4,412,729 | (48,063) |
6/19/23 | COP | 33,804,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 7,195,530 | (88,577) |
6/23/23 | COP | 34,377,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 7,317,369 | (83,828) |
6/23/23 | COP | 26,646,700 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 5,671,924 | — |
6/26/23 | COP | 32,026,200 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 6,816,986 | (94,347) |
6/29/23 | COP | 33,088,850 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 7,043,178 | (204,731) |
6/30/23 | COP | 17,189,000 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 3,658,791 | (34,480) |
$ (568,004) |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
Hang Seng Index | 20 | Long | 5/30/23 | $ 2,532,050 | $ (16,217) |
Nikkei 225 Index | 26 | Long | 6/8/23 | 3,781,050 | 78,553 |
Euro Stoxx 50 Index | (122) | Short | 6/16/23 | (5,814,996) | (372,522) |
SGX CNX Nifty Index | (354) | Short | 5/25/23 | (12,887,281) | (264,760) |
Interest Rate Futures | |||||
Euro-Bobl | (315) | Short | 6/8/23 | (40,947,227) | (1,041,466) |
Euro-Bund | (245) | Short | 6/8/23 | (36,596,538) | (948,993) |
Euro-Buxl | (74) | Short | 6/8/23 | (11,374,918) | (523,937) |
Japan 10-Year Bond | (47) | Short | 6/13/23 | (51,262,065) | (1,096,908) |
U.S. 2-Year Treasury Note | (154) | Short | 6/30/23 | (31,749,266) | (299,578) |
Futures Contracts (continued) | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures (continued) | |||||
U.S. 5-Year Treasury Note | (635) | Short | 6/30/23 | $(69,686,290) | $ (1,080,380) |
U.S. 10-Year Treasury Note | (639) | Short | 6/21/23 | (73,614,796) | (1,499,303) |
U.S. Ultra-Long Treasury Bond | (15) | Short | 6/21/23 | (2,121,094) | (100,923) |
$(7,166,434) |
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 | 5,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | $ 863,545 |
EUR | 5,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 863,545 |
EUR | 5,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 862,790 |
EUR | 6,070 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 945,892 |
EUR | 5,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,103,140) |
EUR | 5,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,103,140) |
EUR | 5,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,105,407) |
EUR | 6,070 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | (1,257,764) |
EUR | 2,590 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | (43,928) |
USD | 28,400 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (472,964) |
USD | 9,970 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (173,657) |
USD | 19,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 12,990 |
USD | 9,450 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 2,151 |
USD | 9,950 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 99,993 |
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) | |
USD | 3,510 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | $ (19,099) |
$(1,628,193) |
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) | |
CLP | 19,180,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.84% (pays semi-annually) | 6/22/25 | $ 186,768 | $ — | $ 186,768 |
CLP | 1,456,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.57% (pays semi-annually) | 12/21/27 | 55,097 | — | 55,097 |
CLP | 2,873,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | 107,144 | — | 107,144 |
CLP | 2,852,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.64% (pays semi-annually) | 12/21/27 | 96,982 | — | 96,982 |
CLP | 2,851,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.67% (pays semi-annually) | 12/21/27 | 92,261 | — | 92,261 |
CLP | 2,522,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.68% (pays semi-annually) | 12/21/27 | 80,232 | — | 80,232 |
CLP | 1,545,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.69% (pays semi-annually) | 12/21/27 | 48,727 | — | 48,727 |
CLP | 2,148,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.72% (pays semi-annually) | 12/21/27 | 63,625 | — | 63,625 |
CLP | 2,457,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.74% (pays semi-annually) | 12/21/27 | 70,758 | — | 70,758 |
CLP | 4,336,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.00% (pays semi-annually) | 6/22/33 | 30,361 | — | 30,361 |
COP | 62,519,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.84% (pays quarterly) | 5/5/25 | 1,851,218 | — | 1,851,218 |
COP | 29,306,100 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.19% (pays quarterly) | 6/4/25 | (927,456) | — | (927,456) |
COP | 44,982,400 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.26% (pays quarterly) | 6/5/25 | (1,411,709) | — | (1,411,709) |
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 | 59,477,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.34% (pays quarterly) | 6/8/25 | $(1,844,458) | $ — | $ (1,844,458) |
COP | 29,163,200 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.44% (pays quarterly) | 6/9/25 | (890,938) | — | (890,938) |
COP | 7,412,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 242,672 | — | 242,672 |
COP | 7,412,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.89% (pays quarterly) | 11/26/25 | 237,748 | — | 237,748 |
COP | 2,672,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.02% (pays quarterly) | 11/26/25 | 84,022 | — | 84,022 |
COP | 14,824,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.07% (pays quarterly) | 11/26/25 | 461,858 | — | 461,858 |
COP | 8,554,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.11% (pays quarterly) | 11/26/25 | 264,988 | — | 264,988 |
COP | 14,824,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.20% (pays quarterly) | 11/26/25 | 452,009 | — | 452,009 |
COP | 2,605,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.21% (pays quarterly) | 11/26/25 | 79,392 | — | 79,392 |
COP | 14,824,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.28% (pays quarterly) | 11/26/25 | 445,947 | — | 445,947 |
COP | 7,973,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 237,274 | — | 237,274 |
COP | 30,984,585 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.78% (pays quarterly) | 11/26/25 | 852,924 | — | 852,924 |
COP | 14,717,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.90% (pays quarterly) | 11/26/25 | 396,489 | — | 396,489 |
COP | 11,377,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (260,861) | — | (260,861) |
COP | 17,135,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.00% (pays quarterly) | 11/26/25 | 364,841 | — | 364,841 |
COP | 24,274,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.05% (pays quarterly) | 11/26/25 | 510,394 | — | 510,394 |
COP | 14,897,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.06% (pays quarterly) | 11/26/25 | 282,906 | — | 282,906 |
COP | 31,413,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.09% (pays quarterly) | 11/26/25 | 592,441 | — | 592,441 |
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 | 15,278,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.14% (pays quarterly) | 11/26/25 | $ 284,666 | $ — | $ 284,666 |
COP | 15,707,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.18% (pays quarterly) | 11/26/25 | 289,657 | — | 289,657 |
COP | 32,127,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.25% (pays quarterly) | 11/26/25 | 580,954 | — | 580,954 |
COP | 69,340,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 7.03% (pays quarterly) | 11/26/25 | 1,111,379 | — | 1,111,379 |
COP | 7,173,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.60% (pays quarterly) | 11/26/25 | 57,522 | — | 57,522 |
COP | 13,620,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.75% (pays quarterly) | 11/26/25 | 98,572 | — | 98,572 |
COP | 7,173,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.85% (pays quarterly) | 11/26/25 | 48,247 | — | 48,247 |
COP | 7,264,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.23% (pays quarterly) | 11/26/25 | 34,640 | — | 34,640 |
COP | 5,012,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.42% (pays quarterly) | 11/26/25 | 19,239 | — | 19,239 |
COP | 24,274,000 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.79% (pays quarterly) | 11/26/25 | (46,985) | — | (46,985) |
COP | 11,982,293 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.00% (pays quarterly) | 11/26/25 | 10,047 | — | 10,047 |
COP | 4,471,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.17% (pays quarterly) | 11/26/25 | (174) | (66) | (240) |
COP | 8,584,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.28% (pays quarterly) | 11/26/25 | (4,999) | — | (4,999) |
COP | 25,188,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.48% (pays quarterly) | 3/31/26 | 743,771 | — | 743,771 |
COP | 23,090,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.07% (pays quarterly) | 3/15/28 | (143,646) | — | (143,646) |
COP | 6,893,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 258,804 | — | 258,804 |
COP | 4,923,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 184,449 | — | 184,449 |
COP | 9,190,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.58% (pays quarterly) | 3/15/33 | (59,611) | — | (59,611) |
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 | 14,433,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.61% (pays quarterly) | 3/15/33 | $ (99,634) | $ — | $ (99,634) |
COP | 8,969,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.67% (pays quarterly) | 3/15/33 | (69,392) | — | (69,392) |
EUR | 4,314 | Pays | 6-month EURIBOR (pays semi-annually) | 3.06% (pays annually) | 10/11/26 | 55,293 | — | 55,293 |
EUR | 789 | Pays | 6-month EURIBOR (pays semi-annually) | 2.99% (pays annually) | 10/26/26 | 7,088 | — | 7,088 |
EUR | 2,000 | Pays | 6-month EURIBOR (pays semi-annually) | 3.12% (pays annually) | 10/19/27 | 36,249 | — | 36,249 |
EUR | 2,000 | Receives | 1-day Euro Short-Term Rate (pays annually) | 2.60% (pays annually) | 1/24/28 | 20,134 | (40) | 20,094 |
EUR | 3,629 | Pays | 6-month EURIBOR (pays semi-annually) | 3.03% (pays annually) | 10/10/29 | 66,108 | — | 66,108 |
EUR | 1,200 | Pays | 6-month EURIBOR (pays semi-annually) | 3.17% (pays annually) | 10/17/29 | 33,321 | — | 33,321 |
EUR | 1,781 | Pays | 6-month EURIBOR (pays semi-annually) | 3.01% (pays annually) | 10/27/29 | 28,580 | — | 28,580 |
EUR | 400 | Pays | 6-month EURIBOR (pays semi-annually) | 3.26% (pays annually) | 10/17/32 | 16,835 | — | 16,835 |
EUR | 800 | Pays | 6-month EURIBOR (pays semi-annually) | 3.31% (pays annually) | 10/18/32 | 37,878 | — | 37,878 |
EUR | 800 | Pays | 6-month EURIBOR (pays semi-annually) | 3.20% (pays annually) | 10/19/32 | 29,267 | — | 29,267 |
JPY | 2,838,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.31% (pays annually) | 12/1/27 | (130,763) | — | (130,763) |
JPY | 2,405,000 | Pays | 1-day Overnight Tokyo Average Rate (pays annually) | 0.32% (pays annually) | 12/1/27 | 23,623 | — | 23,623 |
JPY | 2,405,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.32% (pays annually) | 12/1/27 | (116,463) | — | (116,463) |
JPY | 173,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | (93,866) | — | (93,866) |
JPY | 155,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | (85,268) | — | (85,268) |
JPY | 165,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | (92,563) | — | (92,563) |
JPY | 512,600 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | (289,053) | — | (289,053) |
JPY | 474,500 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | (273,087) | — | (273,087) |
JPY | 472,700 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | (274,341) | — | (274,341) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
KRW | 11,549,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 1/11/26 | $ 29,391 | $ — | $ 29,391 |
KRW | 12,756,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.43% (pays quarterly) | 1/11/26 | 40,082 | — | 40,082 |
KRW | 7,637,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.39% (pays quarterly) | 1/12/26 | 17,764 | — | 17,764 |
KRW | 11,128,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.39% (pays quarterly) | 1/12/26 | 26,327 | — | 26,327 |
KRW | 6,437,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.24% (pays quarterly) | 1/17/26 | (2,638) | — | (2,638) |
KRW | 13,960,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 3/15/26 | 39,284 | — | 39,284 |
KRW | 15,418,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.70% (pays quarterly) | 9/21/27 | 259,000 | — | 259,000 |
KRW | 12,397,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.73% (pays quarterly) | 9/21/27 | 220,099 | — | 220,099 |
KRW | 5,242,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.57% (pays quarterly) | 6/21/28 | 81,353 | — | 81,353 |
KRW | 5,241,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.60% (pays quarterly) | 6/21/28 | 87,732 | — | 87,732 |
KRW | 5,422,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.61% (pays quarterly) | 6/21/28 | 91,707 | — | 91,707 |
MXN | 433,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 9.19% (pays monthly) | 2/18/28 | 603,610 | — | 603,610 |
MXN | 77,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 4/17/28 | 32,318 | — | 32,318 |
MXN | 236,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.73% (pays monthly) | 4/17/28 | 109,652 | — | 109,652 |
MXN | 104,200 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.56% (pays monthly) | 4/18/28 | 8,621 | — | 8,621 |
NZD | 44,260 | Pays | 3-month NZD Bank Bill (pays quarterly) | 5.17% (pays semi-annually) | 1/11/25 | 333,474 | — | 333,474 |
NZD | 45,900 | Pays | 3-month NZD Bank Bill (pays quarterly) | 5.19% (pays semi-annually) | 1/11/25 | 352,655 | — | 352,655 |
NZD | 7,990 | Pays | 3-month NZD Bank Bill (pays quarterly) | 3.98% (pays semi-annually) | 7/25/27 | (29,577) | — | (29,577) |
NZD | 10,640 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.00% (pays semi-annually) | 7/25/27 | (34,811) | — | (34,811) |
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) | |
NZD | 13,770 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.00% (pays semi-annually) | 7/25/27 | $ (45,051) | $ — | $ (45,051) |
NZD | 32,000 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.53% (pays semi-annually) | 3/15/28 | 174,890 | — | 174,890 |
NZD | 16,865 | Receives | 3-month NZD Bank Bill (pays quarterly) | 2.98% (pays semi-annually) | 2/23/32 | 975,536 | — | 975,536 |
NZD | 3,300 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.18% (pays semi-annually) | 6/28/32 | 20,852 | — | 20,852 |
NZD | 8,400 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.18% (pays semi-annually) | 6/28/32 | 52,718 | — | 52,718 |
NZD | 7,300 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.21% (pays semi-annually) | 6/28/32 | 49,701 | — | 49,701 |
PLN | 26,040 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/14/26 | 555,399 | — | 555,399 |
PLN | 82,460 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/15/26 | 1,760,966 | — | 1,760,966 |
PLN | 31,600 | Receives | 6-month PLN WIBOR (pays semi-annually) | 3.39% (pays annually) | 12/15/26 | 658,115 | — | 658,115 |
PLN | 22,700 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.56% (pays annually) | 12/21/27 | 23,383 | — | 23,383 |
PLN | 26,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.02% (pays annually) | 12/21/27 | (98,794) | — | (98,794) |
PLN | 13,580 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.53% (pays annually) | 12/21/32 | (15,381) | — | (15,381) |
PLN | 15,520 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.85% (pays annually) | 12/21/32 | (110,221) | — | (110,221) |
TWD | 446,300 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.17% (pays quarterly) | 12/21/27 | 112,620 | — | 112,620 |
TWD | 1,342,600 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.19% (pays quarterly) | 12/21/27 | 298,140 | — | 298,140 |
USD | 9,000 | Receives | SOFR (pays annually) | 1.44% (pays annually) | 9/9/24 | 577,893 | — | 577,893 |
USD | 14,000 | Receives | SOFR (pays annually) | 1.64% (pays annually) | 9/11/24 | 595,300 | — | 595,300 |
Total | $13,002,243 | $(106) | $13,002,137 |
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) |
Colombia | $ 19,500 | 1.00% (pays quarterly)(1) | 2.93% | 6/20/28 | $ (1,637,407) | $ 1,706,728 | $ 69,321 |
Petroleos Mexicanos | 14,138 | 1.00% (pays quarterly)(1) | 6.06 | 12/20/27 | (2,628,813) | 2,449,584 | (179,229) |
Petroleos Mexicanos | 31,500 | 1.00% (pays quarterly)(1) | 6.28 | 6/20/28 | (6,578,227) | 6,712,931 | 134,704 |
Total | $65,138 | $(10,844,447) | $10,869,243 | $ 24,796 |
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 | $ 8,750 | 1.00% (pays quarterly)(1) | 6/20/28 | $ (354,137) | $ 343,315 | $ (10,822) | |
Finland | 9,100 | 0.25% (pays quarterly)(1) | 6/20/28 | (17,737) | (4,285) | (22,022) | |
France | 41,000 | 0.25% (pays quarterly)(1) | 6/20/28 | 14,084 | (96,371) | (82,287) | |
Germany | 40,250 | 0.25% (pays quarterly)(1) | 6/20/28 | (229,493) | 171,318 | (58,175) | |
Hungary | 9,250 | 1.00% (pays quarterly)(1) | 6/20/28 | 278,329 | (311,269) | (32,940) | |
Malaysia | 54,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (796,740) | 382,164 | (414,576) | |
Malaysia | 80,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (1,180,355) | 673,463 | (506,892) | |
Markit CDX Emerging Markets Index (CDX.EM.31.V3) | 2,580 | 1.00% (pays quarterly)(1) | 6/20/24 | (1,266) | (90,215) | (91,481) | |
Markit CDX Emerging Markets Index (CDX.EM.39.V1) | 42,400 | 1.00% (pays quarterly)(1) | 6/20/28 | 2,519,916 | (2,898,507) | (378,591) | |
Markit CDX North America High Yield Index (CDX.NA.HY.40.V1) | 48,600 | 5.00% (pays quarterly)(1) | 6/20/28 | (971,335) | (71,603) | (1,042,938) | |
Mexico | 57,397 | 1.00% (pays quarterly)(1) | 6/20/28 | 267,206 | (1,088,016) | (820,810) | |
Philippines | 60,200 | 1.00% (pays quarterly)(1) | 6/20/28 | (256,439) | (270,648) | (527,087) | |
Poland | 37,800 | 1.00% (pays quarterly)(1) | 6/20/28 | (181,047) | (77,049) | (258,096) | |
Qatar | 12,396 | 1.00% (pays quarterly)(1) | 12/20/23 | (86,470) | 56,259 | (30,211) | |
Qatar | 18,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (506,970) | 424,520 | (82,450) | |
Saudi Arabia | 116,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (2,166,421) | 1,660,051 | (506,370) | |
South Africa | 74,180 | 1.00% (pays quarterly)(1) | 6/20/28 | 5,629,857 | (6,345,793) | (715,936) |
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) | |
South Africa | $ 23,540 | 1.00% (pays quarterly)(1) | 6/20/29 | $ 2,493,430 | $ (2,110,037) | $ 383,393 | |
South Africa | 9,666 | 1.00% (pays quarterly)(1) | 6/20/31 | 1,476,461 | (1,199,777) | 276,684 | |
Spain | 56,300 | 1.00% (pays quarterly)(1) | 6/20/28 | (1,244,661) | 1,275,686 | 31,025 | |
Turkey | 133,734 | 1.00% (pays quarterly)(1) | 6/20/28 | 22,855,383 | (23,375,257) | (519,874) | |
United Kingdom | 40,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (1,448,553) | 1,316,285 | (132,268) | |
Total | $26,093,042 | $ (31,635,766) | $ (5,542,724) |
Credit Default Swaps - Sell Protection (OTC) | ||||||||
Reference Entity | Counterparty | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Vietnam | Barclays Bank PLC | $ 5,700 | 1.00% (pays quarterly)(1) | 1.31% | 6/20/28 | $ (73,158) | $ 118,579 | $ 45,421 |
Vietnam | Goldman Sachs International | 9,100 | 1.00% (pays quarterly)(1) | 0.57 | 6/20/24 | 53,936 | (30,974) | 22,962 |
Vietnam | Goldman Sachs International | 35,121 | 1.00% (pays quarterly)(1) | 1.31 | 6/20/28 | (451,312) | 575,271 | 123,959 |
Vietnam | Nomura International PLC | 1,500 | 1.00% (pays quarterly)(1) | 1.31 | 6/20/28 | (19,252) | 33,404 | 14,152 |
Total | $51,421 | $ (489,786) | $696,280 | $206,494 |
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. | $ 9,250 | 1.00% (pays quarterly)(1) | 6/20/28 | $ (284,407) | $ 273,943 | $ (10,464) |
Dubai | Barclays Bank PLC | 3,357 | 1.00% (pays quarterly)(1) | 12/20/24 | (34,546) | (18,299) | (52,845) |
Dubai | Barclays Bank PLC | 5,058 | 1.00% (pays quarterly)(1) | 12/20/24 | (52,050) | (27,596) | (79,646) |
Qatar | Goldman Sachs International | 3,700 | 1.00% (pays quarterly)(1) | 12/20/23 | (25,913) | (807) | (26,720) |
Qatar | Goldman Sachs International | 3,090 | 1.00% (pays quarterly)(1) | 9/20/24 | (39,766) | 368 | (39,398) |
Qatar | Nomura International PLC | 9,620 | 1.00% (pays quarterly)(1) | 9/20/24 | (123,801) | 4,586 | (119,215) |
Credit Default Swaps - Buy Protection (OTC) (continued) | |||||||
Reference Entity | Counterparty | Notional Amount (000's omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Romania | Barclays Bank PLC | $ 9,820 | 1.00% (pays quarterly)(1) | 6/20/28 | $ 429,374 | $ (536,879) | $ (107,505) |
Saudi Arabia | Barclays Bank PLC | 14,533 | 1.00% (pays quarterly)(1) | 6/20/31 | (185,842) | (217,926) | (403,768) |
Saudi Arabia | Goldman Sachs International | 28,800 | 1.00% (pays quarterly)(1) | 6/20/33 | (273,595) | (94,093) | (367,688) |
South Africa | Goldman Sachs International | 16,600 | 1.00% (pays quarterly)(1) | 12/20/28 | 1,516,111 | (1,296,475) | 219,636 |
Sweden | Barclays Bank PLC | 19,250 | 0.25% (pays quarterly)(1) | 6/20/28 | (95,543) | 66,387 | (29,156) |
Total | $ 830,022 | $ (1,846,791) | $ (1,016,769) |
* | 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, 2023, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $116,559,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Total Return Swaps (OTC) | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Barclays Bank PLC | USD | 5,500 | SOFR (pays upon termination) | Return on iBoxx USD Liquid Leveraged Loans Index (pays upon termination) | 6/20/23 | $ (153,826) |
BNP Paribas | USD | 144,000 | Excess Return on Bloomberg Commodity 1 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.13% (pays upon termination) | 8/25/23 | (90,130) |
BNP Paribas | USD | 54,000 | Excess Return on Bloomberg Commodity 3 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.13% (pays upon termination) | 8/25/23 | (29,444) |
Citibank, N.A. | KRW | 21,000 | Positive Return on KOSPI 200 Index Futures 6/2023 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 6/2023 (pays upon termination) | 6/8/23 | 65,840 |
$ (207,560) |
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Effective Date/ Termination Date(1) | Value/Unrealized Appreciation (Depreciation) |
Barclays Bank PLC | 1-day Indice Camara Promedio Rate on CLP 3,452,164,660 (pays semi-annually)* | 1.41% on CLP equivalent of CLF 98,000 (pays semi-annually)* | Not Applicable/ 1/13/33 | $ 120,212 |
BNP Paribas | 3-month PLN WIBOR + 1.45% on PLN 16,578,665 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date** | 3-month EURIBOR on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount** | 10/14/25/ 10/14/28 | 50,828 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,333,595,340 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 42,000 (pays semi-annually)* | Not Applicable/ 4/8/32 | (280,215) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 4,064,683,520 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 128,000 (pays semi-annually)* | Not Applicable/ 4/11/32 | (925,917) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 757,813,425 (pays semi-annually)* | 1.85% on CLP equivalent of CLF 23,700 (pays semi-annually)* | Not Applicable/ 4/20/32 | (132,312) |
$(1,167,404) |
(1) | Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual. |
* | 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. |
** | The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered. |
Abbreviations: | |
ADR | – American Depositary Receipt |
CMT | – Constant Maturity Treasury |
COF | – Cost of Funds 11th District |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
EURIBOR | – Euro Interbank Offered Rate |
GDP | – Gross Domestic Product |
HICP | – Harmonised Indices of Consumer Prices |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
TAIBOR | – Taipei Interbank Offered Rate |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
AMD | – Armenian Dram |
ARS | – Argentine Peso |
AUD | – Australian Dollar |
BHD | – Bahraini Dinar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CLF | – Chilean Unidad de Fomento |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EGP | – Egyptian Pound |
EUR | – Euro |
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 |
LKR | – Sri Lankan Rupee |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NOK | – Norwegian Krone |
NZD | – New Zealand Dollar |
OMR | – Omani Rial |
PEN | – Peruvian Sol |
PHP | – Philippine Peso |
PLN | – Polish Zloty |
RON | – Romanian Leu |
RSD | – Serbian Dinar |
SAR | – Saudi Riyal |
SEK | – Swedish Krona |
THB | – Thai Baht |
TRY | – Turkish Lira |
TWD | – New Taiwan Dollar |
UAH | – Ukrainian Hryvnia |
UGX | – Ugandan Shilling |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,821,959,539) | $ 1,653,288,918 |
Affiliated investment, at value (identified cost $60,484,763) | 60,484,763 |
Cash | 6,479,283 |
Deposits for derivatives collateral: | |
Centrally cleared derivatives | 77,235,074 |
OTC derivatives | 3,790,000 |
Foreign currency, at value (identified cost $35,617,113) | 36,370,662 |
Interest and dividends receivable | 27,975,135 |
Dividends receivable from affiliated investment | 179,408 |
Receivable for investments sold | 5,658,728 |
Cash collateral for securities sold short | 6,497,876 |
Receivable for open forward foreign currency exchange contracts | 9,673,254 |
Receivable for open swap contracts | 663,010 |
Upfront payments on open non-centrally cleared swap contracts | 2,223,049 |
Receivable for closed swap contracts | 1,511,426 |
Receivable for open non-deliverable bond forward contracts | 290,058 |
Tax reclaims receivable | 22,565 |
Total assets | $1,892,343,209 |
Liabilities | |
Cash collateral due to brokers | $ 3,790,000 |
Written options outstanding, at value (premiums received $214,147) | 149,324 |
Payable for investments purchased | 3,530,717 |
Payable for securities sold short, at value (proceeds $79,251,712) | 80,164,946 |
Payable for variation margin on open futures contracts | 1,678,185 |
Payable for variation margin on open centrally cleared derivatives | 3,142,497 |
Payable for open forward foreign currency exchange contracts | 9,263,311 |
Payable for open swap contracts | 2,848,249 |
Payable for closed swap contracts | 1,586,078 |
Upfront receipts on open non-centrally cleared swap contracts | 1,072,538 |
Payable for open non-deliverable bond forward contracts | 858,062 |
Payable to affiliates: | |
Investment adviser fee | 861,592 |
Trustees' fees | 9,223 |
Interest payable on securities sold short | 1,886,451 |
Accrued foreign capital gains taxes | 84,232 |
Accrued expenses and other liabilities | 1,326,915 |
Total liabilities | $ 112,252,320 |
Net Assets applicable to investors' interest in Portfolio | $1,780,090,889 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $80,378) | $ 852,576 |
Dividend income from affiliated investment | 2,700,238 |
Interest and other income (net of foreign taxes withheld of $306,774) | 61,412,107 |
Total investment income | $ 64,964,921 |
Expenses | |
Investment adviser fee | $ 5,300,947 |
Trustees’ fees and expenses | 54,250 |
Custodian fee | 569,819 |
Legal and accounting services | 150,599 |
Interest expense and fees | 303,152 |
Interest and dividend expense on securities sold short | 1,826,370 |
Miscellaneous | 41,932 |
Total expenses | $ 8,247,069 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 101,773 |
Total expense reductions | $ 101,773 |
Net expenses | $ 8,145,296 |
Net investment income | $ 56,819,625 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $154,290) | $ (94,135,010) |
Securities sold short | (879,629) |
Futures contracts | 18,699,858 |
Swap contracts | (9,955,082) |
Foreign currency transactions | 2,252,556 |
Forward foreign currency exchange contracts | (6,061,453) |
Non-deliverable bond forward contracts | 5,787,037 |
Net realized loss | $ (84,291,723) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $84,232) | $ 217,059,026 |
Written options | 64,823 |
Securities sold short | (3,775,102) |
Futures contracts | (30,731,742) |
Swap contracts | (14,147,639) |
Foreign currency | 4,341,952 |
Forward foreign currency exchange contracts | (29,693,382) |
Non-deliverable bond forward contracts | (1,540,050) |
Net change in unrealized appreciation (depreciation) | $141,577,886 |
Net realized and unrealized gain | $ 57,286,163 |
Net increase in net assets from operations | $114,105,788 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 56,819,625 | $ 119,196,721 |
Net realized gain (loss) | (84,291,723) | 111,414,187 |
Net change in unrealized appreciation (depreciation) | 141,577,886 | (321,533,185) |
Net increase (decrease) in net assets from operations | $ 114,105,788 | $ (90,922,277) |
Capital transactions: | ||
Contributions | $ 51,643,188 | $ 115,421,518 |
Withdrawals | (241,451,631) | (732,569,582) |
Net decrease in net assets from capital transactions | $ (189,808,443) | $ (617,148,064) |
Net decrease in net assets | $ (75,702,655) | $ (708,070,341) |
Net Assets | ||
At beginning of period | $ 1,855,793,544 | $ 2,563,863,885 |
At end of period | $1,780,090,889 | $1,855,793,544 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (1) | 0.90% (2)(3) | 0.73% | 0.70% | 0.66% | 0.65% | 0.70% |
Net investment income | 6.29% (2) | 5.49% | 4.60% | 4.53% | 5.41% | 4.64% |
Portfolio Turnover | 95% (4) | 81% | 88% | 81% | 61% | 78% |
Total Return | 6.26% (4) | (3.93)% | 4.52% | 4.03% | 6.56% | (2.60)% |
Net assets, end of period (000’s omitted) | $1,780,091 | $1,855,794 | $2,563,864 | $3,165,729 | $3,559,727 | $4,864,519 |
(1) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.24%, 0.08%, 0.06%, 0.01%, 0.01% and 0.04% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(2) | Annualized. |
(3) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(4) | Not annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.615% |
$500 million but less than $1 billion | 0.595% |
$1 billion but less than $1.5 billion | 0.575% |
$1.5 billion but less than $2 billion | 0.555% |
$2 billion but less than $3 billion | 0.520% |
$3 billion but less than $5 billion | 0.490% |
$5 billion but less than $10 billion | 0.475% |
$10 billion and over | 0.465% |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 1,219,674,532 | $ 1,244,870,214 |
U.S. Government and Agency Securities | 102,950,997 | 56,877,149 |
$1,322,625,529 | $1,301,747,363 |
Aggregate cost | $1,998,519,838 |
Gross unrealized appreciation | $ 40,738,126 |
Gross unrealized depreciation | (419,228,101) |
Net unrealized depreciation | $ (378,489,975) |
Description | Date(s) of Acquisition | Shares | Cost | Value |
Reinsurance Side Cars | ||||
Mt. Logan Re, Ltd., Series A-1 | 12/30/20 | 4,400 | $ 4,400,000 | $ 3,820,362 |
Sussex Capital, Ltd., Designated Investment Series 16, 12/21 | 11/30/22 | 817 | 811,902 | 295,935 |
Sussex Capital, Ltd., Designated Investment Series 16, 11/22 | 1/24/22 | 793 | 792,084 | 824,455 |
Sussex Capital, Ltd., Series 16, Preference Shares | 6/1/21 | 5,500 | 3,896,014 | 4,747,637 |
Total Restricted Securities | $9,900,000 | $9,688,389 |
Fair Value | ||||||
Consolidated Statement of Assets and Liabilities Caption | Commodity | Credit | Equity Price | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ — | $ 814,800 | $ — | $ 1,355,950 | $ — | $ 2,170,750 |
Not applicable | — | 35,534,666* | 78,553* | 2,295,264* | 24,104,889* | 62,013,372 |
Receivable for open forward foreign currency exchange contracts | — | — | — | 9,673,254 | — | 9,673,254 |
Receivable/Payable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | — | 1,999,421 | 65,840 | — | 171,040 | 2,236,301 |
Receivable for open non-deliverable bond forward contracts | — | — | — | — | 290,058 | 290,058 |
Total Asset Derivatives | $ — | $ 38,348,887 | $ 144,393 | $ 13,324,468 | $ 24,565,987 | $ 76,383,735 |
Derivatives not subject to master netting or similar agreements | $ — | $ 35,534,666 | $ 78,553 | $ 2,295,264 | $ 24,104,889 | $ 62,013,372 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $ 2,814,221 | $ 65,840 | $ 11,029,204 | $ 461,098 | $ 14,370,363 |
Written options outstanding, at value | $ — | $ — | $ — | $ (149,324) | $ — | $ (149,324) |
Not applicable | — | (20,286,071)* | (653,499)* | (11,408,440)* | (19,322,327)* | (51,670,337) |
Payable for open forward foreign currency exchange contracts | — | — | — | (9,263,311) | — | (9,263,311) |
Payable/Receivable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | (119,574) | (1,659,185) | — | — | (1,492,270) | (3,271,029) |
Payable for open non-deliverable bond forward contracts | — | — | — | — | (858,062) | (858,062) |
Total Liability Derivatives | $(119,574) | $(21,945,256) | $(653,499) | $(20,821,075) | $(21,672,659) | $(65,212,063) |
Derivatives not subject to master netting or similar agreements | $ — | $(20,286,071) | $(653,499) | $(11,408,440) | $(19,322,327) | $(51,670,337) |
Total Liability Derivatives subject to master netting or similar agreements | $(119,574) | $ (1,659,185) | $ — | $ (9,412,635) | $ (2,350,332) | $(13,541,726) |
* | 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. | $ 669,645 | $ (669,645) | $ — | $ — | $ — | $ — |
Barclays Bank PLC | 1,198,926 | (657,198) | (541,728) | — | — | — |
BNP Paribas | 61,942 | (61,942) | — | — | — | — |
Citibank, N.A. | 534,711 | (534,711) | — | — | — | — |
Credit Agricole Corporate and Investment Bank | 74,112 | — | — | (74,112) | — | 110,000 |
Deutsche Bank AG | 184,748 | (102,935) | — | (81,813) | — | 130,000 |
Goldman Sachs International | 7,944,530 | (4,648,805) | — | (3,295,725) | — | 3,550,000 |
HSBC Bank USA, N.A. | 526,406 | (20,414) | (505,992) | — | — | — |
ICBC Standard Bank plc | 11,099 | — | — | — | 11,099 | — |
JPMorgan Chase Bank, N.A. | 872,781 | (284,407) | — | — | 588,374 | — |
Standard Chartered Bank | 1,575,522 | (1,575,522) | — | — | — | — |
UBS AG | 715,941 | (715,941) | — | — | — | — |
$14,370,363 | $(9,271,520) | $(1,047,720) | $(3,451,650) | $599,473 | $3,790,000 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) | Total Cash Collateral Pledged |
Bank of America, N.A. | $ (851,970) | $ 669,645 | $ — | $ — | $ (182,325) | $ — |
Barclays Bank PLC | (657,198) | 657,198 | — | — | — | — |
BNP Paribas | (931,604) | 61,942 | 780,380 | — | (89,282) | — |
Citibank, N.A. | (1,991,507) | 534,711 | 1,456,796 | — | — | — |
Deutsche Bank AG | (102,935) | 102,935 | — | — | — | — |
Goldman Sachs International | (4,648,805) | 4,648,805 | — | — | — | — |
HSBC Bank USA, N.A. | (20,414) | 20,414 | — | — | — | — |
JPMorgan Chase Bank, N.A. | (284,407) | 284,407 | — | — | — | — |
Nomura International PLC | (143,053) | — | 143,053 | — | — | — |
Standard Chartered Bank | (3,120,905) | 1,575,522 | 1,545,383 | — | — | — |
State Street Bank and Trust Company | (59,119) | — | — | — | (59,119) | — |
UBS AG | (729,809) | 715,941 | — | — | (13,868) | — |
$(13,541,726) | $9,271,520 | $3,925,612 | $ — | $(344,594) | $ — | |
Total — Deposits for derivatives collateral — OTC derivatives | $3,790,000 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Consolidated Statement of Operations Caption | Commodity | Credit | Equity Price | Foreign Exchange | Interest Rate | Total |
Net realized gain (loss): | ||||||
Investment transactions | $ — | $ — | $ — | $ 996,408 | $ (1,284,303) | $ (287,895) |
Futures contracts | 3,442,667 | — | (1,508,391) | — | 16,765,582 | 18,699,858 |
Swap contracts | 4,356,420 | (11,393,855) | (3,873,692) | — | 956,045 | (9,955,082) |
Forward foreign currency exchange contracts | — | — | — | (6,061,453) | — | (6,061,453) |
Non-deliverable bond forward contracts | — | — | — | — | 5,787,037 | 5,787,037 |
Total | $ 7,799,087 | $(11,393,855) | $(5,382,083) | $ (5,065,045) | $ 22,224,361 | $ 8,182,465 |
Change in unrealized appreciation (depreciation): | ||||||
Investments | $ — | $ — | $ — | $ 209,335 | $ 1,284,282 | $ 1,493,617 |
Written options | — | — | — | 64,823 | — | 64,823 |
Futures contracts | (4,048,041) | — | (240,841) | — | (26,442,860) | (30,731,742) |
Swap contracts | (119,574) | (5,941,782) | 65,840 | — | (8,152,123) | (14,147,639) |
Forward foreign currency exchange contracts | — | — | — | (29,693,382) | — | (29,693,382) |
Non-deliverable bond forward contracts | — | — | — | — | (1,540,050) | (1,540,050) |
Total | $(4,167,615) | $ (5,941,782) | $ (175,001) | $(29,419,224) | $(34,850,751) | $(74,554,373) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Purchased Swaptions |
$29,365,000 | $443,865,000 | $1,864,999,000 | $103,115,000 | $8,000,000 |
Purchased Call Options | Swap Contracts |
$308,800,000 | $2,835,043,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $205,847,417 | $625,449,547 | $(770,812,201) | $ — | $ — | $60,484,763 | $2,700,238 | 60,484,763 |
• | 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 |
Asset-Backed Securities | $ — | $ 3,460,156 | $ — | $ 3,460,156 |
Collateralized Mortgage Obligations | — | 55,764,185 | — | 55,764,185 |
Common Stocks | 4,394,646 | 54,706,467* | 447,814 | 59,548,927 |
Convertible Bonds | — | 5,366,171 | — | 5,366,171 |
Foreign Corporate Bonds | — | 93,332,653 | 0 | 93,332,653 |
Loan Participation Notes | — | — | 32,936,790 | 32,936,790 |
Reinsurance Side Cars | — | — | 13,248,777 | 13,248,777 |
Senior Floating-Rate Loans | — | 16,577,984 | 392,940 | 16,970,924 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Sovereign Government Bonds | $ — | $ 928,480,968 | $ — | $ 928,480,968 |
Sovereign Loans | — | 71,005,110 | — | 71,005,110 |
U.S. Government Agency Mortgage-Backed Securities | — | 35,107,635 | — | 35,107,635 |
U.S. Government Guaranteed Small Business Administration Loans | — | 10,657,288 | — | 10,657,288 |
U.S. Treasury Obligations | — | 110,961,747 | — | 110,961,747 |
Warrants | 62,667 | — | — | 62,667 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 60,484,763 | — | — | 60,484,763 |
Repurchase Agreements | — | 83,264,664 | — | 83,264,664 |
Sovereign Government Securities | — | 2,413,699 | — | 2,413,699 |
U.S. Treasury Obligations | — | 128,535,807 | — | 128,535,807 |
Purchased Currency Options | — | 1,355,950 | — | 1,355,950 |
Purchased Credit Default Swaptions | — | 814,800 | — | 814,800 |
Total Investments | $ 64,942,076 | $ 1,601,805,284 | $ 47,026,321 | $ 1,713,773,681 |
Forward Foreign Currency Exchange Contracts | $ — | $ 11,968,518 | $ — | $ 11,968,518 |
Non-Deliverable Bond Forward Contracts | — | 290,058 | — | 290,058 |
Futures Contracts | 78,553 | — | — | 78,553 |
Swap Contracts | — | 61,875,856 | — | 61,875,856 |
Total | $ 65,020,629 | $ 1,675,939,716 | $ 47,026,321 | $ 1,787,986,666 |
Liability Description | ||||
Securities Sold Short | $ — | $ (80,164,946) | $ — | $ (80,164,946) |
Written Currency Options | — | (149,324) | — | (149,324) |
Forward Foreign Currency Exchange Contracts | — | (20,671,751) | — | (20,671,751) |
Non-Deliverable Bond Forward Contracts | — | (858,062) | — | (858,062) |
Futures Contracts | (6,591,488) | (653,499) | — | (7,244,987) |
Swap Contracts | — | (36,287,939) | — | (36,287,939) |
Total | $ (6,591,488) | $ (138,785,521) | $ — | $ (145,377,009) |
* | 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 | Sovereign Government Bonds | Sovereign Government Securities | Total | |
Balance as of October 31, 2022 | $327,036 | $ 0 | $41,080,024 | $11,925,129 | $425,756 | $ 52,679,548 | $ 4,103,850 | $ 110,541,343 |
Realized gains (losses) | — | — | (936,274) | — | 5,156 | — | — | (931,118) |
Change in net unrealized appreciation (depreciation) | 120,778 | — | 97,690 | 1,387,169 | (10,111) | — | — | 1,595,526 |
Cost of purchases | — | — | — | 2,800,000 | — | — | — | 2,800,000 |
Proceeds from sales, including return of capital | — | — | (7,304,650) | (2,863,521) | (50,550) | — | — | (10,218,721) |
Accrued discount (premium) | — | — | — | — | 22,689 | — | — | 22,689 |
Transfers to Level 3 | — | — | — | — | — | — | — | — |
Transfers from Level 3(1) | — | — | — | — | — | (52,679,548) | (4,103,850) | (56,783,398) |
Balance as of April 30, 2023 | $447,814 | $ 0 | $32,936,790 | $13,248,777 | $392,940 | $ — | $ — | $ 47,026,321 |
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2023 | $120,778 | $ — | $ (761,498) | $ 1,095,865 | $ (15,135) | $ — | $ — | $ 440,010 |
* | The Portfolio’s investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations. |
(1) | Transferred from Level 3 based on the observability of valuation inputs resulting from new market activity. |
Type of Investment | Fair Value as of April 30, 2023 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* |
Common Stocks | $ 447,814 | Market Approach | EBITDA Multiple Discount Rate | 15% | Decrease |
Foreign Corporate Bonds | 0 | Estimated Recovery Value | Estimated Recovery Value Percentage | 0% | Increase |
Loan Participation Notes | 32,936,790 | Matrix Pricing | Ajdusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 4.73% | Decrease |
Senior Floating-Rate Loans | 392,940 | 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. |
Officers of Eaton Vance Global Macro Absolute Return Fund and Global Macro Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Global Macro Absolute Return Fund and Global Macro Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Macro Absolute Return Fund
Two International Place
Boston, MA 02110
125 Old Broad Street
London, EC2N 1AR
United Kingdom
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
Income Fund
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 01/23/1998 | 11/26/1990 | 5.46% | 1.86% | 2.83% | 2.67% |
Class A with 3.25% Maximum Sales Charge | — | — | 1.99 | (1.43) | 2.15 | 2.33 |
Class C at NAV | 05/25/1994 | 11/26/1990 | 5.17 | 1.13 | 2.07 | 2.06 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 4.17 | 0.18 | 2.07 | 2.06 |
Class I at NAV | 04/03/2009 | 11/26/1990 | 5.59 | 2.11 | 3.09 | 2.93 |
Class R at NAV | 08/03/2009 | 11/26/1990 | 5.48 | 1.76 | 2.61 | 2.43 |
Bloomberg U.S. Aggregate Bond Index | — | — | 6.91% | (0.43)% | 1.18% | 1.32% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R |
1.12% | 1.87% | 0.87% | 1.37% |
Allocation to Portfolios and Funds (% of net assets) |
Asset Allocation (% of net assets)1 |
1 | Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets. |
1 | Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,054.60 | $5.81 | 1.14% |
Class C | $1,000.00 | $1,051.70 | $9.61 | 1.89% |
Class I | $1,000.00 | $1,055.90 | $4.54 | 0.89% |
Class R | $1,000.00 | $1,054.80 | $7.08 | 1.39% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.14 | $5.71 | 1.14% |
Class C | $1,000.00 | $1,015.42 | $9.44 | 1.89% |
Class I | $1,000.00 | $1,020.38 | $4.46 | 0.89% |
Class R | $1,000.00 | $1,017.90 | $6.95 | 1.39% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolios. |
Investments in Affiliated Portfolios (the Portfolios) |
Description | Value | % of Net Assets | |
Emerging Markets Local Income Portfolio | |||
(identified cost, $173,797,054) | $ 170,919,309 | 4.8 % | |
Global Macro Absolute Return Advantage Portfolio | |||
(identified cost, $619,286,115) | 585,709,270 | 16.4 | |
Global Opportunities Portfolio | |||
(identified cost, $2,657,408,245) | 2,432,334,892 | 68.3 | |
High Income Opportunities Portfolio | |||
(identified cost, $105,856,660) | 94,902,341 | 2.6 | |
Senior Debt Portfolio | |||
(identified cost, $132,616,664) | 128,381,769 | 3.6 | |
Total Investments in Affiliated Portfolios (identified cost $3,688,964,738) | $3,412,247,581 | 95.7% |
Investments in Affiliated Investment Funds |
Security | Shares | Value | % of Net Assets |
Fixed Income Funds | |||
Eaton Vance Emerging Markets Debt Opportunities Fund, Class R6 | 20,253,140 | $ 148,455,517 | 4.2 % |
Total Investments in Affiliated Investment Funds (identified cost $171,284,875) | $ 148,455,517 | 4.2% | |
Total Investments (identified cost, $3,860,249,613) | $3,560,703,098 | 99.9% | |
Other Assets, Less Liabilities | $ 2,439,481 | 0.1% | |
Net Assets | $3,563,142,579 | 100.0% |
April 30, 2023 | |
Assets | |
Affiliated investments, at value (identified cost, $3,860,249,613) | $ 3,560,703,098 |
Cash | 6,990 |
Receivable for Fund shares sold | 9,323,537 |
Total assets | $3,570,033,625 |
Liabilities | |
Payable for Fund shares redeemed | $ 6,181,377 |
Payable to affiliate: | |
Distribution and service fees | 240,034 |
Accrued expenses | 469,635 |
Total liabilities | $ 6,891,046 |
Net Assets | $3,563,142,579 |
Sources of Net Assets | |
Paid-in capital | $ 3,993,529,218 |
Accumulated loss | (430,386,639) |
Net Assets | $3,563,142,579 |
Class A Shares | |
Net Assets | $ 672,411,988 |
Shares Outstanding | 101,799,877 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 6.61 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 6.83 |
Class C Shares | |
Net Assets | $ 119,753,449 |
Shares Outstanding | 19,241,685 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 6.22 |
Class I Shares | |
Net Assets | $ 2,768,762,555 |
Shares Outstanding | 419,810,953 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 6.60 |
Class R Shares | |
Net Assets | $ 2,214,587 |
Shares Outstanding | 334,702 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 6.62 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividends allocated from Portfolios (net of foreign taxes withheld of $47,554) | $ 9,749,737 |
Dividend income from Affiliated Investment Funds | 4,343,521 |
Interest and other income allocated from Portfolios | 99,119,781 |
Expenses, excluding interest and dividend expense, allocated from Portfolios | (10,732,442) |
Interest and dividend expense and fees allocated from Portfolios | (2,163,206) |
Total investment income | $100,317,391 |
Expenses | |
Distribution and service fees: | |
Class A | $ 792,440 |
Class C | 626,035 |
Class R | 5,930 |
Trustees’ fees and expenses | 208 |
Custodian fee | 33,779 |
Transfer and dividend disbursing agent fees | 1,047,731 |
Legal and accounting services | 114,317 |
Printing and postage | 277,876 |
Registration fees | 124,325 |
Miscellaneous | 12,288 |
Total expenses | $ 3,034,929 |
Net investment income | $ 97,282,462 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) allocated from Portfolios: | |
Investment transactions (net of foreign capital gains taxes of $62,785) | $ (39,562,107) |
Securities sold short | (474,461) |
TBA sale commitments | (489) |
Futures contracts | 26,351,442 |
Swap contracts | (1,797,881) |
Forward commodity contracts | 134,163 |
Foreign currency transactions | 1,415,600 |
Forward foreign currency exchange contracts | 1,249,090 |
Non-deliverable bond forward contracts | 3,863,938 |
Net realized loss | $ (8,820,705) |
Change in unrealized appreciation (depreciation): | |
Investments — Affiliated Investment Funds | $ 10,228,046 |
Change in unrealized appreciation (depreciation) allocated from Portfolios: | |
Investments (including net increase in accrued foreign capital gains taxes of $79,521) | 180,437,138 |
Written swaptions | 6,237,313 |
Securities sold short | (1,380,481) |
TBA sale commitments | (2,464,490) |
Futures contracts | (46,137,355) |
Swap contracts | (22,075,950) |
Forward commodity contracts | (28,341,331) |
Foreign currency | 1,884,857 |
Forward foreign currency exchange contracts | (9,187,890) |
Non-deliverable bond forward contracts | (519,943) |
Net change in unrealized appreciation (depreciation) | $ 88,679,914 |
Net realized and unrealized gain | $ 79,859,209 |
Net increase in net assets from operations | $177,141,671 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 97,282,462 | $ 136,470,028 |
Net realized gain (loss) | (8,820,705) | 13,661,196 |
Net change in unrealized appreciation (depreciation) | 88,679,914 | (305,868,037) |
Net increase (decrease) in net assets from operations | $ 177,141,671 | $ (155,736,813) |
Distributions to shareholders: | ||
Class A | $ (22,260,315) | $ (30,618,799) |
Class C | (3,860,756) | (5,536,045) |
Class I | (92,262,518) | (106,704,267) |
Class R | (76,998) | (112,637) |
Total distributions to shareholders | $ (118,460,587) | $ (142,971,748) |
Tax return of capital to shareholders: | ||
Class A | $ — | $ (2,257,703) |
Class C | — | (404,971) |
Class I | — | (8,027,547) |
Class R | — | (8,152) |
Total tax return of capital to shareholders | $ — | $ (10,698,373) |
Transactions in shares of beneficial interest: | ||
Class A | $ 43,165,341 | $ (13,261,126) |
Class C | (9,147,582) | (20,128,872) |
Class I | 434,256,209 | 442,427,381 |
Class R | (81,680) | (204,959) |
Net increase in net assets from Fund share transactions | $ 468,192,288 | $ 408,832,424 |
Net increase in net assets | $ 526,873,372 | $ 99,425,490 |
Net Assets | ||
At beginning of period | $ 3,036,269,207 | $ 2,936,843,717 |
At end of period | $3,563,142,579 | $3,036,269,207 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 6.480 | $ 7.180 | $ 7.180 | $ 7.210 | $ 7.180 | $ 7.470 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.190 | $ 0.302 | $ 0.298 | $ 0.234 | $ 0.337 | $ 0.331 |
Net realized and unrealized gain (loss) | 0.170 | (0.662) | 0.009 (2) | 0.227 | (0.004) | (0.345) |
Total income (loss) from operations | $ 0.360 | $ (0.360) | $ 0.307 | $ 0.461 | $ 0.333 | $ (0.014) |
Less Distributions | ||||||
From net investment income | $ (0.230) | $ (0.316) | $ (0.274) | $ (0.491) | $ (0.303) | $ (0.108) |
From net realized gain | — | (0.001) | (0.002) | — | — | — |
Tax return of capital | — | (0.023) | (0.031) | — | — | (0.168) |
Total distributions | $ (0.230) | $ (0.340) | $ (0.307) | $ (0.491) | $ (0.303) | $ (0.276) |
Net asset value — End of period | $ 6.610 | $ 6.480 | $ 7.180 | $ 7.180 | $ 7.210 | $ 7.180 |
Total Return(3) | 5.46% (4) | (4.99)% | 4.01% | 6.83% | 4.60% | 0.06% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $672,412 | $617,011 | $697,690 | $545,014 | $539,448 | $565,348 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (6) | 1.14% (7)(8) | 1.07% (8) | 1.08% | 1.11% | 1.18% | 1.11% |
Net investment income | 5.78% (7) | 4.40% | 4.08% | 3.30% | 4.70% | 4.48% |
Portfolio Turnover of the Fund(9) | 6% (4) | 22% | 14% | 18% | 11% | 15% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolios' allocated expenses. |
(6) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.13%, 0.06%, 0.06%, 0.04%, 0.10% and 0.04% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of the Portfolios’ adviser fee due to the Portfolios’ investment in the Liquidity Fund (equal to 0.02% and less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(9) | Percentage includes both the Fund's contributions to and withdrawals from the Portfolios and purchases and sales of securities held directly by the Fund, if any. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 6.100 | $ 6.760 | $ 6.770 | $ 6.800 | $ 6.780 | $ 7.040 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.156 | $ 0.235 | $ 0.230 | $ 0.172 | $ 0.269 | $ 0.260 |
Net realized and unrealized gain (loss) | 0.157 | (0.623) | (0.002) | 0.221 | (0.014) | (0.312) |
Total income (loss) from operations | $ 0.313 | $ (0.388) | $ 0.228 | $ 0.393 | $ 0.255 | $ (0.052) |
Less Distributions | ||||||
From net investment income | $ (0.193) | $ (0.252) | $ (0.212) | $ (0.423) | $ (0.235) | $ (0.081) |
From net realized gain | — | (0.001) | (0.002) | — | — | — |
Tax return of capital | — | (0.019) | (0.024) | — | — | (0.127) |
Total distributions | $ (0.193) | $ (0.272) | $ (0.238) | $ (0.423) | $ (0.235) | $ (0.208) |
Net asset value — End of period | $ 6.220 | $ 6.100 | $ 6.760 | $ 6.770 | $ 6.800 | $ 6.780 |
Total Return(2) | 5.17% (3) | (5.85)% | 3.36% | 6.02% | 3.84% | (0.77)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $119,753 | $126,342 | $160,918 | $201,798 | $251,581 | $409,686 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses (5) | 1.88% (6)(7) | 1.82% (7) | 1.83% | 1.86% | 1.93% | 1.86% |
Net investment income | 5.03% (6) | 3.63% | 3.35% | 2.57% | 3.98% | 3.73% |
Portfolio Turnover of the Fund(8) | 6% (3) | 22% | 14% | 18% | 11% | 15% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolios' allocated expenses. |
(5) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.13%, 0.06%, 0.06%, 0.04%, 0.10% and 0.04% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolios’ adviser fee due to the Portfolios’ investment in the Liquidity Fund (equal to 0.02% and less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(8) | Percentage includes both the Fund's contributions to and withdrawals from the Portfolios and purchases and sales of securities held directly by the Fund, if any. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 6.470 | $ 7.160 | $ 7.170 | $ 7.200 | $ 7.170 | $ 7.460 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.198 | $ 0.320 | $ 0.313 | $ 0.252 | $ 0.354 | $ 0.349 |
Net realized and unrealized gain (loss) | 0.170 | (0.653) | 0.002 (2) | 0.226 | (0.004) | (0.345) |
Total income (loss) from operations | $ 0.368 | $ (0.333) | $ 0.315 | $ 0.478 | $ 0.350 | $ 0.004 |
Less Distributions | ||||||
From net investment income | $ (0.238) | $ (0.331) | $ (0.290) | $ (0.508) | $ (0.320) | $ (0.115) |
From net realized gain | — | (0.001) | (0.002) | — | — | — |
Tax return of capital | — | (0.025) | (0.033) | — | — | (0.179) |
Total distributions | $ (0.238) | $ (0.357) | $ (0.325) | $ (0.508) | $ (0.320) | $ (0.294) |
Net asset value — End of period | $ 6.600 | $ 6.470 | $ 7.160 | $ 7.170 | $ 7.200 | $ 7.170 |
Total Return(3) | 5.59% (4) | (4.77)% | 4.27% | 7.10% | 4.87% | 0.30% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $2,768,763 | $2,290,663 | $2,075,516 | $967,716 | $919,828 | $1,170,337 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (6) | 0.88% (7)(8) | 0.82% (8) | 0.83% | 0.84% | 0.91% | 0.85% |
Net investment income | 6.03% (7) | 4.67% | 4.30% | 3.55% | 4.95% | 4.73% |
Portfolio Turnover of the Fund(9) | 6% (4) | 22% | 14% | 18% | 11% | 15% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolios' allocated expenses. |
(6) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.13%, 0.06%, 0.06%, 0.04%, 0.10% and 0.04% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of the Portfolios’ adviser fee due to the Portfolios’ investment in the Liquidity Fund (equal to 0.02% and less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(9) | Percentage includes both the Fund's contributions to and withdrawals from the Portfolios and purchases and sales of securities held directly by the Fund, if any. |
Class R | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 6.490 | $ 7.190 | $ 7.200 | $ 7.220 | $ 7.190 | $ 7.480 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.181 | $ 0.285 | $ 0.261 | $ 0.192 | $ 0.300 | $ 0.298 |
Net realized and unrealized gain (loss) | 0.171 | (0.661) | 0.018 (2) | 0.262 | 0.015 | (0.330) |
Total income (loss) from operations | $ 0.352 | $(0.376) | $ 0.279 | $ 0.454 | $ 0.315 | $(0.032) |
Less Distributions | ||||||
From net investment income | $ (0.222) | $ (0.301) | $ (0.258) | $ (0.474) | $ (0.285) | $ (0.101) |
From net realized gain | — | (0.001) | (0.002) | — | — | — |
Tax return of capital | — | (0.022) | (0.029) | — | — | (0.157) |
Total distributions | $(0.222) | $(0.324) | $(0.289) | $(0.474) | $(0.285) | $(0.258) |
Net asset value — End of period | $ 6.620 | $ 6.490 | $ 7.190 | $ 7.200 | $ 7.220 | $ 7.190 |
Total Return(3) | 5.48% (4) | (5.21)% | 3.75% | 6.56% | 4.34% | (0.19)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 2,215 | $ 2,254 | $ 2,720 | $ 2,528 | $ 1,949 | $ 2,204 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (6) | 1.39% (7)(8) | 1.32% (8) | 1.33% | 1.36% | 1.44% | 1.36% |
Net investment income | 5.52% (7) | 4.12% | 3.57% | 2.71% | 4.18% | 4.03% |
Portfolio Turnover of the Fund(9) | 6% (4) | 22% | 14% | 18% | 11% | 15% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolios' allocated expenses. |
(6) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.13%, 0.06%, 0.06%, 0.04%, 0.10% and 0.04% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of the Portfolios’ adviser fee due to the Portfolios’ investment in the Liquidity Fund (equal to 0.02% and less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(9) | Percentage includes both the Fund's contributions to and withdrawals from the Portfolios and purchases and sales of securities held directly by the Fund, if any. |
Aggregate cost | $3,851,402,619 |
Gross unrealized appreciation | $ — |
Gross unrealized depreciation | (290,699,521) |
Net unrealized depreciation | $ (290,699,521) |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.615% |
$500 million but less than $1 billion | 0.595% |
$1 billion but less than $1.5 billion | 0.575% |
$1.5 billion but less than $2 billion | 0.555% |
$2 billion but less than $3 billion | 0.520% |
$3 billion and over | 0.490% |
Portfolio | Contributions | Withdrawals |
Emerging Markets Local Income Portfolio | $ 28,000,000 | $ (3,652,564) |
Global Macro Absolute Return Advantage Portfolio | 151,382,557 | (7,345,215) |
Global Opportunities Portfolio | 355,618,895 | (156,735,917) |
High Income Opportunities Portfolio | — | — |
Senior Debt Portfolio | — | (22,139,972) |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 23,612,537 | $ 156,213,248 | 20,976,045 | $ 144,750,593 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 3,132,120 | 20,687,172 | 4,492,592 | 30,520,580 | |
Redemptions | (20,215,623) | (133,735,079) | (27,436,307) | (188,532,299) | |
Net increase (decrease) | 6,529,034 | $ 43,165,341 | (1,967,670) | $ (13,261,126) | |
Class C | |||||
Sales | 2,667,013 | $ 16,631,007 | 3,383,005 | $ 21,937,948 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 601,793 | 3,745,024 | 908,474 | 5,817,440 | |
Redemptions | (4,732,489) | (29,523,613) | (7,392,059) | (47,884,260) | |
Net decrease | (1,463,683) | $ (9,147,582) | (3,100,580) | $ (20,128,872) | |
Class I | |||||
Sales | 150,358,552 | $ 994,787,379 | 221,544,338 | $ 1,523,518,681 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 13,185,238 | 86,960,001 | 15,942,843 | 107,907,814 | |
Redemptions | (97,961,305) | (647,491,171) | (172,975,993) | (1,188,999,114) | |
Net increase | 65,582,485 | $ 434,256,209 | 64,511,188 | $ 442,427,381 | |
Class R | |||||
Sales | 178,242 | $ 1,189,624 | 85,854 | $ 600,495 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 11,220 | 74,250 | 16,741 | 114,035 | |
Redemptions | (202,190) | (1,345,554) | (133,626) | (919,489) | |
Net decrease | (12,728) | $ (81,680) | (31,031) | $ (204,959) |
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 |
Eaton Vance Emerging Markets Debt Opportunities Fund, Class R6 | $133,883,950 | $4,343,521 | $ — | $ — | $10,228,046 | $148,455,517 | $4,343,521 | 20,253,140 |
• | 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 |
Investments in Portfolios | $ 3,412,247,581 | $ — | $ — | $ 3,412,247,581 |
Investments in Affiliated Investment Funds | 148,455,517 | — | — | 148,455,517 |
Total Investments | $3,560,703,098 | $ — | $ — | $3,560,703,098 |
Officers | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Asset-Backed Securities — 10.5% |
Security | Principal Amount (000's omitted) | Value | |
ACHV ABS Trust, Series 2023-1PL, Class B, 6.80%, 3/18/30(1) | $ | 3,000 | $ 2,994,910 |
Alinea CLO, Ltd., Series 2018-1A, Class E, 11.25%, (3 mo. USD LIBOR + 6.00%), 7/20/31(1)(2) | 2,000 | 1,701,050 | |
Allegany Park CLO, Ltd., Series 2019-1A, Class ER, 11.449%, (3 mo. SOFR + 6.40%), 1/20/35(1)(2) | 1,000 | 869,214 | |
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 12.17%, (3 mo. USD LIBOR + 6.91%), 1/15/32(1)(2) | 3,000 | 2,553,618 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 11.039%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2) | 2,000 | 1,594,088 | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 11.686%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 2,000 | 1,761,098 | |
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class D, 10.714%, (3 mo. USD LIBOR + 5.85%), 5/15/30(1)(2) | 4,000 | 3,295,440 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 10.96%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 3,000 | 2,484,373 | |
Atlas Senior Loan Fund XX, Ltd., Series 2022-20A, Class B1, 8.178%, (3 mo. SOFR + 3.15%), 10/19/35(1)(2) | 6,000 | 6,012,072 | |
Bain Capital Credit CLO, Ltd., Series 2018-1A, Class E, 10.623%, (3 mo. USD LIBOR + 5.35%), 4/23/31(1)(2) | 3,500 | 2,807,892 | |
Barings CLO, Ltd., Series 2018-1A, Class D, 10.76%, (3 mo. USD LIBOR + 5.50%), 4/15/31(1)(2) | 5,000 | 4,082,557 | |
Battalion CLO XXII, Ltd., Series 2021-22A, Class D, 8.60%, (3 mo. USD LIBOR + 3.35%), 1/20/35(1)(2) | 2,000 | 1,779,848 | |
Benefit Street Partners CLO V-B, Ltd., Series 2018-5BA, Class D, 11.20%, (3 mo. USD LIBOR + 5.95%), 4/20/31(1)(2) | 3,000 | 2,650,700 | |
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 10.85%, (3 mo. USD LIBOR + 5.60%), 1/20/31(1)(2) | 5,000 | 3,997,410 | |
Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class E, 10.60%, (3 mo. USD LIBOR + 5.35%), 4/20/31(1)(2) | 3,000 | 2,523,658 | |
Benefit Street Partners CLO XVI, Ltd.: | |||
Series 2018-16A, Class DR, 8.26%, (3 mo. USD LIBOR + 3.00%), 1/17/32(1)(2) | 2,000 | 1,841,581 | |
Series 2018-16A, Class E, 11.96%, (3 mo. USD LIBOR + 6.70%), 1/17/32(1)(2) | 2,000 | 1,827,717 | |
Benefit Street Partners CLO XVII, Ltd.: | |||
Series 2019-17A, Class DR, 8.61%, (3 mo. USD LIBOR + 3.35%), 7/15/32(1)(2) | 1,500 | 1,416,594 | |
Series 2019-17A, Class ER, 11.61%, (3 mo. USD LIBOR + 6.35%), 7/15/32(1)(2) | 750 | 689,062 | |
Benefit Street Partners CLO XXII, Ltd.: | |||
Series 2020-22A, Class DR, 8.399%, (3 mo. SOFR + 3.35%), 4/20/35(1)(2) | 2,000 | 1,869,472 |
Security | Principal Amount (000's omitted) | Value | |
Benefit Street Partners CLO XXII, Ltd.: (continued) | |||
Series 2020-22A, Class ER, 11.979%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | $ | 2,000 | $ 1,876,198 |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.11%, (3 mo. USD LIBOR + 6.85%), 1/15/35(1)(2) | 1,000 | 946,490 | |
Betony CLO 2, Ltd., Series 2018-1A, Class D, 10.949%, (3 mo. USD LIBOR + 5.65%), 4/30/31(1)(2) | 3,000 | 2,581,560 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class D1R, 8.75%, (3 mo. USD LIBOR + 3.50%), 10/20/34(1)(2) | 3,500 | 3,251,594 | |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 11.686%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,736,656 | |
BlueMountain CLO XXXIV, Ltd., Series 2022-34A, Class E, 12.599%, (3 mo. SOFR + 7.55%), 4/20/35(1)(2) | 1,000 | 916,024 | |
BlueMountain CLO XXXV, Ltd., Series 2022-35A, Class E, 12.821%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 1,920,356 | |
BlueMountain CLO, Ltd.: | |||
Series 2015-3A, Class A1R, 6.25%, (3 mo. USD LIBOR + 1.00%), 4/20/31(1)(2) | 3,500 | 3,465,399 | |
Series 2015-3A, Class DR, 10.65%, (3 mo. USD LIBOR + 5.40%), 4/20/31(1)(2) | 2,000 | 1,606,369 | |
Series 2016-3A, Class ER, 10.814%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2) | 1,000 | 807,906 | |
Canyon Capital CLO, Ltd.: | |||
Series 2016-1A, Class ER, 11.01%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 4,000 | 3,217,550 | |
Series 2016-2A, Class ER, 11.26%, (3 mo. USD LIBOR + 6.00%), 10/15/31(1)(2) | 1,000 | 808,352 | |
Series 2017-1A, Class E, 11.51%, (3 mo. USD LIBOR + 6.25%), 7/15/30(1)(2) | 1,000 | 836,772 | |
Series 2018-1A, Class E, 11.01%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 2,000 | 1,609,336 | |
Series 2022-1A, Class D, 8.182%, (3 mo. SOFR + 3.20%), 4/15/35(1)(2) | 1,900 | 1,762,900 | |
Carlyle CLO C17, Ltd., Series C17A, Class DR, 11.299%, (3 mo. USD LIBOR + 6.00%), 4/30/31(1)(2) | 3,000 | 2,540,322 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class DR2, 11.751%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2) | 1,000 | 817,201 | |
Series 2014-3RA, Class D, 10.692%, (3 mo. USD LIBOR + 5.40%), 7/27/31(1)(2) | 2,000 | 1,615,968 | |
Series 2014-4RA, Class D, 10.91%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2) | 3,000 | 2,431,397 | |
Series 2015-5A, Class DR, 11.95%, (3 mo. USD LIBOR + 6.70%), 1/20/32(1)(2) | 3,500 | 2,865,711 | |
Series 2019-4A, Class CR, 8.186%, (3 mo. SOFR + 3.20%), 4/15/35(1)(2) | 1,750 | 1,582,672 | |
Series 2022-AA, Class C, 8.599%, (3 mo. SOFR + 3.55%), 4/20/35(1)(2) | 3,000 | 2,847,057 |
Security | Principal Amount (000's omitted) | Value | |
Carlyle US CLO, Ltd., Series 2019-4A, Class DR, 11.586%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | $ | 2,000 | $ 1,760,132 |
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 11.85%, (3 mo. USD LIBOR + 6.60%), 7/20/34(1)(2) | 1,000 | 931,771 | |
CIFC Funding 2017-III, Ltd., Series 2017-3A, Class A1, 6.47%, (3 mo. USD LIBOR + 1.22%), 7/20/30(1)(2) | 1,045 | 1,037,449 | |
Crown City CLO III, Series 2021-1A, Class C, 8.55%, (3 mo. USD LIBOR + 3.30%), 7/20/34(1)(2) | 1,000 | 902,506 | |
Dryden CLO, Ltd.: | |||
Series 2018-55A, Class E, 10.66%, (3 mo. USD LIBOR + 5.40%), 4/15/31(1)(2) | 1,000 | 872,103 | |
Series 2022-112A, Class E, 12.541%, (3 mo. SOFR + 7.78%), 8/15/34(1)(2) | 1,000 | 970,084 | |
Dryden Senior Loan Fund, Series 2016-42A, Class ER, 10.81%, (3 mo. USD LIBOR + 5.55%), 7/15/30(1)(2) | 2,000 | 1,634,145 | |
Elmwood CLO 14, Ltd.: | |||
Series 2022-1A, Class D, 8.199%, (3 mo. SOFR + 3.15%), 4/20/35(1)(2) | 2,000 | 1,911,188 | |
Series 2022-1A, Class E, 11.399%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 2,000 | 1,863,860 | |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 12.136%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,000 | 1,911,092 | |
Galaxy 31 CLO, Ltd., Series 2023-31A, Class D, 10.031%, (3 mo. SOFR + 5.25%), 4/15/36(1)(2) | 2,300 | 2,284,576 | |
Galaxy XXI CLO, Ltd.: | |||
Series 2015-21A, Class DR, 7.90%, (3 mo. USD LIBOR + 2.65%), 4/20/31(1)(2) | 5,000 | 4,634,807 | |
Series 2015-21A, Class ER, 10.50%, (3 mo. USD LIBOR + 5.25%), 4/20/31(1)(2) | 4,000 | 3,444,519 | |
Galaxy XXV CLO, Ltd., Series 2018-25A, Class E, 11.205%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 2,000 | 1,776,212 | |
Golub Capital Partners CLO 22B, Ltd., Series 2015-22A, Class ER, 11.25%, (3 mo. USD LIBOR + 6.00%), 1/20/31(1)(2) | 3,000 | 2,529,027 | |
Golub Capital Partners CLO 37B, Ltd.: | |||
Series 2018-37A, Class D, 8.55%, (3 mo. USD LIBOR + 3.30%), 7/20/30(1)(2) | 1,500 | 1,365,756 | |
Series 2018-37A, Class E, 11.00%, (3 mo. USD LIBOR + 5.75%), 7/20/30(1)(2) | 3,000 | 2,861,303 | |
Golub Capital Partners CLO 50B-R, Ltd., Series 2020-50A, Class ER, 12.149%, (3 mo. SOFR + 7.10%), 4/20/35(1)(2) | 2,000 | 1,828,016 | |
Golub Capital Partners CLO 53B, Ltd.: | |||
Series 2021-53A, Class D, 8.30%, (3 mo. USD LIBOR + 3.05%), 7/20/34(1)(2) | 2,000 | 1,819,886 | |
Series 2021-53A, Class E, 11.95%, (3 mo. USD LIBOR + 6.70%), 7/20/34(1)(2) | 1,000 | 906,316 | |
Golub Capital Partners CLO 60B, Ltd., Series 2022-60A, Class D, 8.838%, (3 mo. SOFR + 3.77%), 10/25/34(1)(2) | 1,800 | 1,720,251 |
Security | Principal Amount (000's omitted) | Value | |
Golub Capital Partners CLO, Ltd., Series 2020-48A, Class D, 9.06%, (3 mo. USD LIBOR + 3.80%), 4/17/33(1)(2) | $ | 3,000 | $ 2,732,913 |
Halseypoint CLO 5, Ltd., Series 2021-5A, Class D, 8.799%, (3 mo. USD LIBOR + 3.50%), 1/30/35(1)(2) | 3,500 | 3,248,623 | |
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 11.65%, (3 mo. USD LIBOR + 6.40%), 4/20/34(1)(2) | 1,000 | 927,338 | |
Highbridge Loan Management, Ltd., Series 3A-2014, Class DR, 11.762%, (3 mo. USD LIBOR + 6.50%), 7/18/29(1)(2) | 2,750 | 2,264,224 | |
ICG US CLO, Ltd., Series 2018-2A, Class E, 11.023%, (3 mo. USD LIBOR + 5.75%), 7/22/31(1)(2) | 1,000 | 730,885 | |
KKR SFR Warehouse Participation, 8.55%, (30-day average SOFR + 3.50%), 12/13/23(2) | 12,097 | 12,008,813 | |
Madison Park Funding XVII, Ltd.: | |||
Series 2015-17A, Class DR, 8.861%, (3 mo. USD LIBOR + 3.60%), 7/21/30(1)(2) | 3,500 | 3,394,700 | |
Series 2015-17A, Class ER, 11.761%, (3 mo. USD LIBOR + 6.50%), 7/21/30(1)(2) | 2,500 | 2,235,722 | |
Madison Park Funding XXXVI, Ltd.: | |||
Series 2019-36A, Class D1R, 8.486%, (3 mo. SOFR + 3.50%), 4/15/35(1)(2) | 1,000 | 965,828 | |
Series 2019-36A, Class ER, 12.036%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,000 | 1,889,384 | |
Marble Point CLO XXIV, Ltd., Series 2022-1A, Class D1, 9.289%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,867,082 | |
Mountain View CLO, LLC, Series 2017-2A, Class AR, 6.30%, (3 mo. USD LIBOR + 1.04%), 1/16/31(1)(2) | 6,926 | 6,830,440 | |
Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class ER, 11.32%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2) | 2,000 | 1,769,558 | |
Neuberger Berman Loan Advisers CLO 30, Ltd., Series 2018-30A, Class ER, 11.45%, (3 mo. USD LIBOR + 6.20%), 1/20/31(1)(2) | 2,000 | 1,829,074 | |
Neuberger Berman Loan Advisers CLO 49, Ltd., Series 2022-49A, Class E, 12.068%, (3 mo. SOFR + 7.00%), 7/25/34(1)(2) | 2,000 | 1,876,204 | |
NewRez Warehouse Securitization Trust, Series 2021-1, Class E, 8.27%, (1 mo. USD LIBOR + 3.25%), 5/25/55(1)(2) | 3,813 | 3,761,830 | |
Northwoods Capital, Ltd., Series 2018-11B1, Class A1, 6.365%, (3 mo. USD LIBOR + 1.10%), 4/19/31(1)(2) | 9,852 | 9,748,715 | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FNT1, Class A, 2.981%, 3/25/26(1) | 892 | 808,860 | |
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 5,668 | 5,129,483 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 11.11%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2) | 1,500 | 1,357,572 | |
Series 2015-1A, Class DR4, 11.415%, (3 mo. USD LIBOR + 6.50%), 5/21/34(1)(2) | 2,000 | 1,708,728 | |
Series 2018-1A, Class D, 10.412%, (3 mo. USD LIBOR + 5.15%), 4/18/31(1)(2) | 4,000 | 3,550,058 |
Security | Principal Amount (000's omitted) | Value | |
Palmer Square CLO, Ltd.: (continued) | |||
Series 2018-2A, Class D, 10.86%, (3 mo. USD LIBOR + 5.60%), 7/16/31(1)(2) | $ | 2,500 | $ 2,255,848 |
Series 2021-2A, Class E, 11.61%, (3 mo. USD LIBOR + 6.35%), 7/15/34(1)(2) | 1,000 | 944,246 | |
Series 2022-1A, Class D, 8.099%, (3 mo. SOFR + 3.05%), 4/20/35(1)(2) | 2,450 | 2,326,596 | |
Series 2022-3A, Class E, 13.029%, (3 mo. SOFR + 7.98%), 7/20/35(1)(2) | 1,000 | 990,045 | |
Regatta IX Funding, Ltd., Series 2017-1A, Class E, 11.26%, (3 mo. USD LIBOR + 6.00%), 4/17/30(1)(2) | 3,000 | 2,663,377 | |
Regatta XIII Funding, Ltd., Series 2018-2A, Class D, 11.21%, (3 mo. USD LIBOR + 5.95%), 7/15/31(1)(2) | 3,000 | 2,458,669 | |
Sandstone Peak, Ltd., Series 2021-1A, Class D, 8.81%, (3 mo. USD LIBOR + 3.55%), 10/15/34(1)(2) | 4,000 | 3,635,708 | |
Shackleton CLO, Ltd., Series 2015-7RA, Class AR, 6.41%, (3 mo. USD LIBOR + 1.15%), 7/15/31(1)(2) | 11,000 | 10,873,775 | |
Steele Creek CLO, Ltd., Series 2014-1RA, Class A, 6.331%, (3 mo. USD LIBOR + 1.07%), 4/21/31(1)(2) | 7,781 | 7,704,940 | |
Upland CLO, Ltd., Series 2016-1A, Class DR, 11.15%, (3 mo. USD LIBOR + 5.90%), 4/20/31(1)(2) | 2,000 | 1,707,522 | |
Vibrant CLO IX, Ltd., Series 2018-9A, Class D, 11.56%, (3 mo. SOFR + 6.51%), 7/20/31(1)(2) | 2,000 | 1,479,722 | |
Voya CLO, Ltd.: | |||
Series 2013-1A, Class DR, 11.74%, (3 mo. USD LIBOR + 6.48%), 10/15/30(1)(2) | 5,000 | 3,743,674 | |
Series 2014-1A, Class DR2, 11.244%, (3 mo. SOFR + 6.26%), 4/18/31(1)(2) | 2,000 | 1,646,814 | |
Series 2015-3A, Class DR, 11.51%, (3 mo. SOFR + 6.46%), 10/20/31(1)(2) | 2,000 | 1,500,886 | |
Series 2017-4A, Class A1, 6.39%, (3 mo. USD LIBOR + 1.13%), 10/15/30(1)(2) | 4,627 | 4,597,048 | |
Series 2018-2A, Class E, 10.51%, (3 mo. USD LIBOR + 5.25%), 7/15/31(1)(2) | 1,000 | 803,299 | |
Wellfleet CLO, Ltd.: | |||
Series 2016-2A, Class A1R, 6.39%, (3 mo. USD LIBOR + 1.14%), 10/20/28(1)(2) | 2,148 | 2,131,625 | |
Series 2019-1A, Class CR, 8.80%, (3 mo. USD LIBOR + 3.55%), 7/20/32(1)(2) | 2,500 | 2,162,831 | |
Series 2021-2A, Class E, 12.22%, (3 mo. USD LIBOR + 6.96%), 7/15/34(1)(2) | 1,000 | 807,437 | |
Series 2022-1A, Class E, 12.846%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,000 | 1,789,022 | |
Series 2022-2A, Class E, 13.542%, (3 mo. SOFR + 8.56%), 10/18/35(1)(2) | 2,000 | 1,935,222 | |
Total Asset-Backed Securities (identified cost $284,562,473) | $258,555,483 |
Closed-End Funds — 0.3% |
Security | Shares | Value | |
Nuveen Global High Income Fund | 83,400 | $ 924,072 |
Security | Shares | Value | |
PGIM Global High Yield Fund, Inc. | 430,326 | $ 4,759,405 | |
Western Asset High Income Opportunity Fund, Inc. | 383,997 | 1,459,189 | |
Total Closed-End Funds (identified cost $8,409,895) | $ 7,142,666 |
Collateralized Mortgage Obligations — 25.0% |
Security | Principal Amount (000's omitted) | Value | |
Angel Oak Mortgage Trust I, LLC, Series 2019-1, Class B1, 5.40%, 11/25/48(1)(3) | $ | 3,939 | $ 3,868,575 |
Brean Asset-Backed Securities Trust, Series 2023-RM6, Class A1, 5.25% to 1/25/28, 1/25/63(1)(4) | 3,944 | 3,750,686 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 2,900 | 2,601,505 | |
CHNGE Mortgage Trust: | |||
Series 2022-4, Class A1, 6.00%, 10/25/57(1)(3) | 13,824 | 13,717,328 | |
Series 2022-NQ, Class M1, 5.82%, 6/25/67(1)(3) | 1,764 | 1,644,911 | |
Deephaven Residential Mortgage Trust: | |||
Series 2020-2, Class B2, 5.822%, 5/25/65(1)(3) | 4,273 | 4,145,807 | |
Series 2020-2, Class M1, 4.112%, 5/25/65(1)(3) | 3,500 | 3,324,465 | |
FARM Mortgage Trust: | |||
Series 2022-1, Class B, 2.944%, 1/25/52(1)(3) | 2,713 | 1,797,661 | |
Series 2023-1, Class B, 3.031%, 3/25/52(1)(3) | 2,719 | 1,701,519 | |
Federal Home Loan Mortgage Corp.: | |||
Series 2182, Class ZC, 7.50%, 9/15/29 | 43 | 44,516 | |
Series 4273, Class SP, 0.35%, (12.00% - 1 mo. USD LIBOR x 2.67), 11/15/43(5) | 516 | 466,757 | |
Series 5071, Class SP, 0.00%, (3.30% - 30-day average SOFR, Floor 0.00%), 2/25/51(5) | 4,319 | 3,201,510 | |
Series 5083, Class SK, 0.00%, (3.87% - 30-day average SOFR x 1.33, Floor 0.00%), 3/25/51(5) | 3,411 | 2,423,962 | |
Series 5139, Class DZ, 2.50%, 9/25/51 | 2,026 | 1,270,117 | |
Series 5144, Class Z, 2.50%, 9/25/51 | 7,477 | 4,837,796 | |
Series 5150, Class QZ, 2.50%, 10/25/51 | 2,609 | 1,690,003 | |
Series 5150, Class ZJ, 2.50%, 10/25/51 | 4,202 | 2,715,542 | |
Series 5152, Class ZP, 3.00%, 7/25/50 | 10,007 | 6,803,393 | |
Series 5159, Class ZP, 3.00%, 11/25/51 | 848 | 592,870 | |
Series 5159, Class ZT, 3.00%, 11/25/51 | 1,548 | 1,111,683 | |
Series 5163, Class Z, 3.00%, 11/25/51 | 1,063 | 720,411 | |
Series 5166, Class ZN, 3.00%, 9/25/50 | 1,931 | 1,337,215 | |
Series 5168, Class MZ, 3.00%, 10/25/51 | 2,023 | 1,432,928 | |
Series 5300, Class EY, 6.00%, 12/25/52 | 10,900 | 11,309,163 | |
Interest Only:(6) | |||
Series 380, Class C1, 3.00%, 1/25/50 | 32,045 | 5,390,321 | |
Series 380, Class C5, 3.50%, 1/25/50 | 10,084 | 1,804,863 | |
Series 2631, Class DS, 2.152%, (7.10% - 1 mo. USD LIBOR), 6/15/33(5) | 518 | 16,274 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2956, Class SL, 2.052%, (7.00% - 1 mo. USD LIBOR), 6/15/32(5) | $ | 501 | $ 45,463 |
Series 3114, Class TS, 1.702%, (6.65% - 1 mo. USD LIBOR), 9/15/30(5) | 1,256 | 61,184 | |
Series 3153, Class JI, 1.936%, (6.62% - 1 mo. USD LIBOR), 5/15/36(5) | 1,276 | 106,953 | |
Series 4007, Class JI, 4.00%, 2/15/42 | 621 | 93,969 | |
Series 4050, Class IB, 3.50%, 5/15/41 | 2 | 3 | |
Series 4067, Class JI, 3.50%, 6/15/27 | 1,667 | 72,963 | |
Series 4070, Class S, 1.152%, (6.10% - 1 mo. USD LIBOR), 6/15/32(5) | 4,989 | 395,966 | |
Series 4095, Class HS, 1.152%, (6.10% - 1 mo. USD LIBOR), 7/15/32(5) | 1,019 | 51,215 | |
Series 4109, Class ES, 1.202%, (6.15% - 1 mo. USD LIBOR), 12/15/41(5) | 81 | 10,255 | |
Series 4109, Class SA, 1.252%, (6.20% - 1 mo. USD LIBOR), 9/15/32(5) | 2,239 | 162,261 | |
Series 4149, Class S, 1.302%, (6.25% - 1 mo. USD LIBOR), 1/15/33(5) | 1,593 | 132,416 | |
Series 4163, Class GS, 1.252%, (6.20% - 1 mo. USD LIBOR), 11/15/32(5) | 1,417 | 105,270 | |
Series 4169, Class AS, 1.302%, (6.25% - 1 mo. USD LIBOR), 2/15/33(5) | 2,134 | 150,474 | |
Series 4180, Class GI, 3.50%, 8/15/26 | 66 | 161 | |
Series 4188, Class AI, 3.50%, 4/15/28 | 1,507 | 60,217 | |
Series 4189, Class SQ, 1.202%, (6.15% - 1 mo. USD LIBOR), 12/15/42(5) | 498 | 62,755 | |
Series 4203, Class QS, 1.302%, (6.25% - 1 mo. USD LIBOR), 5/15/43(5) | 1,414 | 104,681 | |
Series 4332, Class IK, 4.00%, 4/15/44 | 491 | 77,641 | |
Series 4343, Class PI, 4.00%, 5/15/44 | 1,489 | 248,270 | |
Series 4370, Class IO, 3.50%, 9/15/41 | 239 | 6,353 | |
Series 4381, Class SK, 1.202%, (6.15% - 1 mo. USD LIBOR), 6/15/44(5) | 1,338 | 136,953 | |
Series 4388, Class MS, 1.152%, (6.10% - 1 mo. USD LIBOR), 9/15/44(5) | 1,322 | 167,216 | |
Series 4408, Class IP, 3.50%, 4/15/44 | 2,028 | 261,876 | |
Series 4497, Class CS, 1.252%, (6.20% - 1 mo. USD LIBOR), 9/15/44(5) | 1,135 | 23,184 | |
Series 4507, Class MI, 3.50%, 8/15/44 | 726 | 31,845 | |
Series 4507, Class SJ, 1.232%, (6.18% - 1 mo. USD LIBOR), 9/15/45(5) | 3,866 | 486,502 | |
Series 4520, Class PI, 4.00%, 8/15/45 | 9,367 | 1,218,093 | |
Series 4528, Class BS, 1.202%, (6.15% - 1 mo. USD LIBOR), 7/15/45(5) | 1,809 | 196,555 | |
Series 4629, Class QI, 3.50%, 11/15/46 | 1,848 | 365,136 | |
Series 4637, Class IP, 3.50%, 4/15/44 | 269 | 9,716 | |
Series 4644, Class TI, 3.50%, 1/15/45 | 1,742 | 248,424 | |
Series 4667, Class PI, 3.50%, 5/15/42 | 229 | 865 | |
Series 4672, Class LI, 3.50%, 1/15/43 | 29 | 36 | |
Series 4744, Class IO, 4.00%, 11/15/47 | 1,722 | 328,122 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 4749, Class IL, 4.00%, 12/15/47 | $ | 1,366 | $ 260,868 |
Series 4768, Class IO, 4.00%, 3/15/48 | 1,666 | 317,397 | |
Series 5051, Class S, 0.00%, (3.60% - 30-day average SOFR, Floor 0.00%), 12/25/50(5) | 18,476 | 865,531 | |
Series 5070, Class CI, 2.00%, 2/25/51 | 39,631 | 5,254,889 | |
Series 5156, Class IP, 3.00%, 12/25/49 | 20,705 | 3,239,028 | |
Series 5236, Class TI, 3.00%, 1/25/51 | 75,323 | 12,002,272 | |
Principal Only:(7) | |||
Series 4417, Class KO, 0.00%, 12/15/43 | 539 | 359,447 | |
Series 4478, Class PO, 0.00%, 5/15/45 | 903 | 686,675 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2019-HQA3, Class B2, 12.52%, (1 mo. USD LIBOR + 7.50%), 9/25/49(1)(2) | 1,250 | 1,289,683 | |
Series 2021-DNA5, Class B2, 10.315%, (30-day average SOFR + 5.50%), 1/25/34(1)(2) | 3,500 | 3,010,537 | |
Federal National Mortgage Association: | |||
Series G94-7, Class PJ, 7.50%, 5/17/24 | 10 | 9,935 | |
Series 1994-42, Class K, 6.50%, 4/25/24 | 11 | 11,485 | |
Series 2009-62, Class WA, 5.579%, 8/25/39(3) | 679 | 690,004 | |
Series 2013-6, Class TA, 1.50%, 1/25/43 | 570 | 524,709 | |
Series 2021-56, Class GZ, 3.00%, 7/25/51 | 1,334 | 913,825 | |
Series 2021-56, Class LZ, 2.50%, 9/25/51 | 5,434 | 3,630,383 | |
Series 2021-61, Class LZ, 2.50%, 9/25/51 | 3,775 | 2,449,443 | |
Series 2021-61, Class Z, 2.50%, 9/25/51 | 8,017 | 5,211,413 | |
Series 2021-77, Class WZ, 3.00%, 8/25/50 | 413 | 275,105 | |
Series 2021-77, Class Z, 3.00%, 5/25/51 | 5,161 | 3,522,261 | |
Series 2021-79, Class Z, 3.00%, 11/25/51 | 5,438 | 3,870,194 | |
Series 2023-12, Class LW, 6.00%, 4/25/53 | 11,482 | 11,924,995 | |
Series 2023-14, Class EL, 6.00%, 4/25/53 | 63,163 | 65,795,457 | |
Interest Only:(6) | |||
Series 2004-46, Class SI, 0.98%, (6.00% - 1 mo. USD LIBOR), 5/25/34(5) | 1,156 | 53,178 | |
Series 2005-17, Class SA, 1.68%, (6.70% - 1 mo. USD LIBOR), 3/25/35(5) | 1,042 | 107,763 | |
Series 2005-71, Class SA, 1.73%, (6.75% - 1 mo. USD LIBOR), 8/25/25(5) | 75 | 680 | |
Series 2005-105, Class S, 1.68%, (6.70% - 1 mo. USD LIBOR), 12/25/35(5) | 859 | 97,933 | |
Series 2006-44, Class IS, 1.58%, (6.60% - 1 mo. USD LIBOR), 6/25/36(5) | 747 | 73,548 | |
Series 2006-65, Class PS, 2.20%, (7.22% - 1 mo. USD LIBOR), 7/25/36(5) | 736 | 102,510 | |
Series 2006-96, Class SN, 2.355%, (7.20% - 1 mo. USD LIBOR), 10/25/36(5) | 829 | 72,384 | |
Series 2006-104, Class SD, 1.62%, (6.64% - 1 mo. USD LIBOR), 11/25/36(5) | 776 | 80,110 | |
Series 2006-104, Class SE, 1.61%, (6.63% - 1 mo. USD LIBOR), 11/25/36(5) | 517 | 53,247 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2007-50, Class LS, 1.43%, (6.45% - 1 mo. USD LIBOR), 6/25/37(5) | $ | 1,075 | $ 108,058 |
Series 2008-26, Class SA, 1.18%, (6.20% - 1 mo. USD LIBOR), 4/25/38(5) | 1,213 | 139,778 | |
Series 2008-61, Class S, 1.08%, (6.10% - 1 mo. USD LIBOR), 7/25/38(5) | 2,259 | 177,675 | |
Series 2011-101, Class IC, 3.50%, 10/25/26 | 789 | 26,675 | |
Series 2011-101, Class IE, 3.50%, 10/25/26 | 577 | 19,218 | |
Series 2011-104, Class IM, 3.50%, 10/25/26 | 1,089 | 38,411 | |
Series 2012-52, Class DI, 3.50%, 5/25/27 | 2,239 | 103,483 | |
Series 2012-124, Class IO, 0.591%, 11/25/42(3) | 2,826 | 126,164 | |
Series 2012-139, Class LS, 1.302%, (6.15% - 1 mo. USD LIBOR), 12/25/42(5) | 2,658 | 433,360 | |
Series 2012-147, Class SA, 1.08%, (6.10% - 1 mo. USD LIBOR), 1/25/43(5) | 3,020 | 342,156 | |
Series 2012-150, Class PS, 1.13%, (6.15% - 1 mo. USD LIBOR), 1/25/43(5) | 3,750 | 427,497 | |
Series 2012-150, Class SK, 1.13%, (6.15% - 1 mo. USD LIBOR), 1/25/43(5) | 4,570 | 551,603 | |
Series 2013-11, Class IO, 4.00%, 1/25/43 | 10,111 | 1,282,947 | |
Series 2013-12, Class SP, 0.63%, (5.65% - 1 mo. USD LIBOR), 11/25/41(5) | 524 | 11,104 | |
Series 2013-15, Class DS, 1.18%, (6.20% - 1 mo. USD LIBOR), 3/25/33(5) | 3,820 | 264,396 | |
Series 2013-23, Class CS, 1.23%, (6.25% - 1 mo. USD LIBOR), 3/25/33(5) | 2,012 | 140,975 | |
Series 2013-54, Class HS, 1.28%, (6.30% - 1 mo. USD LIBOR), 10/25/41(5) | 241 | 824 | |
Series 2013-64, Class PS, 1.23%, (6.25% - 1 mo. USD LIBOR), 4/25/43(5) | 2,087 | 163,246 | |
Series 2013-66, Class JI, 3.00%, 7/25/43 | 3,349 | 552,459 | |
Series 2013-75, Class SC, 1.23%, (6.25% - 1 mo. USD LIBOR), 7/25/42(5) | 2,881 | 78,347 | |
Series 2014-32, Class EI, 4.00%, 6/25/44 | 749 | 129,010 | |
Series 2014-41, Class SA, 1.03%, (6.05% - 1 mo. USD LIBOR), 7/25/44(5) | 1,259 | 210,620 | |
Series 2014-43, Class PS, 1.08%, (6.10% - 1 mo. USD LIBOR), 3/25/42(5) | 1,126 | 81,502 | |
Series 2014-55, Class IN, 3.50%, 7/25/44 | 2,002 | 415,307 | |
Series 2014-64, Class BI, 3.50%, 3/25/44 | 280 | 9,386 | |
Series 2014-67, Class IH, 4.00%, 10/25/44 | 1,309 | 311,362 | |
Series 2014-80, Class CI, 3.50%, 12/25/44 | 1,368 | 299,328 | |
Series 2014-89, Class IO, 3.50%, 1/25/45 | 2,022 | 446,090 | |
Series 2015-6, Class IM, 0.00%, (5.33% - 1 mo. USD LIBOR x 1.33, Floor 0.00%), 6/25/43(5) | 1,960 | 10,633 | |
Series 2015-14, Class KI, 3.00%, 3/25/45 | 2,481 | 419,687 | |
Series 2015-22, Class GI, 3.50%, 4/25/45 | 698 | 132,788 | |
Series 2015-31, Class SG, 1.08%, (6.10% - 1 mo. USD LIBOR), 5/25/45(5) | 2,652 | 561,726 | |
Series 2015-36, Class IL, 3.00%, 6/25/45 | 1,540 | 227,474 | |
Series 2015-52, Class MI, 3.50%, 7/25/45 | 3,342 | 688,028 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2015-93, Class BS, 1.13%, (6.15% - 1 mo. USD LIBOR), 8/25/45(5) | $ | 1,445 | $ 84,801 |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 4,193 | 754,731 | |
Series 2021-94, Class CI, 3.00%, 1/25/52 | 12,184 | 2,018,418 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2019-R04, Class 2B1, 10.27%, (1 mo. USD LIBOR + 5.25%), 6/25/39(1)(2) | 30,942 | 32,279,583 | |
Series 2019-R06, Class 2B1, 8.77%, (1 mo. USD LIBOR + 3.75%), 9/25/39(1)(2) | 987 | 990,776 | |
Finance of America HECM Buyout, Series 2022-HB2, Class M5, 6.00%, 8/1/32(1)(3) | 1,000 | 617,708 | |
FREED Mortgage, Series 2022-HE1, Class A, 7.00%, 10/25/37(1)(3) | 3,424 | 3,414,591 | |
Government National Mortgage Association: | |||
Series 2021-136, Class Z, 2.50%, 8/20/51 | 8,695 | 5,605,047 | |
Series 2021-139, Class ZJ, 2.50%, 8/20/51 | 1,684 | 1,364,435 | |
Series 2021-154, Class ZC, 2.50%, 9/20/51 | 1,751 | 1,133,490 | |
Series 2021-154, Class ZL, 3.00%, 9/20/51 | 2,814 | 1,878,198 | |
Series 2021-165, Class MZ, 2.50%, 9/20/51 | 14,508 | 9,390,811 | |
Series 2022-31, Class ZD, 3.00%, 2/20/52 | 278 | 178,820 | |
Series 2022-173, Class S, 5.169%, (22.73% - 30-day average SOFR x 3.667), 10/20/52(5) | 8,326 | 8,840,716 | |
Series 2022-189, Class US, 5.169%, (22.73% - 30-day average SOFR x 3.667), 11/20/52(5) | 11,859 | 12,861,278 | |
Series 2022-195, Class AS, 5.401%, (23.13% - 30-day average SOFR x 3.70), 11/20/52(5) | 4,931 | 5,692,163 | |
Series 2022-197, Class SW, 4.824%, (16.32% - 30-day average SOFR x 2.40), 11/20/52(5) | 9,828 | 10,108,092 | |
Series 2023-53, Class AL, 5.50%, 4/20/53 | 20,000 | 20,329,930 | |
Series 2023-53, Class SE, 5.606%, (22.55% - 30-day average SOFR x 3.667), 4/20/53(5) | 20,179 | 20,856,650 | |
Series 2023-63, Class S, 4.85%, (22.55% - 30-day average SOFR x 3.667), 5/20/53 | 38,571 | 40,064,425 | |
Series 2023-65, Class SB, 4.987%, (22.55% - 30-day average SOFR x 3.667), 5/20/53 | 7,700 | 8,081,820 | |
Series 2023-65, Class SD, 4.95%, (22.55% - 30-day average SOFR x 3.667), 5/20/53 | 12,000 | 12,809,088 | |
Series 2023-66, Class SD, 4.863%, (22.55% - 30-day average SOFR x 3.667), 5/20/53 | 6,333 | 6,578,480 | |
Interest Only:(6) | |||
Series 2014-68, Class KI, 0.00%, 10/20/42(3) | 2,655 | 112,993 | |
Series 2017-104, Class SD, 1.247%, (6.20% - 1 mo. USD LIBOR), 7/20/47(5) | 4,611 | 551,445 | |
Series 2017-121, Class DS, 0.147%, (4.50% - 1 mo. USD LIBOR), 8/20/47(5) | 3,073 | 156,174 | |
Series 2017-137, Class AS, 0.014%, (4.50% - 1 mo. USD LIBOR), 9/20/47(5) | 4,212 | 207,227 | |
Series 2020-116, Class MI, 2.00%, 8/20/50 | 17,524 | 2,348,983 | |
Series 2020-134, Class LI, 2.50%, 9/20/50 | 7,714 | 1,056,409 | |
Series 2020-146, Class IQ, 2.00%, 10/20/50 | 18,163 | 2,081,547 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2020-146, Class QI, 2.00%, 10/20/50 | $ | 9,626 | $ 1,076,225 |
Series 2020-149, Class NI, 2.50%, 10/20/50 | 14,142 | 1,908,020 | |
Series 2020-151, Class AI, 2.00%, 10/20/50 | 53,143 | 6,703,006 | |
Series 2020-151, Class HI, 2.50%, 10/20/50 | 1,241 | 167,272 | |
Series 2020-154, Class PI, 2.50%, 10/20/50 | 12,547 | 1,683,942 | |
Series 2020-167, Class KI, 2.00%, 11/20/50 | 29,256 | 3,355,793 | |
Series 2020-173, Class DI, 2.00%, 11/20/50 | 22,064 | 2,740,423 | |
Series 2020-176, Class HI, 2.50%, 11/20/50 | 30,667 | 4,139,283 | |
Series 2020-185, Class BI, 2.00%, 12/20/50 | 7,582 | 903,467 | |
Series 2020-191, Class AI, 2.00%, 12/20/50 | 28,288 | 3,364,643 | |
Series 2021-15, Class AI, 2.00%, 1/20/51 | 32,685 | 4,086,908 | |
Series 2021-23, Class TI, 2.50%, 2/20/51 | 11,933 | 1,573,841 | |
Series 2021-30, Class AI, 2.00%, 2/20/51 | 3,971 | 492,512 | |
Series 2021-46, Class IM, 2.50%, 3/20/51 | 2,676 | 353,946 | |
Series 2021-56, Class SE, 0.00%, (2.30% - 30-day average SOFR, Floor 0.00%), 10/20/50(5) | 5,586 | 91,720 | |
Series 2021-77, Class SB, 0.00%, (3.75% - 1 mo. USD LIBOR, Floor 0.00%), 5/20/51(5) | 12,893 | 522,544 | |
Series 2021-97, Class IG, 2.50%, 8/20/49 | 39,730 | 4,387,618 | |
Series 2021-114, Class MI, 3.00%, 6/20/51 | 9,969 | 1,477,516 | |
Series 2021-121, Class TI, 3.00%, 7/20/51 | 36,487 | 4,417,069 | |
Series 2021-122, Class NI, 3.00%, 7/20/51 | 6,651 | 992,207 | |
Series 2021-125, Class SA, 0.00%, (3.75% - 1 mo. USD LIBOR, Floor 0.00%), 7/20/51(5) | 16,961 | 676,679 | |
Series 2021-154, Class MI, 3.00%, 9/20/51 | 49,802 | 6,314,387 | |
Series 2021-160, Class IT, 2.50%, 9/20/51 | 18,085 | 2,035,710 | |
Series 2021-175, Class AS, 0.00%, (1.80% - 1 mo. USD LIBOR, Floor 0.00%), 10/20/51(5) | 27,156 | 261,370 | |
Series 2021-175, Class SB, 0.00%, (1.80% - 1 mo. USD LIBOR, Floor 0.00%), 10/20/51(5) | 13,602 | 132,887 | |
Series 2021-193, Class IU, 3.00%, 11/20/49 | 44,844 | 5,708,426 | |
Series 2021-193, Class YS, 0.00%, (2.45% - 30-day average SOFR, Floor 0.00%), 11/20/51(5) | 26,474 | 405,578 | |
Series 2021-201, Class PI, 3.00%, 11/20/51 | 28,495 | 3,025,199 | |
Series 2021-209, Class IW, 3.00%, 11/20/51 | 20,009 | 2,437,710 | |
Series 2022-104, Class IO, 2.50%, 6/20/51 | 26,594 | 3,487,747 | |
Series 2022-119, Class CS, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 217,225 | 2,434,784 | |
Series 2022-119, Class SC, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 24,136 | 270,532 | |
Series 2022-119, Class TA, 0.00%, (3.90% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 48,272 | 430,138 | |
Series 2022-119, Class TI, 0.00%, (3.85% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 482,721 | 4,038,447 | |
Series 2022-126, Class AS, 0.00%, (3.69% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 64,776 | 1,343,941 | |
Series 2022-126, Class SC, 0.00%, (3.73% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 48,272 | 1,029,365 | |
Series 2022-135, Class SA, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 6/20/52(5) | 134,783 | 1,663,179 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2023-13, Class SA, 0.61%, (5.40% - 30-day average SOFR), 1/20/53(5) | $ | 17,850 | $ 500,129 |
Series 2023-19, Class SD, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(5) | 21,383 | 1,192,083 | |
Series 2023-20, Class HS, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(5) | 14,898 | 861,333 | |
Series 2023-22, Class ES, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(5) | 19,865 | 1,148,444 | |
Series 2023-22, Class SA, 0.91%, (5.70% - 30-day average SOFR), 2/20/53(5) | 34,775 | 1,136,888 | |
Series 2023-24, Class SB, 0.36%, (5.15% - 30-day average SOFR), 2/20/53(5) | 39,729 | 1,289,071 | |
Series 2023-24, Class SG, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(5) | 19,865 | 1,148,444 | |
Series 2023-32, Class SA, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(5) | 67,043 | 3,875,999 | |
Series 2023-38, Class LS, 1.51%, (6.30% - 30-day average SOFR), 3/20/53(5) | 63,840 | 3,625,328 | |
Series 2023-38, Class SD, 1.46%, (6.25% - 30-day average SOFR), 3/20/53(5) | 99,663 | 4,148,964 | |
Series 2023-38, Class SG, 1.41%, (6.20% - 30-day average SOFR), 3/20/53(5) | 49,805 | 2,770,728 | |
Series 2023-47, Class HS, 1.51%, (6.30% - 30-day average SOFR), 3/20/53(5) | 21,280 | 1,208,443 | |
Series 2023-47, Class SC, 1.46%, (6.25% - 30-day average SOFR), 3/20/53(5) | 31,904 | 1,735,022 | |
Series 2023-53, Class SK, 1.538%, (6.20% - 30-day average SOFR), 4/20/53(5) | 40,000 | 2,015,576 | |
MFRA Trust, Series 2023-NQM1, Class A2, 5.75% to 1/25/26, 11/25/67(1)(4) | 977 | 966,471 | |
PNMAC GMSR Issuer Trust: | |||
Series 2018-GT1, Class A, 8.87%, (1 mo. USD LIBOR + 3.85%), 2/25/25(1)(2) | 5,000 | 5,002,846 | |
Series 2018-GT2, Class A, 7.67%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(2) | 4,272 | 4,217,494 | |
Series 2022-GT1, Class A, 9.065%, (30-day average SOFR + 4.25%), 5/25/27(1)(2) | 6,000 | 5,947,216 | |
Radnor Re, Ltd., Series 2022-1, Class M1A, 8.565%, (30-day average SOFR + 3.75%), 9/25/32(1)(2) | 7,000 | 6,991,222 | |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(3) | 55,099 | 49,995,007 | |
Total Collateralized Mortgage Obligations (identified cost $699,942,786) | $617,192,551 |
Commercial Mortgage-Backed Securities — 0.8% |
Security | Principal Amount (000's omitted) | Value | |
COMM Mortgage Trust, Series 2013-CR9, Class D, 4.61%, 7/10/45(1)(3) | $ | 5,000 | $ 4,565,362 |
Security | Principal Amount (000's omitted) | Value | |
CSMC Trust: | |||
Series 2020-TMIC, Class A, 8.448%, (1 mo. USD LIBOR + 3.50%), 12/15/35(1)(2) | $ | 3,000 | $ 2,977,320 |
Series 2022-NWPT, Class A, 8.033%, (SOFR + 3.143%), 9/9/24(1)(2) | 4,200 | 4,206,600 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22, Class D, 4.699%, 9/15/47(1)(3) | 3,430 | 2,456,374 | |
Series 2014-C25, Class D, 4.083%, 11/15/47(1)(3) | 8,045 | 3,403,353 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class D, 4.502%, 8/15/46(1)(3)(8) | 5,000 | 266,894 | |
WF-RBS Commercial Mortgage Trust, Series 2014-C24, Class D, 3.692%, 11/15/47(1) | 4,000 | 2,211,872 | |
Total Commercial Mortgage-Backed Securities (identified cost $30,487,522) | $ 20,087,775 |
Common Stocks — 0.2% |
Security | Shares | Value | |
Argentina — 0.0%(9) | |||
Banco Macro S.A. ADR | 7,600 | $ 134,444 | |
Grupo Financiero Galicia S.A. ADR | 31,600 | 364,032 | |
IRSA Inversiones y Representaciones S.A. ADR | 13,193 | 72,826 | |
Loma Negra Cia Industrial Argentina S.A. ADR | 23,000 | 140,760 | |
Pampa Energia S.A. ADR(10) | 8,300 | 283,362 | |
Telecom Argentina S.A. ADR | 34,900 | 177,641 | |
Transportadora de Gas del Sur S.A., Class B ADR(10) | 15,900 | 180,942 | |
$ 1,354,007 | |||
Bermuda — 0.0%(9) | |||
Liberty Latin America, Ltd., Class A(10) | 92,500 | $ 820,475 | |
$ 820,475 | |||
Bulgaria — 0.2% | |||
Eurohold Bulgaria AD(10) | 5,140,100 | $ 3,844,767 | |
$ 3,844,767 | |||
Iceland — 0.0%(9) | |||
Siminn HF | 2,023,336 | $ 172,911 | |
$ 172,911 | |||
Total Common Stocks (identified cost $6,561,695) | $ 6,192,160 |
Convertible Bonds — 2.0% |
Security | Principal Amount (000's omitted) | Value | |
Bermuda — 0.1% | |||
Jazz Investments I, Ltd., 2.00%, 6/15/26 | USD | 720 | $ 785,700 |
NCL Corp., Ltd., 1.125%, 2/15/27 | USD | 720 | 525,730 |
$ 1,311,430 | |||
British Virgin Islands — 0.0%(9) | |||
ADM Ag Holding, Ltd., 0.00%, 8/26/23(11) | USD | 200 | $ 196,350 |
$ 196,350 | |||
Cayman Islands — 0.2% | |||
Herbalife, Ltd., 2.625%, 3/15/24 | USD | 720 | $ 689,760 |
JOYY, Inc., 0.75%, 6/15/25 | USD | 300 | 298,692 |
Li Auto, Inc., 0.25%, 5/1/28 | USD | 505 | 546,157 |
Poseidon Finance 1, Ltd., 0.00%, 2/1/25(11) | USD | 460 | 478,860 |
Sea, Ltd., 2.375%, 12/1/25 | USD | 790 | 906,130 |
ZTO Express Cayman, Inc., 1.50%, 9/1/27(1) | USD | 580 | 609,000 |
$ 3,528,599 | |||
China — 0.1% | |||
Meituan, 0.00%, 4/27/27(11) | USD | 2,300 | $ 2,013,650 |
$ 2,013,650 | |||
Costa Rica — 0.2% | |||
Liberty Latin America, Ltd., 2.00%, 7/15/24 | USD | 4,449 | $ 4,122,588 |
$ 4,122,588 | |||
France — 0.0%(9) | |||
Veolia Environnement S.A., 0.00%, 1/1/25(11) | EUR | 950 | $ 335,857 |
$ 335,857 | |||
Germany — 0.0%(9) | |||
Deutsche Post AG, 0.05%, 6/30/25(11) | EUR | 400 | $ 427,939 |
RAG-Stiftung, 1.875%, 11/16/29(11) | EUR | 300 | 350,437 |
$ 778,376 | |||
India — 0.0% | |||
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(11) | USD | 1,325 | $ 1,013,254 |
$ 1,013,254 |
Security | Principal Amount (000's omitted) | Value | |
Israel — 0.0%(9) | |||
Nice, Ltd., 0.00%, 9/15/25 | USD | 340 | $ 317,220 |
$ 317,220 | |||
Luxembourg — 0.0%(9) | |||
Citigroup Global Markets Funding Luxembourg SCA, 0.00%, 7/25/24(11) | HKD | 4,000 | $ 480,786 |
$ 480,786 | |||
Netherlands — 0.0%(9) | |||
STMicroelectronics N.V., 0.00%, 8/4/25(11) | USD | 200 | $ 223,230 |
$ 223,230 | |||
Spain — 0.0%(9) | |||
Cellnex Telecom S.A., 0.50%, 7/5/28(11) | EUR | 200 | $ 240,243 |
$ 240,243 | |||
Taiwan — 0.0%(9) | |||
Hon Hai Precision Industry Co., Ltd., 0.00%, 8/5/26(11) | USD | 300 | $ 262,275 |
$ 262,275 | |||
United Arab Emirates — 0.0%(9) | |||
Abu Dhabi National Oil Co., 0.70%, 6/4/24(11) | USD | 200 | $ 190,500 |
$ 190,500 | |||
United States — 1.4% | |||
Airbnb, Inc., 0.00%, 3/15/26 | USD | 870 | $ 760,815 |
Akamai Technologies, Inc., 0.125%, 5/1/25 | USD | 870 | 900,045 |
Alarm.com Holdings, Inc., 0.00%, 1/15/26 | USD | 440 | 372,902 |
Alnylam Pharmaceuticals, Inc., 1.00%, 9/15/27(1) | USD | 340 | 339,082 |
Ares Capital Corp., 4.625%, 3/1/24 | USD | 90 | 91,238 |
Axon Enterprise, Inc., 0.50%, 12/15/27(1) | USD | 420 | 474,600 |
Bentley Systems, Inc., 0.125%, 1/15/26 | USD | 720 | 680,936 |
BILL Holdings, Inc., 0.00%, 12/1/25 | USD | 620 | 569,160 |
BioMarin Pharmaceutical, Inc., 0.599%, 8/1/24 | USD | 720 | 743,258 |
Blackline, Inc., 0.00%, 3/15/26 | USD | 440 | 372,350 |
Blackstone Mortgage Trust, Inc., 5.50%, 3/15/27 | USD | 500 | 402,188 |
Block, Inc., 0.125%, 3/1/25 | USD | 720 | 674,280 |
Burlington Stores, Inc., 2.25%, 4/15/25 | USD | 380 | 429,875 |
Cable One, Inc., 0.00%, 3/15/26 | USD | 580 | 477,340 |
Carnival Corp., 5.75%, 12/1/27(1) | USD | 430 | 443,760 |
Cloudflare, Inc., 0.00%, 8/15/26 | USD | 600 | 498,000 |
Confluent, Inc., 0.00%, 1/15/27(1) | USD | 720 | 573,731 |
CryoPort, Inc., 0.75%, 12/1/26(1) | USD | 450 | 354,658 |
Datadog, Inc., 0.125%, 6/15/25 | USD | 440 | 460,680 |
Security | Principal Amount (000's omitted) | Value | |
United States (continued) | |||
Dexcom, Inc., 0.25%, 11/15/25 | USD | 720 | $ 789,284 |
DISH Network Corp., 0.00%, 12/15/25 | USD | 440 | 216,767 |
DraftKings Holdings, Inc., 0.00%, 3/15/28 | USD | 870 | 631,620 |
Dropbox, Inc., 0.00%, 3/1/26 | USD | 570 | 506,445 |
Duke Energy Corp., 4.125%, 4/15/26(1) | USD | 900 | 920,250 |
Enphase Energy, Inc., 0.00%, 3/1/26 | USD | 220 | 210,650 |
Etsy, Inc., 0.25%, 6/15/28 | USD | 870 | 713,224 |
Exact Sciences Corp., 0.375%, 3/1/28 | USD | 720 | 627,701 |
Expedia Group, Inc., 0.00%, 2/15/26 | USD | 720 | 638,098 |
Five9, Inc., 0.50%, 6/1/25 | USD | 250 | 230,631 |
Ford Motor Co., 0.00%, 3/15/26 | USD | 870 | 853,035 |
Glencore Funding, LLC, 0.00%, 3/27/25(11) | USD | 200 | 216,906 |
HubSpot, Inc., 0.375%, 6/1/25 | USD | 149 | 231,770 |
Insmed, Inc., 0.75%, 6/1/28 | USD | 500 | 415,030 |
InterDigital, Inc., 3.50%, 6/1/27(1) | USD | 380 | 414,010 |
Ionis Pharmaceuticals, Inc., 0.00%, 4/1/26 | USD | 720 | 661,500 |
Lantheus Holdings, Inc., 2.625%, 12/15/27(1) | USD | 390 | 518,525 |
Liberty Broadband Corp., 3.125%, 3/31/53(1) | USD | 390 | 387,270 |
Liberty Media Corp.: | |||
2.75%, 12/1/49(1) | USD | 18 | 15,966 |
3.75%, 3/15/28(1) | USD | 750 | 761,250 |
Live Nation Entertainment, Inc., 2.00%, 2/15/25 | USD | 440 | 428,560 |
Lumentum Holdings, Inc., 0.50%, 6/15/28 | USD | 435 | 328,240 |
Marriott Vacations Worldwide Corp., 3.25%, 12/15/27(1) | USD | 435 | 426,518 |
Match Group Financeco 3, Inc., 2.00%, 1/15/30(1) | USD | 490 | 419,287 |
MongoDB, Inc., 0.25%, 1/15/26 | USD | 540 | 712,719 |
NextEra Energy Partners, L.P., 2.50%, 6/15/26(1) | USD | 600 | 535,200 |
NRG Energy, Inc., 2.75%, 6/1/48 | USD | 440 | 454,300 |
Okta, Inc., 0.125%, 9/1/25 | USD | 500 | 448,000 |
Omnicell, Inc., 0.25%, 9/15/25 | USD | 720 | 679,680 |
ON Semiconductor Corp., 0.50%, 3/1/29(1) | USD | 565 | 546,973 |
Palo Alto Networks, Inc., 0.375%, 6/1/25 | USD | 470 | 870,440 |
Rapid7, Inc., 0.25%, 3/15/27 | USD | 450 | 404,343 |
Rivian Automotive, Inc., 4.625%, 3/15/29(1) | USD | 370 | 343,730 |
Sarepta Therapeutics, Inc., 1.25%, 9/15/27(1) | USD | 520 | 587,603 |
Silicon Laboratories, Inc., 0.625%, 6/15/25 | USD | ��� 151 | 181,780 |
Snap, Inc., 0.00%, 5/1/27 | USD | 950 | 693,500 |
SoFi Technologies, Inc., 0.00%, 10/15/26(1) | USD | 720 | 517,320 |
Southern Co., 3.875%, 12/15/25(1) | USD | 350 | 362,425 |
Southwest Airlines Co., 1.25%, 5/1/25 | USD | 305 | 327,646 |
Spirit Airlines, Inc., 1.00%, 5/15/26 | USD | 580 | 473,280 |
Splunk, Inc., 1.125%, 9/15/25 | USD | 665 | 629,090 |
Spotify USA, Inc., 0.00%, 3/15/26 | USD | 405 | 343,238 |
Stride, Inc., 1.125%, 9/1/27 | USD | 510 | 535,497 |
Security | Principal Amount (000's omitted) | Value | |
United States (continued) | |||
Tyler Technologies, Inc., 0.25%, 3/15/26 | USD | 480 | $ 484,198 |
Uber Technologies, Inc., 0.00%, 12/15/25 | USD | 720 | 629,822 |
Vail Resorts, Inc., 0.00%, 1/1/26 | USD | 340 | 309,188 |
Wolfspeed, Inc., 1.875%, 12/1/29(1) | USD | 760 | 565,060 |
Ziff Davis, Inc., 1.75%, 11/1/26(1) | USD | 345 | 330,510 |
Zscaler, Inc., 0.125%, 7/1/25 | USD | 455 | 441,805 |
$ 33,588,782 | |||
Total Convertible Bonds (identified cost $45,423,357) | $ 48,603,140 |
Convertible Preferred Stocks — 0.0%(9) |
Security | Shares | Value | |
United States — 0.0%(9) | |||
Bank of America Corp., Series L, 7.25% | 500 | $ 591,965 | |
Total Convertible Preferred Stocks (identified cost $621,000) | $ 591,965 |
Foreign Corporate Bonds — 4.5% |
Security | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(9) | |||
Generacion Mediterranea S.A./Central Termica Roca S.A., 15.00%, 5/5/23(1)(12) | USD | 419 | $ 433,247 |
IRSA Inversiones y Representaciones S.A., 8.75%, 6/22/28(1) | USD | 151 | 148,904 |
$ 582,151 | |||
Armenia — 0.1% | |||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(11) | USD | 1,696 | $ 1,657,840 |
$ 1,657,840 | |||
Brazil — 0.5% | |||
Coruripe Netherlands BV: | |||
10.00%, 2/10/27(1) | USD | 616 | $ 455,840 |
10.00%, 2/10/27(11) | USD | 3,257 | 2,410,180 |
Guara Norte S.a.r.l., 5.198%, 6/15/34(11) | USD | 1,067 | 910,029 |
Hidrovias International Finance S.a.r.l., 4.95%, 2/8/31(11) | USD | 1,598 | 1,205,059 |
Security | Principal Amount (000's omitted) | Value | |
Brazil (continued) | |||
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(1) | USD | 1,899 | $ 1,460,960 |
MV24 Capital BV, 6.748%, 6/1/34(11) | USD | 708 | 633,331 |
Natura & Co. Luxembourg Holdings S.a.r.l.: | |||
6.00%, 4/19/29(1) | USD | 259 | 231,481 |
6.00%, 4/19/29(11) | USD | 1,563 | 1,396,927 |
Natura Cosmeticos S.A., 4.125%, 5/3/28(11) | USD | 2,178 | 1,818,391 |
Petrobras Global Finance BV, 6.90%, 3/19/49 | USD | 1,392 | 1,287,198 |
Vale S.A., 2.762%(13)(14) | BRL | 14,736 | 938,050 |
$ 12,747,446 | |||
Bulgaria — 0.0%(9) | |||
Bulgarian Energy Holding EAD, 2.45%, 7/22/28(11) | EUR | 1,359 | $ 1,226,828 |
$ 1,226,828 | |||
Burkina Faso — 0.1% | |||
Endeavour Mining PLC, 5.00%, 10/14/26(11) | USD | 3,397 | $ 2,959,806 |
$ 2,959,806 | |||
Chile — 0.2% | |||
AES Andes S.A.: | |||
6.35% to 4/7/25, 10/7/79(11)(15) | USD | 406 | $ 377,496 |
7.125% to 4/7/24, 3/26/79(11)(15) | USD | 575 | 542,136 |
Latam Airlines Group S.A., 13.375%, 10/15/27(1) | USD | 1,470 | 1,537,212 |
VTR Comunicaciones SpA: | |||
4.375%, 4/15/29(11) | USD | 2,216 | 1,145,076 |
5.125%, 1/15/28(11) | USD | 2,378 | 1,330,479 |
$ 4,932,399 | |||
China — 0.1% | |||
Kaisa Group Holdings, Ltd., 9.375%, 6/30/24(11)(16) | USD | 850 | $ 85,833 |
KWG Group Holdings, Ltd., 7.875%, 8/30/24 | USD | 519 | 143,841 |
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(11)(16) | USD | 4,343 | 568,393 |
Sunac China Holdings, Ltd.: | |||
6.50%, 7/9/23(11)(16) | USD | 400 | 80,881 |
8.35%, 4/19/23(11)(16) | USD | 1,340 | 276,455 |
Times China Holdings, Ltd.: | |||
5.55%, 6/4/24(11) | USD | 2,221 | 288,767 |
6.75%, 7/16/23(11) | USD | 1,041 | 143,137 |
$ 1,587,307 | |||
Colombia — 0.2% | |||
ABRA Global Finance, 11.50%, (6.00% cash and 5.50% PIK), 3/2/28(1) | USD | 2,599 | $ 2,086,273 |
Security | Principal Amount (000's omitted) | Value | |
Colombia (continued) | |||
Aris Mining Corp., 6.875%, 8/9/26(11) | USD | 2,210 | $ 1,755,028 |
Canacol Energy, Ltd., 5.75%, 11/24/28(11) | USD | 1,486 | 1,187,901 |
$ 5,029,202 | |||
Costa Rica — 0.1% | |||
Liberty Costa Rica Senior Secured Finance, 10.875%, 1/15/31(1) | USD | 2,280 | $ 2,208,248 |
$ 2,208,248 | |||
Georgia — 0.1% | |||
Georgia Capital JSC, 6.125%, 3/9/24(11) | USD | 1,850 | $ 1,815,313 |
TBC Bank JSC, 8.894% to 11/6/26(11)(13)(15) | USD | 1,971 | 1,769,662 |
$ 3,584,975 | |||
Ghana — 0.1% | |||
Tullow Oil PLC, 10.25%, 5/15/26(11) | USD | 1,868 | $ 1,460,655 |
$ 1,460,655 | |||
Honduras — 0.1% | |||
Inversiones Atlantida S.A., 7.50%, 5/19/26(11) | USD | 1,735 | $ 1,603,582 |
$ 1,603,582 | |||
Hungary — 0.0%(9) | |||
OTP Bank Nyrt, 8.75%, 5/15/33(11) | USD | 1,320 | $ 1,280,400 |
$ 1,280,400 | |||
Iceland — 0.2% | |||
Arion Banki HF, 6.00%, 4/12/24(11) | ISK | 440,000 | $ 3,165,759 |
Landsbankinn HF, 5.00%, 11/23/23(11) | ISK | 120,000 | 869,351 |
WOW Air HF: | |||
0.00% (12)(13)(16) | EUR | 20 | 0 |
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(12)(16) | EUR | 900 | 0 |
$ 4,035,110 | |||
India — 0.2% | |||
JSW Infrastructure, Ltd., 4.95%, 1/21/29(11) | USD | 1,694 | $ 1,467,849 |
JSW Steel, Ltd., 5.05%, 4/5/32(11) | USD | 1,732 | 1,396,615 |
Vedanta Resources Finance II PLC, 13.875%, 1/21/24(11) | USD | 2,067 | 1,796,552 |
$ 4,661,016 | |||
Indonesia — 0.1%(9) | |||
Alam Sutera Realty Tbk PT, 6.25%, (6.25% cash or 6.50% PIK), 11/2/25(11)(17) | USD | 1,420 | $ 1,186,330 |
Security | Principal Amount (000's omitted) | Value | |
Indonesia (continued) | |||
Minejesa Capital BV, 4.625%, 8/10/30(11) | USD | 1,877 | $ 1,656,453 |
$ 2,842,783 | |||
Mexico — 0.8% | |||
Alpha Holding S.A. de CV: | |||
9.00%, 2/10/25(11)(16) | USD | 2,815 | $ 38,706 |
10.00%, 12/19/22(11)(16) | USD | 1,440 | 8,855 |
Banco Mercantil del Norte S.A., 8.375% to 10/14/30(11)(13)(15) | USD | 554 | 524,500 |
BBVA Bancomer S.A., 5.125% to 1/17/28, 1/18/33(11)(15) | USD | 965 | 852,477 |
Braskem Idesa SAPI: | |||
6.99%, 2/20/32(11) | USD | 1,960 | 1,403,850 |
7.45%, 11/15/29(11) | USD | 1,895 | 1,501,103 |
Cemex SAB de CV: | |||
5.125% to 6/8/26(11)(13)(15) | USD | 3,530 | 3,130,051 |
9.125% to 3/14/28(1)(13)(15) | USD | 1,740 | 1,729,997 |
Credito Real SAB de CV: | |||
5.00%, 2/1/27(11)(16) | EUR | 347 | 31,245 |
8.00%, 1/21/28(11)(16) | USD | 2,120 | 142,591 |
9.50%, 2/7/26(11)(16) | USD | 250 | 18,126 |
Grupo Kaltex S.A. de CV, 14.50%, (13.00% cash and 1.50% PIK), 9/30/25(1)(17) | USD | 2,592 | 2,332,800 |
Petroleos Mexicanos: | |||
5.95%, 1/28/31 | USD | 2,797 | 2,069,300 |
6.95%, 1/28/60 | USD | 2,105 | 1,292,884 |
10.00%, 2/7/33(1) | USD | 1,597 | 1,484,594 |
Total Play Telecomunicaciones S.A. de CV: | |||
6.375%, 9/20/28(11) | USD | 298 | 196,558 |
7.50%, 11/12/25(11) | USD | 2,946 | 2,061,783 |
$ 18,819,420 | |||
Moldova — 0.1% | |||
Aragvi Finance International DAC, 8.45%, 4/29/26(11) | USD | 2,360 | $ 1,628,400 |
$ 1,628,400 | |||
Nigeria — 0.2% | |||
IHS Holding, Ltd., 5.625%, 11/29/26(11) | USD | 1,022 | $ 857,785 |
IHS Netherlands Holdco BV, 8.00%, 9/18/27(11) | USD | 2,654 | 2,340,430 |
SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(11) | USD | 1,277 | 1,024,690 |
$ 4,222,905 |
Security | Principal Amount (000's omitted) | Value | |
Pakistan — 0.0%(9) | |||
Pakistan Water & Power Development Authority, 7.50%, 6/4/31(11) | USD | 2,075 | $ 682,675 |
$ 682,675 | |||
Paraguay — 0.1% | |||
Frigorifico Concepcion S.A.: | |||
7.70%, 7/21/28(1) | USD | 2,421 | $ 1,734,429 |
7.70%, 7/21/28(11) | USD | 1,420 | 1,017,302 |
$ 2,751,731 | |||
Peru — 0.3% | |||
Auna SAA, 6.50%, 11/20/25(11) | USD | 6,027 | $ 4,751,054 |
Peru LNG SRL, 5.375%, 3/22/30(11) | USD | 2,006 | 1,621,881 |
Telefonica del Peru SAA, 7.375%, 4/10/27(11) | PEN | 4,500 | 1,019,885 |
$ 7,392,820 | |||
Russia — 0.0%(9) | |||
Gazprom PJSC Via Gaz Finance PLC, 4.599% to 10/26/25(11)(13)(15) | USD | 555 | $ 352,425 |
Hacienda Investments, Ltd. Via DME Airport DAC, 5.35%, 2/8/28(11) | USD | 450 | 229,500 |
Tinkoff Bank JSC Via TCS Finance, Ltd., 6.00% to 12/20/26(11)(13)(15) | USD | 1,226 | 594,610 |
$ 1,176,535 | |||
Saint Lucia — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(11) | USD | 4,217 | $ 3,822,964 |
$ 3,822,964 | |||
Singapore — 0.1% | |||
Indika Energy Capital IV Pte, Ltd., 8.25%, 10/22/25(11) | USD | 623 | $ 618,634 |
Puma International Financing S.A., 5.125%, 10/6/24(11) | USD | 1,533 | 1,473,213 |
$ 2,091,847 | |||
South Africa — 0.2% | |||
HTA Group, Ltd., 7.00%, 12/18/25(11) | USD | 1,864 | $ 1,760,129 |
Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(11)(17) | USD | 727 | 694,754 |
Sasol Financing USA, LLC: | |||
5.50%, 3/18/31 | USD | 2,621 | 2,175,910 |
6.50%, 9/27/28 | USD | 1,059 | 979,352 |
$ 5,610,145 |
Security | Principal Amount (000's omitted) | Value | |
Turkey — 0.2% | |||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(11) | USD | 2,303 | $ 1,908,872 |
Ulker Biskuvi Sanayi AS, 6.95%, 10/30/25(11) | USD | 2,399 | 2,090,177 |
$ 3,999,049 | |||
Ukraine — 0.1% | |||
Kernel Holding S.A.: | |||
6.50%, 10/17/24(11) | USD | 1,418 | $ 911,065 |
6.75%, 10/27/27(11) | USD | 1,142 | 676,635 |
$ 1,587,700 | |||
United Arab Emirates — 0.1% | |||
Shelf Drilling Holdings, Ltd., 8.875%, 11/15/24(11) | USD | 1,732 | $ 1,733,732 |
$ 1,733,732 | |||
Uzbekistan — 0.0%(9) | |||
Ipoteka-Bank ATIB, 16.00%, 4/16/24(11) | UZS | 7,100,000 | $ 597,685 |
$ 597,685 | |||
Vietnam — 0.1% | |||
Mong Duong Finance Holdings BV, 5.125%, 5/7/29(11) | USD | 2,141 | $ 1,864,040 |
$ 1,864,040 | |||
Total Foreign Corporate Bonds (identified cost $130,200,882) | $110,381,396 |
Loan Participation Notes — 0.0%(9) |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 0.0%(9) | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(12)(18) | UZS | 2,619,000 | $ 229,206 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(12)(18) | UZS | 984,000 | 86,066 |
Total Loan Participation Notes (identified cost $362,512) | $ 315,272 |
Preferred Stocks — 0.0%(9) |
Security | Shares | Value | |
United States — 0.0%(9) | |||
Wells Fargo & Co., Series L, 7.50% (Convertible) | 495 | $ 578,175 | |
Total Preferred Stocks (identified cost $622,710) | $ 578,175 |
Reinsurance Side Cars — 2.2% |
Security | Shares | Value | |
Eden Re II, Ltd.: | |||
Series 2020A, 0.00%, 3/22/24(1)(12)(19)(20) | 818,125 | $ 214,349 | |
Series 2021B, 0.00%, 3/21/25(1)(12)(19)(20) | 740,595 | 378,444 | |
Series 2023A, 0.00%, 3/19/27(1)(12)(19)(20) | 15,000,000 | 15,427,500 | |
Series 2021A, 0.00%, 3/21/25(1)(12)(19)(20) | 82,160 | 42,230 | |
Series 2022B, 0.00%, 3/20/26(1)(12)(19)(20) | 1,400,000 | 1,035,720 | |
Series 2022A, 0.00%, 3/20/26(1)(12)(19)(20) | 1,600,000 | 1,156,480 | |
Series 2023B, 0.00%, 3/19/27(1)(12)(19)(20) | 11,800,000 | 12,145,740 | |
Mt. Logan Re, Ltd.: | |||
Series 13, Preference Shares(12)(20)(21) | 10,000 | 10,369,915 | |
Series 17, Preference Shares(10)(12)(20)(21) | 860 | 880,044 | |
Sussex Capital, Ltd.: | |||
Designated Investment Series 5, 5/19(10)(12)(20)(21) | 249 | 13,616 | |
Designated Investment Series 5, 12/19(10)(12)(20)(21) | 791 | 23,958 | |
Designated Investment Series 5, 6/20(10)(12)(20)(21) | 434 | 41,963 | |
Designated Investment Series 5, 4/21(10)(12)(20)(21) | 247 | 128,213 | |
Designated Investment Series 5, 12/21(10)(12)(20)(21) | 958 | 347,102 | |
Designated Investment Series 5, 11/22(10)(12)(20)(21) | 958 | 995,815 | |
Designated Investment Series 15, 12/21(10)(12)(20)(21) | 743 | 269,032 | |
Designated Investment Series 15, 11/22(10)(12)(20)(21) | 721 | 749,505 | |
Series 5, Preference Shares(10)(12)(20)(21) | 6,000 | 5,632,370 | |
Series 15, Preference Shares(10)(12)(20)(21) | 5,000 | 4,316,034 | |
Sussex Re, Ltd.: | |||
Series 2020A(10)(12)(20)(21) | 4,081,939 | 154,706 | |
Series 2021A(10)(12)(20)(21) | 4,154,232 | 453,642 | |
Total Reinsurance Side Cars (identified cost $49,382,046) | $ 54,776,378 |
Sovereign Government Bonds — 13.9% |
Security | Principal Amount (000's omitted) | Value | |
Benin — 0.1% | |||
Benin Government International Bond, 6.875%, 1/19/52(11) | EUR | 1,630 | $ 1,202,577 |
$ 1,202,577 | |||
Dominican Republic — 1.3% | |||
Dominican Republic: | |||
9.75%, 6/5/26(11) | DOP | 56,750 | $ 1,034,516 |
12.00%, 8/8/25(1) | DOP | 450,030 | 8,213,832 |
12.75%, 9/23/29(1) | DOP | 794,700 | 16,145,578 |
13.625%, 2/3/33(1) | DOP | 56,000 | 1,217,382 |
Dominican Republic Central Bank Notes: | |||
12.00%, 10/3/25(1) | DOP | 299,010 | 5,457,097 |
13.00%, 12/5/25(1) | DOP | 12,940 | 244,366 |
$ 32,312,771 | |||
Egypt — 0.0%(9) | |||
Arab Republic of Egypt, 8.70%, 3/1/49(11) | USD | 684 | $ 366,070 |
$ 366,070 | |||
Iceland — 0.4% | |||
Republic of Iceland: | |||
5.00%, 11/15/28 | ISK | 852,032 | $ 5,704,466 |
6.50%, 1/24/31 | ISK | 285,839 | 2,091,404 |
8.00%, 6/12/25 | ISK | 307,477 | 2,235,808 |
$ 10,031,678 | |||
Indonesia — 1.1% | |||
Indonesia Government Bond, 6.375%, 4/15/32 | IDR | 403,700,000 | $ 27,234,477 |
$ 27,234,477 | |||
Mexico — 2.9% | |||
Mexican Udibonos: | |||
2.75%, 11/27/31(22) | MXN | 47,481 | $ 2,334,960 |
4.00%, 11/30/28(22) | MXN | 1,290,927 | 69,968,473 |
$ 72,303,433 | |||
New Zealand — 0.7% | |||
New Zealand Government Bond, 3.00%, 9/20/30(11)(22) | NZD | 23,566 | $ 15,998,671 |
$ 15,998,671 |
Security | Principal Amount (000's omitted) | Value | |
Peru — 2.2% | |||
Peru Government Bond: | |||
5.40%, 8/12/34 | PEN | 41,625 | $ 9,478,612 |
6.15%, 8/12/32 | PEN | 115,897 | 28,636,818 |
6.714%, 2/12/55 | PEN | 67,854 | 16,490,708 |
$ 54,606,138 | |||
Romania — 0.1% | |||
Romania Government International Bond, 7.125%, 1/17/33(11) | USD | 2,314 | $ 2,480,087 |
$ 2,480,087 | |||
Serbia — 1.1% | |||
Serbia Treasury Bond: | |||
4.50%, 8/20/32 | RSD | 3,319,480 | $ 26,873,895 |
5.875%, 2/8/28 | RSD | 3,280 | 31,256 |
$ 26,905,151 | |||
South Africa — 3.3% | |||
Republic of South Africa, 10.50%, 12/21/26 | ZAR | 1,437,663 | $ 82,591,821 |
$ 82,591,821 | |||
Suriname — 0.3% | |||
Republic of Suriname, 9.25%, 10/26/26(11)(16) | USD | 11,370 | $ 8,163,660 |
$ 8,163,660 | |||
Ukraine — 0.4% | |||
Ukraine Government Bond: | |||
10.95%, 11/1/23 | UAH | 7,018 | $ 146,325 |
11.67%, 11/22/23 | UAH | 38,811 | 798,898 |
15.84%, 2/26/25 | UAH | 383,451 | 7,078,312 |
16.00%, 5/24/23 | UAH | 17,259 | 428,610 |
Ukraine Government International Bond, 0.00%, GDP-Linked, 8/1/41(10)(11)(23) | USD | 4,433 | 1,153,232 |
$ 9,605,377 | |||
Total Sovereign Government Bonds (identified cost $394,234,750) | $343,801,911 |
Sovereign Loans — 0.0%(9) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Nigeria — 0.0%(9) | |||
Bank of Industry Limited, Term Loan, 11.138%, (3 mo. USD LIBOR + 6.00%), 12/11/23(2)(24) | USD | 683 | $ 683,378 |
Total Sovereign Loans (identified cost $683,470) | $ 683,378 |
U.S. Government Agency Commercial Mortgage-Backed Securities — 0.6% |
Security | Principal Amount (000's omitted) | Value | |
FRESB Mortgage Trust: | |||
Interest Only:(6) | |||
Series 2021-SB91, Class X1, 0.681%, 8/25/41(3) | $ | 24,065 | $ 822,492 |
Series 2021-SB92, Class X1, 0.685%, 8/25/41(3) | 24,094 | 624,917 | |
Government National Mortgage Association: | |||
Interest Only:(6) | |||
Series 2021-101, Class IO, 0.679%, 4/16/63(3) | 27,433 | 1,549,984 | |
Series 2021-132, Class IO, 0.727%, 4/16/63(3) | 66,609 | 3,922,359 | |
Series 2021-144, Class IO, 0.825%, 4/16/63(3) | 26,044 | 1,689,215 | |
Series 2021-186, Class IO, 0.765%, 5/16/63(3) | 48,101 | 2,931,867 | |
Series 2022-3, Class IO, 0.64%, 2/16/61(3) | 68,445 | 3,309,737 | |
Total U.S. Government Agency Commercial Mortgage-Backed Securities (identified cost $18,782,359) | $ 14,850,571 |
U.S. Government Agency Mortgage-Backed Securities — 38.4% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
3.609%, (COF + 1.25%), with maturity at 2035(25) | $ | 100 | $ 98,121 |
4.519%, (COF + 1.25%), with maturity at 2030(25) | 57 | 55,667 | |
5.00%, with various maturities to 2052 | 17,261 | 17,187,802 | |
5.50%, with various maturities to 2052 | 41,970 | 42,362,569 | |
6.00%, with maturity at 2053 | 1,994 | 2,039,452 | |
7.00%, with various maturities to 2036 | 532 | 553,440 | |
8.00%, with maturity at 2026 | 3 | 3,473 | |
Federal National Mortgage Association: | |||
3.866%, (COF + 1.25%), with maturity at 2035(25) | 47 | 46,659 | |
4.796%, (COF + 1.79%), with maturity at 2035(25) | 338 | 329,098 | |
5.00%, 30-Year, TBA(26) | 17,800 | 17,704,047 | |
5.00%, with various maturities to 2052 | 2,943 | 2,932,143 | |
5.50%, with various maturities to 2052 | 91,800 | 92,683,921 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
6.00%, with various maturities to 2053 | $ | 3,335 | $ 3,446,547 |
6.50%, with various maturities to 2053 | 7,789 | 8,066,040 | |
7.00%, with maturity at 2037 | 207 | 217,735 | |
8.50%, with maturity at 2032 | 88 | 94,174 | |
9.50%, with maturity at 2028 | 19 | 19,591 | |
Government National Mortgage Association: | |||
5.00%, with maturity at 2052 | 19,565 | 19,519,195 | |
5.50%, with various maturities to 2063 | 32,298 | 32,489,579 | |
5.50%, 30-Year, TBA(26) | 25,900 | 26,079,383 | |
6.00%, with various maturities to 2063 | 55,385 | 56,387,272 | |
6.00%, 30-Year, TBA(26) | 142,550 | 144,804,386 | |
6.50%, with various maturities to 2063 | 34,002 | 35,140,614 | |
6.50%, 30-Year, TBA(26) | 360,700 | 369,787,837 | |
7.00%, with various maturities to 2063 | 74,395 | 76,873,838 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $947,893,605) | $948,922,583 |
U.S. Government Guaranteed Small Business Administration Loans (27)(28)— 0.8% |
Security | Principal Amount (000's omitted) | Value | |
0.66%, 3/15/30 | $ | 2,618 | $ 38,508 |
0.73%, 7/15/31 | 2,545 | 44,001 | |
0.93%, 5/15/42 | 1,525 | 46,261 | |
0.98%, 4/15/32 | 1,185 | 30,750 | |
1.31%, 5/15/42 to 7/15/42 | 4,267 | 185,851 | |
1.34%, 9/15/41 | 1,771 | 79,904 | |
1.38%, 6/15/41 | 3,047 | 132,735 | |
1.56%, 7/15/42 | 1,079 | 54,656 | |
1.61%, 12/15/41 to 7/15/42 | 1,861 | 104,237 | |
1.63%, 9/15/41 | 1,846 | 102,636 | |
1.73%, 10/15/33 to 11/21/41 | 2,556 | 144,951 | |
1.86%, 4/15/42 to 6/15/42 | 6,801 | 410,498 | |
1.91%, 7/15/42 | 1,018 | 74,327 | |
1.93%, 7/15/42 | 1,658 | 107,046 | |
1.96%, 11/29/30 to 6/15/42 | 2,087 | 121,496 | |
2.06%, 5/15/42 to 7/15/42 | 4,939 | 337,461 | |
2.11%, 4/15/33 to 5/15/42 | 2,326 | 149,782 | |
2.16%, 5/15/42 | 1,961 | 135,198 | |
2.23%, 1/15/41 | 1,356 | 108,676 | |
2.28%, 11/1/29 | 1,027 | 49,474 | |
2.31%, 4/15/42 to 6/15/42 | 2,984 | 258,603 | |
2.36%, 1/16/42 to 6/15/42 | 9,165 | 711,003 |
Security | Principal Amount (000's omitted) | Value | |
2.38%, 6/15/42 | $ | 1,310 | $ 103,558 |
2.39%, 7/15/40 | 1,300 | 92,419 | |
2.41%, 6/15/41 to 6/15/42 | 7,289 | 607,661 | |
2.43%, 3/15/41 | 1,295 | 113,666 | |
2.46%, 12/15/26 to 6/15/27 | 1,318 | 43,028 | |
2.48%, 2/23/41 | 1,094 | 93,932 | |
2.56%, 1/15/41 | 1,012 | 77,961 | |
2.61%, 2/15/42 to 7/15/42 | 3,584 | 312,399 | |
2.66%, 4/15/42 to 6/15/42 | 2,602 | 227,118 | |
2.68%, 4/15/41 to 4/15/42 | 3,212 | 308,532 | |
2.71%, 7/15/32 to 8/15/42 | 7,140 | 630,399 | |
2.86%, 5/15/32 to 6/15/42 | 8,604 | 834,769 | |
2.88%, 8/16/42(29) | 18,516 | 1,894,850 | |
2.89%, 8/15/40 | 953 | 83,607 | |
2.90%, 11/2/42(29) | 8,843 | 858,582 | |
2.91%, 6/15/42 to 7/15/42 | 4,414 | 465,481 | |
2.93%, 4/15/41 to 7/15/42 | 3,044 | 282,286 | |
2.96%, 5/15/27 to 1/15/43 | 8,358 | 781,220 | |
2.98%, 9/15/41 to 7/15/42 | 4,109 | 463,261 | |
3.03%, 6/15/42 | 1,723 | 185,430 | |
3.11%, 5/15/42 to 6/15/42 | 2,919 | 299,542 | |
3.16%, 6/15/42 to 1/15/43 | 13,546 | 1,516,149 | |
3.19%, 8/15/39 | 1,381 | 137,101 | |
3.21%, 12/15/26 to 7/15/42 | 5,663 | 545,822 | |
3.28%, 6/21/26 to 7/15/42 | 4,577 | 470,154 | |
3.36%, 3/15/42 | 1,838 | 218,199 | |
3.41%, 6/15/42 to 12/15/42 | 3,967 | 477,034 | |
3.46%, 4/15/27 to 8/15/42 | 4,217 | 386,650 | |
3.53%, 6/15/26 to 8/15/42 | 1,151 | 87,794 | |
3.61%, 6/15/32 to 6/15/42 | 4,308 | 552,414 | |
3.64%, 12/15/41 | 1,020 | 147,633 | |
3.66%, 5/15/42 to 7/15/42 | 4,918 | 636,687 | |
3.68%, 2/15/42 to 5/15/42 | 621 | 83,896 | |
3.71%, 3/15/24 to 7/15/42 | 13,360 | 1,261,119 | |
3.73%, 1/15/37 | 1,648 | 173,079 | |
3.78%, 2/15/27 to 5/15/42 | 3,039 | 378,705 | |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $37,622,033) | $ 19,260,191 |
U.S. Treasury Obligations — 1.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond: | |||
0.125%, 2/15/52(30)(31) | $ | 38,801 | $ 26,523,409 |
0.625%, 7/15/32(30) | 11,422 | 10,852,754 | |
Total U.S. Treasury Obligations (identified cost $38,867,185) | $ 37,376,163 |
Miscellaneous — 0.0% |
Security | Shares | Value | |
Financial Intermediaries — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(10)(12) | 3,058,000 | $ 0 | |
Alpha Holding S.A., Escrow Certificates(10)(12) | 5,630,000 | 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Short-Term Investments — 22.8% |
Affiliated Fund — 20.4% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(32) | 505,772,598 | $ 505,772,598 | |
Total Affiliated Fund (identified cost $505,772,598) | $505,772,598 |
Repurchase Agreements — 0.1% |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: | |||
Dated 4/17/23 with an interest rate of 4.25%, collateralized by $1,000,000 Republic of Philippines, 5.00%, due 7/17/33 and a market value, including accrued interest, of $1,048,342 | USD | 1,043 | $ 1,042,500 |
Barclays Bank PLC: | |||
Dated 4/28/23 with an interest rate of 4.68%, collateralized by $1,000,000 Republic of Turkey, 9.375%, due 1/19/33 and a market value, including accrued interest, of $1,037,458 | USD | 1,086 | 1,086,250 |
Total Repurchase Agreements (identified cost $2,128,750) | $ 2,128,750 |
U.S. Treasury Obligations — 2.3% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 5/2/23 | $ | 10,263 | $ 21,196,956 |
0.00%, 5/16/23 | 3,675 | 3,668,550 | |
0.00%, 5/30/23(31) | 32,126 | 32,019,302 | |
Total U.S. Treasury Obligations (identified cost $56,872,935) | $ 56,884,808 | ||
Total Short-Term Investments (identified cost $564,774,283) | $564,786,156 |
Total Purchased Swaptions — 0.1% (identified cost $2,223,805) | $ 2,138,757 | ||
Total Investments — 123.6% (identified cost $3,261,658,368) | $3,056,236,671 | ||
Total Written Swaptions — (0.0)%(9) (premiums received $1,597,840) | $ (22,758) |
TBA Sale Commitments — (0.7)% | |||
U.S. Government Agency Mortgage-Backed Securities — (0.7)% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association, 5.00%, 30-Year, TBA(26) | $ | (17,800) | $ (17,704,047) |
Total U.S. Government Agency Mortgage-Backed Securities (proceeds $17,726,297) | $(17,704,047) | ||
Total TBA Sale Commitments (proceeds $17,726,297) | $(17,704,047) | ||
Securities Sold Short — (0.1)% | |||
Sovereign Government Bonds — (0.1)% |
Security | Principal Amount (000's omitted) | Value | |
Philippines — (0.1)% | |||
Republic of Philippines, 5.00%, 7/17/33 | USD | (1,000) | $ (1,033,897) |
$ (1,033,897) |
Security | Principal Amount (000's omitted) | Value | |
Turkey — (0.0)%(9) | |||
Republic of Turkey, 9.375%, 1/19/33(9) | USD | (1,000) | $ (1,010,895) |
$ (1,010,895) | |||
Total Sovereign Government Bonds (proceeds $2,037,500) | $ (2,044,792) | ||
Total Securities Sold Short (proceeds $2,037,500) | $ (2,044,792) |
Other Assets, Less Liabilities — (22.8)% | $ (563,752,769) | ||
Net Assets — 100.0% | $2,472,712,305 |
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $505,879,467 or 20.5% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at April 30, 2023. |
(4) | Step coupon security. Interest rate represents the rate in effect at April 30, 2023. |
(5) | 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, 2023. |
(6) | 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. |
(7) | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
(8) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 8). |
(9) | Amount is less than 0.05% or (0.05)%, as applicable. |
(10) | Non-income producing security. |
(11) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $122,479,976 or 5.0% of the Portfolio's net assets. |
(12) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9). |
(13) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(14) | Variable rate security whose coupon rate is linked to the issuer’s mining activities revenue. The coupon rate shown represents the rate in effect at April 30, 2023. |
(15) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(16) | 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. |
(17) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(18) | 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. |
(19) | Quantity held represents principal in USD. |
(20) | 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. |
(21) | Restricted security (see Note 5). |
(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) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
(24) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(25) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at April 30, 2023. |
(26) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(27) | 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. |
(28) | Securities comprise a trust that is wholly-owned by the Portfolio and may only be sold on a pro-rata basis with all securities in the trust. |
(29) | The stated interest rate represents the weighted average fixed interest rate at April 30, 2023 of all interest only securities comprising the certificate. |
(30) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(31) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
(32) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Purchased Credit Default Swaptions (OTC) — 0.1% | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Call - Markit CDX North America High Yield 5-Year Index (CDX.NA.HY.40.V1) - expiring 9/20/28 buy protection at 96 basis point spread | Citibank, N.A. | USD | 18,600,000 | 9/20/23 | $ 257,982 |
Call - Markit CDX North America High Yield 5-Year Index (CDX.NA.HY.40.V1) - expiring 9/20/28 buy protection at 96 basis point spread | JPMorgan Chase Bank, N.A. | USD | 111,500,000 | 9/20/23 | 1,622,325 |
Call - Markit CDX North America High Yield 5-Year Index (CDX.NA.HY.40.V1) - expiring 10/18/28 buy protection at 96 basis point spread | Goldman Sachs International | USD | 15,000,000 | 10/18/23 | 258,450 |
Total | $2,138,757 |
Written Interest Rate Swaptions (OTC) — (0.0)%(1) | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Option to enter into interest rate swap expiring 5/19/23 to pay SOFR and receive 3.60% | Bank of America, N.A. | USD | (41,000,000) | 5/17/23 | $ (12,382) |
Option to enter into interest rate swap expiring 5/4/33 to pay SOFR and receive 3.35% | JPMorgan Chase Bank, N.A. | USD | (44,200,000) | 5/2/23 | (10,376) |
Total | $(22,758) |
(1) | Amount is less than (0.05)%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
COP | 83,909,900,000 | USD | 17,423,152 | 6/21/23 | $ 241,074 |
COP | 69,876,000,000 | USD | 15,283,130 | 6/21/23 | (573,240) |
COP | 114,063,400,000 | USD | 25,388,043 | 6/21/23 | (1,376,077) |
COP | 183,900,200,000 | USD | 40,465,652 | 6/21/23 | (1,752,048) |
EUR | 2,000,000 | USD | 2,150,782 | 6/21/23 | 59,184 |
USD | 4,973,890 | COP | 22,250,000,000 | 6/21/23 | 289,949 |
USD | 5,375,037 | COP | 25,950,246,251 | 6/21/23 | (87,859) |
USD | 13,547,458 | COP | 65,713,029,860 | 6/21/23 | (286,068) |
USD | 20,744,736 | COP | 100,153,926,731 | 6/21/23 | (339,088) |
USD | 52,287,974 | COP | 253,627,000,000 | 6/21/23 | (1,104,112) |
USD | 1,328,373 | EUR | 1,210,694 | 6/21/23 | (9,423) |
USD | 967,852 | EUR | 900,000 | 6/21/23 | (26,633) |
USD | 968,796 | EUR | 900,877 | 6/21/23 | (26,659) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 2,713,734 | EUR | 2,523,486 | 6/21/23 | $ (74,675) |
USD | 3,971,342 | EUR | 3,692,929 | 6/21/23 | (109,281) |
USD | 5,213,190 | EUR | 4,847,716 | 6/21/23 | (143,453) |
USD | 6,664,293 | EUR | 6,197,089 | 6/21/23 | (183,384) |
USD | 17,297,796 | EUR | 16,085,123 | 6/21/23 | (475,991) |
USD | 26,492,439 | EUR | 24,635,170 | 6/21/23 | (729,003) |
USD | 26,254 | PEN | 100,000 | 6/21/23 | (643) |
USD | 375,789 | PEN | 1,431,080 | 6/21/23 | (9,136) |
USD | 830,621 | PEN | 3,165,000 | 6/21/23 | (20,685) |
USD | 2,389,703 | PEN | 9,051,000 | 6/21/23 | (44,792) |
USD | 5,060,114 | PEN | 19,150,000 | 6/21/23 | (90,762) |
USD | 8,563,588 | PEN | 32,456,000 | 6/21/23 | (166,272) |
USD | 7,450,044 | PEN | 28,371,258 | 6/21/23 | (181,122) |
USD | 13,315,770 | PEN | 50,797,000 | 6/21/23 | (347,365) |
USD | 16,467,300 | PEN | 62,747,000 | 6/21/23 | (410,090) |
IDR | 241,238,000,000 | USD | 16,191,230 | 7/25/23 | 233,998 |
IDR | 131,953,775,861 | USD | 8,884,221 | 7/25/23 | 100,147 |
IDR | 49,637,000,000 | USD | 3,335,058 | 7/25/23 | 44,588 |
USD | 2,295,656 | IDR | 33,805,373,700 | 7/25/23 | (6,058) |
USD | 6,626,454 | IDR | 98,068,600,000 | 7/25/23 | (50,766) |
USD | 8,284,506 | IDR | 122,585,000,000 | 7/25/23 | (61,968) |
USD | 9,945,205 | IDR | 147,103,000,000 | 7/25/23 | (70,632) |
USD | 13,089,822 | IDR | 198,965,297,135 | 7/25/23 | (457,175) |
USD | 14,713,331 | IDR | 223,863,478,726 | 7/25/23 | (528,915) |
$ (8,774,435) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 1,931,587 | USD | 2,110,047 | Standard Chartered Bank | 5/5/23 | $ 18,637 | $ — |
EUR | 3,607,958 | USD | 3,961,997 | UBS AG | 5/5/23 | 14,114 | — |
CNH | 10,300,000 | USD | 1,517,616 | Standard Chartered Bank | 5/8/23 | — | (30,352) |
CNH | 11,786,125 | USD | 1,736,763 | Standard Chartered Bank | 5/8/23 | — | (34,911) |
USD | 35,529,909 | CNH | 241,115,200 | Standard Chartered Bank | 5/8/23 | 714,185 | — |
USD | 31,038,933 | CNH | 210,660,000 | Standard Chartered Bank | 5/8/23 | 620,775 | — |
USD | 767,846 | CNH | 5,210,802 | Standard Chartered Bank | 5/8/23 | 15,434 | — |
USD | 671,877 | CNH | 4,560,000 | Standard Chartered Bank | 5/8/23 | 13,438 | — |
AUD | 39,045,000 | USD | 25,775,674 | Goldman Sachs International | 6/21/23 | 115,583 | — |
USD | 8,577,785 | MXN | 158,665,000 | Standard Chartered Bank | 6/21/23 | — | (158,615) |
USD | 2,333,849 | MXN | 42,932,000 | State Street Bank and Trust Company | 6/21/23 | — | (30,070) |
USD | 4,758,745 | MXN | 87,000,000 | State Street Bank and Trust Company | 6/21/23 | — | (31,642) |
USD | 15,199,699 | MXN | 278,610,000 | State Street Bank and Trust Company | 6/21/23 | — | (141,103) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 8,957,765 | MXN | 165,389,900 | UBS AG | 6/21/23 | $ — | $ (148,921) |
USD | 32,059,154 | MXN | 588,582,000 | UBS AG | 6/21/23 | — | (349,301) |
USD | 16,419,979 | NZD | 26,865,012 | Standard Chartered Bank | 6/21/23 | — | (190,070) |
USD | 4,228,190 | SAR | 15,887,000 | Standard Chartered Bank | 6/21/23 | — | (5,376) |
USD | 14,514,994 | SAR | 54,539,000 | Standard Chartered Bank | 6/21/23 | — | (18,551) |
USD | 7,032,332 | ZAR | 130,305,486 | Goldman Sachs International | 6/21/23 | — | (59,341) |
USD | 7,049,555 | ZAR | 130,691,584 | Goldman Sachs International | 6/21/23 | — | (63,130) |
USD | 7,044,875 | ZAR | 130,691,584 | Goldman Sachs International | 6/21/23 | — | (67,810) |
USD | 7,039,949 | ZAR | 130,691,584 | Goldman Sachs International | 6/21/23 | — | (72,737) |
USD | 28,213,893 | ZAR | 522,380,238 | Goldman Sachs International | 6/21/23 | — | (215,836) |
AUD | 20,920,000 | USD | 14,090,599 | Bank of America, N.A. | 7/20/23 | — | (201,643) |
AUD | 21,780,000 | USD | 14,665,223 | BNP Paribas | 7/20/23 | — | (205,306) |
USD | 717,022 | EUR | 645,762 | HSBC Bank USA, N.A. | 7/31/23 | 1,940 | — |
USD | 645,665 | EUR | 581,360 | HSBC Bank USA, N.A. | 7/31/23 | 1,898 | — |
USD | 483,242 | HKD | 3,777,000 | UBS AG | 7/31/23 | 301 | — |
USD | 28,443,440 | ZAR | 522,221,557 | UBS AG | 9/18/23 | 269,616 | — |
USD | 14,485,050 | SAR | 54,500,000 | Standard Chartered Bank | 3/14/24 | — | (22,078) |
USD | 7,606,557 | BHD | 2,900,000 | Standard Chartered Bank | 3/18/24 | — | (51,886) |
OMR | 4,666,500 | USD | 12,101,605 | Standard Chartered Bank | 4/8/24 | — | (15,149) |
USD | 11,776,656 | OMR | 4,666,500 | BNP Paribas | 4/8/24 | — | (309,800) |
OMR | 4,664,971 | USD | 12,097,326 | Standard Chartered Bank | 4/22/24 | — | (16,778) |
USD | 11,825,021 | OMR | 4,664,971 | Standard Chartered Bank | 4/22/24 | — | (255,527) |
OMR | 2,000,000 | USD | 5,183,496 | Standard Chartered Bank | 7/8/24 | — | (6,185) |
USD | 8,189,339 | OMR | 3,237,000 | BNP Paribas | 7/8/24 | — | (190,138) |
USD | 5,155,499 | OMR | 2,039,000 | Standard Chartered Bank | 7/15/24 | — | (122,624) |
USD | 954,425 | OMR | 378,000 | BNP Paribas | 7/29/24 | — | (24,007) |
USD | 23,985,158 | OMR | 9,293,625 | BNP Paribas | 7/29/24 | — | (70,863) |
$1,785,921 | $(3,109,750) |
Non-Deliverable Bond Forward Contracts | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
5/5/23 | COP | 8,038,070 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | $1,710,956 | $ 103,177 |
6/29/23 | COP | 17,132,879 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 3,646,845 | (106,007) |
$ (2,830) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 49 | Long | 6/30/23 | $ 5,377,367 | $ 106,784 |
U.S. Ultra 10-Year Treasury Note | 86 | Long | 6/21/23 | 10,444,969 | 394,112 |
U.S. Ultra-Long Treasury Bond | 21 | Long | 6/21/23 | 2,969,532 | 116,659 |
Euro-Bobl | (11) | Short | 6/8/23 | (1,429,903) | (36,739) |
Euro-Bund | (11) | Short | 6/8/23 | (1,643,110) | (57,977) |
Japan 10-Year Bond | (193) | Short | 6/13/23 | (210,501,670) | (4,515,197) |
U.S. 2-Year Treasury Note | (16) | Short | 6/30/23 | (3,298,625) | (39,317) |
U.S. 5-Year Treasury Note | (911) | Short | 6/30/23 | (99,975,133) | (2,256,995) |
U.S. 10-Year Treasury Note | (449) | Short | 6/21/23 | (51,726,203) | (1,116,634) |
U.S. Long Treasury Bond | (2) | Short | 6/21/23 | (263,313) | (12,160) |
$ (7,417,464) |
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 | 5,003 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.60% (pays upon termination) | 8/15/32 | $ 981,154 |
EUR | 19,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.69% (pays upon termination) | 11/15/32 | 3,548,795 |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 731,818 |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 731,818 |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 731,178 |
EUR | 5,260 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 819,669 |
EUR | 5,003 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.79% (pays upon termination) | 8/15/42 | (1,286,515) |
EUR | 19,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.89% (pays upon termination) | 11/15/42 | (4,495,876) |
EUR | 5,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (934,864) |
EUR | 5,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (934,864) |
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 | 5,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | $ (936,786) |
EUR | 5,260 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | (1,089,924) |
EUR | 5,870 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | (99,558) |
USD | 19,500 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.09% (pays upon termination) | 4/2/29 | (1,020,145) |
USD | 25,300 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.22% (pays upon termination) | 11/14/32 | (2,967,507) |
USD | 24,200 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (403,019) |
USD | 8,500 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (148,052) |
USD | 25,300 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.20% (pays upon termination) | 11/14/42 | 3,064,619 |
USD | 16,200 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 11,076 |
USD | 8,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 1,821 |
USD | 8,500 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 85,421 |
USD | 2,309 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.13% (pays upon termination) | 8/22/47 | 326,083 |
USD | 2,295 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.15% (pays upon termination) | 8/25/47 | 316,044 |
USD | 4,400 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.42% (pays upon termination) | 6/8/48 | 250,528 |
USD | 7,955 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | (43,286) |
$ (2,760,372) |
Inflation Swaps (OTC) | ||||||||
Counterparty | 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) | |
Bank of America, N.A. | USD | 19,500 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.09% (pays upon termination) | 4/2/29 | $ 2,393,947 |
$2,393,947 |
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) | |
CAD | 52,300 | Pays | 3-month Canadian Bankers Acceptances (pays semi-annually) | 3.45% (pays semi-annually) | 7/21/27 | $ (210,014) | $ 25 | $ (209,989) |
CLP | 2,703,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.57% (pays semi-annually) | 12/21/27 | 102,285 | — | 102,285 |
CLP | 29,260,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | 1,097,617 | — | 1,097,617 |
CLP | 4,936,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | 184,080 | — | 184,080 |
CLP | 4,900,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.62% (pays semi-annually) | 12/21/27 | 171,995 | — | 171,995 |
CLP | 4,900,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.64% (pays semi-annually) | 12/21/27 | 166,624 | — | 166,624 |
CLP | 4,900,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.67% (pays semi-annually) | 12/21/27 | 158,568 | — | 158,568 |
CLP | 4,333,200 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.68% (pays semi-annually) | 12/21/27 | 137,851 | — | 137,851 |
CLP | 2,654,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.69% (pays semi-annually) | 12/21/27 | 83,704 | — | 83,704 |
CLP | 3,691,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.72% (pays semi-annually) | 12/21/27 | 109,329 | — | 109,329 |
CLP | 4,222,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.74% (pays semi-annually) | 12/21/27 | 121,587 | — | 121,587 |
CNY | 76,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.89% (pays quarterly) | 6/21/28 | 74,290 | — | 74,290 |
CNY | 79,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.89% (pays quarterly) | 6/21/28 | 77,482 | — | 77,482 |
CNY | 93,200 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.90% (pays quarterly) | 6/21/28 | 95,093 | — | 95,093 |
COP | 11,169,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.56% (pays quarterly) | 4/6/26 | 320,277 | — | 320,277 |
COP | 4,505,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 169,163 | — | 169,163 |
COP | 3,218,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 120,561 | — | 120,561 |
COP | 41,900,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.07% (pays quarterly) | 6/21/28 | 5,617 | — | 5,617 |
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 | 2,585,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | $(1,402,558) | $ — | $ (1,402,558) |
JPY | 2,306,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | (1,268,566) | — | (1,268,566) |
JPY | 2,459,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | (1,379,470) | — | (1,379,470) |
NZD | 6,870 | Pays | 3-month NZD Bank Bill (pays quarterly) | 3.98% (pays semi-annually) | 7/25/27 | (25,431) | — | (25,431) |
NZD | 9,170 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.00% (pays semi-annually) | 7/25/27 | (30,001) | — | (30,001) |
NZD | 11,860 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.00% (pays semi-annually) | 7/25/27 | (38,802) | — | (38,802) |
PLN | 29,033 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.51% (pays annually) | 6/28/32 | (748,673) | — | (748,673) |
PLN | 29,032 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.78% (pays annually) | 6/28/32 | (897,485) | — | (897,485) |
PLN | 35,735 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.99% (pays annually) | 9/21/32 | (1,270,002) | — | (1,270,002) |
USD | 44,500 | Pays | SOFR (pays annually) | 3.09% (pays annually) | 11/4/32 | (689,288) | — | (689,288) |
USD | 44,000 | Pays | SOFR (pays annually) | 3.18% (pays annually) | 2/2/33 | (242,177) | — | (242,177) |
ZAR | 14,620 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.54% (pays quarterly) | 2/23/27 | (45,902) | — | (45,902) |
ZAR | 521,034 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.67% (pays quarterly) | 1/19/28 | (823,285) | 261 | (823,024) |
ZAR | 502,633 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.71% (pays quarterly) | 1/19/28 | (745,813) | 285 | (745,528) |
ZAR | 533,233 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.71% (pays quarterly) | 1/20/28 | (788,515) | 285 | (788,230) |
Total | $(7,409,859) | $ 856 | $(7,409,003) |
Interest Rate Swaps (OTC) | |||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Citibank, N.A. | MYR | 38,400 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.63% (pays quarterly) | 6/21/28 | $ 71,456 |
JPMorgan Chase Bank, N.A. | MYR | 45,800 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.63% (pays quarterly) | 6/21/28 | 86,184 |
Total | $157,640 |
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) | |
Brazil | $ 5,951 | 1.00% (pays quarterly)(1) | 6/20/28 | $ 308,450 | $ (428,580) | $ (120,130) | |
Malaysia | 8,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (118,035) | 56,617 | (61,418) | |
Malaysia | 12,400 | 1.00% (pays quarterly)(1) | 6/20/28 | (182,955) | 104,387 | (78,568) | |
Mexico | 9,219 | 1.00% (pays quarterly)(1) | 6/20/28 | 42,895 | (174,755) | (131,860) | |
Turkey | 2,501 | 1.00% (pays quarterly)(1) | 6/20/28 | 427,419 | (434,720) | (7,301) | |
Total | $ 477,774 | $ (877,051) | $(399,277) |
* | The contract annual fixed rate represents the fixed rate of interest paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Effective Date/ Termination Date(1) | Value/Unrealized Appreciation (Depreciation) |
Barclays Bank PLC | 1-day Indice Camara Promedio Rate on CLP 6,058,901,240 (pays semi-annually)* | 1.41% on CLP equivalent of CLF 172,000 (pays semi-annually)* | Not Applicable/ 1/13/33 | $ 210,984 |
BNP Paribas | 3-month PLN WIBOR + 1.45% on PLN 15,623,870 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date** | 3-month EURIBOR on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount** | 10/14/25/ 10/14/28 | 93,139 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 952,568,100 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 30,000 (pays semi-annually)* | Not Applicable/ 4/8/32 | (200,153) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 2,921,491,280 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 92,000 (pays semi-annually)* | Not Applicable/ 4/11/32 | (665,503) |
$(561,533) |
(1) | Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual. |
* | 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. |
** | The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered. |
Abbreviations: | |
ADR | – American Depositary Receipt |
COF | – Cost of Funds 11th District |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
EURIBOR | – Euro Interbank Offered Rate |
GDP | – Gross Domestic Product |
HICP | – Harmonised Indices of Consumer Prices |
JIBAR | – Johannesburg Interbank Average Rate |
KLIBOR | – Kuala Lumpur Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
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 |
DOP | – Dominican Peso |
EUR | – Euro |
HKD | – Hong Kong Dollar |
IDR | – Indonesian Rupiah |
ISK | – Icelandic Krona |
JPY | – Japanese Yen |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NZD | – New Zealand Dollar |
OMR | – Omani Rial |
PEN | – Peruvian Sol |
PLN | – Polish Zloty |
RSD | – Serbian Dinar |
SAR | – Saudi Riyal |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $2,751,056,934) | $ 2,550,197,179 |
Affiliated investments, at value (identified cost $510,601,434) | 506,039,492 |
Cash | 1,893,054 |
Deposits for derivatives collateral: | |
Futures contracts | 528,358 |
Centrally cleared derivatives | 20,669,800 |
OTC derivatives | 3,210,000 |
Deposits for forward commitment securities | 165,000 |
Foreign currency, at value (identified cost $13,244,098) | 13,297,360 |
Interest and dividends receivable | 20,700,332 |
Interest and dividends receivable from affiliated investments | 1,300,336 |
Receivable for investments sold | 20,444,639 |
Receivable for TBA sale commitments | 17,751,019 |
Receivable for open forward foreign currency exchange contracts | 1,785,921 |
Receivable for open swap contracts | 2,855,710 |
Receivable for open non-deliverable bond forward contracts | 103,177 |
Tax reclaims receivable | 24,292 |
Total assets | $3,160,965,669 |
Liabilities | |
Cash collateral due to brokers | $ 3,375,000 |
Written swaptions outstanding, at value (premiums received $1,597,840) | 22,758 |
Payable for investments purchased | 97,583,178 |
Payable for when-issued/delayed delivery/forward commitment securities | 558,133,117 |
Payable for securities sold short, at value (proceeds $2,037,500) | 2,044,792 |
TBA sale commitments, at value (proceeds receivable $17,751,019) | 17,704,047 |
Payable for variation margin on open futures contracts | 1,084,250 |
Payable for variation margin on open centrally cleared derivatives | 2,037,256 |
Payable for open forward foreign currency exchange contracts | 3,109,750 |
Payable for open swap contracts | 865,656 |
Payable for closed swap contracts | 96,151 |
Payable for open non-deliverable bond forward contracts | 106,007 |
Payable to affiliates: | |
Investment adviser fee | 1,125,644 |
Trustees' fees | 9,223 |
Interest payable on securities sold short | 78,316 |
Accrued expenses | 878,219 |
Total liabilities | $ 688,253,364 |
Net Assets applicable to investors' interest in Portfolio | $2,472,712,305 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $20,665) | $ 1,697,808 |
Dividend income from affiliated investment | 6,266,226 |
Interest and other income | 66,607,781 |
Interest income from affiliated investment | 81,781 |
Total investment income | $ 74,653,596 |
Expenses | |
Investment adviser fee | $ 6,560,344 |
Trustees’ fees and expenses | 54,250 |
Custodian fee | 443,119 |
Legal and accounting services | 106,033 |
Miscellaneous | 214,754 |
Total expenses | $ 7,378,500 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 244,358 |
Total expense reductions | $ 244,358 |
Net expenses | $ 7,134,142 |
Net investment income | $ 67,519,454 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $55,237) | $ (4,685,467) |
Securities sold short | (143,663) |
TBA sale commitments | (500) |
Futures contracts | 23,515,943 |
Swap contracts | 74,223 |
Foreign currency transactions | 133,416 |
Forward foreign currency exchange contracts | (3,726,632) |
Non-deliverable bond forward contracts | 694,597 |
Net realized gain | $ 15,861,917 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 90,784,059 |
Investments - affiliated investments | (105,453) |
Written swaptions | 6,292,055 |
Securities sold short | (7,292) |
TBA sale commitments | (2,491,458) |
Futures contracts | (39,686,575) |
Swap contracts | (13,735,907) |
Foreign currency | 1,563,497 |
Forward foreign currency exchange contracts | (29,076,578) |
Non-deliverable bond forward contracts | (121,128) |
Net change in unrealized appreciation (depreciation) | $ 13,415,220 |
Net realized and unrealized gain | $ 29,277,137 |
Net increase in net assets from operations | $ 96,796,591 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 67,519,454 | $ 80,926,073 |
Net realized gain | 15,861,917 | 6,800,331 |
Net change in unrealized appreciation (depreciation) | 13,415,220 | (151,488,276) |
Net increase (decrease) in net assets from operations | $ 96,796,591 | $ (63,761,872) |
Capital transactions: | ||
Contributions | $ 356,492,494 | $ 678,901,745 |
Withdrawals | (163,827,448) | (312,950,240) |
Net increase in net assets from capital transactions | $ 192,665,046 | $ 365,951,505 |
Net increase in net assets | $ 289,461,637 | $ 302,189,633 |
Net Assets | ||
At beginning of period | $ 2,183,250,668 | $ 1,881,061,035 |
At end of period | $2,472,712,305 | $2,183,250,668 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.63% (1)(2) | 0.66% (3) | 0.70% (3) | 0.69% (3) | 0.69% | 0.69% |
Net investment income | 5.93% (1) | 4.04% | 4.22% | 2.85% | 4.61% | 4.47% |
Portfolio Turnover | 344% (4)(5) | 400% (5) | 218% (5) | 87% (5) | 39% | 57% |
Total Return | 4.38% (4) | (2.97)% | 3.53% | 7.52% | 3.21% | 2.74% |
Net assets, end of period (000’s omitted) | $2,472,712 | $2,183,251 | $1,881,061 | $1,359,116 | $1,367,072 | $1,490,482 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to 0.02% and 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(3) | Includes interest and/or dividend expense on securities sold short of 0.02%, 0.03% and 0.01% of average daily net assets for the years ended October 31, 2022, 2021 and 2020, respectively. |
(4) | Not annualized. |
(5) | Includes the effect of To-Be-Announced (TBA) transactions. |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.615% |
$500 million but less than $1 billion | 0.595% |
$1 billion but less than $1.5 billion | 0.575% |
$1.5 billion but less than $2 billion | 0.555% |
$2 billion but less than $3 billion | 0.520% |
$3 billion and over | 0.490% |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 519,110,006 | $ 345,106,812 |
U.S. Government and Agency Securities | 7,681,039,874 | 7,162,258,864 |
$8,200,149,880 | $7,507,365,676 |
Aggregate cost | $3,266,447,374 |
Gross unrealized appreciation | $ 50,495,179 |
Gross unrealized depreciation | (311,132,450) |
Net unrealized depreciation | $ (260,637,271) |
Description | Date(s) of Acquisition | Shares | Cost | Value |
Reinsurance Side Cars | ||||
Mt. Logan Re, Ltd., Series 13, Preference Shares | 1/2/18 | 10,000 | $ 6,658,283 | $ 10,369,915 |
Mt. Logan Re, Ltd., Series 17, Preference Shares | 1/26/21 | 860 | 572,931 | 880,044 |
Sussex Capital, Ltd., Designated Investment Series 5, 5/19 | 5/31/19 | 249 | 212,150 | 13,616 |
Sussex Capital, Ltd., Designated Investment Series 5, 12/19 | 1/17/20 | 791 | 673,953 | 23,958 |
Sussex Capital, Ltd., Designated Investment Series 5, 6/20 | 6/30/20 | 434 | 69,673 | 41,963 |
Sussex Capital, Ltd., Designated Investment Series 5, 4/21 | 4/1/21 | 247 | 195,858 | 128,213 |
Sussex Capital, Ltd., Designated Investment Series 5, 12/21 | 1/24/22 | 958 | 952,280 | 347,102 |
Sussex Capital, Ltd., Designated Investment Series 5, 11/22 | 3/11/22 | 958 | 956,716 | 995,815 |
Sussex Capital, Ltd., Designated Investment Series 15, 12/21 | 1/24/22 | 743 | 738,092 | 269,032 |
Sussex Capital, Ltd., Designated Investment Series 15, 11/22 | 3/11/22 | 721 | 720,077 | 749,505 |
Sussex Capital, Ltd., Series 5, Preference Shares | 12/17/18 | 6,000 | 2,654,676 | 5,632,370 |
Sussex Capital, Ltd., Series 15, Preference Shares | 6/1/21 | 5,000 | 3,541,830 | 4,316,034 |
Sussex Re, Ltd., Series 2020A | 1/21/20 | 4,081,939 | 0 | 154,706 |
Sussex Re, Ltd., Series 2021A | 1/14/21 | 4,154,232 | 0 | 453,642 |
Total Restricted Securities | $17,946,519 | $24,375,915 |
Fair Value | ||||
Consolidated Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ 2,138,757 | $ — | $ — | $ 2,138,757 |
Not applicable | 778,764* | 968,940* | 15,413,702* | 17,161,406 |
Receivable for open forward foreign currency exchange contracts | — | 1,785,921 | — | 1,785,921 |
Receivable for open swap contracts | — | — | 2,855,710 | 2,855,710 |
Receivable for open non-deliverable bond forward contracts | — | — | 103,177 | 103,177 |
Total Asset Derivatives | $2,917,521 | $ 2,754,861 | $ 18,372,589 | $ 24,044,971 |
Derivatives not subject to master netting or similar agreements | $ 778,764 | $ 968,940 | $ 15,413,702 | $ 17,161,406 |
Total Asset Derivatives subject to master netting or similar agreements | $2,138,757 | $ 1,785,921 | $ 2,958,887 | $ 6,883,565 |
Written swaptions outstanding, at value | $ — | $ — | $ (22,758) | $ (22,758) |
Not applicable | (300,990)* | (9,743,375)* | (33,001,397)* | (43,045,762) |
Payable for open forward foreign currency exchange contracts | — | (3,109,750) | — | (3,109,750) |
Payable for open swap contracts | — | — | (865,656) | (865,656) |
Payable for open non-deliverable bond forward contracts | — | — | (106,007) | (106,007) |
Total Liability Derivatives | $ (300,990) | $(12,853,125) | $(33,995,818) | $(47,149,933) |
Derivatives not subject to master netting or similar agreements | $ (300,990) | $ (9,743,375) | $(33,001,397) | $(43,045,762) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $ (3,109,750) | $ (994,421) | $ (4,104,171) |
* | 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. | $ 2,393,947 | $ (320,032) | $ — | $ (2,073,915) | $ — | $ 2,190,000 |
Barclays Bank PLC | 210,984 | — | — | (210,984) | — | 280,000 |
BNP Paribas | 93,139 | (93,139) | — | — | — | — |
Citibank, N.A. | 329,438 | — | — | (329,438) | — | 350,000 |
Goldman Sachs International | 477,210 | (477,210) | — | — | — | — |
HSBC Bank USA, N.A. | 3,838 | — | — | — | 3,838 | — |
JPMorgan Chase Bank, N.A. | 1,708,509 | (10,376) | — | (70,000) | 1,628,133 | 70,000 |
Standard Chartered Bank | 1,382,469 | (928,102) | — | (320,000) | 134,367 | 320,000 |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) | Total Cash Collateral Received |
UBS AG | $ 284,031 | $ (284,031) | $ — | $ — | $ — | $ — |
$6,883,565 | $(2,112,890) | $ — | $(3,004,337) | $1,766,338 | $3,210,000 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) | Total Cash Collateral Pledged |
Bank of America, N.A. | $ (320,032) | $ 320,032 | $ — | $ — | $ — | $ — |
BNP Paribas | (800,114) | 93,139 | 557,150 | — | (149,825) | — |
Goldman Sachs International | (1,344,510) | 477,210 | 867,300 | — | — | — |
JPMorgan Chase Bank, N.A. | (10,376) | 10,376 | — | — | — | — |
Standard Chartered Bank | (928,102) | 928,102 | — | — | — | — |
State Street Bank and Trust Company | (202,815) | — | — | — | (202,815) | — |
UBS AG | (498,222) | 284,031 | — | — | (214,191) | — |
$(4,104,171) | $2,112,890 | $1,424,450 | $ — | $(566,831) | $ — | |
Total — Deposits for derivatives collateral — OTC derivatives | $3,210,000 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Consolidated Statement of Operations Caption | Credit | Foreign Exchange | Interest Rate | Total |
Net realized gain (loss): | ||||
Futures contracts | $ — | $ — | $ 23,515,943 | $ 23,515,943 |
Swap contracts | (5,962) | — | 80,185 | 74,223 |
Forward foreign currency exchange contracts | — | (3,726,632) | — | (3,726,632) |
Non-deliverable bond forward contracts | — | — | 694,597 | 694,597 |
Total | $ (5,962) | $ (3,726,632) | $ 24,290,725 | $ 20,558,131 |
Change in unrealized appreciation (depreciation): | ||||
Investments | $ (85,048) | $ — | $ — | $ (85,048) |
Written swaptions | — | — | 6,292,055 | 6,292,055 |
Futures contracts | — | — | (39,686,575) | (39,686,575) |
Swap contracts | 179,299 | — | (13,915,206) | (13,735,907) |
Forward foreign currency exchange contracts | — | (29,076,578) | — | (29,076,578) |
Non-deliverable bond forward contracts | — | — | (121,128) | (121,128) |
Total | $ 94,251 | $(29,076,578) | $(47,430,854) | $(76,413,181) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Purchased Swaptions |
$33,166,000 | $597,365,000 | $864,182,000 | $9,351,000 | $20,729,000 |
Written Swaptions | Swap Contracts |
$86,986,000 | $960,175,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class D, 4.502%, 8/15/46 | $ 368,705 | $ — | $ — | $ — | $ (105,453) | $ 266,894 | $ 81,781 | $ 5,000,000 |
Short-Term Investments | ||||||||
Liquidity Fund | 459,889,537 | 1,402,685,312 | (1,356,802,251) | — | — | 505,772,598 | 6,266,226 | 505,772,598 |
Total | $ — | $(105,453) | $506,039,492 | $6,348,007 |
• | 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 |
Asset-Backed Securities | $ — | $ 258,555,483 | $ — | $ 258,555,483 |
Closed-End Funds | 7,142,666 | — | — | 7,142,666 |
Collateralized Mortgage Obligations | — | 617,192,551 | — | 617,192,551 |
Commercial Mortgage-Backed Securities | — | 20,087,775 | — | 20,087,775 |
Common Stocks | 2,174,482 | 4,017,678* | — | 6,192,160 |
Convertible Bonds | — | 48,603,140 | — | 48,603,140 |
Convertible Preferred Stocks | 591,965 | — | — | 591,965 |
Foreign Corporate Bonds | — | 109,948,149 | 433,247 | 110,381,396 |
Loan Participation Notes | — | — | 315,272 | 315,272 |
Preferred Stocks | 578,175 | — | — | 578,175 |
Reinsurance Side Cars | — | — | 54,776,378 | 54,776,378 |
Sovereign Government Bonds | — | 343,801,911 | — | 343,801,911 |
Sovereign Loans | — | 683,378 | — | 683,378 |
U.S. Government Agency Commercial Mortgage-Backed Securities | — | 14,850,571 | — | 14,850,571 |
U.S. Government Agency Mortgage-Backed Securities | — | 948,922,583 | — | 948,922,583 |
U.S. Government Guaranteed Small Business Administration Loans | — | 19,260,191 | — | 19,260,191 |
U.S. Treasury Obligations | — | 37,376,163 | — | 37,376,163 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 505,772,598 | — | — | 505,772,598 |
Repurchase Agreements | — | 2,128,750 | — | 2,128,750 |
U.S. Treasury Obligations | — | 56,884,808 | — | 56,884,808 |
Purchased Credit Default Swaptions | — | 2,138,757 | — | 2,138,757 |
Total Investments | $ 516,259,886 | $ 2,484,451,888 | $ 55,524,897 | $ 3,056,236,671 |
Forward Foreign Currency Exchange Contracts | $ — | $ 2,754,861 | $ — | $ 2,754,861 |
Non-Deliverable Bond Forward Contracts | — | 103,177 | — | 103,177 |
Futures Contracts | 617,555 | — | — | 617,555 |
Swap Contracts | — | 18,430,621 | — | 18,430,621 |
Total | $ 516,877,441 | $ 2,505,740,547 | $ 55,524,897 | $ 3,078,142,885 |
Liability Description | ||||
TBA Sale Commitments | $ — | $ (17,704,047) | $ — | $ (17,704,047) |
Liability Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Securities Sold Short | $ — | $ (2,044,792) | $ — | $ (2,044,792) |
Written Interest Rate Swaptions | — | (22,758) | — | (22,758) |
Forward Foreign Currency Exchange Contracts | — | (12,853,125) | — | (12,853,125) |
Non-Deliverable Bond Forward Contracts | — | (106,007) | — | (106,007) |
Futures Contracts | (8,035,019) | — | — | (8,035,019) |
Swap Contracts | — | (26,133,024) | — | (26,133,024) |
Total | $ (8,035,019) | $ (58,863,753) | $ — | $ (66,898,772) |
* | 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. |
Foreign Corporate Bonds | Loan Participation Notes | Reinsurance Side Cars* | Sovereign Government Bonds | Sovereign Government Securities | Total | |
Balance as of October 31, 2022 | $ 680,180 | $410,149 | $ 36,781,743 | $ 4,853,497 | $ 403,306 | $ 43,128,875 |
Realized gains (losses) | — | (11,578) | (1,607,239) | — | — | (1,618,817) |
Change in net unrealized appreciation (depreciation) | 3,067 | 3,377 | 4,834,028 | — | — | 4,840,472 |
Cost of purchases | — | — | 26,800,000 | — | — | 26,800,000 |
Proceeds from sales, including return of capital | (250,000) | (86,676) | (12,032,154) | — | — | (12,368,830) |
Accrued discount (premium) | — | — | — | — | — | — |
Transfers to Level 3 | — | — | — | — | — | — |
Transfers from Level 3(1) | — | — | — | (4,853,497) | (403,306) | (5,256,803) |
Balance as of April 30, 2023 | $ 433,247 | $315,272 | $ 54,776,378 | $ — | $ — | $ 55,524,897 |
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2023 | $ 7,340 | $ (7,825) | $ 1,796,419 | $ — | $ — | $ 1,795,934 |
* | The Portfolio’s investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations. |
(1) | Transferred from Level 3 based on the observability of valuation inputs resulting from new market activity. |
Type of Investment | Fair Value as of April 30, 2023 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* |
Foreign Corporate Bonds | $433,247 | Matrix Pricing | Credit Spread to U.S. Treasury | 42.34% | Decrease |
Loan Participation Notes | 315,272 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 4.73% | Decrease |
Also Included in Foreign Corporate Bonds are securities valued at $0 based on their estimated recovery value percentage. | |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
Officers | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Income Portfolio, Global Macro Absolute Return
Advantage Portfolio, Global Opportunities Portfolio,
High Income Opportunities Portfolio and
Senior Debt Portfolio
Two International Place
Boston, MA 02110
Short Duration Strategic Income Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 03/04/2002 | 03/04/2002 | 8.09% | 2.31% | 8.04% | 9.16% |
Class A with 5.25% Maximum Sales Charge | — | — | 2.42 | (3.05) | 6.88 | 8.58 |
Class C at NAV | 03/04/2002 | 03/04/2002 | 7.69 | 1.53 | 7.22 | 8.51 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 6.69 | 0.53 | 7.22 | 8.51 |
Class I at NAV | 09/11/2015 | 03/04/2002 | 8.19 | 2.56 | 8.30 | 9.36 |
Russell 3000® Index | — | — | 7.30% | 1.50% | 10.59% | 11.66% |
MSCI EAFE Index | — | — | 24.19 | 8.42 | 3.63 | 4.76 |
ICE BofA Fixed Rate Preferred Securities Index | — | — | 7.35 | 1.74 | 2.34 | 3.69 |
Blended Index | — | — | 8.95 | 2.34 | 9.15 | 10.24 |
% After-Tax Returns with Maximum Sales Charge2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A After Taxes on Distributions | 03/04/2002 | 03/04/2002 | (3.20)% | 6.54% | 7.89% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | (1.67) | 5.61 | 7.02 |
Class C After Taxes on Distributions | 03/04/2002 | 03/04/2002 | 0.48 | 7.00 | 7.92 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | 0.36 | 5.91 | 7.00 |
Class I After Taxes on Distributions | 09/11/2015 | 03/04/2002 | 2.34 | 7.91 | 8.63 |
Class I After Taxes on Distributions and Sale of Fund Shares | — | — | 1.71 | 6.79 | 7.70 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
1.21% | 1.96% | 0.96% |
Portfolio Allocation (% of total investments)1 |
1 | Fund primarily invests in one or more affiliated investment companies (Portfolios) and may also invest directly. Unless otherwise noted, references to investments are to the aggregate holdings of the Fund, including its pro-rata share of each Portfolio or Fund in which it invests. Debt obligations are hybrid instruments, as determined by the investment adviser. These instruments have characteristics of both equity and debt. |
1 | Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. ICE BofA Fixed Rate Preferred Securities Index is an unmanaged index of fixed-rate, preferred securities issued in the U.S. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. The Blended Index consists of 80% Russell 3000® Index, 10% MSCI EAFE Index and 10% ICE BofA Fixed Rate Preferred Securities Index, rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. After-tax returns are calculated using certain assumptions, including using the highest historical individual federal income tax rates, and do not reflect the impact of state/local taxes. Actual after-tax returns depend on a shareholder’s tax situation and the actual characterization of distributions and may differ from those shown. After-tax returns are not relevant to shareholders who hold shares in tax-deferred accounts or shares held by nontaxable entities. Return After Taxes on Distributions may be the same as Return Before Taxes for the same period because no taxable distributions were made during that period. Return After Taxes on Distributions and Sale of Fund Shares may be greater than or equal to Return After Taxes on Distributions for the same period because of losses realized on the sale of Fund shares. The Fund’s after-tax returns also may reflect foreign tax credits passed by the Fund to its shareholders.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class I is linked to Class A. Performance presented in the Financial Highlights included in the financial statements is not linked.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,080.90 | $ 6.29 | 1.22% |
Class C | $1,000.00 | $1,076.90 | $10.14 | 1.97% |
Class I | $1,000.00 | $1,081.90 | $ 5.01 | 0.97% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.75 | $ 6.11 | 1.22% |
Class C | $1,000.00 | $1,015.03 | $ 9.84 | 1.97% |
Class I | $1,000.00 | $1,019.98 | $ 4.86 | 0.97% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolios. |
Investments in Affiliated Portfolios — 94.6% |
Description | Value | ||
Tax-Managed Growth Portfolio (identified cost, $72,534,554) | $ 219,487,879 | ||
Tax-Managed International Equity Portfolio (identified cost, $27,235,876) | 31,603,122 | ||
Tax-Managed Multi-Cap Growth Portfolio (identified cost, $33,346,311) | 88,222,427 | ||
Tax-Managed Small-Cap Portfolio (identified cost, $54,084,758) | 63,340,955 | ||
Tax-Managed Value Portfolio (identified cost, $101,605,439) | 165,483,684 | ||
Total Investments in Affiliated Portfolios (identified cost $288,806,938) | $568,138,067 |
Debt Obligations — 3.6%(1) |
Security | Principal Amount (000's omitted) | Value | |
Banks — 2.1% | |||
Banco Davivienda S.A., 6.65% to 4/22/31(2)(3)(4) | $ | 200 | $ 137,000 |
Banco Mercantil del Norte S.A./Grand Cayman, 8.375% to 10/14/30(2)(3)(4) | 600 | 568,050 | |
Bank of Nova Scotia (The), 4.90% to 6/4/25(3)(4) | 775 | 711,018 | |
Barclays PLC: | |||
6.125% to 12/15/25(3)(4) | 471 | 405,131 | |
8.00% to 3/15/29(3)(4) | 526 | 462,038 | |
BNP Paribas S.A.: | |||
4.625% to 2/25/31(2)(3)(4) | 203 | 144,516 | |
7.75% to 8/16/29(2)(3)(4) | 675 | 646,313 | |
Citigroup, Inc., Series W, 4.00% to 12/10/25(3)(4) | 1,038 | 906,797 | |
Farm Credit Bank of Texas, Series 3, 6.20% to 6/15/28(2)(3)(4) | 473 | 419,788 | |
Huntington Bancshares, Inc., Series F, 5.625% to 7/15/30(3)(4) | 395 | 354,325 | |
ING Groep NV, 6.50% to 4/16/25(3)(4) | 243 | 224,885 | |
JPMorgan Chase & Co., Series KK, 3.65% to 6/1/26(3)(4) | 881 | 774,575 | |
KeyCorp, Series D, 5.00% to 9/15/26(3)(4) | 975 | 772,687 | |
Lloyds Banking Group PLC, 7.50% to 6/27/24(3)(4) | 600 | 577,854 | |
Natwest Group PLC: | |||
4.60% to 6/28/31(3)(4) | 200 | 141,478 | |
6.00% to 12/29/25(3)(4) | 229 | 215,237 | |
8.00% to 8/10/25(3)(4) | 778 | 771,126 | |
PNC Financial Services Group, Inc. (The): | |||
Series S, 5.00% to 11/1/26(3)(4) | 485 | 443,775 | |
Series U, 6.00% to 5/15/27(3)(4) | 800 | 744,000 | |
Societe Generale S.A.: | |||
5.375% to 11/18/30(2)(3)(4) | 506 | 355,465 |
Security | Principal Amount (000's omitted) | Value | |
Banks (continued) | |||
Societe Generale S.A.: (continued) | |||
9.375% to 11/22/27(2)(3)(4) | $ | 200 | $ 190,380 |
Standard Chartered PLC, 4.75% to 1/14/31(2)(3)(4) | 577 | 405,631 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(4) | 775 | 791,298 | |
Truist Financial Corp., Series Q, 5.10% to 3/1/30(3)(4) | 134 | 118,866 | |
UBS Group AG: | |||
4.375% to 2/10/31(2)(3)(4) | 419 | 290,054 | |
6.875% to 8/7/25(3)(4)(5) | 348 | 315,375 | |
Wells Fargo & Co., Series BB, 3.90% to 3/15/26(3)(4) | 784 | 682,721 | |
$ 12,570,383 | |||
Capital Markets — 0.2% | |||
AerCap Holdings NV, 5.875% to 10/10/24, 10/10/79(4) | $ | 425 | $ 394,828 |
Charles Schwab Corp. (The): | |||
Series G, 5.375% to 6/1/25(3)(4) | 651 | 622,926 | |
Series I, 4.00% to 6/1/26(3)(4) | 467 | 392,289 | |
$ 1,410,043 | |||
Diversified Financial Services — 0.2% | |||
American AgCredit Corp., Series QIB, 5.25% to 6/15/26(2)(3)(4) | $ | 914 | $ 798,607 |
Goldman Sachs Group, Inc. (The), Series V, 4.125% to 11/10/26(3)(4) | 143 | 120,044 | |
$ 918,651 | |||
Electric Utilities — 0.3% | |||
Dominion Energy, Inc., Series C, 4.35% to 1/15/27(3)(4) | $ | 583 | $ 492,635 |
Edison International, Series B, 5.00% to 12/15/26(3)(4) | 199 | 170,606 | |
Emera, Inc., Series 16-A, 6.75% to 6/15/26, 6/15/76(4) | 450 | 430,273 | |
Sempra Energy, 4.125% to 1/1/27, 4/1/52(4) | 581 | 471,549 | |
Southern California Edison Co., Series E, 9.498%, (3 mo. USD LIBOR + 4.199%)(3)(6) | 249 | 246,510 | |
$ 1,811,573 | |||
Food Products — 0.1% | |||
Land O' Lakes, Inc., 8.00%(2)(3) | $ | 824 | $ 762,052 |
$ 762,052 | |||
Gas Utilities — 0.1% | |||
NiSource, Inc., 5.65% to 6/15/23(3)(4) | $ | 645 | $ 615,266 |
$ 615,266 |
Security | Principal Amount (000's omitted) | Value | |
Independent Power and Renewable Electricity Producers — 0.1% | |||
Algonquin Power & Utilities Corp., 4.75% to 1/18/27, 1/18/82(4) | $ | 408 | $ 330,434 |
$ 330,434 | |||
Insurance — 0.2% | |||
Lincoln National Corp., 9.25% to 12/1/27(3)(4) | $ | 175 | $ 176,531 |
QBE Insurance Group, Ltd., 5.875% to 5/12/25(2)(3)(4) | 1,004 | 950,471 | |
$ 1,127,002 | |||
Multi-Utilities — 0.1% | |||
Centerpoint Energy, Inc., Series A, 6.125% to 9/1/23(3)(4) | $ | 900 | $ 857,812 |
$ 857,812 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
EnLink Midstream Partners, L.P., Series C, 8.976%, (3 mo. USD LIBOR + 4.11%)(3)(6) | $ | 658 | $ 553,578 |
Odebrecht Oil & Gas Finance, Ltd., 0.00%(2)(3) | 550 | 551 | |
Plains All American Pipeline, L.P., Series B, 8.974%, (3 mo. USD LIBOR + 4.11%)(3)(6) | 442 | 393,380 | |
$ 947,509 | |||
Pipelines — 0.0%(7) | |||
Energy Transfer, L.P., Series B, 6.625% to 2/15/28(3)(4) | $ | 359 | $ 275,640 |
$ 275,640 | |||
Telecommunications — 0.0%(7) | |||
Rogers Communications, Inc., 5.25% to 3/15/27, 3/15/82(2)(4) | $ | 150 | $ 135,683 |
$ 135,683 | |||
Total Debt Obligations (identified cost $24,256,904) | $ 21,762,048 |
Exchange-Traded Funds — 0.5% |
Security | Shares | Value | |
Equity Funds — 0.5% | |||
Global X U.S. Preferred ETF | 62,500 | $ 1,245,625 | |
iShares Preferred & Income Securities ETF | 49,354 | 1,548,235 | |
Total Exchange-Traded Funds (identified cost $3,530,444) | $ 2,793,860 |
Preferred Stocks — 1.2% |
Security | Shares | Value | |
Banks — 0.4% | |||
Bank of America Corp., 4.25% | 52,040 | $ 983,036 | |
JPMorgan Chase & Co.: | |||
Series JJ, 4.55% | 28,660 | 610,458 | |
Series LL, 4.625% | 17,500 | 375,550 | |
Truist Financial Corp., 5.25% | 5,773 | 135,896 | |
Wells Fargo & Co., Series L, 7.50% (Convertible) | 116 | 135,491 | |
$ 2,240,431 | |||
Capital Markets — 0.1% | |||
Stifel Financial Corp., Series D, 4.50% | 36,350 | $ 595,413 | |
$ 595,413 | |||
Electric Utilities — 0.2% | |||
Brookfield BRP Holdings Canada, Inc., 4.625% | 24,000 | $ 386,880 | |
SCE Trust III, Series H, 5.75% to 3/15/24(4) | 13,981 | 299,193 | |
SCE Trust IV, Series J, 5.375% to 9/15/25(4) | 5,882 | 119,699 | |
SCE Trust V, Series K, 5.45% to 3/15/26(4) | 5,504 | 122,629 | |
SCE Trust VI, 5.00% | 1,041 | 20,601 | |
$ 949,002 | |||
Insurance — 0.1% | |||
American Equity Investment Life Holding Co., Series B, 6.625% to 9/1/25(4) | 10,806 | $ 258,047 | |
Arch Capital Group, Ltd., Series G, 4.55% | 14,252 | 273,354 | |
$ 531,401 | |||
Oil, Gas & Consumable Fuels — 0.3% | |||
Energy Transfer, L.P.: | |||
Series C, 7.375% to 5/30/23(4) | 15,000 | $ 358,800 | |
Series E, 7.60% to 5/15/24(4) | 14,960 | 345,875 | |
NuStar Energy, L.P., Series B, 10.945%, (3 mo. USD LIBOR + 5.643%)(6) | 53,257 | 1,228,639 | |
$ 1,933,314 | |||
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 2,080 | $ 26,000 | |
Series A-1, 6.50% | 14,575 | 221,103 | |
Series A2, 6.375% | 19,390 | 269,133 | |
$ 516,236 |
Security | Shares | Value | |
Retail REITs — 0.0%(7) | |||
SITE Centers Corp., Series A, 6.375% | 11,958 | $ 291,058 | |
$ 291,058 | |||
Total Preferred Stocks (identified cost $8,029,310) | $ 7,056,855 | ||
Total Investments — 99.9% (identified cost $324,623,596) | $599,750,830 | ||
Other Assets, Less Liabilities — 0.1% | $ 538,661 | ||
Net Assets — 100.0% | $600,289,491 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Debt obligations are hybrid instruments, as determined by the investment adviser. These instruments have characteristics of both equity and debt. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $5,804,561 or 1.0% of the Fund's net assets. |
(3) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(4) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(5) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $315,375 or 0.1% of the Fund's net assets. |
(6) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(7) | Amount is less than 0.05%. |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
REITs | – Real Estate Investment Trusts |
Currency Abbreviations: | |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $35,816,658) | $ 31,612,763 |
Affiliated investments, at value (identified cost $288,806,938) | 568,138,067 |
Interest and dividends receivable | 324,077 |
Receivable for investments sold | 555,799 |
Receivable for Fund shares sold | 527,897 |
Total assets | $601,158,603 |
Liabilities | |
Payable for investments purchased | $ 134,694 |
Payable for Fund shares redeemed | 336,400 |
Payable to affiliates: | |
Investment adviser fee | 83,105 |
Administration fee | 73,132 |
Distribution and service fees | 117,176 |
Trustees' fees | 2 |
Accrued expenses | 124,603 |
Total liabilities | $ 869,112 |
Net Assets | $600,289,491 |
Sources of Net Assets | |
Paid-in capital | $ 206,063,134 |
Distributable earnings | 394,226,357 |
Net Assets | $600,289,491 |
Class A Shares | |
Net Assets | $ 430,186,001 |
Shares Outstanding | 15,628,207 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 27.53 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 29.06 |
Class C Shares | |
Net Assets | $ 36,442,257 |
Shares Outstanding | 1,439,244 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 25.32 |
Class I Shares | |
Net Assets | $ 133,661,233 |
Shares Outstanding | 4,863,118 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 27.48 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $2,170) | $ 486,067 |
Dividend income allocated from affiliated Portfolios (net of foreign taxes withheld of $109,147) | 4,571,762 |
Interest income | 755,892 |
Securities lending income allocated from affiliated Portfolios, net | 13,719 |
Expenses allocated from affiliated Portfolios | (1,605,444) |
Total investment income | $ 4,221,996 |
Expenses | |
Investment adviser fee | $ 503,744 |
Administration fee | 433,326 |
Distribution and service fees: | |
Class A | 517,849 |
Class C | 178,533 |
Trustees’ fees and expenses | 210 |
Custodian fee | 22,838 |
Transfer and dividend disbursing agent fees | 170,372 |
Legal and accounting services | 33,995 |
Printing and postage | 11,901 |
Registration fees | 26,292 |
Miscellaneous | 7,032 |
Total expenses | $ 1,906,092 |
Net investment income | $ 2,315,904 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (2,724,427) |
Foreign currency transactions | 4 |
Net realized gain (loss) allocated from affiliated Portfolios: | |
Investment transactions | 10,720,312 (1) |
Foreign currency transactions | 6,451 |
Net realized gain | $ 8,002,340 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 2,741,037 |
Change in unrealized appreciation (depreciation) allocated from affiliated Portfolios: | |
Investments | 32,069,987 |
Foreign currency | 15,365 |
Net change in unrealized appreciation (depreciation) | $34,826,389 |
Net realized and unrealized gain | $42,828,729 |
Net increase in net assets from operations | $45,144,633 |
(1) | Includes $5,965,408 of net realized gains from redemptions in-kind. |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 2,315,904 | $ 3,553,648 |
Net realized gain | 8,002,340 (1) | 12,614,643 (2) |
Net change in unrealized appreciation (depreciation) | 34,826,389 | (133,749,189) |
Net increase (decrease) in net assets from operations | $ 45,144,633 | $(117,580,898) |
Distributions to shareholders: | ||
Class A | $ (3,164,977) | $ (13,091,273) |
Class C | (86,016) | (955,498) |
Class I | (1,305,229) | (4,252,703) |
Total distributions to shareholders | $ (4,556,222) | $ (18,299,474) |
Transactions in shares of beneficial interest: | ||
Class A | $ (4,350,417) | $ (10,281,966) |
Class C | (583,960) | (818,985) |
Class I | (900,355) | 5,460,422 |
Net decrease in net assets from Fund share transactions | $ (5,834,732) | $ (5,640,529) |
Net increase (decrease) in net assets | $ 34,753,679 | $(141,520,901) |
Net Assets | ||
At beginning of period | $ 565,535,812 | $ 707,056,713 |
At end of period | $600,289,491 | $ 565,535,812 |
(1) | Includes $5,965,408 of net realized gains from redemptions in-kind. |
(2) | Includes $12,229,272 of net realized gains from redemptions in-kind. |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 25.670 | $ 31.710 | $ 23.070 | $ 22.370 | $ 20.450 | $ 19.970 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.104 | $ 0.157 | $ 0.102 | $ 0.165 | $ 0.193 | $ 0.160 |
Net realized and unrealized gain (loss) | 1.957 | (5.384) | 8.690 | 0.969 | 2.122 | 0.951 |
Total income (loss) from operations | $ 2.061 | $ (5.227) | $ 8.792 | $ 1.134 | $ 2.315 | $ 1.111 |
Less Distributions | ||||||
From net investment income | $ (0.143) | $ (0.104) | $ (0.152) | $ (0.154) | $ (0.163) | $ (0.171) |
From net realized gain | (0.058) | (0.709) | — | (0.280) | (0.232) | (0.460) |
Total distributions | $ (0.201) | $ (0.813) | $ (0.152) | $ (0.434) | $ (0.395) | $ (0.631) |
Net asset value — End of period | $ 27.530 | $ 25.670 | $ 31.710 | $ 23.070 | $ 22.370 | $ 20.450 |
Total Return(2) | 8.09% (3) | (16.91)% | 38.24% | 5.07% | 11.75% | 5.60% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $430,186 | $405,236 | $513,507 | $373,289 | $379,547 | $272,567 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.22% (5)(6) | 1.25% (6) | 1.26% | 1.28% | 1.33% | 1.31% |
Net investment income | 0.79% (5) | 0.56% | 0.35% | 0.74% | 0.91% | 0.77% |
Portfolio Turnover of the Fund(7) | 2% (3) | 5% | 6% | 7% | 7% | 6% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolios' adviser fees due to the Portfolios' investments in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Percentage includes both the Fund’s contributions to and withdrawals from the Portfolios and purchases and sales of securities held directly by the Fund, if any. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 23.570 | $ 29.230 | $ 21.310 | $ 20.700 | $ 18.930 | $ 18.520 |
Income (Loss) From Operations | ||||||
Net investment income (loss)(1) | $ 0.005 | $ (0.049) | $ (0.102) | $ 0.001 | $ 0.043 | $ 0.005 |
Net realized and unrealized gain (loss) | 1.803 | (4.963) | 8.022 | 0.889 | 1.965 | 0.892 |
Total income (loss) from operations | $ 1.808 | $ (5.012) | $ 7.920 | $ 0.890 | $ 2.008 | $ 0.897 |
Less Distributions | ||||||
From net investment income | $ — | $ — | $ — | $ — | $ (0.006) | $ (0.027) |
From net realized gain | (0.058) | (0.648) | — | (0.280) | (0.232) | (0.460) |
Total distributions | $ (0.058) | $ (0.648) | $ — | $ (0.280) | $ (0.238) | $ (0.487) |
Net asset value — End of period | $25.320 | $23.570 | $29.230 | $21.310 | $20.700 | $ 18.930 |
Total Return(2) | 7.69% (3) | (17.53)% | 37.17% | 4.29% | 10.88% | 4.86% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 36,442 | $ 34,490 | $ 43,788 | $ 44,822 | $ 56,979 | $147,004 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.97% (5)(6) | 2.00% (6) | 2.01% | 2.03% | 2.08% | 2.06% |
Net investment income (loss) | 0.04% (5) | (0.19)% | (0.38)% | 0.00% (7) | 0.23% | 0.03% |
Portfolio Turnover of the Fund(8) | 2% (3) | 5% | 6% | 7% | 7% | 6% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolios' adviser fees due to the Portfolios' investments in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Amount is less than 0.005%. |
(8) | Percentage includes both the Fund’s contributions to and withdrawals from the Portfolios and purchases and sales of securities held directly by the Fund, if any. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 25.670 | $ 31.700 | $ 23.060 | $ 22.360 | $ 20.450 | $ 19.970 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.137 | $ 0.227 | $ 0.172 | $ 0.220 | $ 0.244 | $ 0.207 |
Net realized and unrealized gain (loss) | 1.944 | (5.369) | 8.678 | 0.968 | 2.113 | 0.952 |
Total income (loss) from operations | $ 2.081 | $ (5.142) | $ 8.850 | $ 1.188 | $ 2.357 | $ 1.159 |
Less Distributions | ||||||
From net investment income | $ (0.213) | $ (0.179) | $ (0.210) | $ (0.208) | $ (0.215) | $ (0.219) |
From net realized gain | (0.058) | (0.709) | — | (0.280) | (0.232) | (0.460) |
Total distributions | $ (0.271) | $ (0.888) | $ (0.210) | $ (0.488) | $ (0.447) | $ (0.679) |
Net asset value — End of period | $ 27.480 | $ 25.670 | $ 31.700 | $23.060 | $22.360 | $20.450 |
Total Return(2) | 8.19% (3) | (16.68)% | 38.56% | 5.31% | 12.02% | 5.85% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $133,661 | $125,810 | $149,762 | $ 97,355 | $ 89,758 | $ 65,649 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 0.97% (5)(6) | 1.00% (6) | 1.01% | 1.03% | 1.08% | 1.06% |
Net investment income | 1.04% (5) | 0.81% | 0.60% | 0.99% | 1.16% | 0.99% |
Portfolio Turnover of the Fund(7) | 2% (3) | 5% | 6% | 7% | 7% | 6% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolios' adviser fees due to the Portfolios' investments in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Percentage includes both the Fund’s contributions to and withdrawals from the Portfolios and purchases and sales of securities held directly by the Fund, if any. |
Aggregate cost | $218,090,769 |
Gross unrealized appreciation | $ 386,239,321 |
Gross unrealized depreciation | (4,579,260) |
Net unrealized appreciation | $381,660,061 |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.700% |
$500 million but less than $1 billion | 0.600% |
$1 billion but less than $1.5 billion | 0.575% |
$1.5 billion but less than $2.5 billion | 0.550% |
$2.5 billion and over | 0.525% |
Portfolio | Contributions | Withdrawals |
Tax-Managed Growth Portfolio | $3,119,955 | $5,211,659 |
Tax-Managed International Equity Portfolio | 823,350 | 1,377,037 |
Tax-Managed Multi-Cap Growth Portfolio | 1,233,996 | 2,064,525 |
Tax-Managed Small-Cap Portfolio | 1,142,589 | 1,911,598 |
Tax-Managed Value Portfolio | 2,833,620 | 4,740,762 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 326,374 | $ 8,629,168 | 622,834 | $ 17,651,843 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 113,819 | 2,905,787 | 391,331 | 12,049,069 | |
Redemptions | (598,816) | (15,885,372) | (1,423,673) | (39,982,878) | |
Net decrease | (158,623) | $ (4,350,417) | (409,508) | $(10,281,966) | |
Class C | |||||
Sales | 170,319 | $ 4,132,691 | 303,090 | $ 7,709,274 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 3,594 | 84,643 | 32,978 | 938,540 | |
Redemptions | (197,743) | (4,801,294) | (370,961) | (9,466,799) | |
Net decrease | (23,830) | $ (583,960) | (34,893) | $ (818,985) | |
Class I | |||||
Sales | 367,126 | $ 9,786,333 | 804,880 | $ 22,384,882 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 48,921 | 1,246,030 | 131,671 | 4,046,241 | |
Redemptions | (454,037) | (11,932,718) | (759,383) | (20,970,701) | |
Net increase (decrease) | (37,990) | $ (900,355) | 177,168 | $ 5,460,422 |
• | 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 |
Investments in Affiliated Portfolios | $ 568,138,067 | $ — | $ — | $ 568,138,067 |
Debt Obligations | — | 21,762,048 | — | 21,762,048 |
Exchange-Traded Funds | 2,793,860 | — | — | 2,793,860 |
Preferred Stocks | 7,056,855 | — | — | 7,056,855 |
Total Investments | $ 577,988,782 | $ 21,762,048 | $ — | $599,750,830 |
Officers | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 11/30/2005 | 11/30/2005 | 10.98% | 2.92% | 5.29% | 6.31% |
Class A with 5.25% Maximum Sales Charge | — | — | 5.20 | (2.46) | 4.17 | 5.73 |
Class C at NAV | 11/30/2005 | 11/30/2005 | 10.58 | 2.14 | 4.54 | 5.66 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 9.58 | 1.15 | 4.54 | 5.66 |
Class I at NAV | 01/31/2006 | 11/30/2005 | 11.02 | 3.08 | 5.55 | 6.57 |
Class R at NAV | 01/31/2006 | 11/30/2005 | 10.76 | 2.59 | 5.01 | 6.02 |
MSCI World Index | — | — | 12.26% | 3.18% | 8.13% | 8.70% |
ICE BofA Developed Markets High Yield Ex-Subordinated Financial Index | — | — | 8.79 | 1.50 | 2.17 | 3.29 |
Blended Index | — | — | 11.09 | 2.70 | 6.14 | 6.87 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R |
1.17% | 1.92% | 0.92% | 1.42% |
Country Allocation (% of net assets) |
Asset Allocation (% of net assets)1 |
Top 10 Holdings (% of net assets)2 | |
Microsoft Corp. | 2.6% |
Eli Lilly & Co. | 1.9 |
Alphabet, Inc., Class C | 1.8 |
Novo Nordisk A/S, Class B | 1.7 |
Apple, Inc. | 1.7 |
EOG Resources, Inc. | 1.6 |
ASML Holding NV | 1.1 |
Amazon.com, Inc. | 1.1 |
Nestle S.A. | 1.0 |
Chevron Corp. | 1.0 |
Total | 15.5% |
1 | Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets. |
2 | Excludes cash and cash equivalents. |
1 | MSCI World Index is an unmanaged index of equity securities in the developed markets. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. ICE BofA Developed Markets High Yield Ex-Subordinated Financial Index is an unmanaged index of global developed market, below investment grade corporate bonds. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. The Blended Index consists of 65% MSCI World Index and 35% ICE BofA Developed Markets High Yield Ex-Subordinated Financial Index, rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective December 7, 2015, the Fund changed its name and principal investment strategies to invest in common stocks, preferred stocks and other hybrid securities and income instruments of U.S. and foreign issuers. As of such date, the Fund was no longer required to invest at least 80% of its net assets in dividend-paying common and preferred stocks. Performance prior to December 7, 2015 reflects the Fund’s performance under its former principal investment strategies.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Important Notice to Shareholders | |
On June 16, 2023, the Fund received its pro-rata share of net assets from Global Income Builder Portfolio, a separate registered investment company in which the Fund invested, and the Portfolio was liquidated. As of June 16, 2023, the Fund invests its assets directly. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,109.80 | $ 6.12** | 1.17% |
Class C | $1,000.00 | $1,105.80 | $10.02** | 1.92% |
Class I | $1,000.00 | $1,110.20 | $ 4.81** | 0.92% |
Class R | $1,000.00 | $1,107.60 | $ 7.42** | 1.42% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.99 | $ 5.86** | 1.17% |
Class C | $1,000.00 | $1,015.27 | $ 9.59** | 1.92% |
Class I | $1,000.00 | $1,020.23 | $ 4.61** | 0.92% |
Class R | $1,000.00 | $1,017.75 | $ 7.10** | 1.42% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
** | Absent an allocation of certain expenses to affiliates, expenses would be higher. |
April 30, 2023 | |
Assets | |
Investment in Global Income Builder Portfolio, at value (identified cost $195,239,249) | $ 229,921,518 |
Receivable for Fund shares sold | 249,701 |
Receivable from affiliate | 5,021 |
Total assets | $230,176,240 |
Liabilities | |
Payable for Fund shares redeemed | $ 793,471 |
Payable to affiliates: | |
Administration fee | 28,164 |
Distribution and service fees | 38,314 |
Trustees' fees | 42 |
Accrued expenses | 88,805 |
Total liabilities | $ 948,796 |
Net Assets | $229,227,444 |
Sources of Net Assets | |
Paid-in capital | $ 195,087,713 |
Distributable earnings | 34,139,731 |
Net Assets | $229,227,444 |
Class A Shares | |
Net Assets | $ 127,700,846 |
Shares Outstanding | 13,128,996 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.73 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 10.27 |
Class C Shares | |
Net Assets | $ 14,068,357 |
Shares Outstanding | 1,464,738 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.60 |
Class I Shares | |
Net Assets | $ 86,399,023 |
Shares Outstanding | 8,894,302 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.71 |
Class R Shares | |
Net Assets | $ 1,059,218 |
Shares Outstanding | 109,318 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.69 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $530,480) | $ 3,511,292 |
Interest and other income allocated from Portfolio (net of foreign taxes withheld of $5,987) | 2,653,494 |
Expenses allocated from Portfolio | (725,703) |
Total investment income from Portfolio | $ 5,439,083 |
Expenses | |
Administration fee | $ 168,481 |
Distribution and service fees: | |
Class A | 156,932 |
Class C | 73,536 |
Class R | 2,506 |
Trustees’ fees and expenses | 250 |
Custodian fee | 11,696 |
Transfer and dividend disbursing agent fees | 77,668 |
Legal and accounting services | 8,773 |
Printing and postage | 17,130 |
Registration fees | 34,669 |
Miscellaneous | 15,812 |
Total expenses | $ 567,453 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 28,018 |
Total expense reductions | $ 28,018 |
Net expenses | $ 539,435 |
Net investment income | $ 4,899,648 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $15,926) | $ (970,621) |
Futures contracts | (165,130) |
Foreign currency transactions | (8,513) |
Forward foreign currency exchange contracts | 8,642 |
Net realized loss | $ (1,135,622) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $3,239) | $ 18,921,357 |
Futures contracts | 541,249 |
Foreign currency | 132,348 |
Net change in unrealized appreciation (depreciation) | $19,594,954 |
Net realized and unrealized gain | $18,459,332 |
Net increase in net assets from operations | $23,358,980 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 4,899,648 | $ 9,031,419 |
Net realized loss | (1,135,622) | (4,497,556) |
Net change in unrealized appreciation (depreciation) | 19,594,954 | (56,389,110) |
Net increase (decrease) in net assets from operations | $ 23,358,980 | $ (51,855,247) |
Distributions to shareholders: | ||
Class A | $ (2,173,352) | $ (6,678,673) |
Class C | (202,146) | (805,593) |
Class I | (1,554,786) | (4,716,320) |
Class R | (16,190) | (36,989) |
Total distributions to shareholders | $ (3,946,474) | $ (12,237,575) |
Transactions in shares of beneficial interest: | ||
Class A | $ (6,786,957) | $ (5,748,298) |
Class C | (2,304,165) | (4,540,481) |
Class I | (1,375,836) | (9,706,068) |
Class R | 41,525 | 311,067 |
Net decrease in net assets from Fund share transactions | $ (10,425,433) | $ (19,683,780) |
Other capital: | ||
Portfolio transaction fee contributed to Portfolio | $ (14,541) | $ (115,958) |
Portfolio transaction fee allocated from Portfolio | 14,534 | 115,870 |
Net decrease in net assets from other capital | $ (7) | $ (88) |
Net increase (decrease) in net assets | $ 8,987,066 | $ (83,776,690) |
Net Assets | ||
At beginning of period | $ 220,240,378 | $ 304,017,068 |
At end of period | $229,227,444 | $220,240,378 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.920 | $ 11.360 | $ 9.070 | $ 9.210 | $ 8.620 | $ 9.060 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.201 | $ 0.343 | $ 0.272 | $ 0.330 | $ 0.372 | $ 0.267 |
Net realized and unrealized gain (loss) | 0.771 | (2.321) | 2.342 | (0.146) | 0.542 | (0.383) |
Total income (loss) from operations | $ 0.972 | $ (1.978) | $ 2.614 | $ 0.184 | $ 0.914 | $ (0.116) |
Less Distributions | ||||||
From net investment income | $ (0.162) | $ (0.324) | $ (0.324) | $ (0.324) | $ (0.324) | $ (0.324) |
From net realized gain | — | (0.138) | — | — | — | — |
Total distributions | $ (0.162) | $ (0.462) | $ (0.324) | $ (0.324) | $ (0.324) | $ (0.324) |
Portfolio transaction fee, net(1) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) |
Net asset value — End of period | $ 9.730 | $ 8.920 | $ 11.360 | $ 9.070 | $ 9.210 | $ 8.620 |
Total Return(3)(4) | 10.98% (5) | (17.86)% | 29.08% | 2.12% | 10.97% | (1.52)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $127,701 | $123,589 | $164,778 | $123,152 | $131,104 | $115,974 |
Ratios (as a percentage of average daily net assets):(6) | ||||||
Expenses (4) | 1.17% (7)(8) | 1.17% (7) | 1.17% | 1.17% | 1.24% | 1.28% |
Net investment income | 4.31% (8) | 3.42% | 2.52% | 3.65% | 4.22% | 2.94% |
Portfolio Turnover of the Portfolio | 36% (5) | 59% | 60% | 118% | 86% | 102% |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $(0.0005). |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(4) | The investment adviser, sub-adviser and administrator reimbursed certain operating expenses (equal to 0.03%, 0.02%, 0.03% and 0.02% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(5) | Not annualized. |
(6) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(8) | Annualized. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.810 | $11.230 | $ 8.960 | $ 9.110 | $ 8.530 | $ 8.960 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.160 | $ 0.263 | $ 0.187 | $ 0.262 | $ 0.292 | $ 0.198 |
Net realized and unrealized gain (loss) | 0.757 | (2.290) | 2.328 | (0.153) | 0.546 | (0.371) |
Total income (loss) from operations | $ 0.917 | $ (2.027) | $ 2.515 | $ 0.109 | $ 0.838 | $ (0.173) |
Less Distributions | ||||||
From net investment income | $ (0.127) | $ (0.255) | $ (0.245) | $ (0.259) | $ (0.258) | $ (0.257) |
From net realized gain | — | (0.138) | — | — | — | — |
Total distributions | $ (0.127) | $ (0.393) | $ (0.245) | $ (0.259) | $ (0.258) | $ (0.257) |
Portfolio transaction fee, net(1) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) |
Net asset value — End of period | $ 9.600 | $ 8.810 | $11.230 | $ 8.960 | $ 9.110 | $ 8.530 |
Total Return(3)(4) | 10.58% (5) | (18.46)% | 28.26% | 1.29% | 10.13% | (2.16)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $14,068 | $15,093 | $ 24,505 | $37,875 | $56,314 | $87,821 |
Ratios (as a percentage of average daily net assets):(6) | ||||||
Expenses (4) | 1.92% (7)(8) | 1.92% (7) | 1.92% | 1.92% | 2.00% | 2.03% |
Net investment income | 3.47% (8) | 2.64% | 1.76% | 2.93% | 3.36% | 2.20% |
Portfolio Turnover of the Portfolio | 36% (5) | 59% | 60% | 118% | 86% | 102% |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $(0.0005). |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(4) | The investment adviser, sub-adviser and administrator reimbursed certain operating expenses (equal to 0.03%, 0.02%, 0.03% and 0.02% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(5) | Not annualized. |
(6) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(8) | Annualized. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.910 | $11.340 | $ 9.060 | $ 9.190 | $ 8.610 | $ 9.040 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.214 | $ 0.368 | $ 0.297 | $ 0.354 | $ 0.386 | $ 0.287 |
Net realized and unrealized gain (loss) | 0.760 | (2.311) | 2.333 | (0.136) | 0.542 | (0.369) |
Total income (loss) from operations | $ 0.974 | $ (1.943) | $ 2.630 | $ 0.218 | $ 0.928 | $ (0.082) |
Less Distributions | ||||||
From net investment income | $ (0.174) | $ (0.349) | $ (0.350) | $ (0.348) | $ (0.348) | $ (0.348) |
From net realized gain | — | (0.138) | — | — | — | — |
Total distributions | $ (0.174) | $ (0.487) | $ (0.350) | $ (0.348) | $ (0.348) | $ (0.348) |
Portfolio transaction fee, net(1) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) |
Net asset value — End of period | $ 9.710 | $ 8.910 | $ 11.340 | $ 9.060 | $ 9.190 | $ 8.610 |
Total Return(3)(4) | 11.02% (5) | (17.60)% | 29.31% | 2.51% | 11.17% | (1.26)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $86,399 | $80,627 | $113,907 | $94,518 | $107,290 | $112,202 |
Ratios (as a percentage of average daily net assets):(6) | ||||||
Expenses (4) | 0.92% (7)(8) | 0.92% (7) | 0.92% | 0.92% | 0.99% | 1.02% |
Net investment income | 4.59% (8) | 3.66% | 2.76% | 3.92% | 4.39% | 3.17% |
Portfolio Turnover of the Portfolio | 36% (5) | 59% | 60% | 118% | 86% | 102% |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $(0.0005). |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | The investment adviser, sub-adviser and administrator reimbursed certain operating expenses (equal to 0.03%, 0.02%, 0.03% and 0.02% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(5) | Not annualized. |
(6) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(8) | Annualized. |
Class R | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.890 | $11.320 | $ 9.040 | $ 9.180 | $ 8.600 | $ 9.030 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.193 | $ 0.309 | $ 0.247 | $ 0.310 | $ 0.345 | $ 0.243 |
Net realized and unrealized gain (loss) | 0.757 | (2.300) | 2.332 | (0.149) | 0.536 | (0.373) |
Total income (loss) from operations | $ 0.950 | $ (1.991) | $ 2.579 | $ 0.161 | $ 0.881 | $(0.130) |
Less Distributions | ||||||
From net investment income | $ (0.150) | $ (0.301) | $ (0.299) | $ (0.301) | $ (0.301) | $ (0.300) |
From net realized gain | — | (0.138) | — | — | — | — |
Total distributions | $(0.150) | $ (0.439) | $ (0.299) | $(0.301) | $(0.301) | $(0.300) |
Portfolio transaction fee, net(1) | $(0.000) (2) | $ (0.000)(2) | $ (0.000)(2) | $(0.000) (2) | $(0.000) (2) | $(0.000) (2) |
Net asset value — End of period | $ 9.690 | $ 8.890 | $11.320 | $ 9.040 | $ 9.180 | $ 8.600 |
Total Return(3)(4) | 10.76% (5) | (18.02)% | 28.76% | 1.87% | 10.59% | (1.78)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 1,059 | $ 932 | $ 827 | $ 610 | $ 629 | $ 506 |
Ratios (as a percentage of average daily net assets):(6) | ||||||
Expenses (4) | 1.42% (7)(8) | 1.42% (7) | 1.42% | 1.42% | 1.49% | 1.52% |
Net investment income | 4.15% (8) | 3.13% | 2.29% | 3.44% | 3.92% | 2.69% |
Portfolio Turnover of the Portfolio | 36% (5) | 59% | 60% | 118% | 86% | 102% |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $(0.0005). |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | The investment adviser, sub-adviser and administrator reimbursed certain operating expenses (equal to 0.03%, 0.02%, 0.03% and 0.02% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(5) | Not annualized. |
(6) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(8) | Annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.550% |
$500 million but less than $1 billion | 0.525% |
$1 billion but less than $2.5 billion | 0.500% |
$2.5 billion and over | 0.475% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 310,985 | $ 2,926,550 | 1,227,451 | $ 12,726,234 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 213,713 | 2,004,783 | 601,063 | 6,160,367 | |
Redemptions | (1,245,250) | (11,718,290) | (2,485,542) | (24,634,899) | |
Net decrease | (720,552) | $ (6,786,957) | (657,028) | $ (5,748,298) |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class C | |||||
Sales | 39,947 | $ 370,663 | 186,743 | $ 1,957,980 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 21,429 | 198,362 | 76,915 | 786,222 | |
Redemptions | (309,142) | (2,873,190) | (733,864) | (7,284,683) | |
Net decrease | (247,766) | $ (2,304,165) | (470,206) | $ (4,540,481) | |
Class I | |||||
Sales | 589,842 | $ 5,597,364 | 1,597,829 | $ 16,139,353 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 165,289 | 1,547,981 | 443,668 | 4,531,038 | |
Redemptions | (907,159) | (8,521,181) | (3,035,715) | (30,376,459) | |
Net decrease | (152,028) | $ (1,375,836) | (994,218) | $ (9,706,068) | |
Class R | |||||
Sales | 4,912 | $ 45,819 | 42,144 | $ 425,735 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,732 | 16,190 | 3,670 | 36,989 | |
Redemptions | (2,136) | (20,484) | (14,076) | (151,657) | |
Net increase | 4,508 | $ 41,525 | 31,738 | $ 311,067 |
Common Stocks — 58.9% |
Security | Shares | Value | |
Aerospace & Defense — 0.5% | |||
Safran S.A. | 7,792 | $ 1,211,810 | |
$ 1,211,810 | |||
Air Freight & Logistics — 0.4% | |||
Deutsche Post AG | 9,598 | $ 461,660 | |
GXO Logistics, Inc.(1) | 9,836 | 522,586 | |
$ 984,246 | |||
Automobiles — 2.7% | |||
Bayerische Motoren Werke AG | 13,342 | $ 1,495,430 | |
Mercedes-Benz Group AG | 27,888 | 2,174,874 | |
Stellantis NV(2) | 8,961 | 148,632 | |
Stellantis NV(2) | 127,329 | 2,117,481 | |
Tesla, Inc.(1) | 1,216 | 199,801 | |
$ 6,136,218 | |||
Banks — 5.2% | |||
Banco Bilbao Vizcaya Argentaria S.A. | 145,764 | $ 1,067,136 | |
Banco Santander S.A. | 413,527 | 1,452,752 | |
Barclays PLC | 219,630 | 442,425 | |
BNP Paribas S.A. | 12,631 | 816,132 | |
CaixaBank S.A. | 474,776 | 1,757,434 | |
Citigroup, Inc. | 6,428 | 302,566 | |
DNB Bank ASA | 108,975 | 1,916,879 | |
HDFC Bank, Ltd. | 47,533 | 982,492 | |
HSBC Holdings PLC | 120,224 | 866,496 | |
ING Groep NV | 21,302 | 264,194 | |
Skandinaviska Enskilda Banken AB, Class A | 58,963 | 670,455 | |
Svenska Handelsbanken AB, Class A | 76,473 | 676,005 | |
Swedbank AB, Class A | 22,720 | 394,792 | |
U.S. Bancorp | 8,721 | 298,956 | |
$ 11,908,714 | |||
Beverages — 1.4% | |||
Coca-Cola Co. (The) | 31,612 | $ 2,027,910 | |
Diageo PLC | 24,243 | 1,105,871 | |
$ 3,133,781 | |||
Biotechnology — 0.2% | |||
CSL, Ltd. | 2,774 | $ 553,792 | |
$ 553,792 |
Security | Shares | Value | |
Broadline Retail — 1.1% | |||
Amazon.com, Inc.(1) | 23,900 | $ 2,520,255 | |
$ 2,520,255 | |||
Building Products — 0.2% | |||
Assa Abloy AB, Class B | 14,836 | $ 353,483 | |
Daikin Industries, Ltd. | 1,270 | 230,671 | |
$ 584,154 | |||
Capital Markets — 1.2% | |||
Bank of New York Mellon Corp. (The) | 3,693 | $ 157,285 | |
Intercontinental Exchange, Inc. | 3,548 | 386,484 | |
State Street Corp. | 26,629 | 1,924,211 | |
Stifel Financial Corp. | 3,692 | 221,409 | |
$ 2,689,389 | |||
Chemicals — 1.3% | |||
BASF SE | 43,378 | $ 2,243,689 | |
Sika AG | 2,412 | 666,250 | |
$ 2,909,939 | |||
Commercial Services & Supplies — 0.1% | |||
Waste Management, Inc. | 2,199 | $ 365,144 | |
$ 365,144 | |||
Construction & Engineering — 0.1% | |||
Skanska AB, Class B | 13,351 | $ 218,375 | |
$ 218,375 | |||
Consumer Staples Distribution & Retail — 0.7% | |||
Dollar Tree, Inc.(1) | 10,176 | $ 1,564,153 | |
$ 1,564,153 | |||
Diversified Telecommunication Services — 0.9% | |||
Elisa Oyj | 4,559 | $ 283,120 | |
Proximus SADP | 100,052 | 852,901 | |
Swisscom AG | 1,260 | 865,054 | |
$ 2,001,075 | |||
Electric Utilities — 0.7% | |||
Iberdrola S.A. | 64,468 | $ 835,383 | |
NextEra Energy, Inc. | 11,358 | 870,363 | |
$ 1,705,746 | |||
Electrical Equipment — 1.3% | |||
AMETEK, Inc. | 7,267 | $ 1,002,337 |
Security | Shares | Value | |
Electrical Equipment (continued) | |||
Schneider Electric SE | 11,379 | $ 1,984,405 | |
$ 2,986,742 | |||
Electronic Equipment, Instruments & Components — 1.4% | |||
CDW Corp. | 9,833 | $ 1,667,578 | |
Halma PLC | 10,518 | 305,899 | |
Keyence Corp. | 1,151 | 519,050 | |
Keysight Technologies, Inc.(1) | 2,171 | 314,013 | |
Riverbed Technology, Inc.(3) | 3,977 | 1,999 | |
TE Connectivity, Ltd. | 2,677 | 327,585 | |
$ 3,136,124 | |||
Entertainment — 0.3% | |||
Walt Disney Co. (The)(1) | 6,521 | $ 668,402 | |
$ 668,402 | |||
Financial Services — 1.3% | |||
Berkshire Hathaway, Inc., Class B(1) | 4,661 | $ 1,531,371 | |
Fidelity National Information Services, Inc. | 2,924 | 171,697 | |
Visa, Inc., Class A | 5,435 | 1,264,888 | |
$ 2,967,956 | |||
Food Products — 2.0% | |||
Mondelez International, Inc., Class A | 23,216 | $ 1,781,131 | |
Nestle S.A. | 18,010 | 2,310,495 | |
Orkla ASA | 58,616 | 421,319 | |
$ 4,512,945 | |||
Ground Transportation — 0.1% | |||
Union Pacific Corp. | 1,727 | $ 337,974 | |
$ 337,974 | |||
Health Care Equipment & Supplies — 1.8% | |||
Alcon, Inc. | 4,123 | $ 300,222 | |
Boston Scientific Corp.(1) | 37,678 | 1,963,777 | |
Intuitive Surgical, Inc.(1) | 3,354 | 1,010,292 | |
Straumann Holding AG | 5,681 | 854,710 | |
$ 4,129,001 | |||
Health Care Providers & Services — 0.8% | |||
Elevance Health, Inc. | 4,127 | $ 1,934,119 | |
$ 1,934,119 |
Security | Shares | Value | |
Health Care REITs — 0.1% | |||
Healthpeak Properties, Inc. | 6,888 | $ 151,329 | |
$ 151,329 | |||
Hotels, Restaurants & Leisure — 1.3% | |||
Amadeus IT Group S.A.(1) | 8,195 | $ 575,986 | |
Compass Group PLC | 65,010 | 1,715,026 | |
InterContinental Hotels Group PLC | 9,043 | 621,767 | |
$ 2,912,779 | |||
Industrial Conglomerates — 0.6% | |||
Siemens AG | 9,149 | $ 1,508,051 | |
$ 1,508,051 | |||
Insurance — 5.4% | |||
AIA Group, Ltd. | 44,797 | $ 487,708 | |
Allianz SE | 5,126 | 1,287,174 | |
Allstate Corp. (The) | 1,257 | 145,510 | |
Assurant, Inc. | 1,241 | 152,804 | |
Aviva PLC | 148,282 | 789,504 | |
AXA S.A. | 35,341 | 1,153,537 | |
Baloise Holding AG | 6,309 | 1,056,084 | |
RenaissanceRe Holdings, Ltd. | 5,720 | 1,232,145 | |
Sampo Oyj, Class A | 25,139 | 1,274,923 | |
Storebrand ASA | 33,214 | 256,263 | |
Swiss Life Holding AG(1) | 2,112 | 1,394,040 | |
Swiss Re AG | 14,004 | 1,410,258 | |
Topdanmark A/S | 11,456 | 604,759 | |
Zurich Insurance Group AG | 2,546 | 1,234,688 | |
$ 12,479,397 | |||
Interactive Media & Services — 1.8% | |||
Alphabet, Inc., Class C(1) | 39,100 | $ 4,231,402 | |
$ 4,231,402 | |||
Leisure Products — 0.1% | |||
Yamaha Corp. | 6,770 | $ 266,803 | |
$ 266,803 | |||
Life Sciences Tools & Services — 0.4% | |||
Danaher Corp. | 1,023 | $ 242,359 | |
Lonza Group AG | 961 | 599,318 | |
$ 841,677 | |||
Machinery — 1.1% | |||
Ingersoll Rand, Inc. | 23,257 | $ 1,326,114 |
Security | Shares | Value | |
Machinery (continued) | |||
Volvo AB, Class B | 59,158 | $ 1,216,330 | |
$ 2,542,444 | |||
Marine Transportation — 0.5% | |||
Kuehne & Nagel International AG | 4,228 | $ 1,252,570 | |
$ 1,252,570 | |||
Media — 0.3% | |||
Dentsu Group, Inc. | 5,763 | $ 207,669 | |
ITV PLC | 594,739 | 605,336 | |
$ 813,005 | |||
Metals & Mining — 0.7% | |||
Anglo American PLC | 4,690 | $ 144,519 | |
Outokumpu Oyj | 80,332 | 437,935 | |
Rio Tinto, Ltd. | 13,256 | 994,261 | |
$ 1,576,715 | |||
Multi-Utilities — 0.2% | |||
CMS Energy Corp. | 6,337 | $ 394,542 | |
$ 394,542 | |||
Oil, Gas & Consumable Fuels — 2.7% | |||
Chevron Corp. | 13,558 | $ 2,285,608 | |
EOG Resources, Inc. | 30,347 | 3,625,556 | |
Phillips 66 | 2,171 | 214,929 | |
$ 6,126,093 | |||
Paper and Forest Products — 0.2% | |||
Stora Enso Oyj, Class R | 29,484 | $ 374,059 | |
$ 374,059 | |||
Personal Care Products — 0.3% | |||
Kose Corp. | 6,007 | $ 700,988 | |
$ 700,988 | |||
Pharmaceuticals — 5.5% | |||
AstraZeneca PLC | 4,659 | $ 685,632 | |
Bayer AG | 11,581 | 764,303 | |
Eli Lilly & Co. | 10,732 | 4,248,370 | |
Novo Nordisk A/S, Class B | 24,134 | 4,014,796 | |
Roche Holding AG PC | 1,259 | 394,243 | |
Sanofi | 7,078 | 762,784 | |
Zoetis, Inc. | 9,931 | 1,745,671 | |
$ 12,615,799 |
Security | Shares | Value | |
Professional Services — 1.4% | |||
Randstad NV | 9,870 | $ 536,294 | |
Recruit Holdings Co., Ltd. | 8,494 | 238,287 | |
RELX PLC | 37,839 | 1,260,746 | |
SGS S.A. | 7,225 | 653,829 | |
Verisk Analytics, Inc. | 3,071 | 596,112 | |
$ 3,285,268 | |||
Semiconductors & Semiconductor Equipment — 2.7% | |||
ASML Holding NV | 4,097 | $ 2,600,007 | |
Infineon Technologies AG | 42,053 | 1,531,434 | |
Micron Technology, Inc. | 8,441 | 543,263 | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 17,702 | 1,492,279 | |
$ 6,166,983 | |||
Software — 3.3% | |||
Adobe, Inc.(1) | 1,368 | $ 516,502 | |
Dassault Systemes SE | 1,794 | 72,828 | |
Intuit, Inc. | 2,724 | 1,209,320 | |
Microsoft Corp.(4) | 19,085 | 5,864,057 | |
$ 7,662,707 | |||
Specialized REITs — 0.3% | |||
American Tower Corp. | 2,955 | $ 603,972 | |
$ 603,972 | |||
Specialty Retail — 1.3% | |||
Lowe's Cos., Inc. | 6,848 | $ 1,423,220 | |
TJX Cos., Inc. (The) | 20,379 | 1,606,273 | |
$ 3,029,493 | |||
Technology Hardware, Storage & Peripherals — 1.7% | |||
Apple, Inc.(4) | 23,190 | $ 3,934,879 | |
$ 3,934,879 | |||
Textiles, Apparel & Luxury Goods — 0.7% | |||
LVMH Moet Hennessy Louis Vuitton SE | 1,625 | $ 1,563,057 | |
$ 1,563,057 | |||
Trading Companies & Distributors — 0.6% | |||
Ashtead Group PLC | 8,805 | $ 507,662 |
Security | Shares | Value | |
Trading Companies & Distributors (continued) | |||
IMCD NV | 2,140 | $ 322,154 | |
Rexel S.A.(1) | 20,316 | 470,592 | |
$ 1,300,408 | |||
Total Common Stocks (identified cost $89,926,094) | $135,494,474 |
Convertible Bonds — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Leisure Products — 0.1% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26 | $ | 310 | $ 231,250 |
$ 231,250 | |||
Transportation — 0.1% | |||
CryoPort, Inc., 0.75%, 12/1/26(5) | $ | 334 | $ 263,235 |
$ 263,235 | |||
Total Convertible Bonds (identified cost $548,759) | $ 494,485 |
Convertible Preferred Stocks — 0.0%(6) |
Security | Shares | Value | |
Software — 0.0%(6) | |||
Riverbed Technology, Inc., Series A, 6.50%, (1.50% cash, 5.00% PIK)(3) | 2,480 | $ 632 | |
Total Convertible Preferred Stocks (identified cost $74,393) | $ 632 |
Corporate Bonds — 35.7% |
Security | Principal Amount (000's omitted)* | Value | |
Aerospace & Defense — 1.0% | |||
Moog, Inc., 4.25%, 12/15/27(5) | 170 | $ 160,089 | |
Rolls-Royce PLC, 5.75%, 10/15/27(5) | 492 | 491,527 | |
Spirit AeroSystems, Inc.: | |||
4.60%, 6/15/28 | 69 | 58,613 | |
9.375%, 11/30/29(5) | 133 | 143,130 | |
TransDigm UK Holdings PLC, 6.875%, 5/15/26 | 200 | 201,513 |
Security | Principal Amount (000's omitted)* | Value | |
Aerospace & Defense (continued) | |||
TransDigm, Inc.: | |||
4.625%, 1/15/29 | 185 | $ 167,656 | |
5.50%, 11/15/27 | 106 | 101,894 | |
6.25%, 3/15/26(5) | 419 | 421,636 | |
6.75%, 8/15/28(5) | 221 | 224,711 | |
7.50%, 3/15/27 | 327 | 329,088 | |
$ 2,299,857 | |||
Airlines — 0.0%(6) | |||
American Airlines, Inc., 7.25%, 2/15/28(5) | 57 | $ 55,491 | |
$ 55,491 | |||
Auto Components — 0.1% | |||
Faurecia SE: | |||
2.75%, 2/15/27(7) | EUR | 100 | $ 98,137 |
3.75%, 6/15/28(7) | EUR | 100 | 97,943 |
$ 196,080 | |||
Automobile Components — 0.6% | |||
Clarios Global, L.P./Clarios US Finance Co.: | |||
4.375%, 5/15/26(7) | EUR | 578 | $ 610,927 |
8.50%, 5/15/27(5) | 194 | 195,498 | |
IHO Verwaltungs GmbH, 6.375%, (6.375% cash or 7.125% PIK), 5/15/29(5)(8) | 200 | 180,259 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(5) | 94 | 70,829 | |
TI Automotive Finance PLC, 3.75%, 4/15/29(7) | EUR | 200 | 167,723 |
Wheel Pros, Inc., 6.50%, 5/15/29(5) | 213 | 101,175 | |
$ 1,326,411 | |||
Automobiles — 0.6% | |||
Ford Motor Co.: | |||
3.25%, 2/12/32 | 364 | $ 282,616 | |
4.75%, 1/15/43 | 197 | 148,248 | |
9.625%, 4/22/30 | 26 | 30,268 | |
Ford Motor Credit Co., LLC: | |||
3.37%, 11/17/23 | 200 | 196,865 | |
4.125%, 8/17/27 | 555 | 509,942 | |
5.125%, 6/16/25 | 200 | 194,993 | |
$ 1,362,932 | |||
Automotives — 0.1% | |||
Goodyear Tire & Rubber Co. (The): | |||
5.00%, 7/15/29 | 281 | $ 248,719 |
Security | Principal Amount (000's omitted)* | Value | |
Automotives (continued) | |||
Goodyear Tire & Rubber Co. (The): (continued) | |||
5.25%, 7/15/31 | 120 | $ 103,608 | |
$ 352,327 | |||
Banks — 1.4% | |||
Banco Mercantil del Norte S.A./Grand Cayman, 7.625% to 1/10/28(5)(9)(10) | 200 | $ 182,200 | |
Bank of America Corp., Series TT, 6.125% to 4/27/27(9)(10) | 89 | 86,514 | |
Bank of Nova Scotia (The), 8.625% to 10/27/27, 10/27/82(10) | 200 | 205,210 | |
Barclays PLC, 8.00% to 3/15/29(9)(10) | 200 | 175,680 | |
BNP Paribas S.A., 7.75% to 8/16/29(5)(9)(10) | 200 | 191,500 | |
Citigroup, Inc., Series W, 4.00% to 12/10/25(9)(10) | 176 | 153,754 | |
Farm Credit Bank of Texas, Series 3, 6.20% to 6/15/28(5)(9)(10) | 220 | 195,250 | |
HSBC Holdings PLC, 4.60% to 12/17/30(9)(10) | 200 | 151,625 | |
Huntington Bancshares, Inc., Series F, 5.625% to 7/15/30(9)(10) | 125 | 112,128 | |
JPMorgan Chase & Co.: | |||
Series KK, 3.65% to 6/1/26(9)(10) | 251 | 220,679 | |
Series S, 6.75% to 2/1/24(9)(10) | 215 | 214,876 | |
Lloyds Banking Group PLC, 7.50% to 9/27/25(9)(10) | 200 | 190,118 | |
PNC Financial Services Group, Inc. (The), Series V, 6.20% to 9/15/27(9)(10) | 100 | 94,421 | |
Societe Generale S.A., 5.375% to 11/18/30(5)(9)(10) | 200 | 140,500 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(10) | 200 | 204,206 | |
Truist Financial Corp., Series Q, 5.10% to 3/1/30(9)(10) | 77 | 68,304 | |
UBS Group AG, 4.375% to 2/10/31(5)(9)(10) | 200 | 138,451 | |
UniCredit SpA, 7.296% to 4/2/29, 4/2/34(5)(10) | 200 | 191,580 | |
Vivion Investments S.a.r.l., 3.00%, 8/8/24(7) | EUR | 100 | 80,729 |
Wells Fargo & Co., Series BB, 3.90% to 3/15/26(9)(10) | 167 | 145,426 | |
Zions Bancorp NA, 5.80% to 6/15/23(9)(10) | 43 | 33,823 | |
$ 3,176,974 | |||
Biotechnology — 0.4% | |||
Grifols Escrow Issuer S.A.: | |||
3.875%, 10/15/28(7) | EUR | 925 | $ 792,473 |
4.75%, 10/15/28(5) | 280 | 224,803 | |
$ 1,017,276 | |||
Building Products — 0.9% | |||
Builders FirstSource, Inc.: | |||
4.25%, 2/1/32(5) | 204 | $ 178,977 | |
5.00%, 3/1/30(5) | 90 | 84,186 |
Security | Principal Amount (000's omitted)* | Value | |
Building Products (continued) | |||
KB Home: | |||
4.00%, 6/15/31 | 11 | $ 9,530 | |
4.80%, 11/15/29 | 71 | 66,323 | |
Standard Industries, Inc.: | |||
2.25%, 11/21/26(7) | EUR | 400 | 388,127 |
4.375%, 7/15/30(5) | 275 | 237,706 | |
5.00%, 2/15/27(5) | 78 | 74,715 | |
Taylor Morrison Communities, Inc., 5.75%, 1/15/28(5) | 196 | 194,493 | |
Victoria PLC, 3.625%, 8/24/26(7) | EUR | 666 | 591,147 |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(5) | 346 | 324,735 | |
$ 2,149,939 | |||
Capital Markets — 0.2% | |||
AerCap Holdings NV, 5.875% to 10/10/24, 10/10/79(10) | 150 | $ 139,351 | |
Charles Schwab Corp. (The), Series I, 4.00% to 6/1/26(9)(10) | 259 | 217,565 | |
$ 356,916 | |||
Casino & Gaming — 0.1% | |||
Cinemark USA, Inc.: | |||
5.875%, 3/15/26(5) | 67 | $ 64,084 | |
8.75%, 5/1/25(5) | 29 | 29,619 | |
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(5) | 250 | 232,359 | |
$ 326,062 | |||
Chemicals — 0.5% | |||
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(5) | 139 | $ 114,675 | |
Avient Corp., 7.125%, 8/1/30(5) | 102 | 104,341 | |
Diamond BC B.V., 4.625%, 10/1/29(5) | 274 | 269,467 | |
Herens Holdco S.a.r.l., 4.75%, 5/15/28(5) | 201 | 166,850 | |
NOVA Chemicals Corp.: | |||
4.25%, 5/15/29(5) | 203 | 164,365 | |
4.875%, 6/1/24(5) | 56 | 55,191 | |
Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30(5) | 172 | 153,042 | |
Valvoline, Inc., 3.625%, 6/15/31(5) | 128 | 106,547 | |
$ 1,134,478 | |||
Commercial Services & Supplies — 1.7% | |||
Adtalem Global Education, Inc., 5.50%, 3/1/28(5) | 290 | $ 275,800 | |
APi Group DE, Inc., 4.75%, 10/15/29(5) | 55 | 49,880 | |
Clean Harbors, Inc.: | |||
4.875%, 7/15/27(5) | 101 | 97,913 | |
5.125%, 7/15/29(5) | 61 | 58,696 |
Security | Principal Amount (000's omitted)* | Value | |
Commercial Services & Supplies (continued) | |||
Clean Harbors, Inc.: (continued) | |||
6.375%, 2/1/31(5) | 38 | $ 38,812 | |
EC Finance PLC, 3.00%, 10/15/26(7) | EUR | 274 | 284,307 |
Gartner, Inc.: | |||
3.75%, 10/1/30(5) | 187 | 163,506 | |
4.50%, 7/1/28(5) | 151 | 142,164 | |
GFL Environmental, Inc.: | |||
3.50%, 9/1/28(5) | 265 | 241,166 | |
3.75%, 8/1/25(5) | 130 | 125,834 | |
4.75%, 6/15/29(5) | 343 | 319,570 | |
HealthEquity, Inc., 4.50%, 10/1/29(5) | 153 | 137,004 | |
Hertz Corp. (The): | |||
4.625%, 12/1/26(5) | 29 | 26,149 | |
5.00%, 12/1/29(5) | 230 | 188,375 | |
Korn Ferry, 4.625%, 12/15/27(5) | 233 | 221,612 | |
Madison IAQ, LLC, 5.875%, 6/30/29(5) | 323 | 253,138 | |
Metis Merger Sub, LLC, 6.50%, 5/15/29(5) | 390 | 330,938 | |
NESCO Holdings II, Inc., 5.50%, 4/15/29(5) | 206 | 186,325 | |
Paprec Holding S.A., 3.50%, 7/1/28(7) | EUR | 352 | 346,965 |
PROG Holdings, Inc., 6.00%, 11/15/29(5) | 139 | 125,234 | |
Team Health Holdings, Inc., 6.375%, 2/1/25(5) | 235 | 121,478 | |
Tervita Corp., 11.00%, 12/1/25(5) | 123 | 131,653 | |
$ 3,866,519 | |||
Construction & Engineering — 0.1% | |||
TopBuild Corp., 4.125%, 2/15/32(5) | 263 | $ 226,383 | |
$ 226,383 | |||
Construction Materials — 0.2% | |||
Smyrna Ready Mix Concrete, LLC, 6.00%, 11/1/28(5) | 454 | $ 425,476 | |
$ 425,476 | |||
Consumer Finance — 0.3% | |||
CPUK Finance, Ltd., 4.875%, 2/28/47(7) | GBP | 278 | $ 331,685 |
PRA Group, Inc., 7.375%, 9/1/25(5) | 261 | 260,416 | |
$ 592,101 | |||
Containers & Packaging — 0.7% | |||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC, 3.00%, 9/1/29(7) | EUR | 400 | $ 325,011 |
Canpack S.A./Canpack US, LLC, 3.875%, 11/15/29(5) | 312 | 250,582 | |
Kleopatra Finco S.a.r.l., 4.25%, 3/1/26(7) | EUR | 479 | 430,429 |
LABL, Inc., 5.875%, 11/1/28(5) | ��� 66 | 61,009 |
Security | Principal Amount (000's omitted)* | Value | |
Containers & Packaging (continued) | |||
Schoeller Packaging B.V., 6.375%, 11/1/24(7) | EUR | 450 | $ 356,573 |
Sealed Air Corp./Sealed Air Corp. U.S., 6.125%, 2/1/28(5) | 78 | 79,249 | |
$ 1,502,853 | |||
Cosmetics/Personal Care — 0.1% | |||
Edgewell Personal Care Co.: | |||
4.125%, 4/1/29(5) | 74 | $ 65,628 | |
5.50%, 6/1/28(5) | 180 | 172,522 | |
$ 238,150 | |||
Distributors — 0.6% | |||
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(5) | 346 | $ 317,809 | |
Parts Europe S.A., 7.20%, (3 mo. EURIBOR + 4.00%), 7/20/27(7)(11) | EUR | 350 | 384,247 |
Performance Food Group, Inc.: | |||
4.25%, 8/1/29(5) | 315 | 287,045 | |
5.50%, 10/15/27(5) | 169 | 165,797 | |
Ritchie Bros Holdings, Inc.: | |||
6.75%, 3/15/28(5) | 71 | 73,574 | |
7.75%, 3/15/31(5) | 132 | 140,415 | |
$ 1,368,887 | |||
Diversified Consumer Services — 0.3% | |||
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC, 7.125%, 7/31/26(7) | 750 | $ 731,889 | |
$ 731,889 | |||
Diversified Financial Services — 0.1% | |||
Alpha Holding S.A. de CV, 9.00%, 2/10/25(5)(12) | 189 | $ 2,595 | |
American AgCredit Corp., Series QIB, 5.25% to 6/15/26(5)(9)(10) | 250 | 218,437 | |
VistaJet Malta Finance PLC/XO Management Holding, Inc., 7.875%, 5/1/27(5) | 101 | 96,056 | |
$ 317,088 | |||
Diversified REITs — 0.3% | |||
Brookfield Property REIT, Inc./BPR Cumulus, LLC/BPR Nimbus, LLC/GGSI Sellco, LLC, 4.50%, 4/1/27(5) | 245 | $ 202,914 | |
CTR Partnership, L.P./CareTrust Capital Corp., 3.875%, 6/30/28(5) | 250 | 218,624 | |
HAT Holdings I, LLC/HAT Holdings II, LLC, 3.375%, 6/15/26(5) | 200 | 177,741 | |
$ 599,279 |
Security | Principal Amount (000's omitted)* | Value | |
Diversified Telecommunication Services — 0.4% | |||
Level 3 Financing, Inc., 4.25%, 7/1/28(5) | 324 | $ 189,247 | |
Lorca Telecom Bondco S.A., 4.00%, 9/18/27(7) | EUR | 650 | 660,050 |
$ 849,297 | |||
Electric Utilities — 1.5% | |||
Dominion Energy, Inc., Series C, 4.35% to 1/15/27(9)(10) | 93 | $ 78,585 | |
Electricite de France S.A., 7.50% to 9/6/28(7)(9)(10) | EUR | 200 | 215,862 |
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(5) | 435 | 371,481 | |
FirstEnergy Corp.: | |||
2.65%, 3/1/30 | 53 | 45,832 | |
Series B, 4.15%, 7/15/27 | 257 | 250,301 | |
Imola Merger Corp., 4.75%, 5/15/29(5) | 370 | 320,811 | |
NextEra Energy Operating Partners, L.P.: | |||
4.25%, 9/15/24(5) | 9 | 8,672 | |
4.50%, 9/15/27(5) | 205 | 193,035 | |
NRG Energy, Inc.: | |||
3.375%, 2/15/29(5) | 106 | 89,856 | |
3.625%, 2/15/31(5) | 177 | 143,536 | |
3.875%, 2/15/32(5) | 195 | 157,703 | |
5.25%, 6/15/29(5) | 122 | 112,675 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(5) | 199 | 185,314 | |
Sempra Energy, 4.125% to 1/1/27, 4/1/52(10) | 167 | 135,540 | |
Southern California Edison Co., Series E, 9.498%, (3 mo. USD LIBOR + 4.199%)(9)(11) | 101 | 99,990 | |
Southern Co. (The): | |||
Series 21-A, 3.75% to 6/15/26, 9/15/51(10) | 120 | 102,417 | |
Series B, 4.00% to 10/15/25, 1/15/51(10) | 56 | 52,758 | |
TerraForm Power Operating, LLC, 5.00%, 1/31/28(5) | 237 | 227,188 | |
TransAlta Corp., 7.75%, 11/15/29 | 166 | 174,514 | |
Vistra Operations Co., LLC: | |||
4.375%, 5/1/29(5) | 173 | 154,828 | |
5.00%, 7/31/27(5) | 232 | 220,847 | |
$ 3,341,745 | |||
Electronic Equipment, Instruments & Components — 0.3% | |||
Coherent Corp., 5.00%, 12/15/29(5) | 195 | $ 175,757 | |
Energizer Gamma Acquisition B.V., 3.50%, 6/30/29(7) | EUR | 250 | 218,763 |
Sensata Technologies B.V., 5.00%, 10/1/25(5) | 57 | 56,204 | |
WESCO Distribution, Inc., 7.25%, 6/15/28(5) | 153 | 157,258 | |
$ 607,982 |
Security | Principal Amount (000's omitted)* | Value | |
Entertainment — 1.3% | |||
Allwyn Entertainment Financing UK PLC, 7.25%, 4/30/30(7) | EUR | 275 | $ 307,289 |
Banijay Entertainment SASU, 5.375%, 3/1/25(5) | 200 | 195,248 | |
Boyne USA, Inc., 4.75%, 5/15/29(5) | 141 | 127,845 | |
Caesars Entertainment, Inc.: | |||
6.25%, 7/1/25(5) | 417 | 417,884 | |
7.00%, 2/15/30(5) | 100 | 100,983 | |
8.125%, 7/1/27(5) | 56 | 57,189 | |
CDI Escrow Issuer, Inc., 5.75%, 4/1/30(5) | 233 | 224,874 | |
Cinemark USA, Inc., 5.25%, 7/15/28(5) | 206 | 183,890 | |
Jacobs Entertainment, Inc., 6.75%, 2/15/29(5) | 278 | 242,110 | |
LHMC Finco 2 S.a.r.l., 7.25%, (7.25% cash or 8.00% PIK), 10/2/25(7)(8) | EUR | 564 | 584,558 |
Lottomatica SpA, 6.25%, 7/15/25(7) | EUR | 200 | 223,256 |
Scientific Games International, Inc., 7.00%, 5/15/28(5) | 216 | 215,748 | |
SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29(5) | 65 | 58,561 | |
$ 2,939,435 | |||
Financial Services — 1.8% | |||
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(5) | 145 | $ 149,208 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp.: | |||
6.625%, 7/15/26(5) | 485 | 468,169 | |
9.75%, 7/15/27(5) | 203 | 189,102 | |
Ally Financial, Inc., Series B, 4.70% to 5/15/26(9)(10) | 270 | 199,969 | |
Compass Group Diversified Holdings, LLC, 5.25%, 4/15/29(5) | 210 | 189,209 | |
Encore Capital Group, Inc.: | |||
5.375%, 2/15/26(7) | GBP | 180 | 201,784 |
7.427%, (3 mo. EURIBOR + 4.25%), 1/15/28(7)(11) | EUR | 200 | 211,848 |
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.: | |||
6.25%, 5/15/26 | 99 | 97,545 | |
6.375%, 12/15/25 | 120 | 119,172 | |
Intrum AB, 9.25%, 3/15/28(7) | EUR | 125 | 131,884 |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(5) | 305 | 273,269 | |
Jefferson Capital Holdings, LLC, 6.00%, 8/15/26(5) | 343 | 293,159 | |
Louvre Bidco S.A.S., 6.50%, 9/30/24(7) | EUR | 310 | 332,025 |
Oxford Finance, LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/1/27(5) | 160 | 148,815 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: | |||
2.875%, 10/15/26(5) | 156 | 139,076 | |
3.625%, 3/1/29(5) | 202 | 170,995 | |
4.00%, 10/15/33(5) | 30 | 23,510 |
Security | Principal Amount (000's omitted)* | Value | |
Financial Services (continued) | |||
Sherwood Financing PLC, 6.00%, 11/15/26(7) | GBP | 420 | $ 438,576 |
VistaJet Malta Finance PLC/XO Management Holding, Inc., 6.375%, 2/1/30(5) | 348 | 301,450 | |
$ 4,078,765 | |||
Food Products — 0.7% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC: | |||
4.875%, 2/15/30(5) | 138 | $ 128,870 | |
5.875%, 2/15/28(5) | 181 | 179,411 | |
Chobani, LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25(5) | 253 | 248,350 | |
Darling Ingredients, Inc., 6.00%, 6/15/30(5) | 110 | 108,921 | |
Land O' Lakes, Inc., 8.00%(5)(9) | 235 | 217,333 | |
Nomad Foods Bondco PLC, 2.50%, 6/24/28(7) | EUR | 571 | 546,835 |
Pilgrim's Pride Corp., 3.50%, 3/1/32 | 252 | 203,098 | |
$ 1,632,818 | |||
Gas Utilities — 0.1% | |||
NiSource, Inc., 5.65% to 6/15/23(9)(10) | 280 | $ 267,092 | |
$ 267,092 | |||
Health Care Equipment & Supplies — 1.4% | |||
Centene Corp.: | |||
3.375%, 2/15/30 | 39 | $ 34,471 | |
4.625%, 12/15/29 | 140 | 132,076 | |
Compass Minerals International, Inc., 6.75%, 12/1/27(5) | 399 | 383,043 | |
LifePoint Health, Inc., 5.375%, 1/15/29(5) | 200 | 125,566 | |
Medline Borrower, L.P., 5.25%, 10/1/29(5) | 531 | 459,818 | |
ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29(5) | 101 | 81,557 | |
Molina Healthcare, Inc.: | |||
3.875%, 11/15/30(5) | 245 | 216,343 | |
3.875%, 5/15/32(5) | 189 | 162,161 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(5) | 240 | 199,908 | |
Tenet Healthcare Corp.: | |||
4.375%, 1/15/30 | 17 | 15,641 | |
4.625%, 9/1/24 | 49 | 48,754 | |
4.875%, 1/1/26 | 290 | 286,021 | |
5.125%, 11/1/27 | 138 | 134,069 | |
6.125%, 10/1/28 | 289 | 280,737 | |
6.875%, 11/15/31 | 133 | 130,462 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(5) | 400 | 357,432 | |
Varex Imaging Corp., 7.875%, 10/15/27(5) | 179 | 177,401 | |
$ 3,225,460 |
Security | Principal Amount (000's omitted)* | Value | |
Health Care Providers & Services — 0.5% | |||
AMN Healthcare, Inc., 4.00%, 4/15/29(5) | 290 | $ 255,544 | |
Catalent Pharma Solutions, Inc., 3.50%, 4/1/30(5) | 194 | 164,677 | |
Chrome Bidco SASU, 3.50%, 5/31/28(7) | EUR | 300 | 268,236 |
IQVIA, Inc., 2.875%, 6/15/28(7) | EUR | 150 | 146,448 |
Legacy LifePoint Health, LLC, 4.375%, 2/15/27(5) | 173 | 147,438 | |
ModivCare, Inc., 5.875%, 11/15/25(5) | 235 | 224,780 | |
$ 1,207,123 | |||
Hotels, Restaurants & Leisure — 0.4% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.: | |||
3.875%, 1/15/28(5) | 286 | $ 268,648 | |
4.375%, 1/15/28(5) | 182 | 170,371 | |
5.75%, 4/15/25(5) | 66 | 66,216 | |
Lithia Motors, Inc., 4.625%, 12/15/27(5) | 91 | 84,964 | |
MGM Resorts International, 4.75%, 10/15/28 | 184 | 172,239 | |
Viking Cruises, Ltd., 5.875%, 9/15/27(5) | 279 | 239,685 | |
$ 1,002,123 | |||
Household Products — 0.1% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(5) | 49 | $ 43,243 | |
Tempur Sealy International, Inc., 3.875%, 10/15/31(5) | 301 | 249,969 | |
$ 293,212 | |||
Housewares — 0.1% | |||
ProGroup AG, 3.00%, 3/31/26(7) | EUR | 163 | $ 168,874 |
$ 168,874 | |||
Independent Power and Renewable Electricity Producers — 0.3% | |||
Algonquin Power & Utilities Corp., 4.75% to 1/18/27, 1/18/82(10) | 113 | $ 91,517 | |
Calpine Corp.: | |||
5.125%, 3/15/28(5) | 273 | 252,529 | |
5.25%, 6/1/26(5) | 50 | 48,700 | |
NRG Energy, Inc.: | |||
5.75%, 1/15/28 | 210 | 205,005 | |
10.25% to 3/15/28(5)(9)(10) | 174 | 170,904 | |
$ 768,655 | |||
Industrial Conglomerates — 0.2% | |||
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(5) | 162 | $ 152,448 | |
Gatwick Airport Finance PLC, 4.375%, 4/7/26(7) | GBP | 245 | 285,564 |
Paprec Holding S.A., 4.00%, 3/31/25(7) | EUR | 115 | 124,521 |
$ 562,533 |
Security | Principal Amount (000's omitted)* | Value | |
Insurance — 0.6% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(5) | 96 | $ 89,742 | |
Corebridge Financial, Inc., 6.875% to 9/15/27, 12/15/52(5)(10) | 187 | 169,653 | |
Galaxy Finco, Ltd., 9.25%, 7/31/27(7) | GBP | 525 | 583,918 |
Jones DesLauriers Insurance Management, Inc., 10.50%, 12/15/30(5) | 169 | 171,928 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(5)(10) | 216 | 174,466 | |
Lincoln National Corp., 9.25% to 12/1/27(9)(10) | 38 | 38,332 | |
Prudential Financial, Inc., 5.125% to 11/28/31, 3/1/52(10) | 60 | 54,408 | |
QBE Insurance Group, Ltd., 5.875% to 5/12/25(5)(9)(10) | 222 | 210,164 | |
$ 1,492,611 | |||
Internet & Direct Marketing Retail — 0.2% | |||
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(5) | 82 | $ 70,662 | |
6.125%, 12/1/28(5) | 151 | 131,145 | |
Match Group Holdings II, LLC, 3.625%, 10/1/31(5) | 273 | 223,333 | |
$ 425,140 | |||
Leisure Products — 0.7% | |||
Life Time, Inc.: | |||
5.75%, 1/15/26(5) | 199 | $ 194,518 | |
8.00%, 4/15/26(5) | 278 | 276,707 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 5/15/28(5) | 114 | 114,453 | |
Lindblad Expeditions, LLC, 6.75%, 2/15/27(5) | 154 | 144,901 | |
NCL Corp., Ltd.: | |||
3.625%, 12/15/24(5) | 54 | 50,688 | |
5.875%, 3/15/26(5) | 106 | 91,419 | |
5.875%, 2/15/27(5) | 67 | 63,264 | |
7.75%, 2/15/29(5) | 56 | 47,468 | |
NCL Finance, Ltd., 6.125%, 3/15/28(5) | 136 | 109,948 | |
Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27(5) | 201 | 214,021 | |
Sabre GLBL, Inc.: | |||
9.25%, 4/15/25(5) | 125 | 115,437 | |
11.25%, 12/15/27(5) | 124 | 109,043 | |
Viking Cruises, Ltd., 7.00%, 2/15/29(5) | 104 | 87,978 | |
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29(5) | 66 | 55,841 | |
$ 1,675,686 | |||
Life Sciences Tools & Services — 0.1% | |||
W.R. Grace Holdings, LLC: | |||
4.875%, 6/15/27(5) | 245 | $ 232,983 |
Security | Principal Amount (000's omitted)* | Value | |
Life Sciences Tools & Services (continued) | |||
W.R. Grace Holdings, LLC: (continued) | |||
7.375%, 3/1/31(5) | 73 | $ 73,237 | |
$ 306,220 | |||
Machinery — 0.2% | |||
Chart Industries, Inc., 9.50%, 1/1/31(5) | 140 | $ 148,389 | |
IMA Industria Macchine Automatiche SpA, 3.75%, 1/15/28(7) | EUR | 236 | 227,797 |
$ 376,186 | |||
Media — 2.0% | |||
Altice France S.A., 8.125%, 2/1/27(5) | 458 | $ 409,373 | |
Audacy Capital Corp., 6.75%, 3/31/29(5) | 261 | 19,810 | |
Beasley Mezzanine Holdings, LLC, 8.625%, 2/1/26(5) | 308 | 200,585 | |
CCO Holdings, LLC/CCO Holdings Capital Corp.: | |||
4.25%, 2/1/31(5) | 338 | 277,199 | |
4.50%, 8/15/30(5) | 343 | 288,394 | |
4.75%, 3/1/30(5) | 322 | 277,489 | |
4.75%, 2/1/32(5) | 139 | 115,174 | |
5.375%, 6/1/29(5) | 110 | 101,009 | |
6.375%, 9/1/29(5) | 253 | 240,669 | |
Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28(5) | 237 | 180,099 | |
CMG Media Corp., 8.875%, 12/15/27(5) | 308 | 239,171 | |
DISH Network Corp., 11.75%, 11/15/27(5) | 160 | 151,320 | |
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(5) | 205 | 175,814 | |
McGraw-Hill Education, Inc.: | |||
5.75%, 8/1/28(5) | 84 | 74,686 | |
8.00%, 8/1/29(5) | 275 | 236,748 | |
National CineMedia, LLC: | |||
5.75%, 8/15/26(12) | 189 | 5,902 | |
5.875%, 4/15/28(5)(12) | 245 | 88,506 | |
Outfront Media Capital, LLC/Outfront Media Capital Corp.: | |||
4.625%, 3/15/30(5) | 54 | 45,639 | |
6.25%, 6/15/25(5) | 137 | 137,290 | |
Sirius XM Radio, Inc.: | |||
3.125%, 9/1/26(5) | 125 | 112,004 | |
3.875%, 9/1/31(5) | 126 | 95,356 | |
5.00%, 8/1/27(5) | 218 | 200,770 | |
Summer (BC) Holdco A S.a.r.l., 9.25%, 10/31/27(7) | EUR | 129 | 115,150 |
Summer (BC) Holdco B S.a.r.l., 5.75%, 10/31/26(7) | EUR | 400 | 384,851 |
Townsquare Media, Inc., 6.875%, 2/1/26(5) | 141 | 131,611 |
Security | Principal Amount (000's omitted)* | Value | |
Media (continued) | |||
Univision Communications, Inc., 7.375%, 6/30/30(5) | 142 | $ 136,398 | |
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(7) | GBP | 200 | 207,293 |
$ 4,648,310 | |||
Metals & Mining — 1.5% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 598 | $ 605,254 | |
BWX Technologies, Inc.: | |||
4.125%, 6/30/28(5) | 159 | 146,302 | |
4.125%, 4/15/29(5) | 118 | 106,921 | |
Cleveland-Cliffs, Inc., 6.75%, 3/15/26(5) | 460 | 468,424 | |
Constellium SE, 3.125%, 7/15/29(7) | EUR | 100 | 91,001 |
Eldorado Gold Corp., 6.25%, 9/1/29(5) | 251 | 233,660 | |
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 267 | 251,038 | |
Hudbay Minerals, Inc.: | |||
4.50%, 4/1/26(5) | 204 | 190,162 | |
6.125%, 4/1/29(5) | 96 | 89,878 | |
New Gold, Inc., 7.50%, 7/15/27(5) | 347 | 334,817 | |
Novelis Corp., 3.25%, 11/15/26(5) | 89 | 81,574 | |
Novelis Sheet Ingot GmbH, 3.375%, 4/15/29(7) | EUR | 200 | 190,741 |
Permian Resources Operating, LLC, 5.375%, 1/15/26(5) | 225 | 215,004 | |
Roller Bearing Co. of America, Inc., 4.375%, 10/15/29(5) | 253 | 229,804 | |
TMS International Corp., 6.25%, 4/15/29(5) | 196 | 152,146 | |
$ 3,386,726 | |||
Oil and Gas — 0.0%(6) | |||
Petroleos Mexicanos, 6.50%, 3/13/27 | 100 | $ 89,843 | |
$ 89,843 | |||
Oil, Gas & Consumable Fuels — 2.3% | |||
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(5) | 555 | $ 539,530 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.00%, 5/1/29(5) | 173 | 163,612 | |
CVR Energy, Inc., 5.75%, 2/15/28(5) | 439 | 392,848 | |
EnLink Midstream Partners, L.P., Series C, 8.976%, (3 mo. USD LIBOR + 4.11%)(9)(11) | 145 | 121,989 | |
EQT Corp.: | |||
5.00%, 1/15/29 | 53 | 50,798 | |
6.125%, 2/1/25 | 69 | 69,287 | |
7.00%, 2/1/30 | 102 | 107,741 | |
Nabors Industries, Ltd., 7.50%, 1/15/28(5) | 118 | 107,528 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(5) | 200 | 197,414 | |
Occidental Petroleum Corp., 6.625%, 9/1/30 | 254 | 271,396 | |
Odebrecht Oil & Gas Finance, Ltd., 0.00%(5)(9) | 862 | 862 |
Security | Principal Amount (000's omitted)* | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Parkland Corp.: | |||
4.50%, 10/1/29(5) | 110 | $ 96,512 | |
4.625%, 5/1/30(5) | 202 | 175,999 | |
Permian Resources Operating, LLC: | |||
5.875%, 7/1/29(5) | 260 | 246,304 | |
7.75%, 2/15/26(5) | 190 | 192,344 | |
Plains All American Pipeline, L.P., Series B, 8.974%, (3 mo. USD LIBOR + 4.11%)(9)(11) | 327 | 291,030 | |
Precision Drilling Corp.: | |||
6.875%, 1/15/29(5) | 152 | 139,608 | |
7.125%, 1/15/26(5) | 99 | 96,269 | |
Shelf Drilling Holdings, Ltd.: | |||
8.25%, 2/15/25(5) | 245 | 223,253 | |
8.875%, 11/15/24(5) | 71 | 71,071 | |
Southwestern Energy Co., 4.75%, 2/1/32 | 194 | 171,334 | |
Sunoco, L.P./Sunoco Finance Corp.: | |||
4.50%, 5/15/29 | 209 | 188,531 | |
4.50%, 4/30/30 | 226 | 201,962 | |
Tap Rock Resources, LLC, 7.00%, 10/1/26(5) | 292 | 280,847 | |
Targa Resources Partners, L.P./Targa Resources Partners Finance Corp.: | |||
4.00%, 1/15/32 | 169 | 148,690 | |
4.875%, 2/1/31 | 37 | 34,903 | |
5.50%, 3/1/30 | 36 | 35,103 | |
Transocean Poseidon, Ltd., 6.875%, 2/1/27(5) | 147 | 143,619 | |
Transocean, Inc., 8.75%, 2/15/30(5) | 88 | 88,880 | |
Wintershall Dea Finance 2 B.V., 2.499% to 4/20/26(7)(9)(10) | EUR | 500 | 466,151 |
$ 5,315,415 | |||
Passenger Airlines — 0.6% | |||
Air Canada, 3.875%, 8/15/26(5) | 101 | $ 93,621 | |
Air France-KLM: | |||
7.25%, 5/31/26(7) | EUR | 200 | 224,895 |
8.125%, 5/31/28(7) | EUR | 300 | 335,406 |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(5) | 314 | 308,707 | |
5.75%, 4/20/29(5) | 144 | 137,027 | |
United Airlines, Inc., 4.625%, 4/15/29(5) | 193 | 174,873 | |
$ 1,274,529 | |||
Pharmaceuticals — 0.9% | |||
BellRing Brands, Inc., 7.00%, 3/15/30(5) | 336 | $ 344,527 | |
Cheplapharm Arzneimittel GmbH, 8.024%, (3 mo. EURIBOR + 4.75%), 5/15/30(7)(11)(13) | EUR | 300 | 327,264 |
Security | Principal Amount (000's omitted)* | Value | |
Pharmaceuticals (continued) | |||
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(5)(12) | 200 | $ 142,500 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo US, Inc., 6.125%, 4/1/29(5)(12) | 247 | 173,295 | |
Gruenenthal GmbH, 6.75%, 5/15/30(7) | EUR | 200 | 221,616 |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(5) | 217 | 207,995 | |
Option Care Health, Inc., 4.375%, 10/31/29(5) | 140 | 126,006 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(5) | 253 | 202,670 | |
Perrigo Finance Unlimited Co., 4.40%, 6/15/30 | 400 | 361,647 | |
$ 2,107,520 | |||
Pipelines — 1.1% | |||
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: | |||
5.75%, 3/1/27(5) | 102 | $ 98,801 | |
7.875%, 5/15/26(5) | 109 | 112,028 | |
Cheniere Energy Partners, L.P., 4.00%, 3/1/31 | 233 | 208,692 | |
Cheniere Energy, Inc., 4.625%, 10/15/28 | 239 | 228,030 | |
DT Midstream, Inc., 4.125%, 6/15/29(5) | 172 | 152,627 | |
Energy Transfer, L.P.: | |||
5.00%, 5/15/50 | 136 | 115,610 | |
Series B, 6.625% to 2/15/28(9)(10) | 147 | 112,866 | |
EQM Midstream Partners, L.P.: | |||
4.50%, 1/15/29(5) | 364 | 309,814 | |
6.00%, 7/1/25(5) | 43 | 42,301 | |
6.50%, 7/1/27(5) | 116 | 113,255 | |
7.50%, 6/1/30(5) | 126 | 122,435 | |
Kinetik Holdings, L.P., 5.875%, 6/15/30(5) | 237 | 227,292 | |
New Fortress Energy, Inc., 6.50%, 9/30/26(5) | 307 | 283,088 | |
Venture Global Calcasieu Pass, LLC, 3.875%, 8/15/29(5) | 146 | 131,298 | |
Western Midstream Operating, L.P.: | |||
4.30%, 2/1/30 | 207 | 189,138 | |
4.50%, 3/1/28 | 27 | 25,793 | |
4.75%, 8/15/28 | 24 | 23,057 | |
$ 2,496,125 | |||
Real Estate Investment Trusts (REITs) — 0.6% | |||
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.75%, 9/15/30(5) | 151 | $ 118,823 | |
6.00%, 4/15/25(5) | 127 | 123,600 | |
Heimstaden Bostad AB: | |||
3.00% to 10/29/27(7)(9)(10) | EUR | 315 | 193,661 |
3.375% to 1/15/26(7)(9)(10) | EUR | 100 | 62,705 |
Security | Principal Amount (000's omitted)* | Value | |
Real Estate Investment Trusts (REITs) (continued) | |||
VICI Properties, L.P./VICI Note Co., Inc.: | |||
3.75%, 2/15/27(5) | 27 | $ 25,268 | |
4.125%, 8/15/30(5) | 198 | 176,793 | |
4.25%, 12/1/26(5) | 300 | 286,229 | |
4.50%, 9/1/26(5) | 100 | 95,226 | |
4.625%, 12/1/29(5) | 66 | 61,378 | |
5.625%, 5/1/24(5) | 200 | 199,212 | |
$ 1,342,895 | |||
Semiconductors & Semiconductor Equipment — 0.1% | |||
ON Semiconductor Corp., 3.875%, 9/1/28(5) | 258 | $ 232,522 | |
$ 232,522 | |||
Software — 0.6% | |||
Athenahealth Group, Inc., 6.50%, 2/15/30(5) | 306 | $ 251,626 | |
Black Knight InfoServ, LLC, 3.625%, 9/1/28(5) | 152 | 137,560 | |
Clarivate Science Holdings Corp., 4.875%, 7/1/29(5) | 182 | 164,123 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(5) | 169 | 145,376 | |
Fair Isaac Corp., 4.00%, 6/15/28(5) | 165 | 153,950 | |
Open Text Corp., 3.875%, 2/15/28(5) | 37 | 32,851 | |
Open Text Holdings, Inc., 4.125%, 2/15/30(5) | 37 | 31,651 | |
Playtika Holding Corp., 4.25%, 3/15/29(5) | 303 | 257,823 | |
SS&C Technologies, Inc., 5.50%, 9/30/27(5) | 296 | 286,903 | |
$ 1,461,863 | |||
Specialty Retail — 2.3% | |||
Arko Corp., 5.125%, 11/15/29(5) | 259 | $ 210,101 | |
Asbury Automotive Group, Inc.: | |||
4.625%, 11/15/29(5) | 27 | 24,062 | |
4.75%, 3/1/30 | 228 | 202,609 | |
5.00%, 2/15/32(5) | 28 | 24,153 | |
Bath & Body Works, Inc.: | |||
6.625%, 10/1/30(5) | 45 | 43,250 | |
6.75%, 7/1/36 | 80 | 71,312 | |
6.95%, 3/1/33 | 168 | 148,398 | |
7.60%, 7/15/37 | 75 | 66,707 | |
9.375%, 7/1/25(5) | 31 | 33,211 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(5) | 457 | 465,098 | |
Dufry One B.V., 3.375%, 4/15/28(7) | EUR | 479 | 468,762 |
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28(5) | 204 | 204,467 | |
Ferrellgas, L.P./Ferrellgas Finance Corp., 5.875%, 4/1/29(5) | 151 | 127,736 | |
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(5) | 100 | 87,647 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(5) | 203 | 180,333 |
Security | Principal Amount (000's omitted)* | Value | |
Specialty Retail (continued) | |||
IRB Holding Corp., 7.00%, 6/15/25(5) | 98 | $ 99,298 | |
Ken Garff Automotive, LLC, 4.875%, 9/15/28(5) | 155 | 135,526 | |
Kohl's Corp., 3.625%, 5/1/31 | 169 | 115,441 | |
LCM Investments Holdings II, LLC, 4.875%, 5/1/29(5) | 257 | 219,353 | |
Lithia Motors, Inc., 3.875%, 6/1/29(5) | 86 | 74,565 | |
Macy's Retail Holdings, LLC, 5.875%, 4/1/29(5) | 73 | 66,936 | |
Midco GB SASU, 7.75%, (7.75% cash or 8.50% PIK), 11/1/27(7)(8) | EUR | 285 | 287,725 |
Patrick Industries, Inc., 7.50%, 10/15/27(5) | 30 | 29,521 | |
PetSmart, Inc./PetSmart Finance Corp.: | |||
4.75%, 2/15/28(5) | 250 | 236,577 | |
7.75%, 2/15/29(5) | 264 | 260,577 | |
Punch Finance PLC, 6.125%, 6/30/26(7) | GBP | 340 | 368,681 |
Sonic Automotive, Inc.: | |||
4.625%, 11/15/29(5) | 172 | 144,487 | |
4.875%, 11/15/31(5) | 143 | 115,611 | |
SRS Distribution, Inc., 6.00%, 12/1/29(5) | 77 | 62,818 | |
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., 5.00%, 6/1/31(5) | 135 | 118,358 | |
Superior Plus, L.P./Superior General Partner, Inc., 4.50%, 3/15/29(5) | 254 | 225,240 | |
Victoria's Secret & Co., 4.625%, 7/15/29(5) | 132 | 106,892 | |
Yum! Brands, Inc., 3.625%, 3/15/31 | 340 | 300,767 | |
$ 5,326,219 | |||
Technology Hardware, Storage & Peripherals — 0.7% | |||
Almaviva-The Italian Innovation Co. SpA, 4.875%, 10/30/26(7) | EUR | 305 | $ 317,175 |
Booz Allen Hamilton, Inc.: | |||
3.875%, 9/1/28(5) | 410 | 376,101 | |
4.00%, 7/1/29(5) | 97 | 88,198 | |
NCR Corp.: | |||
5.125%, 4/15/29(5) | 69 | 59,761 | |
5.25%, 10/1/30(5) | 104 | 87,543 | |
Presidio Holdings, Inc., 8.25%, 2/1/28(5) | 158 | 148,939 | |
Science Applications International Corp., 4.875%, 4/1/28(5) | 260 | 245,658 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29 | 52 | 45,163 | |
9.625%, 12/1/32(5) | 248 | 272,678 | |
$ 1,641,216 | |||
Telecommunications — 1.4% | |||
Ciena Corp., 4.00%, 1/31/30(5) | 117 | $ 102,916 |
Security | Principal Amount (000's omitted)* | Value | |
Telecommunications (continued) | |||
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(5) | 421 | $ 401,791 | |
Rogers Communications, Inc., 5.25% to 3/15/27, 3/15/82(5)(10) | 25 | 22,614 | |
Sprint Capital Corp., 6.875%, 11/15/28 | 305 | 329,090 | |
Sprint, LLC, 7.875%, 9/15/23 | 375 | 378,373 | |
Telecom Italia SpA: | |||
2.75%, 4/15/25(7) | EUR | 140 | 146,362 |
4.00%, 4/11/24(7) | EUR | 200 | 217,901 |
6.875%, 2/15/28(7) | EUR | 100 | 110,916 |
Telefonica Europe B.V., 7.125% to 8/23/28(7)(9)(10) | EUR | 200 | 224,750 |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26 | 132 | 122,962 | |
2.625%, 2/15/29 | 74 | 65,462 | |
2.875%, 2/15/31 | 99 | 85,884 | |
4.75%, 2/1/28 | 170 | 169,312 | |
Viasat, Inc., 5.625%, 4/15/27(5) | 61 | 56,639 | |
Vodafone Group PLC: | |||
2.625% to 5/27/26, 8/27/80(7)(10) | EUR | 220 | 218,450 |
4.875% to 7/3/25, 10/3/78(7)(10) | GBP | 215 | 257,548 |
Wp/ap Telecom Holdings III B.V., 5.50%, 1/15/30(7) | EUR | 259 | 234,086 |
$ 3,145,056 | |||
Transportation — 0.2% | |||
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(5) | 249 | $ 223,774 | |
Seaspan Corp., 5.50%, 8/1/29(5) | 213 | 170,664 | |
$ 394,438 | |||
Wireless Telecommunication Services — 0.2% | |||
Iliad Holding SASU, 6.50%, 10/15/26(5) | 258 | $ 248,482 | |
Sprint, LLC, 7.625%, 3/1/26 | 157 | 166,391 | |
$ 414,873 | |||
Total Corporate Bonds (identified cost $91,334,592) | $ 82,121,875 |
Preferred Stocks — 1.0% |
Security | Shares | Value | |
Banks — 0.1% | |||
Farm Credit Bank of Texas, 6.75% to 9/15/23(5)(10) | 669 | $ 65,478 | |
JPMorgan Chase & Co., Series LL, 4.625% | 4,150 | 89,059 | |
$ 154,537 |
Security | Shares | Value | |
Capital Markets — 0.1% | |||
Affiliated Managers Group, Inc., 4.75% | 5,486 | $ 109,391 | |
KKR Group Finance Co. IX, LLC, 4.625% | 7,175 | 136,827 | |
Stifel Financial Corp., Series D, 4.50% | 4,600 | 75,348 | |
$ 321,566 | |||
Electric Utilities — 0.1% | |||
Brookfield BRP Holdings Canada, Inc., 4.625% | 7,000 | $ 112,840 | |
SCE Trust III, Series H, 5.75% to 3/15/24(10) | 4,892 | 104,689 | |
SCE Trust IV, Series J, 5.375% to 9/15/25(10) | 1,911 | 38,889 | |
SCE Trust V, Series K, 5.45% to 3/15/26(10) | 3,551 | 79,116 | |
SCE Trust VI, 5.00% | 357 | 7,065 | |
$ 342,599 | |||
Insurance — 0.1% | |||
American Equity Investment Life Holding Co., Series B, 6.625% to 9/1/25(10) | 2,718 | $ 64,906 | |
Arch Capital Group, Ltd., Series G, 4.55% | 7,143 | 137,002 | |
$ 201,908 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
Energy Transfer, L.P.: | |||
Series C, 7.375% to 5/30/23(10) | 3,000 | $ 71,760 | |
Series E, 7.60% to 5/15/24(10) | 4,970 | 114,907 | |
NuStar Energy, L.P., Series B, 10.945% (3 mo. USD LIBOR + 5.643%)(11) | 11,260 | 259,768 | |
$ 446,435 | |||
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 6,429 | $ 80,363 | |
Series A2, 6.375% | 8,191 | 113,691 | |
$ 194,054 | |||
Retail REITs — 0.0%(6) | |||
SITE Centers Corp., Series A, 6.375% | 4,730 | $ 115,128 | |
$ 115,128 | |||
Trading Companies & Distributors — 0.2% | |||
WESCO International, Inc., Series A, 10.625% to 6/22/25(10) | 12,788 | $ 347,834 | |
$ 347,834 |
Security | Shares | Value | |
Wireless Telecommunication Services — 0.1% | |||
United States Cellular Corp., 5.50% | 11,360 | $ 171,877 | |
$ 171,877 | |||
Total Preferred Stocks (identified cost $2,836,261) | $ 2,295,938 |
Senior Floating-Rate Loans — 1.2%(14) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Airlines — 0.3% | |||
Air Canada, Term Loan, 8.369%, (3 mo. USD LIBOR + 3.50%), 8/11/28 | $ | 202 | $ 202,375 |
Mileage Plus Holdings, LLC, Term Loan, 10.213%, (3 mo. USD LIBOR + 5.25%), 6/21/27 | 362 | 377,576 | |
$ 579,951 | |||
Apparel & Luxury Goods — 0.1% | |||
Hanesbrands, Inc., Term Loan, 3/8/30(15) | $ | 175 | $ 174,344 |
$ 174,344 | |||
Auto Components — 0.0%(6) | |||
Clarios Global, L.P., Term Loan, 4/26/30(15) | $ | 58 | $ 57,927 |
$ 57,927 | |||
Health Care — 0.1% | |||
Pluto Acquisition I, Inc., Term Loan, 8.953%, (3 mo. USD LIBOR + 4.00%), 6/22/26 | $ | 189 | $ 137,971 |
$ 137,971 | |||
Health Care Technology — 0.1% | |||
Verscend Holding Corp., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 8/27/25 | $ | 255 | $ 254,700 |
$ 254,700 | |||
Hotels, Restaurants & Leisure — 0.1% | |||
Spectacle Gary Holdings, LLC, Term Loan, 9.275%, (1 mo. USD LIBOR + 4.25%), 12/10/28 | $ | 195 | $ 189,515 |
$ 189,515 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
IT Services — 0.1% | |||
Travelport Finance (Luxembourg) S.a.r.l., Term Loan, 13.775%, (1 mo. USD LIBOR + 8.75%), 6.525% cash, 7.25% PIK, 2/28/25 | $ | 241 | $ 244,167 |
$ 244,167 | |||
Leisure Products — 0.1% | |||
Peloton Interactive, Inc., Term Loan, 11.757%, (SOFR + 6.50%), 5/25/27 | $ | 139 | $ 139,019 |
$ 139,019 | |||
Software — 0.0%(6) | |||
GoTo Group, Inc., Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 8/31/27 | $ | 0 (16) | $ 58 |
Riverbed Technology, Inc., Term Loan, 12.84%, (3 mo. USD LIBOR + 8.00%), 10.84% cash, 2.00% PIK, 12/7/26 | 137 | 43,727 | |
$ 43,785 | |||
Specialty Retail — 0.2% | |||
Michaels Companies, Inc., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 4/15/28 | $ | 181 | $ 166,001 |
PetSmart, Inc., Term Loan, 8.832%, (SOFR + 3.75%), 2/11/28 | 380 | 378,292 | |
$ 544,293 | |||
Trading Companies & Distributors — 0.1% | |||
Spin Holdco, Inc., Term Loan, 8.986%, (3 mo. USD LIBOR + 4.00%), 3/4/28 | $ | 294 | $ 245,716 |
$ 245,716 | |||
Total Senior Floating-Rate Loans (identified cost $2,764,287) | $ 2,611,388 |
Miscellaneous — 0.0%(6) |
Security | Principal Amount/ Shares | Value | |
Diversified Financial Services — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(1)(17) | 400,000 | $ 0 | |
$ 0 | |||
Transportation — 0.0%(6) | |||
Hertz Corp., Escrow Certificates(1) | $ | 58,000 | $ 4,640 |
Security | Principal Amount/ Shares | Value | |
Transportation (continued) | |||
Hertz Corp., Escrow Certificates(1) | $ | 167,000 | $ 5,845 |
Hertz Corp., Escrow Certificates(1) | $ | 110,000 | 3,850 |
$ 14,335 | |||
Total Miscellaneous (identified cost $61,182) | $ 14,335 |
Short-Term Investments — 1.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(18) | 2,855,589 | $ 2,855,589 | |
Total Short-Term Investments (identified cost $2,855,589) | $ 2,855,589 | ||
Total Investments — 98.2% (identified cost $190,401,157) | $225,888,716 | ||
Other Assets, Less Liabilities — 1.8% | $ 4,034,399 | ||
Net Assets — 100.0% | $229,923,115 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Non-income producing security. |
(2) | Securities are traded on separate exchanges for the same entity. |
(3) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(4) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
(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, 2023, the aggregate value of these securities is $50,189,492 or 21.8% of the Portfolio's net assets. |
(6) | Amount is less than 0.05%. |
(7) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $17,569,490 or 7.6% of the Portfolio's net assets. |
(8) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(9) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(10) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(11) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(12) | Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. |
(13) | When-issued security. |
(14) | 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 London Interbank Offered Rate (“LIBOR”) or 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. |
(15) | This Senior Loan will settle after April 30, 2023, at which time the interest rate will be determined. |
(16) | Principal amount is less than $500. |
(17) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(18) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Country Concentration of Portfolio | ||
Country | Percentage of Total Investments | Value |
United States | 59.7% | $134,778,594 |
United Kingdom | 6.6 | 14,935,812 |
Germany | 5.5 | 12,364,628 |
Switzerland | 4.4 | 9,881,484 |
France | 4.1 | 9,189,021 |
Spain | 3.4 | 7,590,767 |
Netherlands | 2.1 | 4,779,459 |
Denmark | 2.0 | 4,619,555 |
Canada | 2.0 | 4,448,815 |
Sweden | 1.7 | 3,917,690 |
Norway | 1.1 | 2,594,461 |
Finland | 1.0 | 2,370,037 |
Japan | 1.0 | 2,163,468 |
Luxembourg | 0.9 | 2,006,734 |
Taiwan | 0.7 | 1,492,279 |
Italy | 0.6 | 1,434,987 |
Australia | 0.6 | 1,357,467 |
Bermuda | 0.5 | 1,232,145 |
United Arab Emirates | 0.4 | 1,026,213 |
India | 0.4 | 982,492 |
Belgium | 0.4 | 852,901 |
Hong Kong | 0.3 | 658,372 |
Mexico | 0.1 | 274,638 |
Poland | 0.1 | 250,582 |
Turkey | 0.1 | 233,660 |
China | 0.1 | 167,723 |
South Africa | 0.1 | 144,519 |
Ireland | 0.1 | 139,351 |
Brazil | 0.0 (1) | 862 |
Total Investments | 100.0% | $225,888,716 |
(1) | Amount is less than 0.05%. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-Mini S&P 500 Index | 81 | Long | 6/16/23 | $16,963,425 | $ 1,194,393 |
Nikkei 225 Index | 12 | Long | 6/8/23 | 2,550,938 | 126,190 |
STOXX Europe 600 Bank Index | (436) | Short | 6/16/23 | (3,541,960) | (77,336) |
STOXX Europe 600 Index | (375) | Short | 6/16/23 | (9,588,600) | (482,938) |
STOXX Europe 600 Insurance Index | (331) | Short | 6/16/23 | (5,994,322) | (218,160) |
$ 542,149 |
Abbreviations: | |
ADR | – American Depositary Receipt |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
PC | – Participation Certificate |
PIK | – Payment In Kind |
REITs | – Real Estate Investment Trusts |
SOFR | – Secured Overnight Financing Rate |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $187,545,568) | $ 223,033,127 |
Affiliated investment, at value (identified cost $2,855,589) | 2,855,589 |
Foreign currency, at value (identified cost $674,822) | 673,541 |
Interest and dividends receivable | 2,067,362 |
Dividends receivable from affiliated investment | 10,789 |
Receivable for investments sold | 1,016,738 |
Receivable for variation margin on open futures contracts | 363,004 |
Tax reclaims receivable | 1,236,160 |
Total assets | $231,256,310 |
Liabilities | |
Payable for investments purchased | $ 477,393 |
Payable for when-issued securities | 327,264 |
Due to custodian | 235,898 |
Payable to affiliate: | |
Investment adviser fee | 102,981 |
Trustees' fees | 1,244 |
Accrued foreign capital gains taxes | 35,127 |
Accrued expenses | 153,288 |
Total liabilities | $ 1,333,195 |
Net Assets applicable to investors' interest in Portfolio | $229,923,115 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $530,508) | $ 3,463,447 |
Dividend income from affiliated investment | 49,456 |
Interest and other income (net of foreign taxes withheld of $5,995) | 2,656,828 |
Total investment income | $ 6,169,731 |
Expenses | |
Investment adviser fee | $ 619,250 |
Trustees’ fees and expenses | 7,273 |
Custodian fee | 54,654 |
Legal and accounting services | 34,307 |
Miscellaneous | 13,097 |
Total expenses | $ 728,581 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 1,862 |
Total expense reductions | $ 1,862 |
Net expenses | $ 726,719 |
Net investment income | $ 5,443,012 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $15,926) | $ (971,599) |
Futures contracts | (165,131) |
Foreign currency transactions | (8,577) |
Forward foreign currency exchange contracts | 8,642 |
Net realized loss | $ (1,136,665) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $3,291) | $ 18,951,478 |
Futures contracts | 542,149 |
Foreign currency | 132,348 |
Net change in unrealized appreciation (depreciation) | $19,625,975 |
Net realized and unrealized gain | $18,489,310 |
Net increase in net assets from operations | $23,932,322 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 5,443,012 | $ 10,362,002 |
Net realized loss | (1,136,665) | (4,517,226) |
Net change in unrealized appreciation (depreciation) | 19,625,975 | (56,620,025) |
Net increase (decrease) in net assets from operations | $ 23,932,322 | $ (50,775,249) |
Capital transactions: | ||
Contributions | $ 1,463,630 | $ 6,061,895 |
Withdrawals | (16,877,164) | (40,558,475) |
Portfolio transaction fee | 14,600 | 116,357 |
Net decrease in net assets from capital transactions | $ (15,398,934) | $ (34,380,223) |
Net increase (decrease) in net assets | $ 8,533,388 | $ (85,155,472) |
Net Assets | ||
At beginning of period | $ 221,389,727 | $ 306,545,199 |
At end of period | $229,923,115 | $221,389,727 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.65% (1)(2) | 0.64% (2) | 0.65% | 0.66% | 0.70% | 0.75% |
Net investment income | 4.83% (1) | 3.94% | 3.01% | 4.12% | 4.72% | 3.47% |
Portfolio Turnover | 36% (3) | 59% | 60% | 118% | 86% | 102% |
Total Return | 11.26% (3) | (17.42)% | 29.74% | 2.64% | 11.57% | (1.00)% |
Net assets, end of period (000’s omitted) | $229,923 | $221,390 | $306,545 | $263,095 | $302,020 | $323,437 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(3) | Not annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.550% |
$500 million but less than $1 billion | 0.525% |
$1 billion but less than $2.5 billion | 0.500% |
$2.5 billion and over | 0.475% |
Aggregate cost | $ 192,092,860 |
Gross unrealized appreciation | $ 46,539,449 |
Gross unrealized depreciation | (12,201,444) |
Net unrealized appreciation | $ 34,338,005 |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Futures contracts | $1,320,583 (1) | $(778,434) (1) |
(1) | Only the current day's variation margin on open futures contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Risk | Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Equity Price | Futures contracts | $ (165,131) | $ 542,149 |
Foreign Exchange | Forward foreign currency exchange contracts | 8,642 | — |
Total | $(156,489) | $542,149 |
(1) | Statement of Operations location: Net realized gain (loss): Futures contracts and Forward foreign currency exchange contracts, respectively. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Futures contracts. |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* |
$8,133,000 | $8,129,000 | $124,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $1,319,217 | $31,402,069 | $(29,865,697) | $ — | $ — | $2,855,589 | $49,456 | 2,855,589 |
• | 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 |
Common Stocks: | ||||
Communication Services | $ 4,899,804 | $ 2,814,080 | $ — | $ 7,713,884 |
Consumer Discretionary | 7,867,030 | 8,561,575 | — | 16,428,605 |
Consumer Staples | 5,373,194 | 4,538,673 | — | 9,911,867 |
Energy | 6,126,093 | — | — | 6,126,093 |
Financials | 7,789,326 | 22,256,130 | — | 30,045,456 |
Health Care | 11,144,588 | 8,929,800 | — | 20,074,388 |
Industrials | 4,150,267 | 12,426,919 | — | 16,577,186 |
Information Technology | 15,869,476 | 5,031,217 | — | 20,900,693 |
Materials | — | 4,860,713 | — | 4,860,713 |
Real Estate | 755,301 | — | — | 755,301 |
Utilities | 1,264,905 | 835,383 | — | 2,100,288 |
Total Common Stocks | $ 65,239,984 | $ 70,254,490** | $ — | $ 135,494,474 |
Convertible Bonds | $ — | $ 494,485 | $ — | $ 494,485 |
Convertible Preferred Stocks | — | 632 | — | 632 |
Corporate Bonds | — | 82,121,875 | — | 82,121,875 |
Preferred Stocks: | ||||
Communication Services | 171,877 | — | — | 171,877 |
Energy | 446,435 | — | — | 446,435 |
Financials | 612,533 | 65,478 | — | 678,011 |
Asset Description (continued) | Level 1 | Level 2 | Level 3* | Total |
Industrials | $ 347,834 | $ — | $ — | $ 347,834 |
Real Estate | 309,182 | — | — | 309,182 |
Utilities | 342,599 | — | — | 342,599 |
Total Preferred Stocks | $ 2,230,460 | $ 65,478 | $ — | $ 2,295,938 |
Senior Floating-Rate Loans | $ — | $ 2,611,388 | $ — | $ 2,611,388 |
Miscellaneous | — | 14,335 | 0 | 14,335 |
Short-Term Investments | 2,855,589 | — | — | 2,855,589 |
Total Investments | $ 70,326,033 | $ 155,562,683 | $ 0 | $ 225,888,716 |
Futures Contracts | $ 1,194,393 | $ 126,190 | $ — | $ 1,320,583 |
Total | $ 71,520,426 | $ 155,688,873 | $ 0 | $ 227,209,299 |
Liability Description | ||||
Futures Contracts | $ (778,434) | $ — | $ — | $ (778,434) |
Total | $ (778,434) | $ — | $ — | $ (778,434) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
** | 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. |
Officers of Eaton Vance Global Income Builder Fund | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer | |
Officers of Global Income Builder Portfolio | |
R. Kelly Williams, Jr. President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Global Income Builder Fund and Global Income Builder Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
125 Old Broad St.
London, EC2N 1AR
United Kingdom
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 06/27/2007 | 06/27/2007 | 18.72% | 8.30% | 0.35% | (0.19)% |
Class A with 3.25% Maximum Sales Charge | — | — | 14.80 | 4.69 | (0.31) | (0.51) |
Class C at NAV | 08/03/2010 | 06/27/2007 | 18.51 | 7.60 | (0.37) | (0.76) |
Class C with 1% Maximum Deferred Sales Charge | — | — | 17.51 | 6.64 | (0.37) | (0.76) |
Class I at NAV | 11/30/2009 | 06/27/2007 | 19.27 | 8.62 | 0.65 | 0.11 |
J.P. Morgan Government Bond Index: Emerging Markets (JPM GBI-EM) Global Diversified (Unhedged) | — | — | 16.06% | 6.56% | (1.62)% | (1.77)% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
1.19% | 1.89% | 0.89% |
Asset Allocation (% of net assets)1 |
Foreign Currency Exposures (% of net assets)2 | |
Indonesia | 13.4% |
Malaysia | 12.0 |
Brazil | 11.9 |
Mexico | 10.1 |
Thailand | 9.7 |
Czech Republic | 6.6 |
Poland | 6.1 |
Dominican Republic | 5.9 |
China | 4.7 |
Romania | 4.5 |
South Africa | 4.4 |
Hungary | 4.2 |
Serbia | 4.1 |
Ukraine | 4.0 |
South Korea | 3.9 |
Colombia | 3.5 |
Uzbekistan | 2.9 |
Chile | 2.2 |
Peru | 2.2 |
India | 1.9 |
Uruguay | 1.0 |
Other | 1.3 3 |
Euro | -5.8 |
Total Long | 120.5% |
Total Short | -5.8% |
Total Net | 114.7% |
1 | Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets. |
2 | Currency exposures include all foreign exchange denominated assets and currency derivatives. Total exposures may exceed 100% due to implicit leverage created by derivatives. |
3 | Includes amounts each less than 1.0% or –1.0%, as applicable. |
1 | J.P. Morgan Government Bond Index: Emerging Markets (JPM GBI-EM) Global Diversified (Unhedged) is an unmanaged index of local-currency bonds with maturities of more than one year issued by emerging markets governments. Information has been obtained from sources believed to be reliable but J.P. Morgan does not warrant its completeness or accuracy. The Index is used with permission. The Index may not be copied, used, or distributed without J.P. Morgan’s prior written approval. Copyright 2021, J.P. Morgan Chase & Co. All rights reserved. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Additional Information | |
Effective June 30, 2023, the portfolio managers of the Fund and the Portfolio will be Patrick Campbell and Brian Shaw. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,187.20 | $6.18 | 1.14% |
Class C | $1,000.00 | $1,185.10 | $9.97 | 1.84% |
Class I | $1,000.00 | $1,192.70 | $4.57 | 0.84% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.14 | $5.71 | 1.14% |
Class C | $1,000.00 | $1,015.67 | $9.20 | 1.84% |
Class I | $1,000.00 | $1,020.63 | $4.21 | 0.84% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
April 30, 2023 | |
Assets | |
Investment in Emerging Markets Local Income Portfolio, at value (identified cost $1,086,506,092) | $ 965,203,280 |
Receivable for Fund shares sold | 2,323,909 |
Total assets | $ 967,527,189 |
Liabilities | |
Payable for Fund shares redeemed | $ 16,594,859 |
Payable to affiliates: | |
Distribution and service fees | 59,352 |
Trustees' fees | 43 |
Accrued expenses | 240,015 |
Total liabilities | $ 16,894,269 |
Net Assets | $ 950,632,920 |
Sources of Net Assets | |
Paid-in capital | $1,013,118,934 |
Accumulated loss | (62,486,014) |
Net Assets | $ 950,632,920 |
Class A Shares | |
Net Assets | $ 114,039,424 |
Shares Outstanding | 31,703,000 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 3.60 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 3.72 |
Class C Shares | |
Net Assets | $ 38,276,766 |
Shares Outstanding | 10,524,735 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 3.64 |
Class I Shares | |
Net Assets | $ 798,316,730 |
Shares Outstanding | 222,042,026 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 3.60 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio | $ 1,566,217 |
Interest income allocated from Portfolio (net of foreign taxes withheld of $510,176) | 31,684,382 |
Expenses allocated from Portfolio | (3,388,209) |
Total investment income from Portfolio | $ 29,862,390 |
Expenses | |
Distribution and service fees: | |
Class A | $ 151,000 |
Class C | 183,160 |
Trustees’ fees and expenses | 250 |
Custodian fee | 29,425 |
Transfer and dividend disbursing agent fees | 286,312 |
Legal and accounting services | 20,183 |
Printing and postage | 119,019 |
Registration fees | 36,775 |
Miscellaneous | 8,911 |
Total expenses | $ 835,035 |
Net investment income | $ 29,027,355 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $47,214) | $ (45,685,776) |
Futures contracts | 375,715 |
Swap contracts | (12,799,144) |
Foreign currency transactions | 1,694,418 |
Forward foreign currency exchange contracts | 45,810,357 |
Non-deliverable bond forward contracts | 5,199,050 |
Net realized loss | $ (5,405,380) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $300,361) | $ 115,720,993 |
Written options | 79,420 |
Futures contracts | (360,057) |
Swap contracts | 14,508,249 |
Foreign currency | 1,560,939 |
Forward foreign currency exchange contracts | (2,717,856) |
Non-deliverable bond forward contracts | (463,529) |
Net change in unrealized appreciation (depreciation) | $128,328,159 |
Net realized and unrealized gain | $122,922,779 |
Net increase in net assets from operations | $151,950,134 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 29,027,355 | $ 67,348,981 |
Net realized loss | (5,405,380) | (151,462,363) |
Net change in unrealized appreciation (depreciation) | 128,328,159 | (164,327,604) |
Net increase (decrease) in net assets from operations | $151,950,134 | $ (248,440,986) |
Distributions to shareholders: | ||
Class A | $ (6,182,005) | $ — |
Class C | (2,099,703) | — |
Class I | (48,825,748) | — |
Total distributions to shareholders | $ (57,107,456) | $ — |
Tax return of capital to shareholders: | ||
Class A | $ — | $ (13,947,887) |
Class C | — | (5,086,599) |
Class I | — | (114,849,166) |
Total tax return of capital to shareholders | $ — | $ (133,883,652) |
Transactions in shares of beneficial interest: | ||
Class A | $ 15,939,931 | $ (17,218,330) |
Class C | 348,522 | (9,079,577) |
Class I | 9,710,593 | (183,103,782) |
Net increase (decrease) in net assets from Fund share transactions | $ 25,999,046 | $ (209,401,689) |
Net increase (decrease) in net assets | $120,841,724 | $ (591,726,327) |
Net Assets | ||
At beginning of period | $ 829,791,196 | $1,421,517,523 |
At end of period | $950,632,920 | $ 829,791,196 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 3.220 | $ 4.590 | $ 5.030 | $ 5.760 | $ 5.190 | $ 6.310 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.106 | $ 0.234 | $ 0.228 | $ 0.286 | $ 0.363 | $ 0.408 |
Net realized and unrealized gain (loss) | 0.487 | (1.125) | (0.168) | (0.293) | 0.759 | (0.970) |
Total income (loss) from operations | $ 0.593 | $ (0.891) | $ 0.060 | $ (0.007) | $ 1.122 | $ (0.562) |
Less Distributions | ||||||
From net investment income | $ (0.213) | $ — | $ (0.123) | $ (0.198) | $ (0.552) | $ — |
Tax return of capital | — | (0.479) | (0.377) | (0.525) | — | (0.558) |
Total distributions | $ (0.213) | $ (0.479) | $ (0.500) | $ (0.723) | $ (0.552) | $ (0.558) |
Net asset value — End of period | $ 3.600 | $ 3.220 | $ 4.590 | $ 5.030 | $ 5.760 | $ 5.190 |
Total Return(2) | 18.72% (3) | (20.47)% | 1.06% | (0.31)% (4) | 22.64% (4) | (9.65)% (4) |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $114,039 | $87,883 | $145,043 | $129,954 | $152,308 | $107,550 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 1.14% (6)(7) | 1.19% (7) | 1.16% | 1.20% (4) | 1.20% (4) | 1.23% (4)(8) |
Net investment income | 6.08% (6) | 5.99% | 4.53% | 5.40% | 6.57% | 6.84% |
Portfolio Turnover of the Portfolio | 32% (3) | 33% | 56% | 56% | 46% | 52% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.02%, 0.02% and 0.09% of average daily net assets for the years ended October 31, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(8) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.02% of average daily net assets for the year ended October 31, 2018. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 3.260 | $ 4.650 | $ 5.080 | $ 5.820 | $ 5.240 | $ 6.380 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.095 | $ 0.209 | $ 0.194 | $ 0.250 | $ 0.328 | $ 0.373 |
Net realized and unrealized gain (loss) | 0.487 | (1.142) | (0.154) | (0.298) | 0.770 | (0.992) |
Total income (loss) from operations | $ 0.582 | $ (0.933) | $ 0.040 | $ (0.048) | $ 1.098 | $ (0.619) |
Less Distributions | ||||||
From net investment income | $ (0.202) | $ — | $ (0.115) | $ (0.190) | $ (0.518) | $ — |
Tax return of capital | — | (0.457) | (0.355) | (0.502) | — | (0.521) |
Total distributions | $ (0.202) | $ (0.457) | $ (0.470) | $ (0.692) | $ (0.518) | $ (0.521) |
Net asset value — End of period | $ 3.640 | $ 3.260 | $ 4.650 | $ 5.080 | $ 5.820 | $ 5.240 |
Total Return(2) | 18.51% (3) | (21.31)% | 0.46% | (0.90)% (4) | 21.87% (4) | (10.42)% (4) |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $38,277 | $33,976 | $58,639 | $59,169 | $62,869 | $44,416 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 1.84% (6)(7) | 1.89% (7) | 1.86% | 1.90% (4) | 1.90% (4) | 1.93% (4)(8) |
Net investment income | 5.38% (6) | 5.28% | 3.82% | 4.68% | 5.88% | 6.17% |
Portfolio Turnover of the Portfolio | 32% (3) | 33% | 56% | 56% | 46% | 52% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.02%, 0.02% and 0.09% of average daily net assets for the years ended October 31, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(8) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.02% of average daily net assets for the year ended October 31, 2018. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 3.220 | $ 4.590 | $ 5.020 | $ 5.760 | $ 5.190 | $ 6.310 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.111 | $ 0.246 | $ 0.243 | $ 0.301 | $ 0.381 | $ 0.427 |
Net realized and unrealized gain (loss) | 0.487 | (1.126) | (0.158) | (0.302) | 0.757 | (0.971) |
Total income (loss) from operations | $ 0.598 | $ (0.880) | $ 0.085 | $ (0.001) | $ 1.138 | $ (0.544) |
Less Distributions | ||||||
From net investment income | $ (0.218) | $ — | $ (0.127) | $ (0.202) | $ (0.568) | $ — |
Tax return of capital | — | (0.490) | (0.388) | (0.537) | — | (0.576) |
Total distributions | $ (0.218) | $ (0.490) | $ (0.515) | $ (0.739) | $ (0.568) | $ (0.576) |
Net asset value — End of period | $ 3.600 | $ 3.220 | $ 4.590 | $ 5.020 | $ 5.760 | $ 5.190 |
Total Return(2) | 19.27% (3) | (20.48)% | 1.36% | (0.01)% (4) | 23.00% (4) | (9.38)% (4) |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $798,317 | $707,932 | $1,217,836 | $983,273 | $938,608 | $555,630 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 0.84% (6)(7) | 0.89% (7) | 0.86% | 0.90% (4) | 0.90% (4) | 0.93% (4)(8) |
Net investment income | 6.37% (6) | 6.28% | 4.86% | 5.68% | 6.90% | 7.15% |
Portfolio Turnover of the Portfolio | 32% (3) | 33% | 56% | 56% | 46% | 52% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.02%, 0.02% and 0.09% of average daily net assets for the years ended October 31, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(8) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.02% of average daily net assets for the year ended October 31, 2018. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.650% |
$1 billion but less than $2 billion | 0.625% |
$2 billion but less than $5 billion | 0.600% |
$5 billion and over | 0.575% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 7,089,491 | $ 25,307,112 | 8,744,229 | $ 34,415,385 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,607,138 | 5,664,268 | 3,336,364 | 12,695,340 | |
Redemptions | (4,283,502) | (15,031,449) | (16,356,773) | (64,329,055) | |
Net increase (decrease) | 4,413,127 | $ 15,939,931 | (4,276,180) | $ (17,218,330) | |
Class C | |||||
Sales | 923,249 | $ 3,299,346 | 1,633,628 | $ 6,788,155 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 568,822 | 2,025,137 | 1,277,313 | 4,922,131 | |
Redemptions | (1,403,261) | (4,975,961) | (5,096,503) | (20,789,863) | |
Net increase (decrease) | 88,810 | $ 348,522 | (2,185,562) | $ (9,079,577) |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Sales | 78,348,492 | $ 278,018,258 | 103,149,612 | $ 411,448,840 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 12,838,619 | 45,199,497 | 27,991,737 | 106,732,653 | |
Redemptions | (89,112,410) | (313,507,162) | (176,382,555) | (701,285,275) | |
Net increase (decrease) | 2,074,701 | $ 9,710,593 | (45,241,206) | $(183,103,782) |
Foreign Corporate Bonds — 2.3% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 0.7% | |||
Simpar Finance S.a.r.l., 10.75%, 2/12/28(1) | BRL | 53,195 | $ 7,946,350 |
$ 7,946,350 | |||
Colombia — 0.3% | |||
Patrimonio Autonomo Union del Sur, 6.66%, 2/28/41(2) | COP | 18,185,000 | $ 3,343,400 |
$ 3,343,400 | |||
Mexico — 0.0%(3) | |||
Petroleos Mexicanos, 7.19%, 9/12/24(2) | MXN | 10,630 | $ 549,100 |
$ 549,100 | |||
Peru — 1.1% | |||
Alicorp SAA, 6.875%, 4/17/27(1) | PEN | 25,530 | $ 6,509,416 |
Telefonica del Peru SAA, 7.375%, 4/10/27(2) | PEN | 24,500 | 5,552,708 |
$ 12,062,124 | |||
Uzbekistan — 0.2% | |||
International Finance Corp., 16.00%, 2/21/25 | UZS | 27,000,000 | $ 2,420,177 |
$ 2,420,177 | |||
Total Foreign Corporate Bonds (identified cost $23,235,342) | $ 26,321,151 |
Loan Participation Notes — 1.9% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 1.9% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(1)(4)(5) | UZS | 159,708,000 | $ 13,977,097 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(1)(4)(5) | UZS | 84,486,000 | 7,389,660 |
Total Loan Participation Notes (identified cost $24,451,264) | $ 21,366,757 |
Sovereign Government Bonds — 79.8% |
Security | Principal Amount (000's omitted) | Value | |
Argentina — 0.1% | |||
Provincia de Cordoba, 6.875%, 12/10/25(1) | USD | 1,276 | $ 1,062,867 |
$ 1,062,867 | |||
Armenia — 0.7% | |||
Republic of Armenia, 7.15%, 3/26/25(1) | USD | 5,828 | $ 5,923,235 |
Republic of Armenia Treasury Bond, 9.75%, 10/29/52 | AMD | 781,610 | 1,747,431 |
$ 7,670,666 | |||
Azerbaijan — 0.3% | |||
Republic of Azerbaijan, 4.75%, 3/18/24(1) | USD | 3,142 | $ 3,120,226 |
$ 3,120,226 | |||
Bahrain — 0.2% | |||
CBB International Sukuk Programme Co. WLL, 6.25%, 11/14/24(1) | USD | 2,624 | $ 2,643,685 |
$ 2,643,685 | |||
Benin — 0.0%(3) | |||
Benin Government International Bond, 5.75%, 3/26/26(1) | EUR | 316 | $ 341,411 |
$ 341,411 | |||
Bolivia — 0.2% | |||
Bolivian Government International Bond, 5.95%, 8/22/23(1) | USD | 2,984 | $ 2,718,212 |
$ 2,718,212 | |||
Bosnia and Herzegovina — 0.1% | |||
Republic of Srpska: | |||
1.50%, 6/30/23 | BAM | 32 | $ 18,275 |
1.50%, 10/30/23 | BAM | 88 | 49,428 |
1.50%, 12/15/23 | BAM | 5 | 2,690 |
1.50%, 5/31/25 | BAM | 1,669 | 929,943 |
1.50%, 6/9/25 | BAM | 160 | 89,382 |
1.50%, 12/24/25 | BAM | 174 | 97,358 |
1.50%, 9/25/26 | BAM | 145 | 81,441 |
1.50%, 9/26/27 | BAM | 55 | 30,345 |
$ 1,298,862 |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 0.4% | |||
Nota do Tesouro Nacional, 10.00%, 1/1/27 | BRL | 22,375 | $ 4,266,208 |
$ 4,266,208 | |||
Colombia — 0.6% | |||
Republic of Colombia, 4.00%, 2/26/24 | USD | 3,429 | $ 3,372,178 |
Titulos De Tesoreria B: | |||
6.00%, 4/28/28 | COP | 18,865,200 | 3,226,600 |
10.00%, 7/24/24 | COP | 3,528,300 | 743,064 |
$ 7,341,842 | |||
Czech Republic — 3.3% | |||
Czech Republic Government Bond: | |||
0.95%, 5/15/30(1) | CZK | 140,000 | $ 5,120,519 |
2.00%, 10/13/33 | CZK | 308,750 | 11,432,767 |
2.50%, 8/25/28(1) | CZK | 509,740 | 21,374,488 |
$ 37,927,774 | |||
Dominican Republic — 5.7% | |||
Dominican Republic: | |||
8.00%, 1/15/27(1) | DOP | 111,360 | $ 1,790,490 |
8.00%, 2/12/27(1) | DOP | 568,540 | 9,098,036 |
12.00%, 8/8/25(2) | DOP | 836,870 | 15,274,336 |
12.75%, 9/23/29(2) | DOP | 377,800 | 7,675,600 |
13.00%, 1/30/26(1) | DOP | 105,090 | 1,977,399 |
13.00%, 6/9/34(1) | DOP | 312,000 | 6,607,773 |
13.625%, 2/3/33(2) | DOP | 512,000 | 11,130,349 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(1) | DOP | 36,140 | 578,041 |
12.00%, 10/3/25(2) | DOP | 221,270 | 4,038,299 |
13.00%, 12/5/25(2) | DOP | 383,340 | 7,239,195 |
$ 65,409,518 | |||
El Salvador — 0.2% | |||
Republic of El Salvador: | |||
5.875%, 1/30/25(1) | USD | 543 | $ 453,760 |
6.375%, 1/18/27(1) | USD | 2,040 | 1,286,592 |
$ 1,740,352 | |||
Honduras — 0.1% | |||
Honduras Government International Bond, 7.50%, 3/15/24(1) | USD | 1,109 | $ 1,098,465 |
$ 1,098,465 |
Security | Principal Amount (000's omitted) | Value | |
Hungary — 1.1% | |||
Hungary Government Bond: | |||
2.25%, 4/20/33 | HUF | 1,715,000 | $ 3,231,661 |
3.00%, 4/25/41 | HUF | 1,331,520 | 2,225,089 |
3.25%, 10/22/31 | HUF | 2,700,000 | 5,777,597 |
4.00%, 4/28/51 | HUF | 524,540 | 928,999 |
$ 12,163,346 | |||
India — 2.1% | |||
India Government Bond, 7.10%, 4/18/29 | INR | 1,929,150 | $ 23,615,177 |
$ 23,615,177 | |||
Indonesia — 9.7% | |||
Indonesia Government Bond: | |||
6.375%, 4/15/32 | IDR | 161,300,000 | $ 10,881,648 |
6.50%, 2/15/31 | IDR | 335,135,000 | 22,846,521 |
7.00%, 2/15/33 | IDR | 61,564,000 | 4,340,178 |
7.125%, 6/15/42 | IDR | 54,928,000 | 3,820,660 |
7.125%, 6/15/43 | IDR | 307,987,000 | 21,472,068 |
7.375%, 5/15/48 | IDR | 19,717,000 | 1,395,377 |
7.50%, 8/15/32 | IDR | 70,753,000 | 5,103,717 |
7.50%, 5/15/38 | IDR | 232,589,000 | 16,685,684 |
7.50%, 4/15/40 | IDR | 45,427,000 | 3,261,578 |
8.25%, 6/15/32 | IDR | 11,609,000 | 873,231 |
8.25%, 5/15/36 | IDR | 242,576,000 | 18,468,682 |
8.375%, 4/15/39 | IDR | 22,764,000 | 1,759,718 |
9.50%, 5/15/41 | IDR | 5,702,000 | 487,010 |
$111,396,072 | |||
Ivory Coast — 0.2% | |||
Ivory Coast Government International Bond, 5.125%, 6/15/25(1) | EUR | 1,726 | $ 1,861,237 |
$ 1,861,237 | |||
Jordan — 0.4% | |||
Kingdom of Jordan, 4.95%, 7/7/25(1) | USD | 4,503 | $ 4,346,498 |
$ 4,346,498 | |||
Malaysia — 5.4% | |||
Malaysia Government Bond: | |||
3.733%, 6/15/28 | MYR | 7,900 | $ 1,786,492 |
3.757%, 5/22/40 | MYR | 17,415 | 3,744,587 |
3.828%, 7/5/34 | MYR | 130,100 | 28,930,080 |
4.065%, 6/15/50 | MYR | 25,800 | 5,580,291 |
4.254%, 5/31/35 | MYR | 27,750 | 6,357,536 |
Security | Principal Amount (000's omitted) | Value | |
Malaysia (continued) | |||
Malaysia Government Bond: (continued) | |||
4.642%, 11/7/33 | MYR | 25,940 | $ 6,213,040 |
4.696%, 10/15/42 | MYR | 36,069 | 8,801,819 |
$ 61,413,845 | |||
Mexico — 9.3% | |||
Mexican Bonos: | |||
7.50%, 6/3/27 | MXN | 148,017 | $ 7,792,617 |
7.75%, 5/29/31 | MXN | 149,400 | 7,803,791 |
7.75%, 11/13/42 | MXN | 230,000 | 11,180,165 |
8.50%, 5/31/29 | MXN | 178,520 | 9,780,651 |
8.50%, 11/18/38 | MXN | 410,469 | 21,677,482 |
10.00%, 11/20/36 | MXN | 22,074 | 1,338,866 |
Mexican Udibonos, 4.00%, 11/30/28 | MXN | 862,824 | 46,765,181 |
$106,338,753 | |||
North Macedonia — 0.6% | |||
North Macedonia Government International Bond: | |||
2.75%, 1/18/25(1) | EUR | 913 | $ 951,880 |
3.675%, 6/3/26(1) | EUR | 600 | 613,307 |
5.625%, 7/26/23(1) | EUR | 4,592 | 5,075,456 |
$ 6,640,643 | |||
Oman — 0.3% | |||
Oman Government International Bond, 4.875%, 2/1/25(1) | USD | 3,173 | $ 3,148,320 |
$ 3,148,320 | |||
Paraguay — 0.2% | |||
Republic of Paraguay, 5.00%, 4/15/26(1) | USD | 2,830 | $ 2,818,602 |
$ 2,818,602 | |||
Peru — 3.1% | |||
Peru Government Bond: | |||
5.40%, 8/12/34 | PEN | 7,309 | $ 1,664,365 |
5.94%, 2/12/29 | PEN | 4,380 | 1,118,124 |
6.15%, 8/12/32 | PEN | 43,186 | 10,670,765 |
6.714%, 2/12/55 | PEN | 4,100 | 996,432 |
6.85%, 2/12/42 | PEN | 19,284 | 4,844,719 |
6.90%, 8/12/37 | PEN | 8,763 | 2,228,148 |
6.95%, 8/12/31 | PEN | 52,423 | 13,795,936 |
$ 35,318,489 |
Security | Principal Amount (000's omitted) | Value | |
Romania — 5.3% | |||
Romania Government International Bond: | |||
2.75%, 2/26/26(1) | EUR | 2,755 | $ 2,878,026 |
3.624%, 5/26/30(1) | EUR | 2,755 | 2,606,786 |
Romanian Government Bond: | |||
2.50%, 10/25/27 | RON | 70,650 | 13,096,890 |
3.25%, 6/24/26 | RON | 57,650 | 11,597,135 |
4.15%, 1/26/28 | RON | 48,045 | 9,493,492 |
4.85%, 4/22/26 | RON | 32,030 | 6,778,683 |
5.80%, 7/26/27 | RON | 16,020 | 3,420,021 |
8.75%, 10/30/28 | RON | 45,610 | 10,876,687 |
$ 60,747,720 | |||
Serbia — 4.0% | |||
Serbia Treasury Bond: | |||
4.50%, 1/11/26 | RSD | 1,114,580 | $ 10,241,242 |
4.50%, 8/20/32 | RSD | 3,298,130 | 26,701,049 |
5.875%, 2/8/28 | RSD | 970,810 | 9,251,037 |
$ 46,193,328 | |||
Seychelles — 0.1% | |||
Republic of Seychelles, 8.00%, 1/1/26(1) | USD | 590 | $ 590,090 |
$ 590,090 | |||
South Africa — 15.6% | |||
Republic of South Africa: | |||
8.00%, 1/31/30 | ZAR | 253,800 | $ 12,432,974 |
8.25%, 3/31/32 | ZAR | 147,394 | 6,873,149 |
8.50%, 1/31/37 | ZAR | 369,200 | 15,897,593 |
8.75%, 1/31/44 | ZAR | 408,487 | 16,972,559 |
8.75%, 2/28/48 | ZAR | 231,000 | 9,513,399 |
9.00%, 1/31/40 | ZAR | 334,480 | 14,528,418 |
10.50%, 12/21/26 | ZAR | 831,768 | 47,783,971 |
10.50%, 12/21/26 | ZAR | 951,395 | 54,656,360 |
$178,658,423 | |||
Suriname — 0.5% | |||
Republic of Suriname: | |||
9.25%, 10/26/26(1)(6) | USD | 7,107 | $ 5,102,826 |
12.875%, 12/30/23(2)(6) | USD | 1,055 | 783,338 |
$ 5,886,164 | |||
Thailand — 4.4% | |||
Thailand Government Bond: | |||
1.585%, 12/17/35 | THB | 528,144 | $ 13,767,159 |
Security | Principal Amount (000's omitted) | Value | |
Thailand (continued) | |||
Thailand Government Bond: (continued) | |||
1.60%, 12/17/29 | THB | 200,000 | $ 5,609,879 |
3.30%, 6/17/38 | THB | 594,751 | 18,331,277 |
3.40%, 6/17/36 | THB | 205,000 | 6,441,312 |
4.875%, 6/22/29 | THB | 183,489 | 6,184,924 |
$ 50,334,551 | |||
Ukraine — 2.9% | |||
Ukraine Government Bond: | |||
9.79%, 5/26/27 | UAH | 914,377 | $ 12,021,690 |
9.99%, 5/22/24 | UAH | 589,859 | 11,123,503 |
10.00%, 8/23/23 | UAH | 38,483 | 853,474 |
10.95%, 11/1/23 | UAH | 31,964 | 666,447 |
11.67%, 11/22/23 | UAH | 118,929 | 2,448,074 |
12.52%, 5/13/26 | UAH | 9,710 | 141,846 |
15.84%, 2/26/25 | UAH | 187,932 | 3,469,130 |
16.00%, 5/24/23 | UAH | 98,697 | 2,451,041 |
$ 33,175,205 | |||
United Arab Emirates — 0.2% | |||
Sharjah Sukuk, Ltd., 3.764%, 9/17/24(1) | USD | 2,747 | $ 2,696,862 |
$ 2,696,862 | |||
Uruguay — 1.3% | |||
Uruguay Government Bond, 3.875%, 7/2/40(7) | UYU | 512,617 | $ 14,053,897 |
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24 | UYU | 38,225 | 871,345 |
$ 14,925,242 | |||
Uzbekistan — 0.4% | |||
Republic of Uzbekistan: | |||
4.75%, 2/20/24(1) | USD | 3,100 | $ 3,061,895 |
14.00%, 7/19/24(1) | UZS | 10,590,000 | 914,469 |
14.50%, 11/25/23(1) | UZS | 11,470,000 | 1,009,241 |
$ 4,985,605 | |||
Vietnam — 0.3% | |||
Vietnam Government International Bond, 4.80%, 11/19/24(1) | USD | 3,124 | $ 3,062,629 |
$ 3,062,629 | |||
Zambia — 0.5% | |||
Zambia Government Bond: | |||
11.00%, 1/25/26 | ZMW | 100,560 | $ 4,480,074 |
Security | Principal Amount (000's omitted) | Value | |
Zambia (continued) | |||
Zambia Government Bond: (continued) | |||
11.00%, 12/27/26 | ZMW | 21,670 | $ 864,655 |
$ 5,344,729 | |||
Total Sovereign Government Bonds (identified cost $1,032,290,242) | $912,301,618 |
Short-Term Investments — 9.7% |
Affiliated Fund — 6.9% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(8) | 79,394,253 | $ 79,394,253 | |
Total Affiliated Fund (identified cost $79,394,253) | $ 79,394,253 |
U.S. Treasury Obligations — 2.8% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 5/2/23(9) | $ | 23,382 | $ 23,379,604 |
0.00%, 5/30/23(9) | 8,318 | 8,290,178 | |
Total U.S. Treasury Obligations (identified cost $31,666,852) | $ 31,669,782 | ||
Total Short-Term Investments (identified cost $111,061,105) | $111,064,035 |
Total Purchased Options — 0.1% (identified cost $1,400,693) | $ 1,654,847 | ||
Total Investments — 93.8% (identified cost $1,192,438,646) | $1,072,708,408 | ||
Total Written Options — (0.0)%(3) (premiums received $271,199) | $ (179,093) | ||
Other Assets, Less Liabilities — 6.2% | $ 70,963,282 | ||
Net Assets — 100.0% | $1,143,492,597 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $141,755,846 or 12.4% of the Portfolio's net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $55,586,325 or 4.9% of the Portfolio's net assets. |
(3) | Amount is less than 0.05% or (0.05)%, as applicable. |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(5) | Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower. |
(6) | Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(7) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(8) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
(9) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Currency Options (OTC) — 0.1% | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call BRL vs. Put USD (Digital Option) | Goldman Sachs International | USD | 2,960,000 | BRL | 4.80 | 6/6/23 | $ 468,704 |
Call BRL vs. Put USD (Digital Option) | Citibank, N.A. | USD | 2,070,000 | BRL | 4.80 | 9/6/23 | 477,224 |
Call MXN vs. Put USD (Digital Option) | JPMorgan Chase Bank, N.A. | USD | 190,000 | MXN | 17.50 | 7/7/23 | 33,383 |
Call USD vs. Put CNH | Barclays Bank PLC | USD | 25,800,000 | CNH | 7.00 | 1/18/24 | 245,823 |
Call USD vs. Put CNH | Goldman Sachs International | USD | 45,100,000 | CNH | 7.00 | 1/18/24 | 429,713 |
Total | $1,654,847 |
Written Currency Options (OTC) — (0.0)%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 45,100,000 | CNH | 7.50 | 1/18/24 | $(113,922) |
Call USD vs. Put CNH | Goldman Sachs International | USD | 25,800,000 | CNH | 7.50 | 1/18/24 | (65,171) |
Total | $(179,093) |
(1) | Amount is less than (0.05)%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
BRL | 356,856,897 | USD | 68,679,024 | 5/3/23 | $ 2,866,927 |
BRL | 91,932,000 | USD | 17,448,716 | 5/3/23 | 982,656 |
BRL | 53,195,005 | USD | 10,502,469 | 5/3/23 | 162,555 |
BRL | 4,368,393 | USD | 869,401 | 5/3/23 | 6,414 |
USD | 1,337,743 | BRL | 6,800,000 | 5/3/23 | (25,584) |
USD | 2,648,915 | BRL | 13,800,000 | 5/3/23 | (117,836) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 21,909,778 | BRL | 111,056,283 | 5/3/23 | $ (355,807) |
USD | 22,070,113 | BRL | 112,061,000 | 5/3/23 | (396,906) |
USD | 10,237,664 | BRL | 53,195,005 | 5/3/23 | (427,360) |
USD | 41,350,445 | BRL | 209,440,006 | 5/3/23 | (640,012) |
BRL | 108,567,728 | USD | 20,678,583 | 6/2/23 | 955,906 |
BRL | 28,500,000 | USD | 5,620,725 | 6/2/23 | 58,521 |
BRL | 37,503,326 | USD | 7,125,629 | 6/9/23 | 338,250 |
COP | 182,882,094,077 | USD | 37,703,139 | 6/21/23 | 796,139 |
COP | 158,000,000 | USD | 34,404 | 6/21/23 | (1,143) |
COP | 7,893,340,000 | USD | 1,690,252 | 6/21/23 | (28,591) |
COP | 5,060,000,000 | USD | 1,104,071 | 6/21/23 | (38,869) |
EUR | 211,851,386 | USD | 227,823,063 | 6/21/23 | 6,269,100 |
EUR | 10,518,605 | USD | 11,311,613 | 6/21/23 | 311,266 |
EUR | 5,389,535 | USD | 5,913,398 | 6/21/23 | 41,946 |
EUR | 3,845,440 | USD | 4,219,216 | 6/21/23 | 29,929 |
KRW | 864,000,000 | USD | 670,308 | 6/21/23 | (22,657) |
KRW | 1,202,000,000 | USD | 925,477 | 6/21/23 | (24,462) |
KRW | 1,201,000,000 | USD | 925,270 | 6/21/23 | (25,005) |
KRW | 1,334,400,000 | USD | 1,032,626 | 6/21/23 | (32,364) |
KRW | 2,392,000,000 | USD | 1,830,292 | 6/21/23 | (37,258) |
KRW | 10,279,000,000 | USD | 7,974,645 | 6/21/23 | (269,545) |
KRW | 14,299,000,000 | USD | 11,009,478 | 6/21/23 | (291,001) |
KRW | 14,288,000,000 | USD | 11,007,704 | 6/21/23 | (297,472) |
KRW | 15,880,400,000 | USD | 12,289,048 | 6/21/23 | (385,160) |
PEN | 85,638,218 | USD | 22,474,863 | 6/21/23 | 559,697 |
PEN | 16,339,415 | USD | 4,288,110 | 6/21/23 | 106,788 |
USD | 1,562,784 | COP | 7,400,000,000 | 6/21/23 | 4,979 |
USD | 656,627 | COP | 3,170,140,625 | 6/21/23 | (10,733) |
USD | 991,135 | COP | 4,785,121,744 | 6/21/23 | (16,201) |
USD | 1,072,097 | COP | 5,176,000,000 | 6/21/23 | (17,524) |
USD | 1,654,854 | COP | 8,027,000,000 | 6/21/23 | (34,944) |
USD | 2,498,258 | COP | 12,118,000,000 | 6/21/23 | (52,753) |
USD | 2,702,151 | COP | 13,107,000,000 | 6/21/23 | (57,059) |
USD | 756,404 | EUR | 703,376 | 6/21/23 | (20,814) |
USD | 1,234,917 | EUR | 1,148,342 | 6/21/23 | (33,982) |
USD | 1,939,018 | EUR | 1,803,082 | 6/21/23 | (53,357) |
USD | 2,863,359 | EUR | 2,682,077 | 6/21/23 | (100,291) |
USD | 16,458,000 | EUR | 15,000,000 | 6/21/23 | (116,744) |
USD | 5,918,916 | EUR | 5,503,967 | 6/21/23 | (162,873) |
USD | 7,117,125 | EUR | 6,618,174 | 6/21/23 | (195,845) |
USD | 8,851,370 | EUR | 8,230,839 | 6/21/23 | (243,567) |
USD | 10,817,942 | EUR | 10,133,144 | 6/21/23 | (379,009) |
USD | 43,338,167 | EUR | 40,299,918 | 6/21/23 | (1,192,554) |
USD | 47,468,418 | EUR | 44,140,615 | 6/21/23 | (1,306,208) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 51,009,157 | EUR | 47,433,128 | 6/21/23 | $ (1,403,640) |
USD | 2,097,996 | INR | 172,600,000 | 6/21/23 | (8,497) |
USD | 1,356,877 | KRW | 1,752,000,000 | 6/21/23 | 43,585 |
USD | 1,649,747 | KRW | 2,150,000,000 | 6/21/23 | 38,115 |
USD | 108,758 | PEN | 416,000 | 6/21/23 | (3,136) |
USD | 360,325 | PEN | 1,377,000 | 6/21/23 | (10,054) |
USD | 1,648,215 | PEN | 6,276,734 | 6/21/23 | (40,071) |
USD | 1,628,039 | PEN | 6,208,200 | 6/21/23 | (41,813) |
USD | 3,643,449 | PEN | 13,883,000 | 6/21/23 | (90,734) |
USD | 3,688,267 | PEN | 14,070,000 | 6/21/23 | (96,215) |
USD | 4,271,407 | PEN | 16,339,415 | 6/21/23 | (123,491) |
USD | 4,722,368 | PEN | 18,030,000 | 6/21/23 | (127,256) |
USD | 5,113,119 | PEN | 19,527,000 | 6/21/23 | (139,161) |
USD | 7,899,049 | PEN | 30,081,157 | 6/21/23 | (192,038) |
USD | 17,438,139 | PEN | 66,525,735 | 6/21/23 | (455,636) |
CLP | 16,058,200,000 | USD | 19,768,805 | 6/22/23 | (7,654) |
CLP | 8,707,766,480 | USD | 10,733,765 | 6/22/23 | (18,025) |
USD | 1,407,368 | CLP | 1,153,000,000 | 6/22/23 | (11,509) |
BRL | 111,056,283 | USD | 21,651,775 | 7/5/23 | 353,386 |
IDR | 53,943,000,000 | USD | 3,452,668 | 7/11/23 | 220,924 |
IDR | 42,270,700,000 | USD | 2,695,062 | 7/11/23 | 183,631 |
IDR | 33,816,000,000 | USD | 2,157,334 | 7/11/23 | 145,582 |
IDR | 33,816,300,000 | USD | 2,159,736 | 7/11/23 | 143,201 |
USD | 2,471,594 | IDR | 37,653,000,000 | 7/11/23 | (92,627) |
USD | 3,018,893 | IDR | 46,020,000,000 | 7/11/23 | (115,132) |
USD | 5,258,970 | IDR | 80,173,000,000 | 7/11/23 | (200,921) |
KRW | 2,054,000,000 | USD | 1,566,002 | 7/21/23 | (23,346) |
IDR | 753,419,070,901 | USD | 49,089,200 | 7/25/23 | 2,209,024 |
IDR | 218,580,000,000 | USD | 14,465,917 | 7/25/23 | 416,592 |
IDR | 152,609,745,797 | USD | 9,986,242 | 7/25/23 | 404,534 |
IDR | 117,442,835,000 | USD | 7,652,016 | 7/25/23 | 344,342 |
IDR | 52,000,000,000 | USD | 3,417,012 | 7/25/23 | 123,525 |
IDR | 67,288,000,000 | USD | 4,516,185 | 7/25/23 | 65,269 |
IDR | 22,000,000,000 | USD | 1,445,922 | 7/25/23 | 51,998 |
IDR | 25,776,900,670 | USD | 1,707,419 | 7/25/23 | 47,659 |
IDR | 36,806,234,416 | USD | 2,478,100 | 7/25/23 | 27,934 |
IDR | 13,411,000,000 | USD | 897,357 | 7/25/23 | 15,761 |
IDR | 13,845,000,000 | USD | 930,231 | 7/25/23 | 12,437 |
USD | 652,767 | IDR | 9,612,510,800 | 7/25/23 | (1,723) |
USD | 1,884,367 | IDR | 27,887,800,000 | 7/25/23 | (14,436) |
USD | 895,768 | IDR | 13,414,300,000 | 7/25/23 | (17,575) |
USD | 2,355,899 | IDR | 34,860,000,000 | 7/25/23 | (17,622) |
USD | 2,828,119 | IDR | 41,831,700,000 | 7/25/23 | (20,086) |
USD | 1,939,205 | IDR | 29,316,907,070 | 7/25/23 | (56,902) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 2,314,050 | IDR | 35,000,000,000 | 7/25/23 | $ (69,004) |
USD | 3,242,199 | IDR | 49,000,000,000 | 7/25/23 | (94,076) |
USD | 3,651,132 | IDR | 55,497,203,972 | 7/25/23 | (127,519) |
USD | 4,103,976 | IDR | 62,442,030,444 | 7/25/23 | (147,530) |
USD | 8,044,487 | IDR | 123,466,461,062 | 7/25/23 | (362,003) |
USD | 7,605,416 | IDR | 117,442,835,000 | 7/25/23 | (390,942) |
USD | 18,819,753 | IDR | 288,844,814,013 | 7/25/23 | (846,893) |
IDR | 37,264,000,000 | USD | 2,494,628 | 7/27/23 | 42,500 |
USD | 3,433,841 | IDR | 51,524,792,000 | 7/27/23 | (74,235) |
BRL | 209,440,006 | USD | 40,649,808 | 8/2/23 | 605,864 |
BRL | 112,061,000 | USD | 21,689,925 | 8/2/23 | 383,946 |
USD | 10,324,516 | BRL | 53,195,006 | 8/2/23 | (153,881) |
BRL | 24,041,694 | USD | 4,482,648 | 9/11/23 | 219,063 |
$ 6,583,072 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 2,829,091 | USD | 3,090,472 | Standard Chartered Bank | 5/5/23 | $ 27,297 | $ — |
EUR | 4,875,000 | USD | 5,380,894 | Standard Chartered Bank | 5/5/23 | — | (8,454) |
CNH | 36,673,000 | USD | 5,465,600 | Citibank, N.A. | 5/8/23 | — | (170,218) |
CNH | 172,050,000 | USD | 25,350,083 | Standard Chartered Bank | 5/8/23 | — | (506,998) |
CNH | 196,980,617 | USD | 29,026,388 | Standard Chartered Bank | 5/8/23 | — | (583,458) |
CNH | 308,250,000 | USD | 45,417,978 | Standard Chartered Bank | 5/8/23 | — | (908,353) |
CNH | 352,921,267 | USD | 52,005,268 | Standard Chartered Bank | 5/8/23 | — | (1,045,355) |
MYR | 32,850,000 | USD | 7,789,898 | Barclays Bank PLC | 5/8/23 | — | (407,046) |
USD | 4,885,873 | CNH | 33,500,000 | Citibank, N.A. | 5/8/23 | 48,655 | — |
USD | 26,967,065 | CNH | 183,005,516 | Standard Chartered Bank | 5/8/23 | 542,063 | — |
USD | 23,558,412 | CNH | 159,890,000 | Standard Chartered Bank | 5/8/23 | 471,165 | — |
USD | 16,218,394 | CNH | 110,062,235 | Standard Chartered Bank | 5/8/23 | 326,005 | — |
USD | 14,166,873 | CNH | 96,150,000 | Standard Chartered Bank | 5/8/23 | 283,336 | — |
USD | 3,894,086 | CNH | 26,426,280 | Standard Chartered Bank | 5/8/23 | 78,275 | — |
USD | 3,400,639 | CNH | 23,080,000 | Standard Chartered Bank | 5/8/23 | 68,012 | — |
USD | 7,369,106 | MYR | 32,850,000 | Barclays Bank PLC | 5/8/23 | — | (13,746) |
MYR | 16,300,000 | USD | 3,685,281 | Goldman Sachs International | 5/10/23 | — | (18,322) |
MYR | 18,800,000 | USD | 4,250,989 | Goldman Sachs International | 5/10/23 | — | (21,613) |
MYR | 104,400,000 | USD | 24,599,435 | Goldman Sachs International | 5/10/23 | — | (1,112,899) |
USD | 4,217,005 | MYR | 18,500,000 | Goldman Sachs International | 5/10/23 | 55,119 | — |
MYR | 16,100,000 | USD | 3,657,345 | Barclays Bank PLC | 5/15/23 | — | (34,383) |
MYR | 39,274,000 | USD | 8,979,172 | Barclays Bank PLC | 5/15/23 | — | (141,395) |
MYR | 6,300,000 | USD | 1,434,263 | Goldman Sachs International | 5/15/23 | — | (16,582) |
MYR | 43,212,000 | USD | 9,870,260 | Goldman Sachs International | 5/15/23 | — | (146,321) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 4,241,752 | MYR | 18,553,000 | Barclays Bank PLC | 5/15/23 | $ 66,795 | $ — |
USD | 4,662,860 | MYR | 20,414,000 | Goldman Sachs International | 5/15/23 | 69,124 | — |
USD | 304,659 | ZMW | 5,986,547 | Standard Chartered Bank | 5/17/23 | — | (31,891) |
TRY | 105,000,000 | USD | 5,092,901 | Standard Chartered Bank | 5/18/23 | 98,711 | — |
EGP | 166,000,000 | USD | 5,150,481 | Citibank, N.A. | 5/22/23 | — | (177,539) |
USD | 986,920 | EGP | 33,200,000 | Citibank, N.A. | 5/22/23 | — | (7,668) |
USD | 3,858,222 | EGP | 132,800,000 | Goldman Sachs International | 5/22/23 | — | (120,131) |
CNH | 22,000,000 | USD | 3,192,769 | Standard Chartered Bank | 5/30/23 | — | (10,543) |
UZS | 7,679,942,541 | USD | 653,612 | ICBC Standard Bank plc | 6/2/23 | 12,378 | — |
MYR | 32,850,000 | USD | 7,387,667 | Barclays Bank PLC | 6/8/23 | 14,594 | — |
USD | 7,100,213 | BRL | 37,503,326 | Goldman Sachs International | 6/9/23 | — | (363,666) |
CZK | 920,001,511 | USD | 41,122,716 | Citibank, N.A. | 6/21/23 | 276,056 | — |
CZK | 50,000,000 | USD | 2,352,592 | Citibank, N.A. | 6/21/23 | — | (1,817) |
CZK | 477,724,994 | USD | 21,353,605 | Standard Chartered Bank | 6/21/23 | 204,932 | — |
CZK | 477,724,995 | USD | 21,353,605 | UBS AG | 6/21/23 | 204,673 | — |
EUR | 1,014,666 | USD | 1,100,659 | Barclays Bank PLC | 6/21/23 | — | (28,952) |
EUR | 3,053,868 | USD | 3,330,703 | BNP Paribas | 6/21/23 | — | (75,949) |
EUR | 1,972,450 | USD | 2,162,497 | Citibank, N.A. | 6/21/23 | — | (22,453) |
EUR | 20,342,842 | USD | 21,456,611 | Citibank, N.A. | 6/21/23 | — | (145,289) |
EUR | 3,164,668 | USD | 3,432,082 | Goldman Sachs International | 6/21/23 | 1,948 | — |
EUR | 3,013,717 | USD | 3,214,279 | Goldman Sachs International | 6/21/23 | — | (20,302) |
EUR | 42,148,984 | USD | 44,821,226 | Goldman Sachs International | 6/21/23 | — | (238,028) |
EUR | 4,027,131 | USD | 4,284,264 | Goldman Sachs International | 6/21/23 | — | (307,413) |
EUR | 4,016,743 | USD | 4,314,582 | JPMorgan Chase Bank, N.A. | 6/21/23 | — | (318,892) |
EUR | 10,128,092 | USD | 10,682,605 | Standard Chartered Bank | 6/21/23 | — | (103,700) |
EUR | 849,891 | USD | 932,374 | UBS AG | 6/21/23 | — | (6,726) |
EUR | 1,341,290 | USD | 1,471,463 | UBS AG | 6/21/23 | — | (11,401) |
EUR | 1,339,793 | USD | 1,469,821 | UBS AG | 6/21/23 | — | (13,337) |
EUR | 10,128,211 | USD | 10,682,730 | UBS AG | 6/21/23 | — | (103,569) |
HUF | 6,260,354,334 | USD | 17,393,775 | Goldman Sachs International | 6/21/23 | 1,177,062 | — |
HUF | 1,100,000,000 | USD | 2,987,425 | Goldman Sachs International | 6/21/23 | 183,242 | — |
HUF | 6,260,354,335 | USD | 17,240,247 | JPMorgan Chase Bank, N.A. | 6/21/23 | 1,221,014 | — |
HUF | 1,067,577,399 | USD | 3,098,375 | UBS AG | 6/21/23 | 27,734 | — |
HUF | 1,081,987,774 | USD | 3,140,197 | UBS AG | 6/21/23 | 24,032 | — |
MXN | 48,000,000 | USD | 2,523,534 | Bank of America, N.A. | 6/21/23 | 119,438 | — |
MXN | 57,223,555 | USD | 3,097,930 | Goldman Sachs International | 6/21/23 | 52,908 | — |
MXN | 31,100,000 | USD | 1,705,400 | Goldman Sachs International | 6/21/23 | 7,026 | — |
MXN | 41,800,000 | USD | 2,301,714 | Goldman Sachs International | 6/21/23 | — | (126) |
MXN | 2,039,732,380 | USD | 111,101,079 | UBS AG | 6/21/23 | 1,210,504 | — |
MYR | 88,709,400 | USD | 19,668,400 | Barclays Bank PLC | 6/21/23 | 340,487 | — |
MYR | 13,337,429 | USD | 2,960,584 | Barclays Bank PLC | 6/21/23 | 47,746 | — |
MYR | 141,660,440 | USD | 31,492,695 | Credit Agricole CIB | 6/21/23 | 459,587 | — |
MYR | 14,000,000 | USD | 3,174,603 | Goldman Sachs International | 6/21/23 | — | (16,827) |
PLN | 152,159,892 | USD | 34,637,686 | Citibank, N.A. | 6/21/23 | 1,005,798 | — |
PLN | 147,660,028 | USD | 33,613,337 | Citibank, N.A. | 6/21/23 | 996,935 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
PLN | 8,182,125 | USD | 1,862,579 | Citibank, N.A. | 6/21/23 | $ 54,085 | $ — |
PLN | 7,940,152 | USD | 1,807,497 | Citibank, N.A. | 6/21/23 | 53,608 | — |
PLN | 3,298,778 | USD | 750,934 | Citibank, N.A. | 6/21/23 | 21,805 | — |
PLN | 3,201,222 | USD | 728,726 | Citibank, N.A. | 6/21/23 | 21,613 | — |
PLN | 9,700,000 | USD | 2,330,106 | Citibank, N.A. | 6/21/23 | 5,631 | — |
RON | 202,671,000 | USD | 43,992,446 | Goldman Sachs International | 6/21/23 | 230,181 | — |
THB | 1,696,682,124 | USD | 49,108,414 | Standard Chartered Bank | 6/21/23 | 818,067 | — |
THB | 1,276,270,000 | USD | 36,741,468 | Standard Chartered Bank | 6/21/23 | 813,988 | — |
THB | 83,500,000 | USD | 2,420,660 | Standard Chartered Bank | 6/21/23 | 36,407 | — |
USD | 2,169,594 | EUR | 1,970,744 | UBS AG | 6/21/23 | — | (8,044) |
USD | 141,871 | MXN | 2,749,000 | Bank of America, N.A. | 6/21/23 | — | (9,494) |
USD | 2,229,226 | MXN | 41,000,000 | Citibank, N.A. | 6/21/23 | — | (28,313) |
USD | 202,031 | MXN | 3,737,000 | Standard Chartered Bank | 6/21/23 | — | (3,736) |
USD | 6,206,291 | MXN | 114,799,000 | Standard Chartered Bank | 6/21/23 | — | (114,763) |
USD | 2,813,803 | MXN | 54,380,000 | Standard Chartered Bank | 6/21/23 | — | (180,464) |
USD | 10,573,925 | MXN | 195,588,000 | Standard Chartered Bank | 6/21/23 | — | (195,526) |
USD | 3,206,526 | MXN | 61,864,000 | Standard Chartered Bank | 6/21/23 | — | (199,825) |
USD | 3,487,220 | MXN | 67,237,000 | Standard Chartered Bank | 6/21/23 | — | (214,978) |
USD | 210,940 | MXN | 3,894,654 | UBS AG | 6/21/23 | — | (3,507) |
USD | 754,933 | MXN | 13,860,000 | UBS AG | 6/21/23 | — | (8,225) |
USD | 6,481,295 | MXN | 119,666,100 | UBS AG | 6/21/23 | — | (107,750) |
USD | 11,042,505 | MXN | 203,881,090 | UBS AG | 6/21/23 | — | (183,579) |
USD | 23,195,829 | MXN | 425,858,000 | UBS AG | 6/21/23 | — | (252,731) |
USD | 39,519,863 | MXN | 725,555,000 | UBS AG | 6/21/23 | — | (430,589) |
USD | 1,236,822 | MYR | 5,571,882 | Barclays Bank PLC | 6/21/23 | — | (19,946) |
USD | 8,216,706 | MYR | 37,059,400 | Barclays Bank PLC | 6/21/23 | — | (142,243) |
USD | 13,156,449 | MYR | 59,180,340 | Credit Agricole CIB | 6/21/23 | — | (191,998) |
USD | 7,315,958 | MYR | 32,000,000 | Goldman Sachs International | 6/21/23 | 98,184 | — |
USD | 3,141,242 | MYR | 13,951,825 | Goldman Sachs International | 6/21/23 | — | (5,668) |
USD | 6,284,184 | THB | 215,000,000 | Standard Chartered Bank | 6/21/23 | — | (42,395) |
USD | 22,524,900 | THB | 778,241,524 | Standard Chartered Bank | 6/21/23 | — | (375,595) |
USD | 3,273,044 | UYU | 127,976,000 | Citibank, N.A. | 6/21/23 | 3,106 | — |
USD | 11,629,890 | ZAR | 212,459,741 | Goldman Sachs International | 6/21/23 | 67,100 | — |
USD | 2,375,874 | ZAR | 42,707,293 | Goldman Sachs International | 6/21/23 | 51,596 | — |
USD | 2,375,215 | ZAR | 42,707,293 | Goldman Sachs International | 6/21/23 | 50,937 | — |
USD | 2,373,652 | ZAR | 42,707,292 | Goldman Sachs International | 6/21/23 | 49,374 | — |
USD | 2,382,590 | ZAR | 42,878,122 | Goldman Sachs International | 6/21/23 | 49,015 | — |
USD | 5,782,043 | ZAR | 106,229,871 | Goldman Sachs International | 6/21/23 | 648 | — |
USD | 1,693,554 | ZAR | 31,380,685 | Goldman Sachs International | 6/21/23 | — | (14,291) |
USD | 1,697,702 | ZAR | 31,473,666 | Goldman Sachs International | 6/21/23 | — | (15,203) |
USD | 1,696,575 | ZAR | 31,473,667 | Goldman Sachs International | 6/21/23 | — | (16,330) |
USD | 1,695,388 | ZAR | 31,473,666 | Goldman Sachs International | 6/21/23 | — | (17,517) |
USD | 12,387,024 | ZAR | 229,525,161 | Goldman Sachs International | 6/21/23 | — | (104,525) |
USD | 12,417,362 | ZAR | 230,205,251 | Goldman Sachs International | 6/21/23 | — | (111,200) |
USD | 12,409,118 | ZAR | 230,205,251 | Goldman Sachs International | 6/21/23 | — | (119,443) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 12,400,441 | ZAR | 230,205,251 | Goldman Sachs International | 6/21/23 | $ — | $ (128,121) |
USD | 16,786,480 | ZAR | 310,801,684 | Goldman Sachs International | 6/21/23 | — | (128,416) |
USD | 11,590,414 | ZAR | 216,782,797 | Goldman Sachs International | 6/21/23 | — | (207,652) |
USD | 49,697,052 | ZAR | 920,140,913 | Goldman Sachs International | 6/21/23 | — | (380,182) |
USD | 10,170,982 | ZAR | 185,000,000 | UBS AG | 6/21/23 | 102,646 | — |
USD | 5,781,453 | ZAR | 106,229,870 | UBS AG | 6/21/23 | 58 | — |
USD | 11,142,844 | ZAR | 207,897,721 | UBS AG | 6/21/23 | — | (171,665) |
ZAR | 116,000,000 | USD | 6,244,269 | Citibank, N.A. | 6/21/23 | 68,850 | — |
ZAR | 29,000,000 | USD | 1,584,216 | Citibank, N.A. | 6/21/23 | — | (5,936) |
ZAR | 666,759,139 | USD | 36,011,836 | Goldman Sachs International | 6/21/23 | 275,490 | — |
ZAR | 166,939,420 | USD | 8,992,507 | Goldman Sachs International | 6/21/23 | 92,910 | — |
ZAR | 166,939,419 | USD | 8,998,800 | Goldman Sachs International | 6/21/23 | 86,618 | — |
ZAR | 166,939,420 | USD | 9,004,778 | Goldman Sachs International | 6/21/23 | 80,639 | — |
ZAR | 165,940,878 | USD | 8,955,505 | Goldman Sachs International | 6/21/23 | 75,569 | — |
ZAR | 80,000,000 | USD | 4,328,131 | UBS AG | 6/21/23 | 25,745 | — |
USD | 370,084 | UYU | 14,474,000 | Citibank, N.A. | 6/22/23 | 314 | — |
UZS | 13,021,113,284 | USD | 1,107,238 | ICBC Standard Bank plc | 7/13/23 | 9,573 | — |
UZS | 17,164,000,000 | USD | 1,400,000 | ICBC Standard Bank plc | 8/1/23 | 66,109 | — |
UZS | 13,021,113,284 | USD | 1,099,060 | ICBC Standard Bank plc | 8/1/23 | 13,173 | — |
UZS | 6,486,772,753 | USD | 547,867 | ICBC Standard Bank plc | 8/15/23 | 4,244 | — |
USD | 4,485,391 | BRL | 24,041,694 | Citibank, N.A. | 9/11/23 | — | (216,319) |
USD | 50,101,384 | ZAR | 919,861,407 | UBS AG | 9/18/23 | 474,911 | — |
USD | 16,923,054 | ZAR | 310,707,272 | UBS AG | 9/18/23 | 160,414 | — |
ZAR | 666,759,136 | USD | 36,315,857 | UBS AG | 9/18/23 | — | (344,238) |
UZS | 6,864,495,463 | USD | 573,715 | ICBC Standard Bank plc | 10/13/23 | 1,907 | — |
UZS | 8,143,221,557 | USD | 648,862 | JPMorgan Chase Bank, N.A. | 10/24/23 | 32,109 | — |
UZS | 2,692,778,443 | USD | 216,810 | JPMorgan Chase Bank, N.A. | 11/7/23 | 5,179 | — |
HUF | 2,149,534,827 | USD | 6,071,712 | Barclays Bank PLC | 1/30/24 | 334,216 | — |
$14,058,670 | $(11,961,769) |
Non-Deliverable Bond Forward Contracts* | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
5/10/23 | COP | 18,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | $ 3,831,418 | $ (60,567) |
5/10/23 | COP | 4,122,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 877,395 | (8,291) |
5/15/23 | COP | 36,489,600 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 7,767,050 | (69,639) |
5/16/23 | COP | 7,756,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,650,915 | (14,951) |
5/22/23 | COP | 6,183,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,316,092 | (7,145) |
Non-Deliverable Bond Forward Contracts* (continued) | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
5/23/23 | COP | 27,573,800 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | $ 5,869,263 | $ (50,658) |
5/24/23 | COP | 5,496,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,169,859 | (7,495) |
6/12/23 | COP | 6,183,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,316,092 | (14,335) |
6/12/23 | COP | 18,000,000 | Republic of Colombia, 7.25%, 11/25/25 | Goldman Sachs International | 3,831,418 | (14,483) |
6/23/23 | COP | 28,233,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 6,009,706 | (68,847) |
6/26/23 | COP | 47,238,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 10,054,938 | (139,160) |
6/29/23 | COP | 14,598,340 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 3,107,352 | (90,324) |
6/29/23 | COP | 67,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 14,261,388 | (480,495) |
6/29/23 | COP | 56,900,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 12,111,537 | (335,114) |
6/29/23 | COP | 24,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 5,108,557 | (106,575) |
6/29/23 | COP | 73,500,000 | Republic of Colombia, 10.00%, 7/24/24 | Bank of America, N.A. | 15,644,955 | (143,574) |
6/30/23 | COP | 48,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 10,217,114 | (89,124) |
$(1,700,777) |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
Euro-Bobl | (23) | Short | 6/8/23 | $(2,989,798) | $ (76,789) |
Euro-Bund | (15) | Short | 6/8/23 | (2,240,604) | (79,035) |
U.S. 5-Year Treasury Note | (18) | Short | 6/30/23 | (1,975,359) | (44,572) |
$(200,396) |
Interest Rate Swaps (Centrally Cleared) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
BRL | 195,900 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.66% (pays upon termination) | 1/2/24 | $ 92,019 | $ — | $ 92,019 |
BRL | 716,538 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.69% (pays upon termination) | 1/2/24 | 375,321 | — | 375,321 |
BRL | 27,758 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 14.07% (pays upon termination) | 1/2/24 | 37,101 | — | 37,101 |
BRL | 72,000 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.36% (pays upon termination) | 1/2/25 | 2,484,602 | — | 2,484,602 |
BRL | 57,316 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.48% (pays upon termination) | 1/2/25 | (230,532) | — | (230,532) |
BRL | 57,254 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.49% (pays upon termination) | 1/2/25 | (227,835) | — | (227,835) |
BRL | 37,730 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.51% (pays upon termination) | 1/2/25 | (146,915) | — | (146,915) |
BRL | 19,090 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.17% (pays upon termination) | 1/2/29 | 281,794 | — | 281,794 |
BRL | 15,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.07% (pays upon termination) | 1/2/31 | 242,316 | — | 242,316 |
CLP | 5,000,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.68% (pays semi-annually) | 2/11/24 | (416,429) | — | (416,429) |
CLP | 1,140,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.49% (pays semi-annually) | 4/26/24 | (86,901) | — | (86,901) |
CLP | 2,650,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.38% (pays semi-annually) | 6/17/25 | (523,189) | — | (523,189) |
CLP | 3,700,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.33% (pays semi-annually) | 9/11/25 | (653,891) | — | (653,891) |
CLP | 5,200,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.48% (pays semi-annually) | 12/23/25 | (1,081,129) | — | (1,081,129) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.59% (pays semi-annually) | 1/27/26 | (486,212) | — | (486,212) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.92% (pays semi-annually) | 2/23/26 | (439,749) | — | (439,749) |
CLP | 584,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.87% (pays semi-annually) | 5/31/26 | (100,912) | — | (100,912) |
CLP | 416,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.57% (pays semi-annually) | 12/21/27 | 15,742 | — | 15,742 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
CLP | 4,504,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | $ 168,956 | $ — | $ 168,956 |
CLP | 3,112,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | 116,057 | — | 116,057 |
CLP | 3,089,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.62% (pays semi-annually) | 12/21/27 | 108,427 | — | 108,427 |
CLP | 3,089,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.64% (pays semi-annually) | 12/21/27 | 105,041 | — | 105,041 |
CLP | 3,089,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.67% (pays semi-annually) | 12/21/27 | 99,963 | — | 99,963 |
CLP | 2,731,600 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.68% (pays semi-annually) | 12/21/27 | 86,900 | — | 86,900 |
CLP | 1,674,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.69% (pays semi-annually) | 12/21/27 | 52,796 | — | 52,796 |
CLP | 2,327,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.72% (pays semi-annually) | 12/21/27 | 68,927 | — | 68,927 |
CLP | 2,662,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.74% (pays semi-annually) | 12/21/27 | 76,662 | — | 76,662 |
CLP | 794,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.02% (pays semi-annually) | 3/18/29 | (83,804) | — | (83,804) |
CLP | 3,362,600 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.08% (pays semi-annually) | 7/1/31 | (425,971) | — | (425,971) |
CLP | 1,759,504 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.18% (pays semi-annually) | 7/2/31 | (207,730) | — | (207,730) |
CLP | 4,871,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.22% (pays semi-annually) | 7/12/31 | (547,591) | — | (547,591) |
CLP | 466,400 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.20% (pays semi-annually) | 4/8/32 | 39,253 | — | 39,253 |
CLP | 1,432,670 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.35% (pays semi-annually) | 4/11/32 | 140,162 | — | 140,162 |
CLP | 274,770 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.40% (pays semi-annually) | 4/20/32 | 28,629 | — | 28,629 |
CNY | 507,400 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/21/27 | (923,487) | — | (923,487) |
CNY | 92,600 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/21/27 | (165,588) | — | (165,588) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
CNY | 215,650 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/21/27 | $ (299,797) | $ — | $ (299,797) |
CNY | 74,572 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.85% (pays quarterly) | 3/15/28 | 76,718 | — | 76,718 |
CNY | 22,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.82% (pays quarterly) | 6/21/28 | 10,926 | — | 10,926 |
CNY | 41,300 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.87% (pays quarterly) | 6/21/28 | 34,250 | — | 34,250 |
CNY | 21,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.89% (pays quarterly) | 6/21/28 | 20,597 | — | 20,597 |
CNY | 21,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.89% (pays quarterly) | 6/21/28 | 20,527 | — | 20,527 |
CNY | 26,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.90% (pays quarterly) | 6/21/28 | 26,528 | — | 26,528 |
COP | 6,031,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 197,477 | — | 197,477 |
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.00% (pays quarterly) | 11/26/25 | 380,155 | — | 380,155 |
COP | 11,354,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.05% (pays quarterly) | 11/26/25 | 354,772 | — | 354,772 |
COP | 12,992,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.16% (pays quarterly) | 11/26/25 | 398,813 | — | 398,813 |
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.20% (pays quarterly) | 11/26/25 | 367,824 | — | 367,824 |
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.28% (pays quarterly) | 11/26/25 | 362,892 | — | 362,892 |
COP | 6,488,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 193,082 | — | 193,082 |
COP | 12,079,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.55% (pays quarterly) | 11/26/25 | 347,017 | — | 347,017 |
COP | 5,979,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.73% (pays quarterly) | 11/26/25 | 166,117 | — | 166,117 |
COP | 25,137,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.78% (pays quarterly) | 11/26/25 | 691,958 | — | 691,958 |
COP | 20,568,100 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (471,577) | — | (471,577) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
COP | 5,427,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.60% (pays quarterly) | 11/26/25 | $ 43,521 | $ — | $ 43,521 |
COP | 10,304,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.75% (pays quarterly) | 11/26/25 | 74,573 | — | 74,573 |
COP | 5,427,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.85% (pays quarterly) | 11/26/25 | 36,503 | — | 36,503 |
COP | 5,496,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.23% (pays quarterly) | 11/26/25 | 26,209 | — | 26,209 |
COP | 3,792,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.42% (pays quarterly) | 11/26/25 | 14,556 | — | 14,556 |
COP | 9,065,738 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.00% (pays quarterly) | 11/26/25 | 7,602 | — | 7,602 |
COP | 3,383,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.17% (pays quarterly) | 11/26/25 | (132) | (50) | (182) |
COP | 6,495,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.28% (pays quarterly) | 11/26/25 | (3,782) | — | (3,782) |
COP | 31,412,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 11.93% (pays quarterly) | 12/21/27 | (652,428) | — | (652,428) |
COP | 14,843,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.07% (pays quarterly) | 3/15/28 | (92,345) | — | (92,345) |
COP | 7,441,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 279,409 | — | 279,409 |
COP | 5,315,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 199,134 | — | 199,134 |
COP | 11,900,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.07% (pays quarterly) | 6/21/28 | 1,595 | — | 1,595 |
COP | 5,908,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.58% (pays quarterly) | 3/15/33 | (38,322) | — | (38,322) |
COP | 9,278,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.61% (pays quarterly) | 3/15/33 | (64,048) | — | (64,048) |
COP | 5,766,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.67% (pays quarterly) | 3/15/33 | (44,610) | — | (44,610) |
CZK | 200,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.40% (pays annually) | 3/6/25 | (850,961) | — | (850,961) |
CZK | 258,400 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 1.37% (pays annually) | 3/17/25 | 1,091,358 | — | 1,091,358 |
CZK | 300,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.46% (pays annually) | 3/15/26 | (1,555,387) | — | (1,555,387) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
CZK | 147,500 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.74% (pays annually) | 5/6/26 | $ (805,025) | $ — | $ (805,025) |
CZK | 110,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 5.39% (pays annually) | 3/15/28 | 122,799 | — | 122,799 |
CZK | 53,900 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.61% (pays annually) | 6/21/28 | (3,296) | — | (3,296) |
HUF | 480,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.79% (pays annually) | 8/6/24 | (241,661) | — | (241,661) |
HUF | 3,500,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.71% (pays annually) | 11/22/24 | (2,319,299) | — | (2,319,299) |
HUF | 6,619,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.30% (pays annually) | 3/16/25 | 3,699,079 | — | 3,699,079 |
HUF | 1,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.20% (pays annually) | 11/4/25 | (802,685) | — | (802,685) |
HUF | 2,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.06% (pays annually) | 12/22/25 | (1,514,906) | — | (1,514,906) |
KRW | 3,414,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.36% (pays quarterly) | 1/12/26 | 5,868 | — | 5,868 |
KRW | 3,676,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.39% (pays quarterly) | 1/12/26 | 8,550 | — | 8,550 |
KRW | 5,357,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.39% (pays quarterly) | 1/12/26 | 12,673 | — | 12,673 |
KRW | 3,098,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.24% (pays quarterly) | 1/17/26 | (1,270) | — | (1,270) |
KRW | 6,720,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 3/15/26 | 18,910 | — | 18,910 |
KRW | 1,198,400 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.03% (pays quarterly) | 12/21/27 | 34,718 | — | 34,718 |
KRW | 1,263,900 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.04% (pays quarterly) | 12/21/27 | 37,209 | — | 37,209 |
KRW | 1,923,400 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.05% (pays quarterly) | 12/21/27 | 57,269 | — | 57,269 |
KRW | 211,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.08% (pays quarterly) | 12/21/27 | 6,495 | — | 6,495 |
KRW | 3,303,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.57% (pays quarterly) | 6/21/28 | 51,261 | — | 51,261 |
KRW | 3,303,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.60% (pays quarterly) | 6/21/28 | 55,291 | — | 55,291 |
KRW | 3,417,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.61% (pays quarterly) | 6/21/28 | 57,795 | — | 57,795 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
KRW | 11,700,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 2.07% (pays quarterly) | 11/24/31 | $ (728,989) | $ — | $ (728,989) |
MXN | 350,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.98% (pays monthly) | 11/29/23 | (305,727) | (1,380) | (307,107) |
MXN | 185,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.13% (pays monthly) | 2/2/24 | (257,090) | — | (257,090) |
MXN | 600,760 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.76% (pays monthly) | 3/7/24 | 1,386,441 | — | 1,386,441 |
MXN | 166,961 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.79% (pays monthly) | 3/7/24 | 382,826 | — | 382,826 |
MXN | 408,300 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.35% (pays monthly) | 3/14/24 | 817,287 | — | 817,287 |
MXN | 67,771 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.08% (pays monthly) | 6/27/24 | (220,243) | — | (220,243) |
MXN | 224,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.19% (pays monthly) | 6/27/24 | (567,116) | — | (567,116) |
MXN | 130,204 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.66% (pays monthly) | 11/7/24 | 401,507 | — | 401,507 |
MXN | 391,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.65% (pays monthly) | 2/6/25 | (2,073,682) | — | (2,073,682) |
MXN | 144,000 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.40% (pays monthly) | 3/11/25 | 387,685 | — | 387,685 |
MXN | 222,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.71% (pays monthly) | 12/12/25 | (1,395,478) | — | (1,395,478) |
MXN | 111,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.07% (pays monthly) | 4/28/26 | (519,095) | — | (519,095) |
MXN | 165,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.11% (pays monthly) | 6/8/26 | (750,648) | — | (750,648) |
MXN | 130,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.21% (pays monthly) | 6/29/26 | (582,028) | — | (582,028) |
MXN | 160,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.54% (pays monthly) | 9/4/26 | (629,897) | — | (629,897) |
MXN | 270,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 9.19% (pays monthly) | 2/18/28 | 377,082 | — | 377,082 |
MXN | 43,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 4/17/28 | 18,047 | — | 18,047 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
MXN | 131,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.73% (pays monthly) | 4/17/28 | $ 60,866 | $ — | $ 60,866 |
MXN | 57,700 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.56% (pays monthly) | 4/18/28 | 4,774 | — | 4,774 |
PLN | 25,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.43% (pays annually) | 6/8/23 | (77,644) | — | (77,644) |
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.04% (pays annually) | 1/31/24 | (223,408) | — | (223,408) |
PLN | 16,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 2/11/24 | (181,029) | — | (181,029) |
PLN | 13,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.05% (pays annually) | 2/28/24 | (144,973) | — | (144,973) |
PLN | 15,522 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 3/13/24 | (174,636) | — | (174,636) |
PLN | 18,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.00% (pays annually) | 5/30/24 | (270,157) | — | (270,157) |
PLN | 37,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.79% (pays annually) | 7/5/24 | (564,285) | — | (564,285) |
PLN | 27,850 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.77% (pays annually) | 8/6/24 | (414,903) | — | (414,903) |
PLN | 12,200 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.66% (pays annually) | 10/2/24 | (182,886) | — | (182,886) |
PLN | 11,400 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.44% (pays annually) | 10/28/24 | (128,651) | — | (128,651) |
PLN | 50,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.97% (pays annually) | 1/20/25 | (1,019,529) | — | (1,019,529) |
PLN | 37,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.44% (pays annually) | 3/17/25 | 813,493 | — | 813,493 |
PLN | 10,800 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.48% (pays annually) | 8/7/25 | (333,758) | — | (333,758) |
PLN | 11,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.69% (pays annually) | 8/26/25 | (322,239) | — | (322,239) |
PLN | 42,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.64% (pays annually) | 1/25/26 | (1,470,660) | — | (1,470,660) |
PLN | 48,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.69% (pays annually) | 9/20/26 | 1,371,737 | — | 1,371,737 |
PLN | 102,370 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.19% (pays annually) | 10/8/26 | 2,464,415 | — | 2,464,415 |
PLN | 13,250 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.87% (pays annually) | 3/3/27 | (202,456) | — | (202,456) |
PLN | 99,138 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.91% (pays annually) | 3/3/27 | (1,481,301) | — | (1,481,301) |
PLN | 21,250 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.56% (pays annually) | 12/21/27 | 21,888 | — | 21,888 |
PLN | 24,350 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.02% (pays annually) | 12/21/27 | (92,526) | — | (92,526) |
PLN | 75,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.84% (pays annually) | 1/10/28 | (2,170,857) | — | (2,170,857) |
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.29% (pays semi-annually) | 3/15/28 | (51,579) | — | (51,579) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
PLN | 23,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 0.93% (pays annually) | 5/8/30 | $ 1,562,858 | $ — | $ 1,562,858 |
PLN | 18,500 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.02% (pays annually) | 5/26/31 | 1,023,065 | — | 1,023,065 |
PLN | 26,700 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.74% (pays annually) | 7/2/31 | (1,580,081) | — | (1,580,081) |
PLN | 20,500 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.19% (pays annually) | 9/21/32 | 35,728 | — | 35,728 |
PLN | 14,240 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.53% (pays annually) | 12/21/32 | (16,129) | — | (16,129) |
PLN | 16,260 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.85% (pays annually) | 12/21/32 | (115,477) | — | (115,477) |
THB | 175,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.29% (pays semi-annually) | 11/25/24 | (66,671) | — | (66,671) |
THB | 233,000 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.02% (pays semi-annually) | 3/17/25 | 117,357 | — | 117,357 |
THB | 291,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.90% (pays semi-annually) | 2/23/26 | (283,083) | — | (283,083) |
THB | 120,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.30% (pays semi-annually) | 11/18/26 | (108,501) | — | (108,501) |
THB | 155,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 2.45% (pays quarterly) | 6/15/27 | 67,610 | — | 67,610 |
THB | 93,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 1.96% (pays quarterly) | 8/19/27 | (16,846) | — | (16,846) |
THB | 219,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 2.02% (pays quarterly) | 9/21/27 | (28,392) | — | (28,392) |
THB | 93,000 | Pays | Thai Overnight Repurchase Rate (pays quarterly) | 2.04% (pays quarterly) | 9/21/27 | (10,481) | — | (10,481) |
THB | 204,600 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.72% (pays semi-annually) | 10/29/31 | (369,831) | — | (369,831) |
THB | 200,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.69% (pays semi-annually) | 11/4/31 | (368,526) | — | (368,526) |
ZAR | 55,027 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.64% (pays quarterly) | 2/14/25 | (84,836) | — | (84,836) |
ZAR | 244,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 7.04% (pays quarterly) | 3/12/25 | 279,740 | — | 279,740 |
ZAR | 65,700 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.91% (pays quarterly) | 3/13/25 | 84,322 | — | 84,322 |
ZAR | 43,340 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.41% (pays quarterly) | 6/11/25 | (135,122) | — | (135,122) |
ZAR | 50,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 4.98% (pays quarterly) | 8/24/25 | (197,238) | 52 | (197,186) |
ZAR | 54,900 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.56% (pays quarterly) | 2/19/26 | (207,966) | 116 | (207,850) |
ZAR | 68,770 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.79% (pays quarterly) | 3/18/26 | 64,352 | — | 64,352 |
ZAR | 79,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.96% (pays quarterly) | 5/20/26 | (269,381) | 234 | (269,147) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
ZAR | 132,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.64% (pays quarterly) | 10/18/26 | $ 349,494 | $ (529) | $ 348,965 |
ZAR | 15,850 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.54% (pays quarterly) | 2/23/27 | (49,764) | — | (49,764) |
ZAR | 37,710 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.07% (pays quarterly) | 9/21/27 | (19,261) | — | (19,261) |
ZAR | 108,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.38% (pays quarterly) | 5/4/32 | (306,444) | 693 | (305,751) |
Total | $(11,975,624) | $ (864) | $ (11,976,488) |
Interest Rate Swaps (OTC) | |||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
BNP Paribas | MYR | 17,413 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | $ (69,329) |
Citibank, N.A. | MYR | 10,900 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.63% (pays quarterly) | 6/21/28 | 20,283 |
Citibank, N.A. | THB | 250,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.22% (pays semi-annually) | 10/25/23 | 16,386 |
Citibank, N.A. | THB | 87,340 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.96% (pays semi-annually) | 3/18/24 | 6,833 |
Deutsche Bank AG | THB | 324,320 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.13% (pays semi-annually) | 11/19/23 | 36,839 |
Goldman Sachs International | MYR | 24,900 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.61% (pays quarterly) | 6/21/28 | 40,617 |
JPMorgan Chase Bank, N.A. | MYR | 88,787 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | (354,272) |
JPMorgan Chase Bank, N.A. | MYR | 12,900 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.63% (pays quarterly) | 6/21/28 | 24,274 |
Standard Chartered Bank | THB | 650,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.14% (pays semi-annually) | 8/20/23 | 54,185 |
Total | $(224,184) |
Credit Default Swaps - Buy Protection (Centrally Cleared) | |||||||
Reference Entity | Notional Amount (000's omitted) | Contract Annual Fixed Rate* | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
Markit CDX Emerging Markets Index (CDX.EM.31.V3) | $86 | 1.00% (pays quarterly)(1) | 6/20/24 | $ (42) | $ (3,007) | $ (3,049) | |
Total | $(42) | $(3,007) | $(3,049) |
* | The contract annual fixed rate represents the fixed rate of interest paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Effective Date/ Termination Date(1) | Value/Unrealized Appreciation (Depreciation) |
BNP Paribas | 3-month PLN WIBOR + 1.45% on PLN 17,142,858 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date* | 3-month EURIBOR on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount* | 10/14/25/ 10/14/28 | $ 52,557 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 381,027,240 (pays semi-annually)** | 2.10% on CLP equivalent of CLF 12,000 (pays semi-annually)** | Not Applicable/ 4/8/32 | (80,061) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,174,947,580 (pays semi-annually)** | 2.25% on CLP equivalent of CLF 37,000 (pays semi-annually)** | Not Applicable/ 4/11/32 | (267,648) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 214,234,175 (pays semi-annually)** | 1.85% on CLP equivalent of CLF 6,700 (pays semi-annually)** | Not Applicable/ 4/20/32 | (37,405) |
$(332,557) |
(1) | Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual. |
* | The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered. |
** | At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date. |
Abbreviations: | |
BUBOR | – Budapest Interbank Offered Rate |
EURIBOR | – Euro Interbank Offered Rate |
JIBAR | – Johannesburg Interbank Average Rate |
KLIBOR | – Kuala Lumpur Interbank Offered Rate |
OTC | – Over-the-counter |
PRIBOR | – Prague Interbank Offered Rate |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
AMD | – Armenian Dram |
BAM | – Bosnia-Herzegovina Convertible Mark |
BRL | – Brazilian Real |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EGP | – Egyptian Pound |
EUR | – Euro |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
INR | – Indian Rupee |
KRW | – South Korean Won |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
PEN | – Peruvian Sol |
PLN | – Polish Zloty |
RON | – Romanian Leu |
RSD | – Serbian Dinar |
THB | – Thai Baht |
TRY | – New Turkish Lira |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,113,044,393) | $ 993,314,155 |
Affiliated investment, at value (identified cost $79,394,253) | 79,394,253 |
Cash | 57,033 |
Deposits for derivatives collateral: | |
Centrally cleared derivatives | 35,445,946 |
OTC derivatives | 1,490,000 |
Foreign currency, at value (identified cost $25,450,735) | 25,624,238 |
Interest receivable | 30,554,818 |
Dividends receivable from affiliated investment | 201,014 |
Receivable for investments sold | 312,076 |
Receivable for open forward foreign currency exchange contracts | 14,058,670 |
Receivable for open swap contracts | 251,974 |
Receivable for closed swap contracts | 1,131,330 |
Total assets | $1,181,835,507 |
Liabilities | |
Cash collateral due to brokers | $ 1,490,000 |
Written options outstanding, at value (premiums received $271,199) | 179,093 |
Payable for investments purchased | 18,935,494 |
Payable for variation margin on open futures contracts | 46,766 |
Payable for variation margin on open centrally cleared derivatives | 1,093,868 |
Payable for open forward foreign currency exchange contracts | 11,961,769 |
Payable for open swap contracts | 808,715 |
Payable for closed swap contracts | 66,180 |
Payable for closed non-deliverable bond forward contracts | 31,970 |
Payable for open non-deliverable bond forward contracts | 1,700,777 |
Payable to affiliates: | |
Investment adviser fee | 587,471 |
Trustees' fees | 6,015 |
Accrued foreign capital gains taxes | 600,995 |
Accrued expenses | 833,797 |
Total liabilities | $ 38,342,910 |
Net Assets applicable to investors' interest in Portfolio | $1,143,492,597 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income from affiliated investment | $ 1,845,244 |
Interest income (net of foreign taxes withheld of $599,806) | 37,312,589 |
Total investment income | $ 39,157,833 |
Expenses | |
Investment adviser fee | $ 3,514,558 |
Trustees’ fees and expenses | 34,611 |
Custodian fee | 412,435 |
Legal and accounting services | 76,988 |
Miscellaneous | 28,429 |
Total expenses | $ 4,067,021 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 75,587 |
Total expense reductions | $ 75,587 |
Net expenses | $ 3,991,434 |
Net investment income | $ 35,166,399 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $56,194) | $ (53,588,032) |
Futures contracts | 441,831 |
Swap contracts | (13,630,497) |
Foreign currency transactions | 2,016,566 |
Forward foreign currency exchange contracts | 54,112,114 |
Non-deliverable bond forward contracts | 5,789,861 |
Net realized loss | $ (4,858,157) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $354,995) | $ 136,052,670 |
Written options | 92,106 |
Futures contracts | (422,564) |
Swap contracts | 15,566,797 |
Foreign currency | 1,791,001 |
Forward foreign currency exchange contracts | (3,180,622) |
Non-deliverable bond forward contracts | (579,874) |
Net change in unrealized appreciation (depreciation) | $149,319,514 |
Net realized and unrealized gain | $144,461,357 |
Net increase in net assets from operations | $179,627,756 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 35,166,399 | $ 79,020,018 |
Net realized loss | (4,858,157) | (174,403,398) |
Net change in unrealized appreciation (depreciation) | 149,319,514 | (183,608,590) |
Net increase (decrease) in net assets from operations | $ 179,627,756 | $ (278,991,970) |
Capital transactions: | ||
Contributions | $ 187,043,118 | $ 154,343,479 |
Withdrawals | (181,908,808) | (478,241,966) |
Net increase (decrease) in net assets from capital transactions | $ 5,134,310 | $ (323,898,487) |
Net increase (decrease) in net assets | $ 184,762,066 | $ (602,890,457) |
Net Assets | ||
At beginning of period | $ 958,730,531 | $1,561,620,988 |
At end of period | $1,143,492,597 | $ 958,730,531 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.73% (1)(2) | 0.76% (2) | 0.75% | 0.79% | 0.78% | 0.87% (3) |
Net investment income | 6.47% (1) | 6.43% | 4.98% | 5.79% | 7.01% | 7.22% |
Portfolio Turnover | 32% (4) | 33% | 56% | 56% | 46% | 52% |
Total Return | 18.96% (4) | (20.12)% | 1.48% | 0.08% | 23.15% | (9.33)% |
Net assets, end of period (000’s omitted) | $1,143,493 | $958,731 | $1,561,621 | $1,253,935 | $1,238,490 | $783,270 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(3) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.02% of average daily net assets for the year ended October 31, 2018. |
(4) | Not annualized. |
value as of the close of each business day.
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.650% |
$1 billion but less than $2 billion | 0.625% |
$2 billion but less than $5 billion | 0.600% |
$5 billion and over | 0.575% |
Aggregate cost | $1,203,833,933 |
Gross unrealized appreciation | $ 28,419,527 |
Gross unrealized depreciation | (165,481,623) |
Net unrealized depreciation | $ (137,062,096) |
Fair Value | ||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ — | $ 1,654,847 | $ — | $ 1,654,847 |
Not applicable | — | 19,589,945* | 26,305,272* | 45,895,217 |
Receivable for open forward foreign currency exchange contracts | — | 14,058,670 | — | 14,058,670 |
Receivable for open swap contracts | — | — | 251,974 | 251,974 |
Total Asset Derivatives | $ — | $ 35,303,462 | $ 26,557,246 | $ 61,860,708 |
Derivatives not subject to master netting or similar agreements | $ — | $ 19,589,945 | $ 26,305,272 | $ 45,895,217 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $ 15,713,517 | $ 251,974 | $ 15,965,491 |
Written options outstanding, at value | $ — | $ (179,093) | $ — | $ (179,093) |
Not applicable | (42)* | (13,006,873)* | (38,481,292)* | (51,488,207) |
Payable for open forward foreign currency exchange contracts | — | (11,961,769) | — | (11,961,769) |
Payable for open swap contracts | — | — | (808,715) | (808,715) |
Payable for open non-deliverable bond forward contracts | — | — | (1,700,777) | (1,700,777) |
Total Liability Derivatives | $ (42) | $(25,147,735) | $(40,990,784) | $(66,138,561) |
Derivatives not subject to master netting or similar agreements | $ (42) | $(13,006,873) | $(38,481,292) | $(51,488,207) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $(12,140,862) | $ (2,509,492) | $(14,650,354) |
* | Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) | Total Cash Collateral Received |
Bank of America, N.A. | $ 119,438 | $ (119,438) | $ — | $ — | $ — | $ — |
Barclays Bank PLC | 1,049,661 | (901,633) | — | (148,028) | — | 550,000 |
BNP Paribas | 52,557 | (52,557) | — | — | — | — |
Citibank, N.A. | 3,077,182 | (775,552) | — | — | 2,301,630 | — |
Credit Agricole CIB | 459,587 | (191,998) | — | (267,589) | — | 300,000 |
Deutsche Bank AG | 36,839 | — | (36,839) | — | — | — |
Goldman Sachs International | 3,693,724 | (3,693,724) | — | — | — | — |
ICBC Standard Bank plc | 107,384 | — | — | — | 107,384 | — |
JPMorgan Chase Bank, N.A. | 1,315,959 | (673,164) | — | (600,000) | 42,795 | 600,000 |
Standard Chartered Bank | 3,822,443 | (3,822,443) | — | — | — | — |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) | Total Cash Collateral Received |
UBS AG | $ 2,230,717 | $ (1,645,361) | $ (507,496) | $ (40,000) | $ 37,860 | $ 40,000 |
$15,965,491 | $(11,875,870) | $(544,335) | $(1,055,617) | $2,489,669 | $1,490,000 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) | Total Cash Collateral Pledged |
Bank of America, N.A. | $ (1,374,997) | $ 119,438 | $ 511,303 | $ — | $ (744,256) | $ — |
Barclays Bank PLC | (901,633) | 901,633 | — | — | — | — |
BNP Paribas | (145,278) | 52,557 | 92,721 | — | — | — |
Citibank, N.A. | (775,552) | 775,552 | — | — | — | — |
Credit Agricole CIB | (191,998) | 191,998 | — | — | — | — |
Goldman Sachs International | (4,416,337) | 3,693,724 | 722,613 | — | — | — |
JPMorgan Chase Bank, N.A. | (673,164) | 673,164 | — | — | — | — |
Standard Chartered Bank | (4,526,034) | 3,822,443 | 703,591 | — | — | — |
UBS AG | (1,645,361) | 1,645,361 | — | — | — | — |
$(14,650,354) | $11,875,870 | $2,030,228 | $ — | $(744,256) | $ — | |
Total — Deposits for derivatives collateral — OTC derivatives | $1,490,000 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Statement of Operations Caption | Credit | Foreign Exchange | Interest Rate | Total |
Net realized gain (loss): | ||||
Investment transactions | $ — | $ 923,502 | $ — | $ 923,502 |
Futures contracts | — | — | 441,831 | 441,831 |
Swap contracts | 18,964 | — | (13,649,461) | (13,630,497) |
Forward foreign currency exchange contracts | — | 54,112,114 | — | 54,112,114 |
Non-deliverable bond forward contracts | — | — | 5,789,861 | 5,789,861 |
Total | $18,964 | $55,035,616 | $ (7,417,769) | $ 47,636,811 |
Change in unrealized appreciation (depreciation): | ||||
Investments | $ — | $ 254,154 | $ — | $ 254,154 |
Written options | — | 92,106 | — | 92,106 |
Futures contracts | — | — | (422,564) | (422,564) |
Swap contracts | 508 | — | 15,566,289 | 15,566,797 |
Forward foreign currency exchange contracts | — | (3,180,622) | — | (3,180,622) |
Non-deliverable bond forward contracts | — | — | (579,874) | (579,874) |
Total | $ 508 | $ (2,834,362) | $ 14,563,851 | $ 11,729,997 |
Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Swap Contracts |
$6,995,000 | $2,602,840,000 | $110,164,000 | $1,485,613,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $34,198,985 | $683,264,816 | $(638,069,548) | $ — | $ — | $79,394,253 | $1,845,244 | 79,394,253 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Foreign Corporate Bonds | $ — | $ 26,321,151 | $ — | $ 26,321,151 |
Loan Participation Notes | — | — | 21,366,757 | 21,366,757 |
Sovereign Government Bonds | — | 912,301,618 | — | 912,301,618 |
Short-Term Investments: | ||||
Affiliated Fund | 79,394,253 | — | — | 79,394,253 |
U.S. Treasury Obligations | — | 31,669,782 | — | 31,669,782 |
Purchased Currency Options | — | 1,654,847 | — | 1,654,847 |
Total Investments | $ 79,394,253 | $ 971,947,398 | $ 21,366,757 | $ 1,072,708,408 |
Forward Foreign Currency Exchange Contracts | $ — | $ 33,648,615 | $ — | $ 33,648,615 |
Swap Contracts | — | 26,557,246 | — | 26,557,246 |
Total | $ 79,394,253 | $ 1,032,153,259 | $ 21,366,757 | $ 1,132,914,269 |
Liability Description | ||||
Written Currency Options | $ — | $ (179,093) | $ — | $ (179,093) |
Forward Foreign Currency Exchange Contracts | — | (24,968,642) | — | (24,968,642) |
Non-Deliverable Bond Forward Contracts | — | (1,700,777) | — | (1,700,777) |
Futures Contracts | (200,396) | — | — | (200,396) |
Swap Contracts | — | (39,089,653) | — | (39,089,653) |
Total | $ (200,396) | $ (65,938,165) | $ — | $ (66,138,561) |
Loan Participation Notes | Sovereign Government Bonds | Sovereign Government Securities | Total | |
Balance as of October 31, 2022 | $29,380,678 | $ 39,170,230 | $ 2,887,584 | $ 71,438,492 |
Realized gains (losses) | (1,000,732) | — | — | (1,000,732) |
Change in net unrealized appreciation (depreciation) | 416,204 | — | — | 416,204 |
Cost of purchases | — | — | — | — |
Proceeds from sales, including return of capital | (7,429,393) | — | — | (7,429,393) |
Accrued discount (premium) | — | — | — | — |
Transfers to Level 3 | — | — | — | — |
Transfers from Level 3(1) | — | (39,170,230) | (2,887,584) | (42,057,814) |
Balance as of April 30, 2023 | $21,366,757 | $ — | $ — | $ 21,366,757 |
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2023 | $ (493,411) | $ — | $ — | $ (493,411) |
(1) | Transferred from Level 3 based on the observability of valuation inputs resulting from new market activity. |
Type of Investment | Fair Value as of April 30, 2023 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* |
Loan Participation Notes | $21,366,757 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 4.73% | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
Officers of Eaton Vance Emerging Markets Local Income Fund and Emerging Markets Local Income Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Emerging Markets Local Income Fund and Emerging Markets Local Income Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Advisers Class at NAV | 02/07/2001 | 02/07/2001 | 5.54% | 2.04% | 2.52% | 2.97% |
Class A at NAV | 05/05/2003 | 02/07/2001 | 5.60 | 2.06 | 2.53 | 2.98 |
Class A with 3.25% Maximum Sales Charge | — | — | 2.21 | (1.25) | 1.87 | 2.64 |
Class C at NAV | 02/01/2001 | 02/07/2001 | 5.15 | 1.27 | 1.78 | 2.36 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 4.15 | 0.31 | 1.78 | 2.36 |
Class I at NAV | 01/30/2001 | 02/07/2001 | 5.80 | 2.42 | 2.80 | 3.23 |
Class R6 at NAV | 12/01/2016 | 02/07/2001 | 5.83 | 2.49 | 2.86 | 3.28 |
Morningstar® LSTA® US Leveraged Loan IndexSM | — | — | 6.00% | 3.39% | 3.76% | 3.81% |
% Total Annual Operating Expense Ratios3 | Advisers Class | Class A | Class C | Class I | Class R6 |
1.02% | 1.02% | 1.77% | 0.77% | 0.72% |
Top 10 Issuers (% of total investments)1 | |
Asurion, LLC | 1.1% |
Virgin Media Bristol, LLC | 1.0 |
Ultimate Software Group, Inc. (The) | 1.0 |
Finastra USA, Inc. | 0.9 |
Clarios Global, L.P. | 0.9 |
Carnival Corporation | 0.8 |
RealPage, Inc. | 0.8 |
Magenta Buyer, LLC | 0.8 |
Les Schwab Tire Centers | 0.8 |
Banff Merger Sub, Inc. | 0.8 |
Total | 8.9% |
Top 10 Sectors (% of total investments)1 | |
Software | 16.0% |
Health Care Providers & Services | 6.1 |
Machinery | 5.7 |
Chemicals | 4.3 |
Commercial Services & Supplies | 3.7 |
IT Services | 3.6 |
Capital Markets | 3.6 |
Hotels, Restaurants & Leisure | 3.4 |
Speciality Retail | 3.3 |
Professional Services | 2.7 |
Total | 52.4% |
Credit Quality (% of bonds, loans and asset-backed securities)2 |
1 | Excludes cash and cash equivalents. |
2 | Credit ratings are categorized using S&P Global Ratings (“S&P”). Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by S&P. |
1 | Morningstar® LSTA® US Leveraged Loan IndexSM is an unmanaged index of the institutional leveraged loan market. Morningstar® LSTA® Leveraged Loan indices are a product of Morningstar, Inc. (“Morningstar”) and have been licensed for use. Morningstar® is a registered trademark of Morningstar licensed for certain use. Loan Syndications and Trading Association® and LSTA® are trademarks of the LSTA licensed for certain use by Morningstar, and further sublicensed by Morningstar for certain use. Neither Morningstar nor LSTA guarantees the accuracy and/or completeness of the Morningstar® LSTA® US Leveraged Loan IndexSM or any data included therein, and shall have no liability for any errors, omissions, or interruptions therein. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Advisers Class | $1,000.00 | $1,055.40 | $5.40 | 1.06% |
Class A | $1,000.00 | $1,056.00 | $5.40 | 1.06% |
Class C | $1,000.00 | $1,051.50 | $9.21 | 1.81% |
Class I | $1,000.00 | $1,058.00 | $4.13 | 0.81% |
Class R6 | $1,000.00 | $1,058.30 | $3.88 | 0.76% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Advisers Class | $1,000.00 | $1,019.54 | $5.31 | 1.06% |
Class A | $1,000.00 | $1,019.54 | $5.31 | 1.06% |
Class C | $1,000.00 | $1,015.82 | $9.05 | 1.81% |
Class I | $1,000.00 | $1,020.78 | $4.06 | 0.81% |
Class R6 | $1,000.00 | $1,021.03 | $3.81 | 0.76% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
April 30, 2023 | |
Assets | |
Investment in Eaton Vance Floating Rate Portfolio, at value (identified cost $5,669,423,928) | $ 5,183,880,657 |
Receivable for Fund shares sold | 12,017,087 |
Total assets | $ 5,195,897,744 |
Liabilities | |
Payable for Fund shares redeemed | $ 31,422,382 |
Distributions payable | 6,985,599 |
Payable to affiliates: | |
Administration fee | 650,012 |
Distribution and service fees | 229,982 |
Trustees' fees | 43 |
Accrued expenses | 999,266 |
Total liabilities | $ 40,287,284 |
Net Assets | $ 5,155,610,460 |
Sources of Net Assets | |
Paid-in capital | $ 6,330,859,194 |
Accumulated loss | (1,175,248,734) |
Net Assets | $ 5,155,610,460 |
Advisers Class Shares | |
Net Assets | $ 64,859,994 |
Shares Outstanding | 7,823,506 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.29 |
Class A Shares | |
Net Assets | $ 634,188,125 |
Shares Outstanding | 73,924,634 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.58 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 8.87 |
Class C Shares | |
Net Assets | $ 101,316,187 |
Shares Outstanding | 12,232,533 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 8.28 |
Class I Shares | |
Net Assets | $ 3,561,023,544 |
Shares Outstanding | 429,178,564 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.30 |
April 30, 2023 | |
Class R6 Shares | |
Net Assets | $794,222,610 |
Shares Outstanding | 95,631,904 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.30 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio | $ 3,739,671 |
Interest and other income allocated from Portfolio | 251,919,240 |
Expenses allocated from Portfolio | (17,369,994) |
Total investment income from Portfolio | $ 238,288,917 |
Expenses | |
Administration fee | $ 4,536,714 |
Distribution and service fees: | |
Advisers Class | 84,994 |
Class A | 846,741 |
Class C | 546,980 |
Trustees’ fees and expenses | 251 |
Custodian fee | 30,720 |
Transfer and dividend disbursing agent fees | 1,847,256 |
Legal and accounting services | 98,414 |
Printing and postage | 126,489 |
Registration fees | 161,842 |
Miscellaneous | 28,317 |
Total expenses | $ 8,308,718 |
Net investment income | $ 229,980,199 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ (92,960,884) |
Foreign currency transactions | 2,937,329 |
Forward foreign currency exchange contracts | (56,407,211) |
Net realized loss | $(146,430,766) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 273,773,735 |
Foreign currency | 803,529 |
Forward foreign currency exchange contracts | (14,152,264) |
Net change in unrealized appreciation (depreciation) | $ 260,425,000 |
Net realized and unrealized gain | $ 113,994,234 |
Net increase in net assets from operations | $ 343,974,433 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 229,980,199 | $ 334,300,856 |
Net realized gain (loss) | (146,430,766) | 51,017,745 |
Net change in unrealized appreciation (depreciation) | 260,425,000 | (705,877,234) |
Net increase (decrease) in net assets from operations | $ 343,974,433 | $ (320,558,633) |
Distributions to shareholders: | ||
Advisers Class | $ (2,533,876) | $ (4,757,274) |
Class A | (25,283,216) | (30,066,757) |
Class C | (3,667,419) | (4,158,164) |
Class I | (177,023,608) | (264,847,517) |
Class R6 | (22,891,777) | (32,476,524) |
Total distributions to shareholders | $ (231,399,896) | $ (336,306,236) |
Transactions in shares of beneficial interest: | ||
Advisers Class | $ (13,484,108) | $ (70,541,874) |
Class A | (85,456,146) | 15,620,342 |
Class C | (17,988,846) | (7,659,273) |
Class I | (1,795,701,072) | (205,000,386) |
Class R6 | 157,890,973 | (28,806,651) |
Net decrease in net assets from Fund share transactions | $(1,754,739,199) | $ (296,387,842) |
Net decrease in net assets | $(1,642,164,662) | $ (953,252,711) |
Net Assets | ||
At beginning of period | $ 6,797,775,122 | $ 7,751,027,833 |
At end of period | $ 5,155,610,460 | $6,797,775,122 |
Advisers Class | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.150 | $ 8.810 | $ 8.470 | $ 8.740 | $ 9.050 | $ 9.010 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.304 | $ 0.318 | $ 0.268 | $ 0.321 | $ 0.411 | $ 0.357 |
Net realized and unrealized gain (loss) | 0.142 | (0.639) | 0.345 | (0.267) | (0.310) | 0.036 |
Total income (loss) from operations | $ 0.446 | $ (0.321) | $ 0.613 | $ 0.054 | $ 0.101 | $ 0.393 |
Less Distributions | ||||||
From net investment income | $ (0.306) | $ (0.339) | $ (0.273) | $ (0.324) | $ (0.411) | $ (0.353) |
Total distributions | $ (0.306) | $ (0.339) | $ (0.273) | $ (0.324) | $ (0.411) | $ (0.353) |
Net asset value — End of period | $ 8.290 | $ 8.150 | $ 8.810 | $ 8.470 | $ 8.740 | $ 9.050 |
Total Return(2) | 5.54% (3) | (3.70)% | 7.30% | 0.70% | 1.16% | 4.44% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $64,860 | $77,084 | $157,768 | $94,411 | $364,983 | $556,125 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.06% (5)(6) | 1.01% (5) | 1.03% | 1.08% | 1.03% | 1.02% |
Net investment income | 7.42% (6) | 3.70% | 3.05% | 3.78% | 4.63% | 3.95% |
Portfolio Turnover of the Portfolio | 5% (3) | 27% | 26% | 28% | 16% | 30% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(6) | Annualized. |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.430 | $ 9.120 | $ 8.770 | $ 9.050 | $ 9.360 | $ 9.310 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.315 | $ 0.349 | $ 0.278 | $ 0.322 | $ 0.425 | $ 0.365 |
Net realized and unrealized gain (loss) | 0.152 | (0.688) | 0.354 | (0.268) | (0.310) | 0.050 |
Total income (loss) from operations | $ 0.467 | $ (0.339) | $ 0.632 | $ 0.054 | $ 0.115 | $ 0.415 |
Less Distributions | ||||||
From net investment income | $ (0.317) | $ (0.351) | $ (0.282) | $ (0.334) | $ (0.425) | $ (0.365) |
Total distributions | $ (0.317) | $ (0.351) | $ (0.282) | $ (0.334) | $ (0.425) | $ (0.365) |
Net asset value — End of period | $ 8.580 | $ 8.430 | $ 9.120 | $ 8.770 | $ 9.050 | $ 9.360 |
Total Return(2) | 5.60% (3) | (3.78)% | 7.27% | 0.79% | 1.17% | 4.42% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $634,188 | $707,666 | $751,136 | $658,206 | $788,125 | $984,812 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.06% (5)(6) | 1.01% (5) | 1.03% | 1.07% | 1.02% | 1.02% |
Net investment income | 7.43% (6) | 3.96% | 3.06% | 3.68% | 4.63% | 3.90% |
Portfolio Turnover of the Portfolio | 5% (3) | 27% | 26% | 28% | 16% | 30% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(6) | Annualized. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.140 | $ 8.800 | $ 8.470 | $ 8.730 | $ 9.040 | $ 8.990 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.273 | $ 0.271 | $ 0.203 | $ 0.251 | $ 0.343 | $ 0.285 |
Net realized and unrealized gain (loss) | 0.142 | (0.656) | 0.334 | (0.251) | (0.308) | 0.050 |
Total income (loss) from operations | $ 0.415 | $ (0.385) | $ 0.537 | $ — | $ 0.035 | $ 0.335 |
Less Distributions | ||||||
From net investment income | $ (0.275) | $ (0.275) | $ (0.207) | $ (0.260) | $ (0.345) | $ (0.285) |
Total distributions | $ (0.275) | $ (0.275) | $ (0.207) | $ (0.260) | $ (0.345) | $ (0.285) |
Net asset value — End of period | $ 8.280 | $ 8.140 | $ 8.800 | $ 8.470 | $ 8.730 | $ 9.040 |
Total Return(2) | 5.15% (3) | (4.43)% | 6.38% | 0.06% | 0.40% | 3.66% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $101,316 | $117,294 | $135,213 | $189,138 | $328,577 | $585,693 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.81% (5)(6) | 1.76% (5) | 1.79% | 1.82% | 1.78% | 1.77% |
Net investment income | 6.67% (6) | 3.18% | 2.32% | 2.97% | 3.86% | 3.15% |
Portfolio Turnover of the Portfolio | 5% (3) | 27% | 26% | 28% | 16% | 30% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(6) | Annualized. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.150 | $ 8.820 | $ 8.480 | $ 8.750 | $ 9.060 | $ 9.010 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.314 | $ 0.356 | $ 0.289 | $ 0.335 | $ 0.433 | $ 0.377 |
Net realized and unrealized gain (loss) | 0.153 | (0.665) | 0.346 | (0.260) | (0.309) | 0.049 |
Total income (loss) from operations | $ 0.467 | $ (0.309) | $ 0.635 | $ 0.075 | $ 0.124 | $ 0.426 |
Less Distributions | ||||||
From net investment income | $ (0.317) | $ (0.361) | $ (0.295) | $ (0.345) | $ (0.434) | $ (0.376) |
Total distributions | $ (0.317) | $ (0.361) | $ (0.295) | $ (0.345) | $ (0.434) | $ (0.376) |
Net asset value — End of period | $ 8.300 | $ 8.150 | $ 8.820 | $ 8.480 | $ 8.750 | $ 9.060 |
Total Return(2) | 5.80% (3) | (3.57)% | 7.56% | 0.95% | 1.41% | 4.81% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $3,561,024 | $5,269,963 | $5,988,270 | $3,565,898 | $4,985,629 | $7,450,507 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 0.81% (5)(6) | 0.76% (5) | 0.78% | 0.82% | 0.77% | 0.77% |
Net investment income | 7.66% (6) | 4.18% | 3.29% | 3.95% | 4.88% | 4.17% |
Portfolio Turnover of the Portfolio | 5% (3) | 27% | 26% | 28% | 16% | 30% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(6) | Annualized. |
Class R6 | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.160 | $ 8.830 | $ 8.490 | $ 8.760 | $ 9.060 | $ 9.020 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.318 | $ 0.358 | $ 0.293 | $ 0.335 | $ 0.437 | $ 0.382 |
Net realized and unrealized gain (loss) | 0.142 | (0.662) | 0.347 | (0.254) | (0.299) | 0.039 |
Total income (loss) from operations | $ 0.460 | $ (0.304) | $ 0.640 | $ 0.081 | $ 0.138 | $ 0.421 |
Less Distributions | ||||||
From net investment income | $ (0.320) | $ (0.366) | $ (0.300) | $ (0.351) | $ (0.438) | $ (0.381) |
Total distributions | $ (0.320) | $ (0.366) | $ (0.300) | $ (0.351) | $ (0.438) | $ (0.381) |
Net asset value — End of period | $ 8.300 | $ 8.160 | $ 8.830 | $ 8.490 | $ 8.760 | $ 9.060 |
Total Return(2) | 5.83% (3) | (3.51)% | 7.61% | 1.01% | 1.57% | 4.75% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $794,223 | $625,769 | $718,642 | $386,940 | $399,233 | $251,945 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 0.76% (5)(6) | 0.71% (5) | 0.73% | 0.76% | 0.72% | 0.72% |
Net investment income | 7.74% (6) | 4.19% | 3.34% | 3.97% | 4.92% | 4.22% |
Portfolio Turnover of the Portfolio | 5% (3) | 27% | 26% | 28% | 16% | 30% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(6) | Annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.5750% |
$1 billion but less than $2 billion | 0.5250% |
$2 billion but less than $5 billion | 0.4900% |
$5 billion but less than $10 billion | 0.4600% |
$10 billion but less than $15 billion | 0.4350% |
$15 billion but less than $20 billion | 0.4150% |
$20 billion but less than $25 billion | 0.4000% |
$25 billion and over | 0.3900% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Advisers Class | |||||
Sales | 239,749 | $ 1,978,128 | 3,644,668 | $ 31,551,820 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 301,858 | 2,496,582 | 554,744 | 4,711,807 | |
Redemptions | (2,179,476) | (17,958,818) | (12,641,510) | (106,805,501) | |
Net decrease | (1,637,869) | $ (13,484,108) | (8,442,098) | $ (70,541,874) | |
Class A | |||||
Sales | 7,303,633 | $ 62,438,534 | 25,542,048 | $ 226,746,300 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 2,536,845 | 21,714,681 | 2,944,032 | 25,655,161 | |
Redemptions | (19,856,997) | (169,609,361) | (26,921,633) | (236,781,119) | |
Net increase (decrease) | (10,016,519) | $ (85,456,146) | 1,564,447 | $ 15,620,342 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class C | |||||
Sales | 636,767 | $ 5,243,109 | 4,108,247 | $ 35,372,450 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 378,105 | 3,123,557 | 419,546 | 3,528,094 | |
Redemptions | (3,193,013) | (26,355,512) | (5,477,117) | (46,559,817) | |
Net decrease | (2,178,141) | $ (17,988,846) | (949,324) | $ (7,659,273) | |
Class I | |||||
Sales | 77,503,397 | $ 640,015,768 | 382,492,826 | $ 3,292,754,189 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 17,146,177 | 141,908,806 | 24,345,368 | 205,385,574 | |
Redemptions | (311,814,535) | (2,577,625,646) | (439,558,448) | (3,703,140,149) | |
Net decrease | (217,164,961) | $(1,795,701,072) | (32,720,254) | $ (205,000,386) | |
Class R6 | |||||
Sales | 41,820,492 | $ 346,936,646 | 53,221,812 | $ 460,319,638 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,761,971 | 14,599,122 | 2,148,153 | 18,135,563 | |
Redemptions | (24,630,993) | (203,644,795) | (60,111,113) | (507,261,852) | |
Net increase (decrease) | 18,951,470 | $ 157,890,973 | (4,741,148) | $ (28,806,651) |
Asset-Backed Securities — 4.6% |
Security | Principal Amount (000's omitted) | Value | |
Alinea CLO, Ltd.: | |||
Series 2018-1A, Class D, 8.35%, (3 mo. USD LIBOR + 3.10%), 7/20/31(1)(2) | $ | 2,500 | $ 2,330,332 |
Series 2018-1A, Class E, 11.25%, (3 mo. USD LIBOR + 6.00%), 7/20/31(1)(2) | 3,000 | 2,551,575 | |
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 12.17%, (3 mo. USD LIBOR + 6.91%), 1/15/32(1)(2) | 5,000 | 4,256,030 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 11.039%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2) | 3,525 | 2,809,581 | |
Apidos CLO XX, Series 2015-20A, Class DR, 10.96%, (3 mo. USD LIBOR + 5.70%), 7/16/31(1)(2) | 2,375 | 2,115,543 | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 11.686%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 3,000 | 2,641,647 | |
Ares XLIX CLO, Ltd.: | |||
Series 2018-49A, Class D, 8.273%, (3 mo. USD LIBOR + 3.00%), 7/22/30(1)(2) | 2,500 | 2,323,337 | |
Series 2018-49A, Class E, 10.973%, (3 mo. USD LIBOR + 5.70%), 7/22/30(1)(2) | 3,500 | 3,020,779 | |
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class C, 7.764%, (3 mo. USD LIBOR + 2.90%), 5/15/30(1)(2) | 5,000 | 4,571,150 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 10.96%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 4,000 | 3,312,497 | |
Babson CLO, Ltd.: | |||
Series 2015-1A, Class DR, 7.85%, (3 mo. USD LIBOR + 2.60%), 1/20/31(1)(2) | 2,500 | 2,226,098 | |
Series 2018-1A, Class C, 7.86%, (3 mo. USD LIBOR + 2.60%), 4/15/31(1)(2) | 3,500 | 3,111,440 | |
Bain Capital Credit CLO, Ltd.: | |||
Series 2018-1A, Class D, 7.973%, (3 mo. USD LIBOR + 2.70%), 4/23/31(1)(2) | 5,000 | 4,449,929 | |
Series 2018-1A, Class E, 10.623%, (3 mo. USD LIBOR + 5.35%), 4/23/31(1)(2) | 3,000 | 2,406,765 | |
Battalion CLO XXII, Ltd., Series 2021-22A, Class E, 12.20%, (3 mo. USD LIBOR + 6.95%), 1/20/35(1)(2) | 1,750 | 1,436,244 | |
Battalion CLO XXIII, Ltd., Series 2022-23A, Class D, 8.936%, (3 mo. SOFR + 3.95%), 5/19/36(1)(2) | 3,500 | 3,225,292 | |
Benefit Street Partners CLO V-B, Ltd.: | |||
Series 2018-5BA, Class C, 8.18%, (3 mo. USD LIBOR + 2.93%), 4/20/31(1)(2) | 5,000 | 4,523,037 | |
Series 2018-5BA, Class D, 11.20%, (3 mo. USD LIBOR + 5.95%), 4/20/31(1)(2) | 3,500 | 3,092,484 | |
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 10.85%, (3 mo. USD LIBOR + 5.60%), 1/20/31(1)(2) | 5,401 | 4,318,003 |
Security | Principal Amount (000's omitted) | Value | |
Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class D, 7.85%, (3 mo. USD LIBOR + 2.60%), 4/20/31(1)(2) | $ | 1,500 | $ 1,345,261 |
Benefit Street Partners CLO XVI, Ltd., Series 2018-16A, Class E, 11.96%, (3 mo. USD LIBOR + 6.70%), 1/17/32(1)(2) | 2,250 | 2,056,182 | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 11.61%, (3 mo. USD LIBOR + 6.35%), 7/15/32(1)(2) | 1,750 | 1,607,811 | |
Benefit Street Partners CLO XXII, Ltd., Series 2020-22A, Class ER, 11.979%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 1,000 | 938,099 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.11%, (3 mo. USD LIBOR + 6.85%), 1/15/35(1)(2) | 3,000 | 2,839,470 | |
Betony CLO 2, Ltd.: | |||
Series 2018-1A, Class C, 8.199%, (3 mo. USD LIBOR + 2.90%), 4/30/31(1)(2) | 2,500 | 2,340,442 | |
Series 2018-1A, Class D, 10.949%, (3 mo. USD LIBOR + 5.65%), 4/30/31(1)(2) | 4,450 | 3,829,313 | |
BlueMountain CLO XXIV, Ltd., Series 2019-24A, Class ER, 12.09%, (3 mo. USD LIBOR + 6.84%), 4/20/34(1)(2) | 1,000 | 897,426 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 12.38%, (3 mo. USD LIBOR + 7.13%), 10/20/34(1)(2) | 3,000 | 2,830,428 | |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 11.686%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,736,656 | |
BlueMountain CLO XXXIII, Ltd., Series 2021-33A, Class E, 11.745%, (3 mo. USD LIBOR + 6.83%), 11/20/34(1)(2) | 2,500 | 2,330,272 | |
BlueMountain CLO XXXV, Ltd., Series 2022-35A, Class E, 12.821%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 1,920,356 | |
BlueMountain CLO, Ltd.: | |||
Series 2016-3A, Class DR, 7.964%, (3 mo. USD LIBOR + 3.10%), 11/15/30(1)(2) | 1,500 | 1,333,716 | |
Series 2016-3A, Class ER, 10.814%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2) | 1,500 | 1,211,859 | |
Series 2018-1A, Class D, 8.349%, (3 mo. USD LIBOR + 3.05%), 7/30/30(1)(2) | 2,500 | 2,112,523 | |
Series 2018-1A, Class E, 11.249%, (3 mo. USD LIBOR + 5.95%), 7/30/30(1)(2) | 2,000 | 1,547,639 | |
Bryant Park Funding, Ltd., Series 2023-20A, Class D, (3 mo. SOFR + 6.09%), 7/15/36(1)(3) | 3,500 | 3,465,000 | |
Canyon Capital CLO, Ltd.: | |||
Series 2012-1RA, Class E, 10.96%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 4,875 | 4,014,976 | |
Series 2016-1A, Class ER, 11.01%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 4,000 | 3,217,550 | |
Series 2016-2A, Class ER, 11.26%, (3 mo. USD LIBOR + 6.00%), 10/15/31(1)(2) | 4,500 | 3,637,586 |
Security | Principal Amount (000's omitted) | Value | |
Canyon Capital CLO, Ltd.: (continued) | |||
Series 2017-1A, Class E, 11.51%, (3 mo. USD LIBOR + 6.25%), 7/15/30(1)(2) | $ | 3,250 | $ 2,719,508 |
Series 2018-1A, Class D, 8.16%, (3 mo. USD LIBOR + 2.90%), 7/15/31(1)(2) | 3,000 | 2,699,309 | |
Series 2018-1A, Class E, 11.01%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 2,750 | 2,212,837 | |
Series 2019-2A, Class ER, 12.01%, (3 mo. USD LIBOR + 6.75%), 10/15/34(1)(2) | 1,500 | 1,377,101 | |
Carlyle CLO C17, Ltd.: | |||
Series C17A, Class CR, 8.099%, (3 mo. USD LIBOR + 2.80%), 4/30/31(1)(2) | 5,000 | 4,649,897 | |
Series C17A, Class DR, 11.299%, (3 mo. USD LIBOR + 6.00%), 4/30/31(1)(2) | 3,500 | 2,963,709 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class CR2, 8.751%, (3 mo. USD LIBOR + 3.50%), 1/14/32(1)(2) | 2,500 | 2,243,209 | |
Series 2012-3A, Class DR2, 11.751%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2) | 1,500 | 1,225,802 | |
Series 2014-3RA, Class C, 8.242%, (3 mo. USD LIBOR + 2.95%), 7/27/31(1)(2) | 1,000 | 891,016 | |
Series 2014-3RA, Class D, 10.692%, (3 mo. USD LIBOR + 5.40%), 7/27/31(1)(2) | 2,150 | 1,737,165 | |
Series 2014-4RA, Class C, 8.16%, (3 mo. USD LIBOR + 2.90%), 7/15/30(1)(2) | 2,000 | 1,773,536 | |
Series 2014-4RA, Class D, 10.91%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2) | 3,500 | 2,836,630 | |
Carlyle US CLO, Ltd., Series 2019-4A, Class DR, 11.586%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 3,000 | 2,640,198 | |
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 11.85%, (3 mo. USD LIBOR + 6.60%), 7/20/34(1)(2) | 1,000 | 931,771 | |
CIFC Funding, Ltd., Series 2022-4A, Class D, 8.536%, (3 mo. SOFR + 3.55%), 7/16/35(1)(2) | 1,750 | 1,640,702 | |
Dryden CLO, Ltd.: | |||
Series 2018-55A, Class D, 8.11%, (3 mo. USD LIBOR + 2.85%), 4/15/31(1)(2) | 1,500 | 1,324,530 | |
Series 2018-55A, Class E, 10.66%, (3 mo. USD LIBOR + 5.40%), 4/15/31(1)(2) | 2,000 | 1,744,206 | |
Series 2022-112A, Class E, 12.541%, (3 mo. SOFR + 7.78%), 8/15/34(1)(2) | 2,000 | 1,940,168 | |
Dryden Senior Loan Fund: | |||
Series 2015-41A, Class DR, 7.86%, (3 mo. USD LIBOR + 2.60%), 4/15/31(1)(2) | 5,000 | 4,577,077 | |
Series 2015-41A, Class ER, 10.56%, (3 mo. USD LIBOR + 5.30%), 4/15/31(1)(2) | 1,268 | 1,027,839 | |
Series 2016-42A, Class DR, 8.19%, (3 mo. USD LIBOR + 2.93%), 7/15/30(1)(2) | 2,500 | 2,308,428 | |
Series 2016-42A, Class ER, 10.81%, (3 mo. USD LIBOR + 5.55%), 7/15/30(1)(2) | 3,500 | 2,859,753 | |
Elmwood CLO 14, Ltd., Series 2022-1A, Class E, 11.399%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 1,950 | 1,817,264 | |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 12.136%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,250 | 2,149,979 |
Security | Principal Amount (000's omitted) | Value | |
Galaxy 31 CLO, Ltd., Series 2023-31A, Class D, 10.031%, (3 mo. SOFR + 5.25%), 4/15/36(1)(2) | $ | 1,750 | $ 1,738,265 |
Galaxy XV CLO, Ltd., Series 2013-15A, Class ER, 11.905%, (3 mo. USD LIBOR + 6.65%), 10/15/30(1)(2) | 2,500 | 2,116,434 | |
Galaxy XXV CLO, Ltd.: | |||
Series 2018-25A, Class D, 8.355%, (3 mo. USD LIBOR + 3.10%), 10/25/31(1)(2) | 2,500 | 2,291,357 | |
Series 2018-25A, Class E, 11.205%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 3,500 | 3,108,372 | |
Golub Capital Partners CLO 22B, Ltd., Series 2015-22A, Class ER, 11.25%, (3 mo. USD LIBOR + 6.00%), 1/20/31(1)(2) | 2,500 | 2,107,522 | |
Golub Capital Partners CLO 37B, Ltd.: | |||
Series 2018-37A, Class D, 8.55%, (3 mo. USD LIBOR + 3.30%), 7/20/30(1)(2) | 4,000 | 3,642,015 | |
Series 2018-37A, Class E, 11.00%, (3 mo. USD LIBOR + 5.75%), 7/20/30(1)(2) | 4,750 | 4,530,396 | |
Golub Capital Partners CLO 53B, Ltd., Series 2021-53A, Class E, 11.95%, (3 mo. USD LIBOR + 6.70%), 7/20/34(1)(2) | 1,250 | 1,132,895 | |
Golub Capital Partners CLO 58B, Ltd., Series 2021-58A, Class E, 12.065%, (3 mo. USD LIBOR + 6.81%), 1/25/35(1)(2) | 2,500 | 2,240,997 | |
Halseypoint CLO 5, Ltd., Series 2021-5A, Class E, 12.239%, (3 mo. USD LIBOR + 6.94%), 1/30/35(1)(2) | 2,000 | 1,858,328 | |
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 11.65%, (3 mo. USD LIBOR + 6.40%), 4/20/34(1)(2) | 1,000 | 927,338 | |
ICG US CLO, Ltd.: | |||
Series 2018-2A, Class D, 8.373%, (3 mo. USD LIBOR + 3.10%), 7/22/31(1)(2) | 2,000 | 1,759,504 | |
Series 2018-2A, Class E, 11.023%, (3 mo. USD LIBOR + 5.75%), 7/22/31(1)(2) | 3,000 | 2,192,656 | |
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 11.862%, (3 mo. USD LIBOR + 6.60%), 1/18/34(1)(2) | 1,450 | 1,359,158 | |
Madison Park Funding XXV, Ltd., Series 2017-25A, Class D, 11.355%, (3 mo. USD LIBOR + 6.10%), 4/25/29(1)(2) | 1,500 | 1,374,489 | |
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class ER, 12.036%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,500 | 2,361,730 | |
Marble Point CLO XXIV, Ltd., Series 2022-1A, Class D1, 9.289%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,867,082 | |
Neuberger Berman CLO XXII, Ltd.: | |||
Series 2016-22A, Class DR, 8.36%, (3 mo. USD LIBOR + 3.10%), 10/17/30(1)(2) | 2,500 | 2,340,391 | |
Series 2016-22A, Class ER, 11.32%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2) | 3,000 | 2,654,338 |
Security | Principal Amount (000's omitted) | Value | |
Neuberger Berman Loan Advisers CLO 28, Ltd., Series 2018-28A, Class E, 10.85%, (3 mo. USD LIBOR + 5.60%), 4/20/30(1)(2) | $ | 1,950 | $ 1,734,006 |
Neuberger Berman Loan Advisers CLO 30, Ltd.: | |||
Series 2018-30A, Class DR, 8.10%, (3 mo. USD LIBOR + 2.85%), 1/20/31(1)(2) | 2,500 | 2,335,770 | |
Series 2018-30A, Class ER, 11.45%, (3 mo. USD LIBOR + 6.20%), 1/20/31(1)(2) | 1,000 | 914,537 | |
Neuberger Berman Loan Advisers CLO 48, Ltd., Series 2022-48A, Class E, 11.568%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | 3,200 | 2,937,011 | |
OCP CLO, Ltd.: | |||
Series 2022-24A, Class D, 8.849%, (3 mo. SOFR + 3.80%), 7/20/35(1)(2) | 500 | 464,128 | |
Series 2022-24A, Class E, 12.469%, (3 mo. SOFR + 7.42%), 7/20/35(1)(2) | 1,000 | 913,315 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 11.11%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2) | 3,000 | 2,715,144 | |
Series 2015-1A, Class DR4, 11.415%, (3 mo. USD LIBOR + 6.50%), 5/21/34(1)(2) | 2,000 | 1,708,728 | |
Series 2018-1A, Class C, 7.762%, (3 mo. USD LIBOR + 2.50%), 4/18/31(1)(2) | 3,000 | 2,812,464 | |
Series 2018-1A, Class D, 10.412%, (3 mo. USD LIBOR + 5.15%), 4/18/31(1)(2) | 2,000 | 1,775,029 | |
Series 2018-2A, Class D, 10.86%, (3 mo. USD LIBOR + 5.60%), 7/16/31(1)(2) | 2,000 | 1,804,678 | |
Series 2021-2A, Class E, 11.61%, (3 mo. USD LIBOR + 6.35%), 7/15/34(1)(2) | 1,000 | 944,246 | |
Series 2022-1A, Class E, 11.399%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 2,000 | 1,842,394 | |
Series 2022-3A, Class E, 13.029%, (3 mo. SOFR + 7.98%), 7/20/35(1)(2) | 2,250 | 2,227,601 | |
RAD CLO 5, Ltd., Series 2019-5A, Class E, 11.973%, (3 mo. USD LIBOR + 6.70%), 7/24/32(1)(2) | 1,250 | 1,091,344 | |
RAD CLO 14, Ltd., Series 2021-14A, Class E, 11.76%, (3 mo. USD LIBOR + 6.50%), 1/15/35(1)(2) | 950 | 861,914 | |
Regatta XIII Funding, Ltd.: | |||
Series 2018-2A, Class C, 8.36%, (3 mo. USD LIBOR + 3.10%), 7/15/31(1)(2) | 2,500 | 2,279,285 | |
Series 2018-2A, Class D, 11.21%, (3 mo. USD LIBOR + 5.95%), 7/15/31(1)(2) | 5,000 | 4,097,782 | |
Regatta XIV Funding, Ltd.: | |||
Series 2018-3A, Class D, 8.455%, (3 mo. USD LIBOR + 3.20%), 10/25/31(1)(2) | 2,500 | 2,283,199 | |
Series 2018-3A, Class E, 11.205%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 2,000 | 1,694,923 | |
Regatta XV Funding, Ltd., Series 2018-4A, Class D, 11.755%, (3 mo. USD LIBOR + 6.50%), 10/25/31(1)(2) | 2,875 | 2,466,581 | |
Symphony CLO, Ltd., Series 2022-37A, Class D1, 9.676%, (3 mo. SOFR + 5.43%), 10/20/34(1)(2) | 2,500 | 2,492,962 |
Security | Principal Amount (000's omitted) | Value | |
Upland CLO, Ltd.: | |||
Series 2016-1A, Class CR, 8.15%, (3 mo. USD LIBOR + 2.90%), 4/20/31(1)(2) | $ | 4,500 | $ 4,168,909 |
Series 2016-1A, Class DR, 11.15%, (3 mo. USD LIBOR + 5.90%), 4/20/31(1)(2) | 4,625 | 3,948,644 | |
Vibrant CLO IX, Ltd.: | |||
Series 2018-9A, Class C, 8.51%, (3 mo. SOFR + 3.46%), 7/20/31(1)(2) | 2,500 | 2,158,458 | |
Series 2018-9A, Class D, 11.56%, (3 mo. SOFR + 6.51%), 7/20/31(1)(2) | 3,500 | 2,589,514 | |
Vibrant CLO X, Ltd.: | |||
Series 2018-10A, Class C, 8.56%, (3 mo. SOFR + 3.51%), 10/20/31(1)(2) | 5,000 | 4,342,012 | |
Series 2018-10A, Class D, 11.50%, (3 mo. SOFR + 6.45%), 10/20/31(1)(2) | 5,000 | 3,888,903 | |
Voya CLO, Ltd.: | |||
Series 2015-3A, Class CR, 8.46%, (3 mo. SOFR + 3.41%), 10/20/31(1)(2) | 2,500 | 2,076,084 | |
Series 2015-3A, Class DR, 11.51%, (3 mo. SOFR + 6.46%), 10/20/31(1)(2) | 5,500 | 4,127,435 | |
Series 2016-3A, Class CR, 8.512%, (3 mo. USD LIBOR + 3.25%), 10/18/31(1)(2) | 2,000 | 1,711,971 | |
Series 2016-3A, Class DR, 11.342%, (3 mo. USD LIBOR + 6.08%), 10/18/31(1)(2) | 2,375 | 1,704,293 | |
Series 2018-2A, Class E, 10.51%, (3 mo. USD LIBOR + 5.25%), 7/15/31(1)(2) | 2,500 | 2,008,248 | |
Webster Park CLO, Ltd.: | |||
Series 2015-1A, Class CR, 8.15%, (3 mo. USD LIBOR + 2.90%), 7/20/30(1)(2) | 2,000 | 1,843,301 | |
Series 2015-1A, Class DR, 10.75%, (3 mo. USD LIBOR + 5.50%), 7/20/30(1)(2) | 2,500 | 2,098,162 | |
Wellfleet CLO, Ltd.: | |||
Series 2021-1A, Class D, 8.75%, (3 mo. USD LIBOR + 3.50%), 4/20/34(1)(2) | 1,200 | 1,040,771 | |
Series 2021-3A, Class E, 12.36%, (3 mo. USD LIBOR + 7.10%), 1/15/35(1)(2) | 950 | 810,867 | |
Series 2022-1A, Class D, 9.126%, (3 mo. SOFR + 4.14%), 4/15/34(1)(2) | 1,000 | 929,625 | |
Series 2022-1A, Class E, 12.846%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,000 | 1,789,022 | |
Total Asset-Backed Securities (identified cost $319,955,975) | $ 281,462,489 |
Common Stocks — 0.5% |
Security | Shares | Value | |
Aerospace and Defense — 0.2% | |||
IAP Global Services, LLC(4)(5)(6)(7) | 950 | $ 4,258,603 | |
IAP Global Services, LLC(4)(5)(6) | 1,627 | 7,293,418 | |
$ 11,552,021 |
Security | Shares | Value | |
Containers and Glass Products — 0.0%(8) | |||
LG Newco Holdco, Inc., Class A(6)(7) | 250,979 | $ 2,258,811 | |
$ 2,258,811 | |||
Electronics/Electrical — 0.0%(8) | |||
Skillsoft Corp.(6)(7) | 893,525 | $ 1,099,036 | |
$ 1,099,036 | |||
Health Care — 0.0% | |||
Akorn Holding Company, LLC, Class A(5)(6)(7) | 705,631 | $ 0 | |
$ 0 | |||
Investment Companies — 0.0%(8) | |||
Aegletes B.V.(6)(7) | 116,244 | $ 678,086 | |
Jubilee Topco, Ltd., Class A(5)(6)(7) | 2,897,167 | 0 | |
$ 678,086 | |||
Nonferrous Metals/Minerals — 0.1% | |||
ACNR Holdings, Inc., Class A(6)(7) | 36,829 | $ 3,397,475 | |
$ 3,397,475 | |||
Oil and Gas — 0.0%(8) | |||
AFG Holdings, Inc.(5)(6)(7) | 498,342 | $ 1,490,043 | |
McDermott International, Ltd.(6)(7) | 1,013,850 | 434,637 | |
QuarterNorth Energy, Inc.(7) | 4,707 | 656,921 | |
$ 2,581,601 | |||
Radio and Television — 0.1% | |||
Clear Channel Outdoor Holdings, Inc.(6)(7) | 1,204,044 | $ 1,529,136 | |
Cumulus Media, Inc., Class A(6)(7) | 644,574 | 2,265,677 | |
iHeartMedia, Inc., Class A(6)(7) | 512,034 | 1,776,758 | |
$ 5,571,571 | |||
Retailers (Except Food and Drug) — 0.0%(8) | |||
David’s Bridal, LLC(5)(6)(7) | 272,023 | $ 0 | |
Phillips Pet Holding Corp.(5)(6)(7) | 2,590 | 196,185 | |
$ 196,185 | |||
Telecommunications — 0.1% | |||
GEE Acquisition Holdings Corp.(5)(6)(7) | 364,650 | $ 3,518,873 | |
$ 3,518,873 |
Security | Shares | Value | |
Utilities — 0.0%(8) | |||
Longview Intermediate Holdings, LLC, Class A(7) | 149,459 | $ 1,206,134 | |
$ 1,206,134 | |||
Total Common Stocks (identified cost $84,985,189) | $ 32,059,793 |
Corporate Bonds — 8.6% |
Security | Principal Amount (000's omitted) | Value | |
Aerospace and Defense — 0.1% | |||
TransDigm, Inc.: | |||
6.25%, 3/15/26(1) | 1,500 | $ 1,509,438 | |
6.75%, 8/15/28(1) | 3,175 | 3,228,312 | |
$ 4,737,750 | |||
Air Transport — 0.6% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 17,175 | $ 16,885,495 | |
5.75%, 4/20/29(1) | 12,875 | 12,251,530 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 4,625 | 4,422,537 | |
4.625%, 4/15/29(1) | 4,625 | 4,190,605 | |
$ 37,750,167 | |||
Automotive — 0.1% | |||
Adient Global Holdings, Ltd., 7.00%, 4/15/28(1) | 2,175 | $ 2,232,857 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 1,890 | 1,895,317 | |
Clarios Global, L.P./Clarios US Finance Co., 6.25%, 5/15/26(1) | 3,893 | 3,879,365 | |
$ 8,007,539 | |||
Building and Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, 6.75%, 5/15/28(1) | 3,150 | $ 2,943,722 | |
Winnebago Industries, Inc., 6.25%, 7/15/28(1) | 900 | 871,700 | |
$ 3,815,422 | |||
Business Equipment and Services — 0.9% | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp., 6.625%, 7/15/26(1) | 2,075 | $ 2,002,990 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
4.625%, 6/1/28(1) | 12,475 | 10,872,150 | |
4.625%, 6/1/28(1) | 23,725 | 20,635,054 |
Security | Principal Amount (000's omitted) | Value | |
Business Equipment and Services (continued) | |||
Prime Security Services Borrower, LLC/Prime Finance, Inc.: | |||
5.25%, 4/15/24(1) | 7,900 | $ 7,872,931 | |
5.75%, 4/15/26(1) | 15,225 | 15,129,745 | |
$ 56,512,870 | |||
Chemicals — 0.2% | |||
Cheever Escrow Issuer, LLC, 7.125%, 10/1/27(1) | 925 | $ 882,799 | |
INEOS Finance PLC, 3.375%, 3/31/26(1) | EUR | 1,250 | 1,280,976 |
INEOS Quattro Finance 2 PLC, 3.375%, 1/15/26(1) | 3,050 | 2,801,547 | |
Olympus Water US Holding Corp., 4.25%, 10/1/28(1) | 9,350 | 7,984,900 | |
$ 12,950,222 | |||
Commercial Services — 0.2% | |||
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(1) | 13,300 | $ 12,530,927 | |
$ 12,530,927 | |||
Communications Equipment — 0.1% | |||
CommScope, Inc., 4.75%, 9/1/29(1) | 6,650 | $ 5,376,167 | |
$ 5,376,167 | |||
Containers & Packaging — 0.2% | |||
Clydesdale Acquisition Holdings, Inc., 6.625%, 4/15/29(1) | 2,300 | $ 2,259,685 | |
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC: | |||
4.00%, 10/15/27(1) | 5,150 | 4,641,463 | |
4.375%, 10/15/28(1) | 9,125 | 8,044,189 | |
$ 14,945,337 | |||
Diversified Financial Services — 0.2% | |||
AG Issuer, LLC, 6.25%, 3/1/28(1) | 8,075 | $ 7,514,151 | |
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 2,925 | 3,009,898 | |
NFP Corp., 7.50%, 10/1/30(1) | 2,925 | 2,869,564 | |
$ 13,393,613 | |||
Diversified Telecommunication Services — 1.1% | |||
Altice France S.A.: | |||
5.125%, 1/15/29(1) | 1,300 | $ 961,907 | |
5.125%, 7/15/29(1) | 57,625 | 42,656,947 | |
5.50%, 10/15/29(1) | 6,455 | 4,837,898 | |
Level 3 Financing, Inc., 3.875%, 11/15/29(1) | 11,225 | 8,207,908 | |
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(1) | 6,500 | 5,574,810 | |
Zayo Group Holdings, Inc., 4.00%, 3/1/27(1) | 4,000 | 3,032,908 | |
$ 65,272,378 |
Security | Principal Amount (000's omitted) | Value | |
Drugs — 0.1% | |||
Jazz Securities DAC, 4.375%, 1/15/29(1) | 9,150 | $ 8,418,275 | |
$ 8,418,275 | |||
Ecological Services and Equipment — 0.1% | |||
GFL Environmental, Inc., 4.25%, 6/1/25(1) | 5,300 | $ 5,163,181 | |
$ 5,163,181 | |||
Electronics/Electrical — 0.4% | |||
GoTo Group, Inc., 5.50%, 9/1/27(1) | 10,760 | $ 6,068,694 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 18,175 | 15,758,755 | |
$ 21,827,449 | |||
Entertainment — 0.2% | |||
AMC Entertainment Holdings, Inc., 7.50%, 2/15/29(1) | 8,700 | $ 6,315,678 | |
Live Nation Entertainment, Inc., 3.75%, 1/15/28(1) | 2,075 | 1,862,312 | |
Six Flags Theme Parks, Inc., 7.00%, 7/1/25(1) | 1,070 | 1,084,536 | |
$ 9,262,526 | |||
Health Care — 0.6% | |||
Medline Borrower, L.P., 3.875%, 4/1/29(1) | 22,800 | $ 19,969,453 | |
RP Escrow Issuer, LLC, 5.25%, 12/15/25(1) | 2,150 | 1,510,372 | |
Tenet Healthcare Corp., 4.25%, 6/1/29 | 15,950 | 14,647,681 | |
$ 36,127,506 | |||
Hotels, Restaurants & Leisure — 0.5% | |||
Carnival Corp., 4.00%, 8/1/28(1) | 34,575 | $ 30,006,930 | |
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(1) | 2,125 | 2,175,278 | |
$ 32,182,208 | |||
Household Products — 0.0%(8) | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(1) | 1,075 | $ 995,891 | |
$ 995,891 | |||
Insurance — 0.0%(8) | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co., 4.25%, 10/15/27(1) | 700 | $ 641,579 | |
$ 641,579 | |||
Internet Software & Services — 0.3% | |||
Arches Buyer, Inc., 4.25%, 6/1/28(1) | 6,900 | $ 5,945,969 |
Security | Principal Amount (000's omitted) | Value | |
Internet Software & Services (continued) | |||
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(1) | 13,700 | $ 13,578,877 | |
$ 19,524,846 | |||
Leisure Goods/Activities/Movies — 0.4% | |||
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 3,300 | $ 3,105,026 | |
NCL Corp., Ltd., 5.875%, 2/15/27(1) | 22,000 | 20,773,221 | |
$ 23,878,247 | |||
Machinery — 0.3% | |||
Madison IAQ, LLC, 4.125%, 6/30/28(1) | 13,400 | $ 11,801,762 | |
TK Elevator U.S. Newco, Inc., 5.25%, 7/15/27(1) | 4,150 | 3,884,427 | |
$ 15,686,189 | |||
Media — 0.5% | |||
Diamond Sports Group, LLC/Diamond Sports Finance Co., 5.375%, 8/15/26(1)(9) | 6,753 | $ 460,014 | |
iHeartCommunications, Inc.: | |||
4.75%, 1/15/28(1) | 2,550 | 1,988,712 | |
5.25%, 8/15/27(1) | 2,125 | 1,681,255 | |
6.375%, 5/1/26 | 2,896 | 2,488,867 | |
8.375%, 5/1/27 | 5,248 | 3,468,362 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 9,125 | 7,872,712 | |
7.375%, 6/30/30(1) | 11,300 | 10,854,221 | |
$ 28,814,143 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
CITGO Petroleum Corporation, 7.00%, 6/15/25(1) | 10,525 | $ 10,488,163 | |
$ 10,488,163 | |||
Professional Services — 0.1% | |||
CoreLogic, Inc., 4.50%, 5/1/28(1) | 5,525 | $ 4,522,351 | |
$ 4,522,351 | |||
Real Estate Investment Trusts (REITs) — 0.1% | |||
Park Intermediate Holdings, LLC/PK Domestic Property, LLC/PK Finance Co-Issuer, 5.875%, 10/1/28(1) | 6,425 | $ 5,932,845 | |
$ 5,932,845 |
Security | Principal Amount (000's omitted) | Value | |
Retail — 0.2% | |||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 15,580 | $ 13,655,403 | |
$ 13,655,403 | |||
Retailers (Except Food and Drug) — 0.0%(8) | |||
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 1,300 | $ 1,230,201 | |
$ 1,230,201 | |||
Software — 0.2% | |||
Boxer Parent Co., Inc., 7.125%, 10/2/25(1) | 4,225 | $ 4,217,564 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 7,600 | 6,537,634 | |
$ 10,755,198 | |||
Technology — 0.2% | |||
Clarivate Science Holdings Corp., 3.875%, 7/1/28(1) | 11,400 | $ 10,271,627 | |
$ 10,271,627 | |||
Telecommunications — 0.2% | |||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 9,325 | $ 7,997,400 | |
VMED O2 UK Financing I PLC, 4.25%, 1/31/31(1) | 8,550 | 7,096,840 | |
$ 15,094,240 | |||
Trading Companies & Distributors — 0.1% | |||
American Builders & Contractors Supply Co., Inc., 4.00%, 1/15/28(1) | 2,975 | $ 2,729,076 | |
SRS Distribution, Inc., 4.625%, 7/1/28(1) | 4,575 | 4,034,076 | |
$ 6,763,152 | |||
Utilities — 0.0%(8) | |||
Calpine Corp., 5.25%, 6/1/26(1) | 1,109 | $ 1,080,179 | |
$ 1,080,179 | |||
Wireless Telecommunication Services — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(1) | 6,325 | $ 5,733,992 | |
$ 5,733,992 | |||
Total Corporate Bonds (identified cost $595,846,350) | $ 523,341,783 |
Exchange-Traded Funds — 0.3% |
Security | Shares | Value | |
SPDR Blackstone Senior Loan ETF | 426,000 | $ 17,687,520 | |
Total Exchange-Traded Funds (identified cost $19,593,026) | $ 17,687,520 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Financial Services — 0.0% | |||
DBI Investors, Inc., Series A-1(5)(6)(7) | 13,348 | $ 0 | |
$ 0 | |||
Nonferrous Metals/Minerals — 0.2% | |||
ACNR Holdings, Inc., 15.00% (PIK)(6)(7) | 17,394 | $ 9,740,640 | |
$ 9,740,640 | |||
Retailers (Except Food and Drug) — 0.0% | |||
David’s Bridal, LLC: | |||
Series A, 8.00% (PIK)(5)(6)(7) | 7,852 | $ 0 | |
Series B, 10.00% (PIK)(5)(6)(7) | 31,998 | 0 | |
$ 0 | |||
Total Preferred Stocks (identified cost $2,590,558) | $ 9,740,640 |
Senior Floating-Rate Loans — 79.4%(10) |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 1.7% | |||
Aernnova Aerospace S.A.U.: | |||
Term Loan, 5.436%, (6 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 4,656 | $ 4,848,402 |
Term Loan, 5.625%, (6 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 1,194 | 1,243,180 |
AI Convoy (Luxembourg) S.a.r.l., Term Loan, 7.078%, (6 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 3,850 | 4,008,989 |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 8.582%, (SOFR + 3.50%), 4/6/26 | 13,962 | 13,736,926 | |
Term Loan, 8.582%, (SOFR + 3.50%), 4/6/26 | 7,509 | 7,388,122 | |
IAP Worldwide Services, Inc., Term Loan - Second Lien, 11.659%, (3 mo. USD LIBOR + 6.50%), 7/18/23(5) | 6,730 | 5,337,958 | |
TransDigm, Inc.: | |||
Term Loan, 8.148%, (SOFR + 3.25%), 2/22/27 | 27,682 | 27,759,185 | |
Term Loan, 8.148%, (SOFR + 3.25%), 8/24/28 | 16,123 | 16,134,997 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense (continued) | |||
WP CPP Holdings, LLC, Term Loan, 9.03%, (3 mo. USD LIBOR + 3.75%), 4/30/25 | 27,239 | $ 25,059,910 | |
$ 105,517,669 | |||
Airlines — 0.5% | |||
American Airlines, Inc., Term Loan, 10.00%, (3 mo. USD LIBOR + 4.75%), 4/20/28 | 27,625 | $ 27,859,813 | |
$ 27,859,813 | |||
Apparel & Luxury Goods — 0.1% | |||
Hanesbrands, Inc., Term Loan, 8.732%, (SOFR + 3.75%), 3/8/30 | 4,575 | $ 4,557,844 | |
$ 4,557,844 | |||
Auto Components — 1.7% | |||
Adient US, LLC, Term Loan, 8.268%, (1 mo. USD LIBOR + 3.25%), 4/10/28 | 5,523 | $ 5,530,657 | |
Clarios Global, L.P., Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 24,804 | 27,053,743 |
DexKo Global, Inc.: | |||
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 10/4/28 | EUR | 1,012 | 1,025,491 |
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 10/4/28 | EUR | 3,272 | 3,314,299 |
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 10/4/28 | EUR | 6,291 | 6,373,317 |
Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 10/4/28 | 13,439 | 12,834,484 | |
Garrett LX I S.a.r.l., Term Loan, 6.742%, (3 mo. EURIBOR + 3.50%), 4/30/28 | EUR | 15,900 | 17,213,613 |
Garrett Motion, Inc., Term Loan, 4/28/30(11) | 11,750 | 11,412,187 | |
LTI Holdings, Inc., Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 7/24/26 | 7,080 | 6,925,312 | |
Truck Hero, Inc., Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 1/31/28 | 15,273 | 13,936,525 | |
$ 105,619,628 | |||
Automobiles — 0.9% | |||
Bombardier Recreational Products, Inc., Term Loan, 7.082%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | 43,385 | $ 42,402,450 | |
MajorDrive Holdings IV, LLC, Term Loan, 9.00%, (3 mo. USD LIBOR + 4.00%), 6/1/28 | 10,458 | 10,206,177 | |
$ 52,608,627 | |||
Beverages — 0.2% | |||
City Brewing Company, LLC, Term Loan, 8.76%, (3 mo. USD LIBOR + 3.50%), 4/5/28 | 5,781 | $ 2,408,725 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Beverages (continued) | |||
Triton Water Holdings, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 3/31/28 | 11,741 | $ 11,160,132 | |
$ 13,568,857 | |||
Biotechnology — 0.4% | |||
Alkermes, Inc., Term Loan, 7.45%, (1 mo. USD LIBOR + 2.50%), 3/12/26 | 18,271 | $ 17,950,981 | |
Alltech, Inc., Term Loan, 9.097%, (SOFR + 4.00%), 10/13/28 | 4,760 | 4,617,552 | |
Grifols Worldwide Operations USA, Inc., Term Loan, 7.025%, (1 mo. USD LIBOR + 2.00%), 11/15/27 | 4,440 | 4,333,445 | |
$ 26,901,978 | |||
Building Products — 0.8% | |||
Cornerstone Building Brands, Inc., Term Loan, 8.24%, (SOFR + 3.25%), 4/12/28 | 11,113 | $ 10,112,727 | |
CPG International, Inc., Term Loan, 7.582%, (SOFR + 2.50%), 4/28/29 | 13,706 | 13,667,583 | |
LHS Borrower, LLC, Term Loan, 9.832%, (SOFR + 4.75%), 2/16/29 | 9,482 | 7,443,444 | |
MI Windows and Doors, LLC, Term Loan, 8.582%, (SOFR + 3.50%), 12/18/27 | 6,578 | 6,576,737 | |
Oscar AcquisitionCo, LLC, Term Loan, 9.498%, (SOFR + 4.50%), 4/29/29 | 3,907 | 3,785,330 | |
Standard Industries, Inc., Term Loan, 7.329%, (SOFR + 2.25%), 9/22/28 | 8,890 | 8,878,345 | |
$ 50,464,166 | |||
Capital Markets — 4.0% | |||
Advisor Group, Inc., Term Loan, 9.525%, (1 mo. USD LIBOR + 4.50%), 7/31/26 | 22,283 | $ 22,184,316 | |
AllSpring Buyer, LLC, Term Loan, 8.163%, (3 mo. USD LIBOR + 3.00%), 11/1/28 | 6,251 | 6,237,043 | |
Aretec Group, Inc.: | |||
Term Loan, 9.332%, (SOFR + 4.25%), 10/1/25 | 18,371 | 18,321,838 | |
Term Loan, 3/8/30(11) | 8,875 | 8,782,549 | |
CeramTec AcquiCo GmbH, Term Loan, 6.448%, (3 mo. EURIBOR + 3.75%), 3/16/29 | EUR | 12,779 | 13,649,970 |
Clipper Acquisitions Corp., Term Loan, 6.608%, (1 mo. USD LIBOR + 1.75%), 3/3/28 | 11,154 | 11,098,601 | |
Edelman Financial Center, LLC, Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 4/7/28 | 13,893 | 13,481,821 | |
EIG Management Company, LLC, Term Loan, 8.732%, (SOFR + 3.75%), 2/22/25 | 2,874 | 2,862,973 | |
FinCo I, LLC, Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 6/27/25 | 18,666 | 18,665,865 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Capital Markets (continued) | |||
Focus Financial Partners, LLC: | |||
Term Loan, 7.482%, (SOFR + 2.50%), 6/30/28 | 9,928 | $ 9,820,652 | |
Term Loan, 8.232%, (SOFR + 3.25%), 6/30/28 | 17,389 | 17,309,715 | |
Franklin Square Holdings, L.P., Term Loan, 7.332%, (SOFR + 2.35%), 8/1/25 | 6,231 | 6,215,765 | |
Guggenheim Partners, LLC, Term Loan, 8.148%, (SOFR + 3.25%), 12/12/29 | 19,327 | 19,311,083 | |
Hudson River Trading, LLC, Term Loan, 8.097%, (SOFR + 3.00%), 3/20/28 | 25,703 | 24,206,458 | |
LPL Holdings, Inc., Term Loan, 6.653%, (SOFR + 1.75%), 11/12/26 | 15,867 | 15,852,117 | |
Mariner Wealth Advisors, LLC, Term Loan, 8.404%, (SOFR + 3.25%), 8/18/28 | 13,515 | 13,227,848 | |
Victory Capital Holdings, Inc.: | |||
Term Loan, 7.287%, (SOFR + 2.25%), 7/1/26 | 13,437 | 13,387,665 | |
Term Loan, 7.287%, (SOFR + 2.25%), 12/29/28 | 6,979 | 6,922,056 | |
$ 241,538,335 | |||
Chemicals — 4.5% | |||
Axalta Coating Systems Dutch Holding B B.V., Term Loan, 7.898%, (SOFR + 3.00%), 12/20/29 | 18,739 | $ 18,817,809 | |
Chemours Company (The), Term Loan, 5.02%, (3 mo. EURIBOR + 2.00%), 4/3/25 | EUR | 2,775 | 3,042,728 |
Colouroz Investment 1 GmbH: | |||
Term Loan, 7.465%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 2,512 | 1,903,347 |
Term Loan, 7.466%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 27 | 20,592 |
CPC Acquisition Corp., Term Loan, 8.91%, (SOFR + 3.75%), 12/29/27 | 14,714 | 11,285,543 | |
Flint Group GmbH: | |||
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 276 | 208,912 |
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 32 | 24,132 |
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 73 | 54,949 |
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 144 | 108,874 |
Term Loan, 10.273%, (3 mo. USD LIBOR + 5.00%), 9.523% cash, 0.75% PIK, 9/21/23 | 1,388 | 952,554 | |
Flint Group US, LLC, Term Loan, 10.273%, (3 mo. USD LIBOR + 5.00%), 9.523% cash, 0.75% PIK, 9/21/23 | 8,397 | 5,762,143 | |
Gemini HDPE, LLC, Term Loan, 8.292%, (3 mo. USD LIBOR + 3.00%), 12/31/27 | 4,799 | 4,800,896 | |
GEON Performance Solutions, LLC, Term Loan, 9.659%, (3 mo. USD LIBOR + 4.50%), 8/18/28 | 5,689 | 5,649,987 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Groupe Solmax, Inc., Term Loan, 9.909%, (3 mo. USD LIBOR + 4.75%), 5/29/28 | 9,440 | $ 8,528,243 | |
INEOS Enterprises Holdings II Limited, Term Loan, 5.948%, (3 mo. EURIBOR + 3.25%), 8/31/26 | EUR | 1,975 | 2,168,092 |
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 8.49%, (SOFR + 3.50%), 8/28/26 | 5,014 | 4,994,855 | |
INEOS Finance PLC, Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 11/8/28 | EUR | 8,900 | 9,434,045 |
INEOS Quattro Holdings UK, Ltd.: | |||
Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 1/29/26 | EUR | 23,150 | 24,756,480 |
Term Loan, 7.015%, (1 mo. EURIBOR + 4.00%), 3/14/30 | EUR | 3,300 | 3,599,909 |
Term Loan, 8.832%, (SOFR + 3.75%), 3/14/30 | 5,000 | 4,993,750 | |
INEOS Styrolution US Holding, LLC, Term Loan, 7.847%, (1 mo. USD LIBOR + 2.75%), 1/29/26 | 8,314 | 8,296,866 | |
INEOS US Finance, LLC: | |||
Term Loan, 7.015%, (1 mo. EURIBOR + 4.00%), 11/8/27 | EUR | 6,200 | 6,827,406 |
Term Loan, 7.582%, (SOFR + 2.50%), 11/8/28 | 6,183 | 6,069,431 | |
Term Loan, 8.568%, (SOFR + 3.50%), 2/18/30 | 9,325 | 9,323,060 | |
Term Loan, 8.832%, (SOFR + 3.75%), 11/8/27 | 2,650 | 2,650,000 | |
Kraton Corporation, Term Loan, 8.544%, (SOFR + 3.25%), 3/15/29 | 5,643 | 5,640,884 | |
Kraton Polymers Holdings B.V., Term Loan, 6.25%, (3 mo. EURIBOR + 3.25%), 3/15/29 | EUR | 4,250 | 4,575,755 |
Lonza Group AG: | |||
Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 7/3/28 | EUR | 9,600 | 9,487,363 |
Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 7/3/28 | 17,820 | 16,497,670 | |
LSF11 Skyscraper Holdco S.a.r.l.: | |||
Term Loan, 6.38%, (1 mo. EURIBOR + 3.50%), 9/29/27 | EUR | 11,350 | 12,485,071 |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 9/29/27 | 4,754 | 4,749,885 | |
Messer Industries GmbH: | |||
Term Loan, 5.515%, (3 mo. EURIBOR + 2.50%), 3/2/26 | EUR | 1,744 | 1,919,547 |
Term Loan, 7.66%, (SOFR + 2.50%), 3/2/26 | 8,698 | 8,696,411 | |
Momentive Performance Materials, Inc., Term Loan, 9.482%, (SOFR + 4.50%), 3/29/28 | 9,525 | 9,507,141 | |
Olympus Water US Holding Corporation: | |||
Term Loan, 8.938%, (3 mo. USD LIBOR + 3.75%), 11/9/28 | 3,967 | 3,774,815 | |
Term Loan, 9.498%, (SOFR + 4.50%), 11/9/28 | 5,371 | 5,162,633 | |
Orion Engineered Carbons GmbH: | |||
Term Loan, 5.515%, (3 mo. EURIBOR + 2.50%), 9/24/28 | EUR | 1,250 | 1,365,324 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Orion Engineered Carbons GmbH: (continued) | |||
Term Loan, 7.309%, (3 mo. USD LIBOR + 2.15%), 9/24/28 | 4,457 | $ 4,370,768 | |
PQ Corporation, Term Loan, 7.645%, (3 mo. USD LIBOR + 2.50%), 6/9/28 | 8,712 | 8,698,592 | |
Rohm Holding GmbH, Term Loan, 10.102%, (3 mo. USD LIBOR + 5.00%), 7/31/26 | 9,521 | 8,108,659 | |
SCUR-Alpha 1503 GmbH, Term Loan, 3/30/30(11) | 5,550 | 5,050,500 | |
Spectrum Holdings III Corp., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 1/31/25 | 5,501 | 5,274,558 | |
Tronox Finance, LLC: | |||
Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 3/10/28 | 11,570 | 11,416,827 | |
Term Loan, 8.148%, (SOFR + 3.25%), 4/4/29 | 3,638 | 3,621,576 | |
$ 274,678,582 | |||
Commercial Services & Supplies — 1.7% | |||
Allied Universal Holdco, LLC, Term Loan, 6.765%, (1 mo. EURIBOR + 3.75%), 5/12/28 | EUR | 8,465 | $ 8,844,123 |
Asplundh Tree Expert, LLC, Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 9/7/27 | 8,239 | 8,218,153 | |
Belfor Holdings, Inc., Term Loan, 9.232%, (SOFR + 4.25%), 4/6/26 | 2,600 | 2,600,472 | |
EnergySolutions, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 5/9/25 | 17,093 | 16,575,347 | |
GFL Environmental, Inc., Term Loan, 8.145%, (SOFR + 3.00%), 5/28/27 | 7,536 | 7,551,526 | |
Harsco Corporation, Term Loan, 7.347%, (SOFR + 2.25%), 3/10/28 | 3,390 | 3,299,590 | |
Monitronics International, Inc., Term Loan, 12.773%, (3 mo. USD LIBOR + 7.50%), 3/29/24 | 16,755 | 9,047,914 | |
Phoenix Services International, LLC: | |||
DIP Loan, 14.97%, (SOFR + 12.00%), 5/29/23(12) | 1,016 | 975,771 | |
DIP Loan, 16.982%, (SOFR + 12.00%), 5/29/23 | 2,112 | 2,027,548 | |
Term Loan, 0.00%, 3/1/25(9) | 6,587 | 753,943 | |
Prime Security Services Borrower, LLC, Term Loan, 7.608%, (1 mo. USD LIBOR + 2.75%), 9/23/26 | 13,438 | 13,434,361 | |
SITEL Group, Term Loan, 6.765%, (1 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 6,425 | 7,009,869 |
SITEL Worldwide Corporation, Term Loan, 8.76%, (1 mo. USD LIBOR + 3.75%), 8/28/28 | 14,022 | 13,991,844 | |
Tempo Acquisition, LLC, Term Loan, 7.982%, (SOFR + 3.00%), 8/31/28 | 2,475 | 2,476,741 | |
TruGreen Limited Partnership, Term Loan, 9.082%, (1 mo. USD LIBOR + 4.00%), 11/2/27 | 4,008 | 3,705,165 | |
$ 100,512,367 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Communications Equipment — 0.1% | |||
Digi International, Inc., Term Loan, 10.025%, (1 mo. USD LIBOR + 5.00%), 11/1/28 | 4,709 | $ 4,697,602 | |
$ 4,697,602 | |||
Construction Materials — 0.4% | |||
Quikrete Holdings, Inc.: | |||
Term Loan, 7.65%, (1 mo. USD LIBOR + 2.63%), 2/1/27 | 2,748 | $ 2,735,440 | |
Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 3/18/29 | 19,110 | 19,057,996 | |
$ 21,793,436 | |||
Consumer Staples Distribution & Retail — 0.1% | |||
Peer Holding III B.V., Term Loan, 9/29/28(11) | EUR | 5,725 | $ 6,233,468 |
$ 6,233,468 | |||
Containers & Packaging — 1.1% | |||
Berlin Packaging, LLC, Term Loan, 8.616%, (USD LIBOR + 3.75%), 3/11/28(12) | 2,916 | $ 2,863,773 | |
Kouti B.V.: | |||
Term Loan, 5.873%, (3 mo. EURIBOR + 3.18%), 8/31/28 | EUR | 29,250 | 30,554,597 |
Term Loan, 7.562%, (1 week EURIBOR + 4.75%), 8/31/28 | EUR | 4,475 | 4,924,841 |
Pregis TopCo Corporation: | |||
Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 7/31/26 | 1,354 | 1,335,752 | |
Term Loan, 8.847%, (SOFR + 3.75%), 7/31/26 | 1,974 | 1,948,575 | |
Pretium PKG Holdings, Inc.: | |||
Term Loan, 9.167%, (3 mo. USD LIBOR + 4.00%), 10/2/28 | 7,085 | 5,683,434 | |
Term Loan - Second Lien, 11.863%, (3 mo. USD LIBOR + 6.75%), 10/1/29 | 6,675 | 4,138,500 | |
Proampac PG Borrower, LLC, Term Loan, 8.976%, (USD LIBOR + 3.75%), 11/3/25(12) | 10,977 | 10,832,478 | |
Trident TPI Holdings, Inc., Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 9/15/28 | 5,691 | 5,537,652 | |
$ 67,819,602 | |||
Distributors — 0.4% | |||
Autokiniton US Holdings, Inc., Term Loan, 9.597%, (SOFR + 4.50%), 4/6/28 | 20,683 | $ 20,348,741 | |
Phillips Feed Service, Inc., Term Loan, 12.01%, (1 mo. USD LIBOR + 7.00%), 11/13/24(5) | 473 | 378,439 | |
Winterfell Financing S.a.r.l., Term Loan, 7.926%, (3 mo. EURIBOR + 5.00%), 5/4/28 | EUR | 2,000 | 2,143,196 |
$ 22,870,376 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Consumer Services — 0.8% | |||
Ascend Learning, LLC, Term Loan, 8.582%, (SOFR + 3.50%), 12/11/28 | 11,350 | $ 10,380,361 | |
FrontDoor, Inc., Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 6/17/28 | 860 | 845,359 | |
KUEHG Corp.: | |||
Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 2/21/25 | 28,487 | 28,344,696 | |
Term Loan - Second Lien, 13.409%, (3 mo. USD LIBOR + 8.25%), 8/22/25 | 4,425 | 4,330,969 | |
Sotheby's, Term Loan, 9.76%, (3 mo. USD LIBOR + 4.50%), 1/15/27 | 4,005 | 4,004,919 | |
$ 47,906,304 | |||
Diversified Financial Services — 0.2% | |||
Concorde Midco, Ltd., Term Loan, 7.052%, (3 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 8,730 | $ 9,397,138 |
$ 9,397,138 | |||
Diversified Telecommunication Services — 2.2% | |||
CenturyLink, Inc., Term Loan, 7.347%, (SOFR + 2.25%), 3/15/27 | 22,946 | $ 15,657,181 | |
GEE Holdings 2, LLC: | |||
Term Loan, 13.018%, (3 mo. USD LIBOR + 8.00%), 3/24/25 | 9,639 | 9,446,335 | |
Term Loan - Second Lien, 13.268%, (3 mo. USD LIBOR + 8.25%), 3/23/26 | 7,100 | 4,384,328 | |
Level 3 Financing, Inc., Term Loan, 6.847%, (SOFR + 1.75%), 3/1/27 | 851 | 727,800 | |
Telenet Financing USD, LLC, Term Loan, 6.948%, (1 mo. USD LIBOR + 2.00%), 4/30/28 | 12,325 | 12,079,597 | |
Telenet International Finance S.a.r.l., Term Loan, 5.184%, (1 mo. EURIBOR + 2.25%), 4/30/29 | EUR | 1,500 | 1,599,835 |
UPC Broadband Holding B.V.: | |||
Term Loan, 5.434%, (1 mo. EURIBOR + 2.50%), 4/30/29 | EUR | 4,850 | 5,230,653 |
Term Loan, 5.859%, (1 mo. EURIBOR + 2.93%), 1/31/29 | EUR | 13,850 | 15,008,563 |
UPC Financing Partnership, Term Loan, 7.873%, (1 mo. USD LIBOR + 2.93%), 1/31/29 | 4,000 | 3,968,500 | |
Virgin Media Bristol, LLC, Term Loan, 7.448%, (1 mo. USD LIBOR + 2.50%), 1/31/28 | 9,638 | 9,501,977 | |
Virgin Media Ireland Limited, Term Loan, 6.397%, (1 mo. EURIBOR + 3.46%), 7/15/29 | EUR | 8,500 | 9,090,255 |
Virgin Media SFA Finance Limited: | |||
Term Loan, 5.434%, (1 mo. EURIBOR + 2.50%), 1/31/29 | EUR | 5,625 | 6,028,707 |
Term Loan, 7.46%, (SONIA + 3.25%), 1/15/27 | GBP | 8,175 | 9,747,395 |
Term Loan, 7.46%, (SONIA + 3.25%), 11/15/27 | GBP | 600 | 714,358 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Telecommunication Services (continued) | |||
Zayo Group Holdings, Inc., Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 3/9/27 | EUR | 4,120 | $ 3,806,189 |
Ziggo B.V., Term Loan, 6.102%, (6 mo. EURIBOR + 3.00%), 1/31/29 | EUR | 25,150 | 26,427,754 |
$ 133,419,427 | |||
Electrical Equipment — 0.1% | |||
AZZ, Inc., Term Loan, 9.246%, (SOFR + 4.25%), 5/13/29 | 1,739 | $ 1,740,686 | |
Brookfield WEC Holdings, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 8/1/25 | 1,529 | 1,526,357 | |
$ 3,267,043 | |||
Electronic Equipment, Instruments & Components — 0.8% | |||
Creation Technologies, Inc., Term Loan, 10.723%, (3 mo. USD LIBOR + 5.50%), 10/5/28 | 12,881 | $ 11,399,881 | |
II-VI Incorporated, Term Loan, 7.847%, (SOFR + 2.75%), 7/2/29 | 418 | 417,210 | |
Minimax Viking GmbH, Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 7/31/25 | EUR | 1,846 | 2,033,284 |
Mirion Technologies, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 10/20/28 | 1,727 | 1,726,610 | |
Robertshaw US Holding Corp., Term Loan, 8.688%, (3 mo. USD LIBOR + 3.50%), 2/28/25 | 16,896 | 9,123,787 | |
Verifone Systems, Inc., Term Loan, 8.958%, (3 mo. USD LIBOR + 4.00%), 8/20/25 | 13,694 | 11,857,014 | |
Verisure Holding AB, Term Loan, 6.262%, (3 mo. EURIBOR + 3.25%), 3/27/28 | EUR | 12,450 | 13,208,560 |
$ 49,766,346 | |||
Energy Equipment & Services — 0.6% | |||
Ameriforge Group, Inc.: | |||
Term Loan, 12.615%, (1 mo. USD LIBOR + 8.00%), 2/1/26(5)(13) | 3,157 | $ 2,841,582 | |
Term Loan, 18.159%, (3 mo. USD LIBOR + 13.00%), 13.159% cash, 5.00% PIK, 2/1/26(5) | 24,688 | 22,219,622 | |
Lealand Finance Company B.V.: | |||
Letter of Credit, 4.29%, 6/28/24(13) | 9,039 | 7,728,661 | |
Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 6.025% cash, 3.00% PIK, 6/30/25 | 2,479 | 1,657,100 | |
$ 34,446,965 | |||
Engineering & Construction — 0.8% | |||
Aegion Corporation, Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 5/17/28 | 15,837 | $ 15,584,799 | |
American Residential Services, LLC, Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 10/15/27 | 500 | 495,893 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Engineering & Construction (continued) | |||
APi Group DE, Inc., Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 10/1/26 | 10,603 | $ 10,604,810 | |
Centuri Group, Inc., Term Loan, 7.459%, (USD LIBOR + 2.50%), 8/27/28(12) | 8,342 | 8,290,138 | |
Northstar Group Services, Inc.: | |||
Term Loan, 10.491%, (SOFR + 5.50%), 11/12/26 | 1,988 | 1,987,500 | |
Term Loan, 10.597%, (SOFR + 5.50%), 11/12/26 | 10,966 | 10,938,200 | |
$ 47,901,340 | |||
Entertainment — 1.4% | |||
AMC Entertainment Holdings, Inc., Term Loan, 7.946%, (1 mo. USD LIBOR + 3.00%), 4/22/26 | 19,548 | $ 15,049,263 | |
City Football Group Limited, Term Loan, 8.273%, (3 mo. USD LIBOR + 3.00%), 7/21/28 | 8,270 | 8,104,491 | |
Crown Finance US, Inc., DIP Loan, 15.049%, (SOFR + 10.10%), 9/7/23(12) | 8,050 | 8,214,188 | |
Formula One Holdings Limited., Term Loan, 8.232%, (SOFR + 3.25%), 1/15/30 | 2,500 | 2,507,553 | |
Live Nation Entertainment, Inc., Term Loan, 6.796%, (SOFR + 1.75%), 10/17/26 | 5,600 | 5,550,713 | |
Playtika Holding Corp., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 3/13/28 | 24,653 | 24,571,859 | |
Renaissance Holding Corp.: | |||
Term Loan, 9.732%, (1 mo. USD LIBOR + 4.75%), 4/5/30 | 11,025 | 10,842,404 | |
Term Loan - Second Lien, 12.025%, (1 mo. USD LIBOR + 7.00%), 5/29/26 | 3,175 | 3,125,060 | |
UFC Holdings, LLC, Term Loan, 8.05%, (3 mo. USD LIBOR + 2.75%), 4/29/26 | 7,243 | 7,234,170 | |
Vue International Bidco PLC: | |||
Term Loan, 11.086%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 434 | 438,321 |
Term Loan, 11.359%, (6 mo. EURIBOR + 8.00%), 4.859% cash, 6.50% PIK, 12/31/27 | EUR | 2,934 | 1,778,006 |
$ 87,416,028 | |||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||
Iron Mountain, Inc., Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 3,654 | $ 3,645,527 | |
$ 3,645,527 | |||
Financial Services — 0.2% | |||
Ditech Holding Corporation, Term Loan, 0.00%, 6/30/23(9) | 19,573 | $ 2,152,988 | |
Walker & Dunlop, Inc., Term Loan, 7.332%, (SOFR + 2.25%), 12/16/28 | 12,887 | 12,779,489 | |
$ 14,932,477 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Food Products — 0.9% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 9.768%, (1 mo. USD LIBOR + 4.75%), 10/1/25 | 6,575 | $ 5,892,732 | |
Badger Buyer Corp., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 9/30/24 | 4,801 | 3,856,500 | |
CHG PPC Parent, LLC, Term Loan, 6.515%, (1 mo. EURIBOR + 3.50%), 3/31/25 | EUR | 2,000 | 2,159,725 |
Del Monte Foods, Inc., Term Loan, 9.314%, (SOFR + 4.25%), 5/16/29 | 6,309 | 6,208,241 | |
Froneri International, Ltd.: | |||
Term Loan, 5.067%, (6 mo. EURIBOR + 2.13%), 1/29/27 | EUR | 1,500 | 1,574,044 |
Term Loan, 7.409%, (3 mo. USD LIBOR + 2.25%), 1/29/27 | 4,716 | 4,660,255 | |
Nomad Foods Europe Midco Limited, Term Loan, 8.561%, (SOFR + 3.75%), 11/12/29 | 8,033 | 8,046,148 | |
Sovos Brands Intermediate, Inc., Term Loan, 8.773%, (3 mo. USD LIBOR + 3.50%), 6/8/28 | 4,259 | 4,222,755 | |
United Petfood Group B.V., Term Loan, 6.038%, (3 mo. EURIBOR + 2.75%), 4/23/28 | EUR | 8,400 | 8,908,865 |
Valeo F1 Company Limited (Ireland): | |||
Term Loan, 7.239%, (6 mo. EURIBOR + 4.00%), 9/29/28 | EUR | 8,550 | 8,083,431 |
Term Loan, 8.927%, (SONIA + 5.00%), 6/28/28 | GBP | 2,500 | 2,552,774 |
$ 56,165,470 | |||
Gas Utilities — 0.4% | |||
CQP Holdco, L.P., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 6/5/28 | 22,243 | $ 22,226,083 | |
$ 22,226,083 | |||
Health Care Equipment & Supplies — 1.0% | |||
Artivion, Inc., Term Loan, 8.66%, (SOFR + 3.50%), 6/1/27 | 6,678 | $ 6,218,753 | |
Bayou Intermediate II, LLC, Term Loan, 9.296%, (3 mo. USD LIBOR + 4.50%), 8/2/28 | 6,691 | 6,289,892 | |
Gloves Buyer, Inc., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 12/29/27 | 12,184 | 11,696,624 | |
ICU Medical, Inc., Term Loan, 7.548%, (SOFR + 2.50%), 1/8/29 | 7,400 | 7,345,518 | |
Journey Personal Care Corp., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 3/1/28 | 28,401 | 22,153,048 | |
Medline Borrower, L.P., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 10/23/28 | 8,657 | 8,418,136 | |
$ 62,121,971 | |||
Health Care Providers & Services — 4.3% | |||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 8.938%, (3 mo. USD LIBOR + 3.75%), 9/7/28 | 13,751 | $ 13,716,251 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Biogroup-LCD, Term Loan, 5.602%, (3 mo. EURIBOR + 3.00%), 2/9/28 | EUR | 10,650 | $ 10,730,410 |
BW NHHC Holdco, Inc., Term Loan - Second Lien, 12.898%, (SOFR + 8.00%), 1/15/26 | 13,770 | 9,914,191 | |
CAB, Term Loan, 5.852%, (3 mo. EURIBOR + 3.25%), 2/9/28 | EUR | 7,150 | 7,311,330 |
Cano Health, LLC, Term Loan, 9.082%, (SOFR + 4.00%), 11/23/27 | 7,263 | 5,792,616 | |
CCRR Parent, Inc., Term Loan, 8.78%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 4,733 | 4,638,394 | |
Cerba Healthcare S.A.S.: | |||
Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 6/30/28 | EUR | 18,925 | 19,148,695 |
Term Loan, 6.515%, (1 mo. EURIBOR + 3.50%), 2/15/29 | EUR | 8,225 | 8,522,579 |
Covis Finco S.a.r.l., Term Loan, 11.548%, (SOFR + 6.50%), 2/18/27 | 12,896 | 7,383,103 | |
Dedalus Finance GmbH, Term Loan, 6.969%, (3 mo. EURIBOR + 3.75%), 7/17/27 | EUR | 3,350 | 3,331,458 |
Elsan S.A.S., Term Loan, 6.103%, (3 mo. EURIBOR + 3.35%), 6/16/28 | EUR | 4,100 | 4,388,411 |
Envision Healthcare Corporation: | |||
Term Loan, 12.923%, (SOFR + 7.88%), 3/31/27 | 5,436 | 4,375,933 | |
Term Loan - Second Lien, 9.148%, (SOFR + 4.25%), 3/31/27 | 38,369 | 5,659,480 | |
IVC Acquisition, Ltd.: | |||
Term Loan, 6.294%, (6 mo. EURIBOR + 4.00%), 2/13/26 | EUR | 9,100 | 9,629,682 |
Term Loan, 7.703%, (SONIA + 4.50%), 2/13/26 | GBP | 950 | 1,131,232 |
Medical Solutions Holdings, Inc.: | |||
Term Loan, 8.24%, (SOFR + 3.25%), 11/1/28 | 13,814 | 13,419,286 | |
Term Loan - Second Lien, 11.99%, (SOFR + 7.00%), 11/1/29 | 9,500 | 8,597,500 | |
Mehilainen Yhtiot Oy, Term Loan, 6.54%, (3 mo. EURIBOR + 3.53%), 8/8/25 | EUR | 6,025 | 6,471,317 |
Midwest Physician Administrative Services, LLC, Term Loan, 8.409%, (3 mo. USD LIBOR + 3.25%), 3/12/28 | 1,416 | 1,342,467 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 8.748%, (SOFR + 3.75%), 3/2/28 | 334 | 258,216 | |
Term Loan, 8.815%, (SOFR + 3.75%), 3/2/28(12) | 12,314 | 9,528,219 | |
Term Loan - Second Lien, 12.248%, (SOFR + 7.25%), 3/2/29 | 5,525 | 3,315,000 | |
Option Care Health, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 3,342 | 3,342,289 | |
Pediatric Associates Holding Company, LLC: | |||
Term Loan, 7.516%, (1 mo. USD LIBOR + 3.25%), 12/29/28(13) | 147 | 145,564 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Pediatric Associates Holding Company, LLC: (continued) | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 12/29/28 | 967 | $ 956,726 | |
Phoenix Guarantor, Inc.: | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 3/5/26 | 16,319 | 16,070,737 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 3/5/26 | 5,389 | 5,306,811 | |
Radiology Partners, Inc., Term Loan, 9.347%, (SOFR + 4.25%), 7/9/25 | 16,962 | 12,566,034 | |
Ramsay Generale de Sante S.A., Term Loan, 6.261%, (3 mo. EURIBOR + 3.05%), 4/22/27 | EUR | 6,600 | 7,251,329 |
Select Medical Corporation, Term Loan, 7.53%, (1 mo. USD LIBOR + 2.50%), 3/6/25 | 45,148 | 45,085,510 | |
Sound Inpatient Physicians: | |||
Term Loan, 8.273%, (3 mo. USD LIBOR + 3.00%), 6/27/25 | 199 | 151,455 | |
Term Loan, 8.273%, (3 mo. USD LIBOR + 3.00%), 6/27/25 | 2,333 | 1,783,621 | |
Synlab Bondco PLC, Term Loan, 5.193%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 2,125 | 2,316,660 |
TTF Holdings, LLC, Term Loan, 9.063%, (1 mo. USD LIBOR + 4.00%), 3/31/28 | 5,083 | 5,082,594 | |
U.S. Anesthesia Partners, Inc., Term Loan, 9.098%, (1 mo. USD LIBOR + 4.25%), 10/1/28 | 3,946 | 3,786,688 | |
$ 262,451,788 | |||
Health Care Technology — 1.0% | |||
Bracket Intermediate Holding Corp., Term Loan, 9.287%, (3 mo. USD LIBOR + 4.25%), 9/5/25 | 4,531 | $ 4,498,608 | |
Certara, L.P., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 8/15/26 | 1,818 | 1,806,265 | |
GHX Ultimate Parent Corporation, Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 6/28/24 | 3,394 | 3,382,272 | |
Imprivata, Inc.: | |||
Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 12/1/27 | 11,262 | 10,933,173 | |
Term Loan, 9.232%, (SOFR + 4.25%), 12/1/27 | 3,275 | 3,222,538 | |
MedAssets Software Intermediate Holdings, Inc.: | |||
Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 12/18/28 | 16,310 | 14,081,177 | |
Term Loan - Second Lien, 11.775%, (1 mo. USD LIBOR + 6.75%), 12/17/29 | 8,775 | 5,278,707 | |
Symplr Software, Inc., Term Loan, 9.645%, (SOFR + 4.50%), 12/22/27 | 10,106 | 9,171,067 | |
Verscend Holding Corp., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 8/27/25 | 10,000 | 10,000,890 | |
$ 62,374,697 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Hotels, Restaurants & Leisure — 3.2% | |||
1011778 B.C. Unlimited Liability Company, Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 11/19/26 | 21,522 | $ 21,358,657 | |
Carnival Corporation: | |||
Term Loan, 6.765%, (1 mo. EURIBOR + 3.75%), 6/30/25 | EUR | 8,835 | 9,705,077 |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 10/18/28 | 34,587 | 34,082,803 | |
ClubCorp Holdings, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 9/18/24 | 21,048 | 19,940,261 | |
GVC Holdings (Gibraltar) Limited, Term Loan, 6.74%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 20,694 | 22,820,243 |
Oravel Stays Singapore Pte., Ltd., Term Loan, 13.27%, (3 mo. USD LIBOR + 8.25%), 6/23/26 | 5,379 | 4,666,445 | |
Playa Resorts Holding B.V., Term Loan, 9.14%, (SOFR + 4.25%), 1/5/29 | 18,005 | 17,999,870 | |
Scientific Games International, Inc., Term Loan, 7.981%, (SOFR + 3.00%), 4/14/29 | 7,444 | 7,443,750 | |
SeaWorld Parks & Entertainment, Inc., Term Loan, 8.063%, (1 mo. USD LIBOR + 3.00%), 8/25/28 | 14,899 | 14,861,376 | |
Stars Group Holdings B.V. (The): | |||
Term Loan, 5.515%, (3 mo. EURIBOR + 2.50%), 7/21/26 | EUR | 11,225 | 12,307,087 |
Term Loan, 7.409%, (3 mo. USD LIBOR + 2.25%), 7/21/26 | 29,194 | 29,177,766 | |
$ 194,363,335 | |||
Household Durables — 1.5% | |||
ACProducts, Inc., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 5/17/28 | 18,668 | $ 14,807,602 | |
Libbey Glass, Inc., Term Loan, 13.461%, (SOFR + 8.50%), 8.711% cash, 4.75% PIK, 11/22/27 | 14,305 | 14,376,950 | |
Serta Simmons Bedding, LLC: | |||
Term Loan, 0.00%, 8/10/23(9) | 13,330 | 13,213,223 | |
Term Loan - Second Lien, 0.00%, 8/10/23(9) | 44,026 | 26,195,398 | |
Solis IV B.V.: | |||
Term Loan, 6.67%, (3 mo. EURIBOR + 4.00%), 2/26/29 | EUR | 5,693 | 5,843,332 |
Term Loan, 8.373%, (SOFR + 3.50%), 2/26/29 | 13,787 | 12,514,436 | |
Spectrum Brands, Inc., Term Loan, 6.96%, (3 mo. USD LIBOR + 2.00%), 3/3/28 | 4,165 | 4,131,159 | |
$ 91,082,100 | |||
Household Products — 0.5% | |||
Energizer Holdings, Inc., Term Loan, 7.329%, (SOFR + 2.25%), 12/22/27 | 6,541 | $ 6,516,848 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Household Products (continued) | |||
Kronos Acquisition Holdings, Inc.: | |||
Term Loan, 8.703%, (3 mo. USD LIBOR + 3.75%), 12/22/26 | 8,027 | $ 7,841,973 | |
Term Loan, 11.023%, (SOFR + 6.00%), 12/22/26 | 5,086 | 5,022,055 | |
Nobel Bidco B.V., Term Loan, 5.942%, (6 mo. EURIBOR + 3.50%), 9/1/28 | EUR | 11,450 | 11,029,155 |
$ 30,410,031 | |||
Independent Power and Renewable Electricity Producers — 0.1% | |||
Calpine Corporation: | |||
Term Loan, 7.03%, (1 mo. USD LIBOR + 2.00%), 4/5/26 | 2,313 | $ 2,307,925 | |
Term Loan, 7.53%, (1 mo. USD LIBOR + 2.50%), 12/16/27 | 6,160 | 6,145,836 | |
$ 8,453,761 | |||
Industrial Conglomerates — 0.3% | |||
Rain Carbon GmbH, Term Loan, 5.969%, (3 mo. EURIBOR + 2.75%), 1/16/25 | EUR | 15,625 | $ 16,700,679 |
$ 16,700,679 | |||
Insurance — 0.9% | |||
Alliant Holdings Intermediate, LLC: | |||
Term Loan, 8.376%, (SOFR + 3.50%), 11/5/27 | 3,778 | $ 3,755,218 | |
Term Loan, 8.51%, (1 mo. USD LIBOR + 3.50%), 11/6/27 | 13,232 | 13,148,202 | |
AssuredPartners, Inc.: | |||
Term Loan, 8.482%, (SOFR + 3.50%), 2/12/27 | 5,321 | 5,250,302 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 2/12/27 | 3,093 | 3,046,026 | |
Financiere CEP S.A.S., Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 6/18/27 | EUR | 4,125 | 4,444,206 |
Hub International Limited: | |||
Term Loan, 8.021%, (USD LIBOR + 3.00%), 4/25/25(12) | 9,017 | 9,012,873 | |
Term Loan, 8.511%, (3 mo. USD LIBOR + 3.25%), 4/25/25 | 5,361 | 5,359,067 | |
NFP Corp., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 2/15/27 | 13,360 | 13,107,293 | |
$ 57,123,187 | |||
Interactive Media & Services — 0.7% | |||
Adevinta ASA: | |||
Term Loan, 6.015%, (3 mo. EURIBOR + 3.00%), 6/26/28 | EUR | 5,877 | $ 6,470,260 |
Term Loan, 7.909%, (3 mo. USD LIBOR + 2.75%), 6/26/28 | 2,137 | 2,141,613 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Interactive Media & Services (continued) | |||
Buzz Finco, LLC: | |||
Term Loan, 7.832%, (1 mo. USD LIBOR + 2.75%), 1/29/27 | 1,972 | $ 1,972,156 | |
Term Loan, 8.332%, (SOFR + 2.25%), 1/29/27 | 435 | 435,057 | |
Foundational Education Group, Inc., Term Loan, 8.91%, (SOFR + 3.75%), 8/31/28 | 5,162 | 4,542,654 | |
Getty Images, Inc.: | |||
Term Loan, 8.063%, (3 mo. EURIBOR + 5.00%), 2/19/26 | EUR | 2,224 | 2,442,947 |
Term Loan, 9.503%, (SOFR + 4.50%), 2/19/26(12) | 15,870 | 15,899,477 | |
Match Group, Inc., Term Loan, 6.713%, (3 mo. USD LIBOR + 1.75%), 2/13/27 | 6,450 | 6,421,781 | |
$ 40,325,945 | |||
IT Services — 4.1% | |||
Asurion, LLC: | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 546 | $ 513,329 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 7/31/27 | 8,976 | 8,315,893 | |
Term Loan, 9.082%, (SOFR + 4.00%), 8/19/28 | 9,104 | 8,476,220 | |
Term Loan, 9.332%, (SOFR + 4.25%), 8/19/28 | 7,136 | 6,674,851 | |
Term Loan - Second Lien, 10.275%, (1 mo. USD LIBOR + 5.25%), 1/31/28 | 15,790 | 13,305,538 | |
Term Loan - Second Lien, 10.275%, (1 mo. USD LIBOR + 5.25%), 1/20/29 | 2,375 | 1,990,877 | |
Cyxtera DC Holdings, Inc.: | |||
Term Loan, 8.068%, (3 mo. USD LIBOR + 3.00%), 5/1/24 | 27,147 | 20,371,800 | |
Term Loan, 9.068%, (3 mo. USD LIBOR + 4.00%), 5/1/24 | 9,711 | 7,218,578 | |
Endure Digital, Inc., Term Loan, 8.792%, (3 mo. USD LIBOR + 3.50%), 2/10/28 | 19,908 | 18,698,240 | |
Gainwell Acquisition Corp., Term Loan, 8.998%, (SOFR + 4.00%), 10/1/27 | 50,721 | 48,977,438 | |
Go Daddy Operating Company, LLC, Term Loan, 8.232%, (SOFR + 3.25%), 11/9/29 | 44,953 | 45,060,526 | |
Informatica, LLC, Term Loan, 7.813%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 31,754 | 31,707,952 | |
NAB Holdings, LLC, Term Loan, 8.048%, (SOFR + 3.00%), 11/23/28 | 14,425 | 14,256,931 | |
Rackspace Technology Global, Inc., Term Loan, 7.595%, (3 mo. USD LIBOR + 2.75%), 2/15/28 | 16,347 | 6,872,470 | |
team.blue Finco S.a.r.l., Term Loan, 6.715%, (3 mo. EURIBOR + 3.70%), 3/30/28 | EUR | 11,150 | 11,892,012 |
WEX, Inc., Term Loan, 7.347%, (SOFR + 2.25%), 3/31/28 | 3,920 | 3,918,601 | |
$ 248,251,256 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Leisure Products — 0.4% | |||
Amer Sports Oyj, Term Loan, 7.898%, (6 mo. EURIBOR + 4.25%), 3/30/26 | EUR | 11,925 | $ 12,893,785 |
Fender Musical Instruments Corporation, Term Loan, 8.99%, (SOFR + 4.00%), 12/1/28 | 2,273 | 2,116,745 | |
Hayward Industries, Inc., Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 5/30/28 | 9,101 | 8,864,488 | |
SRAM, LLC, Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 5/18/28 | 1,930 | 1,904,592 | |
$ 25,779,610 | |||
Life Sciences Tools & Services — 2.3% | |||
Avantor Funding, Inc., Term Loan, 5.515%, (1 mo. EURIBOR + 2.50%), 6/12/28 | EUR | 19,355 | $ 21,295,781 |
Cambrex Corporation, Term Loan, 8.482%, (SOFR + 3.50%), 12/4/26 | 324 | 322,409 | |
Catalent Pharma Solutions, Inc., Term Loan, 7.063%, (1 mo. USD LIBOR + 2.00%), 2/22/28 | 1,029 | 1,023,855 | |
Curia Global, Inc., Term Loan, 8.895%, (SOFR + 3.75%), 8/30/26(12) | 17,355 | 15,181,381 | |
ICON Luxembourg S.a.r.l., Term Loan, 7.41%, (SOFR + 2.25%), 7/3/28 | 52,986 | 53,002,844 | |
IQVIA, Inc., Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 1/17/25 | 12,472 | 12,474,866 | |
LGC Group Holdings, Ltd., Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 4/21/27 | EUR | 5,775 | 6,071,818 |
Loire Finco Luxembourg S.a.r.l., Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 4/21/27 | 1,128 | 1,085,752 | |
PRA Health Sciences, Inc., Term Loan, 7.126%, (SOFR + 2.25%), 7/3/28 | 13,202 | 13,205,862 | |
Sotera Health Holdings, LLC, Term Loan, 8.023%, (3 mo. USD LIBOR + 2.75%), 12/11/26 | 17,828 | 17,404,722 | |
$ 141,069,290 | |||
Machinery — 2.8% | |||
AI Alpine AT Bidco GmbH, Term Loan, 6.339%, (6 mo. EURIBOR + 3.00%), 10/31/25 | EUR | 6,125 | $ 6,614,157 |
AI Aqua Merger Sub, Inc., Term Loan, 8.584%, (SOFR + 3.75%), 7/31/28 | 6,591 | 6,434,609 | |
Albion Financing 3 S.a.r.l.: | |||
Term Loan, 10.347%, (SOFR + 5.50%), 8/17/26 | 3,525 | 3,472,125 | |
Term Loan, 10.523%, (3 mo. USD LIBOR + 5.25%), 8/17/26 | 3,479 | 3,412,570 | |
Ali Group North America Corporation, Term Loan, 7.097%, (SOFR + 2.00%), 7/30/29 | 16,063 | 16,008,554 | |
Alliance Laundry Systems, LLC, Term Loan, 8.559%, (3 mo. USD LIBOR + 3.50%), 10/8/27 | 252 | 250,615 | |
American Trailer World Corp., Term Loan, 8.832%, (SOFR + 3.75%), 3/3/28 | 13,302 | 11,556,467 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
Apex Tool Group, LLC, Term Loan, 10.24%, (SOFR + 5.25%), 2/8/29 | 20,528 | $ 18,110,539 | |
Clark Equipment Company, Term Loan, 7.498%, (SOFR + 2.50%), 4/20/29 | 11,484 | 11,484,000 | |
Conair Holdings, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 5/17/28 | 24,330 | 22,793,700 | |
Delachaux Group S.A., Term Loan, 9.773%, (3 mo. USD LIBOR + 4.50%), 4/16/26 | 4,208 | 4,102,312 | |
Engineered Machinery Holdings, Inc.: | |||
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 10,712 | 11,537,843 |
Term Loan - Second Lien, 11.159%, (3 mo. USD LIBOR + 6.00%), 5/21/29 | 2,000 | 1,842,500 | |
EWT Holdings III Corp., Term Loan, 7.347%, (SOFR + 2.25%), 4/1/28 | 3,500 | 3,482,378 | |
Filtration Group Corporation, Term Loan, 6.515%, (1 mo. EURIBOR + 3.50%), 3/29/25 | EUR | 2,931 | 3,213,285 |
Icebox Holdco III, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 12/22/28 | 4,169 | 4,018,122 | |
Madison IAQ, LLC, Term Loan, 8.302%, (6 mo. USD LIBOR + 3.25%), 6/21/28 | 11,640 | 11,226,405 | |
Pro Mach Group, Inc., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 8/31/28 | 2,813 | 2,809,771 | |
Roper Industrial Products Investment Company, LLC: | |||
Term Loan, 8.015%, (3 mo. EURIBOR + 5.25%), 11/22/29 | EUR | 1,000 | 1,059,202 |
Term Loan, 9.398%, (SOFR + 4.50%), 11/22/29 | 2,275 | 2,264,574 | |
SPX Flow, Inc., Term Loan, 9.582%, (SOFR + 4.50%), 4/5/29 | 4,623 | 4,470,842 | |
TK Elevator Topco GmbH, Term Loan, 6.567%, (6 mo. EURIBOR + 3.63%), 7/30/27 | EUR | 9,725 | 10,352,088 |
Vertical US Newco, Inc., Term Loan, 8.602%, (6 mo. USD LIBOR + 3.50%), 7/30/27 | 6 | 6,067 | |
Zephyr German BidCo GmbH, Term Loan, 6.645%, (3 mo. EURIBOR + 3.60%), 3/10/28 | EUR | 11,775 | 12,043,204 |
$ 172,565,929 | |||
Media — 1.7% | |||
Charter Communications Operating, LLC, Term Loan, 6.795%, (SOFR + 1.75%), 2/1/27(12) | 3,616 | $ 3,568,214 | |
CSC Holdings, LLC: | |||
Term Loan, 7.198%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | 20,221 | 19,348,868 | |
Term Loan, 7.198%, (1 mo. USD LIBOR + 2.25%), 1/15/26 | 4 | 3,893 | |
Diamond Sports Group, LLC: | |||
Term Loan, 13.064%, (SOFR + 8.15%), 5/25/26(9) | 4,166 | 3,794,770 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Media (continued) | |||
Diamond Sports Group, LLC: (continued) | |||
Term Loan - Second Lien, 8.167%, (SOFR + 3.25%), 8/24/26(9) | 23,068 | $ 1,741,610 | |
Gray Television, Inc., Term Loan, 7.918%, (1 mo. USD LIBOR + 3.00%), 12/1/28 | 1,037 | 1,016,547 | |
Hubbard Radio, LLC, Term Loan, 9.28%, (1 mo. USD LIBOR + 4.25%), 3/28/25 | 6,076 | 4,982,375 | |
iHeartCommunications, Inc., Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 5/1/26 | 2,365 | 2,056,866 | |
Magnite, Inc., Term Loan, 10.043%, (USD LIBOR + 5.00%), 4/28/28(12) | 1,338 | 1,294,900 | |
Mission Broadcasting, Inc., Term Loan, 7.348%, (1 mo. USD LIBOR + 2.50%), 6/2/28 | 3,635 | 3,631,615 | |
Nexstar Broadcasting, Inc., Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 9/18/26 | 3,623 | 3,617,832 | |
Recorded Books, Inc., Term Loan, 8.996%, (SOFR + 4.00%), 8/29/25 | 9,877 | 9,856,403 | |
Sinclair Television Group, Inc.: | |||
Term Loan, 7.53%, (1 mo. USD LIBOR + 2.50%), 9/30/26 | 6,200 | 5,574,948 | |
Term Loan, 8.03%, (1 mo. USD LIBOR + 3.00%), 4/1/28 | 22,788 | 19,391,305 | |
Univision Communications, Inc.: | |||
Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 3/15/24 | 7,012 | 7,023,061 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 3/15/26 | 18,281 | 18,191,625 | |
$ 105,094,832 | |||
Metals/Mining — 0.7% | |||
American Consolidated Natural Resources, Inc., Term Loan, 21.268%, (3 mo. USD LIBOR + 16.00%), 18.268% cash, 3.00% PIK, 9/16/25 | 435 | $ 437,207 | |
Dynacast International, LLC: | |||
Term Loan, 9.458%, (3 mo. USD LIBOR + 4.50%), 7/22/25 | 15,259 | 14,191,103 | |
Term Loan, 13.958%, (3 mo. USD LIBOR + 9.00%), 10/22/25 | 3,049 | 2,302,267 | |
PMHC II, Inc., Term Loan, 9.304%, (SOFR + 4.25%), 4/23/29 | 4,183 | 3,677,920 | |
WireCo WorldGroup, Inc., Term Loan, 9.25%, (1 mo. USD LIBOR + 4.25%), 11/13/28 | 6,202 | 6,170,745 | |
Zekelman Industries, Inc., Term Loan, 7.018%, (3 mo. USD LIBOR + 2.00%), 1/24/27 | 15,397 | 15,265,134 | |
$ 42,044,376 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Oil, Gas & Consumable Fuels — 1.0% | |||
Centurion Pipeline Company, LLC: | |||
Term Loan, 10.25%, (USD Prime + 3.25%), 9/29/25 | 3,120 | $ 3,127,014 | |
Term Loan, 11.00%, (USD Prime + 4.00%), 9/28/25 | 1,629 | 1,632,430 | |
GIP II Blue Holding, L.P., Term Loan, 9.659%, (3 mo. USD LIBOR + 4.50%), 9/29/28 | 15,014 | 15,006,304 | |
Matador Bidco S.a.r.l., Term Loan, 9.582%, (SOFR + 4.50%), 10/15/26 | 32,191 | 32,058,209 | |
Oxbow Carbon, LLC, Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 10/17/25 | 5,323 | 5,323,405 | |
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 13.025%, (1 mo. USD LIBOR + 8.00%), 8/27/26 | 5,729 | 5,714,832 | |
$ 62,862,194 | |||
Personal Products — 0.1% | |||
Rainbow Finco S.a.r.l., Term Loan, 6.697%, (6 mo. EURIBOR + 3.50%), 2/23/29 | EUR | 2,925 | $ 3,094,137 |
$ 3,094,137 | |||
Pharmaceuticals — 1.7% | |||
Aenova Holding GmbH, Term Loan, 7.332%, (6 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 925 | $ 981,354 |
AI Sirona (Luxembourg) Acquisition S.a.r.l., Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 9/29/25 | EUR | 13,000 | 14,132,855 |
Akorn, Inc., Term Loan, 0.00%, 10/1/25(9) | 2,996 | 733,965 | |
Amneal Pharmaceuticals, LLC, Term Loan, 8.563%, (1 mo. USD LIBOR + 3.50%), 5/4/25 | 3,681 | 3,462,973 | |
Bausch Health Companies, Inc., Term Loan, 10.24%, (SOFR + 5.25%), 2/1/27 | 18,347 | 14,831,444 | |
Elanco Animal Health Incorporated, Term Loan, 6.653%, (SOFR + 1.75%), 8/1/27 | 4,909 | 4,783,372 | |
Horizon Therapeutics USA, Inc.: | |||
Term Loan, 6.813%, (1 mo. USD LIBOR + 1.75%), 3/15/28 | 6,662 | 6,659,383 | |
Term Loan, 7.063%, (1 mo. USD LIBOR + 2.00%), 5/22/26 | 7,802 | 7,800,855 | |
Jazz Financing Lux S.a.r.l., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 5/5/28 | 7,036 | 7,035,059 | |
Mallinckrodt International Finance S.A.: | |||
Term Loan, 10.198%, (1 mo. USD LIBOR + 5.25%), 9/30/27 | 31,419 | 22,567,526 | |
Term Loan, 10.448%, (1 mo. USD LIBOR + 5.50%), 9/30/27 | 9,953 | 7,141,078 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
PharmaZell GmbH, Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 1,800 | $ 1,917,307 |
Recipharm AB, Term Loan, 5.882%, (3 mo. EURIBOR + 3.20%), 2/17/28 | EUR | 13,725 | 14,173,641 |
$ 106,220,812 | |||
Professional Services — 2.4% | |||
AlixPartners, LLP, Term Loan, 6.24%, (3 mo. EURIBOR + 3.25%), 2/4/28 | EUR | 3,455 | $ 3,762,504 |
APFS Staffing Holdings, Inc., Term Loan, 8.97%, (SOFR + 4.00%), 12/29/28(12) | 3,688 | 3,643,958 | |
Apleona Holding GmbH, Term Loan, 6.442%, (3 mo. EURIBOR + 3.20%), 4/28/28 | EUR | 7,525 | 7,967,907 |
CoreLogic, Inc., Term Loan, 8.563%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | 14,171 | 12,755,286 | |
Corporation Service Company, Term Loan, 8.332%, (SOFR + 3.25%), 11/2/29 | 4,883 | 4,888,744 | |
Deerfield Dakota Holding, LLC, Term Loan, 8.648%, (SOFR + 3.75%), 4/9/27 | 9,960 | 9,654,882 | |
EAB Global, Inc., Term Loan, 8.871%, (USD LIBOR + 3.50%), 8/16/28(12) | 14,467 | 14,154,940 | |
Employbridge Holding Company, Term Loan, 9.926%, (3 mo. USD LIBOR + 4.75%), 7/19/28 | 20,705 | 17,523,940 | |
First Advantage Holdings, LLC, Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 1/31/27 | 5,857 | 5,849,483 | |
Neptune Bidco U.S., Inc., Term Loan, 10.004%, (SOFR + 5.00%), 4/11/29 | 8,050 | 7,209,781 | |
Rockwood Service Corporation, Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 1/23/27 | 5,442 | 5,438,005 | |
TMF Group Holding B.V., Term Loan, 5/5/28(11) | 4,650 | 4,620,938 | |
Trans Union, LLC: | |||
Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 11/16/26 | 2,485 | 2,478,749 | |
Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 12/1/28 | 40,129 | 40,078,918 | |
Vaco Holdings, LLC, Term Loan, 10.048%, (SOFR + 5.00%), 1/21/29 | 3,678 | 3,669,242 | |
$ 143,697,277 | |||
Real Estate Management & Development — 0.6% | |||
Cushman & Wakefield U.S. Borrower, LLC: | |||
Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | 12,323 | $ 12,116,499 | |
Term Loan, 8.332%, (SOFR + 3.25%), 1/31/30 | 10,544 | 10,286,572 | |
RE/MAX International, Inc., Term Loan, 7.563%, (1 mo. USD LIBOR + 2.50%), 7/21/28 | 16,334 | 15,399,950 | |
$ 37,803,021 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Road & Rail — 2.2% | |||
Avis Budget Car Rental, LLC: | |||
Term Loan, 6.847%, (SOFR + 1.75%), 8/6/27 | 30,399 | $ 30,170,660 | |
Term Loan, 8.582%, (SOFR + 3.50%), 3/16/29 | 4,125 | 4,133,250 | |
Grab Holdings, Inc., Term Loan, 9.53%, (1 mo. USD LIBOR + 4.50%), 1/29/26 | 15,465 | 15,455,247 | |
Hertz Corporation (The): | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 17,194 | 17,165,609 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 3,298 | 3,292,679 | |
Uber Technologies, Inc., Term Loan, 7.87%, (SOFR + 2.75%), 3/3/30 | 58,465 | 58,318,629 | |
XPO Logistics, Inc., Term Loan, 6.621%, (1 mo. USD LIBOR + 1.75%), 2/24/25 | 4,275 | 4,272,815 | |
$ 132,808,889 | |||
Semiconductors & Semiconductor Equipment — 0.8% | |||
Altar Bidco, Inc.: | |||
Term Loan, 6.608%, (SOFR + 3.10%), 2/1/29 | 10,716 | $ 10,456,143 | |
Term Loan - Second Lien, 10.493%, (SOFR + 5.60%), 2/1/30 | 6,650 | 5,897,719 | |
Bright Bidco B.V., Term Loan, 4.045%, (SOFR + 1.00%), 10/31/27 | 3,533 | 2,243,603 | |
Entegris, Inc., Term Loan, 7.661%, (SOFR + 2.75%), 7/6/29(12) | 2,494 | 2,497,907 | |
MACOM Technology Solutions Holdings, Inc., Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 5/17/24 | 555 | 554,718 | |
MaxLinear, Inc., Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 6/23/28 | 2,955 | 2,944,275 | |
MKS Instruments, Inc., Term Loan, 7.814%, (SOFR + 2.75%), 8/17/29 | 17,859 | 17,822,470 | |
Synaptics Incorporated, Term Loan, 7.399%, (6 mo. USD LIBOR + 2.25%), 12/2/28 | 2,770 | 2,759,862 | |
Ultra Clean Holdings, Inc., Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 8/27/25 | 1,946 | 1,950,137 | |
$ 47,126,834 | |||
Software — 12.7% | |||
Applied Systems, Inc., Term Loan, 9.398%, (SOFR + 4.50%), 9/18/26 | 43,880 | $ 44,016,774 | |
Aptean, Inc.: | |||
Term Loan, 9.221%, (SOFR + 4.25%), 4/23/26 | 21,828 | 21,137,640 | |
Term Loan - Second Lien, 12.082%, (SOFR + 7.10%), 4/23/27 | 6,550 | 6,116,063 | |
Astra Acquisition Corp.: | |||
Term Loan, 10.275%, (1 mo. USD LIBOR + 5.25%), 10/25/28 | 5,017 | 4,096,853 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Astra Acquisition Corp.: (continued) | |||
Term Loan - Second Lien, 13.90%, (1 mo. USD LIBOR + 8.88%), 10/25/29 | 20,170 | $ 13,312,299 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 7.015%, (1 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 1,919 | 2,089,201 |
Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 10/2/25 | 682 | 674,696 | |
Term Loan - Second Lien, 10.525%, (1 mo. USD LIBOR + 5.50%), 2/27/26 | 3,191 | 3,095,452 | |
CDK Global, Inc., Term Loan, 9.148%, (SOFR + 4.25%), 7/6/29 | 19,925 | 19,928,171 | |
CentralSquare Technologies, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 8/29/25 | 18,456 | 16,548,262 | |
Cloudera, Inc.: | |||
Term Loan, 8.832%, (SOFR + 3.75%), 10/8/28 | 23,351 | 22,573,947 | |
Term Loan - Second Lien, 11.082%, (SOFR + 6.00%), 10/8/29 | 2,950 | 2,625,500 | |
Constant Contact, Inc., Term Loan, 9.198%, (3 mo. USD LIBOR + 4.00%), 2/10/28 | 5,056 | 4,783,405 | |
Cornerstone OnDemand, Inc., Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 10/16/28 | 15,543 | 13,813,841 | |
Delta TopCo, Inc., Term Loan, 8.656%, (SOFR + 3.75%), 12/1/27 | 10,972 | 10,519,048 | |
E2open, LLC, Term Loan, 8.566%, (USD LIBOR + 3.50%), 2/4/28(12) | 16,257 | 16,218,314 | |
ECI Macola Max Holding, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 11/9/27 | 19,305 | 19,110,225 | |
Epicor Software Corporation, Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 7/30/27 | 39,803 | 39,373,424 | |
Finastra USA, Inc.: | |||
Term Loan, 8.655%, (3 mo. USD LIBOR + 3.50%), 6/13/24 | 39,204 | 37,447,085 | |
Term Loan - Second Lien, 12.405%, (3 mo. USD LIBOR + 7.25%), 6/13/25 | 25,750 | 21,879,466 | |
Fiserv Investment Solutions, Inc., Term Loan, 8.946%, (SOFR + 4.00%), 2/18/27 | 5,837 | 5,669,611 | |
GoTo Group, Inc., Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 8/31/27 | 24,284 | 14,752,360 | |
Hyland Software, Inc.: | |||
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | 47,534 | 47,290,231 | |
Term Loan - Second Lien, 11.275%, (1 mo. USD LIBOR + 6.25%), 7/7/25 | 1,750 | 1,687,109 | |
IGT Holding IV AB: | |||
Term Loan, 6.415%, (3 mo. EURIBOR + 3.40%), 3/31/28 | EUR | 6,205 | 6,668,753 |
Term Loan, 8.462%, (SOFR + 3.40%), 3/31/28 | 4,036 | 4,035,677 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Ivanti Software, Inc.: | |||
Term Loan, 9.212%, (3 mo. USD LIBOR + 4.25%), 12/1/27 | 3,910 | $ 3,164,098 | |
Term Loan - Second Lien, 12.212%, (3 mo. USD LIBOR + 7.25%), 12/1/28 | 9,750 | 5,984,063 | |
Magenta Buyer, LLC: | |||
Term Loan, 10.03%, (3 mo. USD LIBOR + 4.75%), 7/27/28 | 23,221 | 19,668,338 | |
Term Loan - Second Lien, 13.53%, (3 mo. USD LIBOR + 8.25%), 7/27/29 | 16,175 | 12,373,875 | |
Marcel LUX IV S.a.r.l.: | |||
Term Loan, 6.552%, (3 mo. EURIBOR + 3.50%), 3/16/26 | EUR | 8,650 | 9,430,167 |
Term Loan, 8.18%, (SOFR + 3.25%), 3/15/26 | 11,537 | 11,464,990 | |
Term Loan, 8.93%, (SOFR + 4.00%), 12/31/27 | 731 | 726,759 | |
Maverick Bidco, Inc., Term Loan, 9.057%, (3 mo. USD LIBOR + 3.75%), 5/18/28 | 11,014 | 10,619,579 | |
McAfee, LLC, Term Loan, 8.653%, (SOFR + 3.75%), 3/1/29 | 19,853 | 18,782,052 | |
MH Sub I, LLC, Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 9/13/24 | 4,327 | 4,319,124 | |
N-Able International Holdings II, LLC, Term Loan, 7.953%, (3 mo. USD LIBOR + 3.00%), 7/19/28 | 1,270 | 1,260,954 | |
NortonLifeLock, Inc., Term Loan, 7.082%, (SOFR + 2.00%), 9/12/29 | 1,578 | 1,563,725 | |
Open Text Corporation, Term Loan, 8.582%, (SOFR + 3.50%), 1/31/30 | 25,187 | 25,202,617 | |
Panther Commercial Holdings, L.P., Term Loan, 9.275%, (1 mo. USD LIBOR + 4.25%), 1/7/28 | 20,948 | 20,385,408 | |
Polaris Newco, LLC: | |||
Term Loan, 7.242%, (3 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 8,520 | 8,302,926 |
Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 6/2/28 | 2,957 | 2,746,625 | |
Proofpoint, Inc., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 8/31/28 | 7,951 | 7,795,723 | |
Quest Software US Holdings, Inc., Term Loan, 9.445%, (SOFR + 4.25%), 2/1/29 | 16,294 | 14,030,355 | |
RealPage, Inc., Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 4/24/28 | 10,773 | 10,481,975 | |
Red Planet Borrower, LLC, Term Loan, 8.322%, (SOFR + 3.75%), 10/2/28 | 15,268 | 10,572,829 | |
Redstone Holdco 2 L.P., Term Loan, 10.005%, (3 mo. USD LIBOR + 4.75%), 4/27/28 | 18,832 | 16,042,602 | |
Sabre GLBL, Inc.: | |||
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 12/17/27 | 5,998 | 4,718,654 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 12/17/27 | 3,763 | 2,939,766 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Skillsoft Corporation, Term Loan, 10.197%, (SOFR + 5.25%), 7/14/28 | 10,422 | $ 8,941,978 | |
SolarWinds Holdings, Inc., Term Loan, 8.982%, (SOFR + 4.00%), 2/5/27 | 17,275 | 17,286,989 | |
Sophia, L.P., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 10/7/27 | 23,309 | 23,047,013 | |
SurveyMonkey, Inc., Term Loan, 8.847%, (SOFR + 3.75%), 10/10/25 | 11,375 | 11,346,963 | |
Turing Midco, LLC, Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 3/24/28 | 472 | 471,766 | |
Ultimate Software Group, Inc. (The), Term Loan, 8.271%, (SOFR + 3.25%), 5/4/26 | 45,801 | 44,695,165 | |
Veritas US, Inc., Term Loan, 10.025%, (1 mo. USD LIBOR + 5.00%), 9/1/25 | 7,639 | 5,893,545 | |
Vision Solutions, Inc., Term Loan, 9.255%, (3 mo. USD LIBOR + 4.00%), 4/24/28 | 28,476 | 25,394,727 | |
VS Buyer, LLC, Term Loan, 7.903%, (SOFR + 3.00%), 2/28/27 | 13,860 | 13,704,509 | |
$ 772,823,266 | |||
Specialty Retail — 2.0% | |||
Belron Finance US, LLC, Term Loan, 7.30%, (3 mo. USD LIBOR + 2.43%), 4/13/28 | 7,669 | $ 7,667,542 | |
Belron Luxembourg S.a.r.l., Term Loan, 5.045%, (3 mo. EURIBOR + 2.50%), 4/13/28 | EUR | 3,575 | 3,927,803 |
Boels Topholding B.V., Term Loan, 6.01%, (1 mo. EURIBOR + 3.25%), 2/6/27 | EUR | 7,750 | 8,450,770 |
David's Bridal, Inc.: | |||
Term Loan, 12.273%, (3 mo. USD LIBOR + 7.00%), 12/31/24(5)(9) | 4,866 | 0 | |
Term Loan, 15.273%, (3 mo. USD LIBOR + 10.00%), 10.273% cash, 5.00% PIK, 6/23/23(5)(9) | 4,014 | 0 | |
Etraveli Holding AB, Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 8/2/24 | EUR | 7,844 | 8,581,215 |
Great Outdoors Group, LLC, Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 29,960 | 29,769,719 | |
Harbor Freight Tools USA, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 10/19/27 | 17,879 | 17,409,721 | |
Hoya Midco, LLC, Term Loan, 8.295%, (SOFR + 3.25%), 2/3/29 | 2,653 | 2,629,821 | |
Les Schwab Tire Centers, Term Loan, 8.064%, (3 mo. USD LIBOR + 3.25%), 11/2/27 | 13,937 | 13,896,309 | |
LIDS Holdings, Inc., Term Loan, 10.393%, (SOFR + 5.50%), 12/14/26 | 5,421 | 5,150,039 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Specialty Retail (continued) | |||
Mattress Firm, Inc., Term Loan, 9.39%, (3 mo. USD LIBOR + 4.25%), 9/25/28 | 15,951 | $ 14,844,348 | |
PetSmart, Inc., Term Loan, 8.832%, (SOFR + 3.75%), 2/11/28 | 12,289 | 12,226,152 | |
$ 124,553,439 | |||
Technology Hardware, Storage & Peripherals — 0.1% | |||
NCR Corporation, Term Loan, 7.78%, (3 mo. USD LIBOR + 2.50%), 8/28/26 | 8,881 | $ 8,782,855 | |
$ 8,782,855 | |||
Trading Companies & Distributors — 3.0% | |||
American Builders & Contractors Supply Co., Inc., Term Loan, 7.082%, (SOFR + 2.00%), 1/15/27 | 13,552 | $ 13,517,981 | |
Avolon TLB Borrower 1 (US), LLC: | |||
Term Loan, 6.703%, (1 mo. USD LIBOR + 1.75%), 1/15/25 | 26,082 | 25,988,015 | |
Term Loan, 7.203%, (1 mo. USD LIBOR + 2.25%), 12/1/27 | 14,888 | 14,888,000 | |
DXP Enterprises, Inc., Term Loan, 9.955%, (3 mo. USD LIBOR + 5.25%), 12/23/27 | 7,909 | 7,869,747 | |
Electro Rent Corporation, Term Loan, 10.271%, (SOFR + 5.50%), 11/1/24 | 15,677 | 15,324,382 | |
Park River Holdings, Inc., Term Loan, 8.522%, (6 mo. USD LIBOR + 3.25%), 12/28/27 | 10,802 | 10,102,667 | |
Patagonia Bidco Limited, Term Loan, 8.678%, (SONIA + 5.25%), 11/1/28 | GBP | 20,400 | 22,849,606 |
PEARLS (Netherlands) Bidco B.V., Term Loan, 6.742%, (3 mo. EURIBOR + 3.50%), 2/26/29 | EUR | 6,000 | 6,449,423 |
Quimper AB, Term Loan, 5.977%, (3 mo. EURIBOR + 2.93%), 2/16/26 | EUR | 18,175 | 19,428,733 |
Spin Holdco, Inc., Term Loan, 8.986%, (3 mo. USD LIBOR + 4.00%), 3/4/28 | 43,729 | 36,498,249 | |
SRS Distribution, Inc.: | |||
Term Loan, 8.471%, (SOFR + 3.50%), 6/2/28 | 5,012 | 4,787,606 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | 4,278 | 4,092,908 | |
$ 181,797,317 | |||
Transportation Infrastructure — 0.0%(8) | |||
Brown Group Holding, LLC, Term Loan, 8.778%, (SOFR + 3.75%), 7/2/29 | 1,070 | $ 1,066,877 | |
$ 1,066,877 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Wireless Telecommunication Services — 0.2% | |||
Digicel International Finance Limited, Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 5/28/24 | 13,983 | $ 12,707,130 | |
$ 12,707,130 | |||
Total Senior Floating-Rate Loans (identified cost $5,241,387,088) | $4,833,289,333 |
Warrants — 0.0% |
Security | Shares | Value | |
Leisure Goods/Activities/Movies — 0.0% | |||
Cineworld Group PLC, Exp. 11/23/25(6)(7) | 1,791,400 | $ 0 | |
$ 0 | |||
Retailers (Except Food and Drug) — 0.0% | |||
David’s Bridal, LLC, Exp. 12/31/28(5)(6)(7) | 51,888 | $ 0 | |
$ 0 | |||
Total Warrants (identified cost $0) | $ 0 |
Short-Term Investments — 2.4% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(14) | 149,198,674 | $ 149,198,674 | |
Total Short-Term Investments (identified cost $149,198,674) | $ 149,198,674 | ||
Total Investments — 96.0% (identified cost $6,413,556,860) | $5,846,780,232 | ||
Less Unfunded Loan Commitments — (0.2)% | $ (9,362,296) | ||
Net Investments — 95.8% (identified cost $6,404,194,564) | $5,837,417,936 | ||
Other Assets, Less Liabilities — 4.2% | $ 251,414,628 | ||
Net Assets — 100.0% | $6,088,832,564 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $784,199,362 or 12.9% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(3) | When-issued, variable rate security whose interest rate will be determined after April 30, 2023. |
(4) | Affiliated company (see Note 7). |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(6) | Non-income producing security. |
(7) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(8) | Amount is less than 0.05%. |
(9) | 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. |
(10) | 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 London Interbank Offered Rate (“LIBOR”) or 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. |
(11) | This Senior Loan will settle after April 30, 2023, at which time the interest rate will be determined. |
(12) | The stated interest rate represents the weighted average interest rate at April 30, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(13) | Unfunded or partially unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At April 30, 2023, the total value of unfunded loan commitments is $8,021,271. See Note 1F for description. |
(14) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 10,000,000 | USD | 10,994,787 | Citibank, N.A. | 5/3/23 | $ 24,217 | $ — |
USD | 305,530,801 | EUR | 280,766,698 | Standard Chartered Bank | 5/3/23 | — | (3,846,149) |
EUR | 12,000,000 | USD | 12,877,468 | Bank of America, N.A. | 5/31/23 | 366,710 | — |
EUR | 12,000,000 | USD | 12,718,040 | HSBC Bank USA, N.A. | 5/31/23 | 526,137 | — |
GBP | 1,200,000 | USD | 1,422,597 | State Street Bank and Trust Company | 5/31/23 | 86,430 | — |
USD | 4,866,736 | EUR | 4,500,000 | Bank of America, N.A. | 5/31/23 | — | (99,830) |
USD | 59,427,780 | EUR | 56,023,363 | Citibank, N.A. | 5/31/23 | — | (2,404,166) |
USD | 59,431,309 | EUR | 56,023,363 | State Street Bank and Trust Company | 5/31/23 | — | (2,400,636) |
USD | 59,429,219 | EUR | 56,023,363 | State Street Bank and Trust Company | 5/31/23 | — | (2,402,726) |
USD | 59,427,354 | EUR | 56,023,363 | State Street Bank and Trust Company | 5/31/23 | — | (2,404,592) |
USD | 59,413,858 | EUR | 56,023,364 | State Street Bank and Trust Company | 5/31/23 | — | (2,418,088) |
USD | 84,616 | GBP | 70,642 | Bank of America, N.A. | 5/31/23 | — | (4,219) |
USD | 46,716,193 | GBP | 39,012,920 | State Street Bank and Trust Company | 5/31/23 | — | (2,343,432) |
USD | 299,434,924 | EUR | 270,766,698 | Standard Chartered Bank | 6/2/23 | 561,284 | — |
EUR | 13,000,000 | USD | 13,797,317 | Bank of America, N.A. | 6/30/23 | 574,728 | — |
EUR | 17,000,000 | USD | 18,738,021 | Standard Chartered Bank | 6/30/23 | 56,193 | — |
EUR | 23,000,000 | USD | 25,462,596 | Standard Chartered Bank | 6/30/23 | — | (35,131) |
USD | 23,758,418 | EUR | 21,555,690 | Bank of America, N.A. | 6/30/23 | — | (72,301) |
USD | 18,821,927 | EUR | 17,277,685 | Bank of America, N.A. | 6/30/23 | — | (279,279) |
USD | 45,732,456 | EUR | 42,000,000 | Goldman Sachs International | 6/30/23 | — | (700,307) |
USD | 45,747,282 | EUR | 42,000,000 | Standard Chartered Bank | 6/30/23 | — | (685,481) |
USD | 45,745,526 | EUR | 42,000,000 | Standard Chartered Bank | 6/30/23 | — | (687,236) |
USD | 45,738,588 | EUR | 42,000,000 | Standard Chartered Bank | 6/30/23 | — | (694,175) |
USD | 45,735,833 | EUR | 42,000,000 | Standard Chartered Bank | 6/30/23 | — | (696,930) |
$2,195,699 | $(22,174,678) |
Abbreviations: | |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
REITs | – Real Estate Investment Trusts |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Interbank Average |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $6,252,650,482) | $ 5,676,667,241 |
Affiliated investments, at value (identified cost $151,544,082) | 160,750,695 |
Cash | 37,896,723 |
Deposits for derivatives collateral — forward foreign currency exchange contracts | 22,210,000 |
Foreign currency, at value (identified cost $19,394,797) | 19,379,161 |
Interest receivable | 42,049,866 |
Dividends receivable from affiliated investments | 362,496 |
Receivable for investments sold | 188,196,596 |
Receivable for open forward foreign currency exchange contracts | 2,195,699 |
Prepaid upfront fees on notes payable | 982,710 |
Other receivables | 2,084,589 |
Prepaid expenses | 112,458 |
Other assets | 2,677,658 |
Total assets | $6,155,565,892 |
Liabilities | |
Payable for investments purchased | $ 36,445,705 |
Payable for when-issued securities | 3,465,000 |
Payable for open forward foreign currency exchange contracts | 22,174,678 |
Payable to affiliates: | |
Investment adviser fee | 2,578,050 |
Trustees' fees | 9,222 |
Accrued expenses | 2,060,673 |
Total liabilities | $ 66,733,328 |
Net Assets applicable to investors' interest in Portfolio | $6,088,832,564 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income | $ 1,895,676 |
Dividend income from affiliated investments | 2,533,621 |
Interest and other income | 297,813,191 |
Total investment income | $ 302,242,488 |
Expenses | |
Investment adviser fee | $ 17,850,462 |
Trustees’ fees and expenses | 54,431 |
Custodian fee | 679,913 |
Legal and accounting services | 523,250 |
Interest expense and fees | 1,339,752 |
Miscellaneous | 184,371 |
Total expenses | $ 20,632,179 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 100,048 |
Total expense reductions | $ 100,048 |
Net expenses | $ 20,532,131 |
Net investment income | $ 281,710,357 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (110,035,829) |
Foreign currency transactions | 3,464,692 |
Forward foreign currency exchange contracts | (66,645,266) |
Net realized loss | $(173,216,403) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 320,987,920 |
Investments - affiliated investments | 2,866,857 |
Foreign currency | 1,011,657 |
Forward foreign currency exchange contracts | (16,964,174) |
Net change in unrealized appreciation (depreciation) | $ 307,902,260 |
Net realized and unrealized gain | $ 134,685,857 |
Net increase in net assets from operations | $ 416,396,214 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 281,710,357 | $ 418,622,273 |
Net realized gain (loss) | (173,216,403) | 59,718,560 |
Net change in unrealized appreciation (depreciation) | 307,902,260 | (831,891,859) |
Net increase (decrease) in net assets from operations | $ 416,396,214 | $ (353,551,026) |
Capital transactions: | ||
Contributions | $ 101,543,748 | $ 2,094,290,768 |
Withdrawals | (2,530,237,916) | (2,626,390,995) |
Net decrease in net assets from capital transactions | $(2,428,694,168) | $ (532,100,227) |
Net decrease in net assets | $(2,012,297,954) | $ (885,651,253) |
Net Assets | ||
At beginning of period | $ 8,101,130,518 | $ 8,986,781,771 |
At end of period | $ 6,088,832,564 | $ 8,101,130,518 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.57% (1)(2) | 0.54% (1) | 0.56% | 0.59% | 0.55% | 0.54% |
Net investment income | 7.86% (2) | 4.39% | 3.51% | 4.17% | 5.09% | 4.38% |
Portfolio Turnover | 5% (3) | 27% | 26% | 28% | 16% | 30% |
Total Return | 5.92% (3) | (3.32)% | 7.80% | 1.18% | 1.64% | 5.05% |
Net assets, end of period (000’s omitted) | $6,088,833 | $8,101,131 | $8,986,782 | $5,649,501 | $7,966,641 | $11,502,389 |
(1) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(2) | Annualized. |
(3) | Not annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.5750% |
$1 billion but less than $2 billion | 0.5250% |
$2 billion but less than $5 billion | 0.4900% |
$5 billion but less than $10 billion | 0.4600% |
$10 billion but less than $15 billion | 0.4350% |
$15 billion but less than $20 billion | 0.4150% |
$20 billion but less than $25 billion | 0.4000% |
$25 billion and over | 0.3900% |
Aggregate cost | $6,405,651,451 |
Gross unrealized appreciation | $ 35,567,761 |
Gross unrealized depreciation | (623,780,255) |
Net unrealized depreciation | $ (588,212,494) |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Forward foreign currency exchange contracts | $2,195,699 (1) | $(22,174,678) (2) |
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts. |
(2) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Bank of America, N.A. | $ 941,438 | $ (455,629) | $ (485,809) | $ — | $ — |
Citibank, N.A. | 24,217 | (24,217) | — | — | — |
HSBC Bank USA, N.A. | 526,137 | — | (526,137) | — | — |
Standard Chartered Bank | 617,477 | (617,477) | — | — | — |
State Street Bank and Trust Company | 86,430 | (86,430) | — | — | — |
$2,195,699 | $(1,183,753) | $(1,011,946) | $ — | $ — |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Bank of America, N.A. | $ (455,629) | $ 455,629 | $ — | $ — | $ — |
Citibank, N.A. | (2,404,166) | 24,217 | — | 2,379,949 | — |
Goldman Sachs International | (700,307) | — | — | 700,307 | — |
Standard Chartered Bank | (6,645,102) | 617,477 | — | 6,027,625 | — |
State Street Bank and Trust Company | (11,969,474) | 86,430 | — | 11,883,044 | — |
$(22,174,678) | $1,183,753 | $ — | $20,990,925 | $ — |
(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. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Forward foreign currency exchange contracts | $(66,645,266) | $(16,964,174) |
(1) | Statement of Operations location: Net realized gain (loss): Forward foreign currency exchange contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Forward foreign currency exchange contracts. |
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 |
Common Stocks* | ||||||||
IAP Global Services, LLC(1)(2)(3) | $ 8,685,164 | $ — | $ — | $ — | $ 2,866,857 | $ 11,552,021 | $ — | 2,577 |
Short-Term Investments | ||||||||
Liquidity Fund | 156,771,808 | 1,337,378,073 | (1,344,951,207) | — | — | 149,198,674 | 2,533,621 | 149,198,674 |
Total | $ — | $2,866,857 | $160,750,695 | $2,533,621 |
* | The related industry is the same as the presentation in the Portfolio of Investments. |
(1) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(2) | Non-income producing security. |
(3) | A portion of the shares were acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
• | 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 |
Asset-Backed Securities | $ — | $ 281,462,489 | $ — | $ 281,462,489 |
Common Stocks | 6,670,607 | 8,632,064 | 16,757,122 | 32,059,793 |
Corporate Bonds | — | 523,341,783 | — | 523,341,783 |
Exchange-Traded Funds | 17,687,520 | — | — | 17,687,520 |
Preferred Stocks | — | 9,740,640 | 0 | 9,740,640 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 4,793,149,436 | 30,777,601 | 4,823,927,037 |
Warrants | — | 0 | 0 | 0 |
Short-Term Investments | 149,198,674 | — | — | 149,198,674 |
Total Investments | $ 173,556,801 | $ 5,616,326,412 | $ 47,534,723 | $ 5,837,417,936 |
Forward Foreign Currency Exchange Contracts | $ — | $ 2,195,699 | $ — | $ 2,195,699 |
Total | $ 173,556,801 | $ 5,618,522,111 | $ 47,534,723 | $ 5,839,613,635 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (22,174,678) | $ — | $ (22,174,678) |
Total | $ — | $ (22,174,678) | $ — | $ (22,174,678) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Officers of Eaton Vance Floating-Rate Fund and Eaton Vance Floating Rate Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Floating-Rate Fund and Eaton Vance Floating Rate Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Eaton Vance Floating-Rate Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Advisers Class at NAV | 09/07/2000 | 09/07/2000 | 5.80% | 2.16% | 2.71% | 3.15% |
Class A at NAV | 05/07/2003 | 09/07/2000 | 5.79 | 2.17 | 2.70 | 3.15 |
Class A with 3.25% Maximum Sales Charge | — | — | 2.30 | (1.12) | 2.01 | 2.82 |
Class C at NAV | 09/05/2000 | 09/05/2000 | 5.41 | 1.39 | 1.94 | 2.54 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 4.41 | 0.43 | 1.94 | 2.54 |
Class I at NAV | 09/15/2000 | 09/15/2000 | 5.93 | 2.30 | 2.94 | 3.40 |
Class R6 at NAV | 06/27/2016 | 09/15/2000 | 5.96 | 2.36 | 3.02 | 3.44 |
Morningstar® LSTA® US Leveraged Loan IndexSM | — | — | 6.00% | 3.39% | 3.76% | 3.81% |
% Total Annual Operating Expense Ratios3 | Advisers Class | Class A | Class C | Class I | Class R6 |
1.02% | 1.02% | 1.77% | 0.77% | 0.71% |
Asset Allocation (% of net assets)1,2 |
Credit Quality (% of bonds, loans and ABS)3 |
1 | Net of unfunded loan commitments. |
2 | Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets. |
3 | For Eaton Vance Floating Rate Portfolio’s investments, credit ratings are categorized using S&P Global Ratings (“S&P”). For High Income Opportunities Portfolio’s investments, ratings are based on Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), as applicable and for purposes of ratings restrictions, the average of Moody’s, S&P and Fitch is used. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P or Fitch (Baa or higher by Moody’s) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by the national ratings agencies stated above. |
1 | Morningstar® LSTA® US Leveraged Loan IndexSM is an unmanaged index of the institutional leveraged loan market. Morningstar® LSTA® Leveraged Loan indices are a product of Morningstar, Inc. (“Morningstar”) and have been licensed for use. Morningstar® is a registered trademark of Morningstar licensed for certain use. Loan Syndications and Trading Association® and LSTA® are trademarks of the LSTA licensed for certain use by Morningstar, and further sublicensed by Morningstar for certain use. Neither Morningstar nor LSTA guarantees the accuracy and/or completeness of the Morningstar® LSTA® US Leveraged Loan IndexSM or any data included therein, and shall have no liability for any errors, omissions, or interruptions therein. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Advisers Class | $1,000.00 | $1,058.00 | $5.46 | 1.07% |
Class A | $1,000.00 | $1,057.90 | $5.46 | 1.07% |
Class C | $1,000.00 | $1,054.10 | $9.27 | 1.82% |
Class I | $1,000.00 | $1,059.30 | $4.19 | 0.82% |
Class R6 | $1,000.00 | $1,059.60 | $3.88 | 0.76% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Advisers Class | $1,000.00 | $1,019.49 | $5.36 | 1.07% |
Class A | $1,000.00 | $1,019.49 | $5.36 | 1.07% |
Class C | $1,000.00 | $1,015.77 | $9.10 | 1.82% |
Class I | $1,000.00 | $1,020.73 | $4.11 | 0.82% |
Class R6 | $1,000.00 | $1,021.03 | $3.81 | 0.76% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolios. |
April 30, 2023 | |
Assets | |
Investment in Eaton Vance Floating Rate Portfolio, at value (identified cost $1,021,433,123) | $ 904,941,430 |
Investment in High Income Opportunities Portfolio, at value (identified cost $218,998,466) | 177,842,190 |
Receivable for Fund shares sold | 1,883,144 |
Total assets | $1,084,666,764 |
Liabilities | |
Payable for Fund shares redeemed | $ 5,569,251 |
Distributions payable | 462,993 |
Payable to affiliates: | |
Administration fee | 141,264 |
Distribution and service fees | 55,664 |
Trustees' fees | 42 |
Accrued expenses | 305,002 |
Total liabilities | $ 6,534,216 |
Net Assets | $1,078,132,548 |
Sources of Net Assets | |
Paid-in capital | $ 1,354,921,523 |
Accumulated loss | (276,788,975) |
Net Assets | $1,078,132,548 |
Advisers Class Shares | |
Net Assets | $ 42,442,237 |
Shares Outstanding | 5,203,477 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.16 |
Class A Shares | |
Net Assets | $ 143,509,552 |
Shares Outstanding | 16,539,932 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.68 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 8.97 |
Class C Shares | |
Net Assets | $ 18,734,168 |
Shares Outstanding | 2,301,276 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 8.14 |
Class I Shares | |
Net Assets | $ 844,606,394 |
Shares Outstanding | 103,487,289 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.16 |
April 30, 2023 | |
Class R6 Shares | |
Net Assets | $28,840,197 |
Shares Outstanding | 3,533,549 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.16 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolios (net of foreign taxes withheld of $156) | $ 987,705 |
Interest income allocated from Portfolios | 52,563,790 |
Expenses allocated from Portfolios | (3,732,234) |
Total investment income from Portfolios | $ 49,819,261 |
Expenses | |
Administration fee | $ 987,948 |
Distribution and service fees: | |
Advisers Class | 52,212 |
Class A | 206,581 |
Class C | 101,674 |
Trustees’ fees and expenses | 251 |
Custodian fee | 30,760 |
Transfer and dividend disbursing agent fees | 464,635 |
Legal and accounting services | 40,900 |
Printing and postage | 52,007 |
Registration fees | 66,486 |
Miscellaneous | 10,423 |
Total expenses | $ 2,013,877 |
Net investment income | $ 47,805,384 |
Realized and Unrealized Gain (Loss) from Portfolios | |
Net realized gain (loss): | |
Investment transactions | $ (10,377,620) |
Securities sold short | (59,928) |
Foreign currency transactions | 528,405 |
Forward foreign currency exchange contracts | (10,556,781) |
Net realized loss | $(20,465,924) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 52,370,793 |
Foreign currency | 196,127 |
Forward foreign currency exchange contracts | (2,858,651) |
Net change in unrealized appreciation (depreciation) | $ 49,708,269 |
Net realized and unrealized gain | $ 29,242,345 |
Net increase in net assets from operations | $ 77,047,729 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 47,805,384 | $ 72,027,950 |
Net realized gain (loss) | (20,465,924) | 7,117,431 |
Net change in unrealized appreciation (depreciation) | 49,708,269 | (163,552,579) |
Net increase (decrease) in net assets from operations | $ 77,047,729 | $ (84,407,198) |
Distributions to shareholders: | ||
Advisers Class | $ (1,490,963) | $ (1,879,317) |
Class A | (5,906,592) | (7,357,901) |
Class C | (649,248) | (798,333) |
Class I | (39,037,549) | (60,562,506) |
Class R6 | (1,185,381) | (1,910,333) |
Total distributions to shareholders | $ (48,269,733) | $ (72,508,390) |
Transactions in shares of beneficial interest: | ||
Advisers Class | $ (1,956,704) | $ (309,593) |
Class A | (32,282,278) | 921,645 |
Class C | (3,423,308) | (1,881,811) |
Class I | (406,137,633) | 171,096,234 |
Class R6 | (14,033,748) | 8,512,004 |
Net increase (decrease) in net assets from Fund share transactions | $ (457,833,671) | $ 178,338,479 |
Net increase (decrease) in net assets | $ (429,055,675) | $ 21,422,891 |
Net Assets | ||
At beginning of period | $ 1,507,188,223 | $ 1,485,765,332 |
At end of period | $1,078,132,548 | $1,507,188,223 |
Advisers Class | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.990 | $ 8.720 | $ 8.330 | $ 8.620 | $ 8.850 | $ 8.880 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.285 | $ 0.336 | $ 0.282 | $ 0.324 | $ 0.408 | $ 0.364 |
Net realized and unrealized gain (loss) | 0.173 | (0.727) | 0.395 | (0.277) | (0.228) | (0.028) |
Total income (loss) from operations | $ 0.458 | $ (0.391) | $ 0.677 | $ 0.047 | $ 0.180 | $ 0.336 |
Less Distributions | ||||||
From net investment income | $ (0.288) | $ (0.339) | $ (0.287) | $ (0.337) | $ (0.410) | $ (0.366) |
Total distributions | $ (0.288) | $ (0.339) | $ (0.287) | $ (0.337) | $ (0.410) | $ (0.366) |
Net asset value — End of period | $ 8.160 | $ 7.990 | $ 8.720 | $ 8.330 | $ 8.620 | $ 8.850 |
Total Return(2) | 5.80% (3) | (4.56)% | 8.20% | 0.75% | 1.98% | 3.85% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $42,442 | $43,533 | $47,953 | $42,806 | $84,179 | $133,055 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.07% (5)(6) | 1.02% (6) | 1.04% | 1.08% | 1.04% | 1.01% |
Net investment income | 7.08% (5) | 4.01% | 3.25% | 3.89% | 4.68% | 4.10% |
Portfolio Turnover of the Fund(7) | 1% (3) | 24% | 9% | 8% | 5% | 12% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolios' adviser fees due to the Portfolios' investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.500 | $ 9.280 | $ 8.870 | $ 9.160 | $ 9.410 | $ 9.450 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.304 | $ 0.357 | $ 0.300 | $ 0.340 | $ 0.434 | $ 0.387 |
Net realized and unrealized gain (loss) | 0.182 | (0.777) | 0.415 | (0.272) | (0.248) | (0.037) |
Total income (loss) from operations | $ 0.486 | $ (0.420) | $ 0.715 | $ 0.068 | $ 0.186 | $ 0.350 |
Less Distributions | ||||||
From net investment income | $ (0.306) | $ (0.360) | $ (0.305) | $ (0.358) | $ (0.436) | $ (0.390) |
Total distributions | $ (0.306) | $ (0.360) | $ (0.305) | $ (0.358) | $ (0.436) | $ (0.390) |
Net asset value — End of period | $ 8.680 | $ 8.500 | $ 9.280 | $ 8.870 | $ 9.160 | $ 9.410 |
Total Return(2) | 5.79% (3) | (4.60)% | 8.14% | 0.83% | 2.04% | 3.77% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $143,510 | $172,307 | $187,279 | $181,561 | $195,385 | $186,987 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.07% (5)(6) | 1.02% (6) | 1.04% | 1.08% | 1.04% | 1.01% |
Net investment income | 7.09% (5) | 4.01% | 3.25% | 3.84% | 4.69% | 4.10% |
Portfolio Turnover of the Fund(7) | 1% (3) | 24% | 9% | 8% | 5% | 12% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolios' adviser fees due to the Portfolios' investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.980 | $ 8.710 | $ 8.320 | $ 8.600 | $ 8.830 | $ 8.860 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.254 | $ 0.271 | $ 0.218 | $ 0.259 | $ 0.341 | $ 0.296 |
Net realized and unrealized gain (loss) | 0.163 | (0.726) | 0.394 | (0.264) | (0.227) | (0.027) |
Total income (loss) from operations | $ 0.417 | $ (0.455) | $ 0.612 | $ (0.005) | $ 0.114 | $ 0.269 |
Less Distributions | ||||||
From net investment income | $ (0.257) | $ (0.275) | $ (0.222) | $ (0.275) | $ (0.344) | $ (0.299) |
Total distributions | $ (0.257) | $ (0.275) | $ (0.222) | $ (0.275) | $ (0.344) | $ (0.299) |
Net asset value — End of period | $ 8.140 | $ 7.980 | $ 8.710 | $ 8.320 | $ 8.600 | $ 8.830 |
Total Return(2) | 5.41% (3) | (5.40)% | 7.40% | (0.00)% (4) | 1.33% | 2.96% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $18,734 | $21,726 | $25,764 | $37,683 | $59,716 | $121,021 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 1.82% (6)(7) | 1.77% (7) | 1.79% | 1.83% | 1.79% | 1.76% |
Net investment income | 6.32% (6) | 3.23% | 2.52% | 3.12% | 3.93% | 3.35% |
Portfolio Turnover of the Fund(8) | 1% (3) | 24% | 9% | 8% | 5% | 12% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Amount is less than (0.005)%. |
(5) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolios' adviser fees due to the Portfolios' investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(8) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.000 | $ 8.730 | $ 8.340 | $ 8.620 | $ 8.850 | $ 8.890 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.295 | $ 0.358 | $ 0.301 | $ 0.344 | $ 0.430 | $ 0.386 |
Net realized and unrealized gain (loss) | 0.163 | (0.728) | 0.398 | (0.265) | (0.228) | (0.037) |
Total income (loss) from operations | $ 0.458 | $ (0.370) | $ 0.699 | $ 0.079 | $ 0.202 | $ 0.349 |
Less Distributions | ||||||
From net investment income | $ (0.298) | $ (0.360) | $ (0.309) | $ (0.359) | $ (0.432) | $ (0.389) |
Total distributions | $ (0.298) | $ (0.360) | $ (0.309) | $ (0.359) | $ (0.432) | $ (0.389) |
Net asset value — End of period | $ 8.160 | $ 8.000 | $ 8.730 | $ 8.340 | $ 8.620 | $ 8.850 |
Total Return(2) | 5.93% (3) | (4.43)% | 8.47% | 1.01% | 2.35% | 4.00% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $844,606 | $1,227,499 | $1,187,123 | $546,479 | $808,175 | $1,369,866 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 0.82% (5)(6) | 0.77% (6) | 0.78% | 0.83% | 0.79% | 0.76% |
Net investment income | 7.33% (5) | 4.27% | 3.47% | 4.12% | 4.94% | 4.35% |
Portfolio Turnover of the Fund(7) | 1% (3) | 24% | 9% | 8% | 5% | 12% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolios' adviser fees due to the Portfolios' investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
Class R6 | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.000 | $ 8.730 | $ 8.340 | $ 8.620 | $ 8.850 | $ 8.880 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.298 | $ 0.364 | $ 0.312 | $ 0.349 | $ 0.435 | $ 0.399 |
Net realized and unrealized gain (loss) | 0.163 | (0.730) | 0.393 | (0.267) | (0.228) | (0.036) |
Total income (loss) from operations | $ 0.461 | $ (0.366) | $ 0.705 | $ 0.082 | $ 0.207 | $ 0.363 |
Less Distributions | ||||||
From net investment income | $ (0.301) | $ (0.364) | $ (0.315) | $ (0.362) | $ (0.437) | $ (0.393) |
Total distributions | $ (0.301) | $ (0.364) | $ (0.315) | $ (0.362) | $ (0.437) | $ (0.393) |
Net asset value — End of period | $ 8.160 | $ 8.000 | $ 8.730 | $ 8.340 | $ 8.620 | $ 8.850 |
Total Return(2) | 5.96% (3) | (4.38)% | 8.54% | 1.05% | 2.41% | 4.05% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $28,840 | $42,124 | $37,646 | $77,338 | $130,492 | $125,876 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 0.76% (5)(6) | 0.71% (6) | 0.74% | 0.79% | 0.73% | 0.72% |
Net investment income | 7.39% (5) | 4.35% | 3.61% | 4.19% | 4.99% | 4.49% |
Portfolio Turnover of the Fund(7) | 1% (3) | 24% | 9% | 8% | 5% | 12% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolios' adviser fees due to the Portfolios' investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.575% |
$1 billion but less than $2 billion | 0.525% |
$2 billion but less than $5 billion | 0.490% |
$5 billion but less than $10 billion | 0.460% |
$10 billion but less than $15 billion | 0.435% |
$15 billion but less than $20 billion | 0.415% |
$20 billion but less than $25 billion | 0.400% |
$25 billion and over | 0.390% |
Total Daily Net Assets | Annual Asset Rate | Daily Income Rate |
Up to $500 million | 0.300% | 3.000% |
$500 million but less than $1 billion | 0.275% | 2.750% |
$1 billion but less than $1.5 billion | 0.250% | 2.500% |
$1.5 billion but less than $2 billion | 0.225% | 2.250% |
$2 billion but less than $3 billion | 0.200% | 2.000% |
$3 billion and over | 0.175% | 1.750% |
Portfolio | Contributions | Withdrawals |
Eaton Vance Floating Rate Portfolio | $16,378,393 | $443,727,546 |
High Income Opportunities Portfolio | 3,119,694 | 84,519,533 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Advisers Class | |||||
Sales | 459,347 | $ 3,737,094 | 861,467 | $ 7,333,346 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 182,478 | 1,483,836 | 225,567 | 1,870,304 | |
Redemptions | (886,563) | (7,177,634) | (1,136,776) | (9,513,243) | |
Net decrease | (244,738) | $ (1,956,704) | (49,742) | $ (309,593) | |
Class A | |||||
Sales | 2,014,760 | $ 17,399,212 | 5,626,007 | $ 50,747,562 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 619,772 | 5,360,746 | 754,617 | 6,655,370 | |
Redemptions | (6,366,358) | (55,042,236) | (6,294,093) | (56,481,287) | |
Net increase (decrease) | (3,731,826) | $ (32,282,278) | 86,531 | $ 921,645 | |
Class C | |||||
Sales | 225,020 | $ 1,832,650 | 545,540 | $ 4,647,106 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 74,603 | 605,375 | 90,568 | 748,915 | |
Redemptions | (722,409) | (5,861,333) | (871,319) | (7,277,832) | |
Net decrease | (422,786) | $ (3,423,308) | (235,211) | $ (1,881,811) | |
Class I | |||||
Sales | 16,090,955 | $ 130,978,990 | 104,576,939 | $ 890,758,907 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 4,543,244 | 36,948,244 | 6,909,643 | 57,277,380 | |
Redemptions | (70,672,581) | (574,064,867) | (93,980,289) | (776,940,053) | |
Net increase (decrease) | (50,038,382) | $(406,137,633) | 17,506,293 | $ 171,096,234 | |
Class R6 | |||||
Sales | 338,023 | $ 2,754,059 | 3,056,181 | $ 26,069,554 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 144,760 | 1,177,100 | 229,501 | 1,901,527 | |
Redemptions | (2,217,524) | (17,964,907) | (2,330,840) | (19,459,077) | |
Net increase (decrease) | (1,734,741) | $ (14,033,748) | 954,842 | $ 8,512,004 |
• | 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-Backed Securities — 4.6% |
Security | Principal Amount (000's omitted) | Value | |
Alinea CLO, Ltd.: | |||
Series 2018-1A, Class D, 8.35%, (3 mo. USD LIBOR + 3.10%), 7/20/31(1)(2) | $ | 2,500 | $ 2,330,332 |
Series 2018-1A, Class E, 11.25%, (3 mo. USD LIBOR + 6.00%), 7/20/31(1)(2) | 3,000 | 2,551,575 | |
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 12.17%, (3 mo. USD LIBOR + 6.91%), 1/15/32(1)(2) | 5,000 | 4,256,030 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 11.039%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2) | 3,525 | 2,809,581 | |
Apidos CLO XX, Series 2015-20A, Class DR, 10.96%, (3 mo. USD LIBOR + 5.70%), 7/16/31(1)(2) | 2,375 | 2,115,543 | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 11.686%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 3,000 | 2,641,647 | |
Ares XLIX CLO, Ltd.: | |||
Series 2018-49A, Class D, 8.273%, (3 mo. USD LIBOR + 3.00%), 7/22/30(1)(2) | 2,500 | 2,323,337 | |
Series 2018-49A, Class E, 10.973%, (3 mo. USD LIBOR + 5.70%), 7/22/30(1)(2) | 3,500 | 3,020,779 | |
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class C, 7.764%, (3 mo. USD LIBOR + 2.90%), 5/15/30(1)(2) | 5,000 | 4,571,150 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 10.96%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 4,000 | 3,312,497 | |
Babson CLO, Ltd.: | |||
Series 2015-1A, Class DR, 7.85%, (3 mo. USD LIBOR + 2.60%), 1/20/31(1)(2) | 2,500 | 2,226,098 | |
Series 2018-1A, Class C, 7.86%, (3 mo. USD LIBOR + 2.60%), 4/15/31(1)(2) | 3,500 | 3,111,440 | |
Bain Capital Credit CLO, Ltd.: | |||
Series 2018-1A, Class D, 7.973%, (3 mo. USD LIBOR + 2.70%), 4/23/31(1)(2) | 5,000 | 4,449,929 | |
Series 2018-1A, Class E, 10.623%, (3 mo. USD LIBOR + 5.35%), 4/23/31(1)(2) | 3,000 | 2,406,765 | |
Battalion CLO XXII, Ltd., Series 2021-22A, Class E, 12.20%, (3 mo. USD LIBOR + 6.95%), 1/20/35(1)(2) | 1,750 | 1,436,244 | |
Battalion CLO XXIII, Ltd., Series 2022-23A, Class D, 8.936%, (3 mo. SOFR + 3.95%), 5/19/36(1)(2) | 3,500 | 3,225,292 | |
Benefit Street Partners CLO V-B, Ltd.: | |||
Series 2018-5BA, Class C, 8.18%, (3 mo. USD LIBOR + 2.93%), 4/20/31(1)(2) | 5,000 | 4,523,037 | |
Series 2018-5BA, Class D, 11.20%, (3 mo. USD LIBOR + 5.95%), 4/20/31(1)(2) | 3,500 | 3,092,484 | |
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 10.85%, (3 mo. USD LIBOR + 5.60%), 1/20/31(1)(2) | 5,401 | 4,318,003 |
Security | Principal Amount (000's omitted) | Value | |
Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class D, 7.85%, (3 mo. USD LIBOR + 2.60%), 4/20/31(1)(2) | $ | 1,500 | $ 1,345,261 |
Benefit Street Partners CLO XVI, Ltd., Series 2018-16A, Class E, 11.96%, (3 mo. USD LIBOR + 6.70%), 1/17/32(1)(2) | 2,250 | 2,056,182 | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 11.61%, (3 mo. USD LIBOR + 6.35%), 7/15/32(1)(2) | 1,750 | 1,607,811 | |
Benefit Street Partners CLO XXII, Ltd., Series 2020-22A, Class ER, 11.979%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 1,000 | 938,099 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.11%, (3 mo. USD LIBOR + 6.85%), 1/15/35(1)(2) | 3,000 | 2,839,470 | |
Betony CLO 2, Ltd.: | |||
Series 2018-1A, Class C, 8.199%, (3 mo. USD LIBOR + 2.90%), 4/30/31(1)(2) | 2,500 | 2,340,442 | |
Series 2018-1A, Class D, 10.949%, (3 mo. USD LIBOR + 5.65%), 4/30/31(1)(2) | 4,450 | 3,829,313 | |
BlueMountain CLO XXIV, Ltd., Series 2019-24A, Class ER, 12.09%, (3 mo. USD LIBOR + 6.84%), 4/20/34(1)(2) | 1,000 | 897,426 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 12.38%, (3 mo. USD LIBOR + 7.13%), 10/20/34(1)(2) | 3,000 | 2,830,428 | |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 11.686%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,736,656 | |
BlueMountain CLO XXXIII, Ltd., Series 2021-33A, Class E, 11.745%, (3 mo. USD LIBOR + 6.83%), 11/20/34(1)(2) | 2,500 | 2,330,272 | |
BlueMountain CLO XXXV, Ltd., Series 2022-35A, Class E, 12.821%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 1,920,356 | |
BlueMountain CLO, Ltd.: | |||
Series 2016-3A, Class DR, 7.964%, (3 mo. USD LIBOR + 3.10%), 11/15/30(1)(2) | 1,500 | 1,333,716 | |
Series 2016-3A, Class ER, 10.814%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2) | 1,500 | 1,211,859 | |
Series 2018-1A, Class D, 8.349%, (3 mo. USD LIBOR + 3.05%), 7/30/30(1)(2) | 2,500 | 2,112,523 | |
Series 2018-1A, Class E, 11.249%, (3 mo. USD LIBOR + 5.95%), 7/30/30(1)(2) | 2,000 | 1,547,639 | |
Bryant Park Funding, Ltd., Series 2023-20A, Class D, (3 mo. SOFR + 6.09%), 7/15/36(1)(3) | 3,500 | 3,465,000 | |
Canyon Capital CLO, Ltd.: | |||
Series 2012-1RA, Class E, 10.96%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 4,875 | 4,014,976 | |
Series 2016-1A, Class ER, 11.01%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 4,000 | 3,217,550 | |
Series 2016-2A, Class ER, 11.26%, (3 mo. USD LIBOR + 6.00%), 10/15/31(1)(2) | 4,500 | 3,637,586 |
Security | Principal Amount (000's omitted) | Value | |
Canyon Capital CLO, Ltd.: (continued) | |||
Series 2017-1A, Class E, 11.51%, (3 mo. USD LIBOR + 6.25%), 7/15/30(1)(2) | $ | 3,250 | $ 2,719,508 |
Series 2018-1A, Class D, 8.16%, (3 mo. USD LIBOR + 2.90%), 7/15/31(1)(2) | 3,000 | 2,699,309 | |
Series 2018-1A, Class E, 11.01%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 2,750 | 2,212,837 | |
Series 2019-2A, Class ER, 12.01%, (3 mo. USD LIBOR + 6.75%), 10/15/34(1)(2) | 1,500 | 1,377,101 | |
Carlyle CLO C17, Ltd.: | |||
Series C17A, Class CR, 8.099%, (3 mo. USD LIBOR + 2.80%), 4/30/31(1)(2) | 5,000 | 4,649,897 | |
Series C17A, Class DR, 11.299%, (3 mo. USD LIBOR + 6.00%), 4/30/31(1)(2) | 3,500 | 2,963,709 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class CR2, 8.751%, (3 mo. USD LIBOR + 3.50%), 1/14/32(1)(2) | 2,500 | 2,243,209 | |
Series 2012-3A, Class DR2, 11.751%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2) | ���1,500 | 1,225,802 | |
Series 2014-3RA, Class C, 8.242%, (3 mo. USD LIBOR + 2.95%), 7/27/31(1)(2) | 1,000 | 891,016 | |
Series 2014-3RA, Class D, 10.692%, (3 mo. USD LIBOR + 5.40%), 7/27/31(1)(2) | 2,150 | 1,737,165 | |
Series 2014-4RA, Class C, 8.16%, (3 mo. USD LIBOR + 2.90%), 7/15/30(1)(2) | 2,000 | 1,773,536 | |
Series 2014-4RA, Class D, 10.91%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2) | 3,500 | 2,836,630 | |
Carlyle US CLO, Ltd., Series 2019-4A, Class DR, 11.586%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 3,000 | 2,640,198 | |
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 11.85%, (3 mo. USD LIBOR + 6.60%), 7/20/34(1)(2) | 1,000 | 931,771 | |
CIFC Funding, Ltd., Series 2022-4A, Class D, 8.536%, (3 mo. SOFR + 3.55%), 7/16/35(1)(2) | 1,750 | 1,640,702 | |
Dryden CLO, Ltd.: | |||
Series 2018-55A, Class D, 8.11%, (3 mo. USD LIBOR + 2.85%), 4/15/31(1)(2) | 1,500 | 1,324,530 | |
Series 2018-55A, Class E, 10.66%, (3 mo. USD LIBOR + 5.40%), 4/15/31(1)(2) | 2,000 | 1,744,206 | |
Series 2022-112A, Class E, 12.541%, (3 mo. SOFR + 7.78%), 8/15/34(1)(2) | 2,000 | 1,940,168 | |
Dryden Senior Loan Fund: | |||
Series 2015-41A, Class DR, 7.86%, (3 mo. USD LIBOR + 2.60%), 4/15/31(1)(2) | 5,000 | 4,577,077 | |
Series 2015-41A, Class ER, 10.56%, (3 mo. USD LIBOR + 5.30%), 4/15/31(1)(2) | 1,268 | 1,027,839 | |
Series 2016-42A, Class DR, 8.19%, (3 mo. USD LIBOR + 2.93%), 7/15/30(1)(2) | 2,500 | 2,308,428 | |
Series 2016-42A, Class ER, 10.81%, (3 mo. USD LIBOR + 5.55%), 7/15/30(1)(2) | 3,500 | 2,859,753 | |
Elmwood CLO 14, Ltd., Series 2022-1A, Class E, 11.399%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 1,950 | 1,817,264 | |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 12.136%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,250 | 2,149,979 |
Security | Principal Amount (000's omitted) | Value | |
Galaxy 31 CLO, Ltd., Series 2023-31A, Class D, 10.031%, (3 mo. SOFR + 5.25%), 4/15/36(1)(2) | $ | 1,750 | $ 1,738,265 |
Galaxy XV CLO, Ltd., Series 2013-15A, Class ER, 11.905%, (3 mo. USD LIBOR + 6.65%), 10/15/30(1)(2) | 2,500 | 2,116,434 | |
Galaxy XXV CLO, Ltd.: | |||
Series 2018-25A, Class D, 8.355%, (3 mo. USD LIBOR + 3.10%), 10/25/31(1)(2) | 2,500 | 2,291,357 | |
Series 2018-25A, Class E, 11.205%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 3,500 | 3,108,372 | |
Golub Capital Partners CLO 22B, Ltd., Series 2015-22A, Class ER, 11.25%, (3 mo. USD LIBOR + 6.00%), 1/20/31(1)(2) | 2,500 | 2,107,522 | |
Golub Capital Partners CLO 37B, Ltd.: | |||
Series 2018-37A, Class D, 8.55%, (3 mo. USD LIBOR + 3.30%), 7/20/30(1)(2) | 4,000 | 3,642,015 | |
Series 2018-37A, Class E, 11.00%, (3 mo. USD LIBOR + 5.75%), 7/20/30(1)(2) | 4,750 | 4,530,396 | |
Golub Capital Partners CLO 53B, Ltd., Series 2021-53A, Class E, 11.95%, (3 mo. USD LIBOR + 6.70%), 7/20/34(1)(2) | 1,250 | 1,132,895 | |
Golub Capital Partners CLO 58B, Ltd., Series 2021-58A, Class E, 12.065%, (3 mo. USD LIBOR + 6.81%), 1/25/35(1)(2) | 2,500 | 2,240,997 | |
Halseypoint CLO 5, Ltd., Series 2021-5A, Class E, 12.239%, (3 mo. USD LIBOR + 6.94%), 1/30/35(1)(2) | 2,000 | 1,858,328 | |
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 11.65%, (3 mo. USD LIBOR + 6.40%), 4/20/34(1)(2) | 1,000 | 927,338 | |
ICG US CLO, Ltd.: | |||
Series 2018-2A, Class D, 8.373%, (3 mo. USD LIBOR + 3.10%), 7/22/31(1)(2) | 2,000 | 1,759,504 | |
Series 2018-2A, Class E, 11.023%, (3 mo. USD LIBOR + 5.75%), 7/22/31(1)(2) | 3,000 | 2,192,656 | |
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 11.862%, (3 mo. USD LIBOR + 6.60%), 1/18/34(1)(2) | 1,450 | 1,359,158 | |
Madison Park Funding XXV, Ltd., Series 2017-25A, Class D, 11.355%, (3 mo. USD LIBOR + 6.10%), 4/25/29(1)(2) | 1,500 | 1,374,489 | |
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class ER, 12.036%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,500 | 2,361,730 | |
Marble Point CLO XXIV, Ltd., Series 2022-1A, Class D1, 9.289%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,867,082 | |
Neuberger Berman CLO XXII, Ltd.: | |||
Series 2016-22A, Class DR, 8.36%, (3 mo. USD LIBOR + 3.10%), 10/17/30(1)(2) | 2,500 | 2,340,391 | |
Series 2016-22A, Class ER, 11.32%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2) | 3,000 | 2,654,338 |
Security | Principal Amount (000's omitted) | Value | |
Neuberger Berman Loan Advisers CLO 28, Ltd., Series 2018-28A, Class E, 10.85%, (3 mo. USD LIBOR + 5.60%), 4/20/30(1)(2) | $ | 1,950 | $ 1,734,006 |
Neuberger Berman Loan Advisers CLO 30, Ltd.: | |||
Series 2018-30A, Class DR, 8.10%, (3 mo. USD LIBOR + 2.85%), 1/20/31(1)(2) | 2,500 | 2,335,770 | |
Series 2018-30A, Class ER, 11.45%, (3 mo. USD LIBOR + 6.20%), 1/20/31(1)(2) | 1,000 | 914,537 | |
Neuberger Berman Loan Advisers CLO 48, Ltd., Series 2022-48A, Class E, 11.568%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | 3,200 | 2,937,011 | |
OCP CLO, Ltd.: | |||
Series 2022-24A, Class D, 8.849%, (3 mo. SOFR + 3.80%), 7/20/35(1)(2) | 500 | 464,128 | |
Series 2022-24A, Class E, 12.469%, (3 mo. SOFR + 7.42%), 7/20/35(1)(2) | 1,000 | 913,315 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 11.11%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2) | 3,000 | 2,715,144 | |
Series 2015-1A, Class DR4, 11.415%, (3 mo. USD LIBOR + 6.50%), 5/21/34(1)(2) | 2,000 | 1,708,728 | |
Series 2018-1A, Class C, 7.762%, (3 mo. USD LIBOR + 2.50%), 4/18/31(1)(2) | 3,000 | 2,812,464 | |
Series 2018-1A, Class D, 10.412%, (3 mo. USD LIBOR + 5.15%), 4/18/31(1)(2) | 2,000 | 1,775,029 | |
Series 2018-2A, Class D, 10.86%, (3 mo. USD LIBOR + 5.60%), 7/16/31(1)(2) | 2,000 | 1,804,678 | |
Series 2021-2A, Class E, 11.61%, (3 mo. USD LIBOR + 6.35%), 7/15/34(1)(2) | 1,000 | 944,246 | |
Series 2022-1A, Class E, 11.399%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 2,000 | 1,842,394 | |
Series 2022-3A, Class E, 13.029%, (3 mo. SOFR + 7.98%), 7/20/35(1)(2) | 2,250 | 2,227,601 | |
RAD CLO 5, Ltd., Series 2019-5A, Class E, 11.973%, (3 mo. USD LIBOR + 6.70%), 7/24/32(1)(2) | 1,250 | 1,091,344 | |
RAD CLO 14, Ltd., Series 2021-14A, Class E, 11.76%, (3 mo. USD LIBOR + 6.50%), 1/15/35(1)(2) | 950 | 861,914 | |
Regatta XIII Funding, Ltd.: | |||
Series 2018-2A, Class C, 8.36%, (3 mo. USD LIBOR + 3.10%), 7/15/31(1)(2) | 2,500 | 2,279,285 | |
Series 2018-2A, Class D, 11.21%, (3 mo. USD LIBOR + 5.95%), 7/15/31(1)(2) | 5,000 | 4,097,782 | |
Regatta XIV Funding, Ltd.: | |||
Series 2018-3A, Class D, 8.455%, (3 mo. USD LIBOR + 3.20%), 10/25/31(1)(2) | 2,500 | 2,283,199 | |
Series 2018-3A, Class E, 11.205%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 2,000 | 1,694,923 | |
Regatta XV Funding, Ltd., Series 2018-4A, Class D, 11.755%, (3 mo. USD LIBOR + 6.50%), 10/25/31(1)(2) | 2,875 | 2,466,581 | |
Symphony CLO, Ltd., Series 2022-37A, Class D1, 9.676%, (3 mo. SOFR + 5.43%), 10/20/34(1)(2) | 2,500 | 2,492,962 |
Security | Principal Amount (000's omitted) | Value | |
Upland CLO, Ltd.: | |||
Series 2016-1A, Class CR, 8.15%, (3 mo. USD LIBOR + 2.90%), 4/20/31(1)(2) | $ | 4,500 | $ 4,168,909 |
Series 2016-1A, Class DR, 11.15%, (3 mo. USD LIBOR + 5.90%), 4/20/31(1)(2) | 4,625 | 3,948,644 | |
Vibrant CLO IX, Ltd.: | |||
Series 2018-9A, Class C, 8.51%, (3 mo. SOFR + 3.46%), 7/20/31(1)(2) | 2,500 | 2,158,458 | |
Series 2018-9A, Class D, 11.56%, (3 mo. SOFR + 6.51%), 7/20/31(1)(2) | 3,500 | 2,589,514 | |
Vibrant CLO X, Ltd.: | |||
Series 2018-10A, Class C, 8.56%, (3 mo. SOFR + 3.51%), 10/20/31(1)(2) | 5,000 | 4,342,012 | |
Series 2018-10A, Class D, 11.50%, (3 mo. SOFR + 6.45%), 10/20/31(1)(2) | 5,000 | 3,888,903 | |
Voya CLO, Ltd.: | |||
Series 2015-3A, Class CR, 8.46%, (3 mo. SOFR + 3.41%), 10/20/31(1)(2) | 2,500 | 2,076,084 | |
Series 2015-3A, Class DR, 11.51%, (3 mo. SOFR + 6.46%), 10/20/31(1)(2) | 5,500 | 4,127,435 | |
Series 2016-3A, Class CR, 8.512%, (3 mo. USD LIBOR + 3.25%), 10/18/31(1)(2) | 2,000 | 1,711,971 | |
Series 2016-3A, Class DR, 11.342%, (3 mo. USD LIBOR + 6.08%), 10/18/31(1)(2) | 2,375 | 1,704,293 | |
Series 2018-2A, Class E, 10.51%, (3 mo. USD LIBOR + 5.25%), 7/15/31(1)(2) | 2,500 | 2,008,248 | |
Webster Park CLO, Ltd.: | |||
Series 2015-1A, Class CR, 8.15%, (3 mo. USD LIBOR + 2.90%), 7/20/30(1)(2) | 2,000 | 1,843,301 | |
Series 2015-1A, Class DR, 10.75%, (3 mo. USD LIBOR + 5.50%), 7/20/30(1)(2) | 2,500 | 2,098,162 | |
Wellfleet CLO, Ltd.: | |||
Series 2021-1A, Class D, 8.75%, (3 mo. USD LIBOR + 3.50%), 4/20/34(1)(2) | 1,200 | 1,040,771 | |
Series 2021-3A, Class E, 12.36%, (3 mo. USD LIBOR + 7.10%), 1/15/35(1)(2) | 950 | 810,867 | |
Series 2022-1A, Class D, 9.126%, (3 mo. SOFR + 4.14%), 4/15/34(1)(2) | 1,000 | 929,625 | |
Series 2022-1A, Class E, 12.846%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,000 | 1,789,022 | |
Total Asset-Backed Securities (identified cost $319,955,975) | $ 281,462,489 |
Common Stocks — 0.5% |
Security | Shares | Value | |
Aerospace and Defense — 0.2% | |||
IAP Global Services, LLC(4)(5)(6)(7) | 950 | $ 4,258,603 | |
IAP Global Services, LLC(4)(5)(6) | 1,627 | 7,293,418 | |
$ 11,552,021 |
Security | Shares | Value | |
Containers and Glass Products — 0.0%(8) | |||
LG Newco Holdco, Inc., Class A(6)(7) | 250,979 | $ 2,258,811 | |
$ 2,258,811 | |||
Electronics/Electrical — 0.0%(8) | |||
Skillsoft Corp.(6)(7) | 893,525 | $ 1,099,036 | |
$ 1,099,036 | |||
Health Care — 0.0% | |||
Akorn Holding Company, LLC, Class A(5)(6)(7) | 705,631 | $ 0 | |
$ 0 | |||
Investment Companies — 0.0%(8) | |||
Aegletes B.V.(6)(7) | 116,244 | $ 678,086 | |
Jubilee Topco, Ltd., Class A(5)(6)(7) | 2,897,167 | 0 | |
$ 678,086 | |||
Nonferrous Metals/Minerals — 0.1% | |||
ACNR Holdings, Inc., Class A(6)(7) | 36,829 | $ 3,397,475 | |
$ 3,397,475 | |||
Oil and Gas — 0.0%(8) | |||
AFG Holdings, Inc.(5)(6)(7) | 498,342 | $ 1,490,043 | |
McDermott International, Ltd.(6)(7) | 1,013,850 | 434,637 | |
QuarterNorth Energy, Inc.(7) | 4,707 | 656,921 | |
$ 2,581,601 | |||
Radio and Television — 0.1% | |||
Clear Channel Outdoor Holdings, Inc.(6)(7) | 1,204,044 | $ 1,529,136 | |
Cumulus Media, Inc., Class A(6)(7) | 644,574 | 2,265,677 | |
iHeartMedia, Inc., Class A(6)(7) | 512,034 | 1,776,758 | |
$ 5,571,571 | |||
Retailers (Except Food and Drug) — 0.0%(8) | |||
David’s Bridal, LLC(5)(6)(7) | 272,023 | $ 0 | |
Phillips Pet Holding Corp.(5)(6)(7) | 2,590 | 196,185 | |
$ 196,185 | |||
Telecommunications — 0.1% | |||
GEE Acquisition Holdings Corp.(5)(6)(7) | 364,650 | $ 3,518,873 | |
$ 3,518,873 |
Security | Shares | Value | |
Utilities — 0.0%(8) | |||
Longview Intermediate Holdings, LLC, Class A(7) | 149,459 | $ 1,206,134 | |
$ 1,206,134 | |||
Total Common Stocks (identified cost $84,985,189) | $ 32,059,793 |
Corporate Bonds — 8.6% |
Security | Principal Amount (000's omitted) | Value | |
Aerospace and Defense — 0.1% | |||
TransDigm, Inc.: | |||
6.25%, 3/15/26(1) | 1,500 | $ 1,509,438 | |
6.75%, 8/15/28(1) | 3,175 | 3,228,312 | |
$ 4,737,750 | |||
Air Transport — 0.6% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 17,175 | $ 16,885,495 | |
5.75%, 4/20/29(1) | 12,875 | 12,251,530 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 4,625 | 4,422,537 | |
4.625%, 4/15/29(1) | 4,625 | 4,190,605 | |
$ 37,750,167 | |||
Automotive — 0.1% | |||
Adient Global Holdings, Ltd., 7.00%, 4/15/28(1) | 2,175 | $ 2,232,857 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 1,890 | 1,895,317 | |
Clarios Global, L.P./Clarios US Finance Co., 6.25%, 5/15/26(1) | 3,893 | 3,879,365 | |
$ 8,007,539 | |||
Building and Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, 6.75%, 5/15/28(1) | 3,150 | $ 2,943,722 | |
Winnebago Industries, Inc., 6.25%, 7/15/28(1) | 900 | 871,700 | |
$ 3,815,422 | |||
Business Equipment and Services — 0.9% | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp., 6.625%, 7/15/26(1) | 2,075 | $ 2,002,990 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
4.625%, 6/1/28(1) | 12,475 | 10,872,150 | |
4.625%, 6/1/28(1) | 23,725 | 20,635,054 |
Security | Principal Amount (000's omitted) | Value | |
Business Equipment and Services (continued) | |||
Prime Security Services Borrower, LLC/Prime Finance, Inc.: | |||
5.25%, 4/15/24(1) | 7,900 | $ 7,872,931 | |
5.75%, 4/15/26(1) | 15,225 | 15,129,745 | |
$ 56,512,870 | |||
Chemicals — 0.2% | |||
Cheever Escrow Issuer, LLC, 7.125%, 10/1/27(1) | 925 | $ 882,799 | |
INEOS Finance PLC, 3.375%, 3/31/26(1) | EUR | 1,250 | 1,280,976 |
INEOS Quattro Finance 2 PLC, 3.375%, 1/15/26(1) | 3,050 | 2,801,547 | |
Olympus Water US Holding Corp., 4.25%, 10/1/28(1) | 9,350 | 7,984,900 | |
$ 12,950,222 | |||
Commercial Services — 0.2% | |||
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(1) | 13,300 | $ 12,530,927 | |
$ 12,530,927 | |||
Communications Equipment — 0.1% | |||
CommScope, Inc., 4.75%, 9/1/29(1) | 6,650 | $ 5,376,167 | |
$ 5,376,167 | |||
Containers & Packaging — 0.2% | |||
Clydesdale Acquisition Holdings, Inc., 6.625%, 4/15/29(1) | 2,300 | $ 2,259,685 | |
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC: | |||
4.00%, 10/15/27(1) | 5,150 | 4,641,463 | |
4.375%, 10/15/28(1) | 9,125 | 8,044,189 | |
$ 14,945,337 | |||
Diversified Financial Services — 0.2% | |||
AG Issuer, LLC, 6.25%, 3/1/28(1) | 8,075 | $ 7,514,151 | |
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 2,925 | 3,009,898 | |
NFP Corp., 7.50%, 10/1/30(1) | 2,925 | 2,869,564 | |
$ 13,393,613 | |||
Diversified Telecommunication Services — 1.1% | |||
Altice France S.A.: | |||
5.125%, 1/15/29(1) | 1,300 | $ 961,907 | |
5.125%, 7/15/29(1) | 57,625 | 42,656,947 | |
5.50%, 10/15/29(1) | 6,455 | 4,837,898 | |
Level 3 Financing, Inc., 3.875%, 11/15/29(1) | 11,225 | 8,207,908 | |
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(1) | 6,500 | 5,574,810 | |
Zayo Group Holdings, Inc., 4.00%, 3/1/27(1) | 4,000 | 3,032,908 | |
$ 65,272,378 |
Security | Principal Amount (000's omitted) | Value | |
Drugs — 0.1% | |||
Jazz Securities DAC, 4.375%, 1/15/29(1) | 9,150 | $ 8,418,275 | |
$ 8,418,275 | |||
Ecological Services and Equipment — 0.1% | |||
GFL Environmental, Inc., 4.25%, 6/1/25(1) | 5,300 | $ 5,163,181 | |
$ 5,163,181 | |||
Electronics/Electrical — 0.4% | |||
GoTo Group, Inc., 5.50%, 9/1/27(1) | 10,760 | $ 6,068,694 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 18,175 | 15,758,755 | |
$ 21,827,449 | |||
Entertainment — 0.2% | |||
AMC Entertainment Holdings, Inc., 7.50%, 2/15/29(1) | 8,700 | $ 6,315,678 | |
Live Nation Entertainment, Inc., 3.75%, 1/15/28(1) | 2,075 | 1,862,312 | |
Six Flags Theme Parks, Inc., 7.00%, 7/1/25(1) | 1,070 | 1,084,536 | |
$ 9,262,526 | |||
Health Care — 0.6% | |||
Medline Borrower, L.P., 3.875%, 4/1/29(1) | 22,800 | $ 19,969,453 | |
RP Escrow Issuer, LLC, 5.25%, 12/15/25(1) | 2,150 | 1,510,372 | |
Tenet Healthcare Corp., 4.25%, 6/1/29 | 15,950 | 14,647,681 | |
$ 36,127,506 | |||
Hotels, Restaurants & Leisure — 0.5% | |||
Carnival Corp., 4.00%, 8/1/28(1) | 34,575 | $ 30,006,930 | |
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(1) | 2,125 | 2,175,278 | |
$ 32,182,208 | |||
Household Products — 0.0%(8) | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(1) | 1,075 | $ 995,891 | |
$ 995,891 | |||
Insurance — 0.0%(8) | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co., 4.25%, 10/15/27(1) | 700 | $ 641,579 | |
$ 641,579 | |||
Internet Software & Services — 0.3% | |||
Arches Buyer, Inc., 4.25%, 6/1/28(1) | 6,900 | $ 5,945,969 |
Security | Principal Amount (000's omitted) | Value | |
Internet Software & Services (continued) | |||
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(1) | 13,700 | $ 13,578,877 | |
$ 19,524,846 | |||
Leisure Goods/Activities/Movies — 0.4% | |||
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 3,300 | $ 3,105,026 | |
NCL Corp., Ltd., 5.875%, 2/15/27(1) | 22,000 | 20,773,221 | |
$ 23,878,247 | |||
Machinery — 0.3% | |||
Madison IAQ, LLC, 4.125%, 6/30/28(1) | 13,400 | $ 11,801,762 | |
TK Elevator U.S. Newco, Inc., 5.25%, 7/15/27(1) | 4,150 | 3,884,427 | |
$ 15,686,189 | |||
Media — 0.5% | |||
Diamond Sports Group, LLC/Diamond Sports Finance Co., 5.375%, 8/15/26(1)(9) | 6,753 | $ 460,014 | |
iHeartCommunications, Inc.: | |||
4.75%, 1/15/28(1) | 2,550 | 1,988,712 | |
5.25%, 8/15/27(1) | 2,125 | 1,681,255 | |
6.375%, 5/1/26 | 2,896 | 2,488,867 | |
8.375%, 5/1/27 | 5,248 | 3,468,362 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 9,125 | 7,872,712 | |
7.375%, 6/30/30(1) | 11,300 | 10,854,221 | |
$ 28,814,143 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
CITGO Petroleum Corporation, 7.00%, 6/15/25(1) | 10,525 | $ 10,488,163 | |
$ 10,488,163 | |||
Professional Services — 0.1% | |||
CoreLogic, Inc., 4.50%, 5/1/28(1) | 5,525 | $ 4,522,351 | |
$ 4,522,351 | |||
Real Estate Investment Trusts (REITs) — 0.1% | |||
Park Intermediate Holdings, LLC/PK Domestic Property, LLC/PK Finance Co-Issuer, 5.875%, 10/1/28(1) | 6,425 | $ 5,932,845 | |
$ 5,932,845 |
Security | Principal Amount (000's omitted) | Value | |
Retail — 0.2% | |||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 15,580 | $ 13,655,403 | |
$ 13,655,403 | |||
Retailers (Except Food and Drug) — 0.0%(8) | |||
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 1,300 | $ 1,230,201 | |
$ 1,230,201 | |||
Software — 0.2% | |||
Boxer Parent Co., Inc., 7.125%, 10/2/25(1) | 4,225 | $ 4,217,564 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 7,600 | 6,537,634 | |
$ 10,755,198 | |||
Technology — 0.2% | |||
Clarivate Science Holdings Corp., 3.875%, 7/1/28(1) | 11,400 | $ 10,271,627 | |
$ 10,271,627 | |||
Telecommunications — 0.2% | |||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 9,325 | $ 7,997,400 | |
VMED O2 UK Financing I PLC, 4.25%, 1/31/31(1) | 8,550 | 7,096,840 | |
$ 15,094,240 | |||
Trading Companies & Distributors — 0.1% | |||
American Builders & Contractors Supply Co., Inc., 4.00%, 1/15/28(1) | 2,975 | $ 2,729,076 | |
SRS Distribution, Inc., 4.625%, 7/1/28(1) | 4,575 | 4,034,076 | |
$ 6,763,152 | |||
Utilities — 0.0%(8) | |||
Calpine Corp., 5.25%, 6/1/26(1) | 1,109 | $ 1,080,179 | |
$ 1,080,179 | |||
Wireless Telecommunication Services — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(1) | 6,325 | $ 5,733,992 | |
$ 5,733,992 | |||
Total Corporate Bonds (identified cost $595,846,350) | $ 523,341,783 |
Exchange-Traded Funds — 0.3% |
Security | Shares | Value | |
SPDR Blackstone Senior Loan ETF | 426,000 | $ 17,687,520 | |
Total Exchange-Traded Funds (identified cost $19,593,026) | $ 17,687,520 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Financial Services — 0.0% | |||
DBI Investors, Inc., Series A-1(5)(6)(7) | 13,348 | $ 0 | |
$ 0 | |||
Nonferrous Metals/Minerals — 0.2% | |||
ACNR Holdings, Inc., 15.00% (PIK)(6)(7) | 17,394 | $ 9,740,640 | |
$ 9,740,640 | |||
Retailers (Except Food and Drug) — 0.0% | |||
David’s Bridal, LLC: | |||
Series A, 8.00% (PIK)(5)(6)(7) | 7,852 | $ 0 | |
Series B, 10.00% (PIK)(5)(6)(7) | 31,998 | 0 | |
$ 0 | |||
Total Preferred Stocks (identified cost $2,590,558) | $ 9,740,640 |
Senior Floating-Rate Loans — 79.4%(10) |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 1.7% | |||
Aernnova Aerospace S.A.U.: | |||
Term Loan, 5.436%, (6 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 4,656 | $ 4,848,402 |
Term Loan, 5.625%, (6 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 1,194 | 1,243,180 |
AI Convoy (Luxembourg) S.a.r.l., Term Loan, 7.078%, (6 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 3,850 | 4,008,989 |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 8.582%, (SOFR + 3.50%), 4/6/26 | 13,962 | 13,736,926 | |
Term Loan, 8.582%, (SOFR + 3.50%), 4/6/26 | 7,509 | 7,388,122 | |
IAP Worldwide Services, Inc., Term Loan - Second Lien, 11.659%, (3 mo. USD LIBOR + 6.50%), 7/18/23(5) | 6,730 | 5,337,958 | |
TransDigm, Inc.: | |||
Term Loan, 8.148%, (SOFR + 3.25%), 2/22/27 | 27,682 | 27,759,185 | |
Term Loan, 8.148%, (SOFR + 3.25%), 8/24/28 | 16,123 | 16,134,997 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense (continued) | |||
WP CPP Holdings, LLC, Term Loan, 9.03%, (3 mo. USD LIBOR + 3.75%), 4/30/25 | 27,239 | $ 25,059,910 | |
$ 105,517,669 | |||
Airlines — 0.5% | |||
American Airlines, Inc., Term Loan, 10.00%, (3 mo. USD LIBOR + 4.75%), 4/20/28 | 27,625 | $ 27,859,813 | |
$ 27,859,813 | |||
Apparel & Luxury Goods — 0.1% | |||
Hanesbrands, Inc., Term Loan, 8.732%, (SOFR + 3.75%), 3/8/30 | 4,575 | $ 4,557,844 | |
$ 4,557,844 | |||
Auto Components — 1.7% | |||
Adient US, LLC, Term Loan, 8.268%, (1 mo. USD LIBOR + 3.25%), 4/10/28 | 5,523 | $ 5,530,657 | |
Clarios Global, L.P., Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 24,804 | 27,053,743 |
DexKo Global, Inc.: | |||
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 10/4/28 | EUR | 1,012 | 1,025,491 |
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 10/4/28 | EUR | 3,272 | 3,314,299 |
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 10/4/28 | EUR | 6,291 | 6,373,317 |
Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 10/4/28 | 13,439 | 12,834,484 | |
Garrett LX I S.a.r.l., Term Loan, 6.742%, (3 mo. EURIBOR + 3.50%), 4/30/28 | EUR | 15,900 | 17,213,613 |
Garrett Motion, Inc., Term Loan, 4/28/30(11) | 11,750 | 11,412,187 | |
LTI Holdings, Inc., Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 7/24/26 | 7,080 | 6,925,312 | |
Truck Hero, Inc., Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 1/31/28 | 15,273 | 13,936,525 | |
$ 105,619,628 | |||
Automobiles — 0.9% | |||
Bombardier Recreational Products, Inc., Term Loan, 7.082%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | 43,385 | $ 42,402,450 | |
MajorDrive Holdings IV, LLC, Term Loan, 9.00%, (3 mo. USD LIBOR + 4.00%), 6/1/28 | 10,458 | 10,206,177 | |
$ 52,608,627 | |||
Beverages — 0.2% | |||
City Brewing Company, LLC, Term Loan, 8.76%, (3 mo. USD LIBOR + 3.50%), 4/5/28 | 5,781 | $ 2,408,725 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Beverages (continued) | |||
Triton Water Holdings, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 3/31/28 | 11,741 | $ 11,160,132 | |
$ 13,568,857 | |||
Biotechnology — 0.4% | |||
Alkermes, Inc., Term Loan, 7.45%, (1 mo. USD LIBOR + 2.50%), 3/12/26 | 18,271 | $ 17,950,981 | |
Alltech, Inc., Term Loan, 9.097%, (SOFR + 4.00%), 10/13/28 | 4,760 | 4,617,552 | |
Grifols Worldwide Operations USA, Inc., Term Loan, 7.025%, (1 mo. USD LIBOR + 2.00%), 11/15/27 | 4,440 | 4,333,445 | |
$ 26,901,978 | |||
Building Products — 0.8% | |||
Cornerstone Building Brands, Inc., Term Loan, 8.24%, (SOFR + 3.25%), 4/12/28 | 11,113 | $ 10,112,727 | |
CPG International, Inc., Term Loan, 7.582%, (SOFR + 2.50%), 4/28/29 | 13,706 | 13,667,583 | |
LHS Borrower, LLC, Term Loan, 9.832%, (SOFR + 4.75%), 2/16/29 | 9,482 | 7,443,444 | |
MI Windows and Doors, LLC, Term Loan, 8.582%, (SOFR + 3.50%), 12/18/27 | 6,578 | 6,576,737 | |
Oscar AcquisitionCo, LLC, Term Loan, 9.498%, (SOFR + 4.50%), 4/29/29 | 3,907 | 3,785,330 | |
Standard Industries, Inc., Term Loan, 7.329%, (SOFR + 2.25%), 9/22/28 | 8,890 | 8,878,345 | |
$ 50,464,166 | |||
Capital Markets — 4.0% | |||
Advisor Group, Inc., Term Loan, 9.525%, (1 mo. USD LIBOR + 4.50%), 7/31/26 | 22,283 | $ 22,184,316 | |
AllSpring Buyer, LLC, Term Loan, 8.163%, (3 mo. USD LIBOR + 3.00%), 11/1/28 | 6,251 | 6,237,043 | |
Aretec Group, Inc.: | |||
Term Loan, 9.332%, (SOFR + 4.25%), 10/1/25 | 18,371 | 18,321,838 | |
Term Loan, 3/8/30(11) | 8,875 | 8,782,549 | |
CeramTec AcquiCo GmbH, Term Loan, 6.448%, (3 mo. EURIBOR + 3.75%), 3/16/29 | EUR | 12,779 | 13,649,970 |
Clipper Acquisitions Corp., Term Loan, 6.608%, (1 mo. USD LIBOR + 1.75%), 3/3/28 | 11,154 | 11,098,601 | |
Edelman Financial Center, LLC, Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 4/7/28 | 13,893 | 13,481,821 | |
EIG Management Company, LLC, Term Loan, 8.732%, (SOFR + 3.75%), 2/22/25 | 2,874 | 2,862,973 | |
FinCo I, LLC, Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 6/27/25 | 18,666 | 18,665,865 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Capital Markets (continued) | |||
Focus Financial Partners, LLC: | |||
Term Loan, 7.482%, (SOFR + 2.50%), 6/30/28 | 9,928 | $ 9,820,652 | |
Term Loan, 8.232%, (SOFR + 3.25%), 6/30/28 | 17,389 | 17,309,715 | |
Franklin Square Holdings, L.P., Term Loan, 7.332%, (SOFR + 2.35%), 8/1/25 | 6,231 | 6,215,765 | |
Guggenheim Partners, LLC, Term Loan, 8.148%, (SOFR + 3.25%), 12/12/29 | 19,327 | 19,311,083 | |
Hudson River Trading, LLC, Term Loan, 8.097%, (SOFR + 3.00%), 3/20/28 | 25,703 | 24,206,458 | |
LPL Holdings, Inc., Term Loan, 6.653%, (SOFR + 1.75%), 11/12/26 | 15,867 | 15,852,117 | |
Mariner Wealth Advisors, LLC, Term Loan, 8.404%, (SOFR + 3.25%), 8/18/28 | 13,515 | 13,227,848 | |
Victory Capital Holdings, Inc.: | |||
Term Loan, 7.287%, (SOFR + 2.25%), 7/1/26 | 13,437 | 13,387,665 | |
Term Loan, 7.287%, (SOFR + 2.25%), 12/29/28 | 6,979 | 6,922,056 | |
$ 241,538,335 | |||
Chemicals — 4.5% | |||
Axalta Coating Systems Dutch Holding B B.V., Term Loan, 7.898%, (SOFR + 3.00%), 12/20/29 | 18,739 | $ 18,817,809 | |
Chemours Company (The), Term Loan, 5.02%, (3 mo. EURIBOR + 2.00%), 4/3/25 | EUR | 2,775 | 3,042,728 |
Colouroz Investment 1 GmbH: | |||
Term Loan, 7.465%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 2,512 | 1,903,347 |
Term Loan, 7.466%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 27 | 20,592 |
CPC Acquisition Corp., Term Loan, 8.91%, (SOFR + 3.75%), 12/29/27 | 14,714 | 11,285,543 | |
Flint Group GmbH: | |||
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 276 | 208,912 |
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 32 | 24,132 |
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 73 | 54,949 |
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 144 | 108,874 |
Term Loan, 10.273%, (3 mo. USD LIBOR + 5.00%), 9.523% cash, 0.75% PIK, 9/21/23 | 1,388 | 952,554 | |
Flint Group US, LLC, Term Loan, 10.273%, (3 mo. USD LIBOR + 5.00%), 9.523% cash, 0.75% PIK, 9/21/23 | 8,397 | 5,762,143 | |
Gemini HDPE, LLC, Term Loan, 8.292%, (3 mo. USD LIBOR + 3.00%), 12/31/27 | 4,799 | 4,800,896 | |
GEON Performance Solutions, LLC, Term Loan, 9.659%, (3 mo. USD LIBOR + 4.50%), 8/18/28 | 5,689 | 5,649,987 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Groupe Solmax, Inc., Term Loan, 9.909%, (3 mo. USD LIBOR + 4.75%), 5/29/28 | 9,440 | $ 8,528,243 | |
INEOS Enterprises Holdings II Limited, Term Loan, 5.948%, (3 mo. EURIBOR + 3.25%), 8/31/26 | EUR | 1,975 | 2,168,092 |
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 8.49%, (SOFR + 3.50%), 8/28/26 | 5,014 | 4,994,855 | |
INEOS Finance PLC, Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 11/8/28 | EUR | 8,900 | 9,434,045 |
INEOS Quattro Holdings UK, Ltd.: | |||
Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 1/29/26 | EUR | 23,150 | 24,756,480 |
Term Loan, 7.015%, (1 mo. EURIBOR + 4.00%), 3/14/30 | EUR | 3,300 | 3,599,909 |
Term Loan, 8.832%, (SOFR + 3.75%), 3/14/30 | 5,000 | 4,993,750 | |
INEOS Styrolution US Holding, LLC, Term Loan, 7.847%, (1 mo. USD LIBOR + 2.75%), 1/29/26 | 8,314 | 8,296,866 | |
INEOS US Finance, LLC: | |||
Term Loan, 7.015%, (1 mo. EURIBOR + 4.00%), 11/8/27 | EUR | 6,200 | 6,827,406 |
Term Loan, 7.582%, (SOFR + 2.50%), 11/8/28 | 6,183 | 6,069,431 | |
Term Loan, 8.568%, (SOFR + 3.50%), 2/18/30 | 9,325 | 9,323,060 | |
Term Loan, 8.832%, (SOFR + 3.75%), 11/8/27 | 2,650 | 2,650,000 | |
Kraton Corporation, Term Loan, 8.544%, (SOFR + 3.25%), 3/15/29 | 5,643 | 5,640,884 | |
Kraton Polymers Holdings B.V., Term Loan, 6.25%, (3 mo. EURIBOR + 3.25%), 3/15/29 | EUR | 4,250 | 4,575,755 |
Lonza Group AG: | |||
Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 7/3/28 | EUR | 9,600 | 9,487,363 |
Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 7/3/28 | 17,820 | 16,497,670 | |
LSF11 Skyscraper Holdco S.a.r.l.: | |||
Term Loan, 6.38%, (1 mo. EURIBOR + 3.50%), 9/29/27 | EUR | 11,350 | 12,485,071 |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 9/29/27 | 4,754 | 4,749,885 | |
Messer Industries GmbH: | |||
Term Loan, 5.515%, (3 mo. EURIBOR + 2.50%), 3/2/26 | EUR | 1,744 | 1,919,547 |
Term Loan, 7.66%, (SOFR + 2.50%), 3/2/26 | 8,698 | 8,696,411 | |
Momentive Performance Materials, Inc., Term Loan, 9.482%, (SOFR + 4.50%), 3/29/28 | 9,525 | 9,507,141 | |
Olympus Water US Holding Corporation: | |||
Term Loan, 8.938%, (3 mo. USD LIBOR + 3.75%), 11/9/28 | 3,967 | 3,774,815 | |
Term Loan, 9.498%, (SOFR + 4.50%), 11/9/28 | 5,371 | 5,162,633 | |
Orion Engineered Carbons GmbH: | |||
Term Loan, 5.515%, (3 mo. EURIBOR + 2.50%), 9/24/28 | EUR | 1,250 | 1,365,324 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Orion Engineered Carbons GmbH: (continued) | |||
Term Loan, 7.309%, (3 mo. USD LIBOR + 2.15%), 9/24/28 | 4,457 | $ 4,370,768 | |
PQ Corporation, Term Loan, 7.645%, (3 mo. USD LIBOR + 2.50%), 6/9/28 | 8,712 | 8,698,592 | |
Rohm Holding GmbH, Term Loan, 10.102%, (3 mo. USD LIBOR + 5.00%), 7/31/26 | 9,521 | 8,108,659 | |
SCUR-Alpha 1503 GmbH, Term Loan, 3/30/30(11) | 5,550 | 5,050,500 | |
Spectrum Holdings III Corp., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 1/31/25 | 5,501 | ��� 5,274,558 | |
Tronox Finance, LLC: | |||
Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 3/10/28 | 11,570 | 11,416,827 | |
Term Loan, 8.148%, (SOFR + 3.25%), 4/4/29 | 3,638 | 3,621,576 | |
$ 274,678,582 | |||
Commercial Services & Supplies — 1.7% | |||
Allied Universal Holdco, LLC, Term Loan, 6.765%, (1 mo. EURIBOR + 3.75%), 5/12/28 | EUR | 8,465 | $ 8,844,123 |
Asplundh Tree Expert, LLC, Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 9/7/27 | 8,239 | 8,218,153 | |
Belfor Holdings, Inc., Term Loan, 9.232%, (SOFR + 4.25%), 4/6/26 | 2,600 | 2,600,472 | |
EnergySolutions, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 5/9/25 | 17,093 | 16,575,347 | |
GFL Environmental, Inc., Term Loan, 8.145%, (SOFR + 3.00%), 5/28/27 | 7,536 | 7,551,526 | |
Harsco Corporation, Term Loan, 7.347%, (SOFR + 2.25%), 3/10/28 | 3,390 | 3,299,590 | |
Monitronics International, Inc., Term Loan, 12.773%, (3 mo. USD LIBOR + 7.50%), 3/29/24 | 16,755 | 9,047,914 | |
Phoenix Services International, LLC: | |||
DIP Loan, 14.97%, (SOFR + 12.00%), 5/29/23(12) | 1,016 | 975,771 | |
DIP Loan, 16.982%, (SOFR + 12.00%), 5/29/23 | 2,112 | 2,027,548 | |
Term Loan, 0.00%, 3/1/25(9) | 6,587 | 753,943 | |
Prime Security Services Borrower, LLC, Term Loan, 7.608%, (1 mo. USD LIBOR + 2.75%), 9/23/26 | 13,438 | 13,434,361 | |
SITEL Group, Term Loan, 6.765%, (1 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 6,425 | 7,009,869 |
SITEL Worldwide Corporation, Term Loan, 8.76%, (1 mo. USD LIBOR + 3.75%), 8/28/28 | 14,022 | 13,991,844 | |
Tempo Acquisition, LLC, Term Loan, 7.982%, (SOFR + 3.00%), 8/31/28 | 2,475 | 2,476,741 | |
TruGreen Limited Partnership, Term Loan, 9.082%, (1 mo. USD LIBOR + 4.00%), 11/2/27 | 4,008 | 3,705,165 | |
$ 100,512,367 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Communications Equipment — 0.1% | |||
Digi International, Inc., Term Loan, 10.025%, (1 mo. USD LIBOR + 5.00%), 11/1/28 | 4,709 | $ 4,697,602 | |
$ 4,697,602 | |||
Construction Materials — 0.4% | |||
Quikrete Holdings, Inc.: | |||
Term Loan, 7.65%, (1 mo. USD LIBOR + 2.63%), 2/1/27 | 2,748 | $ 2,735,440 | |
Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 3/18/29 | 19,110 | 19,057,996 | |
$ 21,793,436 | |||
Consumer Staples Distribution & Retail — 0.1% | |||
Peer Holding III B.V., Term Loan, 9/29/28(11) | EUR | 5,725 | $ 6,233,468 |
$ 6,233,468 | |||
Containers & Packaging — 1.1% | |||
Berlin Packaging, LLC, Term Loan, 8.616%, (USD LIBOR + 3.75%), 3/11/28(12) | 2,916 | $ 2,863,773 | |
Kouti B.V.: | |||
Term Loan, 5.873%, (3 mo. EURIBOR + 3.18%), 8/31/28 | EUR | 29,250 | 30,554,597 |
Term Loan, 7.562%, (1 week EURIBOR + 4.75%), 8/31/28 | EUR | 4,475 | 4,924,841 |
Pregis TopCo Corporation: | |||
Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 7/31/26 | 1,354 | 1,335,752 | |
Term Loan, 8.847%, (SOFR + 3.75%), 7/31/26 | 1,974 | 1,948,575 | |
Pretium PKG Holdings, Inc.: | |||
Term Loan, 9.167%, (3 mo. USD LIBOR + 4.00%), 10/2/28 | 7,085 | 5,683,434 | |
Term Loan - Second Lien, 11.863%, (3 mo. USD LIBOR + 6.75%), 10/1/29 | 6,675 | 4,138,500 | |
Proampac PG Borrower, LLC, Term Loan, 8.976%, (USD LIBOR + 3.75%), 11/3/25(12) | 10,977 | 10,832,478 | |
Trident TPI Holdings, Inc., Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 9/15/28 | 5,691 | 5,537,652 | |
$ 67,819,602 | |||
Distributors — 0.4% | |||
Autokiniton US Holdings, Inc., Term Loan, 9.597%, (SOFR + 4.50%), 4/6/28 | 20,683 | $ 20,348,741 | |
Phillips Feed Service, Inc., Term Loan, 12.01%, (1 mo. USD LIBOR + 7.00%), 11/13/24(5) | 473 | 378,439 | |
Winterfell Financing S.a.r.l., Term Loan, 7.926%, (3 mo. EURIBOR + 5.00%), 5/4/28 | EUR | 2,000 | 2,143,196 |
$ 22,870,376 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Consumer Services — 0.8% | |||
Ascend Learning, LLC, Term Loan, 8.582%, (SOFR + 3.50%), 12/11/28 | 11,350 | $ 10,380,361 | |
FrontDoor, Inc., Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 6/17/28 | 860 | 845,359 | |
KUEHG Corp.: | |||
Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 2/21/25 | 28,487 | 28,344,696 | |
Term Loan - Second Lien, 13.409%, (3 mo. USD LIBOR + 8.25%), 8/22/25 | 4,425 | 4,330,969 | |
Sotheby's, Term Loan, 9.76%, (3 mo. USD LIBOR + 4.50%), 1/15/27 | 4,005 | 4,004,919 | |
$ 47,906,304 | |||
Diversified Financial Services — 0.2% | |||
Concorde Midco, Ltd., Term Loan, 7.052%, (3 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 8,730 | $ 9,397,138 |
$ 9,397,138 | |||
Diversified Telecommunication Services — 2.2% | |||
CenturyLink, Inc., Term Loan, 7.347%, (SOFR + 2.25%), 3/15/27 | 22,946 | $ 15,657,181 | |
GEE Holdings 2, LLC: | |||
Term Loan, 13.018%, (3 mo. USD LIBOR + 8.00%), 3/24/25 | 9,639 | 9,446,335 | |
Term Loan - Second Lien, 13.268%, (3 mo. USD LIBOR + 8.25%), 3/23/26 | 7,100 | 4,384,328 | |
Level 3 Financing, Inc., Term Loan, 6.847%, (SOFR + 1.75%), 3/1/27 | 851 | 727,800 | |
Telenet Financing USD, LLC, Term Loan, 6.948%, (1 mo. USD LIBOR + 2.00%), 4/30/28 | 12,325 | 12,079,597 | |
Telenet International Finance S.a.r.l., Term Loan, 5.184%, (1 mo. EURIBOR + 2.25%), 4/30/29 | EUR | 1,500 | 1,599,835 |
UPC Broadband Holding B.V.: | |||
Term Loan, 5.434%, (1 mo. EURIBOR + 2.50%), 4/30/29 | EUR | 4,850 | 5,230,653 |
Term Loan, 5.859%, (1 mo. EURIBOR + 2.93%), 1/31/29 | EUR | 13,850 | 15,008,563 |
UPC Financing Partnership, Term Loan, 7.873%, (1 mo. USD LIBOR + 2.93%), 1/31/29 | 4,000 | 3,968,500 | |
Virgin Media Bristol, LLC, Term Loan, 7.448%, (1 mo. USD LIBOR + 2.50%), 1/31/28 | 9,638 | 9,501,977 | |
Virgin Media Ireland Limited, Term Loan, 6.397%, (1 mo. EURIBOR + 3.46%), 7/15/29 | EUR | 8,500 | 9,090,255 |
Virgin Media SFA Finance Limited: | |||
Term Loan, 5.434%, (1 mo. EURIBOR + 2.50%), 1/31/29 | EUR | 5,625 | 6,028,707 |
Term Loan, 7.46%, (SONIA + 3.25%), 1/15/27 | GBP | 8,175 | 9,747,395 |
Term Loan, 7.46%, (SONIA + 3.25%), 11/15/27 | GBP | 600 | 714,358 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Telecommunication Services (continued) | |||
Zayo Group Holdings, Inc., Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 3/9/27 | EUR | 4,120 | $ 3,806,189 |
Ziggo B.V., Term Loan, 6.102%, (6 mo. EURIBOR + 3.00%), 1/31/29 | EUR | 25,150 | 26,427,754 |
$ 133,419,427 | |||
Electrical Equipment — 0.1% | |||
AZZ, Inc., Term Loan, 9.246%, (SOFR + 4.25%), 5/13/29 | 1,739 | $ 1,740,686 | |
Brookfield WEC Holdings, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 8/1/25 | 1,529 | 1,526,357 | |
$ 3,267,043 | |||
Electronic Equipment, Instruments & Components — 0.8% | |||
Creation Technologies, Inc., Term Loan, 10.723%, (3 mo. USD LIBOR + 5.50%), 10/5/28 | 12,881 | $ 11,399,881 | |
II-VI Incorporated, Term Loan, 7.847%, (SOFR + 2.75%), 7/2/29 | 418 | 417,210 | |
Minimax Viking GmbH, Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 7/31/25 | EUR | 1,846 | 2,033,284 |
Mirion Technologies, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 10/20/28 | 1,727 | 1,726,610 | |
Robertshaw US Holding Corp., Term Loan, 8.688%, (3 mo. USD LIBOR + 3.50%), 2/28/25 | 16,896 | 9,123,787 | |
Verifone Systems, Inc., Term Loan, 8.958%, (3 mo. USD LIBOR + 4.00%), 8/20/25 | 13,694 | 11,857,014 | |
Verisure Holding AB, Term Loan, 6.262%, (3 mo. EURIBOR + 3.25%), 3/27/28 | EUR | 12,450 | 13,208,560 |
$ 49,766,346 | |||
Energy Equipment & Services — 0.6% | |||
Ameriforge Group, Inc.: | |||
Term Loan, 12.615%, (1 mo. USD LIBOR + 8.00%), 2/1/26(5)(13) | 3,157 | $ 2,841,582 | |
Term Loan, 18.159%, (3 mo. USD LIBOR + 13.00%), 13.159% cash, 5.00% PIK, 2/1/26(5) | 24,688 | 22,219,622 | |
Lealand Finance Company B.V.: | |||
Letter of Credit, 4.29%, 6/28/24(13) | 9,039 | 7,728,661 | |
Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 6.025% cash, 3.00% PIK, 6/30/25 | 2,479 | 1,657,100 | |
$ 34,446,965 | |||
Engineering & Construction — 0.8% | |||
Aegion Corporation, Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 5/17/28 | 15,837 | $ 15,584,799 | |
American Residential Services, LLC, Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 10/15/27 | 500 | 495,893 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Engineering & Construction (continued) | |||
APi Group DE, Inc., Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 10/1/26 | 10,603 | $ 10,604,810 | |
Centuri Group, Inc., Term Loan, 7.459%, (USD LIBOR + 2.50%), 8/27/28(12) | 8,342 | 8,290,138 | |
Northstar Group Services, Inc.: | |||
Term Loan, 10.491%, (SOFR + 5.50%), 11/12/26 | 1,988 | 1,987,500 | |
Term Loan, 10.597%, (SOFR + 5.50%), 11/12/26 | 10,966 | 10,938,200 | |
$ 47,901,340 | |||
Entertainment — 1.4% | |||
AMC Entertainment Holdings, Inc., Term Loan, 7.946%, (1 mo. USD LIBOR + 3.00%), 4/22/26 | 19,548 | $ 15,049,263 | |
City Football Group Limited, Term Loan, 8.273%, (3 mo. USD LIBOR + 3.00%), 7/21/28 | 8,270 | 8,104,491 | |
Crown Finance US, Inc., DIP Loan, 15.049%, (SOFR + 10.10%), 9/7/23(12) | 8,050 | 8,214,188 | |
Formula One Holdings Limited., Term Loan, 8.232%, (SOFR + 3.25%), 1/15/30 | 2,500 | 2,507,553 | |
Live Nation Entertainment, Inc., Term Loan, 6.796%, (SOFR + 1.75%), 10/17/26 | 5,600 | 5,550,713 | |
Playtika Holding Corp., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 3/13/28 | 24,653 | 24,571,859 | |
Renaissance Holding Corp.: | |||
Term Loan, 9.732%, (1 mo. USD LIBOR + 4.75%), 4/5/30 | 11,025 | 10,842,404 | |
Term Loan - Second Lien, 12.025%, (1 mo. USD LIBOR + 7.00%), 5/29/26 | 3,175 | 3,125,060 | |
UFC Holdings, LLC, Term Loan, 8.05%, (3 mo. USD LIBOR + 2.75%), 4/29/26 | 7,243 | 7,234,170 | |
Vue International Bidco PLC: | |||
Term Loan, 11.086%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 434 | 438,321 |
Term Loan, 11.359%, (6 mo. EURIBOR + 8.00%), 4.859% cash, 6.50% PIK, 12/31/27 | EUR | 2,934 | 1,778,006 |
$ 87,416,028 | |||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||
Iron Mountain, Inc., Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 3,654 | $ 3,645,527 | |
$ 3,645,527 | |||
Financial Services — 0.2% | |||
Ditech Holding Corporation, Term Loan, 0.00%, 6/30/23(9) | 19,573 | $ 2,152,988 | |
Walker & Dunlop, Inc., Term Loan, 7.332%, (SOFR + 2.25%), 12/16/28 | 12,887 | 12,779,489 | |
$ 14,932,477 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Food Products — 0.9% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 9.768%, (1 mo. USD LIBOR + 4.75%), 10/1/25 | 6,575 | $ 5,892,732 | |
Badger Buyer Corp., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 9/30/24 | 4,801 | 3,856,500 | |
CHG PPC Parent, LLC, Term Loan, 6.515%, (1 mo. EURIBOR + 3.50%), 3/31/25 | EUR | 2,000 | 2,159,725 |
Del Monte Foods, Inc., Term Loan, 9.314%, (SOFR + 4.25%), 5/16/29 | 6,309 | 6,208,241 | |
Froneri International, Ltd.: | |||
Term Loan, 5.067%, (6 mo. EURIBOR + 2.13%), 1/29/27 | EUR | 1,500 | 1,574,044 |
Term Loan, 7.409%, (3 mo. USD LIBOR + 2.25%), 1/29/27 | 4,716 | 4,660,255 | |
Nomad Foods Europe Midco Limited, Term Loan, 8.561%, (SOFR + 3.75%), 11/12/29 | 8,033 | 8,046,148 | |
Sovos Brands Intermediate, Inc., Term Loan, 8.773%, (3 mo. USD LIBOR + 3.50%), 6/8/28 | 4,259 | 4,222,755 | |
United Petfood Group B.V., Term Loan, 6.038%, (3 mo. EURIBOR + 2.75%), 4/23/28 | EUR | 8,400 | 8,908,865 |
Valeo F1 Company Limited (Ireland): | |||
Term Loan, 7.239%, (6 mo. EURIBOR + 4.00%), 9/29/28 | EUR | 8,550 | 8,083,431 |
Term Loan, 8.927%, (SONIA + 5.00%), 6/28/28 | GBP | 2,500 | 2,552,774 |
$ 56,165,470 | |||
Gas Utilities — 0.4% | |||
CQP Holdco, L.P., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 6/5/28 | 22,243 | $ 22,226,083 | |
$ 22,226,083 | |||
Health Care Equipment & Supplies — 1.0% | |||
Artivion, Inc., Term Loan, 8.66%, (SOFR + 3.50%), 6/1/27 | 6,678 | $ 6,218,753 | |
Bayou Intermediate II, LLC, Term Loan, 9.296%, (3 mo. USD LIBOR + 4.50%), 8/2/28 | 6,691 | 6,289,892 | |
Gloves Buyer, Inc., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 12/29/27 | 12,184 | 11,696,624 | |
ICU Medical, Inc., Term Loan, 7.548%, (SOFR + 2.50%), 1/8/29 | 7,400 | 7,345,518 | |
Journey Personal Care Corp., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 3/1/28 | 28,401 | 22,153,048 | |
Medline Borrower, L.P., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 10/23/28 | 8,657 | 8,418,136 | |
$ 62,121,971 | |||
Health Care Providers & Services — 4.3% | |||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 8.938%, (3 mo. USD LIBOR + 3.75%), 9/7/28 | 13,751 | $ 13,716,251 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Biogroup-LCD, Term Loan, 5.602%, (3 mo. EURIBOR + 3.00%), 2/9/28 | EUR | 10,650 | $ 10,730,410 |
BW NHHC Holdco, Inc., Term Loan - Second Lien, 12.898%, (SOFR + 8.00%), 1/15/26 | 13,770 | 9,914,191 | |
CAB, Term Loan, 5.852%, (3 mo. EURIBOR + 3.25%), 2/9/28 | EUR | 7,150 | 7,311,330 |
Cano Health, LLC, Term Loan, 9.082%, (SOFR + 4.00%), 11/23/27 | 7,263 | 5,792,616 | |
CCRR Parent, Inc., Term Loan, 8.78%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 4,733 | 4,638,394 | |
Cerba Healthcare S.A.S.: | |||
Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 6/30/28 | EUR | 18,925 | 19,148,695 |
Term Loan, 6.515%, (1 mo. EURIBOR + 3.50%), 2/15/29 | EUR | 8,225 | 8,522,579 |
Covis Finco S.a.r.l., Term Loan, 11.548%, (SOFR + 6.50%), 2/18/27 | 12,896 | 7,383,103 | |
Dedalus Finance GmbH, Term Loan, 6.969%, (3 mo. EURIBOR + 3.75%), 7/17/27 | EUR | 3,350 | 3,331,458 |
Elsan S.A.S., Term Loan, 6.103%, (3 mo. EURIBOR + 3.35%), 6/16/28 | EUR | 4,100 | 4,388,411 |
Envision Healthcare Corporation: | |||
Term Loan, 12.923%, (SOFR + 7.88%), 3/31/27 | 5,436 | 4,375,933 | |
Term Loan - Second Lien, 9.148%, (SOFR + 4.25%), 3/31/27 | 38,369 | 5,659,480 | |
IVC Acquisition, Ltd.: | |||
Term Loan, 6.294%, (6 mo. EURIBOR + 4.00%), 2/13/26 | EUR | 9,100 | 9,629,682 |
Term Loan, 7.703%, (SONIA + 4.50%), 2/13/26 | GBP | 950 | 1,131,232 |
Medical Solutions Holdings, Inc.: | |||
Term Loan, 8.24%, (SOFR + 3.25%), 11/1/28 | 13,814 | 13,419,286 | |
Term Loan - Second Lien, 11.99%, (SOFR + 7.00%), 11/1/29 | 9,500 | 8,597,500 | |
Mehilainen Yhtiot Oy, Term Loan, 6.54%, (3 mo. EURIBOR + 3.53%), 8/8/25 | EUR | 6,025 | 6,471,317 |
Midwest Physician Administrative Services, LLC, Term Loan, 8.409%, (3 mo. USD LIBOR + 3.25%), 3/12/28 | 1,416 | 1,342,467 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 8.748%, (SOFR + 3.75%), 3/2/28 | 334 | 258,216 | |
Term Loan, 8.815%, (SOFR + 3.75%), 3/2/28(12) | 12,314 | 9,528,219 | |
Term Loan - Second Lien, 12.248%, (SOFR + 7.25%), 3/2/29 | 5,525 | 3,315,000 | |
Option Care Health, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 3,342 | 3,342,289 | |
Pediatric Associates Holding Company, LLC: | |||
Term Loan, 7.516%, (1 mo. USD LIBOR + 3.25%), 12/29/28(13) | 147 | 145,564 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Pediatric Associates Holding Company, LLC: (continued) | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 12/29/28 | 967 | $ 956,726 | |
Phoenix Guarantor, Inc.: | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 3/5/26 | 16,319 | 16,070,737 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 3/5/26 | 5,389 | 5,306,811 | |
Radiology Partners, Inc., Term Loan, 9.347%, (SOFR + 4.25%), 7/9/25 | 16,962 | 12,566,034 | |
Ramsay Generale de Sante S.A., Term Loan, 6.261%, (3 mo. EURIBOR + 3.05%), 4/22/27 | EUR | 6,600 | 7,251,329 |
Select Medical Corporation, Term Loan, 7.53%, (1 mo. USD LIBOR + 2.50%), 3/6/25 | 45,148 | 45,085,510 | |
Sound Inpatient Physicians: | |||
Term Loan, 8.273%, (3 mo. USD LIBOR + 3.00%), 6/27/25 | 199 | 151,455 | |
Term Loan, 8.273%, (3 mo. USD LIBOR + 3.00%), 6/27/25 | 2,333 | 1,783,621 | |
Synlab Bondco PLC, Term Loan, 5.193%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 2,125 | 2,316,660 |
TTF Holdings, LLC, Term Loan, 9.063%, (1 mo. USD LIBOR + 4.00%), 3/31/28 | 5,083 | 5,082,594 | |
U.S. Anesthesia Partners, Inc., Term Loan, 9.098%, (1 mo. USD LIBOR + 4.25%), 10/1/28 | 3,946 | 3,786,688 | |
$ 262,451,788 | |||
Health Care Technology — 1.0% | |||
Bracket Intermediate Holding Corp., Term Loan, 9.287%, (3 mo. USD LIBOR + 4.25%), 9/5/25 | 4,531 | $ 4,498,608 | |
Certara, L.P., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 8/15/26 | 1,818 | 1,806,265 | |
GHX Ultimate Parent Corporation, Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 6/28/24 | 3,394 | 3,382,272 | |
Imprivata, Inc.: | |||
Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 12/1/27 | 11,262 | 10,933,173 | |
Term Loan, 9.232%, (SOFR + 4.25%), 12/1/27 | 3,275 | 3,222,538 | |
MedAssets Software Intermediate Holdings, Inc.: | |||
Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 12/18/28 | 16,310 | 14,081,177 | |
Term Loan - Second Lien, 11.775%, (1 mo. USD LIBOR + 6.75%), 12/17/29 | 8,775 | 5,278,707 | |
Symplr Software, Inc., Term Loan, 9.645%, (SOFR + 4.50%), 12/22/27 | 10,106 | 9,171,067 | |
Verscend Holding Corp., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 8/27/25 | 10,000 | 10,000,890 | |
$ 62,374,697 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Hotels, Restaurants & Leisure — 3.2% | |||
1011778 B.C. Unlimited Liability Company, Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 11/19/26 | 21,522 | $ 21,358,657 | |
Carnival Corporation: | |||
Term Loan, 6.765%, (1 mo. EURIBOR + 3.75%), 6/30/25 | EUR | 8,835 | 9,705,077 |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 10/18/28 | 34,587 | 34,082,803 | |
ClubCorp Holdings, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 9/18/24 | 21,048 | 19,940,261 | |
GVC Holdings (Gibraltar) Limited, Term Loan, 6.74%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 20,694 | 22,820,243 |
Oravel Stays Singapore Pte., Ltd., Term Loan, 13.27%, (3 mo. USD LIBOR + 8.25%), 6/23/26 | 5,379 | 4,666,445 | |
Playa Resorts Holding B.V., Term Loan, 9.14%, (SOFR + 4.25%), 1/5/29 | 18,005 | 17,999,870 | |
Scientific Games International, Inc., Term Loan, 7.981%, (SOFR + 3.00%), 4/14/29 | 7,444 | 7,443,750 | |
SeaWorld Parks & Entertainment, Inc., Term Loan, 8.063%, (1 mo. USD LIBOR + 3.00%), 8/25/28 | 14,899 | 14,861,376 | |
Stars Group Holdings B.V. (The): | |||
Term Loan, 5.515%, (3 mo. EURIBOR + 2.50%), 7/21/26 | EUR | 11,225 | 12,307,087 |
Term Loan, 7.409%, (3 mo. USD LIBOR + 2.25%), 7/21/26 | 29,194 | 29,177,766 | |
$ 194,363,335 | |||
Household Durables — 1.5% | |||
ACProducts, Inc., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 5/17/28 | 18,668 | $ 14,807,602 | |
Libbey Glass, Inc., Term Loan, 13.461%, (SOFR + 8.50%), 8.711% cash, 4.75% PIK, 11/22/27 | 14,305 | 14,376,950 | |
Serta Simmons Bedding, LLC: | |||
Term Loan, 0.00%, 8/10/23(9) | 13,330 | 13,213,223 | |
Term Loan - Second Lien, 0.00%, 8/10/23(9) | 44,026 | 26,195,398 | |
Solis IV B.V.: | |||
Term Loan, 6.67%, (3 mo. EURIBOR + 4.00%), 2/26/29 | EUR | 5,693 | 5,843,332 |
Term Loan, 8.373%, (SOFR + 3.50%), 2/26/29 | 13,787 | 12,514,436 | |
Spectrum Brands, Inc., Term Loan, 6.96%, (3 mo. USD LIBOR + 2.00%), 3/3/28 | 4,165 | 4,131,159 | |
$ 91,082,100 | |||
Household Products — 0.5% | |||
Energizer Holdings, Inc., Term Loan, 7.329%, (SOFR + 2.25%), 12/22/27 | 6,541 | $ 6,516,848 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Household Products (continued) | |||
Kronos Acquisition Holdings, Inc.: | |||
Term Loan, 8.703%, (3 mo. USD LIBOR + 3.75%), 12/22/26 | 8,027 | $ 7,841,973 | |
Term Loan, 11.023%, (SOFR + 6.00%), 12/22/26 | 5,086 | 5,022,055 | |
Nobel Bidco B.V., Term Loan, 5.942%, (6 mo. EURIBOR + 3.50%), 9/1/28 | EUR | 11,450 | 11,029,155 |
$ 30,410,031 | |||
Independent Power and Renewable Electricity Producers — 0.1% | |||
Calpine Corporation: | |||
Term Loan, 7.03%, (1 mo. USD LIBOR + 2.00%), 4/5/26 | 2,313 | $ 2,307,925 | |
Term Loan, 7.53%, (1 mo. USD LIBOR + 2.50%), 12/16/27 | 6,160 | 6,145,836 | |
$ 8,453,761 | |||
Industrial Conglomerates — 0.3% | |||
Rain Carbon GmbH, Term Loan, 5.969%, (3 mo. EURIBOR + 2.75%), 1/16/25 | EUR | 15,625 | $ 16,700,679 |
$ 16,700,679 | |||
Insurance — 0.9% | |||
Alliant Holdings Intermediate, LLC: | |||
Term Loan, 8.376%, (SOFR + 3.50%), 11/5/27 | 3,778 | $ 3,755,218 | |
Term Loan, 8.51%, (1 mo. USD LIBOR + 3.50%), 11/6/27 | 13,232 | 13,148,202 | |
AssuredPartners, Inc.: | |||
Term Loan, 8.482%, (SOFR + 3.50%), 2/12/27 | 5,321 | 5,250,302 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 2/12/27 | 3,093 | 3,046,026 | |
Financiere CEP S.A.S., Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 6/18/27 | EUR | 4,125 | 4,444,206 |
Hub International Limited: | |||
Term Loan, 8.021%, (USD LIBOR + 3.00%), 4/25/25(12) | 9,017 | 9,012,873 | |
Term Loan, 8.511%, (3 mo. USD LIBOR + 3.25%), 4/25/25 | 5,361 | 5,359,067 | |
NFP Corp., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 2/15/27 | 13,360 | 13,107,293 | |
$ 57,123,187 | |||
Interactive Media & Services — 0.7% | |||
Adevinta ASA: | |||
Term Loan, 6.015%, (3 mo. EURIBOR + 3.00%), 6/26/28 | EUR | 5,877 | $ 6,470,260 |
Term Loan, 7.909%, (3 mo. USD LIBOR + 2.75%), 6/26/28 | 2,137 | 2,141,613 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Interactive Media & Services (continued) | |||
Buzz Finco, LLC: | |||
Term Loan, 7.832%, (1 mo. USD LIBOR + 2.75%), 1/29/27 | 1,972 | $ 1,972,156 | |
Term Loan, 8.332%, (SOFR + 2.25%), 1/29/27 | 435 | 435,057 | |
Foundational Education Group, Inc., Term Loan, 8.91%, (SOFR + 3.75%), 8/31/28 | 5,162 | 4,542,654 | |
Getty Images, Inc.: | |||
Term Loan, 8.063%, (3 mo. EURIBOR + 5.00%), 2/19/26 | EUR | 2,224 | 2,442,947 |
Term Loan, 9.503%, (SOFR + 4.50%), 2/19/26(12) | 15,870 | 15,899,477 | |
Match Group, Inc., Term Loan, 6.713%, (3 mo. USD LIBOR + 1.75%), 2/13/27 | 6,450 | 6,421,781 | |
$ 40,325,945 | |||
IT Services — 4.1% | |||
Asurion, LLC: | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 546 | $ 513,329 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 7/31/27 | 8,976 | 8,315,893 | |
Term Loan, 9.082%, (SOFR + 4.00%), 8/19/28 | 9,104 | 8,476,220 | |
Term Loan, 9.332%, (SOFR + 4.25%), 8/19/28 | 7,136 | 6,674,851 | |
Term Loan - Second Lien, 10.275%, (1 mo. USD LIBOR + 5.25%), 1/31/28 | 15,790 | 13,305,538 | |
Term Loan - Second Lien, 10.275%, (1 mo. USD LIBOR + 5.25%), 1/20/29 | 2,375 | 1,990,877 | |
Cyxtera DC Holdings, Inc.: | |||
Term Loan, 8.068%, (3 mo. USD LIBOR + 3.00%), 5/1/24 | 27,147 | 20,371,800 | |
Term Loan, 9.068%, (3 mo. USD LIBOR + 4.00%), 5/1/24 | 9,711 | 7,218,578 | |
Endure Digital, Inc., Term Loan, 8.792%, (3 mo. USD LIBOR + 3.50%), 2/10/28 | 19,908 | 18,698,240 | |
Gainwell Acquisition Corp., Term Loan, 8.998%, (SOFR + 4.00%), 10/1/27 | 50,721 | 48,977,438 | |
Go Daddy Operating Company, LLC, Term Loan, 8.232%, (SOFR + 3.25%), 11/9/29 | 44,953 | 45,060,526 | |
Informatica, LLC, Term Loan, 7.813%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 31,754 | 31,707,952 | |
NAB Holdings, LLC, Term Loan, 8.048%, (SOFR + 3.00%), 11/23/28 | 14,425 | 14,256,931 | |
Rackspace Technology Global, Inc., Term Loan, 7.595%, (3 mo. USD LIBOR + 2.75%), 2/15/28 | 16,347 | 6,872,470 | |
team.blue Finco S.a.r.l., Term Loan, 6.715%, (3 mo. EURIBOR + 3.70%), 3/30/28 | EUR | 11,150 | 11,892,012 |
WEX, Inc., Term Loan, 7.347%, (SOFR + 2.25%), 3/31/28 | 3,920 | 3,918,601 | |
$ 248,251,256 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Leisure Products — 0.4% | |||
Amer Sports Oyj, Term Loan, 7.898%, (6 mo. EURIBOR + 4.25%), 3/30/26 | EUR | 11,925 | $ 12,893,785 |
Fender Musical Instruments Corporation, Term Loan, 8.99%, (SOFR + 4.00%), 12/1/28 | 2,273 | 2,116,745 | |
Hayward Industries, Inc., Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 5/30/28 | 9,101 | 8,864,488 | |
SRAM, LLC, Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 5/18/28 | 1,930 | 1,904,592 | |
$ 25,779,610 | |||
Life Sciences Tools & Services — 2.3% | |||
Avantor Funding, Inc., Term Loan, 5.515%, (1 mo. EURIBOR + 2.50%), 6/12/28 | EUR | 19,355 | $ 21,295,781 |
Cambrex Corporation, Term Loan, 8.482%, (SOFR + 3.50%), 12/4/26 | 324 | 322,409 | |
Catalent Pharma Solutions, Inc., Term Loan, 7.063%, (1 mo. USD LIBOR + 2.00%), 2/22/28 | 1,029 | 1,023,855 | |
Curia Global, Inc., Term Loan, 8.895%, (SOFR + 3.75%), 8/30/26(12) | 17,355 | 15,181,381 | |
ICON Luxembourg S.a.r.l., Term Loan, 7.41%, (SOFR + 2.25%), 7/3/28 | 52,986 | 53,002,844 | |
IQVIA, Inc., Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 1/17/25 | 12,472 | 12,474,866 | |
LGC Group Holdings, Ltd., Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 4/21/27 | EUR | 5,775 | 6,071,818 |
Loire Finco Luxembourg S.a.r.l., Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 4/21/27 | 1,128 | 1,085,752 | |
PRA Health Sciences, Inc., Term Loan, 7.126%, (SOFR + 2.25%), 7/3/28 | 13,202 | 13,205,862 | |
Sotera Health Holdings, LLC, Term Loan, 8.023%, (3 mo. USD LIBOR + 2.75%), 12/11/26 | 17,828 | 17,404,722 | |
$ 141,069,290 | |||
Machinery — 2.8% | |||
AI Alpine AT Bidco GmbH, Term Loan, 6.339%, (6 mo. EURIBOR + 3.00%), 10/31/25 | EUR | 6,125 | $ 6,614,157 |
AI Aqua Merger Sub, Inc., Term Loan, 8.584%, (SOFR + 3.75%), 7/31/28 | 6,591 | 6,434,609 | |
Albion Financing 3 S.a.r.l.: | |||
Term Loan, 10.347%, (SOFR + 5.50%), 8/17/26 | 3,525 | 3,472,125 | |
Term Loan, 10.523%, (3 mo. USD LIBOR + 5.25%), 8/17/26 | 3,479 | 3,412,570 | |
Ali Group North America Corporation, Term Loan, 7.097%, (SOFR + 2.00%), 7/30/29 | 16,063 | 16,008,554 | |
Alliance Laundry Systems, LLC, Term Loan, 8.559%, (3 mo. USD LIBOR + 3.50%), 10/8/27 | 252 | 250,615 | |
American Trailer World Corp., Term Loan, 8.832%, (SOFR + 3.75%), 3/3/28 | 13,302 | 11,556,467 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
Apex Tool Group, LLC, Term Loan, 10.24%, (SOFR + 5.25%), 2/8/29 | 20,528 | $ 18,110,539 | |
Clark Equipment Company, Term Loan, 7.498%, (SOFR + 2.50%), 4/20/29 | 11,484 | 11,484,000 | |
Conair Holdings, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 5/17/28 | 24,330 | 22,793,700 | |
Delachaux Group S.A., Term Loan, 9.773%, (3 mo. USD LIBOR + 4.50%), 4/16/26 | 4,208 | 4,102,312 | |
Engineered Machinery Holdings, Inc.: | |||
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 10,712 | 11,537,843 |
Term Loan - Second Lien, 11.159%, (3 mo. USD LIBOR + 6.00%), 5/21/29 | 2,000 | 1,842,500 | |
EWT Holdings III Corp., Term Loan, 7.347%, (SOFR + 2.25%), 4/1/28 | 3,500 | 3,482,378 | |
Filtration Group Corporation, Term Loan, 6.515%, (1 mo. EURIBOR + 3.50%), 3/29/25 | EUR | 2,931 | 3,213,285 |
Icebox Holdco III, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 12/22/28 | 4,169 | 4,018,122 | |
Madison IAQ, LLC, Term Loan, 8.302%, (6 mo. USD LIBOR + 3.25%), 6/21/28 | 11,640 | 11,226,405 | |
Pro Mach Group, Inc., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 8/31/28 | 2,813 | 2,809,771 | |
Roper Industrial Products Investment Company, LLC: | |||
Term Loan, 8.015%, (3 mo. EURIBOR + 5.25%), 11/22/29 | EUR | 1,000 | 1,059,202 |
Term Loan, 9.398%, (SOFR + 4.50%), 11/22/29 | 2,275 | 2,264,574 | |
SPX Flow, Inc., Term Loan, 9.582%, (SOFR + 4.50%), 4/5/29 | 4,623 | 4,470,842 | |
TK Elevator Topco GmbH, Term Loan, 6.567%, (6 mo. EURIBOR + 3.63%), 7/30/27 | EUR | 9,725 | 10,352,088 |
Vertical US Newco, Inc., Term Loan, 8.602%, (6 mo. USD LIBOR + 3.50%), 7/30/27 | 6 | 6,067 | |
Zephyr German BidCo GmbH, Term Loan, 6.645%, (3 mo. EURIBOR + 3.60%), 3/10/28 | EUR | 11,775 | 12,043,204 |
$ 172,565,929 | |||
Media — 1.7% | |||
Charter Communications Operating, LLC, Term Loan, 6.795%, (SOFR + 1.75%), 2/1/27(12) | 3,616 | $ 3,568,214 | |
CSC Holdings, LLC: | |||
Term Loan, 7.198%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | 20,221 | 19,348,868 | |
Term Loan, 7.198%, (1 mo. USD LIBOR + 2.25%), 1/15/26 | 4 | 3,893 | |
Diamond Sports Group, LLC: | |||
Term Loan, 13.064%, (SOFR + 8.15%), 5/25/26(9) | 4,166 | 3,794,770 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Media (continued) | |||
Diamond Sports Group, LLC: (continued) | |||
Term Loan - Second Lien, 8.167%, (SOFR + 3.25%), 8/24/26(9) | 23,068 | $ 1,741,610 | |
Gray Television, Inc., Term Loan, 7.918%, (1 mo. USD LIBOR + 3.00%), 12/1/28 | 1,037 | 1,016,547 | |
Hubbard Radio, LLC, Term Loan, 9.28%, (1 mo. USD LIBOR + 4.25%), 3/28/25 | 6,076 | 4,982,375 | |
iHeartCommunications, Inc., Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 5/1/26 | 2,365 | 2,056,866 | |
Magnite, Inc., Term Loan, 10.043%, (USD LIBOR + 5.00%), 4/28/28(12) | 1,338 | 1,294,900 | |
Mission Broadcasting, Inc., Term Loan, 7.348%, (1 mo. USD LIBOR + 2.50%), 6/2/28 | �� 3,635 | 3,631,615 | |
Nexstar Broadcasting, Inc., Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 9/18/26 | 3,623 | 3,617,832 | |
Recorded Books, Inc., Term Loan, 8.996%, (SOFR + 4.00%), 8/29/25 | 9,877 | 9,856,403 | |
Sinclair Television Group, Inc.: | |||
Term Loan, 7.53%, (1 mo. USD LIBOR + 2.50%), 9/30/26 | 6,200 | 5,574,948 | |
Term Loan, 8.03%, (1 mo. USD LIBOR + 3.00%), 4/1/28 | 22,788 | 19,391,305 | |
Univision Communications, Inc.: | |||
Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 3/15/24 | 7,012 | 7,023,061 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 3/15/26 | 18,281 | 18,191,625 | |
$ 105,094,832 | |||
Metals/Mining — 0.7% | |||
American Consolidated Natural Resources, Inc., Term Loan, 21.268%, (3 mo. USD LIBOR + 16.00%), 18.268% cash, 3.00% PIK, 9/16/25 | 435 | $ 437,207 | |
Dynacast International, LLC: | |||
Term Loan, 9.458%, (3 mo. USD LIBOR + 4.50%), 7/22/25 | 15,259 | 14,191,103 | |
Term Loan, 13.958%, (3 mo. USD LIBOR + 9.00%), 10/22/25 | 3,049 | 2,302,267 | |
PMHC II, Inc., Term Loan, 9.304%, (SOFR + 4.25%), 4/23/29 | 4,183 | 3,677,920 | |
WireCo WorldGroup, Inc., Term Loan, 9.25%, (1 mo. USD LIBOR + 4.25%), 11/13/28 | 6,202 | 6,170,745 | |
Zekelman Industries, Inc., Term Loan, 7.018%, (3 mo. USD LIBOR + 2.00%), 1/24/27 | 15,397 | 15,265,134 | |
$ 42,044,376 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Oil, Gas & Consumable Fuels — 1.0% | |||
Centurion Pipeline Company, LLC: | |||
Term Loan, 10.25%, (USD Prime + 3.25%), 9/29/25 | 3,120 | $ 3,127,014 | |
Term Loan, 11.00%, (USD Prime + 4.00%), 9/28/25 | 1,629 | 1,632,430 | |
GIP II Blue Holding, L.P., Term Loan, 9.659%, (3 mo. USD LIBOR + 4.50%), 9/29/28 | 15,014 | 15,006,304 | |
Matador Bidco S.a.r.l., Term Loan, 9.582%, (SOFR + 4.50%), 10/15/26 | 32,191 | 32,058,209 | |
Oxbow Carbon, LLC, Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 10/17/25 | 5,323 | 5,323,405 | |
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 13.025%, (1 mo. USD LIBOR + 8.00%), 8/27/26 | 5,729 | 5,714,832 | |
$ 62,862,194 | |||
Personal Products — 0.1% | |||
Rainbow Finco S.a.r.l., Term Loan, 6.697%, (6 mo. EURIBOR + 3.50%), 2/23/29 | EUR | 2,925 | $ 3,094,137 |
$ 3,094,137 | |||
Pharmaceuticals — 1.7% | |||
Aenova Holding GmbH, Term Loan, 7.332%, (6 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 925 | $ 981,354 |
AI Sirona (Luxembourg) Acquisition S.a.r.l., Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 9/29/25 | EUR | 13,000 | 14,132,855 |
Akorn, Inc., Term Loan, 0.00%, 10/1/25(9) | 2,996 | 733,965 | |
Amneal Pharmaceuticals, LLC, Term Loan, 8.563%, (1 mo. USD LIBOR + 3.50%), 5/4/25 | 3,681 | 3,462,973 | |
Bausch Health Companies, Inc., Term Loan, 10.24%, (SOFR + 5.25%), 2/1/27 | 18,347 | 14,831,444 | |
Elanco Animal Health Incorporated, Term Loan, 6.653%, (SOFR + 1.75%), 8/1/27 | 4,909 | 4,783,372 | |
Horizon Therapeutics USA, Inc.: | |||
Term Loan, 6.813%, (1 mo. USD LIBOR + 1.75%), 3/15/28 | 6,662 | 6,659,383 | |
Term Loan, 7.063%, (1 mo. USD LIBOR + 2.00%), 5/22/26 | 7,802 | 7,800,855 | |
Jazz Financing Lux S.a.r.l., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 5/5/28 | 7,036 | 7,035,059 | |
Mallinckrodt International Finance S.A.: | |||
Term Loan, 10.198%, (1 mo. USD LIBOR + 5.25%), 9/30/27 | 31,419 | 22,567,526 | |
Term Loan, 10.448%, (1 mo. USD LIBOR + 5.50%), 9/30/27 | 9,953 | 7,141,078 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
PharmaZell GmbH, Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 1,800 | $ 1,917,307 |
Recipharm AB, Term Loan, 5.882%, (3 mo. EURIBOR + 3.20%), 2/17/28 | EUR | 13,725 | 14,173,641 |
$ 106,220,812 | |||
Professional Services — 2.4% | |||
AlixPartners, LLP, Term Loan, 6.24%, (3 mo. EURIBOR + 3.25%), 2/4/28 | EUR | 3,455 | $ 3,762,504 |
APFS Staffing Holdings, Inc., Term Loan, 8.97%, (SOFR + 4.00%), 12/29/28(12) | 3,688 | 3,643,958 | |
Apleona Holding GmbH, Term Loan, 6.442%, (3 mo. EURIBOR + 3.20%), 4/28/28 | EUR | 7,525 | 7,967,907 |
CoreLogic, Inc., Term Loan, 8.563%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | 14,171 | 12,755,286 | |
Corporation Service Company, Term Loan, 8.332%, (SOFR + 3.25%), 11/2/29 | 4,883 | 4,888,744 | |
Deerfield Dakota Holding, LLC, Term Loan, 8.648%, (SOFR + 3.75%), 4/9/27 | 9,960 | 9,654,882 | |
EAB Global, Inc., Term Loan, 8.871%, (USD LIBOR + 3.50%), 8/16/28(12) | 14,467 | 14,154,940 | |
Employbridge Holding Company, Term Loan, 9.926%, (3 mo. USD LIBOR + 4.75%), 7/19/28 | 20,705 | 17,523,940 | |
First Advantage Holdings, LLC, Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 1/31/27 | 5,857 | 5,849,483 | |
Neptune Bidco U.S., Inc., Term Loan, 10.004%, (SOFR + 5.00%), 4/11/29 | 8,050 | 7,209,781 | |
Rockwood Service Corporation, Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 1/23/27 | 5,442 | 5,438,005 | |
TMF Group Holding B.V., Term Loan, 5/5/28(11) | 4,650 | 4,620,938 | |
Trans Union, LLC: | |||
Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 11/16/26 | 2,485 | 2,478,749 | |
Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 12/1/28 | 40,129 | 40,078,918 | |
Vaco Holdings, LLC, Term Loan, 10.048%, (SOFR + 5.00%), 1/21/29 | 3,678 | 3,669,242 | |
$ 143,697,277 | |||
Real Estate Management & Development — 0.6% | |||
Cushman & Wakefield U.S. Borrower, LLC: | |||
Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | 12,323 | $ 12,116,499 | |
Term Loan, 8.332%, (SOFR + 3.25%), 1/31/30 | 10,544 | 10,286,572 | |
RE/MAX International, Inc., Term Loan, 7.563%, (1 mo. USD LIBOR + 2.50%), 7/21/28 | 16,334 | 15,399,950 | |
$ 37,803,021 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Road & Rail — 2.2% | |||
Avis Budget Car Rental, LLC: | |||
Term Loan, 6.847%, (SOFR + 1.75%), 8/6/27 | 30,399 | $ 30,170,660 | |
Term Loan, 8.582%, (SOFR + 3.50%), 3/16/29 | 4,125 | 4,133,250 | |
Grab Holdings, Inc., Term Loan, 9.53%, (1 mo. USD LIBOR + 4.50%), 1/29/26 | 15,465 | 15,455,247 | |
Hertz Corporation (The): | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 17,194 | 17,165,609 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 3,298 | 3,292,679 | |
Uber Technologies, Inc., Term Loan, 7.87%, (SOFR + 2.75%), 3/3/30 | 58,465 | 58,318,629 | |
XPO Logistics, Inc., Term Loan, 6.621%, (1 mo. USD LIBOR + 1.75%), 2/24/25 | 4,275 | 4,272,815 | |
$ 132,808,889 | |||
Semiconductors & Semiconductor Equipment — 0.8% | |||
Altar Bidco, Inc.: | |||
Term Loan, 6.608%, (SOFR + 3.10%), 2/1/29 | 10,716 | $ 10,456,143 | |
Term Loan - Second Lien, 10.493%, (SOFR + 5.60%), 2/1/30 | 6,650 | 5,897,719 | |
Bright Bidco B.V., Term Loan, 4.045%, (SOFR + 1.00%), 10/31/27 | 3,533 | 2,243,603 | |
Entegris, Inc., Term Loan, 7.661%, (SOFR + 2.75%), 7/6/29(12) | 2,494 | 2,497,907 | |
MACOM Technology Solutions Holdings, Inc., Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 5/17/24 | 555 | 554,718 | |
MaxLinear, Inc., Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 6/23/28 | 2,955 | 2,944,275 | |
MKS Instruments, Inc., Term Loan, 7.814%, (SOFR + 2.75%), 8/17/29 | 17,859 | 17,822,470 | |
Synaptics Incorporated, Term Loan, 7.399%, (6 mo. USD LIBOR + 2.25%), 12/2/28 | 2,770 | 2,759,862 | |
Ultra Clean Holdings, Inc., Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 8/27/25 | 1,946 | 1,950,137 | |
$ 47,126,834 | |||
Software — 12.7% | |||
Applied Systems, Inc., Term Loan, 9.398%, (SOFR + 4.50%), 9/18/26 | 43,880 | $ 44,016,774 | |
Aptean, Inc.: | |||
Term Loan, 9.221%, (SOFR + 4.25%), 4/23/26 | 21,828 | 21,137,640 | |
Term Loan - Second Lien, 12.082%, (SOFR + 7.10%), 4/23/27 | 6,550 | 6,116,063 | |
Astra Acquisition Corp.: | |||
Term Loan, 10.275%, (1 mo. USD LIBOR + 5.25%), 10/25/28 | 5,017 | 4,096,853 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Astra Acquisition Corp.: (continued) | |||
Term Loan - Second Lien, 13.90%, (1 mo. USD LIBOR + 8.88%), 10/25/29 | 20,170 | $ 13,312,299 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 7.015%, (1 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 1,919 | 2,089,201 |
Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 10/2/25 | 682 | 674,696 | |
Term Loan - Second Lien, 10.525%, (1 mo. USD LIBOR + 5.50%), 2/27/26 | 3,191 | 3,095,452 | |
CDK Global, Inc., Term Loan, 9.148%, (SOFR + 4.25%), 7/6/29 | 19,925 | 19,928,171 | |
CentralSquare Technologies, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 8/29/25 | 18,456 | 16,548,262 | |
Cloudera, Inc.: | |||
Term Loan, 8.832%, (SOFR + 3.75%), 10/8/28 | 23,351 | 22,573,947 | |
Term Loan - Second Lien, 11.082%, (SOFR + 6.00%), 10/8/29 | 2,950 | 2,625,500 | |
Constant Contact, Inc., Term Loan, 9.198%, (3 mo. USD LIBOR + 4.00%), 2/10/28 | 5,056 | 4,783,405 | |
Cornerstone OnDemand, Inc., Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 10/16/28 | 15,543 | 13,813,841 | |
Delta TopCo, Inc., Term Loan, 8.656%, (SOFR + 3.75%), 12/1/27 | 10,972 | 10,519,048 | |
E2open, LLC, Term Loan, 8.566%, (USD LIBOR + 3.50%), 2/4/28(12) | 16,257 | 16,218,314 | |
ECI Macola Max Holding, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 11/9/27 | 19,305 | 19,110,225 | |
Epicor Software Corporation, Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 7/30/27 | 39,803 | 39,373,424 | |
Finastra USA, Inc.: | |||
Term Loan, 8.655%, (3 mo. USD LIBOR + 3.50%), 6/13/24 | 39,204 | 37,447,085 | |
Term Loan - Second Lien, 12.405%, (3 mo. USD LIBOR + 7.25%), 6/13/25 | 25,750 | 21,879,466 | |
Fiserv Investment Solutions, Inc., Term Loan, 8.946%, (SOFR + 4.00%), 2/18/27 | 5,837 | 5,669,611 | |
GoTo Group, Inc., Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 8/31/27 | 24,284 | 14,752,360 | |
Hyland Software, Inc.: | |||
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | 47,534 | 47,290,231 | |
Term Loan - Second Lien, 11.275%, (1 mo. USD LIBOR + 6.25%), 7/7/25 | 1,750 | 1,687,109 | |
IGT Holding IV AB: | |||
Term Loan, 6.415%, (3 mo. EURIBOR + 3.40%), 3/31/28 | EUR | 6,205 | 6,668,753 |
Term Loan, 8.462%, (SOFR + 3.40%), 3/31/28 | 4,036 | 4,035,677 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Ivanti Software, Inc.: | |||
Term Loan, 9.212%, (3 mo. USD LIBOR + 4.25%), 12/1/27 | 3,910 | $ 3,164,098 | |
Term Loan - Second Lien, 12.212%, (3 mo. USD LIBOR + 7.25%), 12/1/28 | 9,750 | 5,984,063 | |
Magenta Buyer, LLC: | |||
Term Loan, 10.03%, (3 mo. USD LIBOR + 4.75%), 7/27/28 | 23,221 | 19,668,338 | |
Term Loan - Second Lien, 13.53%, (3 mo. USD LIBOR + 8.25%), 7/27/29 | 16,175 | 12,373,875 | |
Marcel LUX IV S.a.r.l.: | |||
Term Loan, 6.552%, (3 mo. EURIBOR + 3.50%), 3/16/26 | EUR | 8,650 | 9,430,167 |
Term Loan, 8.18%, (SOFR + 3.25%), 3/15/26 | 11,537 | 11,464,990 | |
Term Loan, 8.93%, (SOFR + 4.00%), 12/31/27 | 731 | 726,759 | |
Maverick Bidco, Inc., Term Loan, 9.057%, (3 mo. USD LIBOR + 3.75%), 5/18/28 | 11,014 | 10,619,579 | |
McAfee, LLC, Term Loan, 8.653%, (SOFR + 3.75%), 3/1/29 | 19,853 | 18,782,052 | |
MH Sub I, LLC, Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 9/13/24 | 4,327 | 4,319,124 | |
N-Able International Holdings II, LLC, Term Loan, 7.953%, (3 mo. USD LIBOR + 3.00%), 7/19/28 | 1,270 | 1,260,954 | |
NortonLifeLock, Inc., Term Loan, 7.082%, (SOFR + 2.00%), 9/12/29 | 1,578 | 1,563,725 | |
Open Text Corporation, Term Loan, 8.582%, (SOFR + 3.50%), 1/31/30 | 25,187 | 25,202,617 | |
Panther Commercial Holdings, L.P., Term Loan, 9.275%, (1 mo. USD LIBOR + 4.25%), 1/7/28 | 20,948 | 20,385,408 | |
Polaris Newco, LLC: | |||
Term Loan, 7.242%, (3 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 8,520 | 8,302,926 |
Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 6/2/28 | 2,957 | 2,746,625 | |
Proofpoint, Inc., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 8/31/28 | 7,951 | 7,795,723 | |
Quest Software US Holdings, Inc., Term Loan, 9.445%, (SOFR + 4.25%), 2/1/29 | 16,294 | 14,030,355 | |
RealPage, Inc., Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 4/24/28 | 10,773 | 10,481,975 | |
Red Planet Borrower, LLC, Term Loan, 8.322%, (SOFR + 3.75%), 10/2/28 | 15,268 | 10,572,829 | |
Redstone Holdco 2 L.P., Term Loan, 10.005%, (3 mo. USD LIBOR + 4.75%), 4/27/28 | 18,832 | 16,042,602 | |
Sabre GLBL, Inc.: | |||
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 12/17/27 | 5,998 | 4,718,654 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 12/17/27 | 3,763 | 2,939,766 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Skillsoft Corporation, Term Loan, 10.197%, (SOFR + 5.25%), 7/14/28 | 10,422 | $ 8,941,978 | |
SolarWinds Holdings, Inc., Term Loan, 8.982%, (SOFR + 4.00%), 2/5/27 | 17,275 | 17,286,989 | |
Sophia, L.P., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 10/7/27 | 23,309 | 23,047,013 | |
SurveyMonkey, Inc., Term Loan, 8.847%, (SOFR + 3.75%), 10/10/25 | 11,375 | 11,346,963 | |
Turing Midco, LLC, Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 3/24/28 | 472 | 471,766 | |
Ultimate Software Group, Inc. (The), Term Loan, 8.271%, (SOFR + 3.25%), 5/4/26 | 45,801 | 44,695,165 | |
Veritas US, Inc., Term Loan, 10.025%, (1 mo. USD LIBOR + 5.00%), 9/1/25 | 7,639 | 5,893,545 | |
Vision Solutions, Inc., Term Loan, 9.255%, (3 mo. USD LIBOR + 4.00%), 4/24/28 | 28,476 | 25,394,727 | |
VS Buyer, LLC, Term Loan, 7.903%, (SOFR + 3.00%), 2/28/27 | 13,860 | 13,704,509 | |
$ 772,823,266 | |||
Specialty Retail — 2.0% | |||
Belron Finance US, LLC, Term Loan, 7.30%, (3 mo. USD LIBOR + 2.43%), 4/13/28 | 7,669 | $ 7,667,542 | |
Belron Luxembourg S.a.r.l., Term Loan, 5.045%, (3 mo. EURIBOR + 2.50%), 4/13/28 | EUR | 3,575 | 3,927,803 |
Boels Topholding B.V., Term Loan, 6.01%, (1 mo. EURIBOR + 3.25%), 2/6/27 | EUR | 7,750 | 8,450,770 |
David's Bridal, Inc.: | |||
Term Loan, 12.273%, (3 mo. USD LIBOR + 7.00%), 12/31/24(5)(9) | 4,866 | 0 | |
Term Loan, 15.273%, (3 mo. USD LIBOR + 10.00%), 10.273% cash, 5.00% PIK, 6/23/23(5)(9) | 4,014 | 0 | |
Etraveli Holding AB, Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 8/2/24 | EUR | 7,844 | 8,581,215 |
Great Outdoors Group, LLC, Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 29,960 | 29,769,719 | |
Harbor Freight Tools USA, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 10/19/27 | 17,879 | 17,409,721 | |
Hoya Midco, LLC, Term Loan, 8.295%, (SOFR + 3.25%), 2/3/29 | 2,653 | 2,629,821 | |
Les Schwab Tire Centers, Term Loan, 8.064%, (3 mo. USD LIBOR + 3.25%), 11/2/27 | 13,937 | 13,896,309 | |
LIDS Holdings, Inc., Term Loan, 10.393%, (SOFR + 5.50%), 12/14/26 | 5,421 | 5,150,039 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Specialty Retail (continued) | |||
Mattress Firm, Inc., Term Loan, 9.39%, (3 mo. USD LIBOR + 4.25%), 9/25/28 | 15,951 | $ 14,844,348 | |
PetSmart, Inc., Term Loan, 8.832%, (SOFR + 3.75%), 2/11/28 | 12,289 | 12,226,152 | |
$ 124,553,439 | |||
Technology Hardware, Storage & Peripherals — 0.1% | |||
NCR Corporation, Term Loan, 7.78%, (3 mo. USD LIBOR + 2.50%), 8/28/26 | 8,881 | $ 8,782,855 | |
$ 8,782,855 | |||
Trading Companies & Distributors — 3.0% | |||
American Builders & Contractors Supply Co., Inc., Term Loan, 7.082%, (SOFR + 2.00%), 1/15/27 | 13,552 | $ 13,517,981 | |
Avolon TLB Borrower 1 (US), LLC: | |||
Term Loan, 6.703%, (1 mo. USD LIBOR + 1.75%), 1/15/25 | 26,082 | 25,988,015 | |
Term Loan, 7.203%, (1 mo. USD LIBOR + 2.25%), 12/1/27 | 14,888 | 14,888,000 | |
DXP Enterprises, Inc., Term Loan, 9.955%, (3 mo. USD LIBOR + 5.25%), 12/23/27 | 7,909 | 7,869,747 | |
Electro Rent Corporation, Term Loan, 10.271%, (SOFR + 5.50%), 11/1/24 | 15,677 | 15,324,382 | |
Park River Holdings, Inc., Term Loan, 8.522%, (6 mo. USD LIBOR + 3.25%), 12/28/27 | 10,802 | 10,102,667 | |
Patagonia Bidco Limited, Term Loan, 8.678%, (SONIA + 5.25%), 11/1/28 | GBP | 20,400 | 22,849,606 |
PEARLS (Netherlands) Bidco B.V., Term Loan, 6.742%, (3 mo. EURIBOR + 3.50%), 2/26/29 | EUR | 6,000 | 6,449,423 |
Quimper AB, Term Loan, 5.977%, (3 mo. EURIBOR + 2.93%), 2/16/26 | EUR | 18,175 | 19,428,733 |
Spin Holdco, Inc., Term Loan, 8.986%, (3 mo. USD LIBOR + 4.00%), 3/4/28 | 43,729 | 36,498,249 | |
SRS Distribution, Inc.: | |||
Term Loan, 8.471%, (SOFR + 3.50%), 6/2/28 | 5,012 | 4,787,606 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | 4,278 | 4,092,908 | |
$ 181,797,317 | |||
Transportation Infrastructure — 0.0%(8) | |||
Brown Group Holding, LLC, Term Loan, 8.778%, (SOFR + 3.75%), 7/2/29 | 1,070 | $ 1,066,877 | |
$ 1,066,877 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Wireless Telecommunication Services — 0.2% | |||
Digicel International Finance Limited, Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 5/28/24 | 13,983 | $ 12,707,130 | |
$ 12,707,130 | |||
Total Senior Floating-Rate Loans (identified cost $5,241,387,088) | $4,833,289,333 |
Warrants — 0.0% |
Security | Shares | Value | |
Leisure Goods/Activities/Movies — 0.0% | |||
Cineworld Group PLC, Exp. 11/23/25(6)(7) | 1,791,400 | $ 0 | |
$ 0 | |||
Retailers (Except Food and Drug) — 0.0% | |||
David’s Bridal, LLC, Exp. 12/31/28(5)(6)(7) | 51,888 | $ 0 | |
$ 0 | |||
Total Warrants (identified cost $0) | $ 0 |
Short-Term Investments — 2.4% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(14) | 149,198,674 | $ 149,198,674 | |
Total Short-Term Investments (identified cost $149,198,674) | $ 149,198,674 | ||
Total Investments — 96.0% (identified cost $6,413,556,860) | $5,846,780,232 | ||
Less Unfunded Loan Commitments — (0.2)% | $ (9,362,296) | ||
Net Investments — 95.8% (identified cost $6,404,194,564) | $5,837,417,936 | ||
Other Assets, Less Liabilities — 4.2% | $ 251,414,628 | ||
Net Assets — 100.0% | $6,088,832,564 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $784,199,362 or 12.9% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(3) | When-issued, variable rate security whose interest rate will be determined after April 30, 2023. |
(4) | Affiliated company (see Note 7). |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(6) | Non-income producing security. |
(7) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(8) | Amount is less than 0.05%. |
(9) | 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. |
(10) | 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 London Interbank Offered Rate (“LIBOR”) or 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. |
(11) | This Senior Loan will settle after April 30, 2023, at which time the interest rate will be determined. |
(12) | The stated interest rate represents the weighted average interest rate at April 30, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(13) | Unfunded or partially unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At April 30, 2023, the total value of unfunded loan commitments is $8,021,271. See Note 1F for description. |
(14) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 10,000,000 | USD | 10,994,787 | Citibank, N.A. | 5/3/23 | $ 24,217 | $ — |
USD | 305,530,801 | EUR | 280,766,698 | Standard Chartered Bank | 5/3/23 | — | (3,846,149) |
EUR | 12,000,000 | USD | 12,877,468 | Bank of America, N.A. | 5/31/23 | 366,710 | — |
EUR | 12,000,000 | USD | 12,718,040 | HSBC Bank USA, N.A. | 5/31/23 | 526,137 | — |
GBP | 1,200,000 | USD | 1,422,597 | State Street Bank and Trust Company | 5/31/23 | 86,430 | — |
USD | 4,866,736 | EUR | 4,500,000 | Bank of America, N.A. | 5/31/23 | — | (99,830) |
USD | 59,427,780 | EUR | 56,023,363 | Citibank, N.A. | 5/31/23 | — | (2,404,166) |
USD | 59,431,309 | EUR | 56,023,363 | State Street Bank and Trust Company | 5/31/23 | — | (2,400,636) |
USD | 59,429,219 | EUR | 56,023,363 | State Street Bank and Trust Company | 5/31/23 | — | (2,402,726) |
USD | 59,427,354 | EUR | 56,023,363 | State Street Bank and Trust Company | 5/31/23 | — | (2,404,592) |
USD | 59,413,858 | EUR | 56,023,364 | State Street Bank and Trust Company | 5/31/23 | — | (2,418,088) |
USD | 84,616 | GBP | 70,642 | Bank of America, N.A. | 5/31/23 | — | (4,219) |
USD | 46,716,193 | GBP | 39,012,920 | State Street Bank and Trust Company | 5/31/23 | — | (2,343,432) |
USD | 299,434,924 | EUR | 270,766,698 | Standard Chartered Bank | 6/2/23 | 561,284 | — |
EUR | 13,000,000 | USD | 13,797,317 | Bank of America, N.A. | 6/30/23 | 574,728 | — |
EUR | 17,000,000 | USD | 18,738,021 | Standard Chartered Bank | 6/30/23 | 56,193 | — |
EUR | 23,000,000 | USD | 25,462,596 | Standard Chartered Bank | 6/30/23 | — | (35,131) |
USD | 23,758,418 | EUR | 21,555,690 | Bank of America, N.A. | 6/30/23 | — | (72,301) |
USD | 18,821,927 | EUR | 17,277,685 | Bank of America, N.A. | 6/30/23 | — | (279,279) |
USD | 45,732,456 | EUR | 42,000,000 | Goldman Sachs International | 6/30/23 | — | (700,307) |
USD | 45,747,282 | EUR | 42,000,000 | Standard Chartered Bank | 6/30/23 | — | (685,481) |
USD | 45,745,526 | EUR | 42,000,000 | Standard Chartered Bank | 6/30/23 | — | (687,236) |
USD | 45,738,588 | EUR | 42,000,000 | Standard Chartered Bank | 6/30/23 | — | (694,175) |
USD | 45,735,833 | EUR | 42,000,000 | Standard Chartered Bank | 6/30/23 | — | (696,930) |
$2,195,699 | $(22,174,678) |
Abbreviations: | |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
REITs | – Real Estate Investment Trusts |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Interbank Average |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $6,252,650,482) | $ 5,676,667,241 |
Affiliated investments, at value (identified cost $151,544,082) | 160,750,695 |
Cash | 37,896,723 |
Deposits for derivatives collateral — forward foreign currency exchange contracts | 22,210,000 |
Foreign currency, at value (identified cost $19,394,797) | 19,379,161 |
Interest receivable | 42,049,866 |
Dividends receivable from affiliated investments | 362,496 |
Receivable for investments sold | 188,196,596 |
Receivable for open forward foreign currency exchange contracts | 2,195,699 |
Prepaid upfront fees on notes payable | 982,710 |
Other receivables | 2,084,589 |
Prepaid expenses | 112,458 |
Other assets | 2,677,658 |
Total assets | $6,155,565,892 |
Liabilities | |
Payable for investments purchased | $ 36,445,705 |
Payable for when-issued securities | 3,465,000 |
Payable for open forward foreign currency exchange contracts | 22,174,678 |
Payable to affiliates: | |
Investment adviser fee | 2,578,050 |
Trustees' fees | 9,222 |
Accrued expenses | 2,060,673 |
Total liabilities | $ 66,733,328 |
Net Assets applicable to investors' interest in Portfolio | $6,088,832,564 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income | $ 1,895,676 |
Dividend income from affiliated investments | 2,533,621 |
Interest and other income | 297,813,191 |
Total investment income | $ 302,242,488 |
Expenses | |
Investment adviser fee | $ 17,850,462 |
Trustees’ fees and expenses | 54,431 |
Custodian fee | 679,913 |
Legal and accounting services | 523,250 |
Interest expense and fees | 1,339,752 |
Miscellaneous | 184,371 |
Total expenses | $ 20,632,179 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 100,048 |
Total expense reductions | $ 100,048 |
Net expenses | $ 20,532,131 |
Net investment income | $ 281,710,357 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (110,035,829) |
Foreign currency transactions | 3,464,692 |
Forward foreign currency exchange contracts | (66,645,266) |
Net realized loss | $(173,216,403) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 320,987,920 |
Investments - affiliated investments | 2,866,857 |
Foreign currency | 1,011,657 |
Forward foreign currency exchange contracts | (16,964,174) |
Net change in unrealized appreciation (depreciation) | $ 307,902,260 |
Net realized and unrealized gain | $ 134,685,857 |
Net increase in net assets from operations | $ 416,396,214 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 281,710,357 | $ 418,622,273 |
Net realized gain (loss) | (173,216,403) | 59,718,560 |
Net change in unrealized appreciation (depreciation) | 307,902,260 | (831,891,859) |
Net increase (decrease) in net assets from operations | $ 416,396,214 | $ (353,551,026) |
Capital transactions: | ||
Contributions | $ 101,543,748 | $ 2,094,290,768 |
Withdrawals | (2,530,237,916) | (2,626,390,995) |
Net decrease in net assets from capital transactions | $(2,428,694,168) | $ (532,100,227) |
Net decrease in net assets | $(2,012,297,954) | $ (885,651,253) |
Net Assets | ||
At beginning of period | $ 8,101,130,518 | $ 8,986,781,771 |
At end of period | $ 6,088,832,564 | $ 8,101,130,518 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.57% (1)(2) | 0.54% (1) | 0.56% | 0.59% | 0.55% | 0.54% |
Net investment income | 7.86% (2) | 4.39% | 3.51% | 4.17% | 5.09% | 4.38% |
Portfolio Turnover | 5% (3) | 27% | 26% | 28% | 16% | 30% |
Total Return | 5.92% (3) | (3.32)% | 7.80% | 1.18% | 1.64% | 5.05% |
Net assets, end of period (000’s omitted) | $6,088,833 | $8,101,131 | $8,986,782 | $5,649,501 | $7,966,641 | $11,502,389 |
(1) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(2) | Annualized. |
(3) | Not annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.5750% |
$1 billion but less than $2 billion | 0.5250% |
$2 billion but less than $5 billion | 0.4900% |
$5 billion but less than $10 billion | 0.4600% |
$10 billion but less than $15 billion | 0.4350% |
$15 billion but less than $20 billion | 0.4150% |
$20 billion but less than $25 billion | 0.4000% |
$25 billion and over | 0.3900% |
Aggregate cost | $6,405,651,451 |
Gross unrealized appreciation | $ 35,567,761 |
Gross unrealized depreciation | (623,780,255) |
Net unrealized depreciation | $ (588,212,494) |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Forward foreign currency exchange contracts | $2,195,699 (1) | $(22,174,678) (2) |
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts. |
(2) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Bank of America, N.A. | $ 941,438 | $ (455,629) | $ (485,809) | $ — | $ — |
Citibank, N.A. | 24,217 | (24,217) | — | — | — |
HSBC Bank USA, N.A. | 526,137 | — | (526,137) | — | — |
Standard Chartered Bank | 617,477 | (617,477) | — | — | — |
State Street Bank and Trust Company | 86,430 | (86,430) | — | — | — |
$2,195,699 | $(1,183,753) | $(1,011,946) | $ — | $ — |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Bank of America, N.A. | $ (455,629) | $ 455,629 | $ — | $ — | $ — |
Citibank, N.A. | (2,404,166) | 24,217 | — | 2,379,949 | — |
Goldman Sachs International | (700,307) | — | — | 700,307 | — |
Standard Chartered Bank | (6,645,102) | 617,477 | — | 6,027,625 | — |
State Street Bank and Trust Company | (11,969,474) | 86,430 | — | 11,883,044 | — |
$(22,174,678) | $1,183,753 | $ — | $20,990,925 | $ — |
(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. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Forward foreign currency exchange contracts | $(66,645,266) | $(16,964,174) |
(1) | Statement of Operations location: Net realized gain (loss): Forward foreign currency exchange contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Forward foreign currency exchange contracts. |
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 |
Common Stocks* | ||||||||
IAP Global Services, LLC(1)(2)(3) | $ 8,685,164 | $ — | $ — | $ — | $ 2,866,857 | $ 11,552,021 | $ — | 2,577 |
Short-Term Investments | ||||||||
Liquidity Fund | 156,771,808 | 1,337,378,073 | (1,344,951,207) | — | — | 149,198,674 | 2,533,621 | 149,198,674 |
Total | $ — | $2,866,857 | $160,750,695 | $2,533,621 |
* | The related industry is the same as the presentation in the Portfolio of Investments. |
(1) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(2) | Non-income producing security. |
(3) | A portion of the shares were acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
• | 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 |
Asset-Backed Securities | $ — | $ 281,462,489 | $ — | $ 281,462,489 |
Common Stocks | 6,670,607 | 8,632,064 | 16,757,122 | 32,059,793 |
Corporate Bonds | — | 523,341,783 | — | 523,341,783 |
Exchange-Traded Funds | 17,687,520 | — | — | 17,687,520 |
Preferred Stocks | — | 9,740,640 | 0 | 9,740,640 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 4,793,149,436 | 30,777,601 | 4,823,927,037 |
Warrants | — | 0 | 0 | 0 |
Short-Term Investments | 149,198,674 | — | — | 149,198,674 |
Total Investments | $ 173,556,801 | $ 5,616,326,412 | $ 47,534,723 | $ 5,837,417,936 |
Forward Foreign Currency Exchange Contracts | $ — | $ 2,195,699 | $ — | $ 2,195,699 |
Total | $ 173,556,801 | $ 5,618,522,111 | $ 47,534,723 | $ 5,839,613,635 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (22,174,678) | $ — | $ (22,174,678) |
Total | $ — | $ (22,174,678) | $ — | $ (22,174,678) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Officers of Eaton Vance Floating-Rate & High Income Fund | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer | |
Officers of Eaton Vance Floating Rate Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Floating-Rate & High Income Fund and Eaton Vance Floating Rate Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Floating-Rate & High Income Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 08/24/1984 | 08/24/1984 | 1.52% | (3.15)% | 0.28% | 0.45% |
Class A with 3.25% Maximum Sales Charge | — | — | (1.87) | (6.35) | (0.39) | 0.13 |
Class C at NAV | 11/01/1993 | 08/24/1984 | 1.14 | (3.88) | (0.47) | (0.15) |
Class C with 1% Maximum Deferred Sales Charge | — | — | 0.15 | (4.81) | (0.47) | (0.15) |
Class I at NAV | 04/03/2009 | 08/24/1984 | 1.65 | (2.91) | 0.56 | 0.71 |
Class R at NAV | 08/12/2005 | 08/24/1984 | 1.39 | (3.42) | 0.05 | 0.21 |
ICE BofA 1-3 Year U.S. Treasury Index | — | — | 2.67% | 0.93% | 1.19% | 0.83% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R |
Gross | 1.10% | 1.85% | 0.85% | 1.35% |
Net | 1.05 | 1.80 | 0.80 | 1.30 |
Asset Allocation (% of total investments)1 |
1 | Other represents any investment type less than 1% of total investments. |
1 | ICE BofA 1-3 Year U.S. Treasury Index is an unmanaged index of short-term U.S. Treasury securities. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Bloomberg U.S. Intermediate Government Bond Index is an unmanaged index of U.S. government bonds with maturities from one year up to (but not including) 10 years. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 2/29/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,015.20 | $ 6.60** | 1.32% |
Class C | $1,000.00 | $1,011.40 | $10.32** | 2.07% |
Class I | $1,000.00 | $1,016.50 | $ 5.35** | 1.07% |
Class R | $1,000.00 | $1,013.90 | $ 7.84** | 1.57% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.25 | $ 6.61** | 1.32% |
Class C | $1,000.00 | $1,014.53 | $10.34** | 2.07% |
Class I | $1,000.00 | $1,019.49 | $ 5.36** | 1.07% |
Class R | $1,000.00 | $1,017.01 | $ 7.85** | 1.57% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. |
** | Absent an allocation of certain expenses to an affiliate, expenses would be higher. |
Asset-Backed Securities — 2.4% |
Security | Principal Amount (000's omitted) | Value | |
ACHV ABS Trust, Series 2023-1PL, Class B, 6.80%, 3/18/30(1) | $ | 1,000 | $ 998,303 |
KKR SFR Warehouse Participation, 8.55%, (30-day average SOFR + 3.50%), 12/13/23(2) | 3,024 | 3,002,203 | |
NewRez Warehouse Securitization Trust, Series 2021-1, Class E, 8.27%, (1 mo. USD LIBOR + 3.25%), 5/25/55(1)(2) | 3,813 | 3,761,830 | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FNT1, Class A, 2.981%, 3/25/26(1) | 297 | 269,620 | |
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 2,834 | 2,564,742 | |
Total Asset-Backed Securities (identified cost $10,969,422) | $ 10,596,698 |
Collateralized Mortgage Obligations — 37.3% |
Security | Principal Amount (000's omitted) | Value | |
Angel Oak Mortgage Trust I, LLC, Series 2019-1, Class B1, 5.40%, 11/25/48(1)(3) | $ | 1,000 | $ 982,121 |
Brean Asset-Backed Securities Trust, Series 2023-RM6, Class A1, 5.25% to 1/25/28, 1/25/63(1)(4) | 3,944 | 3,750,686 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 967 | 867,168 | |
CFMT, LLC, Series 2023-HB11, Class M2, 4.00%, 2/25/37(1)(3) | 2,000 | 1,749,419 | |
CHNGE Mortgage Trust, Series 2022-4, Class A1, 6.00% to 9/25/24, 10/25/57(1)(4) | 3,686 | 3,657,954 | |
Deephaven Residential Mortgage Trust: | |||
Series 2020-2, Class B2, 5.822%, 5/25/65(1)(3) | 500 | 485,117 | |
Series 2020-2, Class M1, 4.112%, 5/25/65(1)(3) | 1,000 | 949,847 | |
Ellington Financial Mortgage Trust, Series 2022-4, Class A3, 5.90% to 12/25/25, 9/25/67(1)(4) | 671 | 660,853 | |
FARM Mortgage Trust, Series 2023-1, Class B, 3.031%, 3/25/52(1)(3) | 1,977 | 1,237,469 | |
Federal Home Loan Mortgage Corp.: | |||
Series 30, Class I, 7.50%, 4/25/24 | 1 | 1,264 | |
Series 1822, Class Z, 6.90%, 3/15/26 | 58 | 59,084 | |
Series 1829, Class ZB, 6.50%, 3/15/26 | 4 | 4,245 | |
Series 1896, Class Z, 6.00%, 9/15/26 | 16 | 16,556 | |
Series 2075, Class PH, 6.50%, 8/15/28 | 21 | 21,951 | |
Series 2091, Class ZC, 6.00%, 11/15/28 | 66 | 67,046 | |
Series 2105, Class Z, 6.00%, 12/15/28 | 16 | 16,436 | |
Series 2115, Class K, 6.00%, 1/15/29 | 128 | 129,934 | |
Series 2142, Class Z, 6.50%, 4/15/29 | 40 | 40,386 | |
Series 4107, Class SA, 0.075%, (2.57% - 1 mo. USD LIBOR x 0.57), 9/15/42(5) | 419 | 315,380 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: (continued) | |||
Series 4107, Class SB, 0.075%, (2.57% - 1 mo. USD LIBOR x 0.57), 9/15/42(5) | $ | 208 | $ 156,784 |
Series 4107, Class SC, 0.075%, (2.57% - 1 mo. USD LIBOR x 0.57), 9/15/42(5) | 500 | 375,968 | |
Series 4107, Class SD, 0.075%, (2.57% - 1 mo. USD LIBOR x 0.57), 9/15/42(5) | 373 | 217,999 | |
Series 4204, Class AF, 5.00%, (1 mo. USD LIBOR + 1.00%), 5/15/43(2) | 540 | 489,187 | |
Series 4212, Class NS, 0.049%, (5.40% - 1 mo. USD LIBOR x 1.20), 6/15/43(5) | 287 | 295,441 | |
Series 4259, Class UE, 2.50%, 5/15/43 | 280 | 268,827 | |
Series 4623, Class SK, 0.109%, (3.57% - 1 mo. USD LIBOR x 0.71), 10/15/46(5) | 259 | 175,366 | |
Series 4938, Class KZ, 2.50%, 12/25/49 | 642 | 426,442 | |
Series 5009, Class ZN, 3.50%, 7/25/50 | 849 | 772,644 | |
Series 5021, Class CZ, 2.00%, 10/25/50 | 245 | 119,807 | |
Series 5021, Class NZ, 2.00%, 10/25/50 | 816 | 444,595 | |
Series 5028, Class AZ, 2.00%, 10/25/50 | 217 | 106,018 | |
Series 5028, Class TZ, 2.00%, 10/25/50 | 1,074 | 624,910 | |
Series 5028, Class ZT, 2.00%, 10/25/50 | 755 | 396,377 | |
Series 5031, Class Z, 2.50%, 10/25/50 | 1 | 301 | |
Series 5035, Class AZ, 2.00%, 11/25/50 | 1,095 | 587,834 | |
Series 5035, Class ZK, 2.50%, 11/25/50 | 1,216 | 783,429 | |
Series 5035, Class ZT, 2.00%, 10/25/50 | 765 | 402,231 | |
Series 5039, Class ZJ, 2.00%, 11/25/50 | 99 | 48,481 | |
Series 5040, Class TZ, 2.50%, 11/25/50 | 180 | 107,738 | |
Series 5042, Class PZ, 2.00%, 11/25/50 | 2,053 | 1,052,427 | |
Series 5058, Class ZH, 3.00%, 5/25/50 | 153 | 101,837 | |
Series 5071, Class CS, 0.27%, (3.30% - 30-day average SOFR), 2/25/51(5) | 1,266 | 825,217 | |
Series 5072, Class ZU, 2.50%, 2/25/51 | 335 | 200,203 | |
Series 5083, Class ZW, 2.50%, 3/25/51 | 491 | 291,122 | |
Series 5090, Class PZ, 2.50%, 3/25/51 | 239 | 137,186 | |
Series 5093, Class Z, 3.00%, 1/25/51 | 0 (6) | 43 | |
Series 5101, Class EZ, 2.00%, 3/25/51 | 542 | 321,514 | |
Series 5104, Class WZ, 3.00%, 4/25/51 | 127 | 90,654 | |
Series 5114, Class ZH, 3.00%, 5/25/51 | 56 | 41,939 | |
Series 5123, Class JZ, 2.00%, 7/25/51 | 109 | 64,601 | |
Series 5129, Class HZ, 1.25%, 4/25/50 | 166 | 126,206 | |
Series 5129, Class TZ, 2.50%, 8/25/51 | 441 | 248,170 | |
Series 5131, Class QZ, 3.00%, 7/25/51 | 269 | 185,103 | |
Series 5132, Class LZ, 2.50%, 8/25/51 | 990 | 607,068 | |
Series 5135, Class MZ, 2.50%, 8/25/51 | 1,918 | 1,224,495 | |
Series 5136, Class ZJ, 2.50%, 8/25/51 | 2,056 | 1,289,994 | |
Series 5139, Class DZ, 2.50%, 9/25/51 | 1,351 | 846,745 | |
Series 5141, Class ZJ, 2.50%, 9/25/51 | 1,770 | 1,110,675 | |
Series 5144, Class Z, 2.50%, 9/25/51 | 4,112 | 2,660,788 | |
Series 5148, Class AZ, 2.50%, 10/25/51 | 3,070 | 1,994,153 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: (continued) | |||
Series 5150, Class ZJ, 2.50%, 10/25/51 | $ | 1,681 | $ 1,086,217 |
Series 5150, Class ZN, 2.50%, 10/25/51 | 185 | 111,614 | |
Series 5159, Class ZP, 3.00%, 11/25/51 | 424 | 296,435 | |
Series 5159, Class ZT, 3.00%, 11/25/51 | 774 | 555,842 | |
Series 5163, Class Z, 3.00%, 11/25/51 | 532 | 360,206 | |
Series 5166, Class ZN, 3.00%, 9/25/50 | 966 | 668,608 | |
Series 5168, Class MZ, 3.00%, 10/25/51 | 1,011 | 716,464 | |
Series 5300, Class EY, 6.00%, 12/25/52 | 2,000 | 2,075,076 | |
Interest Only:(7) | |||
Series 362, Class C12, 4.00%, 12/15/47 | 2,220 | 440,729 | |
Series 4749, Class IL, 4.00%, 12/15/47 | 807 | 154,034 | |
Series 4756, Class KI, 4.00%, 1/15/48 | 886 | 165,043 | |
Series 4768, Class IO, 4.00%, 3/15/48 | 633 | 120,589 | |
Series 4772, Class PI, 4.00%, 1/15/48 | 939 | 178,777 | |
Series 4791, Class JI, 4.00%, 5/15/48 | 1,288 | 257,209 | |
Series 4966, Class SY, 1.03%, (6.05% - 1 mo. USD LIBOR), 4/25/50(5) | 2,249 | 306,150 | |
Series 5008, Class IE, 2.00%, 9/25/50 | 8,706 | 1,062,013 | |
Series 5010, Class I, 2.00%, 9/25/50 | 3,467 | 425,216 | |
Series 5010, Class IN, 2.00%, 9/25/50 | 3,827 | 470,115 | |
Series 5010, Class NI, 2.00%, 9/25/50 | 2,855 | 356,030 | |
Series 5016, Class UI, 2.00%, 9/25/50 | 2,820 | 343,972 | |
Series 5017, Class DI, 2.00%, 9/25/50 | 4,934 | 601,951 | |
Series 5022, Class AI, 2.00%, 10/25/50 | 3,712 | 457,655 | |
Series 5024, Class CI, 2.00%, 10/25/50 | 8,475 | 1,047,527 | |
Series 5025, Class GI, 2.00%, 10/25/50 | 1,184 | 145,810 | |
Series 5028, Class TI, 2.00%, 10/25/50 | 1,538 | 151,518 | |
Series 5038, Class DI, 2.00%, 11/25/50 | 7,709 | 950,806 | |
Series 5051, Class S, 0.00%, (3.60% - 30-day average SOFR, Floor 0.00%), 12/25/50(5) | 4,434 | 207,728 | |
Series 5070, Class CI, 2.00%, 2/25/51 | 8,323 | 1,103,527 | |
Principal Only:(8) | |||
Series 246, Class PO, 0.00%, 5/15/37 | 1,336 | 1,087,817 | |
Series 3435, Class PO, 0.00%, 4/15/38 | 1,247 | 1,005,481 | |
Series 4239, Class OU, 0.00%, 7/15/43 | 319 | 179,682 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2019-HQA3, Class B2, 12.52%, (1 mo. USD LIBOR + 7.50%), 9/25/49(1)(2) | 1,000 | 1,031,746 | |
Federal National Mortgage Association: | |||
Series 1993-149, Class M, 7.00%, 8/25/23 | 2 | 1,556 | |
Series 1993-178, Class PK, 6.50%, 9/25/23 | 4 | 3,755 | |
Series 1994-40, Class Z, 6.50%, 3/25/24 | 13 | 12,940 | |
Series 1994-42, Class K, 6.50%, 4/25/24 | 51 | 50,673 | |
Series 1994-82, Class Z, 8.00%, 5/25/24 | 18 | 18,173 | |
Series 2000-49, Class A, 8.00%, 3/18/27 | 46 | 47,098 | |
Series 2001-81, Class HE, 6.50%, 1/25/32 | 188 | 197,420 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 2002-1, Class G, 7.00%, 7/25/23 | $ | 1 | $ 895 |
Series 2012-133, Class WS, 0.151%, (3.79% - 1 mo. USD LIBOR x 0.83), 12/25/42(5) | 305 | 280,602 | |
Series 2012-134, Class ZT, 2.00%, 12/25/42 | 1,329 | 1,112,737 | |
Series 2013-6, Class TY, 1.50%, 2/25/43 | 795 | 606,566 | |
Series 2013-58, Class SC, 0.622%, (6.00% - 1 mo. USD LIBOR x 1.50), 6/25/43(5) | 323 | 277,870 | |
Series 2020-45, Class MA, 0.00%, (3.20% - 1 mo. USD LIBOR x 0.80, Floor 0.00%), 6/25/43(5) | 199 | 171,464 | |
Series 2020-63, Class ZN, 3.00%, 9/25/50 | 93 | 61,565 | |
Series 2021-3, Class ZH, 2.50%, 2/25/51 | 187 | 108,090 | |
Series 2021-14, Class GZ, 2.50%, 3/25/51 | 131 | 73,387 | |
Series 2021-42, Class ZD, 3.00%, 11/25/50 | 685 | 484,692 | |
Series 2021-52, Class JZ, 2.50%, 8/25/51 | 1,610 | 1,028,072 | |
Series 2021-56, Class HZ, 2.50%, 9/25/51 | 2,692 | 1,773,375 | |
Series 2021-56, Class LZ, 2.50%, 9/25/51 | 3,105 | 2,074,505 | |
Series 2021-66, Class JZ, 2.50%, 10/25/51 | 1,359 | 867,775 | |
Series 2021-77, Class WZ, 3.00%, 8/25/50 | 38 | 25,010 | |
Series 2021-77, Class Z, 3.00%, 5/25/51 | 413 | 281,781 | |
Series 2021-79, Class Z, 3.00%, 11/25/51 | 725 | 516,026 | |
Series 2021-95, Class ZC, 3.00%, 8/25/51 | 525 | 372,117 | |
Series 2023-12, Class LW, 6.00%, 4/25/53 | 2,000 | 2,077,081 | |
Series 2023-13, Class LY, 6.00%, 4/25/53 | 2,000 | 2,101,843 | |
Series 2023-14, Class EL, 6.00%, 4/25/53 | 7,000 | 7,291,717 | |
Interest Only:(7) | |||
Series 2017-66, Class TI, 0.05%, (6.05% - 1 mo. USD LIBOR x 1.00), 10/25/42(5) | 12,774 | 40,469 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 2,520 | 453,610 | |
Series 2019-1, Class SA, 0.38%, (5.40% - 1 mo. USD LIBOR), 2/25/49(5) | 1,392 | 70,387 | |
Series 2020-23, Class SP, 1.03%, (6.05% - 1 mo. USD LIBOR), 2/25/50(5) | 2,228 | 304,164 | |
Series 2020-45, Class HI, 2.50%, 7/25/50 | 3,459 | 502,618 | |
Series 2020-45, Class IJ, 2.50%, 7/25/50 | 5,458 | 765,033 | |
Series 2020-72, Class DI, 2.00%, 10/25/50 | 3,718 | 451,991 | |
Series 2020-72, Class IA, 2.00%, 10/25/50 | 2,800 | 343,743 | |
Series 2020-73, Class NI, 2.00%, 10/25/50 | 4,484 | 553,776 | |
Series 2021-3, Class KI, 2.50%, 2/25/51 | 7,126 | 1,011,448 | |
Series 2021-3, Class LI, 2.50%, 2/25/51 | 7,084 | 1,009,177 | |
Series 2021-4, Class AI, 2.00%, 12/25/49 | 9,613 | 1,151,005 | |
Series 2021-10, Class EI, 2.00%, 3/25/51 | 3,847 | 518,908 | |
Principal Only:(8) | |||
Series 379, Class 1, 0.00%, 5/25/37 | 842 | 674,503 | |
Series 2014-9, Class DO, 0.00%, 2/25/43 | 473 | 355,448 | |
Series 2014-17, Class PO, 0.00%, 4/25/44 | 1,164 | 856,018 | |
Federal National Mortgage Association Connecticut Avenue Securities, Series 2019-R04, Class 2B1, 10.27%, (1 mo. USD LIBOR + 5.25%), 6/25/39(1)(2) | 2,891 | 3,015,495 |
Security | Principal Amount (000's omitted) | Value | |
Finance of America HECM Buyout, Series 2022-HB2, Class M5, 6.00%, 8/1/32(1)(3) | $ | 1,000 | $ 617,708 |
FREED Mortgage, Series 2022-HE1, Class A, 7.00%, 10/25/37(1)(3) | 1,712 | 1,707,295 | |
Government National Mortgage Association: | |||
Series 2016-168, Class JS, 0.259%, (4.46% - 1 mo. USD LIBOR x 1.12), 11/20/46(5) | 32 | 38,109 | |
Series 2017-137, Class AF, 5.00%, (1 mo. USD LIBOR + 0.50%), 9/20/47(2) | 991 | 970,429 | |
Series 2020-84, Class BZ, 2.50%, 6/20/50 | 753 | 452,543 | |
Series 2021-1, Class ZD, 3.00%, 1/20/51 | 133 | 112,629 | |
Series 2021-24, Class EZ, 2.50%, 1/20/51 | 386 | 233,366 | |
Series 2021-24, Class KZ, 2.50%, 2/20/51 | 389 | 260,451 | |
Series 2021-25, Class JZ, 2.50%, 2/20/51 | 220 | 124,255 | |
Series 2021-49, Class VZ, 2.50%, 3/20/51 | 2 | 1,285 | |
Series 2021-77, Class ZG, 3.00%, 7/20/50 | 47 | 30,806 | |
Series 2021-97, Class MZ, 3.00%, 8/20/50 | 274 | 193,404 | |
Series 2021-97, Class ZC, 3.00%, 8/20/50 | 585 | 417,170 | |
Series 2021-105, Class MZ, 3.00%, 6/20/51 | 456 | 319,874 | |
Series 2021-114, Class JZ, 3.00%, 6/20/51 | 180 | 122,390 | |
Series 2021-118, Class EZ, 2.50%, 7/20/51 | 1,153 | 756,400 | |
Series 2021-118, Class JZ, 2.50%, 7/20/51 | 2,893 | 1,855,671 | |
Series 2021-121, Class ZE, 2.50%, 7/20/51 | 36 | 22,201 | |
Series 2021-122, Class ZL, 2.50%, 7/20/51 | 1,387 | 885,520 | |
Series 2021-131, Class ZN, 3.00%, 7/20/51 | 297 | 213,253 | |
Series 2021-136, Class WZ, 3.00%, 8/20/51 | 756 | 532,262 | |
Series 2021-136, Class Z, 2.50%, 8/20/51 | 1,890 | 1,218,488 | |
Series 2021-137, Class GZ, 2.50%, 8/20/51 | 2,056 | 1,635,690 | |
Series 2021-138, Class Z, 2.50%, 8/20/51 | 1,223 | 822,708 | |
Series 2021-139, Class UZ, 3.00%, 8/20/51 | 775 | 544,515 | |
Series 2021-139, Class ZJ, 2.50%, 8/20/51 | 1,684 | 1,364,435 | |
Series 2021-154, Class ZC, 2.50%, 9/20/51 | 875 | 566,745 | |
Series 2021-154, Class ZL, 3.00%, 9/20/51 | 469 | 313,033 | |
Series 2021-156, Class GZ, 3.00%, 9/20/51 | 1,649 | 1,268,899 | |
Series 2021-159, Class ZJ, 2.50%, 9/20/51 | 1,285 | 849,245 | |
Series 2021-159, Class ZP, 2.00%, 9/20/51 | 1,149 | 845,957 | |
Series 2021-160, Class NZ, 3.00%, 9/20/51 | 598 | 402,882 | |
Series 2021-175, Class DZ, 3.00%, 10/20/51 | 452 | 304,043 | |
Series 2021-177, Class JZ, 3.00%, 10/20/51 | 489 | 357,558 | |
Series 2021-214, Class LZ, 3.00%, 12/20/51 | 1,041 | 805,987 | |
Series 2022-173, Class S, 5.169%, (22.73% - 30-day average SOFR x 3.667), 10/20/52(5) | 1,723 | 1,830,003 | |
Series 2022-189, Class US, 5.169%, (22.73% - 30-day average SOFR x 3.667), 11/20/52(5) | 1,976 | 2,143,546 | |
Series 2022-195, Class AS, 5.401%, (23.13% - 30-day average SOFR x 3.70), 11/20/52(5) | 986 | 1,138,432 | |
Series 2022-197, Class SW, 4.824%, (16.32% - 30-day average SOFR x 2.40), 11/20/52(5) | 1,966 | 2,021,618 | |
Series 2023-53, Class AL, 5.50%, 4/20/53 | 4,000 | 4,065,986 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
Series 2023-53, Class SE, 5.606%, (22.55% - 30-day average SOFR x 3.667), 4/20/53(5) | $ | 3,000 | $ 3,100,812 |
Series 2023-63, Class S, (22.55% - 30-day average SOFR x 3.667), 5/20/53(9) | 2,000 | 2,077,415 | |
Series 2023-65, Class SB, (22.55% - 30-day average SOFR x 3.667), 5/20/53(9) | 1,900 | 1,994,215 | |
Interest Only:(7) | |||
Series 2013-66, Class IE, 0.05%, (6.75% - 1 mo. USD LIBOR x 1.00), 7/20/42(5) | 6,969 | 16,056 | |
Series 2014-94, Class IC, 0.10%, (6.40% - 1 mo. USD LIBOR x 1.00), 9/20/35(5) | 10,241 | 41,925 | |
Series 2014-100, Class VI, 0.15%, (6.60% - 1 mo. USD LIBOR x 1.00), 5/20/40(5) | 4,139 | 19,478 | |
Series 2014-139, Class BI, 0.25%, (6.65% - 1 mo. USD LIBOR x 1.00), 11/20/37(5) | 4,443 | 31,365 | |
Series 2018-127, Class SG, 1.297%, (6.25% - 1 mo. USD LIBOR), 9/20/48(5) | 3,232 | 330,809 | |
Series 2019-27, Class SA, 1.097%, (6.05% - 1 mo. USD LIBOR), 2/20/49(5) | 2,327 | 266,952 | |
Series 2019-38, Class SQ, 1.097%, (6.05% - 1 mo. USD LIBOR), 3/20/49(5) | 2,741 | 302,149 | |
Series 2019-43, Class BS, 1.097%, (6.05% - 1 mo. USD LIBOR), 4/20/49(5) | 3,741 | 435,488 | |
Series 2020-32, Class KI, 3.50%, 3/20/50 | 3,683 | 565,153 | |
Series 2020-65, Class MI, 2.50%, 12/20/49 | 2,975 | 355,416 | |
Series 2020-97, Class MI, 2.50%, 3/20/50 | 1,886 | 239,290 | |
Series 2020-146, Class IQ, 2.00%, 10/20/50 | 10,898 | 1,248,928 | |
Series 2020-146, Class QI, 2.00%, 10/20/50 | 5,776 | 645,735 | |
Series 2020-149, Class NI, 2.50%, 10/20/50 | 11,347 | 1,530,985 | |
Series 2020-165, Class UI, 2.00%, 11/20/50 | 4,670 | 552,610 | |
Series 2020-167, Class KI, 2.00%, 11/20/50 | 7,314 | 838,948 | |
Series 2020-167, Class YI, 2.00%, 11/20/50 | 5,930 | 703,215 | |
Series 2020-173, Class DI, 2.00%, 11/20/50 | 8,826 | 1,096,169 | |
Series 2020-181, Class TI, 2.00%, 12/20/50 | 15,161 | 1,802,205 | |
Series 2021-23, Class TI, 2.50%, 2/20/51 | 7,343 | 968,518 | |
Series 2021-56, Class SD, 0.00%, (2.30% - 30-day average SOFR, Floor 0.00%), 9/20/50(5) | 4,641 | 75,330 | |
Series 2021-114, Class MI, 3.00%, 6/20/51 | 5,317 | 788,009 | |
Series 2021-122, Class NI, 3.00%, 7/20/51 | 3,654 | 545,169 | |
Series 2021-125, Class SA, 0.00%, (3.75% - 1 mo. USD LIBOR, Floor 0.00%), 7/20/51(5) | 4,240 | 169,170 | |
Series 2021-131, Class QI, 3.00%, 7/20/51 | 7,117 | 845,983 | |
Series 2021-140, Class YS, 0.00%, (1.70% - 1 mo. USD LIBOR, Floor 0.00%), 8/20/51(5) | 3,497 | 31,602 | |
Series 2021-175, Class AS, 0.00%, (1.80% - 1 mo. USD LIBOR, Floor 0.00%), 10/20/51(5) | 18,104 | 174,247 | |
Series 2021-175, Class SB, 0.00%, (1.80% - 1 mo. USD LIBOR, Floor 0.00%), 10/20/51(5) | 9,068 | 88,591 | |
Series 2021-193, Class IU, 3.00%, 11/20/49 | 14,948 | 1,902,809 | |
Series 2021-193, Class YS, 0.00%, (2.45% - 30-day average SOFR, Floor 0.00%), 11/20/51(5) | 8,825 | 135,193 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2021-196, Class GI, 3.00%, 11/20/51 | $ | 6,827 | $ 978,743 |
Series 2022-119, Class CS, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 48,272 | 541,063 | |
Series 2022-126, Class AS, 0.00%, (3.69% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 14,395 | 298,654 | |
Series 2022-135, Class SA, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 6/20/52(5) | 19,393 | 239,306 | |
Series 2023-13, Class SA, 0.61%, (5.40% - 30-day average SOFR), 1/20/53(5) | 7,933 | 222,280 | |
Series 2023-19, Class SD, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(5) | 4,973 | 277,229 | |
Series 2023-20, Class HS, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(5) | 5,258 | 304,000 | |
Series 2023-22, Class ES, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(5) | 7,946 | 459,378 | |
Series 2023-22, Class SA, 0.91%, (5.70% - 30-day average SOFR), 2/20/53(5) | 4,968 | 162,413 | |
Series 2023-24, Class SB, 0.36%, (5.15% - 30-day average SOFR), 2/20/53(5) | 15,892 | 515,628 | |
Series 2023-24, Class SG, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(5) | 7,946 | 459,378 | |
Series 2023-32, Class SA, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(5) | 14,898 | 861,333 | |
Series 2023-38, Class LS, 1.51%, (6.30% - 30-day average SOFR), 3/20/53(5) | 4,988 | 283,229 | |
Series 2023-47, Class HS, 1.51%, (6.30% - 30-day average SOFR), 3/20/53(5) | 1,646 | 93,465 | |
Series 2023-47, Class SC, 1.46%, (6.25% - 30-day average SOFR), 3/20/53(5) | 2,492 | 135,549 | |
MFRA Trust, Series 2023-NQM1, Class A2, 5.75% to 1/25/26, 11/25/67(1)(4) | 611 | 604,044 | |
PNMAC GMSR Issuer Trust: | |||
Series 2018-GT1, Class A, 8.87%, (1 mo. USD LIBOR + 3.85%), 2/25/25(1)(2) | 4,000 | 4,002,277 | |
Series 2018-GT2, Class A, 7.67%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(2) | 430 | 424,514 | |
Series 2022-GT1, Class A, 9.065%, (30-day average SOFR + 4.25%), 5/25/27(1)(2) | 500 | 495,601 | |
Radnor Re, Ltd., Series 2022-1, Class M1A, 8.565%, (30-day average SOFR + 3.75%), 9/25/32(1)(2) | 3,000 | 2,996,238 | |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(3) | 9,183 | 8,332,501 | |
Total Collateralized Mortgage Obligations (identified cost $197,153,678) | $166,325,153 |
Commercial Mortgage-Backed Securities — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
CSMC Trust, Series 2022-NWPT, Class A, 8.033%, (SOFR + 3.143%), 9/9/24(1)(2) | $ | 1,520 | $ 1,522,389 |
Total Commercial Mortgage-Backed Securities (identified cost $1,517,373) | $ 1,522,389 |
U.S. Government Agency Commercial Mortgage-Backed Securities — 0.6% |
Security | Principal Amount (000's omitted) | Value | |
FRESB Mortgage Trust: Interest Only:(7) Series 2021-SB91, Class X1, 0.681%, 8/25/41(3) | $ | 4,813 | $ 164,498 |
Government National Mortgage Association: | |||
Interest Only:(7) | |||
Series 2021-101, Class IO, 0.679%, 4/16/63(3) | 9,145 | 516,661 | |
Series 2021-132, Class IO, 0.727%, 4/16/63(3) | 8,881 | 522,981 | |
Series 2021-144, Class IO, 0.825%, 4/16/63(3) | 8,681 | 563,072 | |
Series 2021-186, Class IO, 0.765%, 5/16/63(3) | 9,620 | 586,374 | |
Series 2022-3, Class IO, 0.64%, 2/16/61(3) | 9,771 | 472,488 | |
Total U.S. Government Agency Commercial Mortgage-Backed Securities (identified cost $3,506,420) | $ 2,826,074 |
U.S. Government Agency Mortgage-Backed Securities — 75.1% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
3.609%, (COF + 1.25%), with maturity at 2035(10) | $ | 562 | $ 550,763 |
3.711%, (COF + 1.25%), with maturity at 2034(10) | 133 | 129,614 | |
4.426%, (1 yr. CMT + 2.25%), with maturity at 2038(10) | 389 | 395,850 | |
4.48%, (1 yr. CMT + 2.24%), with maturity at 2036(10) | 451 | 458,487 | |
4.50%, with maturity at 2035 | 683 | 679,416 | |
5.00%, with various maturities to 2052 | 17,501 | 17,432,876 | |
5.50%, with various maturities to 2053 | 22,201 | 22,428,947 | |
6.00%, with various maturities to 2053 | 3,168 | 3,242,477 | |
6.50%, with various maturities to 2053 | 1,401 | 1,460,865 | |
7.00%, with various maturities to 2025 | 38 | 38,462 | |
7.50%, with maturity at 2024 | 6 | 6,294 | |
8.50%, with maturity at 2025 | 1 | 1,103 | |
9.00%, with various maturities to 2027 | 2 | 1,989 | |
9.50%, with maturity at 2025 | 0 (6) | 144 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: | |||
3.539%, (COF + 1.27%), with maturity at 2033(10) | $ | 204 | $ 197,240 |
3.569%, (COF + 1.30%), with maturity at 2033(10) | 112 | 108,524 | |
3.611%, (COF + 1.29%), with maturity at 2035(10) | 125 | 121,683 | |
3.66%, (COF + 1.25%), with maturity at 2025(10) | 42 | 41,487 | |
3.745%, (COF + 1.25%), with maturity at 2034(10) | 51 | 49,851 | |
3.76%, (COF + 1.25%), with maturity at 2026(10) | 78 | 76,784 | |
3.777%, (COF + 1.25%), with maturity at 2034(10) | 172 | 165,809 | |
3.866%, (COF + 1.25%), with maturity at 2035(10) | 182 | 179,379 | |
3.932%, (COF + 2.40%), with maturity at 2027(10) | 98 | 97,592 | |
4.062%, (COF + 1.31%), with maturity at 2036(10) | 184 | 177,734 | |
4.07%, (COF + 1.26%), with maturity at 2036(10) | 116 | 112,342 | |
4.235%, (1 yr. CMT + 2.10%), with maturity at 2040(10) | 225 | 228,667 | |
4.43%, (COF + 1.26%), with maturity at 2036(10) | 30 | 29,819 | |
4.50%, with various maturities to 2052 | 784 | 769,177 | |
4.604%, (COF + 1.85%), with maturity at 2034(10) | 306 | 302,291 | |
4.646%, (COF + 1.73%), with maturity at 2035(10) | 428 | 417,830 | |
4.773%, (COF + 1.81%), with maturity at 2036(10) | 2,218 | 2,167,581 | |
4.911%, (12 mo. MTA + 1.17%), with maturity at 2044(10) | 167 | 165,887 | |
5.00%, with various maturities to 2052 | 4,423 | 4,414,325 | |
5.50%, with various maturities to 2052 | 16,696 | 16,873,018 | |
6.00%, with various maturities to 2053(11) | 5,747 | 5,902,750 | |
6.00%, 30-Year, TBA(12) | 21,200 | 21,615,719 | |
6.46%, with maturity at 2025 | 12 | 11,741 | |
6.50%, 30-Year, TBA(12) | 26,650 | 27,454,569 | |
6.50%, with maturity at 2053 | 1,996 | 2,060,637 | |
7.00%, with maturity at 2024 | 4 | 3,969 | |
7.50%, with maturity at 2026 | 4 | 3,709 | |
8.039%, with maturity at 2030 | 1 | 908 | |
8.50%, with maturity at 2037 | 67 | 70,692 | |
9.00%, with various maturities to 2025 | 11 | 11,655 | |
9.50%, with various maturities to 2030 | 3 | 3,814 | |
Government National Mortgage Association: | |||
2.75%, (1 yr. CMT + 1.50%), with maturity at 2027(10) | 43 | 41,718 | |
3.00%, (1 yr. CMT + 1.50%), with maturity at 2026(10) | 32 | 31,215 | |
3.50%, with maturity at 2050 | 459 | 432,784 | |
4.00%, with various maturities to 2049 | 1,375 | 1,334,744 | |
4.50%, with various maturities to 2049 | 519 | 510,381 | |
5.00%, with various maturities to 2052 | 10,442 | 10,424,591 | |
5.50%, with various maturities to 2063 | 45,845 | 46,325,410 | |
6.00%, with various maturities to 2063(11) | 36,848 | 37,864,506 | |
6.50%, with various maturities to 2063 | 29,637 | 30,570,643 | |
6.50%, 30-Year, TBA(12) | 57,362 | 58,807,236 | |
7.00%, with various maturities to 2063 | 14,109 | 14,798,377 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
7.50%, with various maturities to 2053 | $ | 2,375 | $ 2,487,638 |
9.50%, with maturity at 2025 | 2 | 1,920 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $334,451,444) | $334,295,633 |
U.S. Government Guaranteed Small Business Administration Loans — 0.4%(13)(14) |
Security | Principal Amount (000's omitted) | Value | |
0.16%, 7/15/37 to 5/15/42 | $ | 531 | $ 2,851 |
0.23%, 4/15/37 to 12/15/37 | 1,354 | 9,231 | |
0.41%, 6/15/42 to 7/15/42 | 213 | 3,183 | |
0.48%, 3/15/37 to 12/15/37 | 2,325 | 32,748 | |
0.66%, 7/15/42 | 51 | 1,234 | |
0.73%, 3/15/37 to 10/15/42 | 1,304 | 29,317 | |
0.91%, 5/15/42 | 451 | 15,065 | |
0.98%, 9/15/37 to 11/15/37 | 825 | 23,679 | |
1.23%, 8/15/37 to 12/15/37 | 882 | 32,269 | |
1.86%, 9/15/42 to 1/15/43 | 3,389 | 230,366 | |
1.89%, 11/15/42 | 101 | 7,266 | |
2.11%, 10/15/42 | 3,316 | 267,051 | |
2.36%, 12/15/42 | 487 | 44,008 | |
2.86%, 12/15/42 to 2/15/43 | 5,279 | 582,055 | |
3.11%, 12/15/42 | 2,759 | 331,262 | |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $4,982,286) | $ 1,611,585 |
U.S. Department of Agriculture Loans — 1.5% |
Security | Principal Amount (000's omitted) | Value | |
USDA Guaranteed Loans: | |||
7.50%, (USD Prime - 0.50%), 2/16/43(2) | $ | 5,219,540 | $ 5,224,603 |
7.50%, (USD Prime - 0.50%), 2/16/43(2) | 1,399,922 | 1,401,280 | |
Total U.S. Department of Agriculture Loans (identified cost $6,619,462) | $ 6,625,883 |
Short-Term Investments — 4.5% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(15) | 20,062,260 | $ 20,062,260 | |
Total Short-Term Investments (identified cost $20,062,260) | $ 20,062,260 | ||
Total Purchased Swaptions — 0.0%(16) (identified cost $515,000) | $ 41,517 | ||
Total Investments — 122.1% (identified cost $579,777,345) | $543,907,192 | ||
Other Assets, Less Liabilities — (22.1)% | $ (98,532,760) | ||
Net Assets — 100.0% | $445,374,432 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $46,684,937 or 10.5% of the Fund's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at April 30, 2023. |
(4) | Step coupon security. Interest rate represents the rate in effect at April 30, 2023. |
(5) | 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, 2023. |
(6) | Principal amount is less than $500. |
(7) | 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. |
(8) | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
(9) | When-issued, variable rate security whose interest rate will be determined after April 30, 2023. |
(10) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at April 30, 2023. |
(11) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(12) | TBA (To Be Announced) securities are purchased or sold on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(13) | 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. |
(14) | Securities comprise a trust that is wholly-owned by the Fund and may only be sold on a pro-rata basis with all securities in the trust. |
(15) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
(16) | Amount is less than 0.05%. |
Purchased Interest Rate Swaptions (OTC) — 0.0%(1) | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Option to enter into interest rate swap expiring 5/19/28 to pay 4.04% and receive SOFR | Bank of America, N.A. | USD | 20,000,000 | 5/17/23 | $ 1,004 |
Option to enter into interest rate swap expiring 6/6/53 to pay 3.30% and receive SOFR | Bank of America, N.A. | USD | 15,000,000 | 6/2/23 | 40,513 |
Total | $41,517 |
(1) | Amount is less than 0.05%. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 727 | Long | 6/30/23 | $79,782,571 | $ 1,712,647 |
U.S. 10-Year Treasury Note | 48 | Long | 6/21/23 | 5,529,750 | 27,150 |
$1,739,797 |
Interest Rate Swaps (Centrally Cleared) | ||||||||
Notional Amount (000's omitted) | Fund Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
USD | 20,000 | Receives | SOFR (pays annually) | 1.88% (pays annually) | 3/9/28 | $ 1,361,460 | $ (262,167) | $ 1,099,293 |
USD | 50,000 | Receives | SOFR (pays annually) | 3.07% (pays annually) | 10/14/32 | 677,068 | — | 677,068 |
USD | 6,000 | Receives | SOFR (pays annually) | 3.16% (pays annually) | 1/5/33 | 48,847 | — | 48,847 |
USD | 25,000 | Receives | SOFR (pays annually) | 2.47% (pays annually) | 3/28/33 | 1,501,345 | (539,780) | 961,565 |
USD | 25,000 | Receives | SOFR (pays annually) | 1.92% (pays annually) | 4/8/52 | 5,276,357 | — | 5,276,357 |
USD | 10,000 | Receives | SOFR (pays annually) | 1.94% (pays annually) | 4/21/52 | 2,065,153 | — | 2,065,153 |
USD | 10,000 | Receives | SOFR (pays annually) | 1.89% (pays annually) | 8/3/52 | 2,243,008 | (98) | 2,242,910 |
Total | $13,173,238 | $(802,045) | $12,371,193 |
Abbreviations: | |
CMT | – Constant Maturity Treasury |
COF | – Cost of Funds 11th District |
LIBOR | – London Interbank Offered Rate |
MTA | – Monthly Treasury Average |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $559,715,085) | $ 523,844,932 |
Affiliated investment, at value (identified cost $20,062,260) | 20,062,260 |
Deposits for derivatives collateral: | |
Futures contracts | 1,343,900 |
Centrally cleared swap contracts | 8,585,490 |
OTC options and swaptions | 90,000 |
Deposits for forward commitment securities | 74,000 |
Interest receivable | 2,727,338 |
Dividends receivable from affiliated investment | 82,769 |
Receivable for investments sold | 34,719,883 |
Receivable for Fund shares sold | 1,082,685 |
Receivable for variation margin on open futures contracts | 215,632 |
Receivable for variation margin on open centrally cleared swap contracts | 480,856 |
Receivable from affiliate | 53,963 |
Total assets | $ 593,363,708 |
Liabilities | |
Cash collateral due to brokers | $ 164,000 |
Payable for reverse repurchase agreements, including accrued interest of $5,380 | 1,004,693 |
Payable for investments purchased | 139,258,294 |
Payable for when-issued/forward commitment securities | 4,045,945 |
Payable for Fund shares redeemed | 1,110,804 |
Distributions payable | 93,462 |
Due to custodian | 1,736,167 |
Payable to affiliate: | |
Investment adviser fee | 228,440 |
Distribution and service fees | 49,012 |
Trustees' fees | 2,263 |
Accrued expenses | 296,196 |
Total liabilities | $ 147,989,276 |
Net Assets | $ 445,374,432 |
Sources of Net Assets | |
Paid-in capital | $ 556,322,628 |
Accumulated loss | (110,948,196) |
Net Assets | $ 445,374,432 |
Class A Shares | |
Net Assets | $ 128,837,286 |
Shares Outstanding | 23,650,727 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 5.45 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 5.63 |
Class C Shares | |
Net Assets | $ 6,621,295 |
Shares Outstanding | 1,217,487 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 5.44 |
April 30, 2023 | |
Class I Shares | |
Net Assets | $269,740,446 |
Shares Outstanding | 49,529,017 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 5.45 |
Class R Shares | |
Net Assets | $ 40,175,405 |
Shares Outstanding | 7,404,150 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 5.43 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income from affiliated investment | $ 700,089 |
Interest income | 10,401,938 |
Total investment income | $11,102,027 |
Expenses | |
Investment adviser fee | $ 1,328,523 |
Distribution and service fees: | |
Class A | 163,094 |
Class C | 33,835 |
Class R | 107,913 |
Trustees’ fees and expenses | 13,187 |
Custodian fee | 92,921 |
Transfer and dividend disbursing agent fees | 179,971 |
Legal and accounting services | 45,749 |
Printing and postage | 30,053 |
Registration fees | 83,070 |
Interest expense and fees | 578,931 |
Miscellaneous | 11,421 |
Total expenses | $ 2,668,668 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 178,398 |
Total expense reductions | $ 178,398 |
Net expenses | $ 2,490,270 |
Net investment income | $ 8,611,757 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (7,759,673) |
Written options and swaptions | 1,543,183 |
Futures contracts | (2,041,787) |
Swap contracts | (511,110) |
Net realized loss | $ (8,769,387) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 6,477,215 |
Written options and swaptions | 236,878 |
TBA sale commitments | (509,370) |
Futures contracts | 1,971,376 |
Swap contracts | (2,025,637) |
Net change in unrealized appreciation (depreciation) | $ 6,150,462 |
Net realized and unrealized loss | $ (2,618,925) |
Net increase in net assets from operations | $ 5,992,832 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 8,611,757 | $ 8,869,977 |
Net realized loss | (8,769,387) | (22,103,148) |
Net change in unrealized appreciation (depreciation) | 6,150,462 | (14,726,254) |
Net increase (decrease) in net assets from operations | $ 5,992,832 | $ (27,959,425) |
Distributions to shareholders: | ||
Class A | $ (3,412,652) | $ (3,116,489) |
Class C | (152,198) | (127,983) |
Class I | (6,267,918) | (4,531,585) |
Class R | (1,075,305) | (889,252) |
Total distributions to shareholders | $ (10,908,073) | $ (8,665,309) |
Tax return of capital to shareholders: | ||
Class A | $ — | $ (162,425) |
Class C | — | (6,766) |
Class I | — | (232,529) |
Class R | — | (46,695) |
Total tax return of capital to shareholders | $ — | $ (448,415) |
Transactions in shares of beneficial interest: | ||
Class A | $ (5,950,389) | $ (13,221,173) |
Class C | (279,101) | (3,928,416) |
Class I | 40,696,722 | 27,652,623 |
Class R | (5,579,657) | (1,802,206) |
Net increase in net assets from Fund share transactions | $ 28,887,575 | $ 8,700,828 |
Net increase (decrease) in net assets | $ 23,972,334 | $ (28,372,321) |
Net Assets | ||
At beginning of period | $ 421,402,098 | $ 449,774,419 |
At end of period | $445,374,432 | $421,402,098 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 5.510 | $ 6.030 | $ 6.180 | $ 6.070 | $ 6.100 | $ 6.280 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.112 | $ 0.121 | $ 0.118 | $ 0.073 | $ 0.134 | $ 0.142 |
Net realized and unrealized gain (loss) | (0.029) | (0.516) | (0.158) | 0.191 | 0.029 | (0.116) |
Total income (loss) from operations | $ 0.083 | $ (0.395) | $ (0.040) | $ 0.264 | $ 0.163 | $ 0.026 |
Less Distributions | ||||||
From net investment income | $ (0.143) | $ (0.119) | $ (0.110) | $ (0.154) | $ (0.193) | $ (0.206) |
Tax return of capital | — | (0.006) | — | — | — | — |
Total distributions | $ (0.143) | $ (0.125) | $ (0.110) | $ (0.154) | $ (0.193) | $ (0.206) |
Net asset value — End of period | $ 5.450 | $ 5.510 | $ 6.030 | $ 6.180 | $ 6.070 | $ 6.100 |
Total Return(2) | 1.52% (3)(4) | (6.63)% (4) | (0.66)% (4) | 4.40% (4) | 2.71% | 0.42% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $128,837 | $136,321 | $163,208 | $158,552 | $138,956 | $133,062 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 1.32% (4)(6)(7)(8) | 1.05% (4)(7) | 1.05% (4) | 1.11% (4)(8) | 1.26% (8) | 1.19% |
Net investment income | 4.10% (6) | 2.06% | 1.91% | 1.20% | 2.21% | 2.30% |
Portfolio Turnover of the Portfolio(9) | — | — | — | — | — | 62% |
Portfolio Turnover of the Fund | 433% (3)(10) | 796% (10) | 335% (10) | 180% (10) | 90% | 1% (11) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.07%, 0.05%, 0.02% and 0.03% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021 and 2020, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses for the period while the Fund was investing in the Portfolio. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(8) | Includes interest expense, including on reverse repurchase agreements, of 0.28%, 0.03% and 0.07% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2020 and 2019, respectively. |
(9) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(10) | Includes the effect of To-Be-Announced (TBA) transactions. |
(11) | For the period from October 8, 2018 through October 31, 2018 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Government Obligations Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on October 5, 2018 and which had the same investment objective and policies as the Fund during such period. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 5.500 | $ 6.020 | $ 6.170 | $ 6.060 | $ 6.090 | $ 6.270 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.091 | $ 0.073 | $ 0.072 | $ 0.030 | $ 0.090 | $ 0.096 |
Net realized and unrealized gain (loss) | (0.029) | (0.512) | (0.158) | 0.188 | 0.027 | (0.117) |
Total income (loss) from operations | $ 0.062 | $(0.439) | $ (0.086) | $ 0.218 | $ 0.117 | $ (0.021) |
Less Distributions | ||||||
From net investment income | $ (0.122) | $ (0.077) | $ (0.064) | $ (0.108) | $ (0.147) | $ (0.159) |
Tax return of capital | — | (0.004) | — | — | — | — |
Total distributions | $(0.122) | $(0.081) | $ (0.064) | $ (0.108) | $ (0.147) | $ (0.159) |
Net asset value — End of period | $ 5.440 | $ 5.500 | $ 6.020 | $ 6.170 | $ 6.060 | $ 6.090 |
Total Return(2) | 1.14% (3)(4) | (7.34)% (4) | (1.41)% (4) | 3.63% (4) | 1.95% | (0.33)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 6,621 | $ 6,980 | $11,756 | $24,969 | $29,940 | $46,902 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 2.07% (4)(6)(7)(8) | 1.80% (4)(7) | 1.80% (4) | 1.86% (4)(8) | 1.99% (8) | 1.94% |
Net investment income | 3.35% (6) | 1.25% | 1.17% | 0.49% | 1.47% | 1.55% |
Portfolio Turnover of the Portfolio(9) | — | — | — | — | — | 62% |
Portfolio Turnover of the Fund | 433% (3)(10) | 796% (10) | 335% (10) | 180% (10) | 90% | 1% (11) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.07%, 0.05%, 0.02% and 0.03% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021 and 2020, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses for the period while the Fund was investing in the Portfolio. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(8) | Includes interest expense, including on reverse repurchase agreements, of 0.28%, 0.03% and 0.07% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2020 and 2019, respectively. |
(9) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(10) | Includes the effect of To-Be-Announced (TBA) transactions. |
(11) | For the period from October 8, 2018 through October 31, 2018 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Government Obligations Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on October 5, 2018 and which had the same investment objective and policies as the Fund during such period. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 5.510 | $ 6.030 | $ 6.170 | $ 6.060 | $ 6.100 | $ 6.280 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.119 | $ 0.133 | $ 0.133 | $ 0.085 | $ 0.149 | $ 0.157 |
Net realized and unrealized gain (loss) | (0.029) | (0.514) | (0.148) | 0.194 | 0.019 | (0.116) |
Total income (loss) from operations | $ 0.090 | $ (0.381) | $ (0.015) | $ 0.279 | $ 0.168 | $ 0.041 |
Less Distributions | ||||||
From net investment income | $ (0.150) | $ (0.132) | $ (0.125) | $ (0.169) | $ (0.208) | $ (0.221) |
Tax return of capital | — | (0.007) | — | — | — | — |
Total distributions | $ (0.150) | $ (0.139) | $ (0.125) | $ (0.169) | $ (0.208) | $ (0.221) |
Net asset value — End of period | $ 5.450 | $ 5.510 | $ 6.030 | $ 6.170 | $ 6.060 | $ 6.100 |
Total Return(2) | 1.65% (3)(4) | (6.40)% (4) | (0.25)% (4) | 4.66% (4) | 2.80% | 0.67% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $269,740 | $231,855 | $222,307 | $213,869 | $118,479 | $96,457 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 1.07% (4)(6)(7)(8) | 0.80% (4)(7) | 0.80% (4) | 0.85% (4)(8) | 1.01% (8) | 0.94% |
Net investment income | 4.36% (6) | 2.28% | 2.17% | 1.39% | 2.44% | 2.54% |
Portfolio Turnover of the Portfolio(9) | — | — | — | — | — | 62% |
Portfolio Turnover of the Fund | 433% (3)(10) | 796% (10) | 335% (10) | 180% (10) | 90% | 1% (11) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.07%, 0.05%, 0.02% and 0.03% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021 and 2020, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses for the period while the Fund was investing in the Portfolio. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(8) | Includes interest expense, including on reverse repurchase agreements, of 0.28%, 0.03% and 0.07% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2020 and 2019, respectively. |
(9) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(10) | Includes the effect of To-Be-Announced (TBA) transactions. |
(11) | For the period from October 8, 2018 through October 31, 2018 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Government Obligations Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on October 5, 2018 and which had the same investment objective and policies as the Fund during such period. |
Class R | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 5.490 | $ 6.010 | $ 6.150 | $ 6.040 | $ 6.080 | $ 6.260 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.104 | $ 0.107 | $ 0.102 | $ 0.052 | $ 0.118 | $ 0.126 |
Net realized and unrealized gain (loss) | (0.029) | (0.517) | (0.148) | 0.196 | 0.019 | (0.117) |
Total income (loss) from operations | $ 0.075 | $ (0.410) | $ (0.046) | $ 0.248 | $ 0.137 | $ 0.009 |
Less Distributions | ||||||
From net investment income | $ (0.135) | $ (0.105) | $ (0.094) | $ (0.138) | $ (0.177) | $ (0.189) |
Tax return of capital | — | (0.005) | — | — | — | — |
Total distributions | $ (0.135) | $ (0.110) | $ (0.094) | $ (0.138) | $ (0.177) | $ (0.189) |
Net asset value — End of period | $ 5.430 | $ 5.490 | $ 6.010 | $ 6.150 | $ 6.040 | $ 6.080 |
Total Return(2) | 1.39% (3)(4) | (6.90)% (4) | (0.75)% (4) | 4.15% (4) | 2.46% | (—)% (5) |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $40,175 | $46,245 | $52,503 | $55,623 | $28,673 | $26,376 |
Ratios (as a percentage of average daily net assets):(6) | ||||||
Expenses | 1.57% (4)(7)(8)(9) | 1.30% (4)(8) | 1.30% (4) | 1.34% (4)(9) | 1.51% (9) | 1.44% |
Net investment income | 3.85% (7) | 1.83% | 1.66% | 0.85% | 1.95% | 2.04% |
Portfolio Turnover of the Portfolio(10) | — | — | — | — | — | 62% |
Portfolio Turnover of the Fund | 433% (3)(11) | 796% (11) | 335% (11) | 180% (11) | 90% | 1% (12) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.07%, 0.05%, 0.02% and 0.03% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021 and 2020, respectively). Absent this reimbursement, total return would be lower. |
(5) | Less than (0.005)%. |
(6) | Includes the Fund’s share of the Portfolio’s allocated expenses for the period while the Fund was investing in the Portfolio. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(9) | Includes interest expense, including on reverse repurchase agreements, of 0.28%, 0.03% and 0.07% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2020 and 2019, respectively. |
(10) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(11) | Includes the effect of To-Be-Announced (TBA) transactions. |
(12) | For the period from October 8, 2018 through October 31, 2018 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Government Obligations Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on October 5, 2018 and which had the same investment objective and policies as the Fund during such period. |
Aggregate cost | $ 580,219,391 |
Gross unrealized appreciation | $ 23,216,873 |
Gross unrealized depreciation | (45,418,082) |
Net unrealized depreciation | $ (22,201,209) |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.6500% |
$500 million but less than $1 billion | 0.6250% |
$1 billion but less than $1.5 billion | 0.6000% |
$1.5 billion but less than $2 billion | 0.5625% |
$2 billion but less than $2.5 billion | 0.5000% |
$2.5 billion and over | 0.4375% |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 27,926,874 | $ 7,854,578 |
U.S. Government and Agency Securities | 2,251,595,928 | 2,074,000,735 |
$2,279,522,802 | $2,081,855,313 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 1,604,994 | $ 8,792,605 | 7,105,348 | $ 42,429,186 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 572,670 | 3,133,448 | 521,328 | 3,018,284 | |
Redemptions | (3,258,486) | (17,876,442) | (9,947,575) | (58,668,643) | |
Net decrease | (1,080,822) | $ (5,950,389) | (2,320,899) | $ (13,221,173) | |
Class C | |||||
Sales | 285,618 | $ 1,565,758 | 523,893 | $ 3,108,916 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 27,419 | 149,729 | 22,768 | 131,577 | |
Redemptions | (364,019) | (1,994,588) | (1,229,831) | (7,168,909) | |
Net decrease | (50,982) | $ (279,101) | (683,170) | $ (3,928,416) |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Sales | 16,498,456 | $ 90,375,424 | 43,065,146 | $ 248,866,727 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,089,403 | 5,957,897 | 750,078 | 4,345,848 | |
Redemptions | (10,132,861) | (55,636,599) | (38,614,717) | (225,559,952) | |
Net increase | 7,454,998 | $ 40,696,722 | 5,200,507 | $ 27,652,623 | |
Class R | |||||
Sales | 764,879 | $ 4,195,838 | 6,749,117 | $ 39,539,347 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 197,327 | 1,075,313 | 162,498 | 935,762 | |
Redemptions | (1,981,089) | (10,850,808) | (7,224,766) | (42,277,315) | |
Net decrease | (1,018,883) | $ (5,579,657) | (313,151) | $ (1,802,206) |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Purchased swaptions | $ 41,517(1) | $ — |
Futures contracts | 1,739,797 (2) | — |
Swap contracts | 13,173,238 (2) | — |
Total | $14,954,552 | $ — |
Derivatives not subject to master netting or similar agreements | $14,913,035 | $ — |
Total Derivatives subject to master netting or similar agreements | $ 41,517 | $ — |
(1) | Statement of Asset and Liabilities location: Unaffiliated investments, at value. |
(2) | Only the current day’s variation margin on open futures contracts and centrally cleared swap contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared swap contracts, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Bank of America, N.A. | $41,517 | $ — | $ — | $(41,517) | $ — |
(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. |
Risk | Derivative | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
Credit | Swap contracts | $ (1,071,736)(1) | $ 696,181(2) |
Interest Rate | Purchased swaptions | (365,194) (3) | (4,978,252) (4) |
Interest Rate | Written options and swaptions | 1,543,183 (5) | 236,878 (6) |
Interest Rate | Futures contracts | (2,041,787) (7) | 1,971,376 (8) |
Interest Rate | Swap contracts | 560,626 (1) | (2,721,818) (2) |
Total | $(1,374,908) | $(4,795,635) |
(1) | Statement of Operations location: Net realized gain (loss): Swap contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Swap contracts. |
(3) | Statement of Operations location: Net realized gain (loss): Investment transactions. |
(4) | Statement of Operations location: Change in unrealized appreciation (depreciation): Investments. |
(5) | Statement of Operations location: Net realized gain (loss): Written options and swaptions. |
(6) | Statement of Operations location: Change in unrealized appreciation (depreciation): Written options and swaptions. |
(7) | Statement of Operations location: Net realized gain (loss): Futures contracts. |
(8) | Statement of Operations location: Change in unrealized appreciation (depreciation): Futures contracts. |
Futures Contracts — Long | Futures Contracts — Short | Purchased Swaptions | Written Options and Swaptions | Swap Contracts |
$61,516,000 | $2,270,000 | $66,857,000 | $100,429,000 | $133,071,000 |
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
MUFG Securities Americas, Inc. | 3/23/23 | 5/5/23 | 5.10% | $999,313 | $1,004,619 |
Counterparty | Reverse Repurchase Agreements | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(b) |
MUFG Securities Americas, Inc. | $(1,004,619) | $ — | $1,004,619 | $ — |
(a) | In some instances, the total collateral pledged may be more than the amount shown due to overcollateralization. |
(b) | 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 | $83,859,312 | $190,929,947 | $(254,726,999) | $ — | $ — | $20,062,260 | $700,089 | 20,062,260 |
• | 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 |
Asset-Backed Securities | $ — | $ 10,596,698 | $ — | $ 10,596,698 |
Collateralized Mortgage Obligations | — | 166,325,153 | — | 166,325,153 |
Commercial Mortgage-Backed Securities | — | 1,522,389 | — | 1,522,389 |
U.S. Government Agency Commercial Mortgage-Backed Securities | — | 2,826,074 | — | 2,826,074 |
U.S. Government Agency Mortgage-Backed Securities | — | 334,295,633 | — | 334,295,633 |
U.S. Government Guaranteed Small Business Administration Loans | — | 1,611,585 | — | 1,611,585 |
U.S. Department of Agriculture Loans | — | 6,625,883 | — | 6,625,883 |
Short-Term Investments | 20,062,260 | — | — | 20,062,260 |
Purchased Interest Rate Swaptions | — | 41,517 | — | 41,517 |
Total Investments | $ 20,062,260 | $ 523,844,932 | $ — | $543,907,192 |
Futures Contracts | $ 1,739,797 | $ — | $ — | $ 1,739,797 |
Swap Contracts | — | 13,173,238 | — | 13,173,238 |
Total | $ 21,802,057 | $ 537,018,170 | $ — | $558,820,227 |
Officers | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 03/11/2004 | 08/19/1986 | 6.67% | 2.36% | 3.74% | 4.25% |
Class A with 3.25% Maximum Sales Charge | — | — | 3.25 | (0.94) | 3.05 | 3.90 |
Class C at NAV | 06/08/1994 | 08/19/1986 | 6.25 | 1.52 | 2.94 | 3.64 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 5.25 | 0.56 | 2.94 | 3.64 |
Class I at NAV | 10/01/2009 | 08/19/1986 | 6.81 | 2.63 | 3.95 | 4.51 |
ICE BofA U.S. High Yield Index | — | — | 5.88% | 1.04% | 3.12% | 3.93% |
ICE BofA U.S. High Yield Constrained Index | — | — | 5.88 | 1.03 | 3.10 | 3.93 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
0.91% | 1.66% | 0.66% |
Credit Quality (% of total investments)1 |
1 | Ratings are based on Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), as applicable. For purposes of ratings restrictions, the average of Moody’s, S&P and Fitch is used. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P or Fitch (Baa or higher by Moody’s) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by the national ratings agencies stated above. |
1 | ICE BofA U.S. High Yield Index is an unmanaged index of below-investment grade U.S. corporate bonds. ICE BofA U.S. High Yield Constrained Index is an unmanaged index of below-investment grade U.S. corporate bonds, with issuer exposure capped at 2%. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,066.70 | $4.92 | 0.96% |
Class C | $1,000.00 | $1,062.50 | $8.74 | 1.71% |
Class I | $1,000.00 | $1,068.10 | $3.64 | 0.71% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.03 | $4.81 | 0.96% |
Class C | $1,000.00 | $1,016.32 | $8.55 | 1.71% |
Class I | $1,000.00 | $1,021.27 | $3.56 | 0.71% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
April 30, 2023 | |
Assets | |
Investment in High Income Opportunities Portfolio, at value (identified cost $825,985,537) | $ 799,737,323 |
Receivable for Fund shares sold | 4,519,422 |
Total assets | $804,256,745 |
Liabilities | |
Payable for Fund shares redeemed | $ 4,447,877 |
Distributions payable | 327,240 |
Payable to affiliates: | |
Distribution and service fees | 62,431 |
Trustees' fees | 43 |
Accrued expenses | 286,177 |
Total liabilities | $ 5,123,768 |
Net Assets | $799,132,977 |
Sources of Net Assets | |
Paid-in capital | $ 835,408,670 |
Accumulated loss | (36,275,693) |
Net Assets | $799,132,977 |
Class A Shares | |
Net Assets | $ 204,965,547 |
Shares Outstanding | 50,381,151 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 4.07 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 4.21 |
Class C Shares | |
Net Assets | $ 23,876,529 |
Shares Outstanding | 5,860,942 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 4.07 |
Class I Shares | |
Net Assets | $ 570,290,901 |
Shares Outstanding | 140,010,680 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 4.07 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $445) | $ 975,004 |
Interest and other income allocated from Portfolio | 22,628,872 |
Expenses allocated from Portfolio | (1,951,968) |
Total investment income from Portfolio | $21,651,908 |
Expenses | |
Distribution and service fees: | |
Class A | $ 245,582 |
Class C | 122,504 |
Trustees’ fees and expenses | 251 |
Custodian fee | 24,172 |
Transfer and dividend disbursing agent fees | 435,723 |
Legal and accounting services | 19,993 |
Printing and postage | 107,805 |
Registration fees | 48,803 |
Miscellaneous | 6,443 |
Total expenses | $ 1,011,276 |
Net investment income | $20,640,632 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ 16,967,167 |
Securities sold short | (151,823) |
Foreign currency transactions | 3,113 |
Forward foreign currency exchange contracts | (1,143,219) |
Net realized gain | $15,675,238 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 11,660,370 |
Foreign currency | (74,054) |
Forward foreign currency exchange contracts | 12,454 |
Net change in unrealized appreciation (depreciation) | $11,598,770 |
Net realized and unrealized gain | $27,274,008 |
Net increase in net assets from operations | $47,914,640 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 20,640,632 | $ 31,560,711 |
Net realized gain (loss) | 15,675,238 | (3,209,893) |
Net change in unrealized appreciation (depreciation) | 11,598,770 | (91,169,363) |
Net increase (decrease) in net assets from operations | $ 47,914,640 | $ (62,818,545) |
Distributions to shareholders: | ||
Class A | $ (5,381,418) | $ (10,516,890) |
Class C | (570,613) | (1,194,748) |
Class I | (14,739,577) | (24,484,753) |
Total distributions to shareholders | $ (20,691,608) | $ (36,196,391) |
Tax return of capital to shareholders: | ||
Class A | $ — | $ (339,864) |
Class C | — | (38,238) |
Class I | — | (804,758) |
Total tax return of capital to shareholders | $ — | $ (1,182,860) |
Transactions in shares of beneficial interest: | ||
Class A | $ 8,821,516 | $ (15,056,064) |
Class C | (763,953) | (5,218,614) |
Class I | 80,299,951 | 60,820,323 |
Net increase in net assets from Fund share transactions | $ 88,357,514 | $ 40,545,645 |
Net increase (decrease) in net assets | $115,580,546 | $ (59,652,151) |
Net Assets | ||
At beginning of period | $ 683,552,431 | $ 743,204,582 |
At end of period | $799,132,977 | $683,552,431 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 3.920 | $ 4.520 | $ 4.210 | $ 4.400 | $ 4.330 | $ 4.560 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.109 | $ 0.185 | $ 0.196 | $ 0.206 | $ 0.227 | $ 0.233 |
Net realized and unrealized gain (loss) | 0.150 | (0.565) | 0.340 | (0.157) | 0.081 | (0.225) |
Total income (loss) from operations | $ 0.259 | $ (0.380) | $ 0.536 | $ 0.049 | $ 0.308 | $ 0.008 |
Less Distributions | ||||||
From net investment income | $ (0.109) | $ (0.213) | $ (0.179) | $ (0.207) | $ (0.238) | $ (0.238) |
Tax return of capital | — | (0.007) | (0.047) | (0.032) | — | — |
Total distributions | $ (0.109) | $ (0.220) | $ (0.226) | $ (0.239) | $ (0.238) | $ (0.238) |
Net asset value — End of period | $ 4.070 | $ 3.920 | $ 4.520 | $ 4.210 | $ 4.400 | $ 4.330 |
Total Return(2) | 6.67% (3) | (8.59)% | 12.93% | 1.26% | 7.31% | 0.17% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $204,966 | $188,765 | $233,330 | $226,927 | $269,795 | $287,457 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 0.96% (5)(6) | 0.91% (5) | 0.90% | 0.93% | 0.91% | 0.87% |
Net investment income | 5.47% (6) | 4.39% | 4.39% | 4.87% | 5.22% | 5.24% |
Portfolio Turnover of the Portfolio | 16% (3) | 19% | 64% | 67% | 32% | 39% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(6) | Annualized. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 3.920 | $ 4.520 | $ 4.210 | $ 4.400 | $ 4.330 | $ 4.560 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.094 | $ 0.153 | $ 0.162 | $ 0.174 | $ 0.195 | $ 0.200 |
Net realized and unrealized gain (loss) | 0.149 | (0.566) | 0.341 | (0.159) | 0.080 | (0.225) |
Total income (loss) from operations | $ 0.243 | $ (0.413) | $ 0.503 | $ 0.015 | $ 0.275 | $ (0.025) |
Less Distributions | ||||||
From net investment income | $ (0.093) | $ (0.181) | $ (0.153) | $ (0.178) | $ (0.205) | $ (0.205) |
Tax return of capital | — | (0.006) | (0.040) | (0.027) | — | — |
Total distributions | $ (0.093) | $ (0.187) | $ (0.193) | $ (0.205) | $ (0.205) | $ (0.205) |
Net asset value — End of period | $ 4.070 | $ 3.920 | $ 4.520 | $ 4.210 | $ 4.400 | $ 4.330 |
Total Return(2) | 6.25% (3) | (9.31)% | 12.09% | 0.45% | 6.49% | (0.58)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $23,877 | $23,724 | $32,926 | $37,680 | $55,246 | $95,312 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.71% (5)(6) | 1.66% (5) | 1.65% | 1.68% | 1.67% | 1.63% |
Net investment income | 4.72% (6) | 3.62% | 3.64% | 4.12% | 4.50% | 4.49% |
Portfolio Turnover of the Portfolio | 16% (3) | 19% | 64% | 67% | 32% | 39% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(6) | Annualized. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 3.920 | $ 4.520 | $ 4.220 | $ 4.410 | $ 4.340 | $ 4.570 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.114 | $ 0.196 | $ 0.208 | $ 0.216 | $ 0.238 | $ 0.245 |
Net realized and unrealized gain (loss) | 0.151 | (0.565) | 0.329 | (0.156) | 0.081 | (0.226) |
Total income (loss) from operations | $ 0.265 | $ (0.369) | $ 0.537 | $ 0.060 | $ 0.319 | $ 0.019 |
Less Distributions | ||||||
From net investment income | $ (0.115) | $ (0.224) | $ (0.188) | $ (0.217) | $ (0.249) | $ (0.249) |
Tax return of capital | — | (0.007) | (0.049) | (0.033) | — | — |
Total distributions | $ (0.115) | $ (0.231) | $ (0.237) | $ (0.250) | $ (0.249) | $ (0.249) |
Net asset value — End of period | $ 4.070 | $ 3.920 | $ 4.520 | $ 4.220 | $ 4.410 | $ 4.340 |
Total Return(2) | 6.81% (3) | (8.36)% | 12.93% | 1.52% | 7.57% | 0.42% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $570,291 | $471,064 | $476,949 | $534,500 | $549,842 | $614,306 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 0.71% (5)(6) | 0.66% (5) | 0.65% | 0.68% | 0.66% | 0.62% |
Net investment income | 5.72% (6) | 4.65% | 4.65% | 5.10% | 5.47% | 5.49% |
Portfolio Turnover of the Portfolio | 16% (3) | 19% | 64% | 67% | 32% | 39% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(6) | Annualized. |
Total Daily Net Assets | Annual Asset Rate | Daily Income Rate |
Up to $500 million | 0.300% | 3.000% |
$500 million but less than $1 billion | 0.275% | 2.750% |
$1 billion but less than $1.5 billion | 0.250% | 2.500% |
$1.5 billion but less than $2 billion | 0.225% | 2.250% |
$2 billion but less than $3 billion | 0.200% | 2.000% |
$3 billion and over | 0.175% | 1.750% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 9,849,543 | $ 39,760,802 | 12,855,827 | $ 54,485,167 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,102,847 | 4,450,544 | 2,136,365 | 8,927,869 | |
Redemptions | (8,758,078) | (35,389,830) | (18,460,061) | (78,469,100) | |
Net increase (decrease) | 2,194,312 | $ 8,821,516 | (3,467,869) | $ (15,056,064) | |
Class C | |||||
Sales | 1,006,337 | $ 4,042,289 | 1,179,357 | $ 4,855,528 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 133,606 | 539,691 | 277,417 | 1,162,686 | |
Redemptions | (1,328,879) | (5,345,933) | (2,691,624) | (11,236,828) | |
Net decrease | (188,936) | $ (763,953) | (1,234,850) | $ (5,218,614) |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Sales | 45,435,551 | $ 183,132,507 | 59,543,964 | $ 249,072,640 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 3,424,129 | 13,836,846 | 5,662,096 | 23,620,177 | |
Redemptions | (28,953,163) | (116,669,402) | (50,556,729) | (211,872,494) | |
Net increase | 19,906,517 | $ 80,299,951 | 14,649,331 | $ 60,820,323 |
Asset-Backed Securities — 1.7% |
Security | Principal Amount (000's omitted) | Value | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 11.686%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | $ | 2,000 | $ 1,761,098 |
Atlas Senior Loan Fund XX, Ltd., Series 2022-20A, Class B1, 8.178%, (3 mo. SOFR + 3.15%), 10/19/35(1)(2) | 2,500 | 2,505,030 | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 11.61%, (3 mo. USD LIBOR + 6.35%), 7/15/32(1)(2) | 1,000 | 918,749 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.11%, (3 mo. USD LIBOR + 6.85%), 1/15/35(1)(2) | 2,000 | 1,892,980 | |
Canyon Capital CLO, Ltd., Series 2022-1A, Class E, 11.382%, (3 mo. SOFR + 6.40%), 4/15/35(1)(2) | 2,000 | 1,778,970 | |
Carlyle US CLO, Ltd., Series 2019-4A, Class DR, 11.586%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 2,000 | 1,760,132 | |
Golub Capital Partners CLO 50B-R, Ltd., Series 2020-50A, Class ER, 12.149%, (3 mo. SOFR + 7.10%), 4/20/35(1)(2) | 2,000 | 1,828,016 | |
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 11.862%, (3 mo. USD LIBOR + 6.60%), 1/18/34(1)(2) | 2,000 | 1,874,700 | |
Madison Park Funding XXXVII, Ltd., Series 2019-37A, Class ER, 11.41%, (3 mo. USD LIBOR + 6.15%), 7/15/33(1)(2) | 1,000 | 936,912 | |
Wellfleet CLO, Ltd.: | |||
Series 2021-2A, Class E, 12.22%, (3 mo. USD LIBOR + 6.96%), 7/15/34(1)(2) | 2,000 | 1,614,874 | |
Series 2021-3A, Class E, 12.36%, (3 mo. USD LIBOR + 7.10%), 1/15/35(1)(2) | 2,000 | 1,707,088 | |
Total Asset-Backed Securities (identified cost $20,411,222) | $ 18,578,549 |
Common Stocks — 1.3% |
Security | Shares | Value | |
Energy — 0.4% | |||
Ascent CNR Corp., Class A(3)(4)(5) | 6,273,462 | $ 1,254,692 | |
Energy Transfer, L.P. | 280,000 | 3,606,400 | |
$ 4,861,092 | |||
Environmental — 0.4% | |||
GFL Environmental, Inc. | 105,500 | $ 3,829,650 | |
$ 3,829,650 | |||
Gaming — 0.3% | |||
Caesars Entertainment, Inc.(4) | 60,000 | $ 2,717,400 |
Security | Shares | Value | |
Gaming (continued) | |||
New Cotai Participation Corp., Class B(3)(4)(5) | 7 | $ 0 | |
$ 2,717,400 | |||
Leisure — 0.0%(6) | |||
iFIT Health and Fitness, Inc.(3)(4)(5) | 514,080 | $ 359,856 | |
$ 359,856 | |||
Technology — 0.0%(6) | |||
Riverbed Technology, Inc.(4)(7) | 35,977 | $ 18,079 | |
$ 18,079 | |||
Utility — 0.2% | |||
NextEra Energy Partners, L.P. | 45,000 | $ 2,587,950 | |
$ 2,587,950 | |||
Total Common Stocks (identified cost $14,631,455) | $ 14,374,027 |
Convertible Bonds — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
Containers — 0.3% | |||
CryoPort, Inc., 0.75%, 12/1/26(1) | $ | 4,245 | $ 3,345,604 |
$ 3,345,604 | |||
Leisure — 0.2% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26 | $ | 3,289 | $ 2,453,486 |
$ 2,453,486 | |||
Total Convertible Bonds (identified cost $6,395,479) | $ 5,799,090 |
Convertible Preferred Stocks — 0.0%(6) |
Security | Shares | Value | |
Technology — 0.0%(6) | |||
Riverbed Technology, Inc., Series A, 6.50%, (1.50% cash, 5.00% PIK)(7) | 22,350 | $ 5,699 | |
Total Convertible Preferred Stocks (identified cost $670,487) | $ 5,699 |
Corporate Bonds — 86.7% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace — 3.4% | |||
Bombardier, Inc.: | |||
7.125%, 6/15/26(1) | 2,033 | $ 2,028,745 | |
7.875%, 4/15/27(1) | 1,357 | 1,354,572 | |
BWX Technologies, Inc.: | |||
4.125%, 6/30/28(1) | 1,501 | 1,381,133 | |
4.125%, 4/15/29(1) | 1,016 | 920,608 | |
Moog, Inc., 4.25%, 12/15/27(1) | 2,796 | 2,632,993 | |
Rolls-Royce PLC, 5.75%, 10/15/27(1) | 4,991 | 4,986,206 | |
Science Applications International Corp., 4.875%, 4/1/28(1) | 3,792 | 3,582,833 | |
Spirit AeroSystems, Inc.: | |||
4.60%, 6/15/28 | 1,081 | 918,266 | |
9.375%, 11/30/29(1) | 1,902 | 2,046,860 | |
TransDigm UK Holdings PLC, 6.875%, 5/15/26 | 1,585 | 1,596,989 | |
TransDigm, Inc.: | |||
4.625%, 1/15/29 | 1,677 | 1,519,781 | |
5.50%, 11/15/27 | 3,914 | 3,762,375 | |
6.25%, 3/15/26(1) | 4,436 | 4,463,912 | |
6.75%, 8/15/28(1) | 3,504 | 3,562,836 | |
7.50%, 3/15/27 | 1,705 | 1,715,888 | |
$ 36,473,997 | |||
Air Transportation — 1.3% | |||
American Airlines, Inc., 7.25%, 2/15/28(1) | 908 | $ 883,968 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 2,780 | 2,733,140 | |
5.75%, 4/20/29(1) | 3,580 | 3,406,639 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 1,156 | 1,105,395 | |
4.625%, 4/15/29(1) | 1,799 | 1,630,032 | |
VistaJet Malta Finance PLC/XO Management Holding, Inc., 6.375%, 2/1/30(1) | 5,300 | 4,591,045 | |
$ 14,350,219 | |||
Automotive & Auto Parts — 2.7% | |||
Ford Motor Co.: | |||
3.25%, 2/12/32 | 6,249 | $ 4,851,828 | |
4.75%, 1/15/43 | 2,651 | 1,994,954 | |
7.45%, 7/16/31 | 794 | 836,569 | |
9.625%, 4/22/30 | 350 | 407,449 | |
Ford Motor Credit Co., LLC: | |||
2.90%, 2/16/28 | 568 | 492,400 |
Security | Principal Amount* (000's omitted) | Value | |
Automotive & Auto Parts (continued) | |||
Ford Motor Credit Co., LLC: (continued) | |||
3.37%, 11/17/23 | 881 | $ 867,192 | |
3.625%, 6/17/31 | 2,065 | 1,704,823 | |
3.815%, 11/2/27 | 4,294 | 3,856,766 | |
4.00%, 11/13/30 | 1,461 | 1,254,226 | |
4.125%, 8/17/27 | 6,184 | 5,681,945 | |
4.271%, 1/9/27 | 752 | 697,393 | |
5.584%, 3/18/24 | 403 | 401,092 | |
Goodyear Tire & Rubber Co. (The): | |||
5.00%, 7/15/29 | 1,995 | 1,765,819 | |
5.25%, 7/15/31 | 735 | 634,599 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(1) | 2,587 | 1,949,304 | |
Wheel Pros, Inc., 6.50%, 5/15/29(1) | 3,302 | 1,568,450 | |
$ 28,964,809 | |||
Banking & Thrifts — 0.2% | |||
JPMorgan Chase & Co., Series HH, 4.60% to 2/1/25(8)(9) | 2,385 | $ 2,218,050 | |
$ 2,218,050 | |||
Broadcasting — 1.8% | |||
Audacy Capital Corp., 6.75%, 3/31/29(1) | 2,316 | $ 175,785 | |
Banijay Entertainment SASU, 5.375%, 3/1/25(1) | 2,022 | 1,973,958 | |
Netflix, Inc., 5.875%, 2/15/25 | 2,155 | 2,188,719 | |
Playtika Holding Corp., 4.25%, 3/15/29(1) | 2,349 | 1,998,764 | |
Sirius XM Radio, Inc.: | |||
3.125%, 9/1/26(1) | 1,394 | 1,249,066 | |
3.875%, 9/1/31(1) | 1,401 | 1,060,264 | |
4.125%, 7/1/30(1) | 3,608 | 2,897,973 | |
5.00%, 8/1/27(1) | 2,980 | 2,744,473 | |
Townsquare Media, Inc., 6.875%, 2/1/26(1) | 2,038 | 1,902,290 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 1,183 | 1,020,649 | |
7.375%, 6/30/30(1) | 1,804 | 1,732,833 | |
$ 18,944,774 | |||
Building Materials — 2.0% | |||
Builders FirstSource, Inc.: | |||
4.25%, 2/1/32(1) | 3,014 | $ 2,644,304 | |
5.00%, 3/1/30(1) | 2,685 | 2,511,540 | |
Masonite International Corp., 5.375%, 2/1/28(1) | 1,059 | 1,020,818 | |
MIWD Holdco II, LLC/MIWD Finance Corp., 5.50%, 2/1/30(1) | 2,025 | 1,703,450 | |
PGT Innovations, Inc., 4.375%, 10/1/29(1) | 2,368 | 2,149,374 | |
Smyrna Ready Mix Concrete, LLC, 6.00%, 11/1/28(1) | 5,000 | 4,685,857 |
Security | Principal Amount* (000's omitted) | Value | |
Building Materials (continued) | |||
Standard Industries, Inc.: | |||
2.25%, 11/21/26(10) | EUR | 2,443 | $ 2,370,487 |
3.375%, 1/15/31(1) | 863 | 683,959 | |
4.375%, 7/15/30(1) | 2,932 | 2,534,373 | |
5.00%, 2/15/27(1) | 690 | 660,937 | |
$ 20,965,099 | |||
Cable & Satellite TV — 1.9% | |||
CCO Holdings, LLC/CCO Holdings Capital Corp.: | |||
4.50%, 8/15/30(1) | 5,982 | $ 5,029,663 | |
4.50%, 5/1/32 | 2,500 | 2,004,536 | |
4.75%, 3/1/30(1) | 4,255 | 3,666,815 | |
4.75%, 2/1/32(1) | 1,825 | 1,512,179 | |
5.00%, 2/1/28(1) | 1,895 | 1,754,898 | |
5.375%, 6/1/29(1) | 868 | 797,056 | |
6.375%, 9/1/29(1) | 3,715 | 3,533,929 | |
DISH Network Corp., 11.75%, 11/15/27(1) | 2,454 | 2,320,869 | |
$ 20,619,945 | |||
Capital Goods — 1.3% | |||
Chart Industries, Inc., 9.50%, 1/1/31(1) | 4,038 | $ 4,279,957 | |
Madison IAQ, LLC, 5.875%, 6/30/29(1) | 3,851 | 3,018,068 | |
Patrick Industries, Inc.: | |||
4.75%, 5/1/29(1) | 3,142 | 2,736,823 | |
7.50%, 10/15/27(1) | 415 | 408,377 | |
Roller Bearing Co. of America, Inc., 4.375%, 10/15/29(1) | 3,847 | 3,494,293 | |
$ 13,937,518 | |||
Chemicals — 2.6% | |||
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(1) | 2,220 | $ 1,831,500 | |
Avient Corp., 7.125%, 8/1/30(1) | 2,496 | 2,553,286 | |
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 3,935 | 3,777,629 | |
Herens Holdco S.a.r.l., 4.75%, 5/15/28(1) | 2,171 | 1,802,147 | |
Herens Midco S.a.r.l., 5.25%, 5/15/29(10) | EUR | 3,000 | 2,239,811 |
NOVA Chemicals Corp.: | |||
4.25%, 5/15/29(1) | 2,428 | 1,965,905 | |
4.875%, 6/1/24(1) | 1,632 | 1,608,422 | |
Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30(1) | 3,494 | 3,108,884 | |
SPCM S.A.: | |||
2.625%, 2/1/29(10) | EUR | 2,960 | 2,835,983 |
2.625%, 2/1/29(1) | EUR | 250 | 239,526 |
Valvoline, Inc., 3.625%, 6/15/31(1) | 2,654 | 2,209,190 |
Security | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
W.R. Grace Holdings, LLC: | |||
4.875%, 6/15/27(1) | 1,829 | $ 1,739,287 | |
7.375%, 3/1/31(1) | 2,211 | 2,218,194 | |
$ 28,129,764 | |||
Consumer Products — 1.4% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(1) | 790 | $ 697,175 | |
Central Garden & Pet Co.: | |||
4.125%, 10/15/30 | 1,215 | 1,042,756 | |
5.125%, 2/1/28 | 1,391 | 1,319,038 | |
Diamond BC B.V., 4.625%, 10/1/29(1) | 3,360 | 3,304,403 | |
Edgewell Personal Care Co., 4.125%, 4/1/29(1) | 2,936 | 2,603,825 | |
Energizer Gamma Acquisition B.V., 3.50%, 6/30/29(10) | EUR | 2,600 | 2,275,139 |
Tempur Sealy International, Inc., 3.875%, 10/15/31(1) | 3,954 | 3,283,651 | |
$ 14,525,987 | |||
Containers — 1.5% | |||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC: | |||
3.00%, 9/1/29(10) | EUR | 1,150 | $ 934,407 |
4.00%, 9/1/29(1) | 1,068 | 871,130 | |
Ball Corp., 3.125%, 9/15/31 | 3,800 | 3,168,262 | |
Canpack S.A./Canpack US, LLC, 3.875%, 11/15/29(1) | 3,826 | 3,072,845 | |
Crown Americas, LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/26 | 2,415 | 2,315,478 | |
Sealed Air Corp./Sealed Air Corp. U.S., 6.125%, 2/1/28(1) | 2,249 | 2,285,020 | |
Trivium Packaging Finance B.V.: | |||
5.50%, 8/15/26(1) | 2,613 | 2,539,192 | |
8.50%, 8/15/27(1) | 1,500 | 1,450,272 | |
$ 16,636,606 | |||
Diversified Financial Services — 3.0% | |||
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 3,011 | $ 3,098,394 | |
Ally Financial, Inc., Series B, 4.70% to 5/15/26(8)(9) | 3,182 | 2,356,669 | |
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(1) | 2,114 | 1,899,831 | |
Compass Group Diversified Holdings, LLC, 5.25%, 4/15/29(1) | 2,786 | 2,510,179 | |
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.: | |||
5.25%, 5/15/27 | 1,126 | 1,062,860 | |
6.25%, 5/15/26 | 2,030 | 2,000,159 | |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(1) | 3,426 | 3,069,572 | |
Jefferson Capital Holdings, LLC, 6.00%, 8/15/26(1) | 3,288 | 2,810,221 |
Security | Principal Amount* (000's omitted) | Value | |
Diversified Financial Services (continued) | |||
MSCI, Inc.: | |||
3.625%, 9/1/30(1) | 867 | $ 749,205 | |
3.875%, 2/15/31(1) | 2,176 | 1,908,994 | |
Oxford Finance, LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/1/27(1) | 2,769 | 2,575,439 | |
PRA Group, Inc., 7.375%, 9/1/25(1) | 2,428 | 2,422,565 | |
PROG Holdings, Inc., 6.00%, 11/15/29(1) | 1,660 | 1,495,602 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: | |||
2.875%, 10/15/26(1) | 2,036 | 1,815,116 | |
3.625%, 3/1/29(1) | 3,127 | 2,647,037 | |
4.00%, 10/15/33(1) | 425 | 333,057 | |
$ 32,754,900 | |||
Diversified Media — 1.9% | |||
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(1) | 1,226 | $ 1,056,487 | |
6.125%, 12/1/28(1) | 2,905 | 2,523,021 | |
Cars.com, Inc., 6.375%, 11/1/28(1) | 3,521 | 3,321,081 | |
Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28(1) | 3,782 | 2,873,980 | |
CMG Media Corp., 8.875%, 12/15/27(1) | 4,934 | 3,831,399 | |
Match Group Holdings II, LLC, 3.625%, 10/1/31(1) | 4,396 | 3,596,236 | |
National CineMedia, LLC: | |||
5.75%, 8/15/26(11) | 1,660 | 51,842 | |
5.875%, 4/15/28(1)(11) | 2,260 | 816,425 | |
Urban One, Inc., 7.375%, 2/1/28(1) | 2,139 | 1,944,843 | |
$ 20,015,314 | |||
Energy — 9.9% | |||
Aethon III BR, LLC, 12.40%, (1 mo. USD LIBOR + 7.50%), 10/1/25(2) | 3,437 | $ 3,426,153 | |
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(1) | 3,039 | 2,954,292 | |
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: | |||
5.75%, 3/1/27(1) | 3,242 | 3,140,307 | |
7.875%, 5/15/26(1) | 1,283 | 1,318,638 | |
Archrock Partners, L.P./Archrock Partners Finance Corp., 6.25%, 4/1/28(1) | 1,272 | 1,222,634 | |
Callon Petroleum Co.: | |||
7.50%, 6/15/30(1) | 1,157 | 1,100,233 | |
8.00%, 8/1/28(1) | 3,002 | 2,965,280 | |
Cheniere Energy Partners, L.P.: | |||
4.00%, 3/1/31 | 2,552 | 2,285,764 | |
4.50%, 10/1/29 | 1,896 | 1,786,149 |
Security | Principal Amount* (000's omitted) | Value | |
Energy (continued) | |||
Cheniere Energy, Inc., 4.625%, 10/15/28 | 2,512 | $ 2,396,700 | |
Chord Energy Corp., 6.375%, 6/1/26(1) | 1,560 | 1,556,379 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.00%, 5/1/29(1) | 2,637 | 2,493,893 | |
CVR Energy, Inc., 5.75%, 2/15/28(1) | 4,038 | 3,613,485 | |
DT Midstream, Inc., 4.125%, 6/15/29(1) | 2,690 | 2,387,020 | |
Energy Transfer, L.P., 5.00%, 5/15/50 | 2,087 | 1,774,103 | |
EQM Midstream Partners, L.P.: | |||
4.50%, 1/15/29(1) | 2,111 | 1,796,749 | |
4.75%, 1/15/31(1) | 2,377 | 1,950,913 | |
6.00%, 7/1/25(1) | 410 | 403,330 | |
6.50%, 7/1/27(1) | 1,121 | 1,094,476 | |
7.50%, 6/1/30(1) | 1,881 | 1,827,779 | |
Kinetik Holdings, L.P., 5.875%, 6/15/30(1) | 3,659 | 3,509,127 | |
Nabors Industries, Ltd., 7.50%, 1/15/28(1) | 1,118 | 1,018,785 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 5,066 | 5,000,497 | |
New Fortress Energy, Inc., 6.50%, 9/30/26(1) | 3,895 | 3,591,620 | |
Occidental Petroleum Corp.: | |||
6.125%, 1/1/31 | 1,739 | 1,820,011 | |
6.20%, 3/15/40 | 736 | 756,639 | |
8.50%, 7/15/27 | 3,859 | 4,253,197 | |
8.875%, 7/15/30 | 3,417 | 4,018,290 | |
Parkland Corp.: | |||
4.50%, 10/1/29(1) | 2,371 | 2,080,268 | |
4.625%, 5/1/30(1) | 2,389 | 2,081,497 | |
Permian Resources Operating, LLC: | |||
5.875%, 7/1/29(1) | 4,333 | 4,104,753 | |
7.75%, 2/15/26(1) | 1,675 | 1,695,661 | |
Plains All American Pipeline, L.P., Series B, 8.974%, (3 mo. USD LIBOR + 4.11%)(2)(8) | 2,885 | 2,567,650 | |
Precision Drilling Corp.: | |||
6.875%, 1/15/29(1) | 1,307 | 1,200,447 | |
7.125%, 1/15/26(1) | 1,095 | 1,064,790 | |
Shelf Drilling Holdings, Ltd.: | |||
8.25%, 2/15/25(1) | 2,176 | 1,982,847 | |
8.875%, 11/15/24(1) | 630 | 630,630 | |
Southwestern Energy Co.: | |||
4.75%, 2/1/32 | 2,583 | 2,281,214 | |
5.375%, 2/1/29(10) | 2,500 | 1,870,130 | |
Sunoco, L.P./Sunoco Finance Corp.: | |||
4.50%, 5/15/29 | 1,297 | 1,169,971 | |
4.50%, 4/30/30 | 2,000 | 1,787,278 | |
Superior Plus, L.P./Superior General Partner, Inc., 4.50%, 3/15/29(1) | 2,921 | 2,590,255 | |
Tap Rock Resources, LLC, 7.00%, 10/1/26(1) | 4,270 | 4,106,907 |
Security | Principal Amount* (000's omitted) | Value | |
Energy (continued) | |||
Transocean Poseidon, Ltd., 6.875%, 2/1/27(1) | 1,259 | $ 1,229,092 | |
Transocean, Inc., 8.75%, 2/15/30(1) | 1,342 | 1,355,420 | |
Venture Global Calcasieu Pass, LLC: | |||
3.875%, 8/15/29(1) | 2,380 | 2,140,343 | |
3.875%, 11/1/33(1) | 1,117 | 943,070 | |
4.125%, 8/15/31(1) | 1,449 | 1,285,317 | |
Weatherford International, Ltd., 8.625%, 4/30/30(1) | 2,338 | 2,384,013 | |
Western Midstream Operating, L.P.: | |||
4.50%, 3/1/28 | 224 | 213,983 | |
4.75%, 8/15/28 | 224 | 215,200 | |
$ 106,443,179 | |||
Entertainment & Film — 0.3% | |||
Cinemark USA, Inc.: | |||
5.25%, 7/15/28(1) | 2,166 | $ 1,933,528 | |
5.875%, 3/15/26(1) | 588 | 562,413 | |
8.75%, 5/1/25(1) | 247 | 252,272 | |
$ 2,748,213 | |||
Environmental — 1.8% | |||
Clean Harbors, Inc.: | |||
4.875%, 7/15/27(1) | 1,029 | $ 997,549 | |
5.125%, 7/15/29(1) | 1,117 | 1,074,811 | |
6.375%, 2/1/31(1) | 585 | 597,501 | |
Covanta Holding Corp.: | |||
4.875%, 12/1/29(1) | 4,689 | 4,177,430 | |
5.00%, 9/1/30 | 804 | 712,806 | |
GFL Environmental, Inc.: | |||
3.50%, 9/1/28(1) | 5,074 | 4,617,650 | |
3.75%, 8/1/25(1) | 669 | 647,561 | |
4.75%, 6/15/29(1) | 7,293 | 6,794,814 | |
$ 19,620,122 | |||
Food & Drug Retail — 1.1% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC: | |||
4.875%, 2/15/30(1) | 2,492 | $ 2,327,142 | |
5.875%, 2/15/28(1) | 1,807 | 1,791,134 | |
Arko Corp., 5.125%, 11/15/29(1) | 4,194 | 3,402,173 | |
Ingles Markets, Inc., 4.00%, 6/15/31(1) | 3,410 | 2,948,831 | |
Murphy Oil USA, Inc.: | |||
4.75%, 9/15/29 | 210 | 195,063 | |
5.625%, 5/1/27 | ��� 1,190 | 1,174,209 | |
$ 11,838,552 |
Security | Principal Amount* (000's omitted) | Value | |
Food, Beverage & Tobacco — 2.6% | |||
BellRing Brands, Inc., 7.00%, 3/15/30(1) | 3,553 | $ 3,643,169 | |
Chobani, LLC/Chobani Finance Corp., Inc.: | |||
4.625%, 11/15/28(1) | 1,650 | 1,515,631 | |
7.50%, 4/15/25(1) | 3,194 | 3,135,294 | |
Darling Ingredients, Inc., 6.00%, 6/15/30(1) | 2,700 | 2,673,512 | |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(1) | 2,154 | 2,064,609 | |
Kraft Heinz Foods Co.: | |||
4.375%, 6/1/46 | 525 | 459,901 | |
4.625%, 10/1/39 | 1,361 | 1,255,209 | |
5.50%, 6/1/50 | 369 | 372,937 | |
Performance Food Group, Inc.: | |||
4.25%, 8/1/29(1) | 4,485 | 4,086,973 | |
5.50%, 10/15/27(1) | 1,504 | 1,475,494 | |
6.875%, 5/1/25(1) | 890 | 898,426 | |
Pilgrim's Pride Corp., 3.50%, 3/1/32 | 3,553 | 2,863,522 | |
US Foods, Inc., 4.75%, 2/15/29(1) | 3,511 | 3,269,066 | |
$ 27,713,743 | |||
Gaming — 3.1% | |||
Allwyn Entertainment Financing UK PLC, 7.875%, 4/30/29(1) | 2,654 | $ 2,687,440 | |
Caesars Entertainment, Inc.: | |||
4.625%, 10/15/29(1) | 784 | 688,505 | |
6.25%, 7/1/25(1) | 4,206 | 4,214,919 | |
7.00%, 2/15/30(1) | 1,535 | 1,550,081 | |
8.125%, 7/1/27(1) | 2,617 | 2,672,538 | |
CDI Escrow Issuer, Inc., 5.75%, 4/1/30(1) | 3,352 | 3,235,103 | |
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.: | |||
4.625%, 1/15/29(1) | 1,303 | 1,142,041 | |
6.75%, 1/15/30(1) | 1,101 | 892,901 | |
International Game Technology PLC: | |||
4.125%, 4/15/26(1) | 1,237 | 1,188,701 | |
6.25%, 1/15/27(1) | 1,848 | 1,875,600 | |
6.50%, 2/15/25(1) | 1,009 | 1,022,702 | |
Jacobs Entertainment, Inc., 6.75%, 2/15/29(1) | 3,759 | 3,273,713 | |
MGM Resorts International: | |||
4.75%, 10/15/28 | 2,206 | 2,064,997 | |
5.50%, 4/15/27 | 779 | 763,086 | |
Raptor Acquisition Corp./Raptor Co.-Issuer, LLC, 4.875%, 11/1/26(1) | 3,500 | 3,276,140 | |
Scientific Games International, Inc., 7.00%, 5/15/28(1) | 2,834 | 2,830,699 | |
$ 33,379,166 |
Security | Principal Amount* (000's omitted) | Value | |
Healthcare — 9.3% | |||
Athenahealth Group, Inc., 6.50%, 2/15/30(1) | 3,988 | $ 3,279,366 | |
Avantor Funding, Inc., 3.875%, 7/15/28(10) | EUR | 4,400 | 4,472,226 |
Catalent Pharma Solutions, Inc., 3.50%, 4/1/30(1) | 3,593 | 3,049,914 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 3,104 | 2,532,238 | |
3.00%, 10/15/30 | 3,896 | 3,324,320 | |
3.375%, 2/15/30 | 3,616 | 3,196,038 | |
4.25%, 12/15/27 | 1,716 | 1,641,388 | |
4.625%, 12/15/29 | 3,802 | 3,586,807 | |
Encompass Health Corp.: | |||
4.625%, 4/1/31 | 2,043 | 1,833,832 | |
4.75%, 2/1/30 | 1,044 | 964,032 | |
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(1)(11) | 1,153 | 821,513 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo US, Inc., 6.125%, 4/1/29(1)(11) | 2,774 | 1,946,240 | |
Grifols Escrow Issuer S.A., 4.75%, 10/15/28(1) | 4,906 | 3,938,872 | |
HCA, Inc.: | |||
5.875%, 2/15/26 | 2,349 | 2,386,429 | |
5.875%, 2/1/29 | 2,038 | 2,101,896 | |
HealthEquity, Inc., 4.50%, 10/1/29(1) | 3,483 | 3,118,852 | |
Horizon Therapeutics USA, Inc., 5.50%, 8/1/27(1) | 3,070 | 3,156,344 | |
IQVIA, Inc.: | |||
2.25%, 3/15/29(10) | EUR | 1,816 | 1,672,156 |
5.00%, 5/15/27(1) | 1,329 | 1,298,667 | |
Jazz Securities DAC, 4.375%, 1/15/29(1) | 1,910 | 1,757,257 | |
Legacy LifePoint Health, LLC, 4.375%, 2/15/27(1) | 587 | 500,268 | |
LifePoint Health, Inc., 5.375%, 1/15/29(1) | 4,397 | 2,760,571 | |
Medline Borrower, L.P., 5.25%, 10/1/29(1) | 7,014 | 6,073,760 | |
ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29(1) | 1,123 | 906,823 | |
ModivCare, Inc., 5.875%, 11/15/25(1) | 2,469 | 2,361,623 | |
Molina Healthcare, Inc.: | |||
3.875%, 11/15/30(1) | 2,889 | 2,551,082 | |
3.875%, 5/15/32(1) | 2,207 | 1,893,590 | |
Option Care Health, Inc., 4.375%, 10/31/29(1) | 3,864 | 3,477,760 | |
Organon & Co./Organon Foreign Debt Co.-Issuer B.V., 5.125%, 4/30/31(1) | 1,850 | 1,650,243 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(1) | ��� 3,441 | 2,756,465 | |
Perrigo Finance Unlimited Co.: | |||
4.40%, 6/15/30 | 4,350 | 3,932,911 | |
4.90%, 12/15/44 | 685 | 498,659 | |
PRA Health Sciences, Inc., 2.875%, 7/15/26(1) | 866 | 791,427 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(1) | 1,328 | 1,106,157 | |
Team Health Holdings, Inc., 6.375%, 2/1/25(1) | 2,682 | 1,386,398 |
Security | Principal Amount* (000's omitted) | Value | |
Healthcare (continued) | |||
Tenet Healthcare Corp.: | |||
4.375%, 1/15/30 | 272 | $ 250,255 | |
4.625%, 9/1/24 | 1,476 | 1,468,583 | |
5.125%, 11/1/27 | 2,855 | 2,773,677 | |
6.125%, 10/1/28 | 3,985 | 3,871,062 | |
6.875%, 11/15/31 | 1,683 | 1,650,880 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(1) | 5,799 | 5,181,868 | |
Varex Imaging Corp., 7.875%, 10/15/27(1) | 1,905 | 1,887,979 | |
$ 99,810,428 | |||
Homebuilders & Real Estate — 3.3% | |||
Brookfield Property REIT, Inc./BPR Cumulus, LLC/BPR Nimbus, LLC/GGSI Sellco, LLC, 4.50%, 4/1/27(1) | 2,058 | $ 1,704,477 | |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(1) | 1,227 | 1,154,650 | |
CTR Partnership, L.P./CareTrust Capital Corp., 3.875%, 6/30/28(1) | 3,770 | 3,296,846 | |
Dycom Industries, Inc., 4.50%, 4/15/29(1) | 1,923 | 1,757,420 | |
Greystar Real Estate Partners, LLC, 5.75%, 12/1/25(1) | 2,000 | 1,958,400 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 1,155 | 1,026,457 | |
3.75%, 9/15/30(1) | 3,492 | 2,747,888 | |
6.00%, 4/15/25(1) | 1,287 | 1,252,542 | |
KB Home: | |||
4.00%, 6/15/31 | 162 | 140,350 | |
4.80%, 11/15/29 | 1,044 | 975,227 | |
M/I Homes, Inc., 4.95%, 2/1/28 | 1,537 | 1,441,791 | |
MGM Growth Properties Operating Partnership, L.P./MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 585 | 576,357 | |
Outfront Media Capital, LLC/Outfront Media Capital Corp.: | |||
4.625%, 3/15/30(1) | 929 | 785,163 | |
6.25%, 6/15/25(1) | 2,319 | 2,323,911 | |
Taylor Morrison Communities, Inc.: | |||
5.75%, 1/15/28(1) | 1,071 | 1,062,764 | |
5.875%, 6/15/27(1) | 1,493 | 1,490,872 | |
TopBuild Corp., 4.125%, 2/15/32(1) | 2,753 | 2,369,701 | |
VICI Properties, L.P./VICI Note Co., Inc.: | |||
3.75%, 2/15/27(1) | 543 | 508,164 | |
4.125%, 8/15/30(1) | 1,859 | 1,659,891 | |
4.625%, 12/1/29(1) | 4,004 | 3,723,598 | |
5.625%, 5/1/24(1) | 2,505 | 2,495,133 | |
Vivion Investments S.a.r.l., 3.00%, 8/8/24(10) | EUR | 800 | 645,833 |
$ 35,097,435 |
Security | Principal Amount* (000's omitted) | Value | |
Insurance — 1.0% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 2,488 | $ 2,325,803 | |
AmWINS Group, Inc., 4.875%, 6/30/29(1) | 2,466 | 2,239,933 | |
BroadStreet Partners, Inc., 5.875%, 4/15/29(1) | 3,811 | 3,309,576 | |
Jones DesLauriers Insurance Management, Inc., 10.50%, 12/15/30(1) | 3,051 | 3,103,859 | |
$ 10,979,171 | |||
Leisure — 3.2% | |||
Boyne USA, Inc., 4.75%, 5/15/29(1) | 2,268 | $ 2,056,404 | |
Carnival Corp., 5.75%, 3/1/27(1) | 1,786 | 1,471,842 | |
Life Time, Inc.: | |||
5.75%, 1/15/26(1) | 1,452 | 1,419,298 | |
8.00%, 4/15/26(1) | 2,979 | 2,965,149 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 5/15/28(1)(12) | 1,830 | 1,837,278 | |
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 2,637 | 2,481,198 | |
NCL Corp., Ltd.: | |||
3.625%, 12/15/24(1) | 842 | 790,353 | |
5.875%, 3/15/26(1) | 792 | 683,058 | |
5.875%, 2/15/27(1) | 946 | 893,248 | |
7.75%, 2/15/29(1) | 792 | 671,331 | |
NCL Finance, Ltd., 6.125%, 3/15/28(1) | 1,732 | 1,400,218 | |
Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27(1) | 2,973 | 3,165,591 | |
Sabre GLBL, Inc.: | |||
9.25%, 4/15/25(1) | 1,100 | 1,015,845 | |
11.25%, 12/15/27(1) | 1,880 | 1,653,225 | |
SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29(1) | 3,227 | 2,907,301 | |
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(1) | 2,674 | 2,485,309 | |
Viking Cruises, Ltd.: | |||
5.875%, 9/15/27(1) | 4,354 | 3,740,456 | |
6.25%, 5/15/25(1) | 1,820 | 1,730,013 | |
7.00%, 2/15/29(1) | 753 | 636,993 | |
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29(1) | 521 | 440,807 | |
$ 34,444,917 | |||
Metals & Mining — 1.4% | |||
Eldorado Gold Corp., 6.25%, 9/1/29(1) | 2,968 | $ 2,762,956 | |
First Quantum Minerals, Ltd.: | |||
6.875%, 3/1/26(1) | 448 | 440,288 | |
7.50%, 4/1/25(1) | 2,180 | 2,176,948 | |
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 2,400 | 2,256,524 |
Security | Principal Amount* (000's omitted) | Value | |
Metals & Mining (continued) | |||
Hudbay Minerals, Inc.: | |||
4.50%, 4/1/26(1) | 2,459 | $ 2,292,201 | |
6.125%, 4/1/29(1) | 1,069 | 1,000,825 | |
New Gold, Inc., 7.50%, 7/15/27(1) | 1,761 | 1,699,171 | |
Novelis Corp.: | |||
3.25%, 11/15/26(1) | 1,755 | 1,608,561 | |
4.75%, 1/30/30(1) | 1,281 | 1,161,084 | |
$ 15,398,558 | |||
Paper — 0.4% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 4,583 | $ 3,913,780 | |
$ 3,913,780 | |||
Publishing & Printing — 0.8% | |||
LABL, Inc.: | |||
5.875%, 11/1/28(1) | 767 | $ 708,995 | |
8.25%, 11/1/29(1) | 2,037 | 1,772,190 | |
McGraw-Hill Education, Inc.: | |||
5.75%, 8/1/28(1) | 2,092 | 1,860,034 | |
8.00%, 8/1/29(1) | 4,629 | 3,985,106 | |
$ 8,326,325 | |||
Railroad — 0.0%(6) | |||
Watco Cos., LLC/Watco Finance Corp., 6.50%, 6/15/27(1) | 376 | $ 365,019 | |
$ 365,019 | |||
Restaurant — 1.5% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.: | |||
3.875%, 1/15/28(1) | 1,761 | $ 1,654,156 | |
4.00%, 10/15/30(1) | 4,616 | 4,033,837 | |
5.75%, 4/15/25(1) | 581 | 582,907 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 4,883 | 4,969,527 | |
IRB Holding Corp., 7.00%, 6/15/25(1) | 2,978 | 3,017,443 | |
Yum! Brands, Inc., 3.625%, 3/15/31 | 2,452 | 2,169,057 | |
$ 16,426,927 | |||
Services — 5.1% | |||
Adtalem Global Education, Inc., 5.50%, 3/1/28(1) | 3,652 | $ 3,473,180 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp.: | |||
6.625%, 7/15/26(1) | 2,712 | 2,617,884 | |
9.75%, 7/15/27(1) | 2,000 | 1,863,076 |
Security | Principal Amount* (000's omitted) | Value | |
Services (continued) | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
4.625%, 6/1/28(1) | 1,076 | $ 937,750 | |
4.625%, 6/1/28(1) | 1,231 | 1,070,675 | |
APi Group DE, Inc., 4.75%, 10/15/29(1) | 3,657 | 3,316,570 | |
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(1) | 5,653 | 5,192,422 | |
Clarivate Science Holdings Corp., 4.875%, 7/1/29(1) | 2,780 | 2,506,939 | |
Gartner, Inc.: | |||
3.625%, 6/15/29(1) | 605 | 536,328 | |
3.75%, 10/1/30(1) | 2,100 | 1,836,165 | |
4.50%, 7/1/28(1) | 1,449 | 1,364,210 | |
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC, 7.125%, 7/31/26(1) | 5,546 | 5,412,078 | |
Hertz Corp. (The): | |||
4.625%, 12/1/26(1) | 372 | 335,425 | |
5.00%, 12/1/29(1) | 2,980 | 2,440,679 | |
Korn Ferry, 4.625%, 12/15/27(1) | 4,099 | 3,898,661 | |
NESCO Holdings II, Inc., 5.50%, 4/15/29(1) | 1,776 | 1,606,374 | |
Ritchie Bros Holdings, Inc.: | |||
6.75%, 3/15/28(1) | 1,082 | 1,121,223 | |
7.75%, 3/15/31(1) | 1,945 | 2,068,994 | |
SRS Distribution, Inc.: | |||
6.00%, 12/1/29(1) | 1,481 | 1,208,229 | |
6.125%, 7/1/29(1) | 2,668 | 2,203,875 | |
Summer (BC) Bidco B, LLC, 5.50%, 10/31/26(1) | 2,854 | 2,397,740 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 4,401 | 4,130,523 | |
WESCO Distribution, Inc., 7.25%, 6/15/28(1) | 1,743 | 1,791,506 | |
White Cap Buyer, LLC, 6.875%, 10/15/28(1) | 755 | 655,481 | |
White Cap Parent, LLC, 8.25%, (8.25% cash or 9.00% PIK), 3/15/26(1)(13) | 1,481 | 1,359,538 | |
$ 55,345,525 | |||
Steel — 0.8% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 2,155 | $ 2,181,140 | |
ATI, Inc., 5.875%, 12/1/27 | 86 | 84,082 | |
Big River Steel, LLC/BRS Finance Corp., 6.625%, 1/31/29(1) | 1,292 | 1,282,652 | |
Cleveland-Cliffs, Inc., 6.75%, 3/15/26(1) | 3,792 | 3,861,444 | |
TMS International Corp., 6.25%, 4/15/29(1) | 2,204 | �� 1,710,862 | |
$ 9,120,180 | |||
Super Retail — 3.6% | |||
Asbury Automotive Group, Inc.: | |||
4.625%, 11/15/29(1) | 839 | $ 747,718 | |
4.75%, 3/1/30 | 743 | 660,258 |
Security | Principal Amount* (000's omitted) | Value | |
Super Retail (continued) | |||
Asbury Automotive Group, Inc.: (continued) | |||
5.00%, 2/15/32(1) | 2,334 | $ 2,013,330 | |
Bath & Body Works, Inc.: | |||
6.75%, 7/1/36 | 694 | 618,631 | |
6.875%, 11/1/35 | 2,146 | 1,945,243 | |
6.95%, 3/1/33 | 1,621 | 1,431,860 | |
7.60%, 7/15/37 | 855 | 760,456 | |
9.375%, 7/1/25(1) | 289 | 309,615 | |
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28(1) | 3,149 | 3,156,211 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(1) | 1,497 | 1,329,847 | |
Ken Garff Automotive, LLC, 4.875%, 9/15/28(1) | 2,048 | 1,790,689 | |
Kohl's Corp., 3.625%, 5/1/31 | 2,208 | 1,508,248 | |
LCM Investments Holdings II, LLC, 4.875%, 5/1/29(1) | 2,840 | 2,423,978 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 905 | 784,667 | |
4.375%, 1/15/31(1) | 3,144 | 2,702,955 | |
Macy's Retail Holdings, LLC, 5.875%, 4/1/29(1) | 1,169 | 1,071,891 | |
Metis Merger Sub, LLC, 6.50%, 5/15/29(1) | 5,141 | 4,362,440 | |
PetSmart, Inc./PetSmart Finance Corp.: | |||
4.75%, 2/15/28(1) | 2,225 | 2,105,537 | |
7.75%, 2/15/29(1) | 3,088 | 3,047,966 | |
Sonic Automotive, Inc.: | |||
4.625%, 11/15/29(1) | 1,961 | 1,647,318 | |
4.875%, 11/15/31(1) | 1,634 | 1,321,040 | |
Victoria's Secret & Co., 4.625%, 7/15/29(1) | 1,811 | 1,466,530 | |
William Carter Co. (The), 5.625%, 3/15/27(1) | 1,510 | 1,493,126 | |
$ 38,699,554 | |||
Technology — 4.7% | |||
Black Knight InfoServ, LLC, 3.625%, 9/1/28(1) | 2,048 | $ 1,853,440 | |
Booz Allen Hamilton, Inc.: | |||
3.875%, 9/1/28(1) | 2,659 | 2,439,152 | |
4.00%, 7/1/29(1) | 1,006 | 914,713 | |
Ciena Corp., 4.00%, 1/31/30(1) | 1,543 | 1,357,265 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 653 | 654,837 | |
Clarios Global, L.P./Clarios US Finance Co.: | |||
4.375%, 5/15/26(10) | EUR | 2,958 | 3,126,509 |
8.50%, 5/15/27(1) | 3,369 | 3,395,014 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 2,284 | 1,964,731 | |
Coherent Corp., 5.00%, 12/15/29(1) | 2,538 | 2,287,537 | |
Fair Isaac Corp., 4.00%, 6/15/28(1) | 2,227 | 2,077,852 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 4,502 | 3,903,489 | |
McAfee Corp., 7.375%, 2/15/30(1) | 2,042 | 1,697,033 | |
NCR Corp.: | |||
5.125%, 4/15/29(1) | 1,021 | 884,287 |
Security | Principal Amount* (000's omitted) | Value | |
Technology (continued) | |||
NCR Corp.: (continued) | |||
5.25%, 10/1/30(1) | 1,566 | $ 1,318,198 | |
ON Semiconductor Corp., 3.875%, 9/1/28(1) | 3,132 | 2,822,710 | |
Open Text Corp., 3.875%, 2/15/28(1) | 1,596 | 1,417,017 | |
Open Text Holdings, Inc., 4.125%, 2/15/30(1) | 1,481 | 1,266,895 | |
Presidio Holdings, Inc.: | |||
4.875%, 2/1/27(1) | 412 | 390,718 | |
8.25%, 2/1/28(1) | 4,481 | 4,224,033 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29 | 803 | 697,422 | |
9.625%, 12/1/32(1) | 2,132 | 2,340,293 | |
Sensata Technologies B.V., 5.00%, 10/1/25(1) | 842 | 830,245 | |
Sensata Technologies, Inc., 3.75%, 2/15/31(1) | 3,219 | 2,800,007 | |
SS&C Technologies, Inc., 5.50%, 9/30/27(1) | 961 | 931,465 | |
Viavi Solutions, Inc., 3.75%, 10/1/29(1) | 2,295 | 1,919,125 | |
VM Consolidated, Inc., 5.50%, 4/15/29(1) | 3,657 | 3,423,135 | |
$ 50,937,122 | |||
Telecommunications — 4.1% | |||
Altice France Holding S.A., 10.50%, 5/15/27(1) | 1,614 | $ 1,193,495 | |
Altice France S.A.: | |||
5.125%, 7/15/29(1) | 1,060 | 784,666 | |
5.50%, 1/15/28(1) | 1,052 | 829,238 | |
8.125%, 2/1/27(1) | 4,715 | 4,214,401 | |
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(1) | 5,056 | 4,825,310 | |
Iliad Holding SASU: | |||
6.50%, 10/15/26(1) | 2,687 | 2,587,877 | |
7.00%, 10/15/28(1) | 1,592 | 1,507,841 | |
LCPR Senior Secured Financing DAC: | |||
5.125%, 7/15/29(1) | 2,163 | 1,855,054 | |
6.75%, 10/15/27(1) | 425 | 404,282 | |
Level 3 Financing, Inc., 4.25%, 7/1/28(1) | 2,084 | 1,217,256 | |
Sprint Capital Corp., 6.875%, 11/15/28 | 3,985 | 4,299,743 | |
Sprint, LLC: | |||
7.125%, 6/15/24 | 1,813 | 1,844,312 | |
7.625%, 2/15/25 | 3,285 | 3,388,109 | |
7.625%, 3/1/26 | 1,199 | 1,270,716 | |
7.875%, 9/15/23 | 2,800 | 2,825,186 | |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26 | 844 | 786,211 | |
2.625%, 2/15/29 | 1,121 | 991,666 | |
2.875%, 2/15/31 | 903 | 783,366 | |
4.75%, 2/1/28 | 1,095 | 1,090,570 | |
Viasat, Inc., 5.625%, 4/15/27(1) | 888 | 824,521 |
Security | Principal Amount* (000's omitted) | Value | |
Telecommunications (continued) | |||
Virgin Media Finance PLC, 5.00%, 7/15/30(1) | 1,029 | $ 868,068 | |
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(10) | GBP | 1,106 | 1,146,330 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 7/15/28(1) | 2,420 | 2,172,151 | |
Ziggo B.V., 4.875%, 1/15/30(1) | 2,756 | 2,376,377 | |
$ 44,086,746 | |||
Transport Excluding Air & Rail — 0.3% | |||
Seaspan Corp., 5.50%, 8/1/29(1) | 3,386 | $ 2,712,999 | |
$ 2,712,999 | |||
Utility — 3.4% | |||
Calpine Corp.: | |||
4.50%, 2/15/28(1) | 1,810 | $ 1,688,554 | |
4.625%, 2/1/29(1) | 1,060 | 922,292 | |
5.00%, 2/1/31(1) | 420 | 354,309 | |
5.125%, 3/15/28(1) | 3,554 | 3,287,500 | |
Ferrellgas, L.P./Ferrellgas Finance Corp., 5.875%, 4/1/29(1) | 2,398 | 2,028,543 | |
FirstEnergy Corp.: | |||
2.65%, 3/1/30 | 750 | 648,570 | |
Series B, 4.15%, 7/15/27 | 2,275 | 2,215,702 | |
Leeward Renewable Energy Operations, LLC, 4.25%, 7/1/29(1) | 2,400 | 2,162,396 | |
NextEra Energy Operating Partners, L.P., 4.50%, 9/15/27(1) | 1,628 | 1,532,982 | |
NRG Energy, Inc.: | |||
3.375%, 2/15/29(1) | 970 | 822,263 | |
3.625%, 2/15/31(1) | 1,617 | 1,311,289 | |
3.875%, 2/15/32(1) | 3,164 | 2,558,837 | |
5.25%, 6/15/29(1) | 1,247 | 1,151,684 | |
10.25% to 3/15/28(1)(8)(9) | 2,762 | 2,712,855 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 1,596 | 1,486,237 | |
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., 5.00%, 6/1/31(1) | 2,345 | 2,055,920 | |
TerraForm Power Operating, LLC, 5.00%, 1/31/28(1) | 2,981 | 2,857,587 | |
TransAlta Corp., 7.75%, 11/15/29 | 2,044 | 2,148,837 | |
Vistra Operations Co., LLC: | |||
4.375%, 5/1/29(1) | 2,094 | 1,874,042 | |
5.00%, 7/31/27(1) | 2,344 | 2,231,315 | |
$ 36,051,714 | |||
Total Corporate Bonds (identified cost $1,007,068,485) | $ 931,996,357 |
Preferred Stocks — 0.4% |
Security | Shares | Value | |
Services — 0.4% | |||
WESCO International, Inc., Series A, 10.625% to 6/22/25(9) | 147,488 | $ 4,011,674 | |
Total Preferred Stocks (identified cost $4,129,729) | $ 4,011,674 |
Senior Floating-Rate Loans — 3.8%(14) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Air Transportation — 0.4% | |||
Mileage Plus Holdings, LLC, Term Loan, 10.213%, (3 mo. USD LIBOR + 5.25%), 6/21/27 | $ | 3,692 | $ 3,847,961 |
$ 3,847,961 | |||
Gaming — 0.6% | |||
Peninsula Pacific Entertainment, LLC, Term Loan, 13.00%, 12/24/29(15) | $ | 2,225 | $ 2,225,044 |
Spectacle Gary Holdings, LLC, Term Loan, 9.275%, (1 mo. USD LIBOR + 4.25%), 12/10/28 | 4,513 | 4,383,252 | |
$ 6,608,296 | |||
Healthcare — 0.7% | |||
Jazz Financing Lux S.a.r.l., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 5/5/28 | $ | 2,614 | $ 2,613,613 |
Pluto Acquisition I, Inc., Term Loan, 6/22/26(16) | 2,827 | 2,059,997 | |
Verscend Holding Corp., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 8/27/25 | 2,408 | 2,408,371 | |
$ 7,081,981 | |||
Leisure — 0.2% | |||
Peloton Interactive, Inc., Term Loan, 11.757%, (SOFR + 6.50%), 5/25/27 | $ | 2,071 | $ 2,072,383 |
$ 2,072,383 | |||
Restaurant — 0.3% | |||
IRB Holding Corp., Term Loan, 8.082%, (SOFR + 3.00%), 12/15/27 | $ | 3,835 | $ 3,781,886 |
$ 3,781,886 | |||
Services — 0.8% | |||
AlixPartners, LLP, Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 2/4/28 | $ | 2,874 | $ 2,871,160 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Services (continued) | |||
Spin Holdco, Inc., Term Loan, 8.986%, (3 mo. USD LIBOR + 4.00%), 3/4/28 | $ | 3,471 | $ 2,897,178 |
Travelport Finance (Luxembourg) S.a.r.l., Term Loan, 13.775%, (1 mo. USD LIBOR + 8.75%), 6.525% cash, 7.25% PIK, 2/28/25 | 2,695 | 2,732,556 | |
$ 8,500,894 | |||
Super Retail — 0.6% | |||
Hanesbrands, Inc., Term Loan, 3/8/30(16) | $ | 2,258 | $ 2,249,533 |
Michaels Companies, Inc., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 4/15/28 | 2,330 | 2,142,456 | |
PetSmart, Inc., Term Loan, 8.832%, (SOFR + 3.75%), 2/11/28 | 2,334 | 2,322,588 | |
$ 6,714,577 | |||
Technology — 0.2% | |||
Ciena Corporation, Term Loan, 7.444%, (SOFR + 2.50%), 1/18/30 | $ | 670 | $ 671,047 |
Clarios Global, L.P., Term Loan, 4/26/30(16) | 934 | 932,832 | |
Riverbed Technology, Inc., Term Loan, 12.84%, (3 mo. USD LIBOR + 8.00%), 10.84% cash, 2.00% PIK, 12/7/26 | 1,229 | 392,512 | |
$ 1,996,391 | |||
Total Senior Floating-Rate Loans (identified cost $42,409,821) | $ 40,604,369 |
Miscellaneous — 0.4% |
Security | Principal Amount/ Shares | Value | |
Containers — 0.0% | |||
ACC Claims Holdings, LLC(3)(4) | 8,415,190 | $ 0 | |
$ 0 | |||
Gaming — 0.4% | |||
PGP Investors, LLC, Membership Interests(3)(4)(5) | 15,849 | $ 4,343,090 | |
$ 4,343,090 |
Security | Principal Amount/ Shares | Value | |
Services — 0.0%(6) | |||
Hertz Corp., Escrow Certificates(4) | $ | 502,000 | $ 40,160 |
$ 40,160 | |||
Total Miscellaneous (identified cost $0) | $ 4,383,250 |
Short-Term Investments — 4.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(17) | 44,545,419 | $ 44,545,419 | |
Total Short-Term Investments (identified cost $44,545,419) | $ 44,545,419 | ||
Total Investments — 99.0% (identified cost $1,140,262,097) | $1,064,298,434 | ||
Other Assets, Less Liabilities — 1.0% | $ 10,922,785 | ||
Net Assets — 100.0% | $1,075,221,219 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $759,276,103 or 70.6% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9). |
(4) | Non-income producing security. |
(5) | Restricted security (see Note 5). |
(6) | Amount is less than 0.05%. |
(7) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(8) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(9) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(10) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $23,589,011 or 2.2% of the Portfolio's net assets. |
(11) | Issuer is in default with respect to interest and/or principal payments. |
(12) | When-issued security. |
(13) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(14) | 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 London Interbank Offered Rate (“LIBOR”) or 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. |
(15) | Fixed-rate loan. |
(16) | This Senior Loan will settle after April 30, 2023, at which time the interest rate will be determined. |
(17) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 11,222,150 | EUR | 10,106,862 | HSBC Bank USA, N.A. | 7/31/23 | $ 30,358 | $ — |
USD | 10,105,325 | EUR | 9,098,889 | HSBC Bank USA, N.A. | 7/31/23 | 29,708 | — |
USD | 1,163,293 | GBP | 931,371 | Citibank, N.A. | 7/31/23 | — | (9,177) |
$60,066 | $(9,177) |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,095,716,678) | $ 1,019,753,015 |
Affiliated investment, at value (identified cost $44,545,419) | 44,545,419 |
Cash | 177,808 |
Foreign currency, at value (identified cost $2,285) | 2,283 |
Interest receivable | 15,502,485 |
Dividends receivable from affiliated investment | 200,820 |
Receivable for investments sold | 3,441,805 |
Receivable for open forward foreign currency exchange contracts | 60,066 |
Total assets | $1,083,683,701 |
Liabilities | |
Payable for investments purchased | $ 5,907,794 |
Payable for when-issued securities | 1,830,000 |
Payable for open forward foreign currency exchange contracts | 9,177 |
Payable to affiliates: | |
Investment adviser fee | 407,811 |
Trustees' fees | 5,824 |
Accrued expenses | 301,876 |
Total liabilities | $ 8,462,482 |
Net Assets applicable to investors' interest in Portfolio | $1,075,221,219 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $659) | $ 501,397 |
Dividend income from affiliated investment | 898,011 |
Interest and other income | 32,206,159 |
Total investment income | $33,605,567 |
Expenses | |
Investment adviser fee | $ 2,491,767 |
Trustees’ fees and expenses | 33,856 |
Custodian fee | 158,013 |
Legal and accounting services | 62,071 |
Interest expense on securities sold short | 43,196 |
Miscellaneous | 18,082 |
Total expenses | $ 2,806,985 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 34,639 |
Total expense reductions | $ 34,639 |
Net expenses | $ 2,772,346 |
Net investment income | $30,833,221 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 25,982,505 |
Securities sold short | (232,492) |
Foreign currency transactions | 4,579 |
Forward foreign currency exchange contracts | (1,607,982) |
Net realized gain | $24,146,610 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 15,350,840 |
Foreign currency | 18,368 |
Forward foreign currency exchange contracts | (149,040) |
Net change in unrealized appreciation (depreciation) | $15,220,168 |
Net realized and unrealized gain | $39,366,778 |
Net increase in net assets from operations | $70,199,999 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 30,833,221 | $ 51,594,657 |
Net realized gain (loss) | 24,146,610 | (5,282,108) |
Net change in unrealized appreciation (depreciation) | 15,220,168 | (141,360,652) |
Net increase (decrease) in net assets from operations | $ 70,199,999 | $ (95,048,103) |
Capital transactions: | ||
Contributions | $ 128,840,598 | $ 343,450,718 |
Withdrawals | (144,092,748) | (228,224,245) |
Net increase (decrease) in net assets from capital transactions | $ (15,252,150) | $ 115,226,473 |
Net increase in net assets | $ 54,947,849 | $ 20,178,370 |
Net Assets | ||
At beginning of period | $ 1,020,273,370 | $ 1,000,095,000 |
At end of period | $1,075,221,219 | $1,020,273,370 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.53% (1)(2) | 0.49% | 0.49% | 0.51% | 0.50% | 0.48% |
Net investment income | 5.89% (1) | 4.82% | 4.78% | 5.26% | 5.61% | 5.61% |
Portfolio Turnover | 16% (3) | 19% | 64% | 67% | 32% | 39% |
Total Return | 6.91% (3) | (8.20)% | 13.11% | 1.69% | 7.74% | 0.59% |
Net assets, end of period (000’s omitted) | $1,075,221 | $1,020,273 | $1,000,095 | $949,751 | $1,088,999 | $1,373,102 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and for the year ended October 31, 2022, respectively). |
(3) | Not annualized. |
Total Daily Net Assets | Annual Asset Rate | Daily Income Rate |
Up to $500 million | 0.300% | 3.000% |
$500 million but less than $1 billion | 0.275% | 2.750% |
$1 billion but less than $1.5 billion | 0.250% | 2.500% |
$1.5 billion but less than $2 billion | 0.225% | 2.250% |
$2 billion but less than $3 billion | 0.200% | 2.000% |
$3 billion and over | 0.175% | 1.750% |
Aggregate cost | $1,146,009,462 |
Gross unrealized appreciation | $ 14,161,985 |
Gross unrealized depreciation | (95,822,124) |
Net unrealized depreciation | $ (81,660,139) |
Description | Date(s) of Acquisition | Shares | Cost | Value |
Common Stocks | ||||
Ascent CNR Corp., Class A | 4/25/16, 11/16/16 | 6,273,462 | $ 0 | $ 1,254,692 |
iFIT Health and Fitness, Inc. | 10/6/22 | 514,080 | 1,799,280 | 359,856 |
New Cotai Participation Corp., Class B | 4/12/13 | 7 | 216,125 | 0 |
Total Common Stocks | $2,015,405 | $1,614,548 | ||
Miscellaneous | ||||
PGP Investors, LLC, Membership Interests | 2/18/15, 4/23/18, 12/17/21 | 15,849 | $ 0 | $ 4,343,090 |
Total Miscellaneous | $ 0 | $4,343,090 | ||
Total Restricted Securities | $2,015,405 | $5,957,638 |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Forward foreign currency exchange contracts | $60,066 (1) | $(9,177) (2) |
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts. |
(2) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
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) |
HSBC Bank USA, N.A. | $60,066 | $ — | $ — | $ — | $60,066 |
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) |
Citibank, N.A. | $(9,177) | $ — | $ — | $ — | $(9,177) |
(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. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Forward foreign currency exchange contracts | $(1,607,982) | $(149,040) |
(1) | Statement of Operations location: Net realized gain (loss) - Forward foreign currency exchange contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation) - Forward foreign currency exchange contracts. |
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 | $37,909,716 | $232,171,385 | $(225,535,682) | $ — | $ — | $44,545,419 | $898,011 | 44,545,419 |
• | 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 |
Asset-Backed Securities | $ — | $ 18,578,549 | $ — | $ 18,578,549 |
Common Stocks | 12,741,400 | 18,079 | 1,614,548 | 14,374,027 |
Convertible Bonds | — | 5,799,090 | — | 5,799,090 |
Convertible Preferred Stocks | — | 5,699 | 0 | 5,699 |
Corporate Bonds | — | 931,996,357 | — | 931,996,357 |
Preferred Stocks | 4,011,674 | — | — | 4,011,674 |
Senior Floating-Rate Loans | — | 40,604,369 | — | 40,604,369 |
Miscellaneous | — | 40,160 | 4,343,090 | 4,383,250 |
Short-Term Investments | 44,545,419 | — | — | 44,545,419 |
Total Investments | $ 61,298,493 | $ 997,042,303 | $ 5,957,638 | $ 1,064,298,434 |
Forward Foreign Currency Exchange Contracts | $ — | $ 60,066 | $ — | $ 60,066 |
Total | $ 61,298,493 | $ 997,102,369 | $ 5,957,638 | $ 1,064,358,500 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (9,177) | $ — | $ (9,177) |
Total | $ — | $ (9,177) | $ — | $ (9,177) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Common Stocks | Convertible Preferred Stocks | Miscellaneous | Total | |
Balance as of October 31, 2022 | $ 1,990,956 | $ — | $ 34,364,043 | $ 36,354,999 |
Realized gains (losses) | (1,460,742) | (591,000) | 37,689,526 | 35,637,784 |
Change in net unrealized appreciation (depreciation) | 1,084,334 | 591,000 | (29,725,581) | (28,050,247) |
Cost of purchases | — | — | — | — |
Proceeds from sales, including return of capital | 0 | ��� 0 | (37,984,898) | (37,984,898) |
Accrued discount (premium) | — | — | — | — |
Transfers to Level 3 | — | — | — | — |
Transfers from Level 3 | — | — | — | — |
Balance as of April 30, 2023 | $ 1,614,548 | $ — | $ 4,343,090 | $ 5,957,638 |
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2023 | $ (376,408) | $ — | $ (3,756,859) | $ (4,133,267) |
Type of Investment | Fair Value as of April 30, 2023 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* |
Common Stocks | $1,254,692 | Market approach | EBITDA multiple discount rate | 15% | Decrease |
Common Stocks | 359,856 | Discounted cash flow blended terminal value | Discount rate | 25% | Increase |
Miscellaneous | 4,343,090 | Market approach | Liquidity discount | 15% | Decrease |
Included in foreign corporate bonds are securities valued at $0 based on their estimated recovery value percentage. | |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
Officers of Eaton Vance High Income Opportunities Fund and High Income Opportunities Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance High Income Opportunities Fund and High Income Opportunities Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
and Eaton Vance High Income Opportunities Fund
125 Old Broad Street
London, EC2N 1AR
United Kingdom
Income Opportunities Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 06/27/2007 | 06/27/2007 | 12.87% | 1.27% | (0.52)% | 0.22% |
Class A with 3.25% Maximum Sales Charge | — | — | 9.16 | (2.07) | (1.19) | (0.11) |
Class C at NAV | 03/01/2011 | 06/27/2007 | 12.47 | 0.56 | (1.22) | (0.35) |
Class C with 1% Maximum Deferred Sales Charge | — | — | 11.47 | (0.41) | (1.22) | (0.35) |
Class I at NAV | 03/01/2011 | 06/27/2007 | 13.08 | 1.57 | (0.21) | 0.52 |
Bloomberg Global Aggregate Bond Index | — | — | 8.92% | (2.31)% | (0.93)% | (0.03)% |
Blended Index | — | — | 9.56 | (1.46) | (0.80) | 0.05 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 1.88% | 2.58% | 1.58% |
Net | 1.02 | 1.72 | 0.72 |
Asset Allocation (% of net assets)1 |
Foreign Currency Exposures (% of net assets)2 | |
Japan | 12.6% |
Euro | 11.3 |
South Korea | 6.7 |
Australia | 5.5 |
Dominican Republic | 5.0 |
Iceland | 4.9 |
Serbia | 4.2 |
Canada | 3.8 |
United Kingdom | 3.6 |
India | 3.5 |
Indonesia | 2.9 |
Malaysia | 1.7 |
Others | 4.1 3 |
Total Long | 70.6% |
Total Short | -0.8% |
Total Net | 69.8% |
1 | Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets. |
2 | Currency exposures include all foreign exchange denominated assets and currency derivatives. Total exposures may exceed 100% due to implicit leverage created by derivatives. |
3 | Includes amounts each less than 1.0% or –1.0%, as applicable. |
1 | Bloomberg Global Aggregate Bond Index is an unmanaged index of global investment-grade bonds denominated in the U.S. Dollar, Euro, Japanese Yen, and British Sterling. The index includes corporate bonds, government bonds, and mortgage-backed securities. The Blended Index consists of 85% Bloomberg Global Aggregate Bond Index and 15% J.P. Morgan Emerging Markets Bond (JEMB) Hard Currency/Local Currency 50-50 Index, rebalanced monthly. J.P. Morgan Emerging Markets Bond (JEMB) Hard Currency/Local Currency 50-50 Index is a blended index comprised of 50% J.P. Morgan Government Bond Index: Emerging Market Global Diversified (JPM GBI-EM GD), 25% J.P. Morgan Emerging Market Bond Index Global Diversified (JPM EMBI GD) and 25% J.P. Morgan Corporate Emerging Markets Bond Index Broad Diversified (JPM CEMBI BD). J.P. Morgan Government Bond Index: Emerging Market Global Diversified (JPM GBI-EM GD) is an unmanaged index of local currency bonds with maturities of more than one year issued by emerging markets governments. J.P. Morgan Emerging Market Bond Index Global Diversified (JPM EMBI GD) is a market-cap weighted index that measures USD-denominated Brady Bonds, Eurobonds, and traded loans issued by sovereign entities. J.P. Morgan Corporate Emerging Markets Bond Index Broad Diversified (JPM CEMBI BD) is an unmanaged index of USD-denominated emerging market corporate bonds. Information has been obtained from sources believed to be reliable but J.P. Morgan does not warrant its completeness or accuracy. The indexes are used with permission. The indexes may not be copied, used, or distributed without J.P. Morgan’s prior written approval. Copyright 2021, J.P. Morgan Chase & Co. All rights reserved. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 2/29/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management |
Important Notice to Shareholders | |
Effective on or about June 26, 2023, the Fund’s name will change to Eaton Vance Global Sovereign Opportunities Fund and the Fund’s policy to, under normal market conditions, invest at least 80% of its net assets (plus any borrowings for investment purposes) in bonds will be revised to state that, under normal market conditions, the Fund invests at least 80% of its net assets (plus any borrowings for investment purposes) in U.S. and non-U.S. sovereign investments. | |
Also, effective on or about June 26, 2023, the Fund will change its primary benchmark to the FTSE World Government Bond Index because the investment adviser believes it is a more appropriate benchmark for the Fund and its secondary performance benchmark will be a blended index consisting of 80% FTSE World Government Bond Index and 20% JPMorgan GB-EM Global Diversified Index. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,128.70 | $5.28** | 1.00% |
Class C | $1,000.00 | $1,124.70 | $8.96** | 1.70% |
Class I | $1,000.00 | $1,130.80 | $3.70** | 0.70% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.84 | $5.01** | 1.00% |
Class C | $1,000.00 | $1,016.36 | $8.50** | 1.70% |
Class I | $1,000.00 | $1,021.32 | $3.51** | 0.70% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
** | Absent an allocation of certain expenses to an affiliate, expenses would be higher. |
April 30, 2023 | |
Assets | |
Investment in International Income Portfolio, at value (identified cost $45,015,029) | $ 43,135,161 |
Receivable for Fund shares sold | 96,762 |
Receivable from affiliate | 16,193 |
Total assets | $ 43,248,116 |
Liabilities | |
Payable for Fund shares redeemed | $ 95,828 |
Payable to affiliate: | |
Distribution and service fees | 4,208 |
Trustees' fees | 43 |
Accrued expenses | 42,157 |
Total liabilities | $ 142,236 |
Net Assets | $ 43,105,880 |
Sources of Net Assets | |
Paid-in capital | $ 78,823,101 |
Accumulated loss | (35,717,221) |
Net Assets | $ 43,105,880 |
Class A Shares | |
Net Assets | $ 12,631,260 |
Shares Outstanding | 1,851,611 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 6.82 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 7.05 |
Class C Shares | |
Net Assets | $ 1,313,550 |
Shares Outstanding | 192,556 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 6.82 |
Class I Shares | |
Net Assets | $ 29,161,070 |
Shares Outstanding | 4,290,134 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 6.80 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio | $ 59,973 |
Interest income allocated from Portfolio (net of foreign taxes withheld of $5,361) | 835,118 |
Expenses, excluding interest expense, allocated from Portfolio | (122,964) |
Interest expense allocated from Portfolio | (3,128) |
Total investment income from Portfolio | $ 768,999 |
Expenses | |
Distribution and service fees: | |
Class A | $ 18,327 |
Class C | 6,437 |
Trustees’ fees and expenses | 250 |
Custodian fee | 9,915 |
Transfer and dividend disbursing agent fees | 21,391 |
Legal and accounting services | 11,003 |
Printing and postage | 10,795 |
Registration fees | 23,983 |
Miscellaneous | 5,886 |
Total expenses | $ 107,987 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 83,089 |
Total expense reductions | $ 83,089 |
Net expenses | $ 24,898 |
Net investment income | $ 744,101 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $2,782) | $ (1,879,975) |
Futures contracts | 30,359 |
Swap contracts | (340,354) |
Foreign currency transactions | 98,156 |
Forward foreign currency exchange contracts | 370,693 |
Non-deliverable bond forward contracts | 91,781 |
Net realized loss | $(1,629,340) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $6,640) | $ 4,872,360 |
Written swaptions¬ | 144,905 |
Futures contracts | (66,471) |
Swap contracts | 245,773 |
Foreign currency | 1,551 |
Forward foreign currency exchange contracts | (519,006) |
Non-deliverable bond forward contracts | (25,474) |
Net change in unrealized appreciation (depreciation) | $ 4,653,638 |
Net realized and unrealized gain | $ 3,024,298 |
Net increase in net assets from operations | $ 3,768,399 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 744,101 | $ 1,206,837 |
Net realized loss | (1,629,340) | (2,839,362) |
Net change in unrealized appreciation (depreciation) | 4,653,638 | (6,377,946) |
Net increase (decrease) in net assets from operations | $ 3,768,399 | $ (8,010,471) |
Distributions to shareholders: | ||
Class A | $ (277,953) | $ — |
Class C | (24,570) | — |
Class I | (563,208) | — |
Total distributions to shareholders | $ (865,731) | $ — |
Tax return of capital to shareholders: | ||
Class A | $ — | $ (632,949) |
Class C | — | (56,224) |
Class I | — | (1,023,870) |
Total tax return of capital to shareholders | $ — | $ (1,713,043) |
Transactions in shares of beneficial interest: | ||
Class A | $ 365 | $ (5,394,244) |
Class C | (50,542) | (477,741) |
Class I | 11,843,527 | (13,964,529) |
Net increase (decrease) in net assets from Fund share transactions | $11,793,350 | $(19,836,514) |
Net increase (decrease) in net assets | $14,696,018 | $(29,560,028) |
Net Assets | ||
At beginning of period | $ 28,409,862 | $ 57,969,890 |
At end of period | $43,105,880 | $ 28,409,862 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 6.190 | $ 7.960 | $ 8.440 | $ 8.510 | $ 8.500 | $ 9.130 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.133 | $ 0.207 | $ 0.132 | $ 0.176 | $ 0.295 | $ 0.315 |
Net realized and unrealized gain (loss) | 0.649 | (1.675) | (0.150) | 0.292 | 0.174 | (0.539) |
Total income (loss) from operations | $ 0.782 | $ (1.468) | $ (0.018) | $ 0.468 | $ 0.469 | $ (0.224) |
Less Distributions | ||||||
From net investment income | $ (0.152) | $ — | $ (0.146) | $ (0.378) | $ (0.459) | $ (0.052) |
Tax return of capital | — | (0.302) | (0.316) | (0.160) | — | (0.354) |
Total distributions | $ (0.152) | $ (0.302) | $ (0.462) | $ (0.538) | $ (0.459) | $ (0.406) |
Net asset value — End of period | $ 6.820 | $ 6.190 | $ 7.960 | $ 8.440 | $ 8.510 | $ 8.500 |
Total Return(2)(3) | 12.87% (4) | (18.94)% | (0.38)% | 5.72% | 5.62% | (2.58)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $12,631 | $11,466 | $20,539 | $18,354 | $18,677 | $19,483 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3) | 1.00% (6)(7)(8) | 1.02% (6)(7) | 1.01% (7) | 1.01% (7) | 1.11% (7) | 1.11% (7) |
Net investment income | 3.99% (8) | 2.89% | 1.57% | 2.09% | 3.43% | 3.51% |
Portfolio Turnover of the Portfolio | 111% (4)(9) | 159% (9) | 102% (9) | 88% (9) | 92% | 23% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser and administrator of the Fund and the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 1.08%, 0.86%, 0.49%, 0.49%, 0.40% and 0.34% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to 0.015% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022,respectively). |
(7) | Includes interest expense of 0.02% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022 and 0.01% of average daily net assets for each of the years ended October 31, 2021, 2020, 2019 and 2018. |
(8) | Annualized. |
(9) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 6.190 | $ 7.960 | $ 8.440 | $ 8.510 | $ 8.500 | $ 9.130 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.109 | $ 0.157 | $ 0.068 | $ 0.123 | $ 0.237 | $ 0.252 |
Net realized and unrealized gain (loss) | 0.649 | (1.674) | (0.146) | 0.286 | 0.171 | (0.539) |
Total income (loss) from operations | $ 0.758 | $(1.517) | $(0.078) | $ 0.409 | $ 0.408 | $ (0.287) |
Less Distributions | ||||||
From net investment income | $ (0.128) | $ — | $ (0.127) | $ (0.336) | $ (0.398) | $ (0.044) |
Tax return of capital | — | (0.253) | (0.275) | (0.143) | — | (0.299) |
Total distributions | $(0.128) | $(0.253) | $(0.402) | $(0.479) | $(0.398) | $ (0.343) |
Net asset value — End of period | $ 6.820 | $ 6.190 | $ 7.960 | $ 8.440 | $ 8.510 | $ 8.500 |
Total Return(2)(3) | 12.47% (4) | (19.50)% | (1.09)% | 4.98% | 4.88% | (3.26)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 1,314 | $ 1,238 | $ 2,115 | $ 5,173 | $ 9,517 | $14,107 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3) | 1.70% (6)(7)(8) | 1.72% (6)(7) | 1.71% (7) | 1.71% (7) | 1.81% (7) | 1.81% (7) |
Net investment income | 3.28% (8) | 2.20% | 0.80% | 1.47% | 2.76% | 2.81% |
Portfolio Turnover of the Portfolio | 111% (4)(9) | 159% (9) | 102% (9) | 88% (9) | 92% | 23% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser and administrator of the Fund and the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 1.08%, 0.86%, 0.49%, 0.49%, 0.40% and 0.34% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to 0.015% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022,respectively). |
(7) | Includes interest expense of 0.02% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022 and 0.01% of average daily net assets for each of the years ended October 31, 2021, 2020, 2019 and 2018. |
(8) | Annualized. |
(9) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 6.160 | $ 7.930 | $ 8.410 | $ 8.480 | $ 8.480 | $ 9.100 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.143 | $ 0.224 | $ 0.156 | $ 0.213 | $ 0.319 | $ 0.341 |
Net realized and unrealized gain (loss) | 0.658 | (1.671) | (0.151) | 0.279 | 0.164 | (0.529) |
Total income (loss) from operations | $ 0.801 | $ (1.447) | $ 0.005 | $ 0.492 | $ 0.483 | $ (0.188) |
Less Distributions | ||||||
From net investment income | $ (0.161) | $ — | $ (0.152) | $ (0.395) | $ (0.483) | $ (0.056) |
Tax return of capital | — | (0.323) | (0.333) | (0.167) | — | (0.376) |
Total distributions | $ (0.161) | $ (0.323) | $ (0.485) | $ (0.562) | $ (0.483) | $ (0.432) |
Net asset value — End of period | $ 6.800 | $ 6.160 | $ 7.930 | $ 8.410 | $ 8.480 | $ 8.480 |
Total Return(2)(3) | 13.08% (4) | (18.65)% | (0.11)% | 6.04% | 5.82% | (2.19)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $29,161 | $15,706 | $35,316 | $33,597 | $56,451 | $62,225 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3) | 0.70% (6)(7)(8) | 0.72% (6)(7) | 0.71% (7) | 0.71% (7) | 0.81% (7) | 0.81% (7) |
Net investment income | 4.29% (8) | 3.11% | 1.86% | 2.54% | 3.73% | 3.81% |
Portfolio Turnover of the Portfolio | 111% (4)(9) | 159% (9) | 102% (9) | 88% (9) | 92% | 23% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | The investment adviser and administrator of the Fund and the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 1.08%, 0.86%, 0.49%, 0.49%, 0.40% and 0.34% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to 0.015% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022,respectively). |
(7) | Includes interest expense of 0.02% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022 and 0.01% of average daily net assets for each of the years ended October 31, 2021, 2020, 2019 and 2018. |
(8) | Annualized. |
(9) | Includes the effect of To-Be-Announced (TBA) transactions. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.500% |
$1 billion but less than $2.5 billion | 0.475% |
$2.5 billion but less than $5 billion | 0.455% |
$5 billion and over | 0.440% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 98,066 | $ 664,482 | 408,177 | $ 3,124,350 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 38,166 | 256,787 | 83,567 | 588,630 | |
Redemptions | (138,127) | (920,904) | (1,218,517) | (9,107,224) | |
Net increase (decrease) | (1,895) | $ 365 | (726,773) | $ (5,394,244) | |
Class C | |||||
Sales | 15,323 | $ 104,354 | 38,835 | $ 264,123 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 3,360 | 22,597 | 7,225 | 50,726 | |
Redemptions | (26,289) | (177,493) | (111,572) | (792,590) | |
Net decrease | (7,606) | $ (50,542) | (65,512) | $ (477,741) |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Sales | 2,353,947 | $ 15,931,984 | 552,602 | $ 3,938,764 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 83,527 | 560,645 | 144,084 | 1,019,604 | |
Redemptions | (695,507) | (4,649,102) | (2,599,911) | (18,922,897) | |
Net increase (decrease) | 1,741,967 | $11,843,527 | (1,903,225) | $(13,964,529) |
Collateralized Mortgage Obligations — 3.9% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., Series 2022-DNA1, Class M2, 7.315%, (30-day average SOFR + 2.50%), 1/25/42(1)(2) | $ | 1,800 | $ 1,698,046 |
Total Collateralized Mortgage Obligations (identified cost $1,691,437) | $ 1,698,046 |
Foreign Corporate Bonds — 3.0% |
Security | Principal Amount (000's omitted) | Value | |
Iceland — 3.0% | |||
Arion Banki HF, 6.00%, 4/12/24(3) | ISK | 140,000 | $ 1,007,287 |
Landsbankinn HF, 5.00%, 11/23/23(3) | ISK | 40,000 | 289,783 |
Total Foreign Corporate Bonds (identified cost $999,379) | $ 1,297,070 |
Sovereign Government Bonds — 60.6% |
Security | Principal Amount (000's omitted) | Value | |
Colombia — 1.9% | |||
Titulos De Tesoreria B: | |||
5.75%, 11/3/27 | COP | 1,654,000 | $ 284,496 |
6.00%, 4/28/28 | COP | 645,000 | 110,317 |
7.00%, 3/26/31 | COP | 1,409,600 | 230,085 |
7.00%, 6/30/32 | COP | 1,367,900 | 214,228 |
$ 839,126 | |||
Cyprus — 2.5% | |||
Cyprus Government International Bond: | |||
2.75%, 2/26/34(3) | EUR | 407 | $ 399,233 |
4.125%, 4/13/33(3) | EUR | 618 | 688,080 |
$ 1,087,313 | |||
Dominican Republic — 4.8% | |||
Dominican Republic: | |||
8.00%, 1/15/27(3) | DOP | 3,970 | $ 63,831 |
8.00%, 2/12/27(3) | DOP | 20,150 | 322,450 |
12.00%, 8/8/25(1) | DOP | 10,930 | 199,492 |
13.00%, 1/30/26(1) | DOP | 6,240 | 117,413 |
13.00%, 6/9/34(3) | DOP | 40,800 | 864,093 |
Security | Principal Amount (000's omitted) | Value | |
Dominican Republic (continued) | |||
Dominican Republic: (continued) | |||
13.625%, 2/3/33(1) | DOP | 16,000 | $ 347,823 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(3) | DOP | 900 | 14,395 |
13.00%, 12/5/25(1) | DOP | 8,440 | 159,386 |
$ 2,088,883 | |||
Germany — 9.0% | |||
Bundesrepublik Deutschland Bundesanleihe, 1.70%, 8/15/32(3) | EUR | 3,700 | $ 3,880,849 |
$ 3,880,849 | |||
Greece — 1.2% | |||
Hellenic Republic Government Bond, 1.50%, 6/18/30(1)(3) | EUR | 548 | $ 509,852 |
$ 509,852 | |||
Honduras — 0.4% | |||
Honduras Government International Bond, 7.50%, 3/15/24(3) | USD | 158 | $ 156,829 |
$ 156,829 | |||
Iceland — 1.5% | |||
Republic of Iceland: | |||
1.50%, 5/15/23 | ISK | 34,247 | $ 251,625 |
2.50%, 4/15/24 | ISK | 15,753 | 109,611 |
5.00%, 11/15/28 | ISK | 3,916 | 26,217 |
8.00%, 6/12/25 | ISK | 37,968 | 276,080 |
$ 663,533 | |||
India — 5.4% | |||
Export-Import Bank of India, 2.25%, 1/13/31(3) | USD | 1,000 | $ 818,747 |
India Government Bond, 7.10%, 4/18/29 | INR | 124,900 | 1,528,930 |
$ 2,347,677 | |||
Indonesia — 3.2% | |||
Indonesia Government Bond: | |||
6.125%, 5/15/28 | IDR | 1,053,000 | $ 71,389 |
6.375%, 4/15/32 | IDR | 8,700,000 | 586,921 |
7.125%, 6/15/42 | IDR | 1,472,000 | 102,389 |
7.125%, 6/15/43 | IDR | 8,036,000 | 560,249 |
7.375%, 5/15/48 | IDR | 529,000 | 37,438 |
$ 1,358,386 |
Security | Principal Amount (000's omitted) | Value | |
Jordan — 0.4% | |||
Kingdom of Jordan, 7.375%, 10/10/47(3) | USD | 200 | $ 169,492 |
$ 169,492 | |||
Mexico — 7.4% | |||
Mexican Udibonos, 4.00%, 11/30/28 | MXN | 58,767 | $ 3,185,179 |
$ 3,185,179 | |||
New Zealand — 3.9% | |||
New Zealand Government Bond, 3.00%, 9/20/30(3)(4) | NZD | 2,454 | $ 1,665,696 |
$ 1,665,696 | |||
Peru — 3.5% | |||
Peru Government Bond: | |||
5.35%, 8/12/40 | PEN | 1,891 | $ 402,597 |
5.40%, 8/12/34 | PEN | 1,581 | 360,017 |
6.15%, 8/12/32 | PEN | 2,100 | 518,886 |
6.95%, 8/12/31 | PEN | 845 | 222,375 |
$ 1,503,875 | |||
Philippines — 1.4% | |||
Republic of the Philippines, 6.25%, 1/14/36 | PHP | 34,000 | $ 601,427 |
$ 601,427 | |||
Romania — 0.6% | |||
Romania Government International Bond, 3.375%, 1/28/50(3) | EUR | 405 | $ 269,534 |
$ 269,534 | |||
Serbia — 4.1% | |||
Serbia Treasury Bond, 5.875%, 2/8/28 | RSD | 187,260 | $ 1,784,437 |
$ 1,784,437 | |||
South Africa — 4.7% | |||
Republic of South Africa: | |||
8.00%, 1/31/30 | ZAR | 9,000 | $ 440,885 |
10.50%, 12/21/26 | ZAR | 27,560 | 1,583,286 |
$ 2,024,171 | |||
South Korea — 3.5% | |||
Korea Treasury Bond, 4.00%, 12/10/31 | KRW | 1,901,500 | $ 1,486,814 |
$ 1,486,814 |
Security | Principal Amount (000's omitted) | Value | |
Ukraine — 0.5% | |||
Ukraine Government Bond: | |||
10.95%, 11/1/23 | UAH | 563 | $ 11,739 |
11.67%, 11/22/23 | UAH | 1,508 | 31,041 |
15.84%, 2/26/25 | UAH | 6,741 | 124,435 |
16.00%, 5/24/23 | UAH | 1,057 | 26,250 |
$ 193,465 | |||
Uruguay — 0.7% | |||
Uruguay Government Bond, 3.875%, 7/2/40 | UYU | 10,996 | $ 301,463 |
$ 301,463 | |||
Total Sovereign Government Bonds (identified cost $27,959,240) | $26,118,001 |
U.S. Government Agency Mortgage-Backed Securities — 8.8% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: | |||
4.796%, (COF + 1.79%), with maturity at 2035(5) | $ | 106 | $ 103,033 |
5.00%, with maturity at 2052 | 975 | 970,275 | |
5.50%, 30-Year, TBA(6) | 2,700 | 2,723,202 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $3,794,304) | $ 3,796,510 |
U.S. Treasury Obligations — 1.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond: | |||
0.125%, 2/15/52(7)(8) | $ | 537 | $ 367,088 |
0.625%, 7/15/32(7) | 336 | 319,682 | |
Total U.S. Treasury Obligations (identified cost $725,166) | $ 686,770 |
Short-Term Investments — 20.8% |
Affiliated Fund — 9.8% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(9) | 4,243,350 | $ 4,243,350 | |
Total Affiliated Fund (identified cost $4,243,350) | $ 4,243,350 |
U.S. Treasury Obligations — 11.0% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 5/9/23 | $ | 634 | $ 633,420 |
0.00%, 5/9/23 | 866 | 865,208 | |
0.00%, 5/16/23 | 2,250 | 2,246,051 | |
0.00%, 5/30/23(8) | 1,000 | 996,691 | |
Total U.S. Treasury Obligations (identified cost $4,741,478) | $ 4,741,370 | ||
Total Short-Term Investments (identified cost $8,984,828) | $ 8,984,720 |
Total Purchased Options — 0.1% (identified cost $21,968) | $ 33,429 | ||
Total Investments — 98.8% (identified cost $44,176,322) | $42,614,546 | ||
Total Written Swaptions — (0.0)%(10) (premiums received $36,050) | $ (1,016) | ||
Other Assets, Less Liabilities — 1.2% | $ 529,576 | ||
Net Assets — 100.0% | $43,143,106 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $3,032,012 or 7.0% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(3) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $11,120,151 or 25.8% of the Portfolio's net assets. |
(4) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(5) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at April 30, 2023. |
(6) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(7) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(8) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
(9) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
(10) | Amount is less than (0.05)%. |
Purchased Currency Options (OTC) — 0.1% | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call BRL vs. Put USD (Digital Option) | Citibank, N.A. | USD | 145,000 | BRL | 4.80 | 9/6/23 | $ 33,429 |
Total | $33,429 |
Written Interest Rate Swaptions (OTC) — (0.0)%(1) | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Option to enter into interest rate swap expiring 5/3/23 to pay SOFR and receive 3.31% | Bank of America, N.A. | USD | (1,000,000) | 5/3/23 | $ (744) |
Option to enter into interest rate swap expiring 5/17/23 to pay SOFR and receive 3.60% | Bank of America, N.A. | USD | (900,000) | 5/17/23 | (272) |
Total | $(1,016) |
(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 | 135,918 | PHP | 7,500,000 | 5/24/23 | $ 459 |
USD | 253,026 | PHP | 14,000,000 | 5/24/23 | 171 |
USD | 252,981 | PHP | 14,000,000 | 5/24/23 | 125 |
COP | 15,000,000 | USD | 3,266 | 6/21/23 | (109) |
COP | 480,300,000 | USD | 104,799 | 6/21/23 | (3,689) |
EUR | 11,008,954 | USD | 11,838,930 | 6/21/23 | 325,777 |
KRW | 70,222,353 | USD | 53,132 | 6/21/23 | (494) |
KRW | 342,000,000 | USD | 265,330 | 6/21/23 | (8,968) |
KRW | 476,000,000 | USD | 366,495 | 6/21/23 | (9,687) |
KRW | 476,000,000 | USD | 366,718 | 6/21/23 | (9,910) |
KRW | 528,118,900 | USD | 408,685 | 6/21/23 | (12,809) |
PEN | 2,054,316 | USD | 539,134 | 6/21/23 | 13,426 |
USD | 50,954 | COP | 246,000,000 | 6/21/23 | (833) |
USD | 57,845 | COP | 279,273,168 | 6/21/23 | (945) |
USD | 128,438 | COP | 623,000,000 | 6/21/23 | (2,712) |
USD | 170,495 | COP | 823,138,552 | 6/21/23 | (2,787) |
USD | 145,756 | COP | 707,000,000 | 6/21/23 | (3,078) |
USD | 429,845 | COP | 2,085,000,000 | 6/21/23 | (9,077) |
USD | 169,995 | EUR | 158,078 | 6/21/23 | (4,678) |
USD | 708,889 | EUR | 646,089 | 6/21/23 | (5,028) |
USD | 515,894 | EUR | 479,727 | 6/21/23 | (14,196) |
USD | 829,014 | EUR | 770,895 | 6/21/23 | (22,812) |
USD | 834,224 | EUR | 775,740 | 6/21/23 | (22,956) |
USD | 1,252,290 | EUR | 1,164,497 | 6/21/23 | (34,460) |
USD | 1,524,193 | EUR | 1,417,338 | 6/21/23 | (41,942) |
USD | 1,645,310 | EUR | 1,529,965 | 6/21/23 | (45,275) |
USD | 2,247,481 | EUR | 2,089,920 | 6/21/23 | (61,845) |
USD | 4,868,990 | EUR | 4,527,647 | 6/21/23 | (133,982) |
USD | 17,009 | PEN | 65,000 | 6/21/23 | (475) |
USD | 61,518 | PEN | 233,000 | 6/21/23 | (1,153) |
USD | 125,066 | PEN | 474,000 | 6/21/23 | (2,428) |
USD | 118,566 | PEN | 451,522 | 6/21/23 | (2,882) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 223,415 | PEN | 853,000 | 6/21/23 | $ (6,020) |
USD | 262,440 | PEN | 1,000,000 | 6/21/23 | (6,536) |
USD | 241,424 | PEN | 922,000 | 6/21/23 | (6,571) |
USD | 503,041 | PEN | 1,919,000 | 6/21/23 | (13,123) |
USD | 537,034 | PEN | 2,054,316 | 6/21/23 | (15,526) |
CLP | 102,000,000 | USD | 125,569 | 6/22/23 | (49) |
CLP | 55,600,000 | USD | 68,536 | 6/22/23 | (115) |
USD | 194,017 | CLP | 157,600,000 | 6/22/23 | 75 |
IDR | 1,638,200,000 | USD | 104,854 | 7/11/23 | 6,709 |
IDR | 1,283,800,000 | USD | 81,852 | 7/11/23 | 5,577 |
IDR | 1,027,000,000 | USD | 65,519 | 7/11/23 | 4,421 |
IDR | 1,027,000,000 | USD | 65,591 | 7/11/23 | 4,349 |
USD | 75,028 | IDR | 1,143,000,000 | 7/11/23 | (2,812) |
USD | 91,708 | IDR | 1,398,000,000 | 7/11/23 | (3,497) |
USD | 159,725 | IDR | 2,435,000,000 | 7/11/23 | (6,102) |
IDR | 37,593,929,911 | USD | 2,449,441 | 7/25/23 | 110,225 |
IDR | 9,878,356,800 | USD | 643,627 | 7/25/23 | 28,963 |
IDR | 6,300,000,000 | USD | 416,942 | 7/25/23 | 12,007 |
IDR | 9,479,000,000 | USD | 636,204 | 7/25/23 | 9,195 |
IDR | 5,185,466,039 | USD | 349,129 | 7/25/23 | 3,936 |
IDR | 758,240,122 | USD | 49,617 | 7/25/23 | 2,010 |
IDR | 1,951,000,000 | USD | 131,086 | 7/25/23 | 1,753 |
IDR | 338,410,027 | USD | 22,416 | 7/25/23 | 626 |
USD | 49,459 | IDR | 728,323,700 | 7/25/23 | (131) |
USD | 142,802 | IDR | 2,113,400,000 | 7/25/23 | (1,094) |
USD | 178,551 | IDR | 2,642,000,000 | 7/25/23 | (1,336) |
USD | 214,328 | IDR | 3,170,200,000 | 7/25/23 | (1,522) |
USD | 69,394 | IDR | 1,049,100,000 | 7/25/23 | (2,036) |
USD | 514,377 | IDR | 7,818,533,946 | 7/25/23 | (17,965) |
USD | 578,175 | IDR | 8,796,932,093 | 7/25/23 | (20,784) |
USD | 639,707 | IDR | 9,878,356,800 | 7/25/23 | (32,883) |
USD | 2,457,645 | IDR | 37,719,834,412 | 7/25/23 | (110,594) |
BRL | 1,684,080 | USD | 314,002 | 9/11/23 | 15,345 |
$ (162,757) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 93,729 | USD | 102,389 | Standard Chartered Bank | 5/5/23 | $ 904 | $ — |
USD | 371,393 | EUR | 337,274 | Standard Chartered Bank | 5/5/23 | — | (296) |
USD | 515,195 | EUR | 467,865 | Standard Chartered Bank | 5/5/23 | — | (410) |
USD | 107,718 | CNH | 731,000 | Standard Chartered Bank | 5/8/23 | 2,165 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 94,298 | CNH | 640,000 | Standard Chartered Bank | 5/8/23 | $ 1,886 | $ — |
MYR | 600,000 | USD | 135,654 | Goldman Sachs International | 5/10/23 | — | (674) |
MYR | 700,000 | USD | 158,281 | Goldman Sachs International | 5/10/23 | — | (805) |
MYR | 550,000 | USD | 124,940 | Barclays Bank PLC | 5/15/23 | — | (1,175) |
AUD | 1,757,925 | USD | 1,160,499 | Goldman Sachs International | 6/21/23 | 5,204 | — |
AUD | 108,270 | USD | 72,287 | HSBC Bank USA, N.A. | 6/21/23 | — | (491) |
CAD | 852,000 | USD | 626,717 | Citibank, N.A. | 6/21/23 | 2,760 | — |
CAD | 852,000 | USD | 626,719 | Goldman Sachs International | 6/21/23 | 2,758 | — |
CAD | 756,000 | USD | 556,034 | HSBC Bank USA, N.A. | 6/21/23 | 2,516 | — |
CZK | 4,071,560 | EUR | 171,060 | Citibank, N.A. | 6/21/23 | 1,222 | — |
CZK | 2,114,220 | EUR | 88,579 | Standard Chartered Bank | 6/21/23 | 907 | — |
CZK | 2,114,220 | EUR | 88,579 | UBS AG | 6/21/23 | 906 | — |
EUR | 217,602 | USD | 240,279 | Citibank, N.A. | 6/21/23 | 167 | — |
EUR | 1,872,318 | USD | 2,067,560 | Standard Chartered Bank | 6/21/23 | 1,320 | — |
GBP | 1,240,000 | USD | 1,488,164 | State Street Bank and Trust Company | 6/21/23 | 71,811 | — |
JPY | 748,013,672 | USD | 5,601,541 | Bank of America, N.A. | 6/21/23 | — | (69,646) |
MYR | 510,000 | USD | 113,076 | Barclays Bank PLC | 6/21/23 | 1,957 | — |
MYR | 80,435 | USD | 17,855 | Barclays Bank PLC | 6/21/23 | 288 | — |
MYR | 819,500 | USD | 182,184 | Credit Agricole Corporate and Investment Bank | 6/21/23 | 2,659 | — |
NZD | 1,600,000 | USD | 977,925 | Standard Chartered Bank | 6/21/23 | 11,320 | — |
THB | 3,082,600 | USD | 89,222 | Standard Chartered Bank | 6/21/23 | 1,486 | — |
THB | 2,320,000 | USD | 66,789 | Standard Chartered Bank | 6/21/23 | 1,480 | — |
USD | 252,423 | MXN | 4,870,000 | Citibank, N.A. | 6/21/23 | — | (15,728) |
USD | 406,332 | MXN | 7,516,000 | Standard Chartered Bank | 6/21/23 | — | (7,514) |
USD | 221,462 | MXN | 4,280,000 | Standard Chartered Bank | 6/21/23 | — | (14,204) |
USD | 274,519 | MXN | 5,293,000 | Standard Chartered Bank | 6/21/23 | — | (16,923) |
USD | 424,307 | MXN | 7,834,100 | UBS AG | 6/21/23 | — | (7,054) |
USD | 1,518,635 | MXN | 27,881,000 | UBS AG | 6/21/23 | — | (16,546) |
USD | 372,531 | NZD | 600,000 | Bank of America, N.A. | 6/21/23 | 1,564 | — |
USD | 622,227 | NZD | 1,000,000 | HSBC Bank USA, N.A. | 6/21/23 | 3,949 | — |
USD | 1,513,954 | NZD | 2,477,007 | Standard Chartered Bank | 6/21/23 | — | (17,525) |
USD | 179,073 | ZAR | 3,318,132 | Goldman Sachs International | 6/21/23 | — | (1,511) |
USD | 179,512 | ZAR | 3,327,963 | Goldman Sachs International | 6/21/23 | — | (1,608) |
USD | 179,393 | ZAR | 3,327,964 | Goldman Sachs International | 6/21/23 | — | (1,727) |
USD | 179,267 | ZAR | 3,327,964 | Goldman Sachs International | 6/21/23 | — | (1,852) |
USD | 718,446 | ZAR | 13,302,023 | Goldman Sachs International | 6/21/23 | — | (5,496) |
ZAR | 1,420,000 | USD | 76,438 | Citibank, N.A. | 6/21/23 | 843 | — |
AUD | 920,000 | USD | 619,663 | Bank of America, N.A. | 7/20/23 | — | (8,868) |
AUD | 948,737 | USD | 638,817 | BNP Paribas | 7/20/23 | — | (8,943) |
USD | 314,194 | BRL | 1,684,080 | Citibank, N.A. | 9/11/23 | — | (15,153) |
USD | 724,291 | ZAR | 13,297,982 | UBS AG | 9/18/23 | 6,866 | — |
$126,938 | $(214,149) |
Non-Deliverable Bond Forward Contracts* | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
5/5/23 | COP | 309,900 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | $ 65,964 | $ 3,978 |
5/15/23 | COP | 400,000 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 85,143 | (763) |
5/16/23 | COP | 604,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 128,565 | (1,164) |
5/16/23 | COP | 455,200 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 95,499 | 1,394 |
5/22/23 | COP | 881,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 187,527 | (1,018) |
5/24/23 | COP | 213,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 45,338 | (290) |
6/12/23 | COP | 609,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 129,630 | (1,412) |
6/19/23 | COP | 687,700 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 146,381 | (1,802) |
6/23/23 | COP | 699,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 148,787 | (1,705) |
6/26/23 | COP | 391,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 83,227 | (1,152) |
6/29/23 | COP | 645,915 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 137,487 | (3,995) |
6/30/23 | COP | 350,000 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 74,500 | (702) |
$ (8,631) |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. Ultra-Long Treasury Bond | 5 | Long | 6/21/23 | $ 707,031 | $ 33,737 |
U.S. 10-Year Treasury Note | 14 | Long | 6/21/23 | 1,612,844 | 50,048 |
Euro-Bobl | (1) | Short | 6/8/23 | (129,991) | (110) |
Euro-Bund | (10) | Short | 6/8/23 | (1,493,736) | (2,396) |
Euro-Buxl | (1) | Short | 6/8/23 | (153,715) | (7,080) |
Japan 10-Year Bond | (1) | Short | 6/13/23 | (1,090,682) | (23,202) |
$ 50,997 |
Inflation Swaps (Centrally Cleared) | |||||||
Notional Amount (000's omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
EUR | 300 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | $ 43,909 |
EUR | 300 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 43,909 |
EUR | 200 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 29,247 |
EUR | 280 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 43,633 |
EUR | 200 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (37,395) |
EUR | 300 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (56,092) |
EUR | 300 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (56,207) |
EUR | 280 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | (58,019) |
EUR | 110 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | (1,865) |
USD | 150 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.44% (pays upon termination) | 1/13/33 | 199 |
USD | 1,300 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (21,650) |
USD | 450 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (7,838) |
USD | 800 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 547 |
USD | 400 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 91 |
USD | 490 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 4,924 |
USD | 150 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | (816) |
$ (73,423) |
Interest Rate Swaps (Centrally Cleared) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
AUD | 1,550 | Receives | 6-months AUD Bank Bill (pays semi-annually) | 3.63% (pays semi-annually) | 4/5/25 | $ (422) | $ — | $ (422) |
CAD | 3,230 | Pays | 3-month Canadian Bankers Acceptances (pays semi-annually) | 4.44% (pays semi-annually) | 1/10/25 | (2,525) | — | (2,525) |
CAD | 2,280 | Pays | 3-month Canadian Bankers Acceptances (pays semi-annually) | 3.45% (pays semi-annually) | 7/21/27 | (9,155) | 1 | (9,154) |
CLP | 59,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.57% (pays semi-annually) | 12/21/27 | 2,233 | — | 2,233 |
CLP | 643,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | 24,121 | — | 24,121 |
CLP | 96,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | 3,580 | — | 3,580 |
CLP | 95,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.62% (pays semi-annually) | 12/21/27 | 3,335 | — | 3,335 |
CLP | 95,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.64% (pays semi-annually) | 12/21/27 | 3,230 | — | 3,230 |
CLP | 95,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.67% (pays semi-annually) | 12/21/27 | 3,074 | — | 3,074 |
CLP | 84,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.68% (pays semi-annually) | 12/21/27 | 2,672 | — | 2,672 |
CLP | 52,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.69% (pays semi-annually) | 12/21/27 | 1,640 | — | 1,640 |
CLP | 72,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.72% (pays semi-annually) | 12/21/27 | 2,133 | — | 2,133 |
CLP | 82,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.74% (pays semi-annually) | 12/21/27 | 2,361 | — | 2,361 |
CNY | 3,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.89% (pays quarterly) | 6/21/28 | 2,942 | — | 2,942 |
CNY | 3,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.89% (pays quarterly) | 6/21/28 | 2,933 | — | 2,933 |
CNY | 3,100 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.90% (pays quarterly) | 6/21/28 | 3,163 | — | 3,163 |
COP | 347,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.00% (pays quarterly) | 11/26/25 | 7,388 | — | 7,388 |
COP | 984,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.05% (pays quarterly) | 11/26/25 | 20,690 | — | 20,690 |
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 | 303,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.06% (pays quarterly) | 11/26/25 | $ 5,754 | $ — | $ 5,754 |
COP | 636,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.09% (pays quarterly) | 11/26/25 | 12,012 | — | 12,012 |
COP | 310,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.14% (pays quarterly) | 11/26/25 | 5,776 | — | 5,776 |
COP | 318,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.18% (pays quarterly) | 11/26/25 | 5,864 | — | 5,864 |
COP | 651,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.25% (pays quarterly) | 11/26/25 | 11,783 | — | 11,783 |
COP | 853,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 7.03% (pays quarterly) | 11/26/25 | 13,672 | — | 13,672 |
COP | 210,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.60% (pays quarterly) | 11/26/25 | 1,688 | — | 1,688 |
COP | 400,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.75% (pays quarterly) | 11/26/25 | 2,895 | — | 2,895 |
COP | 211,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.85% (pays quarterly) | 11/26/25 | 1,419 | — | 1,419 |
COP | 213,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.23% (pays quarterly) | 11/26/25 | 1,016 | — | 1,016 |
COP | 147,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.42% (pays quarterly) | 11/26/25 | 564 | — | 564 |
COP | 351,773 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.00% (pays quarterly) | 11/26/25 | 295 | — | 295 |
COP | 131,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.17% (pays quarterly) | 11/26/25 | (5) | (2) | (7) |
COP | 252,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.28% (pays quarterly) | 11/26/25 | (147) | — | (147) |
COP | 480,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.48% (pays quarterly) | 3/31/26 | 14,191 | — | 14,191 |
COP | 514,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.56% (pays quarterly) | 4/6/26 | 14,750 | — | 14,750 |
COP | 350,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 11.54% (pays quarterly) | 12/21/27 | (6,163) | — | (6,163) |
COP | 1,135,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 11.93% (pays quarterly) | 12/21/27 | (23,574) | — | (23,574) |
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 | 511,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 12.10% (pays quarterly) | 12/21/27 | $(11,300) | $ — | $ (11,300) |
COP | 129,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 4,851 | — | 4,851 |
COP | 900,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.07% (pays quarterly) | 6/21/28 | 121 | — | 121 |
COP | 726,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 11.93% (pays quarterly) | 12/21/32 | (28,052) | — | (28,052) |
JPY | 80,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.43% (pays annually) | 6/15/32 | 1,888 | — | 1,888 |
JPY | 90,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.43% (pays annually) | 6/15/32 | 2,124 | — | 2,124 |
JPY | 21,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.90% (pays annually) | 2/2/33 | (5,650) | — | (5,650) |
JPY | 26,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | (14,107) | — | (14,107) |
JPY | 23,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | (12,653) | — | (12,653) |
JPY | 25,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | (14,025) | — | (14,025) |
JPY | 11,900 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | (6,710) | — | (6,710) |
JPY | 11,100 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | (6,388) | — | (6,388) |
JPY | 11,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | (6,384) | — | (6,384) |
KRW | 360,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 1/11/26 | 916 | — | 916 |
KRW | 397,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.43% (pays quarterly) | 1/11/26 | 1,247 | — | 1,247 |
KRW | 221,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.36% (pays quarterly) | 1/12/26 | 380 | — | 380 |
KRW | 238,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.39% (pays quarterly) | 1/12/26 | 554 | — | 554 |
KRW | 347,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.39% (pays quarterly) | 1/12/26 | 821 | — | 821 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
KRW | 200,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.24% (pays quarterly) | 1/17/26 | $ (82) | $ — | $ (82) |
KRW | 435,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 3/15/26 | 1,224 | — | 1,224 |
KRW | 623,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.10% (pays quarterly) | 2/1/28 | (1,370) | — | (1,370) |
MXN | 18,100 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 9.19% (pays monthly) | 2/18/28 | 25,232 | — | 25,232 |
MXN | 4,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 4/17/28 | 1,679 | — | 1,679 |
MXN | 13,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.73% (pays monthly) | 4/17/28 | 6,040 | — | 6,040 |
MXN | 5,400 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.56% (pays monthly) | 4/18/28 | 447 | — | 447 |
NZD | 1,850 | Pays | 3-month NZD Bank Bill (pays quarterly) | 5.17% (pays semi-annually) | 1/11/25 | 13,939 | — | 13,939 |
NZD | 2,000 | Pays | 3-month NZD Bank Bill (pays quarterly) | 5.19% (pays semi-annually) | 1/11/25 | 15,366 | — | 15,366 |
NZD | 1,000 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.98% (pays semi-annually) | 2/2/25 | (1,888) | — | (1,888) |
PLN | 890 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.56% (pays annually) | 12/21/27 | 917 | — | 917 |
PLN | 1,010 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.02% (pays annually) | 12/21/27 | (3,838) | — | (3,838) |
PLN | 650 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.51% (pays annually) | 6/28/32 | (16,761) | — | (16,761) |
PLN | 650 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.78% (pays annually) | 6/28/32 | (20,094) | — | (20,094) |
PLN | 800 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.99% (pays annually) | 9/21/32 | (28,432) | — | (28,432) |
PLN | 510 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.53% (pays annually) | 12/21/32 | (578) | — | (578) |
PLN | 590 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.85% (pays annually) | 12/21/32 | (4,190) | — | (4,190) |
PLN | 1,500 | Receives | 6-month PLN WIBOR (pays annually) | 5.98% (pays semi-annually) | 12/21/32 | (14,159) | — | (14,159) |
PLN | 750 | Receives | 6-month PLN WIBOR (pays annually) | 5.32% (pays semi-annually) | 2/1/33 | 1,672 | — | 1,672 |
SEK | 4,250 | Pays | 3-month SEK STIBOR (pays quarterly) | 3.47% (pays annually) | 4/6/25 | (336) | — | (336) |
TWD | 15,300 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.17% (pays quarterly) | 12/21/27 | 3,861 | — | 3,861 |
TWD | 46,100 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.19% (pays quarterly) | 12/21/27 | 10,237 | — | 10,237 |
TWD | 5,500 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.25% (pays quarterly) | 2/2/28 | 475 | — | 475 |
USD | 1,000 | Pays | SOFR (pays annually) | 3.06% (pays annually) | 11/7/32 | (14,213) | — | (14,213) |
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 | 160 | Pays | SOFR (pays annually) | 3.23% (pays semi-annually) | 1/13/33 | $ 678 | $ — | $ 678 |
USD | 1,000 | Pays | SOFR (pays annually) | 3.18% (pays annually) | 2/2/33 | (5,504) | — | (5,504) |
ZAR | 11,646 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.67% (pays quarterly) | 1/19/28 | (18,402) | 6 | (18,396) |
ZAR | 11,235 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.71% (pays quarterly) | 1/19/28 | (16,671) | 7 | (16,664) |
ZAR | 11,919 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.71% (pays quarterly) | 1/20/28 | (17,625) | 6 | (17,619) |
ZAR | 9,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.70% (pays quarterly) | 2/1/28 | (13,269) | — | (13,269) |
ZAR | 3,001 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.39% (pays quarterly) | 2/24/28 | 124 | 4 | 128 |
ZAR | 2,820 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.39% (pays quarterly) | 2/24/28 | 149 | 4 | 153 |
ZAR | 3,158 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.26% (pays quarterly) | 2/27/28 | (797) | 4 | (793) |
ZAR | 3,021 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.38% (pays quarterly) | 2/27/28 | 48 | 4 | 52 |
Total | $(53,305) | $ 34 | $ (53,271) |
Interest Rate Swaps (OTC) | |||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Citibank, N.A. | MYR | 1,500 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.63% (pays quarterly) | 6/21/28 | $ 2,791 |
JPMorgan Chase Bank, N.A. | MYR | 1,800 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.63% (pays quarterly) | 6/21/28 | 3,387 |
Total | $6,178 |
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) |
Petroleos Mexicanos | $ 700 | 1.00% (pays quarterly)(1) | 6.06% | 12/20/27 | $ (130,158) | $ 145,761 | $ 15,603 |
Petroleos Mexicanos | 1,400 | 1.00% (pays quarterly)(1) | 6.28 | 6/20/28 | (292,365) | 298,430 | 6,065 |
Total | $2,100 | $(422,523) | $444,191 | $21,668 |
Credit Default Swaps - Sell Protection (OTC) | ||||||||
Reference Entity | Counterparty | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Vietnam | Goldman Sachs International | $ 300 | 1.00% (pays quarterly)(1) | 0.57% | 6/20/24 | $ 1,778 | $ (1,021) | $ 757 |
Vietnam | Goldman Sachs International | 900 | 1.00% (pays quarterly)(1) | 1.31 | 6/20/28 | (11,551) | 14,703 | 3,152 |
Total | $1,200 | $ (9,773) | $13,682 | $3,909 |
* | 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, 2023, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $3,300,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Effective Date/ Termination Date(1) | Value/Unrealized Appreciation (Depreciation) |
Barclays Bank PLC | 1-day Indice Camara Promedio Rate on CLP 140,904,680 (pays semi-annually)* | 1.41% on CLP equivalent of CLF 172,000 (pays semi-annually)* | Not Applicable/ 1/13/33 | $ 4,907 |
BNP Paribas | 3-month PLN WIBOR + 1.45% on PLN 520,798 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date** | 3-month EURIBOR on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount** | 10/14/25/ 10/14/28 | 1,597 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 63,504,540 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 2,000 (pays semi-annually)* | Not Applicable/ 4/8/32 | (13,344) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 158,776,700 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 5,000 (pays semi-annually)* | Not Applicable/ 4/11/32 | (36,169) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 28,777,725 (pays semi-annually)* | 1.85% on CLP equivalent of CLF 900 (pays semi-annually)* | Not Applicable/ 4/20/32 | (5,024) |
$(48,033) |
(1) | Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual. |
* | 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. |
** | The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered. |
Abbreviations: | |
COF | – Cost of Funds 11th District |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
EURIBOR | – Euro Interbank Offered Rate |
HICP | – Harmonised Indices of Consumer Prices |
JIBAR | – Johannesburg Interbank Average Rate |
KLIBOR | – Kuala Lumpur Interbank Offered Rate |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
STIBOR | – Stockholm Interbank Offered Rate |
TAIBOR | – Taipei Interbank Offered Rate |
TBA | – To Be Announced |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
AUD | – Australian Dollar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CLF | – Chilean Unidad de Fomento |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EUR | – Euro |
GBP | – British Pound Sterling |
IDR | – Indonesian Rupiah |
INR | – Indian Rupee |
ISK | – Icelandic Krona |
JPY | – Japanese Yen |
KRW | – South Korean Won |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NZD | – New Zealand Dollar |
PEN | – Peruvian Sol |
PHP | – Philippine Peso |
PLN | – Polish Zloty |
RSD | – Serbian Dinar |
SEK | – Swedish Krona |
THB | – Thai Baht |
TWD | – New Taiwan Dollar |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
ZAR | – South African Rand |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $39,932,972) | $ 38,371,196 |
Affiliated investment, at value (identified cost $4,243,350) | 4,243,350 |
Cash | 2,671 |
Deposits for derivatives collateral: | |
Futures contracts | 153,373 |
Centrally cleared derivatives | 1,611,955 |
Foreign currency, at value (identified cost $730,510) | 736,402 |
Interest and dividends receivable | 478,655 |
Dividends receivable from affiliated investment | 16,288 |
Receivable for investments sold | 2,067,660 |
Receivable for variation margin on open centrally cleared derivatives | 124,783 |
Receivable for open forward foreign currency exchange contracts | 126,938 |
Receivable for open swap contracts | 16,591 |
Upfront payments on open non-centrally cleared swap contracts | 1,021 |
Receivable for closed swap contracts | 26,266 |
Receivable for open non-deliverable bond forward contracts | 5,372 |
Receivable from affiliate | 15,856 |
Total assets | $47,998,377 |
Liabilities | |
Written swaptions outstanding, at value (premiums received $36,050) | $ 1,016 |
Payable for investments purchased | 1,478,440 |
Payable for when-issued securities/forward purchase commitments | 2,720,578 |
Payable for variation margin on open futures contracts | 8,058 |
Payable for open forward foreign currency exchange contracts | 214,149 |
Payable for open swap contracts | 54,537 |
Payable for closed swap contracts | 155,760 |
Upfront receipts on open non-centrally cleared swap contracts | 14,703 |
Payable for open non-deliverable bond forward contracts | 14,003 |
Payable to affiliate: | |
Investment adviser fee | 16,948 |
Trustees' fees | 225 |
Accrued foreign capital gains taxes | 6,641 |
Accrued expenses | 170,213 |
Total liabilities | $ 4,855,271 |
Net Assets applicable to investors' interest in Portfolio | $43,143,106 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income from affiliated investment | $ 59,973 |
Interest income (net of foreign taxes withheld of $5,362) | 835,313 |
Total investment income | $ 895,286 |
Expenses | |
Investment adviser fee | $ 89,345 |
Trustees’ fees and expenses | 1,326 |
Custodian fee | 94,493 |
Legal and accounting services | 46,399 |
Interest expense and fees | 3,129 |
Miscellaneous | 1,492 |
Total expenses | $ 236,184 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 110,063 |
Total expense reductions | $ 110,063 |
Net expenses | $ 126,121 |
Net investment income | $ 769,165 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $2,783) | $ (1,880,377) |
Futures contracts | 30,368 |
Swap contracts | (340,440) |
Foreign currency transactions | 98,181 |
Forward foreign currency exchange contracts | 370,785 |
Non-deliverable bond forward contracts | 91,804 |
Net realized loss | $(1,629,679) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $6,641) | $ 4,873,468 |
Written swaptions | 144,940 |
Futures contracts | (66,488) |
Swap contracts | 245,840 |
Foreign currency | 1,551 |
Forward foreign currency exchange contracts | (519,109) |
Non-deliverable bond forward contracts | (25,480) |
Net change in unrealized appreciation (depreciation) | $ 4,654,722 |
Net realized and unrealized gain | $ 3,025,043 |
Net increase in net assets from operations | $ 3,794,208 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 769,165 | $ 1,267,521 |
Net realized loss | (1,629,679) | (2,839,955) |
Net change in unrealized appreciation (depreciation) | 4,654,722 | (6,379,198) |
Net increase (decrease) in net assets from operations | $ 3,794,208 | $ (7,951,632) |
Capital transactions: | ||
Contributions | $ 14,639,672 | $ 3,228,450 |
Withdrawals | (3,845,640) | (24,824,354) |
Net increase (decrease) in net assets from capital transactions | $10,794,032 | $(21,595,904) |
Net increase (decrease) in net assets | $14,588,240 | $(29,547,536) |
Net Assets | ||
At beginning of period | $ 28,554,866 | $ 58,102,402 |
At end of period | $43,143,106 | $ 28,554,866 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.70% (1)(2)(3)(4) | 0.72% (2)(3)(4) | 0.71% (3)(4) | 0.71% (3)(4) | 0.81% (3)(4) | 0.81% (3)(4) |
Net investment income | 4.29% (1) | 3.13% | 1.86% | 2.48% | 3.73% | 3.81% |
Portfolio Turnover | 111% (5)(6) | 159% (6) | 102% (6) | 88% (6) | 92% | 23% |
Total Return | 13.04% (4)(5) | (18.54)% (4) | (0.08)% (4) | 6.04% (4) | 5.92% (4) | (2.28)% (4) |
Net assets, end of period (000’s omitted) | $43,143 | $28,555 | $58,102 | $57,167 | $84,644 | $95,163 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.015% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(3) | Includes interest expense of 0.02% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022 and 0.01% of average daily net assets for each of the years ended October 31, 2021, 2020, 2019 and 2018. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.61%, 0.40%, 0.19%, 0.16%, 0.09% and 0.11% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Not annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.500% |
$1 billion but less than $2.5 billion | 0.475% |
$2.5 billion but less than $5 billion | 0.455% |
$5 billion and over | 0.440% |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 20,706,013 | $ 13,080,716 |
U.S. Government and Agency Securities | 20,376,861 | 20,253,151 |
$41,082,874 | $33,333,867 |
Aggregate cost | $ 44,625,213 |
Gross unrealized appreciation | $ 746,380 |
Gross unrealized depreciation | (3,108,637) |
Net unrealized depreciation | $ (2,362,257) |
Fair Value | ||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ — | $ 33,429 | $ — | $ 33,429 |
Not applicable | — | 545,149* | 522,408* | 1,067,557 |
Receivable for open forward foreign currency exchange contracts | — | 126,938 | — | 126,938 |
Receivable for open swap contracts; Upfront payments on open non-centrally cleared swap contracts | 1,778 | — | 12,682 | 14,460 |
Receivable for open non-deliverable bond forward contracts | — | — | 5,372 | 5,372 |
Total Asset Derivatives | $ 1,778 | $ 705,516 | $ 540,462 | $ 1,247,756 |
Derivatives not subject to master netting or similar agreements | $ — | $ 545,149 | $ 522,408 | $ 1,067,557 |
Total Asset Derivatives subject to master netting or similar agreements | $ 1,778 | $ 160,367 | $ 18,054 | $ 180,199 |
Written swaptions outstanding, at value | $ — | $ — | $ (1,016) | $ (1,016) |
Not applicable | (422,523)* | (707,906)* | (598,139)* | (1,728,568) |
Payable for open forward foreign currency exchange contracts | — | (214,149) | — | (214,149) |
Payable/Receivable for open swap contracts; Upfront receipts on open non-centrally cleared swap contracts | (11,551) | — | (54,537) | (66,088) |
Payable for open non-deliverable bond forward contracts | — | — | (14,003) | (14,003) |
Total Liability Derivatives | $(434,074) | $(922,055) | $(667,695) | $(2,023,824) |
Derivatives not subject to master netting or similar agreements | $(422,523) | $(707,906) | $(598,139) | $(1,728,568) |
Total Liability Derivatives subject to master netting or similar agreements | $ (11,551) | $(214,149) | $ (69,556) | $ (295,256) |
* | Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Bank of America, N.A. | $ 1,564 | $ (1,564) | $ — | $ — | $ — |
Barclays Bank PLC | 7,152 | (1,175) | — | — | 5,977 |
BNP Paribas | 1,597 | (1,597) | — | — | — |
Citibank, N.A. | 41,212 | (30,881) | — | — | 10,331 |
Credit Agricole Corporate and Investment Bank | 2,659 | — | — | — | 2,659 |
Goldman Sachs International | 15,112 | (15,112) | — | — | — |
HSBC Bank USA, N.A. | 6,465 | (491) | — | — | 5,974 |
JPMorgan Chase Bank, N.A. | 3,387 | — | — | — | 3,387 |
Standard Chartered Bank | 21,468 | (21,468) | — | — | — |
State Street Bank and Trust Company | 71,811 | — | — | — | 71,811 |
UBS AG | 7,772 | (7,772) | — | — | — |
$180,199 | $(80,060) | $ — | $ — | $100,139 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Bank of America, N.A. | $ (84,990) | $ 1,564 | $ — | $ — | $ (83,426) |
Barclays Bank PLC | (1,175) | 1,175 | — | — | — |
BNP Paribas | (8,943) | 1,597 | — | — | (7,346) |
Citibank, N.A. | (30,881) | 30,881 | — | — | — |
Goldman Sachs International | (88,304) | 15,112 | — | — | (73,192) |
HSBC Bank USA, N.A. | (491) | 491 | — | — | — |
Standard Chartered Bank | (56,872) | 21,468 | — | — | (35,404) |
UBS AG | (23,600) | 7,772 | — | — | (15,828) |
$(295,256) | $80,060 | $ — | $ — | $(215,196) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Statement of Operations Caption | Credit | Foreign Exchange | Interest Rate | Total |
Net realized gain (loss): | ||||
Investment transactions | $ — | $ — | $ (32,900) | $ (32,900) |
Futures contracts | — | — | 30,368 | 30,368 |
Swap contracts | 95,828 | — | (436,268) | (340,440) |
Forward foreign currency exchange contracts | — | 370,785 | — | 370,785 |
Non-deliverable bond forward contracts | — | — | 91,804 | 91,804 |
Total | $95,828 | $ 370,785 | $(346,996) | $ 119,617 |
Change in unrealized appreciation (depreciation): | ||||
Investments | $ — | $ 11,461 | $ 32,899 | $ 44,360 |
Written swaptions | — | — | 144,940 | 144,940 |
Futures contracts | — | — | (66,488) | (66,488) |
Swap contracts | (7,492) | — | 253,332 | 245,840 |
Forward foreign currency exchange contracts | — | (519,109) | — | (519,109) |
Non-deliverable bond forward contracts | — | — | (25,480) | (25,480) |
Total | $ (7,492) | $(507,648) | $ 339,203 | $(175,937) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Purchased Call Options | Written Swaptions | Swap Contracts |
$1,774,000 | $2,478,000 | $67,062,000 | $1,558,000 | $10,071,000 | $1,957,000 | $57,693,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $1,368,351 | $38,963,528 | $(36,088,529) | $ — | $ — | $4,243,350 | $59,973 | 4,243,350 |
• | 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 | $ — | $ 1,698,046 | $ — | $ 1,698,046 |
Foreign Corporate Bonds | — | 1,297,070 | — | 1,297,070 |
Sovereign Government Bonds | — | 26,118,001 | — | 26,118,001 |
U.S. Government Agency Mortgage-Backed Securities | — | 3,796,510 | — | 3,796,510 |
U.S. Treasury Obligations | — | 686,770 | — | 686,770 |
Short-Term Investments: | ||||
Affiliated Fund | 4,243,350 | — | — | 4,243,350 |
U.S. Treasury Obligations | — | 4,741,370 | — | 4,741,370 |
Purchased Currency Options | — | 33,429 | — | 33,429 |
Total Investments | $ 4,243,350 | $ 38,371,196 | $ — | $ 42,614,546 |
Forward Foreign Currency Exchange Contracts | $ — | $ 672,087 | $ — | $ 672,087 |
Non-Deliverable Bond Forward Contracts | — | 5,372 | — | 5,372 |
Futures Contracts | 83,785 | — | — | 83,785 |
Swap Contracts | — | 453,083 | — | 453,083 |
Total | $ 4,327,135 | $ 39,501,738 | $ — | $ 43,828,873 |
Liability Description | ||||
Written Interest Rate Swaptions | $ — | $ (1,016) | $ — | $ (1,016) |
Forward Foreign Currency Exchange Contracts | — | (922,055) | — | (922,055) |
Non-Deliverable Bond Forward Contracts | — | (14,003) | — | (14,003) |
Liability Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts | $ (32,788) | $ — | $ — | $ (32,788) |
Swap Contracts | — | (1,053,962) | — | (1,053,962) |
Total | $ (32,788) | $ (1,991,036) | $ — | $ (2,023,824) |
Sovereign Government Bonds | Sovereign Government Securities | Total | |
Balance as of October 31, 2022 | $ 532,429 | $ 41,884 | $ 574,313 |
Realized gains (losses) | — | — | — |
Change in net unrealized appreciation (depreciation) | — | — | — |
Cost of purchases | — | — | — |
Proceeds from sales, including return of capital | — | — | — |
Accrued discount (premium) | — | — | — |
Transfers to Level 3 | — | — | — |
Transfers from Level 3(1) | (532,429) | (41,884) | (574,313) |
Balance as of April 30, 2023 | $ — | $ — | $ — |
(1) | Transferred from Level 3 based on the observability of valuation inputs resulting from new market activity. |
Officers of Eaton Vance Global Bond Fund and International Income Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Global Bond Fund and International Income Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Global Bond Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Advisers Class at NAV | 05/17/2021 | 09/30/2002 | 0.23% | (2.04)% | 0.46% | 0.86% |
Class A at NAV | 09/30/2002 | 09/30/2002 | 0.37 | (2.03) | 0.48 | 0.87 |
Class A with 2.25% Maximum Sales Charge | — | — | (1.95) | (4.21) | 0.03 | 0.64 |
Class C at NAV | 09/30/2002 | 09/30/2002 | 0.07 | (2.61) | (0.12) | 0.39 |
Class C with 1% Maximum Deferred Sales Charge | — | — | (0.91) | (3.56) | (0.12) | 0.39 |
Class I at NAV | 05/04/2009 | 09/30/2002 | 0.36 | (1.79) | 0.73 | 1.12 |
ICE BofA 0-1 Year U.S. Treasury Index | — | — | 2.20% | 2.43% | 1.47% | 0.96% |
% Total Annual Operating Expense Ratios3 | Advisers Class | Class A | Class C | Class I |
0.79% | 0.79% | 1.39% | 0.54% |
Asset Allocation (% of total investments)1 |
1 | Other represents any investment type less than 1% of total investments. |
1 | ICE BofA 0-1 Year U.S. Treasury Index is an unmanaged index of short-term U.S. Treasury securities having a maturity of less than one year. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Advisers Class is linked to Class A. Performance presented in the Financial Highlights included in the financial statements is not linked.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Advisers Class | $1,000.00 | $1,002.30 | $4.96 | 1.00% |
Class A | $1,000.00 | $1,003.70 | $4.97 | 1.00% |
Class C | $1,000.00 | $1,000.70 | $7.94 | 1.60% |
Class I | $1,000.00 | $1,003.60 | $3.73 | 0.75% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Advisers Class | $1,000.00 | $1,019.84 | $5.01 | 1.00% |
Class A | $1,000.00 | $1,019.84 | $5.01 | 1.00% |
Class C | $1,000.00 | $1,016.86 | $8.00 | 1.60% |
Class I | $1,000.00 | $1,021.08 | $3.76 | 0.75% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. |
Collateralized Mortgage Obligations — 33.8% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
Series 2135, Class JZ, 6.00%, 3/15/29 | $ | 258 | $ 263,338 |
Series 3866, Class DF, 6.00%, (1 mo. USD LIBOR + 1.45%), 5/15/41(1) | 1,044 | 1,011,154 | |
Series 4102, Class DF, 5.50%, (1 mo. USD LIBOR + 1.15%), 9/15/42(1) | 271 | 253,755 | |
Series 4159, Class FP, 5.00%, (1 mo. USD LIBOR + 0.90%), 11/15/42(1) | 611 | 559,156 | |
Series 4180, Class KF, 5.00%, (1 mo. USD LIBOR + 1.00%), 1/15/43(1) | 3,145 | 2,904,991 | |
Series 4204, Class AF, 5.00%, (1 mo. USD LIBOR + 1.00%), 5/15/43(1) | 540 | 489,188 | |
Series 4212, Class NS, 0.049%, (5.40% - 1 mo. USD LIBOR x 1.20), 6/15/43(2) | 1,693 | 1,742,082 | |
Series 4223, Class NF, 5.798%, (1 mo. USD LIBOR + 0.95%), 7/15/43(1) | 1,931 | 1,801,637 | |
Series 4249, Class CF, 5.648%, (1 mo. USD LIBOR + 0.80%), 9/15/43(1) | 7,082 | 7,050,971 | |
Series 4299, Class JG, 2.50%, 7/15/43 | 637 | 609,043 | |
Series 4389, Class CA, 3.00%, 9/15/44 | 1,334 | 1,264,461 | |
Series 4619, Class KF, 5.00%, (1 mo. USD LIBOR + 0.75%), 6/15/39(1) | 710 | 694,811 | |
Series 4678, Class PC, 3.00%, 1/15/46 | 1,456 | 1,399,434 | |
Series 4876, Class FA, 5.648%, (1 mo. USD LIBOR + 0.70%), 5/15/49(1) | 6,903 | 6,906,324 | |
Series 4995, Class ZN, 2.50%, 7/25/50 | 1,029 | 626,595 | |
Series 5009, Class ZN, 3.50%, 7/25/50 | 5,072 | 4,616,443 | |
Series 5021, Class CZ, 2.00%, 10/25/50 | 3,763 | 1,842,249 | |
Series 5021, Class NZ, 2.00%, 10/25/50 | 3,192 | 1,739,636 | |
Series 5028, Class AZ, 2.00%, 10/25/50 | 1,000 | 488,706 | |
Series 5028, Class TZ, 2.00%, 10/25/50 | 2,686 | 1,562,274 | |
Series 5028, Class ZA, 2.00%, 10/25/50 | 1,150 | 584,909 | |
Series 5028, Class ZT, 2.00%, 10/25/50 | 2,235 | 1,174,201 | |
Series 5031, Class Z, 2.50%, 10/25/50 | 8 | 4,364 | |
Series 5035, Class AZ, 2.00%, 11/25/50 | 1,460 | 784,165 | |
Series 5035, Class ZK, 2.50%, 11/25/50 | 17,080 | 11,005,604 | |
Series 5035, Class ZT, 2.00%, 10/25/50 | 1,633 | 858,898 | |
Series 5036, Class Z, 2.00%, 11/25/50 | 14,714 | 7,764,202 | |
Series 5037, Class QZ, 2.00%, 11/25/50 | 6,558 | 3,468,450 | |
Series 5037, Class ZQ, 2.00%, 11/25/50 | 771 | 401,510 | |
Series 5038, Class Z, 2.50%, 10/25/50 | 4 | 1,959 | |
Series 5038, Class ZN, 2.00%, 11/25/50 | 1,802 | 879,006 | |
Series 5039, Class PZ, 2.00%, 11/25/50 | 1,165 | 585,639 | |
Series 5039, Class ZJ, 2.00%, 11/25/50 | 354 | 172,682 | |
Series 5040, Class TZ, 2.50%, 11/25/50 | 4,291 | 2,563,903 | |
Series 5048, Class CZ, 2.00%, 12/25/50 | 1,879 | 948,966 | |
Series 5050, Class DZ, 2.00%, 11/25/50 | 3,639 | 1,862,194 | |
Series 5050, Class ZC, 2.00%, 12/25/50 | 6,257 | 3,393,726 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: (continued) | |||
Series 5050, Class ZJ, 2.00%, 12/25/50 | $ | 8,112 | $ 4,343,811 |
Series 5057, Class AZ, 2.00%, 12/25/50 | 3,054 | 1,568,519 | |
Series 5058, Class CZ, 2.00%, 1/25/51 | 8,675 | 4,905,691 | |
Series 5058, Class Z, 2.00%, 1/25/51 | 707 | 354,647 | |
Series 5058, Class ZA, 2.00%, 1/25/51 | 1,026 | 526,468 | |
Series 5058, Class ZH, 3.00%, 5/25/50 | 2,897 | 1,931,048 | |
Series 5068, Class UZ, 2.50%, 1/25/51 | 9,459 | 6,127,923 | |
Series 5071, Class CS, 0.27%, (3.30% - 30-day average SOFR), 2/25/51(2) | 6,990 | 4,555,196 | |
Series 5071, Class SP, 0.00%, (3.30% - 30-day average SOFR, Floor 0.00%), 2/25/51(2) | 9,615 | 7,128,110 | |
Series 5072, Class ZU, 2.50%, 2/25/51 | 3,013 | 1,801,831 | |
Series 5083, Class SK, 0.00%, (3.87% - 30-day average SOFR x 1.33, Floor 0.00%), 3/25/51(2) | 8,471 | 6,020,063 | |
Series 5083, Class ZW, 2.50%, 3/25/51 | 5,052 | 2,995,637 | |
Series 5090, Class PZ, 2.50%, 3/25/51 | 527 | 302,254 | |
Series 5093, Class Z, 3.00%, 1/25/51 | 1 | 636 | |
Series 5093, Class ZM, 3.00%, 3/25/51 | 2 | 1,451 | |
Series 5101, Class EZ, 2.00%, 3/25/51 | 2,023 | 1,200,294 | |
Series 5104, Class WZ, 3.00%, 4/25/51 | 895 | 640,147 | |
Series 5114, Class ZH, 3.00%, 5/25/51 | 437 | 325,326 | |
Series 5123, Class JZ, 2.00%, 7/25/51 | 773 | 459,702 | |
Series 5129, Class CZ, 3.00%, 8/25/50 | 14,986 | 10,567,361 | |
Series 5129, Class HZ, 1.25%, 4/25/50 | 1,627 | 1,236,799 | |
Series 5129, Class TZ, 2.50%, 8/25/51 | 3,187 | 1,793,517 | |
Series 5129, Class WZ, 3.00%, 8/25/50 | 1 | 679 | |
Series 5129, Class ZE, 3.00%, 9/25/50 | 204 | 132,583 | |
Series 5129, Class ZH, 3.00%, 7/25/50 | 1 | 679 | |
Series 5129, Class ZW, 3.00%, 8/25/50 | 1 | 454 | |
Series 5131, Class QZ, 3.00%, 7/25/51 | 2,952 | 2,032,679 | |
Series 5132, Class LZ, 2.50%, 8/25/51 | 8,392 | 5,144,235 | |
Series 5135, Class MZ, 2.50%, 8/25/51 | 12,813 | 8,180,658 | |
Series 5136, Class ZJ, 2.50%, 8/25/51 | 17,168 | 10,771,086 | |
Series 5139, Class DZ, 2.50%, 9/25/51 | 10,325 | 6,472,902 | |
Series 5139, Class EZ, 2.50%, 9/25/51 | 11,976 | 7,364,937 | |
Series 5140, Class WZ, 2.50%, 9/25/51 | 6,756 | 4,374,573 | |
Series 5141, Class ZJ, 2.50%, 9/25/51 | 12,458 | 7,819,470 | |
Series 5141, Class ZP, 3.00%, 4/25/50 | 12,300 | 9,268,611 | |
Series 5144, Class Z, 2.50%, 9/25/51 | 35,624 | 23,050,119 | |
Series 5148, Class AZ, 2.50%, 10/25/51 | 39,028 | 25,347,639 | |
Series 5150, Class QZ, 2.50%, 10/25/51 | 4,753 | 3,078,720 | |
Series 5150, Class ZJ, 2.50%, 10/25/51 | 13,651 | 8,821,166 | |
Series 5150, Class ZN, 2.50%, 10/25/51 | 1,201 | 724,416 | |
Series 5159, Class KZ, 3.00%, 11/25/51 | 6,583 | 4,816,576 | |
Series 5159, Class MZ, 3.00%, 11/25/51 | 998 | 682,795 | |
Series 5159, Class ZP, 3.00%, 11/25/51 | 4,502 | 3,148,561 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: (continued) | |||
Series 5159, Class ZT, 3.00%, 11/25/51 | $ | 8,275 | $ 5,941,056 |
Series 5160, Class ZW, 3.00%, 8/25/50 | 2,665 | 2,024,831 | |
Series 5163, Class Z, 3.00%, 11/25/51 | 5,652 | 3,829,582 | |
Series 5166, Class ZN, 3.00%, 9/25/50 | 10,147 | 7,024,933 | |
Series 5168, Class MZ, 3.00%, 10/25/51 | 6,448 | 4,568,368 | |
Series 5169, Class JZ, 3.00%, 1/25/49 | 377 | 278,944 | |
Series 5300, Class EY, 6.00%, 12/25/52 | 5,000 | 5,187,689 | |
Interest Only:(3) | |||
Series 354, Class C11, 3.50%, 7/15/46 | 8,920 | 1,549,833 | |
Series 354, Class C15, 3.50%, 11/15/46 | 8,084 | 1,665,380 | |
Series 362, Class C7, 3.50%, 9/15/47 | 14,185 | 2,524,414 | |
Series 362, Class C11, 4.00%, 12/15/47 | 4,247 | 846,527 | |
Series 362, Class C12, 4.00%, 12/15/47 | 8,520 | 1,691,705 | |
Series 380, Class C1, 3.00%, 1/25/50 | 32,045 | 5,390,321 | |
Series 380, Class C5, 3.50%, 1/25/50 | 10,084 | 1,804,863 | |
Series 3030, Class SL, 1.152%, (6.10% - 1 mo. USD LIBOR), 9/15/35(2) | 940 | 75,790 | |
Series 3114, Class TS, 1.702%, (6.65% - 1 mo. USD LIBOR), 9/15/30(2) | 1,659 | 80,836 | |
Series 3339, Class JI, 1.642%, (6.59% - 1 mo. USD LIBOR), 7/15/37(2) | 877 | 98,802 | |
Series 4088, Class EI, 3.50%, 9/15/41 | 41 | 295 | |
Series 4094, Class CS, 1.052%, (6.00% - 1 mo. USD LIBOR), 8/15/42(2) | 622 | 72,057 | |
Series 4109, Class SA, 1.252%, (6.20% - 1 mo. USD LIBOR), 9/15/32(2) | 1,026 | 74,363 | |
Series 4497, Class CS, 1.252%, (6.20% - 1 mo. USD LIBOR), 9/15/44(2) | 184 | 3,765 | |
Series 4507, Class EI, 4.00%, 8/15/44 | 2,757 | 334,117 | |
Series 4507, Class MI, 3.50%, 8/15/44 | 281 | 12,337 | |
Series 4549, Class DS, 0.952%, (5.90% - 1 mo. USD LIBOR), 8/15/45(2) | 908 | 66,547 | |
Series 4601, Class IN, 3.50%, 7/15/46 | 13,910 | 2,447,686 | |
Series 4625, Class BI, 3.50%, 6/15/46 | 2,741 | 459,435 | |
Series 4637, Class IP, 3.50%, 4/15/44 | 148 | 5,353 | |
Series 4672, Class LI, 3.50%, 1/15/43 | 9 | 11 | |
Series 4749, Class IL, 4.00%, 12/15/47 | 968 | 184,841 | |
Series 4768, Class IO, 4.00%, 3/15/48 | 1,108 | 211,030 | |
Series 4768, Class KI, 4.00%, 11/15/47 | 1,954 | 372,465 | |
Series 4772, Class PI, 4.00%, 1/15/48 | 1,204 | 229,275 | |
Series 4791, Class JI, 4.00%, 5/15/48 | 1,756 | 350,740 | |
Series 4791, Class SA, 1.252%, (6.20% - 1 mo. USD LIBOR), 5/15/48(2) | 4,843 | 612,353 | |
Series 4796, Class AS, 1.252%, (6.20% - 1 mo. USD LIBOR), 5/15/48(2) | 3,067 | 378,399 | |
Series 4808, Class IB, 4.00%, 5/15/48 | 4,696 | 934,623 | |
Series 4966, Class SY, 1.03%, (6.05% - 1 mo. USD LIBOR), 4/25/50(2) | 4,497 | 612,301 | |
Series 5008, Class IE, 2.00%, 9/25/50 | 66,625 | 8,127,626 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 5010, Class I, 2.00%, 9/25/50 | $ | 31,206 | $ 3,826,944 |
Series 5010, Class IB, 2.00%, 9/25/50 | 46,260 | 5,643,289 | |
Series 5010, Class IN, 2.00%, 9/25/50 | 82,281 | 10,107,470 | |
Series 5010, Class NI, 2.00%, 9/25/50 | 17,219 | 2,147,304 | |
Series 5016, Class UI, 2.00%, 9/25/50 | 14,803 | 1,805,853 | |
Series 5017, Class DI, 2.00%, 9/25/50 | 30,664 | 3,740,695 | |
Series 5019, Class CI, 2.00%, 10/25/50 | 25,078 | 3,090,975 | |
Series 5020, Class CI, 2.00%, 9/25/50 | 6,184 | 735,258 | |
Series 5022, Class AI, 2.00%, 10/25/50 | 33,404 | 4,118,896 | |
Series 5024, Class CI, 2.00%, 10/25/50 | 99,868 | 12,344,157 | |
Series 5025, Class GI, 2.00%, 10/25/50 | 10,842 | 1,335,069 | |
Series 5028, Class TI, 2.00%, 10/25/50 | 13,846 | 1,363,658 | |
Series 5038, Class DI, 2.00%, 11/25/50 | 79,012 | 9,745,762 | |
Series 5051, Class S, 0.00%, (3.60% - 30-day average SOFR, Floor 0.00%), 12/25/50(2) | 30,868 | 1,446,088 | |
Series 5070, Class CI, 2.00%, 2/25/51 | 76,923 | 10,199,598 | |
Series 5156, Class IP, 3.00%, 12/25/49 | 24,641 | 3,854,737 | |
Series 5191, Class IB, 2.50%, 2/25/51 | 51,571 | 7,954,132 | |
Principal Only:(4) | |||
Series 213, Class PO, 0.00%, 6/1/31 | 1,002 | 877,404 | |
Series 239, Class PO, 0.00%, 8/15/36 | 518 | 405,149 | |
Series 246, Class PO, 0.00%, 5/15/37 | 1,261 | 1,026,973 | |
Series 3072, Class WO, 0.00%, 11/15/35 | 446 | 366,510 | |
Series 3342, Class KO, 0.00%, 7/15/37 | 174 | 145,094 | |
Series 3476, Class PO, 0.00%, 7/15/38 | 216 | 170,517 | |
Series 3862, Class PO, 0.00%, 5/15/41 | 473 | 370,759 | |
Series 4239, Class OU, 0.00%, 7/15/43 | 2,826 | 1,590,459 | |
Federal National Mortgage Association: | |||
Series G97-4, Class FA, 5.748%, (1 mo. USD LIBOR + 0.80%), 6/17/27(1) | 59 | 58,774 | |
Series 1993-203, Class PL, 6.50%, 10/25/23 | 6 | 6,080 | |
Series 1994-14, Class F, 7.291%, (12 mo. USD LIBOR + 1.60%), 10/25/23(1) | 5 | 5,346 | |
Series 2001-4, Class GA, 9.00%, 4/17/25(5) | 0 (6) | 28 | |
Series 2009-48, Class WA, 5.80%, 7/25/39(5) | 248 | 252,688 | |
Series 2009-62, Class WA, 5.579%, 8/25/39(5) | 354 | 360,144 | |
Series 2010-112, Class DZ, 4.00%, 10/25/40 | 330 | 322,723 | |
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(2) | 134 | 131,554 | |
Series 2012-51, Class FD, 5.60%, (1 mo. USD LIBOR + 0.58%), 5/25/42(1) | 17,137 | 17,039,531 | |
Series 2012-103, Class ZP, 3.00%, 9/25/42 | 796 | 661,053 | |
Series 2012-115, Class MX, 0.00%, (3.46% - 1 mo. USD LIBOR x 1.154, Floor 0.00%), 10/25/42(2) | 628 | 246,336 | |
Series 2012-128, Class SH, 0.00%, (4.00% - 1 mo. USD LIBOR, Floor 0.00%), 11/25/42(2) | 3,753 | 2,460,552 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 2012-128, Class WS, 0.00%, (4.00% - 1 mo. USD LIBOR, Floor 0.00%), 11/25/42(2) | $ | 547 | $ 353,712 |
Series 2012-134, Class ZT, 2.00%, 12/25/42 | 997 | 834,553 | |
Series 2013-52, Class GA, 1.00%, 6/25/43 | 584 | 528,571 | |
Series 2013-58, Class SC, 0.622%, (6.00% - 1 mo. USD LIBOR x 1.50), 6/25/43(2) | 2,651 | 2,281,906 | |
Series 2013-67, Class NF, 5.00%, (1 mo. USD LIBOR + 1.00%), 7/25/43(1) | 631 | 611,139 | |
Series 2014-1, Class HF, 5.00%, (1 mo. USD LIBOR + 1.50%), 6/25/43(1) | 730 | 672,556 | |
Series 2014-5, Class LB, 2.50%, 7/25/43 | 19 | 18,933 | |
Series 2015-74, Class SL, 0.00%, (2.349% - 1 mo. USD LIBOR x 0.587, Floor 0.00%), 10/25/45(2) | 1,883 | 1,127,360 | |
Series 2016-26, Class KS, 0.00%, (5.25% - 1 mo. USD LIBOR x 1.75, Floor 0.00%), 11/25/42(2) | 1,603 | 1,318,457 | |
Series 2017-15, Class LE, 3.00%, 6/25/46 | 119 | 115,891 | |
Series 2017-56, Class KF, 5.848%, (1 mo. USD LIBOR + 1.00%), 7/25/47(1) | 561 | 561,335 | |
Series 2017-56, Class KS, 0.152%, (5.00% - 1 mo. USD LIBOR), 7/25/47(2) | 314 | 199,777 | |
Series 2019-1, Class FA, 5.62%, (1 mo. USD LIBOR + 0.60%), 2/25/49(1) | 6,757 | 6,635,929 | |
Series 2019-8, Class FD, 5.72%, (1 mo. USD LIBOR + 0.70%), 3/25/49(1) | 21,986 | 21,997,961 | |
Series 2019-9, Class LF, 5.57%, (1 mo. USD LIBOR + 0.55%), 3/25/49(1) | 8,323 | 8,262,359 | |
Series 2019-16, Class AF, 5.57%, (1 mo. USD LIBOR + 0.55%), 4/25/49(1) | 7,224 | 7,164,682 | |
Series 2020-45, Class MA, 0.00%, (3.20% - 1 mo. USD LIBOR x 0.80, Floor 0.00%), 6/25/43(2) | 1,126 | 971,629 | |
Series 2020-63, Class ZN, 3.00%, 9/25/50 | 305 | 201,568 | |
Series 2020-81, Class CZ, 2.00%, 11/25/50 | 4,962 | 2,694,294 | |
Series 2020-86, Class ZK, 2.00%, 12/25/50 | 4,248 | 2,217,947 | |
Series 2020-86, Class ZP, 2.50%, 12/25/50 | 1,375 | 769,441 | |
Series 2020-95, Class BZ, 2.50%, 1/25/51 | 315 | 173,643 | |
Series 2020-95, Class ZT, 2.00%, 1/25/51 | 3,451 | 1,834,096 | |
Series 2020-96, Class DZ, 2.50%, 1/25/51 | 8,213 | 5,078,246 | |
Series 2020-96, Class EZ, 2.50%, 1/25/51 | 648 | 361,736 | |
Series 2020-96, Class KZ, 2.50%, 1/25/51 | 309 | 171,980 | |
Series 2021-3, Class ZH, 2.50%, 2/25/51 | 1,682 | 972,807 | |
Series 2021-8, Class NZ, 2.50%, 3/25/51 | 1,047 | 608,878 | |
Series 2021-11, Class KZ, 3.00%, 6/25/50 | 542 | 373,687 | |
Series 2021-14, Class GZ, 2.50%, 3/25/51 | 677 | 378,212 | |
Series 2021-22, Class MZ, 3.00%, 4/25/51 | 2,231 | 1,555,513 | |
Series 2021-42, Class ZA, 3.00%, 2/25/51 | 4,727 | 3,312,459 | |
Series 2021-42, Class ZD, 3.00%, 11/25/50 | 5,852 | 4,138,184 | |
Series 2021-45, Class DZ, 3.00%, 7/25/51 | 373 | 242,436 | |
Series 2021-51, Class EZ, 2.50%, 8/25/51 | 1,213 | 717,794 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 2021-52, Class JZ, 2.50%, 8/25/51 | $ | 14,870 | $ 9,498,429 |
Series 2021-55, Class ZN, 2.50%, 8/25/51 | 350 | 203,152 | |
Series 2021-56, Class HZ, 2.50%, 9/25/51 | 31,040 | 20,446,292 | |
Series 2021-56, Class LZ, 2.50%, 9/25/51 | 14,132 | 9,441,347 | |
Series 2021-57, Class ZW, 2.50%, 7/25/51 | 18,793 | 11,756,213 | |
Series 2021-59, Class EZ, 2.50%, 9/25/51 | 1,444 | 864,458 | |
Series 2021-61, Class Z, 2.50%, 9/25/51 | 12,838 | 8,345,397 | |
Series 2021-63, Class QZ, 2.50%, 6/25/51 | 9,605 | 5,934,272 | |
Series 2021-64, Class ZJ, 2.50%, 10/25/51 | 17,407 | 10,928,383 | |
Series 2021-66, Class JZ, 2.50%, 10/25/51 | 12,924 | 8,253,715 | |
Series 2021-69, Class JZ, 2.50%, 10/25/51 | 13,549 | 8,812,014 | |
Series 2021-77, Class WZ, 3.00%, 8/25/50 | 1,833 | 1,222,228 | |
Series 2021-77, Class Z, 3.00%, 5/25/51 | 15,454 | 10,547,436 | |
Series 2021-79, Class Z, 3.00%, 11/25/51 | 16,909 | 12,033,192 | |
Series 2021-95, Class ZC, 3.00%, 8/25/51 | 4,436 | 3,144,430 | |
Series 2022-2, Class ZN, 3.00%, 2/25/52 | 11,519 | 8,234,240 | |
Series 2023-12, Class LW, 6.00%, 4/25/53 | 15,000 | 15,578,105 | |
Series 2023-13, Class LY, 6.00%, 4/25/53 | 9,120 | 9,584,372 | |
Series 2023-14, Class EL, 6.00%, 4/25/53 | 23,200 | 24,166,834 | |
Interest Only:(3) | |||
Series 296, Class 2, 8.00%, 4/25/24 | 0 (6) | 8 | |
Series 424, Class C8, 3.50%, 2/25/48 | 3,914 | 700,698 | |
Series 2004-60, Class SW, 2.03%, (7.05% - 1 mo. USD LIBOR), 4/25/34(2) | 765 | 27,680 | |
Series 2005-68, Class XI, 6.00%, 8/25/35 | 1,195 | 233,339 | |
Series 2006-65, Class PS, 2.20%, (7.22% - 1 mo. USD LIBOR), 7/25/36(2) | 736 | 102,510 | |
Series 2007-99, Class SD, 1.38%, (6.40% - 1 mo. USD LIBOR), 10/25/37(2) | 1,132 | 125,061 | |
Series 2007-102, Class ST, 1.42%, (6.44% - 1 mo. USD LIBOR), 11/25/37(2) | 561 | 52,639 | |
Series 2011-59, Class IW, 6.00%, 7/25/41 | 813 | 154,971 | |
Series 2011-101, Class IC, 3.50%, 10/25/26 | 921 | 31,121 | |
Series 2012-147, Class SA, 1.08%, (6.10% - 1 mo. USD LIBOR), 1/25/43(2) | 775 | 87,760 | |
Series 2014-41, Class SA, 1.03%, (6.05% - 1 mo. USD LIBOR), 7/25/44(2) | 742 | 124,042 | |
Series 2014-55, Class IL, 3.50%, 9/25/44 | 635 | 135,663 | |
Series 2014-55, Class IN, 3.50%, 7/25/44 | 626 | 129,809 | |
Series 2014-89, Class IO, 3.50%, 1/25/45 | 1,011 | 223,045 | |
Series 2015-22, Class GI, 3.50%, 4/25/45 | 305 | 57,988 | |
Series 2015-31, Class SG, 1.08%, (6.10% - 1 mo. USD LIBOR), 5/25/45(2) | 829 | 175,506 | |
Series 2015-36, Class IL, 3.00%, 6/25/45 | 850 | 125,620 | |
Series 2016-61, Class DI, 3.00%, 4/25/46 | 706 | 71,294 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 4,193 | 754,731 | |
Series 2018-42, Class IA, 3.50%, 6/25/47 | 1,058 | 179,741 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2019-1, Class SA, 0.38%, (5.40% - 1 mo. USD LIBOR), 2/25/49(2) | $ | 4,724 | $ 238,800 |
Series 2020-23, Class SP, 1.03%, (6.05% - 1 mo. USD LIBOR), 2/25/50(2) | 12,676 | 1,730,592 | |
Series 2020-45, Class HI, 2.50%, 7/25/50 | 6,918 | 1,005,236 | |
Series 2020-62, Class DI, 2.00%, 9/25/50 | 37,521 | 4,582,520 | |
Series 2020-72, Class DI, 2.00%, 10/25/50 | 24,164 | 2,937,943 | |
Series 2020-72, Class IA, 2.00%, 10/25/50 | 25,197 | 3,093,687 | |
Series 2020-73, Class NI, 2.00%, 10/25/50 | 40,357 | 4,983,988 | |
Series 2020-89, Class PI, 2.50%, 12/25/50 | 13,649 | 2,076,117 | |
Series 2020-94, Class DI, 2.00%, 1/25/51 | 15,475 | 2,046,313 | |
Series 2021-3, Class KI, 2.50%, 2/25/51 | 29,331 | 4,163,036 | |
Series 2021-3, Class LI, 2.50%, 2/25/51 | 27,770 | 3,956,071 | |
Series 2021-10, Class EI, 2.00%, 3/25/51 | 12,217 | 1,647,935 | |
Series 2021-34, Class QI, 3.00%, 6/25/51 | 41,371 | 6,789,605 | |
Series 2021-73, Class AI, 2.50%, 6/25/49 | 8,216 | 875,848 | |
Series 2021-94, Class CI, 3.00%, 1/25/52 | 11,583 | 1,918,883 | |
Series 2022-6, Class IO, 2.50%, 7/25/51 | 31,972 | 5,010,644 | |
Principal Only:(4) | |||
Series 379, Class 1, 0.00%, 5/25/37 | 1,092 | 874,356 | |
Series 380, Class 1, 0.00%, 7/25/37 | 263 | 218,917 | |
Series 2007-17, Class PO, 0.00%, 3/25/37 | 186 | 147,514 | |
Series 2009-82, Class PO, 0.00%, 10/25/39 | 529 | 422,076 | |
Series 2012-5, Class PO, 0.00%, 12/25/39 | 342 | 280,410 | |
Series 2012-61, Class PO, 0.00%, 8/25/37 | 1,573 | 1,274,153 | |
Series 2014-9, Class DO, 0.00%, 2/25/43 | 7,385 | 5,551,345 | |
Series 2014-17, Class PO, 0.00%, 4/25/44 | 1,121 | 824,529 | |
Government National Mortgage Association: | |||
Series 2012-77, Class MT, 5.338%, (1 mo. USD LIBOR + 0.39%), 5/16/41(1) | 386 | 373,526 | |
Series 2014-H20, Class MF, 4.266%, (1 mo. USD LIBOR + 0.65%), 10/20/64(1) | 5,103 | 5,078,626 | |
Series 2015-144, Class KB, 3.00%, 8/20/44 | 503 | 424,038 | |
Series 2015-H03, Class FD, 4.409%, (1 mo. USD LIBOR + 0.64%), 1/20/65(1) | 17,006 | 16,876,506 | |
Series 2015-H05, Class FB, 4.531%, (1 mo. USD LIBOR + 0.64%), 2/20/65(1) | 18,419 | 18,298,437 | |
Series 2016-168, Class JF, 5.848%, (1 mo. USD LIBOR + 1.00%), 11/20/46(1) | 128 | 122,225 | |
Series 2017-121, Class DF, 5.00%, (1 mo. USD LIBOR + 0.50%), 8/20/47(1) | 3,324 | 3,247,931 | |
Series 2017-137, Class AF, 5.00%, (1 mo. USD LIBOR + 0.50%), 9/20/47(1) | 1,487 | 1,455,644 | |
Series 2018-H18, Class FG, 3.776%, (1 mo. USD LIBOR + 0.60%), 10/20/68(1) | 31,244 | 30,872,612 | |
Series 2018-H20, Class FA, 3.653%, (1 mo. USD LIBOR + 0.60%), 12/20/68(1) | 50,047 | 49,302,417 | |
Series 2019-H02, Class FE, 5.151%, (1 mo. USD LIBOR + 0.55%), 1/20/69(1) | 19,368 | 19,256,082 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
Series 2020-76, Class ZL, 2.75%, 5/20/50 | $ | 307 | $ 290,393 |
Series 2021-1, Class ZD, 3.00%, 1/20/51 | 1,563 | 1,324,261 | |
Series 2021-8, Class ZG, 2.50%, 1/20/51 | 3,200 | 1,917,819 | |
Series 2021-24, Class EZ, 2.50%, 1/20/51 | 3,473 | 2,100,297 | |
Series 2021-24, Class KZ, 2.50%, 2/20/51 | 3,552 | 2,377,686 | |
Series 2021-25, Class JZ, 2.50%, 2/20/51 | 1,978 | 1,118,298 | |
Series 2021-49, Class VZ, 2.50%, 3/20/51 | 20 | 11,599 | |
Series 2021-77, Class ZG, 3.00%, 7/20/50 | 349 | 230,421 | |
Series 2021-86, Class ZJ, 1.50%, 5/20/51 | 282 | 149,755 | |
Series 2021-97, Class MZ, 3.00%, 8/20/50 | 5,703 | 4,025,588 | |
Series 2021-97, Class ZC, 3.00%, 8/20/50 | 7,309 | 5,211,913 | |
Series 2021-105, Class MZ, 3.00%, 6/20/51 | 4,664 | 3,272,071 | |
Series 2021-105, Class ZH, 1.50%, 6/20/51 | 1,476 | 1,027,433 | |
Series 2021-107, Class GZ, 3.00%, 6/20/51 | 2,375 | 1,680,304 | |
Series 2021-114, Class JZ, 3.00%, 6/20/51 | 2,036 | 1,380,955 | |
Series 2021-118, Class EZ, 2.50%, 7/20/51 | 6,996 | 4,590,485 | |
Series 2021-118, Class JZ, 2.50%, 7/20/51 | 19,814 | 12,706,947 | |
Series 2021-121, Class ZE, 2.50%, 7/20/51 | 125 | 77,049 | |
Series 2021-122, Class ZL, 2.50%, 7/20/51 | 11,337 | 7,237,297 | |
Series 2021-131, Class ZN, 3.00%, 7/20/51 | 2,566 | 1,842,059 | |
Series 2021-136, Class WZ, 3.00%, 8/20/51 | 6,008 | 4,229,623 | |
Series 2021-136, Class Z, 2.50%, 8/20/51 | 10,661 | 6,872,274 | |
Series 2021-137, Class GZ, 2.50%, 8/20/51 | 1,229 | 977,685 | |
Series 2021-138, Class Z, 2.50%, 8/20/51 | 11,355 | 7,636,315 | |
Series 2021-139, Class UZ, 3.00%, 8/20/51 | 8,630 | 6,063,017 | |
Series 2021-154, Class ZC, 2.50%, 9/20/51 | 6,128 | 3,967,215 | |
Series 2021-154, Class ZL, 3.00%, 9/20/51 | 8,129 | 5,425,203 | |
Series 2021-156, Class ZQ, 2.50%, 9/20/51 | 4,864 | 3,232,487 | |
Series 2021-159, Class ZJ, 2.50%, 9/20/51 | 8,136 | 5,378,549 | |
Series 2021-159, Class ZP, 2.00%, 9/20/51 | 7,553 | 5,562,619 | |
Series 2021-160, Class NZ, 3.00%, 9/20/51 | 2,536 | 1,707,750 | |
Series 2021-172, Class ZA, 3.00%, 9/20/51 | 1,576 | 1,114,474 | |
Series 2021-175, Class DZ, 3.00%, 10/20/51 | 2,073 | 1,395,050 | |
Series 2021-177, Class JZ, 3.00%, 10/20/51 | 4,800 | 3,509,546 | |
Series 2021-182, Class KZ, 3.00%, 10/20/51 | 1,311 | 882,028 | |
Series 2021-194, Class HZ, 3.00%, 11/20/51 | 9,179 | 7,131,928 | |
Series 2021-199, Class ZM, 3.00%, 11/20/51 | 3,762 | 2,575,219 | |
Series 2021-213, Class NZ, 3.00%, 12/20/51 | 7,535 | 5,708,517 | |
Series 2021-214, Class LZ, 3.00%, 12/20/51 | 10,258 | 7,943,884 | |
Series 2021-228, Class JZ, 3.00%, 12/20/51 | 7,582 | 5,447,070 | |
Series 2022-31, Class ZD, 3.00%, 2/20/52 | 782 | 502,817 | |
Series 2022-189, Class US, 5.169%, (22.73% - 30-day average SOFR x 3.667), 11/20/52(2) | 12,847 | 13,933,052 | |
Series 2022-195, Class AS, 5.401%, (23.13% - 30-day average SOFR x 3.70), 11/20/52(2) | 3,698 | 4,269,122 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
Series 2022-197, Class SW, 4.824%, (16.32% - 30-day average SOFR x 2.40), 11/20/52(2) | $ | 7,616 | $ 7,833,772 |
Series 2022-208, Class YF, 5.79%, (30-day average SOFR + 1.00%), 12/20/52(1) | 49,514 | 49,976,617 | |
Series 2022-211, Class HF, 5.79%, (30-day average SOFR + 1.00%), 12/20/52(1) | 198,056 | 197,874,538 | |
Series 2023-53, Class AL, 5.50%, 4/20/53 | 26,000 | 26,428,909 | |
Series 2023-53, Class SE, 5.606%, (22.55% - 30-day average SOFR x 3.667), 4/20/53(2) | 17,000 | 17,571,266 | |
Series 2023-63, Class S, (22.55% - 30-day average SOFR x 3.667), 5/20/53(7) | 8,000 | 8,309,658 | |
Series 2023-65, Class SB, (22.55% - 30-day average SOFR x 3.667), 5/20/53(7) | 3,829 | 4,018,418 | |
Series 2023-66, Class SD, (22.55% - 30-day average SOFR x 3.667), 5/20/53(7) | 2,000 | 2,077,415 | |
Interest Only:(3) | |||
Series 2014-98, Class IM, 0.00%, 1/20/43(5) | 5,278 | 143,686 | |
Series 2015-151, Class KI, 0.00%, 11/20/42(5) | 6,383 | 180,546 | |
Series 2017-104, Class SD, 1.247%, (6.20% - 1 mo. USD LIBOR), 7/20/47(2) | 2,390 | 285,826 | |
Series 2017-121, Class DS, 0.147%, (4.50% - 1 mo. USD LIBOR), 8/20/47(2) | 2,704 | 137,433 | |
Series 2018-127, Class SG, 1.297%, (6.25% - 1 mo. USD LIBOR), 9/20/48(2) | 6,608 | 676,363 | |
Series 2019-27, Class SA, 1.097%, (6.05% - 1 mo. USD LIBOR), 2/20/49(2) | 2,327 | 266,952 | |
Series 2019-38, Class SQ, 1.097%, (6.05% - 1 mo. USD LIBOR), 3/20/49(2) | 6,655 | 733,603 | |
Series 2019-43, Class BS, 1.097%, (6.05% - 1 mo. USD LIBOR), 4/20/49(2) | 3,719 | 432,949 | |
Series 2020-97, Class MI, 2.50%, 3/20/50 | 5,660 | 718,031 | |
Series 2020-116, Class MI, 2.00%, 8/20/50 | 521 | 69,819 | |
Series 2020-134, Class IM, 2.50%, 9/20/50 | 15,132 | 2,036,763 | |
Series 2020-146, Class IQ, 2.00%, 10/20/50 | 142,217 | 16,298,511 | |
Series 2020-146, Class QI, 2.00%, 10/20/50 | 42,355 | 4,735,389 | |
Series 2020-151, Class AI, 2.00%, 10/20/50 | 88,571 | 11,171,677 | |
Series 2020-162, Class BI, 2.00%, 10/20/50 | 20,063 | 2,497,780 | |
Series 2020-167, Class KI, 2.00%, 11/20/50 | 87,239 | 10,006,623 | |
Series 2020-167, Class YI, 2.00%, 11/20/50 | 106,451 | 12,623,607 | |
Series 2020-173, Class DI, 2.00%, 11/20/50 | 87,520 | 10,870,343 | |
Series 2020-176, Class AI, 2.00%, 11/20/50 | 29,576 | 3,471,094 | |
Series 2020-176, Class HI, 2.50%, 11/20/50 | 20,445 | 2,759,522 | |
Series 2020-181, Class TI, 2.00%, 12/20/50 | 86,113 | 10,236,526 | |
Series 2020-185, Class BI, 2.00%, 12/20/50 | 17,249 | 2,055,387 | |
Series 2021-9, Class GI, 2.00%, 1/20/51 | 42,289 | 5,082,891 | |
Series 2021-15, Class AI, 2.00%, 1/20/51 | 23,072 | 2,884,876 | |
Series 2021-23, Class TI, 2.50%, 2/20/51 | 11,933 | 1,573,841 | |
Series 2021-30, Class AI, 2.00%, 2/20/51 | 9,729 | 1,206,655 | |
Series 2021-46, Class IM, 2.50%, 3/20/51 | 4,817 | 637,104 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2021-56, Class SD, 0.00%, (2.30% - 30-day average SOFR, Floor 0.00%), 9/20/50(2) | $ | 15,392 | $ 249,821 |
Series 2021-56, Class SE, 0.00%, (2.30% - 30-day average SOFR, Floor 0.00%), 10/20/50(2) | 5,648 | 92,749 | |
Series 2021-77, Class SB, 0.00%, (3.75% - 1 mo. USD LIBOR, Floor 0.00%), 5/20/51(2) | 17,262 | 699,598 | |
Series 2021-77, Class SE, 0.00%, (3.75% - 1 mo. USD LIBOR, Floor 0.00%), 5/20/51(2) | 10,522 | 426,530 | |
Series 2021-97, Class IG, 2.50%, 8/20/49 | 79,664 | 8,797,711 | |
Series 2021-97, Class QI, 3.00%, 6/20/51 | 17,627 | 2,550,348 | |
Series 2021-98, Class EI, 3.00%, 6/20/51 | 34,760 | 4,918,072 | |
Series 2021-114, Class MI, 3.00%, 6/20/51 | 12,883 | 1,909,275 | |
Series 2021-122, Class NI, 3.00%, 7/20/51 | 8,833 | 1,317,715 | |
Series 2021-125, Class SA, 0.00%, (3.75% - 1 mo. USD LIBOR, Floor 0.00%), 7/20/51(2) | 20,354 | 812,014 | |
Series 2021-131, Class QI, 3.00%, 7/20/51 | 33,928 | 4,032,863 | |
Series 2021-140, Class YS, 0.00%, (1.70% - 1 mo. USD LIBOR, Floor 0.00%), 8/20/51(2) | 22,379 | 202,251 | |
Series 2021-160, Class DI, 3.00%, 9/20/51 | 30,184 | 4,717,253 | |
Series 2021-160, Class IT, 2.50%, 9/20/51 | 43,806 | 4,930,865 | |
Series 2021-175, Class AS, 0.00%, (1.80% - 1 mo. USD LIBOR, Floor 0.00%), 10/20/51(2) | 45,260 | 435,617 | |
Series 2021-175, Class SB, 0.00%, (1.80% - 1 mo. USD LIBOR, Floor 0.00%), 10/20/51(2) | 22,669 | 221,478 | |
Series 2021-193, Class IU, 3.00%, 11/20/49 | 69,921 | 8,900,749 | |
Series 2021-193, Class YS, 0.00%, (2.45% - 30-day average SOFR, Floor 0.00%), 11/20/51(2) | 52,947 | 811,157 | |
Series 2021-196, Class GI, 3.00%, 11/20/51 | 33,212 | 4,761,176 | |
Series 2021-201, Class PI, 3.00%, 11/20/51 | 29,180 | 3,097,949 | |
Series 2021-209, Class IW, 3.00%, 11/20/51 | 18,401 | 2,241,741 | |
Series 2022-104, Class IO, 2.50%, 6/20/51 | 27,635 | 3,624,387 | |
Series 2022-119, Class CS, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(2) | 217,225 | 2,434,784 | |
Series 2022-119, Class SC, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(2) | 24,136 | 270,532 | |
Series 2022-126, Class AS, 0.00%, (3.69% - 30-day average SOFR, Floor 0.00%), 7/20/52(2) | 64,776 | 1,343,941 | |
Series 2022-126, Class SC, 0.00%, (3.73% - 30-day average SOFR, Floor 0.00%), 7/20/52(2) | 48,272 | 1,029,365 | |
Series 2022-135, Class SA, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 6/20/52(2) | 135,144 | 1,667,635 | |
Series 2023-13, Class SA, 0.61%, (5.40% - 30-day average SOFR), 1/20/53(2) | 19,833 | 555,699 | |
Series 2023-19, Class SD, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(2) | 21,383 | 1,192,083 | |
Series 2023-20, Class HS, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(2) | 14,898 | 861,333 | |
Series 2023-22, Class ES, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(2) | 19,865 | 1,148,444 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2023-22, Class SA, 0.91%, (5.70% - 30-day average SOFR), 2/20/53(2) | $ | 34,775 | $ 1,136,888 |
Series 2023-24, Class SB, 0.36%, (5.15% - 30-day average SOFR), 2/20/53(2) | 39,729 | 1,289,071 | |
Series 2023-24, Class SG, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(2) | 19,865 | 1,148,444 | |
Series 2023-32, Class SA, 1.51%, (6.30% - 30-day average SOFR), 2/20/53(2) | 67,043 | 3,875,999 | |
Series 2023-38, Class LS, 1.51%, (6.30% - 30-day average SOFR), 3/20/53(2) | 29,925 | 1,699,372 | |
Series 2023-47, Class HS, 1.51%, (6.30% - 30-day average SOFR), 3/20/53(2) | 9,975 | 566,457 | |
Series 2023-47, Class SC, 1.46%, (6.25% - 30-day average SOFR), 3/20/53(2) | 14,955 | 813,291 | |
Series 2023-53, Class SK, 1.538%, (6.20% - 30-day average SOFR), 4/20/53(2) | 37,711 | 1,900,234 | |
Series 2023-65, Class BS, (30-day average SOFR + 6.15%), 5/20/53(7) | 32,000 | 1,593,600 | |
Principal Only:(4) | |||
Series 2009-117, Class PO, 0.00%, 12/16/39 | 807 | 631,226 | |
Series 2010-88, Class OA, 0.00%, 7/20/40 | 527 | 402,995 | |
Series 2015-24, Class KO, 0.00%, 6/20/35 | 634 | 558,550 | |
Total Collateralized Mortgage Obligations (identified cost $1,885,082,741) | $ 1,560,031,341 |
U.S. Government Agency Commercial Mortgage-Backed Securities — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
FRESB Mortgage Trust: | |||
Interest Only:(3) | |||
Series 2021-SB91, Class X1, 0.681%, 8/25/41(5) | $ | 46,206 | $ 1,579,185 |
Series 2021-SB92, Class X1, 0.685%, 8/25/41(5) | 24,094 | 624,917 | |
Government National Mortgage Association: | |||
Interest Only:(3) | |||
Series 2021-101, Class IO, 0.679%, 4/16/63(5) | 54,866 | 3,099,967 | |
Series 2021-132, Class IO, 0.727%, 4/16/63(5) | 58,776 | 3,461,117 | |
Series 2021-144, Class IO, 0.825%, 4/16/63(5) | 52,088 | 3,378,430 | |
Series 2021-186, Class IO, 0.765%, 5/16/63(5) | 48,101 | 2,931,868 | |
Series 2022-3, Class IO, 0.64%, 2/16/61(5) | 68,397 | 3,307,419 | |
Total U.S. Government Agency Commercial Mortgage-Backed Securities (identified cost $23,120,158) | $ 18,382,903 |
U.S. Government Agency Mortgage-Backed Securities — 87.8% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
3.609%, (COF + 1.25%), with maturity at 2035(8) | $ | 246 | $ 240,673 |
3.66%, (COF + 1.25%), with maturity at 2025(8) | 25 | 24,998 | |
3.661%, (COF + 2.28%), with maturity at 2025(8) | 60 | 59,772 | |
3.85%, (COF + 1.30%), with maturity at 2034(8) | 15 | 14,873 | |
4.17%, (5 yr. CMT + 2.52%), with maturity at 2032(8) | 153 | 150,306 | |
4.185%, (COF + 1.25%), with maturity at 2029(8) | 6 | 5,430 | |
4.208%, (30-day average SOFR + 2.37%), with maturity at 2052(8) | 1,536 | 1,481,784 | |
4.227%, (1 yr. CMT + 2.26%), with maturity at 2035(8) | 1,366 | 1,390,164 | |
4.231%, (1 yr. CMT + 2.31%), with maturity at 2036(8) | 525 | 535,326 | |
4.267%, (COF + 1.25%), with maturity at 2032(8) | 88 | 84,809 | |
4.339%, (30-day average SOFR + 2.13%), with maturity at 2052(8) | 6,726 | 6,540,277 | |
4.376%, (1 yr. CMT + 1.98%), with maturity at 2034(8) | 500 | 506,198 | |
4.41%, (30-day average SOFR + 2.38%), with maturity at 2052(8) | 3,883 | 3,814,291 | |
4.426%, (1 yr. CMT + 2.25%), with maturity at 2038(8) | 389 | 395,850 | |
4.48%, (1 yr. CMT + 2.24%), with maturity at 2036(8) | 451 | 458,487 | |
4.50%, with maturity at 2035 | 317 | 315,465 | |
4.519%, (COF + 1.25%), with maturity at 2030(8) | 125 | 123,404 | |
4.634%, (COF + 1.25%), with maturity at 2033(8) | 96 | 95,672 | |
4.72%, (COF + 2.29%), with maturity at 2037(8) | 409 | 404,653 | |
5.00%, with various maturities to 2052 | 188,400 | 188,314,849 | |
5.50%, with various maturities to 2053 | 566,924 | 572,367,266 | |
5.605%, (30-day average SOFR + 2.37%), with maturity at 2052(8) | 681 | 681,341 | |
6.00%, with various maturities to 2053 | 9,347 | 9,564,893 | |
7.00%, with maturity at 2033 | 56 | 56,409 | |
Federal National Mortgage Association: | |||
3.00%, with various maturities to 2050 | 18,053 | 16,440,661 | |
3.585%, (COF + 1.96%), with maturity at 2030(8) | 7 | 7,016 | |
3.664%, (COF + 1.25%), with maturity at 2033(8) | 105 | 101,909 | |
3.745%, (COF + 1.25%), with maturity at 2034(8) | 34 | 33,735 | |
3.76%, (COF + 1.25%), with various maturities to 2027(8) | 91 | 89,275 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
3.777%, (COF + 1.25%), with maturity at 2034(8) | $ | 172 | $ 165,809 |
3.863%, (COF + 1.25%), with maturity at 2034(8) | 132 | 128,167 | |
3.866%, (COF + 1.25%), with maturity at 2035(8) | 63 | 62,212 | |
3.94%, (COF + 1.26%), with maturity at 2038(8) | 14 | 14,131 | |
4.031%, (30-day average SOFR + 2.33%), with maturity at 2052(8) | 1,620 | 1,561,081 | |
4.062%, (COF + 1.31%), with maturity at 2036(8) | 61 | 59,245 | |
4.07%, (COF + 1.26%), with maturity at 2036(8) | 116 | 112,342 | |
4.075%, (1 yr. CMT + 2.08%), with maturity at 2033(8) | 183 | 187,199 | |
4.10%, (COF + 1.25%), with maturity at 2033(8) | 159 | 155,556 | |
4.13%, (COF + 1.26%), with maturity at 2037(8) | 67 | 65,792 | |
4.205%, (COF + 1.70%), with maturity at 2029(8) | 0 (6) | 447 | |
4.226%, (30-day average SOFR + 2.33%), with maturity at 2052(8) | 1,053 | 1,030,940 | |
4.227%, (12 mo. USD LIBOR + 1.75%), with maturity at 2035(8) | 339 | 344,379 | |
4.235%, (1 yr. CMT + 2.10%), with maturity at 2040(8) | 213 | 216,466 | |
4.252%, (1 yr. CMT + 2.17%), with maturity at 2031(8) | 66 | 65,971 | |
4.262%, (1 yr. CMT + 2.25%), with maturity at 2033(8) | 1,100 | 1,126,425 | |
4.276%, (1 yr. CMT + 2.13%), with maturity at 2037(8) | 458 | 467,894 | |
4.291%, (COF + 2.26%), with maturity at 2026(8) | 43 | 42,910 | |
4.313%, (COF + 1.80%), with maturity at 2034(8) | 155 | 150,964 | |
4.43%, (COF + 1.26%), with maturity at 2036(8) | 29 | 28,572 | |
4.441%, (1 yr. CMT + 2.21%), with maturity at 2039(8) | 851 | 870,453 | |
4.465%, (1 yr. CMT + 2.16%), with maturity at 2036(8) | 146 | 149,085 | |
4.50%, with maturity at 2052 | 934 | 913,207 | |
4.604%, (COF + 1.85%), with maturity at 2034(8) | 58 | 57,669 | |
4.646%, (COF + 1.73%), with maturity at 2035(8) | 194 | 189,406 | |
4.67%, (1 yr. CMT + 2.53%), with maturity at 2038(8) | 416 | 425,689 | |
4.676%, (COF + 1.50%), with maturity at 2029(8) | 229 | 228,389 | |
4.773%, (COF + 1.81%), with maturity at 2036(8) | 355 | 346,976 | |
4.796%, (COF + 1.79%), with maturity at 2035(8) | 147 | 143,640 | |
5.00%, 30-Year, TBA(9) | 151,000 | 150,186,019 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
5.00%, with various maturities to 2052 | $ | 101,969 | $ 101,748,531 |
5.175%, (12 mo. USD LIBOR + 1.80%), with maturity at 2034(8) | 115 | 117,395 | |
5.348%, (COF + 1.73%), with maturity at 2034(8) | 48 | 48,004 | |
5.50%, with various maturities to 2052 | 841,734 | 850,034,370 | |
6.00%, with various maturities to 2053 | 15,871 | 16,444,011 | |
6.00%, 30-Year, TBA(9) | 209,025 | 213,123,855 | |
6.333%, (COF + 2.00%), with maturity at 2032(8) | 27 | 27,948 | |
6.50%, with various maturities to 2053 | 5,190 | 5,374,897 | |
6.50%, 30-Year, TBA(9) | 65,200 | 67,168,401 | |
Government National Mortgage Association: | |||
2.50%, with maturity at 2051 | 2,086 | 1,831,167 | |
2.75%, (1 yr. CMT + 1.50%), with various maturities to 2027(8) | 47 | 45,998 | |
3.00%, (1 yr. CMT + 1.50%), with maturity at 2026(8) | 32 | 31,215 | |
4.00%, with various maturities to 2052 | 10,231 | 9,874,336 | |
4.50%, with various maturities to 2052 | 294,667 | 285,468,675 | |
5.00%, with various maturities to 2052 | 92,039 | 91,959,608 | |
5.50%, with various maturities to 2062 | 123,250 | 125,110,824 | |
5.50%, 30-Year, TBA(9) | 242,575 | 244,255,074 | |
6.00%, with various maturities to 2063 | 84,567 | 87,012,887 | |
6.00%, with maturity at 2052(10) | 12,665 | 13,318,622 | |
6.00%, 30-Year, TBA(9) | 521,975 | 530,229,878 | |
6.50%, with various maturities to 2063 | 76,247 | 78,576,854 | |
6.50%, 30-Year, TBA(9) | 327,700 | 335,956,402 | |
7.00%, with various maturities to 2062 | 26,720 | 27,625,301 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $4,059,641,569) | $ 4,049,181,074 |
U.S. Government Guaranteed Small Business Administration Pools & Loans — 3.6% |
Security | Principal Amount (000's omitted) | Value | |
5.625%, (USD Prime - 2.375%), 2/25/29(1) | $ | 37,353 | $ 37,428,869 |
5.75%, (USD Prime - 2.25%), 1/25/44 to 2/25/44(1) | 39,904 | 39,840,460 | |
5.80%, (USD Prime - 2.20%), 4/25/44(1) | 20,260 | 20,274,244 | |
7.00%, (USD Prime - 1.00%), 4/25/44(1) | 20,545 | 21,382,149 | |
7.325%, (USD Prime - 0.675%), 2/25/44(1) | 18,040 | 18,977,769 | |
Interest Only:(11)(12) | |||
1.03%, 1/18/39 | 404 | 11,989 | |
1.26%, 2/15/44 | 1,447 | 68,599 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
1.51%, 2/15/44 | $ | 1,061 | $ 56,948 |
1.56%, 3/14/44 | 533 | 29,661 | |
1.76%, 12/18/28 | 96 | 2,936 | |
1.81%, 7/10/43 to 2/6/44 | 5,263 | 288,278 | |
1.88%, 12/18/43 to 12/27/43 | 5,879 | 351,688 | |
1.91%, 7/15/42 to 4/15/44 | 17,726 | 1,030,020 | |
1.93%, 6/14/43 to 2/8/44 | 22,084 | 1,351,495 | |
2.01%, 3/12/29 to 2/15/44 | 3,710 | 224,271 | |
2.06%, 3/15/29 to 3/15/44 | 9,343 | 603,519 | |
2.13%, 9/14/43 to 1/9/44 | 4,994 | 325,835 | |
2.16%, 3/15/42 to 4/15/44 | 2,652 | 181,597 | |
2.18%, 12/3/28 to 2/15/44 | 14,325 | 956,673 | |
2.185%, 11/1/32 to 5/16/43(13) | 52,313 | 2,730,581 | |
2.26%, 12/28/28 to 1/15/44 | 3,103 | 202,378 | |
2.31%, 12/15/28 to 4/15/44 | 22,423 | 1,612,082 | |
2.38%, 8/31/28 to 12/27/43 | 2,569 | 177,164 | |
2.41%, 6/15/42 to 4/15/44 | 15,083 | 1,156,294 | |
2.43%, 5/7/28 to 2/12/44 | 9,531 | 718,137 | |
2.48%, 3/15/44 | 2,568 | 209,141 | |
2.509%, 2/21/33 to 4/1/43(13) | 14,614 | 1,127,298 | |
2.51%, 7/12/28 to 1/15/44 | 3,041 | 232,623 | |
2.56%, 12/15/28 to 9/18/44 | 19,175 | 1,514,921 | |
2.61%, 4/15/29 | 63 | 2,884 | |
2.63%, 9/13/42 to 1/11/44 | 2,413 | 210,511 | |
2.66%, 6/15/42 to 4/15/44 | 10,159 | 832,922 | |
2.68%, 10/19/28 to 2/19/44 | 17,070 | 1,318,996 | |
2.73%, 3/21/23 to 12/13/42(13) | 17,470 | 967,004 | |
2.76%, 10/1/28 to 2/15/44 | 6,852 | 512,998 | |
2.81%, 3/15/29 to 4/24/44 | 21,269 | 1,745,333 | |
2.88%, 12/3/43 to 12/27/43 | 2,627 | 233,041 | |
2.91%, 3/15/44 | 678 | 66,039 | |
2.93%, 10/1/28 to 1/23/44 | 4,148 | 380,261 | |
3.01%, 10/13/28 to 1/15/44 | 1,528 | 123,120 | |
3.06%, 1/15/29 to 2/21/44 | 1,471 | 131,789 | |
3.13%, 9/29/43 to 1/31/44 | 7,822 | 807,948 | |
3.18%, 5/8/28 to 2/19/44 | 6,672 | 555,275 | |
3.259%, 1/21/24 to 7/28/42(13) | 8,700 | 577,832 | |
3.26%, 10/18/28 to 2/15/44 | 2,687 | 232,550 | |
3.31%, 4/15/29 to 2/28/44 | 2,963 | 367,300 | |
3.36%, 1/15/29 | 49 | 2,870 | |
3.38%, 8/28/43 to 1/16/44 | 7,601 | 902,461 | |
3.43%, 4/27/28 to 7/27/43 | 18,168 | 1,381,887 | |
3.51%, 10/11/28 to 3/15/44 | 11,096 | 1,005,516 | |
3.529%, 3/10/26 to 3/23/42(13) | 263 | 30,176 | |
3.56%, 12/28/28 to 3/15/44 | 9,751 | 829,763 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
3.61%, 12/27/28 | $ | 9 | $ 586 |
3.66%, 11/15/43 to 4/15/44 | 6,705 | 803,858 | |
3.98%, 12/11/28 to 12/13/28 | 305 | 21,730 | |
Total U.S. Government Guaranteed Small Business Administration Pools & Loans (identified cost $185,643,381) | $ 167,112,269 |
U.S. Department of Agriculture Loans — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
USDA Guaranteed Loans: | |||
7.50%, (USD Prime - 0.50%), 7/1/27(1) | $ | 8,525,706 | $ 8,533,720 |
7.50%, (USD Prime - 0.50%), 7/1/27(1) | 15,911,087 | 15,926,998 | |
Total U.S. Department of Agriculture Loans (identified cost $24,436,793) | $ 24,460,718 |
Short-Term Investments — 2.1% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(14) | 99,167,447 | $ 99,167,447 | |
Total Short-Term Investments (identified cost $99,167,447) | $ 99,167,447 | ||
Total Purchased Swaptions — 0.0%(15) (identified cost $3,485,000) | $ 238,607 | ||
Total Investments — 128.2% (identified cost $6,280,577,089) | $ 5,918,574,359 |
TBA Sale Commitments — (3.3)% | |||
U.S. Government Agency Mortgage-Backed Securities — (3.3)% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association, 5.00%, 30-Year, TBA(9) | $ (151,000) | $ (150,186,019) | |
Total U.S. Government Agency Mortgage-Backed Securities (proceeds $150,374,766) | $ (150,186,019) | ||
Total TBA Sale Commitments (proceeds $150,374,766) | $ (150,186,019) | ||
Other Assets, Less Liabilities — (24.9)% | $ (1,152,909,353) | ||
Net Assets — 100.0% | $ 4,615,478,987 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(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, 2023. |
(3) | 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. |
(4) | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
(5) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at April 30, 2023. |
(6) | Principal amount is less than $500. |
(7) | When-issued, inverse floating-rate security whose interest rate will be determined after April 30, 2023. |
(8) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at April 30, 2023. |
(9) | TBA (To Be Announced) securities are purchased or sold on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(10) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(11) | 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. |
(12) | Securities comprise a trust that is wholly-owned by the Fund and may only be sold on a pro-rata basis with all securities in the trust. |
(13) | The stated interest rate represents the weighted average fixed interest rate at April 30, 2023 of all interest only securities comprising the certificate. |
(14) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
(15) | Amount is less than 0.05%. |
Purchased Interest Rate Swaptions (OTC) — 0.0%(1) | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Option to enter into interest rate swap expiring 5/19/28 to pay 4.04% and receive SOFR | Bank of America, N.A. | USD | 180,000,000 | 5/17/23 | $ 9,031 |
Option to enter into interest rate swap expiring 6/6/53 to pay 3.30% and receive SOFR | Bank of America, N.A. | USD | 85,000,000 | 6/2/23 | 229,576 |
Total | $238,607 |
(1) | Amount is less than 0.05%. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 10-Year Treasury Note | 2,524 | Long | 6/21/23 | $290,772,687 | $ (1,448,352) |
U.S. 5-Year Treasury Note | (286) | Short | 6/30/23 | (31,386,266) | (722,060) |
$(2,170,412) |
Interest Rate Swaps (Centrally Cleared) | ||||||||
Notional Amount (000's omitted) | Fund Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
USD | 180,000 | Receives | SOFR (pays annually) | 1.88% (pays annually) | 3/9/28 | $ 12,253,140 | $ (2,359,507) | $ 9,893,633 |
USD | 450,000 | Receives | SOFR (pays annually) | 3.07% (pays annually) | 10/14/32 | 6,093,986 | — | 6,093,986 |
USD | 94,000 | Receives | SOFR (pays annually) | 3.16% (pays annually) | 1/5/33 | 765,263 | — | 765,263 |
USD | 125,000 | Receives | SOFR (pays annually) | 2.47% (pays annually) | 3/28/33 | 7,506,725 | (2,698,899) | 4,807,826 |
USD | 300,000 | Receives | 3-month USD LIBOR (pays quarterly) | 2.01% (pays semi-annually) | 2/16/52 | 73,700,095 | — | 73,700,095 |
USD | 300,000 | Receives | SOFR (pays annually) | 1.92% (pays annually) | 4/8/52 | 63,316,283 | — | 63,316,283 |
USD | 100,000 | Receives | SOFR (pays annually) | 1.94% (pays annually) | 4/21/52 | 20,651,535 | — | 20,651,535 |
USD | 100,000 | Receives | SOFR (pays annually) | 1.89% (pays annually) | 8/3/52 | 22,430,105 | (975) | 22,429,130 |
Total | $206,717,132 | $(5,059,381) | $201,657,751 |
Abbreviations: | |
CMT | – Constant Maturity Treasury |
COF | – Cost of Funds 11th District |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $6,181,409,642) | $ 5,819,406,912 |
Affiliated investment, at value (identified cost $99,167,447) | 99,167,447 |
Deposits for forward purchase commitments | 628,467 |
Deposits for derivatives collateral: | |
Futures contracts | 5,362,970 |
Centrally cleared swap contracts | 111,342,588 |
OTC swaptions | 320,000 |
Interest receivable | 29,813,121 |
Dividends receivable from affiliated investment | 724,461 |
Receivable for investments sold | 216,263,201 |
Receivable for TBA sale commitments | 150,374,766 |
Receivable for Fund shares sold | 19,075,195 |
Receivable for variation margin on open futures contracts | 1,107,139 |
Receivable for variation margin on open centrally cleared swap contracts | 1,972,293 |
Total assets | $6,455,558,560 |
Liabilities | |
Cash collateral due to brokers | $ 948,467 |
Payable for reverse repurchase agreements, including accrued interest of $5,306 | 1,004,619 |
Payable for when-issued securities/forward commitment securities | 1,625,241,308 |
TBA sale commitments, at value (proceeds receivable $150,374,766) | 150,186,019 |
Payable for Fund shares redeemed | 41,065,629 |
Distributions payable | 2,040,459 |
Due to custodian | 15,696,922 |
Payable to affiliates: | |
Investment adviser fee | 1,822,001 |
Distribution and service fees | 206,794 |
Trustees' fees | 9,223 |
Accrued expenses | 1,858,132 |
Total liabilities | $1,840,079,573 |
Net Assets | $4,615,478,987 |
Sources of Net Assets | |
Paid-in capital | $ 5,284,869,981 |
Accumulated loss | (669,390,994) |
Net Assets | $4,615,478,987 |
Advisers Class Shares | |
Net Assets | $ 114,317,708 |
Shares Outstanding | 15,337,502 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 7.45 |
Class A Shares | |
Net Assets | $ 654,545,453 |
Shares Outstanding | 87,761,141 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 7.46 |
Maximum Offering Price Per Share (100 ÷ 97.75 of net asset value per share) | $ 7.63 |
April 30, 2023 | |
Class C Shares | |
Net Assets | $ 56,059,726 |
Shares Outstanding | 7,505,840 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 7.47 |
Class I Shares | |
Net Assets | $3,790,556,100 |
Shares Outstanding | 508,832,445 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 7.45 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income from affiliated investment | $ 2,194,972 |
Interest income | 130,326,784 |
Total investment income | $ 132,521,756 |
Expenses | |
Investment adviser fee | $ 12,277,509 |
Distribution and service fees: | |
Advisers Class | 203,956 |
Class A | 939,499 |
Class C | 268,829 |
Trustees’ fees and expenses | 54,410 |
Custodian fee | 503,693 |
Transfer and dividend disbursing agent fees | 1,285,011 |
Legal and accounting services | 199,520 |
Printing and postage | 472,785 |
Registration fees | 128,167 |
Interest expense and fees | 4,200,628 |
Miscellaneous | 464,562 |
Total expenses | $ 20,998,569 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 80,973 |
Total expense reductions | $ 80,973 |
Net expenses | $ 20,917,596 |
Net investment income | $ 111,604,160 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (130,416,250) |
Written options and swaptions | 13,154,617 |
Futures contracts | 48,755,343 |
Swap contracts | (8,287,508) |
Net realized loss | $ (76,793,798) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 160,522,885 |
Written options and swaptions | 3,773,411 |
TBA sale commitments | (30,517,439) |
Futures contracts | (101,756,045) |
Swap contracts | (45,764,185) |
Net change in unrealized appreciation (depreciation) | $ (13,741,373) |
Net realized and unrealized loss | $ (90,535,171) |
Net increase in net assets from operations | $ 21,068,989 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 111,604,160 | $ 144,933,239 |
Net realized loss | (76,793,798) | (255,824,063) |
Net change in unrealized appreciation (depreciation) | (13,741,373) | (78,363,249) |
Net increase (decrease) in net assets from operations | $ 21,068,989 | $ (189,254,073) |
Distributions to shareholders: | ||
Advisers Class | $ (3,859,889) | $ (5,106,640) |
Class A | (17,811,738) | (23,856,615) |
Class C | (1,307,619) | (1,110,912) |
Class I | (106,450,245) | (124,075,281) |
Total distributions to shareholders | $ (129,429,491) | $ (154,149,448) |
Tax return of capital to shareholders: | ||
Advisers Class | $ — | $ (595,669) |
Class A | — | (2,607,488) |
Class C | — | (131,406) |
Class I | — | (13,935,767) |
Total tax return of capital to shareholders | $ — | $ (17,270,330) |
Transactions in shares of beneficial interest: | ||
Advisers Class | $ (83,533,475) | $ (62,059,678) |
Class A | (209,694,461) | (1,079,149,132) |
Class C | (14,858,338) | (27,197,878) |
Class I | (859,636,599) | (2,659,546,385) |
Net decrease in net assets from Fund share transactions | $(1,167,722,873) | $ (3,827,953,073) |
Net decrease in net assets | $(1,276,083,375) | $ (4,188,626,924) |
Net Assets | ||
At beginning of period | $ 5,891,562,362 | $10,080,189,286 |
At end of period | $ 4,615,478,987 | $ 5,891,562,362 |
Advisers Class | |||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | Period Ended October 31, 2021(1) | |
Net asset value — Beginning of period | $ 7.610 | $ 7.990 | $ 8.100 |
Income (Loss) From Operations | |||
Net investment income(2) | $ 0.152 | $ 0.133 | $ 0.033 |
Net realized and unrealized loss | (0.134) | (0.349) | (0.089) |
Total income (loss) from operations | $ 0.018 | $ (0.216) | $ (0.056) |
Less Distributions | |||
From net investment income | $ (0.178) | $ (0.147) | $ (0.051) |
Tax return of capital | — | (0.017) | (0.003) |
Total distributions | $ (0.178) | $ (0.164) | $ (0.054) |
Net asset value — End of period | $ 7.450 | $ 7.610 | $ 7.990 |
Total Return(3) | 0.23% (4) | (2.73)% | (0.70)% (4) |
Ratios/Supplemental Data | |||
Net assets, end of period (000’s omitted) | $114,318 | $201,056 | $276,067 |
Ratios (as a percentage of average daily net assets): | |||
Expenses | 1.00% (5)(6)(7) | 0.79% (6)(7) | 0.75% (5) |
Net investment income | 4.08% (5) | 1.69% | 0.90% (5) |
Portfolio Turnover of the Fund | 435% (4)(8) | 798% (8) | 310% (8)(9) |
(1) | For the period from the commencement of operations, May 17, 2021, to October 31, 2021. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Includes interest expense, including on reverse repurchase agreements, of 0.16% and 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively. |
(8) | Includes the effect of To Be Announced (TBA) transactions. |
(9) | For the year ended October 31, 2021. |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.610 | $ 8.000 | $ 8.120 | $ 8.100 | $ 8.200 | $ 8.250 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.152 | $ 0.127 | $ 0.072 | $ 0.097 | $ 0.202 | $ 0.219 |
Net realized and unrealized gain (loss) | (0.124) | (0.353) | (0.072) | 0.104 | (0.057) | (0.068) |
Total income (loss) from operations | $ 0.028 | $ (0.226) | $ — | $ 0.201 | $ 0.145 | $ 0.151 |
Less Distributions | ||||||
From net investment income | $ (0.178) | $ (0.147) | $ (0.114) | $ (0.166) | $ (0.245) | $ (0.201) |
From net realized gain | — | — | — | (0.015) | — | — |
Tax return of capital | — | (0.017) | (0.006) | — | — | — |
Total distributions | $ (0.178) | $ (0.164) | $ (0.120) | $ (0.181) | $ (0.245) | $ (0.201) |
Net asset value — End of period | $ 7.460 | $ 7.610 | $ 8.000 | $ 8.120 | $ 8.100 | $ 8.200 |
Total Return(2) | 0.37% (3) | (2.85)% | (0.01)% | 2.51% | 1.78% | 1.85% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $654,545 | $879,760 | $2,018,166 | $1,764,637 | $795,015 | $394,465 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.00% (5)(6)(7) | 0.79% (6)(7) | 0.77% | 0.82% (7) | 0.85% (7) | 0.90% |
Net investment income | 4.07% (5) | 1.61% | 0.89% | 1.19% | 2.47% | 2.67% |
Portfolio Turnover of the Fund | 435% (3)(8) | 798% (8) | 310% (8) | 152% (8) | 59% | 42% (9) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s/Portfolios’ allocated expenses for the period while the Fund was investing in the Portfolio/Portfolios. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Includes interest expense, including on reverse repurchase agreements, of 0.16%, 0.01%, 0.02% and 0.02% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2020 and 2019, respectively. |
(8) | Includes the effect of To Be Announced (TBA) transactions. |
(9) | Represents the portfolio turnover of Short-Term U.S. Government Portfolio from November 1, 2017 to October 12, 2018. The portfolio turnover based on the Fund’s investments in securities for the period October 15, 2018, the date the Fund began investing its assets directly, through October 31, 2018 was less than 1%. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.620 | $ 8.010 | $ 8.130 | $ 8.110 | $ 8.210 | $ 8.260 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.130 | $ 0.088 | $ 0.024 | $ 0.054 | $ 0.154 | $ 0.169 |
Net realized and unrealized gain (loss) | (0.125) | (0.361) | (0.073) | 0.098 | (0.058) | (0.067) |
Total income (loss) from operations | $ 0.005 | $ (0.273) | $ (0.049) | $ 0.152 | $ 0.096 | $ 0.102 |
Less Distributions | ||||||
From net investment income | $ (0.155) | $ (0.104) | $ (0.067) | $ (0.117) | $ (0.196) | $ (0.152) |
From net realized gain | — | — | — | (0.015) | — | — |
Tax return of capital | — | (0.013) | (0.004) | — | — | — |
Total distributions | $ (0.155) | $ (0.117) | $ (0.071) | $ (0.132) | $ (0.196) | $ (0.152) |
Net asset value — End of period | $ 7.470 | $ 7.620 | $ 8.010 | $ 8.130 | $ 8.110 | $ 8.210 |
Total Return(2) | 0.07% (3) | (3.43)% | (0.60)% | 1.89% | 1.18% | 1.24% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $56,060 | $72,212 | $103,518 | $144,742 | $112,868 | $66,706 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.60% (5)(6)(7) | 1.39% (6)(7) | 1.37% | 1.42% (7) | 1.45% (7) | 1.50% |
Net investment income | 3.47% (5) | 1.11% | 0.30% | 0.67% | 1.88% | 2.05% |
Portfolio Turnover of the Fund | 435% (3)(8) | 798% (8) | 310% (8) | 152% (8) | 59% | 42% (9) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s/Portfolios’ allocated expenses for the period while the Fund was investing in the Portfolio/Portfolios. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Includes interest expense, including on reverse repurchase agreements, of 0.16%, 0.01%, 0.02% and 0.02% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2020 and 2019, respectively. |
(8) | Includes the effect of To Be Announced (TBA) transactions. |
(9) | Represents the portfolio turnover of Short-Term U.S. Government Portfolio from November 1, 2017 to October 12, 2018. The portfolio turnover based on the Fund’s investments in securities for the period October 15, 2018, the date the Fund began investing its assets directly, through October 31, 2018 was less than 1%. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.600 | $ 7.990 | $ 8.110 | $ 8.090 | $ 8.190 | $ 8.240 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.161 | $ 0.153 | $ 0.093 | $ 0.118 | $ 0.223 | $ 0.243 |
Net realized and unrealized gain (loss) | (0.124) | (0.359) | (0.073) | 0.103 | (0.058) | (0.071) |
Total income (loss) from operations | $ 0.037 | $ (0.206) | $ 0.020 | $ 0.221 | $ 0.165 | $ 0.172 |
Less Distributions | ||||||
From net investment income | $ (0.187) | $ (0.165) | $ (0.133) | $ (0.186) | $ (0.265) | $ (0.222) |
From net realized gain | — | — | — | (0.015) | — | — |
Tax return of capital | — | (0.019) | (0.007) | — | — | — |
Total distributions | $ (0.187) | $ (0.184) | $ (0.140) | $ (0.201) | $ (0.265) | $ (0.222) |
Net asset value — End of period | $ 7.450 | $ 7.600 | $ 7.990 | $ 8.110 | $ 8.090 | $ 8.190 |
Total Return(2) | 0.36% (3) | (2.49)% | 0.24% | 2.76% | 2.04% | 2.11% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $3,790,556 | $4,738,534 | $7,682,437 | $6,765,473 | $3,605,659 | $1,282,116 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 0.75% (5)(6)(7) | 0.54% (6)(7) | 0.52% | 0.57% (7) | 0.60% (7) | 0.65% |
Net investment income | 4.32% (5) | 1.94% | 1.15% | 1.46% | 2.73% | 2.96% |
Portfolio Turnover of the Fund | 435% (3)(8) | 798% (8) | 310% (8) | 152% (8) | 59% | 42% (9) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s/Portfolios’ allocated expenses for the period while the Fund was investing in the Portfolio/Portfolios. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.01% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Includes interest expense, including on reverse repurchase agreements, of 0.16%, 0.01%, 0.02% and 0.02% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2020 and 2019, respectively. |
(8) | Includes the effect of To Be Announced (TBA) transactions. |
(9) | Represents the portfolio turnover of Short-Term U.S. Government Portfolio from November 1, 2017 to October 12, 2018. The portfolio turnover based on the Fund’s investments in securities for the period October 15, 2018, the date the Fund began investing its assets directly, through October 31, 2018 was less than 1%. |
Aggregate cost | $6,133,788,416 |
Gross unrealized appreciation | $ 268,356,252 |
Gross unrealized depreciation | (442,347,583) |
Net unrealized depreciation | $ (173,991,331) |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.5000% |
$1 billion but less than $2.5 billion | 0.4750% |
$2.5 billion but less than $5 billion | 0.4550% |
$5 billion but less than $10 billion | 0.4400% |
$10 billion but less than $15 billion | 0.4300% |
$15 billion but less than $20 billion | 0.4225% |
$20 billion and over | 0.4175% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Advisers Class | |||||
Sales | 557,108 | $ 4,182,226 | 20,487,425 | $ 162,612,808 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 513,187 | 3,857,026 | 730,097 | 5,701,996 | |
Redemptions | (12,159,385) | (91,572,727) | (29,325,327) | (230,374,482) | |
Net decrease | (11,089,090) | $ (83,533,475) | (8,107,805) | $ (62,059,678) | |
Class A | |||||
Sales | 5,972,329 | $ 45,067,237 | 38,308,816 | $ 302,540,513 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 2,233,548 | 16,790,229 | 3,220,325 | 25,211,768 | |
Redemptions | (36,004,172) | (271,551,927) | (178,238,891) | (1,406,901,413) | |
Net decrease | (27,798,295) | $ (209,694,461) | (136,709,750) | $(1,079,149,132) | |
Class C | |||||
Sales | 611,759 | $ 4,620,052 | 2,240,137 | $ 17,655,395 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 170,588 | 1,283,918 | 156,626 | 1,222,521 | |
Redemptions | (2,748,800) | (20,762,308) | (5,847,025) | (46,075,794) | |
Net decrease | (1,966,453) | $ (14,858,338) | (3,450,262) | $ (27,197,878) | |
Class I | |||||
Sales | 167,808,495 | $ 1,263,614,954 | 484,037,962 | $ 3,809,561,374 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 12,447,941 | 93,442,363 | 15,149,682 | 118,325,821 | |
Redemptions | (294,597,665) | (2,216,693,916) | (837,429,151) | (6,587,433,580) | |
Net decrease | (114,341,229) | $ (859,636,599) | (338,241,507) | $(2,659,546,385) |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Purchased swaptions | $ 238,607(1) | $ — |
Futures contracts | — | (2,170,412) (2) |
Swap contracts | 206,717,132 (2) | — |
Total | $206,955,739 | $(2,170,412) |
Derivatives not subject to master netting or similar agreements | $206,717,132 | $(2,170,412) |
Total Derivatives subject to master netting or similar agreements | $ 238,607 | $ — |
(1) | Statement of Assets and Liabilities location: Unaffiliated investments, at value. |
(2) | Only the current day’s variation margin on open futures contracts and centrally cleared swap contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared swap contracts, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Bank of America, N.A. | $238,607 | $ — | $ — | $(238,607) | $ — |
(a) | In some instances, the total collateral received 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. |
Risk | Derivative | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
Credit | Swap contracts | $(16,721,812) (1) | $ 11,934,966(2) |
Interest Rate | Purchased swaptions | (4,773,857) (3) | (40,291,511) (4) |
Interest Rate | Written options and swaptions | 13,154,617 (5) | 3,773,411 (6) |
Interest Rate | Futures contracts | 48,755,343 (7) | (101,756,045) (8) |
Interest Rate | Swap contracts | 8,434,305 (1) | (57,699,151) (2) |
Total | $ 48,848,596 | $(184,038,330) |
(1) | Statement of Operations location: Net realized gain (loss): Swap contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Swap contracts. |
(3) | Statement of Operations location: Net realized gain (loss): Investment transactions. |
(4) | Statement of Operations location: Change in unrealized appreciation (depreciation): Investments. |
(5) | Statement of Operations location: Net realized gain (loss): Written options and swaptions. |
(6) | Statement of Operations location: Change in unrealized appreciation (depreciation): Written options and swaptions. |
(7) | Statement of Operations location: Net realized gain (loss): Futures contracts. |
(8) | Statement of Operations location: Change in unrealized appreciation (depreciation): Futures contracts. |
Futures Contracts — Long | Futures Contracts — Short | Purchased Swaptions | Written Options and Swaptions | Swap Contracts |
$243,512,000 | $945,037,000 | $540,000,000 | $810,000,000 | $1,757,714,000 |
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
MUFG Securities Americas, Inc. | 3/23/23 | 5/5/23 | 5.10% | $999,313 | $1,004,619 |
Counterparty | Reverse Repurchase Agreements | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(b) |
MUFG Securities Americas, Inc. | $(1,004,619) | $ — | $1,004,619 | $ — |
(a) | In some instances, the total collateral pledged may be more than the amount shown due to overcollateralization. |
(b) | 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 | $40,759,128 | $2,227,793,911 | $(2,169,385,592) | $ — | $ — | $99,167,447 | $2,194,972 | 99,167,447 |
• | 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 | $ — | $ 1,560,031,341 | $ — | $ 1,560,031,341 |
U.S. Government Agency Commercial Mortgage-Backed Securities | — | 18,382,903 | — | 18,382,903 |
U.S. Government Agency Mortgage-Backed Securities | — | 4,049,181,074 | — | 4,049,181,074 |
U.S. Government Guaranteed Small Business Administration Pools & Loans | — | 167,112,269 | — | 167,112,269 |
U.S. Department of Agriculture Loans | — | 24,460,718 | — | 24,460,718 |
Short-Term Investments | 99,167,447 | — | — | 99,167,447 |
Purchased Interest Rate Swaptions | — | 238,607 | — | 238,607 |
Total Investments | $ 99,167,447 | $ 5,819,406,912 | $ — | $ 5,918,574,359 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Swap Contracts | $ — | $ 206,717,132 | $ — | $ 206,717,132 |
Total | $ 99,167,447 | $ 6,026,124,044 | $ — | $ 6,125,291,491 |
Liability Description | ||||
TBA Sale Commitments | $ — | $ (150,186,019) | $ — | $ (150,186,019) |
Futures Contracts | (2,170,412) | — | — | (2,170,412) |
Total | $ (2,170,412) | $ (150,186,019) | $ — | $ (152,356,431) |
Officers | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
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Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 08/31/2010 | 08/31/2010 | 6.52% | 2.00% | 2.65% | 2.93% |
Class A with 3.25% Maximum Sales Charge | — | — | 3.04 | (1.29) | 1.98 | 2.58 |
Class C at NAV | 08/31/2010 | 08/31/2010 | 6.06 | 1.24 | 1.92 | 2.35 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 5.06 | 0.27 | 1.92 | 2.35 |
Class I at NAV | 08/31/2010 | 08/31/2010 | 6.67 | 2.32 | 2.96 | 3.24 |
Class R at NAV | 12/01/2010 | 08/31/2010 | 6.45 | 1.78 | 2.45 | 2.73 |
Class R6 at NAV | 05/31/2017 | 08/31/2010 | 6.77 | 2.31 | 2.99 | 3.29 |
ICE BofA 3-Month U.S. Treasury Bill Index | — | — | 2.09% | 2.81% | 1.44% | 0.90% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R | Class R6 |
Gross | 1.62% | 2.32% | 1.32% | 1.82% | 1.29% |
Net | 1.51 | 2.21 | 1.21 | 1.71 | 1.18 |
Asset Allocation (% of net assets)1 |
Foreign Currency Exposures (% of net assets)2 | |
Dominican Republic | 5.4% |
India | 3.9 |
Iceland | 3.8 |
Australia | 3.8 |
South Korea | 3.6 |
Ukraine | 3.6 |
Serbia | 3.6 |
Indonesia | 3.2 |
Uzbekistan | 3.0 |
Malaysia | 2.0 |
Israel | 1.9 |
Canada | 1.7 |
Brazil | 1.7 |
Japan | 1.7 |
United Kingdom | 1.3 |
Czech Republic | 1.1 |
Romania | 1.1 |
Hungary | 1.0 |
Other | 2.0** |
Poland | -1.0 |
Egypt | -1.8 |
Uganda | -2.0 |
Oman | -2.8 |
Bahrain | -2.9 |
Saudi Arabia | -3.3 |
New Zealand | -3.8 |
South Africa | -4.9 |
Philippines | -5.6 |
China | -6.5 |
Euro | -9.3 |
Total Long | 51.0% |
Total Short | -45.5% |
Total Net | 5.5% |
1 | ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 2/29/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. | |
Important Notice to Shareholders | |
Effective June 30, 2023, the portfolio managers of the Fund and the Portfolio will be Patrick Campbell, Kyle Lee, Federico Sequeda and Hussein Khattab. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,065.20 | $ 9.27** | 1.81% |
Class C | $1,000.00 | $1,060.60 | $12.82** | 2.51% |
Class I | $1,000.00 | $1,066.70 | $ 7.74** | 1.51% |
Class R | $1,000.00 | $1,064.50 | $10.29** | 2.01% |
Class R6 | $1,000.00 | $1,067.70 | $ 7.59** | 1.48% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,015.82 | $ 9.05** | 1.81% |
Class C | $1,000.00 | $1,012.35 | $12.52** | 2.51% |
Class I | $1,000.00 | $1,017.31 | $ 7.55** | 1.51% |
Class R | $1,000.00 | $1,014.83 | $10.04** | 2.01% |
Class R6 | $1,000.00 | $1,017.46 | $ 7.40** | 1.48% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
** | Absent an allocation of certain expenses to an affiliate, the expenses would be higher. |
April 30, 2023 | |
Assets | |
Investment in Global Macro Absolute Return Advantage Portfolio, at value (identified cost $1,819,580,271) | $ 1,632,432,355 |
Receivable for Fund shares sold | 1,935,918 |
Receivable from affiliate | 165,699 |
Total assets | $1,634,533,972 |
Liabilities | |
Payable for Fund shares redeemed | $ 2,387,493 |
Payable to affiliates: | |
Distribution and service fees | 71,304 |
Accrued expenses | 458,423 |
Total liabilities | $ 2,917,220 |
Net Assets | $1,631,616,752 |
Sources of Net Assets | |
Paid-in capital | $ 1,994,966,082 |
Accumulated loss | (363,349,330) |
Net Assets | $1,631,616,752 |
Class A Shares | |
Net Assets | $ 250,483,825 |
Shares Outstanding | 25,899,603 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.67 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 9.99 |
Class C Shares | |
Net Assets | $ 10,427,050 |
Shares Outstanding | 1,103,745 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.45 |
Class I Shares | |
Net Assets | $ 744,955,013 |
Shares Outstanding | 75,926,299 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.81 |
Class R Shares | |
Net Assets | $ 1,378,933 |
Shares Outstanding | 144,551 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.54 |
April 30, 2023 | |
Class R6 Shares | |
Net Assets | $624,371,931 |
Shares Outstanding | 63,703,176 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.80 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $134,325) | $ 4,481,728 |
Interest and other income allocated from Portfolio (net of foreign taxes withheld of $274,105) | 58,715,321 |
Expenses, excluding interest and dividend expense, allocated from Portfolio | (8,048,794) |
Interest and dividend expense allocated from Portfolio | (3,802,280) |
Total investment income from Portfolio | $ 51,345,975 |
Expenses | |
Distribution and service fees: | |
Class A | $ 340,877 |
Class C | 53,161 |
Class R | 3,418 |
Trustees’ fees and expenses | 210 |
Custodian fee | 30,720 |
Transfer and dividend disbursing agent fees | 516,284 |
Legal and accounting services | 31,515 |
Printing and postage | 162,338 |
Registration fees | 99,885 |
Miscellaneous | 11,695 |
Total expenses | $ 1,250,103 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 657,568 |
Total expense reductions | $ 657,568 |
Net expenses | $ 592,535 |
Net investment income | $ 50,753,440 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ (90,099,503) |
Securities sold short | (1,073,147) |
Futures contracts | 11,652,628 |
Swap contracts | (3,651,045) |
Foreign currency transactions | 3,320,503 |
Forward foreign currency exchange contracts | (4,121,276) |
Non-deliverable bond forward contracts | 8,865,842 |
Net realized loss | $ (75,105,998) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $93,241) | $ 223,064,671 |
Written options | 109,540 |
Securities sold short | (4,946,376) |
Futures contracts | (22,356,561) |
Swap contracts | (35,648,768) |
Foreign currency | 1,384,981 |
Forward foreign currency exchange contracts | (31,054,745) |
Non-deliverable bond forward contracts | (2,652,287) |
Net change in unrealized appreciation (depreciation) | $127,900,455 |
Net realized and unrealized gain | $ 52,794,457 |
Net increase in net assets from operations | $103,547,897 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 50,753,440 | $ 105,075,478 |
Net realized gain (loss) | (75,105,998) | 110,702,571 |
Net change in unrealized appreciation (depreciation) | 127,900,455 | (297,913,216) |
Net increase (decrease) in net assets from operations | $ 103,547,897 | $ (82,135,167) |
Distributions to shareholders: | ||
Class A | $ (10,176,611) | $ (28,376,973) |
Class C | (392,475) | (502,076) |
Class I | (37,085,496) | (38,629,833) |
Class R | (58,629) | (60,698) |
Class R6 | (26,464,279) | (30,233,189) |
Total distributions to shareholders | $ (74,177,490) | $ (97,802,769) |
Transactions in shares of beneficial interest: | ||
Class A | $ 94,920,190 | $ (485,597,806) |
Class C | (735,268) | (1,857,675) |
Class I | (74,100,614) | 50,348,589 |
Class R | 12,493 | 76,078 |
Class R6 | 61,411,418 | (28,870,732) |
Net increase (decrease) in net assets from Fund share transactions | $ 81,508,219 | $ (465,901,546) |
Net increase (decrease) in net assets | $ 110,878,626 | $ (645,839,482) |
Net Assets | ||
At beginning of period | $ 1,520,738,126 | $ 2,166,577,608 |
At end of period | $1,631,616,752 | $1,520,738,126 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.480 | $ 10.450 | $ 10.450 | $ 10.250 | $ 9.510 | $ 10.560 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.292 | $ 0.531 | $ 0.524 | $ 0.549 | $ 0.564 | $ 0.479 |
Net realized and unrealized gain (loss) | 0.325 | (1.038) | 0.049 | 0.066 | 0.176 | (1.239) |
Total income (loss) from operations | $ 0.617 | $ (0.507) | $ 0.573 | $ 0.615 | $ 0.740 | $ (0.760) |
Less Distributions | ||||||
From net investment income | $ (0.427) | $ (0.463) | $ (0.573) | $ (0.415) | $ — | $ (0.290) |
Total distributions | $ (0.427) | $ (0.463) | $ (0.573) | $ (0.415) | $ — | $ (0.290) |
Net asset value — End of period | $ 9.670 | $ 9.480 | $ 10.450 | $ 10.450 | $ 10.250 | $ 9.510 |
Total Return(2)(3) | 6.52% (4) | (5.02)% | 5.52% | 6.15% | 7.78% | (7.40)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $250,484 | $151,818 | $676,641 | $758,795 | $789,497 | $122,402 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3)(6) | 1.81% (7)(8) | 1.51% (8) | 1.46% | 1.44% | 1.57% | 1.45% |
Net investment income | 6.10% (7) | 5.31% | 5.03% | 5.35% | 5.70% | 4.73% |
Portfolio Turnover of the Portfolio | 59% (4) | 94% | 82% | 80% | 71% | 75% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.09%, 0.11%, 0.11%, 0.15%, 0.18% and 0.10% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.48%, 0.16%, 0.11%, 0.09%, 0.22% and 0.07% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.02% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.230 | $10.180 | $ 10.150 | $ 9.930 | $ 9.270 | $10.330 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.251 | $ 0.495 | $ 0.441 | $ 0.468 | $ 0.453 | $ 0.399 |
Net realized and unrealized gain (loss) | 0.322 | (1.059) | 0.043 | 0.056 | 0.207 | (1.214) |
Total income (loss) from operations | $ 0.573 | $ (0.564) | $ 0.484 | $ 0.524 | $ 0.660 | $ (0.815) |
Less Distributions | ||||||
From net investment income | $ (0.353) | $ (0.386) | $ (0.454) | $ (0.304) | $ — | $ (0.245) |
Total distributions | $ (0.353) | $ (0.386) | $ (0.454) | $ (0.304) | $ — | $ (0.245) |
Net asset value — End of period | $ 9.450 | $ 9.230 | $10.180 | $10.150 | $ 9.930 | $ 9.270 |
Total Return(2)(3) | 6.06% (4) | (5.69)% | 4.85% | 5.29% | 7.12% | (8.08)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $10,427 | $10,906 | $ 14,020 | $ 20,894 | $30,108 | $59,782 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3)(6) | 2.51% (7)(8) | 2.21% (8) | 2.16% | 2.14% | 2.29% | 2.15% |
Net investment income | 5.38% (7) | 5.16% | 4.33% | 4.69% | 4.80% | 4.03% |
Portfolio Turnover of the Portfolio | 59% (4) | 94% | 82% | 80% | 71% | 75% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.09%, 0.11%, 0.11%, 0.15%, 0.18% and 0.10% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.48%, 0.16%, 0.11%, 0.09%, 0.24% and 0.07% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.02% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.640 | $ 10.620 | $ 10.610 | $ 10.390 | $ 9.610 | $ 10.680 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.310 | $ 0.619 | $ 0.565 | $ 0.592 | $ 0.570 | $ 0.514 |
Net realized and unrealized gain (loss) | 0.321 | (1.099) | 0.047 | 0.062 | 0.216 | (1.250) |
Total income (loss) from operations | $ 0.631 | $ (0.480) | $ 0.612 | $ 0.654 | $ 0.786 | $ (0.736) |
Less Distributions | ||||||
From net investment income | $ (0.461) | $ (0.500) | $ (0.602) | $ (0.434) | $ (0.006) | $ (0.334) |
Total distributions | $ (0.461) | $ (0.500) | $ (0.602) | $ (0.434) | $ (0.006) | $ (0.334) |
Net asset value — End of period | $ 9.810 | $ 9.640 | $ 10.620 | $ 10.610 | $ 10.390 | $ 9.610 |
Total Return(2)(3) | 6.67% (4) | (4.79)% | 5.93% | 6.36% | 8.18% | (7.12)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $744,955 | $803,281 | $836,706 | $1,293,211 | $2,075,104 | $3,731,477 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3)(6) | 1.51% (7)(8) | 1.21% (8) | 1.16% | 1.14% | 1.29% | 1.15% |
Net investment income | 6.38% (7) | 6.22% | 5.35% | 5.70% | 5.81% | 5.04% |
Portfolio Turnover of the Portfolio | 59% (4) | 94% | 82% | 80% | 71% | 75% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.09%, 0.11%, 0.11%, 0.15%, 0.18% and 0.10% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.48%, 0.16%, 0.11%, 0.09%, 0.24% and 0.07% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.02% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
Class R | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.360 | $10.330 | $ 10.330 | $ 10.120 | $ 9.410 | $10.440 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.277 | $ 0.554 | $ 0.497 | $ 0.526 | $ 0.515 | $ 0.451 |
Net realized and unrealized gain (loss) | 0.317 | (1.073) | 0.055 | 0.064 | 0.195 | (1.217) |
Total income (loss) from operations | $ 0.594 | $ (0.519) | $ 0.552 | $ 0.590 | $ 0.710 | $ (0.766) |
Less Distributions | ||||||
From net investment income | $ (0.414) | $ (0.451) | $ (0.552) | $ (0.380) | $ — | $ (0.264) |
Total distributions | $(0.414) | $ (0.451) | $ (0.552) | $ (0.380) | $ — | $ (0.264) |
Net asset value — End of period | $ 9.540 | $ 9.360 | $10.330 | $10.330 | $10.120 | $ 9.410 |
Total Return(2)(3) | 6.45% (4) | (5.29)% | 5.36% | 5.97% | 7.55% | (7.53)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 1,379 | $ 1,340 | $ 1,398 | $ 1,506 | $ 1,566 | $ 1,801 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3)(6) | 2.01% (7)(8) | 1.71% (8) | 1.66% | 1.64% | 1.79% | 1.65% |
Net investment income | 5.87% (7) | 5.71% | 4.82% | 5.18% | 5.35% | 4.50% |
Portfolio Turnover of the Portfolio | 59% (4) | 94% | 82% | 80% | 71% | 75% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.09%, 0.11%, 0.11%, 0.15%, 0.18% and 0.10% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.48%, 0.16%, 0.11%, 0.09%, 0.24% and 0.07% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.02% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
Class R6 | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.630 | $ 10.630 | $ 10.620 | $ 10.410 | $ 9.640 | $ 10.690 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.311 | $ 0.619 | $ 0.567 | $ 0.576 | $ 0.579 | $ 0.534 |
Net realized and unrealized gain (loss) | 0.329 | (1.104) | 0.057 | 0.079 | 0.207 | (1.245) |
Total income (loss) from operations | $ 0.640 | $ (0.485) | $ 0.624 | $ 0.655 | $ 0.786 | $ (0.711) |
Less Distributions | ||||||
From net investment income | $ (0.470) | $ (0.515) | $ (0.614) | $ (0.445) | $ (0.016) | $ (0.339) |
Total distributions | $ (0.470) | $ (0.515) | $ (0.614) | $ (0.445) | $ (0.016) | $ (0.339) |
Net asset value — End of period | $ 9.800 | $ 9.630 | $ 10.630 | $ 10.620 | $ 10.410 | $ 9.640 |
Total Return(2)(3) | 6.77% | (4.84)% | 5.94% | 6.56% | 8.07% | (6.88)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $624,372 | $553,393 | $637,812 | $699,477 | $140,294 | $173,234 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses (3)(5) | 1.48% (6)(7) | 1.18% (7) | 1.13% | 1.11% | 1.26% | 1.10% |
Net investment income | 6.40% (6) | 6.20% | 5.36% | 5.53% | 5.86% | 5.30% |
Portfolio Turnover of the Portfolio | 59% (8) | 94% | 82% | 80% | 71% | 75% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.09%, 0.11%, 0.11%, 0.15%, 0.18% and 0.10% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.48%, 0.16%, 0.11%, 0.09%, 0.24% and 0.08% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.02% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(8) | Not annualized. |
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% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 10,339,129 | $ 99,369,814 | 15,388,094 | $ 147,798,597 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,066,399 | 10,056,139 | 2,781,624 | 28,094,404 | |
Redemptions | (1,512,530) | (14,505,763) | (66,895,264) | (661,490,807) | |
Net increase (decrease) | 9,892,998 | $ 94,920,190 | (48,725,546) | $(485,597,806) | |
Class C | |||||
Sales | 83,565 | $ 785,572 | 122,116 | $ 1,179,889 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 42,411 | 391,875 | 50,650 | 500,931 | |
Redemptions | (203,322) | (1,912,715) | (368,782) | (3,538,495) | |
Net decrease | (77,346) | $ (735,268) | (196,016) | $ (1,857,675) |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Sales | 13,777,028 | $ 134,706,131 | 45,214,100 | $ 450,703,862 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 3,259,856 | 31,164,219 | 3,499,514 | 35,835,019 | |
Redemptions | (24,474,181) | (239,970,964) | (44,160,394) | (436,190,292) | |
Net increase (decrease) | (7,437,297) | $ (74,100,614) | 4,553,220 | $ 50,348,589 | |
Class R | |||||
Sales | 7,496 | $ 71,079 | 26,070 | $ 249,901 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 6,297 | 58,629 | 6,082 | 60,698 | |
Redemptions | (12,395) | (117,215) | (24,426) | (234,521) | |
Net increase | 1,398 | $ 12,493 | 7,726 | $ 76,078 | |
Class R6 | |||||
Sales | 13,544,061 | $ 132,924,183 | 16,341,304 | $ 158,889,083 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,216,876 | 11,621,165 | 1,028,651 | 10,523,095 | |
Redemptions | (8,502,771) | (83,133,930) | (19,941,518) | (198,282,910) | |
Net increase (decrease) | 6,258,166 | $ 61,411,418 | (2,571,563) | $ (28,870,732) |
Collateralized Mortgage Obligations — 3.0% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
Interest Only:(1) | |||
Series 2770, Class SH, 2.152%, (7.10% - 1 mo. USD LIBOR), 3/15/34(2) | $ | 684 | $ 89,545 |
Series 4791, Class JI, 4.00%, 5/15/48 | 7,691 | 1,536,193 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2020-DNA4, Class B1, 11.02%, (1 mo. USD LIBOR + 6.00%), 8/25/50(3)(4) | 6,800 | 7,424,902 | |
Series 2020-HQA4, Class B1, 10.27%, (1 mo. USD LIBOR + 5.25%), 9/25/50(3)(4) | 3,440 | 3,643,681 | |
Series 2022-HQA1, Class M1B, 8.315%, (30-day average SOFR + 3.50%), 3/25/42(3)(4) | 2,521 | 2,570,316 | |
Series 2022-HQA1, Class M2, 10.065%, (30-day average SOFR + 5.25%), 3/25/42(3)(4) | 5,043 | 5,106,165 | |
Federal National Mortgage Association: | |||
Interest Only:(1) | |||
Series 424, Class C8, 3.50%, 2/25/48 | 9,736 | 1,742,834 | |
Series 2010-109, Class PS, 1.58%, (6.60% - 1 mo. USD LIBOR), 10/25/40(2) | 1,469 | 134,799 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 8,470 | 1,524,425 | |
Series 2018-58, Class BI, 4.00%, 8/25/48 | 1,422 | 273,341 | |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(3)(5) | 47,753 | 43,329,006 | |
Total Collateralized Mortgage Obligations (identified cost $93,851,784) | $ 67,375,207 |
Common Stocks — 5.2% |
Security | Shares | Value | |
Argentina — 0.4% | |||
Banco Macro S.A. ADR | 123,900 | $ 2,191,791 | |
Grupo Financiero Galicia S.A. ADR(6) | 183,900 | 2,118,528 | |
IRSA Inversiones y Representaciones S.A. ADR | 133,500 | 736,920 | |
Loma Negra Cia Industrial Argentina S.A. ADR | 281,200 | 1,720,944 | |
Telecom Argentina S.A. ADR(6) | 335,800 | 1,709,222 | |
$ 8,477,405 | |||
Bulgaria — 0.4% | |||
Eurohold Bulgaria AD(6) | 11,358,027 | $ 8,495,743 | |
$ 8,495,743 | |||
Cyprus — 0.9% | |||
Bank of Cyprus Holdings PLC(6) | 7,384,936 | $ 20,498,220 |
Security | Shares | Value | |
Cyprus (continued) | |||
Galaxy Cosmos Mezz PLC(6) | 48,440 | $ 24,448 | |
Sunrisemezz PLC(6) | 272,828 | 62,850 | |
$ 20,585,518 | |||
Georgia — 0.5% | |||
Bank of Georgia Group PLC | 100,867 | $ 3,752,282 | |
Georgia Capital PLC(6) | 323,200 | 3,270,721 | |
TBC Bank Group PLC | 109,976 | 3,253,368 | |
$ 10,276,371 | |||
Greece — 1.2% | |||
Alpha Services and Holdings S.A.(6) | 1,307,900 | $ 1,639,628 | |
Eurobank Ergasias Services and Holdings S.A.(6) | 2,207,700 | 3,121,531 | |
Hellenic Telecommunications Organization S.A. | 227,300 | 3,321,236 | |
JUMBO S.A. | 145,300 | 3,347,637 | |
Motor Oil (Hellas) Corinth Refineries S.A. | 78,100 | 1,861,401 | |
Mytilineos S.A. | 102,500 | 2,973,811 | |
National Bank of Greece S.A.(6) | 460,300 | 2,408,822 | |
OPAP S.A. | 164,872 | 2,811,514 | |
Piraeus Financial Holdings S.A.(6) | 1,909,800 | 4,517,887 | |
Public Power Corp. S.A.(6) | 132,900 | 1,146,872 | |
Titan Cement International S.A.(6) | 6,605 | 109,094 | |
$ 27,259,433 | |||
Iceland — 0.4% | |||
Arion Banki HF(3) | 1,970,378 | $ 2,069,592 | |
Eik Fasteignafelag HF | 6,056,328 | 530,765 | |
Eimskipafelag Islands HF | 483,446 | 2,036,949 | |
Hagar HF | 1,926,423 | 951,382 | |
Islandsbanki HF | 1,104,783 | 1,009,028 | |
Reginn HF | 2,864,793 | 531,400 | |
Reitir Fasteignafelag HF | 1,754,792 | 1,087,848 | |
Siminn HF | 3,351,975 | 286,455 | |
$ 8,503,419 | |||
Indonesia — 0.6% | |||
Bank Central Asia Tbk PT | 8,810,000 | $ 5,452,077 | |
Bank Mandiri Persero Tbk PT | 9,560,000 | 3,379,458 | |
Bank Negara Indonesia Persero Tbk PT | 1,000,000 | 644,448 | |
Bank Rakyat Indonesia Persero Tbk PT | 12,390,000 | 4,317,657 | |
$ 13,793,640 | |||
United Arab Emirates — 0.1% | |||
Dubai Electricity & Water Authority PJSC | 2,009,569 | $ 1,358,239 | |
$ 1,358,239 |
Security | Shares | Value | |
United Kingdom — 0.0%(7) | |||
Tesnik Cuatro, Ltd.(8) | 584,285 | $ 639,734 | |
$ 639,734 | |||
Vietnam — 0.7% | |||
Bank for Foreign Trade of Vietnam JSC(6) | 371,402 | $ 1,435,881 | |
Binh Minh Plastics JSC | 45,300 | 149,767 | |
Coteccons Construction JSC(6) | 148,570 | 375,833 | |
FPT Corp. | 1,176,500 | 4,158,444 | |
Ho Chi Minh City Infrastructure Investment JSC(6) | 868,000 | 538,420 | |
Hoa Phat Group JSC | 1,601,821 | 1,484,009 | |
KIDO Group Corp. | 38,090 | 103,908 | |
Masan Group Corp. | 167,040 | 522,205 | |
Mobile World Investment Corp. | 1,116,000 | 1,920,618 | |
Phu Nhuan Jewelry JSC | 477,066 | 1,571,018 | |
Refrigeration Electrical Engineering Corp. | 501,239 | 1,520,211 | |
SSI Securities Corp. | 280,688 | 259,516 | |
Vietnam Dairy Products JSC | 352,996 | 1,055,247 | |
Vingroup JSC(6) | 458,952 | 1,020,786 | |
$ 16,115,863 | |||
Total Common Stocks (identified cost $108,503,731) | $ 115,505,365 |
Convertible Bonds — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Costa Rica — 0.2% | |||
Liberty Latin America, Ltd., 2.00%, 7/15/24 | USD | 4,760 | $ 4,410,771 |
$ 4,410,771 | |||
India — 0.2% | |||
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(9) | USD | 4,605 | $ 3,521,535 |
$ 3,521,535 | |||
Total Convertible Bonds (identified cost $9,368,063) | $ 7,932,306 |
Foreign Corporate Bonds — 5.3% |
Security | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(7) | |||
IRSA Inversiones y Representaciones S.A., 8.75%, 6/22/28(3) | USD | 448 | $ 441,142 |
$ 441,142 | |||
Armenia — 0.2% | |||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(9) | USD | 5,041 | $ 4,927,578 |
$ 4,927,578 | |||
Brazil — 0.8% | |||
Coruripe Netherlands BV: | |||
10.00%, 2/10/27(3) | USD | 1,194 | $ 883,560 |
10.00%, 2/10/27(9) | USD | 2,847 | 2,106,780 |
Hidrovias International Finance S.a.r.l., 4.95%, 2/8/31(9) | USD | 1,949 | 1,469,750 |
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(3) | USD | 5,693 | 4,380,648 |
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(3) | USD | 1,883 | 1,682,926 |
Natura Cosmeticos S.A., 4.125%, 5/3/28(9) | USD | 4,599 | 3,839,661 |
Vale S.A., 2.762%(10)(11) | BRL | 64,850 | 4,128,041 |
$ 18,491,366 | |||
Bulgaria — 0.1% | |||
Bulgarian Energy Holding EAD, 2.45%, 7/22/28(9) | EUR | 1,742 | $ 1,572,578 |
$ 1,572,578 | |||
Chile — 0.5% | |||
AES Andes S.A.: | |||
6.35% to 4/7/25, 10/7/79(9)(12) | USD | 954 | $ 887,023 |
7.125% to 4/7/24, 3/26/79(9)(12) | USD | 1,414 | 1,333,183 |
Latam Airlines Group S.A., 13.375%, 10/15/27(3) | USD | 2,840 | 2,969,851 |
VTR Comunicaciones SpA: | |||
4.375%, 4/15/29(9) | USD | 4,592 | 2,372,829 |
5.125%, 1/15/28(9) | USD | 4,579 | 2,561,927 |
$ 10,124,813 | |||
China — 0.2% | |||
KWG Group Holdings, Ltd., 7.875%, 8/30/24 | USD | 2,385 | $ 661,003 |
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(9)(13) | USD | 7,800 | 1,020,830 |
Sunac China Holdings, Ltd.: | |||
6.50%, 7/9/23(9)(13) | USD | 2,800 | 566,169 |
Security | Principal Amount (000's omitted) | Value | |
China (continued) | |||
Sunac China Holdings, Ltd.: (continued) | |||
8.35%, 4/19/23(9)(13) | USD | 5,201 | $ 1,073,016 |
Times China Holdings, Ltd.: | |||
5.55%, 6/4/24(9)(13) | USD | 6,284 | 817,026 |
6.75%, 7/16/23(9)(13) | USD | 4,471 | 614,762 |
$ 4,752,806 | |||
Colombia — 0.1% | |||
ABRA Global Finance, 11.50%, (6.00% cash and 5.50% PIK), 3/2/28(3) | USD | 2,121 | $ 1,702,048 |
$ 1,702,048 | |||
Georgia — 0.2% | |||
Georgia Capital JSC: | |||
6.125%, 3/9/24(3) | USD | 2,580 | $ 2,531,625 |
6.125%, 3/9/24(9) | USD | 2,988 | 2,931,975 |
$ 5,463,600 | |||
Honduras — 0.0%(7) | |||
Inversiones Atlantida S.A., 7.50%, 5/19/26(9) | USD | 505 | $ 466,749 |
$ 466,749 | |||
Iceland — 0.9% | |||
Arion Banki HF, 6.00%, 4/12/24(9) | ISK | 1,720,000 | $ 12,375,239 |
Landsbankinn HF, 5.00%, 11/23/23(9) | ISK | 1,020,000 | 7,389,482 |
WOW Air HF: | |||
0.00% (8)(10)(13) | EUR | 121 | 0 |
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(8)(13) | EUR | 5,500 | 0 |
$ 19,764,721 | |||
India — 0.4% | |||
JSW Infrastructure, Ltd., 4.95%, 1/21/29(9) | USD | 5,576 | $ 4,831,596 |
JSW Steel, Ltd., 5.05%, 4/5/32(9) | USD | 2,277 | 1,836,081 |
Vedanta Resources Finance II PLC, 13.875%, 1/21/24(9) | USD | 2,214 | 1,924,319 |
$ 8,591,996 | |||
Mexico — 0.3% | |||
Alpha Holding S.A. de CV: | |||
9.00%, 2/10/25(9)(13) | USD | 5,879 | $ 80,836 |
10.00%, 12/19/22(9)(13) | USD | 2,697 | 16,586 |
Braskem Idesa SAPI, 6.99%, 2/20/32(9) | USD | 4,630 | 3,316,238 |
Security | Principal Amount (000's omitted) | Value | |
Mexico (continued) | |||
Grupo Kaltex S.A. de CV, 14.50%, (13.00% cash and 1.50% PIK), 9/30/25(3) | USD | 2,068 | $ 1,861,200 |
Total Play Telecomunicaciones S.A. de CV, 7.50%, 11/12/25(9) | USD | 3,170 | 2,218,551 |
$ 7,493,411 | |||
Moldova — 0.3% | |||
Aragvi Finance International DAC, 8.45%, 4/29/26(9) | USD | 8,981 | $ 6,196,890 |
$ 6,196,890 | |||
Nigeria — 0.3% | |||
IHS Holding, Ltd., 5.625%, 11/29/26(9) | USD | 2,750 | $ 2,308,130 |
IHS Netherlands Holdco BV, 8.00%, 9/18/27(9) | USD | 1,348 | 1,188,734 |
SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(9) | USD | 4,892 | 3,925,438 |
$ 7,422,302 | |||
Paraguay — 0.2% | |||
Frigorifico Concepcion S.A., 7.70%, 7/21/28(3) | USD | 7,075 | $ 5,068,601 |
$ 5,068,601 | |||
Saint Lucia — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(9) | USD | 1,633 | $ 1,480,413 |
$ 1,480,413 | |||
South Africa — 0.2% | |||
HTA Group, Ltd., 7.00%, 12/18/25(9) | USD | 3,569 | $ 3,370,118 |
Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(9) | USD | 1,725 | 1,647,821 |
$ 5,017,939 | |||
Turkey — 0.3% | |||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(9) | USD | 6,874 | $ 5,697,631 |
$ 5,697,631 | |||
Uzbekistan — 0.2% | |||
International Finance Corp., 16.00%, 2/21/25 | UZS | 25,000,000 | $ 2,240,904 |
Ipoteka-Bank ATIB, 5.50%, 11/19/25(9) | USD | 1,336 | 1,219,167 |
National Bank of Uzbekistan, 4.85%, 10/21/25(9) | USD | 1,236 | 1,146,390 |
$ 4,606,461 | |||
Total Foreign Corporate Bonds (identified cost $160,204,055) | $ 119,283,045 |
Loan Participation Notes — 1.5% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 1.5% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(8)(9)(14) | UZS | 294,368,000 | $ 25,762,080 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(8)(9)(14) | UZS | 96,856,000 | 8,471,615 |
Total Loan Participation Notes (identified cost $39,265,127) | $ 34,233,695 |
Reinsurance Side Cars — 0.7% |
Security | Shares | Value | |
Eden Re II, Ltd.: | |||
Series 2021A, 0.00%, 3/21/25(3)(8)(15)(16) | 648,149 | $ 333,149 | |
Series 2022A, 0.00%, 3/20/26(3)(8)(15)(16) | 440,000 | 318,032 | |
Series 2022B, 0.00%, 3/20/26(3)(8)(15)(16) | 940,000 | 695,412 | |
Mt. Logan Re, Ltd., Series A-1(6)(8)(16)(17) | 8,600 | 7,467,070 | |
Sussex Capital, Ltd.: | |||
Designated Investment Series 14(6)(8)(16)(17) | 1,114 | 403,548 | |
Designated Investment Series 14(6)(8)(16)(17) | 1,081 | 1,124,257 | |
Series 14, Preference Shares(8)(16)(17) | 7,500 | 6,474,051 | |
Total Reinsurance Side Cars (identified cost $18,128,149) | $ 16,815,519 |
Senior Floating-Rate Loans — 0.8%(18) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(7) | |||
Desa, LLC, Term Loan, 2.50%, 6/30/24(8)(19) | $ | 1,186 | $ 561,343 |
$ 561,343 | |||
Mexico — 0.8% | |||
Petroleos Mexicanos, Term Loan, 7.94%, (1 mo. USD LIBOR + 3.00%), 6/28/24 | $ | 17,248 | $ 16,795,240 |
$ 16,795,240 | |||
Total Senior Floating-Rate Loans (identified cost $17,969,828) | $ 17,356,583 |
Sovereign Government Bonds — 51.7% |
Security | Principal Amount (000's omitted) | Value | |
Albania — 0.2% | |||
Albania Government International Bond: | |||
3.50%, 10/9/25(9) | EUR | 3,150 | $ 3,307,774 |
3.50%, 6/16/27(9) | EUR | 304 | 306,291 |
3.50%, 11/23/31(9) | EUR | 200 | 184,290 |
$ 3,798,355 | |||
Argentina — 0.3% | |||
Province of Salta Argentina, 8.50%, 12/1/27(9) | USD | 2,024 | $ 1,578,720 |
Provincia de Cordoba, 6.875%, 12/10/25(9) | USD | 4,747 | 3,953,033 |
Republic of Argentina, 1.00%, 7/9/29 | USD | 6,930 | 1,628,427 |
$ 7,160,180 | |||
Armenia — 0.2% | |||
Republic of Armenia Treasury Bond, 9.75%, 10/29/52 | AMD | 1,543,990 | $ 3,451,869 |
$ 3,451,869 | |||
Barbados — 1.3% | |||
Government of Barbados, 6.50%, 10/1/29(9) | USD | 29,804 | $ 27,806,852 |
$ 27,806,852 | |||
Benin — 1.5% | |||
Benin Government International Bond: | |||
4.875%, 1/19/32(9) | EUR | 12,386 | $ 10,231,327 |
4.95%, 1/22/35(9) | EUR | 4,429 | 3,322,520 |
6.875%, 1/19/52(9) | EUR | 26,443 | 19,509,049 |
$ 33,062,896 | |||
Bolivia — 0.1% | |||
Bolivian Government International Bond, 5.95%, 8/22/23(9) | USD | 2,895 | $ 2,637,139 |
$ 2,637,139 | |||
Cyprus — 1.0% | |||
Cyprus Government International Bond: | |||
2.75%, 2/26/34(9) | EUR | 2,016 | $ 1,977,527 |
4.125%, 4/13/33(9) | EUR | 17,969 | 20,006,643 |
$ 21,984,170 |
Security | Principal Amount (000's omitted) | Value | |
Dominican Republic — 5.3% | |||
Dominican Republic: | |||
8.00%, 1/15/27(9) | DOP | 128,350 | $ 2,063,662 |
8.00%, 2/12/27(9) | DOP | 621,240 | 9,941,366 |
9.75%, 6/5/26(9) | DOP | 34,550 | 629,824 |
12.00%, 8/8/25(3) | DOP | 557,110 | 10,168,229 |
12.75%, 9/23/29(3) | DOP | 1,010,500 | 20,529,893 |
13.00%, 1/30/26(3) | DOP | 342,670 | 6,447,762 |
13.00%, 6/9/34(9) | DOP | 1,334,100 | 28,254,580 |
13.625%, 2/3/33(3) | DOP | 1,025,800 | 22,299,828 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(9) | DOP | 46,050 | 736,546 |
12.00%, 10/3/25(3) | DOP | 379,500 | 6,926,084 |
13.00%, 12/5/25(3) | DOP | 497,230 | 9,389,954 |
$ 117,387,728 | |||
Ecuador — 0.5% | |||
Republic of Ecuador: | |||
1.50% to 7/31/23, 7/31/40(9)(20) | USD | 3,486 | $ 836,573 |
1.50% to 7/31/23, 7/31/40(9)(20) | USD | 2,242 | 538,032 |
5.50% to 7/31/23, 7/31/30(9)(20) | USD | 20,082 | 10,694,525 |
$ 12,069,130 | |||
Egypt — 0.7% | |||
Arab Republic of Egypt: | |||
6.375%, 4/11/31(9) | EUR | 7,779 | $ 4,505,020 |
7.50%, 2/16/61(9) | USD | 2,808 | 1,415,541 |
8.70%, 3/1/49(9) | USD | 6,386 | 3,417,723 |
8.75%, 9/30/51(9) | USD | 2,200 | 1,169,036 |
Egyptian Financial Co. for Sovereign Taskeek, 10.875%, 2/28/26(3) | USD | 4,740 | 3,919,032 |
$ 14,426,352 | |||
El Salvador — 0.3% | |||
Republic of El Salvador: | |||
5.875%, 1/30/25(9) | USD | 2,118 | $ 1,769,914 |
6.375%, 1/18/27(9) | USD | 7,975 | 5,029,694 |
$ 6,799,608 | |||
Ethiopia — 0.8% | |||
Ethiopia Government International Bond, 6.625%, 12/11/24(9) | USD | 24,137 | $ 16,948,036 |
$ 16,948,036 |
Security | Principal Amount (000's omitted) | Value | |
Honduras — 1.0% | |||
Honduras Government International Bond: | |||
5.625%, 6/24/30(9) | USD | 16,852 | $ 13,380,529 |
6.25%, 1/19/27(9) | USD | 9,635 | 8,675,945 |
7.50%, 3/15/24(9) | USD | 0 (21) | 78 |
$ 22,056,552 | |||
Iceland — 1.5% | |||
Republic of Iceland: | |||
5.00%, 11/15/28 | ISK | 2,319,313 | $ 15,528,095 |
6.50%, 1/24/31 | ISK | 1,273,622 | 9,318,740 |
8.00%, 6/12/25 | ISK | 1,168,841 | 8,499,175 |
$ 33,346,010 | |||
India — 3.8% | |||
India Government Bond, 7.10%, 4/18/29 | INR | 6,988,000 | $ 85,541,744 |
$ 85,541,744 | |||
Indonesia — 1.9% | |||
Indonesia Government Bond: | |||
7.125%, 6/15/42 | IDR | 101,384,000 | $ 7,052,028 |
7.125%, 6/15/43 | IDR | 464,841,000 | 32,407,529 |
7.375%, 5/15/48 | IDR | 36,392,000 | 2,575,472 |
$ 42,035,029 | |||
Iraq — 1.5% | |||
Republic of Iraq, 5.80%, 1/15/28(9) | USD | 36,106 | $ 33,807,502 |
$ 33,807,502 | |||
Jordan — 1.3% | |||
Kingdom of Jordan: | |||
7.375%, 10/10/47(9) | USD | 13,405 | $ 11,360,201 |
7.50%, 1/13/29(9) | USD | 17,031 | 17,198,245 |
$ 28,558,446 | |||
Kenya — 1.1% | |||
Government of Kenya: | |||
6.30%, 1/23/34(9) | USD | 2,533 | $ 1,666,868 |
7.00%, 5/22/27(9) | USD | 5,169 | 4,176,790 |
7.25%, 2/28/28(9) | USD | 4,509 | 3,487,572 |
8.00%, 5/22/32(9) | USD | 20,849 | 15,720,709 |
$ 25,051,939 |
Security | Principal Amount (000's omitted) | Value | |
Lebanon — 0.3% | |||
Lebanese Republic: | |||
5.80%, 4/14/20(9)(13) | USD | 332 | $ 20,584 |
6.00%, 1/27/23(9)(13) | USD | 1,485 | 89,100 |
6.10%, 10/4/22(9)(13) | USD | 5,684 | 352,408 |
6.15%, 6/19/20(13) | USD | 442 | 27,404 |
6.20%, 2/26/25(9)(13) | USD | 440 | 27,057 |
6.25%, 5/27/22(13) | USD | 740 | 45,603 |
6.25%, 11/4/24(9)(13) | USD | 11,108 | 683,142 |
6.25%, 6/12/25(9)(13) | USD | 7,800 | 484,848 |
6.375%, 3/9/20(13) | USD | 6,504 | 403,248 |
6.40%, 5/26/23(13) | USD | 11,020 | 697,786 |
6.65%, 4/22/24(9)(13) | USD | 13,568 | 834,432 |
6.65%, 11/3/28(9)(13) | USD | 2,923 | 178,362 |
6.85%, 5/25/29(13) | USD | 9,378 | 582,561 |
7.00%, 12/3/24(13) | USD | 4,878 | 310,729 |
7.00%, 3/20/28(9)(13) | USD | 13,884 | 854,408 |
7.15%, 11/20/31(9)(13) | USD | 12,224 | 750,920 |
8.20%, 5/17/33(13) | USD | 4,223 | 258,236 |
8.25%, 4/12/21(9)(13) | USD | 2,352 | 152,880 |
8.25%, 5/17/34(13) | USD | 3,507 | 210,315 |
$ 6,964,023 | |||
Mexico — 2.4% | |||
Mexican Udibonos, 4.00%, 11/3/50 | MXN | 1,048,465 | $ 53,881,768 |
$ 53,881,768 | |||
Mozambique — 0.4% | |||
Mozambique Government International Bond, 5.00% to 9/15/23, 9/15/31(9)(20) | USD | 13,115 | $ 9,225,091 |
$ 9,225,091 | |||
New Zealand — 1.1% | |||
New Zealand Government Bond, 2.50%, 9/20/40(9)(22) | NZD | 36,448 | $ 23,458,953 |
$ 23,458,953 | |||
North Macedonia — 2.6% | |||
North Macedonia Government International Bond: | |||
1.625%, 3/10/28(9) | EUR | 21,305 | $ 18,781,261 |
3.675%, 6/3/26(9) | EUR | 3,970 | 4,058,046 |
6.96%, 3/13/27(9) | EUR | 30,696 | 34,370,869 |
$ 57,210,176 |
Security | Principal Amount (000's omitted) | Value | |
Pakistan — 0.2% | |||
Pakistan Government International Bond: | |||
8.25%, 4/15/24(9) | USD | 7,877 | $ 4,002,067 |
8.25%, 9/30/25(9) | USD | 2,443 | 1,012,966 |
$ 5,015,033 | |||
Peru — 2.1% | |||
Peru Government Bond: | |||
5.35%, 8/12/40 | PEN | 122,144 | $ 26,004,679 |
5.40%, 8/12/34 | PEN | 21,339 | 4,859,197 |
6.15%, 8/12/32 | PEN | 66,329 | 16,389,134 |
$ 47,253,010 | |||
Romania — 3.9% | |||
Romania Government Bond, 4.25%, 4/28/36 | RON | 141,475 | $ 23,394,278 |
Romania Government International Bond: | |||
1.75%, 7/13/30(9) | EUR | 1,266 | 1,044,822 |
2.124%, 7/16/31(9) | EUR | 1,001 | 819,329 |
2.125%, 3/7/28(9) | EUR | 6,116 | 5,802,067 |
3.375%, 1/28/50(9) | EUR | 3,514 | 2,338,619 |
4.625%, 4/3/49(9) | EUR | 20,631 | 17,026,566 |
5.00%, 9/27/26(9) | EUR | 16,881 | 18,709,998 |
6.625%, 9/27/29(9) | EUR | 16,515 | 18,749,009 |
$ 87,884,688 | |||
Serbia — 4.8% | |||
Republic of Serbia: | |||
1.00%, 9/23/28(9) | EUR | 14,100 | $ 12,022,637 |
1.50%, 6/26/29(9) | EUR | 15,362 | 13,050,107 |
1.65%, 3/3/33(9) | EUR | 533 | 387,399 |
Serbia Treasury Bond: | |||
4.50%, 8/20/32 | RSD | 5,345,300 | 43,274,558 |
5.875%, 2/8/28 | RSD | 3,900,890 | 37,172,338 |
$ 105,907,039 | |||
Sri Lanka — 1.9% | |||
Sri Lanka Government International Bond: | |||
5.75%, 4/18/23(9)(13) | USD | 13,676 | $ 4,638,340 |
6.20%, 5/11/27(9)(13) | USD | 11,845 | 4,002,574 |
6.35%, 6/28/24(9)(13) | USD | 5,875 | 1,997,347 |
6.75%, 4/18/28(9)(13) | USD | 22,151 | 7,488,645 |
6.825%, 7/18/26(9)(13) | USD | 24,495 | 8,777,169 |
6.85%, 3/14/24(9)(13) | USD | 8,685 | 2,954,369 |
6.85%, 11/3/25(9)(13) | USD | 14,505 | 5,190,169 |
7.55%, 3/28/30(9)(13) | USD | 11,303 | 3,819,620 |
Security | Principal Amount (000's omitted) | Value | |
Sri Lanka (continued) | |||
Sri Lanka Government International Bond: (continued) | |||
7.85%, 3/14/29(9)(13) | USD | 13,220 | $ 4,468,572 |
$ 43,336,805 | |||
Suriname — 2.6% | |||
Republic of Suriname: | |||
9.25%, 10/26/26(3)(13) | USD | 200 | $ 143,600 |
9.25%, 10/26/26(9)(13) | USD | 80,493 | 57,793,974 |
12.875%, 12/30/23(9)(13) | USD | 773 | 573,685 |
$ 58,511,259 | |||
Ukraine — 2.4% | |||
Ukraine Government Bond: | |||
9.79%, 5/26/27 | UAH | 1,287,962 | $ 16,933,365 |
10.95%, 11/1/23 | UAH | 57,722 | 1,203,500 |
11.67%, 11/22/23 | UAH | 108,255 | 2,228,357 |
12.52%, 5/13/26 | UAH | 138,052 | 2,016,696 |
15.84%, 2/26/25 | UAH | 1,026,447 | 18,947,694 |
16.00%, 5/24/23 | UAH | 320,404 | 7,956,912 |
Ukraine Government International Bond, 0.00%, GDP-Linked, 8/1/41(6)(9)(23) | USD | 18,650 | 4,851,741 |
$ 54,138,265 | |||
Uruguay — 1.3% | |||
Uruguay Government Bond, 3.875%, 7/2/40(22) | UYU | 880,492 | $ 24,139,554 |
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24 | UYU | 210,400 | 4,796,101 |
$ 28,935,655 | |||
Uzbekistan — 0.0%(7) | |||
Republic of Uzbekistan: | |||
14.00%, 7/19/24(9) | UZS | 4,180,000 | $ 360,952 |
14.50%, 11/25/23(9) | UZS | 6,120,000 | 538,496 |
$ 899,448 | |||
Zambia — 1.4% | |||
Zambia Government Bond, 11.00%, 1/25/26 | ZMW | 220,720 | $ 9,833,352 |
Zambia Government International Bond: | |||
5.375%, 9/20/22(9)(13) | USD | 22,144 | 9,711,672 |
8.50%, 4/14/24(9)(13) | USD | 16,679 | 7,945,875 |
8.97%, 7/30/27(9)(13) | USD | 7,185 | 3,366,891 |
$ 30,857,790 | |||
Total Sovereign Government Bonds (identified cost $1,285,335,177) | $1,151,408,540 |
Sovereign Loans — 5.1% |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Ivory Coast — 0.3% | |||
Republic of Ivory Coast, Term Loan, 8.555%, (6 mo. EURIBOR + 5.75%), 1/6/28(4) | EUR | 5,655 | $ 6,586,864 |
$ 6,586,864 | |||
Kenya — 0.5% | |||
Government of Kenya: | |||
Term Loan, 11.176%, (3 mo. USD LIBOR + 6.45%), 6/29/25(4) | USD | 10,343 | $ 9,682,990 |
Term Loan, 12.173%, (6 mo. USD LIBOR + 6.70%), 10/24/24(4) | USD | 1,491 | 1,388,588 |
$ 11,071,578 | |||
Tanzania — 4.3% | |||
Government of the United Republic of Tanzania: | |||
Term Loan, 10.372%, (6 mo. USD LIBOR + 5.20%), 5/23/23(4) | USD | 6,907 | $ 6,990,483 |
Term Loan, 11.434%, (6 mo. USD LIBOR + 6.30%), 4/28/31(4) | USD | 92,880 | 88,066,680 |
$ 95,057,163 | |||
Total Sovereign Loans (identified cost $118,226,872) | $ 112,715,605 |
U.S. Government Guaranteed Small Business Administration Loans (24)(25)— 0.7% |
Security | Principal Amount (000's omitted) | Value | |
1.88%, 12/28/42 | $ | 1,288 | $ 91,588 |
2.24%, 11/15/32 to 4/10/43(26) | 21,935 | 1,730,140 | |
2.38%, 11/30/42 to 3/1/43 | 5,675 | 490,486 | |
2.63%, 10/27/42 to 3/20/43 | 5,047 | 449,014 | |
2.80%, 4/12/27 to 3/10/43(26) | 48,131 | 4,233,788 | |
2.88%, 11/7/42 to 2/13/43 | 4,590 | 497,776 | |
3.03%, 2/2/27 to 12/17/43(26) | 56,190 | 5,302,750 | |
3.13%, 10/12/42 to 1/2/43 | 3,018 | 349,048 | |
3.63%, 10/27/42 to 3/28/43 | 15,053 | 2,054,506 | |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $25,172,322) | $ 15,199,096 |
Warrants — 0.0%(7) |
Security | Shares | Value | |
IRSA Inversiones y Representaciones S.A., Exp. 3/5/26(6) | 383,780 | $ 119,202 | |
Total Warrants (identified cost $0) | $ 119,202 |
Miscellaneous — 0.0% |
Security | Shares | Value | |
Financial Intermediaries — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(6)(8) | 5,728,000 | $ 0 | |
Alpha Holding S.A., Escrow Certificates(6)(8) | 11,758,000 | 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Short-Term Investments — 19.9% |
Affiliated Fund — 7.6% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(27) | 168,574,038 | $ 168,574,038 | |
Total Affiliated Fund (identified cost $168,574,038) | $ 168,574,038 |
Repurchase Agreements — 7.9% |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: | |||
Dated 3/29/23 with an interest rate of 4.30%, collateralized by USD 6,826,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $4,780,279(28) | USD | 4,778 | $ 4,778,200 |
Dated 4/11/23 with an interest rate of 4.25%, collateralized by USD 6,824,000 Republic of Colombia, 6.125%, due 1/18/41 and a market value, including accrued interest, of $5,544,820(28) | USD | 5,587 | 5,587,150 |
Dated 4/14/23 with an interest rate of 4.50%, collateralized by USD 8,500,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $5,952,589(28) | USD | 5,987 | 5,986,512 |
Dated 4/17/23 with an interest rate of 4.85%, collateralized by USD 31,426,000 Uruguay Government International Bond, 4.375%, due 1/23/31 and a market value, including accrued interest, of $32,136,589(28) | USD | 32,692 | 32,692,468 |
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: | |||
Dated 3/1/23 with an interest rate of 2.10%, collateralized by EUR 6,000,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $6,305,492(28) | EUR | 5,340 | $ 5,884,148 |
Dated 3/7/23 with an interest rate of 1.75%, collateralized by EUR 1,800,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $1,891,648(28) | EUR | 1,584 | 1,745,410 |
Dated 3/7/23 with an interest rate of 1.65%, collateralized by EUR 3,000,000 Republic of Poland, 1.50%, due 1/19/26 and a market value, including accrued interest, of $2,870,526(28) | EUR | 2,970 | 3,272,644 |
Dated 3/28/23 with an interest rate of 1.60%, collateralized by EUR 3,000,000 Republic of Poland, 2.75%, due 5/25/32 and a market value, including accrued interest, of $3,398,295(28) | EUR | 2,893 | 3,188,016 |
Dated 4/4/23 with an interest rate of 1.70%, collateralized by EUR 3,000,000 Republic of Poland, 1.375%, due 10/22/27 and a market value, including accrued interest, of $3,328,350(28) | EUR | 2,843 | 3,132,152 |
Dated 4/10/23 with an interest rate of 4.50%, collateralized by USD 8,400,000 Uruguay Government International Bond, 4.375%, due 1/23/31 and a market value, including accrued interest, of $8,589,937(28) | USD | 8,967 | 8,967,000 |
Dated 4/10/23 with an interest rate of 1.75%, collateralized by EUR 6,000,000 Republic of Poland, 1.125%, due 8/7/26 and a market value, including accrued interest, of $6,802,093(28) | EUR | 5,865 | 6,462,646 |
JPMorgan Chase Bank, N.A.: | |||
Dated 4/4/23 with an interest rate of 4.50%, collateralized by USD 6,813,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $4,771,175(28) | USD | 4,965 | 4,964,785 |
Dated 4/4/23 with an interest rate of 4.45%, collateralized by USD 6,824,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $4,778,878(28) | USD | 4,973 | 4,972,801 |
Nomura International PLC: | |||
Dated 3/23/23 with an interest rate of 2.90%, collateralized by EUR 3,044,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $2,903,154(28) | USD | 2,972 | 2,972,110 |
Dated 3/23/23 with an interest rate of 3.90%, collateralized by EUR 1,210,000 Republic of Poland, 1.125%, due 8/7/26 and a market value, including accrued interest, of $1,244,900(28) | USD | 1,283 | 1,283,280 |
Dated 3/23/23 with an interest rate of 4.15%, collateralized by USD 4,237,000 Republic of Angola, 8.00%, due 11/26/29 and a market value, including accrued interest, of $3,727,011(28) | USD | 3,799 | 3,799,283 |
Description | Principal Amount (000's omitted) | Value | |
Nomura International PLC: (continued) | |||
Dated 3/23/23 with an interest rate of 4.25%, collateralized by USD 1,412,000 Republic of Angola, 8.25%, due 5/9/28 and a market value, including accrued interest, of $1,285,431(28) | USD | 1,307 | $ 1,307,442 |
Dated 3/23/23 with an interest rate of 4.25%, collateralized by USD 3,500,000 Republic of Angola, 8.00%, due 11/26/29 and a market value, including accrued interest, of $3,078,721(28) | USD | 3,138 | 3,138,421 |
Dated 3/23/23 with an interest rate of 4.50%, collateralized by USD 3,500,000 Uruguay Government International Bond, 4.375%, due 1/23/31 and a market value, including accrued interest, of $3,579,140(28) | USD | 3,690 | 3,689,785 |
Dated 4/3/23 with an interest rate of 4.40%, collateralized by USD 6,824,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $4,778,878(28) | USD | 5,213 | 5,213,400 |
Dated 4/11/23 with an interest rate of 4.55%, collateralized by USD 6,825,000 Republic of Colombia, 5.00%, due 6/15/45 and a market value, including accrued interest, of $4,737,295(28) | USD | 5,148 | 5,148,439 |
Dated 4/11/23 with an interest rate of 4.55%, collateralized by USD 6,826,000 Republic of Colombia, 5.625%, due 2/26/44 and a market value, including accrued interest, of $5,068,345(28) | USD | 5,496 | 5,496,125 |
Dated 4/26/23 with an interest rate of 4.22%, collateralized by USD 10,506,000 Republic of Angola, 8.75%, due 4/14/32 and a market value, including accrued interest, of $8,777,678(28) | USD | 9,128 | 9,128,401 |
Dated 4/26/23 with an interest rate of 4.25%, collateralized by USD 24,450,000 Republic of Angola, 8.25%, due 5/9/28 and a market value, including accrued interest, of $22,258,343(28) | USD | 23,149 | 23,148,893 |
Dated 4/26/23 with an interest rate of 4.50%, collateralized by USD 7,100,000 Uruguay Government International Bond, 4.375%, due 1/23/31 and a market value, including accrued interest, of $7,260,542(28) | USD | 7,535 | 7,535,372 |
Dated 4/26/23 with an interest rate of 4.55%, collateralized by USD 10,924,000 Uruguay Government International Bond, 4.375%, due 1/23/31 and a market value, including accrued interest, of $11,171,008(28) | USD | 11,594 | 11,593,860 |
Total Repurchase Agreements (identified cost $174,527,222) | $ 175,088,743 |
Sovereign Government Securities — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Sri Lanka — 0.2% | |||
Sri Lanka Treasury Bill, 0.00%, 7/7/23 | LKR | 1,777,000 | $ 5,295,241 |
Total Sovereign Government Securities (identified cost $5,312,059) | $ 5,295,241 |
U.S. Treasury Obligations — 4.2% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 5/2/23 | $ | 4,719 | $ 4,718,056 |
0.00%, 5/16/23(29) | 83,130 | 82,984,089 | |
0.00%, 5/30/23(29) | 7,151 | 7,127,737 | |
Total U.S. Treasury Obligations (identified cost $94,817,550) | $ 94,829,882 | ||
Total Short-Term Investments (identified cost $443,230,869) | $ 443,787,904 |
Total Purchased Options and Swaptions — 0.3% (identified cost $4,780,739) | $ 5,305,285 | ||
Total Investments — 94.6% (identified cost $2,324,036,716) | $2,107,037,352 | ||
Total Written Options — (0.0)%(7) (premiums received $500,488) | $ (349,274) |
Securities Sold Short — (7.7)% | |||
Common Stocks — (0.5)% |
Security | Shares | Value | |
New Zealand — (0.5)% | |||
a2 Milk Co., Ltd. (The)(6) | (206,000) | $ (752,389) | |
Auckland International Airport, Ltd.(6) | (267,800) | (1,466,300) | |
Contact Energy, Ltd. | (174,600) | (846,817) | |
EBOS Group, Ltd. | (14,612) | (400,997) | |
Fisher & Paykel Healthcare Corp., Ltd., Class C | (105,900) | (1,816,492) | |
Fletcher Building, Ltd. | (174,300) | (486,004) | |
Infratil, Ltd. | (162,000) | (957,938) | |
Mainfreight, Ltd. | (19,000) | (843,846) | |
Meridian Energy, Ltd. | (269,000) | (911,019) |
Security | Shares | Value | |
New Zealand (continued) | |||
Ryman Healthcare, Ltd. | (107,291) | $ (352,458) | |
Spark New Zealand, Ltd. | (415,400) | (1,345,959) | |
Total Common Stocks (proceeds $10,644,697) | $ (10,180,219) | ||
Sovereign Government Bonds — (7.2)% |
Security | Principal Amount (000's omitted) | Value | |
Angola — (1.7)% | |||
Republic of Angola: | |||
8.00%, 11/26/29(9) | USD | (7,737) | $ (6,539,235) |
8.25%, 5/9/28(9) | USD | (25,862) | (22,737,741) |
8.75%, 4/14/32(9) | USD | (10,506) | (8,734,268) |
$ (38,011,244) | |||
Colombia — (1.7)% | |||
Republic of Colombia: | |||
5.00%, 6/15/45 | USD | (6,825) | $ (4,608,378) |
5.20%, 5/15/49 | USD | (33,398) | (22,587,962) |
5.625%, 2/26/44 | USD | (6,826) | (4,999,019) |
6.125%, 1/18/41 | USD | (6,824) | (5,425,234) |
$ (37,620,593) | |||
Poland — (1.0)% | |||
Republic of Poland: | |||
1.00%, 3/7/29(9) | EUR | (10,844) | $ (10,325,907) |
1.125%, 8/7/26(9) | EUR | (7,210) | (7,358,621) |
1.375%, 10/22/27(9) | EUR | (3,000) | (2,998,969) |
2.75%, 5/25/32(9) | EUR | (3,000) | (3,006,955) |
$ (23,690,452) | |||
Uruguay — (2.8)% | |||
Uruguay Government International Bond, 4.375%, 1/23/31 | USD | (61,350) | $ (62,006,555) |
$ (62,006,555) | |||
Total Sovereign Government Bonds (proceeds $160,306,058) | $ (161,328,844) | ||
Total Securities Sold Short (proceeds $170,950,755) | $ (171,509,063) |
Value | |||
Other Assets, Less Liabilities — 13.1% | $ 293,264,809 | ||
Net Assets — 100.0% | $2,228,443,824 |
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, 2023. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $166,836,238 or 7.5% of the Portfolio's net assets. |
(4) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(5) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at April 30, 2023. |
(6) | Non-income producing security. |
(7) | Amount is less than 0.05% or (0.05)%, as applicable. |
(8) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 10). |
(9) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $676,798,744 or 30.4% of the Portfolio's net assets. |
(10) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(11) | Variable rate security whose coupon rate is linked to the issuer’s mining activity revenue. The coupon rate shown represents the rate in effect at April 30, 2023. |
(12) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(13) | 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. |
(14) | 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. |
(15) | Quantity held represents principal in USD. |
(16) | 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. |
(17) | Restricted security (see Note 5). |
(18) | 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 London Interbank Offered Rate (“LIBOR”) or 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. |
(19) | Fixed-rate loan. |
(20) | Step coupon security. Interest rate represents the rate in effect at April 30, 2023. |
(21) | Principal amount is less than $500. |
(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) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
(24) | 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. |
(25) | Securities comprise a trust that is wholly-owned by the Portfolio and may only be sold on a pro-rata basis with all securities in the trust. |
(26) | The stated interest rate represents the weighted average fixed interest rate at April 30, 2023 of all interest only securities comprising the certificate. |
(27) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
(28) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(29) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Currency Options (OTC) — 0.2% | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call BRL vs. Put USD (Digital Option) | Goldman Sachs International | USD | 5,810,000 | BRL | 4.80 | 6/6/23 | $ 919,990 |
Call BRL vs. Put USD (Digital Option) | Citibank, N.A. | USD | 4,050,000 | BRL | 4.80 | 9/6/23 | 933,699 |
Call MXN vs. Put USD (Digital Option) | JPMorgan Chase Bank, N.A. | USD | 762,000 | MXN | 17.50 | 7/7/23 | 133,884 |
Call USD vs. Put CNH | Goldman Sachs International | USD | 56,300,000 | CNH | 7.00 | 1/18/24 | 536,426 |
Call USD vs. Put CNH | Barclays Bank PLC | USD | 32,100,000 | CNH | 7.00 | 1/18/24 | 305,849 |
Call USD vs. Put CNH | Deutsche Bank AG | USD | 43,500,000 | CNH | 7.00 | 2/16/24 | 438,437 |
Total | $3,268,285 |
Purchased Credit Default Swaptions (OTC) — 0.1% | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Call - Markit CDX North America High Yield 5-Year Index (CDX.NA.HY.40.V1) - expiring 9/20/28 buy protection at 96 basis point spread | JPMorgan Chase Bank, N.A. | USD | 140,000,000 | 9/20/23 | $ 2,037,000 |
Total | $2,037,000 |
Written Currency Options (OTC) — (0.0)%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 32,100,000 | CNH | 7.50 | 1/18/24 | $ (81,084) |
Call USD vs. Put CNH | Goldman Sachs International | USD | 56,300,000 | CNH | 7.50 | 1/18/24 | (142,214) |
Call USD vs. Put CNH | Deutsche Bank AG | USD | 43,500,000 | CNH | 7.50 | 2/16/24 | (125,976) |
Total | $(349,274) |
(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 | 8,499,009 | PHP | 468,979,580 | 5/24/23 | $ 28,728 |
USD | 15,868,368 | PHP | 878,000,000 | 5/24/23 | 10,734 |
USD | 15,865,501 | PHP | 878,000,000 | 5/24/23 | 7,867 |
BRL | 73,612,948 | USD | 13,986,455 | 6/9/23 | 663,930 |
COP | 244,000,000 | USD | 53,131 | 6/21/23 | (1,765) |
COP | 676,000,000 | USD | 147,199 | 6/21/23 | (4,891) |
COP | 874,000,000 | USD | 190,313 | 6/21/23 | (6,324) |
COP | 7,788,200,000 | USD | 1,699,352 | 6/21/23 | (59,826) |
COP | 21,629,186,187 | USD | 4,719,397 | 6/21/23 | (166,146) |
COP | 27,959,300,000 | USD | 6,100,601 | 6/21/23 | (214,772) |
EUR | 12,800,000 | USD | 13,765,004 | 6/21/23 | 378,777 |
EUR | 9,225,477 | USD | 9,920,995 | 6/21/23 | 273,000 |
EUR | 7,280,000 | USD | 7,828,846 | 6/21/23 | 215,429 |
EUR | 3,087,961 | USD | 3,320,765 | 6/21/23 | 91,379 |
EUR | 2,140,000 | USD | 2,301,337 | 6/21/23 | 63,327 |
EUR | 1,419,176 | USD | 1,557,120 | 6/21/23 | 11,045 |
EUR | 78,506 | USD | 83,812 | 6/21/23 | 2,936 |
KRW | 20,309,000,000 | USD | 15,756,111 | 6/21/23 | (532,560) |
KRW | 28,253,000,000 | USD | 21,753,324 | 6/21/23 | (574,980) |
KRW | 28,231,000,000 | USD | 21,749,615 | 6/21/23 | (587,762) |
KRW | 31,378,200,000 | USD | 24,282,022 | 6/21/23 | (761,040) |
USD | 193,333 | COP | 933,398,330 | 6/21/23 | (3,160) |
USD | 487,364 | COP | 2,364,000,000 | 6/21/23 | (10,291) |
USD | 1,307,848 | COP | 6,314,186,187 | 6/21/23 | (21,378) |
USD | 3,296,719 | COP | 15,991,000,000 | 6/21/23 | (69,613) |
USD | 4,415,980 | COP | 21,320,000,000 | 6/21/23 | (72,182) |
USD | 11,130,215 | COP | 53,988,000,000 | 6/21/23 | (235,025) |
USD | 1,127,987 | EUR | 1,028,060 | 6/21/23 | (8,001) |
USD | 374,779 | EUR | 348,505 | 6/21/23 | (10,313) |
USD | 858,965 | EUR | 798,746 | 6/21/23 | (23,637) |
USD | 1,244,452 | EUR | 1,157,209 | 6/21/23 | (34,244) |
USD | 21,508,449 | EUR | 19,603,034 | 6/21/23 | (152,569) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 4,377,078 | EUR | 4,100,000 | 6/21/23 | $ (153,352) |
USD | 6,921,817 | EUR | 6,436,558 | 6/21/23 | (190,471) |
USD | 31,337,353 | EUR | 28,561,204 | 6/21/23 | (222,290) |
USD | 8,546,042 | EUR | 7,946,916 | 6/21/23 | (235,165) |
USD | 9,920,995 | EUR | 9,225,477 | 6/21/23 | (273,000) |
USD | 14,169,150 | EUR | 13,175,813 | 6/21/23 | (389,898) |
USD | 15,609,971 | EUR | 14,515,624 | 6/21/23 | (429,546) |
USD | 16,124,376 | EUR | 14,993,967 | 6/21/23 | (443,701) |
USD | 20,068,963 | EUR | 18,662,016 | 6/21/23 | (552,246) |
USD | 21,422,516 | EUR | 19,920,677 | 6/21/23 | (589,492) |
USD | 22,793,704 | EUR | 21,182,441 | 6/21/23 | (612,531) |
USD | 24,733,992 | EUR | 23,000,000 | 6/21/23 | (680,615) |
USD | 36,842,517 | EUR | 34,259,650 | 6/21/23 | (1,013,811) |
USD | 37,733,890 | EUR | 35,088,532 | 6/21/23 | (1,038,339) |
USD | 63,362,653 | EUR | 58,920,575 | 6/21/23 | (1,743,576) |
USD | 65,358,845 | EUR | 60,776,823 | 6/21/23 | (1,798,506) |
USD | 81,030,813 | EUR | 75,350,097 | 6/21/23 | (2,229,758) |
USD | 223,529 | PEN | 855,000 | 6/21/23 | (6,445) |
USD | 742,108 | PEN | 2,836,000 | 6/21/23 | (20,706) |
USD | 4,355,908 | PEN | 16,498,000 | 6/21/23 | (81,646) |
USD | 3,452,264 | PEN | 13,146,911 | 6/21/23 | (83,930) |
USD | 9,397,625 | PEN | 35,617,000 | 6/21/23 | (182,466) |
USD | 7,630,695 | PEN | 29,076,000 | 6/21/23 | (190,029) |
USD | 9,719,749 | PEN | 37,110,000 | 6/21/23 | (261,923) |
USD | 10,526,054 | PEN | 40,199,000 | 6/21/23 | (286,482) |
IDR | 250,389,000,000 | USD | 16,211,654 | 6/23/23 | 844,796 |
USD | 16,236,148 | IDR | 250,389,000,000 | 6/23/23 | (820,303) |
IDR | 102,184,000,000 | USD | 6,540,375 | 7/11/23 | 418,496 |
IDR | 80,072,800,000 | USD | 5,105,219 | 7/11/23 | 347,849 |
IDR | 64,058,000,000 | USD | 4,086,661 | 7/11/23 | 275,777 |
IDR | 64,058,200,000 | USD | 4,091,186 | 7/11/23 | 271,265 |
USD | 4,681,869 | IDR | 71,325,000,000 | 7/11/23 | (175,461) |
USD | 5,718,775 | IDR | 87,177,000,000 | 7/11/23 | (218,099) |
USD | 9,962,020 | IDR | 151,871,000,000 | 7/11/23 | (380,603) |
IDR | 355,000,000,000 | USD | 23,494,375 | 7/25/23 | 676,595 |
IDR | 27,346,349,516 | USD | 1,811,376 | 7/25/23 | 50,561 |
USD | 12,327,529 | IDR | 189,202,424,764 | 7/25/23 | (554,741) |
USD | 25,136,777 | PHP | 1,419,700,000 | 7/26/23 | (467,795) |
USD | 29,436,836 | PHP | 1,660,529,000 | 7/26/23 | (511,134) |
USD | 29,154,349 | PHP | 1,646,900,000 | 7/26/23 | (547,820) |
BRL | 47,038,097 | USD | 8,770,397 | 9/11/23 | 428,601 |
$ (15,875,267) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
ARS | 1,497,000,000 | USD | 6,725,067 | BNP Paribas | 5/3/23 | $ — | $ (1,420) |
ARS | 1,497,000,000 | USD | 6,725,131 | Goldman Sachs International | 5/3/23 | — | (1,483) |
USD | 6,725,131 | ARS | 1,497,000,000 | BNP Paribas | 5/3/23 | 1,483 | — |
USD | 6,675,585 | ARS | 1,497,000,000 | Goldman Sachs International | 5/3/23 | — | (48,062) |
EUR | 8,490,000 | USD | 9,377,972 | HSBC Bank USA, N.A. | 5/5/23 | — | (21,662) |
EUR | 2,977,177 | USD | 3,252,240 | Standard Chartered Bank | 5/5/23 | 28,726 | — |
USD | 4,506,729 | EUR | 4,080,000 | HSBC Bank USA, N.A. | 5/5/23 | 10,410 | — |
USD | 2,927,165 | EUR | 2,650,000 | HSBC Bank USA, N.A. | 5/5/23 | 6,761 | — |
USD | 2,054,538 | EUR | 1,860,000 | HSBC Bank USA, N.A. | 5/5/23 | 4,746 | — |
USD | 45,314,459 | CNH | 307,515,701 | Standard Chartered Bank | 5/8/23 | 910,863 | — |
USD | 39,589,153 | CNH | 268,690,000 | Standard Chartered Bank | 5/8/23 | 791,778 | — |
USD | 35,107,142 | CNH | 241,000,000 | Standard Chartered Bank | 5/8/23 | 308,052 | — |
MYR | 38,551,000 | USD | 8,716,030 | Goldman Sachs International | 5/10/23 | — | (43,334) |
MYR | 44,300,000 | USD | 10,016,959 | Goldman Sachs International | 5/10/23 | — | (50,929) |
MYR | 38,009,000 | USD | 8,634,288 | Barclays Bank PLC | 5/15/23 | — | (81,173) |
MYR | 32,300,000 | USD | 7,514,249 | Goldman Sachs International | 5/15/23 | — | (245,822) |
MYR | 60,000,000 | USD | 13,968,106 | Goldman Sachs International | 5/15/23 | — | (466,385) |
USD | 17,488,584 | MYR | 76,600,000 | Barclays Bank PLC | 5/15/23 | 251,387 | — |
USD | 426,802 | ZMW | 8,386,651 | Standard Chartered Bank | 5/17/23 | — | (44,677) |
ILS | 79,898,572 | USD | 21,863,664 | Barclays Bank PLC | 5/24/23 | 164,602 | — |
ILS | 77,999,455 | USD | 21,339,604 | UBS AG | 5/24/23 | 165,070 | — |
KES | 413,384,553 | USD | 3,155,633 | Standard Chartered Bank | 5/25/23 | — | (181,429) |
USD | 2,890,801 | KES | 413,384,553 | Standard Chartered Bank | 5/25/23 | — | (83,402) |
USD | 6,231,009 | ARS | 1,497,000,000 | BNP Paribas | 5/31/23 | 26,156 | — |
UZS | 52,125,554,180 | USD | 4,436,217 | ICBC Standard Bank plc | 6/2/23 | 84,012 | — |
USD | 13,256,141 | TRY | 264,460,808 | Standard Chartered Bank | 6/8/23 | 908,009 | — |
USD | 2,511,470 | TRY | 50,000,000 | Standard Chartered Bank | 6/8/23 | 176,884 | — |
USD | 13,936,567 | BRL | 73,612,948 | Goldman Sachs International | 6/9/23 | — | (713,817) |
KES | 324,058,799 | USD | 2,458,736 | Standard Chartered Bank | 6/12/23 | — | (159,544) |
USD | 2,227,208 | KES | 324,058,799 | Standard Chartered Bank | 6/12/23 | — | (71,983) |
AED | 35,000,000 | USD | 9,529,903 | BNP Paribas | 6/21/23 | — | (1,036) |
AUD | 45,330,670 | USD | 29,925,178 | Goldman Sachs International | 6/21/23 | 134,190 | — |
CAD | 19,779,000 | USD | 14,549,101 | Citibank, N.A. | 6/21/23 | 64,078 | — |
CAD | 19,779,000 | USD | 14,549,159 | Goldman Sachs International | 6/21/23 | 64,021 | — |
CAD | 17,542,000 | USD | 12,902,056 | HSBC Bank USA, N.A. | 6/21/23 | 58,377 | — |
CZK | 228,237,895 | EUR | 9,589,022 | Citibank, N.A. | 6/21/23 | 68,485 | — |
CZK | 118,516,053 | EUR | 4,965,421 | Standard Chartered Bank | 6/21/23 | 50,840 | — |
CZK | 118,516,052 | EUR | 4,965,479 | UBS AG | 6/21/23 | 50,776 | — |
EUR | 1,465,289 | HUF | 566,300,000 | Goldman Sachs International | 6/21/23 | — | (28,616) |
EUR | 16,765,599 | NOK | 186,550,000 | Bank of America, N.A. | 6/21/23 | 978,692 | — |
EUR | 5,022,956 | PLN | 23,835,160 | Citibank, N.A. | 6/21/23 | — | (160,924) |
EUR | 5,447,394 | PLN | 25,833,534 | Citibank, N.A. | 6/21/23 | — | (170,763) |
EUR | 8,829,591 | PLN | 41,898,581 | Citibank, N.A. | 6/21/23 | — | (282,881) |
EUR | 9,575,688 | PLN | 45,411,419 | Citibank, N.A. | 6/21/23 | — | (300,176) |
EUR | 1,020,699 | RON | 5,087,286 | UBS AG | 6/21/23 | — | (8,444) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 18,244,767 | SEK | 203,600,000 | UBS AG | 6/21/23 | $ 256,165 | $ — |
HUF | 450,000,000 | EUR | 1,112,852 | UBS AG | 6/21/23 | 79,661 | — |
HUF | 1,917,373,082 | EUR | 5,003,766 | UBS AG | 6/21/23 | 49,811 | — |
HUF | 1,943,254,169 | EUR | 5,077,934 | UBS AG | 6/21/23 | 43,162 | — |
ISK | 1,348,260,811 | EUR | 8,905,878 | JPMorgan Chase Bank, N.A. | 6/21/23 | 51,049 | — |
ISK | 605,807,989 | EUR | 4,007,992 | JPMorgan Chase Bank, N.A. | 6/21/23 | 15,916 | — |
ISK | 363,931,200 | EUR | 2,407,510 | JPMorgan Chase Bank, N.A. | 6/21/23 | 9,826 | — |
JPY | 759,279,526 | USD | 5,752,519 | Bank of America, N.A. | 6/21/23 | — | (137,308) |
JPY | 6,074,457,667 | USD | 45,488,904 | Bank of America, N.A. | 6/21/23 | — | (565,579) |
JPY | 1,782,980,000 | USD | 13,630,599 | Citibank, N.A. | 6/21/23 | — | (444,667) |
MYR | 23,240,000 | USD | 5,152,708 | Barclays Bank PLC | 6/21/23 | 89,200 | — |
MYR | 3,491,500 | USD | 775,028 | Barclays Bank PLC | 6/21/23 | 12,499 | — |
MYR | 37,108,500 | USD | 8,249,633 | Credit Agricole Corporate and Investment Bank | 6/21/23 | 120,391 | — |
NOK | 186,550,000 | EUR | 16,415,932 | Goldman Sachs International | 6/21/23 | — | (592,317) |
NZD | 15,213,708 | USD | 9,445,963 | Bank of America, N.A. | 6/21/23 | — | (39,660) |
NZD | 46,800,000 | USD | 28,604,305 | Standard Chartered Bank | 6/21/23 | 331,111 | — |
NZD | 6,250,000 | USD | 3,820,019 | Standard Chartered Bank | 6/21/23 | 44,219 | — |
NZD | 4,250,000 | USD | 2,597,613 | Standard Chartered Bank | 6/21/23 | 30,069 | — |
PLN | 9,740,000 | EUR | 2,042,955 | HSBC Bank USA, N.A. | 6/21/23 | 76,396 | — |
SEK | 203,600,000 | EUR | 17,796,089 | Goldman Sachs International | 6/21/23 | 239,617 | — |
THB | 944,010,000 | USD | 27,619,004 | Standard Chartered Bank | 6/21/23 | 159,386 | — |
THB | 692,924 | USD | 20,056 | Standard Chartered Bank | 6/21/23 | 334 | — |
THB | 520,000 | USD | 14,970 | Standard Chartered Bank | 6/21/23 | 332 | — |
USD | 9,511,645 | AED | 35,000,000 | BNP Paribas | 6/21/23 | — | (17,223) |
USD | 15,282,970 | BHD | 5,771,878 | Standard Chartered Bank | 6/21/23 | — | (11,114) |
USD | 20,259,269 | BHD | 7,651,000 | Standard Chartered Bank | 6/21/23 | — | (14,035) |
USD | 13,351,942 | JPY | 1,782,980,000 | Bank of America, N.A. | 6/21/23 | 166,009 | — |
USD | 5,685,906 | JPY | 759,279,526 | Bank of America, N.A. | 6/21/23 | 70,695 | — |
USD | 101,978 | MXN | 1,976,000 | Bank of America, N.A. | 6/21/23 | — | (6,824) |
USD | 1,870,684 | MXN | 36,130,000 | Goldman Sachs International | 6/21/23 | — | (118,703) |
USD | 2,207,288 | MXN | 42,650,000 | Goldman Sachs International | 6/21/23 | — | (141,103) |
USD | 2,832,570 | MXN | 54,773,000 | Goldman Sachs International | 6/21/23 | — | (183,337) |
USD | 2,022,803 | MXN | 39,093,000 | Standard Chartered Bank | 6/21/23 | — | (129,733) |
USD | 7,186,331 | MXN | 132,927,000 | Standard Chartered Bank | 6/21/23 | — | (132,885) |
USD | 2,305,118 | MXN | 44,473,000 | Standard Chartered Bank | 6/21/23 | — | (143,651) |
USD | 2,506,876 | MXN | 48,335,000 | Standard Chartered Bank | 6/21/23 | — | (154,542) |
USD | 7,504,661 | MXN | 138,560,800 | UBS AG | 6/21/23 | — | (124,763) |
USD | 26,858,560 | MXN | 493,103,000 | UBS AG | 6/21/23 | — | (292,638) |
USD | 53,147,756 | NZD | 85,600,000 | Bank of America, N.A. | 6/21/23 | 223,149 | — |
USD | 17,881,488 | NZD | 28,800,000 | Bank of America, N.A. | 6/21/23 | 75,078 | — |
USD | 31,733,567 | NZD | 51,000,000 | HSBC Bank USA, N.A. | 6/21/23 | 201,383 | — |
USD | 11,200,082 | NZD | 18,000,000 | HSBC Bank USA, N.A. | 6/21/23 | 71,076 | — |
USD | 21,387,913 | NZD | 34,993,136 | Standard Chartered Bank | 6/21/23 | — | (247,577) |
USD | 12,669,399 | SAR | 47,604,000 | Standard Chartered Bank | 6/21/23 | — | (16,107) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 26,358,743 | SAR | 99,041,000 | Standard Chartered Bank | 6/21/23 | $ — | $ (33,687) |
USD | 239,564 | THB | 8,277,000 | Standard Chartered Bank | 6/21/23 | — | (3,995) |
USD | 27,322,792 | THB | 944,010,000 | Standard Chartered Bank | 6/21/23 | — | (455,598) |
USD | 4,149,463 | UYU | 162,244,000 | Citibank, N.A. | 6/21/23 | 3,938 | — |
USD | 6,647,874 | ZAR | 119,531,380 | Goldman Sachs International | 6/21/23 | 142,565 | — |
USD | 6,668,517 | ZAR | 120,009,506 | Goldman Sachs International | 6/21/23 | 137,187 | — |
USD | 23,292,633 | ZAR | 425,519,650 | Goldman Sachs International | 6/21/23 | 134,390 | — |
USD | 4,749,799 | ZAR | 85,379,557 | Goldman Sachs International | 6/21/23 | 103,150 | — |
USD | 4,745,358 | ZAR | 85,379,557 | Goldman Sachs International | 6/21/23 | 98,708 | — |
USD | 11,580,418 | ZAR | 212,759,826 | Goldman Sachs International | 6/21/23 | 1,297 | — |
USD | 23,213,569 | ZAR | 434,177,974 | Goldman Sachs International | 6/21/23 | — | (415,890) |
USD | 1,840,744 | ZAR | 33,000,000 | HSBC Bank USA, N.A. | 6/21/23 | 44,770 | — |
USD | 11,579,238 | ZAR | 212,759,824 | UBS AG | 6/21/23 | 116 | — |
USD | 22,317,165 | ZAR | 416,382,726 | UBS AG | 6/21/23 | — | (343,815) |
ZAR | 46,457,787 | USD | 2,509,197 | Goldman Sachs International | 6/21/23 | 19,195 | — |
ZAR | 11,631,841 | USD | 626,571 | Goldman Sachs International | 6/21/23 | 6,474 | — |
ZAR | 11,631,840 | USD | 627,009 | Goldman Sachs International | 6/21/23 | 6,035 | — |
ZAR | 11,631,841 | USD | 627,426 | Goldman Sachs International | 6/21/23 | 5,619 | — |
ZAR | 11,562,265 | USD | 623,993 | Goldman Sachs International | 6/21/23 | 5,265 | — |
ZAR | 55,745,000 | USD | 3,036,298 | HSBC Bank USA, N.A. | 6/21/23 | — | (2,463) |
ZAR | 55,745,000 | USD | 3,036,298 | HSBC Bank USA, N.A. | 6/21/23 | — | (2,463) |
USD | 5,230,785 | UYU | 204,576,000 | Citibank, N.A. | 6/22/23 | 4,439 | — |
USD | 9,036,785 | SAR | 34,000,000 | Standard Chartered Bank | 7/13/23 | — | (22,393) |
UZS | 88,377,320,844 | USD | 7,515,078 | ICBC Standard Bank plc | 7/13/23 | 64,972 | — |
AUD | 41,470,000 | USD | 27,931,986 | Bank of America, N.A. | 7/20/23 | — | (399,719) |
AUD | 43,175,000 | USD | 29,071,213 | BNP Paribas | 7/20/23 | — | (406,983) |
EGP | 222,610,000 | USD | 8,241,762 | Citibank, N.A. | 7/20/23 | — | (2,123,526) |
USD | 9,749,607 | EGP | 214,881,345 | Goldman Sachs International | 7/20/23 | 3,843,786 | — |
USD | 6,422,037 | EGP | 143,147,195 | Goldman Sachs International | 7/20/23 | 2,487,764 | — |
USD | 6,422,037 | EGP | 144,688,484 | Goldman Sachs International | 7/27/23 | 2,469,987 | — |
UZS | 88,377,320,844 | USD | 7,459,576 | ICBC Standard Bank plc | 8/1/23 | 89,410 | — |
USD | 12,322,809 | UGX | 47,073,131,943 | Standard Chartered Bank | 8/3/23 | — | (77,845) |
KES | 263,640,000 | USD | 1,958,708 | Standard Chartered Bank | 8/4/23 | — | (150,185) |
USD | 1,734,474 | KES | 263,640,000 | Standard Chartered Bank | 8/4/23 | — | (74,050) |
UZS | 44,027,233,638 | USD | 3,718,504 | ICBC Standard Bank plc | 8/15/23 | 28,807 | — |
USD | 8,986,097 | UGX | 34,012,379,000 | Goldman Sachs International | 8/22/23 | 54,460 | — |
OMR | 14,300,000 | USD | 37,090,168 | Standard Chartered Bank | 8/23/23 | 32,723 | — |
USD | 36,694,600 | OMR | 14,300,000 | Standard Chartered Bank | 8/23/23 | — | (428,291) |
USD | 9,533,630 | UGX | 36,733,368,428 | Standard Chartered Bank | 9/6/23 | — | (88,484) |
USD | 8,775,764 | BRL | 47,038,097 | Citibank, N.A. | 9/11/23 | — | (423,234) |
USD | 3,161,573 | UGX | 12,267,000,000 | Standard Chartered Bank | 9/18/23 | — | (45,306) |
ZAR | 46,457,787 | USD | 2,530,381 | UBS AG | 9/18/23 | — | (23,985) |
USD | 7,520,129 | KES | 1,171,795,907 | Standard Chartered Bank | 9/21/23 | — | (374,488) |
USD | 6,890,690 | EGP | 254,611,000 | Goldman Sachs International | 9/25/23 | 298,745 | — |
USD | 3,663,475 | EGP | 133,900,000 | HSBC Bank USA, N.A. | 9/25/23 | 196,769 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 13,782,014 | EGP | 504,594,000 | Goldman Sachs International | 9/28/23 | $ 752,047 | $ ��� — |
USD | 6,891,023 | EGP | 252,556,000 | Goldman Sachs International | 9/28/23 | 369,351 | — |
UZS | 46,590,925,423 | USD | 3,893,934 | ICBC Standard Bank plc | 10/13/23 | 12,941 | — |
OMR | 10,000,000 | USD | 25,940,545 | Standard Chartered Bank | 11/6/23 | 5,352 | — |
OMR | 5,300,000 | USD | 13,755,872 | Standard Chartered Bank | 11/6/23 | — | (4,547) |
USD | 48,448,681 | OMR | 18,858,800 | Standard Chartered Bank | 11/6/23 | — | (482,167) |
USD | 3,418,241 | KES | 553,759,398 | Standard Chartered Bank | 12/21/23 | — | (207,471) |
HUF | 3,860,572,749 | EUR | 9,045,391 | Barclays Bank PLC | 1/30/24 | 600,254 | — |
USD | 12,218,559 | UGX | 48,141,120,629 | Deutsche Bank AG | 2/6/24 | — | (116,919) |
USD | 28,368,794 | OMR | 11,000,000 | Standard Chartered Bank | 2/22/24 | — | (136,820) |
USD | 26,205,980 | SAR | 98,600,000 | Standard Chartered Bank | 3/14/24 | — | (39,943) |
USD | 12,408,845 | BHD | 4,730,872 | Standard Chartered Bank | 3/18/24 | — | (84,643) |
USD | 17,098,499 | BHD | 6,518,000 | Standard Chartered Bank | 3/18/24 | — | (114,512) |
USD | 3,671,357 | EGP | 146,120,000 | HSBC Bank USA, N.A. | 3/25/24 | 289,497 | — |
USD | 26,650,006 | OMR | 10,530,750 | Standard Chartered Bank | 8/29/24 | — | (604,946) |
$20,034,945 | $(14,370,096) |
Non-Deliverable Bond Forward Contracts* | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
5/5/23 | COP | 20,311,040 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | $ 4,323,338 | $ 260,715 |
5/10/23 | COP | 9,217,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,961,899 | (18,540) |
5/15/23 | COP | 87,159,300 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 18,552,427 | (166,341) |
5/16/23 | COP | 119,481,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 25,432,333 | (230,315) |
5/16/23 | COP | 92,277,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 19,359,235 | 282,527 |
5/22/23 | COP | 88,592,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 18,857,386 | (102,377) |
5/24/23 | COP | 79,082,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 16,833,142 | (107,850) |
6/12/23 | COP | 13,827,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 2,943,167 | (32,057) |
6/19/23 | COP | 80,203,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 17,071,860 | (210,155) |
6/23/23 | COP | 81,564,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 17,361,431 | (198,892) |
6/23/23 | COP | 66,549,200 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 14,165,432 | — |
6/26/23 | COP | 66,549,200 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 14,165,432 | (196,050) |
6/29/23 | COP | 43,897,680 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 9,343,908 | (271,609) |
Non-Deliverable Bond Forward Contracts* (continued) | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
6/30/23 | COP | 40,781,000 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | $ 8,680,502 | $ (81,805) |
$(1,072,749) |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
Hang Seng Index | 46 | Long | 5/30/23 | $ 5,823,715 | $ (37,298) |
Nikkei 225 Index | 64 | Long | 6/8/23 | 9,307,201 | 193,360 |
Euro Stoxx 50 Index | (285) | Short | 6/16/23 | (13,584,212) | (870,243) |
SGX CNX Nifty Index | (733) | Short | 5/25/23 | (26,684,682) | (548,233) |
Interest Rate Futures | |||||
U.S. Ultra-Long Treasury Bond | 143 | Long | 6/21/23 | 20,221,094 | 8,129 |
Euro-Bobl | (662) | Short | 6/8/23 | (86,054,172) | (2,182,178) |
Euro-Bund | (384) | Short | 6/8/23 | (57,359,472) | (1,174,114) |
Euro-Buxl | (19) | Short | 6/8/23 | (2,920,587) | (134,539) |
Japan 10-Year Bond | (115) | Short | 6/13/23 | (125,428,456) | (2,684,560) |
U.S. 2-Year Treasury Note | (29) | Short | 6/30/23 | (5,978,758) | (58,713) |
U.S. 5-Year Treasury Note | (158) | Short | 6/30/23 | (17,339,266) | 123,386 |
U.S. 10-Year Treasury Note | (458) | Short | 6/21/23 | (52,763,031) | 290,865 |
$ (7,074,138) |
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 | $ 1,608,591 |
EUR | 10,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 1,595,362 |
EUR | 10,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 1,595,362 |
EUR | 11,410 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 1,778,028 |
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 | 10,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | $ (2,038,004) |
EUR | 10,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (2,042,192) |
EUR | 11,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (2,056,702) |
EUR | 11,410 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | (2,364,264) |
EUR | 4,350 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.10% (pays upon termination) | 3/12/50 | (2,292,697) |
EUR | 7,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | (133,988) |
USD | 75,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.48% (pays upon termination) | 3/16/28 | 137,888 |
USD | 50,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.49% (pays upon termination) | 3/16/28 | 71,957 |
USD | 64,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.48% (pays upon termination) | 3/20/28 | 100,979 |
USD | 9,489 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.44% (pays upon termination) | 1/13/33 | 12,610 |
USD | 4,900 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.60% (pays upon termination) | 4/3/33 | (52,354) |
USD | 10,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.61% (pays upon termination) | 4/3/33 | (117,011) |
USD | 51,550 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (858,497) |
USD | 18,160 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (316,310) |
USD | 34,300 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 23,450 |
USD | 17,300 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 3,938 |
USD | 18,140 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 182,298 |
USD | 5,824 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.42% (pays upon termination) | 6/8/48 | 329,945 |
USD | 18,700 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.43% (pays upon termination) | 7/18/52 | 18,641 |
USD | 12,100 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.41% (pays upon termination) | 1/13/53 | (109,331) |
USD | 12,100 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.41% (pays upon termination) | 1/13/53 | (110,865) |
USD | 10,710 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | (58,277) |
$ (5,091,443) |
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) | |
CLP | 45,674,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.84% (pays semi-annually) | 6/22/25 | $ 444,756 | $ — | $ 444,756 |
CLP | 3,456,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.57% (pays semi-annually) | 12/21/27 | 130,780 | — | 130,780 |
CLP | 6,182,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | 230,547 | — | 230,547 |
CLP | 6,138,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.62% (pays semi-annually) | 12/21/27 | 215,450 | — | 215,450 |
CLP | 6,138,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.64% (pays semi-annually) | 12/21/27 | 208,722 | — | 208,722 |
CLP | 6,138,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.67% (pays semi-annually) | 12/21/27 | 198,631 | — | 198,631 |
CLP | 5,428,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.68% (pays semi-annually) | 12/21/27 | 172,679 | — | 172,679 |
CLP | 3,325,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.69% (pays semi-annually) | 12/21/27 | 104,866 | — | 104,866 |
CLP | 4,624,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.72% (pays semi-annually) | 12/21/27 | 136,965 | — | 136,965 |
CLP | 5,288,800 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.74% (pays semi-annually) | 12/21/27 | 152,310 | — | 152,310 |
CLP | 11,010,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.00% (pays semi-annually) | 6/22/33 | 77,094 | — | 77,094 |
COP | 86,746,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.84% (pays quarterly) | 5/5/25 | 2,568,572 | — | 2,568,572 |
COP | 40,662,300 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.19% (pays quarterly) | 6/4/25 | (1,286,848) | — | (1,286,848) |
COP | 61,940,900 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.26% (pays quarterly) | 6/5/25 | (1,943,928) | — | (1,943,928) |
COP | 85,106,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.34% (pays quarterly) | 6/8/25 | (2,639,238) | — | (2,639,238) |
COP | 41,729,700 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.44% (pays quarterly) | 6/9/25 | (1,274,846) | — | (1,274,846) |
COP | 14,659,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 479,972 | — | 479,972 |
COP | 14,659,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.89% (pays quarterly) | 11/26/25 | 470,231 | — | 470,231 |
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 | 6,351,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.02% (pays quarterly) | 11/26/25 | $ 199,658 | $ — | $ 199,658 |
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.07% (pays quarterly) | 11/26/25 | 913,496 | — | 913,496 |
COP | 20,326,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.11% (pays quarterly) | 11/26/25 | 629,655 | — | 629,655 |
COP | 6,192,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.21% (pays quarterly) | 11/26/25 | 188,649 | — | 188,649 |
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.28% (pays quarterly) | 11/26/25 | 882,028 | — | 882,028 |
COP | 15,771,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 469,296 | — | 469,296 |
COP | 66,784,856 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.78% (pays quarterly) | 11/26/25 | 1,838,412 | — | 1,838,412 |
COP | 31,722,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.90% (pays quarterly) | 11/26/25 | 854,601 | — | 854,601 |
COP | 27,035,200 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (619,852) | — | (619,852) |
COP | 40,836,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.00% (pays quarterly) | 11/26/25 | 869,486 | — | 869,486 |
COP | 57,851,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.05% (pays quarterly) | 11/26/25 | 1,216,397 | — | 1,216,397 |
COP | 35,344,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.06% (pays quarterly) | 11/26/25 | 671,210 | — | 671,210 |
COP | 74,865,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.09% (pays quarterly) | 11/26/25 | 1,411,912 | — | 1,411,912 |
COP | 36,412,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.14% (pays quarterly) | 11/26/25 | 678,443 | — | 678,443 |
COP | 37,433,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.18% (pays quarterly) | 11/26/25 | 690,311 | — | 690,311 |
COP | 76,566,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.25% (pays quarterly) | 11/26/25 | 1,384,538 | — | 1,384,538 |
COP | 88,429,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 7.03% (pays quarterly) | 11/26/25 | 1,417,339 | — | 1,417,339 |
COP | 12,136,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.60% (pays quarterly) | 11/26/25 | 97,322 | — | 97,322 |
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 | 23,044,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.75% (pays quarterly) | 11/26/25 | $ 166,776 | $ — | $ 166,776 |
COP | 12,136,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.85% (pays quarterly) | 11/26/25 | 81,629 | — | 81,629 |
COP | 12,290,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.23% (pays quarterly) | 11/26/25 | 58,608 | — | 58,608 |
COP | 8,481,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.42% (pays quarterly) | 11/26/25 | 32,555 | — | 32,555 |
COP | 57,851,000 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.79% (pays quarterly) | 11/26/25 | (111,976) | — | (111,976) |
COP | 20,273,656 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.00% (pays quarterly) | 11/26/25 | 17,000 | — | 17,000 |
COP | 7,565,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.17% (pays quarterly) | 11/26/25 | (295) | (111) | (406) |
COP | 14,525,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.28% (pays quarterly) | 11/26/25 | (8,458) | — | (8,458) |
COP | 36,071,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.48% (pays quarterly) | 3/31/26 | 1,065,119 | — | 1,065,119 |
COP | 54,897,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.07% (pays quarterly) | 3/15/28 | (341,525) | — | (341,525) |
COP | 11,441,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 429,566 | — | 429,566 |
COP | 8,172,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 306,149 | — | 306,149 |
COP | 21,848,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.58% (pays quarterly) | 3/15/33 | (141,718) | — | (141,718) |
COP | 34,316,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.61% (pays quarterly) | 3/15/33 | (236,891) | — | (236,891) |
COP | 21,325,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.67% (pays quarterly) | 3/15/33 | (164,982) | — | (164,982) |
EUR | 6,472 | Pays | 6-month EURIBOR (pays semi-annually) | 3.06% (pays annually) | 10/11/26 | 82,952 | — | 82,952 |
EUR | 1,211 | Pays | 6-month EURIBOR (pays semi-annually) | 2.99% (pays annually) | 10/26/26 | 10,868 | — | 10,868 |
EUR | 3,000 | Pays | 6-month EURIBOR (pays semi-annually) | 3.12% (pays annually) | 10/19/27 | 54,383 | — | 54,383 |
EUR | 2,800 | Receives | 1-day Euro Short-Term Rate (pays annually) | 2.60% (pays annually) | 1/24/28 | 28,188 | (56) | 28,132 |
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) | |
EUR | 5,444 | Pays | 6-month EURIBOR (pays semi-annually) | 3.03% (pays annually) | 10/10/29 | $ 99,178 | $ — | $ 99,178 |
EUR | 1,800 | Pays | 6-month EURIBOR (pays semi-annually) | 3.17% (pays annually) | 10/17/29 | 49,990 | — | 49,990 |
EUR | 2,719 | Pays | 6-month EURIBOR (pays semi-annually) | 3.01% (pays annually) | 10/27/29 | 43,650 | — | 43,650 |
EUR | 4,515 | Receives | 1-day Euro Short-Term Rate (pays annually) | (0.03)% (pays annually) | 11/9/31 | 1,112,040 | — | 1,112,040 |
EUR | 600 | Pays | 6-month EURIBOR (pays semi-annually) | 3.26% (pays annually) | 10/17/32 | 25,257 | — | 25,257 |
EUR | 1,200 | Pays | 6-month EURIBOR (pays semi-annually) | 3.31% (pays annually) | 10/18/32 | 56,826 | — | 56,826 |
EUR | 1,200 | Pays | 6-month EURIBOR (pays semi-annually) | 3.20% (pays annually) | 10/19/32 | 43,908 | — | 43,908 |
EUR | 6,500 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.82% (pays annually) | 3/17/52 | 2,480,903 | (1,497) | 2,479,406 |
EUR | 8,950 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.86% (pays annually) | 3/18/52 | 3,352,245 | 643 | 3,352,888 |
EUR | 3,019 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.87% (pays annually) | 3/18/52 | 1,121,686 | (106) | 1,121,580 |
EUR | 1,770 | Receives | 1-day Euro Short-Term Rate (pays annually) | 1.29% (pays annually) | 4/20/52 | 490,454 | 33 | 490,487 |
HUF | 7,648,352 | Pays | 6-month HUF BUBOR (pays semi-annually) | 7.95% (pays annually) | 4/25/33 | 116,243 | — | 116,243 |
HUF | 3,776,964 | Pays | 6-month HUF BUBOR (pays semi-annually) | 7.90% (pays annually) | 4/27/33 | 28,139 | — | 28,139 |
JPY | 6,104,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.31% (pays annually) | 12/1/27 | (281,247) | — | (281,247) |
JPY | 559,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.32% (pays annually) | 12/1/27 | (18,971) | — | (18,971) |
JPY | 5,588,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.32% (pays annually) | 12/1/27 | (215,712) | — | (215,712) |
JPY | 537,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | (291,363) | — | (291,363) |
JPY | 478,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | (262,955) | — | (262,955) |
JPY | 510,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | (286,104) | — | (286,104) |
JPY | 1,218,600 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | (687,164) | — | (687,164) |
JPY | 1,128,100 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | (649,250) | — | (649,250) |
JPY | 1,123,900 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | (652,279) | — | (652,279) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
KRW | 35,000,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.97% (pays quarterly) | 9/21/25 | $ 401,600 | $ — | $ 401,600 |
KRW | 27,951,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 1/11/26 | 71,133 | — | 71,133 |
KRW | 30,873,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.43% (pays quarterly) | 1/11/26 | 97,010 | — | 97,010 |
KRW | 18,485,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.39% (pays quarterly) | 1/12/26 | 42,996 | — | 42,996 |
KRW | 26,932,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.39% (pays quarterly) | 1/12/26 | 63,716 | — | 63,716 |
KRW | 15,578,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.24% (pays quarterly) | 1/17/26 | (6,384) | — | (6,384) |
KRW | 33,784,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 3/15/26 | 95,070 | — | 95,070 |
KRW | 28,582,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.70% (pays quarterly) | 9/21/27 | 480,136 | — | 480,136 |
KRW | 22,980,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.73% (pays quarterly) | 9/21/27 | 407,992 | — | 407,992 |
KRW | 12,965,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.57% (pays quarterly) | 6/21/28 | 201,210 | — | 201,210 |
KRW | 12,965,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.60% (pays quarterly) | 6/21/28 | 217,029 | — | 217,029 |
KRW | 13,412,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.61% (pays quarterly) | 6/21/28 | 226,850 | — | 226,850 |
KRW | 20,704,100 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.65% (pays quarterly) | 7/19/31 | (1,690,783) | — | (1,690,783) |
MXN | 1,044,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 9.19% (pays monthly) | 2/18/28 | 1,455,355 | — | 1,455,355 |
MXN | 200,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 4/17/28 | 83,942 | — | 83,942 |
MXN | 608,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.73% (pays monthly) | 4/17/28 | 282,493 | — | 282,493 |
MXN | 269,900 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.56% (pays monthly) | 4/18/28 | 22,330 | — | 22,330 |
NZD | 92,630 | Pays | 3-month NZD Bank Bill (pays quarterly) | 5.17% (pays semi-annually) | 1/11/25 | 697,914 | — | 697,914 |
NZD | 95,900 | Pays | 3-month NZD Bank Bill (pays quarterly) | 5.19% (pays semi-annually) | 1/11/25 | 736,812 | — | 736,812 |
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) | |
NZD | 14,130 | Pays | 3-month NZD Bank Bill (pays quarterly) | 3.98% (pays semi-annually) | 7/25/27 | $ (52,306) | $ — | $ (52,306) |
NZD | 18,850 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.00% (pays semi-annually) | 7/25/27 | (61,671) | — | (61,671) |
NZD | 24,380 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.00% (pays semi-annually) | 7/25/27 | (79,764) | — | (79,764) |
NZD | 27,000 | Pays | 3-month NZD Bank Bill (pays quarterly) | 2.09% (pays semi-annually) | 9/23/31 | (2,531,158) | — | (2,531,158) |
NZD | 6,400 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.18% (pays semi-annually) | 6/28/32 | 40,440 | — | 40,440 |
NZD | 15,700 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.18% (pays semi-annually) | 6/28/32 | 98,532 | — | 98,532 |
NZD | 13,900 | Pays | 3-month NZD Bank Bill (pays quarterly) | 4.21% (pays semi-annually) | 6/28/32 | 94,636 | — | 94,636 |
PLN | 54,770 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/14/26 | 1,168,171 | — | 1,168,171 |
PLN | 163,380 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/15/26 | 3,489,044 | — | 3,489,044 |
PLN | 85,600 | Receives | 6-month PLN WIBOR (pays semi-annually) | 3.39% (pays annually) | 12/15/26 | 1,782,741 | — | 1,782,741 |
PLN | 48,710 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.56% (pays annually) | 12/21/27 | 50,176 | — | 50,176 |
PLN | 55,790 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.02% (pays annually) | 12/21/27 | (211,988) | — | (211,988) |
PLN | 28,570 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.53% (pays annually) | 12/21/32 | (32,359) | — | (32,359) |
PLN | 32,630 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.85% (pays annually) | 12/21/32 | (231,733) | — | (231,733) |
TWD | 960,300 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.17% (pays quarterly) | 12/21/27 | 242,323 | — | 242,323 |
TWD | 2,889,000 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.19% (pays quarterly) | 12/21/27 | 641,536 | — | 641,536 |
USD | 4,050 | Receives | SOFR (pays annually) | 1.21% (pays annually) | 11/29/26 | 363,670 | — | 363,670 |
USD | 5,458 | Pays | SOFR (pays annually) | 1.60% (pays semi-annually) | 3/10/27 | (384,465) | (4,287) | (388,752) |
USD | 53,814 | Receives | SOFR (pays annually) | 1.60% (pays semi-annually) | 3/10/27 | 3,787,047 | 44,818 | 3,831,865 |
USD | 50,000 | Pays | SOFR (pays annually) | 3.55% (pays semi-annually) | 3/16/28 | 508,522 | — | 508,522 |
USD | 75,000 | Pays | SOFR (pays annually) | 3.57% (pays semi-annually) | 3/16/28 | 825,220 | — | 825,220 |
USD | 64,000 | Pays | SOFR (pays annually) | 3.55% (pays annually) | 3/20/28 | 595,905 | — | 595,905 |
USD | 16,220 | Receives | SOFR (pays annually) | 1.26% (pays annually) | 11/9/31 | 2,533,460 | — | 2,533,460 |
USD | 830 | Pays | SOFR (pays annually) | 1.94% (pays annually) | 3/17/32 | (80,752) | 87,419 | 6,667 |
USD | 24,452 | Receives | SOFR (pays annually) | 1.94% (pays annually) | 3/17/32 | 2,377,581 | 1,249 | 2,378,830 |
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 | 10,205 | Pays | SOFR (pays annually) | 3.23% (pays semi-annually) | 1/13/33 | $ 43,212 | $ — | $ 43,212 |
USD | 4,900 | Pays | SOFR (pays annually) | 3.27% (pays annually) | 4/3/33 | 40,537 | — | 40,537 |
USD | 10,000 | Pays | SOFR (pays annually) | 3.28% (pays annually) | 4/3/33 | 92,118 | — | 92,118 |
USD | 1,800 | Receives | SOFR (pays annually) | 1.43% (pays annually) | 11/9/51 | 558,260 | — | 558,260 |
USD | 18,700 | Pays | SOFR (pays annually) | 2.60% (pays semi-annually) | 7/18/52 | (1,868,207) | — | (1,868,207) |
USD | 31,130 | Pays | SOFR (pays annually) | 2.86% (pays semi-annually) | 1/18/53 | (764,843) | — | (764,843) |
ZAR | 72,640 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.47% (pays quarterly) | 2/24/26 | (284,332) | 151 | (284,181) |
ZAR | 476,700 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.52% (pays quarterly) | 2/24/26 | (1,830,931) | 1,018 | (1,829,913) |
ZAR | 474,850 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.82% (pays quarterly) | 3/11/26 | (1,619,729) | 1,145 | (1,618,584) |
ZAR | 474,840 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.88% (pays quarterly) | 3/11/26 | (1,578,167) | 1,177 | (1,576,990) |
ZAR | 327,631 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.30% (pays quarterly) | 9/21/27 | (9,475) | — | (9,475) |
ZAR | 332,669 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.31% (pays quarterly) | 9/21/27 | (1,392) | — | (1,392) |
ZAR | 673,138 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.67% (pays quarterly) | 1/19/28 | (1,063,624) | 336 | (1,063,288) |
ZAR | 649,365 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.71% (pays quarterly) | 1/19/28 | (963,535) | 369 | (963,166) |
ZAR | 642,466 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.39% (pays quarterly) | 2/24/28 | 26,592 | 861 | 27,453 |
ZAR | 603,659 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.39% (pays quarterly) | 2/24/28 | 31,804 | 813 | 32,617 |
ZAR | 676,098 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.26% (pays quarterly) | 2/27/28 | (170,699) | 787 | (169,912) |
ZAR | 646,777 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.38% (pays quarterly) | 2/27/28 | 10,338 | 864 | 11,202 |
Total | $28,710,194 | $135,626 | $28,845,820 |
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) |
Colombia | $ 42,600 | 1.00% (pays quarterly)(1) | 2.93% | 6/20/28 | $ (3,577,105) | $ 3,725,532 | $ 148,427 |
Petroleos Mexicanos | 34,856 | 1.00% (pays quarterly)(1) | 6.06 | 12/20/27 | (6,481,108) | 5,751,370 | (729,738) |
Petroleos Mexicanos | 77,200 | 1.00% (pays quarterly)(1) | 6.28 | 6/20/28 | (16,121,876) | 16,451,135 | 329,259 |
Total | $154,656 | $(26,180,089) | $25,928,037 | $ (252,052) |
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 | $ 18,213 | 1.00% (pays quarterly)(1) | 6/20/28 | $ (737,132) | $ 714,608 | $ (22,524) | |
Finland | 18,801 | 0.25% (pays quarterly)(1) | 6/20/28 | (36,645) | (8,854) | (45,499) | |
France | 87,573 | 0.25% (pays quarterly)(1) | 6/20/28 | 30,082 | (205,841) | (175,759) | |
Germany | 85,444 | 0.25% (pays quarterly)(1) | 6/20/28 | (487,176) | 363,679 | (123,497) | |
Hungary | 19,438 | 1.00% (pays quarterly)(1) | 6/20/28 | 584,882 | (654,103) | (69,221) | |
Malaysia | 115,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (1,696,760) | 813,867 | (882,893) | |
Malaysia | 171,450 | 1.00% (pays quarterly)(1) | 6/20/28 | (2,529,648) | 1,443,316 | (1,086,332) | |
Markit CDX Emerging Markets Index (CDX.EM.31.V3) | 860 | 1.00% (pays quarterly)(1) | 6/20/24 | (422) | (30,072) | (30,494) | |
Markit CDX Emerging Markets Index (CDX.EM.39.V1) | 92,100 | 1.00% (pays quarterly)(1) | 6/20/28 | 5,473,686 | (6,296,051) | (822,365) | |
Markit CDX North America High Yield Index (CDX.NA.HY.40.V1) | 122,000 | 5.00% (pays quarterly)(1) | 6/20/28 | (2,433,449) | (178,905) | (2,612,354) | |
Mexico | 128,394 | 1.00% (pays quarterly)(1) | 6/20/28 | 597,610 | (2,433,833) | (1,836,223) | |
Philippines | 127,900 | 1.00% (pays quarterly)(1) | 6/20/28 | (544,827) | (575,014) | (1,119,841) | |
Poland | 73,949 | 1.00% (pays quarterly)(1) | 6/20/28 | (354,081) | (160,187) | (514,268) | |
Qatar | 62,500 | 1.00% (pays quarterly)(1) | 6/20/28 | (1,760,309) | 1,474,029 | (286,280) | |
Saudi Arabia | 265,800 | 1.00% (pays quarterly)(1) | 6/20/28 | (4,964,091) | 3,803,772 | (1,160,319) | |
South Africa | 207,567 | 1.00% (pays quarterly)(1) | 6/20/28 | 15,753,202 | (17,756,500) | (2,003,298) | |
South Africa | 58,700 | 1.00% (pays quarterly)(1) | 6/20/29 | 6,217,687 | (5,261,647) | 956,040 |
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) | |
South Africa | $ 9,464 | 1.00% (pays quarterly)(1) | 6/20/31 | $ 1,445,606 | $ (1,174,704) | $ 270,902 | |
Spain | 127,300 | 1.00% (pays quarterly)(1) | 6/20/28 | (2,814,305) | 2,884,456 | 70,151 | |
Turkey | 329,252 | 1.00% (pays quarterly)(1) | 6/20/28 | 56,269,657 | (57,568,840) | (1,299,183) | |
United Kingdom | 85,267 | 1.00% (pays quarterly)(1) | 6/20/28 | (3,087,844) | 2,805,892 | (281,952) | |
Total | $64,925,723 | $ (78,000,932) | $ (13,075,209) |
Credit Default Swaps - Sell Protection (OTC) | ||||||||
Reference Entity | Counterparty | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Vietnam | Barclays Bank PLC | $ 18,700 | 1.00% (pays quarterly)(1) | 1.31% | 6/20/28 | $ (240,010) | $ 389,022 | $ 149,012 |
Vietnam | Goldman Sachs International | 19,880 | 1.00% (pays quarterly)(1) | 0.57 | 6/20/24 | 117,830 | (67,667) | 50,163 |
Vietnam | Goldman Sachs International | 96,614 | 1.00% (pays quarterly)(1) | 1.31 | 6/20/28 | (1,241,355) | 1,583,167 | 341,812 |
Vietnam | Nomura International PLC | 3,500 | 1.00% (pays quarterly)(1) | 1.31 | 6/20/28 | (44,922) | 77,943 | 33,021 |
Total | $138,694 | $ (1,408,457) | $1,982,465 | $574,008 |
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) | 6/20/28 | $ (610,016) | $ 587,570 | $ (22,446) |
Dubai | Barclays Bank PLC | 6,348 | 1.00% (pays quarterly)(1) | 12/20/24 | (65,325) | (34,604) | (99,929) |
Dubai | Barclays Bank PLC | 9,572 | 1.00% (pays quarterly)(1) | 12/20/24 | (98,503) | (52,223) | (150,726) |
Egypt | Barclays Bank PLC | 9,744 | 1.00% (pays quarterly)(1) | 12/20/24 | 2,392,671 | (314,522) | 2,078,149 |
Egypt | JPMorgan Chase Bank, N.A. | 9,097 | 1.00% (pays quarterly)(1) | 12/20/24 | 2,233,798 | (293,038) | 1,940,760 |
Romania | Barclays Bank PLC | 19,120 | 1.00% (pays quarterly)(1) | 6/20/28 | 836,011 | (1,045,329) | (209,318) |
Saudi Arabia | Barclays Bank PLC | 25,486 | 1.00% (pays quarterly)(1) | 6/20/31 | (325,904) | (382,169) | (708,073) |
Credit Default Swaps - Buy Protection (OTC) (continued) | |||||||
Reference Entity | Counterparty | Notional Amount (000's omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Saudi Arabia | Goldman Sachs International | $57,200 | 1.00% (pays quarterly)(1) | 6/20/33 | $ (543,391) | $ (186,879) | $ (730,270) |
Sweden | Barclays Bank PLC | 41,185 | 0.25% (pays quarterly)(1) | 6/20/28 | (204,411) | 142,034 | (62,377) |
Total | $3,614,930 | $ (1,579,160) | $2,035,770 |
* | 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, 2023, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $293,350,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Total Return Swaps (OTC) | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Barclays Bank PLC | USD | 13,700 | SOFR (pays upon termination) | Return on iBoxx USD Liquid Leveraged Loans Index (pays upon termination) | 6/20/23 | $ (383,167) |
BNP Paribas | USD | 347,000 | Excess Return on Bloomberg Commodity 1 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.13% (pays upon termination) | 8/25/23 | (101,245) |
BNP Paribas | USD | 130,000 | Excess Return on Bloomberg Commodity 3 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.13% (pays upon termination) | 8/25/23 | (186,800) |
Citibank, N.A. | KRW | 49,000 | Positive Return on KOSPI 200 Index Futures 6/2023 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 6/2023 (pays upon termination) | 6/8/23 | 153,627 |
$ (517,585) |
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Effective Date/ Termination Date(1) | 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)* | Not Applicable/ 1/13/33 | $ 274,770 |
BNP Paribas | 3-month PLN WIBOR + 1.45% on PLN 33,244,125 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date** | 3-month EURIBOR on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount** | 10/14/25/ 10/14/28 | 101,921 |
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)* | Not Applicable/ 4/8/32 | (567,101) |
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)* | Not Applicable/ 4/11/32 | (1,873,536) |
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)* | Not Applicable/ 4/20/32 | (267,416) |
$(2,331,362) |
(1) | Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual. |
* | 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. |
** | The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered. |
Abbreviations: | |
ADR | – American Depositary Receipt |
BUBOR | – Budapest Interbank Offered Rate |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
EURIBOR | – Euro Interbank Offered Rate |
GDP | – Gross Domestic Product |
HICP | – Harmonised Indices of Consumer Prices |
JIBAR | – Johannesburg Interbank Average Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
TAIBOR | – Taipei Interbank Offered Rate |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
AED | – United Arab Emirates Dirham |
AMD | – Armenian Dram |
ARS | – Argentine Peso |
AUD | – Australian Dollar |
BHD | – Bahraini Dinar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CLF | – Chilean Unidad de Fomento |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EGP | – Egyptian Pound |
EUR | – Euro |
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 |
LKR | – Sri Lankan Rupee |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NOK | – Norwegian Krone |
NZD | – New Zealand Dollar |
OMR | – Omani Rial |
PEN | – Peruvian Sol |
PHP | – Philippine Peso |
PLN | – Polish Zloty |
RON | – Romanian Leu |
RSD | – Serbian Dinar |
SAR | – Saudi Riyal |
SEK | – Swedish Krona |
THB | – Thai Baht |
TRY | – Turkish Lira |
TWD | – New Taiwan Dollar |
UAH | – Ukrainian Hryvnia |
UGX | – Ugandan Shilling |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $2,155,462,678) | $ 1,938,463,314 |
Affiliated investment, at value (identified cost $168,574,038) | 168,574,038 |
Cash | 1,164,891 |
Deposits for derivatives collateral: | |
Centrally cleared derivatives | 188,903,341 |
OTC derivatives | 5,889,000 |
Foreign currency, at value (identified cost $59,817,417) | 60,374,799 |
Interest and dividends receivable | 40,978,830 |
Dividends receivable from affiliated investment | 716,061 |
Receivable for investments sold | 24,603,311 |
Cash collateral for securities sold short | 15,151,280 |
Receivable for open forward foreign currency exchange contracts | 20,034,945 |
Receivable for open swap contracts | 5,123,235 |
Upfront payments on open non-centrally cleared swap contracts | 2,376,431 |
Receivable for closed swap contracts | 937,936 |
Receivable for open non-deliverable bond forward contracts | 543,242 |
Tax reclaims receivable | 40,243 |
Total assets | $2,473,874,897 |
Liabilities | |
Cash collateral due to brokers | $ 4,270,000 |
Written options outstanding, at value (premiums received $500,488) | 349,274 |
Payable for investments purchased | 29,274,101 |
Payable for securities sold short, at value (proceeds $170,950,755) | 171,509,063 |
Payable for variation margin on open futures contracts | 1,813,676 |
Payable for variation margin on open centrally cleared derivatives | 5,264,852 |
Payable for open forward foreign currency exchange contracts | 14,370,096 |
Payable for open swap contracts | 5,362,404 |
Payable for closed swap contracts | 1,526,773 |
Upfront receipts on open non-centrally cleared swap contracts | 2,779,736 |
Payable for closed non-deliverable bond forward contracts | 46,175 |
Payable for open non-deliverable bond forward contracts | 1,615,991 |
Payable to affiliates: | |
Investment adviser fee | 1,718,936 |
Trustees' fees | 9,223 |
Other | 61,634 |
Interest payable on securities sold short | 4,052,208 |
Accrued foreign capital gains taxes | 121,152 |
Accrued expenses | 1,285,779 |
Total liabilities | $ 245,431,073 |
Net Assets applicable to investors' interest in Portfolio | $2,228,443,824 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $182,723) | $ 1,470,689 |
Dividend income from affiliated investment | 4,460,151 |
Interest and other income (net of foreign taxes withheld of $367,485) | 77,472,176 |
Total investment income | $ 83,403,016 |
Expenses | |
Investment adviser fee | $ 10,027,393 |
Trustees’ fees and expenses | 54,255 |
Custodian fee | 663,353 |
Legal and accounting services | 155,714 |
Interest expense and fees | 1,467,866 |
Interest and dividend expense on securities sold short | 3,571,204 |
Miscellaneous | 42,319 |
Total expenses | $ 15,982,104 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 292,492 |
Total expense reductions | $ 292,492 |
Net expenses | $ 15,689,612 |
Net investment income | $ 67,713,404 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $(118,609,958) |
Securities sold short | (1,413,839) |
Futures contracts | 14,961,351 |
Swap contracts | (4,791,065) |
Foreign currency transactions | 4,379,522 |
Forward foreign currency exchange contracts | (5,564,078) |
Non-deliverable bond forward contracts | 11,543,418 |
Net realized loss | $ (99,494,649) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $121,152) | $ 288,176,979 |
Written options | 151,214 |
Securities sold short | (6,350,627) |
Futures contracts | (28,866,069) |
Swap contracts | (45,145,108) |
Foreign currency | 1,898,269 |
Forward foreign currency exchange contracts | (40,223,070) |
Non-deliverable bond forward contracts | (3,220,721) |
Net change in unrealized appreciation (depreciation) | $ 166,420,867 |
Net realized and unrealized gain | $ 66,926,218 |
Net increase in net assets from operations | $ 134,639,622 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 67,713,404 | $ 134,697,184 |
Net realized gain (loss) | (99,494,649) | 139,946,227 |
Net change in unrealized appreciation (depreciation) | 166,420,867 | (378,537,426) |
Net increase (decrease) in net assets from operations | $ 134,639,622 | $ (103,894,015) |
Capital transactions: | ||
Contributions | $ 291,736,806 | $ 273,908,421 |
Withdrawals | (142,703,706) | (857,398,700) |
Net increase (decrease) in net assets from capital transactions | $ 149,033,100 | $ (583,490,279) |
Net increase (decrease) in net assets | $ 283,672,722 | $ (687,384,294) |
Net Assets | ||
At beginning of period | $ 1,944,771,102 | $ 2,632,155,396 |
At end of period | $2,228,443,824 | $1,944,771,102 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (1) | 1.48% (2)(3)(4) | 1.17% (3)(4) | 1.12% | 1.11% (3) | 1.26% (3) | 1.11% (3) |
Net investment income | 6.39% (2) | 6.13% | 5.37% | 5.69% | 5.86% | 5.09% |
Portfolio Turnover | 59% (5) | 94% | 82% | 80% | 71% | 75% |
Total Return | 6.77% (5) | (4.83)% (3) | 5.94% | 6.57% (3) | 8.22% (3) | (7.08)% (3) |
Net assets, end of period (000’s omitted) | $2,228,444 | $1,944,771 | $2,632,155 | $3,045,720 | $3,331,278 | $4,516,938 |
(1) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.48%, 0.16%, 0.11%, 0.09%, 0.24% and 0.07% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(2) | Annualized. |
(3) | The investment adviser reimbursed certain operating expenses (equal to 0.01%, 0.01%, 0.04%, 0.05% and 0.03% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2020, 2019 and 2018, 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 0.02% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(5) | Not annualized. |
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) | $ 846,003,656 | $ 1,882,770,465 |
U.S. Government and Agency Securities | — | 98,760,738 |
$846,003,656 | $1,981,531,203 |
Aggregate cost | $2,236,244,839 |
Gross unrealized appreciation | $ 74,236,133 |
Gross unrealized depreciation | (383,154,582) |
Net unrealized depreciation | $ (308,918,449) |
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 | $ 7,467,070 |
Sussex Capital, Ltd., Designated Investment Series 14 | 1/24/22 | 1,114 | 1,107,140 | 403,548 |
Sussex Capital, Ltd., Designated Investment Series 14 | 11/30/22 | 1,081 | 1,080,115 | 1,124,257 |
Sussex Capital, Ltd., Series 14, Preference Shares | 6/1/21 | 7,500 | 5,312,745 | 6,474,051 |
Total Restricted Securities | $16,100,000 | $15,468,926 |
Fair Value | ||||||
Consolidated Statement of Assets and Liabilities Caption | Commodity | Credit | Equity Price | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ — | $ 2,037,000 | $ — | $ 3,268,285 | $ — | $ 5,305,285 |
Not applicable | — | 86,372,412* | 193,360* | 5,061,092* | 64,225,522* | 155,852,386 |
Receivable for open forward foreign currency exchange contracts | — | — | — | 20,034,945 | — | 20,034,945 |
Receivable/Payable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | — | 5,580,310 | 153,627 | — | 376,691 | 6,110,628 |
Receivable for open non-deliverable bond forward contracts | — | — | — | — | 543,242 | 543,242 |
Total Asset Derivatives | $ — | $ 93,989,722 | $ 346,987 | $ 28,364,322 | $ 65,145,455 | $ 187,846,486 |
Derivatives not subject to master netting or similar agreements | $ — | $ 86,372,412 | $ 193,360 | $ 5,061,092 | $ 64,225,522 | $ 155,852,386 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $ 7,617,310 | $ 153,627 | $ 23,303,230 | $ 919,933 | $ 31,994,100 |
Written options outstanding, at value | $ — | $ — | $ — | $ (349,274) | $ — | $ (349,274) |
Not applicable | — | (47,626,778)* | (1,455,774)* | (20,936,359)* | (46,418,495)* | (116,437,406) |
Payable for open forward foreign currency exchange contracts | — | — | — | (14,370,096) | — | (14,370,096) |
Payable/Receivable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | (288,045) | (3,373,837) | — | — | (3,091,220) | (6,753,102) |
Payable for open non-deliverable bond forward contracts | — | — | — | — | (1,615,991) | (1,615,991) |
Total Liability Derivatives | $(288,045) | $(51,000,615) | $(1,455,774) | $(35,655,729) | $(51,125,706) | $(139,525,869) |
Derivatives not subject to master netting or similar agreements | $ — | $(47,626,778) | $(1,455,774) | $(20,936,359) | $(46,418,495) | $(116,437,406) |
Total Liability Derivatives subject to master netting or similar agreements | $(288,045) | $ (3,373,837) | $ — | $(14,719,370) | $ (4,707,211) | $ (23,088,463) |
* | 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. | $ 1,513,623 | $ (1,513,623) | $ — | $ — | $ — | $ — |
Barclays Bank PLC | 4,927,243 | (1,479,577) | — | (3,447,666) | — | 3,870,000 |
BNP Paribas | 129,560 | (129,560) | — | — | — | — |
Citibank, N.A. | 1,228,266 | (1,228,266) | — | — | — | — |
Credit Agricole Corporate and Investment Bank | 120,391 | — | — | (120,391) | — | 130,000 |
Deutsche Bank AG | 438,437 | (242,895) | (195,542) | — | — | — |
Goldman Sachs International | 13,491,341 | (8,781,047) | (4,710,294) | — | — | — |
HSBC Bank USA, N.A. | 960,185 | (26,588) | (933,597) | — | — | — |
ICBC Standard Bank plc | 280,142 | — | — | (270,000) | 10,142 | 270,000 |
JPMorgan Chase Bank, N.A. | 4,481,473 | (610,016) | (2,137,724) | — | 1,733,733 | — |
Standard Chartered Bank | 3,778,678 | (3,778,678) | — | — | — | — |
UBS AG | 644,761 | (644,761) | — | — | — | — |
$31,994,100 | $(18,435,011) | $(7,977,157) | $(3,838,057) | $1,743,875 | $4,270,000 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) | Total Cash Collateral Pledged |
Bank of America, N.A. | $ (1,668,845) | $ 1,513,623 | $ — | $ — | $ (155,222) | $ — |
Barclays Bank PLC | (1,479,577) | 1,479,577 | — | — | — | — |
BNP Paribas | (714,707) | 129,560 | 585,147 | — | — | 1,619,000 |
Citibank, N.A. | (3,906,171) | 1,228,266 | 2,677,905 | — | — | — |
Deutsche Bank AG | (242,895) | 242,895 | — | — | — | — |
Goldman Sachs International | (8,781,047) | 8,781,047 | — | — | — | — |
HSBC Bank USA, N.A. | (26,588) | 26,588 | — | — | — | — |
JPMorgan Chase Bank, N.A. | (610,016) | 610,016 | — | — | — | — |
Nomura International PLC | (44,922) | — | 44,922 | — | — | — |
Standard Chartered Bank | (4,820,050) | 3,778,678 | 1,041,372 | — | — | — |
UBS AG | (793,645) | 644,761 | — | — | (148,884) | — |
$(23,088,463) | $18,435,011 | $4,349,346 | $ — | $(304,106) | $1,619,000 | |
Total — Deposits for derivatives collateral — OTC derivatives | $5,889,000 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Consolidated Statement of Operations Caption | Commodity | Credit | Equity Price | Foreign Exchange | Interest Rate | Total |
Net realized gain (loss): | ||||||
Investment transactions | $ — | $ — | $ — | $ 2,284,857 | $ (2,514,525) | $ (229,668) |
Futures contracts | 6,093,645 | — | (3,187,289) | — | 12,054,995 | 14,961,351 |
Swap contracts | 10,181,930 | (25,699,527) | (9,036,320) | (107,676) | 19,870,528 | (4,791,065) |
Forward foreign currency exchange contracts | — | — | — | (5,564,078) | — | (5,564,078) |
Non-deliverable bond forward contracts | — | — | — | — | 11,543,418 | 11,543,418 |
Total | $16,275,575 | $(25,699,527) | $(12,223,609) | $ (3,386,897) | $ 40,954,416 | $ 15,919,958 |
Change in unrealized appreciation (depreciation): | ||||||
Investments | $ — | $ — | $ — | $ 524,546 | $ 2,514,483 | $ 3,039,029 |
Written options | — | — | — | 151,214 | — | 151,214 |
Futures contracts | (8,079,169) | — | (599,551) | — | (20,187,349) | (28,866,069) |
Swap contracts | (288,045) | (13,776,647) | 153,627 | — | (31,234,043) | (45,145,108) |
Forward foreign currency exchange contracts | — | — | — | (40,223,070) | — | (40,223,070) |
Non-deliverable bond forward contracts | — | — | — | — | (3,220,721) | (3,220,721) |
Total | $ (8,367,214) | $(13,776,647) | $ (445,924) | $(39,547,310) | $(52,127,630) | $(114,264,725) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Purchased Swaptions |
$68,346,000 | $423,759,000 | $3,221,052,000 | $207,528,000 | $20,000,000 |
Purchased Call Options | Swap Contracts |
$604,614,000 | $6,498,629,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $118,583,106 | $1,175,631,025 | $(1,125,640,093) | $ — | $ — | $168,574,038 | $4,460,151 | 168,574,038 |
• | 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 | $ — | $ 67,375,207 | $ — | $ 67,375,207 |
Common Stocks | 8,477,405 | 106,388,226* | 639,734 | 115,505,365 |
Convertible Bonds | — | 7,932,306 | — | 7,932,306 |
Foreign Corporate Bonds | — | 119,283,045 | 0 | 119,283,045 |
Loan Participation Notes | — | — | 34,233,695 | 34,233,695 |
Reinsurance Side Cars | — | — | 16,815,519 | 16,815,519 |
Senior Floating-Rate Loans | — | 16,795,240 | 561,343 | 17,356,583 |
Sovereign Government Bonds | — | 1,151,408,540 | — | 1,151,408,540 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Sovereign Loans | $ — | $ 112,715,605 | $ — | $ 112,715,605 |
U.S. Government Guaranteed Small Business Administration Loans | — | 15,199,096 | — | 15,199,096 |
Warrants | 119,202 | — | — | 119,202 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 168,574,038 | — | — | 168,574,038 |
Repurchase Agreements | — | 175,088,743 | — | 175,088,743 |
Sovereign Government Securities | — | 5,295,241 | — | 5,295,241 |
U.S. Treasury Obligations | — | 94,829,882 | — | 94,829,882 |
Purchased Currency Options | — | 3,268,285 | — | 3,268,285 |
Purchased Credit Default Swaptions | — | 2,037,000 | — | 2,037,000 |
Total Investments | $ 177,170,645 | $ 1,877,616,416 | $ 52,250,291 | $ 2,107,037,352 |
Forward Foreign Currency Exchange Contracts | $ — | $ 25,096,037 | $ — | $ 25,096,037 |
Non-Deliverable Bond Forward Contracts | — | 543,242 | — | 543,242 |
Futures Contracts | 615,740 | — | — | 615,740 |
Swap Contracts | — | 156,286,182 | — | 156,286,182 |
Total | $ 177,786,385 | $ 2,059,541,877 | $ 52,250,291 | $ 2,289,578,553 |
Liability Description | ||||
Securities Sold Short | $ — | $ (171,509,063) | $ — | $ (171,509,063) |
Written Currency Options | — | (349,274) | — | (349,274) |
Forward Foreign Currency Exchange Contracts | — | (35,306,455) | — | (35,306,455) |
Non-Deliverable Bond Forward Contracts | — | (1,615,991) | — | (1,615,991) |
Futures Contracts | (6,234,104) | (1,455,774) | — | (7,689,878) |
Swap Contracts | — | (94,564,271) | — | (94,564,271) |
Total | $ (6,234,104) | $ (304,800,828) | $ — | $ (311,034,932) |
* | 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 | Sovereign Government Bonds | Sovereign Government Securities | Total | |
Balance as of October 31, 2022 | $467,194 | $ 0 | $43,646,597 | $20,645,423 | $608,224 | $ 65,632,437 | $ 5,286,231 | $136,286,106 |
Realized gains (losses) | — | — | (1,129,991) | — | 7,366 | — | — | (1,122,625) |
Change in net unrealized appreciation (depreciation) | 172,540 | — | 248,679 | 2,018,953 | (14,445) | — | — | 2,425,727 |
Cost of purchases | — | — | — | 2,187,255 | — | — | — | 2,187,255 |
Proceeds from sales, including return of capital | — | — | (8,531,590) | (8,036,112) | (72,214) | — | — | (16,639,916) |
Accrued discount (premium) | — | — | — | — | 32,412 | — | — | 32,412 |
Transfers to Level 3 | — | — | — | — | — | — | — | — |
Transfers from Level 3(1) | — | — | — | — | — | (65,632,437) | (5,286,231) | (70,918,668) |
Balance as of April 30, 2023 | $639,734 | $ 0 | $34,233,695 | $16,815,519 | $561,343 | $ — | $ — | $ 52,250,291 |
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2023 | $172,540 | $ — | $ (791,279) | $ 1,424,195 | $ (21,621) | $ — | $ — | $ 783,835 |
* | The Portfolio’s investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations. |
(1) | Transferred from Level 3 based on the observability of valuation inputs resulting from new market activity. |
Type of Investment | Fair Value as of April 30, 2023 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* |
Common Stocks | $ 639,734 | Market Approach | EBITDA Multiple Discount Rate | 15% | Decrease |
Foreign Corporate Bonds | 0 | Estimated Recovery Value | Estimated Recovery Value Percentage | 0% | Increase |
Loan Participation Notes | 34,233,695 | Matrix Pricing | Ajdusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 4.73% | Decrease |
Senior Floating-Rate Loans | 561,343 | 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. |
Officers of Eaton Vance Global Macro Absolute Return Advantage Fund and Global Macro Absolute Return Advantage Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Global Macro Absolute Return Advantage Fund and Global Macro Absolute Return Advantage Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
125 Old Broad Street
London, EC2N 1AR
United Kingdom
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 05/30/2003 | 05/30/2003 | 13.58% | 5.55% | 7.43% | 7.50% |
Class A with 5.25% Maximum Sales Charge | — | — | 7.64 | (0.01) | 6.28 | 6.92 |
Class C at NAV | 05/30/2003 | 05/30/2003 | 13.10 | 4.72 | 6.61 | 6.87 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 12.10 | 3.72 | 6.61 | 6.87 |
Class I at NAV | 08/27/2007 | 05/30/2003 | 13.71 | 5.73 | 7.70 | 7.77 |
MSCI World Index | — | — | 12.26% | 3.18% | 8.13% | 8.70% |
% After-Tax Returns with Maximum Sales Charge | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A After Taxes on Distributions | 05/30/2003 | 05/30/2003 | (1.07)% | 5.33% | 5.97% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | 0.95 | 5.04 | 5.56 |
Class C After Taxes on Distributions | 05/30/2003 | 05/30/2003 | 2.78 | 5.82 | 6.06 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | 3.06 | 5.35 | 5.57 |
Class I After Taxes on Distributions | 08/27/2007 | 05/30/2003 | 4.56 | 6.68 | 6.76 |
Class I After Taxes on Distributions and Sale of Fund Shares | — | — | 4.44 | 6.21 | 6.28 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
1.18% | 1.94% | 0.93% |
Sector Allocation (% of total investments)1 |
Country Allocation (% of total investments) |
Top 10 Holdings (% of total investments)1 | |
Apple, Inc. | 3.0% |
Eli Lilly & Co. | 2.8 |
Microsoft Corp. | 2.8 |
Novo Nordisk A/S, Class B | 2.7 |
EOG Resources, Inc. | 2.5 |
Alphabet, Inc., Class C | 2.1 |
ASML Holding NV | 2.1 |
Mercedes-Benz Group AG | 1.8 |
BASF SE | 1.6 |
Stellantis NV | 1.5 |
Total | 22.9% |
1 | Excludes cash and cash equivalents. |
1 | MSCI World Index is an unmanaged index of equity securities in the developed markets. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. After-tax returns are calculated using certain assumptions, including using the highest historical individual federal income tax rates, and do not reflect the impact of state/local taxes. Actual after-tax returns depend on a shareholder’s tax situation and the actual characterization of distributions and may differ from those shown. After-tax returns are not relevant to shareholders who hold shares in tax-deferred accounts or shares held by nontaxable entities. Return After Taxes on Distributions may be the same as Return Before Taxes for the same period because no taxable distributions were made during that period. Return After Taxes on Distributions and Sale of Fund Shares may be greater than or equal to Return After Taxes on Distributions for the same period because of losses realized on the sale of Fund shares. The Fund’s after-tax returns also may reflect foreign tax credits passed by the Fund to its shareholders.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,135.80 | $ 6.35 | 1.20% |
Class C | $1,000.00 | $1,131.00 | $10.30 | 1.95% |
Class I | $1,000.00 | $1,137.10 | $ 5.03 | 0.95% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.84 | $ 6.01 | 1.20% |
Class C | $1,000.00 | $1,015.13 | $ 9.74 | 1.95% |
Class I | $1,000.00 | $1,020.08 | $ 4.76 | 0.95% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. |
Common Stocks — 97.8% |
Security | Shares | Value | |
Aerospace & Defense — 1.0% | |||
Safran S.A. | 36,910 | $ 5,740,234 | |
$ 5,740,234 | |||
Air Freight & Logistics — 1.4% | |||
Deutsche Post AG | 87,946 | $ 4,230,166 | |
GXO Logistics, Inc.(1) | 73,254 | 3,891,985 | |
$ 8,122,151 | |||
Automobiles — 5.4% | |||
Bayerische Motoren Werke AG | 68,627 | $ 7,692,015 | |
Mercedes-Benz Group AG | 126,645 | 9,876,538 | |
Stellantis NV(2) | 170,938 | 2,835,275 | |
Stellantis NV(2) | 515,033 | 8,564,999 | |
Tesla, Inc.(1) | 7,287 | 1,197,327 | |
$ 30,166,154 | |||
Banks — 12.1% | |||
Banco Bilbao Vizcaya Argentaria S.A. | 583,885 | $ 4,274,613 | |
Banco Santander S.A. | 2,020,541 | 7,098,316 | |
Barclays PLC | 1,010,883 | 2,036,334 | |
BNP Paribas S.A. | 76,569 | 4,947,385 | |
CaixaBank S.A. | 1,901,796 | 7,039,700 | |
Citigroup, Inc. | 15,230 | 716,876 | |
Credit Agricole S.A. | 367,494 | 4,492,073 | |
DNB Bank ASA | 441,042 | 7,757,963 | |
HDFC Bank, Ltd. | 146,422 | 3,026,497 | |
HSBC Holdings PLC | 773,596 | 5,575,574 | |
ING Groep NV | 293,763 | 3,643,333 | |
Skandinaviska Enskilda Banken AB, Class A | 239,927 | 2,728,156 | |
Societe Generale S.A. | 92,018 | 2,234,957 | |
Svenska Handelsbanken AB, Class A | 310,076 | 2,741,005 | |
Swedbank AB, Class A | 92,845 | 1,613,315 | |
Toronto-Dominion Bank (The) | 8,958 | 542,631 | |
U.S. Bancorp | 53,754 | 1,842,687 | |
Wells Fargo & Co. | 134,293 | 5,338,147 | |
$ 67,649,562 | |||
Beverages — 1.3% | |||
Coca-Cola Co. (The) | 63,575 | $ 4,078,336 | |
Diageo PLC | 70,222 | 3,203,253 | |
$ 7,281,589 |
Security | Shares | Value | |
Biotechnology — 0.5% | |||
CSL, Ltd. | 14,543 | $ 2,903,316 | |
$ 2,903,316 | |||
Broadline Retail — 1.2% | |||
Amazon.com, Inc.(1) | 64,580 | $ 6,809,961 | |
$ 6,809,961 | |||
Building Products — 0.6% | |||
Assa Abloy AB, Class B | 92,928 | $ 2,214,102 | |
Daikin Industries, Ltd. | 7,148 | 1,298,299 | |
$ 3,512,401 | |||
Capital Markets — 1.3% | |||
Bank of New York Mellon Corp. (The) | 30,386 | $ 1,294,140 | |
Intercontinental Exchange, Inc. | 14,163 | 1,542,775 | |
State Street Corp. | 61,772 | 4,463,645 | |
$ 7,300,560 | |||
Chemicals — 1.9% | |||
BASF SE | 175,557 | $ 9,080,534 | |
Sika AG | 5,209 | 1,438,845 | |
$ 10,519,379 | |||
Commercial Services & Supplies — 0.3% | |||
Waste Management, Inc. | 9,568 | $ 1,588,766 | |
$ 1,588,766 | |||
Construction & Engineering — 0.2% | |||
Skanska AB, Class B | 54,944 | $ 898,689 | |
$ 898,689 | |||
Construction Materials — 0.1% | |||
CRH PLC | 16,187 | $ 781,087 | |
$ 781,087 | |||
Consumer Finance — 0.4% | |||
Capital One Financial Corp. | 20,676 | $ 2,011,775 | |
$ 2,011,775 | |||
Consumer Staples Distribution & Retail — 0.6% | |||
Dollar Tree, Inc.(1) | 21,367 | $ 3,284,322 | |
$ 3,284,322 | |||
Diversified Telecommunication Services — 1.4% | |||
Elisa Oyj | 18,307 | $ 1,136,888 |
Security | Shares | Value | |
Diversified Telecommunication Services (continued) | |||
Proximus SADP | 403,696 | $ 3,441,339 | |
Swisscom AG | 5,118 | 3,513,765 | |
$ 8,091,992 | |||
Electric Utilities — 1.0% | |||
Iberdrola S.A. | 255,398 | $ 3,309,473 | |
NextEra Energy, Inc. | 28,853 | 2,211,005 | |
$ 5,520,478 | |||
Electrical Equipment — 1.8% | |||
AMETEK, Inc. | 28,233 | $ 3,894,178 | |
Schneider Electric SE | 37,208 | 6,488,770 | |
$ 10,382,948 | |||
Electronic Equipment, Instruments & Components — 2.6% | |||
CDW Corp. | 42,219 | $ 7,159,920 | |
Halma PLC | 52,762 | 1,534,498 | |
Keyence Corp. | 4,312 | 1,944,523 | |
Keysight Technologies, Inc.(1) | 11,246 | 1,626,621 | |
TE Connectivity, Ltd. | 18,551 | 2,270,086 | |
$ 14,535,648 | |||
Entertainment — 0.5% | |||
Walt Disney Co. (The)(1) | 27,557 | $ 2,824,593 | |
$ 2,824,593 | |||
Financial Services — 2.0% | |||
Berkshire Hathaway, Inc., Class B(1) | 20,400 | $ 6,702,420 | |
Fidelity National Information Services, Inc. | 5,249 | 308,221 | |
Visa, Inc., Class A | 19,294 | 4,490,293 | |
$ 11,500,934 | |||
Food Products — 1.9% | |||
Mondelez International, Inc., Class A | 59,972 | $ 4,601,052 | |
Nestle S.A. | 33,200 | 4,259,213 | |
Orkla ASA | 234,799 | 1,687,684 | |
$ 10,547,949 | |||
Ground Transportation — 0.3% | |||
Union Pacific Corp. | 7,517 | $ 1,471,077 | |
$ 1,471,077 | |||
Health Care Equipment & Supplies — 2.4% | |||
Alcon, Inc. | 18,786 | $ 1,367,927 | |
Boston Scientific Corp.(1) | 112,755 | 5,876,791 |
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
Intuitive Surgical, Inc.(1) | 11,576 | $ 3,486,923 | |
Straumann Holding AG | 20,175 | 3,035,340 | |
$ 13,766,981 | |||
Health Care Providers & Services — 1.9% | |||
Elevance Health, Inc. | 15,491 | $ 7,259,857 | |
UnitedHealth Group, Inc. | 6,767 | 3,329,973 | |
$ 10,589,830 | |||
Hotels, Restaurants & Leisure — 2.5% | |||
Amadeus IT Group S.A.(1) | 51,558 | $ 3,623,754 | |
Compass Group PLC | 235,002 | 6,199,579 | |
InterContinental Hotels Group PLC | 59,229 | 4,072,390 | |
$ 13,895,723 | |||
Industrial Conglomerates — 1.4% | |||
Siemens AG | 49,382 | $ 8,139,749 | |
$ 8,139,749 | |||
Insurance — 9.9% | |||
AIA Group, Ltd. | 249,782 | $ 2,719,394 | |
Allianz SE | 32,897 | 8,260,666 | |
Allstate Corp. (The) | 7,325 | 847,942 | |
Arch Capital Group, Ltd.(1) | 8,222 | 617,226 | |
Assurant, Inc. | 7,099 | 874,100 | |
Aviva PLC | 603,739 | 3,214,512 | |
AXA S.A. | 131,430 | 4,289,899 | |
Baloise Holding AG | 25,535 | 4,274,385 | |
RenaissanceRe Holdings, Ltd. | 21,294 | 4,586,941 | |
Sampo Oyj, Class A | 101,744 | 5,159,942 | |
Storebrand ASA | 134,483 | 1,037,605 | |
Swiss Life Holding AG(1) | 10,298 | 6,797,263 | |
Swiss Re AG | 56,563 | 5,696,115 | |
Topdanmark A/S | 46,207 | 2,439,254 | |
Zurich Insurance Group AG | 10,376 | 5,031,864 | |
$ 55,847,108 | |||
Interactive Media & Services — 2.9% | |||
Alphabet, Inc., Class C(1) | 108,553 | $ 11,747,606 | |
Meta Platforms, Inc., Class A(1) | 18,723 | 4,499,511 | |
$ 16,247,117 | |||
Leisure Products — 0.2% | |||
Yamaha Corp. | 33,396 | $ 1,316,123 | |
$ 1,316,123 |
Security | Shares | Value | |
Life Sciences Tools & Services — 0.5% | |||
Danaher Corp. | 3,986 | $ 944,323 | |
Lonza Group AG | 2,852 | 1,778,622 | |
$ 2,722,945 | |||
Machinery — 1.9% | |||
Ingersoll Rand, Inc. | 90,452 | $ 5,157,573 | |
Sandvik AB | 20,944 | 426,625 | |
Volvo AB, Class B | 239,106 | 4,916,187 | |
$ 10,500,385 | |||
Marine Transportation — 0.9% | |||
Kuehne & Nagel International AG | 17,113 | $ 5,069,827 | |
$ 5,069,827 | |||
Media — 0.6% | |||
Dentsu Group, Inc. | 29,938 | $ 1,078,810 | |
ITV PLC | 2,382,330 | 2,424,779 | |
$ 3,503,589 | |||
Metals & Mining — 1.2% | |||
Anglo American PLC | 31,203 | $ 961,495 | |
Outokumpu Oyj | 327,958 | 1,787,885 | |
Rio Tinto, Ltd. | 55,322 | 4,149,405 | |
$ 6,898,785 | |||
Multi-Utilities — 0.3% | |||
CMS Energy Corp. | 25,511 | $ 1,588,315 | |
$ 1,588,315 | |||
Oil, Gas & Consumable Fuels — 3.6% | |||
Chevron Corp. | 38,001 | $ 6,406,209 | |
EOG Resources, Inc. | 114,956 | 13,733,793 | |
$ 20,140,002 | |||
Paper and Forest Products — 0.3% | |||
Stora Enso Oyj, Class R | 118,175 | $ 1,499,268 | |
$ 1,499,268 | |||
Personal Care Products — 0.2% | |||
Kose Corp. | 11,129 | $ 1,298,701 | |
$ 1,298,701 | |||
Pharmaceuticals — 8.6% | |||
AstraZeneca PLC | 18,508 | $ 2,723,692 | |
Bayer AG | 67,632 | 4,463,461 |
Security | Shares | Value | |
Pharmaceuticals (continued) | |||
Eli Lilly & Co. | 39,712 | $ 15,720,392 | |
Novo Nordisk A/S, Class B | 89,023 | 14,809,363 | |
Roche Holding AG PC | 7,785 | 2,437,796 | |
Sanofi | 36,031 | 3,882,999 | |
Zoetis, Inc. | 23,705 | 4,166,865 | |
$ 48,204,568 | |||
Professional Services — 2.4% | |||
Randstad NV | 40,203 | $ 2,184,461 | |
Recruit Holdings Co., Ltd. | 50,260 | 1,409,973 | |
RELX PLC | 142,745 | 4,756,076 | |
SGS S.A. | 29,275 | 2,649,251 | |
Verisk Analytics, Inc. | 11,623 | 2,256,141 | |
$ 13,255,902 | |||
Semiconductors & Semiconductor Equipment — 4.4% | |||
ASML Holding NV | 18,467 | $ 11,719,387 | |
Infineon Technologies AG | 154,537 | 5,627,739 | |
Micron Technology, Inc. | 42,065 | 2,707,303 | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 54,340 | 4,580,862 | |
$ 24,635,291 | |||
Software — 4.3% | |||
Adobe, Inc.(1) | 6,433 | $ 2,428,843 | |
Dassault Systemes SE | 71,140 | 2,887,973 | |
Intuit, Inc. | 7,398 | 3,284,342 | |
Microsoft Corp.(3) | 51,160 | 15,719,422 | |
$ 24,320,580 | |||
Specialized REITs — 0.2% | |||
American Tower Corp. | 4,449 | $ 909,331 | |
$ 909,331 | |||
Specialty Retail — 2.2% | |||
Lowe's Cos., Inc. | 23,156 | $ 4,812,512 | |
TJX Cos., Inc. (The) | 92,526 | 7,292,899 | |
$ 12,105,411 | |||
Technology Hardware, Storage & Peripherals — 3.0% | |||
Apple, Inc.(3) | 98,553 | $ 16,722,473 | |
$ 16,722,473 | |||
Textiles, Apparel & Luxury Goods — 1.1% | |||
LVMH Moet Hennessy Louis Vuitton SE | 6,379 | $ 6,135,840 | |
$ 6,135,840 |
Security | Shares | Value | |
Trading Companies & Distributors — 1.1% | |||
Ashtead Group PLC | 48,961 | $ 2,822,901 | |
IMCD NV | 11,107 | 1,672,040 | |
Rexel S.A.(1) | 79,688 | 1,845,861 | |
$ 6,340,802 | |||
Total Common Stocks (identified cost $392,344,908) | $549,100,211 |
Corporate Bonds — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
Financial Services — 0.7% | |||
PPTT, 2006-A GS, Class A, 2.921%(4)(5)(6) | $ | 4,541 | $ 3,741,784 |
$ 3,741,784 | |||
Oil, Gas & Consumable Fuels — 0.0%(7) | |||
Odebrecht Oil & Gas Finance, Ltd., 0.00%(4)(5) | $ | 2,008 | $ 2,007 |
$ 2,007 | |||
Total Corporate Bonds (identified cost $6,287,097) | $ 3,743,791 |
Short-Term Investments — 0.5% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(8) | 2,518,556 | $ 2,518,556 | |
Total Short-Term Investments (identified cost $2,518,556) | $ 2,518,556 | ||
Total Investments — 99.0% (identified cost $401,150,561) | $555,362,558 | ||
Other Assets, Less Liabilities — 1.0% | $ 5,729,352 | ||
Net Assets — 100.0% | $561,091,910 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Securities are traded on separate exchanges for the same entity. |
(3) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $3,743,791 or 0.7% of the Fund's net assets. |
(5) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(6) | Variable rate security. The stated interest rate, which resets quarterly, is determined at auction and represents the rate in effect at April 30, 2023. |
(7) | Amount is less than 0.05%. |
(8) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Country Concentration of Portfolio | ||
Country | Percentage of Total Investments | Value |
United States | 40.0% | $222,001,127 |
Germany | 10.3 | 57,370,868 |
Switzerland | 8.9 | 49,620,299 |
France | 7.7 | 42,945,991 |
United Kingdom | 7.1 | 39,525,083 |
Netherlands | 5.5 | 30,619,495 |
Spain | 4.6 | 25,345,856 |
Denmark | 3.1 | 17,248,617 |
Sweden | 2.8 | 15,538,079 |
Norway | 1.9 | 10,483,252 |
Finland | 1.7 | 9,583,983 |
Japan | 1.5 | 8,346,429 |
Australia | 1.3 | 7,052,721 |
Bermuda | 0.8 | 4,586,941 |
Taiwan | 0.8 | 4,580,862 |
Belgium | 0.6 | 3,441,339 |
India | 0.6 | 3,026,497 |
Hong Kong | 0.5 | 2,719,394 |
Ireland | 0.2 | 781,087 |
Canada | 0.1 | 542,631 |
Brazil | 0.0 (1) | 2,007 |
Total Investments | 100.0% | $555,362,558 |
(1) | Amount is less than 0.05%. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-Mini S&P 500 Index | 461 | Long | 6/16/23 | $ 96,544,925 | $ 6,796,725 |
Nikkei 225 Index | 51 | Long | 6/8/23 | 11,074,080 | 530,224 |
STOXX Europe 600 Bank Index | (2,489) | Short | 6/16/23 | (19,778,434) | (272,271) |
STOXX Europe 600 Index | (2,284) | Short | 6/16/23 | (56,980,422) | (3,008,491) |
STOXX Europe 600 Insurance Index | (1,462) | Short | 6/16/23 | (26,088,717) | (981,457) |
$ 3,064,730 |
Abbreviations: | |
ADR | – American Depositary Receipt |
PC | – Participation Certificate |
PPTT | – Preferred Pass-Through Trust |
REITs | – Real Estate Investment Trusts |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $398,632,005) | $ 552,844,002 |
Affiliated investment, at value (identified cost $2,518,556) | 2,518,556 |
Foreign currency, at value (identified cost $51) | 51 |
Interest and dividends receivable | 3,324,746 |
Dividends receivable from affiliated investment | 8,286 |
Receivable for investments sold | 1,890,383 |
Receivable for Fund shares sold | 127,063 |
Receivable for variation margin on open futures contracts | 1,959,381 |
Tax reclaims receivable | 3,053,290 |
Total assets | $565,725,758 |
Liabilities | |
Payable for investments purchased | $ 2,342,895 |
Payable for Fund shares redeemed | 346,455 |
Due to custodian | 1,089,761 |
Payable to affiliates: | |
Investment adviser fee | 295,805 |
Administration fee | 68,589 |
Distribution and service fees | 94,275 |
Accrued foreign capital gains taxes | 105,247 |
Accrued expenses | 290,821 |
Total liabilities | $ 4,633,848 |
Net Assets | $561,091,910 |
Sources of Net Assets | |
Paid-in capital | $ 431,785,133 |
Distributable earnings | 129,306,777 |
Net Assets | $561,091,910 |
Class A Shares | |
Net Assets | $ 389,010,099 |
Shares Outstanding | 27,004,795 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 14.41 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 15.21 |
Class C Shares | |
Net Assets | $ 18,101,058 |
Shares Outstanding | 1,259,575 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 14.37 |
Class I Shares | |
Net Assets | $ 153,980,753 |
Shares Outstanding | 10,678,029 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 14.42 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $1,956,367) | $ 13,904,912 |
Dividend income from affiliated investment | 41,752 |
Interest and other income | 75,726 |
Total investment income | $14,022,390 |
Expenses | |
Investment adviser fee | $ 1,747,882 |
Administration fee | 404,615 |
Distribution and service fees: | |
Class A | 466,062 |
Class C | 96,586 |
Trustees’ fees and expenses | 14,140 |
Custodian fee | 110,705 |
Transfer and dividend disbursing agent fees | 138,204 |
Legal and accounting services | 37,218 |
Printing and postage | 15,443 |
Registration fees | 26,432 |
Miscellaneous | 61,563 |
Total expenses | $ 3,118,850 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 1,702 |
Total expense reductions | $ 1,702 |
Net expenses | $ 3,117,148 |
Net investment income | $10,905,242 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $69,344) | $ 11,611,103 |
Futures contracts | (751,168) |
Foreign currency transactions | 266,462 |
Net realized gain | $11,126,397 |
Change in unrealized appreciation (depreciation): | |
Investments (including net decrease in accrued foreign capital gains taxes of $13,305) | $ 43,214,403 |
Futures contracts | 3,064,730 |
Foreign currency | 274,927 |
Net change in unrealized appreciation (depreciation) | $46,554,060 |
Net realized and unrealized gain | $57,680,457 |
Net increase in net assets from operations | $68,585,699 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 10,905,242 | $ 30,503,309 |
Net realized gain (loss) | 11,126,397 | (27,989,042) |
Net change in unrealized appreciation (depreciation) | 46,554,060 | (136,954,349) |
Net increase (decrease) in net assets from operations | $ 68,585,699 | $(134,440,082) |
Distributions to shareholders: | ||
Class A | $ (10,175,188) | $ (36,746,038) |
Class C | (455,037) | (2,080,114) |
Class I | (4,200,881) | (14,667,950) |
Total distributions to shareholders | $ (14,831,106) | $ (53,494,102) |
Transactions in shares of beneficial interest: | ||
Class A | $ (4,887,068) | $ (8,254,820) |
Class C | (3,897,819) | (4,029,377) |
Class I | (2,347,074) | 4,202,035 |
Net decrease in net assets from Fund share transactions | $ (11,131,961) | $ (8,082,162) |
Net increase (decrease) in net assets | $ 42,622,632 | $(196,016,346) |
Net Assets | ||
At beginning of period | $ 518,469,278 | $ 714,485,624 |
At end of period | $561,091,910 | $ 518,469,278 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 13.040 | $ 17.640 | $ 12.690 | $ 12.730 | $ 11.830 | $ 12.520 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.276 | $ 0.743 | $ 0.390 | $ 0.392 | $ 0.494 | $ 0.389 |
Net realized and unrealized gain (loss) | 1.470 | (4.024) | 4.992 | — | 0.838 | (0.647) |
Total income (loss) from operations | $ 1.746 | $ (3.281) | $ 5.382 | $ 0.392 | $ 1.332 | $ (0.258) |
Less Distributions | ||||||
From net investment income | $ (0.376) | $ (0.644) | $ (0.432) | $ (0.432) | $ (0.432) | $ (0.432) |
From net realized gain | — | (0.675) | — | — | — | — |
Total distributions | $ (0.376) | $ (1.319) | $ (0.432) | $ (0.432) | $ (0.432) | $ (0.432) |
Net asset value — End of period | $ 14.410 | $ 13.040 | $ 17.640 | $ 12.690 | $ 12.730 | $ 11.830 |
Total Return(2) | 13.58% (3) | (19.65)% | 42.80% | 3.20% | 11.52% | (2.24)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $389,010 | $356,746 | $494,280 | $357,048 | $383,956 | $302,220 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 1.20% (4)(5) | 1.18% (4) | 1.16% | 1.20% | 1.22% | 1.18% |
Net investment income | 4.01% (5) | 4.97% | 2.41% | 3.09% | 4.08% | 3.07% |
Portfolio Turnover | 55% (3) | 99% | 56% | 173% | 128% | 136% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(5) | Annualized. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 13.010 | $ 17.590 | $ 12.650 | $ 12.700 | $ 11.800 | $ 12.480 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.203 | $ 0.612 | $ 0.248 | $ 0.300 | $ 0.312 | $ 0.295 |
Net realized and unrealized gain (loss) | 1.480 | (3.990) | 5.003 | (0.014) | 0.927 | (0.639) |
Total income (loss) from operations | $ 1.683 | $ (3.378) | $ 5.251 | $ 0.286 | $ 1.239 | $ (0.344) |
Less Distributions | ||||||
From net investment income | $ (0.323) | $ (0.527) | $ (0.311) | $ (0.336) | $ (0.339) | $ (0.336) |
From net realized gain | — | (0.675) | — | — | — | — |
Total distributions | $ (0.323) | $ (1.202) | $ (0.311) | $ (0.336) | $ (0.339) | $ (0.336) |
Net asset value — End of period | $14.370 | $13.010 | $17.590 | $12.650 | $12.700 | $ 11.800 |
Total Return(2) | 13.10% (3) | (20.22)% | 41.79% | 2.34% | 10.70% | (2.90)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 18,101 | $ 20,044 | $ 31,961 | $ 42,936 | $ 72,014 | $184,009 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 1.95% (4)(5) | 1.94% (4) | 1.92% | 1.96% | 1.97% | 1.93% |
Net investment income | 2.96% (5) | 4.08% | 1.55% | 2.38% | 2.62% | 2.33% |
Portfolio Turnover | 55% (3) | 99% | 56% | 173% | 128% | 136% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(5) | Annualized. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 13.050 | $ 17.650 | $ 12.700 | $ 12.750 | $ 11.850 | $ 12.530 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.293 | $ 0.788 | $ 0.424 | $ 0.424 | $ 0.503 | $ 0.419 |
Net realized and unrealized gain (loss) | 1.470 | (4.032) | 4.998 | (0.010) | 0.859 | (0.635) |
Total income (loss) from operations | $ 1.763 | $ (3.244) | $ 5.422 | $ 0.414 | $ 1.362 | $ (0.216) |
Less Distributions | ||||||
From net investment income | $ (0.393) | $ (0.681) | $ (0.472) | $ (0.464) | $ (0.462) | $ (0.464) |
From net realized gain | — | (0.675) | — | — | — | — |
Total distributions | $ (0.393) | $ (1.356) | $ (0.472) | $ (0.464) | $ (0.462) | $ (0.464) |
Net asset value — End of period | $ 14.420 | $ 13.050 | $ 17.650 | $ 12.700 | $ 12.750 | $ 11.850 |
Total Return(2) | 13.71% (3) | (19.44)% | 43.12% | 3.38% | 11.78% | (1.91)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $153,981 | $141,680 | $188,245 | $151,266 | $177,646 | $182,260 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.95% (4)(5) | 0.93% (4) | 0.91% | 0.95% | 0.97% | 0.93% |
Net investment income | 4.26% (5) | 5.26% | 2.63% | 3.34% | 4.16% | 3.30% |
Portfolio Turnover | 55% (3) | 99% | 56% | 173% | 128% | 136% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(5) | Annualized. |
Aggregate cost | $411,276,460 |
Gross unrealized appreciation | $ 155,532,877 |
Gross unrealized depreciation | (8,382,049) |
Net unrealized appreciation | $147,150,828 |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.650% |
$500 million but less than $1 billion | 0.625% |
$1 billion but less than $2.5 billion | 0.600% |
$2.5 billion and over | 0.575% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 432,614 | $ 6,009,772 | 837,928 | $ 12,746,332 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 625,786 | 8,554,493 | 1,988,103 | 31,128,867 | |
Redemptions | (1,409,647) | (19,451,333) | (3,492,728) | (52,130,019) | |
Net decrease | (351,247) | $ (4,887,068) | (666,697) | $ (8,254,820) | |
Class C | |||||
Sales | 31,725 | $ 437,253 | 151,545 | $ 2,260,680 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 31,336 | 426,386 | 123,746 | 1,950,604 | |
Redemptions | (344,222) | (4,761,458) | (551,290) | (8,240,661) | |
Net decrease | (281,161) | $ (3,897,819) | (275,999) | $ (4,029,377) | |
Class I | |||||
Sales | 458,833 | $ 6,344,303 | 1,203,000 | $ 18,090,072 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 302,757 | 4,143,687 | 924,788 | 14,449,527 | |
Redemptions | (936,578) | (12,835,064) | (1,937,346) | (28,337,564) | |
Net increase (decrease) | (174,988) | $ (2,347,074) | 190,442 | $ 4,202,035 |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Futures contracts | $7,326,949 (1) | $(4,262,219) (1) |
(1) | Only the current day's variation margin on open futures contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
Futures contracts | $(751,168) (1) | $3,064,730 (2) |
(1) | Statement of Operations location: Net realized gain (loss): Futures contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Futures contracts. |
Futures Contracts — Long | Futures Contracts — Short |
$39,758,000 | $39,794,000 |
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 | $5,023,564 | $56,036,342 | $(58,541,350) | $ — | $ — | $2,518,556 | $41,752 | 2,518,556 |
• | 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 |
Common Stocks: | ||||
Communication Services | $ 19,071,710 | $ 11,595,581 | $ — | $ 30,667,291 |
Consumer Discretionary | 28,677,698 | 41,751,514 | — | 70,429,212 |
Consumer Staples | 11,963,710 | 10,448,851 | — | 22,412,561 |
Energy | 20,140,002 | — | — | 20,140,002 |
Financials | 36,179,819 | 108,130,120 | — | 144,309,939 |
Health Care | 40,785,124 | 37,402,516 | — | 78,187,640 |
Industrials | 18,259,720 | 56,763,211 | — | 75,022,931 |
Information Technology | 56,499,872 | 23,714,120 | — | 80,213,992 |
Materials | — | 19,698,519 | — | 19,698,519 |
Real Estate | 909,331 | — | — | 909,331 |
Utilities | 3,799,320 | 3,309,473 | — | 7,108,793 |
Total Common Stocks | $ 236,286,306 | $ 312,813,905* | $ — | $ 549,100,211 |
Corporate Bonds | $ — | $ 3,743,791 | $ — | $ 3,743,791 |
Short-Term Investments | 2,518,556 | — | — | 2,518,556 |
Total Investments | $ 238,804,862 | $ 316,557,696 | $ — | $ 555,362,558 |
Futures Contracts | $ 6,796,725 | $ 530,224 | $ — | $ 7,326,949 |
Total | $ 245,601,587 | $ 317,087,920 | $ — | $ 562,689,507 |
Liability Description | ||||
Futures Contracts | $ (4,262,219) | $ — | $ — | $ (4,262,219) |
Total | $ (4,262,219) | $ — | $ — | $ (4,262,219) |
* | 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. |
Officers | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
125 Old Broad Street
London, EC2N 1AR
United Kingdom
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 04/22/1998 | 04/22/1998 | 23.64% | 5.88% | 2.94% | 4.44% |
Class A with 5.25% Maximum Sales Charge | — | — | 17.13 | 0.33 | 1.84 | 3.88 |
Class C at NAV | 04/22/1998 | 04/22/1998 | 23.21 | 5.18 | 2.19 | 3.82 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 22.21 | 4.18 | 2.19 | 3.82 |
Class I at NAV | 09/02/2008 | 04/22/1998 | 23.81 | 6.19 | 3.20 | 4.71 |
MSCI EAFE Index | — | — | 24.19% | 8.42% | 3.63% | 4.76% |
% After-Tax Returns with Maximum Sales Charge2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A After Taxes on Distributions | 04/22/1998 | 04/22/1998 | 0.30% | 1.78% | 3.74% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | 0.81 | 1.75 | 3.39 |
Class C After Taxes on Distributions | 04/22/1998 | 04/22/1998 | 4.33 | 2.34 | 3.77 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | 2.99 | 2.08 | 3.34 |
Class I After Taxes on Distributions | 09/02/2008 | 04/22/1998 | 6.10 | 3.09 | 4.52 |
Class I After Taxes on Distributions and Sale of Fund Shares | — | — | 4.36 | 2.86 | 4.09 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 1.46% | 2.21% | 1.21% |
Net | 1.05 | 1.80 | 0.80 |
Sector Allocation (% of net assets)1 |
Geographic Allocation (% of common stocks) |
Top 10 Holdings (% of net assets)1 | |
Cie Financiere Richemont S.A., Class A | 1.4% |
Nestle S.A. | 1.3 |
Air Liquide S.A. | 1.0 |
E.ON SE | 0.9 |
AstraZeneca PLC | 0.9 |
Novo Nordisk A/S, Class B | 0.9 |
Deutsche Telekom AG | 0.8 |
TotalEnergies SE | 0.8 |
LVMH Moet Hennessy Louis Vuitton SE | 0.8 |
Shell PLC | 0.8 |
Total | 9.6% |
1 | Excludes cash and cash equivalents. |
1 | MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. After-tax returns are calculated using certain assumptions, including using the highest historical individual federal income tax rates, and do not reflect the impact of state/local taxes. Actual after-tax returns depend on a shareholder’s tax situation and the actual characterization of distributions and may differ from those shown. After-tax returns are not relevant to shareholders who hold shares in tax-deferred accounts or shares held by nontaxable entities. Return After Taxes on Distributions may be the same as Return Before Taxes for the same period because no taxable distributions were made during that period. Return After Taxes on Distributions and Sale of Fund Shares may be greater than or equal to Return After Taxes on Distributions for the same period because of losses realized on the sale of Fund shares. The Fund’s after-tax returns also may reflect foreign tax credits passed by the Fund to its shareholders.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 2/29/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,236.40 | $5.82** | 1.05% |
Class C | $1,000.00 | $1,232.10 | $9.96** | 1.80% |
Class I | $1,000.00 | $1,238.10 | $4.44** | 0.80% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.59 | $5.26** | 1.05% |
Class C | $1,000.00 | $1,015.87 | $9.00** | 1.80% |
Class I | $1,000.00 | $1,020.83 | $4.01** | 0.80% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
** | Absent an allocation of certain expenses to affiliates, expenses would be higher. |
April 30, 2023 | |
Assets | |
Investment in Tax-Managed International Equity Portfolio, at value (identified cost $34,537,235) | $ 37,845,693 |
Receivable for Fund shares sold | 2,613 |
Receivable from affiliate | 4,581 |
Total assets | $37,852,887 |
Liabilities | |
Payable for Fund shares redeemed | $ 2,621 |
Payable to affiliates: | |
Distribution and service fees | 3,875 |
Trustees' fees | 43 |
Accrued expenses | 36,011 |
Total liabilities | $ 42,550 |
Net Assets | $37,810,337 |
Sources of Net Assets | |
Paid-in capital | $ 35,168,952 |
Distributable earnings | 2,641,385 |
Net Assets | $37,810,337 |
Class A Shares | |
Net Assets | $ 18,302,834 |
Shares Outstanding | 1,521,316 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 12.03 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 12.70 |
Class C Shares | |
Net Assets | $ 197,653 |
Shares Outstanding | 17,251 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 11.46 |
Class I Shares | |
Net Assets | $ 19,309,850 |
Shares Outstanding | 1,610,507 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 11.99 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $87,688) | $ 578,718 |
Securities lending income allocated from Portfolio, net | 15,878 |
Expenses allocated from Portfolio | (130,586) |
Total investment income from Portfolio | $ 464,010 |
Expenses | |
Distribution and service fees: | |
Class A | $ 21,776 |
Class C | 1,116 |
Trustees’ fees and expenses | 250 |
Custodian fee | 11,921 |
Transfer and dividend disbursing agent fees | 31,271 |
Legal and accounting services | 3,317 |
Printing and postage | 5,600 |
Registration fees | 27,152 |
Miscellaneous | 5,173 |
Total expenses | $ 107,576 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 70,728 |
Total expense reductions | $ 70,728 |
Net expenses | $ 36,848 |
Net investment income | $ 427,162 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ 720,679 |
Foreign currency transactions | 7,636 |
Net realized gain | $ 728,315 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 6,402,283 |
Foreign currency | 11,666 |
Net change in unrealized appreciation (depreciation) | $6,413,949 |
Net realized and unrealized gain | $7,142,264 |
Net increase in net assets from operations | $7,569,426 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 427,162 | $ 778,148 |
Net realized gain (loss) | 728,315 | (681,874) |
Net change in unrealized appreciation (depreciation) | 6,413,949 | (10,804,696) |
Net increase (decrease) in net assets from operations | $ 7,569,426 | $(10,708,422) |
Distributions to shareholders: | ||
Class A | $ (296,735) | $ (449,871) |
Class C | (2,201) | (4,143) |
Class I | (362,220) | (383,363) |
Total distributions to shareholders | $ (661,156) | $ (837,377) |
Transactions in shares of beneficial interest: | ||
Class A | $ (664,122) | $ (671,576) |
Class C | (53,194) | (121,046) |
Class I | (1,780,418) | 6,720,798 |
Net increase (decrease) in net assets from Fund share transactions | $ (2,497,734) | $ 5,928,176 |
Net increase (decrease) in net assets | $ 4,410,536 | $ (5,617,623) |
Net Assets | ||
At beginning of period | $ 33,399,801 | $ 39,017,424 |
At end of period | $37,810,337 | $ 33,399,801 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.900 | $13.550 | $ 10.480 | $ 11.330 | $ 10.370 | $ 11.310 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.127 | $ 0.230 | $ 0.250 | $ 0.147 | $ 0.242 | $ 0.179 |
Net realized and unrealized gain (loss) | 2.194 | (3.606) | 2.955 | (0.738) | 0.887 | (0.848) |
Total income (loss) from operations | $ 2.321 | $ (3.376) | $ 3.205 | $ (0.591) | $ 1.129 | $ (0.669) |
Less Distributions | ||||||
From net investment income | $ (0.191) | $ (0.274) | $ (0.135) | $ (0.259) | $ (0.169) | $ (0.271) |
Total distributions | $ (0.191) | $ (0.274) | $ (0.135) | $ (0.259) | $ (0.169) | $ (0.271) |
Net asset value — End of period | $12.030 | $ 9.900 | $13.550 | $10.480 | $11.330 | $10.370 |
Total Return(2)(3) | 23.64% (4) | (25.40)% | 30.73% | (5.41)% | 11.16% | (6.09)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 18,303 | $15,637 | $ 22,264 | $ 18,165 | $ 21,757 | $ 17,824 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3) | 1.05% (6)(7) | 1.05% (7) | 1.05% | 1.05% | 1.05% | 1.05% |
Net investment income | 2.27% (6) | 1.97% | 1.93% | 1.37% | 2.26% | 1.59% |
Portfolio Turnover of the Portfolio | 18% (4) | 22% | 23% | 10% | 37% | 30% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The administrator of the Fund and sub-adviser of the Portfolio reimbursed certain operating expenses (equal to 0.39%, 0.41%, 0.34%, 0.45%, 0.51% and 0.41% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.390 | $12.840 | $ 9.900 | $10.690 | $ 9.770 | $10.670 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.070 | $ 0.133 | $ 0.133 | $ 0.062 | $ 0.119 | $ 0.086 |
Net realized and unrealized gain (loss) | 2.100 | (3.431) | 2.807 | (0.701) | 0.886 | (0.794) |
Total income (loss) from operations | $ 2.170 | $ (3.298) | $ 2.940 | $ (0.639) | $ 1.005 | $ (0.708) |
Less Distributions | ||||||
From net investment income | $ (0.100) | $ (0.152) | $ — | $ (0.151) | $ (0.085) | $ (0.192) |
Total distributions | $ (0.100) | $ (0.152) | $ — | $ (0.151) | $ (0.085) | $ (0.192) |
Net asset value — End of period | $11.460 | $ 9.390 | $12.840 | $ 9.900 | $10.690 | $ 9.770 |
Total Return(2)(3) | 23.21% (4) | (25.98)% | 29.70% | (6.11)% | 10.42% | (6.78)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 198 | $ 209 | $ 419 | $ 598 | $ 1,862 | $ 6,186 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3) | 1.80% (6)(7) | 1.80% (7) | 1.80% | 1.80% | 1.80% | 1.80% |
Net investment income | 1.31% (6) | 1.19% | 1.09% | 0.62% | 1.20% | 0.81% |
Portfolio Turnover of the Portfolio | 18% (4) | 22% | 23% | 10% | 37% | 30% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The administrator of the Fund and sub-adviser of the Portfolio reimbursed certain operating expenses (equal to 0.39%, 0.41%, 0.34%, 0.45%, 0.51% and 0.41% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.880 | $13.520 | $ 10.460 | $ 11.310 | $ 10.350 | $ 11.290 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.140 | $ 0.260 | $ 0.289 | $ 0.173 | $ 0.264 | $ 0.198 |
Net realized and unrealized gain (loss) | 2.190 | (3.592) | 2.934 | (0.736) | 0.895 | (0.840) |
Total income (loss) from operations | $ 2.330 | $ (3.332) | $ 3.223 | $ (0.563) | $ 1.159 | $ (0.642) |
Less Distributions | ||||||
From net investment income | $ (0.220) | $ (0.308) | $ (0.163) | $ (0.287) | $ (0.199) | $ (0.298) |
Total distributions | $ (0.220) | $ (0.308) | $ (0.163) | $ (0.287) | $ (0.199) | $ (0.298) |
Net asset value — End of period | $11.990 | $ 9.880 | $13.520 | $10.460 | $11.310 | $10.350 |
Total Return(2)(3) | 23.81% (4) | (25.19)% | 30.99% | (5.19)% | 11.52% | (5.88)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 19,310 | $17,554 | $ 16,335 | $ 11,560 | $ 13,301 | $ 12,011 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3) | 0.80% (6)(7) | 0.80% (7) | 0.80% | 0.80% | 0.80% | 0.80% |
Net investment income | 2.50% (6) | 2.27% | 2.23% | 1.62% | 2.48% | 1.76% |
Portfolio Turnover of the Portfolio | 18% (4) | 22% | 23% | 10% | 37% | 30% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | The administrator of the Fund and sub-adviser of the Portfolio reimbursed certain operating expenses (equal to 0.39%, 0.41%, 0.34%, 0.45%, 0.51% and 0.41% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.500% |
$1 billion but less than $2.5 billion | 0.475% |
$2.5 billion but less than $5.0 billion | 0.455% |
$5 billion and over | 0.440% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 3,903 | $ 43,644 | 31,676 | $ 383,229 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 25,064 | 273,696 | 31,812 | 416,101 | |
Redemptions | (87,729) | (981,462) | (126,605) | (1,470,906) | |
Net decrease | (58,762) | $ (664,122) | (63,117) | $ (671,576) | |
Class C | |||||
Sales | 765 | $ 8,221 | 2,090 | $ 24,376 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 206 | 2,152 | 326 | 4,067 | |
Redemptions | (5,943) | (63,567) | (12,818) | (149,489) | |
Net decrease | (4,972) | $ (53,194) | (10,402) | $ (121,046) |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Sales | 154,968 | $ 1,758,542 | 1,168,258 | $ 13,128,703 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 32,490 | 353,494 | 28,431 | 370,458 | |
Redemptions | (354,122) | (3,892,454) | (627,257) | (6,778,363) | |
Net increase (decrease) | (166,664) | $(1,780,418) | 569,432 | $ 6,720,798 |
Common Stocks — 99.0% |
Security | Shares | Value | |
Australia — 8.5% | |||
AGL Energy, Ltd. | 25,617 | $ 141,021 | |
Altium, Ltd. | 3,632 | 92,584 | |
ANZ Group Holdings, Ltd. | 5,526 | 89,732 | |
APA Group | 28,788 | 196,548 | |
ASX, Ltd.(1) | 1,525 | 69,402 | |
Atlas Arteria, Ltd. | 8,782 | 38,183 | |
Aurizon Holdings, Ltd. | 14,009 | 31,852 | |
Bapcor, Ltd. | 6,563 | 28,638 | |
BHP Group, Ltd. | 8,183 | 242,851 | |
Brambles, Ltd. | 17,422 | 165,036 | |
carsales.com, Ltd.(1) | 8,541 | 135,446 | |
Charter Hall Group | 2,482 | 18,466 | |
Charter Hall Long Wale REIT | 6,388 | 18,492 | |
Charter Hall Retail REIT | 6,757 | 17,393 | |
Cleanaway Waste Management, Ltd.(1) | 15,558 | 25,055 | |
Coles Group, Ltd. | 12,714 | 153,587 | |
Computershare, Ltd. | 7,415 | 110,378 | |
Cromwell Property Group | 20,061 | 7,602 | |
CSL, Ltd. | 2,625 | 524,046 | |
Dexus | 13,975 | 72,432 | |
Elders, Ltd.(1) | 3,009 | 16,201 | |
Endeavour Group, Ltd.(1) | 5,423 | 24,443 | |
EVT, Ltd.(1) | 4,376 | 35,070 | |
GPT Group (The)(1) | 22,015 | 64,736 | |
Hansen Technologies, Ltd. | 14,633 | 43,830 | |
Harvey Norman Holdings, Ltd.(1) | 17,000 | 40,827 | |
Healius, Ltd. | 16,449 | 32,689 | |
InvoCare, Ltd.(1) | 3,423 | 25,281 | |
IPH, Ltd.(1) | 4,980 | 26,940 | |
IRESS, Ltd.(1) | 7,406 | 50,887 | |
JB Hi-Fi, Ltd.(1) | 1,878 | 55,581 | |
Lendlease Corp., Ltd.(1) | 9,400 | 46,684 | |
Link Administration Holdings, Ltd. | 16,267 | 22,950 | |
Lottery Corp. Ltd. | 26,454 | 88,700 | |
Medibank Private, Ltd. | 16,474 | 38,987 | |
Mirvac Group(1) | 41,842 | 67,174 | |
National Australia Bank, Ltd. | 6,485 | 124,844 | |
New Hope Corp., Ltd. | 6,072 | 21,464 | |
Newcrest Mining, Ltd. | 2,354 | 44,949 | |
NEXTDC, Ltd.(1)(2) | 10,100 | 77,503 | |
Nine Entertainment Co. Holdings, Ltd.(1) | 46,592 | 64,269 | |
Northern Star Resources, Ltd.(1) | 3,606 | 32,165 | |
oOh!media, Ltd. | 34,508 | 37,809 | |
Orica, Ltd. | 4,147 | 44,762 |
Security | Shares | Value | |
Australia (continued) | |||
PEXA Group, Ltd.(1)(2) | 2,163 | $ 19,196 | |
QBE Insurance Group, Ltd. | 5,122 | 52,377 | |
Qube Holdings, Ltd. | 28,277 | 57,849 | |
Region RE, Ltd. | 20,523 | 33,585 | |
Rio Tinto, Ltd. | 2,262 | 169,660 | |
Santos, Ltd.(1) | 20,873 | 98,877 | |
Scentre Group | 43,799 | 84,054 | |
SiteMinder, Ltd.(1)(2) | 12,563 | 30,470 | |
Stockland | 21,890 | 64,890 | |
Suncorp Group, Ltd. | 10,185 | 84,801 | |
Super Retail Group, Ltd. | 3,314 | 29,907 | |
Technology One, Ltd. | 10,774 | 108,621 | |
Telstra Group, Ltd. | 78,759 | 228,497 | |
TPG Telecom, Ltd. | 20,255 | 72,300 | |
Transurban Group | 22,607 | 225,466 | |
Vicinity, Ltd. | 39,555 | 55,297 | |
Viva Energy Group, Ltd.(3) | 12,311 | 25,447 | |
Waypoint REIT, Ltd. | 9,833 | 17,078 | |
Wesfarmers, Ltd. | 7,953 | 275,121 | |
Westpac Banking Corp. | 7,685 | 115,038 | |
Whitehaven Coal, Ltd. | 17,283 | 82,937 | |
Woodside Energy Group, Ltd. | 13,621 | 309,065 | |
Woolworths Group, Ltd.(1) | 14,196 | 366,212 | |
Yancoal Australia, Ltd.(1) | 6,032 | 22,299 | |
$ 5,936,533 | |||
Austria — 1.1% | |||
ams-OSRAM AG(1)(2) | 3,049 | $ 21,057 | |
ANDRITZ AG(1) | 1,285 | 83,455 | |
AT&S Austria Technologie & Systemtechnik AG(1) | 704 | 21,528 | |
BAWAG Group AG(2)(3) | 407 | 19,851 | |
CA Immobilien Anlagen AG(1)(2) | 2,850 | 82,683 | |
DO & Co. AG(2) | 185 | 21,669 | |
Erste Group Bank AG(1) | 2,269 | 82,499 | |
Kontron AG | 1,191 | 23,047 | |
Mayr-Melnhof Karton AG | 125 | 19,955 | |
OMV AG(1) | 1,834 | 86,790 | |
PIERER Mobility AG(1) | 420 | 35,822 | |
Rhi Magnesita NV | 764 | 21,716 | |
Telekom Austria AG(1)(2) | 8,000 | 62,457 | |
Verbund AG(1) | 1,229 | 109,455 | |
voestalpine AG(1) | 1,326 | 45,975 | |
$ 737,959 | |||
Belgium — 2.2% | |||
Ackermans & van Haaren NV | 698 | $ 122,775 |
Security | Shares | Value | |
Belgium (continued) | |||
Aedifica S.A. | 519 | $ 43,353 | |
Ageas S.A./NV | 1,164 | 51,863 | |
Anheuser-Busch InBev S.A./NV | 2,419 | 157,282 | |
Barco NV | 2,270 | 66,296 | |
Cofinimmo S.A.(1)(2) | 488 | 46,621 | |
Deme Group NV(2) | 224 | 29,641 | |
D'Ieteren Group | 715 | 134,626 | |
Econocom Group S.A./NV | 10,730 | 36,856 | |
Elia Group S.A./NV | 938 | 128,619 | |
Etablissements Franz Colruyt NV | 478 | 13,278 | |
Euronav NV | 5,526 | 94,665 | |
EVS Broadcast Equipment S.A. | 1,740 | 42,411 | |
Fagron | 1,130 | 21,005 | |
KBC Group NV | 1,270 | 90,790 | |
Montea NV | 196 | 17,172 | |
Proximus SADP | 9,427 | 80,361 | |
Shurgard Self Storage, Ltd. | 370 | 19,131 | |
Solvay S.A. | 537 | 64,450 | |
UCB S.A. | 1,600 | 148,732 | |
Umicore S.A.(1) | 2,338 | 76,746 | |
Xior Student Housing NV | 621 | 19,722 | |
$ 1,506,395 | |||
Denmark — 4.5% | |||
AP Moller - Maersk A/S, Class A | 34 | $ 60,764 | |
AP Moller - Maersk A/S, Class B | 45 | 81,340 | |
Carlsberg A/S, Class B | 2,327 | 385,111 | |
Chr. Hansen Holding A/S | 2,271 | 176,751 | |
Danske Bank A/S(2) | 7,716 | 163,076 | |
DSV A/S | 1,024 | 192,719 | |
ISS A/S | 1,180 | 24,671 | |
NKT A/S(2) | 462 | 24,280 | |
Novo Nordisk A/S, Class B(1) | 3,719 | 618,672 | |
Novozymes A/S, Class B(1) | 4,578 | 238,343 | |
Orsted A/S(3) | 4,338 | 389,336 | |
Pandora A/S | 2,364 | 218,816 | |
Scandinavian Tobacco Group A/S, Class A(1)(3) | 5,079 | 99,203 | |
SimCorp A/S | 1,532 | 166,062 | |
Sydbank A/S | 1,310 | 58,445 | |
Topdanmark A/S | 972 | 51,311 | |
TORM PLC, Class A | 907 | 28,389 | |
Tryg A/S | 5,012 | 118,448 | |
$ 3,095,737 | |||
Finland — 2.0% | |||
Elisa Oyj | 2,351 | $ 146,000 |
Security | Shares | Value | |
Finland (continued) | |||
Fortum Oyj | 7,644 | $ 114,171 | |
Kemira Oyj | 2,727 | 47,836 | |
Kesko Oyj, Class B | 4,942 | 103,030 | |
Kojamo Oyj | 3,939 | 48,909 | |
Kone Oyj, Class B | 1,969 | 112,333 | |
Neste Oyj | 2,521 | 122,179 | |
Nokia Oyj | 23,544 | 99,618 | |
Nokian Renkaat Oyj | 5,452 | 53,115 | |
Nordea Bank Abp | 13,924 | 154,686 | |
Orion Oyj, Class B | 2,997 | 140,778 | |
TietoEVRY Oyj(1) | 956 | 30,548 | |
Tokmanni Group Corp. | 4,468 | 61,190 | |
UPM-Kymmene Oyj | 3,680 | 117,357 | |
Valmet Oyj(1) | 1,377 | 46,586 | |
$ 1,398,336 | |||
France — 8.8% | |||
Air Liquide S.A. | 3,703 | $ 666,134 | |
Airbus SE | 780 | 109,227 | |
Altarea SCA | 326 | 42,676 | |
AXA S.A.(1) | 6,703 | 218,787 | |
BNP Paribas S.A. | 3,328 | 215,034 | |
Bollore SE | 13,714 | 92,643 | |
Bouygues S.A.(1) | 1,100 | 40,281 | |
Capgemini SE | 1,114 | 203,146 | |
Carrefour S.A. | 5,094 | 105,958 | |
Cie Generale des Etablissements Michelin SCA | 2,492 | 79,364 | |
Danone S.A. | 2,980 | 197,227 | |
Edenred | 1,068 | 69,392 | |
Engie S.A.(1) | 23,380 | 374,180 | |
Eurofins Scientific SE(1) | 1,294 | 90,386 | |
Eutelsat Communications S.A.(1) | 3,313 | 22,024 | |
Gecina S.A. | 1,055 | 117,445 | |
Getlink SE | 2,197 | 41,060 | |
ICADE | 1,083 | 50,864 | |
Ipsen S.A. | 787 | 95,436 | |
IPSOS | 484 | 26,243 | |
Klepierre S.A. | 4,222 | 106,944 | |
Legrand S.A. | 560 | 53,006 | |
L'Oreal S.A. | 281 | 134,295 | |
LVMH Moet Hennessy Louis Vuitton SE | 596 | 573,281 | |
Metropole Television S.A.(1) | 1,562 | 25,218 | |
Neoen S.A.(3) | 2,543 | 76,349 | |
Orange S.A. | 25,469 | 331,502 | |
Pernod Ricard S.A. | 786 | 181,526 | |
Rothschild & Co. | 845 | 43,622 |
Security | Shares | Value | |
France (continued) | |||
Rubis SCA | 2,794 | $ 82,573 | |
Safran S.A. | 386 | 60,031 | |
Sanofi | 3,896 | 419,865 | |
Sopra Steria Group SACA | 385 | 83,339 | |
Teleperformance | 177 | 35,375 | |
Thales S.A. | 600 | 91,562 | |
TotalEnergies SE | 9,024 | 576,633 | |
Ubisoft Entertainment S.A.(2) | 1,529 | 44,780 | |
Vinci S.A.(1) | 1,159 | 143,358 | |
Vivendi SE(1) | 7,851 | 86,239 | |
Voltalia S.A.(1)(2) | 1,827 | 27,776 | |
Worldline S.A.(2)(3) | 2,484 | 108,061 | |
$ 6,142,842 | |||
Germany — 9.0% | |||
AIXTRON SE | 763 | $ 21,602 | |
Allianz SE | 1,068 | 268,182 | |
BASF SE | 4,755 | 245,948 | |
Bayer AG | 4,117 | 271,707 | |
Bayerische Motoren Werke AG | 1,291 | 144,701 | |
Bayerische Motoren Werke AG, PFC Shares | 256 | 27,211 | |
Bechtle AG | 893 | 41,533 | |
Brenntag SE | 725 | 59,091 | |
Continental AG | 331 | 23,225 | |
Cropenergies AG | 2,253 | 26,093 | |
Daimler Truck Holding AG(2) | 1,859 | 61,427 | |
Deutsche Boerse AG | 659 | 125,677 | |
Deutsche Lufthansa AG(2) | 5,121 | 55,050 | |
Deutsche Telekom AG | 24,422 | 588,858 | |
Deutsche Wohnen SE | 2,636 | 59,686 | |
Dr. Ing hc F Porsche AG, PFC Shares(2) | 202 | 25,294 | |
E.ON SE | 49,704 | 657,472 | |
Evonik Industries AG | 3,498 | 76,349 | |
Fresenius Medical Care AG & Co. KGaA | 808 | 39,207 | |
Fresenius SE & Co. KGaA | 1,555 | 45,055 | |
Gea Group AG | 1,075 | 50,560 | |
Gerresheimer AG | 321 | 34,979 | |
Hamborner REIT AG | 13,027 | 102,765 | |
Hannover Rueck SE | 220 | 47,005 | |
Henkel AG & Co. KGaA | 2,701 | 199,750 | |
Henkel AG & Co. KGaA, PFC Shares | 3,830 | 309,650 | |
K+S AG | 3,195 | 63,727 | |
Knorr-Bremse AG | 398 | 27,897 | |
Mercedes-Benz Group AG | 2,040 | 159,091 | |
Merck KGaA(2) | 792 | 142,060 | |
MTU Aero Engines AG | 190 | 49,888 |
Security | Shares | Value | |
Germany (continued) | |||
Muenchener Rueckversicherungs-Gesellschaft AG(2) | 361 | $ 135,674 | |
Porsche Automobil Holding SE, PFC Shares | 452 | 25,175 | |
QIAGEN NV(2) | 1,735 | 77,591 | |
Rheinmetall AG | 216 | 63,265 | |
RWE AG(2) | 1,362 | 63,859 | |
SAP SE | 3,795 | 513,525 | |
Siemens AG | 1,574 | 259,446 | |
Software AG | 2,115 | 72,256 | |
Suedzucker AG | 9,335 | 188,576 | |
Symrise AG | 1,413 | 170,722 | |
Talanx AG | 1,186 | 59,651 | |
Telefonica Deutschland Holding AG | 23,557 | 79,598 | |
Vitesco Technologies Group AG(2) | 445 | 30,474 | |
Volkswagen AG | 307 | 51,543 | |
Volkswagen AG, PFC Shares | 790 | 107,874 | |
Vonovia SE | 14,528 | 315,091 | |
$ 6,265,060 | |||
Hong Kong — 4.2% | |||
AIA Group, Ltd. | 28,800 | $ 313,548 | |
ASMPT, Ltd. | 2,900 | 22,800 | |
Bank of East Asia, Ltd. (The) | 28,200 | 37,165 | |
Beijing Tong Ren Tang Chinese Medicine Co., Ltd.(1) | 21,000 | 42,911 | |
BOC Hong Kong Holdings, Ltd. | 23,500 | 74,183 | |
Budweiser Brewing Co. APAC, Ltd.(3) | 66,900 | 193,288 | |
Cafe de Coral Holdings, Ltd. | 22,000 | 30,815 | |
China Evergrande New Energy Vehicle Group, Ltd.(1)(2)(4) | 88,500 | 0 | |
China Traditional Chinese Medicine Holdings Co., Ltd. | 60,000 | 32,799 | |
Chow Sang Sang Holdings International, Ltd. | 18,000 | 23,650 | |
Chow Tai Fook Jewellery Group, Ltd. | 30,800 | 61,853 | |
CK Asset Holdings, Ltd. | 13,500 | 79,827 | |
CK Hutchison Holdings, Ltd. | 21,500 | 143,737 | |
CK Infrastructure Holdings, Ltd. | 4,500 | 25,620 | |
CLP Holdings, Ltd. | 19,500 | 145,192 | |
C-Mer Eye Care Holdings, Ltd.(1)(2) | 44,000 | 25,205 | |
Fosun International, Ltd. | 54,000 | 37,871 | |
Galaxy Entertainment Group, Ltd.(2) | 23,000 | 163,698 | |
Hang Lung Group, Ltd. | 16,000 | 28,128 | |
Hang Lung Properties, Ltd. | 19,000 | 34,731 | |
Hang Seng Bank, Ltd. | 3,700 | 54,845 | |
HK Electric Investments & HK Electric Investments, Ltd. | 64,500 | 40,675 | |
HKT Trust and HKT, Ltd. | 126,000 | 165,598 | |
Hong Kong & China Gas Co., Ltd. | 147,906 | 131,330 | |
Hongkong Land Holdings, Ltd. | 8,900 | 39,609 | |
Hutchison Telecommunications Hong Kong Holdings, Ltd. | 142,000 | 24,634 | |
Hysan Development Co., Ltd. | 5,000 | 14,130 |
Security | Shares | Value | |
Hong Kong (continued) | |||
In Technical Productions Holdings, Ltd.(2) | 32,000 | $ 30,203 | |
Jardine Matheson Holdings, Ltd. | 2,200 | 106,352 | |
Kerry Properties, Ltd. | 10,000 | 25,801 | |
Luk Fook Holdings International, Ltd. | 15,000 | 48,068 | |
MGM China Holdings, Ltd.(2) | 25,600 | 34,966 | |
MTR Corp., Ltd. | 10,500 | 52,463 | |
NWS Holdings, Ltd. | 51,000 | 44,174 | |
Pacific Basin Shipping, Ltd. | 119,000 | 41,407 | |
PAX Global Technology, Ltd. | 75,000 | 61,781 | |
Power Assets Holdings, Ltd. | 15,500 | 88,572 | |
Shangri-La Asia, Ltd.(2) | 48,000 | 44,281 | |
Sino Land Co., Ltd. | 32,000 | 43,122 | |
Sun Hung Kai Properties, Ltd. | 8,000 | 111,386 | |
Swire Pacific, Ltd., Class A | 4,000 | 31,752 | |
VSTECS Holdings, Ltd. | 60,000 | 34,470 | |
VTech Holdings, Ltd. | 10,000 | 60,035 | |
Wharf Holdings, Ltd. | 13,000 | 29,726 | |
Yue Yuen Industrial Holdings, Ltd. | 24,000 | 36,118 | |
Zhongyu Energy Holdings, Ltd.(1) | 36,000 | 27,949 | |
$ 2,940,468 | |||
Ireland — 2.2% | |||
Bank of Ireland Group PLC | 24,074 | $ 248,995 | |
CRH PLC | 5,583 | 269,402 | |
DCC PLC | 1,417 | 88,162 | |
Fineos Corp. Holdings PLC CDI(2) | 16,777 | 19,315 | |
Flutter Entertainment PLC(2) | 1,544 | 308,518 | |
Grafton Group PLC | 5,892 | 64,264 | |
ICON PLC ADR(2) | 1,080 | 208,105 | |
Irish Continental Group PLC | 6,302 | 32,511 | |
Irish Residential Properties REIT PLC(1) | 33,524 | 38,151 | |
Kerry Group PLC, Class A | 2,357 | 248,250 | |
$ 1,525,673 | |||
Israel — 2.3% | |||
Alony Hetz Properties & Investments, Ltd. | 3,951 | $ 31,198 | |
Amot Investments, Ltd. | 5,499 | 29,142 | |
Azrieli Group, Ltd. | 509 | 29,683 | |
Bank Hapoalim B.M. | 4,902 | 42,229 | |
Bank Leumi Le-Israel B.M. | 6,149 | 48,741 | |
Bezeq The Israeli Telecommunication Corp., Ltd. | 74,540 | 101,481 | |
Cellcom Israel, Ltd.(2) | 4,833 | 17,333 | |
Check Point Software Technologies, Ltd.(2) | 385 | 49,034 | |
Delek Automotive Systems, Ltd. | 2,848 | 22,993 | |
Delek Group, Ltd. | 711 | 77,453 | |
Delta Galil, Ltd. | 490 | 20,738 |
Security | Shares | Value | |
Israel (continued) | |||
Elbit Systems, Ltd. | 297 | $ 54,980 | |
Electra, Ltd. | 76 | 32,646 | |
Energix-Renewable Energies, Ltd. | 13,304 | 39,592 | |
Enlight Renewable Energy, Ltd.(2) | 4,973 | 82,415 | |
Fattal Holdings 1998, Ltd.(2) | 339 | 30,458 | |
Fiverr International, Ltd.(2) | 953 | 34,804 | |
Fox Wizel, Ltd. | 492 | 41,395 | |
ICL Group, Ltd. | 25,308 | 157,183 | |
Maytronics, Ltd. | 4,367 | 45,952 | |
Melisron, Ltd. | 379 | 25,337 | |
Mizrahi Tefahot Bank, Ltd. | 781 | 25,611 | |
Nice, Ltd.(2) | 412 | 84,452 | |
Oil Refineries, Ltd. | 76,583 | 21,324 | |
OPC Energy, Ltd.(2) | 2,511 | 17,917 | |
OY Nofar Energy, Ltd.(2) | 888 | 20,238 | |
Partner Communications Co., Ltd.(2) | 3,786 | 18,446 | |
Plus500, Ltd. | 1,094 | 22,887 | |
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 427 | 24,383 | |
Reit 1, Ltd. | 7,407 | 31,753 | |
Shapir Engineering and Industry, Ltd. | 3,467 | 24,777 | |
Shufersal, Ltd.(2) | 11,960 | 60,964 | |
Strauss Group, Ltd.(2) | 1,358 | 30,281 | |
Teva Pharmaceutical Industries, Ltd. ADR(2) | 19,132 | 167,022 | |
$ 1,564,842 | |||
Italy — 4.3% | |||
Assicurazioni Generali SpA | 4,184 | $ 87,145 | |
Banco BPM SpA(1) | 12,713 | 51,692 | |
Cementir Holding NV | 6,913 | 57,992 | |
CNH Industrial NV | 8,265 | 116,304 | |
Davide Campari-Milano NV(1) | 14,115 | 181,907 | |
De'Longhi SpA | 1,200 | 27,883 | |
DiaSorin SpA | 977 | 106,115 | |
Enav SpA(3) | 5,309 | 24,949 | |
Enel SpA | 40,123 | 274,125 | |
Eni SpA(1) | 24,005 | 362,653 | |
Ferrari NV | 793 | 220,968 | |
GVS SpA(2)(3) | 4,062 | 27,724 | |
Infrastrutture Wireless Italiane SpA(3) | 18,725 | 259,894 | |
Italgas SpA | 7,381 | 48,194 | |
Italmobiliare SpA | 1,360 | 38,380 | |
Leonardo SpA | 3,639 | 43,366 | |
Mediobanca Banca di Credito Finanziario SpA | 2,659 | 28,555 | |
MFE-MediaForEurope NV, Class B | 9,790 | 7,213 | |
Poste Italiane SpA(3) | 5,564 | 57,904 | |
Prysmian SpA(1) | 2,617 | 107,102 |
Security | Shares | Value | |
Italy (continued) | |||
RAI Way SpA(3) | 4,122 | $ 26,406 | |
Recordati Industria Chimica e Farmaceutica SpA | 4,029 | 185,465 | |
Stellantis NV | 6,033 | 100,067 | |
STMicroelectronics NV | 7,572 | 323,673 | |
Technogym SpA(3) | 2,741 | 25,012 | |
Terna - Rete Elettrica Nazionale | 8,968 | 77,625 | |
UniCredit SpA(1) | 5,306 | 105,141 | |
UnipolSai Assicurazioni SpA(1) | 10,716 | 28,828 | |
$ 3,002,282 | |||
Japan — 12.5% | |||
Advance Residence Investment Corp. | 13 | $ 33,730 | |
Aeon Co., Ltd. | 3,100 | 63,184 | |
Air Water, Inc. | 2,000 | 25,272 | |
Ajinomoto Co., Inc. | 1,400 | 50,350 | |
ANA Holdings, Inc.(2) | 1,100 | 23,994 | |
Asahi Group Holdings, Ltd. | 1,800 | 69,541 | |
Asahi Kasei Corp. | 8,100 | 57,212 | |
Astellas Pharma, Inc. | 6,200 | 93,400 | |
Bandai Namco Holdings, Inc. | 2,400 | 54,517 | |
Bridgestone Corp. | 1,600 | 64,253 | |
Canon, Inc. | 1,500 | 35,726 | |
Capcom Co., Ltd. | 1,300 | 48,851 | |
Chiba Bank, Ltd. (The) | 7,000 | 45,710 | |
Chubu Electric Power Co., Inc. | 7,300 | 81,412 | |
Chugai Pharmaceutical Co., Ltd. | 2,700 | 69,675 | |
Concordia Financial Group, Ltd. | 10,800 | 40,979 | |
Dai-ichi Life Holdings, Inc. | 3,000 | 55,802 | |
Daiichi Sankyo Co., Ltd. | 5,700 | 195,593 | |
Daikin Industries, Ltd. | 500 | 90,816 | |
Daiwa House Industry Co., Ltd. | 3,500 | 89,210 | |
Daiwa House REIT Investment Corp. | 23 | 48,936 | |
Denso Corp.(1) | 1,000 | 60,364 | |
Dentsu Group, Inc.(1) | 1,500 | 54,052 | |
Disco Corp. | 600 | 68,313 | |
East Japan Railway Co. | 900 | 51,499 | |
Eisai Co., Ltd.(1) | 1,400 | 80,785 | |
ENEOS Holdings, Inc. | 31,200 | 110,995 | |
FANUC Corp. | 1,000 | 33,771 | |
Fast Retailing Co., Ltd. | 300 | 71,041 | |
Frontier Real Estate Investment Corp. | 8 | 28,904 | |
FUJIFILM Holdings Corp. | 500 | 26,060 | |
Fujitsu, Ltd. | 300 | 39,983 | |
GLP J-REIT | 41 | 46,846 | |
Hirose Electric Co., Ltd. | 315 | 42,512 | |
Hitachi, Ltd. | 1,300 | 71,909 |
Security | Shares | Value | |
Japan (continued) | |||
Honda Motor Co., Ltd. | 3,100 | $ 82,221 | |
Idemitsu Kosan Co., Ltd. | 3,700 | 78,784 | |
ITOCHU Corp.(1) | 1,500 | 49,762 | |
Iwatani Corp. | 1,800 | 85,217 | |
Japan Metropolitan Fund Invest | 93 | 68,096 | |
Japan Post Bank Co., Ltd. | 2,300 | 18,367 | |
Japan Post Holdings Co., Ltd. | 7,500 | 61,739 | |
Japan Prime Realty Investment Corp. | 22 | 57,204 | |
Japan Real Estate Investment Corp. | 11 | 43,586 | |
Japan Tobacco, Inc. | 4,100 | 88,219 | |
JFE Holdings, Inc. | 3,100 | 36,674 | |
Kansai Electric Power Co., Inc. | 7,200 | 77,722 | |
Kao Corp. | 1,500 | 60,613 | |
KDDI Corp. | 5,400 | 168,578 | |
Kenedix Office Investment Corp.(1) | 12 | 26,530 | |
Keyence Corp. | 400 | 180,382 | |
Kintetsu Group Holdings Co., Ltd.(1) | 800 | 27,006 | |
Kirin Holdings Co., Ltd. | 3,800 | 61,732 | |
Kobayashi Pharmaceutical Co., Ltd. | 600 | 37,441 | |
Komatsu, Ltd. | 2,200 | 54,714 | |
Konami Group Corp.(1) | 900 | 44,284 | |
Kubota Corp. | 2,500 | 37,882 | |
Kuraray Co., Ltd. | 2,300 | 21,509 | |
Kyocera Corp. | 900 | 47,239 | |
Kyushu Electric Power Co., Inc.(2) | 3,600 | 20,962 | |
Lion Corp. | 5,400 | 58,870 | |
Marubeni Corp. | 3,400 | 48,257 | |
Maruichi Steel Tube, Ltd. | 1,200 | 27,145 | |
MatsukiyoCocokara & Co. | 900 | 48,195 | |
MEIJI Holdings Co., Ltd. | 1,600 | 38,608 | |
Mitsubishi Chemical Group Corp. | 10,000 | 58,666 | |
Mitsubishi Corp. | 2,200 | 81,567 | |
Mitsubishi Estate Co., Ltd.(1) | 7,600 | 93,665 | |
Mitsubishi Gas Chemical Co., Inc. | 1,600 | 23,294 | |
Mitsui & Co., Ltd. | 1,400 | 43,706 | |
Mitsui Chemicals, Inc. | 1,300 | 32,891 | |
Mitsui Fudosan Co., Ltd. | 5,100 | 101,296 | |
Mizuho Financial Group, Inc. | 5,630 | 81,612 | |
MS&AD Insurance Group Holdings, Inc. | 1,800 | 59,080 | |
Murata Manufacturing Co., Ltd. | 1,500 | 85,104 | |
NEC Corp. | 1,500 | 57,683 | |
Nexon Co., Ltd.(1) | 3,000 | 67,771 | |
Nintendo Co., Ltd. | 4,000 | 169,110 | |
Nippon Accommodations Fund, Inc. | 8 | 38,888 | |
Nippon Building Fund, Inc.(1) | 11 | 46,125 | |
Nippon Paint Holdings Co., Ltd. | 7,300 | 65,862 |
Security | Shares | Value | |
Japan (continued) | |||
Nippon Sanso Holdings Corp. | 2,300 | $ 41,498 | |
Nippon Shokubai Co., Ltd. | 600 | 24,055 | |
Nippon Steel Corp. | 3,600 | 76,887 | |
Nippon Telegraph & Telephone Corp. | 5,000 | 152,570 | |
Nissan Chemical Corp. | 900 | 39,998 | |
Nissan Motor Co., Ltd. | 10,300 | 37,558 | |
Nisshin Seifun Group, Inc. | 4,900 | 59,395 | |
Nissin Foods Holdings Co., Ltd. | 700 | 67,488 | |
Nitto Denko Corp. | 700 | 45,254 | |
NOF Corp. | 800 | 36,553 | |
Nomura Real Estate Master Fund, Inc. | 63 | 73,717 | |
Nomura Research Institute, Ltd. | 2,000 | 50,319 | |
NTT Data Corp. | 4,400 | 59,766 | |
Obic Co., Ltd. | 300 | 46,223 | |
Olympus Corp. | 5,000 | 87,532 | |
Omron Corp. | 800 | 46,927 | |
Ono Pharmaceutical Co., Ltd. | 2,500 | 50,338 | |
Oriental Land Co., Ltd. | 2,500 | 88,473 | |
Orix JREIT, Inc. | 47 | 60,757 | |
Osaka Gas Co., Ltd. | 5,500 | 90,977 | |
Otsuka Holdings Co., Ltd. | 2,400 | 81,650 | |
Pan Pacific International Holdings Corp. | 2,000 | 37,374 | |
Panasonic Holdings Corp. | 5,400 | 50,861 | |
Resona Holdings, Inc. | 12,400 | 61,801 | |
Resonac Holdings Corp. | 1,600 | 25,336 | |
ROHM Co., Ltd. | 200 | 15,058 | |
Rohto Pharmaceutical Co., Ltd. | 1,600 | 33,195 | |
SECOM Co., Ltd. | 600 | 38,420 | |
Sekisui House, Ltd. | 2,000 | 41,117 | |
Shimadzu Corp.(1) | 1,200 | 37,532 | |
Shimano, Inc. | 300 | 46,396 | |
Shionogi & Co., Ltd. | 1,500 | 67,147 | |
Shizuoka Financial Group, Inc. | 5,800 | 43,718 | |
SMC Corp. | 100 | 49,874 | |
SoftBank Corp. | 11,800 | 132,854 | |
Sompo Holdings, Inc. | 1,200 | 50,076 | |
Square Enix Holdings Co., Ltd. | 700 | 34,446 | |
Subaru Corp. | 2,400 | 39,172 | |
Sumitomo Chemical Co., Ltd.(1) | 10,900 | 36,834 | |
Sumitomo Corp. | 1,600 | 28,677 | |
Sumitomo Metal Mining Co., Ltd. | 1,100 | 40,600 | |
Sumitomo Mitsui Financial Group, Inc. | 2,700 | 110,359 | |
Sumitomo Mitsui Trust Holdings, Inc. | 1,500 | 54,072 | |
Suzuki Motor Corp. | 600 | 20,921 | |
T&D Holdings, Inc. | 2,800 | 34,290 | |
Takeda Pharmaceutical Co., Ltd. | 5,000 | 165,796 |
Security | Shares | Value | |
Japan (continued) | |||
TDK Corp. | 1,000 | $ 34,379 | |
TEIJIN, Ltd. | 3,300 | 36,858 | |
Toho Co., Ltd. | 500 | 19,863 | |
Tohoku Electric Power Co., Inc.(2) | 12,500 | 64,269 | |
Tokio Marine Holdings, Inc. | 5,900 | 118,631 | |
Tokyo Gas Co., Ltd. | 4,100 | 83,980 | |
Tokyu Corp.(1) | 2,000 | 28,232 | |
Toppan, Inc. | 2,000 | 42,518 | |
Toray Industries, Inc. | 6,900 | 39,104 | |
Toshiba Corp. | 800 | 25,776 | |
Tosoh Corp. | 2,200 | 29,393 | |
Toyo Suisan Kaisha, Ltd. | 1,000 | 44,647 | |
Toyota Industries Corp. | 400 | 23,247 | |
Toyota Motor Corp. | 13,600 | 186,728 | |
Trend Micro, Inc. | 600 | 29,318 | |
United Urban Investment Corp. | 35 | 38,861 | |
Yakult Honsha Co., Ltd.(1) | 1,000 | 75,214 | |
Yamato Holdings Co., Ltd.(1) | 2,000 | 34,355 | |
Yamato Kogyo Co., Ltd. | 1,000 | 39,287 | |
Yamazaki Baking Co., Ltd. | 3,800 | 50,917 | |
$ 8,648,493 | |||
Netherlands — 4.3% | |||
ABN AMRO Bank NV GDR(3) | 2,263 | $ 36,270 | |
Aegon NV(1) | 12,248 | 55,884 | |
Alfen NV(2)(3) | 256 | 20,713 | |
Arcadis NV | 649 | 26,810 | |
ASML Holding NV | 646 | 409,960 | |
ASR Nederland NV | 1,620 | 71,252 | |
Corbion NV | 2,072 | 65,230 | |
Euronext NV(3) | 576 | 45,809 | |
Flow Traders, Ltd. | 619 | 15,333 | |
JDE Peet's NV | 1,640 | 49,885 | |
Koninklijke Ahold Delhaize NV | 9,251 | 318,092 | |
Koninklijke DSM NV | 1,929 | 253,235 | |
Koninklijke KPN NV | 65,476 | 238,783 | |
Koninklijke Philips NV | 16,407 | 346,385 | |
NN Group NV | 1,992 | 74,282 | |
NSI NV(1) | 1,000 | 22,968 | |
Prosus NV(2) | 5,062 | 378,807 | |
Randstad NV | 683 | 37,111 | |
SBM Offshore NV | 4,496 | 63,549 | |
Signify NV(3) | 1,727 | 57,676 | |
Universal Music Group NV(1) | 7,168 | 156,602 | |
Wolters Kluwer NV | 1,682 | 222,854 | |
$ 2,967,490 |
Security | Shares | Value | |
New Zealand — 1.1% | |||
a2 Milk Co., Ltd. (The)(2) | 23,100 | $ 84,370 | |
Auckland International Airport, Ltd.(2) | 12,240 | 67,018 | |
Contact Energy, Ltd. | 9,580 | 46,463 | |
Fisher & Paykel Healthcare Corp., Ltd., Class C | 5,931 | 101,734 | |
Fletcher Building, Ltd. | 7,381 | 20,581 | |
Goodman Property Trust | 27,739 | 37,517 | |
Heartland Group Holdings, Ltd. | 19,544 | 19,252 | |
Kiwi Property Group, Ltd. | 57,056 | 32,535 | |
KMD Brands, Ltd. | 27,332 | 18,790 | |
Mercury NZ, Ltd. | 13,643 | 53,589 | |
Pushpay Holdings, Ltd.(2) | 39,551 | 34,787 | |
SKYCITY Entertainment Group, Ltd. | 29,814 | 44,275 | |
Spark New Zealand, Ltd. | 25,298 | 81,969 | |
Vulcan Steel, Ltd.(1) | 3,600 | 18,620 | |
Xero, Ltd.(2) | 1,231 | 76,846 | |
$ 738,346 | |||
Norway — 2.1% | |||
Aker ASA, Class A | 499 | $ 30,500 | |
Aker BP ASA | 1,654 | 39,540 | |
ArcticZymes Technologies ASA(1)(2) | 4,268 | 15,423 | |
Atea ASA(2) | 6,274 | 86,310 | |
Austevoll Seafood ASA | 3,899 | 36,719 | |
Borregaard ASA | 2,485 | 41,580 | |
Crayon Group Holding ASA(1)(2)(3) | 2,500 | 19,323 | |
DNB Bank ASA(1) | 6,189 | 108,865 | |
Entra ASA(3) | 2,972 | 30,200 | |
Equinor ASA | 3,918 | 112,803 | |
Europris ASA(1)(3) | 9,810 | 70,256 | |
Gjensidige Forsikring ASA | 1,701 | 29,631 | |
Kitron ASA(2) | 9,412 | 35,544 | |
Kongsberg Gruppen ASA | 1,873 | 84,127 | |
Leroy Seafood Group ASA | 6,500 | 34,228 | |
Norsk Hydro ASA | 6,598 | 48,555 | |
Nykode Therapeutics ASA(1)(2) | 7,954 | 19,249 | |
Opera, Ltd. ADR | 3,500 | 41,860 | |
Orkla ASA | 8,207 | 58,990 | |
REC Silicon ASA(1)(2) | 16,371 | 24,624 | |
Salmar ASA | 1,246 | 55,358 | |
Scatec ASA(1)(3) | 3,300 | 21,574 | |
Schibsted ASA, Class B | 2,498 | 40,447 | |
SFL Corp, Ltd. | 2,400 | 21,816 | |
SpareBank 1 SMN | 2,095 | 27,086 | |
Telenor ASA | 11,887 | 148,328 | |
TOMRA Systems ASA(1) | 2,450 | 37,569 |
Security | Shares | Value | |
Norway (continued) | |||
Veidekke ASA | 3,671 | $ 42,262 | |
Yara International ASA | 1,966 | 79,169 | |
$ 1,441,936 | |||
Portugal — 1.1% | |||
Banco Comercial Portugues S.A., Class R | 494,993 | $ 127,235 | |
Corticeira Amorim SGPS S.A. | 4,721 | 53,331 | |
CTT-Correios de Portugal S.A. | 12,855 | 53,105 | |
EDP-Energias de Portugal S.A.(1) | 19,728 | 108,701 | |
Galp Energia SGPS S.A., Class B | 11,338 | 137,005 | |
Jeronimo Martins SGPS S.A. | 5,858 | 147,828 | |
Navigator Co. S.A. (The) | 16,287 | 59,780 | |
NOS SGPS S.A. | 17,214 | 75,679 | |
REN-Redes Energeticas Nacionais SGPS S.A. | 11,590 | 33,657 | |
$ 796,321 | |||
Singapore — 2.1% | |||
BW LPG, Ltd.(3) | 3,082 | $ 24,900 | |
CapitaLand Ascendas REIT | 23,500 | 50,570 | |
CapitaLand Ascott Trust | 655 | 532 | |
CapitaLand Investment, Ltd. | 11,500 | 32,191 | |
ComfortDelGro Corp., Ltd. | 36,500 | 32,674 | |
DBS Group Holdings, Ltd. | 2,800 | 69,188 | |
Flex, Ltd.(2) | 6,557 | 134,877 | |
Genting Singapore, Ltd. | 108,600 | 92,389 | |
Golden Agri-Resources, Ltd. | 170,500 | 35,262 | |
Keppel Corp., Ltd. | 8,600 | 39,933 | |
Mapletree Industrial Trust | 18,060 | 32,284 | |
Mapletree Pan Asia Commercial Trust | 18,500 | 24,506 | |
Raffles Medical Group, Ltd. | 38,400 | 42,406 | |
Sea, Ltd. ADR(2) | 1,816 | 138,325 | |
Sembcorp Industries, Ltd. | 21,400 | 68,858 | |
Sembcorp Marine, Ltd.(2) | 164,131 | 15,307 | |
Singapore Airlines, Ltd.(1) | 14,800 | 65,095 | |
Singapore Exchange, Ltd. | 7,000 | 50,376 | |
Singapore Post, Ltd. | 26,100 | 9,999 | |
Singapore Technologies Engineering, Ltd. | 19,500 | 53,085 | |
Singapore Telecommunications, Ltd. | 42,000 | 80,487 | |
Suntec Real Estate Investment Trust | 27,000 | 27,369 | |
United Overseas Bank, Ltd. | 4,500 | 95,571 | |
UOL Group, Ltd. | 4,600 | 23,998 | |
Venture Corp., Ltd. | 5,000 | 63,879 | |
Wilmar International, Ltd. | 58,400 | 172,497 | |
$ 1,476,558 |
Security | Shares | Value | |
Spain — 4.4% | |||
ACS Actividades de Construccion y Servicios S.A. | 1,185 | $ 40,743 | |
Aena SME S.A.(1)(2)(3) | 1,064 | 179,196 | |
Almirall S.A. | 2,741 | 28,059 | |
Amadeus IT Group S.A.(2) | 5,033 | 353,744 | |
Banco Santander S.A.(1) | 61,792 | 217,080 | |
Bankinter S.A. | 12,265 | 72,526 | |
CaixaBank S.A. | 15,438 | 57,145 | |
Cellnex Telecom S.A.(2)(3) | 4,799 | 202,057 | |
Cia de Distribucion Integral Logista Holdings S.A. | 2,665 | 72,373 | |
Ercros S.A. | 8,525 | 39,793 | |
Grifols S.A.(1)(2) | 11,886 | 122,350 | |
Iberdrola S.A. | 25,032 | 324,367 | |
Indra Sistemas S.A. | 3,340 | 44,224 | |
Industria de Diseno Textil S.A.(1) | 12,175 | 418,537 | |
Laboratorios Farmaceuticos Rovi S.A. | 1,773 | 78,435 | |
Merlin Properties Socimi S.A. | 18,476 | 163,361 | |
Metrovacesa S.A.(1)(2)(3) | 2,900 | 24,237 | |
Red Electrica Corp. S.A. | 2,456 | 44,653 | |
Repsol S.A. | 20,519 | 301,418 | |
Telefonica S.A. | 22,919 | 104,103 | |
Vidrala S.A. | 739 | 77,579 | |
Viscofan S.A. | 825 | 56,551 | |
$ 3,022,531 | |||
Sweden — 4.2% | |||
Alfa Laval AB(1) | 1,197 | $ 43,915 | |
Arjo AB, Class B(1) | 8,801 | 39,043 | |
Assa Abloy AB, Class B(1) | 2,883 | 68,690 | |
Atlas Copco AB, Class B(1) | 2,446 | 31,374 | |
Billerud AB | 2,548 | 24,472 | |
BioArctic AB(2)(3) | 1,352 | 34,926 | |
BioGaia AB, Class B | 4,605 | 45,730 | |
Biotage AB | 1,896 | 23,585 | |
Boliden AB(1) | 2,274 | 81,266 | |
Castellum AB(1) | 4,084 | 49,646 | |
Catena AB | 932 | 35,752 | |
Electrolux AB, Class B | 3,051 | 46,025 | |
Elekta AB, Class B | 5,121 | 43,058 | |
Embracer Group AB(1)(2) | 9,503 | 49,612 | |
Epiroc AB, Class A | 2,897 | 58,036 | |
Essity AB, Class B(1) | 12,073 | 365,875 | |
Evolution AB(3) | 1,309 | 174,893 | |
Fabege AB(1) | 7,085 | 56,820 | |
Getinge AB, Class B(1) | 3,014 | 76,498 | |
H & M Hennes & Mauritz AB, Class B(1) | 3,007 | 44,085 | |
Hemnet Group AB(1) | 2,581 | 42,318 |
Security | Shares | Value | |
Sweden (continued) | |||
Hexagon AB, Class B(1) | 7,096 | $ 81,247 | |
Holmen AB, Class B | 2,532 | 95,785 | |
Hufvudstaden AB, Class A | 2,401 | 34,238 | |
Husqvarna AB, Class B | 3,790 | 32,712 | |
Industrivarden AB, Class A | 1,060 | 30,330 | |
Industrivarden AB, Class C(1) | 1,534 | 43,806 | |
Investor AB, Class A | 2,160 | 47,364 | |
JM AB(1) | 2,031 | 32,605 | |
L E Lundbergforetagen AB, Class B | 517 | 24,806 | |
Millicom International Cellular S.A. SDR(2) | 3,136 | 56,248 | |
Modern Times Group MTG AB, Class B(2) | 4,037 | 32,454 | |
Mycronic AB | 2,681 | 56,979 | |
Nyfosa AB(1) | 5,192 | 35,580 | |
Orron Energy AB(2) | 4,713 | 5,499 | |
Sandvik AB(1) | 1,635 | 33,305 | |
Securitas AB, Class B(1) | 1,900 | 17,030 | |
Skandinaviska Enskilda Banken AB, Class A | 4,744 | 53,943 | |
Skanska AB, Class B(1) | 1,238 | 20,249 | |
Stillfront Group AB(2) | 16,614 | 35,398 | |
Svenska Cellulosa AB SCA, Class B | 9,048 | 124,136 | |
Svenska Handelsbanken AB, Class A | 7,120 | 62,939 | |
Swedbank AB, Class A | 2,384 | 41,425 | |
Swedish Orphan Biovitrum AB(2) | 3,003 | 73,079 | |
Tele2 AB, Class B | 5,717 | 60,750 | |
Telefonaktiebolaget LM Ericsson, Class B | 25,375 | 139,707 | |
Telia Co. AB(1) | 24,113 | 67,135 | |
Tethys Oil AB | 4,284 | 21,918 | |
Thule Group AB(1)(3) | 1,277 | 36,935 | |
Truecaller AB, Class B(1)(2) | 6,505 | 19,449 | |
Volvo AB, Class B | 1,722 | 35,406 | |
Wallenstam AB, Class B(1) | 7,080 | 28,094 | |
Wihlborgs Fastigheter AB(1) | 3,468 | 28,032 | |
$ 2,944,202 | |||
Switzerland — 9.1% | |||
ABB, Ltd. | 2,488 | $ 89,751 | |
ALSO Holding AG | 245 | 52,521 | |
Baloise Holding AG | 396 | 66,288 | |
Banque Cantonale Vaudoise | 570 | 59,978 | |
BKW AG | 330 | 56,511 | |
Bucher Industries AG | 149 | 67,102 | |
Cembra Money Bank AG | 670 | 53,805 | |
Cie Financiere Richemont S.A., Class A | 5,971 | 987,011 | |
Clariant AG(2) | 3,924 | 65,453 | |
DKSH Holding AG | 773 | 61,570 | |
EMS-Chemie Holding AG | 104 | 85,415 |
Security | Shares | Value | |
Switzerland (continued) | |||
Flughafen Zurich AG | 295 | $ 56,778 | |
Forbo Holding AG | 26 | 38,274 | |
Galenica AG(3) | 858 | 76,893 | |
Givaudan S.A. | 78 | 272,841 | |
Helvetia Holding AG | 425 | 63,577 | |
Holcim AG(2) | 4,531 | 299,376 | |
Intershop Holding AG | 78 | 54,771 | |
Julius Baer Group, Ltd. | 822 | 58,901 | |
Kuehne & Nagel International AG | 464 | 137,463 | |
Landis & Gyr Group AG(2) | 1,111 | 92,044 | |
LEM Holding S.A. | 13 | 28,665 | |
Logitech International S.A. | 2,732 | 161,672 | |
Meyer Burger Technology AG(1)(2) | 49,710 | 32,018 | |
Nestle S.A. | 6,891 | 884,043 | |
Novartis AG | 4,303 | 440,171 | |
Roche Holding AG PC | 1,250 | 391,425 | |
Schindler Holding AG | 320 | 68,359 | |
Schindler Holding AG PC | 353 | 78,886 | |
Schweiter Technologies AG | 45 | 35,910 | |
SGS S.A. | 900 | 81,446 | |
SIG Group AG(2) | 5,783 | 154,786 | |
Softwareone Holding AG(1)(2) | 1,719 | 25,930 | |
Stadler Rail AG(1) | 1,511 | 62,796 | |
Swatch Group AG (The), Bearer Shares | 279 | 95,714 | |
Swiss Life Holding AG(2) | 139 | 91,748 | |
Swiss Prime Site AG | 1,669 | 151,077 | |
Swiss Re AG | 1,001 | 100,805 | |
Swisscom AG | 366 | 251,277 | |
Vontobel Holding AG | 351 | 23,510 | |
Zehnder Group AG | 691 | 56,441 | |
Zurich Insurance Group AG | 683 | 331,222 | |
$ 6,344,224 | |||
United Kingdom — 9.0% | |||
Admiral Group PLC | 1,052 | $ 30,575 | |
Airtel Africa PLC(3) | 30,067 | 45,387 | |
Assura PLC | 34,782 | 22,237 | |
AstraZeneca PLC | 4,331 | 637,363 | |
Aviva PLC | 9,030 | 48,079 | |
BAE Systems PLC | 8,600 | 109,564 | |
Barclays PLC | 15,390 | 31,002 | |
Bellway PLC | 608 | 18,434 | |
Berkeley Group Holdings PLC | 509 | 28,485 | |
Big Yellow Group PLC | 2,400 | 36,943 | |
British American Tobacco PLC | 3,774 | 139,433 | |
British Land Co. PLC (The) | 7,389 | 37,228 |
Security | Shares | Value | |
United Kingdom (continued) | |||
BT Group PLC | 59,183 | $ 118,206 | |
Bunzl PLC | 1,400 | 55,730 | |
Burberry Group PLC | 3,492 | 113,986 | |
Centrica PLC | 39,130 | 56,228 | |
Compass Group PLC | 7,473 | 197,145 | |
Computacenter PLC | 1,269 | 36,790 | |
Croda International PLC | 729 | 64,050 | |
Darktrace PLC(2) | 8,597 | 30,316 | |
Derwent London PLC | 1,020 | 30,794 | |
Direct Line Insurance Group PLC | 9,041 | 19,542 | |
DS Smith PLC | 10,893 | 42,529 | |
Energean PLC | 2,448 | 38,026 | |
Experian PLC | 2,304 | 81,573 | |
FDM Group Holdings PLC | 2,454 | 20,773 | |
Fresnillo PLC | 1,893 | 16,941 | |
Glencore PLC | 15,395 | 90,871 | |
Grainger PLC | 11,835 | 38,505 | |
Great Portland Estates PLC | 4,065 | 27,267 | |
HSBC Holdings PLC | 24,849 | 179,095 | |
Imperial Brands PLC | 1,728 | 42,775 | |
Informa PLC | 12,336 | 112,147 | |
InterContinental Hotels Group PLC | 751 | 51,636 | |
Intertek Group PLC | 543 | 28,407 | |
ITV PLC | 50,477 | 51,376 | |
Land Securities Group PLC | 5,823 | 49,413 | |
Lloyds Banking Group PLC | 135,333 | 82,218 | |
London Stock Exchange Group PLC | 726 | 76,225 | |
LondonMetric Property PLC | 11,374 | 27,585 | |
LXi REIT PLC | 17,784 | 23,588 | |
Manchester United PLC, Class A(1) | 1,700 | 34,085 | |
Mondi PLC | 3,379 | 53,845 | |
Moneysupermarket.com Group PLC | 7,023 | 24,251 | |
National Grid PLC | 21,398 | 306,803 | |
NCC Group PLC | 21,199 | 28,605 | |
Next PLC | 582 | 49,381 | |
Pearson PLC | 5,346 | 59,478 | |
Persimmon PLC | 2,761 | 45,694 | |
Phoenix Group Holdings PLC | 5,262 | 39,205 | |
Primary Health Properties PLC | 23,037 | 30,903 | |
QinetiQ Group PLC | 8,311 | 38,834 | |
Reckitt Benckiser Group PLC | 1,454 | 117,497 | |
RELX PLC | 4,013 | 133,708 | |
Renishaw PLC | 635 | 28,803 | |
Rentokil Initial PLC | 5,526 | 43,994 | |
Rio Tinto PLC | 3,415 | 217,100 | |
Rolls-Royce Holdings PLC(2) | 22,073 | 42,285 |
Security | Shares | Value | |
United Kingdom (continued) | |||
Safestore Holdings PLC | 3,803 | $ 47,406 | |
Sage Group PLC (The) | 15,349 | 158,293 | |
Severn Trent PLC | 3,397 | 125,124 | |
Shaftesbury Capital PLC | 16,689 | 24,684 | |
Shell PLC | 17,692 | 543,642 | |
Smiths Group PLC | 1,154 | 24,401 | |
Softcat PLC | 2,104 | 35,450 | |
Spectris PLC | 1,446 | 68,479 | |
Spirax-Sarco Engineering PLC | 358 | 50,027 | |
Spirent Communications PLC | 11,297 | 25,685 | |
Standard Chartered PLC | 5,917 | 46,881 | |
Supermarket Income REIT PLC | 20,430 | 22,481 | |
Taylor Wimpey PLC | 39,034 | 62,996 | |
Tesco PLC | 31,547 | 111,533 | |
Tritax Big Box REIT PLC | 37,589 | 73,440 | |
Unilever PLC | 3,393 | 188,929 | |
UNITE Group PLC (The) | 3,167 | 38,214 | |
United Utilities Group PLC | 9,445 | 128,305 | |
Vodafone Group PLC | 181,551 | 218,065 | |
$ 6,276,973 | |||
Total Common Stocks (identified cost $61,087,454) | $68,773,201 |
Short-Term Investments — 8.3% |
Affiliated Fund — 0.0%(5) |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(6) | 7,355 | $ 7,355 | |
Total Affiliated Fund (identified cost $7,355) | $ 7,355 |
Securities Lending Collateral — 8.3% |
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 4.84%(7) | 5,757,599 | $ 5,757,599 | |
Total Securities Lending Collateral (identified cost $5,757,599) | $ 5,757,599 | ||
Total Short-Term Investments (identified cost $5,764,954) | $ 5,764,954 |
Value | |||
Total Investments — 107.3% (identified cost $66,852,408) | $74,538,155 | ||
Other Assets, Less Liabilities — (7.3)% | $ (5,089,317) | ||
Net Assets — 100.0% | $69,448,838 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | All or a portion of this security was on loan at April 30, 2023. The aggregate market value of securities on loan at April 30, 2023 was $8,304,592. |
(2) | Non-income producing security. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $2,434,669 or 3.5% of the Portfolio's net assets. |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(5) | Amount is less than 0.05%. |
(6) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
(7) | Represents investment of cash collateral received in connection with securities lending. |
Sector Classification of Portfolio | ||
Sector | Percentage of Net Assets | Value |
Consumer Discretionary | 11.3% | $7,884,587 |
Industrials | 11.1 | 7,699,168 |
Financials | 11.0 | 7,635,781 |
Consumer Staples | 10.3 | 7,181,876 |
Health Care | 10.1 | 6,997,558 |
Materials | 9.1 | 6,336,893 |
Communication Services | 8.9 | 6,168,390 |
Information Technology | 7.9 | 5,465,676 |
Utilities | 7.5 | 5,180,457 |
Real Estate | 6.7 | 4,686,934 |
Energy | 5.1 | 3,535,881 |
Short-Term Investments | 8.3 | 5,764,954 |
Total Investments | 107.3% | $74,538,155 |
Abbreviations: | |
ADR | – American Depositary Receipt |
CDI | – CHESS Depositary Interest |
GDR | – Global Depositary Receipt |
PC | – Participation Certificate |
PFC Shares | – Preference Shares |
SDR | – Swedish Depositary Receipt |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $66,845,053) — including $8,304,592 of securities on loan | $ 74,530,800 |
Affiliated investment, at value (identified cost $7,355) | 7,355 |
Foreign currency, at value (identified cost $376,035) | 376,942 |
Dividends receivable | 298,051 |
Dividends receivable from affiliated investment | 226 |
Securities lending income receivable | 9,220 |
Tax reclaims receivable | 218,043 |
Total assets | $75,440,637 |
Liabilities | |
Demand note payable | $ 30,000 |
Collateral for securities loaned | 5,757,599 |
Payable for investments purchased | 107,935 |
Payable to affiliates: | |
Investment adviser fee | 28,043 |
Trustees' fees | 401 |
Accrued expenses | 67,821 |
Total liabilities | $ 5,991,799 |
Net Assets applicable to investors' interest in Portfolio | $69,448,838 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $160,516) | $ 1,058,608 |
Dividend income from affiliated investments | 711 |
Securities lending income, net | 29,029 |
Total investment income | $ 1,088,348 |
Expenses | |
Investment adviser fee | $ 163,262 |
Trustees’ fees and expenses | 2,321 |
Custodian fee | 36,899 |
Legal and accounting services | 30,393 |
Miscellaneous | 5,026 |
Total expenses | $ 237,901 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 26 |
Total expense reductions | $ 26 |
Net expenses | $ 237,875 |
Net investment income | $ 850,473 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 1,266,399 |
Investment transactions - affiliated investment | 54,003 |
Foreign currency transactions | 13,787 |
Net realized gain | $ 1,334,189 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 11,520,838 |
Investments - affiliated investment | 16,243 |
Foreign currency | 20,961 |
Net change in unrealized appreciation (depreciation) | $11,558,042 |
Net realized and unrealized gain | $12,892,231 |
Net increase in net assets from operations | $13,742,704 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 850,473 | $ 1,606,130 |
Net realized gain (loss) | 1,334,189 | (1,227,103) |
Net change in unrealized appreciation (depreciation) | 11,558,042 | (20,060,081) |
Net increase (decrease) in net assets from operations | $13,742,704 | $(19,681,054) |
Capital transactions: | ||
Contributions | $ 1,941,286 | $ 11,445,206 |
Withdrawals | (5,812,043) | (9,274,277) |
Net increase (decrease) in net assets from capital transactions | $ (3,870,757) | $ 2,170,929 |
Net increase (decrease) in net assets | $ 9,871,947 | $(17,510,125) |
Net Assets | ||
At beginning of period | $ 59,576,891 | $ 77,087,016 |
At end of period | $69,448,838 | $ 59,576,891 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.73% (1)(2) | 0.69% (2) | 0.68% | 0.69% | 0.74% | 0.71% |
Net investment income | 2.60% (1) | 2.34% | 2.31% | 1.74% | 2.53% | 1.90% |
Portfolio Turnover | 18% (3) | 22% | 23% | 10% | 37% | 30% |
Total Return | 23.83% (3) | (25.13)% | 31.20% | (5.07)% | 11.59% | (5.77)% |
Net assets, end of period (000’s omitted) | $69,449 | $59,577 | $77,087 | $60,016 | $71,054 | $68,042 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(3) | Not annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.500% |
$1 billion but less than $2.5 billion | 0.475% |
$2.5 billion but less than $5 billion | 0.455% |
$5 billion and over | 0.440% |
Aggregate cost | $ 67,239,531 |
Gross unrealized appreciation | $ 12,528,976 |
Gross unrealized depreciation | (5,230,352) |
Net unrealized appreciation | $ 7,298,624 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $5,757,599 | $ — | $ — | $ — | $5,757,599 |
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 |
Common Stocks | ||||||||
Mitsubishi UFJ Financial Group, Inc. | $136,519 | $ — | $ (206,765) | $ 54,003 | $ 16,243 | $ — | $ — | — |
Short-Term Investments | ||||||||
Liquidity Fund | 161,268 | 1,686,762 | (1,840,675) | — | — | 7,355 | 711 | 7,355 |
Total | $54,003 | $16,243 | $7,355 | $ 711 |
• | 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 |
Common Stocks: | ||||
Asia/Pacific | $ 273,202 | $ 19,467,196 | $ 0 | $ 19,740,398 |
Developed Europe | 324,997 | 47,142,964 | — | 47,467,961 |
Developed Middle East | 250,860 | 1,313,982 | — | 1,564,842 |
Total Common Stocks | $ 849,059 | $ 67,924,142** | $ 0 | $68,773,201 |
Asset Description (continued) | Level 1 | Level 2 | Level 3* | Total |
Short-Term Investments: | ||||
Affiliated Fund | $ 7,355 | $ — | $ — | $ 7,355 |
Securities Lending Collateral | 5,757,599 | — | — | 5,757,599 |
Total Investments | $6,614,013 | $ 67,924,142 | $ 0 | $74,538,155 |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
** | 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. |
Officers of Parametric Tax-Managed International Equity Fund | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer | |
Officers of Tax-Managed International Equity Portfolio | |
R. Kelly Williams, Jr. President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Parametric Tax-Managed International Equity Fund and Tax-Managed International Equity Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Equity Fund and Tax-Managed International Equity Portfolio
800 Fifth Avenue, Suite 2800
Seattle, WA 98104
International Equity Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 06/30/2000 | 06/30/2000 | 13.70% | 2.43% | 9.87% | 11.76% |
Class A with 5.25% Maximum Sales Charge | — | — | 7.73 | (2.94) | 8.69 | 11.16 |
Class C at NAV | 07/10/2000 | 07/10/2000 | 13.27 | 1.69 | 9.05 | 11.10 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 12.27 | 0.69 | 9.05 | 11.10 |
Russell 3000® Growth Index | — | — | 10.77% | 2.25% | 13.13% | 14.04% |
S&P 500® Index | — | — | 8.63 | 2.66 | 11.44 | 12.19 |
% After-Tax Returns with Maximum Sales Charge2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A After Taxes on Distributions | 06/30/2000 | 06/30/2000 | (2.94)% | 8.22% | 10.91% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | (1.74) | 7.14 | 9.60 |
Class C After Taxes on Distributions | 07/10/2000 | 07/10/2000 | 0.69 | 8.49 | 10.82 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | 0.41 | 7.44 | 9.53 |
% Total Annual Operating Expense Ratios3 | Class A | Class C |
1.28% | 2.03% |
Sector Allocation (% of net assets)1 |
Top 10 Holdings (% of net assets)1 | |
Microsoft Corp. | 11.4% |
Apple, Inc. | 11.3 |
Amazon.com, Inc. | 6.6 |
Visa, Inc., Class A | 4.6 |
Alphabet, Inc., Class C | 4.0 |
Alphabet, Inc., Class A | 3.8 |
UnitedHealth Group, Inc. | 3.8 |
Salesforce, Inc. | 2.7 |
Adobe, Inc. | 2.6 |
Vertex Pharmaceuticals, Inc. | 2.6 |
Total | 53.4% |
1 | Excludes cash and cash equivalents. |
1 | Russell 3000® Growth Index is an unmanaged index of the broad growth segment of the U.S. equity universe. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. After-tax returns are calculated using certain assumptions, including using the highest historical individual federal income tax rates, and do not reflect the impact of state/local taxes. Actual after-tax returns depend on a shareholder’s tax situation and the actual characterization of distributions and may differ from those shown. After-tax returns are not relevant to shareholders who hold shares in tax-deferred accounts or shares held by nontaxable entities. Return After Taxes on Distributions may be the same as Return Before Taxes for the same period because no taxable distributions were made during that period. Return After Taxes on Distributions and Sale of Fund Shares may be greater than or equal to Return After Taxes on Distributions for the same period because of losses realized on the sale of Fund shares. The Fund’s after-tax returns also may reflect foreign tax credits passed by the Fund to its shareholders.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,137.00 | $ 6.89 | 1.30% |
Class C | $1,000.00 | $1,132.70 | $10.84 | 2.05% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.35 | $ 6.51 | 1.30% |
Class C | $1,000.00 | $1,014.63 | $10.24 | 2.05% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
April 30, 2023 | |
Assets | |
Investment in Tax-Managed Multi-Cap Growth Portfolio, at value (identified cost $36,635,388) | $ 113,088,331 |
Receivable for Fund shares sold | 84,698 |
Total assets | $113,173,029 |
Liabilities | |
Payable for Fund shares redeemed | $ 111,215 |
Payable to affiliates: | |
Administration fee | 13,653 |
Distribution and service fees | 27,160 |
Accrued expenses | 66,854 |
Total liabilities | $ 218,882 |
Net Assets | $112,954,147 |
Sources of Net Assets | |
Paid-in capital | $ 47,362,952 |
Distributable earnings | 65,591,195 |
Net Assets | $112,954,147 |
Class A Shares | |
Net Assets | $ 105,751,926 |
Shares Outstanding | 2,562,928 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 41.26 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 43.55 |
Class C Shares | |
Net Assets | $ 7,202,221 |
Shares Outstanding | 213,607 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 33.72 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $6,930) | $ 357,465 |
Securities lending income allocated from Portfolio, net | 317 |
Expenses allocated from Portfolio | (367,273) |
Total investment loss from Portfolio | $ (9,491) |
Expenses | |
Administration fee | $ 77,450 |
Distribution and service fees: | |
Class A | 120,206 |
Class C | 35,506 |
Trustees’ fees and expenses | 208 |
Custodian fee | 9,101 |
Transfer and dividend disbursing agent fees | 38,783 |
Legal and accounting services | 17,559 |
Printing and postage | 5,114 |
Registration fees | 17,085 |
ReFlow liquidity program fees | 4,256 |
Miscellaneous | 4,258 |
Total expenses | $ 329,526 |
Net investment loss | $ (339,017) |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ 506,791(1) |
Foreign currency transactions | 1 |
Net realized gain | $ 506,792 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 13,453,624 |
Foreign currency | 2 |
Net change in unrealized appreciation (depreciation) | $13,453,626 |
Net realized and unrealized gain | $13,960,418 |
Net increase in net assets from operations | $13,621,401 |
(1) | Includes $763,155 of net realized gains from redemptions in-kind. |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment loss | $ (339,017) | $ (1,022,992) |
Net realized gain | 506,792 (1) | 655,566 (2) |
Net change in unrealized appreciation (depreciation) | 13,453,626 | (39,125,248) |
Net increase (decrease) in net assets from operations | $ 13,621,401 | $ (39,492,674) |
Distributions to shareholders: | ||
Class A | $ — | $ (4,198,521) |
Class C | — | (485,564) |
Total distributions to shareholders | $ — | $ (4,684,085) |
Transactions in shares of beneficial interest: | ||
Class A | $ (201,388) | $ (2,928,925) |
Class C | (1,054,172) | (2,142,964) |
Net decrease in net assets from Fund share transactions | $ (1,255,560) | $ (5,071,889) |
Net increase (decrease) in net assets | $ 12,365,841 | $ (49,248,648) |
Net Assets | ||
At beginning of period | $ 100,588,306 | $ 149,836,954 |
At end of period | $112,954,147 | $100,588,306 |
(1) | Includes $763,155 of net realized gains from redemptions in-kind. |
(2) | Includes $1,699,231 of net realized gains from redemptions in-kind. |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 36.290 | $ 51.600 | $ 39.630 | $ 32.250 | $ 29.220 | $ 26.040 |
Income (Loss) From Operations | ||||||
Net investment loss(1) | $ (0.113) | $ (0.333) | $ (0.387) | $ (0.229) | $ (0.192) | $ (0.186) |
Net realized and unrealized gain (loss) | 5.083 | (13.382) | 13.730 | 8.361 | 3.849 | 3.429 |
Total income (loss) from operations | $ 4.970 | $(13.715) | $ 13.343 | $ 8.132 | $ 3.657 | $ 3.243 |
Less Distributions | ||||||
From net realized gain | $ — | $ (1.595) | $ (1.373) | $ (0.752) | $ (0.627) | $ (0.063) |
Total distributions | $ — | $ (1.595) | $ (1.373) | $ (0.752) | $ (0.627) | $ (0.063) |
Net asset value — End of period | $ 41.260 | $ 36.290 | $ 51.600 | $ 39.630 | $32.250 | $29.220 |
Total Return(2) | 13.70% (3) | (27.42)% | 34.39% | 25.65% | 13.07% | 12.52% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $105,752 | $ 93,206 | $136,537 | $101,649 | $ 82,914 | $ 64,579 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.30% (5)(6) | 1.28% (6) | 1.25% | 1.28% | 1.33% | 1.31% |
Net investment loss | (0.61)% (5) | (0.79)% | (0.83)% | (0.64)% | (0.63)% | (0.63)% |
Portfolio Turnover of the Portfolio | 1% (3) | 0% (7) | 13% | 24% | 18% | 18% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Amount is less than 0.5%. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 29.770 | $ 42.920 | $ 33.410 | $ 27.510 | $ 25.210 | $ 22.640 |
Income (Loss) From Operations | ||||||
Net investment loss(1) | $ (0.206) | $ (0.538) | $ (0.607) | $ (0.418) | $ (0.353) | $ (0.352) |
Net realized and unrealized gain (loss) | 4.156 | (11.017) | 11.490 | 7.070 | 3.280 | 2.985 |
Total income (loss) from operations | $ 3.950 | $(11.555) | $10.883 | $ 6.652 | $ 2.927 | $ 2.633 |
Less Distributions | ||||||
From net realized gain | $ — | $ (1.595) | $ (1.373) | $ (0.752) | $ (0.627) | $ (0.063) |
Total distributions | $ — | $ (1.595) | $ (1.373) | $ (0.752) | $ (0.627) | $ (0.063) |
Net asset value — End of period | $33.720 | $ 29.770 | $42.920 | $33.410 | $27.510 | $25.210 |
Total Return(2) | 13.27% (3) | (27.95)% | 33.40% | 24.67% | 12.24% | 11.65% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 7,202 | $ 7,382 | $ 13,300 | $ 14,982 | $ 14,216 | $ 24,706 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 2.05% (5)(6) | 2.03% (6) | 2.00% | 2.03% | 2.09% | 2.06% |
Net investment loss | (1.35)% (5) | (1.53)% | (1.57)% | (1.39)% | (1.37)% | (1.38)% |
Portfolio Turnover of the Portfolio | 1% (3) | 0% (7) | 13% | 24% | 18% | 18% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(7) | Amount is less than 0.5%. |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.650% |
$500 million but less than $1 billion | 0.625% |
$1 billion but less than $2.5 billion | 0.600% |
$2.5 billion and over | 0.600% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 126,480 | $ 4,729,240 | 236,476 | $ 9,713,120 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | — | — | 80,222 | 3,995,868 | |
Redemptions | (131,616) | (4,930,628) | (394,902) | (16,637,913) | |
Net decrease | (5,136) | $ (201,388) | (78,204) | $ (2,928,925) | |
Class C | |||||
Sales | 8,294 | $ 255,081 | 21,295 | $ 759,472 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | — | — | 11,778 | 484,298 | |
Redemptions | (42,669) | (1,309,253) | (94,992) | (3,386,734) | |
Net decrease | (34,375) | $(1,054,172) | (61,919) | $ (2,142,964) |
Common Stocks — 98.6% |
Security | Shares | Value | |
Biotechnology — 2.6% | |||
Vertex Pharmaceuticals, Inc.(1) | 15,175 | $ 5,170,578 | |
$ 5,170,578 | |||
Broadline Retail — 6.6% | |||
Amazon.com, Inc.(1) | 125,944 | $ 13,280,795 | |
$ 13,280,795 | |||
Building Products — 0.4% | |||
Trex Co., Inc.(1) | 15,892 | $ 868,657 | |
$ 868,657 | |||
Capital Markets — 1.1% | |||
S&P Global, Inc. | 5,966 | $ 2,163,152 | |
$ 2,163,152 | |||
Chemicals — 1.8% | |||
Celanese Corp. | 6,569 | $ 697,890 | |
Ecolab, Inc. | 7,531 | 1,264,003 | |
Sherwin-Williams Co. (The) | 6,570 | 1,560,638 | |
$ 3,522,531 | |||
Commercial Services & Supplies — 2.1% | |||
Copart, Inc.(1) | 24,710 | $ 1,953,326 | |
Waste Connections, Inc. | 16,156 | 2,248,107 | |
$ 4,201,433 | |||
Consumer Staples Distribution & Retail — 1.8% | |||
Performance Food Group Co.(1) | 58,516 | $ 3,668,368 | |
$ 3,668,368 | |||
Electrical Equipment — 2.4% | |||
AMETEK, Inc. | 34,300 | $ 4,730,999 | |
$ 4,730,999 | |||
Entertainment — 1.1% | |||
Electronic Arts, Inc. | 7,649 | $ 973,565 | |
Walt Disney Co. (The)(1) | 12,454 | 1,276,535 | |
$ 2,250,100 | |||
Financial Services — 5.9% | |||
Fiserv, Inc.(1) | 13,974 | $ 1,706,505 |
Security | Shares | Value | |
Financial Services (continued) | |||
Shift4 Payments, Inc., Class A(1)(2) | 13,838 | $ 937,801 | |
Visa, Inc., Class A | 39,760 | 9,253,345 | |
$ 11,897,651 | |||
Food Products — 1.3% | |||
Mondelez International, Inc., Class A | 35,144 | $ 2,696,248 | |
$ 2,696,248 | |||
Ground Transportation — 2.8% | |||
J.B. Hunt Transport Services, Inc. | 14,100 | $ 2,471,589 | |
Norfolk Southern Corp. | 8,734 | 1,773,264 | |
Uber Technologies, Inc.(1) | 47,387 | 1,471,366 | |
$ 5,716,219 | |||
Health Care Equipment & Supplies — 3.2% | |||
Intuitive Surgical, Inc.(1) | 8,574 | $ 2,582,660 | |
Stryker Corp. | 12,668 | 3,795,966 | |
$ 6,378,626 | |||
Health Care Providers & Services — 3.8% | |||
UnitedHealth Group, Inc. | 15,597 | $ 7,675,128 | |
$ 7,675,128 | |||
Hotels, Restaurants & Leisure — 1.7% | |||
Booking Holdings, Inc.(1) | 735 | $ 1,974,438 | |
Starbucks Corp. | 12,443 | 1,422,110 | |
$ 3,396,548 | |||
Interactive Media & Services — 10.3% | |||
Alphabet, Inc., Class A(1) | 71,981 | $ 7,726,441 | |
Alphabet, Inc., Class C(1) | 74,560 | 8,068,883 | |
Meta Platforms, Inc., Class A(1) | 20,515 | 4,930,165 | |
$ 20,725,489 | |||
IT Services — 4.7% | |||
Accenture PLC, Class A | 18,307 | $ 5,131,269 | |
GoDaddy, Inc., Class A(1) | 44,180 | 3,343,542 | |
Okta, Inc.(1) | 15,035 | 1,030,349 | |
$ 9,505,160 | |||
Life Sciences Tools & Services — 1.4% | |||
Danaher Corp. | 11,868 | $ 2,811,648 | |
$ 2,811,648 |
Security | Shares | Value | |
Personal Care Products — 1.3% | |||
Estee Lauder Cos., Inc. (The), Class A | 10,679 | $ 2,634,723 | |
$ 2,634,723 | |||
Pharmaceuticals — 2.9% | |||
Royalty Pharma PLC, Class A | 35,581 | $ 1,250,672 | |
Zoetis, Inc. | 26,003 | 4,570,808 | |
$ 5,821,480 | |||
Semiconductors & Semiconductor Equipment — 2.0% | |||
Monolithic Power Systems, Inc. | 8,854 | $ 4,090,282 | |
$ 4,090,282 | |||
Software — 18.6% | |||
Adobe, Inc.(1) | 14,102 | $ 5,324,351 | |
Altair Engineering, Inc., Class A(1) | 7,902 | 545,633 | |
Intuit, Inc. | 6,414 | 2,847,495 | |
Microsoft Corp. | 74,352 | 22,845,396 | |
NICE, Ltd. ADR(1)(2) | 2,287 | 466,571 | |
Salesforce, Inc.(1) | 27,530 | 5,461,126 | |
$ 37,490,572 | |||
Specialty Retail — 1.8% | |||
TJX Cos., Inc. (The) | 44,664 | $ 3,520,416 | |
$ 3,520,416 | |||
Technology Hardware, Storage & Peripherals — 11.3% | |||
Apple, Inc. | 134,541 | $ 22,828,917 | |
$ 22,828,917 | |||
Textiles, Apparel & Luxury Goods — 3.7% | |||
Lululemon Athletica, Inc.(1) | 13,063 | $ 4,963,026 | |
NIKE, Inc., Class B | 19,321 | 2,448,357 | |
$ 7,411,383 | |||
Trading Companies & Distributors — 2.0% | |||
United Rentals, Inc. | 11,119 | $ 4,015,182 | |
$ 4,015,182 | |||
Total Common Stocks (identified cost $67,172,486) | $198,472,285 |
Short-Term Investments — 1.5% |
Affiliated Fund — 1.5% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(3) | 2,978,030 | $ 2,978,030 | |
Total Affiliated Fund (identified cost $2,978,030) | $ 2,978,030 |
Securities Lending Collateral — 0.0%(4) |
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 4.84%(5) | 79,074 | $ 79,074 | |
Total Securities Lending Collateral (identified cost $79,074) | $ 79,074 | ||
Total Short-Term Investments (identified cost $3,057,104) | $ 3,057,104 | ||
Total Investments — 100.1% (identified cost $70,229,590) | $201,529,389 | ||
Other Assets, Less Liabilities — (0.1)% | $ (217,700) | ||
Net Assets — 100.0% | $201,311,689 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | All or a portion of this security was on loan at April 30, 2023. The aggregate market value of securities on loan at April 30, 2023 was $1,390,260. |
(3) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
(4) | Amount is less than 0.05%. |
(5) | Represents investment of cash collateral received in connection with securities lending. |
Abbreviations: | |
ADR | – American Depositary Receipt |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $67,251,560) — including $1,390,260 of securities on loan | $ 198,551,359 |
Affiliated investment, at value (identified cost $2,978,030) | 2,978,030 |
Dividends receivable | 29,727 |
Dividends receivable from affiliated investment | 11,266 |
Securities lending income receivable | 219 |
Tax reclaims receivable | 1,240 |
Total assets | $201,571,841 |
Liabilities | |
Collateral for securities loaned | $ 79,074 |
Payable to affiliates: | |
Investment adviser fee | 105,023 |
Accrued expenses | 76,055 |
Total liabilities | $ 260,152 |
Net Assets applicable to investors' interest in Portfolio | $201,311,689 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $12,311) | $ 572,976 |
Dividend income from affiliated investment | 61,768 |
Securities lending income, net | 563 |
Total investment income | $ 635,307 |
Expenses | |
Investment adviser fee | $ 596,702 |
Trustees’ fees and expenses | 4,785 |
Custodian fee | 24,153 |
Legal and accounting services | 23,907 |
Miscellaneous | 5,165 |
Total expenses | $ 654,712 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 2,383 |
Total expense reductions | $ 2,383 |
Net expenses | $ 652,329 |
Net investment loss | $ (17,022) |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 900,215(1) |
Foreign currency transactions | 1 |
Net realized gain | $ 900,216 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 23,892,018 |
Foreign currency | 3 |
Net change in unrealized appreciation (depreciation) | $23,892,021 |
Net realized and unrealized gain | $24,792,237 |
Net increase in net assets from operations | $24,775,215 |
(1) | Includes $1,356,271 of net realized gains from redemptions in-kind. |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment loss | $ (17,022) | $ (486,478) |
Net realized gain | 900,216 (1) | 1,183,064 (2) |
Net change in unrealized appreciation (depreciation) | 23,892,021 | (69,092,945) |
Net increase (decrease) in net assets from operations | $ 24,775,215 | $ (68,396,359) |
Capital transactions: | ||
Contributions | $ 2,193,204 | $ 3,854,719 |
Withdrawals | (4,630,692) | (18,838,502) |
Net decrease in net assets from capital transactions | $ (2,437,488) | $ (14,983,783) |
Net increase (decrease) in net assets | $ 22,337,727 | $ (83,380,142) |
Net Assets | ||
At beginning of period | $ 178,973,962 | $ 262,354,104 |
At end of period | $201,311,689 | $178,973,962 |
(1) | Includes $1,356,271 of net realized gains from redemptions in-kind. |
(2) | Includes $3,009,242 of net realized gains from redemptions in-kind. |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.71% (1)(2) | 0.72% (2) | 0.70% | 0.71% | 0.72% | 0.72% |
Net investment loss | (0.02)% (1) | (0.23)% | (0.28)% | (0.08)% | (0.01)% | (0.04)% |
Portfolio Turnover | 1% (3) | 0% (4) | 13% | 24% | 18% | 18% |
Total Return | 14.02% (3) | (27.00)% | 35.12% | 26.36% | 13.76% | 13.18% |
Net assets, end of period (000’s omitted) | $201,312 | $178,974 | $262,354 | $200,795 | $167,562 | $153,366 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(3) | Not annualized. |
(4) | Amount is less than 0.5%. |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.650% |
$500 million but less than $1 billion | 0.625% |
$1 billion but less than $2.5 billion | 0.600% |
$2.5 billion and over | 0.600% |
Aggregate cost | $ 70,611,870 |
Gross unrealized appreciation | $ 131,037,665 |
Gross unrealized depreciation | (120,146) |
Net unrealized appreciation | $130,917,519 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $79,074 | $ — | $ — | $ — | $79,074 |
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 | $1,264,568 | $4,842,095 | $(3,128,633) | $ — | $ — | $2,978,030 | $61,768 | 2,978,030 |
• | 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 |
Common Stocks | $ 198,472,285* | $ — | $ — | $ 198,472,285 |
Short-Term Investments: | ||||
Affiliated Fund | 2,978,030 | — | — | 2,978,030 |
Securities Lending Collateral | 79,074 | — | — | 79,074 |
Total Investments | $ 201,529,389 | $ — | $ — | $201,529,389 |
* | The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments. |
Officers of Eaton Vance Tax-Managed Multi-Cap Growth Fund | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer | |
Officers of Tax-Managed Multi-Cap Growth Portfolio | |
R. Kelly Williams, Jr. President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Tax-Managed Multi-Cap Growth Fund and Tax-Managed Multi-Cap Growth Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Tax-Managed Multi-Cap Growth Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 09/25/1997 | 09/25/1997 | 4.56% | 1.12% | 7.28% | 9.47% |
Class A with 5.25% Maximum Sales Charge | — | — | (0.94) | (4.19) | 6.14 | 8.88 |
Class C at NAV | 09/29/1997 | 09/25/1997 | 4.14 | 0.36 | 6.49 | 8.81 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 3.14 | (0.61) | 6.49 | 8.81 |
Class I at NAV | 10/01/2009 | 09/25/1997 | 4.64 | 1.36 | 7.54 | 9.73 |
Russell 2000® Index | — | — | (3.45)% | (3.65)% | 4.15% | 7.88% |
% After-Tax Returns with Maximum Sales Charge2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A After Taxes on Distributions | 09/25/1997 | 09/25/1997 | (4.71)% | 5.07% | 7.70% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | (1.99) | 4.86 | 7.18 |
Class C After Taxes on Distributions | 09/29/1997 | 09/25/1997 | (1.31) | 5.19 | 7.46 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | 0.29 | 5.15 | 7.07 |
Class I After Taxes on Distributions | 10/01/2009 | 09/25/1997 | 0.77 | 6.45 | 8.55 |
Class I After Taxes on Distributions and Sale of Fund Shares | — | — | 1.35 | 6.03 | 7.94 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
1.15% | 1.90% | 0.90% |
Sector Allocation (% of net assets)1 |
Top 10 Holdings (% of net assets)1 | |
Chemed Corp. | 3.0% |
CBIZ, Inc. | 2.9 |
Valvoline, Inc. | 2.7 |
Dorman Products, Inc. | 2.6 |
ONE Gas, Inc. | 2.6 |
Essential Properties Realty Trust, Inc. | 2.6 |
Altair Engineering, Inc., Class A | 2.4 |
Wyndham Hotels & Resorts, Inc. | 2.4 |
White Mountains Insurance Group, Ltd. | 2.2 |
Envista Holdings Corp. | 2.2 |
Total | 25.6% |
1 | Excludes cash and cash equivalents. |
1 | Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. After-tax returns are calculated using certain assumptions, including using the highest historical individual federal income tax rates, and do not reflect the impact of state/local taxes. Actual after-tax returns depend on a shareholder’s tax situation and the actual characterization of distributions and may differ from those shown. After-tax returns are not relevant to shareholders who hold shares in tax-deferred accounts or shares held by nontaxable entities. Return After Taxes on Distributions may be the same as Return Before Taxes for the same period because no taxable distributions were made during that period. Return After Taxes on Distributions and Sale of Fund Shares may be greater than or equal to Return After Taxes on Distributions for the same period because of losses realized on the sale of Fund shares. The Fund’s after-tax returns also may reflect foreign tax credits passed by the Fund to its shareholders.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,045.60 | $5.88 | 1.16% |
Class C | $1,000.00 | $1,041.40 | $9.67 | 1.91% |
Class I | $1,000.00 | $1,046.40 | $4.62 | 0.91% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.04 | $5.81 | 1.16% |
Class C | $1,000.00 | $1,015.32 | $9.54 | 1.91% |
Class I | $1,000.00 | $1,020.28 | $4.56 | 0.91% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
April 30, 2023 | |
Assets | |
Investment in Tax-Managed Small-Cap Portfolio, at value (identified cost $98,694,128) | $ 121,415,731 |
Receivable for Fund shares sold | 68,168 |
Total assets | $121,483,899 |
Liabilities | |
Payable for Fund shares redeemed | $ 76,164 |
Payable to affiliates: | |
Distribution and service fees | 20,578 |
Accrued expenses | 73,364 |
Total liabilities | $ 170,106 |
Net Assets | $121,313,793 |
Sources of Net Assets | |
Paid-in capital | $ 99,589,935 |
Distributable earnings | 21,723,858 |
Net Assets | $121,313,793 |
Class A Shares | |
Net Assets | $ 89,679,909 |
Shares Outstanding | 3,156,582 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 28.41 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 29.98 |
Class C Shares | |
Net Assets | $ 2,492,843 |
Shares Outstanding | 118,312 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 21.07 |
Class I Shares | |
Net Assets | $ 29,141,041 |
Shares Outstanding | 988,621 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 29.48 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio | $ 879,953 |
Expenses allocated from Portfolio | (405,669) |
Total investment income from Portfolio | $ 474,284 |
Expenses | |
Distribution and service fees: | |
Class A | $ 111,105 |
Class C | 12,458 |
Trustees’ fees and expenses | 208 |
Custodian fee | 9,200 |
Transfer and dividend disbursing agent fees | 63,575 |
Legal and accounting services | 19,507 |
Printing and postage | 7,222 |
Registration fees | 24,484 |
ReFlow liquidity program fees | 6,495 |
Miscellaneous | 5,412 |
Total expenses | $ 259,666 |
Net investment income | $ 214,618 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ 3,192,732(1) |
Net realized gain | $3,192,732 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 1,824,390 |
Net change in unrealized appreciation (depreciation) | $1,824,390 |
Net realized and unrealized gain | $5,017,122 |
Net increase in net assets from operations | $5,231,740 |
(1) | Includes $1,258,383 of net realized gains from redemptions in-kind. |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income (loss) | $ 214,618 | $ (12,864) |
Net realized gain | 3,192,732 (1) | 5,996,029 (2) |
Net change in unrealized appreciation (depreciation) | 1,824,390 | (23,823,045) |
Net increase (decrease) in net assets from operations | $ 5,231,740 | $ (17,839,880) |
Distributions to shareholders: | ||
Class A | $ (2,335,309) | $ (8,360,876) |
Class C | (83,428) | (312,679) |
Class I | (759,585) | (2,381,714) |
Total distributions to shareholders | $ (3,178,322) | $ (11,055,269) |
Transactions in shares of beneficial interest: | ||
Class A | $ (222,055) | $ 2,875,658 |
Class C | (99,657) | 49,659 |
Class I | 1,285,751 | 3,524,878 |
Net increase in net assets from Fund share transactions | $ 964,039 | $ 6,450,195 |
Net increase (decrease) in net assets | $ 3,017,457 | $ (22,444,954) |
Net Assets | ||
At beginning of period | $ 118,296,336 | $ 140,741,290 |
At end of period | $121,313,793 | $118,296,336 |
(1) | Includes $1,258,383 of net realized gains from redemptions in-kind. |
(2) | Includes $3,413,071 of net realized gains from redemptions in-kind. |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 27.940 | $ 34.810 | $ 24.520 | $ 26.960 | $ 25.910 | $ 27.390 |
Income (Loss) From Operations | ||||||
Net investment income (loss)(1) | $ 0.045 | $ (0.014) | $ (0.052) | $ 0.016 | $ (0.001) | $ (0.059) |
Net realized and unrealized gain (loss) | 1.175 | (4.121) | 10.369 | (0.739) | 2.765 | 1.583 |
Total income (loss) from operations | $ 1.220 | $ (4.135) | $ 10.317 | $ (0.723) | $ 2.764 | $ 1.524 |
Less Distributions | ||||||
From net investment income | $ (0.041) | $ (0.025) | $ (0.027) | $ — | $ (0.032) | $ — |
From net realized gain | (0.709) | (2.710) | — | (1.717) | (1.682) | (3.004) |
Total distributions | $ (0.750) | $ (2.735) | $ (0.027) | $ (1.717) | $ (1.714) | $ (3.004) |
Net asset value — End of period | $28.410 | $27.940 | $ 34.810 | $24.520 | $26.960 | $25.910 |
Total Return(2) | 4.56% (3) | (12.82)% | 42.10% | (3.09)% | 12.26% | 5.79% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 89,680 | $ 88,303 | $107,257 | $ 78,430 | $ 89,352 | $ 75,199 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.16% (5)(6) | 1.15% (6) | 1.11% | 1.17% | 1.20% | 1.17% |
Net investment income (loss) | 0.32% (5) | (0.05)% | (0.16)% | 0.06% | (0.01)% | (0.22)% |
Portfolio Turnover of the Portfolio | 23% (3) | 43% | 40% | 44% | 51% | 51% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 20.960 | $ 26.780 | $ 18.990 | $ 21.410 | $ 21.070 | $ 22.970 |
Income (Loss) From Operations | ||||||
Net investment loss(1) | $ (0.044) | $ (0.177) | $ (0.215) | $ (0.126) | $ (0.111) | $ (0.212) |
Net realized and unrealized gain (loss) | 0.863 | (3.100) | 8.005 | (0.577) | 2.133 | 1.316 |
Total income (loss) from operations | $ 0.819 | $ (3.277) | $ 7.790 | $ (0.703) | $ 2.022 | $ 1.104 |
Less Distributions | ||||||
From net realized gain | $ (0.709) | $ (2.543) | $ — | $ (1.717) | $ (1.682) | $ (3.004) |
Total distributions | $ (0.709) | $ (2.543) | $ — | $ (1.717) | $ (1.682) | $ (3.004) |
Net asset value — End of period | $21.070 | $20.960 | $26.780 | $18.990 | $21.410 | $21.070 |
Total Return(2) | 4.14% (3) | (13.43)% | 41.02% | (3.86)% | 11.45% | 4.99% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 2,493 | $ 2,574 | $ 3,236 | $ 3,565 | $ 5,675 | $ 18,482 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.91% (5)(6) | 1.90% (6) | 1.86% | 1.92% | 1.95% | 1.92% |
Net investment loss | (0.42)% (5) | (0.79)% | (0.87)% | (0.66)% | (0.55)% | (0.96)% |
Portfolio Turnover of the Portfolio | 23% (3) | 43% | 40% | 44% | 51% | 51% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 29.010 | $ 36.020 | $ 25.370 | $ 27.770 | $ 26.650 | $ 28.020 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.082 | $ 0.059 | $ 0.027 | $ 0.081 | $ 0.071 | $ 0.007 |
Net realized and unrealized gain (loss) | 1.214 | (4.251) | 10.714 | (0.764) | 2.833 | 1.627 |
Total income (loss) from operations | $ 1.296 | $ (4.192) | $10.741 | $ (0.683) | $ 2.904 | $ 1.634 |
Less Distributions | ||||||
From net investment income | $ (0.117) | $ (0.108) | $ (0.091) | $ — | $ (0.102) | $ — |
From net realized gain | (0.709) | (2.710) | — | (1.717) | (1.682) | (3.004) |
Total distributions | $ (0.826) | $ (2.818) | $ (0.091) | $ (1.717) | $ (1.784) | $ (3.004) |
Net asset value — End of period | $29.480 | $29.010 | $36.020 | $25.370 | $27.770 | $26.650 |
Total Return(2) | 4.64% (3) | (12.56)% | 42.46% | (2.89)% | 12.52% | 6.07% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 29,141 | $ 27,419 | $ 30,248 | $ 20,346 | $ 24,763 | $ 24,628 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 0.91% (5)(6) | 0.90% (6) | 0.86% | 0.92% | 0.95% | 0.92% |
Net investment income | 0.56% (5) | 0.19% | 0.08% | 0.32% | 0.27% | 0.02% |
Portfolio Turnover of the Portfolio | 23% (3) | 43% | 40% | 44% | 51% | 51% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.6250% |
$500 million but less than $1 billion | 0.5625% |
$1 billion but less than $1.5 billion | 0.5000% |
$1.5 billion and over | 0.4375% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 37,076 | $ 1,048,267 | 81,221 | $ 2,443,616 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 82,542 | 2,187,359 | 245,909 | 7,810,082 | |
Redemptions | (123,153) | (3,457,681) | (248,566) | (7,378,040) | |
Net increase (decrease) | (3,535) | $ (222,055) | 78,564 | $ 2,875,658 | |
Class C | |||||
Sales | 5,785 | $ 120,564 | 18,563 | $ 424,160 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 4,235 | 83,420 | 12,995 | 311,624 | |
Redemptions | (14,548) | (303,641) | (29,551) | (686,125) | |
Net increase (decrease) | (4,528) | $ (99,657) | 2,007 | $ 49,659 | |
Class I | |||||
Sales | 211,416 | $ 6,170,386 | 638,523 | $ 19,988,523 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 26,395 | 725,071 | 70,535 | 2,320,590 | |
Redemptions | (194,474) | (5,609,706) | (603,427) | (18,784,235) | |
Net increase | 43,337 | $ 1,285,751 | 105,631 | $ 3,524,878 |
Common Stocks — 99.1% |
Security | Shares | Value | |
Aerospace & Defense — 2.4% | |||
Hexcel Corp. | 25,496 | $ 1,837,752 | |
Woodward, Inc. | 27,057 | 2,598,013 | |
$ 4,435,765 | |||
Automobile Components — 3.8% | |||
Dana, Inc. | 31,440 | $ 464,998 | |
Dorman Products, Inc.(1) | 55,371 | 4,770,765 | |
Visteon Corp.(1) | 13,246 | 1,859,606 | |
$ 7,095,369 | |||
Automobiles — 0.8% | |||
Harley-Davidson, Inc. | 36,940 | $ 1,370,474 | |
$ 1,370,474 | |||
Banks — 6.3% | |||
Commerce Bancshares, Inc. | 60,303 | $ 3,367,923 | |
Community Bank System, Inc. | 65,448 | 3,269,782 | |
Glacier Bancorp, Inc. | 14,243 | 473,295 | |
Independent Bank Corp. | 13,160 | 736,960 | |
SouthState Corp. | 36,945 | 2,548,466 | |
Stock Yards Bancorp, Inc. | 25,477 | 1,238,182 | |
$ 11,634,608 | |||
Building Products — 5.8% | |||
AAON, Inc. | 35,980 | $ 3,526,040 | |
AZEK Co., Inc. (The)(1) | 120,023 | 3,257,424 | |
CSW Industrials, Inc. | 21,710 | 2,923,686 | |
Hayward Holdings, Inc.(1) | 75,935 | 914,257 | |
$ 10,621,407 | |||
Capital Markets — 2.4% | |||
Cohen & Steers, Inc. | 39,552 | $ 2,375,493 | |
Stifel Financial Corp. | 35,228 | 2,112,623 | |
$ 4,488,116 | |||
Chemicals — 1.8% | |||
Quaker Chemical Corp. | 18,227 | $ 3,401,705 | |
$ 3,401,705 |
Security | Shares | Value | |
Commercial Services & Supplies — 1.5% | |||
Rentokil Initial PLC ADR | 69,691 | $ 2,762,551 | |
$ 2,762,551 | |||
Consumer Staples Distribution & Retail — 3.9% | |||
Casey's General Stores, Inc. | 9,963 | $ 2,279,734 | |
Chefs' Warehouse, Inc. (The)(1) | 31,188 | 1,037,313 | |
Performance Food Group Co.(1) | 63,035 | 3,951,664 | |
$ 7,268,711 | |||
Containers & Packaging — 1.8% | |||
AptarGroup, Inc. | 28,535 | $ 3,381,683 | |
$ 3,381,683 | |||
Diversified Consumer Services — 1.5% | |||
Bright Horizons Family Solutions, Inc.(1) | 37,024 | $ 2,818,267 | |
$ 2,818,267 | |||
Diversified REITs — 2.6% | |||
Essential Properties Realty Trust, Inc. | 191,824 | $ 4,747,644 | |
$ 4,747,644 | |||
Electronic Equipment, Instruments & Components — 0.5% | |||
National Instruments Corp. | 14,864 | $ 865,531 | |
$ 865,531 | |||
Financial Services — 1.1% | |||
Euronet Worldwide, Inc.(1) | 17,789 | $ 1,969,954 | |
$ 1,969,954 | |||
Food Products — 1.0% | |||
J&J Snack Foods Corp. | 12,370 | $ 1,895,084 | |
$ 1,895,084 | |||
Gas Utilities — 2.6% | |||
ONE Gas, Inc. | 61,773 | $ 4,753,432 | |
$ 4,753,432 | |||
Ground Transportation — 1.7% | |||
Landstar System, Inc. | 17,890 | $ 3,149,177 | |
$ 3,149,177 | |||
Health Care Equipment & Supplies — 6.5% | |||
Envista Holdings Corp.(1) | 104,495 | $ 4,022,013 | |
ICU Medical, Inc.(1) | 8,959 | 1,694,505 |
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
Integra LifeSciences Holdings Corp.(1) | 60,875 | $ 3,367,605 | |
Neogen Corp.(1) | 174,072 | 2,997,520 | |
$ 12,081,643 | |||
Health Care Providers & Services — 11.2% | |||
Addus HomeCare Corp.(1) | 26,360 | $ 2,154,666 | |
Agiliti, Inc.(1) | 183,709 | 3,071,615 | |
Chemed Corp. | 9,941 | 5,479,976 | |
Premier, Inc., Class A | 89,149 | 2,971,336 | |
R1 RCM, Inc.(1) | 221,574 | 3,454,339 | |
U.S. Physical Therapy, Inc. | 33,451 | 3,561,193 | |
$ 20,693,125 | |||
Hotels, Restaurants & Leisure — 4.5% | |||
Papa John's International, Inc. | 21,458 | $ 1,604,844 | |
Planet Fitness, Inc., Class A(1) | 13,428 | 1,116,404 | |
Texas Roadhouse, Inc. | 10,020 | 1,108,412 | |
Wyndham Hotels & Resorts, Inc. | 65,343 | 4,457,700 | |
$ 8,287,360 | |||
Industrial REITs — 4.2% | |||
EastGroup Properties, Inc. | 21,809 | $ 3,632,507 | |
Rexford Industrial Realty, Inc. | 28,203 | 1,572,881 | |
Terreno Realty Corp. | 39,808 | 2,451,775 | |
$ 7,657,163 | |||
Insurance — 7.7% | |||
AMERISAFE, Inc. | 10,317 | $ 574,141 | |
RLI Corp. | 23,812 | 3,311,059 | |
Ryan Specialty Holdings, Inc., Class A(1) | 65,836 | 2,690,059 | |
Selective Insurance Group, Inc. | 36,908 | 3,555,348 | |
White Mountains Insurance Group, Ltd. | 2,897 | 4,148,909 | |
$ 14,279,516 | |||
Interactive Media & Services — 0.5% | |||
CarGurus, Inc.(1) | 55,252 | $ 908,343 | |
$ 908,343 | |||
Leisure Products — 1.0% | |||
Brunswick Corp. | 22,204 | $ 1,882,677 | |
$ 1,882,677 | |||
Machinery — 1.8% | |||
Middleby Corp.(1) | 23,532 | $ 3,315,188 | |
$ 3,315,188 |
Security | Shares | Value | |
Professional Services — 2.9% | |||
CBIZ, Inc.(1) | 102,724 | $ 5,412,527 | |
$ 5,412,527 | |||
Retail REITs — 1.2% | |||
NETSTREIT Corp. | 117,080 | $ 2,133,198 | |
$ 2,133,198 | |||
Software — 8.8% | |||
Altair Engineering, Inc., Class A(1) | 65,415 | $ 4,516,906 | |
Clearwater Analytics Holdings, Inc., Class A(1) | 108,405 | 1,670,521 | |
Envestnet, Inc.(1) | 62,727 | 3,975,637 | |
Progress Software Corp. | 44,531 | 2,443,861 | |
SPS Commerce, Inc.(1) | 25,295 | 3,725,954 | |
$ 16,332,879 | |||
Specialized REITs — 1.6% | |||
CubeSmart | 64,989 | $ 2,956,350 | |
$ 2,956,350 | |||
Specialty Retail — 3.2% | |||
RH (1) | 3,682 | $ 939,389 | |
Valvoline, Inc. | 143,301 | 4,951,049 | |
$ 5,890,438 | |||
Trading Companies & Distributors — 2.5% | |||
Core & Main, Inc., Class A(1) | 143,754 | $ 3,746,229 | |
Herc Holdings, Inc. | 9,350 | 935,187 | |
$ 4,681,416 | |||
Total Common Stocks (identified cost $143,956,121) | $183,171,301 |
Short-Term Investments — 0.6% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(2) | 1,063,823 | $ 1,063,823 | |
Total Short-Term Investments (identified cost $1,063,823) | $ 1,063,823 | ||
Total Investments — 99.7% (identified cost $145,019,944) | $184,235,124 | ||
Other Assets, Less Liabilities — 0.3% | $ 524,171 | ||
Net Assets — 100.0% | $184,759,295 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Abbreviations: | |
ADR | – American Depositary Receipt |
REITs | – Real Estate Investment Trusts |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $143,956,121) | $ 183,171,301 |
Affiliated investment, at value (identified cost $1,063,823) | 1,063,823 |
Dividends receivable | 29,994 |
Dividends receivable from affiliated investment | 13,753 |
Receivable for investments sold | 2,217,451 |
Total assets | $186,496,322 |
Liabilities | |
Payable for investments purchased | $ 1,574,153 |
Payable to affiliates: | |
Investment adviser fee | 94,733 |
Accrued expenses | 68,141 |
Total liabilities | $ 1,737,027 |
Net Assets applicable to investors' interest in Portfolio | $184,759,295 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income | $ 1,255,476 |
Dividend income from affiliated investment | 84,233 |
Total investment income | $1,339,709 |
Expenses | |
Investment adviser fee | $ 566,428 |
Trustees’ fees and expenses | 4,870 |
Custodian fee | 23,150 |
Legal and accounting services | 22,902 |
Miscellaneous | 3,717 |
Total expenses | $ 621,067 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 3,329 |
Total expense reductions | $ 3,329 |
Net expenses | $ 617,738 |
Net investment income | $ 721,971 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 4,867,720(1) |
Net realized gain | $4,867,720 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 2,793,805 |
Net change in unrealized appreciation (depreciation) | $2,793,805 |
Net realized and unrealized gain | $7,661,525 |
Net increase in net assets from operations | $8,383,496 |
(1) | Includes $1,916,501 of net realized gains from redemptions in-kind. |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 721,971 | $ 793,887 |
Net realized gain | 4,867,720 (1) | 9,133,748 (2) |
Net change in unrealized appreciation (depreciation) | 2,793,805 | (36,265,894) |
Net increase (decrease) in net assets from operations | $ 8,383,496 | $ (26,338,259) |
Capital transactions: | ||
Contributions | $ 3,011,517 | $ 7,915,041 |
Withdrawals | (6,265,186) | (17,215,619) |
Net decrease in net assets from capital transactions | $ (3,253,669) | $ (9,300,578) |
Net increase (decrease) in net assets | $ 5,129,827 | $ (35,638,837) |
Net Assets | ||
At beginning of period | $ 179,629,468 | $ 215,268,305 |
At end of period | $184,759,295 | $179,629,468 |
(1) | Includes $1,916,501 of net realized gains from redemptions in-kind. |
(2) | Includes $5,199,110 of net realized gains from redemptions in-kind. |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.68% (1)(2) | 0.69% (2) | 0.68% | 0.69% | 0.69% | 0.69% |
Net investment income | 0.80% (1) | 0.41% | 0.27% | 0.54% | 0.51% | 0.26% |
Portfolio Turnover | 23% (3) | 43% | 40% | 44% | 51% | 51% |
Total Return | 4.81% (3) | (12.42)% | 42.69% | (2.63)% | 12.82% | 6.30% |
Net assets, end of period (000’s omitted) | $184,759 | $179,629 | $215,268 | $155,429 | $178,500 | $172,324 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and for the year ended October 31, 2022). |
(3) | Not annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.6250% |
$500 million but less than $1 billion | 0.5625% |
$1 billion but less than $1.5 billion | 0.5000% |
$1.5 billion and over | 0.4375% |
Aggregate cost | $146,081,497 |
Gross unrealized appreciation | $ 40,526,713 |
Gross unrealized depreciation | (2,373,086) |
Net unrealized appreciation | $ 38,153,627 |
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 | $5,430,229 | $21,930,606 | $(26,297,012) | $ — | $ — | $1,063,823 | $84,233 | 1,063,823 |
• | 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 |
Common Stocks | $ 183,171,301* | $ — | $ — | $ 183,171,301 |
Short-Term Investments | 1,063,823 | — | — | 1,063,823 |
Total Investments | $ 184,235,124 | $ — | $ — | $184,235,124 |
* | The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments. |
Officers of Eaton Vance Tax-Managed Small-Cap Fund | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer | |
Officers of Tax-Managed Small-Cap Portfolio | |
R. Kelly Williams, Jr. President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Tax-Managed Small-Cap Fund and Tax-Managed Small-Cap Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Tax-Managed Small-Cap Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 03/04/2002 | 03/04/2002 | 11.57% | 1.84% | 5.34% | 7.54% |
Class A with 5.25% Maximum Sales Charge | — | — | 5.68 | (3.50) | 4.21 | 6.97 |
Class C at NAV | 03/04/2002 | 03/04/2002 | 11.14 | 1.05 | 4.55 | 6.90 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 10.14 | 0.10 | 4.55 | 6.90 |
Class I at NAV | 10/01/2009 | 03/04/2002 | 11.69 | 2.05 | 5.61 | 7.82 |
MSCI World Small Cap Index | — | — | 6.80% | (1.81)% | 4.24% | 7.47% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 1.83% | 2.58% | 1.58% |
Net | 1.35 | 2.10 | 1.10 |
Sector Allocation (% of net assets)1 |
Country Allocation (% of net assets) |
Top 10 Holdings (% of net assets)1 | |
Rentokil Initial PLC ADR | 1.8% |
CBIZ, Inc. | 1.8 |
Chemed Corp. | 1.7 |
Valvoline, Inc. | 1.6 |
Cooper Cos., Inc. (The) | 1.6 |
Fair Isaac Corp. | 1.6 |
DiscoverIE Group PLC | 1.3 |
ATS Corp. | 1.3 |
Wyndham Hotels & Resorts, Inc. | 1.3 |
Selective Insurance Group, Inc. | 1.3 |
Total | 15.3% |
1 | Excludes cash and cash equivalents. |
1 | MSCI World Small Cap Index is an unmanaged index of small-cap equity securities in the developed markets. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.Prior to August 7, 2015, the Fund’s investment adviser employed an investment objective and strategy of seeking to achieve long-term after-tax returns by investing in value stocks of small-cap companies. From August 7, 2015 until March 1, 2018, the Fund’s investment adviser employed an investment objective and strategy of seeking long-term, after-tax returns by investing in stocks of global small-cap companies. Effective March 1, 2018, the Fund changed its investment objective and strategy to no longer seek after-tax returns. Performance prior to March 1, 2018 reflects the Fund’s performance under its former investment objectives and policies. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 2/29/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,115.70 | $ 7.08** | 1.35% |
Class C | $1,000.00 | $1,111.40 | $10.99** | 2.10% |
Class I | $1,000.00 | $1,116.90 | $ 5.77** | 1.10% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.10 | $ 6.76** | 1.35% |
Class C | $1,000.00 | $1,014.38 | $10.49** | 2.10% |
Class I | $1,000.00 | $1,019.34 | $ 5.51** | 1.10% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. |
** | Absent an allocation of certain expenses to an affiliate, expenses would be higher. |
Common Stocks — 98.7% |
Security | Shares | Value | |
Australia — 3.7% | |||
BlueScope Steel, Ltd. | 3,988 | $ 53,007 | |
carsales.com, Ltd. | 15,167 | 240,523 | |
Data#3, Ltd. | 35,346 | 178,434 | |
IGO, Ltd. | 11,035 | 101,620 | |
Northern Star Resources, Ltd. | 11,535 | 102,890 | |
Steadfast Group, Ltd. | 35,370 | 139,443 | |
WiseTech Global, Ltd. | 2,931 | 134,256 | |
$ 950,173 | |||
Austria — 0.7% | |||
ams-OSRAM AG(1) | 7,631 | $ 52,700 | |
BAWAG Group AG(1)(2) | 2,533 | 123,545 | |
$ 176,245 | |||
Belgium — 1.2% | |||
Azelis Group NV | 12,688 | $ 301,016 | |
$ 301,016 | |||
Canada — 3.3% | |||
Agnico Eagle Mines, Ltd. | 1,169 | $ 66,317 | |
ARC Resources, Ltd. | 7,396 | 91,873 | |
ATS Corp.(1) | 8,050 | 345,089 | |
Granite Real Estate Investment Trust | 2,133 | 132,654 | |
Keyera Corp. | 3,669 | 86,333 | |
Killam Apartment Real Estate Investment Trust | 8,550 | 106,209 | |
Pan American Silver Corp. | 1,784 | 31,760 | |
$ 860,235 | |||
France — 0.9% | |||
IPSOS | 4,200 | $ 227,726 | |
$ 227,726 | |||
Germany — 0.4% | |||
Encavis AG | 5,842 | $ 101,022 | |
$ 101,022 | |||
Ireland — 0.8% | |||
Jazz Pharmaceuticals PLC(1) | 1,384 | $ 194,410 | |
$ 194,410 | |||
Italy — 3.6% | |||
Amplifon SpA | 6,914 | $ 253,812 |
Security | Shares | Value | |
Italy (continued) | |||
BFF Bank SpA(2) | 22,703 | $ 218,474 | |
DiaSorin SpA | 682 | 74,074 | |
FinecoBank Banca Fineco SpA | 10,232 | 155,094 | |
MARR SpA | 8,276 | 129,664 | |
Moncler SpA | 1,524 | 113,052 | |
$ 944,170 | |||
Japan — 11.3% | |||
As One Corp. | 5,003 | $ 211,950 | |
Asahi Intecc Co., Ltd. | 6,392 | 115,671 | |
BayCurrent Consulting, Inc. | 4,494 | 156,211 | |
Chiba Bank, Ltd. (The) | 14,422 | 94,176 | |
Cosmos Pharmaceutical Corp. | 2,232 | 219,529 | |
Fukuoka Financial Group, Inc. | 5,897 | 111,070 | |
Goldwin, Inc. | 1,481 | 134,567 | |
JMDC, Inc. | 2,401 | 86,073 | |
Kobe Bussan Co., Ltd. | 3,549 | 99,260 | |
Kose Corp. | 1,341 | 156,488 | |
Kyoritsu Maintenance Co., Ltd. | 3,663 | 147,861 | |
LaSalle Logiport REIT | 118 | 140,184 | |
Mitsubishi Research Institute, Inc. | 2,976 | 107,978 | |
Miura Co., Ltd. | 8,812 | 234,728 | |
Nissan Chemical Corp. | 2,573 | 114,349 | |
Sanwa Holdings Corp. | 22,204 | 243,204 | |
Sumco Corp. | 9,571 | 131,808 | |
T Hasegawa Co., Ltd. | 5,104 | 121,514 | |
USS Co., Ltd. | 12,181 | 204,689 | |
Yamaha Corp. | 2,665 | 105,027 | |
$ 2,936,337 | |||
Luxembourg — 0.1% | |||
APERAM S.A. | 903 | $ 33,481 | |
$ 33,481 | |||
Netherlands — 2.0% | |||
BE Semiconductor Industries NV | 1,571 | $ 141,411 | |
Euronext NV(2) | 1,778 | 141,403 | |
IMCD NV | 1,491 | 224,454 | |
$ 507,268 | |||
New Zealand — 1.0% | |||
EBOS Group, Ltd. | 4,655 | $ 127,747 | |
Spark New Zealand, Ltd. | 41,768 | 135,335 | |
$ 263,082 |
Security | Shares | Value | |
Norway — 0.6% | |||
Entra ASA(2) | 6,332 | $ 64,343 | |
SmartCraft ASA(1) | 40,544 | 77,320 | |
TGS ASA | 1,650 | 25,876 | |
$ 167,539 | |||
Singapore — 0.4% | |||
Daiwa House Logistics Trust | 216,288 | $ 91,750 | |
$ 91,750 | |||
Spain — 0.2% | |||
Inmobiliaria Colonial Socimi S.A. | 9,524 | $ 60,882 | |
$ 60,882 | |||
Sweden — 1.0% | |||
Boliden AB | 1,487 | $ 53,141 | |
Sdiptech AB, Class B(1) | 8,652 | 199,918 | |
$ 253,059 | |||
Switzerland — 0.6% | |||
Galenica AG(2) | 1,862 | $ 166,870 | |
$ 166,870 | |||
United Kingdom — 10.7% | |||
Abcam PLC ADR(1) | 7,392 | $ 120,416 | |
Capricorn Energy PLC(1) | 15,613 | 43,041 | |
Cranswick PLC | 4,316 | 174,536 | |
Diploma PLC | 8,381 | 284,005 | |
DiscoverIE Group PLC | 32,510 | 345,486 | |
Games Workshop Group PLC | 1,499 | 187,102 | |
Greggs PLC | 4,089 | 145,225 | |
JTC PLC(2) | 33,164 | 330,827 | |
Rentokil Initial PLC ADR | 12,140 | 481,230 | |
Shaftesbury Capital PLC | 50,363 | 74,490 | |
St. James's Place PLC | 9,248 | 140,645 | |
Volution Group PLC | 36,879 | 201,448 | |
Watches of Switzerland Group PLC(1)(2) | 11,161 | 116,833 | |
Wise PLC, Class A(1) | 19,083 | 132,127 | |
$ 2,777,411 | |||
United States — 56.2% | |||
AAON, Inc. | 3,053 | $ 299,194 | |
Addus HomeCare Corp.(1) | 1,357 | 110,921 | |
Agiliti, Inc.(1) | 14,703 | 245,834 | |
Alliant Energy Corp. | 4,720 | 260,261 | |
Altair Engineering, Inc., Class A(1) | 3,103 | 214,262 | |
AptarGroup, Inc. | 2,083 | 246,856 |
Security | Shares | Value | |
United States (continued) | |||
Autoliv, Inc. | 1,886 | $ 161,838 | |
AZEK Co., Inc. (The)(1) | 11,276 | 306,031 | |
Brunswick Corp. | 1,512 | 128,203 | |
Casey's General Stores, Inc. | �� 645 | 147,589 | |
CBIZ, Inc.(1) | 8,681 | 457,402 | |
Ceridian HCM Holding, Inc.(1) | 1,704 | 108,170 | |
Chemed Corp. | 801 | 441,551 | |
Clearwater Analytics Holdings, Inc., Class A(1) | 7,270 | 112,031 | |
CMS Energy Corp. | 4,085 | 254,332 | |
Commerce Bancshares, Inc. | 3,385 | 189,052 | |
Cooper Cos., Inc. (The) | 1,083 | 413,110 | |
Core & Main, Inc., Class A(1) | 10,581 | 275,741 | |
CubeSmart | 5,584 | 254,016 | |
Dana, Inc. | 2,557 | 37,818 | |
Domino's Pizza, Inc. | 664 | 210,800 | |
Dorman Products, Inc.(1) | 3,771 | 324,909 | |
EastGroup Properties, Inc. | 1,722 | 286,816 | |
Envestnet, Inc.(1) | 4,240 | 268,731 | |
Envista Holdings Corp.(1) | 7,525 | 289,637 | |
Equity LifeStyle Properties, Inc. | 4,513 | 310,946 | |
Fair Isaac Corp.(1) | 567 | 412,748 | |
Floor & Decor Holdings, Inc., Class A(1) | 817 | 81,161 | |
Generac Holdings, Inc.(1) | 619 | 63,274 | |
Graco, Inc. | 4,131 | 327,547 | |
Harley-Davidson, Inc. | 2,920 | 108,332 | |
Herc Holdings, Inc. | 519 | 51,910 | |
Hexcel Corp. | 2,109 | 152,017 | |
Landstar System, Inc. | 1,014 | 178,494 | |
LPL Financial Holdings, Inc. | 480 | 100,243 | |
M&T Bank Corp. | 1,287 | 161,905 | |
MarketAxess Holdings, Inc. | 717 | 228,271 | |
Middleby Corp.(1) | 2,312 | 325,715 | |
National Instruments Corp. | 1,254 | 73,020 | |
Neogen Corp.(1) | 5,310 | 91,438 | |
Neurocrine Biosciences, Inc.(1) | 1,094 | 110,538 | |
Nordson Corp. | 793 | 171,534 | |
Papa John's International, Inc. | 1,521 | 113,756 | |
Performance Food Group Co.(1) | 4,759 | 298,342 | |
Planet Fitness, Inc., Class A(1) | 1,324 | 110,077 | |
Premier, Inc., Class A | 6,959 | 231,944 | |
Progress Software Corp. | 2,790 | 153,115 | |
Quaker Chemical Corp. | 1,359 | 253,630 | |
R1 RCM, Inc.(1) | 14,982 | 233,569 | |
Rexford Industrial Realty, Inc. | 5,294 | 295,246 | |
RH (1) | 313 | 79,856 | |
RLI Corp. | 2,359 | 328,019 |
Security | Shares | Value | |
United States (continued) | |||
Ryan Specialty Holdings, Inc., Class A(1) | 7,279 | $ 297,420 | |
Selective Insurance Group, Inc. | 3,530 | 340,045 | |
SouthState Corp. | 2,969 | 204,802 | |
SPS Commerce, Inc.(1) | 872 | 128,446 | |
Stifel Financial Corp. | 1,546 | 92,714 | |
Teleflex, Inc. | 1,141 | 310,945 | |
Texas Roadhouse, Inc. | 968 | 107,080 | |
Tradeweb Markets, Inc., Class A | 3,312 | 233,198 | |
Tyler Technologies, Inc.(1) | 453 | 171,701 | |
Valvoline, Inc. | 12,082 | 417,433 | |
Visteon Corp.(1) | 741 | 104,029 | |
W.R. Berkley Corp. | 4,541 | 267,556 | |
White Mountains Insurance Group, Ltd. | 210 | 300,749 | |
Woodward, Inc. | 1,659 | 159,297 | |
Wyndham Hotels & Resorts, Inc. | 5,029 | 343,078 | |
$14,570,245 | |||
Total Common Stocks (identified cost $21,377,182) | $25,582,921 |
Short-Term Investments — 1.0% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(3) | 269,610 | $ 269,610 | |
Total Short-Term Investments (identified cost $269,610) | $ 269,610 |
Total Investments — 99.7% (identified cost $21,646,792) | $25,852,531 | ||
Other Assets, Less Liabilities — 0.3% | $ 80,891 | ||
Net Assets — 100.0% | $25,933,422 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $1,162,295 or 4.5% of the Fund's net assets. |
(3) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Sector Classification of Portfolio | ||
Sector | Percentage of Net Assets | Value |
Industrials | 22.7% | $5,893,115 |
Financials | 16.7 | 4,330,778 |
Health Care | 14.8 | 3,830,510 |
Consumer Discretionary | 13.4 | 3,482,726 |
Information Technology | 9.1 | 2,357,961 |
Real Estate | 7.0 | 1,817,536 |
Consumer Staples | 4.7 | 1,225,408 |
Materials | 4.6 | 1,178,565 |
Utilities | 2.4 | 615,615 |
Communication Services | 2.3 | 603,584 |
Energy | 1.0 | 247,123 |
Short-Term Investments | 1.0 | 269,610 |
Total Investments | 99.7% | $25,852,531 |
Abbreviations: | |
ADR | – American Depositary Receipt |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $21,377,182) | $ 25,582,921 |
Affiliated investment, at value (identified cost $269,610) | 269,610 |
Dividends receivable | 48,779 |
Dividends receivable from affiliated investment | 1,523 |
Receivable for investments sold | 95,843 |
Receivable for Fund shares sold | 7,339 |
Tax reclaims receivable | 12,012 |
Receivable from affiliate | 13,134 |
Total assets | $26,031,161 |
Liabilities | |
Payable for investments purchased | $ 20,334 |
Payable for Fund shares redeemed | 4,016 |
Payable to affiliates: | |
Investment adviser fee | 15,790 |
Administration fee | 3,167 |
Distribution and service fees | 4,560 |
Trustees' fees | 182 |
Accrued expenses | 49,690 |
Total liabilities | $ 97,739 |
Net Assets | $25,933,422 |
Sources of Net Assets | |
Paid-in capital | $ 22,252,700 |
Distributable earnings | 3,680,722 |
Net Assets | $25,933,422 |
Class A Shares | |
Net Assets | $ 18,313,192 |
Shares Outstanding | 1,360,980 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 13.46 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 14.21 |
Class C Shares | |
Net Assets | $ 999,905 |
Shares Outstanding | 109,046 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.17 |
Class I Shares | |
Net Assets | $ 6,620,325 |
Shares Outstanding | 470,235 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 14.08 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $9,507) | $ 212,797 |
Dividend income from affiliated investment | 5,483 |
Total investment income | $ 218,280 |
Expenses | |
Investment adviser fee | $ 95,300 |
Administration fee | 19,060 |
Distribution and service fees: | |
Class A | 22,727 |
Class C | 5,198 |
Trustees’ fees and expenses | 1,042 |
Custodian fee | 17,848 |
Transfer and dividend disbursing agent fees | 23,596 |
Legal and accounting services | 16,360 |
Printing and postage | 4,870 |
Registration fees | 23,954 |
Miscellaneous | 6,480 |
Total expenses | $ 236,435 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 68,557 |
Total expense reductions | $ 68,557 |
Net expenses | $ 167,878 |
Net investment income | $ 50,402 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (245,395) |
Foreign currency transactions | 877 |
Net realized loss | $ (244,518) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 2,962,906 |
Foreign currency | 144 |
Net change in unrealized appreciation (depreciation) | $2,963,050 |
Net realized and unrealized gain | $2,718,532 |
Net increase in net assets from operations | $2,768,934 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 50,402 | $ 22,521 |
Net realized gain (loss) | (244,518) | 903,135 |
Net change in unrealized appreciation (depreciation) | 2,963,050 | (9,467,602) |
Net increase (decrease) in net assets from operations | $ 2,768,934 | $ (8,541,946) |
Distributions to shareholders: | ||
Class A | $ (693,690) | $ (3,839,738) |
Class C | (54,511) | (351,503) |
Class I | (238,229) | (1,563,078) |
Total distributions to shareholders | $ (986,430) | $ (5,754,319) |
Transactions in shares of beneficial interest: | ||
Class A | $ (954,961) | $ (479,340) |
Class C | (139,171) | (144,215) |
Class I | 384,662 | (2,389,961) |
Net decrease in net assets from Fund share transactions | $ (709,470) | $ (3,013,516) |
Net increase (decrease) in net assets | $ 1,073,034 | $(17,309,781) |
Net Assets | ||
At beginning of period | $ 24,860,388 | $ 42,170,169 |
At end of period | $25,933,422 | $ 24,860,388 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 12.550 | $ 18.820 | $ 13.990 | $ 14.050 | $ 13.770 | $ 14.010 |
Income (Loss) From Operations | ||||||
Net investment income (loss)(1) | $ 0.024 | $ 0.007 | $ (0.006) | $ —(2) | $ 0.045 | $ 0.001 |
Net realized and unrealized gain (loss) | 1.384 | (3.702) | 5.000 | 0.438 | 1.384 | 0.128 |
Total income (loss) from operations | $ 1.408 | $ (3.695) | $ 4.994 | $ 0.438 | $ 1.429 | $ 0.129 |
Less Distributions | ||||||
From net investment income | $ (0.018) | $ (0.030) | $ (0.005) | $ (0.071) | $ (0.030) | $ (0.072) |
From net realized gain | (0.480) | (2.545) | (0.159) | (0.427) | (1.119) | (0.297) |
Total distributions | $ (0.498) | $ (2.575) | $ (0.164) | $ (0.498) | $ (1.149) | $ (0.369) |
Net asset value — End of period | $13.460 | $12.550 | $18.820 | $13.990 | $14.050 | $13.770 |
Total Return(3)(4) | 11.57% (5) | (22.54)% | 35.88% | 2.98% | 12.20% | 0.84% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 18,313 | $ 17,980 | $ 28,269 | $ 21,164 | $ 24,111 | $ 22,341 |
Ratios (as a percentage of average daily net assets):(6) | ||||||
Expenses (4) | 1.35% (7)(8) | 1.35% (8) | 1.35% | 1.35% | 1.35% | 1.36% |
Net investment income (loss) | 0.36% (7) | 0.05% | (0.04)% | 0.00% (9) | 0.34% | 0.01% |
Portfolio Turnover of the Portfolio(10) | — | — | — | — | — | 11% (5) |
Portfolio Turnover of the Fund | 21% (5) | 45% | 58% | 51% | 50% | 41% (5)(11) |
(1) | Computed using average shares outstanding. |
(2) | Amount is less than $0.0005. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(4) | The investment adviser of the Portfolio and/or the administrator of the Fund reimbursed certain operating expenses (equal to 0.54%, 0.48%, 0.30%, 0.48%, 0.58% and 0.62% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Not annualized. |
(6) | Includes the Fund’s share of the Portfolio’s allocated expenses for the period while the Fund was investing in the Portfolio. |
(7) | Annualized. |
(8) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(9) | Amount is less than 0.005%. |
(10) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(11) | For the period from January 22, 2018 through October 31, 2018 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Tax-Managed Global Small-Cap Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on January 19, 2018 and which had the same investment objective and policies as the Fund during such period. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.720 | $13.870 | $ 10.420 | $ 10.590 | $ 10.690 | $ 10.970 |
Income (Loss) From Operations | ||||||
Net investment loss(1) | $ (0.017) | $ (0.071) | $ (0.103) | $ (0.076) | $ (0.046) | $ (0.087) |
Net realized and unrealized gain (loss) | 0.947 | (2.597) | 3.712 | 0.333 | 1.030 | 0.104 |
Total income (loss) from operations | $ 0.930 | $ (2.668) | $ 3.609 | $ 0.257 | $ 0.984 | $ 0.017 |
Less Distributions | ||||||
From net realized gain | $ (0.480) | $ (2.482) | $ (0.159) | $ (0.427) | $ (1.084) | $ (0.297) |
Total distributions | $(0.480) | $ (2.482) | $ (0.159) | $ (0.427) | $ (1.084) | $ (0.297) |
Net asset value — End of period | $ 9.170 | $ 8.720 | $13.870 | $10.420 | $10.590 | $10.690 |
Total Return(2)(3) | 11.14% (4) | (23.12)% | 34.86% | 2.25% | 11.32% | 0.06% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 1,000 | $ 1,081 | $ 1,995 | $ 2,202 | $ 3,227 | $ 8,988 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3) | 2.10% (6)(7) | 2.10% (7) | 2.10% | 2.10% | 2.10% | 2.11% |
Net investment loss | (0.39)% (6) | (0.70)% | (0.79)% | (0.75)% | (0.45)% | (0.76)% |
Portfolio Turnover of the Portfolio(8) | — | — | — | — | — | 11% (4) |
Portfolio Turnover of the Fund | 21% (4) | 45% | 58% | 51% | 50% | 41% (4)(9) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser of the Portfolio and/or the administrator of the Fund reimbursed certain operating expenses (equal to 0.54%, 0.48%, 0.30%, 0.48%, 0.58% and 0.62% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses for the period while the Fund was investing in the Portfolio. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(8) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(9) | For the period from January 22, 2018 through October 31, 2018 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Tax-Managed Global Small-Cap Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on January 19, 2018 and which had the same investment objective and policies as the Fund during such period. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 13.130 | $ 19.570 | $ 14.530 | $ 14.580 | $ 14.240 | $ 14.480 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.043 | $ 0.042 | $ 0.039 | $ 0.034 | $ 0.079 | $ 0.040 |
Net realized and unrealized gain (loss) | 1.443 | (3.862) | 5.201 | 0.450 | 1.442 | 0.123 |
Total income (loss) from operations | $ 1.486 | $ (3.820) | $ 5.240 | $ 0.484 | $ 1.521 | $ 0.163 |
Less Distributions | ||||||
From net investment income | $ (0.056) | $ (0.075) | $ (0.041) | $ (0.107) | $ (0.062) | $ (0.106) |
From net realized gain | (0.480) | (2.545) | (0.159) | (0.427) | (1.119) | (0.297) |
Total distributions | $ (0.536) | $ (2.620) | $ (0.200) | $ (0.534) | $ (1.181) | $ (0.403) |
Net asset value — End of period | $14.080 | $13.130 | $19.570 | $14.530 | $14.580 | $14.240 |
Total Return(2)(3) | 11.69% (4) | (22.34)% | 36.28% | 3.18% | 12.51% | 1.05% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 6,620 | $ 5,800 | $ 11,906 | $ 8,354 | $ 9,273 | $ 9,078 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3) | 1.10% (6)(7) | 1.10% (7) | 1.10% | 1.10% | 1.10% | 1.11% |
Net investment income | 0.63% (6) | 0.27% | 0.21% | 0.24% | 0.57% | 0.27% |
Portfolio Turnover of the Portfolio(8) | — | — | — | — | — | 11% (4) |
Portfolio Turnover of the Fund | 21% (4) | 45% | 58% | 51% | 50% | 41% (4)(9) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | The investment adviser of the Portfolio and/or the administrator of the Fund reimbursed certain operating expenses (equal to 0.54%, 0.48%, 0.30%, 0.48%, 0.58% and 0.62% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses for the period while the Fund was investing in the Portfolio. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(8) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(9) | For the period from January 22, 2018 through October 31, 2018 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Tax-Managed Global Small-Cap Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on January 19, 2018 and which had the same investment objective and policies as the Fund during such period. |
Aggregate cost | $ 21,930,897 |
Gross unrealized appreciation | $ 5,073,048 |
Gross unrealized depreciation | (1,151,414) |
Net unrealized appreciation | $ 3,921,634 |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.750% |
$500 million but less than $1 billion | 0.725% |
$1 billion but less than $2.5 billion | 0.700% |
$2.5 billion but less than $5 billion | 0.680% |
$5 billion and over | 0.665% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 51,269 | $ 678,091 | 77,477 | $ 1,127,641 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 52,006 | 642,276 | 222,819 | 3,549,501 | |
Redemptions | (175,269) | (2,275,328) | (369,251) | (5,156,482) | |
Net decrease | (71,994) | $ (954,961) | (68,955) | $ (479,340) | |
Class C | |||||
Sales | 555 | $ 4,996 | 9,484 | $ 99,315 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 6,452 | 54,455 | 31,457 | 350,428 | |
Redemptions | (21,945) | (198,622) | (60,810) | (593,958) | |
Net decrease | (14,938) | $ (139,171) | (19,869) | $ (144,215) | |
Class I | |||||
Sales | 56,980 | $ 774,724 | 90,384 | $ 1,364,487 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 17,826 | 230,131 | 92,437 | 1,537,221 | |
Redemptions | (46,380) | (620,193) | (349,307) | (5,291,669) | |
Net increase (decrease) | 28,426 | $ 384,662 | (166,486) | $(2,389,961) |
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 | $273,997 | $3,199,677 | $(3,204,064) | $ — | $ — | $269,610 | $5,483 | 269,610 |
• | 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 |
Common Stocks: | ||||
Asia/Pacific | $ — | $ 4,241,342 | $ — | $ 4,241,342 |
Developed Europe | 796,056 | 5,115,043 | — | 5,911,099 |
North America | 15,430,480 | — | — | 15,430,480 |
Total Common Stocks | $ 16,226,536 | $ 9,356,385* | $ — | $25,582,921 |
Short-Term Investments | $ 269,610 | $ — | $ — | $ 269,610 |
Total Investments | $ 16,496,146 | $ 9,356,385 | $ — | $25,852,531 |
* | 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. |
Number of Shares | ||
For | Against | Abstain |
709,933 | 19,462 | 263,372 |
Officers | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
125 Old Broad Street
London, EC2N 1AR
United Kingdom
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 12/27/1999 | 12/27/1999 | 3.68% | 2.17% | 8.24% | 9.19% |
Class A with 5.25% Maximum Sales Charge | — | — | (1.77) | (3.20) | 7.08 | 8.60 |
Class C at NAV | 01/24/2000 | 01/24/2000 | 3.29 | 1.39 | 7.44 | 8.54 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 2.29 | 0.39 | 7.44 | 8.54 |
Class I at NAV | 11/30/2007 | 12/27/1999 | 3.80 | 2.43 | 8.53 | 9.46 |
Russell 1000® Value Index | — | — | 4.54% | 1.21% | 7.74% | 9.12% |
% After-Tax Returns with Maximum Sales Charge2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A After Taxes on Distributions | 12/27/1999 | 12/27/1999 | (3.62)% | 6.63% | 7.78% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | (1.48) | 5.78 | 6.99 |
Class C After Taxes on Distributions | 01/24/2000 | 01/24/2000 | 0.09 | 7.15 | 7.84 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | 0.53 | 6.11 | 6.99 |
Class I After Taxes on Distributions | 11/30/2007 | 12/27/1999 | 1.93 | 8.02 | 8.57 |
Class I After Taxes on Distributions and Sale of Fund Shares | — | — | 1.93 | 6.99 | 7.73 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
1.16% | 1.91% | 0.91% |
Sector Allocation (% of net assets)1 |
Top 10 Holdings (% of net assets)1 | |
JPMorgan Chase & Co. | 3.6% |
Chevron Corp. | 3.5 |
NextEra Energy, Inc. | 3.4 |
Sempra Energy | 2.8 |
Home Depot, Inc. (The) | 2.7 |
Thermo Fisher Scientific, Inc. | 2.6 |
Charles Schwab Corp. (The) | 2.6 |
Verizon Communications, Inc. | 2.3 |
Ingersoll Rand, Inc. | 2.3 |
Micron Technology, Inc. | 2.3 |
Total | 28.1% |
1 | Excludes cash and cash equivalents. |
1 | Russell 1000® Value Index is an unmanaged index of U.S. large-cap value stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. After-tax returns are calculated using certain assumptions, including using the highest historical individual federal income tax rates, and do not reflect the impact of state/local taxes. Actual after-tax returns depend on a shareholder’s tax situation and the actual characterization of distributions and may differ from those shown. After-tax returns are not relevant to shareholders who hold shares in tax-deferred accounts or shares held by nontaxable entities. Return After Taxes on Distributions may be the same as Return Before Taxes for the same period because no taxable distributions were made during that period. Return After Taxes on Distributions and Sale of Fund Shares may be greater than or equal to Return After Taxes on Distributions for the same period because of losses realized on the sale of Fund shares. The Fund’s after-tax returns also may reflect foreign tax credits passed by the Fund to its shareholders.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,036.80 | $5.91 | 1.17% |
Class C | $1,000.00 | $1,032.90 | $9.68 | 1.92% |
Class I | $1,000.00 | $1,038.00 | $4.65 | 0.92% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.99 | $5.86 | 1.17% |
Class C | $1,000.00 | $1,015.27 | $9.59 | 1.92% |
Class I | $1,000.00 | $1,020.23 | $4.61 | 0.92% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
April 30, 2023 | |
Assets | |
Investment in Tax-Managed Value Portfolio, at value (identified cost $345,301,919) | $ 724,558,919 |
Receivable for Fund shares sold | 390,987 |
Total assets | $724,949,906 |
Liabilities | |
Payable for Fund shares redeemed | $ 513,156 |
Payable to affiliates: | |
Administration fee | 88,301 |
Distribution and service fees | 107,264 |
Accrued expenses | 158,036 |
Total liabilities | $ 866,757 |
Net Assets | $724,083,149 |
Sources of Net Assets | |
Paid-in capital | $ 355,149,757 |
Distributable earnings | 368,933,392 |
Net Assets | $724,083,149 |
Class A Shares | |
Net Assets | $ 434,822,596 |
Shares Outstanding | 12,383,419 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 35.11 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 37.06 |
Class C Shares | |
Net Assets | $ 22,924,457 |
Shares Outstanding | 679,835 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 33.72 |
Class I Shares | |
Net Assets | $ 266,336,096 |
Shares Outstanding | 7,620,862 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 34.95 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $52,434) | $ 8,131,688 |
Securities lending income allocated from Portfolio, net | 1,416 |
Expenses allocated from Portfolio | (2,451,274) |
Total investment income from Portfolio | $ 5,681,830 |
Expenses | |
Administration fee | $ 541,174 |
Distribution and service fees: | |
Class A | 543,124 |
Class C | 119,210 |
Trustees’ fees and expenses | 208 |
Custodian fee | 25,257 |
Transfer and dividend disbursing agent fees | 170,903 |
Legal and accounting services | 22,500 |
Printing and postage | 19,635 |
Registration fees | 27,668 |
ReFlow liquidity program fees | 40,692 |
Miscellaneous | 6,644 |
Total expenses | $ 1,517,015 |
Net investment income | $ 4,164,815 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ 33,062,373(1) |
Foreign currency transactions | 1,516 |
Net realized gain | $ 33,063,889 |
Change in unrealized appreciation (depreciation): | |
Investments | $ (10,960,078) |
Foreign currency | 21,856 |
Net change in unrealized appreciation (depreciation) | $(10,938,222) |
Net realized and unrealized gain | $ 22,125,667 |
Net increase in net assets from operations | $ 26,290,482 |
(1) | Includes $13,875,101 of net realized gains from redemptions in-kind. |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 4,164,815 | $ 9,370,753 |
Net realized gain | 33,063,889 (1) | 25,367,482 (2) |
Net change in unrealized appreciation (depreciation) | (10,938,222) | (105,776,261) |
Net increase (decrease) in net assets from operations | $ 26,290,482 | $ (71,038,026) |
Distributions to shareholders: | ||
Class A | $ (9,264,246) | $ (21,856,449) |
Class C | (361,789) | (1,044,216) |
Class I | (6,334,332) | (13,331,190) |
Total distributions to shareholders | $ (15,960,367) | $ (36,231,855) |
Transactions in shares of beneficial interest: | ||
Class A | $ (3,403,395) | $ (428,147) |
Class C | (1,776,358) | 1,562,566 |
Class I | (4,116) | 17,784,670 |
Net increase (decrease) in net assets from Fund share transactions | $ (5,183,869) | $ 18,919,089 |
Net increase (decrease) in net assets | $ 5,146,246 | $ (88,350,792) |
Net Assets | ||
At beginning of period | $ 718,936,903 | $ 807,287,695 |
At end of period | $724,083,149 | $ 718,936,903 |
(1) | Includes $13,875,101 of net realized gains from redemptions in-kind. |
(2) | Includes $17,763,343 of net realized gains from redemptions in-kind. |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 34.610 | $ 39.770 | $ 28.170 | $ 29.890 | $ 27.000 | $ 25.240 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.189 | $ 0.425 | $ 0.286 | $ 0.354 | $ 0.344 | $ 0.268 |
Net realized and unrealized gain (loss) | 1.059 | (3.833) | 11.731 | (1.720) | 2.931 | 1.744 |
Total income (loss) from operations | $ 1.248 | $ (3.408) | $ 12.017 | $ (1.366) | $ 3.275 | $ 2.012 |
Less Distributions | ||||||
From net investment income | $ (0.387) | $ (0.307) | $ (0.341) | $ (0.339) | $ (0.278) | $ (0.252) |
From net realized gain | (0.361) | (1.445) | (0.076) | (0.015) | (0.107) | — |
Total distributions | $ (0.748) | $ (1.752) | $ (0.417) | $ (0.354) | $ (0.385) | $ (0.252) |
Net asset value — End of period | $ 35.110 | $ 34.610 | $ 39.770 | $ 28.170 | $ 29.890 | $ 27.000 |
Total Return(2) | 3.68% (3) | (8.95)% | 43.03% | (4.66)% | 12.35% | 8.02% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $434,823 | $431,902 | $497,565 | $362,651 | $417,533 | $312,065 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.17% (5)(6) | 1.16% (5) | 1.15% | 1.17% | 1.18% | 1.17% |
Net investment income | 1.09% (6) | 1.18% | 0.80% | 1.25% | 1.24% | 1.00% |
Portfolio Turnover of the Portfolio | 16% (3) | 29% | 11% | 25% | 18% | 10% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(6) | Annualized. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 33.140 | $ 38.170 | $ 27.020 | $ 28.580 | $ 25.810 | $ 24.140 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.057 | $ 0.148 | $ 0.018 | $ 0.137 | $ 0.150 | $ 0.066 |
Net realized and unrealized gain (loss) | 1.018 | (3.677) | 11.278 | (1.673) | 2.794 | 1.664 |
Total income (loss) from operations | $ 1.075 | $ (3.529) | $11.296 | $ (1.536) | $ 2.944 | $ 1.730 |
Less Distributions | ||||||
From net investment income | $ (0.134) | $ (0.056) | $ (0.070) | $ (0.009) | $ (0.067) | $ (0.060) |
From net realized gain | (0.361) | (1.445) | (0.076) | (0.015) | (0.107) | — |
Total distributions | $ (0.495) | $ (1.501) | $ (0.146) | $ (0.024) | $ (0.174) | $ (0.060) |
Net asset value — End of period | $33.720 | $33.140 | $38.170 | $27.020 | $28.580 | $ 25.810 |
Total Return(2) | 3.29% (3) | (9.61)% | 41.94% | (5.38)% | 11.50% | 7.17% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 22,924 | $ 24,304 | $ 26,389 | $ 20,066 | $ 26,672 | $112,571 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 1.92% (5)(6) | 1.91% (5) | 1.90% | 1.92% | 1.93% | 1.92% |
Net investment income | 0.34% (6) | 0.43% | 0.05% | 0.50% | 0.58% | 0.26% |
Portfolio Turnover of the Portfolio | 16% (3) | 29% | 11% | 25% | 18% | 10% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(6) | Annualized. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 34.510 | $ 39.650 | $ 28.080 | $ 29.790 | $ 26.920 | $ 25.170 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.231 | $ 0.512 | $ 0.373 | $ 0.421 | $ 0.411 | $ 0.331 |
Net realized and unrealized gain (loss) | 1.050 | (3.807) | 11.690 | (1.707) | 2.914 | 1.732 |
Total income (loss) from operations | $ 1.281 | $ (3.295) | $ 12.063 | $ (1.286) | $ 3.325 | $ 2.063 |
Less Distributions | ||||||
From net investment income | $ (0.480) | $ (0.400) | $ (0.417) | $ (0.409) | $ (0.348) | $ (0.313) |
From net realized gain | (0.361) | (1.445) | (0.076) | (0.015) | (0.107) | — |
Total distributions | $ (0.841) | $ (1.845) | $ (0.493) | $ (0.424) | $ (0.455) | $ (0.313) |
Net asset value — End of period | $ 34.950 | $ 34.510 | $ 39.650 | $ 28.080 | $ 29.790 | $ 26.920 |
Total Return(2) | 3.80% (3) | (8.70)% | 43.41% | (4.42)% | 12.61% | 8.25% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $266,336 | $262,732 | $283,334 | $189,549 | $195,921 | $169,397 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses | 0.92% (5)(6) | 0.91% (5) | 0.90% | 0.92% | 0.93% | 0.92% |
Net investment income | 1.34% (6) | 1.42% | 1.05% | 1.49% | 1.49% | 1.24% |
Portfolio Turnover of the Portfolio | 16% (3) | 29% | 11% | 25% | 18% | 10% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(6) | Annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.6500% |
$500 million but less than $1 billion | 0.6250% |
$1 billion but less than $2 billion | 0.6000% |
$2 billion but less than $5 billion | 0.5750% |
$5 billion and over | 0.5550% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 232,567 | $ 8,106,331 | 441,788 | $ 15,988,190 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 236,811 | 8,039,734 | 499,033 | 18,918,332 | |
Redemptions | (563,271) | (19,549,460) | (974,887) | (35,334,669) | |
Net decrease | (93,893) | $ (3,403,395) | (34,066) | $ (428,147) | |
Class C | |||||
Sales | 48,373 | $ 1,632,048 | 167,228 | $ 5,812,328 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 10,082 | 329,566 | 26,062 | 952,311 | |
Redemptions | (111,964) | (3,737,972) | (151,235) | (5,202,073) | |
Net increase (decrease) | (53,509) | $ (1,776,358) | 42,055 | $ 1,562,566 | |
Class I | |||||
Sales | 976,339 | $ 33,762,387 | 2,314,128 | $ 83,408,226 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 168,916 | 5,702,619 | 314,485 | 11,859,243 | |
Redemptions | (1,138,424) | (39,469,122) | (2,160,896) | (77,482,799) | |
Net increase (decrease) | 6,831 | $ (4,116) | 467,717 | $ 17,784,670 |
Common Stocks — 99.7% |
Security | Shares | Value | |
Aerospace & Defense — 1.3% | |||
Raytheon Technologies Corp. | 113,000 | $ 11,288,700 | |
$ 11,288,700 | |||
Banks — 7.2% | |||
JPMorgan Chase & Co. | 230,958 | $ 31,927,634 | |
PNC Financial Services Group, Inc. (The) | 142,029 | 18,499,277 | |
U.S. Bancorp | 187,164 | 6,415,982 | |
Wells Fargo & Co. | 188,847 | 7,506,668 | |
$ 64,349,561 | |||
Beverages — 0.8% | |||
Constellation Brands, Inc., Class A | 32,916 | $ 7,553,235 | |
$ 7,553,235 | |||
Building Products — 0.5% | |||
Carrier Global Corp. | 113,000 | $ 4,725,660 | |
$ 4,725,660 | |||
Capital Markets — 5.3% | |||
Ameriprise Financial, Inc. | 32,971 | $ 10,060,112 | |
Charles Schwab Corp. (The) | 434,452 | 22,695,772 | |
Goldman Sachs Group, Inc. (The) | 42,496 | 14,594,826 | |
$ 47,350,710 | |||
Chemicals — 3.1% | |||
FMC Corp. | 71,110 | $ 8,787,774 | |
Linde PLC | 50,216 | 18,552,301 | |
$ 27,340,075 | |||
Consumer Staples Distribution & Retail — 1.7% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 150,222 | $ 11,472,454 | |
Performance Food Group Co.(1) | 59,613 | 3,737,139 | |
$ 15,209,593 | |||
Containers & Packaging — 0.7% | |||
Ball Corp. | 112,407 | $ 5,977,804 | |
$ 5,977,804 | |||
Diversified Telecommunication Services — 2.3% | |||
Verizon Communications, Inc. | 519,865 | $ 20,186,358 | |
$ 20,186,358 |
Security | Shares | Value | |
Electric Utilities — 3.4% | |||
NextEra Energy, Inc. | 392,766 | $ 30,097,659 | |
$ 30,097,659 | |||
Electrical Equipment — 1.1% | |||
Rockwell Automation, Inc. | 33,916 | $ 9,612,134 | |
$ 9,612,134 | |||
Energy Equipment & Services — 1.1% | |||
Halliburton Co. | 293,530 | $ 9,613,108 | |
$ 9,613,108 | |||
Entertainment — 2.1% | |||
Walt Disney Co. (The)(1) | 182,144 | $ 18,669,760 | |
$ 18,669,760 | |||
Financial Services — 2.4% | |||
Fiserv, Inc.(1) | 91,212 | $ 11,138,809 | |
Visa, Inc., Class A | 44,697 | 10,402,333 | |
$ 21,541,142 | |||
Food Products — 3.1% | |||
Hershey Co. (The) | 58,997 | $ 16,109,721 | |
Nestle S.A. | 90,000 | 11,546,060 | |
$ 27,655,781 | |||
Ground Transportation — 1.1% | |||
Union Pacific Corp. | 50,876 | $ 9,956,433 | |
$ 9,956,433 | |||
Health Care Equipment & Supplies — 2.0% | |||
Stryker Corp. | 58,093 | $ 17,407,567 | |
$ 17,407,567 | |||
Health Care Providers & Services — 1.5% | |||
Humana, Inc. | 8,093 | $ 4,293,255 | |
UnitedHealth Group, Inc. | 18,719 | 9,211,433 | |
$ 13,504,688 | |||
Hotels, Restaurants & Leisure — 1.0% | |||
Papa John's International, Inc.(2) | 117,978 | $ 8,823,575 | |
$ 8,823,575 | |||
Household Durables — 1.2% | |||
D.R. Horton, Inc. | 99,360 | $ 10,911,715 | |
$ 10,911,715 |
Security | Shares | Value | |
Industrial Conglomerates — 1.9% | |||
Honeywell International, Inc. | 83,731 | $ 16,732,803 | |
$ 16,732,803 | |||
Industrial REITs — 1.1% | |||
First Industrial Realty Trust, Inc. | 194,608 | $ 10,211,082 | |
$ 10,211,082 | |||
Insurance — 3.6% | |||
Arch Capital Group, Ltd.(1) | 183,981 | $ 13,811,454 | |
Reinsurance Group of America, Inc. | 49,257 | 7,010,256 | |
Travelers Cos., Inc. (The) | 64,030 | 11,598,394 | |
$ 32,420,104 | |||
Interactive Media & Services — 3.9% | |||
Alphabet, Inc., Class A(1) | 158,480 | $ 17,011,243 | |
Alphabet, Inc., Class C(1) | 163,980 | 17,745,916 | |
$ 34,757,159 | |||
Leisure Products — 0.4% | |||
Hasbro, Inc. | 65,377 | $ 3,871,626 | |
$ 3,871,626 | |||
Life Sciences Tools & Services — 2.6% | |||
Thermo Fisher Scientific, Inc. | 40,907 | $ 22,699,294 | |
$ 22,699,294 | |||
Machinery — 5.7% | |||
Ingersoll Rand, Inc. | 353,722 | $ 20,169,228 | |
Otis Worldwide Corp. | 56,500 | 4,819,450 | |
Parker-Hannifin Corp. | 32,913 | 10,692,775 | |
Westinghouse Air Brake Technologies Corp. | 150,850 | 14,733,520 | |
$ 50,414,973 | |||
Multi-Utilities — 3.6% | |||
CMS Energy Corp. | 112,565 | $ 7,008,297 | |
Sempra Energy | 162,537 | 25,272,878 | |
$ 32,281,175 | |||
Oil, Gas & Consumable Fuels — 8.1% | |||
Chevron Corp. | 182,306 | $ 30,733,146 | |
ConocoPhillips | 161,617 | 16,628,773 | |
EOG Resources, Inc. | 113,483 | 13,557,814 | |
Phillips 66 | 109,182 | 10,809,018 | |
$ 71,728,751 |
Security | Shares | Value | |
Personal Care Products — 1.7% | |||
Estee Lauder Cos., Inc. (The), Class A | 61,550 | $ 15,185,616 | |
$ 15,185,616 | |||
Pharmaceuticals — 11.2% | |||
Bristol-Myers Squibb Co. | 251,041 | $ 16,762,008 | |
Eli Lilly & Co. | 38,825 | 15,369,264 | |
Johnson & Johnson | 116,398 | 19,054,353 | |
Merck & Co., Inc. | 167,049 | 19,289,148 | |
Novo Nordisk A/S ADR | 39,703 | 6,633,974 | |
Royalty Pharma PLC, Class A | 145,161 | 5,102,409 | |
Zoetis, Inc. | 101,295 | 17,805,635 | |
$100,016,791 | |||
Residential REITs — 2.8% | |||
AvalonBay Communities, Inc. | 47,915 | $ 8,642,429 | |
Mid-America Apartment Communities, Inc. | 105,465 | 16,220,517 | |
$ 24,862,946 | |||
Semiconductors & Semiconductor Equipment — 4.6% | |||
Micron Technology, Inc. | 310,361 | $ 19,974,834 | |
QUALCOMM, Inc. | 69,710 | 8,142,128 | |
Texas Instruments, Inc. | 75,008 | 12,541,338 | |
$ 40,658,300 | |||
Software — 1.0% | |||
Microsoft Corp. | 12,928 | $ 3,972,257 | |
Oracle Corp. | 52,884 | 5,009,173 | |
$ 8,981,430 | |||
Specialized REITs — 0.9% | |||
CubeSmart | 174,330 | $ 7,930,272 | |
$ 7,930,272 | |||
Specialty Retail — 2.7% | |||
Home Depot, Inc. (The) | 81,060 | $ 24,361,772 | |
$ 24,361,772 | |||
Wireless Telecommunication Services — 1.0% | |||
T-Mobile US, Inc.(1) | 59,830 | $ 8,609,537 | |
$ 8,609,537 | |||
Total Common Stocks (identified cost $444,298,720) | $887,498,889 |
Short-Term Investments — 0.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(3) | 1,889,950 | $ 1,889,950 | |
Total Short-Term Investments (identified cost $1,889,950) | $ 1,889,950 | ||
Total Investments — 99.9% (identified cost $446,188,670) | $889,388,839 | ||
Other Assets, Less Liabilities — 0.1% | $ 653,814 | ||
Net Assets — 100.0% | $890,042,653 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | All or a portion of this security was on loan at April 30, 2023. The aggregate market value of securities on loan at April 30, 2023 was $4,880,571. |
(3) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Abbreviations: | |
ADR | – American Depositary Receipt |
REITs | – Real Estate Investment Trusts |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $444,298,720) — including $4,880,571 of securities on loan | $ 887,498,889 |
Affiliated investment, at value (identified cost $1,889,950) | 1,889,950 |
Dividends receivable | 1,010,057 |
Dividends receivable from affiliated investment | 4,620 |
Securities lending income receivable | 517 |
Tax reclaims receivable | 312,080 |
Total assets | $890,716,113 |
Liabilities | |
Payable to affiliate: | |
Investment adviser fee | $ 462,213 |
Accrued expenses | 211,247 |
Total liabilities | $ 673,460 |
Net Assets applicable to investors' interest in Portfolio | $890,042,653 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $64,392) | $ 9,938,391 |
Dividend income from affiliated investment | 29,354 |
Securities lending income, net | 1,737 |
Total investment income | $ 9,969,482 |
Expenses | |
Investment adviser fee | $ 2,828,217 |
Trustees’ fees and expenses | 23,882 |
Custodian fee | 99,727 |
Legal and accounting services | 36,971 |
Miscellaneous | 17,188 |
Total expenses | $ 3,005,985 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 1,193 |
Total expense reductions | $ 1,193 |
Net expenses | $ 3,004,792 |
Net investment income | $ 6,964,690 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 40,540,958(1) |
Foreign currency transactions | 1,858 |
Net realized gain | $ 40,542,816 |
Change in unrealized appreciation (depreciation): | |
Investments | $ (13,480,421) |
Foreign currency | 26,781 |
Net change in unrealized appreciation (depreciation) | $(13,453,640) |
Net realized and unrealized gain | $ 27,089,176 |
Net increase in net assets from operations | $ 34,053,866 |
(1) | Includes $17,013,715 of net realized gains from redemptions in-kind. |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 6,964,690 | $ 15,326,955 |
Net realized gain | 40,542,816 (1) | 31,200,330 (2) |
Net change in unrealized appreciation (depreciation) | (13,453,640) | (129,835,288) |
Net increase (decrease) in net assets from operations | $ 34,053,866 | $ (83,308,003) |
Capital transactions: | ||
Contributions | $ 5,633,311 | $ 19,403,167 |
Withdrawals | (30,272,549) | (49,804,502) |
Net decrease in net assets from capital transactions | $ (24,639,238) | $ (30,401,335) |
Net increase (decrease) in net assets | $ 9,414,628 | $(113,709,338) |
Net Assets | ||
At beginning of period | $ 880,628,025 | $ 994,337,363 |
At end of period | $890,042,653 | $ 880,628,025 |
(1) | Includes $17,013,715 of net realized gains from redemptions in-kind. |
(2) | Includes $21,802,941 of net realized gains from redemptions in-kind. |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.68% (1)(2) | 0.68% (1) | 0.68% | 0.68% | 0.68% | 0.68% |
Net investment income | 1.57% (2) | 1.65% | 1.27% | 1.73% | 1.74% | 1.49% |
Portfolio Turnover | 16% (3) | 29% | 11% | 25% | 18% | 10% |
Total Return | 3.93% (3) | (8.51)% | 43.69% | (4.18)% | 12.90% | 8.55% |
Net assets, end of period (000’s omitted) | $890,043 | $880,628 | $994,337 | $704,707 | $788,248 | $730,479 |
(1) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(2) | Annualized. |
(3) | Not annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 0.650% |
$500 million but less than $1 billion | 0.625% |
$1 billion but less than $2 billion | 0.600% |
$2 billion but less than $5 billion | 0.575% |
$5 billion and over | 0.555% |
Aggregate cost | $449,157,732 |
Gross unrealized appreciation | $ 443,549,597 |
Gross unrealized depreciation | (3,318,490) |
Net unrealized appreciation | $440,231,107 |
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 | $2,138,376 | $27,293,017 | $(27,541,443) | $ — | $ — | $1,889,950 | $29,354 | 1,889,950 |
• | 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 |
Common Stocks: | ||||
Communication Services | $ 82,222,814 | $ — | $ — | $ 82,222,814 |
Consumer Discretionary | 47,968,688 | — | — | 47,968,688 |
Consumer Staples | 54,058,165 | 11,546,060 | — | 65,604,225 |
Energy | 81,341,859 | — | — | 81,341,859 |
Financials | 165,661,517 | — | — | 165,661,517 |
Health Care | 153,628,340 | — | — | 153,628,340 |
Industrials | 102,730,703 | — | — | 102,730,703 |
Information Technology | 49,639,730 | — | — | 49,639,730 |
Materials | 33,317,879 | — | — | 33,317,879 |
Real Estate | 43,004,300 | — | — | 43,004,300 |
Utilities | 62,378,834 | — | — | 62,378,834 |
Total Common Stocks | $875,952,829 | $ 11,546,060* | $ — | $887,498,889 |
Short-Term Investments | $ 1,889,950 | $ — | $ — | $ 1,889,950 |
Total Investments | $877,842,779 | $ 11,546,060 | $ — | $889,388,839 |
* | 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. |
Officers of Eaton Vance Tax-Managed Value Fund | |
Eric A. Stein President | Nicholas S. Di. Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer | |
Officers of Tax-Managed Value Portfolio | |
R. Kelly Williams, Jr. President | Nicholas S. Di. Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Tax-Managed Value Fund and Tax-Managed Value Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Advisers Class at NAV | 03/15/2008 | 08/04/1989 | 6.64% | 2.09% | 2.89% | 3.50% |
Class A at NAV | 03/17/2008 | 08/04/1989 | 6.64 | 2.09 | 2.89 | 3.50 |
Class A with 3.25% Maximum Sales Charge | — | — | 3.21 | (1.25) | 2.21 | 3.16 |
Class C at NAV | 03/15/2008 | 08/04/1989 | 6.39 | 1.58 | 2.38 | 3.09 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 5.39 | 0.63 | 2.38 | 3.09 |
Class I at NAV | 03/15/2008 | 08/04/1989 | 6.77 | 2.35 | 3.15 | 3.76 |
Class R6 at NAV | 05/31/2019 | 08/04/1989 | 6.92 | 2.49 | 3.19 | 3.78 |
Morningstar® LSTA® US Leveraged Loan IndexSM | — | — | 6.00% | 3.39% | 3.76% | 3.81% |
% Total Annual Operating Expense Ratios3 | Advisers Class | Class A | Class C | Class I | Class R6 |
2.37% | 2.37% | 2.87% | 2.12% | 2.06% |
% Total Leverage4 | |
Borrowings | 23.36% |
Top 10 Issuers (% of total investments)1 | |
Carnival Corporation | 1.1% |
Finastra USA, Inc. | 1.0 |
Epicor Software Corporation | 1.0 |
ICON Luxembourg S.a.r.l. | 0.9 |
American Airlines, Inc. | 0.9 |
TransDigm, Inc. | 0.9 |
Applied Systems, Inc. | 0.8 |
Gainwell Acquisition Corp. | 0.8 |
Hyland Software, Inc. | 0.8 |
Uber Technologies, Inc. | 0.8 |
Total | 9.0% |
Top 10 Sectors (% of total investments)1 | |
Software | 14.8% |
Health Care Providers & Services | 4.8 |
Chemicals | 4.6 |
Machinery | 4.5 |
Capital Markets | 4.4 |
IT Services | 4.3 |
Hotels, Restaurants & Leisure | 4.2 |
Diversified Telecommunication Services | 3.7 |
Trading Companies & Distributors | 3.5 |
Commercial Services & Supplies | 2.5 |
Total | 51.3% |
Credit Quality (% of bonds, loans and asset-backed securities)2 |
1 | Excludes cash and cash equivalents. |
2 | Credit ratings are categorized using S&P Global Ratings (“S&P”). Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by S&P. |
1 | Morningstar® LSTA® US Leveraged Loan IndexSM is an unmanaged index of the institutional leveraged loan market. Morningstar® LSTA® Leveraged Loan indices are a product of Morningstar, Inc. (“Morningstar”) and have been licensed for use. Morningstar® is a registered trademark of Morningstar licensed for certain use. Loan Syndications and Trading Association® and LSTA® are trademarks of the LSTA licensed for certain use by Morningstar, and further sublicensed by Morningstar for certain use. Neither Morningstar nor LSTA guarantees the accuracy and/or completeness of the Morningstar® LSTA® US Leveraged Loan IndexSM or any data included therein, and shall have no liability for any errors, omissions, or interruptions therein. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
4 | Total leverage is shown as a percentage of the Fund’s aggregate net assets plus borrowings outstanding. The Fund employs leverage through borrowings. Use of leverage creates an opportunity for income, but creates risks including greater volatility of NAV. The cost of borrowings rises and falls with changes in short-term interest rates. The Fund may be required to maintain prescribed asset coverage for its leverage and may be required to reduce its leverage at an inopportune time. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Advisers Class | $1,000.00 | $1,066.40 | $13.99 | 2.73% |
Class A | $1,000.00 | $1,066.40 | $14.04 | 2.74% |
Class C | $1,000.00 | $1,063.90 | $16.53 | 3.23% |
Class I | $1,000.00 | $1,067.70 | $12.71 | 2.48% |
Class R6 | $1,000.00 | $1,069.20 | $12.67 | 2.47% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Advisers Class | $1,000.00 | $1,011.26 | $13.61 | 2.73% |
Class A | $1,000.00 | $1,011.21 | $13.66 | 2.74% |
Class C | $1,000.00 | $1,008.78 | $16.09 | 3.23% |
Class I | $1,000.00 | $1,012.50 | $12.37 | 2.48% |
Class R6 | $1,000.00 | $1,012.55 | $12.33 | 2.47% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
April 30, 2023 | |
Assets | |
Investment in Senior Debt Portfolio, at value (identified cost $6,530,261,429) | $ 5,868,542,325 |
Receivable for Fund shares sold | 24,439,887 |
Total assets | $ 5,892,982,212 |
Liabilities | |
Payable for Fund shares redeemed | $ 43,935,137 |
Distributions payable | 7,736,077 |
Payable to affiliates: | |
Administration fee | 486,735 |
Distribution and service fees | 455,601 |
Trustees' fees | 42 |
Accrued expenses | 1,067,288 |
Total liabilities | $ 53,680,880 |
Net Assets | $ 5,839,301,332 |
Sources of Net Assets | |
Paid-in capital | $ 7,159,595,948 |
Accumulated loss | (1,320,294,616) |
Net Assets | $ 5,839,301,332 |
Advisers Class Shares | |
Net Assets | $ 70,454,381 |
Shares Outstanding | 7,163,056 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.84 |
Class A Shares | |
Net Assets | $ 1,169,539,137 |
Shares Outstanding | 118,880,196 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.84 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 10.17 |
Class C Shares | |
Net Assets | $ 319,079,575 |
Shares Outstanding | 32,490,927 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.82 |
Class I Shares | |
Net Assets | $ 4,239,586,018 |
Shares Outstanding | 430,982,820 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.84 |
April 30, 2023 | |
Class R6 Shares | |
Net Assets | $40,642,221 |
Shares Outstanding | 4,132,196 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.84 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio | $ 5,642,603 |
Interest and other income allocated from Portfolio | 341,015,048 |
Expenses, excluding interest expense, allocated from Portfolio | (17,947,097) |
Interest expense allocated from Portfolio | (54,562,629) |
Total investment income from Portfolio | $ 274,147,925 |
Expenses | |
Administration fee | $ 3,153,593 |
Distribution and service fees: | |
Advisers Class | 93,109 |
Class A | 1,510,511 |
Class C | 1,255,917 |
Trustees’ fees and expenses | 250 |
Custodian fee | 30,720 |
Transfer and dividend disbursing agent fees | 2,021,134 |
Legal and accounting services | 89,680 |
Printing and postage | 182,389 |
Registration fees | 112,140 |
Miscellaneous | 24,438 |
Total expenses | $ 8,473,881 |
Net investment income | $ 265,674,044 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ (79,997,289) |
Foreign currency transactions | 3,401,422 |
Forward foreign currency exchange contracts | (70,165,730) |
Net realized loss | $(146,761,597) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 315,433,175 |
Foreign currency | 100,316 |
Forward foreign currency exchange contracts | (18,120,718) |
Net change in unrealized appreciation (depreciation) | $ 297,412,773 |
Net realized and unrealized gain | $ 150,651,176 |
Net increase in net assets from operations | $ 416,325,220 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 265,674,044 | $ 410,387,965 |
Net realized gain (loss) | (146,761,597) | 58,565,060 |
Net change in unrealized appreciation (depreciation) | 297,412,773 | (889,862,264) |
Net increase (decrease) in net assets from operations | $ 416,325,220 | $ (420,909,239) |
Distributions to shareholders: | ||
Advisers Class | $ (3,140,147) | $ (4,262,210) |
Class A | (51,043,706) | (64,863,824) |
Class C | (13,299,829) | (17,090,864) |
Class I | (203,088,635) | (317,923,672) |
Class R6 | (737,433) | (3,300,693) |
Total distributions to shareholders | $ (271,309,750) | $ (407,441,263) |
Transactions in shares of beneficial interest: | ||
Advisers Class | $ (14,188,128) | $ 2,955,057 |
Class A | (117,066,514) | 11,843,171 |
Class C | (40,791,266) | (44,912,321) |
Class I | (1,083,790,946) | (37,587,568) |
Class R6 | 16,016,662 | (107,120,998) |
Net decrease in net assets from Fund share transactions | $(1,239,820,192) | $ (174,822,659) |
Net decrease in net assets | $(1,094,804,722) | $(1,003,173,161) |
Net Assets | ||
At beginning of period | $ 6,934,106,054 | $ 7,937,279,215 |
At end of period | $ 5,839,301,332 | $ 6,934,106,054 |
Advisers Class | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.620 | $10.580 | $ 10.070 | $ 10.550 | $ 10.940 | $ 10.910 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.401 | $ 0.487 | $ 0.398 | $ 0.457 | $ 0.558 | $ 0.493 |
Net realized and unrealized gain (loss) | 0.229 | (0.966) | 0.528 | (0.473) | (0.390) | 0.029 |
Total income (loss) from operations | $ 0.630 | $ (0.479) | $ 0.926 | $ (0.016) | $ 0.168 | $ 0.522 |
Less Distributions | ||||||
From net investment income | $ (0.410) | $ (0.481) | $ (0.416) | $ (0.464) | $ (0.558) | $ (0.492) |
Total distributions | $ (0.410) | $ (0.481) | $ (0.416) | $ (0.464) | $ (0.558) | $ (0.492) |
Net asset value — End of period | $ 9.840 | $ 9.620 | $10.580 | $10.070 | $ 10.550 | $ 10.940 |
Total Return(2) | 6.64% (3) | (4.62)% | 9.30% | (0.05)% | 1.59% | 4.88% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $70,454 | $82,925 | $ 88,509 | $ 64,551 | $139,516 | $221,484 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses excluding interest and fees | 1.00% (5) | 0.94% | 0.95% | 1.00% | 0.99% | 0.96% |
Interest and fee expense | 1.73% (5) | 0.49% | 0.33% | 0.63% | 0.87% | 0.44% |
Total expenses | 2.73% (5)(6) | 1.43% (6) | 1.28% | 1.63% | 1.86% | 1.40% |
Net investment income | 8.26% (5) | 4.79% | 3.79% | 4.50% | 5.21% | 4.51% |
Portfolio Turnover of the Portfolio | 6% (3) | 27% | 28% | 30% | 17% | 29% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.620 | $ 10.580 | $ 10.070 | $ 10.550 | $ 10.950 | $ 10.910 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.403 | $ 0.485 | $ 0.399 | $ 0.447 | $ 0.559 | $ 0.493 |
Net realized and unrealized gain (loss) | 0.227 | (0.964) | 0.527 | (0.463) | (0.401) | 0.039 |
Total income (loss) from operations | $ 0.630 | $ (0.479) | $ 0.926 | $ (0.016) | $ 0.158 | $ 0.532 |
Less Distributions | ||||||
From net investment income | $ (0.410) | $ (0.481) | $ (0.416) | $ (0.464) | $ (0.558) | $ (0.492) |
Total distributions | $ (0.410) | $ (0.481) | $ (0.416) | $ (0.464) | $ (0.558) | $ (0.492) |
Net asset value — End of period | $ 9.840 | $ 9.620 | $ 10.580 | $ 10.070 | $ 10.550 | $ 10.950 |
Total Return(2) | 6.64% (3) | (4.62)% | 9.30% | (0.05)% | 1.50% | 4.97% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $1,169,539 | $1,259,540 | $1,378,928 | $1,175,942 | $1,426,205 | $1,856,836 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses excluding interest and fees | 1.00% (5) | 0.94% | 0.95% | 0.99% | 0.99% | 0.96% |
Interest and fee expense | 1.74% (5) | 0.49% | 0.33% | 0.60% | 0.88% | 0.44% |
Total expenses | 2.74% (5)(6) | 1.43% (6) | 1.28% | 1.59% | 1.87% | 1.40% |
Net investment income | 8.29% (5) | 4.77% | 3.80% | 4.44% | 5.21% | 4.50% |
Portfolio Turnover of the Portfolio | 6% (3) | 27% | 28% | 30% | 17% | 29% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.610 | $ 10.560 | $ 10.050 | $ 10.530 | $ 10.920 | $ 10.890 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.377 | $ 0.430 | $ 0.347 | $ 0.397 | $ 0.503 | $ 0.436 |
Net realized and unrealized gain (loss) | 0.218 | (0.950) | 0.526 | (0.464) | (0.390) | 0.030 |
Total income (loss) from operations | $ 0.595 | $ (0.520) | $ 0.873 | $ (0.067) | $ 0.113 | $ 0.466 |
Less Distributions | ||||||
From net investment income | $ (0.385) | $ (0.430) | $ (0.363) | $ (0.413) | $ (0.503) | $ (0.436) |
Total distributions | $ (0.385) | $ (0.430) | $ (0.363) | $ (0.413) | $ (0.503) | $ (0.436) |
Net asset value — End of period | $ 9.820 | $ 9.610 | $ 10.560 | $ 10.050 | $ 10.530 | $ 10.920 |
Total Return(2) | 6.39% (3) | (5.11)% | 8.77% | (0.56)% | 1.08% | 4.36% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $319,080 | $352,239 | $435,786 | $508,535 | $754,873 | $1,192,124 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses excluding interest and fees | 1.50% (5) | 1.44% | 1.46% | 1.50% | 1.49% | 1.46% |
Interest and fee expense | 1.73% (5) | 0.48% | 0.33% | 0.60% | 0.87% | 0.44% |
Total expenses | 3.23% (5)(6) | 1.92% (6) | 1.79% | 2.10% | 2.36% | 1.90% |
Net investment income | 7.78% (5) | 4.23% | 3.31% | 3.95% | 4.71% | 4.00% |
Portfolio Turnover of the Portfolio | 6% (3) | 27% | 28% | 30% | 17% | 29% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.620 | $ 10.580 | $ 10.070 | $ 10.550 | $ 10.940 | $ 10.910 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.414 | $ 0.507 | $ 0.423 | $ 0.474 | $ 0.586 | $ 0.521 |
Net realized and unrealized gain (loss) | 0.229 | (0.961) | 0.529 | (0.465) | (0.392) | 0.028 |
Total income (loss) from operations | $ 0.643 | $ (0.454) | $ 0.952 | $ 0.009 | $ 0.194 | $ 0.549 |
Less Distributions | ||||||
From net investment income | $ (0.423) | $ (0.506) | $ (0.442) | $ (0.489) | $ (0.584) | $ (0.519) |
Total distributions | $ (0.423) | $ (0.506) | $ (0.442) | $ (0.489) | $ (0.584) | $ (0.519) |
Net asset value — End of period | $ 9.840 | $ 9.620 | $ 10.580 | $ 10.070 | $ 10.550 | $ 10.940 |
Total Return(2) | 6.77% (3) | (4.38)% | 9.57% | 0.20% | 1.84% | 5.14% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $4,239,586 | $5,215,271 | $5,898,403 | $3,545,676 | $4,898,901 | $7,387,447 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Expenses excluding interest and fees | 0.75% (5) | 0.69% | 0.70% | 0.75% | 0.74% | 0.71% |
Interest and fee expense | 1.73% (5) | 0.47% | 0.32% | 0.60% | 0.88% | 0.44% |
Total expenses | 2.48% (5)(6) | 1.16% (6) | 1.02% | 1.35% | 1.62% | 1.15% |
Net investment income | 8.53% (5) | 4.99% | 4.02% | 4.70% | 5.47% | 4.76% |
Portfolio Turnover of the Portfolio | 6% (3) | 27% | 28% | 30% | 17% | 29% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
Class R6 | ||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2019(1) | ||||||
2022 | 2021 | 2020 | ||||||
Net asset value — Beginning of period | $ 9.620 | $10.580 | $ 10.060 | $ 10.550 | $ 10.740 | |||
Income (Loss) From Operations | ||||||||
Net investment income(2) | $ 0.408 | $ 0.480 | $ 0.427 | $ 0.460 | $ 0.247 | |||
Net realized and unrealized gain (loss) | 0.238 | (0.931) | 0.540 | (0.455) | (0.190) | |||
Total income (loss) from operations | $ 0.646 | $ (0.451) | $ 0.967 | $ 0.005 | $ 0.057 | |||
Less Distributions | ||||||||
From net investment income | $ (0.426) | $ (0.509) | $ (0.447) | $ (0.495) | $ (0.247) | |||
Total distributions | $ (0.426) | $ (0.509) | $ (0.447) | $ (0.495) | $ (0.247) | |||
Net asset value — End of period | $ 9.840 | $ 9.620 | $ 10.580 | $10.060 | $10.550 | |||
Total Return(3) | 6.92% (4) | (4.36)% | 9.63% | 0.16% | 0.53% (4) | |||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $40,642 | $24,131 | $135,653 | $ 33,814 | $ 10 | |||
Ratios (as a percentage of average daily net assets):(5) | ||||||||
Expenses excluding interest and fees | 0.68% (6) | 0.63% | 0.65% | 0.68% | 0.62% (6) | |||
Interest and fee expense | 1.79% (6) | 0.38% | 0.30% | 0.55% | 0.94% (6) | |||
Total expenses | 2.47% (6)(7) | 1.01% (7) | 0.95% | 1.23% | 1.56% (6) | |||
Net investment income | 8.40% (6) | 4.66% | 4.06% | 4.63% | 5.48% (6) | |||
Portfolio Turnover of the Portfolio | 6% (4) | 27% | 28% | 30% | 17% (4)(8) |
(1) | For the period from the commencement of operations, May 31, 2019, to October 31, 2019. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(8) | For the year ended October 31, 2019. |
Average Daily Gross Assets | Annual Fee Rate |
Up to and including $1 billion | 0.5000% |
In excess of $1 billion up to and including $2 billion | 0.4500% |
In excess of $2 billion up to and including $7 billion | 0.4000% |
In excess of $7 billion up to and including $10 billion | 0.3875% |
In excess of $10 billion up to and including $15 billion | 0.3750% |
In excess of $15 billion | 0.3625% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Advisers Class | |||||
Sales | 470,688 | $ 4,615,854 | 3,137,426 | $ 32,082,416 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 317,531 | 3,112,393 | 421,564 | 4,228,403 | |
Redemptions | (2,244,267) | (21,916,375) | (3,306,979) | (33,355,762) | |
Net increase (decrease) | (1,456,048) | $ (14,188,128) | 252,011 | $ 2,955,057 | |
Class A | |||||
Sales | 6,531,733 | $ 64,022,660 | 31,521,602 | $ 325,499,146 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 4,363,350 | 42,796,002 | 5,414,555 | 54,348,789 | |
Redemptions | (22,897,670) | (223,885,176) | (36,378,082) | (368,004,764) | |
Net increase (decrease) | (12,002,587) | $ (117,066,514) | 558,075 | $ 11,843,171 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class C | |||||
Sales | 1,291,238 | $ 12,622,008 | 7,124,983 | $ 73,641,186 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,222,614 | 11,968,726 | 1,521,498 | 15,247,782 | |
Redemptions | (6,689,738) | (65,382,000) | (13,237,792) | (133,801,289) | |
Net decrease | (4,175,886) | $ (40,791,266) | (4,591,311) | $ (44,912,321) | |
Class I | |||||
Sales | 66,997,032 | $ 656,470,961 | 378,384,610 | $ 3,911,906,179 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 16,823,825 | 164,919,634 | 25,769,703 | 258,944,572 | |
Redemptions | (194,822,981) | (1,905,181,541) | (419,698,107) | (4,208,438,319) | |
Net decrease | (111,002,124) | $(1,083,790,946) | (15,543,794) | $ (37,587,568) | |
Class R6 | |||||
Sales | 3,342,417 | $ 32,750,372 | 10,838,711 | $ 111,166,323 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 54,401 | 532,751 | 213,520 | 2,159,950 | |
Redemptions | (1,774,267) | (17,266,461) | (21,370,023) | (220,447,271) | |
Net increase (decrease) | 1,622,551 | $ 16,016,662 | (10,317,792) | $ (107,120,998) |
Asset-Backed Securities — 4.8% |
Security | Principal Amount (000's omitted) | Value | |
Alinea CLO, Ltd.: | |||
Series 2018-1A, Class D, 8.35%, (3 mo. USD LIBOR + 3.10%), 7/20/31(1)(2) | $ | 2,500 | $ 2,330,332 |
Series 2018-1A, Class E, 11.25%, (3 mo. USD LIBOR + 6.00%), 7/20/31(1)(2) | 3,000 | 2,551,575 | |
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 12.17%, (3 mo. USD LIBOR + 6.91%), 1/15/32(1)(2) | 5,000 | 4,256,030 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 11.039%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2) | 3,525 | 2,809,581 | |
Apidos CLO XX, Series 2015-20A, Class DR, 10.96%, (3 mo. USD LIBOR + 5.70%), 7/16/31(1)(2) | 2,375 | 2,115,543 | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 11.686%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 3,000 | 2,641,647 | |
Ares XLIX CLO, Ltd.: | |||
Series 2018-49A, Class D, 8.273%, (3 mo. USD LIBOR + 3.00%), 7/22/30(1)(2) | 2,500 | 2,323,337 | |
Series 2018-49A, Class E, 10.973%, (3 mo. USD LIBOR + 5.70%), 7/22/30(1)(2) | 3,500 | 3,020,779 | |
Ares XXXIIR CLO, Ltd.: | |||
Series 2014-32RA, Class C, 7.764%, (3 mo. USD LIBOR + 2.90%), 5/15/30(1)(2) | 5,000 | 4,571,150 | |
Series 2014-32RA, Class D, 10.714%, (3 mo. USD LIBOR + 5.85%), 5/15/30(1)(2) | 1,000 | 823,860 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 10.96%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 4,000 | 3,312,497 | |
Babson CLO, Ltd.: | |||
Series 2015-1A, Class DR, 7.85%, (3 mo. USD LIBOR + 2.60%), 1/20/31(1)(2) | 2,500 | 2,226,098 | |
Series 2018-1A, Class C, 7.86%, (3 mo. USD LIBOR + 2.60%), 4/15/31(1)(2) | 3,500 | 3,111,440 | |
Bain Capital Credit CLO, Ltd., Series 2018-1A, Class D, 7.973%, (3 mo. USD LIBOR + 2.70%), 4/23/31(1)(2) | 5,000 | 4,449,929 | |
Battalion CLO XXII, Ltd., Series 2021-22A, Class E, 12.20%, (3 mo. USD LIBOR + 6.95%), 1/20/35(1)(2) | 1,750 | 1,436,244 | |
Battalion CLO XXIII, Ltd., Series 2022-23A, Class D, 8.936%, (3 mo. SOFR + 3.95%), 5/19/36(1)(2) | 3,500 | 3,225,292 | |
Benefit Street Partners CLO V-B, Ltd.: | |||
Series 2018-5BA, Class C, 8.18%, (3 mo. USD LIBOR + 2.93%), 4/20/31(1)(2) | 5,000 | 4,523,037 | |
Series 2018-5BA, Class D, 11.20%, (3 mo. USD LIBOR + 5.95%), 4/20/31(1)(2) | 3,500 | 3,092,484 | |
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 10.85%, (3 mo. USD LIBOR + 5.60%), 1/20/31(1)(2) | 5,401 | 4,318,003 |
Security | Principal Amount (000's omitted) | Value | |
Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class D, 7.85%, (3 mo. USD LIBOR + 2.60%), 4/20/31(1)(2) | $ | 1,500 | $ 1,345,261 |
Benefit Street Partners CLO XVI, Ltd., Series 2018-16A, Class E, 11.96%, (3 mo. USD LIBOR + 6.70%), 1/17/32(1)(2) | 2,250 | 2,056,182 | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 11.61%, (3 mo. USD LIBOR + 6.35%), 7/15/32(1)(2) | 1,750 | 1,607,811 | |
Benefit Street Partners CLO XXII, Ltd., Series 2020-22A, Class ER, 11.979%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 1,000 | 938,099 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.11%, (3 mo. USD LIBOR + 6.85%), 1/15/35(1)(2) | 3,000 | 2,839,470 | |
Betony CLO 2, Ltd.: | |||
Series 2018-1A, Class C, 8.199%, (3 mo. USD LIBOR + 2.90%), 4/30/31(1)(2) | 2,500 | 2,340,442 | |
Series 2018-1A, Class D, 10.949%, (3 mo. USD LIBOR + 5.65%), 4/30/31(1)(2) | 4,550 | 3,915,365 | |
BlueMountain CLO XXIV, Ltd., Series 2019-24A, Class ER, 12.09%, (3 mo. USD LIBOR + 6.84%), 4/20/34(1)(2) | 1,250 | 1,121,783 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 12.38%, (3 mo. USD LIBOR + 7.13%), 10/20/34(1)(2) | 3,000 | 2,830,428 | |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 11.686%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,736,656 | |
BlueMountain CLO XXXIII, Ltd., Series 2021-33A, Class E, 11.745%, (3 mo. USD LIBOR + 6.83%), 11/20/34(1)(2) | 2,500 | 2,330,272 | |
BlueMountain CLO XXXV, Ltd., Series 2022-35A, Class E, 12.821%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 1,920,356 | |
BlueMountain CLO, Ltd.: | |||
Series 2015-3A, Class CR, 7.85%, (3 mo. USD LIBOR + 2.60%), 4/20/31(1)(2) | 5,000 | 4,415,342 | |
Series 2015-3A, Class DR, 10.65%, (3 mo. USD LIBOR + 5.40%), 4/20/31(1)(2) | 3,000 | 2,409,553 | |
Series 2016-3A, Class DR, 7.964%, (3 mo. USD LIBOR + 3.10%), 11/15/30(1)(2) | 1,500 | 1,333,716 | |
Series 2016-3A, Class ER, 10.814%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2) | 1,500 | 1,211,859 | |
Series 2018-1A, Class D, 8.349%, (3 mo. USD LIBOR + 3.05%), 7/30/30(1)(2) | 2,500 | 2,112,523 | |
Series 2018-1A, Class E, 11.249%, (3 mo. USD LIBOR + 5.95%), 7/30/30(1)(2) | 2,000 | 1,547,639 | |
Bryant Park Funding, Ltd., Series 2023-20A, Class D, (3 mo. SOFR + 6.09%), 7/15/36(1)(2)(3) | 5,250 | 5,197,500 | |
Canyon Capital CLO, Ltd.: | |||
Series 2012-1RA, Class E, 10.96%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 4,875 | 4,014,976 |
Security | Principal Amount (000's omitted) | Value | |
Canyon Capital CLO, Ltd.: (continued) | |||
Series 2016-1A, Class DR, 8.06%, (3 mo. USD LIBOR + 2.80%), 7/15/31(1)(2) | $ | 3,000 | $ 2,730,122 |
Series 2016-1A, Class ER, 11.01%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 4,000 | 3,217,550 | |
Series 2016-2A, Class ER, 11.26%, (3 mo. USD LIBOR + 6.00%), 10/15/31(1)(2) | 4,500 | 3,637,586 | |
Series 2018-1A, Class D, 8.16%, (3 mo. USD LIBOR + 2.90%), 7/15/31(1)(2) | 3,000 | 2,699,309 | |
Series 2018-1A, Class E, 11.01%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 2,750 | 2,212,837 | |
Series 2019-2A, Class ER, 12.01%, (3 mo. USD LIBOR + 6.75%), 10/15/34(1)(2) | 1,500 | 1,377,101 | |
Carlyle CLO C17, Ltd.: | |||
Series C17A, Class CR, 8.099%, (3 mo. USD LIBOR + 2.80%), 4/30/31(1)(2) | 5,000 | 4,649,897 | |
Series C17A, Class DR, 11.299%, (3 mo. USD LIBOR + 6.00%), 4/30/31(1)(2) | 3,500 | 2,963,709 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class CR2, 8.751%, (3 mo. USD LIBOR + 3.50%), 1/14/32(1)(2) | 2,500 | 2,243,209 | |
Series 2012-3A, Class DR2, 11.751%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2) | 1,500 | 1,225,802 | |
Series 2014-3RA, Class C, 8.242%, (3 mo. USD LIBOR + 2.95%), 7/27/31(1)(2) | 1,000 | 891,016 | |
Series 2014-3RA, Class D, 10.692%, (3 mo. USD LIBOR + 5.40%), 7/27/31(1)(2) | 2,150 | 1,737,165 | |
Series 2014-4RA, Class C, 8.16%, (3 mo. USD LIBOR + 2.90%), 7/15/30(1)(2) | 2,750 | 2,438,611 | |
Series 2014-4RA, Class D, 10.91%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2) | 3,500 | 2,836,630 | |
Carlyle US CLO, Ltd., Series 2019-4A, Class DR, 11.586%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 3,000 | 2,640,198 | |
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 11.85%, (3 mo. USD LIBOR + 6.60%), 7/20/34(1)(2) | 1,000 | 931,771 | |
CIFC Funding, Ltd., Series 2022-4A, Class D, 8.536%, (3 mo. SOFR + 3.55%), 7/16/35(1)(2) | 1,750 | 1,640,702 | |
Dryden CLO, Ltd.: | |||
Series 2018-55A, Class D, 8.11%, (3 mo. USD LIBOR + 2.85%), 4/15/31(1)(2) | 1,500 | 1,324,530 | |
Series 2018-55A, Class E, 10.66%, (3 mo. USD LIBOR + 5.40%), 4/15/31(1)(2) | 2,000 | 1,744,206 | |
Series 2022-112A, Class E, 12.541%, (3 mo. SOFR + 7.78%), 8/15/34(1)(2) | 2,000 | 1,940,168 | |
Dryden Senior Loan Fund: | |||
Series 2015-41A, Class DR, 7.86%, (3 mo. USD LIBOR + 2.60%), 4/15/31(1)(2) | 7,000 | 6,407,908 | |
Series 2015-41A, Class ER, 10.56%, (3 mo. USD LIBOR + 5.30%), 4/15/31(1)(2) | 1,268 | 1,027,839 | |
Series 2016-42A, Class DR, 8.19%, (3 mo. USD LIBOR + 2.93%), 7/15/30(1)(2) | 2,500 | 2,308,428 | |
Series 2016-42A, Class ER, 10.81%, (3 mo. USD LIBOR + 5.55%), 7/15/30(1)(2) | 3,500 | 2,859,753 |
Security | Principal Amount (000's omitted) | Value | |
Elmwood CLO 14, Ltd., Series 2022-1A, Class E, 11.399%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | $ | 1,950 | $ 1,817,264 |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 12.136%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,000 | 1,911,092 | |
Galaxy 31 CLO, Ltd., Series 2023-31A, Class D, 10.031%, (3 mo. SOFR + 5.25%), 4/15/36(1)(2) | 1,750 | 1,738,265 | |
Galaxy XV CLO, Ltd., Series 2013-15A, Class ER, 11.905%, (3 mo. USD LIBOR + 6.65%), 10/15/30(1)(2) | 4,500 | 3,809,582 | |
Galaxy XXV CLO, Ltd.: | |||
Series 2015-19A, Class D1R, 11.803%, (3 mo. USD LIBOR + 6.53%), 7/24/30(1)(2) | 2,000 | 1,666,848 | |
Series 2018-25A, Class D, 8.355%, (3 mo. USD LIBOR + 3.10%), 10/25/31(1)(2) | 2,500 | 2,291,357 | |
Series 2018-25A, Class E, 11.205%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 3,500 | 3,108,372 | |
Golub Capital Partners CLO 37B, Ltd.: | |||
Series 2018-37A, Class D, 8.55%, (3 mo. USD LIBOR + 3.30%), 7/20/30(1)(2) | 4,000 | 3,642,015 | |
Series 2018-37A, Class E, 11.00%, (3 mo. USD LIBOR + 5.75%), 7/20/30(1)(2) | 4,750 | 4,530,396 | |
Golub Capital Partners CLO 53B, Ltd., Series 2021-53A, Class E, 11.95%, (3 mo. USD LIBOR + 6.70%), 7/20/34(1)(2) | 1,250 | 1,132,895 | |
Golub Capital Partners CLO 58B, Ltd., Series 2021-58A, Class E, 12.065%, (3 mo. USD LIBOR + 6.81%), 1/25/35(1)(2) | 2,500 | 2,240,998 | |
Golub Capital Partners CLO, Ltd., Series 2020-48A, Class D, 9.06%, (3 mo. USD LIBOR + 3.80%), 4/17/33(1)(2) | 2,000 | 1,821,942 | |
Halseypoint CLO 5, Ltd., Series 2021-5A, Class E, 12.239%, (3 mo. USD LIBOR + 6.94%), 1/30/35(1)(2) | 2,000 | 1,858,328 | |
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 11.65%, (3 mo. USD LIBOR + 6.40%), 4/20/34(1)(2) | 1,000 | 927,338 | |
ICG US CLO, Ltd.: | |||
Series 2018-2A, Class D, 8.373%, (3 mo. USD LIBOR + 3.10%), 7/22/31(1)(2) | 2,000 | 1,759,504 | |
Series 2018-2A, Class E, 11.023%, (3 mo. USD LIBOR + 5.75%), 7/22/31(1)(2) | 3,000 | 2,192,656 | |
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 11.862%, (3 mo. USD LIBOR + 6.60%), 1/18/34(1)(2) | 1,550 | 1,452,893 | |
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class ER, 12.036%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,500 | 2,361,730 | |
Marble Point CLO XXIV, Ltd., Series 2022-1A, Class D1, 9.289%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,867,082 | |
Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class DR2, 11.181%, (3 mo. USD LIBOR + 5.92%), 10/21/30(1)(2) | 2,000 | 1,807,445 |
Security | Principal Amount (000's omitted) | Value | |
Neuberger Berman CLO XXII, Ltd.: | |||
Series 2016-22A, Class DR, 8.36%, (3 mo. USD LIBOR + 3.10%), 10/17/30(1)(2) | $ | 2,500 | $ 2,340,391 |
Series 2016-22A, Class ER, 11.32%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2) | 3,000 | 2,654,338 | |
Neuberger Berman Loan Advisers CLO 28, Ltd., Series 2018-28A, Class E, 10.85%, (3 mo. USD LIBOR + 5.60%), 4/20/30(1)(2) | 1,950 | 1,734,006 | |
Neuberger Berman Loan Advisers CLO 48, Ltd., Series 2022-48A, Class E, 11.568%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | 2,600 | 2,386,322 | |
OCP CLO, Ltd.: | |||
Series 2022-24A, Class D, 8.849%, (3 mo. SOFR + 3.80%), 7/20/35(1)(2) | 500 | 464,128 | |
Series 2022-24A, Class E, 12.469%, (3 mo. SOFR + 7.42%), 7/20/35(1)(2) | 1,000 | 913,315 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 11.11%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2) | 3,250 | 2,941,406 | |
Series 2015-1A, Class DR4, 11.415%, (3 mo. USD LIBOR + 6.50%), 5/21/34(1)(2) | 2,000 | 1,708,728 | |
Series 2018-1A, Class C, 7.762%, (3 mo. USD LIBOR + 2.50%), 4/18/31(1)(2) | 3,000 | 2,812,464 | |
Series 2018-1A, Class D, 10.412%, (3 mo. USD LIBOR + 5.15%), 4/18/31(1)(2) | 2,000 | 1,775,029 | |
Series 2018-2A, Class D, 10.86%, (3 mo. USD LIBOR + 5.60%), 7/16/31(1)(2) | 2,000 | 1,804,678 | |
Series 2021-2A, Class E, 11.61%, (3 mo. USD LIBOR + 6.35%), 7/15/34(1)(2) | 1,000 | 944,246 | |
Series 2022-1A, Class E, 11.399%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 5,500 | 5,066,583 | |
Series 2022-3A, Class E, 13.029%, (3 mo. SOFR + 7.98%), 7/20/35(1)(2) | 2,250 | 2,227,601 | |
RAD CLO 5, Ltd., Series 2019-5A, Class E, 11.973%, (3 mo. USD LIBOR + 6.70%), 7/24/32(1)(2) | 1,250 | 1,091,344 | |
RAD CLO 11, Ltd., Series 2021-11A, Class E, 11.51%, (3 mo. USD LIBOR + 6.25%), 4/15/34(1)(2) | 750 | 703,391 | |
RAD CLO 14, Ltd., Series 2021-14A, Class E, 11.76%, (3 mo. USD LIBOR + 6.50%), 1/15/35(1)(2) | 1,050 | 952,642 | |
Regatta XIII Funding, Ltd.: | |||
Series 2018-2A, Class C, 8.36%, (3 mo. USD LIBOR + 3.10%), 7/15/31(1)(2) | 2,500 | 2,279,285 | |
Series 2018-2A, Class D, 11.21%, (3 mo. USD LIBOR + 5.95%), 7/15/31(1)(2) | 5,000 | 4,097,782 | |
Regatta XIV Funding, Ltd.: | |||
Series 2018-3A, Class D, 8.455%, (3 mo. USD LIBOR + 3.20%), 10/25/31(1)(2) | 2,500 | 2,283,199 | |
Series 2018-3A, Class E, 11.205%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 2,000 | 1,694,923 |
Security | Principal Amount (000's omitted) | Value | |
Regatta XV Funding, Ltd., Series 2018-4A, Class D, 11.755%, (3 mo. USD LIBOR + 6.50%), 10/25/31(1)(2) | $ | 2,875 | $ 2,466,581 |
Symphony CLO, Ltd., Series 2022-37A, Class D1, 9.676%, (3 mo. SOFR + 5.43%), 10/20/34(1)(2) | 2,500 | 2,492,962 | |
Upland CLO, Ltd.: | |||
Series 2016-1A, Class CR, 8.15%, (3 mo. USD LIBOR + 2.90%), 4/20/31(1)(2) | 4,500 | 4,168,909 | |
Series 2016-1A, Class DR, 11.15%, (3 mo. USD LIBOR + 5.90%), 4/20/31(1)(2) | 4,625 | 3,948,644 | |
Vibrant CLO IX, Ltd.: | |||
Series 2018-9A, Class C, 8.51%, (3 mo. SOFR + 3.46%), 7/20/31(1)(2) | 2,500 | 2,158,458 | |
Series 2018-9A, Class D, 11.56%, (3 mo. SOFR + 6.51%), 7/20/31(1)(2) | 3,500 | 2,589,514 | |
Vibrant CLO X, Ltd.: | |||
Series 2018-10A, Class C, 8.56%, (3 mo. SOFR + 3.51%), 10/20/31(1)(2) | 5,000 | 4,342,012 | |
Series 2018-10A, Class D, 11.50%, (3 mo. SOFR + 6.45%), 10/20/31(1)(2) | 5,000 | 3,888,903 | |
Voya CLO, Ltd.: | |||
Series 2014-1A, Class DR2, 11.244%, (3 mo. SOFR + 6.26%), 4/18/31(1)(2) | 3,250 | 2,676,073 | |
Series 2015-3A, Class CR, 8.46%, (3 mo. SOFR + 3.41%), 10/20/31(1)(2) | 2,500 | 2,076,084 | |
Series 2015-3A, Class DR, 11.51%, (3 mo. SOFR + 6.46%), 10/20/31(1)(2) | 5,500 | 4,127,435 | |
Series 2016-3A, Class CR, 8.512%, (3 mo. USD LIBOR + 3.25%), 10/18/31(1)(2) | 2,000 | 1,711,971 | |
Series 2016-3A, Class DR, 11.342%, (3 mo. USD LIBOR + 6.08%), 10/18/31(1)(2) | 2,375 | 1,704,293 | |
Webster Park CLO, Ltd.: | |||
Series 2015-1A, Class CR, 8.15%, (3 mo. USD LIBOR + 2.90%), 7/20/30(1)(2) | 2,000 | 1,843,301 | |
Series 2015-1A, Class DR, 10.75%, (3 mo. USD LIBOR + 5.50%), 7/20/30(1)(2) | 2,500 | 2,098,162 | |
Wellfleet CLO, Ltd.: | |||
Series 2021-3A, Class E, 12.36%, (3 mo. USD LIBOR + 7.10%), 1/15/35(1)(2) | 1,050 | 896,221 | |
Series 2022-1A, Class D, 9.126%, (3 mo. SOFR + 4.14%), 4/15/34(1)(2) | 1,000 | 929,625 | |
Series 2022-1A, Class E, 12.846%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,300 | 2,057,375 | |
Series 2022-2A, Class E, 13.542%, (3 mo. SOFR + 8.56%), 10/18/35(1)(2) | 1,000 | 967,611 | |
Total Asset-Backed Securities (identified cost $335,632,910) | $ 296,008,075 |
Common Stocks — 0.3% |
Security | Shares | Value | |
Aerospace and Defense — 0.0%(4) | |||
IAP Global Services, LLC(5)(6)(7) | 168 | $ 751,491 | |
$ 751,491 | |||
Containers and Glass Products — 0.1% | |||
LG Newco Holdco, Inc., Class A(6)(7) | 342,076 | $ 3,078,684 | |
$ 3,078,684 | |||
Electronics/Electrical — 0.0%(4) | |||
Skillsoft Corp.(6)(7) | 1,010,393 | $ 1,242,783 | |
$ 1,242,783 | |||
Health Care — 0.0% | |||
Akorn Holding Company, LLC, Class A(5)(6)(7) | 792,089 | $ 0 | |
$ 0 | |||
Investment Companies — 0.0%(4) | |||
Aegletes B.V.(6)(7) | 138,671 | $ 808,910 | |
Jubilee Topco, Ltd., Class A(5)(6) | 2,563,805 | 0 | |
$ 808,910 | |||
Nonferrous Metals/Minerals — 0.0%(4) | |||
ACNR Holdings, Inc., Class A(6)(7) | 30,298 | $ 2,794,991 | |
$ 2,794,991 | |||
Oil and Gas — 0.0%(4) | |||
AFG Holdings, Inc.(5)(6)(7) | 281,241 | $ 840,911 | |
McDermott International, Ltd.(6)(7) | 1,382,889 | 592,844 | |
QuarterNorth Energy, Inc.(7) | 6,269 | 874,917 | |
$ 2,308,672 | |||
Radio and Television — 0.0%(4) | |||
Clear Channel Outdoor Holdings, Inc.(6)(7) | 482,097 | $ 612,263 | |
Cumulus Media, Inc., Class A(6)(7) | 371,654 | 1,306,364 | |
iHeartMedia, Inc., Class A(6)(7) | 205,018 | 711,412 | |
$ 2,630,039 | |||
Retailers (Except Food and Drug) — 0.0%(4) | |||
David’s Bridal, LLC(5)(6)(7) | 195,511 | $ 0 | |
Phillips Pet Holding Corp.(5)(6)(7) | 2,960 | 224,250 | |
$ 224,250 |
Security | Shares | Value | |
Telecommunications — 0.1% | |||
GEE Acquisition Holdings Corp.(5)(6)(7) | 390,679 | $ 3,770,052 | |
$ 3,770,052 | |||
Utilities — 0.1% | |||
Longview Intermediate Holdings, LLC, Class A(7) | 359,046 | $ 2,897,502 | |
$ 2,897,502 | |||
Total Common Stocks (identified cost $67,259,095) | $ 20,507,374 |
Corporate Bonds — 9.7% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 0.1% | |||
TransDigm, Inc.: | |||
6.25%, 3/15/26(1) | 1,500 | $ 1,509,438 | |
6.75%, 8/15/28(1) | 3,825 | 3,889,226 | |
$ 5,398,664 | |||
Air Transport — 0.7% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 19,300 | $ 18,974,676 | |
5.75%, 4/20/29(1) | 14,475 | 13,774,050 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 5,050 | 4,828,932 | |
4.625%, 4/15/29(1) | 5,050 | 4,575,688 | |
$ 42,153,346 | |||
Automotive — 0.1% | |||
Adient Global Holdings, Ltd., 7.00%, 4/15/28(1) | 2,650 | $ 2,720,493 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 2,183 | 2,189,141 | |
Clarios Global, L.P./Clarios US Finance Co., 6.25%, 5/15/26(1) | 4,478 | 4,462,316 | |
$ 9,371,950 | |||
Building and Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, 6.75%, 5/15/28(1) | 3,625 | $ 3,387,617 | |
Winnebago Industries, Inc., 6.25%, 7/15/28(1) | 1,100 | 1,065,410 | |
$ 4,453,027 |
Security | Principal Amount* (000's omitted) | Value | |
Business Equipment and Services — 1.2% | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp., 6.625%, 7/15/26(1) | 2,475 | $ 2,389,109 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
4.625%, 6/1/28(1) | 20,725 | 18,062,149 | |
4.625%, 6/1/28(1) | 27,575 | 23,983,629 | |
Prime Security Services Borrower, LLC/Prime Finance, Inc.: | |||
5.25%, 4/15/24(1) | 9,125 | 9,093,734 | |
5.75%, 4/15/26(1) | 17,950 | 17,837,696 | |
$ 71,366,317 | |||
Chemicals — 0.3% | |||
Cheever Escrow Issuer, LLC, 7.125%, 10/1/27(1) | 1,075 | $ 1,025,956 | |
INEOS Finance PLC, 3.375%, 3/31/26(1) | EUR | 2,000 | 2,049,561 |
INEOS Quattro Finance 2 PLC, 3.375%, 1/15/26(1) | 5,464 | 5,018,903 | |
Olympus Water US Holding Corp., 4.25%, 10/1/28(1) | 10,050 | 8,582,700 | |
$ 16,677,120 | |||
Commercial Services — 0.3% | |||
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(1) | 15,600 | $ 14,697,930 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 6,050 | 5,678,179 | |
$ 20,376,109 | |||
Communications Equipment — 0.1% | |||
CommScope, Inc., 4.75%, 9/1/29(1) | 7,038 | $ 5,689,844 | |
$ 5,689,844 | |||
Containers & Packaging — 0.3% | |||
Clydesdale Acquisition Holdings, Inc., 6.625%, 4/15/29(1) | 2,525 | $ 2,480,741 | |
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC: | |||
4.00%, 10/15/27(1) | 6,325 | 5,700,438 | |
4.375%, 10/15/28(1) | 10,100 | 8,903,705 | |
$ 17,084,884 | |||
Diversified Financial Services — 0.3% | |||
AG Issuer, LLC, 6.25%, 3/1/28(1) | 11,581 | $ 10,776,641 | |
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 3,350 | 3,447,234 | |
NFP Corp., 7.50%, 10/1/30(1) | 3,350 | 3,286,510 | |
$ 17,510,385 |
Security | Principal Amount* (000's omitted) | Value | |
Diversified Telecommunication Services — 1.1% | |||
Altice France S.A.: | |||
5.125%, 1/15/29(1) | 1,600 | $ 1,183,886 | |
5.125%, 7/15/29(1) | 63,200 | 46,783,844 | |
5.50%, 10/15/29(1) | 6,455 | 4,837,898 | |
Level 3 Financing, Inc., 3.875%, 11/15/29(1) | 11,175 | 8,171,347 | |
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(1) | 7,625 | 6,539,681 | |
Zayo Group Holdings, Inc., 4.00%, 3/1/27(1) | 4,000 | 3,032,908 | |
$ 70,549,564 | |||
Drugs — 0.1% | |||
Jazz Securities DAC, 4.375%, 1/15/29(1) | 10,050 | $ 9,246,302 | |
$ 9,246,302 | |||
Ecological Services and Equipment — 0.1% | |||
GFL Environmental, Inc., 4.25%, 6/1/25(1) | 6,025 | $ 5,869,465 | |
$ 5,869,465 | |||
Electronics/Electrical — 0.4% | |||
GoTo Group, Inc., 5.50%, 9/1/27(1) | 12,010 | $ 6,773,700 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 20,200 | 17,514,545 | |
$ 24,288,245 | |||
Entertainment — 0.2% | |||
AMC Entertainment Holdings, Inc., 7.50%, 2/15/29(1) | 9,650 | $ 7,005,321 | |
Live Nation Entertainment, Inc., 3.75%, 1/15/28(1) | 2,412 | 2,164,770 | |
Six Flags Theme Parks, Inc., 7.00%, 7/1/25(1) | 1,208 | 1,224,411 | |
$ 10,394,502 | |||
Health Care — 0.8% | |||
HCA, Inc., 5.25%, 4/15/25 | 1,250 | $ 1,253,363 | |
Medline Borrower, L.P., 3.875%, 4/1/29(1) | 25,150 | 22,027,708 | |
RP Escrow Issuer, LLC, 5.25%, 12/15/25(1) | 2,650 | 1,861,622 | |
Tenet Healthcare Corp., 4.25%, 6/1/29 | 25,375 | 23,303,128 | |
$ 48,445,821 | |||
Hotels, Restaurants & Leisure — 0.6% | |||
Carnival Corp., 4.00%, 8/1/28(1) | 37,975 | $ 32,957,720 | |
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(1) | 2,425 | 2,482,376 | |
$ 35,440,096 |
Security | Principal Amount* (000's omitted) | Value | |
Household Products — 0.0%(4) | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(1) | 1,300 | $ 1,204,333 | |
$ 1,204,333 | |||
Insurance — 0.0%(4) | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co., 4.25%, 10/15/27(1) | 700 | $ 641,579 | |
NFP Corp., 4.875%, 8/15/28(1) | 1,000 | 911,130 | |
$ 1,552,709 | |||
Internet Software & Services — 0.3% | |||
Arches Buyer, Inc., 4.25%, 6/1/28(1) | 7,525 | $ 6,484,554 | |
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(1) | 15,225 | 15,090,394 | |
$ 21,574,948 | |||
Leisure Goods/Activities/Movies — 0.4% | |||
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 3,475 | $ 3,269,687 | |
NCL Corp., Ltd., 5.875%, 2/15/27(1) | 22,375 | 21,127,309 | |
$ 24,396,996 | |||
Machinery — 0.2% | |||
Madison IAQ, LLC, 4.125%, 6/30/28(1) | 12,300 | $ 10,832,961 | |
TK Elevator U.S. Newco, Inc., 5.25%, 7/15/27(1) | 4,950 | 4,633,232 | |
$ 15,466,193 | |||
Media — 0.5% | |||
Diamond Sports Group, LLC/Diamond Sports Finance Co., 5.375%, 8/15/26(1)(8) | 6,700 | $ 456,437 | |
iHeartCommunications, Inc.: | |||
4.75%, 1/15/28(1) | 2,975 | 2,320,164 | |
5.25%, 8/15/27(1) | 2,500 | 1,977,947 | |
6.375%, 5/1/26 | 1,159 | 996,539 | |
8.375%, 5/1/27 | 2,101 | 1,388,727 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 10,075 | 8,692,337 | |
7.375%, 6/30/30(1) | 12,850 | 12,343,074 | |
$ 28,175,225 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
CITGO Petroleum Corporation, 7.00%, 6/15/25(1) | 12,175 | $ 12,132,388 | |
$ 12,132,388 |
Security | Principal Amount* (000's omitted) | Value | |
Professional Services — 0.1% | |||
CoreLogic, Inc., 4.50%, 5/1/28(1) | 6,000 | $ 4,911,150 | |
$ 4,911,150 | |||
Real Estate Investment Trusts (REITs) — 0.1% | |||
Park Intermediate Holdings, LLC/PK Domestic Property, LLC/PK Finance Co-Issuer, 5.875%, 10/1/28(1) | 7,925 | $ 7,317,945 | |
$ 7,317,945 | |||
Retail — 0.1% | |||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 6,790 | $ 5,951,231 | |
$ 5,951,231 | |||
Retailers (Except Food and Drug) — 0.0%(4) | |||
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 1,575 | $ 1,490,436 | |
$ 1,490,436 | |||
Software — 0.2% | |||
Boxer Parent Co., Inc., 7.125%, 10/2/25(1) | 4,850 | $ 4,841,464 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 9,600 | 8,258,064 | |
$ 13,099,528 | |||
Technology — 0.2% | |||
Clarivate Science Holdings Corp., 3.875%, 7/1/28(1) | 12,575 | $ 11,330,325 | |
$ 11,330,325 | |||
Telecommunications — 0.4% | |||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 17,200 | $ 14,751,236 | |
VMED O2 UK Financing I PLC, 4.25%, 1/31/31(1) | 10,575 | 8,777,671 | |
$ 23,528,907 | |||
Trading Companies & Distributors — 0.1% | |||
American Builders & Contractors Supply Co., Inc., 4.00%, 1/15/28(1) | 875 | $ 802,669 | |
SRS Distribution, Inc., 4.625%, 7/1/28(1) | 5,100 | 4,497,003 | |
$ 5,299,672 |
Security | Principal Amount* (000's omitted) | Value | |
Wireless Telecommunication Services — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(1) | 7,250 | $ 6,572,560 | |
$ 6,572,560 | |||
Total Corporate Bonds (identified cost $677,058,987) | $ 598,320,187 |
Exchange-Traded Funds — 0.3% |
Security | Shares | Value | |
SPDR Blackstone Senior Loan ETF | 384,000 | $ 15,943,680 | |
Total Exchange-Traded Funds (identified cost $17,625,066) | $ 15,943,680 |
Preferred Stocks — 0.1% |
Security | Shares | Value | |
Financial Services — 0.0% | |||
DBI Investors, Inc., Series A-1(5)(6)(7) | 9,245 | $ 0 | |
$ 0 | |||
Nonferrous Metals/Minerals — 0.1% | |||
ACNR Holdings, Inc., 15.00% (PIK)(6)(7) | 14,309 | $ 8,013,040 | |
$ 8,013,040 | |||
Retailers (Except Food and Drug) — 0.0%(4) | |||
David’s Bridal, LLC: | |||
Series A, 8.00% (PIK)(5)(6)(7) | 5,438 | $ 0 | |
Series B, 10.00% (PIK)(5)(6)(7) | 22,162 | 0 | |
$ 0 | |||
Total Preferred Stocks (identified cost $1,794,236) | $ 8,013,040 |
Senior Floating-Rate Loans — 110.3%(9) |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 2.5% | |||
Aernnova Aerospace S.A.U.: | |||
Term Loan, 5.436%, (6 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 4,179 | $ 4,351,129 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense (continued) | |||
Aernnova Aerospace S.A.U.: (continued) | |||
Term Loan, 5.625%, (6 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 1,071 | $ 1,115,674 |
AI Convoy (Luxembourg) S.a.r.l., Term Loan, 7.078%, (6 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 4,300 | 4,477,572 |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 8.582%, (SOFR + 3.50%), 4/6/26 | 28,956 | 28,490,072 | |
Term Loan, 8.582%, (SOFR + 3.50%), 4/6/26 | 15,571 | 15,320,537 | |
IAP Worldwide Services, Inc., Term Loan - Second Lien, 11.659%, (3 mo. USD LIBOR + 6.50%), 7/18/23(5) | 1,188 | 942,241 | |
TransDigm, Inc.: | |||
Term Loan, 8.148%, (SOFR + 3.25%), 2/22/27 | 29,594 | 29,676,053 | |
Term Loan, 8.148%, (SOFR + 3.25%), 8/24/28 | 34,904 | 34,929,327 | |
WP CPP Holdings, LLC, Term Loan, 9.03%, (3 mo. USD LIBOR + 3.75%), 4/30/25 | 35,389 | 32,557,551 | |
$ 151,860,156 | |||
Airlines — 0.7% | |||
American Airlines, Inc., Term Loan, 10.00%, (3 mo. USD LIBOR + 4.75%), 4/20/28 | 36,000 | $ 36,306,000 | |
United Airlines, Inc., Term Loan, 8.77%, (1 mo. USD LIBOR + 3.75%), 4/21/28 | 8,629 | 8,613,671 | |
$ 44,919,671 | |||
Apparel & Luxury Goods — 0.1% | |||
Hanesbrands, Inc., Term Loan, 8.732%, (SOFR + 3.75%), 3/8/30 | 5,475 | $ 5,454,469 | |
$ 5,454,469 | |||
Auto Components — 2.2% | |||
Adient US, LLC, Term Loan, 8.268%, (1 mo. USD LIBOR + 3.25%), 4/10/28 | 7,981 | $ 7,992,042 | |
Clarios Global, L.P., Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 31,981 | 34,880,848 |
DexKo Global, Inc.: | |||
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 10/4/28 | EUR | 1,115 | 1,129,737 |
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 10/4/28 | EUR | 3,604 | 3,651,214 |
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 10/4/28 | EUR | 6,931 | 7,021,195 |
Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 10/4/28 | 14,330 | 13,685,389 | |
Garrett LX I S.a.r.l.: | |||
Term Loan, 6.742%, (3 mo. EURIBOR + 3.50%), 4/30/28 | EUR | 17,397 | 18,834,086 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Auto Components (continued) | |||
Garrett LX I S.a.r.l.: (continued) | |||
Term Loan, 8.657%, (3 mo. USD LIBOR + 3.25%), 4/30/28 | 6,304 | $ 6,209,440 | |
Garrett Motion, Inc., Term Loan, 4/28/30(10) | 13,200 | 12,820,500 | |
LTI Holdings, Inc.: | |||
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 9/6/25 | 8,115 | 7,925,168 | |
Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 7/24/26 | 8,010 | 7,834,383 | |
Truck Hero, Inc., Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 1/31/28 | 16,488 | 15,045,305 | |
$ 137,029,307 | |||
Automobiles — 0.8% | |||
Bombardier Recreational Products, Inc., Term Loan, 7.082%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | 35,368 | $ 34,566,513 | |
MajorDrive Holdings IV, LLC, Term Loan, 9.00%, (3 mo. USD LIBOR + 4.00%), 6/1/28 | 15,964 | 15,580,256 | |
$ 50,146,769 | |||
Beverages — 0.3% | |||
Arterra Wines Canada, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 11/24/27 | 3,422 | $ 3,351,294 | |
City Brewing Company, LLC, Term Loan, 8.76%, (3 mo. USD LIBOR + 3.50%), 4/5/28 | 6,396 | 2,664,978 | |
Triton Water Holdings, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 3/31/28 | 12,299 | 11,690,436 | |
$ 17,706,708 | |||
Biotechnology — 0.5% | |||
Alkermes, Inc., Term Loan, 7.45%, (1 mo. USD LIBOR + 2.50%), 3/12/26 | 12,767 | $ 12,543,908 | |
Alltech, Inc., Term Loan, 9.097%, (SOFR + 4.00%), 10/13/28 | 6,877 | 6,670,535 | |
Grifols Worldwide Operations USA, Inc., Term Loan, 7.025%, (1 mo. USD LIBOR + 2.00%), 11/15/27 | 9,268 | 9,045,028 | |
$ 28,259,471 | |||
Building Products — 1.1% | |||
Cornerstone Building Brands, Inc., Term Loan, 8.24%, (SOFR + 3.25%), 4/12/28 | 20,035 | $ 18,231,402 | |
CPG International, Inc., Term Loan, 7.582%, (SOFR + 2.50%), 4/28/29 | 14,875 | 14,833,421 | |
LHS Borrower, LLC, Term Loan, 9.832%, (SOFR + 4.75%), 2/16/29 | 10,881 | 8,541,910 | |
MI Windows and Doors, LLC, Term Loan, 8.582%, (SOFR + 3.50%), 12/18/27 | 6,383 | 6,381,497 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Building Products (continued) | |||
Oscar AcquisitionCo, LLC, Term Loan, 9.498%, (SOFR + 4.50%), 4/29/29 | 5,001 | $ 4,845,764 | |
Standard Industries, Inc., Term Loan, 7.329%, (SOFR + 2.25%), 9/22/28 | 13,134 | 13,116,399 | |
$ 65,950,393 | |||
Capital Markets — 5.5% | |||
Advisor Group, Inc., Term Loan, 9.525%, (1 mo. USD LIBOR + 4.50%), 7/31/26 | 36,062 | $ 35,901,886 | |
AllSpring Buyer, LLC, Term Loan, 8.163%, (3 mo. USD LIBOR + 3.00%), 11/1/28 | 8,271 | 8,252,333 | |
Aretec Group, Inc.: | |||
Term Loan, 9.332%, (SOFR + 4.25%), 10/1/25 | 25,649 | 25,580,510 | |
Term Loan, 3/8/30(10) | 10,925 | 10,811,194 | |
Brookfield Property REIT, Inc., Term Loan, 7.582%, (SOFR + 2.50%), 8/27/25 | 5,664 | 5,502,715 | |
CeramTec AcquiCo GmbH, Term Loan, 6.448%, (3 mo. EURIBOR + 3.75%), 3/16/29 | EUR | 14,461 | 15,447,062 |
Citadel Securities, L.P., Term Loan, 8.097%, (SOFR + 3.00%), 2/2/28 | 2,488 | 2,482,577 | |
Clipper Acquisitions Corp., Term Loan, 6.608%, (1 mo. USD LIBOR + 1.75%), 3/3/28 | 7,835 | 7,796,111 | |
Edelman Financial Center, LLC, Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 4/7/28 | 22,397 | 21,734,425 | |
EIG Management Company, LLC, Term Loan, 8.732%, (SOFR + 3.75%), 2/22/25 | 2,684 | 2,673,686 | |
FinCo I, LLC, Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 6/27/25 | 19,622 | 19,621,704 | |
Focus Financial Partners, LLC: | |||
Term Loan, 7.482%, (SOFR + 2.50%), 6/30/28 | 10,886 | 10,768,685 | |
Term Loan, 8.232%, (SOFR + 3.25%), 6/30/28 | 27,591 | 27,466,460 | |
Franklin Square Holdings, L.P., Term Loan, 7.332%, (SOFR + 2.35%), 8/1/25 | 6,518 | 6,501,547 | |
Greenhill & Co., Inc., Term Loan, 8.203%, (3 mo. USD LIBOR + 3.25%), 4/12/24 | 5,488 | 5,409,215 | |
Guggenheim Partners, LLC, Term Loan, 8.148%, (SOFR + 3.25%), 12/12/29 | 32,516 | 32,488,895 | |
HighTower Holdings, LLC, Term Loan, 9.01%, (1 mo. USD LIBOR + 4.00%), 4/21/28 | 9,311 | 8,947,111 | |
Hudson River Trading, LLC, Term Loan, 8.097%, (SOFR + 3.00%), 3/20/28 | 29,890 | 28,149,560 | |
LPL Holdings, Inc., Term Loan, 6.653%, (SOFR + 1.75%), 11/12/26 | 19,253 | 19,235,185 | |
Mariner Wealth Advisors, LLC, Term Loan, 8.404%, (SOFR + 3.25%), 8/18/28 | 15,145 | 14,823,601 | |
Victory Capital Holdings, Inc.: | |||
Term Loan, 7.287%, (SOFR + 2.25%), 7/1/26 | 18,707 | 18,638,472 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Capital Markets (continued) | |||
Victory Capital Holdings, Inc.: (continued) | |||
Term Loan, 7.287%, (SOFR + 2.25%), 12/29/28 | 8,636 | $ 8,566,129 | |
$ 336,799,063 | |||
Chemicals — 5.9% | |||
Axalta Coating Systems Dutch Holding B B.V., Term Loan, 7.898%, (SOFR + 3.00%), 12/20/29 | 21,894 | $ 21,986,760 | |
Chemours Company (The), Term Loan, 5.02%, (3 mo. EURIBOR + 2.00%), 4/3/25 | EUR | 5,566 | 6,102,465 |
Colouroz Investment 1 GmbH: | |||
Term Loan, 7.465%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 1,164 | 882,086 |
Term Loan, 7.466%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 27 | 20,593 |
CPC Acquisition Corp., Term Loan, 8.91%, (SOFR + 3.75%), 12/29/27 | 17,474 | 13,402,625 | |
Flint Group GmbH: | |||
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 1,102 | 835,097 |
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 32 | 24,132 |
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 73 | 54,949 |
Term Loan, 7.461%, (3 mo. EURIBOR + 4.25%), 9/21/23 | EUR | 144 | 108,874 |
Term Loan, 10.27%, (USD LIBOR + 5.00%), 9.52% cash, 0.75% PIK, 9/21/23(11) | 1,326 | 909,784 | |
Flint Group US, LLC: | |||
Term Loan, 10.272%, (USD LIBOR + 5.00%), 9.52% cash, 0.75% PIK, 9/21/23(11) | 8,020 | 5,503,449 | |
Term Loan, 10.272%, (USD LIBOR + 5.00%), 9.52% cash, 0.75% PIK, 9/21/23(11) | 1,987 | 1,339,055 | |
Gemini HDPE, LLC, Term Loan, 8.292%, (3 mo. USD LIBOR + 3.00%), 12/31/27 | 5,818 | 5,819,954 | |
GEON Performance Solutions, LLC, Term Loan, 9.659%, (3 mo. USD LIBOR + 4.50%), 8/18/28 | 7,659 | 7,606,444 | |
Groupe Solmax, Inc., Term Loan, 9.909%, (3 mo. USD LIBOR + 4.75%), 5/29/28 | 19,975 | 18,046,442 | |
INEOS Enterprises Holdings II Limited, Term Loan, 5.948%, (3 mo. EURIBOR + 3.25%), 8/31/26 | EUR | 2,325 | 2,552,311 |
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 8.491%, (SOFR + 3.50%), 8/28/26 | 2,459 | 2,449,332 | |
INEOS Finance PLC, Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 11/8/28 | EUR | 9,675 | 10,255,549 |
INEOS Quattro Holdings UK, Ltd.: | |||
Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 1/29/26 | EUR | 26,250 | 28,071,603 |
Term Loan, 7.015%, (1 mo. EURIBOR + 4.00%), 3/14/30 | EUR | 4,075 | 4,445,342 |
Term Loan, 8.832%, (SOFR + 3.75%), 3/14/30 | 6,125 | 6,117,344 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
INEOS Styrolution US Holding, LLC, Term Loan, 7.847%, (1 mo. USD LIBOR + 2.75%), 1/29/26 | 12,643 | $ 12,616,427 | |
INEOS US Finance, LLC: | |||
Term Loan, 7.015%, (1 mo. EURIBOR + 4.00%), 11/8/27 | EUR | 7,846 | 8,640,014 |
Term Loan, 7.582%, (SOFR + 2.50%), 11/8/28 | 6,802 | 6,676,800 | |
Term Loan, 8.568%, (SOFR + 3.50%), 2/18/30 | 11,150 | 11,147,681 | |
Term Loan, 8.832%, (SOFR + 3.75%), 11/8/27 | 3,440 | 3,439,637 | |
Kraton Corporation, Term Loan, 8.544%, (SOFR + 3.25%), 3/15/29 | 6,163 | 6,160,439 | |
Kraton Polymers Holdings B.V., Term Loan, 6.25%, (3 mo. EURIBOR + 3.25%), 3/15/29 | EUR | 4,650 | 5,006,414 |
Lonza Group AG: | |||
Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 7/3/28 | EUR | 16,900 | 16,701,712 |
Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 7/3/28 | 23,044 | 21,333,900 | |
LSF11 Skyscraper Holdco S.a.r.l.: | |||
Term Loan, 6.38%, (1 mo. EURIBOR + 3.50%), 9/29/27 | EUR | 13,775 | 15,152,587 |
Term Loan, 8.525%, (1 week USD LIBOR + 3.50%), 9/29/27 | 5,562 | 5,557,855 | |
Messer Industries GmbH: | |||
Term Loan, 5.515%, (3 mo. EURIBOR + 2.50%), 3/2/26 | EUR | 1,821 | 2,003,614 |
Term Loan, 7.66%, (SOFR + 2.50%), 3/2/26 | 4,549 | 4,548,096 | |
Momentive Performance Materials, Inc., Term Loan, 9.482%, (SOFR + 4.50%), 3/29/28 | 11,950 | 11,927,594 | |
Olympus Water US Holding Corporation: | |||
Term Loan, 8.938%, (3 mo. USD LIBOR + 3.75%), 11/9/28 | 4,461 | 4,244,618 | |
Term Loan, 9.498%, (SOFR + 4.50%), 11/9/28 | 5,891 | 5,662,243 | |
Orion Engineered Carbons GmbH: | |||
Term Loan, 5.515%, (3 mo. EURIBOR + 2.50%), 9/24/28 | EUR | 1,250 | 1,365,324 |
Term Loan, 7.309%, (3 mo. USD LIBOR + 2.15%), 9/24/28 | 4,876 | 4,781,282 | |
PQ Corporation, Term Loan, 7.645%, (3 mo. USD LIBOR + 2.50%), 6/9/28 | 25,333 | 25,293,430 | |
Rohm Holding GmbH, Term Loan, 10.102%, (3 mo. USD LIBOR + 5.00%), 7/31/26 | 11,933 | 10,163,279 | |
SCUR-Alpha 1503 GmbH, Term Loan, 3/30/30(10) | 6,900 | 6,279,000 | |
Spectrum Holdings III Corp., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 1/31/25 | 5,501 | 5,274,558 | |
Tronox Finance, LLC: | |||
Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 3/10/28 | 12,836 | 12,666,344 | |
Term Loan, 8.148%, (SOFR + 3.25%), 4/4/29 | 3,935 | 3,917,215 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
W.R. Grace & Co.-Conn., Term Loan, 8.938%, (3 mo. USD LIBOR + 3.75%), 9/22/28 | 13,035 | $ 13,067,088 | |
$ 360,161,341 | |||
Commercial Services & Supplies — 2.0% | |||
Allied Universal Holdco, LLC, Term Loan, 6.765%, (1 mo. EURIBOR + 3.75%), 5/12/28 | EUR | 9,455 | $ 9,878,362 |
Asplundh Tree Expert, LLC, Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 9/7/27 | 10,189 | 10,163,278 | |
Belfor Holdings, Inc.: | |||
Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 4/6/26 | 2,273 | 2,276,130 | |
Term Loan, 9.232%, (SOFR + 4.25%), 4/6/26 | 4,573 | 4,573,180 | |
EnergySolutions, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 5/9/25 | 18,077 | 17,529,490 | |
GFL Environmental, Inc., Term Loan, 8.145%, (SOFR + 3.00%), 5/28/27 | 7,609 | 7,624,993 | |
Harsco Corporation, Term Loan, 7.347%, (SOFR + 2.25%), 3/10/28 | 3,807 | 3,706,061 | |
LABL, Inc., Term Loan, 10.082%, (1 mo. USD LIBOR + 5.00%), 10/29/28 | 9,406 | 9,289,436 | |
Monitronics International, Inc., Term Loan, 12.773%, (3 mo. USD LIBOR + 7.50%), 3/29/24 | 14,934 | 8,064,256 | |
Phoenix Services International, LLC: | |||
DIP Loan, 14.97%, (SOFR + 12.00%), 5/29/23 | 1,751 | 1,681,385 | |
DIP Loan, 16.982%, (SOFR + 12.00%), 5/29/23 | 3,639 | 3,493,740 | |
Term Loan, 0.00%, 3/1/25(8) | 11,350 | 1,299,145 | |
Prime Security Services Borrower, LLC, Term Loan, 7.608%, (1 mo. USD LIBOR + 2.75%), 9/23/26 | 17,804 | 17,799,195 | |
SITEL Group, Term Loan, 6.765%, (1 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 7,075 | 7,719,039 |
SITEL Worldwide Corporation, Term Loan, 8.76%, (1 mo. USD LIBOR + 3.75%), 8/28/28 | 13,477 | 13,448,798 | |
Tempo Acquisition, LLC, Term Loan, 7.982%, (SOFR + 3.00%), 8/31/28 | 4,220 | 4,223,231 | |
TruGreen Limited Partnership, Term Loan, 9.082%, (1 mo. USD LIBOR + 4.00%), 11/2/27 | 2,363 | 2,184,977 | |
$ 124,954,696 | |||
Communications Equipment — 0.2% | |||
CommScope, Inc., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 4/6/26 | 4,508 | $ 4,187,793 | |
Digi International, Inc., Term Loan, 10.025%, (1 mo. USD LIBOR + 5.00%), 11/1/28 | 5,122 | 5,109,070 | |
$ 9,296,863 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Construction Materials — 0.3% | |||
Quikrete Holdings, Inc.: | |||
Term Loan, 7.65%, (1 mo. USD LIBOR + 2.63%), 2/1/27 | 4,767 | $ 4,745,380 | |
Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 3/18/29 | 11,360 | 11,329,084 | |
$ 16,074,464 | |||
Consumer Staples Distribution & Retail — 0.1% | |||
Peer Holding III B.V., Term Loan, 9/29/28(10) | EUR | 7,550 | $ 8,220,556 |
$ 8,220,556 | |||
Containers & Packaging — 2.0% | |||
Berlin Packaging, LLC, Term Loan, 8.616%, (USD LIBOR + 3.75%), 3/11/28(11) | 9,730 | $ 9,555,373 | |
Clydesdale Acquisition Holdings, Inc., Term Loan, 9.257%, (SOFR + 4.18%), 4/13/29 | 11,761 | 11,515,612 | |
Kouti B.V.: | |||
Term Loan, 5.873%, (3 mo. EURIBOR + 3.18%), 8/31/28 | EUR | 32,750 | 34,210,703 |
Term Loan, 7.562%, (1 week EURIBOR + 4.75%), 8/31/28 | EUR | 5,525 | 6,080,390 |
Pregis TopCo Corporation: | |||
Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 7/31/26 | 1,625 | 1,602,903 | |
Term Loan, 8.847%, (SOFR + 3.75%), 7/31/26 | 2,346 | 2,315,154 | |
Pretium PKG Holdings, Inc.: | |||
Term Loan, 9.167%, (3 mo. USD LIBOR + 4.00%), 10/2/28 | 7,777 | 6,237,915 | |
Term Loan - Second Lien, 11.864%, (3 mo. USD LIBOR + 6.75%), 10/1/29 | 7,100 | 4,402,000 | |
Proampac PG Borrower, LLC, Term Loan, 8.976%, (SOFR + 3.75%), 11/3/25 | 20,914 | 20,639,554 | |
Trident TPI Holdings, Inc.: | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 10/17/24 | 10,334 | 10,332,635 | |
Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 9/15/28 | 6,528 | 6,352,869 | |
Term Loan, 9/15/28(10) | 7,454 | 7,279,498 | |
$ 120,524,606 | |||
Distributors — 0.4% | |||
Autokiniton US Holdings, Inc., Term Loan, 9.597%, (SOFR + 4.50%), 4/6/28 | 22,403 | $ 22,040,310 | |
Phillips Feed Service, Inc., Term Loan, 12.01%, (1 mo. USD LIBOR + 7.00%), 11/13/24(5) | 541 | 432,581 | |
Winterfell Financing S.a.r.l., Term Loan, 7.926%, (3 mo. EURIBOR + 5.00%), 5/4/28 | EUR | 2,500 | 2,678,995 |
$ 25,151,886 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Consumer Services — 1.0% | |||
Ascend Learning, LLC: | |||
Term Loan, 8.582%, (SOFR + 3.50%), 12/11/28 | 12,535 | $ 11,464,142 | |
Term Loan - Second Lien, 10.832%, (SOFR + 5.75%), 12/10/29 | 5,243 | 4,614,122 | |
FrontDoor, Inc., Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 6/17/28 | 958 | 941,972 | |
KUEHG Corp.: | |||
Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 2/21/25 | 34,949 | 34,774,432 | |
Term Loan - Second Lien, 13.409%, (3 mo. USD LIBOR + 8.25%), 8/22/25 | 4,075 | 3,988,406 | |
Sotheby's, Term Loan, 9.76%, (3 mo. USD LIBOR + 4.50%), 1/15/27 | 5,413 | 5,412,632 | |
$ 61,195,706 | |||
Diversified Financial Services — 0.3% | |||
Concorde Midco, Ltd., Term Loan, 7.052%, (3 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 7,480 | $ 8,051,614 |
Zephyr Bidco Limited, Term Loan, 8.96%, (SONIA + 4.75%), 7/23/25 | GBP | 8,400 | 9,960,249 |
$ 18,011,863 | |||
Diversified Telecommunication Services — 3.3% | |||
CenturyLink, Inc., Term Loan, 7.347%, (SOFR + 2.25%), 3/15/27 | 28,839 | $ 19,677,796 | |
GEE Holdings 2, LLC: | |||
Term Loan, 13.018%, (3 mo. USD LIBOR + 8.00%), 3/24/25 | 9,869 | 9,671,465 | |
Term Loan - Second Lien, 13.268%, (3 mo. USD LIBOR + 8.25%), 3/23/26 | 7,607 | 4,697,305 | |
Telenet Financing USD, LLC, Term Loan, 6.948%, (1 mo. USD LIBOR + 2.00%), 4/30/28 | 28,225 | 27,663,012 | |
Telenet International Finance S.a.r.l., Term Loan, 5.184%, (1 mo. EURIBOR + 2.25%), 4/30/29 | EUR | 3,065 | 3,268,997 |
UPC Broadband Holding B.V.: | |||
Term Loan, 5.434%, (1 mo. EURIBOR + 2.50%), 4/30/29 | EUR | 5,650 | 6,093,441 |
Term Loan, 5.859%, (1 mo. EURIBOR + 2.93%), 1/31/29 | EUR | 13,150 | 14,250,008 |
UPC Financing Partnership, Term Loan, 7.873%, (1 mo. USD LIBOR + 2.93%), 1/31/29 | 22,025 | 21,756,559 | |
Virgin Media Bristol, LLC: | |||
Term Loan, 7.448%, (1 mo. USD LIBOR + 2.50%), 1/31/28 | 22,643 | 22,324,503 | |
Term Loan, 8.198%, (1 mo. USD LIBOR + 3.25%), 1/31/29 | 500 | 496,063 | |
Virgin Media Ireland Limited, Term Loan, 6.397%, (1 mo. EURIBOR + 3.46%), 7/15/29 | EUR | 12,500 | 13,368,022 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Telecommunication Services (continued) | |||
Virgin Media SFA Finance Limited: | |||
Term Loan, 5.434%, (1 mo. EURIBOR + 2.50%), 1/31/29 | EUR | 10,800 | $ 11,575,117 |
Term Loan, 7.46%, (SONIA + 3.25%), 1/15/27 | GBP | 11,825 | 14,099,443 |
Zayo Group Holdings, Inc., Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 3/9/27 | EUR | 4,438 | 4,100,230 |
Ziggo B.V., Term Loan, 6.102%, (6 mo. EURIBOR + 3.00%), 1/31/29 | EUR | 26,500 | 27,846,341 |
$ 200,888,302 | |||
Electrical Equipment — 0.0%(4) | |||
AZZ, Inc., Term Loan, 9.247%, (SOFR + 4.25%), 5/13/29 | 2,174 | $ 2,177,106 | |
$ 2,177,106 | |||
Electronic Equipment, Instruments & Components — 1.0% | |||
Creation Technologies, Inc., Term Loan, 10.723%, (3 mo. USD LIBOR + 5.50%), 10/5/28 | 14,494 | $ 12,826,935 | |
II-VI Incorporated, Term Loan, 7.847%, (SOFR + 2.75%), 7/2/29 | 1,541 | 1,537,717 | |
Ingram Micro, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 6/30/28 | 6,031 | 5,939,839 | |
Minimax Viking GmbH, Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 7/31/25 | EUR | 1,894 | 2,085,583 |
Mirion Technologies, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 10/20/28 | 2,357 | 2,355,896 | |
Robertshaw US Holding Corp., Term Loan, 8.688%, (3 mo. USD LIBOR + 3.50%), 2/28/25 | 20,598 | 11,122,653 | |
Verifone Systems, Inc., Term Loan, 8.958%, (3 mo. USD LIBOR + 4.00%), 8/20/25 | 19,515 | 16,896,928 | |
Verisure Holding AB, Term Loan, 6.262%, (3 mo. EURIBOR + 3.25%), 3/27/28 | EUR | 10,550 | 11,192,795 |
$ 63,958,346 | |||
Energy Equipment & Services — 0.5% | |||
Ameriforge Group, Inc.: | |||
Term Loan, 12.614%, (1 mo. USD LIBOR + 13.00%), 2/1/26(5)(12) | 2,198 | $ 1,978,474 | |
Term Loan, 18.16%, (3 mo. USD LIBOR + 13.00%), 13.16% cash, 5.00% PIK, 2/1/26(5) | 17,235 | 15,511,744 | |
Lealand Finance Company B.V.: | |||
Letter of Credit, 4.29%, 6/28/24(12) | 10,000 | 8,550,000 | |
Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 6.025% cash, 3.00% PIK, 6/30/25 | 3,382 | 2,260,278 | |
$ 28,300,496 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Engineering & Construction — 1.2% | |||
Aegion Corporation, Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 5/17/28 | 17,765 | $ 17,482,239 | |
American Residential Services, LLC, Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 10/15/27 | 8,489 | 8,425,157 | |
APi Group DE, Inc.: | |||
Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 10/1/26 | 11,043 | 11,045,018 | |
Term Loan, 7.768%, (1 mo. USD LIBOR + 2.75%), 1/3/29 | 5,176 | 5,182,610 | |
Centuri Group, Inc., Term Loan, 7.459%, (USD LIBOR + 2.50%), 8/27/28(11) | 9,196 | 9,138,735 | |
Northstar Group Services, Inc.: | |||
Term Loan, 10.491%, (SOFR + 5.50%), 11/12/26 | 1,988 | 1,987,500 | |
Term Loan, 10.597%, (SOFR + 5.50%), 11/12/26 | 13,139 | 13,105,883 | |
USIC Holdings, Inc., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 5/12/28 | 6,711 | 6,591,520 | |
$ 72,958,662 | |||
Entertainment — 1.7% | |||
AMC Entertainment Holdings, Inc., Term Loan, 7.946%, (1 mo. USD LIBOR + 3.00%), 4/22/26 | 21,252 | $ 16,360,461 | |
City Football Group Limited, Term Loan, 8.273%, (3 mo. USD LIBOR + 3.00%), 7/21/28 | 12,062 | 11,820,724 | |
Crown Finance US, Inc., DIP Loan, 15.049%, (SOFR + 10.00%), 9/7/23(11) | 11,341 | 11,571,706 | |
Formula One Holdings Limited., Term Loan, 8.482%, (SOFR + 3.25%), 1/15/30 | 2,500 | 2,507,552 | |
Playtika Holding Corp., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 3/13/28 | 29,913 | 29,815,171 | |
Renaissance Holding Corp.: | |||
Term Loan, 9.732%, (1 mo. USD LIBOR + 4.75%), 4/5/30 | 14,357 | 14,119,237 | |
Term Loan - Second Lien, 12.025%, (1 mo. USD LIBOR + 7.00%), 5/29/26 | 3,175 | 3,125,060 | |
UFC Holdings, LLC, Term Loan, 8.05%, (3 mo. USD LIBOR + 2.75%), 4/29/26 | 14,783 | 14,765,959 | |
Vue International Bidco PLC: | |||
Term Loan, 11.086%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 384 | 388,022 |
Term Loan, 11.359%, (EURIBOR + 8.00%), 4.859% cash, 6.50% PIK, 12/31/27(11) | EUR | 2,596 | 1,573,420 |
$ 106,047,312 | |||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||
Iron Mountain, Inc., Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 9,001 | $ 8,981,555 | |
$ 8,981,555 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Financial Services — 0.3% | |||
Ditech Holding Corporation, Term Loan, 0.00%, 6/30/23(8) | 16,160 | $ 1,777,645 | |
Walker & Dunlop, Inc., Term Loan, 7.332%, (SOFR + 2.25%), 12/16/28 | 14,047 | 13,930,132 | |
$ 15,707,777 | |||
Food Products — 1.5% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 9.768%, (1 mo. USD LIBOR + 4.75%), 10/1/25 | 7,289 | $ 6,532,766 | |
Badger Buyer Corp., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 9/30/24 | 9,543 | 7,666,328 | |
CHG PPC Parent, LLC: | |||
Term Loan, 6.515%, (1 mo. EURIBOR + 3.50%), 3/31/25 | EUR | 2,000 | 2,159,725 |
Term Loan, 8.063%, (1 mo. USD LIBOR + 3.00%), 12/8/28 | 6,262 | 6,206,960 | |
Del Monte Foods, Inc., Term Loan, 9.314%, (SOFR + 4.25%), 5/16/29 | 6,608 | 6,502,703 | |
Froneri International, Ltd.: | |||
Term Loan, 5.067%, (6 mo. EURIBOR + 2.13%), 1/29/27 | EUR | 1,500 | 1,574,044 |
Term Loan, 7.409%, (3 mo. USD LIBOR + 2.25%), 1/29/27 | 8,751 | 8,648,785 | |
Monogram Food Solutions, LLC, Term Loan, 9.063%, (1 mo. USD LIBOR + 4.00%), 8/28/28 | 6,532 | 6,368,421 | |
Nomad Foods Europe Midco Limited, Term Loan, 8.561%, (SOFR + 3.75%), 11/12/29 | 14,317 | 14,340,005 | |
Sovos Brands Intermediate, Inc., Term Loan, 8.773%, (3 mo. USD LIBOR + 3.50%), 6/8/28 | 9,191 | 9,113,671 | |
United Petfood Group B.V., Term Loan, 6.038%, (3 mo. EURIBOR + 2.75%), 4/23/28 | EUR | 9,025 | 9,571,727 |
Valeo F1 Company Limited (Ireland): | |||
Term Loan, 7.239%, (6 mo. EURIBOR + 4.00%), 9/29/28 | EUR | 9,450 | 8,934,319 |
Term Loan, 8.927%, (SONIA + 5.00%), 6/28/28 | GBP | 5,500 | 5,616,103 |
$ 93,235,557 | |||
Gas Utilities — 0.4% | |||
CQP Holdco, L.P., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 6/5/28 | 24,957 | $ 24,937,909 | |
$ 24,937,909 | |||
Health Care Equipment & Supplies — 1.4% | |||
Artivion, Inc., Term Loan, 8.66%, (SOFR + 3.50%), 6/1/27 | 6,541 | $ 6,090,845 | |
Bayou Intermediate II, LLC, Term Loan, 9.296%, (3 mo. USD LIBOR + 4.50%), 8/2/28 | 9,135 | 8,587,311 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Equipment & Supplies (continued) | |||
Gloves Buyer, Inc., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 12/29/27 | 18,354 | $ 17,620,071 | |
ICU Medical, Inc., Term Loan, 7.548%, (SOFR + 2.50%), 1/8/29 | 8,019 | 7,959,691 | |
Journey Personal Care Corp., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 3/1/28 | 30,804 | 24,026,978 | |
Medline Borrower, L.P.: | |||
Term Loan, 6.515%, (1 mo. EURIBOR + 3.50%), 10/23/28 | EUR | 1,000 | 1,081,584 |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 10/23/28 | 21,824 | 21,222,719 | |
$ 86,589,199 | |||
Health Care Providers & Services — 5.8% | |||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 8.938%, (3 mo. USD LIBOR + 3.75%), 9/7/28 | 14,936 | $ 14,898,288 | |
Biogroup-LCD, Term Loan, 5.602%, (3 mo. EURIBOR + 3.00%), 2/9/28 | EUR | 11,000 | 11,083,053 |
BW NHHC Holdco, Inc., Term Loan - Second Lien, 12.898%, (SOFR + 8.00%), 1/15/26 | 14,748 | 10,618,501 | |
CAB, Term Loan, 5.852%, (3 mo. EURIBOR + 3.25%), 2/9/28 | EUR | 7,850 | 8,027,124 |
Cano Health, LLC, Term Loan, 9.082%, (SOFR + 4.00%), 11/23/27 | 7,648 | 6,098,922 | |
CCRR Parent, Inc., Term Loan, 8.78%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 5,262 | 5,156,755 | |
Cerba Healthcare S.A.S.: | |||
Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 6/30/28 | EUR | 20,800 | 21,045,858 |
Term Loan, 6.515%, (1 mo. EURIBOR + 3.50%), 2/15/29 | EUR | 8,600 | 8,911,146 |
CHG Healthcare Services, Inc., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 9/29/28 | 7,903 | 7,867,334 | |
Covis Finco S.a.r.l., Term Loan, 11.548%, (SOFR + 6.50%), 2/18/27 | 13,443 | 7,695,831 | |
Dedalus Finance GmbH, Term Loan, 6.969%, (3 mo. EURIBOR + 3.75%), 7/17/27 | EUR | 14,150 | 14,071,682 |
Elsan S.A.S., Term Loan, 6.103%, (3 mo. EURIBOR + 3.35%), 6/16/28 | EUR | 4,150 | 4,441,929 |
Ensemble RCM, LLC, Term Loan, 8.895%, (SOFR + 3.75%), 8/3/26 | 3,645 | 3,646,109 | |
Envision Healthcare Corporation: | |||
Term Loan, 12.923%, (SOFR + 7.88%), 3/31/27 | 6,718 | 5,408,111 | |
Term Loan - Second Lien, 9.148%, (SOFR + 4.25%), 3/31/27 | 47,025 | 6,936,238 | |
IVC Acquisition, Ltd.: | |||
Term Loan, 6.294%, (6 mo. EURIBOR + 4.00%), 2/13/26 | EUR | 20,825 | 22,037,156 |
Term Loan, 7.703%, (SONIA + 4.50%), 2/13/26 | GBP | 1,050 | 1,250,310 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Medical Solutions Holdings, Inc.: | |||
Term Loan, 8.241%, (SOFR + 3.25%), 11/1/28 | 15,251 | $ 14,814,859 | |
Term Loan - Second Lien, 11.991%, (SOFR + 7.00%), 11/1/29 | 9,500 | 8,597,500 | |
Mehilainen Yhtiot Oy, Term Loan, 6.54%, (3 mo. EURIBOR + 3.53%), 8/8/25 | EUR | 6,475 | 6,954,652 |
Midwest Physician Administrative Services, LLC, Term Loan, 8.409%, (3 mo. USD LIBOR + 3.25%), 3/12/28 | 10,081 | 9,555,301 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 8.748%, (SOFR + 3.75%), 3/2/28 | 576 | 445,697 | |
Term Loan, 8.815%, (SOFR + 3.75%), 3/2/28(11) | 20,677 | 15,998,948 | |
Term Loan - Second Lien, 12.248%, (SOFR + 7.25%), 3/2/29 | 6,475 | 3,885,000 | |
Option Care Health, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 2,055 | 2,055,102 | |
Pediatric Associates Holding Company, LLC: | |||
Term Loan, 7.517%, (3 mo. USD LIBOR + 3.25%), 12/29/28(12) | 387 | 383,072 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 12/29/28 | 2,545 | 2,517,749 | |
Phoenix Guarantor, Inc.: | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 3/5/26 | 24,179 | 23,810,808 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 3/5/26 | 4,457 | 4,388,861 | |
Radiology Partners, Inc., Term Loan, 9.347%, (SOFR + 4.25%), 7/9/25 | 21,715 | 16,087,472 | |
Ramsay Generale de Sante S.A., Term Loan, 6.261%, (3 mo. EURIBOR + 3.05%), 4/22/27 | EUR | 7,400 | 8,130,278 |
Select Medical Corporation, Term Loan, 7.53%, (1 mo. USD LIBOR + 2.50%), 3/6/25 | 56,458 | 56,380,273 | |
Sound Inpatient Physicians, Term Loan, 8.273%, (3 mo. USD LIBOR + 3.00%), 6/27/25 | 2,579 | 1,971,371 | |
Synlab Bondco PLC, Term Loan, 5.193%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 2,600 | 2,834,501 |
TTF Holdings, LLC, Term Loan, 9.063%, (1 mo. USD LIBOR + 4.00%), 3/31/28 | 5,644 | 5,644,322 | |
U.S. Anesthesia Partners, Inc., Term Loan, 9.098%, (1 mo. USD LIBOR + 4.25%), 10/1/28 | 16,384 | 15,723,700 | |
$ 359,373,813 | |||
Health Care Technology — 1.7% | |||
Bracket Intermediate Holding Corp., Term Loan, 9.287%, (3 mo. USD LIBOR + 4.25%), 9/5/25 | 3,426 | $ 3,401,595 | |
Certara, L.P., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 8/15/26 | 9,330 | 9,272,063 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Technology (continued) | |||
eResearchTechnology, Inc., Term Loan, 9.597%, (SOFR + 4.50%), 2/4/27 | 9,612 | $ 9,138,264 | |
GHX Ultimate Parent Corporation, Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 6/28/24 | 845 | 842,122 | |
Imprivata, Inc.: | |||
Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 12/1/27 | 15,274 | 14,828,925 | |
Term Loan, 9.232%, (SOFR + 4.25%), 12/1/27 | 3,598 | 3,539,909 | |
MedAssets Software Intermediate Holdings, Inc.: | |||
Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 12/18/28 | 17,622 | 15,213,654 | |
Term Loan - Second Lien, 11.775%, (1 mo. USD LIBOR + 6.75%), 12/17/29 | 9,625 | 5,790,034 | |
Navicure, Inc., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 10/22/26 | 10,080 | 10,071,651 | |
PointClickCare Technologies, Inc., Term Loan, 8.063%, (1 mo. USD LIBOR + 3.00%), 12/29/27 | 4,310 | 4,293,838 | |
Symplr Software, Inc., Term Loan, 9.645%, (SOFR + 4.50%), 12/22/27 | 9,393 | 8,524,086 | |
Verscend Holding Corp., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 8/27/25 | 21,471 | 21,473,293 | |
$ 106,389,434 | |||
Hotels, Restaurants & Leisure — 4.3% | |||
1011778 B.C. Unlimited Liability Company, Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 11/19/26 | 24,077 | $ 23,894,481 | |
Bally's Corporation, Term Loan, 8.198%, (1 mo. USD LIBOR + 3.25%), 10/2/28 | 9,347 | 9,021,129 | |
Carnival Corporation: | |||
Term Loan, 6.765%, (1 mo. EURIBOR + 3.75%), 6/30/25 | EUR | 9,596 | 10,540,377 |
Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 6/30/25 | 4,091 | 4,075,528 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 10/18/28 | 40,191 | 39,605,141 | |
ClubCorp Holdings, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 9/18/24 | 23,511 | 22,273,881 | |
Fertitta Entertainment, LLC, Term Loan, 8.982%, (SOFR + 4.00%), 1/27/29 | 29,778 | 29,097,237 | |
GVC Holdings (Gibraltar) Limited, Term Loan, 6.74%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 20,792 | 22,927,759 |
Hilton Grand Vacations Borrower, LLC, Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 8/2/28 | 9,949 | 9,919,480 | |
Oravel Stays Singapore Pte., Ltd., Term Loan, 13.27%, (3 mo. USD LIBOR + 8.25%), 6/23/26 | 5,944 | 5,156,528 | |
Playa Resorts Holding B.V., Term Loan, 9.14%, (SOFR + 4.25%), 1/5/29 | 20,972 | 20,965,767 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Scientific Games Holdings, L.P., Term Loan, 7.053%, (3 mo. EURIBOR + 4.00%), 4/4/29 | EUR | 1,000 | $ 1,080,551 |
Scientific Games International, Inc., Term Loan, 7.981%, (SOFR + 3.00%), 4/14/29 | 7,925 | 7,925,038 | |
SeaWorld Parks & Entertainment, Inc., Term Loan, 8.063%, (1 mo. USD LIBOR + 3.00%), 8/25/28 | 13,363 | 13,329,665 | |
Stars Group Holdings B.V. (The): | |||
Term Loan, 5.515%, (3 mo. EURIBOR + 2.50%), 7/21/26 | EUR | 12,305 | 13,491,602 |
Term Loan, 7.409%, (3 mo. USD LIBOR + 2.25%), 7/21/26 | 33,996 | 33,977,187 | |
$ 267,281,351 | |||
Household Durables — 1.7% | |||
ACProducts, Inc., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 5/17/28 | 20,481 | $ 16,246,278 | |
Libbey Glass, Inc., Term Loan, 13.46%, (SOFR + 8.50%), 8.71% cash, 4.75% PIK, 11/22/27(11) | 19,532 | 19,630,094 | |
Serta Simmons Bedding, LLC: | |||
Term Loan, 0.00%, 8/10/23(8) | 13,843 | 13,721,923 | |
Term Loan - Second Lien, 0.00%, 8/10/23(8) | 45,758 | 27,225,911 | |
Solis IV B.V.: | |||
Term Loan, 6.67%, (3 mo. EURIBOR + 4.00%), 2/26/29 | EUR | 4,700 | 4,824,496 |
Term Loan, 8.373%, (SOFR + 3.50%), 2/26/29 | 18,058 | 16,391,118 | |
Spectrum Brands, Inc., Term Loan, 6.96%, (3 mo. USD LIBOR + 2.00%), 3/3/28 | 4,900 | 4,860,187 | |
$ 102,900,007 | |||
Household Products — 0.6% | |||
Energizer Holdings, Inc., Term Loan, 7.329%, (SOFR + 2.25%), 12/22/27 | 7,789 | $ 7,760,237 | |
Kronos Acquisition Holdings, Inc.: | |||
Term Loan, 8.703%, (3 mo. USD LIBOR + 3.75%), 12/22/26 | 9,857 | 9,630,418 | |
Term Loan, 11.023%, (SOFR + 6.00%), 12/22/26 | 5,678 | 5,607,149 | |
Nobel Bidco B.V., Term Loan, 5.942%, (6 mo. EURIBOR + 3.50%), 9/1/28 | EUR | 12,550 | 12,088,725 |
$ 35,086,529 | |||
Independent Power and Renewable Electricity Producers — 0.3% | |||
Calpine Construction Finance Company, L.P., Term Loan, 7.025%, (1 mo. USD LIBOR + 2.00%), 1/15/25 | 10,547 | $ 10,549,619 | |
Calpine Corporation: | |||
Term Loan, 7.03%, (1 mo. USD LIBOR + 2.00%), 4/5/26 | 3,190 | 3,182,831 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Independent Power and Renewable Electricity Producers (continued) | |||
Calpine Corporation: (continued) | |||
Term Loan, 7.53%, (1 mo. USD LIBOR + 2.50%), 12/16/27 | 5,157 | $ 5,144,889 | |
$ 18,877,339 | |||
Industrial Conglomerates — 0.3% | |||
Rain Carbon GmbH, Term Loan, 5.969%, (3 mo. EURIBOR + 2.75%), 1/16/25 | EUR | 15,875 | $ 16,967,661 |
$ 16,967,661 | |||
Insurance — 1.9% | |||
Alliant Holdings Intermediate, LLC: | |||
Term Loan, 8.376%, (SOFR + 3.50%), 11/5/27 | 2,887 | $ 2,869,914 | |
Term Loan, 8.51%, (1 mo. USD LIBOR + 3.50%), 11/6/27 | 14,039 | 13,949,694 | |
AmWINS Group, Inc.: | |||
Term Loan, 7.268%, (1 mo. USD LIBOR + 2.25%), 2/19/28 | 22,261 | 22,092,472 | |
Term Loan, 7.832%, (SOFR + 2.75%), 2/19/28 | 8,479 | 8,450,490 | |
AssuredPartners, Inc., Term Loan, 8.482%, (SOFR + 3.50%), 2/12/27 | 5,321 | 5,250,302 | |
Financiere CEP S.A.S., Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 6/18/27 | EUR | 5,242 | 5,648,025 |
Hub International Limited: | |||
Term Loan, 8.021%, (USD LIBOR + 3.00%), 4/25/25(11) | 15,478 | 15,470,936 | |
Term Loan, 8.511%, (3 mo. USD LIBOR + 3.25%), 4/25/25 | 6,973 | 6,970,953 | |
NFP Corp., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 2/15/27 | 27,773 | 27,248,770 | |
Ryan Specialty Group, LLC, Term Loan, 8.082%, (SOFR + 3.00%), 9/1/27 | 9,865 | 9,864,918 | |
$ 117,816,474 | |||
Interactive Media & Services — 0.8% | |||
Adevinta ASA: | |||
Term Loan, 6.015%, (3 mo. EURIBOR + 3.00%), 6/26/28 | EUR | 7,241 | $ 7,972,643 |
Term Loan, 7.909%, (3 mo. USD LIBOR + 2.75%), 6/26/28 | 6,362 | 6,375,607 | |
Buzz Finco, LLC: | |||
Term Loan, 7.832%, (1 mo. USD LIBOR + 2.75%), 1/29/27 | 2,748 | 2,748,885 | |
Term Loan, 8.332%, (SOFR + 2.25%), 1/29/27 | 549 | 548,841 | |
Foundational Education Group, Inc., Term Loan, 8.91%, (SOFR + 3.75%), 8/31/28 | 3,576 | 3,147,027 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Interactive Media & Services (continued) | |||
Getty Images, Inc.: | |||
Term Loan, 8.063%, (3 mo. EURIBOR + 5.00%), 2/19/26 | EUR | 2,224 | $ 2,442,947 |
Term Loan, 9.503%, (SOFR + 4.50%), 2/19/26(11) | 16,141 | 16,170,851 | |
Match Group, Inc., Term Loan, 6.713%, (3 mo. USD LIBOR + 1.75%), 2/13/27 | 7,625 | 7,591,640 | |
$ 46,998,441 | |||
IT Services — 5.6% | |||
Asurion, LLC: | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 5,435 | $ 5,107,349 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 7/31/27 | 11,515 | 10,668,648 | |
Term Loan, 9.082%, (SOFR + 4.00%), 8/19/28 | 21,653 | 20,158,680 | |
Term Loan, 9.332%, (SOFR + 4.25%), 8/19/28 | 7,374 | 6,898,181 | |
Term Loan - Second Lien, 10.275%, (1 mo. USD LIBOR + 5.25%), 1/31/28 | 18,610 | 15,681,828 | |
Term Loan - Second Lien, 10.275%, (1 mo. USD LIBOR + 5.25%), 1/20/29 | 4,375 | 3,667,405 | |
Cyxtera DC Holdings, Inc.: | |||
Term Loan, 8.068%, (3 mo. USD LIBOR + 3.00%), 5/1/24 | 45,767 | 34,344,197 | |
Term Loan, 9.068%, (3 mo. USD LIBOR + 4.00%), 5/1/24 | 13,280 | 9,871,240 | |
Endure Digital, Inc., Term Loan, 8.792%, (3 mo. USD LIBOR + 3.50%), 2/10/28 | 31,415 | 29,505,976 | |
Gainwell Acquisition Corp., Term Loan, 8.998%, (SOFR + 4.00%), 10/1/27 | 69,587 | 67,195,229 | |
Go Daddy Operating Company, LLC: | |||
Term Loan, 7.025%, (1 mo. USD LIBOR + 2.00%), 8/10/27 | 9,847 | 9,846,563 | |
Term Loan, 8.232%, (SOFR + 3.25%), 11/9/29 | 52,734 | 52,859,856 | |
Informatica, LLC, Term Loan, 7.813%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 34,502 | 34,451,197 | |
NAB Holdings, LLC, Term Loan, 8.048%, (SOFR + 3.00%), 11/23/28 | 18,368 | 18,153,206 | |
Rackspace Technology Global, Inc., Term Loan, 7.595%, (3 mo. USD LIBOR + 2.75%), 2/15/28 | 13,554 | 5,698,453 | |
team.blue Finco S.a.r.l., Term Loan, 6.715%, (3 mo. EURIBOR + 3.70%), 3/30/28 | EUR | 12,375 | 13,198,534 |
WEX, Inc., Term Loan, 7.347%, (SOFR + 2.25%), 3/31/28 | 4,361 | 4,359,443 | |
$ 341,665,985 | |||
Leisure Products — 0.7% | |||
Accell Group N.V., Term Loan, 7.527%, (6 mo. EURIBOR + 4.50%), 6/14/29 | EUR | 3,500 | $ 3,689,531 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Leisure Products (continued) | |||
Amer Sports Oyj, Term Loan, 7.898%, (6 mo. EURIBOR + 4.25%), 3/30/26 | EUR | 20,475 | $ 22,138,385 |
Fender Musical Instruments Corporation, Term Loan, 8.99%, (SOFR + 4.00%), 12/1/28 | 4,289 | 3,993,971 | |
Hayward Industries, Inc., Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 5/30/28 | 12,343 | 12,022,440 | |
SRAM, LLC, Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 5/18/28 | 2,116 | 2,088,369 | |
$ 43,932,696 | |||
Life Sciences Tools & Services — 2.7% | |||
Avantor Funding, Inc.: | |||
Term Loan, 5.515%, (1 mo. EURIBOR + 2.50%), 6/12/28 | EUR | 21,419 | $ 23,565,889 |
Term Loan, 7.332%, (SOFR + 2.25%), 11/8/27 | 8,904 | 8,909,619 | |
Cambrex Corporation, Term Loan, 8.482%, (SOFR + 3.50%), 12/4/26 | 5,940 | 5,908,182 | |
Catalent Pharma Solutions, Inc., Term Loan, 7.063%, (1 mo. USD LIBOR + 2.00%), 2/22/28 | 786 | 781,835 | |
Curia Global, Inc., Term Loan, 8.895%, (SOFR + 3.75%), 8/30/26(11) | 19,518 | 17,072,841 | |
ICON Luxembourg S.a.r.l., Term Loan, 7.41%, (SOFR + 2.25%), 7/3/28 | 59,886 | 59,904,403 | |
IQVIA, Inc., Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 1/17/25 | 13,620 | 13,623,295 | |
LGC Group Holdings, Ltd., Term Loan, 5.765%, (1 mo. EURIBOR + 2.75%), 4/21/27 | EUR | 4,025 | 4,231,873 |
Loire Finco Luxembourg S.a.r.l., Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 4/21/27 | 3,502 | 3,370,895 | |
PRA Health Sciences, Inc., Term Loan, 7.126%, (SOFR + 2.25%), 7/3/28 | 14,921 | 14,925,458 | |
Sotera Health Holdings, LLC, Term Loan, 8.023%, (3 mo. USD LIBOR + 2.75%), 12/11/26 | 11,625 | 11,348,906 | |
$ 163,643,196 | |||
Machinery — 5.6% | |||
AI Alpine AT Bidco GmbH, Term Loan, 6.339%, (6 mo. EURIBOR + 3.00%), 10/31/25 | EUR | 6,125 | $ 6,614,157 |
AI Aqua Merger Sub, Inc., Term Loan, 8.584%, (SOFR + 3.75%), 7/31/28 | 14,697 | 14,348,078 | |
Albion Financing 3 S.a.r.l.: | |||
Term Loan, 10.347%, (SOFR + 5.50%), 8/17/26 | 4,275 | 4,210,875 | |
Term Loan, 10.523%, (3 mo. USD LIBOR + 5.25%), 8/17/26 | 20,096 | 19,709,407 | |
Ali Group North America Corporation, Term Loan, 7.097%, (SOFR + 2.00%), 7/30/29 | 17,411 | 17,351,481 | |
Alliance Laundry Systems, LLC, Term Loan, 8.559%, (3 mo. USD LIBOR + 3.50%), 10/8/27 | 546 | 544,279 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
American Trailer World Corp., Term Loan, 8.832%, (SOFR + 3.75%), 3/3/28 | 16,117 | $ 14,001,228 | |
Apex Tool Group, LLC, Term Loan, 10.24%, (SOFR + 5.25%), 2/8/29 | 23,636 | 20,852,506 | |
Clark Equipment Company, Term Loan, 7.498%, (SOFR + 2.50%), 4/20/29 | 14,157 | 14,157,000 | |
Conair Holdings, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 5/17/28 | 26,176 | 24,523,991 | |
Delachaux Group S.A., Term Loan, 9.773%, (3 mo. USD LIBOR + 4.50%), 4/16/26 | 4,868 | 4,745,812 | |
Engineered Machinery Holdings, Inc.: | |||
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 11,943 | 12,864,032 |
Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 5/19/28 | 22,698 | 22,451,986 | |
Term Loan - Second Lien, 11.159%, (3 mo. USD LIBOR + 6.00%), 5/21/29 | 2,000 | 1,842,500 | |
EWT Holdings III Corp., Term Loan, 7.347%, (SOFR + 2.25%), 4/1/28 | 7,378 | 7,341,571 | |
Filtration Group Corporation: | |||
Term Loan, 6.515%, (1 mo. EURIBOR + 3.50%), 3/29/25 | EUR | 3,542 | 3,883,944 |
Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 3/29/25 | 5,416 | 5,416,863 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 10/21/28 | 3,234 | 3,209,186 | |
Gates Global, LLC, Term Loan, 7.471%, (SOFR + 2.50%), 3/31/27 | 18,468 | 18,443,737 | |
Icebox Holdco III, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 12/22/28 | 15,185 | 14,634,434 | |
Illuminate Buyer, LLC, Term Loan, 8.597%, (1 mo. USD LIBOR + 3.50%), 6/30/27 | 881 | 872,802 | |
Madison IAQ, LLC, Term Loan, 8.302%, (6 mo. USD LIBOR + 3.25%), 6/21/28 | 27,844 | 26,854,281 | |
Pro Mach Group, Inc., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 8/31/28 | 4,798 | 4,792,631 | |
Roper Industrial Products Investment Company, LLC: | |||
Term Loan, 8.015%, (3 mo. EURIBOR + 5.25%), 11/22/29 | EUR | 1,000 | 1,059,202 |
Term Loan, 9.398%, (SOFR + 4.50%), 11/22/29 | 5,050 | 5,026,856 | |
SPX Flow, Inc., Term Loan, 9.582%, (SOFR + 4.50%), 4/5/29 | 20,377 | 19,704,780 | |
Titan Acquisition Limited, Term Loan, 8.151%, (3 mo. USD LIBOR + 3.00%), 3/28/25 | 30,039 | 28,834,691 | |
TK Elevator Topco GmbH, Term Loan, 6.567%, (6 mo. EURIBOR + 3.63%), 7/30/27 | EUR | 12,100 | 12,880,234 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
Vertical US Newco, Inc., Term Loan, 8.602%, (6 mo. USD LIBOR + 3.50%), 7/30/27 | 6 | $ 6,067 | |
Zephyr German BidCo GmbH, Term Loan, 6.645%, (3 mo. EURIBOR + 3.60%), 3/10/28 | EUR | 13,675 | 13,986,481 |
$ 345,165,092 | |||
Media — 2.5% | |||
Charter Communications Operating, LLC, Term Loan, 6.795%, (SOFR + 1.75%), 2/1/27(11) | 8,903 | $ 8,785,673 | |
CSC Holdings, LLC: | |||
Term Loan, 7.198%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | 34,898 | 33,393,412 | |
Term Loan, 7.198%, (1 mo. USD LIBOR + 2.25%), 1/15/26 | 5,620 | 5,321,328 | |
Diamond Sports Group, LLC: | |||
Term Loan, 13.064%, (SOFR + 8.15%), 5/25/26(8) | 4,889 | 4,452,644 | |
Term Loan - Second Lien, 8.167%, (SOFR + 3.25%), 8/24/26(8) | 28,442 | 2,147,342 | |
Gray Television, Inc., Term Loan, 7.418%, (SOFR + 2.50%), 1/2/26 | 3,553 | 3,520,719 | |
Hubbard Radio, LLC, Term Loan, 9.28%, (1 mo. USD LIBOR + 4.25%), 3/28/25 | 7,847 | 6,434,630 | |
iHeartCommunications, Inc.: | |||
Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 5/1/26 | 1,127 | 979,732 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 5/1/26 | 3,165 | 2,753,708 | |
Magnite, Inc., Term Loan, 10.043%, (USD LIBOR + 5.00%), 4/28/28(11) | 6,534 | 6,322,641 | |
Mission Broadcasting, Inc., Term Loan, 7.348%, (1 mo. USD LIBOR + 2.50%), 6/2/28 | 4,028 | 4,024,222 | |
Nexstar Broadcasting, Inc., Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 9/18/26 | 1,167 | 1,165,687 | |
Recorded Books, Inc., Term Loan, 8.997%, (SOFR + 4.00%), 8/29/25 | 19,758 | 19,716,952 | |
Sinclair Television Group, Inc.: | |||
Term Loan, 7.53%, (1 mo. USD LIBOR + 2.50%), 9/30/26 | 5,333 | 4,795,408 | |
Term Loan, 8.03%, (1 mo. USD LIBOR + 3.00%), 4/1/28 | 25,315 | 21,541,635 | |
Univision Communications, Inc.: | |||
Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 3/15/24 | 7,611 | 7,623,715 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 3/15/26 | 23,312 | 23,198,594 | |
$ 156,178,042 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Metals/Mining — 0.9% | |||
American Consolidated Natural Resources, Inc., Term Loan, 21.27%, (3 mo. USD LIBOR + 16.00%), 18.27% cash, 3.00% PIK, 9/16/25 | 358 | $ 359,677 | |
Dynacast International, LLC: | |||
Term Loan, 9.458%, (3 mo. USD LIBOR + 4.50%), 7/22/25 | 16,451 | 15,299,032 | |
Term Loan, 13.958%, (3 mo. USD LIBOR + 9.00%), 10/22/25 | 2,941 | 2,220,340 | |
PMHC II, Inc., Term Loan, 9.304%, (SOFR + 4.25%), 4/23/29 | 4,183 | 3,677,920 | |
WireCo WorldGroup, Inc., Term Loan, 9.25%, (1 mo. USD LIBOR + 4.25%), 11/13/28 | 6,762 | 6,728,608 | |
Zekelman Industries, Inc., Term Loan, 7.018%, (3 mo. USD LIBOR + 2.00%), 1/24/27 | 26,917 | 26,687,153 | |
$ 54,972,730 | |||
Oil, Gas & Consumable Fuels — 1.4% | |||
Centurion Pipeline Company, LLC: | |||
Term Loan, 10.25%, (USD Prime + 2.25%), 9/29/25 | 3,362 | $ 3,369,418 | |
Term Loan, 11.00%, (USD Prime + 3.00%), 9/28/25 | 2,000 | 2,003,437 | |
Freeport LNG Investments, LLP, Term Loan, 8.75%, (3 mo. USD LIBOR + 3.50%), 12/21/28 | 9,327 | 9,077,626 | |
GIP II Blue Holding, L.P., Term Loan, 9.659%, (3 mo. USD LIBOR + 4.50%), 9/29/28 | 19,168 | 19,158,000 | |
Matador Bidco S.a.r.l., Term Loan, 9.582%, (SOFR + 4.50%), 10/15/26 | 33,633 | 33,493,867 | |
Oryx Midstream Services Permian Basin, LLC, Term Loan, 8.193%, (SOFR + 3.25%), 10/5/28 | 6,528 | 6,465,911 | |
Oxbow Carbon, LLC, Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 10/17/25 | 6,178 | 6,178,234 | |
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 13.025%, (1 mo. USD LIBOR + 8.00%), 8/27/26 | 7,607 | 7,588,345 | |
$ 87,334,838 | |||
Personal Products — 0.3% | |||
HLF Financing S.a.r.l., Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 8/18/25 | 13,873 | $ 13,821,348 | |
Rainbow Finco S.a.r.l., Term Loan, 6.697%, (6 mo. EURIBOR + 3.50%), 2/23/29 | EUR | 2,895 | 3,062,402 |
$ 16,883,750 | |||
Pharmaceuticals — 2.1% | |||
Aenova Holding GmbH, Term Loan, 7.332%, (6 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 4,075 | $ 4,323,261 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
AI Sirona (Luxembourg) Acquisition S.a.r.l., Term Loan, 6.265%, (1 mo. EURIBOR + 3.25%), 9/29/25 | EUR | 12,550 | $ 13,643,641 |
Akorn, Inc., Term Loan, 0.00%, 10/1/25(8) | 3,363 | 823,895 | |
Amneal Pharmaceuticals, LLC, Term Loan, 8.563%, (1 mo. USD LIBOR + 3.50%), 5/4/25 | 2,602 | 2,447,533 | |
Bausch Health Companies, Inc., Term Loan, 10.24%, (SOFR + 5.25%), 2/1/27 | 18,924 | 15,298,134 | |
Elanco Animal Health Incorporated, Term Loan, 6.653%, (SOFR + 1.75%), 8/1/27 | 8,004 | 7,798,669 | |
Horizon Therapeutics USA, Inc.: | |||
Term Loan, 6.813%, (1 mo. USD LIBOR + 1.75%), 3/15/28 | 8,524 | 8,520,718 | |
Term Loan, 7.063%, (1 mo. USD LIBOR + 2.00%), 5/22/26 | 13,469 | 13,466,445 | |
Jazz Financing Lux S.a.r.l., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 5/5/28 | 8,364 | 8,363,544 | |
Mallinckrodt International Finance S.A.: | |||
Term Loan, 10.198%, (1 mo. USD LIBOR + 5.25%), 9/30/27 | 38,513 | 27,663,349 | |
Term Loan, 10.448%, (1 mo. USD LIBOR + 5.50%), 9/30/27 | 12,239 | 8,781,626 | |
PharmaZell GmbH, Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 1,950 | 2,077,083 |
Recipharm AB, Term Loan, 5.882%, (3 mo. EURIBOR + 3.20%), 2/17/28 | EUR | 15,275 | 15,774,307 |
$ 128,982,205 | |||
Professional Services — 2.6% | |||
AlixPartners, LLP, Term Loan, 6.24%, (3 mo. EURIBOR + 3.25%), 2/4/28 | EUR | 4,116 | $ 4,482,984 |
APFS Staffing Holdings, Inc., Term Loan, 8.97%, (SOFR + 4.00%), 12/29/28(11) | 3,960 | 3,912,975 | |
Apleona Holding GmbH, Term Loan, 6.442%, (3 mo. EURIBOR + 3.20%), 4/28/28 | EUR | 10,525 | 11,144,481 |
CoreLogic, Inc., Term Loan, 8.563%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | 17,422 | 15,681,590 | |
Corporation Service Company, Term Loan, 8.332%, (SOFR + 3.25%), 11/2/29 | 5,554 | 5,559,748 | |
Deerfield Dakota Holding, LLC, Term Loan, 8.648%, (SOFR + 3.75%), 4/9/27 | 10,783 | 10,453,182 | |
EAB Global, Inc., Term Loan, 8.871%, (USD LIBOR + 3.50%), 8/16/28(11) | 15,775 | 15,435,165 | |
Employbridge Holding Company, Term Loan, 9.927%, (3 mo. USD LIBOR + 4.75%), 7/19/28 | 22,926 | 19,403,887 | |
First Advantage Holdings, LLC, Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 1/31/27 | 3,606 | 3,601,210 | |
Neptune Bidco U.S., Inc., Term Loan, 10.004%, (SOFR + 5.00%), 4/11/29 | 9,175 | 8,217,359 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Professional Services (continued) | |||
Rockwood Service Corporation, Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 1/23/27 | 6,273 | $ 6,268,265 | |
TMF Group Holding B.V., Term Loan, 5/5/28(10) | 5,175 | 5,142,656 | |
Trans Union, LLC: | |||
Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 11/16/26 | 2,485 | 2,478,749 | |
Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 12/1/28 | 42,361 | 42,308,426 | |
Vaco Holdings, LLC, Term Loan, 10.048%, (SOFR + 5.00%), 1/21/29 | 3,950 | 3,940,125 | |
$ 158,030,802 | |||
Real Estate Management & Development — 0.8% | |||
Cushman & Wakefield U.S. Borrower, LLC: | |||
Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | 15,481 | $ 15,221,229 | |
Term Loan, 8.332%, (SOFR + 3.25%), 1/31/30 | 14,526 | 14,172,371 | |
RE/MAX International, Inc., Term Loan, 7.563%, (1 mo. USD LIBOR + 2.50%), 7/21/28 | 17,980 | 16,951,524 | |
$ 46,345,124 | |||
Road & Rail — 2.5% | |||
Avis Budget Car Rental, LLC: | |||
Term Loan, 6.847%, (SOFR + 1.75%), 8/6/27 | 33,946 | $ 33,691,395 | |
Term Loan, 8.582%, (SOFR + 3.50%), 3/16/29 | 4,125 | 4,133,250 | |
Grab Holdings, Inc., Term Loan, 9.53%, (1 mo. USD LIBOR + 4.50%), 1/29/26 | 17,537 | 17,526,112 | |
Hertz Corporation (The): | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 16,577 | 16,549,680 | |
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 3,180 | 3,174,532 | |
Kenan Advantage Group, Inc., Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 3/24/26 | 16,907 | 16,847,518 | |
Uber Technologies, Inc., Term Loan, 7.689%, (SOFR + 2.75%), 3/3/30 | 64,238 | 64,077,550 | |
$ 156,000,037 | |||
Semiconductors & Semiconductor Equipment — 1.2% | |||
Altar Bidco, Inc.: | |||
Term Loan, 6.608%, (SOFR + 3.10%), 2/1/29 | 20,917 | $ 20,409,549 | |
Term Loan - Second Lien, 10.493%, (SOFR + 5.60%), 2/1/30 | 7,300 | 6,474,188 | |
Bright Bidco B.V., Term Loan, 4.045%, (SOFR + 1.00%), 10/31/27 | 4,212 | 2,674,497 | |
Entegris, Inc., Term Loan, 7.661%, (SOFR + 2.75%), 7/6/29(11) | 2,494 | 2,497,907 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
MACOM Technology Solutions Holdings, Inc., Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 5/17/24 | 1,630 | $ 1,628,258 | |
MaxLinear, Inc., Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 6/23/28 | 3,250 | 3,237,813 | |
MKS Instruments, Inc., Term Loan, 7.814%, (SOFR + 2.75%), 8/17/29 | 33,510 | 33,442,281 | |
Synaptics Incorporated, Term Loan, 7.399%, (6 mo. USD LIBOR + 2.25%), 12/2/28 | 3,189 | 3,176,917 | |
Ultra Clean Holdings, Inc., Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 8/27/25 | 2,894 | 2,900,748 | |
$ 76,442,158 | |||
Software — 19.0% | |||
Applied Systems, Inc., Term Loan, 9.398%, (SOFR + 4.50%), 9/18/26 | 68,122 | $ 68,334,954 | |
Aptean, Inc.: | |||
Term Loan, 9.221%, (SOFR + 4.25%), 4/23/26 | 27,461 | 26,592,206 | |
Term Loan - Second Lien, 12.082%, (SOFR + 7.10%), 4/23/27 | 6,500 | 6,069,375 | |
Astra Acquisition Corp.: | |||
Term Loan, 10.275%, (1 mo. USD LIBOR + 5.25%), 10/25/28 | 14,219 | 11,611,997 | |
Term Loan - Second Lien, 13.90%, (1 mo. USD LIBOR + 8.88%), 10/25/29 | 21,995 | 14,516,510 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 7.015%, (1 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 5,946 | 6,472,936 |
Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 10/2/25 | 15,086 | 14,917,355 | |
Term Loan - Second Lien, 10.525%, (1 mo. USD LIBOR + 5.50%), 2/27/26 | 9,470 | 9,185,900 | |
CDK Global, Inc., Term Loan, 9.148%, (SOFR + 4.25%), 7/6/29 | 31,646 | 31,650,624 | |
CentralSquare Technologies, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 8/29/25 | 22,072 | 19,790,393 | |
Cloudera, Inc.: | |||
Term Loan, 8.832%, (SOFR + 3.75%), 10/8/28 | 29,118 | 28,149,015 | |
Term Loan - Second Lien, 11.082%, (SOFR + 6.00%), 10/8/29 | 9,450 | 8,410,500 | |
ConnectWise, LLC, Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 9/29/28 | 14,149 | 13,753,965 | |
Constant Contact, Inc., Term Loan, 9.198%, (3 mo. USD LIBOR + 4.00%), 2/10/28 | 13,031 | 12,328,054 | |
Cornerstone OnDemand, Inc., Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 10/16/28 | 17,078 | 15,177,628 | |
Delta TopCo, Inc., Term Loan, 8.656%, (SOFR + 3.75%), 12/1/27 | 14,107 | 13,524,783 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
E2open, LLC, Term Loan, 8.566%, (USD LIBOR + 3.50%), 2/4/28(11) | 20,166 | $ 20,117,660 | |
ECI Macola Max Holding, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 11/9/27 | 26,931 | 26,659,206 | |
Epicor Software Corporation: | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 7/30/27 | 70,106 | 69,349,847 | |
Term Loan - Second Lien, 12.832%, (SOFR + 7.75%), 7/31/28 | 7,650 | 7,652,387 | |
Finastra USA, Inc.: | |||
Term Loan, 8.655%, (3 mo. USD LIBOR + 3.50%), 6/13/24 | 59,908 | 57,223,227 | |
Term Loan - Second Lien, 12.405%, (3 mo. USD LIBOR + 7.25%), 6/13/25 | 29,000 | 24,640,952 | |
Fiserv Investment Solutions, Inc., Term Loan, 8.946%, (SOFR + 4.00%), 2/18/27 | 6,476 | 6,289,610 | |
GoTo Group, Inc., Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 8/31/27 | 28,495 | 17,310,700 | |
Hyland Software, Inc.: | |||
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | 57,442 | 57,147,863 | |
Term Loan - Second Lien, 11.275%, (1 mo. USD LIBOR + 6.25%), 7/7/25 | 9,690 | 9,341,885 | |
IGT Holding IV AB: | |||
Term Loan, 6.165%, (3 mo. EURIBOR + 3.40%), 3/31/28 | EUR | 6,205 | 6,668,753 |
Term Loan, 8.462%, (SOFR + 3.40%), 3/31/28 | 1,666 | 1,665,505 | |
Imperva, Inc., Term Loan, 8.859%, (3 mo. USD LIBOR + 4.00%), 1/12/26 | 4,924 | 4,599,271 | |
Ivanti Software, Inc.: | |||
Term Loan, 9.212%, (3 mo. USD LIBOR + 4.25%), 12/1/27 | 15,340 | 12,414,100 | |
Term Loan - Second Lien, 12.212%, (3 mo. USD LIBOR + 7.25%), 12/1/28 | 9,000 | 5,523,750 | |
Magenta Buyer, LLC: | |||
Term Loan, 10.03%, (3 mo. USD LIBOR + 4.75%), 7/27/28 | 36,960 | 31,305,334 | |
Term Loan - Second Lien, 13.53%, (3 mo. USD LIBOR + 8.25%), 7/27/29 | 17,275 | 13,215,375 | |
Marcel LUX IV S.a.r.l.: | |||
Term Loan, 6.552%, (3 mo. EURIBOR + 3.50%), 3/16/26 | EUR | 9,150 | 9,975,264 |
Term Loan, 8.18%, (SOFR + 3.25%), 3/15/26 | 11,762 | 11,688,942 | |
Term Loan, 8.93%, (SOFR + 4.00%), 12/31/27 | 910 | 904,287 | |
Maverick Bidco, Inc., Term Loan, 9.057%, (3 mo. USD LIBOR + 3.75%), 5/18/28 | 11,975 | 11,545,600 | |
McAfee, LLC: | |||
Term Loan, 7.241%, (EURIBOR + 4.00%), 3/1/29(11) | EUR | 3,284 | 3,445,189 |
Term Loan, 8.653%, (SOFR + 3.75%), 3/1/29 | 24,600 | 23,272,582 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
MH Sub I, LLC, Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 9/13/24 | 5,244 | $ 5,234,748 | |
Mitnick Corporate Purchaser, Inc., Term Loan, 9.895%, (SOFR + 4.75%), 5/2/29 | 2,200 | 2,071,436 | |
N-Able International Holdings II, LLC, Term Loan, 7.953%, (3 mo. USD LIBOR + 3.00%), 7/19/28 | 1,640 | 1,627,559 | |
NortonLifeLock, Inc., Term Loan, 7.082%, (SOFR + 2.00%), 9/12/29 | 3,912 | 3,876,275 | |
Open Text Corporation, Term Loan, 8.582%, (SOFR + 3.50%), 1/31/30 | 29,202 | 29,220,064 | |
Panther Commercial Holdings, L.P., Term Loan, 9.275%, (1 mo. USD LIBOR + 4.25%), 1/7/28 | 23,209 | 22,585,146 | |
Polaris Newco, LLC: | |||
Term Loan, 7.242%, (3 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 9,210 | 8,974,839 |
Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 6/2/28 | 7,810 | 7,255,218 | |
Proofpoint, Inc.: | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 8/31/28 | 39,530 | 38,759,051 | |
Term Loan - Second Lien, 11.275%, (1 mo. USD LIBOR + 6.25%), 8/31/29 | 2,070 | 1,983,319 | |
Quartz Acquireco, LLC, Term Loan, 4/14/30(10) | 10,625 | 10,591,797 | |
Quest Software US Holdings, Inc., Term Loan, 9.445%, (SOFR + 4.25%), 2/1/29 | 22,138 | 19,061,783 | |
RealPage, Inc., Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 4/24/28 | 21,037 | 20,468,722 | |
Red Planet Borrower, LLC, Term Loan, 8.322%, (SOFR + 3.75%), 10/2/28 | 16,698 | 11,563,516 | |
Redstone Holdco 2 L.P., Term Loan, 10.005%, (3 mo. USD LIBOR + 4.75%), 4/27/28 | 20,802 | 17,720,796 | |
Sabre GLBL, Inc.: | |||
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 12/17/27 | 8,605 | 6,769,293 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 12/17/27 | 5,398 | 4,217,333 | |
Term Loan, 9.332%, (SOFR + 4.25%), 6/30/28 | 3,929 | 3,133,528 | |
Skillsoft Corporation, Term Loan, 10.197%, (SOFR + 5.25%), 7/14/28 | 11,479 | 9,848,218 | |
SolarWinds Holdings, Inc., Term Loan, 8.982%, (SOFR + 4.00%), 2/5/27 | 26,750 | 26,768,565 | |
Sophia, L.P., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 10/7/27 | 33,029 | 32,657,328 | |
SS&C European Holdings S.a.r.l., Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 5,128 | 5,124,993 | |
SS&C Technologies, Inc.: | |||
Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 5,782 | 5,779,312 | |
Term Loan, 6.775%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 4,909 | 4,903,665 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
SS&C Technologies, Inc.: (continued) | |||
Term Loan, 7.332%, (SOFR + 2.25%), 3/22/29 | 3,147 | $ 3,137,824 | |
Term Loan, 7.332%, (SOFR + 2.25%), 3/22/29 | 4,742 | 4,728,642 | |
SurveyMonkey, Inc., Term Loan, 8.847%, (SOFR + 3.75%), 10/10/25 | 9,485 | 9,461,195 | |
Turing Midco, LLC, Term Loan, 7.525%, (1 mo. USD LIBOR + 2.50%), 3/24/28 | 735 | 734,452 | |
Ultimate Software Group, Inc. (The): | |||
Term Loan, 8.271%, (SOFR + 3.25%), 5/4/26 | 54,377 | 53,063,855 | |
Term Loan, 8.895%, (SOFR + 3.75%), 5/4/26 | 786 | 773,796 | |
Veritas US, Inc., Term Loan, 10.025%, (1 mo. USD LIBOR + 5.00%), 9/1/25 | 16,468 | 12,705,165 | |
Vision Solutions, Inc., Term Loan, 9.255%, (3 mo. USD LIBOR + 4.00%), 4/24/28 | 39,457 | 35,187,257 | |
VS Buyer, LLC, Term Loan, 7.903%, (SOFR + 3.00%), 2/28/27 | 14,889 | 14,721,690 | |
$ 1,167,153,864 | |||
Specialty Retail — 2.8% | |||
Belron Finance US, LLC, Term Loan, 7.30%, (3 mo. USD LIBOR + 2.43%), 4/13/28 | 8,551 | $ 8,549,431 | |
Belron Luxembourg S.a.r.l., Term Loan, 4.97%, (3 mo. EURIBOR + 2.50%), 4/13/28 | EUR | 3,925 | 4,312,343 |
Boels Topholding B.V., Term Loan, 6.01%, (1 mo. EURIBOR + 3.25%), 2/6/27 | EUR | 8,800 | 9,595,713 |
David's Bridal, Inc.: | |||
Term Loan, 12.273%, (3 mo. USD LIBOR + 7.00%), 12/31/24(5)(8) | 3,370 | 0 | |
Term Loan, 15.27%, (3 mo. USD LIBOR + 10.00%), 10.27% cash, 5.00% PIK, 6/23/23(5)(8) | 2,780 | 0 | |
Etraveli Holding AB, Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 8/2/24 | EUR | 9,472 | 10,362,222 |
Great Outdoors Group, LLC, Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 35,455 | 35,230,124 | |
Harbor Freight Tools USA, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 10/19/27 | 35,459 | 34,528,525 | |
Hoya Midco, LLC, Term Loan, 8.295%, (SOFR + 3.25%), 2/3/29 | 4,870 | 4,826,928 | |
Les Schwab Tire Centers, Term Loan, 8.064%, (3 mo. USD LIBOR + 3.25%), 11/2/27 | 28,832 | 28,747,546 | |
LIDS Holdings, Inc., Term Loan, 10.393%, (SOFR + 5.50%), 12/14/26 | 5,970 | 5,671,055 | |
Mattress Firm, Inc., Term Loan, 9.39%, (3 mo. USD LIBOR + 4.25%), 9/25/28 | 17,541 | 16,324,365 | |
PetSmart, Inc., Term Loan, 8.832%, (SOFR + 3.75%), 2/11/28 | 15,469 | 15,390,122 | |
$ 173,538,374 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Technology Hardware, Storage & Peripherals — 0.1% | |||
NCR Corporation, Term Loan, 7.78%, (3 mo. USD LIBOR + 2.50%), 8/28/26 | 6,414 | $ 6,343,133 | |
$ 6,343,133 | |||
Trading Companies & Distributors — 4.4% | |||
American Builders & Contractors Supply Co., Inc., Term Loan, 7.082%, (SOFR + 2.00%), 1/15/27 | 22,938 | $ 22,880,693 | |
Avolon TLB Borrower 1 (US), LLC: | |||
Term Loan, 6.703%, (1 mo. USD LIBOR + 1.75%), 1/15/25 | 23,425 | 23,340,534 | |
Term Loan, 7.203%, (1 mo. USD LIBOR + 2.25%), 12/1/27 | 17,887 | 17,887,316 | |
Beacon Roofing Supply, Inc., Term Loan, 7.275%, (1 mo. USD LIBOR + 2.25%), 5/19/28 | 5,199 | 5,190,818 | |
Core & Main, L.P., Term Loan, 7.627%, (SOFR + 2.50%), 7/27/28(11) | 9,594 | 9,546,253 | |
DXP Enterprises, Inc., Term Loan, 9.955%, (3 mo. USD LIBOR + 5.25%), 12/23/27 | 9,485 | 9,437,187 | |
Electro Rent Corporation, Term Loan, 10.271%, (SOFR + 5.50%), 11/1/24 | 22,035 | 21,539,202 | |
Hillman Group, Inc. (The): | |||
Term Loan, 3.146%, (3 mo. USD LIBOR + 2.75%), 7/14/28(12) | 286 | 284,743 | |
Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 7/14/28 | 1,176 | 1,172,378 | |
Park River Holdings, Inc., Term Loan, 8.522%, (6 mo. USD LIBOR + 3.25%), 12/28/27 | 12,745 | 11,919,752 | |
Patagonia Bidco Limited, Term Loan, 8.678%, (SONIA + 5.25%), 11/1/28 | GBP | 20,050 | 22,457,578 |
PEARLS (Netherlands) Bidco B.V., Term Loan, 6.742%, (3 mo. EURIBOR + 3.50%), 2/26/29 | EUR | 6,000 | 6,449,423 |
Quimper AB, Term Loan, 5.977%, (3 mo. EURIBOR + 2.93%), 2/16/26 | EUR | 27,350 | 29,236,635 |
Spin Holdco, Inc., Term Loan, 8.986%, (3 mo. USD LIBOR + 4.00%), 3/4/28 | 60,685 | 50,650,302 | |
SRS Distribution, Inc.: | |||
Term Loan, 8.471%, (SOFR + 3.50%), 6/2/28 | 5,382 | 5,141,370 | |
Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | 16,377 | 15,669,512 | |
White Cap Buyer, LLC, Term Loan, 8.732%, (SOFR + 3.75%), 10/19/27 | 20,950 | 20,793,284 | |
$ 273,596,980 | |||
Transportation Infrastructure — 0.0%(4) | |||
Brown Group Holding, LLC, Term Loan, 8.778%, (SOFR + 3.75%), 7/2/29 | 1,443 | $ 1,439,044 | |
$ 1,439,044 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Wireless Telecommunication Services — 0.4% | |||
CCI Buyer, Inc., Term Loan, 8.898%, (SOFR + 4.00%), 12/17/27 | 9,909 | $ 9,761,687 | |
Digicel International Finance Limited, Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 5/28/24 | 19,019 | 17,283,879 | |
$ 27,045,566 | |||
Total Senior Floating-Rate Loans (identified cost $7,274,404,330) | $ 6,781,884,874 |
Warrants — 0.0% |
Security | Shares | Value | |
Leisure Goods/Activities/Movies — 0.0% | |||
Cineworld Group PLC, Exp. 11/23/25(6)(7) | 2,180,552 | $ 0 | |
$ 0 | |||
Retailers (Except Food and Drug) — 0.0% | |||
David’s Bridal, LLC, Exp. 12/31/28(5)(6)(7) | 37,742 | $ 0 | |
$ 0 | |||
Total Warrants (identified cost $0) | $ 0 |
Short-Term Investments — 2.7% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(13) | 166,235,036 | $ 166,235,036 | |
Total Short-Term Investments (identified cost $166,235,035) | $ 166,235,036 | ||
Total Investments — 128.2% (identified cost $8,540,009,659) | $ 7,886,912,266 | ||
Less Unfunded Loan Commitments — (0.2)% | $ (10,531,439) | ||
Net Investments — 128.0% (identified cost $8,529,478,220) | $ 7,876,380,827 | ||
Other Assets, Less Liabilities — (28.0)% | $ (1,726,499,403) | ||
Net Assets — 100.0% | $ 6,149,881,424 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $867,386,505 or 14.1% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(3) | When-issued security. |
(4) | Amount is less than 0.05%. |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(6) | Non-income producing security. |
(7) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(8) | 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. |
(9) | 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 London Interbank Offered Rate (“LIBOR”) or 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. |
(10) | This Senior Loan will settle after April 30, 2023, at which time the interest rate will be determined. |
(11) | The stated interest rate represents the weighted average interest rate at April 30, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(12) | Unfunded or partially unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At April 30, 2023, the total value of unfunded loan commitments is $9,059,017. See Note 1F for description. |
(13) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 15,000,000 | USD | 16,492,181 | Citibank, N.A. | 5/3/23 | $ 36,326 | $ — |
USD | 339,962,178 | EUR | 312,407,318 | Standard Chartered Bank | 5/3/23 | — | (4,279,586) |
EUR | 12,000,000 | USD | 12,877,468 | Bank of America, N.A. | 5/31/23 | 366,710 | — |
EUR | 18,000,000 | USD | 19,077,061 | HSBC Bank USA, N.A. | 5/31/23 | 789,205 | — |
GBP | 1,000,000 | USD | 1,185,497 | State Street Bank and Trust Company | 5/31/23 | 72,025 | — |
USD | 879,257 | EUR | 829,327 | Bank of America, N.A. | 5/31/23 | — | (36,057) |
USD | 5,948,233 | EUR | 5,500,000 | Bank of America, N.A. | 5/31/23 | — | (122,015) |
USD | 66,158,682 | EUR | 62,368,522 | Citibank, N.A. | 5/31/23 | — | (2,676,298) |
USD | 1,068,181 | EUR | 1,000,000 | State Street Bank and Trust Company | 5/31/23 | — | (35,500) |
USD | 66,162,449 | EUR | 62,368,522 | State Street Bank and Trust Company | 5/31/23 | — | (2,672,530) |
USD | 66,160,123 | EUR | 62,368,522 | State Street Bank and Trust Company | 5/31/23 | — | (2,674,857) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 66,158,046 | EUR | 62,368,522 | State Street Bank and Trust Company | 5/31/23 | $ — | $ (2,676,934) |
USD | 66,143,025 | EUR | 62,368,526 | State Street Bank and Trust Company | 5/31/23 | — | (2,691,958) |
USD | 105,208 | GBP | 87,834 | Bank of America, N.A. | 5/31/23 | — | (5,245) |
USD | 52,703,531 | GBP | 44,012,975 | State Street Bank and Trust Company | 5/31/23 | — | (2,643,776) |
USD | 328,896,198 | EUR | 297,407,318 | Standard Chartered Bank | 6/2/23 | 616,508 | — |
EUR | 11,000,000 | USD | 11,674,653 | Bank of America, N.A. | 6/30/23 | 486,309 | — |
EUR | 39,000,000 | USD | 42,987,223 | Standard Chartered Bank | 6/30/23 | 128,913 | — |
USD | 18,469,545 | EUR | 16,954,215 | Bank of America, N.A. | 6/30/23 | — | (274,051) |
USD | 54,443,400 | EUR | 50,000,000 | Goldman Sachs International | 6/30/23 | — | (833,698) |
USD | 24,341,658 | EUR | 22,114,359 | JPMorgan Chase Bank, N.A. | 6/30/23 | — | (106,694) |
USD | 54,461,050 | EUR | 50,000,000 | Standard Chartered Bank | 6/30/23 | — | (816,049) |
USD | 54,458,960 | EUR | 50,000,000 | Standard Chartered Bank | 6/30/23 | — | (818,139) |
USD | 54,450,700 | EUR | 50,000,000 | Standard Chartered Bank | 6/30/23 | — | (826,398) |
USD | 54,447,420 | EUR | 50,000,000 | Standard Chartered Bank | 6/30/23 | — | (829,678) |
$2,495,996 | $(25,019,463) |
Abbreviations: | |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
REITs | – Real Estate Investment Trusts |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Interbank Average |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $8,363,243,184) | $ 7,710,145,791 |
Affiliated investment, at value (identified cost $166,235,036) | 166,235,036 |
Cash | 50,138,334 |
Deposits for derivatives collateral — forward foreign currency exchange contracts | 25,560,000 |
Foreign currency, at value (identified cost $17,136,705) | 17,129,683 |
Interest receivable | 50,349,923 |
Dividends receivable from affiliated investment | 607,706 |
Receivable for investments sold | 97,766,451 |
Receivable for open forward foreign currency exchange contracts | 2,495,996 |
Prepaid upfront fees on notes payable | 3,576,648 |
Prepaid expenses | 91,621 |
Other assets | 1,511,146 |
Total assets | $8,125,608,335 |
Liabilities | |
Notes payable | $ 1,875,000,000 |
Cash collateral due to broker | 420,000 |
Payable for investments purchased | 61,383,970 |
Payable for when-issued securities | 5,197,500 |
Payable for open forward foreign currency exchange contracts | 25,019,463 |
Payable to affiliates: | |
Investment adviser fee | 2,764,342 |
Trustees' fees | 9,042 |
Accrued expenses | 5,932,594 |
Total liabilities | $1,975,726,911 |
Net Assets applicable to investors' interest in Portfolio | $6,149,881,424 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income | $ 3,199,553 |
Dividend income from affiliated investment | 2,745,524 |
Interest and other income | 360,050,607 |
Total investment income | $ 365,995,684 |
Expenses | |
Investment adviser fee | $ 17,935,041 |
Trustees’ fees and expenses | 45,208 |
Custodian fee | 695,526 |
Legal and accounting services | 173,102 |
Interest expense and fees | 57,593,707 |
Miscellaneous | 205,540 |
Total expenses | $ 76,648,124 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 104,266 |
Total expense reductions | $ 104,266 |
Net expenses | $ 76,543,858 |
Net investment income | $ 289,451,826 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (84,412,231) |
Foreign currency transactions | 3,598,063 |
Forward foreign currency exchange contracts | (74,222,099) |
Net realized loss | $(155,036,267) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 333,214,819 |
Foreign currency | 112,186 |
Forward foreign currency exchange contracts | (18,966,984) |
Net change in unrealized appreciation (depreciation) | $ 314,360,021 |
Net realized and unrealized gain | $ 159,323,754 |
Net increase in net assets from operations | $ 448,775,580 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 289,451,826 | $ 454,111,028 |
Net realized gain (loss) | (155,036,267) | 61,185,798 |
Net change in unrealized appreciation (depreciation) | 314,360,021 | (933,652,683) |
Net increase (decrease) in net assets from operations | $ 448,775,580 | $ (418,355,857) |
Capital transactions: | ||
Contributions | $ 58,338,399 | $ 2,156,822,498 |
Withdrawals | (1,726,737,746) | (2,792,514,701) |
Net decrease in net assets from capital transactions | $(1,668,399,347) | $ (635,692,203) |
Net decrease in net assets | $(1,219,623,767) | $(1,054,048,060) |
Net Assets | ||
At beginning of period | $ 7,369,505,191 | $ 8,423,553,251 |
At end of period | $ 6,149,881,424 | $ 7,369,505,191 |
Six Months Ended | |
April 30, 2023 | |
Cash Flows From Operating Activities | |
Net increase in net assets from operations | $ 448,775,580 |
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: | |
Investments purchased | (420,897,337) |
Investments sold and principal repayments | 2,180,916,345 |
Increase in short-term investments, net | (80,025,073) |
Net amortization/accretion of premium (discount) | (8,753,383) |
Amortization of prepaid upfront fees on notes payable | 1,681,781 |
Increase in interest receivable | (4,298,634) |
Increase in dividends receivable from affiliated investment | (312,144) |
Decrease in receivable for open forward foreign currency exchange contracts | 1,168,575 |
Increase in other assets | (1,511,146) |
Increase in cash collateral due to brokers | 420,000 |
Increase in payable for open forward foreign currency exchange contracts | 17,798,409 |
Decrease in payable to affiliate for investment adviser fee | (578,327) |
Decrease in accrued expenses | (1,183,438) |
Decrease in unfunded loan commitments | (6,991,814) |
Net change in unrealized appreciation (depreciation) from investments | (333,214,819) |
Net realized loss from investments | 84,412,231 |
Net cash provided by operating activities | $ 1,877,406,806 |
Cash Flows From Financing Activities | |
Proceeds from capital contributions | $ 58,338,399 |
Payments for capital withdrawals | (1,726,737,746) |
Proceeds from notes payable | 150,000,000 |
Repayments of notes payable | (350,000,000) |
Payment of prepaid upfront fees on notes payable | (3,787,500) |
Net cash used in financing activities | $(1,872,186,847) |
Net increase in cash and restricted cash* | $ 5,219,959 |
Cash and restricted cash at beginning of period (including foreign currency) | $ 87,608,058 |
Cash and restricted cash at end of period (including foreign currency) | $ 92,828,017 |
Supplemental disclosure of cash flow information: | |
Cash paid for interest and fees on borrowings | $ 61,157,276 |
* | Includes net change in unrealized appreciation (depreciation) on foreign currency of $(3,977). |
April 30, 2023 | |
Cash | $ 50,138,334 |
Deposits for derivatives collateral — forward foreign currency exchange contracts | 25,560,000 |
Foreign currency | 17,129,683 |
Total cash and restricted cash as shown on the Statement of Cash Flows | $92,828,017 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Ratios/Supplemental Data | ||||||
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 0.57% (1) | 0.52% | 0.53% | 0.56% | 0.55% | 0.51% |
Interest and fee expense | 1.72% (1) | 0.47% | 0.32% | 0.60% | 0.88% | 0.47% |
Total expenses | 2.29% (1)(2) | 0.99% (2) | 0.85% | 1.16% | 1.43% | 0.98% |
Net investment income | 8.67% (1) | 5.16% | 4.19% | 4.86% | 5.63% | 4.92% |
Portfolio Turnover | 6% (3) | 27% | 28% | 30% | 17% | 29% |
Total Return | 6.87% (3) | (4.22)% | 9.75% | 0.39% | 2.04% | 5.41% |
Net assets, end of period (000’s omitted) | $6,149,881 | $7,369,505 | $8,423,553 | $5,449,434 | $7,343,453 | $10,969,159 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022). |
(3) | Not annualized. |
Average Daily Gross Assets | Annual Fee Rate |
Up to and including $1 billion | 0.5000% |
In excess of $1 billion up to and including $2 billion | 0.4500% |
In excess of $2 billion up to and including $7 billion | 0.4000% |
In excess of $7 billion up to and including $10 billion | 0.3875% |
In excess of $10 billion up to and including $15 billion | 0.3750% |
In excess of $15 billion | 0.3625% |
Aggregate cost | $8,530,593,964 |
Gross unrealized appreciation | $ 29,336,635 |
Gross unrealized depreciation | (706,073,239) |
Net unrealized depreciation | $ (676,736,604) |
Fair Value | ||
Derivative | Asset Derivative(1) | Liability Derivative(2) |
Forward foreign currency exchange contracts | $2,495,996 | $(25,019,463) |
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts. |
(2) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Bank of America, N.A. | $ 853,019 | $ (437,368) | $ — | $ (415,651) | $ — |
Citibank, N.A. | 36,326 | (36,326) | — | — | — |
HSBC Bank USA, N.A. | 789,205 | — | (789,205) | — | — |
Standard Chartered Bank | 745,421 | (745,421) | — | — | — |
State Street Bank and Trust Company | 72,025 | (72,025) | — | — | — |
$2,495,996 | $(1,291,140) | $(789,205) | $(415,651) | $ — |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Bank of America, N.A. | $ (437,368) | $ 437,368 | $ — | $ — | $ — |
Citibank, N.A. | (2,676,298) | 36,326 | — | 2,639,972 | — |
Goldman Sachs International | (833,698) | — | — | 833,698 | — |
JPMorgan Chase Bank, N.A. | (106,694) | — | — | 106,694 | — |
Standard Chartered Bank | (7,569,850) | 745,421 | — | 6,824,429 | — |
State Street Bank and Trust Company | (13,395,555) | 72,025 | — | 13,323,530 | — |
$(25,019,463) | $1,291,140 | $ — | $23,728,323 | $ — |
(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. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Forward foreign currency exchange contracts | $(74,222,099) | $(18,966,984) |
(1) | Statement of Operations location: Net realized gain (loss): Forward foreign currency exchange contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Forward foreign currency exchange contracts. |
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 | $86,209,963 | $1,345,011,014 | $(1,264,985,941) | $ — | $ — | $166,235,036 | $2,745,524 | 166,235,036 |
• | 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 |
Asset-Backed Securities | $ — | $ 296,008,075 | $ — | $ 296,008,075 |
Common Stocks | 3,872,822 | 11,047,848 | 5,586,704 | 20,507,374 |
Corporate Bonds | — | 598,320,187 | — | 598,320,187 |
Exchange-Traded Funds | 15,943,680 | — | — | 15,943,680 |
Preferred Stocks | — | 8,013,040 | 0 | 8,013,040 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 6,752,488,395 | 18,865,040 | 6,771,353,435 |
Warrants | — | 0 | 0 | 0 |
Short-Term Investments | 166,235,036 | — | — | 166,235,036 |
Total Investments | $ 186,051,538 | $ 7,665,877,545 | $ 24,451,744 | $ 7,876,380,827 |
Forward Foreign Currency Exchange Contracts | $ — | $ 2,495,996 | $ — | $ 2,495,996 |
Total | $ 186,051,538 | $ 7,668,373,541 | $ 24,451,744 | $ 7,878,876,823 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (25,019,463) | $ — | $ (25,019,463) |
Total | $ — | $ (25,019,463) | $ — | $ (25,019,463) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Officers of Eaton Vance Floating-Rate Advantage Fund and Senior Debt Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Floating-Rate Advantage Fund and Senior Debt Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Floating-Rate Advantage Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 10/31/2011 | 10/31/2011 | 5.79% | 1.52% | 2.27% | 2.99% |
Class A with 3.25% Maximum Sales Charge | — | — | 2.31 | (1.80) | 1.59 | 2.64 |
Class C at NAV | 10/31/2011 | 10/31/2011 | 5.40 | 0.76 | 1.63 | 2.43 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 4.40 | (0.20) | 1.63 | 2.43 |
Class I at NAV | 10/31/2011 | 10/31/2011 | 5.81 | 1.78 | 2.62 | 3.30 |
Class R6 at NAV | 09/03/2019 | 10/31/2011 | 5.95 | 1.83 | 2.66 | 3.32 |
Morningstar® LSTA® US Leveraged Loan IndexSM | — | — | 6.00% | 3.39% | 3.76% | 3.81% |
ICE BofA Developed Markets High Yield ex-Subordinated Financials Index – Hedged USD | — | — | 6.34 | 1.17 | 3.07 | 4.06 |
Blended Index | — | — | 6.18 | 2.36 | 3.45 | 3.96 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
0.98% | 1.73% | 0.73% | 0.67% |
Asset Allocation (% of total investments)1 |
Credit Quality (% of total investments, excluding common stocks)2 |
1 | Other represents any investment type less than 1% of total investments. |
2 | Ratings are based on Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), as applicable. For purposes of ratings restrictions, the average of Moody’s, S&P and Fitch is used. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P or Fitch (Baa or higher by Moody’s) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by the national ratings agencies stated above. |
1 | Morningstar® LSTA® US Leveraged Loan IndexSM is an unmanaged index of the institutional leveraged loan market. Morningstar® LSTA® Leveraged Loan indices are a product of Morningstar, Inc. (“Morningstar”) and have been licensed for use. Morningstar® is a registered trademark of Morningstar licensed for certain use. Loan Syndications and Trading Association® and LSTA® are trademarks of the LSTA licensed for certain use by Morningstar, and further sublicensed by Morningstar for certain use. Neither Morningstar nor LSTA guarantees the accuracy and/or completeness of the Morningstar® LSTA® US Leveraged Loan IndexSM or any data included therein, and shall have no liability for any errors, omissions, or interruptions therein. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. ICE BofA Developed Markets High Yield ex-Subordinated Financials Index – Hedged USD is an unmanaged index of global developed market, below investment grade corporate bonds, USD hedged. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. The Blended Index consists of 50% Morningstar® LSTA® US Leveraged Loan IndexSM and 50% ICE BofA Developed Markets High Yield ex-Subordinated Financials Index – Hedged USD, rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.Effective September 15, 2018, the Fund changed its investment strategy to invest at least 80% of its net assets (plus any borrowings for investment purposes) in credit-related investments. Prior to September 15, 2018, the Fund was a “fund-of-funds” and invested primarily among other investment companies managed by Eaton Vance and its affiliates that invested in various asset classes. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,057.90 | $4.90 | 0.96% |
Class C | $1,000.00 | $1,054.00 | $8.76 | 1.72% |
Class I | $1,000.00 | $1,058.10 | $3.62 | 0.71% |
Class R6 | $1,000.00 | $1,059.50 | $3.42 | 0.67% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.03 | $4.81 | 0.96% |
Class C | $1,000.00 | $1,016.27 | $8.60 | 1.72% |
Class I | $1,000.00 | $1,021.27 | $3.56 | 0.71% |
Class R6 | $1,000.00 | $1,021.47 | $3.36 | 0.67% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. |
Asset-Backed Securities — 5.4% |
Security | Principal Amount (000's omitted) | Value | |
Ares LII CLO, Ltd., Series 2019-52A, Class DR, 8.573%, (3 mo. USD LIBOR + 3.30%), 4/22/31(1)(2) | $ | 1,750 | $ 1,637,582 |
Benefit Street Partners CLO XIX, Ltd.: | |||
Series 2019-19A, Class D, 9.06%, (3 mo. USD LIBOR + 3.80%), 1/15/33(1)(2) | 1,000 | 954,190 | |
Series 2019-19A, Class E, 12.28%, (3 mo. USD LIBOR + 7.02%), 1/15/33(1)(2) | 1,000 | 941,530 | |
Benefit Street Partners CLO XVIII, Ltd., Series 2019-18A, Class ER, 12.01%, (3 mo. USD LIBOR + 6.75%), 10/15/34(1)(2) | 500 | 465,687 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 12.38%, (3 mo. USD LIBOR + 7.13%), 10/20/34(1)(2) | 500 | 471,738 | |
Bryant Park Funding, Ltd., Series 2023-20A, Class D, (3 mo. SOFR + 6.09%), 7/15/36(1)(3) | 1,000 | 990,000 | |
Canyon Capital CLO, Ltd., Series 2020-3A, Class E, 12.51%, (3 mo. USD LIBOR + 7.25%), 1/15/34(1)(2) | 1,000 | 953,904 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2014-3RA, Class C, 8.242%, (3 mo. USD LIBOR + 2.95%), 7/27/31(1)(2) | 2,725 | 2,428,018 | |
Series 2014-4RA, Class C, 8.16%, (3 mo. USD LIBOR + 2.90%), 7/15/30(1)(2) | 2,000 | 1,773,535 | |
Series 2014-4RA, Class D, 10.91%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2) | 250 | 202,616 | |
Series 2015-5A, Class DR, 11.95%, (3 mo. USD LIBOR + 6.70%), 1/20/32(1)(2) | 250 | 204,694 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 61 | 47,669 | |
Crown City CLO III, Series 2021-1A, Class C, 8.55%, (3 mo. USD LIBOR + 3.30%), 7/20/34(1)(2) | 1,000 | 902,506 | |
Golub Capital Partners CLO 53B, Ltd., Series 2021-53A, Class E, 11.95%, (3 mo. USD LIBOR + 6.70%), 7/20/34(1)(2) | 500 | 453,158 | |
Golub Capital Partners CLO 60B, Ltd., Series 2022-60A, Class D, 8.838%, (3 mo. SOFR + 3.77%), 10/25/34(1)(2) | 2,000 | 1,911,390 | |
Madison Park Funding XXXVI, Ltd.: | |||
Series 2019-36A, Class D1R, 8.486%, (3 mo. SOFR + 3.50%), 4/15/35(1)(2) | 1,000 | 965,828 | |
Series 2019-36A, Class ER, 12.036%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 1,000 | 944,692 | |
Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class ER, 11.32%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2) | 250 | 221,195 | |
Neuberger Berman Loan Advisers CLO 39, Ltd., Series 2020-39A, Class E, 12.45%, (3 mo. USD LIBOR + 7.20%), 1/20/32(1)(2) | 1,500 | 1,442,238 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 11.11%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2) | 250 | 226,262 |
Security | Principal Amount (000's omitted) | Value | |
Palmer Square CLO, Ltd.: (continued) | |||
Series 2021-2A, Class E, 11.61%, (3 mo. USD LIBOR + 6.35%), 7/15/34(1)(2) | $ | 1,000 | $ 944,246 |
Regatta XIV Funding, Ltd., Series 2018-3A, Class E, 11.205%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 1,000 | 847,461 | |
Stack Infrastructure Issuer, LLC, Series 2021-1A, Class A2, 1.877%, 3/26/46(1) | 890 | 794,574 | |
Sunnova Helios X Issuer, LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | 678 | 640,704 | |
Theorem Funding Trust, Series 2022-3A, Class A, 7.60%, 4/15/29(1) | 490 | 493,301 | |
Total Asset-Backed Securities (identified cost $23,119,294) | $ 21,858,718 |
Collateralized Mortgage Obligations — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
PNMAC GMSR Issuer Trust, Series 2018-GT2, Class A, 7.67%,(1 mo. USD LIBOR + 2.65%), 8/25/25(1)(2) | $ | 117 | $ 115,508 |
Unison Trust, Series 2021-1, Class A, 4.50%,4/25/50(1)(4) | 1,216 | 1,103,223 | |
Total Collateralized Mortgage Obligations (identified cost $1,315,705) | $ 1,218,731 |
Commercial Mortgage-Backed Securities — 3.4% |
Security | Principal Amount* (000's omitted) | Value | |
BBCMS Mortgage Trust: | |||
Series 2017-C1, Class D, 3.709%, 2/15/50(1)(4) | 1,000 | $ 689,849 | |
Series 2017-DELC, Class D, 6.773%, (1 mo. USD LIBOR + 1.825%), 8/15/36(1)(2) | 1,200 | 1,190,324 | |
BX Trust, Series 2018-EXCL, Class C, 6.923%, (1 mo. USD LIBOR + 1.975%), 9/15/37(1)(2) | 111 | 109,635 | |
COMM Mortgage Trust: | |||
Series 2013-CR9, Class C, 4.61%, 7/10/45(1)(4) | 1,900 | 1,816,318 | |
Series 2013-CR11, Class B, 5.263%, 8/10/50(4) | 877 | 841,347 | |
CSMC Trust, Series 2022-CNTR, Class A, 8.834%, (1 mo. SOFR + 3.944%), 1/15/24(1)(2) | 1,000 | 820,404 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C19, Class B, 4.394%, 4/15/47(4) | 215 | 207,161 | |
Series 2014-C23, Class D, 4.129%, 9/15/47(1)(4) | 750 | 637,449 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 150 | 25,200 |
Security | Principal Amount* (000's omitted) | Value | |
JPMorgan Chase Commercial Mortgage Securities Trust: (continued) | |||
Series 2021-MHC, Class C, 6.248%, (1 mo. USD LIBOR + 1.30%), 4/15/38(1)(2) | 1,800 | $ 1,734,506 | |
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A, 6.598%, (1 mo. USD LIBOR + 1.65%), 5/15/36(1)(2)(5) | 438 | 426,922 | |
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class C, 7.148%, (1 mo. USD LIBOR + 2.20%), 6/15/35(1)(2) | 100 | 51,461 | |
Vita Scientia, Series 2022-1A, Class D, 5.188%, (3 mo. EURIBOR + 2.49%), 8/27/25(1)(2) | EUR | 450 | 439,011 |
VMC Finance, LLC, Series 2021-HT1, Class B, 9.459%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(2) | 2,000 | 1,868,638 | |
Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class D, 3.142%, 7/15/48(1) | 1,700 | 1,219,835 | |
WFRBS Commercial Mortgage Trust: | |||
Series 2013-C16, Class B, 5.152%, 9/15/46(4) | 640 | 623,999 | |
Series 2013-UBS1, Class E, 5.192%, 3/15/46(1)(4) | 1,000 | 961,668 | |
Total Commercial Mortgage-Backed Securities (identified cost $14,585,456) | $ 13,663,727 |
Common Stocks — 0.0%(6) |
Security | Shares | Value | |
Electronics/Electrical — 0.0%(6) | |||
Riverbed Technology, Inc.(7)(8) | 846 | $ 425 | |
Total Common Stocks (identified cost $13,571) | $ 425 |
Convertible Bonds — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
Leisure Goods/Activities/Movies — 0.1% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26 | $ | 741 | $ 552,762 |
$ 552,762 | |||
Transportation — 0.2% | |||
CryoPort, Inc., 0.75%, 12/1/26(1) | $ | 901 | $ 710,103 |
$ 710,103 | |||
Total Convertible Bonds (identified cost $1,388,510) | $ 1,262,865 |
Convertible Preferred Stocks — 0.0%(6) |
Security | Shares | Value | |
Electronics/Electrical — 0.0%(6) | |||
Riverbed Technology, Inc., Series A, 6.50%, (1.50% cash, 5.00% PIK)(8) | 2,611 | $ 666 | |
Total Convertible Preferred Stocks (identified cost $78,329) | $ 666 |
Corporate Bonds — 52.5% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 1.4% | |||
Moog, Inc., 4.25%, 12/15/27(1) | 791 | $ 744,885 | |
Rolls-Royce PLC, 5.75%, 10/15/27(1) | 1,200 | 1,198,847 | |
Spirit AeroSystems, Inc.: | |||
4.60%, 6/15/28 | 174 | 147,806 | |
9.375%, 11/30/29(1) | 341 | 366,971 | |
TransDigm UK Holdings PLC, 6.875%, 5/15/26 | 400 | 403,025 | |
TransDigm, Inc.: | |||
4.625%, 1/15/29 | 343 | 310,844 | |
5.50%, 11/15/27 | 743 | 714,217 | |
6.375%, 6/15/26 | 818 | 818,031 | |
6.75%, 8/15/28(1) | 560 | 569,403 | |
7.50%, 3/15/27 | 541 | 544,455 | |
$ 5,818,484 | |||
Agriculture — 0.1% | |||
Darling Ingredients, Inc., 6.00%, 6/15/30(1) | 559 | $ 553,516 | |
$ 553,516 | |||
Air Transport — 1.1% | |||
Air France-KLM: | |||
7.25%, 5/31/26(9) | EUR | 600 | $ 674,687 |
8.125%, 5/31/28(9) | EUR | 800 | 894,415 |
American Airlines, Inc., 7.25%, 2/15/28(1) | 145 | 141,162 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 778 | 764,886 | |
5.75%, 4/20/29(1) | 128 | 121,802 | |
Deutsche Lufthansa AG, 2.875%, 5/16/27(9) | EUR | 100 | 100,775 |
Gatwick Airport Finance PLC, 4.375%, 4/7/26(9) | GBP | 1,050 | 1,223,847 |
United Airlines, Inc., 4.625%, 4/15/29(1) | 445 | 403,204 | |
$ 4,324,778 |
Security | Principal Amount* (000's omitted) | Value | |
Automotive — 2.0% | |||
Asbury Automotive Group, Inc.: | |||
4.625%, 11/15/29(1) | 392 | $ 349,351 | |
4.75%, 3/1/30 | 303 | 269,257 | |
Clarios Global, L.P./Clarios US Finance Co.: | |||
4.375%, 5/15/26(9) | EUR | 1,600 | 1,691,148 |
8.50%, 5/15/27(1) | 670 | 675,174 | |
Faurecia SE: | |||
2.375%, 6/15/29(9) | EUR | 350 | 311,243 |
2.75%, 2/15/27(9) | EUR | 700 | 686,962 |
Ford Motor Co.: | |||
4.75%, 1/15/43 | 325 | 244,572 | |
6.625%, 10/1/28 | 825 | 840,885 | |
9.625%, 4/22/30 | 44 | 51,222 | |
Goodyear Tire & Rubber Co. (The): | |||
5.00%, 7/15/29 | 546 | 483,277 | |
5.25%, 7/15/31 | 176 | 151,958 | |
IHO Verwaltungs GmbH, 8.75%, (8.75% cash or 9.5% PIK), 5/15/28(9)(10) | EUR | 500 | 559,986 |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 398 | 345,080 | |
4.375%, 1/15/31(1) | 452 | 388,593 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(1) | 225 | 169,538 | |
Sonic Automotive, Inc.: | |||
4.625%, 11/15/29(1) | 587 | 493,103 | |
4.875%, 11/15/31(1) | 239 | 193,224 | |
Wheel Pros, Inc., 6.50%, 5/15/29(1) | 406 | 192,850 | |
$ 8,097,423 | |||
Banks and Thrifts — 0.1% | |||
Synchrony Bank, 5.625%, 8/23/27 | 351 | $ 334,249 | |
$ 334,249 | |||
Building and Development — 1.7% | |||
Brookfield Property REIT, Inc./BPR Cumulus, LLC/BPR Nimbus, LLC/GGSI Sellco, LLC, 4.50%, 4/1/27(1) | 251 | $ 207,883 | |
Builders FirstSource, Inc.: | |||
4.25%, 2/1/32(1) | 335 | 293,909 | |
5.00%, 3/1/30(1) | 105 | 98,217 | |
Greystar Real Estate Partners, LLC, 5.75%, 12/1/25(1) | 550 | 538,560 | |
KB Home: | |||
4.00%, 6/15/31 | 443 | 383,797 | |
4.80%, 11/15/29 | 170 | 158,801 | |
MIWD Holdco II, LLC/MIWD Finance Corp., 5.50%, 2/1/30(1) | 490 | 412,193 |
Security | Principal Amount* (000's omitted) | Value | |
Building and Development (continued) | |||
Patrick Industries, Inc., 7.50%, 10/15/27(1) | 70 | $ 68,883 | |
Smyrna Ready Mix Concrete, LLC, 6.00%, 11/1/28(1) | 1,106 | 1,036,512 | |
Standard Industries, Inc.: | |||
2.25%, 11/21/26(9) | EUR | 1,500 | 1,455,477 |
4.75%, 1/15/28(1) | 753 | 705,009 | |
Victoria PLC, 3.625%, 8/24/26(9) | EUR | 1,550 | 1,375,793 |
$ 6,735,034 | |||
Business Equipment and Services — 0.7% | |||
Adtalem Global Education, Inc., 5.50%, 3/1/28(1) | 742 | $ 705,668 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
3.625%, 6/1/28(9) | EUR | 350 | 317,690 |
4.625%, 6/1/28(1) | 239 | 208,292 | |
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC: | |||
7.125%, 7/31/26(1) | 1,535 | 1,497,933 | |
7.125%, 7/31/26(9) | 260 | 253,722 | |
$ 2,983,305 | |||
Cable and Satellite Television — 1.2% | |||
CCO Holdings, LLC/CCO Holdings Capital Corp.: | |||
4.25%, 2/1/31(1) | 565 | $ 463,365 | |
4.50%, 8/15/30(1) | 900 | 756,720 | |
4.75%, 3/1/30(1) | 1,288 | 1,109,955 | |
4.75%, 2/1/32(1) | 225 | 186,433 | |
5.00%, 2/1/28(1) | 400 | 370,427 | |
6.375%, 9/1/29(1) | 601 | 571,707 | |
DISH Network Corp., 11.75%, 11/15/27(1) | 397 | 375,462 | |
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(9) | GBP | 831 | 861,302 |
$ 4,695,371 | |||
Capital Goods — 0.2% | |||
BWX Technologies, Inc.: | |||
4.125%, 6/30/28(1) | 576 | $ 530,002 | |
4.125%, 4/15/29(1) | 221 | 200,250 | |
$ 730,252 | |||
Chemicals — 0.2% | |||
Diamond BC B.V., 4.625%, 10/1/29(1) | 740 | $ 727,756 | |
$ 727,756 |
Security | Principal Amount* (000's omitted) | Value | |
Chemicals and Plastics — 1.5% | |||
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(1) | 128 | $ 105,600 | |
Avient Corp., 7.125%, 8/1/30(1) | 681 | 696,630 | |
Herens Holdco S.a.r.l., 4.75%, 5/15/28(1) | 452 | 375,205 | |
Herens Midco S.a.r.l., 5.25%, 5/15/29(9) | EUR | 600 | 447,962 |
INEOS Quattro Finance 2 PLC, 2.50%, 1/15/26(9) | EUR | 440 | 438,221 |
Italmatch Chemicals SpA: | |||
8.515%, 2/6/28(2)(9) | EUR | 200 | 211,785 |
10.00%, 2/6/28(9) | EUR | 650 | 725,052 |
NOVA Chemicals Corp., 4.875%, 6/1/24(1) | 259 | 255,258 | |
Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30(1) | 583 | 518,741 | |
SPCM S.A.: | |||
2.625%, 2/1/29(9) | EUR | 385 | 368,870 |
2.625%, 2/1/29(1) | EUR | 100 | 95,810 |
Univar Solutions USA, Inc., 5.125%, 12/1/27(1) | 300 | 300,819 | |
Valvoline, Inc., 3.625%, 6/15/31(1) | 699 | 581,848 | |
W.R. Grace Holdings, LLC: | |||
4.875%, 6/15/27(1) | 639 | 607,657 | |
7.375%, 3/1/31(1) | 185 | 185,602 | |
$ 5,915,060 | |||
Clothing/Textiles — 0.2% | |||
William Carter Co. (The), 5.625%, 3/15/27(1) | 678 | $ 670,423 | |
$ 670,423 | |||
Commercial Services — 1.9% | |||
AMN Healthcare, Inc., 4.00%, 4/15/29(1) | 770 | $ 678,512 | |
APi Group DE, Inc., 4.75%, 10/15/29(1) | 1,022 | 926,862 | |
EC Finance PLC, 3.00%, 10/15/26(9) | EUR | 381 | 395,332 |
HealthEquity, Inc., 4.50%, 10/1/29(1) | 718 | 642,933 | |
Korn Ferry, 4.625%, 12/15/27(1) | 620 | 589,697 | |
LABL, Inc., 5.875%, 11/1/28(1) | 598 | 552,776 | |
Metis Merger Sub, LLC, 6.50%, 5/15/29(1) | 1,051 | 891,835 | |
NESCO Holdings II, Inc., 5.50%, 4/15/29(1) | 349 | 315,667 | |
Sabre GLBL, Inc.: | |||
9.25%, 4/15/25(1) | 67 | 61,874 | |
11.25%, 12/15/27(1) | 311 | 273,486 | |
Verisure Holding AB: | |||
3.25%, 2/15/27(9) | EUR | 600 | 582,150 |
3.875%, 7/15/26(9) | EUR | 230 | 234,135 |
Verisure Midholding AB, 5.25%, 2/15/29(9) | EUR | 380 | 339,138 |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 1,110 | 1,041,782 | |
$ 7,526,179 |
Security | Principal Amount* (000's omitted) | Value | |
Computers — 0.8% | |||
Booz Allen Hamilton, Inc., 3.875%, 9/1/28(1) | 1,238 | $ 1,135,641 | |
Kyndryl Holdings, Inc., 2.70%, 10/15/28 | 775 | 654,897 | |
NCR Corp.: | |||
5.125%, 4/15/29(1) | 165 | 142,906 | |
5.25%, 10/1/30(1) | 255 | 214,649 | |
Presidio Holdings, Inc., 8.25%, 2/1/28(1) | 763 | 719,245 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29 | 129 | 112,039 | |
9.625%, 12/1/32(1) | 344 | 377,873 | |
$ 3,357,250 | |||
Containers and Glass Products — 0.5% | |||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC, 3.00%, 9/1/29(9) | EUR | 500 | $ 406,264 |
Canpack S.A./Canpack US, LLC, 3.875%, 11/15/29(1) | 547 | 439,322 | |
Crown Americas, LLC/Crown Americas Capital Corp. VI, 4.75%, 2/1/26 | 730 | 716,474 | |
Verallia S.A., 1.875%, 11/10/31(9) | EUR | 300 | 268,738 |
$ 1,830,798 | |||
Cosmetics/Toiletries — 0.2% | |||
Edgewell Personal Care Co.: | |||
4.125%, 4/1/29(1) | 238 | $ 211,073 | |
5.50%, 6/1/28(1) | 650 | 622,997 | |
$ 834,070 | |||
Distribution & Wholesale — 0.9% | |||
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(1) | 1,138 | $ 1,045,281 | |
Parts Europe S.A., 7.20%, (3 mo. EURIBOR + 4.00%), 7/20/27(2)(9) | EUR | 907 | 995,749 |
Performance Food Group, Inc.: | |||
4.25%, 8/1/29(1) | 551 | 502,101 | |
5.50%, 10/15/27(1) | 450 | 441,471 | |
6.875%, 5/1/25(1) | 209 | 210,979 | |
Ritchie Bros Holdings, Inc.: | |||
6.75%, 3/15/28(1) | 190 | 196,887 | |
7.75%, 3/15/31(1) | 352 | 374,440 | |
$ 3,766,908 | |||
Diversified Financial Services — 2.4% | |||
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 345 | $ 355,014 | |
Encore Capital Group, Inc.: | |||
5.375%, 2/15/26(9) | GBP | 330 | 369,937 |
7.427%, (3 mo. EURIBOR + 4.25%), 1/15/28(2)(9) | EUR | 643 | 681,092 |
Security | Principal Amount* (000's omitted) | Value | |
Diversified Financial Services (continued) | |||
Intrum AB: | |||
4.875%, 8/15/25(9) | EUR | 525 | $ 524,090 |
9.25%, 3/15/28(9) | EUR | 300 | 316,521 |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(1) | 482 | 431,855 | |
Jefferson Capital Holdings, LLC, 6.00%, 8/15/26(1) | 798 | 682,043 | |
KOC Holding AS, 6.50%, 3/11/25(9) | 1,400 | 1,382,522 | |
Oxford Finance, LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/1/27(1) | 443 | 412,033 | |
PRA Group, Inc., 7.375%, 9/1/25(1) | 784 | 782,245 | |
ProGroup AG, 3.00%, 3/31/26(9) | EUR | 500 | 518,017 |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: | |||
2.875%, 10/15/26(1) | 365 | 325,401 | |
3.625%, 3/1/29(1) | 849 | 718,687 | |
4.00%, 10/15/33(1) | 65 | 50,938 | |
Sherwood Financing PLC, 6.00%, 11/15/26(9) | GBP | 934 | 975,311 |
VistaJet Malta Finance PLC/XO Management Holding, Inc.: | |||
6.375%, 2/1/30(1) | 945 | 818,592 | |
7.875%, 5/1/27(1) | 250 | 237,761 | |
Vivion Investments S.a.r.l., 3.00%, 8/8/24(9) | EUR | 300 | 242,187 |
$ 9,824,246 | |||
Diversified Telecommunication Services — 0.4% | |||
Altice France S.A.: | |||
5.875%, 2/1/27(9) | EUR | 752 | $ 720,439 |
8.125%, 2/1/27(1) | 795 | 710,594 | |
$ 1,431,033 | |||
Drugs — 0.6% | |||
Catalent Pharma Solutions, Inc., 2.375%, 3/1/28(9) | EUR | 824 | $ 765,423 |
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(1)(11) | 400 | 285,000 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo US, Inc., 6.125%, 4/1/29(1)(11) | 459 | 322,035 | |
Perrigo Finance Unlimited Co.: | |||
4.40%, 6/15/30 | 899 | 812,801 | |
4.90%, 12/15/44 | 200 | 145,594 | |
$ 2,330,853 | |||
Ecological Services and Equipment — 1.3% | |||
Clean Harbors, Inc.: | |||
4.875%, 7/15/27(1) | 200 | $ 193,887 | |
5.125%, 7/15/29(1) | 674 | 648,543 | |
6.375%, 2/1/31(1) | 95 | 97,030 | |
Covanta Holding Corp., 4.875%, 12/1/29(1) | 750 | 668,175 |
Security | Principal Amount* (000's omitted) | Value | |
Ecological Services and Equipment (continued) | |||
GFL Environmental, Inc.: | |||
3.50%, 9/1/28(1) | 1,416 | $ 1,288,646 | |
4.25%, 6/1/25(1) | 313 | 304,920 | |
4.75%, 6/15/29(1) | 1,106 | 1,030,449 | |
Paprec Holding S.A.: | |||
3.50%, 7/1/28(9) | EUR | 716 | 705,759 |
4.00%, 3/31/25(9) | EUR | 400 | 433,118 |
$ 5,370,527 | |||
Electric Utilities — 1.2% | |||
EDP - Energias de Portugal S.A., 4.496% to 1/30/24, 4/30/79(9)(12) | EUR | 1,500 | $ 1,642,471 |
Electricite de France S.A., 7.50% to 9/6/28(9)(12)(13) | EUR | 400 | 431,725 |
Energizer Gamma Acquisition B.V., 3.50%, 6/30/29(9) | EUR | 550 | 481,279 |
FirstEnergy Corp.: | |||
2.65%, 3/1/30 | 585 | 505,884 | |
Series B, 4.15%, 7/15/27 | 494 | 481,124 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 578 | 538,249 | |
TransAlta Corp., 7.75%, 11/15/29 | 448 | 470,978 | |
WESCO Distribution, Inc., 7.25%, 6/15/28(1) | 267 | 274,430 | |
$ 4,826,140 | |||
Electronics/Electrical — 0.7% | |||
Coherent Corp., 5.00%, 12/15/29(1) | 795 | $ 716,546 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 506 | 438,731 | |
Open Text Corp., 3.875%, 2/15/28(1) | 798 | 708,508 | |
Sensata Technologies B.V., 5.00%, 10/1/25(1) | 436 | 429,913 | |
Sensata Technologies, Inc., 4.375%, 2/15/30(1) | 360 | 328,464 | |
$ 2,622,162 | |||
Energy — 0.9% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 1,078 | $ 920,588 | |
Greenko Solar Mauritius, Ltd., 5.55%, 1/29/25(1) | 1,100 | 1,057,375 | |
New Fortress Energy, Inc., 6.50%, 9/30/26(1) | 941 | 867,706 | |
Sunoco, L.P./Sunoco Finance Corp.: | |||
4.50%, 5/15/29 | 583 | 525,901 | |
4.50%, 4/30/30 | 372 | 332,434 | |
$ 3,704,004 | |||
Engineering & Construction — 0.3% | |||
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(1) | 42 | $ 39,523 |
Security | Principal Amount* (000's omitted) | Value | |
Engineering & Construction (continued) | |||
Dycom Industries, Inc., 4.50%, 4/15/29(1) | 377 | $ 344,538 | |
TopBuild Corp., 4.125%, 2/15/32(1) | 791 | 680,870 | |
$ 1,064,931 | |||
Entertainment — 2.1% | |||
Allwyn Entertainment Financing UK PLC, 7.25%, 4/30/30(9) | EUR | 775 | $ 865,997 |
Banijay Entertainment SASU, 5.375%, 3/1/25(1) | 550 | 536,932 | |
Boyne USA, Inc., 4.75%, 5/15/29(1) | 359 | 325,507 | |
Caesars Entertainment, Inc.: | |||
6.25%, 7/1/25(1) | 1,031 | 1,033,186 | |
7.00%, 2/15/30(1) | 250 | 252,456 | |
8.125%, 7/1/27(1) | 508 | 518,781 | |
CDI Escrow Issuer, Inc., 5.75%, 4/1/30(1) | 519 | 500,901 | |
CPUK Finance, Ltd., 4.875%, 2/28/47(9) | GBP | 1,130 | 1,348,218 |
Jacobs Entertainment, Inc., 6.75%, 2/15/29(1) | 755 | 657,529 | |
Lottomatica SpA: | |||
5.125%, 7/15/25(9) | EUR | 365 | 406,588 |
6.25%, 7/15/25(9) | EUR | 300 | 334,884 |
Scientific Games International, Inc., 7.00%, 5/15/28(1) | 982 | 980,856 | |
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(1) | 796 | 739,830 | |
$ 8,501,665 | |||
Environmental — 0.1% | |||
Clearway Energy Operating, LLC, 4.75%, 3/15/28(1) | 350 | $ 332,323 | |
$ 332,323 | |||
Financial Intermediaries — 1.3% | |||
Ally Financial, Inc., Series B, 4.70% to 5/15/26(12)(13) | 635 | $ 470,297 | |
Compass Group Diversified Holdings, LLC, 5.25%, 4/15/29(1) | 560 | 504,559 | |
Ford Motor Credit Co., LLC: | |||
2.70%, 8/10/26 | 800 | 710,619 | |
2.90%, 2/16/28 | 203 | 175,981 | |
3.815%, 11/2/27 | 641 | 575,730 | |
4.125%, 8/17/27 | 457 | 419,898 | |
5.113%, 5/3/29 | 300 | 280,016 | |
5.125%, 6/16/25 | 273 | 266,165 | |
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.: | |||
6.25%, 5/15/26 | 300 | 295,590 | |
6.375%, 12/15/25 | 680 | 675,310 | |
MSCI, Inc.: | |||
3.625%, 9/1/30(1) | 357 | 308,496 |
Security | Principal Amount* (000's omitted) | Value | |
Financial Intermediaries (continued) | |||
MSCI, Inc.: (continued) | |||
3.875%, 2/15/31(1) | 721 | $ 632,530 | |
$ 5,315,191 | |||
Food Products — 0.7% | |||
Chobani, LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25(1) | 689 | $ 676,336 | |
Nomad Foods Bondco PLC, 2.50%, 6/24/28(9) | EUR | 1,302 | 1,246,898 |
Pilgrim's Pride Corp., 3.50%, 3/1/32 | 951 | 766,454 | |
$ 2,689,688 | |||
Food Service — 0.6% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.: | |||
3.875%, 1/15/28(1) | 386 | $ 362,581 | |
4.375%, 1/15/28(1) | 473 | 442,778 | |
IRB Holding Corp., 7.00%, 6/15/25(1) | 37 | 37,490 | |
US Foods, Inc., 4.75%, 2/15/29(1) | 816 | 759,771 | |
Yum! Brands, Inc., 3.625%, 3/15/31 | 758 | 670,532 | |
$ 2,273,152 | |||
Food/Drug Retailers — 0.2% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC, 5.875%, 2/15/28(1) | 806 | $ 798,923 | |
$ 798,923 | |||
Health Care — 3.6% | |||
Avantor Funding, Inc., 2.625%, 11/1/25(9) | EUR | 300 | $ 317,035 |
Centene Corp.: | |||
3.00%, 10/15/30 | 584 | 498,307 | |
3.375%, 2/15/30 | 354 | 312,886 | |
4.625%, 12/15/29 | 643 | 606,606 | |
Chrome Holdco SASU, 5.00%, 5/31/29(9) | EUR | 1,100 | 864,966 |
Encompass Health Corp., 4.75%, 2/1/30 | 616 | 568,816 | |
Grifols Escrow Issuer S.A.: | |||
3.875%, 10/15/28(9) | EUR | 2,350 | 2,013,310 |
4.75%, 10/15/28(1) | 595 | 477,707 | |
Grifols S.A., 1.625%, 2/15/25(9) | EUR | 400 | 418,583 |
IQVIA, Inc.: | |||
2.25%, 3/15/29(9) | EUR | 611 | 562,603 |
2.875%, 6/15/28(9) | EUR | 350 | 341,712 |
Legacy LifePoint Health, LLC, 4.375%, 2/15/27(1) | 354 | 301,695 | |
LifePoint Health, Inc., 5.375%, 1/15/29(1) | 377 | 236,692 | |
Medline Borrower, L.P., 5.25%, 10/1/29(1) | 1,095 | 948,213 |
Security | Principal Amount* (000's omitted) | Value | |
Health Care (continued) | |||
ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29(1) | 414 | $ 334,305 | |
ModivCare, Inc., 5.875%, 11/15/25(1) | 491 | 469,646 | |
Molina Healthcare, Inc.: | |||
3.875%, 11/15/30(1) | 573 | 505,978 | |
3.875%, 5/15/32(1) | 814 | 698,406 | |
Option Care Health, Inc., 4.375%, 10/31/29(1) | 589 | 530,124 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(1) | 643 | 535,587 | |
Team Health Holdings, Inc., 6.375%, 2/1/25(1) | 639 | 330,316 | |
Tenet Healthcare Corp.: | |||
6.125%, 10/1/28 | 1,004 | 975,294 | |
6.875%, 11/15/31 | 313 | 307,026 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(1) | 845 | 755,075 | |
Varex Imaging Corp., 7.875%, 10/15/27(1) | 747 | 740,326 | |
$ 14,651,214 | |||
Health Care Providers & Services — 0.1% | |||
Catalent Pharma Solutions, Inc., 3.50%, 4/1/30(1) | 407 | $ 345,481 | |
$ 345,481 | |||
Home Furnishings — 0.2% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(1) | 126 | $ 111,195 | |
Tempur Sealy International, Inc., 3.875%, 10/15/31(1) | 673 | 558,902 | |
$ 670,097 | |||
Industrial Equipment — 0.1% | |||
Madison IAQ, LLC, 5.875%, 6/30/29(1) | 744 | $ 583,081 | |
$ 583,081 | |||
Insurance — 0.5% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 600 | $ 560,885 | |
Galaxy Finco, Ltd., 9.25%, 7/31/27(9) | GBP | 981 | 1,091,092 |
Jones DesLauriers Insurance Management, Inc., 10.50%, 12/15/30(1) | 423 | 430,328 | |
$ 2,082,305 | |||
Internet Software & Services — 0.5% | |||
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(1) | 195 | $ 168,038 | |
6.125%, 12/1/28(1) | 405 | 351,747 |
Security | Principal Amount* (000's omitted) | Value | |
Internet Software & Services (continued) | |||
Match Group Holdings II, LLC, 3.625%, 10/1/31(1) | 719 | $ 588,192 | |
Science Applications International Corp., 4.875%, 4/1/28(1) | 908 | 857,915 | |
$ 1,965,892 | |||
Leisure Goods/Activities/Movies — 1.8% | |||
Cinemark USA, Inc.: | |||
5.25%, 7/15/28(1) | 390 | $ 348,142 | |
5.875%, 3/15/26(1) | 112 | 107,126 | |
8.75%, 5/1/25(1) | 248 | 253,294 | |
LHMC Finco 2 S.a.r.l., 7.25%, (7.25% cash or 8.00% PIK), 10/2/25(9)(10) | EUR | 1,362 | 1,411,790 |
Life Time, Inc.: | |||
5.75%, 1/15/26(1) | 401 | 391,969 | |
8.00%, 4/15/26(1) | 701 | 697,741 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 5/15/28(1)(3) | 291 | 292,157 | |
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 452 | 425,295 | |
Motion Finco S.a.r.l., 7.00%, 5/15/25(9) | EUR | 435 | 486,719 |
National CineMedia, LLC: | |||
5.75%, 8/15/26(11) | 333 | 10,400 | |
5.875%, 4/15/28(1)(11) | 685 | 247,456 | |
NCL Corp., Ltd.: | |||
3.625%, 12/15/24(1) | 135 | 126,719 | |
5.875%, 3/15/26(1) | 212 | 182,839 | |
5.875%, 2/15/27(1) | 102 | 96,312 | |
7.75%, 2/15/29(1) | 86 | 72,897 | |
NCL Finance, Ltd., 6.125%, 3/15/28(1) | 295 | 238,490 | |
Playtika Holding Corp., 4.25%, 3/15/29(1) | 757 | 644,131 | |
Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27(1) | 480 | 511,094 | |
SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29(1) | 158 | 142,347 | |
Viking Cruises, Ltd.: | |||
5.875%, 9/15/27(1) | 485 | 416,656 | |
7.00%, 2/15/29(1) | 205 | 173,418 | |
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29(1) | 131 | 110,836 | |
$ 7,387,828 | |||
Machinery — 0.1% | |||
Chart Industries, Inc., 9.50%, 1/1/31(1) | 351 | $ 372,032 | |
$ 372,032 | |||
Media — 0.3% | |||
Beasley Mezzanine Holdings, LLC, 8.625%, 2/1/26(1) | 470 | $ 306,088 |
Security | Principal Amount* (000's omitted) | Value | |
Media (continued) | |||
Outfront Media Capital, LLC/Outfront Media Capital Corp., 4.625%, 3/15/30(1) | 382 | $ 322,855 | |
Univision Communications, Inc., 7.375%, 6/30/30(1) | 564 | 541,750 | |
$ 1,170,693 | |||
Metals/Mining — 0.9% | |||
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 800 | $ 768,006 | |
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 416 | 391,131 | |
Hudbay Minerals, Inc.: | |||
4.50%, 4/1/26(1) | 503 | 468,881 | |
6.125%, 4/1/29(1) | 220 | 205,970 | |
Novelis Corp., 3.25%, 11/15/26(1) | 237 | 217,224 | |
Novelis Sheet Ingot GmbH, 3.375%, 4/15/29(9) | EUR | 900 | 858,335 |
Roller Bearing Co. of America, Inc., 4.375%, 10/15/29(1) | 902 | 819,301 | |
$ 3,728,848 | |||
Nonferrous Metals/Minerals — 0.3% | |||
Eldorado Gold Corp., 6.25%, 9/1/29(1) | 485 | $ 451,494 | |
New Gold, Inc., 7.50%, 7/15/27(1) | 913 | 880,944 | |
$ 1,332,438 | |||
Oil and Gas — 2.7% | |||
Aethon III BR, LLC, 12.40%, (1 mo. USD LIBOR + 7.50%), 10/1/25(2) | 757 | $ 754,611 | |
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(1) | 450 | 437,457 | |
Callon Petroleum Co., 8.00%, 8/1/28(1) | 704 | 695,389 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.00%, 5/1/29(1) | 487 | 460,571 | |
CVR Energy, Inc., 5.75%, 2/15/28(1) | 865 | 774,062 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 1,150 | 1,135,131 | |
Occidental Petroleum Corp.: | |||
6.20%, 3/15/40 | 141 | 144,954 | |
6.375%, 9/1/28 | 167 | 174,342 | |
6.625%, 9/1/30 | 881 | 941,340 | |
Parkland Corp.: | |||
4.50%, 10/1/29(1) | 480 | 421,142 | |
4.625%, 5/1/30(1) | 292 | 254,415 | |
Permian Resources Operating, LLC: | |||
5.875%, 7/1/29(1) | 451 | 427,243 | |
7.75%, 2/15/26(1) | 362 | 366,465 | |
Precision Drilling Corp., 7.125%, 1/15/26(1) | 520 | 505,653 | |
Tap Rock Resources, LLC, 7.00%, 10/1/26(1) | 847 | 814,649 |
Security | Principal Amount* (000's omitted) | Value | |
Oil and Gas (continued) | |||
Targa Resources Partners, L.P./Targa Resources Partners Finance Corp.: | |||
4.00%, 1/15/32 | 268 | $ 235,793 | |
4.875%, 2/1/31 | 322 | 303,748 | |
6.875%, 1/15/29 | 341 | 348,710 | |
Transocean Poseidon, Ltd., 6.875%, 2/1/27(1) | 475 | 464,183 | |
Transocean, Inc., 8.75%, 2/15/30(1) | 217 | 219,170 | |
Wintershall Dea Finance 2 B.V., 2.499% to 4/20/26(9)(12)(13) | EUR | 1,300 | 1,211,993 |
$ 11,091,021 | |||
Packaging & Containers — 0.7% | |||
Kleopatra Finco S.a.r.l., 4.25%, 3/1/26(9) | EUR | 752 | $ 675,747 |
Schoeller Packaging B.V., 6.375%, 11/1/24(9) | EUR | 1,050 | 832,003 |
Sealed Air Corp./Sealed Air Corp. U.S., 6.125%, 2/1/28(1) | 193 | 196,091 | |
Trivium Packaging Finance B.V.: | |||
3.75%, 8/15/26(9) | EUR | 575 | 585,291 |
6.404%, (3 mo. EURIBOR + 3.75%), 8/15/26(2)(9) | EUR | 500 | 542,245 |
$ 2,831,377 | |||
Pharmaceuticals — 0.7% | |||
BellRing Brands, Inc., 7.00%, 3/15/30(1) | 535 | $ 548,577 | |
Cheplapharm Arzneimittel GmbH, 8.024%, (3 mo. EURIBOR + 4.75%), 5/15/30(2)(3)(9) | EUR | 825 | 899,977 |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(1) | 575 | 551,137 | |
Horizon Therapeutics USA, Inc., 5.50%, 8/1/27(1) | 445 | 457,516 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(1) | 672 | 538,316 | |
$ 2,995,523 | |||
Pipelines — 1.5% | |||
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: | |||
5.75%, 3/1/27(1) | 493 | $ 477,536 | |
7.875%, 5/15/26(1) | 148 | 152,111 | |
Cheniere Energy Partners, L.P., 4.00%, 3/1/31 | 611 | 547,258 | |
Cheniere Energy, Inc., 4.625%, 10/15/28 | 597 | 569,598 | |
DT Midstream, Inc., 4.125%, 6/15/29(1) | 599 | 531,533 | |
Energy Transfer, L.P., 5.00%, 5/15/50 | 337 | 286,475 | |
EQM Midstream Partners, L.P.: | |||
4.50%, 1/15/29(1) | 743 | 632,394 | |
6.00%, 7/1/25(1) | 75 | 73,780 | |
6.50%, 7/1/27(1) | 405 | 395,417 | |
7.50%, 6/1/30(1) | 296 | 287,625 |
Security | Principal Amount* (000's omitted) | Value | |
Pipelines (continued) | |||
Kinetik Holdings, L.P., 5.875%, 6/15/30(1) | 679 | $ 651,188 | |
Plains All American Pipeline, L.P., Series B, 8.974%, (3 mo. USD LIBOR + 4.11%)(2)(13) | 601 | 534,890 | |
Venture Global Calcasieu Pass, LLC, 3.875%, 8/15/29(1) | 586 | 526,992 | |
Western Midstream Operating, L.P., 4.30%, 2/1/30 | 285 | 260,407 | |
$ 5,927,204 | |||
Publishing — 0.2% | |||
McGraw-Hill Education, Inc.: | |||
5.75%, 8/1/28(1) | 485 | $ 431,222 | |
8.00%, 8/1/29(1) | 624 | 537,202 | |
$ 968,424 | |||
Radio and Television — 0.6% | |||
Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28(1) | 635 | $ 482,543 | |
CMG Media Corp., 8.875%, 12/15/27(1) | 1,005 | 780,412 | |
Sirius XM Radio, Inc.: | |||
3.125%, 9/1/26(1) | 203 | 181,894 | |
3.875%, 9/1/31(1) | 475 | 359,476 | |
5.50%, 7/1/29(1) | 900 | 802,693 | |
$ 2,607,018 | |||
Real Estate Investment Trusts (REITs) — 0.9% | |||
CTR Partnership, L.P./CareTrust Capital Corp., 3.875%, 6/30/28(1) | 662 | $ 578,916 | |
Emeria SASU: | |||
3.375%, 3/31/28(9) | EUR | 600 | 519,531 |
7.75%, 3/31/28(9) | EUR | 225 | 233,424 |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 600 | 533,224 | |
3.75%, 9/15/30(1) | 250 | 196,728 | |
Heimstaden Bostad AB, 3.248% to 11/19/24(9)(12)(13) | EUR | 950 | 696,408 |
VICI Properties, L.P./VICI Note Co., Inc.: | |||
3.75%, 2/15/27(1) | 75 | 70,188 | |
4.625%, 12/1/29(1) | 648 | 602,620 | |
$ 3,431,039 | |||
Retail — 1.7% | |||
Arko Corp., 5.125%, 11/15/29(1) | 730 | $ 592,176 | |
Dufry One B.V., 3.375%, 4/15/28(9) | EUR | 1,350 | 1,321,144 |
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28(1) | 538 | 539,232 | |
Ferrellgas, L.P./Ferrellgas Finance Corp., 5.875%, 4/1/29(1) | 383 | 323,992 |
Security | Principal Amount* (000's omitted) | Value | |
Retail (continued) | |||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 361 | $ 316,406 | |
Ken Garff Automotive, LLC, 4.875%, 9/15/28(1) | 724 | 633,036 | |
Kohl's Corp., 3.625%, 5/1/31 | 456 | 311,486 | |
LCM Investments Holdings II, LLC, 4.875%, 5/1/29(1) | 775 | 661,473 | |
Macy's Retail Holdings, LLC, 5.875%, 4/1/29(1) | 186 | 170,549 | |
Midco GB SASU, 7.75%, (7.75% cash or 8.50% PIK), 11/1/27(9)(10) | EUR | 815 | 822,792 |
Punch Finance PLC, 6.125%, 6/30/26(9) | GBP | 745 | 807,845 |
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., 5.00%, 6/1/31(1) | 254 | 222,688 | |
Victoria's Secret & Co., 4.625%, 7/15/29(1) | 383 | 310,150 | |
$ 7,032,969 | |||
Retailers (Except Food and Drug) — 0.7% | |||
Bath & Body Works, Inc.: | |||
6.875%, 11/1/35 | 410 | $ 371,645 | |
6.95%, 3/1/33 | 282 | 249,096 | |
7.60%, 7/15/37 | 55 | 48,918 | |
9.375%, 7/1/25(1) | 54 | 57,852 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 923 | 939,356 | |
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/29(1) | 844 | 833,058 | |
Superior Plus, L.P./Superior General Partner, Inc., 4.50%, 3/15/29(1) | 437 | 387,518 | |
$ 2,887,443 | |||
Semiconductors & Semiconductor Equipment — 0.2% | |||
Entegris Escrow Corp., 4.75%, 4/15/29(1) | 218 | $ 203,004 | |
ON Semiconductor Corp., 3.875%, 9/1/28(1) | 661 | 595,725 | |
$ 798,729 | |||
Software — 0.2% | |||
Clarivate Science Holdings Corp., 4.875%, 7/1/29(1) | 447 | $ 403,094 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 451 | 387,957 | |
$ 791,051 | |||
Software and Services — 0.4% | |||
Fair Isaac Corp., 4.00%, 6/15/28(1) | 667 | $ 622,330 | |
Gartner, Inc.: | |||
3.75%, 10/1/30(1) | 547 | 478,277 | |
4.50%, 7/1/28(1) | 534 | 502,752 | |
$ 1,603,359 |
Security | Principal Amount* (000's omitted) | Value | |
Specialty Retail — 0.1% | |||
Fiber Bidco SpA: | |||
9.015%, (3 mo. EURIBOR + 6.00%), 10/25/27(2)(9) | EUR | 200 | $ 222,153 |
11.00%, 10/25/27(9) | EUR | 270 | 321,281 |
$ 543,434 | |||
Steel — 0.1% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 401 | $ 405,864 | |
TMS International Corp., 6.25%, 4/15/29(1) | 89 | 69,087 | |
$ 474,951 | |||
Surface Transport — 0.1% | |||
Hertz Corp. (The): | |||
4.625%, 12/1/26(1) | 47 | $ 42,379 | |
5.00%, 12/1/29(1) | 379 | 310,409 | |
$ 352,788 | |||
Technology — 0.6% | |||
Almaviva-The Italian Innovation Co. SpA, 4.875%, 10/30/26(9) | EUR | 450 | $ 467,963 |
Athenahealth Group, Inc., 6.50%, 2/15/30(1) | 750 | 616,731 | |
International Game Technology PLC: | |||
3.50%, 6/15/26(9) | EUR | 250 | 268,588 |
4.125%, 4/15/26(1) | 573 | 550,627 | |
6.25%, 1/15/27(1) | 200 | 202,987 | |
6.50%, 2/15/25(1) | 383 | 388,201 | |
$ 2,495,097 | |||
Telecommunications — 3.7% | |||
Ciena Corp., 4.00%, 1/31/30(1) | 491 | $ 431,897 | |
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(1) | 1,299 | 1,239,731 | |
Iliad Holding SASU: | |||
5.625%, 10/15/28(9) | EUR | 146 | 147,363 |
6.50%, 10/15/26(1) | 743 | 715,591 | |
7.00%, 10/15/28(1) | 362 | 342,863 | |
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 1,141 | 978,556 | |
Level 3 Financing, Inc.: | |||
4.25%, 7/1/28(1) | 594 | 346,953 | |
4.625%, 9/15/27(1) | 232 | 143,534 | |
Lorca Telecom Bondco S.A., 4.00%, 9/18/27(9) | EUR | 1,573 | 1,597,322 |
Network i2i, Ltd., 3.975% to 3/3/26(9)(12)(13) | 1,000 | 886,280 | |
Sprint Capital Corp., 6.875%, 11/15/28 | 1,091 | 1,177,169 | |
Sprint, LLC: | |||
7.625%, 2/15/25 | 324 | 334,170 |
Security | Principal Amount* (000's omitted) | Value | |
Telecommunications (continued) | |||
Sprint, LLC: (continued) | |||
7.625%, 3/1/26 | 225 | $ 238,458 | |
Summer (BC) Bidco B, LLC, 5.50%, 10/31/26(1) | 383 | 321,771 | |
Summer (BC) Holdco A S.a.r.l., 9.25%, 10/31/27(9) | EUR | 327 | 292,303 |
Summer (BC) Holdco B S.a.r.l., 5.75%, 10/31/26(9) | EUR | 600 | 577,277 |
Telecom Italia Finance S.A., 7.75%, 1/24/33 | EUR | 425 | 497,273 |
Telecom Italia SpA: | |||
2.75%, 4/15/25(9) | EUR | 367 | 383,676 |
4.00%, 4/11/24(9) | EUR | 600 | 653,702 |
6.875%, 2/15/28(9) | EUR | 500 | 554,578 |
Telefonica Europe B.V., 7.125% to 8/23/28(9)(12)(13) | EUR | 400 | 449,500 |
T-Mobile USA, Inc., 2.25%, 2/15/26 | 520 | 484,395 | |
Viasat, Inc., 5.625%, 4/15/27(1) | 583 | 541,324 | |
Viavi Solutions, Inc., 3.75%, 10/1/29(1) | 601 | 502,568 | |
Wp/ap Telecom Holdings III B.V., 5.50%, 1/15/30(9) | EUR | 1,125 | 1,016,783 |
$ 14,855,037 | |||
Transportation — 0.4% | |||
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(1) | 457 | $ 410,701 | |
Getlink S.E., 3.50%, 10/30/25(9) | EUR | 550 | 590,894 |
Seaspan Corp., 5.50%, 8/1/29(1) | 836 | 669,837 | |
$ 1,671,432 | |||
Utilities — 1.1% | |||
Calpine Corp., 5.00%, 2/1/31(1) | 615 | $ 518,810 | |
Leeward Renewable Energy Operations, LLC, 4.25%, 7/1/29(1) | 411 | 370,310 | |
NextEra Energy Operating Partners, L.P., 4.50%, 9/15/27(1) | 332 | 312,623 | |
NRG Energy, Inc.: | |||
3.625%, 2/15/31(1) | 563 | 456,559 | |
3.875%, 2/15/32(1) | 118 | 95,431 | |
5.75%, 1/15/28 | 580 | 566,203 | |
10.25% to 3/15/28(1)(12)(13) | 509 | 499,943 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 460 | 427,154 | |
5.00%, 1/31/28(1) | 450 | 431,370 | |
Vistra Operations Co., LLC: | |||
4.375%, 5/1/29(1) | 193 | 172,727 |
Security | Principal Amount* (000's omitted) | Value | |
Utilities (continued) | |||
Vistra Operations Co., LLC: (continued) | |||
5.00%, 7/31/27(1) | 580 | $ 552,117 | |
$ 4,403,247 | |||
Total Corporate Bonds (identified cost $225,937,762) | $212,036,746 | ||
Foreign Corporate Bonds — 0.4% | |||
Chemicals and Plastics — 0.2% | |||
Braskem Idesa SAPI, 7.45%, 11/15/29(9) | 1,150 | $ 910,960 | |
$ 910,960 | |||
Real Estate Investment Trusts (REITs) — 0.1% | |||
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(9)(11) | 1,250 | $ 163,594 | |
$ 163,594 | |||
Telecommunications — 0.1% | |||
VTR Comunicaciones SpA, 5.125%, 1/15/28(9) | 667 | $ 373,183 | |
$ 373,183 | |||
Total Foreign Corporate Bonds (identified cost $3,227,895) | $ 1,447,737 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Distribution & Wholesale — 0.2% | |||
WESCO International, Inc., Series A, 10.625% to 6/22/25 | 36,126 | $ 982,627 | |
Total Preferred Stocks (identified cost $1,027,930) | $ 982,627 |
Senior Floating-Rate Loans — 33.1%(14) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Aerospace and Defense — 0.7% | |||
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 8.582%, (SOFR + 3.50%), 4/6/26 | $ | 506 | $ 497,848 |
Term Loan, 8.582%, (SOFR + 3.50%), 4/6/26 | 272 | 267,660 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Aerospace and Defense (continued) | |||
TransDigm, Inc., Term Loan, 8.148%, (SOFR + 3.25%), 8/24/28 | $ | 1,000 | $ 1,000,739 |
WP CPP Holdings, LLC, Term Loan, 9.03%, (3 mo. USD LIBOR + 3.75%), 4/30/25 | 1,110 | 1,021,263 | |
$ 2,787,510 | |||
Airlines — 0.6% | |||
American Airlines, Inc., Term Loan, 10.00%, (3 mo. USD LIBOR + 4.75%), 4/20/28 | $ | 1,500 | $ 1,512,750 |
Mileage Plus Holdings, LLC, Term Loan, 10.213%, (3 mo. USD LIBOR + 5.25%), 6/21/27 | 555 | 578,855 | |
United Airlines, Inc., Term Loan, 8.77%, (1 mo. USD LIBOR + 3.75%), 4/21/28 | 472 | 470,754 | |
$ 2,562,359 | |||
Apparel & Luxury Goods — 0.1% | |||
Hanesbrands, Inc., Term Loan, 8.732%, (SOFR + 3.75%), 3/8/30 | $ | 550 | $ 547,938 |
$ 547,938 | |||
Auto Components — 0.6% | |||
Adient US, LLC, Term Loan, 4/10/28(15) | $ | 1,000 | $ 1,001,328 |
Clarios Global, L.P., Term Loan, 4/26/30(15) | 149 | 148,814 | |
DexKo Global, Inc., Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 10/4/28 | 520 | 496,361 | |
LTI Holdings, Inc., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 9/6/25 | 715 | 698,402 | |
$ 2,344,905 | |||
Automobiles — 0.3% | |||
Bombardier Recreational Products, Inc., Term Loan, 5/24/27(15) | $ | 1,400 | $ 1,368,282 |
$ 1,368,282 | |||
Biotechnology — 0.2% | |||
Alltech, Inc., Term Loan, 9.097%, (SOFR + 4.00%), 10/13/28 | $ | 736 | $ 713,569 |
$ 713,569 | |||
Building Products — 0.4% | |||
Oscar AcquisitionCo, LLC, Term Loan, 9.498%, (SOFR + 4.50%), 4/29/29 | $ | 746 | $ 723,023 |
Standard Industries, Inc., Term Loan, 7.329%, (SOFR + 2.25%), 9/22/28 | 992 | 990,801 | |
$ 1,713,824 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Capital Markets — 0.9% | |||
Advisor Group, Inc., Term Loan, 9.525%, (1 mo. USD LIBOR + 4.50%), 7/31/26 | $ | 967 | $ 962,743 |
Aretec Group, Inc.: | |||
Term Loan, 9.332%, (SOFR + 4.25%), 10/1/25 | 696 | 693,723 | |
Term Loan, 3/8/30(15) | 475 | 470,052 | |
Mariner Wealth Advisors, LLC, Term Loan, 8/18/28(15) | 500 | 489,375 | |
Victory Capital Holdings, Inc., Term Loan, 7.287%, (SOFR + 2.25%), 7/1/26 | 1,000 | 996,354 | |
$ 3,612,247 | |||
Chemicals — 2.5% | |||
Axalta Coating Systems Dutch Holding B B.V., Term Loan, 7.898%, (SOFR + 3.00%), 12/20/29 | $ | 926 | $ 930,158 |
Charter NEX US, Inc., Term Loan, 8.847%, (SOFR + 3.75%), 12/1/27 | 500 | 494,331 | |
CPC Acquisition Corp., Term Loan, 8.91%, (SOFR + 3.75%), 12/29/27 | 659 | 505,149 | |
INEOS Quattro Holdings UK, Ltd., Term Loan, 8.832%, (SOFR + 3.75%), 3/14/30 | 275 | 274,656 | |
INEOS US Finance, LLC: | |||
Term Loan, 8.568%, (SOFR + 3.50%), 2/18/30 | 500 | 499,896 | |
Term Loan, 8.832%, (SOFR + 3.75%), 11/8/27 | 1,000 | 1,000,000 | |
Kraton Corporation, Term Loan, 3/15/29(15) | 1,000 | 999,625 | |
Messer Industries GmbH, Term Loan, 7.66%, (SOFR + 2.50%), 3/2/26 | 1,315 | 1,314,777 | |
Momentive Performance Materials, Inc., Term Loan, 9.482%, (SOFR + 4.50%), 3/29/28 | 550 | 548,969 | |
Olympus Water US Holding Corporation, Term Loan, 9.498%, (SOFR + 4.50%), 11/9/28 | 985 | 946,831 | |
PQ Corporation, Term Loan, 7.645%, (3 mo. USD LIBOR + 2.50%), 6/9/28 | 1,009 | 1,007,823 | |
Starfruit Finco B.V., Term Loan, 8.99%, (SOFR + 4.00%), 4/3/28 | 425 | 425,000 | |
W.R. Grace & Co.-Conn., Term Loan, 8.938%, (3 mo. USD LIBOR + 3.75%), 9/22/28 | 983 | 984,969 | |
$ 9,932,184 | |||
Commercial Services & Supplies — 1.4% | |||
Allied Universal Holdco, LLC, Term Loan, 8.832%, (SOFR + 3.75%), 5/12/28 | $ | 634 | $ 612,804 |
Belfor Holdings, Inc., Term Loan, 4/6/26(15) | 500 | 500,625 | |
EnergySolutions, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 5/9/25 | 829 | 804,158 | |
GFL Environmental, Inc., Term Loan, 5/28/27(15) | 1,400 | 1,402,875 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Commercial Services & Supplies (continued) | |||
Prime Security Services Borrower, LLC, Term Loan, 9/23/26(15) | $ | 1,000 | $ 999,740 |
Tempo Acquisition, LLC, Term Loan, 7.982%, (SOFR + 3.00%), 8/31/28 | 1,481 | 1,482,330 | |
$ 5,802,532 | |||
Communications Equipment — 0.1% | |||
CommScope, Inc., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 4/6/26 | $ | 582 | $ 540,805 |
$ 540,805 | |||
Construction Materials — 0.2% | |||
Quikrete Holdings, Inc., Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 3/18/29 | $ | 792 | $ 789,835 |
$ 789,835 | |||
Containers & Packaging — 0.3% | |||
Clydesdale Acquisition Holdings, Inc., Term Loan, 9.257%, (SOFR + 4.18%), 4/13/29 | $ | 746 | $ 730,663 |
Trident TPI Holdings, Inc., Term Loan, 9/15/28(15) | 500 | 486,562 | |
$ 1,217,225 | |||
Distributors — 0.3% | |||
Autokiniton US Holdings, Inc., Term Loan, 9.597%, (SOFR + 4.50%), 4/6/28 | $ | 1,092 | $ 1,074,636 |
$ 1,074,636 | |||
Diversified Consumer Services — 0.2% | |||
KUEHG Corp., Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 2/21/25 | $ | 750 | $ 746,250 |
$ 746,250 | |||
Diversified Telecommunication Services — 0.9% | |||
Altice France S.A., Term Loan, 10.486%, (SOFR + 5.50%), 8/15/28 | $ | 557 | $ 527,126 |
UPC Financing Partnership, Term Loan, 7.873%, (1 mo. USD LIBOR + 2.93%), 1/31/29 | 1,100 | 1,086,593 | |
Virgin Media Bristol, LLC, Term Loan, 7.448%, (1 mo. USD LIBOR + 2.50%), 1/31/28 | 550 | 542,266 | |
Ziggo Financing Partnership, Term Loan, 7.448%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 1,350 | 1,327,979 | |
$ 3,483,964 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Electrical Equipment — 0.3% | |||
Brookfield WEC Holdings, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 8/1/25 | $ | 1,263 | $ 1,260,569 |
$ 1,260,569 | |||
Electronic Equipment, Instruments & Components — 0.5% | |||
Ingram Micro, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 6/30/28 | $ | 500 | $ 492,422 |
Robertshaw US Holding Corp., Term Loan, 8.688%, (3 mo. USD LIBOR + 3.50%), 2/28/25 | 1,882 | 1,016,314 | |
Verifone Systems, Inc., Term Loan, 8.958%, (3 mo. USD LIBOR + 4.00%), 8/20/25 | 746 | 646,012 | |
$ 2,154,748 | |||
Entertainment — 0.7% | |||
Formula One Holdings Limited., Term Loan, 8.232%, (SOFR + 3.25%), 1/15/30 | $ | 1,000 | $ 1,003,021 |
Renaissance Holding Corp., Term Loan, 9.732%, (1 mo. USD LIBOR + 4.75%), 4/5/30 | 625 | 614,649 | |
UFC Holdings, LLC, Term Loan, 8.05%, (3 mo. USD LIBOR + 2.75%), 4/29/26 | 1,318 | 1,316,508 | |
$ 2,934,178 | |||
Food Products — 0.3% | |||
Nomad Foods Europe Midco Limited, Term Loan, 8.561%, (SOFR + 3.75%), 11/12/29 | $ | 1,219 | $ 1,220,811 |
$ 1,220,811 | |||
Gas Utilities — 0.2% | |||
CQP Holdco, L.P., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 6/5/28 | $ | 999 | $ 997,982 |
$ 997,982 | |||
Health Care — 0.1% | |||
Pluto Acquisition I, Inc., Term Loan, 8.953%, (3 mo. USD LIBOR + 4.00%), 6/22/26 | $ | 451 | $ 328,694 |
$ 328,694 | |||
Health Care Equipment & Supplies — 0.2% | |||
Medline Borrower, L.P., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 10/23/28 | $ | 695 | $ 675,820 |
$ 675,820 | |||
Health Care Providers & Services — 0.6% | |||
CHG Healthcare Services, Inc., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 9/29/28 | $ | 878 | $ 874,270 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Medical Solutions Holdings, Inc., Term Loan, 8.24%, (SOFR + 3.25%), 11/1/28 | $ | 991 | $ 962,464 |
National Mentor Holdings, Inc.: | |||
Term Loan, 8.748%, (SOFR + 3.75%), 3/2/28 | 27 | 21,263 | |
Term Loan, 8.815%, (SOFR + 3.75%), 3/2/28(16) | 764 | 591,149 | |
$ 2,449,146 | |||
Health Care Technology — 0.6% | |||
athenahealth, Inc.: | |||
Term Loan, 3.50%, 2/15/29(17) | $ | 109 | $ 102,251 |
Term Loan, 8.464%, (SOFR + 3.50%), 2/15/29 | 885 | 832,344 | |
Navicure, Inc., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 10/22/26 | 664 | 663,218 | |
Verscend Holding Corp., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 8/27/25 | 752 | 751,972 | |
$ 2,349,785 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
Carnival Corporation, Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 6/30/25 | $ | 499 | $ 496,848 |
ClubCorp Holdings, Inc., Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 9/18/24 | 729 | 690,823 | |
Dave & Buster's, Inc., Term Loan, 10.125%, (SOFR + 5.00%), 6/29/29 | 349 | 350,015 | |
Fertitta Entertainment, LLC, Term Loan, 8.982%, (SOFR + 4.00%), 1/27/29 | 858 | 838,761 | |
Four Seasons Hotels Limited, Term Loan, 11/30/29(15) | 1,400 | 1,404,861 | |
IRB Holding Corp., Term Loan, 8.082%, (SOFR + 3.00%), 12/15/27 | 918 | 905,122 | |
SeaWorld Parks & Entertainment, Inc., Term Loan, 8.063%, (1 mo. USD LIBOR + 3.00%), 8/25/28 | 1,000 | 997,500 | |
Spectacle Gary Holdings, LLC, Term Loan, 9.275%, (1 mo. USD LIBOR + 4.25%), 12/10/28 | 850 | 825,543 | |
Stars Group Holdings B.V. (The), Term Loan, 7/22/28(15) | 1,000 | 1,002,812 | |
$ 7,512,285 | |||
Household Durables — 0.3% | |||
ACProducts, Inc., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 5/17/28 | $ | 796 | $ 631,370 |
Solis IV B.V., Term Loan, 8.373%, (SOFR + 3.50%), 2/26/29 | 499 | 452,699 | |
$ 1,084,069 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Household Products — 0.3% | |||
Energizer Holdings, Inc., Term Loan, 7.329%, (SOFR + 2.25%), 12/22/27 | $ | 1,373 | $ 1,367,876 |
$ 1,367,876 | |||
Insurance — 0.8% | |||
AmWINS Group, Inc., Term Loan, 7.268%, (1 mo. USD LIBOR + 2.25%), 2/19/28 | $ | 1,688 | $ 1,675,642 |
AssuredPartners, Inc., Term Loan, 2/12/27(15) | 500 | 493,854 | |
NFP Corp., Term Loan, 2/15/27(15) | 500 | 490,556 | |
USI, Inc., Term Loan, 8.648%, (SOFR + 3.75%), 11/22/29 | 787 | 786,462 | |
$ 3,446,514 | |||
Interactive Media & Services — 0.1% | |||
Getty Images, Inc., Term Loan, 9.503%, (SOFR + 4.50%), 2/19/26(16) | $ | 542 | $ 542,740 |
$ 542,740 | |||
IT Services — 1.9% | |||
Asurion, LLC: | |||
Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | $ | 1,787 | $ 1,679,047 |
Term Loan - Second Lien, 10.275%, (1 mo. USD LIBOR + 5.25%), 1/31/28 | 1,000 | 842,656 | |
Cyxtera DC Holdings, Inc., Term Loan, 8.068%, (3 mo. USD LIBOR + 3.00%), 5/1/24 | 1,480 | 1,110,892 | |
Endure Digital, Inc., Term Loan, 8.792%, (3 mo. USD LIBOR + 3.50%), 2/10/28 | 995 | 934,463 | |
Gainwell Acquisition Corp., Term Loan, 8.998%, (SOFR + 4.00%), 10/1/27 | 1,081 | 1,043,899 | |
Informatica, LLC, Term Loan, 7.813%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 1,807 | 1,804,116 | |
Travelport Finance (Luxembourg) S.a.r.l., Term Loan, 13.77%, (1 mo. USD LIBOR + 8.75%), 6.52% cash, 7.25% PIK, 2/28/25 | 389 | 394,152 | |
$ 7,809,225 | |||
Leisure Products — 0.1% | |||
Peloton Interactive, Inc., Term Loan, 11.757%, (SOFR + 6.50%), 5/25/27 | $ | 314 | $ 313,787 |
$ 313,787 | |||
Life Sciences Tools & Services — 0.2% | |||
Curia Global, Inc., Term Loan, 8.895%, (SOFR + 3.75%), 8/30/26(16) | $ | 762 | $ 666,490 |
$ 666,490 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Machinery — 1.7% | |||
AI Aqua Merger Sub, Inc., Term Loan, 8.583%, (SOFR + 3.75%), 7/31/28 | $ | 500 | $ 488,125 |
Alliance Laundry Systems, LLC, Term Loan, 10/8/27(15) | 500 | 498,169 | |
Apex Tool Group, LLC, Term Loan, 10.24%, (SOFR + 5.25%), 2/8/29 | 834 | 735,533 | |
Clark Equipment Company, Term Loan, 7.498%, (SOFR + 2.50%), 4/20/29 | 499 | 498,741 | |
Conair Holdings, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 5/17/28 | 499 | 467,252 | |
Engineered Machinery Holdings, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 5/19/28 | 739 | 730,709 | |
Gates Global, LLC, Term Loan, 7.471%, (SOFR + 2.50%), 3/31/27 | 1,535 | 1,532,466 | |
Madison IAQ, LLC, Term Loan, 8.302%, (6 mo. USD LIBOR + 3.25%), 6/21/28 | 685 | 660,590 | |
Roper Industrial Products Investment Company, LLC, Term Loan, 9.398%, (SOFR + 4.50%), 11/22/29 | 400 | 398,167 | |
Vertical US Newco, Inc., Term Loan, 8.602%, (6 mo. USD LIBOR + 3.50%), 7/30/27 | 750 | 733,535 | |
$ 6,743,287 | |||
Media — 0.0%(6) | |||
Diamond Sports Group, LLC: | |||
Term Loan, 13.064%, (SOFR + 8.15%), 5/25/26 | $ | 108 | $ 98,543 |
Term Loan - Second Lien, 8.167%, (SOFR + 3.25%), 8/24/26 | 790 | 59,643 | |
$ 158,186 | |||
Metals/Mining — 0.3% | |||
PMHC II, Inc., Term Loan, 9.304%, (SOFR + 4.25%), 4/23/29 | $ | 499 | $ 438,551 |
WireCo WorldGroup, Inc., Term Loan, 9.25%, (1 mo. USD LIBOR + 4.25%), 11/13/28 | 304 | 302,176 | |
Zekelman Industries, Inc., Term Loan, 7.018%, (3 mo. USD LIBOR + 2.00%), 1/24/27 | 500 | 495,729 | |
$ 1,236,456 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
Oryx Midstream Services Permian Basin, LLC, Term Loan, 8.193%, (SOFR + 3.25%), 10/5/28 | $ | 750 | $ 742,875 |
$ 742,875 | |||
Pharmaceuticals — 0.6% | |||
Bausch Health Companies, Inc., Term Loan, 10.24%, (SOFR + 5.25%), 2/1/27 | $ | 867 | $ 701,076 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
Jazz Financing Lux S.a.r.l., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 5/5/28 | $ | 965 | $ 965,366 |
Mallinckrodt International Finance S.A., Term Loan, 10.198%, (1 mo. USD LIBOR + 5.25%), 9/30/27 | 833 | 598,081 | |
$ 2,264,523 | |||
Professional Services — 1.0% | |||
CoreLogic, Inc., Term Loan, 8.563%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | $ | 979 | $ 880,971 |
Employbridge Holding Company, Term Loan, 7/19/28(15) | 500 | 423,188 | |
First Advantage Holdings, LLC, Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 1/31/27 | 737 | 735,691 | |
Neptune Bidco U.S., Inc., Term Loan, 10.004%, (SOFR + 5.00%), 4/11/29 | 500 | 447,812 | |
Trans Union, LLC, Term Loan, 12/1/28(15) | 1,400 | 1,398,250 | |
$ 3,885,912 | |||
Real Estate Management & Development — 0.4% | |||
Cushman & Wakefield U.S. Borrower, LLC: | |||
Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 728 | $ 716,046 |
Term Loan, 8.332%, (SOFR + 3.25%), 1/31/30 | 919 | 896,184 | |
$ 1,612,230 | |||
Road & Rail — 0.8% | |||
Avis Budget Car Rental, LLC, Term Loan, 3/16/29(15) | $ | 1,400 | $ 1,402,800 |
Hertz Corporation (The): | |||
Term Loan, 6/30/28(15) | 629 | 628,268 | |
Term Loan, 6/30/28(15) | 121 | 120,513 | |
Uber Technologies, Inc., Term Loan, 3/3/30(15) | 1,000 | 997,500 | |
$ 3,149,081 | |||
Semiconductors & Semiconductor Equipment — 0.5% | |||
Altar Bidco, Inc., Term Loan, 6.608%, (SOFR + 3.10%), 2/1/29 | $ | 499 | $ 486,649 |
Entegris, Inc., Term Loan, 7.661%, (SOFR + 2.75%), 7/6/29(16) | 748 | 749,372 | |
MKS Instruments, Inc., Term Loan, 7.814%, (SOFR + 2.75%), 8/17/29 | 750 | 748,477 | |
$ 1,984,498 | |||
Software — 5.7% | |||
Applied Systems, Inc., Term Loan, 9.398%, (SOFR + 4.50%), 9/18/26 | $ | 1,529 | $ 1,533,782 |
Banff Merger Sub, Inc., Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 10/2/25 | 1,047 | 1,034,991 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Software (continued) | |||
CDK Global, Inc., Term Loan, 9.148%, (SOFR + 4.25%), 7/6/29 | $ | 897 | $ 896,640 |
Cloud Software Group, Inc., Term Loan, 3/30/29(15) | 400 | 374,678 | |
Delta TopCo, Inc., Term Loan, 8.656%, (SOFR + 3.75%), 12/1/27 | 499 | 478,155 | |
Epicor Software Corporation, Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 7/30/27 | 1,710 | 1,691,794 | |
Finastra USA, Inc.: | |||
Term Loan, 8.655%, (3 mo. USD LIBOR + 3.50%), 6/13/24 | 1,455 | 1,390,138 | |
Term Loan - Second Lien, 12.405%, (3 mo. USD LIBOR + 7.25%), 6/13/25 | 300 | 254,906 | |
GoTo Group, Inc., Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 8/31/27 | 1,614 | 980,222 | |
Hyland Software, Inc., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | 1,487 | 1,479,490 | |
Magenta Buyer, LLC, Term Loan, 10.03%, (3 mo. USD LIBOR + 4.75%), 7/27/28 | 1,481 | 1,254,579 | |
McAfee, LLC, Term Loan, 8.653%, (SOFR + 3.75%), 3/1/29 | 993 | 938,947 | |
Open Text Corporation, Term Loan, 8.582%, (SOFR + 3.50%), 1/31/30 | 873 | 873,358 | |
Panther Commercial Holdings, L.P., Term Loan, 9.275%, (1 mo. USD LIBOR + 4.25%), 1/7/28 | 724 | 704,945 | |
Polaris Newco, LLC, Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 6/2/28 | 726 | 674,734 | |
Proofpoint, Inc., Term Loan, 8.275%, (1 mo. USD LIBOR + 3.25%), 8/31/28 | 739 | 724,352 | |
RealPage, Inc., Term Loan, 8.025%, (1 mo. USD LIBOR + 3.00%), 4/24/28 | 971 | 945,042 | |
Redstone Holdco 2 L.P., Term Loan, 10.005%, (3 mo. USD LIBOR + 4.75%), 4/27/28 | 499 | 424,859 | |
Riverbed Technology, Inc., Term Loan, 12.84%, (3 mo. USD LIBOR + 8.00%), 10.84% cash, 2.00% PIK, 12/7/26 | 271 | 86,425 | |
Sophia, L.P., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 10/7/27 | 1,474 | 1,457,155 | |
SS&C Technologies, Inc.: | |||
Term Loan, 3/22/29(15) | 558 | 556,886 | |
Term Loan, 3/22/29(15) | 842 | 839,217 | |
Ultimate Software Group, Inc. (The): | |||
Term Loan, 8.271%, (SOFR + 3.25%), 5/4/26 | 1,468 | 1,432,857 | |
Term Loan, 8.895%, (SOFR + 3.75%), 5/4/26 | 686 | 675,573 | |
Veritas US, Inc., Term Loan, 10.025%, (1 mo. USD LIBOR + 5.00%), 9/1/25 | 657 | 506,638 | |
Vision Solutions, Inc., Term Loan, 9.255%, (3 mo. USD LIBOR + 4.00%), 4/24/28 | 727 | 648,260 | |
$ 22,858,623 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Specialty Retail — 1.6% | |||
Belron Finance US, LLC, Term Loan, 4/18/29(15) | $ | 1,400 | $ 1,400,875 |
Great Outdoors Group, LLC, Term Loan, 8.775%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 925 | 919,210 | |
Hoya Midco, LLC, Term Loan, 8.295%, (SOFR + 3.25%), 2/3/29 | 626 | 620,497 | |
Les Schwab Tire Centers, Term Loan, 8.064%, (3 mo. USD LIBOR + 3.25%), 11/2/27 | 1,208 | 1,204,524 | |
Michaels Companies, Inc., Term Loan, 4/15/28(15) | 480 | 441,140 | |
PetSmart, Inc., Term Loan, 8.832%, (SOFR + 3.75%), 2/11/28 | 1,868 | 1,858,311 | |
$ 6,444,557 | |||
Trading Companies & Distributors — 1.4% | |||
Core & Main, L.P., Term Loan, 7.627%, (SOFR + 2.50%), 7/27/28(16) | $ | 1,025 | $ 1,019,470 |
Electro Rent Corporation, Term Loan, 10.271%, (SOFR + 5.50%), 11/1/24 | 940 | 918,428 | |
Park River Holdings, Inc., Term Loan, 12/28/27(15) | 500 | 467,625 | |
Spin Holdco, Inc., Term Loan, 8.986%, (3 mo. USD LIBOR + 4.00%), 3/4/28 | 1,552 | 1,295,281 | |
SRS Distribution, Inc., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | 1,245 | 1,191,149 | |
White Cap Buyer, LLC, Term Loan, 10/19/27(15) | 750 | 744,375 | |
$ 5,636,328 | |||
Wireless Telecommunication Services — 0.1% | |||
CCI Buyer, Inc., Term Loan, 8.898%, (SOFR + 4.00%), 12/17/27 | $ | 399 | $ 393,039 |
$ 393,039 | |||
Total Senior Floating-Rate Loans (identified cost $138,135,483) | $133,462,379 |
Warrants — 0.0% |
Security | Shares | Value | |
Leisure Goods/Activities/Movies — 0.0% | |||
Cineworld Group PLC, Exp. 11/23/25(7)(8) | 128,689 | $ 0 | |
Total Warrants (identified cost $0) | $ 0 |
Miscellaneous — 0.0%(6) |
Security | Principal Amount | Value | |
Surface Transport — 0.0%(6) | |||
Hertz Corp., Escrow Certificates(7) | $ | 105,000 | $ 8,400 |
Total Miscellaneous (identified cost $0) | $ 8,400 |
Short-Term Investments — 7.7% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(18) | 30,963,084 | $ 30,963,084 | |
Total Short-Term Investments (identified cost $30,963,084) | $ 30,963,084 | ||
Total Investments — 103.3% (identified cost $439,793,019) | $416,906,105 | ||
Less Unfunded Loan Commitments — (0.0)%(6) | $ (108,696) | ||
Net Investments — 103.3% (identified cost $439,684,323) | $416,797,409 | ||
Other Assets, Less Liabilities — (3.3)% | $ (13,138,413) | ||
Net Assets — 100.0% | $403,658,996 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $162,280,008 or 40.2% of the Fund's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(3) | When-issued security. For a variable rate security interest rate will be determined after April 30, 2023. |
(4) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at April 30, 2023. |
(5) | Represents an investment in an issuer that may be deemed to be an affiliate. |
(6) | Amount is less than 0.05% or (0.05)%, as applicable. |
(7) | Non-income producing security. |
(8) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(9) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $57,604,864 or 14.3% of the Fund's net assets. |
(10) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(11) | Issuer is in default with respect to interest and/or principal payments. |
(12) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(13) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(14) | 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 London Interbank Offered Rate (“LIBOR”) or 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. |
(15) | This Senior Loan will settle after April 30, 2023, at which time the interest rate will be determined. |
(16) | The stated interest rate represents the weighted average interest rate at April 30, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(17) | Unfunded or partially unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At April 30, 2023, the total value of unfunded loan commitments is $102,251. See Note 1G for description. |
(18) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 2,568 | EUR | 2,321 | Bank of America, N.A. | 7/31/23 | $ — | $ (1) |
USD | 439,207 | EUR | 396,815 | Bank of America, N.A. | 7/31/23 | — | (205) |
USD | 48,632,472 | EUR | 43,806,360 | State Street Bank and Trust Company | 7/31/23 | 123,680 | — |
USD | 904,044 | EUR | 816,750 | State Street Bank and Trust Company | 7/31/23 | — | (381) |
USD | 6,747,541 | GBP | 5,405,016 | Citibank, N.A. | 7/31/23 | — | (56,648) |
$123,680 | $(57,235) |
Abbreviations: | |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
REITs | – Real Estate Investment Trusts |
SOFR | – Secured Overnight Financing Rate |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $408,301,259) | $ 385,407,403 |
Affiliated investments, at value (identified cost $31,383,064) | 31,390,006 |
Cash | 3,306,452 |
Deposits for derivatives collateral - forward foreign currency exchange contracts | 640,000 |
Foreign currency, at value (identified cost $1,593,705) | 1,590,679 |
Interest receivable | 4,095,019 |
Interest and dividends receivable from affiliated investments | 105,832 |
Receivable for investments sold | 2,391,398 |
Receivable for Fund shares sold | 141,808 |
Receivable for open forward foreign currency exchange contracts | 123,680 |
Tax reclaims receivable | 55,668 |
Total assets | $ 429,247,945 |
Liabilities | |
Payable for investments purchased | $ 22,251,242 |
Payable for when-issued/delayed delivery/forward commitment securities | 2,182,325 |
Payable for Fund shares redeemed | 581,387 |
Payable for open forward foreign currency exchange contracts | 57,235 |
Distributions payable | 78,653 |
Payable to affiliates: | |
Investment adviser and administration fee | 179,092 |
Distribution and service fees | 13,067 |
Trustees' fees | 2,346 |
Accrued expenses | 243,602 |
Total liabilities | $ 25,588,949 |
Net Assets | $ 403,658,996 |
Sources of Net Assets | |
Paid-in capital | $ 656,606,670 |
Accumulated loss | (252,947,674) |
Net Assets | $ 403,658,996 |
Class A Shares | |
Net Assets | $ 43,020,546 |
Shares Outstanding | 4,467,920 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.63 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 9.95 |
Class C Shares | |
Net Assets | $ 5,054,809 |
Shares Outstanding | 524,551 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.64 |
Class I Shares | |
Net Assets | $ 187,807,979 |
Shares Outstanding | 19,454,175 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.65 |
April 30, 2023 | |
Class R6 Shares | |
Net Assets | $167,775,662 |
Shares Outstanding | 17,385,393 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.65 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income | $ 48,274 |
Dividend income from affiliated investment | 531,995 |
Interest and other income | 14,213,109 |
Interest income from affiliated investment | 13,674 |
Total investment income | $ 14,807,052 |
Expenses | |
Investment adviser and administration fee | $ 1,116,340 |
Distribution and service fees: | |
Class A | 54,470 |
Class C | 31,581 |
Trustees’ fees and expenses | 13,629 |
Custodian fee | 98,982 |
Transfer and dividend disbursing agent fees | 68,184 |
Legal and accounting services | 54,135 |
Printing and postage | 11,608 |
Registration fees | 38,730 |
Miscellaneous | 25,564 |
Total expenses | $ 1,513,223 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 21,004 |
Total expense reductions | $ 21,004 |
Net expenses | $ 1,492,219 |
Net investment income | $ 13,314,833 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (16,396,308) |
Foreign currency transactions | 41,989 |
Forward foreign currency exchange contracts | (4,448,186) |
Net realized loss | $(20,802,505) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 31,355,949 |
Investments - affiliated investments | 5,890 |
Foreign currency | 39,433 |
Forward foreign currency exchange contracts | (506,259) |
Net change in unrealized appreciation (depreciation) | $ 30,895,013 |
Net realized and unrealized gain | $ 10,092,508 |
Net increase in net assets from operations | $ 23,407,341 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 13,314,833 | $ 19,272,667 |
Net realized loss | (20,802,505) | (3,797,265) |
Net change in unrealized appreciation (depreciation) | 30,895,013 | (47,511,771) |
Net increase (decrease) in net assets from operations | $ 23,407,341 | $ (32,036,369) |
Distributions to shareholders: | ||
Class A | $ (1,417,493) | $ (2,179,540) |
Class C | (180,648) | (613,791) |
Class I | (6,671,684) | (12,184,954) |
Class R6 | (5,405,154) | (5,097,071) |
Total distributions to shareholders | $ (13,674,979) | $ (20,075,356) |
Transactions in shares of beneficial interest: | ||
Class A | $ (2,945,458) | $ (10,630,209) |
Class C | (3,381,391) | (13,534,522) |
Class I | (22,805,135) | (108,874,811) |
Class R6 | 20,459,611 | 113,967,404 |
Net decrease in net assets from Fund share transactions | $ (8,672,373) | $ (19,072,138) |
Net increase (decrease) in net assets | $ 1,059,989 | $ (71,183,863) |
Net Assets | ||
At beginning of period | $ 402,599,007 | $ 473,782,870 |
At end of period | $403,658,996 | $ 402,599,007 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.400 | $10.680 | $ 10.210 | $ 10.760 | $ 10.620 | $ 10.830 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.301 | $ 0.468 | $ 0.394 | $ 0.423 | $ 0.496 | $ 0.216 |
Net realized and unrealized gain (loss) | 0.284 | (1.287) | 0.489 | (0.500) | 0.148 | (0.118) |
Total income (loss) from operations | $ 0.585 | $ (0.819) | $ 0.883 | $ (0.077) | $ 0.644 | $ 0.098 |
Less Distributions | ||||||
From net investment income | $ (0.355) | $ (0.461) | $ (0.413) | $ (0.473) | $ (0.504) | $ (0.308) |
Total distributions | $ (0.355) | $ (0.461) | $ (0.413) | $ (0.473) | $ (0.504) | $ (0.308) |
Net asset value — End of period | $ 9.630 | $ 9.400 | $10.680 | $10.210 | $10.760 | $10.620 |
Total Return(2) | 5.79% (3) | (7.80)% | 8.73% | (0.66)% (4) | 6.22% (4) | 0.89% (4) |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 43,021 | $44,921 | $ 61,518 | $ 63,023 | $ 3,888 | $ 1,032 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 0.96% (6)(7) | 0.97% (6) | 0.96% | 0.99% (4) | 1.00% (4) | 1.08% (4)(8)(9) |
Net investment income | 6.33% (7) | 4.66% | 3.70% | 4.13% | 4.64% | 2.00% |
Portfolio Turnover | 36% (3) | 80% | 76% | 93% | 96% | 113% (10) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | The investment adviser and administrator (and sub-adviser, if applicable) reimbursed certain operating expenses (equal to 0.01%, 0.70% and 0.22% of average daily net assets for the years ended October 31, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolios’ allocated expenses for the period while the Fund was investing in the Portfolios. |
(6) | Includes a reduction by the investment adviser of a portion of its adviser and administration fee due to the Fund's investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and for the year ended October 31, 2022, respectively). |
(7) | Annualized. |
(8) | Excludes expenses incurred by the Fund as a result of its investments in Affiliated Investment Funds (equal to 0.26% of average daily net assets for the year ended October 31, 2018). |
(9) | Includes interest and dividend expense, including on securities sold short, of less than 0.005% of average daily net assets for the year ended October 31, 2018. |
(10) | Percentage includes both the Fund's contributions to and withdrawals from the Portfolios and purchases and sales of securities held directly by the Fund, if any. |
References to Portfolios herein are to Massachusetts business trusts managed by Eaton Vance Management or its affiliates in which the Fund invested a substantial portion of its investable assets during the year ended October 31, 2018. |
Class C | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.410 | $10.690 | $ 10.220 | $ 10.770 | $ 10.620 | $ 10.790 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.264 | $ 0.352 | $ 0.315 | $ 0.353 | $ 0.411 | $ 0.159 |
Net realized and unrealized gain (loss) | 0.280 | (1.246) | 0.489 | (0.508) | 0.154 | (0.090) |
Total income (loss) from operations | $ 0.544 | $ (0.894) | $ 0.804 | $ (0.155) | $ 0.565 | $ 0.069 |
Less Distributions | ||||||
From net investment income | $ (0.314) | $ (0.386) | $ (0.334) | $ (0.395) | $ (0.415) | $ (0.239) |
Total distributions | $ (0.314) | $ (0.386) | $ (0.334) | $ (0.395) | $ (0.415) | $ (0.239) |
Net asset value — End of period | $ 9.640 | $ 9.410 | $10.690 | $10.220 | $10.770 | $10.620 |
Total Return(2) | 5.40% (3) | (8.48)% | 7.92% | (1.40)% (4) | 5.43% (4) | 0.63% (4) |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 5,055 | $ 8,267 | $ 23,956 | $ 34,273 | $ 1,259 | $ 693 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 1.72% (6)(7) | 1.72% (6) | 1.71% | 1.74% (4) | 1.75% (4) | 1.82% (4)(8)(9) |
Net investment income | 5.56% (7) | 3.47% | 2.95% | 3.45% | 3.85% | 1.48% |
Portfolio Turnover | 36% (3) | 80% | 76% | 93% | 96% | 113% (10) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | The investment adviser and administrator (and sub-adviser, if applicable) reimbursed certain operating expenses (equal to 0.01%, 0.70% and 0.28% of average daily net assets for the years ended October 31, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolios’ allocated expenses for the period while the Fund was investing in the Portfolios. |
(6) | Includes a reduction by the investment adviser of a portion of its adviser and administration fee due to the Fund's investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and for the year ended October 31, 2022, respectively). |
(7) | Annualized. |
(8) | Excludes expenses incurred by the Fund as a result of its investments in Affiliated Investment Funds (equal to 0.26% of average daily net assets for the year ended October 31, 2018). |
(9) | Includes interest and dividend expense, including on securities sold short, of less than 0.005% of average daily net assets for the year ended October 31, 2018. |
(10) | Percentage includes both the Fund's contributions to and withdrawals from the Portfolios and purchases and sales of securities held directly by the Fund, if any. |
References to Portfolios herein are to Massachusetts business trusts managed by Eaton Vance Management or its affiliates in which the Fund invested a substantial portion of its investable assets during the year ended October 31, 2018. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 9.430 | $ 10.710 | $ 10.240 | $ 10.790 | $ 10.650 | $ 10.820 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.314 | $ 0.461 | $ 0.420 | $ 0.449 | $ 0.526 | $ 0.278 |
Net realized and unrealized gain (loss) | 0.276 | (1.253) | 0.491 | (0.499) | 0.146 | (0.093) |
Total income (loss) from operations | $ 0.590 | $ (0.792) | $ 0.911 | $ (0.050) | $ 0.672 | $ 0.185 |
Less Distributions | ||||||
From net investment income | $ (0.370) | $ (0.488) | $ (0.441) | $ (0.500) | $ (0.532) | $ (0.355) |
Total distributions | $ (0.370) | $ (0.488) | $ (0.441) | $ (0.500) | $ (0.532) | $ (0.355) |
Net asset value — End of period | $ 9.650 | $ 9.430 | $ 10.710 | $ 10.240 | $10.790 | $10.650 |
Total Return(2) | 5.81% (3) | (7.53)% | 8.99% | (0.40)% (4) | 6.48% (4) | 1.72% (4) |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $187,808 | $205,778 | $345,990 | $304,389 | $ 68,533 | $ 17,654 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 0.71% (6)(7) | 0.72% (6) | 0.71% | 0.74% (4) | 0.75% (4) | 0.81% (4)(8)(9) |
Net investment income | 6.59% (7) | 4.56% | 3.93% | 4.38% | 4.90% | 2.59% |
Portfolio Turnover | 36% (3) | 80% | 76% | 93% | 96% | 113% (10) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | The investment adviser and administrator (and sub-adviser, if applicable) reimbursed certain operating expenses (equal to 0.01%, 0.70% and 0.33% of average daily net assets for the years ended October 31, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolios’ allocated expenses for the period while the Fund was investing in the Portfolios. |
(6) | Includes a reduction by the investment adviser of a portion of its adviser and administration fee due to the Fund's investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and for the year ended October 31, 2022, respectively). |
(7) | Annualized. |
(8) | Excludes expenses incurred by the Fund as a result of its investments in Affiliated Investment Funds (equal to 0.26% of average daily net assets for the year ended October 31, 2018). |
(9) | Includes interest and dividend expense, including on securities sold short, of less than 0.005% of average daily net assets for the year ended October 31, 2018. |
(10) | Percentage includes both the Fund's contributions to and withdrawals from the Portfolios and purchases and sales of securities held directly by the Fund, if any. |
References to Portfolios herein are to Massachusetts business trusts managed by Eaton Vance Management or its affiliates in which the Fund invested a substantial portion of its investable assets during the year ended October 31, 2018. |
Class R6 | ||||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | Period Ended October 31, 2019(1) | ||||||
2022 | 2021 | 2020 | ||||||
Net asset value — Beginning of period | $ 9.420 | $ 10.710 | $ 10.230 | $ 10.790 | $ 10.820 | |||
Income (Loss) From Operations | ||||||||
Net investment income(2) | $ 0.316 | $ 0.483 | $ 0.418 | $ 0.443 | $ 0.059 | |||
Net realized and unrealized gain (loss) | 0.287 | (1.281) | 0.507 | (0.501) | (0.011) | |||
Total income (loss) from operations | $ 0.603 | $ (0.798) | $ 0.925 | $ (0.058) | $ 0.048 | |||
Less Distributions | ||||||||
From net investment income | $ (0.373) | $ (0.492) | $ (0.445) | $ (0.502) | $ (0.078) | |||
Total distributions | $ (0.373) | $ (0.492) | $ (0.445) | $ (0.502) | $ (0.078) | |||
Net asset value — End of period | $ 9.650 | $ 9.420 | $10.710 | $10.230 | $10.790 | |||
Total Return(3) | 5.95% (4) | (7.58)% | 9.13% | (0.47)% (5) | 0.44% (4)(5) | |||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $167,776 | $143,633 | $ 42,319 | $ 3,089 | $ 10 | |||
Ratios (as a percentage of average daily net assets): | ||||||||
Expenses | 0.67% (6)(7) | 0.66% (6) | 0.65% | 0.69% (5) | 0.75% (5)(7) | |||
Net investment income | 6.63% (7) | 4.90% | 3.90% | 4.34% | 3.40% (7) | |||
Portfolio Turnover | 36% (4) | 80% | 76% | 93% | 96% (8) |
(1) | For the period from the commencement of operations, September 3, 2019, to October, 31, 2019. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | Not annualized. |
(5) | The investment adviser and administrator and sub-adviser reimbursed certain operating expenses (equal to 0.01% and 0.68% of average daily net assets for the year ended October 31, 2020 and the period ended October 31, 2019, respectively). Absent this reimbursement, total return would be lower. |
(6) | Includes a reduction by the investment adviser of a portion of its adviser and administration fee due to the Fund's investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and for the year ended October 31, 2022, respectively). |
(7) | Annualized. |
(8) | For the year ended October 31, 2019. |
Aggregate cost | $ 440,890,200 |
Gross unrealized appreciation | $ 2,994,631 |
Gross unrealized depreciation | (27,020,977) |
Net unrealized depreciation | $ (24,026,346) |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.550% |
$1 billion but less than $2.5 billion | 0.530% |
$2.5 billion but less than $5 billion | 0.510% |
$5 billion and over | 0.500% |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 118,585,492 | $ 102,887,681 |
U.S. Government and Agency Securities | 20,241,876 | 40,949,792 |
$138,827,368 | $143,837,473 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 345,683 | $ 3,303,473 | 1,174,963 | $ 11,607,550 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 128,517 | 1,232,762 | 187,456 | 1,857,405 | |
Redemptions | (783,472) | (7,481,693) | (2,343,927) | (24,095,164) | |
Net decrease | (309,272) | $ (2,945,458) | (981,508) | $ (10,630,209) | |
Class C | |||||
Sales | 3,987 | $ 38,413 | 28,523 | $ 287,396 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 18,263 | 175,284 | 60,321 | 603,965 | |
Redemptions | (376,141) | (3,595,088) | (1,450,989) | (14,425,883) | |
Net decrease | (353,891) | $ (3,381,391) | (1,362,145) | $ (13,534,522) | |
Class I | |||||
Sales | 1,692,677 | $ 16,187,480 | 6,164,379 | $ 63,453,436 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 677,945 | 6,520,353 | 1,194,356 | 11,928,833 | |
Redemptions | (4,743,714) | (45,512,968) | (17,836,543) | (184,257,080) | |
Net decrease | (2,373,092) | $(22,805,135) | (10,477,808) | $(108,874,811) | |
Class R6 | |||||
Sales | 1,681,464 | $ 16,000,000 | 11,166,945 | $ 113,062,124 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 559,707 | 5,382,102 | 509,601 | 4,956,821 | |
Redemptions | (95,899) | (922,491) | (389,300) | (4,051,541) | |
Net increase | 2,145,272 | $ 20,459,611 | 11,287,246 | $ 113,967,404 |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Forward foreign currency exchange contracts | $123,680 (1) | $(57,235) (2) |
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts. |
(2) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
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) |
State Street Bank and Trust Company | $123,680 | $(381) | $ — | $ — | $123,299 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Bank of America, N.A. | $ (206) | $ — | $ — | $ — | $ (206) |
Citibank, N.A. | (56,648) | — | — | — | (56,648) |
State Street Bank and Trust Company | (381) | 381 | — | — | — |
$(57,235) | $ 381 | $ — | $ — | $(56,854) |
(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. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Forward foreign currency exchange contracts | $(4,448,186) | $(506,259) |
(1) | Statement of Operations location: Net realized gain (loss): Forward foreign currency exchange contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Forward foreign currency exchange contracts. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A, 6.598%, (1 mo. USD LIBOR + 1.65%), 5/15/36 | $ 420,332 | $ — | $ — | $ — | $ 5,890 | $ 426,922 | $ 13,674 | $ 438,393 |
Short-Term Investments | ||||||||
Liquidity Fund | 31,492,053 | 141,477,869 | (142,006,838) | — | — | 30,963,084 | 531,995 | 30,963,084 |
Total | $ — | $5,890 | $31,390,006 | $545,669 |
• | 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 |
Asset-Backed Securities | $ — | $ 21,858,718 | $ — | $ 21,858,718 |
Collateralized Mortgage Obligations | — | 1,218,731 | — | 1,218,731 |
Commercial Mortgage-Backed Securities | — | 13,663,727 | — | 13,663,727 |
Common Stocks | — | 425 | — | 425 |
Convertible Bonds | — | 1,262,865 | — | 1,262,865 |
Convertible Preferred Stocks | — | 666 | — | 666 |
Corporate Bonds | — | 212,036,746 | — | 212,036,746 |
Foreign Corporate Bonds | — | 1,447,737 | — | 1,447,737 |
Preferred Stocks | 982,627 | — | — | 982,627 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 133,353,683 | — | 133,353,683 |
Warrants | — | 0 | — | 0 |
Miscellaneous | — | 8,400 | — | 8,400 |
Short-Term Investments | 30,963,084 | — | — | 30,963,084 |
Total Investments | $ 31,945,711 | $ 384,851,698 | $ — | $ 416,797,409 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Forward Foreign Currency Exchange Contracts | $ — | $ 123,680 | $ — | $ 123,680 |
Total | $ 31,945,711 | $ 384,975,378 | $ — | $ 416,921,089 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (57,235) | $ — | $ (57,235) |
Total | $ — | $ (57,235) | $ — | $ (57,235) |
Officers | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
125 Old Broad Street
London, EC2N 1AR
United Kingdom
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 11/01/2013 | 02/21/2012 | 4.14% | 1.89% | 2.94% | 3.17% |
Class A with 3.25% Maximum Sales Charge | — | — | 0.80 | (1.45) | 2.27 | 2.83 |
Class I at NAV | 11/01/2013 | 02/21/2012 | 4.38 | 2.26 | 3.20 | 3.43 |
ICE BofA U.S. High Yield Cash Pay BB-B 1–3 Year Index | — | — | 4.47% | 4.43% | 3.53% | 3.93% |
% Total Annual Operating Expense Ratios3 | Class A | Class I |
Gross | 1.14% | 0.89% |
Net | 0.91 | 0.66 |
Credit Quality (% of total investments)1 |
1 | Ratings are based on Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), as applicable. For purposes of ratings restrictions, the average of Moody’s, S&P and Fitch is used. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P or Fitch (Baa or higher by Moody’s) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by the national ratings agencies stated above. |
1 | ICE BofA U.S. High Yield Cash Pay BB-B 1–3 Year Index is an unmanaged index of U.S. corporate bonds currently paying a coupon, rated BB1 through B3, and having a maturity less than 3 years. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of Class A and Class I is linked to the performance of Short Duration High Income Portfolio (the Portfolio), the Portfolio that the Fund invested in prior to June 15, 2020. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. Performance presented in the Financial Highlights included in the financial statements is not linked. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 2/29/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,041.40 | $4.56** | 0.90% |
Class I | $1,000.00 | $1,043.80 | $3.29** | 0.65% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.33 | $4.51** | 0.90% |
Class I | $1,000.00 | $1,021.57 | $3.26** | 0.65% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. |
** | Absent an allocation of certain expenses to an affiliate, expenses would be higher. |
Common Stocks — 0.0%(1) |
Security | Shares | Value | |
Technology — 0.0%(1) | |||
Riverbed Technology, Inc.(2)(3) | 423 | $ 213 | |
Total Common Stocks (identified cost $6,786) | $ 213 |
Convertible Bonds — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Leisure — 0.4% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26 | $ | 398 | $ 296,895 |
Total Convertible Bonds (identified cost $347,814) | $ 296,895 |
Convertible Preferred Stocks — 0.0%(1) |
Security | Shares | Value | |
Technology — 0.0%(1) | |||
Riverbed Technology, Inc., Series A, 6.50%, (1.50% cash, 5.00% PIK)(2)(3) | 590 | $ 150 | |
Total Convertible Preferred Stocks (identified cost $17,694) | $ 150 |
Corporate Bonds — 85.9% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace — 3.7% | |||
Bombardier, Inc., 7.50%, 3/15/25(4) | 216 | $ 216,289 | |
Rolls-Royce PLC, 3.625%, 10/14/25(4) | 500 | 475,000 | |
Spirit AeroSystems, Inc., 7.50%, 4/15/25(4) | 600 | 596,938 | |
TransDigm UK Holdings PLC, 6.875%, 5/15/26 | 500 | 503,782 | |
TransDigm, Inc., 6.25%, 3/15/26(4) | 910 | 915,726 | |
$ 2,707,735 | |||
Air Transportation — 3.7% | |||
American Airlines, Inc., 7.25%, 2/15/28(4) | 150 | $ 146,030 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(4) | 1,200 | 1,179,773 | |
Delta Air Lines, Inc., 2.90%, 10/28/24 | 275 | 265,567 |
Security | Principal Amount* (000's omitted) | Value | |
Air Transportation (continued) | |||
Spirit Loyalty Cayman, Ltd./Spirit IP Cayman, Ltd., 8.00%, 9/20/25(4) | 500 | $ 505,457 | |
VistaJet Malta Finance PLC/XO Management Holding, Inc., 7.875%, 5/1/27(4) | 675 | 641,955 | |
$ 2,738,782 | |||
Automotive & Auto Parts — 3.8% | |||
Ford Motor Credit Co., LLC: | |||
3.37%, 11/17/23 | 200 | $ 196,865 | |
3.375%, 11/13/25 | 200 | 186,021 | |
3.664%, 9/8/24 | 663 | 640,844 | |
5.125%, 6/16/25 | 850 | 828,720 | |
5.584%, 3/18/24 | 1,000 | 995,265 | |
$ 2,847,715 | |||
Broadcasting — 2.6% | |||
Banijay Entertainment SASU, 5.375%, 3/1/25(4) | 700 | $ 683,368 | |
Sirius XM Radio, Inc., 3.125%, 9/1/26(4) | 330 | 295,690 | |
Townsquare Media, Inc., 6.875%, 2/1/26(4) | 162 | 151,212 | |
Univision Communications, Inc., 5.125%, 2/15/25(4) | 830 | 818,347 | |
$ 1,948,617 | |||
Cable & Satellite TV — 0.4% | |||
CSC Holdings, LLC, 5.25%, 6/1/24 | 325 | $ 317,302 | |
$ 317,302 | |||
Chemicals — 3.3% | |||
Avient Corp., 5.75%, 5/15/25(4) | 500 | $ 500,186 | |
Compass Minerals International, Inc.: | |||
4.875%, 7/15/24(4) | 817 | 809,341 | |
6.75%, 12/1/27(4) | 360 | 345,603 | |
NOVA Chemicals Corp., 4.875%, 6/1/24(4) | 819 | 807,167 | |
$ 2,462,297 | |||
Consumer Products — 0.4% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(4) | 328 | $ 289,460 | |
$ 289,460 | |||
Containers — 1.7% | |||
Ball Corp.: | |||
4.00%, 11/15/23 | 342 | $ 339,118 | |
5.25%, 7/1/25 | 274 | 274,164 |
Security | Principal Amount* (000's omitted) | Value | |
Containers (continued) | |||
Graphic Packaging International, LLC, 4.125%, 8/15/24 | 275 | $ 271,510 | |
Trivium Packaging Finance B.V., 5.50%, 8/15/26(4) | 350 | 340,114 | |
$ 1,224,906 | |||
Diversified Financial Services — 3.1% | |||
Ally Financial, Inc., 5.75%, 11/20/25 | 400 | $ 389,010 | |
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.: | |||
4.75%, 9/15/24 | 460 | 454,489 | |
6.25%, 5/15/26 | 300 | 295,590 | |
Navient Corp.: | |||
6.125%, 3/25/24 | 388 | 385,103 | |
7.25%, 9/25/23 | 300 | 300,950 | |
PRA Group, Inc., 7.375%, 9/1/25(4) | 174 | 173,611 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc., 2.875%, 10/15/26(4) | 325 | 289,741 | |
$ 2,288,494 | |||
Diversified Media — 1.0% | |||
Clear Channel International B.V., 6.625%, 8/1/25(4) | 275 | $ 272,572 | |
TripAdvisor, Inc., 7.00%, 7/15/25(4) | 500 | 503,705 | |
$ 776,277 | |||
Energy — 7.9% | |||
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(4) | 530 | $ 515,227 | |
Antero Midstream Partners, L.P./Antero Midstream Finance Corp., 7.875%, 5/15/26(4) | 350 | 359,722 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.625%, 10/15/25(4) | 845 | 834,991 | |
CVR Energy, Inc., 5.25%, 2/15/25(4) | 300 | 290,429 | |
EQM Midstream Partners, L.P.: | |||
4.00%, 8/1/24 | 262 | 254,333 | |
7.50%, 6/1/27(4) | 500 | 498,737 | |
Matador Resources Co., 5.875%, 9/15/26 | 250 | 245,498 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(4) | 720 | 710,690 | |
New Fortress Energy, Inc.: | |||
6.50%, 9/30/26(4) | 400 | 368,844 | |
6.75%, 9/15/25(4) | 400 | 381,471 | |
Permian Resources Operating, LLC, 7.75%, 2/15/26(4) | 300 | 303,701 | |
Tap Rock Resources, LLC, 7.00%, 10/1/26(4) | 485 | 466,475 | |
Weatherford International, Ltd., 11.00%, 12/1/24(4) | 52 | 53,585 | |
Western Midstream Operating, L.P., 3.35%, 2/1/25 | 548 | 524,061 | |
$ 5,807,764 |
Security | Principal Amount* (000's omitted) | Value | |
Entertainment & Film — 0.7% | |||
Cinemark USA, Inc., 8.75%, 5/1/25(4) | 180 | $ 183,842 | |
Live Nation Entertainment, Inc., 4.875%, 11/1/24(4) | 325 | 321,339 | |
$ 505,181 | |||
Environmental — 1.2% | |||
GFL Environmental, Inc., 3.75%, 8/1/25(4) | 940 | $ 909,876 | |
$ 909,876 | |||
Food & Drug Retail — 0.5% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC, 7.50%, 3/15/26(4) | 350 | $ 361,837 | |
$ 361,837 | |||
Food, Beverage & Tobacco — 2.5% | |||
Chobani, LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25(4) | 357 | $ 350,438 | |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(4) | 298 | 285,633 | |
Performance Food Group, Inc., 6.875%, 5/1/25(4) | 502 | 506,753 | |
US Foods, Inc., 6.25%, 4/15/25(4) | 725 | 729,880 | |
$ 1,872,704 | |||
Gaming — 5.4% | |||
Caesars Entertainment, Inc.: | |||
6.25%, 7/1/25(4) | 950 | $ 952,015 | |
8.125%, 7/1/27(4) | 380 | 388,064 | |
International Game Technology PLC, 6.50%, 2/15/25(4) | 447 | 453,070 | |
MGM Resorts International, 5.75%, 6/15/25 | 700 | 698,993 | |
Raptor Acquisition Corp./Raptor Co.-Issuer, LLC, 4.875%, 11/1/26(4) | 650 | 608,426 | |
Scientific Games International, Inc., 7.00%, 5/15/28(4) | 300 | 299,651 | |
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(4) | 580 | 572,651 | |
$ 3,972,870 | |||
Healthcare — 5.4% | |||
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(4)(5) | 260 | $ 185,250 | |
Grifols S.A., 1.625%, 2/15/25(6) | EUR | 450 | 470,905 |
ModivCare, Inc., 5.875%, 11/15/25(4) | 658 | 629,384 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(4) | 325 | 260,346 | |
Perrigo Finance Unlimitd Co., 3.90%, 12/15/24 | 527 | 510,381 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(4) | 856 | 713,005 |
Security | Principal Amount* (000's omitted) | Value | |
Healthcare (continued) | |||
Tenet Healthcare Corp., 4.875%, 1/1/26 | 758 | $ 747,601 | |
Teva Pharmaceutical Finance Netherlands III B.V., 2.80%, 7/21/23 | 85 | 84,445 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(4) | 416 | 371,729 | |
$ 3,973,046 | |||
Homebuilders & Real Estate — 5.0% | |||
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(4) | 271 | $ 255,021 | |
Greystar Real Estate Partners, LLC, 5.75%, 12/1/25(4) | 921 | 901,843 | |
HAT Holdings I, LLC/HAT Holdings II, LLC, 6.00%, 4/15/25(4) | 342 | 332,844 | |
Meritage Homes Corp., 6.00%, 6/1/25 | 300 | 301,928 | |
Outfront Media Capital, LLC/Outfront Media Capital Corp., 6.25%, 6/15/25(4) | 403 | 403,853 | |
Starwood Property Trust, Inc., 3.75%, 12/31/24(4) | 684 | 640,203 | |
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.625%, 3/1/24(4) | 199 | 198,315 | |
VICI Properties, L.P./VICI Note Co., Inc., 3.50%, 2/15/25(4) | 619 | 595,518 | |
Vivion Investments S.a.r.l., 3.00%, 8/8/24(6) | EUR | 100 | 80,729 |
$ 3,710,254 | |||
Insurance — 1.5% | |||
AssuredPartners, Inc., 7.00%, 8/15/25(4) | 342 | $ 338,995 | |
HUB International, Ltd., 7.00%, 5/1/26(4) | 387 | 385,783 | |
USI, Inc., 6.875%, 5/1/25(4) | 370 | 366,698 | |
$ 1,091,476 | |||
Leisure — 7.0% | |||
Life Time, Inc., 8.00%, 4/15/26(4) | 445 | $ 442,931 | |
Merlin Entertainments, Ltd., 5.75%, 6/15/26(4) | 400 | 380,426 | |
NCL Corp., Ltd.: | |||
3.625%, 12/15/24(4) | 1,152 | 1,081,339 | |
5.875%, 3/15/26(4) | 245 | 211,300 | |
Royal Caribbean Cruises, Ltd.: | |||
5.50%, 8/31/26(4) | 250 | 229,416 | |
11.625%, 8/15/27(4) | 225 | 239,575 | |
Sabre GLBL, Inc.: | |||
9.25%, 4/15/25(4) | 327 | 301,983 | |
11.25%, 12/15/27(4) | 143 | 125,751 | |
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(4) | 345 | 353,163 | |
Six Flags Entertainment Corp., 4.875%, 7/31/24(4) | 500 | 500,315 | |
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(4) | 200 | 185,887 |
Security | Principal Amount* (000's omitted) | Value | |
Leisure (continued) | |||
Vail Resorts, Inc., 6.25%, 5/15/25(4) | 450 | $ 453,906 | |
Viking Cruises, Ltd., 6.25%, 5/15/25(4) | 727 | 691,054 | |
$ 5,197,046 | |||
Metals & Mining — 0.7% | |||
New Gold, Inc., 7.50%, 7/15/27(4) | 500 | $ 482,445 | |
$ 482,445 | |||
Paper — 1.1% | |||
Clearwater Paper Corp., 5.375%, 2/1/25(4) | 187 | $ 183,475 | |
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(4) | 780 | 666,103 | |
$ 849,578 | |||
Publishing & Printing — 0.7% | |||
LABL, Inc., 10.50%, 7/15/27(4) | 250 | $ 237,864 | |
McGraw-Hill Education, Inc., 5.75%, 8/1/28(4) | 285 | 253,398 | |
$ 491,262 | |||
Railroad — 0.3% | |||
Watco Cos., LLC/Watco Finance Corp., 6.50%, 6/15/27(4) | 250 | $ 242,699 | |
$ 242,699 | |||
Restaurant — 3.1% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc., 5.75%, 4/15/25(4) | 356 | $ 357,168 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(4) | 1,118 | 1,137,811 | |
IRB Holding Corp., 7.00%, 6/15/25(4) | 753 | 762,974 | |
$ 2,257,953 | |||
Services — 5.7% | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp.: | |||
6.625%, 7/15/26(4) | 442 | $ 426,661 | |
9.75%, 7/15/27(4) | 200 | 186,308 | |
Aramark Services, Inc., 6.375%, 5/1/25(4) | 910 | 911,183 | |
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC, 7.125%, 7/31/26(4) | 827 | 807,030 | |
Hertz Corp. (The), 4.625%, 12/1/26(4) | 279 | 251,569 | |
Korn Ferry, 4.625%, 12/15/27(4) | 380 | 361,427 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(4) | 350 | 328,490 | |
WESCO Distribution, Inc., 7.125%, 6/15/25(4) | 899 | 915,579 | |
$ 4,188,247 |
Security | Principal Amount* (000's omitted) | Value | |
Steel — 1.2% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 515 | $ 521,247 | |
Cleveland-Cliffs, Inc., 6.75%, 3/15/26(4) | 376 | 382,886 | |
$ 904,133 | |||
Super Retail — 2.1% | |||
Bath & Body Works, Inc., 9.375%, 7/1/25(4) | 309 | $ 331,042 | |
Dufry One B.V., 2.50%, 10/15/24(6) | EUR | 350 | 379,072 |
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28(4) | 127 | 127,291 | |
Hanesbrands, Inc., 4.875%, 5/15/26(4) | 300 | 283,089 | |
Kohl's Corp., 4.25%, 7/17/25 | 270 | 252,644 | |
William Carter Co. (The), 5.625%, 3/15/27(4) | 185 | 182,933 | |
$ 1,556,071 | |||
Technology — 4.2% | |||
Clarios Global, L.P., 6.75%, 5/15/25(4) | 299 | $ 299,841 | |
Clarios Global, L.P./Clarios US Finance Co., 8.50%, 5/15/27(4) | 750 | 755,791 | |
Gen Digital, Inc.: | |||
5.00%, 4/15/25(4) | 322 | 318,828 | |
6.75%, 9/30/27(4) | 500 | 504,510 | |
Seagate HDD Cayman: | |||
4.75%, 1/1/25 | 410 | 399,174 | |
4.875%, 3/1/24 | 350 | 345,208 | |
Sensata Technologies B.V., 5.00%, 10/1/25(4) | 500 | 493,020 | |
$ 3,116,372 | |||
Telecommunications — 3.2% | |||
Altice France S.A., 2.50%, 1/15/25(6) | EUR | 200 | $ 204,755 |
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(4) | 285 | 271,996 | |
Iliad Holding SASU, 6.50%, 10/15/26(4) | 460 | 443,031 | |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(4) | 600 | 570,751 | |
Sprint, LLC, 7.125%, 6/15/24 | 600 | 610,363 | |
Viasat, Inc., 5.625%, 9/15/25(4) | 300 | 286,806 | |
$ 2,387,702 | |||
Transport Excluding Air & Rail — 0.8% | |||
Fenix Marine Service Holdings, Ltd., 8.00%, 1/15/24 | 562 | $ 562,225 | |
$ 562,225 | |||
Utility — 2.0% | |||
AmeriGas Partners, L.P./AmeriGas Finance Corp., 5.50%, 5/20/25 | 807 | $ 784,730 |
Security | Principal Amount* (000's omitted) | Value | |
Utility (continued) | |||
NextEra Energy Operating Partners, L.P., 4.25%, 7/15/24(4) | 741 | $ 731,052 | |
$ 1,515,782 | |||
Total Corporate Bonds (identified cost $64,279,095) | $63,558,108 |
Senior Floating-Rate Loans — 5.7%(7) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Air Transportation — 1.3% | |||
Mileage Plus Holdings, LLC, Term Loan, 10.213%, (3 mo. USD LIBOR + 5.25%), 6/21/27 | $ | 901 | $ 939,533 |
$ 939,533 | |||
Gaming — 0.8% | |||
Spectacle Gary Holdings, LLC, Term Loan, 9.275%, (1 mo. USD LIBOR + 4.25%), 12/10/28 | $ | 641 | $ 622,545 |
$ 622,545 | |||
Healthcare — 0.3% | |||
Pluto Acquisition I, Inc., Term Loan, 8.953%, (3 mo. USD LIBOR + 4.00%), 6/22/26 | $ | 196 | $ 142,754 |
Verscend Holding Corp., Term Loan, 8/27/25(8) | 50 | 50,301 | |
$ 193,055 | |||
Services — 0.5% | |||
Travelport Finance (Luxembourg) S.a.r.l., Term Loan, 13.775%, (1 mo. USD LIBOR + 8.75%), 6.525% cash, 7.25% PIK, 2/28/25 | $ | 374 | $ 379,414 |
$ 379,414 | |||
Super Retail — 1.6% | |||
Michaels Companies, Inc., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 4/15/28 | $ | 155 | $ 142,155 |
PetSmart, Inc., Term Loan, 8.832%, (SOFR + 3.75%), 2/11/28 | 1,070 | 1,064,665 | |
$ 1,206,820 | |||
Technology — 1.2% | |||
GoTo Group, Inc., Term Loan, 9.775%, (1 mo. USD LIBOR + 4.75%), 8/31/27 | $ | 2 | $ 1,071 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Technology (continued) | |||
Presidio Holdings, Inc., Term Loan, 8.643%, (SOFR + 3.50%), 1/22/27(9) | $ | 836 | $ 833,171 |
Riverbed Technology, Inc., Term Loan, 12.84%, (3 mo. USD LIBOR + 8.00%), 10.84% cash, 2.00% PIK, 12/7/26 | 52 | 16,719 | |
$ 850,961 | |||
Total Senior Floating-Rate Loans (identified cost $4,244,352) | $ 4,192,328 |
Short-Term Investments — 6.6% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(10) | 4,845,776 | $ 4,845,776 | |
Total Short-Term Investments (identified cost $4,845,776) | $ 4,845,776 | ||
Total Investments — 98.6% (identified cost $73,741,517) | $72,893,470 | ||
Other Assets, Less Liabilities — 1.4% | $ 1,064,955 | ||
Net Assets — 100.0% | $73,958,425 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Amount is less than 0.05%. |
(2) | Non-income producing security. |
(3) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $48,935,516 or 66.2% of the Fund's net assets. |
(5) | Issuer is in default with respect to interest and/or principal payments. |
(6) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $1,135,461 or 1.5% of the Fund's net assets. |
(7) | 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 London Interbank Offered Rate (“LIBOR”) or 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. |
(8) | This Senior Loan will settle after April 30, 2023, at which time the interest rate will be determined. |
(9) | The stated interest rate represents the weighted average interest rate at April 30, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(10) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 401,563 | EUR | 361,654 | HSBC Bank USA, N.A. | 7/31/23 | $ 1,086 | $ — |
USD | 361,599 | EUR | 325,586 | HSBC Bank USA, N.A. | 7/31/23 | 1,063 | — |
$2,149 | $ — |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
Currency Abbreviations: | |
EUR | – Euro |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $68,895,741) | $ 68,047,694 |
Affiliated investment, at value (identified cost $4,845,776) | 4,845,776 |
Cash | 34,020 |
Foreign currency, at value (identified cost $3,914) | 3,907 |
Interest receivable | 1,140,322 |
Dividends receivable from affiliated investment | 12,253 |
Receivable for investments sold | 547,567 |
Receivable for Fund shares sold | 316,961 |
Receivable for open forward foreign currency exchange contracts | 2,149 |
Receivable from affiliate | 17,714 |
Total assets | $74,968,363 |
Liabilities | |
Payable for investments purchased | $ 467,485 |
Payable for Fund shares redeemed | 409,169 |
Distributions payable | 4,866 |
Payable to affiliates: | |
Investment adviser and administration fee | 32,152 |
Distribution and service fees | 1,194 |
Trustees' fees | 411 |
Accrued expenses | 94,661 |
Total liabilities | $ 1,009,938 |
Net Assets | $73,958,425 |
Sources of Net Assets | |
Paid-in capital | $ 79,180,407 |
Accumulated loss | (5,221,982) |
Net Assets | $73,958,425 |
Class A Shares | |
Net Assets | $ 5,831,212 |
Shares Outstanding | 659,271 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.84 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 9.14 |
Class I Shares | |
Net Assets | $ 68,127,213 |
Shares Outstanding | 7,693,428 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.86 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income | $ 9,177 |
Dividend income from affiliated investment | 59,825 |
Interest and other income | 2,159,431 |
Total investment income | $ 2,228,433 |
Expenses | |
Investment adviser and administration fee | $ 190,807 |
Distribution and service fees: | |
Class A | 8,022 |
Trustees’ fees and expenses | 2,458 |
Custodian fee | 22,987 |
Transfer and dividend disbursing agent fees | 38,783 |
Legal and accounting services | 37,082 |
Printing and postage | 6,653 |
Registration fees | 20,359 |
Miscellaneous | 7,102 |
Total expenses | $ 334,253 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 101,365 |
Total expense reductions | $ 101,365 |
Net expenses | $ 232,888 |
Net investment income | $ 1,995,545 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (1,188,334) |
Foreign currency transactions | (321) |
Forward foreign currency exchange contracts | (59,960) |
Net realized loss | $(1,248,615) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 2,141,883 |
Foreign currency | 612 |
Forward foreign currency exchange contracts | (5,314) |
Net change in unrealized appreciation (depreciation) | $ 2,137,181 |
Net realized and unrealized gain | $ 888,566 |
Net increase in net assets from operations | $ 2,884,111 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,995,545 | $ 2,686,084 |
Net realized loss | (1,248,615) | (917,213) |
Net change in unrealized appreciation (depreciation) | 2,137,181 | (3,752,930) |
Net increase (decrease) in net assets from operations | $ 2,884,111 | $ (1,984,059) |
Distributions to shareholders: | ||
Class A | $ (198,064) | $ (278,639) |
Class I | (2,000,534) | (2,549,762) |
Total distributions to shareholders | $ (2,198,598) | $ (2,828,401) |
Transactions in shares of beneficial interest: | ||
Class A | $ (918,305) | $ 164,876 |
Class I | (1,817,249) | 11,717,543 |
Net increase (decrease) in net assets from Fund share transactions | $ (2,735,554) | $11,882,419 |
Net increase (decrease) in net assets | $ (2,050,041) | $ 7,069,959 |
Net Assets | ||
At beginning of period | $ 76,008,466 | $ 68,938,507 |
At end of period | $73,958,425 | $76,008,466 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.750 | $ 9.500 | $ 9.120 | $ 9.540 | $ 9.470 | $ 9.820 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.242 | $ 0.355 | $ 0.356 | $ 0.394 | $ 0.432 | $ 0.439 |
Net realized and unrealized gain (loss) | 0.116 | (0.730) | 0.401 | (0.387) | 0.070 | (0.350) |
Total income (loss) from operations | $ 0.358 | $(0.375) | $ 0.757 | $ 0.007 | $ 0.502 | $ 0.089 |
Less Distributions | ||||||
From net investment income | $ (0.268) | $ (0.375) | $ (0.377) | $ (0.414) | $ (0.432) | $ (0.439) |
Tax return of capital | — | — | — | (0.013) | — | — |
Total distributions | $(0.268) | $(0.375) | $(0.377) | $(0.427) | $(0.432) | $(0.439) |
Net asset value — End of period | $ 8.840 | $ 8.750 | $ 9.500 | $ 9.120 | $ 9.540 | $ 9.470 |
Total Return(2)(3) | 4.14% (4) | (4.00)% | 8.39% | 0.15% | 5.41% | 0.93% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 5,831 | $ 6,683 | $ 7,059 | $ 6,537 | $ 6,914 | $ 4,726 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3) | 0.90% (6)(7) | 0.90% (7) | 0.90% | 0.90% | 0.90% | 0.91% (8) |
Net investment income | 5.53% (6) | 3.89% | 3.76% | 4.29% | 4.54% | 4.55% |
Portfolio Turnover of the Portfolio(9) | — | — | — | 50% | 63% | 52% |
Portfolio Turnover of the Fund | 38% (4) | 96% | 75% | 34% (10) | — | — |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.29%, 0.23%, 0.30%, 0.31%, 0.39% and 0.38% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses for the period while the Fund was investing in the Portfolio. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser and administrator of a portion of its investment adviser and administration fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(8) | Includes interest expense of 0.01% of average daily net assets for the year ended October 31, 2018. |
(9) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(10) | For the period from June 15, 2020 through October 31, 2020 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Short Duration High Income Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on June 12, 2020 and which had the same investment objective and policies as the Fund during such period. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.760 | $ 9.510 | $ 9.130 | $ 9.560 | $ 9.490 | $ 9.840 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.253 | $ 0.381 | $ 0.375 | $ 0.417 | $ 0.457 | $ 0.462 |
Net realized and unrealized gain (loss) | 0.126 | (0.733) | 0.407 | (0.396) | 0.069 | (0.348) |
Total income (loss) from operations | $ 0.379 | $ (0.352) | $ 0.782 | $ 0.021 | $ 0.526 | $ 0.114 |
Less Distributions | ||||||
From net investment income | $ (0.279) | $ (0.398) | $ (0.402) | $ (0.437) | $ (0.456) | $ (0.464) |
Tax return of capital | — | — | — | (0.014) | — | — |
Total distributions | $ (0.279) | $ (0.398) | $ (0.402) | $ (0.451) | $ (0.456) | $ (0.464) |
Net asset value — End of period | $ 8.860 | $ 8.760 | $ 9.510 | $ 9.130 | $ 9.560 | $ 9.490 |
Total Return(2)(3) | 4.38% (4) | (3.75)% | 8.65% | 0.30% | 5.67% | 1.19% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $68,127 | $69,325 | $61,879 | $41,585 | $49,780 | $40,712 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses (3) | 0.65% (6)(7) | 0.65% (7) | 0.65% | 0.65% | 0.65% | 0.66% (8) |
Net investment income | 5.78% (6) | 4.18% | 3.95% | 4.53% | 4.79% | 4.79% |
Portfolio Turnover of the Portfolio(9) | — | — | — | 50% | 63% | 52% |
Portfolio Turnover of the Fund | 38% (4) | 96% | 75% | 34% (10) | — | — |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.29%, 0.23%, 0.30%, 0.31%, 0.39% and 0.38% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses for the period while the Fund was investing in the Portfolio. |
(6) | Annualized. |
(7) | Includes a reduction by the investment adviser and administrator of a portion of its investment adviser and administration fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(8) | Includes interest expense of 0.01% of average daily net assets for the year ended October 31, 2018. |
(9) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(10) | For the period from June 15, 2020 through October 31, 2020 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Short Duration High Income Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on June 12, 2020 and which had the same investment objective and policies as the Fund during such period. |
Aggregate cost | $ 73,979,057 |
Gross unrealized appreciation | $ 352,897 |
Gross unrealized depreciation | (1,436,335) |
Net unrealized depreciation | $ (1,083,438) |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.550% |
$1 billion but less than $2.5 billion | 0.525% |
$2.5 billion but less than $5 billion | 0.505% |
$5 billion and over | 0.490% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 73,458 | $ 647,777 | 156,200 | $ 1,414,154 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 21,526 | 189,805 | 29,979 | 270,963 | |
Redemptions | (199,435) | (1,755,887) | (165,322) | (1,520,241) | |
Net increase (decrease) | (104,451) | $ (918,305) | 20,857 | $ 164,876 | |
Class I | |||||
Sales | 3,428,899 | $ 30,291,736 | 6,766,427 | $ 60,662,464 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 223,449 | 1,973,429 | 278,621 | 2,518,053 | |
Redemptions | (3,872,393) | (34,082,414) | (5,636,745) | (51,462,974) | |
Net increase (decrease) | (220,045) | $ (1,817,249) | 1,408,303 | $ 11,717,543 |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Forward foreign currency exchange contracts | $2,149 (1) | $ — |
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts. |
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) |
HSBC Bank USA, N.A. | $2,149 | $ — | $ — | $ — | $2,149 |
(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. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Forward foreign currency exchange contracts | $(59,960) | $(5,314) |
(1) | Statement of Operations location: Net realized gain (loss) - Forward foreign currency exchange contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation) - Forward foreign currency exchange contracts. |
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 | $4,521,527 | $26,981,712 | $(26,657,463) | $ — | $ — | $4,845,776 | $59,825 | 4,845,776 |
• | 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 |
Common Stocks | $ — | $ 213 | $ — | $ 213 |
Convertible Bonds | — | 296,895 | — | 296,895 |
Convertible Preferred Stocks | — | 150 | — | 150 |
Corporate Bonds | — | 63,558,108 | — | 63,558,108 |
Senior Floating-Rate Loans | — | 4,192,328 | — | 4,192,328 |
Short-Term Investments | 4,845,776 | — | — | 4,845,776 |
Total Investments | $ 4,845,776 | $ 68,047,694 | $ — | $72,893,470 |
Forward Foreign Currency Exchange Contracts | $ — | $ 2,149 | $ — | $ 2,149 |
Total | $ 4,845,776 | $ 68,049,843 | $ — | $72,895,619 |
Officers | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception |
Class A at NAV | 11/03/2014 | 11/01/2013 | 15.33% | 3.16% | 2.41% | 3.18% |
Class A with 5.25% Maximum Sales Charge | — | — | 9.30 | (2.24) | 1.31 | 2.54 |
Class I at NAV | 11/03/2014 | 11/01/2013 | 15.41 | 3.39 | 2.65 | 3.40 |
MSCI Emerging Markets Equal Country Weighted Index | — | — | 13.94% | 0.35% | (0.30)% | 0.52% |
MSCI Frontier Markets Index | — | — | 7.39 | (14.81) | (2.13) | 1.72 |
Blended Index | — | — | 10.65 | (7.30) | (1.02) | 1.29 |
% Total Annual Operating Expense Ratios3 | Class A | Class I |
Gross | 1.67% | 1.42% |
Net | 1.42 | 1.17 |
Sector Allocation (% of net assets)1,2 |
Country Allocation (% of net assets)1 |
1 | Depiction does not reflect the Fund’s derivatives positions. |
2 | Excludes cash and cash equivalents. |
1 | MSCI Emerging Markets Equal Country Weighted Index is an unmanaged index of emerging markets common stock where each country within the index has the same weight. MSCI Frontier Markets Index is an unmanaged index that measures the performance of stock markets with less-developed economies and financial markets than emerging markets, and that typically have more restrictions on foreign stock ownership. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The Blended Index consists of 50% MSCI Emerging Markets Equal Country Weighted Index and 50% MSCI Frontier Markets Index, rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of Class A and Class I is linked to the performance of Global Macro Capital Opportunities Portfolio (the Portfolio) in which the Fund invests. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. Performance since inception for an index, if presented, is the performance since the Portfolio’s inception. Performance presented in the Financial Highlights included in the financial statements is not linked. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 2/29/24. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Additional Information | |
Effective June 30, 2023, the portfolio managers of the Fund and the Portfolio will be Marshall L. Stocker and Steven Vanne. |
Beginning Account Value (11/1/22) | Ending Account Value (4/30/23) | Expenses Paid During Period* (11/1/22 – 4/30/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,153.30 | $7.47** | 1.40% |
Class I | $1,000.00 | $1,154.10 | $6.14** | 1.15% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,017.85 | $7.00** | 1.40% |
Class I | $1,000.00 | $1,019.09 | $5.76** | 1.15% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on October 31, 2022. The Example reflects the expenses of both the Fund and the Portfolio. |
** | Absent an allocation of certain expenses to affiliates, expenses would be higher. |
April 30, 2023 | |
Assets | |
Investment in Global Macro Capital Opportunities Portfolio, at value (identified cost $194,354,276) | $ 233,873,674 |
Receivable for Fund shares sold | 219,700 |
Total assets | $234,093,374 |
Liabilities | |
Payable for Fund shares redeemed | $ 90,095 |
Payable to affiliates: | |
Distribution and service fees | 636 |
Trustees' fees | 43 |
Other | 42,032 |
Accrued expenses | 56,846 |
Total liabilities | $ 189,652 |
Net Assets | $233,903,722 |
Sources of Net Assets | |
Paid-in capital | $ 208,254,579 |
Distributable earnings | 25,649,143 |
Net Assets | $233,903,722 |
Class A Shares | |
Net Assets | $ 3,113,887 |
Shares Outstanding | 271,245 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 11.48 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 12.12 |
Class I Shares | |
Net Assets | $ 230,789,835 |
Shares Outstanding | 19,973,007 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 11.56 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $273,849) | $ 2,522,845 |
Interest income allocated from Portfolio (net of foreign taxes withheld of $11) | 89,122 |
Expenses allocated from Portfolio | (1,182,786) |
Total investment income from Portfolio | $ 1,429,181 |
Expenses | |
Distribution and service fees: | |
Class A | $ 3,654 |
Trustees’ fees and expenses | 251 |
Custodian fee | 12,217 |
Transfer and dividend disbursing agent fees | 65,352 |
Legal and accounting services | 10,582 |
Printing and postage | 9,433 |
Registration fees | 24,185 |
Miscellaneous | 2,572 |
Total expenses | $ 128,246 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 123,964 |
Total expense reductions | $ 123,964 |
Net expenses | $ 4,282 |
Net investment income | $ 1,424,899 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $346,973) | $ (6,831,370) |
Futures contracts | 435,824 |
Swap contracts | (51,916) |
Foreign currency transactions | 214,711 |
Forward foreign currency exchange contracts | 197,477 |
Net realized loss | $ (6,035,274) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $22,766) | $ 34,004,829 |
Written options | 27,800 |
Futures contracts | 182,854 |
Swap contracts | 130,896 |
Foreign currency | 123,560 |
Forward foreign currency exchange contracts | (1,133,942) |
Net change in unrealized appreciation (depreciation) | $33,335,997 |
Net realized and unrealized gain | $27,300,723 |
Net increase in net assets from operations | $28,725,622 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,424,899 | $ 3,945,419 |
Net realized loss | (6,035,274) | (1,544,189) |
Net change in unrealized appreciation (depreciation) | 33,335,997 | (36,582,070) |
Net increase (decrease) in net assets from operations | $ 28,725,622 | $ (34,180,840) |
Distributions to shareholders: | ||
Class A | $ (150,490) | $ (30,411) |
Class I | (10,163,031) | (5,228,045) |
Total distributions to shareholders | $ (10,313,521) | $ (5,258,456) |
Transactions in shares of beneficial interest: | ||
Class A | $ 511,964 | $ 1,245,692 |
Class I | 31,216,341 | 31,510,639 |
Net increase in net assets from Fund share transactions | $ 31,728,305 | $ 32,756,331 |
Net increase (decrease) in net assets | $ 50,140,406 | $ (6,682,965) |
Net Assets | ||
At beginning of period | $ 183,763,316 | $ 190,446,281 |
At end of period | $233,903,722 | $183,763,316 |
Class A | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 10.510 | $ 12.990 | $ 9.610 | $10.100 | $ 9.700 | $10.950 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.061 | $ 0.221 | $ 0.073 | $ 0.040 | $ 0.091 | $ 0.068 |
Net realized and unrealized gain (loss) | 1.495 | (2.387) | 3.307 | (0.349) | 0.571 | (1.318) |
Total income (loss) from operations | $ 1.556 | $ (2.166) | $ 3.380 | $ (0.309) | $ 0.662 | $ (1.250) |
Less Distributions | ||||||
From net investment income | $ (0.586) | $ (0.096) | $ — | $ (0.181) | $ (0.262) | $ — |
From net realized gain | — | (0.218) | — | — | — | — |
Total distributions | $ (0.586) | $ (0.314) | $ — | $ (0.181) | $ (0.262) | $ — |
Net asset value — End of period | $11.480 | $10.510 | $12.990 | $ 9.610 | $10.100 | $ 9.700 |
Total Return(2) | 15.33% (3)(4) | (17.13)% (4) | 35.17% | (3.20)% (4) | 7.05% (4) | (11.42)% (4) |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 3,114 | $ 2,340 | $ 1,387 | $ 1,572 | $ 2,328 | $ 2,657 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 1.40% (4)(6)(7) | 1.56% (4)(6) | 1.64% | 1.65% (4) | 1.66% (4)(8) | 1.65% (4) |
Net investment income | 1.11% (7) | 1.90% | 0.60% | 0.43% | 0.91% | 0.62% |
Portfolio Turnover of the Portfolio | 47% (3) | 67% | 70% | 44% | 43% | 39% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.12%, 0.09%, 0.08%, 0.07% and 0.02% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(7) | Annualized. |
(8) | Includes interest expense of 0.01% of average daily net assets for the year ended October 31, 2019. |
Class I | ||||||
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 10.580 | $ 13.080 | $ 9.660 | $ 10.150 | $ 9.740 | $ 10.980 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.077 | $ 0.252 | $ 0.111 | $ 0.067 | $ 0.117 | $ 0.092 |
Net realized and unrealized gain (loss) | 1.506 | (2.398) | 3.321 | (0.348) | 0.572 | (1.332) |
Total income (loss) from operations | $ 1.583 | $ (2.146) | $ 3.432 | $ (0.281) | $ 0.689 | $ (1.240) |
Less Distributions | ||||||
From net investment income | $ (0.603) | $ (0.136) | $ (0.012) | $ (0.209) | $ (0.279) | $ — |
From net realized gain | — | (0.218) | — | — | — | — |
Total distributions | $ (0.603) | $ (0.354) | $ (0.012) | $ (0.209) | $ (0.279) | $ — |
Net asset value — End of period | $ 11.560 | $ 10.580 | $ 13.080 | $ 9.660 | $ 10.150 | $ 9.740 |
Total Return(2) | 15.41% (3)(4) | (16.91)% (4) | 35.54% | (2.93)% (4) | 7.31% (4) | (11.29)% (4) |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $230,790 | $181,423 | $189,060 | $143,908 | $176,468 | $159,428 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses | 1.15% (4)(6)(7) | 1.31% (4)(6) | 1.39% | 1.40% (4) | 1.41% (4)(8) | 1.40% (4) |
Net investment income | 1.39% (7) | 2.12% | 0.89% | 0.71% | 1.17% | 0.82% |
Portfolio Turnover of the Portfolio | 47% (3) | 67% | 70% | 44% | 43% | 39% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | The investment adviser reimbursed certain operating expenses (equal to 0.12%, 0.09%, 0.08%, 0.07% and 0.02% of average daily net assets for the six months ended April 30, 2023 and the years ended October 31, 2022, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(6) | Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(7) | Annualized. |
(8) | Includes interest expense of 0.01% of average daily net assets for the year ended October 31, 2019. |
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% |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 80,225 | $ 873,971 | 144,260 | $ 1,595,090 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 7,187 | 75,324 | 2,259 | 29,187 | |
Redemptions | (38,829) | (437,331) | (30,591) | (378,585) | |
Net increase | 48,583 | $ 511,964 | 115,928 | $ 1,245,692 | |
Class I | |||||
Sales | 4,490,168 | $ 50,186,958 | 4,906,903 | $ 57,594,274 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 964,078 | 10,161,384 | 402,704 | 5,227,095 | |
Redemptions | (2,629,207) | (29,132,001) | (2,618,985) | (31,310,730) | |
Net increase | 2,825,039 | $ 31,216,341 | 2,690,622 | $ 31,510,639 |
Common Stocks — 90.0% |
Security | Shares | Value | |
Bulgaria — 0.3% | |||
Eurohold Bulgaria AD(1) | 998,722 | $ 747,039 | |
$ 747,039 | |||
China — 3.3% | |||
Alibaba Group Holding, Ltd.(1) | 65,100 | $ 688,343 | |
Alibaba Health Information Technology, Ltd.(1) | 38,000 | 27,391 | |
Anhui Conch Cement Co., Ltd., Class H | 9,500 | 29,996 | |
ANTA Sports Products, Ltd. | 6,400 | 79,528 | |
Baidu, Inc., Class A(1) | 10,450 | 157,292 | |
BeiGene, Ltd.(1) | 3,500 | 68,684 | |
Bilibili, Inc., Class Z(1) | 1,420 | 28,887 | |
BYD Co., Ltd., Class A | 900 | 33,350 | |
BYD Co., Ltd., Class H | 4,000 | 121,305 | |
China Conch Venture Holdings, Ltd. | 14,500 | 23,135 | |
China Gas Holdings, Ltd. | 23,000 | 29,589 | |
China International Capital Corp., Ltd., Class H(2) | 13,600 | 28,577 | |
China Life Insurance Co., Ltd., Class H | 41,000 | 78,767 | |
China Longyuan Power Group Corp., Ltd., Class H | 26,000 | 27,286 | |
China Mengniu Dairy Co., Ltd.(1) | 17,000 | 68,622 | |
China National Building Material Co., Ltd., Class H | 34,000 | 25,511 | |
China Overseas Land & Investment, Ltd. | 22,000 | 55,795 | |
China Pacific Insurance (Group) Co., Ltd., Class H | 17,200 | 51,377 | |
China Petroleum & Chemical Corp., Class H | 140,000 | 91,758 | |
China Resources Beer Holdings Co., Ltd. | 10,000 | 77,248 | |
China Resources Gas Group, Ltd. | 7,800 | 24,619 | |
China Resources Land, Ltd. | 18,000 | 83,822 | |
China Resources Mixc Lifestyle Services, Ltd.(2) | 5,800 | 30,749 | |
China Resources Power Holdings Co., Ltd. | 16,000 | 34,836 | |
China Shenhua Energy Co., Ltd., Class H | 19,500 | 64,770 | |
China Tourism Group Duty Free Corp., Ltd., Class A | 1,000 | 23,331 | |
China Tower Corp., Ltd., Class H(2) | 328,000 | 41,860 | |
China Vanke Co., Ltd., Class H | 15,200 | 23,762 | |
China Yangtze Power Co., Ltd., Class A | 11,000 | 34,777 | |
CITIC Securities Co., Ltd., Class H | 16,000 | 33,690 | |
CITIC, Ltd. | 39,000 | 48,956 | |
Contemporary Amperex Technology Co., Ltd., Class A | 1,620 | 54,209 | |
COSCO SHIPPING Holdings Co., Ltd., Class H | 29,500 | 34,265 | |
Country Garden Holdings Co., Ltd. | 96,000 | 24,730 | |
Country Garden Services Holdings Co., Ltd. | 15,000 | 23,573 | |
CSPC Pharmaceutical Group, Ltd. | 52,000 | 52,951 | |
East Buy Holding, Ltd.(1)(2) | 3,500 | 12,134 | |
ENN Energy Holdings, Ltd. | 4,400 | 60,331 | |
Foshan Haitian Flavouring & Food Co., Ltd., Class A(1) | 2,300 | 23,491 | |
Fuyao Glass Industry Group Co., Ltd., Class H(2) | 6,000 | 24,410 |
Security | Shares | Value | |
China (continued) | |||
Ganfeng Lithium Group Co., Ltd., Class H(2) | 6,000 | $ 39,587 | |
GCL Technology Holdings, Ltd.(1) | 145,000 | 36,408 | |
Geely Automobile Holdings, Ltd. | 36,000 | 44,692 | |
Genscript Biotech Corp.(1) | 10,000 | 26,434 | |
Great Wall Motor Co., Ltd., Class H | 24,000 | 29,126 | |
Guangdong Investment, Ltd. | 28,000 | 26,767 | |
H World Group, Ltd. ADR(1) | 1,200 | 56,280 | |
Haidilao International Holding, Ltd.(1)(2) | 11,000 | 26,894 | |
Haier Smart Home Co., Ltd., Class H | 14,200 | 46,286 | |
Hengan International Group Co., Ltd. | 6,000 | 26,799 | |
Hygeia Healthcare Holdings Co., Ltd.(1)(2) | 3,400 | 25,055 | |
Innovent Biologics, Inc.(1)(2) | 7,000 | 33,656 | |
iQIYI, Inc. ADR(1) | 4,200 | 25,620 | |
JD Health International, Inc.(1)(2) | 6,700 | 48,348 | |
JD.com, Inc., Class A | 9,850 | 175,801 | |
Kanzhun, Ltd. ADR(1) | 1,400 | 25,886 | |
KE Holdings, Inc. ADR(1) | 3,700 | 58,053 | |
Kingdee International Software Group Co., Ltd.(1) | 18,000 | 27,678 | |
Kingsoft Corp., Ltd. | 8,400 | 36,924 | |
Kuaishou Technology Co., Ltd.(1)(2) | 9,400 | 62,229 | |
Kunlun Energy Co., Ltd. | 36,000 | 33,372 | |
Kweichow Moutai Co., Ltd., Class A | 400 | 101,825 | |
Lenovo Group, Ltd. | 52,000 | 53,200 | |
Li Auto, Inc., Class A(1) | 6,200 | 73,432 | |
Li Ning Co., Ltd. | 12,000 | 85,819 | |
Longfor Group Holdings, Ltd.(2) | 13,000 | 35,574 | |
LONGi Green Energy Technology Co., Ltd., Class A | 4,200 | 21,216 | |
Luzhou Laojiao Co., Ltd., Class A | 800 | 26,141 | |
Meituan, Class B(1)(2) | 19,700 | 336,682 | |
NetEase, Inc. | 9,400 | 167,343 | |
New Oriental Education & Technology Group, Inc.(1) | 10,400 | 47,232 | |
NIO, Inc. ADR(1) | 7,200 | 56,664 | |
Nongfu Spring Co., Ltd., Class H(2) | 10,400 | 56,428 | |
PDD Holdings, Inc. ADR(1) | 2,300 | 156,745 | |
People's Insurance Co. Group of China, Ltd., Class H | 82,000 | 32,251 | |
PetroChina Co., Ltd., Class H | 120,000 | 83,356 | |
PICC Property & Casualty Co., Ltd., Class H | 46,000 | 55,635 | |
Ping An Insurance Group Co. of China, Ltd., Class A | 4,900 | 36,741 | |
Ping An Insurance Group Co. of China, Ltd., Class H | 29,500 | 215,218 | |
Shandong Weigao Group Medical Polymer Co., Ltd., Class H | 20,000 | 34,128 | |
Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A | 700 | 25,150 | |
Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 600 | 27,063 | |
Shenzhou International Group Holdings, Ltd. | 4,800 | 46,105 | |
Silergy Corp. | 2,000 | 31,569 | |
Sino Biopharmaceutical, Ltd. | 71,000 | 39,412 |
Security | Shares | Value | |
China (continued) | |||
Sinopharm Group Co., Ltd., Class H | 12,000 | $ 42,507 | |
Smoore International Holdings, Ltd.(2) | 18,000 | 21,042 | |
Sunny Optical Technology Group Co., Ltd. | 4,200 | 44,383 | |
TAL Education Group ADR(1) | 4,100 | 24,026 | |
Tencent Holdings, Ltd. | 27,300 | 1,212,560 | |
Tencent Music Entertainment Group ADR(1) | 5,000 | 37,050 | |
Tingyi (Cayman Islands) Holding Corp. | 18,000 | 31,456 | |
Tongcheng Travel Holdings, Ltd.(1) | 12,000 | 25,526 | |
Trip.com Group, Ltd. ADR(1) | 2,800 | 99,428 | |
Tsingtao Brewery Co., Ltd., Class H | 4,000 | 42,822 | |
Vipshop Holdings, Ltd. ADR(1) | 2,900 | 45,530 | |
Wanhua Chemical Group Co., Ltd.(1) | 1,900 | 25,330 | |
Want Want China Holdings, Ltd. | 44,000 | 28,061 | |
Weichai Power Co., Ltd., Class H | 19,000 | 28,085 | |
Wuliangye Yibin Co., Ltd., Class A | 1,500 | 36,648 | |
WuXi AppTec Co., Ltd., Class H(2) | 2,700 | 23,746 | |
WuXi Biologics Cayman, Inc.(1)(2) | 17,500 | 104,350 | |
Xinyi Solar Holdings, Ltd. | 34,000 | 36,553 | |
Xpeng, Inc., Class A(1) | 6,800 | 32,470 | |
Yadea Group Holdings, Ltd.(2) | 12,000 | 28,056 | |
Yankuang Energy Group Co., Ltd., Class H | 12,000 | 41,167 | |
Yum China Holdings, Inc. | 2,100 | 128,478 | |
Zai Lab, Ltd. ADR(1) | 800 | 27,984 | |
Zhongsheng Group Holdings, Ltd. | 5,500 | 23,493 | |
Zhuzhou CRRC Times Electric Co., Ltd., Class H | 5,200 | 20,987 | |
Zijin Mining Group Co., Ltd., Class H | 34,000 | 57,564 | |
ZTO Express Cayman, Inc. ADR | 2,400 | 66,432 | |
$ 7,640,265 | |||
Cyprus — 4.7% | |||
Bank of Cyprus Holdings PLC(1)(3) | 45,800 | $ 124,554 | |
Bank of Cyprus Holdings PLC(1)(3) | 3,947,608 | 10,957,297 | |
$ 11,081,851 | |||
Georgia — 9.0% | |||
Bank of Georgia Group PLC | 200,390 | $ 7,454,566 | |
Georgia Capital PLC(1) | 707,280 | 7,157,535 | |
TBC Bank Group PLC | 219,522 | 6,494,016 | |
$ 21,106,117 | |||
Greece — 16.1% | |||
Alpha Services and Holdings S.A.(1) | 2,988,462 | $ 3,746,439 | |
Athens Water Supply & Sewage Co. S.A. | 51,438 | 357,506 | |
Eurobank Ergasias Services and Holdings S.A.(1) | 3,411,650 | 4,823,831 | |
GEK Terna Holding Real Estate Construction S.A.(1) | 66,445 | 908,981 | |
Hellenic Telecommunications Organization S.A. | 231,741 | 3,386,127 |
Security | Shares | Value | |
Greece (continued) | |||
Helleniq Energy Holdings S.A. | 64,933 | $ 515,587 | |
Holding Co. ADMIE IPTO S.A. | 146,320 | 284,248 | |
JUMBO S.A. | 135,139 | 3,113,533 | |
LAMDA Development S.A.(1) | 81,571 | 503,893 | |
Motor Oil (Hellas) Corinth Refineries S.A. | 71,176 | 1,696,378 | |
Mytilineos S.A. | 115,688 | 3,356,431 | |
National Bank of Greece S.A.(1) | 359,515 | 1,881,398 | |
OPAP S.A. | 226,496 | 3,862,369 | |
Piraeus Financial Holdings S.A.(1) | 1,813,970 | 4,291,189 | |
Public Power Corp. S.A.(1) | 243,955 | 2,105,231 | |
Sarantis S.A. | 45,317 | 358,412 | |
Terna Energy S.A. | 67,592 | 1,498,381 | |
Titan Cement International S.A.(1) | 53,409 | 882,153 | |
$ 37,572,087 | |||
Hong Kong — 0.0%(4) | |||
Chow Tai Fook Jewellery Group, Ltd. | 16,000 | $ 32,131 | |
$ 32,131 | |||
India — 6.2% | |||
Adani Green Energy, Ltd.(1) | 14,178 | $ 165,685 | |
Adani Transmission, Ltd.(1) | 12,259 | 154,916 | |
Apollo Hospitals Enterprise, Ltd. | 4,774 | 264,634 | |
Asian Paints, Ltd. | 1,872 | 66,430 | |
Avenue Supermarts, Ltd.(1)(2) | 7,154 | 308,304 | |
Bajaj Finance, Ltd. | 11,417 | 878,239 | |
Bajaj Finserv, Ltd. | 16,719 | 278,008 | |
Bharti Airtel, Ltd. | 95,293 | 932,389 | |
Cholamandalam Investment & Finance Co., Ltd. | 14,109 | 151,301 | |
Cipla, Ltd. | 3,388 | 37,731 | |
Divi's Laboratories, Ltd. | 6,252 | 250,232 | |
Dr. Reddy's Laboratories, Ltd. | 739 | 44,384 | |
Eicher Motors, Ltd. | 1,090 | 44,097 | |
GAIL (India), Ltd. | 88,026 | 115,651 | |
Grasim Industries, Ltd. | 11,746 | 247,226 | |
Havells India, Ltd. | 9,907 | 149,223 | |
HCL Technologies, Ltd. | 4,848 | 63,317 | |
HDFC Life Insurance Co., Ltd.(2) | 6,699 | 43,548 | |
Hindalco Industries, Ltd. | 57,847 | 309,948 | |
Hindustan Unilever, Ltd. | 3,395 | 102,218 | |
Housing Development Finance Corp., Ltd. | 6,510 | 221,360 | |
Indian Railway Catering & Tourism Corp., Ltd. | 9,683 | 73,427 | |
Info Edge India, Ltd. | 2,581 | 119,515 | |
Infosys, Ltd. | 11,970 | 184,717 | |
ITC, Ltd. | 14,140 | 73,849 | |
Jindal Steel & Power, Ltd. | 13,591 | 97,107 |
Security | Shares | Value | |
India (continued) | |||
JSW Steel, Ltd. | 31,961 | $ 284,883 | |
Jubilant FoodWorks, Ltd. | 15,996 | 87,766 | |
Larsen & Toubro, Ltd. | 28,499 | 824,719 | |
LTIMindtree, Ltd.(2) | 3,328 | 180,545 | |
Mahindra & Mahindra, Ltd. | 36,818 | 553,138 | |
Maruti Suzuki India, Ltd. | 596 | 62,892 | |
Mphasis, Ltd. | 3,178 | 71,076 | |
Nestle India, Ltd. | 193 | 51,388 | |
NTPC, Ltd. | 22,489 | 47,433 | |
Petronet LNG, Ltd. | 28,740 | 83,421 | |
PI Industries, Ltd. | 2,863 | 118,478 | |
Power Grid Corp. of India, Ltd. | 17,659 | 51,154 | |
Reliance Industries, Ltd. | 123,358 | 3,662,472 | |
SBI Cards & Payment Services, Ltd. | 9,055 | 85,559 | |
SBI Life Insurance Co., Ltd.(2) | 2,822 | 39,424 | |
SRF, Ltd. | 5,781 | 179,749 | |
Sun Pharmaceutical Industries, Ltd. | 5,217 | 63,029 | |
Tata Consultancy Services, Ltd. | 3,464 | 136,774 | |
Tata Consumer Products, Ltd. | 26,081 | 243,395 | |
Tata Elxsi, Ltd. | 1,296 | 105,522 | |
Tata Motors, Ltd.(1) | 11,778 | 70,200 | |
Tata Steel, Ltd. | 327,127 | 433,896 | |
Tech Mahindra, Ltd. | 3,441 | 43,235 | |
Titan Co., Ltd. | 15,533 | 502,334 | |
Trent, Ltd. | 6,864 | 114,829 | |
Tube Investments of India, Ltd. | 4,113 | 130,280 | |
UltraTech Cement, Ltd. | 4,517 | 417,261 | |
UPL, Ltd. | 18,027 | 163,365 | |
Varun Beverages, Ltd. | 8,510 | 150,495 | |
Wipro, Ltd. | 8,368 | 39,593 | |
$ 14,375,761 | |||
Indonesia — 6.8% | |||
Adaro Energy Indonesia Tbk PT | 2,449,800 | $ 524,414 | |
Astra International Tbk PT | 3,027,700 | 1,396,584 | |
Bank Central Asia Tbk PT | 5,995,400 | 3,710,259 | |
Bank Jago Tbk PT(1) | 626,600 | 88,916 | |
Bank Mandiri Persero Tbk PT | 4,386,800 | 1,550,733 | |
Bank Negara Indonesia Persero Tbk PT | 1,209,700 | 779,589 | |
Bank Rakyat Indonesia Persero Tbk PT | 7,475,184 | 2,604,946 | |
Barito Pacific Tbk PT | 4,808,843 | 274,224 | |
Charoen Pokphand Indonesia Tbk PT | 1,315,900 | 411,976 | |
Kalbe Farma Tbk PT | 3,818,800 | 552,900 | |
Merdeka Copper Gold Tbk PT(1) | 2,079,800 | 561,044 | |
Sumber Alfaria Trijaya Tbk PT | 2,968,200 | 586,908 | |
Telkom Indonesia Persero Tbk PT | 6,925,700 | 2,006,020 |
Security | Shares | Value | |
Indonesia (continued) | |||
Unilever Indonesia Tbk PT | 1,221,400 | $ 366,858 | |
United Tractors Tbk PT | 284,400 | 561,427 | |
$ 15,976,798 | |||
Kazakhstan — 3.4% | |||
Halyk Savings Bank of Kazakhstan JSC GDR(5) | 96,220 | $ 1,289,348 | |
Kaspi.kz JSC GDR(5) | 54,990 | 4,536,675 | |
NAC Kazatomprom JSC GDR(5) | 74,240 | 2,108,416 | |
$ 7,934,439 | |||
Malaysia — 6.8% | |||
AMMB Holdings Bhd | 364,600 | $ 295,683 | |
Axiata Group Bhd | 540,500 | 363,167 | |
CELCOMDIGI Bhd | 580,700 | 573,513 | |
CIMB Group Holdings Bhd | 1,212,600 | 1,377,661 | |
Dialog Group Bhd | 701,100 | 360,951 | |
Genting Bhd | 398,900 | 421,328 | |
Genting Malaysia Bhd | 567,100 | 345,394 | |
Hong Leong Bank Bhd | 119,800 | 541,415 | |
IHH Healthcare Bhd | 332,700 | 428,140 | |
Inari Amertron Bhd | 542,000 | 281,379 | |
IOI Corp. Bhd | 473,300 | 406,540 | |
Kuala Lumpur Kepong Bhd | 81,800 | 395,099 | |
Malayan Banking Bhd | 840,800 | 1,633,910 | |
Maxis Bhd | 449,600 | 444,144 | |
MISC Bhd | 255,700 | 419,037 | |
Nestle Malaysia Bhd | 13,700 | 416,332 | |
Petronas Chemicals Group Bhd | 424,200 | 675,050 | |
Petronas Dagangan Bhd | 59,700 | 303,373 | |
Petronas Gas Bhd | 145,700 | 552,250 | |
PPB Group Bhd | 120,300 | 438,601 | |
Press Metal Aluminium Holdings Bhd | 660,800 | 765,721 | |
Public Bank Bhd | 2,524,300 | 2,204,342 | |
QL Resources Bhd | 221,000 | 280,032 | |
RHB Bank Bhd | 286,600 | 352,537 | |
Sime Darby Bhd | 542,000 | 264,096 | |
Sime Darby Plantation Bhd | 394,600 | 379,796 | |
Tenaga Nasional Bhd | 467,600 | 933,954 | |
$ 15,853,445 | |||
Romania — 4.3% | |||
Banca Transilvania S.A. | 765,000 | $ 3,277,511 | |
BRD-Groupe Societe Generale S.A. | 333,000 | 923,755 | |
MED Life S.A.(1) | 153,000 | 632,644 | |
OMV Petrom S.A. | 13,700,000 | 1,486,947 | |
Societatea Energetica Electrica S.A. | 298,000 | 588,338 |
Security | Shares | Value | |
Romania (continued) | |||
Societatea Nationala de Gaze Naturale ROMGAZ S.A. | 182,000 | $ 1,579,900 | |
Teraplast S.A. | 3,005,000 | 387,798 | |
Transelectrica S.A.(1) | 76,000 | 421,627 | |
Transgaz S.A. Medias | 10,100 | 759,258 | |
$ 10,057,778 | |||
Saudi Arabia — 5.6% | |||
Advanced Petrochemical Co. | 48,600 | $ 620,630 | |
Al Rajhi Bank | 109,100 | 2,251,818 | |
Alinma Bank | 121,300 | 1,032,659 | |
Almarai Co. JSC | 17,800 | 280,801 | |
Banque Saudi Fransi | 29,700 | 308,172 | |
Dr Sulaiman Al Habib Medical Services Group Co. | 5,100 | 391,761 | |
Etihad Etisalat Co. | 65,000 | 801,675 | |
Riyad Bank | 63,800 | 514,573 | |
SABIC Agri-Nutrients Co. | 11,200 | 402,697 | |
Saudi Arabian Mining Co.(1) | 38,600 | 722,082 | |
Saudi Arabian Oil Co.(2) | 106,100 | 1,022,704 | |
Saudi Basic Industries Corp. | 40,600 | 1,004,552 | |
Saudi Electricity Co. | 49,600 | 321,550 | |
Saudi Industrial Investment Group | 93,300 | 636,269 | |
Saudi National Bank (The) | 90,100 | 1,182,532 | |
Saudi Telecom Co. | 68,400 | 823,260 | |
Savola Group (The) | 80,200 | 683,142 | |
$ 13,000,877 | |||
Serbia — 0.5% | |||
Metalac AD(1) | 67,357 | $ 1,079,830 | |
$ 1,079,830 | |||
Slovenia — 3.0% | |||
Nova Ljubljanska Banka dd(2) | 72,121 | $ 5,697,330 | |
Nova Ljubljanska Banka dd GDR(5) | 60,052 | 910,251 | |
Petrol | 18,600 | 482,102 | |
$ 7,089,683 | |||
South Korea — 8.9% | |||
AMOREPACIFIC Corp. | 1,140 | $ 105,475 | |
Celltrion Healthcare Co., Ltd. | 3,063 | 159,662 | |
Celltrion, Inc. | 3,011 | 362,794 | |
CJ CheilJedang Corp. | 339 | 78,502 | |
Coway Co., Ltd. | 2,186 | 80,262 | |
Doosan Enerbility Co., Ltd.(1) | 13,566 | 169,982 | |
Ecopro BM Co., Ltd. | 1,708 | 342,983 | |
Hanwha Galleria Co., Ltd.(1) | 4,611 | 5,939 | |
Hanwha Solutions Corp.(1) | 4,088 | 147,098 |
Security | Shares | Value | |
South Korea (continued) | |||
HD Korea Shipbuilding & Offshore Engineering Co., Ltd.(1) | 1,746 | $ 111,053 | |
HLB, Inc.(1) | 4,241 | 112,710 | |
HMM Co., Ltd. | 9,451 | 144,764 | |
HYBE Co., Ltd.(1) | 432 | 87,358 | |
Hyundai Engineering & Construction Co., Ltd. | 3,379 | 103,964 | |
Hyundai Glovis Co., Ltd. | 762 | 93,475 | |
Hyundai Mobis Co., Ltd. | 1,909 | 310,900 | |
Hyundai Motor Co. | 5,167 | 765,384 | |
Hyundai Steel Co. | 2,500 | 68,357 | |
Kakao Corp. | 9,381 | 410,790 | |
Kia Corp. | 7,832 | 496,026 | |
Korea Aerospace Industries, Ltd. | 2,870 | 117,888 | |
Korea Electric Power Corp.(1) | 9,138 | 127,579 | |
Korea Investment Holdings Co., Ltd. | 1,239 | 51,206 | |
Korea Zinc Co., Ltd. | 330 | 126,838 | |
Korean Air Lines Co., Ltd. | 6,673 | 114,466 | |
Krafton, Inc.(1) | 869 | 125,532 | |
KT&G Corp. | 3,555 | 227,809 | |
L&F Co., Ltd. | 839 | 167,475 | |
LG Chem, Ltd. | 1,724 | 957,653 | |
LG Corp. | 3,183 | 208,332 | |
LG Display Co., Ltd.(1) | 9,346 | 104,187 | |
LG Electronics, Inc. | 3,428 | 281,500 | |
LG Energy Solution, Ltd.(1) | 683 | 297,676 | |
LG H&H Co., Ltd. | 316 | 147,555 | |
LG Innotek Co., Ltd. | 522 | 103,894 | |
Lotte Chemical Corp. | 607 | 76,504 | |
Naver Corp. | 4,805 | 696,126 | |
NCSoft Corp. | 575 | 162,709 | |
Pearl Abyss Corp.(1) | 890 | 28,823 | |
POSCO Chemical Co., Ltd. | 1,169 | 294,258 | |
POSCO Holdings, Inc. | 2,943 | 832,883 | |
Samsung Biologics Co., Ltd.(1)(2) | 533 | 311,729 | |
Samsung C&T Corp. | 2,715 | 222,967 | |
Samsung Electro-Mechanics Co., Ltd. | 1,863 | 201,474 | |
Samsung Electronics Co., Ltd. | 143,275 | 7,049,715 | |
Samsung Engineering Co., Ltd.(1) | 6,765 | 147,660 | |
Samsung Fire & Marine Insurance Co., Ltd. | 1,075 | 180,843 | |
Samsung Heavy Industries Co., Ltd.(1) | 25,662 | 109,315 | |
Samsung Life Insurance Co., Ltd. | 3,000 | 148,728 | |
Samsung SDI Co., Ltd. | 1,843 | 956,465 | |
Samsung SDS Co., Ltd. | 1,303 | 114,571 | |
SK Bioscience Co., Ltd.(1) | 942 | 49,782 | |
SK Hynix, Inc. | 17,686 | 1,189,976 | |
SK Innovation Co., Ltd.(1) | 1,849 | 240,645 | |
SK Square Co., Ltd.(1) | 3,831 | 122,091 |
Security | Shares | Value | |
South Korea (continued) | |||
SK, Inc. | 1,234 | $ 150,486 | |
S-Oil Corp. | 1,757 | 98,406 | |
Yuhan Corp. | 2,468 | 106,419 | |
$ 20,809,643 | |||
Taiwan — 1.0% | |||
ASE Technology Holding Co., Ltd. | 12,358 | $ 40,628 | |
Asustek Computer, Inc. | 4,000 | 36,868 | |
Cathay Financial Holding Co., Ltd. | 30,234 | 41,886 | |
Chailease Holding Co., Ltd. | 5,348 | 38,950 | |
China Steel Corp. | 41,000 | 38,886 | |
Chunghwa Telecom Co., Ltd. | 17,000 | 70,343 | |
Delta Electronics, Inc. | 6,680 | 65,437 | |
Formosa Chemicals & Fibre Corp. | 14,000 | 31,419 | |
Formosa Plastics Corp. | 11,000 | 33,650 | |
Fubon Financial Holding Co., Ltd. | 33,046 | 63,643 | |
Hon Hai Precision Industry Co., Ltd. | 37,508 | 127,810 | |
Hotai Motor Co., Ltd. | 2,000 | 43,111 | |
Largan Precision Co., Ltd. | 1,000 | 65,662 | |
MediaTek, Inc. | 4,000 | 86,975 | |
Nan Ya Plastics Corp. | 17,000 | 43,207 | |
Novatek Microelectronics Corp. | 3,000 | 41,013 | |
Quanta Computer, Inc. | 12,000 | 33,601 | |
Realtek Semiconductor Corp. | 2,000 | 23,454 | |
Taiwan Cement Corp. | 26,343 | 33,232 | |
Taiwan Semiconductor Manufacturing Co., Ltd. | 70,000 | 1,146,292 | |
Uni-President Enterprises Corp. | 18,960 | 45,454 | |
United Microelectronics Corp.(1) | 38,000 | 61,117 | |
Yuanta Financial Holding Co., Ltd. | 41,694 | 30,691 | |
$ 2,243,329 | |||
United Arab Emirates — 5.7% | |||
Abu Dhabi Commercial Bank PJSC | 358,690 | $ 861,806 | |
Abu Dhabi Islamic Bank PJSC | 168,170 | 521,003 | |
Abu Dhabi National Oil Co. for Distribution PJSC | 470,000 | 562,236 | |
Al Ansari Financial Services PJSC(1) | 1,805,311 | 585,007 | |
Al Yah Satellite Communications Co. PJSC (Yahsat) | 2,178,438 | 1,525,738 | |
Aldar Properties PJSC | 522,500 | 770,680 | |
Aramex PJSC | 442,000 | 393,571 | |
Dubai Electricity & Water Authority PJSC(1) | 410,287 | 277,307 | |
Dubai Electricity & Water Authority PJSC | 1,276,000 | 862,430 | |
Dubai Islamic Bank PJSC | 285,567 | 433,238 | |
Emaar Properties PJSC | 675,300 | 1,094,837 | |
Emirates Telecommunications Group Co. PJSC | 353,100 | 2,311,377 | |
First Abu Dhabi Bank PJSC | 448,554 | 1,734,472 | |
Multiply Group PJSC(1) | 345,100 | 316,616 |
Security | Shares | Value | |
United Arab Emirates (continued) | |||
National Central Cooling Co. PJSC | 689,840 | $ 550,836 | |
Q Holding PJSC(1) | 227,300 | 158,184 | |
Ras Al Khaimah Ceramics | 650,700 | 464,192 | |
$ 13,423,530 | |||
United Kingdom — 0.0%(4) | |||
Airtel Africa PLC(2) | ��40,000 | $ 60,381 | |
$ 60,381 | |||
Vietnam — 4.4% | |||
FPT Corp. | 1,251,279 | $ 4,422,757 | |
Mobile World Investment Corp. | 1,041,098 | 1,791,713 | |
No Va Land Investment Group Corp.(1) | 7,524 | 4,598 | |
Phat Dat Real Estate Development Corp.(1) | 3,271 | 1,976 | |
Phu Nhuan Jewelry JSC | 757,866 | 2,495,716 | |
Refrigeration Electrical Engineering Corp. | 547,655 | 1,660,986 | |
$ 10,377,746 | |||
Total Common Stocks (identified cost $174,737,413) | $210,462,730 |
Preferred Stocks — 0.5% |
Security | Shares | Value | |
South Korea — 0.5% | |||
Hanwha Galleria Co., Ltd. | 45 | $ 393 | |
Hanwha Solutions Corp. | 40 | 1,086 | |
Hyundai Motor Co., Ltd. | 1,499 | 124,345 | |
Samsung Electronics Co., Ltd. | 27,339 | 1,142,903 | |
Total Preferred Stocks (identified cost $1,127,507) | $ 1,268,727 |
Short-Term Investments — 4.6% |
Affiliated Fund — 4.0% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(6) | 9,272,473 | $ 9,272,473 | |
Total Affiliated Fund (identified cost $9,272,473) | $ 9,272,473 |
U.S. Treasury Obligations — 0.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 5/16/23(7) | $ | 1,500 | $ 1,497,367 |
Total U.S. Treasury Obligations (identified cost $1,497,191) | $ 1,497,367 | ||
Total Short-Term Investments (identified cost $10,769,664) | $ 10,769,840 |
Total Purchased Options — 0.1% (identified cost $227,077) | $ 203,899 | ||
Total Investments — 95.2% (identified cost $186,861,661) | $222,705,196 | ||
Total Written Options — (0.0)%(4) (premiums received $81,857) | $ (54,056) | ||
Other Assets, Less Liabilities — 4.8% | $ 11,223,921 | ||
Net Assets — 100.0% | $233,875,061 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $8,643,342 or 3.7% of the Portfolio's net assets. |
(3) | Securities are traded on separate exchanges for the same entity. |
(4) | Amount is less than 0.05% or (0.05)%, as applicable. |
(5) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $8,844,690 or 3.8% of the Portfolio's net assets. |
(6) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
(7) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Sector Classification of Portfolio | ||
Sector | Percentage of Net Assets | Value |
Financials | 39.3% | $91,940,954 |
Consumer Discretionary | 9.3 | 21,827,498 |
Information Technology | 8.0 | 18,661,530 |
Communication Services | 7.1 | 16,724,638 |
Energy | 6.5 | 15,285,350 |
Materials | 5.2 | 12,113,622 |
Industrials | 5.0 | 11,600,543 |
Utilities | 4.0 | 9,410,346 |
Consumer Staples | 3.1 | 7,180,413 |
Health Care | 1.8 | 4,274,521 |
Real Estate | 1.2 | 2,712,042 |
Short-Term Investments | 4.6 | 10,769,840 |
Total Investments | 95.1% | $222,501,297 |
Purchased Currency Options (OTC) — 0.1% | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 7,800,000 | CNH | 7.00 | 1/18/24 | $ 74,318 |
Call USD vs. Put CNH | Goldman Sachs International | USD | 13,600,000 | CNH | 7.00 | 1/18/24 | 129,581 |
Total | $203,899 |
Written Currency Options (OTC) — (0.0)%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 7,800,000 | CNH | 7.50 | 1/18/24 | $(19,703) |
Call USD vs. Put CNH | Goldman Sachs International | USD | 13,600,000 | CNH | 7.50 | 1/18/24 | (34,353) |
Total | $(54,056) |
(1) | Amount is less than (0.05)%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
EUR | 19,062,883 | USD | 20,500,052 | 6/21/23 | $ 564,108 |
EUR | 1,296,988 | USD | 1,394,769 | 6/21/23 | 38,381 |
EUR | 54,704 | USD | 58,828 | 6/21/23 | 1,619 |
EUR | 97,670 | USD | 107,163 | 6/21/23 | 760 |
KRW | 2,478,000,000 | USD | 1,922,480 | 6/21/23 | (64,980) |
KRW | 3,448,000,000 | USD | 2,654,779 | 6/21/23 | (70,171) |
KRW | 3,445,000,000 | USD | 2,654,083 | 6/21/23 | (71,724) |
KRW | 3,829,000,000 | USD | 2,963,072 | 6/21/23 | (92,868) |
USD | 1,666,856 | EUR | 1,550,000 | 6/21/23 | (45,867) |
USD | 2,273,096 | EUR | 2,113,739 | 6/21/23 | (62,550) |
USD | 2,557,628 | EUR | 2,378,324 | 6/21/23 | (70,379) |
USD | 3,848,773 | EUR | 3,578,952 | 6/21/23 | (105,908) |
USD | 4,460,810 | EUR | 4,148,082 | 6/21/23 | (122,750) |
USD | 7,357,664 | EUR | 6,841,851 | 6/21/23 | (202,464) |
$ (304,793) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 78,845 | USD | 86,721 | UBS AG | 5/5/23 | $ 169 | $ — |
AED | 6,100,000 | USD | 1,660,768 | Standard Chartered Bank | 5/30/23 | 93 | — |
USD | 1,657,609 | AED | 6,100,000 | Standard Chartered Bank | 5/30/23 | — | (3,252) |
CNH | 43,814,225 | USD | 6,125,311 | BNP Paribas | 6/16/23 | 220,852 | — |
CNH | 68,300,000 | USD | 9,800,517 | BNP Paribas | 6/16/23 | 92,227 | — |
CNH | 43,785,775 | USD | 6,174,130 | HSBC Bank USA, N.A. | 6/16/23 | 167,912 | — |
CNH | 87,600,000 | USD | 12,382,885 | Standard Chartered Bank | 6/16/23 | 305,319 | — |
USD | 36,233,393 | CNH | 243,500,000 | BNP Paribas | 6/16/23 | 964,240 | — |
$1,750,812 | $(3,252) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
Hang Seng China Enterprises Index | 199 | Long | 5/30/23 | $8,563,110 | $ 157,823 |
Hang Seng Index | 77 | Long | 5/30/23 | 9,748,392 | (62,434) |
MSCI Emerging Markets Index | 190 | Long | 6/16/23 | 9,349,900 | 86,144 |
$181,533 |
Total Return Swaps (OTC) | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Citibank, N.A. | KRW | 13,452 | Positive Return on KOSPI 200 Index Futures 6/2023 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 6/2023 (pays upon termination) | 6/8/23 | $ 130,896 |
$130,896 |
Abbreviations: | |
ADR | – American Depositary Receipt |
GDR | – Global Depositary Receipt |
OTC | – Over-the-counter |
Currency Abbreviations: | |
AED | – United Arab Emirates Dirham |
CNH | – Yuan Renminbi Offshore |
EUR | – Euro |
KRW | – South Korean Won |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $177,589,188) | $ 213,432,723 |
Affiliated investment, at value (identified cost $9,272,473) | 9,272,473 |
Cash | 92,644 |
Deposits for derivatives collateral: | |
Futures contracts | 2,276,390 |
Centrally cleared derivatives | 877,359 |
OTC derivatives | 1,704,000 |
Foreign currency, at value (identified cost $5,105,655) | 5,189,043 |
Dividends receivable | 451,092 |
Dividends receivable from affiliated investment | 51,210 |
Receivable for investments sold | 669,307 |
Receivable for variation margin on open futures contracts | 206,686 |
Receivable for variation margin on open centrally cleared derivatives | 8,918 |
Receivable for open forward foreign currency exchange contracts | 1,750,812 |
Receivable for open swap contracts | 130,896 |
Tax reclaims receivable | 13,033 |
Receivable from affiliate | 10,000 |
Other assets | 312,959 |
Total assets | $236,449,545 |
Liabilities | |
Cash collateral due to brokers | $ 1,704,000 |
Written options outstanding, at value (premiums received $81,857) | 54,056 |
Payable for investments purchased | 319,676 |
Payable for open forward foreign currency exchange contracts | 3,252 |
Payable to affiliates: | |
Investment adviser fee | 185,560 |
Trustees' fees | 1,083 |
Accrued foreign capital gains taxes | 33,664 |
Accrued expenses | 273,193 |
Total liabilities | $ 2,574,484 |
Net Assets applicable to investors' interest in Portfolio | $233,875,061 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $273,851) | $ 2,373,438 |
Dividend income from affiliated investment | 149,418 |
Interest income (net of foreign taxes withheld of $11) | 89,122 |
Total investment income | $ 2,611,978 |
Expenses | |
Investment adviser fee | $ 1,023,752 |
Trustees’ fees and expenses | 6,322 |
Custodian fee | 118,287 |
Legal and accounting services | 38,357 |
Miscellaneous | 11,462 |
Total expenses | $ 1,198,180 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 15,387 |
Total expense reductions | $ 15,387 |
Net expenses | $ 1,182,793 |
Net investment income | $ 1,429,185 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $346,976) | $ (6,831,414) |
Futures contracts | 435,827 |
Swap contracts | (51,917) |
Foreign currency transactions | 214,713 |
Forward foreign currency exchange contracts | 197,478 |
Net realized loss | $ (6,035,313) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $22,766) | $ 34,005,050 |
Written options | 27,801 |
Futures contracts | 182,856 |
Swap contracts | 130,896 |
Foreign currency | 123,561 |
Forward foreign currency exchange contracts | (1,133,951) |
Net change in unrealized appreciation (depreciation) | $33,336,213 |
Net realized and unrealized gain | $27,300,900 |
Net increase in net assets from operations | $28,730,085 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,429,185 | $ 4,053,926 |
Net realized loss | (6,035,313) | (1,544,196) |
Net change in unrealized appreciation (depreciation) | 33,336,213 | (36,582,335) |
Net increase (decrease) in net assets from operations | $ 28,730,085 | $ (34,072,605) |
Capital transactions: | ||
Contributions | $ 37,004,744 | $ 40,153,386 |
Withdrawals | (15,492,784) | (12,951,136) |
Net increase in net assets from capital transactions | $ 21,511,960 | $ 27,202,250 |
Net increase (decrease) in net assets | $ 50,242,045 | $ (6,870,355) |
Net Assets | ||
At beginning of period | $ 183,633,016 | $ 190,503,371 |
At end of period | $233,875,061 | $183,633,016 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Ratios/Supplemental Data | ||||||
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 1.15% (1)(2)(3) | 1.26% (2) | 1.24% | 1.28% | 1.29% (4) | 1.25% |
Net investment income | 1.39% (1) | 2.17% | 1.04% | 0.84% | 1.29% | 0.97% |
Portfolio Turnover | 47% (5) | 67% | 70% | 44% | 43% | 39% |
Total Return | 15.47% | (16.87)% | 35.70% | (2.84)% | 7.44% | (11.06)% |
Net assets, end of period (000’s omitted) | $233,875 | $183,633 | $190,503 | $145,694 | $179,334 | $162,169 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and the year ended October 31, 2022, respectively). |
(3) | The investment adviser reimbursed certain operating expenses (equal to 0.02% of average daily net assets for the six months ended April 30, 2023). Absent this reimbursement, total return would be lower. |
(4) | Includes interest expense of 0.01% of average daily net assets for the year ended October 31, 2019. |
(5) | Not annualized. |
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% |
Aggregate cost | $192,434,477 |
Gross unrealized appreciation | $ 39,053,807 |
Gross unrealized depreciation | (7,081,948) |
Net unrealized appreciation | $ 31,971,859 |
Fair Value | |||
Statement of Assets and Liabilities Caption | Equity Price | Foreign Exchange | Total |
Unaffiliated investments, at value | $ — | $ 203,899 | $ 203,899 |
Not applicable | 243,967* | 604,868* | 848,835 |
Receivable for open forward foreign currency exchange contracts | — | 1,750,812 | 1,750,812 |
Receivable for open swap contracts | 130,896 | — | 130,896 |
Total Asset Derivatives | $374,863 | $2,559,579 | $ 2,934,442 |
Derivatives not subject to master netting or similar agreements | $243,967 | $ 604,868 | $ 848,835 |
Total Asset Derivatives subject to master netting or similar agreements | $130,896 | $1,954,711 | $ 2,085,607 |
Written options outstanding, at value | $ — | $ (54,056) | $ (54,056) |
Not applicable | (62,434)* | (909,661)* | (972,095) |
Payable for open forward foreign currency exchange contracts | — | (3,252) | (3,252) |
Total Liability Derivatives | $ (62,434) | $ (966,969) | $(1,029,403) |
Derivatives not subject to master netting or similar agreements | $ (62,434) | $ (909,661) | $ (972,095) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $ (57,308) | $ (57,308) |
* | Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) | Total Cash Collateral Received |
Barclays Bank PLC | $ 74,318 | $ (19,703) | $ — | $ — | $ 54,615 | $ — |
BNP Paribas | 1,277,319 | — | — | (1,277,319) | — | 1,294,000 |
Citibank, N.A. | 130,896 | — | — | — | 130,896 | — |
Goldman Sachs International | 129,581 | (34,353) | — | — | 95,228 | — |
HSBC Bank USA, N.A. | 167,912 | — | (159,587) | — | 8,325 | — |
Standard Chartered Bank | 305,412 | (3,252) | — | (302,160) | — | 410,000 |
UBS AG | 169 | — | — | — | 169 | — |
$2,085,607 | $(57,308) | $(159,587) | $(1,579,479) | $289,233 | $1,704,000 |
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 |
Barclays Bank PLC | $ (19,703) | $ 19,703 | $ — | $ — | $ — | $ — |
Goldman Sachs International | (34,353) | 34,353 | — | — | — | — |
Standard Chartered Bank | (3,252) | 3,252 | — | — | — | — |
$(57,308) | $57,308 | $ — | $ — | $ — | $ — |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Statement of Operations Caption | Equity Price | Foreign Exchange | Total |
Net realized gain (loss): | |||
Futures contracts | $435,827 | $ — | $ 435,827 |
Swap contracts | (51,917) | — | (51,917) |
Forward foreign currency exchange contracts | — | 197,478 | 197,478 |
Total | $383,910 | $ 197,478 | $ 581,388 |
Change in unrealized appreciation (depreciation): | |||
Investments | $ — | $ (23,178)(1) | $ (23,178) |
Written options | — | 27,801 | 27,801 |
Futures contracts | 182,856 | — | 182,856 |
Swap contracts | 130,896 | — | 130,896 |
Forward foreign currency exchange contracts | — | (1,133,951) | (1,133,951) |
Total | $313,752 | $(1,129,328) | $ (815,576) |
(1) | Relates to purchased options. |
Futures Contracts — Long | Forward Foreign Currency Exchange Contracts* | Swap Contracts |
$20,655,000 | $143,415,000 | $8,803,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $2,240,401 | $74,095,764 | $(67,063,692) | $ — | $ — | $9,272,473 | $149,418 | 9,272,473 |
• | 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 |
Common Stocks: | ||||
Asia/Pacific | $ 8,748,554 | $ 86,495,003 | $ — | $ 95,243,557 |
Developed Europe | — | 60,381 | — | 60,381 |
Emerging Europe | — | 88,734,385 | — | 88,734,385 |
Middle East/Africa | 585,007 | 25,839,400 | — | 26,424,407 |
Total Common Stocks | $ 9,333,561 | $ 201,129,169* | $ — | $ 210,462,730 |
Preferred Stocks | $ 393 | $ 1,268,334 | $ — | $ 1,268,727 |
Short-Term Investments: | ||||
Affiliated Fund | 9,272,473 | — | — | 9,272,473 |
U.S. Treasury Obligations | — | 1,497,367 | — | 1,497,367 |
Purchased Currency Options | — | 203,899 | — | 203,899 |
Total Investments | $ 18,606,427 | $ 204,098,769 | $ — | $ 222,705,196 |
Forward Foreign Currency Exchange Contracts | $ — | $ 2,355,680 | $ — | $ 2,355,680 |
Futures Contracts | 86,144 | 157,823 | — | 243,967 |
Swap Contracts | — | 130,896 | — | 130,896 |
Total | $ 18,692,571 | $ 206,743,168 | $ — | $ 225,435,739 |
Liability Description | ||||
Written Currency Options | $ — | $ (54,056) | $ — | $ (54,056) |
Liability Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Forward Foreign Currency Exchange Contracts | $ — | $ (912,913) | $ — | $ (912,913) |
Futures Contracts | — | (62,434) | — | (62,434) |
Total | $ — | $ (1,029,403) | $ — | $ (1,029,403) |
* | 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. |
Officers of Eaton Vance Emerging and Frontier Countries Equity Fund and Global Macro Capital Opportunities Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance Emerging and Frontier Countries Equity Fund and Global Macro Capital Opportunities Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Emerging and Frontier Countries Equity Fund
Two International Place
Boston, MA 02110
125 Old Broad Street
London, EC2N 1AR
United Kingdom
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Mutual Funds Trust | ||
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 23, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | June 23, 2023 | |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 23, 2023 |