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
October 31, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 06/27/2007 | 10/31/1997 | 8.86% | 3.60% | 2.79% |
Class A with 3.25% Maximum Sales Charge | — | — | 5.27 | 2.91 | 2.44 |
Class C at NAV | 10/01/2009 | 10/31/1997 | 8.06 | 2.87 | 2.21 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 7.06 | 2.87 | 2.21 |
Class I at NAV | 06/27/2007 | 10/31/1997 | 9.17 | 3.88 | 3.09 |
Class R at NAV | 04/08/2010 | 10/31/1997 | 8.62 | 3.36 | 2.57 |
Class R6 at NAV | 05/31/2017 | 10/31/1997 | 9.27 | 3.98 | 3.14 |
ICE BofA 3-Month U.S. Treasury Bill Index | — | — | 4.77% | 1.77% | 1.16% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R | Class R6 |
1.09% | 1.84% | 0.84% | 1.33% | 0.77% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $12,446 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,356,310 | N.A. |
Class R | $10,000 | 10/31/2013 | $12,896 | N.A. |
Class R6, at minimum investment | $5,000,000 | 10/31/2013 | $6,811,219 | N.A. |
Asset Allocation (% of net assets)1 |
Foreign Currency Exposures (% of net assets)2 | |
Iceland | 2.6% |
Dominican Republic | 2.5 |
Australia | 2.4 |
Uzbekistan | 2.2 |
Hungary | 1.9 |
Serbia | 1.9 |
Canada | 1.6 |
India | 1.5 |
Korea, South | 1.4 |
Uruguay | 1.2 |
Armenia | 1.1 |
Mexico | 1.0 |
Other | 0.6 4 |
Saudi Arabia | -1.0 |
Oman | -1.2 |
Bahrain | -1.5 |
Philippines | -2.1 |
New Zealand | -2.3 |
China | -3.7 |
Euro | -6.7 |
Total Long | 26.2% |
Total Short | -22.8% |
Total Net | 3.4% |
1 | Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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 | |
A long position is the purchase of an investment with the expectation that it will rise in value. | |
A short position is the sale of a borrowed investment with the expectation that it will decline in value. | |
Spread is the difference in yield between a U.S. Treasury bond and another debt security of the same maturity but different credit quality. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,026.60 | $ 7.61 | 1.49% |
Class C | $1,000.00 | $1,021.60 | $11.31 | 2.22% |
Class I | $1,000.00 | $1,026.70 | $ 6.23 | 1.22% |
Class R | $1,000.00 | $1,024.10 | $ 8.78 | 1.72% |
Class R6 | $1,000.00 | $1,028.40 | $ 5.88 | 1.15% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,017.69 | $ 7.58 | 1.49% |
Class C | $1,000.00 | $1,014.01 | $11.27 | 2.22% |
Class I | $1,000.00 | $1,019.06 | $ 6.21 | 1.22% |
Class R | $1,000.00 | $1,016.54 | $ 8.74 | 1.72% |
Class R6 | $1,000.00 | $1,019.41 | $ 5.85 | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio. |
October 31, 2023 | |
Assets | |
Investment in Global Macro Portfolio, at value (identified cost $1,896,357,131) | $ 1,792,136,435 |
Receivable for Fund shares sold | 11,409,971 |
Total assets | $1,803,546,406 |
Liabilities | |
Payable for Fund shares redeemed | $ 2,873,759 |
Payable to affiliates: | |
Distribution and service fees | 50,365 |
Trustees' fees | 42 |
Accrued expenses | 478,095 |
Total liabilities | $ 3,402,261 |
Net Assets | $1,800,144,145 |
Sources of Net Assets | |
Paid-in capital | $ 2,462,941,986 |
Accumulated loss | (662,797,841) |
Net Assets | $1,800,144,145 |
Class A Shares | |
Net Assets | $ 148,688,732 |
Shares Outstanding | 18,228,236 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.16 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 8.43 |
Class C Shares | |
Net Assets | $ 21,089,315 |
Shares Outstanding | 2,574,870 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 8.19 |
Class I Shares | |
Net Assets | $ 1,401,232,898 |
Shares Outstanding | 172,137,853 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.14 |
Class R Shares | |
Net Assets | $ 1,171,353 |
Shares Outstanding | 143,334 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.17 |
October 31, 2023 | |
Class R6 Shares | |
Net Assets | $227,961,847 |
Shares Outstanding | 28,024,098 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.13 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $104,156) | $ 10,355,839 |
Interest and other income allocated from Portfolio (net of foreign taxes withheld of $1,217,757) | 121,389,075 |
Expenses, excluding interest and dividend expense, allocated from Portfolio | (11,652,370) |
Interest and dividend expense allocated from Portfolio | (6,652,668) |
Total investment income from Portfolio | $ 113,439,876 |
Expenses | |
Distribution and service fees: | |
Class A | $ 442,832 |
Class C | 246,373 |
Class R | 6,492 |
Trustees’ fees and expenses | 500 |
Custodian fee | 63,000 |
Transfer and dividend disbursing agent fees | 1,435,964 |
Legal and accounting services | 83,800 |
Printing and postage | 167,215 |
Registration fees | 115,836 |
Miscellaneous | 36,510 |
Total expenses | $ 2,598,522 |
Net investment income | $ 110,841,354 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $267,910) | $ (187,450,530) |
Written options | 920 |
Securities sold short | (769,825) |
Futures contracts | 17,099,665 |
Swap contracts | (12,239,645) |
Foreign currency transactions | (7,268,536) |
Forward foreign currency exchange contracts | 3,519,479 |
Non-deliverable bond forward contracts | 6,414,099 |
Net realized loss | $(180,694,373) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $3,047) | $ 285,303,491 |
Written options | 58,487 |
Securities sold short | 2,271,798 |
Futures contracts | (19,741,273) |
Swap contracts | (18,489,493) |
Foreign currency | 2,248,951 |
Forward foreign currency exchange contracts | (20,545,732) |
Non-deliverable bond forward contracts | (972,046) |
Net change in unrealized appreciation (depreciation) | $ 230,134,183 |
Net realized and unrealized gain | $ 49,439,810 |
Net increase in net assets from operations | $ 160,281,164 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 110,841,354 | $ 115,574,082 |
Net realized gain (loss) | (180,694,373) | 110,827,016 |
Net change in unrealized appreciation (depreciation) | 230,134,183 | (319,960,670) |
Net increase (decrease) in net assets from operations | $ 160,281,164 | $ (93,559,572) |
Distributions to shareholders: | ||
Class A | $ (7,161,278) | $ (8,063,152) |
Class C | (976,813) | (1,034,667) |
Class I | (67,278,432) | (66,924,119) |
Class R | (58,071) | (49,057) |
Class R6 | (11,553,886) | (13,033,990) |
Total distributions to shareholders | $ (87,028,480) | $ (89,104,985) |
Tax return of capital to shareholders: | ||
Class A | $ (1,392,886) | $ (1,174,555) |
Class C | (187,468) | (156,590) |
Class I | (13,198,515) | (10,455,314) |
Class R | (11,216) | (7,965) |
Class R6 | (2,239,903) | (1,997,959) |
Total tax return of capital to shareholders | $ (17,029,988) | $ (13,792,383) |
Transactions in shares of beneficial interest: | ||
Class A | $ (19,774,332) | $ (95,399,484) |
Class C | (6,429,832) | (7,095,253) |
Class I | (54,773,375) | (290,445,028) |
Class R | (134,355) | 114,208 |
Class R6 | (31,965,995) | (96,685,321) |
Net decrease in net assets from Fund share transactions | $ (113,077,889) | $ (489,510,878) |
Net decrease in net assets | $ (56,855,193) | $ (685,967,818) |
Net Assets | ||
At beginning of year | $ 1,856,999,338 | $ 2,542,967,156 |
At end of year | $1,800,144,145 | $1,856,999,338 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.910 | $ 8.660 | $ 8.640 | $ 8.740 | $ 8.590 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.483 | $ 0.418 | $ 0.368 | $ 0.356 | $ 0.438 |
Net realized and unrealized gain (loss) | 0.220 | (0.792) | (0.016) | (0.046) | 0.078 |
Total income (loss) from operations | $ 0.703 | $ (0.374) | $ 0.352 | $ 0.310 | $ 0.516 |
Less Distributions | |||||
From net investment income | $ (0.378) | $ (0.325) | $ (0.332) | $ (0.410) | $ (0.366) |
Tax return of capital | (0.075) | (0.051) | — | — | — |
Total distributions | $ (0.453) | $ (0.376) | $ (0.332) | $ (0.410) | $ (0.366) |
Net asset value — End of year | $ 8.160 | $ 7.910 | $ 8.660 | $ 8.640 | $ 8.740 |
Total Return(2) | 8.86% | (4.27)% | 4.11% | 3.63% | 6.14% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $148,689 | $163,369 | $276,486 | $398,174 | $366,740 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses (4) | 1.41% (5) | 1.14% (5) | 1.10% | 1.05% | 1.04% |
Net investment income | 5.88% | 5.03% | 4.20% | 4.11% | 5.06% |
Portfolio Turnover of the Portfolio | 96% | 81% | 88% | 81% | 61% |
(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) | Includes the Fund’s share of the Portfolio's allocated expenses. |
(4) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.37%, 0.08%, 0.06%, 0.01% and 0.01% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(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 0.01% and less than 0.01% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.950 | $ 8.690 | $ 8.680 | $ 8.770 | $ 8.620 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.427 | $ 0.365 | $ 0.307 | $ 0.305 | $ 0.374 |
Net realized and unrealized gain (loss) | 0.208 | (0.786) | (0.026) | (0.044) | 0.082 |
Total income (loss) from operations | $ 0.635 | $ (0.421) | $ 0.281 | $ 0.261 | $ 0.456 |
Less Distributions | |||||
From net investment income | $ (0.330) | $ (0.276) | $ (0.271) | $ (0.351) | $ (0.306) |
Tax return of capital | (0.065) | (0.043) | — | — | — |
Total distributions | $ (0.395) | $ (0.319) | $ (0.271) | $ (0.351) | $ (0.306) |
Net asset value — End of year | $ 8.190 | $ 7.950 | $ 8.690 | $ 8.680 | $ 8.770 |
Total Return(2) | 8.06% | (4.91)% | 3.37% | 2.91% | 5.39% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $21,089 | $26,640 | $36,557 | $54,464 | $106,291 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses (4) | 2.12% (5) | 1.84% (5) | 1.80% | 1.75% | 1.76% |
Net investment income | 5.18% | 4.38% | 3.49% | 3.51% | 4.31% |
Portfolio Turnover of the Portfolio | 96% | 81% | 88% | 81% | 61% |
(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) | Includes the Fund’s share of the Portfolio's allocated expenses. |
(4) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.37%, 0.08%, 0.06%, 0.01% and 0.01% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(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 0.01% and less than 0.01% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.900 | $ 8.640 | $ 8.630 | $ 8.720 | $ 8.580 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.504 | $ 0.446 | $ 0.393 | $ 0.385 | $ 0.458 |
Net realized and unrealized gain (loss) | 0.211 | (0.786) | (0.024) | (0.039) | 0.074 |
Total income (loss) from operations | $ 0.715 | $ (0.340) | $ 0.369 | $ 0.346 | $ 0.532 |
Less Distributions | |||||
From net investment income | $ (0.397) | $ (0.345) | $ (0.359) | $ (0.436) | $ (0.392) |
Tax return of capital | (0.078) | (0.055) | — | — | — |
Total distributions | $ (0.475) | $ (0.400) | $ (0.359) | $ (0.436) | $ (0.392) |
Net asset value — End of year | $ 8.140 | $ 7.900 | $ 8.640 | $ 8.630 | $ 8.720 |
Total Return(2) | 9.17% | (4.00)% | 4.31% | 4.07% | 6.34% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $1,401,233 | $1,413,454 | $1,851,665 | $2,323,831 | $2,859,484 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses (4) | 1.13% (5) | 0.84% (5) | 0.80% | 0.75% | 0.75% |
Net investment income | 6.14% | 5.39% | 4.50% | 4.45% | 5.31% |
Portfolio Turnover of the Portfolio | 96% | 81% | 88% | 81% | 61% |
(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) | Includes the Fund’s share of the Portfolio's allocated expenses. |
(4) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.37%, 0.08%, 0.06%, 0.01% and 0.01% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(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 0.01% and less than 0.01% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Class R | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.930 | $ 8.670 | $ 8.660 | $ 8.750 | $ 8.610 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.465 | $ 0.410 | $ 0.352 | $ 0.338 | $ 0.417 |
Net realized and unrealized gain (loss) | 0.211 | (0.790) | (0.027) | (0.034) | 0.073 |
Total income (loss) from operations | $ 0.676 | $(0.380) | $ 0.325 | $ 0.304 | $ 0.490 |
Less Distributions | |||||
From net investment income | $ (0.364) | $ (0.311) | $ (0.315) | $ (0.394) | $ (0.350) |
Tax return of capital | (0.072) | (0.049) | — | — | — |
Total distributions | $(0.436) | $(0.360) | $(0.315) | $(0.394) | $(0.350) |
Net asset value — End of year | $ 8.170 | $ 7.930 | $ 8.670 | $ 8.660 | $ 8.750 |
Total Return(2) | 8.62% | (4.45)% | 3.78% | 3.55% | 5.80% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 1,171 | $ 1,267 | $ 1,274 | $ 968 | $ 861 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses (4) | 1.63% (5) | 1.33% (5) | 1.29% | 1.25% | 1.26% |
Net investment income | 5.65% | 4.95% | 4.02% | 3.89% | 4.82% |
Portfolio Turnover of the Portfolio | 96% | 81% | 88% | 81% | 61% |
(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) | Includes the Fund’s share of the Portfolio's allocated expenses. |
(4) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.37%, 0.08%, 0.06%, 0.01% and 0.01% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(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 0.01% and less than 0.01% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Class R6 | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.890 | $ 8.630 | $ 8.620 | $ 8.710 | $ 8.570 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.510 | $ 0.450 | $ 0.398 | $ 0.391 | $ 0.464 |
Net realized and unrealized gain (loss) | 0.212 | (0.783) | (0.024) | (0.040) | 0.073 |
Total income (loss) from operations | $ 0.722 | $ (0.333) | $ 0.374 | $ 0.351 | $ 0.537 |
Less Distributions | |||||
From net investment income | $ (0.403) | $ (0.351) | $ (0.364) | $ (0.441) | $ (0.397) |
Tax return of capital | (0.079) | (0.056) | — | — | — |
Total distributions | $ (0.482) | $ (0.407) | $ (0.364) | $ (0.441) | $ (0.397) |
Net asset value — End of year | $ 8.130 | $ 7.890 | $ 8.630 | $ 8.620 | $ 8.710 |
Total Return(2) | 9.27% | (3.80)% | 4.37% | 4.01% | 6.53% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $227,962 | $252,269 | $376,984 | $390,210 | $224,436 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses (4) | 1.05% (5) | 0.77% (5) | 0.73% | 0.68% | 0.69% |
Net investment income | 6.23% | 5.44% | 4.56% | 4.51% | 5.37% |
Portfolio Turnover of the Portfolio | 96% | 81% | 88% | 81% | 61% |
(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) | Includes the Fund’s share of the Portfolio's allocated expenses. |
(4) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.37%, 0.08%, 0.06%, 0.01% and 0.01% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(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 0.01% and less than 0.01% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $87,028,480 | $89,104,985 |
Tax return of capital | $17,029,988 | $13,792,383 |
Deferred capital losses | $ (401,170,448) |
Net unrealized depreciation | (261,627,393) |
Accumulated loss | $(662,797,841) |
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% |
pursuant to share class conversions, were as follows:
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 2,582,682 | $ 21,176,228 | 4,592,167 | $ 38,339,067 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 961,393 | 7,894,152 | 1,048,566 | 8,652,844 | |
Redemptions | (5,962,136) | (48,844,712) | (16,937,765) | (142,391,395) | |
Net decrease | (2,418,061) | $ (19,774,332) | (11,297,032) | $ (95,399,484) | |
Class C | |||||
Sales | 251,217 | $ 2,070,905 | 332,112 | $ 2,778,239 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 137,435 | 1,132,928 | 142,074 | 1,173,583 | |
Redemptions | (1,166,680) | (9,633,665) | (1,328,038) | (11,047,075) | |
Net decrease | (778,028) | $ (6,429,832) | (853,852) | $ (7,095,253) | |
Class I | |||||
Sales | 56,538,440 | $ 462,831,949 | 71,497,227 | $ 591,643,634 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 8,312,329 | 68,104,954 | 8,239,895 | 67,606,194 | |
Redemptions | (71,703,485) | (585,710,278) | (115,115,585) | (949,694,856) | |
Net decrease | (6,852,716) | $ (54,773,375) | (35,378,463) | $(290,445,028) | |
Class R | |||||
Sales | 55,567 | $ 454,739 | 45,748 | $ 382,213 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 8,421 | 69,287 | 6,942 | 57,022 | |
Redemptions | (80,439) | (658,381) | (39,849) | (325,027) | |
Net increase (decrease) | (16,451) | $ (134,355) | 12,841 | $ 114,208 | |
Class R6 | |||||
Sales | 4,150,302 | $ 34,107,676 | 3,247,581 | $ 27,190,898 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 297,034 | 2,432,730 | 295,011 | 2,422,349 | |
Redemptions | (8,387,320) | (68,506,401) | (15,238,556) | (126,298,568) | |
Net decrease | (3,939,984) | $ (31,965,995) | (11,695,964) | $ (96,685,321) |
Boston, Massachusetts
December 22, 2023
Collateralized Mortgage Obligations — 3.7% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
Series 1650, Class K, 6.50%, 1/15/24 | $ | 3 | $ 3,493 |
Series 1817, Class Z, 6.50%, 2/15/26 | 4 | 4,142 | |
Series 1927, Class ZA, 6.50%, 1/15/27 | 25 | 24,370 | |
Series 2344, Class ZD, 6.50%, 8/15/31 | 150 | 149,983 | |
Series 2458, Class ZB, 7.00%, 6/15/32 | 324 | 328,371 | |
Interest Only:(1) Series 4791, Class JI, 4.00%, 5/15/48 | 4,024 | 844,753 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2020-DNA4, Class B1, 11.435%, (30-day average SOFR + 6.114%), 8/25/50(2)(3) | 3,671 | 4,089,292 | |
Series 2020-HQA4, Class B1, 10.685%, (30-day average SOFR + 5.364%), 9/25/50(2)(3) | 1,854 | 2,008,076 | |
Series 2022-HQA1, Class M1B, 8.821%, (30-day average SOFR + 3.50%), 3/25/42(2)(3) | 1,479 | 1,527,024 | |
Series 2022-HQA1, Class M2, 10.571%, (30-day average SOFR + 5.25%), 3/25/42(2)(3) | 2,957 | 3,120,484 | |
Federal National Mortgage Association: | |||
Series G94-7, Class PJ, 7.50%, 5/17/24 | 2 | 2,375 | |
Series 1994-42, Class ZQ, 7.00%, 4/25/24 | 21 | 21,287 | |
Series 1994-79, Class Z, 7.00%, 4/25/24 | 3 | 2,549 | |
Series 1994-89, Class ZQ, 8.00%, 7/25/24 | 11 | 11,180 | |
Series 1996-35, Class Z, 7.00%, 7/25/26 | 7 | 6,819 | |
Series 1998-16, Class H, 7.00%, 4/18/28 | 61 | 61,733 | |
Series 1998-44, Class ZA, 6.50%, 7/20/28 | 95 | 95,082 | |
Series 1999-25, Class Z, 6.00%, 6/25/29 | 100 | 99,029 | |
Series 2000-2, Class ZE, 7.50%, 2/25/30 | 20 | 20,799 | |
Series 2000-49, Class A, 8.00%, 3/18/27 | 32 | 32,775 | |
Series 2001-31, Class ZA, 6.00%, 7/25/31 | 787 | 777,568 | |
Series 2001-74, Class QE, 6.00%, 12/25/31 | 240 | 240,767 | |
Series 2009-48, Class WA, 5.794%, 7/25/39(4) | 1,145 | 1,140,461 | |
Series 2011-38, Class SA, 0.00%, (13.157% - 30-day average SOFR x 3, Floor 0.00%), 5/25/41(5) | 648 | 396,333 | |
Series 2023-54, Class C, 6.50%, 11/25/53 | 2,610 | 2,558,604 | |
Interest Only:(1) | |||
Series 424, Class C8, 3.50%, 2/25/48 | 5,111 | 945,850 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 4,528 | 805,082 | |
Series 2018-58, Class BI, 4.00%, 8/25/48 | 700 | 140,780 | |
Government National Mortgage Association: | |||
Series 2023-148, Class HL, 6.50%, 10/20/53 | 2,610 | 2,605,702 | |
Sereis 2023-151, Class GL, 6.50%, 10/20/53 | 1,890 | 1,886,530 | |
Series 2023-155, Class CH, 6.50%, 10/20/53 | 7,140 | 7,119,529 | |
PNMAC GMSR Issuer Trust: | |||
Series 2018-GT1, Class A, 9.289%, (1 mo. SOFR + 3.85%), 2/25/25(2)(3) | 9,000 | 9,000,381 |
Security | Principal Amount (000's omitted) | Value | |
PNMAC GMSR Issuer Trust: (continued) | |||
Series 2018-GT2, Class A, 8.089%, (1 mo. USD LIBOR + 2.65%), 8/25/25(2)(3) | $ | 8,064 | $ 8,063,082 |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(2)(4) | 22,480 | 17,541,715 | |
Total Collateralized Mortgage Obligations (identified cost $83,143,549) | $ 65,676,000 |
Common Stocks — 2.8% |
Security | Shares | Value | |
Belgium — 0.0%(6) | |||
Cenergy Holdings S.A. | 19,171 | $ 128,952 | |
$ 128,952 | |||
Bulgaria — 0.3% | |||
Eurohold Bulgaria AD(7) | 5,302,921 | $ 4,876,582 | |
$ 4,876,582 | |||
Cyprus — 0.4% | |||
Bank of Cyprus Holdings PLC | 2,032,276 | $ 6,266,037 | |
Galaxy Cosmos Mezz PLC(7) | 23,855 | 12,878 | |
Optima bank S.A.(7) | 68,150 | 511,978 | |
Sunrisemezz PLC(7) | 134,028 | 36,970 | |
$ 6,827,863 | |||
Georgia — 0.1% | |||
Bank of Georgia Group PLC | 19,303 | $ 781,525 | |
Georgia Capital PLC(7) | 68,200 | 764,570 | |
TBC Bank Group PLC | 22,924 | 749,179 | |
$ 2,295,274 | |||
Greece — 1.0% | |||
Alpha Services and Holdings S.A.(7) | 740,700 | $ 1,108,778 | |
Eurobank Ergasias Services and Holdings S.A.(7) | 1,206,500 | 1,972,053 | |
Hellenic Telecommunications Organization S.A. | 127,496 | 1,787,033 | |
Ideal Holdings S.A.(7) | 6,439 | 39,662 | |
JUMBO S.A. | 79,363 | 2,088,085 | |
Motor Oil (Hellas) Corinth Refineries S.A. | 41,500 | 988,430 | |
Mytilineos S.A. | 56,975 | 2,110,605 | |
National Bank of Greece S.A.(7) | 251,300 | 1,439,283 | |
OPAP S.A. | 92,863 | 1,572,940 | |
Piraeus Financial Holdings S.A.(7) | 1,035,900 | 3,070,557 |
Security | Shares | Value | |
Greece (continued) | |||
Public Power Corp. S.A.(7) | 65,900 | $ 672,645 | |
Titan Cement International S.A. | 3,416 | 63,976 | |
$ 16,914,047 | |||
Iceland — 0.2% | |||
Arion Banki HF(2) | 1,015,472 | $ 934,018 | |
Eik Fasteignafelag HF(7) | 3,253,209 | 266,568 | |
Eimskipafelag Islands HF | 220,734 | 744,248 | |
Hagar HF | 921,987 | 451,359 | |
Islandsbanki HF | 668,258 | 494,113 | |
Reginn HF(7) | 1,291,872 | 207,661 | |
Reitir Fasteignafelag HF | 875,641 | 483,667 | |
Siminn HF | 1,879,514 | 118,694 | |
$ 3,700,328 | |||
Indonesia — 0.2% | |||
Bank Central Asia Tbk PT | 2,370,000 | $ 1,305,682 | |
Bank Mandiri Persero Tbk PT | 2,570,000 | 918,138 | |
Bank Negara Indonesia Persero Tbk PT | 540,000 | 162,965 | |
Bank Rakyat Indonesia Persero Tbk PT | 3,500,000 | 1,094,393 | |
$ 3,481,178 | |||
Poland — 0.2% | |||
Alior Bank S.A.(7) | 4,493 | $ 70,732 | |
Allegro.eu S.A.(2)(7) | 25,328 | 181,685 | |
Asseco Poland S.A. | 2,879 | 52,714 | |
Bank Millennium S.A.(7) | 31,797 | 55,326 | |
Bank Polska Kasa Opieki S.A. | 9,589 | 291,383 | |
Budimex S.A. | 671 | 75,114 | |
CCC S.A.(7) | 2,124 | 20,103 | |
CD Projekt S.A. | 3,509 | 87,608 | |
Cyfrowy Polsat S.A.(7) | 13,477 | 42,021 | |
Dino Polska S.A.(2)(7) | 2,655 | 251,575 | |
Enea S.A.(7) | 14,841 | 25,725 | |
Eurocash S.A. | 4,498 | 14,964 | |
Grupa Azoty S.A.(7) | 2,748 | 14,378 | |
Grupa Kety S.A. | 524 | 88,390 | |
Jastrzebska Spolka Weglowa S.A.(7) | 2,720 | 32,312 | |
KGHM Polska Miedz S.A. | 7,219 | 192,641 | |
KRUK S.A. | 921 | 101,885 | |
LPP S.A. | 60 | 193,288 | |
mBank S.A.(7) | 790 | 97,662 | |
Orange Polska S.A. | 33,830 | 62,751 | |
ORLEN S.A. | 29,591 | 467,950 | |
PGE S.A.(7) | 48,920 | 84,960 | |
Powszechna Kasa Oszczednosci Bank Polski S.A.(7) | 45,365 | 469,925 |
Security | Shares | Value | |
Poland (continued) | |||
Powszechny Zaklad Ubezpieczen S.A. | 32,554 | $ 368,377 | |
Santander Bank Polska S.A.(7) | 1,888 | 205,050 | |
Tauron Polska Energia S.A.(7) | 56,565 | 49,747 | |
Text S.A. | 908 | 24,463 | |
Warsaw Stock Exchange | 1,386 | 12,872 | |
XTB S.A.(2) | 2,593 | 20,159 | |
$ 3,655,760 | |||
Spain — 0.0%(6) | |||
AmRest Holdings SE(7) | 3,936 | $ 24,965 | |
$ 24,965 | |||
United Kingdom — 0.0%(6) | |||
Pepco Group N.V.(7)(8) | 9,358 | $ 37,929 | |
Tesnik Cuatro, Ltd.(9) | 409,000 | 572,723 | |
$ 610,652 | |||
Vietnam — 0.4% | |||
Bank for Foreign Trade of Vietnam JSC(7) | 99,972 | $ 353,542 | |
Binh Minh Plastics JSC | 14,820 | 47,414 | |
Coteccons Construction JSC(7) | 48,000 | 99,367 | |
FPT Corp. | 662,286 | 2,315,811 | |
Hoa Phat Group JSC(7) | 475,478 | 446,175 | |
KIDO Group Corp. | 10,295 | 26,618 | |
Military Commercial Joint Stock Bank | 914,921 | 681,401 | |
Mobile World Investment Corp. | 1,082,498 | 1,665,844 | |
Phu Nhuan Jewelry JSC | 348,840 | 1,023,999 | |
Refrigeration Electrical Engineering Corp. | 287,788 | 659,297 | |
Vietnam Dairy Products JSC | 90,281 | 250,044 | |
Vingroup JSC(7) | 78,738 | 129,869 | |
$ 7,699,381 | |||
Total Common Stocks (identified cost $43,842,498) | $ 50,214,982 |
Convertible Bonds — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
India — 0.1% | |||
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(8) | USD | 2,970 | $ 2,647,072 |
Total Convertible Bonds (identified cost $2,970,000) | $ 2,647,072 |
Foreign Corporate Bonds — 2.3% |
Security | Principal Amount (000's omitted) | Value | |
Armenia — 0.0%(6) | |||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(8) | USD | 953 | $ 941,087 |
$ 941,087 | |||
Brazil — 0.1% | |||
Coruripe Netherlands BV: | |||
10.00%, 2/10/27(2) | USD | 903 | $ 639,216 |
10.00%, 2/10/27(8) | USD | 1,989 | 1,407,974 |
$ 2,047,190 | |||
China — 0.1% | |||
KWG Group Holdings, Ltd., 7.875%, 8/30/24(10) | USD | 1,571 | $ 122,931 |
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(8)(10) | USD | 5,100 | 127,500 |
Sunac China Holdings, Ltd.: | |||
6.50%, 7/9/23(8)(10) | USD | 2,000 | 290,000 |
8.35%, 4/19/23(8)(10) | USD | 3,270 | 468,428 |
Times China Holdings, Ltd.: | |||
5.55%, 6/4/24(8)(10) | USD | 3,999 | 138,365 |
6.75%, 7/16/23(8)(10) | USD | 2,966 | 74,150 |
$ 1,221,374 | |||
Hungary — 0.1% | |||
MBH Bank Nyrt, 8.625% to 10/19/26, 10/19/27(8)(11) | EUR | 1,243 | $ 1,326,917 |
$ 1,326,917 | |||
Iceland — 0.6% | |||
Arion Banki HF, 6.00%, 4/12/24(8) | ISK | 1,000,000 | $ 7,073,171 |
Landsbankinn HF, 5.00%, 11/23/23(8) | ISK | 560,000 | 3,983,070 |
WOW Air HF: | |||
0.00% (9)(10)(12) | EUR | 79 | 0 |
0.00%, (3 mo. EURIBOR + 9.00%)(9)(10)(12) | EUR | 3,600 | 0 |
$ 11,056,241 | |||
India — 0.8% | |||
Indian Railway Finance Corp., Ltd., 2.80%, 2/10/31(8) | USD | 15,006 | $ 11,913,256 |
JSW Steel, Ltd., 5.05%, 4/5/32(8) | USD | 1,466 | 1,131,308 |
Reliance Communications, Ltd., 6.50%, 11/6/20(8)(10) | USD | 1,800 | 40,500 |
Vedanta Resources Finance II PLC, 13.875%, 1/21/24(8) | USD | 1,481 | 1,319,954 |
$ 14,405,018 |
Security | Principal Amount (000's omitted) | Value | |
Mexico — 0.1% | |||
Alpha Holding S.A. de CV: | |||
9.00%, 2/10/25(8)(10) | USD | 3,667 | $ 68,760 |
10.00%, 12/19/22(8)(10) | USD | 1,741 | 26,117 |
Grupo Kaltex S.A. de CV, 14.50%, (13.00% cash and 1.50% PIK), 9/30/25(2) | USD | 1,124 | 1,011,600 |
$ 1,106,477 | |||
Moldova — 0.1% | |||
Aragvi Finance International DAC, 8.45%, 4/29/26(8) | USD | 2,301 | $ 1,584,814 |
$ 1,584,814 | |||
Nigeria — 0.0%(6) | |||
IHS Netherlands Holdco BV, 8.00%, 9/18/27(8) | USD | 354 | $ 289,760 |
SEPLAT Energy PLC, 7.75%, 4/1/26(8) | USD | 439 | 371,745 |
$ 661,505 | |||
Saint Lucia — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(8) | USD | 1,120 | $ 1,028,754 |
$ 1,028,754 | |||
South Africa — 0.0%(6) | |||
Petra Diamonds US Treasury PLC, 9.75% PIK, 3/8/26(8) | USD | 562 | $ 480,189 |
$ 480,189 | |||
Turkey — 0.2% | |||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(8) | USD | 4,373 | $ 3,839,532 |
$ 3,839,532 | |||
Uzbekistan — 0.1% | |||
International Finance Corp., 16.00%, 2/21/25 | UZS | 16,000,000 | $ 1,313,204 |
$ 1,313,204 | |||
Total Foreign Corporate Bonds (identified cost $63,382,847) | $ 41,012,302 |
Loan Participation Notes — 1.2% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 1.2% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(8)(9)(13) | UZS | 151,973,440 | $ 12,143,756 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/21/26(8)(9)(13) | UZS | 125,249,130 | 9,544,508 |
Total Loan Participation Notes (identified cost $24,959,768) | $ 21,688,264 |
Reinsurance Side Cars — 0.9% |
Security | Shares | Value | |
Eden Re II, Ltd.: | |||
Series 2021A, 0.00%, 3/21/25(2)(9)(14)(15) | 255,989 | $ 116,731 | |
Series 2022A, 0.00%, 3/20/26(2)(9)(14)(15) | 193,872 | 143,523 | |
Series 2022B, 0.00%, 3/20/26(2)(9)(14)(15) | 415,091 | 313,394 | |
Series 2023B, 0.00%, 3/19/27(2)(9)(14)(15) | 2,800,000 | 3,215,800 | |
Mt. Logan Re, Ltd., Series A-1(7)(9)(15)(16) | 4,400 | 5,206,235 | |
Sussex Capital, Ltd.: | |||
Designated Investment Series 16, 12/21(7)(9)(15)(16) | 817 | 15,233 | |
Designated Investment Series 16, 11/22(7)(9)(15)(16) | 793 | 439,382 | |
Series 16, Preference Shares(9)(15)(16) | 5,500 | 6,031,506 | |
Total Reinsurance Side Cars (identified cost $13,564,952) | $ 15,481,804 |
Senior Floating-Rate Loans — 0.9%(17) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(6) | |||
Desa, LLC, Term Loan, 2.50%, 6/30/24(9)(18) | $ | 788 | $ 278,045 |
$ 278,045 | |||
Mexico — 0.9% | |||
Petroleos Mexicanos, Term Loan, 8.447%, (SOFR + 3.00%), 6/28/24 | $ | 15,931 | $ 15,652,203 |
$ 15,652,203 | |||
Total Senior Floating-Rate Loans (identified cost $16,522,231) | $ 15,930,248 |
Sovereign Government Bonds — 38.7% |
Security | Principal Amount (000's omitted) | Value | |
Albania — 1.1% | |||
Albania Government International Bond: | |||
3.50%, 10/9/25(8) | EUR | 2,157 | $ 2,188,119 |
3.50%, 6/16/27(8) | EUR | 209 | 206,634 |
5.90%, 6/9/28(8) | EUR | 16,495 | 16,901,210 |
$ 19,295,963 | |||
Argentina — 0.5% | |||
Republic of Argentina: | |||
0.75% to 7/9/27, 7/9/30(19) | USD | 4,552 | $ 1,275,059 |
1.00%, 7/9/29 | USD | 1,102 | 298,852 |
3.50% to 7/9/29, 7/9/41(19) | USD | 9,543 | 2,524,842 |
3.625% to 7/9/24, 7/9/35(19) | USD | 10,421 | 2,601,153 |
4.255% to 7/9/24, 1/9/38(19) | USD | 6,269 | 1,908,755 |
$ 8,608,661 | |||
Armenia — 1.1% | |||
Republic of Armenia Treasury Bond: | |||
9.00%, 4/29/26 | AMD | 169,160 | $ 409,003 |
9.25%, 4/29/28 | AMD | 2,178,230 | 5,188,837 |
9.60%, 10/29/33 | AMD | 4,493,125 | 10,679,715 |
9.75%, 10/29/50 | AMD | 571,827 | 1,364,103 |
9.75%, 10/29/52 | AMD | 621,020 | 1,479,102 |
$ 19,120,760 | |||
Barbados — 0.7% | |||
Government of Barbados, 6.50%, 10/1/29(8) | USD | 13,422 | $ 12,649,952 |
$ 12,649,952 | |||
Benin — 1.0% | |||
Benin Government International Bond: | |||
4.875%, 1/19/32(8) | EUR | 8,006 | $ 6,355,651 |
4.95%, 1/22/35(8) | EUR | 3,809 | 2,742,823 |
6.875%, 1/19/52(8) | EUR | 13,654 | 9,497,367 |
$ 18,595,841 | |||
Cyprus — 0.5% | |||
Cyprus Government International Bond: | |||
2.75%, 2/26/34(8) | EUR | 812 | $ 753,195 |
4.125%, 4/13/33(8) | EUR | 7,242 | 7,731,351 |
$ 8,484,546 |
Security | Principal Amount (000's omitted) | Value | |
Dominican Republic — 2.4% | |||
Dominican Republic: | |||
8.00%, 1/15/27(8) | DOP | 96,000 | $ 1,570,419 |
8.00%, 2/12/27(8) | DOP | 490,340 | 8,108,153 |
11.25%, 9/15/35(2) | DOP | 106,250 | 1,856,850 |
12.00%, 8/8/25(2) | DOP | 332,200 | 5,912,628 |
12.75%, 9/23/29(2) | DOP | 368,500 | 7,187,520 |
13.00%, 6/10/34(8) | DOP | 232,600 | 4,752,252 |
13.625%, 2/3/33(2) | DOP | 206,150 | 4,134,557 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(8) | DOP | 31,580 | 504,933 |
12.00%, 10/3/25(2) | DOP | 138,420 | 2,466,310 |
13.00%, 12/5/25(2) | DOP | 216,700 | 3,939,317 |
13.00%, 1/30/26(2) | DOP | 161,230 | 2,933,682 |
$ 43,366,621 | |||
Ecuador — 0.0%(6) | |||
Republic of Ecuador, 2.50% to 1/31/24, 7/31/40(8)(19) | USD | 2,839 | $ 702,574 |
$ 702,574 | |||
El Salvador — 0.4% | |||
Republic of El Salvador: | |||
5.875%, 1/30/25(8) | USD | 554 | $ 510,382 |
6.375%, 1/18/27(8) | USD | 623 | 512,496 |
7.625%, 2/1/41(8) | USD | 2,863 | 1,927,230 |
7.65%, 6/15/35(8) | USD | 196 | 138,152 |
8.25%, 4/10/32(8) | USD | 4,537 | 3,582,924 |
$ 6,671,184 | |||
Ethiopia — 0.5% | |||
Ethiopia Government International Bond, 6.625%, 12/11/24(8) | USD | 14,706 | $ 9,335,178 |
$ 9,335,178 | |||
Ghana — 0.6% | |||
Ghana Government International Bond: | |||
6.375%, 2/11/27(8)(10) | USD | 1,906 | $ 817,979 |
7.625%, 5/16/29(8)(10) | USD | 1,830 | 784,212 |
7.75%, 4/7/29(8)(10) | USD | 3,667 | 1,577,140 |
7.875%, 3/26/27(8)(10) | USD | 718 | 310,460 |
7.875%, 2/11/35(8)(10) | USD | 837 | 363,049 |
8.125%, 3/26/32(8)(10) | USD | 4,287 | 1,818,074 |
8.625%, 4/7/34(8)(10) | USD | 2,842 | 1,216,887 |
8.627%, 6/16/49(8)(10) | USD | 2,781 | 1,164,752 |
8.75%, 3/11/61(8)(10) | USD | 3,256 | 1,363,482 |
Security | Principal Amount (000's omitted) | Value | |
Ghana (continued) | |||
Ghana Government International Bond: (continued) | |||
8.875%, 5/7/42(8)(10) | USD | 1,305 | $ 546,932 |
8.95%, 3/26/51(8)(10) | USD | 252 | 105,723 |
$ 10,068,690 | |||
Greece — 0.0%(6) | |||
Hellenic Republic Government Bond, 0.00%, GDP-Linked, 10/15/42 | EUR | 85,770 | $ 285,401 |
$ 285,401 | |||
Honduras — 0.4% | |||
Honduras Government International Bond, 7.50%, 3/15/24(8) | USD | 7,500 | $ 7,475,250 |
$ 7,475,250 | |||
Hungary — 0.5% | |||
Hungary Government Bond: | |||
3.00%, 4/25/41 | HUF | 1,964,450 | $ 3,093,827 |
4.00%, 4/28/51 | HUF | 1,143,090 | 1,891,183 |
4.75%, 11/24/32 | HUF | 1,945,960 | 4,442,165 |
$ 9,427,175 | |||
Iceland — 1.6% | |||
Republic of Iceland: | |||
2.50%, 4/15/24 | ISK | 168,247 | $ 1,169,099 |
6.50%, 1/24/31 | ISK | 1,418,285 | 9,597,844 |
8.00%, 6/12/25 | ISK | 2,433,368 | 17,363,930 |
$ 28,130,873 | |||
India — 3.7% | |||
Export-Import Bank of India: | |||
3.25%, 1/15/30(8) | USD | 10,500 | $ 8,881,216 |
5.50%, 1/18/33(2) | USD | 4,490 | 4,237,271 |
India Government Bond: | |||
7.10%, 4/18/29 | INR | 3,328,920 | 39,482,826 |
7.26%, 2/6/33 | INR | 1,102,690 | 13,155,398 |
$ 65,756,711 | |||
Indonesia — 2.0% | |||
Indonesia Government Bond: | |||
6.125%, 5/15/28 | IDR | 550,220,000 | $ 33,377,935 |
7.125%, 6/15/42 | IDR | 26,112,000 | 1,632,522 |
7.125%, 6/15/43 | IDR | 14,081,000 | 884,071 |
Security | Principal Amount (000's omitted) | Value | |
Indonesia (continued) | |||
Indonesia Government Bond: (continued) | |||
7.375%, 5/15/48 | IDR | 9,373,000 | $ 601,412 |
$ 36,495,940 | |||
Ivory Coast — 0.9% | |||
Ivory Coast Government International Bond: | |||
6.625%, 3/22/48(8) | EUR | 15,634 | $ 11,145,401 |
6.875%, 10/17/40(8) | EUR | 7,068 | 5,435,844 |
$ 16,581,245 | |||
Lebanon — 0.1% | |||
Lebanese Republic: | |||
5.80%, 4/14/20(8)(10) | USD | 337 | $ 21,680 |
6.10%, 10/4/22(8)(10) | USD | 5,758 | 358,798 |
6.15%, 6/19/20(10) | USD | 448 | 28,821 |
6.375%, 3/9/20(10) | USD | 5,742 | 369,394 |
6.40%, 5/26/23(10) | USD | 7,625 | 476,563 |
6.65%, 11/3/28(8)(10) | USD | 2,498 | 164,241 |
6.85%, 5/25/29(10) | USD | 5,335 | 342,166 |
7.00%, 12/3/24(10) | USD | 3,446 | 226,988 |
8.20%, 5/17/33(10) | USD | 1,595 | 103,635 |
8.25%, 5/17/34(10) | USD | 1,326 | 88,444 |
$ 2,180,730 | |||
Mexico — 1.0% | |||
Mexican Bonos: | |||
7.75%, 11/13/42 | MXN | 217,290 | $ 9,629,747 |
8.00%, 7/31/53 | MXN | 200,000 | 8,924,289 |
$ 18,554,036 | |||
Nigeria — 0.8% | |||
Republic of Nigeria: | |||
7.375%, 9/28/33(8) | USD | 2,384 | $ 1,799,824 |
7.625%, 11/28/47(8) | USD | 1,220 | 826,832 |
7.696%, 2/23/38(8) | USD | 7,869 | 5,631,017 |
8.25%, 9/28/51(8) | USD | 9,301 | 6,571,566 |
$ 14,829,239 | |||
North Macedonia — 1.5% | |||
North Macedonia Government International Bond: | |||
1.625%, 3/10/28(8) | EUR | 10,491 | $ 9,050,684 |
2.75%, 1/18/25(8) | EUR | 2,570 | 2,613,020 |
3.675%, 6/3/26(8) | EUR | 4,477 | 4,456,062 |
Security | Principal Amount (000's omitted) | Value | |
North Macedonia (continued) | |||
North Macedonia Government International Bond: (continued) | |||
6.96%, 3/13/27(8) | EUR | 9,573 | $ 10,277,951 |
$ 26,397,717 | |||
Panama — 0.0%(6) | |||
Panama Bonos del Tesoro, 6.375%, 7/25/33(2)(8) | USD | 581 | $ 531,202 |
$ 531,202 | |||
Peru — 3.0% | |||
Peru Government Bond: | |||
5.94%, 2/12/29 | PEN | 139,340 | $ 34,779,642 |
6.15%, 8/12/32 | PEN | 31,156 | 7,419,155 |
6.35%, 8/12/28 | PEN | 10,491 | 2,693,663 |
6.95%, 8/12/31 | PEN | 3,691 | 937,086 |
7.30%, 8/12/33(2)(8) | PEN | 28,573 | 7,292,726 |
$ 53,122,272 | |||
Philippines — 1.0% | |||
Republic of the Philippines, 6.25%, 1/14/36 | PHP | 1,024,000 | $ 17,136,349 |
$ 17,136,349 | |||
Romania — 1.8% | |||
Romania Government International Bond: | |||
1.75%, 7/13/30(8) | EUR | 858 | $ 693,180 |
2.124%, 7/16/31(8) | EUR | 678 | 533,675 |
2.125%, 3/7/28(8) | EUR | 4,146 | 3,818,497 |
2.625%, 12/2/40(8) | EUR | 894 | 559,430 |
2.75%, 4/14/41(8) | EUR | 1,699 | 1,065,123 |
3.375%, 1/28/50(8) | EUR | 5,202 | 3,267,388 |
4.625%, 4/3/49(8) | EUR | 6,270 | 4,922,145 |
5.00%, 9/27/26(8) | EUR | 8,524 | 9,080,353 |
6.625%, 9/27/29(8) | EUR | 8,340 | 9,098,947 |
$ 33,038,738 | |||
Serbia — 2.7% | |||
Republic of Serbia: | |||
1.00%, 9/23/28(8) | EUR | 9,388 | $ 7,830,038 |
1.50%, 6/26/29(8) | EUR | 10,232 | 8,404,381 |
1.65%, 3/3/33(8) | EUR | 368 | 258,880 |
Serbia Treasury Bond: | |||
4.50%, 8/20/32 | RSD | 1,539,040 | 12,243,040 |
5.875%, 2/8/28 | RSD | 2,181,570 | 20,158,570 |
$ 48,894,909 |
Security | Principal Amount (000's omitted) | Value | |
South Africa — 1.8% | |||
Republic of South Africa: | |||
8.00%, 1/31/30 | ZAR | 295,900 | $ 13,974,974 |
8.25%, 3/31/32 | ZAR | 269,204 | 11,879,625 |
10.50%, 12/21/26 | ZAR | 99,181 | 5,489,472 |
$ 31,344,071 | |||
South Korea — 1.3% | |||
Korea Treasury Bond, 1.875%, 12/10/24 | KRW | 31,500,000 | $ 22,838,963 |
$ 22,838,963 | |||
Sri Lanka — 1.1% | |||
Sri Lanka Government International Bond: | |||
5.75%, 4/18/23(8)(10) | USD | 7,202 | $ 3,780,382 |
6.20%, 5/11/27(8)(10) | USD | 5,303 | 2,669,795 |
6.35%, 6/28/24(8)(10) | USD | 3,160 | 1,648,108 |
6.825%, 7/18/26(8)(10) | USD | 13,209 | 6,884,438 |
6.85%, 3/14/24(8)(10) | USD | 2,910 | 1,516,484 |
6.85%, 11/3/25(8)(10) | USD | 5,492 | 2,869,330 |
$ 19,368,537 | |||
Suriname — 2.1% | |||
Republic of Suriname, 9.25%, 10/26/26(8)(10) | USD | 40,913 | $ 37,333,113 |
$ 37,333,113 | |||
Ukraine — 0.3% | |||
Ukraine Government Bond: | |||
10.95%, 11/1/23 | UAH | 51,923 | $ 1,357,689 |
11.67%, 11/22/23 | UAH | 36,423 | 850,869 |
15.84%, 2/26/25 | UAH | 169,589 | 3,669,101 |
$ 5,877,659 | |||
Uruguay — 1.5% | |||
Uruguay Government Bond: | |||
3.875%, 7/2/40(20) | UYU | 436,482 | $ 11,082,702 |
9.75%, 7/20/33 | UYU | 539,428 | 13,452,226 |
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24 | UYU | 88,660 | 2,082,007 |
$ 26,616,935 | |||
Uzbekistan — 0.5% | |||
Republic of Uzbekistan: | |||
14.00%, 7/19/24(8) | UZS | 2,500,000 | $ 204,150 |
16.25%, 10/12/26(8) | UZS | 112,430,000 | 9,235,325 |
$ 9,439,475 |
Security | Principal Amount (000's omitted) | Value | |
Zambia — 0.3% | |||
Zambia Government Bond: | |||
11.00%, 1/25/26 | ZMW | 115,980 | $ 4,593,845 |
11.00%, 6/28/26 | ZMW | 3,150 | 118,630 |
12.00%, 6/28/28 | ZMW | 10,500 | 340,682 |
12.00%, 8/30/28 | ZMW | 1,000 | 31,990 |
12.00%, 11/29/28 | ZMW | 3,500 | 109,844 |
13.00%, 1/25/31 | ZMW | 5,245 | 147,741 |
$ 5,342,732 | |||
Total Sovereign Government Bonds (identified cost $739,008,328) | $693,899,242 |
Sovereign Loans — 3.2% |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Ivory Coast — 0.1% | |||
Republic of Ivory Coast, Term Loan, 9.638%, (6 mo. EURIBOR + 5.75%), 1/6/28(3) | EUR | 2,399 | $ 2,736,253 |
$ 2,736,253 | |||
Kenya — 0.2% | |||
Government of Kenya, Term Loan, 12.203%, (6 mo. SOFR + 6.45%), 6/29/25(3) | USD | 3,072 | $ 3,137,765 |
$ 3,137,765 | |||
Nigeria — 0.1% | |||
Bank of Industry Limited, Term Loan, 11.67%, (3 mo. USD LIBOR + 6.00%), 12/11/23(3)(21) | USD | 1,910 | $ 1,911,371 |
$ 1,911,371 | |||
Tanzania — 2.8% | |||
Government of the United Republic of Tanzania, Term Loan, 12.174%, (6 mo. USD LIBOR + 6.30%), 4/28/31(3) | USD | 51,843 | $ 50,605,526 |
$ 50,605,526 | |||
Total Sovereign Loans (identified cost $59,631,070) | $ 58,390,915 |
U.S. Government Agency Mortgage-Backed Securities — 1.7% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
4.196%, (COF + 1.254%), with maturity at 2035(22) | $ | 238 | $ 233,185 |
4.243%, (COF + 1.254%), with maturity at 2029(22) | 5 | 4,947 | |
4.50%, with maturity at 2035 | 103 | 97,816 | |
4.616%, (COF + 1.251%), with maturity at 2030(22) | 101 | 99,697 | |
5.685%, (1 yr. CMT + 2.318%), with maturity at 2036(22) | 481 | 481,827 | |
6.00%, with various maturities to 2035 | 2,512 | 2,521,683 | |
6.50%, with various maturities to 2032 | 2,674 | 2,724,610 | |
6.60%, with maturity at 2030 | 279 | 280,912 | |
7.00%, with various maturities to 2036 | 3,184 | 3,254,197 | |
7.50%, with various maturities to 2035 | 1,082 | 1,110,425 | |
8.00%, with various maturities to 2030 | 184 | 183,753 | |
8.50%, with maturity at 2025 | 1 | 1,401 | |
9.00%, with various maturities to 2027 | 6 | 6,466 | |
9.50%, with maturity at 2027 | 4 | 3,965 | |
Federal National Mortgage Association: | |||
4.111%, (COF + 1.296%), with maturity at 2024(22) | 9 | 8,826 | |
4.114%, (COF + 1.299%), with maturity at 2033(22) | 332 | 321,311 | |
4.186%, (COF + 1.254%), with maturity at 2035(22) | 187 | 184,942 | |
4.223%, (COF + 1.254%), with maturity at 2034(22) | 82 | 79,056 | |
4.29%, (COF + 1.40%), with maturity at 2025(22) | 43 | 42,442 | |
4.319%, (COF + 1.35%), with maturity at 2027(22) | 20 | 19,838 | |
4.32%, (1 yr. CMT + 2.15%), with maturity at 2028(22) | 47 | 47,031 | |
4.49%, (COF + 1.60%), with maturity at 2024(22) | 16 | 15,480 | |
5.05%, (COF + 1.791%), with maturity at 2035(22) | 728 | 710,490 | |
6.00%, with various maturities to 2035 | 8,391 | 8,426,503 | |
6.334%, (COF + 2.004%), with maturity at 2032(22) | 157 | 159,908 | |
6.50%, with various maturities to 2038 | 2,850 | 2,884,280 | |
7.00%, with various maturities to 2035 | 4,928 | 5,044,744 | |
7.50%, with various maturities to 2027 | 2 | 2,459 | |
7.725%, (1 yr. CMT + 2.225%), with maturity at 2025(22) | 0 (23) | 395 | |
8.00%, with maturity at 2026 | 0 (23) | 116 | |
8.50%, with various maturities to 2037 | 624 | 651,502 | |
9.00%, with various maturities to 2032 | 38 | 38,784 | |
9.50%, with various maturities to 2031 | 4 | 4,047 | |
11.50%, with maturity at 2031 | 61 | 65,820 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: | |||
3.00%, (1 yr. CMT + 1.50%), with maturity at 2024(22) | $ | 16 | $ 15,463 |
6.50%, with various maturities to 2032 | 125 | 126,154 | |
7.00%, with various maturities to 2031 | 196 | 200,350 | |
7.50%, with maturity at 2028 | 16 | 15,867 | |
9.00%, with maturity at 2025 | 1 | 547 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $33,182,029) | $ 30,071,239 |
U.S. Government Guaranteed Small Business Administration Loans(24)(25)— 0.5% |
Security | Principal Amount (000's omitted) | Value | |
1.66%, 8/15/42 to 4/15/43 | $ | 6,684 | $ 288,522 |
1.91%, 9/15/42 to 2/15/43 | 6,506 | 322,985 | |
1.93%, 5/15/42 | 1,183 | 59,396 | |
2.16%, 2/15/42 to 4/15/43 | 8,592 | 493,101 | |
2.24%, 3/19/36 to 8/25/42(26) | 7,339 | 507,998 | |
2.33%, 10/29/39 to 8/17/42(26) | 18,098 | 958,844 | |
2.36%, 9/15/42 | 1,844 | 115,927 | |
2.39%, 7/15/39 | 911 | 49,041 | |
2.41%, 7/15/42 to 4/15/43 | 15,551 | 1,023,243 | |
2.46%, 1/15/43 | 1,404 | 110,729 | |
2.66%, 4/15/43 | 4,280 | 317,724 | |
2.71%, 8/15/27 to 9/15/42 | 2,433 | 161,730 | |
2.91%, 10/15/42 to 4/15/43 | 8,497 | 704,249 | |
2.93%, 4/15/42 | 886 | 77,796 | |
2.96%, 7/15/27 to 12/15/42 | 4,636 | 314,906 | |
3.16%, 9/15/42 to 4/15/43 | 4,037 | 401,819 | |
3.21%, 6/15/27 to 3/15/43 | 3,494 | 266,458 | |
3.41%, 3/15/43 to 4/15/43 | 5,494 | 499,670 | |
3.46%, 3/15/27 to 9/15/42 | 3,948 | 346,378 | |
3.66%, 1/15/43 to 6/15/43 | 6,014 | 660,299 | |
3.71%, 3/15/28 to 10/15/42 | 7,272 | 586,086 | |
3.78%, 5/15/27 to 6/15/42 | 913 | 76,098 | |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $17,700,922) | $ 8,342,999 |
U.S. Treasury Obligations — 6.3% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond, 0.625%, 7/15/32(27) | $ | 12,471 | $ 10,685,183 |
U.S. Treasury Inflation-Protected Notes, 1.25%, 4/15/28(27) | 108,280 | 102,403,484 | |
Total U.S. Treasury Obligations (identified cost $116,720,118) | $113,088,667 |
Warrants — 0.0%(6) |
Security | Shares | Value | |
IRSA Inversiones y Representaciones S.A., Exp. 3/5/26(7) | 201,760 | $ 76,770 | |
Total Warrants (identified cost $0) | $ 76,770 |
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 — 36.4% |
Affiliated Fund — 15.9% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(28) | 283,898,491 | $ 283,898,491 | |
Total Affiliated Fund (identified cost $283,898,491) | $283,898,491 |
Repurchase Agreements — 4.9% |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: | |||
Dated 7/27/23 with an interest rate of 4.75%, collateralized by USD 1,500,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $1,000,796(29) | USD | 1,098 | $ 1,098,450 |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: (continued) | |||
Dated 7/27/23 with an interest rate of 4.75%, collateralized by USD 3,176,000 Republic of Colombia, 6.125%, due 1/18/41 and a market value, including accrued interest, of $2,494,719(29) | USD | 2,326 | $ 2,325,785 |
Dated 7/27/23 with an interest rate of 4.80%, collateralized by USD 7,674,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $5,120,071(29) | USD | 5,620 | 5,619,670 |
Dated 7/27/23 with an interest rate of 5.00%, collateralized by USD 3,600,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,401,910(29) | USD | 2,636 | 2,636,280 |
Dated 8/17/23 with an interest rate of 4.00%, collateralized by USD 1,386,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $418,492(29) | USD | 411 | 410,603 |
Dated 8/21/23 with an interest rate of 3.75%, collateralized by USD 1,925,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $581,239(29) | USD | 575 | 575,094 |
Dated 8/23/23 with an interest rate of 3.60%, collateralized by USD 2,364,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $713,792(29) | USD | 694 | 694,425 |
Dated 10/13/23 with an interest rate of 5.00%, collateralized by USD 953,000 Republic of Ecuador, 6.00%, due 7/31/30 and a market value, including accrued interest, of $506,577(29) | USD | 481 | 481,265 |
Barclays Bank PLC: | |||
Dated 7/27/23 with an interest rate of 4.50%, collateralized by USD 5,500,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $1,660,683(29) | USD | 1,660 | 1,660,486 |
Dated 8/1/23 with an interest rate of 1.75%, collateralized by USD 755,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $420,032(29) | USD | 444 | 443,726 |
Dated 8/1/23 with an interest rate of 4.00%, collateralized by USD 2,750,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $830,342(29) | USD | 810 | 809,713 |
Dated 8/17/23 with an interest rate of 3.75%, collateralized by USD 1,375,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $415,171(29) | USD | 428 | 427,969 |
Dated 9/8/23 with an interest rate of 4.00%, collateralized by USD 323,000 Republic of Azerbaijan, 5.125%, due 9/1/29 and a market value, including accrued interest, of $299,825(29) | USD | 320 | 319,770 |
Dated 9/8/23 with an interest rate of 4.95%, collateralized by USD 1,351,000 Republic of Armenia International Bond, 3.60%, due 2/2/31 and a market value, including accrued interest, of $1,011,132(29) | USD | 1,118 | 1,117,952 |
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: (continued) | |||
Dated 9/11/23 with an interest rate of 4.00%, collateralized by USD 270,000 Republic of Azerbaijan, 5.125%, due 9/1/29 and a market value, including accrued interest, of $250,628(29) | USD | 266 | $ 266,288 |
Dated 9/12/23 with an interest rate of 4.00%, collateralized by USD 809,000 Republic of Azerbaijan, 5.125%, due 9/1/29 and a market value, including accrued interest, of $750,955(29) | USD | 798 | 797,876 |
Dated 9/20/23 with an interest rate of 2.50%, collateralized by EUR 2,794,000 Republic of Poland, 1.125%, due 8/7/26 and a market value, including accrued interest, of $2,759,768(29) | EUR | 2,731 | 2,889,815 |
Dated 9/20/23 with an interest rate of 2.60%, collateralized by EUR 2,000,000 Republic of Poland, 2.75%, due 5/25/32 and a market value, including accrued interest, of $1,949,077(29) | EUR | 1,925 | 2,036,843 |
Dated 9/20/23 with an interest rate of 2.75%, collateralized by EUR 1,200,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $1,124,830(29) | EUR | 1,109 | 1,172,904 |
Dated 9/20/23 with an interest rate of 3.10%, collateralized by EUR 4,000,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $3,749,433(29) | EUR | 3,695 | 3,909,681 |
Dated 10/11/23 with an interest rate of 0.00%, collateralized by USD 3,059,000 Pakistan Government International Bond, 8.25%, due 9/30/25 and a market value, including accrued interest, of $2,214,952(29) | USD | 1,858 | 1,858,342 |
Dated 10/11/23 with an interest rate of 2.25%, collateralized by USD 1,600,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $890,133(29) | USD | 836 | 836,000 |
Dated 10/11/23 with an interest rate of 2.50%, collateralized by USD 2,264,000 Pakistan Government International Bond, 6.875%, due 12/5/27 and a market value, including accrued interest, of $1,271,874(29) | USD | 1,191 | 1,191,430 |
Dated 10/11/23 with an interest rate of 2.75%, collateralized by USD 5,547,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $3,085,981(29) | USD | 2,850 | 2,849,771 |
Dated 10/11/23 with an interest rate of 5.00%, collateralized by USD 11,401,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $7,606,715(29) | USD | 7,824 | 7,823,936 |
Dated 10/11/23 with an interest rate of 5.05%, collateralized by USD 7,125,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $4,753,780(29) | USD | 4,890 | 4,889,531 |
Dated 10/11/23 with an interest rate of 5.15%, collateralized by MXN 117,587,117 Mexican Udibonos, 4.00%, due 11/3/50 and a market value, including accrued interest, of $5,704,162(29) | USD | 5,747 | 5,747,059 |
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: (continued) | |||
Dated 10/16/23 with an interest rate of 5.15%, collateralized by MXN 152,199,454 Mexican Udibonos, 4.00%, due 11/15/40 and a market value, including accrued interest, of $7,613,904(29) | USD | 7,758 | $ 7,758,243 |
JPMorgan Chase Bank, N.A.: | |||
Dated 7/27/23 with an interest rate of 4.95%, collateralized by USD 3,176,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,119,018(29) | USD | 2,333 | 2,332,913 |
Dated 7/27/23 with an interest rate of 5.00%, collateralized by USD 3,187,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,126,357(29) | USD | 2,341 | 2,340,993 |
Dated 10/6/23 with an interest rate of 5.00%, collateralized by USD 2,683,000 Republic of Ecuador, 6.00%, due 7/31/30 and a market value, including accrued interest, of $1,411,367(29) | USD | 1,373 | 1,372,802 |
Dated 10/13/23 with an interest rate of 5.00%, collateralized by USD 1,341,000 Republic of Ecuador, 6.00%, due 7/31/30 and a market value, including accrued interest, of $705,420(29) | USD | 686 | 686,369 |
Nomura International PLC: | |||
Dated 9/5/23 with an interest rate of 4.85%, collateralized by USD 1,349,000 Republic of Azerbaijan, 3.50%, due 9/1/32 and a market value, including accrued interest, of $1,065,188(29) | USD | 1,183 | 1,182,877 |
Dated 9/6/23 with an interest rate of 4.85%, collateralized by USD 1,889,000 Republic of Azerbaijan, 3.50%, due 9/1/32 and a market value, including accrued interest, of $1,491,580(29) | USD | 1,655 | 1,655,387 |
Dated 9/11/23 with an interest rate of 4.85%, collateralized by USD 1,348,000 Republic of Azerbaijan, 3.50%, due 9/1/32 and a market value, including accrued interest, of $1,064,399(29) | USD | 1,171 | 1,170,819 |
Dated 9/13/23 with an interest rate of 4.85%, collateralized by USD 521,000 Republic of Azerbaijan, 3.50%, due 9/1/32 and a market value, including accrued interest, of $411,389(29) | USD | 448 | 448,089 |
Dated 9/27/23 with an interest rate of 4.75%, collateralized by USD 1,621,000 Republic of Armenia International Bond, 3.60%, due 2/2/31 and a market value, including accrued interest, of $1,213,208(29) | USD | 1,295 | 1,295,430 |
Dated 10/11/23 with an interest rate of 3.25%, collateralized by USD 3,066,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $1,705,718(29) | USD | 1,744 | 1,743,558 |
Dated 10/11/23 with an interest rate of 3.40%, collateralized by EUR 1,956,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $1,833,473(29) | USD | 1,912 | 1,911,585 |
Description | Principal Amount (000's omitted) | Value | |
Nomura International PLC: (continued) | |||
Dated 10/11/23 with an interest rate of 4.90%, collateralized by USD 3,176,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,119,018(29) | USD | 2,196 | $ 2,195,632 |
Dated 10/11/23 with an interest rate of 5.05%, collateralized by USD 3,125,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,084,991 | USD | 2,160 | 2,160,375 |
Dated 10/11/23 with an interest rate of 5.05%, collateralized by USD 3,174,000 Republic of Colombia, 5.625%, due 2/26/44 and a market value, including accrued interest, of $2,264,223(29) | USD | 2,389 | 2,388,873 |
Dated 10/11/23 with an interest rate of 5.05%, collateralized by USD 3,175,000 Republic of Colombia, 5.00%, due 6/15/45 and a market value, including accrued interest, of $2,104,956(29) | USD | 2,219 | 2,219,423 |
Total Repurchase Agreements (identified cost $87,827,345) | $ 87,754,032 |
Sovereign Government Securities — 4.8% |
Security | Principal Amount (000's omitted) | Value | |
Albania — 0.0%(6) | |||
Albania Treasury Bill, 0.00%, 1/18/24 | ALL | 11,000 | $ 109,696 |
$ 109,696 | |||
Brazil — 4.5% | |||
Letra do Tesouro Nacional, 0.00%, 1/1/24 | BRL | 411,800 | $ 80,166,670 |
$ 80,166,670 | |||
Sri Lanka — 0.3% | |||
Sri Lanka Treasury Bills: | |||
0.00%, 11/17/23 | LKR | 171,000 | $ 518,819 |
0.00%, 11/24/23 | LKR | 85,000 | 257,147 |
0.00%, 12/8/23 | LKR | 198,000 | 595,486 |
0.00%, 1/5/24 | LKR | 435,000 | 1,292,432 |
0.00%, 1/12/24 | LKR | 758,000 | 2,245,067 |
0.00%, 3/15/24 | LKR | 100,000 | 288,860 |
0.00%, 4/19/24 | LKR | 286,000 | 816,285 |
$ 6,014,096 | |||
Total Sovereign Government Securities (identified cost $88,542,457) | $ 86,290,462 |
U.S. Treasury Obligations — 10.8% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 11/30/23(30) | $ | 135,000 | $ 134,425,364 |
0.00%, 12/12/23(30) | 30,000 | 29,819,429 | |
0.00%, 1/9/24 | 30,000 | 29,696,544 | |
Total U.S. Treasury Obligations (identified cost $193,937,891) | $193,941,337 | ||
Total Short-Term Investments (identified cost $654,206,184) | $651,884,322 |
Total Purchased Options — 0.0%(6) (identified cost $409,827) | $ 332,156 | ||
Total Investments — 98.7% (identified cost $1,869,244,323) | $1,768,736,982 | ||
Total Written Options — (0.0)%(6) (premiums received $145,736) | $ (87,249) |
Securities Sold Short — (5.1)% | |||
Common Stocks — (0.7)% |
Security | Shares | Value | |
New Zealand — (0.7)% | |||
a2 Milk Co., Ltd. (The)(7) | (219,100) | $ (533,670) | |
Air New Zealand, Ltd. | (436,600) | (170,397) | |
Auckland International Airport, Ltd. | (315,857) | (1,351,006) | |
Chorus, Ltd. | (86,192) | (360,523) | |
Contact Energy, Ltd. | (204,200) | (927,571) | |
EBOS Group, Ltd. | (13,100) | (267,426) | |
Fisher & Paykel Healthcare Corp., Ltd. | (123,800) | (1,501,644) | |
Fletcher Building, Ltd. | (235,800) | (594,265) | |
Freightways Group, Ltd. | (17,382) | (75,486) | |
Goodman Property Trust | (210,200) | (246,194) | |
Infratil, Ltd. | (200,700) | (1,149,214) | |
Kiwi Property Group, Ltd. | (236,899) | (107,009) | |
Mainfreight, Ltd. | (21,500) | (717,631) | |
Mercury NZ, Ltd. | (156,285) | (537,611) | |
Meridian Energy, Ltd. | (323,600) | (911,374) | |
Precinct Properties New Zealand, Ltd. | (369,107) | (238,934) | |
Ryman Healthcare, Ltd. | (139,400) | (462,154) | |
SKYCITY Entertainment Group, Ltd. | (133,500) | (145,514) |
Security | Shares | Value | |
New Zealand (continued) | |||
Spark New Zealand, Ltd. | (502,600) | $ (1,459,107) | |
Summerset Group Holdings, Ltd. | (35,300) | (200,469) | |
Total Common Stocks (proceeds $14,187,272) | $(11,957,199) | ||
Sovereign Government Bonds — (4.4)% |
Security | Principal Amount (000's omitted) | Value | |
Armenia — (0.1)% | |||
Republic of Armenia International Bond, 3.60%, 2/2/31(8) | USD | (2,972) | $ (2,197,889) |
$ (2,197,889) | |||
Azerbaijan — (0.3)% | |||
Republic of Azerbaijan: | |||
3.50%, 9/1/32(8) | USD | (5,107) | $ (4,002,765) |
5.125%, 9/1/29(8) | USD | (1,402) | (1,289,433) |
$ (5,292,198) | |||
Colombia — (1.9)% | |||
Republic of Colombia: | |||
5.00%, 6/15/45 | USD | (3,175) | $ (2,044,984) |
5.20%, 5/15/49 | USD | (42,853) | (27,563,882) |
5.625%, 2/26/44 | USD | (3,174) | (2,231,987) |
6.125%, 1/18/41 | USD | (3,176) | (2,439,061) |
$(34,279,914) | |||
Ecuador — (0.4)% | |||
Republic of Ecuador: | |||
0.00%, 7/31/30(8) | USD | (15,300) | $ (4,619,719) |
6.00% to 7/31/24, 7/31/30(8)(19) | USD | (3,381) | (1,727,265) |
$ (6,346,984) | |||
Mexico — (0.7)% | |||
Mexican Udibonos: | |||
4.00%, 11/15/40(20) | MXN | (152,199) | $ (7,476,953) |
4.00%, 11/3/50(20) | MXN | (117,587) | (5,598,355) |
$(13,075,308) | |||
Pakistan — (0.5)% | |||
Pakistan Government International Bond: | |||
6.00%, 4/8/26(8) | USD | (10,968) | $ (6,059,820) |
Security | Principal Amount (000's omitted) | Value | |
Pakistan (continued) | |||
Pakistan Government International Bond: (continued) | |||
6.875%, 12/5/27(8) | USD | (2,264) | $ (1,208,750) |
8.25%, 9/30/25(8) | USD | (3,059) | (2,193,220) |
$ (9,461,790) | |||
Poland — (0.5)% | |||
Republic of Poland: | |||
1.00%, 3/7/29(8) | EUR | (7,156) | $ (6,658,156) |
2.75%, 5/25/32(8) | EUR | (2,000) | (1,923,567) |
$ (8,581,723) | |||
Total Sovereign Government Bonds (proceeds $82,139,399) | $(79,235,806) | ||
Total Securities Sold Short (proceeds $96,326,671) | $(91,193,005) |
Other Assets, Less Liabilities — 6.4% | $ 114,679,723 | ||
Net Assets — 100.0% | $1,792,136,451 |
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) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At October 31, 2023, the aggregate value of these securities is $92,669,818 or 5.2% of the Portfolio's net assets. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(4) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at October 31, 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 October 31, 2023. |
(6) | Amount is less than 0.05% or (0.05)%, as applicable. |
(7) | Non-income producing security. |
(8) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At October 31, 2023, the aggregate value of these securities is $329,364,193 or 18.4% of the Portfolio's net assets. |
(9) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 10). |
(10) | 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. |
(11) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(12) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(13) | 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. |
(14) | Quantity held represents principal in USD. |
(15) | 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. |
(16) | Restricted security (see Note 5). |
(17) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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. |
(18) | Fixed-rate loan. |
(19) | Step coupon security. Interest rate represents the rate in effect at October 31, 2023. |
(20) | 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. |
(21) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(22) | 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 October 31, 2023. |
(23) | Principal amount is less than $500. |
(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 October 31, 2023 of all interest only securities comprising the certificate. |
(27) | 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. |
(28) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
(29) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(30) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Currency Options (OTC) — 0.0%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 13,900,000 | CNH | 7.30 | 1/18/24 | $121,180 |
Call USD vs. Put CNH | Goldman Sachs International | USD | 24,200,000 | CNH | 7.30 | 1/18/24 | 210,976 |
Total | $332,156 |
(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 | $(31,831) |
Call USD vs. Put CNH | Goldman Sachs International | USD | 24,200,000 | CNH | 7.50 | 1/18/24 | (55,418) |
Total | $(87,249) |
(1) | Amount is less than (0.05)%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
CLP | 2,096,089,000 | USD | 2,246,612 | 12/20/23 | $ 88,787 |
CLP | 1,510,694,000 | USD | 1,607,549 | 12/20/23 | 75,621 |
CLP | 1,395,882,000 | USD | 1,493,721 | 12/20/23 | 61,529 |
CLP | 720,603,707 | USD | 767,609 | 12/20/23 | 35,266 |
CLP | 785,561,000 | USD | 847,688 | 12/20/23 | 27,560 |
CLP | 701,718,000 | USD | 757,034 | 12/20/23 | 24,798 |
CLP | 604,278,000 | USD | 651,892 | 12/20/23 | 21,376 |
CLP | 283,509,280 | USD | 306,755 | 12/20/23 | 9,122 |
CLP | 574,431,000 | USD | 640,927 | 12/20/23 | (914) |
CLP | 574,431,000 | USD | 641,299 | 12/20/23 | (1,286) |
CLP | 1,148,861,000 | USD | 1,281,496 | 12/20/23 | (1,470) |
CLP | 574,431,000 | USD | 641,643 | 12/20/23 | (1,629) |
CLP | 574,431,000 | USD | 641,643 | 12/20/23 | (1,629) |
CLP | 574,431,000 | USD | 642,900 | 12/20/23 | (2,886) |
COP | 3,378,000,000 | USD | 816,419 | 12/20/23 | (4,436) |
COP | 29,400,000,000 | USD | 7,105,603 | 12/20/23 | (38,611) |
EUR | 507,712 | USD | 535,795 | 12/20/23 | 2,613 |
EUR | 1,941,857 | USD | 2,079,379 | 12/20/23 | (20,120) |
IDR | 32,124,378,520 | USD | 2,043,363 | 12/20/23 | (28,249) |
IDR | 226,938,081,331 | USD | 14,432,868 | 12/20/23 | (197,378) |
KRW | 3,376,000,000 | USD | 2,546,656 | 12/20/23 | (44,690) |
KRW | 4,101,340,473 | USD | 3,095,001 | 12/20/23 | (55,482) |
PEN | 13,584,000 | USD | 3,497,695 | 12/20/23 | 31,631 |
PEN | 8,000,000 | USD | 2,061,540 | 12/20/23 | 16,979 |
PEN | 5,900,000 | USD | 1,526,955 | 12/20/23 | 5,954 |
USD | 13,477,177 | CLP | 12,119,350,987 | 12/20/23 | (25,837) |
USD | 5,021,776 | COP | 20,778,000,000 | 12/20/23 | 27,288 |
USD | 405,939 | COP | 1,680,980,000 | 12/20/23 | 1,875 |
USD | 407,481 | COP | 1,697,020,000 | 12/20/23 | (438) |
USD | 46,354,579 | EUR | 43,288,862 | 12/20/23 | 448,531 |
USD | 35,446,421 | EUR | 33,102,128 | 12/20/23 | 342,983 |
USD | 32,461,736 | EUR | 30,314,839 | 12/20/23 | 314,103 |
USD | 25,920,907 | EUR | 24,206,596 | 12/20/23 | 250,813 |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 19,838,470 | EUR | 18,526,428 | 12/20/23 | $ 191,959 |
USD | 16,783,023 | EUR | 15,673,057 | 12/20/23 | 162,394 |
USD | 16,668,830 | EUR | 15,566,416 | 12/20/23 | 161,289 |
USD | 16,331,238 | EUR | 15,251,151 | 12/20/23 | 158,023 |
USD | 11,563,411 | EUR | 10,798,651 | 12/20/23 | 111,889 |
USD | 10,349,071 | EUR | 9,664,623 | 12/20/23 | 100,139 |
USD | 8,459,605 | EUR | 7,900,119 | 12/20/23 | 81,856 |
USD | 8,356,320 | EUR | 7,803,664 | 12/20/23 | 80,856 |
USD | 7,267,390 | EUR | 6,786,752 | 12/20/23 | 70,320 |
USD | 3,801,037 | EUR | 3,549,651 | 12/20/23 | 36,779 |
USD | 3,244,473 | EUR | 3,029,896 | 12/20/23 | 31,394 |
USD | 1,659,771 | EUR | 1,550,000 | 12/20/23 | 16,060 |
USD | 293,655 | EUR | 274,234 | 12/20/23 | 2,841 |
USD | 236,413 | EUR | 220,778 | 12/20/23 | 2,288 |
USD | 1,192,954 | EUR | 1,130,427 | 12/20/23 | (5,817) |
USD | 3,127,873 | EUR | 2,963,929 | 12/20/23 | (15,251) |
USD | 8,193,609 | EUR | 7,764,151 | 12/20/23 | (39,952) |
USD | 34,864,599 | IDR | 548,200,499,631 | 12/20/23 | 476,793 |
USD | 6,844,411 | IDR | 105,291,000,000 | 12/20/23 | 239,663 |
USD | 4,414,128 | IDR | 67,814,253,839 | 12/20/23 | 160,241 |
USD | 3,421,237 | IDR | 52,646,000,000 | 12/20/23 | 118,832 |
USD | 3,420,950 | IDR | 52,645,000,000 | 12/20/23 | 118,607 |
USD | 5,146,347 | IDR | 80,919,616,677 | 12/20/23 | 70,379 |
USD | 346,085 | IDR | 5,324,000,000 | 12/20/23 | 12,118 |
USD | 271,460 | IDR | 4,176,000,000 | 12/20/23 | 9,505 |
USD | 223,155 | IDR | 3,428,337,192 | 12/20/23 | 8,101 |
USD | 175,091 | IDR | 2,689,917,198 | 12/20/23 | 6,356 |
USD | 172,992 | IDR | 2,662,000,000 | 12/20/23 | 6,009 |
USD | 172,981 | IDR | 2,662,000,000 | 12/20/23 | 5,997 |
USD | 135,690 | IDR | 2,088,000,000 | 12/20/23 | 4,713 |
USD | 135,681 | IDR | 2,088,000,000 | 12/20/23 | 4,704 |
USD | 1,441,101 | INR | 119,700,000 | 12/20/23 | 5,757 |
USD | 2,023,467 | INR | 169,000,000 | 12/20/23 | (3,041) |
USD | 3,399,569 | INR | 284,000,000 | 12/20/23 | (5,925) |
USD | 5,095,610 | INR | 425,700,000 | 12/20/23 | (9,034) |
USD | 6,800,766 | INR | 568,000,000 | 12/20/23 | (10,222) |
USD | 8,739,375 | INR | 730,000,000 | 12/20/23 | (14,184) |
USD | 26,633,810 | PEN | 99,163,000 | 12/20/23 | 869,780 |
USD | 15,678,155 | PEN | 58,456,000 | 12/20/23 | 490,412 |
USD | 2,832,488 | PEN | 10,535,722 | 12/20/23 | 95,150 |
USD | 735,658 | PEN | 2,739,000 | 12/20/23 | 24,024 |
USD | 3,732,438 | PEN | 14,283,000 | 12/20/23 | 21,501 |
USD | 3,627,356 | PEN | 13,912,000 | 12/20/23 | 12,811 |
USD | 3,548,127 | PEN | 13,639,000 | 12/20/23 | 4,511 |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 5,003,929 | PHP | 284,000,000 | 12/20/23 | $ 2,966 |
USD | 2,255,292 | PHP | 128,000,000 | 12/20/23 | 1,337 |
USD | 5,847,078 | PHP | 332,000,000 | 12/20/23 | 881 |
USD | 2,624,140 | PHP | 149,000,000 | 12/20/23 | 396 |
USD | 2,781,984 | PHP | 158,000,000 | 12/20/23 | (242) |
USD | 6,180,230 | PHP | 351,000,000 | 12/20/23 | (538) |
USD | 4,505,535 | PHP | 256,000,000 | 12/20/23 | (2,375) |
USD | 10,021,368 | PHP | 569,404,095 | 12/20/23 | (5,283) |
USD | 2,246,974 | PHP | 128,000,000 | 12/20/23 | (6,981) |
USD | 2,650,267 | PHP | 151,000,000 | 12/20/23 | (8,696) |
USD | 5,003,028 | PHP | 285,000,000 | 12/20/23 | (15,544) |
USD | 5,879,731 | PHP | 335,000,000 | 12/20/23 | (19,293) |
$5,179,027 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 7,693,405 | USD | 8,104,161 | Citibank, N.A. | 11/3/23 | $ 36,554 | $ — |
EUR | 717,469 | USD | 756,451 | HSBC Bank USA, N.A. | 11/3/23 | 2,734 | — |
USD | 987,203 | EUR | 932,241 | Citibank, N.A. | 11/3/23 | 760 | — |
USD | 889,539 | EUR | 840,382 | Goldman Sachs International | 11/3/23 | 296 | — |
USD | 982,088 | EUR | 932,241 | Goldman Sachs International | 11/3/23 | — | (4,355) |
USD | 1,825,322 | EUR | 1,732,276 | Standard Chartered Bank | 11/3/23 | — | (7,672) |
USD | 1,320,136 | EUR | 1,243,000 | UBS AG | 11/3/23 | 4,865 | — |
USD | 1,265,101 | EUR | 1,194,089 | UBS AG | 11/3/23 | 1,586 | — |
USD | 984,575 | EUR | 930,022 | UBS AG | 11/3/23 | 480 | — |
USD | 2,532,660 | GBP | 2,086,630 | Citibank, N.A. | 11/3/23 | — | (3,547) |
ILS | 16,172,159 | USD | 4,372,358 | Bank of America, N.A. | 11/13/23 | — | (369,707) |
USD | 3,876,134 | ILS | 15,258,788 | Citibank, N.A. | 11/13/23 | 99,544 | — |
USD | 231,366 | ILS | 913,371 | HSBC Bank USA, N.A. | 11/13/23 | 5,304 | — |
USD | 9,202,097 | PEN | 35,271,000 | Standard Chartered Bank | 11/13/23 | 24,768 | — |
USD | 1,301,599 | PKR | 402,194,124 | Standard Chartered Bank | 11/22/23 | — | (127,053) |
ILS | 33,015,949 | USD | 8,734,378 | HSBC Bank USA, N.A. | 11/24/23 | — | (559,070) |
USD | 4,165,827 | ILS | 16,399,195 | Standard Chartered Bank | 11/24/23 | 105,109 | — |
USD | 4,209,011 | ILS | 16,616,754 | UBS AG | 11/24/23 | 94,421 | — |
USD | 812,102 | PKR | 255,000,000 | Deutsche Bank AG | 11/24/23 | — | (93,682) |
USD | 811,912 | PKR | 259,000,000 | JPMorgan Chase Bank, N.A. | 11/27/23 | — | (108,059) |
USD | 771,429 | PKR | 243,000,000 | Standard Chartered Bank | 11/27/23 | — | (91,711) |
USD | 750,759 | PKR | 240,805,876 | Standard Chartered Bank | 11/27/23 | — | (104,587) |
UZS | 9,849,953,397 | USD | 836,159 | ICBC Standard Bank plc | 11/27/23 | — | (32,923) |
ILS | 5,750,101 | USD | 1,529,482 | BNP Paribas | 11/28/23 | — | (105,420) |
ILS | 18,277,235 | USD | 4,806,339 | BNP Paribas | 11/28/23 | — | (279,826) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 2,222,787 | ILS | 8,768,548 | Citibank, N.A. | 11/28/23 | $ 51,182 | $ — |
USD | 3,871,119 | ILS | 15,258,789 | JPMorgan Chase Bank, N.A. | 11/28/23 | 92,149 | — |
TRY | 67,603,000 | USD | 2,348,120 | Standard Chartered Bank | 12/8/23 | — | (28,178) |
USD | 1,227,316 | EUR | 1,159,000 | BNP Paribas | 12/8/23 | — | (884) |
USD | 1,226,550 | EUR | 1,159,000 | Citibank, N.A. | 12/8/23 | — | (1,649) |
USD | 3,814,870 | EUR | 3,606,000 | Citibank, N.A. | 12/8/23 | — | (6,430) |
USD | 2,725,855 | EUR | 2,576,000 | HSBC Bank USA, N.A. | 12/8/23 | — | (3,948) |
USD | 29,516 | EUR | 27,802 | UBS AG | 12/8/23 | 54 | — |
USD | 2,356,307 | TRY | 67,603,000 | Standard Chartered Bank | 12/8/23 | 36,366 | — |
UZS | 20,903,976,000 | USD | 1,672,318 | ICBC Standard Bank plc | 12/18/23 | — | (27,423) |
AUD | 15,000,000 | USD | 9,586,542 | BNP Paribas | 12/20/23 | — | (55,969) |
AUD | 15,000,000 | USD | 9,685,185 | Citibank, N.A. | 12/20/23 | — | (154,612) |
AUD | 23,000,000 | USD | 14,856,850 | Citibank, N.A. | 12/20/23 | — | (243,304) |
AUD | 14,181,049 | USD | 9,163,727 | Standard Chartered Bank | 12/20/23 | — | (153,492) |
CAD | 37,250,000 | USD | 27,246,312 | Standard Chartered Bank | 12/20/23 | — | (362,029) |
CZK | 16,716,882 | EUR | 678,850 | Goldman Sachs International | 12/20/23 | — | (698) |
CZK | 86,153,734 | EUR | 3,503,723 | Goldman Sachs International | 12/20/23 | — | (9,041) |
CZK | 16,716,882 | EUR | 679,528 | UBS AG | 12/20/23 | — | (1,417) |
CZK | 82,552,502 | EUR | 3,354,702 | UBS AG | 12/20/23 | — | (5,943) |
EUR | 1,152,552 | CZK | 28,552,864 | Bank of America, N.A. | 12/20/23 | — | (6,170) |
EUR | 453,382 | CZK | 11,228,557 | Citibank, N.A. | 12/20/23 | — | (2,283) |
EUR | 2,881,799 | CZK | 71,382,160 | Citibank, N.A. | 12/20/23 | — | (14,979) |
EUR | 2,519,141 | CZK | 62,423,555 | Standard Chartered Bank | 12/20/23 | — | (14,146) |
EUR | 1,152,937 | CZK | 28,552,864 | UBS AG | 12/20/23 | — | (5,761) |
EUR | 2,242,353 | HUF | 879,015,985 | BNP Paribas | 12/20/23 | — | (36,962) |
EUR | 559,471 | HUF | 219,409,283 | Goldman Sachs International | 12/20/23 | — | (9,478) |
EUR | 793,377 | HUF | 310,240,935 | Goldman Sachs International | 12/20/23 | — | (10,969) |
EUR | 1,968,291 | HUF | 769,365,592 | Goldman Sachs International | 12/20/23 | — | (26,355) |
EUR | 559,490 | HUF | 219,409,283 | HSBC Bank USA, N.A. | 12/20/23 | — | (9,458) |
EUR | 793,234 | HUF | 310,240,935 | Standard Chartered Bank | 12/20/23 | — | (11,121) |
EUR | 1,983,412 | HUF | 775,602,339 | Standard Chartered Bank | 12/20/23 | — | (27,454) |
EUR | 2,241,016 | HUF | 879,015,985 | UBS AG | 12/20/23 | — | (38,380) |
EUR | 1,272,679 | PLN | 5,947,266 | BNP Paribas | 12/20/23 | — | (60,298) |
EUR | 312,539 | PLN | 1,460,324 | Goldman Sachs International | 12/20/23 | — | (14,765) |
EUR | 312,812 | PLN | 1,460,324 | UBS AG | 12/20/23 | — | (14,475) |
EUR | 1,249,929 | PLN | 5,841,295 | UBS AG | 12/20/23 | — | (59,301) |
HUF | 2,023,645,459 | EUR | 5,162,282 | BNP Paribas | 12/20/23 | 85,092 | — |
HUF | 1,852,360,459 | EUR | 4,738,949 | Goldman Sachs International | 12/20/23 | 63,455 | — |
HUF | 745,069,464 | EUR | 1,905,360 | Goldman Sachs International | 12/20/23 | 26,343 | — |
HUF | 506,452,446 | EUR | 1,291,402 | Goldman Sachs International | 12/20/23 | 21,878 | — |
HUF | 506,452,446 | EUR | 1,291,446 | HSBC Bank USA, N.A. | 12/20/23 | 21,831 | — |
HUF | 1,839,677,690 | EUR | 4,704,523 | Standard Chartered Bank | 12/20/23 | 65,120 | — |
HUF | 745,069,465 | EUR | 1,905,016 | Standard Chartered Bank | 12/20/23 | 26,708 | — |
HUF | 2,023,645,459 | EUR | 5,159,202 | UBS AG | 12/20/23 | 88,358 | — |
ILS | 19,130,546 | USD | 5,038,186 | BNP Paribas | 12/20/23 | — | (292,533) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
JPY | 2,066,966,653 | USD | 14,365,641 | Citibank, N.A. | 12/20/23 | $ — | $ (620,780) |
JPY | 695,000,000 | USD | 4,826,513 | UBS AG | 12/20/23 | — | (204,920) |
MXN | 95,551,375 | USD | 5,427,788 | BNP Paribas | 12/20/23 | — | (168,846) |
MXN | 169,704,000 | USD | 9,781,210 | Citibank, N.A. | 12/20/23 | — | (441,068) |
MXN | 44,616,000 | USD | 2,447,172 | Goldman Sachs International | 12/20/23 | 8,396 | — |
MXN | 60,802,000 | USD | 3,339,331 | Goldman Sachs International | 12/20/23 | 7,080 | — |
MXN | 44,616,000 | USD | 2,453,588 | Goldman Sachs International | 12/20/23 | 1,981 | — |
MXN | 44,616,000 | USD | 2,453,797 | Goldman Sachs International | 12/20/23 | 1,771 | — |
MXN | 9,796,434 | USD | 563,427 | Goldman Sachs International | 12/20/23 | — | (24,253) |
MXN | 16,278,591 | USD | 937,026 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (41,088) |
MXN | 133,850,000 | USD | 7,347,912 | Standard Chartered Bank | 12/20/23 | 18,904 | — |
MXN | 198,220,000 | USD | 11,429,725 | Standard Chartered Bank | 12/20/23 | — | (520,123) |
MXN | 201,016,000 | USD | 11,544,496 | UBS AG | 12/20/23 | — | (481,009) |
NZD | 374,830 | USD | 221,936 | Citibank, N.A. | 12/20/23 | — | (3,526) |
NZD | 14,585,851 | USD | 8,636,253 | Citibank, N.A. | 12/20/23 | — | (137,191) |
NZD | 1,049,192 | USD | 620,148 | UBS AG | 12/20/23 | — | (8,792) |
NZD | 7,331,398 | USD | 4,330,957 | UBS AG | 12/20/23 | — | (59,009) |
USD | 4,383,100 | CNH | 32,000,000 | Citibank, N.A. | 12/20/23 | 10,055 | — |
USD | 6,178,605 | CNH | 45,000,000 | Goldman Sachs International | 12/20/23 | 29,010 | — |
USD | 5,519,416 | CNH | 40,307,000 | Goldman Sachs International | 12/20/23 | 11,155 | — |
USD | 39,297,390 | CNH | 286,163,200 | JPMorgan Chase Bank, N.A. | 12/20/23 | 190,995 | — |
USD | 4,007,750 | ILS | 15,641,807 | BNP Paribas | 12/20/23 | 127,537 | — |
USD | 885,727 | ILS | 3,488,739 | HSBC Bank USA, N.A. | 12/20/23 | 20,287 | — |
USD | 5,187,467 | JPY | 777,341,125 | HSBC Bank USA, N.A. | 12/20/23 | 18,324 | — |
USD | 4,969,796 | JPY | 744,658,875 | HSBC Bank USA, N.A. | 12/20/23 | 17,983 | — |
USD | 1,726,615 | MXN | 31,307,000 | State Street Bank and Trust Company | 12/20/23 | 3,545 | — |
USD | 1,672,827 | MXN | 30,380,000 | State Street Bank and Trust Company | 12/20/23 | 777 | — |
USD | 1,636,610 | MXN | 29,875,600 | State Street Bank and Trust Company | 12/20/23 | — | (7,679) |
USD | 873,246 | MXN | 16,054,000 | State Street Bank and Trust Company | 12/20/23 | — | (10,332) |
USD | 38,833,171 | MXN | 690,566,400 | UBS AG | 12/20/23 | 825,886 | — |
USD | 27,236,508 | NZD | 46,000,000 | Citibank, N.A. | 12/20/23 | 432,665 | — |
USD | 17,709,261 | NZD | 30,005,779 | UBS AG | 12/20/23 | 225,126 | — |
USD | 117,426 | THB | 4,090,000 | Standard Chartered Bank | 12/20/23 | 3,144 | — |
USD | 3,602,825 | UYU | 140,432,000 | Citibank, N.A. | 12/20/23 | 110,495 | — |
USD | 1,796,108 | UYU | 70,138,000 | Citibank, N.A. | 12/20/23 | 51,882 | — |
USD | 789,860 | ZAR | 15,074,703 | Goldman Sachs International | 12/20/23 | — | (15,612) |
USD | 798,793 | ZAR | 15,245,191 | Goldman Sachs International | 12/20/23 | — | (15,789) |
USD | 820,912 | ZAR | 15,702,816 | Goldman Sachs International | 12/20/23 | — | (18,122) |
USD | 830,196 | ZAR | 15,880,407 | Goldman Sachs International | 12/20/23 | — | (18,327) |
USD | 2,725,636 | ZAR | 52,178,214 | Goldman Sachs International | 12/20/23 | — | (62,354) |
USD | 2,756,462 | ZAR | 52,768,325 | Goldman Sachs International | 12/20/23 | — | (63,059) |
USD | 4,928,540 | ZAR | 94,549,610 | Goldman Sachs International | 12/20/23 | — | (123,441) |
USD | 19,366,166 | ZAR | 371,758,737 | Goldman Sachs International | 12/20/23 | — | (497,673) |
USD | 789,666 | ZAR | 15,074,704 | HSBC Bank USA, N.A. | 12/20/23 | — | (15,807) |
USD | 798,596 | ZAR | 15,245,191 | HSBC Bank USA, N.A. | 12/20/23 | — | (15,986) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 820,344 | ZAR | 15,702,816 | HSBC Bank USA, N.A. | 12/20/23 | $ — | $ (18,690) |
USD | 829,622 | ZAR | 15,880,407 | HSBC Bank USA, N.A. | 12/20/23 | — | (18,901) |
USD | 2,211,792 | ZAR | 42,211,391 | HSBC Bank USA, N.A. | 12/20/23 | — | (43,650) |
USD | 2,236,807 | ZAR | 42,688,781 | HSBC Bank USA, N.A. | 12/20/23 | — | (44,143) |
USD | 2,724,569 | ZAR | 52,178,215 | HSBC Bank USA, N.A. | 12/20/23 | — | (63,421) |
USD | 2,755,382 | ZAR | 52,768,325 | HSBC Bank USA, N.A. | 12/20/23 | — | (64,139) |
USD | 4,986,256 | ZAR | 95,659,330 | HSBC Bank USA, N.A. | 12/20/23 | — | (125,020) |
USD | 19,280,855 | ZAR | 369,710,385 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (473,537) |
USD | 2,199,332 | ZAR | 41,948,952 | UBS AG | 12/20/23 | — | (42,088) |
USD | 2,224,205 | ZAR | 42,423,373 | UBS AG | 12/20/23 | — | (42,564) |
USD | 332,234 | ZMW | 6,960,304 | JPMorgan Chase Bank, N.A. | 12/20/23 | 18,339 | — |
ZAR | 173,806,466 | USD | 9,151,321 | HSBC Bank USA, N.A. | 12/20/23 | 135,518 | — |
ZAR | 86,903,234 | USD | 4,608,313 | HSBC Bank USA, N.A. | 12/20/23 | 35,107 | — |
ZAR | 178,461,620 | USD | 9,413,150 | Standard Chartered Bank | 12/20/23 | 122,424 | — |
ZAR | 86,903,234 | USD | 4,610,034 | State Street Bank and Trust Company | 12/20/23 | 33,385 | — |
USD | 3,043,492 | KES | 471,741,325 | Standard Chartered Bank | 12/21/23 | 8,680 | — |
USD | 1,376,115 | KES | 222,932,331 | Standard Chartered Bank | 12/21/23 | — | (58,057) |
UZS | 14,880,464,000 | USD | 1,187,113 | ICBC Standard Bank plc | 12/21/23 | 8,625 | — |
UZS | 7,410,554,000 | USD | 593,557 | ICBC Standard Bank plc | 12/21/23 | 1,928 | — |
USD | 40,048,383 | BRL | 197,000,000 | BNP Paribas | 1/3/24 | 1,244,412 | — |
USD | 42,731,812 | BRL | 214,800,000 | BNP Paribas | 1/3/24 | 421,696 | — |
UZS | 13,783,766,000 | USD | 1,098,308 | JPMorgan Chase Bank, N.A. | 1/10/24 | — | (10,903) |
HUF | 309,903,511 | EUR | 760,332 | BNP Paribas | 1/11/24 | 41,899 | — |
HUF | 944,682,626 | EUR | 2,350,191 | UBS AG | 1/11/24 | 93,257 | — |
HUF | 280,523,130 | EUR | 691,943 | UBS AG | 1/11/24 | 34,005 | — |
EGP | 14,017,368 | USD | 412,289 | Standard Chartered Bank | 1/22/24 | — | (13,778) |
USD | 389,263 | EGP | 14,017,368 | Goldman Sachs International | 1/22/24 | — | (9,248) |
UZS | 7,490,685,000 | USD | 593,557 | ICBC Standard Bank plc | 1/22/24 | 8,802 | — |
UZS | 1,845,934,481 | USD | 146,271 | ICBC Standard Bank plc | 1/22/24 | 2,169 | — |
HUF | 1,655,088,317 | EUR | 3,877,901 | Barclays Bank PLC | 1/30/24 | 402,250 | — |
USD | 771,000 | PKR | 231,300,000 | Citibank, N.A. | 1/31/24 | — | (47,248) |
USD | 936,093 | PKR | 282,700,000 | JPMorgan Chase Bank, N.A. | 1/31/24 | — | (63,988) |
USD | 1,337,134 | PKR | 410,500,000 | JPMorgan Chase Bank, N.A. | 2/2/24 | — | (114,705) |
USD | 576,797 | PKR | 176,500,000 | Standard Chartered Bank | 2/2/24 | — | (47,440) |
USD | 5,209,600 | UGX | 20,525,823,667 | Deutsche Bank AG | 2/6/24 | — | (141,671) |
USD | 1,303,523 | KZT | 640,030,000 | ICBC Standard Bank plc | 3/14/24 | — | (9,072) |
USD | 2,607,049 | KZT | 1,280,713,000 | ICBC Standard Bank plc | 3/14/24 | — | (19,480) |
USD | 12,438,538 | SAR | 46,800,000 | Standard Chartered Bank | 3/14/24 | — | (25,607) |
USD | 10,754,098 | BHD | 4,100,000 | Standard Chartered Bank | 3/18/24 | — | (99,354) |
TRY | 98,212,810 | USD | 3,145,351 | Standard Chartered Bank | 3/20/24 | — | (80,242) |
USD | 3,047,224 | TRY | 98,212,810 | Standard Chartered Bank | 3/20/24 | — | (17,886) |
USD | 1,424,623 | EGP | 56,700,000 | HSBC Bank USA, N.A. | 3/25/24 | — | (19,186) |
OMR | 3,568,000 | USD | 9,252,872 | Standard Chartered Bank | 4/8/24 | 9,047 | — |
USD | 9,004,416 | OMR | 3,568,000 | BNP Paribas | 4/8/24 | — | (257,503) |
USD | 1,267,427 | OMR | 500,000 | Standard Chartered Bank | 4/22/24 | — | (30,356) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
OMR | 6,000,000 | USD | 15,554,519 | Standard Chartered Bank | 5/28/24 | $ 13,766 | $ — |
USD | 16,212,793 | OMR | 6,400,000 | Standard Chartered Bank | 5/28/24 | — | (393,377) |
USD | 3,727,097 | EGP | 143,046,000 | Citibank, N.A. | 6/13/24 | 364,663 | — |
USD | 1,824,935 | KZT | 921,592,000 | ICBC Standard Bank plc | 6/18/24 | — | (15,520) |
NGN | 194,367,272 | USD | 228,667 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (43,713) |
NGN | 1,020,857,426 | USD | 1,237,403 | Societe Generale | 6/21/24 | — | (266,283) |
TRY | 48,061,285 | USD | 1,421,943 | Standard Chartered Bank | 6/21/24 | — | (52,181) |
USD | 1,368,866 | TRY | 48,061,285 | Standard Chartered Bank | 6/21/24 | — | (896) |
NGN | 530,630,105 | USD | 624,276 | Standard Chartered Bank | 6/24/24 | — | (119,967) |
KZT | 801,667,000 | USD | 1,568,053 | Societe Generale | 6/25/24 | 30,192 | — |
USD | 1,564,228 | KZT | 801,667,000 | ICBC Standard Bank plc | 6/25/24 | — | (34,016) |
NGN | 546,549,008 | USD | 624,276 | Standard Chartered Bank | 6/26/24 | — | (105,158) |
NGN | 515,167,294 | USD | 578,844 | Standard Chartered Bank | 7/3/24 | — | (90,590) |
NGN | 554,934,742 | USD | 616,594 | Societe Generale | 7/8/24 | — | (91,459) |
OMR | 3,571,000 | USD | 9,258,491 | Standard Chartered Bank | 7/8/24 | 3,485 | — |
USD | 9,388,519 | OMR | 3,711,000 | BNP Paribas | 7/8/24 | — | (236,569) |
USD | 9,916,350 | OMR | 3,912,000 | Standard Chartered Bank | 7/8/24 | — | (230,065) |
USD | 8,357,531 | OMR | 3,310,000 | BNP Paribas | 7/29/24 | — | (225,720) |
USD | 322,732 | AMD | 128,705,675 | Citibank, N.A. | 9/6/24 | 20,104 | — |
USD | 330,137 | EGP | 14,017,368 | Standard Chartered Bank | 9/11/24 | 19,288 | — |
KZT | 1,359,576,031 | USD | 2,607,049 | Citibank, N.A. | 9/16/24 | 52,861 | — |
KZT | 870,689,175 | USD | 1,668,786 | Citibank, N.A. | 9/16/24 | 34,653 | — |
KZT | 680,439,778 | USD | 1,303,524 | Citibank, N.A. | 9/16/24 | 27,706 | — |
KZT | 679,788,016 | USD | 1,303,524 | Citibank, N.A. | 9/16/24 | 26,431 | — |
USD | 448,066 | AMD | 182,027,000 | Citibank, N.A. | 9/16/24 | 20,722 | — |
USD | 2,607,048 | KZT | 1,323,077,000 | Citibank, N.A. | 9/16/24 | 18,546 | — |
USD | 1,303,525 | KZT | 666,427,000 | Citibank, N.A. | 9/16/24 | — | (291) |
USD | 3,128,459 | KZT | 1,600,989,000 | Citibank, N.A. | 9/16/24 | — | (3,758) |
USD | 4,863,288 | EGP | 196,720,000 | Citibank, N.A. | 9/17/24 | 513,760 | — |
USD | 1,303,524 | KZT | 676,529,000 | Citibank, N.A. | 9/19/24 | — | (19,205) |
TRY | 238,255,000 | USD | 6,505,113 | Standard Chartered Bank | 9/20/24 | — | (289,886) |
USD | 6,220,500 | TRY | 238,255,000 | Standard Chartered Bank | 9/20/24 | 5,273 | — |
TRY | 64,768,000 | USD | 1,744,137 | Standard Chartered Bank | 9/23/24 | — | (59,440) |
USD | 1,689,161 | TRY | 64,768,000 | Standard Chartered Bank | 9/23/24 | 4,464 | — |
USD | 1,328,169 | KZT | 691,976,000 | Bank of America, N.A. | 9/30/24 | — | (21,584) |
USD | 17,699,754 | BHD | 6,766,439 | Standard Chartered Bank | 6/18/25 | — | (96,712) |
USD | 5,911,596 | SAR | 22,308,000 | Standard Chartered Bank | 6/18/25 | — | (13,452) |
$6,849,412 | $(11,584,022) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Commodity Futures | |||||
Brent Crude Oil | 104 | Long | 11/30/23 | $ 8,842,080 | $ (266,159) |
Equity Futures | |||||
Hang Seng Index | 20 | Long | 11/29/23 | 2,192,833 | 13,478 |
Nikkei 225 Index | 47 | Long | 12/7/23 | 7,373,125 | (292,575) |
Euro Stoxx 50 Index | (380) | Short | 12/15/23 | (16,408,060) | 710,416 |
IFSC Nifty 50 Index | (354) | Short | 11/30/23 | (13,567,404) | 140,701 |
SPI 200 Index | (44) | Short | 12/21/23 | (4,752,532) | 330,133 |
Interest Rate Futures | |||||
Long Gilt | 209 | Long | 12/27/23 | 23,665,333 | (381,327) |
U.S. Ultra-Long Treasury Bond | 184 | Long | 12/19/23 | 20,711,500 | (2,454,551) |
Euro-Bobl | (430) | Short | 12/7/23 | (52,909,987) | 299,654 |
Euro-Bund | (261) | Short | 12/7/23 | (35,622,417) | 588,708 |
Euro-Buxl | (114) | Short | 12/7/23 | (14,525,474) | 1,226,526 |
Japan 10-Year Bond | (48) | Short | 12/13/23 | (45,522,019) | 696,685 |
U.S. 2-Year Treasury Note | (76) | Short | 12/29/23 | (15,384,063) | 75,406 |
U.S. 5-Year Treasury Note | (752) | Short | 12/29/23 | (78,566,375) | 646,467 |
U.S. 10-Year Treasury Note | (489) | Short | 12/19/23 | (51,918,047) | 1,764,982 |
U.S. Long Treasury Bond | (79) | Short | 12/19/23 | (8,645,563) | 725,491 |
$ 3,824,035 |
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 | $ 811,341 |
EUR | 5,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 811,341 |
EUR | 5,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 810,645 |
EUR | 6,070 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 883,463 |
EUR | 5,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (952,234) |
EUR | 5,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (952,234) |
EUR | 5,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (954,166) |
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 | 6,070 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | $ (1,080,750) |
EUR | 2,590 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | (42,411) |
EUR | 10,200 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.72% (pays upon termination) | 6/15/53 | 134,200 |
USD | 28,400 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (1,263,403) |
USD | 9,970 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (450,836) |
USD | 19,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 1,061,350 |
USD | 9,450 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 524,684 |
USD | 9,950 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 622,930 |
USD | 3,510 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | 206,687 |
$ 170,607 |
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 | 574,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.29% (pays upon termination) | 7/1/24 | $ (347,418) | $ — | $ (347,418) |
BRL | 96,600 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.40% (pays upon termination) | 1/2/25 | (203,150) | — | (203,150) |
BRL | 96,600 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.50% (pays upon termination) | 1/2/25 | (180,288) | — | (180,288) |
BRL | 94,493 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (174,262) | — | (174,262) |
BRL | 98,707 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (181,440) | — | (181,440) |
BRL | 427,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.96% (pays upon termination) | 1/2/25 | (243,869) | — | (243,869) |
CLP | 16,042,220 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.77% (pays semi-annually) | 6/6/33 | 663,811 | 5,028 | 668,839 |
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 | 5,387,780 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.65% (pays semi-annually) | 6/14/33 | $ 248,806 | $ — | $ 248,806 |
CLP | 4,336,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.00% (pays semi-annually) | 6/22/33 | 465,898 | — | 465,898 |
CLP | 4,643,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.20% (pays semi-annually) | 6/22/33 | 416,021 | — | 416,021 |
CNY | 62,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.41% (pays quarterly) | 12/20/28 | (1,089) | — | (1,089) |
CNY | 82,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.41% (pays quarterly) | 12/20/28 | (1,441) | — | (1,441) |
CNY | 40,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.42% (pays quarterly) | 12/20/28 | 135 | — | 135 |
CNY | 82,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.42% (pays quarterly) | 12/20/28 | 1,749 | — | 1,749 |
CNY | 40,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.43% (pays quarterly) | 12/20/28 | 3,966 | — | 3,966 |
CNY | 122,100 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.43% (pays quarterly) | 12/20/28 | 12,470 | — | 12,470 |
CNY | 21,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 2,459 | — | 2,459 |
CNY | 17,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 2,296 | — | 2,296 |
CNY | 52,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 7,645 | — | 7,645 |
CNY | 39,300 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 6,013 | — | 6,013 |
CNY | 15,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.45% (pays quarterly) | 12/20/28 | 2,744 | — | 2,744 |
CNY | 36,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.46% (pays quarterly) | 12/20/28 | 9,602 | — | 9,602 |
CNY | 36,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 10,679 | — | 10,679 |
CNY | 45,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 14,696 | — | 14,696 |
CNY | 30,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 9,977 | — | 9,977 |
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 | 62,519,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.84% (pays quarterly) | 5/5/25 | $ 1,679,210 | $ — | $ 1,679,210 |
COP | 29,306,100 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.19% (pays quarterly) | 6/4/25 | (832,102) | — | (832,102) |
COP | 44,982,400 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.26% (pays quarterly) | 6/5/25 | (1,267,302) | — | (1,267,302) |
COP | 59,477,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.34% (pays quarterly) | 6/8/25 | (1,651,035) | — | (1,651,035) |
COP | 29,163,200 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.44% (pays quarterly) | 6/9/25 | (793,435) | — | (793,435) |
COP | 7,412,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 225,390 | — | 225,390 |
COP | 7,412,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.89% (pays quarterly) | 11/26/25 | 220,700 | — | 220,700 |
COP | 2,672,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.02% (pays quarterly) | 11/26/25 | 77,956 | — | 77,956 |
COP | 14,824,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.07% (pays quarterly) | 11/26/25 | 428,409 | — | 428,409 |
COP | 8,554,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.11% (pays quarterly) | 11/26/25 | 245,759 | — | 245,759 |
COP | 2,605,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.21% (pays quarterly) | 11/26/25 | 73,597 | — | 73,597 |
COP | 7,973,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 219,812 | — | 219,812 |
COP | 11,377,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (239,634) | — | (239,634) |
COP | 32,127,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.25% (pays quarterly) | 11/26/25 | 503,018 | — | 503,018 |
COP | 34,340,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 7.03% (pays quarterly) | 11/26/25 | 497,580 | — | 497,580 |
COP | 4,471,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.17% (pays quarterly) | 11/26/25 | (3,561) | (52) | (3,613) |
CZK | 223,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.18% (pays annually) | 9/20/28 | (150,776) | — | (150,776) |
CZK | 60,931 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | (128,393) | — | (128,393) |
CZK | 121,861 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (250,727) | — | (250,727) |
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 | 183,208 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | $ (372,198) | $ — | $ (372,198) |
CZK | 52,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.31% (pays annually) | 12/20/33 | (26,541) | — | (26,541) |
EUR | 2,000 | Receives | 1-day Euro Short-Term Rate (pays annually) | 2.60% (pays annually) | 1/24/28 | 44,479 | (36) | 44,443 |
EUR | 3,629 | Pays | 6-month EURIBOR (pays semi-annually) | 3.03% (pays annually) | 10/10/29 | (51,254) | — | (51,254) |
EUR | 1,200 | Pays | 6-month EURIBOR (pays semi-annually) | 3.17% (pays annually) | 10/17/29 | (6,866) | — | (6,866) |
EUR | 1,781 | Pays | 6-month EURIBOR (pays semi-annually) | 3.01% (pays annually) | 10/27/29 | (26,040) | — | (26,040) |
EUR | 400 | Pays | 6-month EURIBOR (pays semi-annually) | 3.26% (pays annually) | 10/17/32 | (2,310) | — | (2,310) |
EUR | 800 | Pays | 6-month EURIBOR (pays semi-annually) | 3.31% (pays annually) | 10/18/32 | (889) | — | (889) |
EUR | 800 | Pays | 6-month EURIBOR (pays semi-annually) | 3.20% (pays annually) | 10/19/32 | (8,060) | — | (8,060) |
GBP | 5,154 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.56% (pays annually) | 10/2/28 | 8,761 | — | 8,761 |
GBP | 10,164 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.39% (pays annually) | 12/20/28 | (43,725) | — | (43,725) |
GBP | 5,082 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.59% (pays annually) | 12/20/28 | 31,005 | — | 31,005 |
INR | 1,123,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/25 | 18,653 | — | 18,653 |
INR | 694,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/25 | 11,906 | — | 11,906 |
INR | 2,679,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 58,832 | — | 58,832 |
INR | 3,812,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 84,963 | — | 84,963 |
JPY | 2,838,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.31% (pays annually) | 12/1/27 | 123,753 | — | 123,753 |
JPY | 2,405,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.32% (pays annually) | 12/1/27 | 99,752 | — | 99,752 |
JPY | 564,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.41% (pays annually) | 9/20/28 | 41,549 | — | 41,549 |
JPY | 16,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 3,094 | — | 3,094 |
JPY | 21,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 4,047 | — | 4,047 |
JPY | 13,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.81% (pays annually) | 9/20/33 | 2,464 | — | 2,464 |
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 | 2,590,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.82% (pays annually) | 9/20/33 | $ 470,385 | $ — | $ 470,385 |
JPY | 1,054,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.86% (pays annually) | 9/20/33 | 160,543 | — | 160,543 |
JPY | 649,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.07% (pays annually) | 12/20/33 | 34,441 | — | 34,441 |
JPY | 173,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | 114,822 | — | 114,822 |
JPY | 155,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | 101,914 | — | 101,914 |
JPY | 165,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | 107,013 | — | 107,013 |
JPY | 512,600 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | 331,228 | — | 331,228 |
JPY | 474,500 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | 302,070 | — | 302,070 |
JPY | 472,700 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | 299,040 | — | 299,040 |
JPY | 112,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.33% (pays annually) | 9/20/53 | 71,491 | — | 71,491 |
KRW | 5,242,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.57% (pays quarterly) | 6/21/28 | (86,715) | — | (86,715) |
KRW | 5,241,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.60% (pays quarterly) | 6/21/28 | (80,735) | — | (80,735) |
KRW | 5,422,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.61% (pays quarterly) | 6/21/28 | (82,642) | — | (82,642) |
KRW | 1,961,584 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.23% (pays quarterly) | 6/21/33 | (106,783) | — | (106,783) |
KRW | 11,880,785 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 6/21/33 | (591,339) | — | (591,339) |
KRW | 2,192,300 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 6/21/33 | (106,560) | — | (106,560) |
KRW | 2,103,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.35% (pays quarterly) | 6/21/33 | (98,864) | — | (98,864) |
KRW | 3,373,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.29% (pays quarterly) | 9/20/33 | (175,447) | — | (175,447) |
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 | 2,448,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | $ (125,031) | $ — | $ (125,031) |
KRW | 613,331 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (31,133) | — | (31,133) |
KRW | 3,264,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 9/20/33 | (161,181) | — | (161,181) |
KRW | 3,264,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.34% (pays quarterly) | 9/20/33 | (159,543) | — | (159,543) |
KRW | 2,915,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 9/20/33 | (131,059) | — | (131,059) |
KRW | 2,976,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.52% (pays quarterly) | 9/20/33 | (112,340) | — | (112,340) |
KRW | 6,013,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (212,843) | — | (212,843) |
KRW | 2,770,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (97,876) | — | (97,876) |
KRW | 2,369,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (83,113) | — | (83,113) |
KRW | 2,806,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.59% (pays quarterly) | 9/20/33 | (93,166) | — | (93,166) |
KRW | 2,745,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.02% (pays quarterly) | 12/20/33 | (20,021) | — | (20,021) |
KRW | 5,431,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.03% (pays quarterly) | 12/20/33 | (35,594) | — | (35,594) |
MXN | 1,020,890 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 11.33% (pays monthly) | 10/7/24 | (57,014) | — | (57,014) |
MXN | 1,911,130 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 11.24% (pays monthly) | 10/9/24 | (190,245) | — | (190,245) |
MXN | 728,980 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 11.25% (pays monthly) | 10/10/24 | (70,277) | — | (70,277) |
PLN | 26,040 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/14/26 | 377,741 | — | 377,741 |
PLN | 82,460 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/15/26 | 1,197,856 | — | 1,197,856 |
PLN | 31,600 | Receives | 6-month PLN WIBOR (pays semi-annually) | 3.39% (pays annually) | 12/15/26 | 263,337 | — | 263,337 |
PLN | 22,700 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.56% (pays annually) | 12/21/27 | (289,763) | — | (289,763) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
PLN | 26,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.02% (pays annually) | 12/21/27 | $ (462,230) | $ — | $ (462,230) |
USD | 20,300 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (537,442) | ��� — | (537,442) |
USD | 20,300 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (536,533) | — | (536,533) |
USD | 4,500 | Pays | SOFR (pays annually) | 4.05% (pays annually) | 9/20/28 | (103,838) | — | (103,838) |
USD | 4,500 | Pays | SOFR (pays annually) | 4.06% (pays annually) | 9/20/28 | (103,338) | — | (103,338) |
USD | 12,600 | Pays | SOFR (pays annually) | 3.76% (pays annually) | 9/20/33 | (350,722) | — | (350,722) |
Total | $(2,065,655) | $4,940 | $(2,060,715) |
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 | $ 38,800 | 1.00% (pays quarterly)(1) | 2.20% | 12/20/28 | $ (1,998,708) | $ 2,171,405 | $ 172,697 |
Total | $38,800 | $(1,998,708) | $2,171,405 | $172,697 |
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) | 12/20/28 | $ (342,035) | $ 331,093 | $ (10,942) | |
China | 61,250 | 1.00% (pays quarterly)(1) | 12/20/28 | (571,508) | 602,456 | 30,948 | |
Finland | 9,100 | 0.25% (pays quarterly)(1) | 12/20/28 | (12,651) | 4,159 | (8,492) | |
France | 41,000 | 0.25% (pays quarterly)(1) | 12/20/28 | 45,856 | (37,459) | 8,397 | |
Germany | 40,250 | 0.25% (pays quarterly)(1) | 12/20/28 | (87,682) | 101,449 | 13,767 | |
Hungary | 9,250 | 1.00% (pays quarterly)(1) | 12/20/28 | 231,785 | (242,815) | (11,030) | |
India | 9,000 | 1.00% (pays quarterly)(1) | 12/20/28 | (173,678) | 157,949 | (15,729) |
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) | |
Malaysia | $134,000 | 1.00% (pays quarterly)(1) | 12/20/28 | $ (2,339,471) | $ 3,078,618 | $ 739,147 | |
Markit CDX Emerging Markets Index (CDX.EM.31.V3) | 2,580 | 1.00% (pays quarterly)(1) | 6/20/24 | (11,743) | (50,312) | (62,055) | |
Markit CDX Emerging Markets Index (CDX.EM.40.V1) | 42,400 | 1.00% (pays quarterly)(1) | 12/20/28 | 2,269,104 | (2,342,947) | (73,843) | |
Markit CDX North America High Yield Index (CDX.NA.HY.41.V2) | 48,600 | 5.00% (pays quarterly)(1) | 12/20/28 | (47,660) | 156,697 | 109,037 | |
Philippines | 40,800 | 1.00% (pays quarterly)(1) | 12/20/28 | (244,674) | 352,696 | 108,022 | |
Poland | 37,800 | 1.00% (pays quarterly)(1) | 12/20/28 | (588,995) | 482,676 | (106,319) | |
Qatar | 12,396 | 1.00% (pays quarterly)(1) | 12/20/23 | (26,587) | 11,831 | (14,756) | |
Qatar | 8,300 | 1.00% (pays quarterly)(1) | 12/20/28 | (164,299) | 234,738 | 70,439 | |
Romania | 9,820 | 1.00% (pays quarterly)(1) | 12/20/28 | 280,207 | (299,791) | (19,584) | |
Saudi | 39,300 | 1.00% (pays quarterly)(1) | 12/20/28 | (628,001) | 902,860 | 274,859 | |
Saudi | 28,800 | 1.00% (pays quarterly)(1) | 12/20/33 | (82,761) | 411,845 | 329,084 | |
South Africa | 155,820 | 1.00% (pays quarterly)(1) | 12/20/28 | 11,603,220 | (11,116,951) | 486,269 | |
South Africa | 23,540 | 1.00% (pays quarterly)(1) | 6/20/29 | 2,111,395 | (1,936,867) | 174,528 | |
South Africa | 9,666 | 1.00% (pays quarterly)(1) | 6/20/31 | 1,355,547 | (1,125,498) | 230,049 | |
Spain | 56,300 | 1.00% (pays quarterly)(1) | 12/20/28 | (1,218,845) | 1,235,640 | 16,795 | |
Turkey | 7,797 | 1.00% (pays quarterly)(1) | 12/20/28 | 939,131 | (973,757) | (34,626) | |
United Kingdom | 40,000 | 1.00% (pays quarterly)(1) | 12/20/28 | (1,289,115) | 1,277,456 | (11,659) | |
Total | $11,006,540 | $ (8,784,234) | $2,222,306 |
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) |
Petroleos Mexicanos | Bank of America, N.A. | $ 6,500 | 1.00% (pays quarterly)(1) | 2.34% | 12/20/23 | $ (4,365) | $ 6,601 | $ 2,236 |
Vietnam | Goldman Sachs International | 9,100 | 1.00% (pays quarterly)(1) | 0.68 | 6/20/24 | 28,953 | (17,274) | 11,679 |
Total | $15,600 | $24,588 | $ (10,673) | $13,915 |
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) | 12/20/28 | $ (295,522) | $ 282,993 | $ (12,529) |
Dubai | Barclays Bank PLC | 3,357 | 1.00% (pays quarterly)(1) | 12/20/24 | (28,934) | (12,678) | (41,612) |
Dubai | Barclays Bank PLC | 5,058 | 1.00% (pays quarterly)(1) | 12/20/24 | (43,595) | (19,119) | (62,714) |
Qatar | Goldman Sachs International | 3,700 | 1.00% (pays quarterly)(1) | 12/20/23 | (8,038) | (170) | (8,208) |
Qatar | Goldman Sachs International | 3,090 | 1.00% (pays quarterly)(1) | 9/20/24 | (22,839) | 235 | (22,604) |
Qatar | Nomura International PLC | 9,620 | 1.00% (pays quarterly)(1) | 9/20/24 | (71,103) | 2,925 | (68,178) |
Saudi Arabia | Barclays Bank PLC | 14,533 | 1.00% (pays quarterly)(1) | 6/20/31 | (144,830) | (204,434) | (349,264) |
South Africa | Goldman Sachs International | 16,600 | 1.00% (pays quarterly)(1) | 12/20/28 | 1,236,043 | (1,180,673) | 55,370 |
Sweden | Citibank, N.A. | 19,250 | 0.25% (pays quarterly)(1) | 12/20/28 | (74,221) | 70,648 | (3,573) |
Total | $ 546,961 | $ (1,060,273) | $ (513,312) |
* | 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 October 31, 2023, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $54,400,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Total Return Swaps (OTC) | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
BNP Paribas | USD | 146,000 | Excess Return on Bloomberg Commodity 1 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.13% (pays upon termination) | 2/26/24 | $ (3,541) |
BNP Paribas | USD | 55,000 | Excess Return on Bloomberg Commodity 3 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.13% (pays upon termination) | 2/26/24 | 23,710 |
Total Return Swaps (OTC) (continued) | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Citibank, N.A. | KRW | 30,250 | Positive Return on KOSPI 200 Index Futures 12/2023 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 12/2023 (pays upon termination) | 12/14/23 | $ (652,560) |
$(632,391) |
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) |
Barclays Bank PLC | 1-day Indice Camara Promedio Rate on CLP 3,452,164,660 (pays semi-annually)* | 1.41% on CLP equivalent of CLF 98,000 (pays semi-annually)* | 1/13/33 | $ 464,805 |
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)* | 4/8/32 | (102,481) |
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)* | 4/11/32 | (371,144) |
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)* | 4/20/32 | (35,364) |
$ (44,184) |
* | 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: | |
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 |
FBIL | – Financial Benchmarks India Ltd. |
GDP | – Gross Domestic Product |
HICP | – Harmonised Indices of Consumer Prices |
LIBOR | – London Interbank Offered Rate |
MIBOR | – Mumbai Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
PRIBOR | – Prague Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
ALL | – Albanian Lek |
AMD | – Armenian Dram |
AUD | – Australian Dollar |
BHD | – Bahraini Dinar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CLF | – Chilean Unidad de Fomento |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EGP | – Egyptian Pound |
EUR | – Euro |
GBP | – British Pound Sterling |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
ILS | – Israeli Shekel |
INR | – Indian Rupee |
ISK | – Icelandic Krona |
JPY | – Japanese Yen |
KES | – Kenyan Shilling |
KRW | – South Korean Won |
KZT | – Kazakhstani Tenge |
LKR | – Sri Lankan Rupee |
MXN | – Mexican Peso |
NGN | – Nigerian Naira |
NZD | – New Zealand Dollar |
OMR | – Omani Rial |
PEN | – Peruvian Sol |
PHP | – Philippine Peso |
PKR | – Pakistan Rupee |
PLN | – Polish Zloty |
RSD | – Serbian Dinar |
SAR | – Saudi Riyal |
THB | – Thai Baht |
TRY | – Turkish Lira |
UAH | – Ukrainian Hryvnia |
UGX | – Ugandan Shilling |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,585,345,832) | $ 1,484,838,491 |
Affiliated investments, at value (identified cost $283,898,491) | 283,898,491 |
Cash | 6,311,315 |
Deposits for derivatives collateral: | |
Futures contracts | 574 |
Centrally cleared derivatives | 76,260,059 |
OTC derivatives | 1,320,000 |
Cash collateral for securities sold short | 17,965,996 |
Foreign currency, at value (identified cost $26,096,709) | 25,892,803 |
Interest and dividends receivable | 18,993,566 |
Dividends receivable from affiliated investments | 1,211,576 |
Receivable for investments sold | 1,286,876 |
Receivable for variation margin on open futures contracts | 11,506 |
Receivable for variation margin on open centrally cleared derivatives | 1,097,668 |
Receivable for open forward foreign currency exchange contracts | 6,849,412 |
Receivable for open swap contracts | 557,800 |
Upfront payments on open non-centrally cleared swap contracts | 1,434,348 |
Tax reclaims receivable | 21,992 |
Trustees' deferred compensation plan | 256,315 |
Total assets | $1,928,208,788 |
Liabilities | |
Cash collateral due to brokers | $ 1,320,000 |
Payable for reverse repurchase agreements, including accrued interest of $59,613 | 18,951,793 |
Written options outstanding, at value (premiums received $145,736) | 87,249 |
Payable for investments purchased | 6,140,861 |
Payable for securities sold short, at value (proceeds $96,326,671) | 91,193,005 |
Payable for open forward foreign currency exchange contracts | 11,584,022 |
Payable for open swap contracts | 1,733,772 |
Payable for closed swap contracts | 1,201,592 |
Upfront receipts on open non-centrally cleared swap contracts | 363,402 |
Payable to affiliates: | |
Investment adviser fee | 863,351 |
Trustees' fees | 9,223 |
Trustees' deferred compensation plan | 256,315 |
Interest payable on securities sold short | 1,727,925 |
Accrued foreign capital gains taxes | 3,047 |
Accrued expenses and other liabilities | 636,780 |
Total liabilities | $ 136,072,337 |
Net Assets applicable to investors' interest in Portfolio | $1,792,136,451 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $104,156) | $ 1,961,187 |
Dividend income from affiliated investments | 8,394,652 |
Interest and other income (net of foreign taxes withheld of $1,217,757) | 121,389,075 |
Total investment income | $ 131,744,914 |
Expenses | |
Investment adviser fee | $ 10,641,313 |
Trustees’ fees and expenses | 108,500 |
Custodian fee | 732,730 |
Legal and accounting services | 328,989 |
Interest expense and fees | 1,015,430 |
Interest and dividend expense on securities sold short | 5,637,237 |
Miscellaneous | 85,930 |
Total expenses | $ 18,550,129 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 245,091 |
Total expense reductions | $ 245,091 |
Net expenses | $ 18,305,038 |
Net investment income | $ 113,439,876 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $267,910) | $ (187,450,530) |
Written options | 920 |
Securities sold short | (769,825) |
Futures contracts | 17,099,665 |
Swap contracts | (12,239,645) |
Foreign currency transactions | (7,268,536) |
Forward foreign currency exchange contracts | 3,519,479 |
Non-deliverable bond forward contracts | 6,414,099 |
Net realized loss | $(180,694,373) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $3,047) | $ 285,303,491 |
Written options | 58,487 |
Securities sold short | 2,271,798 |
Futures contracts | (19,741,273) |
Swap contracts | (18,489,493) |
Foreign currency | 2,248,951 |
Forward foreign currency exchange contracts | (20,545,732) |
Non-deliverable bond forward contracts | (972,046) |
Net change in unrealized appreciation (depreciation) | $ 230,134,183 |
Net realized and unrealized gain | $ 49,439,810 |
Net increase in net assets from operations | $ 162,879,686 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 113,439,876 | $ 119,196,721 |
Net realized gain (loss) | (180,694,373) | 111,414,187 |
Net change in unrealized appreciation (depreciation) | 230,134,183 | (321,533,185) |
Net increase (decrease) in net assets from operations | $ 162,879,686 | $ (90,922,277) |
Capital transactions: | ||
Contributions | $ 98,428,362 | $ 115,421,518 |
Withdrawals | (324,965,141) | (732,569,582) |
Net decrease in net assets from capital transactions | $ (226,536,779) | $ (617,148,064) |
Net decrease in net assets | $ (63,657,093) | $ (708,070,341) |
Net Assets | ||
At beginning of year | $ 1,855,793,544 | $ 2,563,863,885 |
At end of year | $1,792,136,451 | $1,855,793,544 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses (1) | 1.01% (2) | 0.73% (2) | 0.70% | 0.66% | 0.65% |
Net investment income | 6.26% | 5.49% | 4.60% | 4.53% | 5.41% |
Portfolio Turnover | 96% | 81% | 88% | 81% | 61% |
Total Return | 9.29% | (3.93)% | 4.52% | 4.03% | 6.56% |
Net assets, end of year (000’s omitted) | $1,792,136 | $1,855,794 | $2,563,864 | $3,165,729 | $3,559,727 |
(1) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.37%, 0.08%, 0.06%, 0.01% and 0.01% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(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 0.01% of average daily net assets for the years ended October 31, 2023 and 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% |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 1,107,751,761 | $ 1,326,529,017 |
U.S. Government and Agency Securities | 221,012,931 | 158,390,970 |
$1,328,764,692 | $1,484,919,987 |
Aggregate cost | $1,935,429,664 |
Gross unrealized appreciation | $ 33,614,311 |
Gross unrealized depreciation | (292,269,435) |
Net unrealized depreciation | $ (258,655,124) |
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 | $ 5,206,235 |
Sussex Capital, Ltd., Designated Investment Series 16, 12/21 | 11/30/22 | 817 | 811,902 | 15,233 |
Sussex Capital, Ltd., Designated Investment Series 16, 11/22 | 1/24/22 | 793 | 792,084 | 439,382 |
Sussex Capital, Ltd., Series 16, Preference Shares | 6/1/21 | 5,500 | 3,896,014 | 6,031,506 |
Total Restricted Securities | $9,900,000 | $11,692,356 |
Fair Value | ||||||
Consolidated Statement of Assets and Liabilities Caption | Commodity | Credit | Equity Price | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ — | $ — | $ — | $ 332,156 | $ — | $ 332,156 |
Not applicable | — | 18,836,245* | 1,194,728* | 5,766,460* | 22,306,097* | 48,103,530 |
Receivable for open forward foreign currency exchange contracts | — | — | — | 6,849,412 | — | 6,849,412 |
Receivable/Payable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | 23,710 | 1,264,996 | — | — | 464,805 | 1,753,511 |
Total Asset Derivatives | $ 23,710 | $ 20,101,241 | $1,194,728 | $ 12,948,028 | $ 22,770,902 | $ 57,038,609 |
Derivatives not subject to master netting or similar agreements | $ — | $ 18,836,245 | $1,194,728 | $ 5,766,460 | $ 22,306,097 | $ 48,103,530 |
Total Asset Derivatives subject to master netting or similar agreements | $ 23,710 | $ 1,264,996 | $ — | $ 7,181,568 | $ 464,805 | $ 8,935,079 |
Written options outstanding, at value | $ — | $ — | $ — | $ (87,249) | $ — | $ (87,249) |
Not applicable | (266,159)* | (9,828,413)* | (292,575)* | (587,433)* | (21,013,104)* | (31,987,684) |
Payable for open forward foreign currency exchange contracts | — | — | — | (11,584,022) | — | (11,584,022) |
Payable/Receivable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | (3,541) | (693,447) | (652,560) | — | (508,989) | (1,858,537) |
Total Liability Derivatives | $(269,700) | $(10,521,860) | $ (945,135) | $(12,258,704) | $(21,522,093) | $(45,517,492) |
Derivatives not subject to master netting or similar agreements | $(266,159) | $ (9,828,413) | $ (292,575) | $ (587,433) | $(21,013,104) | $(31,987,684) |
Total Liability Derivatives subject to master netting or similar agreements | $ (3,541) | $ (693,447) | $ (652,560) | $(11,671,271) | $ (508,989) | $(13,529,808) |
* | 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 financial 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 | $ 988,235 | $ (249,190) | $ — | $ (520,000) | $ 219,045 | $ 520,000 |
BNP Paribas | 1,944,346 | (1,724,071) | — | (220,275) | — | 270,000 |
Citibank, N.A. | 1,872,583 | (1,872,583) | — | — | — | — |
Goldman Sachs International | 1,647,337 | (1,518,823) | — | (128,514) | — | 530,000 |
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 |
HSBC Bank USA, N.A. | $ 257,088 | $ (257,088) | $ — | $ — | $ — | $ — |
ICBC Standard Bank plc | 21,524 | (21,524) | — | — | — | — |
JPMorgan Chase Bank, N.A. | 301,483 | (301,483) | — | — | — | — |
Societe Generale | 30,192 | (30,192) | — | — | — | — |
Standard Chartered Bank | 466,546 | (466,546) | — | — | — | — |
State Street Bank and Trust Company | 37,707 | (18,011) | — | — | 19,696 | — |
UBS AG | 1,368,038 | (963,659) | (404,379) | — | — | — |
$8,935,079 | $(7,423,170) | $(404,379) | $(868,789) | $238,741 | $1,320,000 |
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. | $ (401,826) | $ — | $ 392,110 | $ — | $ (9,716) | $ — |
Barclays Bank PLC | (249,190) | 249,190 | — | — | — | — |
BNP Paribas | (1,724,071) | 1,724,071 | — | — | — | — |
Citibank, N.A. | (2,426,652) | 1,872,583 | 554,069 | — | — | — |
Deutsche Bank AG | (235,353) | — | 198,153 | — | (37,200) | — |
Goldman Sachs International | (1,518,823) | 1,518,823 | — | — | — | — |
HSBC Bank USA, N.A. | (1,001,419) | 257,088 | 744,331 | — | — | — |
ICBC Standard Bank plc | (138,434) | 21,524 | — | — | (116,910) | — |
JPMorgan Chase Bank, N.A. | (1,151,515) | 301,483 | 630,306 | — | (219,726) | — |
Nomura International PLC | (71,103) | — | 71,103 | — | — | — |
Societe Generale | (357,742) | 30,192 | 327,550 | — | — | — |
Standard Chartered Bank | (3,272,010) | 466,546 | 2,805,464 | — | — | — |
State Street Bank and Trust Company | (18,011) | 18,011 | — | — | — | — |
UBS AG | (963,659) | 963,659 | — | — | — | — |
$(13,529,808) | $7,423,170 | $5,723,086 | $ — | $(383,552) | $ — | |
Total — Deposits for derivatives collateral — OTC derivatives | $1,320,000 |
(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 | $ — | $ — | $ — | $ 1,289,677 | $ (2,099,103) | $ (809,426) |
Written options | — | — | — | 920 | — | 920 |
Futures contracts | 1,483,967 | — | (2,008,338) | — | 17,624,036 | 17,099,665 |
Swap contracts | 797,411 | (21,098,425) | (3,084,061) | 215,214 | 10,930,216 | (12,239,645) |
Forward foreign currency exchange contracts | — | — | — | 3,519,479 | — | 3,519,479 |
Non-deliverable bond forward contracts | — | — | — | — | 6,414,099 | 6,414,099 |
Total | $ 2,281,378 | $(21,098,425) | $(5,092,399) | $ 5,025,290 | $ 32,869,248 | $ 13,985,092 |
Change in unrealized appreciation (depreciation): | ||||||
Investments | $ — | $ — | $ — | $ (77,671) | $ 1,284,282 | $ 1,206,611 |
Written options | — | — | — | 58,487 | — | 58,487 |
Futures contracts | (4,314,200) | — | 1,236,258 | — | (16,663,331) | (19,741,273) |
Swap contracts | 20,169 | 2,282,027 | (652,560) | — | (20,139,129) | (18,489,493) |
Forward foreign currency exchange contracts | — | — | — | (20,545,732) | — | (20,545,732) |
Non-deliverable bond forward contracts | — | — | — | — | (972,046) | (972,046) |
Total | $(4,294,031) | $ 2,282,027 | $ 583,698 | $(20,564,916) | $(36,490,224) | $(58,483,446) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Purchased Swaptions |
$51,334,000 | $393,733,000 | $1,711,174,000 | $67,834,000 | $21,538,000 |
Purchased Call Options | Swap Contracts |
$166,277,000 | $2,672,895,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
Barclays Bank PLC | 9/29/23 | On Demand(1) | 5.65% | $ 8,948,568 | $ 8,987,892 |
Barclays Bank PLC | 10/16/23 | On Demand(1) | 5.65 | 9,943,612 | 9,963,901 |
Total | $18,892,180 | $18,951,793 |
(1) | Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Counterparty | Repurchase Agreements | Liabilities Available for Offset | Securities Collateral Received(a) | Net Amount(b) |
Bank of America, N.A. | $ 13,841,572 | $ — | $ (13,237,596) | $ 603,976 |
Barclays Bank PLC | 48,807,335 | (18,951,793) | (29,855,542) | — |
JPMorgan Chase Bank, N.A. | 6,733,077 | — | (6,362,162) | 370,915 |
Nomura International PLC | 18,372,048 | — | (17,358,143) | 1,013,905 |
$87,754,032 | $(18,951,793) | $(66,813,443) | $1,988,796 |
Counterparty | Reverse Repurchase Agreements* | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(c) |
Barclays Bank PLC | $(18,951,793) | $18,951,793 | $ — | $ — |
* | Including accrued interest. |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $205,847,417 | $1,364,069,549 | $(1,286,018,475) | $ — | $ — | $283,898,491 | $8,394,652 | 283,898,491 |
• | 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 | $ — | $ 65,676,000 | $ — | $ 65,676,000 |
Common Stocks | 511,978 | 49,130,281* | 572,723 | 50,214,982 |
Convertible Bonds | — | 2,647,072 | — | 2,647,072 |
Foreign Corporate Bonds | — | 41,012,302 | 0 | 41,012,302 |
Loan Participation Notes | — | — | 21,688,264 | 21,688,264 |
Reinsurance Side Cars | — | — | 15,481,804 | 15,481,804 |
Senior Floating-Rate Loans | — | 15,652,203 | 278,045 | 15,930,248 |
Sovereign Government Bonds | — | 693,899,242 | — | 693,899,242 |
Sovereign Loans | — | 58,390,915 | — | 58,390,915 |
U.S. Government Agency Mortgage-Backed Securities | — | 30,071,239 | — | 30,071,239 |
U.S. Government Guaranteed Small Business Administration Loans | — | 8,342,999 | — | 8,342,999 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Obligations | $ — | $ 113,088,667 | $ — | $ 113,088,667 |
Warrants | 76,770 | — | — | 76,770 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 283,898,491 | — | — | 283,898,491 |
Repurchase Agreements | — | 87,754,032 | — | 87,754,032 |
Sovereign Government Securities | — | 86,290,462 | — | 86,290,462 |
U.S. Treasury Obligations | — | 193,941,337 | — | 193,941,337 |
Purchased Currency Options | — | 332,156 | — | 332,156 |
Total Investments | $ 284,487,239 | $ 1,446,228,907 | $ 38,020,836 | $ 1,768,736,982 |
Forward Foreign Currency Exchange Contracts | $ — | $ 12,615,872 | $ — | $ 12,615,872 |
Futures Contracts | 6,164,620 | 1,054,027 | — | 7,218,647 |
Swap Contracts | — | 36,871,934 | — | 36,871,934 |
Total | $ 290,651,859 | $ 1,496,770,740 | $ 38,020,836 | $ 1,825,443,435 |
Liability Description | ||||
Securities Sold Short | $ — | $ (91,193,005) | $ — | $ (91,193,005) |
Written Currency Options | — | (87,249) | — | (87,249) |
Forward Foreign Currency Exchange Contracts | — | (12,171,455) | — | (12,171,455) |
Futures Contracts | (3,394,612) | — | — | (3,394,612) |
Swap Contracts | — | (29,864,176) | — | (29,864,176) |
Total | $ (3,394,612) | $ (133,315,885) | $ — | $ (136,710,497) |
* | 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) | — | — | (3,934,929) | — | 43,288 | — | — | (3,891,641) |
Change in net unrealized appreciation (depreciation) | 245,687 | — | 1,523,089 | 3,774,753 | (144,271) | — | — | 5,399,258 |
Cost of purchases | — | — | 10,216,259 | 4,403,987 | — | — | — | 14,620,246 |
Proceeds from sales, including return of capital | — | — | (27,333,227) | (4,622,065) | (92,675) | — | — | (32,047,967) |
Accrued discount (premium) | — | — | 137,048 | — | 45,947 | — | — | 182,995 |
Transfers to Level 3 | — | — | — | — | — | — | — | — |
Transfers from Level 3(1) | — | — | — | — | — | (52,679,548) | (4,103,850) | (56,783,398) |
Balance as of October 31, 2023 | $572,723 | $ 0 | $ 21,688,264 | $15,481,804 | $ 278,045 | $ — | $ — | $ 38,020,836 |
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2023 | $245,687 | $ — | $ (1,735,609) | $ 3,459,545 | $(181,112) | $ — | $ — | $ 1,788,511 |
* | 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 October 31, 2023 | Valuation Technique | Unobservable Input | Range of Unobservable Input | Impact to Valuation from an Increase to Input* |
Common Stocks | $ 572,723 | Market Approach | EBITDA Multiple Discount Rate | 15% | Decrease |
Foreign Corporate Bonds | 0 | Estimated Recovery Value | Estimated Recovery Value Percentage | 0% | Increase |
Loan Participation Notes | 21,688,264 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 5.46% - 9.79%** | Decrease |
Senior Floating-Rate Loans | 278,045 | Market Approach | Discount Rate | 10% | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
** | The weighted average of the unobservable input is 7.42% based on relative principal amounts. |
Boston, Massachusetts
December 22, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021).. |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987- 1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management 'Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
Income Fund
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 01/23/1998 | 11/26/1990 | 5.11% | 3.02% | 2.89% |
Class A with 3.25% Maximum Sales Charge | — | — | 1.66 | 2.35 | 2.56 |
Class C at NAV | 05/25/1994 | 11/26/1990 | 4.36 | 2.25 | 2.29 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 3.38 | 2.25 | 2.29 |
Class I at NAV | 04/03/2009 | 11/26/1990 | 5.37 | 3.28 | 3.15 |
Class R at NAV | 08/03/2009 | 11/26/1990 | 4.85 | 2.77 | 2.62 |
Bloomberg U.S. Aggregate Bond Index | — | — | 0.36% | (0.06)% | 0.88% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R |
1.12% | 1.87% | 0.87% | 1.37% |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $12,538 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,363,537 | N.A. |
Class R | $10,000 | 10/31/2013 | $12,955 | N.A. |
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. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. | |
Additional Information | |
Spread is the difference in yield between a U.S. Treasury bond and another debt security of the same maturity but different credit quality. | |
Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. | |
Important Notice to Shareholders | |
Effective January 16, 2024, the Fund's name will change to Eaton Vance Strategic Income Fund and there will be certain related changes to its investment strategy. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 996.70 | $ 6.34 | 1.26% |
Class C | $1,000.00 | $ 992.20 | $10.14 | 2.02% |
Class I | $1,000.00 | $ 997.90 | $ 5.09 | 1.01% |
Class R | $1,000.00 | $ 994.00 | $ 7.59 | 1.51% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.85 | $ 6.41 | 1.26% |
Class C | $1,000.00 | $1,015.02 | $10.26 | 2.02% |
Class I | $1,000.00 | $1,020.11 | $ 5.14 | 1.01% |
Class R | $1,000.00 | $1,017.59 | $ 7.68 | 1.51% |
* | 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 184/365 (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 April 30, 2023. 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 $118,192,398) | $ 113,467,516 | 2.8 % | |
Global Macro Absolute Return Advantage Portfolio | |||
(identified cost $668,956,248) | 657,868,398 | 16.1 | |
Global Opportunities Portfolio | |||
(identified cost $3,217,028,838) | 2,952,427,145 | 72.4 | |
High Income Opportunities Portfolio | |||
(identified cost $107,669,481) | 94,521,135 | 2.3 | |
Senior Debt Portfolio | |||
(identified cost $105,943,045) | 105,318,836 | 2.6 | |
Total Investments in Affiliated Portfolios (identified cost $4,217,790,010) | $3,923,603,030 | 96.2% |
Investments in Affiliated Investment Funds |
Security | Shares | Value | % of Net Assets |
Fixed Income Funds | |||
Eaton Vance Emerging Markets Debt Opportunities Fund, Class R6 | 21,198,007 | $ 154,109,514 | 3.8 % |
Total Investments in Affiliated Investment Funds (identified cost $178,278,267) | $ 154,109,514 | 3.8% | |
Total Investments (identified cost $4,396,068,277) | $4,077,712,544 | 100.0% | |
Other Assets, Less Liabilities | $ (99,873) | (0.0)% (1) | |
Net Assets | $4,077,612,671 | 100.0% |
(1) | Amount is less than (0.05)%. |
October 31, 2023 | |
Assets | |
Affiliated investments, at value (identified cost, $4,396,068,277) | $ 4,077,712,544 |
Cash | 262 |
Receivable for Fund shares sold | 13,131,663 |
Trustees' deferred compensation plan | 8,651 |
Total assets | $4,090,853,120 |
Liabilities | |
Payable for Fund shares redeemed | $ 12,199,036 |
Payable to affiliates: | |
Distribution and service fees | 233,405 |
Trustees' fees | 42 |
Trustees' deferred compensation plan | 8,651 |
Accrued expenses | 799,315 |
Total liabilities | $ 13,240,449 |
Net Assets | $4,077,612,671 |
Sources of Net Assets | |
Paid-in capital | $ 4,616,500,025 |
Accumulated loss | (538,887,354) |
Net Assets | $4,077,612,671 |
Class A Shares | |
Net Assets | $ 650,558,071 |
Shares Outstanding | 102,466,568 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 6.35 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 6.56 |
Class C Shares | |
Net Assets | $ 108,637,838 |
Shares Outstanding | 18,160,014 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 5.98 |
Class I Shares | |
Net Assets | $ 3,315,738,591 |
Shares Outstanding | 523,029,170 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 6.34 |
Class R Shares | |
Net Assets | $ 2,678,171 |
Shares Outstanding | 421,110 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 6.36 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividends allocated from Portfolios (net of foreign taxes withheld of $83,476) | $ 6,722,714 |
Dividend income from Affiliated Investment Funds | 11,336,913 |
Interest income | 6,884 |
Interest and other income allocated from Portfolios (net of foreign taxes withheld of $561,525) | 228,476,286 |
Expenses, excluding interest and dividend expense, allocated from Portfolios | (23,059,719) |
Interest and dividend expense and fees allocated from Portfolios | (7,186,474) |
Total investment income | $ 216,296,604 |
Expenses | |
Distribution and service fees: | |
Class A | $ 1,634,979 |
Class C | 1,203,364 |
Class R | 12,260 |
Trustees’ fees and expenses | 499 |
Custodian fee | 68,565 |
Transfer and dividend disbursing agent fees | 2,382,846 |
Legal and accounting services | 208,199 |
Printing and postage | 595,640 |
Registration fees | 314,397 |
Miscellaneous | 37,732 |
Total expenses | $ 6,458,481 |
Net investment income | $ 209,838,123 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) allocated from Portfolios: | |
Investment transactions (net of foreign capital gains taxes of $83,800) | $ (121,838,910) |
Written options | 1,588,459 |
Securities sold short | 1,660,888 |
TBA sale commitments | (16,257) |
Futures contracts | 5,608,703 |
Swap contracts | (13,418,749) |
Foreign currency transactions | 36,299,577 |
Forward foreign currency exchange contracts | (33,970,400) |
Non-deliverable bond forward contracts | 4,045,662 |
Net realized loss | $(120,041,027) |
Change in unrealized appreciation (depreciation): | |
Investments — Affiliated Investment Funds | $ 8,888,651 |
Change in unrealized appreciation (depreciation) allocated from Portfolios: | |
Investments (including net increase in accrued foreign capital gains taxes of $29,872) | 133,520,230 |
Written swaptions | 4,674,079 |
Securities sold short | 3,205,941 |
TBA sale commitments | (1,941,220) |
Futures contracts | (28,452,062) |
Swap contracts | (24,819,445) |
Foreign currency | 1,603,112 |
Forward foreign currency exchange contracts | (26,483,457) |
Non-deliverable bond forward contracts | (331,983) |
Net change in unrealized appreciation (depreciation) | $ 69,863,846 |
Net realized and unrealized loss | $ (50,177,181) |
Net increase in net assets from operations | $ 159,660,942 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 209,838,123 | $ 136,470,028 |
Net realized gain (loss) | (120,041,027) | 13,661,196 |
Net change in unrealized appreciation (depreciation) | 69,863,846 | (305,868,037) |
Net increase (decrease) in net assets from operations | $ 159,660,942 | $ (155,736,813) |
Distributions to shareholders: | ||
Class A | $ (37,528,959) | $ (30,618,799) |
Class C | (6,105,135) | (5,536,045) |
Class I | (166,471,817) | (106,704,267) |
Class R | (134,084) | (112,637) |
Total distributions to shareholders | $ (210,239,995) | $ (142,971,748) |
Tax return of capital to shareholders: | ||
Class A | $ (8,294,327) | $ (2,257,703) |
Class C | (1,313,902) | (404,971) |
Class I | (37,731,239) | (8,027,547) |
Class R | (29,370) | (8,152) |
Total tax return of capital to shareholders | $ (47,368,838) | $ (10,698,373) |
Transactions in shares of beneficial interest: | ||
Class A | $ 47,659,414 | $ (13,261,126) |
Class C | (15,813,159) | (20,128,872) |
Class I | 1,106,958,884 | 442,427,381 |
Class R | 486,216 | (204,959) |
Net increase in net assets from Fund share transactions | $1,139,291,355 | $ 408,832,424 |
Net increase in net assets | $1,041,343,464 | $ 99,425,490 |
Net Assets | ||
At beginning of year | $ 3,036,269,207 | $ 2,936,843,717 |
At end of year | $4,077,612,671 | $3,036,269,207 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 6.480 | $ 7.180 | $ 7.180 | $ 7.210 | $ 7.180 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.377 | $ 0.302 | $ 0.298 | $ 0.234 | $ 0.337 |
Net realized and unrealized gain (loss) | (0.046) | (0.662) | 0.009 (2) | 0.227 | (0.004) |
Total income (loss) from operations | $ 0.331 | $ (0.360) | $ 0.307 | $ 0.461 | $ 0.333 |
Less Distributions | |||||
From net investment income | $ (0.378) | $ (0.316) | $ (0.274) | $ (0.491) | $ (0.303) |
From net realized gain | — | (0.001) | (0.002) | — | — |
Tax return of capital | (0.083) | (0.023) | (0.031) | — | — |
Total distributions | $ (0.461) | $ (0.340) | $ (0.307) | $ (0.491) | $ (0.303) |
Net asset value — End of year | $ 6.350 | $ 6.480 | $ 7.180 | $ 7.180 | $ 7.210 |
Total Return(3) | 5.11% | (4.99)% | 4.01% | 6.83% | 4.60% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $650,558 | $617,011 | $697,690 | $545,014 | $539,448 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (5) | 1.20% (6) | 1.07% (6) | 1.08% | 1.11% | 1.18% |
Net investment income | 5.74% | 4.40% | 4.08% | 3.30% | 4.70% |
Portfolio Turnover of the Fund(7) | 14% | 22% | 14% | 18% | 11% |
(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) | 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 0.20%, 0.06%, 0.06%, 0.04% and 0.10% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(6) | 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 years ended October 31, 2023 and 2022, respectively). |
(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 | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 6.100 | $ 6.760 | $ 6.770 | $ 6.800 | $ 6.780 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.309 | $ 0.235 | $ 0.230 | $ 0.172 | $ 0.269 |
Net realized and unrealized gain (loss) | (0.042) | (0.623) | (0.002) | 0.221 | (0.014) |
Total income (loss) from operations | $ 0.267 | $ (0.388) | $ 0.228 | $ 0.393 | $ 0.255 |
Less Distributions | |||||
From net investment income | $ (0.318) | $ (0.252) | $ (0.212) | $ (0.423) | $ (0.235) |
From net realized gain | — | (0.001) | (0.002) | — | — |
Tax return of capital | (0.069) | (0.019) | (0.024) | — | — |
Total distributions | $ (0.387) | $ (0.272) | $ (0.238) | $ (0.423) | $ (0.235) |
Net asset value — End of year | $ 5.980 | $ 6.100 | $ 6.760 | $ 6.770 | $ 6.800 |
Total Return(2) | 4.36% | (5.85)% | 3.36% | 6.02% | 3.84% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $108,638 | $126,342 | $160,918 | $201,798 | $251,581 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses (4) | 1.95% (5) | 1.82% (5) | 1.83% | 1.86% | 1.93% |
Net investment income | 4.99% | 3.63% | 3.35% | 2.57% | 3.98% |
Portfolio Turnover of the Fund(6) | 14% | 22% | 14% | 18% | 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) | Includes the Fund’s share of the Portfolios' allocated expenses. |
(4) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.20%, 0.06%, 0.06%, 0.04% and 0.10% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(5) | 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 years ended October 31, 2023 and 2022, respectively). |
(6) | 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 | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 6.470 | $ 7.160 | $ 7.170 | $ 7.200 | $ 7.170 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.393 | $ 0.320 | $ 0.313 | $ 0.252 | $ 0.354 |
Net realized and unrealized gain (loss) | (0.047) | (0.653) | 0.002 (2) | 0.226 | (0.004) |
Total income (loss) from operations | $ 0.346 | $ (0.333) | $ 0.315 | $ 0.478 | $ 0.350 |
Less Distributions | |||||
From net investment income | $ (0.391) | $ (0.331) | $ (0.290) | $ (0.508) | $ (0.320) |
From net realized gain | — | (0.001) | (0.002) | — | — |
Tax return of capital | (0.085) | (0.025) | (0.033) | — | — |
Total distributions | $ (0.476) | $ (0.357) | $ (0.325) | $ (0.508) | $ (0.320) |
Net asset value — End of year | $ 6.340 | $ 6.470 | $ 7.160 | $ 7.170 | $ 7.200 |
Total Return(3) | 5.37% | (4.77)% | 4.27% | 7.10% | 4.87% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $3,315,739 | $2,290,663 | $2,075,516 | $967,716 | $919,828 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (5) | 0.95% (6) | 0.82% (6) | 0.83% | 0.84% | 0.91% |
Net investment income | 5.98% | 4.67% | 4.30% | 3.55% | 4.95% |
Portfolio Turnover of the Fund(7) | 14% | 22% | 14% | 18% | 11% |
(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) | 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 0.20%, 0.06%, 0.06%, 0.04% and 0.10% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(6) | 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 years ended October 31, 2023 and 2022, respectively). |
(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 R | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 6.490 | $ 7.190 | $ 7.200 | $ 7.220 | $ 7.190 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.361 | $ 0.285 | $ 0.261 | $ 0.192 | $ 0.300 |
Net realized and unrealized gain (loss) | (0.046) | (0.661) | 0.018 (2) | 0.262 | 0.015 |
Total income (loss) from operations | $ 0.315 | $(0.376) | $ 0.279 | $ 0.454 | $ 0.315 |
Less Distributions | |||||
From net investment income | $ (0.365) | $ (0.301) | $ (0.258) | $ (0.474) | $ (0.285) |
From net realized gain | — | (0.001) | (0.002) | — | — |
Tax return of capital | (0.080) | (0.022) | (0.029) | — | — |
Total distributions | $(0.445) | $(0.324) | $(0.289) | $(0.474) | $(0.285) |
Net asset value — End of year | $ 6.360 | $ 6.490 | $ 7.190 | $ 7.200 | $ 7.220 |
Total Return(3) | 4.85% | (5.21)% | 3.75% | 6.56% | 4.34% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 2,678 | $ 2,254 | $ 2,720 | $ 2,528 | $ 1,949 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (5) | 1.45% (6) | 1.32% (6) | 1.33% | 1.36% | 1.44% |
Net investment income | 5.48% | 4.12% | 3.57% | 2.71% | 4.18% |
Portfolio Turnover of the Fund(7) | 14% | 22% | 14% | 18% | 11% |
(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) | 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 0.20%, 0.06%, 0.06%, 0.04% and 0.10% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(6) | 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 years ended October 31, 2023 and 2022, respectively). |
(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. |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $210,239,995 | $142,427,149 |
Long-term capital gains | $ — | $ 544,599 |
Tax return of capital | $ 47,368,838 | $ 10,698,373 |
Deferred capital losses | $ (143,836,476) |
Net unrealized depreciation | (395,050,878) |
Accumulated loss | $(538,887,354) |
Aggregate cost | $4,472,756,572 |
Gross unrealized appreciation | $ — |
Gross unrealized depreciation | (395,044,028) |
Net unrealized depreciation | $ (395,044,028) |
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 | $ (57,003,564) |
Global Macro Absolute Return Advantage Portfolio | 208,803,811 | (7,345,215) |
Global Opportunities Portfolio | 1,059,553,831 | (303,199,767) |
High Income Opportunities Portfolio | — | — |
Senior Debt Portfolio | 78,208,000 | (130,815,805) |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 35,980,990 | $ 237,067,338 | 20,976,045 | $ 144,750,593 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 6,513,602 | 42,668,531 | 4,492,592 | 30,520,580 | |
Redemptions | (35,298,867) | (232,076,455) | (27,436,307) | (188,532,299) | |
Net increase (decrease) | 7,195,725 | $ 47,659,414 | (1,967,670) | $ (13,261,126) | |
Class C | |||||
Sales | 6,171,903 | $ 38,197,100 | 3,383,005 | $ 21,937,948 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,153,290 | 7,122,726 | 908,474 | 5,817,440 | |
Redemptions | (9,870,547) | (61,132,985) | (7,392,059) | (47,884,260) | |
Net decrease | (2,545,354) | $ (15,813,159) | (3,100,580) | $ (20,128,872) | |
Class I | |||||
Sales | 318,604,510 | $ 2,091,777,974 | 221,544,338 | $ 1,523,518,681 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 29,362,563 | 191,869,761 | 15,942,843 | 107,907,814 | |
Redemptions | (179,166,371) | (1,176,688,851) | (172,975,993) | (1,188,999,114) | |
Net increase | 168,800,702 | $ 1,106,958,884 | 64,511,188 | $ 442,427,381 | |
Class R | |||||
Sales | 262,726 | $ 1,745,077 | 85,854 | $ 600,495 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 24,062 | 157,798 | 16,741 | 114,035 | |
Redemptions | (213,108) | (1,416,659) | (133,626) | (919,489) | |
Net increase (decrease) | 73,680 | $ 486,216 | (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 | $11,336,913 | $ — | $ — | $8,888,651 | $154,109,514 | $11,336,913 | 21,198,007 |
• | 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 |
Investments in Portfolios | $ 3,923,603,030 | $ — | $ — | $ 3,923,603,030 |
Investments in Affiliated Investment Funds | 154,109,514 | — | — | 154,109,514 |
Total Investments | $4,077,712,544 | $ — | $ — | $4,077,712,544 |
Boston, Massachusetts
December 22, 2023
Asset-Backed Securities — 8.9% |
Security | Principal Amount (000's omitted) | Value | |
ACHV ABS Trust, Series 2023-1PL, Class B, 6.80%, 3/18/30(1) | $ | 3,000 | $ 2,997,579 |
Alinea CLO, Ltd., Series 2018-1A, Class E, 11.677%, (3 mo. SOFR + 6.262%), 7/20/31(1)(2) | 2,000 | 1,747,574 | |
Allegany Park CLO, Ltd., Series 2019-1A, Class ER, 11.816%, (3 mo. SOFR + 6.40%), 1/20/35(1)(2) | 1,000 | 914,281 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 11.807%, (3 mo. SOFR + 6.442%), 11/10/30(1)(2) | 2,000 | 1,707,568 | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 12.094%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 2,000 | 1,822,554 | |
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class D, 11.476%, (3 mo. SOFR + 6.111%), 5/15/30(1)(2) | 4,000 | 3,427,324 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 11.356%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 3,000 | 2,664,078 | |
Atlas Senior Loan Fund XX, Ltd., Series 2022-20A, Class B1, 8.547%, (3 mo. SOFR + 3.15%), 10/19/35(1)(2) | 6,000 | 6,035,088 | |
Bain Capital Credit CLO, Ltd., Series 2018-1A, Class E, 11.024%, (3 mo. SOFR + 5.612%), 4/23/31(1)(2) | 3,500 | 2,930,063 | |
Barings CLO, Ltd., Series 2018-1A, Class D, 11.156%, (3 mo. SOFR + 5.762%), 4/15/31(1)(2) | 5,000 | 4,247,075 | |
Battalion CLO XXII, Ltd., Series 2021-22A, Class D, 9.027%, (3 mo. SOFR + 3.612%), 1/20/35(1)(2) | 2,000 | 1,820,794 | |
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 11.277%, (3 mo. SOFR + 5.862%), 1/20/31(1)(2) | 5,000 | 4,207,330 | |
Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class E, 11.027%, (3 mo. SOFR + 5.612%), 4/20/31(1)(2) | 3,000 | 2,692,287 | |
Benefit Street Partners CLO XVI, Ltd.: | |||
Series 2018-16A, Class DR, 8.664%, (3 mo. SOFR + 3.262%), 1/17/32(1)(2) | 2,000 | 1,964,614 | |
Series 2018-16A, Class E, 12.364%, (3 mo. SOFR + 6.962%), 1/17/32(1)(2) | 2,000 | 1,873,842 | |
Benefit Street Partners CLO XXII, Ltd.: | |||
Series 2020-22A, Class DR, 8.766%, (3 mo. SOFR + 3.35%), 4/20/35(1)(2) | 2,000 | 1,910,952 | |
Series 2020-22A, Class ER, 12.346%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 2,000 | 1,860,164 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.506%, (3 mo. SOFR + 7.112%), 1/15/35(1)(2) | 1,000 | 948,402 | |
Betony CLO 2, Ltd., Series 2018-1A, Class D, 11.302%, (3 mo. SOFR + 5.912%), 4/30/31(1)(2) | 3,000 | 2,640,123 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class D1R, 9.177%, (3 mo. SOFR + 3.762%), 10/20/34(1)(2) | 3,500 | 3,316,197 | |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 12.094%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,779,092 |
Security | Principal Amount (000's omitted) | Value | |
BlueMountain CLO XXXIV, Ltd., Series 2022-34A, Class E, 12.966%, (3 mo. SOFR + 7.55%), 4/20/35(1)(2) | $ | 1,000 | $ 948,380 |
BlueMountain CLO XXXV, Ltd., Series 2022-35A, Class E, 13.162%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 1,884,938 | |
BlueMountain CLO, Ltd.: | |||
Series 2015-3A, Class A1R, 6.677%, (3 mo. SOFR + 1.262%), 4/20/31(1)(2) | 3,132 | 3,116,195 | |
Series 2015-3A, Class DR, 11.077%, (3 mo. SOFR + 5.662%), 4/20/31(1)(2) | 2,000 | 1,673,848 | |
Series 2016-3A, Class ER, 11.576%, (3 mo. SOFR + 6.212%), 11/15/30(1)(2) | 1,000 | 816,405 | |
Canyon Capital CLO, Ltd.: | |||
Series 2016-1A, Class ER, 11.406%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 4,000 | 3,392,436 | |
Series 2016-2A, Class ER, 11.656%, (3 mo. SOFR + 6.262%), 10/15/31(1)(2) | 1,000 | 850,250 | |
Series 2017-1A, Class E, 11.906%, (3 mo. SOFR + 6.512%), 7/15/30(1)(2) | 1,000 | 885,319 | |
Series 2018-1A, Class E, 11.406%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 2,000 | 1,706,096 | |
Series 2022-1A, Class D, 8.603%, (3 mo. SOFR + 3.20%), 4/15/35(1)(2) | 1,900 | 1,741,682 | |
Carlyle CLO C17, Ltd., Series C17A, Class DR, 11.652%, (3 mo. SOFR + 6.262%), 4/30/31(1)(2) | 3,000 | 2,435,412 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class DR2, 12.156%, (3 mo. SOFR + 6.761%), 1/14/32(1)(2) | 1,000 | 834,347 | |
Series 2014-3RA, Class D, 11.049%, (3 mo. SOFR + 5.662%), 7/27/31(1)(2) | 2,000 | 1,746,154 | |
Series 2019-4A, Class CR, 8.594%, (3 mo. SOFR + 3.20%), 4/15/35(1)(2) | 1,750 | 1,649,274 | |
Series 2022-AA, Class C, 8.966%, (3 mo. SOFR + 3.55%), 4/20/35(1)(2) | 3,000 | 2,918,370 | |
Carlyle US CLO, Ltd., Series 2019-4A, Class DR, 11.994%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 2,000 | 1,772,646 | |
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 12.277%, (3 mo. SOFR + 6.862%), 7/20/34(1)(2) | 1,000 | 975,659 | |
CFMT, LLC: | |||
Series 2023-HB11, Class M3, 4.00%, 2/25/37(1)(3) | 7,600 | 6,254,734 | |
Series 2023-HB11, Class M4, 4.00%, 2/25/37(1)(3) | 2,075 | 1,563,928 | |
Series 2023-HB12, Class M4, 4.25%, 4/25/33(1)(3) | 11,000 | 8,387,038 | |
CIFC Funding 2017-III, Ltd., Series 2017-3A, Class A1, 6.897%, (3 mo. SOFR + 1.482%), 7/20/30(1)(2) | 923 | 922,929 | |
Crown City CLO III, Series 2021-1A, Class C, 8.977%, (3 mo. SOFR + 3.562%), 7/20/34(1)(2) | 1,000 | 897,007 | |
Dryden CLO, Ltd.: | |||
Series 2018-55A, Class E, 11.056%, (3 mo. SOFR + 5.662%), 4/15/31(1)(2) | 1,000 | 874,836 | |
Series 2022-112A, Class E, 13.145%, (3 mo. SOFR + 7.78%), 8/15/34(1)(2) | 1,000 | 986,608 |
Security | Principal Amount (000's omitted) | Value | |
Dryden Senior Loan Fund, Series 2016-42A, Class ER, 11.206%, (3 mo. SOFR + 5.812%), 7/15/30(1)(2) | $ | 2,000 | $ 1,687,506 |
Elmwood CLO 14, Ltd., Series 2022-1A, Class D, 8.566%, (3 mo. SOFR + 3.15%), 4/20/35(1)(2) | 2,000 | 1,914,986 | |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 12.553%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,000 | 1,981,362 | |
Galaxy 31 CLO, Ltd., Series 2023-31A, Class D, 10.644%, (3 mo. SOFR + 5.25%), 4/15/36(1)(2) | 2,300 | 2,307,079 | |
Galaxy XXI CLO, Ltd.: | |||
Series 2015-21A, Class DR, 8.327%, (3 mo. SOFR + 2.912%), 4/20/31(1)(2) | 5,000 | 4,794,400 | |
Series 2015-21A, Class ER, 10.927%, (3 mo. SOFR + 5.511%), 4/20/31(1)(2) | 4,000 | 3,608,632 | |
Golub Capital Partners CLO 22B, Ltd., Series 2015-22A, Class ER, 11.677%, (3 mo. SOFR + 6.262%), 1/20/31(1)(2) | 3,000 | 2,808,669 | |
Golub Capital Partners CLO 37B, Ltd.: | |||
Series 2018-37A, Class D, 8.977%, (3 mo. SOFR + 3.562%), 7/20/30(1)(2) | 1,500 | 1,391,042 | |
Series 2018-37A, Class E, 11.427%, (3 mo. SOFR + 6.012%), 7/20/30(1)(2) | 3,000 | 2,965,881 | |
Golub Capital Partners CLO 50B-R, Ltd., Series 2020-50A, Class ER, 12.516%, (3 mo. SOFR + 7.10%), 4/20/35(1)(2) | 2,000 | 1,843,070 | |
Golub Capital Partners CLO 53B, Ltd.: | |||
Series 2021-53A, Class D, 8.727%, (3 mo. SOFR + 3.312%), 7/20/34(1)(2) | 2,000 | 1,877,476 | |
Series 2021-53A, Class E, 12.377%, (3 mo. SOFR + 6.962%), 7/20/34(1)(2) | 1,000 | 913,382 | |
Golub Capital Partners CLO 60B, Ltd., Series 2022-60A, Class D, 9.148%, (3 mo. SOFR + 3.77%), 10/25/34(1)(2) | 1,800 | 1,713,379 | |
Golub Capital Partners CLO, Ltd., Series 2020-48A, Class D, 9.464%, (3 mo. SOFR + 4.062%), 4/17/33(1)(2) | 3,000 | 2,822,502 | |
Halseypoint CLO 5, Ltd., Series 2021-5A, Class D, 9.152%, (3 mo. SOFR + 3.762%), 1/30/35(1)(2) | 3,500 | 3,239,292 | |
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 12.077%, (3 mo. SOFR + 6.662%), 4/20/34(1)(2) | 1,000 | 929,261 | |
Highbridge Loan Management, Series 3A-2014, Class DR, 12.157%, (3 mo. SOFR + 6.762%), 7/18/29(1)(2) | 2,750 | 2,362,492 | |
ICG US CLO, Ltd., Series 2018-2A, Class E, 11.424%, (3 mo. SOFR + 6.012%), 7/22/31(1)(2) | 1,000 | 822,964 | |
KKR SFR Warehouse Participation, 8.825%, (30-day average SOFR + 3.50%), 12/13/23(2) | 12,030 | 12,025,223 | |
Madison Park Funding XVII, Ltd., Series 2015-17A, Class ER, 12.174%, (3 mo. SOFR + 6.762%), 7/21/30(1)(2) | 2,500 | 2,344,897 | |
Madison Park Funding XXXVI, Ltd.: | |||
Series 2019-36A, Class D1R, 8.894%, (3 mo. SOFR + 3.50%), 4/15/35(1)(2) | 1,000 | 969,875 |
Security | Principal Amount (000's omitted) | Value | |
Madison Park Funding XXXVI, Ltd.: (continued) | |||
Series 2019-36A, Class ER, 12.444%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | $ | 2,000 | $ 1,971,686 |
Marble Point CLO XXIV, Ltd., Series 2022-1A, Class D1, 9.656%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,948,968 | |
Mountain View CLO, LLC, Series 2017-2A, Class AR, 6.696%, (3 mo. SOFR + 1.302%), 1/16/31(1)(2) | 6,062 | 6,043,628 | |
Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class ER, 11.724%, (3 mo. SOFR + 6.322%), 10/17/30(1)(2) | 2,000 | 1,819,478 | |
Neuberger Berman Loan Advisers CLO 30, Ltd., Series 2018-30A, Class ER, 11.877%, (3 mo. SOFR + 6.462%), 1/20/31(1)(2) | 2,000 | 1,889,880 | |
Neuberger Berman Loan Advisers CLO 49, Ltd., Series 2022-49A, Class E, 12.378%, (3 mo. SOFR + 7.00%), 7/25/34(1)(2) | 2,000 | 1,973,800 | |
NewRez Warehouse Securitization Trust: | |||
Series 2021-1, Class E, 8.689%, (1 mo. SOFR + 3.364%), 5/25/55(1)(2) | 3,813 | 3,818,775 | |
Series 2021-1, Class F, 10.689%, (1 mo. SOFR + 5.364%), 5/25/55(1)(2) | 1,950 | 1,957,155 | |
Northwoods Capital, Ltd., Series 2018-11B1, Class A1, 6.758%, (3 mo. SOFR + 1.362%), 4/19/31(1)(2) | 9,717 | 9,647,816 | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FNT1, Class A, 2.981%, 3/25/26(1) | 673 | 604,594 | |
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 5,097 | 4,594,188 | |
Pagaya AI Technology in Housing Trust, Series 2023-1, Class F, 3.60%, 10/25/40(1) | 4,500 | 2,854,642 | |
Palmer Square CLO, Ltd.: | |||
Series 2015-1A, Class DR4, 12.141%, (3 mo. SOFR + 6.762%), 5/21/34(1)(2) | 2,000 | 1,847,830 | |
Series 2018-1A, Class D, 10.807%, (3 mo. SOFR + 5.412%), 4/18/31(1)(2) | 4,000 | 3,762,596 | |
Series 2021-2A, Class E, 12.006%, (3 mo. SOFR + 6.612%), 7/15/34(1)(2) | 1,000 | 962,846 | |
Series 2022-1A, Class D, 8.466%, (3 mo. SOFR + 3.05%), 4/20/35(1)(2) | 2,450 | 2,380,981 | |
PMT Issuer Trust - FMSR, Series 2022-FT1, Class A, 9.511%, (30-day average SOFR + 4.19%), 6/25/27(1)(2) | 3,000 | 3,011,081 | |
Regatta IX Funding, Ltd., Series 2017-1A, Class E, 11.664%, (3 mo. SOFR + 6.262%), 4/17/30(1)(2) | 3,000 | 2,781,915 | |
Regatta XIII Funding, Ltd., Series 2018-2A, Class D, 11.606%, (3 mo. SOFR + 6.212%), 7/15/31(1)(2) | 3,000 | 2,440,221 | |
Retained Vantage Data Centers Issuer, LLC, Series 2023-1A, Class A2B, 5.25%, 9/15/48(1) | 10,000 | 6,417,884 | |
Sandstone Peak, Ltd., Series 2021-1A, Class D, 9.206%, (3 mo. SOFR + 3.812%), 10/15/34(1)(2) | 4,000 | 3,714,568 | |
Shackleton CLO, Ltd., Series 2015-7RA, Class AR, 6.806%, (3 mo. SOFR + 1.412%), 7/15/31(1)(2) | 10,918 | 10,872,105 |
Security | Principal Amount (000's omitted) | Value | |
STAR Trust: | |||
Series 2021-SFR1, Class G, 8.65%, (1 mo. SOFR + 3.314%), 4/17/38(1)(2) | $ | 2,494 | $ 2,410,037 |
Series 2021-SFR1, Class H, 9.90%, (1 mo. SOFR + 4.564%), 4/17/38(1)(2) | 1,600 | 1,566,399 | |
Steele Creek CLO, Ltd., Series 2014-1RA, Class A, 6.744%, (3 mo. SOFR + 1.332%), 4/21/31(1)(2) | 6,934 | 6,911,269 | |
Vibrant CLO IX, Ltd., Series 2018-9A, Class D, 11.927%, (3 mo. SOFR + 6.512%), 7/20/31(1)(2) | 2,000 | 1,390,156 | |
Voya CLO, Ltd.: | |||
Series 2013-1A, Class DR, 12.136%, (3 mo. SOFR + 6.741%), 10/15/30(1)(2) | 5,000 | 3,404,580 | |
Series 2014-1A, Class DR2, 11.657%, (3 mo. SOFR + 6.262%), 4/18/31(1)(2) | 2,000 | 1,608,334 | |
Series 2015-3A, Class DR, 11.877%, (3 mo. SOFR + 6.462%), 10/20/31(1)(2) | 2,000 | 1,601,934 | |
Series 2017-4A, Class A1, 6.786%, (3 mo. SOFR + 1.392%), 10/15/30(1)(2) | 3,984 | 3,972,566 | |
Series 2018-2A, Class E, 10.906%, (3 mo. SOFR + 5.512%), 7/15/31(1)(2) | 1,000 | 851,981 | |
Wellfleet CLO, Ltd.: | |||
Series 2016-2A, Class A1R, 6.817%, (3 mo. SOFR + 1.402%), 10/20/28(1)(2) | 805 | 802,806 | |
Series 2019-1A, Class CR, 9.227%, (3 mo. SOFR + 3.812%), 7/20/32(1)(2) | 2,500 | 2,326,037 | |
Series 2021-2A, Class E, 12.616%, (3 mo. SOFR + 7.222%), 7/15/34(1)(2) | 1,000 | 828,887 | |
Series 2022-1A, Class E, 13.254%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,000 | 1,852,368 | |
Series 2022-2A, Class E, 13.955%, (3 mo. SOFR + 8.56%), 10/18/35(1)(2) | 2,000 | 1,980,678 | |
Total Asset-Backed Securities (identified cost $284,817,846) | $266,889,511 |
Closed-End Funds — 3.0% |
Security | Shares | Value | |
iShares iBoxx High Yield Corporate Bond ETF | 1,140,300 | $ 82,751,571 | |
Nuveen Global High Income Fund | 83,400 | 892,380 | |
PGIM Global High Yield Fund, Inc. | 430,326 | 4,462,481 | |
Western Asset High Income Opportunity Fund, Inc. | 383,997 | 1,409,269 | |
Total Closed-End Funds (identified cost $90,876,613) | $ 89,515,701 |
Collateralized Mortgage Obligations — 25.9% |
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 | $ 3,849,075 |
Security | Principal Amount (000's omitted) | Value | |
Brean Asset-Backed Securities Trust, Series 2023-RM6, Class A1, 5.25% to 1/25/28, 1/25/63(1)(4) | $ | 3,881 | $ 3,566,682 |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 2,827 | 2,474,319 | |
CHNGE Mortgage Trust: | |||
Series 2022-4, Class A1, 6.00% to 9/25/24, 10/25/57(1)(3) | 12,178 | 11,861,734 | |
Series 2022-NQ, Class M1, 5.82%, 6/25/67(1)(3) | 1,764 | 1,484,880 | |
Deephaven Residential Mortgage Trust, Series 2020-2, Class B2, 5.798%, 5/25/65(1)(3) | 4,273 | 3,969,490 | |
FARM Mortgage Trust: | |||
Series 2022-1, Class B, 2.945%, 1/25/52(1)(3) | 2,662 | 1,750,905 | |
Series 2023-1, Class B, 3.032%, 3/25/52(1)(3) | 2,676 | 1,765,981 | |
Federal Home Loan Mortgage Corp.: | |||
Series 2182, Class ZC, 7.50%, 9/15/29 | 35 | 35,860 | |
Series 4273, Class SP, 0.00%, (11.695% - 30-day average SOFR x 2.667, Floor 0.00%), 11/15/43(5) | 516 | 367,974 | |
Series 5071, Class SP, 0.00%, (3.30% - 30-day average SOFR, Floor 0.00%), 2/25/51(5) | 4,319 | 1,479,472 | |
Series 5083, Class SK, 0.00%, (3.867% - 30-day average SOFR x 1.333, Floor 0.00%), 3/25/51(5) | 3,411 | 1,707,365 | |
Series 5139, Class DZ, 2.50%, 9/25/51 | 2,051 | 1,006,170 | |
Series 5144, Class Z, 2.50%, 9/25/51 | 7,571 | 3,899,700 | |
Series 5150, Class QZ, 2.50%, 10/25/51 | 2,642 | 1,353,693 | |
Series 5150, Class ZJ, 2.50%, 10/25/51 | 4,255 | 2,185,804 | |
Series 5152, Class ZP, 3.00%, 7/25/50 | 10,158 | 5,141,955 | |
Series 5159, Class ZP, 3.00%, 11/25/51 | 860 | 461,095 | |
Series 5159, Class ZT, 3.00%, 11/25/51 | 1,527 | 870,667 | |
Series 5163, Class Z, 3.00%, 11/25/51 | 1,079 | 546,125 | |
Series 5166, Class ZN, 3.00%, 9/25/50 | 1,961 | 1,025,100 | |
Series 5168, Class MZ, 3.00%, 10/25/51 | 2,053 | 1,146,331 | |
Series 5300, Class EY, 6.00%, 12/25/52 | 10,900 | 10,418,921 | |
Series 5324, Class MZ, 6.00%, 7/25/53 | 3,392 | 3,013,945 | |
Series 5327, Class B, 6.00%, 8/25/53 | 20,000 | 19,083,588 | |
Interest Only:(6) | |||
Series 380, Class C1, 3.00%, 1/25/50 | 30,626 | 5,345,097 | |
Series 380, Class C5, 3.50%, 1/25/50 | 9,538 | 1,807,382 | |
Series 2631, Class DS, 1.665%, (6.986% - 30-day average SOFR), 6/15/33(5) | 413 | 8,423 | |
Series 2956, Class SL, 1.565%, (6.886% - 30-day average SOFR), 6/15/32(5) | 457 | 28,501 | |
Series 3114, Class TS, 1.215%, (6.536% - 30-day average SOFR), 9/15/30(5) | 1,046 | 32,120 | |
Series 3153, Class JI, 1.185%, (6.506% - 30-day average SOFR), 5/15/36(5) | 1,164 | 65,840 | |
Series 4007, Class JI, 4.00%, 2/15/42 | 540 | 81,891 | |
Series 4067, Class JI, 3.50%, 6/15/27 | 1,342 | 52,142 | |
Series 4070, Class S, 0.665%, (5.986% - 30-day average SOFR), 6/15/32(5) | 4,556 | 220,214 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 4095, Class HS, 0.665%, (5.986% - 30-day average SOFR), 7/15/32(5) | $ | 889 | $ 26,737 |
Series 4109, Class ES, 0.715%, (6.036% - 30-day average SOFR), 12/15/41(5) | 81 | 6,347 | |
Series 4109, Class SA, 0.765%, (6.086% - 30-day average SOFR), 9/15/32(5) | 2,058 | 92,696 | |
Series 4149, Class S, 0.815%, (6.136% - 30-day average SOFR), 1/15/33(5) | 1,443 | 75,032 | |
Series 4163, Class GS, 0.765%, (6.086% - 30-day average SOFR), 11/15/32(5) | 1,285 | 59,748 | |
Series 4169, Class AS, 0.815%, (6.136% - 30-day average SOFR), 2/15/33(5) | 1,897 | 83,295 | |
Series 4188, Class AI, 3.50%, 4/15/28 | 1,155 | 39,607 | |
Series 4189, Class SQ, 0.715%, (6.036% - 30-day average SOFR), 12/15/42(5) | 486 | 38,571 | |
Series 4203, Class QS, 0.815%, (6.136% - 30-day average SOFR), 5/15/43(5) | 1,300 | 64,325 | |
Series 4332, Class IK, 4.00%, 4/15/44 | 456 | 73,987 | |
Series 4343, Class PI, 4.00%, 5/15/44 | 1,423 | 242,988 | |
Series 4370, Class IO, 3.50%, 9/15/41 | 215 | 5,807 | |
Series 4381, Class SK, 0.715%, (6.036% - 30-day average SOFR), 6/15/44(5) | 1,303 | 93,352 | |
Series 4388, Class MS, 0.665%, (5.986% - 30-day average SOFR), 9/15/44(5) | 1,277 | 107,960 | |
Series 4408, Class IP, 3.50%, 4/15/44 | 1,928 | 261,094 | |
Series 4497, Class CS, 0.765%, (6.086% - 30-day average SOFR), 9/15/44(5) | 1,053 | 14,462 | |
Series 4507, Class MI, 3.50%, 8/15/44 | 676 | 31,693 | |
Series 4507, Class SJ, 0.745%, (6.066% - 30-day average SOFR), 9/15/45(5) | 3,623 | 305,979 | |
Series 4520, Class PI, 4.00%, 8/15/45 | 8,687 | 1,203,581 | |
Series 4528, Class BS, 0.715%, (6.036% - 30-day average SOFR), 7/15/45(5) | 1,714 | 132,332 | |
Series 4629, Class QI, 3.50%, 11/15/46 | 1,776 | 363,777 | |
Series 4637, Class IP, 3.50%, 4/15/44 | 230 | 8,649 | |
Series 4644, Class TI, 3.50%, 1/15/45 | 1,606 | 241,670 | |
Series 4744, Class IO, 4.00%, 11/15/47 | 1,629 | 324,501 | |
Series 4749, Class IL, 4.00%, 12/15/47 | 1,293 | 258,565 | |
Series 4768, Class IO, 4.00%, 3/15/48 | 1,583 | 317,267 | |
Series 5051, Class S, 0.00%, (3.60% - 30-day average SOFR, Floor 0.00%), 12/25/50(5) | 17,968 | 427,642 | |
Series 5070, Class CI, 2.00%, 2/25/51 | 38,571 | 4,884,281 | |
Series 5156, Class IP, 3.00%, 12/25/49 | 19,966 | 3,147,599 | |
Series 5236, Class TI, 3.00%, 1/25/51 | 72,448 | 12,216,169 | |
Principal Only:(7) | |||
Series 4417, Class KO, 0.00%, 12/15/43 | 539 | 326,199 | |
Series 4478, Class PO, 0.00%, 5/15/45 | 836 | 568,190 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2019-HQA3, Class B2, 12.935%, (30-day average SOFR + 7.614%), 9/25/49(1)(2) | 1,250 | 1,362,430 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: (continued) | |||
Series 2020-DNA6, Class B2, 10.971%, (30-day average SOFR + 5.65%), 12/25/50(1)(2) | $ | 6,900 | $ 7,185,447 |
Series 2021-DNA3, Class B2, 11.571%, (30-day average SOFR + 6.25%), 10/25/33(1)(2) | 3,000 | 3,172,278 | |
Series 2021-DNA5, Class B2, 10.821%, (30-day average SOFR + 5.50%), 1/25/34(1)(2) | 3,500 | 3,411,827 | |
Series 2021-DNA6, Class B2, 12.821%, (30-day average SOFR + 7.50%), 10/25/41(1)(2) | 13,640 | 13,961,382 | |
Federal National Mortgage Association: | |||
Series G94-7, Class PJ, 7.50%, 5/17/24 | 2 | 2,375 | |
Series 1994-42, Class K, 6.50%, 4/25/24 | 4 | 3,902 | |
Series 2009-62, Class WA, 5.582%, 8/25/39(3) | 601 | 596,245 | |
Series 2013-6, Class TA, 1.50%, 1/25/43 | 516 | 431,736 | |
Series 2021-56, Class GZ, 3.00%, 7/25/51 | 1,354 | 718,014 | |
Series 2021-56, Class LZ, 2.50%, 9/25/51 | 5,502 | 2,956,398 | |
Series 2021-61, Class LZ, 2.50%, 9/25/51 | 3,822 | 1,973,438 | |
Series 2021-61, Class Z, 2.50%, 9/25/51 | 8,118 | 4,205,728 | |
Series 2021-77, Class WZ, 3.00%, 8/25/50 | 419 | 204,822 | |
Series 2023-12, Class LW, 6.00%, 4/25/53 | 11,482 | 10,976,243 | |
Series 2023-14, Class EL, 6.00%, 4/25/53 | 63,163 | 59,814,044 | |
Interest Only:(6) | |||
Series 2004-46, Class SI, 0.565%, (5.886% - 30-day average SOFR), 5/25/34(5) | 980 | 26,470 | |
Series 2005-17, Class SA, 1.265%, (6.586% - 30-day average SOFR), 3/25/35(5) | 933 | 66,491 | |
Series 2005-71, Class SA, 1.315%, (6.636% - 30-day average SOFR), 8/25/25(5) | 31 | 155 | |
Series 2005-105, Class S, 1.265%, (6.586% - 30-day average SOFR), 12/25/35(5) | 781 | 58,590 | |
Series 2006-44, Class IS, 1.165%, (6.486% - 30-day average SOFR), 6/25/36(5) | 687 | 45,886 | |
Series 2006-65, Class PS, 1.785%, (7.106% - 30-day average SOFR), 7/25/36(5) | 677 | 66,316 | |
Series 2006-96, Class SN, 1.765%, (7.086% - 30-day average SOFR), 10/25/36(5) | 733 | 44,925 | |
Series 2006-104, Class SD, 1.205%, (6.526% - 30-day average SOFR), 11/25/36(5) | 725 | 50,463 | |
Series 2006-104, Class SE, 1.195%, (6.516% - 30-day average SOFR), 11/25/36(5) | 484 | 33,415 | |
Series 2007-50, Class LS, 1.015%, (6.336% - 30-day average SOFR), 6/25/37(5) | 1,041 | 70,503 | |
Series 2008-26, Class SA, 0.765%, (6.086% - 30-day average SOFR), 4/25/38(5) | 1,125 | 83,208 | |
Series 2008-61, Class S, 0.665%, (5.986% - 30-day average SOFR), 7/25/38(5) | 2,044 | 100,899 | |
Series 2011-101, Class IC, 3.50%, 10/25/26 | 585 | 16,362 | |
Series 2011-101, Class IE, 3.50%, 10/25/26 | 436 | 12,060 | |
Series 2011-104, Class IM, 3.50%, 10/25/26 | 780 | 22,883 | |
Series 2012-52, Class DI, 3.50%, 5/25/27 | 1,697 | 66,457 | |
Series 2012-124, Class IO, 1.365%, 11/25/42(3) | 2,552 | 115,994 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2012-139, Class LS, 0.719%, (6.036% - 30-day average SOFR), 12/25/42(5) | $ | 2,513 | $ 267,222 |
Series 2012-147, Class SA, 0.665%, (5.986% - 30-day average SOFR), 1/25/43(5) | 2,891 | 216,433 | |
Series 2012-150, Class PS, 0.715%, (6.036% - 30-day average SOFR), 1/25/43(5) | 3,645 | 272,043 | |
Series 2012-150, Class SK, 0.715%, (6.036% - 30-day average SOFR), 1/25/43(5) | 4,276 | 334,674 | |
Series 2013-11, Class IO, 4.00%, 1/25/43 | 9,012 | 1,090,039 | |
Series 2013-12, Class SP, 0.215%, (5.536% - 30-day average SOFR), 11/25/41(5) | 440 | 4,723 | |
Series 2013-15, Class DS, 0.765%, (6.086% - 30-day average SOFR), 3/25/33(5) | 3,401 | 144,754 | |
Series 2013-23, Class CS, 0.815%, (6.136% - 30-day average SOFR), 3/25/33(5) | 1,791 | 77,819 | |
Series 2013-64, Class PS, 0.815%, (6.136% - 30-day average SOFR), 4/25/43(5) | 1,890 | 98,169 | |
Series 2013-66, Class JI, 3.00%, 7/25/43 | 3,054 | 478,756 | |
Series 2013-75, Class SC, 0.815%, (6.136% - 30-day average SOFR), 7/25/42(5) | 2,509 | 43,957 | |
Series 2014-32, Class EI, 4.00%, 6/25/44 | 718 | 127,374 | |
Series 2014-41, Class SA, 0.615%, (5.936% - 30-day average SOFR), 7/25/44(5) | 1,220 | 133,781 | |
Series 2014-43, Class PS, 0.665%, (5.986% - 30-day average SOFR), 3/25/42(5) | 1,089 | 54,451 | |
Series 2014-55, Class IN, 3.50%, 7/25/44 | 1,826 | 371,443 | |
Series 2014-64, Class BI, 3.50%, 3/25/44 | 248 | 8,336 | |
Series 2014-67, Class IH, 4.00%, 10/25/44 | 1,235 | 282,524 | |
Series 2014-80, Class CI, 3.50%, 12/25/44 | 1,253 | 268,761 | |
Series 2014-89, Class IO, 3.50%, 1/25/45 | 1,896 | 405,169 | |
Series 2015-6, Class IM, 0.00%, (5.181% - 30-day average SOFR x 1.33, Floor 0.00%), 6/25/43(5) | 1,960 | 6,040 | |
Series 2015-14, Class KI, 3.00%, 3/25/45 | 2,234 | 367,352 | |
Series 2015-22, Class GI, 3.50%, 4/25/45 | 672 | 123,499 | |
Series 2015-31, Class SG, 0.665%, (5.986% - 30-day average SOFR), 5/25/45(5) | 2,500 | 334,588 | |
Series 2015-36, Class IL, 3.00%, 6/25/45 | 1,509 | 215,614 | |
Series 2015-52, Class MI, 3.50%, 7/25/45 | 3,165 | 634,676 | |
Series 2015-93, Class BS, 0.715%, (6.036% - 30-day average SOFR), 8/25/45(5) | 1,365 | 54,670 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 4,061 | 721,911 | |
Series 2021-94, Class CI, 3.00%, 1/25/52 | 11,588 | 1,894,268 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2019-R04, Class 2B1, 10.685%, (30-day average SOFR + 5.364%), 6/25/39(1)(2) | 15,996 | 17,093,140 | |
Series 2019-R06, Class 2B1, 9.185%, (30-day average SOFR + 3.864%), 9/25/39(1)(2) | 923 | 947,147 | |
Series 2021-R01, Class 1B2, 11.321%, (30-day average SOFR + 6.00%), 10/25/41(1)(2) | 8,500 | 8,509,315 | |
FIGRE Trust, Series 2023-HE2, Class A, 6.512%, 5/25/53(1)(3) | 5,410 | 5,354,022 |
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 | $ 579,677 |
Flagstar Mortgage Trust: | |||
Series 2023-10IN, Class B4, 3.512%, 10/25/51(1)(3) | 6,900 | 4,393,123 | |
Series 2023-6INV, Class B4, 3.488%, 8/25/51(1)(3) | 4,201 | 2,735,433 | |
FREED Mortgage, Series 2022-HE1, Class A, 7.00%, 10/25/37(1)(3) | 2,939 | 2,907,900 | |
Government National Mortgage Association: | |||
Series 2021-136, Class Z, 2.50%, 8/20/51 | 8,804 | 4,442,821 | |
Series 2021-139, Class ZJ, 2.50%, 8/20/51 | 1,705 | 983,974 | |
Series 2021-154, Class ZC, 2.50%, 9/20/51 | 1,773 | 902,508 | |
Series 2021-154, Class ZL, 3.00%, 9/20/51 | 2,857 | 1,373,081 | |
Series 2021-165, Class MZ, 2.50%, 9/20/51 | 14,690 | 7,455,877 | |
Series 2022-31, Class ZD, 3.00%, 2/20/52 | 282 | 91,324 | |
Series 2022-173, Class S, 3.222%, (22.733% - 30-day average SOFR x 3.667), 10/20/52(5) | 7,688 | 6,829,056 | |
Series 2022-189, Class US, 3.222%, (22.733% - 30-day average SOFR x 3.667), 11/20/52(5) | 11,195 | 10,143,927 | |
Series 2022-195, Class AS, 3.436%, (23.125% - 30-day average SOFR x 3.70), 11/20/52(5) | 4,810 | 4,694,756 | |
Series 2022-197, Class SW, 3.549%, (16.32% - 30-day average SOFR x 2.40), 11/20/52(5) | 8,946 | 8,124,600 | |
Series 2023-53, Class AL, 5.50%, 4/20/53 | 20,000 | 18,178,388 | |
Series 2023-53, Class SE, 3.039%, (22.55% - 30-day average SOFR x 3.667), 4/20/53(5) | 19,744 | 18,283,446 | |
Series 2023-56, Class ZE, 6.00%, 4/20/53 | 16,301 | 14,543,844 | |
Series 2023-63, Class LB, 6.00%, 5/20/53 | 12,347 | 11,707,892 | |
Series 2023-63, Class S, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(5) | 37,944 | 33,881,883 | |
Series 2023-64, Class LB, 6.00%, 5/20/53 | 5,036 | 4,777,389 | |
Series 2023-65, Class SB, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(5) | 7,637 | 6,977,660 | |
Series 2023-65, Class SD, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(5) | 15,202 | 14,252,168 | |
Series 2023-66, Class S, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(5) | 6,985 | 6,450,973 | |
Series 2023-66, Class SD, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(5) | 6,235 | 5,568,486 | |
Series 2023-83, Class S, 2.754%, (22.868% - 30-day average SOFR x 3.78), 6/20/53(5) | 7,883 | 6,889,470 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 5,478 | 5,193,740 | |
Series 2023-84, Class SN, 2.858%, (22.387% - 30-day average SOFR x 3.67), 6/20/53(5) | 8,302 | 7,339,029 | |
Series 2023-89, Class SD, 2.672%, (22.183% - 30-day average SOFR x 3.667), 6/20/53(5) | 9,215 | 8,043,148 | |
Series 2023-96, Class BL, 6.00%, 7/20/53 | 10,000 | 9,510,764 | |
Series 2023-96, Class DB, 6.00%, 7/20/53 | 8,000 | 7,593,382 | |
Series 2023-97, Class CB, 6.00%, 7/20/53 | 20,000 | 19,339,203 | |
Series 2023-99, Class AL, 6.00%, 7/20/53 | 3,000 | 2,848,010 | |
Series 2023-100, Class AY, 6.00%, 7/20/53 | 13,236 | 12,573,412 | |
Series 2023-100, Class JL, 6.00%, 7/20/53 | 11,099 | 10,561,389 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
Series 2023-116, Class CY, 6.00%, 8/20/53 | $ | 2,618 | $ 2,488,146 |
Series 2023-133, Class S, 5.636%, (21.60% - 30-day average SOFR x 3.00), 9/20/53(5) | 14,939 | 14,383,861 | |
Series 2023-149, Class S, 5.505%, (21.45% - 30-day average SOFR x 3.00), 10/20/53(5) | 9,250 | 8,966,275 | |
Series 2023-150, Class AS, 7.065%, (27.528% - 30-day average SOFR x 3.85), 10/20/53(5) | 5,275 | 5,348,238 | |
Series 2023-153, Class SM, 6.731%, (28.00% - 30-day average SOFR x 4.00), 10/20/53(5) | 15,929 | 16,083,832 | |
Interest Only:(6) | |||
Series 2014-68, Class KI, 0.00%, 10/20/42(3) | 2,478 | 79,411 | |
Series 2017-104, Class SD, 0.746%, (6.086% - 1 mo. SOFR), 7/20/47(5) | 4,338 | 349,787 | |
Series 2017-121, Class DS, 0.00%, (4.386% - 1 mo. SOFR, Floor 0.00%), 8/20/47(5) | 2,873 | 81,272 | |
Series 2017-137, Class AS, 0.00%, (4.386% - 1 mo. SOFR, Floor 0.00%), 9/20/47(5) | 3,961 | 109,383 | |
Series 2020-116, Class MI, 2.00%, 8/20/50 | 16,923 | 2,204,548 | |
Series 2020-134, Class LI, 2.50%, 9/20/50 | 7,452 | 1,014,663 | |
Series 2020-146, Class IQ, 2.00%, 10/20/50 | 17,331 | 1,924,893 | |
Series 2020-146, Class QI, 2.00%, 10/20/50 | 9,222 | 1,008,773 | |
Series 2020-149, Class NI, 2.50%, 10/20/50 | 13,601 | 1,846,698 | |
Series 2020-151, Class AI, 2.00%, 10/20/50 | 51,053 | 6,278,383 | |
Series 2020-151, Class HI, 2.50%, 10/20/50 | 1,189 | 160,799 | |
Series 2020-154, Class PI, 2.50%, 10/20/50 | 12,063 | 1,631,231 | |
Series 2020-167, Class KI, 2.00%, 11/20/50 | 28,273 | 3,142,258 | |
Series 2020-173, Class DI, 2.00%, 11/20/50 | 21,247 | 2,568,748 | |
Series 2020-176, Class HI, 2.50%, 11/20/50 | 29,466 | 4,002,589 | |
Series 2020-185, Class BI, 2.00%, 12/20/50 | 7,299 | 843,379 | |
Series 2020-191, Class AI, 2.00%, 12/20/50 | 27,235 | 3,146,101 | |
Series 2021-15, Class AI, 2.00%, 1/20/51 | 31,477 | 3,804,298 | |
Series 2021-23, Class TI, 2.50%, 2/20/51 | 11,403 | 1,485,033 | |
Series 2021-30, Class AI, 2.00%, 2/20/51 | 3,841 | 459,946 | |
Series 2021-46, Class IM, 2.50%, 3/20/51 | 2,562 | 341,184 | |
Series 2021-56, Class SE, 0.00%, (2.30% - 30-day average SOFR, Floor 0.00%), 10/20/50(5) | 5,327 | 52,072 | |
Series 2021-77, Class SB, 0.00%, (3.636% - 1 mo. SOFR, Floor 0.00%), 5/20/51(5) | 12,304 | 258,783 | |
Series 2021-97, Class IG, 2.50%, 8/20/49 | 37,419 | 4,101,449 | |
Series 2021-114, Class MI, 3.00%, 6/20/51 | 9,335 | 1,449,110 | |
Series 2021-121, Class TI, 3.00%, 7/20/51 | 34,013 | 4,232,283 | |
Series 2021-122, Class NI, 3.00%, 7/20/51 | 6,228 | 950,728 | |
Series 2021-125, Class SA, 0.00%, (3.636% - 1 mo. SOFR, Floor 0.00%), 7/20/51(5) | 16,185 | 340,156 | |
Series 2021-154, Class MI, 3.00%, 9/20/51 | 46,553 | 6,294,489 | |
Series 2021-160, Class IT, 2.50%, 9/20/51 | 17,288 | 1,893,967 | |
Series 2021-175, Class AS, 0.00%, (1.686% - 1 mo. SOFR, Floor 0.00%), 10/20/51(5) | 26,124 | 157,977 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2021-175, Class SB, 0.00%, (1.686% - 1 mo. SOFR, Floor 0.00%), 10/20/51(5) | $ | 13,134 | $ 79,572 |
Series 2021-193, Class IU, 3.00%, 11/20/49 | 41,987 | 5,716,381 | |
Series 2021-193, Class YS, 0.00%, (2.45% - 30-day average SOFR, Floor 0.00%), 11/20/51(5) | 25,290 | 220,462 | |
Series 2021-201, Class PI, 3.00%, 11/20/51 | 26,341 | 3,066,775 | |
Series 2021-209, Class IW, 3.00%, 11/20/51 | 18,657 | 2,449,708 | |
Series 2022-104, Class IO, 2.50%, 6/20/51 | 25,229 | 3,282,694 | |
Series 2022-119, Class CS, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 208,493 | 1,577,169 | |
Series 2022-119, Class SC, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 23,166 | 175,241 | |
Series 2022-119, Class TA, 0.00%, (3.90% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 46,332 | 269,364 | |
Series 2022-119, Class TI, 0.00%, (3.85% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 463,319 | 2,540,330 | |
Series 2022-126, Class AS, 0.00%, (3.69% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 62,173 | 827,905 | |
Series 2022-126, Class SC, 0.00%, (3.73% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 46,332 | 632,657 | |
Series 2022-135, Class SA, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 6/20/52(5) | 129,394 | 1,082,500 | |
Series 2023-13, Class SA, 0.079%, (5.40% - 30-day average SOFR), 1/20/53(5) | 16,512 | 302,339 | |
Series 2023-19, Class SD, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(5) | 20,536 | 1,081,315 | |
Series 2023-20, Class HS, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(5) | 14,443 | 774,536 | |
Series 2023-22, Class ES, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(5) | 19,258 | 1,032,714 | |
Series 2023-22, Class SA, 0.379%, (5.70% - 30-day average SOFR), 2/20/53(5) | 32,170 | 877,709 | |
Series 2023-24, Class SB, 0.00%, (5.15% - 30-day average SOFR, Floor 0.00%), 2/20/53(5) | 38,516 | 946,458 | |
Series 2023-24, Class SG, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(5) | 19,258 | 1,032,714 | |
Series 2023-32, Class SA, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(5) | 64,996 | 3,485,411 | |
Series 2023-38, Class LS, 0.979%, (6.30% - 30-day average SOFR), 3/20/53(5) | 62,197 | 3,327,489 | |
Series 2023-38, Class SD, 0.929%, (6.25% - 30-day average SOFR), 3/20/53(5) | 96,111 | 4,171,772 | |
Series 2023-38, Class SG, 0.879%, (6.20% - 30-day average SOFR), 3/20/53(5) | 48,284 | 2,453,014 | |
Series 2023-47, Class HS, 0.979%, (6.30% - 30-day average SOFR), 3/20/53(5) | 20,732 | 1,109,163 | |
Series 2023-47, Class SC, 0.929%, (6.25% - 30-day average SOFR), 3/20/53(5) | 31,028 | 1,617,562 | |
Series 2023-53, Class SK, 0.879%, (6.20% - 30-day average SOFR), 4/20/53(5) | 39,139 | 2,033,614 | |
GS Mortgage-Backed Securities Trust, Series 2022-PJ6, Class B4, 3.186%, 1/25/53(1)(3) | 1,946 | 934,735 |
Security | Principal Amount (000's omitted) | Value | |
LHOME Mortgage Trust: | |||
Series 2023-RTL2, Class A1, 8.00% to 1/25/26, 6/25/28(1)(4) | $ | 2,775 | $ 2,779,656 |
Series 2023-RTL3, Class A1, 8.00% to 3/25/26, 8/25/28(1)(4) | 6,200 | 6,209,491 | |
MFRA Trust, Series 2023-NQM1, Class A2, 5.75% to 1/25/26, 11/25/67(1)(4) | 913 | 871,775 | |
PNMAC GMSR Issuer Trust: | |||
Series 2018-GT1, Class A, 9.289%, (1 mo. SOFR + 3.85%), 2/25/25(1)(2) | 5,000 | 5,000,211 | |
Series 2018-GT2, Class A, 8.089%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(2) | 4,272 | 4,271,513 | |
Series 2022-GT1, Class A, 9.571%, (30-day average SOFR + 4.25%), 5/25/27(1)(2) | 6,000 | 6,012,440 | |
Radnor Re, Ltd., Series 2022-1, Class M1A, 9.071%, (30-day average SOFR + 3.75%), 9/25/32(1)(2) | 7,000 | 7,127,256 | |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(3) | 53,952 | 42,100,117 | |
Total Collateralized Mortgage Obligations (identified cost $917,019,547) | $776,076,837 |
Commercial Mortgage-Backed Securities — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
CSMC Trust: | |||
Series 2020-TMIC, Class A, 8.95%, (1 mo. SOFR + 3.614%), 12/15/35(1)(2) | $ | 3,000 | $ 2,996,936 |
Series 2022-NWPT, Class A, 8.478%, (1 mo. SOFR + 3.143%), 9/9/24(1)(2) | 4,200 | 4,215,752 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22, Class D, 4.559%, 9/15/47(1)(3) | 3,430 | 2,246,375 | |
Series 2014-C25, Class D, 3.933%, 11/15/47(1)(3) | 8,045 | 3,415,213 | |
Med Trust, Series 2021-MDLN, Class E, 8.599%, (1 mo. SOFR + 3.264%), 11/15/38(1)(2) | 5,265 | 5,018,455 | |
WF-RBS Commercial Mortgage Trust, Series 2014-C24, Class D, 3.692%, 11/15/47(1) | 4,000 | 2,474,204 | |
Total Commercial Mortgage-Backed Securities (identified cost $26,145,833) | $ 20,366,935 |
Common Stocks — 0.2% |
Security | Shares | Value | |
Bermuda — 0.0%(8) | |||
Liberty Latin America, Ltd., Class A(9) | 105,100 | $ 717,833 | |
$ 717,833 |
Security | Shares | Value | |
Bulgaria — 0.2% | |||
Eurohold Bulgaria AD(9) | 5,140,100 | $ 4,726,851 | |
$ 4,726,851 | |||
Canada — 0.0%(8) | |||
Canacol Energy, Ltd. | 147,000 | $ 727,182 | |
$ 727,182 | |||
Iceland — 0.0%(8) | |||
Siminn HF | 2,023,336 | $ 127,776 | |
$ 127,776 | |||
Total Common Stocks (identified cost $6,384,866) | $ 6,299,642 |
Convertible Bonds — 1.9% |
Security | Principal Amount (000's omitted) | Value | |
Bermuda — 0.1% | |||
Jazz Investments I, Ltd., 2.00%, 6/15/26 | USD | 920 | $ 933,800 |
NCL Corp., Ltd., 1.125%, 2/15/27 | USD | 870 | 678,456 |
$ 1,612,256 | |||
Canada — 0.0%(8) | |||
Shopify, Inc., 0.125%, 11/1/25 | USD | 300 | $ 265,650 |
$ 265,650 | |||
Cayman Islands — 0.1% | |||
Herbalife, Ltd., 2.625%, 3/15/24 | USD | 870 | $ 849,990 |
Li Auto, Inc., 0.25%, 5/1/28 | USD | 430 | 583,725 |
Poseidon Finance 1, Ltd., 0.00%, 2/1/25(10) | USD | 660 | 638,547 |
Sea, Ltd., 2.375%, 12/1/25 | USD | 940 | 893,940 |
ZTO Express Cayman, Inc., 1.50%, 9/1/27 | USD | 710 | 684,853 |
$ 3,651,055 | |||
China — 0.1% | |||
Meituan, 0.00%, 4/27/27(10) | USD | 3,700 | $ 3,313,349 |
$ 3,313,349 | |||
France — 0.0%(8) | |||
Veolia Environnement S.A., 0.00%, 1/1/25(10) | EUR | 1,150 | $ 366,938 |
$ 366,938 |
Security | Principal Amount (000's omitted) | Value | |
Germany — 0.0%(8) | |||
Deutsche Post AG, 0.05%, 6/30/25(10) | EUR | 500 | $ 497,296 |
$ 497,296 | |||
India — 0.1% | |||
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(10) | USD | 1,325 | $ 1,180,933 |
$ 1,180,933 | |||
Israel — 0.0%(8) | |||
Nice, Ltd., 0.00%, 9/15/25 | USD | 415 | $ 369,350 |
$ 369,350 | |||
Luxembourg — 0.0%(8) | |||
Citigroup Global Markets Funding Luxembourg SCA, 0.00%, 7/25/24(10) | HKD | 6,000 | $ 731,862 |
$ 731,862 | |||
Netherlands — 0.0%(8) | |||
STMicroelectronics N.V., 0.00%, 8/4/25(10) | USD | 200 | $ 209,196 |
$ 209,196 | |||
South Africa — 0.0%(8) | |||
HTA Group, Ltd., 2.875%, 3/18/27(10) | USD | 600 | $ 487,322 |
$ 487,322 | |||
Spain — 0.0%(8) | |||
Cellnex Telecom S.A., 0.50%, 7/5/28(10) | EUR | 300 | $ 304,593 |
$ 304,593 | |||
United Arab Emirates — 0.0%(8) | |||
Abu Dhabi National Oil Co., 0.70%, 6/4/24(10) | USD | 200 | $ 193,639 |
$ 193,639 | |||
United States — 1.5% | |||
Airbnb, Inc., 0.00%, 3/15/26 | USD | 1,070 | $ 927,690 |
Akamai Technologies, Inc., 1.125%, 2/15/29(1) | USD | 1,200 | 1,185,000 |
Alnylam Pharmaceuticals, Inc., 1.00%, 9/15/27 | USD | 590 | 513,027 |
Amphastar Pharmaceuticals, Inc., 2.00%, 3/15/29(1) | USD | 275 | 269,088 |
Ares Capital Corp., 4.625%, 3/1/24 | USD | 550 | 552,750 |
Axon Enterprise, Inc., 0.50%, 12/15/27(1) | USD | 670 | 722,595 |
Bentley Systems, Inc., 0.125%, 1/15/26 | USD | 870 | 828,730 |
BILL Holdings, Inc., 0.00%, 12/1/25 | USD | 770 | 732,462 |
BioMarin Pharmaceutical, Inc., 1.25%, 5/15/27 | USD | 815 | 787,651 |
BlackLine, Inc., 0.00%, 3/15/26 | USD | 540 | 461,363 |
Blackstone Mortgage Trust, Inc., 5.50%, 3/15/27 | USD | 500 | 427,813 |
Security | Principal Amount (000's omitted) | Value | |
United States (continued) | |||
Block, Inc., 0.125%, 3/1/25 | USD | 870 | $ 805,620 |
Bloom Energy Corp., 3.00%, 6/1/28(1) | USD | 560 | 483,944 |
Burlington Stores, Inc., 2.25%, 4/15/25 | USD | 780 | 755,176 |
Cable One, Inc., 0.00%, 3/15/26 | USD | 655 | 537,428 |
Carnival Corp., 5.75%, 12/1/27(1) | USD | 430 | 511,223 |
Ceridian HCM Holding, Inc., 0.25%, 3/15/26 | USD | 560 | 490,250 |
Cloudflare, Inc., 0.00%, 8/15/26 | USD | 725 | 607,912 |
Confluent, Inc., 0.00%, 1/15/27(1) | USD | 870 | 704,396 |
CONMED Corp., 2.25%, 6/15/27 | USD | 260 | 243,490 |
CryoPort, Inc., 0.75%, 12/1/26(1) | USD | 535 | 421,634 |
Cytokinetics, Inc., 3.50%, 7/1/27 | USD | 300 | 276,600 |
Datadog, Inc., 0.125%, 6/15/25 | USD | 565 | 624,890 |
Dexcom, Inc.: | |||
0.25%, 11/15/25 | USD | 970 | 921,500 |
0.375%, 5/15/28(1) | USD | 550 | 486,200 |
DISH Network Corp., 0.00%, 12/15/25 | USD | 440 | 270,609 |
DraftKings Holdings, Inc., 0.00%, 3/15/28 | USD | 670 | 504,510 |
Dropbox, Inc., 0.00%, 3/1/26 | USD | 695 | 650,867 |
Duke Energy Corp., 4.125%, 4/15/26(1) | USD | 900 | 878,553 |
Enphase Energy, Inc., 0.00%, 3/1/26 | USD | 570 | 487,920 |
Envestnet, Inc., 0.75%, 8/15/25 | USD | 300 | 273,600 |
Envista Holdings Corp., 1.75%, 8/15/28(1) | USD | 600 | 519,600 |
Etsy, Inc., 0.25%, 6/15/28 | USD | 870 | 642,930 |
Euronet Worldwide, Inc., 0.75%, 3/15/49 | USD | 300 | 277,875 |
Exact Sciences Corp., 0.375%, 3/1/28 | USD | 1,020 | 847,883 |
Expedia Group, Inc., 0.00%, 2/15/26 | USD | 870 | 760,336 |
Five9, Inc., 0.50%, 6/1/25 | USD | 300 | 275,100 |
Ford Motor Co., 0.00%, 3/15/26 | USD | 1,045 | 958,787 |
Glencore Funding, LLC, 0.00%, 3/27/25(10) | USD | 400 | 418,352 |
Halozyme Therapeutics, Inc., 1.00%, 8/15/28 | USD | 625 | 548,437 |
Insmed, Inc., 0.75%, 6/1/28 | USD | 600 | 580,200 |
Integra LifeSciences Holdings Corp., 0.50%, 8/15/25 | USD | 300 | 271,500 |
InterDigital, Inc.: | |||
2.00%, 6/1/24 | USD | 250 | 255,938 |
3.50%, 6/1/27 | USD | 455 | 515,167 |
Ionis Pharmaceuticals, Inc., 0.00%, 4/1/26 | USD | 870 | 843,465 |
Lantheus Holdings, Inc., 2.625%, 12/15/27(1) | USD | 240 | 266,622 |
Liberty Broadband Corp., 3.125%, 3/31/53(1) | USD | 440 | 438,639 |
Live Nation Entertainment, Inc., 2.00%, 2/15/25 | USD | 540 | 545,400 |
Lumentum Holdings, Inc., 0.50%, 6/15/28 | USD | 435 | 305,290 |
Marriott Vacations Worldwide Corp., 3.25%, 12/15/27(1) | USD | 635 | 535,623 |
Match Group Financeco 3, Inc., 2.00%, 1/15/30(1) | USD | 490 | 398,426 |
MongoDB, Inc., 0.25%, 1/15/26 | USD | 325 | 554,856 |
NextEra Energy Partners, L.P., 2.50%, 6/15/26(1) | USD | 700 | 606,900 |
Security | Principal Amount (000's omitted) | Value | |
United States (continued) | |||
NRG Energy, Inc., 2.75%, 6/1/48 | USD | 690 | $ 774,180 |
NuVasive, Inc., 0.375%, 3/15/25 | USD | 525 | 482,475 |
Okta, Inc., 0.125%, 9/1/25 | USD | 900 | 805,950 |
Omnicell, Inc., 0.25%, 9/15/25 | USD | 870 | 775,387 |
ON Semiconductor Corp., 0.50%, 3/1/29(1) | USD | 915 | 805,200 |
Palo Alto Networks, Inc., 0.375%, 6/1/25 | USD | 470 | 1,150,090 |
Post Holdings, Inc., 2.50%, 8/15/27 | USD | 500 | 476,750 |
PPL Capital Funding, Inc., 2.875%, 3/15/28(1) | USD | 605 | 556,600 |
Rapid7, Inc., 0.25%, 3/15/27 | USD | 550 | 470,250 |
Rivian Automotive, Inc., 4.625%, 3/15/29(1) | USD | 545 | 575,792 |
Sarepta Therapeutics, Inc., 1.25%, 9/15/27 | USD | 645 | 552,492 |
Shift4 Payments, Inc., 0.50%, 8/1/27 | USD | 550 | 432,264 |
Shockwave Medical, Inc., 1.00%, 8/15/28(1) | USD | 300 | 291,300 |
Snap, Inc., 0.00%, 5/1/27 | USD | 1,150 | 863,075 |
SoFi Technologies, Inc., 0.00%, 10/15/26(1) | USD | 820 | 621,150 |
Southwest Airlines Co., 1.25%, 5/1/25 | USD | 405 | 385,661 |
Splunk, Inc., 1.125%, 9/15/25 | USD | 815 | 877,347 |
Spotify USA, Inc., 0.00%, 3/15/26 | USD | 505 | 433,606 |
Tyler Technologies, Inc., 0.25%, 3/15/26 | USD | 580 | 553,334 |
Uber Technologies, Inc., 0.00%, 12/15/25 | USD | 870 | 794,985 |
Wolfspeed, Inc., 1.875%, 12/1/29(1) | USD | 910 | 546,000 |
Ziff Davis, Inc., 1.75%, 11/1/26 | USD | 345 | 312,053 |
Zscaler, Inc., 0.125%, 7/1/25 | USD | 555 | 678,765 |
$ 43,926,523 | |||
Total Convertible Bonds (identified cost $59,578,271) | $ 57,109,962 |
Convertible Preferred Stocks — 0.0%(8) |
Security | Shares | Value | |
United States — 0.0%(8) | |||
Bank of America Corp., Series L, 7.25% | 625 | $ 658,250 | |
Wells Fargo & Co., Series L, Class A, 7.50% | 620 | 654,906 | |
Total Convertible Preferred Stocks (identified cost $1,535,710) | $ 1,313,156 |
Foreign Corporate Bonds — 5.6% |
Security | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(8) | |||
IRSA Inversiones y Representaciones S.A., 8.75%, 6/22/28(1) | USD | 151 | $ 146,456 |
$ 146,456 | |||
Armenia — 0.0%(8) | |||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(10) | USD | 971 | $ 958,862 |
$ 958,862 | |||
Brazil — 0.8% | |||
Braskem Netherlands Finance BV, 8.50% to 10/24/25, 1/23/81(10)(11) | USD | 1,357 | $ 1,326,047 |
Coruripe Netherlands BV: | |||
10.00%, 2/10/27(1) | USD | 616 | 436,054 |
10.00%, 2/10/27(10) | USD | 5,326 | 3,770,171 |
FORESEA Holding S.A., 7.50%, 6/15/30(10) | USD | 2,250 | 2,103,750 |
Guara Norte S.a.r.l., 5.198%, 6/15/34(10) | USD | 2,201 | 1,868,824 |
Hidrovias International Finance S.a.r.l., 4.95%, 2/8/31(10) | USD | 3,401 | 2,624,640 |
MC Brazil Downstream Trading S.a.r.l.: | |||
7.25%, 6/30/31(1) | USD | 2,342 | 1,667,935 |
7.25%, 6/30/31(10) | USD | 1,407 | 1,001,862 |
Minerva Luxembourg S.A., 8.875%, 9/13/33(1) | USD | 4,035 | 3,967,212 |
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(10) | USD | 503 | 455,313 |
Natura Cosmeticos S.A., 4.125%, 5/3/28(10) | USD | 514 | 442,982 |
Samarco Mineracao S.A., 5.75%, 10/24/23(10)(12) | USD | 3,115 | 2,422,179 |
Vale S.A., 2.762%(13)(14) | BRL | 14,736 | 923,628 |
$ 23,010,597 | |||
Bulgaria — 0.1% | |||
Bulgarian Energy Holding EAD, 2.45%, 7/22/28(10) | EUR | 2,001 | $ 1,745,911 |
$ 1,745,911 | |||
Burkina Faso — 0.1% | |||
Endeavour Mining PLC, 5.00%, 10/14/26(10) | USD | 3,661 | $ 3,238,301 |
$ 3,238,301 | |||
Canada — 0.1% | |||
Aris Gold Corp., 7.50%, 8/26/27 | USD | 2,317 | $ 2,369,232 |
$ 2,369,232 |
Security | Principal Amount (000's omitted) | Value | |
Chile — 0.2% | |||
AES Andes S.A.: | |||
6.35% to 1/7/25, 10/7/79(10)(11) | USD | 490 | $ 454,382 |
7.125% to 4/7/24, 3/26/79(10)(11) | USD | 3,288 | 3,100,509 |
VTR Comunicaciones SpA: | |||
4.375%, 4/15/29(10) | USD | 1,964 | 846,624 |
5.125%, 1/15/28(10) | USD | 1,772 | 794,529 |
$ 5,196,044 | |||
China — 0.1%(8) | |||
China Oil & Gas Group, Ltd., 4.70%, 6/30/26(10) | USD | 1,800 | $ 1,441,209 |
Kaisa Group Holdings, Ltd., 9.375%, 6/30/24(10)(12) | USD | 850 | 29,750 |
KWG Group Holdings, Ltd., 7.875%, 8/30/24(12) | USD | 519 | 40,612 |
Longfor Group Holdings, Ltd., 3.85%, 1/13/32(10) | USD | 1,332 | 430,167 |
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(10)(12) | USD | 4,343 | 108,575 |
Sunac China Holdings, Ltd.: | |||
6.50%, 7/9/23(10)(12) | USD | 400 | 58,000 |
8.35%, 4/19/23(10)(12) | USD | 1,864 | 267,018 |
Times China Holdings, Ltd.: | |||
5.55%, 6/4/24(10)(12) | USD | 2,221 | 76,847 |
6.75%, 7/16/23(10)(12) | USD | 1,041 | 26,025 |
$ 2,478,203 | |||
Colombia — 0.4% | |||
ABRA Global Finance, 11.50%, (6.00% cash and 5.50% PIK), 3/2/28(1)(15) | USD | 3,749 | $ 2,890,170 |
Aris Mining Corp., 6.875%, 8/9/26(10) | USD | 1,758 | 1,449,040 |
Avianca Midco 2 PLC, 9.00%, 12/1/28(10) | USD | 2,046 | 1,683,964 |
Canacol Energy, Ltd., 5.75%, 11/24/28(10) | USD | 4,357 | 3,147,127 |
SierraCol Energy Andina, LLC, 6.00%, 6/15/28(10) | USD | 2,982 | 2,311,544 |
$ 11,481,845 | |||
Costa Rica — 0.1% | |||
Liberty Costa Rica Senior Secured Finance, 10.875%, 1/15/31(1) | USD | 3,147 | $ 3,055,551 |
$ 3,055,551 | |||
Cyprus — 0.0%(8) | |||
Bank of Cyprus PLC: | |||
7.375% to 7/25/27, 7/25/28(10)(11) | EUR | 615 | $ 654,036 |
11.875% to 12/21/28(10)(11)(13) | EUR | 213 | 228,080 |
$ 882,116 |
Security | Principal Amount (000's omitted) | Value | |
Georgia — 0.1% | |||
TBC Bank JSC, 8.894% to 11/6/26(10)(11)(13) | USD | 2,674 | $ 2,421,641 |
$ 2,421,641 | |||
Ghana — 0.2% | |||
Kosmos Energy, Ltd.: | |||
7.50%, 3/1/28(10) | USD | 2,280 | $ 1,998,967 |
7.75%, 5/1/27(10) | USD | 794 | 714,640 |
Tullow Oil PLC, 10.25%, 5/15/26(10) | USD | 2,525 | 2,170,818 |
$ 4,884,425 | |||
Greece — 0.2% | |||
Alpha Bank S.A., 6.875% to 6/27/28, 6/27/29(10)(11) | EUR | 770 | $ 818,525 |
Alpha Services & Holdings S.A., 5.50% to 3/11/26, 6/11/31(10)(11) | EUR | 840 | 831,439 |
National Bank of Greece S.A., 8.00% to 10/3/28, 1/3/34(10)(11) | EUR | 1,745 | 1,865,255 |
Piraeus Financial Holdings S.A.: | |||
5.50% to 2/19/25, 2/19/30(10)(11) | EUR | 810 | 800,851 |
8.75% to 6/16/26(10)(11)(13) | EUR | 1,057 | 1,013,494 |
$ 5,329,564 | |||
Honduras — 0.1% | |||
Inversiones Atlantida S.A., 7.50%, 5/19/26(10) | USD | 1,935 | $ 1,732,522 |
$ 1,732,522 | |||
Hong Kong — 0.1% | |||
Yuexiu REIT MTN Co., Ltd., 2.65%, 2/2/26(10) | USD | 2,664 | $ 2,248,649 |
$ 2,248,649 | |||
Hungary — 0.2% | |||
MBH Bank Nyrt, 8.625% to 10/19/26, 10/19/27(10)(11) | EUR | 1,522 | $ 1,624,753 |
OTP Bank Nyrt, 8.75% to 2/15/28, 5/15/33(10)(11) | USD | 3,938 | 3,902,456 |
$ 5,527,209 | |||
Iceland — 0.1% | |||
Arion Banki HF, 6.00%, 4/12/24(10) | ISK | 440,000 | $ 3,112,195 |
Landsbankinn HF, 5.00%, 11/23/23(10) | ISK | 120,000 | 853,515 |
WOW Air HF: | |||
0.00% (12)(13)(16) | EUR | 20 | 0 |
0.00%, (3 mo. EURIBOR + 9.00%)(12)(13)(16) | EUR | 900 | 0 |
$ 3,965,710 | |||
India — 0.2% | |||
JSW Steel, Ltd., 5.05%, 4/5/32(10) | USD | 4,432 | $ 3,420,162 |
Security | Principal Amount (000's omitted) | Value | |
India (continued) | |||
Vedanta Resources Finance II PLC, 13.875%, 1/21/24(10) | USD | 3,174 | $ 2,828,856 |
$ 6,249,018 | |||
Indonesia — 0.2% | |||
Minejesa Capital BV, 4.625%, 8/10/30(10) | USD | 6,066 | $ 5,432,772 |
$ 5,432,772 | |||
Kazakhstan — 0.0%(8) | |||
Tengizchevroil Finance Co. International, Ltd., 4.00%, 8/15/26(10) | USD | 200 | $ 178,952 |
$ 178,952 | |||
Mexico — 0.8% | |||
Alpha Holding S.A. de CV: | |||
9.00%, 2/10/25(10)(12) | USD | 2,654 | $ 49,759 |
10.00%, 12/19/22(10)(12) | USD | 1,440 | 21,597 |
Banco Mercantil del Norte S.A.: | |||
7.625% to 1/10/28(10)(11)(13) | USD | 563 | 510,594 |
8.375% to 10/14/30(10)(11)(13) | USD | 1,314 | 1,199,602 |
BBVA Bancomer S.A.: | |||
5.125% to 1/17/28, 1/18/33(10)(11) | USD | 1,452 | 1,229,705 |
8.45% to 6/29/33, 6/29/38(1)(11) | USD | 1,896 | 1,809,986 |
Braskem Idesa SAPI: | |||
6.99%, 2/20/32(10) | USD | 3,880 | 2,293,516 |
7.45%, 11/15/29(10) | USD | 2,105 | 1,333,427 |
Cemex SAB de CV: | |||
5.125% to 6/8/26(10)(11)(13) | USD | 1,319 | 1,221,197 |
9.125% to 3/14/28(1)(11)(13) | USD | 1,870 | 1,919,340 |
Grupo Aeromexico SAB de CV, 8.50%, 3/17/27(10) | USD | 1,942 | 1,802,765 |
Grupo Kaltex S.A. de CV, 14.50%, (13.00% cash and 1.50% PIK), 9/30/25(1)(15) | USD | 2,592 | 2,332,800 |
Petroleos Mexicanos: | |||
6.35%, 2/12/48 | USD | 152 | 83,919 |
6.50%, 3/13/27 | USD | 871 | 769,063 |
6.875%, 8/4/26 | USD | 4,416 | 4,080,229 |
10.00%, 2/7/33 | USD | 1,597 | 1,413,190 |
Total Play Telecomunicaciones S.A. de CV: | |||
6.375%, 9/20/28(10) | USD | 2,963 | 1,421,199 |
7.50%, 11/12/25(10) | USD | 1,896 | 1,378,176 |
$ 24,870,064 |
Security | Principal Amount (000's omitted) | Value | |
Moldova — 0.1% | |||
Aragvi Finance International DAC, 8.45%, 4/29/26(10) | USD | 2,560 | $ 1,763,200 |
$ 1,763,200 | |||
Mongolia — 0.0%(8) | |||
Mongolian Mining Corp./Energy Resources, LLC, 9.25%, 4/15/24(10) | USD | 745 | $ 758,745 |
$ 758,745 | |||
Nigeria — 0.1% | |||
IHS Netherlands Holdco BV, 8.00%, 9/18/27(10) | USD | 931 | $ 762,052 |
SEPLAT Energy PLC, 7.75%, 4/1/26(10) | USD | 2,549 | 2,158,493 |
$ 2,920,545 | |||
Panama — 0.1% | |||
C&W Senior Financing DAC, 6.875%, 9/15/27(10) | USD | 4,912 | $ 4,228,102 |
$ 4,228,102 | |||
Paraguay — 0.1% | |||
Frigorifico Concepcion S.A.: | |||
7.70%, 7/21/28(1) | USD | 2,421 | $ 1,967,769 |
7.70%, 7/21/28(10) | USD | 1,869 | 1,519,108 |
$ 3,486,877 | |||
Peru — 0.3% | |||
Auna SAA, 6.50%, 11/20/25(10) | USD | 4,047 | $ 3,706,289 |
Hunt Oil Co. of Peru, LLC, 8.55%, 9/18/33(1) | USD | 1,142 | 1,145,820 |
Peru LNG SRL, 5.375%, 3/22/30(10) | USD | 4,049 | 3,105,725 |
Telefonica del Peru SAA, 7.375%, 4/10/27(10) | PEN | 4,500 | 876,432 |
$ 8,834,266 | |||
Russia — 0.0%(8) | |||
Gazprom PJSC Via Gaz Finance PLC, 4.599% to 10/26/25(10)(11)(13) | USD | 555 | $ 299,700 |
Hacienda Investments, Ltd. Via DME Airport DAC, 5.35%, 2/8/28(10) | USD | 450 | 263,250 |
Tinkoff Bank JSC Via TCS Finance, Ltd., 6.00% to 12/20/26(10)(11)(13) | USD | 1,226 | 628,325 |
$ 1,191,275 | |||
Saint Lucia — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(10) | USD | 4,217 | $ 3,873,441 |
$ 3,873,441 |
Security | Principal Amount (000's omitted) | Value | |
Singapore — 0.1% | |||
APL Realty Holdings Pte., Ltd., 5.95%, 6/2/24(10) | USD | 555 | $ 443,999 |
Indika Energy Capital IV Pte, Ltd., 8.25%, 10/22/25(10) | USD | 1,811 | 1,801,040 |
$ 2,245,039 | |||
South Africa — 0.2% | |||
Petra Diamonds US Treasury PLC, 9.75% PIK, 3/8/26(10)(15) | USD | 385 | $ 329,524 |
Sasol Financing USA, LLC: | |||
5.50%, 3/18/31 | USD | 4,425 | 3,395,451 |
6.50%, 9/27/28 | USD | 1,482 | 1,313,089 |
$ 5,038,064 | |||
Turkey — 0.3% | |||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(10) | USD | 3,388 | $ 2,974,544 |
Ulker Biskuvi Sanayi AS, 6.95%, 10/30/25(10) | USD | 3,309 | 3,098,233 |
WE Soda Investments Holding PLC, 9.50%, 10/6/28(10) | USD | 3,240 | 3,239,514 |
$ 9,312,291 | |||
United Arab Emirates — 0.0%(8) | |||
Shelf Drilling Holdings, Ltd.: | |||
9.625%, 4/15/29(1) | USD | 709 | $ 674,740 |
9.625%, 4/15/29(10) | USD | 599 | 570,055 |
$ 1,244,795 | |||
Uzbekistan — 0.0%(8) | |||
Ipoteka-Bank ATIB, 16.00%, 4/16/24(10) | UZS | 7,100,000 | $ 572,482 |
$ 572,482 | |||
Vietnam — 0.1% | |||
Mong Duong Finance Holdings BV, 5.125%, 5/7/29(10) | USD | 3,980 | $ 3,617,820 |
$ 3,617,820 | |||
Total Foreign Corporate Bonds (identified cost $181,676,347) | $166,490,586 |
Loan Participation Notes — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 0.5% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(10)(16)(17) | UZS | 195,502,870 | $ 15,622,067 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/21/26(10)(16)(17) | UZS | 3,683,800 | 280,721 |
Total Loan Participation Notes (identified cost $16,966,005) | $ 15,902,788 |
Reinsurance Side Cars — 2.1% |
Security | Shares | Value | |
Eden Re II, Ltd.: | |||
Series 2020A, 0.00%, 3/22/24(1)(16)(18)(19) | 818,125 | $ 310,887 | |
Series 2021A, 0.00%, 3/21/25(1)(16)(18)(19) | 65,826 | 30,017 | |
Series 2021B, 0.00%, 3/21/25(1)(16)(18)(19) | 592,179 | 270,034 | |
Series 2022A, 0.00%, 3/20/26(1)(16)(18)(19) | 1,409,976 | 1,043,805 | |
Series 2022B, 0.00%, 3/20/26(1)(16)(18)(19) | 1,210,683 | 914,066 | |
Series 2023A, 0.00%, 3/19/27(1)(16)(18)(19) | 15,000,000 | 17,173,500 | |
Series 2023B, 0.00%, 3/19/27(1)(16)(18)(19) | 11,800,000 | 13,552,300 | |
Mt. Logan Re, Ltd.: | |||
Series 13, Preference Shares(16)(19)(20) | 10,000 | 15,003,196 | |
Series 17, Preference Shares(9)(16)(19)(20) | 860 | 1,273,313 | |
Sussex Capital, Ltd.: | |||
Designated Investment Series 5, 5/19(9)(16)(19)(20) | 249 | 13,934 | |
Designated Investment Series 5, 12/19(9)(16)(19)(20) | 791 | 43,067 | |
Designated Investment Series 5, 6/20(9)(16)(19)(20) | 434 | 40,363 | |
Designated Investment Series 5, 4/21(9)(16)(19)(20) | 247 | 9,833 | |
Designated Investment Series 5, 12/21(9)(16)(19)(20) | 958 | 17,860 | |
Designated Investment Series 5, 11/22(9)(16)(19)(20) | 958 | 530,701 | |
Designated Investment Series 15, 12/21(9)(16)(19)(20) | 743 | 13,843 | |
Designated Investment Series 15, 11/22(9)(16)(19)(20) | 721 | 399,431 | |
Series 5, Preference Shares(9)(16)(19)(20) | 6,000 | 7,276,256 | |
Series 15, Preference Shares(9)(16)(19)(20) | 5,000 | 5,483,188 | |
Sussex Re, Ltd.: | |||
Series 2020A(9)(16)(19)(20) | 4,081,939 | 154,705 | |
Series 2021A(9)(16)(19)(20) | 4,154,232 | 316,137 | |
Total Reinsurance Side Cars (identified cost $48,837,955) | $ 63,870,436 |
Sovereign Government Bonds — 9.4% |
Security | Principal Amount (000's omitted) | Value | |
Argentina — 0.1% | |||
Republic of Argentina: | |||
0.75% to 7/9/27, 7/9/30(4) | USD | 950 | $ 266,099 |
1.00%, 7/9/29 | USD | 231 | 62,641 |
3.50% to 7/9/29, 7/9/41(4) | USD | 2,004 | 530,122 |
3.625% to 7/9/24, 7/9/35(4) | USD | 1,964 | 490,135 |
4.255% to 7/9/24, 1/9/38(4) | USD | 1,288 | 392,048 |
$ 1,741,045 | |||
Benin — 0.0%(8) | |||
Benin Government International Bond: | |||
4.875%, 1/19/32(10) | EUR | 120 | $ 95,263 |
6.875%, 1/19/52(10) | EUR | 1,733 | 1,205,430 |
$ 1,300,693 | |||
Dominican Republic — 1.0% | |||
Dominican Republic: | |||
12.00%, 8/8/25(1) | DOP | 450,030 | $ 8,009,813 |
12.75%, 9/23/29(1) | DOP | 794,700 | 15,500,468 |
13.625%, 2/3/33(1) | DOP | 8,000 | 160,449 |
Dominican Republic Central Bank Notes: | |||
12.00%, 10/3/25(1) | DOP | 299,010 | 5,327,635 |
13.00%, 12/5/25(1) | DOP | 12,940 | 235,232 |
$ 29,233,597 | |||
Hungary — 0.0%(8) | |||
Hungary Government International Bond, 6.25%, 9/22/32(10) | USD | 1,000 | $ 963,814 |
$ 963,814 | |||
Iceland — 0.3% | |||
Republic of Iceland: | |||
5.00%, 11/15/28 | ISK | 852,032 | $ 5,401,604 |
6.50%, 1/24/31 | ISK | 285,839 | 1,934,334 |
8.00%, 6/12/25 | ISK | 307,477 | 2,194,085 |
$ 9,530,023 | |||
Mexico — 1.5% | |||
Mexican Bonos: | |||
7.75%, 11/13/42(21) | MXN | 511,160 | $ 22,653,328 |
8.00%, 7/31/53(21) | MXN | 470,600 | 20,998,851 |
$ 43,652,179 |
Security | Principal Amount (000's omitted) | Value | |
Peru — 2.5% | |||
Peru Government Bond: | |||
5.40%, 8/12/34 | PEN | 41,625 | $ 9,052,325 |
5.94%, 2/12/29 | PEN | �� 199,073 | 49,689,161 |
6.15%, 8/12/32 | PEN | 65,080 | 15,497,452 |
6.714%, 2/12/55 | PEN | 5,641 | 1,295,536 |
$ 75,534,474 | |||
Poland — 0.0%(8) | |||
Republic of Poland, 5.75%, 11/16/32 | USD | 1,000 | $ 994,782 |
$ 994,782 | |||
Serbia — 0.9% | |||
Serbia Treasury Bond: | |||
4.50%, 8/20/32 | RSD | 3,319,480 | $ 26,406,413 |
5.875%, 2/8/28 | RSD | 3,280 | 30,308 |
$ 26,436,721 | |||
South Africa — 2.7% | |||
Republic of South Africa, 10.50%, 12/21/26 | ZAR | 1,437,663 | $ 79,571,878 |
$ 79,571,878 | |||
Suriname — 0.4% | |||
Republic of Suriname, 9.25%, 10/26/26(10)(12) | USD | 11,370 | $ 10,375,125 |
$ 10,375,125 | |||
Ukraine — 0.0%(8) | |||
Ukraine Government Bond: | |||
10.95%, 11/1/23 | UAH | 7,018 | $ 183,508 |
11.67%, 11/22/23 | UAH | 1,719 | 40,157 |
15.84%, 2/26/25 | UAH | 19,789 | 428,140 |
$ 651,805 | |||
Uzbekistan — 0.0%(8) | |||
Republic of Uzbekistan, 16.25%, 10/12/26(10) | UZS | 6,450,000 | $ 529,822 |
$ 529,822 | |||
Total Sovereign Government Bonds (identified cost $330,912,703) | $280,515,958 |
Sovereign Loans — 0.0%(8) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Nigeria — 0.0%(8) | |||
Bank of Industry Limited, Term Loan, 11.67%, (3 mo. USD LIBOR + 6.00%), 12/11/23(2)(22) | USD | 228 | $ 228,074 |
Total Sovereign Loans (identified cost $227,960) | $ 228,074 |
U.S. Department of Agriculture Loans — 1.4% |
Security | Principal Amount (000's omitted) | Value | |
USDA Guaranteed Loans: | |||
8.00%, (USD Prime - 0.50%), 2/16/43(2) | 2,741 | $ 2,741,293 | |
8.00%, (USD Prime - 0.50%), 2/16/43(2) | 3,537 | 3,540,505 | |
8.00%, (USD Prime - 0.50%), 2/16/43(2) | 17,000 | 17,003,230 | |
8.00%, (USD Prime - 0.50%), 2/16/43(2) | 18,540 | 18,543,337 | |
8.00%, (USD Prime - 0.50%), 2/16/63(2) | 116 | 115,745 | |
Total U.S. Department of Agriculture Loans (identified cost $41,933,042) | $ 41,944,110 |
U.S. Government Agency Commercial Mortgage-Backed Securities — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
FRESB Mortgage Trust: | |||
Interest Only:(6) | |||
Series 2021-SB91, Class X1, 0.572%, 8/25/41(3) | $ | 23,767 | $ 647,185 |
Series 2021-SB92, Class X1, 0.58%, 8/25/41(3) | 23,853 | 533,472 | |
Government National Mortgage Association: | |||
Interest Only:(6) | |||
Series 2021-101, Class IO, 0.679%, 4/16/63(3) | 27,171 | 1,427,896 | |
Series 2021-132, Class IO, 0.726%, 4/16/63(3) | 65,574 | 3,587,795 | |
Series 2021-144, Class IO, 0.825%, 4/16/63(3) | 25,787 | 1,518,791 | |
Series 2021-186, Class IO, 0.765%, 5/16/63(3) | 47,621 | 2,696,016 | |
Series 2022-3, Class IO, 0.64%, 2/16/61(3) | 67,789 | 3,152,922 | |
Total U.S. Government Agency Commercial Mortgage-Backed Securities (identified cost $18,150,452) | $ 13,564,077 |
U.S. Government Agency Mortgage-Backed Securities — 32.2% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
4.196%, (COF + 1.254%), with maturity at 2035(23) | $ | 71 | $ 69,432 |
4.616%, (COF + 1.251%), with maturity at 2030(23) | 50 | 49,848 | |
5.00%, with maturity at 2052 | 7,835 | 7,235,421 | |
6.00%, with various maturities to 2053 | 4,714 | 4,596,454 | |
6.50%, with maturity at 2053 | 5,905 | 5,897,445 | |
7.00%, with various maturities to 2036 | 454 | 462,314 | |
8.00%, with maturity at 2026 | 1 | 926 | |
Federal National Mortgage Association: | |||
4.186%, (COF + 1.254%), with maturity at 2035(23) | 30 | 30,081 | |
5.00%, 30-Year, TBA(24) | 8,671 | 7,995,949 | |
5.05%, (COF + 1.791%), with maturity at 2035(23) | 310 | 302,510 | |
5.50%, 30-Year, TBA(24) | 50,600 | 48,032,445 | |
5.50%, with various maturities to 2052 | 78,925 | 75,027,369 | |
6.00%, with various maturities to 2053 | 18,209 | 17,753,021 | |
6.50%, with various maturities to 2053 | 18,042 | 18,005,327 | |
7.00%, with maturity at 2037 | 173 | 176,902 | |
8.50%, with maturity at 2032 | 80 | 83,924 | |
9.50%, with maturity at 2028 | 10 | 9,765 | |
Government National Mortgage Association: | |||
5.00%, with maturity at 2052 | 19,156 | 17,787,923 | |
5.50%, with various maturities to 2063 | 70,732 | 67,650,362 | |
6.00%, with various maturities to 2063 | 164,016 | 161,035,747 | |
6.00%, 30-Year, TBA(24) | 55,750 | 54,632,229 | |
6.50%, with various maturities to 2063 | 100,815 | 100,930,692 | |
6.50%, 30-Year, TBA(24) | ��� 300,600 | 300,042,477 | |
7.00%, with various maturities to 2063 | 75,059 | 76,178,702 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $982,568,558) | $963,987,265 |
U.S. Government Guaranteed Small Business Administration Loans(25)(26)— 0.5% |
Security | Principal Amount (000's omitted) | Value | |
0.66%, 3/15/30 | $ | 2,591 | $ 34,711 |
0.73%, 7/15/31 | 2,447 | 38,778 | |
0.93%, 5/15/42 | 1,515 | 35,687 | |
0.98%, 4/15/32 | 1,155 | 24,957 | |
1.31%, 5/15/42 to 7/15/42 | 4,217 | 147,618 | |
1.38%, 6/15/41 | 3,016 | 106,680 |
Security | Principal Amount (000's omitted) | Value | |
1.56%, 7/15/42 | $ | 1,070 | $ 44,088 |
1.61%, 12/15/41 to 7/15/42 | 1,835 | 81,671 | |
1.63%, 9/15/41 | 1,827 | 81,839 | |
1.73%, 10/15/33 to 11/21/41 | 2,509 | 113,603 | |
1.86%, 4/15/42 to 6/15/42 | 6,735 | 322,843 | |
1.91%, 7/15/42 | 1,009 | 59,396 | |
2.06%, 7/15/42 | 2,817 | 155,003 | |
2.11%, 4/15/33 to 5/15/42 | 2,292 | 115,493 | |
2.16%, 5/15/42 | 1,942 | 104,467 | |
2.23%, 1/15/41 | 1,341 | 82,476 | |
2.28%, 11/1/29 | 999 | 43,954 | |
2.31%, 4/15/42 to 6/15/42 | 2,954 | 198,000 | |
2.36%, 1/16/42 to 6/15/42 | 8,953 | 557,515 | |
2.38%, 6/15/42 | 1,275 | 81,854 | |
2.39%, 7/15/40 | 1,285 | 74,072 | |
2.41%, 6/15/41 to 6/15/42 | 7,222 | 479,747 | |
2.43%, 3/15/41 | 1,282 | 86,186 | |
2.48%, 2/23/41 | 1,083 | 71,826 | |
2.56%, 1/15/41 | 1,002 | 60,340 | |
2.61%, 2/15/42 to 6/15/42 | 2,152 | 147,840 | |
2.66%, 4/15/42 to 6/15/42 | 1,580 | 112,799 | |
2.68%, 9/15/41 | 1,137 | 77,908 | |
2.71%, 8/15/42 | 6,688 | 480,322 | |
2.86%, 5/15/32 to 6/15/42 | 5,441 | 416,790 | |
2.88%, 8/16/42(27) | 18,035 | 1,462,072 | |
2.89%, 8/15/40 | 943 | 66,970 | |
2.90%, 11/2/42(27) | 8,747 | 660,177 | |
2.91%, 6/15/42 to 7/15/42 | 4,375 | 372,518 | |
2.93%, 4/15/41 to 5/15/41 | 2,218 | 159,656 | |
2.96%, 7/15/27 to 1/15/43 | 8,190 | 614,068 | |
2.98%, 7/15/42 | 1,216 | 116,938 | |
3.03%, 6/15/42 | 1,712 | 149,091 | |
3.11%, 5/15/42 to 6/15/42 | 2,896 | 232,689 | |
3.16%, 6/15/42 to 1/15/43 | 11,995 | 1,077,036 | |
3.21%, 12/15/26 to 7/15/42 | 4,468 | 326,171 | |
3.28%, 4/15/27 to 7/15/42 | 4,035 | 358,313 | |
3.36%, 3/15/42 | 1,822 | 166,747 | |
3.41%, 6/15/42 to 12/15/42 | 3,387 | 314,014 | |
3.46%, 4/15/27 to 8/15/42 | 4,028 | 306,468 | |
3.53%, 6/15/26 to 8/15/42 | 1,061 | 69,233 | |
3.61%, 6/15/32 to 6/15/42 | 4,244 | 440,255 | |
3.64%, 12/15/41 | 1,012 | 111,355 | |
3.66%, 5/15/42 to 7/15/42 | 4,890 | 507,811 | |
3.68%, 2/15/42 to 5/15/42 | 620 | 64,360 | |
3.71%, 3/15/24 to 7/15/42 | 12,343 | 996,738 | |
3.73%, 1/15/37 | 1,620 | 142,179 |
Security | Principal Amount (000's omitted) | Value | |
3.78%, 2/15/27 to 5/15/42 | $ | 2,922 | $ 289,427 |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $36,712,608) | $ 13,442,749 |
U.S. Treasury Obligations — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond, 0.625%, 7/15/32(28) | $ | 11,657 | $ 9,987,786 |
Total U.S. Treasury Obligations (identified cost $11,031,459) | $ 9,987,786 |
Miscellaneous — 0.0% |
Security | Shares | Value | |
Financial Intermediaries — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(9)(16) | 3,058,000 | $ 0 | |
Alpha Holding S.A., Escrow Certificates(9)(16) | 5,630,000 | 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Short-Term Investments — 21.4% |
Affiliated Fund — 14.1% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(29) | 422,234,524 | $ 422,234,524 | |
Total Affiliated Fund (identified cost $422,234,524) | $422,234,524 |
Repurchase Agreements — 1.4% |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: | |||
Dated 9/8/23 with an interest rate of 4.95%, collateralized by $1,000,000 Indonesia Government International Bond, 4.85%, due 1/11/33 and a market value, including accrued interest, of $950,819(30) | USD | 980 | $ 980,000 |
Dated 10/19/23 with an interest rate of 5.00%, collateralized by $1,000,000 Republic of Philippines, 5.00%, due 7/17/33 and a market value, including accrued interest, of $959,717(30) | USD | 948 | 947,500 |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: (continued) | |||
Dated 10/20/23 with an interest rate of 5.00%, collateralized by $1,000,000 Chile Government International Bond, 3.50%, due 1/31/34 and a market value, including accrued interest, of $814,980(30) | USD | 803 | $ 802,500 |
Barclays Bank PLC: | |||
Dated 9/26/23 with an interest rate of 3.00%, collateralized by $1,000,000 Malaysia Wakala Sukuk Bhd, 2.07%, due 4/28/31 and a market value, including accrued interest, of $799,728(30) | USD | 866 | 866,250 |
Dated 9/29/23 with an interest rate of 5.15%, collateralized by MXN 276,661,449 Mexican Udibonos, 4.00%, due 11/3/50 and a market value, including accrued interest, of $13,415,757(30) | USD | 13,889 | 13,888,817 |
Dated 10/16/23 with an interest rate of 5.15%, collateralized by MXN 357,818,634 Mexican Udibonos, 4.00%, due 11/15/40 and a market value, including accrued interest, of $17,839,559(30) | USD | 18,240 | 18,239,526 |
Dated 10/19/23 with an interest rate of 3.00%, collateralized by $1,000,000 Malaysia Wakala Sukuk Bhd, 2.07%, due 4/28/31 and a market value, including accrued interest, of $799,728(30) | USD | 845 | 845,000 |
JPMorgan Chase Bank, N.A.: | |||
Dated 7/27/23 with an interest rate of 5.05%, collateralized by $1,000,000 Peruvian Government International Bond, 2.783%, due 1/23/31 and a market value, including accrued interest, of $810,618(30) | USD | 849 | 848,887 |
Dated 10/18/23 with an interest rate of 5.05%, collateralized by $1,000,000 Republic of Turkey, 9.375%, due 1/19/33 and a market value, including accrued interest, of $1,031,788(30) | USD | 1,017 | 1,017,187 |
Dated 10/20/23 with an interest rate of 5.10%, collateralized by $1,000,000 Mexico Government International Bond, 6.35%, due 2/9/35 and a market value, including accrued interest, of $970,426(30) | USD | 970 | 970,303 |
Nomura International PLC: | |||
Dated 9/5/23 with an interest rate of 5.00%, collateralized by $1,000,000 Chile Government International Bond, 3.50%, due 1/31/34 and a market value, including accrued interest, of $814,980(30) | USD | 900 | 899,850 |
Dated 9/5/23 with an interest rate of 5.00%, collateralized by $1,000,000 Romanian Government International Bond, 7.125%, due 1/17/33 and a market value, including accrued interest, of $1,017,851(30) | USD | 1,105 | 1,104,705 |
Total Repurchase Agreements (identified cost $41,410,525) | $ 41,410,525 |
Sovereign Government Securities — 4.0% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 4.0% | |||
Letra do Tesouro Nacional, 0.00%, 1/1/24 | BRL | 621,140 | $ 120,919,683 |
Total Sovereign Government Securities (identified cost $123,880,488) | $120,919,683 |
U.S. Treasury Obligations — 1.9% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 11/30/23(31) | $ | 40,000 | $ 39,829,738 |
0.00%, 1/9/24 | 17,000 | 16,828,041 | |
Total U.S. Treasury Obligations (identified cost $56,656,494) | $ 56,657,779 | ||
Total Short-Term Investments (identified cost $644,182,031) | $641,222,511 |
Total Investments — 114.5% (identified cost $3,699,557,806) | $3,428,728,084 |
TBA Sale Commitments — (1.5)% | |||
U.S. Government Agency Mortgage-Backed Securities — (1.5)% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association, 4.50%, 30-Year, TBA(24) | $ | (50,000) | $ (44,687,500) |
Total U.S. Government Agency Mortgage-Backed Securities (proceeds $45,240,234) | $(44,687,500) | ||
Total TBA Sale Commitments (proceeds $45,240,234) | $(44,687,500) | ||
Securities Sold Short — (1.2)% | |||
Sovereign Government Bonds — (1.2)% |
Security | Principal Amount (000's omitted) | Value | |
Chile — (0.0)%(8) | |||
Chile Government International Bond, 3.50%, 1/31/34 | USD | (1,000) | $ (806,133) |
$ (806,133) | |||
Indonesia — (0.0)%(8) | |||
Indonesia Government International Bond, 4.85%, 1/11/33 | USD | (1,000) | $ (936,000) |
$ (936,000) | |||
Malaysia — (0.0)%(8) | |||
Malaysia Wakala Sukuk Bhd, 2.07%, 4/28/31(10) | USD | (1,000) | $ (799,555) |
$ (799,555) | |||
Mexico — (1.0)% | |||
Mexican Udibonos: | |||
4.00%, 11/15/40(32) | MXN | (357,819) | $ (17,578,215) |
4.00%, 11/3/50(32) | MXN | (276,661) | (13,171,936) |
$(30,750,151) | |||
Peru — (0.0)%(8) | |||
Peruvian Government International Bond, 2.783%, 1/23/31 | USD | (1,000) | $ (803,041) |
$ (803,041) |
Security | Principal Amount (000's omitted) | Value | |
Philippines — (0.1)% | |||
Republic of Philippines, 5.00%, 7/17/33 | USD | (1,000) | $ (945,273) |
$ (945,273) | |||
Turkey — (0.1)% | |||
Republic of Turkey, 9.375%, 1/19/33 | USD | (1,000) | $ (1,005,225) |
$ (1,005,225) | |||
Total Sovereign Government Bonds (proceeds $36,937,339) | $(36,045,378) | ||
Total Securities Sold Short (proceeds $36,937,339) | $(36,045,378) |
Other Assets, Less Liabilities — (11.8)% | $ (354,532,572) | ||
Net Assets — 100.0% | $2,993,462,634 |
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 October 31, 2023, the aggregate value of these securities is $549,241,128 or 18.3% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at October 31, 2023. |
(4) | Step coupon security. Interest rate represents the rate in effect at October 31, 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 October 31, 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) | Amount is less than 0.05% or (0.05)%, as applicable. |
(9) | Non-income producing security. |
(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 October 31, 2023, the aggregate value of these securities is $166,703,054 or 5.6% of the Portfolio's net assets. |
(11) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(12) | Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(13) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(14) | 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 October 31, 2023. |
(15) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(16) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9). |
(17) | 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. |
(18) | Quantity held represents principal in USD. |
(19) | 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. |
(20) | Restricted security (see Note 5). |
(21) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(22) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(23) | 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 October 31, 2023. |
(24) | 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. |
(25) | 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. |
(26) | 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. |
(27) | The stated interest rate represents the weighted average fixed interest rate at October 31, 2023 of all interest only securities comprising the certificate. |
(28) | 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. |
(29) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
(30) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(31) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
(32) | 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. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
EUR | 1,084,472 | USD | 1,161,274 | 12/20/23 | $ (11,237) |
PEN | 45,901,000 | USD | 11,818,884 | 12/20/23 | 106,882 |
USD | 24,311,451 | EUR | 22,703,583 | 12/20/23 | 235,240 |
USD | 17,224,271 | EUR | 16,085,123 | 12/20/23 | 166,664 |
USD | 6,635,967 | EUR | 6,197,089 | 12/20/23 | 64,210 |
USD | 5,191,031 | EUR | 4,847,716 | 12/20/23 | 50,229 |
USD | 1,812,822 | EUR | 1,692,929 | 12/20/23 | 17,541 |
USD | 1,296,435 | EUR | 1,210,694 | 12/20/23 | 12,544 |
USD | 964,678 | EUR | 900,877 | 12/20/23 | 9,334 |
USD | 963,738 | EUR | 900,000 | 12/20/23 | 9,325 |
USD | 174,586 | EUR | 165,435 | 12/20/23 | (851) |
USD | 662,371 | EUR | 627,654 | 12/20/23 | (3,230) |
USD | 2,536,122 | EUR | 2,403,195 | 12/20/23 | (12,366) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 24,740,814 | PEN | 92,115,000 | 12/20/23 | $ 807,961 |
USD | 14,564,034 | PEN | 54,302,000 | 12/20/23 | 455,563 |
USD | 2,631,159 | PEN | 9,786,858 | 12/20/23 | 88,387 |
USD | 9,791,412 | PEN | 37,469,000 | 12/20/23 | 56,405 |
USD | 9,515,814 | PEN | 36,496,000 | 12/20/23 | 33,607 |
USD | 716,319 | PEN | 2,667,000 | 12/20/23 | 23,393 |
USD | 683,552 | PEN | 2,545,000 | 12/20/23 | 22,323 |
USD | 421,617 | PEN | 1,572,000 | 12/20/23 | 13,188 |
USD | 9,307,492 | PEN | 35,778,000 | 12/20/23 | 11,833 |
USD | 76,105 | PEN | 283,080 | 12/20/23 | 2,557 |
USD | 19,875 | PEN | 74,000 | 12/20/23 | 649 |
$2,160,151 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 236,941 | EUR | 223,547 | Bank of America, N.A. | 11/3/23 | $ 397 | $ ��� — |
USD | 381,535 | EUR | 360,719 | Goldman Sachs International | 11/3/23 | — | (156) |
USD | 1,616,449 | EUR | 1,522,000 | UBS AG | 11/3/23 | 5,957 | — |
USD | 484,158 | EUR | 457,913 | UBS AG | 11/3/23 | — | (378) |
USD | 1,129,865 | EUR | 1,068,616 | UBS AG | 11/3/23 | — | (883) |
USD | 554,814 | EUR | 526,271 | UBS AG | 11/3/23 | — | (2,055) |
USD | 24,139,753 | PEN | 92,526,000 | Standard Chartered Bank | 11/13/23 | 64,973 | — |
AUD | 18,000,000 | USD | 11,503,850 | BNP Paribas | 12/20/23 | — | (67,163) |
AUD | 19,000,000 | USD | 12,267,901 | Citibank, N.A. | 12/20/23 | — | (195,842) |
AUD | 28,000,000 | USD | 18,086,600 | Citibank, N.A. | 12/20/23 | — | (296,197) |
AUD | 16,745,000 | USD | 10,820,540 | Standard Chartered Bank | 12/20/23 | — | (181,244) |
MXN | 178,500,144 | USD | 10,139,685 | BNP Paribas | 12/20/23 | — | (315,422) |
MXN | 334,154,000 | USD | 19,259,597 | Citibank, N.A. | 12/20/23 | — | (868,481) |
MXN | 16,044,253 | USD | 922,761 | Goldman Sachs International | 12/20/23 | — | (39,720) |
MXN | 26,660,503 | USD | 1,534,629 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (67,292) |
MXN | 390,302,000 | USD | 22,505,521 | Standard Chartered Bank | 12/20/23 | — | (1,024,141) |
MXN | 375,518,000 | USD | 21,566,274 | UBS AG | 12/20/23 | — | (898,573) |
USD | 6,606,811 | CAD | 8,888,742 | State Street Bank and Trust Company | 12/20/23 | 191,578 | — |
USD | 39,409 | CAD | 54,320 | UBS AG | 12/20/23 | 205 | — |
USD | 8,238,139 | CNH | 60,000,000 | Goldman Sachs International | 12/20/23 | 38,680 | — |
USD | 52,109,365 | CNH | 379,459,877 | JPMorgan Chase Bank, N.A. | 12/20/23 | 253,265 | — |
USD | 4,064,029 | MXN | 73,689,000 | State Street Bank and Trust Company | 12/20/23 | 8,345 | — |
USD | 3,935,769 | MXN | 71,477,000 | State Street Bank and Trust Company | 12/20/23 | 1,829 | — |
USD | 3,912,933 | MXN | 71,428,900 | State Street Bank and Trust Company | 12/20/23 | — | (18,360) |
USD | 2,002,906 | MXN | 36,822,000 | State Street Bank and Trust Company | 12/20/23 | — | (23,698) |
USD | 74,294,907 | MXN | 1,321,178,900 | UBS AG | 12/20/23 | 1,580,070 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 344,941 | NZD | 584,452 | UBS AG | 12/20/23 | $ 4,385 | $ — |
USD | 2,762,531 | ZAR | 52,996,681 | Goldman Sachs International | 12/20/23 | — | (69,191) |
USD | 4,632,150 | ZAR | 88,405,846 | Goldman Sachs International | 12/20/23 | — | (91,558) |
USD | 4,814,253 | ZAR | 92,089,424 | Goldman Sachs International | 12/20/23 | — | (106,276) |
USD | 10,855,069 | ZAR | 208,377,157 | Goldman Sachs International | 12/20/23 | — | (278,954) |
USD | 15,984,538 | ZAR | 305,999,999 | Goldman Sachs International | 12/20/23 | — | (365,676) |
USD | 2,794,882 | ZAR | 53,618,698 | HSBC Bank USA, N.A. | 12/20/23 | — | (70,076) |
USD | 4,631,007 | ZAR | 88,405,846 | HSBC Bank USA, N.A. | 12/20/23 | — | (92,700) |
USD | 4,810,923 | ZAR | 92,089,424 | HSBC Bank USA, N.A. | 12/20/23 | — | (109,606) |
USD | 12,971,092 | ZAR | 247,549,400 | HSBC Bank USA, N.A. | 12/20/23 | — | (255,985) |
USD | 15,978,278 | ZAR | 306,000,000 | HSBC Bank USA, N.A. | 12/20/23 | — | (371,936) |
USD | 10,807,250 | ZAR | 207,229,020 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (265,426) |
USD | 12,898,017 | ZAR | 246,010,320 | UBS AG | 12/20/23 | — | (246,824) |
ZAR | 163,058,916 | USD | 8,585,437 | HSBC Bank USA, N.A. | 12/20/23 | 127,138 | — |
ZAR | 81,529,458 | USD | 4,323,352 | HSBC Bank USA, N.A. | 12/20/23 | 32,936 | — |
ZAR | 167,426,211 | USD | 8,831,076 | Standard Chartered Bank | 12/20/23 | 114,853 | — |
ZAR | 81,529,459 | USD | 4,324,967 | State Street Bank and Trust Company | 12/20/23 | 31,321 | — |
USD | 60,580,803 | BRL | 298,000,000 | BNP Paribas | 1/3/24 | 1,882,411 | — |
USD | 64,284,720 | BRL | 323,140,000 | BNP Paribas | 1/3/24 | 634,389 | — |
USD | 548,087 | EUR | 515,477 | State Street Bank and Trust Company | 1/31/24 | 327 | — |
USD | 619,073 | EUR | 582,777 | State Street Bank and Trust Company | 1/31/24 | — | (202) |
USD | 732,860 | HKD | 5,725,056 | State Street Bank and Trust Company | 1/31/24 | 165 | — |
USD | 14,485,050 | SAR | 54,500,000 | Standard Chartered Bank | 3/14/24 | — | (29,821) |
USD | 7,606,557 | BHD | 2,900,000 | Standard Chartered Bank | 3/18/24 | — | (70,274) |
OMR | 4,666,500 | USD | 12,101,605 | Standard Chartered Bank | 4/8/24 | 11,833 | — |
USD | 11,776,656 | OMR | 4,666,500 | BNP Paribas | 4/8/24 | — | (336,781) |
OMR | 4,664,971 | USD | 12,097,326 | Standard Chartered Bank | 4/22/24 | 10,920 | — |
USD | 11,825,022 | OMR | 4,664,971 | Standard Chartered Bank | 4/22/24 | — | (283,225) |
OMR | 2,000,000 | USD | 5,183,496 | Standard Chartered Bank | 7/8/24 | 3,833 | — |
USD | 8,189,339 | OMR | 3,237,000 | BNP Paribas | 7/8/24 | — | (206,353) |
USD | 5,155,499 | OMR | 2,039,000 | Standard Chartered Bank | 7/15/24 | — | (132,617) |
USD | 954,425 | OMR | 378,000 | BNP Paribas | 7/29/24 | — | (25,777) |
USD | 23,985,158 | OMR | 9,293,625 | BNP Paribas | 7/29/24 | — | (114,393) |
USD | 4,828,281 | SAR | 18,220,000 | Standard Chartered Bank | 6/18/25 | — | (10,987) |
$4,999,810 | $(7,534,243) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 4,340 | Long | 12/29/23 | $ 453,428,283 | $ (3,058,595) |
U.S. 10-Year Treasury Note | 38 | Long | 12/19/23 | 4,034,531 | 10,514 |
Futures Contracts (continued) | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures (continued) | |||||
U.S. Ultra 10-Year Treasury Note | 212 | Long | 12/19/23 | $ 23,071,563 | $ (1,207,102) |
U.S. Ultra-Long Treasury Bond | 49 | Long | 12/19/23 | 5,515,562 | (710,524) |
Euro-Bobl | (42) | Short | 12/7/23 | (5,167,952) | 4,531 |
Euro-Bund | (18) | Short | 12/7/23 | (2,456,718) | 22,658 |
Euro-Buxl | (1) | Short | 12/7/23 | (127,416) | 7,617 |
Japan 10-Year Bond | (193) | Short | 12/13/23 | (183,036,451) | 2,799,566 |
U.S. 2-Year Treasury Note | (77) | Short | 12/29/23 | (15,586,484) | 41,929 |
U.S. 10-Year Treasury Note | (174) | Short | 12/19/23 | (18,473,906) | 641,057 |
U.S. Long Treasury Bond | (1,562) | Short | 12/19/23 | (170,941,375) | 7,280,094 |
U.S. Ultra-Long Treasury Bond | (370) | Short | 12/19/23 | (41,648,125) | 1,077,312 |
$ 6,909,057 |
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 | $ 943,103 |
EUR | 19,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.69% (pays upon termination) | 11/15/32 | 3,414,728 |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 687,577 |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 687,577 |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 686,988 |
EUR | 5,260 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 765,571 |
EUR | 5,003 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.79% (pays upon termination) | 8/15/42 | (1,140,523) |
EUR | 19,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.89% (pays upon termination) | 11/15/42 | (3,985,629) |
EUR | 5,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (806,978) |
EUR | 5,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (806,978) |
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 | $ (808,615) |
EUR | 5,260 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | (936,531) |
EUR | 5,870 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | (96,121) |
EUR | 20,500 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.72% (pays upon termination) | 6/15/53 | 269,715 |
USD | 19,500 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.09% (pays upon termination) | 4/2/29 | (1,267,550) |
USD | 25,300 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.22% (pays upon termination) | 11/14/32 | (3,236,865) |
USD | 24,200 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (1,076,562) |
USD | 8,500 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (384,364) |
USD | 25,300 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.20% (pays upon termination) | 11/14/42 | 3,647,173 |
USD | 16,200 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 904,940 |
USD | 8,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 444,177 |
USD | 8,500 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 532,151 |
USD | 2,309 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.13% (pays upon termination) | 8/22/47 | 387,833 |
USD | 2,295 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.15% (pays upon termination) | 8/25/47 | 379,565 |
USD | 4,400 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.42% (pays upon termination) | 6/8/48 | 468,527 |
USD | 7,955 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | 468,432 |
$ 141,341 |
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 | $ 2,527,249 |
$2,527,249 |
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 | 15,913,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.51% (pays semi-annually) | 9/20/28 | $ 545,039 | $ — | $ 545,039 |
CLP | 15,913,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.68% (pays semi-annually) | 9/20/28 | (413,462) | — | (413,462) |
CLP | 65,644,190 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.77% (pays semi-annually) | 6/6/33 | 2,716,291 | 20,572 | 2,736,863 |
CLP | 22,046,810 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.65% (pays semi-annually) | 6/14/33 | 1,018,117 | — | 1,018,117 |
COP | 56,585,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.49% (pays quarterly) | 9/20/28 | 291,123 | — | 291,123 |
CZK | 99,886 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | (210,480) | — | (210,480) |
CZK | 199,772 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (411,028) | — | (411,028) |
CZK | 300,341 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (610,161) | — | (610,161) |
CZK | 386,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.98% (pays annually) | 9/20/33 | (766,773) | — | (766,773) |
INR | 2,127,800 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/28 | 57,676 | — | 57,676 |
JPY | 2,585,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | 1,715,691 | — | 1,715,691 |
JPY | 2,306,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | 1,516,214 | — | 1,516,214 |
JPY | 2,459,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | 1,594,820 | — | 1,594,820 |
JPY | 2,700,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.33% (pays annually) | 9/20/53 | 1,716,378 | — | 1,716,378 |
JPY | 2,500,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.41% (pays annually) | 9/20/53 | 1,302,258 | — | 1,302,258 |
PLN | 180,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.24% (pays annually) | 6/21/33 | (511,459) | — | (511,459) |
USD | 10,000 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (264,750) | — | (264,750) |
USD | 65,150 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (1,721,927) | — | (1,721,927) |
USD | 38,900 | Pays | SOFR (pays annually) | 4.05% (pays annually) | 9/20/28 | (897,621) | — | (897,621) |
USD | 38,900 | Pays | SOFR (pays annually) | 4.06% (pays annually) | 9/20/28 | (893,299) | — | (893,299) |
USD | 44,500 | Pays | SOFR (pays annually) | 3.09% (pays annually) | 11/4/32 | (5,641,201) | — | (5,641,201) |
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 | 44,000 | Pays | SOFR (pays annually) | 3.18% (pays annually) | 2/2/33 | $ (5,267,090) | $ — | $ (5,267,090) |
USD | 18,760 | Pays | SOFR (pays annually) | 3.22% (pays annually) | 6/6/33 | (881,698) | — | (881,698) |
USD | 26,270 | Pays | SOFR (pays annually) | 3.25% (pays annually) | 6/6/33 | (1,213,774) | — | (1,213,774) |
USD | 25,325 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/7/33 | (1,159,130) | — | (1,159,130) |
USD | 23,445 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/14/33 | (1,068,422) | — | (1,068,422) |
ZAR | 14,620 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.54% (pays quarterly) | 2/23/27 | (42,325) | — | (42,325) |
ZAR | 521,034 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.67% (pays quarterly) | 1/19/28 | (795,137) | 235 | (794,902) |
Total | $(10,296,130) | $20,807 | $(10,275,323) |
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 | $ 7,651 | 1.00% (pays quarterly)(1) | 12/20/28 | $ 266,609 | $ (276,617) | $ (10,008) | |
Malaysia | 20,400 | 1.00% (pays quarterly)(1) | 12/20/28 | (356,159) | 468,760 | 112,601 | |
Turkey | 3,201 | 1.00% (pays quarterly)(1) | 12/20/28 | 385,553 | (399,768) | (14,215) | |
Total | $ 296,003 | $ (207,625) | $ 88,378 |
* | 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 | Termination Date | 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)* | 1/13/33 | $ 815,780 |
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)* | 4/8/32 | (73,201) |
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)* | 4/11/32 | (266,760) |
$ 475,819 |
* | At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date. |
Abbreviations: | |
COF | – Cost of Funds 11th District |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
EURIBOR | – Euro Interbank Offered Rate |
FBIL | – Financial Benchmarks India Ltd. |
HICP | – Harmonised Indices of Consumer Prices |
JIBAR | – Johannesburg Interbank Average Rate |
LIBOR | – London Interbank Offered Rate |
MIBOR | – Mumbai Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
PRIBOR | – Prague Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
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 |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EUR | – Euro |
HKD | – Hong Kong Dollar |
INR | – Indian Rupee |
ISK | – Icelandic Krona |
JPY | – Japanese Yen |
MXN | – Mexican Peso |
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 |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $3,277,323,282) | $ 3,006,493,560 |
Affiliated investments, at value (identified cost $422,234,524) | 422,234,524 |
Cash | 1,742,874 |
Deposits for forward commitment securities | 2,051,000 |
Deposits for derivatives collateral: | |
Futures contracts | 817,641 |
Centrally cleared derivatives | 20,212,892 |
OTC derivatives | 4,929,900 |
Foreign currency, at value (identified cost $1,073,498) | 924,905 |
Interest and dividends receivable | 23,612,538 |
Dividends receivable from affiliated investments | 1,784,184 |
Receivable for investments sold | 16,474,557 |
Receivable for TBA sale commitments | 45,240,234 |
Receivable for open forward foreign currency exchange contracts | 4,999,810 |
Receivable for open swap contracts | 3,343,029 |
Receivable for closed swap contracts | 56,913 |
Tax reclaims receivable | 23,675 |
Trustees' deferred compensation plan | 110,961 |
Total assets | $3,555,053,197 |
Liabilities | |
Cash collateral due to brokers | $ 6,660,900 |
Payable for reverse repurchase agreements, including accrued interest of $138,334 | 44,585,989 |
Payable for investments purchased | 7,744,397 |
Payable for when-issued/delayed delivery/forward commitment securities | 409,921,764 |
Payable for securities sold short, at value (proceeds $36,937,339) | 36,045,378 |
TBA sale commitments, at value (proceeds receivable $45,240,234) | 44,687,500 |
Payable for variation margin on open futures contracts | 22,409 |
Payable for variation margin on open centrally cleared derivatives | 859,203 |
Payable for open forward foreign currency exchange contracts | 7,534,243 |
Payable for open swap contracts | 339,961 |
Payable for closed swap contracts | 287,616 |
Payable to affiliates: | |
Investment adviser fee | 1,333,784 |
Trustees' fees | 9,223 |
Trustees' deferred compensation plan | 110,961 |
Interest payable on securities sold short | 731,478 |
Accrued expenses | 715,757 |
Total liabilities | $ 561,590,563 |
Net Assets applicable to investors' interest in Portfolio | $2,993,462,634 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $21,716) | $ 2,174,232 |
Dividend income from affiliated investments | 16,883,998 |
Interest and other income | 141,163,563 |
Total investment income | $160,221,793 |
Expenses | |
Investment adviser fee | $ 14,181,631 |
Trustees’ fees and expenses | 108,500 |
Custodian fee | 1,066,859 |
Legal and accounting services | 220,186 |
Interest expense and fees | 429,096 |
Interest expense on securities sold short | 222,742 |
Miscellaneous | 99,918 |
Total expenses | $ 16,328,932 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 529,551 |
Total expense reductions | $ 529,551 |
Net expenses | $ 15,799,381 |
Net investment income | $144,422,412 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $63,202) | $ (45,821,600) |
Investment transactions - affiliated investments | (4,825,194) |
Written swaptions | 1,597,840 |
Securities sold short | 1,846,619 |
TBA sale commitments | (16,516) |
Futures contracts | 4,508,428 |
Swap contracts | (10,065,314) |
Foreign currency transactions | 36,213,587 |
Forward foreign currency exchange contracts | (43,092,295) |
Non-deliverable bond forward contracts | 802,180 |
Net realized loss | $ (58,852,265) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 20,814,092 |
Investments - affiliated investments | 4,456,489 |
Written swaptions | 4,716,973 |
Securities sold short | 891,961 |
TBA sale commitments | (1,985,696) |
Futures contracts | (25,360,054) |
Swap contracts | (12,199,845) |
Foreign currency | 1,449,938 |
Forward foreign currency exchange contracts | (19,352,596) |
Non-deliverable bond forward contracts | (118,298) |
Net change in unrealized appreciation (depreciation) | $ (26,687,036) |
Net realized and unrealized loss | $ (85,539,301) |
Net increase in net assets from operations | $ 58,883,111 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 144,422,412 | $ 80,926,073 |
Net realized gain (loss) | (58,852,265) | 6,800,331 |
Net change in unrealized appreciation (depreciation) | (26,687,036) | (151,488,276) |
Net increase (decrease) in net assets from operations | $ 58,883,111 | $ (63,761,872) |
Capital transactions: | ||
Contributions | $ 1,068,753,875 | $ 678,901,745 |
Withdrawals | (317,425,020) | (312,950,240) |
Net increase in net assets from capital transactions | $ 751,328,855 | $ 365,951,505 |
Net increase in net assets | $ 810,211,966 | $ 302,189,633 |
Net Assets | ||
At beginning of year | $ 2,183,250,668 | $ 1,881,061,035 |
At end of year | $2,993,462,634 | $2,183,250,668 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.64% (1)(2) | 0.66% (1)(2) | 0.70% (1) | 0.69% (1) | 0.69% |
Net investment income | 5.82% | 4.04% | 4.22% | 2.85% | 4.61% |
Portfolio Turnover | 526% (3) | 400% (3) | 218% (3) | 87% (3) | 39% |
Total Return | 2.94% | (2.97)% | 3.53% | 7.52% | 3.21% |
Net assets, end of year (000’s omitted) | $2,993,463 | $2,183,251 | $1,881,061 | $1,359,116 | $1,367,072 |
(1) | Includes interest and/or dividend expense on securities sold short of 0.01%, 0.02%, 0.03% and 0.01% of average daily net assets for the years ended October 31, 2023, 2022, 2021 and 2020, respectively. |
(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 years ended October 31, 2023 and 2022, respectively). |
(3) | Includes the effect of To-Be-Announced (TBA) transactions. |
backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Portfolio may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 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) | $ 1,021,816,636 | $ 784,344,863 |
U.S. Government and Agency Securities | 12,520,086,143 | 11,718,824,697 |
$13,541,902,779 | $12,503,169,560 |
Aggregate cost | $3,614,172,737 |
Gross unrealized appreciation | $ 100,559,091 |
Gross unrealized depreciation | (376,013,022) |
Net unrealized depreciation | $ (275,453,931) |
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 | $ 15,003,196 |
Mt. Logan Re, Ltd., Series 17, Preference Shares | 1/26/21 | 860 | 572,931 | 1,273,313 |
Sussex Capital, Ltd., Designated Investment Series 5, 5/19 | 5/31/19 | 249 | 212,150 | 13,934 |
Sussex Capital, Ltd., Designated Investment Series 5, 12/19 | 1/17/20 | 791 | 673,953 | 43,067 |
Sussex Capital, Ltd., Designated Investment Series 5, 6/20 | 6/30/20 | 434 | 64,320 | 40,363 |
Sussex Capital, Ltd., Designated Investment Series 5, 4/21 | 4/1/21 | 247 | 195,858 | 9,833 |
Sussex Capital, Ltd., Designated Investment Series 5, 12/21 | 1/24/22 | 958 | 952,280 | 17,860 |
Sussex Capital, Ltd., Designated Investment Series 5, 11/22 | 3/11/22 | 958 | 956,716 | 530,701 |
Sussex Capital, Ltd., Designated Investment Series 15, 12/21 | 1/24/22 | 743 | 738,092 | 13,843 |
Sussex Capital, Ltd., Designated Investment Series 15, 11/22 | 3/11/22 | 721 | 720,077 | 399,431 |
Sussex Capital, Ltd., Series 5, Preference Shares | 12/17/18 | 6,000 | 2,654,676 | 7,276,256 |
Sussex Capital, Ltd., Series 15, Preference Shares | 6/1/21 | 5,000 | 3,541,830 | 5,483,188 |
Sussex Re, Ltd., Series 2020A | 1/21/20 | 4,081,939 | 0 | 154,705 |
Sussex Re, Ltd., Series 2021A | 1/14/21 | 4,154,232 | 0 | 316,137 |
Total Restricted Securities | $17,941,166 | $30,575,827 |
Fair Value | ||||
Consolidated Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Not applicable | $ 652,162* | $ 2,187,835* | $ 39,046,942* | $ 41,886,939 |
Receivable for open forward foreign currency exchange contracts | — | 4,999,810 | — | 4,999,810 |
Receivable/Payable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | — | — | 3,343,029 | 3,343,029 |
Total Asset Derivatives | $ 652,162 | $ 7,187,645 | $ 42,389,971 | $ 50,229,778 |
Derivatives not subject to master netting or similar agreements | $ 652,162 | $ 2,187,835 | $ 39,046,942 | $ 41,886,939 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $ 4,999,810 | $ 3,343,029 | $ 8,342,839 |
Not applicable | $ (356,159)* | $ (27,684)* | $ (42,292,674)* | $ (42,676,517) |
Payable for open forward foreign currency exchange contracts | — | (7,534,243) | — | (7,534,243) |
Payable for open swap contracts | — | — | (339,961) | (339,961) |
Total Liability Derivatives | $(356,159) | $(7,561,927) | $(42,632,635) | $(50,550,721) |
Derivatives not subject to master netting or similar agreements | $(356,159) | $ (27,684) | $(42,292,674) | $(42,676,517) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $(7,534,243) | $ (339,961) | $ (7,874,204) |
* | 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. | $ 2,527,646 | $ — | $ — | $ (2,527,646) | $ — | $ 2,600,000 |
Barclays Bank PLC | 815,780 | — | — | (810,000) | 5,780 | 810,000 |
BNP Paribas | 2,516,800 | (1,065,889) | — | (1,450,911) | — | 1,519,900 |
Goldman Sachs International | 38,680 | (38,680) | — | — | — | — |
HSBC Bank USA, N.A. | 160,074 | (160,074) | — | — | — | — |
JPMorgan Chase Bank, N.A. | 253,265 | (253,265) | — | — | — | — |
Standard Chartered Bank | 206,412 | (206,412) | — | — | — | — |
State Street Bank and Trust Company | 233,565 | (42,260) | (191,305) | — | — | — |
UBS AG | 1,590,617 | (1,148,713) | (441,904) | — | — | — |
$8,342,839 | $(2,915,293) | $(633,209) | $(4,788,557) | $5,780 | $4,929,900 |
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 |
BNP Paribas | $ (1,065,889) | $ 1,065,889 | $ — | $ — | $ — | $ — |
Citibank, N.A. | (1,360,520) | — | 1,360,520 | — | — | — |
Goldman Sachs International | (1,291,492) | 38,680 | 870,280 | — | (382,532) | — |
HSBC Bank USA, N.A. | (900,303) | 160,074 | 393,319 | — | (346,910) | — |
JPMorgan Chase Bank, N.A. | (332,718) | 253,265 | 79,453 | — | — | — |
Standard Chartered Bank | (1,732,309) | 206,412 | 1,525,897 | — | — | — |
State Street Bank and Trust Company | (42,260) | 42,260 | — | — | — | — |
UBS AG | (1,148,713) | 1,148,713 | — | — | — | — |
$(7,874,204) | $2,915,293 | $4,229,469 | $ — | $(729,442) | $ — | |
Total — Deposits for derivatives collateral — OTC derivatives | $4,929,900 |
(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): | ||||
Investment transactions | $ (2,294,655) | $ — | $ — | $ (2,294,655) |
Written swaptions | — | — | 1,597,840 | 1,597,840 |
Futures contracts | — | — | 4,508,428 | 4,508,428 |
Swap contracts | (3,001,827) | — | (7,063,487) | (10,065,314) |
Forward foreign currency exchange contracts | — | (43,092,295) | — | (43,092,295) |
Non-deliverable bond forward contracts | — | — | 802,180 | 802,180 |
Total | $(5,296,482) | $(43,092,295) | $ (155,039) | $(48,543,816) |
Change in unrealized appreciation (depreciation): | ||||
Written swaptions | $ — | $ — | $ 4,716,973 | $ 4,716,973 |
Futures contracts | — | — | (25,360,054) | (25,360,054) |
Swap contracts | 666,954 | — | (12,866,799) | (12,199,845) |
Forward foreign currency exchange contracts | — | (19,352,596) | — | (19,352,596) |
Non-deliverable bond forward contracts | — | — | (118,298) | (118,298) |
Total | $ 666,954 | $(19,352,596) | $(33,628,178) | $(52,313,820) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Purchased Swaptions |
$241,520,000 | $451,575,000 | $805,271,000 | $5,767,000 | $58,962,000 |
Written Swaptions | Swap Contracts |
$46,838,000 | $1,039,501,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
Barclays Bank PLC | 9/29/23 | On Demand(1) | 5.65% | $ 21,055,980 | $ 21,147,242 |
Barclays Bank PLC | 10/16/23 | On Demand(1) | 5.65 | 23,391,675 | 23,438,747 |
Total | $44,447,655 | $44,585,989 |
(1) | Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Counterparty | Repurchase Agreements | Liabilities Available for Offset | Securities Collateral Received(a) | Net Amount(b) |
Bank of America, N.A. | $ 2,730,000 | $ — | $ (2,725,516) | $ 4,484 |
Barclays Bank PLC | 33,839,593 | (33,839,593) | — | — |
JPMorgan Chase Bank, N.A. | 2,836,377 | — | (2,812,832) | 23,545 |
Nomura International PLC | 2,004,555 | — | (1,832,831) | 171,724 |
$41,410,525 | $(33,839,593) | $(7,371,179) | $199,753 |
Counterparty | Reverse Repurchase Agreements* | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(c) |
Barclays Bank PLC | $(44,585,989) | $33,839,593 | $10,746,396 | $ — |
* | Including accrued interest. |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | 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, 4.326%, 8/15/46 | $ 368,705 | $ — | $ — | $ (4,825,194) | $ 4,456,489 | $ — | $ — | $ — |
Short-Term Investments | ||||||||
Liquidity Fund | 459,889,537 | 2,470,443,671 | (2,508,098,684) | — | — | 422,234,524 | 16,883,998 | 422,234,524 |
Total | $(4,825,194) | $4,456,489 | $422,234,524 | $16,883,998 |
• | 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 | $ — | $ 266,889,511 | $ — | $ 266,889,511 |
Closed-End Funds | 89,515,701 | — | — | 89,515,701 |
Collateralized Mortgage Obligations | — | 776,076,837 | — | 776,076,837 |
Commercial Mortgage-Backed Securities | — | 20,366,935 | — | 20,366,935 |
Common Stocks | 1,445,015 | 4,854,627* | — | 6,299,642 |
Convertible Bonds | — | 57,109,962 | — | 57,109,962 |
Convertible Preferred Stocks | 1,313,156 | — | — | 1,313,156 |
Foreign Corporate Bonds | — | 166,490,586 | 0 | 166,490,586 |
Loan Participation Notes | — | — | 15,902,788 | 15,902,788 |
Reinsurance Side Cars | — | — | 63,870,436 | 63,870,436 |
Sovereign Government Bonds | — | 280,515,958 | — | 280,515,958 |
Sovereign Loans | — | 228,074 | — | 228,074 |
U.S. Department of Agriculture Loans | — | 41,944,110 | — | 41,944,110 |
U.S. Government Agency Commercial Mortgage-Backed Securities | — | 13,564,077 | — | 13,564,077 |
U.S. Government Agency Mortgage-Backed Securities | — | 963,987,265 | — | 963,987,265 |
U.S. Government Guaranteed Small Business Administration Loans | — | 13,442,749 | — | 13,442,749 |
U.S. Treasury Obligations | — | 9,987,786 | — | 9,987,786 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 422,234,524 | — | — | 422,234,524 |
Repurchase Agreements | — | 41,410,525 | — | 41,410,525 |
Sovereign Government Securities | — | 120,919,683 | — | 120,919,683 |
U.S. Treasury Obligations | — | 56,657,779 | — | 56,657,779 |
Total Investments | $ 514,508,396 | $ 2,834,446,464 | $ 79,773,224 | $ 3,428,728,084 |
Forward Foreign Currency Exchange Contracts | $ — | $ 7,187,645 | $ — | $ 7,187,645 |
Futures Contracts | 11,885,278 | — | — | 11,885,278 |
Swap Contracts | — | 31,156,855 | — | 31,156,855 |
Total | $ 526,393,674 | $ 2,872,790,964 | $ 79,773,224 | $ 3,478,957,862 |
Liability Description | ||||
TBA Sale Commitments | $ — | $ (44,687,500) | $ — | $ (44,687,500) |
Securities Sold Short | — | (36,045,378) | — | (36,045,378) |
Forward Foreign Currency Exchange Contracts | — | (7,561,927) | — | (7,561,927) |
Futures Contracts | (4,976,221) | — | — | (4,976,221) |
Swap Contracts | — | (38,012,573) | — | (38,012,573) |
Total | $ (4,976,221) | $ (126,307,378) | $ — | $ (131,283,599) |
* | 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) | — | (59,437) | (1,607,239) | — | — | (1,666,676) |
Change in net unrealized appreciation (depreciation) | (11,430) | (1,012,600) | 14,472,178 | — | — | 13,448,148 |
Cost of purchases | — | 16,856,793 | 30,167,165 | — | — | 47,023,958 |
Proceeds from sales, including return of capital | (668,750) | (401,329) | (15,943,411) | — | — | (17,013,490) |
Accrued discount (premium) | — | 109,212 | — | — | — | 109,212 |
Transfers to Level 3 | — | — | — | — | — | — |
Transfers from Level 3(1) | — | — | — | (4,853,497) | (403,306) | (5,256,803) |
Balance as of October 31, 2023 | $ 0 | $15,902,788 | $ 63,870,436 | $ — | $ — | $ 79,773,224 |
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2023 | $ — | $ (1,063,217) | $ 12,321,954 | $ — | $ — | $ 11,258,737 |
* | 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 October 31, 2023 | Valuation Technique | Unobservable Input | Range of Unobservable Input | Impact to Valuation from an Increase to Input* |
Foreign Corporate Bonds | $ 0 | Estimated Recovery Value | Estimated Recovery Value Percentage | 0% | Increase |
Loan Participation Notes | 15,902,788 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 5.46% - 9.79%** | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
** | The weighted average of the unobservable input is 5.54% based on relative principal amounts. |
Boston, Massachusetts
December 22, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
127 funds in the Eaton Vance fund complex (including both funds and portfolios in a hub and spoke structure).
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 03/04/2002 | 03/04/2002 | 6.01% | 7.41% | 7.78% |
Class A with 5.25% Maximum Sales Charge | — | — | 0.45 | 6.26 | 7.20 |
Class C at NAV | 03/04/2002 | 03/04/2002 | 5.22 | 6.59 | 7.13 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 4.22 | 6.59 | 7.13 |
Class I at NAV | 09/11/2015 | 03/04/2002 | 6.26 | 7.67 | 7.99 |
Russell 3000® Index | — | — | 8.38% | 10.23% | 10.52% |
MSCI EAFE Index | — | — | 14.40 | 4.10 | 3.05 |
ICE BofA Fixed Rate Preferred Securities Index | — | — | 2.18 | 1.29 | 3.82 |
Blended Index | — | — | 8.43 | 8.79 | 9.16 |
% 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 | 5.84% | 7.07% | 7.10% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | 3.71 | 5.86 | 6.17 |
Class C After Taxes on Distributions | 03/04/2002 | 03/04/2002 | 5.17 | 6.37 | 6.55 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | 3.14 | 5.20 | 5.65 |
Class I After Taxes on Distributions | 09/11/2015 | 03/04/2002 | 6.04 | 7.28 | 7.27 |
Class I After Taxes on Distributions and Sale of Fund Shares | — | — | 3.92 | 6.07 | 6.34 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
1.21% | 1.96% | 0.96% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $19,927 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $2,157,981 | N.A. |
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 in which it invests. Debt obligations are hybrid instruments, as determined by the investment adviser. These instruments have characteristics of both equity and debt. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. |
Fund profile subject to change due to active management. | |
Additional Information | |
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. MSCI Golden Dragon Index is an unmanaged index of common stocks traded in China, Hong Kong and Taiwan. MSCI ACWI Index is an unmanaged free-float-adjusted, market-capitalization-weighted index designed to measure the equity market performance of developed and emerging markets. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 980.70 | $6.04 | 1.21% |
Class C | $1,000.00 | $ 977.10 | $9.77 | 1.96% |
Class I | $1,000.00 | $ 982.20 | $4.80 | 0.96% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.11 | $6.16 | 1.21% |
Class C | $1,000.00 | $1,015.33 | $9.96 | 1.96% |
Class I | $1,000.00 | $1,020.37 | $4.89 | 0.96% |
* | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolios. |
Investments in Affiliated Portfolios — 95.7% |
Description | Value | ||
Tax-Managed Growth Portfolio (identified cost, $76,559,526) | $ 224,209,992 | ||
Tax-Managed International Equity Portfolio (identified cost, $26,939,566) | 28,601,923 | ||
Tax-Managed Multi-Cap Growth Portfolio (identified cost, $33,690,179) | 91,990,603 | ||
Tax-Managed Small-Cap Portfolio (identified cost, $54,431,410) | 55,786,684 | ||
Tax-Managed Value Portfolio (identified cost, $102,898,841) | 155,524,594 | ||
Total Investments in Affiliated Portfolios (identified cost $294,519,522) | $556,113,796 |
Debt Obligations — 3.7%(1) |
Security | Principal Amount (000's omitted) | Value | |
Banks — 2.2% | |||
Banco Davivienda S.A., 6.65% to 4/22/31(2)(3)(4) | $ | 200 | $ 121,000 |
Banco Mercantil del Norte S.A./Grand Cayman, 8.375% to 10/14/30(2)(3)(4) | 600 | 547,764 | |
Bank of America Corp., Series TT, 6.125% to 4/27/27(3)(4) | 950 | 895,584 | |
Bank of Nova Scotia (The), 4.90% to 6/4/25(3)(4) | 775 | 709,146 | |
Barclays PLC: | |||
6.125% to 12/15/25(3)(4) | 471 | 421,295 | |
8.00% to 3/15/29(3)(4) | 526 | 466,562 | |
BNP Paribas S.A.: | |||
4.625% to 2/25/31(2)(3)(4) | 203 | 141,283 | |
7.75% to 8/16/29(2)(3)(4) | 675 | 627,530 | |
Citigroup, Inc., Series W, 4.00% to 12/10/25(3)(4) | 1,038 | 893,804 | |
Farm Credit Bank of Texas, Series 3, 6.20% to 6/15/28(2)(3)(4) | 473 | 428,065 | |
Huntington Bancshares, Inc., Series F, 5.625% to 7/15/30(3)(4) | 395 | 309,148 | |
ING Groep NV, 6.50% to 4/16/25(3)(4) | 243 | 227,585 | |
JPMorgan Chase & Co., Series KK, 3.65% to 6/1/26(3)(4) | 789 | 686,409 | |
KeyCorp, Series D, 5.00% to 9/15/26(3)(4) | 975 | 651,837 | |
Lloyds Banking Group PLC, 7.50% to 6/27/24(3)(4) | 600 | 585,265 | |
Natwest Group PLC: | |||
4.60% to 6/28/31(3)(4) | 200 | 129,516 | |
6.00% to 12/29/25(3)(4) | 229 | 210,361 | |
8.00% to 8/10/25(3)(4) | 778 | 756,123 | |
PNC Financial Services Group, Inc. (The), Series U, 6.00% to 5/15/27(3)(4) | 800 | 672,608 | |
Societe Generale S.A.: | |||
5.375% to 11/18/30(2)(3)(4) | 506 | 364,171 |
Security | Principal Amount (000's omitted) | Value | |
Banks (continued) | |||
Societe Generale S.A.: (continued) | |||
9.375% to 11/22/27(2)(3)(4) | $ | 200 | $ 193,575 |
Standard Chartered PLC, 4.75% to 1/14/31(2)(3)(4) | 577 | 402,797 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(4) | 775 | 762,261 | |
Truist Financial Corp.: | |||
Series P, 4.95% to 9/1/25(3)(4) | 125 | 113,680 | |
Series Q, 5.10% to 3/1/30(3)(4) | 134 | 107,988 | |
UBS Group AG: | |||
4.375% to 2/10/31(2)(3)(4) | 419 | 291,940 | |
6.875% to 8/7/25(3)(4)(5) | 348 | 328,994 | |
Wells Fargo & Co., Series BB, 3.90% to 3/15/26(3)(4) | 784 | 679,559 | |
$ 12,725,850 | |||
Capital Markets — 0.2% | |||
Charles Schwab Corp. (The): | |||
Series G, 5.375% to 6/1/25(3)(4) | $ | 651 | $ 621,417 |
Series I, 4.00% to 6/1/26(3)(4) | 467 | 371,228 | |
$ 992,645 | |||
Diversified Financial Services — 0.2% | |||
Air Lease Corp., Series B, 4.65% to 6/15/26(3)(4) | $ | 410 | $ 349,993 |
American AgCredit Corp., Series A, 5.25% to 6/15/26(2)(3)(4) | 914 | 840,880 | |
Goldman Sachs Group, Inc. (The), Series V, 4.125% to 11/10/26(3)(4) | 143 | 113,480 | |
$ 1,304,353 | |||
Electric Utilities — 0.3% | |||
Dominion Energy, Inc., Series C, 4.35% to 1/15/27(3)(4) | $ | 583 | $ 477,273 |
Edison International, Series B, 5.00% to 12/15/26(3)(4) | 199 | 177,600 | |
Emera, Inc., Series 16-A, 6.75% to 6/15/26, 6/15/76(4) | 450 | 424,884 | |
Sempra, 4.125% to 1/1/27, 4/1/52(4) | 581 | 448,233 | |
Southern California Edison Co., Series E, 9.838%, (3 mo. SOFR + 4.461%)(3)(6) | 249 | 248,651 | |
$ 1,776,641 | |||
Food Products — 0.1% | |||
Land O' Lakes, Inc., 8.00%(2)(3) | $ | 824 | $ 733,360 |
$ 733,360 | |||
Independent Power and Renewable Electricity Producers — 0.1% | |||
Algonquin Power & Utilities Corp., 4.75% to 1/18/27, 1/18/82(4) | $ | 408 | $ 322,526 |
$ 322,526 |
Security | Principal Amount (000's omitted) | Value | |
Insurance — 0.2% | |||
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(2)(4) | $ | 258 | $ 205,278 |
Lincoln National Corp., Series C, 9.25% to 12/1/27(3)(4) | 175 | 176,574 | |
QBE Insurance Group, Ltd., 5.875% to 5/12/25(2)(3)(4) | 1,004 | 962,054 | |
$ 1,343,906 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
EnLink Midstream Partners, L.P., Series C, 9.78%, (3 mo. SOFR + 4.372%)(3)(6) | $ | 658 | $ 586,805 |
Odebrecht Oil & Gas Finance, Ltd., 0.00%(2)(3) | 550 | 11,351 | |
Plains All American Pipeline, L.P., Series B, 9.736%, (3 mo. SOFR + 4.372%)(3)(6) | 442 | 417,563 | |
$ 1,015,719 | |||
Pipelines — 0.1% | |||
Enbridge, Inc., Series NC5, 8.25% to 10/15/28, 1/15/84(4) | $ | 400 | $ 383,572 |
Energy Transfer, L.P., Series B, 6.625% to 2/15/28(3)(4) | 359 | 278,674 | |
$ 662,246 | |||
Telecommunications — 0.1% | |||
Rogers Communications, Inc., 5.25% to 3/15/27, 3/15/82(2)(4) | $ | 450 | $ 396,567 |
$ 396,567 | |||
Total Debt Obligations (identified cost $23,978,344) | $ 21,273,813 |
Preferred Stocks — 0.7% |
Security | Shares | Value | |
Capital Markets — 0.1% | |||
Stifel Financial Corp., Series D, 4.50% | 36,350 | $ 563,061 | |
$ 563,061 | |||
Electric Utilities — 0.1% | |||
Brookfield BRP Holdings Canada, Inc., 4.625% | 24,000 | $ 328,080 | |
SCE Trust III, Series H, 5.75% to 3/15/24(4) | 6,321 | 152,589 | |
SCE Trust IV, Series J, 5.375% to 9/15/25(4) | 2,004 | 39,379 | |
$ 520,048 | |||
Insurance — 0.1% | |||
American Equity Investment Life Holding Co., Series B, 6.625% to 9/1/25(4) | 12,251 | $ 280,793 |
Security | Shares | Value | |
Insurance (continued) | |||
Athene Holding, Ltd., Series C, 6.375% to 6/30/25(4) | 9,631 | $ 233,744 | |
$ 514,537 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
NuStar Energy, L.P., Series B, 11.315% (3 mo. SOFR + 5.905%)(6) | 53,257 | $ 1,336,751 | |
$ 1,336,751 | |||
Pipelines — 0.1% | |||
Energy Transfer, L.P.: | |||
Series C, 10.156%, (3 mo. SOFR + 4.53%) | 15,000 | $ 375,150 | |
Series E, 7.60% to 5/15/24(4) | 14,960 | 369,811 | |
$ 744,961 | |||
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 2,080 | $ 20,384 | |
Series A-1, 6.50% | 14,575 | 164,115 | |
Series A2, 6.375% | 19,390 | 212,708 | |
$ 397,207 | |||
Retail REITs — 0.0%(7) | |||
SITE Centers Corp., Series A, 6.375% | 5,457 | $ 108,540 | |
$ 108,540 | |||
Total Preferred Stocks (identified cost $5,251,923) | $ 4,185,105 | ||
Total Investments — 100.1% (identified cost $323,749,789) | $581,572,714 | ||
Other Assets, Less Liabilities — (0.1)% | $ (406,394) | ||
Net Assets — 100.0% | $581,166,320 |
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 October 31, 2023, the aggregate value of these securities is $6,267,615 or 1.1% 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 October 31, 2023, the aggregate value of these securities is $328,994 or 0.1% of the Fund's net assets. |
(6) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(7) | Amount is less than 0.05%. |
Abbreviations: | |
REITs | – Real Estate Investment Trusts |
SOFR | – Secured Overnight Financing Rate |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $29,230,267) | $ 25,458,918 |
Affiliated investments, at value (identified cost $294,519,522) | 556,113,796 |
Interest and dividends receivable | 258,998 |
Receivable for Fund shares sold | 183,749 |
Total assets | $582,015,461 |
Liabilities | |
Payable for Fund shares redeemed | $ 402,267 |
Payable to affiliates: | |
Investment adviser fee | 84,038 |
Administration fee | 75,684 |
Distribution and service fees | 116,935 |
Trustees' fees | 42 |
Accrued expenses | 170,175 |
Total liabilities | $ 849,141 |
Net Assets | $581,166,320 |
Sources of Net Assets | |
Paid-in capital | $ 198,385,562 |
Distributable earnings | 382,780,758 |
Net Assets | $581,166,320 |
Class A Shares | |
Net Assets | $ 406,566,878 |
Shares Outstanding | 15,058,098 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 27.00 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 28.50 |
Class C Shares | |
Net Assets | $ 32,698,086 |
Shares Outstanding | 1,321,531 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 24.74 |
Class I Shares | |
Net Assets | $ 141,901,356 |
Shares Outstanding | 5,256,918 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 26.99 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $4,464) | $ 754,390 |
Dividend income allocated from affiliated Portfolios (net of foreign taxes withheld of $201,995) | 8,920,148 |
Interest income | 1,478,208 |
Securities lending income allocated from affiliated Portfolios, net | 34,259 |
Expenses allocated from affiliated Portfolios | (3,340,658) |
Total investment income | $ 7,846,347 |
Expenses | |
Investment adviser fee | $ 1,013,492 |
Administration fee | 896,487 |
Distribution and service fees: | |
Class A | 1,060,703 |
Class C | 358,106 |
Trustees’ fees and expenses | 500 |
Custodian fee | 45,610 |
Transfer and dividend disbursing agent fees | 315,152 |
Legal and accounting services | 77,051 |
Printing and postage | 17,803 |
Registration fees | 50,084 |
Miscellaneous | 16,603 |
Total expenses | $ 3,851,591 |
Net investment income | $ 3,994,756 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (3,757,946) |
Foreign currency transactions | 41 |
Net realized gain (loss) allocated from affiliated Portfolios: | |
Investment transactions (net of foreign capital gains taxes of $49) | 16,065,609 (1) |
Foreign currency transactions | 4,671 |
Net realized gain | $12,312,375 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 3,173,583 |
Change in unrealized appreciation (depreciation) allocated from affiliated Portfolios: | |
Investments | 14,338,143 |
Foreign currency | 10,354 |
Net change in unrealized appreciation (depreciation) | $17,522,080 |
Net realized and unrealized gain | $29,834,455 |
Net increase in net assets from operations | $33,829,211 |
(1) | Includes $13,930,792 of net realized gains from redemptions in-kind. |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 3,994,756 | $ 3,553,648 |
Net realized gain | 12,312,375 (1) | 12,614,643 (2) |
Net change in unrealized appreciation (depreciation) | 17,522,080 | (133,749,189) |
Net increase (decrease) in net assets from operations | $ 33,829,211 | $(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 | $ (20,159,478) | $ (10,281,966) |
Class C | (3,587,785) | (818,985) |
Class I | 10,104,782 | 5,460,422 |
Net decrease in net assets from Fund share transactions | $ (13,642,481) | $ (5,640,529) |
Net increase (decrease) in net assets | $ 15,630,508 | $(141,520,901) |
Net Assets | ||
At beginning of year | $ 565,535,812 | $ 707,056,713 |
At end of year | $581,166,320 | $ 565,535,812 |
(1) | Includes $13,930,792 of net realized gains from redemptions in-kind. |
(2) | Includes $12,229,272 of net realized gains from redemptions in-kind. |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 25.670 | $ 31.710 | $ 23.070 | $ 22.370 | $ 20.450 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.180 | $ 0.157 | $ 0.102 | $ 0.165 | $ 0.193 |
Net realized and unrealized gain (loss) | 1.351 | (5.384) | 8.690 | 0.969 | 2.122 |
Total income (loss) from operations | $ 1.531 | $ (5.227) | $ 8.792 | $ 1.134 | $ 2.315 |
Less Distributions | |||||
From net investment income | $ (0.143) | $ (0.104) | $ (0.152) | $ (0.154) | $ (0.163) |
From net realized gain | (0.058) | (0.709) | — | (0.280) | (0.232) |
Total distributions | $ (0.201) | $ (0.813) | $ (0.152) | $ (0.434) | $ (0.395) |
Net asset value — End of year | $ 27.000 | $ 25.670 | $ 31.710 | $ 23.070 | $ 22.370 |
Total Return(2) | 6.01% | (16.91)% | 38.24% | 5.07% | 11.75% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $406,567 | $405,236 | $513,507 | $373,289 | $379,547 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.22% (4) | 1.25% (4) | 1.26% | 1.28% | 1.33% |
Net investment income | 0.66% | 0.56% | 0.35% | 0.74% | 0.91% |
Portfolio Turnover of the Fund(5) | 4% | 5% | 6% | 7% | 7% |
(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) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
(5) | 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 | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 23.570 | $ 29.230 | $ 21.310 | $ 20.700 | $ 18.930 |
Income (Loss) From Operations | |||||
Net investment income (loss)(1) | $ (0.022) | $ (0.049) | $ (0.102) | $ 0.001 | $ 0.043 |
Net realized and unrealized gain (loss) | 1.250 | (4.963) | 8.022 | 0.889 | 1.965 |
Total income (loss) from operations | $ 1.228 | $ (5.012) | $ 7.920 | $ 0.890 | $ 2.008 |
Less Distributions | |||||
From net investment income | $ — | $ — | $ — | $ — | $ (0.006) |
From net realized gain | (0.058) | (0.648) | — | (0.280) | (0.232) |
Total distributions | $ (0.058) | $ (0.648) | $ — | $ (0.280) | $ (0.238) |
Net asset value — End of year | $24.740 | $23.570 | $29.230 | $21.310 | $20.700 |
Total Return(2) | 5.22% | (17.53)% | 37.17% | 4.29% | 10.88% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 32,698 | $ 34,490 | $ 43,788 | $ 44,822 | $ 56,979 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.97% (4) | 2.00% (4) | 2.01% | 2.03% | 2.08% |
Net investment income (loss) | (0.09)% | (0.19)% | (0.38)% | 0.00% (5) | 0.23% |
Portfolio Turnover of the Fund(6) | 4% | 5% | 6% | 7% | 7% |
(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) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
(5) | Amount is less than 0.005%. |
(6) | 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 | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 25.670 | $ 31.700 | $ 23.060 | $ 22.360 | $ 20.450 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.246 | $ 0.227 | $ 0.172 | $ 0.220 | $ 0.244 |
Net realized and unrealized gain (loss) | 1.345 | (5.369) | 8.678 | 0.968 | 2.113 |
Total income (loss) from operations | $ 1.591 | $ (5.142) | $ 8.850 | $ 1.188 | $ 2.357 |
Less Distributions | |||||
From net investment income | $ (0.213) | $ (0.179) | $ (0.210) | $ (0.208) | $ (0.215) |
From net realized gain | (0.058) | (0.709) | — | (0.280) | (0.232) |
Total distributions | $ (0.271) | $ (0.888) | $ (0.210) | $ (0.488) | $ (0.447) |
Net asset value — End of year | $ 26.990 | $ 25.670 | $ 31.700 | $23.060 | $22.360 |
Total Return(2) | 6.26% | (16.68)% | 38.56% | 5.31% | 12.02% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $141,901 | $125,810 | $149,762 | $ 97,355 | $ 89,758 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 0.97% (4) | 1.00% (4) | 1.01% | 1.03% | 1.08% |
Net investment income | 0.90% | 0.81% | 0.60% | 0.99% | 1.16% |
Portfolio Turnover of the Fund(5) | 4% | 5% | 6% | 7% | 7% |
(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) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
(5) | 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. |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $3,277,650 | $ 3,810,323 |
Long-term capital gains | $1,278,572 | $14,489,151 |
Undistributed ordinary income | $ 2,751,180 |
Deferred capital losses | (1,765,695) |
Net unrealized appreciation | 381,687,043 |
Other temporary differences | 108,230 |
Distributable earnings | $382,780,758 |
Aggregate cost | $199,885,675 |
Gross unrealized appreciation | $ 385,743,338 |
Gross unrealized depreciation | (4,056,299) |
Net unrealized appreciation | $381,687,039 |
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 | $7,063,745 | $9,925,427 |
Tax-Managed International Equity Portfolio | 1,867,293 | 2,624,799 |
Tax-Managed Multi-Cap Growth Portfolio | 2,799,912 | 3,936,168 |
Tax-Managed Small-Cap Portfolio | 2,592,511 | 3,644,601 |
Tax-Managed Value Portfolio | 6,429,427 | 9,038,609 |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 638,605 | $ 17,459,127 | 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 | (1,481,156) | (40,524,392) | (1,423,673) | (39,982,878) | |
Net decrease | (728,732) | $(20,159,478) | (409,508) | $(10,281,966) | |
Class C | |||||
Sales | 264,803 | $ 6,591,501 | 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 | (409,940) | (10,263,929) | (370,961) | (9,466,799) | |
Net decrease | (141,543) | $ (3,587,785) | (34,893) | $ (818,985) | |
Class I | |||||
Sales | 1,016,149 | $ 27,963,225 | 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 | (709,260) | (19,104,473) | (759,383) | (20,970,701) | |
Net increase | 355,810 | $ 10,104,782 | 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 | $ 556,113,796 | $ — | $ — | $ 556,113,796 |
Debt Obligations | — | 21,273,813 | — | 21,273,813 |
Preferred Stocks | 4,185,105 | — | — | 4,185,105 |
Total Investments | $ 560,298,901 | $ 21,273,813 | $ — | $581,572,714 |
Boston, Massachusetts
December 22, 2023
127 funds in the Eaton Vance fund complex (including both funds and portfolios in a hub and spoke structure).
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 11/30/2005 | 11/30/2005 | 9.00% | 5.54% | 5.36% |
Class A with 5.25% Maximum Sales Charge | — | — | 3.32 | 4.40 | 4.80 |
Class C at NAV | 11/30/2005 | 11/30/2005 | 8.17 | 4.76 | 4.74 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 7.17 | 4.76 | 4.74 |
Class I at NAV | 01/31/2006 | 11/30/2005 | 9.28 | 5.82 | 5.64 |
Class R at NAV | 01/31/2006 | 11/30/2005 | 8.64 | 5.25 | 5.09 |
MSCI World Index | — | — | 10.48% | 8.26% | 7.53% |
ICE BofA Developed Markets High Yield Ex-Subordinated Financial Index | — | — | 8.34 | 2.21 | 3.00 |
Blended Index | — | — | 9.83 | 6.24 | 6.02 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R |
Gross | 1.19% | 1.94% | 0.94% | 1.44% |
Net | 1.17 | 1.92 | 0.92 | 1.42 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $15,893 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,731,856 | N.A. |
Class R | $10,000 | 10/31/2013 | $16,438 | N.A. |
Country Allocation (% of net assets) |
Asset Allocation (% of net assets)1 |
Top 10 Holdings (% of net assets)2 | |
Microsoft Corp. | 3.0% |
Eli Lilly & Co. | 2.7 |
Alphabet, Inc., Class C | 2.3 |
Novo Nordisk A/S, Class B | 2.1 |
Apple, Inc. | 1.8 |
Amazon.com, Inc. | 1.8 |
EOG Resources, Inc. | 1.8 |
Nestle S.A. | 1.2 |
ConocoPhillips | 1.1 |
ASML Holding NV | 1.2 |
Total | 19.0% |
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. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. 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 | |
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. MSCI Golden Dragon Index is an unmanaged index of common stocks traded in China, Hong Kong and Taiwan. MSCI ACWI Index is an unmanaged free-float-adjusted, market-capitalization-weighted index designed to measure the equity market performance of developed and emerging markets. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. ICE BofA Fixed Rate Preferred Securities Index is an unmanaged index of fixed-rate, preferred securities issued in the U.S. | |
Important Notice to Shareholders | |
On June 16, 2023, the Fund received its pro rata share of net assets from Global Income Builder Portfolio, the Portfolio the Fund previously invested in, and the Portfolio was terminated. As of June 17, 2023, the Fund invests its assets directly. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 982.20 | $5.85** | 1.17% |
Class C | $1,000.00 | $ 978.20 | $9.57** | 1.92% |
Class I | $1,000.00 | $ 984.30 | $4.60** | 0.92% |
Class R | $1,000.00 | $ 980.90 | $7.09** | 1.42% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.31 | $5.96** | 1.17% |
Class C | $1,000.00 | $1,015.53 | $9.75** | 1.92% |
Class I | $1,000.00 | $1,020.57 | $4.69** | 0.92% |
Class R | $1,000.00 | $1,018.05 | $7.22** | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio for the period when the Fund’s assets were invested in the Portfolio. |
** | Absent an allocation of certain expenses to affiliate(s), expenses would be higher. |
Common Stocks — 59.1% |
Security | Shares | Value | |
Aerospace & Defense — 0.6% | |||
Safran S.A. | 7,792 | $ 1,217,262 | |
$ 1,217,262 | |||
Air Freight & Logistics — 0.7% | |||
GXO Logistics, Inc.(1) | 31,745 | $ 1,603,440 | |
$ 1,603,440 | |||
Automobiles — 0.3% | |||
Tesla, Inc.(1) | 2,944 | $ 591,273 | |
$ 591,273 | |||
Banks — 3.6% | |||
Banco Santander S.A. | 290,347 | $ 1,067,877 | |
Barclays PLC | 693,961 | 1,113,839 | |
Citigroup, Inc. | 27,113 | 1,070,692 | |
HDFC Bank, Ltd. | 20,527 | 1,160,802 | |
HSBC Holdings PLC | 112,340 | 811,141 | |
ING Groep NV | 21,302 | 273,103 | |
KBC Group NV | 9,095 | 500,542 | |
Toronto-Dominion Bank (The) | 15,881 | 887,069 | |
Truist Financial Corp. | 33,223 | 942,204 | |
$ 7,827,269 | |||
Beverages — 1.2% | |||
Coca-Cola Co. (The) | 28,687 | $ 1,620,529 | |
Diageo PLC | 25,220 | 953,719 | |
$ 2,574,248 | |||
Biotechnology — 0.5% | |||
CSL, Ltd. | 6,801 | $ 1,005,134 | |
$ 1,005,134 | |||
Broadline Retail — 1.8% | |||
Amazon.com, Inc.(1) | 29,102 | $ 3,873,185 | |
$ 3,873,185 | |||
Capital Markets — 0.8% | |||
Intercontinental Exchange, Inc. | 8,465 | $ 909,480 | |
Stifel Financial Corp. | 14,243 | 811,851 | |
$ 1,721,331 |
Security | Shares | Value | |
Chemicals — 0.3% | |||
Sika AG | 2,412 | $ 577,214 | |
$ 577,214 | |||
Commercial Services & Supplies — 0.5% | |||
Waste Management, Inc. | 6,246 | $ 1,026,405 | |
$ 1,026,405 | |||
Consumer Staples Distribution & Retail — 0.7% | |||
Dollar Tree, Inc.(1) | 13,788 | $ 1,531,709 | |
$ 1,531,709 | |||
Electric Utilities — 1.1% | |||
Iberdrola S.A. | 121,658 | $ 1,353,083 | |
NextEra Energy, Inc. | 17,114 | 997,746 | |
$ 2,350,829 | |||
Electrical Equipment — 1.3% | |||
AMETEK, Inc. | 8,132 | $ 1,144,742 | |
Schneider Electric SE | 11,379 | 1,750,742 | |
$ 2,895,484 | |||
Electronic Equipment, Instruments & Components — 2.1% | |||
CDW Corp. | 10,288 | $ 2,061,715 | |
Halma PLC | 32,859 | 738,945 | |
Keyence Corp. | 1,441 | 557,838 | |
Keysight Technologies, Inc.(1) | 3,906 | 476,727 | |
TE Connectivity, Ltd. | 5,950 | 701,207 | |
$ 4,536,432 | |||
Entertainment — 0.9% | |||
Walt Disney Co. (The)(1) | 23,877 | $ 1,948,124 | |
$ 1,948,124 | |||
Financial Services — 1.0% | |||
Fidelity National Information Services, Inc. | 16,581 | $ 814,293 | |
Visa, Inc., Class A | 6,111 | 1,436,696 | |
$ 2,250,989 | |||
Food Products — 1.7% | |||
Mondelez International, Inc., Class A | 17,633 | $ 1,167,481 | |
Nestle S.A. | 23,016 | 2,482,016 | |
$ 3,649,497 |
Security | Shares | Value | |
Ground Transportation — 0.5% | |||
Union Pacific Corp. | 5,593 | $ 1,161,163 | |
$ 1,161,163 | |||
Health Care Equipment & Supplies — 2.0% | |||
Alcon, Inc. | 12,334 | $ 882,820 | |
Boston Scientific Corp.(1) | 37,678 | 1,928,737 | |
Intuitive Surgical, Inc.(1) | 3,598 | 943,467 | |
Straumann Holding AG | 5,681 | 671,404 | |
$ 4,426,428 | |||
Health Care Providers & Services — 0.5% | |||
Elevance Health, Inc. | 297 | $ 133,676 | |
UnitedHealth Group, Inc. | 1,971 | 1,055,589 | |
$ 1,189,265 | |||
Health Care REITs — 0.3% | |||
Healthpeak Properties, Inc. | 45,280 | $ 704,104 | |
$ 704,104 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
Amadeus IT Group S.A. | 15,389 | $ 878,293 | |
Compass Group PLC | 88,133 | 2,221,953 | |
InterContinental Hotels Group PLC | 13,654 | 967,557 | |
$ 4,067,803 | |||
Industrial Conglomerates — 0.6% | |||
Siemens AG | 9,149 | $ 1,214,062 | |
$ 1,214,062 | |||
Insurance — 2.5% | |||
AIA Group, Ltd. | 125,697 | $ 1,091,528 | |
Allstate Corp. (The) | 8,160 | 1,045,541 | |
Assurant, Inc. | 7,504 | 1,117,345 | |
AXA S.A. | 35,341 | 1,047,169 | |
RenaissanceRe Holdings, Ltd. | 5,247 | 1,152,189 | |
$ 5,453,772 | |||
Interactive Media & Services — 2.3% | |||
Alphabet, Inc., Class C(1) | 39,100 | $ 4,899,230 | |
$ 4,899,230 | |||
IT Services — 0.6% | |||
Accenture PLC, Class A | 4,592 | $ 1,364,237 | |
$ 1,364,237 |
Security | Shares | Value | |
Leisure Products — 0.2% | |||
Yamaha Corp. | 18,018 | $ 481,259 | |
$ 481,259 | |||
Life Sciences Tools & Services — 0.9% | |||
Danaher Corp. | 6,580 | $ 1,263,491 | |
Lonza Group AG | 920 | 322,188 | |
Sartorius AG, PFC Shares | 1,688 | 423,080 | |
$ 2,008,759 | |||
Machinery — 0.7% | |||
Ingersoll Rand, Inc. | 23,257 | $ 1,411,235 | |
$ 1,411,235 | |||
Media — 0.5% | |||
Dentsu Group, Inc. | 32,268 | $ 937,255 | |
National CineMedia, Inc.(1) | 23,245 | 90,888 | |
$ 1,028,143 | |||
Metals & Mining — 0.8% | |||
Anglo American PLC | 26,945 | $ 686,547 | |
Rio Tinto, Ltd. | 13,256 | 990,198 | |
$ 1,676,745 | |||
Multi-Utilities — 0.2% | |||
CMS Energy Corp. | 8,329 | $ 452,598 | |
$ 452,598 | |||
Oil, Gas & Consumable Fuels — 3.3% | |||
Chevron Corp. | 5,756 | $ 838,822 | |
ConocoPhillips | 20,774 | 2,467,951 | |
EOG Resources, Inc. | 30,347 | 3,831,309 | |
Phillips 66 | 868 | 99,013 | |
$ 7,237,095 | |||
Personal Care Products — 0.2% | |||
Kose Corp. | 7,521 | $ 498,274 | |
$ 498,274 | |||
Pharmaceuticals — 7.0% | |||
AstraZeneca PLC | 11,766 | $ 1,473,146 | |
Eli Lilly & Co. | 10,732 | 5,944,777 | |
Novo Nordisk A/S, Class B | 48,268 | 4,656,713 | |
Sanofi S.A. | 15,044 | 1,366,089 | |
Zoetis, Inc. | 11,704 | 1,837,528 | |
$ 15,278,253 |
Security | Shares | Value | |
Professional Services — 1.4% | |||
Recruit Holdings Co., Ltd. | 37,283 | $ 1,069,004 | |
RELX PLC | 25,998 | 908,050 | |
Verisk Analytics, Inc. | 4,558 | 1,036,307 | |
$ 3,013,361 | |||
Semiconductors & Semiconductor Equipment — 4.0% | |||
ASML Holding NV | 4,097 | $ 2,462,791 | |
Infineon Technologies AG | 51,712 | 1,510,518 | |
Micron Technology, Inc. | 23,558 | 1,575,324 | |
NVIDIA Corp. | 4,433 | 1,807,777 | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 15,529 | 1,340,308 | |
$ 8,696,718 | |||
Software — 4.8% | |||
Adobe, Inc.(1) | 4,091 | $ 2,176,658 | |
Intuit, Inc. | 3,746 | 1,854,083 | |
Microsoft Corp. | 19,085 | 6,452,829 | |
$ 10,483,570 | |||
Specialty Retail — 1.4% | |||
Lowe's Cos., Inc. | 6,848 | $ 1,305,023 | |
TJX Cos., Inc. (The) | 20,379 | 1,794,779 | |
$ 3,099,802 | |||
Technology Hardware, Storage & Peripherals — 1.8% | |||
Apple, Inc. | 23,190 | $ 3,960,156 | |
$ 3,960,156 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
LVMH Moet Hennessy Louis Vuitton SE | 1,625 | $ 1,163,387 | |
$ 1,163,387 | |||
Trading Companies & Distributors — 1.1% | |||
Ashtead Group PLC | 18,089 | $ 1,037,448 | |
IMCD NV | 11,141 | 1,341,327 | |
$ 2,378,775 | |||
Total Common Stocks (identified cost $89,874,271) | $128,528,019 |
Convertible Bonds — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
Electric Utilities — 0.1% | |||
NextEra Energy Partners, L.P., 2.50%, 6/15/26(2) | $ | 236 | $ 204,612 |
$ 204,612 | |||
Leisure Products — 0.1% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26 | $ | 310 | $ 230,198 |
$ 230,198 | |||
Transportation — 0.1% | |||
CryoPort, Inc., 0.75%, 12/1/26(2) | $ | 364 | $ 286,869 |
$ 286,869 | |||
Total Convertible Bonds (identified cost $797,528) | $ 721,679 |
Corporate Bonds — 36.9% |
Security | Principal Amount (000's omitted)* | Value | |
Advertising — 0.0%(3) | |||
Stagwell Global, LLC, 5.625%, 8/15/29(2) | 75 | $ 62,073 | |
$ 62,073 | |||
Aerospace & Defense — 0.9% | |||
Moog, Inc., 4.25%, 12/15/27(2) | 170 | $ 151,539 | |
Rolls-Royce PLC, 5.75%, 10/15/27(2) | 492 | 466,814 | |
Spirit AeroSystems, Inc.: | |||
4.60%, 6/15/28 | 69 | 54,655 | |
9.375%, 11/30/29(2) | 26 | 26,733 | |
TransDigm, Inc.: | |||
4.625%, 1/15/29 | 185 | 159,723 | |
5.50%, 11/15/27 | 106 | 98,788 | |
6.25%, 3/15/26(2) | 419 | 409,742 | |
6.75%, 8/15/28(2) | 221 | 214,864 | |
7.50%, 3/15/27 | 327 | 326,937 | |
$ 1,909,795 | |||
Airlines — 0.1% | |||
American Airlines, Inc., 7.25%, 2/15/28(2) | 57 | $ 53,068 | |
Deutsche Lufthansa AG, 3.50%, 7/14/29(4) | EUR | 200 | 190,136 |
$ 243,204 |
Security | Principal Amount (000's omitted)* | Value | |
Auto Components — 0.1% | |||
Forvia SE: | |||
2.75%, 2/15/27(4) | EUR | 100 | $ 96,409 |
3.75%, 6/15/28(4) | EUR | 100 | 96,650 |
$ 193,059 | |||
Automobile Components — 0.6% | |||
Clarios Global, L.P./Clarios US Finance Co.: | |||
4.375%, 5/15/26(4) | EUR | 578 | $ 586,764 |
8.50%, 5/15/27(2) | 194 | 191,371 | |
IHO Verwaltungs GmbH, 6.375%, (6.375% cash or 7.125% PIK), 5/15/29(2)(5) | 200 | 174,487 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(2) | 111 | 88,410 | |
TI Automotive Finance PLC, 3.75%, 4/15/29(4) | EUR | 200 | 177,008 |
Wheel Pros, Inc., 6.50%, 5/15/29(2) | 174 | 52,990 | |
$ 1,271,030 | |||
Automobiles — 0.6% | |||
Ford Motor Co.: | |||
3.25%, 2/12/32 | 364 | $ 275,014 | |
4.75%, 1/15/43 | 197 | 137,092 | |
9.625%, 4/22/30 | 26 | 29,020 | |
Ford Motor Credit Co., LLC: | |||
3.37%, 11/17/23 | 200 | 199,942 | |
4.125%, 8/17/27 | 555 | 504,477 | |
5.125%, 6/16/25 | 200 | 194,786 | |
$ 1,340,331 | |||
Automotives — 0.1% | |||
Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/29(2) | 213 | $ 167,796 | |
Goodyear Tire & Rubber Co. (The), 5.00%, 7/15/29 | 184 | 158,522 | |
$ 326,318 | |||
Banks — 1.5% | |||
Banco Mercantil del Norte S.A./Grand Cayman, 7.625% to 1/10/28(2)(6)(7) | 200 | $ 181,383 | |
Bank of America Corp., Series TT, 6.125% to 4/27/27(6)(7) | 89 | 83,902 | |
Bank of Nova Scotia (The), 8.625% to 10/27/27, 10/27/82(7) | 200 | 196,149 | |
Barclays PLC, 8.00% to 3/15/29(6)(7) | 200 | 177,400 | |
BNP Paribas S.A., 7.75% to 8/16/29(2)(6)(7) | 200 | 185,935 | |
Citigroup, Inc., Series W, 4.00% to 12/10/25(6)(7) | 226 | 194,605 | |
Farm Credit Bank of Texas, Series 3, 6.20% to 6/15/28(2)(6)(7) | 220 | 199,100 | |
HSBC Holdings PLC, 4.60% to 12/17/30(6)(7) | 200 | 145,102 |
Security | Principal Amount (000's omitted)* | Value | |
Banks (continued) | |||
Huntington Bancshares, Inc., Series F, 5.625% to 7/15/30(6)(7) | 125 | $ 97,832 | |
JPMorgan Chase & Co.: | |||
Series KK, 3.65% to 6/1/26(6)(7) | 251 | 218,363 | |
Series S, 6.75% to 2/1/24(6)(7) | 215 | 214,971 | |
Lloyds Banking Group PLC, 7.50% to 9/27/25(6)(7) | 200 | 186,060 | |
PNC Financial Services Group, Inc. (The), Series V, 6.20% to 9/15/27(6)(7) | 100 | 89,219 | |
Regions Financial Corp., Series D, 5.75% to 6/15/25(6)(7) | 75 | 68,985 | |
Societe Generale S.A., 5.375% to 11/18/30(2)(6)(7) | 200 | 143,941 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(7) | 200 | 196,712 | |
Truist Financial Corp., Series Q, 5.10% to 3/1/30(6)(7) | 174 | 140,223 | |
UBS Group AG, 4.375% to 2/10/31(2)(6)(7) | 200 | 139,351 | |
UniCredit SpA, 7.296% to 4/2/29, 4/2/34(2)(7) | 200 | 185,652 | |
Wells Fargo & Co., Series BB, 3.90% to 3/15/26(6)(7) | 217 | 188,092 | |
$ 3,232,977 | |||
Biotechnology — 0.4% | |||
Grifols Escrow Issuer S.A.: | |||
3.875%, 10/15/28(4) | EUR | 600 | $ 530,289 |
4.75%, 10/15/28(2) | 280 | 235,441 | |
Grifols S.A., 3.20%, 5/1/25(4) | EUR | 100 | 101,632 |
$ 867,362 | |||
Building Products — 0.6% | |||
Builders FirstSource, Inc.: | |||
4.25%, 2/1/32(2) | 204 | $ 162,599 | |
5.00%, 3/1/30(2) | 90 | 78,641 | |
Emerald Debt Merger Sub, LLC, 6.625%, 12/15/30(2) | 47 | 44,767 | |
PGT Innovations, Inc., 4.375%, 10/1/29(2) | 134 | 125,223 | |
Standard Industries, Inc.: | |||
2.25%, 11/21/26(4) | EUR | 400 | 372,450 |
4.375%, 7/15/30(2) | 275 | 224,945 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(2) | 346 | 320,365 | |
$ 1,328,990 | |||
Capital Markets — 0.1% | |||
Charles Schwab Corp. (The), Series I, 4.00% to 6/1/26(6)(7) | 259 | $ 205,885 | |
$ 205,885 | |||
Casino & Gaming — 0.1% | |||
Cinemark USA, Inc.: | |||
5.875%, 3/15/26(2) | 67 | $ 63,687 |
Security | Principal Amount (000's omitted)* | Value | |
Casino & Gaming (continued) | |||
Cinemark USA, Inc.: (continued) | |||
8.75%, 5/1/25(2) | 29 | $ 29,334 | |
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(2) | 250 | 223,384 | |
$ 316,405 | |||
Chemicals — 0.5% | |||
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(2) | 139 | $ 94,048 | |
Avient Corp., 7.125%, 8/1/30(2) | 102 | 98,243 | |
Herens Holdco S.a.r.l., 4.75%, 5/15/28(2) | 201 | 155,882 | |
Herens Midco S.a.r.l., 5.25%, 5/15/29(4) | EUR | 100 | 60,268 |
NOVA Chemicals Corp.: | |||
4.25%, 5/15/29(2) | 203 | 150,332 | |
4.875%, 6/1/24(2) | 106 | 104,285 | |
Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30(2) | 236 | 204,994 | |
Olympus Water US Holding Corp., 9.75%, 11/15/28(2) | 237 | 231,774 | |
Valvoline, Inc., 3.625%, 6/15/31(2) | 128 | 97,464 | |
$ 1,197,290 | |||
Commercial Services & Supplies — 2.1% | |||
Adtalem Global Education, Inc., 5.50%, 3/1/28(2) | 290 | $ 264,399 | |
APi Group DE, Inc., 4.75%, 10/15/29(2) | 55 | 47,153 | |
Clean Harbors, Inc.: | |||
4.875%, 7/15/27(2) | 101 | 94,262 | |
5.125%, 7/15/29(2) | 61 | 54,933 | |
6.375%, 2/1/31(2) | 38 | 36,164 | |
Covanta Holding Corp., 4.875%, 12/1/29(2) | 430 | 336,062 | |
EC Finance PLC, 3.00%, 10/15/26(4) | EUR | 149 | 146,469 |
Gartner, Inc.: | |||
3.75%, 10/1/30(2) | 187 | 155,058 | |
4.50%, 7/1/28(2) | 151 | 136,086 | |
GFL Environmental, Inc.: | |||
3.50%, 9/1/28(2) | 265 | 227,209 | |
3.75%, 8/1/25(2) | 130 | 123,100 | |
4.75%, 6/15/29(2) | 343 | 300,609 | |
HealthEquity, Inc., 4.50%, 10/1/29(2) | 250 | 214,462 | |
Hertz Corp. (The): | |||
4.625%, 12/1/26(2) | 29 | 24,319 | |
5.00%, 12/1/29(2) | 230 | 165,410 | |
IPD 3 B.V., 8.00%, 6/15/28(4) | EUR | 200 | 213,888 |
Korn Ferry, 4.625%, 12/15/27(2) | 233 | 212,173 | |
Madison IAQ, LLC, 5.875%, 6/30/29(2) | 323 | 250,575 | |
Metis Merger Sub, LLC, 6.50%, 5/15/29(2) | 439 | 359,182 | |
NESCO Holdings II, Inc., 5.50%, 4/15/29(2) | 206 | 176,848 |
Security | Principal Amount (000's omitted)* | Value | |
Commercial Services & Supplies (continued) | |||
Paprec Holding S.A., 3.50%, 7/1/28(4) | EUR | 352 | $ 330,737 |
Team Health Holdings, Inc., 6.375%, 2/1/25(2) | 235 | 186,465 | |
Tervita Corp., 11.00%, 12/1/25(2) | 123 | 128,413 | |
VT Topco, Inc., 8.50%, 8/15/30(2) | 293 | 286,128 | |
$ 4,470,104 | |||
Construction & Engineering — 0.1% | |||
TopBuild Corp., 4.125%, 2/15/32(2) | 201 | $ 159,277 | |
$ 159,277 | |||
Construction Materials — 0.2% | |||
Smyrna Ready Mix Concrete, LLC, 6.00%, 11/1/28(2) | 454 | $ 420,189 | |
$ 420,189 | |||
Consumer Finance — 0.2% | |||
CPUK Finance, Ltd., 4.875%, 2/28/47(4) | GBP | 278 | $ 316,505 |
PRA Group, Inc., 7.375%, 9/1/25(2) | 217 | 203,117 | |
$ 519,622 | |||
Containers & Packaging — 1.1% | |||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC, 3.00%, 9/1/29(4) | EUR | 400 | $ 313,439 |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 2.125%, 8/15/26(4) | EUR | 430 | 394,531 |
Ball Corp., 6.875%, 3/15/28 | 59 | 58,888 | |
Berry Global, Inc., 5.625%, 7/15/27(2) | 117 | 111,806 | |
Canpack S.A./Canpack US, LLC, 3.875%, 11/15/29(2) | 312 | 245,332 | |
Fiber Bidco SpA, 9.955%, (3 mo. EURIBOR + 6.00%), 10/25/27(4)(8) | EUR | 400 | 427,737 |
Kleopatra Finco S.a.r.l., 4.25%, 3/1/26(4) | EUR | 479 | 421,042 |
LABL, Inc., 5.875%, 11/1/28(2) | 66 | 55,976 | |
Schoeller Packaging B.V., 6.375%, 11/1/24(4) | EUR | 350 | 364,965 |
Sealed Air Corp./Sealed Air Corp. US, 6.125%, 2/1/28(2) | 16 | 15,249 | |
$ 2,408,965 | |||
Cosmetics/Personal Care — 0.0%(3) | |||
Edgewell Personal Care Co., 4.125%, 4/1/29(2) | 74 | $ 61,983 | |
$ 61,983 | |||
Distributors — 0.9% | |||
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(2) | 346 | $ 317,682 | |
Parts Europe S.A., 7.993%, (3 mo. EURIBOR + 4.00%), 7/20/27(4)(8) | EUR | 350 | 371,203 |
Performance Food Group, Inc.: | |||
4.25%, 8/1/29(2) | 315 | 266,120 |
Security | Principal Amount (000's omitted)* | Value | |
Distributors (continued) | |||
Performance Food Group, Inc.: (continued) | |||
5.50%, 10/15/27(2) | 169 | $ 158,205 | |
Rexel S.A., 5.25%, 9/15/30(4) | EUR | 300 | 313,608 |
Ritchie Bros Holdings, Inc.: | |||
6.75%, 3/15/28(2) | 71 | 69,667 | |
7.75%, 3/15/31(2) | 132 | 132,495 | |
Windsor Holdings III, LLC, 8.50%, 6/15/30(2) | 252 | 245,628 | |
$ 1,874,608 | |||
Diversified Consumer Services — 0.3% | |||
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC, 7.125%, 7/31/26(4) | 750 | $ 722,715 | |
$ 722,715 | |||
Diversified Financial Services — 0.4% | |||
Air Lease Corp., Series B, 4.65% to 6/15/26(6)(7) | 100 | $ 85,364 | |
Ally Financial, Inc., 6.70%, 2/14/33 | 40 | 33,640 | |
Alpha Holding S.A. de CV, 9.00%, 2/10/25(2)(9) | 189 | 3,535 | |
American AgCredit Corp., Series A, 5.25% to 6/15/26(2)(6)(7) | 250 | 230,000 | |
Goldman Sachs Group, Inc. (The), Series W, 7.50% to 2/10/29(6)(7) | 125 | 122,907 | |
Intrum AB, 4.875%, 8/15/25(4) | EUR | 100 | 95,190 |
Macquarie Airfinance Holdings, Ltd., 8.125%, 3/30/29(2) | 95 | 93,670 | |
VistaJet Malta Finance PLC/Vista Management Holding, Inc.: | |||
7.875%, 5/1/27(2) | 101 | 77,787 | |
9.50%, 6/1/28(2) | 117 | 89,769 | |
$ 831,862 | |||
Diversified REITs — 0.2% | |||
CTR Partnership, L.P./CareTrust Capital Corp., 3.875%, 6/30/28(2) | 250 | $ 210,323 | |
HAT Holdings I, LLC/HAT Holdings II, LLC, 3.375%, 6/15/26(2) | 327 | 288,196 | |
$ 498,519 | |||
Diversified Telecommunication Services — 0.4% | |||
Level 3 Financing, Inc., 4.25%, 7/1/28(2) | 324 | $ 183,515 | |
Lorca Telecom Bondco S.A., 4.00%, 9/18/27(4) | EUR | 650 | 640,298 |
$ 823,813 | |||
Electric Utilities — 1.3% | |||
Dominion Energy, Inc., Series C, 4.35% to 1/15/27(6)(7) | 93 | $ 76,134 | |
Electricite de France S.A., 7.50% to 9/6/28(4)(6)(7) | EUR | 200 | 214,435 |
Security | Principal Amount (000's omitted)* | Value | |
Electric Utilities (continued) | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(2) | 435 | $ 306,064 | |
FirstEnergy Corp.: | |||
2.65%, 3/1/30 | 53 | 42,802 | |
Series B, 4.15%, 7/15/27 | 257 | 238,092 | |
Imola Merger Corp., 4.75%, 5/15/29(2) | 370 | 322,883 | |
NextEra Energy Operating Partners, L.P., 4.50%, 9/15/27(2) | 90 | 80,672 | |
NRG Energy, Inc.: | |||
3.625%, 2/15/31(2) | 177 | 133,790 | |
3.875%, 2/15/32(2) | 95 | 70,742 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(2) | 152 | 132,648 | |
Sempra, 4.125% to 1/1/27, 4/1/52(7) | 167 | 128,838 | |
Southern California Edison Co., Series E, 9.838%, (3 mo. SOFR + 4.461%)(6)(8) | 101 | 100,858 | |
Southern Co. (The): | |||
Series 21-A, 3.75% to 6/15/26, 9/15/51(7) | 120 | 102,812 | |
Series B, 4.00% to 10/15/25, 1/15/51(7) | 56 | 51,183 | |
TerraForm Power Operating, LLC, 5.00%, 1/31/28(2) | 237 | 217,354 | |
TransAlta Corp., 7.75%, 11/15/29 | 166 | 165,340 | |
Vistra Operations Co., LLC: | |||
4.375%, 5/1/29(2) | 173 | 147,138 | |
5.00%, 7/31/27(2) | 232 | 212,441 | |
$ 2,744,226 | |||
Electronic Equipment, Instruments & Components — 0.3% | |||
Coherent Corp., 5.00%, 12/15/29(2) | 277 | $ 235,429 | |
Energizer Gamma Acquisition B.V., 3.50%, 6/30/29(4) | EUR | 250 | 209,503 |
Sensata Technologies B.V., 5.00%, 10/1/25(2) | 57 | 55,482 | |
WESCO Distribution, Inc., 7.25%, 6/15/28(2) | 153 | 152,192 | |
$ 652,606 | |||
Entertainment — 1.4% | |||
Allwyn Entertainment Financing UK PLC, 7.25%, 4/30/30(4) | EUR | 400 | $ 422,499 |
Boyne USA, Inc., 4.75%, 5/15/29(2) | 276 | 240,563 | |
Caesars Entertainment, Inc.: | |||
6.25%, 7/1/25(2) | 417 | 410,613 | |
7.00%, 2/15/30(2) | 100 | 96,602 | |
8.125%, 7/1/27(2) | 56 | 55,534 | |
CDI Escrow Issuer, Inc., 5.75%, 4/1/30(2) | 233 | 208,406 | |
Cinemark USA, Inc., 5.25%, 7/15/28(2) | 206 | 178,101 | |
Jacobs Entertainment, Inc., 6.75%, 2/15/29(2) | 278 | 236,542 |
Security | Principal Amount (000's omitted)* | Value | |
Entertainment (continued) | |||
LHMC Finco 2 S.a.r.l., 7.25%, (7.25% cash or 8.00% PIK), 10/2/25(4)(5) | EUR | 564 | $ 576,515 |
Light & Wonder International, Inc., 7.00%, 5/15/28(2) | 216 | 210,759 | |
Resorts World Las Vegas, LLC/RWLV Capital, Inc., 8.45%, 7/27/30(2) | 200 | 184,604 | |
SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29(2) | 225 | 196,222 | |
$ 3,016,960 | |||
Financial Services — 1.6% | |||
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(2) | 145 | $ 145,815 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp.: | |||
6.625%, 7/15/26(2) | 485 | 454,603 | |
9.75%, 7/15/27(2) | 203 | 176,563 | |
Ally Financial, Inc., Series B, 4.70% to 5/15/26(6)(7) | 270 | 176,100 | |
Compass Group Diversified Holdings, LLC, 5.25%, 4/15/29(2) | 254 | 217,164 | |
Encore Capital Group, Inc., 5.375%, 2/15/26(4) | GBP | 180 | 200,283 |
GTCR W-2 Merger Sub, LLC/GTCR W Dutch Finance Sub B.V., 8.50%, 1/15/31(4) | GBP | 200 | 244,609 |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(2) | 315 | 268,781 | |
Jefferson Capital Holdings, LLC, 6.00%, 8/15/26(2) | 343 | 299,898 | |
Louvre Bidco S.A.S., 6.50%, 9/30/24(4) | EUR | 258 | 268,762 |
Oxford Finance, LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/1/27(2) | 160 | 145,968 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: | |||
2.875%, 10/15/26(2) | 156 | 135,987 | |
3.625%, 3/1/29(2) | 202 | 164,429 | |
4.00%, 10/15/33(2) | 30 | 22,085 | |
Sherwood Financing PLC, 6.00%, 11/15/26(4) | GBP | 420 | 426,636 |
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 6.375%, 2/1/30(2) | 348 | 232,451 | |
$ 3,580,134 | |||
Food Products — 0.7% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC: | |||
4.875%, 2/15/30(2) | 138 | $ 123,363 | |
5.875%, 2/15/28(2) | 181 | 173,556 | |
Chobani, LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25(2) | 160 | 157,318 | |
Darling Ingredients, Inc., 6.00%, 6/15/30(2) | 215 | 201,917 | |
Land O' Lakes, Inc., 8.00%(2)(6) | 235 | 209,150 | |
Nomad Foods Bondco PLC, 2.50%, 6/24/28(4) | EUR | 433 | 398,316 |
Pilgrim's Pride Corp., 3.50%, 3/1/32 | 252 | 192,286 | |
$ 1,455,906 |
Security | Principal Amount (000's omitted)* | Value | |
Health Care Equipment & Supplies — 1.5% | |||
Catalent Pharma Solutions, Inc., 2.375%, 3/1/28(4) | EUR | 305 | $ 266,107 |
Compass Minerals International, Inc., 6.75%, 12/1/27(2) | 399 | 376,217 | |
LifePoint Health, Inc.: | |||
5.375%, 1/15/29(2) | 200 | 121,367 | |
9.875%, 8/15/30(2) | 105 | 95,025 | |
Medline Borrower, L.P., 5.25%, 10/1/29(2) | 531 | 452,522 | |
ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29(2) | 137 | 99,983 | |
Molina Healthcare, Inc.: | |||
3.875%, 11/15/30(2) | 245 | 200,115 | |
3.875%, 5/15/32(2) | 189 | 148,734 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(2) | 240 | 224,643 | |
Tenet Healthcare Corp.: | |||
4.375%, 1/15/30 | 17 | 14,395 | |
4.875%, 1/1/26 | 290 | 278,204 | |
5.125%, 11/1/27 | 138 | 127,524 | |
6.125%, 10/1/28 | 289 | 268,302 | |
6.875%, 11/15/31 | 133 | 122,772 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(2) | 400 | 340,698 | |
Varex Imaging Corp., 7.875%, 10/15/27(2) | 202 | 198,223 | |
$ 3,334,831 | |||
Health Care Providers & Services — 0.7% | |||
AMN Healthcare, Inc., 4.00%, 4/15/29(2) | 290 | $ 240,521 | |
Cerba Healthcare SACA, 3.50%, 5/31/28(4) | EUR | 500 | 431,394 |
IQVIA, Inc., 2.875%, 6/15/28(4) | EUR | 150 | 141,557 |
Legacy LifePoint Health, LLC, 4.375%, 2/15/27(2) | 173 | 143,215 | |
ModivCare, Inc., 5.875%, 11/15/25(2) | 207 | 195,834 | |
Verisure Holding AB, 3.25%, 2/15/27(4) | EUR | 335 | 321,233 |
$ 1,473,754 | |||
Healthcare-Services — 0.3% | |||
AHP Health Partners, Inc., 5.75%, 7/15/29(2) | 75 | $ 61,571 | |
Fortrea Holdings, Inc., 7.50%, 7/1/30(2) | 294 | 284,077 | |
Heartland Dental, LLC/Heartland Dental Finance Corp., 10.50%, 4/30/28(2) | 374 | 359,930 | |
$ 705,578 | |||
Home Builders — 0.0%(3) | |||
Ashton Woods USA, LLC/Ashton Woods Finance Co.: | |||
4.625%, 8/1/29(2) | 48 | $ 38,887 | |
4.625%, 4/1/30(2) | 48 | 37,213 | |
$ 76,100 |
Security | Principal Amount (000's omitted)* | Value | |
Hotels, Restaurants & Leisure — 0.4% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.: | |||
3.875%, 1/15/28(2) | 286 | $ 255,589 | |
4.375%, 1/15/28(2) | 182 | 164,037 | |
5.75%, 4/15/25(2) | 66 | 65,523 | |
Lithia Motors, Inc., 4.625%, 12/15/27(2) | 91 | 82,197 | |
Viking Cruises, Ltd., 5.875%, 9/15/27(2) | 279 | 251,603 | |
$ 818,949 | |||
Household Products — 0.2% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(2) | 96 | $ 91,842 | |
Spectrum Brands, Inc., 3.875%, 3/15/31(2) | 105 | 84,154 | |
Tempur Sealy International, Inc., 3.875%, 10/15/31(2) | 301 | 225,804 | |
$ 401,800 | |||
Housewares — 0.1% | |||
ProGroup AG, 3.00%, 3/31/26(4) | EUR | 163 | $ 161,256 |
$ 161,256 | |||
Independent Power and Renewable Electricity Producers — 0.3% | |||
Algonquin Power & Utilities Corp., 4.75% to 1/18/27, 1/18/82(7) | 113 | $ 89,327 | |
Calpine Corp.: | |||
5.125%, 3/15/28(2) | 273 | 244,576 | |
5.25%, 6/1/26(2) | 50 | 47,900 | |
NRG Energy, Inc., 10.25% to 3/15/28(2)(6)(7) | 174 | 168,158 | |
$ 549,961 | |||
Industrial Conglomerates — 0.3% | |||
Abertis Infraestructuras Finance B.V., 3.248% to 11/24/25(4)(6)(7) | EUR | 200 | $ 196,045 |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(2) | 162 | 153,338 | |
Gatwick Airport Finance PLC, 4.375%, 4/7/26(4) | GBP | 245 | 275,898 |
Paprec Holding S.A., 4.00%, 3/31/25(4) | EUR | 115 | 120,384 |
$ 745,665 | |||
Insurance — 0.7% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(2) | 96 | $ 87,756 | |
Corebridge Financial, Inc., 6.875% to 9/15/27, 12/15/52(7) | 187 | 172,985 | |
Galaxy Finco, Ltd., 9.25%, 7/31/27(4) | GBP | 525 | 572,705 |
Jones DesLauriers Insurance Management, Inc., 10.50%, 12/15/30(2) | 243 | 241,407 |
Security | Principal Amount (000's omitted)* | Value | |
Insurance (continued) | |||
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(2)(7) | 216 | $ 171,860 | |
Lincoln National Corp., Series C, 9.25% to 12/1/27(6)(7) | 38 | 38,342 | |
Prudential Financial, Inc., 5.125% to 11/28/31, 3/1/52(7) | 60 | 51,128 | |
QBE Insurance Group, Ltd., 5.875% to 5/12/25(2)(6)(7) | 222 | 212,725 | |
$ 1,548,908 | |||
Internet — 0.1% | |||
Cars.com, Inc., 6.375%, 11/1/28(2) | 200 | $ 178,223 | |
$ 178,223 | |||
Internet & Direct Marketing Retail — 0.2% | |||
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(2) | 82 | $ 68,005 | |
6.125%, 12/1/28(2) | 313 | 253,128 | |
Match Group Holdings II, LLC, 3.625%, 10/1/31(2) | 273 | 209,770 | |
$ 530,903 | |||
Leisure Products — 0.7% | |||
Acushnet Co., 7.375%, 10/15/28(2) | 92 | $ 92,256 | |
Life Time, Inc.: | |||
5.75%, 1/15/26(2) | 199 | 192,903 | |
8.00%, 4/15/26(2) | 278 | 271,281 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 5/15/28(2) | 91 | 87,615 | |
Lindblad Expeditions, LLC, 6.75%, 2/15/27(2) | 44 | 40,136 | |
NCL Corp., Ltd.: | |||
3.625%, 12/15/24(2) | 54 | 51,123 | |
5.875%, 3/15/26(2) | 106 | 95,229 | |
5.875%, 2/15/27(2) | 67 | 61,739 | |
7.75%, 2/15/29(2) | 56 | 48,920 | |
NCL Finance, Ltd., 6.125%, 3/15/28(2) | 136 | 113,843 | |
Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27(2) | 201 | 218,194 | |
Viking Cruises, Ltd., 7.00%, 2/15/29(2) | 104 | 94,208 | |
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29(2) | 66 | 58,565 | |
$ 1,426,012 | |||
Life Sciences Tools & Services — 0.1% | |||
W.R. Grace Holdings, LLC: | |||
4.875%, 6/15/27(2) | 245 | $ 220,404 | |
7.375%, 3/1/31(2) | 73 | 67,736 | |
$ 288,140 | |||
Machinery — 0.4% | |||
Chart Industries, Inc., 9.50%, 1/1/31(2) | 140 | $ 144,365 |
Security | Principal Amount (000's omitted)* | Value | |
Machinery (continued) | |||
IMA Industria Macchine Automatiche SpA, 3.75%, 1/15/28(4) | EUR | 236 | $ 224,800 |
Renk AG, 5.75%, 7/15/25(4) | EUR | 200 | 209,088 |
TK Elevator Midco GmbH, 8.715%, (3 mo. EURIBOR + 4.75%), 7/15/27(4)(8) | EUR | 200 | 212,017 |
$ 790,270 | |||
Media — 2.1% | |||
Altice Financing S.A., 5.00%, 1/15/28(2) | 200 | $ 162,816 | |
Altice France S.A., 8.125%, 2/1/27(2) | 458 | 386,598 | |
Audacy Capital Corp., 6.75%, 3/31/29(2)(9) | 261 | 4,442 | |
Beasley Mezzanine Holdings, LLC, 8.625%, 2/1/26(2) | 308 | 203,665 | |
CCO Holdings, LLC/CCO Holdings Capital Corp.: | |||
4.25%, 2/1/31(2) | 338 | 263,293 | |
4.50%, 8/15/30(2) | 343 | 275,486 | |
4.75%, 3/1/30(2) | 322 | 266,086 | |
4.75%, 2/1/32(2) | 139 | 108,633 | |
5.375%, 6/1/29(2) | 110 | 96,430 | |
6.375%, 9/1/29(2) | 253 | 231,788 | |
Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28(2) | 237 | 181,428 | |
DISH Network Corp., 11.75%, 11/15/27(2) | 160 | 158,622 | |
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(2) | 205 | 159,904 | |
McGraw-Hill Education, Inc.: | |||
5.75%, 8/1/28(2) | 57 | 48,102 | |
8.00%, 8/1/29(2) | 212 | 174,964 | |
Outfront Media Capital, LLC/Outfront Media Capital Corp.: | |||
4.625%, 3/15/30(2) | 101 | 81,150 | |
6.25%, 6/15/25(2) | 137 | 135,248 | |
Summer (BC) Holdco A S.a.r.l., 9.25%, 10/31/27(4) | EUR | 129 | 109,069 |
Summer (BC) Holdco B S.a.r.l., 5.75%, 10/31/26(4) | EUR | 400 | 383,570 |
Townsquare Media, Inc., 6.875%, 2/1/26(2) | 141 | 130,465 | |
Univision Communications, Inc., 7.375%, 6/30/30(2) | 142 | 125,172 | |
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(4) | GBP | 810 | 827,983 |
$ 4,514,914 | |||
Metals & Mining — 1.4% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 200 | $ 199,376 | |
BWX Technologies, Inc.: | |||
4.125%, 6/30/28(2) | 159 | 140,099 | |
4.125%, 4/15/29(2) | 118 | 101,026 | |
Calderys Financing, LLC, 11.25%, 6/1/28(2) | 173 | 174,730 | |
Cleveland-Cliffs, Inc., 6.75%, 3/15/26(2) | 460 | 457,871 | |
Eldorado Gold Corp., 6.25%, 9/1/29(2) | 251 | 215,536 |
Security | Principal Amount (000's omitted)* | Value | |
Metals & Mining (continued) | |||
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 267 | $ 220,043 | |
Hudbay Minerals, Inc.: | |||
4.50%, 4/1/26(2) | 204 | 190,077 | |
6.125%, 4/1/29(2) | 96 | 86,021 | |
New Gold, Inc., 7.50%, 7/15/27(2) | 222 | 208,526 | |
Novelis Corp., 3.25%, 11/15/26(2) | 89 | 79,324 | |
Novelis Sheet Ingot GmbH, 3.375%, 4/15/29(4) | EUR | 400 | 362,882 |
Permian Resources Operating, LLC, 5.375%, 1/15/26(2) | 225 | 216,230 | |
Roller Bearing Co. of America, Inc., 4.375%, 10/15/29(2) | 187 | 158,812 | |
TMS International Corp., 6.25%, 4/15/29(2) | 196 | 154,839 | |
$ 2,965,392 | |||
Oil, Gas & Consumable Fuels — 1.8% | |||
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(2) | 555 | $ 551,764 | |
Civitas Resources, Inc., 8.625%, 11/1/30(2) | 55 | 56,039 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.00%, 5/1/29(2) | 173 | 163,329 | |
CVR Energy, Inc., 5.75%, 2/15/28(2) | 439 | 394,839 | |
Endeavor Energy Resources, L.P./EER Finance, Inc., 5.75%, 1/30/28(2) | 170 | 163,251 | |
EnLink Midstream Partners, L.P., Series C, 9.78%, (3 mo. SOFR + 4.372%)(6)(8) | 145 | 129,311 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(2) | 200 | 198,185 | |
Odebrecht Oil & Gas Finance, Ltd., 0.00%(2)(6) | 862 | 17,776 | |
Parkland Corp.: | |||
4.50%, 10/1/29(2) | 110 | 94,719 | |
4.625%, 5/1/30(2) | 202 | 172,426 | |
Permian Resources Operating, LLC: | |||
5.875%, 7/1/29(2) | 260 | 242,229 | |
7.00%, 1/15/32(2) | 147 | 142,643 | |
Plains All American Pipeline, L.P., Series B, 9.736%, (3 mo. SOFR + 4.372%)(6)(8) | 327 | 308,921 | |
Precision Drilling Corp.: | |||
6.875%, 1/15/29(2) | 152 | 140,886 | |
7.125%, 1/15/26(2) | 99 | 97,641 | |
Southwestern Energy Co., 4.75%, 2/1/32 | 285 | 245,373 | |
Sunoco, L.P./Sunoco Finance Corp., 4.50%, 4/30/30 | 226 | 193,268 | |
Transocean Poseidon, Ltd., 6.875%, 2/1/27(2) | 136 | 133,160 | |
Transocean, Inc., 8.75%, 2/15/30(2) | 84 | 83,424 | |
Vital Energy, Inc., 9.75%, 10/15/30 | 125 | 122,623 | |
Wintershall Dea Finance 2 B.V., Series NC5, 2.499% to 4/20/26(4)(6)(7) | EUR | 400 | 372,424 |
$ 4,024,231 |
Security | Principal Amount (000's omitted)* | Value | |
Packaging & Containers — 0.3% | |||
Owens-Brockway Glass Container, Inc., 7.25%, 5/15/31(2) | 253 | $ 231,811 | |
Trivium Packaging Finance B.V.: | |||
7.531%, (3 mo. EURIBOR + 3.75%), 8/15/26(4)(8) | EUR | 200 | 206,330 |
8.50%, 8/15/27(2) | 200 | 167,184 | |
$ 605,325 | |||
Passenger Airlines — 0.4% | |||
Air Canada, 3.875%, 8/15/26(2) | 101 | $ 91,996 | |
Air France-KLM, 8.125%, 5/31/28(4) | EUR | 300 | 334,138 |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(2) | 262 | 254,715 | |
United Airlines, Inc., 4.625%, 4/15/29(2) | 193 | 163,201 | |
$ 844,050 | |||
Pharmaceuticals — 0.9% | |||
Bayer AG, 5.375% to 6/25/30, 3/25/82(4)(7) | EUR | 200 | $ 193,985 |
BellRing Brands, Inc., 7.00%, 3/15/30(2) | 163 | 158,482 | |
Cheplapharm Arzneimittel GmbH, 8.531%, (3 mo. EURIBOR + 4.75%), 5/15/30(4)(8) | EUR | 300 | 319,811 |
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(2)(9) | 200 | 134,500 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo US, Inc., 6.125%, 4/1/29(2)(9) | 247 | 163,280 | |
Gruenenthal GmbH, 3.625%, 11/15/26(4) | EUR | 220 | 221,356 |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(2) | 217 | 204,412 | |
Option Care Health, Inc., 4.375%, 10/31/29(2) | 163 | 136,411 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(2) | 224 | 150,675 | |
Perrigo Finance Unlimited Co., 4.65%, 6/15/30 | 400 | 334,483 | |
$ 2,017,395 | |||
Pipelines — 1.2% | |||
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: | |||
5.75%, 3/1/27(2) | 102 | $ 97,586 | |
7.875%, 5/15/26(2) | 109 | 109,879 | |
Cheniere Energy Partners, L.P., 4.00%, 3/1/31 | 138 | 115,679 | |
DT Midstream, Inc., 4.125%, 6/15/29(2) | 172 | 148,051 | |
Enbridge, Inc., Series NC5, 8.25% to 10/15/28, 1/15/84(7) | 125 | 119,866 | |
Energy Transfer, L.P.: | |||
5.00%, 5/15/50 | 136 | 102,063 | |
Series B, 6.625% to 2/15/28(6)(7) | 147 | 114,109 |
Security | Principal Amount (000's omitted)* | Value | |
Pipelines (continued) | |||
EQM Midstream Partners, L.P.: | |||
4.50%, 1/15/29(2) | 364 | $ 319,572 | |
6.00%, 7/1/25(2) | 43 | 42,093 | |
6.50%, 7/1/27(2) | 116 | 112,865 | |
7.50%, 6/1/30(2) | 126 | 123,756 | |
Kinetik Holdings, L.P., 5.875%, 6/15/30(2) | 237 | 217,692 | |
New Fortress Energy, Inc., 6.50%, 9/30/26(2) | 307 | 275,264 | |
Venture Global LNG, Inc.: | |||
8.125%, 6/1/28(2) | 139 | 135,051 | |
8.375%, 6/1/31(2) | 222 | 212,010 | |
9.50%, 2/1/29(2) | 131 | 133,170 | |
9.875%, 2/1/32(2) | 132 | 133,929 | |
$ 2,512,635 | |||
Real Estate Investment Trusts (REITs) — 0.4% | |||
Greystar Real Estate Partners, LLC, 7.75%, 9/1/30(2) | 230 | $ 226,278 | |
HAT Holdings I, LLC/HAT Holdings II, LLC, 3.75%, 9/15/30(2) | 266 | 191,236 | |
Heimstaden Bostad AB: | |||
3.00% to 10/29/27(4)(6)(7) | EUR | 115 | 50,612 |
3.375% to 1/15/26(4)(6)(7) | EUR | 300 | 148,427 |
VICI Properties, L.P./VICI Note Co., Inc., 5.625%, 5/1/24(2) | 200 | 198,820 | |
$ 815,373 | |||
Real Estate Management & Development — 0.2% | |||
Cushman & Wakefield US Borrower, LLC, 8.875%, 9/1/31(2) | 108 | $ 102,497 | |
Emeria SASU, 7.75%, 3/31/28(4) | EUR | 340 | 331,613 |
$ 434,110 | |||
Retail — 0.1% | |||
PEU (Fin) PLC, 7.25%, 7/1/28(4) | EUR | 200 | $ 203,586 |
$ 203,586 | |||
Semiconductors & Semiconductor Equipment — 0.1% | |||
ON Semiconductor Corp., 3.875%, 9/1/28(2) | 185 | $ 159,131 | |
$ 159,131 | |||
Software — 0.7% | |||
athenahealth Group, Inc., 6.50%, 2/15/30(2) | 306 | $ 250,330 | |
Central Parent, LLC/CDK Global II, LLC/CDK Financing Co., Inc., 8.00%, 6/15/29(2) | 134 | 132,492 | |
Clarivate Science Holdings Corp., 4.875%, 7/1/29(2) | 329 | 277,890 | |
Cloud Software Group, Inc.: | |||
6.50%, 3/31/29(2) | 122 | 107,227 |
Security | Principal Amount (000's omitted)* | Value | |
Software (continued) | |||
Cloud Software Group, Inc.: (continued) | |||
9.00%, 9/30/29(2) | 239 | $ 203,749 | |
Fair Isaac Corp., 4.00%, 6/15/28(2) | 165 | 147,117 | |
Open Text Corp., 3.875%, 2/15/28(2) | 37 | 32,199 | |
Open Text Holdings, Inc., 4.125%, 2/15/30(2) | 37 | 30,704 | |
Playtika Holding Corp., 4.25%, 3/15/29(2) | 303 | 244,691 | |
$ 1,426,399 | |||
Specialty Retail — 2.6% | |||
Arko Corp., 5.125%, 11/15/29(2) | 247 | $ 200,534 | |
Asbury Automotive Group, Inc.: | |||
4.625%, 11/15/29(2) | 27 | 22,873 | |
4.75%, 3/1/30 | 228 | 193,772 | |
5.00%, 2/15/32(2) | 28 | 22,739 | |
Bath & Body Works, Inc.: | |||
6.625%, 10/1/30(2) | 45 | 41,719 | |
6.75%, 7/1/36 | 80 | 69,086 | |
6.95%, 3/1/33 | 168 | 145,442 | |
7.60%, 7/15/37 | 17 | 14,431 | |
9.375%, 7/1/25(2) | 31 | 31,957 | |
Bausch & Lomb Escrow Corp., 8.375%, 10/1/28(2) | 210 | ���208,845 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(2) | 457 | 454,034 | |
Dufry One B.V., 3.375%, 4/15/28(4) | EUR | 479 | 450,229 |
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28(2) | 273 | 275,723 | |
Ferrellgas, L.P./Ferrellgas Finance Corp., 5.875%, 4/1/29(2) | 246 | 217,303 | |
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(2) | 100 | 84,142 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(2) | 203 | 174,949 | |
IRB Holding Corp., 7.00%, 6/15/25(2) | 98 | 97,358 | |
Ken Garff Automotive, LLC, 4.875%, 9/15/28(2) | 155 | 131,228 | |
Kohl's Corp., 4.625%, 5/1/31 | 129 | 88,352 | |
LCM Investments Holdings II, LLC: | |||
4.875%, 5/1/29(2) | 257 | 215,643 | |
8.25%, 8/1/31(2) | 32 | 30,470 | |
Lithia Motors, Inc., 3.875%, 6/1/29(2) | 86 | 71,242 | |
Midco GB SASU, 7.75%, (7.75% cash or 8.50% PIK), 11/1/27(4)(5) | EUR | 285 | 285,072 |
Patrick Industries, Inc.: | |||
4.75%, 5/1/29(2) | 196 | 159,446 | |
7.50%, 10/15/27(2) | 30 | 28,608 | |
PetSmart, Inc./PetSmart Finance Corp.: | |||
4.75%, 2/15/28(2) | 250 | 221,490 | |
7.75%, 2/15/29(2) | 264 | 243,304 | |
Punch Finance PLC, 6.125%, 6/30/26(4) | GBP | 340 | 356,596 |
Security | Principal Amount (000's omitted)* | Value | |
Specialty Retail (continued) | |||
Sonic Automotive, Inc.: | |||
4.625%, 11/15/29(2) | 172 | $ 143,413 | |
4.875%, 11/15/31(2) | 143 | 114,059 | |
SRS Distribution, Inc., 6.00%, 12/1/29(2) | 244 | 203,391 | |
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., 5.00%, 6/1/31(2) | 135 | 111,962 | |
Superior Plus, L.P./Superior General Partner, Inc., 4.50%, 3/15/29(2) | 254 | 216,907 | |
White Cap Buyer, LLC, 6.875%, 10/15/28(2) | 230 | 200,959 | |
Yum! Brands, Inc., 3.625%, 3/15/31 | 147 | 119,524 | |
$ 5,646,802 | |||
Technology Hardware, Storage & Peripherals — 0.6% | |||
Booz Allen Hamilton, Inc., 4.00%, 7/1/29(2) | 97 | $ 85,713 | |
McAfee Corp., 7.375%, 2/15/30(2) | 293 | 234,655 | |
NCR Voyix Corp.: | |||
5.125%, 4/15/29(2) | 116 | 99,875 | |
5.25%, 10/1/30(2) | 104 | 86,243 | |
Presidio Holdings, Inc., 8.25%, 2/1/28(2) | 296 | 280,400 | |
Science Applications International Corp., 4.875%, 4/1/28(2) | 260 | 232,281 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29 | 52 | 44,887 | |
9.625%, 12/1/32(2) | 248 | 265,091 | |
$ 1,329,145 | |||
Telecommunications — 0.9% | |||
Ciena Corp., 4.00%, 1/31/30(2) | 117 | $ 97,621 | |
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(2) | 421 | 392,914 | |
Rogers Communications, Inc., 5.25% to 3/15/27, 3/15/82(2)(7) | 125 | 110,157 | |
Telecom Italia Finance S.A., 7.75%, 1/24/33 | EUR | 60 | 66,686 |
Telecom Italia SpA: | |||
2.75%, 4/15/25(4) | EUR | 140 | 141,354 |
6.875%, 2/15/28(4) | EUR | 100 | 105,413 |
7.875%, 7/31/28(4) | EUR | 200 | 216,920 |
Telefonica Europe B.V., 7.125% to 8/23/28(4)(6)(7) | EUR | 200 | 216,767 |
Vodafone Group PLC: | |||
2.625% to 5/27/26, 8/27/80(4)(7) | EUR | 220 | 213,096 |
4.875% to 7/3/25, 10/3/78(4)(7) | GBP | 215 | 247,947 |
Wp/ap Telecom Holdings III B.V., 5.50%, 1/15/30(4) | EUR | 259 | 230,154 |
$ 2,039,029 |
Security | Principal Amount (000's omitted)* | Value | |
Transportation — 0.3% | |||
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(2) | 249 | $ 220,038 | |
Seaspan Corp., 5.50%, 8/1/29(2) | 213 | 163,622 | |
Watco Cos., LLC/Watco Finance Corp., 6.50%, 6/15/27(2) | 214 | 199,618 | |
$ 583,278 | |||
Wireless Telecommunication Services — 0.1% | |||
Iliad Holding SASU, 6.50%, 10/15/26(2) | 258 | $ 241,321 | |
$ 241,321 | |||
Total Corporate Bonds (identified cost $90,906,016) | $ 80,128,674 |
Exchange-Traded Funds — 0.1% |
Security | Shares | Value | |
Equity Funds — 0.1% | |||
iShares Preferred & Income Securities ETF | 5,587 | $ 159,676 | |
Total Exchange-Traded Funds (identified cost $170,739) | $ 159,676 |
Preferred Stocks — 0.8% |
Security | Shares | Value | |
Banks — 0.0%(3) | |||
Farm Credit Bank of Texas, 9.681% to 12/15/23(2)(7) | 669 | $ 66,816 | |
$ 66,816 | |||
Capital Markets — 0.1% | |||
Affiliated Managers Group, Inc., 4.75% | 5,486 | $ 89,586 | |
Stifel Financial Corp., Series D, 4.50% | 4,600 | 71,254 | |
$ 160,840 | |||
Electric Utilities — 0.1% | |||
Brookfield BRP Holdings Canada, Inc., 4.625% | 7,000 | $ 95,690 | |
SCE Trust III, Series H, 5.75% to 3/15/24(7) | 4,892 | 118,093 | |
SCE Trust IV, Series J, 5.375% to 9/15/25(7) | 651 | 12,792 | |
$ 226,575 | |||
Insurance — 0.1% | |||
American Equity Investment Life Holding Co., Series B, 6.625% to 9/1/25(7) | 3,418 | $ 78,341 |
Security | Shares | Value | |
Insurance (continued) | |||
Athene Holding, Ltd., Series C, 6.375% to 6/30/25(7) | 3,208 | $ 77,858 | |
$ 156,199 | |||
Oil, Gas & Consumable Fuels — 0.1% | |||
NuStar Energy, L.P., Series B, 11.315% (3 mo. SOFR + 5.905%)(8) | 11,260 | $ 282,626 | |
$ 282,626 | |||
Pipelines — 0.1% | |||
Energy Transfer, L.P.: | |||
Series C, 10.156%, (3 mo. SOFR + 4.53%)(8) | 3,000 | $ 75,030 | |
Series E, 7.60% to 5/15/24(7) | 4,970 | 122,858 | |
$ 197,888 | |||
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 6,429 | $ 63,004 | |
Series A2, 6.375% | 8,191 | 89,856 | |
$ 152,860 | |||
Retail REITs — 0.0%(3) | |||
SITE Centers Corp., Series A, 6.375% | 3,978 | $ 79,123 | |
$ 79,123 | |||
Trading Companies & Distributors — 0.1% | |||
WESCO International, Inc., Series A, 10.625% to 6/22/25(7) | 8,139 | $ 216,986 | |
$ 216,986 | |||
Wireless Telecommunication Services — 0.1% | |||
United States Cellular Corp., 5.50% | 6,991 | $ 103,886 | |
$ 103,886 | |||
Total Preferred Stocks (identified cost $2,128,416) | $ 1,643,799 |
Senior Floating-Rate Loans — 1.4%(10) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Airlines — 0.2% | |||
Air Canada, Term Loan, 9.128%, (SOFR + 3.50%), 8/11/28 | $ | 201 | $ 201,396 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Airlines (continued) | |||
Mileage Plus Holdings, LLC, Term Loan, 10.798%, (SOFR + 5.25%), 6/21/27 | $ | 320 | $ 329,772 |
$ 531,168 | |||
Apparel & Luxury Goods — 0.0%(3) | |||
ABG Intermediate Holdings 2, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/21/28 | $ | 98 | $ 97,634 |
$ 97,634 | |||
Auto Components — 0.1% | |||
Clarios Global, L.P., Term Loan, 9.074%, (SOFR + 3.75%), 5/6/30 | $ | 131 | $ 130,959 |
DexKo Global, Inc., Term Loan, 9.64%, (SOFR + 4.25%), 10/4/28 | 93 | 90,065 | |
$ 221,024 | |||
Health Care Providers & Services — 0.2% | |||
Pearl Intermediate Parent, LLC, Term Loan - Second Lien, 11.674%, (SOFR + 6.25%), 2/13/26 | $ | 51 | $ 50,957 |
Pluto Acquisition I, Inc., Term Loan, 9.684%, (SOFR + 4.00%), 6/22/26 | 327 | 277,810 | |
$ 328,767 | |||
Health Care Technology — 0.1% | |||
Verscend Holding Corp., Term Loan, 9.439%, (SOFR + 4.00%), 8/27/25 | $ | 290 | $ 290,324 |
$ 290,324 | |||
Hotels, Restaurants & Leisure — 0.1% | |||
IRB Holding Corp., Term Loan, 12/15/27(11) | $ | 110 | $ 108,624 |
Spectacle Gary Holdings, LLC, Term Loan, 9.674%, (SOFR + 4.25%), 12/10/28 | 184 | 179,778 | |
$ 288,402 | |||
IT Services — 0.1% | |||
Travelport Finance (Luxembourg) S.a.r.l., Term Loan, 12.652%, (SOFR + 7.00%), 2/28/25 | $ | 247 | $ 235,399 |
$ 235,399 | |||
Leisure Products — 0.1% | |||
Peloton Interactive, Inc., Term Loan, 12.263%, (SOFR + 6.50%), 5/25/27 | $ | 138 | $ 139,080 |
$ 139,080 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Machinery — 0.0%(3) | |||
EMRLD Borrower, L.P., Term Loan, 8.38%, (SOFR + 3.00%), 5/31/30 | $ | 55 | $ 55,067 |
$ 55,067 | |||
Professional Services — 0.1% | |||
AlixPartners, LLP, Term Loan, 8.189%, (SOFR + 2.75%), 2/4/28 | $ | 109 | $ 108,928 |
$ 108,928 | |||
Software — 0.0%(3) | |||
GoTo Group, Inc., Term Loan, 10.283%, (SOFR + 4.75%), 8/31/27 | $ | 0 (12) | $ 61 |
Riverbed Technology, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 7/1/28 | 56 | 36,399 | |
$ 36,460 | |||
Specialty Retail — 0.3% | |||
Mavis Tire Express Services Corp., Term Loan, 9.439%, (SOFR + 4.00%), 5/4/28 | $ | 141 | $ 138,794 |
Michaels Companies, Inc., Term Loan, 9.902%, (SOFR + 4.25%), 4/15/28 | 144 | 120,589 | |
PetSmart, Inc., Term Loan, 9.174%, (SOFR + 3.75%), 2/11/28 | 378 | 374,543 | |
$ 633,926 | |||
Trading Companies & Distributors — 0.1% | |||
Spin Holdco, Inc., Term Loan, 9.664%, (SOFR + 4.00%), 3/4/28 | $ | 131 | $ 113,007 |
$ 113,007 | |||
Total Senior Floating-Rate Loans (identified cost $3,145,604) | $ 3,079,186 |
Miscellaneous — 0.0%(3) |
Security | Principal Amount/ Shares | Value | |
Diversified Financial Services — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(1)(13) | 400,000 | $ 0 | |
$ 0 | |||
Entertainment — 0.0% | |||
National CineMedia, Inc., Escrow Certificates(1)(13) | $ | 189,000 | $ 0 |
$ 0 |
Security | Principal Amount/ Shares | Value | |
Transportation — 0.0%(3) | |||
Hertz Corp., Escrow Certificates(1) | $ | 58,000 | $ 5,220 |
Hertz Corp., Escrow Certificates(1) | $ | 167,000 | 6,680 |
Hertz Corp., Escrow Certificates(1) | $ | 110,000 | 4,400 |
$ 16,300 | |||
Total Miscellaneous (identified cost $171,962) | $ 16,300 |
Short-Term Investments — 0.8% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(14) | 1,761,122 | $ 1,761,122 | |
Total Short-Term Investments (identified cost $1,761,122) | $ 1,761,122 | ||
Total Investments — 99.4% (identified cost $188,955,658) | $216,038,455 | ||
Other Assets, Less Liabilities — 0.6% | $ 1,301,277 | ||
Net Assets — 100.0% | $217,339,732 |
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) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At October 31, 2023, the aggregate value of these securities is $50,551,688 or 23.3% of the Fund's net assets. |
(3) | Amount is less than 0.05%. |
(4) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At October 31, 2023, the aggregate value of these securities is $19,907,309 or 9.2% of the Fund's net assets. |
(5) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(6) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(7) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(8) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(9) | Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. |
(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 Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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 October 31, 2023, at which time the interest rate will be determined. |
(12) | Principal amount is less than $500. |
(13) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 11). |
(14) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
Country Concentration of Portfolio | ||
Country | Percentage of Total Investments | Value |
United States | 63.7% | $137,657,510 |
United Kingdom | 7.6 | 16,329,751 |
France | 5.0 | 10,696,849 |
Netherlands | 3.2 | 7,004,801 |
Switzerland | 2.9 | 6,176,207 |
Canada | 2.5 | 5,369,144 |
Germany | 2.4 | 5,192,678 |
Spain | 2.2 | 4,806,913 |
Denmark | 2.2 | 4,656,713 |
Japan | 1.6 | 3,543,630 |
Australia | 1.1 | 2,413,051 |
Ireland | 1.1 | 2,352,124 |
Luxembourg | 1.1 | 2,334,527 |
Taiwan | 0.6 | 1,340,308 |
Italy | 0.6 | 1,301,876 |
Hong Kong | 0.6 | 1,255,150 |
India | 0.5 | 1,160,802 |
United Arab Emirates | 0.3 | 722,715 |
Sweden | 0.3 | 615,462 |
Belgium | 0.2 | 500,542 |
Poland | 0.1 | 245,332 |
Mexico | 0.1 | 184,918 |
Brazil | 0.0 (1) | 17,776 |
Exchange-Traded Funds | 0.1 | 159,676 |
Total Investments | 100.0% | $216,038,455 |
(1) | Amount is less than 0.05%. |
Abbreviations: | |
ADR | – American Depositary Receipt |
EURIBOR | – Euro Interbank Offered Rate |
PFC Shares | – Preference Shares |
PIK | – Payment In Kind |
REITs | – Real Estate Investment Trusts |
SOFR | – Secured Overnight Financing Rate |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $187,194,536) | $ 214,277,333 |
Affiliated investments, at value (identified cost $1,761,122) | 1,761,122 |
Cash | 12,389 |
Interest and dividends receivable | 1,447,311 |
Dividends receivable from affiliated investments | 13,230 |
Receivable for investments sold | 330,307 |
Receivable for Fund shares sold | 264,310 |
Tax reclaims receivable | 1,145,509 |
Receivable from affiliates | 2,683 |
Trustees' deferred compensation plan | 55,675 |
Total assets | $219,309,869 |
Liabilities | |
Payable for investments purchased | $ 611,212 |
Payable for Fund shares redeemed | 883,541 |
Due to custodian — foreign currency, at value (identified cost $6,485) | 6,548 |
Payable to affiliates: | |
Investment adviser fee | 103,151 |
Administration fee | 28,230 |
Distribution and service fees | 37,816 |
Trustees' fees | 1,306 |
Trustees' deferred compensation plan | 55,675 |
Accrued expenses | 242,658 |
Total liabilities | $ 1,970,137 |
Net Assets | $217,339,732 |
Sources of Net Assets | |
Paid-in capital | $ 193,357,932 |
Distributable earnings | 23,981,800 |
Net Assets | $217,339,732 |
Class A Shares | |
Net Assets | $ 119,712,462 |
Shares Outstanding | 12,735,590 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.40 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 9.92 |
Class C Shares | |
Net Assets | $ 12,723,639 |
Shares Outstanding | 1,371,043 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.28 |
Class I Shares | |
Net Assets | $ 83,772,488 |
Shares Outstanding | 8,923,583 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.39 |
October 31, 2023 | |
Class R Shares | |
Net Assets | $1,131,143 |
Shares Outstanding | 120,811 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.36 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $28,209) | $ 717,208 |
Dividend income from affiliated investments | 50,829 |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $663,228) | 4,513,698 |
Interest and other income allocated from Portfolio (net of foreign taxes withheld of $9,877) | 3,437,683 |
Interest and other income (net of foreign taxes withheld of $5,921) | 2,278,644 |
Expenses allocated from Portfolio | (947,025) |
Total investment income | $ 10,051,037 |
Expenses | |
Investment adviser fee | $ 464,976 |
Administration fee | 342,463 |
Distribution and service fees: | |
Class A | 317,174 |
Class C | 145,240 |
Class R | 5,318 |
Trustees’ fees and expenses | 7,915 |
Custodian fee | 68,443 |
Transfer and dividend disbursing agent fees | 154,846 |
Legal and accounting services | 43,302 |
Printing and postage | 35,465 |
Registration fees | 67,657 |
Miscellaneous | 32,167 |
Total expenses | $ 1,684,966 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 63,377 |
Total expense reductions | $ 63,377 |
Net expenses | $ 1,621,589 |
Net investment income | $ 8,429,448 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 930,423 |
Investment transactions allocated from Portfolio (net of foreign capital gains taxes of $49,683) | (2,491,774) |
Futures contracts | 126,991 |
Futures contracts allocated from Portfolio | 842,273 |
Foreign currency transactions | (67,295) |
Foreign currency transactions allocated from Portfolio | 572 |
Forward foreign currency exchange contracts | (2,770) |
Forward foreign currency exchange contracts allocated from Portfolio | 12,776 |
Net realized loss | $ (648,804) |
Change in unrealized appreciation (depreciation): | |
Investments | $(12,688,908) |
Investments allocated from Portfolio (including net decrease in accrued foreign capital gains taxes of $31,888) | 24,542,823 |
Futures contracts | (20,366) |
Futures contracts allocated from Portfolio | 20,366 |
Foreign currency | (20,112) |
Foreign currency allocated from Portfolio | 98,986 |
Net change in unrealized appreciation (depreciation) | $ 11,932,789 |
Net realized and unrealized gain | $ 11,283,985 |
Net increase in net assets from operations | $ 19,713,433 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 8,429,448 | $ 9,031,419 |
Net realized loss | (648,804) | (4,497,556) |
Net change in unrealized appreciation (depreciation) | 11,932,789 | (56,389,110) |
Net increase (decrease) in net assets from operations | $ 19,713,433 | $ (51,855,247) |
Distributions to shareholders: | ||
Class A | $ (4,271,637) | $ (6,678,673) |
Class C | (386,469) | (805,593) |
Class I | (3,109,444) | (4,716,320) |
Class R | (33,320) | (36,989) |
Total distributions to shareholders | $ (7,800,870) | $ (12,237,575) |
Transactions in shares of beneficial interest: | ||
Class A | $ (10,618,949) | $ (5,748,298) |
Class C | (3,179,436) | (4,540,481) |
Class I | (1,169,662) | (9,706,068) |
Class R | 154,845 | 311,067 |
Net decrease in net assets from Fund share transactions | $ (14,813,202) | $ (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 decrease in net assets | $ (2,900,646) | $ (83,776,690) |
Net Assets | ||
At beginning of year | $ 220,240,378 | $ 304,017,068 |
At end of year | $217,339,732 | $220,240,378 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.920 | $ 11.360 | $ 9.070 | $ 9.210 | $ 8.620 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.351 | $ 0.343 | $ 0.272 | $ 0.330 | $ 0.372 |
Net realized and unrealized gain (loss) | 0.453 | (2.321) | 2.342 | (0.146) | 0.542 |
Total income (loss) from operations | $ 0.804 | $ (1.978) | $ 2.614 | $ 0.184 | $ 0.914 |
Less Distributions | |||||
From net investment income | $ (0.324) | $ (0.324) | $ (0.324) | $ (0.324) | $ (0.324) |
From net realized gain | — | (0.138) | — | — | — |
Total distributions | $ (0.324) | $ (0.462) | $ (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) |
Net asset value — End of year | $ 9.400 | $ 8.920 | $ 11.360 | $ 9.070 | $ 9.210 |
Total Return(3)(4) | 9.00% | (17.86)% | 29.08% | 2.12% | 10.97% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $119,712 | $123,589 | $164,778 | $123,152 | $131,104 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Expenses (4) | 1.17% (6) | 1.17% (6) | 1.17% | 1.17% | 1.24% |
Net investment income | 3.65% | 3.42% | 2.52% | 3.65% | 4.22% |
Portfolio Turnover of the Portfolio(7) | 46% | 59% | 60% | 118% | 86% |
Portfolio Turnover of the Fund | 14% (8) | — | — | — | — |
(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 years ended October 31, 2023, 2022, 2020 and 2019, 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) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's and Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022). |
(7) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(8) | For the period from June 17, 2023 through October 31, 2023 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Global Income Builder Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on June 16, 2023 and which had the same investment objectives and policies as the Fund during such period. |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.810 | $11.230 | $ 8.960 | $ 9.110 | $ 8.530 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.272 | $ 0.263 | $ 0.187 | $ 0.262 | $ 0.292 |
Net realized and unrealized gain (loss) | 0.450 | (2.290) | 2.328 | (0.153) | 0.546 |
Total income (loss) from operations | $ 0.722 | $ (2.027) | $ 2.515 | $ 0.109 | $ 0.838 |
Less Distributions | |||||
From net investment income | $ (0.252) | $ (0.255) | $ (0.245) | $ (0.259) | $ (0.258) |
From net realized gain | — | (0.138) | — | — | — |
Total distributions | $ (0.252) | $ (0.393) | $ (0.245) | $ (0.259) | $ (0.258) |
Portfolio transaction fee, net(1) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) |
Net asset value — End of year | $ 9.280 | $ 8.810 | $11.230 | $ 8.960 | $ 9.110 |
Total Return(3)(4) | 8.17% | (18.46)% | 28.26% | 1.29% | 10.13% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $12,724 | $15,093 | $ 24,505 | $37,875 | $56,314 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Expenses (4) | 1.92% (6) | 1.92% (6) | 1.92% | 1.92% | 2.00% |
Net investment income | 2.87% | 2.64% | 1.76% | 2.93% | 3.36% |
Portfolio Turnover of the Portfolio(7) | 46% | 59% | 60% | 118% | 86% |
Portfolio Turnover of the Fund | 14% (8) | — | — | — | — |
(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 years ended October 31, 2023, 2022, 2020 and 2019, 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) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's and Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022). |
(7) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(8) | For the period from June 17, 2023 through October 31, 2023 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Global Income Builder Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on June 16, 2023 and which had the same investment objectives and policies as the Fund during such period. |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.910 | $11.340 | $ 9.060 | $ 9.190 | $ 8.610 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.374 | $ 0.368 | $ 0.297 | $ 0.354 | $ 0.386 |
Net realized and unrealized gain (loss) | 0.454 | (2.311) | 2.333 | (0.136) | 0.542 |
Total income (loss) from operations | $ 0.828 | $ (1.943) | $ 2.630 | $ 0.218 | $ 0.928 |
Less Distributions | |||||
From net investment income | $ (0.348) | $ (0.349) | $ (0.350) | $ (0.348) | $ (0.348) |
From net realized gain | — | (0.138) | — | — | — |
Total distributions | $ (0.348) | $ (0.487) | $ (0.350) | $ (0.348) | $ (0.348) |
Portfolio transaction fee, net(1) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) | $ (0.000)(2) |
Net asset value — End of year | $ 9.390 | $ 8.910 | $ 11.340 | $ 9.060 | $ 9.190 |
Total Return(3)(4) | 9.28% | (17.60)% | 29.31% | 2.51% | 11.17% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $83,772 | $80,627 | $113,907 | $94,518 | $107,290 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Expenses (4) | 0.92% (6) | 0.92% (6) | 0.92% | 0.92% | 0.99% |
Net investment income | 3.90% | 3.66% | 2.76% | 3.92% | 4.39% |
Portfolio Turnover of the Portfolio(7) | 46% | 59% | 60% | 118% | 86% |
Portfolio Turnover of the Fund | 14% (8) | — | — | — | — |
(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 years ended October 31, 2023, 2022, 2020 and 2019, 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) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's and Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022). |
(7) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(8) | For the period from June 17, 2023 through October 31, 2023 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Global Income Builder Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on June 16, 2023 and which had the same investment objectives and policies as the Fund during such period. |
Class R | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.890 | $11.320 | $ 9.040 | $ 9.180 | $ 8.600 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.325 | $ 0.309 | $ 0.247 | $ 0.310 | $ 0.345 |
Net realized and unrealized gain (loss) | 0.445 | (2.300) | 2.332 | (0.149) | 0.536 |
Total income (loss) from operations | $ 0.770 | $ (1.991) | $ 2.579 | $ 0.161 | $ 0.881 |
Less Distributions | |||||
From net investment income | $ (0.300) | $ (0.301) | $ (0.299) | $ (0.301) | $ (0.301) |
From net realized gain | — | (0.138) | — | — | — |
Total distributions | $(0.300) | $ (0.439) | $ (0.299) | $(0.301) | $(0.301) |
Portfolio transaction fee, net(1) | $(0.000) (2) | $ (0.000)(2) | $ (0.000)(2) | $(0.000) (2) | $(0.000) (2) |
Net asset value — End of year | $ 9.360 | $ 8.890 | $11.320 | $ 9.040 | $ 9.180 |
Total Return(3)(4) | 8.64% | (18.02)% | 28.76% | 1.87% | 10.59% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 1,131 | $ 932 | $ 827 | $ 610 | $ 629 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Expenses (4) | 1.42% (6) | 1.42% (6) | 1.42% | 1.42% | 1.49% |
Net investment income | 3.39% | 3.13% | 2.29% | 3.44% | 3.92% |
Portfolio Turnover of the Portfolio(7) | 46% | 59% | 60% | 118% | 86% |
Portfolio Turnover of the Fund | 14% (8) | — | — | — | — |
(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 years ended October 31, 2023, 2022, 2020 and 2019, 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) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's and Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022). |
(7) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(8) | For the period from June 17, 2023 through October 31, 2023 when the Fund was making investments directly in securities. |
References to Portfolio herein are to Global Income Builder Portfolio, a Massachusetts business trust in which the Fund invested all of its investable assets prior to the close of business on June 16, 2023 and which had the same investment objectives and policies as the Fund during such period. |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $7,800,870 | $8,539,399 |
Long-term capital gains | $ — | $3,698,176 |
Undistributed ordinary income | $ 777,102 |
Deferred capital losses | (5,994,945) |
Net unrealized appreciation | 29,199,643 |
Distributable earnings | $23,981,800 |
capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at October 31, 2023, $5,994,945 are short-term.
Aggregate cost | $ 186,776,119 |
Gross unrealized appreciation | $ 45,536,237 |
Gross unrealized depreciation | (16,273,901) |
Net unrealized appreciation | $ 29,262,336 |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 798,192 | $ 7,668,604 | 1,227,451 | $ 12,726,234 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 411,593 | 3,945,474 | 601,063 | 6,160,367 | |
Redemptions | (2,323,743) | (22,233,027) | (2,485,542) | (24,634,899) | |
Net decrease | (1,113,958) | $(10,618,949) | (657,028) | $ (5,748,298) | |
Class C | |||||
Sales | 174,558 | $ 1,683,922 | 186,743 | $ 1,957,980 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 40,087 | 379,095 | 76,915 | 786,222 | |
Redemptions | (556,106) | (5,242,453) | (733,864) | (7,284,683) | |
Net decrease | (341,461) | $ (3,179,436) | (470,206) | $ (4,540,481) | |
Class I | |||||
Sales | 1,523,994 | $ 14,648,924 | 1,597,829 | $ 16,139,353 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 323,392 | 3,096,760 | 443,668 | 4,531,038 | |
Redemptions | (1,970,133) | (18,915,346) | (3,035,715) | (30,376,459) | |
Net decrease | (122,747) | $ (1,169,662) | (994,218) | $ (9,706,068) | |
Class R | |||||
Sales | 15,784 | $ 153,136 | 42,144 | $ 425,735 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 3,486 | 33,319 | 3,670 | 36,989 | |
Redemptions | (3,269) | (31,610) | (14,076) | (151,657) | |
Net increase | 16,001 | $ 154,845 | 31,738 | $ 311,067 |
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 | $ 969,264 | $ — |
Foreign Exchange | Forward foreign currency exchange contracts | 10,006 | — |
Total | $979,270 | $ — |
(1) | Statement of Operations location: Net realized gain (loss): Futures contracts and Futures contracts allocated from Portfolio and Forward foreign currency exchange contracts and Forward foreign currency exchange contracts allocated from Portfolio, respectively. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Futures contracts and Futures contracts allocated from Portfolio. |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* |
$4,934,000 | $4,960,000 | $86,000 |
* | 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)(1) | Change in unrealized appreciation (depreciation)(1) | Value, end of period | Dividend income(1) | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $1,319,217 | $63,446,668 | $(63,004,763) | $ — | $ — | $1,761,122 | $132,398 | 1,761,122 |
(1) | Includes amounts allocated from the Portfolio for the period while the Fund was investing in the Portfolio. |
• | 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 | $ 6,938,242 | $ 937,255 | $ — | $ 7,875,497 |
Consumer Discretionary | 7,564,260 | 5,712,449 | — | 13,276,709 |
Consumer Staples | 4,319,719 | 3,934,009 | — | 8,253,728 |
Energy | 7,237,095 | — | — | 7,237,095 |
Financials | 11,348,162 | 5,905,199 | — | 17,253,361 |
Health Care | 13,107,265 | 10,800,574 | — | 23,907,839 |
Industrials | 7,383,292 | 8,537,895 | — | 15,921,187 |
Information Technology | 23,771,021 | 5,270,092 | — | 29,041,113 |
Materials | — | 2,253,959 | — | 2,253,959 |
Real Estate | 704,104 | — | — | 704,104 |
Utilities | 1,450,344 | 1,353,083 | — | 2,803,427 |
Total Common Stocks | $ 83,823,504 | $ 44,704,515** | $ — | $128,528,019 |
Convertible Bonds | $ — | $ 721,679 | $ — | $ 721,679 |
Corporate Bonds | — | 80,128,674 | — | 80,128,674 |
Exchange-Traded Funds | 159,676 | — | — | 159,676 |
Preferred Stocks: | ||||
Communication Services | 103,886 | — | — | 103,886 |
Energy | 480,514 | — | — | 480,514 |
Financials | 317,039 | 66,816 | — | 383,855 |
Industrials | 216,986 | — | — | 216,986 |
Real Estate | 231,983 | — | — | 231,983 |
Utilities | 226,575 | — | — | 226,575 |
Total Preferred Stocks | $ 1,576,983 | $ 66,816 | $ — | $ 1,643,799 |
Senior Floating-Rate Loans | $ — | $ 3,079,186 | $ — | $ 3,079,186 |
Miscellaneous | — | 16,300 | 0 | 16,300 |
Short-Term Investments | 1,761,122 | — | — | 1,761,122 |
Total Investments | $ 87,321,285 | $ 128,717,170 | $ 0 | $216,038,455 |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
** | 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. |
Boston, Massachusetts
December 22, 2023
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management `Classic' (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
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 | One Year | Five Years | Ten Years |
Class A at NAV | 06/27/2007 | 06/27/2007 | 14.53% | 2.39% | 0.44% |
Class A with 3.25% Maximum Sales Charge | — | — | 10.75 | 1.73 | 0.11 |
Class C at NAV | 08/03/2010 | 06/27/2007 | 13.69 | 1.65 | (0.10) |
Class C with 1% Maximum Deferred Sales Charge | — | — | 12.69 | 1.65 | (0.10) |
Class I at NAV | 11/30/2009 | 06/27/2007 | 15.22 | 2.70 | 0.74 |
J.P. Morgan Government Bond Index: Emerging Markets (JPM GBI-EM) Global Diversified (Unhedged) | — | — | 13.50% | 0.29% | (1.16)% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
1.14% | 1.89% | 0.89% |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $9,902 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,076,508 | N.A. |
Asset Allocation (% of net assets)1 |
Foreign Currency Exposures (% of net assets)2 | |
Mexico | 11.7% |
Thailand | 10.2 |
Brazil | 10.0 |
Malaysia | 10.0 |
Indonesia | 9.7 |
Hungary | 7.7 |
Poland | 7.6 |
Czech Republic | 6.4 |
South Africa | 6.4 |
Dominican Republic | 5.3 |
Colombia | 4.7 |
Uzbekistan | 4.5 |
Romania | 3.9 |
South Korea | 3.0 |
China | 2.6 |
Armenia | 2.3 |
Peru | 2.3 |
Serbia | 2.2 |
Chile | 2.0 |
India | 1.5 |
Uruguay | 1.2 |
Other | 3.2 4 |
Euro | -6.6 |
Total Long | 119.1% |
Total Short | -7.3% |
Total Net | 111.8% |
1 | Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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 | |
Spread is the difference in yield between a U.S. Treasury bond and another debt security of the same maturity but different credit quality. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 964.70 | $5.55 | 1.12% |
Class C | $1,000.00 | $ 959.30 | $9.14 | 1.85% |
Class I | $1,000.00 | $ 966.10 | $4.21 | 0.85% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.56 | $5.70 | 1.12% |
Class C | $1,000.00 | $1,015.88 | $9.40 | 1.85% |
Class I | $1,000.00 | $1,020.92 | $4.33 | 0.85% |
* | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio. |
October 31, 2023 | |
Assets | |
Investment in Emerging Markets Local Income Portfolio, at value (identified cost $1,091,234,745) | $ 953,299,643 |
Receivable for Fund shares sold | 2,581,868 |
Total assets | $ 955,881,511 |
Liabilities | |
Payable for Fund shares redeemed | $ 3,213,444 |
Payable to affiliates: | |
Distribution and service fees | 50,781 |
Trustees' fees | 43 |
Accrued expenses | 355,384 |
Total liabilities | $ 3,619,652 |
Net Assets | $ 952,261,859 |
Sources of Net Assets | |
Paid-in capital | $1,085,683,903 |
Accumulated loss | (133,422,044) |
Net Assets | $ 952,261,859 |
Class A Shares | |
Net Assets | $ 95,333,435 |
Shares Outstanding | 29,085,894 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 3.28 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 3.39 |
Class C Shares | |
Net Assets | $ 35,270,566 |
Shares Outstanding | 10,642,364 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 3.31 |
Class I Shares | |
Net Assets | $ 821,657,858 |
Shares Outstanding | 250,780,298 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 3.28 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio | $ 3,613,176 |
Interest income allocated from Portfolio (net of foreign taxes withheld of $1,251,354) | 64,938,499 |
Expenses allocated from Portfolio | (6,924,717) |
Total investment income from Portfolio | $ 61,626,958 |
Expenses | |
Distribution and service fees: | |
Class A | $ 295,911 |
Class C | 375,385 |
Trustees’ fees and expenses | 500 |
Custodian fee | 59,752 |
Transfer and dividend disbursing agent fees | 743,215 |
Legal and accounting services | 52,208 |
Printing and postage | 272,265 |
Registration fees | 84,121 |
Miscellaneous | 22,605 |
Total expenses | $ 1,905,962 |
Net investment income | $ 59,720,996 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $124,405) | $ (90,493,260) |
Written options | 13,532 |
Securities sold short | 68,052 |
Futures contracts | 376,209 |
Swap contracts | (18,571,832) |
Foreign currency transactions | 9,492,814 |
Forward foreign currency exchange contracts | 38,196,896 |
Non-deliverable bond forward contracts | 4,481,833 |
Net realized loss | $ (56,435,756) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $80,454) | $ 111,755,324 |
Written options | 66,429 |
Securities sold short | 188,206 |
Futures contracts | (72,120) |
Swap contracts | 11,876,260 |
Foreign currency | 873,869 |
Forward foreign currency exchange contracts | (14,001,372) |
Non-deliverable bond forward contracts | 1,009,273 |
Net change in unrealized appreciation (depreciation) | $111,695,869 |
Net realized and unrealized gain | $ 55,260,113 |
Net increase in net assets from operations | $114,981,109 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 59,720,996 | $ 67,348,981 |
Net realized loss | (56,435,756) | (151,462,363) |
Net change in unrealized appreciation (depreciation) | 111,695,869 | (164,327,604) |
Net increase (decrease) in net assets from operations | $114,981,109 | $ (248,440,986) |
Distributions to shareholders: | ||
Class A | $ (9,847,402) | $ — |
Class C | (3,317,933) | — |
Class I | (79,078,812) | — |
Total distributions to shareholders | $ (92,244,147) | $ — |
Tax return of capital to shareholders: | ||
Class A | $ (2,439,355) | $ (13,947,887) |
Class C | (806,050) | (5,086,599) |
Class I | (19,424,563) | (114,849,166) |
Total tax return of capital to shareholders | $ (22,669,968) | $ (133,883,652) |
Transactions in shares of beneficial interest: | ||
Class A | $ 7,000,865 | $ (17,218,330) |
Class C | 860,554 | (9,079,577) |
Class I | 114,542,250 | (183,103,782) |
Net increase (decrease) in net assets from Fund share transactions | $122,403,669 | $ (209,401,689) |
Net increase (decrease) in net assets | $122,470,663 | $ (591,726,327) |
Net Assets | ||
At beginning of year | $ 829,791,196 | $1,421,517,523 |
At end of year | $952,261,859 | $ 829,791,196 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 3.220 | $ 4.590 | $ 5.030 | $ 5.760 | $ 5.190 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.211 | $ 0.234 | $ 0.228 | $ 0.286 | $ 0.363 |
Net realized and unrealized gain (loss) | 0.262 | (1.125) | (0.168) | (0.293) | 0.759 |
Total income (loss) from operations | $ 0.473 | $ (0.891) | $ 0.060 | $ (0.007) | $ 1.122 |
Less Distributions | |||||
From net investment income | $ (0.333) | $ — | $ (0.123) | $ (0.198) | $ (0.552) |
Tax return of capital | (0.080) | (0.479) | (0.377) | (0.525) | — |
Total distributions | $ (0.413) | $ (0.479) | $ (0.500) | $ (0.723) | $ (0.552) |
Net asset value — End of year | $ 3.280 | $ 3.220 | $ 4.590 | $ 5.030 | $ 5.760 |
Total Return(2) | 14.53% | (20.47)% | 1.06% | (0.31)% (3) | 22.64% (3) |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $95,333 | $87,883 | $145,043 | $129,954 | $152,308 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses | 1.13% (5) | 1.19% (5) | 1.16% | 1.20% (3) | 1.20% (3) |
Net investment income | 6.00% | 5.99% | 4.53% | 5.40% | 6.57% |
Portfolio Turnover of the Portfolio | 67% | 33% | 56% | 56% | 46% |
(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 reimbursed certain operating expenses (equal to 0.02% of average daily net assets for the years ended October 31, 2020 and 2019). Absent this reimbursement, total return would be lower. |
(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 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 3.260 | $ 4.650 | $ 5.080 | $ 5.820 | $ 5.240 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.188 | $ 0.209 | $ 0.194 | $ 0.250 | $ 0.328 |
Net realized and unrealized gain (loss) | 0.254 | (1.142) | (0.154) | (0.298) | 0.770 |
Total income (loss) from operations | $ 0.442 | $ (0.933) | $ 0.040 | $ (0.048) | $ 1.098 |
Less Distributions | |||||
From net investment income | $ (0.316) | $ — | $ (0.115) | $ (0.190) | $ (0.518) |
Tax return of capital | (0.076) | (0.457) | (0.355) | (0.502) | — |
Total distributions | $ (0.392) | $ (0.457) | $ (0.470) | $ (0.692) | $ (0.518) |
Net asset value — End of year | $ 3.310 | $ 3.260 | $ 4.650 | $ 5.080 | $ 5.820 |
Total Return(2) | 13.69% | (21.31)% | 0.46% | (0.90)% (3) | 21.87% (3) |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $35,271 | $33,976 | $58,639 | $59,169 | $62,869 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses | 1.85% (5) | 1.89% (5) | 1.86% | 1.90% (3) | 1.90% (3) |
Net investment income | 5.29% | 5.28% | 3.82% | 4.68% | 5.88% |
Portfolio Turnover of the Portfolio | 67% | 33% | 56% | 56% | 46% |
(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 reimbursed certain operating expenses (equal to 0.02% of average daily net assets for the years ended October 31, 2020 and 2019). Absent this reimbursement, total return would be lower. |
(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 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 3.220 | $ 4.590 | $ 5.020 | $ 5.760 | $ 5.190 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.221 | $ 0.246 | $ 0.243 | $ 0.301 | $ 0.381 |
Net realized and unrealized gain (loss) | 0.262 | (1.126) | (0.158) | (0.302) | 0.757 |
Total income (loss) from operations | $ 0.483 | $ (0.880) | $ 0.085 | $ (0.001) | $ 1.138 |
Less Distributions | |||||
From net investment income | $ (0.341) | $ — | $ (0.127) | $ (0.202) | $ (0.568) |
Tax return of capital | (0.082) | (0.490) | (0.388) | (0.537) | — |
Total distributions | $ (0.423) | $ (0.490) | $ (0.515) | $ (0.739) | $ (0.568) |
Net asset value — End of year | $ 3.280 | $ 3.220 | $ 4.590 | $ 5.020 | $ 5.760 |
Total Return(2) | 15.22% | (20.48)% | 1.36% | (0.01)% (3) | 23.00% (3) |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $821,658 | $707,932 | $1,217,836 | $983,273 | $938,608 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses | 0.85% (5) | 0.89% (5) | 0.86% | 0.90% (3) | 0.90% (3) |
Net investment income | 6.28% | 6.28% | 4.86% | 5.68% | 6.90% |
Portfolio Turnover of the Portfolio | 67% | 33% | 56% | 56% | 46% |
(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 reimbursed certain operating expenses (equal to 0.02% of average daily net assets for the years ended October 31, 2020 and 2019). Absent this reimbursement, total return would be lower. |
(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 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $92,244,147 | $ — |
Tax return of capital | $22,669,968 | $133,883,652 |
Deferred capital losses | $ (87,712,000) |
Net unrealized depreciation | (45,710,044) |
Accumulated loss | $(133,422,044) |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 12,408,000 | $ 44,242,529 | 8,744,229 | $ 34,415,385 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 3,193,417 | 11,204,993 | 3,336,364 | 12,695,340 | |
Redemptions | (13,805,396) | (48,446,657) | (16,356,773) | (64,329,055) | |
Net increase (decrease) | 1,796,021 | $ 7,000,865 | (4,276,180) | $ (17,218,330) | |
Class C | |||||
Sales | 1,902,700 | $ 6,835,469 | 1,633,628 | $ 6,788,155 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,121,803 | 3,976,048 | 1,277,313 | 4,922,131 | |
Redemptions | (2,818,064) | (9,950,963) | (5,096,503) | (20,789,863) | |
Net increase (decrease) | 206,439 | $ 860,554 | (2,185,562) | $ (9,079,577) | |
Class I | |||||
Sales | 152,980,912 | $ 543,646,223 | 103,149,612 | $ 411,448,840 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 25,700,360 | 90,021,581 | 27,991,737 | 106,732,653 | |
Redemptions | (147,868,299) | (519,125,554) | (176,382,555) | (701,285,275) | |
Net increase (decrease) | 30,812,973 | $ 114,542,250 | (45,241,206) | $(183,103,782) |
Boston, Massachusetts
December 22, 2023
Foreign Corporate Bonds — 2.4% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 0.8% | |||
Simpar Finance S.a.r.l., 10.75%, 2/12/28(1) | BRL | 53,195 | $ 8,441,775 |
$ 8,441,775 | |||
Colombia — 0.3% | |||
Patrimonio Autonomo Union del Sur, 6.66%, 2/28/41(2) | COP | 18,185,000 | $ 3,667,043 |
$ 3,667,043 | |||
Mexico — 0.1% | |||
Petroleos Mexicanos, 7.19%, 9/12/24(2) | MXN | 10,630 | $ 556,246 |
$ 556,246 | |||
Peru — 1.0% | |||
Alicorp SAA, 6.875%, 4/17/27(1) | PEN | 25,530 | $ 6,349,936 |
Telefonica del Peru SAA, 7.375%, 4/10/27(2) | PEN | 24,500 | 4,771,684 |
$ 11,121,620 | |||
Uzbekistan — 0.2% | |||
International Finance Corp., 16.00%, 2/21/25 | UZS | 27,000,000 | $ 2,216,031 |
$ 2,216,031 | |||
Total Foreign Corporate Bonds (identified cost $23,040,707) | $ 26,002,715 |
Loan Participation Notes — 2.4% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 2.4% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(1)(3)(4) | UZS | 159,404,590 | $ 12,737,558 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/21/26(1)(3)(4) | UZS | 168,226,770 | 12,819,584 |
Total Loan Participation Notes (identified cost $28,312,513) | $ 25,557,142 |
Sovereign Government Bonds — 74.3% |
Security | Principal Amount (000's omitted) | Value | |
Armenia — 2.4% | |||
Republic of Armenia Treasury Bond: | |||
9.00%, 4/29/26 | AMD | 212,760 | $ 514,421 |
9.25%, 4/29/28 | AMD | 3,148,100 | 7,499,198 |
9.60%, 10/29/33 | AMD | 5,743,604 | 13,651,980 |
9.75%, 10/29/50 | AMD | 719,503 | 1,716,387 |
9.75%, 10/29/52 | AMD | 781,610 | 1,861,584 |
$ 25,243,570 | |||
Azerbaijan — 0.3% | |||
Republic of Azerbaijan, 4.75%, 3/18/24(1) | USD | 3,142 | $ 3,111,051 |
$ 3,111,051 | |||
Bahrain — 0.2% | |||
CBB International Sukuk Programme Co. WLL, 6.25%, 11/14/24(1) | USD | 2,624 | $ 2,600,762 |
$ 2,600,762 | |||
Benin — 0.0%(5) | |||
Benin Government International Bond, 5.75%, 3/26/26(1) | EUR | 316 | $ 326,853 |
$ 326,853 | |||
Bosnia and Herzegovina — 0.1% | |||
Republic of Srpska: | |||
1.50%, 12/15/23 | BAM | 5 | $ 2,590 |
1.50%, 5/31/25 | BAM | 1,112 | 594,438 |
1.50%, 6/9/25 | BAM | 107 | 57,290 |
1.50%, 12/24/25 | BAM | 174 | 93,598 |
1.50%, 9/25/26 | BAM | 108 | 58,347 |
1.50%, 9/26/27 | BAM | 44 | 23,292 |
$ 829,555 | |||
Brazil — 0.4% | |||
Nota do Tesouro Nacional, 10.00%, 1/1/27 | BRL | 22,375 | $ 4,301,621 |
$ 4,301,621 | |||
Chile — 0.5% | |||
Bonos de la Tesoreria de la Republica en pesos, 5.30%, 11/1/37(1)(2) | CLP | 5,355,000 | $ 5,302,158 |
$ 5,302,158 |
Security | Principal Amount (000's omitted) | Value | |
Colombia — 0.1% | |||
Titulos De Tesoreria B, 10.00%, 7/24/24 | COP | 3,528,300 | $ 856,560 |
$ 856,560 | |||
Czech Republic — 3.3% | |||
Czech Republic Government Bond: | |||
0.95%, 5/15/30(1) | CZK | 140,000 | $ 4,828,461 |
2.00%, 10/13/33 | CZK | 308,750 | 10,546,940 |
2.50%, 8/25/28(1) | CZK | 509,740 | 20,113,594 |
$ 35,488,995 | |||
Dominican Republic — 5.2% | |||
Dominican Republic: | |||
8.00%, 1/15/27(1) | DOP | 111,360 | $ 1,821,686 |
8.00%, 2/12/27(1) | DOP | 568,540 | 9,401,250 |
11.25%, 9/15/35(2) | DOP | 140,600 | 2,457,159 |
12.00%, 8/8/25(2) | DOP | 616,460 | 10,972,001 |
12.75%, 9/23/29(2) | DOP | 377,800 | 7,368,915 |
13.00%, 6/10/34(1) | DOP | 35,400 | 723,258 |
13.625%, 2/3/33(2) | DOP | 467,800 | 9,382,225 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(1) | DOP | 36,140 | 577,843 |
12.00%, 10/3/25(2) | DOP | 221,270 | 3,942,496 |
13.00%, 12/5/25(2) | DOP | 383,340 | 6,968,610 |
13.00%, 1/30/26(2) | DOP | 105,090 | 1,912,179 |
$ 55,527,622 | |||
Hungary — 2.0% | |||
Hungary Government Bond: | |||
2.25%, 4/20/33 | HUF | 1,715,000 | $ 3,184,697 |
3.00%, 4/25/41 | HUF | 4,910,850 | 7,734,134 |
3.25%, 10/22/31 | HUF | 2,700,000 | 5,715,856 |
4.00%, 4/28/51 | HUF | 524,540 | 867,824 |
4.75%, 11/24/32 | HUF | 1,572,100 | 3,588,731 |
$ 21,091,242 | |||
India — 3.3% | |||
India Government Bond: | |||
7.10%, 4/18/29 | INR | 2,259,990 | $ 26,804,727 |
7.26%, 2/6/33 | INR | 693,050 | 8,268,279 |
$ 35,073,006 | |||
Indonesia — 7.4% | |||
Indonesia Government Bond: | |||
6.375%, 4/15/32 | IDR | 46,500,000 | $ 2,797,874 |
Security | Principal Amount (000's omitted) | Value | |
Indonesia (continued) | |||
Indonesia Government Bond: (continued) | |||
6.50%, 2/15/31 | IDR | 335,135,000 | $ 20,301,987 |
7.00%, 2/15/33 | IDR | 27,742,000 | 1,733,050 |
7.125%, 6/15/38 | IDR | 37,641,000 | 2,359,831 |
7.125%, 6/15/42 | IDR | 60,101,000 | 3,757,514 |
7.125%, 6/15/43 | IDR | 162,709,000 | 10,215,636 |
7.375%, 5/15/48 | IDR | 16,622,000 | 1,066,539 |
7.50%, 5/15/38 | IDR | 232,589,000 | 15,000,782 |
7.50%, 4/15/40 | IDR | 45,427,000 | 2,926,374 |
8.25%, 6/15/32 | IDR | 11,609,000 | 776,915 |
8.25%, 5/15/36 | IDR | 242,576,000 | 16,454,090 |
8.375%, 4/15/39 | IDR | 22,764,000 | 1,573,346 |
9.50%, 5/15/41 | IDR | 5,702,000 | 442,071 |
$ 79,406,009 | |||
Ivory Coast — 0.2% | |||
Ivory Coast Government International Bond, 5.125%, 6/15/25(1) | EUR | 1,726 | $ 1,799,617 |
$ 1,799,617 | |||
Jordan — 0.4% | |||
Kingdom of Jordan, 4.95%, 7/7/25(1) | USD | 4,503 | $ 4,208,742 |
$ 4,208,742 | |||
Malaysia — 5.8% | |||
Malaysia Government Bond: | |||
3.582%, 7/15/32 | MYR | 29,072 | $ 5,848,938 |
3.733%, 6/15/28 | MYR | 7,900 | 1,643,919 |
3.757%, 5/22/40 | MYR | 17,415 | 3,358,018 |
3.828%, 7/5/34 | MYR | 130,100 | 26,409,692 |
4.065%, 6/15/50 | MYR | 25,800 | 4,996,896 |
4.254%, 5/31/35 | MYR | 27,750 | 5,840,165 |
4.642%, 11/7/33 | MYR | 25,940 | 5,693,935 |
4.696%, 10/15/42 | MYR | 36,069 | 7,831,552 |
$ 61,623,115 | |||
Mexico — 6.2% | |||
Mexican Bonos: | |||
7.50%, 6/3/27 | MXN | 148,017 | $ 7,520,818 |
7.75%, 5/29/31 | MXN | 149,400 | 7,224,218 |
7.75%, 11/13/42(6) | MXN | 361,250 | 16,009,693 |
8.00%, 7/31/53(6) | MXN | 120,800 | 5,390,270 |
8.50%, 5/31/29 | MXN | 178,520 | 9,209,692 |
8.50%, 11/18/38 | MXN | 410,469 | 19,890,964 |
Security | Principal Amount (000's omitted) | Value | |
Mexico (continued) | |||
Mexican Bonos: (continued) | |||
10.00%, 11/20/36 | MXN | 22,074 | $ 1,213,278 |
$ 66,458,933 | |||
North Macedonia — 0.1% | |||
North Macedonia Government International Bond: | |||
2.75%, 1/18/25(1) | EUR | 913 | $ 928,283 |
3.675%, 6/3/26(1) | EUR | 600 | 597,194 |
$ 1,525,477 | |||
Oman — 0.3% | |||
Oman Government International Bond, 4.875%, 2/1/25(1) | USD | 3,173 | $ 3,114,696 |
$ 3,114,696 | |||
Panama — 0.0%(5) | |||
Panama Bonos del Tesoro, 6.375%, 7/25/33(1)(2) | USD | 395 | $ 361,145 |
$ 361,145 | |||
Paraguay — 0.2% | |||
Republic of Paraguay, 5.00%, 4/15/26(1) | USD | 2,174 | $ 2,119,085 |
$ 2,119,085 | |||
Peru — 4.7% | |||
Peru Government Bond: | |||
5.40%, 8/12/34 | PEN | 7,309 | $ 1,589,512 |
5.94%, 2/12/29 | PEN | 100,914 | 25,188,408 |
6.15%, 8/12/32 | PEN | 15,223 | 3,625,042 |
6.35%, 8/12/28 | PEN | 8,808 | 2,261,537 |
6.85%, 2/12/42 | PEN | 19,284 | 4,597,275 |
6.90%, 8/12/37 | PEN | 8,763 | 2,121,034 |
6.95%, 8/12/31 | PEN | 3,863 | 980,754 |
7.30%, 8/12/33(1)(2) | PEN | 40,795 | 10,412,163 |
$ 50,775,725 | |||
Romania — 5.0% | |||
Romania Government International Bond: | |||
2.75%, 2/26/26(1) | EUR | 2,755 | $ 2,794,674 |
3.624%, 5/26/30(1) | EUR | 2,755 | 2,524,290 |
Romanian Government Bond: | |||
2.50%, 10/25/27 | RON | 70,650 | 13,013,678 |
3.25%, 6/24/26 | RON | 57,650 | 11,437,786 |
4.15%, 1/26/28 | RON | 48,045 | 9,368,411 |
4.25%, 4/28/36 | RON | 20,630 | 3,384,732 |
Security | Principal Amount (000's omitted) | Value | |
Romania (continued) | |||
Romanian Government Bond: (continued) | |||
4.85%, 4/22/26 | RON | 32,030 | $ 6,604,830 |
5.80%, 7/26/27 | RON | 16,020 | 3,325,502 |
8.75%, 10/30/28 | RON | 6,025 | 1,389,715 |
$ 53,843,618 | |||
Serbia — 2.2% | |||
Serbia Treasury Bond: | |||
4.50%, 8/20/32 | RSD | 2,566,470 | $ 20,416,230 |
5.875%, 2/8/28 | RSD | 296,460 | 2,739,407 |
$ 23,155,637 | |||
Seychelles — 0.0%(5) | |||
Republic of Seychelles, 8.00%, 1/1/26(1) | USD | 491 | $ 496,040 |
$ 496,040 | |||
South Africa — 14.2% | |||
Republic of South Africa: | |||
8.00%, 1/31/30 | ZAR | 361,300 | $ 17,063,731 |
8.25%, 3/31/32 | ZAR | 181,004 | 7,987,499 |
8.50%, 1/31/37 | ZAR | 369,200 | 14,677,922 |
8.75%, 1/31/44 | ZAR | 284,087 | 10,747,672 |
8.75%, 2/28/48 | ZAR | 69,430 | 2,611,425 |
9.00%, 1/31/40 | ZAR | 334,480 | 13,343,307 |
10.50%, 12/21/26 | ZAR | 831,768 | 46,036,766 |
10.50%, 12/21/26 | ZAR | 710,195 | 39,307,909 |
$151,776,231 | |||
Suriname — 0.9% | |||
Republic of Suriname: | |||
9.25%, 10/26/26(1)(7) | USD | 8,268 | $ 7,544,550 |
12.875%, 12/30/23(1)(7) | USD | 1,698 | 1,555,368 |
12.875%, 12/30/23(2)(7) | USD | 1,055 | 966,380 |
$ 10,066,298 | |||
Thailand — 4.5% | |||
Thailand Government Bond: | |||
1.585%, 12/17/35 | THB | 378,694 | $ 8,669,452 |
1.60%, 12/17/29 | THB | 200,000 | 5,140,018 |
3.30%, 6/17/38 | THB | 594,751 | 15,976,260 |
3.40%, 6/17/36 | THB | 205,000 | 5,645,362 |
3.65%, 6/20/31 | THB | 264,884 | 7,627,451 |
4.875%, 6/22/29 | THB | 183,489 | 5,614,269 |
$ 48,672,812 |
Security | Principal Amount (000's omitted) | Value | |
Ukraine — 0.5% | |||
Ukraine Government Bond: | |||
10.95%, 11/1/23 | UAH | 31,964 | $ 835,799 |
11.67%, 11/22/23 | UAH | 17,516 | 409,187 |
15.84%, 2/26/25 | UAH | 187,405 | 4,054,555 |
$ 5,299,541 | |||
United Arab Emirates — 0.3% | |||
Sharjah Sukuk, Ltd., 3.764%, 9/17/24(1) | USD | 2,747 | $ 2,685,341 |
$ 2,685,341 | |||
Uruguay — 1.5% | |||
Uruguay Government Bond: | |||
3.875%, 7/2/40(8) | UYU | 259,753 | $ 6,595,380 |
9.75%, 7/20/33 | UYU | 323,861 | 8,076,428 |
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24 | UYU | 38,225 | 897,640 |
$ 15,569,448 | |||
Uzbekistan — 1.3% | |||
Republic of Uzbekistan: | |||
4.75%, 2/20/24(1) | USD | 3,100 | $ 3,080,141 |
14.00%, 7/19/24(1) | UZS | 10,590,000 | 864,780 |
16.25%, 10/12/26(1) | UZS | 117,030,000 | 9,613,182 |
$ 13,558,103 | |||
Vietnam — 0.3% | |||
Vietnam Government International Bond, 4.80%, 11/19/24(1) | USD | 3,124 | $ 3,069,174 |
$ 3,069,174 | |||
Zambia — 0.5% | |||
Zambia Government Bond: | |||
11.00%, 1/25/26 | ZMW | 100,560 | $ 3,983,076 |
11.00%, 6/28/26 | ZMW | 4,262 | 160,508 |
11.00%, 12/27/26 | ZMW | 21,670 | 769,794 |
12.00%, 6/28/28 | ZMW | 14,500 | 470,466 |
12.00%, 8/30/28 | ZMW | 1,500 | 47,984 |
12.00%, 11/29/28 | ZMW | 4,500 | 141,229 |
13.00%, 1/25/31 | ZMW | 7,100 | 199,993 |
$ 5,773,050 | |||
Total Sovereign Government Bonds (identified cost $918,487,957) | $795,110,832 |
Short-Term Investments — 15.8% |
Affiliated Fund — 9.1% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(9) | 97,178,009 | $ 97,178,009 | |
Total Affiliated Fund (identified cost $97,178,009) | $ 97,178,009 |
Repurchase Agreements — 0.8% |
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: | |||
Dated 9/29/23 with an interest rate of 5.15%, collateralized by MXN 71,042,171 Mexican Udibonos, 4.00%, due 11/3/50 and a market value, including accrued interest, of $3,444,949(10) | USD | 3,566 | $ 3,566,423 |
Dated 10/16/23 with an interest rate of 5.15%, collateralized by MXN 91,904,389 Mexican Udibonos, 4.00%, due 11/15/40 and a market value, including accrued interest, of $4,595,894(10) | USD | 4,685 | 4,684,754 |
Total Repurchase Agreements (identified cost $8,251,177) | $ 8,251,177 |
Sovereign Government Securities — 3.1% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 2.3% | |||
Letra do Tesouro Nacional, 0.00%, 1/1/24 | BRL | 130,000 | $ 25,307,594 |
$ 25,307,594 | |||
Sri Lanka — 0.8% | |||
Sri Lanka Treasury Bills: | |||
0.00%, 11/17/23 | LKR | 639,000 | $ 1,938,744 |
0.00%, 11/24/23 | LKR | 97,000 | 293,450 |
0.00%, 12/8/23 | LKR | 101,000 | 303,758 |
0.00%, 1/5/24 | LKR | 70,000 | 207,977 |
0.00%, 1/12/24 | LKR | 1,847,000 | 5,470,501 |
$ 8,214,430 | |||
Total Sovereign Government Securities (identified cost $34,642,396) | $ 33,522,024 |
U.S. Treasury Obligations — 2.8% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 11/30/23(11) | $ | 20,000 | $ 19,914,869 |
0.00%, 1/9/24 | 10,000 | 9,898,848 | |
Total U.S. Treasury Obligations (identified cost $29,813,076) | $ 29,813,717 | ||
Total Short-Term Investments (identified cost $169,884,658) | $168,764,927 |
Total Purchased Options — 0.0%(5) (identified cost $505,336) | $ 412,361 | ||
Total Investments — 94.9% (identified cost $1,140,231,171) | $1,015,847,977 | ||
Total Written Options — (0.0)%(5) (premiums received $180,858) | $ (108,317) |
Securities Sold Short — (0.7)% | |||
Sovereign Government Bonds — (0.7)% |
Security | Principal Amount (000's omitted) | Value | |
Mexico — (0.7)% | |||
Mexican Udibonos: | |||
4.00%, 11/15/40(8) | MXN | (91,904) | $ (4,514,899) |
4.00%, 11/3/50(8) | MXN | (71,042) | (3,382,340) |
Total Sovereign Government Bonds (proceeds $8,108,487) | $ (7,897,239) | ||
Total Securities Sold Short (proceeds $8,108,487) | $ (7,897,239) |
Value | |||
Other Assets, Less Liabilities — 5.8% | $ 62,171,742 | ||
Net Assets — 100.0% | $1,070,014,163 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At October 31, 2023, the aggregate value of these securities is $146,924,234 or 13.7% of the Portfolio's net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At October 31, 2023, the aggregate value of these securities is $69,040,404 or 6.5% of the Portfolio's net assets. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9). |
(4) | Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower. |
(5) | Amount is less than 0.05% or (0.05)%, as applicable. |
(6) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(7) | Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(8) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(9) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
(10) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(11) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Currency Options (OTC) — 0.0%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 25,800,000 | CNH | 7.30 | 1/18/24 | $224,924 |
Call USD vs. Put CNH | Goldman Sachs International | USD | 21,500,000 | CNH | 7.30 | 1/18/24 | 187,437 |
Total | $412,361 |
(1) | Amount is less than 0.05%. |
Written Currency Options (OTC) — (0.0)%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 25,800,000 | CNH | 7.50 | 1/18/24 | $ (59,082) |
Call USD vs. Put CNH | Goldman Sachs International | USD | 21,500,000 | CNH | 7.50 | 1/18/24 | (49,235) |
Total | $(108,317) |
(1) | Amount is less than (0.05)%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
BRL | 134,571,000 | USD | 26,984,343 | 11/3/23 | $ (293,016) |
BRL | 140,344,000 | USD | 28,136,327 | 11/3/23 | (299,961) |
USD | 29,186,251 | BRL | 146,048,000 | 11/3/23 | 218,531 |
USD | 25,686,067 | BRL | 128,867,000 | 11/3/23 | 126,093 |
BRL | 511,000 | USD | 101,916 | 12/4/23 | (945) |
BRL | 7,016,000 | USD | 1,399,960 | 12/4/23 | (13,632) |
BRL | 15,300,000 | USD | 3,059,523 | 12/4/23 | (36,315) |
BRL | 114,634,018 | USD | 23,221,719 | 12/4/23 | (570,580) |
BRL | 166,539,000 | USD | 33,745,137 | 12/4/23 | (837,819) |
USD | 10,775,855 | BRL | 53,195,005 | 12/4/23 | 264,773 |
USD | 4,589,695 | BRL | 22,800,000 | 12/4/23 | 84,523 |
USD | 1,262,069 | BRL | 6,400,000 | 12/4/23 | (2,541) |
USD | 2,825,551 | BRL | 14,387,000 | 12/4/23 | (17,252) |
USD | 2,532,453 | BRL | 13,100,000 | 12/4/23 | (56,045) |
CLP | 24,220,766,480 | USD | 26,934,408 | 12/20/23 | 51,636 |
CLP | 388,498,000 | USD | 433,471 | 12/20/23 | (618) |
CLP | 388,498,000 | USD | 433,722 | 12/20/23 | (870) |
CLP | 776,996,000 | USD | 866,699 | 12/20/23 | (994) |
CLP | 388,498,000 | USD | 433,955 | 12/20/23 | (1,102) |
CLP | 388,498,000 | USD | 433,955 | 12/20/23 | (1,102) |
CLP | 388,498,000 | USD | 434,805 | 12/20/23 | (1,952) |
COP | 11,180,000,000 | USD | 2,674,533 | 12/20/23 | 12,847 |
COP | 246,540,445,850 | USD | 59,585,663 | 12/20/23 | (323,785) |
EUR | 10,518,605 | USD | 11,263,533 | 12/20/23 | (108,987) |
EUR | 204,326,386 | USD | 218,796,781 | 12/20/23 | (2,117,097) |
IDR | 5,348,958,600 | USD | 340,184 | 12/20/23 | (4,652) |
IDR | 51,781,800,000 | USD | 3,370,443 | 12/20/23 | (122,247) |
IDR | 67,024,020,864 | USD | 4,362,776 | 12/20/23 | (158,459) |
IDR | 1,211,703,462,139 | USD | 77,062,235 | 12/20/23 | (1,053,870) |
KRW | 2,077,000,000 | USD | 1,566,767 | 12/20/23 | (27,494) |
KRW | 2,524,400,000 | USD | 1,904,992 | 12/20/23 | (34,149) |
KRW | 20,895,000,000 | USD | 15,761,960 | 12/20/23 | (276,596) |
KRW | 25,386,400,000 | USD | 19,157,378 | 12/20/23 | (343,420) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
PEN | 31,080,000 | USD | 8,002,678 | 12/20/23 | $ 72,371 |
PEN | 22,000,000 | USD | 5,668,642 | 12/20/23 | 47,287 |
PEN | 4,400,000 | USD | 1,134,708 | 12/20/23 | 8,478 |
PEN | 12,722,200 | USD | 3,313,677 | 12/20/23 | (8,259) |
PEN | 14,000,000 | USD | 3,665,401 | 12/20/23 | (27,992) |
PEN | 46,088,218 | USD | 12,390,638 | 12/20/23 | (416,231) |
USD | 9,114,867 | CLP | 8,196,543,685 | 12/20/23 | (17,474) |
USD | 2,399,352 | CLP | 2,193,200,000 | 12/20/23 | (44,245) |
USD | 4,418,767 | COP | 18,283,000,000 | 12/20/23 | 24,011 |
USD | 2,706,205 | COP | 11,197,140,625 | 12/20/23 | 14,705 |
USD | 312,575 | COP | 1,293,302,166 | 12/20/23 | 1,699 |
USD | 8,845,257 | COP | 36,884,900,000 | 12/20/23 | (20,908) |
USD | 48,488,062 | EUR | 45,281,244 | 12/20/23 | 469,175 |
USD | 47,762,895 | EUR | 44,604,037 | 12/20/23 | 462,158 |
USD | 37,382,736 | EUR | 34,910,383 | 12/20/23 | 361,719 |
USD | 21,652,581 | EUR | 20,220,561 | 12/20/23 | 209,512 |
USD | 7,086,873 | EUR | 6,618,174 | 12/20/23 | 68,573 |
USD | 5,893,758 | EUR | 5,503,967 | 12/20/23 | 57,029 |
USD | 1,930,776 | EUR | 1,803,082 | 12/20/23 | 18,682 |
USD | 1,229,668 | EUR | 1,148,342 | 12/20/23 | 11,898 |
USD | 753,189 | EUR | 703,376 | 12/20/23 | 7,288 |
USD | 10,682,290 | IDR | 164,331,000,000 | 12/20/23 | 374,049 |
USD | 18,370,028 | IDR | 288,844,814,013 | 12/20/23 | 251,221 |
USD | 6,889,305 | IDR | 105,840,397,540 | 12/20/23 | 250,094 |
USD | 5,339,550 | IDR | 82,165,000,000 | 12/20/23 | 185,461 |
USD | 5,339,268 | IDR | 82,166,000,000 | 12/20/23 | 185,117 |
USD | 9,764,321 | IDR | 153,531,259,462 | 12/20/23 | 133,533 |
USD | 2,811,839 | IDR | 43,339,611,579 | 12/20/23 | 93,210 |
USD | 2,653,144 | IDR | 40,862,100,000 | 12/20/23 | 89,925 |
USD | 2,253,655 | IDR | 34,946,300,000 | 12/20/23 | 61,525 |
USD | 825,172 | INR | 68,540,000 | 12/20/23 | 3,297 |
USD | 1,508,621 | INR | 126,000,000 | 12/20/23 | (2,267) |
USD | 2,525,736 | INR | 211,000,000 | 12/20/23 | (4,402) |
USD | 3,787,294 | INR | 316,400,000 | 12/20/23 | (6,714) |
USD | 5,052,682 | INR | 422,000,000 | 12/20/23 | (7,594) |
USD | 6,500,658 | INR | 543,000,000 | 12/20/23 | (10,550) |
USD | 794,407 | KRW | 1,050,000,000 | 12/20/23 | 16,248 |
USD | 2,459,266 | KRW | 3,316,000,000 | 12/20/23 | 1,765 |
USD | 22,085,840 | PEN | 82,230,000 | 12/20/23 | 721,257 |
USD | 13,001,207 | PEN | 48,475,000 | 12/20/23 | 406,678 |
USD | 6,381,339 | PEN | 23,759,000 | 12/20/23 | 208,395 |
USD | 3,756,470 | PEN | 14,006,000 | 12/20/23 | 117,502 |
USD | 2,348,701 | PEN | 8,736,229 | 12/20/23 | 78,898 |
USD | 5,733,735 | PEN | 21,900,000 | 12/20/23 | 43,788 |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 678,765 | PEN | 2,524,734 | 12/20/23 | $ 22,801 |
USD | 610,228 | PEN | 2,272,000 | 12/20/23 | 19,928 |
USD | 2,127,670 | PEN | 8,142,000 | 12/20/23 | 12,257 |
USD | 2,067,635 | PEN | 7,930,000 | 12/20/23 | 7,302 |
USD | 176,193 | PEN | 656,000 | 12/20/23 | 5,754 |
USD | 5,596,151 | PEN | 21,520,000 | 12/20/23 | 4,934 |
USD | 2,022,633 | PEN | 7,775,000 | 12/20/23 | 2,571 |
USD | 16,204 | PEN | 62,690 | 12/20/23 | (84) |
USD | 3,264,948 | PEN | 12,659,510 | 12/20/23 | (24,182) |
BRL | 128,867,000 | USD | 25,508,621 | 1/3/24 | (125,111) |
BRL | 146,048,000 | USD | 28,984,104 | 1/3/24 | (216,376) |
$ (1,747,391) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 8,931,620 | USD | 9,461,033 | Goldman Sachs International | 11/3/23 | $ — | $ (10,111) |
EUR | 2,865,394 | USD | 3,030,660 | Standard Chartered Bank | 11/3/23 | 1,334 | — |
EUR | 2,768,618 | USD | 2,930,352 | Standard Chartered Bank | 11/3/23 | — | (761) |
EUR | 6,780,736 | USD | 7,145,621 | UBS AG | 11/3/23 | 29,361 | — |
USD | 219,729 | UZS | 2,692,778,443 | JPMorgan Chase Bank, N.A. | 11/6/23 | 145 | — |
UZS | 2,692,778,443 | USD | 216,810 | JPMorgan Chase Bank, N.A. | 11/7/23 | 2,155 | — |
ILS | 15,206,967 | USD | 4,015,781 | Goldman Sachs International | 11/13/23 | — | (252,017) |
USD | 3,862,970 | ILS | 15,206,967 | Citibank, N.A. | 11/13/23 | 99,206 | — |
USD | 5,245,855 | PEN | 20,107,000 | Standard Chartered Bank | 11/13/23 | 14,119 | — |
MYR | 15,000,000 | USD | 3,252,456 | Barclays Bank PLC | 11/15/23 | — | (101,673) |
MYR | 48,967,000 | USD | 10,845,404 | Goldman Sachs International | 11/15/23 | — | (559,779) |
MYR | 97,050,000 | USD | 20,970,182 | State Street Bank and Trust Company | 11/15/23 | — | (584,618) |
USD | 8,630,565 | MYR | 38,967,000 | Goldman Sachs International | 11/15/23 | 445,462 | — |
ILS | 34,199,026 | USD | 9,047,361 | HSBC Bank USA, N.A. | 11/24/23 | — | (579,103) |
USD | 5,222,891 | ILS | 20,560,434 | Standard Chartered Bank | 11/24/23 | 131,780 | — |
USD | 3,454,645 | ILS | 13,638,592 | UBS AG | 11/24/23 | 77,498 | — |
UZS | 11,828,431,118 | USD | 1,004,111 | ICBC Standard Bank plc | 11/27/23 | — | (39,536) |
ILS | 30,166,667 | USD | 8,024,095 | BNP Paribas | 11/28/23 | — | (553,063) |
USD | 2,797,463 | ILS | 11,035,552 | Citibank, N.A. | 11/28/23 | 64,414 | — |
USD | 4,853,519 | ILS | 19,131,115 | JPMorgan Chase Bank, N.A. | 11/28/23 | 115,535 | — |
TRY | 49,720,000 | USD | 1,726,972 | Standard Chartered Bank | 12/8/23 | — | (20,724) |
TRY | 182,048,945 | USD | 6,345,431 | Standard Chartered Bank | 12/8/23 | — | (98,031) |
UZS | 25,102,783,000 | USD | 2,008,223 | ICBC Standard Bank plc | 12/18/23 | — | (32,931) |
CNH | 20,000,000 | USD | 2,746,502 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (13,349) |
CNH | 427,813,617 | USD | 58,749,547 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (285,538) |
CNH | 661,171,267 | USD | 90,795,410 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (441,289) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
CZK | 178,846,941 | EUR | 7,262,734 | Goldman Sachs International | 12/20/23 | $ — | $ (7,464) |
CZK | 921,722,851 | EUR | 37,484,865 | Goldman Sachs International | 12/20/23 | — | (96,727) |
CZK | 33,300,000 | EUR | 1,353,204 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (2,382) |
CZK | 22,100,000 | EUR | 907,178 | UBS AG | 12/20/23 | — | (11,237) |
CZK | 178,846,940 | EUR | 7,269,988 | UBS AG | 12/20/23 | — | (15,157) |
CZK | 883,194,768 | EUR | 35,890,555 | UBS AG | 12/20/23 | — | (63,584) |
EUR | 1,595,349 | CZK | 39,522,565 | Bank of America, N.A. | 12/20/23 | — | (8,540) |
EUR | 3,475,011 | CZK | 85,500,000 | Barclays Bank PLC | 12/20/23 | 6,719 | — |
EUR | 627,566 | CZK | 15,542,447 | Citibank, N.A. | 12/20/23 | — | (3,160) |
EUR | 3,988,955 | CZK | 98,806,413 | Citibank, N.A. | 12/20/23 | — | (20,734) |
EUR | 16,809,818 | CZK | 413,339,966 | Goldman Sachs International | 12/20/23 | 43,377 | — |
EUR | 3,257,410 | CZK | 80,214,663 | Goldman Sachs International | 12/20/23 | 3,348 | — |
EUR | 1,272,920 | CZK | 31,300,091 | Goldman Sachs International | 12/20/23 | 3,285 | — |
EUR | 246,667 | CZK | 6,074,240 | Goldman Sachs International | 12/20/23 | 254 | — |
EUR | 3,486,968 | CZK | 86,406,010 | Standard Chartered Bank | 12/20/23 | — | (19,580) |
EUR | 16,007,449 | CZK | 393,911,293 | UBS AG | 12/20/23 | 28,359 | — |
EUR | 3,260,663 | CZK | 80,214,663 | UBS AG | 12/20/23 | 6,798 | — |
EUR | 1,212,161 | CZK | 29,828,859 | UBS AG | 12/20/23 | 2,147 | — |
EUR | 246,913 | CZK | 6,074,240 | UBS AG | 12/20/23 | 515 | — |
EUR | 1,595,883 | CZK | 39,522,565 | UBS AG | 12/20/23 | — | (7,974) |
EUR | 4,352,488 | HUF | 1,706,201,500 | BNP Paribas | 12/20/23 | — | (71,744) |
EUR | 1,085,954 | HUF | 425,881,276 | Goldman Sachs International | 12/20/23 | — | (18,397) |
EUR | 1,539,973 | HUF | 602,188,766 | Goldman Sachs International | 12/20/23 | — | (21,291) |
EUR | 3,820,523 | HUF | 1,493,366,162 | Goldman Sachs International | 12/20/23 | — | (51,157) |
EUR | 1,085,991 | HUF | 425,881,276 | HSBC Bank USA, N.A. | 12/20/23 | — | (18,358) |
EUR | 1,539,695 | HUF | 602,188,766 | Standard Chartered Bank | 12/20/23 | — | (21,586) |
EUR | 3,849,874 | HUF | 1,505,471,911 | Standard Chartered Bank | 12/20/23 | — | (53,290) |
EUR | 4,349,892 | HUF | 1,706,201,500 | UBS AG | 12/20/23 | — | (74,498) |
EUR | 2,152,045 | PLN | 10,000,000 | HSBC Bank USA, N.A. | 12/20/23 | — | (88,551) |
EUR | 2,829,091 | PLN | 13,130,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (112,603) |
EUR | 1,739,834 | RON | 8,700,000 | Citibank, N.A. | 12/20/23 | — | (7,321) |
EUR | 2,197,698 | RON | 10,980,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (7,217) |
EUR | 45,236,812 | RON | 226,190,134 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (187,069) |
HUF | 5,237,431,926 | EUR | 13,360,591 | BNP Paribas | 12/20/23 | 220,229 | — |
HUF | 4,794,126,245 | EUR | 12,264,957 | Goldman Sachs International | 12/20/23 | 164,228 | — |
HUF | 1,928,327,208 | EUR | 4,931,296 | Goldman Sachs International | 12/20/23 | 68,179 | — |
HUF | 1,310,758,364 | EUR | 3,342,300 | Goldman Sachs International | 12/20/23 | 56,622 | — |
HUF | 1,310,758,364 | EUR | 3,342,414 | HSBC Bank USA, N.A. | 12/20/23 | 56,501 | — |
HUF | 4,761,301,751 | EUR | 12,175,857 | Standard Chartered Bank | 12/20/23 | 168,538 | — |
HUF | 1,928,327,208 | EUR | 4,930,406 | Standard Chartered Bank | 12/20/23 | 69,123 | — |
HUF | 5,237,431,924 | EUR | 13,352,621 | UBS AG | 12/20/23 | 228,681 | — |
ILS | 31,921,320 | USD | 8,406,741 | BNP Paribas | 12/20/23 | — | (488,122) |
MXN | 63,908,825 | USD | 3,630,335 | BNP Paribas | 12/20/23 | — | (112,931) |
MXN | 81,000,000 | USD | 4,650,310 | Citibank, N.A. | 12/20/23 | — | (192,245) |
MXN | 113,506,000 | USD | 6,542,133 | Citibank, N.A. | 12/20/23 | — | (295,007) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
MXN | 53,200,000 | USD | 2,918,002 | Goldman Sachs International | 12/20/23 | $ 10,012 | $ — |
MXN | 72,500,000 | USD | 3,981,801 | Goldman Sachs International | 12/20/23 | 8,442 | — |
MXN | 53,200,000 | USD | 2,925,652 | Goldman Sachs International | 12/20/23 | 2,362 | — |
MXN | 53,200,000 | USD | 2,925,902 | Goldman Sachs International | 12/20/23 | 2,112 | — |
MXN | 6,111,945 | USD | 351,519 | Goldman Sachs International | 12/20/23 | — | (15,131) |
MXN | 10,156,130 | USD | 584,606 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (25,635) |
MXN | 159,600,000 | USD | 8,761,499 | Standard Chartered Bank | 12/20/23 | 22,540 | — |
MXN | 132,578,000 | USD | 7,644,688 | Standard Chartered Bank | 12/20/23 | — | (347,881) |
MXN | 134,448,000 | USD | 7,721,447 | UBS AG | 12/20/23 | — | (321,719) |
MXN | 2,019,366,844 | USD | 113,556,666 | UBS AG | 12/20/23 | — | (2,415,071) |
MYR | 162,578,714 | USD | 34,933,114 | Barclays Bank PLC | 12/20/23 | — | (703,929) |
MYR | 71,522,058 | USD | 15,381,088 | Goldman Sachs International | 12/20/23 | — | (322,894) |
PLN | 148,632,682 | EUR | 31,806,504 | BNP Paribas | 12/20/23 | 1,506,952 | — |
PLN | 6,467,391 | EUR | 1,383,983 | BNP Paribas | 12/20/23 | 65,571 | — |
PLN | 2,607,451 | EUR | 557,979 | BNP Paribas | 12/20/23 | 26,436 | — |
PLN | 36,754,327 | EUR | 7,866,170 | Goldman Sachs International | 12/20/23 | 371,621 | — |
PLN | 10,800,000 | EUR | 2,396,413 | Goldman Sachs International | 12/20/23 | 19,065 | — |
PLN | 1,599,276 | EUR | 342,277 | Goldman Sachs International | 12/20/23 | 16,170 | — |
PLN | 644,778 | EUR | 137,996 | Goldman Sachs International | 12/20/23 | 6,519 | — |
PLN | 148,378,583 | EUR | 31,750,280 | UBS AG | 12/20/23 | 1,506,336 | — |
PLN | 36,754,328 | EUR | 7,873,054 | UBS AG | 12/20/23 | 364,321 | — |
PLN | 6,456,335 | EUR | ��� 1,381,537 | UBS AG | 12/20/23 | 65,545 | — |
PLN | 2,602,993 | EUR | 556,992 | UBS AG | 12/20/23 | 26,425 | — |
PLN | 1,599,275 | EUR | 342,577 | UBS AG | 12/20/23 | 15,853 | — |
PLN | 644,778 | EUR | 138,116 | UBS AG | 12/20/23 | 6,391 | — |
RON | 8,600,000 | EUR | 1,720,229 | Goldman Sachs International | 12/20/23 | 6,820 | — |
RON | 197,871,000 | EUR | 39,573,137 | JPMorgan Chase Bank, N.A. | 12/20/23 | 163,648 | — |
THB | 120,400,000 | USD | 3,261,228 | Standard Chartered Bank | 12/20/23 | 102,961 | — |
THB | 840,563,013 | USD | 23,702,725 | Standard Chartered Bank | 12/20/23 | — | (215,902) |
THB | 765,594,000 | USD | 21,801,546 | Standard Chartered Bank | 12/20/23 | — | (409,491) |
THB | 1,374,000,000 | USD | 39,448,185 | Standard Chartered Bank | 12/20/23 | — | (1,056,186) |
USD | 10,135,919 | CNH | 74,000,000 | Citibank, N.A. | 12/20/23 | 23,251 | — |
USD | 1,779,269 | CNH | 12,850,000 | Citibank, N.A. | 12/20/23 | 23,218 | — |
USD | 6,453,209 | CNH | 47,000,000 | Goldman Sachs International | 12/20/23 | 30,299 | — |
USD | 12,741,337 | CNH | 93,047,000 | Goldman Sachs International | 12/20/23 | 25,751 | — |
USD | 3,844,465 | CNH | 28,000,000 | Goldman Sachs International | 12/20/23 | 18,050 | — |
USD | 961,116 | CNH | 7,000,000 | Goldman Sachs International | 12/20/23 | 4,513 | — |
USD | 40,633,881 | CNH | 295,895,515 | JPMorgan Chase Bank, N.A. | 12/20/23 | 197,491 | — |
USD | 24,473,013 | CNH | 178,212,234 | JPMorgan Chase Bank, N.A. | 12/20/23 | 118,945 | — |
USD | 5,837,179 | CNH | 42,506,280 | JPMorgan Chase Bank, N.A. | 12/20/23 | 28,370 | — |
USD | 3,213,703 | CNH | 23,400,000 | Standard Chartered Bank | 12/20/23 | 15,914 | — |
USD | 2,306,254 | CNH | 16,800,000 | Standard Chartered Bank | 12/20/23 | 10,405 | — |
USD | 5,024,703 | ILS | 19,610,862 | BNP Paribas | 12/20/23 | 159,899 | — |
USD | 3,125,400 | ILS | 12,310,458 | HSBC Bank USA, N.A. | 12/20/23 | 71,584 | — |
USD | 1,903,973 | MXN | 34,920,000 | Goldman Sachs International | 12/20/23 | — | (17,948) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 1,903,973 | MXN | 34,920,000 | Goldman Sachs International | 12/20/23 | $ — | $ (17,948) |
USD | 4,238,362 | MXN | 73,900,000 | State Street Bank and Trust Company | 12/20/23 | 171,066 | — |
USD | 1,044,286 | MXN | 18,935,000 | State Street Bank and Trust Company | 12/20/23 | 2,144 | — |
USD | 1,007,991 | MXN | 18,306,000 | State Street Bank and Trust Company | 12/20/23 | 468 | — |
USD | 961,195 | MXN | 17,546,200 | State Street Bank and Trust Company | 12/20/23 | — | (4,510) |
USD | 555,964 | MXN | 10,221,000 | State Street Bank and Trust Company | 12/20/23 | — | (6,578) |
USD | 56,948,142 | MXN | 1,012,703,123 | UBS AG | 12/20/23 | 1,211,147 | — |
USD | 25,907,411 | MXN | 460,708,900 | UBS AG | 12/20/23 | 550,987 | — |
USD | 1,208,557 | MXN | 21,491,654 | UBS AG | 12/20/23 | 25,703 | — |
USD | 24,873,968 | MYR | 115,763,447 | Barclays Bank PLC | 12/20/23 | 501,230 | — |
USD | 2,546,149 | MYR | 12,000,000 | Barclays Bank PLC | 12/20/23 | 19,679 | — |
USD | 3,451,233 | MYR | 16,100,000 | Goldman Sachs International | 12/20/23 | 61,552 | — |
USD | 22,343,679 | THB | 778,241,524 | Standard Chartered Bank | 12/20/23 | 598,230 | — |
USD | 980,795 | THB | 35,100,000 | Standard Chartered Bank | 12/20/23 | 39 | — |
USD | 2,080,736 | THB | 75,600,000 | Standard Chartered Bank | 12/20/23 | — | (31,662) |
USD | 2,437,305 | UYU | 95,002,000 | Citibank, N.A. | 12/20/23 | 74,750 | — |
USD | 1,215,058 | UYU | 47,448,000 | Citibank, N.A. | 12/20/23 | 35,098 | — |
USD | 3,868,309 | ZAR | 73,400,000 | Citibank, N.A. | 12/20/23 | — | (53,605) |
USD | 1,772,739 | ZAR | 33,833,202 | Goldman Sachs International | 12/20/23 | — | (35,039) |
USD | 1,842,430 | ZAR | 35,242,918 | Goldman Sachs International | 12/20/23 | — | (40,672) |
USD | 1,643,629 | ZAR | 31,531,548 | Goldman Sachs International | 12/20/23 | — | (41,167) |
USD | 4,396,497 | ZAR | 83,908,346 | Goldman Sachs International | 12/20/23 | — | (86,900) |
USD | 4,569,336 | ZAR | 87,404,527 | Goldman Sachs International | 12/20/23 | — | (100,869) |
USD | 4,866,030 | ZAR | 93,350,418 | Goldman Sachs International | 12/20/23 | — | (121,876) |
USD | 6,117,334 | ZAR | 117,107,183 | Goldman Sachs International | 12/20/23 | — | (139,945) |
USD | 6,458,463 | ZAR | 123,978,601 | Goldman Sachs International | 12/20/23 | — | (165,970) |
USD | 15,171,351 | ZAR | 290,432,756 | Goldman Sachs International | 12/20/23 | — | (347,073) |
USD | 19,120,541 | ZAR | 367,043,650 | Goldman Sachs International | 12/20/23 | — | (491,361) |
USD | 1,772,301 | ZAR | 33,833,202 | HSBC Bank USA, N.A. | 12/20/23 | — | (35,477) |
USD | 1,662,877 | ZAR | 31,901,631 | HSBC Bank USA, N.A. | 12/20/23 | — | (41,693) |
USD | 1,841,156 | ZAR | 35,242,918 | HSBC Bank USA, N.A. | 12/20/23 | — | (41,947) |
USD | 4,395,413 | ZAR | 83,908,345 | HSBC Bank USA, N.A. | 12/20/23 | — | (87,984) |
USD | 4,964,079 | ZAR | 94,737,950 | HSBC Bank USA, N.A. | 12/20/23 | — | (97,966) |
USD | 4,566,175 | ZAR | 87,404,527 | HSBC Bank USA, N.A. | 12/20/23 | — | (104,030) |
USD | 4,923,014 | ZAR | 94,446,064 | HSBC Bank USA, N.A. | 12/20/23 | — | (123,434) |
USD | 6,114,938 | ZAR | 117,107,183 | HSBC Bank USA, N.A. | 12/20/23 | — | (142,341) |
USD | 12,311,209 | ZAR | 234,955,732 | HSBC Bank USA, N.A. | 12/20/23 | — | (242,962) |
USD | 15,165,409 | ZAR | 290,432,755 | HSBC Bank USA, N.A. | 12/20/23 | — | (353,014) |
USD | 6,430,013 | ZAR | 123,295,492 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (157,921) |
USD | 19,036,312 | ZAR | 365,021,275 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (467,531) |
USD | 4,936,112 | ZAR | 94,148,939 | UBS AG | 12/20/23 | — | (94,460) |
USD | 12,241,851 | ZAR | 233,494,950 | UBS AG | 12/20/23 | — | (234,267) |
USD | 285,754 | ZMW | 5,986,547 | JPMorgan Chase Bank, N.A. | 12/20/23 | 15,774 | — |
ZAR | 222,509,928 | USD | 11,591,292 | Goldman Sachs International | 12/20/23 | 297,874 | — |
ZAR | 130,570,951 | USD | 6,820,642 | Goldman Sachs International | 12/20/23 | 156,035 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
ZAR | 55,595,885 | USD | 2,898,019 | Goldman Sachs International | 12/20/23 | $ 72,584 | $ — |
ZAR | 39,093,099 | USD | 2,043,710 | Goldman Sachs International | 12/20/23 | 45,115 | — |
ZAR | 32,915,534 | USD | 1,719,410 | Goldman Sachs International | 12/20/23 | 39,335 | — |
ZAR | 33,620,065 | USD | 1,761,571 | Goldman Sachs International | 12/20/23 | 34,819 | — |
ZAR | 22,100,000 | USD | 1,157,615 | Goldman Sachs International | 12/20/23 | 23,233 | — |
ZAR | 9,854,950 | USD | 515,197 | Goldman Sachs International | 12/20/23 | 11,373 | — |
ZAR | 8,475,257 | USD | 444,073 | Goldman Sachs International | 12/20/23 | 8,777 | — |
ZAR | 168,000,000 | USD | 8,746,294 | HSBC Bank USA, N.A. | 12/20/23 | 230,294 | — |
ZAR | 130,570,950 | USD | 6,817,970 | HSBC Bank USA, N.A. | 12/20/23 | 158,706 | — |
ZAR | 93,326,610 | USD | 4,890,127 | HSBC Bank USA, N.A. | 12/20/23 | 96,507 | — |
ZAR | 55,595,884 | USD | 2,897,943 | HSBC Bank USA, N.A. | 12/20/23 | 72,660 | — |
ZAR | 39,093,099 | USD | 2,042,296 | HSBC Bank USA, N.A. | 12/20/23 | 46,529 | — |
ZAR | 32,915,534 | USD | 1,718,737 | HSBC Bank USA, N.A. | 12/20/23 | 40,008 | — |
ZAR | 33,620,065 | USD | 1,761,137 | HSBC Bank USA, N.A. | 12/20/23 | 35,253 | — |
ZAR | 37,523,059 | USD | 1,975,678 | HSBC Bank USA, N.A. | 12/20/23 | 29,257 | — |
ZAR | 23,526,637 | USD | 1,232,749 | HSBC Bank USA, N.A. | 12/20/23 | 24,328 | — |
ZAR | 9,854,950 | USD | 514,841 | HSBC Bank USA, N.A. | 12/20/23 | 11,729 | — |
ZAR | 8,475,257 | USD | 443,964 | HSBC Bank USA, N.A. | 12/20/23 | 8,887 | — |
ZAR | 18,761,530 | USD | 994,888 | HSBC Bank USA, N.A. | 12/20/23 | 7,579 | — |
ZAR | 219,457,439 | USD | 11,444,977 | JPMorgan Chase Bank, N.A. | 12/20/23 | 281,088 | — |
ZAR | 38,528,059 | USD | 2,032,204 | Standard Chartered Bank | 12/20/23 | 26,430 | — |
ZAR | 18,761,529 | USD | 995,260 | State Street Bank and Trust Company | 12/20/23 | 7,208 | — |
ZAR | 93,823,437 | USD | 4,919,047 | UBS AG | 12/20/23 | 94,134 | — |
ZAR | 23,651,881 | USD | 1,240,039 | UBS AG | 12/20/23 | 23,730 | — |
UZS | 15,485,095,000 | USD | 1,235,349 | ICBC Standard Bank plc | 12/21/23 | 8,975 | — |
UZS | 7,711,664,000 | USD | 617,674 | ICBC Standard Bank plc | 12/21/23 | 2,006 | — |
USD | 26,427,867 | BRL | 130,000,000 | BNP Paribas | 1/3/24 | 821,186 | — |
UZS | 14,343,835,000 | USD | 1,142,935 | JPMorgan Chase Bank, N.A. | 1/10/24 | — | (11,346) |
HUF | 438,538,871 | EUR | 1,075,932 | BNP Paribas | 1/11/24 | 59,290 | — |
HUF | 1,336,803,348 | EUR | 3,325,712 | UBS AG | 1/11/24 | 131,967 | — |
HUF | 396,963,222 | EUR | 979,156 | UBS AG | 1/11/24 | 48,120 | — |
UZS | 7,795,050,000 | USD | 617,674 | ICBC Standard Bank plc | 1/22/24 | 9,160 | — |
UZS | 6,864,495,463 | USD | 543,938 | ICBC Standard Bank plc | 1/22/24 | 8,066 | — |
HUF | 2,149,534,827 | EUR | 5,036,398 | Barclays Bank PLC | 1/30/24 | 522,420 | — |
TRY | 64,681,680 | USD | 2,071,488 | Standard Chartered Bank | 3/20/24 | — | (52,846) |
USD | 2,006,862 | TRY | 64,681,680 | Standard Chartered Bank | 3/20/24 | — | (11,779) |
UZS | 8,143,221,557 | USD | 632,483 | JPMorgan Chase Bank, N.A. | 4/19/24 | — | (22,413) |
NGN | 250,679,285 | USD | 294,917 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (56,377) |
NGN | 1,316,619,858 | USD | 1,595,903 | Societe Generale | 6/21/24 | — | (343,430) |
TRY | 31,652,538 | USD | 936,473 | Standard Chartered Bank | 6/21/24 | — | (34,366) |
USD | 901,518 | TRY | 31,652,538 | Standard Chartered Bank | 6/21/24 | — | (590) |
NGN | 684,364,061 | USD | 805,141 | Standard Chartered Bank | 6/24/24 | — | (154,723) |
NGN | 704,894,982 | USD | 805,141 | Standard Chartered Bank | 6/26/24 | — | (135,625) |
NGN | 664,421,370 | USD | 746,547 | Standard Chartered Bank | 7/3/24 | — | (116,835) |
NGN | 715,710,229 | USD | 795,234 | Societe Generale | 7/8/24 | — | (117,957) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 425,197 | AMD | 169,568,504 | Citibank, N.A. | 9/6/24 | $ 26,486 | $ — |
USD | 1,260,027 | AMD | 511,886,000 | Citibank, N.A. | 9/16/24 | 58,272 | — |
EUR | 2,509,535 | PLN | 11,900,000 | Goldman Sachs International | 9/20/24 | — | (112,352) |
TRY | 156,911,000 | USD | 4,284,165 | Standard Chartered Bank | 9/20/24 | — | (190,914) |
USD | 4,096,723 | TRY | 156,911,000 | Standard Chartered Bank | 9/20/24 | 3,472 | — |
TRY | 42,655,000 | USD | 1,148,656 | Standard Chartered Bank | 9/23/24 | — | (39,146) |
USD | 1,112,450 | TRY | 42,655,000 | Standard Chartered Bank | 9/23/24 | 2,940 | — |
UZS | 2,692,778,443 | USD | 197,273 | JPMorgan Chase Bank, N.A. | 11/1/24 | — | (2,026) |
$14,005,403 | $(16,815,163) |
Non-Deliverable Bond Forward Contracts* | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
11/10/23 | COP | 18,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | $ 4,373,178 | $ (130,732) |
12/14/23 | COP | 18,000,000 | Republic of Colombia, 7.25%, 10/18/34 | Goldman Sachs International | 4,373,178 | 55,365 |
1/2/24 | COP | 67,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 16,277,940 | 183,566 |
1/2/24 | COP | 56,900,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 13,824,101 | 40,657 |
1/2/24 | COP | 72,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 17,492,711 | 23,545 |
1/2/24 | COP | 73,500,000 | Republic of Colombia, 10.00%, 7/24/24 | Bank of America, N.A. | 17,857,143 | (130,643) |
$ 41,758 |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
Euro-Bobl | (23) | Short | 12/7/23 | $ (2,830,069) | $ 16,305 |
Euro-Bund | (15) | Short | 12/7/23 | (2,047,265) | 39,837 |
U.S. 5-Year Treasury Note | (128) | Short | 12/29/23 | (13,373,000) | 66,224 |
U.S. 10-Year Treasury Note | (4) | Short | 12/19/23 | (424,688) | 15,816 |
$138,182 |
Interest Rate Swaps (Centrally Cleared) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
BRL | 195,900 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.66% (pays upon termination) | 1/2/24 | $ 170,133 | $ — | $ 170,133 |
BRL | 716,538 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.69% (pays upon termination) | 1/2/24 | 662,923 | — | 662,923 |
BRL | 27,758 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 14.07% (pays upon termination) | 1/2/24 | 49,601 | — | 49,601 |
BRL | 383,000 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.29% (pays upon termination) | 7/1/24 | (231,733) | — | (231,733) |
BRL | 72,000 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.36% (pays upon termination) | 1/2/25 | 2,555,356 | — | 2,555,356 |
BRL | 95,450 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.40% (pays upon termination) | 1/2/25 | (200,731) | — | (200,731) |
BRL | 95,450 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.50% (pays upon termination) | 1/2/25 | (178,142) | — | (178,142) |
BRL | 93,368 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (172,188) | — | (172,188) |
BRL | 97,532 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (179,281) | — | (179,281) |
BRL | 78,730 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.60% (pays upon termination) | 1/2/25 | (179,695) | — | (179,695) |
BRL | 183,700 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.96% (pays upon termination) | 1/2/25 | (104,866) | — | (104,866) |
BRL | 94,990 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.07% (pays upon termination) | 1/2/25 | (16,945) | — | (16,945) |
BRL | 51,700 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.45% (pays upon termination) | 1/2/25 | (32,480) | — | (32,480) |
BRL | 57,316 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.48% (pays upon termination) | 1/2/25 | (195,314) | — | (195,314) |
BRL | 57,254 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.49% (pays upon termination) | 1/2/25 | (192,520) | — | (192,520) |
BRL | 37,730 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.51% (pays upon termination) | 1/2/25 | (123,465) | — | (123,465) |
BRL | 88,800 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.02% (pays upon termination) | 1/4/27 | (804,703) | — | (804,703) |
BRL | 34,300 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.44% (pays upon termination) | 1/4/27 | (224,973) | — | (224,973) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
BRL | 19,090 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.17% (pays upon termination) | 1/2/29 | $ 354,307 | $ — | $ 354,307 |
BRL | 15,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.07% (pays upon termination) | 1/2/31 | 354,992 | — | 354,992 |
CLP | 5,000,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.68% (pays semi-annually) | 2/11/24 | (159,452) | — | (159,452) |
CLP | 1,140,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.49% (pays semi-annually) | 4/26/24 | (31,557) | — | (31,557) |
CLP | 2,650,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.38% (pays semi-annually) | 6/17/25 | (361,071) | — | (361,071) |
CLP | 3,700,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.33% (pays semi-annually) | 9/11/25 | (452,194) | — | (452,194) |
CLP | 5,200,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.48% (pays semi-annually) | 12/23/25 | (800,813) | — | (800,813) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.59% (pays semi-annually) | 1/27/26 | (360,726) | — | (360,726) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.92% (pays semi-annually) | 2/23/26 | (327,410) | — | (327,410) |
CLP | 584,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.87% (pays semi-annually) | 5/31/26 | (78,991) | — | (78,991) |
CLP | 4,854,200 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.51% (pays semi-annually) | 9/20/28 | 166,262 | — | 166,262 |
CLP | 4,854,200 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.68% (pays semi-annually) | 9/20/28 | (126,125) | — | (126,125) |
CLP | 3,362,600 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.08% (pays semi-annually) | 7/1/31 | (526,737) | — | (526,737) |
CLP | 4 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.18% (pays semi-annually) | 7/2/31 | (1) | — | (1) |
CLP | 25,304,700 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.23% (pays semi-annually) | 9/20/33 | 635,343 | — | 635,343 |
CLP | 6,236,900 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.56% (pays semi-annually) | 12/20/33 | 85,751 | — | 85,751 |
CNY | 507,400 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/21/27 | 154,173 | — | 154,173 |
CNY | 68,700 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/21/27 | 22,684 | — | 22,684 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
CNY | 215,650 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/21/27 | $ 142,183 | $ — | $ 142,183 |
CNY | 22,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.82% (pays quarterly) | 6/21/28 | 55,872 | — | 55,872 |
CNY | 41,300 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.87% (pays quarterly) | 6/21/28 | 116,993 | — | 116,993 |
CNY | 45,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.28% (pays quarterly) | 9/20/28 | (29,839) | — | (29,839) |
CNY | 108,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | (69,319) | — | (69,319) |
CNY | 45,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | (28,474) | — | (28,474) |
CNY | 18,990 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.41% (pays quarterly) | 9/20/28 | 1,695 | — | 1,695 |
CNY | 51,620 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 9/20/28 | 24,181 | — | 24,181 |
CNY | 114,500 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.48% (pays quarterly) | 9/20/28 | 58,847 | — | 58,847 |
CNY | 62,400 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.49% (pays quarterly) | 9/20/28 | 38,885 | — | 38,885 |
CNY | 13,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 1,522 | — | 1,522 |
CNY | 10,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 1,350 | — | 1,350 |
CNY | 30,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 4,411 | — | 4,411 |
CNY | 24,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 3,672 | — | 3,672 |
CNY | 9,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.45% (pays quarterly) | 12/20/28 | 1,646 | — | 1,646 |
CNY | 21,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.46% (pays quarterly) | 12/20/28 | 5,601 | — | 5,601 |
CNY | 21,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 6,230 | — | 6,230 |
CNY | 27,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 8,817 | — | 8,817 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
CNY | 18,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | $ 5,986 | $ — | $ 5,986 |
COP | 6,031,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 183,414 | — | 183,414 |
COP | 6,488,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 178,872 | — | 178,872 |
COP | 5,979,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.73% (pays quarterly) | 11/26/25 | 153,583 | — | 153,583 |
COP | 20,568,100 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (433,203) | — | (433,203) |
COP | 3,792,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.42% (pays quarterly) | 11/26/25 | 10,918 | — | 10,918 |
COP | 17,453,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.49% (pays quarterly) | 9/20/28 | 89,793 | — | 89,793 |
CZK | 200,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.40% (pays annually) | 3/6/25 | (475,022) | — | (475,022) |
CZK | 258,400 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 1.37% (pays annually) | 3/17/25 | 607,620 | — | 607,620 |
CZK | 300,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.46% (pays annually) | 3/15/26 | (963,456) | — | (963,456) |
CZK | 110,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 5.39% (pays annually) | 3/15/28 | 296,518 | — | 296,518 |
CZK | 53,900 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.61% (pays annually) | 6/21/28 | (8,275) | — | (8,275) |
CZK | 230,500 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.15% (pays annually) | 9/20/28 | (169,257) | — | (169,257) |
CZK | 51,941 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | (109,450) | — | (109,450) |
CZK | 103,882 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (213,735) | — | (213,735) |
CZK | 125,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (256,598) | — | (256,598) |
CZK | 156,178 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (317,284) | — | (317,284) |
CZK | 61,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.31% (pays annually) | 12/20/33 | (31,134) | — | (31,134) |
HUF | 480,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.79% (pays annually) | 8/6/24 | (140,962) | — | (140,962) |
HUF | 3,500,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.71% (pays annually) | 11/22/24 | (1,522,180) | — | (1,522,180) |
HUF | 6,619,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.30% (pays annually) | 3/16/25 | 2,045,241 | — | 2,045,241 |
HUF | 1,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.20% (pays annually) | 11/4/25 | (555,823) | — | (555,823) |
INR | 841,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/25 | 13,969 | — | 13,969 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
INR | 1,743,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | $ 38,277 | $ — | $ 38,277 |
INR | 2,479,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 55,253 | — | 55,253 |
INR | 536,600 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/28 | 14,545 | — | 14,545 |
KRW | 3,290,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.11% (pays quarterly) | 6/21/28 | (103,092) | — | (103,092) |
KRW | 3,303,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.57% (pays quarterly) | 6/21/28 | (54,640) | — | (54,640) |
KRW | 3,303,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.60% (pays quarterly) | 6/21/28 | (50,881) | — | (50,881) |
KRW | 3,417,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.61% (pays quarterly) | 6/21/28 | (52,082) | — | (52,082) |
KRW | 11,700,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 2.07% (pays quarterly) | 11/24/31 | (1,257,473) | — | (1,257,473) |
KRW | 944,071 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.23% (pays quarterly) | 6/21/33 | (51,393) | — | (51,393) |
KRW | 2,086,473 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 6/21/33 | (103,849) | — | (103,849) |
KRW | 1,055,244 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 6/21/33 | (51,292) | — | (51,292) |
KRW | 658,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.35% (pays quarterly) | 6/21/33 | (30,933) | — | (30,933) |
KRW | 1,056,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.29% (pays quarterly) | 9/20/33 | (54,928) | — | (54,928) |
KRW | 766,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (39,123) | — | (39,123) |
KRW | 191,712 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (9,731) | — | (9,731) |
KRW | 1,021,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 9/20/33 | (50,418) | — | (50,418) |
KRW | 1,021,500 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.34% (pays quarterly) | 9/20/33 | (49,931) | — | (49,931) |
KRW | 2,183,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 9/20/33 | (98,149) | — | (98,149) |
KRW | 2,228,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.52% (pays quarterly) | 9/20/33 | (84,104) | — | (84,104) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
KRW | 4,502,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | $ (159,358) | $ — | $ (159,358) |
KRW | 2,073,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (73,248) | — | (73,248) |
KRW | 1,773,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (62,203) | — | (62,203) |
KRW | 2,101,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.59% (pays quarterly) | 9/20/33 | (69,758) | — | (69,758) |
KRW | 543,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.02% (pays quarterly) | 12/20/33 | (3,960) | — | (3,960) |
KRW | 1,075,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.03% (pays quarterly) | 12/20/33 | (7,045) | — | (7,045) |
MXN | 350,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.98% (pays monthly) | 11/29/23 | (77,035) | 314 | (76,721) |
MXN | 185,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.13% (pays monthly) | 2/2/24 | (108,004) | — | (108,004) |
MXN | 600,760 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.76% (pays monthly) | 3/7/24 | 610,455 | — | 610,455 |
MXN | 166,961 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.79% (pays monthly) | 3/7/24 | 168,593 | — | 168,593 |
MXN | 408,300 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.35% (pays monthly) | 3/14/24 | 363,124 | — | 363,124 |
MXN | 67,771 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.08% (pays monthly) | 6/27/24 | (138,111) | — | (138,111) |
MXN | 224,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.19% (pays monthly) | 6/27/24 | (363,874) | — | (363,874) |
MXN | 130,204 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.66% (pays monthly) | 11/7/24 | 350,891 | — | 350,891 |
MXN | 391,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.65% (pays monthly) | 2/6/25 | (1,750,538) | — | (1,750,538) |
MXN | 144,000 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.40% (pays monthly) | 3/11/25 | 385,982 | — | 385,982 |
MXN | 222,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.71% (pays monthly) | 12/12/25 | (1,410,279) | — | (1,410,279) |
MXN | 111,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.07% (pays monthly) | 4/28/26 | (601,052) | — | (601,052) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
MXN | 165,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.11% (pays monthly) | 6/8/26 | $ (887,688) | $ — | $ (887,688) |
MXN | 130,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.21% (pays monthly) | 6/29/26 | (698,637) | — | (698,637) |
MXN | 160,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.54% (pays monthly) | 9/4/26 | (841,301) | — | (841,301) |
MXN | 23,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 4/17/28 | (52,675) | — | (52,675) |
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.04% (pays annually) | 1/31/24 | (58,326) | — | (58,326) |
PLN | 16,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 2/11/24 | (48,202) | — | (48,202) |
PLN | 13,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.05% (pays annually) | 2/28/24 | (35,093) | — | (35,093) |
PLN | 15,522 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 3/13/24 | (30,070) | — | (30,070) |
PLN | 18,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.00% (pays annually) | 5/30/24 | (178,984) | — | (178,984) |
PLN | 37,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.79% (pays annually) | 7/5/24 | (377,077) | — | (377,077) |
PLN | 27,850 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.77% (pays annually) | 8/6/24 | (267,612) | — | (267,612) |
PLN | 12,200 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.66% (pays annually) | 10/2/24 | (102,881) | — | (102,881) |
PLN | 11,400 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.44% (pays annually) | 10/28/24 | (74,172) | — | (74,172) |
PLN | 50,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.97% (pays annually) | 1/20/25 | (505,219) | — | (505,219) |
PLN | 10,800 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.48% (pays annually) | 8/7/25 | (230,144) | — | (230,144) |
PLN | 11,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.69% (pays annually) | 8/26/25 | (221,371) | — | (221,371) |
PLN | 42,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.64% (pays annually) | 1/25/26 | (1,006,514) | — | (1,006,514) |
PLN | 48,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.69% (pays annually) | 9/20/26 | 956,853 | — | 956,853 |
PLN | 102,370 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.19% (pays annually) | 10/8/26 | 1,696,351 | — | 1,696,351 |
PLN | 13,250 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.87% (pays annually) | 3/3/27 | (35,069) | — | (35,069) |
PLN | 99,138 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.91% (pays annually) | 3/3/27 | (227,648) | — | (227,648) |
PLN | 24,350 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.02% (pays annually) | 12/21/27 | (432,896) | — | (432,896) |
PLN | 75,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.84% (pays annually) | 1/10/28 | (1,229,022) | — | (1,229,022) |
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.29% (pays annually) | 3/15/28 | 238,352 | — | 238,352 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
PLN | 26,700 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.74% (pays annually) | 7/2/31 | $ (1,377,149) | $ — | $ (1,377,149) |
PLN | 20,500 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.19% (pays annually) | 9/21/32 | 86,630 | — | 86,630 |
PLN | 8,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.85% (pays annually) | 12/21/32 | (169,682) | — | (169,682) |
PLN | 46,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.24% (pays annually) | 6/21/33 | (130,784) | — | (130,784) |
THB | 200,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.87% (pays semi-annually) | 11/4/23 | (52,564) | — | (52,564) |
THB | 200,000 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 2.24% (pays semi-annually) | 11/4/23 | 118,702 | — | 118,702 |
THB | 120,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.01% (pays semi-annually) | 11/18/23 | (34,461) | — | (34,461) |
THB | 120,000 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 2.24% (pays semi-annually) | 11/18/23 | 36,608 | — | 36,608 |
THB | 175,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.94% (pays semi-annually) | 11/25/23 | (48,370) | — | (48,370) |
THB | 175,000 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 2.24% (pays semi-annually) | 11/25/23 | 101,944 | — | 101,944 |
THB | 175,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.29% (pays semi-annually) | 11/25/24 | (103,915) | — | (103,915) |
THB | 233,000 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 1.02% (pays semi-annually) | 3/17/25 | 157,442 | — | 157,442 |
THB | 291,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 0.90% (pays semi-annually) | 2/23/26 | (357,530) | — | (357,530) |
THB | 120,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.30% (pays semi-annually) | 11/18/26 | (148,642) | — | (148,642) |
THB | 514,900 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 2.94% (pays semi-annually) | 12/20/28 | 42,176 | — | 42,176 |
THB | 177,200 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 2.95% (pays semi-annually) | 12/20/28 | 16,601 | — | 16,601 |
THB | 204,600 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.72% (pays semi-annually) | 10/29/31 | (592,160) | — | (592,160) |
THB | 200,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.69% (pays semi-annually) | 11/4/31 | (615,881) | — | (615,881) |
ZAR | 244,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 7.04% (pays quarterly) | 3/12/25 | 231,399 | — | 231,399 |
ZAR | 65,700 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.91% (pays quarterly) | 3/13/25 | 69,085 | — | 69,085 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
ZAR | 132,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.64% (pays quarterly) | 10/18/26 | $ 300,475 | $ (472) | $ 300,003 |
Total | $(14,215,265) | $(158) | $ (14,215,423) |
Interest Rate Swaps (OTC) | |||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
BNP Paribas | MYR | 17,413 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | $ (109,235) |
Citibank, N.A. | THB | 87,340 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.96% (pays semi-annually) | 3/18/24 | (7,768) |
Deutsche Bank AG | THB | 324,320 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.13% (pays semi-annually) | 11/19/23 | 8,008 |
JPMorgan Chase Bank, N.A. | MYR | 88,787 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | (557,615) |
Total | $(666,610) |
Credit Default Swaps - Buy Protection (Centrally Cleared) | |||||||
Reference Entity | Notional Amount (000's omitted) | Contract Annual Fixed Rate* | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
Markit CDX Emerging Markets Index (CDX.EM.31.V3) | $86 | 1.00% (pays quarterly)(1) | 6/20/24 | $ (391) | $ (1,677) | $ (2,068) | |
Total | $(391) | $(1,677) | $(2,068) |
* | The contract annual fixed rate represents the fixed rate of interest paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Abbreviations: | |
BUBOR | – Budapest Interbank Offered Rate |
FBIL | – Financial Benchmarks India Ltd. |
JIBAR | – Johannesburg Interbank Average Rate |
KLIBOR | – Kuala Lumpur Interbank Offered Rate |
MIBOR | – Mumbai Interbank Offered Rate |
OTC | – Over-the-counter |
PRIBOR | – Prague Interbank Offered Rate |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
AMD | – Armenian Dram |
BAM | – Bosnia-Herzegovina Convertible Mark |
BRL | – Brazilian Real |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EUR | – Euro |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
ILS | – Israeli Shekel |
INR | – Indian Rupee |
KRW | – South Korean Won |
LKR | – Sri Lankan Rupee |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NGN | – Nigerian Naira |
PEN | – Peruvian Sol |
PLN | – Polish Zloty |
RON | – Romanian Leu |
RSD | – Serbian Dinar |
THB | – Thai Baht |
TRY | – Turkish Lira |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,043,053,162) | $ 918,669,968 |
Affiliated investments, at value (identified cost $97,178,009) | 97,178,009 |
Cash | 244,397 |
Deposits for derivatives collateral: | |
Futures contracts | 427,600 |
Centrally cleared derivatives | 31,137,406 |
OTC derivatives | 1,944,000 |
Foreign currency, at value (identified cost $27,055,536) | 26,902,809 |
Interest receivable | 19,713,635 |
Dividends receivable from affiliated investments | 309,717 |
Receivable for investments sold | 258,346 |
Receivable for variation margin on open centrally cleared derivatives | 115,861 |
Receivable for open forward foreign currency exchange contracts | 14,005,403 |
Receivable for open swap contracts | 8,009 |
Receivable for open non-deliverable bond forward contracts | 303,133 |
Trustees' deferred compensation plan | 76,997 |
Total assets | $1,111,295,290 |
Liabilities | |
Cash collateral due to brokers | $ 1,944,000 |
Payable for reverse repurchase agreements, including accrued interest of $36,006 | 11,447,196 |
Written options outstanding, at value (premiums received $180,858) | 108,317 |
Payable for investments purchased | 215,738 |
Payable for securities sold short, at value (proceeds $8,108,487) | 7,897,239 |
Payable for variation margin on open futures contracts | 617 |
Payable for open forward foreign currency exchange contracts | 16,815,163 |
Payable for open swap contracts | 674,618 |
Payable for closed swap contracts | 72,097 |
Payable for open non-deliverable bond forward contracts | 261,375 |
Payable to affiliates: | |
Investment adviser fee | 581,161 |
Trustees' fees | 6,387 |
Trustees' deferred compensation plan | 76,997 |
Interest payable on securities sold short | 402,881 |
Accrued foreign capital gains taxes | 354,305 |
Accrued expenses | 423,036 |
Total liabilities | $ 41,281,127 |
Net Assets applicable to investors' interest in Portfolio | $1,070,014,163 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income from affiliated investments | $ 4,233,631 |
Interest income (net of foreign taxes withheld of $1,465,277) | 76,327,546 |
Total investment income | $ 80,561,177 |
Expenses | |
Investment adviser fee | $ 7,293,177 |
Trustees’ fees and expenses | 72,550 |
Custodian fee | 687,836 |
Legal and accounting services | 167,742 |
Miscellaneous | 42,579 |
Total expenses | $ 8,263,884 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 139,990 |
Total expense reductions | $ 139,990 |
Net expenses | $ 8,123,894 |
Net investment income | $ 72,437,283 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $147,122) | $(105,948,046) |
Written options | 15,859 |
Securities sold short | 79,751 |
Futures contracts | 439,343 |
Swap contracts | (19,955,113) |
Foreign currency transactions | 11,329,290 |
Forward foreign currency exchange contracts | 45,468,483 |
Non-deliverable bond forward contracts | 4,851,325 |
Net realized loss | $ (63,719,108) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $108,306) | $ 131,646,403 |
Written options | 72,541 |
Securities sold short | 211,248 |
Futures contracts | (83,986) |
Swap contracts | 13,218,974 |
Foreign currency | 962,591 |
Forward foreign currency exchange contracts | (16,417,746) |
Non-deliverable bond forward contracts | 1,162,661 |
Net change in unrealized appreciation (depreciation) | $ 130,772,686 |
Net realized and unrealized gain | $ 67,053,578 |
Net increase in net assets from operations | $ 139,490,861 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 72,437,283 | $ 79,020,018 |
Net realized loss | (63,719,108) | (174,403,398) |
Net change in unrealized appreciation (depreciation) | 130,772,686 | (183,608,590) |
Net increase (decrease) in net assets from operations | $ 139,490,861 | $ (278,991,970) |
Capital transactions: | ||
Contributions | $ 327,529,582 | $ 154,343,479 |
Withdrawals | (355,736,811) | (478,241,966) |
Net decrease in net assets from capital transactions | $ (28,207,229) | $ (323,898,487) |
Net increase (decrease) in net assets | $ 111,283,632 | $ (602,890,457) |
Net Assets | ||
At beginning of year | $ 958,730,531 | $1,561,620,988 |
At end of year | $1,070,014,163 | $ 958,730,531 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.72% (1) | 0.76% (1) | 0.75% | 0.79% | 0.78% |
Net investment income | 6.43% | 6.43% | 4.98% | 5.79% | 7.01% |
Portfolio Turnover | 67% | 33% | 56% | 56% | 46% |
Total Return | 15.00% | (20.12)% | 1.48% | 0.08% | 23.15% |
Net assets, end of year (000’s omitted) | $1,070,014 | $958,731 | $1,561,621 | $1,253,935 | $1,238,490 |
(1) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.650% |
$1 billion but less than $2 billion | 0.625% |
$2 billion but less than $5 billion | 0.600% |
$5 billion and over | 0.575% |
Aggregate cost | $1,063,376,993 |
Gross unrealized appreciation | $ 88,272,436 |
Gross unrealized depreciation | (143,735,525) |
Net unrealized depreciation | $ (55,463,089) |
Fair Value | ||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ — | $ 412,361 | $ — | $ 412,361 |
Not applicable | — | 5,890,498* | 15,447,264* | 21,337,762 |
Receivable for open forward foreign currency exchange contracts | — | 14,005,403 | — | 14,005,403 |
Receivable for open swap contracts | — | — | 8,008 | 8,008 |
Receivable for open non-deliverable bond forward contracts | — | — | 303,133 | 303,133 |
Total Asset Derivatives | $ — | $ 20,308,262 | $ 15,758,405 | $ 36,066,667 |
Derivatives not subject to master netting or similar agreements | $ — | $ 5,890,498 | $ 15,447,264 | $ 21,337,762 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $ 14,417,764 | $ 311,141 | $ 14,728,905 |
Written options outstanding, at value | $ — | $ (108,317) | $ — | $ (108,317) |
Not applicable | (391)* | (7,637,889)* | (29,524,347)* | (37,162,627) |
Payable for open forward foreign currency exchange contracts | — | (16,815,163) | — | (16,815,163) |
Payable for open swap contracts | — | — | (674,618) | (674,618) |
Payable for open non-deliverable bond forward contracts | — | — | (261,375) | (261,375) |
Total Liability Derivatives | $(391) | $(24,561,369) | $(30,460,340) | $(55,022,100) |
Derivatives not subject to master netting or similar agreements | $(391) | $ (7,637,889) | $(29,524,347) | $(37,162,627) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $(16,923,480) | $ (935,993) | $(17,859,473) |
* | Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) | Total Cash Collateral Received |
Bank of America, N.A. | $ 247,768 | $ (139,183) | $ (52,550) | $ — | $ 56,035 | $ — |
Barclays Bank PLC | 1,274,972 | (864,684) | — | (370,000) | 40,288 | 370,000 |
BNP Paribas | 2,859,563 | (1,335,095) | — | (1,524,468) | — | 1,530,000 |
Citibank, N.A. | 404,695 | (404,695) | — | — | — | — |
Deutsche Bank AG | 8,008 | — | — | (8,008) | — | 44,000 |
Goldman Sachs International | 2,299,990 | (2,299,990) | — | — | — | — |
HSBC Bank USA, N.A. | 889,822 | (889,822) | — | — | — | — |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) | Total Cash Collateral Received |
ICBC Standard Bank plc | $ 28,207 | $ (28,207) | $ — | $ — | $ — | $ — |
JPMorgan Chase Bank, N.A. | 923,151 | (923,151) | — | — | — | — |
Standard Chartered Bank | 1,167,825 | (1,167,825) | — | — | — | — |
State Street Bank and Trust Company | 180,886 | (180,886) | — | — | — | — |
UBS AG | 4,444,018 | (3,237,967) | (1,206,051) | — | — | — |
$14,728,905 | $(11,471,505) | $(1,258,601) | $(1,902,476) | $96,323 | $1,944,000 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) | Total Cash Collateral Pledged |
Bank of America, N.A. | $ (139,183) | $ 139,183 | $ — | $ — | $ — | $ — |
Barclays Bank PLC | (864,684) | 864,684 | — | — | — | — |
BNP Paribas | (1,335,095) | 1,335,095 | — | — | — | — |
Citibank, N.A. | (579,840) | 404,695 | 175,145 | — | — | — |
Goldman Sachs International | (3,254,055) | 2,299,990 | 708,969 | — | (245,096) | — |
HSBC Bank USA, N.A. | (1,956,860) | 889,822 | 869,284 | — | (197,754) | — |
ICBC Standard Bank plc | (72,467) | 28,207 | — | — | (44,260) | — |
JPMorgan Chase Bank, N.A. | (2,350,311) | 923,151 | 1,124,194 | — | (302,966) | — |
Societe Generale | (461,387) | — | 461,387 | — | — | — |
Standard Chartered Bank | (3,011,918) | 1,167,825 | 1,844,093 | — | — | — |
State Street Bank and Trust Company | (595,706) | 180,886 | 291,753 | — | (123,067) | — |
UBS AG | (3,237,967) | 3,237,967 | — | — | — | — |
$(17,859,473) | $11,471,505 | $5,474,825 | $ — | $(913,143) | $ — | |
Total — Deposits for derivatives collateral — OTC derivatives | $1,944,000 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Statement of Operations Caption | Credit | Foreign Exchange | Interest Rate | Total |
Net realized gain (loss): | ||||
Investment transactions | $ — | $ 797,239 | $ — | $ 797,239 |
Written options | — | 15,859 | — | 15,859 |
Futures contracts | — | — | 439,343 | 439,343 |
Swap contracts | 18,074 | 60,233 | (20,033,420) | (19,955,113) |
Forward foreign currency exchange contracts | — | 45,468,483 | — | 45,468,483 |
Non-deliverable bond forward contracts | — | — | 4,851,325 | 4,851,325 |
Total | $18,074 | $ 46,341,814 | $(14,742,752) | $ 31,617,136 |
Change in unrealized appreciation (depreciation): | ||||
Investments | $ — | $ (92,975) | $ — | $ (92,975) |
Written options | — | 72,541 | — | 72,541 |
Futures contracts | — | — | (83,986) | (83,986) |
Swap contracts | 1,489 | — | 13,217,485 | 13,218,974 |
Forward foreign currency exchange contracts | — | (16,417,746) | — | (16,417,746) |
Non-deliverable bond forward contracts | — | — | 1,162,661 | 1,162,661 |
Total | $ 1,489 | $(16,438,180) | $ 14,296,160 | $ (2,140,531) |
Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Swap Contracts |
$7,986,000 | $2,671,129,000 | $101,005,000 | $1,502,100,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
Barclays Bank PLC | 9/29/23 | On Demand(1) | 5.65% | $ 5,404,935 | $ 5,428,687 |
Barclays Bank PLC | 10/16/23 | On Demand(1) | 5.65 | 6,006,255 | 6,018,509 |
Total | $11,411,190 | $11,447,196 |
(1) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Counterparty | Repurchase Agreements | Liabilities Available for Offset | Securities Collateral Received(a) | Net Amount(b) |
Barclays Bank PLC | $8,251,177 | $(8,251,177) | $ — | $ — |
Counterparty | Reverse Repurchase Agreements* | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(c) |
Barclays Bank PLC | $(11,447,196) | $8,251,177 | $3,196,019 | $ — |
* | Including accrued interest. |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $34,198,985 | $1,077,538,470 | $(1,014,559,446) | $ — | $ — | $97,178,009 | $4,233,631 | 97,178,009 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Foreign Corporate Bonds | $ — | $ 26,002,715 | $ — | $ 26,002,715 |
Loan Participation Notes | — | — | 25,557,142 | 25,557,142 |
Sovereign Government Bonds | — | 795,110,832 | — | 795,110,832 |
Short-Term Investments: | ||||
Affiliated Fund | 97,178,009 | — | — | 97,178,009 |
Repurchase Agreements | — | 8,251,177 | — | 8,251,177 |
Sovereign Government Securities | — | 33,522,024 | — | 33,522,024 |
U.S. Treasury Obligations | — | 29,813,717 | — | 29,813,717 |
Purchased Currency Options | — | 412,361 | — | 412,361 |
Total Investments | $ 97,178,009 | $ 893,112,826 | $ 25,557,142 | $ 1,015,847,977 |
Forward Foreign Currency Exchange Contracts | $ — | $ 19,895,901 | $ — | $ 19,895,901 |
Non-Deliverable Bond Forward Contracts | — | 303,133 | — | 303,133 |
Futures Contracts | 138,182 | — | — | 138,182 |
Swap Contracts | — | 15,317,090 | — | 15,317,090 |
Total | $ 97,316,191 | $ 928,628,950 | $ 25,557,142 | $ 1,051,502,283 |
Liability Description | ||||
Securities Sold Short | $ — | $ (7,897,239) | $ — | $ (7,897,239) |
Written Currency Options | — | (108,317) | — | (108,317) |
Forward Foreign Currency Exchange Contracts | — | (24,453,052) | — | (24,453,052) |
Liability Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Non-Deliverable Bond Forward Contracts | $ — | $ (261,375) | $ — | $ (261,375) |
Swap Contracts | — | (30,199,356) | — | (30,199,356) |
Total | $ — | $ (62,919,339) | $ — | $ (62,919,339) |
Loan Participation Notes | Sovereign Government Bonds | Sovereign Government Securities | Total | |
Balance as of October 31, 2022 | $ 29,380,678 | $ 39,170,230 | $ 2,887,584 | $ 71,438,492 |
Realized gains (losses) | (3,219,071) | — | — | (3,219,071) |
Change in net unrealized appreciation (depreciation) | 745,339 | — | — | 745,339 |
Cost of purchases | 20,217,220 | — | — | 20,217,220 |
Proceeds from sales, including return of capital | (21,726,478) | — | — | (21,726,478) |
Accrued discount (premium) | 159,454 | — | — | 159,454 |
Transfers to Level 3 | — | — | — | — |
Transfers from Level 3(1) | — | (39,170,230) | (2,887,584) | (42,057,814) |
Balance as of October 31, 2023 | $ 25,557,142 | $ — | $ — | $ 25,557,142 |
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2023 | $ (1,916,974) | $ — | $ — | $ (1,916,974) |
(1) | Transferred from Level 3 based on the observability of valuation inputs resulting from new market activity. |
Type of Investment | Fair Value as of October 31, 2023 | Valuation Technique | Unobservable Input | Range of Unobservable Input | Impact to Valuation from an Increase to Input* |
Loan Participation Notes | $25,557,142 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 5.46%-9.79%** | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
** | The weighted average of the unobservable input is 7.68% based on relative principal amounts. |
Boston, Massachusetts
December 22, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management `Classic' (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Advisers Class at NAV | 02/07/2001 | 02/07/2001 | 10.11% | 2.99% | 3.28% |
Class A at NAV | 05/05/2003 | 02/07/2001 | 10.04 | 2.98 | 3.28 |
Class A with 3.25% Maximum Sales Charge | — | — | 6.50 | 2.31 | 2.94 |
Class C at NAV | 02/01/2001 | 02/07/2001 | 9.29 | 2.22 | 2.65 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 8.29 | 2.22 | 2.65 |
Class I at NAV | 01/30/2001 | 02/07/2001 | 10.38 | 3.23 | 3.54 |
Class R6 at NAV | 12/01/2016 | 02/07/2001 | 10.44 | 3.31 | 3.59 |
Morningstar® LSTA® US Leveraged Loan IndexSM | — | — | 11.92% | 4.46% | 4.22% |
% 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% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Advisers Class | $10,000 | 10/31/2013 | $13,816 | N.A. |
Class C | $10,000 | 10/31/2013 | $12,995 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,416,449 | N.A. |
Class R6, at minimum investment | $5,000,000 | 10/31/2013 | $7,116,844 | N.A. |
Top 10 Issuers (% of total investments)1 | |
Carnival Corporation | 1.3% |
TransDigm, Inc. | 1.1 |
Uber Technologies, Inc. | 1.0 |
ICON Luxembourg S.a.r.l. | 0.9 |
American Airlines, Inc. | 0.9 |
Ultimate Software Group, Inc. (The) | 0.8 |
Select Medical Corporation | 0.8 |
Go Daddy Operating Company, LLC | 0.8 |
Applied Systems, Inc. | 0.8 |
INEOS Quattro Holdings UK, Ltd | 0.8 |
Total | 9.2% |
Top 10 Sectors (% of total investments)1 | |
Software | 11.5% |
Hotels, Restaurants & Leisure | 5.3 |
Chemicals | 4.9 |
Capital Markets | 4.8 |
IT Services | 4.5 |
Machinery | 4.4 |
Health Care Providers & Services | 4.4 |
Professional Services | 3.1 |
Commercial Services & Supplies | 3.0 |
Trading Companies & Distributors | 2.8 |
Total | 48.7% |
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. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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 (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Advisers Class | $1,000.00 | $1,043.30 | $5.41 | 1.05% |
Class A | $1,000.00 | $1,042.00 | $5.46 | 1.06% |
Class C | $1,000.00 | $1,039.30 | $9.30 | 1.81% |
Class I | $1,000.00 | $1,043.30 | $4.12 | 0.80% |
Class R6 | $1,000.00 | $1,043.60 | $3.86 | 0.75% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Advisers Class | $1,000.00 | $1,019.91 | $5.35 | 1.05% |
Class A | $1,000.00 | $1,019.86 | $5.40 | 1.06% |
Class C | $1,000.00 | $1,016.08 | $9.20 | 1.81% |
Class I | $1,000.00 | $1,021.17 | $4.08 | 0.80% |
Class R6 | $1,000.00 | $1,021.43 | $3.82 | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio. |
October 31, 2023 | |
Assets | |
Investment in Eaton Vance Floating Rate Portfolio, at value (identified cost $5,301,608,824) | $ 4,955,197,645 |
Receivable for Fund shares sold | 18,590,565 |
Total assets | $ 4,973,788,210 |
Liabilities | |
Payable for Fund shares redeemed | $ 32,233,105 |
Distributions payable | 6,536,211 |
Payable to affiliates: | |
Administration fee | 633,402 |
Distribution and service fees | 231,893 |
Trustees' fees | 42 |
Accrued expenses | 905,564 |
Total liabilities | $ 40,540,217 |
Net Assets | $ 4,933,247,993 |
Sources of Net Assets | |
Paid-in capital | $ 6,109,708,267 |
Accumulated loss | (1,176,460,274) |
Net Assets | $ 4,933,247,993 |
Advisers Class Shares | |
Net Assets | $ 123,631,589 |
Shares Outstanding | 14,904,785 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.29 |
Class A Shares | |
Net Assets | $ 606,135,868 |
Shares Outstanding | 70,628,193 |
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 | $ 88,376,988 |
Shares Outstanding | 10,666,201 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 8.29 |
Class I Shares | |
Net Assets | $ 3,343,187,568 |
Shares Outstanding | 402,772,126 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.30 |
October 31, 2023 | |
Class R6 Shares | |
Net Assets | $771,915,980 |
Shares Outstanding | 92,911,746 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.31 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio | $ 9,452,073 |
Interest and other income allocated from Portfolio | 479,465,528 |
Expenses allocated from Portfolio | (31,990,814) |
Total investment income from Portfolio | $ 456,926,787 |
Expenses | |
Administration fee | $ 8,320,781 |
Distribution and service fees: | |
Advisers Class | 210,041 |
Class A | 1,619,157 |
Class C | 1,021,874 |
Trustees’ fees and expenses | 500 |
Custodian fee | 62,000 |
Transfer and dividend disbursing agent fees | 3,225,076 |
Legal and accounting services | 181,762 |
Printing and postage | 243,033 |
Registration fees | 193,158 |
Miscellaneous | 59,054 |
Total expenses | $ 15,136,436 |
Net investment income | $ 441,790,351 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ (232,878,242) |
Foreign currency transactions | 1,741,885 |
Forward foreign currency exchange contracts | (53,776,452) |
Net realized loss | $(284,912,809) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 388,869,325 |
Foreign currency | 816,610 |
Forward foreign currency exchange contracts | 9,871,157 |
Net change in unrealized appreciation (depreciation) | $ 399,557,092 |
Net realized and unrealized gain | $ 114,644,283 |
Net increase in net assets from operations | $ 556,434,634 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 441,790,351 | $ 334,300,856 |
Net realized gain (loss) | (284,912,809) | 51,017,745 |
Net change in unrealized appreciation (depreciation) | 399,557,092 | (705,877,234) |
Net increase (decrease) in net assets from operations | $ 556,434,634 | $ (320,558,633) |
Distributions to shareholders: | ||
Advisers Class | $ (6,652,329) | $ (4,757,274) |
Class A | (50,592,690) | (30,066,757) |
Class C | (7,196,866) | (4,158,164) |
Class I | (322,989,148) | (264,847,517) |
Class R6 | (55,794,960) | (32,476,524) |
Total distributions to shareholders | $ (443,225,993) | $ (336,306,236) |
Transactions in shares of beneficial interest: | ||
Advisers Class | $ 45,758,267 | $ (70,541,874) |
Class A | (113,678,147) | 15,620,342 |
Class C | (31,000,899) | (7,659,273) |
Class I | (2,014,176,168) | (205,000,386) |
Class R6 | 135,361,177 | (28,806,651) |
Net decrease in net assets from Fund share transactions | $(1,977,735,770) | $ (296,387,842) |
Net decrease in net assets | $(1,864,527,129) | $ (953,252,711) |
Net Assets | ||
At beginning of year | $ 6,797,775,122 | $ 7,751,027,833 |
At end of year | $ 4,933,247,993 | $6,797,775,122 |
Advisers Class | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.150 | $ 8.810 | $ 8.470 | $ 8.740 | $ 9.050 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.656 | $ 0.318 | $ 0.268 | $ 0.321 | $ 0.411 |
Net realized and unrealized gain (loss) | 0.134 | (0.639) | 0.345 | (0.267) | (0.310) |
Total income (loss) from operations | $ 0.790 | $ (0.321) | $ 0.613 | $ 0.054 | $ 0.101 |
Less Distributions | |||||
From net investment income | $ (0.650) | $ (0.339) | $ (0.273) | $ (0.324) | $ (0.411) |
Total distributions | $ (0.650) | $ (0.339) | $ (0.273) | $ (0.324) | $ (0.411) |
Net asset value — End of year | $ 8.290 | $ 8.150 | $ 8.810 | $ 8.470 | $ 8.740 |
Total Return(2) | 10.11% | (3.70)% | 7.30% | 0.70% | 1.16% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $123,632 | $77,084 | $157,768 | $94,411 | $364,983 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.05% (4) | 1.01% (4) | 1.03% | 1.08% | 1.03% |
Net investment income | 7.89% | 3.70% | 3.05% | 3.78% | 4.63% |
Portfolio Turnover of the Portfolio | 19% | 27% | 26% | 28% | 16% |
(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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.430 | $ 9.120 | $ 8.770 | $ 9.050 | $ 9.360 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.669 | $ 0.349 | $ 0.278 | $ 0.322 | $ 0.425 |
Net realized and unrealized gain (loss) | 0.154 | (0.688) | 0.354 | (0.268) | (0.310) |
Total income (loss) from operations | $ 0.823 | $ (0.339) | $ 0.632 | $ 0.054 | $ 0.115 |
Less Distributions | |||||
From net investment income | $ (0.673) | $ (0.351) | $ (0.282) | $ (0.334) | $ (0.425) |
Total distributions | $ (0.673) | $ (0.351) | $ (0.282) | $ (0.334) | $ (0.425) |
Net asset value — End of year | $ 8.580 | $ 8.430 | $ 9.120 | $ 8.770 | $ 9.050 |
Total Return(2) | 10.04% | (3.78)% | 7.27% | 0.79% | 1.17% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $606,136 | $707,666 | $751,136 | $658,206 | $788,125 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.06% (4) | 1.01% (4) | 1.03% | 1.07% | 1.02% |
Net investment income | 7.79% | 3.96% | 3.06% | 3.68% | 4.63% |
Portfolio Turnover of the Portfolio | 19% | 27% | 26% | 28% | 16% |
(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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.140 | $ 8.800 | $ 8.470 | $ 8.730 | $ 9.040 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.582 | $ 0.271 | $ 0.203 | $ 0.251 | $ 0.343 |
Net realized and unrealized gain (loss) | 0.155 | (0.656) | 0.334 | (0.251) | (0.308) |
Total income (loss) from operations | $ 0.737 | $ (0.385) | $ 0.537 | $ — | $ 0.035 |
Less Distributions | |||||
From net investment income | $ (0.587) | $ (0.275) | $ (0.207) | $ (0.260) | $ (0.345) |
Total distributions | $ (0.587) | $ (0.275) | $ (0.207) | $ (0.260) | $ (0.345) |
Net asset value — End of year | $ 8.290 | $ 8.140 | $ 8.800 | $ 8.470 | $ 8.730 |
Total Return(2) | 9.29% | (4.43)% | 6.38% | 0.06% | 0.40% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $88,377 | $117,294 | $135,213 | $189,138 | $328,577 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.81% (4) | 1.76% (4) | 1.79% | 1.82% | 1.78% |
Net investment income | 7.03% | 3.18% | 2.32% | 2.97% | 3.86% |
Portfolio Turnover of the Portfolio | 19% | 27% | 26% | 28% | 16% |
(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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.150 | $ 8.820 | $ 8.480 | $ 8.750 | $ 9.060 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.664 | $ 0.356 | $ 0.289 | $ 0.335 | $ 0.433 |
Net realized and unrealized gain (loss) | 0.158 | (0.665) | 0.346 | (0.260) | (0.309) |
Total income (loss) from operations | $ 0.822 | $ (0.309) | $ 0.635 | $ 0.075 | $ 0.124 |
Less Distributions | |||||
From net investment income | $ (0.672) | $ (0.361) | $ (0.295) | $ (0.345) | $ (0.434) |
Total distributions | $ (0.672) | $ (0.361) | $ (0.295) | $ (0.345) | $ (0.434) |
Net asset value — End of year | $ 8.300 | $ 8.150 | $ 8.820 | $ 8.480 | $ 8.750 |
Total Return(2) | 10.38% | (3.57)% | 7.56% | 0.95% | 1.41% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $3,343,188 | $5,269,963 | $5,988,270 | $3,565,898 | $4,985,629 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 0.81% (4) | 0.76% (4) | 0.78% | 0.82% | 0.77% |
Net investment income | 8.00% | 4.18% | 3.29% | 3.95% | 4.88% |
Portfolio Turnover of the Portfolio | 19% | 27% | 26% | 28% | 16% |
(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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class R6 | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.160 | $ 8.830 | $ 8.490 | $ 8.760 | $ 9.060 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.680 | $ 0.358 | $ 0.293 | $ 0.335 | $ 0.437 |
Net realized and unrealized gain (loss) | 0.147 | (0.662) | 0.347 | (0.254) | (0.299) |
Total income (loss) from operations | $ 0.827 | $ (0.304) | $ 0.640 | $ 0.081 | $ 0.138 |
Less Distributions | |||||
From net investment income | $ (0.677) | $ (0.366) | $ (0.300) | $ (0.351) | $ (0.438) |
Total distributions | $ (0.677) | $ (0.366) | $ (0.300) | $ (0.351) | $ (0.438) |
Net asset value — End of year | $ 8.310 | $ 8.160 | $ 8.830 | $ 8.490 | $ 8.760 |
Total Return(2) | 10.44% | (3.51)% | 7.61% | 1.01% | 1.57% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $771,916 | $625,769 | $718,642 | $386,940 | $399,233 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 0.75% (4) | 0.71% (4) | 0.73% | 0.76% | 0.72% |
Net investment income | 8.17% | 4.19% | 3.34% | 3.97% | 4.92% |
Portfolio Turnover of the Portfolio | 19% | 27% | 26% | 28% | 16% |
(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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $443,225,993 | $336,306,236 |
Undistributed ordinary income | $ 21,687,215 |
Deferred capital losses | (737,114,128) |
Net unrealized depreciation | (454,497,150) |
Distributions payable | (6,536,211) |
Accumulated loss | $(1,176,460,274) |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Advisers Class | |||||
Sales | 8,641,662 | $ 72,212,163 | 3,644,668 | $ 31,551,820 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 791,416 | 6,582,749 | 554,744 | 4,711,807 | |
Redemptions | (3,989,668) | (33,036,645) | (12,641,510) | (106,805,501) | |
Net increase (decrease) | 5,443,410 | $ 45,758,267 | (8,442,098) | $ (70,541,874) | |
Class A | |||||
Sales | 12,432,666 | $ 106,676,323 | 25,542,048 | $ 226,746,300 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 5,050,433 | 43,391,112 | 2,944,032 | 25,655,161 | |
Redemptions | (30,796,059) | (263,745,582) | (26,921,633) | (236,781,119) | |
Net increase (decrease) | (13,312,960) | $ (113,678,147) | 1,564,447 | $ 15,620,342 | |
Class C | |||||
Sales | 1,292,224 | $ 10,703,034 | 4,108,247 | $ 35,372,450 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 747,519 | 6,198,897 | 419,546 | 3,528,094 | |
Redemptions | (5,784,216) | (47,902,830) | (5,477,117) | (46,559,817) | |
Net decrease | (3,744,473) | $ (31,000,899) | (949,324) | $ (7,659,273) | |
Class I | |||||
Sales | 126,577,358 | $ 1,049,625,183 | 382,492,826 | $ 3,292,754,189 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 32,389,436 | 269,072,260 | 24,345,368 | 205,385,574 | |
Redemptions | (402,538,193) | (3,332,873,611) | (439,558,448) | (3,703,140,149) | |
Net decrease | (243,571,399) | $(2,014,176,168) | (32,720,254) | $ (205,000,386) | |
Class R6 | |||||
Sales | 51,948,178 | $ 431,460,935 | 53,221,812 | $ 460,319,638 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 3,650,917 | 30,368,362 | 2,148,153 | 18,135,563 | |
Redemptions | (39,367,783) | (326,468,120) | (60,111,113) | (507,261,852) | |
Net increase (decrease) | 16,231,312 | $ 135,361,177 | (4,741,148) | $ (28,806,651) |
Boston, Massachusetts
December 19, 2023
Asset-Backed Securities — 4.7% |
Security | Principal Amount (000's omitted) | Value | |
Alinea CLO, Ltd.: | |||
Series 2018-1A, Class D, 8.777%, (3 mo. SOFR + 3.362%), 7/20/31(1)(2) | $ | 2,500 | $ 2,403,450 |
Series 2018-1A, Class E, 11.677%, (3 mo. SOFR + 6.262%), 7/20/31(1)(2) | 3,000 | 2,621,361 | |
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 12.566%, (3 mo. SOFR + 7.172%), 1/15/32(1)(2) | 4,000 | 3,515,388 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 11.807%, (3 mo. SOFR + 6.442%), 11/10/30(1)(2) | 3,525 | 3,009,589 | |
Apidos CLO XX, Series 2015-20A, Class DR, 11.356%, (3 mo. SOFR + 5.962%), 7/16/31(1)(2) | 2,375 | 2,135,332 | |
Ares Loan Funding II, Ltd., Series 2022-ALF2A, Class ER, 13.656%, (3 mo. SOFR + 8.24%), 10/20/36(1)(2) | 1,325 | 1,298,898 | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 12.094%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 3,000 | 2,733,831 | |
Ares XLIX CLO, Ltd., Series 2018-49A, Class D, 8.674%, (3 mo. SOFR + 3.262%), 7/22/30(1)(2) | 2,500 | 2,395,640 | |
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class C, 8.526%, (3 mo. SOFR + 3.162%), 5/15/30(1)(2) | 5,000 | 4,754,640 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 11.356%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 4,000 | 3,552,104 | |
Babson CLO, Ltd.: | |||
Series 2015-1A, Class DR, 8.277%, (3 mo. SOFR + 2.862%), 1/20/31(1)(2) | 2,500 | 2,362,727 | |
Series 2018-1A, Class C, 8.256%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 3,500 | 3,276,546 | |
Bain Capital Credit CLO, Ltd.: | |||
Series 2018-1A, Class D, 8.374%, (3 mo. SOFR + 2.962%), 4/23/31(1)(2) | 5,000 | 4,651,770 | |
Series 2018-1A, Class E, 11.024%, (3 mo. SOFR + 5.612%), 4/23/31(1)(2) | 3,000 | 2,511,483 | |
Battalion CLO XXII, Ltd., Series 2021-22A, Class E, 12.627%, (3 mo. SOFR + 7.212%), 1/20/35(1)(2) | 1,750 | 1,482,668 | |
Battalion CLO XXIII, Ltd., Series 2022-23A, Class D, 9.344%, (3 mo. SOFR + 3.95%), 5/19/36(1)(2) | 3,500 | 3,230,965 | |
Benefit Street Partners CLO V-B, Ltd., Series 2018-5BA, Class D, 11.627%, (3 mo. SOFR + 6.212%), 4/20/31(1)(2) | 3,500 | 3,250,653 | |
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 11.277%, (3 mo. SOFR + 5.862%), 1/20/31(1)(2) | 5,401 | 4,544,758 | |
Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class D, 8.277%, (3 mo. SOFR + 2.862%), 4/20/31(1)(2) | 1,500 | 1,419,594 | |
Benefit Street Partners CLO XVI, Ltd., Series 2018-16A, Class E, 12.364%, (3 mo. SOFR + 6.962%), 1/17/32(1)(2) | 2,250 | 2,108,072 |
Security | Principal Amount (000's omitted) | Value | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 12.006%, (3 mo. SOFR + 6.612%), 7/15/32(1)(2) | $ | 1,750 | $ 1,677,869 |
Benefit Street Partners CLO XXII, Ltd., Series 2020-22A, Class ER, 12.346%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 1,000 | 930,082 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.506%, (3 mo. SOFR + 7.112%), 1/15/35(1)(2) | 3,000 | 2,845,206 | |
Betony CLO 2, Ltd.: | |||
Series 2018-1A, Class C, 8.552%, (3 mo. SOFR + 3.162%), 4/30/31(1)(2) | 2,500 | 2,387,102 | |
Series 2018-1A, Class D, 11.302%, (3 mo. SOFR + 5.912%), 4/30/31(1)(2) | 2,475 | 2,178,101 | |
BlueMountain CLO XXIV, Ltd., Series 2019-24A, Class ER, 12.517%, (3 mo. SOFR + 7.102%), 4/20/34(1)(2) | 1,000 | 880,092 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 12.807%, (3 mo. SOFR + 7.392%), 10/20/34(1)(2) | 3,000 | 2,781,324 | |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 12.094%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,779,092 | |
BlueMountain CLO XXXIII, Ltd., Series 2021-33A, Class E, 12.471%, (3 mo. SOFR + 7.092%), 11/20/34(1)(2) | 2,500 | 2,322,227 | |
BlueMountain CLO XXXV, Ltd., Series 2022-35A, Class E, 13.162%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 1,884,938 | |
BlueMountain CLO, Ltd.: | |||
Series 2016-3A, Class DR, 8.726%, (3 mo. SOFR + 3.362%), 11/15/30(1)(2) | 1,500 | 1,375,377 | |
Series 2016-3A, Class ER, 11.576%, (3 mo. SOFR + 6.212%), 11/15/30(1)(2) | 1,500 | 1,224,608 | |
Series 2018-1A, Class D, 8.702%, (3 mo. SOFR + 3.312%), 7/30/30(1)(2) | 2,500 | 2,266,958 | |
Series 2018-1A, Class E, 11.602%, (3 mo. SOFR + 6.212%), 7/30/30(1)(2) | 2,000 | 1,534,322 | |
Bryant Park Funding, Ltd.: | |||
Series 2023-20A, Class D, 11.449%, (3 mo. SOFR + 6.09%), 7/15/36(1)(2) | 3,500 | 3,410,771 | |
Series 2023-21A, Class D, 10.935%, (3 mo. SOFR + 5.45%), 10/18/36(1)(2) | 3,525 | 3,501,841 | |
Canyon Capital CLO, Ltd.: | |||
Series 2012-1RA, Class E, 11.356%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 4,875 | 4,244,814 | |
Series 2016-1A, Class ER, 11.406%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 4,000 | 3,392,436 | |
Series 2016-2A, Class ER, 11.656%, (3 mo. SOFR + 6.262%), 10/15/31(1)(2) | 4,500 | 3,826,125 | |
Series 2017-1A, Class E, 11.906%, (3 mo. SOFR + 6.512%), 7/15/30(1)(2) | 3,250 | 2,877,287 |
Security | Principal Amount (000's omitted) | Value | |
Canyon Capital CLO, Ltd.: (continued) | |||
Series 2018-1A, Class D, 8.556%, (3 mo. SOFR + 3.162%), 7/15/31(1)(2) | $ | 3,000 | $ 2,848,887 |
Series 2018-1A, Class E, 11.406%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 2,750 | 2,345,882 | |
Series 2019-2A, Class ER, 12.406%, (3 mo. SOFR + 7.011%), 10/15/34(1)(2) | 1,500 | 1,360,722 | |
Carlyle CLO C17, Ltd.: | |||
Series C17A, Class CR, 8.452%, (3 mo. SOFR + 3.062%), 4/30/31(1)(2) | 5,000 | 4,680,700 | |
Series C17A, Class DR, 11.652%, (3 mo. SOFR + 6.262%), 4/30/31(1)(2) | 3,500 | 2,841,314 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class CR2, 9.156%, (3 mo. SOFR + 3.762%), 1/14/32(1)(2) | 2,500 | 2,408,155 | |
Series 2012-3A, Class DR2, 12.156%, (3 mo. SOFR + 6.761%), 1/14/32(1)(2) | 1,500 | 1,251,521 | |
Series 2014-3RA, Class C, 8.599%, (3 mo. SOFR + 3.212%), 7/27/31(1)(2) | 1,000 | 924,119 | |
Series 2014-3RA, Class D, 11.049%, (3 mo. SOFR + 5.662%), 7/27/31(1)(2) | 2,150 | 1,877,116 | |
Series 2014-4RA, Class C, 8.556%, (3 mo. SOFR + 3.162%), 7/15/30(1)(2) | 2,000 | 1,848,728 | |
Series 2014-4RA, Class D, 11.306%, (3 mo. SOFR + 5.912%), 7/15/30(1)(2) | 1,500 | 1,206,492 | |
Carlyle US CLO, Ltd.: | |||
Series 2019-4A, Class DR, 11.994%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 3,000 | 2,658,969 | |
Series 2022-6A, Class DR, 10.13%, (3 mo. SOFR + 4.75%), 10/25/36(1)(2) | 2,200 | 2,207,482 | |
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 12.277%, (3 mo. SOFR + 6.862%), 7/20/34(1)(2) | 1,000 | 975,659 | |
CIFC Funding, Ltd., Series 2022-4A, Class D, 8.944%, (3 mo. SOFR + 3.55%), 7/16/35(1)(2) | 1,750 | 1,725,726 | |
Dryden CLO, Ltd.: | |||
Series 2018-55A, Class D, 8.506%, (3 mo. SOFR + 3.112%), 4/15/31(1)(2) | 1,500 | 1,399,137 | |
Series 2018-55A, Class E, 11.056%, (3 mo. SOFR + 5.662%), 4/15/31(1)(2) | 2,000 | 1,749,672 | |
Series 2022-112A, Class E, 13.145%, (3 mo. SOFR + 7.78%), 8/15/34(1)(2) | 2,000 | 1,973,216 | |
Dryden Senior Loan Fund: | |||
Series 2015-41A, Class DR, 8.256%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 5,000 | 4,641,865 | |
Series 2015-41A, Class ER, 10.956%, (3 mo. SOFR + 5.562%), 4/15/31(1)(2) | 1,268 | 989,947 | |
Series 2016-42A, Class DR, 8.586%, (3 mo. SOFR + 3.192%), 7/15/30(1)(2) | 2,500 | 2,348,357 | |
Series 2016-42A, Class ER, 11.206%, (3 mo. SOFR + 5.812%), 7/15/30(1)(2) | 3,500 | 2,953,135 | |
Elmwood CLO 14, Ltd., Series 2022-1A, Class E, 11.766%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 1,950 | 1,875,321 | |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 12.553%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,250 | 2,229,032 |
Security | Principal Amount (000's omitted) | Value | |
Galaxy XXV CLO, Ltd.: | |||
Series 2018-25A, Class D, 8.74%, (3 mo. SOFR + 3.362%), 10/25/31(1)(2) | $ | 2,500 | $ 2,438,492 |
Series 2018-25A, Class E, 11.59%, (3 mo. SOFR + 6.211%), 10/25/31(1)(2) | 3,500 | 3,098,378 | |
Golub Capital Partners CLO 22B, Ltd., Series 2015-22A, Class ER, 11.677%, (3 mo. SOFR + 6.262%), 1/20/31(1)(2) | 2,500 | 2,340,557 | |
Golub Capital Partners CLO 37B, Ltd.: | |||
Series 2018-37A, Class D, 8.977%, (3 mo. SOFR + 3.562%), 7/20/30(1)(2) | 4,000 | 3,709,444 | |
Series 2018-37A, Class E, 11.427%, (3 mo. SOFR + 6.012%), 7/20/30(1)(2) | 4,750 | 4,695,978 | |
Golub Capital Partners CLO 53B, Ltd., Series 2021-53A, Class E, 12.377%, (3 mo. SOFR + 6.962%), 7/20/34(1)(2) | 1,250 | 1,141,728 | |
Golub Capital Partners CLO 58B, Ltd., Series 2021-58A, Class E, 12.45%, (3 mo. SOFR + 7.072%), 1/25/35(1)(2) | 2,500 | 2,306,540 | |
Halseypoint CLO 5, Ltd., Series 2021-5A, Class E, 12.592%, (3 mo. SOFR + 7.202%), 1/30/35(1)(2) | 2,000 | 1,821,042 | |
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 12.077%, (3 mo. SOFR + 6.662%), 4/20/34(1)(2) | 1,000 | 929,261 | |
ICG US CLO, Ltd.: | |||
Series 2018-2A, Class D, 8.774%, (3 mo. SOFR + 3.362%), 7/22/31(1)(2) | 2,000 | 1,844,714 | |
Series 2018-2A, Class E, 11.424%, (3 mo. SOFR + 6.012%), 7/22/31(1)(2) | 3,000 | 2,468,892 | |
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 12.257%, (3 mo. SOFR + 6.862%), 1/18/34(1)(2) | 1,450 | 1,354,316 | |
Madison Park Funding XXV, Ltd., Series 2017-25A, Class D, 11.74%, (3 mo. SOFR + 6.362%), 4/25/29(1)(2) | 1,500 | 1,399,364 | |
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class ER, 12.444%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,500 | 2,464,607 | |
Marble Point CLO XXIV, Ltd., Series 2022-1A, Class D1, 9.656%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,948,968 | |
Neuberger Berman CLO XXII, Ltd.: | |||
Series 2016-22A, Class DR, 8.764%, (3 mo. SOFR + 3.362%), 10/17/30(1)(2) | 2,500 | 2,405,505 | |
Series 2016-22A, Class ER, 11.724%, (3 mo. SOFR + 6.322%), 10/17/30(1)(2) | 3,000 | 2,729,217 | |
Neuberger Berman Loan Advisers CLO 28, Ltd., Series 2018-28A, Class E, 11.277%, (3 mo. SOFR + 5.862%), 4/20/30(1)(2) | 1,950 | 1,712,176 | |
Neuberger Berman Loan Advisers CLO 30, Ltd., Series 2018-30A, Class ER, 11.877%, (3 mo. SOFR + 6.462%), 1/20/31(1)(2) | 1,000 | 944,940 |
Security | Principal Amount (000's omitted) | Value | |
Neuberger Berman Loan Advisers CLO 48, Ltd., Series 2022-48A, Class E, 11.878%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | $ | 3,200 | $ 3,044,691 |
OCP CLO, Ltd.: | |||
Series 2022-24A, Class D, 9.216%, (3 mo. SOFR + 3.80%), 7/20/35(1)(2) | 500 | 472,812 | |
Series 2022-24A, Class E, 12.836%, (3 mo. SOFR + 7.42%), 7/20/35(1)(2) | 1,000 | 966,488 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 11.514%, (3 mo. SOFR + 6.111%), 10/17/31(1)(2) | 1,325 | 1,241,293 | |
Series 2015-1A, Class DR4, 12.141%, (3 mo. SOFR + 6.762%), 5/21/34(1)(2) | 2,000 | 1,847,830 | |
Series 2018-1A, Class D, 10.807%, (3 mo. SOFR + 5.412%), 4/18/31(1)(2) | 2,000 | 1,881,298 | |
Series 2018-2A, Class D, 11.256%, (3 mo. SOFR + 5.862%), 7/16/31(1)(2) | 2,000 | 1,928,870 | |
Series 2021-2A, Class E, 12.006%, (3 mo. SOFR + 6.612%), 7/15/34(1)(2) | 1,000 | 962,846 | |
Series 2022-1A, Class E, 11.766%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 2,000 | 1,929,592 | |
RAD CLO 5, Ltd., Series 2019-5A, Class E, 12.36%, (3 mo. SOFR + 6.962%), 7/24/32(1)(2) | 1,250 | 1,169,161 | |
RAD CLO 14, Ltd., Series 2021-14A, Class E, 12.156%, (3 mo. SOFR + 6.762%), 1/15/35(1)(2) | 950 | 890,045 | |
Regatta XIII Funding, Ltd.: | |||
Series 2018-2A, Class C, 8.756%, (3 mo. SOFR + 3.362%), 7/15/31(1)(2) | 2,500 | 2,432,925 | |
Series 2018-2A, Class D, 11.606%, (3 mo. SOFR + 6.212%), 7/15/31(1)(2) | 5,000 | 4,067,035 | |
Regatta XIV Funding, Ltd.: | |||
Series 2018-3A, Class D, 8.84%, (3 mo. SOFR + 3.462%), 10/25/31(1)(2) | 2,500 | 2,442,735 | |
Series 2018-3A, Class E, 11.59%, (3 mo. SOFR + 6.211%), 10/25/31(1)(2) | 2,000 | 1,801,678 | |
Regatta XV Funding, Ltd., Series 2018-4A, Class D, 12.14%, (3 mo. SOFR + 6.762%), 10/25/31(1)(2) | 2,875 | 2,543,044 | |
Symphony CLO, Ltd., Series 2022-37A, Class D1, 10.846%, (3 mo. SOFR + 5.43%), 10/20/34(1)(2) | 2,500 | 2,518,007 | |
Upland CLO, Ltd.: | |||
Series 2016-1A, Class CR, 8.577%, (3 mo. SOFR + 3.162%), 4/20/31(1)(2) | 4,500 | 4,239,504 | |
Series 2016-1A, Class DR, 11.577%, (3 mo. SOFR + 6.162%), 4/20/31(1)(2) | 2,125 | 1,920,182 | |
Vibrant CLO IX, Ltd.: | |||
Series 2018-9A, Class C, 8.877%, (3 mo. SOFR + 3.462%), 7/20/31(1)(2) | 2,500 | 2,231,463 | |
Series 2018-9A, Class D, 11.927%, (3 mo. SOFR + 6.512%), 7/20/31(1)(2) | 3,500 | 2,432,773 | |
Vibrant CLO X, Ltd.: | |||
Series 2018-10A, Class C, 8.927%, (3 mo. SOFR + 3.512%), 10/20/31(1)(2) | 5,000 | 4,605,920 |
Security | Principal Amount (000's omitted) | Value | |
Vibrant CLO X, Ltd.: (continued) | |||
Series 2018-10A, Class D, 11.867%, (3 mo. SOFR + 6.452%), 10/20/31(1)(2) | $ | 5,000 | $ 3,719,755 |
Voya CLO, Ltd.: | |||
Series 2015-3A, Class CR, 8.827%, (3 mo. SOFR + 3.412%), 10/20/31(1)(2) | 2,500 | 2,177,888 | |
Series 2015-3A, Class DR, 11.877%, (3 mo. SOFR + 6.462%), 10/20/31(1)(2) | 5,500 | 4,405,318 | |
Series 2016-3A, Class CR, 8.907%, (3 mo. SOFR + 3.512%), 10/18/31(1)(2) | 2,000 | 1,813,576 | |
Series 2016-3A, Class DR, 11.737%, (3 mo. SOFR + 6.342%), 10/18/31(1)(2) | 2,375 | 1,880,140 | |
Series 2018-2A, Class E, 10.906%, (3 mo. SOFR + 5.512%), 7/15/31(1)(2) | 2,500 | 2,129,953 | |
Webster Park CLO, Ltd.: | |||
Series 2015-1A, Class CR, 8.577%, (3 mo. SOFR + 3.162%), 7/20/30(1)(2) | 2,000 | 1,925,990 | |
Series 2015-1A, Class DR, 11.177%, (3 mo. SOFR + 5.762%), 7/20/30(1)(2) | 2,500 | 2,130,353 | |
Wellfleet CLO, Ltd.: | |||
Series 2021-1A, Class D, 9.177%, (3 mo. SOFR + 3.762%), 4/20/34(1)(2) | 1,200 | 1,078,579 | |
Series 2021-3A, Class E, 12.756%, (3 mo. SOFR + 7.362%), 1/15/35(1)(2) | 950 | 800,259 | |
Series 2022-1A, Class D, 9.534%, (3 mo. SOFR + 4.14%), 4/15/34(1)(2) | 1,000 | 945,569 | |
Series 2022-1A, Class E, 13.254%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,000 | 1,852,368 | |
Total Asset-Backed Securities (identified cost $297,460,747) | $ 270,085,254 |
Common Stocks — 0.6% |
Security | Shares | Value | |
Aerospace and Defense — 0.0% | |||
IAP Global Services, LLC(3)(4)(5)(6) | 950 | $ 0 | |
IAP Global Services, LLC(3)(4)(5) | 1,627 | 0 | |
$ 0 | |||
Chemicals — 0.0% | |||
Flint Campfire Topco, Ltd., Class A(4)(5)(6) | 3,812,783 | $ 0 | |
$ 0 | |||
Commercial Services & Supplies — 0.1% | |||
Monitronics International, Inc.(5)(6) | 223,950 | $ 4,702,950 | |
Phoenix Services International, LLC(5)(6) | 168,954 | 1,605,063 | |
Phoenix Services International, LLC(5)(6) | 15,415 | 146,442 | |
$ 6,454,455 |
Security | Shares | Value | |
Containers and Glass Products — 0.0%(7) | |||
LG Newco Holdco, Inc.(5)(6) | 250,979 | $ 1,443,129 | |
$ 1,443,129 | |||
Electronics/Electrical — 0.0%(7) | |||
Skillsoft Corp.(5)(6) | 44,676 | $ 839,909 | |
$ 839,909 | |||
Entertainment — 0.1% | |||
New Cineworld, Ltd.(5)(6) | 80,602 | $ 1,722,868 | |
$ 1,722,868 | |||
Health Care — 0.0% | |||
Akorn Holding Company, LLC(4)(5)(6) | 705,631 | $ 0 | |
$ 0 | |||
Household Durables — 0.3% | |||
Serta Simmons Bedding, Inc.(5)(6) | 1,348,933 | $ 18,885,062 | |
Serta SSB Equipment Co.(4)(5)(6) | 1,348,933 | 0 | |
$ 18,885,062 | |||
Investment Companies — 0.0%(7) | |||
Aegletes B.V.(5)(6) | 116,244 | $ 280,439 | |
Jubilee Topco, Ltd., Class A(4)(5)(6) | 2,897,167 | 0 | |
$ 280,439 | |||
Nonferrous Metals/Minerals — 0.1% | |||
ACNR Holdings, Inc., Class A(5)(6) | 36,829 | $ 3,148,879 | |
$ 3,148,879 | |||
Oil and Gas — 0.0%(7) | |||
AFG Holdings, Inc.(4)(5)(6) | 498,342 | $ 986,717 | |
McDermott International, Ltd.(5)(6) | 1,013,850 | 273,740 | |
$ 1,260,457 | |||
Pharmaceuticals — 0.0%(7) | |||
Covis Midco 1 S.a.r.l., Class A(5)(6) | 8,008 | $ 4,084 | |
Covis Midco 1 S.a.r.l., Class B(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 S.a.r.l., Class C(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 S.a.r.l., Class D(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 S.a.r.l., Class E(5)(6) | 8,008 | 4,084 | |
$ 20,420 | |||
Retailers (Except Food and Drug) — 0.0%(7) | |||
Phillips Pet Holding Corp.(4)(5)(6) | 2,590 | $ 102,897 | |
$ 102,897 |
Security | Shares | Value | |
Telecommunications — 0.0% | |||
Global Eagle Entertainment(4)(5)(6) | 364,650 | $ 0 | |
$ 0 | |||
Utilities — 0.0%(7) | |||
Longview Intermediate Holdings, LLC, Class A(6) | 149,459 | $ 1,206,134 | |
$ 1,206,134 | |||
Total Common Stocks (identified cost $80,724,650) | $ 35,364,649 |
Corporate Bonds — 9.1% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 0.4% | |||
TransDigm, Inc.: | |||
6.25%, 3/15/26(1) | 1,500 | $ 1,466,857 | |
6.75%, 8/15/28(1) | 3,175 | 3,086,841 | |
6.875%, 12/15/30(1) | 19,500 | 18,847,335 | |
$ 23,401,033 | |||
Air Transport — 0.6% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 14,313 | $ 13,932,268 | |
5.75%, 4/20/29(1) | 12,875 | 11,626,509 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 4,625 | 4,294,819 | |
4.625%, 4/15/29(1) | 4,625 | 3,910,915 | |
$ 33,764,511 | |||
Automotive — 0.1% | |||
Adient Global Holdings, Ltd., 7.00%, 4/15/28(1) | 2,175 | $ 2,143,235 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 1,890 | 1,876,813 | |
Clarios Global, L.P./Clarios US Finance Co., 6.25%, 5/15/26(1) | 3,893 | 3,809,775 | |
$ 7,829,823 | |||
Building and Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, 6.75%, 5/15/28(1) | 7,018 | $ 6,406,346 | |
Winnebago Industries, Inc., 6.25%, 7/15/28(1) | 900 | 847,274 | |
$ 7,253,620 |
Security | Principal Amount* (000's omitted) | Value | |
Business Equipment and Services — 0.8% | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp., 6.625%, 7/15/26(1) | 2,075 | $ 1,944,949 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
4.625%, 6/1/28(1) | 12,475 | 10,177,694 | |
4.625%, 6/1/28(1) | 23,725 | 19,429,703 | |
Prime Security Services Borrower, LLC/Prime Finance, Inc., 5.75%, 4/15/26(1) | 15,225 | 14,784,812 | |
$ 46,337,158 | |||
Chemicals — 0.4% | |||
Cheever Escrow Issuer, LLC, 7.125%, 10/1/27(1) | 925 | $ 852,570 | |
INEOS Finance PLC, 3.375%, 3/31/26(1) | EUR | 1,250 | 1,253,188 |
INEOS Quattro Finance 2 PLC, 3.375%, 1/15/26(1) | 3,050 | 2,916,014 | |
Olympus Water US Holding Corp.: | |||
4.25%, 10/1/28(1) | 9,350 | 7,470,369 | |
9.75%, 11/15/28(1) | 8,600 | 8,410,378 | |
$ 20,902,519 | |||
Commercial Services — 0.2% | |||
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(1) | 15,300 | $ 13,517,376 | |
$ 13,517,376 | |||
Containers & Packaging — 0.2% | |||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC: | |||
4.00%, 10/15/27(1) | 5,150 | $ 4,499,291 | |
4.375%, 10/15/28(1) | 9,125 | 7,772,883 | |
$ 12,272,174 | |||
Diversified Financial Services — 0.3% | |||
AG Issuer, LLC, 6.25%, 3/1/28(1) | 8,075 | $ 7,447,716 | |
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 2,925 | 2,941,439 | |
Aretec Escrow Issuer 2, Inc., 10.00%, 8/15/30(1)(8) | 4,225 | 4,277,812 | |
$ 14,666,967 | |||
Diversified Telecommunication Services — 0.9% | |||
Altice France S.A.: | |||
5.125%, 1/15/29(1) | 1,300 | $ 898,591 | |
5.125%, 7/15/29(1) | 42,825 | 29,349,960 | |
5.50%, 10/15/29(1) | 6,455 | 4,445,207 | |
Level 3 Financing, Inc., 3.875%, 11/15/29(1) | 11,225 | 10,012,671 | |
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(1) | 6,500 | 5,367,635 | |
$ 50,074,064 |
Security | Principal Amount* (000's omitted) | Value | |
Drugs — 0.1% | |||
Jazz Securities DAC, 4.375%, 1/15/29(1) | 9,150 | $ 7,965,382 | |
$ 7,965,382 | |||
Ecological Services and Equipment — 0.1% | |||
GFL Environmental, Inc., 4.25%, 6/1/25(1) | 5,300 | $ 5,100,552 | |
$ 5,100,552 | |||
Electronics/Electrical — 0.4% | |||
GoTo Group, Inc., 5.50%, 9/1/27(1) | 10,760 | $ 5,623,288 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 18,175 | 15,860,561 | |
$ 21,483,849 | |||
Entertainment — 0.1% | |||
Live Nation Entertainment, Inc., 3.75%, 1/15/28(1) | 2,075 | $ 1,818,737 | |
Six Flags Theme Parks, Inc., 7.00%, 7/1/25(1) | 1,070 | 1,063,634 | |
$ 2,882,371 | |||
Health Care — 0.6% | |||
Medline Borrower, L.P., 3.875%, 4/1/29(1) | 22,800 | $ 19,272,855 | |
Tenet Healthcare Corp., 4.25%, 6/1/29 | 15,950 | 13,666,951 | |
$ 32,939,806 | |||
Hotels, Restaurants & Leisure — 0.6% | |||
Carnival Corp., 4.00%, 8/1/28(1) | 34,575 | $ 30,102,544 | |
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(1) | 2,125 | 2,155,781 | |
$ 32,258,325 | |||
Household Products — 0.2% | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(1) | 14,212 | $ 12,869,817 | |
$ 12,869,817 | |||
Insurance — 0.3% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co., 4.25%, 10/15/27(1) | 700 | $ 616,143 | |
NFP Corp.: | |||
4.875%, 8/15/28(1) | 5,520 | 4,838,766 | |
7.50%, 10/1/30(1) | 2,925 | 2,773,221 | |
8.50%, 10/1/31(1) | 8,300 | 8,168,583 | |
$ 16,396,713 |
Security | Principal Amount* (000's omitted) | Value | |
Internet Software & Services — 0.2% | |||
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(1) | 13,700 | $ 13,175,673 | |
$ 13,175,673 | |||
Leisure Goods/Activities/Movies — 0.4% | |||
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 3,300 | $ 3,010,194 | |
NCL Corp., Ltd., 5.875%, 2/15/27(1) | 22,000 | 20,272,430 | |
$ 23,282,624 | |||
Machinery — 0.3% | |||
Madison IAQ, LLC, 4.125%, 6/30/28(1) | 13,400 | $ 11,206,897 | |
TK Elevator U.S. Newco, Inc., 5.25%, 7/15/27(1) | 7,150 | 6,516,919 | |
$ 17,723,816 | |||
Media — 0.4% | |||
iHeartCommunications, Inc.: | |||
4.75%, 1/15/28(1) | 2,550 | $ 1,806,845 | |
5.25%, 8/15/27(1) | 2,125 | 1,559,329 | |
6.375%, 5/1/26 | 2,896 | 2,363,200 | |
8.375%, 5/1/27 | 5,248 | 3,222,327 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 9,125 | 7,263,536 | |
7.375%, 6/30/30(1) | 9,150 | 8,065,665 | |
$ 24,280,902 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
CITGO Petroleum Corporation, 7.00%, 6/15/25(1) | 10,525 | $ 10,352,865 | |
$ 10,352,865 | |||
Professional Services — 0.1% | |||
CoreLogic, Inc., 4.50%, 5/1/28(1) | 5,525 | $ 4,384,419 | |
$ 4,384,419 | |||
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 | $ 5,793,101 | |
$ 5,793,101 | |||
Retail — 0.2% | |||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 15,580 | $ 13,109,246 | |
$ 13,109,246 |
Security | Principal Amount* (000's omitted) | Value | |
Retailers (Except Food and Drug) — 0.0%(7) | |||
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 1,300 | $ 1,151,746 | |
$ 1,151,746 | |||
Software — 0.3% | |||
Boxer Parent Co., Inc., 7.125%, 10/2/25(1) | 4,225 | $ 4,172,187 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 13,600 | 11,594,068 | |
Veritas US, Inc./Veritas Bermuda, Ltd., 7.50%, 9/1/25(1) | 2,750 | 2,253,426 | |
$ 18,019,681 | |||
Technology — 0.2% | |||
Clarivate Science Holdings Corp., 3.875%, 7/1/28(1) | 11,400 | $ 9,802,152 | |
$ 9,802,152 | |||
Telecommunications — 0.2% | |||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 9,325 | $ 7,273,692 | |
VMED O2 UK Financing I PLC, 4.25%, 1/31/31(1) | 5,550 | 4,370,746 | |
$ 11,644,438 | |||
Trading Companies & Distributors — 0.0%(7) | |||
American Builders & Contractors Supply Co., Inc., 4.00%, 1/15/28(1) | 2,975 | $ 2,673,667 | |
$ 2,673,667 | |||
Utilities — 0.0%(7) | |||
Calpine Corp., 5.25%, 6/1/26(1) | 1,109 | $ 1,062,411 | |
$ 1,062,411 | |||
Wireless Telecommunication Services — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(1) | 6,325 | $ 5,809,702 | |
$ 5,809,702 | |||
Total Corporate Bonds (identified cost $598,447,001) | $ 524,182,503 |
Exchange-Traded Funds — 0.3% |
Security | Shares | Value | |
SPDR Blackstone Senior Loan ETF | 426,000 | $ 17,700,300 | |
Total Exchange-Traded Funds (identified cost $19,593,027) | $ 17,700,300 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Nonferrous Metals/Minerals — 0.2% | |||
ACNR Holdings, Inc., 15.00% (PIK)(5)(6) | 17,394 | $ 8,946,313 | |
Total Preferred Stocks (identified cost $0) | $ 8,946,313 |
Senior Floating-Rate Loans — 81.4%(9) |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 2.0% | |||
Aernnova Aerospace S.A.U.: | |||
Term Loan, 6.783%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 4,656 | $ 4,760,370 |
Term Loan, 6.934%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 1,194 | 1,220,608 |
AI Convoy (Luxembourg) S.a.r.l., Term Loan, 7.722%, (3 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 3,850 | 3,965,481 |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 9.324%, (SOFR + 4.00%), 8/24/28 | 23,402 | 23,171,462 | |
Term Loan, 9.324%, (SOFR + 4.00%), 8/24/28 | 10,029 | 9,930,627 | |
IAP Worldwide Services, Inc., Term Loan - Second Lien, 12.152%, (3 mo. USD LIBOR + 6.50%), 7/18/23(4) | 6,709 | 5,122,000 | |
TransDigm, Inc.: | |||
Term Loan, 8.64%, (SOFR + 3.25%), 2/22/27 | 27,544 | 27,555,452 | |
Term Loan, 8.64%, (SOFR + 3.25%), 8/24/28 | 16,042 | 16,039,386 | |
WP CPP Holdings, LLC, Term Loan, 9.29%, (SOFR + 3.75%), 4/30/25 | 27,103 | 26,127,160 | |
$ 117,892,546 | |||
Airlines — 0.4% | |||
American Airlines, Inc., Term Loan, 10.427%, (SOFR + 4.75%), 4/20/28 | 24,863 | $ 25,246,750 | |
$ 25,246,750 | |||
Apparel & Luxury Goods — 0.1% | |||
Hanesbrands, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 3/8/30 | 4,552 | $ 4,500,914 | |
$ 4,500,914 | |||
Auto Components — 1.8% | |||
Adient US, LLC, Term Loan, 8.689%, (SOFR + 3.25%), 4/10/28 | 5,523 | $ 5,529,734 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Auto Components (continued) | |||
Autokiniton US Holdings, Inc., Term Loan, 9.939%, (SOFR + 4.50%), 4/6/28 | 20,578 | $ 20,209,276 | |
Clarios Global, L.P., Term Loan, 7.118%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 16,490 | 17,399,074 |
DexKo Global, Inc.: | |||
Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 3,272 | 3,271,262 |
Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 7,303 | 7,302,731 |
Term Loan, 9.402%, (SOFR + 3.75%), 10/4/28 | 13,371 | 12,834,434 | |
Garrett Motion, Inc., Term Loan, 9.883%, (SOFR + 4.50%), 4/30/28 | 8,393 | 8,413,839 | |
LSF12 Badger Bidco, LLC, Term Loan, 11.324%, (SOFR + 6.00%), 8/30/30 | 3,100 | 3,096,125 | |
LTI Holdings, Inc., Term Loan, 10.189%, (SOFR + 4.75%), 7/24/26 | 7,044 | 6,755,899 | |
RealTruck Group, Inc.: | |||
Term Loan, 9.189%, (SOFR + 3.75%), 1/31/28 | 11,509 | 10,997,334 | |
Term Loan, 10.406%, (SOFR + 5.00%), 1/31/28 | 7,125 | 6,833,317 | |
$ 102,643,025 | |||
Automobiles — 0.9% | |||
Bombardier Recreational Products, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 5/24/27 | 38,161 | $ 37,874,967 | |
MajorDrive Holdings IV, LLC: | |||
Term Loan, 9.652%, (SOFR + 4.00%), 6/1/28 | 14,893 | 14,508,379 | |
Term Loan, 11.04%, (SOFR + 5.50%), 6/1/29 | 2,140 | 2,121,672 | |
$ 54,505,018 | |||
Beverages — 0.4% | |||
City Brewing Company, LLC, Term Loan, 9.164%, (SOFR + 3.50%), 4/5/28 | 7,885 | $ 5,847,062 | |
Triton Water Holdings, Inc., Term Loan, 8.902%, (SOFR + 3.25%), 3/31/28 | 21,157 | 20,105,663 | |
$ 25,952,725 | |||
Biotechnology — 0.5% | |||
Alkermes, Inc., Term Loan, 7.949%, (SOFR + 2.50%), 3/12/26 | 18,178 | $ 18,041,169 | |
Alltech, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 10/13/28 | 4,736 | 4,635,615 | |
Grifols Worldwide Operations USA, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 11/15/27 | 4,440 | 4,324,991 | |
$ 27,001,775 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Building Products — 0.8% | |||
Cornerstone Building Brands, Inc., Term Loan, 8.685%, (SOFR + 3.25%), 4/12/28 | 11,056 | $ 10,542,540 | |
CPG International, Inc., Term Loan, 7.924%, (SOFR + 2.50%), 4/28/29 | 13,637 | 13,635,545 | |
LHS Borrower, LLC, Term Loan, 10.174%, (SOFR + 4.75%), 2/16/29 | 5,827 | 5,113,227 | |
MI Windows and Doors, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/18/27 | 6,545 | 6,552,979 | |
Oscar AcquisitionCo, LLC, Term Loan, 9.99%, (SOFR + 4.50%), 4/29/29 | 1,598 | 1,558,974 | |
Standard Industries, Inc., Term Loan, 7.953%, (SOFR + 2.50%), 9/22/28 | 8,819 | 8,842,854 | |
$ 46,246,119 | |||
Capital Markets — 4.5% | |||
Advisor Group, Inc., Term Loan, 9.824%, (SOFR + 4.50%), 8/17/28 | 22,225 | $ 22,167,154 | |
AllSpring Buyer, LLC, Term Loan, 8.949%, (SOFR + 3.25%), 11/1/28 | 6,220 | 6,066,244 | |
Aretec Group, Inc.: | |||
Term Loan, 9.674%, (SOFR + 4.25%), 10/1/25 | 18,275 | 18,285,118 | |
Term Loan, 9.924%, (SOFR + 4.50%), 8/9/30 | 8,853 | 8,620,426 | |
CeramTec AcquiCo GmbH, Term Loan, 7.283%, (3 mo. EURIBOR + 3.50%), 3/16/29 | EUR | 12,779 | 13,217,332 |
Citadel Securities, L.P., Term Loan, 7.939%, (SOFR + 2.50%), 7/29/30 | 7,606 | 7,594,529 | |
Citco Funding, LLC, Term Loan, 4/27/28(10) | 8,175 | 8,190,328 | |
Clipper Acquisitions Corp., Term Loan, 7.192%, (SOFR + 1.75%), 3/3/28 | 7,191 | 7,161,189 | |
Edelman Financial Center, LLC, Term Loan, 8.939%, (SOFR + 3.50%), 4/7/28 | 18,913 | 18,620,831 | |
EIG Management Company, LLC, Term Loan, 9.177%, (SOFR + 3.75%), 2/22/25 | 2,859 | 2,858,625 | |
FinCo I, LLC, Term Loan, 8.383%, (SOFR + 3.00%), 6/27/29 | 12,818 | 12,824,284 | |
Focus Financial Partners, LLC: | |||
Term Loan, 7.824%, (SOFR + 2.50%), 6/30/28 | 9,877 | 9,799,190 | |
Term Loan, 8.574%, (SOFR + 3.25%), 6/30/28 | 17,301 | 17,255,707 | |
Term Loan, 8.824%, (SOFR + 3.50%), 6/30/28 | 6,400 | 6,393,331 | |
Franklin Square Holdings, L.P., Term Loan, 7.674%, (SOFR + 2.25%), 8/1/25 | 6,199 | 6,206,462 | |
Guggenheim Partners, LLC, Term Loan, 8.64%, (SOFR + 3.25%), 12/12/29 | 19,230 | 19,238,323 | |
Hudson River Trading, LLC, Term Loan, 8.439%, (SOFR + 3.00%), 3/20/28 | 25,572 | 25,241,936 | |
LPL Holdings, Inc., Term Loan, 7.165%, (SOFR + 1.75%), 11/12/26 | 15,785 | 15,821,179 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Capital Markets (continued) | |||
Mariner Wealth Advisors, LLC, Term Loan, 8.901%, (SOFR + 3.25%), 8/18/28 | 13,446 | $ 13,244,742 | |
Victory Capital Holdings, Inc.: | |||
Term Loan, 7.772%, (SOFR + 2.25%), 7/1/26 | 13,437 | 13,430,354 | |
Term Loan, 7.772%, (SOFR + 2.25%), 12/29/28 | 6,979 | 6,952,588 | |
$ 259,189,872 | |||
Chemicals — 4.9% | |||
Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 7.89%, (SOFR + 2.50%), 12/20/29 | 18,151 | $ 18,203,296 | |
CPC Acquisition Corp., Term Loan, 9.402%, (SOFR + 3.75%), 12/29/27 | 14,714 | 11,646,946 | |
Flint Group Midco Limited, Term Loan, 10.674%, (SOFR + 5.00%), 9.924% cash, 0.75% PIK, 12/31/26 | 4,982 | 4,633,281 | |
Flint Group Packaging INKS North America Holdings, LLC: | |||
Term Loan, 9.002%, (3 mo. EURIBOR + 5.00%), 8.252% cash, 0.75% PIK, 12/31/26 | EUR | 1,546 | 1,521,387 |
Term Loan, 11.002%, (3 mo. EURIBOR + 7.00%), 4.102% cash, 6.90% PIK, 12/31/27 | EUR | 750 | 581,570 |
Term Loan - Second Lien, 11.002%, (3 mo. EURIBOR + 7.00%), 4.102% cash, 6.90% PIK, 12/31/27 | EUR | 999 | 191,158 |
Flint Group Topco Limited: | |||
Term Loan, 12.674%, (SOFR + 7.00%), 5.774% cash, 6.90% PIK, 12/31/27 | 2,429 | 1,779,470 | |
Term Loan - Second Lien, 12.674%, (SOFR + 7.00%), 5.774% cash, 6.90% PIK, 12/31/27 | 3,240 | 585,830 | |
Gemini HDPE, LLC, Term Loan, 8.645%, (SOFR + 3.00%), 12/31/27 | 4,686 | 4,678,800 | |
GEON Performance Solutions, LLC, Term Loan, 10.402%, (SOFR + 4.75%), 8/18/28 | 5,660 | 5,547,017 | |
Groupe Solmax, Inc., Term Loan, 10.303%, (SOFR + 4.75%), 5/29/28(11) | 9,392 | 8,797,699 | |
INEOS Enterprises Holdings II Limited, Term Loan, 7.783%, (3 mo. EURIBOR + 4.00%), 7/7/30 | EUR | 1,945 | 2,028,995 |
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 9.273%, (SOFR + 3.75%), 7/8/30 | 10,925 | 10,697,399 | |
INEOS Finance PLC: | |||
Term Loan, 6.618%, (1 mo. EURIBOR + 2.75%), 11/8/28 | EUR | 8,900 | 9,043,347 |
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 11/8/27 | EUR | 6,200 | 6,481,194 |
INEOS Quattro Holdings UK, Ltd.: | |||
Term Loan, 6.622%, (1 week EURIBOR + 2.75%), 1/29/26 | EUR | 23,150 | 24,185,160 |
Term Loan, 7.872%, (1 week EURIBOR + 4.00%), 3/14/30 | EUR | 3,300 | 3,382,614 |
Term Loan, 9.174%, (SOFR + 3.75%), 3/14/30 | 4,988 | 4,903,336 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
INEOS Styrolution US Holding, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 1/29/26 | 8,272 | $ 8,140,905 | |
INEOS US Finance, LLC: | |||
Term Loan, 7.825%, (SOFR + 2.50%), 11/8/28 | 6,152 | 6,021,201 | |
Term Loan, 8.924%, (SOFR + 3.50%), 2/18/30 | 20,653 | 20,310,542 | |
Term Loan, 9.174%, (SOFR + 3.75%), 11/8/27 | 2,637 | 2,608,186 | |
Kraton Corporation, Term Loan, 8.921%, (SOFR + 3.25%), 3/15/29 | 5,615 | 5,354,829 | |
Kraton Polymers Holdings B.V., Term Loan, 7.217%, (EURIBOR + 3.25%), 3/15/29(11) | EUR | 4,250 | 4,332,037 |
Lonza Group AG: | |||
Term Loan, 7.897%, (3 mo. EURIBOR + 3.93%), 7/3/28 | EUR | 4,600 | 4,206,531 |
Term Loan, 9.415%, (SOFR + 3.93%), 7/3/28 | 10,766 | 9,145,318 | |
Messer Industries GmbH: | |||
Term Loan, 6.368%, (1 mo. EURIBOR + 2.50%), 3/2/26 | EUR | 1,554 | 1,645,247 |
Term Loan, 8.152%, (SOFR + 2.50%), 3/2/26 | 9,372 | 9,374,156 | |
Momentive Performance Materials, Inc., Term Loan, 9.824%, (SOFR + 4.50%), 3/29/28 | 21,585 | 20,614,013 | |
Olympus Water US Holding Corporation: | |||
Term Loan, 9.402%, (SOFR + 3.75%), 11/9/28 | 3,947 | 3,856,354 | |
Term Loan, 9.99%, (SOFR + 4.50%), 11/9/28 | 5,344 | 5,259,019 | |
Orion Engineered Carbons GmbH: | |||
Term Loan, 6.372%, (3 mo. EURIBOR + 2.40%), 9/24/28 | EUR | 1,250 | 1,325,932 |
Term Loan, 7.64%, (SOFR + 2.15%), 9/24/28 | 4,435 | 4,379,069 | |
PQ Corporation, Term Loan, 7.983%, (SOFR + 2.50%), 6/9/28 | 8,668 | 8,627,116 | |
Rohm Holding GmbH: | |||
Term Loan, 8.472%, (6 mo. EURIBOR + 4.50%), 7/31/26 | EUR | 1,000 | 950,968 |
Term Loan, 10.881%, (SOFR + 5.00%), 7/31/26 | 13,783 | 12,738,220 | |
Term Loan, 7/31/26(10) | EUR | 10,800 | 10,270,450 |
SCUR-Alpha 1503 GmbH, Term Loan, 10.883%, (SOFR + 5.50%), 3/29/30 | 5,522 | 5,094,308 | |
Tronox Finance, LLC: | |||
Term Loan, 8.116%, (SOFR + 2.50%), 3/10/28(11) | 11,570 | 11,367,412 | |
Term Loan, 8.64%, (SOFR + 3.25%), 4/4/29 | 3,620 | 3,571,611 | |
Term Loan, 8.824%, (SOFR + 3.50%), 8/16/28 | 5,075 | 5,011,562 | |
$ 283,093,485 | |||
Commercial Services & Supplies — 1.7% | |||
Asplundh Tree Expert, LLC, Term Loan, 7.174%, (SOFR + 1.75%), 9/7/27 | 8,197 | $ 8,211,229 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Commercial Services & Supplies (continued) | |||
Belfor Holdings, Inc.: | |||
Term Loan, 9.574%, (SOFR + 4.25%), 4/6/26 | 2,587 | $ 2,592,222 | |
Term Loan, 10/25/30(10) | 6,575 | 6,575,000 | |
EnergySolutions, LLC, Term Loan, 9.382%, (SOFR + 4.00%), 9/20/30 | 16,309 | 16,237,217 | |
Foundever Group, Term Loan, 7.62%, (1 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 6,425 | 6,541,659 |
GFL Environmental, Inc., Term Loan, 7.912%, (SOFR + 2.50%), 5/31/27 | 4,280 | 4,288,789 | |
Harsco Corporation, Term Loan, 7.689%, (SOFR + 2.25%), 3/10/28 | 885 | 865,183 | |
JFL-Tiger Acquisition Co., Inc., Term Loan, 10.403%, (SOFR + 5.00%), 10/17/30 | 7,325 | 7,242,594 | |
Monitronics International, Inc., Term Loan, 13.145%, (SOFR + 7.50%), 6/30/28 | 12,343 | 12,482,058 | |
Phoenix Services International, LLC, Term Loan, 11.427%, (SOFR + 6.10%), 6/30/28 | 2,031 | 1,894,228 | |
SITEL Worldwide Corporation, Term Loan, 9.189%, (SOFR + 3.75%), 8/28/28 | 13,950 | 13,475,451 | |
Tempo Acquisition, LLC, Term Loan, 8.074%, (SOFR + 2.75%), 8/31/28 | 2,463 | 2,463,160 | |
TMF Group Holding B.V., Term Loan, 10.414%, (SOFR + 5.00%), 5/3/28 | 4,650 | 4,652,906 | |
TruGreen Limited Partnership, Term Loan, 9.424%, (SOFR + 4.00%), 11/2/27 | 8,399 | 7,899,375 | |
$ 95,421,071 | |||
Communications Equipment — 0.1% | |||
Digi International, Inc., Term Loan, 10.439%, (SOFR + 5.00%), 11/1/28 | 4,181 | $ 4,182,690 | |
$ 4,182,690 | |||
Construction Materials — 0.4% | |||
Quikrete Holdings, Inc.: | |||
Term Loan, 8.064%, (SOFR + 2.63%), 2/1/27 | 2,734 | $ 2,732,538 | |
Term Loan, 8.189%, (SOFR + 2.75%), 3/19/29 | 19,014 | 19,027,854 | |
$ 21,760,392 | |||
Consumer Staples Distribution & Retail — 0.4% | |||
Cardenas Markets, Inc., Term Loan, 12.24%, (SOFR + 6.75%), 8/1/29 | 4,154 | $ 4,154,539 | |
Peer Holding III B.V.: | |||
Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 9/29/28 | EUR | 5,725 | 6,045,951 |
Term Loan, 10/19/30(10) | 11,475 | 11,431,969 | |
$ 21,632,459 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Containers & Packaging — 1.1% | |||
Berlin Packaging, LLC, Term Loan, 9.189%, (SOFR + 3.75%), 3/11/28(11) | 2,901 | $ 2,839,458 | |
Kouti B.V., Term Loan, 7.458%, (3 mo. EURIBOR + 3.68%), 8/31/28 | EUR | 29,250 | 29,858,775 |
Pregis TopCo Corporation: | |||
Term Loan, 9.074%, (SOFR + 3.75%), 7/31/26 | 1,964 | 1,947,866 | |
Term Loan, 9.189%, (SOFR + 3.75%), 7/31/26 | 1,348 | 1,340,763 | |
Pretium Packaging, LLC, Term Loan - Second Lien, 9.995%, (SOFR + 4.60%), 10/2/28 | 6,598 | 5,031,184 | |
Pretium PKG Holdings, Inc., Term Loan - Second Lien, 12.20%, (SOFR + 6.75%), 10/1/29(11) | 6,675 | 2,962,031 | |
Proampac PG Borrower, LLC, Term Loan, 10.585%, (SOFR + 4.50%), 9/15/28 | 11,825 | 11,701,819 | |
Trident TPI Holdings, Inc., Term Loan, 9.652%, (SOFR + 4.00%), 9/15/28 | 5,662 | 5,600,726 | |
$ 61,282,622 | |||
Distributors — 0.0%(7) | |||
Phillips Feed Service, Inc., Term Loan, 12.427%, (SOFR + 7.00%), 11/13/24(4) | 471 | $ 376,498 | |
Winterfell Financing S.a.r.l., Term Loan, 8.765%, (3 mo. EURIBOR + 5.00%), 5/4/28 | EUR | 2,000 | 2,076,522 |
$ 2,453,020 | |||
Diversified Consumer Services — 0.8% | |||
Ascend Learning, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/11/28 | 11,292 | $ 10,540,720 | |
Belron Finance US, LLC, Term Loan, 8.057%, (SOFR + 2.43%), 4/13/28 | 7,629 | 7,637,958 | |
FrontDoor, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 6/17/28 | 855 | 852,908 | |
KUEHG Corp., Term Loan, 10.39%, (SOFR + 5.00%), 6/12/30 | 13,725 | 13,731,121 | |
Sotheby's, Term Loan, 10.156%, (SOFR + 4.50%), 1/15/27 | 10,792 | 10,481,854 | |
Spring Education Group, Inc., Term Loan, 9.914%, (SOFR + 4.50%), 10/4/30 | 3,725 | 3,689,303 | |
$ 46,933,864 | |||
Diversified Financial Services — 0.2% | |||
Concorde Midco, Ltd., Term Loan, 7.892%, (6 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 8,730 | $ 9,102,509 |
$ 9,102,509 | |||
Diversified Telecommunication Services — 0.8% | |||
CenturyLink, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 3/15/27 | 22,800 | $ 17,189,155 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Telecommunication Services (continued) | |||
GEE Holdings 2, LLC: | |||
Term Loan, 13.50%, (SOFR + 8.25%), 3/24/25 | 9,639 | $ 8,771,597 | |
Term Loan - Second Lien, 13.75%, (SOFR + 8.25%), 7.00% cash, 6.75% PIK, 3/23/26 | 7,100 | 4,260,076 | |
Level 3 Financing, Inc., Term Loan, 7.189%, (SOFR + 1.75%), 3/1/27 | 12,351 | 11,616,585 | |
Telenet Financing USD, LLC, Term Loan, 7.449%, (SOFR + 2.00%), 4/30/28 | 2,825 | 2,750,844 | |
Virgin Media Bristol, LLC, Term Loan, 7.949%, (SOFR + 2.50%), 1/31/28 | 2,563 | 2,494,345 | |
$ 47,082,602 | |||
Electrical Equipment — 0.0%(7) | |||
Brookfield WEC Holdings, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 8/1/25 | 1,521 | $ 1,520,586 | |
$ 1,520,586 | |||
Electronic Equipment, Instruments & Components — 1.0% | |||
Creation Technologies, Inc., Term Loan, 11.176%, (SOFR + 5.50%), 10/5/28 | 12,816 | $ 12,143,316 | |
II-VI Incorporated, Term Loan, 8.189%, (SOFR + 2.75%), 7/2/29 | 400 | 399,629 | |
Minimax Viking GmbH, Term Loan, 7.133%, (EURIBOR + 3.25%), 7/31/28(11) | EUR | 3,487 | 3,689,305 |
Mirion Technologies, Inc., Term Loan, 8.402%, (SOFR + 2.75%), 10/20/28 | 1,722 | 1,719,430 | |
Robertshaw US Holding Corp.: | |||
Term Loan, 13.49%, (SOFR + 8.00%), 8.49% cash, 5.00% PIK, 2/28/27 | 3,981 | 4,020,463 | |
Term Loan - Second Lien, 12.49%, (SOFR + 7.00%), 2/28/27 | 16,811 | 14,205,651 | |
TTM Technologies, Inc., Term Loan, 8.065%, (SOFR + 2.75%), 5/30/30 | 5,212 | 5,215,195 | |
Verifone Systems, Inc., Term Loan, 9.653%, (SOFR + 4.00%), 8/20/25 | 14,617 | 13,618,601 | |
$ 55,011,590 | |||
Energy Equipment & Services — 0.6% | |||
Ameriforge Group, Inc.: | |||
Term Loan, 16.735%, (SOFR + 13.00%), 12/29/23(4)(12) | 3,225 | $ 2,572,594 | |
Term Loan, 18.456%, (SOFR + 13.00%), 13.456 cash, 5.00% PIK, 12/29/23(4)(11) | 25,247 | 20,142,290 | |
GIP Pilot Acquisition Partners L.P., Term Loan, 8.388%, (SOFR + 3.00%), 10/4/30 | 4,875 | 4,875,000 | |
Lealand Finance Company B.V.: | |||
Letter of Credit, 3.638%, 6/28/24(12) | 9,039 | 6,734,330 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Energy Equipment & Services (continued) | |||
Lealand Finance Company B.V.: (continued) | |||
Term Loan, 12.439%, (SOFR + 7.00%), 9.439% cash, 3.00% PIK, 6/30/25 | 2,518 | $ 1,403,859 | |
$ 35,728,073 | |||
Engineering & Construction — 0.7% | |||
Aegion Corporation, Term Loan, 10.395%, (SOFR + 4.75%), 5/17/28 | 15,762 | $ 15,672,849 | |
American Residential Services, LLC, Term Loan, 9.152%, (SOFR + 3.50%), 10/15/27 | 497 | 496,463 | |
APi Group DE, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 10/1/26 | 10,603 | 10,619,166 | |
Centuri Group, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 8/27/28 | 3,256 | 3,253,840 | |
Northstar Group Services, Inc.: | |||
Term Loan, 10.939%, (SOFR + 5.50%), 11/12/26 | 10,818 | 10,818,422 | |
Term Loan, 10.949%, (SOFR + 5.50%), 11/12/26 | 1,963 | 1,957,594 | |
$ 42,818,334 | |||
Entertainment — 1.0% | |||
City Football Group Limited, Term Loan, 8.453%, (SOFR + 3.00%), 7/21/28 | 8,228 | $ 8,166,306 | |
Crown Finance US, Inc., Term Loan, 7.381%, (SOFR + 1.50%), 7/31/28 | 1,747 | 1,786,829 | |
Delta 2 (LUX) S.a.r.l., Term Loan, 7.574%, (SOFR + 2.25%), 1/15/30 | 2,500 | 2,493,750 | |
Live Nation Entertainment, Inc., Term Loan, 7.189%, (SOFR + 1.75%), 10/19/26 | 5,571 | 5,559,092 | |
Playtika Holding Corp., Term Loan, 8.189%, (SOFR + 2.75%), 3/13/28 | 20,527 | 19,947,078 | |
Renaissance Holding Corp.: | |||
Term Loan, 10.074%, (SOFR + 4.75%), 4/5/30 | 11,025 | 10,889,481 | |
Term Loan - Second Lien, 12.424%, (SOFR + 7.00%), 5/29/26 | 143 | 142,251 | |
UFC Holdings, LLC, Term Loan, 8.399%, (SOFR + 2.75%), 4/29/26 | 7,202 | 7,203,954 | |
Vue International Bidco PLC: | |||
Term Loan, 12.13%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 434 | 449,569 |
Term Loan, 12.63%, (6 mo. EURIBOR + 8.50%), 6.13% cash, 6.50% PIK, 12/31/27 | EUR | 3,031 | 1,431,038 |
$ 58,069,348 | |||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||
Iron Mountain, Inc., Term Loan, 7.189%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 3,634 | $ 3,630,883 | |
$ 3,630,883 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Financial Services — 1.0% | |||
Ditech Holding Corporation, Term Loan, 0.00%, 3/28/24(13) | 18,244 | $ 2,006,820 | |
GTCR W Merger Sub, LLC, Term Loan, 9/20/30(10) | 30,700 | 30,513,620 | |
NCR Atleos, LLC, Term Loan, 10.176%, (SOFR + 4.75%), 3/27/29 | 13,700 | 13,154,850 | |
Walker & Dunlop, Inc., Term Loan, 7.674%, (SOFR + 2.25%), 12/16/28 | 12,822 | 12,800,251 | |
$ 58,475,541 | |||
Food Products — 0.9% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 10.189%, (SOFR + 4.75%), 10/1/25 | 6,542 | $ 6,195,343 | |
Badger Buyer Corp., Term Loan, 8.939%, (SOFR + 3.50%), 9/30/24 | 4,775 | 4,088,785 | |
Del Monte Foods, Inc., Term Loan, 9.682%, (SOFR + 4.25%), 5/16/29 | 6,262 | 6,075,463 | |
Froneri International, Ltd.: | |||
Term Loan, 6.097%, (6 mo. EURIBOR + 2.13%), 1/29/27 | EUR | 1,500 | 1,544,637 |
Term Loan, 7.674%, (SOFR + 2.25%), 1/29/27 | 4,691 | 4,665,428 | |
Nomad Foods US, LLC, Term Loan, 8.469%, (SOFR + 3.00%), 11/13/29 | 7,953 | 7,960,987 | |
United Petfood Group B.V., Term Loan, 6.852%, (6 mo. EURIBOR + 2.75%), 4/23/28 | EUR | 8,400 | 8,680,658 |
Valeo F1 Company Limited (Ireland): | |||
Term Loan, 8.136%, (6 mo. EURIBOR + 4.00%), 9/29/28 | EUR | 8,550 | 8,145,311 |
Term Loan, 10.186%, (SONIA + 5.00%), 6/28/28 | GBP | 2,500 | 2,616,255 |
$ 49,972,867 | |||
Gas Utilities — 0.4% | |||
CQP Holdco, L.P., Term Loan, 8.99%, (SOFR + 3.50%), 6/5/28 | 22,130 | $ 22,136,475 | |
$ 22,136,475 | |||
Health Care Equipment & Supplies — 1.1% | |||
Artivion, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 6/1/27 | 6,643 | $ 6,446,107 | |
Bayou Intermediate II, LLC, Term Loan, 10.128%, (SOFR + 4.50%), 8/2/28 | 6,661 | 6,394,706 | |
Gloves Buyer, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 12/29/27 | 12,122 | 11,697,546 | |
ICU Medical, Inc., Term Loan, 8.04%, (SOFR + 2.50%), 1/8/29 | 7,363 | 7,348,304 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Equipment & Supplies (continued) | |||
Journey Personal Care Corp., Term Loan, 9.981%, (6 mo. USD LIBOR + 4.25%), 3/1/28 | 23,757 | $ 22,843,643 | |
Medline Borrower, L.P., Term Loan, 8.689%, (SOFR + 3.25%), 10/23/28 | 8,613 | 8,564,073 | |
$ 63,294,379 | |||
Health Care Providers & Services — 4.2% | |||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 9.402%, (SOFR + 3.75%), 9/7/28 | 13,681 | $ 13,646,802 | |
BW NHHC Holdco, Inc., Term Loan - Second Lien, 13.39%, (SOFR + 8.00%), 1/15/26 | 14,558 | 12,447,089 | |
Cano Health, LLC, Term Loan, 9.533%, (SOFR + 4.00%), 11/23/27(11) | 7,227 | 4,263,748 | |
CCRR Parent, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 3/6/28 | 4,709 | 4,485,234 | |
Cerba Healthcare S.A.S.: | |||
Term Loan, 7.583%, (1 mo. EURIBOR + 3.70%), 6/30/28 | EUR | 18,925 | 18,629,978 |
Term Loan, 7.883%, (1 mo. EURIBOR + 4.00%), 2/16/29 | EUR | 8,225 | 8,209,709 |
CHG Healthcare Services, Inc., Term Loan, 9.145%, (SOFR + 3.75%), 9/29/28 | 4,200 | 4,167,626 | |
Covis Finco S.a.r.l., Term Loan, 12.04%, (SOFR + 6.50%), 2/18/27 | 9,853 | 7,094,203 | |
Dedalus Finance GmbH, Term Loan, 7.712%, (6 mo. EURIBOR + 3.75%), 7/17/27 | EUR | 3,350 | 3,383,227 |
Elsan S.A.S., Term Loan, 7.39%, (6 mo. EURIBOR + 3.35%), 6/16/28 | EUR | 4,100 | 4,207,796 |
Ensemble RCM, LLC, Term Loan, 9.233%, (SOFR + 3.75%), 8/3/26 | 4,254 | 4,257,723 | |
Envision Healthcare Corporation: | |||
Term Loan, 0.00%, 3/31/27(13) | 5,436 | 6,468,771 | |
Term Loan - Second Lien, 0.00%, 3/31/27(13) | 38,369 | 6,714,637 | |
IVC Acquisition, Ltd., Term Loan, 7.687%, (6 mo. EURIBOR + 4.00%), 2/13/26 | EUR | 4,100 | 4,298,443 |
Medical Solutions Holdings, Inc.: | |||
Term Loan, 8.773%, (SOFR + 3.25%), 11/1/28 | 13,745 | 12,845,421 | |
Term Loan - Second Lien, 12.523%, (SOFR + 7.00%), 11/1/29 | 9,500 | 8,478,750 | |
Mehilainen Yhtiot Oy, Term Loan, 7.497%, (3 mo. EURIBOR + 3.53%), 8/8/25 | EUR | 6,025 | 6,372,064 |
Midwest Physician Administrative Services, LLC, Term Loan, 8.902%, (SOFR + 3.25%), 3/12/28 | 1,409 | 1,324,257 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 9.187%, (SOFR + 3.75%), 3/2/28(11) | 12,252 | 10,730,277 | |
Term Loan, 9.24%, (SOFR + 3.75%), 3/2/28 | 334 | 292,283 | |
Term Loan - Second Lien, 12.74%, (SOFR + 7.25%), 3/2/29 | 5,525 | 3,853,688 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Phoenix Guarantor, Inc.: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 3/5/26 | 16,235 | $ 16,095,060 | |
Term Loan, 8.939%, (SOFR + 3.50%), 3/5/26 | 5,361 | 5,315,194 | |
Radiology Partners, Inc., Term Loan, 10.179%, (SOFR + 4.25%), 7/9/25 | 13,101 | 9,817,760 | |
Ramsay Generale de Sante S.A., Term Loan, 6.952%, (3 mo. EURIBOR + 2.95%), 4/22/27 | EUR | 6,600 | 6,979,970 |
Select Medical Corporation, Term Loan, 8.324%, (SOFR + 3.00%), 3/6/27 | 45,035 | 44,971,401 | |
Sound Inpatient Physicians: | |||
Term Loan, 8.645%, (SOFR + 3.00%), 6/27/25 | 198 | 66,028 | |
Term Loan, 8.645%, (SOFR + 3.00%), 6/27/25 | 2,322 | 774,531 | |
Synlab Bondco PLC, Term Loan, 6.392%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 2,125 | 2,226,680 |
TTF Holdings, LLC, Term Loan, 9.439%, (SOFR + 4.00%), 3/31/28 | 5,083 | 5,088,947 | |
U.S. Anesthesia Partners, Inc., Term Loan, 9.679%, (SOFR + 4.25%), 10/1/28 | 5,018 | 4,376,587 | |
$ 241,883,884 | |||
Health Care Technology — 1.0% | |||
Certara, L.P., Term Loan, 9.184%, (SOFR + 3.50%), 8/15/26 | 1,808 | $ 1,810,635 | |
Imprivata, Inc.: | |||
Term Loan, 9.189%, (SOFR + 3.75%), 12/1/27 | 11,204 | 11,176,174 | |
Term Loan, 9.574%, (SOFR + 4.25%), 12/1/27 | 3,259 | 3,260,109 | |
MedAssets Software Intermediate Holdings, Inc.: | |||
Term Loan, 9.439%, (SOFR + 4.00%), 12/18/28 | 16,228 | 12,880,876 | |
Term Loan - Second Lien, 12.189%, (SOFR + 6.75%), 12/17/29 | 8,775 | 5,333,006 | |
Symplr Software, Inc., Term Loan, 9.983%, (SOFR + 4.50%), 12/22/27 | 12,927 | 11,367,734 | |
Verscend Holding Corp., Term Loan, 9.439%, (SOFR + 4.00%), 8/27/25 | 9,949 | 9,956,104 | |
$ 55,784,638 | |||
Hotels, Restaurants & Leisure — 3.9% | |||
1011778 B.C. Unlimited Liability Company, Term Loan, 7.574%, (SOFR + 2.25%), 9/20/30 | 32,566 | $ 32,378,688 | |
Carnival Corporation: | |||
Term Loan, 7.618%, (1 mo. EURIBOR + 3.75%), 6/30/25 | EUR | 8,790 | 9,314,571 |
Term Loan, 8.689%, (SOFR + 3.25%), 10/18/28 | 34,412 | 33,838,517 | |
ClubCorp Holdings, Inc., Term Loan, 8.19%, (1 mo. USD LIBOR + 2.75%), 9/18/26 | 19,976 | 19,584,953 | |
GVC Holdings (Gibraltar) Limited, Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 21,225 | 22,444,142 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Ontario Gaming GTA L.P., Term Loan, 9.64%, (SOFR + 4.25%), 8/1/30 | 14,925 | $ 14,931,656 | |
Oravel Stays Singapore Pte., Ltd., Term Loan, 13.908%, (SOFR + 8.25%), 6/23/26 | 5,352 | 4,736,354 | |
Playa Resorts Holding B.V., Term Loan, 9.585%, (SOFR + 4.25%), 1/5/29 | 25,396 | 25,348,164 | |
Scientific Games International, Inc., Term Loan, 8.435%, (SOFR + 3.00%), 4/14/29 | 7,406 | 7,407,576 | |
SeaWorld Parks & Entertainment, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 8/25/28 | 14,823 | 14,816,814 | |
Stars Group Holdings B.V. (The): | |||
Term Loan, 6.358%, (3 mo. EURIBOR + 2.50%), 7/21/26 | EUR | 11,225 | 11,889,896 |
Term Loan, 7.902%, (SOFR + 2.25%), 7/21/26 | 30,681 | 30,698,086 | |
$ 227,389,417 | |||
Household Durables — 1.1% | |||
ACProducts, Inc., Term Loan, 9.902%, (SOFR + 4.25%), 5/17/28 | 18,572 | $ 14,811,569 | |
Libbey Glass, Inc., Term Loan, 11.939%, (SOFR + 6.50%), 11/22/27 | 14,581 | 13,888,706 | |
Serta Simmons Bedding, LLC, Term Loan, 12.90%, (SOFR + 7.50%), 6/29/28 | 19,908 | 19,716,731 | |
Solis IV B.V., Term Loan, 8.891%, (SOFR + 3.50%), 2/26/29 | 13,718 | 12,980,501 | |
$ 61,397,507 | |||
Household Products — 0.5% | |||
Energizer Holdings, Inc., Term Loan, 7.703%, (SOFR + 2.25%), 12/22/27 | 6,034 | $ 6,030,729 | |
Kronos Acquisition Holdings, Inc.: | |||
Term Loan, 9.402%, (SOFR + 3.75%), 12/22/26 | 7,986 | 7,840,408 | |
Term Loan, 11.567%, (SOFR + 6.00%), 12/22/26 | 5,060 | 5,059,875 | |
Nobel Bidco B.V., Term Loan, 7.27%, (6 mo. EURIBOR + 3.50%), 9/1/28 | EUR | 7,950 | 7,757,637 |
$ 26,688,649 | |||
Independent Power and Renewable Electricity Producers — 0.1% | |||
Calpine Corporation: | |||
Term Loan, 7.439%, (SOFR + 2.00%), 4/5/26 | 2,301 | $ 2,302,122 | |
Term Loan, 7.939%, (SOFR + 2.50%), 12/16/27 | 4,411 | 4,412,408 | |
$ 6,714,530 | |||
Industrial Conglomerates — 0.4% | |||
Ammeraal Beltech Holding B.V., Term Loan, 8.972%, (3 mo. EURIBOR + 5.00%), 12/30/28 | EUR | 8,225 | $ 8,683,293 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Industrial Conglomerates (continued) | |||
Rain Carbon GmbH, Term Loan, 8.787%, (3 mo. EURIBOR + 5.00%), 10/31/28 | EUR | 15,625 | $ 16,450,153 |
$ 25,133,446 | |||
Insurance — 1.3% | |||
Alliant Holdings Intermediate, LLC: | |||
Term Loan, 8.835%, (SOFR + 3.50%), 11/5/27 | 3,759 | $ 3,751,580 | |
Term Loan, 8.939%, (1 mo. USD LIBOR + 3.50%), 11/5/27 | 13,165 | 13,139,057 | |
AmWINS Group, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 2/19/28 | 4,987 | 4,983,073 | |
AssuredPartners, Inc.: | |||
Term Loan, 8.824%, (SOFR + 3.50%), 2/12/27 | 5,294 | 5,254,006 | |
Term Loan, 8.939%, (SOFR + 3.50%), 2/12/27 | 9,810 | 9,741,455 | |
Financiere CEP S.A.S., Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 6/18/27 | EUR | 4,125 | 4,299,194 |
HUB International Limited, Term Loan, 9.662%, (SOFR + 4.25%), 6/20/30 | 11,372 | 11,382,003 | |
NFP Corp., Term Loan, 8.689%, (SOFR + 3.25%), 2/16/27 | 17,123 | 16,825,951 | |
USI, Inc., Term Loan, 9/27/30(10) | 4,500 | 4,484,061 | |
$ 73,860,380 | |||
Interactive Media & Services — 0.7% | |||
Adevinta ASA: | |||
Term Loan, 6.472%, (3 mo. EURIBOR + 2.50%), 6/26/28 | EUR | 5,518 | $ 5,841,755 |
Term Loan, 8.322%, (SOFR + 2.75%), 6/26/28 | 1,218 | 1,219,885 | |
Buzz Finco, LLC: | |||
Term Loan, 8.174%, (SOFR + 2.75%), 1/29/27 | 1,961 | 1,962,604 | |
Term Loan, 8.674%, (SOFR + 3.25%), 1/29/27 | 435 | 435,601 | |
Foundational Education Group, Inc., Term Loan, 9.895%, (SOFR + 4.25%), 8/31/28 | 5,136 | 4,802,131 | |
Getty Images, Inc.: | |||
Term Loan, 9.00%, (3 mo. EURIBOR + 5.00%), 2/19/26 | EUR | 2,224 | 2,348,783 |
Term Loan, 9.99%, (SOFR + 4.50%), 2/19/26 | 16,459 | 16,515,205 | |
Match Group, Inc., Term Loan, 7.298%, (SOFR + 1.75%), 2/13/27 | 6,450 | 6,431,863 | |
$ 39,557,827 | |||
IT Services — 4.5% | |||
Asurion, LLC: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 12/23/26 | 543 | $ 526,048 | |
Term Loan, 8.689%, (SOFR + 3.25%), 7/31/27 | 8,930 | 8,539,127 | |
Term Loan, 9.424%, (SOFR + 4.00%), 8/19/28 | 9,059 | 8,663,771 | |
Term Loan, 9.674%, (SOFR + 4.25%), 8/19/28 | 7,100 | 6,794,716 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
IT Services (continued) | |||
Asurion, LLC: (continued) | |||
Term Loan - Second Lien, 10.689%, (SOFR + 5.25%), 1/31/28 | 15,790 | $ 13,783,359 | |
Term Loan - Second Lien, 10.689%, (SOFR + 5.25%), 1/20/29 | 2,375 | 2,040,460 | |
Cyxtera DC Holdings, Inc.: | |||
DIP Loan, 13.951%, (SOFR + 8.50%), 12/7/23 | 10,226 | 10,296,718 | |
Term Loan, 0.00%, 5/1/24(13) | 27,147 | 15,881,174 | |
Term Loan, 0.00%, 5/1/24(13) | 9,711 | 5,705,269 | |
Endure Digital, Inc., Term Loan, 9.422%, (SOFR + 3.50%), 2/10/28 | 29,774 | 27,712,931 | |
Gainwell Acquisition Corp., Term Loan, 9.49%, (SOFR + 4.00%), 10/1/27 | 37,722 | 36,150,006 | |
Go Daddy Operating Company, LLC, Term Loan, 7.824%, (SOFR + 2.50%), 11/9/29 | 44,728 | 44,818,898 | |
Informatica, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 10/27/28 | 31,594 | 31,569,200 | |
NAB Holdings, LLC, Term Loan, 8.54%, (SOFR + 3.00%), 11/23/28 | 14,352 | 14,281,708 | |
Rackspace Technology Global, Inc., Term Loan, 8.206%, (SOFR + 2.75%), 2/15/28 | 16,263 | 7,330,724 | |
Sedgwick Claims Management Services, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 2/24/28 | 12,918 | 12,889,655 | |
team.blue Finco S.a.r.l., Term Loan, 7.105%, (1 mo. EURIBOR + 3.20%), 3/30/28 | EUR | 11,150 | 11,351,719 |
WEX, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 3/31/28 | 3,900 | 3,902,707 | |
$ 262,238,190 | |||
Leisure Products — 0.5% | |||
Amer Sports Oyj, Term Loan, 7.948%, (3 mo. EURIBOR + 4.00%), 3/30/26 | EUR | 11,925 | $ 12,531,098 |
Fender Musical Instruments Corporation, Term Loan, 9.439%, (SOFR + 4.00%), 12/1/28 | 2,262 | 2,186,802 | |
Hayward Industries, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 5/30/28 | 9,055 | 8,918,980 | |
Recess Holdings, Inc., Term Loan, 9.383%, (SOFR + 4.00%), 3/29/27 | 6,200 | 6,188,375 | |
SRAM, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 5/18/28 | 1,891 | 1,886,635 | |
$ 31,711,890 | |||
Life Sciences Tools & Services — 2.4% | |||
Avantor Funding, Inc., Term Loan, 6.368%, (1 mo. EURIBOR + 2.50%), 6/12/28 | EUR | 19,257 | $ 20,283,883 |
Cambrex Corporation, Term Loan, 8.924%, (SOFR + 3.50%), 12/4/26 | 324 | 321,652 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Life Sciences Tools & Services (continued) | |||
Catalent Pharma Solutions, Inc., Term Loan, 7.453%, (SOFR + 2.00%), 2/22/28 | 1,024 | $ 998,156 | |
Curia Global, Inc., Term Loan, 9.233%, (SOFR + 3.75%), 8/30/26(11) | 17,267 | 13,904,367 | |
ICON Luxembourg S.a.r.l., Term Loan, 7.902%, (SOFR + 2.25%), 7/3/28 | 42,949 | 43,014,785 | |
IQVIA, Inc., Term Loan, 7.402%, (SOFR + 1.75%), 1/17/25 | 12,472 | 12,515,174 | |
LGC Group Holdings, Ltd., Term Loan, 7.118%, (1 mo. EURIBOR + 3.25%), 4/21/27 | EUR | 5,775 | 5,989,412 |
Loire Finco Luxembourg S.a.r.l., Term Loan, 8.924%, (SOFR + 3.50%), 4/21/27 | �� 1,122 | 1,095,741 | |
PRA Health Sciences, Inc., Term Loan, 7.902%, (SOFR + 2.25%), 7/3/28 | 10,701 | 10,717,311 | |
Sotera Health Holdings, LLC, Term Loan, 8.395%, (SOFR + 2.75%), 12/11/26 | 17,828 | 17,756,828 | |
Star Parent, Inc., Term Loan, 9.386%, (3 mo. USD LIBOR + 4.00%), 9/27/30 | 14,400 | 13,780,498 | |
$ 140,377,807 | |||
Machinery — 4.1% | |||
AI Aqua Merger Sub, Inc., Term Loan, 9.082%, (SOFR + 3.75%), 7/31/28 | 21,985 | $ 21,581,519 | |
Albion Financing 3 S.a.r.l.: | |||
Term Loan, 10.883%, (SOFR + 5.50%), 8/17/26 | 3,507 | 3,505,183 | |
Term Loan, 10.924%, (SOFR + 5.25%), 8/17/26 | 3,462 | 3,461,824 | |
Ali Group North America Corporation, Term Loan, 7.439%, (SOFR + 2.00%), 7/30/29 | 15,103 | 15,106,586 | |
American Trailer World Corp., Term Loan, 9.174%, (SOFR + 3.75%), 3/3/28 | 13,302 | 12,515,345 | |
Apex Tool Group, LLC, Term Loan, 10.689%, (SOFR + 5.25%), 2/8/29 | 20,424 | 17,424,445 | |
Barnes Group, Inc., Term Loan, 8.424%, (SOFR + 3.00%), 9/3/30 | 17,375 | 17,260,985 | |
Clark Equipment Company, Term Loan, 7.99%, (SOFR + 2.50%), 4/20/29 | 10,061 | 10,083,932 | |
Conair Holdings, LLC, Term Loan, 9.189%, (SOFR + 3.75%), 5/17/28 | 24,206 | 22,496,451 | |
CPM Holdings, Inc., Term Loan, 9.827%, (SOFR + 4.50%), 9/28/28 | 4,000 | 4,003,752 | |
Delachaux Group S.A., Term Loan, 9.88%, (SOFR + 4.50%), 4/16/26 | 3,570 | 3,570,000 | |
Delachaux Group SA, Term Loan, 4/16/29(10) | EUR | 6,600 | 6,893,054 |
EMRLD Borrower, L.P., Term Loan, 8.38%, (SOFR + 3.00%), 5/31/30 | 11,275 | 11,267,953 | |
Engineered Machinery Holdings, Inc.: | |||
Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 10,658 | 11,128,697 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
Engineered Machinery Holdings, Inc.: (continued) | |||
Term Loan, 9.152%, (SOFR + 3.50%), 5/19/28 | 9,975 | $ 9,888,897 | |
Term Loan - Second Lien, 11.652%, (SOFR + 6.00%), 5/21/29 | 2,000 | 1,960,000 | |
Icebox Holdco III, Inc., Term Loan, 9.402%, (SOFR + 3.75%), 12/22/28 | 4,148 | 4,068,701 | |
INNIO Group Holding GmbH, Term Loan, 6.871%, (1 mo. EURIBOR + 3.00%), 10/31/25 | EUR | 6,125 | 6,444,409 |
Madison IAQ, LLC, Term Loan, 8.703%, (SOFR + 3.25%), 6/21/28 | 11,581 | 11,183,982 | |
Pro Mach Group, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 8/31/28 | 2,798 | 2,794,266 | |
Roper Industrial Products Investment Company, LLC: | |||
Term Loan, 8.972%, (3 mo. EURIBOR + 5.25%), 11/22/29 | EUR | 995 | 1,050,836 |
Term Loan, 9.89%, (SOFR + 4.50%), 11/22/29 | 6,431 | 6,425,376 | |
SPX Flow, Inc., Term Loan, 9.924%, (SOFR + 4.50%), 4/5/29 | 12,331 | 12,240,525 | |
TK Elevator Topco GmbH, Term Loan, 7.597%, (6 mo. EURIBOR + 3.63%), 7/30/27 | EUR | 9,725 | 10,127,638 |
Zephyr German BidCo GmbH, Term Loan, 7.833%, (3 mo. EURIBOR + 3.85%), 3/10/28 | EUR | 11,775 | 11,766,951 |
$ 238,251,307 | |||
Media — 1.3% | |||
CSC Holdings, LLC: | |||
Term Loan, 7.699%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | 15,119 | $ 14,705,074 | |
Term Loan, 7.699%, (1 mo. USD LIBOR + 2.25%), 1/15/26 | 4 | 3,944 | |
Gray Television, Inc., Term Loan, 8.429%, (SOFR + 3.00%), 12/1/28 | 1,032 | 992,481 | |
Hubbard Radio, LLC, Term Loan, 9.69%, (1 mo. USD LIBOR + 4.25%), 3/28/25 | 5,892 | 4,988,913 | |
iHeartCommunications, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 5/1/26 | 2,365 | 2,025,846 | |
Mission Broadcasting, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 6/2/28 | 3,617 | 3,622,967 | |
Nexstar Broadcasting, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 9/18/26 | 3,623 | 3,625,360 | |
Recorded Books, Inc., Term Loan, 9.324%, (SOFR + 4.00%), 8/29/25 | 5,674 | 5,672,558 | |
Sinclair Television Group, Inc.: | |||
Term Loan, 7.939%, (SOFR + 2.50%), 9/30/26 | 6,168 | 5,207,773 | |
Term Loan, 8.439%, (SOFR + 3.00%), 4/1/28 | 22,672 | 16,370,540 | |
Univision Communications, Inc., Term Loan, 8.689%, (SOFR + 3.25%), 3/15/26 | 18,188 | 18,081,151 | |
$ 75,296,607 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Metals/Mining — 1.2% | |||
Arsenal AIC Parent, LLC, Term Loan, 9.879%, (SOFR + 4.50%), 8/18/30 | 17,850 | $ 17,838,844 | |
Dynacast International, LLC: | |||
Term Loan, 10.017%, (SOFR + 4.50%), 7/22/25 | 15,181 | 14,232,560 | |
Term Loan, 14.517%, (SOFR + 9.00%), 10/22/25 | 3,034 | 2,290,521 | |
PMHC II, Inc., Term Loan, 9.807%, (SOFR + 4.25%), 4/23/29 | 16,314 | 14,882,901 | |
WireCo WorldGroup, Inc., Term Loan, 9.699%, (SOFR + 4.25%), 11/13/28 | 5,923 | 5,900,550 | |
Zekelman Industries, Inc., Term Loan, 7.449%, (SOFR + 2.00%), 1/24/27 | 15,337 | 15,324,169 | |
$ 70,469,545 | |||
Oil, Gas & Consumable Fuels — 1.1% | |||
GIP II Blue Holding, L.P., Term Loan, 9.939%, (SOFR + 4.50%), 9/29/28 | 13,586 | $ 13,621,775 | |
ITT Holdings, LLC, Term Loan, 10/5/30(10) | 8,575 | 8,459,769 | |
Matador Bidco S.a.r.l., Term Loan, 9.924%, (SOFR + 4.50%), 10/15/26 | 29,032 | 29,099,437 | |
Oxbow Carbon, LLC, Term Loan, 9.457%, (SOFR + 4.00%), 5/10/30(11) | 5,661 | 5,657,274 | |
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 13.439%, (SOFR + 8.00%), 8/27/26 | 5,729 | 5,725,574 | |
$ 62,563,829 | |||
Pharmaceuticals — 1.8% | |||
Aenova Holding GmbH, Term Loan, 8.487%, (3 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 925 | $ 974,664 |
AI Sirona (Luxembourg) Acquisition S.a.r.l., Term Loan, 8.868%, (1 mo. EURIBOR + 5.00%), 9/30/28 | EUR | 13,000 | 13,764,932 |
Bausch Health Companies, Inc., Term Loan, 10.689%, (SOFR + 5.25%), 2/1/27 | 16,920 | 13,276,381 | |
Ceva Sante Animale: | |||
Term Loan, 11/1/30(10) | EUR | 10,300 | 10,854,600 |
Term Loan, 11/1/30(10) | 4,175 | 4,180,219 | |
Elanco Animal Health Incorporated, Term Loan, 7.165%, (SOFR + 1.75%), 8/1/27 | 4,882 | 4,775,261 | |
Jazz Financing Lux S.a.r.l., Term Loan, 8.939%, (SOFR + 3.50%), 5/5/28 | 6,996 | 7,003,664 | |
Mallinckrodt International Finance S.A.: | |||
DIP Loan, 13.439%, (SOFR + 8.00%), 8/28/24 | 1,458 | 1,517,117 | |
DIP Loan, 13.451%, (SOFR + 8.00%), 8/28/24 | 2,755 | 2,875,334 | |
Term Loan, 12.703%, (SOFR + 7.25%), 9/30/27 | 31,218 | 23,774,810 | |
Term Loan, 12.953%, (SOFR + 7.50%), 9/30/27 | 9,889 | 7,559,108 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
PharmaZell GmbH, Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 1,800 | $ 1,838,873 |
Recipharm AB, Term Loan, 6.737%, (3 mo. EURIBOR + 2.95%), 2/17/28 | EUR | 13,725 | 13,881,886 |
$ 106,276,849 | |||
Professional Services — 2.5% | |||
APFS Staffing Holdings, Inc., Term Loan, 9.324%, (SOFR + 4.00%), 12/29/28 | 3,669 | $ 3,609,502 | |
Apleona Holding GmbH, Term Loan, 6.898%, (3 mo. EURIBOR + 2.95%), 4/28/28 | EUR | 7,525 | 7,773,102 |
ASGN Incorporated, Term Loan, 7.574%, (SOFR + 2.25%), 8/30/30 | 3,850 | 3,868,649 | |
CoreLogic, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 6/2/28 | 14,099 | 12,865,523 | |
Corporation Service Company, Term Loan, 8.674%, (SOFR + 3.25%), 11/2/29 | 4,389 | 4,394,584 | |
Deerfield Dakota Holding, LLC, Term Loan, 9.14%, (SOFR + 3.75%), 4/9/27 | 9,909 | 9,589,141 | |
EAB Global, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 8/16/28 | 14,394 | 14,172,323 | |
Employbridge Holding Company, Term Loan, 10.407%, (SOFR + 4.75%), 7/19/28 | 20,600 | 17,966,724 | |
First Advantage Holdings, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 1/31/27 | 5,857 | 5,865,952 | |
Genuine Financial Holdings, LLC, Term Loan, 9.40%, (SOFR + 4.00%), 9/27/30 | 4,100 | 4,062,846 | |
Neptune Bidco US, Inc., Term Loan, 10.507%, (SOFR + 5.00%), 4/11/29 | 8,010 | 7,047,331 | |
Rockwood Service Corporation, Term Loan, 9.439%, (SOFR + 4.00%), 1/23/27 | 9,403 | 9,423,472 | |
Trans Union, LLC: | |||
Term Loan, 7.174%, (SOFR + 1.75%), 11/16/26 | 2,471 | 2,469,157 | |
Term Loan, 7.689%, (SOFR + 2.25%), 12/1/28 | 32,301 | 32,293,109 | |
Vaco Holdings, LLC, Term Loan, 10.393%, (SOFR + 5.00%), 1/21/29 | 9,136 | 8,667,313 | |
$ 144,068,728 | |||
Real Estate Management & Development — 0.8% | |||
Cushman & Wakefield U.S. Borrower, LLC: | |||
Term Loan, 8.189%, (SOFR + 2.75%), 8/21/25 | 734 | $ 733,059 | |
Term Loan, 8.674%, (SOFR + 3.25%), 1/31/30 | 6,661 | 6,377,944 | |
Term Loan, 9.324%, (SOFR + 4.00%), 1/31/30 | 6,376 | 6,088,794 | |
Greystar Real Estate Partners, LLC, Term Loan, 9.147%, (SOFR + 3.75%), 8/21/30 | 6,300 | 6,300,000 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Real Estate Management & Development (continued) | |||
Homeserve USA Holding Corp., Term Loan, 8.416%, (SOFR + 3.00%), 10/21/30 | 9,500 | $ 9,476,250 | |
RE/MAX International, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 7/21/28 | 16,251 | 15,686,217 | |
$ 44,662,264 | |||
Road & Rail — 2.2% | |||
Avis Budget Car Rental, LLC: | |||
Term Loan, 7.189%, (SOFR + 1.75%), 8/6/27 | 30,242 | $ 30,122,459 | |
Term Loan, 8.924%, (SOFR + 3.50%), 3/16/29 | 4,104 | 4,112,375 | |
Grab Holdings, Inc., Term Loan, 9.939%, (SOFR + 4.50%), 1/29/26 | 15,163 | 15,224,180 | |
Hertz Corporation (The): | |||
Term Loan, 8.691%, (SOFR + 3.25%), 6/30/28 | 17,106 | 16,991,353 | |
Term Loan, 8.691%, (SOFR + 3.25%), 6/30/28 | 3,298 | 3,275,925 | |
Uber Technologies, Inc., Term Loan, 8.159%, (SOFR + 2.75%), 3/3/30 | 58,172 | 58,215,364 | |
$ 127,941,656 | |||
Semiconductors & Semiconductor Equipment — 0.8% | |||
Altar Bidco, Inc.: | |||
Term Loan, 8.142%, (SOFR + 3.10%), 2/1/29(11) | 10,662 | $ 10,581,092 | |
Term Loan - Second Lien, 10.493%, (SOFR + 5.60%), 2/1/30 | 6,650 | 6,467,125 | |
Bright Bidco B.V., Term Loan, 14.378%, (SOFR + 9.00%), 6.378% cash, 8.00% PIK, 10/31/27 | 3,671 | 1,436,387 | |
Entegris, Inc., Term Loan, 7.89%, (SOFR + 2.50%), 7/6/29 | 1,261 | 1,263,364 | |
MaxLinear, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 6/23/28 | 2,955 | 2,911,027 | |
MKS Instruments, Inc., Term Loan, 7.819%, (SOFR + 2.50%), 8/17/29 | 17,769 | 17,662,384 | |
Synaptics Incorporated, Term Loan, 7.914%, (SOFR + 2.25%), 12/2/28 | 2,756 | 2,745,164 | |
Ultra Clean Holdings, Inc., Term Loan, 9.191%, (SOFR + 3.75%), 8/27/25 | 1,915 | 1,919,671 | |
$ 44,986,214 | |||
Software — 11.2% | |||
Applied Systems, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 9/18/26 | 43,660 | $ 43,808,392 | |
Aptean, Inc.: | |||
Term Loan, 9.674%, (SOFR + 4.25%), 4/23/26 | 10,206 | 10,197,728 | |
Term Loan - Second Lien, 12.424%, (SOFR + 7.00%), 4/23/27 | 6,550 | 6,116,062 | |
Astra Acquisition Corp.: | |||
Term Loan, 10.902%, (SOFR + 5.25%), 10/25/28 | 5,017 | 3,441,044 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Astra Acquisition Corp.: (continued) | |||
Term Loan - Second Lien, 14.527%, (SOFR + 8.88%), 10/25/29 | 20,170 | $ 10,589,329 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 1,911 | 2,019,684 |
Term Loan, 9.189%, (SOFR + 3.75%), 10/2/25 | 678 | 678,486 | |
Term Loan - Second Lien, 10.939%, (SOFR + 5.50%), 2/27/26 | 3,191 | 3,178,557 | |
Cegid Group SAS, Term Loan, 7/10/28(10) | EUR | 6,150 | 6,468,000 |
Central Parent, Inc., Term Loan, 9.406%, (SOFR + 4.00%), 7/6/29 | 19,825 | 19,742,953 | |
CentralSquare Technologies, LLC, Term Loan, 9.29%, (SOFR + 3.75%), 8/29/25 | 18,359 | 17,370,091 | |
Cloud Software Group, Inc.: | |||
Term Loan, 9.99%, (SOFR + 4.50%), 9/29/28 | 9,480 | 9,006,300 | |
Term Loan, 9.99%, (SOFR + 4.50%), 3/30/29 | 4,489 | 4,273,824 | |
Cloudera, Inc.: | |||
Term Loan, 9.174%, (SOFR + 3.75%), 10/8/28 | 17,558 | 16,935,979 | |
Term Loan - Second Lien, 11.424%, (SOFR + 6.00%), 10/8/29 | 2,950 | 2,660,531 | |
Constant Contact, Inc., Term Loan, 9.687%, (SOFR + 4.00%), 2/10/28 | 5,036 | 4,682,310 | |
Cornerstone OnDemand, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 10/16/28 | 15,465 | 14,638,108 | |
Delta TopCo, Inc., Term Loan, 9.069%, (SOFR + 3.75%), 12/1/27 | 10,916 | 10,762,710 | |
E2open, LLC, Term Loan, 8.939%, (SOFR + 3.50%), 2/4/28 | 16,175 | 15,982,547 | |
ECI Macola Max Holding, LLC, Term Loan, 9.402%, (SOFR + 3.75%), 11/9/27 | 14,207 | 14,155,479 | |
Epicor Software Corporation: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 7/30/27 | 34,598 | 34,470,475 | |
Term Loan, 9.074%, (SOFR + 3.75%), 7/30/27 | 8,650 | 8,674,869 | |
Fiserv Investment Solutions, Inc., Term Loan, 9.383%, (SOFR + 4.00%), 2/18/27 | 12,441 | 11,690,527 | |
Gen Digital, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 9/12/29 | 1,473 | 1,462,022 | |
GoTo Group, Inc., Term Loan, 10.283%, (SOFR + 4.75%), 8/31/27 | 24,160 | 15,295,988 | |
IGT Holding IV AB: | |||
Term Loan, 7.122%, (3 mo. EURIBOR + 3.15%), 3/31/28 | EUR | 6,205 | 6,406,403 |
Term Loan, 8.962%, (SOFR + 3.40%), 3/31/28 | 4,015 | 3,997,521 | |
iSolved, Inc., Term Loan, 9.484%, (SOFR + 4.00%), 10/14/30 | 5,175 | 5,184,703 | |
Ivanti Software, Inc., Term Loan, 9.907%, (SOFR + 4.25%), 12/1/27 | 3,769 | 3,359,901 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Magenta Buyer, LLC: | |||
Term Loan, 10.645%, (SOFR + 5.00%), 7/27/28 | 14,734 | $ 10,313,763 | |
Term Loan - Second Lien, 13.895%, (SOFR + 8.25%), 7/27/29 | 7,100 | 3,074,300 | |
Marcel LUX IV S.a.r.l.: | |||
Term Loan, 7.455%, (3 mo. EURIBOR + 3.50%), 3/16/26 | EUR | 8,650 | 9,146,847 |
Term Loan, 8.689%, (SOFR + 3.25%), 3/15/26 | 15,741 | 15,740,846 | |
Term Loan, 9.436%, (SOFR + 4.00%), 12/31/27 | 3,076 | 3,075,586 | |
Maverick Bidco, Inc., Term Loan, 9.283%, (SOFR + 3.75%), 5/18/28 | 10,958 | 10,727,767 | |
McAfee, LLC, Term Loan, 9.165%, (SOFR + 3.75%), 3/1/29 | 19,753 | 18,917,874 | |
Mosel Bidco SE: | |||
Term Loan, 8.691%, (3 mo. EURIBOR + 4.75%), 9/16/30 | EUR | 1,825 | 1,918,987 |
Term Loan, 10.164%, (SOFR + 4.75%), 9/16/30 | 2,575 | 2,571,781 | |
N-Able International Holdings II, LLC, Term Loan, 8.434%, (SOFR + 2.75%), 7/19/28 | 1,264 | 1,262,453 | |
Open Text Corporation, Term Loan, 8.174%, (SOFR + 2.75%), 1/31/30 | 24,532 | 24,558,657 | |
Polaris Newco, LLC: | |||
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 8,477 | 8,459,375 |
Term Loan, 9.439%, (SOFR + 4.00%), 6/2/28 | 2,942 | 2,784,596 | |
Proofpoint, Inc., Term Loan, 8.689%, (SOFR + 3.25%), 8/31/28 | 10,903 | 10,736,428 | |
Quest Software US Holdings, Inc., Term Loan, 9.783%, (SOFR + 4.25%), 2/1/29 | 17,582 | 13,996,447 | |
RealPage, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 4/24/28 | 10,718 | 10,483,087 | |
Red Planet Borrower, LLC, Term Loan, 9.174%, (SOFR + 3.75%), 10/2/28 | 15,190 | 14,224,912 | |
Redstone Holdco 2, L.P., Term Loan, 10.189%, (SOFR + 4.75%), 4/27/28 | 11,692 | 9,397,300 | |
Sabre GLBL, Inc.: | |||
Term Loan, 8.939%, (SOFR + 3.50%), 12/17/27 | 5,850 | 5,009,009 | |
Term Loan, 8.939%, (SOFR + 3.50%), 12/17/27 | 3,744 | 3,205,508 | |
Term Loan, 9.674%, (SOFR + 4.25%), 6/30/28 | 3,513 | 3,009,183 | |
Term Loan, 10.424%, (SOFR + 5.00%), 6/30/28 | 1,000 | 858,333 | |
Skillsoft Corporation, Term Loan, 10.699%, (SOFR + 5.25%), 7/14/28 | 10,339 | 9,489,232 | |
SolarWinds Holdings, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 2/5/27 | 17,189 | 17,204,748 | |
Sophia, L.P., Term Loan, 8.924%, (SOFR + 3.50%), 10/7/27 | 23,191 | 22,918,428 | |
Turing Midco, LLC, Term Loan, 7.939%, (SOFR + 2.50%), 3/24/28 | 466 | 465,408 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Ultimate Software Group, Inc. (The), Term Loan, 8.764%, (SOFR + 3.25%), 5/4/26 | 45,569 | $ 45,389,490 | |
Veritas US, Inc., Term Loan, 10.439%, (SOFR + 5.11%), 9/1/25 | 14,896 | 12,647,834 | |
Vision Solutions, Inc.: | |||
Term Loan, 9.64%, (SOFR + 4.00%), 4/24/28 | 33,319 | 31,840,455 | |
Term Loan - Second Lien, 12.791%, (SOFR + 7.25%), 4/23/29 | 1,500 | 1,332,188 | |
VS Buyer, LLC, Term Loan, 8.674%, (SOFR + 3.25%), 2/28/27 | 11,035 | 10,966,337 | |
$ 642,977,682 | |||
Specialty Retail — 2.0% | |||
Belron Luxembourg S.a.r.l., Term Loan, 6.147%, (3 mo. EURIBOR + 2.43%), 4/13/28 | EUR | 3,575 | $ 3,781,358 |
Boels Topholding B.V., Term Loan, 7.049%, (EURIBOR + 3.25%), 2/6/27(11) | EUR | 6,681 | 7,070,675 |
Etraveli Holding AB, Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 8/2/24 | EUR | 7,844 | 8,289,399 |
Great Outdoors Group, LLC, Term Loan, 9.402%, (SOFR + 3.75%), 3/6/28 | 27,320 | 27,158,016 | |
Harbor Freight Tools USA, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 10/19/27 | 17,787 | 17,588,354 | |
Hoya Midco, LLC, Term Loan, 8.633%, (SOFR + 3.25%), 2/3/29 | 2,640 | 2,640,737 | |
Les Schwab Tire Centers, Term Loan, 8.692%, (SOFR + 3.25%), 11/2/27 | 13,866 | 13,836,792 | |
LIDS Holdings, Inc., Term Loan, 11.06%, (SOFR + 5.50%), 12/14/26 | 5,020 | 4,856,396 | |
Mattress Firm, Inc., Term Loan, 9.95%, (6 mo. USD LIBOR + 4.25%), 9/25/28 | 15,867 | 15,703,325 | |
PetSmart, Inc., Term Loan, 9.174%, (SOFR + 3.75%), 2/11/28 | 12,226 | 12,104,978 | |
$ 113,030,030 | |||
Trading Companies & Distributors — 2.8% | |||
American Builders & Contractors Supply Co., Inc., Term Loan, 7.424%, (SOFR + 2.00%), 1/15/27 | 13,482 | $ 13,476,022 | |
Avolon TLB Borrower 1 (US), LLC: | |||
Term Loan, 7.689%, (SOFR + 2.25%), 12/1/27 | 14,812 | 14,831,679 | |
Term Loan, 7.839%, (SOFR + 2.50%), 6/22/28 | 26,017 | 26,049,069 | |
DXP Enterprises, Inc., Term Loan, 10.291%, (SOFR + 4.75%), 10/11/30 | 7,225 | 7,188,875 | |
Electro Rent Corporation, Term Loan, 11.002%, (SOFR + 5.50%), 11/1/24 | 15,594 | 14,657,896 | |
Park River Holdings, Inc., Term Loan, 8.907%, (SOFR + 3.25%), 12/28/27 | 6,056 | 5,739,875 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Trading Companies & Distributors (continued) | |||
Patagonia Bidco Limited, Term Loan, 10.181%, (SONIA + 5.25%), 11/1/28 | GBP | 20,400 | $ 20,781,449 |
PEARLS (Netherlands) Bidco B.V., Term Loan, 7.448%, (3 mo. EURIBOR + 3.50%), 2/26/29 | EUR | 6,000 | 6,199,143 |
Spin Holdco, Inc., Term Loan, 9.664%, (SOFR + 4.00%), 3/4/28 | 38,506 | 33,100,161 | |
SRS Distribution, Inc.: | |||
Term Loan, 8.825%, (SOFR + 3.50%), 6/2/28 | 4,986 | 4,885,217 | |
Term Loan, 8.939%, (SOFR + 3.50%), 6/2/28 | 4,256 | 4,167,106 | |
Windsor Holdings III, LLC, Term Loan, 9.815%, (SOFR + 4.50%), 8/1/30 | 10,600 | 10,580,602 | |
$ 161,657,094 | |||
Wireless Telecommunication Services — 0.4% | |||
CCI Buyer, Inc., Term Loan, 9.39%, (SOFR + 4.00%), 12/17/27 | 8,517 | $ 8,351,070 | |
Digicel International Finance Limited, Term Loan, 8.902%, (3 mo. USD LIBOR + 3.25%), 5/28/24 | 13,909 | 12,807,977 | |
$ 21,159,047 | |||
Total Senior Floating-Rate Loans (identified cost $4,984,582,462) | $4,692,860,551 |
Short-Term Investments — 2.5% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(14) | 143,913,942 | $ 143,913,942 | |
Total Short-Term Investments (identified cost $143,913,942) | $ 143,913,942 | ||
Total Investments — 98.8% (identified cost $6,124,721,829) | $5,693,053,512 | ||
Less Unfunded Loan Commitments — (0.2)% | $ (9,340,092) | ||
Net Investments — 98.6% (identified cost $6,115,381,737) | $5,683,713,420 | ||
Other Assets, Less Liabilities — 1.4% | $ 78,060,673 | ||
Net Assets — 100.0% | $5,761,774,093 |
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 October 31, 2023, the aggregate value of these securities is $775,015,279 or 13.5% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(3) | Affiliated company (see Note 7). |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(5) | Non-income producing security. |
(6) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(7) | Amount is less than 0.05%. |
(8) | When-issued security. |
(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 Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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 October 31, 2023, at which time the interest rate will be determined. |
(11) | The stated interest rate represents the weighted average interest rate at October 31, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either 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 October 31, 2023, the total value of unfunded loan commitments is $6,974,244. See Note 1F for description. |
(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) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 287,023,615 | EUR | 270,766,698 | Standard Chartered Bank | 11/2/23 | $ 525,294 | $ — |
EUR | 14,000,000 | USD | 15,040,448 | Citibank, N.A. | 11/30/23 | — | (210,457) |
EUR | 18,000,000 | USD | 19,047,411 | Standard Chartered Bank | 11/30/23 | 19,720 | — |
GBP | 3,000,000 | USD | 3,636,540 | Bank of America, N.A. | 11/30/23 | 10,400 | — |
GBP | 2,500,000 | USD | 3,120,889 | Standard Chartered Bank | 11/30/23 | — | (81,773) |
USD | 110,019,993 | EUR | 100,710,607 | Bank of America, N.A. | 11/30/23 | 3,338,752 | — |
USD | 59,582,046 | EUR | 54,562,394 | Bank of America, N.A. | 11/30/23 | 1,784,918 | — |
USD | 68,691,808 | EUR | 62,922,760 | State Street Bank and Trust Company | 11/30/23 | 2,038,668 | — |
USD | 2,567,506 | EUR | 2,352,067 | The Toronto-Dominion Bank | 11/30/23 | 75,997 | — |
USD | 761,273 | GBP | 613,244 | Standard Chartered Bank | 11/30/23 | 15,785 | — |
USD | 34,684,407 | GBP | 27,484,305 | State Street Bank and Trust Company | 11/30/23 | 1,273,207 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 286,561,635 | EUR | 270,766,698 | Standard Chartered Bank | 12/4/23 | $ — | $ (303,574) |
EUR | 12,000,000 | USD | 12,742,056 | Standard Chartered Bank | 12/29/23 | — | (9,769) |
GBP | 3,000,000 | USD | 3,658,724 | State Street Bank and Trust Company | 12/29/23 | — | (10,604) |
USD | 5,724,145 | EUR | 5,423,311 | Australia and New Zealand Banking Group Limited | 12/29/23 | — | (30,118) |
USD | 11,599,841 | EUR | 11,000,000 | Australia and New Zealand Banking Group Limited | 12/29/23 | — | (71,422) |
USD | 11,604,846 | EUR | 11,000,000 | Goldman Sachs International | 12/29/23 | — | (66,417) |
USD | 11,599,744 | EUR | 11,000,000 | State Street Bank and Trust Company | 12/29/23 | — | (71,519) |
USD | 11,791,232 | EUR | 11,184,306 | State Street Bank and Trust Company | 12/29/23 | — | (75,584) |
USD | 11,790,441 | EUR | 11,184,306 | State Street Bank and Trust Company | 12/29/23 | — | (76,375) |
$9,082,741 | $(1,007,612) |
Abbreviations: | |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Interbank Average |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $5,969,122,387) | $ 5,539,799,478 |
Affiliated investments, at value (identified cost $146,259,350) | 143,913,942 |
Cash | 35,661,964 |
Deposits for derivatives collateral — forward foreign currency exchange contracts | 5,450,000 |
Foreign currency, at value (identified cost $21,705,939) | 21,724,435 |
Interest receivable | 38,025,559 |
Dividends receivable from affiliated investments | 852,108 |
Receivable for investments sold | 98,080,389 |
Receivable for open forward foreign currency exchange contracts | 9,082,741 |
Prepaid upfront fees on notes payable | 397,460 |
Trustees' deferred compensation plan | 272,714 |
Other receivables | 2,084,589 |
Prepaid expenses | 94,315 |
Total assets | $5,895,439,694 |
Liabilities | |
Cash collateral due to broker | $ 4,680,000 |
Payable for investments purchased | 119,375,202 |
Payable for when-issued securities | 4,225,000 |
Payable for open forward foreign currency exchange contracts | 1,007,612 |
Payable to affiliates: | |
Investment adviser fee | 2,476,271 |
Trustees' fees | 9,042 |
Trustees' deferred compensation plan | 272,714 |
Accrued expenses | 1,619,760 |
Total liabilities | $ 133,665,601 |
Net Assets applicable to investors' interest in Portfolio | $5,761,774,093 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income | $ 3,060,356 |
Dividend income from affiliated investments | 8,065,316 |
Interest and other income | 563,764,152 |
Total investment income | $ 574,889,824 |
Expenses | |
Investment adviser fee | $ 32,834,212 |
Trustees’ fees and expenses | 108,500 |
Custodian fee | 1,248,549 |
Legal and accounting services | 883,742 |
Interest expense and fees | 2,410,276 |
Miscellaneous | 383,591 |
Total expenses | $ 37,868,870 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 248,686 |
Total expense reductions | $ 248,686 |
Net expenses | $ 37,620,184 |
Net investment income | $ 537,269,640 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (273,795,704) |
Foreign currency transactions | 2,065,689 |
Forward foreign currency exchange contracts | (63,594,397) |
Net realized loss | $(335,324,412) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 467,648,252 |
Investments - affiliated investments | (8,685,164) |
Foreign currency | 1,036,077 |
Forward foreign currency exchange contracts | 11,089,934 |
Net change in unrealized appreciation (depreciation) | $ 471,089,099 |
Net realized and unrealized gain | $ 135,764,687 |
Net increase in net assets from operations | $ 673,034,327 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 537,269,640 | $ 418,622,273 |
Net realized gain (loss) | (335,324,412) | 59,718,560 |
Net change in unrealized appreciation (depreciation) | 471,089,099 | (831,891,859) |
Net increase (decrease) in net assets from operations | $ 673,034,327 | $ (353,551,026) |
Capital transactions: | ||
Contributions | $ 308,512,496 | $ 2,094,290,768 |
Withdrawals | (3,320,903,248) | (2,626,390,995) |
Net decrease in net assets from capital transactions | $(3,012,390,752) | $ (532,100,227) |
Net decrease in net assets | $(2,339,356,425) | $ (885,651,253) |
Net Assets | ||
At beginning of year | $ 8,101,130,518 | $ 8,986,781,771 |
At end of year | $ 5,761,774,093 | $ 8,101,130,518 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.58% (1) | 0.54% (1) | 0.56% | 0.59% | 0.55% |
Net investment income | 8.21% | 4.39% | 3.51% | 4.17% | 5.09% |
Portfolio Turnover | 19% | 27% | 26% | 28% | 16% |
Total Return | 10.63% | (3.32)% | 7.80% | 1.18% | 1.64% |
Net assets, end of year (000’s omitted) | $5,761,774 | $8,101,131 | $8,986,782 | $5,649,501 | $7,966,641 |
(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 years ended October 31, 2023 and 2022). |
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 | $6,067,145,036 |
Gross unrealized appreciation | $ 29,989,140 |
Gross unrealized depreciation | (413,420,756) |
Net unrealized depreciation | $ (383,431,616) |
Fair Value | ||
Derivative | Asset Derivative(1) | Liability Derivative(2) |
Forward foreign currency exchange contracts | $9,082,741 | $(1,007,612) |
(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. | $ 5,134,070 | $ — | $ — | $ (4,680,000) | $ 454,070 |
Standard Chartered Bank | 560,799 | (395,116) | — | — | 165,683 |
State Street Bank and Trust Company | 3,311,875 | (234,082) | (2,058,264) | — | 1,019,529 |
The Toronto-Dominion Bank | 75,997 | — | — | — | 75,997 |
$9,082,741 | $(629,198) | $(2,058,264) | $(4,680,000) | $1,715,279 |
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) |
Australia and New Zealand Banking Group Limited | $ (101,540) | $ — | $ — | $ — | $ (101,540) |
Citibank, N.A. | (210,457) | — | — | 210,457 | — |
Goldman Sachs International | (66,417) | — | — | 60,000 | (6,417) |
Standard Chartered Bank | (395,116) | 395,116 | — | — | — |
State Street Bank and Trust Company | (234,082) | 234,082 | — | — | — |
$(1,007,612) | $629,198 | $ — | $270,457 | $(107,957) |
(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 | $(63,594,397) | $11,089,934 |
(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 | $ — | $ — | $ — | $ (8,685,164) | $ 0 | $ — | 2,577 |
Short-Term Investments | ||||||||
Liquidity Fund | 156,771,808 | 2,181,162,967 | (2,194,020,833) | — | — | 143,913,942 | 8,065,316 | 143,913,942 |
Total | $ — | $(8,685,164) | $143,913,942 | $8,065,316 |
* | 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 | $ — | $ 270,085,254 | $ — | $ 270,085,254 |
Common Stocks | 839,909 | 33,435,126 | 1,089,614 | 35,364,649 |
Corporate Bonds | — | 524,182,503 | — | 524,182,503 |
Exchange-Traded Funds | 17,700,300 | — | — | 17,700,300 |
Preferred Stocks | — | 8,946,313 | — | 8,946,313 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 4,655,307,077 | 28,213,382 | 4,683,520,459 |
Short-Term Investments | 143,913,942 | — | — | 143,913,942 |
Total Investments | $ 162,454,151 | $ 5,491,956,273 | $ 29,302,996 | $ 5,683,713,420 |
Forward Foreign Currency Exchange Contracts | $ — | $ 9,082,741 | $ — | $ 9,082,741 |
Total | $ 162,454,151 | $ 5,501,039,014 | $ 29,302,996 | $ 5,692,796,161 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (1,007,612) | $ — | $ (1,007,612) |
Total | $ — | $ (1,007,612) | $ — | $ (1,007,612) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- present). Other Directorships. None. |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (ecommerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Advisers Class at NAV | 09/07/2000 | 09/07/2000 | 9.35% | 3.02% | 3.35% |
Class A at NAV | 05/07/2003 | 09/07/2000 | 9.38 | 3.03 | 3.35 |
Class A with 3.25% Maximum Sales Charge | — | — | 5.77 | 2.34 | 3.02 |
Class C at NAV | 09/05/2000 | 09/05/2000 | 8.68 | 2.27 | 2.75 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 7.68 | 2.27 | 2.75 |
Class I at NAV | 09/15/2000 | 09/15/2000 | 9.76 | 3.30 | 3.61 |
Class R6 at NAV | 06/27/2016 | 09/15/2000 | 9.83 | 3.36 | 3.66 |
Morningstar® LSTA® US Leveraged Loan IndexSM | — | — | 11.92% | 4.46% | 4.22% |
% 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% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Advisers Class | $10,000 | 10/31/2013 | $13,910 | N.A. |
Class C | $10,000 | 10/31/2013 | $13,115 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,426,384 | N.A. |
Class R6, at minimum investment | $5,000,000 | 10/31/2013 | $7,161,751 | N.A. |
Asset Allocation (% of net assets)1,2 |
Credit Quality (% of bonds, loans and asset-backed securities)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 the breakdown assigns a numeric equivalent to the ratings from the aforementioned agencies and the mean is rounded to the nearest integer and converted to an equivalent S&P major rating category. 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. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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 (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Advisers Class | $1,000.00 | $1,033.60 | $5.59 | 1.09% |
Class A | $1,000.00 | $1,034.00 | $5.59 | 1.09% |
Class C | $1,000.00 | $1,031.00 | $9.42 | 1.84% |
Class I | $1,000.00 | $1,036.20 | $4.31 | 0.84% |
Class R6 | $1,000.00 | $1,036.50 | $3.95 | 0.77% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Advisers Class | $1,000.00 | $1,019.71 | $5.55 | 1.09% |
Class A | $1,000.00 | $1,019.71 | $5.55 | 1.09% |
Class C | $1,000.00 | $1,015.93 | $9.35 | 1.84% |
Class I | $1,000.00 | $1,020.97 | $4.28 | 0.84% |
Class R6 | $1,000.00 | $1,021.32 | $3.92 | 0.77% |
* | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolios. |
October 31, 2023 | |
Assets | |
Investment in Eaton Vance Floating Rate Portfolio, at value (identified cost $899,002,552) | $ 806,565,606 |
Investment in High Income Opportunities Portfolio, at value (identified cost $196,262,192) | 151,383,812 |
Receivable for Fund shares sold | 2,273,987 |
Total assets | $ 960,223,405 |
Liabilities | |
Payable for Fund shares redeemed | $ 14,034,142 |
Distributions payable | 525,084 |
Payable to affiliates: | |
Administration fee | 123,305 |
Distribution and service fees | 48,810 |
Trustees' fees | 42 |
Accrued expenses | 340,419 |
Total liabilities | $ 15,071,802 |
Net Assets | $ 945,151,603 |
Sources of Net Assets | |
Paid-in capital | $1,227,472,984 |
Accumulated loss | (282,321,381) |
Net Assets | $ 945,151,603 |
Advisers Class Shares | |
Net Assets | $ 39,715,265 |
Shares Outstanding | 4,896,703 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.11 |
Class A Shares | |
Net Assets | $ 116,469,157 |
Shares Outstanding | 13,499,884 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.63 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 8.92 |
Class C Shares | |
Net Assets | $ 16,355,259 |
Shares Outstanding | 2,020,384 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 8.10 |
Class I Shares | |
Net Assets | $ 742,105,004 |
Shares Outstanding | 91,442,678 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.12 |
October 31, 2023 | |
Class R6 Shares | |
Net Assets | $30,506,918 |
Shares Outstanding | 3,758,891 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.12 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolios (net of foreign taxes withheld of $255) | $ 2,206,158 |
Interest income allocated from Portfolios | 96,351,256 |
Expenses allocated from Portfolios | (6,630,158) |
Total investment income from Portfolios | $ 91,927,256 |
Expenses | |
Administration fee | $ 1,750,607 |
Distribution and service fees: | |
Advisers Class | 103,679 |
Class A | 381,333 |
Class C | 189,036 |
Trustees’ fees and expenses | 500 |
Custodian fee | 61,904 |
Transfer and dividend disbursing agent fees | 894,623 |
Legal and accounting services | 77,804 |
Printing and postage | 113,899 |
Registration fees | 97,798 |
Miscellaneous | 22,134 |
Total expenses | $ 3,693,317 |
Net investment income | $ 88,233,939 |
Realized and Unrealized Gain (Loss) from Portfolios | |
Net realized gain (loss): | |
Investment transactions | $ (36,414,046) |
Securities sold short | (92,730) |
Foreign currency transactions | 334,688 |
Forward foreign currency exchange contracts | (9,990,517) |
Net realized loss | $ (46,162,605) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 68,662,770 |
Foreign currency | 205,992 |
Forward foreign currency exchange contracts | 1,172,150 |
Net change in unrealized appreciation (depreciation) | $ 70,040,912 |
Net realized and unrealized gain | $ 23,878,307 |
Net increase in net assets from operations | $112,112,246 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 88,233,939 | $ 72,027,950 |
Net realized gain (loss) | (46,162,605) | 7,117,431 |
Net change in unrealized appreciation (depreciation) | 70,040,912 | (163,552,579) |
Net increase (decrease) in net assets from operations | $ 112,112,246 | $ (84,407,198) |
Distributions to shareholders: | ||
Advisers Class | $ (3,095,059) | $ (1,879,317) |
Class A | (11,350,770) | (7,357,901) |
Class C | (1,264,508) | (798,333) |
Class I | (70,780,649) | (60,562,506) |
Class R6 | (2,375,670) | (1,910,333) |
Total distributions to shareholders | $ (88,866,656) | $ (72,508,390) |
Transactions in shares of beneficial interest: | ||
Advisers Class | $ (4,445,412) | $ (309,593) |
Class A | (58,644,353) | 921,645 |
Class C | (5,709,390) | (1,881,811) |
Class I | (504,295,092) | 171,096,234 |
Class R6 | (12,187,963) | 8,512,004 |
Net increase (decrease) in net assets from Fund share transactions | $ (585,282,210) | $ 178,338,479 |
Net increase (decrease) in net assets | $ (562,036,620) | $ 21,422,891 |
Net Assets | ||
At beginning of year | $1,507,188,223 | $ 1,485,765,332 |
At end of year | $ 945,151,603 | $1,507,188,223 |
Advisers Class | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.990 | $ 8.720 | $ 8.330 | $ 8.620 | $ 8.850 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.604 | $ 0.336 | $ 0.282 | $ 0.324 | $ 0.408 |
Net realized and unrealized gain (loss) | 0.125 | (0.727) | 0.395 | (0.277) | (0.228) |
Total income (loss) from operations | $ 0.729 | $ (0.391) | $ 0.677 | $ 0.047 | $ 0.180 |
Less Distributions | |||||
From net investment income | $ (0.609) | $ (0.339) | $ (0.287) | $ (0.337) | $ (0.410) |
Total distributions | $ (0.609) | $ (0.339) | $ (0.287) | $ (0.337) | $ (0.410) |
Net asset value — End of year | $ 8.110 | $ 7.990 | $ 8.720 | $ 8.330 | $ 8.620 |
Total Return(2) | 9.35% | (4.56)% | 8.20% | 0.75% | 1.98% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $39,715 | $43,533 | $47,953 | $42,806 | $84,179 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.08% (4) | 1.02% (4) | 1.04% | 1.08% | 1.04% |
Net investment income | 7.42% | 4.01% | 3.25% | 3.89% | 4.68% |
Portfolio Turnover of the Fund(5) | 3% | 24% | 9% | 8% | 5% |
(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) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
(5) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.500 | $ 9.280 | $ 8.870 | $ 9.160 | $ 9.410 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.641 | $ 0.357 | $ 0.300 | $ 0.340 | $ 0.434 |
Net realized and unrealized gain (loss) | 0.137 | (0.777) | 0.415 | (0.272) | (0.248) |
Total income (loss) from operations | $ 0.778 | $ (0.420) | $ 0.715 | $ 0.068 | $ 0.186 |
Less Distributions | |||||
From net investment income | $ (0.648) | $ (0.360) | $ (0.305) | $ (0.358) | $ (0.436) |
Total distributions | $ (0.648) | $ (0.360) | $ (0.305) | $ (0.358) | $ (0.436) |
Net asset value — End of year | $ 8.630 | $ 8.500 | $ 9.280 | $ 8.870 | $ 9.160 |
Total Return(2) | 9.38% | (4.60)% | 8.14% | 0.83% | 2.04% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $116,469 | $172,307 | $187,279 | $181,561 | $195,385 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.08% (4) | 1.02% (4) | 1.04% | 1.08% | 1.04% |
Net investment income | 7.40% | 4.01% | 3.25% | 3.84% | 4.69% |
Portfolio Turnover of the Fund(5) | 3% | 24% | 9% | 8% | 5% |
(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) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
(5) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.980 | $ 8.710 | $ 8.320 | $ 8.600 | $ 8.830 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.540 | $ 0.271 | $ 0.218 | $ 0.259 | $ 0.341 |
Net realized and unrealized gain (loss) | 0.127 | (0.726) | 0.394 | (0.264) | (0.227) |
Total income (loss) from operations | $ 0.667 | $ (0.455) | $ 0.612 | $ (0.005) | $ 0.114 |
Less Distributions | |||||
From net investment income | $ (0.547) | $ (0.275) | $ (0.222) | $ (0.275) | $ (0.344) |
Total distributions | $ (0.547) | $ (0.275) | $ (0.222) | $ (0.275) | $ (0.344) |
Net asset value — End of year | $ 8.100 | $ 7.980 | $ 8.710 | $ 8.320 | $ 8.600 |
Total Return(2) | 8.68% | (5.40)% | 7.40% | (0.00)% (3) | 1.33% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $16,355 | $21,726 | $25,764 | $37,683 | $59,716 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses | 1.83% (5) | 1.77% (5) | 1.79% | 1.83% | 1.79% |
Net investment income | 6.64% | 3.23% | 2.52% | 3.12% | 3.93% |
Portfolio Turnover of the Fund(6) | 3% | 24% | 9% | 8% | 5% |
(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) | Amount is less than (0.005)%. |
(4) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(5) | 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 years ended October 31, 2023 and 2022). |
(6) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.000 | $ 8.730 | $ 8.340 | $ 8.620 | $ 8.850 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.621 | $ 0.358 | $ 0.301 | $ 0.344 | $ 0.430 |
Net realized and unrealized gain (loss) | 0.129 | (0.728) | 0.398 | (0.265) | (0.228) |
Total income (loss) from operations | $ 0.750 | $ (0.370) | $ 0.699 | $ 0.079 | $ 0.202 |
Less Distributions | |||||
From net investment income | $ (0.630) | $ (0.360) | $ (0.309) | $ (0.359) | $ (0.432) |
Total distributions | $ (0.630) | $ (0.360) | $ (0.309) | $ (0.359) | $ (0.432) |
Net asset value — End of year | $ 8.120 | $ 8.000 | $ 8.730 | $ 8.340 | $ 8.620 |
Total Return(2) | 9.76% | (4.43)% | 8.47% | 1.01% | 2.35% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $742,105 | $1,227,499 | $1,187,123 | $546,479 | $808,175 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 0.83% (4) | 0.77% (4) | 0.78% | 0.83% | 0.79% |
Net investment income | 7.63% | 4.27% | 3.47% | 4.12% | 4.94% |
Portfolio Turnover of the Fund(5) | 3% | 24% | 9% | 8% | 5% |
(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) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
(5) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
Class R6 | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.000 | $ 8.730 | $ 8.340 | $ 8.620 | $ 8.850 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.630 | $ 0.364 | $ 0.312 | $ 0.349 | $ 0.435 |
Net realized and unrealized gain (loss) | 0.125 | (0.730) | 0.393 | (0.267) | (0.228) |
Total income (loss) from operations | $ 0.755 | $ (0.366) | $ 0.705 | $ 0.082 | $ 0.207 |
Less Distributions | |||||
From net investment income | $ (0.635) | $ (0.364) | $ (0.315) | $ (0.362) | $ (0.437) |
Total distributions | $ (0.635) | $ (0.364) | $ (0.315) | $ (0.362) | $ (0.437) |
Net asset value — End of year | $ 8.120 | $ 8.000 | $ 8.730 | $ 8.340 | $ 8.620 |
Total Return(2) | 9.83% | (4.38)% | 8.54% | 1.05% | 2.41% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $30,507 | $42,124 | $37,646 | $77,338 | $130,492 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 0.77% (4) | 0.71% (4) | 0.74% | 0.79% | 0.73% |
Net investment income | 7.72% | 4.35% | 3.61% | 4.19% | 4.99% |
Portfolio Turnover of the Fund(5) | 3% | 24% | 9% | 8% | 5% |
(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) | Includes the Fund’s share of the Portfolios’ allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
(5) | Percentage is based on the Fund’s contributions to and withdrawals from the Portfolios and excludes the investment activity of the Portfolios. |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $88,866,656 | $72,508,390 |
Undistributed ordinary income | $ 510,170 |
Deferred capital losses | (190,111,294) |
Net unrealized depreciation | (92,195,173) |
Distributions payable | (525,084) |
Accumulated loss | $(282,321,381) |
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 | $25,651,446 | $588,726,253 |
High Income Opportunities Portfolio | 4,885,990 | 112,138,334 |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Advisers Class | |||||
Sales | 781,101 | $ 6,371,241 | 861,467 | $ 7,333,346 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 377,850 | 3,081,066 | 225,567 | 1,870,304 | |
Redemptions | (1,710,463) | (13,897,719) | (1,136,776) | (9,513,243) | |
Net decrease | (551,512) | $ (4,445,412) | (49,742) | $ (309,593) | |
Class A | |||||
Sales | 2,841,220 | $ 24,588,771 | 5,626,007 | $ 50,747,562 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,178,505 | 10,220,124 | 754,617 | 6,655,370 | |
Redemptions | (10,791,599) | (93,453,248) | (6,294,093) | (56,481,287) | |
Net increase (decrease) | (6,771,874) | $ (58,644,353) | 86,531 | $ 921,645 | |
Class C | |||||
Sales | 295,896 | $ 2,411,871 | 545,540 | $ 4,647,106 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 145,386 | 1,182,941 | 90,568 | 748,915 | |
Redemptions | (1,144,960) | (9,304,202) | (871,319) | (7,277,832) | |
Net decrease | (703,678) | $ (5,709,390) | (235,211) | $ (1,881,811) |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Sales | 25,825,099 | $ 210,646,813 | 104,576,939 | $ 890,758,907 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 8,135,594 | 66,333,136 | 6,909,643 | 57,277,380 | |
Redemptions | (96,043,686) | (781,275,041) | (93,980,289) | (776,940,053) | |
Net increase (decrease) | (62,082,993) | $(504,295,092) | 17,506,293 | $ 171,096,234 | |
Class R6 | |||||
Sales | 948,220 | $ 7,745,894 | 3,056,181 | $ 26,069,554 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 289,289 | 2,359,388 | 229,501 | 1,901,527 | |
Redemptions | (2,746,908) | (22,293,245) | (2,330,840) | (19,459,077) | |
Net increase (decrease) | (1,509,399) | $ (12,187,963) | 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) |
Boston, Massachusetts
December 22, 2023
Asset-Backed Securities — 4.7% |
Security | Principal Amount (000's omitted) | Value | |
Alinea CLO, Ltd.: | |||
Series 2018-1A, Class D, 8.777%, (3 mo. SOFR + 3.362%), 7/20/31(1)(2) | $ | 2,500 | $ 2,403,450 |
Series 2018-1A, Class E, 11.677%, (3 mo. SOFR + 6.262%), 7/20/31(1)(2) | 3,000 | 2,621,361 | |
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 12.566%, (3 mo. SOFR + 7.172%), 1/15/32(1)(2) | 4,000 | 3,515,388 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 11.807%, (3 mo. SOFR + 6.442%), 11/10/30(1)(2) | 3,525 | 3,009,589 | |
Apidos CLO XX, Series 2015-20A, Class DR, 11.356%, (3 mo. SOFR + 5.962%), 7/16/31(1)(2) | 2,375 | 2,135,332 | |
Ares Loan Funding II, Ltd., Series 2022-ALF2A, Class ER, 13.656%, (3 mo. SOFR + 8.24%), 10/20/36(1)(2) | 1,325 | 1,298,898 | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 12.094%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 3,000 | 2,733,831 | |
Ares XLIX CLO, Ltd., Series 2018-49A, Class D, 8.674%, (3 mo. SOFR + 3.262%), 7/22/30(1)(2) | 2,500 | 2,395,640 | |
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class C, 8.526%, (3 mo. SOFR + 3.162%), 5/15/30(1)(2) | 5,000 | 4,754,640 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 11.356%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 4,000 | 3,552,104 | |
Babson CLO, Ltd.: | |||
Series 2015-1A, Class DR, 8.277%, (3 mo. SOFR + 2.862%), 1/20/31(1)(2) | 2,500 | 2,362,727 | |
Series 2018-1A, Class C, 8.256%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 3,500 | 3,276,546 | |
Bain Capital Credit CLO, Ltd.: | |||
Series 2018-1A, Class D, 8.374%, (3 mo. SOFR + 2.962%), 4/23/31(1)(2) | 5,000 | 4,651,770 | |
Series 2018-1A, Class E, 11.024%, (3 mo. SOFR + 5.612%), 4/23/31(1)(2) | 3,000 | 2,511,483 | |
Battalion CLO XXII, Ltd., Series 2021-22A, Class E, 12.627%, (3 mo. SOFR + 7.212%), 1/20/35(1)(2) | 1,750 | 1,482,668 | |
Battalion CLO XXIII, Ltd., Series 2022-23A, Class D, 9.344%, (3 mo. SOFR + 3.95%), 5/19/36(1)(2) | 3,500 | 3,230,965 | |
Benefit Street Partners CLO V-B, Ltd., Series 2018-5BA, Class D, 11.627%, (3 mo. SOFR + 6.212%), 4/20/31(1)(2) | 3,500 | 3,250,653 | |
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 11.277%, (3 mo. SOFR + 5.862%), 1/20/31(1)(2) | 5,401 | 4,544,758 | |
Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class D, 8.277%, (3 mo. SOFR + 2.862%), 4/20/31(1)(2) | 1,500 | 1,419,594 | |
Benefit Street Partners CLO XVI, Ltd., Series 2018-16A, Class E, 12.364%, (3 mo. SOFR + 6.962%), 1/17/32(1)(2) | 2,250 | 2,108,072 |
Security | Principal Amount (000's omitted) | Value | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 12.006%, (3 mo. SOFR + 6.612%), 7/15/32(1)(2) | $ | 1,750 | $ 1,677,869 |
Benefit Street Partners CLO XXII, Ltd., Series 2020-22A, Class ER, 12.346%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 1,000 | 930,082 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.506%, (3 mo. SOFR + 7.112%), 1/15/35(1)(2) | 3,000 | 2,845,206 | |
Betony CLO 2, Ltd.: | |||
Series 2018-1A, Class C, 8.552%, (3 mo. SOFR + 3.162%), 4/30/31(1)(2) | 2,500 | 2,387,102 | |
Series 2018-1A, Class D, 11.302%, (3 mo. SOFR + 5.912%), 4/30/31(1)(2) | 2,475 | 2,178,101 | |
BlueMountain CLO XXIV, Ltd., Series 2019-24A, Class ER, 12.517%, (3 mo. SOFR + 7.102%), 4/20/34(1)(2) | 1,000 | 880,092 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 12.807%, (3 mo. SOFR + 7.392%), 10/20/34(1)(2) | 3,000 | 2,781,324 | |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 12.094%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,779,092 | |
BlueMountain CLO XXXIII, Ltd., Series 2021-33A, Class E, 12.471%, (3 mo. SOFR + 7.092%), 11/20/34(1)(2) | 2,500 | 2,322,227 | |
BlueMountain CLO XXXV, Ltd., Series 2022-35A, Class E, 13.162%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 1,884,938 | |
BlueMountain CLO, Ltd.: | |||
Series 2016-3A, Class DR, 8.726%, (3 mo. SOFR + 3.362%), 11/15/30(1)(2) | 1,500 | 1,375,377 | |
Series 2016-3A, Class ER, 11.576%, (3 mo. SOFR + 6.212%), 11/15/30(1)(2) | 1,500 | 1,224,608 | |
Series 2018-1A, Class D, 8.702%, (3 mo. SOFR + 3.312%), 7/30/30(1)(2) | 2,500 | 2,266,958 | |
Series 2018-1A, Class E, 11.602%, (3 mo. SOFR + 6.212%), 7/30/30(1)(2) | 2,000 | 1,534,322 | |
Bryant Park Funding, Ltd.: | |||
Series 2023-20A, Class D, 11.449%, (3 mo. SOFR + 6.09%), 7/15/36(1)(2) | 3,500 | 3,410,771 | |
Series 2023-21A, Class D, 10.935%, (3 mo. SOFR + 5.45%), 10/18/36(1)(2) | 3,525 | 3,501,841 | |
Canyon Capital CLO, Ltd.: | |||
Series 2012-1RA, Class E, 11.356%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 4,875 | 4,244,814 | |
Series 2016-1A, Class ER, 11.406%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 4,000 | 3,392,436 | |
Series 2016-2A, Class ER, 11.656%, (3 mo. SOFR + 6.262%), 10/15/31(1)(2) | 4,500 | 3,826,125 | |
Series 2017-1A, Class E, 11.906%, (3 mo. SOFR + 6.512%), 7/15/30(1)(2) | 3,250 | 2,877,287 |
Security | Principal Amount (000's omitted) | Value | |
Canyon Capital CLO, Ltd.: (continued) | |||
Series 2018-1A, Class D, 8.556%, (3 mo. SOFR + 3.162%), 7/15/31(1)(2) | $ | 3,000 | $ 2,848,887 |
Series 2018-1A, Class E, 11.406%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 2,750 | 2,345,882 | |
Series 2019-2A, Class ER, 12.406%, (3 mo. SOFR + 7.011%), 10/15/34(1)(2) | 1,500 | 1,360,722 | |
Carlyle CLO C17, Ltd.: | |||
Series C17A, Class CR, 8.452%, (3 mo. SOFR + 3.062%), 4/30/31(1)(2) | 5,000 | 4,680,700 | |
Series C17A, Class DR, 11.652%, (3 mo. SOFR + 6.262%), 4/30/31(1)(2) | 3,500 | 2,841,314 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class CR2, 9.156%, (3 mo. SOFR + 3.762%), 1/14/32(1)(2) | 2,500 | 2,408,155 | |
Series 2012-3A, Class DR2, 12.156%, (3 mo. SOFR + 6.761%), 1/14/32(1)(2) | 1,500 | 1,251,521 | |
Series 2014-3RA, Class C, 8.599%, (3 mo. SOFR + 3.212%), 7/27/31(1)(2) | 1,000 | 924,119 | |
Series 2014-3RA, Class D, 11.049%, (3 mo. SOFR + 5.662%), 7/27/31(1)(2) | 2,150 | 1,877,116 | |
Series 2014-4RA, Class C, 8.556%, (3 mo. SOFR + 3.162%), 7/15/30(1)(2) | 2,000 | 1,848,728 | |
Series 2014-4RA, Class D, 11.306%, (3 mo. SOFR + 5.912%), 7/15/30(1)(2) | 1,500 | 1,206,492 | |
Carlyle US CLO, Ltd.: | |||
Series 2019-4A, Class DR, 11.994%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 3,000 | 2,658,969 | |
Series 2022-6A, Class DR, 10.13%, (3 mo. SOFR + 4.75%), 10/25/36(1)(2) | 2,200 | 2,207,482 | |
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 12.277%, (3 mo. SOFR + 6.862%), 7/20/34(1)(2) | 1,000 | 975,659 | |
CIFC Funding, Ltd., Series 2022-4A, Class D, 8.944%, (3 mo. SOFR + 3.55%), 7/16/35(1)(2) | 1,750 | 1,725,726 | |
Dryden CLO, Ltd.: | |||
Series 2018-55A, Class D, 8.506%, (3 mo. SOFR + 3.112%), 4/15/31(1)(2) | 1,500 | 1,399,137 | |
Series 2018-55A, Class E, 11.056%, (3 mo. SOFR + 5.662%), 4/15/31(1)(2) | 2,000 | 1,749,672 | |
Series 2022-112A, Class E, 13.145%, (3 mo. SOFR + 7.78%), 8/15/34(1)(2) | 2,000 | 1,973,216 | |
Dryden Senior Loan Fund: | |||
Series 2015-41A, Class DR, 8.256%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 5,000 | 4,641,865 | |
Series 2015-41A, Class ER, 10.956%, (3 mo. SOFR + 5.562%), 4/15/31(1)(2) | 1,268 | 989,947 | |
Series 2016-42A, Class DR, 8.586%, (3 mo. SOFR + 3.192%), 7/15/30(1)(2) | 2,500 | 2,348,357 | |
Series 2016-42A, Class ER, 11.206%, (3 mo. SOFR + 5.812%), 7/15/30(1)(2) | 3,500 | 2,953,135 | |
Elmwood CLO 14, Ltd., Series 2022-1A, Class E, 11.766%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 1,950 | 1,875,321 | |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 12.553%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,250 | 2,229,032 |
Security | Principal Amount (000's omitted) | Value | |
Galaxy XXV CLO, Ltd.: | |||
Series 2018-25A, Class D, 8.74%, (3 mo. SOFR + 3.362%), 10/25/31(1)(2) | $ | 2,500 | $ 2,438,492 |
Series 2018-25A, Class E, 11.59%, (3 mo. SOFR + 6.211%), 10/25/31(1)(2) | 3,500 | 3,098,378 | |
Golub Capital Partners CLO 22B, Ltd., Series 2015-22A, Class ER, 11.677%, (3 mo. SOFR + 6.262%), 1/20/31(1)(2) | 2,500 | 2,340,557 | |
Golub Capital Partners CLO 37B, Ltd.: | |||
Series 2018-37A, Class D, 8.977%, (3 mo. SOFR + 3.562%), 7/20/30(1)(2) | 4,000 | 3,709,444 | |
Series 2018-37A, Class E, 11.427%, (3 mo. SOFR + 6.012%), 7/20/30(1)(2) | 4,750 | 4,695,978 | |
Golub Capital Partners CLO 53B, Ltd., Series 2021-53A, Class E, 12.377%, (3 mo. SOFR + 6.962%), 7/20/34(1)(2) | 1,250 | 1,141,728 | |
Golub Capital Partners CLO 58B, Ltd., Series 2021-58A, Class E, 12.45%, (3 mo. SOFR + 7.072%), 1/25/35(1)(2) | 2,500 | 2,306,540 | |
Halseypoint CLO 5, Ltd., Series 2021-5A, Class E, 12.592%, (3 mo. SOFR + 7.202%), 1/30/35(1)(2) | 2,000 | 1,821,042 | |
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 12.077%, (3 mo. SOFR + 6.662%), 4/20/34(1)(2) | 1,000 | 929,261 | |
ICG US CLO, Ltd.: | |||
Series 2018-2A, Class D, 8.774%, (3 mo. SOFR + 3.362%), 7/22/31(1)(2) | 2,000 | 1,844,714 | |
Series 2018-2A, Class E, 11.424%, (3 mo. SOFR + 6.012%), 7/22/31(1)(2) | 3,000 | 2,468,892 | |
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 12.257%, (3 mo. SOFR + 6.862%), 1/18/34(1)(2) | 1,450 | 1,354,316 | |
Madison Park Funding XXV, Ltd., Series 2017-25A, Class D, 11.74%, (3 mo. SOFR + 6.362%), 4/25/29(1)(2) | 1,500 | 1,399,364 | |
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class ER, 12.444%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,500 | 2,464,607 | |
Marble Point CLO XXIV, Ltd., Series 2022-1A, Class D1, 9.656%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,948,968 | |
Neuberger Berman CLO XXII, Ltd.: | |||
Series 2016-22A, Class DR, 8.764%, (3 mo. SOFR + 3.362%), 10/17/30(1)(2) | 2,500 | 2,405,505 | |
Series 2016-22A, Class ER, 11.724%, (3 mo. SOFR + 6.322%), 10/17/30(1)(2) | 3,000 | 2,729,217 | |
Neuberger Berman Loan Advisers CLO 28, Ltd., Series 2018-28A, Class E, 11.277%, (3 mo. SOFR + 5.862%), 4/20/30(1)(2) | 1,950 | 1,712,176 | |
Neuberger Berman Loan Advisers CLO 30, Ltd., Series 2018-30A, Class ER, 11.877%, (3 mo. SOFR + 6.462%), 1/20/31(1)(2) | 1,000 | 944,940 |
Security | Principal Amount (000's omitted) | Value | |
Neuberger Berman Loan Advisers CLO 48, Ltd., Series 2022-48A, Class E, 11.878%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | $ | 3,200 | $ 3,044,691 |
OCP CLO, Ltd.: | |||
Series 2022-24A, Class D, 9.216%, (3 mo. SOFR + 3.80%), 7/20/35(1)(2) | 500 | 472,812 | |
Series 2022-24A, Class E, 12.836%, (3 mo. SOFR + 7.42%), 7/20/35(1)(2) | 1,000 | 966,488 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 11.514%, (3 mo. SOFR + 6.111%), 10/17/31(1)(2) | 1,325 | 1,241,293 | |
Series 2015-1A, Class DR4, 12.141%, (3 mo. SOFR + 6.762%), 5/21/34(1)(2) | 2,000 | 1,847,830 | |
Series 2018-1A, Class D, 10.807%, (3 mo. SOFR + 5.412%), 4/18/31(1)(2) | 2,000 | 1,881,298 | |
Series 2018-2A, Class D, 11.256%, (3 mo. SOFR + 5.862%), 7/16/31(1)(2) | 2,000 | 1,928,870 | |
Series 2021-2A, Class E, 12.006%, (3 mo. SOFR + 6.612%), 7/15/34(1)(2) | 1,000 | 962,846 | |
Series 2022-1A, Class E, 11.766%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 2,000 | 1,929,592 | |
RAD CLO 5, Ltd., Series 2019-5A, Class E, 12.36%, (3 mo. SOFR + 6.962%), 7/24/32(1)(2) | 1,250 | 1,169,161 | |
RAD CLO 14, Ltd., Series 2021-14A, Class E, 12.156%, (3 mo. SOFR + 6.762%), 1/15/35(1)(2) | 950 | 890,045 | |
Regatta XIII Funding, Ltd.: | |||
Series 2018-2A, Class C, 8.756%, (3 mo. SOFR + 3.362%), 7/15/31(1)(2) | 2,500 | 2,432,925 | |
Series 2018-2A, Class D, 11.606%, (3 mo. SOFR + 6.212%), 7/15/31(1)(2) | 5,000 | 4,067,035 | |
Regatta XIV Funding, Ltd.: | |||
Series 2018-3A, Class D, 8.84%, (3 mo. SOFR + 3.462%), 10/25/31(1)(2) | 2,500 | 2,442,735 | |
Series 2018-3A, Class E, 11.59%, (3 mo. SOFR + 6.211%), 10/25/31(1)(2) | 2,000 | 1,801,678 | |
Regatta XV Funding, Ltd., Series 2018-4A, Class D, 12.14%, (3 mo. SOFR + 6.762%), 10/25/31(1)(2) | 2,875 | 2,543,044 | |
Symphony CLO, Ltd., Series 2022-37A, Class D1, 10.846%, (3 mo. SOFR + 5.43%), 10/20/34(1)(2) | 2,500 | 2,518,007 | |
Upland CLO, Ltd.: | |||
Series 2016-1A, Class CR, 8.577%, (3 mo. SOFR + 3.162%), 4/20/31(1)(2) | 4,500 | 4,239,504 | |
Series 2016-1A, Class DR, 11.577%, (3 mo. SOFR + 6.162%), 4/20/31(1)(2) | 2,125 | 1,920,182 | |
Vibrant CLO IX, Ltd.: | |||
Series 2018-9A, Class C, 8.877%, (3 mo. SOFR + 3.462%), 7/20/31(1)(2) | 2,500 | 2,231,463 | |
Series 2018-9A, Class D, 11.927%, (3 mo. SOFR + 6.512%), 7/20/31(1)(2) | 3,500 | 2,432,773 | |
Vibrant CLO X, Ltd.: | |||
Series 2018-10A, Class C, 8.927%, (3 mo. SOFR + 3.512%), 10/20/31(1)(2) | 5,000 | 4,605,920 |
Security | Principal Amount (000's omitted) | Value | |
Vibrant CLO X, Ltd.: (continued) | |||
Series 2018-10A, Class D, 11.867%, (3 mo. SOFR + 6.452%), 10/20/31(1)(2) | $ | 5,000 | $ 3,719,755 |
Voya CLO, Ltd.: | |||
Series 2015-3A, Class CR, 8.827%, (3 mo. SOFR + 3.412%), 10/20/31(1)(2) | 2,500 | 2,177,888 | |
Series 2015-3A, Class DR, 11.877%, (3 mo. SOFR + 6.462%), 10/20/31(1)(2) | 5,500 | 4,405,318 | |
Series 2016-3A, Class CR, 8.907%, (3 mo. SOFR + 3.512%), 10/18/31(1)(2) | 2,000 | 1,813,576 | |
Series 2016-3A, Class DR, 11.737%, (3 mo. SOFR + 6.342%), 10/18/31(1)(2) | 2,375 | 1,880,140 | |
Series 2018-2A, Class E, 10.906%, (3 mo. SOFR + 5.512%), 7/15/31(1)(2) | 2,500 | 2,129,953 | |
Webster Park CLO, Ltd.: | |||
Series 2015-1A, Class CR, 8.577%, (3 mo. SOFR + 3.162%), 7/20/30(1)(2) | 2,000 | 1,925,990 | |
Series 2015-1A, Class DR, 11.177%, (3 mo. SOFR + 5.762%), 7/20/30(1)(2) | 2,500 | 2,130,353 | |
Wellfleet CLO, Ltd.: | |||
Series 2021-1A, Class D, 9.177%, (3 mo. SOFR + 3.762%), 4/20/34(1)(2) | 1,200 | 1,078,579 | |
Series 2021-3A, Class E, 12.756%, (3 mo. SOFR + 7.362%), 1/15/35(1)(2) | 950 | 800,259 | |
Series 2022-1A, Class D, 9.534%, (3 mo. SOFR + 4.14%), 4/15/34(1)(2) | 1,000 | 945,569 | |
Series 2022-1A, Class E, 13.254%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,000 | 1,852,368 | |
Total Asset-Backed Securities (identified cost $297,460,747) | $ 270,085,254 |
Common Stocks — 0.6% |
Security | Shares | Value | |
Aerospace and Defense — 0.0% | |||
IAP Global Services, LLC(3)(4)(5)(6) | 950 | $ 0 | |
IAP Global Services, LLC(3)(4)(5) | 1,627 | 0 | |
$ 0 | |||
Chemicals — 0.0% | |||
Flint Campfire Topco, Ltd., Class A(4)(5)(6) | 3,812,783 | $ 0 | |
$ 0 | |||
Commercial Services & Supplies — 0.1% | |||
Monitronics International, Inc.(5)(6) | 223,950 | $ 4,702,950 | |
Phoenix Services International, LLC(5)(6) | 168,954 | 1,605,063 | |
Phoenix Services International, LLC(5)(6) | 15,415 | 146,442 | |
$ 6,454,455 |
Security | Shares | Value | |
Containers and Glass Products — 0.0%(7) | |||
LG Newco Holdco, Inc.(5)(6) | 250,979 | $ 1,443,129 | |
$ 1,443,129 | |||
Electronics/Electrical — 0.0%(7) | |||
Skillsoft Corp.(5)(6) | 44,676 | $ 839,909 | |
$ 839,909 | |||
Entertainment — 0.1% | |||
New Cineworld, Ltd.(5)(6) | 80,602 | $ 1,722,868 | |
$ 1,722,868 | |||
Health Care — 0.0% | |||
Akorn Holding Company, LLC(4)(5)(6) | 705,631 | $ 0 | |
$ 0 | |||
Household Durables — 0.3% | |||
Serta Simmons Bedding, Inc.(5)(6) | 1,348,933 | $ 18,885,062 | |
Serta SSB Equipment Co.(4)(5)(6) | 1,348,933 | 0 | |
$ 18,885,062 | |||
Investment Companies — 0.0%(7) | |||
Aegletes B.V.(5)(6) | 116,244 | $ 280,439 | |
Jubilee Topco, Ltd., Class A(4)(5)(6) | 2,897,167 | 0 | |
$ 280,439 | |||
Nonferrous Metals/Minerals — 0.1% | |||
ACNR Holdings, Inc., Class A(5)(6) | 36,829 | $ 3,148,879 | |
$ 3,148,879 | |||
Oil and Gas — 0.0%(7) | |||
AFG Holdings, Inc.(4)(5)(6) | 498,342 | $ 986,717 | |
McDermott International, Ltd.(5)(6) | 1,013,850 | 273,740 | |
$ 1,260,457 | |||
Pharmaceuticals — 0.0%(7) | |||
Covis Midco 1 S.a.r.l., Class A(5)(6) | 8,008 | $ 4,084 | |
Covis Midco 1 S.a.r.l., Class B(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 S.a.r.l., Class C(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 S.a.r.l., Class D(5)(6) | 8,008 | 4,084 | |
Covis Midco 1 S.a.r.l., Class E(5)(6) | 8,008 | 4,084 | |
$ 20,420 | |||
Retailers (Except Food and Drug) — 0.0%(7) | |||
Phillips Pet Holding Corp.(4)(5)(6) | 2,590 | $ 102,897 | |
$ 102,897 |
Security | Shares | Value | |
Telecommunications — 0.0% | |||
Global Eagle Entertainment(4)(5)(6) | 364,650 | $ 0 | |
$ 0 | |||
Utilities — 0.0%(7) | |||
Longview Intermediate Holdings, LLC, Class A(6) | 149,459 | $ 1,206,134 | |
$ 1,206,134 | |||
Total Common Stocks (identified cost $80,724,650) | $ 35,364,649 |
Corporate Bonds — 9.1% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 0.4% | |||
TransDigm, Inc.: | |||
6.25%, 3/15/26(1) | 1,500 | $ 1,466,857 | |
6.75%, 8/15/28(1) | 3,175 | 3,086,841 | |
6.875%, 12/15/30(1) | 19,500 | 18,847,335 | |
$ 23,401,033 | |||
Air Transport — 0.6% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 14,313 | $ 13,932,268 | |
5.75%, 4/20/29(1) | 12,875 | 11,626,509 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 4,625 | 4,294,819 | |
4.625%, 4/15/29(1) | 4,625 | 3,910,915 | |
$ 33,764,511 | |||
Automotive — 0.1% | |||
Adient Global Holdings, Ltd., 7.00%, 4/15/28(1) | 2,175 | $ 2,143,235 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 1,890 | 1,876,813 | |
Clarios Global, L.P./Clarios US Finance Co., 6.25%, 5/15/26(1) | 3,893 | 3,809,775 | |
$ 7,829,823 | |||
Building and Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, 6.75%, 5/15/28(1) | 7,018 | $ 6,406,346 | |
Winnebago Industries, Inc., 6.25%, 7/15/28(1) | 900 | 847,274 | |
$ 7,253,620 |
Security | Principal Amount* (000's omitted) | Value | |
Business Equipment and Services — 0.8% | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp., 6.625%, 7/15/26(1) | 2,075 | $ 1,944,949 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
4.625%, 6/1/28(1) | 12,475 | 10,177,694 | |
4.625%, 6/1/28(1) | 23,725 | 19,429,703 | |
Prime Security Services Borrower, LLC/Prime Finance, Inc., 5.75%, 4/15/26(1) | 15,225 | 14,784,812 | |
$ 46,337,158 | |||
Chemicals — 0.4% | |||
Cheever Escrow Issuer, LLC, 7.125%, 10/1/27(1) | 925 | $ 852,570 | |
INEOS Finance PLC, 3.375%, 3/31/26(1) | EUR | 1,250 | 1,253,188 |
INEOS Quattro Finance 2 PLC, 3.375%, 1/15/26(1) | 3,050 | 2,916,014 | |
Olympus Water US Holding Corp.: | |||
4.25%, 10/1/28(1) | 9,350 | 7,470,369 | |
9.75%, 11/15/28(1) | 8,600 | 8,410,378 | |
$ 20,902,519 | |||
Commercial Services — 0.2% | |||
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(1) | 15,300 | $ 13,517,376 | |
$ 13,517,376 | |||
Containers & Packaging — 0.2% | |||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC: | |||
4.00%, 10/15/27(1) | 5,150 | $ 4,499,291 | |
4.375%, 10/15/28(1) | 9,125 | 7,772,883 | |
$ 12,272,174 | |||
Diversified Financial Services — 0.3% | |||
AG Issuer, LLC, 6.25%, 3/1/28(1) | 8,075 | $ 7,447,716 | |
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 2,925 | 2,941,439 | |
Aretec Escrow Issuer 2, Inc., 10.00%, 8/15/30(1)(8) | 4,225 | 4,277,812 | |
$ 14,666,967 | |||
Diversified Telecommunication Services — 0.9% | |||
Altice France S.A.: | |||
5.125%, 1/15/29(1) | 1,300 | $ 898,591 | |
5.125%, 7/15/29(1) | 42,825 | 29,349,960 | |
5.50%, 10/15/29(1) | 6,455 | 4,445,207 | |
Level 3 Financing, Inc., 3.875%, 11/15/29(1) | 11,225 | 10,012,671 | |
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(1) | 6,500 | 5,367,635 | |
$ 50,074,064 |
Security | Principal Amount* (000's omitted) | Value | |
Drugs — 0.1% | |||
Jazz Securities DAC, 4.375%, 1/15/29(1) | 9,150 | $ 7,965,382 | |
$ 7,965,382 | |||
Ecological Services and Equipment — 0.1% | |||
GFL Environmental, Inc., 4.25%, 6/1/25(1) | 5,300 | $ 5,100,552 | |
$ 5,100,552 | |||
Electronics/Electrical — 0.4% | |||
GoTo Group, Inc., 5.50%, 9/1/27(1) | 10,760 | $ 5,623,288 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 18,175 | 15,860,561 | |
$ 21,483,849 | |||
Entertainment — 0.1% | |||
Live Nation Entertainment, Inc., 3.75%, 1/15/28(1) | 2,075 | $ 1,818,737 | |
Six Flags Theme Parks, Inc., 7.00%, 7/1/25(1) | 1,070 | 1,063,634 | |
$ 2,882,371 | |||
Health Care — 0.6% | |||
Medline Borrower, L.P., 3.875%, 4/1/29(1) | 22,800 | $ 19,272,855 | |
Tenet Healthcare Corp., 4.25%, 6/1/29 | 15,950 | 13,666,951 | |
$ 32,939,806 | |||
Hotels, Restaurants & Leisure — 0.6% | |||
Carnival Corp., 4.00%, 8/1/28(1) | 34,575 | $ 30,102,544 | |
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(1) | 2,125 | 2,155,781 | |
$ 32,258,325 | |||
Household Products — 0.2% | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(1) | 14,212 | $ 12,869,817 | |
$ 12,869,817 | |||
Insurance — 0.3% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co., 4.25%, 10/15/27(1) | 700 | $ 616,143 | |
NFP Corp.: | |||
4.875%, 8/15/28(1) | 5,520 | 4,838,766 | |
7.50%, 10/1/30(1) | 2,925 | 2,773,221 | |
8.50%, 10/1/31(1) | 8,300 | 8,168,583 | |
$ 16,396,713 |
Security | Principal Amount* (000's omitted) | Value | |
Internet Software & Services — 0.2% | |||
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(1) | 13,700 | $ 13,175,673 | |
$ 13,175,673 | |||
Leisure Goods/Activities/Movies — 0.4% | |||
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 3,300 | $ 3,010,194 | |
NCL Corp., Ltd., 5.875%, 2/15/27(1) | 22,000 | 20,272,430 | |
$ 23,282,624 | |||
Machinery — 0.3% | |||
Madison IAQ, LLC, 4.125%, 6/30/28(1) | 13,400 | $ 11,206,897 | |
TK Elevator U.S. Newco, Inc., 5.25%, 7/15/27(1) | 7,150 | 6,516,919 | |
$ 17,723,816 | |||
Media — 0.4% | |||
iHeartCommunications, Inc.: | |||
4.75%, 1/15/28(1) | 2,550 | $ 1,806,845 | |
5.25%, 8/15/27(1) | 2,125 | 1,559,329 | |
6.375%, 5/1/26 | 2,896 | 2,363,200 | |
8.375%, 5/1/27 | 5,248 | 3,222,327 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 9,125 | 7,263,536 | |
7.375%, 6/30/30(1) | 9,150 | 8,065,665 | |
$ 24,280,902 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
CITGO Petroleum Corporation, 7.00%, 6/15/25(1) | 10,525 | $ 10,352,865 | |
$ 10,352,865 | |||
Professional Services — 0.1% | |||
CoreLogic, Inc., 4.50%, 5/1/28(1) | 5,525 | $ 4,384,419 | |
$ 4,384,419 | |||
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 | $ 5,793,101 | |
$ 5,793,101 | |||
Retail — 0.2% | |||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 15,580 | $ 13,109,246 | |
$ 13,109,246 |
Security | Principal Amount* (000's omitted) | Value | |
Retailers (Except Food and Drug) — 0.0%(7) | |||
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 1,300 | $ 1,151,746 | |
$ 1,151,746 | |||
Software — 0.3% | |||
Boxer Parent Co., Inc., 7.125%, 10/2/25(1) | 4,225 | $ 4,172,187 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 13,600 | 11,594,068 | |
Veritas US, Inc./Veritas Bermuda, Ltd., 7.50%, 9/1/25(1) | 2,750 | 2,253,426 | |
$ 18,019,681 | |||
Technology — 0.2% | |||
Clarivate Science Holdings Corp., 3.875%, 7/1/28(1) | 11,400 | $ 9,802,152 | |
$ 9,802,152 | |||
Telecommunications — 0.2% | |||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 9,325 | $ 7,273,692 | |
VMED O2 UK Financing I PLC, 4.25%, 1/31/31(1) | 5,550 | 4,370,746 | |
$ 11,644,438 | |||
Trading Companies & Distributors — 0.0%(7) | |||
American Builders & Contractors Supply Co., Inc., 4.00%, 1/15/28(1) | 2,975 | $ 2,673,667 | |
$ 2,673,667 | |||
Utilities — 0.0%(7) | |||
Calpine Corp., 5.25%, 6/1/26(1) | 1,109 | $ 1,062,411 | |
$ 1,062,411 | |||
Wireless Telecommunication Services — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(1) | 6,325 | $ 5,809,702 | |
$ 5,809,702 | |||
Total Corporate Bonds (identified cost $598,447,001) | $ 524,182,503 |
Exchange-Traded Funds — 0.3% |
Security | Shares | Value | |
SPDR Blackstone Senior Loan ETF | 426,000 | $ 17,700,300 | |
Total Exchange-Traded Funds (identified cost $19,593,027) | $ 17,700,300 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Nonferrous Metals/Minerals — 0.2% | |||
ACNR Holdings, Inc., 15.00% (PIK)(5)(6) | 17,394 | $ 8,946,313 | |
Total Preferred Stocks (identified cost $0) | $ 8,946,313 |
Senior Floating-Rate Loans — 81.4%(9) |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 2.0% | |||
Aernnova Aerospace S.A.U.: | |||
Term Loan, 6.783%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 4,656 | $ 4,760,370 |
Term Loan, 6.934%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 1,194 | 1,220,608 |
AI Convoy (Luxembourg) S.a.r.l., Term Loan, 7.722%, (3 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 3,850 | 3,965,481 |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 9.324%, (SOFR + 4.00%), 8/24/28 | 23,402 | 23,171,462 | |
Term Loan, 9.324%, (SOFR + 4.00%), 8/24/28 | 10,029 | 9,930,627 | |
IAP Worldwide Services, Inc., Term Loan - Second Lien, 12.152%, (3 mo. USD LIBOR + 6.50%), 7/18/23(4) | 6,709 | 5,122,000 | |
TransDigm, Inc.: | |||
Term Loan, 8.64%, (SOFR + 3.25%), 2/22/27 | 27,544 | 27,555,452 | |
Term Loan, 8.64%, (SOFR + 3.25%), 8/24/28 | 16,042 | 16,039,386 | |
WP CPP Holdings, LLC, Term Loan, 9.29%, (SOFR + 3.75%), 4/30/25 | 27,103 | 26,127,160 | |
$ 117,892,546 | |||
Airlines — 0.4% | |||
American Airlines, Inc., Term Loan, 10.427%, (SOFR + 4.75%), 4/20/28 | 24,863 | $ 25,246,750 | |
$ 25,246,750 | |||
Apparel & Luxury Goods — 0.1% | |||
Hanesbrands, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 3/8/30 | 4,552 | $ 4,500,914 | |
$ 4,500,914 | |||
Auto Components — 1.8% | |||
Adient US, LLC, Term Loan, 8.689%, (SOFR + 3.25%), 4/10/28 | 5,523 | $ 5,529,734 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Auto Components (continued) | |||
Autokiniton US Holdings, Inc., Term Loan, 9.939%, (SOFR + 4.50%), 4/6/28 | 20,578 | $ 20,209,276 | |
Clarios Global, L.P., Term Loan, 7.118%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 16,490 | 17,399,074 |
DexKo Global, Inc.: | |||
Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 3,272 | 3,271,262 |
Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 7,303 | 7,302,731 |
Term Loan, 9.402%, (SOFR + 3.75%), 10/4/28 | 13,371 | 12,834,434 | |
Garrett Motion, Inc., Term Loan, 9.883%, (SOFR + 4.50%), 4/30/28 | 8,393 | 8,413,839 | |
LSF12 Badger Bidco, LLC, Term Loan, 11.324%, (SOFR + 6.00%), 8/30/30 | 3,100 | 3,096,125 | |
LTI Holdings, Inc., Term Loan, 10.189%, (SOFR + 4.75%), 7/24/26 | 7,044 | 6,755,899 | |
RealTruck Group, Inc.: | |||
Term Loan, 9.189%, (SOFR + 3.75%), 1/31/28 | 11,509 | 10,997,334 | |
Term Loan, 10.406%, (SOFR + 5.00%), 1/31/28 | 7,125 | 6,833,317 | |
$ 102,643,025 | |||
Automobiles — 0.9% | |||
Bombardier Recreational Products, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 5/24/27 | 38,161 | $ 37,874,967 | |
MajorDrive Holdings IV, LLC: | |||
Term Loan, 9.652%, (SOFR + 4.00%), 6/1/28 | 14,893 | 14,508,379 | |
Term Loan, 11.04%, (SOFR + 5.50%), 6/1/29 | 2,140 | 2,121,672 | |
$ 54,505,018 | |||
Beverages — 0.4% | |||
City Brewing Company, LLC, Term Loan, 9.164%, (SOFR + 3.50%), 4/5/28 | 7,885 | $ 5,847,062 | |
Triton Water Holdings, Inc., Term Loan, 8.902%, (SOFR + 3.25%), 3/31/28 | 21,157 | 20,105,663 | |
$ 25,952,725 | |||
Biotechnology — 0.5% | |||
Alkermes, Inc., Term Loan, 7.949%, (SOFR + 2.50%), 3/12/26 | 18,178 | $ 18,041,169 | |
Alltech, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 10/13/28 | 4,736 | 4,635,615 | |
Grifols Worldwide Operations USA, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 11/15/27 | 4,440 | 4,324,991 | |
$ 27,001,775 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Building Products — 0.8% | |||
Cornerstone Building Brands, Inc., Term Loan, 8.685%, (SOFR + 3.25%), 4/12/28 | 11,056 | $ 10,542,540 | |
CPG International, Inc., Term Loan, 7.924%, (SOFR + 2.50%), 4/28/29 | 13,637 | 13,635,545 | |
LHS Borrower, LLC, Term Loan, 10.174%, (SOFR + 4.75%), 2/16/29 | 5,827 | 5,113,227 | |
MI Windows and Doors, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/18/27 | 6,545 | 6,552,979 | |
Oscar AcquisitionCo, LLC, Term Loan, 9.99%, (SOFR + 4.50%), 4/29/29 | 1,598 | 1,558,974 | |
Standard Industries, Inc., Term Loan, 7.953%, (SOFR + 2.50%), 9/22/28 | 8,819 | 8,842,854 | |
$ 46,246,119 | |||
Capital Markets — 4.5% | |||
Advisor Group, Inc., Term Loan, 9.824%, (SOFR + 4.50%), 8/17/28 | 22,225 | $ 22,167,154 | |
AllSpring Buyer, LLC, Term Loan, 8.949%, (SOFR + 3.25%), 11/1/28 | 6,220 | 6,066,244 | |
Aretec Group, Inc.: | |||
Term Loan, 9.674%, (SOFR + 4.25%), 10/1/25 | 18,275 | 18,285,118 | |
Term Loan, 9.924%, (SOFR + 4.50%), 8/9/30 | 8,853 | 8,620,426 | |
CeramTec AcquiCo GmbH, Term Loan, 7.283%, (3 mo. EURIBOR + 3.50%), 3/16/29 | EUR | 12,779 | 13,217,332 |
Citadel Securities, L.P., Term Loan, 7.939%, (SOFR + 2.50%), 7/29/30 | 7,606 | 7,594,529 | |
Citco Funding, LLC, Term Loan, 4/27/28(10) | 8,175 | 8,190,328 | |
Clipper Acquisitions Corp., Term Loan, 7.192%, (SOFR + 1.75%), 3/3/28 | 7,191 | 7,161,189 | |
Edelman Financial Center, LLC, Term Loan, 8.939%, (SOFR + 3.50%), 4/7/28 | 18,913 | 18,620,831 | |
EIG Management Company, LLC, Term Loan, 9.177%, (SOFR + 3.75%), 2/22/25 | 2,859 | 2,858,625 | |
FinCo I, LLC, Term Loan, 8.383%, (SOFR + 3.00%), 6/27/29 | 12,818 | 12,824,284 | |
Focus Financial Partners, LLC: | |||
Term Loan, 7.824%, (SOFR + 2.50%), 6/30/28 | 9,877 | 9,799,190 | |
Term Loan, 8.574%, (SOFR + 3.25%), 6/30/28 | 17,301 | 17,255,707 | |
Term Loan, 8.824%, (SOFR + 3.50%), 6/30/28 | 6,400 | 6,393,331 | |
Franklin Square Holdings, L.P., Term Loan, 7.674%, (SOFR + 2.25%), 8/1/25 | 6,199 | 6,206,462 | |
Guggenheim Partners, LLC, Term Loan, 8.64%, (SOFR + 3.25%), 12/12/29 | 19,230 | 19,238,323 | |
Hudson River Trading, LLC, Term Loan, 8.439%, (SOFR + 3.00%), 3/20/28 | 25,572 | 25,241,936 | |
LPL Holdings, Inc., Term Loan, 7.165%, (SOFR + 1.75%), 11/12/26 | 15,785 | 15,821,179 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Capital Markets (continued) | |||
Mariner Wealth Advisors, LLC, Term Loan, 8.901%, (SOFR + 3.25%), 8/18/28 | 13,446 | $ 13,244,742 | |
Victory Capital Holdings, Inc.: | |||
Term Loan, 7.772%, (SOFR + 2.25%), 7/1/26 | 13,437 | 13,430,354 | |
Term Loan, 7.772%, (SOFR + 2.25%), 12/29/28 | 6,979 | 6,952,588 | |
$ 259,189,872 | |||
Chemicals — 4.9% | |||
Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 7.89%, (SOFR + 2.50%), 12/20/29 | 18,151 | $ 18,203,296 | |
CPC Acquisition Corp., Term Loan, 9.402%, (SOFR + 3.75%), 12/29/27 | 14,714 | 11,646,946 | |
Flint Group Midco Limited, Term Loan, 10.674%, (SOFR + 5.00%), 9.924% cash, 0.75% PIK, 12/31/26 | 4,982 | 4,633,281 | |
Flint Group Packaging INKS North America Holdings, LLC: | |||
Term Loan, 9.002%, (3 mo. EURIBOR + 5.00%), 8.252% cash, 0.75% PIK, 12/31/26 | EUR | 1,546 | 1,521,387 |
Term Loan, 11.002%, (3 mo. EURIBOR + 7.00%), 4.102% cash, 6.90% PIK, 12/31/27 | EUR | 750 | 581,570 |
Term Loan - Second Lien, 11.002%, (3 mo. EURIBOR + 7.00%), 4.102% cash, 6.90% PIK, 12/31/27 | EUR | 999 | 191,158 |
Flint Group Topco Limited: | |||
Term Loan, 12.674%, (SOFR + 7.00%), 5.774% cash, 6.90% PIK, 12/31/27 | 2,429 | 1,779,470 | |
Term Loan - Second Lien, 12.674%, (SOFR + 7.00%), 5.774% cash, 6.90% PIK, 12/31/27 | 3,240 | 585,830 | |
Gemini HDPE, LLC, Term Loan, 8.645%, (SOFR + 3.00%), 12/31/27 | 4,686 | 4,678,800 | |
GEON Performance Solutions, LLC, Term Loan, 10.402%, (SOFR + 4.75%), 8/18/28 | 5,660 | 5,547,017 | |
Groupe Solmax, Inc., Term Loan, 10.303%, (SOFR + 4.75%), 5/29/28(11) | 9,392 | 8,797,699 | |
INEOS Enterprises Holdings II Limited, Term Loan, 7.783%, (3 mo. EURIBOR + 4.00%), 7/7/30 | EUR | 1,945 | �� 2,028,995 |
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 9.273%, (SOFR + 3.75%), 7/8/30 | 10,925 | 10,697,399 | |
INEOS Finance PLC: | |||
Term Loan, 6.618%, (1 mo. EURIBOR + 2.75%), 11/8/28 | EUR | 8,900 | 9,043,347 |
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 11/8/27 | EUR | 6,200 | 6,481,194 |
INEOS Quattro Holdings UK, Ltd.: | |||
Term Loan, 6.622%, (1 week EURIBOR + 2.75%), 1/29/26 | EUR | 23,150 | 24,185,160 |
Term Loan, 7.872%, (1 week EURIBOR + 4.00%), 3/14/30 | EUR | 3,300 | 3,382,614 |
Term Loan, 9.174%, (SOFR + 3.75%), 3/14/30 | 4,988 | 4,903,336 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
INEOS Styrolution US Holding, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 1/29/26 | 8,272 | $ 8,140,905 | |
INEOS US Finance, LLC: | |||
Term Loan, 7.825%, (SOFR + 2.50%), 11/8/28 | 6,152 | 6,021,201 | |
Term Loan, 8.924%, (SOFR + 3.50%), 2/18/30 | 20,653 | 20,310,542 | |
Term Loan, 9.174%, (SOFR + 3.75%), 11/8/27 | 2,637 | 2,608,186 | |
Kraton Corporation, Term Loan, 8.921%, (SOFR + 3.25%), 3/15/29 | 5,615 | 5,354,829 | |
Kraton Polymers Holdings B.V., Term Loan, 7.217%, (EURIBOR + 3.25%), 3/15/29(11) | EUR | 4,250 | 4,332,037 |
Lonza Group AG: | |||
Term Loan, 7.897%, (3 mo. EURIBOR + 3.93%), 7/3/28 | EUR | 4,600 | 4,206,531 |
Term Loan, 9.415%, (SOFR + 3.93%), 7/3/28 | 10,766 | 9,145,318 | |
Messer Industries GmbH: | |||
Term Loan, 6.368%, (1 mo. EURIBOR + 2.50%), 3/2/26 | EUR | 1,554 | 1,645,247 |
Term Loan, 8.152%, (SOFR + 2.50%), 3/2/26 | 9,372 | 9,374,156 | |
Momentive Performance Materials, Inc., Term Loan, 9.824%, (SOFR + 4.50%), 3/29/28 | 21,585 | 20,614,013 | |
Olympus Water US Holding Corporation: | |||
Term Loan, 9.402%, (SOFR + 3.75%), 11/9/28 | 3,947 | 3,856,354 | |
Term Loan, 9.99%, (SOFR + 4.50%), 11/9/28 | 5,344 | 5,259,019 | |
Orion Engineered Carbons GmbH: | |||
Term Loan, 6.372%, (3 mo. EURIBOR + 2.40%), 9/24/28 | EUR | 1,250 | 1,325,932 |
Term Loan, 7.64%, (SOFR + 2.15%), 9/24/28 | 4,435 | 4,379,069 | |
PQ Corporation, Term Loan, 7.983%, (SOFR + 2.50%), 6/9/28 | 8,668 | 8,627,116 | |
Rohm Holding GmbH: | |||
Term Loan, 8.472%, (6 mo. EURIBOR + 4.50%), 7/31/26 | EUR | 1,000 | 950,968 |
Term Loan, 10.881%, (SOFR + 5.00%), 7/31/26 | 13,783 | 12,738,220 | |
Term Loan, 7/31/26(10) | EUR | 10,800 | 10,270,450 |
SCUR-Alpha 1503 GmbH, Term Loan, 10.883%, (SOFR + 5.50%), 3/29/30 | 5,522 | 5,094,308 | |
Tronox Finance, LLC: | |||
Term Loan, 8.116%, (SOFR + 2.50%), 3/10/28(11) | 11,570 | 11,367,412 | |
Term Loan, 8.64%, (SOFR + 3.25%), 4/4/29 | 3,620 | 3,571,611 | |
Term Loan, 8.824%, (SOFR + 3.50%), 8/16/28 | 5,075 | 5,011,562 | |
$ 283,093,485 | |||
Commercial Services & Supplies — 1.7% | |||
Asplundh Tree Expert, LLC, Term Loan, 7.174%, (SOFR + 1.75%), 9/7/27 | 8,197 | $ 8,211,229 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Commercial Services & Supplies (continued) | |||
Belfor Holdings, Inc.: | |||
Term Loan, 9.574%, (SOFR + 4.25%), 4/6/26 | 2,587 | $ 2,592,222 | |
Term Loan, 10/25/30(10) | 6,575 | 6,575,000 | |
EnergySolutions, LLC, Term Loan, 9.382%, (SOFR + 4.00%), 9/20/30 | 16,309 | 16,237,217 | |
Foundever Group, Term Loan, 7.62%, (1 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 6,425 | 6,541,659 |
GFL Environmental, Inc., Term Loan, 7.912%, (SOFR + 2.50%), 5/31/27 | 4,280 | 4,288,789 | |
Harsco Corporation, Term Loan, 7.689%, (SOFR + 2.25%), 3/10/28 | 885 | 865,183 | |
JFL-Tiger Acquisition Co., Inc., Term Loan, 10.403%, (SOFR + 5.00%), 10/17/30 | 7,325 | 7,242,594 | |
Monitronics International, Inc., Term Loan, 13.145%, (SOFR + 7.50%), 6/30/28 | 12,343 | 12,482,058 | |
Phoenix Services International, LLC, Term Loan, 11.427%, (SOFR + 6.10%), 6/30/28 | 2,031 | 1,894,228 | |
SITEL Worldwide Corporation, Term Loan, 9.189%, (SOFR + 3.75%), 8/28/28 | 13,950 | 13,475,451 | |
Tempo Acquisition, LLC, Term Loan, 8.074%, (SOFR + 2.75%), 8/31/28 | 2,463 | 2,463,160 | |
TMF Group Holding B.V., Term Loan, 10.414%, (SOFR + 5.00%), 5/3/28 | 4,650 | 4,652,906 | |
TruGreen Limited Partnership, Term Loan, 9.424%, (SOFR + 4.00%), 11/2/27 | 8,399 | 7,899,375 | |
$ 95,421,071 | |||
Communications Equipment — 0.1% | |||
Digi International, Inc., Term Loan, 10.439%, (SOFR + 5.00%), 11/1/28 | 4,181 | $ 4,182,690 | |
$ 4,182,690 | |||
Construction Materials — 0.4% | |||
Quikrete Holdings, Inc.: | |||
Term Loan, 8.064%, (SOFR + 2.63%), 2/1/27 | 2,734 | $ 2,732,538 | |
Term Loan, 8.189%, (SOFR + 2.75%), 3/19/29 | 19,014 | 19,027,854 | |
$ 21,760,392 | |||
Consumer Staples Distribution & Retail — 0.4% | |||
Cardenas Markets, Inc., Term Loan, 12.24%, (SOFR + 6.75%), 8/1/29 | 4,154 | $ 4,154,539 | |
Peer Holding III B.V.: | |||
Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 9/29/28 | EUR | 5,725 | 6,045,951 |
Term Loan, 10/19/30(10) | 11,475 | 11,431,969 | |
$ 21,632,459 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Containers & Packaging — 1.1% | |||
Berlin Packaging, LLC, Term Loan, 9.189%, (SOFR + 3.75%), 3/11/28(11) | 2,901 | $ 2,839,458 | |
Kouti B.V., Term Loan, 7.458%, (3 mo. EURIBOR + 3.68%), 8/31/28 | EUR | 29,250 | 29,858,775 |
Pregis TopCo Corporation: | |||
Term Loan, 9.074%, (SOFR + 3.75%), 7/31/26 | 1,964 | 1,947,866 | |
Term Loan, 9.189%, (SOFR + 3.75%), 7/31/26 | 1,348 | 1,340,763 | |
Pretium Packaging, LLC, Term Loan - Second Lien, 9.995%, (SOFR + 4.60%), 10/2/28 | 6,598 | 5,031,184 | |
Pretium PKG Holdings, Inc., Term Loan - Second Lien, 12.20%, (SOFR + 6.75%), 10/1/29(11) | 6,675 | 2,962,031 | |
Proampac PG Borrower, LLC, Term Loan, 10.585%, (SOFR + 4.50%), 9/15/28 | 11,825 | 11,701,819 | |
Trident TPI Holdings, Inc., Term Loan, 9.652%, (SOFR + 4.00%), 9/15/28 | 5,662 | 5,600,726 | |
$ 61,282,622 | |||
Distributors — 0.0%(7) | |||
Phillips Feed Service, Inc., Term Loan, 12.427%, (SOFR + 7.00%), 11/13/24(4) | 471 | $ 376,498 | |
Winterfell Financing S.a.r.l., Term Loan, 8.765%, (3 mo. EURIBOR + 5.00%), 5/4/28 | EUR | 2,000 | 2,076,522 |
$ 2,453,020 | |||
Diversified Consumer Services — 0.8% | |||
Ascend Learning, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/11/28 | 11,292 | $ 10,540,720 | |
Belron Finance US, LLC, Term Loan, 8.057%, (SOFR + 2.43%), 4/13/28 | 7,629 | 7,637,958 | |
FrontDoor, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 6/17/28 | 855 | 852,908 | |
KUEHG Corp., Term Loan, 10.39%, (SOFR + 5.00%), 6/12/30 | 13,725 | 13,731,121 | |
Sotheby's, Term Loan, 10.156%, (SOFR + 4.50%), 1/15/27 | 10,792 | 10,481,854 | |
Spring Education Group, Inc., Term Loan, 9.914%, (SOFR + 4.50%), 10/4/30 | 3,725 | 3,689,303 | |
$ 46,933,864 | |||
Diversified Financial Services — 0.2% | |||
Concorde Midco, Ltd., Term Loan, 7.892%, (6 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 8,730 | $ 9,102,509 |
$ 9,102,509 | |||
Diversified Telecommunication Services — 0.8% | |||
CenturyLink, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 3/15/27 | 22,800 | $ 17,189,155 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Telecommunication Services (continued) | |||
GEE Holdings 2, LLC: | |||
Term Loan, 13.50%, (SOFR + 8.25%), 3/24/25 | 9,639 | $ 8,771,597 | |
Term Loan - Second Lien, 13.75%, (SOFR + 8.25%), 7.00% cash, 6.75% PIK, 3/23/26 | 7,100 | 4,260,076 | |
Level 3 Financing, Inc., Term Loan, 7.189%, (SOFR + 1.75%), 3/1/27 | 12,351 | 11,616,585 | |
Telenet Financing USD, LLC, Term Loan, 7.449%, (SOFR + 2.00%), 4/30/28 | 2,825 | 2,750,844 | |
Virgin Media Bristol, LLC, Term Loan, 7.949%, (SOFR + 2.50%), 1/31/28 | 2,563 | 2,494,345 | |
$ 47,082,602 | |||
Electrical Equipment — 0.0%(7) | |||
Brookfield WEC Holdings, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 8/1/25 | 1,521 | $ 1,520,586 | |
$ 1,520,586 | |||
Electronic Equipment, Instruments & Components — 1.0% | |||
Creation Technologies, Inc., Term Loan, 11.176%, (SOFR + 5.50%), 10/5/28 | 12,816 | $ 12,143,316 | |
II-VI Incorporated, Term Loan, 8.189%, (SOFR + 2.75%), 7/2/29 | 400 | 399,629 | |
Minimax Viking GmbH, Term Loan, 7.133%, (EURIBOR + 3.25%), 7/31/28(11) | EUR | 3,487 | 3,689,305 |
Mirion Technologies, Inc., Term Loan, 8.402%, (SOFR + 2.75%), 10/20/28 | 1,722 | 1,719,430 | |
Robertshaw US Holding Corp.: | |||
Term Loan, 13.49%, (SOFR + 8.00%), 8.49% cash, 5.00% PIK, 2/28/27 | 3,981 | 4,020,463 | |
Term Loan - Second Lien, 12.49%, (SOFR + 7.00%), 2/28/27 | 16,811 | 14,205,651 | |
TTM Technologies, Inc., Term Loan, 8.065%, (SOFR + 2.75%), 5/30/30 | 5,212 | 5,215,195 | |
Verifone Systems, Inc., Term Loan, 9.653%, (SOFR + 4.00%), 8/20/25 | 14,617 | 13,618,601 | |
$ 55,011,590 | |||
Energy Equipment & Services — 0.6% | |||
Ameriforge Group, Inc.: | |||
Term Loan, 16.735%, (SOFR + 13.00%), 12/29/23(4)(12) | 3,225 | $ 2,572,594 | |
Term Loan, 18.456%, (SOFR + 13.00%), 13.456 cash, 5.00% PIK, 12/29/23(4)(11) | 25,247 | 20,142,290 | |
GIP Pilot Acquisition Partners L.P., Term Loan, 8.388%, (SOFR + 3.00%), 10/4/30 | 4,875 | 4,875,000 | |
Lealand Finance Company B.V.: | |||
Letter of Credit, 3.638%, 6/28/24(12) | 9,039 | 6,734,330 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Energy Equipment & Services (continued) | |||
Lealand Finance Company B.V.: (continued) | |||
Term Loan, 12.439%, (SOFR + 7.00%), 9.439% cash, 3.00% PIK, 6/30/25 | 2,518 | $ 1,403,859 | |
$ 35,728,073 | |||
Engineering & Construction — 0.7% | |||
Aegion Corporation, Term Loan, 10.395%, (SOFR + 4.75%), 5/17/28 | 15,762 | $ 15,672,849 | |
American Residential Services, LLC, Term Loan, 9.152%, (SOFR + 3.50%), 10/15/27 | 497 | 496,463 | |
APi Group DE, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 10/1/26 | 10,603 | 10,619,166 | |
Centuri Group, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 8/27/28 | 3,256 | 3,253,840 | |
Northstar Group Services, Inc.: | |||
Term Loan, 10.939%, (SOFR + 5.50%), 11/12/26 | 10,818 | 10,818,422 | |
Term Loan, 10.949%, (SOFR + 5.50%), 11/12/26 | 1,963 | 1,957,594 | |
$ 42,818,334 | |||
Entertainment — 1.0% | |||
City Football Group Limited, Term Loan, 8.453%, (SOFR + 3.00%), 7/21/28 | 8,228 | $ 8,166,306 | |
Crown Finance US, Inc., Term Loan, 7.381%, (SOFR + 1.50%), 7/31/28 | 1,747 | 1,786,829 | |
Delta 2 (LUX) S.a.r.l., Term Loan, 7.574%, (SOFR + 2.25%), 1/15/30 | 2,500 | 2,493,750 | |
Live Nation Entertainment, Inc., Term Loan, 7.189%, (SOFR + 1.75%), 10/19/26 | 5,571 | 5,559,092 | |
Playtika Holding Corp., Term Loan, 8.189%, (SOFR + 2.75%), 3/13/28 | 20,527 | 19,947,078 | |
Renaissance Holding Corp.: | |||
Term Loan, 10.074%, (SOFR + 4.75%), 4/5/30 | 11,025 | 10,889,481 | |
Term Loan - Second Lien, 12.424%, (SOFR + 7.00%), 5/29/26 | 143 | 142,251 | |
UFC Holdings, LLC, Term Loan, 8.399%, (SOFR + 2.75%), 4/29/26 | 7,202 | 7,203,954 | |
Vue International Bidco PLC: | |||
Term Loan, 12.13%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 434 | 449,569 |
Term Loan, 12.63%, (6 mo. EURIBOR + 8.50%), 6.13% cash, 6.50% PIK, 12/31/27 | EUR | 3,031 | 1,431,038 |
$ 58,069,348 | |||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||
Iron Mountain, Inc., Term Loan, 7.189%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 3,634 | $ 3,630,883 | |
$ 3,630,883 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Financial Services — 1.0% | |||
Ditech Holding Corporation, Term Loan, 0.00%, 3/28/24(13) | 18,244 | $ 2,006,820 | |
GTCR W Merger Sub, LLC, Term Loan, 9/20/30(10) | 30,700 | 30,513,620 | |
NCR Atleos, LLC, Term Loan, 10.176%, (SOFR + 4.75%), 3/27/29 | 13,700 | 13,154,850 | |
Walker & Dunlop, Inc., Term Loan, 7.674%, (SOFR + 2.25%), 12/16/28 | 12,822 | 12,800,251 | |
$ 58,475,541 | |||
Food Products — 0.9% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 10.189%, (SOFR + 4.75%), 10/1/25 | 6,542 | $ 6,195,343 | |
Badger Buyer Corp., Term Loan, 8.939%, (SOFR + 3.50%), 9/30/24 | 4,775 | 4,088,785 | |
Del Monte Foods, Inc., Term Loan, 9.682%, (SOFR + 4.25%), 5/16/29 | 6,262 | 6,075,463 | |
Froneri International, Ltd.: | |||
Term Loan, 6.097%, (6 mo. EURIBOR + 2.13%), 1/29/27 | EUR | 1,500 | 1,544,637 |
Term Loan, 7.674%, (SOFR + 2.25%), 1/29/27 | 4,691 | 4,665,428 | |
Nomad Foods US, LLC, Term Loan, 8.469%, (SOFR + 3.00%), 11/13/29 | 7,953 | 7,960,987 | |
United Petfood Group B.V., Term Loan, 6.852%, (6 mo. EURIBOR + 2.75%), 4/23/28 | EUR | 8,400 | 8,680,658 |
Valeo F1 Company Limited (Ireland): | |||
Term Loan, 8.136%, (6 mo. EURIBOR + 4.00%), 9/29/28 | EUR | 8,550 | 8,145,311 |
Term Loan, 10.186%, (SONIA + 5.00%), 6/28/28 | GBP | 2,500 | 2,616,255 |
$ 49,972,867 | |||
Gas Utilities — 0.4% | |||
CQP Holdco, L.P., Term Loan, 8.99%, (SOFR + 3.50%), 6/5/28 | 22,130 | $ 22,136,475 | |
$ 22,136,475 | |||
Health Care Equipment & Supplies — 1.1% | |||
Artivion, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 6/1/27 | 6,643 | $ 6,446,107 | |
Bayou Intermediate II, LLC, Term Loan, 10.128%, (SOFR + 4.50%), 8/2/28 | 6,661 | 6,394,706 | |
Gloves Buyer, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 12/29/27 | 12,122 | 11,697,546 | |
ICU Medical, Inc., Term Loan, 8.04%, (SOFR + 2.50%), 1/8/29 | 7,363 | 7,348,304 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Equipment & Supplies (continued) | |||
Journey Personal Care Corp., Term Loan, 9.981%, (6 mo. USD LIBOR + 4.25%), 3/1/28 | 23,757 | $ 22,843,643 | |
Medline Borrower, L.P., Term Loan, 8.689%, (SOFR + 3.25%), 10/23/28 | 8,613 | 8,564,073 | |
$ 63,294,379 | |||
Health Care Providers & Services — 4.2% | |||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 9.402%, (SOFR + 3.75%), 9/7/28 | 13,681 | $ 13,646,802 | |
BW NHHC Holdco, Inc., Term Loan - Second Lien, 13.39%, (SOFR + 8.00%), 1/15/26 | 14,558 | 12,447,089 | |
Cano Health, LLC, Term Loan, 9.533%, (SOFR + 4.00%), 11/23/27(11) | 7,227 | 4,263,748 | |
CCRR Parent, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 3/6/28 | 4,709 | 4,485,234 | |
Cerba Healthcare S.A.S.: | |||
Term Loan, 7.583%, (1 mo. EURIBOR + 3.70%), 6/30/28 | EUR | 18,925 | 18,629,978 |
Term Loan, 7.883%, (1 mo. EURIBOR + 4.00%), 2/16/29 | EUR | 8,225 | 8,209,709 |
CHG Healthcare Services, Inc., Term Loan, 9.145%, (SOFR + 3.75%), 9/29/28 | 4,200 | 4,167,626 | |
Covis Finco S.a.r.l., Term Loan, 12.04%, (SOFR + 6.50%), 2/18/27 | 9,853 | 7,094,203 | |
Dedalus Finance GmbH, Term Loan, 7.712%, (6 mo. EURIBOR + 3.75%), 7/17/27 | EUR | 3,350 | 3,383,227 |
Elsan S.A.S., Term Loan, 7.39%, (6 mo. EURIBOR + 3.35%), 6/16/28 | EUR | 4,100 | 4,207,796 |
Ensemble RCM, LLC, Term Loan, 9.233%, (SOFR + 3.75%), 8/3/26 | 4,254 | 4,257,723 | |
Envision Healthcare Corporation: | |||
Term Loan, 0.00%, 3/31/27(13) | 5,436 | 6,468,771 | |
Term Loan - Second Lien, 0.00%, 3/31/27(13) | 38,369 | 6,714,637 | |
IVC Acquisition, Ltd., Term Loan, 7.687%, (6 mo. EURIBOR + 4.00%), 2/13/26 | EUR | 4,100 | 4,298,443 |
Medical Solutions Holdings, Inc.: | |||
Term Loan, 8.773%, (SOFR + 3.25%), 11/1/28 | 13,745 | 12,845,421 | |
Term Loan - Second Lien, 12.523%, (SOFR + 7.00%), 11/1/29 | 9,500 | 8,478,750 | |
Mehilainen Yhtiot Oy, Term Loan, 7.497%, (3 mo. EURIBOR + 3.53%), 8/8/25 | EUR | 6,025 | 6,372,064 |
Midwest Physician Administrative Services, LLC, Term Loan, 8.902%, (SOFR + 3.25%), 3/12/28 | 1,409 | 1,324,257 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 9.187%, (SOFR + 3.75%), 3/2/28(11) | 12,252 | 10,730,277 | |
Term Loan, 9.24%, (SOFR + 3.75%), 3/2/28 | 334 | 292,283 | |
Term Loan - Second Lien, 12.74%, (SOFR + 7.25%), 3/2/29 | 5,525 | 3,853,688 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Phoenix Guarantor, Inc.: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 3/5/26 | 16,235 | $ 16,095,060 | |
Term Loan, 8.939%, (SOFR + 3.50%), 3/5/26 | 5,361 | 5,315,194 | |
Radiology Partners, Inc., Term Loan, 10.179%, (SOFR + 4.25%), 7/9/25 | 13,101 | 9,817,760 | |
Ramsay Generale de Sante S.A., Term Loan, 6.952%, (3 mo. EURIBOR + 2.95%), 4/22/27 | EUR | 6,600 | 6,979,970 |
Select Medical Corporation, Term Loan, 8.324%, (SOFR + 3.00%), 3/6/27 | 45,035 | 44,971,401 | |
Sound Inpatient Physicians: | |||
Term Loan, 8.645%, (SOFR + 3.00%), 6/27/25 | 198 | 66,028 | |
Term Loan, 8.645%, (SOFR + 3.00%), 6/27/25 | 2,322 | 774,531 | |
Synlab Bondco PLC, Term Loan, 6.392%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 2,125 | 2,226,680 |
TTF Holdings, LLC, Term Loan, 9.439%, (SOFR + 4.00%), 3/31/28 | 5,083 | 5,088,947 | |
U.S. Anesthesia Partners, Inc., Term Loan, 9.679%, (SOFR + 4.25%), 10/1/28 | 5,018 | 4,376,587 | |
$ 241,883,884 | |||
Health Care Technology — 1.0% | |||
Certara, L.P., Term Loan, 9.184%, (SOFR + 3.50%), 8/15/26 | 1,808 | $ 1,810,635 | |
Imprivata, Inc.: | |||
Term Loan, 9.189%, (SOFR + 3.75%), 12/1/27 | 11,204 | 11,176,174 | |
Term Loan, 9.574%, (SOFR + 4.25%), 12/1/27 | 3,259 | 3,260,109 | |
MedAssets Software Intermediate Holdings, Inc.: | |||
Term Loan, 9.439%, (SOFR + 4.00%), 12/18/28 | 16,228 | 12,880,876 | |
Term Loan - Second Lien, 12.189%, (SOFR + 6.75%), 12/17/29 | 8,775 | 5,333,006 | |
Symplr Software, Inc., Term Loan, 9.983%, (SOFR + 4.50%), 12/22/27 | 12,927 | 11,367,734 | |
Verscend Holding Corp., Term Loan, 9.439%, (SOFR + 4.00%), 8/27/25 | 9,949 | 9,956,104 | |
$ 55,784,638 | |||
Hotels, Restaurants & Leisure — 3.9% | |||
1011778 B.C. Unlimited Liability Company, Term Loan, 7.574%, (SOFR + 2.25%), 9/20/30 | 32,566 | $ 32,378,688 | |
Carnival Corporation: | |||
Term Loan, 7.618%, (1 mo. EURIBOR + 3.75%), 6/30/25 | EUR | 8,790 | 9,314,571 |
Term Loan, 8.689%, (SOFR + 3.25%), 10/18/28 | 34,412 | 33,838,517 | |
ClubCorp Holdings, Inc., Term Loan, 8.19%, (1 mo. USD LIBOR + 2.75%), 9/18/26 | 19,976 | 19,584,953 | |
GVC Holdings (Gibraltar) Limited, Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 21,225 | 22,444,142 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Ontario Gaming GTA L.P., Term Loan, 9.64%, (SOFR + 4.25%), 8/1/30 | 14,925 | $ 14,931,656 | |
Oravel Stays Singapore Pte., Ltd., Term Loan, 13.908%, (SOFR + 8.25%), 6/23/26 | 5,352 | 4,736,354 | |
Playa Resorts Holding B.V., Term Loan, 9.585%, (SOFR + 4.25%), 1/5/29 | 25,396 | 25,348,164 | |
Scientific Games International, Inc., Term Loan, 8.435%, (SOFR + 3.00%), 4/14/29 | 7,406 | 7,407,576 | |
SeaWorld Parks & Entertainment, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 8/25/28 | 14,823 | 14,816,814 | |
Stars Group Holdings B.V. (The): | |||
Term Loan, 6.358%, (3 mo. EURIBOR + 2.50%), 7/21/26 | EUR | 11,225 | 11,889,896 |
Term Loan, 7.902%, (SOFR + 2.25%), 7/21/26 | 30,681 | 30,698,086 | |
$ 227,389,417 | |||
Household Durables — 1.1% | |||
ACProducts, Inc., Term Loan, 9.902%, (SOFR + 4.25%), 5/17/28 | 18,572 | $ 14,811,569 | |
Libbey Glass, Inc., Term Loan, 11.939%, (SOFR + 6.50%), 11/22/27 | 14,581 | 13,888,706 | |
Serta Simmons Bedding, LLC, Term Loan, 12.90%, (SOFR + 7.50%), 6/29/28 | 19,908 | 19,716,731 | |
Solis IV B.V., Term Loan, 8.891%, (SOFR + 3.50%), 2/26/29 | 13,718 | 12,980,501 | |
$ 61,397,507 | |||
Household Products — 0.5% | |||
Energizer Holdings, Inc., Term Loan, 7.703%, (SOFR + 2.25%), 12/22/27 | 6,034 | $ 6,030,729 | |
Kronos Acquisition Holdings, Inc.: | |||
Term Loan, 9.402%, (SOFR + 3.75%), 12/22/26 | 7,986 | 7,840,408 | |
Term Loan, 11.567%, (SOFR + 6.00%), 12/22/26 | 5,060 | 5,059,875 | |
Nobel Bidco B.V., Term Loan, 7.27%, (6 mo. EURIBOR + 3.50%), 9/1/28 | EUR | 7,950 | 7,757,637 |
$ 26,688,649 | |||
Independent Power and Renewable Electricity Producers — 0.1% | |||
Calpine Corporation: | |||
Term Loan, 7.439%, (SOFR + 2.00%), 4/5/26 | 2,301 | $ 2,302,122 | |
Term Loan, 7.939%, (SOFR + 2.50%), 12/16/27 | 4,411 | 4,412,408 | |
$ 6,714,530 | |||
Industrial Conglomerates — 0.4% | |||
Ammeraal Beltech Holding B.V., Term Loan, 8.972%, (3 mo. EURIBOR + 5.00%), 12/30/28 | EUR | 8,225 | $ 8,683,293 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Industrial Conglomerates (continued) | |||
Rain Carbon GmbH, Term Loan, 8.787%, (3 mo. EURIBOR + 5.00%), 10/31/28 | EUR | 15,625 | $ 16,450,153 |
$ 25,133,446 | |||
Insurance — 1.3% | |||
Alliant Holdings Intermediate, LLC: | |||
Term Loan, 8.835%, (SOFR + 3.50%), 11/5/27 | 3,759 | $ 3,751,580 | |
Term Loan, 8.939%, (1 mo. USD LIBOR + 3.50%), 11/5/27 | 13,165 | 13,139,057 | |
AmWINS Group, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 2/19/28 | 4,987 | 4,983,073 | |
AssuredPartners, Inc.: | |||
Term Loan, 8.824%, (SOFR + 3.50%), 2/12/27 | 5,294 | 5,254,006 | |
Term Loan, 8.939%, (SOFR + 3.50%), 2/12/27 | 9,810 | 9,741,455 | |
Financiere CEP S.A.S., Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 6/18/27 | EUR | 4,125 | 4,299,194 |
HUB International Limited, Term Loan, 9.662%, (SOFR + 4.25%), 6/20/30 | 11,372 | 11,382,003 | |
NFP Corp., Term Loan, 8.689%, (SOFR + 3.25%), 2/16/27 | 17,123 | 16,825,951 | |
USI, Inc., Term Loan, 9/27/30(10) | 4,500 | 4,484,061 | |
$ 73,860,380 | |||
Interactive Media & Services — 0.7% | |||
Adevinta ASA: | |||
Term Loan, 6.472%, (3 mo. EURIBOR + 2.50%), 6/26/28 | EUR | 5,518 | $ 5,841,755 |
Term Loan, 8.322%, (SOFR + 2.75%), 6/26/28 | 1,218 | 1,219,885 | |
Buzz Finco, LLC: | |||
Term Loan, 8.174%, (SOFR + 2.75%), 1/29/27 | 1,961 | 1,962,604 | |
Term Loan, 8.674%, (SOFR + 3.25%), 1/29/27 | 435 | 435,601 | |
Foundational Education Group, Inc., Term Loan, 9.895%, (SOFR + 4.25%), 8/31/28 | 5,136 | 4,802,131 | |
Getty Images, Inc.: | |||
Term Loan, 9.00%, (3 mo. EURIBOR + 5.00%), 2/19/26 | EUR | 2,224 | 2,348,783 |
Term Loan, 9.99%, (SOFR + 4.50%), 2/19/26 | 16,459 | 16,515,205 | |
Match Group, Inc., Term Loan, 7.298%, (SOFR + 1.75%), 2/13/27 | 6,450 | 6,431,863 | |
$ 39,557,827 | |||
IT Services — 4.5% | |||
Asurion, LLC: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 12/23/26 | 543 | $ 526,048 | |
Term Loan, 8.689%, (SOFR + 3.25%), 7/31/27 | 8,930 | 8,539,127 | |
Term Loan, 9.424%, (SOFR + 4.00%), 8/19/28 | 9,059 | 8,663,771 | |
Term Loan, 9.674%, (SOFR + 4.25%), 8/19/28 | 7,100 | 6,794,716 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
IT Services (continued) | |||
Asurion, LLC: (continued) | |||
Term Loan - Second Lien, 10.689%, (SOFR + 5.25%), 1/31/28 | 15,790 | $ 13,783,359 | |
Term Loan - Second Lien, 10.689%, (SOFR + 5.25%), 1/20/29 | 2,375 | 2,040,460 | |
Cyxtera DC Holdings, Inc.: | |||
DIP Loan, 13.951%, (SOFR + 8.50%), 12/7/23 | 10,226 | 10,296,718 | |
Term Loan, 0.00%, 5/1/24(13) | 27,147 | 15,881,174 | |
Term Loan, 0.00%, 5/1/24(13) | 9,711 | 5,705,269 | |
Endure Digital, Inc., Term Loan, 9.422%, (SOFR + 3.50%), 2/10/28 | 29,774 | 27,712,931 | |
Gainwell Acquisition Corp., Term Loan, 9.49%, (SOFR + 4.00%), 10/1/27 | 37,722 | 36,150,006 | |
Go Daddy Operating Company, LLC, Term Loan, 7.824%, (SOFR + 2.50%), 11/9/29 | 44,728 | 44,818,898 | |
Informatica, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 10/27/28 | 31,594 | 31,569,200 | |
NAB Holdings, LLC, Term Loan, 8.54%, (SOFR + 3.00%), 11/23/28 | 14,352 | 14,281,708 | |
Rackspace Technology Global, Inc., Term Loan, 8.206%, (SOFR + 2.75%), 2/15/28 | 16,263 | 7,330,724 | |
Sedgwick Claims Management Services, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 2/24/28 | 12,918 | 12,889,655 | |
team.blue Finco S.a.r.l., Term Loan, 7.105%, (1 mo. EURIBOR + 3.20%), 3/30/28 | EUR | 11,150 | 11,351,719 |
WEX, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 3/31/28 | 3,900 | 3,902,707 | |
$ 262,238,190 | |||
Leisure Products — 0.5% | |||
Amer Sports Oyj, Term Loan, 7.948%, (3 mo. EURIBOR + 4.00%), 3/30/26 | EUR | 11,925 | $ 12,531,098 |
Fender Musical Instruments Corporation, Term Loan, 9.439%, (SOFR + 4.00%), 12/1/28 | 2,262 | 2,186,802 | |
Hayward Industries, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 5/30/28 | 9,055 | 8,918,980 | |
Recess Holdings, Inc., Term Loan, 9.383%, (SOFR + 4.00%), 3/29/27 | 6,200 | 6,188,375 | |
SRAM, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 5/18/28 | 1,891 | 1,886,635 | |
$ 31,711,890 | |||
Life Sciences Tools & Services — 2.4% | |||
Avantor Funding, Inc., Term Loan, 6.368%, (1 mo. EURIBOR + 2.50%), 6/12/28 | EUR | 19,257 | $ 20,283,883 |
Cambrex Corporation, Term Loan, 8.924%, (SOFR + 3.50%), 12/4/26 | 324 | 321,652 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Life Sciences Tools & Services (continued) | |||
Catalent Pharma Solutions, Inc., Term Loan, 7.453%, (SOFR + 2.00%), 2/22/28 | 1,024 | $ 998,156 | |
Curia Global, Inc., Term Loan, 9.233%, (SOFR + 3.75%), 8/30/26(11) | 17,267 | 13,904,367 | |
ICON Luxembourg S.a.r.l., Term Loan, 7.902%, (SOFR + 2.25%), 7/3/28 | 42,949 | 43,014,785 | |
IQVIA, Inc., Term Loan, 7.402%, (SOFR + 1.75%), 1/17/25 | 12,472 | 12,515,174 | |
LGC Group Holdings, Ltd., Term Loan, 7.118%, (1 mo. EURIBOR + 3.25%), 4/21/27 | EUR | 5,775 | 5,989,412 |
Loire Finco Luxembourg S.a.r.l., Term Loan, 8.924%, (SOFR + 3.50%), 4/21/27 | 1,122 | 1,095,741 | |
PRA Health Sciences, Inc., Term Loan, 7.902%, (SOFR + 2.25%), 7/3/28 | 10,701 | 10,717,311 | |
Sotera Health Holdings, LLC, Term Loan, 8.395%, (SOFR + 2.75%), 12/11/26 | 17,828 | 17,756,828 | |
Star Parent, Inc., Term Loan, 9.386%, (3 mo. USD LIBOR + 4.00%), 9/27/30 | 14,400 | 13,780,498 | |
$ 140,377,807 | |||
Machinery — 4.1% | |||
AI Aqua Merger Sub, Inc., Term Loan, 9.082%, (SOFR + 3.75%), 7/31/28 | 21,985 | $ 21,581,519 | |
Albion Financing 3 S.a.r.l.: | |||
Term Loan, 10.883%, (SOFR + 5.50%), 8/17/26 | 3,507 | 3,505,183 | |
Term Loan, 10.924%, (SOFR + 5.25%), 8/17/26 | 3,462 | 3,461,824 | |
Ali Group North America Corporation, Term Loan, 7.439%, (SOFR + 2.00%), 7/30/29 | 15,103 | 15,106,586 | |
American Trailer World Corp., Term Loan, 9.174%, (SOFR + 3.75%), 3/3/28 | 13,302 | 12,515,345 | |
Apex Tool Group, LLC, Term Loan, 10.689%, (SOFR + 5.25%), 2/8/29 | 20,424 | 17,424,445 | |
Barnes Group, Inc., Term Loan, 8.424%, (SOFR + 3.00%), 9/3/30 | 17,375 | 17,260,985 | |
Clark Equipment Company, Term Loan, 7.99%, (SOFR + 2.50%), 4/20/29 | 10,061 | 10,083,932 | |
Conair Holdings, LLC, Term Loan, 9.189%, (SOFR + 3.75%), 5/17/28 | 24,206 | 22,496,451 | |
CPM Holdings, Inc., Term Loan, 9.827%, (SOFR + 4.50%), 9/28/28 | 4,000 | 4,003,752 | |
Delachaux Group S.A., Term Loan, 9.88%, (SOFR + 4.50%), 4/16/26 | 3,570 | 3,570,000 | |
Delachaux Group SA, Term Loan, 4/16/29(10) | EUR | 6,600 | 6,893,054 |
EMRLD Borrower, L.P., Term Loan, 8.38%, (SOFR + 3.00%), 5/31/30 | 11,275 | 11,267,953 | |
Engineered Machinery Holdings, Inc.: | |||
Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 10,658 | 11,128,697 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
Engineered Machinery Holdings, Inc.: (continued) | |||
Term Loan, 9.152%, (SOFR + 3.50%), 5/19/28 | 9,975 | $ 9,888,897 | |
Term Loan - Second Lien, 11.652%, (SOFR + 6.00%), 5/21/29 | 2,000 | 1,960,000 | |
Icebox Holdco III, Inc., Term Loan, 9.402%, (SOFR + 3.75%), 12/22/28 | 4,148 | 4,068,701 | |
INNIO Group Holding GmbH, Term Loan, 6.871%, (1 mo. EURIBOR + 3.00%), 10/31/25 | EUR | 6,125 | 6,444,409 |
Madison IAQ, LLC, Term Loan, 8.703%, (SOFR + 3.25%), 6/21/28 | 11,581 | 11,183,982 | |
Pro Mach Group, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 8/31/28 | 2,798 | 2,794,266 | |
Roper Industrial Products Investment Company, LLC: | |||
Term Loan, 8.972%, (3 mo. EURIBOR + 5.25%), 11/22/29 | EUR | 995 | 1,050,836 |
Term Loan, 9.89%, (SOFR + 4.50%), 11/22/29 | 6,431 | 6,425,376 | |
SPX Flow, Inc., Term Loan, 9.924%, (SOFR + 4.50%), 4/5/29 | 12,331 | 12,240,525 | |
TK Elevator Topco GmbH, Term Loan, 7.597%, (6 mo. EURIBOR + 3.63%), 7/30/27 | EUR | 9,725 | 10,127,638 |
Zephyr German BidCo GmbH, Term Loan, 7.833%, (3 mo. EURIBOR + 3.85%), 3/10/28 | EUR | 11,775 | 11,766,951 |
$ 238,251,307 | |||
Media — 1.3% | |||
CSC Holdings, LLC: | |||
Term Loan, 7.699%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | 15,119 | $ 14,705,074 | |
Term Loan, 7.699%, (1 mo. USD LIBOR + 2.25%), 1/15/26 | 4 | 3,944 | |
Gray Television, Inc., Term Loan, 8.429%, (SOFR + 3.00%), 12/1/28 | 1,032 | 992,481 | |
Hubbard Radio, LLC, Term Loan, 9.69%, (1 mo. USD LIBOR + 4.25%), 3/28/25 | 5,892 | 4,988,913 | |
iHeartCommunications, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 5/1/26 | 2,365 | 2,025,846 | |
Mission Broadcasting, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 6/2/28 | 3,617 | 3,622,967 | |
Nexstar Broadcasting, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 9/18/26 | 3,623 | 3,625,360 | |
Recorded Books, Inc., Term Loan, 9.324%, (SOFR + 4.00%), 8/29/25 | 5,674 | 5,672,558 | |
Sinclair Television Group, Inc.: | |||
Term Loan, 7.939%, (SOFR + 2.50%), 9/30/26 | 6,168 | 5,207,773 | |
Term Loan, 8.439%, (SOFR + 3.00%), 4/1/28 | 22,672 | 16,370,540 | |
Univision Communications, Inc., Term Loan, 8.689%, (SOFR + 3.25%), 3/15/26 | 18,188 | 18,081,151 | |
$ 75,296,607 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Metals/Mining — 1.2% | |||
Arsenal AIC Parent, LLC, Term Loan, 9.879%, (SOFR + 4.50%), 8/18/30 | 17,850 | $ 17,838,844 | |
Dynacast International, LLC: | |||
Term Loan, 10.017%, (SOFR + 4.50%), 7/22/25 | 15,181 | 14,232,560 | |
Term Loan, 14.517%, (SOFR + 9.00%), 10/22/25 | 3,034 | 2,290,521 | |
PMHC II, Inc., Term Loan, 9.807%, (SOFR + 4.25%), 4/23/29 | 16,314 | 14,882,901 | |
WireCo WorldGroup, Inc., Term Loan, 9.699%, (SOFR + 4.25%), 11/13/28 | 5,923 | 5,900,550 | |
Zekelman Industries, Inc., Term Loan, 7.449%, (SOFR + 2.00%), 1/24/27 | 15,337 | 15,324,169 | |
$ 70,469,545 | |||
Oil, Gas & Consumable Fuels — 1.1% | |||
GIP II Blue Holding, L.P., Term Loan, 9.939%, (SOFR + 4.50%), 9/29/28 | 13,586 | $ 13,621,775 | |
ITT Holdings, LLC, Term Loan, 10/5/30(10) | 8,575 | ��8,459,769 | |
Matador Bidco S.a.r.l., Term Loan, 9.924%, (SOFR + 4.50%), 10/15/26 | 29,032 | 29,099,437 | |
Oxbow Carbon, LLC, Term Loan, 9.457%, (SOFR + 4.00%), 5/10/30(11) | 5,661 | 5,657,274 | |
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 13.439%, (SOFR + 8.00%), 8/27/26 | 5,729 | 5,725,574 | |
$ 62,563,829 | |||
Pharmaceuticals — 1.8% | |||
Aenova Holding GmbH, Term Loan, 8.487%, (3 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 925 | $ 974,664 |
AI Sirona (Luxembourg) Acquisition S.a.r.l., Term Loan, 8.868%, (1 mo. EURIBOR + 5.00%), 9/30/28 | EUR | 13,000 | 13,764,932 |
Bausch Health Companies, Inc., Term Loan, 10.689%, (SOFR + 5.25%), 2/1/27 | 16,920 | 13,276,381 | |
Ceva Sante Animale: | |||
Term Loan, 11/1/30(10) | EUR | 10,300 | 10,854,600 |
Term Loan, 11/1/30(10) | 4,175 | 4,180,219 | |
Elanco Animal Health Incorporated, Term Loan, 7.165%, (SOFR + 1.75%), 8/1/27 | 4,882 | 4,775,261 | |
Jazz Financing Lux S.a.r.l., Term Loan, 8.939%, (SOFR + 3.50%), 5/5/28 | 6,996 | 7,003,664 | |
Mallinckrodt International Finance S.A.: | |||
DIP Loan, 13.439%, (SOFR + 8.00%), 8/28/24 | 1,458 | 1,517,117 | |
DIP Loan, 13.451%, (SOFR + 8.00%), 8/28/24 | 2,755 | 2,875,334 | |
Term Loan, 12.703%, (SOFR + 7.25%), 9/30/27 | 31,218 | 23,774,810 | |
Term Loan, 12.953%, (SOFR + 7.50%), 9/30/27 | 9,889 | 7,559,108 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
PharmaZell GmbH, Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 1,800 | $ 1,838,873 |
Recipharm AB, Term Loan, 6.737%, (3 mo. EURIBOR + 2.95%), 2/17/28 | EUR | 13,725 | 13,881,886 |
$ 106,276,849 | |||
Professional Services — 2.5% | |||
APFS Staffing Holdings, Inc., Term Loan, 9.324%, (SOFR + 4.00%), 12/29/28 | 3,669 | $ 3,609,502 | |
Apleona Holding GmbH, Term Loan, 6.898%, (3 mo. EURIBOR + 2.95%), 4/28/28 | EUR | 7,525 | 7,773,102 |
ASGN Incorporated, Term Loan, 7.574%, (SOFR + 2.25%), 8/30/30 | 3,850 | 3,868,649 | |
CoreLogic, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 6/2/28 | 14,099 | 12,865,523 | |
Corporation Service Company, Term Loan, 8.674%, (SOFR + 3.25%), 11/2/29 | 4,389 | 4,394,584 | |
Deerfield Dakota Holding, LLC, Term Loan, 9.14%, (SOFR + 3.75%), 4/9/27 | 9,909 | 9,589,141 | |
EAB Global, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 8/16/28 | 14,394 | 14,172,323 | |
Employbridge Holding Company, Term Loan, 10.407%, (SOFR + 4.75%), 7/19/28 | 20,600 | 17,966,724 | |
First Advantage Holdings, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 1/31/27 | 5,857 | 5,865,952 | |
Genuine Financial Holdings, LLC, Term Loan, 9.40%, (SOFR + 4.00%), 9/27/30 | 4,100 | 4,062,846 | |
Neptune Bidco US, Inc., Term Loan, 10.507%, (SOFR + 5.00%), 4/11/29 | 8,010 | 7,047,331 | |
Rockwood Service Corporation, Term Loan, 9.439%, (SOFR + 4.00%), 1/23/27 | 9,403 | 9,423,472 | |
Trans Union, LLC: | |||
Term Loan, 7.174%, (SOFR + 1.75%), 11/16/26 | 2,471 | 2,469,157 | |
Term Loan, 7.689%, (SOFR + 2.25%), 12/1/28 | 32,301 | 32,293,109 | |
Vaco Holdings, LLC, Term Loan, 10.393%, (SOFR + 5.00%), 1/21/29 | 9,136 | 8,667,313 | |
$ 144,068,728 | |||
Real Estate Management & Development — 0.8% | |||
Cushman & Wakefield U.S. Borrower, LLC: | |||
Term Loan, 8.189%, (SOFR + 2.75%), 8/21/25 | 734 | $ 733,059 | |
Term Loan, 8.674%, (SOFR + 3.25%), 1/31/30 | 6,661 | 6,377,944 | |
Term Loan, 9.324%, (SOFR + 4.00%), 1/31/30 | 6,376 | 6,088,794 | |
Greystar Real Estate Partners, LLC, Term Loan, 9.147%, (SOFR + 3.75%), 8/21/30 | 6,300 | 6,300,000 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Real Estate Management & Development (continued) | |||
Homeserve USA Holding Corp., Term Loan, 8.416%, (SOFR + 3.00%), 10/21/30 | 9,500 | $ 9,476,250 | |
RE/MAX International, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 7/21/28 | 16,251 | 15,686,217 | |
$ 44,662,264 | |||
Road & Rail — 2.2% | |||
Avis Budget Car Rental, LLC: | |||
Term Loan, 7.189%, (SOFR + 1.75%), 8/6/27 | 30,242 | $ 30,122,459 | |
Term Loan, 8.924%, (SOFR + 3.50%), 3/16/29 | 4,104 | 4,112,375 | |
Grab Holdings, Inc., Term Loan, 9.939%, (SOFR + 4.50%), 1/29/26 | 15,163 | 15,224,180 | |
Hertz Corporation (The): | |||
Term Loan, 8.691%, (SOFR + 3.25%), 6/30/28 | 17,106 | 16,991,353 | |
Term Loan, 8.691%, (SOFR + 3.25%), 6/30/28 | 3,298 | 3,275,925 | |
Uber Technologies, Inc., Term Loan, 8.159%, (SOFR + 2.75%), 3/3/30 | 58,172 | 58,215,364 | |
$ 127,941,656 | |||
Semiconductors & Semiconductor Equipment — 0.8% | |||
Altar Bidco, Inc.: | |||
Term Loan, 8.142%, (SOFR + 3.10%), 2/1/29(11) | 10,662 | $ 10,581,092 | |
Term Loan - Second Lien, 10.493%, (SOFR + 5.60%), 2/1/30 | 6,650 | 6,467,125 | |
Bright Bidco B.V., Term Loan, 14.378%, (SOFR + 9.00%), 6.378% cash, 8.00% PIK, 10/31/27 | 3,671 | 1,436,387 | |
Entegris, Inc., Term Loan, 7.89%, (SOFR + 2.50%), 7/6/29 | 1,261 | 1,263,364 | |
MaxLinear, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 6/23/28 | 2,955 | 2,911,027 | |
MKS Instruments, Inc., Term Loan, 7.819%, (SOFR + 2.50%), 8/17/29 | 17,769 | 17,662,384 | |
Synaptics Incorporated, Term Loan, 7.914%, (SOFR + 2.25%), 12/2/28 | 2,756 | 2,745,164 | |
Ultra Clean Holdings, Inc., Term Loan, 9.191%, (SOFR + 3.75%), 8/27/25 | 1,915 | 1,919,671 | |
$ 44,986,214 | |||
Software — 11.2% | |||
Applied Systems, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 9/18/26 | 43,660 | $ 43,808,392 | |
Aptean, Inc.: | |||
Term Loan, 9.674%, (SOFR + 4.25%), 4/23/26 | 10,206 | 10,197,728 | |
Term Loan - Second Lien, 12.424%, (SOFR + 7.00%), 4/23/27 | 6,550 | 6,116,062 | |
Astra Acquisition Corp.: | |||
Term Loan, 10.902%, (SOFR + 5.25%), 10/25/28 | 5,017 | 3,441,044 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Astra Acquisition Corp.: (continued) | |||
Term Loan - Second Lien, 14.527%, (SOFR + 8.88%), 10/25/29 | 20,170 | $ 10,589,329 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 1,911 | 2,019,684 |
Term Loan, 9.189%, (SOFR + 3.75%), 10/2/25 | 678 | 678,486 | |
Term Loan - Second Lien, 10.939%, (SOFR + 5.50%), 2/27/26 | 3,191 | 3,178,557 | |
Cegid Group SAS, Term Loan, 7/10/28(10) | EUR | 6,150 | 6,468,000 |
Central Parent, Inc., Term Loan, 9.406%, (SOFR + 4.00%), 7/6/29 | 19,825 | 19,742,953 | |
CentralSquare Technologies, LLC, Term Loan, 9.29%, (SOFR + 3.75%), 8/29/25 | 18,359 | 17,370,091 | |
Cloud Software Group, Inc.: | |||
Term Loan, 9.99%, (SOFR + 4.50%), 9/29/28 | 9,480 | 9,006,300 | |
Term Loan, 9.99%, (SOFR + 4.50%), 3/30/29 | 4,489 | 4,273,824 | |
Cloudera, Inc.: | |||
Term Loan, 9.174%, (SOFR + 3.75%), 10/8/28 | 17,558 | 16,935,979 | |
Term Loan - Second Lien, 11.424%, (SOFR + 6.00%), 10/8/29 | 2,950 | 2,660,531 | |
Constant Contact, Inc., Term Loan, 9.687%, (SOFR + 4.00%), 2/10/28 | 5,036 | 4,682,310 | |
Cornerstone OnDemand, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 10/16/28 | 15,465 | 14,638,108 | |
Delta TopCo, Inc., Term Loan, 9.069%, (SOFR + 3.75%), 12/1/27 | 10,916 | 10,762,710 | |
E2open, LLC, Term Loan, 8.939%, (SOFR + 3.50%), 2/4/28 | 16,175 | 15,982,547 | |
ECI Macola Max Holding, LLC, Term Loan, 9.402%, (SOFR + 3.75%), 11/9/27 | 14,207 | 14,155,479 | |
Epicor Software Corporation: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 7/30/27 | 34,598 | 34,470,475 | |
Term Loan, 9.074%, (SOFR + 3.75%), 7/30/27 | 8,650 | 8,674,869 | |
Fiserv Investment Solutions, Inc., Term Loan, 9.383%, (SOFR + 4.00%), 2/18/27 | 12,441 | 11,690,527 | |
Gen Digital, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 9/12/29 | 1,473 | 1,462,022 | |
GoTo Group, Inc., Term Loan, 10.283%, (SOFR + 4.75%), 8/31/27 | 24,160 | 15,295,988 | |
IGT Holding IV AB: | |||
Term Loan, 7.122%, (3 mo. EURIBOR + 3.15%), 3/31/28 | EUR | 6,205 | 6,406,403 |
Term Loan, 8.962%, (SOFR + 3.40%), 3/31/28 | 4,015 | 3,997,521 | |
iSolved, Inc., Term Loan, 9.484%, (SOFR + 4.00%), 10/14/30 | 5,175 | 5,184,703 | |
Ivanti Software, Inc., Term Loan, 9.907%, (SOFR + 4.25%), 12/1/27 | 3,769 | 3,359,901 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Magenta Buyer, LLC: | |||
Term Loan, 10.645%, (SOFR + 5.00%), 7/27/28 | 14,734 | $ 10,313,763 | |
Term Loan - Second Lien, 13.895%, (SOFR + 8.25%), 7/27/29 | 7,100 | 3,074,300 | |
Marcel LUX IV S.a.r.l.: | |||
Term Loan, 7.455%, (3 mo. EURIBOR + 3.50%), 3/16/26 | EUR | 8,650 | 9,146,847 |
Term Loan, 8.689%, (SOFR + 3.25%), 3/15/26 | 15,741 | 15,740,846 | |
Term Loan, 9.436%, (SOFR + 4.00%), 12/31/27 | 3,076 | 3,075,586 | |
Maverick Bidco, Inc., Term Loan, 9.283%, (SOFR + 3.75%), 5/18/28 | 10,958 | 10,727,767 | |
McAfee, LLC, Term Loan, 9.165%, (SOFR + 3.75%), 3/1/29 | 19,753 | 18,917,874 | |
Mosel Bidco SE: | |||
Term Loan, 8.691%, (3 mo. EURIBOR + 4.75%), 9/16/30 | EUR | 1,825 | 1,918,987 |
Term Loan, 10.164%, (SOFR + 4.75%), 9/16/30 | 2,575 | 2,571,781 | |
N-Able International Holdings II, LLC, Term Loan, 8.434%, (SOFR + 2.75%), 7/19/28 | 1,264 | 1,262,453 | |
Open Text Corporation, Term Loan, 8.174%, (SOFR + 2.75%), 1/31/30 | 24,532 | 24,558,657 | |
Polaris Newco, LLC: | |||
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 8,477 | 8,459,375 |
Term Loan, 9.439%, (SOFR + 4.00%), 6/2/28 | 2,942 | 2,784,596 | |
Proofpoint, Inc., Term Loan, 8.689%, (SOFR + 3.25%), 8/31/28 | 10,903 | 10,736,428 | |
Quest Software US Holdings, Inc., Term Loan, 9.783%, (SOFR + 4.25%), 2/1/29 | 17,582 | 13,996,447 | |
RealPage, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 4/24/28 | 10,718 | 10,483,087 | |
Red Planet Borrower, LLC, Term Loan, 9.174%, (SOFR + 3.75%), 10/2/28 | 15,190 | 14,224,912 | |
Redstone Holdco 2, L.P., Term Loan, 10.189%, (SOFR + 4.75%), 4/27/28 | 11,692 | 9,397,300 | |
Sabre GLBL, Inc.: | |||
Term Loan, 8.939%, (SOFR + 3.50%), 12/17/27 | 5,850 | 5,009,009 | |
Term Loan, 8.939%, (SOFR + 3.50%), 12/17/27 | 3,744 | 3,205,508 | |
Term Loan, 9.674%, (SOFR + 4.25%), 6/30/28 | 3,513 | 3,009,183 | |
Term Loan, 10.424%, (SOFR + 5.00%), 6/30/28 | 1,000 | 858,333 | |
Skillsoft Corporation, Term Loan, 10.699%, (SOFR + 5.25%), 7/14/28 | 10,339 | 9,489,232 | |
SolarWinds Holdings, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 2/5/27 | 17,189 | 17,204,748 | |
Sophia, L.P., Term Loan, 8.924%, (SOFR + 3.50%), 10/7/27 | 23,191 | 22,918,428 | |
Turing Midco, LLC, Term Loan, 7.939%, (SOFR + 2.50%), 3/24/28 | 466 | 465,408 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Ultimate Software Group, Inc. (The), Term Loan, 8.764%, (SOFR + 3.25%), 5/4/26 | 45,569 | $ 45,389,490 | |
Veritas US, Inc., Term Loan, 10.439%, (SOFR + 5.11%), 9/1/25 | 14,896 | 12,647,834 | |
Vision Solutions, Inc.: | |||
Term Loan, 9.64%, (SOFR + 4.00%), 4/24/28 | 33,319 | 31,840,455 | |
Term Loan - Second Lien, 12.791%, (SOFR + 7.25%), 4/23/29 | 1,500 | 1,332,188 | |
VS Buyer, LLC, Term Loan, 8.674%, (SOFR + 3.25%), 2/28/27 | 11,035 | 10,966,337 | |
$ 642,977,682 | |||
Specialty Retail — 2.0% | |||
Belron Luxembourg S.a.r.l., Term Loan, 6.147%, (3 mo. EURIBOR + 2.43%), 4/13/28 | EUR | 3,575 | $ 3,781,358 |
Boels Topholding B.V., Term Loan, 7.049%, (EURIBOR + 3.25%), 2/6/27(11) | EUR | 6,681 | 7,070,675 |
Etraveli Holding AB, Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 8/2/24 | EUR | 7,844 | 8,289,399 |
Great Outdoors Group, LLC, Term Loan, 9.402%, (SOFR + 3.75%), 3/6/28 | 27,320 | 27,158,016 | |
Harbor Freight Tools USA, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 10/19/27 | 17,787 | 17,588,354 | |
Hoya Midco, LLC, Term Loan, 8.633%, (SOFR + 3.25%), 2/3/29 | 2,640 | 2,640,737 | |
Les Schwab Tire Centers, Term Loan, 8.692%, (SOFR + 3.25%), 11/2/27 | 13,866 | 13,836,792 | |
LIDS Holdings, Inc., Term Loan, 11.06%, (SOFR + 5.50%), 12/14/26 | 5,020 | 4,856,396 | |
Mattress Firm, Inc., Term Loan, 9.95%, (6 mo. USD LIBOR + 4.25%), 9/25/28 | 15,867 | 15,703,325 | |
PetSmart, Inc., Term Loan, 9.174%, (SOFR + 3.75%), 2/11/28 | 12,226 | 12,104,978 | |
$ 113,030,030 | |||
Trading Companies & Distributors — 2.8% | |||
American Builders & Contractors Supply Co., Inc., Term Loan, 7.424%, (SOFR + 2.00%), 1/15/27 | 13,482 | $ 13,476,022 | |
Avolon TLB Borrower 1 (US), LLC: | |||
Term Loan, 7.689%, (SOFR + 2.25%), 12/1/27 | 14,812 | 14,831,679 | |
Term Loan, 7.839%, (SOFR + 2.50%), 6/22/28 | 26,017 | 26,049,069 | |
DXP Enterprises, Inc., Term Loan, 10.291%, (SOFR + 4.75%), 10/11/30 | 7,225 | 7,188,875 | |
Electro Rent Corporation, Term Loan, 11.002%, (SOFR + 5.50%), 11/1/24 | 15,594 | 14,657,896 | |
Park River Holdings, Inc., Term Loan, 8.907%, (SOFR + 3.25%), 12/28/27 | 6,056 | 5,739,875 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Trading Companies & Distributors (continued) | |||
Patagonia Bidco Limited, Term Loan, 10.181%, (SONIA + 5.25%), 11/1/28 | GBP | 20,400 | $ 20,781,449 |
PEARLS (Netherlands) Bidco B.V., Term Loan, 7.448%, (3 mo. EURIBOR + 3.50%), 2/26/29 | EUR | 6,000 | 6,199,143 |
Spin Holdco, Inc., Term Loan, 9.664%, (SOFR + 4.00%), 3/4/28 | 38,506 | 33,100,161 | |
SRS Distribution, Inc.: | |||
Term Loan, 8.825%, (SOFR + 3.50%), 6/2/28 | 4,986 | 4,885,217 | |
Term Loan, 8.939%, (SOFR + 3.50%), 6/2/28 | 4,256 | 4,167,106 | |
Windsor Holdings III, LLC, Term Loan, 9.815%, (SOFR + 4.50%), 8/1/30 | 10,600 | 10,580,602 | |
$ 161,657,094 | |||
Wireless Telecommunication Services — 0.4% | |||
CCI Buyer, Inc., Term Loan, 9.39%, (SOFR + 4.00%), 12/17/27 | 8,517 | $ 8,351,070 | |
Digicel International Finance Limited, Term Loan, 8.902%, (3 mo. USD LIBOR + 3.25%), 5/28/24 | 13,909 | 12,807,977 | |
$ 21,159,047 | |||
Total Senior Floating-Rate Loans (identified cost $4,984,582,462) | $4,692,860,551 |
Short-Term Investments — 2.5% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(14) | 143,913,942 | $ 143,913,942 | |
Total Short-Term Investments (identified cost $143,913,942) | $ 143,913,942 | ||
Total Investments — 98.8% (identified cost $6,124,721,829) | $5,693,053,512 | ||
Less Unfunded Loan Commitments — (0.2)% | $ (9,340,092) | ||
Net Investments — 98.6% (identified cost $6,115,381,737) | $5,683,713,420 | ||
Other Assets, Less Liabilities — 1.4% | $ 78,060,673 | ||
Net Assets — 100.0% | $5,761,774,093 |
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 October 31, 2023, the aggregate value of these securities is $775,015,279 or 13.5% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(3) | Affiliated company (see Note 7). |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(5) | Non-income producing security. |
(6) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(7) | Amount is less than 0.05%. |
(8) | When-issued security. |
(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 Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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 October 31, 2023, at which time the interest rate will be determined. |
(11) | The stated interest rate represents the weighted average interest rate at October 31, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either 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 October 31, 2023, the total value of unfunded loan commitments is $6,974,244. See Note 1F for description. |
(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) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 287,023,615 | EUR | 270,766,698 | Standard Chartered Bank | 11/2/23 | $ 525,294 | $ — |
EUR | 14,000,000 | USD | 15,040,448 | Citibank, N.A. | 11/30/23 | — | (210,457) |
EUR | 18,000,000 | USD | 19,047,411 | Standard Chartered Bank | 11/30/23 | 19,720 | — |
GBP | 3,000,000 | USD | 3,636,540 | Bank of America, N.A. | 11/30/23 | 10,400 | — |
GBP | 2,500,000 | USD | 3,120,889 | Standard Chartered Bank | 11/30/23 | — | (81,773) |
USD | 110,019,993 | EUR | 100,710,607 | Bank of America, N.A. | 11/30/23 | 3,338,752 | — |
USD | 59,582,046 | EUR | 54,562,394 | Bank of America, N.A. | 11/30/23 | 1,784,918 | — |
USD | 68,691,808 | EUR | 62,922,760 | State Street Bank and Trust Company | 11/30/23 | 2,038,668 | — |
USD | 2,567,506 | EUR | 2,352,067 | The Toronto-Dominion Bank | 11/30/23 | 75,997 | — |
USD | 761,273 | GBP | 613,244 | Standard Chartered Bank | 11/30/23 | 15,785 | — |
USD | 34,684,407 | GBP | 27,484,305 | State Street Bank and Trust Company | 11/30/23 | 1,273,207 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 286,561,635 | EUR | 270,766,698 | Standard Chartered Bank | 12/4/23 | $ — | $ (303,574) |
EUR | 12,000,000 | USD | 12,742,056 | Standard Chartered Bank | 12/29/23 | — | (9,769) |
GBP | 3,000,000 | USD | 3,658,724 | State Street Bank and Trust Company | 12/29/23 | — | (10,604) |
USD | 5,724,145 | EUR | 5,423,311 | Australia and New Zealand Banking Group Limited | 12/29/23 | — | (30,118) |
USD | 11,599,841 | EUR | 11,000,000 | Australia and New Zealand Banking Group Limited | 12/29/23 | — | (71,422) |
USD | 11,604,846 | EUR | 11,000,000 | Goldman Sachs International | 12/29/23 | — | (66,417) |
USD | 11,599,744 | EUR | 11,000,000 | State Street Bank and Trust Company | 12/29/23 | — | (71,519) |
USD | 11,791,232 | EUR | 11,184,306 | State Street Bank and Trust Company | 12/29/23 | — | (75,584) |
USD | 11,790,441 | EUR | 11,184,306 | State Street Bank and Trust Company | 12/29/23 | — | (76,375) |
$9,082,741 | $(1,007,612) |
Abbreviations: | |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Interbank Average |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $5,969,122,387) | $ 5,539,799,478 |
Affiliated investments, at value (identified cost $146,259,350) | 143,913,942 |
Cash | 35,661,964 |
Deposits for derivatives collateral — forward foreign currency exchange contracts | 5,450,000 |
Foreign currency, at value (identified cost $21,705,939) | 21,724,435 |
Interest receivable | 38,025,559 |
Dividends receivable from affiliated investments | 852,108 |
Receivable for investments sold | 98,080,389 |
Receivable for open forward foreign currency exchange contracts | 9,082,741 |
Prepaid upfront fees on notes payable | 397,460 |
Trustees' deferred compensation plan | 272,714 |
Other receivables | 2,084,589 |
Prepaid expenses | 94,315 |
Total assets | $5,895,439,694 |
Liabilities | |
Cash collateral due to broker | $ 4,680,000 |
Payable for investments purchased | 119,375,202 |
Payable for when-issued securities | 4,225,000 |
Payable for open forward foreign currency exchange contracts | 1,007,612 |
Payable to affiliates: | |
Investment adviser fee | 2,476,271 |
Trustees' fees | 9,042 |
Trustees' deferred compensation plan | 272,714 |
Accrued expenses | 1,619,760 |
Total liabilities | $ 133,665,601 |
Net Assets applicable to investors' interest in Portfolio | $5,761,774,093 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income | $ 3,060,356 |
Dividend income from affiliated investments | 8,065,316 |
Interest and other income | 563,764,152 |
Total investment income | $ 574,889,824 |
Expenses | |
Investment adviser fee | $ 32,834,212 |
Trustees’ fees and expenses | 108,500 |
Custodian fee | 1,248,549 |
Legal and accounting services | 883,742 |
Interest expense and fees | 2,410,276 |
Miscellaneous | 383,591 |
Total expenses | $ 37,868,870 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 248,686 |
Total expense reductions | $ 248,686 |
Net expenses | $ 37,620,184 |
Net investment income | $ 537,269,640 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (273,795,704) |
Foreign currency transactions | 2,065,689 |
Forward foreign currency exchange contracts | (63,594,397) |
Net realized loss | $(335,324,412) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 467,648,252 |
Investments - affiliated investments | (8,685,164) |
Foreign currency | 1,036,077 |
Forward foreign currency exchange contracts | 11,089,934 |
Net change in unrealized appreciation (depreciation) | $ 471,089,099 |
Net realized and unrealized gain | $ 135,764,687 |
Net increase in net assets from operations | $ 673,034,327 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 537,269,640 | $ 418,622,273 |
Net realized gain (loss) | (335,324,412) | 59,718,560 |
Net change in unrealized appreciation (depreciation) | 471,089,099 | (831,891,859) |
Net increase (decrease) in net assets from operations | $ 673,034,327 | $ (353,551,026) |
Capital transactions: | ||
Contributions | $ 308,512,496 | $ 2,094,290,768 |
Withdrawals | (3,320,903,248) | (2,626,390,995) |
Net decrease in net assets from capital transactions | $(3,012,390,752) | $ (532,100,227) |
Net decrease in net assets | $(2,339,356,425) | $ (885,651,253) |
Net Assets | ||
At beginning of year | $ 8,101,130,518 | $ 8,986,781,771 |
At end of year | $ 5,761,774,093 | $ 8,101,130,518 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.58% (1) | 0.54% (1) | 0.56% | 0.59% | 0.55% |
Net investment income | 8.21% | 4.39% | 3.51% | 4.17% | 5.09% |
Portfolio Turnover | 19% | 27% | 26% | 28% | 16% |
Total Return | 10.63% | (3.32)% | 7.80% | 1.18% | 1.64% |
Net assets, end of year (000’s omitted) | $5,761,774 | $8,101,131 | $8,986,782 | $5,649,501 | $7,966,641 |
(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 years ended October 31, 2023 and 2022). |
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 | $6,067,145,036 |
Gross unrealized appreciation | $ 29,989,140 |
Gross unrealized depreciation | (413,420,756) |
Net unrealized depreciation | $ (383,431,616) |
Fair Value | ||
Derivative | Asset Derivative(1) | Liability Derivative(2) |
Forward foreign currency exchange contracts | $9,082,741 | $(1,007,612) |
(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. | $ 5,134,070 | $ — | $ — | $ (4,680,000) | $ 454,070 |
Standard Chartered Bank | 560,799 | (395,116) | — | — | 165,683 |
State Street Bank and Trust Company | 3,311,875 | (234,082) | (2,058,264) | — | 1,019,529 |
The Toronto-Dominion Bank | 75,997 | — | — | — | 75,997 |
$9,082,741 | $(629,198) | $(2,058,264) | $(4,680,000) | $1,715,279 |
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) |
Australia and New Zealand Banking Group Limited | $ (101,540) | $ — | $ — | $ — | $ (101,540) |
Citibank, N.A. | (210,457) | — | — | 210,457 | — |
Goldman Sachs International | (66,417) | — | — | 60,000 | (6,417) |
Standard Chartered Bank | (395,116) | 395,116 | — | — | — |
State Street Bank and Trust Company | (234,082) | 234,082 | — | — | — |
$(1,007,612) | $629,198 | $ — | $270,457 | $(107,957) |
(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 | $(63,594,397) | $11,089,934 |
(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 | $ — | $ — | $ — | $ (8,685,164) | $ 0 | $ — | 2,577 |
Short-Term Investments | ||||||||
Liquidity Fund | 156,771,808 | 2,181,162,967 | (2,194,020,833) | — | — | 143,913,942 | 8,065,316 | 143,913,942 |
Total | $ — | $(8,685,164) | $143,913,942 | $8,065,316 |
* | 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 | $ — | $ 270,085,254 | $ — | $ 270,085,254 |
Common Stocks | 839,909 | 33,435,126 | 1,089,614 | 35,364,649 |
Corporate Bonds | — | 524,182,503 | — | 524,182,503 |
Exchange-Traded Funds | 17,700,300 | — | — | 17,700,300 |
Preferred Stocks | — | 8,946,313 | — | 8,946,313 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 4,655,307,077 | 28,213,382 | 4,683,520,459 |
Short-Term Investments | 143,913,942 | — | — | 143,913,942 |
Total Investments | $ 162,454,151 | $ 5,491,956,273 | $ 29,302,996 | $ 5,683,713,420 |
Forward Foreign Currency Exchange Contracts | $ — | $ 9,082,741 | $ — | $ 9,082,741 |
Total | $ 162,454,151 | $ 5,501,039,014 | $ 29,302,996 | $ 5,692,796,161 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (1,007,612) | $ — | $ (1,007,612) |
Total | $ — | $ (1,007,612) | $ — | $ (1,007,612) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolios Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolios Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolios Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management `Classic' (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolios Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 08/24/1984 | 08/24/1984 | (1.89)% | (0.49)% | 0.27% |
Class A with 3.25% Maximum Sales Charge | — | — | (5.16) | (1.13) | (0.06) |
Class C at NAV | 11/01/1993 | 08/24/1984 | (2.64) | (1.24) | (0.33) |
Class C with 1% Maximum Deferred Sales Charge | — | — | (3.57) | (1.24) | (0.33) |
Class I at NAV | 04/03/2009 | 08/24/1984 | (1.63) | (0.24) | 0.53 |
Class R at NAV | 08/12/2005 | 08/24/1984 | (2.17) | (0.72) | 0.02 |
ICE BofA 1-3 Year U.S. Treasury Index | — | — | 2.92% | 1.10% | 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 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $9,672 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,054,606 | N.A. |
Class R | $10,000 | 10/31/2013 | $10,021 | N.A. |
Asset Allocation (% of total investments)1 |
1 | Other represents any investment type less than 1% of total investments. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. |
Additional Information | |
Bloomberg U.S. Treasury Index measures the performance of U.S. Treasuries with a maturity of one year or more. Bloomberg U.S. Corporate Bond Index measures the performance of investment-grade U.S. corporate securities with a maturity of one year or more. Bloomberg U.S. Corporate High Yield Index measures USD-denominated, non-investment grade corporate securities. Bloomberg U.S. Asset-Backed Securities Index tracks the performance of U.S. dollar denominated investment grade, fixed rate asset-backed securities publicly issued in the U.S. domestic market. Bloomberg U.S. Mortgage-Backed Securities Index measures agency mortgage-backed pass-through securities issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). | |
Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. | |
Spread is the difference in yield between a U.S. Treasury bond and another debt security of the same maturity but different credit quality. | |
Important Notice to Shareholders | |
Effective December 31, 2023, the Fund's benchmark will change to the ICE BofA U.S. Mortgage-Backed Securities Index (the “New Benchmark”). The Fund's investment adviser believes the New Benchmark is more appropriate since the Fund does not have a duration limitation by prospectus and invests primarily in agency mortgage-backed securities. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 966.50 | $ 7.19** | 1.45% |
Class C | $1,000.00 | $ 962.60 | $10.93** | 2.21% |
Class I | $1,000.00 | $ 967.80 | $ 6.00** | 1.21% |
Class R | $1,000.00 | $ 965.00 | $ 8.37** | 1.69% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,017.90 | $ 7.38** | 1.45% |
Class C | $1,000.00 | $1,014.07 | $11.22** | 2.21% |
Class I | $1,000.00 | $1,019.11 | $ 6.16** | 1.21% |
Class R | $1,000.00 | $1,016.69 | $ 8.59** | 1.69% |
* | 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 184/365 (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 April 30, 2023. |
** | Absent an allocation of certain expenses to affiliate(s), expenses would be higher. |
Asset-Backed Securities — 3.5% |
Security | Principal Amount (000's omitted) | Value | |
ACHV ABS Trust, Series 2023-1PL, Class B, 6.80%, 3/18/30(1) | $ | 1,000 | $ 999,193 |
CFMT, LLC, Series 2023-HB12, Class M4, 4.25%, 4/25/33(1)(2) | 3,490 | 2,660,978 | |
KKR SFR Warehouse Participation, 8.825%, (30-day average SOFR + 3.50%), 12/13/23(3) | 3,008 | 3,006,306 | |
NewRez Warehouse Securitization Trust, Series 2021-1, Class E, 8.689%, (1 mo. SOFR + 3.364%), 5/25/55(1)(3) | 3,813 | 3,818,775 | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FNT1, Class A, 2.981%, 3/25/26(1) | 220 | 197,618 | |
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 2,548 | 2,297,094 | |
Pagaya AI Technology in Housing Trust, Series 2023-1, Class F, 3.60%, 10/25/40(1) | 1,000 | 634,365 | |
STAR Trust, Series 2021-SFR1, Class H, 9.90%, (1 mo. SOFR + 4.564%), 4/17/38(1)(3) | 500 | 489,499 | |
Total Asset-Backed Securities (identified cost $14,373,595) | $ 14,103,828 |
Collateralized Mortgage Obligations — 44.8% |
Security | Principal Amount (000's omitted) | Value | |
Angel Oak Mortgage Trust I, LLC, Series 2019-1, Class B1, 5.40%, 11/25/48(1)(2) | $ | 1,000 | $ 977,170 |
Brean Asset-Backed Securities Trust, Series 2023-RM6, Class A1, 5.25% to 1/25/28, 1/25/63(1)(4) | 3,881 | 3,566,682 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 1,414 | 1,237,159 | |
CFMT, LLC, Series 2023-HB11, Class M2, 4.00%, 2/25/37(1)(2) | 2,000 | 1,708,170 | |
CHNGE Mortgage Trust: | |||
Series 2022-4, Class A1, 6.00% to 9/25/24, 10/25/57(1)(4) | 3,248 | 3,163,129 | |
Series 2023-1, Class A1, 7.065% to 2/25/26, 3/25/58(1)(2) | 894 | 884,864 | |
Series 2023-2, Class A3, 7.436% to 5/25/26, 6/25/58(1)(4) | 2,907 | 2,845,402 | |
COLT Mortgage Loan Trust, Series 2020-2, Class A1, 1.853%, 3/25/65(1)(2) | 52 | 51,898 | |
Deephaven Residential Mortgage Trust, Series 2020-2, Class B2, 5.798%, 5/25/65(1)(2) | 500 | 464,485 | |
Ellington Financial Mortgage Trust, Series 2022-4, Class A3, 5.90% to 12/25/25, 9/25/67(1)(4) | 635 | 606,172 | |
FARM Mortgage Trust, Series 2023-1, Class B, 3.032%, 3/25/52(1)(2) | 3,163 | 2,087,068 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
Series 30, Class I, 7.50%, 4/25/24 | $ | 0 (5) | $ 109 |
Series 1822, Class Z, 6.90%, 3/15/26 | 43 | 43,082 | |
Series 1829, Class ZB, 6.50%, 3/15/26 | 1 | 914 | |
Series 1896, Class Z, 6.00%, 9/15/26 | 13 | 12,609 | |
Series 2075, Class PH, 6.50%, 8/15/28 | 18 | 18,563 | |
Series 2091, Class ZC, 6.00%, 11/15/28 | 55 | 54,835 | |
Series 2102, Class Z, 6.00%, 12/15/28 | 14 | 13,867 | |
Series 2115, Class K, 6.00%, 1/15/29 | 103 | 102,982 | |
Series 2142, Class Z, 6.50%, 4/15/29 | 34 | 34,089 | |
Series 4107, Class SA, 0.00%, (2.506% - 30-day average SOFR, Floor 0.00%), 9/15/42(6) | 419 | 254,600 | |
Series 4107, Class SB, 0.00%, (2.506% - 30-day average SOFR, Floor 0.00%), 9/15/42(6) | 208 | 126,569 | |
Series 4107, Class SC, 0.00%, (2.506% - 30-day average SOFR, Floor 0.00%), 9/15/42(6) | 500 | 303,512 | |
Series 4107, Class SD, 0.00%, (2.506% - 30-day average SOFR, Floor 0.00%), 9/15/42(6) | 373 | 172,749 | |
Series 4204, Class AF, 5.00%, (30-day average SOFR + 1.114%), 5/15/43(3) | 540 | 460,211 | |
Series 4212, Class NS, 0.00%, (5.263% - 30-day average SOFR x 1.20, Floor 0.00%), 6/15/43(6) | 287 | 219,056 | |
Series 4259, Class UE, 2.50%, 5/15/43 | 265 | 235,836 | |
Series 4623, Class SK, 0.00%, (3.490% - 30-day average SOFR, Floor 0.00%), 10/15/46(6) | 259 | 125,854 | |
Series 4938, Class KZ, 2.50%, 12/25/49 | 650 | 303,338 | |
Series 5009, Class ZN, 3.50%, 7/25/50 | 864 | 602,574 | |
Series 5028, Class AZ, 2.00%, 10/25/50 | 219 | 75,271 | |
Series 5028, Class TZ, 2.00%, 10/25/50 | 1,085 | 492,815 | |
Series 5031, Class Z, 2.50%, 10/25/50 | 1 | 277 | |
Series 5035, Class AZ, 2.00%, 11/25/50 | 1,106 | 446,762 | |
Series 5035, Class ZK, 2.50%, 11/25/50 | 1,231 | 625,703 | |
Series 5035, Class ZT, 2.00%, 10/25/50 | 773 | 302,638 | |
Series 5039, Class ZJ, 2.00%, 11/25/50 | 100 | 34,766 | |
Series 5040, Class TZ, 2.50%, 11/25/50 | 183 | 81,717 | |
Series 5042, Class PZ, 2.00%, 11/25/50 | 2,073 | 781,694 | |
Series 5058, Class ZH, 3.00%, 5/25/50 | 155 | 78,388 | |
Series 5071, Class CS, 0.00%, (3.30% - 30-day average SOFR, Floor 0.00%), 2/25/51(6) | 1,266 | 572,706 | |
Series 5072, Class ZU, 2.50%, 2/25/51 | 339 | 154,167 | |
Series 5083, Class ZW, 2.50%, 3/25/51 | 497 | 223,300 | |
Series 5090, Class PZ, 2.50%, 3/25/51 | 242 | 102,795 | |
Series 5093, Class Z, 3.00%, 1/25/51 | 0 (5) | 31 | |
Series 5101, Class EZ, 2.00%, 3/25/51 | 547 | 245,793 | |
Series 5104, Class WZ, 3.00%, 4/25/51 | 129 | 70,984 | |
Series 5114, Class ZH, 3.00%, 5/25/51 | 57 | 31,623 | |
Series 5123, Class JZ, 2.00%, 7/25/51 | 110 | 49,541 | |
Series 5129, Class HZ, 1.25%, 4/25/50 | 167 | 64,060 | |
Series 5129, Class TZ, 2.50%, 8/25/51 | 446 | 186,348 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: (continued) | |||
Series 5131, Class QZ, 3.00%, 7/25/51 | $ | 273 | $ 145,901 |
Series 5132, Class LZ, 2.50%, 8/25/51 | 1,003 | 474,534 | |
Series 5135, Class MZ, 2.50%, 8/25/51 | 1,942 | 980,686 | |
Series 5136, Class ZJ, 2.50%, 8/25/51 | 2,082 | 1,020,863 | |
Series 5139, Class DZ, 2.50%, 9/25/51 | 1,368 | 670,780 | |
Series 5141, Class ZJ, 2.50%, 9/25/51 | 1,792 | 879,189 | |
Series 5144, Class Z, 2.50%, 9/25/51 | 4,164 | 2,144,835 | |
Series 5148, Class AZ, 2.50%, 10/25/51 | 3,109 | 1,610,210 | |
Series 5150, Class ZJ, 2.50%, 10/25/51 | 1,702 | 874,322 | |
Series 5150, Class ZN, 2.50%, 10/25/51 | 187 | 85,793 | |
Series 5159, Class ZP, 3.00%, 11/25/51 | 430 | 230,548 | |
Series 5159, Class ZT, 3.00%, 11/25/51 | 763 | 435,334 | |
Series 5163, Class Z, 3.00%, 11/25/51 | 540 | 273,063 | |
Series 5166, Class ZN, 3.00%, 9/25/50 | 980 | 512,550 | |
Series 5168, Class MZ, 3.00%, 10/25/51 | 1,027 | 573,165 | |
Series 5300, Class EY, 6.00%, 12/25/52 | 2,000 | 1,911,729 | |
Series 5324, Class MZ, 6.00%, 7/25/53 | 3,392 | 3,013,945 | |
Series 5327, Class B, 6.00%, 8/25/53 | 2,350 | 2,242,322 | |
Interest Only:(7) | |||
Series 362, Class C12, 4.00%, 12/15/47 | 2,122 | 436,771 | |
Series 4749, Class IL, 4.00%, 12/15/47 | 763 | 152,674 | |
Series 4756, Class KI, 4.00%, 1/15/48 | 841 | 164,955 | |
Series 4768, Class IO, 4.00%, 3/15/48 | 601 | 120,540 | |
Series 4772, Class PI, 4.00%, 1/15/48 | 892 | 178,704 | |
Series 4791, Class JI, 4.00%, 5/15/48 | 1,220 | 256,145 | |
Series 4966, Class SY, 0.615%, (5.936% - 30-day average SOFR), 4/25/50(6) | 2,149 | 200,064 | |
Series 5008, Class IE, 2.00%, 9/25/50 | 4,470 | 524,133 | |
Series 5010, Class I, 2.00%, 9/25/50 | 3,353 | 395,341 | |
Series 5010, Class IN, 2.00%, 9/25/50 | 2,441 | 288,338 | |
Series 5010, Class NI, 2.00%, 9/25/50 | 2,782 | 348,698 | |
Series 5016, Class UI, 2.00%, 9/25/50 | 2,721 | 319,010 | |
Series 5017, Class DI, 2.00%, 9/25/50 | 4,761 | 558,267 | |
Series 5024, Class CI, 2.00%, 10/25/50 | 5,255 | 622,759 | |
Series 5025, Class GI, 2.00%, 10/25/50 | 1,145 | 135,233 | |
Series 5028, Class TI, 2.00%, 10/25/50 | 1,471 | 140,241 | |
Series 5038, Class DI, 2.00%, 11/25/50 | 7,368 | 870,577 | |
Series 5051, Class S, 0.00%, (3.60% - 30-day average SOFR, Floor 0.00%), 12/25/50(6) | 4,312 | 102,634 | |
Series 5070, Class CI, 2.00%, 2/25/51 | 8,100 | 1,025,699 | |
Principal Only:(8) | |||
Series 246, Class PO, 0.00%, 5/15/37 | 1,241 | 951,031 | |
Series 3435, Class PO, 0.00%, 4/15/38 | 1,174 | 896,998 | |
Series 4239, Class OU, 0.00%, 7/15/43 | 319 | 153,065 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2019-HQA3, Class B2, 12.935%, (30-day average SOFR + 7.614%), 9/25/49(1)(3) | $ | 1,000 | $ 1,089,944 |
Federal National Mortgage Association: | |||
Series 1994-40, Class Z, 6.50%, 3/25/24 | 4 | 3,846 | |
Series 1994-42, Class K, 6.50%, 4/25/24 | 17 | 17,217 | |
Series 1994-82, Class Z, 8.00%, 5/25/24 | 8 | 8,488 | |
Series 2000-49, Class A, 8.00%, 3/18/27 | 30 | 30,482 | |
Series 2001-81, Class HE, 6.50%, 1/25/32 | 170 | 172,193 | |
Series 2012-133, Class WS, 0.00%, (3.696% - 30-day average SOFR, Floor 0.00%), 12/25/42(6) | 305 | 226,545 | |
Series 2012-134, Class ZT, 2.00%, 12/25/42 | 1,309 | 994,907 | |
Series 2013-6, Class TY, 1.50%, 2/25/43 | 795 | 469,817 | |
Series 2013-58, Class SC, 0.00%, (5.828% - 30-day average SOFR x 1.50, Floor 0.00%), 6/25/43(6) | 323 | 206,774 | |
Series 2020-45, Class MA, 0.00%, (3.108% - 30-day average SOFR x 0.80, Floor 0.00%), 6/25/43(6) | 199 | 134,973 | |
Series 2020-63, Class ZN, 3.00%, 9/25/50 | 94 | 45,806 | |
Series 2021-3, Class ZH, 2.50%, 2/25/51 | 189 | 81,369 | |
Series 2021-14, Class GZ, 2.50%, 3/25/51 | 133 | 54,512 | |
Series 2021-42, Class ZD, 3.00%, 11/25/50 | 696 | 381,889 | |
Series 2021-52, Class JZ, 2.50%, 8/25/51 | 1,630 | 824,560 | |
Series 2021-56, Class LZ, 2.50%, 9/25/51 | 3,144 | 1,689,370 | |
Series 2021-66, Class JZ, 2.50%, 10/25/51 | 1,376 | 694,172 | |
Series 2021-77, Class WZ, 3.00%, 8/25/50 | 38 | 18,620 | |
Series 2021-95, Class ZC, 3.00%, 8/25/51 | 533 | 297,183 | |
Series 2023-12, Class LW, 6.00%, 4/25/53 | 2,000 | 1,911,828 | |
Series 2023-13, Class LY, 6.00%, 4/25/53 | 2,000 | 1,897,598 | |
Series 2023-14, Class EL, 6.00%, 4/25/53 | 7,000 | 6,628,833 | |
Interest Only:(7) | |||
Series 2017-66, Class TI, 0.05%, (5.936% - 30-day average SOFR), 10/25/42(6) | 12,028 | 35,017 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 2,441 | 433,885 | |
Series 2019-1, Class SA, 0.00%, (5.286% - 30-day average SOFR, Floor 0.00%), 2/25/49(6) | 1,351 | 47,609 | |
Series 2020-23, Class SP, 0.615%, (5.936% - 30-day average SOFR), 2/25/50(6) | 2,117 | 199,428 | |
Series 2020-45, Class HI, 2.50%, 7/25/50 | 3,258 | 465,550 | |
Series 2020-45, Class IJ, 2.50%, 7/25/50 | 5,210 | 719,984 | |
Series 2020-73, Class NI, 2.00%, 10/25/50 | 722 | 85,528 | |
Series 2021-3, Class KI, 2.50%, 2/25/51 | 6,920 | 975,003 | |
Series 2021-3, Class LI, 2.50%, 2/25/51 | 6,884 | 952,063 | |
Series 2021-4, Class AI, 2.00%, 12/25/49 | 9,319 | 1,071,002 | |
Series 2021-10, Class EI, 2.00%, 3/25/51 | 3,743 | 477,293 | |
Principal Only:(8) | |||
Series 379, Class 1, 0.00%, 5/25/37 | 789 | 593,985 | |
Series 2014-9, Class DO, 0.00%, 2/25/43 | 473 | 327,987 | |
Series 2014-17, Class PO, 0.00%, 4/25/44 | 1,077 | 724,491 |
Security | Principal Amount (000's omitted) | Value | |
FIGRE Trust, Series 2023-HE2, Class A, 6.512%, 5/25/53(1)(2) | $ | 1,332 | $ 1,318,292 |
Finance of America HECM Buyout, Series 2022-HB2, Class M5, 6.00%, 8/1/32(1)(2) | 1,000 | 579,677 | |
Flagstar Mortgage Trust, Series 2021-6INV, Class B3, 3.488%, 8/25/51(1)(2) | 3,131 | 2,183,877 | |
FREED Mortgage, Series 2022-HE1, Class A, 7.00%, 10/25/37(1) | 1,469 | 1,453,950 | |
Government National Mortgage Association: | |||
Series 2016-168, Class JS, 0.00%, (4.336% - 1 mo. SOFR x 1.12), 11/20/46(6) | 32 | 9,442 | |
Series 2017-137, Class AF, 5.00%, (1 mo. SOFR + 0.614%), 9/20/47(3) | 932 | 870,939 | |
Series 2020-84, Class BZ, 2.50%, 6/20/50 | 682 | 304,404 | |
Series 2021-1, Class ZD, 3.00%, 1/20/51 | 135 | 85,840 | |
Series 2021-24, Class EZ, 2.50%, 1/20/51 | 391 | 177,283 | |
Series 2021-24, Class KZ, 2.50%, 2/20/51 | 394 | 204,560 | |
Series 2021-25, Class JZ, 2.50%, 2/20/51 | 222 | 89,711 | |
Series 2021-49, Class VZ, 2.50%, 3/20/51 | 2 | 877 | |
Series 2021-77, Class ZG, 3.00%, 7/20/50 | 47 | 22,311 | |
Series 2021-97, Class MZ, 3.00%, 8/20/50 | 278 | 148,977 | |
Series 2021-97, Class ZC, 3.00%, 8/20/50 | 594 | 323,755 | |
Series 2021-105, Class MZ, 3.00%, 6/20/51 | 463 | 244,495 | |
Series 2021-114, Class JZ, 3.00%, 6/20/51 | 183 | 93,578 | |
Series 2021-118, Class EZ, 2.50%, 7/20/51 | 1,167 | 607,229 | |
Series 2021-121, Class ZE, 2.50%, 7/20/51 | 36 | 15,978 | |
Series 2021-122, Class ZL, 2.50%, 7/20/51 | 1,405 | 698,678 | |
Series 2021-131, Class ZN, 3.00%, 7/20/51 | 301 | 170,545 | |
Series 2021-136, Class WZ, 3.00%, 8/20/51 | 767 | 406,216 | |
Series 2021-136, Class Z, 2.50%, 8/20/51 | 1,914 | 965,831 | |
Series 2021-137, Class GZ, 2.50%, 8/20/51 | 2,082 | 1,186,561 | |
Series 2021-138, Class Z, 2.50%, 8/20/51 | 1,239 | 663,143 | |
Series 2021-139, Class ZJ, 2.50%, 8/20/51 | 1,705 | 983,974 | |
Series 2021-154, Class ZC, 2.50%, 9/20/51 | 886 | 451,254 | |
Series 2021-154, Class ZL, 3.00%, 9/20/51 | 476 | 228,847 | |
Series 2021-156, Class GZ, 3.00%, 9/20/51 | 1,673 | 1,051,342 | |
Series 2021-159, Class ZJ, 2.50%, 9/20/51 | 1,301 | 680,550 | |
Series 2021-159, Class ZP, 2.00%, 9/20/51 | 1,160 | 664,526 | |
Series 2021-160, Class NZ, 3.00%, 9/20/51 | 607 | 294,276 | |
Series 2021-175, Class DZ, 3.00%, 10/20/51 | 459 | 221,336 | |
Series 2021-177, Class JZ, 3.00%, 10/20/51 | 496 | 286,300 | |
Series 2021-214, Class LZ, 3.00%, 12/20/51 | 1,056 | 649,799 | |
Series 2022-173, Class S, 3.222%, (22.733% - 30-day average SOFR x 3.667), 10/20/52(6) | 1,591 | 1,413,595 | |
Series 2022-189, Class US, 3.222%, (22.733% - 30-day average SOFR x 3.667), 11/20/52(6) | 1,866 | 1,690,654 | |
Series 2022-195, Class AS, 3.436%, (23.125% - 30-day average SOFR x 3.70), 11/20/52(6) | 962 | 938,951 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
Series 2022-197, Class SW, 3.549%, (16.32% - 30-day average SOFR x 2.40), 11/20/52(6) | $ | 1,789 | $ 1,624,920 |
Series 2023-53, Class AL, 5.50%, 4/20/53 | 4,000 | 3,635,678 | |
Series 2023-53, Class SE, 3.039%, (22.55% - 30-day average SOFR x 3.667), 4/20/53(6) | 2,935 | 2,718,247 | |
Series 2023-63, Class LB, 6.00%, 5/20/53 | 3,000 | 2,844,736 | |
Series 2023-63, Class S, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(6) | 1,967 | 1,756,838 | |
Series 2023-64, Class LB, 6.00%, 5/20/53 | 1,224 | 1,160,791 | |
Series 2023-65, Class G, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(6) | 1,990 | 1,732,612 | |
Series 2023-65, Class SB, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(6) | 1,885 | 1,721,760 | |
Series 2023-66, Class S, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(6) | 985 | 909,198 | |
Series 2023-82, Class AL, 6.00%, 6/20/53 | 6,000 | 5,685,933 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 3,500 | 3,318,491 | |
Series 2023-84, Class SN, 2.858%, (22.387% - 30-day average SOFR x 3.67), 6/20/53(6) | 1,973 | 1,743,928 | |
Series 2023-96, Class BL, 6.00%, 7/20/53 | 2,500 | 2,377,691 | |
Series 2023-96, Class DB, 6.00%, 7/20/53 | 2,500 | 2,372,932 | |
Series 2023-97, Class CB, 6.00%, 7/20/53 | 3,000 | 2,900,880 | |
Series 2023-98, Class BW, 6.00%, 7/20/53 | 1,500 | 1,424,576 | |
Series 2023-98, Class JB, 6.00%, 7/20/53 | 3,000 | 2,850,502 | |
Series 2023-99, Class AL, 6.00%, 7/20/53 | 4,000 | 3,797,346 | |
Series 2023-117, Class JB, 6.00%, 8/20/53 | 2,000 | 1,900,208 | |
Series 2023-150, Class AS, 7.065%, (27.528% - 30-day average SOFR x 3.85), 10/20/53(6) | 3,000 | 3,041,652 | |
Interest Only:(7) | |||
Series 2013-66, Class IE, 0.05%, (0.05% - 1 mo. SOFR x 1.00), 7/20/42(6) | 6,622 | 14,673 | |
Series 2014-94, Class IC, 0.10%, (0.10% - 1 mo. SOFR x 1.00), 9/20/35(6) | 9,517 | 35,840 | |
Series 2014-100, Class VI, 0.15%, (0.15% - 1 mo. SOFR x 1.00), 5/20/40(6) | 3,906 | 17,481 | |
Series 2014-139, Class BI, 0.25%, (0.25% - 1 mo. SOFR x 1.00), 11/20/37(6) | 3,993 | 25,950 | |
Series 2018-127, Class SG, 0.796%, (6.136% - 1 mo. SOFR), 9/20/48(6) | 2,982 | 203,988 | |
Series 2019-27, Class SA, 0.596%, (5.936% - 1 mo. SOFR), 2/20/49(6) | 2,097 | 166,136 | |
Series 2019-38, Class SQ, 0.596%, (5.936% - 1 mo. SOFR), 3/20/49(6) | 2,584 | 191,671 | |
Series 2019-43, Class BS, 0.596%, (5.936% - 1 mo. SOFR), 4/20/49(6) | 3,493 | 280,805 | |
Series 2020-32, Class KI, 3.50%, 3/20/50 | 3,567 | 616,214 | |
Series 2020-65, Class MI, 2.50%, 12/20/49 | 2,862 | 343,313 | |
Series 2020-97, Class MI, 2.50%, 3/20/50 | 1,807 | 227,996 | |
Series 2020-146, Class IQ, 2.00%, 10/20/50 | 10,399 | 1,154,936 | |
Series 2020-146, Class QI, 2.00%, 10/20/50 | 5,533 | 605,263 | |
Series 2020-149, Class NI, 2.50%, 10/20/50 | 10,913 | 1,481,780 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2020-165, Class UI, 2.00%, 11/20/50 | $ | 4,496 | $ 516,800 |
Series 2020-167, Class KI, 2.00%, 11/20/50 | 7,068 | 785,564 | |
Series 2020-167, Class YI, 2.00%, 11/20/50 | 5,710 | 678,067 | |
Series 2020-173, Class DI, 2.00%, 11/20/50 | 8,499 | 1,027,499 | |
Series 2020-181, Class TI, 2.00%, 12/20/50 | 14,594 | 1,682,227 | |
Series 2021-23, Class TI, 2.50%, 2/20/51 | 7,017 | 913,866 | |
Series 2021-56, Class SD, 0.00%, (2.30% - 30-day average SOFR, Floor 0.00%), 9/20/50(6) | 4,426 | 42,776 | |
Series 2021-114, Class MI, 3.00%, 6/20/51 | 4,979 | 772,859 | |
Series 2021-122, Class NI, 3.00%, 7/20/51 | 3,422 | 522,378 | |
Series 2021-125, Class SA, 0.00%, (3.636% - 1 mo. SOFR, Floor 0.00%), 7/20/51(6) | 4,046 | 85,039 | |
Series 2021-131, Class QI, 3.00%, 7/20/51 | 6,602 | 836,354 | |
Series 2021-140, Class YS, 0.00%, (1.586% - 1 mo. SOFR, Floor 0.00%), 8/20/51(6) | 3,380 | 19,455 | |
Series 2021-175, Class AS, 0.00%, (1.686% - 1 mo. SOFR, Floor 0.00%), 10/20/51(6) | 17,416 | 105,318 | |
Series 2021-175, Class SB, 0.00%, (1.686% - 1 mo. SOFR, Floor 0.00%), 10/20/51(6) | 8,756 | 53,048 | |
Series 2021-193, Class IU, 3.00%, 11/20/49 | 13,996 | 1,905,460 | |
Series 2021-193, Class YS, 0.00%, (2.45% - 30-day average SOFR, Floor 0.00%), 11/20/51(6) | 8,430 | 73,487 | |
Series 2021-196, Class GI, 3.00%, 11/20/51 | 6,446 | 919,030 | |
Series 2022-119, Class CS, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(6) | 46,332 | 350,482 | |
Series 2022-126, Class AS, 0.00%, (3.69% - 30-day average SOFR, Floor 0.00%), 7/20/52(6) | 13,816 | 183,979 | |
Series 2022-135, Class SA, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 6/20/52(6) | 18,618 | 155,755 | |
Series 2023-13, Class SA, 0.079%, (5.40% - 30-day average SOFR), 1/20/53(6) | 7,339 | 134,373 | |
Series 2023-19, Class SD, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(6) | 4,776 | 251,469 | |
Series 2023-20, Class HS, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(6) | 5,098 | 273,366 | |
Series 2023-22, Class ES, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(6) | 7,703 | 413,086 | |
Series 2023-22, Class SA, 0.379%, (5.70% - 30-day average SOFR), 2/20/53(6) | 4,596 | 125,387 | |
Series 2023-24, Class SB, 0.00%, (5.15% - 30-day average SOFR, Floor 0.00%), 2/20/53(6) | 15,406 | 378,583 | |
Series 2023-24, Class SG, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(6) | 7,703 | 413,086 | |
Series 2023-32, Class SA, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(6) | 14,443 | 774,536 | |
Series 2023-38, Class LS, 0.979%, (6.30% - 30-day average SOFR), 3/20/53(6) | 4,859 | 259,960 | |
Series 2023-47, Class HS, 0.979%, (6.30% - 30-day average SOFR), 3/20/53(6) | 1,604 | 85,787 | |
Series 2023-47, Class SC, 0.929%, (6.25% - 30-day average SOFR), 3/20/53(6) | 2,424 | 126,372 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2023-89, Class SE, 0.729%, (6.05% - 30-day average SOFR), 6/20/53(6) | $ | 30,600 | $ 1,576,526 |
LHOME Mortgage Trust, Series 2023-RTL2, Class A1, 8.00% to 1/25/26, 6/25/28(1)(4) | 1,050 | 1,051,762 | |
MFRA Trust, Series 2023-NQM1, Class A2, 5.75% to 1/25/26, 11/25/67(1)(4) | 571 | 544,859 | |
PNMAC GMSR Issuer Trust, Series 2022-GT1, Class A, 9.571%, (30-day average SOFR + 4.25%), 5/25/27(1)(3) | 500 | 501,037 | |
Radnor Re, Ltd., Series 2022-1, Class M1A, 9.071%, (30-day average SOFR + 3.75%), 9/25/32(1)(3) | 3,000 | 3,054,538 | |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(2) | 8,992 | 7,016,686 | |
Total Collateralized Mortgage Obligations (identified cost $232,730,317) | $183,087,698 |
Commercial Mortgage-Backed Securities — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
CSMC Trust, Series 2022-NWPT, Class A, 8.478%, (1 mo. SOFR + 3.143%), 9/9/24(1)(3) | $ | 1,520 | $ 1,525,701 |
Total Commercial Mortgage-Backed Securities (identified cost $1,518,346) | $ 1,525,701 |
U.S. Department of Agriculture Loans — 5.3% |
Security | Principal Amount (000's omitted) | Value | |
USDA Guaranteed Loans: | |||
8.00%, (USD Prime - 0.50%), 2/16/43(3) | $ | 8,385 | $ 8,392,787 |
8.00%, (USD Prime - 0.50%), 2/16/43(3) | 2,503 | 2,505,120 | |
8.00%, (USD Prime - 0.50%), 2/16/43(3) | 10,817 | 10,828,173 | |
Total U.S. Department of Agriculture Loans (identified cost $21,705,799) | $ 21,726,080 |
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, 0.572%, 8/25/41(2) | $ | 4,754 | $ 129,437 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: | |||
Interest Only:(7) | |||
Series 2021-101, Class IO, 0.679%, 4/16/63(2) | $ | 9,057 | $ 475,965 |
Series 2021-132, Class IO, 0.726%, 4/16/63(2) | 8,743 | 478,373 | |
Series 2021-144, Class IO, 0.825%, 4/16/63(2) | 8,596 | 506,264 | |
Series 2021-186, Class IO, 0.765%, 5/16/63(2) | 9,524 | 539,203 | |
Series 2022-3, Class IO, 0.64%, 2/16/61(2) | 9,677 | 450,102 | |
Total U.S. Government Agency Commercial Mortgage-Backed Securities (identified cost $3,387,533) | $ 2,579,344 |
U.S. Government Agency Mortgage-Backed Securities — 74.1% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
4.144%, (COF + 1.254%), with maturity at 2034(9) | $ | 94 | $ 90,866 |
4.196%, (COF + 1.254%), with maturity at 2035(9) | 398 | 389,728 | |
4.50%, with maturity at 2035 | 613 | 585,182 | |
4.834%, (1 yr. CMT + 2.249%), with maturity at 2038(9) | 358 | 358,794 | |
4.88%, (1 yr. CMT + 2.238%), with maturity at 2036(9) | 400 | 400,468 | |
5.00%, with maturity at 2052(10) | 4,926 | 4,460,154 | |
5.50%, with various maturities to 2053 | 3,550 | 3,382,908 | |
6.00%, with various maturities to 2053(10) | 4,943 | 4,821,609 | |
6.50%, with various maturities to 2053 | 1,343 | 1,345,587 | |
7.00%, with various maturities to 2025 | 15 | 14,697 | |
7.50%, with maturity at 2024 | 1 | 996 | |
8.50%, with maturity at 2025 | 1 | 753 | |
9.00%, with maturity at 2027 | 1 | 1,228 | |
9.50%, with maturity at 2025 | 0 (5) | 86 | |
Federal National Mortgage Association: | |||
4.087%, (COF + 1.272%), with maturity at 2033(9) | 183 | 177,434 | |
4.114%, (COF + 1.299%), with maturity at 2033(9) | 99 | 95,871 | |
4.14%, (COF + 1.25%), with maturity at 2025(9) | 22 | 21,691 | |
4.141%, (COF + 1.296%), with maturity at 2035(9) | 105 | 101,676 | |
4.146%, (COF + 1.254%), with maturity at 2034(9) | 29 | 28,037 | |
4.186%, (COF + 1.254%), with maturity at 2035(9) | 117 | 115,646 | |
4.219%, (COF + 1.25%), with maturity at 2026(9) | 66 | 65,388 | |
4.223%, (COF + 1.254%), with maturity at 2034(9) | 148 | 142,737 | |
4.406%, (COF + 1.26%), with maturity at 2036(9) | 100 | 96,994 | |
4.465%, (COF + 1.311%), with maturity at 2036(9) | 168 | 162,340 | |
4.50%, with various maturities to 2052 | 777 | 698,345 | |
4.594%, (COF + 1.258%), with maturity at 2036(9) | 26 | 25,808 | |
4.848%, (COF + 2.352%), with maturity at 2027(9) | 61 | 60,728 | |
4.924%, (COF + 1.736%), with maturity at 2035(9) | 392 | 384,041 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
4.951%, (COF + 1.859%), with maturity at 2034(9) | $ | 196 | $ 193,037 |
5.00%, with maturity at 2027 | 21 | 21,018 | |
5.192%, (COF + 1.811%), with maturity at 2036(9) | 1,890 | 1,847,836 | |
5.286%, (1 yr. CMT + 2.095%), with maturity at 2040(9) | 180 | 180,823 | |
5.50%, with various maturities to 2052(10) | 13,800 | 13,121,556 | |
5.50%, 30-Year, TBA(11) | 19,500 | 18,510,527 | |
5.967%, (12 mo. MTA + 1.167%), with maturity at 2044(9) | 159 | 156,855 | |
6.00%, with various maturities to 2053(10) | 7,758 | 7,585,021 | |
6.50%, with various maturities to 2053 | 6,510 | 6,486,953 | |
6.50%, 30-Year, TBA(11) | 23,400 | 23,259,235 | |
6.51%, with maturity at 2025 | 7 | 6,991 | |
7.50%, with maturity at 2026 | 1 | 926 | |
8.049%, with maturity at 2030 | 1 | 655 | |
8.50%, with maturity at 2037 | 52 | 53,334 | |
9.00%, with maturity at 2025 | 8 | 7,780 | |
9.50%, with various maturities to 2030 | 3 | 2,621 | |
Government National Mortgage Association: | |||
2.75%, (1 yr. CMT + 1.50%), with maturity at 2027(9) | 38 | 36,307 | |
3.00%, (1 yr. CMT + 1.50%), with maturity at 2026(9) | 28 | 26,872 | |
3.50%, with maturity at 2050 | 453 | 386,399 | |
4.00%, with various maturities to 2049 | 1,158 | 1,023,147 | |
4.50%, with various maturities to 2049 | 443 | 402,118 | |
5.00%, with various maturities to 2052(10) | 10,271 | 9,540,926 | |
5.50%, with various maturities to 2063(10) | 43,923 | 42,009,210 | |
6.00%, with various maturities to 2063(10) | 55,392 | 54,496,924 | |
6.50%, with various maturities to 2063(10) | 35,259 | 35,268,903 | |
6.50%, 30-Year, TBA(11) | 50,862 | 50,767,666 | |
7.00%, with various maturities to 2063(10) | 17,145 | 17,442,054 | |
7.50%, with various maturities to 2053 | 2,358 | 2,389,733 | |
9.50%, with maturity at 2025 | 1 | 1,399 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $312,710,956) | $303,256,618 |
U.S. Government Guaranteed Small Business Administration Loans — 0.3%(12)(13) |
Security | Principal Amount (000's omitted) | Value | |
0.16%, 7/15/37 to 5/15/42 | $ | 524 | $ 2,238 |
0.23%, 4/15/37 to 12/15/37 | 1,334 | 7,386 | |
0.41%, 6/15/42 to 7/15/42 | 211 | 2,564 | |
0.48%, 3/15/37 to 12/15/37 | 2,290 | 26,762 | |
0.66%, 7/15/42 | 51 | 994 |
Security | Principal Amount (000's omitted) | Value | |
0.73%, 3/15/37 to 10/15/42 | $ | 1,293 | $ 23,563 |
0.91%, 5/15/42 | 447 | 12,132 | |
0.98%, 9/15/37 to 11/15/37 | 807 | 19,078 | |
1.23%, 8/15/37 to 12/15/37 | 872 | 25,885 | |
1.86%, 9/15/42 to 1/15/43 | 3,357 | 184,721 | |
1.89%, 11/15/42 | 61 | 3,384 | |
2.11%, 10/15/42 | 3,286 | 205,528 | |
2.36%, 12/15/42 | 484 | 33,890 | |
2.86%, 12/15/42 to 2/15/43 | 5,241 | 447,294 | |
3.11%, 12/15/42 | 2,755 | 256,028 | |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $4,811,924) | $ 1,251,447 |
Short-Term Investments — 1.0% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(14) | 4,120,946 | $ 4,120,946 | |
Total Short-Term Investments (identified cost $4,120,946) | $ 4,120,946 | ||
Total Purchased Swaptions — 0.3% (identified cost $381,014) | $ 1,466,235 | ||
Total Investments — 130.3% (identified cost $595,740,430) | $533,117,897 | ||
Total Written Swaptions — (0.0)%(15) (premiums received $361,610) | $ (20,933) |
TBA Sale Commitments — (16.8)% | |||
U.S. Government Agency Mortgage-Backed Securities — (16.8)% |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association, 6.00%, 30-Year, TBA(11) | $ (70,000) | $ (68,596,521) | |
Total U.S. Government Agency Mortgage-Backed Securities (proceeds $68,537,500) | $ (68,596,521) | ||
Total TBA Sale Commitments (proceeds $68,537,500) | $ (68,596,521) | ||
Other Assets, Less Liabilities — (13.5)% | $ (55,510,415) | ||
Net Assets — 100.0% | $408,990,028 |
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 October 31, 2023, the aggregate value of these securities is $49,010,044 or 12.0% of the Fund's net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at October 31, 2023. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(4) | Step coupon security. Interest rate represents the rate in effect at October 31, 2023. |
(5) | Principal amount is less than $500. |
(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 October 31, 2023. |
(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) | 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 October 31, 2023. |
(10) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(11) | 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. |
(12) | 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. |
(13) | 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. |
(14) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
(15) | Amount is less than (0.05)%. |
Purchased Interest Rate Swaptions (OTC) — 0.3% | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Option to enter into interest rate swap expiring 5/10/29 to pay 3.93% and receive SOFR | Bank of America, N.A. | USD | 48,508,668 | 5/8/24 | $ 1,466,235 |
Total | $1,466,235 |
Written Interest Rate Swaptions (OTC) — (0.0)%(1) | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Option to enter into interest rate swap expiring 5/10/29 to receive 1.93% and pay SOFR | Bank of America, N.A. | USD | (48,508,668) | 5/8/24 | $ (20,933) |
Total | $(20,933) |
(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 | 4,058 | Long | 12/29/23 | $423,965,893 | $ (3,754,826) |
U.S. 10-Year Treasury Note | 107 | Long | 12/19/23 | 11,360,390 | (442,295) |
U.S. Long Treasury Bond | (545) | Short | 12/19/23 | (59,643,438) | 2,664,811 |
U.S. Ultra-Long Treasury Bond | (107) | Short | 12/19/23 | (12,044,187) | 849,078 |
$ (683,232) |
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 | 50,000 | Receives | SOFR (pays annually) | 3.07% (pays annually) | 10/14/32 | $ 5,408,250 | $ — | $ 5,408,250 |
USD | 6,000 | Receives | SOFR (pays annually) | 3.16% (pays annually) | 1/5/33 | 728,761 | — | 728,761 |
USD | 25,000 | Receives | SOFR (pays annually) | 1.92% (pays annually) | 4/8/52 | 10,403,576 | — | 10,403,576 |
USD | 10,000 | Receives | SOFR (pays annually) | 1.89% (pays annually) | 8/3/52 | 4,079,092 | (96) | 4,078,996 |
Total | $20,619,679 | $ (96) | $20,619,583 |
Abbreviations: | |
CMT | – Constant Maturity Treasury |
COF | – Cost of Funds 11th District |
MTA | – Monthly Treasury Average |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
USD | – United States Dollar |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $591,619,484) | $ 528,996,951 |
Affiliated investments, at value (identified cost $4,120,946) | 4,120,946 |
Deposits for reverse repurchase agreements | 2,858,000 |
Deposits for forward commitment securities | 549,000 |
Deposits for derivatives collateral: | |
Futures contracts | 3,791,975 |
Centrally cleared swap contracts | 4,477,476 |
OTC options and swaptions | 1,420,000 |
Interest receivable | 2,835,423 |
Dividends receivable from affiliated investments | 44,210 |
Receivable for investments sold | 17,658,337 |
Receivable for TBA sale commitments | 68,537,500 |
Receivable for Fund shares sold | 959,618 |
Receivable for variation margin on open centrally cleared swap contracts | 472,009 |
Trustees' deferred compensation plan | 147,420 |
Total assets | $ 636,868,865 |
Liabilities | |
Cash collateral due to brokers | $ 1,699,000 |
Payable for reverse repurchase agreements, including accrued interest of $673,580 | 46,505,034 |
Written swaptions outstanding, at value (premiums received $361,610) | 20,933 |
Payable for forward commitment securities | 106,832,701 |
TBA sale commitments, at value (proceeds receivable $68,537,500) | 68,596,521 |
Payable for Fund shares redeemed | 1,542,697 |
Payable for variation margin on open futures contracts | 1,409,092 |
Distributions payable | 88,916 |
Due to custodian | 457,792 |
Payable to affiliates: | |
Investment adviser fee | 229,761 |
Distribution and service fees | 43,545 |
Trustees' fees | 2,426 |
Trustees' deferred compensation plan | 147,420 |
Other | 8,492 |
Accrued expenses | 294,507 |
Total liabilities | $ 227,878,837 |
Net Assets | $ 408,990,028 |
Sources of Net Assets | |
Paid-in capital | $ 545,679,661 |
Accumulated loss | (136,689,633) |
Net Assets | $ 408,990,028 |
Class A Shares | |
Net Assets | $ 107,555,843 |
Shares Outstanding | 21,020,443 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 5.12 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 5.29 |
Class C Shares | |
Net Assets | $ 5,941,563 |
Shares Outstanding | 1,162,968 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 5.11 |
October 31, 2023 | |
Class I Shares | |
Net Assets | $263,007,959 |
Shares Outstanding | 51,414,827 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 5.12 |
Class R Shares | |
Net Assets | $ 32,484,663 |
Shares Outstanding | 6,372,926 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 5.10 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income from affiliated investments | $ 934,472 |
Interest income | 22,719,922 |
Total investment income | $ 23,654,394 |
Expenses | |
Investment adviser fee | $ 2,754,110 |
Distribution and service fees: | |
Class A | 317,408 |
Class C | 65,181 |
Class R | 199,504 |
Trustees’ fees and expenses | 27,618 |
Custodian fee | 190,909 |
Transfer and dividend disbursing agent fees | 370,910 |
Legal and accounting services | 93,260 |
Printing and postage | 88,701 |
Registration fees | 72,300 |
Interest expense and fees | 1,481,720 |
Miscellaneous | 24,684 |
Total expenses | $ 5,686,305 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 267,713 |
Total expense reductions | $ 267,713 |
Net expenses | $ 5,418,592 |
Net investment income | $ 18,235,802 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (15,191,210) |
Written options and swaptions | 1,543,183 |
Futures contracts | (4,656,393) |
Swap contracts | 5,963,327 |
Net realized loss | $(12,341,093) |
Change in unrealized appreciation (depreciation): | |
Investments | $ (20,275,165) |
Written options and swaptions | 577,555 |
TBA sale commitments | (568,391) |
Futures contracts | (451,653) |
Swap contracts | 6,222,753 |
Net change in unrealized appreciation (depreciation) | $(14,494,901) |
Net realized and unrealized loss | $(26,835,994) |
Net decrease in net assets from operations | $ (8,600,192) |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 18,235,802 | $ 8,869,977 |
Net realized loss | (12,341,093) | (22,103,148) |
Net change in unrealized appreciation (depreciation) | (14,494,901) | (14,726,254) |
Net decrease in net assets from operations | $ (8,600,192) | $ (27,959,425) |
Distributions to shareholders: | ||
Class A | $ (6,458,487) | $ (3,116,489) |
Class C | (285,558) | (127,983) |
Class I | (13,382,177) | (4,531,585) |
Class R | (1,930,264) | (889,252) |
Total distributions to shareholders | $ (22,056,486) | $ (8,665,309) |
Tax return of capital to shareholders: | ||
Class A | $ (421,962) | $ (162,425) |
Class C | (18,768) | (6,766) |
Class I | (898,156) | (232,529) |
Class R | (124,804) | (46,695) |
Total tax return of capital to shareholders | $ (1,463,690) | $ (448,415) |
Transactions in shares of beneficial interest: | ||
Class A | $ (19,573,857) | $ (13,221,173) |
Class C | (570,960) | (3,928,416) |
Class I | 50,888,858 | 27,652,623 |
Class R | (11,035,743) | (1,802,206) |
Net increase in net assets from Fund share transactions | $ 19,708,298 | $ 8,700,828 |
Net decrease in net assets | $ (12,412,070) | $ (28,372,321) |
Net Assets | ||
At beginning of year | $ 421,402,098 | $ 449,774,419 |
At end of year | $408,990,028 | $421,402,098 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 5.510 | $ 6.030 | $ 6.180 | $ 6.070 | $ 6.100 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.226 | $ 0.121 | $ 0.118 | $ 0.073 | $ 0.134 |
Net realized and unrealized gain (loss) | (0.323) | (0.516) | (0.158) | 0.191 | 0.029 |
Total income (loss) from operations | $ (0.097) | $ (0.395) | $ (0.040) | $ 0.264 | $ 0.163 |
Less Distributions | |||||
From net investment income | $ (0.276) | $ (0.119) | $ (0.110) | $ (0.154) | $ (0.193) |
Tax return of capital | (0.017) | (0.006) | — | — | — |
Total distributions | $ (0.293) | $ (0.125) | $ (0.110) | $ (0.154) | $ (0.193) |
Net asset value — End of year | $ 5.120 | $ 5.510 | $ 6.030 | $ 6.180 | $ 6.070 |
Total Return(2) | (1.89)% (3) | (6.63)% (3) | (0.66)% (3) | 4.40% (3) | 2.71% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $107,556 | $136,321 | $163,208 | $158,552 | $138,956 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 1.38% (3)(4)(5) | 1.05% (3)(4) | 1.05% (3) | 1.11% (3)(5) | 1.26% (5) |
Net investment income | 4.18% | 2.06% | 1.91% | 1.20% | 2.21% |
Portfolio Turnover | 604% (6) | 796% (6) | 335% (6) | 180% (6) | 90% |
(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 reimbursed certain operating expenses (equal to 0.05%, 0.05%, 0.02% and 0.03% of average daily net assets for the years ended October 31, 2023, 2022, 2021 and 2020, 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 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 years ended October 31, 2023 and 2022, respectively). |
(5) | Includes interest expense, including on reverse repurchase agreements, of 0.33%, 0.03% and 0.07% of average daily net assets for the years ended October 31, 2023, 2020 and 2019, respectively. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 5.500 | $ 6.020 | $ 6.170 | $ 6.060 | $ 6.090 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.185 | $ 0.073 | $ 0.072 | $ 0.030 | $ 0.090 |
Net realized and unrealized gain (loss) | (0.323) | (0.512) | (0.158) | 0.188 | 0.027 |
Total income (loss) from operations | $(0.138) | $(0.439) | $ (0.086) | $ 0.218 | $ 0.117 |
Less Distributions | |||||
From net investment income | $ (0.236) | $ (0.077) | $ (0.064) | $ (0.108) | $ (0.147) |
Tax return of capital | (0.016) | (0.004) | — | — | — |
Total distributions | $(0.252) | $(0.081) | $ (0.064) | $ (0.108) | $ (0.147) |
Net asset value — End of year | $ 5.110 | $ 5.500 | $ 6.020 | $ 6.170 | $ 6.060 |
Total Return(2) | (2.64)% (3) | (7.34)% (3) | (1.41)% (3) | 3.63% (3) | 1.95% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 5,942 | $ 6,980 | $11,756 | $24,969 | $29,940 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 2.14% (3)(4)(5) | 1.80% (3)(4) | 1.80% (3) | 1.86% (3)(5) | 1.99% (5) |
Net investment income | 3.43% | 1.25% | 1.17% | 0.49% | 1.47% |
Portfolio Turnover | 604% (6) | 796% (6) | 335% (6) | 180% (6) | 90% |
(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 reimbursed certain operating expenses (equal to 0.05%, 0.05%, 0.02% and 0.03% of average daily net assets for the years ended October 31, 2023, 2022, 2021 and 2020, 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 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 years ended October 31, 2023 and 2022, respectively). |
(5) | Includes interest expense, including on reverse repurchase agreements, of 0.33%, 0.03% and 0.07% of average daily net assets for the years ended October 31, 2023, 2020 and 2019, respectively. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 5.510 | $ 6.030 | $ 6.170 | $ 6.060 | $ 6.100 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.240 | $ 0.133 | $ 0.133 | $ 0.085 | $ 0.149 |
Net realized and unrealized gain (loss) | (0.323) | (0.514) | (0.148) | 0.194 | 0.019 |
Total income (loss) from operations | $ (0.083) | $ (0.381) | $ (0.015) | $ 0.279 | $ 0.168 |
Less Distributions | |||||
From net investment income | $ (0.288) | $ (0.132) | $ (0.125) | $ (0.169) | $ (0.208) |
Tax return of capital | (0.019) | (0.007) | — | — | — |
Total distributions | $ (0.307) | $ (0.139) | $ (0.125) | $ (0.169) | $ (0.208) |
Net asset value — End of year | $ 5.120 | $ 5.510 | $ 6.030 | $ 6.170 | $ 6.060 |
Total Return(2) | (1.63)% (3) | (6.40)% (3) | (0.25)% (3) | 4.66% (3) | 2.80% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $263,008 | $231,855 | $222,307 | $213,869 | $118,479 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 1.15% (3)(4)(5) | 0.80% (3)(4) | 0.80% (3) | 0.85% (3)(5) | 1.01% (5) |
Net investment income | 4.45% | 2.28% | 2.17% | 1.39% | 2.44% |
Portfolio Turnover | 604% (6) | 796% (6) | 335% (6) | 180% (6) | 90% |
(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 reimbursed certain operating expenses (equal to 0.05%, 0.05%, 0.02% and 0.03% of average daily net assets for the years ended October 31, 2023, 2022, 2021 and 2020, 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 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 years ended October 31, 2023 and 2022, respectively). |
(5) | Includes interest expense, including on reverse repurchase agreements, of 0.33%, 0.03% and 0.07% of average daily net assets for the years ended October 31, 2023, 2020 and 2019, respectively. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class R | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 5.490 | $ 6.010 | $ 6.150 | $ 6.040 | $ 6.080 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.211 | $ 0.107 | $ 0.102 | $ 0.052 | $ 0.118 |
Net realized and unrealized gain (loss) | (0.323) | (0.517) | (0.148) | 0.196 | 0.019 |
Total income (loss) from operations | $ (0.112) | $ (0.410) | $ (0.046) | $ 0.248 | $ 0.137 |
Less Distributions | |||||
From net investment income | $ (0.261) | $ (0.105) | $ (0.094) | $ (0.138) | $ (0.177) |
Tax return of capital | (0.017) | (0.005) | — | — | — |
Total distributions | $ (0.278) | $ (0.110) | $ (0.094) | $ (0.138) | $ (0.177) |
Net asset value — End of year | $ 5.100 | $ 5.490 | $ 6.010 | $ 6.150 | $ 6.040 |
Total Return(2) | (2.17)% (3) | (6.90)% (3) | (0.75)% (3) | 4.15% (3) | 2.46% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $32,485 | $46,245 | $52,503 | $55,623 | $28,673 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 1.63% (3)(4)(5) | 1.30% (3)(4) | 1.30% (3) | 1.34% (3)(5) | 1.51% (5) |
Net investment income | 3.91% | 1.83% | 1.66% | 0.85% | 1.95% |
Portfolio Turnover | 604% (6) | 796% (6) | 335% (6) | 180% (6) | 90% |
(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 reimbursed certain operating expenses (equal to 0.05%, 0.05%, 0.02% and 0.03% of average daily net assets for the years ended October 31, 2023, 2022, 2021 and 2020, 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 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 years ended October 31, 2023 and 2022, respectively). |
(5) | Includes interest expense, including on reverse repurchase agreements, of 0.33%, 0.03% and 0.07% of average daily net assets for the years ended October 31, 2023, 2020 and 2019, respectively. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
(or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, if any (which are amortized over the life of the swap contract), are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Fund is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.
backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Fund may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $22,056,486 | $8,665,309 |
Tax return of capital | $ 1,463,690 | $ 448,415 |
Deferred capital losses | $ (93,280,751) |
Net unrealized depreciation | (43,319,966) |
Distributions payable | (88,916) |
Accumulated loss | $(136,689,633) |
Aggregate cost | $ 481,341,510 |
Gross unrealized appreciation | $ 27,467,158 |
Gross unrealized depreciation | (70,787,124) |
Net unrealized depreciation | $ (43,319,966) |
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) | $ 58,131,840 | $ 20,235,395 |
U.S. Government and Agency Securities | 3,164,847,061 | 3,031,931,114 |
$3,222,978,901 | $3,052,166,509 |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 2,707,482 | $ 14,657,019 | 7,105,348 | $ 42,429,186 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,176,684 | 6,325,743 | 521,328 | 3,018,284 | |
Redemptions | (7,595,272) | (40,556,619) | (9,947,575) | (58,668,643) | |
Net decrease | (3,711,106) | $ (19,573,857) | (2,320,899) | $ (13,221,173) | |
Class C | |||||
Sales | 469,207 | $ 2,541,072 | 523,893 | $ 3,108,916 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 55,781 | 299,324 | 22,768 | 131,577 | |
Redemptions | (630,489) | (3,411,356) | (1,229,831) | (7,168,909) | |
Net decrease | (105,501) | $ (570,960) | (683,170) | $ (3,928,416) |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Sales | 23,828,866 | $ 129,362,534 | 43,065,146 | $ 248,866,727 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 2,555,562 | 13,701,978 | 750,078 | 4,345,848 | |
Redemptions | (17,043,620) | (92,175,654) | (38,614,717) | (225,559,952) | |
Net increase | 9,340,808 | $ 50,888,858 | 5,200,507 | $ 27,652,623 | |
Class R | |||||
Sales | 1,495,399 | $ 8,011,009 | 6,749,117 | $ 39,539,347 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 382,788 | 2,052,268 | 162,498 | 935,762 | |
Redemptions | (3,928,294) | (21,099,020) | (7,224,766) | (42,277,315) | |
Net decrease | (2,050,107) | $ (11,035,743) | (313,151) | $ (1,802,206) |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Purchased options | $ 1,466,235(1) | $ — |
Written swaptions | — | (20,933) (2) |
Futures contracts | 3,513,889 (3) | (4,197,121) (3) |
Swap contracts (centrally cleared) | 20,619,679 (3) | — |
Total | $25,599,803 | $(4,218,054) |
Derivatives not subject to master netting or similar agreements | $24,133,568 | $(4,197,121) |
Total Derivatives subject to master netting or similar agreements | $ 1,466,235 | $ (20,933) |
(1) | Statement of Asset and Liabilities location: Unaffiliated investments, at value. |
(2) | Statement of Assets and Liabilities location: Written swaptions outstanding, at value. |
(3) | 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. | $1,466,235 | $(20,933) | $ — | $(1,420,000) | $25,302 |
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. | $(20,933) | $20,933 | $ — | $ — | $ — |
(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. |
Risk | Derivative | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
Credit | Swap contracts | $ (1,074,021)(1) | $ 696,181(2) |
Interest Rate | Purchased swaptions | (602,754) (3) | (3,419,547) (4) |
Interest Rate | Written options and swaptions | 1,543,183 (5) | 577,555 (6) |
Interest Rate | Futures contracts | (4,656,393) (7) | (451,653) (8) |
Interest Rate | Swap contracts | 7,037,348 (1) | 5,526,572 (2) |
Total | $ 2,247,363 | $ 2,929,108 |
(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 |
$144,394,000 | $12,080,000 | $59,542,000 | $76,466,000 | $113,654,000 |
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
BMO Capital Markets Corp. | 7/26/23 | On Demand(1) | 5.50% | $ 7,242,050 | $ 7,349,373 |
MUFG Securities Americas, Inc. | 7/26/23 | On Demand(1) | 5.45 | 4,536,557 | 4,603,175 |
MUFG Securities Americas, Inc. | 7/26/23 | On Demand(1) | 5.45 | 4,518,148 | 4,584,497 |
MUFG Securities Americas, Inc. | 7/26/23 | On Demand(1) | 5.45 | 3,435,191 | 3,485,636 |
MUFG Securities Americas, Inc. | 7/26/23 | On Demand(1) | 5.45 | 1,945,954 | 1,974,530 |
MUFG Securities Americas, Inc. | 7/26/23 | On Demand(1) | 5.45 | 950,902 | 964,866 |
MUFG Securities Americas, Inc. | 7/28/23 | On Demand(1) | 5.50 | 3,474,968 | 3,525,934 |
MUFG Securities Americas, Inc. | 7/28/23 | On Demand(1) | 5.50 | 3,340,573 | 3,389,568 |
MUFG Securities Americas, Inc. | 7/28/23 | On Demand(1) | 5.50 | 3,175,881 | 3,222,461 |
MUFG Securities Americas, Inc. | 7/28/23 | On Demand(1) | 5.50 | 2,811,698 | 2,852,936 |
MUFG Securities Americas, Inc. | 7/28/23 | On Demand(1) | 5.50 | 2,749,550 | 2,789,877 |
MUFG Securities Americas, Inc. | 7/28/23 | On Demand(1) | 5.50 | 2,717,046 | 2,756,896 |
MUFG Securities Americas, Inc. | 7/28/23 | On Demand(1) | 5.50 | 2,498,110 | 2,534,749 |
MUFG Securities Americas, Inc. | 7/28/23 | On Demand(1) | 5.50 | 2,434,825 | 2,470,536 |
Total | $45,831,453 | $46,505,034 |
(1) | Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Counterparty | Reverse Repurchase Agreements* | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(b) |
MUFG Securities Americas, Inc. | $ (39,155,661) | $ — | $ 39,155,661 | $ — |
BMO Capital Markets Corp. | (7,349,373) | — | 7,349,373 | — |
$(46,505,034) | $ — | $46,505,034 | $ — |
* | Including accrued interest. |
(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 | $286,442,724 | $(366,181,090) | $ — | $ — | $4,120,946 | $934,472 | 4,120,946 |
• | 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 | $ — | $ 14,103,828 | $ — | $ 14,103,828 |
Collateralized Mortgage Obligations | — | 183,087,698 | — | 183,087,698 |
Commercial Mortgage-Backed Securities | — | 1,525,701 | — | 1,525,701 |
U.S. Department of Agriculture Loans | — | 21,726,080 | — | 21,726,080 |
U.S. Government Agency Commercial Mortgage-Backed Securities | — | 2,579,344 | — | 2,579,344 |
U.S. Government Agency Mortgage-Backed Securities | — | 303,256,618 | — | 303,256,618 |
U.S. Government Guaranteed Small Business Administration Loans | — | 1,251,447 | — | 1,251,447 |
Short-Term Investments | 4,120,946 | — | — | 4,120,946 |
Purchased Interest Rate Swaptions | — | 1,466,235 | — | 1,466,235 |
Total Investments | $ 4,120,946 | $ 528,996,951 | $ — | $ 533,117,897 |
Futures Contracts | $ 3,513,889 | $ — | $ — | $ 3,513,889 |
Swap Contracts | — | 20,619,679 | — | 20,619,679 |
Total | $ 7,634,835 | $ 549,616,630 | $ — | $ 557,251,465 |
Liability Description | ||||
TBA Sale Commitments | $ — | $ (68,596,521) | $ — | $ (68,596,521) |
Written Interest Rate Swaptions | — | (20,933) | — | (20,933) |
Futures Contracts | (4,197,121) | — | — | (4,197,121) |
Total | $ (4,197,121) | $ (68,617,454) | $ — | $ (72,814,575) |
Boston, Massachusetts
December 22, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
127 funds in the Eaton Vance fund complex (including both funds and portfolios in a hub and spoke structure).
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 03/11/2004 | 08/19/1986 | 5.94% | 3.51% | 3.94% |
Class A with 3.25% Maximum Sales Charge | — | — | 2.54 | 2.81 | 3.59 |
Class C at NAV | 06/08/1994 | 08/19/1986 | 5.38 | 2.76 | 3.31 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 4.38 | 2.76 | 3.31 |
Class I at NAV | 10/01/2009 | 08/19/1986 | 6.48 | 3.77 | 4.20 |
Class R6 at NAV | 06/30/2023 | 08/19/1986 | 6.52 | 3.78 | 4.21 |
ICE BofA U.S. High Yield Index | — | — | 5.82% | 2.88% | 3.78% |
ICE BofA U.S. High Yield Constrained Index | — | — | 5.81 | 2.86 | 3.77 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
0.91% | 1.66% | 0.66% | 0.56% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $13,855 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,509,678 | N.A. |
Class R6, at minimum investment | $5,000,000 | 10/31/2013 | $7,551,012 | N.A. |
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. The breakdown assigns a numeric equivalent to the ratings from the aforementioned agencies and the mean is rounded to the nearest integer and converted to an equivalent S&P major rating category. 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. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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.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 since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. 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 | |
Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. | |
Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual* | ||||
Class A | $1,000.00 | $ 993.10 | $4.77** | 0.95% |
Class C | $1,000.00 | $ 991.90 | $8.48** | 1.69% |
Class I | $1,000.00 | $ 996.90 | $3.47** | 0.69% |
Class R6 | $1,000.00 | $ 991.70 | $2.03** | 0.60% |
Hypothetical *** | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.42 | $4.84** | 0.95% |
Class C | $1,000.00 | $1,016.69 | $8.59** | 1.69% |
Class I | $1,000.00 | $1,021.73 | $3.52** | 0.69% |
Class R6 | $1,000.00 | $1,022.18 | $3.06** | 0.60% |
* | Class R6 had not commenced operations on April 1, 2023. Actual 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 183/365 (to reflect the one-half year period); 123/365 for Class R6 (to reflect the period from the commencement of operations on June 30, 2023 to October 31, 2023). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on March 31, 2023 (June 30, 2023 for Class R6). |
** | Absent an allocation of certain expenses to affiliate(s), expenses would be higher. |
*** | Hypothetical 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 183/365 (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 March 31, 2023 (June 30, 2023 for Class R6). |
October 31, 2023 | |
Assets | |
Investment in High Income Opportunities Portfolio, at value (identified cost $888,106,670) | $ 842,192,369 |
Receivable for Fund shares sold | 6,570,382 |
Prepaid expenses | 10,575 |
Total assets | $848,773,326 |
Liabilities | |
Payable for Fund shares redeemed | $ 2,749,424 |
Distributions payable | 366,718 |
Payable to affiliates: | |
Distribution and service fees | 62,732 |
Trustees' fees | 43 |
Accrued expenses | 435,330 |
Total liabilities | $ 3,614,247 |
Net Assets | $845,159,079 |
Sources of Net Assets | |
Paid-in capital | $ 911,811,160 |
Accumulated loss | (66,652,081) |
Net Assets | $845,159,079 |
Class A Shares | |
Net Assets | $ 212,169,560 |
Shares Outstanding | 54,103,631 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 3.92 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 4.05 |
Class C Shares | |
Net Assets | $ 19,685,552 |
Shares Outstanding | 5,013,085 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 3.93 |
Class I Shares | |
Net Assets | $ 613,247,142 |
Shares Outstanding | 156,200,707 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 3.93 |
Class R6 Shares | |
Net Assets | $ 56,825 |
Shares Outstanding | 14,465 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 3.93 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $969) | $ 2,130,424 |
Interest and other income allocated from Portfolio | 49,730,340 |
Expenses allocated from Portfolio | (4,141,692) |
Total investment income from Portfolio | $47,719,072 |
Expenses | |
Distribution and service fees: | |
Class A | $ 510,170 |
Class C | 233,950 |
Trustees’ fees and expenses | 501 |
Custodian fee | 51,224 |
Transfer and dividend disbursing agent fees | 887,460 |
Legal and accounting services | 56,333 |
Printing and postage | 208,515 |
Registration fees | 132,541 |
Miscellaneous | 16,096 |
Total expenses | $ 2,096,790 |
Net investment income | $45,622,282 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ 5,790,642 |
Securities sold short | (119,236) |
Foreign currency transactions | 21,314 |
Forward foreign currency exchange contracts | (306,229) |
Net realized gain | $ 5,386,491 |
Change in unrealized appreciation (depreciation): | |
Investments | $ (7,948,261) |
Foreign currency | (545) |
Forward foreign currency exchange contracts | (118,511) |
Net change in unrealized appreciation (depreciation) | $ (8,067,317) |
Net realized and unrealized loss | $ (2,680,826) |
Net increase in net assets from operations | $42,941,456 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 45,622,282 | $ 31,560,711 |
Net realized gain (loss) | 5,386,491 | (3,209,893) |
Net change in unrealized appreciation (depreciation) | (8,067,317) | (91,169,363) |
Net increase (decrease) in net assets from operations | $ 42,941,456 | $ (62,818,545) |
Distributions to shareholders: | ||
Class A | $ (11,836,657) | $ (10,516,890) |
Class C | (1,164,176) | (1,194,748) |
Class I | (33,777,614) | (24,484,753) |
Class R6(1) | (1,093) | — |
Total distributions to shareholders | $ (46,779,540) | $ (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 | $ 24,012,527 | $ (15,056,064) |
Class C | (4,149,680) | (5,218,614) |
Class I | 145,523,571 | 60,820,323 |
Class R6(1) | 58,314 | — |
Net increase in net assets from Fund share transactions | $165,444,732 | $ 40,545,645 |
Net increase (decrease) in net assets | $161,606,648 | $ (59,652,151) |
Net Assets | ||
At beginning of year | $ 683,552,431 | $ 743,204,582 |
At end of year | $845,159,079 | $683,552,431 |
(1) | For the period from the commencement of operations, June 30, 2023, to October 31, 2023. |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 3.920 | $ 4.520 | $ 4.210 | $ 4.400 | $ 4.330 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.228 | $ 0.185 | $ 0.196 | $ 0.206 | $ 0.227 |
Net realized and unrealized gain (loss) | 0.005 (2) | (0.565) | 0.340 | (0.157) | 0.081 |
Total income (loss) from operations | $ 0.233 | $ (0.380) | $ 0.536 | $ 0.049 | $ 0.308 |
Less Distributions | |||||
From net investment income | $ (0.233) | $ (0.213) | $ (0.179) | $ (0.207) | $ (0.238) |
Tax return of capital | — | (0.007) | (0.047) | (0.032) | — |
Total distributions | $ (0.233) | $ (0.220) | $ (0.226) | $ (0.239) | $ (0.238) |
Net asset value — End of year | $ 3.920 | $ 3.920 | $ 4.520 | $ 4.210 | $ 4.400 |
Total Return(3) | 5.94% | (8.59)% | 12.93% | 1.26% | 7.31% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $212,170 | $188,765 | $233,330 | $226,927 | $269,795 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses | 0.95% (5) | 0.91% (5) | 0.90% | 0.93% | 0.91% |
Net investment income | 5.66% | 4.39% | 4.39% | 4.87% | 5.22% |
Portfolio Turnover of the Portfolio | 29% | 19% | 64% | 67% | 32% |
(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) | 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 years ended October 31, 2023 and 2022, respectively). |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 3.920 | $ 4.520 | $ 4.210 | $ 4.400 | $ 4.330 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.197 | $ 0.153 | $ 0.162 | $ 0.174 | $ 0.195 |
Net realized and unrealized gain (loss) | 0.015 (2) | (0.566) | 0.341 | (0.159) | 0.080 |
Total income (loss) from operations | $ 0.212 | $ (0.413) | $ 0.503 | $ 0.015 | $ 0.275 |
Less Distributions | |||||
From net investment income | $ (0.202) | $ (0.181) | $ (0.153) | $ (0.178) | $ (0.205) |
Tax return of capital | — | (0.006) | (0.040) | (0.027) | — |
Total distributions | $ (0.202) | $ (0.187) | $ (0.193) | $ (0.205) | $ (0.205) |
Net asset value — End of year | $ 3.930 | $ 3.920 | $ 4.520 | $ 4.210 | $ 4.400 |
Total Return(3) | 5.38% | (9.31)% | 12.09% | 0.45% | 6.49% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $19,686 | $23,724 | $32,926 | $37,680 | $55,246 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses | 1.70% (5) | 1.66% (5) | 1.65% | 1.68% | 1.67% |
Net investment income | 4.89% | 3.62% | 3.64% | 4.12% | 4.50% |
Portfolio Turnover of the Portfolio | 29% | 19% | 64% | 67% | 32% |
(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) | 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 years ended October 31, 2023 and 2022, respectively). |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 3.920 | $ 4.520 | $ 4.220 | $ 4.410 | $ 4.340 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.238 | $ 0.196 | $ 0.208 | $ 0.216 | $ 0.238 |
Net realized and unrealized gain (loss) | 0.015 (2) | (0.565) | 0.329 | (0.156) | 0.081 |
Total income (loss) from operations | $ 0.253 | $ (0.369) | $ 0.537 | $ 0.060 | $ 0.319 |
Less Distributions | |||||
From net investment income | $ (0.243) | $ (0.224) | $ (0.188) | $ (0.217) | $ (0.249) |
Tax return of capital | — | (0.007) | (0.049) | (0.033) | — |
Total distributions | $ (0.243) | $ (0.231) | $ (0.237) | $ (0.250) | $ (0.249) |
Net asset value — End of year | $ 3.930 | $ 3.920 | $ 4.520 | $ 4.220 | $ 4.410 |
Total Return(3) | 6.48% | (8.36)% | 12.93% | 1.52% | 7.57% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $613,247 | $471,064 | $476,949 | $534,500 | $549,842 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses | 0.70% (5) | 0.66% (5) | 0.65% | 0.68% | 0.66% |
Net investment income | 5.91% | 4.65% | 4.65% | 5.10% | 5.47% |
Portfolio Turnover of the Portfolio | 29% | 19% | 64% | 67% | 32% |
(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) | 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 years ended October 31, 2023 and 2022, respectively). |
Class R6 | |
Period Ended October 31, 2023(1) | |
Net asset value — Beginning of period | $ 4.050 |
Income (Loss) From Operations | |
Net investment income(2) | $ 0.084 |
Net realized and unrealized loss | (0.116) |
Total loss from operations | $(0.032) |
Less Distributions | |
From net investment income | $ (0.088) |
Total distributions | $(0.088) |
Net asset value — End of period | $ 3.930 |
Total Return(3) | (0.83)% (4) |
Ratios/Supplemental Data | |
Net assets, end of period (000’s omitted) | $ 57 |
Ratios (as a percentage of average daily net assets):(5) | |
Expenses | 0.60% (6)(7) |
Net investment income | 6.18% (6) |
Portfolio Turnover of the Portfolio | 29% (8) |
(1) | For the period from the commencement of operations, June 30, 2023, to October 31, 2023. |
(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 0.01% of average daily net assets for the period ended October 31, 2023). |
(8) | For the year ended October 31, 2023. |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $46,779,540 | $36,196,391 |
Tax return of capital | $ — | $ 1,182,860 |
Deferred capital losses | $ (8,332,712) |
Net unrealized depreciation | (57,952,651) |
Distributions payable | (366,718) |
Accumulated loss | $(66,652,081) |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 25,909,705 | $ 104,607,632 | 12,855,827 | $ 54,485,167 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 2,452,890 | 9,865,718 | 2,136,365 | 8,927,869 | |
Redemptions | (22,445,803) | (90,460,823) | (18,460,061) | (78,469,100) | |
Net increase (decrease) | 5,916,792 | $ 24,012,527 | (3,467,869) | $ (15,056,064) | |
Class C | |||||
Sales | 1,473,897 | $ 5,930,345 | 1,179,357 | $ 4,855,528 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 273,882 | 1,104,020 | 277,417 | 1,162,686 | |
Redemptions | (2,784,572) | (11,184,045) | (2,691,624) | (11,236,828) | |
Net decrease | (1,036,793) | $ (4,149,680) | (1,234,850) | $ (5,218,614) | |
Class I | |||||
Sales | 96,969,296 | $ 390,540,736 | 59,543,964 | $ 249,072,640 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 7,887,486 | 31,778,945 | 5,662,096 | 23,620,177 | |
Redemptions | (68,760,238) | (276,796,110) | (50,556,729) | (211,872,494) | |
Net increase | 36,096,544 | $ 145,523,571 | 14,649,331 | $ 60,820,323 | |
Class R6(1) | |||||
Sales | 14,194 | $ 57,225 | — | $ — | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 272 | 1,092 | — | — | |
Redemptions | (1) | (3) | — | — | |
Net increase | 14,465 | $ 58,314 | — | $ — |
(1) | For the period from the commencement of operations, June 30, 2023, to October 31, 2023. |
Boston, Massachusetts
December 22, 2023
Asset-Backed Securities — 1.7% |
Security | Principal Amount (000's omitted) | Value | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 12.094%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | $ | 2,000 | $ 1,822,554 |
Atlas Senior Loan Fund XX, Ltd., Series 2022-20A, Class B1, 8.547%, (3 mo. SOFR + 3.15%), 10/19/35(1)(2) | 2,500 | 2,514,620 | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 12.006%, (3 mo. SOFR + 6.612%), 7/15/32(1)(2) | 1,000 | 958,782 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.506%, (3 mo. SOFR + 7.112%), 1/15/35(1)(2) | 2,000 | 1,896,804 | |
Canyon Capital CLO, Ltd., Series 2022-1A, Class E, 11.803%, (3 mo. SOFR + 6.40%), 4/15/35(1)(2) | 2,000 | 1,811,636 | |
Carlyle US CLO, Ltd., Series 2019-4A, Class DR, 11.994%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 2,000 | 1,772,646 | |
Golub Capital Partners CLO 50B-R, Ltd., Series 2020-50A, Class ER, 12.516%, (3 mo. SOFR + 7.10%), 4/20/35(1)(2) | 2,000 | 1,843,070 | |
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 12.257%, (3 mo. SOFR + 6.862%), 1/18/34(1)(2) | 2,000 | 1,868,022 | |
Madison Park Funding XXXVII, Ltd., Series 2019-37A, Class ER, 11.806%, (3 mo. SOFR + 6.412%), 7/15/33(1)(2) | 1,000 | 970,182 | |
Wellfleet CLO, Ltd.: | |||
Series 2021-2A, Class E, 12.616%, (3 mo. SOFR + 7.222%), 7/15/34(1)(2) | 2,000 | 1,657,774 | |
Series 2021-3A, Class E, 12.756%, (3 mo. SOFR + 7.362%), 1/15/35(1)(2) | 2,000 | 1,684,756 | |
Total Asset-Backed Securities (identified cost $20,415,091) | $ 18,800,846 |
Common Stocks — 0.5% |
Security | Shares | Value | |
Diversified Media — 0.1% | |||
National CineMedia, Inc.(3) | 214,423 | $ 838,394 | |
$ 838,394 | |||
Energy — 0.1% | |||
Ascent CNR Corp., Class A(3)(4)(5) | 6,273,462 | $ 1,380,162 | |
$ 1,380,162 | |||
Environmental — 0.3% | |||
GFL Environmental, Inc. | 105,500 | $ 3,040,510 | |
$ 3,040,510 |
Security | Shares | Value | |
Gaming — 0.0% | |||
New Cotai Participation Corp., Class B(3)(4)(5) | 7 | $ 0 | |
$ 0 | |||
Leisure — 0.0% | |||
iFIT Health and Fitness, Inc.(3)(4)(5) | 514,080 | $ 0 | |
$ 0 | |||
Total Common Stocks (identified cost $4,989,091) | $ 5,259,066 |
Convertible Bonds — 0.8% |
Security | Principal Amount (000's omitted) | Value | |
Containers — 0.3% | |||
CryoPort, Inc., 0.75%, 12/1/26(1) | $ | 4,643 | $ 3,659,151 |
$ 3,659,151 | |||
Leisure — 0.2% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26 | $ | 3,289 | $ 2,442,332 |
$ 2,442,332 | |||
Utility — 0.3% | |||
NextEra Energy Partners, L.P., 2.50%, 6/15/26(1) | $ | 3,136 | $ 2,718,912 |
$ 2,718,912 | |||
Total Convertible Bonds (identified cost $9,641,016) | $ 8,820,395 |
Corporate Bonds — 86.0% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace — 2.9% | |||
Bombardier, Inc.: | |||
7.125%, 6/15/26(1) | 2,033 | $ 1,958,605 | |
7.875%, 4/15/27(1) | 1,357 | 1,307,263 | |
BWX Technologies, Inc.: | |||
4.125%, 6/30/28(1) | 1,501 | 1,322,569 | |
4.125%, 4/15/29(1) | 1,016 | 869,853 | |
Moog, Inc., 4.25%, 12/15/27(1) | 2,796 | 2,492,378 | |
Rolls-Royce PLC, 5.75%, 10/15/27(1) | 4,991 | 4,735,510 | |
Science Applications International Corp., 4.875%, 4/1/28(1) | 3,792 | 3,387,722 |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace (continued) | |||
Spirit AeroSystems, Inc.: | |||
4.60%, 6/15/28 | 1,081 | $ 856,256 | |
9.375%, 11/30/29(1) | 403 | 414,357 | |
TransDigm, Inc.: | |||
4.625%, 1/15/29 | 1,677 | 1,447,871 | |
5.50%, 11/15/27 | 3,914 | 3,647,709 | |
6.25%, 3/15/26(1) | 4,436 | 4,337,985 | |
6.75%, 8/15/28(1) | 3,504 | 3,406,706 | |
7.50%, 3/15/27 | 1,705 | 1,704,669 | |
$ 31,889,453 | |||
Air Transportation — 1.0% | |||
American Airlines, Inc., 7.25%, 2/15/28(1) | 908 | $ 845,368 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(1) | 2,317 | 2,255,121 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 1,156 | 1,073,473 | |
4.625%, 4/15/29(1) | 1,799 | 1,521,240 | |
VistaJet Malta Finance PLC/Vista Management Holding, Inc.: | |||
6.375%, 2/1/30(1) | 5,300 | 3,540,201 | |
9.50%, 6/1/28(1) | 1,892 | 1,451,650 | |
$ 10,687,053 | |||
Automotive & Auto Parts — 2.7% | |||
Ford Motor Co.: | |||
3.25%, 2/12/32 | 6,249 | $ 4,721,331 | |
4.75%, 1/15/43 | 2,651 | 1,844,822 | |
6.10%, 8/19/32 | 2,830 | 2,619,743 | |
7.45%, 7/16/31 | 794 | 801,866 | |
9.625%, 4/22/30 | 350 | 390,652 | |
Ford Motor Credit Co., LLC: | |||
2.90%, 2/16/28 | 568 | 483,774 | |
3.37%, 11/17/23 | 881 | 880,744 | |
3.625%, 6/17/31 | 2,065 | 1,633,519 | |
3.815%, 11/2/27 | 4,294 | 3,832,800 | |
4.00%, 11/13/30 | 1,461 | 1,204,620 | |
4.125%, 8/17/27 | 6,184 | 5,621,057 | |
4.271%, 1/9/27 | 752 | 696,569 | |
5.584%, 3/18/24 | 403 | 401,522 | |
Goodyear Tire & Rubber Co. (The), 5.00%, 7/15/29 | 1,995 | 1,718,758 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(1) | 2,806 | 2,234,937 | |
Wheel Pros, Inc., 6.50%, 5/15/29(1) | 2,705 | 823,775 | |
$ 29,910,489 |
Security | Principal Amount* (000's omitted) | Value | |
Banking & Thrifts — 0.2% | |||
JPMorgan Chase & Co., Series HH, 4.60% to 2/1/25(6)(7) | 2,385 | $ 2,227,980 | |
$ 2,227,980 | |||
Broadcasting — 0.6% | |||
Audacy Capital Corp., 6.75%, 3/31/29(1)(8) | 2,316 | $ 39,418 | |
Playtika Holding Corp., 4.25%, 3/15/29(1) | 2,349 | 1,896,958 | |
Townsquare Media, Inc., 6.875%, 2/1/26(1) | 2,038 | 1,885,727 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 1,183 | 941,673 | |
7.375%, 6/30/30(1) | 1,804 | 1,590,214 | |
$ 6,353,990 | |||
Building Materials — 2.2% | |||
AmeriTex HoldCo Intermediate, LLC, 10.25%, 10/15/28(1) | 3,920 | $ 3,711,260 | |
Builders FirstSource, Inc.: | |||
4.25%, 2/1/32(1) | 3,014 | 2,402,315 | |
5.00%, 3/1/30(1) | 2,685 | 2,346,133 | |
MIWD Holdco II, LLC/MIWD Finance Corp., 5.50%, 2/1/30(1) | 2,234 | 1,775,382 | |
PGT Innovations, Inc., 4.375%, 10/1/29(1) | 3,160 | 2,953,020 | |
Smyrna Ready Mix Concrete, LLC, 6.00%, 11/1/28(1) | 5,000 | 4,627,634 | |
Standard Industries, Inc.: | |||
2.25%, 11/21/26(9) | EUR | 2,443 | 2,274,736 |
3.375%, 1/15/31(1) | 863 | 654,069 | |
4.375%, 7/15/30(1) | 2,932 | 2,398,325 | |
5.00%, 2/15/27(1) | 690 | 638,551 | |
$ 23,781,425 | |||
Cable & Satellite TV — 1.8% | |||
CCO Holdings, LLC/CCO Holdings Capital Corp.: | |||
4.50%, 8/15/30(1) | 5,982 | $ 4,804,535 | |
4.50%, 5/1/32 | 2,500 | 1,915,755 | |
4.75%, 3/1/30(1) | 4,255 | 3,516,131 | |
4.75%, 2/1/32(1) | 1,825 | 1,426,292 | |
5.00%, 2/1/28(1) | 1,895 | 1,703,060 | |
5.375%, 6/1/29(1) | 868 | 760,923 | |
6.375%, 9/1/29(1) | 3,715 | 3,403,527 | |
DISH Network Corp., 11.75%, 11/15/27(1) | 2,454 | 2,432,871 | |
$ 19,963,094 | |||
Capital Goods — 1.6% | |||
Calderys Financing, LLC, 11.25%, 6/1/28(1) | 2,992 | $ 3,021,920 | |
Chart Industries, Inc., 9.50%, 1/1/31(1) | 4,038 | 4,163,885 |
Security | Principal Amount* (000's omitted) | Value | |
Capital Goods (continued) | |||
Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/29(1) | 3,255 | $ 2,564,207 | |
Emerald Debt Merger Sub, LLC, 6.625%, 12/15/30(1) | 748 | 712,470 | |
Madison IAQ, LLC, 5.875%, 6/30/29(1) | 4,701 | 3,646,920 | |
Patrick Industries, Inc.: | |||
4.75%, 5/1/29(1) | 3,142 | 2,556,016 | |
7.50%, 10/15/27(1) | 415 | 395,750 | |
$ 17,061,168 | |||
Chemicals — 3.1% | |||
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(1) | 2,220 | $ 1,502,067 | |
Avient Corp., 7.125%, 8/1/30(1) | 3,581 | 3,449,081 | |
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 5,435 | 5,124,662 | |
Herens Holdco S.a.r.l., 4.75%, 5/15/28(1) | 2,171 | 1,683,682 | |
Herens Midco S.a.r.l., 5.25%, 5/15/29(9) | EUR | 3,000 | 1,808,025 |
NOVA Chemicals Corp.: | |||
4.25%, 5/15/29(1) | 2,428 | 1,798,057 | |
4.875%, 6/1/24(1) | 2,442 | 2,402,498 | |
Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30(1) | 3,643 | 3,164,382 | |
Olympus Water US Holding Corp., 9.75%, 11/15/28(1) | 4,100 | 4,009,599 | |
SNF Group SACA: | |||
2.625%, 2/1/29(9) | EUR | 2,960 | 2,745,278 |
2.625%, 2/1/29(1) | EUR | 250 | 231,865 |
Valvoline, Inc., 3.625%, 6/15/31(1) | 2,654 | 2,020,848 | |
W.R. Grace Holdings, LLC: | |||
4.875%, 6/15/27(1) | 1,829 | 1,645,383 | |
7.375%, 3/1/31(1) | 2,211 | 2,051,565 | |
$ 33,636,992 | |||
Consumer Products — 1.1% | |||
Acushnet Co., 7.375%, 10/15/28(1) | 1,620 | $ 1,624,512 | |
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(1) | 1,545 | 1,478,086 | |
Edgewell Personal Care Co., 4.125%, 4/1/29(1) | 2,936 | 2,459,238 | |
Energizer Gamma Acquisition B.V., 3.50%, 6/30/29(9) | EUR | 2,600 | 2,178,829 |
Spectrum Brands, Inc., 3.875%, 3/15/31(1) | 1,773 | 1,421,006 | |
Tempur Sealy International, Inc., 3.875%, 10/15/31(1) | 3,954 | 2,966,206 | |
$ 12,127,877 | |||
Containers — 2.0% | |||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC: | |||
3.00%, 9/1/29(9) | EUR | 1,150 | $ 901,138 |
4.00%, 9/1/29(1) | 2,256 | 1,695,100 |
Security | Principal Amount* (000's omitted) | Value | |
Containers (continued) | |||
Ball Corp.: | |||
3.125%, 9/15/31 | 3,800 | $ 2,946,704 | |
6.875%, 3/15/28 | 989 | 987,119 | |
Berry Global, Inc., 5.625%, 7/15/27(1) | 2,026 | 1,936,050 | |
Canpack S.A./Canpack US, LLC, 3.875%, 11/15/29(1) | 3,826 | 3,008,460 | |
Crown Americas, LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/26 | 2,415 | 2,285,797 | |
Owens-Brockway Glass Container, Inc., 7.25%, 5/15/31(1) | 4,733 | 4,336,611 | |
Sealed Air Corp./Sealed Air Corp. US, 6.125%, 2/1/28(1) | 467 | 445,081 | |
Trivium Packaging Finance B.V.: | |||
5.50%, 8/15/26(1) | 2,613 | 2,372,797 | |
8.50%, 8/15/27(1) | 1,500 | 1,253,883 | |
$ 22,168,740 | |||
Diversified Financial Services — 3.2% | |||
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 3,011 | $ 3,027,922 | |
Ally Financial, Inc., Series B, 4.70% to 5/15/26(6)(7) | 3,182 | 2,075,376 | |
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(1) | 3,714 | 3,282,006 | |
Compass Group Diversified Holdings, LLC, 5.25%, 4/15/29(1) | 3,332 | 2,848,787 | |
GTCR W-2 Merger Sub, LLC, 7.50%, 1/15/31(1) | 2,784 | 2,751,288 | |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(1) | 3,591 | 3,064,108 | |
Jefferson Capital Holdings, LLC, 6.00%, 8/15/26(1) | 3,288 | 2,874,820 | |
Macquarie Airfinance Holdings, Ltd., 8.125%, 3/30/29(1) | 1,695 | 1,671,278 | |
MSCI, Inc.: | |||
3.625%, 9/1/30(1) | 867 | 718,422 | |
3.875%, 2/15/31(1) | 2,176 | 1,798,208 | |
Oxford Finance, LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/1/27(1) | 2,769 | 2,526,159 | |
PRA Group, Inc., 7.375%, 9/1/25(1) | 1,906 | 1,784,064 | |
PROG Holdings, Inc., 6.00%, 11/15/29(1) | 1,660 | 1,408,809 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: | |||
2.875%, 10/15/26(1) | 2,036 | 1,774,801 | |
3.625%, 3/1/29(1) | 3,127 | 2,545,388 | |
4.00%, 10/15/33(1) | 425 | 312,872 | |
$ 34,464,308 | |||
Diversified Media — 1.7% | |||
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(1) | 1,226 | $ 1,016,757 | |
6.125%, 12/1/28(1) | 4,809 | 3,889,111 |
Security | Principal Amount* (000's omitted) | Value | |
Diversified Media (continued) | |||
Cars.com, Inc., 6.375%, 11/1/28(1) | 3,521 | $ 3,137,616 | |
Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28(1) | 4,167 | 3,189,923 | |
Match Group Holdings II, LLC, 3.625%, 10/1/31(1) | 4,396 | 3,377,842 | |
Stagwell Global, LLC, 5.625%, 8/15/29(1) | 2,447 | 2,025,235 | |
Urban One, Inc., 7.375%, 2/1/28(1) | 2,139 | 1,760,751 | |
$ 18,397,235 | |||
Energy — 9.5% | |||
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(1) | 3,039 | $ 3,021,283 | |
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: | |||
5.75%, 3/1/27(1) | 3,242 | 3,101,711 | |
7.875%, 5/15/26(1) | 1,283 | 1,293,345 | |
Callon Petroleum Co.: | |||
7.50%, 6/15/30(1) | 1,157 | 1,121,884 | |
8.00%, 8/1/28(1) | 3,002 | 2,969,943 | |
Cheniere Energy Partners, L.P.: | |||
4.00%, 3/1/31 | 2,552 | 2,139,217 | |
4.50%, 10/1/29 | 1,896 | 1,699,134 | |
Chord Energy Corp., 6.375%, 6/1/26(1) | 1,560 | 1,533,082 | |
Civitas Resources, Inc., 8.625%, 11/1/30(1) | 971 | 989,338 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.00%, 5/1/29(1) | 2,637 | 2,489,592 | |
CVR Energy, Inc., 5.75%, 2/15/28(1) | 4,038 | 3,631,797 | |
DT Midstream, Inc., 4.125%, 6/15/29(1) | 2,690 | 2,315,455 | |
Energy Transfer, L.P., 5.00%, 5/15/50 | 2,087 | 1,566,217 | |
EQM Midstream Partners, L.P.: | |||
4.50%, 1/15/29(1) | 2,111 | 1,853,344 | |
4.75%, 1/15/31(1) | 2,377 | 2,004,055 | |
6.00%, 7/1/25(1) | 410 | 401,348 | |
6.50%, 7/1/27(1) | 1,121 | 1,090,704 | |
7.50%, 6/1/30(1) | 1,881 | 1,847,501 | |
Kinetik Holdings, L.P., 5.875%, 6/15/30(1) | 4,659 | 4,279,429 | |
Nabors Industries, Ltd., 7.50%, 1/15/28(1) | 1,118 | 988,424 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 5,066 | 5,020,019 | |
New Fortress Energy, Inc., 6.50%, 9/30/26(1) | 3,895 | 3,492,361 | |
Occidental Petroleum Corp.: | |||
8.50%, 7/15/27 | 3,859 | 4,115,180 | |
8.875%, 7/15/30 | 3,417 | 3,797,620 | |
Parkland Corp.: | |||
4.50%, 10/1/29(1) | 2,371 | 2,041,621 | |
4.625%, 5/1/30(1) | 2,389 | 2,039,238 |
Security | Principal Amount* (000's omitted) | Value | |
Energy (continued) | |||
Permian Resources Operating, LLC: | |||
5.875%, 7/1/29(1) | 4,333 | $ 4,036,844 | |
7.00%, 1/15/32(1) | 2,551 | 2,475,383 | |
7.75%, 2/15/26(1) | 1,675 | 1,675,306 | |
Plains All American Pipeline, L.P., Series B, 9.736%, (3 mo. SOFR + 4.372%)(2)(6) | 4,050 | 3,826,088 | |
Precision Drilling Corp.: | |||
6.875%, 1/15/29(1) | 1,307 | 1,211,436 | |
7.125%, 1/15/26(1) | 1,095 | 1,079,966 | |
Seadrill Finance, Ltd., 8.375%, 8/1/30(1) | 1,026 | 1,027,447 | |
Southwestern Energy Co.: | |||
4.75%, 2/1/32 | 2,583 | 2,223,853 | |
5.375%, 2/1/29(9) | 2,500 | 1,864,575 | |
Sunoco, L.P./Sunoco Finance Corp., 4.50%, 4/30/30 | 2,000 | 1,710,338 | |
Superior Plus, L.P./Superior General Partner, Inc., 4.50%, 3/15/29(1) | 2,921 | 2,494,432 | |
Transocean Poseidon, Ltd., 6.875%, 2/1/27(1) | 1,162 | 1,139,584 | |
Transocean, Inc., 8.75%, 2/15/30(1) | 1,275 | 1,272,223 | |
Venture Global Calcasieu Pass, LLC: | |||
3.875%, 11/1/33(1) | 1,117 | 845,254 | |
4.125%, 8/15/31(1) | 1,449 | 1,166,491 | |
Venture Global LNG, Inc.: | |||
8.125%, 6/1/28(1) | 2,233 | 2,169,552 | |
8.375%, 6/1/31(1) | 3,572 | 3,411,260 | |
9.50%, 2/1/29(1) | 2,297 | 2,335,050 | |
9.875%, 2/1/32(1) | 2,312 | 2,345,787 | |
Vital Energy, Inc., 9.75%, 10/15/30 | 2,151 | 2,110,102 | |
Weatherford International, Ltd., 8.625%, 4/30/30(1) | 2,338 | 2,364,662 | |
Western Midstream Operating, L.P.: | |||
4.50%, 3/1/28 | 224 | 207,075 | |
4.75%, 8/15/28 | 224 | 208,591 | |
$ 104,044,141 | |||
Entertainment & Film — 0.3% | |||
Cinemark USA, Inc.: | |||
5.25%, 7/15/28(1) | 3,166 | $ 2,737,220 | |
5.875%, 3/15/26(1) | 588 | 558,925 | |
8.75%, 5/1/25(1) | 247 | 249,846 | |
$ 3,545,991 | |||
Environmental — 1.7% | |||
Clean Harbors, Inc.: | |||
4.875%, 7/15/27(1) | 1,029 | $ 960,356 | |
5.125%, 7/15/29(1) | 1,117 | 1,005,909 | |
6.375%, 2/1/31(1) | 585 | 556,734 |
Security | Principal Amount* (000's omitted) | Value | |
Environmental (continued) | |||
Covanta Holding Corp.: | |||
4.875%, 12/1/29(1) | 5,189 | $ 4,055,411 | |
5.00%, 9/1/30 | 804 | 623,652 | |
GFL Environmental, Inc.: | |||
3.50%, 9/1/28(1) | 5,074 | 4,350,400 | |
3.75%, 8/1/25(1) | 669 | 633,491 | |
4.75%, 6/15/29(1) | 7,293 | 6,391,674 | |
$ 18,577,627 | |||
Food & Drug Retail — 0.9% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC: | |||
4.875%, 2/15/30(1) | 2,492 | $ 2,227,687 | |
5.875%, 2/15/28(1) | 1,807 | 1,732,685 | |
Arko Corp., 5.125%, 11/15/29(1) | 4,001 | 3,248,332 | |
Ingles Markets, Inc., 4.00%, 6/15/31(1) | 3,410 | 2,715,110 | |
$ 9,923,814 | |||
Food, Beverage & Tobacco — 2.3% | |||
BellRing Brands, Inc., 7.00%, 3/15/30(1) | 3,553 | $ 3,454,511 | |
Chobani, LLC/Chobani Finance Corp., Inc.: | |||
4.625%, 11/15/28(1) | 1,650 | 1,428,152 | |
7.50%, 4/15/25(1) | 3,194 | 3,140,465 | |
Darling Ingredients, Inc., 6.00%, 6/15/30(1) | 3,482 | 3,270,118 | |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(1) | 2,154 | 2,029,046 | |
Performance Food Group, Inc.: | |||
4.25%, 8/1/29(1) | 4,485 | 3,789,042 | |
5.50%, 10/15/27(1) | 1,504 | 1,407,931 | |
6.875%, 5/1/25(1) | 890 | 886,409 | |
Pilgrim's Pride Corp., 3.50%, 3/1/32 | 3,553 | 2,711,081 | |
US Foods, Inc., 4.75%, 2/15/29(1) | 3,511 | 3,100,572 | |
$ 25,217,327 | |||
Gaming — 3.0% | |||
Allwyn Entertainment Financing UK PLC, 7.875%, 4/30/29(1) | 3,554 | $ 3,521,872 | |
Caesars Entertainment, Inc.: | |||
4.625%, 10/15/29(1) | 784 | 645,108 | |
6.25%, 7/1/25(1) | 4,206 | 4,141,574 | |
7.00%, 2/15/30(1) | 1,535 | 1,482,838 | |
8.125%, 7/1/27(1) | 2,617 | 2,595,224 | |
CDI Escrow Issuer, Inc., 5.75%, 4/1/30(1) | 3,852 | 3,445,401 | |
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 1,303 | 1,096,364 |
Security | Principal Amount* (000's omitted) | Value | |
Gaming (continued) | |||
International Game Technology PLC: | |||
4.125%, 4/15/26(1) | 1,237 | $ 1,165,155 | |
6.25%, 1/15/27(1) | 1,848 | 1,802,727 | |
6.50%, 2/15/25(1) | 1,009 | 1,003,161 | |
Jacobs Entertainment, Inc., 6.75%, 2/15/29(1) | 3,759 | 3,198,420 | |
Light & Wonder International, Inc., 7.00%, 5/15/28(1) | 2,834 | 2,765,243 | |
MGM Resorts International: | |||
4.75%, 10/15/28 | 2,206 | 1,926,938 | |
5.50%, 4/15/27 | 779 | 727,494 | |
Raptor Acquisition Corp./Raptor Co.-Issuer, LLC, 4.875%, 11/1/26(1) | 3,500 | 3,260,302 | |
$ 32,777,821 | |||
Healthcare — 8.9% | |||
AHP Health Partners, Inc., 5.75%, 7/15/29(1) | 1,193 | $ 979,382 | |
athenahealth Group, Inc., 6.50%, 2/15/30(1) | 3,988 | 3,262,467 | |
Avantor Funding, Inc., 3.875%, 7/15/28(9) | EUR | 4,400 | 4,265,731 |
Bausch & Lomb Escrow Corp., 8.375%, 10/1/28(1) | 2,780 | 2,764,710 | |
Catalent Pharma Solutions, Inc., 3.50%, 4/1/30(1) | 3,895 | 3,061,353 | |
Centene Corp.: | |||
3.00%, 10/15/30 | 2,015 | 1,596,460 | |
3.375%, 2/15/30 | 2,589 | 2,143,043 | |
4.625%, 12/15/29 | 507 | 453,329 | |
Encompass Health Corp.: | |||
4.625%, 4/1/31 | 2,543 | 2,119,772 | |
4.75%, 2/1/30 | 1,044 | 903,315 | |
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(1)(8) | 1,153 | 775,393 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo US, Inc., 6.125%, 4/1/29(1)(8) | 2,774 | 1,833,767 | |
Fortrea Holdings, Inc., 7.50%, 7/1/30(1) | 3,977 | 3,842,776 | |
Grifols Escrow Issuer S.A., 4.75%, 10/15/28(1) | 4,906 | 4,125,259 | |
HealthEquity, Inc., 4.50%, 10/1/29(1) | 5,695 | 4,885,452 | |
Heartland Dental, LLC/Heartland Dental Finance Corp., 10.50%, 4/30/28(1) | 6,200 | 5,966,756 | |
IQVIA, Inc.: | |||
2.25%, 3/15/29(9) | EUR | 1,816 | 1,618,694 |
5.00%, 5/15/27(1) | 1,329 | 1,251,684 | |
6.50%, 5/15/30(1) | 1,662 | 1,614,218 | |
Jazz Securities DAC, 4.375%, 1/15/29(1) | 1,910 | 1,662,719 | |
Legacy LifePoint Health, LLC, 4.375%, 2/15/27(1) | 587 | 485,936 | |
LifePoint Health, Inc.: | |||
5.375%, 1/15/29(1) | 4,397 | 2,668,246 | |
9.875%, 8/15/30(1) | 1,665 | 1,506,825 | |
Medline Borrower, L.P., 5.25%, 10/1/29(1) | 7,014 | 5,977,378 |
Security | Principal Amount* (000's omitted) | Value | |
Healthcare (continued) | |||
ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29(1) | 1,586 | $ 1,157,463 | |
ModivCare, Inc., 5.875%, 11/15/25(1) | 2,104 | 1,990,510 | |
Molina Healthcare, Inc.: | |||
3.875%, 11/15/30(1) | 2,889 | 2,359,720 | |
3.875%, 5/15/32(1) | 2,207 | 1,736,808 | |
Option Care Health, Inc., 4.375%, 10/31/29(1) | 4,735 | 3,962,615 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(1) | 3,054 | 2,054,288 | |
Perrigo Finance Unlimited Co.: | |||
4.65%, 6/15/30 | 4,350 | 3,637,505 | |
4.90%, 12/15/44 | 1,242 | 849,731 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(1) | 1,328 | 1,243,022 | |
Team Health Holdings, Inc., 6.375%, 2/1/25(1) | 3,962 | 3,143,728 | |
Tenet Healthcare Corp.: | |||
4.375%, 1/15/30 | 272 | 230,322 | |
5.125%, 11/1/27 | 2,855 | 2,638,269 | |
6.125%, 10/1/28 | 3,985 | 3,699,594 | |
6.875%, 11/15/31 | 1,683 | 1,553,580 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(1) | 5,799 | 4,939,265 | |
Varex Imaging Corp., 7.875%, 10/15/27(1) | 2,282 | 2,239,336 | |
$ 97,200,421 | |||
Homebuilders & Real Estate — 3.4% | |||
Ashton Woods USA, LLC/Ashton Woods Finance Co.: | |||
4.625%, 8/1/29(1) | 1,516 | $ 1,228,181 | |
4.625%, 4/1/30(1) | 780 | 604,717 | |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(1) | 1,227 | 1,161,392 | |
CTR Partnership, L.P./CareTrust Capital Corp., 3.875%, 6/30/28(1) | 3,770 | 3,171,665 | |
Cushman & Wakefield US Borrower, LLC, 8.875%, 9/1/31(1) | 1,762 | 1,672,217 | |
Dycom Industries, Inc., 4.50%, 4/15/29(1) | 1,923 | 1,661,626 | |
Greystar Real Estate Partners, LLC, 7.75%, 9/1/30(1) | 3,748 | 3,687,339 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 2,442 | 2,152,216 | |
3.75%, 9/15/30(1) | 3,492 | 2,510,515 | |
KB Home: | |||
4.00%, 6/15/31 | ��� 162 | 126,697 | |
4.80%, 11/15/29 | 1,044 | 905,780 | |
M/I Homes, Inc., 4.95%, 2/1/28 | 1,537 | 1,376,129 | |
MGM Growth Properties Operating Partnership, L.P./MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 585 | 581,081 | |
National Health Investors, Inc., 3.00%, 2/1/31 | 3,117 | 2,248,943 |
Security | Principal Amount* (000's omitted) | Value | |
Homebuilders & Real Estate (continued) | |||
Outfront Media Capital, LLC/Outfront Media Capital Corp.: | |||
4.625%, 3/15/30(1) | 1,687 | $ 1,355,445 | |
6.25%, 6/15/25(1) | 2,319 | 2,289,340 | |
TopBuild Corp., 4.125%, 2/15/32(1) | 2,753 | 2,181,546 | |
VICI Properties, L.P./VICI Note Co., Inc.: | |||
3.75%, 2/15/27(1) | 543 | 489,107 | |
4.125%, 8/15/30(1) | 1,859 | 1,535,357 | |
4.625%, 12/1/29(1) | 4,004 | 3,467,145 | |
5.625%, 5/1/24(1) | 2,505 | 2,490,218 | |
$ 36,896,656 | |||
Hotels — 0.2% | |||
Resorts World Las Vegas, LLC/RWLV Capital, Inc.: | |||
4.625%, 4/16/29(9) | 500 | $ 384,525 | |
4.625%, 4/6/31(9) | 1,000 | 706,095 | |
8.45%, 7/27/30(1) | 1,300 | 1,199,924 | |
$ 2,290,544 | |||
Insurance — 1.3% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 4,758 | $ 4,349,430 | |
AmWINS Group, Inc., 4.875%, 6/30/29(1) | 2,466 | 2,113,972 | |
BroadStreet Partners, Inc., 5.875%, 4/15/29(1) | 4,700 | 4,101,887 | |
Jones DesLauriers Insurance Management, Inc., 10.50%, 12/15/30(1) | 3,252 | 3,230,675 | |
$ 13,795,964 | |||
Leisure — 3.4% | |||
Boyne USA, Inc., 4.75%, 5/15/29(1) | 3,617 | $ 3,152,602 | |
Carnival Corp., 5.75%, 3/1/27(1) | 3,536 | 3,159,547 | |
Life Time, Inc.: | |||
5.75%, 1/15/26(1) | 1,452 | 1,407,515 | |
8.00%, 4/15/26(1) | 3,220 | 3,142,173 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 5/15/28(1) | 1,430 | 1,376,813 | |
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 764 | 696,905 | |
NCL Corp., Ltd.: | |||
3.625%, 12/15/24(1) | 842 | 797,139 | |
5.875%, 3/15/26(1) | 2,292 | 2,059,110 | |
5.875%, 2/15/27(1) | 946 | 871,714 | |
7.75%, 2/15/29(1) | 1,792 | 1,565,446 | |
NCL Finance, Ltd., 6.125%, 3/15/28(1) | 1,732 | 1,449,826 | |
Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27(1) | 3,713 | 4,030,610 | |
SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29(1) | 4,227 | 3,686,367 |
Security | Principal Amount* (000's omitted) | Value | |
Leisure (continued) | |||
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(1) | 2,674 | $ 2,389,313 | |
Viking Cruises, Ltd.: | |||
5.875%, 9/15/27(1) | 4,354 | 3,926,459 | |
6.25%, 5/15/25(1) | 1,820 | 1,780,155 | |
7.00%, 2/15/29(1) | 753 | 682,101 | |
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29(1) | 521 | 462,304 | |
$ 36,636,099 | |||
Metals & Mining — 1.8% | |||
Eldorado Gold Corp., 6.25%, 9/1/29(1) | 2,968 | $ 2,548,650 | |
First Quantum Minerals, Ltd.: | |||
6.875%, 3/1/26(1) | 1,448 | 1,274,240 | |
7.50%, 4/1/25(1) | 1,695 | 1,592,519 | |
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 2,400 | 1,977,912 | |
Hudbay Minerals, Inc.: | |||
4.50%, 4/1/26(1) | 2,459 | 2,291,172 | |
6.125%, 4/1/29(1) | 2,069 | 1,853,943 | |
New Gold, Inc., 7.50%, 7/15/27(1) | 983 | 923,337 | |
Novelis Corp.: | |||
3.25%, 11/15/26(1) | 1,755 | 1,564,200 | |
4.75%, 1/30/30(1) | 2,548 | 2,164,639 | |
Roller Bearing Co. of America, Inc., 4.375%, 10/15/29(1) | 3,847 | 3,267,103 | |
$ 19,457,715 | |||
Paper — 0.3% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 4,583 | $ 3,224,576 | |
$ 3,224,576 | |||
Publishing & Printing — 0.6% | |||
LABL, Inc.: | |||
5.875%, 11/1/28(1) | 767 | $ 650,509 | |
8.25%, 11/1/29(1) | 2,037 | 1,516,292 | |
McGraw-Hill Education, Inc.: | |||
5.75%, 8/1/28(1) | 1,405 | 1,185,679 | |
8.00%, 8/1/29(1) | 3,566 | 2,943,020 | |
$ 6,295,500 | |||
Railroad — 0.4% | |||
Watco Cos., LLC/Watco Finance Corp., 6.50%, 6/15/27(1) | 4,400 | $ 4,104,295 | |
$ 4,104,295 |
Security | Principal Amount* (000's omitted) | Value | |
Restaurant — 1.5% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.: | |||
3.875%, 1/15/28(1) | 1,761 | $ 1,573,749 | |
4.00%, 10/15/30(1) | 4,616 | 3,785,015 | |
5.75%, 4/15/25(1) | 581 | 576,800 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 4,883 | 4,851,309 | |
IRB Holding Corp., 7.00%, 6/15/25(1) | 2,978 | 2,958,477 | |
Yum! Brands, Inc., 3.625%, 3/15/31 | 2,452 | 1,993,690 | |
$ 15,739,040 | |||
Services — 6.4% | |||
Adtalem Global Education, Inc., 5.50%, 3/1/28(1) | 3,652 | $ 3,329,600 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp.: | |||
6.625%, 7/15/26(1) | 2,712 | 2,542,025 | |
9.75%, 7/15/27(1) | 2,000 | 1,739,532 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
4.625%, 6/1/28(1) | 1,076 | 877,852 | |
4.625%, 6/1/28(1) | 1,231 | 1,008,133 | |
APi Group DE, Inc., 4.75%, 10/15/29(1) | 4,407 | 3,778,259 | |
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(1) | 5,653 | 5,190,330 | |
Clarivate Science Holdings Corp., 4.875%, 7/1/29(1) | 4,889 | 4,129,494 | |
Gartner, Inc.: | |||
3.625%, 6/15/29(1) | 605 | 511,541 | |
3.75%, 10/1/30(1) | 2,100 | 1,741,288 | |
4.50%, 7/1/28(1) | 1,449 | 1,305,880 | |
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC, 7.125%, 7/31/26(1) | 5,546 | 5,344,237 | |
Hertz Corp. (The): | |||
4.625%, 12/1/26(1) | 372 | 311,951 | |
5.00%, 12/1/29(1) | 2,980 | 2,143,139 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 4,502 | 3,928,707 | |
Korn Ferry, 4.625%, 12/15/27(1) | 4,099 | 3,732,609 | |
NESCO Holdings II, Inc., 5.50%, 4/15/29(1) | 2,776 | 2,383,154 | |
Ritchie Bros Holdings, Inc.: | |||
6.75%, 3/15/28(1) | 1,082 | 1,061,689 | |
7.75%, 3/15/31(1) | 1,945 | 1,952,294 | |
SRS Distribution, Inc.: | |||
6.00%, 12/1/29(1) | 1,481 | 1,234,517 | |
6.125%, 7/1/29(1) | 2,668 | 2,236,891 | |
Summer (BC) Bidco B, LLC, 5.50%, 10/31/26(1) | 2,854 | 2,487,846 | |
VT Topco, Inc., 8.50%, 8/15/30(1) | 3,907 | 3,815,361 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 4,401 | 4,074,930 | |
WESCO Distribution, Inc., 7.25%, 6/15/28(1) | 1,743 | 1,733,797 | |
White Cap Buyer, LLC, 6.875%, 10/15/28(1) | 2,393 | 2,090,848 |
Security | Principal Amount* (000's omitted) | Value | |
Services (continued) | |||
White Cap Parent, LLC, 8.25%, (8.25% cash or 9.00% PIK), 3/15/26(1)(10) | 1,481 | $ 1,391,305 | |
Windsor Holdings III, LLC, 8.50%, 6/15/30(1) | 4,082 | 3,978,793 | |
$ 70,056,002 | |||
Steel — 0.8% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 2,155 | $ 2,148,276 | |
ATI, Inc., 5.875%, 12/1/27 | 86 | 79,884 | |
Big River Steel, LLC/BRS Finance Corp., 6.625%, 1/31/29(1) | 1,292 | 1,277,646 | |
Cleveland-Cliffs, Inc., 6.75%, 3/15/26(1) | 3,792 | 3,774,451 | |
TMS International Corp., 6.25%, 4/15/29(1) | 2,204 | 1,741,154 | |
$ 9,021,411 | |||
Super Retail — 3.7% | |||
Asbury Automotive Group, Inc.: | |||
4.625%, 11/15/29(1) | 839 | $ 710,769 | |
4.75%, 3/1/30 | 743 | 631,460 | |
5.00%, 2/15/32(1) | 2,334 | 1,895,455 | |
Bath & Body Works, Inc.: | |||
6.75%, 7/1/36 | 694 | 599,319 | |
6.875%, 11/1/35 | 2,146 | 1,895,920 | |
6.95%, 3/1/33 | 1,621 | 1,403,345 | |
7.60%, 7/15/37 | 198 | 168,084 | |
9.375%, 7/1/25(1) | 289 | 297,922 | |
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28(1) | 4,308 | 4,350,972 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(1) | 1,497 | 1,290,141 | |
Ken Garff Automotive, LLC, 4.875%, 9/15/28(1) | 2,048 | 1,733,897 | |
Kohl's Corp., 4.625%, 5/1/31 | 1,685 | 1,154,057 | |
LCM Investments Holdings II, LLC: | |||
4.875%, 5/1/29(1) | 2,840 | 2,382,980 | |
8.25%, 8/1/31(1) | 529 | 503,715 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 905 | 749,697 | |
4.375%, 1/15/31(1) | 3,144 | 2,548,839 | |
Macy's Retail Holdings, LLC, 5.875%, 4/1/29(1) | 1,169 | 1,031,789 | |
Metis Merger Sub, LLC, 6.50%, 5/15/29(1) | 5,932 | 4,853,453 | |
PetSmart, Inc./PetSmart Finance Corp.: | |||
4.75%, 2/15/28(1) | 2,225 | 1,971,258 | |
7.75%, 2/15/29(1) | 3,088 | 2,845,923 | |
Sonic Automotive, Inc.: | |||
4.625%, 11/15/29(1) | 1,961 | 1,635,071 | |
4.875%, 11/15/31(1) | 1,634 | 1,303,306 |
Security | Principal Amount* (000's omitted) | Value | |
Super Retail (continued) | |||
William Carter Co. (The), 5.625%, 3/15/27(1) | 1,510 | $ 1,432,283 | |
Wolverine World Wide, Inc., 4.00%, 8/15/29(1) | 3,600 | 2,688,038 | |
$ 40,077,693 | |||
Technology — 5.0% | |||
Black Knight InfoServ, LLC, 3.625%, 9/1/28(1) | 2,048 | $ 1,827,840 | |
Booz Allen Hamilton, Inc.: | |||
3.875%, 9/1/28(1) | 2,659 | 2,378,941 | |
4.00%, 7/1/29(1) | 1,006 | 888,937 | |
Central Parent, LLC/CDK Global II, LLC/CDK Financing Co., Inc., 8.00%, 6/15/29(1) | 2,168 | 2,143,605 | |
Ciena Corp., 4.00%, 1/31/30(1) | 1,543 | 1,287,425 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 653 | 648,444 | |
Clarios Global, L.P./Clarios US Finance Co.: | |||
4.375%, 5/15/26(9) | EUR | 2,958 | 3,002,854 |
8.50%, 5/15/27(1) | 3,369 | 3,323,349 | |
Cloud Software Group, Inc.: | |||
6.50%, 3/31/29(1) | 1,976 | 1,736,722 | |
9.00%, 9/30/29(1) | 4,217 | 3,595,014 | |
Coherent Corp., 5.00%, 12/15/29(1) | 3,540 | 3,008,734 | |
Fair Isaac Corp., 4.00%, 6/15/28(1) | 2,227 | 1,985,633 | |
McAfee Corp., 7.375%, 2/15/30(1) | 3,642 | 2,916,771 | |
NCR Voyix Corp.: | |||
5.125%, 4/15/29(1) | 1,782 | 1,534,287 | |
5.25%, 10/1/30(1) | 1,566 | 1,298,623 | |
ON Semiconductor Corp., 3.875%, 9/1/28(1) | 3,132 | 2,694,037 | |
Open Text Corp., 3.875%, 2/15/28(1) | 1,596 | 1,388,935 | |
Open Text Holdings, Inc., 4.125%, 2/15/30(1) | 1,481 | 1,229,014 | |
Presidio Holdings, Inc.: | |||
4.875%, 2/1/27(1) | 412 | 377,998 | |
8.25%, 2/1/28(1) | 4,481 | 4,244,844 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29 | 803 | 693,151 | |
9.625%, 12/1/32(1) | 2,132 | 2,275,182 | |
Sensata Technologies B.V., 5.00%, 10/1/25(1) | 842 | 819,572 | |
Sensata Technologies, Inc., 3.75%, 2/15/31(1) | 3,219 | 2,580,679 | |
SS&C Technologies, Inc., 5.50%, 9/30/27(1) | 961 | 902,641 | |
Viavi Solutions, Inc., 3.75%, 10/1/29(1) | 2,295 | 1,788,971 | |
VM Consolidated, Inc., 5.50%, 4/15/29(1) | 4,657 | 4,128,593 | |
$ 54,700,796 | |||
Telecommunications — 2.6% | |||
Altice Financing S.A., 5.00%, 1/15/28(1) | 1,945 | $ 1,583,389 | |
Altice France S.A.: | |||
5.125%, 7/15/29(1) | 1,060 | 726,467 |
Security | Principal Amount* (000's omitted) | Value | |
Telecommunications (continued) | |||
Altice France S.A.: (continued) | |||
5.50%, 1/15/28(1) | 1,052 | $ 782,648 | |
8.125%, 2/1/27(1) | 3,263 | 2,754,299 | |
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(1) | 5,756 | 5,371,995 | |
Iliad Holding SASU: | |||
6.50%, 10/15/26(1) | 2,687 | 2,513,290 | |
7.00%, 10/15/28(1) | 1,592 | 1,441,966 | |
LCPR Senior Secured Financing DAC: | |||
5.125%, 7/15/29(1) | 2,163 | 1,687,184 | |
6.75%, 10/15/27(1) | 425 | 385,058 | |
Level 3 Financing, Inc., 4.25%, 7/1/28(1) | 2,084 | 1,180,384 | |
Sprint Capital Corp., 6.875%, 11/15/28 | 1,985 | 2,038,617 | |
Sprint, LLC, 7.625%, 2/15/25 | 1,145 | 1,162,205 | |
Viasat, Inc., 5.625%, 4/15/27(1) | 888 | 776,032 | |
Virgin Media Finance PLC, 5.00%, 7/15/30(1) | 1,029 | 810,002 | |
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(9) | GBP | 1,106 | 1,130,555 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 7/15/28(1) | 2,420 | 2,056,687 | |
Ziggo B.V., 4.875%, 1/15/30(1) | 2,756 | 2,203,583 | |
$ 28,604,361 | |||
Transport Excluding Air & Rail — 0.2% | |||
Seaspan Corp., 5.50%, 8/1/29(1) | 3,386 | $ 2,601,057 | |
$ 2,601,057 | |||
Utility — 3.7% | |||
Calpine Corp.: | |||
4.50%, 2/15/28(1) | 1,810 | $ 1,633,758 | |
4.625%, 2/1/29(1) | 2,060 | 1,741,601 | |
5.00%, 2/1/31(1) | 420 | 339,185 | |
5.125%, 3/15/28(1) | 3,554 | 3,183,964 | |
Ferrellgas, L.P./Ferrellgas Finance Corp., 5.875%, 4/1/29(1) | 4,428 | 3,911,447 | |
FirstEnergy Corp.: | |||
2.65%, 3/1/30 | 750 | 605,687 | |
Series B, 4.15%, 7/15/27 | 2,275 | 2,107,620 | |
Leeward Renewable Energy Operations, LLC, 4.25%, 7/1/29(1) | 2,400 | 1,962,915 | |
NextEra Energy Operating Partners, L.P., 4.50%, 9/15/27(1) | 1,628 | 1,459,266 | |
NRG Energy, Inc.: | |||
3.375%, 2/15/29(1) | 970 | 790,620 | |
3.625%, 2/15/31(1) | 1,617 | 1,222,253 |
Security | Principal Amount* (000's omitted) | Value | |
Utility (continued) | |||
NRG Energy, Inc.: (continued) | |||
3.875%, 2/15/32(1) | 3,164 | $ 2,356,073 | |
5.25%, 6/15/29(1) | 3,247 | 2,868,434 | |
10.25% to 3/15/28(1)(6)(7) | 2,762 | 2,669,272 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 1,596 | 1,392,801 | |
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., 5.00%, 6/1/31(1) | 2,345 | 1,944,823 | |
TerraForm Power Operating, LLC, 5.00%, 1/31/28(1) | 2,981 | 2,733,890 | |
TransAlta Corp., 7.75%, 11/15/29 | 3,684 | 3,669,348 | |
Vistra Operations Co., LLC: | |||
4.375%, 5/1/29(1) | 2,094 | 1,780,968 | |
5.00%, 7/31/27(1) | 2,344 | 2,146,392 | |
$ 40,520,317 | |||
Total Corporate Bonds (identified cost $1,040,839,756) | $ 937,978,972 |
Preferred Stocks — 0.3% |
Security | Shares | Value | |
Services — 0.3% | |||
WESCO International, Inc., Series A, 10.625% to 6/22/25(7) | 147,488 | $ 3,932,030 | |
Total Preferred Stocks (identified cost $4,129,729) | $ 3,932,030 |
Senior Floating-Rate Loans — 5.2%(11) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Aerospace — 0.2% | |||
TransDigm, Inc., Term Loan, 8.64%, (SOFR + 3.25%), 8/24/28 | $ | 1,696 | $ 1,695,414 |
$ 1,695,414 | |||
Air Transportation — 0.6% | |||
Air Canada, Term Loan, 9.128%, (SOFR + 3.50%), 8/11/28 | $ | 2,669 | $ 2,668,183 |
Mileage Plus Holdings, LLC, Term Loan, 10.798%, (SOFR + 5.25%), 6/21/27 | 3,258 | 3,360,784 | |
$ 6,028,967 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Broadcasting — 0.1% | |||
ABG Intermediate Holdings 2, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/21/28 | $ | 1,253 | $ 1,251,540 |
$ 1,251,540 | |||
Capital Goods — 0.3% | |||
DexKo Global, Inc., Term Loan, 9.64%, (SOFR + 4.25%), 10/4/28 | $ | 1,501 | $ 1,453,625 |
EMRLD Borrower, L.P., Term Loan, 8.38%, (SOFR + 3.00%), 5/31/30 | 1,631 | 1,629,761 | |
$ 3,083,386 | |||
Gaming — 0.6% | |||
Peninsula Pacific Entertainment, LLC, Term Loan, 13.00%, 12/24/29(12) | $ | 2,351 | $ 2,351,333 |
Spectacle Gary Holdings, LLC, Term Loan, 9.674%, (SOFR + 4.25%), 12/10/28 | 4,255 | 4,158,048 | |
$ 6,509,381 | |||
Healthcare — 1.1% | |||
athenahealth Group, Inc., Term Loan, 8.577%, (SOFR + 3.25%), 2/15/29 | $ | 1,772 | $ 1,717,384 |
Jazz Financing Lux S.a.r.l., Term Loan, 8.939%, (SOFR + 3.50%), 5/5/28 | 2,599 | 2,601,949 | |
Pearl Intermediate Parent, LLC, Term Loan - Second Lien, 11.674%, (SOFR + 6.25%), 2/13/26 | 819 | 818,318 | |
Pluto Acquisition I, Inc., Term Loan, 9.684%, (SOFR + 4.00%), 6/22/26 | 4,178 | 3,551,048 | |
Verscend Holding Corp., Term Loan, 9.439%, (SOFR + 4.00%), 8/27/25 | 3,706 | 3,708,336 | |
$ 12,397,035 | |||
Leisure — 0.2% | |||
Peloton Interactive, Inc., Term Loan, 12.263%, (SOFR + 6.50%), 5/25/27 | $ | 2,061 | $ 2,073,278 |
$ 2,073,278 | |||
Restaurant — 0.5% | |||
IRB Holding Corp., Term Loan, 8.424%, (SOFR + 3.00%), 12/15/27 | $ | 5,221 | $ 5,171,762 |
$ 5,171,762 | |||
Services — 0.6% | |||
AlixPartners, LLP, Term Loan, 8.189%, (SOFR + 2.75%), 2/4/28 | $ | 5,614 | $ 5,614,164 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Services (continued) | |||
Spin Holdco, Inc., Term Loan, 9.664%, (SOFR + 4.00%), 3/4/28 | $ | 1,676 | $ 1,440,540 |
$ 7,054,704 | |||
Super Retail — 0.6% | |||
Mavis Tire Express Services Corp., Term Loan, 9.439%, (SOFR + 4.00%), 5/4/28 | $ | 2,365 | $ 2,333,912 |
Michaels Companies, Inc., Term Loan, 9.902%, (SOFR + 4.25%), 4/15/28 | 1,856 | 1,555,657 | |
PetSmart, Inc., Term Loan, 9.174%, (SOFR + 3.75%), 2/11/28 | 2,323 | 2,299,569 | |
$ 6,189,138 | |||
Technology — 0.4% | |||
Clarios Global, L.P., Term Loan, 9.074%, (SOFR + 3.75%), 5/6/30 | $ | 1,878 | $ 1,877,414 |
Riverbed Technology, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 7/1/28 | 500 | 326,736 | |
Travelport Finance (Luxembourg) S.a.r.l., Term Loan, 12.652%, (SOFR + 7.00%), 2/28/25 | 2,764 | 2,634,429 | |
$ 4,838,579 | |||
Total Senior Floating-Rate Loans (identified cost $57,061,054) | $ 56,293,184 |
Miscellaneous — 0.4% |
Security | Principal Amount/ Shares | Value | |
Cable & Satellite TV — 0.0% | |||
ACC Claims Holdings, LLC(4) | 8,415,190 | $ 0 | |
$ 0 | |||
Diversified Media — 0.0% | |||
National CineMedia, Inc., Escrow Certificates(3)(4) | $ | 1,660,000 | $ 0 |
$ 0 | |||
Gaming — 0.4% | |||
PGP Investors, LLC, Membership Interests(3)(4)(5) | 15,849 | $ 4,402,942 | |
$ 4,402,942 |
Security | Principal Amount/ Shares | Value | |
Services — 0.0%(13) | |||
Hertz Corp., Escrow Certificates(3) | $ | 502,000 | $ 45,180 |
$ 45,180 | |||
Total Miscellaneous (identified cost $0) | $ 4,448,122 |
Short-Term Investments — 3.5% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(14) | 37,843,239 | $ 37,843,239 | |
Total Short-Term Investments (identified cost $37,843,239) | $ 37,843,239 | ||
Total Investments — 98.4% (identified cost $1,174,918,976) | $1,073,375,854 | ||
Other Assets, Less Liabilities — 1.6% | $ 17,449,823 | ||
Net Assets — 100.0% | $1,090,825,677 |
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 October 31, 2023, the aggregate value of these securities is $816,345,128 or 74.8% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(3) | Non-income producing security. |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9). |
(5) | Restricted security. |
(6) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(7) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(8) | Issuer is in default with respect to interest and/or principal payments. |
(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 October 31, 2023, the aggregate value of these securities is $22,881,035 or 2.1% of the Portfolio's net assets. |
(10) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(11) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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. |
(12) | Fixed-rate loan. |
(13) | Amount is less than 0.05%. |
(14) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 9,090,545 | EUR | 8,549,684 | State Street Bank and Trust Company | 1/31/24 | $ 5,421 | $ — |
USD | 10,267,930 | EUR | 9,665,938 | State Street Bank and Trust Company | 1/31/24 | — | (3,355) |
USD | 1,136,684 | GBP | 934,777 | State Street Bank and Trust Company | 1/31/24 | — | (318) |
$5,421 | $(3,673) |
Abbreviations: | |
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 |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,137,075,737) | $ 1,035,532,615 |
Affiliated investments, at value (identified cost $37,843,239) | 37,843,239 |
Cash | 166,789 |
Foreign currency, at value (identified cost $1,637) | 1,639 |
Interest receivable | 16,637,591 |
Dividends receivable from affiliated investments | 180,866 |
Receivable for investments sold | 2,906,492 |
Receivable for open forward foreign currency exchange contracts | 5,421 |
Trustees' deferred compensation plan | 194,037 |
Total assets | $1,093,468,689 |
Liabilities | |
Payable for investments purchased | $ 1,736,977 |
Payable for open forward foreign currency exchange contracts | 3,673 |
Payable to affiliates: | |
Investment adviser fee | 449,401 |
Trustees' fees | 5,865 |
Trustees' deferred compensation plan | 194,037 |
Accrued expenses | 253,059 |
Total liabilities | $ 2,643,012 |
Net Assets applicable to investors' interest in Portfolio | $1,090,825,677 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $1,345) | $ 867,132 |
Dividend income from affiliated investments | 2,059,660 |
Interest and other income | 67,898,902 |
Total investment income | $ 70,825,694 |
Expenses | |
Investment adviser fee | $ 5,153,891 |
Trustees’ fees and expenses | 68,398 |
Custodian fee | 279,789 |
Legal and accounting services | 132,226 |
Interest expense on securities sold short | 43,196 |
Miscellaneous | 40,164 |
Total expenses | $ 5,717,664 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 66,281 |
Total expense reductions | $ 66,281 |
Net expenses | $ 5,651,383 |
Net investment income | $ 65,174,311 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 11,290,872 |
Securities sold short | (232,492) |
Foreign currency transactions | 35,530 |
Forward foreign currency exchange contracts | (528,593) |
Net realized gain | $ 10,565,317 |
Change in unrealized appreciation (depreciation): | |
Investments | $ (10,228,619) |
Foreign currency | 1,418 |
Forward foreign currency exchange contracts | (198,181) |
Net change in unrealized appreciation (depreciation) | $(10,425,382) |
Net realized and unrealized gain | $ 139,935 |
Net increase in net assets from operations | $ 65,314,246 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 65,174,311 | $ 51,594,657 |
Net realized gain (loss) | 10,565,317 | (5,282,108) |
Net change in unrealized appreciation (depreciation) | (10,425,382) | (141,360,652) |
Net increase (decrease) in net assets from operations | $ 65,314,246 | $ (95,048,103) |
Capital transactions: | ||
Contributions | $ 295,215,386 | $ 343,450,718 |
Withdrawals | (289,977,325) | (228,224,245) |
Net increase in net assets from capital transactions | $ 5,238,061 | $ 115,226,473 |
Net increase in net assets | $ 70,552,307 | $ 20,178,370 |
Net Assets | ||
At beginning of year | $ 1,020,273,370 | $ 1,000,095,000 |
At end of year | $1,090,825,677 | $1,020,273,370 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.53% (1) | 0.49% (1) | 0.49% | 0.51% | 0.50% |
Net investment income | 6.07% | 4.82% | 4.78% | 5.26% | 5.61% |
Portfolio Turnover | 29% | 19% | 64% | 67% | 32% |
Total Return | 6.66% | (8.20)% | 13.11% | 1.69% | 7.74% |
Net assets, end of year (000’s omitted) | $1,090,826 | $1,020,273 | $1,000,095 | $949,751 | $1,088,999 |
(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 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
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 | $1,184,986,070 |
Gross unrealized appreciation | $ 8,453,602 |
Gross unrealized depreciation | (120,063,818) |
Net unrealized depreciation | $ (111,610,216) |
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 | $ 1,380,162 |
iFIT Health and Fitness, Inc. | 10/6/22 | 514,080 | 1,799,280 | 0 |
New Cotai Participation Corp., Class B | 4/12/13 | 7 | 216,125 | 0 |
Total Common Stocks | $2,015,405 | $1,380,162 | ||
Miscellaneous | ||||
PGP Investors, LLC, Membership Interests | 2/18/15, 4/23/18, 12/17/21 | 15,849 | $ 0 | $ 4,402,942 |
Total Miscellaneous | $ 0 | $4,402,942 | ||
Total Restricted Securities | $2,015,405 | $5,783,104 |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Forward foreign currency exchange contracts | $5,421 (1) | $(3,673) (2) |
(1) | Statement of Assets and Liabilities location: Receivable for 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 | $5,421 | $(3,673) | $ — | $ — | $1,748 |
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) |
State Street Bank and Trust Company | $(3,673) | $3,673 | $ — | $ — | $ — |
(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 | $(528,593) | $(198,181) |
(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 | $420,330,355 | $(420,396,832) | $ — | $ — | $37,843,239 | $2,059,660 | 37,843,239 |
• | 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 | $ — | $ 18,800,846 | $ — | $ 18,800,846 |
Common Stocks | 3,878,904 | — | 1,380,162 | 5,259,066 |
Convertible Bonds | — | 8,820,395 | — | 8,820,395 |
Corporate Bonds | — | 937,978,972 | — | 937,978,972 |
Preferred Stocks | 3,932,030 | — | — | 3,932,030 |
Senior Floating-Rate Loans | — | 56,293,184 | — | 56,293,184 |
Miscellaneous | — | 45,180 | 4,402,942 | 4,448,122 |
Asset Description (continued) | Level 1 | Level 2 | Level 3* | Total |
Short-Term Investments | $ 37,843,239 | $ — | $ — | $ 37,843,239 |
Total Investments | $ 45,654,173 | $ 1,021,938,577 | $ 5,783,104 | $ 1,073,375,854 |
Forward Foreign Currency Exchange Contracts | $ — | $ 5,421 | $ — | $ 5,421 |
Total | $ 45,654,173 | $ 1,021,943,998 | $ 5,783,104 | $ 1,073,381,275 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (3,673) | $ — | $ (3,673) |
Total | $ — | $ (3,673) | $ — | $ (3,673) |
* | 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) | (2,037,720) | (1,261,487) | 37,689,526 | 34,390,319 |
Change in net unrealized appreciation (depreciation) | 1,408,847 | 1,239,137 | (29,665,729) | (27,017,745) |
Cost of purchases | — | — | 0 | 0 |
Proceeds from sales, including return of capital | — | — | (37,984,898) | (37,984,898) |
Accrued discount (premium) | — | — | — | — |
Transfers to Level 3(1) | 18,079 | 22,350 | — | 40,429 |
Transfers from Level 3 | — | — | — | — |
Balance as of October 31, 2023 | $ 1,380,162 | $ — | $ 4,402,942 | $ 5,783,104 |
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2023 | $ (610,794) | $ — | $ (3,800,964) | $ (4,411,758) |
(1) | Transferred to Level 3 due to a decrease in observable inputs. |
Type of Investment | Fair Value as of October 31, 2023 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* |
Common Stocks | $1,380,162 | Market approach | EBITDA multiple discount rate | 15% | Decrease |
Miscellaneous | 4,402,942 | Market approach | Liquidity discount | 15% | Decrease |
Included in common stocks and miscellaneous are securites 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. |
Boston, Massachusetts
December 22, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (ecommerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management 'Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 06/27/2007 | 06/27/2007 | 6.55% | (0.80)% | (0.09)% |
Class A with 3.25% Maximum Sales Charge | — | — | 3.05 | (1.46) | (0.42) |
Class C at NAV | 03/01/2011 | 06/27/2007 | 5.79 | (1.49) | (0.65) |
Class C with 1% Maximum Deferred Sales Charge | — | — | 4.79 | (1.49) | (0.65) |
Class I at NAV | 03/01/2011 | 06/27/2007 | 6.86 | (0.52) | 0.21 |
FTSE World Government Bond Index (WGBI) | — | — | 0.45% | (2.57)% | (1.40)% |
Bloomberg Global Aggregate Bond Index | — | — | 1.72 | (1.64) | (0.66) |
Blended Index | — | — | 2.96 | (1.94) | (1.29) |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 1.83% | 2.58% | 1.58% |
Net | 0.97 | 1.72 | 0.72 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $9,365 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,021,074 | N.A. |
Asset Allocation (% of net assets)1 |
Foreign Currency Exposures (% of net assets)2 | |
Japan | 13.1% |
Iceland | 8.5 |
Euro | 5.4 |
Australia | 5.2 |
Serbia | 5.0 |
South Korea | 4.8 |
Dominican Republic | 4.8 |
Hungary | 4.3 |
United Kingdom | 3.9 |
Canada | 3.1 |
India | 3.0 |
Uruguay | 2.6 |
Mexico | 2.0 |
Other | 0.2 4 |
New Zealand | -5.2 |
China | -5.8 |
Total Long | 69.3% |
Total Short | -14.4% |
Total Net | 54.9% |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | FTSE World Government Bond Index (WGBI) measures the performance of fixed-rate, local currency, investment-grade sovereign bonds. 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 80% FTSE World Government Bond Index and 20% J.P. Morgan Government Bond Index: Emerging Market Global Diversified (JPM GBI-EM GD), rebalanced monthly. 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. 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 June 26, 2023, the Fund’s name was changed 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 was 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 June 26, 2023, the Fund changed 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 is a blended index consisting of 80% FTSE World Government Bond Index and 20% J.P. Morgan Government Bond Index: Emerging Market Global Diversified (JPM GBI-EM GD). |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 944.00 | $5.00** | 1.02% |
Class C | $1,000.00 | $ 940.50 | $8.51** | 1.74% |
Class I | $1,000.00 | $ 945.00 | $3.63** | 0.74% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.06 | $5.19** | 1.02% |
Class C | $1,000.00 | $1,016.43 | $8.84** | 1.74% |
Class I | $1,000.00 | $1,021.48 | $3.77** | 0.74% |
* | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio. |
** | Absent an allocation of certain expenses to affiliate(s), expenses would be higher. |
October 31, 2023 | |
Assets | |
Investment in International Income Portfolio, at value (identified cost $39,550,216) | $ 36,020,779 |
Receivable for Fund shares sold | 86,225 |
Receivable from affiliates | 18,443 |
Total assets | $ 36,125,447 |
Liabilities | |
Payable for Fund shares redeemed | $ 34,925 |
Payable to affiliates: | |
Distribution and service fees | 3,204 |
Trustees' fees | 42 |
Accrued expenses | 60,872 |
Total liabilities | $ 99,043 |
Net Assets | $ 36,026,404 |
Sources of Net Assets | |
Paid-in capital | $ 74,714,204 |
Accumulated loss | (38,687,800) |
Net Assets | $ 36,026,404 |
Class A Shares | |
Net Assets | $ 10,889,261 |
Shares Outstanding | 1,731,453 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 6.29 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 6.50 |
Class C Shares | |
Net Assets | $ 970,145 |
Shares Outstanding | 154,264 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 6.29 |
Class I Shares | |
Net Assets | $ 24,166,998 |
Shares Outstanding | 3,856,620 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 6.27 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio | $ 126,671 |
Interest income allocated from Portfolio (net of foreign taxes withheld of $33,368) | 1,931,345 |
Expenses, excluding interest expense, allocated from Portfolio | (263,298) |
Interest expense allocated from Portfolio | (12,890) |
Total investment income from Portfolio | $ 1,781,828 |
Expenses | |
Distribution and service fees: | |
Class A | $ 34,250 |
Class C | 12,377 |
Trustees’ fees and expenses | 500 |
Custodian fee | 20,035 |
Transfer and dividend disbursing agent fees | 48,376 |
Legal and accounting services | 28,784 |
Printing and postage | 18,886 |
Registration fees | 49,557 |
Miscellaneous | 12,292 |
Total expenses | $ 225,057 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 178,460 |
Total expense reductions | $ 178,460 |
Net expenses | $ 46,597 |
Net investment income | $ 1,735,231 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $5,151) | $ (2,524,058) |
Written swaptions¬ | 36,033 |
Securities sold short | 3,431 |
Futures contracts | (77,790) |
Swap contracts | (472,334) |
Foreign currency transactions | 125,010 |
Forward foreign currency exchange contracts | (392,800) |
Non-deliverable bond forward contracts | 106,405 |
Net realized loss | $(3,196,103) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $155) | $ 3,987,459 |
Written swaptions¬ | 49,393 |
Securities sold short | 14,634 |
Futures contracts | (276,276) |
Swap contracts | (262,755) |
Foreign currency | (29,379) |
Forward foreign currency exchange contracts | (462,162) |
Non-deliverable bond forward contracts | (16,845) |
Net change in unrealized appreciation (depreciation) | $ 3,004,069 |
Net realized and unrealized loss | $ (192,034) |
Net increase in net assets from operations | $ 1,543,197 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,735,231 | $ 1,206,837 |
Net realized loss | (3,196,103) | (2,839,362) |
Net change in unrealized appreciation (depreciation) | 3,004,069 | (6,377,946) |
Net increase (decrease) in net assets from operations | $ 1,543,197 | $ (8,010,471) |
Tax return of capital to shareholders: | ||
Class A | $ (549,647) | $ (632,949) |
Class C | (46,885) | (56,224) |
Class I | (1,223,106) | (1,023,870) |
Total tax return of capital to shareholders | $ (1,819,638) | $ (1,713,043) |
Transactions in shares of beneficial interest: | ||
Class A | $ (788,165) | $ (5,394,244) |
Class C | (302,582) | (477,741) |
Class I | 8,983,730 | (13,964,529) |
Net increase (decrease) in net assets from Fund share transactions | $ 7,892,983 | $(19,836,514) |
Net increase (decrease) in net assets | $ 7,616,542 | $(29,560,028) |
Net Assets | ||
At beginning of year | $ 28,409,862 | $ 57,969,890 |
At end of year | $36,026,404 | $ 28,409,862 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 6.190 | $ 7.960 | $ 8.440 | $ 8.510 | $ 8.500 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.292 | $ 0.207 | $ 0.132 | $ 0.176 | $ 0.295 |
Net realized and unrealized gain (loss) | 0.113 (2) | (1.675) | (0.150) | 0.292 | 0.174 |
Total income (loss) from operations | $ 0.405 | $ (1.468) | $ (0.018) | $ 0.468 | $ 0.469 |
Less Distributions | |||||
From net investment income | $ — | $ — | $ (0.146) | $ (0.378) | $ (0.459) |
Tax return of capital | (0.305) | (0.302) | (0.316) | (0.160) | — |
Total distributions | $ (0.305) | $ (0.302) | $ (0.462) | $ (0.538) | $ (0.459) |
Net asset value — End of year | $ 6.290 | $ 6.190 | $ 7.960 | $ 8.440 | $ 8.510 |
Total Return(3)(4) | 6.55% | (18.94)% | (0.38)% | 5.72% | 5.62% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $10,889 | $11,466 | $20,539 | $18,354 | $18,677 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Expenses (4) | 1.00% (6)(7) | 1.02% (6)(7) | 1.01% (6) | 1.01% (6) | 1.11% (6) |
Net investment income | 4.37% | 2.89% | 1.57% | 2.09% | 3.43% |
Portfolio Turnover of the Portfolio | 230% (8) | 159% (8) | 102% (8) | 88% (8) | 92% |
(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 sales of Fund shares 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) | The investment adviser and administrator of the Fund and the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 1.03%, 0.86%, 0.49%, 0.49% and 0.40% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolio's allocated expenses. |
(6) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.03% and 0.02% of average daily net assets for the years ended October 31, 2023 and 2022, respectively, and 0.01% of average daily net assets for each of the years ended October 31, 2021, 2020 and 2019. |
(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 years ended October 31, 2023 and 2022, respectively). |
(8) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 6.190 | $ 7.960 | $ 8.440 | $ 8.510 | $ 8.500 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.244 | $ 0.157 | $ 0.068 | $ 0.123 | $ 0.237 |
Net realized and unrealized gain (loss) | 0.113 (2) | (1.674) | (0.146) | 0.286 | 0.171 |
Total income (loss) from operations | $ 0.357 | $(1.517) | $(0.078) | $ 0.409 | $ 0.408 |
Less Distributions | |||||
From net investment income | $ — | $ — | $ (0.127) | $ (0.336) | $ (0.398) |
Tax return of capital | (0.257) | (0.253) | (0.275) | (0.143) | — |
Total distributions | $(0.257) | $(0.253) | $(0.402) | $(0.479) | $(0.398) |
Net asset value — End of year | $ 6.290 | $ 6.190 | $ 7.960 | $ 8.440 | $ 8.510 |
Total Return(3)(4) | 5.79% | (19.50)% | (1.09)% | 4.98% | 4.88% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 970 | $ 1,238 | $ 2,115 | $ 5,173 | $ 9,517 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Expenses (4) | 1.72% (6)(7) | 1.72% (6)(7) | 1.71% (6) | 1.71% (6) | 1.81% (6) |
Net investment income | 3.66% | 2.20% | 0.80% | 1.47% | 2.76% |
Portfolio Turnover of the Portfolio | 230% (8) | 159% (8) | 102% (8) | 88% (8) | 92% |
(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 sales of Fund shares 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) | The investment adviser and administrator of the Fund and the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 1.03%, 0.86%, 0.49%, 0.49% and 0.40% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolio's allocated expenses. |
(6) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.03% and 0.02% of average daily net assets for the years ended October 31, 2023 and 2022, respectively, and 0.01% of average daily net assets for each of the years ended October 31, 2021, 2020 and 2019. |
(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 years ended October 31, 2023 and 2022, respectively). |
(8) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 6.160 | $ 7.930 | $ 8.410 | $ 8.480 | $ 8.480 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.311 | $ 0.224 | $ 0.156 | $ 0.213 | $ 0.319 |
Net realized and unrealized gain (loss) | 0.122 (2) | (1.671) | (0.151) | 0.279 | 0.164 |
Total income (loss) from operations | $ 0.433 | $ (1.447) | $ 0.005 | $ 0.492 | $ 0.483 |
Less Distributions | |||||
From net investment income | $ — | $ — | $ (0.152) | $ (0.395) | $ (0.483) |
Tax return of capital | (0.323) | (0.323) | (0.333) | (0.167) | — |
Total distributions | $ (0.323) | $ (0.323) | $ (0.485) | $ (0.562) | $ (0.483) |
Net asset value — End of year | $ 6.270 | $ 6.160 | $ 7.930 | $ 8.410 | $ 8.480 |
Total Return(3)(4) | 6.86% | (18.65)% | (0.11)% | 6.04% | 5.82% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $24,167 | $15,706 | $35,316 | $33,597 | $56,451 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Expenses (4) | 0.72% (6)(7) | 0.72% (6)(7) | 0.71% (6) | 0.71% (6) | 0.81% (6) |
Net investment income | 4.67% | 3.11% | 1.86% | 2.54% | 3.73% |
Portfolio Turnover of the Portfolio | 230% (8) | 159% (8) | 102% (8) | 88% (8) | 92% |
(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 sales of Fund shares 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) | The investment adviser and administrator of the Fund and the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 1.03%, 0.86%, 0.49%, 0.49% and 0.40% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(5) | Includes the Fund’s share of the Portfolio's allocated expenses. |
(6) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.03% and 0.02% of average daily net assets for the years ended October 31, 2023 and 2022, respectively, and 0.01% of average daily net assets for each of the years ended October 31, 2021, 2020 and 2019. |
(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 years ended October 31, 2023 and 2022, respectively). |
(8) | Includes the effect of To-Be-Announced (TBA) transactions. |
Year Ended October 31, | ||
2023 | 2022 | |
Tax return of capital | $1,819,638 | $1,713,043 |
Deferred capital losses | $ (34,797,571) |
Net unrealized depreciation | (3,890,229) |
Accumulated loss | $(38,687,800) |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 148,841 | $ 999,091 | 408,177 | $ 3,124,350 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 76,521 | 508,596 | 83,567 | 588,630 | |
Redemptions | (347,415) | (2,295,852) | (1,218,517) | (9,107,224) | |
Net decrease | (122,053) | $ (788,165) | (726,773) | $ (5,394,244) | |
Class C | |||||
Sales | 15,324 | $ 104,355 | 38,835 | $ 264,123 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 6,461 | 42,995 | 7,225 | 50,726 | |
Redemptions | (67,683) | (449,932) | (111,572) | (792,590) | |
Net decrease | (45,898) | $ (302,582) | (65,512) | $ (477,741) | |
Class I | |||||
Sales | 3,242,457 | $ 21,765,548 | 552,602 | $ 3,938,764 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 183,921 | 1,218,207 | 144,084 | 1,019,604 | |
Redemptions | (2,117,925) | (14,000,025) | (2,599,911) | (18,922,897) | |
Net increase (decrease) | 1,308,453 | $ 8,983,730 | (1,903,225) | $(13,964,529) |
sovereign investments.
Boston, Massachusetts
December 22, 2023
Collateralized Mortgage Obligations — 7.6% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., Series 2022-DNA1, Class M2, 7.821%, (30-day average SOFR + 2.50%), 1/25/42(1)(2) | $ | 1,800 | $ 1,771,608 |
Government National Mortgage Association, Series 2023-115, Class AL, 6.00%, 8/20/53 | 1,000 | 952,492 | |
Total Collateralized Mortgage Obligations (identified cost $2,696,855) | $ 2,724,100 |
Foreign Corporate Bonds — 3.6% |
Security | Principal Amount (000's omitted) | Value | |
Iceland — 3.6% | |||
Arion Banki HF, 6.00%, 4/12/24(3) | ISK | 140,000 | $ 990,244 |
Landsbankinn HF, 5.00%, 11/23/23(3) | ISK | 40,000 | 284,505 |
Total Foreign Corporate Bonds (identified cost $1,092,600) | $ 1,274,749 |
Sovereign Government Bonds — 58.8% |
Security | Principal Amount (000's omitted) | Value | |
Cyprus — 5.8% | |||
Cyprus Government International Bond: | |||
2.75%, 2/26/34(3) | EUR | 407 | $ 377,525 |
4.125%, 4/13/33(3) | EUR | 1,618 | 1,727,330 |
$ 2,104,855 | |||
Dominican Republic — 4.7% | |||
Dominican Republic: | |||
8.00%, 1/15/27(3) | DOP | 3,970 | $ 64,943 |
8.00%, 2/12/27(3) | DOP | 20,150 | 333,196 |
11.25%, 9/15/35(1) | DOP | 8,000 | 139,810 |
12.00%, 8/8/25(1) | DOP | 10,500 | 186,883 |
13.00%, 6/10/34(3) | DOP | 25,400 | 518,948 |
13.625%, 2/3/33(1) | DOP | 8,000 | 160,448 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(3) | DOP | 900 | 14,390 |
13.00%, 12/5/25(1) | DOP | 8,440 | 153,428 |
13.00%, 1/30/26(1) | DOP | 6,240 | 113,541 |
$ 1,685,587 |
Security | Principal Amount (000's omitted) | Value | |
Germany — 4.9% | |||
Bundesrepublik Deutschland Bundesanleihe, 1.70%, 8/15/32(3) | EUR | 1,800 | $ 1,753,799 |
$ 1,753,799 | |||
Greece — 0.0%(4) | |||
Hellenic Republic Government Bond, 0.00%, GDP-Linked, 10/15/42 | EUR | 4,090 | $ 13,611 |
$ 13,611 | |||
Hungary — 1.6% | |||
Hungary Government Bond: | |||
3.00%, 10/27/38 | HUF | 68,870 | $ 115,070 |
4.00%, 4/28/51 | HUF | 37,210 | 61,562 |
4.75%, 11/24/32 | HUF | 167,540 | 382,454 |
$ 559,086 | |||
Iceland — 4.6% | |||
Republic of Iceland: | |||
2.50%, 4/15/24 | ISK | 147,203 | $ 1,022,876 |
5.00%, 11/15/28 | ISK | 3,916 | 24,825 |
8.00%, 6/12/25 | ISK | 85,178 | 607,807 |
$ 1,655,508 | |||
India — 8.2% | |||
Export-Import Bank of India, 2.25%, 1/13/31(3) | USD | 1,000 | $ 768,512 |
India Government Bond: | |||
7.10%, 4/18/29 | INR | 124,900 | 1,481,383 |
7.26%, 2/6/33 | INR | 59,600 | 711,045 |
$ 2,960,940 | |||
Indonesia — 1.1% | |||
Indonesia Government Bond: | |||
6.125%, 5/15/28 | IDR | 1,053,000 | $ 63,878 |
7.125%, 6/15/42 | IDR | 1,472,000 | 92,029 |
7.125%, 6/15/43 | IDR | 3,346,000 | 210,078 |
7.375%, 5/15/48 | IDR | 529,000 | 33,943 |
$ 399,928 | |||
Mexico — 2.2% | |||
Mexican Bonos: | |||
7.75%, 11/13/42(5) | MXN | 9,160 | $ 405,948 |
8.00%, 7/31/53(5) | MXN | 8,400 | 374,820 |
$ 780,768 |
Security | Principal Amount (000's omitted) | Value | |
Peru — 5.9% | |||
Peru Government Bond: | |||
5.40%, 8/12/34 | PEN | 1,243 | $ 270,319 |
5.94%, 2/12/29 | PEN | 5,682 | 1,418,243 |
6.95%, 8/12/31 | PEN | 845 | 214,532 |
7.30%, 8/12/33(3) | PEN | 914 | 233,281 |
$ 2,136,375 | |||
Philippines — 1.6% | |||
Republic of the Philippines, 6.25%, 1/14/36 | PHP | 34,000 | $ 568,980 |
$ 568,980 | |||
Romania — 0.7% | |||
Romania Government International Bond, 3.375%, 1/28/50(3) | EUR | 405 | $ 254,382 |
$ 254,382 | |||
Serbia — 4.8% | |||
Serbia Treasury Bond, 5.875%, 2/8/28 | RSD | 187,260 | $ 1,730,357 |
$ 1,730,357 | |||
South Africa — 6.3% | |||
Republic of South Africa: | |||
8.00%, 1/31/30 | ZAR | 19,710 | $ 930,878 |
10.50%, 12/21/26 | ZAR | 24,060 | 1,331,675 |
$ 2,262,553 | |||
South Korea — 3.8% | |||
Korea Treasury Bond, 4.00%, 12/10/31 | KRW | 1,901,500 | $ 1,381,583 |
$ 1,381,583 | |||
Ukraine — 0.1% | |||
Ukraine Government Bond: | |||
10.95%, 11/1/23 | UAH | 563 | $ 14,721 |
11.67%, 11/22/23 | UAH | 67 | 1,565 |
15.84%, 2/26/25 | UAH | 1,180 | 25,530 |
$ 41,816 | |||
Uruguay — 2.5% | |||
Uruguay Government Bond: | |||
3.875%, 7/2/40(6) | UYU | 11,125 | $ 282,463 |
Security | Principal Amount (000's omitted) | Value | |
Uruguay (continued) | |||
Uruguay Government Bond: (continued) | |||
9.75%, 7/20/33(6) | UYU | 24,969 | $ 622,676 |
$ 905,139 | |||
Total Sovereign Government Bonds (identified cost $23,679,628) | $21,195,267 |
U.S. Government Agency Mortgage-Backed Securities — 9.8% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: | |||
5.00%, with maturity at 2052 | $ | 942 | $ 868,994 |
5.05%, (COF + 1.791%), with maturity at 2035(7) | 97 | 94,709 | |
5.50%, 30-Year, TBA(8) | 2,700 | 2,562,996 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $3,627,799) | $ 3,526,699 |
U.S. Treasury Obligations — 0.8% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond, 0.625%, 7/15/32(9) | $ | 343 | $ 294,203 |
Total U.S. Treasury Obligations (identified cost $327,888) | $ 294,203 |
Short-Term Investments — 27.3% |
Affiliated Fund — 2.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(10) | 803,076 | $ 803,076 | |
Total Affiliated Fund (identified cost $803,076) | $ 803,076 |
Repurchase Agreements — 1.6% |
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: | |||
Dated 9/29/23 with an interest rate of 5.15%, collateralized by MXN 4,978,484 Mexican Udibonos, 4.00%, due 11/3/50 and a market value, including accrued interest, of $241,415(11) | USD | 250 | $ 249,928 |
Dated 10/16/23 with an interest rate of 5.15%, collateralized by MXN 6,400,908 Mexican Udibonos, 4.00%, due 11/15/40 and a market value, including accrued interest, of $320,092(11) | USD | 326 | 326,281 |
Total Repurchase Agreements (identified cost $576,209) | $ 576,209 |
Sovereign Government Securities — 4.7% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 4.7% | |||
Letra do Tesouro Nacional, 0.00%, 1/1/24 | BRL | 8,760 | $ 1,705,342 |
Total Sovereign Government Securities (identified cost $1,749,073) | $ 1,705,342 |
U.S. Treasury Obligations — 18.8% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 11/30/23(12) | $ | 4,800 | $ 4,779,568 |
0.00%, 1/9/24 | 2,000 | 1,979,770 | |
Total U.S. Treasury Obligations (identified cost $6,759,198) | $ 6,759,338 | ||
Total Short-Term Investments (identified cost $9,887,556) | $ 9,843,965 |
Total Investments — 107.9% (identified cost $41,312,326) | $38,858,983 | ||
Total Written Swaptions — (0.2)% (premiums received $15,117) | $ (75,613) |
Securities Sold Short — (1.5)% | |||
Sovereign Government Bonds — (1.5)% |
Security | Principal Amount (000's omitted) | Value | |
Mexico — (1.5)% | |||
Mexican Udibonos: | |||
4.00%, 11/15/40(6) | MXN | (6,401) | $ (314,451) |
4.00%, 11/3/50(6) | MXN | (4,978) | (237,027) |
Total Sovereign Government Bonds (proceeds $566,115) | $ (551,478) | ||
Total Securities Sold Short (proceeds $566,115) | $ (551,478) |
Other Assets, Less Liabilities — (6.2)% | $ (2,203,607) | ||
Net Assets — 100.0% | $36,028,285 |
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 October 31, 2023, the aggregate value of these securities is $2,525,718 or 7.0% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 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 October 31, 2023, the aggregate value of these securities is $7,321,055 or 20.3% of the Portfolio's net assets. |
(4) | Amount is less than 0.05%. |
(5) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(6) | 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. |
(7) | 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 October 31, 2023. |
(8) | 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. |
(9) | 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. |
(10) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
(11) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(12) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Written Interest Rate Swaptions (OTC) — (0.2)% | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Option to enter into interest rate swap expiring 11/24/23 to pay SOFR and receive 3.80% | Citibank, N.A. | USD | (1,265,000) | 11/24/23 | $ (75,613) |
Total | $(75,613) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
CLP | 99,881,000 | USD | 107,054 | 12/20/23 | $ 4,231 |
CLP | 71,986,000 | USD | 76,601 | 12/20/23 | 3,603 |
CLP | 66,516,000 | USD | 71,178 | 12/20/23 | 2,932 |
CLP | 34,337,874 | USD | 36,578 | 12/20/23 | 1,680 |
CLP | 37,433,000 | USD | 40,393 | 12/20/23 | 1,313 |
CLP | 33,438,000 | USD | 36,074 | 12/20/23 | 1,182 |
CLP | 28,795,000 | USD | 31,064 | 12/20/23 | 1,019 |
CLP | 13,863,310 | USD | 15,000 | 12/20/23 | 446 |
CLP | 157,600,000 | USD | 175,257 | 12/20/23 | 336 |
CLP | 27,398,000 | USD | 30,570 | 12/20/23 | (44) |
CLP | 27,398,000 | USD | 30,587 | 12/20/23 | (61) |
CLP | 54,795,000 | USD | 61,121 | 12/20/23 | (70) |
CLP | 27,398,000 | USD | 30,604 | 12/20/23 | (78) |
CLP | 27,398,000 | USD | 30,604 | 12/20/23 | (78) |
CLP | 27,397,000 | USD | 30,663 | 12/20/23 | (138) |
COP | 46,739,718 | USD | 11,296 | 12/20/23 | (61) |
COP | 1,111,194,438 | USD | 268,561 | 12/20/23 | (1,459) |
EUR | 1,749,895 | USD | 1,846,687 | 12/20/23 | 9,004 |
EUR | 67,274 | USD | 72,038 | 12/20/23 | (697) |
EUR | 6,481,308 | USD | 6,940,314 | 12/20/23 | (67,155) |
IDR | 142,584,870 | USD | 9,068 | 12/20/23 | (124) |
IDR | 1,794,379,545 | USD | 116,801 | 12/20/23 | (4,242) |
IDR | 3,176,589,845 | USD | 206,762 | 12/20/23 | (7,499) |
IDR | 36,544,829,911 | USD | 2,324,188 | 12/20/23 | (31,785) |
KRW | 226,000,000 | USD | 170,481 | 12/20/23 | (2,992) |
KRW | 275,341,253 | USD | 207,781 | 12/20/23 | (3,725) |
PEN | 787,000 | USD | 202,642 | 12/20/23 | 1,833 |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
PEN | 286,000 | USD | 74,018 | 12/20/23 | $ 289 |
PEN | 925,300 | USD | 241,008 | 12/20/23 | (601) |
USD | 175,257 | CLP | 157,600,000 | 12/20/23 | (336) |
USD | 642,796 | CLP | 578,034,184 | 12/20/23 | (1,232) |
USD | 189,539 | COP | 784,234,156 | 12/20/23 | 1,030 |
USD | 90,319 | COP | 373,700,000 | 12/20/23 | 491 |
USD | 2,533,756 | EUR | 2,366,183 | 12/20/23 | 24,517 |
USD | 2,157,407 | EUR | 2,014,725 | 12/20/23 | 20,875 |
USD | 1,417,347 | EUR | 1,323,609 | 12/20/23 | 13,714 |
USD | 1,246,967 | EUR | 1,164,497 | 12/20/23 | 12,066 |
USD | 830,678 | EUR | 775,740 | 12/20/23 | 8,038 |
USD | 825,490 | EUR | 770,895 | 12/20/23 | 7,988 |
USD | 581,499 | EUR | 543,041 | 12/20/23 | 5,627 |
USD | 513,702 | EUR | 479,727 | 12/20/23 | 4,971 |
USD | 169,273 | EUR | 158,078 | 12/20/23 | 1,638 |
USD | 14,176 | EUR | 13,239 | 12/20/23 | 137 |
USD | 1,928,502 | IDR | 30,323,184,263 | 12/20/23 | 26,373 |
USD | 466,994 | IDR | 7,184,000,000 | 12/20/23 | 16,352 |
USD | 301,178 | IDR | 4,627,000,000 | 12/20/23 | 10,933 |
USD | 233,429 | IDR | 3,592,000,000 | 12/20/23 | 8,108 |
USD | 233,414 | IDR | 3,592,000,000 | 12/20/23 | 8,093 |
USD | 83,812 | INR | 7,000,000 | 12/20/23 | (126) |
USD | 143,644 | INR | 12,000,000 | 12/20/23 | (250) |
USD | 228,626 | INR | 19,100,000 | 12/20/23 | (405) |
USD | 299,330 | INR | 25,000,000 | 12/20/23 | (450) |
USD | 371,124 | INR | 31,000,000 | 12/20/23 | (602) |
USD | 598,410 | PEN | 2,228,000 | 12/20/23 | 19,542 |
USD | 352,152 | PEN | 1,313,000 | 12/20/23 | 11,015 |
USD | 127,041 | PEN | 473,000 | 12/20/23 | 4,149 |
USD | 74,829 | PEN | 279,000 | 12/20/23 | 2,341 |
USD | 63,599 | PEN | 236,563 | 12/20/23 | 2,136 |
USD | 273,341 | PEN | 1,046,000 | 12/20/23 | 1,575 |
USD | 265,690 | PEN | 1,019,000 | 12/20/23 | 938 |
USD | 16,652 | PEN | 62,000 | 12/20/23 | 544 |
USD | 13,431 | PEN | 49,959 | 12/20/23 | 451 |
USD | 259,365 | PEN | 997,000 | 12/20/23 | 330 |
USD | 3,492 | PEN | 13,000 | 12/20/23 | 114 |
USD | 1,199 | PEN | 4,640 | 12/20/23 | (6) |
USD | 237,443 | PEN | 920,660 | 12/20/23 | (1,759) |
USD | 88,097 | PHP | 5,000,000 | 12/20/23 | 52 |
USD | 88,058 | PHP | 5,000,000 | 12/20/23 | 13 |
USD | 105,645 | PHP | 6,000,000 | 12/20/23 | (9) |
USD | 149,598 | PHP | 8,500,000 | 12/20/23 | (79) |
USD | 87,772 | PHP | 5,000,000 | 12/20/23 | (273) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 105,309 | PHP | 6,000,000 | 12/20/23 | $ (346) |
$115,337 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 672,853 | PEN | 2,579,000 | Standard Chartered Bank | 11/13/23 | $ 1,811 | $ — |
AUD | 1,000,000 | USD | 639,103 | BNP Paribas | 12/20/23 | — | (3,731) |
AUD | 1,000,000 | USD | 645,679 | Citibank, N.A. | 12/20/23 | — | (10,307) |
AUD | 1,000,000 | USD | 645,950 | Citibank, N.A. | 12/20/23 | — | (10,578) |
AUD | 734,932 | USD | 474,910 | Standard Chartered Bank | 12/20/23 | — | (7,955) |
CAD | 1,720,000 | USD | 1,258,085 | Standard Chartered Bank | 12/20/23 | — | (16,717) |
CZK | 686,406 | EUR | 27,874 | Goldman Sachs International | 12/20/23 | — | (29) |
CZK | 3,537,528 | EUR | 143,865 | Goldman Sachs International | 12/20/23 | — | (371) |
CZK | 686,406 | EUR | 27,902 | UBS AG | 12/20/23 | — | (58) |
CZK | 3,389,660 | EUR | 137,746 | UBS AG | 12/20/23 | — | (244) |
EUR | 42,763 | CZK | 1,059,397 | Bank of America, N.A. | 12/20/23 | — | (229) |
EUR | 16,822 | CZK | 416,613 | Citibank, N.A. | 12/20/23 | — | (85) |
EUR | 106,923 | CZK | 2,648,492 | Citibank, N.A. | 12/20/23 | — | (556) |
EUR | 93,468 | CZK | 2,316,101 | Standard Chartered Bank | 12/20/23 | — | (525) |
EUR | 42,777 | CZK | 1,059,397 | UBS AG | 12/20/23 | — | (214) |
EUR | 104,411 | HUF | 40,929,828 | BNP Paribas | 12/20/23 | — | (1,721) |
EUR | 26,051 | HUF | 10,216,407 | Goldman Sachs International | 12/20/23 | — | (441) |
EUR | 36,942 | HUF | 14,445,822 | Goldman Sachs International | 12/20/23 | — | (511) |
EUR | 91,650 | HUF | 35,824,150 | Goldman Sachs International | 12/20/23 | — | (1,227) |
EUR | 26,052 | HUF | 10,216,407 | HSBC Bank USA, N.A. | 12/20/23 | — | (440) |
EUR | 36,936 | HUF | 14,445,822 | Standard Chartered Bank | 12/20/23 | — | (518) |
EUR | 92,354 | HUF | 36,114,553 | Standard Chartered Bank | 12/20/23 | — | (1,278) |
EUR | 104,349 | HUF | 40,929,828 | UBS AG | 12/20/23 | — | (1,787) |
GBP | 1,240,000 | USD | 1,544,770 | Citibank, N.A. | 12/20/23 | — | (37,043) |
HUF | 83,537,765 | EUR | 213,103 | BNP Paribas | 12/20/23 | 3,513 | — |
HUF | 76,466,976 | EUR | 195,628 | Goldman Sachs International | 12/20/23 | 2,619 | — |
HUF | 30,757,086 | EUR | 78,655 | Goldman Sachs International | 12/20/23 | 1,087 | — |
HUF | 20,906,778 | EUR | 53,310 | Goldman Sachs International | 12/20/23 | 903 | — |
HUF | 20,906,778 | EUR | 53,312 | HSBC Bank USA, N.A. | 12/20/23 | 901 | — |
HUF | 75,943,421 | EUR | 194,207 | Standard Chartered Bank | 12/20/23 | 2,688 | — |
HUF | 30,757,086 | EUR | 78,641 | Standard Chartered Bank | 12/20/23 | 1,102 | — |
HUF | 83,537,765 | EUR | 212,976 | UBS AG | 12/20/23 | 3,647 | — |
JPY | 557,849,895 | USD | 3,877,117 | Citibank, N.A. | 12/20/23 | — | (167,541) |
JPY | 187,000,000 | USD | 1,298,644 | UBS AG | 12/20/23 | — | (55,137) |
MXN | 4,401,704 | USD | 250,038 | BNP Paribas | 12/20/23 | — | (7,778) |
MXN | 7,818,000 | USD | 450,605 | Citibank, N.A. | 12/20/23 | — | (20,319) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
MXN | 1,711,000 | USD | 93,848 | Goldman Sachs International | 12/20/23 | $ 322 | $ — |
MXN | 2,332,000 | USD | 128,077 | Goldman Sachs International | 12/20/23 | 272 | — |
MXN | 1,711,000 | USD | 94,094 | Goldman Sachs International | 12/20/23 | 76 | — |
MXN | 1,711,000 | USD | 94,102 | Goldman Sachs International | 12/20/23 | 68 | — |
MXN | 452,156 | USD | 26,005 | Goldman Sachs International | 12/20/23 | — | (1,119) |
MXN | 751,340 | USD | 43,249 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (1,896) |
MXN | 5,135,000 | USD | 281,894 | Standard Chartered Bank | 12/20/23 | 725 | — |
MXN | 9,131,000 | USD | 526,510 | Standard Chartered Bank | 12/20/23 | — | (23,959) |
MXN | 9,261,000 | USD | 531,866 | UBS AG | 12/20/23 | — | (22,161) |
NZD | 123,149 | USD | 72,916 | Citibank, N.A. | 12/20/23 | — | (1,158) |
NZD | 200,000 | USD | 118,908 | Goldman Sachs International | 12/20/23 | — | (2,370) |
PLN | 121,627 | EUR | 26,027 | BNP Paribas | 12/20/23 | 1,233 | — |
PLN | 30,076 | EUR | 6,437 | Goldman Sachs International | 12/20/23 | 304 | — |
PLN | 121,419 | EUR | 25,981 | UBS AG | 12/20/23 | 1,233 | — |
PLN | 30,076 | EUR | 6,442 | UBS AG | 12/20/23 | 298 | — |
THB | 1,780,600 | USD | 50,210 | Standard Chartered Bank | 12/20/23 | — | (457) |
THB | 1,622,000 | USD | 46,189 | Standard Chartered Bank | 12/20/23 | — | (868) |
THB | 2,000,000 | USD | 57,421 | Standard Chartered Bank | 12/20/23 | — | (1,537) |
USD | 468,031 | AUD | 730,000 | Goldman Sachs International | 12/20/23 | 4,210 | — |
USD | 274,605 | CNH | 2,000,000 | Goldman Sachs International | 12/20/23 | 1,289 | — |
USD | 1,669,434 | CNH | 12,156,800 | JPMorgan Chase Bank, N.A. | 12/20/23 | 8,114 | — |
USD | 188,273 | CNH | 1,371,000 | JPMorgan Chase Bank, N.A. | 12/20/23 | 915 | — |
USD | 190,866 | JPY | 28,601,250 | HSBC Bank USA, N.A. | 12/20/23 | 674 | — |
USD | 182,857 | JPY | 27,398,750 | HSBC Bank USA, N.A. | 12/20/23 | 662 | — |
USD | 71,255 | MXN | 1,292,000 | State Street Bank and Trust Company | 12/20/23 | 146 | — |
USD | 69,655 | MXN | 1,265,000 | State Street Bank and Trust Company | 12/20/23 | 32 | — |
USD | 24,532 | MXN | 451,000 | State Street Bank and Trust Company | 12/20/23 | — | (290) |
USD | 82,215 | MXN | 1,500,800 | State Street Bank and Trust Company | 12/20/23 | — | (386) |
USD | 1,789,089 | MXN | 31,815,200 | UBS AG | 12/20/23 | 38,049 | — |
USD | 1,184,196 | NZD | 2,000,000 | Citibank, N.A. | 12/20/23 | 18,811 | — |
USD | 932,014 | NZD | 1,579,162 | UBS AG | 12/20/23 | 11,848 | — |
USD | 70,346 | ZAR | 1,349,521 | Goldman Sachs International | 12/20/23 | — | (1,762) |
USD | 112,453 | ZAR | 2,146,197 | Goldman Sachs International | 12/20/23 | — | (2,223) |
USD | 116,874 | ZAR | 2,235,622 | Goldman Sachs International | 12/20/23 | — | (2,580) |
USD | 276,416 | ZAR | 5,306,169 | Goldman Sachs International | 12/20/23 | — | (7,103) |
USD | 388,051 | ZAR | 7,428,653 | Goldman Sachs International | 12/20/23 | — | (8,877) |
USD | 71,170 | ZAR | 1,365,360 | HSBC Bank USA, N.A. | 12/20/23 | — | (1,784) |
USD | 112,425 | ZAR | 2,146,197 | HSBC Bank USA, N.A. | 12/20/23 | — | (2,250) |
USD | 116,793 | ZAR | 2,235,622 | HSBC Bank USA, N.A. | 12/20/23 | — | (2,661) |
USD | 314,895 | ZAR | 6,009,669 | HSBC Bank USA, N.A. | 12/20/23 | — | (6,214) |
USD | 387,899 | ZAR | 7,428,652 | HSBC Bank USA, N.A. | 12/20/23 | — | (9,029) |
USD | 275,199 | ZAR | 5,276,932 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (6,759) |
USD | 313,120 | ZAR | 5,972,304 | UBS AG | 12/20/23 | — | (5,992) |
ZAR | 708,932 | USD | 37,327 | HSBC Bank USA, N.A. | 12/20/23 | 553 | — |
ZAR | 354,466 | USD | 18,797 | HSBC Bank USA, N.A. | 12/20/23 | 143 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
ZAR | 727,919 | USD | 38,395 | Standard Chartered Bank | 12/20/23 | $ 499 | $ — |
ZAR | 3,732,259 | USD | 195,577 | State Street Bank and Trust Company | 12/20/23 | 3,846 | — |
ZAR | 354,466 | USD | 18,804 | State Street Bank and Trust Company | 12/20/23 | 136 | — |
USD | 813,165 | BRL | 4,000,000 | BNP Paribas | 1/3/24 | 25,267 | — |
USD | 946,943 | BRL | 4,760,000 | BNP Paribas | 1/3/24 | 9,345 | — |
HUF | 28,704,178 | EUR | 70,424 | BNP Paribas | 1/11/24 | 3,881 | — |
HUF | 87,499,292 | EUR | 217,682 | UBS AG | 1/11/24 | 8,638 | — |
HUF | 25,982,880 | EUR | 64,090 | UBS AG | 1/11/24 | 3,150 | — |
TRY | 2,085,315 | USD | 66,784 | Standard Chartered Bank | 3/20/24 | — | (1,704) |
USD | 64,751 | TRY | 2,085,315 | Standard Chartered Bank | 3/20/24 | — | (330) |
TRY | 1,020,467 | USD | 30,191 | Standard Chartered Bank | 6/21/24 | — | (1,108) |
USD | 29,065 | TRY | 1,020,467 | Standard Chartered Bank | 6/21/24 | — | (19) |
TRY | 5,059,000 | USD | 138,127 | Standard Chartered Bank | 9/20/24 | — | (6,155) |
USD | 131,770 | TRY | 5,059,000 | Standard Chartered Bank | 9/20/24 | — | (201) |
TRY | 1,375,000 | USD | 37,027 | Standard Chartered Bank | 9/23/24 | — | (1,262) |
USD | 35,860 | TRY | 1,375,000 | Standard Chartered Bank | 9/23/24 | 95 | — |
$163,105 | $(471,554) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
Long Gilt | 17 | Long | 12/27/23 | $1,924,931 | $ (31,017) |
U.S. 10-Year Treasury Note | 20 | Long | 12/19/23 | 2,123,437 | (79,481) |
U.S. Ultra-Long Treasury Bond | 5 | Long | 12/19/23 | 562,813 | (74,514) |
Euro-Bobl | (1) | Short | 12/7/23 | (123,047) | 709 |
Euro-Buxl | (1) | Short | 12/7/23 | (127,416) | 10,941 |
Japan 10-Year Bond | (1) | Short | 12/13/23 | (948,375) | 14,514 |
$ (158,848) |
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 | $ 41,255 |
EUR | 300 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 41,255 |
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 | 200 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | $ 27,479 |
EUR | 280 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 40,753 |
EUR | 200 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (32,279) |
EUR | 300 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (48,419) |
EUR | 300 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (48,517) |
EUR | 280 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | (49,853) |
EUR | 110 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | (1,801) |
EUR | 500 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.72% (pays upon termination) | 6/15/53 | 6,578 |
USD | 150 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.44% (pays upon termination) | 1/13/33 | 3,034 |
USD | 1,300 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (57,832) |
USD | 450 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (20,349) |
USD | 800 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 44,688 |
USD | 400 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 22,209 |
USD | 490 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 30,677 |
USD | 150 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | 8,833 |
$ 7,711 |
Interest Rate Swaps (Centrally Cleared) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
AUD | 500 | Pays | 6-month AUD Bank Bill (pays semi-annually) | 4.48% (pays semi-annually) | 6/21/25 | $ (2,171) | $ — | $ (2,171) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
BRL | 7,850 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.40% (pays upon termination) | 1/2/25 | $ (16,509) | $ — | $ (16,509) |
BRL | 7,850 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.50% (pays upon termination) | 1/2/25 | (14,651) | — | (14,651) |
BRL | 7,679 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (14,161) | — | (14,161) |
BRL | 8,021 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (14,744) | — | (14,744) |
BRL | 18,300 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.96% (pays upon termination) | 1/2/25 | (10,447) | — | (10,447) |
CLP | 310,800 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.51% (pays semi-annually) | 9/20/28 | 10,645 | — | 10,645 |
CLP | 310,800 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.68% (pays semi-annually) | 9/20/28 | (8,075) | — | (8,075) |
CLP | 756,080 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.77% (pays semi-annually) | 6/6/33 | 31,285 | 237 | 31,522 |
CLP | 253,920 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.65% (pays semi-annually) | 6/14/33 | 11,726 | — | 11,726 |
CNY | 4,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.28% (pays quarterly) | 9/20/28 | (2,652) | — | (2,652) |
CNY | 8,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | (5,135) | — | (5,135) |
CNY | 4,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | (2,531) | — | (2,531) |
CNY | 2,300 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | (1,344) | — | (1,344) |
CNY | 3,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.41% (pays quarterly) | 12/20/28 | (53) | — | (53) |
CNY | 3,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.41% (pays quarterly) | 12/20/28 | (53) | — | (53) |
CNY | 2,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.42% (pays quarterly) | 12/20/28 | 7 | — | 7 |
CNY | 3,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.42% (pays quarterly) | 12/20/28 | 64 | — | 64 |
CNY | 2,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.43% (pays quarterly) | 12/20/28 | 198 | — | 198 |
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 | 5,200 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.43% (pays quarterly) | 12/20/28 | $ 531 | $ — | $ 531 |
CNY | 1,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 117 | — | 117 |
CNY | 1,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 135 | — | 135 |
CNY | 2,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 294 | — | 294 |
CNY | 1,600 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 245 | — | 245 |
CNY | 1,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.45% (pays quarterly) | 12/20/28 | 183 | — | 183 |
CNY | 1,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.46% (pays quarterly) | 12/20/28 | 267 | — | 267 |
CNY | 1,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 297 | — | 297 |
CNY | 3,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 980 | — | 980 |
CNY | 1,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 333 | — | 333 |
COP | 651,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.25% (pays quarterly) | 11/26/25 | 10,202 | — | 10,202 |
COP | 1,117,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.49% (pays quarterly) | 9/20/28 | 5,750 | — | 5,750 |
CZK | 3,829 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | (8,068) | — | (8,068) |
CZK | 7,658 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (15,756) | — | (15,756) |
CZK | 11,513 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (23,390) | — | (23,390) |
EUR | 4,100 | Pays | 6-month EURIBOR (pays semi-annually) | 3.60% (pays annually) | 6/21/25 | (14,002) | — | (14,002) |
EUR | 2,065 | Pays | 6-month EURIBOR (pays semi-annually) | 3.14% (pays annually) | 9/20/28 | (14,704) | — | (14,704) |
EUR | 2,065 | Pays | 6-month EURIBOR (pays semi-annually) | 3.20% (pays annually) | 9/20/28 | (8,359) | — | (8,359) |
EUR | 625 | Pays | 6-month EURIBOR (pays semi-annually) | 2.96% (pays annually) | 9/20/43 | (39,774) | — | (39,774) |
EUR | 625 | Pays | 6-month EURIBOR (pays semi-annually) | 3.00% (pays annually) | 9/20/43 | (35,682) | — | (35,682) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
GBP | 101 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.56% (pays annually) | 10/2/28 | $ 172 | $ — | $ 172 |
GBP | 199 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.39% (pays annually) | 12/20/28 | (857) | — | (857) |
GBP | 100 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.59% (pays annually) | 12/20/28 | 608 | — | 608 |
GBP | 850 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.20% (pays annually) | 6/21/33 | (17,695) | — | (17,695) |
INR | 37,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/25 | 615 | — | 615 |
INR | 23,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/25 | 395 | — | 395 |
INR | 121,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 2,657 | — | 2,657 |
INR | 173,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 3,856 | — | 3,856 |
INR | 36,200 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/28 | 981 | — | 981 |
JPY | 129,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.41% (pays annually) | 9/20/28 | 9,503 | — | 9,503 |
JPY | 80,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.43% (pays annually) | 6/15/32 | 25,072 | — | 25,072 |
JPY | 90,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.43% (pays annually) | 6/15/32 | 28,206 | — | 28,206 |
JPY | 21,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.90% (pays annually) | 2/2/33 | 1,074 | — | 1,074 |
JPY | 1,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 194 | — | 194 |
JPY | 1,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 193 | — | 193 |
JPY | 1,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.81% (pays annually) | 9/20/33 | 190 | — | 190 |
JPY | 120,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.82% (pays annually) | 9/20/33 | 21,794 | — | 21,794 |
JPY | 26,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | 17,256 | — | 17,256 |
JPY | 23,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | 15,123 | — | 15,123 |
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 | 25,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | $ 16,214 | $ — | $ 16,214 |
JPY | 11,900 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | 7,689 | — | 7,689 |
JPY | 11,100 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | 7,066 | — | 7,066 |
JPY | 11,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | 6,959 | — | 6,959 |
KRW | 623,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.10% (pays quarterly) | 2/1/28 | (18,578) | — | (18,578) |
KRW | 60,947 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.23% (pays quarterly) | 6/21/33 | (3,318) | — | (3,318) |
KRW | 370,101 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 6/21/33 | (18,421) | — | (18,421) |
KRW | 68,321 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 6/21/33 | (3,321) | — | (3,321) |
KRW | 18,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.35% (pays quarterly) | 6/21/33 | (846) | — | (846) |
KRW | 30,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.29% (pays quarterly) | 9/20/33 | (1,560) | — | (1,560) |
KRW | 21,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (1,073) | — | (1,073) |
KRW | 5,131 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (260) | — | (260) |
KRW | 28,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 9/20/33 | (1,383) | — | (1,383) |
KRW | 28,500 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.34% (pays quarterly) | 9/20/33 | (1,393) | — | (1,393) |
KRW | 44,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 9/20/33 | (1,978) | — | (1,978) |
KRW | 45,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.52% (pays quarterly) | 9/20/33 | (1,699) | — | (1,699) |
KRW | 91,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (3,221) | — | (3,221) |
KRW | 42,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (1,484) | — | (1,484) |
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 | 36,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | $ (1,263) | $ — | $ (1,263) |
KRW | 42,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.59% (pays quarterly) | 9/20/33 | (1,395) | — | (1,395) |
MXN | 43,220 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 11.33% (pays monthly) | 10/7/24 | (2,424) | — | (2,424) |
MXN | 80,920 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 11.24% (pays monthly) | 10/9/24 | (8,055) | — | (8,055) |
MXN | 30,860 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 11.25% (pays monthly) | 10/10/24 | (2,975) | — | (2,975) |
PLN | 600 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.99% (pays annually) | 9/21/32 | (21,162) | — | (21,162) |
PLN | 510 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.53% (pays annually) | 12/21/32 | (7,648) | — | (7,648) |
PLN | 590 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.85% (pays annually) | 12/21/32 | (12,517) | — | (12,517) |
PLN | 1,500 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.98% (pays annually) | 12/21/32 | (35,476) | — | (35,476) |
PLN | 750 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.32% (pays annually) | 2/1/33 | (8,469) | — | (8,469) |
PLN | 1,327 | Receives | 6-month PLN WIBOR (pays semi-annually) | 4.70% (pays annually) | 9/20/33 | 7,614 | — | 7,614 |
PLN | 667 | Receives | 6-month PLN WIBOR (pays semi-annually) | 4.71% (pays annually) | 9/20/33 | 3,715 | — | 3,715 |
PLN | 413 | Receives | 6-month PLN WIBOR (pays semi-annually) | 4.82% (pays annually) | 9/20/33 | 1,457 | — | 1,457 |
USD | 1,050 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (27,799) | — | (27,799) |
USD | 1,050 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (27,752) | — | (27,752) |
USD | 1,000 | Pays | SOFR (pays annually) | 3.06% (pays annually) | 11/7/32 | (125,526) | — | (125,526) |
USD | 160 | Pays | SOFR (pays annually) | 3.23% (pays semi-annually) | 1/13/33 | (20,037) | — | (20,037) |
USD | 1,000 | Pays | SOFR (pays annually) | 3.18% (pays annually) | 2/2/33 | (119,707) | — | (119,707) |
USD | 220 | Pays | SOFR (pays annually) | 3.22% (pays annually) | 6/6/33 | (10,340) | — | (10,340) |
USD | 310 | Pays | SOFR (pays annually) | 3.25% (pays annually) | 6/6/33 | (14,323) | — | (14,323) |
USD | 300 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/7/33 | (13,731) | — | (13,731) |
USD | 270 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/14/33 | (12,304) | — | (12,304) |
USD | 1,265 | Pays | SOFR (pays annually) | 3.60% (pays annually) | 8/28/33 | (103,207) | — | (103,207) |
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 | 4,042 | Receives | 3-month ZAR JIBAR (pays quarterly) | 8.94% (pays quarterly) | 12/20/28 | $ (2,018) | $ — | $ (2,018) |
ZAR | 4,868 | Receives | 3-month ZAR JIBAR (pays quarterly) | 8.95% (pays quarterly) | 12/20/28 | (2,555) | — | (2,555) |
Total | $(658,169) | $ 237 | $(657,932) |
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) | 0.68% | 6/20/24 | $ 955 | $ (570) | $ 385 |
Total | $300 | $955 | $(570) | $385 |
* | 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 October 31, 2023, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $300,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
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 | $ 18,972 |
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 | (4,880) |
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 | (14,498) |
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 | (1,343) |
$ (1,749) |
(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. |
Abbreviations: | |
COF | – Cost of Funds 11th District |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
EURIBOR | – Euro Interbank Offered Rate |
FBIL | – Financial Benchmarks India Ltd. |
GDP | – Gross Domestic Product |
HICP | – Harmonised Indices of Consumer Prices |
JIBAR | – Johannesburg Interbank Average Rate |
MIBOR | – Mumbai Interbank Offered Rate |
OTC | – Over-the-counter |
PRIBOR | – Prague Interbank Offered Rate |
SOFR | – Secured Overnight Financing 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 |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
INR | – Indian Rupee |
ISK | – Icelandic Krona |
JPY | – Japanese Yen |
KRW | – South Korean Won |
MXN | – Mexican Peso |
NZD | – New Zealand Dollar |
PEN | – Peruvian Sol |
PHP | – Philippine Peso |
PLN | – Polish Zloty |
RSD | – Serbian Dinar |
THB | – Thai Baht |
TRY | – Turkish Lira |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
ZAR | – South African Rand |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $40,509,250) | $ 38,055,907 |
Affiliated investments, at value (identified cost $803,076) | 803,076 |
Cash | 3,261 |
Deposits for derivatives collateral: | |
Futures contracts | 167,185 |
Centrally cleared derivatives | 184,933 |
Foreign currency, at value (identified cost $752,969) | 752,403 |
Interest and dividends receivable | 511,951 |
Dividends receivable from affiliated investments | 6,544 |
Receivable for investments sold | 1,308 |
Receivable for variation margin on open futures contracts | 11,720 |
Receivable for variation margin on open centrally cleared derivatives | 23,361 |
Receivable for open forward foreign currency exchange contracts | 163,105 |
Receivable for open swap contracts | 19,357 |
Upfront payments on open non-centrally cleared swap contracts | 570 |
Receivable from affiliates | 21,265 |
Trustees' deferred compensation plan | 35,628 |
Total assets | $40,761,574 |
Liabilities | |
Payable for reverse repurchase agreements, including accrued interest of $2,473 | $ 797,492 |
Written swaptions outstanding, at value (premiums received $15,117) | 75,613 |
Payable for investments purchased | 2,598,738 |
Payable for securities sold short, at value (proceeds $566,115) | 551,478 |
Payable for open forward foreign currency exchange contracts | 471,554 |
Payable for open swap contracts | 20,721 |
Payable for closed swap contracts | 5,025 |
Payable to affiliates: | |
Investment adviser fee | 15,557 |
Trustees' fees | 268 |
Trustees' deferred compensation plan | 35,628 |
Interest payable on securities sold short | 9,700 |
Accrued foreign capital gains taxes | 156 |
Accrued expenses | 151,359 |
Total liabilities | $ 4,733,289 |
Net Assets applicable to investors' interest in Portfolio | $36,028,285 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income from affiliated investments | $ 126,697 |
Interest income (net of foreign taxes withheld of $33,374) | 1,931,736 |
Total investment income | $ 2,058,433 |
Expenses | |
Investment adviser fee | $ 190,937 |
Trustees’ fees and expenses | 2,944 |
Custodian fee | 191,407 |
Legal and accounting services | 77,819 |
Interest expense and fees | 6,459 |
Interest expense on securities sold short | 6,434 |
Miscellaneous | 13,595 |
Total expenses | $ 489,595 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 213,351 |
Total expense reductions | $ 213,351 |
Net expenses | $ 276,244 |
Net investment income | $ 1,782,189 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $5,151) | $ (2,524,591) |
Written swaptions | 36,050 |
Securities sold short | 3,431 |
Futures contracts | (77,802) |
Swap contracts | (472,449) |
Foreign currency transactions | 125,022 |
Forward foreign currency exchange contracts | (392,837) |
Non-deliverable bond forward contracts | 106,415 |
Net realized loss | $(3,196,761) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $156) | $ 3,988,386 |
Written swaptions | 49,410 |
Securities sold short | 14,637 |
Futures contracts | (276,333) |
Swap contracts | (262,773) |
Foreign currency | (29,387) |
Forward foreign currency exchange contracts | (462,253) |
Non-deliverable bond forward contracts | (16,849) |
Net change in unrealized appreciation (depreciation) | $ 3,004,838 |
Net realized and unrealized loss | $ (191,923) |
Net increase in net assets from operations | $ 1,590,266 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,782,189 | $ 1,267,521 |
Net realized loss | (3,196,761) | (2,839,955) |
Net change in unrealized appreciation (depreciation) | 3,004,838 | (6,379,198) |
Net increase (decrease) in net assets from operations | $ 1,590,266 | $ (7,951,632) |
Capital transactions: | ||
Contributions | $ 17,066,116 | $ 3,228,450 |
Withdrawals | (11,182,963) | (24,824,354) |
Net increase (decrease) in net assets from capital transactions | $ 5,883,153 | $(21,595,904) |
Net increase (decrease) in net assets | $ 7,473,419 | $(29,547,536) |
Net Assets | ||
At beginning of year | $ 28,554,866 | $ 58,102,402 |
At end of year | $ 36,028,285 | $ 28,554,866 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.72% (1)(2)(3) | 0.72% (1)(2)(3) | 0.71% (2)(3) | 0.71% (2)(3) | 0.81% (2)(3) |
Net investment income | 4.66% | 3.13% | 1.86% | 2.48% | 3.73% |
Portfolio Turnover | 230% (4) | 159% (4) | 102% (4) | 88% (4) | 92% |
Total Return | 6.86% (3) | (18.54)% (3) | (0.08)% (3) | 6.04% (3) | 5.92% (3) |
Net assets, end of year (000’s omitted) | $36,028 | $28,555 | $58,102 | $57,167 | $84,644 |
(1) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
(2) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.03% and 0.02% of average daily net assets for the years ended October 31, 2023 and 2022, respectively, and 0.01% of average daily net assets for each of the years ended October 31, 2021, 2020 and 2019. |
(3) | The investment adviser reimbursed certain operating expenses (equal to 0.56%, 0.40%, 0.19%, 0.16% and 0.09% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(4) | 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) | $ 31,769,809 | $ 29,154,964 |
U.S. Government and Agency Securities | 42,785,615 | 42,039,583 |
$74,555,424 | $71,194,547 |
Aggregate cost | $ 39,852,744 |
Gross unrealized appreciation | $ 1,479,155 |
Gross unrealized depreciation | (3,516,725) |
Net unrealized depreciation | $ (2,037,570) |
Fair Value | ||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Not applicable | $ — | $ 242,019* | $ 544,787* | $ 786,806 |
Receivable for open forward foreign currency exchange contracts | — | 163,105 | — | 163,105 |
Receivable for open swap contracts; Upfront payments on open non-centrally cleared swap contracts | 955 | — | 18,972 | 19,927 |
Total Asset Derivatives | $ 955 | $ 405,124 | $ 563,759 | $ 969,838 |
Derivatives not subject to master netting or similar agreements | $ — | $ 242,019 | $ 544,787 | $ 786,806 |
Total Asset Derivatives subject to master netting or similar agreements | $ 955 | $ 163,105 | $ 18,972 | $ 183,032 |
Written swaptions outstanding, at value | $ — | $ — | $ (75,613) | $ (75,613) |
Not applicable | — | (126,682)* | (1,354,093)* | (1,480,775) |
Payable for open forward foreign currency exchange contracts | — | (471,554) | — | (471,554) |
Payable for open swap contracts; Upfront receipts on open non-centrally cleared swap contracts | — | — | (20,721) | (20,721) |
Total Liability Derivatives | $ — | $(598,236) | $(1,450,427) | $(2,048,663) |
Derivatives not subject to master netting or similar agreements | $ — | $(126,682) | $(1,354,093) | $(1,480,775) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $(471,554) | $ (96,334) | $ (567,888) |
* | 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) |
Barclays Bank PLC | $ 18,972 | $ — | $ — | $ — | $ 18,972 |
BNP Paribas | 43,239 | (13,230) | — | — | 30,009 |
Citibank, N.A. | 18,811 | (18,811) | — | — | — |
Goldman Sachs International | 12,105 | (12,105) | — | — | — |
HSBC Bank USA, N.A. | 2,933 | (2,933) | — | — | — |
JPMorgan Chase Bank, N.A. | 9,029 | (8,655) | — | — | 374 |
Standard Chartered Bank | 6,920 | (6,920) | — | — | — |
State Street Bank and Trust Company | 4,160 | (676) | — | — | 3,484 |
UBS AG | 66,863 | (66,863) | — | — | — |
$183,032 | $(130,193) | $ — | $ — | $52,839 |
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. | $ (229) | $ — | $ — | $ — | $ (229) |
BNP Paribas | (13,230) | 13,230 | — | — | — |
Citibank, N.A. | (323,200) | 18,811 | 304,389 | — | — |
Goldman Sachs International | (49,334) | 12,105 | — | — | (37,229) |
HSBC Bank USA, N.A. | (22,378) | 2,933 | — | — | (19,445) |
JPMorgan Chase Bank, N.A. | (8,655) | 8,655 | — | — | — |
Standard Chartered Bank | (64,593) | 6,920 | 57,673 | — | — |
State Street Bank and Trust Company | (676) | 676 | — | — | — |
UBS AG | (85,593) | 66,863 | — | — | (18,730) |
$(567,888) | $130,193 | $362,062 | $ — | $(75,633) |
(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 | $ — | $ (13,224) | $ (32,900) | $ (46,124) |
Written swaptions | — | — | 36,050 | 36,050 |
Futures contracts | — | — | (77,802) | (77,802) |
Swap contracts | 146,602 | — | (619,051) | (472,449) |
Forward foreign currency exchange contracts | — | (392,837) | — | (392,837) |
Non-deliverable bond forward contracts | — | — | 106,415 | 106,415 |
Total | $146,602 | $(406,061) | $(587,288) | $(846,747) |
Change in unrealized appreciation (depreciation): | ||||
Investments | $ — | $ — | $ 32,899 | $ 32,899 |
Written swaptions | — | — | 49,410 | 49,410 |
Futures contracts | — | — | (276,333) | (276,333) |
Swap contracts | (32,684) | — | (230,089) | (262,773) |
Forward foreign currency exchange contracts | — | (462,253) | — | (462,253) |
Non-deliverable bond forward contracts | — | — | (16,849) | (16,849) |
Total | $ (32,684) | $(462,253) | $(440,962) | $(935,899) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Purchased Call Options | Written Swaptions | Swap Contracts |
$4,007,000 | $2,544,000 | $70,092,000 | $1,048,000 | $5,423,000 | $1,930,000 | $55,683,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
Barclays Bank PLC | 9/29/23 | On Demand(1) | 5.65% | $ 375,840 | $ 377,469 |
Barclays Bank PLC | 10/16/23 | On Demand(1) | 5.65 | 419,179 | 420,023 |
Total | $795,019 | $797,492 |
(1) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Counterparty | Repurchase Agreements | Liabilities Available for Offset | Securities Collateral Received(a) | Net Amount(b) |
Barclays Bank PLC | $576,209 | $(576,209) | $ — | $ — |
Counterparty | Reverse Repurchase Agreements* | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(c) |
Barclays Bank PLC | $(797,492) | $576,209 | $221,283 | $ — |
* | Including accrued interest. |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $1,368,351 | $57,492,949 | $(58,058,224) | $ — | $ — | $803,076 | $126,697 | 803,076 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Collateralized Mortgage Obligations | $ — | $ 2,724,100 | $ — | $ 2,724,100 |
Foreign Corporate Bonds | — | 1,274,749 | — | 1,274,749 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Sovereign Government Bonds | $ — | $ 21,195,267 | $ — | $ 21,195,267 |
U.S. Government Agency Mortgage-Backed Securities | — | 3,526,699 | — | 3,526,699 |
U.S. Treasury Obligations | — | 294,203 | — | 294,203 |
Short-Term Investments: | ||||
Affiliated Fund | 803,076 | — | — | 803,076 |
Repurchase Agreements | — | 576,209 | — | 576,209 |
Sovereign Government Securities | — | 1,705,342 | — | 1,705,342 |
U.S. Treasury Obligations | — | 6,759,338 | — | 6,759,338 |
Total Investments | $ 803,076 | $ 38,055,907 | $ — | $ 38,858,983 |
Forward Foreign Currency Exchange Contracts | $ — | $ 405,124 | $ — | $ 405,124 |
Futures Contracts | 26,164 | — | — | 26,164 |
Swap Contracts | — | 538,550 | — | 538,550 |
Total | $ 829,240 | $ 38,999,581 | $ — | $ 39,828,821 |
Liability Description | ||||
Securities Sold Short | $ — | $ (551,478) | $ — | $ (551,478) |
Written Interest Rate Swaptions | — | (75,613) | — | (75,613) |
Forward Foreign Currency Exchange Contracts | — | (598,236) | — | (598,236) |
Futures Contracts | (185,012) | — | — | (185,012) |
Swap Contracts | — | (1,189,802) | — | (1,189,802) |
Total | $ (185,012) | $ (2,415,129) | $ — | $ (2,600,141) |
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 October 31, 2023 | $ — | $ — | $ — |
(1) | Transferred from Level 3 based on the observability of valuation inputs resulting from new market activity. |
Boston, Massachusetts
December 22, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Global Sovereign 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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Advisers Class at NAV | 05/17/2021 | 09/30/2002 | (0.92)% | 0.08% | 0.87% |
Class A at NAV | 09/30/2002 | 09/30/2002 | (0.92) | 0.08 | 0.87 |
Class A with 2.25% Maximum Sales Charge | — | — | (3.21) | (0.37) | 0.64 |
Class C at NAV | 09/30/2002 | 09/30/2002 | (1.51) | (0.51) | 0.39 |
Class C with 1% Maximum Deferred Sales Charge | — | — | (2.45) | (0.51) | 0.39 |
Class I at NAV | 05/04/2009 | 09/30/2002 | (0.81) | 0.33 | 1.12 |
ICE BofA 0-1 Year U.S. Treasury Index | — | — | 4.68% | 1.75% | 1.19% |
% Total Annual Operating Expense Ratios3 | Advisers Class | Class A | Class C | Class I |
0.79% | 0.79% | 1.39% | 0.54% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Advisers Class | $10,000 | 10/31/2013 | $10,903 | N.A. |
Class C | $10,000 | 10/31/2013 | $10,392 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,117,545 | N.A. |
Asset Allocation (% of total investments)1 |
1 | Other represents any investment type less than 1% of total investments. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. |
Additional Information | |
Bloomberg U.S. Treasury Index measures the performance of U.S. Treasuries with a maturity of one year or more. Bloomberg U.S. Corporate Bond Index measures the performance of investment-grade U.S. corporate securities with a maturity of one year or more. Bloomberg U.S. Corporate High Yield Index measures USD-denominated, non-investment grade corporate securities. Bloomberg U.S. Asset-Backed Securities Index tracks the performance of U.S. dollar denominated investment grade, fixed rate asset-backed securities publicly issued in the U.S. domestic market. Bloomberg U.S. Mortgage-Backed Securities Index measures agency mortgage-backed pass-through securities issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). | |
Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. | |
Spread is the difference in yield between a U.S. Treasury bond and another debt security of the same maturity but different credit quality. | |
Important Notice to Shareholders | |
Effective December 31, 2023, the Fund's benchmark will change to the ICE BofA 1-3 Year Treasury Index (the “New Benchmark”). The Fund's investment adviser believes the New Benchmark is a better reflection of the Fund's long-term expected positioning and will be a more appropriate benchmark for the Fund going forward. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Advisers Class | $1,000.00 | $ 988.40 | $5.31 | 1.06% |
Class A | $1,000.00 | $ 987.10 | $5.26 | 1.05% |
Class C | $1,000.00 | $ 984.20 | $8.20 | 1.64% |
Class I | $1,000.00 | $ 988.30 | $4.01 | 0.80% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Advisers Class | $1,000.00 | $1,019.86 | $5.40 | 1.06% |
Class A | $1,000.00 | $1,019.91 | $5.35 | 1.05% |
Class C | $1,000.00 | $1,016.94 | $8.34 | 1.64% |
Class I | $1,000.00 | $1,021.17 | $4.08 | 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 184/365 (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 April 30, 2023. |
Collateralized Mortgage Obligations — 45.2% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
Series 2135, Class JZ, 6.00%, 3/15/29 | $ | 222 | $ 222,295 |
Series 3866, Class DF, 6.00%, (30-day average SOFR + 1.564%), 5/15/41(1) | 1,044 | 971,617 | |
Series 4102, Class DF, 5.50%, (30-day average SOFR + 1.264%), 9/15/42(1) | 271 | 241,417 | |
Series 4159, Class FP, 5.00%, (30-day average SOFR + 1.014%), 11/15/42(1) | 611 | 542,516 | |
Series 4180, Class KF, 5.00%, (30-day average SOFR + 1.114%), 1/15/43(1) | 3,145 | 2,742,511 | |
Series 4204, Class AF, 5.00%, (30-day average SOFR + 1.114%), 5/15/43(1) | 540 | 460,211 | |
Series 4212, Class NS, 0.00%, (5.263% - 30-day average SOFR x 1.20, Floor 0.00%), 6/15/43(2) | 1,693 | 1,291,675 | |
Series 4223, Class NF, 6.00%, (30-day average SOFR + 1.064%), 7/15/43(1) | 1,931 | 1,743,662 | |
Series 4249, Class CF, 6.231%, (30-day average SOFR + 0.914%), 9/15/43(1) | 7,082 | 6,732,380 | |
Series 4299, Class JG, 2.50%, 7/15/43 | 608 | 538,851 | |
Series 4389, Class CA, 3.00%, 9/15/44 | 1,297 | 1,105,395 | |
Series 4619, Class KF, 5.00%, (30-day average SOFR + 0.864%), 6/15/39(1) | 710 | 644,877 | |
Series 4678, Class PC, 3.00%, 1/15/46 | 1,328 | 1,196,507 | |
Series 4876, Class FA, 6.135%, (30-day average SOFR + 0.814%), 5/15/49(1) | 6,420 | 6,220,763 | |
Series 4995, Class ZN, 2.50%, 7/25/50 | 1,042 | 482,334 | |
Series 5009, Class ZN, 3.50%, 7/25/50 | 5,161 | 3,600,298 | |
Series 5028, Class AZ, 2.00%, 10/25/50 | 1,010 | 346,975 | |
Series 5028, Class TZ, 2.00%, 10/25/50 | 2,713 | 1,232,038 | |
Series 5028, Class ZA, 2.00%, 10/25/50 | 1,161 | 530,404 | |
Series 5031, Class Z, 2.50%, 10/25/50 | 8 | 4,023 | |
Series 5035, Class AZ, 2.00%, 11/25/50 | 1,475 | 595,975 | |
Series 5035, Class ZK, 2.50%, 11/25/50 | 17,294 | 8,789,878 | |
Series 5035, Class ZT, 2.00%, 10/25/50 | 1,650 | 646,234 | |
Series 5037, Class ZQ, 2.00%, 11/25/50 | 779 | 300,833 | |
Series 5038, Class Z, 2.50%, 10/25/50 | 4 | 1,430 | |
Series 5038, Class ZN, 2.00%, 11/25/50 | 1,820 | 630,153 | |
Series 5039, Class PZ, 2.00%, 11/25/50 | 1,177 | 429,899 | |
Series 5039, Class ZJ, 2.00%, 11/25/50 | 357 | 123,832 | |
Series 5040, Class TZ, 2.50%, 11/25/50 | 4,345 | 1,944,663 | |
Series 5048, Class CZ, 2.00%, 12/25/50 | 1,898 | 694,713 | |
Series 5058, Class Z, 2.00%, 1/25/51 | 714 | 258,760 | |
Series 5058, Class ZA, 2.00%, 1/25/51 | 1,036 | 390,039 | |
Series 5058, Class ZH, 3.00%, 5/25/50 | 2,941 | 1,486,408 | |
Series 5068, Class UZ, 2.50%, 1/25/51 | 9,578 | 4,915,822 | |
Series 5071, Class CS, 0.00%, (3.30% - 30-day average SOFR, Floor 0.00%), 2/25/51(2) | 6,990 | 3,161,335 | |
Series 5071, Class SP, 0.00%, (3.30% - 30-day average SOFR, Floor 0.00%), 2/25/51(2) | 9,615 | 3,294,021 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: (continued) | |||
Series 5072, Class ZU, 2.50%, 2/25/51 | $ | 3,051 | $ 1,387,500 |
Series 5083, Class SK, 0.00%, (3.867% - 30-day average SOFR x 1.333, Floor 0.00%), 3/25/51(2) | 8,471 | 4,240,348 | |
Series 5083, Class ZW, 2.50%, 3/25/51 | 5,115 | 2,297,756 | |
Series 5090, Class PZ, 2.50%, 3/25/51 | 534 | 226,481 | |
Series 5093, Class Z, 3.00%, 1/25/51 | 1 | 461 | |
Series 5093, Class ZM, 3.00%, 3/25/51 | 2 | 1,054 | |
Series 5101, Class EZ, 2.00%, 3/25/51 | 2,043 | 917,608 | |
Series 5104, Class WZ, 3.00%, 4/25/51 | 909 | 501,249 | |
Series 5114, Class ZH, 3.00%, 5/25/51 | 443 | 245,302 | |
Series 5123, Class JZ, 2.00%, 7/25/51 | 780 | 352,536 | |
Series 5129, Class CZ, 3.00%, 8/25/50 | 15,212 | 8,280,510 | |
Series 5129, Class HZ, 1.25%, 4/25/50 | 1,637 | 627,781 | |
Series 5129, Class TZ, 2.50%, 8/25/51 | 3,227 | 1,346,729 | |
Series 5129, Class WZ, 3.00%, 8/25/50 | 1 | 469 | |
Series 5129, Class ZE, 3.00%, 9/25/50 | 207 | 95,933 | |
Series 5129, Class ZH, 3.00%, 7/25/50 | 1 | 492 | |
Series 5129, Class ZW, 3.00%, 8/25/50 | 1 | 329 | |
Series 5131, Class QZ, 3.00%, 7/25/51 | 2,996 | 1,602,196 | |
Series 5132, Class LZ, 2.50%, 8/25/51 | 8,497 | 4,021,157 | |
Series 5135, Class MZ, 2.50%, 8/25/51 | 12,974 | 6,551,810 | |
Series 5136, Class ZJ, 2.50%, 8/25/51 | 17,384 | 8,523,911 | |
Series 5139, Class DZ, 2.50%, 9/25/51 | 10,454 | 5,127,747 | |
Series 5139, Class EZ, 2.50%, 9/25/51 | 12,126 | 5,777,281 | |
Series 5140, Class WZ, 2.50%, 9/25/51 | 6,841 | 3,523,453 | |
Series 5141, Class ZJ, 2.50%, 9/25/51 | 12,615 | 6,189,741 | |
Series 5141, Class ZP, 3.00%, 4/25/50 | 12,486 | 7,488,263 | |
Series 5144, Class Z, 2.50%, 9/25/51 | 36,071 | 18,580,477 | |
Series 5148, Class AZ, 2.50%, 10/25/51 | 39,518 | 20,467,344 | |
Series 5150, Class QZ, 2.50%, 10/25/51 | 4,813 | 2,466,056 | |
Series 5150, Class ZJ, 2.50%, 10/25/51 | 13,823 | 7,100,366 | |
Series 5150, Class ZN, 2.50%, 10/25/51 | 1,216 | 556,828 | |
Series 5159, Class KZ, 3.00%, 11/25/51 | 6,683 | 3,866,455 | |
Series 5159, Class MZ, 3.00%, 11/25/51 | 1,013 | 533,537 | |
Series 5159, Class ZP, 3.00%, 11/25/51 | 4,570 | 2,448,741 | |
Series 5159, Class ZT, 3.00%, 11/25/51 | 8,160 | 4,653,019 | |
Series 5160, Class ZW, 3.00%, 8/25/50 | 2,705 | 1,693,024 | |
Series 5163, Class Z, 3.00%, 11/25/51 | 5,737 | 2,903,108 | |
Series 5166, Class ZN, 3.00%, 9/25/50 | 10,300 | 5,385,266 | |
Series 5168, Class MZ, 3.00%, 10/25/51 | 6,546 | 3,654,656 | |
Series 5169, Class JZ, 3.00%, 1/25/49 | 383 | 211,739 | |
Series 5300, Class EY, 6.00%, 12/25/52 | 5,000 | 4,779,322 | |
Series 5327, Class B, 6.00%, 8/25/53 | 20,000 | 19,083,588 | |
Interest Only:(3) | |||
Series 354, Class C11, 3.50%, 7/15/46 | 8,349 | 1,471,551 | |
Series 354, Class C15, 3.50%, 11/15/46 | 7,710 | 1,636,987 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 362, Class C7, 3.50%, 9/15/47 | $ | 13,483 | $ 2,478,874 |
Series 362, Class C11, 4.00%, 12/15/47 | 4,009 | 840,108 | |
Series 362, Class C12, 4.00%, 12/15/47 | 8,144 | 1,676,515 | |
Series 380, Class C1, 3.00%, 1/25/50 | 30,626 | 5,345,097 | |
Series 380, Class C5, 3.50%, 1/25/50 | 9,538 | 1,807,382 | |
Series 3030, Class SL, 0.665%, (5.986% - 30-day average SOFR), 9/15/35(2) | 852 | 43,939 | |
Series 3114, Class TS, 1.215%, (6.536% - 30-day average SOFR), 9/15/30(2) | 1,381 | 42,437 | |
Series 3339, Class JI, 1.155%, (6.476% - 30-day average SOFR), 7/15/37(2) | 792 | 60,193 | |
Series 4088, Class EI, 3.50%, 9/15/41 | 5 | 4 | |
Series 4094, Class CS, 0.565%, (5.886% - 30-day average SOFR), 8/15/42(2) | 610 | 46,345 | |
Series 4109, Class SA, 0.765%, (6.086% - 30-day average SOFR), 9/15/32(2) | 943 | 42,482 | |
Series 4497, Class CS, 0.765%, (6.086% - 30-day average SOFR), 9/15/44(2) | 171 | 2,348 | |
Series 4507, Class EI, 4.00%, 8/15/44 | 2,498 | 329,068 | |
Series 4507, Class MI, 3.50%, 8/15/44 | 262 | 12,278 | |
Series 4549, Class DS, 0.465%, (5.786% - 30-day average SOFR), 8/15/45(2) | �� 784 | 37,266 | |
Series 4601, Class IN, 3.50%, 7/15/46 | 13,192 | 2,373,301 | |
Series 4625, Class BI, 3.50%, 6/15/46 | 2,600 | 445,035 | |
Series 4637, Class IP, 3.50%, 4/15/44 | 127 | 4,765 | |
Series 4749, Class IL, 4.00%, 12/15/47 | 916 | 183,209 | |
Series 4768, Class IO, 4.00%, 3/15/48 | 1,052 | 210,944 | |
Series 4768, Class KI, 4.00%, 11/15/47 | 1,849 | 368,354 | |
Series 4772, Class PI, 4.00%, 1/15/48 | 1,143 | 229,182 | |
Series 4791, Class JI, 4.00%, 5/15/48 | 1,664 | 349,288 | |
Series 4791, Class SA, 0.765%, (6.086% - 30-day average SOFR), 5/15/48(2) | 4,586 | 400,657 | |
Series 4796, Class AS, 0.765%, (6.086% - 30-day average SOFR), 5/15/48(2) | 2,904 | 247,703 | |
Series 4808, Class IB, 4.00%, 5/15/48 | 4,448 | 930,974 | |
Series 4966, Class SY, 0.615%, (5.936% - 30-day average SOFR), 4/25/50(2) | 4,297 | 400,129 | |
Series 5008, Class IE, 2.00%, 9/25/50 | 34,208 | 4,010,986 | |
Series 5010, Class I, 2.00%, 9/25/50 | 30,175 | 3,558,065 | |
Series 5010, Class IB, 2.00%, 9/25/50 | 44,637 | 5,233,750 | |
Series 5010, Class IN, 2.00%, 9/25/50 | 52,495 | 6,199,919 | |
Series 5010, Class NI, 2.00%, 9/25/50 | 14,927 | 1,870,985 | |
Series 5016, Class UI, 2.00%, 9/25/50 | 14,284 | 1,674,800 | |
Series 5017, Class DI, 2.00%, 9/25/50 | 29,588 | 3,469,228 | |
Series 5019, Class CI, 2.00%, 10/25/50 | 24,213 | 2,862,692 | |
Series 5020, Class CI, 2.00%, 9/25/50 | 5,967 | 682,504 | |
Series 5024, Class CI, 2.00%, 10/25/50 | 61,924 | 7,338,522 | |
Series 5025, Class GI, 2.00%, 10/25/50 | 10,480 | 1,238,224 | |
Series 5028, Class TI, 2.00%, 10/25/50 | 13,241 | 1,262,167 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 5038, Class DI, 2.00%, 11/25/50 | $ | 75,519 | $ 8,923,415 |
Series 5051, Class S, 0.00%, (3.60% - 30-day average SOFR, Floor 0.00%), 12/25/50(2) | 30,020 | 714,483 | |
Series 5070, Class CI, 2.00%, 2/25/51 | 74,866 | 9,480,258 | |
Series 5156, Class IP, 3.00%, 12/25/49 | 23,761 | 3,745,929 | |
Series 5191, Class IB, 2.50%, 2/25/51 | 49,883 | 7,647,588 | |
Principal Only:(4) | |||
Series 213, Class PO, 0.00%, 6/1/31 | 904 | 773,992 | |
Series 239, Class PO, 0.00%, 8/15/36 | 483 | 355,976 | |
Series 246, Class PO, 0.00%, 5/15/37 | 1,172 | 897,838 | |
Series 3072, Class WO, 0.00%, 11/15/35 | 411 | 322,670 | |
Series 3342, Class KO, 0.00%, 7/15/37 | 164 | 129,167 | |
Series 3476, Class PO, 0.00%, 7/15/38 | 209 | 153,513 | |
Series 3862, Class PO, 0.00%, 5/15/41 | 434 | 319,968 | |
Series 4239, Class OU, 0.00%, 7/15/43 | 2,826 | 1,354,862 | |
Federal National Mortgage Association: | |||
Series G97-4, Class FA, 6.235%, (30-day average SOFR + 0.914%), 6/17/27(1) | 49 | 48,943 | |
Series 2001-4, Class GA, 9.00%, 4/17/25(5) | 0 (6) | 20 | |
Series 2009-48, Class WA, 5.794%, 7/25/39(5) | 217 | 216,346 | |
Series 2009-62, Class WA, 5.582%, 8/25/39(5) | 314 | 311,207 | |
Series 2010-112, Class DZ, 4.00%, 10/25/40 | 321 | 289,832 | |
Series 2011-49, Class NT, 6.00%, (64.855% - 30-day average SOFR x 10.00, Cap 6.00%), 6/25/41(2) | 127 | 115,523 | |
Series 2012-51, Class FD, 6.015%, (30-day average SOFR + 0.694%), 5/25/42(1) | 15,975 | 15,467,673 | |
Series 2012-103, Class ZP, 3.00%, 9/25/42 | 808 | 559,138 | |
Series 2012-115, Class MX, 0.00%, (3.329% - 30-day average SOFR x 1.154, Floor 0.00%), 10/25/42(2) | 628 | 193,360 | |
Series 2012-128, Class SH, 0.00%, (3.886% - 30-day average SOFR, Floor 0.00%), 11/25/42(2) | 3,753 | 2,003,506 | |
Series 2012-128, Class WS, 0.00%, (3.886% - 30-day average SOFR, Floor 0.00%), 11/25/42(2) | 547 | 287,767 | |
Series 2012-134, Class ZT, 2.00%, 12/25/42 | 982 | 746,180 | |
Series 2013-52, Class GA, 1.00%, 6/25/43 | 571 | 460,010 | |
Series 2013-58, Class SC, 0.00%, (5.828% - 30-day average SOFR x 1.50, Floor 0.00%), 6/25/43(2) | 2,651 | 1,698,053 | |
Series 2013-67, Class NF, 5.00%, (30-day average SOFR + 1.114%), 7/25/43(1) | 631 | 553,652 | |
Series 2014-1, Class HF, 5.00%, (30-day average SOFR + 1.614%), 6/25/43(1) | 730 | 628,718 | |
Series 2014-5, Class LB, 2.50%, 7/25/43 | 7 | 7,424 | |
Series 2015-74, Class SL, 0.00%, (2.282% - 30-day average SOFR x 0.587, Floor 0.00%), 10/25/45(2) | 1,883 | 942,198 | |
Series 2016-26, Class KS, 0.00%, (5.05% - 30-day average SOFR x 1.75, Floor 0.00%), 11/25/42(2) | 1,603 | 1,093,663 | |
Series 2017-15, Class LE, 3.00%, 6/25/46 | 113 | 108,946 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 2017-56, Class KF, 6.00%, (30-day average SOFR + 1.114%), 7/25/47(1) | $ | 561 | $ 504,321 |
Series 2017-56, Class KS, 0.00%, (4.886% - 30-day average SOFR, Floor 0.00%), 7/25/47(2) | 314 | 133,293 | |
Series 2019-1, Class FA, 6.00%, (30-day average SOFR + 0.714%), 2/25/49(1) | 6,554 | 6,381,470 | |
Series 2019-8, Class FD, 6.135%, (30-day average SOFR + 0.814%), 3/25/49(1) | 20,460 | 19,829,783 | |
Series 2019-9, Class LF, 5.985%, (30-day average SOFR + 0.664%), 3/25/49(1) | 7,930 | 7,645,841 | |
Series 2019-16, Class AF, 5.985%, (30-day average SOFR + 0.664%), 4/25/49(1) | 6,848 | 6,558,426 | |
Series 2020-45, Class MA, 0.00%, (3.108% - 30-day average SOFR x 0.80, Floor 0.00%), 6/25/43(2) | 1,126 | 764,845 | |
Series 2020-63, Class ZN, 3.00%, 9/25/50 | 309 | 149,972 | |
Series 2020-86, Class ZP, 2.50%, 12/25/50 | 1,392 | 569,950 | |
Series 2020-95, Class BZ, 2.50%, 1/25/51 | 319 | 124,935 | |
Series 2020-96, Class DZ, 2.50%, 1/25/51 | 8,316 | 4,007,996 | |
Series 2020-96, Class EZ, 2.50%, 1/25/51 | 656 | 264,370 | |
Series 2020-96, Class KZ, 2.50%, 1/25/51 | 312 | 124,789 | |
Series 2021-3, Class ZH, 2.50%, 2/25/51 | 1,703 | 732,324 | |
Series 2021-8, Class NZ, 2.50%, 3/25/51 | 1,060 | 460,084 | |
Series 2021-11, Class KZ, 3.00%, 6/25/50 | 551 | 294,723 | |
Series 2021-14, Class GZ, 2.50%, 3/25/51 | 685 | 280,936 | |
Series 2021-22, Class MZ, 3.00%, 4/25/51 | 2,265 | 1,179,885 | |
Series 2021-42, Class ZA, 3.00%, 2/25/51 | 4,799 | 2,622,710 | |
Series 2021-42, Class ZD, 3.00%, 11/25/50 | 5,940 | 3,260,476 | |
Series 2021-45, Class DZ, 3.00%, 7/25/51 | 379 | 179,625 | |
Series 2021-51, Class EZ, 2.50%, 8/25/51 | 1,228 | 546,639 | |
Series 2021-52, Class JZ, 2.50%, 8/25/51 | 15,057 | 7,618,169 | |
Series 2021-55, Class ZN, 2.50%, 8/25/51 | 354 | 153,840 | |
Series 2021-56, Class LZ, 2.50%, 9/25/51 | 14,309 | 7,688,549 | |
Series 2021-57, Class ZW, 2.50%, 7/25/51 | 19,029 | 9,277,416 | |
Series 2021-59, Class EZ, 2.50%, 9/25/51 | 1,462 | 667,049 | |
Series 2021-61, Class Z, 2.50%, 9/25/51 | 13,000 | 6,734,924 | |
Series 2021-63, Class QZ, 2.50%, 6/25/51 | 9,726 | 4,635,161 | |
Series 2021-64, Class ZJ, 2.50%, 10/25/51 | 17,626 | 8,699,155 | |
Series 2021-66, Class JZ, 2.50%, 10/25/51 | 13,087 | 6,602,512 | |
Series 2021-69, Class JZ, 2.50%, 10/25/51 | 13,720 | 7,107,980 | |
Series 2021-77, Class WZ, 3.00%, 8/25/50 | 1,861 | 909,977 | |
Series 2021-95, Class ZC, 3.00%, 8/25/51 | 4,503 | 2,511,231 | |
Series 2022-2, Class ZN, 3.00%, 2/25/52 | 11,693 | 6,527,747 | |
Series 2023-12, Class LW, 6.00%, 4/25/53 | 15,000 | 14,338,712 | |
Series 2023-13, Class LY, 6.00%, 4/25/53 | 9,120 | 8,653,015 | |
Series 2023-14, Class EL, 6.00%, 4/25/53 | 23,200 | 21,969,847 | |
Interest Only:(3) | |||
Series 296, Class 2, 8.00%, 4/25/24 | 0 (6) | 1 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 424, Class C8, 3.50%, 2/25/48 | $ | 3,720 | $ 688,367 |
Series 2004-60, Class SW, 1.615%, (6.936% - 30-day average SOFR), 4/25/34(2) | 599 | 13,728 | |
Series 2005-68, Class XI, 6.00%, 8/25/35 | 1,088 | 201,289 | |
Series 2006-65, Class PS, 1.785%, (7.106% - 30-day average SOFR), 7/25/36(2) | 677 | 66,316 | |
Series 2007-99, Class SD, 0.965%, (6.286% - 30-day average SOFR), 10/25/37(2) | 1,026 | 74,204 | |
Series 2007-102, Class ST, 1.005%, (6.326% - 30-day average SOFR), 11/25/37(2) | 512 | 31,444 | |
Series 2011-59, Class IW, 6.00%, 7/25/41 | 742 | 135,756 | |
Series 2011-101, Class IC, 3.50%, 10/25/26 | 682 | 19,089 | |
Series 2012-147, Class SA, 0.665%, (5.986% - 30-day average SOFR), 1/25/43(2) | 742 | 55,513 | |
Series 2014-41, Class SA, 0.615%, (5.936% - 30-day average SOFR), 7/25/44(2) | 718 | 78,788 | |
Series 2014-55, Class IL, 3.50%, 9/25/44 | 608 | 126,419 | |
Series 2014-55, Class IN, 3.50%, 7/25/44 | 571 | 116,099 | |
Series 2014-89, Class IO, 3.50%, 1/25/45 | 948 | 202,585 | |
Series 2015-22, Class GI, 3.50%, 4/25/45 | 293 | 53,932 | |
Series 2015-31, Class SG, 0.665%, (5.986% - 30-day average SOFR), 5/25/45(2) | 781 | 104,539 | |
Series 2015-36, Class IL, 3.00%, 6/25/45 | 833 | 119,070 | |
Series 2016-61, Class DI, 3.00%, 4/25/46 | 669 | 69,898 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 4,061 | 721,911 | |
Series 2018-42, Class IA, 3.50%, 6/25/47 | 970 | 174,560 | |
Series 2019-1, Class SA, 0.00%, (5.286% - 30-day average SOFR, Floor 0.00%), 2/25/49(2) | 4,582 | 161,521 | |
Series 2020-23, Class SP, 0.615%, (5.936% - 30-day average SOFR), 2/25/50(2) | 12,046 | 1,134,681 | |
Series 2020-45, Class HI, 2.50%, 7/25/50 | 6,516 | 931,099 | |
Series 2020-73, Class NI, 2.00%, 10/25/50 | 6,498 | 769,752 | |
Series 2020-89, Class PI, 2.50%, 12/25/50 | 13,149 | 1,970,897 | |
Series 2020-94, Class DI, 2.00%, 1/25/51 | 15,056 | 1,892,404 | |
Series 2021-3, Class KI, 2.50%, 2/25/51 | 28,482 | 4,013,033 | |
Series 2021-3, Class LI, 2.50%, 2/25/51 | 26,984 | 3,732,180 | |
Series 2021-10, Class EI, 2.00%, 3/25/51 | 11,886 | 1,515,774 | |
Series 2021-34, Class QI, 3.00%, 6/25/51 | 39,010 | 6,580,813 | |
Series 2021-73, Class AI, 2.50%, 6/25/49 | 7,946 | 832,007 | |
Series 2021-94, Class CI, 3.00%, 1/25/52 | 11,017 | 1,800,855 | |
Series 2022-6, Class IO, 2.50%, 7/25/51 | 31,038 | 4,776,874 | |
Principal Only:(4) | |||
Series 379, Class 1, 0.00%, 5/25/37 | 1,023 | 769,980 | |
Series 380, Class 1, 0.00%, 7/25/37 | 245 | 189,647 | |
Series 2007-17, Class PO, 0.00%, 3/25/37 | 181 | 131,944 | |
Series 2009-82, Class PO, 0.00%, 10/25/39 | 469 | 353,440 | |
Series 2012-5, Class PO, 0.00%, 12/25/39 | 324 | 248,395 | |
Series 2012-61, Class PO, 0.00%, 8/25/37 | 1,448 | 1,118,436 |
Security | Principal Amount (000's omitted) | Value | |
Principal Only: (continued) | |||
Series 2014-9, Class DO, 0.00%, 2/25/43 | $ | 7,385 | $ 5,122,460 |
Series 2014-17, Class PO, 0.00%, 4/25/44 | 1,038 | 697,840 | |
Government National Mortgage Association: | |||
Series 2012-77, Class MT, 5.839%, (1 mo. SOFR + 0.504%), 5/16/41(1) | 358 | 337,669 | |
Series 2014-H20, Class MF, 4.915%, (1 mo. SOFR + 0.764%), 10/20/64(1) | 4,411 | 4,377,200 | |
Series 2015-144, Class KB, 3.00%, 8/20/44 | 503 | 395,242 | |
Series 2015-H03, Class FD, 4.402%, (1 mo. SOFR + 0.754%), 1/20/65(1) | 16,135 | 15,982,211 | |
Series 2015-H05, Class FB, 4.528%, (1 mo. SOFR + 0.754%), 2/20/65(1) | 17,068 | 16,901,504 | |
Series 2016-168, Class JF, 6.00%, (1 mo. SOFR + 1.114%), 11/20/46(1) | 128 | 116,912 | |
Series 2017-121, Class DF, 5.00%, (1 mo. SOFR + 0.614%), 8/20/47(1) | 3,108 | 2,907,412 | |
Series 2017-137, Class AF, 5.00%, (1 mo. SOFR + 0.614%), 9/20/47(1) | 1,398 | 1,306,409 | |
Series 2018-H18, Class FG, 5.675%, (1 mo. SOFR + 0.714%), 10/20/68(1) | 30,106 | 29,219,070 | |
Series 2018-H20, Class FA, 6.043%, (1 mo. SOFR + 0.714%), 12/20/68(1) | 47,721 | 46,332,513 | |
Series 2020-76, Class ZL, 2.75%, 5/20/50 | 312 | 191,745 | |
Series 2021-1, Class ZD, 3.00%, 1/20/51 | 1,587 | 1,009,278 | |
Series 2021-8, Class ZG, 2.50%, 1/20/51 | 3,240 | 1,457,617 | |
Series 2021-24, Class EZ, 2.50%, 1/20/51 | 3,517 | 1,595,548 | |
Series 2021-24, Class KZ, 2.50%, 2/20/51 | 3,597 | 1,867,454 | |
Series 2021-25, Class JZ, 2.50%, 2/20/51 | 2,002 | 807,395 | |
Series 2021-49, Class VZ, 2.50%, 3/20/51 | 21 | 7,916 | |
Series 2021-77, Class ZG, 3.00%, 7/20/50 | 355 | 166,875 | |
Series 2021-86, Class ZJ, 1.50%, 5/20/51 | 284 | 110,285 | |
Series 2021-97, Class MZ, 3.00%, 8/20/50 | 5,789 | 3,100,878 | |
Series 2021-97, Class ZC, 3.00%, 8/20/50 | 7,419 | 4,044,827 | |
Series 2021-105, Class MZ, 3.00%, 6/20/51 | 4,734 | 2,501,004 | |
Series 2021-105, Class ZH, 1.50%, 6/20/51 | 1,487 | 726,679 | |
Series 2021-107, Class GZ, 3.00%, 6/20/51 | 2,411 | 1,327,562 | |
Series 2021-114, Class JZ, 3.00%, 6/20/51 | 2,067 | 1,055,856 | |
Series 2021-118, Class EZ, 2.50%, 7/20/51 | 7,084 | 3,685,190 | |
Series 2021-121, Class ZE, 2.50%, 7/20/51 | 126 | 55,451 | |
Series 2021-122, Class ZL, 2.50%, 7/20/51 | 11,480 | 5,710,250 | |
Series 2021-131, Class ZN, 3.00%, 7/20/51 | 2,604 | 1,473,153 | |
Series 2021-136, Class WZ, 3.00%, 8/20/51 | 6,099 | 3,227,992 | |
Series 2021-136, Class Z, 2.50%, 8/20/51 | 10,795 | 5,447,285 | |
Series 2021-137, Class GZ, 2.50%, 8/20/51 | 1,244 | 709,231 | |
Series 2021-138, Class Z, 2.50%, 8/20/51 | 11,498 | 6,155,246 | |
Series 2021-154, Class ZC, 2.50%, 9/20/51 | 6,205 | 3,158,776 | |
Series 2021-154, Class ZL, 3.00%, 9/20/51 | 8,252 | 3,966,164 | |
Series 2021-156, Class ZQ, 2.50%, 9/20/51 | 4,925 | 2,589,827 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
Series 2021-159, Class ZJ, 2.50%, 9/20/51 | $ | 8,238 | $ 4,310,151 |
Series 2021-159, Class ZP, 2.00%, 9/20/51 | 7,629 | 4,369,612 | |
Series 2021-160, Class NZ, 3.00%, 9/20/51 | 2,574 | 1,247,389 | |
Series 2021-172, Class ZA, 3.00%, 9/20/51 | 1,600 | 847,254 | |
Series 2021-175, Class DZ, 3.00%, 10/20/51 | 2,104 | 1,015,564 | |
Series 2021-177, Class JZ, 3.00%, 10/20/51 | 4,872 | 2,810,120 | |
Series 2021-182, Class KZ, 3.00%, 10/20/51 | 1,330 | 643,547 | |
Series 2021-194, Class HZ, 3.00%, 11/20/51 | 9,318 | 5,803,189 | |
Series 2021-199, Class ZM, 3.00%, 11/20/51 | 3,818 | 1,997,950 | |
Series 2021-213, Class NZ, 3.00%, 12/20/51 | 7,648 | 4,653,717 | |
Series 2021-214, Class LZ, 3.00%, 12/20/51 | 10,413 | 6,404,482 | |
Series 2022-31, Class ZD, 3.00%, 2/20/52 | 794 | 256,790 | |
Series 2022-189, Class US, 3.222%, (22.733% - 30-day average SOFR x 3.667), 11/20/52(2) | 12,128 | 10,989,254 | |
Series 2022-195, Class AS, 3.436%, (23.125% - 30-day average SOFR x 3.70), 11/20/52(2) | 3,608 | 3,521,067 | |
Series 2022-197, Class SW, 3.549%, (16.32% - 30-day average SOFR x 2.40), 11/20/52(2) | 6,933 | 6,296,565 | |
Series 2022-208, Class YF, 6.321%, (30-day average SOFR + 1.00%), 12/20/52(1) | 44,676 | 43,642,186 | |
Series 2022-211, Class HF, 6.321%, (30-day average SOFR + 1.00%), 12/20/52(1) | 178,705 | 174,524,934 | |
Series 2023-53, Class AL, 5.50%, 4/20/53 | 26,000 | 23,631,904 | |
Series 2023-53, Class SE, 3.039%, (22.55% - 30-day average SOFR x 3.667), 4/20/53(2) | 16,634 | 15,403,399 | |
Series 2023-63, Class LB, 6.00%, 5/20/53 | 10,000 | 9,482,454 | |
Series 2023-63, Class S, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(2) | 7,870 | 7,027,353 | |
Series 2023-64, Class LB, 6.00%, 5/20/53 | 4,079 | 3,869,302 | |
Series 2023-65, Class G, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(2) | 11,795 | 10,271,916 | |
Series 2023-65, Class SB, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(2) | 3,868 | 3,533,991 | |
Series 2023-65, Class SD, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(2) | 2,981 | 2,794,543 | |
Series 2023-66, Class S, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(2) | 4,923 | 4,545,988 | |
Series 2023-66, Class SD, 3.039%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(2) | 1,969 | 1,758,469 | |
Series 2023-82, Class AL, 6.00%, 6/20/53 | 18,360 | 17,399,071 | |
Series 2023-83, Class GS, 3.122%, (27.60% - 30-day average SOFR x 4.60), 6/20/53(2) | 8,203 | 7,330,432 | |
Series 2023-83, Class S, 2.754%, (22.868% - 30-day average SOFR x 3.78), 6/20/53(2) | 4,434 | 3,875,326 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 4,600 | 4,361,446 | |
Series 2023-84, Class SN, 2.858%, (22.387% - 30-day average SOFR x 3.67), 6/20/53(2) | 5,918 | 5,231,783 | |
Series 2023-89, Class SD, 2.672%, (22.183% - 30-day average SOFR x 3.667), 6/20/53(2) | 4,962 | 4,330,925 | |
Series 2023-96, Class BL, 6.00%, 7/20/53 | 5,000 | 4,755,382 | |
Series 2023-96, Class DB, 6.00%, 7/20/53 | 12,250 | 11,627,366 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
Series 2023-97, Class CB, 6.00%, 7/20/53 | $ | 14,000 | $ 13,537,442 |
Series 2023-98, Class BW, 6.00%, 7/20/53 | 3,250 | 3,086,582 | |
Series 2023-98, Class JB, 6.00%, 7/20/53 | 12,714 | 12,080,430 | |
Series 2023-99, Class AL, 6.00%, 7/20/53 | 17,468 | 16,582,572 | |
Series 2023-117, Class JB, 6.00%, 8/20/53 | 9,602 | 9,123,160 | |
Interest Only:(3) | |||
Series 2014-98, Class IM, 0.00%, 1/20/43(5) | 4,933 | 106,085 | |
Series 2015-151, Class KI, 0.00%, 11/20/42(5) | 5,927 | 133,793 | |
Series 2017-104, Class SD, 0.746%, (6.086% - 1 mo. SOFR), 7/20/47(2) | 2,248 | 181,302 | |
Series 2017-121, Class DS, 0.00%, (4.386% - 1 mo. SOFR, Floor 0.00%), 8/20/47(2) | 2,528 | 71,519 | |
Series 2018-127, Class SG, 0.796%, (6.136% - 1 mo. SOFR), 9/20/48(2) | 6,097 | 417,069 | |
Series 2019-27, Class SA, 0.596%, (5.936% - 1 mo. SOFR), 2/20/49(2) | 2,097 | 166,136 | |
Series 2019-38, Class SQ, 0.596%, (5.936% - 1 mo. SOFR), 3/20/49(2) | 6,274 | 465,369 | |
Series 2019-43, Class BS, 0.596%, (5.936% - 1 mo. SOFR), 4/20/49(2) | 3,473 | 279,168 | |
Series 2020-97, Class MI, 2.50%, 3/20/50 | 5,423 | 684,139 | |
Series 2020-116, Class MI, 2.00%, 8/20/50 | 503 | 65,526 | |
Series 2020-134, Class IM, 2.50%, 9/20/50 | 14,434 | 1,950,599 | |
Series 2020-146, Class IQ, 2.00%, 10/20/50 | 135,705 | 15,071,912 | |
Series 2020-146, Class QI, 2.00%, 10/20/50 | 40,579 | 4,438,599 | |
Series 2020-151, Class AI, 2.00%, 10/20/50 | 85,089 | 10,463,972 | |
Series 2020-162, Class BI, 2.00%, 10/20/50 | 19,339 | 2,349,267 | |
Series 2020-167, Class KI, 2.00%, 11/20/50 | 84,306 | 9,369,884 | |
Series 2020-167, Class YI, 2.00%, 11/20/50 | 102,503 | 12,172,178 | |
Series 2020-173, Class DI, 2.00%, 11/20/50 | 84,282 | 10,189,368 | |
Series 2020-176, Class AI, 2.00%, 11/20/50 | 28,483 | 3,249,322 | |
Series 2020-176, Class HI, 2.50%, 11/20/50 | 19,644 | 2,668,393 | |
Series 2020-181, Class TI, 2.00%, 12/20/50 | 82,896 | 9,555,050 | |
Series 2020-185, Class BI, 2.00%, 12/20/50 | 16,605 | 1,918,687 | |
Series 2021-9, Class GI, 2.00%, 1/20/51 | 40,724 | 4,736,456 | |
Series 2021-15, Class AI, 2.00%, 1/20/51 | 22,219 | 2,685,387 | |
Series 2021-23, Class TI, 2.50%, 2/20/51 | 11,403 | 1,485,033 | |
Series 2021-30, Class AI, 2.00%, 2/20/51 | 9,410 | 1,126,869 | |
Series 2021-46, Class IM, 2.50%, 3/20/51 | 4,612 | 614,130 | |
Series 2021-56, Class SD, 0.00%, (2.30% - 30-day average SOFR, Floor 0.00%), 9/20/50(2) | 14,678 | 141,862 | |
Series 2021-56, Class SE, 0.00%, (2.30% - 30-day average SOFR, Floor 0.00%), 10/20/50(2) | 5,387 | 52,656 | |
Series 2021-77, Class SB, 0.00%, (3.636% - 1 mo. SOFR, Floor 0.00%), 5/20/51(2) | 16,473 | 346,466 | |
Series 2021-77, Class SE, 0.00%, (3.636% - 1 mo. SOFR, Floor 0.00%), 5/20/51(2) | 10,067 | 211,724 | |
Series 2021-97, Class IG, 2.50%, 8/20/49 | 75,029 | 8,223,906 | |
Series 2021-97, Class QI, 3.00%, 6/20/51 | 16,508 | 2,446,004 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2021-98, Class EI, 3.00%, 6/20/51 | $ | 32,488 | $ 4,735,693 |
Series 2021-114, Class MI, 3.00%, 6/20/51 | 12,063 | 1,872,568 | |
Series 2021-122, Class NI, 3.00%, 7/20/51 | 8,272 | 1,262,629 | |
Series 2021-125, Class SA, 0.00%, (3.636% - 1 mo. SOFR, Floor 0.00%), 7/20/51(2) | 19,422 | 408,187 | |
Series 2021-131, Class QI, 3.00%, 7/20/51 | 31,473 | 3,986,963 | |
Series 2021-140, Class YS, 0.00%, (1.586% - 1 mo. SOFR, Floor 0.00%), 8/20/51(2) | 21,632 | 124,515 | |
Series 2021-160, Class DI, 3.00%, 9/20/51 | 28,781 | 4,509,478 | |
Series 2021-160, Class IT, 2.50%, 9/20/51 | 41,874 | 4,587,540 | |
Series 2021-175, Class AS, 0.00%, (1.686% - 1 mo. SOFR, Floor 0.00%), 10/20/51(2) | 43,539 | 263,295 | |
Series 2021-175, Class SB, 0.00%, (1.686% - 1 mo. SOFR, Floor 0.00%), 10/20/51(2) | 21,891 | 132,620 | |
Series 2021-193, Class IU, 3.00%, 11/20/49 | 65,468 | 8,913,152 | |
Series 2021-193, Class YS, 0.00%, (2.45% - 30-day average SOFR, Floor 0.00%), 11/20/51(2) | 50,580 | 440,924 | |
Series 2021-196, Class GI, 3.00%, 11/20/51 | 31,358 | 4,470,698 | |
Series 2021-201, Class PI, 3.00%, 11/20/51 | 26,974 | 3,140,525 | |
Series 2021-209, Class IW, 3.00%, 11/20/51 | 17,157 | 2,252,774 | |
Series 2022-104, Class IO, 2.50%, 6/20/51 | 26,217 | 3,411,301 | |
Series 2022-119, Class CS, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(2) | 208,493 | 1,577,169 | |
Series 2022-119, Class SC, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(2) | 23,166 | 175,241 | |
Series 2022-126, Class AS, 0.00%, (3.69% - 30-day average SOFR, Floor 0.00%), 7/20/52(2) | 62,173 | 827,905 | |
Series 2022-126, Class SC, 0.00%, (3.73% - 30-day average SOFR, Floor 0.00%), 7/20/52(2) | 46,332 | 632,657 | |
Series 2022-135, Class SA, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 6/20/52(2) | 129,741 | 1,085,400 | |
Series 2023-13, Class SA, 0.079%, (5.40% - 30-day average SOFR), 1/20/53(2) | 18,347 | 335,932 | |
Series 2023-19, Class SD, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(2) | 20,536 | 1,081,315 | |
Series 2023-20, Class HS, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(2) | 14,443 | 774,536 | |
Series 2023-22, Class ES, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(2) | 19,258 | 1,032,714 | |
Series 2023-22, Class SA, 0.379%, (5.70% - 30-day average SOFR), 2/20/53(2) | 32,170 | 877,709 | |
Series 2023-24, Class SB, 0.00%, (5.15% - 30-day average SOFR, Floor 0.00%), 2/20/53(2) | 38,516 | 946,458 | |
Series 2023-24, Class SG, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(2) | 19,258 | 1,032,714 | |
Series 2023-32, Class SA, 0.979%, (6.30% - 30-day average SOFR), 2/20/53(2) | 64,996 | 3,485,411 | |
Series 2023-38, Class LS, 0.979%, (6.30% - 30-day average SOFR), 3/20/53(2) | 29,155 | 1,559,761 | |
Series 2023-47, Class HS, 0.979%, (6.30% - 30-day average SOFR), 3/20/53(2) | 9,718 | 519,920 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2023-47, Class SC, 0.929%, (6.25% - 30-day average SOFR), 3/20/53(2) | $ | 14,544 | $ 758,232 |
Series 2023-53, Class SK, 0.879%, (6.20% - 30-day average SOFR), 4/20/53(2) | 36,899 | 1,917,239 | |
Series 2023-65, Class BS, 0.829%, (6.15% - 30-day average SOFR), 5/20/53(2) | 31,243 | 1,715,912 | |
Principal Only:(4) | |||
Series 2009-117, Class PO, 0.00%, 12/16/39 | 758 | 554,389 | |
Series 2010-88, Class OA, 0.00%, 7/20/40 | 497 | 351,676 | |
Series 2015-24, Class KO, 0.00%, 6/20/35 | 563 | 485,423 | |
Total Collateralized Mortgage Obligations (identified cost $1,804,788,168) | $1,377,985,697 |
U.S. Department of Agriculture Loans — 1.4% |
Security | Principal Amount (000's omitted) | Value | |
USDA Guaranteed Loans: | |||
8.00%, (USD Prime - 0.50%), 7/1/27(1) | $ | 16,250 | $ 16,264,311 |
8.00%, (USD Prime - 0.50%), 7/1/27(1) | 26,507 | 26,532,692 | |
Total U.S. Department of Agriculture Loans (identified cost $42,757,332) | $ 42,797,003 |
U.S. Government Agency Commercial Mortgage-Backed Securities — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
FRESB Mortgage Trust: | |||
Interest Only:(3) | |||
Series 2021-SB91, Class X1, 0.572%, 8/25/41(5) | $ | 45,634 | $ 1,242,596 |
Series 2021-SB92, Class X1, 0.58%, 8/25/41(5) | 23,853 | 533,472 | |
Government National Mortgage Association: | |||
Interest Only:(3) | |||
Series 2021-101, Class IO, 0.679%, 4/16/63(5) | 54,342 | 2,855,792 | |
Series 2021-132, Class IO, 0.726%, 4/16/63(5) | 57,863 | 3,165,895 | |
Series 2021-144, Class IO, 0.825%, 4/16/63(5) | 51,574 | 3,037,582 | |
Series 2021-186, Class IO, 0.765%, 5/16/63(5) | 47,621 | 2,696,016 | |
Series 2022-3, Class IO, 0.64%, 2/16/61(5) | 67,741 | 3,150,714 | |
Total U.S. Government Agency Commercial Mortgage-Backed Securities (identified cost $22,297,513) | $ 16,682,067 |
U.S. Government Agency Mortgage-Backed Securities — 76.5% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
3.894%, (COF + 2.275%), with maturity at 2025(7) | $ | 44 | $ 44,290 |
4.11%, (COF + 1.296%), with maturity at 2034(7) | 9 | 9,034 | |
4.14%, (COF + 1.25%), with maturity at 2025(7) | 19 | 18,296 | |
4.168%, (5 yr. CMT + 2.515%), with maturity at 2032(7) | 144 | 137,898 | |
4.196%, (COF + 1.254%), with maturity at 2035(7) | 174 | 170,304 | |
4.243%, (COF + 1.254%), with maturity at 2029(7) | 5 | 4,947 | |
4.50%, with maturity at 2035 | 285 | 271,712 | |
4.502%, (COF + 1.252%), with maturity at 2032(7) | 80 | 77,437 | |
4.616%, (COF + 1.251%), with maturity at 2030(7) | 112 | 110,505 | |
4.649%, (COF + 1.254%), with maturity at 2033(7) | 21 | 20,424 | |
4.747%, (1 yr. CMT + 1.975%), with maturity at 2034(7) | 479 | 477,049 | |
4.834%, (1 yr. CMT + 2.249%), with maturity at 2038(7) | 358 | 358,794 | |
4.88%, (1 yr. CMT + 2.238%), with maturity at 2036(7) | 400 | 400,468 | |
5.00%, with maturity at 2052 | 5,055 | 4,576,975 | |
5.186%, (COF + 2.292%), with maturity at 2037(7) | 355 | 351,773 | |
5.50%, with various maturities to 2053 | 139,203 | 132,352,756 | |
5.554%, (1 yr. CMT + 2.255%), with maturity at 2035(7) | 1,152 | 1,151,968 | |
5.605%, (30-day average SOFR + 2.37%), with maturity at 2052(7) | 676 | 651,766 | |
5.685%, (1 yr. CMT + 2.318%), with maturity at 2036(7) | 481 | 481,827 | |
6.00%, with various maturities to 2053 | 11,265 | 10,995,811 | |
7.00%, with maturity at 2033 | 47 | 46,767 | |
Federal National Mortgage Association: | |||
3.00%, with various maturities to 2050 | 17,004 | 13,804,516 | |
4.144%, (COF + 1.254%), with maturity at 2033(7) | 95 | 92,742 | |
4.146%, (COF + 1.254%), with maturity at 2034(7) | 20 | 18,973 | |
4.149%, (COF + 1.254%), with maturity at 2033(7) | 148 | 145,917 | |
4.186%, (COF + 1.254%), with maturity at 2035(7) | 41 | 40,108 | |
4.219%, (COF + 1.25%), with various maturities to 2027(7) | 63 | 62,359 | |
4.223%, (COF + 1.254%), with maturity at 2034(7) | 148 | 142,737 | |
4.255%, (COF + 1.254%), with maturity at 2034(7) | 86 | 83,730 | |
4.406%, (COF + 1.26%), with maturity at 2036(7) | 100 | 96,994 | |
4.465%, (COF + 1.311%), with maturity at 2036(7) | 56 | 54,113 | |
4.50%, with maturity at 2052 | 927 | 829,137 | |
4.594%, (COF + 1.258%), with maturity at 2036(7) | 25 | 24,728 | |
4.645%, (COF + 2.283%), with maturity at 2026(7) | 31 | 31,183 | |
4.664%, (COF + 1.695%), with maturity at 2029(7) | 0 (6) | 381 | |
4.677%, (COF + 1.495%), with maturity at 2029(7) | 161 | 160,658 | |
4.721%, (COF + 1.26%), with maturity at 2037(7) | 56 | 55,182 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
4.75%, (COF + 1.265%), with maturity at 2038(7) | $ | 7 | $ 7,161 |
4.771%, (COF + 1.802%), with maturity at 2034(7) | 142 | 138,701 | |
4.924%, (COF + 1.736%), with maturity at 2035(7) | 178 | 174,089 | |
4.925%, (1 yr. RFUCCT + 1.75%), with maturity at 2035(7) | 323 | 324,658 | |
4.951%, (COF + 1.859%), with maturity at 2034(7) | 37 | 36,827 | |
5.00%, with various maturities to 2048 | 1,051 | 958,489 | |
5.05%, (COF + 1.791%), with maturity at 2035(7) | 135 | 132,035 | |
5.175%, (1 yr. RFUCCT + 1.80%), with maturity at 2034(7) | 110 | 110,872 | |
5.192%, (COF + 1.811%), with maturity at 2036(7) | 303 | 295,793 | |
5.225%, (1 yr. CMT + 2.206%), with maturity at 2039(7) | 795 | 801,230 | |
5.286%, (1 yr. CMT + 2.095%), with maturity at 2040(7) | 171 | 171,175 | |
5.292%, (1 yr. CMT + 2.547%), with maturity at 2038(7) | 361 | 364,997 | |
5.419%, (1 yr. CMT + 2.12%), with maturity at 2037(7) | 375 | 377,174 | |
5.441%, (1 yr. CMT + 2.156%), with maturity at 2036(7) | 139 | 139,619 | |
5.50%, 30-Year, TBA(8) | 163,300 | 155,013,799 | |
5.50%, with maturity at 2024 | 0 (6) | 13 | |
5.50%, with various maturities to 2052 | 52,451 | 49,853,004 | |
5.50%, with various maturities to 2052(9) | 441,923 | 420,098,612 | |
5.599%, (COF + 1.736%), with maturity at 2034(7) | 43 | 42,882 | |
5.653%, (1 yr. CMT + 2.192%), with maturity at 2031(7) | 45 | 44,273 | |
6.00%, with maturity at 2023 | 0 (6) | 66 | |
6.00%, with various maturities to 2053 | 15,602 | 15,316,604 | |
6.034%, (1 yr. CMT + 2.247%), with maturity at 2033(7) | 954 | 959,713 | |
6.068%, (1 yr. CMT + 2.068%), with maturity at 2033(7) | 169 | 169,039 | |
6.334%, (COF + 2.004%), with maturity at 2032(7) | 24 | 24,519 | |
6.50%, with various maturities to 2053 | 6,943 | 6,925,880 | |
6.50%, 30-Year, TBA(8) | 63,200 | 62,819,814 | |
Government National Mortgage Association: | |||
2.50%, with maturity at 2051 | 2,062 | 1,621,878 | |
2.75%, (1 yr. CMT + 1.50%), with maturity at 2027(7) | 38 | 36,307 | |
3.00%, (1 yr. CMT + 1.50%), with maturity at 2026(7) | 28 | 26,872 | |
4.00%, with various maturities to 2052 | 9,637 | 8,448,660 | |
4.50%, with various maturities to 2052 | 283,719 | 253,448,544 | |
5.00%, with various maturities to 2052 | 90,814 | 84,376,714 | |
5.50%, with various maturities to 2062 | 117,593 | 112,726,098 | |
5.50%, 30-Year, TBA(8) | 242,575 | 232,033,345 | |
5.50%, with maturity at 2062 | 350 | 332,020 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
6.00%, with various maturities to 2063 | $ | 113,522 | $ 111,826,079 |
6.00%, with maturity at 2053 | 1,994 | 1,964,249 | |
6.00%, 30-Year, TBA(8) | 339,775 | 332,962,613 | |
6.50%, with various maturities to 2063 | 86,727 | 86,702,018 | |
6.50%, 30-Year, TBA(8) | 196,550 | 196,185,459 | |
7.00%, with various maturities to 2062 | 27,325 | 27,660,215 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $2,424,405,427) | $2,334,006,368 |
U.S. Government Guaranteed Small Business Administration Pools & Loans — 4.8% |
Security | Principal Amount (000's omitted) | Value | |
6.125%, (USD Prime - 2.375%), 2/25/29(1) | $ | 31,842 | $ 31,824,909 |
6.25%, (USD Prime - 2.25%), 1/25/44 to 2/25/44(1) | 35,089 | 35,150,440 | |
6.30%, (USD Prime - 2.20%), 4/25/44(1) | 17,008 | 17,078,077 | |
7.50%, (USD Prime - 1.00%), 4/25/44(1) | 19,234 | 19,978,020 | |
7.825%, (USD Prime - 0.675%), 2/25/44(1) | 16,461 | 17,307,340 | |
Interest Only:(10)(11) | |||
1.03%, 1/18/39 | 402 | 9,294 | |
1.26%, 2/15/44 | 1,436 | 56,060 | |
1.51%, 2/15/44 | 1,053 | 46,454 | |
1.56%, 3/14/44 | 528 | 23,896 | |
1.76%, 12/18/28 | 89 | 2,430 | |
1.81%, 7/10/43 to 2/6/44 | 5,221 | 235,226 | |
1.88%, 12/18/43 to 12/27/43 | 5,833 | 285,513 | |
1.91%, 7/15/42 to 4/15/44 | 17,616 | 844,401 | |
1.93%, 6/14/43 to 2/8/44 | 21,937 | 1,099,838 | |
2.01%, 3/12/29 to 2/15/44 | 3,626 | 182,518 | |
2.06%, 3/15/29 to 3/15/44 | 9,269 | 490,975 | |
2.13%, 9/14/43 to 1/9/44 | 4,967 | 266,063 | |
2.16%, 3/15/42 to 4/15/44 | 2,633 | �� 143,354 | |
2.18%, 12/3/28 to 2/15/44 | 14,184 | 776,523 | |
2.19%, 11/14/32 to 5/16/43(12) | 51,809 | 2,141,247 | |
2.26%, 12/28/28 to 1/15/44 | 2,959 | 159,817 | |
2.31%, 12/15/28 to 4/15/44 | 22,109 | 1,307,300 | |
2.38%, 8/31/28 to 12/27/43 | 2,542 | 144,479 | |
2.41%, 6/15/42 to 4/15/44 | 14,991 | 941,165 | |
2.43%, 5/7/28 to 2/12/44 | 9,358 | 580,967 | |
2.48%, 3/15/44 | 2,551 | 170,040 | |
2.51%, 2/21/33 to 4/1/43(12) | 14,443 | 872,941 | |
2.51%, 7/12/28 to 1/15/44 | 2,988 | 190,037 | |
2.56%, 12/15/28 to 9/18/44 | 18,957 | 1,237,425 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
2.61%, 4/15/29 | $ | 59 | $ 2,416 |
2.63%, 9/13/42 to 1/11/44 | 2,400 | 171,873 | |
2.66%, 6/15/42 to 4/15/44 | 10,107 | 682,581 | |
2.68%, 10/19/28 to 2/19/44 | 16,797 | 1,076,814 | |
2.73%, 7/29/26 to 12/13/42(12) | 16,545 | 750,479 | |
2.76%, 10/1/28 to 2/15/44 | 6,821 | 427,015 | |
2.81%, 3/15/29 to 4/24/44 | 20,968 | 1,424,889 | |
2.88%, 12/3/43 to 12/27/43 | 2,621 | 190,236 | |
2.91%, 3/15/44 | 674 | 53,642 | |
2.93%, 10/1/28 to 1/23/44 | 4,026 | 310,256 | |
3.01%, 10/13/28 to 1/15/44 | 1,483 | 100,730 | |
3.06%, 1/15/29 to 2/21/44 | 1,421 | 106,249 | |
3.13%, 9/29/43 to 1/31/44 | 7,787 | 660,055 | |
3.18%, 5/8/28 to 2/19/44 | 6,412 | 450,759 | |
3.26%, 10/18/28 to 2/15/44 | 2,586 | 190,446 | |
3.26%, 3/28/24 to 7/26/42(12) | 8,014 | 454,651 | |
3.31%, 4/15/29 to 2/28/44 | 2,950 | 294,660 | |
3.36%, 1/15/29 | 46 | 2,404 | |
3.38%, 8/28/43 to 1/16/44 | 7,192 | 695,399 | |
3.43%, 4/27/28 to 7/27/43 | 17,463 | 1,156,107 | |
3.51%, 10/11/28 to 3/15/44 | 10,792 | 828,150 | |
3.53%, 3/10/26 to 3/23/42(12) | 257 | 22,979 | |
3.56%, 12/28/28 to 3/15/44 | 9,361 | 682,296 | |
3.61%, 12/27/28 | 8 | 458 | |
3.66%, 11/15/43 to 4/15/44 | 6,648 | 654,203 | |
3.98%, 12/11/28 to 12/13/28 | 290 | 18,292 | |
Total U.S. Government Guaranteed Small Business Administration Pools & Loans (identified cost $167,641,942) | $ 144,954,788 |
Short-Term Investments — 0.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(13) | 5,892,398 | $ 5,892,398 | |
Total Short-Term Investments (identified cost $5,892,398) | $ 5,892,398 | ||
Total Investments — 128.6% (identified cost $4,467,782,780) | $3,922,318,321 | ||
Total Written Swaptions — (0.0)%(14) (premiums received $3,738,390) | $ (216,409) |
TBA Sale Commitments — (12.1)% | |||
U.S. Government Agency Mortgage-Backed Securities — (12.1)% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association, 3.00%, 30-Year, TBA(8) | $ (17,400) | $ (13,909,805) | |
Federal National Mortgage Association, 4.50%, 30-Year, TBA(8) | (283,000) | (252,931,250) | |
Federal National Mortgage Association, 5.00%, 30-Year, TBA(8) | (100,176) | (92,377,138) | |
Government National Mortgage Association, 4.00%, 30-Year, TBA(8) | (9,700) | (8,524,605) | |
Total U.S. Government Agency Mortgage-Backed Securities (proceeds $371,507,787) | $ (367,742,798) | ||
Total TBA Sale Commitments (proceeds $371,507,787) | $ (367,742,798) | ||
Other Assets, Less Liabilities — (16.5)% | $ (505,164,062) | ||
Net Assets — 100.0% | $3,049,195,052 |
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 October 31, 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 October 31, 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 October 31, 2023. |
(6) | Principal amount is less than $500. |
(7) | 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 October 31, 2023. |
(8) | 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. |
(9) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(10) | 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. |
(11) | 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. |
(12) | The stated interest rate represents the weighted average fixed interest rate at October 31, 2023 of all interest only securities comprising the certificate. |
(13) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
(14) | Amount is less than (0.05)%. |
Written Interest Rate Swaptions (OTC) — (0.0)%(1) | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Option to enter into interest rate swap expiring 5/10/29 to receive 1.93% and pay SOFR | Bank of America, N.A. | USD | (501,491,332) | 5/8/24 | $ (216,409) |
Total | $(216,409) |
(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 | 11,851 | Long | 12/29/23 | $1,238,151,748 | $ (9,764,485) |
U.S. Long Treasury Bond | (1,041) | Short | 12/19/23 | (113,924,438) | 3,331,262 |
U.S. Ultra-Long Treasury Bond | (908) | Short | 12/19/23 | (102,206,750) | 5,633,707 |
$ (799,516) |
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 | 450,000 | Receives | SOFR (pays annually) | 3.07% (pays annually) | 10/14/32 | $ 48,674,250 | $ — | $ 48,674,250 |
USD | 94,000 | Receives | SOFR (pays annually) | 3.16% (pays annually) | 1/5/33 | 11,417,263 | — | 11,417,263 |
USD | 125,000 | Receives | SOFR (pays annually) | 2.47% (pays annually) | 3/28/33 | 21,673,725 | (2,561,679) | 19,112,046 |
USD | 300,000 | Receives | SOFR (pays quarterly) | 2.01% (pays semi-annually) | 2/16/52 | 128,691,782 | — | 128,691,782 |
USD | 300,000 | Receives | SOFR (pays annually) | 1.92% (pays annually) | 4/8/52 | 124,842,906 | — | 124,842,906 |
USD | 100,000 | Receives | SOFR (pays annually) | 1.89% (pays annually) | 8/3/52 | 40,790,922 | (958) | 40,789,964 |
Total | $376,090,848 | $(2,562,637) | $373,528,211 |
Abbreviations: | |
CMT | – Constant Maturity Treasury |
COF | – Cost of Funds 11th District |
OTC | – Over-the-counter |
RFUCCT | – Refinitiv USD IBOR Consumer Cash Fallbacks Term |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
USD | – United States Dollar |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $4,461,890,382) | $ 3,916,425,923 |
Affiliated investments, at value (identified cost $5,892,398) | 5,892,398 |
Deposits for forward purchase commitments | 3,768,000 |
Deposits for reverse repurchase agreements | 1,470,000 |
Deposits for derivatives collateral: | |
Futures contracts | 9,522,440 |
Centrally cleared swap contracts | 71,433,061 |
OTC swaptions | 230,000 |
Interest receivable | 22,271,421 |
Dividends receivable from affiliated investments | 168,702 |
Receivable for investments sold | 868,862,605 |
Receivable for TBA sale commitments | 371,507,787 |
Receivable for Fund shares sold | 9,459,002 |
Receivable for variation margin on open centrally cleared swap contracts | 6,597,956 |
Trustees' deferred compensation plan | 88,046 |
Total assets | $5,287,697,341 |
Liabilities | |
Cash collateral due to brokers | $ 3,198,000 |
Payable for reverse repurchase agreements, including accrued interest of $273,357 | 34,902,317 |
Written swaptions outstanding, at value (premiums received $3,738,390) | 216,409 |
Payable for forward commitment securities | 1,791,475,579 |
TBA sale commitments, at value (proceeds receivable $371,507,787) | 367,742,798 |
Payable for Fund shares redeemed | 31,063,900 |
Payable for variation margin on open futures contracts | 5,262,414 |
Distributions payable | 1,185,494 |
Due to custodian | 563,671 |
Payable to affiliates: | |
Investment adviser fee | 1,281,740 |
Distribution and service fees | 156,457 |
Trustees' fees | 9,223 |
Trustees' deferred compensation plan | 88,046 |
Accrued expenses | 1,356,241 |
Total liabilities | $2,238,502,289 |
Net Assets | $3,049,195,052 |
Sources of Net Assets | |
Paid-in capital | $ 3,858,593,248 |
Accumulated loss | (809,398,196) |
Net Assets | $3,049,195,052 |
Advisers Class Shares | |
Net Assets | $ 72,271,600 |
Shares Outstanding | 10,084,460 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 7.17 |
Class A Shares | |
Net Assets | $ 465,669,721 |
Shares Outstanding | 64,930,524 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 7.17 |
Maximum Offering Price Per Share (100 ÷ 97.75 of net asset value per share) | $ 7.34 |
October 31, 2023 | |
Class C Shares | |
Net Assets | $ 46,203,473 |
Shares Outstanding | 6,433,543 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 7.18 |
Class I Shares | |
Net Assets | $2,465,050,258 |
Shares Outstanding | 344,121,684 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 7.16 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income from affiliated investments | $ 3,522,671 |
Interest income | 226,015,141 |
Total investment income | $ 229,537,812 |
Expenses | |
Investment adviser fee | $ 21,288,148 |
Distribution and service fees: | |
Advisers Class | 332,504 |
Class A | 1,661,212 |
Class C | 492,039 |
Trustees’ fees and expenses | 108,660 |
Custodian fee | 896,157 |
Transfer and dividend disbursing agent fees | 2,198,342 |
Legal and accounting services | 365,929 |
Printing and postage | 732,206 |
Registration fees | 153,168 |
Interest expense and fees | 8,836,935 |
Miscellaneous | 205,231 |
Total expenses | $ 37,270,531 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 117,120 |
Total expense reductions | $ 117,120 |
Net expenses | $ 37,153,411 |
Net investment income | $ 192,384,401 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (274,759,997) |
Written options and swaptions | 13,154,617 |
Futures contracts | 19,483,826 |
Swap contracts | 51,897,880 |
Net realized loss | $(190,223,674) |
Change in unrealized appreciation (depreciation): | |
Investments | $ (22,938,844) |
Written options and swaptions | 7,295,392 |
TBA sale commitments | (26,941,197) |
Futures contracts | (100,385,149) |
Swap contracts | 126,106,275 |
Net change in unrealized appreciation (depreciation) | $ (16,863,523) |
Net realized and unrealized loss | $(207,087,197) |
Net decrease in net assets from operations | $ (14,702,796) |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 192,384,401 | $ 144,933,239 |
Net realized loss | (190,223,674) | (255,824,063) |
Net change in unrealized appreciation (depreciation) | (16,863,523) | (78,363,249) |
Net decrease in net assets from operations | $ (14,702,796) | $ (189,254,073) |
Distributions to shareholders: | ||
Advisers Class | $ (6,572,022) | $ (5,106,640) |
Class A | (33,037,453) | (23,856,615) |
Class C | (2,536,047) | (1,110,912) |
Class I | (190,816,660) | (124,075,281) |
Total distributions to shareholders | $ (232,962,182) | $ (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 | $ (121,675,168) | $ (62,059,678) |
Class A | (377,404,758) | (1,079,149,132) |
Class C | (22,733,550) | (27,197,878) |
Class I | (2,072,888,856) | (2,659,546,385) |
Net decrease in net assets from Fund share transactions | $(2,594,702,332) | $ (3,827,953,073) |
Net decrease in net assets | $(2,842,367,310) | $ (4,188,626,924) |
Net Assets | ||
At beginning of year | $ 5,891,562,362 | $10,080,189,286 |
At end of year | $ 3,049,195,052 | $ 5,891,562,362 |
Advisers Class | |||
Year Ended October 31, | Period Ended October 31, | ||
2023 | 2022 | 2021 (1) | |
Net asset value — Beginning of period | $ 7.610 | $ 7.990 | $ 8.100 |
Income (Loss) From Operations | |||
Net investment income(2) | $ 0.304 | $ 0.133 | $ 0.033 |
Net realized and unrealized loss | (0.371) | (0.349) | (0.089) |
Total loss from operations | $ (0.067) | $ (0.216) | $ (0.056) |
Less Distributions | |||
From net investment income | $ (0.373) | $ (0.147) | $ (0.051) |
Tax return of capital | — | (0.017) | (0.003) |
Total distributions | $ (0.373) | $ (0.164) | $ (0.054) |
Net asset value — End of period | $ 7.170 | $ 7.610 | $ 7.990 |
Total Return(3) | (0.92)% | (2.73)% | (0.70)% (4) |
Ratios/Supplemental Data | |||
Net assets, end of period (000’s omitted) | $72,272 | $201,056 | $276,067 |
Ratios (as a percentage of average daily net assets): | |||
Expenses | 1.02% (5)(6) | 0.79% (5)(6) | 0.75% (7) |
Net investment income | 4.08% | 1.69% | 0.90% (7) |
Portfolio Turnover | 711% (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) | 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% and less than 0.01% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
(6) | Includes interest expense, including on reverse repurchase agreements, of 0.20% and 0.01% of average daily net assets for the years ended October 31, 2023 and 2022, respectively. |
(7) | Annualized. |
(8) | Includes the effect of To Be Announced (TBA) transactions. |
(9) | For the year ended October 31, 2021. |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.610 | $ 8.000 | $ 8.120 | $ 8.100 | $ 8.200 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.304 | $ 0.127 | $ 0.072 | $ 0.097 | $ 0.202 |
Net realized and unrealized gain (loss) | (0.370) | (0.353) | (0.072) | 0.104 | (0.057) |
Total income (loss) from operations | $ (0.066) | $ (0.226) | $ — | $ 0.201 | $ 0.145 |
Less Distributions | |||||
From net investment income | $ (0.374) | $ (0.147) | $ (0.114) | $ (0.166) | $ (0.245) |
From net realized gain | — | — | — | (0.015) | — |
Tax return of capital | — | (0.017) | (0.006) | — | — |
Total distributions | $ (0.374) | $ (0.164) | $ (0.120) | $ (0.181) | $ (0.245) |
Net asset value — End of year | $ 7.170 | $ 7.610 | $ 8.000 | $ 8.120 | $ 8.100 |
Total Return(2) | (0.92)% | (2.85)% | (0.01)% | 2.51% | 1.78% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $465,670 | $879,760 | $2,018,166 | $1,764,637 | $795,015 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 1.02% (3)(4) | 0.79% (3)(4) | 0.77% | 0.82% (4) | 0.85% (4) |
Net investment income | 4.07% | 1.61% | 0.89% | 1.19% | 2.47% |
Portfolio Turnover | 711% (5) | 798% (5) | 310% (5) | 152% (5) | 59% |
(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) | 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% and less than 0.01% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
(4) | Includes interest expense, including on reverse repurchase agreements, of 0.20%, 0.01%, 0.02% and 0.02% of average daily net assets for the years ended October 31, 2023, 2022, 2020 and 2019, respectively. |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.620 | $ 8.010 | $ 8.130 | $ 8.110 | $ 8.210 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.259 | $ 0.088 | $ 0.024 | $ 0.054 | $ 0.154 |
Net realized and unrealized gain (loss) | (0.370) | (0.361) | (0.073) | 0.098 | (0.058) |
Total income (loss) from operations | $ (0.111) | $ (0.273) | $ (0.049) | $ 0.152 | $ 0.096 |
Less Distributions | |||||
From net investment income | $ (0.329) | $ (0.104) | $ (0.067) | $ (0.117) | $ (0.196) |
From net realized gain | — | — | — | (0.015) | — |
Tax return of capital | — | (0.013) | (0.004) | — | — |
Total distributions | $ (0.329) | $ (0.117) | $ (0.071) | $ (0.132) | $ (0.196) |
Net asset value — End of year | $ 7.180 | $ 7.620 | $ 8.010 | $ 8.130 | $ 8.110 |
Total Return(2) | (1.51)% | (3.43)% | (0.60)% | 1.89% | 1.18% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $46,203 | $72,212 | $103,518 | $144,742 | $112,868 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 1.62% (3)(4) | 1.39% (3)(4) | 1.37% | 1.42% (4) | 1.45% (4) |
Net investment income | 3.47% | 1.11% | 0.30% | 0.67% | 1.88% |
Portfolio Turnover | 711% (5) | 798% (5) | 310% (5) | 152% (5) | 59% |
(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) | 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% and less than 0.01% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
(4) | Includes interest expense, including on reverse repurchase agreements, of 0.20%, 0.01%, 0.02% and 0.02% of average daily net assets for the years ended October 31, 2023, 2022, 2020 and 2019, respectively. |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 7.600 | $ 7.990 | $ 8.110 | $ 8.090 | $ 8.190 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.322 | $ 0.153 | $ 0.093 | $ 0.118 | $ 0.223 |
Net realized and unrealized gain (loss) | (0.370) | (0.359) | (0.073) | 0.103 | (0.058) |
Total income (loss) from operations | $ (0.048) | $ (0.206) | $ 0.020 | $ 0.221 | $ 0.165 |
Less Distributions | |||||
From net investment income | $ (0.392) | $ (0.165) | $ (0.133) | $ (0.186) | $ (0.265) |
From net realized gain | — | — | — | (0.015) | — |
Tax return of capital | — | (0.019) | (0.007) | — | — |
Total distributions | $ (0.392) | $ (0.184) | $ (0.140) | $ (0.201) | $ (0.265) |
Net asset value — End of year | $ 7.160 | $ 7.600 | $ 7.990 | $ 8.110 | $ 8.090 |
Total Return(2) | (0.81)% | (2.49)% | 0.24% | 2.76% | 2.04% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $2,465,050 | $4,738,534 | $7,682,437 | $6,765,473 | $3,605,659 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.77% (3)(4) | 0.54% (3)(4) | 0.52% | 0.57% (4) | 0.60% (4) |
Net investment income | 4.32% | 1.94% | 1.15% | 1.46% | 2.73% |
Portfolio Turnover | 711% (5) | 798% (5) | 310% (5) | 152% (5) | 59% |
(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) | 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% and less than 0.01% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
(4) | Includes interest expense, including on reverse repurchase agreements, of 0.20%, 0.01%, 0.02% and 0.02% of average daily net assets for the years ended October 31, 2023, 2022, 2020 and 2019, respectively. |
(5) | Includes the effect of To Be Announced (TBA) transactions. |
market value of swaps as presented in Notes 8 and 12. These transactions involve certain risks, including the risk that the seller may be unable to fulfill
the transaction. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Fund may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $232,962,182 | $154,149,448 |
Tax return of capital | $ — | $ 17,270,330 |
Undistributed ordinary income | $ 10,797,795 |
Deferred capital losses | (639,105,694) |
Net unrealized depreciation | (179,904,803) |
Distributions payable | (1,185,494) |
Accumulated loss | $(809,398,196) |
Aggregate cost | $4,059,626,857 |
Gross unrealized appreciation | $ 422,001,418 |
Gross unrealized depreciation | (601,906,221) |
Net unrealized depreciation | $ (179,904,803) |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Advisers Class | |||||
Sales | 751,922 | $ 5,607,351 | 20,487,425 | $ 162,612,808 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 883,097 | 6,569,182 | 730,097 | 5,701,996 | |
Redemptions | (17,977,151) | (133,851,701) | (29,325,327) | (230,374,482) | |
Net decrease | (16,342,132) | $ (121,675,168) | (8,107,805) | $ (62,059,678) | |
Class A | |||||
Sales | 9,417,867 | $ 70,367,415 | 38,308,816 | $ 302,540,513 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 4,222,390 | 31,383,669 | 3,220,325 | 25,211,768 | |
Redemptions | (64,269,169) | (479,155,842) | (178,238,891) | (1,406,901,413) | |
Net decrease | (50,628,912) | $ (377,404,758) | (136,709,750) | $(1,079,149,132) |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class C | |||||
Sales | 1,046,897 | $ 7,842,288 | 2,240,137 | $ 17,655,395 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 335,044 | 2,491,954 | 156,626 | 1,222,521 | |
Redemptions | (4,420,691) | (33,067,792) | (5,847,025) | (46,075,794) | |
Net decrease | (3,038,750) | $ (22,733,550) | (3,450,262) | $ (27,197,878) | |
Class I | |||||
Sales | 213,618,713 | $ 1,600,523,672 | 484,037,962 | $ 3,809,561,374 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 22,907,274 | 170,137,449 | 15,149,682 | 118,325,821 | |
Redemptions | (515,577,977) | (3,843,549,977) | (837,429,151) | (6,587,433,580) | |
Net decrease | (279,051,990) | $(2,072,888,856) | (338,241,507) | $(2,659,546,385) |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Written swaptions | $ — | $ (216,409)(1) |
Futures contracts | 8,964,969 (2) | (9,764,485) (2) |
Swap contracts (centrally cleared) | 376,090,848 (2) | — |
Total | $385,055,817 | $(9,980,894) |
Derivatives not subject to master netting or similar agreements | $385,055,817 | $(9,764,485) |
Total Derivatives subject to master netting or similar agreements | $ — | $ (216,409) |
(1) | Statement of Assets and Liabilities location: Written swaptions outstanding, 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 Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(b) |
Bank of America, N.A. | $(216,409) | $ — | $ — | $216,409 | $ — |
(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 payable to 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 | $(18,205,082) (1) | $ 11,934,966(2) |
Interest Rate | Purchased swaptions | (4,173,982) (3) | (37,045,118) (4) |
Interest Rate | Written options and swaptions | 13,154,617 (5) | 7,295,392 (6) |
Interest Rate | Futures contracts | 19,483,826 (7) | (100,385,149) (8) |
Interest Rate | Swap contracts | 70,102,962 (1) | 114,171,309 (2) |
Total | $ 80,362,341 | $ (4,028,600) |
(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 |
$675,401,000 | $542,591,000 | $374,460,000 | $667,611,000 | $1,786,000,000 |
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
BMO Capital Markets Corp. | 7/26/23 | 11/3/23 | 5.50% | $ 18,105,124 | $ 18,373,432 |
BMO Capital Markets Corp. | 10/30/23 | On Demand(1) | 5.50 | 16,523,836 | 16,528,885 |
Total | $34,628,960 | $34,902,317 |
(1) | Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Backed Securities.
Counterparty | Reverse Repurchase Agreements* | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(b) |
BMO Capital Markets Corp. | $(34,902,317) | $ — | $34,902,317 | $ — |
* | Including accrued interest. |
(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 | $3,426,333,702 | $(3,461,200,432) | $ — | $ — | $5,892,398 | $3,522,671 | 5,892,398 |
• | 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 | $ — | $ 1,377,985,697 | $ — | $ 1,377,985,697 |
U.S. Department of Agriculture Loans | — | 42,797,003 | — | 42,797,003 |
U.S. Government Agency Commercial Mortgage-Backed Securities | — | 16,682,067 | — | 16,682,067 |
U.S. Government Agency Mortgage-Backed Securities | — | 2,334,006,368 | — | 2,334,006,368 |
U.S. Government Guaranteed Small Business Administration Pools & Loans | — | 144,954,788 | — | 144,954,788 |
Short-Term Investments | 5,892,398 | — | — | 5,892,398 |
Total Investments | $ 5,892,398 | $ 3,916,425,923 | $ — | $ 3,922,318,321 |
Futures Contracts | $ 8,964,969 | $ — | $ — | $ 8,964,969 |
Swap Contracts | — | 376,090,848 | — | 376,090,848 |
Total | $ 14,857,367 | $ 4,292,516,771 | $ — | $ 4,307,374,138 |
Liability Description | ||||
TBA Sale Commitments | $ — | $ (367,742,798) | $ — | $ (367,742,798) |
Written Interest Rate Swaptions | — | (216,409) | — | (216,409) |
Futures Contracts | (9,764,485) | — | — | (9,764,485) |
Total | $ (9,764,485) | $ (367,959,207) | $ — | $ (377,723,692) |
Boston, Massachusetts
December 22, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
127 funds in the Eaton Vance fund complex (including both funds and portfolios in a hub and spoke structure).
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 08/31/2010 | 08/31/2010 | 9.16% | 4.59% | 3.67% |
Class A with 3.25% Maximum Sales Charge | — | — | 5.60 | 3.90 | 3.32 |
Class C at NAV | 08/31/2010 | 08/31/2010 | 8.31 | 3.85 | 3.08 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 7.31 | 3.85 | 3.08 |
Class I at NAV | 08/31/2010 | 08/31/2010 | 9.39 | 4.88 | 3.97 |
Class R at NAV | 12/01/2010 | 08/31/2010 | 8.91 | 4.37 | 3.46 |
Class R6 at NAV | 05/31/2017 | 08/31/2010 | 9.60 | 4.93 | 4.03 |
ICE BofA 3-Month U.S. Treasury Bill Index | — | — | 4.77% | 1.77% | 1.16% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R | Class R6 |
Gross | 1.57% | 2.32% | 1.32% | 1.82% | 1.29% |
Net | 1.46 | 2.21 | 1.21 | 1.71 | 1.18 |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $13,552 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,475,589 | N.A. |
Class R | $10,000 | 10/31/2013 | $14,050 | N.A. |
Class R6, at minimum investment | $5,000,000 | 10/31/2013 | $7,420,801 | N.A. |
Asset Allocation (% of net assets)1 |
Foreign Currency Exposures (% of net assets)2 | |
Australia | 4.7% |
Iceland | 4.6 |
Uzbekistan | 4.4 |
Dominican Republic | 3.9 |
Hungary | 3.7 |
Serbia | 3.3 |
Canada | 2.9 |
South Korea | 2.8 |
India | 2.8 |
Uruguay | 2.2 |
Armenia | 2.1 |
Mexico | 2.0 |
Japan | 1.3 |
Chile | 1.1 |
Other | -0.5 4 |
South Africa | -1.5 |
Saudi Arabia | -1.8 |
Oman | -2.5 |
Bahrain | -2.8 |
Philippines | -4.0 |
New Zealand | -4.5 |
China | -7.2 |
Euro | -11.9 |
Total Long | 47.9% |
Total Short | -42.8% |
Total Net | 5.1% |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. |
Additional Information | |
A long position is the purchase of an investment with the expectation that it will rise in value. | |
A short position is the sale of a borrowed investment with the expectation that it will decline in value. | |
Spread is the difference in yield between a U.S. Treasury bond and another debt security of the same maturity but different credit quality. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,024.80 | $11.02** | 2.16% |
Class C | $1,000.00 | $1,021.20 | $14.88** | 2.92% |
Class I | $1,000.00 | $1,025.50 | $ 9.75** | 1.91% |
Class R | $1,000.00 | $1,023.10 | $12.29** | 2.41% |
Class R6 | $1,000.00 | $1,026.50 | $ 9.45** | 1.85% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,014.32 | $10.97** | 2.16% |
Class C | $1,000.00 | $1,010.49 | $14.80** | 2.92% |
Class I | $1,000.00 | $1,015.58 | $ 9.70** | 1.91% |
Class R | $1,000.00 | $1,013.06 | $12.23** | 2.41% |
Class R6 | $1,000.00 | $1,015.88 | $ 9.40** | 1.85% |
* | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio. |
** | Absent an allocation of certain expenses to affiliate(s), the expenses would be higher. |
October 31, 2023 | |
Assets | |
Investment in Global Macro Absolute Return Advantage Portfolio, at value (identified cost $1,928,399,054) | $ 1,804,447,077 |
Receivable for Fund shares sold | 4,914,101 |
Total assets | $1,809,361,178 |
Liabilities | |
Payable for Fund shares redeemed | $ 2,547,628 |
Payable to affiliates: | |
Distribution and service fees | 62,677 |
Trustees' fees | 42 |
Other | 37,769 |
Accrued expenses | 385,159 |
Total liabilities | $ 3,033,275 |
Net Assets | $1,806,327,903 |
Sources of Net Assets | |
Paid-in capital | $ 2,136,402,249 |
Accumulated loss | (330,074,346) |
Net Assets | $1,806,327,903 |
Class A Shares | |
Net Assets | $ 258,776,386 |
Shares Outstanding | 26,124,379 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.91 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 10.24 |
Class C Shares | |
Net Assets | $ 8,277,857 |
Shares Outstanding | 858,655 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.64 |
Class I Shares | |
Net Assets | $ 870,693,784 |
Shares Outstanding | 86,525,541 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 10.06 |
Class R Shares | |
Net Assets | $ 1,441,402 |
Shares Outstanding | 147,700 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.76 |
October 31, 2023 | |
Class R6 Shares | |
Net Assets | $667,138,474 |
Shares Outstanding | 66,356,098 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 10.05 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $175,408) | $ 10,452,977 |
Interest and other income allocated from Portfolio (net of foreign taxes withheld of $1,770,037) | 118,895,589 |
Expenses, excluding interest and dividend expense, allocated from Portfolio | (16,984,751) |
Interest and dividend expense allocated from Portfolio | (11,352,422) |
Total investment income from Portfolio | $ 101,011,393 |
Expenses | |
Distribution and service fees: | |
Class A | $ 689,602 |
Class C | 100,505 |
Class R | 6,980 |
Trustees’ fees and expenses | 500 |
Custodian fee | 62,000 |
Transfer and dividend disbursing agent fees | 1,069,020 |
Legal and accounting services | 78,447 |
Printing and postage | 79,738 |
Registration fees | 211,772 |
Miscellaneous | 26,011 |
Total expenses | $ 2,324,575 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 1,123,829 |
Total expense reductions | $ 1,123,829 |
Net expenses | $ 1,200,746 |
Net investment income | $ 99,810,647 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ (160,779,979) |
Written options | 1,672 |
Securities sold short | (454,493) |
Futures contracts | 5,973,454 |
Swap contracts | (7,300,243) |
Foreign currency transactions | (3,797,545) |
Forward foreign currency exchange contracts | 8,900,221 |
Non-deliverable bond forward contracts | 9,652,716 |
Net realized loss | $(147,804,197) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $16,568) | $ 273,003,590 |
Written options | 101,321 |
Securities sold short | 5,145,955 |
Futures contracts | (13,556,327) |
Swap contracts | (49,468,494) |
Foreign currency | (880,992) |
Forward foreign currency exchange contracts | (21,479,787) |
Non-deliverable bond forward contracts | (1,768,872) |
Net change in unrealized appreciation (depreciation) | $ 191,096,394 |
Net realized and unrealized gain | $ 43,292,197 |
Net increase in net assets from operations | $ 143,102,844 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 99,810,647 | $ 105,075,478 |
Net realized gain (loss) | (147,804,197) | 110,702,571 |
Net change in unrealized appreciation (depreciation) | 191,096,394 | (297,913,216) |
Net increase (decrease) in net assets from operations | $ 143,102,844 | $ (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 | $ 97,209,145 | $ (485,597,806) |
Class C | (3,108,752) | (1,857,675) |
Class I | 33,594,093 | 50,348,589 |
Class R | 43,276 | 76,078 |
Class R6 | 88,926,661 | (28,870,732) |
Net increase (decrease) in net assets from Fund share transactions | $ 216,664,423 | $ (465,901,546) |
Net increase (decrease) in net assets | $ 285,589,777 | $ (645,839,482) |
Net Assets | ||
At beginning of year | $ 1,520,738,126 | $ 2,166,577,608 |
At end of year | $1,806,327,903 | $1,520,738,126 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.480 | $ 10.450 | $ 10.450 | $ 10.250 | $ 9.510 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.559 | $ 0.531 | $ 0.524 | $ 0.549 | $ 0.564 |
Net realized and unrealized gain (loss) | 0.298 | (1.038) | 0.049 | 0.066 | 0.176 |
Total income (loss) from operations | $ 0.857 | $ (0.507) | $ 0.573 | $ 0.615 | $ 0.740 |
Less Distributions | |||||
From net investment income | $ (0.427) | $ (0.463) | $ (0.573) | $ (0.415) | $ — |
Total distributions | $ (0.427) | $ (0.463) | $ (0.573) | $ (0.415) | $ — |
Net asset value — End of year | $ 9.910 | $ 9.480 | $ 10.450 | $ 10.450 | $ 10.250 |
Total Return(2)(3) | 9.16% | (5.02)% | 5.52% | 6.15% | 7.78% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $258,776 | $151,818 | $676,641 | $758,795 | $789,497 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (3)(5) | 1.99% (6) | 1.51% (6) | 1.46% | 1.44% | 1.57% |
Net investment income | 5.69% | 5.31% | 5.03% | 5.35% | 5.70% |
Portfolio Turnover of the Portfolio | 56% | 94% | 82% | 80% | 71% |
(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 0.07%, 0.11%, 0.11%, 0.15% and 0.18% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, 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 0.67%, 0.16%, 0.11%, 0.09% and 0.22% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(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 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.230 | $10.180 | $ 10.150 | $ 9.930 | $ 9.270 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.482 | $ 0.495 | $ 0.441 | $ 0.468 | $ 0.453 |
Net realized and unrealized gain (loss) | 0.281 | (1.059) | 0.043 | 0.056 | 0.207 |
Total income (loss) from operations | $ 0.763 | $ (0.564) | $ 0.484 | $ 0.524 | $ 0.660 |
Less Distributions | |||||
From net investment income | $ (0.353) | $ (0.386) | $ (0.454) | $ (0.304) | $ — |
Total distributions | $(0.353) | $ (0.386) | $ (0.454) | $ (0.304) | $ — |
Net asset value — End of year | $ 9.640 | $ 9.230 | $10.180 | $10.150 | $ 9.930 |
Total Return(2)(3) | 8.31% | (5.69)% | 4.85% | 5.29% | 7.12% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 8,278 | $10,906 | $ 14,020 | $ 20,894 | $30,108 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (3)(5) | 2.71% (6) | 2.21% (6) | 2.16% | 2.14% | 2.29% |
Net investment income | 5.05% | 5.16% | 4.33% | 4.69% | 4.80% |
Portfolio Turnover of the Portfolio | 56% | 94% | 82% | 80% | 71% |
(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 0.07%, 0.11%, 0.11%, 0.15% and 0.18% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, 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 0.67%, 0.16%, 0.11%, 0.09% and 0.24% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(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 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.640 | $ 10.620 | $ 10.610 | $ 10.390 | $ 9.610 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.593 | $ 0.619 | $ 0.565 | $ 0.592 | $ 0.570 |
Net realized and unrealized gain (loss) | 0.288 | (1.099) | 0.047 | 0.062 | 0.216 |
Total income (loss) from operations | $ 0.881 | $ (0.480) | $ 0.612 | $ 0.654 | $ 0.786 |
Less Distributions | |||||
From net investment income | $ (0.461) | $ (0.500) | $ (0.602) | $ (0.434) | $ (0.006) |
Total distributions | $ (0.461) | $ (0.500) | $ (0.602) | $ (0.434) | $ (0.006) |
Net asset value — End of year | $ 10.060 | $ 9.640 | $ 10.620 | $ 10.610 | $ 10.390 |
Total Return(2)(3) | 9.39% | (4.79)% | 5.93% | 6.36% | 8.18% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $870,694 | $803,281 | $836,706 | $1,293,211 | $2,075,104 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (3)(5) | 1.71% (6) | 1.21% (6) | 1.16% | 1.14% | 1.29% |
Net investment income | 5.96% | 6.22% | 5.35% | 5.70% | 5.81% |
Portfolio Turnover of the Portfolio | 56% | 94% | 82% | 80% | 71% |
(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 0.07%, 0.11%, 0.11%, 0.15% and 0.18% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, 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 0.67%, 0.16%, 0.11%, 0.09% and 0.24% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(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 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Class R | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.360 | $10.330 | $ 10.330 | $ 10.120 | $ 9.410 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.530 | $ 0.554 | $ 0.497 | $ 0.526 | $ 0.515 |
Net realized and unrealized gain (loss) | 0.284 | (1.073) | 0.055 | 0.064 | 0.195 |
Total income (loss) from operations | $ 0.814 | $ (0.519) | $ 0.552 | $ 0.590 | $ 0.710 |
Less Distributions | |||||
From net investment income | $ (0.414) | $ (0.451) | $ (0.552) | $ (0.380) | $ — |
Total distributions | $(0.414) | $ (0.451) | $ (0.552) | $ (0.380) | $ — |
Net asset value — End of year | $ 9.760 | $ 9.360 | $10.330 | $10.330 | $10.120 |
Total Return(2)(3) | 8.91% | (5.29)% | 5.36% | 5.97% | 7.55% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 1,441 | $ 1,340 | $ 1,398 | $ 1,506 | $ 1,566 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (3)(5) | 2.21% (6) | 1.71% (6) | 1.66% | 1.64% | 1.79% |
Net investment income | 5.48% | 5.71% | 4.82% | 5.18% | 5.35% |
Portfolio Turnover of the Portfolio | 56% | 94% | 82% | 80% | 71% |
(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 0.07%, 0.11%, 0.11%, 0.15% and 0.18% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, 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 0.67%, 0.16%, 0.11%, 0.09% and 0.24% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(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 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Class R6 | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.630 | $ 10.630 | $ 10.620 | $ 10.410 | $ 9.640 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.595 | $ 0.619 | $ 0.567 | $ 0.576 | $ 0.579 |
Net realized and unrealized gain (loss) | 0.295 | (1.104) | 0.057 | 0.079 | 0.207 |
Total income (loss) from operations | $ 0.890 | $ (0.485) | $ 0.624 | $ 0.655 | $ 0.786 |
Less Distributions | |||||
From net investment income | $ (0.470) | $ (0.515) | $ (0.614) | $ (0.445) | $ (0.016) |
Total distributions | $ (0.470) | $ (0.515) | $ (0.614) | $ (0.445) | $ (0.016) |
Net asset value — End of year | $ 10.050 | $ 9.630 | $ 10.630 | $ 10.620 | $ 10.410 |
Total Return(2)(3) | 9.60% | (4.84)% | 5.94% | 6.56% | 8.07% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $667,138 | $553,393 | $637,812 | $699,477 | $140,294 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (3)(5) | 1.68% (6) | 1.18% (6) | 1.13% | 1.11% | 1.26% |
Net investment income | 5.97% | 6.20% | 5.36% | 5.53% | 5.86% |
Portfolio Turnover of the Portfolio | 56% | 94% | 82% | 80% | 71% |
(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 0.07%, 0.11%, 0.11%, 0.15% and 0.18% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, 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 0.67%, 0.16%, 0.11%, 0.09% and 0.24% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(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 0.01% and less than 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $74,177,490 | $97,802,769 |
Undistributed ordinary income | $ 46,753,805 |
Deferred capital losses | (166,060,960) |
Net unrealized depreciation | (210,767,191) |
Accumulated loss | $(330,074,346) |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 11,588,829 | $ 111,848,668 | 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 | (2,537,454) | (24,695,662) | (66,895,264) | (661,490,807) | |
Net increase (decrease) | 10,117,774 | $ 97,209,145 | (48,725,546) | $(485,597,806) | |
Class C | |||||
Sales | 104,536 | $ 989,341 | 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 | (469,383) | (4,489,968) | (368,782) | (3,538,495) | |
Net decrease | (322,436) | $ (3,108,752) | (196,016) | $ (1,857,675) | |
Class I | |||||
Sales | 36,991,589 | $ 369,797,271 | 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 | (37,089,500) | (367,367,397) | (44,160,394) | (436,190,292) | |
Net increase | 3,161,945 | $ 33,594,093 | 4,553,220 | $ 50,348,589 | |
Class R | |||||
Sales | 19,772 | $ 191,706 | 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 | (21,522) | (207,059) | (24,426) | (234,521) | |
Net increase | 4,547 | $ 43,276 | 7,726 | $ 76,078 | |
Class R6 | |||||
Sales | 23,604,243 | $ 235,246,715 | 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 | (15,910,031) | (157,941,219) | (19,941,518) | (198,282,910) | |
Net increase (decrease) | 8,911,088 | $ 88,926,661 | (2,571,563) | $ (28,870,732) |
Boston, Massachusetts
December 22, 2023
Collateralized Mortgage Obligations — 4.0% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
Interest Only:(1) | |||
Series 2770, Class SH, 1.665%, (6.986% - 30-day average SOFR), 3/15/34(2) | $ | 630 | $ 57,728 |
Series 4791, Class JI, 4.00%, 5/15/48 | 7,287 | 1,529,835 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2020-DNA4, Class B1, 11.435%, (30-day average SOFR + 6.114%), 8/25/50(3)(4) | 6,260 | 6,972,766 | |
Series 2020-HQA4, Class B1, 10.685%, (30-day average SOFR + 5.364%), 9/25/50(3)(4) | 3,161 | 3,423,834 | |
Series 2022-HQA1, Class M1B, 8.821%, (30-day average SOFR + 3.50%), 3/25/42(3)(4) | 2,521 | 2,603,697 | |
Series 2022-HQA1, Class M2, 10.571%, (30-day average SOFR + 5.25%), 3/25/42(3)(4) | 5,043 | 5,320,956 | |
Federal National Mortgage Association: | |||
Series 2023-54, Class C, 6.50%, 11/25/53 | 7,070 | 6,930,779 | |
Interest Only:(1) | |||
Series 424, Class C8, 3.50%, 2/25/48 | 9,252 | 1,712,160 | |
Series 2010-109, Class PS, 1.165%, (6.486% - 30-day average SOFR), 10/25/40(2) | 1,340 | 82,702 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 8,202 | 1,458,135 | |
Series 2018-58, Class BI, 4.00%, 8/25/48 | 1,336 | 268,791 | |
Government National Mortgage Association: | |||
Series 2023-148, Class HL, 6.50%, 10/20/53 | 7,070 | 7,058,357 | |
Sereis 2023-151, Class GL, 6.50%, 10/20/53 | 5,096 | 5,086,298 | |
Series 2023-155, Class CH, 6.50%, 10/20/53 | 19,303 | 19,247,220 | |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(3)(5) | 46,758 | 36,486,768 | |
Total Collateralized Mortgage Obligations (identified cost $130,514,062) | $ 98,240,026 |
Common Stocks — 4.9% |
Security | Shares | Value | |
Belgium — 0.0%(6) | |||
Cenergy Holdings S.A. | 52,921 | $ 355,969 | |
$ 355,969 | |||
Bulgaria — 0.4% | |||
Eurohold Bulgaria AD(7) | 11,339,190 | $ 10,427,552 | |
$ 10,427,552 | |||
Cyprus — 0.7% | |||
Bank of Cyprus Holdings PLC | 5,496,009 | $ 16,945,629 |
Security | Shares | Value | |
Cyprus (continued) | |||
Galaxy Cosmos Mezz PLC(7) | 48,440 | $ 26,151 | |
Optima bank S.A.(7) | 186,213 | 1,398,928 | |
Sunrisemezz PLC(7) | 272,828 | 75,257 | |
$ 18,445,965 | |||
Georgia — 0.3% | |||
Bank of Georgia Group PLC | 55,667 | $ 2,253,802 | |
Georgia Capital PLC(7) | 175,700 | 1,969,722 | |
TBC Bank Group PLC | 59,076 | 1,930,662 | |
$ 6,154,186 | |||
Greece — 1.8% | |||
Alpha Services and Holdings S.A.(7) | 1,820,600 | $ 2,725,315 | |
Eurobank Ergasias Services and Holdings S.A.(7) | 3,074,700 | 5,025,670 | |
Hellenic Telecommunications Organization S.A. | 325,212 | 4,558,298 | |
Ideal Holdings S.A.(7) | 18,680 | 115,061 | |
JUMBO S.A. | 203,438 | 5,352,567 | |
Motor Oil (Hellas) Corinth Refineries S.A. | 109,300 | 2,603,263 | |
Mytilineos S.A. | 145,257 | 5,380,958 | |
National Bank of Greece S.A.(7) | 640,500 | 3,668,368 | |
OPAP S.A. | 233,095 | 3,948,231 | |
Piraeus Financial Holdings S.A.(7) | 2,652,700 | 7,862,985 | |
Public Power Corp. S.A.(7) | 186,100 | 1,899,532 | |
Titan Cement International S.A. | 7,468 | 139,864 | |
$ 43,280,112 | |||
Iceland — 0.3% | |||
Arion Banki HF(3) | 1,970,378 | $ 1,812,329 | |
Eik Fasteignafelag HF(7) | 6,056,328 | 496,256 | |
Eimskipafelag Islands HF | 483,446 | 1,630,033 | |
Hagar HF | 1,926,423 | 943,080 | |
Islandsbanki HF | 1,104,783 | 816,881 | |
Reginn HF(7) | 2,864,793 | 460,500 | |
Reitir Fasteignafelag HF | 1,754,792 | 969,273 | |
Siminn HF | 3,351,976 | 211,681 | |
$ 7,340,033 | |||
Indonesia — 0.4% | |||
Bank Central Asia Tbk PT | 6,100,000 | $ 3,360,616 | |
Bank Mandiri Persero Tbk PT | 6,600,000 | 2,357,864 | |
Bank Negara Indonesia Persero Tbk PT | 1,380,000 | 416,465 | |
Bank Rakyat Indonesia Persero Tbk PT | 8,500,000 | 2,657,813 | |
$ 8,792,758 | |||
Poland — 0.4% | |||
Alior Bank S.A.(7) | 12,085 | $ 190,251 |
Security | Shares | Value | |
Poland (continued) | |||
Allegro.eu S.A.(3)(7) | 69,423 | $ 497,991 | |
Asseco Poland S.A. | 7,850 | 143,732 | |
Bank Millennium S.A.(7) | 86,688 | 150,835 | |
Bank Polska Kasa Opieki S.A. | 26,142 | 794,381 | |
Budimex S.A. | 1,828 | 204,633 | |
CCC S.A.(7) | 6,055 | 57,307 | |
CD Projekt S.A. | 9,466 | 236,335 | |
Cyfrowy Polsat S.A.(7) | 37,579 | 117,169 | |
Dino Polska S.A.(3)(7) | 7,237 | 685,744 | |
Enea S.A.(7) | 39,017 | 67,630 | |
Eurocash S.A. | 12,263 | 40,795 | |
Grupa Azoty S.A.(7) | 7,075 | 37,018 | |
Grupa Kety S.A. | 1,428 | 240,880 | |
Jastrzebska Spolka Weglowa S.A.(7) | 7,415 | 88,087 | |
KGHM Polska Miedz S.A. | 19,590 | 522,765 | |
KRUK S.A. | 2,534 | 280,323 | |
LPP S.A. | 163 | 525,098 | |
mBank S.A.(7) | 2,154 | 266,285 | |
Orange Polska S.A. | 92,231 | 171,079 | |
ORLEN S.A. | 80,522 | 1,273,368 | |
PGE S.A.(7) | 133,371 | 231,627 | |
Powszechna Kasa Oszczednosci Bank Polski S.A.(7) | 123,438 | 1,278,665 | |
Powszechny Zaklad Ubezpieczen S.A. | 88,981 | 1,006,898 | |
Santander Bank Polska S.A.(7) | 5,122 | 556,285 | |
Tauron Polska Energia S.A.(7) | 154,214 | 135,626 | |
Text S.A. | 2,565 | 69,106 | |
Warsaw Stock Exchange | 3,778 | 35,086 | |
XTB S.A.(3) | 6,748 | 52,463 | |
$ 9,957,462 | |||
Spain — 0.0%(6) | |||
AmRest Holdings SE(7) | 11,113 | $ 70,487 | |
$ 70,487 | |||
United Kingdom — 0.0%(6) | |||
Pepco Group N.V.(7)(8) | 25,985 | $ 105,320 | |
Tesnik Cuatro, Ltd.(9) | 584,285 | 818,174 | |
$ 923,494 | |||
Vietnam — 0.6% | |||
Bank for Foreign Trade of Vietnam JSC(7) | 438,625 | $ 1,551,159 | |
Binh Minh Plastics JSC | 45,300 | 144,931 | |
Coteccons Construction JSC(7) | 198,093 | 410,080 | |
FPT Corp. | 1,352,975 | 4,730,938 | |
Ho Chi Minh City Infrastructure Investment JSC | 868,000 | 492,873 | |
Hoa Phat Group JSC(7) | 1,601,821 | 1,503,104 |
Security | Shares | Value | |
Vietnam (continued) | |||
KIDO Group Corp. | 38,090 | $ 98,482 | |
Masan Group Corp.(7) | 167,040 | 396,600 | |
Mobile World Investment Corp. | 1,116,000 | 1,717,400 | |
Phu Nhuan Jewelry JSC | 477,066 | 1,400,398 | |
Refrigeration Electrical Engineering Corp. | 576,424 | 1,320,537 | |
SSI Securities Corp. | 280,688 | 295,272 | |
Vietnam Dairy Products JSC | 352,996 | 977,664 | |
Vingroup JSC(7) | 458,952 | 756,988 | |
$ 15,796,426 | |||
Total Common Stocks (identified cost $109,883,122) | $ 121,544,444 |
Convertible Bonds — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
India — 0.2% | |||
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(8) | USD | 4,605 | $ 4,104,298 |
Total Convertible Bonds (identified cost $4,605,000) | $ 4,104,298 |
Foreign Corporate Bonds — 2.0% |
Security | Principal Amount (000's omitted) | Value | |
Armenia — 0.1% | |||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(8) | USD | 1,237 | $ 1,221,538 |
$ 1,221,538 | |||
Brazil — 0.1% | |||
Coruripe Netherlands BV: | |||
10.00%, 2/10/27(3) | USD | 1,194 | $ 845,209 |
10.00%, 2/10/27(8) | USD | 2,847 | 2,015,336 |
$ 2,860,545 | |||
China — 0.1% | |||
KWG Group Holdings, Ltd., 7.875%, 8/30/24(10) | USD | 2,385 | $ 186,626 |
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(8)(10) | USD | 7,800 | 195,000 |
Sunac China Holdings, Ltd.: | |||
6.50%, 7/9/23(8)(10) | USD | 2,800 | 406,000 |
8.35%, 4/19/23(8)(10) | USD | 5,201 | 745,043 |
Security | Principal Amount (000's omitted) | Value | |
China (continued) | |||
Times China Holdings, Ltd.: | |||
5.55%, 6/4/24(8)(10) | USD | 6,284 | $ 217,427 |
6.75%, 7/16/23(8)(10) | USD | 4,471 | 111,775 |
$ 1,861,871 | |||
Hungary — 0.1% | |||
MBH Bank Nyrt, 8.625% to 10/19/26, 10/19/27(8)(11) | EUR | 3,382 | $ 3,610,326 |
$ 3,610,326 | |||
Iceland — 0.8% | |||
Arion Banki HF, 6.00%, 4/12/24(8) | ISK | 1,720,000 | $ 12,165,854 |
Landsbankinn HF, 5.00%, 11/23/23(8) | ISK | 1,020,000 | 7,254,878 |
WOW Air HF: | |||
0.00% (9)(10)(12) | EUR | 121 | 0 |
0.00%, (3 mo. EURIBOR + 9.00%)(9)(10)(12) | EUR | 5,500 | 0 |
$ 19,420,732 | |||
India — 0.2% | |||
JSW Steel, Ltd., 5.05%, 4/5/32(8) | USD | 2,277 | $ 1,757,155 |
Vedanta Resources Finance II PLC, 13.875%, 1/21/24(8) | USD | 2,214 | 1,973,247 |
$ 3,730,402 | |||
Mexico — 0.1% | |||
Alpha Holding S.A. de CV: | |||
9.00%, 2/10/25(8)(10) | USD | 5,542 | $ 103,918 |
10.00%, 12/19/22(8)(10) | USD | 2,697 | 40,454 |
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 |
$ 2,005,572 | |||
Moldova — 0.1% | |||
Aragvi Finance International DAC, 8.45%, 4/29/26(8) | USD | 3,454 | $ 2,378,942 |
$ 2,378,942 | |||
Nigeria — 0.0%(6) | |||
IHS Netherlands Holdco BV, 8.00%, 9/18/27(8) | USD | 618 | $ 505,851 |
SEPLAT Energy PLC, 7.75%, 4/1/26(8) | USD | 561 | 475,055 |
$ 980,906 | |||
Saint Lucia — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(8) | USD | 1,633 | $ 1,499,959 |
$ 1,499,959 |
Security | Principal Amount (000's omitted) | Value | |
South Africa — 0.0%(6) | |||
Petra Diamonds US Treasury PLC, 9.75% PIK, 3/8/26(8) | USD | 914 | $ 781,565 |
$ 781,565 | |||
Turkey — 0.2% | |||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(8) | USD | 6,853 | $ 6,017,307 |
$ 6,017,307 | |||
Uzbekistan — 0.1% | |||
International Finance Corp., 16.00%, 2/21/25 | UZS | 25,000,000 | $ 2,051,881 |
$ 2,051,881 | |||
Total Foreign Corporate Bonds (identified cost $78,952,034) | $ 48,421,546 |
Loan Participation Notes — 2.0% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 2.0% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(8)(9)(13) | UZS | 316,179,530 | $ 25,264,989 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/21/26(8)(9)(13) | UZS | 331,541,810 | 25,264,873 |
Total Loan Participation Notes (identified cost $55,956,228) | $ 50,529,862 |
Reinsurance Side Cars — 0.8% |
Security | Shares | Value | |
Eden Re II, Ltd.: | |||
Series 2021A, 0.00%, 3/21/25(3)(9)(14)(15) | 519,292 | $ 236,797 | |
Series 2022A, 0.00%, 3/20/26(3)(9)(14)(15) | 387,743 | 287,047 | |
Series 2022B, 0.00%, 3/20/26(3)(9)(14)(15) | 812,887 | 613,730 | |
Mt. Logan Re, Ltd., Series A-1(7)(9)(15)(16) | 8,600 | 10,175,822 | |
Sussex Capital, Ltd.: | |||
Designated Investment Series 14(7)(9)(15)(16) | 1,114 | 20,764 | |
Designated Investment Series 14(7)(9)(15)(16) | 1,081 | 599,146 | |
Series 14, Preference Shares(9)(15)(16) | 7,500 | 8,224,784 | |
Total Reinsurance Side Cars (identified cost $17,819,923) | $ 20,158,090 |
Rights — 0.0% |
Security | Shares | Value | |
Vietnam — 0.0% | |||
Ho Chi Minh City Technical, Exp. 11/20/2023(7) | 868,000 | $ 0 | |
Total Rights (identified cost $0) | $ 0 |
Senior Floating-Rate Loans — 0.7%(17) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(6) | |||
Desa, LLC, Term Loan, 2.50%, 6/30/24(9)(18) | $ | 1,125 | $ 397,208 |
$ 397,208 | |||
Mexico — 0.7% | |||
Petroleos Mexicanos, Term Loan, 8.447%, (SOFR + 3.00%), 6/28/24 | $ | 17,248 | $ 16,946,160 |
$ 16,946,160 | |||
Total Senior Floating-Rate Loans (identified cost $18,141,606) | $ 17,343,368 |
Sovereign Government Bonds — 54.5% |
Security | Principal Amount (000's omitted) | Value | |
Albania — 1.8% | |||
Albania Government International Bond: | |||
3.50%, 10/9/25(8) | EUR | 3,150 | $ 3,195,446 |
3.50%, 6/16/27(8) | EUR | 304 | 300,559 |
3.50%, 11/23/31(8) | EUR | 200 | 172,716 |
5.90%, 6/9/28(8) | EUR | 39,761 | 40,740,163 |
$ 44,408,884 | |||
Argentina — 1.0% | |||
Republic of Argentina: | |||
0.75% to 7/9/27, 7/9/30(19) | USD | 12,532 | $ 3,510,302 |
1.00%, 7/9/29 | USD | 3,033 | 822,211 |
3.50% to 7/9/29, 7/9/41(19) | USD | 26,247 | 6,944,427 |
3.625% to 7/9/24, 7/9/35(19) | USD | 29,626 | 7,394,825 |
4.255% to 7/9/24, 1/9/38(19) | USD | 17,245 | 5,250,669 |
$ 23,922,434 |
Security | Principal Amount (000's omitted) | Value | |
Armenia — 2.1% | |||
Republic of Armenia Treasury Bond: | |||
9.00%, 4/29/26 | AMD | 424,740 | $ 1,026,956 |
9.25%, 4/29/28 | AMD | 6,628,520 | 15,790,028 |
9.60%, 10/29/33 | AMD | 11,568,620 | 27,497,468 |
9.75%, 10/29/50 | AMD | 1,427,165 | 3,404,527 |
9.75%, 10/29/52 | AMD | 1,543,990 | 3,677,366 |
$ 51,396,345 | |||
Barbados — 1.1% | |||
Government of Barbados, 6.50%, 10/1/29(8) | USD | 28,447 | $ 26,810,921 |
$ 26,810,921 | |||
Benin — 1.9% | |||
Benin Government International Bond: | |||
4.875%, 1/19/32(8) | EUR | 17,891 | $ 14,202,965 |
4.95%, 1/22/35(8) | EUR | 9,220 | 6,639,231 |
6.875%, 1/19/52(8) | EUR | 35,702 | 24,833,382 |
$ 45,675,578 | |||
Cyprus — 0.9% | |||
Cyprus Government International Bond: | |||
2.75%, 2/26/34(8) | EUR | 2,016 | $ 1,870,001 |
4.125%, 4/13/33(8) | EUR | 17,969 | 19,183,189 |
$ 21,053,190 | |||
Dominican Republic — 3.8% | |||
Dominican Republic: | |||
8.00%, 1/15/27(8) | DOP | 128,350 | $ 2,099,617 |
8.00%, 2/12/27(8) | DOP | 621,240 | 10,272,686 |
11.25%, 9/15/35(3) | DOP | 289,800 | 5,064,615 |
12.00%, 8/8/25(3) | DOP | 535,040 | 9,522,855 |
12.75%, 9/23/29(3) | DOP | 1,010,500 | 19,709,605 |
13.00%, 6/10/34(8) | DOP | 402,900 | 8,231,653 |
13.625%, 2/3/33(3) | DOP | 827,650 | 16,599,398 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(8) | DOP | 46,050 | 736,294 |
12.00%, 10/3/25(3) | DOP | 379,500 | 6,761,772 |
13.00%, 12/5/25(3) | DOP | 497,230 | 9,038,978 |
13.00%, 1/30/26(3) | DOP | 342,670 | 6,235,098 |
$ 94,272,571 | |||
Ecuador — 0.1% | |||
Republic of Ecuador, 2.50% to 1/31/24, 7/31/40(8)(19) | USD | 5,728 | $ 1,417,553 |
$ 1,417,553 |
Security | Principal Amount (000's omitted) | Value | |
El Salvador — 0.7% | |||
Republic of El Salvador: | |||
5.875%, 1/30/25(8) | USD | 1,502 | $ 1,383,744 |
6.375%, 1/18/27(8) | USD | 1,623 | 1,335,123 |
7.625%, 2/1/41(8) | USD | 7,942 | 5,346,160 |
7.65%, 6/15/35(8) | USD | 534 | 376,395 |
8.25%, 4/10/32(8) | USD | 12,330 | 9,737,150 |
$ 18,178,572 | |||
Ethiopia — 0.8% | |||
Ethiopia Government International Bond, 6.625%, 12/11/24(8) | USD | 32,194 | $ 20,436,333 |
$ 20,436,333 | |||
Ghana — 1.0% | |||
Ghana Government International Bond: | |||
6.375%, 2/11/27(8)(10) | USD | 4,321 | $ 1,854,400 |
7.625%, 5/16/29(8)(10) | USD | 4,452 | 1,907,820 |
7.75%, 4/7/29(8)(10) | USD | 9,463 | 4,069,942 |
7.875%, 3/26/27(8)(10) | USD | 1,399 | 604,921 |
7.875%, 2/11/35(8)(10) | USD | 1,481 | 642,384 |
8.125%, 3/26/32(8)(10) | USD | 10,382 | 4,402,902 |
8.625%, 4/7/34(8)(10) | USD | 6,908 | 2,957,867 |
8.627%, 6/16/49(8)(10) | USD | 6,254 | 2,619,331 |
8.75%, 3/11/61(8)(10) | USD | 7,430 | 3,111,387 |
8.875%, 5/7/42(8)(10) | USD | 2,929 | 1,227,559 |
8.95%, 3/26/51(8)(10) | USD | 1,016 | 426,248 |
$ 23,824,761 | |||
Greece — 0.0%(6) | |||
Hellenic Republic Government Bond, 0.00%, GDP-Linked, 10/15/42 | EUR | 218,317 | $ 726,451 |
$ 726,451 | |||
Iceland — 1.3% | |||
Republic of Iceland: | |||
5.00%, 11/15/28 | ISK | 2,319,313 | $ 14,703,679 |
6.50%, 1/24/31 | ISK | 1,273,622 | 8,618,876 |
8.00%, 6/12/25 | ISK | 1,168,841 | 8,340,569 |
$ 31,663,124 | |||
India — 5.7% | |||
India Government Bond: | |||
7.10%, 4/18/29 | INR | 8,779,810 | $ 104,133,385 |
Security | Principal Amount (000's omitted) | Value | |
India (continued) | |||
India Government Bond: (continued) | |||
7.26%, 2/6/33 | INR | 3,161,740 | $ 37,720,436 |
$ 141,853,821 | |||
Indonesia — 1.5% | |||
Indonesia Government Bond: | |||
7.125%, 6/15/42 | IDR | 101,384,000 | $ 6,338,526 |
7.125%, 6/15/43 | IDR | 464,841,000 | 29,184,904 |
7.375%, 5/15/48 | IDR | 36,392,000 | 2,335,068 |
$ 37,858,498 | |||
Ivory Coast — 1.7% | |||
Ivory Coast Government International Bond: | |||
6.625%, 3/22/48(8) | EUR | 39,874 | $ 28,425,978 |
6.875%, 10/17/40(8) | EUR | 17,973 | 13,822,640 |
$ 42,248,618 | |||
Lebanon — 0.1% | |||
Lebanese Republic: | |||
5.80%, 4/14/20(8)(10) | USD | 332 | $ 21,358 |
6.10%, 10/4/22(8)(10) | USD | 5,684 | 354,187 |
6.15%, 6/19/20(10) | USD | 442 | 28,435 |
6.375%, 3/9/20(10) | USD | 5,669 | 364,698 |
6.40%, 5/26/23(10) | USD | 11,020 | 688,750 |
6.65%, 11/3/28(8)(10) | USD | 2,073 | 136,298 |
6.85%, 5/25/29(10) | USD | 5,799 | 371,925 |
7.00%, 12/3/24(10) | USD | 4,878 | 321,314 |
8.20%, 5/17/33(10) | USD | 4,223 | 274,389 |
8.25%, 5/17/34(10) | USD | 3,507 | 233,917 |
$ 2,795,271 | |||
Mexico — 2.0% | |||
Mexican Bonos: | |||
7.75%, 11/13/42(20) | MXN | 591,090 | $ 26,195,624 |
8.00%, 7/31/53(20) | MXN | 544,200 | 24,282,990 |
$ 50,478,614 | |||
Nigeria — 1.6% | |||
Republic of Nigeria: | |||
7.375%, 9/28/33(8) | USD | 6,333 | $ 4,781,162 |
7.625%, 11/28/47(8) | USD | 3,531 | 2,393,068 |
7.696%, 2/23/38(8) | USD | 21,135 | 15,124,100 |
8.25%, 9/28/51(8) | USD | 25,398 | 17,944,805 |
$ 40,243,135 |
Security | Principal Amount (000's omitted) | Value | |
North Macedonia — 2.3% | |||
North Macedonia Government International Bond: | |||
1.625%, 3/10/28(8) | EUR | 24,292 | $ 20,956,936 |
3.675%, 6/3/26(8) | EUR | 3,970 | 3,951,433 |
6.96%, 3/13/27(8) | EUR | 30,696 | 32,956,440 |
$ 57,864,809 | |||
Panama — 0.1% | |||
Panama Bonos del Tesoro, 6.375%, 7/25/33(3)(8) | USD | 1,515 | $ 1,385,149 |
$ 1,385,149 | |||
Peru — 5.8% | |||
Peru Government Bond: | |||
5.40%, 8/12/34 | PEN | 11,066 | $ 2,406,559 |
5.94%, 2/12/29 | PEN | 395,045 | 98,604,303 |
6.15%, 8/12/32 | PEN | 5,374 | 1,279,707 |
6.35%, 8/12/28 | PEN | 28,346 | 7,278,102 |
7.30%, 8/12/33(3)(8) | PEN | 136,689 | 34,887,320 |
$ 144,455,991 | |||
Romania — 3.3% | |||
Romania Government International Bond: | |||
1.75%, 7/13/30(8) | EUR | 36,399 | $ 29,406,834 |
2.00%, 1/28/32(8) | EUR | 797 | 608,504 |
2.00%, 4/14/33(8) | EUR | 5,022 | 3,664,135 |
2.124%, 7/16/31(8) | EUR | 2,362 | 1,859,204 |
2.125%, 3/7/28(8) | EUR | 6,116 | 5,632,882 |
3.375%, 1/28/50(8) | EUR | 3,514 | 2,207,152 |
3.624%, 5/26/30(8) | EUR | 439 | 402,237 |
3.75%, 2/7/34(8) | EUR | 2,626 | 2,200,235 |
4.625%, 4/3/49(8) | EUR | 20,631 | 16,195,976 |
6.625%, 9/27/29(8) | EUR | 16,515 | 18,017,879 |
$ 80,195,038 | |||
Serbia — 4.4% | |||
Republic of Serbia: | |||
1.00%, 9/23/28(8) | EUR | 14,100 | $ 11,760,071 |
1.50%, 6/26/29(8) | EUR | 15,362 | 12,618,072 |
1.65%, 3/3/33(8) | EUR | 9,131 | 6,423,457 |
Serbia Treasury Bond: | |||
4.50%, 8/20/32 | RSD | 5,345,300 | 42,521,780 |
5.875%, 2/8/28 | RSD | 3,900,890 | 36,045,766 |
$ 109,369,146 |
Security | Principal Amount (000's omitted) | Value | |
Sri Lanka — 1.8% | |||
Sri Lanka Government International Bond: | |||
5.75%, 4/18/23(8)(10) | USD | 13,676 | $ 7,178,632 |
6.20%, 5/11/27(8)(10) | USD | 11,845 | 5,963,364 |
6.35%, 6/28/24(8)(10) | USD | 5,875 | 3,064,125 |
6.75%, 4/18/28(8)(10) | USD | 2,158 | 1,085,719 |
6.825%, 7/18/26(8)(10) | USD | 27,346 | 14,252,543 |
6.85%, 3/14/24(8)(10) | USD | 8,685 | 4,526,001 |
6.85%, 11/3/25(8)(10) | USD | 15,118 | 7,898,493 |
$ 43,968,877 | |||
Suriname — 3.1% | |||
Republic of Suriname: | |||
9.25%, 10/26/26(3)(10) | USD | 200 | $ 182,500 |
9.25%, 10/26/26(8)(10) | USD | 80,695 | 73,634,187 |
12.875%, 12/30/23(8)(10) | USD | 2,634 | 2,412,744 |
$ 76,229,431 | |||
Ukraine — 0.5% | |||
Ukraine Government Bond: | |||
10.95%, 11/1/23 | UAH | 57,722 | $ 1,509,322 |
11.67%, 11/22/23 | UAH | 74,022 | 1,729,211 |
15.84%, 2/26/25 | UAH | 426,258 | 9,222,200 |
$ 12,460,733 | |||
Uruguay — 2.5% | |||
Uruguay Government Bond: | |||
3.875%, 7/2/40(21) | UYU | 890,796 | $ 22,618,170 |
9.75%, 7/20/33 | UYU | 1,393,331 | 34,746,813 |
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24 | UYU | 210,400 | 4,940,833 |
$ 62,305,816 | |||
Uzbekistan — 1.2% | |||
Republic of Uzbekistan: | |||
14.00%, 7/19/24(8) | UZS | 4,180,000 | $ 341,339 |
16.25%, 10/12/26(8) | UZS | 367,300,000 | 30,171,083 |
$ 30,512,422 | |||
Zambia — 0.4% | |||
Zambia Government Bond: | |||
11.00%, 1/25/26 | ZMW | 220,720 | $ 8,742,485 |
11.00%, 6/28/26 | ZMW | 8,247 | 310,584 |
12.00%, 6/28/28 | ZMW | 27,000 | 876,041 |
12.00%, 8/30/28 | ZMW | 2,500 | 79,974 |
12.00%, 11/29/28 | ZMW | 8,500 | 266,765 |
Security | Principal Amount (000's omitted) | Value | |
Zambia (continued) | |||
Zambia Government Bond: (continued) | |||
13.00%, 1/25/31 | ZMW | 13,735 | $ 386,887 |
$ 10,662,736 | |||
Total Sovereign Government Bonds (identified cost $1,423,872,830) | $1,348,674,822 |
Sovereign Loans — 3.7% |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Ivory Coast — 0.2% | |||
Republic of Ivory Coast, Term Loan, 9.638%, (6 mo. EURIBOR + 5.75%), 1/6/28(4) | EUR | 5,090 | $ 5,806,195 |
$ 5,806,195 | |||
Kenya — 0.2% | |||
Government of Kenya, Term Loan, 12.203%, (6 mo. SOFR + 6.45%), 6/29/25(4) | USD | 5,262 | $ 5,374,649 |
$ 5,374,649 | |||
Tanzania — 3.3% | |||
Government of the United Republic of Tanzania, Term Loan, 12.174%, (6 mo. USD LIBOR + 6.30%), 4/28/31(4) | USD | 81,953 | $ 79,997,298 |
$ 79,997,298 | |||
Total Sovereign Loans (identified cost $93,170,821) | $ 91,178,142 |
U.S. Government Guaranteed Small Business Administration Loans(22)(23)— 0.5% |
Security | Principal Amount (000's omitted) | Value | |
1.88%, 12/28/42 | $ | 1,277 | $ 70,474 |
2.24%, 11/15/32 to 4/10/43(24) | 21,685 | 1,364,779 | |
2.38%, 11/30/42 to 3/1/43 | 5,629 | 377,816 | |
2.63%, 10/27/42 to 3/20/43 | 5,019 | 349,120 | |
2.80%, 4/12/27 to 3/10/43(24) | 45,200 | 3,131,289 | |
2.88%, 11/7/42 to 2/13/43 | 4,564 | 382,822 | |
3.03%, 2/2/27 to 12/17/43(24) | 53,480 | 3,973,286 | |
3.13%, 10/12/42 to 1/2/43 | 2,994 | 268,325 |
Security | Principal Amount (000's omitted) | Value | |
3.63%, 10/27/42 to 3/28/43 | $ | 14,966 | $ 1,579,526 |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $24,336,553) | $ 11,497,437 |
Warrants — 0.0%(6) |
Security | Shares | Value | |
IRSA Inversiones y Representaciones S.A., Exp. 3/5/26(7) | 383,780 | $ 146,028 | |
Total Warrants (identified cost $0) | $ 146,028 |
Miscellaneous — 0.0% |
Security | Shares | Value | |
Financial Intermediaries — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(7)(9) | 5,728,000 | $ 0 | |
Alpha Holding S.A., Escrow Certificates(7)(9) | 11,758,000 | 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Short-Term Investments — 26.3% |
Affiliated Fund — 9.3% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(25) | 230,125,366 | $ 230,125,366 | |
Total Affiliated Fund (identified cost $230,125,366) | $ 230,125,366 |
Repurchase Agreements — 8.1% |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: | |||
Dated 7/27/23 with an interest rate of 4.75%, collateralized by USD 3,500,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,335,190(26) | USD | 2,563 | $ 2,563,050 |
Dated 7/27/23 with an interest rate of 4.75%, collateralized by USD 6,824,000 Republic of Colombia, 6.125%, due 1/18/41 and a market value, including accrued interest, of $5,361,986(26) | USD | 4,997 | 4,997,215 |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: (continued) | |||
Dated 7/27/23 with an interest rate of 4.80%, collateralized by USD 17,326,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $11,559,859(26) | USD | 12,688 | $ 12,687,830 |
Dated 7/27/23 with an interest rate of 5.00%, collateralized by USD 8,500,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $5,671,176(26) | USD | 6,225 | 6,224,550 |
Dated 8/17/23 with an interest rate of 4.00%, collateralized by USD 3,614,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $1,091,220(26) | USD | 1,071 | 1,070,648 |
Dated 8/21/23 with an interest rate of 3.75%, collateralized by USD 5,075,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $1,532,358(26) | USD | 1,516 | 1,516,156 |
Dated 8/23/23 with an interest rate of 3.60%, collateralized by USD 6,236,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $1,882,913(26) | USD | 1,832 | 1,831,825 |
Dated 10/13/23 with an interest rate of 5.00%, collateralized by USD 2,597,000 Republic of Ecuador, 6.00%, due 7/31/30 and a market value, including accrued interest, of $1,366,127(26) | USD | 1,311 | 1,311,485 |
Barclays Bank PLC: | |||
Dated 8/17/23 with an interest rate of 3.75%, collateralized by USD 3,625,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $1,094,541(26) | USD | 1,128 | 1,128,281 |
Dated 9/8/23 with an interest rate of 4.00%, collateralized by USD 877,000 Republic of Azerbaijan, 5.125%, due 9/1/29 and a market value, including accrued interest, of $814,077(26) | USD | 868 | 868,230 |
Dated 9/11/23 with an interest rate of 4.00%, collateralized by USD 7,250,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $2,189,083(26) | USD | 2,320 | 2,320,000 |
Dated 9/11/23 with an interest rate of 4.00%, collateralized by USD 730,000 Republic of Azerbaijan, 5.125%, due 9/1/29 and a market value, including accrued interest, of $677,624(26) | USD | 720 | 719,963 |
Dated 9/12/23 with an interest rate of 4.00%, collateralized by USD 2,191,000 Republic of Azerbaijan, 5.125%, due 9/1/29 and a market value, including accrued interest, of $2,033,799(26) | USD | 2,161 | 2,160,874 |
Dated 9/20/23 with an interest rate of 2.50%, collateralized by EUR 4,206,000 Republic of Poland, 1.125%, due 8/7/26 and a market value, including accrued interest, of $4,154,468(26) | EUR | 4,111 | 4,350,236 |
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: (continued) | |||
Dated 9/20/23 with an interest rate of 2.60%, collateralized by EUR 3,000,000 Republic of Poland, 2.75%, due 5/25/32 and a market value, including accrued interest, of $2,923,616(26) | EUR | 2,888 | $ 3,055,265 |
Dated 9/20/23 with an interest rate of 2.75%, collateralized by EUR 1,800,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $1,687,245(26) | EUR | 1,663 | 1,759,356 |
Dated 9/20/23 with an interest rate of 3.10%, collateralized by EUR 6,000,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $5,624,150(26) | EUR | 5,543 | 5,864,521 |
Dated 10/11/23 with an interest rate of 0.00%, collateralized by USD 6,441,000 Pakistan Government International Bond, 8.25%, due 9/30/25 and a market value, including accrued interest, of $4,663,781(26) | USD | 3,993 | 3,993,420 |
Dated 10/11/23 with an interest rate of 1.75%, collateralized by USD 2,245,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $1,248,968(26) | USD | 1,173 | 1,173,012 |
Dated 10/11/23 with an interest rate of 2.25%, collateralized by USD 3,400,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $1,891,533(26) | USD | 1,777 | 1,776,500 |
Dated 10/11/23 with an interest rate of 2.50%, collateralized by USD 5,736,000 Pakistan Government International Bond, 6.875%, due 12/5/27 and a market value, including accrued interest, of $3,222,381(26) | USD | 3,019 | 3,018,570 |
Dated 10/11/23 with an interest rate of 2.75%, collateralized by USD 12,453,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $6,928,019(26) | USD | 6,398 | 6,397,729 |
Dated 10/11/23 with an interest rate of 4.50%, collateralized by USD 14,500,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $4,378,165(26) | USD | 4,368 | 4,368,125 |
Dated 10/11/23 with an interest rate of 4.95%, collateralized by USD 3,649,000 Republic of Armenia International Bond, 3.60%, due 2/2/31 and a market value, including accrued interest, of $2,731,028(26) | USD | 2,874 | 2,873,587 |
Dated 10/11/23 with an interest rate of 5.00%, collateralized by USD 26,599,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $17,746,778(26) | USD | 18,254 | 18,253,564 |
Dated 10/11/23 with an interest rate of 5.05%, collateralized by USD 14,875,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $9,924,558(26) | USD | 10,208 | 10,207,969 |
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: (continued) | |||
Dated 10/11/23 with an interest rate of 5.15% payable by the Portfolio, collateralized by MXN 319,966,354 Mexican Udibonos, 4.00%, due 11/3/50 and a market value, including accrued interest, of $15,515,681(26) | USD | 15,638 | $ 15,638,334 |
Dated 10/16/23 with an interest rate of 5.15% payable by the Portfolio, collateralized by MXN 413,767,308 Mexican Udibonos, 4.00%, due 11/15/40 and a market value, including accrued interest, of $20,691,404(26) | USD | 21,091 | 21,091,465 |
JPMorgan Chase Bank, N.A.: | |||
Dated 7/27/23 with an interest rate of 4.95%, collateralized by USD 6,824,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $4,552,954(26) | USD | 5,013 | 5,012,531 |
Dated 7/27/23 with an interest rate of 5.00%, collateralized by USD 6,813,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $4,545,615(26) | USD | 5,004 | 5,004,451 |
Dated 10/6/23 with an interest rate of 5.00%, collateralized by USD 7,317,000 Republic of Ecuador, 6.00%, due 7/31/30 and a market value, including accrued interest, of $3,849,039(26) | USD | 3,744 | 3,743,865 |
Dated 10/13/23 with an interest rate of 5.00%, collateralized by USD 3,659,000 Republic of Ecuador, 6.00%, due 7/31/30 and a market value, including accrued interest, of $1,924,782(26) | USD | 1,873 | 1,872,798 |
Nomura International PLC: | |||
Dated 8/14/23 with an interest rate of 3.25%, collateralized by USD 6,934,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $3,857,615(26) | USD | 4,605 | 4,605,043 |
Dated 9/11/23 with an interest rate of 4.85%, collateralized by USD 3,652,000 Republic of Azerbaijan, 3.50%, due 9/1/32 and a market value, including accrued interest, of $2,883,668(26) | USD | 3,172 | 3,171,981 |
Dated 9/13/23 with an interest rate of 4.85%, collateralized by USD 1,414,000 Republic of Azerbaijan, 3.50%, due 9/1/32 and a market value, including accrued interest, of $1,116,513(26) | USD | 1,216 | 1,216,118 |
Dated 9/27/23 with an interest rate of 4.75%, collateralized by USD 4,379,000 Republic of Armenia International Bond, 3.60%, due 2/2/31 and a market value, including accrued interest, of $3,277,384(26) | USD | 3,499 | 3,499,500 |
Dated 10/11/23 with an interest rate of 3.40%, collateralized by EUR 3,044,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $2,853,319(26) | USD | 2,975 | 2,974,880 |
Dated 10/11/23 with an interest rate of 4.85%, collateralized by USD 8,762,000 Republic of Azerbaijan, 3.50%, due 9/1/32 and a market value, including accrued interest, of $6,918,592(26) | USD | 7,386 | 7,385,840 |
Description | Principal Amount (000's omitted) | Value | |
Nomura International PLC: (continued) | |||
Dated 10/11/23 with an interest rate of 4.90%, collateralized by USD 6,824,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $4,552,954(26) | USD | 4,718 | $ 4,717,568 |
Dated 10/11/23 with an interest rate of 5.05%, collateralized by USD 6,826,000 Republic of Colombia, 5.625%, due 2/26/44 and a market value, including accrued interest, of $4,869,434(26) | USD | 5,138 | 5,137,507 |
Dated 10/11/23 with an interest rate of 5.05%, collateralized by USD 6,825,000 Republic of Colombia, 5.00%, due 6/15/45 and a market value, including accrued interest, of $4,524,828(26) | USD | 4,771 | 4,770,887 |
Dated 10/11/23 with an interest rate of 5.05%, collateralized by USD 6,875,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $4,586,981(26) | USD | 4,753 | 4,752,825 |
Total Repurchase Agreements (identified cost $201,197,637) | $ 201,087,554 |
Sovereign Government Securities — 5.0% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 4.4% | |||
Letra do Tesouro Nacional, 0.00%, 1/1/24 | BRL | 561,300 | $ 109,270,403 |
$ 109,270,403 | |||
Sri Lanka — 0.6% | |||
Sri Lanka Treasury Bills: | |||
0.00%, 11/17/23 | LKR | 332,000 | $ 1,007,297 |
0.00%, 11/24/23 | LKR | 166,000 | 502,193 |
0.00%, 12/8/23 | LKR | 384,641 | 1,156,810 |
0.00%, 1/5/24 | LKR | 890,000 | 2,644,286 |
0.00%, 1/12/24 | LKR | 1,648,000 | 4,881,097 |
0.00%, 3/15/24 | LKR | 200,000 | 577,719 |
0.00%, 4/19/24 | LKR | 857,000 | 2,446,002 |
$ 13,215,404 | |||
Total Sovereign Government Securities (identified cost $125,672,882) | $ 122,485,807 |
U.S. Treasury Obligations — 3.9% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 11/30/23(27) | $ | 55,000 | $ 54,765,889 |
0.00%, 1/9/24(27) | 42,000 | 41,575,161 | |
Total U.S. Treasury Obligations (identified cost $96,339,298) | $ 96,341,050 | ||
Total Short-Term Investments (identified cost $653,335,183) | $ 650,039,777 |
Total Purchased Options — 0.0%(6) (identified cost $950,945) | $ 770,671 | ||
Total Investments — 99.6% (identified cost $2,611,538,307) | $2,462,648,511 | ||
Total Written Options — (0.0)%(6) (premiums received $338,138) | $ (202,436) |
Securities Sold Short — (8.7)% | |||
Common Stocks — (1.3)% |
Security | Shares | Value | |
New Zealand — (1.3)% | |||
a2 Milk Co., Ltd. (The)(7) | (563,000) | $ (1,371,320) | |
Air New Zealand, Ltd. | (1,306,400) | (509,864) | |
Auckland International Airport, Ltd. | (827,749) | (3,540,506) | |
Chorus, Ltd. | (258,615) | (1,081,732) | |
Contact Energy, Ltd. | (534,300) | (2,427,039) | |
EBOS Group, Ltd. | (32,800) | (669,586) | |
Fisher & Paykel Healthcare Corp., Ltd. | (323,700) | (3,926,352) | |
Fletcher Building, Ltd. | (629,500) | (1,586,470) | |
Freightways Group, Ltd. | (51,108) | (221,950) | |
Goodman Property Trust | (630,200) | (738,113) | |
Infratil, Ltd. | (529,800) | (3,033,649) | |
Kiwi Property Group, Ltd. | (714,465) | (322,729) | |
Mainfreight, Ltd. | (56,400) | (1,882,530) | |
Mercury NZ, Ltd. | (469,259) | (1,614,223) | |
Meridian Energy, Ltd. | (854,400) | (2,406,298) | |
Precinct Properties New Zealand, Ltd. | (1,111,675) | (719,619) | |
Ryman Healthcare, Ltd. | (369,100) | (1,223,681) | |
SKYCITY Entertainment Group, Ltd. | (402,000) | (438,178) |
Security | Shares | Value | |
New Zealand (continued) | |||
Spark New Zealand, Ltd. | (1,322,400) | $ (3,839,084) | |
Summerset Group Holdings, Ltd. | (106,094) | (602,508) | |
Total Common Stocks (proceeds $37,921,506) | $ (32,155,431) | ||
Sovereign Government Bonds — (7.4)% |
Security | Principal Amount (000's omitted) | Value | |
Armenia — (0.2)% | |||
Republic of Armenia International Bond, 3.60%, 2/2/31(8) | USD | (8,028) | $ (5,936,963) |
$ (5,936,963) | |||
Azerbaijan — (0.6)% | |||
Republic of Azerbaijan: | |||
3.50%, 9/1/32(8) | USD | (13,828) | $ (10,838,110) |
5.125%, 9/1/29(8) | USD | (3,798) | (3,493,058) |
$ (14,331,168) | |||
Colombia — (3.1)% | |||
Republic of Colombia: | |||
5.00%, 6/15/45 | USD | (6,825) | $ (4,395,911) |
5.20%, 5/15/49 | USD | (95,747) | (61,586,330) |
5.625%, 2/26/44 | USD | (6,826) | (4,800,108) |
6.125%, 1/18/41 | USD | (6,824) | (5,240,603) |
$ (76,022,952) | |||
Ecuador — (0.7)% | |||
Republic of Ecuador: | |||
0.00%, 7/31/30(8) | USD | (40,300) | $ (12,168,280) |
6.00% to 7/31/24, 7/31/30(8)(19) | USD | (9,219) | (4,709,747) |
$ (16,878,027) | |||
Mexico — (1.4)% | |||
Mexican Udibonos: | |||
4.00%, 11/15/40(21) | MXN | (413,767) | $ (20,326,752) |
4.00%, 11/3/50(21) | MXN | (319,966) | (15,233,696) |
$ (35,560,448) | |||
Pakistan — (0.9)% | |||
Pakistan Government International Bond: | |||
6.00%, 4/8/26(8) | USD | (25,032) | $ (13,830,180) |
Security | Principal Amount (000's omitted) | Value | |
Pakistan (continued) | |||
Pakistan Government International Bond: (continued) | |||
6.875%, 12/5/27(8) | USD | (5,736) | $ (3,062,450) |
8.25%, 9/30/25(8) | USD | (6,441) | (4,618,023) |
$ (21,510,653) | |||
Poland — (0.5)% | |||
Republic of Poland: | |||
1.00%, 3/7/29(8) | EUR | (10,844) | $ (10,089,582) |
2.75%, 5/25/32(8) | EUR | (3,000) | (2,885,350) |
$ (12,974,932) | |||
Total Sovereign Government Bonds (proceeds $190,720,218) | $ (183,215,143) | ||
Total Securities Sold Short (proceeds $228,641,724) | $ (215,370,574) |
Other Assets, Less Liabilities — 9.1% | $ 225,942,282 | ||
Net Assets — 100.0% | $2,473,017,783 |
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 October 31, 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 October 31, 2023, the aggregate value of these securities is $171,087,821 or 6.9% of the Portfolio's net assets. |
(4) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(5) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at October 31, 2023. |
(6) | Amount is less than 0.05% or (0.05)%, as applicable. |
(7) | Non-income producing security. |
(8) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At October 31, 2023, the aggregate value of these securities is $688,396,151 or 27.8% of the Portfolio's net assets. |
(9) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 10). |
(10) | 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. |
(11) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(12) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(13) | 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. |
(14) | Quantity held represents principal in USD. |
(15) | 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. |
(16) | Restricted security (see Note 5). |
(17) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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. |
(18) | Fixed-rate loan. |
(19) | Step coupon security. Interest rate represents the rate in effect at October 31, 2023. |
(20) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(21) | 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. |
(22) | 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. |
(23) | 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. |
(24) | The stated interest rate represents the weighted average fixed interest rate at October 31, 2023 of all interest only securities comprising the certificate. |
(25) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
(26) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(27) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Currency Options (OTC) — 0.0%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 32,100,000 | CNH | 7.30 | 1/18/24 | $279,848 |
Call USD vs. Put CNH | Goldman Sachs International | USD | 56,300,000 | CNH | 7.30 | 1/18/24 | 490,823 |
Total | $770,671 |
(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 | 32,100,000 | CNH | 7.50 | 1/18/24 | $ (73,509) |
Call USD vs. Put CNH | Goldman Sachs International | USD | 56,300,000 | CNH | 7.50 | 1/18/24 | (128,927) |
Total | $(202,436) |
(1) | Amount is less than (0.05)%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
CLP | 5,458,471,000 | USD | 5,850,451 | 12/20/23 | $ 231,212 |
CLP | 3,834,034,000 | USD | 4,079,845 | 12/20/23 | 191,920 |
CLP | 3,635,045,000 | USD | 3,889,829 | 12/20/23 | 160,228 |
CLP | 1,876,537,774 | USD | 1,998,945 | 12/20/23 | 91,836 |
CLP | 2,045,697,000 | USD | 2,207,483 | 12/20/23 | 71,770 |
CLP | 1,827,357,000 | USD | 1,971,408 | 12/20/23 | 64,578 |
CLP | 1,573,613,000 | USD | 1,697,606 | 12/20/23 | 55,666 |
CLP | 725,023,570 | USD | 784,471 | 12/20/23 | 23,329 |
CLP | 100,000,000 | USD | 106,755 | 12/20/23 | 4,662 |
CLP | 1,494,947,000 | USD | 1,668,002 | 12/20/23 | (2,378) |
CLP | 1,494,947,000 | USD | 1,668,971 | 12/20/23 | (3,346) |
CLP | 2,989,892,000 | USD | 3,335,072 | 12/20/23 | (3,825) |
CLP | 1,494,947,000 | USD | 1,669,865 | 12/20/23 | (4,241) |
CLP | 1,494,946,000 | USD | 1,669,864 | 12/20/23 | (4,241) |
CLP | 1,494,947,000 | USD | 1,673,136 | 12/20/23 | (7,511) |
COP | 8,032,200,000 | USD | 1,941,280 | 12/20/23 | (10,549) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
COP | 62,262,000,000 | USD | 15,047,927 | 12/20/23 | $ (81,770) |
EUR | 2,140,000 | USD | 2,291,555 | 12/20/23 | (22,173) |
EUR | 3,087,961 | USD | 3,306,650 | 12/20/23 | (31,995) |
IDR | 64,596,619,897 | USD | 4,108,853 | 12/20/23 | (56,803) |
IDR | 382,346,349,516 | USD | 24,316,563 | 12/20/23 | (332,543) |
KRW | 48,288,000,000 | USD | 36,425,629 | 12/20/23 | (639,208) |
KRW | 58,668,200,000 | USD | 44,272,875 | 12/20/23 | (793,648) |
PEN | 55,562,000 | USD | 14,306,460 | 12/20/23 | 129,378 |
PEN | 8,686,000 | USD | 2,247,988 | 12/20/23 | 8,765 |
USD | 35,074,122 | CLP | 31,540,404,344 | 12/20/23 | (67,241) |
USD | 11,232,339 | COP | 46,474,700,000 | 12/20/23 | 61,036 |
USD | 965,240 | COP | 3,997,029,000 | 12/20/23 | 4,459 |
USD | 968,908 | COP | 4,035,171,000 | 12/20/23 | (1,042) |
USD | 89,088,248 | EUR | 83,196,287 | 12/20/23 | 862,026 |
USD | 79,490,096 | EUR | 74,232,920 | 12/20/23 | 769,153 |
USD | 58,382,187 | EUR | 54,521,009 | 12/20/23 | 564,911 |
USD | 57,911,176 | EUR | 54,081,149 | 12/20/23 | 560,354 |
USD | 46,123,336 | EUR | 43,072,912 | 12/20/23 | 446,293 |
USD | 40,418,379 | EUR | 37,745,260 | 12/20/23 | 391,092 |
USD | 39,888,339 | EUR | 37,250,275 | 12/20/23 | 385,963 |
USD | 32,895,635 | EUR | 30,720,042 | 12/20/23 | 318,301 |
USD | 29,925,326 | EUR | 27,946,178 | 12/20/23 | 289,560 |
USD | 20,991,321 | EUR | 19,603,034 | 12/20/23 | 203,114 |
USD | 16,055,839 | EUR | 14,993,967 | 12/20/23 | 155,358 |
USD | 15,543,621 | EUR | 14,515,624 | 12/20/23 | 150,401 |
USD | 6,892,395 | EUR | 6,436,558 | 12/20/23 | 66,691 |
USD | 6,558,754 | EUR | 6,124,983 | 12/20/23 | 63,463 |
USD | 747,363 | EUR | 697,936 | 12/20/23 | 7,232 |
USD | 373,186 | EUR | 348,505 | 12/20/23 | 3,611 |
USD | 4,906,667 | EUR | 4,649,490 | 12/20/23 | (23,925) |
USD | 7,942,577 | EUR | 7,526,276 | 12/20/23 | (38,728) |
USD | 22,172,649 | EUR | 21,010,496 | 12/20/23 | (108,113) |
USD | 24,930,933 | IDR | 383,525,000,000 | 12/20/23 | 872,977 |
USD | 16,078,583 | IDR | 247,015,275,227 | 12/20/23 | 583,681 |
USD | 12,461,723 | IDR | 191,761,000,000 | 12/20/23 | 432,840 |
USD | 12,461,044 | IDR | 191,763,000,000 | 12/20/23 | 432,034 |
USD | 12,032,946 | IDR | 189,202,424,764 | 12/20/23 | 164,557 |
USD | 649,137 | IDR | 9,986,000,000 | 12/20/23 | 22,730 |
USD | 418,612 | IDR | 6,431,135,711 | 12/20/23 | 15,196 |
USD | 324,474 | IDR | 4,993,000,000 | 12/20/23 | 11,270 |
USD | 324,453 | IDR | 4,993,000,000 | 12/20/23 | 11,249 |
USD | 5,723,180 | INR | 478,000,000 | 12/20/23 | (8,602) |
USD | 9,624,132 | INR | 804,000,000 | 12/20/23 | (16,773) |
USD | 14,411,826 | INR | 1,204,000,000 | 12/20/23 | (25,550) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 19,216,954 | INR | 1,605,000,000 | 12/20/23 | $ (28,884) |
USD | 24,733,629 | INR | 2,066,000,000 | 12/20/23 | (40,141) |
USD | 67,288,354 | PEN | 250,528,000 | 12/20/23 | 2,197,436 |
USD | 39,610,567 | PEN | 147,688,000 | 12/20/23 | 1,239,018 |
USD | 7,156,786 | PEN | 26,620,383 | 12/20/23 | 240,413 |
USD | 10,998,189 | PEN | 42,087,000 | 12/20/23 | 63,357 |
USD | 1,858,616 | PEN | 6,920,000 | 12/20/23 | 60,697 |
USD | 10,688,603 | PEN | 40,994,000 | 12/20/23 | 37,750 |
USD | 10,454,995 | PEN | 40,189,000 | 12/20/23 | 13,292 |
USD | 13,091,265 | PHP | 743,000,000 | 12/20/23 | 7,760 |
USD | 15,269,327 | PHP | 867,000,000 | 12/20/23 | 2,302 |
USD | 16,128,464 | PHP | 916,000,000 | 12/20/23 | (1,403) |
USD | 26,155,134 | PHP | 1,486,108,580 | 12/20/23 | (13,789) |
USD | 13,025,428 | PHP | 742,000,000 | 12/20/23 | (40,469) |
USD | 15,375,057 | PHP | 876,000,000 | 12/20/23 | (50,449) |
$10,285,581 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 20,819,015 | USD | 21,930,554 | Citibank, N.A. | 11/3/23 | $ 98,919 | $ — |
USD | 1,797,297 | EUR | 1,697,232 | Citibank, N.A. | 11/3/23 | 1,384 | — |
USD | 2,427,592 | EUR | 2,293,439 | Goldman Sachs International | 11/3/23 | 807 | — |
USD | 1,787,983 | EUR | 1,697,232 | Goldman Sachs International | 11/3/23 | — | (7,929) |
USD | 4,975,744 | EUR | 4,722,105 | Standard Chartered Bank | 11/3/23 | — | (20,913) |
USD | 3,591,873 | EUR | 3,382,000 | UBS AG | 11/3/23 | 13,237 | — |
USD | 2,314,107 | EUR | 2,184,212 | UBS AG | 11/3/23 | 2,901 | — |
USD | 1,793,558 | EUR | 1,694,181 | UBS AG | 11/3/23 | 874 | — |
USD | 5,550,960 | GBP | 4,573,374 | Citibank, N.A. | 11/3/23 | — | (7,774) |
OMR | 10,000,000 | USD | 25,940,545 | Standard Chartered Bank | 11/6/23 | 43,218 | — |
OMR | 5,300,000 | USD | 13,755,872 | Standard Chartered Bank | 11/6/23 | 15,523 | — |
OMR | 548,000 | USD | 1,423,488 | Standard Chartered Bank | 11/6/23 | 423 | — |
USD | 48,448,681 | OMR | 18,858,800 | Standard Chartered Bank | 11/6/23 | — | (553,580) |
ILS | 41,606,661 | USD | 11,248,914 | Bank of America, N.A. | 11/13/23 | — | (951,157) |
USD | 10,013,351 | ILS | 39,418,559 | Citibank, N.A. | 11/13/23 | 257,156 | — |
USD | 554,267 | ILS | 2,188,102 | HSBC Bank USA, N.A. | 11/13/23 | 12,706 | — |
USD | 27,114,500 | PEN | 103,928,000 | Standard Chartered Bank | 11/13/23 | 72,980 | — |
USD | 3,508,739 | PKR | 1,084,200,446 | Standard Chartered Bank | 11/22/23 | — | (342,498) |
ILS | 85,654,026 | USD | 22,659,795 | HSBC Bank USA, N.A. | 11/24/23 | — | (1,450,408) |
USD | 10,761,387 | ILS | 42,363,277 | Standard Chartered Bank | 11/24/23 | 271,522 | — |
USD | 10,965,513 | ILS | 43,290,749 | UBS AG | 11/24/23 | 245,990 | — |
USD | 2,187,898 | PKR | 687,000,000 | Deutsche Bank AG | 11/24/23 | — | (252,390) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 2,188,088 | PKR | 698,000,000 | JPMorgan Chase Bank, N.A. | 11/27/23 | $ — | $ (291,218) |
USD | 2,076,190 | PKR | 654,000,000 | Standard Chartered Bank | 11/27/23 | — | (246,827) |
USD | 2,028,993 | PKR | 650,799,554 | Standard Chartered Bank | 11/27/23 | — | (282,656) |
UZS | 23,620,880,922 | USD | 2,005,168 | ICBC Standard Bank plc | 11/27/23 | — | (78,952) |
ILS | 14,793,479 | USD | 3,934,949 | BNP Paribas | 11/28/23 | — | (271,217) |
ILS | 47,022,462 | USD | 12,365,432 | BNP Paribas | 11/28/23 | — | (719,918) |
ISK | 915,862,918 | EUR | 6,322,837 | JPMorgan Chase Bank, N.A. | 11/28/23 | — | (145,076) |
USD | 5,677,636 | ILS | 22,397,381 | Citibank, N.A. | 11/28/23 | 130,733 | — |
USD | 10,000,396 | ILS | 39,418,559 | JPMorgan Chase Bank, N.A. | 11/28/23 | 238,053 | — |
TRY | 168,067,954 | USD | 5,837,665 | Standard Chartered Bank | 12/8/23 | — | (70,053) |
USD | 3,379,089 | EUR | 3,191,000 | BNP Paribas | 12/8/23 | — | (2,433) |
USD | 3,376,981 | EUR | 3,191,000 | Citibank, N.A. | 12/8/23 | — | (4,541) |
USD | 10,502,000 | EUR | 9,927,000 | Citibank, N.A. | 12/8/23 | — | (17,701) |
USD | 7,503,508 | EUR | 7,091,000 | HSBC Bank USA, N.A. | 12/8/23 | — | (10,867) |
USD | 81,448 | EUR | 76,718 | UBS AG | 12/8/23 | 149 | — |
USD | 5,858,020 | TRY | 168,067,954 | Standard Chartered Bank | 12/8/23 | 90,408 | — |
UZS | 50,129,203,000 | USD | 4,010,336 | ICBC Standard Bank plc | 12/18/23 | — | (65,761) |
AUD | 41,000,000 | USD | 26,203,215 | BNP Paribas | 12/20/23 | — | (152,982) |
AUD | 41,000,000 | USD | 26,472,839 | Citibank, N.A. | 12/20/23 | — | (422,606) |
AUD | 60,000,000 | USD | 38,757,000 | Citibank, N.A. | 12/20/23 | — | (634,707) |
AUD | 36,275,670 | USD | 23,441,167 | Standard Chartered Bank | 12/20/23 | — | (392,639) |
CAD | 101,170,000 | USD | 74,000,252 | Standard Chartered Bank | 12/20/23 | — | (983,263) |
CZK | 45,388,806 | EUR | 1,843,179 | Goldman Sachs International | 12/20/23 | — | (1,894) |
CZK | 233,920,133 | EUR | 9,513,125 | Goldman Sachs International | 12/20/23 | — | (24,548) |
CZK | 45,388,807 | EUR | 1,845,019 | UBS AG | 12/20/23 | — | (3,847) |
CZK | 224,142,254 | EUR | 9,108,512 | UBS AG | 12/20/23 | — | (16,137) |
EUR | 3,129,348 | CZK | 77,525,248 | Bank of America, N.A. | 12/20/23 | — | (16,752) |
EUR | 1,230,999 | CZK | 30,487,194 | Citibank, N.A. | 12/20/23 | — | (6,199) |
EUR | 7,824,510 | CZK | 193,813,122 | Citibank, N.A. | 12/20/23 | — | (40,671) |
EUR | 6,839,840 | CZK | 169,489,187 | Standard Chartered Bank | 12/20/23 | — | (38,408) |
EUR | 3,130,396 | CZK | 77,525,249 | UBS AG | 12/20/23 | — | (15,641) |
EUR | 2,708,432 | PLN | 12,656,581 | BNP Paribas | 12/20/23 | — | (128,322) |
EUR | 665,125 | PLN | 3,107,765 | Goldman Sachs International | 12/20/23 | — | (31,422) |
EUR | 665,707 | PLN | 3,107,765 | UBS AG | 12/20/23 | — | (30,805) |
EUR | 2,660,018 | PLN | 12,431,060 | UBS AG | 12/20/23 | — | (126,200) |
HUF | 4,912,670,454 | EUR | 12,532,131 | BNP Paribas | 12/20/23 | 206,573 | — |
HUF | 4,496,853,170 | EUR | 11,504,434 | Goldman Sachs International | 12/20/23 | 154,045 | — |
HUF | 1,808,755,940 | EUR | 4,625,518 | Goldman Sachs International | 12/20/23 | 63,951 | — |
HUF | 1,229,481,162 | EUR | 3,135,051 | Goldman Sachs International | 12/20/23 | 53,111 | — |
HUF | 1,229,481,162 | EUR | 3,135,158 | HSBC Bank USA, N.A. | 12/20/23 | 52,998 | — |
HUF | 4,466,064,049 | EUR | 11,420,859 | Standard Chartered Bank | 12/20/23 | 158,087 | — |
HUF | 1,808,755,940 | EUR | 4,624,683 | Standard Chartered Bank | 12/20/23 | 64,837 | — |
HUF | 4,912,670,454 | EUR | 12,524,654 | UBS AG | 12/20/23 | 214,501 | — |
ILS | 49,568,741 | USD | 13,054,334 | BNP Paribas | 12/20/23 | — | (757,975) |
ISK | 915,863,000 | EUR | 6,335,960 | Bank of America, N.A. | 12/20/23 | — | (181,159) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
ISK | 1,320,871,536 | EUR | 8,983,687 | JPMorgan Chase Bank, N.A. | 12/20/23 | $ — | $ (97,821) |
ISK | 822,444,819 | EUR | 5,670,078 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (141,882) |
ISK | 3,464,132,800 | EUR | 23,547,908 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (242,959) |
JPY | 4,546,457,667 | USD | 31,598,371 | Citibank, N.A. | 12/20/23 | — | (1,365,456) |
JPY | 1,528,000,000 | USD | 10,611,384 | UBS AG | 12/20/23 | — | (450,529) |
MXN | 357,493,935 | USD | 20,307,412 | BNP Paribas | 12/20/23 | — | (631,717) |
MXN | 55,936,000 | USD | 3,223,977 | Citibank, N.A. | 12/20/23 | — | (145,380) |
MXN | 123,269,000 | USD | 6,761,262 | Goldman Sachs International | 12/20/23 | 23,198 | — |
MXN | 167,989,000 | USD | 9,226,190 | Goldman Sachs International | 12/20/23 | 19,562 | — |
MXN | 123,269,000 | USD | 6,778,988 | Goldman Sachs International | 12/20/23 | 5,472 | — |
MXN | 123,269,000 | USD | 6,779,567 | Goldman Sachs International | 12/20/23 | 4,893 | — |
MXN | 47,638,185 | USD | 2,739,840 | Goldman Sachs International | 12/20/23 | — | (117,937) |
MXN | 79,159,680 | USD | 4,556,580 | JPMorgan Chase Bank, N.A. | 12/20/23 | — | (199,802) |
MXN | 369,804,000 | USD | 20,300,987 | Standard Chartered Bank | 12/20/23 | 52,227 | — |
MXN | 65,335,000 | USD | 3,767,335 | Standard Chartered Bank | 12/20/23 | — | (171,437) |
NZD | 4,250,000 | USD | 2,516,417 | Citibank, N.A. | 12/20/23 | — | (39,974) |
NZD | 4,262,617 | USD | 2,523,887 | Citibank, N.A. | 12/20/23 | — | (40,093) |
NZD | 6,250,000 | USD | 3,700,613 | Citibank, N.A. | 12/20/23 | — | (58,786) |
NZD | 35,303,077 | USD | 20,902,881 | Citibank, N.A. | 12/20/23 | — | (332,052) |
NZD | 3,146,034 | USD | 1,859,533 | UBS AG | 12/20/23 | — | (26,363) |
NZD | 22,034,089 | USD | 13,016,440 | UBS AG | 12/20/23 | — | (177,347) |
THB | 111,924 | USD | 3,156 | Standard Chartered Bank | 12/20/23 | — | (29) |
THB | 101,000 | USD | 2,876 | Standard Chartered Bank | 12/20/23 | — | (54) |
THB | 1,000,000 | USD | 28,710 | Standard Chartered Bank | 12/20/23 | — | (769) |
USD | 16,710,568 | CNH | 122,000,000 | Citibank, N.A. | 12/20/23 | 38,333 | — |
USD | 15,240,558 | CNH | 111,000,000 | Goldman Sachs International | 12/20/23 | 71,557 | — |
USD | 21,008,752 | CNH | 153,422,000 | Goldman Sachs International | 12/20/23 | 42,460 | — |
USD | 96,979,768 | CNH | 706,205,700 | JPMorgan Chase Bank, N.A. | 12/20/23 | 471,346 | — |
USD | 10,353,034 | ILS | 40,406,752 | BNP Paribas | 12/20/23 | 329,461 | — |
USD | 2,326,062 | ILS | 9,161,989 | HSBC Bank USA, N.A. | 12/20/23 | 53,276 | — |
USD | 6,785,970 | JPY | 1,016,876,598 | HSBC Bank USA, N.A. | 12/20/23 | 23,970 | — |
USD | 6,501,224 | JPY | 974,123,402 | HSBC Bank USA, N.A. | 12/20/23 | 23,524 | — |
USD | 4,703,285 | MXN | 85,280,000 | State Street Bank and Trust Company | 12/20/23 | 9,658 | — |
USD | 4,545,817 | MXN | 82,556,000 | State Street Bank and Trust Company | 12/20/23 | 2,113 | — |
USD | 4,520,414 | MXN | 82,518,200 | State Street Bank and Trust Company | 12/20/23 | — | (21,210) |
USD | 2,320,623 | MXN | 42,663,000 | State Street Bank and Trust Company | 12/20/23 | — | (27,457) |
USD | 34,053,096 | MXN | 605,562,800 | UBS AG | 12/20/23 | 724,226 | — |
USD | 74,012,250 | NZD | 125,000,000 | Citibank, N.A. | 12/20/23 | 1,175,720 | — |
USD | 48,114,151 | NZD | 81,522,464 | UBS AG | 12/20/23 | 611,644 | — |
USD | 237,637 | THB | 8,277,000 | Standard Chartered Bank | 12/20/23 | 6,362 | — |
USD | 6,276,210 | UYU | 244,636,000 | Citibank, N.A. | 12/20/23 | 192,486 | — |
USD | 3,128,912 | UYU | 122,184,000 | Citibank, N.A. | 12/20/23 | 90,382 | — |
USD | 2,210,232 | ZAR | 42,182,883 | Goldman Sachs International | 12/20/23 | — | (43,687) |
USD | 2,297,123 | ZAR | 43,940,503 | Goldman Sachs International | 12/20/23 | — | (50,709) |
USD | 7,627,028 | ZAR | 146,008,014 | Goldman Sachs International | 12/20/23 | — | (174,482) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 2,209,687 | ZAR | 42,182,883 | HSBC Bank USA, N.A. | 12/20/23 | $ — | $ (44,232) |
USD | 2,295,534 | ZAR | 43,940,503 | HSBC Bank USA, N.A. | 12/20/23 | — | (52,298) |
USD | 6,189,161 | ZAR | 118,118,287 | HSBC Bank USA, N.A. | 12/20/23 | — | (122,143) |
USD | 7,624,041 | ZAR | 146,008,013 | HSBC Bank USA, N.A. | 12/20/23 | — | (177,469) |
USD | 6,154,293 | ZAR | 117,383,914 | UBS AG | 12/20/23 | — | (117,772) |
USD | 400,317 | ZMW | 8,386,651 | JPMorgan Chase Bank, N.A. | 12/20/23 | 22,097 | — |
ZAR | 22,838,464 | USD | 1,193,014 | Goldman Sachs International | 12/20/23 | 27,292 | — |
ZAR | 18,687,785 | USD | 973,510 | Goldman Sachs International | 12/20/23 | 25,017 | — |
ZAR | 6,837,864 | USD | 357,470 | Goldman Sachs International | 12/20/23 | 7,891 | — |
ZAR | 4,669,292 | USD | 243,394 | Goldman Sachs International | 12/20/23 | 6,096 | — |
ZAR | 5,880,563 | USD | 308,120 | Goldman Sachs International | 12/20/23 | 6,090 | — |
ZAR | 22,838,464 | USD | 1,192,547 | HSBC Bank USA, N.A. | 12/20/23 | 27,760 | — |
ZAR | 16,323,971 | USD | 855,343 | HSBC Bank USA, N.A. | 12/20/23 | 16,880 | — |
ZAR | 6,837,864 | USD | 357,223 | HSBC Bank USA, N.A. | 12/20/23 | 8,138 | — |
ZAR | 5,880,563 | USD | 308,044 | HSBC Bank USA, N.A. | 12/20/23 | 6,166 | — |
ZAR | 4,669,292 | USD | 243,388 | HSBC Bank USA, N.A. | 12/20/23 | 6,102 | — |
ZAR | 18,431,418 | USD | 961,221 | JPMorgan Chase Bank, N.A. | 12/20/23 | 23,608 | — |
ZAR | 16,410,872 | USD | 860,402 | UBS AG | 12/20/23 | 16,465 | — |
USD | 7,559,974 | KES | 1,171,795,907 | Standard Chartered Bank | 12/21/23 | 21,561 | — |
USD | 3,418,240 | KES | 553,759,398 | Standard Chartered Bank | 12/21/23 | — | (144,211) |
UZS | 48,492,293,000 | USD | 3,868,551 | ICBC Standard Bank plc | 12/21/23 | 28,106 | — |
UZS | 24,149,433,000 | USD | 1,934,276 | ICBC Standard Bank plc | 12/21/23 | 6,282 | — |
USD | 54,685,356 | BRL | 269,000,000 | BNP Paribas | 1/3/24 | 1,699,223 | — |
USD | 58,149,482 | BRL | 292,300,000 | BNP Paribas | 1/3/24 | 573,844 | — |
UZS | 44,918,382,000 | USD | 3,579,154 | JPMorgan Chase Bank, N.A. | 1/10/24 | — | (35,531) |
HUF | 792,286,108 | EUR | 1,943,833 | BNP Paribas | 1/11/24 | 107,117 | — |
HUF | 2,415,135,335 | EUR | 6,008,397 | UBS AG | 1/11/24 | 238,418 | — |
HUF | 717,173,477 | EUR | 1,768,992 | UBS AG | 1/11/24 | 86,935 | — |
EGP | 2,209,540 | USD | 64,989 | Standard Chartered Bank | 1/22/24 | — | (2,172) |
USD | 61,359 | EGP | 2,209,540 | Goldman Sachs International | 1/22/24 | — | (1,458) |
UZS | 46,590,925,423 | USD | 3,691,832 | ICBC Standard Bank plc | 1/22/24 | 54,748 | — |
UZS | 24,410,559,000 | USD | 1,934,276 | ICBC Standard Bank plc | 1/22/24 | 28,684 | — |
HUF | 3,860,572,749 | EUR | 9,045,391 | Barclays Bank PLC | 1/30/24 | 938,268 | — |
USD | 2,149,500 | PKR | 644,850,000 | Citibank, N.A. | 1/31/24 | — | (131,723) |
USD | 2,609,768 | PKR | 788,150,000 | JPMorgan Chase Bank, N.A. | 1/31/24 | — | (178,394) |
USD | 3,735,505 | PKR | 1,146,800,000 | JPMorgan Chase Bank, N.A. | 2/2/24 | — | (320,447) |
USD | 1,611,765 | PKR | 493,200,000 | Standard Chartered Bank | 2/2/24 | — | (132,563) |
USD | 12,218,558 | UGX | 48,141,120,629 | Deutsche Bank AG | 2/6/24 | — | (332,274) |
USD | 28,368,794 | OMR | 11,000,000 | Standard Chartered Bank | 2/22/24 | — | (194,803) |
USD | 3,536,774 | KZT | 1,736,556,000 | ICBC Standard Bank plc | 3/14/24 | — | (24,614) |
USD | 7,073,547 | KZT | 3,474,880,000 | ICBC Standard Bank plc | 3/14/24 | — | (52,855) |
USD | 26,205,980 | SAR | 98,600,000 | Standard Chartered Bank | 3/14/24 | — | (53,951) |
USD | 12,408,845 | BHD | 4,730,872 | Standard Chartered Bank | 3/18/24 | — | (114,641) |
USD | 17,098,499 | BHD | 6,518,000 | Standard Chartered Bank | 3/18/24 | — | (155,842) |
TRY | 268,396,676 | USD | 8,595,639 | Standard Chartered Bank | 3/20/24 | — | (219,286) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 8,327,475 | TRY | 268,396,676 | Standard Chartered Bank | 3/20/24 | $ — | $ (48,878) |
USD | 3,671,357 | EGP | 146,120,000 | HSBC Bank USA, N.A. | 3/25/24 | — | (49,444) |
USD | 10,353,220 | EGP | 397,356,601 | Citibank, N.A. | 6/13/24 | 1,012,970 | — |
USD | 4,951,483 | KZT | 2,500,499,000 | ICBC Standard Bank plc | 6/18/24 | — | (42,109) |
NGN | 495,390,017 | USD | 582,812 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (111,412) |
NGN | 2,601,891,623 | USD | 3,153,808 | Societe Generale | 6/21/24 | — | (678,683) |
TRY | 131,342,227 | USD | 3,885,896 | Standard Chartered Bank | 6/21/24 | — | (142,600) |
USD | 3,740,848 | TRY | 131,342,227 | Standard Chartered Bank | 6/21/24 | — | (2,448) |
NGN | 1,352,433,739 | USD | 1,591,111 | Standard Chartered Bank | 6/24/24 | — | (305,763) |
KZT | 1,957,500,000 | USD | 3,828,851 | Societe Generale | 6/25/24 | 73,722 | — |
USD | 4,244,131 | KZT | 2,175,117,000 | ICBC Standard Bank plc | 6/25/24 | — | (92,295) |
NGN | 1,393,006,751 | USD | 1,591,111 | Standard Chartered Bank | 6/26/24 | — | (268,021) |
NGN | 1,313,023,184 | USD | 1,475,319 | Standard Chartered Bank | 7/3/24 | — | (230,889) |
NGN | 1,414,379,737 | USD | 1,571,533 | Societe Generale | 7/8/24 | — | (233,105) |
USD | 9,048,690 | SAR | 34,000,000 | Standard Chartered Bank | 7/15/24 | — | (317) |
USD | 26,650,006 | OMR | 10,530,750 | Standard Chartered Bank | 8/29/24 | — | (647,340) |
USD | 874,322 | AMD | 348,679,825 | Citibank, N.A. | 9/6/24 | 54,463 | — |
USD | 52,039 | EGP | 2,209,540 | Standard Chartered Bank | 9/11/24 | 3,040 | — |
KZT | 3,688,854,849 | USD | 7,073,547 | Citibank, N.A. | 9/16/24 | 143,425 | — |
KZT | 2,362,387,916 | USD | 4,527,816 | Citibank, N.A. | 9/16/24 | 94,022 | — |
KZT | 1,846,195,811 | USD | 3,536,774 | Citibank, N.A. | 9/16/24 | 75,172 | — |
KZT | 1,844,427,424 | USD | 3,536,774 | Citibank, N.A. | 9/16/24 | 71,713 | — |
USD | 1,213,868 | AMD | 493,134,000 | Citibank, N.A. | 9/16/24 | 56,137 | — |
USD | 7,073,549 | KZT | 3,589,826,000 | Citibank, N.A. | 9/16/24 | 50,319 | — |
USD | 3,536,773 | KZT | 1,808,175,000 | Citibank, N.A. | 9/16/24 | — | (788) |
USD | 8,488,256 | KZT | 4,343,865,000 | Citibank, N.A. | 9/16/24 | — | (10,195) |
USD | 12,532,608 | EGP | 506,944,000 | Citibank, N.A. | 9/17/24 | 1,323,953 | — |
USD | 3,536,775 | KZT | 1,835,586,000 | Citibank, N.A. | 9/19/24 | — | (52,108) |
TRY | 651,103,833 | USD | 17,777,187 | Standard Chartered Bank | 9/20/24 | — | (792,200) |
USD | 16,999,396 | TRY | 651,103,833 | Standard Chartered Bank | 9/20/24 | 14,409 | — |
TRY | 176,998,064 | USD | 4,766,379 | Standard Chartered Bank | 9/23/24 | — | (162,439) |
USD | 4,616,140 | TRY | 176,998,064 | Standard Chartered Bank | 9/23/24 | 12,200 | — |
USD | 3,603,639 | KZT | 1,877,496,000 | Bank of America, N.A. | 9/30/24 | — | (58,563) |
USD | 7,657,092 | BHD | 2,927,000 | Standard Chartered Bank | 6/13/25 | — | (41,867) |
USD | 35,111,769 | BHD | 13,422,878 | Standard Chartered Bank | 6/18/25 | — | (191,852) |
USD | 11,380,379 | SAR | 42,945,000 | Standard Chartered Bank | 6/18/25 | — | (25,896) |
$13,405,289 | $(21,155,869) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Commodity Futures | |||||
Brent Crude Oil | 285 | Long | 11/30/23 | $ 24,230,700 | $ (729,379) |
Equity Futures | |||||
Hang Seng Index | 46 | Long | 11/29/23 | 5,043,516 | 30,998 |
Nikkei 225 Index | 126 | Long | 12/7/23 | 19,766,250 | (784,353) |
Euro Stoxx 50 Index | (971) | Short | 12/15/23 | (41,926,911) | 1,815,279 |
IFSC Nifty 50 Index | (733) | Short | 11/30/23 | (28,092,959) | 291,324 |
SPI 200 Index | (113) | Short | 12/21/23 | (12,205,367) | 847,840 |
Interest Rate Futures | |||||
Long Gilt | 550 | Long | 12/27/23 | 62,277,193 | (1,003,504) |
U.S. Ultra-Long Treasury Bond | 338 | Long | 12/19/23 | 38,046,125 | (4,310,614) |
Euro-Bobl | (818) | Short | 12/7/23 | (100,652,023) | 565,947 |
Euro-Bund | (764) | Short | 12/7/23 | (104,274,048) | 1,623,860 |
Euro-Buxl | (124) | Short | 12/7/23 | (15,799,638) | 1,245,623 |
Japan 10-Year Bond | (131) | Short | 12/13/23 | (124,237,176) | 1,900,224 |
U.S. 5-Year Treasury Note | (1,094) | Short | 12/29/23 | (114,297,360) | 575,335 |
U.S. 10-Year Treasury Note | (303) | Short | 12/19/23 | (32,170,078) | 857,025 |
U.S. Long Treasury Bond | (217) | Short | 12/19/23 | (23,747,937) | 1,976,856 |
$ 4,902,461 |
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 | $ 1,511,373 |
EUR | 10,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 1,498,918 |
EUR | 10,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 1,498,917 |
EUR | 11,410 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 1,660,677 |
EUR | 10,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,759,213) |
EUR | 10,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,762,781) |
EUR | 11,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,775,352) |
Inflation Swaps (Centrally Cleared) (continued) | |||||||
Notional Amount (000's omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
EUR | 11,410 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | $ (2,031,525) |
EUR | 4,350 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.10% (pays upon termination) | 3/12/50 | (1,919,287) |
EUR | 7,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | (129,362) |
EUR | 26,300 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.72% (pays upon termination) | 6/15/53 | 346,025 |
USD | 75,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.48% (pays upon termination) | 3/16/28 | 811,772 |
USD | 50,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.49% (pays upon termination) | 3/16/28 | 521,927 |
USD | 64,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.48% (pays upon termination) | 3/20/28 | 676,237 |
USD | 65,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.41% (pays upon termination) | 6/5/28 | 778,235 |
USD | 26,500 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.60% (pays upon termination) | 7/31/28 | 71,792 |
USD | 13,750 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.58% (pays upon termination) | 8/25/28 | 40,214 |
USD | 9,489 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.44% (pays upon termination) | 1/13/33 | 191,917 |
USD | 4,900 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.60% (pays upon termination) | 4/3/33 | 46,710 |
USD | 10,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.61% (pays upon termination) | 4/3/33 | 86,240 |
USD | 51,550 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (2,293,254) |
USD | 18,160 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (821,182) |
USD | 34,300 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 1,916,016 |
USD | 17,300 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 960,533 |
USD | 18,140 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 1,135,674 |
USD | 5,824 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.42% (pays upon termination) | 6/8/48 | 618,930 |
USD | 10,710 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | 630,661 |
$ 2,510,812 |
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 | 1,551,900 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.29% (pays upon termination) | 7/1/24 | $ (938,974) | $ — | $ (938,974) |
BRL | 261,625 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.40% (pays upon termination) | 1/2/25 | (550,197) | — | (550,197) |
BRL | 261,625 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.50% (pays upon termination) | 1/2/25 | (488,280) | — | (488,280) |
BRL | 255,919 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (471,961) | — | (471,961) |
BRL | 267,331 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (491,400) | — | (491,400) |
BRL | 1,158,100 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.96% (pays upon termination) | 1/2/25 | (661,105) | — | (661,105) |
CLP | 40,832,380 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.77% (pays semi-annually) | 6/6/33 | 1,689,603 | 12,797 | 1,702,400 |
CLP | 13,713,620 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.65% (pays semi-annually) | 6/14/33 | 633,292 | — | 633,292 |
CLP | 11,010,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.00% (pays semi-annually) | 6/22/33 | 1,183,010 | — | 1,183,010 |
CLP | 12,557,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.20% (pays semi-annually) | 6/22/33 | 1,125,128 | — | 1,125,128 |
CNY | 170,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.41% (pays quarterly) | 12/20/28 | (2,987) | — | (2,987) |
CNY | 225,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.41% (pays quarterly) | 12/20/28 | (3,954) | — | (3,954) |
CNY | 108,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.42% (pays quarterly) | 12/20/28 | 365 | — | 365 |
CNY | 225,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.42% (pays quarterly) | 12/20/28 | 4,799 | — | 4,799 |
CNY | 108,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.43% (pays quarterly) | 12/20/28 | 10,707 | — | 10,707 |
CNY | 333,800 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.43% (pays quarterly) | 12/20/28 | 34,091 | — | 34,091 |
CNY | 61,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 7,143 | — | 7,143 |
CNY | 48,700 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 6,577 | — | 6,577 |
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) | |
CNY | 148,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | $ 21,759 | $ — | $ 21,759 |
CNY | 111,100 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.44% (pays quarterly) | 12/20/28 | 16,999 | — | 16,999 |
CNY | 40,500 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.45% (pays quarterly) | 12/20/28 | 7,409 | — | 7,409 |
CNY | 101,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.46% (pays quarterly) | 12/20/28 | 26,939 | — | 26,939 |
CNY | 101,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 29,961 | — | 29,961 |
CNY | 121,500 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 39,679 | — | 39,679 |
CNY | 83,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/20/28 | 27,602 | — | 27,602 |
COP | 86,746,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.84% (pays quarterly) | 5/5/25 | 2,329,911 | — | 2,329,911 |
COP | 40,662,300 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.19% (pays quarterly) | 6/4/25 | (1,154,544) | — | (1,154,544) |
COP | 61,940,900 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.26% (pays quarterly) | 6/5/25 | (1,745,078) | — | (1,745,078) |
COP | 85,106,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.34% (pays quarterly) | 6/8/25 | (2,362,469) | — | (2,362,469) |
COP | 41,729,700 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.44% (pays quarterly) | 6/9/25 | (1,135,328) | — | (1,135,328) |
COP | 14,659,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.89% (pays quarterly) | 11/26/25 | 436,513 | — | 436,513 |
COP | 6,351,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.02% (pays quarterly) | 11/26/25 | 185,242 | — | 185,242 |
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.07% (pays quarterly) | 11/26/25 | 847,339 | — | 847,339 |
COP | 20,326,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.11% (pays quarterly) | 11/26/25 | 583,963 | — | 583,963 |
COP | 6,192,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.21% (pays quarterly) | 11/26/25 | 174,880 | — | 174,880 |
COP | 15,771,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 434,758 | — | 434,758 |
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 | 27,035,200 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | $ (569,412) | $ — | $ (569,412) |
COP | 35,344,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.06% (pays quarterly) | 11/26/25 | 583,240 | — | 583,240 |
COP | 76,566,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.25% (pays quarterly) | 11/26/25 | 1,198,800 | — | 1,198,800 |
COP | 7,565,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.17% (pays quarterly) | 11/26/25 | (6,025) | (88) | (6,113) |
COP | 14,525,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.28% (pays quarterly) | 11/26/25 | (19,346) | — | (19,346) |
CZK | 569,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.18% (pays annually) | 9/20/28 | (384,716) | — | (384,716) |
CZK | 155,489 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | (327,647) | — | (327,647) |
CZK | 310,979 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (639,834) | — | (639,834) |
CZK | 467,532 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | (949,818) | — | (949,818) |
CZK | 225,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.31% (pays annually) | 12/20/33 | (114,840) | — | (114,840) |
EUR | 2,800 | Receives | 1-day Euro Short-Term Rate (pays annually) | 2.60% (pays annually) | 1/24/28 | 62,271 | (50) | 62,221 |
EUR | 5,444 | Pays | 6-month EURIBOR (pays semi-annually) | 3.03% (pays annually) | 10/10/29 | (76,893) | — | (76,893) |
EUR | 1,800 | Pays | 6-month EURIBOR (pays semi-annually) | 3.17% (pays annually) | 10/17/29 | (10,301) | — | (10,301) |
EUR | 2,719 | Pays | 6-month EURIBOR (pays semi-annually) | 3.01% (pays annually) | 10/27/29 | (39,770) | — | (39,770) |
EUR | 600 | Pays | 6-month EURIBOR (pays semi-annually) | 3.26% (pays annually) | 10/17/32 | (3,465) | — | (3,465) |
EUR | 1,200 | Pays | 6-month EURIBOR (pays semi-annually) | 3.31% (pays annually) | 10/18/32 | (1,334) | — | (1,334) |
EUR | 1,200 | Pays | 6-month EURIBOR (pays semi-annually) | 3.20% (pays annually) | 10/19/32 | (12,091) | — | (12,091) |
EUR | 6,500 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.83% (pays annually) | 3/17/52 | 3,044,613 | (1,497) | 3,043,116 |
EUR | 8,950 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.86% (pays annually) | 3/18/52 | 4,133,615 | 643 | 4,134,258 |
EUR | 3,019 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.87% (pays annually) | 3/18/52 | 1,386,035 | (106) | 1,385,929 |
EUR | 1,770 | Receives | 1-day Euro Short-Term Rate (pays annually) | 1.29% (pays annually) | 4/20/52 | 659,574 | 33 | 659,607 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
GBP | 15,312 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.56% (pays annually) | 10/2/28 | $ 26,027 | $ — | $ 26,027 |
GBP | 30,192 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.39% (pays annually) | 12/20/28 | (129,889) | — | (129,889) |
GBP | 15,096 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.59% (pays annually) | 12/20/28 | 92,102 | — | 92,102 |
HUF | 607,981 | Pays | 6-month HUF BUBOR (pays semi-annually) | 7.95% (pays annually) | 4/25/33 | 116,211 | — | 116,211 |
HUF | 3,776,964 | Pays | 6-month HUF BUBOR (pays semi-annually) | 7.90% (pays annually) | 4/27/33 | 676,565 | — | 676,565 |
HUF | 5,920,391 | Pays | 6-month HUF BUBOR (pays semi-annually) | 8.08% (pays annually) | 5/25/33 | (1,727) | — | (1,727) |
HUF | 1,888,482 | Pays | 6-month HUF BUBOR (pays semi-annually) | 7.88% (pays annually) | 6/5/33 | (54,712) | — | (54,712) |
INR | 3,402,510 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/25 | 56,515 | — | 56,515 |
INR | 2,103,490 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/25 | 36,088 | — | 36,088 |
INR | 7,020,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 154,162 | — | 154,162 |
INR | 9,992,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 222,705 | — | 222,705 |
JPY | 6,104,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.31% (pays annually) | 12/1/27 | 266,170 | — | 266,170 |
JPY | 559,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.32% (pays annually) | 12/1/27 | 23,226 | — | 23,226 |
JPY | 5,588,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.32% (pays annually) | 12/1/27 | 231,773 | — | 231,773 |
JPY | 3,184,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.41% (pays annually) | 9/20/28 | 234,558 | — | 234,558 |
JPY | 45,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 8,702 | — | 8,702 |
JPY | 57,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 10,986 | — | 10,986 |
JPY | 36,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.81% (pays annually) | 9/20/33 | 6,822 | — | 6,822 |
JPY | 6,992,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.82% (pays annually) | 9/20/33 | 1,269,857 | — | 1,269,857 |
JPY | 2,841,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.86% (pays annually) | 9/20/33 | 432,689 | — | 432,689 |
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 | 2,031,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.07% (pays annually) | 12/20/33 | $ 107,781 | $ — | $ 107,781 |
JPY | 537,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | 356,413 | — | 356,413 |
JPY | 478,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | 314,289 | — | 314,289 |
JPY | 510,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | 330,768 | — | 330,768 |
JPY | 1,218,600 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | 787,426 | — | 787,426 |
JPY | 1,128,100 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | 718,156 | — | 718,156 |
JPY | 1,123,900 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | 711,003 | — | 711,003 |
JPY | 480,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.33% (pays annually) | 9/20/53 | 306,390 | — | 306,390 |
KRW | 12,965,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.57% (pays quarterly) | 6/21/28 | (214,472) | — | (214,472) |
KRW | 12,965,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.60% (pays quarterly) | 6/21/28 | (199,719) | — | (199,719) |
KRW | 13,412,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.61% (pays quarterly) | 6/21/28 | (204,425) | — | (204,425) |
KRW | 20,704,100 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.65% (pays quarterly) | 7/19/31 | (2,540,547) | — | (2,540,547) |
KRW | 4,747,173 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.23% (pays quarterly) | 6/21/33 | (258,423) | — | (258,423) |
KRW | 28,753,581 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 6/21/33 | (1,431,144) | — | (1,431,144) |
KRW | 5,306,360 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 6/21/33 | (257,924) | — | (257,924) |
KRW | 5,345,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.35% (pays quarterly) | 6/21/33 | (251,273) | — | (251,273) |
KRW | 14,189,521 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.41% (pays quarterly) | 6/21/33 | (616,550) | — | (616,550) |
KRW | 4,881,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.29% (pays quarterly) | 9/20/33 | (253,886) | — | (253,886) |
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 | 3,543,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | $ (180,957) | $ — | $ (180,957) |
KRW | 887,765 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (45,064) | — | (45,064) |
KRW | 4,723,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 9/20/33 | (233,228) | — | (233,228) |
KRW | 4,723,600 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.34% (pays quarterly) | 9/20/33 | (230,888) | — | (230,888) |
KRW | 7,533,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 9/20/33 | (338,687) | — | (338,687) |
KRW | 7,690,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.52% (pays quarterly) | 9/20/33 | (290,288) | — | (290,288) |
KRW | 15,536,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (549,930) | — | (549,930) |
KRW | 7,156,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (252,853) | — | (252,853) |
KRW | 6,120,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | (214,712) | — | (214,712) |
KRW | 7,250,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.59% (pays quarterly) | 9/20/33 | (240,717) | — | (240,717) |
KRW | 10,491,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.02% (pays quarterly) | 12/20/33 | (76,516) | — | (76,516) |
KRW | 20,755,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.03% (pays quarterly) | 12/20/33 | (136,025) | — | (136,025) |
MXN | 2,783,830 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 11.33% (pays monthly) | 10/7/24 | (156,143) | — | (156,143) |
MXN | 5,211,360 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 11.24% (pays monthly) | 10/9/24 | (518,769) | — | (518,769) |
MXN | 1,987,810 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 11.25% (pays monthly) | 10/10/24 | (191,635) | — | (191,635) |
PLN | 54,770 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/14/26 | 794,504 | — | 794,504 |
PLN | 163,380 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/15/26 | 2,373,341 | — | 2,373,341 |
PLN | 85,600 | Receives | 6-month PLN WIBOR (pays semi-annually) | 3.39% (pays annually) | 12/15/26 | 713,344 | — | 713,344 |
PLN | 48,710 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.56% (pays annually) | 12/21/27 | (621,779) | — | (621,779) |
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 | 55,790 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.02% (pays annually) | 12/21/27 | $ (991,839) | $ — | $ (991,839) |
USD | 1,000 | Receives | SOFR (pays annually) | 1.21% (pays annually) | 11/29/26 | 132,441 | — | 132,441 |
USD | 5,458 | Pays | SOFR (pays annually) | 1.60% (pays semi-annually) | 3/10/27 | (678,916) | (3,727) | (682,643) |
USD | 10,942 | Receives | SOFR (pays annually) | 1.60% (pays semi-annually) | 3/10/27 | 1,361,046 | 7,923 | 1,368,969 |
USD | 75,000 | Pays | SOFR (pays annually) | 3.55% (pays semi-annually) | 3/16/28 | (4,942,511) | — | (4,942,511) |
USD | 50,000 | Pays | SOFR (pays annually) | 3.57% (pays semi-annually) | 3/16/28 | (3,331,752) | — | (3,331,752) |
USD | 64,000 | Pays | SOFR (pays annually) | 3.56% (pays annually) | 3/20/28 | (3,183,788) | — | (3,183,788) |
USD | 65,000 | Pays | SOFR (pays annually) | 3.49% (pays annually) | 6/5/28 | (3,337,558) | — | (3,337,558) |
USD | 26,500 | Pays | SOFR (pays annually) | 3.95% (pays annually) | 7/31/28 | (777,551) | — | (777,551) |
USD | 55,000 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (1,456,123) | — | (1,456,123) |
USD | 55,000 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | (1,453,660) | — | (1,453,660) |
USD | 13,625 | Pays | SOFR (pays annually) | 4.18% (pays annually) | 8/23/28 | (250,917) | (409) | (251,326) |
USD | 11,800 | Pays | SOFR (pays annually) | 4.05% (pays annually) | 9/20/28 | (272,286) | — | (272,286) |
USD | 11,800 | Pays | SOFR (pays annually) | 4.06% (pays annually) | 9/20/28 | (270,975) | — | (270,975) |
USD | 6,917 | Receives | SOFR (pays annually) | 1.94% (pays annually) | 3/17/32 | 1,379,609 | 333 | 1,379,942 |
USD | 10,205 | Pays | SOFR (pays annually) | 3.23% (pays semi-annually) | 1/13/33 | (1,277,975) | — | (1,277,975) |
USD | 4,900 | Pays | SOFR (pays annually) | 3.27% (pays annually) | 4/3/33 | (529,459) | — | (529,459) |
USD | 10,000 | Pays | SOFR (pays annually) | 3.28% (pays annually) | 4/3/33 | (1,071,527) | — | (1,071,527) |
USD | 32,400 | Pays | SOFR (pays annually) | 3.76% (pays annually) | 9/20/33 | (901,857) | — | (901,857) |
ZAR | 161,638 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.67% (pays quarterly) | 1/19/28 | (246,670) | 73 | (246,597) |
ZAR | 649,365 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.71% (pays quarterly) | 1/19/28 | (935,096) | 332 | (934,764) |
ZAR | 642,466 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.39% (pays quarterly) | 2/24/28 | (131,497) | 772 | (130,725) |
ZAR | 603,659 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.39% (pays quarterly) | 2/24/28 | (117,429) | 730 | (116,699) |
Total | $(14,836,551) | $17,759 | $ (14,818,792) |
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 | $ 86,100 | 1.00% (pays quarterly)(1) | 2.20% | 12/20/28 | $ (4,435,277) | $ 4,818,505 | $ 383,228 |
Total | $86,100 | $(4,435,277) | $4,818,505 | $383,228 |
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) | 12/20/28 | $ (711,940) | $ 689,166 | $ (22,774) | |
China | 165,600 | 1.00% (pays quarterly)(1) | 12/20/28 | (1,545,162) | 1,628,896 | 83,734 | |
Finland | 18,801 | 0.25% (pays quarterly)(1) | 12/20/28 | (26,138) | 8,593 | (17,545) | |
France | 87,573 | 0.25% (pays quarterly)(1) | 12/20/28 | 97,944 | (80,009) | 17,935 | |
Germany | 85,444 | 0.25% (pays quarterly)(1) | 12/20/28 | (186,134) | 215,359 | 29,225 | |
Hungary | 19,438 | 1.00% (pays quarterly)(1) | 12/20/28 | 487,075 | (510,253) | (23,178) | |
Malaysia | 286,450 | 1.00% (pays quarterly)(1) | 12/20/28 | (5,001,055) | 6,581,236 | 1,580,181 | |
Markit CDX Emerging Markets Index (CDX.EM.31.V3) | 860 | 1.00% (pays quarterly)(1) | 6/20/24 | (3,914) | (16,771) | (20,685) | |
Markit CDX Emerging Markets Index (CDX.EM.40.V1) | 100,600 | 1.00% (pays quarterly)(1) | 12/20/28 | 5,383,770 | (5,558,972) | (175,202) | |
Markit CDX North America High Yield Index (CDX.NA.HY.41.V2) | 122,000 | 5.00% (pays quarterly)(1) | 12/20/28 | (119,641) | 393,355 | 273,714 | |
Philippines | 66,000 | 1.00% (pays quarterly)(1) | 12/20/28 | (395,796) | 570,538 | 174,742 | |
Poland | 73,949 | 1.00% (pays quarterly)(1) | 12/20/28 | (1,152,211) | 935,804 | (216,407) | |
Qatar | 31,700 | 1.00% (pays quarterly)(1) | 12/20/28 | (627,503) | 896,531 | 269,028 | |
Romania | 19,120 | 1.00% (pays quarterly)(1) | 12/20/28 | 545,577 | (583,706) | (38,129) | |
Saudi | 192,700 | 1.00% (pays quarterly)(1) | 12/20/28 | (3,053,782) | 4,400,328 | 1,346,546 | |
Saudi | 57,200 | 1.00% (pays quarterly)(1) | 12/20/33 | (164,372) | 817,969 | 653,597 | |
South Africa | 459,827 | 1.00% (pays quarterly)(1) | 12/20/28 | 34,241,233 | (32,806,254) | 1,434,979 | |
South Africa | 58,700 | 1.00% (pays quarterly)(1) | 6/20/29 | 5,265,033 | (4,829,826) | 435,207 | |
South Africa | 9,464 | 1.00% (pays quarterly)(1) | 6/20/31 | 1,327,218 | (1,101,977) | 225,241 |
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) | |
Spain | $127,300 | 1.00% (pays quarterly)(1) | 12/20/28 | $ (2,755,931) | $ 2,793,906 | $ 37,975 | |
Turkey | 21,042 | 1.00% (pays quarterly)(1) | 12/20/28 | 2,534,461 | (2,627,907) | (93,446) | |
United Kingdom | 85,267 | 1.00% (pays quarterly)(1) | 12/20/28 | (2,747,974) | 2,723,120 | (24,854) | |
Total | $31,390,758 | $ (25,460,874) | $5,929,884 |
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) |
Petroleos Mexicanos | Bank of America, N.A. | $ 17,700 | 1.00% (pays quarterly)(1) | 2.34% | 12/20/23 | $ (11,887) | $ 17,974 | $ 6,087 |
Vietnam | Goldman Sachs International | 19,880 | 1.00% (pays quarterly)(1) | 0.68 | 6/20/24 | 63,252 | (37,737) | 25,515 |
Total | $37,580 | $ 51,365 | $ (19,763) | $31,602 |
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) | 12/20/28 | $ (633,856) | $ 606,983 | $ (26,873) |
Dubai | Barclays Bank PLC | 6,348 | 1.00% (pays quarterly)(1) | 12/20/24 | (54,713) | (23,974) | (78,687) |
Dubai | Barclays Bank PLC | 9,572 | 1.00% (pays quarterly)(1) | 12/20/24 | (82,501) | (36,181) | (118,682) |
Saudi Arabia | Barclays Bank PLC | 25,486 | 1.00% (pays quarterly)(1) | 6/20/31 | (253,982) | (358,509) | (612,491) |
Sweden | Citibank, N.A. | 41,185 | 0.25% (pays quarterly)(1) | 12/20/28 | (158,794) | 151,150 | (7,644) |
Total | $(1,183,846) | $ 339,469 | $(844,377) |
* | 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 October 31, 2023, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $123,680,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Total Return Swaps (OTC) | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
BNP Paribas | USD | 394,000 | Excess Return on Bloomberg Commodity 1 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.13% (pays upon termination) | 2/26/24 | $ (9,561) |
BNP Paribas | USD | 147,000 | Excess Return on Bloomberg Commodity 3 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.13% (pays upon termination) | 2/26/24 | 63,376 |
Citibank, N.A. | KRW | 80,750 | Positive Return on KOSPI 200 Index Futures 12/2023 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 12/2023 (pays upon termination) | 12/14/23 | (1,741,959) |
$ (1,688,144) |
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) |
Barclays Bank PLC | 1-day Indice Camara Promedio Rate on CLP 7,890,662,080 (pays semi-annually)* | 1.41% on CLP equivalent of CLF 224,000 (pays semi-annually)* | 1/13/33 | $1,062,411 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 2,698,942,950 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 85,000 (pays semi-annually)* | 4/8/32 | (207,403) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 8,224,633,060 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 259,000 (pays semi-annually)* | 4/11/32 | (750,986) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,531,614,475 (pays semi-annually)* | 1.85% on CLP equivalent of CLF 47,900 (pays semi-annually)* | 4/20/32 | (71,473) |
$ 32,549 |
* | At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date. |
Abbreviations: | |
BUBOR | – Budapest Interbank Offered Rate |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
EURIBOR | – Euro Interbank Offered Rate |
FBIL | – Financial Benchmarks India Ltd. |
GDP | – Gross Domestic Product |
HICP | – Harmonised Indices of Consumer Prices |
JIBAR | – Johannesburg Interbank Average Rate |
LIBOR | – London Interbank Offered Rate |
MIBOR | – Mumbai Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
PRIBOR | – Prague Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
AMD | – Armenian Dram |
AUD | – Australian Dollar |
BHD | – Bahraini Dinar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CLF | – Chilean Unidad de Fomento |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EGP | – Egyptian Pound |
EUR | – Euro |
GBP | – British Pound Sterling |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
ILS | – Israeli Shekel |
INR | – Indian Rupee |
ISK | – Icelandic Krona |
JPY | – Japanese Yen |
KES | – Kenyan Shilling |
KRW | – South Korean Won |
KZT | – Kazakhstani Tenge |
LKR | – Sri Lankan Rupee |
MXN | – Mexican Peso |
NGN | – Nigerian Naira |
NZD | – New Zealand Dollar |
OMR | – Omani Rial |
PEN | – Peruvian Sol |
PHP | – Philippine Peso |
PKR | – Pakistan Rupee |
PLN | – Polish Zloty |
RSD | – Serbian Dinar |
SAR | – Saudi Riyal |
THB | – Thai Baht |
TRY | – Turkish Lira |
UAH | – Ukrainian Hryvnia |
UGX | – Ugandan Shilling |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $2,381,412,941) | $ 2,232,523,145 |
Affiliated investments, at value (identified cost $230,125,366) | 230,125,366 |
Deposits for derivatives collateral: | |
Centrally cleared derivatives | 188,834,489 |
OTC derivatives | 2,099,800 |
Cash collateral for securities sold short | 48,314,751 |
Foreign currency, at value (identified cost $41,058,028) | 40,701,391 |
Interest and dividends receivable | 34,959,530 |
Dividends receivable from affiliated investments | 989,809 |
Receivable for investments sold | 3,607,318 |
Receivable for variation margin on open futures contracts | 137,258 |
Receivable for open forward foreign currency exchange contracts | 13,405,289 |
Receivable for open swap contracts | 1,157,389 |
Upfront payments on open non-centrally cleared swap contracts | 456,401 |
Tax reclaims receivable | 39,221 |
Trustees' deferred compensation plan | 150,068 |
Total assets | $2,797,501,225 |
Liabilities | |
Cash collateral due to brokers | $ 2,099,800 |
Payable for reverse repurchase agreements, including accrued interest of $162,189 | 51,560,669 |
Written options outstanding, at value (premiums received $338,138) | 202,436 |
Payable for investments purchased | 17,125,260 |
Payable for securities sold short, at value (proceeds $228,641,724) | 215,370,574 |
Payable for variation margin on open centrally cleared derivatives | 396,996 |
Payable for open forward foreign currency exchange contracts | 21,155,869 |
Payable for open swap contracts | 3,625,759 |
Payable for closed swap contracts | 1,145,194 |
Upfront receipts on open non-centrally cleared swap contracts | 776,107 |
Due to custodian | 3,954,272 |
Payable to affiliates: | |
Investment adviser fee | 1,942,064 |
Trustees' fees | 9,223 |
Trustees' deferred compensation plan | 150,068 |
Other | 147,809 |
Interest and dividends payable on securities sold short | 4,005,080 |
Accrued foreign capital gains taxes | 20,331 |
Accrued expenses | 795,931 |
Total liabilities | $ 324,483,442 |
Net Assets applicable to investors' interest in Portfolio | $2,473,017,783 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $238,643) | $ 3,932,913 |
Dividend income from affiliated investments | 10,085,746 |
Interest and other income (net of foreign taxes withheld of $2,397,281) | 159,039,853 |
Total investment income | $ 173,058,512 |
Expenses | |
Investment adviser fee | $ 21,371,612 |
Trustees’ fees and expenses | 108,505 |
Custodian fee | 1,259,071 |
Legal and accounting services | 295,319 |
Interest expense and fees | 2,898,033 |
Interest and dividend expense on securities sold short | 12,379,214 |
Miscellaneous | 108,328 |
Total expenses | $ 38,420,082 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 377,927 |
Total expense reductions | $ 377,927 |
Net expenses | $ 38,042,155 |
Net investment income | $ 135,016,357 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (214,129,460) |
Written options | 2,183 |
Securities sold short | (605,413) |
Futures contracts | 7,240,307 |
Swap contracts | (9,546,132) |
Foreign currency transactions | (4,993,201) |
Forward foreign currency exchange contracts | 11,702,455 |
Non-deliverable bond forward contracts | 12,622,320 |
Net realized loss | $(197,706,941) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $20,331) | $ 356,387,368 |
Written options | 135,702 |
Securities sold short | 7,478,831 |
Futures contracts | (16,889,470) |
Swap contracts | (63,796,293) |
Foreign currency | (1,194,728) |
Forward foreign currency exchange contracts | (27,477,651) |
Non-deliverable bond forward contracts | (2,147,972) |
Net change in unrealized appreciation (depreciation) | $ 252,495,787 |
Net realized and unrealized gain | $ 54,788,846 |
Net increase in net assets from operations | $ 189,805,203 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 135,016,357 | $ 134,697,184 |
Net realized gain (loss) | (197,706,941) | 139,946,227 |
Net change in unrealized appreciation (depreciation) | 252,495,787 | (378,537,426) |
Net increase (decrease) in net assets from operations | $ 189,805,203 | $ (103,894,015) |
Capital transactions: | ||
Contributions | $ 548,261,795 | $ 273,908,421 |
Withdrawals | (209,820,317) | (857,398,700) |
Net increase (decrease) in net assets from capital transactions | $ 338,441,478 | $ (583,490,279) |
Net increase (decrease) in net assets | $ 528,246,681 | $ (687,384,294) |
Net Assets | ||
At beginning of year | $ 1,944,771,102 | $ 2,632,155,396 |
At end of year | $2,473,017,783 | $1,944,771,102 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses (1) | 1.68% (2)(3) | 1.17% (2)(3) | 1.12% | 1.11% (2) | 1.26% (2) |
Net investment income | 5.97% | 6.13% | 5.37% | 5.69% | 5.86% |
Portfolio Turnover | 56% | 94% | 82% | 80% | 71% |
Total Return | 9.60% | (4.83)% (2) | 5.94% | 6.57% (2) | 8.22% (2) |
Net assets, end of year (000’s omitted) | $2,473,018 | $1,944,771 | $2,632,155 | $3,045,720 | $3,331,278 |
(1) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.68%, 0.16%, 0.11%, 0.09% and 0.24%, of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(2) | The investment adviser reimbursed certain operating expenses (equal to less than 0.01%, 0.01%, 0.04% and 0.05% of average daily net assets for the years ended October 31, 2023, 2022, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(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 0.005% of average daily net assets for the years ended October 31, 2023 and 2022, respectively). |
backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Portfolio may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 1.000% |
$500 million but less than $1 billion | 0.950% |
$1 billion but less than $2.5 billion | 0.925% |
$2.5 billion but less than $5 billion | 0.900% |
$5 billion and over | 0.880% |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 2,076,142,672 | $ 744,682,015 |
U.S. Government and Agency Securities | 38,801,376 | 99,579,730 |
$2,114,944,048 | $844,261,745 |
Aggregate cost | $2,514,894,842 |
Gross unrealized appreciation | $ 117,439,314 |
Gross unrealized depreciation | (395,361,696) |
Net unrealized depreciation | $ (277,922,382) |
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 | $ 10,175,822 |
Sussex Capital, Ltd., Designated Investment Series 14 | 1/24/22 | 1,114 | 1,107,140 | 20,764 |
Sussex Capital, Ltd., Designated Investment Series 14 | 11/30/22 | 1,081 | 1,080,115 | 599,146 |
Sussex Capital, Ltd., Series 14, Preference Shares | 6/1/21 | 7,500 | 5,312,745 | 8,224,784 |
Total Restricted Securities | $16,100,000 | $19,020,516 |
Fair Value | ||||||
Consolidated Statement of Assets and Liabilities Caption | Commodity | Credit | Equity Price | Foreign Exchange | Interest Rate | Total |
Unaffiliated investments, at value | $ — | $ — | $ — | $ 770,671 | $ — | $ 770,671 |
Not applicable | — | 49,882,311* | 2,985,441* | 12,744,921* | 58,925,124* | 124,537,797 |
Receivable for open forward foreign currency exchange contracts | — | — | — | 13,405,289 | — | 13,405,289 |
Receivable/Payable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | 63,376 | 63,252 | — | — | 1,062,411 | 1,189,039 |
Total Asset Derivatives | $ 63,376 | $ 49,945,563 | $ 2,985,441 | $ 26,920,881 | $ 59,987,535 | $ 139,902,796 |
Derivatives not subject to master netting or similar agreements | $ — | $ 49,882,311 | $ 2,985,441 | $ 12,744,921 | $ 58,925,124 | $ 124,537,797 |
Total Asset Derivatives subject to master netting or similar agreements | $ 63,376 | $ 63,252 | $ — | $ 14,175,960 | $ 1,062,411 | $ 15,364,999 |
Written options outstanding, at value | $ — | $ — | $ — | $ (202,436) | $ — | $ (202,436) |
Not applicable | (729,379)* | (22,926,830)* | (784,353)* | (2,459,340)* | (67,820,111)* | (94,720,013) |
Payable for open forward foreign currency exchange contracts | — | — | — | (21,155,869) | — | (21,155,869) |
Payable/Receivable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | (9,561) | (1,195,733) | (1,741,959) | — | (1,029,862) | (3,977,115) |
Total Liability Derivatives | $(738,940) | $(24,122,563) | $(2,526,312) | $(23,817,645) | $(68,849,973) | $(120,055,433) |
Derivatives not subject to master netting or similar agreements | $(729,379) | $(22,926,830) | $ (784,353) | $ (2,459,340) | $(67,820,111) | $ (94,720,013) |
Total Liability Derivatives subject to master netting or similar agreements | $ (9,561) | $ (1,195,733) | $(1,741,959) | $(21,358,305) | $ (1,029,862) | $ (25,335,420) |
* | 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 |
Barclays Bank PLC | $ 2,280,527 | $ (464,705) | $ — | $ (1,730,000) | $ 85,822 | $ 1,730,000 |
BNP Paribas | 2,979,594 | (2,674,125) | — | (305,469) | — | 369,800 |
Citibank, N.A. | 4,867,287 | (4,867,287) | — | — | — | — |
Goldman Sachs International | 1,065,517 | (1,065,517) | — | — | — | — |
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 |
HSBC Bank USA, N.A. | $ 231,520 | $ (231,520) | $ — | $ — | $ — | $ — |
ICBC Standard Bank plc | 117,820 | (117,820) | — | — | — | — |
JPMorgan Chase Bank, N.A. | 755,104 | (755,104) | — | — | — | — |
Societe Generale | 73,722 | (73,722) | — | — | — | — |
Standard Chartered Bank | 826,797 | (826,797) | — | — | — | — |
State Street Bank and Trust Company | 11,771 | (11,771) | — | — | — | — |
UBS AG | 2,155,340 | (964,641) | (1,190,699) | — | — | — |
$15,364,999 | $(12,053,009) | $(1,190,699) | $(2,035,469) | $85,822 | $2,099,800 |
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. | $ (1,219,518) | $ — | $ 1,211,169 | $ — | $ (8,349) | $ — |
Barclays Bank PLC | (464,705) | 464,705 | — | — | — | — |
BNP Paribas | (2,674,125) | 2,674,125 | — | — | — | — |
Citibank, N.A. | (5,211,507) | 4,867,287 | 344,220 | — | — | — |
Deutsche Bank AG | (584,664) | — | 584,664 | — | — | — |
Goldman Sachs International | (1,612,855) | 1,065,517 | 503,846 | — | (43,492) | — |
HSBC Bank USA, N.A. | (1,906,861) | 231,520 | 1,600,160 | — | (75,181) | — |
ICBC Standard Bank plc | (356,586) | 117,820 | — | — | (238,766) | — |
JPMorgan Chase Bank, N.A. | (2,398,398) | 755,104 | 1,194,160 | — | (449,134) | — |
Societe Generale | (911,788) | 73,722 | 789,625 | — | (48,441) | — |
Standard Chartered Bank | (6,981,105) | 826,797 | 6,154,308 | — | — | — |
State Street Bank and Trust Company | (48,667) | 11,771 | — | — | (36,896) | — |
UBS AG | (964,641) | 964,641 | — | — | — | — |
$(25,335,420) | $12,053,009 | $12,382,152 | $ — | $(900,259) | $ — | |
Total — Deposits for derivatives collateral — OTC derivatives | $2,099,800 |
(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 | $ — | $ (2,037,000) | $ — | $ 2,597,127 | $ (2,514,525) | $ (1,954,398) |
Written options | — | — | — | 2,183 | — | 2,183 |
Futures contracts | 948,879 | — | (4,031,491) | — | 10,322,919 | 7,240,307 |
Swap contracts | (6,096,186) | (38,047,462) | 84,549 | 384,242 | 34,128,725 | (9,546,132) |
Forward foreign currency exchange contracts | — | — | — | 11,702,455 | — | 11,702,455 |
Non-deliverable bond forward contracts | — | — | — | — | 12,622,320 | 12,622,320 |
Total | $(5,147,307) | $(40,084,462) | $(3,946,942) | $ 14,686,007 | $ 54,559,439 | $ 20,066,735 |
Change in unrealized appreciation (depreciation): | ||||||
Investments | $ — | $ — | $ — | $ (180,274) | $ 2,514,483 | $ 2,334,209 |
Written options | — | — | — | 135,702 | — | 135,702 |
Futures contracts | (8,808,548) | — | 2,863,951 | — | (10,944,873) | (16,889,470) |
Swap contracts | 53,815 | 2,441,173 | (1,741,959) | — | (64,549,322) | (63,796,293) |
Forward foreign currency exchange contracts | — | — | — | (27,477,651) | — | (27,477,651) |
Non-deliverable bond forward contracts | — | — | — | — | (2,147,972) | (2,147,972) |
Total | $(8,754,733) | $ 2,441,173 | $ 1,121,992 | $(27,522,223) | $(75,127,684) | $(107,841,475) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-Deliverable Bond Forward Contracts | Purchased Swaptions |
$131,762,000 | $493,553,000 | $3,099,012,000 | $132,598,000 | $53,846,000 |
Purchased Call Options | Swap Contracts |
$325,562,000 | $6,610,395,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
Barclays Bank PLC | 9/29/23 | On Demand(1) | 5.65% | $ 24,349,053 | $ 24,456,054 |
Barclays Bank PLC | 10/16/23 | On Demand(1) | 5.65 | 27,049,427 | 27,104,615 |
Total | $51,398,480 | $51,560,669 |
(1) | Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Counterparty | Repurchase Agreements | Liabilities Available for Offset | Securities Collateral Received(a) | Net Amount(b) |
Bank of America, N.A. | $ 32,202,759 | $ — | $ (30,800,829) | $ 1,401,930 |
Barclays Bank PLC | 111,019,001 | (51,560,669) | (59,458,332) | — |
JPMorgan Chase Bank, N.A. | 15,633,645 | — | (14,872,390) | 761,255 |
Nomura International PLC | 42,232,149 | — | (39,441,288) | 2,790,861 |
$201,087,554 | $(51,560,669) | $(144,572,839) | $4,954,046 |
Counterparty | Reverse Repurchase Agreements* | Assets Available for Offset | Securities Collateral Pledged(a) | Net Amount(c) |
Barclays Bank PLC | $(51,560,669) | $51,560,669 | $ — | $ — |
* | Including accrued interest. |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $118,583,106 | $2,294,736,967 | $(2,183,194,707) | $ — | $ — | $230,125,366 | $10,085,746 | 230,125,366 |
• | 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 | $ — | $ 98,240,026 | $ — | $ 98,240,026 |
Common Stocks | 1,398,928 | 119,327,342* | 818,174 | 121,544,444 |
Convertible Bonds | — | 4,104,298 | — | 4,104,298 |
Foreign Corporate Bonds | — | 48,421,546 | 0 | 48,421,546 |
Loan Participation Notes | — | — | 50,529,862 | 50,529,862 |
Reinsurance Side Cars | — | — | 20,158,090 | 20,158,090 |
Rights | — | 0 | — | 0 |
Senior Floating-Rate Loans | — | 16,946,160 | 397,208 | 17,343,368 |
Sovereign Government Bonds | — | 1,348,674,822 | — | 1,348,674,822 |
Sovereign Loans | — | 91,178,142 | — | 91,178,142 |
U.S. Government Guaranteed Small Business Administration Loans | — | 11,497,437 | — | 11,497,437 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Warrants | $ 146,028 | $ — | $ — | $ 146,028 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 230,125,366 | — | — | 230,125,366 |
Repurchase Agreements | — | 201,087,554 | — | 201,087,554 |
Sovereign Government Securities | — | 122,485,807 | — | 122,485,807 |
U.S. Treasury Obligations | — | 96,341,050 | — | 96,341,050 |
Purchased Currency Options | — | 770,671 | — | 770,671 |
Total Investments | $ 231,670,322 | $ 2,159,074,855 | $ 71,903,334 | $ 2,462,648,511 |
Forward Foreign Currency Exchange Contracts | $ — | $ 26,150,210 | $ — | $ 26,150,210 |
Futures Contracts | 9,036,194 | 2,694,117 | — | 11,730,311 |
Swap Contracts | — | 101,251,604 | — | 101,251,604 |
Total | $ 240,706,516 | $ 2,289,170,786 | $ 71,903,334 | $ 2,601,780,636 |
Liability Description | ||||
Securities Sold Short | $ — | $ (215,370,574) | $ — | $ (215,370,574) |
Written Currency Options | — | (202,436) | — | (202,436) |
Forward Foreign Currency Exchange Contracts | — | (23,615,209) | — | (23,615,209) |
Futures Contracts | (6,827,850) | — | — | (6,827,850) |
Swap Contracts | — | (89,409,938) | — | (89,409,938) |
Total | $ (6,827,850) | $ (328,598,157) | $ — | $ (335,426,007) |
* | 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) | — | — | (4,393,471) | — | 61,840 | — | — | (4,331,631) |
Change in net unrealized appreciation (depreciation) | 350,980 | — | (146,254) | 5,669,749 | (206,102) | — | — | 5,668,373 |
Cost of purchases | — | — | 40,909,578 | 2,187,255 | — | — | — | 43,096,833 |
Proceeds from sales, including return of capital | — | — | (29,801,955) | (8,344,337) | (132,392) | — | — | (38,278,684) |
Accrued discount (premium) | — | — | 315,367 | — | 65,638 | — | — | 381,005 |
Transfers to Level 3 | — | — | — | — | — | — | — | — |
Transfers from Level 3(1) | — | — | — | — | — | (65,632,437) | (5,286,231) | (70,918,668) |
Balance as of October 31, 2023 | $818,174 | $ 0 | $ 50,529,862 | $20,158,090 | $ 397,208 | $ — | $ — | $ 71,903,334 |
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2023 | $350,980 | $ — | $ (3,828,946) | $ 5,027,019 | $(258,732) | $ — | $ — | $ 1,290,321 |
* | 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 October 31, 2023 | Valuation Technique | Unobservable Input | Range of Unobservable Input | Impact to Valuation from an Increase to Input* |
Common Stocks | $ 818,174 | Market Approach | EBITDA Multiple Discount Rate | 15% | Decrease |
Foreign Corporate Bonds | 0 | Estimated Recovery Value | Estimated Recovery Value Percentage | 0% | Increase |
Loan Participation Notes | 50,529,862 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 5.46% - 9.79%** | Decrease |
Senior Floating-Rate Loans | 397,208 | Market Approach | Discount Rate | 10% | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
** | The weighted average of the unobservable input is 7.68% based on relative principal amounts. |
Boston, Massachusetts
December 22, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 05/30/2003 | 05/30/2003 | 13.10% | 8.35% | 6.75% |
Class A with 5.25% Maximum Sales Charge | — | — | 7.19 | 7.18 | 6.18 |
Class C at NAV | 05/30/2003 | 05/30/2003 | 12.20 | 7.53 | 6.11 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 11.20 | 7.53 | 6.11 |
Class I at NAV | 08/27/2007 | 05/30/2003 | 13.38 | 8.60 | 7.02 |
MSCI World Index | — | — | 10.48% | 8.26% | 7.53% |
% 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 | 11.81% | 6.17% | 5.22% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | 8.77 | 5.73 | 4.88 |
Class C After Taxes on Distributions | 05/30/2003 | 05/30/2003 | 11.11 | 6.68 | 5.29 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | 8.09 | 6.01 | 4.86 |
Class I After Taxes on Distributions | 08/27/2007 | 05/30/2003 | 12.02 | 7.52 | 6.00 |
Class I After Taxes on Distributions and Sale of Fund Shares | — | — | 8.98 | 6.88 | 5.58 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
1.18% | 1.94% | 0.93% |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $18,099 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,971,097 | N.A. |
Sector Allocation (% of total investments)1 |
Country Allocation (% of total investments) |
Top 10 Holdings (% of total investments)1 | |
Microsoft Corp. | 4.3% |
Eli Lilly & Co. | 4.1 |
Novo Nordisk A/S, Class B | 3.2 |
Apple, Inc. | 3.1 |
Alphabet, Inc., Class C | 2.9 |
EOG Resources, Inc. | 2.7 |
Amazon.com, Inc. | 2.6 |
ASML Holding NV | 2.0 |
Nestle S.A. | 1.7 |
ConocoPhillips | 1.7 |
Total | 28.3% |
1 | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. |
Additional Information | |
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. MSCI Golden Dragon Index is an unmanaged index of common stocks traded in China, Hong Kong and Taiwan. MSCI ACWI Index is an unmanaged free-float-adjusted, market-capitalization-weighted index designed to measure the equity market performance of developed and emerging markets. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 995.80 | $6.09 | 1.21% |
Class C | $1,000.00 | $ 992.10 | $9.84 | 1.96% |
Class I | $1,000.00 | $ 997.10 | $4.83 | 0.96% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.11 | $6.16 | 1.21% |
Class C | $1,000.00 | $1,015.33 | $9.96 | 1.96% |
Class I | $1,000.00 | $1,020.37 | $4.89 | 0.96% |
* | 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 184/365 (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 April 30, 2023. |
Common Stocks — 98.6% |
Security | Shares | Value | |
Aerospace & Defense — 1.1% | |||
Safran S.A. | 36,910 | $ 5,766,060 | |
$ 5,766,060 | |||
Air Freight & Logistics — 1.1% | |||
GXO Logistics, Inc.(1) | 115,179 | $ 5,817,691 | |
$ 5,817,691 | |||
Automobiles — 0.4% | |||
Tesla, Inc.(1) | 10,790 | $ 2,167,064 | |
$ 2,167,064 | |||
Banks — 8.2% | |||
Banco Santander S.A. | 2,020,541 | $ 7,431,415 | |
Barclays PLC | 2,489,121 | 3,995,153 | |
Citigroup, Inc. | 112,575 | 4,445,587 | |
HDFC Bank, Ltd. | 249,880 | 4,429,499 | |
HSBC Holdings PLC | 773,596 | 5,585,685 | |
ING Groep NV | 293,763 | 3,766,196 | |
KBC Group NV | 57,238 | 3,150,084 | |
Toronto-Dominion Bank (The) | 58,206 | 3,251,225 | |
Truist Financial Corp. | 108,073 | 3,064,950 | |
Wells Fargo & Co. | 134,293 | 5,340,833 | |
$ 44,460,627 | |||
Beverages — 1.9% | |||
Coca-Cola Co. (The) | 121,355 | $ 6,855,344 | |
Diageo PLC | 92,383 | 3,493,553 | |
$ 10,348,897 | |||
Biotechnology — 0.7% | |||
CSL, Ltd. | 24,891 | $ 3,678,693 | |
$ 3,678,693 | |||
Broadline Retail — 2.6% | |||
Amazon.com, Inc.(1) | 106,569 | $ 14,183,268 | |
$ 14,183,268 | |||
Capital Markets — 1.4% | |||
Bank of New York Mellon Corp. (The) | 30,386 | $ 1,291,405 |
Security | Shares | Value | |
Capital Markets (continued) | |||
Intercontinental Exchange, Inc. | 30,995 | $ 3,330,103 | |
Stifel Financial Corp. | 52,188 | 2,974,716 | |
$ 7,596,224 | |||
Chemicals — 0.2% | |||
Sika AG | 5,209 | $ 1,246,563 | |
$ 1,246,563 | |||
Commercial Services & Supplies — 0.7% | |||
Veralto Corp. | 1 | $ 69 | |
Waste Management, Inc. | 22,912 | 3,765,129 | |
$ 3,765,198 | |||
Construction Materials — 0.2% | |||
CRH PLC | 16,187 | $ 867,138 | |
$ 867,138 | |||
Consumer Finance — 0.4% | |||
Capital One Financial Corp. | 20,676 | $ 2,094,272 | |
$ 2,094,272 | |||
Consumer Staples Distribution & Retail — 1.0% | |||
Dollar Tree, Inc.(1) | 50,469 | $ 5,606,601 | |
$ 5,606,601 | |||
Electric Utilities — 1.6% | |||
Iberdrola S.A. | 445,619 | $ 4,956,183 | |
NextEra Energy, Inc. | 62,677 | 3,654,069 | |
$ 8,610,252 | |||
Electrical Equipment — 1.8% | |||
AMETEK, Inc. | 29,792 | $ 4,193,820 | |
Schneider Electric SE | 37,208 | 5,724,722 | |
$ 9,918,542 | |||
Electronic Equipment, Instruments & Components — 3.2% | |||
CDW Corp. | 42,219 | $ 8,460,688 | |
Halma PLC | 120,368 | 2,706,877 | |
Keyence Corp. | 5,288 | 2,047,082 | |
Keysight Technologies, Inc.(1) | 14,315 | 1,747,146 | |
TE Connectivity, Ltd. | 21,795 | 2,568,541 | |
$ 17,530,334 |
Security | Shares | Value | |
Entertainment — 1.3% | |||
Walt Disney Co. (The)(1) | 87,481 | $ 7,137,575 | |
$ 7,137,575 | |||
Financial Services — 2.8% | |||
Berkshire Hathaway, Inc., Class B(1) | 20,400 | $ 6,963,132 | |
Fidelity National Information Services, Inc. | 57,906 | 2,843,764 | |
Visa, Inc., Class A | 22,396 | 5,265,299 | |
$ 15,072,195 | |||
Food Products — 2.6% | |||
Mondelez International, Inc., Class A | 73,039 | $ 4,835,912 | |
Nestle S.A. | 84,301 | 9,090,913 | |
$ 13,926,825 | |||
Ground Transportation — 0.8% | |||
Union Pacific Corp. | 20,505 | $ 4,257,043 | |
$ 4,257,043 | |||
Health Care Equipment & Supplies — 2.7% | |||
Alcon, Inc. | 45,181 | $ 3,233,881 | |
Boston Scientific Corp.(1) | 112,755 | 5,771,928 | |
Intuitive Surgical, Inc.(1) | 13,197 | 3,460,517 | |
Straumann Holding AG | 20,175 | 2,384,364 | |
$ 14,850,690 | |||
Health Care Providers & Services — 2.0% | |||
Elevance Health, Inc. | 15,491 | $ 6,972,344 | |
UnitedHealth Group, Inc. | 7,179 | 3,844,785 | |
$ 10,817,129 | |||
Health Care REITs — 0.5% | |||
Healthpeak Properties, Inc. | 165,850 | $ 2,578,967 | |
$ 2,578,967 | |||
Hotels, Restaurants & Leisure — 2.8% | |||
Amadeus IT Group S.A. | 56,401 | $ 3,218,964 | |
Compass Group PLC | 328,507 | 8,282,107 | |
InterContinental Hotels Group PLC | 56,336 | 3,992,110 | |
$ 15,493,181 | |||
Household Products — 0.9% | |||
Reckitt Benckiser Group PLC | 71,247 | $ 4,766,918 | |
$ 4,766,918 |
Security | Shares | Value | |
Industrial Conglomerates — 1.2% | |||
Siemens AG | 49,382 | $ 6,552,935 | |
$ 6,552,935 | |||
Insurance — 4.0% | |||
AIA Group, Ltd. | 460,409 | $ 3,998,101 | |
Allstate Corp. (The) | 31,081 | 3,982,408 | |
Arch Capital Group, Ltd.(1) | 8,222 | 712,683 | |
Assurant, Inc. | 27,513 | 4,096,686 | |
AXA S.A. | 131,430 | 3,894,327 | |
RenaissanceRe Holdings, Ltd. | 21,825 | 4,792,552 | |
$ 21,476,757 | |||
Interactive Media & Services — 3.9% | |||
Alphabet, Inc., Class C(1) | 123,764 | $ 15,507,629 | |
Meta Platforms, Inc., Class A(1) | 18,723 | 5,640,678 | |
$ 21,148,307 | |||
IT Services — 0.9% | |||
Accenture PLC, Class A | 15,992 | $ 4,751,063 | |
$ 4,751,063 | |||
Leisure Products — 0.4% | |||
Yamaha Corp. | 75,666 | $ 2,021,033 | |
$ 2,021,033 | |||
Life Sciences Tools & Services — 1.3% | |||
Danaher Corp. | 24,117 | $ 4,630,946 | |
Lonza Group AG | 2,852 | 998,782 | |
Sartorius AG, PFC Shares | 6,190 | 1,551,460 | |
$ 7,181,188 | |||
Machinery — 1.1% | |||
Ingersoll Rand, Inc. | 90,452 | $ 5,488,628 | |
Sandvik AB | 20,944 | 356,739 | |
$ 5,845,367 | |||
Media — 0.6% | |||
Dentsu Group, Inc. | 118,177 | $ 3,432,566 | |
$ 3,432,566 | |||
Metals & Mining — 1.2% | |||
Anglo American PLC | 98,702 | $ 2,514,885 | |
Rio Tinto, Ltd. | 55,322 | 4,132,447 | |
$ 6,647,332 |
Security | Shares | Value | |
Multi-Utilities — 0.3% | |||
CMS Energy Corp. | 30,479 | $ 1,656,229 | |
$ 1,656,229 | |||
Oil, Gas & Consumable Fuels — 5.4% | |||
Chevron Corp. | 38,001 | $ 5,537,886 | |
ConocoPhillips | 76,090 | 9,039,492 | |
EOG Resources, Inc. | 114,956 | 14,513,195 | |
$ 29,090,573 | |||
Personal Care Products — 0.3% | |||
Kose Corp. | 25,880 | $ 1,714,575 | |
$ 1,714,575 | |||
Pharmaceuticals — 10.4% | |||
AstraZeneca PLC | 43,075 | $ 5,393,145 | |
Eli Lilly & Co. | 39,712 | 21,997,668 | |
Novo Nordisk A/S, Class B | 178,046 | 17,177,203 | |
Sanofi S.A. | 55,068 | 5,000,518 | |
Zoetis, Inc. | 42,902 | 6,735,614 | |
$ 56,304,148 | |||
Professional Services — 2.3% | |||
Recruit Holdings Co., Ltd. | 136,575 | $ 3,915,974 | |
RELX PLC | 142,745 | 4,985,753 | |
Verisk Analytics, Inc. | 16,679 | 3,792,137 | |
$ 12,693,864 | |||
Semiconductors & Semiconductor Equipment — 6.6% | |||
ASML Holding NV | 18,467 | $ 11,100,891 | |
Infineon Technologies AG | 214,743 | 6,272,688 | |
Micron Technology, Inc. | 86,277 | 5,769,343 | |
NVIDIA Corp. | 19,020 | 7,756,356 | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 54,340 | 4,690,085 | |
$ 35,589,363 | |||
Software — 7.6% | |||
Adobe, Inc.(1) | 15,003 | $ 7,982,496 | |
Dassault Systemes SE | 71,140 | 2,930,497 | |
Intuit, Inc. | 13,713 | 6,787,249 | |
Microsoft Corp. | 69,598 | 23,531,780 | |
$ 41,232,022 | |||
Specialized REITs — 0.1% | |||
American Tower Corp. | 4,449 | $ 792,767 | |
$ 792,767 |
Security | Shares | Value | |
Specialty Retail — 2.3% | |||
Lowe's Cos., Inc. | 23,156 | $ 4,412,839 | |
TJX Cos., Inc. (The) | 92,526 | 8,148,765 | |
$ 12,561,604 | |||
Technology Hardware, Storage & Peripherals — 3.1% | |||
Apple, Inc. | 98,553 | $ 16,829,896 | |
$ 16,829,896 | |||
Textiles, Apparel & Luxury Goods — 0.8% | |||
LVMH Moet Hennessy Louis Vuitton SE | 6,379 | $ 4,566,920 | |
$ 4,566,920 | |||
Trading Companies & Distributors — 1.9% | |||
Ashtead Group PLC | 74,284 | $ 4,260,368 | |
IMCD NV | 52,769 | 6,353,155 | |
$ 10,613,523 | |||
Total Common Stocks (identified cost $389,711,285) | $535,259,979 |
Corporate Bonds — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
Financial Services — 0.7% | |||
PPTT, 2006-A GS, Class A, 3.378%(2)(3)(4) | $ | 4,541 | $ 3,789,010 |
$ 3,789,010 | |||
Oil, Gas & Consumable Fuels — 0.0%(5) | |||
Odebrecht Oil & Gas Finance, Ltd., 0.00%(2)(3) | $ | 2,008 | $ 41,409 |
$ 41,409 | |||
Total Corporate Bonds (identified cost $6,288,073) | $ 3,830,419 |
Short-Term Investments — 0.7% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(6) | 3,545,621 | $ 3,545,621 | |
Total Short-Term Investments (identified cost $3,545,621) | $ 3,545,621 | ||
Total Investments — 100.0% (identified cost $399,544,979) | $542,636,019 | ||
Other Assets, Less Liabilities — 0.0%(5) | $ 254,079 | ||
Net Assets — 100.0% | $542,890,098 |
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 October 31, 2023, the aggregate value of these securities is $3,830,419 or 0.7% of the Fund's net assets. |
(3) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(4) | Variable rate security. The stated interest rate, which resets quarterly, is determined at auction and represents the rate in effect at October 31, 2023. |
(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 October 31, 2023. |
Country Concentration of Portfolio | ||
Country | Percentage of Total Investments | Value |
United States | 60.0% | $325,602,022 |
United Kingdom | 9.2 | 49,976,554 |
France | 5.1 | 27,883,044 |
Netherlands | 3.9 | 21,220,242 |
Switzerland | 3.6 | 19,523,044 |
Denmark | 3.2 | 17,177,203 |
Spain | 2.9 | 15,606,562 |
Germany | 2.7 | 14,377,083 |
Japan | 2.4 | 13,131,230 |
Australia | 1.4 | 7,811,140 |
Ireland | 1.0 | 5,618,201 |
Bermuda | 0.9 | 4,792,552 |
Taiwan | 0.9 | 4,690,085 |
India | 0.8 | 4,429,499 |
Hong Kong | 0.7 | 3,998,101 |
Canada | 0.6 | 3,251,225 |
Belgium | 0.6 | 3,150,084 |
Sweden | 0.1 | 356,739 |
Brazil | 0.0 (1) | 41,409 |
Total Investments | 100.0% | $542,636,019 |
(1) | Amount is less than 0.05%. |
Abbreviations: | |
ADR | – American Depositary Receipt |
PFC Shares | – Preference Shares |
PPTT | – Preferred Pass-Through Trust |
REITs | – Real Estate Investment Trusts |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $395,999,358) | $ 539,090,398 |
Affiliated investments, at value (identified cost $3,545,621) | 3,545,621 |
Foreign currency, at value (identified cost $34,359) | 34,250 |
Interest and dividends receivable | 288,823 |
Dividends receivable from affiliated investments | 36,902 |
Receivable for Fund shares sold | 338,014 |
Tax reclaims receivable | 3,655,952 |
Trustees' deferred compensation plan | 151,406 |
Total assets | $547,141,366 |
Liabilities | |
Payable for investments purchased | $ 2,971,740 |
Payable for Fund shares redeemed | 281,526 |
Payable to affiliates: | |
Investment adviser fee | 303,866 |
Administration fee | 70,627 |
Distribution and service fees | 94,860 |
Trustees' fees | 3,133 |
Trustees' deferred compensation plan | 151,406 |
Accrued foreign capital gains taxes | 22,132 |
Accrued expenses | 351,978 |
Total liabilities | $ 4,251,268 |
Net Assets | $542,890,098 |
Sources of Net Assets | |
Paid-in capital | $ 428,590,877 |
Distributable earnings | 114,299,221 |
Net Assets | $542,890,098 |
Class A Shares | |
Net Assets | $ 372,351,702 |
Shares Outstanding | 26,564,440 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 14.02 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 14.80 |
Class C Shares | |
Net Assets | $ 15,978,991 |
Shares Outstanding | 1,142,796 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 13.98 |
Class I Shares | |
Net Assets | $ 154,559,405 |
Shares Outstanding | 11,014,622 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 14.03 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $3,778,347) | $ 26,778,892 |
Dividend income from affiliated investments | 176,549 |
Interest income | 97,148 |
Other income | 848,492 |
Total investment income | $27,901,081 |
Expenses | |
Investment adviser fee | $ 3,615,161 |
Administration fee | 837,639 |
Distribution and service fees: | |
Class A | 964,626 |
Class C | 185,602 |
Trustees’ fees and expenses | 36,074 |
Custodian fee | 229,349 |
Transfer and dividend disbursing agent fees | 264,236 |
Legal and accounting services | 70,462 |
Printing and postage | 77,971 |
Registration fees | 51,692 |
Miscellaneous | 140,491 |
Total expenses | $ 6,473,303 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 5,394 |
Total expense reductions | $ 5,394 |
Net expenses | $ 6,467,909 |
Net investment income | $21,433,172 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $69,381) | $ 1,527,598 |
Futures contracts | 11,640,851 |
Foreign currency transactions | 188,876 |
Net realized gain | $13,357,325 |
Change in unrealized appreciation (depreciation): | |
Investments (including net decrease in accrued foreign capital gains taxes of $96,420) | $ 32,176,561 |
Foreign currency | 103,080 |
Net change in unrealized appreciation (depreciation) | $32,279,641 |
Net realized and unrealized gain | $45,636,966 |
Net increase in net assets from operations | $67,070,138 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 21,433,172 | $ 30,503,309 |
Net realized gain (loss) | 13,357,325 | (27,989,042) |
Net change in unrealized appreciation (depreciation) | 32,279,641 | (136,954,349) |
Net increase (decrease) in net assets from operations | $ 67,070,138 | $(134,440,082) |
Distributions to shareholders: | ||
Class A | $ (19,402,761) | $ (36,746,038) |
Class C | (802,494) | (2,080,114) |
Class I | (8,120,405) | (14,667,950) |
Total distributions to shareholders | $ (28,325,660) | $ (53,494,102) |
Transactions in shares of beneficial interest: | ||
Class A | $ (11,380,258) | $ (8,254,820) |
Class C | (5,611,408) | (4,029,377) |
Class I | 2,668,008 | 4,202,035 |
Net decrease in net assets from Fund share transactions | $ (14,323,658) | $ (8,082,162) |
Net increase (decrease) in net assets | $ 24,420,820 | $(196,016,346) |
Net Assets | ||
At beginning of year | $ 518,469,278 | $ 714,485,624 |
At end of year | $542,890,098 | $ 518,469,278 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 13.040 | $ 17.640 | $ 12.690 | $ 12.730 | $ 11.830 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.545 | $ 0.743 | $ 0.390 | $ 0.392 | $ 0.494 |
Net realized and unrealized gain (loss) | 1.156 | (4.024) | 4.992 | — | 0.838 |
Total income (loss) from operations | $ 1.701 | $ (3.281) | $ 5.382 | $ 0.392 | $ 1.332 |
Less Distributions | |||||
From net investment income | $ (0.721) | $ (0.644) | $ (0.432) | $ (0.432) | $ (0.432) |
From net realized gain | — | (0.675) | — | — | — |
Total distributions | $ (0.721) | $ (1.319) | $ (0.432) | $ (0.432) | $ (0.432) |
Net asset value — End of year | $ 14.020 | $ 13.040 | $ 17.640 | $ 12.690 | $ 12.730 |
Total Return(2) | 13.10% | (19.65)% | 42.80% | 3.20% | 11.52% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $372,352 | $356,746 | $494,280 | $357,048 | $383,956 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 1.20% (3) | 1.18% (3) | 1.16% | 1.20% | 1.22% |
Net investment income | 3.80% | 4.97% | 2.41% | 3.09% | 4.08% |
Portfolio Turnover | 107% | 99% | 56% | 173% | 128% |
(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) | 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 years ended October 31, 2023 and 2022). |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 13.010 | $ 17.590 | $ 12.650 | $ 12.700 | $ 11.800 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.421 | $ 0.612 | $ 0.248 | $ 0.300 | $ 0.312 |
Net realized and unrealized gain (loss) | 1.161 | (3.990) | 5.003 | (0.014) | 0.927 |
Total income (loss) from operations | $ 1.582 | $ (3.378) | $ 5.251 | $ 0.286 | $ 1.239 |
Less Distributions | |||||
From net investment income | $ (0.612) | $ (0.527) | $ (0.311) | $ (0.336) | $ (0.339) |
From net realized gain | — | (0.675) | — | — | — |
Total distributions | $ (0.612) | $ (1.202) | $ (0.311) | $ (0.336) | $ (0.339) |
Net asset value — End of year | $13.980 | $13.010 | $17.590 | $12.650 | $12.700 |
Total Return(2) | 12.20% | (20.22)% | 41.79% | 2.34% | 10.70% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 15,979 | $ 20,044 | $ 31,961 | $ 42,936 | $ 72,014 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 1.95% (3) | 1.94% (3) | 1.92% | 1.96% | 1.97% |
Net investment income | 2.96% | 4.08% | 1.55% | 2.38% | 2.62% |
Portfolio Turnover | 107% | 99% | 56% | 173% | 128% |
(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) | 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 years ended October 31, 2023 and 2022). |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 13.050 | $ 17.650 | $ 12.700 | $ 12.750 | $ 11.850 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.577 | $ 0.788 | $ 0.424 | $ 0.424 | $ 0.503 |
Net realized and unrealized gain (loss) | 1.160 | (4.032) | 4.998 | (0.010) | 0.859 |
Total income (loss) from operations | $ 1.737 | $ (3.244) | $ 5.422 | $ 0.414 | $ 1.362 |
Less Distributions | |||||
From net investment income | $ (0.757) | $ (0.681) | $ (0.472) | $ (0.464) | $ (0.462) |
From net realized gain | — | (0.675) | — | — | — |
Total distributions | $ (0.757) | $ (1.356) | $ (0.472) | $ (0.464) | $ (0.462) |
Net asset value — End of year | $ 14.030 | $ 13.050 | $ 17.650 | $ 12.700 | $ 12.750 |
Total Return(2) | 13.38% | (19.44)% | 43.12% | 3.38% | 11.78% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $154,559 | $141,680 | $188,245 | $151,266 | $177,646 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.95% (3) | 0.93% (3) | 0.91% | 0.95% | 0.97% |
Net investment income | 4.03% | 5.26% | 2.63% | 3.34% | 4.16% |
Portfolio Turnover | 107% | 99% | 56% | 173% | 128% |
(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) | 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 years ended October 31, 2023 and 2022). |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $28,325,660 | $26,337,455 |
Long-term capital gains | $ — | $27,156,647 |
Undistributed ordinary income | $ 905,441 |
Deferred capital losses | (20,442,053) |
Net unrealized appreciation | 133,835,833 |
Distributable earnings | $114,299,221 |
Aggregate cost | $ 408,675,671 |
Gross unrealized appreciation | $ 151,392,133 |
Gross unrealized depreciation | (17,431,785) |
Net unrealized appreciation | $ 133,960,348 |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 917,870 | $ 13,169,060 | 837,928 | $ 12,746,332 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,149,976 | 16,316,413 | 1,988,103 | 31,128,867 | |
Redemptions | (2,859,448) | (40,865,731) | (3,492,728) | (52,130,019) | |
Net decrease | (791,602) | $(11,380,258) | (666,697) | $ (8,254,820) | |
Class C | |||||
Sales | 82,510 | $ 1,190,290 | 151,545 | $ 2,260,680 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 53,453 | 753,168 | 123,746 | 1,950,604 | |
Redemptions | (533,903) | (7,554,866) | (551,290) | (8,240,661) | |
Net decrease | (397,940) | $ (5,611,408) | (275,999) | $ (4,029,377) | |
Class I | |||||
Sales | 1,283,369 | $ 18,585,934 | 1,203,000 | $ 18,090,072 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 563,960 | 8,014,130 | 924,788 | 14,449,527 | |
Redemptions | (1,685,724) | (23,932,056) | (1,937,346) | (28,337,564) | |
Net increase | 161,605 | $ 2,668,008 | 190,442 | $ 4,202,035 |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
Futures contracts | $11,640,851 (1) | $ — |
(1) | Statement of Operations location: Net realized gain (loss): Futures contracts. |
Futures Contracts — Long | Futures Contracts — Short |
$40,377,000 | $40,890,000 |
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 | $130,971,017 | $(132,448,960) | $ — | $ — | $3,545,621 | $176,549 | 3,545,621 |
• | 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 | $ 28,285,882 | $ 3,432,566 | $ — | $ 31,718,448 |
Consumer Discretionary | 28,911,936 | 22,081,134 | — | 50,993,070 |
Consumer Staples | 17,297,857 | 19,065,959 | — | 36,363,816 |
Energy | 29,090,573 | — | — | 29,090,573 |
Financials | 54,449,615 | 36,250,460 | — | 90,700,075 |
Health Care | 53,413,802 | 39,418,046 | — | 92,831,848 |
Industrials | 27,314,517 | 37,915,706 | — | 65,230,223 |
Information Technology | 90,874,643 | 25,058,035 | — | 115,932,678 |
Materials | 867,138 | 7,893,895 | — | 8,761,033 |
Real Estate | 3,371,734 | — | — | 3,371,734 |
Utilities | 5,310,298 | 4,956,183 | — | 10,266,481 |
Total Common Stocks | $ 339,187,995 | $ 196,071,984* | $ — | $535,259,979 |
Corporate Bonds | $ — | $ 3,830,419 | $ — | $ 3,830,419 |
Short-Term Investments | 3,545,621 | — | — | 3,545,621 |
Total Investments | $ 342,733,616 | $ 199,902,403 | $ — | $542,636,019 |
* | 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. |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
127 funds in the Eaton Vance fund complex (including both funds and portfolios in a hub and spoke structure).
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 04/22/1998 | 04/22/1998 | 12.54% | 2.90% | 2.87% |
Class A with 5.25% Maximum Sales Charge | — | — | 6.61 | 1.81 | 2.32 |
Class C at NAV | 04/22/1998 | 04/22/1998 | 11.71 | 2.14 | 2.27 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 10.71 | 2.14 | 2.27 |
Class I at NAV | 09/02/2008 | 04/22/1998 | 12.87 | 3.18 | 3.14 |
MSCI EAFE Index | — | — | 14.40% | 4.10% | 3.05% |
% 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 | 12.51% | 2.85% | 2.72% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | 8.18 | 2.62 | 2.53 |
Class C After Taxes on Distributions | 04/22/1998 | 04/22/1998 | 11.87 | 2.29 | 2.22 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | 7.52 | 2.02 | 2.02 |
Class I After Taxes on Distributions | 09/02/2008 | 04/22/1998 | 12.78 | 3.07 | 2.95 |
Class I After Taxes on Distributions and Sale of Fund Shares | — | — | 8.44 | 2.85 | 2.76 |
% 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 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $12,513 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,361,985 | N.A. |
Sector Allocation (% of net assets)1 |
Geographic Allocation (% of common stocks) |
Top 10 Holdings (% of net assets)1 | |
Nestle S.A. | 1.2% |
Novo Nordisk A/S, Class B | 1.2 |
Cie Financiere Richemont S.A., Class A | 1.1 |
E.ON SE | 0.9 |
Air Liquide S.A. | 0.9 |
Deutsche Telekom AG | 0.8 |
SAP SE | 0.8 |
TotalEnergies SE | 0.8 |
AstraZeneca PLC | 0.8 |
CSL, Ltd. | 0.8 |
Total | 9.3% |
1 | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. | |
Additional Information | |
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. MSCI Golden Dragon Index is an unmanaged index of common stocks traded in China, Hong Kong and Taiwan. MSCI ACWI Index is an unmanaged free-float-adjusted, market-capitalization-weighted index designed to measure the equity market performance of developed and emerging markets. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 910.20 | $5.06** | 1.05% |
Class C | $1,000.00 | $ 906.60 | $8.65** | 1.80% |
Class I | $1,000.00 | $ 911.60 | $3.85** | 0.80% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.91 | $5.35** | 1.05% |
Class C | $1,000.00 | $1,016.13 | $9.15** | 1.80% |
Class I | $1,000.00 | $1,021.17 | $4.08** | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio. |
** | Absent an allocation of certain expenses to affiliate(s), expenses would be higher. |
October 31, 2023 | |
Assets | |
Investment in Tax-Managed International Equity Portfolio, at value (identified cost $33,896,269) | $ 33,973,853 |
Receivable for Fund shares sold | 12,073 |
Receivable from affiliates | 10,814 |
Total assets | $33,996,740 |
Liabilities | |
Payable for Fund shares redeemed | $ 17,704 |
Payable to affiliates: | |
Distribution and service fees | 3,631 |
Trustees' fees | 43 |
Accrued expenses | 54,108 |
Total liabilities | $ 75,486 |
Net Assets | $33,921,254 |
Sources of Net Assets | |
Paid-in capital | $ 34,743,077 |
Accumulated loss | (821,823) |
Net Assets | $33,921,254 |
Class A Shares | |
Net Assets | $ 16,226,288 |
Shares Outstanding | 1,481,609 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 10.95 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 11.56 |
Class C Shares | |
Net Assets | $ 142,847 |
Shares Outstanding | 13,749 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 10.39 |
Class I Shares | |
Net Assets | $ 17,552,119 |
Shares Outstanding | 1,606,118 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 10.93 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $175,886) | $ 1,228,699 |
Securities lending income allocated from Portfolio, net | 30,746 |
Expenses allocated from Portfolio | (261,382) |
Total investment income from Portfolio | $ 998,063 |
Expenses | |
Distribution and service fees: | |
Class A | $ 43,975 |
Class C | 1,992 |
Trustees’ fees and expenses | 500 |
Custodian fee | 17,993 |
Transfer and dividend disbursing agent fees | 61,211 |
Legal and accounting services | 16,613 |
Printing and postage | 12,524 |
Registration fees | 48,268 |
Miscellaneous | 10,492 |
Total expenses | $ 213,568 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 134,909 |
Total expense reductions | $ 134,909 |
Net expenses | $ 78,659 |
Net investment income | $ 919,404 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $58) | $ 84,135 |
Foreign currency transactions | 3,455 |
Net realized gain | $ 87,590 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 3,175,765 |
Foreign currency | 7,310 |
Net change in unrealized appreciation (depreciation) | $3,183,075 |
Net realized and unrealized gain | $3,270,665 |
Net increase in net assets from operations | $4,190,069 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 919,404 | $ 778,148 |
Net realized gain (loss) | 87,590 | (681,874) |
Net change in unrealized appreciation (depreciation) | 3,183,075 | (10,804,696) |
Net increase (decrease) in net assets from operations | $ 4,190,069 | $(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 | $ (1,115,426) | $ (671,576) |
Class C | (92,237) | (121,046) |
Class I | (1,799,797) | 6,720,798 |
Net increase (decrease) in net assets from Fund share transactions | $ (3,007,460) | $ 5,928,176 |
Net increase (decrease) in net assets | $ 521,453 | $ (5,617,623) |
Net Assets | ||
At beginning of year | $ 33,399,801 | $ 39,017,424 |
At end of year | $33,921,254 | $ 33,399,801 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.900 | $13.550 | $ 10.480 | $ 11.330 | $ 10.370 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.277 | $ 0.230 | $ 0.250 | $ 0.147 | $ 0.242 |
Net realized and unrealized gain (loss) | 0.964 | (3.606) | 2.955 | (0.738) | 0.887 |
Total income (loss) from operations | $ 1.241 | $ (3.376) | $ 3.205 | $ (0.591) | $ 1.129 |
Less Distributions | |||||
From net investment income | $ (0.191) | $ (0.274) | $ (0.135) | $ (0.259) | $ (0.169) |
Total distributions | $ (0.191) | $ (0.274) | $ (0.135) | $ (0.259) | $ (0.169) |
Net asset value — End of year | $10.950 | $ 9.900 | $13.550 | $10.480 | $11.330 |
Total Return(2)(3) | 12.54% | (25.40)% | 30.73% | (5.41)% | 11.16% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 16,226 | $15,637 | $ 22,264 | $ 18,165 | $ 21,757 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (3) | 1.05% (5) | 1.05% (5) | 1.05% | 1.05% | 1.05% |
Net investment income | 2.41% | 1.97% | 1.93% | 1.37% | 2.26% |
Portfolio Turnover of the Portfolio | 36% | 22% | 23% | 10% | 37% |
(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 0.37%, 0.41%, 0.34%, 0.45% and 0.51% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(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 years ended October 31, 2023 and 2022). |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.390 | $12.840 | $ 9.900 | $10.690 | $ 9.770 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.169 | $ 0.133 | $ 0.133 | $ 0.062 | $ 0.119 |
Net realized and unrealized gain (loss) | 0.931 | (3.431) | 2.807 | (0.701) | 0.886 |
Total income (loss) from operations | $ 1.100 | $ (3.298) | $ 2.940 | $ (0.639) | $ 1.005 |
Less Distributions | |||||
From net investment income | $ (0.100) | $ (0.152) | $ — | $ (0.151) | $ (0.085) |
Total distributions | $ (0.100) | $ (0.152) | $ — | $ (0.151) | $ (0.085) |
Net asset value — End of year | $10.390 | $ 9.390 | $12.840 | $ 9.900 | $10.690 |
Total Return(2)(3) | 11.71% | (25.98)% | 29.70% | (6.11)% | 10.42% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 143 | $ 209 | $ 419 | $ 598 | $ 1,862 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (3) | 1.80% (5) | 1.80% (5) | 1.80% | 1.80% | 1.80% |
Net investment income | 1.55% | 1.19% | 1.09% | 0.62% | 1.20% |
Portfolio Turnover of the Portfolio | 36% | 22% | 23% | 10% | 37% |
(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 0.37%, 0.41%, 0.34%, 0.45% and 0.51% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(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 years ended October 31, 2023 and 2022). |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.880 | $13.520 | $ 10.460 | $ 11.310 | $ 10.350 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.303 | $ 0.260 | $ 0.289 | $ 0.173 | $ 0.264 |
Net realized and unrealized gain (loss) | 0.967 | (3.592) | 2.934 | (0.736) | 0.895 |
Total income (loss) from operations | $ 1.270 | $ (3.332) | $ 3.223 | $ (0.563) | $ 1.159 |
Less Distributions | |||||
From net investment income | $ (0.220) | $ (0.308) | $ (0.163) | $ (0.287) | $ (0.199) |
Total distributions | $ (0.220) | $ (0.308) | $ (0.163) | $ (0.287) | $ (0.199) |
Net asset value — End of year | $10.930 | $ 9.880 | $13.520 | $10.460 | $11.310 |
Total Return(2)(3) | 12.87% | (25.19)% | 30.99% | (5.19)% | 11.52% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 17,552 | $17,554 | $ 16,335 | $ 11,560 | $ 13,301 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (3) | 0.80% (5) | 0.80% (5) | 0.80% | 0.80% | 0.80% |
Net investment income | 2.64% | 2.27% | 2.23% | 1.62% | 2.48% |
Portfolio Turnover of the Portfolio | 36% | 22% | 23% | 10% | 37% |
(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 0.37%, 0.41%, 0.34%, 0.45% and 0.51% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(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 years ended October 31, 2023 and 2022). |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $661,156 | $837,377 |
Undistributed ordinary income | $ 892,513 |
Deferred capital losses | (1,465,203) |
Net unrealized depreciation | (249,133) |
Accumulated loss | $ (821,823) |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 8,655 | $ 99,080 | 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 | (132,188) | (1,488,202) | (126,605) | (1,470,906) | |
Net decrease | (98,469) | $(1,115,426) | (63,117) | $ (671,576) | |
Class C | |||||
Sales | 1,317 | $ 14,422 | 2,090 | $ 24,376 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 206 | 2,152 | 326 | 4,067 | |
Redemptions | (9,997) | (108,811) | (12,818) | (149,489) | |
Net decrease | (8,474) | $ (92,237) | (10,402) | $ (121,046) | |
Class I | |||||
Sales | 281,604 | $ 3,251,778 | 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 | (485,147) | (5,405,069) | (627,257) | (6,778,363) | |
Net increase (decrease) | (171,053) | $(1,799,797) | 569,432 | $ 6,720,798 |
Boston, Massachusetts
December 19, 2023
Common Stocks — 99.5% |
Security | Shares | Value | |
Australia — 8.4% | |||
Altium, Ltd. | 3,632 | $ 91,612 | |
APA Group | 28,788 | 150,905 | |
ASX, Ltd. | 1,525 | 54,484 | |
Atlas Arteria, Ltd.(1) | 13,938 | 47,119 | |
Aurizon Holdings, Ltd.(1) | 14,009 | 30,513 | |
Bapcor, Ltd.(1) | 17,313 | 58,931 | |
BHP Group, Ltd. | 9,711 | 274,894 | |
Brambles, Ltd. | 17,422 | 145,400 | |
carsales.com, Ltd. | 8,634 | 152,194 | |
Charter Hall Long Wale REIT(1) | 17,564 | 33,743 | |
Charter Hall Retail REIT | 18,162 | 35,291 | |
Codan, Ltd.(1) | 4,717 | 23,396 | |
Coles Group, Ltd. | 13,689 | 132,861 | |
Commonwealth Bank of Australia | 1,651 | 101,563 | |
Computershare, Ltd. | 7,415 | 117,023 | |
CSL, Ltd. | 3,274 | 483,871 | |
Data#3, Ltd. | 7,498 | 32,322 | |
Dexus (1) | 13,975 | 57,719 | |
Elders, Ltd.(1) | 5,348 | 20,181 | |
Endeavour Group, Ltd.(1) | 13,721 | 43,104 | |
EVT, Ltd.(1) | 10,106 | 67,010 | |
Hansen Technologies, Ltd. | 14,633 | 48,321 | |
HomeCo Daily Needs REIT(1)(2) | 42,841 | 29,215 | |
Incitec Pivot, Ltd. | 22,926 | 40,021 | |
InvoCare, Ltd. | 5,288 | 42,557 | |
IRESS, Ltd.(1) | 7,406 | 23,616 | |
Lendlease Corp., Ltd.(1) | 9,400 | 37,229 | |
Lottery Corp. Ltd. | 32,522 | 93,877 | |
Medibank Private, Ltd. | 16,474 | 35,951 | |
Mirvac Group(1) | 41,842 | 48,547 | |
National Australia Bank, Ltd. | 6,485 | 116,174 | |
National Storage REIT | 24,990 | 31,862 | |
New Hope Corp., Ltd.(1) | 6,072 | 22,345 | |
Newmont Corp. CDI(3) | 942 | 36,083 | |
NEXTDC, Ltd.(3) | 11,247 | 84,452 | |
Orica, Ltd. | 4,147 | 38,749 | |
Origin Energy, Ltd. | 34,036 | 197,438 | |
QBE Insurance Group, Ltd. | 5,122 | 50,790 | |
Region RE, Ltd.(1) | 20,523 | 25,662 | |
Rio Tinto, Ltd. | 1,729 | 129,153 | |
Santos, Ltd.(1) | 20,873 | 101,849 | |
Scentre Group | 43,799 | 67,853 | |
Stockland | 21,890 | 49,404 | |
Suncorp Group, Ltd. | 5,349 | 45,529 |
Security | Shares | Value | |
Australia (continued) | |||
Tabcorp Holdings, Ltd. | 88,897 | $ 43,864 | |
Technology One, Ltd. | 8,485 | 78,688 | |
Telstra Group, Ltd. | 90,240 | 218,821 | |
TPG Telecom, Ltd.(1) | 20,255 | 66,815 | |
Transurban Group | 22,607 | 170,196 | |
Vicinity, Ltd. | 39,555 | 42,843 | |
Viva Energy Group, Ltd.(4) | 12,311 | 22,169 | |
Waypoint REIT, Ltd. | 9,833 | 13,280 | |
Weebit Nano, Ltd.(1)(3) | 7,492 | 15,803 | |
Wesfarmers, Ltd. | 8,581 | 276,083 | |
Westpac Banking Corp. | 7,685 | 100,918 | |
Whitehaven Coal, Ltd. | 7,762 | 36,561 | |
Woodside Energy Group, Ltd. | 13,621 | 296,663 | |
Woolworths Group, Ltd. | 13,266 | 296,956 | |
Yancoal Australia, Ltd.(1) | 6,032 | 18,523 | |
$ 5,248,996 | |||
Austria — 1.1% | |||
ANDRITZ AG | 1,285 | $ 59,147 | |
AT&S Austria Technologie & Systemtechnik AG | 1,360 | 34,144 | |
BAWAG Group AG(4) | 407 | 18,128 | |
CA Immobilien Anlagen AG(1) | 2,850 | 96,368 | |
Erste Group Bank AG | 2,269 | 81,251 | |
Eurotelesites AG(3) | 2,000 | 6,729 | |
Kontron AG | 1,758 | 35,435 | |
Mayr-Melnhof Karton AG | 125 | 14,706 | |
Oesterreichische Post AG | 584 | 18,617 | |
OMV AG | 1,834 | 80,436 | |
PIERER Mobility AG(1) | 420 | 24,047 | |
Rhi Magnesita NV | 764 | 23,848 | |
Telekom Austria AG | 8,000 | 55,862 | |
Verbund AG(1) | 1,229 | 106,784 | |
voestalpine AG(1) | 1,326 | 33,112 | |
$ 688,614 | |||
Belgium — 2.1% | |||
Ackermans & van Haaren NV | 948 | $ 140,733 | |
Aedifica S.A. | 737 | 40,207 | |
Ageas S.A./NV | 1,164 | 44,713 | |
Anheuser-Busch InBev S.A./NV | 2,419 | 137,636 | |
Barco NV | 2,270 | 34,853 | |
Cofinimmo S.A. | 488 | 30,346 | |
Colruyt Group NV | 478 | 19,782 | |
D'Ieteren Group | 715 | 106,207 | |
Econocom Group S.A./NV | 10,730 | 26,326 | |
Elia Group S.A./NV | 1,018 | 96,665 |
Security | Shares | Value | |
Belgium (continued) | |||
Euronav NV | 5,526 | $ 98,918 | |
EVS Broadcast Equipment S.A. | 1,740 | 49,033 | |
KBC Group NV | 1,598 | 87,946 | |
Montea NV | 358 | 25,303 | |
Proximus SADP | 9,427 | 78,136 | |
Retail Estates N.V. | 587 | 35,740 | |
Solvay S.A. | 842 | 89,013 | |
UCB S.A. | 1,600 | 117,024 | |
Umicore S.A. | 2,338 | 55,628 | |
Xior Student Housing NV(2) | 621 | 17,868 | |
$ 1,332,077 | |||
Denmark — 4.4% | |||
AP Moller - Maersk A/S, Class A | 42 | $ 68,576 | |
AP Moller - Maersk A/S, Class B | 45 | 74,980 | |
Carlsberg A/S, Class B | 2,327 | 277,316 | |
Chr. Hansen Holding A/S | 2,271 | 154,972 | |
D/S Norden A/S | 671 | 38,124 | |
Danske Bank A/S(1) | 9,592 | 225,016 | |
FLSmidth & Co. A/S | 866 | 32,477 | |
ISS A/S | 2,025 | 29,307 | |
Matas A/S | 1,729 | 22,512 | |
Novo Nordisk A/S, Class B(1) | 7,438 | 717,590 | |
Novozymes A/S, Class B | 4,578 | 205,749 | |
Orsted A/S(1)(4) | 4,338 | 209,608 | |
Pandora A/S | 2,364 | 268,126 | |
Scandinavian Tobacco Group A/S, Class A(4) | 5,079 | 75,415 | |
Topdanmark A/S | 1,587 | 71,136 | |
TORM PLC, Class A(1) | 907 | 27,680 | |
Tryg A/S | 6,518 | 127,281 | |
Vestas Wind Systems A/S(3) | 5,708 | 123,720 | |
$ 2,749,585 | |||
Finland — 2.2% | |||
Citycon Oyj(3) | 3,632 | $ 19,211 | |
Elisa Oyj | 2,763 | 117,221 | |
Fortum Oyj | 10,228 | 121,441 | |
Harvia Oyj(2) | 1,032 | 25,430 | |
Kempower Oyj(1)(3) | 436 | 13,671 | |
Kesko Oyj, Class B | 7,282 | 123,150 | |
Kojamo Oyj(1) | 3,939 | 33,650 | |
Kone Oyj, Class B | 2,736 | 118,478 | |
Neste Oyj | 3,560 | 119,644 | |
Nokia Oyj | 31,287 | 104,207 | |
Nordea Bank Abp | 13,924 | 146,651 | |
Orion Oyj, Class B | 3,814 | 151,742 |
Security | Shares | Value | |
Finland (continued) | |||
Puuilo Oyj | 2,988 | $ 25,021 | |
TietoEVRY Oyj | 956 | 20,057 | |
Tokmanni Group Corp. | 4,468 | 60,334 | |
UPM-Kymmene Oyj | 4,505 | 151,710 | |
YIT Oyj(1) | 9,254 | 16,467 | |
$ 1,368,085 | |||
France — 8.5% | |||
Air Liquide S.A. | 3,247 | $ 556,381 | |
Airbus SE | 780 | 104,579 | |
AXA S.A. | 6,703 | 198,613 | |
BNP Paribas S.A. | 3,328 | 191,373 | |
Bollore SE | 13,714 | 74,865 | |
Bouygues S.A. | 1,100 | 38,697 | |
Bureau Veritas S.A. | 921 | 20,978 | |
Capgemini SE | 1,229 | 217,200 | |
Carrefour S.A. | 5,094 | 89,305 | |
Cie Generale des Etablissements Michelin SCA | 2,492 | 74,033 | |
Danone S.A. | 2,980 | 177,282 | |
Dassault Systemes SE | 5,415 | 223,062 | |
Edenred SE | 1,068 | 56,851 | |
Eiffage S.A. | 269 | 24,412 | |
Engie S.A. | 23,380 | 371,856 | |
Eutelsat Communications S.A.(1) | 10,085 | 43,066 | |
Gecina S.A. | 1,055 | 103,591 | |
Getlink SE | 2,197 | 35,479 | |
ICADE (1) | 1,083 | 35,387 | |
Klepierre S.A. | 4,222 | 102,526 | |
L'Oreal S.A. | 281 | 118,113 | |
LVMH Moet Hennessy Louis Vuitton SE | 596 | 426,695 | |
Orange S.A. | 25,469 | 299,567 | |
Pernod Ricard S.A. | 786 | 139,575 | |
Quadient S.A. | 948 | 19,820 | |
Rubis SCA | 5,497 | 119,684 | |
Safran S.A. | 556 | 86,858 | |
Sanofi S.A. | 4,937 | 448,310 | |
Sopra Steria Group SACA | 385 | 69,121 | |
Thales S.A. | 600 | 88,547 | |
TotalEnergies SE | 7,524 | 503,036 | |
Vinci S.A. | 1,159 | 128,156 | |
Vivendi SE | 12,615 | 113,125 | |
Voltalia S.A.(1)(3) | 1,827 | 15,279 | |
$ 5,315,422 | |||
Germany — 8.6% | |||
Allianz SE | 1,068 | $ 250,171 |
Security | Shares | Value | |
Germany (continued) | |||
BASF SE | 5,297 | $ 244,759 | |
Bayer AG | 4,632 | 200,142 | |
Bayerische Motoren Werke AG | 1,291 | 120,069 | |
Bayerische Motoren Werke AG, PFC Shares | 792 | 67,344 | |
Brenntag SE | 725 | 53,912 | |
Cropenergies AG | 2,253 | 19,399 | |
Daimler Truck Holding AG | 1,859 | 58,410 | |
Deutsche Boerse AG | 659 | 108,469 | |
Deutsche Lufthansa AG(3) | 5,121 | 35,908 | |
Deutsche Telekom AG | 24,422 | 530,047 | |
Deutsche Wohnen SE | 2,022 | 43,510 | |
E.ON SE | 49,704 | 591,384 | |
Evonik Industries AG | 3,498 | 64,380 | |
Fresenius Medical Care AG & Co. KGaA | 1,941 | 64,492 | |
Fresenius SE & Co. KGaA | 3,336 | 85,813 | |
FUCHS PETROLUB SE, PFC Shares | 495 | 20,105 | |
Gea Group AG | 1,075 | 36,765 | |
Gerresheimer AG | 321 | 29,941 | |
Grand City Properties S.A.(3) | 3,999 | 35,759 | |
Hamborner REIT AG | 9,515 | 62,953 | |
Hannover Rueck SE | 220 | 48,579 | |
Henkel AG & Co. KGaA | 2,701 | 170,704 | |
Henkel AG & Co. KGaA, PFC Shares | 3,830 | 276,277 | |
K+S AG | 4,249 | 71,431 | |
Knorr-Bremse AG | 398 | 22,230 | |
LEG Immobilien SE(3) | 1,939 | 121,210 | |
Mercedes-Benz Group AG | 2,924 | 172,031 | |
MTU Aero Engines AG | 190 | 35,712 | |
Muenchener Rueckversicherungs-Gesellschaft AG | 361 | 144,872 | |
QIAGEN NV(3) | 1,735 | 64,660 | |
Rheinmetall AG | 216 | 62,012 | |
RWE AG | 1,362 | 52,118 | |
SAP SE | 3,795 | 509,032 | |
Siemens AG | 1,574 | 208,868 | |
Suedzucker AG | 9,335 | 141,414 | |
Symrise AG, Class A | 1,413 | 144,394 | |
Talanx AG | 1,186 | 74,741 | |
Telefonica Deutschland Holding AG | 23,557 | 40,049 | |
Vitesco Technologies Group AG(3) | 445 | 43,524 | |
Volkswagen AG, PFC Shares | 790 | 83,780 | |
Vonovia SE | 8,759 | 201,650 | |
$ 5,413,020 | |||
Hong Kong — 4.3% | |||
AIA Group, Ltd. | 33,600 | $ 291,776 | |
ASMPT, Ltd. | 2,900 | 24,562 |
Security | Shares | Value | |
Hong Kong (continued) | |||
Bank of East Asia, Ltd. (The) | 52,200 | $ 61,994 | |
Beijing Tong Ren Tang Chinese Medicine Co., Ltd. | 21,000 | 31,542 | |
BOC Hong Kong Holdings, Ltd. | 11,500 | 30,412 | |
Budweiser Brewing Co. APAC, Ltd.(4) | 66,900 | 127,133 | |
Cafe de Coral Holdings, Ltd. | 20,000 | 25,190 | |
China Traditional Chinese Medicine Holdings Co., Ltd. | 128,000 | 63,071 | |
Chow Sang Sang Holdings International, Ltd. | 42,000 | 48,280 | |
Chow Tai Fook Jewellery Group, Ltd. | 59,000 | 83,315 | |
CK Asset Holdings, Ltd. | 18,000 | 89,970 | |
CK Hutchison Holdings, Ltd. | 42,500 | 215,147 | |
CLP Holdings, Ltd. | 23,000 | 168,332 | |
C-Mer Eye Care Holdings, Ltd.(2)(3) | 44,000 | 21,503 | |
DFI Retail Group Holdings, Ltd.(1) | 13,100 | 27,943 | |
Galaxy Entertainment Group, Ltd. | 28,000 | 157,401 | |
Hang Lung Properties, Ltd. | 37,000 | 48,635 | |
Hang Seng Bank, Ltd. | 6,200 | 70,885 | |
HK Electric Investments & HK Electric Investments, Ltd.(2) | 154,000 | 85,429 | |
HKT Trust and HKT, Ltd. | 169,000 | 175,048 | |
Hongkong Land Holdings, Ltd. | 15,800 | 50,113 | |
Hutchison Telecommunications Hong Kong Holdings, Ltd. | 238,000 | 31,972 | |
Jardine Matheson Holdings, Ltd. | 1,200 | 48,625 | |
Luk Fook Holdings International, Ltd. | 15,000 | 37,212 | |
MTR Corp., Ltd. | 18,000 | 67,287 | |
NWS Holdings, Ltd. | 51,000 | 60,345 | |
PAX Global Technology, Ltd. | 75,000 | 51,769 | |
Power Assets Holdings, Ltd. | 30,000 | 143,425 | |
Shangri-La Asia, Ltd.(3) | 38,000 | 24,243 | |
Sino Land Co., Ltd. | 32,000 | 31,947 | |
Sun Hung Kai Properties, Ltd. | 12,000 | 123,224 | |
Viva Goods Company, Ltd.(3) | 192,000 | 25,281 | |
VSTECS Holdings, Ltd. | 60,000 | 30,339 | |
VTech Holdings, Ltd. | 10,000 | 58,188 | |
Wharf Holdings, Ltd. | 17,000 | 43,137 | |
$ 2,674,675 | |||
Ireland — 2.2% | |||
Bank of Ireland Group PLC | 24,074 | $ 215,744 | |
CRH PLC | 5,583 | 299,622 | |
DCC PLC | 1,417 | 78,720 | |
Fineos Corp. Holdings PLC CDI(3) | 16,777 | 17,665 | |
Flutter Entertainment PLC(3) | 1,544 | 242,496 | |
ICON PLC ADR(3) | 1,080 | 263,477 | |
Irish Continental Group PLC | 6,302 | 28,753 | |
Irish Residential Properties REIT PLC | 33,524 | 32,290 | |
Kerry Group PLC, Class A | 2,357 | 182,064 | |
$ 1,360,831 |
Security | Shares | Value | |
Israel — 2.2% | |||
Airport City, Ltd.(3) | 1,245 | $ 16,395 | |
Amot Investments, Ltd. | 5,499 | 23,029 | |
Azrieli Group, Ltd. | 509 | 21,916 | |
Bank Hapoalim B.M. | 6,278 | 44,906 | |
Bank Leumi Le-Israel B.M. | 10,138 | 65,298 | |
Bezeq The Israeli Telecommunication Corp., Ltd. | 74,540 | 91,721 | |
Big Shopping Centers, Ltd.(3) | 234 | 16,402 | |
Check Point Software Technologies, Ltd.(3) | 385 | 51,686 | |
Delek Automotive Systems, Ltd. | 5,228 | 24,167 | |
Delek Group, Ltd. | 592 | 64,767 | |
Delta Galil, Ltd. | 645 | 20,411 | |
Elbit Systems, Ltd. | 297 | 55,242 | |
Electra, Ltd. | 76 | 24,077 | |
Enlight Renewable Energy, Ltd.(3) | 5,509 | 74,226 | |
Fattal Holdings 1998, Ltd.(3) | 339 | 28,045 | |
Fiverr International, Ltd.(1)(3) | 953 | 20,175 | |
Fox Wizel, Ltd. | 492 | 27,935 | |
ICL Group, Ltd. | 25,308 | 123,095 | |
Maytronics, Ltd. | 2,874 | 26,737 | |
Melisron, Ltd. | 379 | 20,543 | |
Nice, Ltd.(3) | 412 | 63,158 | |
Nova, Ltd.(3) | 138 | 13,214 | |
Oil Refineries, Ltd. | 76,583 | 21,013 | |
OPC Energy, Ltd.(3) | 4,225 | 22,915 | |
OY Nofar Energy, Ltd.(3) | 1,707 | 30,418 | |
Partner Communications Co., Ltd.(3) | 9,362 | 34,007 | |
Plus500, Ltd. | 1,094 | 18,767 | |
Reit 1, Ltd. | 8,315 | 30,072 | |
Shapir Engineering and Industry, Ltd. | 3,467 | 18,581 | |
Shufersal, Ltd.(3) | 11,960 | 50,491 | |
Strauss Group, Ltd.(3) | 2,438 | 45,171 | |
Teva Pharmaceutical Industries, Ltd. ADR(3) | 19,132 | 164,153 | |
$ 1,352,733 | |||
Italy — 4.3% | |||
Assicurazioni Generali SpA | 4,184 | $ 83,109 | |
Buzzi Unicem SpA | 1,488 | 39,401 | |
Davide Campari-Milano NV | 14,115 | 156,024 | |
De'Longhi SpA | 1,200 | 26,850 | |
DiaSorin SpA | 977 | 87,561 | |
Enav SpA(4) | 5,309 | 17,695 | |
Enel SpA | 40,123 | 254,684 | |
Eni SpA | 21,987 | 359,436 | |
Ferrari NV | 654 | 197,968 | |
GVS SpA(3)(4) | 4,062 | 18,208 | |
Infrastrutture Wireless Italiane SpA(4) | 18,725 | 205,036 |
Security | Shares | Value | |
Italy (continued) | |||
Italgas SpA | 7,381 | $ 37,509 | |
Italmobiliare SpA | 1,360 | 34,384 | |
Leonardo SpA | 5,068 | 76,590 | |
Mediobanca Banca di Credito Finanziario SpA | 2,659 | 31,763 | |
MFE-MediaForEurope NV, Class B | 1,958 | 5,196 | |
Poste Italiane SpA(4) | 5,564 | 55,085 | |
Prysmian SpA | 2,617 | 97,999 | |
RAI Way SpA(4) | 4,122 | 20,481 | |
Recordati Industria Chimica e Farmaceutica SpA | 4,029 | 186,359 | |
Stellantis NV | 6,033 | 112,711 | |
STMicroelectronics NV | 7,572 | 288,647 | |
Technogym SpA(4) | 2,741 | 20,634 | |
Terna - Rete Elettrica Nazionale | 8,968 | 68,668 | |
UniCredit SpA | 5,306 | 133,019 | |
UnipolSai Assicurazioni SpA | 10,716 | 25,398 | |
Webuild SpA | 11,250 | 20,261 | |
$ 2,660,676 | |||
Japan — 12.8% | |||
Activia Properties, Inc. | 16 | $ 43,288 | |
Aeon Co., Ltd. | 4,300 | 90,470 | |
Air Water, Inc. | 2,000 | 25,217 | |
ANA Holdings, Inc.(3) | 1,100 | 21,595 | |
Asahi Kasei Corp. | 8,100 | 49,797 | |
Astellas Pharma, Inc. | 7,500 | 94,874 | |
Bandai Namco Holdings, Inc. | 2,400 | 49,724 | |
Bridgestone Corp. | 1,600 | 60,552 | |
Canon, Inc. | 1,500 | 35,461 | |
Central Japan Railway Co. | 1,500 | 33,763 | |
Concordia Financial Group, Ltd. | 10,800 | 50,181 | |
Daicel Corp. | 3,900 | 33,164 | |
Daiichi Sankyo Co., Ltd. | 5,400 | 139,235 | |
Daiwa House REIT Investment Corp. | 23 | 40,704 | |
Disco Corp. | 600 | 105,959 | |
East Japan Railway Co. | 900 | 46,744 | |
Eisai Co., Ltd. | 1,400 | 74,170 | |
Electric Power Development Co., Ltd., Class C | 2,500 | 38,327 | |
ENEOS Holdings, Inc. | 31,200 | 115,609 | |
Fast Retailing Co., Ltd. | 300 | 66,419 | |
Frontier Real Estate Investment Corp. | 8 | 23,933 | |
FUJIFILM Holdings Corp. | 500 | 27,349 | |
Fujitsu, Ltd. | 300 | 38,864 | |
Fukuoka Financial Group, Inc. | 1,600 | 42,294 | |
GLP J-REIT | 41 | 36,722 | |
Hamamatsu Photonics K.K. | 700 | 26,000 | |
Hirose Electric Co., Ltd. | 315 | 35,689 |
Security | Shares | Value | |
Japan (continued) | |||
Honda Motor Co., Ltd. | 5,700 | $ 58,418 | |
Idemitsu Kosan Co., Ltd. | 3,700 | 84,009 | |
ITOCHU Corp.(1) | 1,900 | 68,440 | |
Iwatani Corp. | 1,800 | 86,091 | |
Japan Logistics Fund, Inc. | 29 | 53,716 | |
Japan Metropolitan Fund Investment Corporation | 93 | 60,017 | |
Japan Post Bank Co., Ltd. | 6,000 | 55,615 | |
Japan Post Holdings Co., Ltd. | 7,500 | 66,384 | |
Japan Prime Realty Investment Corp. | 22 | 51,530 | |
Japan Real Estate Investment Corp. | 11 | 40,858 | |
Japan Tobacco, Inc. | 4,100 | 95,443 | |
Kansai Electric Power Co., Inc. | 7,200 | 92,188 | |
Kansai Paint Co., Ltd. | 3,300 | 48,294 | |
Kao Corp. | 2,100 | 76,616 | |
KDDI Corp. | 6,400 | 191,454 | |
Kenedix Office Investment Corp.(1) | 24 | 25,032 | |
Keyence Corp. | 400 | 154,847 | |
Kintetsu Group Holdings Co., Ltd. | 800 | 22,509 | |
Kirin Holdings Co., Ltd. | 3,800 | 53,403 | |
Kobe Steel, Ltd. | 3,000 | 35,470 | |
Komatsu, Ltd. | 2,200 | 50,548 | |
Kuraray Co., Ltd. | 2,300 | 26,315 | |
Kyocera Corp. | 900 | 44,362 | |
Kyowa Kirin Co., Ltd. | 2,700 | 42,348 | |
Kyushu Electric Power Co., Inc.(3) | 8,300 | 53,030 | |
Lion Corp. | 5,400 | 51,822 | |
Marubeni Corp. | 3,400 | 49,714 | |
Maruichi Steel Tube, Ltd. | 1,200 | 29,780 | |
MatsukiyoCocokara & Co. | 2,700 | 47,363 | |
Medipal Holdings Corp. | 2,800 | 47,076 | |
MEIJI Holdings Co., Ltd. | 1,600 | 39,382 | |
Mitsubishi Chemical Group Corp. | 10,000 | 56,586 | |
Mitsubishi Corp. | 1,400 | 65,262 | |
Mitsubishi Electric Corp. | 3,200 | 36,693 | |
Mitsubishi HC Capital, Inc. | 6,100 | 40,213 | |
Mitsubishi Heavy Industries, Ltd. | 600 | 30,903 | |
Mitsui & Co., Ltd. | 1,800 | 65,419 | |
Mitsui Chemicals, Inc. | 1,300 | 32,766 | |
Mitsui Fudosan Co., Ltd. | 5,100 | 110,542 | |
Mitsui OSK Lines, Ltd.(1) | 1,100 | 28,399 | |
Mizuho Financial Group, Inc. | 5,630 | 95,588 | |
MS&AD Insurance Group Holdings, Inc. | 1,800 | 65,953 | |
Murata Manufacturing Co., Ltd. | 4,500 | 77,082 | |
NEC Corp. | 1,500 | 72,226 | |
NH Foods, Ltd. | 1,600 | 48,005 | |
Nintendo Co., Ltd. | 6,000 | 247,886 |
Security | Shares | Value | |
Japan (continued) | |||
Nippon Accommodations Fund, Inc. | 8 | $ 32,230 | |
Nippon Building Fund, Inc. | 11 | 44,197 | |
Nippon Sanso Holdings Corp. | 2,300 | 58,003 | |
Nippon Shokubai Co., Ltd. | 600 | 22,285 | |
Nippon Steel Corp. | 3,600 | 77,648 | |
Nippon Telegraph & Telephone Corp. | 180,100 | 211,937 | |
Nippon Yusen KK | 1,200 | 29,361 | |
Nisshin Seifun Group, Inc. | 4,900 | 73,911 | |
Nissin Foods Holdings Co., Ltd. | 700 | 60,906 | |
Nitori Holdings Co., Ltd. | 300 | 32,488 | |
NOF Corp. | 800 | 31,561 | |
Nomura Real Estate Holdings, Inc. | 1,100 | 25,692 | |
Nomura Real Estate Master Fund, Inc. | 63 | 69,518 | |
Nomura Research Institute, Ltd. | 2,000 | 52,500 | |
NTT Data Group Corp. | 4,400 | 54,252 | |
Obic Co., Ltd. | 300 | 44,345 | |
Oji Holdings Corp. | 12,700 | 54,316 | |
Ono Pharmaceutical Co., Ltd. | 3,300 | 56,989 | |
Oriental Land Co., Ltd. | 2,500 | 80,863 | |
Orix JREIT, Inc. | 47 | 54,015 | |
Osaka Gas Co., Ltd. | 5,500 | 103,718 | |
Otsuka Holdings Co., Ltd. | 2,400 | 80,750 | |
Pan Pacific International Holdings Corp. | 2,000 | 38,732 | |
Panasonic Holdings Corp. | 5,400 | 47,377 | |
Resona Holdings, Inc. | 6,700 | 35,800 | |
ROHM Co., Ltd. | 800 | 12,818 | |
Rohto Pharmaceutical Co., Ltd. | 1,600 | 37,330 | |
Santen Pharmaceutical Co., Ltd. | 4,400 | 38,164 | |
SECOM Co., Ltd. | 600 | 41,673 | |
Sekisui House Reit, Inc. | 97 | 51,088 | |
Sekisui House, Ltd. | 2,000 | 39,165 | |
Shimadzu Corp. | 1,200 | 28,376 | |
Shionogi & Co., Ltd. | 1,500 | 69,847 | |
Shizuoka Financial Group, Inc. | 5,800 | 49,322 | |
SoftBank Corp. | 14,500 | 163,949 | |
Sompo Holdings, Inc. | 1,200 | 51,984 | |
Subaru Corp. | 2,400 | 41,545 | |
Sumitomo Chemical Co., Ltd.(1) | 10,900 | 27,705 | |
Sumitomo Corp. | 2,400 | 47,178 | |
Sumitomo Electric Industries, Ltd. | 2,900 | 30,445 | |
Sumitomo Mitsui Financial Group, Inc. | 2,700 | 130,162 | |
Sumitomo Mitsui Trust Holdings, Inc. | 1,500 | 56,245 | |
Suntory Beverage & Food, Ltd. | 1,600 | 48,149 | |
Suzuki Motor Corp. | 600 | 23,287 | |
Taiheiyo Cement Corp. | 2,500 | 42,844 | |
Takeda Pharmaceutical Co., Ltd. | 5,000 | 135,724 |
Security | Shares | Value | |
Japan (continued) | |||
TEIJIN, Ltd. | 3,300 | $ 29,869 | |
Tohoku Electric Power Co., Inc. | 9,800 | 61,192 | |
Tokio Marine Holdings, Inc. | 3,400 | 76,066 | |
Tokyo Gas Co., Ltd. | 4,100 | 92,074 | |
Tokyu Corp.(1) | 3,200 | 36,125 | |
TOPPAN Holdings, Inc. | 2,000 | 46,128 | |
Toray Industries, Inc. | 6,900 | 33,381 | |
Tosoh Corp. | 2,200 | 26,937 | |
Toyo Seikan Group Holdings, Ltd. | 2,900 | 48,756 | |
Toyo Suisan Kaisha, Ltd. | 1,000 | 46,131 | |
Toyota Motor Corp. | 13,600 | 237,915 | |
Trend Micro, Inc. | 600 | 22,611 | |
United Urban Investment Corp. | 35 | 35,286 | |
West Japan Railway Co. | 700 | 26,680 | |
Yakult Honsha Co., Ltd. | 2,000 | 47,130 | |
Yamato Holdings Co., Ltd. | 2,000 | 33,312 | |
Yamato Kogyo Co., Ltd. | 1,000 | 47,911 | |
Yamazaki Baking Co., Ltd. | 1,300 | 27,523 | |
$ 8,037,122 | |||
Netherlands — 4.2% | |||
ABN AMRO Bank NV GDR(4) | 2,263 | $ 30,480 | |
Aegon, Ltd.(1) | 12,248 | 59,565 | |
Akzo Nobel NV | 683 | 45,819 | |
Alfen NV(1)(3)(4) | 256 | 8,070 | |
ASML Holding NV | 646 | 388,324 | |
ASR Nederland NV | 1,620 | 60,456 | |
Corbion NV(1) | 2,072 | 35,884 | |
DSM BV(3) | 1,929 | 190,677 | |
Euronext NV(4) | 576 | 40,169 | |
EXOR N.V. | 350 | 30,040 | |
JDE Peet's NV(1) | 1,640 | 45,546 | |
Koninklijke Ahold Delhaize NV | 9,251 | 273,939 | |
Koninklijke KPN NV | 65,476 | 220,077 | |
Koninklijke Philips NV | 17,139 | 326,026 | |
NN Group NV | 1,992 | 63,888 | |
NSI NV | 1,000 | 18,063 | |
Prosus NV | 11,033 | 309,297 | |
Randstad NV(1) | 683 | 35,369 | |
SBM Offshore NV(1) | 4,496 | 55,995 | |
Universal Music Group NV(1) | 7,168 | 175,536 | |
Wolters Kluwer NV(1) | 1,682 | 215,811 | |
$ 2,629,031 | |||
New Zealand — 1.0% | |||
a2 Milk Co., Ltd. (The)(1)(3) | 28,790 | $ 70,125 |
Security | Shares | Value | |
New Zealand (continued) | |||
Argosy Property, Ltd. | 39,042 | $ 24,132 | |
Auckland International Airport, Ltd. | 12,240 | 52,354 | |
Contact Energy, Ltd. | 9,580 | 43,517 | |
Fisher & Paykel Healthcare Corp., Ltd. | 5,931 | 71,941 | |
Goodman Property Trust | 27,739 | 32,489 | |
Heartland Group Holdings, Ltd. | 19,544 | 17,438 | |
Infratil, Ltd. | 6,421 | 36,767 | |
Kiwi Property Group, Ltd. | 57,056 | 25,772 | |
KMD Brands, Ltd. | 27,332 | 13,221 | |
Meridian Energy, Ltd. | 15,507 | 43,673 | |
SKYCITY Entertainment Group, Ltd.(1) | 29,814 | 32,497 | |
Spark New Zealand, Ltd. | 30,866 | 89,608 | |
Vulcan Steel, Ltd.(1) | 3,600 | 16,359 | |
Xero, Ltd.(3) | 1,231 | 84,160 | |
$ 654,053 | |||
Norway — 2.1% | |||
Aker ASA, Class A | 499 | $ 30,008 | |
ArcticZymes Technologies ASA(1)(3) | 4,268 | 11,132 | |
Atea ASA(3) | 2,752 | 28,635 | |
Austevoll Seafood ASA | 3,899 | 26,648 | |
Borregaard ASA | 3,526 | 47,853 | |
Crayon Group Holding ASA(3)(4) | 2,500 | 14,449 | |
DNB Bank ASA | 6,189 | 111,661 | |
Elkem ASA(4) | 14,511 | 22,461 | |
Entra ASA(4) | 2,972 | 23,228 | |
Equinor ASA | 6,266 | 210,056 | |
Europris ASA(4) | 6,059 | 34,341 | |
Gjensidige Forsikring ASA | 1,701 | 25,510 | |
Golden Ocean Group, Ltd. | 3,420 | 25,305 | |
Kitron ASA | 9,412 | 24,860 | |
Kongsberg Gruppen ASA | 1,873 | 76,511 | |
Mowi ASA | 5,946 | 96,620 | |
Nykode Therapeutics ASA(3) | 7,954 | 12,230 | |
Opera, Ltd. ADR(1) | 3,500 | �� 40,530 | |
Orkla ASA | 8,207 | 56,567 | |
REC Silicon ASA(3) | 16,371 | 21,318 | |
Scatec ASA(4) | 3,300 | 16,677 | |
Schibsted ASA, Class B | 2,498 | 46,352 | |
SpareBank 1 Nord Norge | 3,559 | 30,097 | |
Stolt-Nielsen, Ltd. | 879 | 28,949 | |
Telenor ASA | 11,887 | 121,514 | |
Veidekke ASA | 3,671 | 31,674 | |
Yara International ASA | 2,956 | 96,726 | |
$ 1,311,912 |
Security | Shares | Value | |
Portugal — 1.1% | |||
Banco Comercial Portugues S.A., Class R(3) | 387,844 | $ 119,035 | |
Corticeira Amorim SGPS S.A. | 4,721 | 45,854 | |
CTT-Correios de Portugal S.A. | 12,855 | 49,040 | |
EDP-Energias de Portugal S.A. | 19,728 | 82,907 | |
Galp Energia SGPS S.A. | 8,111 | 122,109 | |
Jeronimo Martins SGPS S.A. | 5,858 | 135,056 | |
Navigator Co. S.A. (The) | 16,287 | 64,836 | |
NOS SGPS S.A. | 11,659 | 42,621 | |
REN-Redes Energeticas Nacionais SGPS S.A. | 11,590 | 30,174 | |
$ 691,632 | |||
Singapore — 4.3% | |||
AEM Holdings, Ltd. | 9,200 | $ 23,256 | |
BW LPG, Ltd.(4) | 3,082 | 43,627 | |
CapitaLand Ascott Trust | 27,455 | 18,052 | |
CapitaLand Integrated Commercial Trust | 56,100 | 72,101 | |
City Developments, Ltd. | 7,700 | 35,542 | |
ComfortDelGro Corp., Ltd. | 36,500 | 35,254 | |
DBS Group Holdings, Ltd. | 9,000 | 216,210 | |
ESR-LOGOS REIT | 156,500 | 31,391 | |
First Resources, Ltd. | 32,600 | 35,994 | |
Flex, Ltd.(3) | 11,357 | 292,102 | |
Food Empire Holdings, Ltd. | 25,900 | 20,805 | |
Frasers Centrepoint Trust | 12,700 | 19,212 | |
Frasers Logistics & Commercial Trust(2) | 54,700 | 41,551 | |
Genting Singapore, Ltd. | 244,700 | 153,734 | |
Grab Holdings, Ltd., Class A(3) | 21,600 | 66,312 | |
Haw Par Corp, Ltd. | 4,700 | 32,835 | |
Jardine Cycle & Carriage, Ltd. | 1,000 | 20,600 | |
Keppel Corp., Ltd. | 14,400 | 65,367 | |
Keppel REIT(1) | 55,680 | 32,331 | |
Lendlease Global Commercial REIT | 77,600 | 28,903 | |
Mapletree Industrial Trust | 27,660 | 43,479 | |
NetLink NBN Trust(2) | 66,200 | 40,141 | |
Parkway Life REIT | 13,500 | 33,119 | |
Raffles Medical Group, Ltd. | 38,400 | 33,413 | |
SATS, Ltd.(3) | 12,200 | 21,947 | |
Sea, Ltd. ADR(3) | 4,137 | 172,513 | |
Sembcorp Industries, Ltd. | 51,100 | 171,436 | |
Sheng Siong Group, Ltd. | 41,900 | 47,438 | |
Singapore Airlines, Ltd.(1) | 17,100 | 76,356 | |
Singapore Exchange, Ltd. | 7,000 | 48,466 | |
Singapore Post, Ltd. | 55,300 | 18,162 | |
Singapore Technologies Engineering, Ltd. | 19,500 | 53,532 | |
Singapore Telecommunications, Ltd. | 64,900 | 112,775 | |
StarHub, Ltd. | 35,800 | 26,954 |
Security | Shares | Value | |
Singapore (continued) | |||
Suntec Real Estate Investment Trust(1) | 27,000 | $ 21,697 | |
United Overseas Bank, Ltd. | 8,200 | 161,742 | |
UOL Group, Ltd. | 4,600 | 19,811 | |
Venture Corp., Ltd. | 7,500 | 64,037 | |
Wilmar International, Ltd. | 103,000 | 267,778 | |
$ 2,719,975 | |||
Spain — 4.2% | |||
ACS Actividades de Construccion y Servicios S.A. | 2,126 | $ 76,885 | |
Aena SME S.A.(4) | 1,064 | 154,387 | |
Almirall S.A. | 2,798 | 25,474 | |
Banco Santander S.A.(1) | 61,792 | 227,267 | |
Bankinter S.A.(1) | 12,265 | 77,557 | |
CaixaBank S.A. | 15,438 | 62,764 | |
Cellnex Telecom S.A.(3)(4) | 4,799 | 141,072 | |
Cia de Distribucion Integral Logista Holdings S.A. | 2,665 | 65,440 | |
Ence Energia y Celulosa S.A.(1) | 9,147 | 27,363 | |
Ercros S.A.(1) | 8,525 | 26,300 | |
Fomento de Construcciones y Contratas S.A.(1) | 1,562 | 19,817 | |
Grifols S.A.(3) | 11,886 | 133,376 | |
Iberdrola S.A. | 25,708 | 285,925 | |
Indra Sistemas S.A.(1) | 3,340 | 46,898 | |
Industria de Diseno Textil S.A. | 10,558 | 364,441 | |
Laboratorios Farmaceuticos Rovi S.A. | 1,773 | 94,819 | |
Merlin Properties Socimi S.A. | 15,993 | 133,346 | |
Metrovacesa S.A.(3)(4) | 2,900 | 23,513 | |
Redeia Corp. S.A. | 2,456 | 38,301 | |
Repsol S.A. | 22,889 | 335,144 | |
Sacyr S.A.(1) | 6,428 | 18,561 | |
Telefonica S.A. | 43,001 | 166,097 | |
Vidrala S.A. | 739 | 54,926 | |
Viscofan S.A.(1) | 825 | 47,690 | |
$ 2,647,363 | |||
Sweden — 4.3% | |||
Alfa Laval AB | 1,197 | $ 38,791 | |
Alleima AB | 7,335 | 44,650 | |
Arjo AB, Class B | 8,801 | 29,434 | |
Assa Abloy AB, Class B | 2,883 | 61,451 | |
Atrium Ljungberg AB, Class B(1) | 2,504 | 38,506 | |
Betsson AB, Class B(3) | 1,812 | 18,237 | |
Bilia AB, Class A | 2,195 | 20,396 | |
BioArctic AB, Class B(3)(4) | 1,352 | 27,319 | |
BioGaia AB, Class B | 2,424 | 21,640 | |
Boliden AB | 1,310 | 33,579 | |
BoneSupport Holding AB(3)(4) | 2,221 | 28,905 |
Security | Shares | Value | |
Sweden (continued) | |||
Camurus AB(3) | 1,249 | $ 37,434 | |
Catena AB(1) | 932 | 30,874 | |
Cibus Nordic Real Estate AB(1) | 2,069 | 19,417 | |
Dios Fastigheter AB | 3,475 | 18,812 | |
Elekta AB, Class B | 5,121 | 34,883 | |
Epiroc AB, Class A | 2,897 | 47,727 | |
Epiroc AB, Class B | 1,712 | 23,772 | |
Essity AB, Class B | 11,138 | 253,967 | |
Evolution AB(4) | 1,309 | 116,639 | |
Fabege AB(1) | 7,085 | 52,862 | |
Getinge AB, Class B | 3,014 | 54,262 | |
H & M Hennes & Mauritz AB, Class B(1) | 4,833 | 64,930 | |
Hemnet Group AB | 2,581 | 44,829 | |
Hexagon AB, Class B | 13,262 | 108,080 | |
Holmen AB, Class B | 2,532 | 95,557 | |
Hufvudstaden AB, Class A | 2,401 | 25,598 | |
Investor AB, Class B | 3,101 | 56,925 | |
Kindred Group PLC SDR | 4,528 | 37,070 | |
L E Lundbergforetagen AB, Class B | 1,263 | 51,581 | |
Millicom International Cellular S.A., SDR(3) | 3,136 | 49,273 | |
Mycronic AB | 4,445 | 97,376 | |
Note AB(3) | 3,097 | 40,595 | |
Nyfosa AB(1) | 5,192 | 25,125 | |
Oatly Group AB ADR(1)(3) | 91,500 | 44,414 | |
Orron Energy AB(1)(3) | 4,713 | 2,944 | |
Pandox AB, Class B | 1,960 | 19,292 | |
Paradox Interactive AB | 1,527 | 29,045 | |
Platzer Fastigheter Holding AB, Class B | 3,149 | 16,536 | |
Polestar Automotive Holding U.K. PLC, Class A ADR(1)(3) | 6,400 | 12,864 | |
Skandinaviska Enskilda Banken AB, Class A | 7,648 | 85,348 | |
Skanska AB, Class B | 1,238 | 18,587 | |
SKF AB, Class B | 2,466 | 39,980 | |
Spotify Technology S.A.(3) | 1,019 | 167,891 | |
Stillfront Group AB(3) | 16,614 | 17,198 | |
Svenska Cellulosa AB SCA, Class B | 9,048 | 124,152 | |
Swedbank AB, Class A | 4,828 | 79,292 | |
Swedish Orphan Biovitrum AB(3) | 3,003 | 61,778 | |
Telefonaktiebolaget LM Ericsson, Class B | 11,872 | 53,183 | |
Tethys Oil AB(3) | 4,284 | 21,912 | |
Trelleborg AB, Class B | 1,004 | 25,390 | |
Volvo AB, Class B | 3,769 | 74,684 | |
Wihlborgs Fastigheter AB | 6,283 | 40,727 | |
$ 2,685,713 | |||
Switzerland — 8.6% | |||
ABB, Ltd. | 5,264 | $ 176,858 |
Security | Shares | Value | |
Switzerland (continued) | |||
ALSO Holding AG | 245 | $ 62,497 | |
Baloise Holding AG | 396 | 56,860 | |
Banque Cantonale Vaudoise(1) | 570 | 64,430 | |
BKW AG | 330 | 55,476 | |
Cembra Money Bank AG | 670 | 46,197 | |
Cie Financiere Richemont S.A., Class A | 5,772 | 680,954 | |
Clariant AG | 8,755 | 124,390 | |
DKSH Holding AG | 773 | 47,335 | |
Flughafen Zurich AG | 295 | 55,124 | |
Forbo Holding AG | 26 | 28,674 | |
Galenica AG(4) | 858 | 64,821 | |
Givaudan S.A. | 88 | 292,910 | |
Helvetia Holding AG(1) | 425 | 57,134 | |
Holcim AG | 5,395 | 333,561 | |
Intershop Holding AG | 78 | 51,755 | |
Kuehne & Nagel International AG | 464 | 125,124 | |
Landis & Gyr Group AG | 1,111 | 82,427 | |
LEM Holding S.A. | 13 | 26,322 | |
Logitech International S.A. | 2,732 | 215,039 | |
Meyer Burger Technology AG(1)(3) | 49,710 | 13,318 | |
Nestle S.A. | 6,891 | 743,117 | |
Novartis AG | 3,416 | 319,805 | |
PSP Swiss Property AG | 379 | 46,632 | |
Roche Holding AG PC | 1,250 | 322,137 | |
Sandoz Group AG(3) | 860 | 22,359 | |
Schindler Holding AG | 320 | 62,381 | |
Schindler Holding AG PC | 353 | 71,420 | |
SGS S.A. | 900 | 73,504 | |
Stadler Rail AG | 1,511 | 51,124 | |
Swatch Group AG (The), Bearer Shares | 279 | 71,417 | |
Swiss Life Holding AG | 172 | 110,472 | |
Swiss Prime Site AG | 1,669 | 155,130 | |
Swiss Re AG | 1,223 | 133,628 | |
Swisscom AG | 366 | 219,303 | |
Zurich Insurance Group AG | 617 | 293,070 | |
$ 5,356,705 | |||
United Kingdom — 8.6% | |||
Admiral Group PLC | 1,759 | $ 52,265 | |
Airtel Africa PLC(4) | 64,844 | 89,325 | |
Assura PLC | 41,543 | 20,693 | |
AstraZeneca PLC | 3,884 | 486,291 | |
Aviva PLC | 12,379 | 59,958 | |
B&M European Value Retail S.A. | 4,833 | 31,114 | |
BAE Systems PLC | 5,635 | 75,770 | |
Berkeley Group Holdings PLC | 509 | 25,021 |
Security | Shares | Value | |
United Kingdom (continued) | |||
Big Yellow Group PLC | 5,278 | $ 61,384 | |
British American Tobacco PLC | 4,267 | 127,466 | |
British Land Co. PLC (The) | 7,798 | 28,270 | |
BT Group PLC | 43,183 | 59,309 | |
Bunzl PLC | 1,400 | 49,947 | |
Burberry Group PLC | 3,492 | 71,970 | |
Compass Group PLC | 7,473 | 188,404 | |
Computacenter PLC | 1,269 | 39,691 | |
Darktrace PLC(3) | 8,597 | 36,685 | |
Derwent London PLC | 1,158 | 25,735 | |
Direct Line Insurance Group PLC(3) | 9,041 | 16,669 | |
FDM Group Holdings PLC | 2,454 | 13,019 | |
Fresnillo PLC | 3,353 | 22,568 | |
Glencore PLC | 46,127 | 244,327 | |
Grainger PLC | 16,347 | 45,244 | |
Great Portland Estates PLC | 3,877 | 18,406 | |
HSBC Holdings PLC | 24,537 | 177,167 | |
Imperial Brands PLC | 3,571 | 76,077 | |
Informa PLC | 15,828 | 137,141 | |
Intertek Group PLC | 919 | 42,801 | |
Land Securities Group PLC | 14,692 | 101,841 | |
London Stock Exchange Group PLC | 865 | 87,274 | |
LXi REIT PLC(2) | 54,470 | 56,927 | |
Manchester United PLC, Class A(1)(3) | 4,400 | 78,892 | |
National Grid PLC | 27,610 | 329,193 | |
NCC Group PLC | 21,199 | 27,512 | |
Next PLC | 1,020 | 85,519 | |
Pearson PLC | 7,487 | 86,667 | |
Phoenix Group Holdings PLC | 5,262 | 29,067 | |
Primary Health Properties PLC | 13,321 | 14,555 | |
QinetiQ Group PLC | 8,311 | 33,504 | |
Reckitt Benckiser Group PLC | 1,615 | 108,055 | |
RELX PLC | 4,013 | 140,165 | |
Rentokil Initial PLC | 8,784 | 44,732 | |
Rio Tinto PLC | 3,810 | 243,080 | |
Rolls-Royce Holdings PLC(3) | 27,107 | 71,352 | |
Sage Group PLC (The) | 15,349 | 181,330 | |
Severn Trent PLC | 5,650 | 182,541 | |
Shaftesbury Capital PLC | 57,908 | 73,410 | |
Shell PLC | 14,923 | 480,921 | |
Smiths Group PLC | 2,292 | 44,959 | |
Spectris PLC | 1,446 | 54,640 | |
Spirent Communications PLC | 11,297 | 13,385 | |
Standard Chartered PLC | 7,613 | 58,371 | |
Supermarket Income REIT PLC | 58,122 | 51,317 | |
Unilever PLC | 4,105 | 194,415 |
Security | Shares | Value | |
United Kingdom (continued) | |||
Vodafone Group PLC | 147,595 | $ 135,867 | |
Whitbread PLC | 806 | 32,682 | |
$ 5,364,890 | |||
Total Common Stocks (identified cost $60,507,263) | $62,263,110 |
Preferred Stocks — 0.0%(5) |
Security | Shares | Value | |
Italy — 0.0%(5) | |||
Danieli & C Officine Meccaniche SpA, 1.574% | 1,102 | $ 22,267 | |
Total Preferred Stocks (identified cost $20,107) | $ 22,267 |
Short-Term Investments — 3.6% |
Affiliated Fund — 0.1% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(6) | 25,783 | $ 25,783 | |
Total Affiliated Fund (identified cost $25,783) | $ 25,783 |
Securities Lending Collateral — 3.5% |
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 5.36%(7) | 2,204,773 | $ 2,204,773 | |
Total Securities Lending Collateral (identified cost $2,204,773) | $ 2,204,773 | ||
Total Short-Term Investments (identified cost $2,230,556) | $ 2,230,556 |
Total Investments — 103.1% (identified cost $62,757,926) | $64,515,933 | ||
Other Assets, Less Liabilities — (3.1)% | $ (1,940,136) | ||
Net Assets — 100.0% | $62,575,797 |
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 October 31, 2023. The aggregate market value of securities on loan at October 31, 2023 was $3,769,096. |
(2) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At October 31, 2023, the aggregate value of these securities is $318,064 or 0.5% of the Portfolio's net assets. |
(3) | Non-income producing security. |
(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 October 31, 2023, the aggregate value of these securities is $1,669,075 or 2.7% of the Portfolio's net assets. |
(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 October 31, 2023. |
(7) | Represents investment of cash collateral received in connection with securities lending. |
Sector Classification of Portfolio | ||
Sector | Percentage of Net Assets | Value |
Financials | 11.5% | $7,223,216 |
Industrials | 10.8 | 6,762,040 |
Consumer Discretionary | 10.3 | 6,438,153 |
Consumer Staples | 10.1 | 6,343,198 |
Health Care | 9.9 | 6,212,742 |
Materials | 9.4 | 5,883,643 |
Communication Services | 9.0 | 5,625,527 |
Information Technology | 8.4 | 5,266,137 |
Utilities | 7.4 | 4,642,061 |
Real Estate | 7.3 | 4,540,748 |
Energy | 5.4 | 3,347,912 |
Short-Term Investments | 3.6 | 2,230,556 |
Total Investments | 103.1% | $64,515,933 |
Abbreviations: | |
ADR | – American Depositary Receipt |
CDI | – CHESS Depositary Interest |
GDR | – Global Depositary Receipt |
PC | – Participation Certificate |
PFC Shares | – Preference Shares |
SDR | – Swedish Depositary Receipt |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $62,732,143) — including $3,769,096 of securities on loan | $ 64,490,150 |
Affiliated investments, at value (identified cost $25,783) | 25,783 |
Foreign currency, at value (identified cost $27,460) | 27,464 |
Interest and dividends receivable | 114,134 |
Dividends receivable from affiliated investments | 399 |
Securities lending income receivable | 1,826 |
Tax reclaims receivable | 232,062 |
Trustees' deferred compensation plan | 38,620 |
Total assets | $64,930,438 |
Liabilities | |
Collateral for securities loaned | $ 2,204,773 |
Payable for investments purchased | 1,683 |
Payable to affiliates: | |
Investment adviser fee | 26,991 |
Trustees' fees | 411 |
Trustees' deferred compensation plan | 38,620 |
Accrued expenses | 82,163 |
Total liabilities | $ 2,354,641 |
Net Assets applicable to investors' interest in Portfolio | $62,575,797 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $322,492) | $ 2,247,867 |
Dividend income from affiliated investments | 4,964 |
Securities lending income, net | 56,319 |
Total investment income | $2,309,150 |
Expenses | |
Investment adviser fee | $ 333,253 |
Trustees’ fees and expenses | 4,751 |
Custodian fee | 73,311 |
Legal and accounting services | 57,897 |
Miscellaneous | 9,157 |
Total expenses | $ 478,369 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 138 |
Total expense reductions | $ 138 |
Net expenses | $ 478,231 |
Net investment income | $1,830,919 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $107) | $ 94,445 |
Investment transactions - affiliated investments | 54,003 |
Foreign currency transactions | 6,134 |
Net realized gain | $ 154,582 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 5,593,098 |
Investments - affiliated investments | 16,243 |
Foreign currency | 12,936 |
Net change in unrealized appreciation (depreciation) | $5,622,277 |
Net realized and unrealized gain | $5,776,859 |
Net increase in net assets from operations | $7,607,778 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,830,919 | $ 1,606,130 |
Net realized gain (loss) | 154,582 | (1,227,103) |
Net change in unrealized appreciation (depreciation) | 5,622,277 | (20,060,081) |
Net increase (decrease) in net assets from operations | $ 7,607,778 | $(19,681,054) |
Capital transactions: | ||
Contributions | $ 4,123,770 | $ 11,445,206 |
Withdrawals | (8,732,642) | (9,274,277) |
Net increase (decrease) in net assets from capital transactions | $ (4,608,872) | $ 2,170,929 |
Net increase (decrease) in net assets | $ 2,998,906 | $(17,510,125) |
Net Assets | ||
At beginning of year | $ 59,576,891 | $ 77,087,016 |
At end of year | $62,575,797 | $ 59,576,891 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.72% (1) | 0.69% (1) | 0.68% | 0.69% | 0.74% |
Net investment income | 2.75% | 2.34% | 2.31% | 1.74% | 2.53% |
Portfolio Turnover | 36% | 22% | 23% | 10% | 37% |
Total Return | 12.91% | (25.13)% | 31.20% | (5.07)% | 11.59% |
Net assets, end of year (000’s omitted) | $62,576 | $59,577 | $77,087 | $60,016 | $71,054 |
(1) | 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 years ended October 31, 2023 and 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 billion | 0.455% |
$5 billion and over | 0.440% |
Aggregate cost | $ 63,431,168 |
Gross unrealized appreciation | $ 8,193,955 |
Gross unrealized depreciation | (7,109,190) |
Net unrealized appreciation | $ 1,084,765 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $2,204,773 | $ — | $ — | $ — | $2,204,773 |
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 | 5,062,187 | (5,197,672) | — | — | 25,783 | 4,964 | 25,783 |
Total | $54,003 | $16,243 | $25,783 | $4,964 |
• | 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 | $ 567,010 | $ 18,767,811 | $ — | $ 19,334,821 |
Developed Europe | 637,156 | 40,938,400 | — | 41,575,556 |
Developed Middle East | 236,014 | 1,116,719 | — | 1,352,733 |
Total Common Stocks | $ 1,440,180 | $ 60,822,930* | $ — | $62,263,110 |
Preferred Stocks | $ — | $ 22,267 | $ — | $ 22,267 |
Short-Term Investments: | ||||
Affiliated Fund | 25,783 | — | — | 25,783 |
Securities Lending Collateral | 2,204,773 | — | — | 2,204,773 |
Total Investments | $ 3,670,736 | $ 60,845,197 | $ — | $64,515,933 |
* | 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. |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President of the Trust | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
R. Kelly Williams, Jr. 1971 | President of the Portfolio | Since 2023 | President and Chief Operating Officer of Atlanta Capital Management Company, LLC. Officer of 21 registered investment companies managed by Eaton Vance or BMR. |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
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) 260-0761
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 06/30/2000 | 06/30/2000 | 18.66% | 10.45% | 10.43% |
Class A with 5.25% Maximum Sales Charge | — | — | 12.43 | 9.27 | 9.84 |
Class C at NAV | 07/10/2000 | 07/10/2000 | 17.74 | 9.62 | 9.76 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 16.74 | 9.62 | 9.76 |
Russell 3000® Growth Index | — | — | 17.32% | 13.48% | 13.27% |
S&P 500® Index | — | — | 10.14 | 11.00 | 11.17 |
% 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 | 18.66% | 8.80% | 9.59% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | 11.04 | 7.38 | 8.15 |
Class C After Taxes on Distributions | 07/10/2000 | 07/10/2000 | 16.74 | 9.06 | 9.49 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | 9.91 | 7.69 | 8.09 |
% Total Annual Operating Expense Ratios3 | Class A | Class C |
1.28% | 2.03% |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $25,397 | N.A. |
Sector Allocation (% of net assets)1 |
Top 10 Holdings (% of net assets)1 | |
Microsoft Corp. | 12.1% |
Apple, Inc. | 11.1 |
Amazon.com, Inc. | 7.8 |
Alphabet, Inc., Class C | 4.5 |
Visa, Inc., Class A | 4.4 |
Alphabet, Inc., Class A | 4.3 |
UnitedHealth Group, Inc. | 3.9 |
Adobe, Inc. | 3.6 |
Meta Platforms, Inc., Class A | 3.0 |
Salesforce, Inc. | 2.7 |
Total | 57.4% |
1 | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. | |
Additional Information | |
Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,043.60 | $ 6.28 | 1.22% |
Class C | $1,000.00 | $1,039.40 | $10.13 | 1.97% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.06 | $ 6.21 | 1.22% |
Class C | $1,000.00 | $1,015.28 | $10.01 | 1.97% |
* | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio. |
October 31, 2023 | |
Assets | |
Investment in Tax-Managed Multi-Cap Growth Portfolio, at value (identified cost $34,932,757) | $ 115,835,335 |
Receivable for Fund shares sold | 96,919 |
Total assets | $115,932,254 |
Liabilities | |
Payable for Fund shares redeemed | $ 122,366 |
Payable to affiliates: | |
Administration fee | 14,950 |
Distribution and service fees | 28,965 |
Trustees' fees | 42 |
Accrued expenses | 59,022 |
Total liabilities | $ 225,345 |
Net Assets | $115,706,909 |
Sources of Net Assets | |
Paid-in capital | $ 45,494,736 |
Distributable earnings | 70,212,173 |
Net Assets | $115,706,909 |
Class A Shares | |
Net Assets | $ 109,561,737 |
Shares Outstanding | 2,544,343 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 43.06 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 45.45 |
Class C Shares | |
Net Assets | $ 6,145,172 |
Shares Outstanding | 175,306 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 35.05 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $14,232) | $ 726,618 |
Securities lending income allocated from Portfolio, net | 5,844 |
Expenses allocated from Portfolio | (790,695) |
Total investment loss from Portfolio | $ (58,233) |
Expenses | |
Administration fee | $ 167,427 |
Distribution and service fees: | |
Class A | 261,487 |
Class C | 70,231 |
Trustees’ fees and expenses | 499 |
Custodian fee | 18,485 |
Transfer and dividend disbursing agent fees | 70,183 |
Legal and accounting services | 16,079 |
Printing and postage | 12,418 |
Registration fees | 33,741 |
ReFlow liquidity program fees | 7,283 |
Miscellaneous | 9,150 |
Total expenses | $ 666,983 |
Net investment loss | $ (725,216) |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ 1,378,349(1) |
Net realized gain | $ 1,378,349 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 17,903,267 |
Foreign currency | (6) |
Net change in unrealized appreciation (depreciation) | $17,903,261 |
Net realized and unrealized gain | $19,281,610 |
Net increase in net assets from operations | $18,556,394 |
(1) | Includes $1,658,636 of net realized gains from redemptions in-kind. |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment loss | $ (725,216) | $ (1,022,992) |
Net realized gain | 1,378,349 (1) | 655,566 (2) |
Net change in unrealized appreciation (depreciation) | 17,903,261 | (39,125,248) |
Net increase (decrease) in net assets from operations | $ 18,556,394 | $ (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 | $ (1,019,437) | $ (2,928,925) |
Class C | (2,418,354) | (2,142,964) |
Net decrease in net assets from Fund share transactions | $ (3,437,791) | $ (5,071,889) |
Net increase (decrease) in net assets | $ 15,118,603 | $ (49,248,648) |
Net Assets | ||
At beginning of year | $ 100,588,306 | $ 149,836,954 |
At end of year | $115,706,909 | $100,588,306 |
(1) | Includes $1,658,636 of net realized gains from redemptions in-kind. |
(2) | Includes $1,699,231 of net realized gains from redemptions in-kind. |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 36.290 | $ 51.600 | $ 39.630 | $ 32.250 | $ 29.220 |
Income (Loss) From Operations | |||||
Net investment loss(1) | $ (0.247) | $ (0.333) | $ (0.387) | $ (0.229) | $ (0.192) |
Net realized and unrealized gain (loss) | 7.017 | (13.382) | 13.730 | 8.361 | 3.849 |
Total income (loss) from operations | $ 6.770 | $(13.715) | $ 13.343 | $ 8.132 | $ 3.657 |
Less Distributions | |||||
From net realized gain | $ — | $ (1.595) | $ (1.373) | $ (0.752) | $ (0.627) |
Total distributions | $ — | $ (1.595) | $ (1.373) | $ (0.752) | $ (0.627) |
Net asset value — End of year | $ 43.060 | $ 36.290 | $ 51.600 | $ 39.630 | $32.250 |
Total Return(2) | 18.66% | (27.42)% | 34.39% | 25.65% | 13.07% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $109,562 | $ 93,206 | $136,537 | $101,649 | $ 82,914 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.26% (4) | 1.28% (4) | 1.25% | 1.28% | 1.33% |
Net investment loss | (0.60)% | (0.79)% | (0.83)% | (0.64)% | (0.63)% |
Portfolio Turnover of the Portfolio | 2% | 0% (5) | 13% | 24% | 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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
(5) | Amount is less than 0.5%. |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 29.770 | $ 42.920 | $ 33.410 | $ 27.510 | $ 25.210 |
Income (Loss) From Operations | |||||
Net investment loss(1) | $ (0.445) | $ (0.538) | $ (0.607) | $ (0.418) | $ (0.353) |
Net realized and unrealized gain (loss) | 5.725 | (11.017) | 11.490 | 7.070 | 3.280 |
Total income (loss) from operations | $ 5.280 | $(11.555) | $10.883 | $ 6.652 | $ 2.927 |
Less Distributions | |||||
From net realized gain | $ — | $ (1.595) | $ (1.373) | $ (0.752) | $ (0.627) |
Total distributions | $ — | $ (1.595) | $ (1.373) | $ (0.752) | $ (0.627) |
Net asset value — End of year | $35.050 | $ 29.770 | $42.920 | $33.410 | $27.510 |
Total Return(2) | 17.74% | (27.95)% | 33.40% | 24.67% | 12.24% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 6,145 | $ 7,382 | $ 13,300 | $ 14,982 | $ 14,216 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 2.01% (4) | 2.03% (4) | 2.00% | 2.03% | 2.09% |
Net investment loss | (1.34)% | (1.53)% | (1.57)% | (1.39)% | (1.37)% |
Portfolio Turnover of the Portfolio | 2% | 0% (5) | 13% | 24% | 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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
(5) | Amount is less than 0.5%. |
Year Ended October 31, | ||
2023 | 2022 | |
Long-term capital gains | $ — | $4,684,085 |
Deferred capital losses | $ (967,185) |
Late year ordinary losses | (643,574) |
Net unrealized appreciation | 71,822,932 |
Distributable earnings | $70,212,173 |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 226,680 | $ 9,130,028 | 236,476 | $ 9,713,120 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | — | — | 80,222 | 3,995,868 | |
Redemptions | (250,401) | (10,149,465) | (394,902) | (16,637,913) | |
Net decrease | (23,721) | $ (1,019,437) | (78,204) | $ (2,928,925) | |
Class C | |||||
Sales | 14,556 | $ 482,415 | 21,295 | $ 759,472 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | — | — | 11,778 | 484,298 | |
Redemptions | (87,232) | (2,900,769) | (94,992) | (3,386,734) | |
Net decrease | (72,676) | $ (2,418,354) | (61,919) | $ (2,142,964) |
Boston, Massachusetts
December 19, 2023
Common Stocks — 99.6% |
Security | Shares | Value | |
Biotechnology — 2.6% | |||
Vertex Pharmaceuticals, Inc.(1) | 15,175 | $ 5,495,019 | |
$ 5,495,019 | |||
Broadline Retail — 7.8% | |||
Amazon.com, Inc.(1) | 122,446 | $ 16,296,338 | |
$ 16,296,338 | |||
Building Products — 0.4% | |||
Trex Co., Inc.(1) | 15,892 | $ 893,289 | |
$ 893,289 | |||
Capital Markets — 1.0% | |||
S&P Global, Inc. | 5,966 | $ 2,083,984 | |
$ 2,083,984 | |||
Chemicals — 1.6% | |||
Celanese Corp. | 4,789 | $ 548,388 | |
Ecolab, Inc. | 7,531 | 1,263,250 | |
Sherwin-Williams Co. (The) | 6,570 | 1,565,040 | |
$ 3,376,678 | |||
Commercial Services & Supplies — 2.0% | |||
Copart, Inc.(1) | 49,420 | $ 2,150,758 | |
Veralto Corp.(1) | 1 | 69 | |
Waste Connections, Inc. | 16,156 | 2,092,202 | |
$ 4,243,029 | |||
Consumer Staples Distribution & Retail — 1.6% | |||
Performance Food Group Co.(1) | 58,516 | $ 3,379,884 | |
$ 3,379,884 | |||
Electrical Equipment — 2.3% | |||
AMETEK, Inc. | 34,300 | $ 4,828,411 | |
$ 4,828,411 | |||
Entertainment — 1.0% | |||
Electronic Arts, Inc. | 7,649 | $ 946,870 | |
Walt Disney Co. (The)(1) | 12,454 | 1,016,122 | |
$ 1,962,992 |
Security | Shares | Value | |
Financial Services — 5.5% | |||
Fiserv, Inc.(1) | 13,974 | $ 1,589,543 | |
Shift4 Payments, Inc., Class A(1) | 13,838 | 616,068 | |
Visa, Inc., Class A | 38,845 | 9,132,459 | |
$ 11,338,070 | |||
Food Products — 1.1% | |||
Mondelez International, Inc., Class A | 35,144 | $ 2,326,884 | |
$ 2,326,884 | |||
Ground Transportation — 3.0% | |||
J.B. Hunt Transport Services, Inc. | 14,100 | $ 2,423,367 | |
Norfolk Southern Corp. | 8,734 | 1,666,360 | |
Uber Technologies, Inc.(1) | 47,387 | 2,050,909 | |
$ 6,140,636 | |||
Health Care Equipment & Supplies — 2.7% | |||
Intuitive Surgical, Inc.(1) | 8,574 | $ 2,248,274 | |
Stryker Corp. | 12,668 | 3,423,147 | |
$ 5,671,421 | |||
Health Care Providers & Services — 4.1% | |||
R1 RCM, Inc.(1) | 36,738 | $ 433,141 | |
UnitedHealth Group, Inc. | 15,062 | 8,066,605 | |
$ 8,499,746 | |||
Hotels, Restaurants & Leisure — 1.5% | |||
Booking Holdings, Inc.(1) | 735 | $ 2,050,327 | |
Starbucks Corp. | 12,443 | 1,147,742 | |
$ 3,198,069 | |||
Interactive Media & Services — 11.8% | |||
Alphabet, Inc., Class A(1) | 71,981 | $ 8,931,403 | |
Alphabet, Inc., Class C(1) | 74,560 | 9,342,368 | |
Meta Platforms, Inc., Class A(1) | 20,515 | 6,180,554 | |
$ 24,454,325 | |||
IT Services — 4.7% | |||
Accenture PLC, Class A | 18,307 | $ 5,438,827 | |
GoDaddy, Inc., Class A(1) | 44,180 | 3,235,301 | |
Okta, Inc.(1) | 15,035 | 1,013,509 | |
$ 9,687,637 | |||
Life Sciences Tools & Services — 1.1% | |||
Danaher Corp. | 11,868 | $ 2,278,893 | |
$ 2,278,893 |
Security | Shares | Value | |
Personal Care Products — 0.7% | |||
Estee Lauder Cos., Inc. (The), Class A | 10,679 | $ 1,376,203 | |
$ 1,376,203 | |||
Pharmaceuticals — 2.0% | |||
Zoetis, Inc. | 26,003 | $ 4,082,471 | |
$ 4,082,471 | |||
Semiconductors & Semiconductor Equipment — 2.8% | |||
Monolithic Power Systems, Inc. | 8,854 | $ 3,911,166 | |
NVIDIA Corp. | 4,678 | 1,907,688 | |
$ 5,818,854 | |||
Software — 20.1% | |||
Adobe, Inc.(1) | 14,102 | $ 7,503,110 | |
Altair Engineering, Inc., Class A(1) | 7,902 | 490,872 | |
Intuit, Inc. | 6,414 | 3,174,609 | |
Microsoft Corp. | 74,352 | 25,139,155 | |
Salesforce, Inc.(1) | 27,530 | 5,528,850 | |
$ 41,836,596 | |||
Specialty Retail — 1.9% | |||
TJX Cos., Inc. (The) | 44,664 | $ 3,933,559 | |
$ 3,933,559 | |||
Technology Hardware, Storage & Peripherals — 11.1% | |||
Apple, Inc. | 134,541 | $ 22,975,567 | |
$ 22,975,567 | |||
Textiles, Apparel & Luxury Goods — 3.4% | |||
Lululemon Athletica, Inc.(1) | 13,063 | $ 5,140,030 | |
NIKE, Inc., Class B | 19,321 | 1,985,619 | |
$ 7,125,649 | |||
Trading Companies & Distributors — 1.8% | |||
United Rentals, Inc. | 9,152 | $ 3,718,183 | |
$ 3,718,183 | |||
Total Common Stocks (identified cost $67,848,594) | $207,022,387 |
Short-Term Investments — 0.5% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(2) | 957,927 | $ 957,927 | |
Total Short-Term Investments (identified cost $957,927) | $ 957,927 | ||
Total Investments — 100.1% (identified cost $68,806,521) | $207,980,314 | ||
Other Assets, Less Liabilities — (0.1)% | $ (153,403) | ||
Net Assets — 100.0% | $207,826,911 |
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 October 31, 2023. |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $67,848,594) | $ 207,022,387 |
Affiliated investments, at value (identified cost $957,927) | 957,927 |
Dividends receivable | 30,815 |
Dividends receivable from affiliated investments | 6,374 |
Securities lending income receivable | 5,833 |
Tax reclaims receivable | 1,226 |
Trustees' deferred compensation plan | 37,249 |
Total assets | $208,061,811 |
Liabilities | |
Payable to affiliates: | |
Investment adviser fee | $ 116,284 |
Trustees' fees | 1,195 |
Trustees' deferred compensation plan | 37,249 |
Accrued expenses | 80,172 |
Total liabilities | $ 234,900 |
Net Assets applicable to investors' interest in Portfolio | $207,826,911 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $25,402) | $ 1,171,271 |
Dividend income from affiliated investments | 124,258 |
Securities lending income, net | 10,476 |
Total investment income | $ 1,306,005 |
Expenses | |
Investment adviser fee | $ 1,295,731 |
Trustees’ fees and expenses | 13,147 |
Custodian fee | 50,985 |
Legal and accounting services | 43,579 |
Miscellaneous | 11,579 |
Total expenses | $ 1,415,021 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 4,074 |
Total expense reductions | $ 4,074 |
Net expenses | $ 1,410,947 |
Net investment loss | $ (104,942) |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 2,460,551(1) |
Net realized gain | $ 2,460,551 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 31,766,012 |
Foreign currency | (11) |
Net change in unrealized appreciation (depreciation) | $31,766,001 |
Net realized and unrealized gain | $34,226,552 |
Net increase in net assets from operations | $34,121,610 |
(1) | Includes $2,960,554 of net realized gains from redemptions in-kind. |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment loss | $ (104,942) | $ (486,478) |
Net realized gain | 2,460,551 (1) | 1,183,064 (2) |
Net change in unrealized appreciation (depreciation) | 31,766,001 | (69,092,945) |
Net increase (decrease) in net assets from operations | $ 34,121,610 | $ (68,396,359) |
Capital transactions: | ||
Contributions | $ 4,277,854 | $ 3,854,719 |
Withdrawals | (9,546,515) | (18,838,502) |
Net decrease in net assets from capital transactions | $ (5,268,661) | $ (14,983,783) |
Net increase (decrease) in net assets | $ 28,852,949 | $ (83,380,142) |
Net Assets | ||
At beginning of year | $ 178,973,962 | $ 262,354,104 |
At end of year | $207,826,911 | $178,973,962 |
(1) | Includes $2,960,554 of net realized gains from redemptions in-kind. |
(2) | Includes $3,009,242 of net realized gains from redemptions in-kind. |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.71% (1) | 0.72% (1) | 0.70% | 0.71% | 0.72% |
Net investment loss | (0.05)% | (0.23)% | (0.28)% | (0.08)% | (0.01)% |
Portfolio Turnover | 2% | 0% (2) | 13% | 24% | 18% |
Total Return | 19.30% | (27.00)% | 35.12% | 26.36% | 13.76% |
Net assets, end of year (000’s omitted) | $207,827 | $178,974 | $262,354 | $200,795 | $167,562 |
(1) | 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 years ended October 31, 2023 and 2022). |
(2) | 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 | $ 68,931,672 |
Gross unrealized appreciation | $ 140,101,638 |
Gross unrealized depreciation | (1,052,996) |
Net unrealized appreciation | $139,048,642 |
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 | $7,870,832 | $(8,177,473) | $ — | $ — | $957,927 | $124,258 | 957,927 |
• | 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 | $ 207,022,387* | $ — | $ — | $ 207,022,387 |
Short-Term Investments | 957,927 | — | — | 957,927 |
Total Investments | $ 207,980,314 | $ — | $ — | $207,980,314 |
* | The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments. |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President of the Trust | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
R. Kelly Williams, Jr. 1971 | President of the Portfolio | Since 2023 | President and Chief Operating Officer of Atlanta Capital Management Company, LLC. Officer of 21 registered investment companies managed by Eaton Vance or BMR. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 09/25/1997 | 09/25/1997 | (7.62)% | 4.47% | 6.26% |
Class A with 5.25% Maximum Sales Charge | — | — | (12.48) | 3.35 | 5.69 |
Class C at NAV | 09/29/1997 | 09/25/1997 | (8.31) | 3.70 | 5.63 |
Class C with 1% Maximum Deferred Sales Charge | — | — | (9.20) | 3.70 | 5.63 |
Class I at NAV | 10/01/2009 | 09/25/1997 | (7.40) | 4.74 | 6.53 |
Russell 2000® Index | — | — | (8.56)% | 3.31% | 5.63% |
% 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 | (8.13)% | 2.31% | 4.55% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | (3.94) | 2.73 | 4.47 |
Class C After Taxes on Distributions | 09/29/1997 | 09/25/1997 | (8.95) | 2.44 | 4.31 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | (4.19) | 3.08 | 4.41 |
Class I After Taxes on Distributions | 10/01/2009 | 09/25/1997 | (7.94) | 3.67 | 5.38 |
Class I After Taxes on Distributions and Sale of Fund Shares | — | — | (3.77) | 3.82 | 5.17 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
1.15% | 1.90% | 0.90% |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $17,291 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,882,767 | N.A. |
Sector Allocation (% of net assets)1 |
Top 10 Holdings (% of net assets)1 | |
Chemed Corp. | 3.5% |
CBIZ, Inc. | 3.3 |
Wyndham Hotels & Resorts, Inc. | 2.9 |
Core & Main, Inc., Class A | 2.7 |
AptarGroup, Inc. | 2.7 |
Valvoline, Inc. | 2.7 |
Essential Properties Realty Trust, Inc. | 2.6 |
White Mountains Insurance Group, Ltd. | 2.6 |
ONE Gas, Inc. | 2.3 |
U.S. Physical Therapy, Inc. | 2.3 |
Total | 27.6% |
1 | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. |
Additional Information | |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. 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. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 883.50 | $5.32 | 1.12% |
Class C | $1,000.00 | $ 880.40 | $8.86 | 1.87% |
Class I | $1,000.00 | $ 885.00 | $4.13 | 0.87% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.56 | $5.70 | 1.12% |
Class C | $1,000.00 | $1,015.78 | $9.50 | 1.87% |
Class I | $1,000.00 | $1,020.82 | $4.43 | 0.87% |
* | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio. |
October 31, 2023 | |
Assets | |
Investment in Tax-Managed Small-Cap Portfolio, at value (identified cost $98,129,799) | $ 105,981,339 |
Receivable for Fund shares sold | 120,203 |
Total assets | $106,101,542 |
Liabilities | |
Payable for Fund shares redeemed | $ 21,498 |
Payable to affiliates: | |
Distribution and service fees | 18,790 |
Trustees' fees | 42 |
Accrued expenses | 73,975 |
Total liabilities | $ 114,305 |
Net Assets | $105,987,237 |
Sources of Net Assets | |
Paid-in capital | $ 101,945,470 |
Distributable earnings | 4,041,767 |
Net Assets | $105,987,237 |
Class A Shares | |
Net Assets | $ 76,963,209 |
Shares Outstanding | 3,065,738 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 25.10 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 26.49 |
Class C Shares | |
Net Assets | $ 2,073,149 |
Shares Outstanding | 111,773 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 18.55 |
Class I Shares | |
Net Assets | $ 26,950,879 |
Shares Outstanding | 1,033,425 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 26.08 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio | $ 1,593,522 |
Expenses allocated from Portfolio | (818,349) |
Total investment income from Portfolio | $ 775,173 |
Expenses | |
Distribution and service fees: | |
Class A | $ 221,122 |
Class C | 24,659 |
Trustees’ fees and expenses | 500 |
Custodian fee | 18,484 |
Transfer and dividend disbursing agent fees | 117,923 |
Legal and accounting services | 21,915 |
Printing and postage | 16,066 |
Registration fees | 46,360 |
ReFlow liquidity program fees | 10,377 |
Miscellaneous | 11,434 |
Total expenses | $ 488,840 |
Net investment income | $ 286,333 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ 4,093,315(1) |
Net realized gain | $ 4,093,315 |
Change in unrealized appreciation (depreciation): | |
Investments | $ (13,045,673) |
Net change in unrealized appreciation (depreciation) | $(13,045,673) |
Net realized and unrealized loss | $ (8,952,358) |
Net decrease in net assets from operations | $ (8,666,025) |
(1) | Includes $2,379,832 of net realized gains from redemptions in-kind. |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income (loss) | $ 286,333 | $ (12,864) |
Net realized gain | 4,093,315 (1) | 5,996,029 (2) |
Net change in unrealized appreciation (depreciation) | (13,045,673) | (23,823,045) |
Net decrease in net assets from operations | $ (8,666,025) | $ (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 | $ (2,786,288) | $ 2,875,658 |
Class C | (235,003) | 49,659 |
Class I | 2,556,539 | 3,524,878 |
Net increase (decrease) in net assets from Fund share transactions | $ (464,752) | $ 6,450,195 |
Net decrease in net assets | $ (12,309,099) | $ (22,444,954) |
Net Assets | ||
At beginning of year | $ 118,296,336 | $ 140,741,290 |
At end of year | $105,987,237 | $118,296,336 |
(1) | Includes $2,379,832 of net realized gains from redemptions in-kind. |
(2) | Includes $3,413,071 of net realized gains from redemptions in-kind. |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 27.940 | $ 34.810 | $ 24.520 | $ 26.960 | $ 25.910 |
Income (Loss) From Operations | |||||
Net investment income (loss)(1) | $ 0.056 | $ (0.014) | $ (0.052) | $ 0.016 | $ (0.001) |
Net realized and unrealized gain (loss) | (2.146) | (4.121) | 10.369 | (0.739) | 2.765 |
Total income (loss) from operations | $ (2.090) | $ (4.135) | $ 10.317 | $ (0.723) | $ 2.764 |
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) |
Total distributions | $ (0.750) | $ (2.735) | $ (0.027) | $ (1.717) | $ (1.714) |
Net asset value — End of year | $25.100 | $27.940 | $ 34.810 | $24.520 | $26.960 |
Total Return(2) | (7.62)% | (12.82)% | 42.10% | (3.09)% | 12.26% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 76,963 | $ 88,303 | $107,257 | $ 78,430 | $ 89,352 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.14% (4) | 1.15% (4) | 1.11% | 1.17% | 1.20% |
Net investment income (loss) | 0.20% | (0.05)% | (0.16)% | 0.06% | (0.01)% |
Portfolio Turnover of the Portfolio | 38% | 43% | 40% | 44% | 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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 20.960 | $ 26.780 | $ 18.990 | $ 21.410 | $ 21.070 |
Income (Loss) From Operations | |||||
Net investment loss(1) | $ (0.115) | $ (0.177) | $ (0.215) | $ (0.126) | $ (0.111) |
Net realized and unrealized gain (loss) | (1.586) | (3.100) | 8.005 | (0.577) | 2.133 |
Total income (loss) from operations | $ (1.701) | $ (3.277) | $ 7.790 | $ (0.703) | $ 2.022 |
Less Distributions | |||||
From net realized gain | $ (0.709) | $ (2.543) | $ — | $ (1.717) | $ (1.682) |
Total distributions | $ (0.709) | $ (2.543) | $ — | $ (1.717) | $ (1.682) |
Net asset value — End of year | $18.550 | $20.960 | $26.780 | $18.990 | $21.410 |
Total Return(2) | (8.31)% | (13.43)% | 41.02% | (3.86)% | 11.45% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 2,073 | $ 2,574 | $ 3,236 | $ 3,565 | $ 5,675 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.89% (4) | 1.90% (4) | 1.86% | 1.92% | 1.95% |
Net investment loss | (0.55)% | (0.79)% | (0.87)% | (0.66)% | (0.55)% |
Portfolio Turnover of the Portfolio | 38% | 43% | 40% | 44% | 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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 29.010 | $ 36.020 | $ 25.370 | $ 27.770 | $ 26.650 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.128 | $ 0.059 | $ 0.027 | $ 0.081 | $ 0.071 |
Net realized and unrealized gain (loss) | (2.232) | (4.251) | 10.714 | (0.764) | 2.833 |
Total income (loss) from operations | $ (2.104) | $ (4.192) | $10.741 | $ (0.683) | $ 2.904 |
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) |
Total distributions | $ (0.826) | $ (2.818) | $ (0.091) | $ (1.717) | $ (1.784) |
Net asset value — End of year | $26.080 | $29.010 | $36.020 | $25.370 | $27.770 |
Total Return(2) | (7.40)% | (12.56)% | 42.46% | (2.89)% | 12.52% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 26,951 | $ 27,419 | $ 30,248 | $ 20,346 | $ 24,763 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 0.89% (4) | 0.90% (4) | 0.86% | 0.92% | 0.95% |
Net investment income | 0.44% | 0.19% | 0.08% | 0.32% | 0.27% |
Portfolio Turnover of the Portfolio | 38% | 43% | 40% | 44% | 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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $ 234,551 | $1,966,083 |
Long-term capital gains | $2,943,771 | $9,089,186 |
Undistributed long-term capital gains | $ 1,541,807 |
Net unrealized appreciation | 2,499,960 |
Distributable earnings | $4,041,767 |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 73,010 | $ 2,062,811 | 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 | (249,931) | (7,036,458) | (248,566) | (7,378,040) | |
Net increase (decrease) | (94,379) | $ (2,786,288) | 78,564 | $ 2,875,658 |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class C | |||||
Sales | 10,417 | $ 212,806 | 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 | (25,719) | (531,229) | (29,551) | (686,125) | |
Net increase (decrease) | (11,067) | $ (235,003) | 2,007 | $ 49,659 | |
Class I | |||||
Sales | 437,764 | $ 12,709,225 | 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 | (376,018) | (10,877,757) | (603,427) | (18,784,235) | |
Net increase | 88,141 | $ 2,556,539 | 105,631 | $ 3,524,878 |
Boston, Massachusetts
December 19, 2023
Common Stocks — 99.0% |
Security | Shares | Value | |
Aerospace & Defense — 2.8% | |||
Hexcel Corp. | 16,646 | $ 1,030,720 | |
Woodward, Inc. | 27,453 | 3,423,389 | |
$ 4,454,109 | |||
Automobile Components — 3.6% | |||
Atmus Filtration Technologies, Inc.(1) | 43,182 | $ 810,094 | |
Dorman Products, Inc.(1) | 58,024 | 3,607,933 | |
Visteon Corp.(1) | 12,376 | 1,424,849 | |
$ 5,842,876 | |||
Automobiles — 0.7% | |||
Harley-Davidson, Inc. | 39,525 | $ 1,061,246 | |
$ 1,061,246 | |||
Banks — 4.4% | |||
Commerce Bancshares, Inc. | 61,613 | $ 2,702,346 | |
Community Bank System, Inc. | 22,549 | 900,833 | |
SouthState Corp. | 37,538 | 2,481,262 | |
Stock Yards Bancorp, Inc. | 25,477 | 996,405 | |
$ 7,080,846 | |||
Building Products — 5.9% | |||
AAON, Inc. | 44,949 | $ 2,448,822 | |
AZEK Co., Inc. (The), Class A(1) | 108,752 | 2,849,302 | |
CSW Industrials, Inc. | 16,112 | 2,856,013 | |
Hayward Holdings, Inc.(1) | 77,843 | 817,352 | |
Janus International Group, Inc.(1) | 59,625 | 558,090 | |
$ 9,529,579 | |||
Capital Markets — 2.6% | |||
Cohen & Steers, Inc. | 40,159 | $ 2,097,906 | |
Stifel Financial Corp. | 35,954 | 2,049,378 | |
$ 4,147,284 | |||
Chemicals — 1.6% | |||
Quaker Chemical Corp. | 18,227 | $ 2,619,584 | |
$ 2,619,584 | |||
Commercial Services & Supplies — 1.1% | |||
Rentokil Initial PLC ADR | 67,736 | $ 1,733,364 | |
$ 1,733,364 |
Security | Shares | Value | |
Consumer Staples Distribution & Retail — 4.1% | |||
Casey's General Stores, Inc. | 11,178 | $ 3,039,410 | |
Chefs' Warehouse, Inc. (The)(1) | 35,174 | 669,361 | |
Performance Food Group Co.(1) | 51,067 | 2,949,630 | |
$ 6,658,401 | |||
Containers & Packaging — 2.7% | |||
AptarGroup, Inc. | 35,953 | $ 4,395,973 | |
$ 4,395,973 | |||
Diversified Consumer Services — 0.5% | |||
Bright Horizons Family Solutions, Inc.(1) | 10,879 | $ 805,699 | |
$ 805,699 | |||
Diversified REITs — 2.6% | |||
Essential Properties Realty Trust, Inc. | 194,237 | $ 4,263,502 | |
$ 4,263,502 | |||
Electric Utilities — 1.3% | |||
IDACORP, Inc. | 22,219 | $ 2,104,362 | |
$ 2,104,362 | |||
Financial Services — 1.1% | |||
Euronet Worldwide, Inc.(1) | 22,664 | $ 1,741,502 | |
$ 1,741,502 | |||
Food Products — 2.3% | |||
J&J Snack Foods Corp. | 13,818 | $ 2,164,037 | |
Lancaster Colony Corp. | 4,689 | 793,238 | |
Simply Good Foods Co. (The)(1) | 20,626 | 769,144 | |
$ 3,726,419 | |||
Gas Utilities — 2.3% | |||
ONE Gas, Inc. | 62,703 | $ 3,787,261 | |
$ 3,787,261 | |||
Ground Transportation — 1.5% | |||
Landstar System, Inc. | 14,840 | $ 2,445,335 | |
$ 2,445,335 | |||
Health Care Equipment & Supplies — 5.1% | |||
Envista Holdings Corp.(1) | 105,996 | $ 2,466,527 | |
ICU Medical, Inc.(1) | 7,870 | 771,732 | |
Integer Holdings Corp.(1) | 21,521 | 1,746,860 |
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
Integra LifeSciences Holdings Corp.(1) | 19,673 | $ 707,441 | |
Neogen Corp.(1) | 176,677 | 2,630,720 | |
$ 8,323,280 | |||
Health Care Providers & Services — 9.6% | |||
Addus HomeCare Corp.(1) | 12,975 | $ 1,023,727 | |
Agiliti, Inc.(1) | 62,037 | 349,268 | |
Chemed Corp. | 9,941 | 5,593,304 | |
Option Care Health, Inc.(1) | 66,117 | 1,833,424 | |
Premier, Inc., Class A | 33,499 | 643,851 | |
R1 RCM, Inc.(1) | 208,878 | 2,462,672 | |
U.S. Physical Therapy, Inc. | 43,652 | 3,671,570 | |
$ 15,577,816 | |||
Hotels, Restaurants & Leisure — 4.2% | |||
Papa John's International, Inc. | 15,568 | $ 1,012,231 | |
Texas Roadhouse, Inc. | 10,134 | 1,029,007 | |
Wyndham Hotels & Resorts, Inc. | 65,602 | 4,749,585 | |
$ 6,790,823 | |||
Industrial REITs — 4.3% | |||
EastGroup Properties, Inc. | 22,005 | $ 3,592,316 | |
Rexford Industrial Realty, Inc. | 28,203 | 1,219,498 | |
Terreno Realty Corp. | 40,692 | 2,168,070 | |
$ 6,979,884 | |||
Insurance — 9.0% | |||
AMERISAFE, Inc. | 28,060 | $ 1,430,218 | |
RLI Corp. | 23,812 | 3,172,711 | |
Ryan Specialty Holdings, Inc.(1) | 55,838 | 2,412,201 | |
Selective Insurance Group, Inc. | 33,135 | 3,449,685 | |
White Mountains Insurance Group, Ltd. | 2,897 | 4,144,883 | |
$ 14,609,698 | |||
Leisure Products — 0.6% | |||
Brunswick Corp. | 13,719 | $ 953,059 | |
$ 953,059 | |||
Machinery — 2.8% | |||
Albany International Corp., Class A | 19,957 | $ 1,628,691 | |
Middleby Corp.(1) | 25,649 | 2,895,002 | |
$ 4,523,693 | |||
Professional Services — 4.4% | |||
CBIZ, Inc.(1) | 102,511 | $ 5,326,472 |
Security | Shares | Value | |
Professional Services (continued) | |||
NV5 Global, Inc.(1) | 19,154 | $ 1,807,180 | |
$ 7,133,652 | |||
Retail REITs — 1.2% | |||
NETSTREIT Corp. | 139,681 | $ 1,990,454 | |
$ 1,990,454 | |||
Software — 7.8% | |||
Altair Engineering, Inc., Class A(1) | 43,972 | $ 2,731,541 | |
Clearwater Analytics Holdings, Inc., Class A(1) | 108,405 | 1,959,962 | |
Envestnet, Inc.(1) | 63,643 | 2,354,791 | |
PowerSchool Holdings, Inc., Class A(1) | 44,207 | 880,603 | |
Progress Software Corp. | 44,923 | 2,308,144 | |
SPS Commerce, Inc.(1) | 14,429 | 2,313,546 | |
$ 12,548,587 | |||
Specialized REITs — 1.4% | |||
CubeSmart | 64,989 | $ 2,215,475 | |
$ 2,215,475 | |||
Specialty Retail — 3.7% | |||
Burlington Stores, Inc.(1) | 6,791 | $ 821,915 | |
RH (1) | 3,530 | 769,399 | |
Valvoline, Inc. | 145,360 | 4,312,831 | |
$ 5,904,145 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
Steven Madden, Ltd. | 22,477 | $ 737,021 | |
$ 737,021 | |||
Trading Companies & Distributors — 3.3% | |||
Core & Main, Inc., Class A(1) | 146,343 | $ 4,401,997 | |
Herc Holdings, Inc. | 9,350 | 998,487 | |
$ 5,400,484 | |||
Total Common Stocks (identified cost $143,641,542) | $160,085,413 |
Short-Term Investments — 0.9% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(2) | 1,508,206 | $ 1,508,206 | |
Total Short-Term Investments (identified cost $1,508,206) | $ 1,508,206 | ||
Total Investments — 99.9% (identified cost $145,149,748) | $161,593,619 | ||
Other Assets, Less Liabilities — 0.1% | $ 176,715 | ||
Net Assets — 100.0% | $161,770,334 |
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 October 31, 2023. |
Abbreviations: | |
ADR | – American Depositary Receipt |
REITs | – Real Estate Investment Trusts |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $143,641,542) | $ 160,085,413 |
Affiliated investments, at value (identified cost $1,508,206) | 1,508,206 |
Dividends receivable | 41,051 |
Dividends receivable from affiliated investments | 6,470 |
Receivable for investments sold | 525,733 |
Trustees' deferred compensation plan | 56,591 |
Total assets | $162,223,464 |
Liabilities | |
Payable for investments purchased | $ 236,006 |
Payable to affiliates: | |
Investment adviser fee | 88,896 |
Trustees' fees | 1,038 |
Trustees' deferred compensation plan | 56,591 |
Accrued expenses | 70,599 |
Total liabilities | $ 453,130 |
Net Assets applicable to investors' interest in Portfolio | $161,770,334 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income | $ 2,310,027 |
Dividend income from affiliated investments | 119,756 |
Total investment income | $ 2,429,783 |
Expenses | |
Investment adviser fee | $ 1,140,367 |
Trustees’ fees and expenses | 12,138 |
Custodian fee | 49,542 |
Legal and accounting services | 40,422 |
Miscellaneous | 10,128 |
Total expenses | $ 1,252,597 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 4,291 |
Total expense reductions | $ 4,291 |
Net expenses | $ 1,248,306 |
Net investment income | $ 1,181,477 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 6,239,441(1) |
Net realized gain | $ 6,239,441 |
Change in unrealized appreciation (depreciation): | |
Investments | $ (19,977,504) |
Net change in unrealized appreciation (depreciation) | $(19,977,504) |
Net realized and unrealized loss | $(13,738,063) |
Net decrease in net assets from operations | $(12,556,586) |
(1) | Includes $3,629,618 of net realized gains from redemptions in-kind. |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,181,477 | $ 793,887 |
Net realized gain | 6,239,441 (1) | 9,133,748 (2) |
Net change in unrealized appreciation (depreciation) | (19,977,504) | (36,265,894) |
Net decrease in net assets from operations | $ (12,556,586) | $ (26,338,259) |
Capital transactions: | ||
Contributions | $ 5,986,402 | $ 7,915,041 |
Withdrawals | (11,288,950) | (17,215,619) |
Net decrease in net assets from capital transactions | $ (5,302,548) | $ (9,300,578) |
Net decrease in net assets | $ (17,859,134) | $ (35,638,837) |
Net Assets | ||
At beginning of year | $ 179,629,468 | $ 215,268,305 |
At end of year | $161,770,334 | $179,629,468 |
(1) | Includes $3,629,618 of net realized gains from redemptions in-kind. |
(2) | Includes $5,199,110 of net realized gains from redemptions in-kind. |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.68% (1) | 0.69% (1) | 0.68% | 0.69% | 0.69% |
Net investment income | 0.65% | 0.41% | 0.27% | 0.54% | 0.51% |
Portfolio Turnover | 38% | 43% | 40% | 44% | 51% |
Total Return | (7.19)% | (12.42)% | 42.69% | (2.63)% | 12.82% |
Net assets, end of year (000’s omitted) | $161,770 | $179,629 | $215,268 | $155,429 | $178,500 |
(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 years ended October 31, 2023 and 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% |
Aggregate cost | $ 145,797,562 |
Gross unrealized appreciation | $ 29,206,291 |
Gross unrealized depreciation | (13,410,234) |
Net unrealized appreciation | $ 15,796,057 |
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 | $35,787,135 | $(39,709,158) | $ — | $ — | $1,508,206 | $119,756 | 1,508,206 |
• | 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 | $ 160,085,413* | $ — | $ — | $ 160,085,413 |
Short-Term Investments | 1,508,206 | — | — | 1,508,206 |
Total Investments | $ 161,593,619 | $ — | $ — | $161,593,619 |
* | The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments. |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President of the Trust | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
R. Kelly Williams, Jr. 1971 | President of the Portfolio | Since 2023 | President and Chief Operating Officer of Atlanta Capital Management Company, LLC. Officer of 21 registered investment companies managed by Eaton Vance or BMR. |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 12/27/1999 | 12/27/1999 | (2.32)% | 6.38% | 7.58% |
Class A with 5.25% Maximum Sales Charge | — | — | (7.45) | 5.24 | 7.00 |
Class C at NAV | 01/24/2000 | 01/24/2000 | (3.05) | 5.58 | 6.93 |
Class C with 1% Maximum Deferred Sales Charge | — | — | (4.01) | 5.58 | 6.93 |
Class I at NAV | 11/30/2007 | 12/27/1999 | (2.08) | 6.65 | 7.84 |
Russell 1000® Value Index | — | — | 0.13% | 6.59% | 7.59% |
% 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 | 12/27/1999 | 12/27/1999 | (2.74)% | 4.79% | 6.19% |
Class A After Taxes on Distributions and Sale of Fund Shares | — | — | (0.91) | 4.16 | 5.50 |
Class C After Taxes on Distributions | 01/24/2000 | 01/24/2000 | (3.34) | 5.30 | 6.25 |
Class C After Taxes on Distributions and Sale of Fund Shares | — | — | (1.49) | 4.43 | 5.47 |
Class I After Taxes on Distributions | 11/30/2007 | 12/27/1999 | (2.56) | 6.15 | 6.96 |
Class I After Taxes on Distributions and Sale of Fund Shares | — | — | (0.72) | 5.30 | 6.20 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
1.21% | 1.96% | 0.96% |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $19,549 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $2,127,973 | N.A. |
Sector Allocation (% of net assets)1 |
Top 10 Holdings (% of net assets)1 | |
JPMorgan Chase & Co. | 3.9% |
Chevron Corp. | 3.2 |
Constellation Brands, Inc., Class A | 3.1 |
Home Depot, Inc. (The) | 2.8 |
NextEra Energy, Inc. | 2.8 |
Sempra | 2.8 |
Charles Schwab Corp. (The) | 2.7 |
Ingersoll Rand, Inc. | 2.6 |
Micron Technology, Inc. | 2.6 |
Eli Lilly & Co. | 2.4 |
Total | 28.9% |
1 | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. |
Additional Information | |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. 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. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international securities listed on Nasdaq. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 942.20 | $5.68 | 1.16% |
Class C | $1,000.00 | $ 938.60 | $9.33 | 1.91% |
Class I | $1,000.00 | $ 943.30 | $4.46 | 0.91% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.36 | $5.90 | 1.16% |
Class C | $1,000.00 | $1,015.58 | $9.70 | 1.91% |
Class I | $1,000.00 | $1,020.62 | $4.63 | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio. |
October 31, 2023 | |
Assets | |
Investment in Tax-Managed Value Portfolio, at value (identified cost $335,151,633) | $ 666,234,105 |
Receivable for Fund shares sold | 436,492 |
Total assets | $666,670,597 |
Liabilities | |
Payable for Fund shares redeemed | $ 1,501,793 |
Payable to affiliates: | |
Administration fee | 86,664 |
Distribution and service fees | 103,985 |
Trustees' fees | 42 |
Accrued expenses | 149,892 |
Total liabilities | $ 1,842,376 |
Net Assets | $664,828,221 |
Sources of Net Assets | |
Paid-in capital | $ 364,081,284 |
Distributable earnings | 300,746,937 |
Net Assets | $664,828,221 |
Class A Shares | |
Net Assets | $ 399,602,740 |
Shares Outstanding | 12,080,847 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 33.08 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 34.91 |
Class C Shares | |
Net Assets | $ 19,793,929 |
Shares Outstanding | 625,487 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 31.65 |
Class I Shares | |
Net Assets | $ 245,431,552 |
Shares Outstanding | 7,445,580 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 32.96 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $58,034) | $ 15,109,773 |
Securities lending income allocated from Portfolio, net | 17,373 |
Expenses allocated from Portfolio | (4,926,605) |
Total investment income from Portfolio | $ 10,200,541 |
Expenses | |
Administration fee | $ 1,079,096 |
Distribution and service fees: | |
Class A | 1,081,926 |
Class C | 229,864 |
Trustees’ fees and expenses | 499 |
Custodian fee | 47,413 |
Transfer and dividend disbursing agent fees | 314,759 |
Legal and accounting services | 34,508 |
Printing and postage | 39,395 |
Registration fees | 53,496 |
ReFlow liquidity program fees | 58,247 |
Miscellaneous | 15,483 |
Total expenses | $ 2,954,686 |
Net investment income | $ 7,245,855 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ 37,251,006(1) |
Foreign currency transactions | 1,516 |
Net realized gain | $ 37,252,522 |
Change in unrealized appreciation (depreciation): | |
Investments | $ (59,130,199) |
Foreign currency | 17,449 |
Net change in unrealized appreciation (depreciation) | $(59,112,750) |
Net realized and unrealized loss | $(21,860,228) |
Net decrease in net assets from operations | $(14,614,373) |
(1) | Includes $21,085,534 of net realized gains from redemptions in-kind. |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 7,245,855 | $ 9,370,753 |
Net realized gain | 37,252,522 (1) | 25,367,482 (2) |
Net change in unrealized appreciation (depreciation) | (59,112,750) | (105,776,261) |
Net decrease in net assets from operations | $ (14,614,373) | $ (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 | $ (13,926,797) | $ (428,147) |
Class C | (3,598,530) | 1,562,566 |
Class I | (6,008,615) | 17,784,670 |
Net increase (decrease) in net assets from Fund share transactions | $ (23,533,942) | $ 18,919,089 |
Net decrease in net assets | $ (54,108,682) | $ (88,350,792) |
Net Assets | ||
At beginning of year | $ 718,936,903 | $ 807,287,695 |
At end of year | $664,828,221 | $ 718,936,903 |
(1) | Includes $21,085,534 of net realized gains from redemptions in-kind. |
(2) | Includes $17,763,343 of net realized gains from redemptions in-kind. |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 34.610 | $ 39.770 | $ 28.170 | $ 29.890 | $ 27.000 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.329 | $ 0.425 | $ 0.286 | $ 0.354 | $ 0.344 |
Net realized and unrealized gain (loss) | (1.111) | (3.833) | 11.731 | (1.720) | 2.931 |
Total income (loss) from operations | $ (0.782) | $ (3.408) | $ 12.017 | $ (1.366) | $ 3.275 |
Less Distributions | |||||
From net investment income | $ (0.387) | $ (0.307) | $ (0.341) | $ (0.339) | $ (0.278) |
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) |
Net asset value — End of year | $ 33.080 | $ 34.610 | $ 39.770 | $ 28.170 | $ 29.890 |
Total Return(2) | (2.32)% | (8.95)% | 43.03% | (4.66)% | 12.35% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $399,603 | $431,902 | $497,565 | $362,651 | $417,533 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.16% (4) | 1.16% (4) | 1.15% | 1.17% | 1.18% |
Net investment income | 0.94% | 1.18% | 0.80% | 1.25% | 1.24% |
Portfolio Turnover of the Portfolio | 31% | 29% | 11% | 25% | 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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 33.140 | $ 38.170 | $ 27.020 | $ 28.580 | $ 25.810 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.066 | $ 0.148 | $ 0.018 | $ 0.137 | $ 0.150 |
Net realized and unrealized gain (loss) | (1.061) | (3.677) | 11.278 | (1.673) | 2.794 |
Total income (loss) from operations | $ (0.995) | $ (3.529) | $11.296 | $ (1.536) | $ 2.944 |
Less Distributions | |||||
From net investment income | $ (0.134) | $ (0.056) | $ (0.070) | $ (0.009) | $ (0.067) |
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) |
Net asset value — End of year | $31.650 | $33.140 | $38.170 | $27.020 | $28.580 |
Total Return(2) | (3.05)% | (9.61)% | 41.94% | (5.38)% | 11.50% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 19,794 | $ 24,304 | $ 26,389 | $ 20,066 | $ 26,672 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 1.91% (4) | 1.91% (4) | 1.90% | 1.92% | 1.93% |
Net investment income | 0.20% | 0.43% | 0.05% | 0.50% | 0.58% |
Portfolio Turnover of the Portfolio | 31% | 29% | 11% | 25% | 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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 34.510 | $ 39.650 | $ 28.080 | $ 29.790 | $ 26.920 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.414 | $ 0.512 | $ 0.373 | $ 0.421 | $ 0.411 |
Net realized and unrealized gain (loss) | (1.123) | (3.807) | 11.690 | (1.707) | 2.914 |
Total income (loss) from operations | $ (0.709) | $ (3.295) | $ 12.063 | $ (1.286) | $ 3.325 |
Less Distributions | |||||
From net investment income | $ (0.480) | $ (0.400) | $ (0.417) | $ (0.409) | $ (0.348) |
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) |
Net asset value — End of year | $ 32.960 | $ 34.510 | $ 39.650 | $ 28.080 | $ 29.790 |
Total Return(2) | (2.08)% | (8.70)% | 43.41% | (4.42)% | 12.61% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $245,432 | $262,732 | $283,334 | $189,549 | $195,921 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses | 0.91% (4) | 0.91% (4) | 0.90% | 0.92% | 0.93% |
Net investment income | 1.19% | 1.42% | 1.05% | 1.49% | 1.49% |
Portfolio Turnover of the Portfolio | 31% | 29% | 11% | 25% | 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. |
(3) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $8,514,487 | $ 6,941,399 |
Long-term capital gains | $7,445,880 | $29,290,456 |
Undistributed ordinary income | $ 4,466,562 |
Undistributed long-term capital gains | 18,328,909 |
Net unrealized appreciation | 277,951,466 |
Distributable earnings | $300,746,937 |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 347,876 | $ 12,154,003 | 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 | (981,152) | (34,120,534) | (974,887) | (35,334,669) | |
Net decrease | (396,465) | $(13,926,797) | (34,066) | $ (428,147) | |
Class C | |||||
Sales | 76,735 | $ 2,579,066 | 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 | (194,674) | (6,507,162) | (151,235) | (5,202,073) | |
Net increase (decrease) | (107,857) | $ (3,598,530) | 42,055 | $ 1,562,566 | |
Class I | |||||
Sales | 1,650,812 | $ 57,264,037 | 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 | (1,988,179) | (68,975,271) | (2,160,896) | (77,482,799) | |
Net increase (decrease) | (168,451) | $ (6,008,615) | 467,717 | $ 17,784,670 |
Boston, Massachusetts
December 19, 2023
corporations, capital gains dividends and 163(j) interest dividends.
Common Stocks — 97.0% |
Security | Shares | Value | |
Aerospace & Defense — 1.1% | |||
RTX Corp. | 113,000 | $ 9,197,070 | |
$ 9,197,070 | |||
Banks — 6.8% | |||
JPMorgan Chase & Co. | 230,958 | $ 32,117,019 | |
PNC Financial Services Group, Inc. (The) | 142,029 | 16,258,060 | |
Wells Fargo & Co. | 188,847 | 7,510,445 | |
$ 55,885,524 | |||
Beverages — 3.1% | |||
Constellation Brands, Inc., Class A | 108,163 | $ 25,326,367 | |
$ 25,326,367 | |||
Biotechnology — 0.9% | |||
Vertex Pharmaceuticals, Inc.(1) | 20,039 | $ 7,256,322 | |
$ 7,256,322 | |||
Building Products — 0.7% | |||
Carrier Global Corp. | 113,000 | $ 5,385,580 | |
$ 5,385,580 | |||
Capital Markets — 6.7% | |||
Ameriprise Financial, Inc. | 28,187 | $ 8,866,785 | |
Cboe Global Markets, Inc. | 22,561 | 3,697,522 | |
Charles Schwab Corp. (The) | 434,452 | 22,608,882 | |
Goldman Sachs Group, Inc. (The) | 42,496 | 12,902,210 | |
Interactive Brokers Group, Inc., Class A | 90,310 | 7,231,122 | |
$ 55,306,521 | |||
Chemicals — 3.4% | |||
FMC Corp. | 158,439 | $ 8,428,955 | |
Linde PLC | 50,216 | 19,190,546 | |
$ 27,619,501 | |||
Consumer Staples Distribution & Retail — 2.8% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 284,500 | $ 19,380,140 | |
Performance Food Group Co.(1) | 59,613 | 3,443,247 | |
$ 22,823,387 |
Security | Shares | Value | |
Containers & Packaging — 0.3% | |||
Ball Corp. | 46,376 | $ 2,233,004 | |
$ 2,233,004 | |||
Electric Utilities — 2.8% | |||
NextEra Energy, Inc. | 392,766 | $ 22,898,258 | |
$ 22,898,258 | |||
Electrical Equipment — 1.1% | |||
Rockwell Automation, Inc. | 33,916 | $ 8,913,464 | |
$ 8,913,464 | |||
Energy Equipment & Services — 1.7% | |||
Halliburton Co. | 359,854 | $ 14,156,656 | |
$ 14,156,656 | |||
Entertainment — 1.5% | |||
Walt Disney Co. (The)(1) | 147,913 | $ 12,068,222 | |
$ 12,068,222 | |||
Financial Services — 3.1% | |||
Fiserv, Inc.(1) | 133,560 | $ 15,192,450 | |
Visa, Inc., Class A | 44,697 | 10,508,265 | |
$ 25,700,715 | |||
Food Products — 1.2% | |||
Nestle S.A. | 90,000 | $ 9,705,485 | |
$ 9,705,485 | |||
Ground Transportation — 1.3% | |||
Union Pacific Corp. | 50,876 | $ 10,562,366 | |
$ 10,562,366 | |||
Health Care Equipment & Supplies — 1.9% | |||
Stryker Corp. | 58,093 | $ 15,697,891 | |
$ 15,697,891 | |||
Health Care Providers & Services — 2.2% | |||
Humana, Inc. | 11,106 | $ 5,816,101 | |
McKesson Corp. | 5,281 | 2,404,756 | |
UnitedHealth Group, Inc. | 18,719 | 10,025,148 | |
$ 18,246,005 | |||
Household Durables — 1.3% | |||
D.R. Horton, Inc. | 99,360 | $ 10,373,184 | |
$ 10,373,184 |
Security | Shares | Value | |
Household Products — 0.5% | |||
Clorox Co. (The) | 35,258 | $ 4,149,867 | |
$ 4,149,867 | |||
Industrial Conglomerates — 1.9% | |||
Honeywell International, Inc. | 83,731 | $ 15,344,543 | |
$ 15,344,543 | |||
Insurance — 4.1% | |||
Arch Capital Group, Ltd.(1) | 183,981 | $ 15,947,473 | |
Reinsurance Group of America, Inc. | 49,257 | 7,362,444 | |
Travelers Cos., Inc. (The) | 64,030 | 10,721,183 | |
$ 34,031,100 | |||
Interactive Media & Services — 2.2% | |||
Alphabet, Inc., Class A(1) | 148,159 | $ 18,383,569 | |
$ 18,383,569 | |||
IT Services — 0.5% | |||
Accenture PLC, Class A | 14,366 | $ 4,267,995 | |
$ 4,267,995 | |||
Life Sciences Tools & Services — 2.2% | |||
Thermo Fisher Scientific, Inc. | 40,907 | $ 18,194,206 | |
$ 18,194,206 | |||
Machinery — 7.0% | |||
Ingersoll Rand, Inc. | 353,722 | $ 21,463,851 | |
Otis Worldwide Corp. | 56,500 | 4,362,365 | |
Parker-Hannifin Corp. | 32,913 | 12,141,935 | |
Toro Co. (The) | 44,934 | 3,632,464 | |
Westinghouse Air Brake Technologies Corp. | 150,850 | 15,993,117 | |
$ 57,593,732 | |||
Metals & Mining — 0.7% | |||
Alcoa Corp. | 231,367 | $ 5,932,250 | |
$ 5,932,250 | |||
Multi-Utilities — 3.2% | |||
CMS Energy Corp. | 68,853 | $ 3,741,472 | |
Sempra | 325,074 | 22,764,932 | |
$ 26,506,404 | |||
Oil, Gas & Consumable Fuels — 8.8% | |||
Chevron Corp. | 182,306 | $ 26,567,453 | |
ConocoPhillips | 161,617 | 19,200,100 |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
EOG Resources, Inc. | 113,483 | $ 14,327,229 | |
Phillips 66 | 109,182 | 12,454,391 | |
$ 72,549,173 | |||
Personal Care Products — 1.0% | |||
Estee Lauder Cos., Inc. (The), Class A | 61,550 | $ 7,931,949 | |
$ 7,931,949 | |||
Pharmaceuticals — 10.5% | |||
Bristol-Myers Squibb Co. | 251,751 | $ 12,972,729 | |
Eli Lilly & Co. | 36,280 | 20,096,581 | |
Johnson & Johnson | 116,398 | 17,266,479 | |
Merck & Co., Inc. | 167,049 | 17,155,932 | |
Novo Nordisk A/S ADR | 23,831 | 2,301,360 | |
Zoetis, Inc. | 106,794 | 16,766,658 | |
$ 86,559,739 | |||
Residential REITs — 2.1% | |||
AvalonBay Communities, Inc. | 47,915 | $ 7,941,432 | |
Mid-America Apartment Communities, Inc. | 77,009 | 9,098,613 | |
$ 17,040,045 | |||
Semiconductors & Semiconductor Equipment — 3.9% | |||
Micron Technology, Inc. | 310,361 | $ 20,753,840 | |
QUALCOMM, Inc. | 69,710 | 7,597,693 | |
Texas Instruments, Inc. | 24,085 | 3,420,311 | |
$ 31,771,844 | |||
Software — 1.0% | |||
Microsoft Corp. | 9,160 | $ 3,097,088 | |
Oracle Corp. | 52,884 | 5,468,205 | |
$ 8,565,293 | |||
Specialized REITs — 0.7% | |||
CubeSmart | 174,330 | $ 5,942,910 | |
$ 5,942,910 | |||
Specialty Retail — 2.8% | |||
Home Depot, Inc. (The) | 81,060 | $ 23,076,971 | |
$ 23,076,971 | |||
Total Common Stocks (identified cost $413,418,522) | $797,197,112 |
Short-Term Investments — 3.9% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(2) | 32,183,861 | $ 32,183,861 | |
Total Short-Term Investments (identified cost $32,183,861) | $ 32,183,861 | ||
Total Investments — 100.9% (identified cost $445,602,383) | $829,380,973 | ||
Other Assets, Less Liabilities — (0.9)% | $ (7,622,228) | ||
Net Assets — 100.0% | $821,758,745 |
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 October 31, 2023. |
Abbreviations: | |
ADR | – American Depositary Receipt |
REITs | – Real Estate Investment Trusts |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $413,418,522) | $ 797,197,112 |
Affiliated investments, at value (identified cost $32,183,861) | 32,183,861 |
Dividends receivable | 588,474 |
Dividends receivable from affiliated investments | 35,152 |
Receivable for investments sold | 10,523,812 |
Tax reclaims receivable | 315,289 |
Trustees' deferred compensation plan | 172,472 |
Total assets | $841,016,172 |
Liabilities | |
Payable for investments purchased | $ 18,430,228 |
Payable to affiliates: | |
Investment adviser fee | 455,897 |
Trustees' fees | 4,733 |
Trustees' deferred compensation plan | 172,472 |
Accrued expenses | 194,097 |
Total liabilities | $ 19,257,427 |
Net Assets applicable to investors' interest in Portfolio | $821,758,745 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $71,302) | $ 18,447,164 |
Dividend income from affiliated investments | 117,955 |
Securities lending income, net | 21,426 |
Total investment income | $ 18,586,545 |
Expenses | |
Investment adviser fee | $ 5,654,648 |
Trustees’ fees and expenses | 57,013 |
Custodian fee | 211,419 |
Legal and accounting services | 80,331 |
Miscellaneous | 54,764 |
Total expenses | $ 6,058,175 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 3,194 |
Total expense reductions | $ 3,194 |
Net expenses | $ 6,054,981 |
Net investment income | $ 12,531,564 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 45,676,871(1) |
Foreign currency transactions | 1,858 |
Net realized gain | $ 45,678,729 |
Change in unrealized appreciation (depreciation): | |
Investments | $ (72,902,000) |
Foreign currency | 21,334 |
Net change in unrealized appreciation (depreciation) | $(72,880,666) |
Net realized and unrealized loss | $(27,201,937) |
Net decrease in net assets from operations | $(14,670,373) |
(1) | Includes $25,897,342 of net realized gains from redemptions in-kind. |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 12,531,564 | $ 15,326,955 |
Net realized gain | 45,678,729 (1) | 31,200,330 (2) |
Net change in unrealized appreciation (depreciation) | (72,880,666) | (129,835,288) |
Net decrease in net assets from operations | $ (14,670,373) | $ (83,308,003) |
Capital transactions: | ||
Contributions | $ 11,089,671 | $ 19,403,167 |
Withdrawals | (55,288,578) | (49,804,502) |
Net decrease in net assets from capital transactions | $ (44,198,907) | $ (30,401,335) |
Net decrease in net assets | $ (58,869,280) | $(113,709,338) |
Net Assets | ||
At beginning of year | $ 880,628,025 | $ 994,337,363 |
At end of year | $821,758,745 | $ 880,628,025 |
(1) | Includes $25,897,342 of net realized gains from redemptions in-kind. |
(2) | Includes $21,802,941 of net realized gains from redemptions in-kind. |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.68% (1) | 0.68% (1) | 0.68% | 0.68% | 0.68% |
Net investment income | 1.42% | 1.65% | 1.27% | 1.73% | 1.74% |
Portfolio Turnover | 31% | 29% | 11% | 25% | 18% |
Total Return | (1.84)% | (8.51)% | 43.69% | (4.18)% | 12.90% |
Net assets, end of year (000’s omitted) | $821,759 | $880,628 | $994,337 | $704,707 | $788,248 |
(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 years ended October 31, 2023 and 2022). |
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 | $449,274,086 |
Gross unrealized appreciation | $ 383,799,341 |
Gross unrealized depreciation | (3,692,454) |
Net unrealized appreciation | $380,106,887 |
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 | $105,027,287 | $(74,981,802) | $ — | $ — | $32,183,861 | $117,955 | 32,183,861 |
• | 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 | $ 30,451,791 | $ — | $ — | $ 30,451,791 |
Consumer Discretionary | 33,450,155 | — | — | 33,450,155 |
Consumer Staples | 60,231,570 | 9,705,485 | — | 69,937,055 |
Energy | 86,705,829 | — | — | 86,705,829 |
Financials | 170,923,860 | — | — | 170,923,860 |
Health Care | 145,954,163 | — | — | 145,954,163 |
Industrials | 106,996,755 | — | — | 106,996,755 |
Information Technology | 44,605,132 | — | — | 44,605,132 |
Materials | 35,784,755 | — | — | 35,784,755 |
Real Estate | 22,982,955 | — | — | 22,982,955 |
Utilities | 49,404,662 | — | — | 49,404,662 |
Total Common Stocks | $787,491,627 | $ 9,705,485* | $ — | $797,197,112 |
Short-Term Investments | $ 32,183,861 | $ — | $ — | $ 32,183,861 |
Total Investments | $819,675,488 | $ 9,705,485 | $ — | $829,380,973 |
* | 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. |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust and the Portfolio. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987- 1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (since 2021 - 2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser(1) 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President of the Trust | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management `Classic' (2009-2020). |
R. Kelly Williams, Jr. 1971 | President of the Portfolio | Since 2023 | President and Chief Operating Officer of Atlanta Capital Management Company, LLC. Officer of 21 registered investment companies managed by Eaton Vance or BMR. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Advisers Class at NAV | 03/15/2008 | 08/04/1989 | 11.92% | 3.44% | 3.85% |
Class A at NAV | 03/17/2008 | 08/04/1989 | 11.91 | 3.43 | 3.84 |
Class A with 3.25% Maximum Sales Charge | — | — | 8.31 | 2.74 | 3.49 |
Class C at NAV | 03/15/2008 | 08/04/1989 | 11.48 | 2.95 | 3.42 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 10.48 | 2.95 | 3.42 |
Class I at NAV | 03/15/2008 | 08/04/1989 | 12.19 | 3.70 | 4.10 |
Class R6 at NAV | 05/31/2019 | 08/04/1989 | 12.35 | 3.75 | 4.12 |
Morningstar® LSTA® US Leveraged Loan IndexSM | — | — | 11.92% | 4.46% | 4.22% |
% 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 | 20.61% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Advisers Class | $10,000 | 10/31/2013 | $14,591 | N.A. |
Class C | $10,000 | 10/31/2013 | $14,007 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,494,414 | N.A. |
Class R6, at minimum investment | $5,000,000 | 10/31/2013 | $7,487,991 | N.A. |
Top 10 Issuers (% of total investments)1 | |
TransDigm, Inc. | 1.2% |
Carnival Corporation | 1.1 |
Epicor Software Corporation | 1.1 |
Uber Technologies, Inc. | 0.9 |
Applied Systems, Inc. | 0.9 |
ICON Luxembourg S.a.r.l. | 0.9 |
Asurion LLC | 0.9 |
Go Daddy Operating Company, LLC | 0.8 |
American Airlines, Inc. | 0.8 |
Select Medical Corporation | 0.8 |
Total | 9.4% |
Top 10 Sectors (% of total investments)1 | |
Software | 13.3% |
Machinery | 5.2 |
Hotels, Restaurants & Leisure | 5.1 |
Capital Markets | 5.0 |
Chemicals | 5.0 |
Health Care Providers & Services | 4.9 |
IT Services | 4.6 |
Commercial Services & Supplies | 2.8 |
Trading Companies & Distributors | 2.8 |
Professional Services | 2.7 |
Total | 51.4% |
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. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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 (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Advisers Class | $1,000.00 | $1,049.40 | $15.03 | 2.91% |
Class A | $1,000.00 | $1,049.40 | $15.03 | 2.91% |
Class C | $1,000.00 | $1,047.90 | $17.60 | 3.41% |
Class I | $1,000.00 | $1,050.70 | $13.75 | 2.66% |
Class R6 | $1,000.00 | $1,050.80 | $13.80 | 2.67% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Advisers Class | $1,000.00 | $1,010.54 | $14.75 | 2.91% |
Class A | $1,000.00 | $1,010.54 | $14.75 | 2.91% |
Class C | $1,000.00 | $1,008.02 | $17.26 | 3.41% |
Class I | $1,000.00 | $1,011.80 | $13.49 | 2.66% |
Class R6 | $1,000.00 | $1,011.75 | $13.54 | 2.67% |
* | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio. |
October 31, 2023 | |
Assets | |
Investment in Senior Debt Portfolio, at value (identified cost $6,139,877,950) | $ 5,652,234,655 |
Receivable for Fund shares sold | 17,330,249 |
Total assets | $ 5,669,564,904 |
Liabilities | |
Payable for Fund shares redeemed | $ 21,011,869 |
Distributions payable | 7,185,413 |
Payable to affiliates: | |
Administration fee | 480,403 |
Distribution and service fees | 447,128 |
Trustees' fees | 42 |
Accrued expenses | 1,129,199 |
Total liabilities | $ 30,254,054 |
Net Assets | $ 5,639,310,850 |
Sources of Net Assets | |
Paid-in capital | $ 6,945,461,702 |
Accumulated loss | (1,306,150,852) |
Net Assets | $ 5,639,310,850 |
Advisers Class Shares | |
Net Assets | $ 67,432,304 |
Shares Outstanding | 6,833,150 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.87 |
Class A Shares | |
Net Assets | $ 1,141,067,240 |
Shares Outstanding | 115,602,752 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.87 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 10.20 |
Class C Shares | |
Net Assets | $ 294,805,275 |
Shares Outstanding | 29,919,752 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.85 |
Class I Shares | |
Net Assets | $ 4,120,652,688 |
Shares Outstanding | 417,509,146 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.87 |
October 31, 2023 | |
Class R6 Shares | |
Net Assets | $15,353,343 |
Shares Outstanding | 1,555,356 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.87 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio | $ 9,619,251 |
Interest and other income allocated from Portfolio | 674,823,521 |
Expenses, excluding interest expense, allocated from Portfolio | (34,167,349) |
Interest expense allocated from Portfolio | (108,629,886) |
Total investment income from Portfolio | $ 541,645,537 |
Expenses | |
Administration fee | $ 5,989,812 |
Distribution and service fees: | |
Advisers Class | 180,008 |
Class A | 2,959,713 |
Class C | 2,415,108 |
Trustees’ fees and expenses | 500 |
Custodian fee | 62,000 |
Transfer and dividend disbursing agent fees | 3,819,326 |
Legal and accounting services | 187,292 |
Printing and postage | 324,745 |
Registration fees | 228,636 |
Miscellaneous | 60,918 |
Total expenses | $ 16,228,058 |
Net investment income | $ 525,417,479 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions | $ (244,251,251) |
Foreign currency transactions | 2,393,529 |
Forward foreign currency exchange contracts | (63,924,681) |
Net realized loss | $(305,782,403) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 460,425,398 |
Foreign currency | 449,059 |
Forward foreign currency exchange contracts | 10,614,125 |
Net change in unrealized appreciation (depreciation) | $ 471,488,582 |
Net realized and unrealized gain | $ 165,706,179 |
Net increase in net assets from operations | $ 691,123,658 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 525,417,479 | $ 410,387,965 |
Net realized gain (loss) | (305,782,403) | 58,565,060 |
Net change in unrealized appreciation (depreciation) | 471,488,582 | (889,862,264) |
Net increase (decrease) in net assets from operations | $ 691,123,658 | $ (420,909,239) |
Distributions to shareholders: | ||
Advisers Class | $ (6,268,276) | $ (4,262,210) |
Class A | (103,262,365) | (64,863,824) |
Class C | (26,443,101) | (17,090,864) |
Class I | (392,701,024) | (317,923,672) |
Class R6 | (2,418,465) | (3,300,693) |
Total distributions to shareholders | $ (531,093,231) | $ (407,441,263) |
Transactions in shares of beneficial interest: | ||
Advisers Class | $ (17,430,701) | $ 2,955,057 |
Class A | (149,330,418) | 11,843,171 |
Class C | (66,155,497) | (44,912,321) |
Class I | (1,212,271,549) | (37,587,568) |
Class R6 | (9,637,466) | (107,120,998) |
Net decrease in net assets from Fund share transactions | $(1,454,825,631) | $ (174,822,659) |
Net decrease in net assets | $(1,294,795,204) | $(1,003,173,161) |
Net Assets | ||
At beginning of year | $ 6,934,106,054 | $ 7,937,279,215 |
At end of year | $ 5,639,310,850 | $ 6,934,106,054 |
Advisers Class | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.620 | $10.580 | $ 10.070 | $ 10.550 | $ 10.940 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.849 | $ 0.487 | $ 0.398 | $ 0.457 | $ 0.558 |
Net realized and unrealized gain (loss) | 0.261 | (0.966) | 0.528 | (0.473) | (0.390) |
Total income (loss) from operations | $ 1.110 | $ (0.479) | $ 0.926 | $ (0.016) | $ 0.168 |
Less Distributions | |||||
From net investment income | $ (0.860) | $ (0.481) | $ (0.416) | $ (0.464) | $ (0.558) |
Total distributions | $ (0.860) | $ (0.481) | $ (0.416) | $ (0.464) | $ (0.558) |
Net asset value — End of year | $ 9.870 | $ 9.620 | $10.580 | $10.070 | $ 10.550 |
Total Return(2) | 11.92% | (4.62)% | 9.30% | (0.05)% | 1.59% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $67,432 | $82,925 | $ 88,509 | $ 64,551 | $139,516 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses excluding interest and fees | 1.00% | 0.94% | 0.95% | 1.00% | 0.99% |
Interest and fee expense | 1.82% | 0.49% | 0.33% | 0.63% | 0.87% |
Total expenses | 2.82% (4) | 1.43% (4) | 1.28% | 1.63% | 1.86% |
Net investment income | 8.62% | 4.79% | 3.79% | 4.50% | 5.21% |
Portfolio Turnover of the Portfolio | 18% | 27% | 28% | 30% | 17% |
(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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.620 | $ 10.580 | $ 10.070 | $ 10.550 | $ 10.950 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.851 | $ 0.485 | $ 0.399 | $ 0.447 | $ 0.559 |
Net realized and unrealized gain (loss) | 0.259 | (0.964) | 0.527 | (0.463) | (0.401) |
Total income (loss) from operations | $ 1.110 | $ (0.479) | $ 0.926 | $ (0.016) | $ 0.158 |
Less Distributions | |||||
From net investment income | $ (0.860) | $ (0.481) | $ (0.416) | $ (0.464) | $ (0.558) |
Total distributions | $ (0.860) | $ (0.481) | $ (0.416) | $ (0.464) | $ (0.558) |
Net asset value — End of year | $ 9.870 | $ 9.620 | $ 10.580 | $ 10.070 | $ 10.550 |
Total Return(2) | 11.91% | (4.62)% | 9.30% | (0.05)% | 1.50% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $1,141,067 | $1,259,540 | $1,378,928 | $1,175,942 | $1,426,205 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses excluding interest and fees | 1.00% | 0.94% | 0.95% | 0.99% | 0.99% |
Interest and fee expense | 1.82% | 0.49% | 0.33% | 0.60% | 0.88% |
Total expenses | 2.82% (4) | 1.43% (4) | 1.28% | 1.59% | 1.87% |
Net investment income | 8.64% | 4.77% | 3.80% | 4.44% | 5.21% |
Portfolio Turnover of the Portfolio | 18% | 27% | 28% | 30% | 17% |
(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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.610 | $ 10.560 | $ 10.050 | $ 10.530 | $ 10.920 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.799 | $ 0.430 | $ 0.347 | $ 0.397 | $ 0.503 |
Net realized and unrealized gain (loss) | 0.250 | (0.950) | 0.526 | (0.464) | (0.390) |
Total income (loss) from operations | $ 1.049 | $ (0.520) | $ 0.873 | $ (0.067) | $ 0.113 |
Less Distributions | |||||
From net investment income | $ (0.809) | $ (0.430) | $ (0.363) | $ (0.413) | $ (0.503) |
Total distributions | $ (0.809) | $ (0.430) | $ (0.363) | $ (0.413) | $ (0.503) |
Net asset value — End of year | $ 9.850 | $ 9.610 | $ 10.560 | $ 10.050 | $ 10.530 |
Total Return(2) | 11.48% | (5.11)% | 8.77% | (0.56)% | 1.08% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $294,805 | $352,239 | $435,786 | $508,535 | $754,873 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses excluding interest and fees | 1.50% | 1.44% | 1.46% | 1.50% | 1.49% |
Interest and fee expense | 1.82% | 0.48% | 0.33% | 0.60% | 0.87% |
Total expenses | 3.32% (4) | 1.92% (4) | 1.79% | 2.10% | 2.36% |
Net investment income | 8.13% | 4.23% | 3.31% | 3.95% | 4.71% |
Portfolio Turnover of the Portfolio | 18% | 27% | 28% | 30% | 17% |
(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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.620 | $ 10.580 | $ 10.070 | $ 10.550 | $ 10.940 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.873 | $ 0.507 | $ 0.423 | $ 0.474 | $ 0.586 |
Net realized and unrealized gain (loss) | 0.262 | (0.961) | 0.529 | (0.465) | (0.392) |
Total income (loss) from operations | $ 1.135 | $ (0.454) | $ 0.952 | $ 0.009 | $ 0.194 |
Less Distributions | |||||
From net investment income | $ (0.885) | $ (0.506) | $ (0.442) | $ (0.489) | $ (0.584) |
Total distributions | $ (0.885) | $ (0.506) | $ (0.442) | $ (0.489) | $ (0.584) |
Net asset value — End of year | $ 9.870 | $ 9.620 | $ 10.580 | $ 10.070 | $ 10.550 |
Total Return(2) | 12.19% | (4.38)% | 9.57% | 0.20% | 1.84% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $4,120,653 | $5,215,271 | $5,898,403 | $3,545,676 | $4,898,901 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Expenses excluding interest and fees | 0.75% | 0.69% | 0.70% | 0.75% | 0.74% |
Interest and fee expense | 1.82% | 0.47% | 0.32% | 0.60% | 0.88% |
Total expenses | 2.57% (4) | 1.16% (4) | 1.02% | 1.35% | 1.62% |
Net investment income | 8.87% | 4.99% | 4.02% | 4.70% | 5.47% |
Portfolio Turnover of the Portfolio | 18% | 27% | 28% | 30% | 17% |
(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) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
(4) | 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 years ended October 31, 2023 and 2022). |
Class R6 | ||||||
Year Ended October 31, | Period Ended October 31, 2019(1) | |||||
2023 | 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) | $ 0.914 | $ 0.480 | $ 0.427 | $ 0.460 | $ 0.247 | |
Net realized and unrealized gain (loss) | 0.224 | (0.931) | 0.540 | (0.455) | (0.190) | |
Total income (loss) from operations | $ 1.138 | $ (0.451) | $ 0.967 | $ 0.005 | $ 0.057 | |
Less Distributions | ||||||
From net investment income | $ (0.888) | $ (0.509) | $ (0.447) | $ (0.495) | $ (0.247) | |
Total distributions | $ (0.888) | $ (0.509) | $ (0.447) | $ (0.495) | $ (0.247) | |
Net asset value — End of period | $ 9.870 | $ 9.620 | $ 10.580 | $10.060 | $10.550 | |
Total Return(3) | 12.35% | (4.36)% | 9.63% | 0.16% | 0.53% (4) | |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $15,353 | $24,131 | $135,653 | $ 33,814 | $ 10 | |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Expenses excluding interest and fees | 0.79% | 0.63% | 0.65% | 0.68% | 0.62% (6) | |
Interest and fee expense | 1.82% | 0.38% | 0.30% | 0.55% | 0.94% (6) | |
Total expenses | 2.60% (7) | 1.01% (7) | 0.95% | 1.23% | 1.56% (6) | |
Net investment income | 9.26% | 4.66% | 4.06% | 4.63% | 5.48% (6) | |
Portfolio Turnover of the Portfolio | 18% | 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 years ended October 31, 2023 and 2022). |
(8) | For the year ended October 31, 2019. |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $531,093,231 | $407,441,263 |
Undistributed ordinary income | $ 24,182,644 |
Deferred capital losses | (873,249,379) |
Net unrealized depreciation | (449,898,704) |
Distributions payable | (7,185,413) |
Accumulated loss | $(1,306,150,852) |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Advisers Class | |||||
Sales | 1,128,130 | $ 11,140,190 | 3,137,426 | $ 32,082,416 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 630,898 | 6,215,546 | 421,564 | 4,228,403 | |
Redemptions | (3,544,982) | (34,786,437) | (3,306,979) | (33,355,762) | |
Net increase (decrease) | (1,785,954) | $ (17,430,701) | 252,011 | $ 2,955,057 | |
Class A | |||||
Sales | 13,520,333 | $ 133,342,035 | 31,521,602 | $ 325,499,146 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 8,818,151 | 86,926,063 | 5,414,555 | 54,348,789 | |
Redemptions | (37,618,515) | (369,598,516) | (36,378,082) | (368,004,764) | |
Net increase (decrease) | (15,280,031) | $ (149,330,418) | 558,075 | $ 11,843,171 | |
Class C | |||||
Sales | 2,918,796 | $ 28,717,972 | 7,124,983 | $ 73,641,186 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 2,427,933 | 23,887,925 | 1,521,498 | 15,247,782 | |
Redemptions | (12,093,790) | (118,761,394) | (13,237,792) | (133,801,289) | |
Net decrease | (6,747,061) | $ (66,155,497) | (4,591,311) | $ (44,912,321) | |
Class I | |||||
Sales | 144,101,389 | $ 1,423,150,623 | 378,384,610 | $ 3,911,906,179 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 32,436,796 | 319,569,650 | 25,769,703 | 258,944,572 | |
Redemptions | (301,013,983) | (2,954,991,822) | (419,698,107) | (4,208,438,319) | |
Net decrease | (124,475,798) | $(1,212,271,549) | (15,543,794) | $ (37,587,568) | |
Class R6 | |||||
Sales | 8,134,927 | $ 80,029,817 | 10,838,711 | $ 111,166,323 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 108,951 | 1,073,201 | 213,520 | 2,159,950 | |
Redemptions | (9,198,167) | (90,740,484) | (21,370,023) | (220,447,271) | |
Net decrease | (954,289) | $ (9,637,466) | (10,317,792) | $ (107,120,998) |
Boston, Massachusetts
December 19, 2023
Asset-Backed Securities — 4.9% |
Security | Principal Amount (000's omitted) | Value | |
Alinea CLO, Ltd.: | |||
Series 2018-1A, Class D, 8.777%, (3 mo. SOFR + 3.362%), 7/20/31(1)(2) | $ | 2,500 | $ 2,403,450 |
Series 2018-1A, Class E, 11.677%, (3 mo. SOFR + 6.262%), 7/20/31(1)(2) | 3,000 | 2,621,361 | |
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 12.566%, (3 mo. SOFR + 7.172%), 1/15/32(1)(2) | 5,000 | 4,394,235 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 11.807%, (3 mo. SOFR + 6.442%), 11/10/30(1)(2) | 3,525 | 3,009,589 | |
Apidos CLO XX, Series 2015-20A, Class DR, 11.356%, (3 mo. SOFR + 5.962%), 7/16/31(1)(2) | 2,375 | 2,135,332 | |
Ares Loan Funding II, Ltd., Series 2022-ALF2A, Class ER, 13.656%, (3 mo. SOFR + 8.24%), 10/20/36(1)(2) | 1,675 | 1,642,003 | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 12.094%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 3,000 | 2,733,831 | |
Ares XLIX CLO, Ltd., Series 2018-49A, Class D, 8.674%, (3 mo. SOFR + 3.262%), 7/22/30(1)(2) | 2,500 | 2,395,640 | |
Ares XXXIIR CLO, Ltd.: | |||
Series 2014-32RA, Class C, 8.526%, (3 mo. SOFR + 3.162%), 5/15/30(1)(2) | 5,000 | 4,754,640 | |
Series 2014-32RA, Class D, 11.476%, (3 mo. SOFR + 6.111%), 5/15/30(1)(2) | 1,000 | 856,831 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 11.356%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 4,000 | 3,552,104 | |
Babson CLO, Ltd.: | |||
Series 2015-1A, Class DR, 8.277%, (3 mo. SOFR + 2.862%), 1/20/31(1)(2) | 2,500 | 2,362,727 | |
Series 2018-1A, Class C, 8.256%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 3,500 | 3,276,546 | |
Bain Capital Credit CLO, Ltd., Series 2018-1A, Class D, 8.374%, (3 mo. SOFR + 2.962%), 4/23/31(1)(2) | 5,000 | 4,651,770 | |
Battalion CLO XXII, Ltd., Series 2021-22A, Class E, 12.627%, (3 mo. SOFR + 7.212%), 1/20/35(1)(2) | 1,750 | 1,482,668 | |
Battalion CLO XXIII, Ltd., Series 2022-23A, Class D, 9.344%, (3 mo. SOFR + 3.95%), 5/19/36(1)(2) | 3,500 | 3,230,965 | |
Benefit Street Partners CLO V-B, Ltd., Series 2018-5BA, Class D, 11.627%, (3 mo. SOFR + 6.212%), 4/20/31(1)(2) | 3,500 | 3,250,653 | |
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 11.277%, (3 mo. SOFR + 5.862%), 1/20/31(1)(2) | 5,401 | 4,544,758 | |
Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class D, 8.277%, (3 mo. SOFR + 2.862%), 4/20/31(1)(2) | 1,500 | 1,419,594 | |
Benefit Street Partners CLO XVI, Ltd., Series 2018-16A, Class E, 12.364%, (3 mo. SOFR + 6.962%), 1/17/32(1)(2) | 2,250 | 2,108,072 |
Security | Principal Amount (000's omitted) | Value | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 12.006%, (3 mo. SOFR + 6.612%), 7/15/32(1)(2) | $ | 1,750 | $ 1,677,869 |
Benefit Street Partners CLO XXII, Ltd., Series 2020-22A, Class ER, 12.346%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 1,000 | 930,082 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.506%, (3 mo. SOFR + 7.112%), 1/15/35(1)(2) | 3,000 | 2,845,206 | |
Betony CLO 2, Ltd.: | |||
Series 2018-1A, Class C, 8.552%, (3 mo. SOFR + 3.162%), 4/30/31(1)(2) | 2,500 | 2,387,102 | |
Series 2018-1A, Class D, 11.302%, (3 mo. SOFR + 5.912%), 4/30/31(1)(2) | 2,525 | 2,222,104 | |
BlueMountain CLO XXIV, Ltd., Series 2019-24A, Class ER, 12.517%, (3 mo. SOFR + 7.102%), 4/20/34(1)(2) | 1,250 | 1,100,115 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 12.807%, (3 mo. SOFR + 7.392%), 10/20/34(1)(2) | 3,000 | 2,781,324 | |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 12.094%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,779,092 | |
BlueMountain CLO XXXIII, Ltd., Series 2021-33A, Class E, 12.471%, (3 mo. SOFR + 7.092%), 11/20/34(1)(2) | 2,500 | 2,322,227 | |
BlueMountain CLO XXXV, Ltd., Series 2022-35A, Class E, 13.162%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 1,884,938 | |
BlueMountain CLO, Ltd.: | |||
Series 2015-3A, Class CR, 8.277%, (3 mo. SOFR + 2.862%), 4/20/31(1)(2) | 5,000 | 4,652,830 | |
Series 2015-3A, Class DR, 11.077%, (3 mo. SOFR + 5.662%), 4/20/31(1)(2) | 3,000 | 2,510,772 | |
Series 2016-3A, Class DR, 8.726%, (3 mo. SOFR + 3.362%), 11/15/30(1)(2) | 1,500 | 1,375,377 | |
Series 2016-3A, Class ER, 11.576%, (3 mo. SOFR + 6.212%), 11/15/30(1)(2) | 1,500 | 1,224,608 | |
Series 2018-1A, Class D, 8.702%, (3 mo. SOFR + 3.312%), 7/30/30(1)(2) | 2,500 | 2,266,957 | |
Series 2018-1A, Class E, 11.602%, (3 mo. SOFR + 6.212%), 7/30/30(1)(2) | 2,000 | 1,534,322 | |
Bryant Park Funding, Ltd.: | |||
Series 2023-20A, Class D, 11.449%, (3 mo. SOFR + 6.09%), 7/15/36(1)(2) | 5,250 | 5,116,156 | |
Series 2023-21A, Class D, 10.935%, (3 mo. SOFR + 5.45%), 10/18/36(1)(2) | 4,475 | 4,445,599 | |
Canyon Capital CLO, Ltd.: | |||
Series 2012-1RA, Class E, 11.356%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 4,875 | 4,244,814 | |
Series 2016-1A, Class ER, 11.406%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 4,000 | 3,392,436 |
Security | Principal Amount (000's omitted) | Value | |
Canyon Capital CLO, Ltd.: (continued) | |||
Series 2016-2A, Class ER, 11.656%, (3 mo. SOFR + 6.262%), 10/15/31(1)(2) | $ | 4,500 | $ 3,826,125 |
Series 2018-1A, Class D, 8.556%, (3 mo. SOFR + 3.162%), 7/15/31(1)(2) | 3,000 | 2,848,887 | |
Series 2018-1A, Class E, 11.406%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 2,750 | 2,345,882 | |
Series 2019-2A, Class ER, 12.406%, (3 mo. SOFR + 7.011%), 10/15/34(1)(2) | 1,500 | 1,360,722 | |
Carlyle CLO C17, Ltd.: | |||
Series C17A, Class CR, 8.452%, (3 mo. SOFR + 3.062%), 4/30/31(1)(2) | 5,000 | 4,680,700 | |
Series C17A, Class DR, 11.652%, (3 mo. SOFR + 6.262%), 4/30/31(1)(2) | 3,500 | 2,841,314 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class CR2, 9.156%, (3 mo. SOFR + 3.762%), 1/14/32(1)(2) | 2,500 | 2,408,155 | |
Series 2012-3A, Class DR2, 12.156%, (3 mo. SOFR + 6.761%), 1/14/32(1)(2) | 1,500 | 1,251,521 | |
Series 2014-3RA, Class C, 8.599%, (3 mo. SOFR + 3.212%), 7/27/31(1)(2) | 1,000 | 924,119 | |
Series 2014-3RA, Class D, 11.049%, (3 mo. SOFR + 5.662%), 7/27/31(1)(2) | 2,150 | 1,877,116 | |
Series 2014-4RA, Class C, 8.556%, (3 mo. SOFR + 3.162%), 7/15/30(1)(2) | 2,750 | 2,542,001 | |
Series 2014-4RA, Class D, 11.306%, (3 mo. SOFR + 5.912%), 7/15/30(1)(2) | 1,500 | 1,206,492 | |
Carlyle US CLO, Ltd.: | |||
Series 2019-4A, Class DR, 11.994%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 3,000 | 2,658,969 | |
Series 2022-6A, Class DR, 10.13%, (3 mo. SOFR + 4.75%), 10/25/36(1)(2) | 2,800 | 2,809,523 | |
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 12.277%, (3 mo. SOFR + 6.862%), 7/20/34(1)(2) | 1,000 | 975,659 | |
CIFC Funding, Ltd., Series 2022-4A, Class D, 8.944%, (3 mo. SOFR + 3.55%), 7/16/35(1)(2) | 1,750 | 1,725,726 | |
Crown City CLO I, Series 2020-1A, Class DR, 12.677%, (3 mo. SOFR + 7.262%), 7/20/34(1)(2) | 250 | 223,087 | |
Dryden CLO, Ltd.: | |||
Series 2018-55A, Class D, 8.506%, (3 mo. SOFR + 3.112%), 4/15/31(1)(2) | 1,500 | 1,399,137 | |
Series 2018-55A, Class E, 11.056%, (3 mo. SOFR + 5.662%), 4/15/31(1)(2) | 2,000 | 1,749,672 | |
Series 2022-112A, Class E, 13.145%, (3 mo. SOFR + 7.78%), 8/15/34(1)(2) | 2,000 | 1,973,216 | |
Dryden Senior Loan Fund: | |||
Series 2015-41A, Class DR, 8.256%, (3 mo. SOFR + 2.862%), 4/15/31(1)(2) | 7,000 | 6,498,611 | |
Series 2015-41A, Class ER, 10.956%, (3 mo. SOFR + 5.562%), 4/15/31(1)(2) | 1,268 | 989,947 | |
Series 2016-42A, Class DR, 8.586%, (3 mo. SOFR + 3.192%), 7/15/30(1)(2) | 2,500 | 2,348,357 | |
Series 2016-42A, Class ER, 11.206%, (3 mo. SOFR + 5.812%), 7/15/30(1)(2) | 3,500 | 2,953,135 |
Security | Principal Amount (000's omitted) | Value | |
Elmwood CLO 14, Ltd., Series 2022-1A, Class E, 11.766%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | $ | 1,950 | $ 1,875,321 |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 12.553%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,000 | 1,981,362 | |
Empower CLO, Ltd., Series 2023-2A, Class D, 10.74%, (3 mo. SOFR + 5.40%), 7/15/36(1)(2) | 2,000 | 1,995,574 | |
Galaxy XXV CLO, Ltd.: | |||
Series 2015-19A, Class D1R, 12.19%, (3 mo. SOFR + 6.792%), 7/24/30(1)(2) | 2,000 | 1,769,058 | |
Series 2018-25A, Class D, 8.74%, (3 mo. SOFR + 3.362%), 10/25/31(1)(2) | 2,500 | 2,438,492 | |
Series 2018-25A, Class E, 11.59%, (3 mo. SOFR + 6.211%), 10/25/31(1)(2) | 3,500 | 3,098,378 | |
Golub Capital Partners CLO 37B, Ltd.: | |||
Series 2018-37A, Class D, 8.977%, (3 mo. SOFR + 3.562%), 7/20/30(1)(2) | 4,000 | 3,709,444 | |
Series 2018-37A, Class E, 11.427%, (3 mo. SOFR + 6.012%), 7/20/30(1)(2) | 4,750 | 4,695,978 | |
Golub Capital Partners CLO 53B, Ltd., Series 2021-53A, Class E, 12.377%, (3 mo. SOFR + 6.962%), 7/20/34(1)(2) | 1,250 | 1,141,728 | |
Golub Capital Partners CLO 58B, Ltd., Series 2021-58A, Class E, 12.45%, (3 mo. SOFR + 7.072%), 1/25/35(1)(2) | 2,500 | 2,306,540 | |
Golub Capital Partners CLO, Ltd., Series 2020-48A, Class D, 9.464%, (3 mo. SOFR + 4.062%), 4/17/33(1)(2) | 2,000 | 1,881,668 | |
Halseypoint CLO 5, Ltd., Series 2021-5A, Class E, 12.592%, (3 mo. SOFR + 7.202%), 1/30/35(1)(2) | 2,000 | 1,821,042 | |
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 12.077%, (3 mo. SOFR + 6.662%), 4/20/34(1)(2) | 1,000 | 929,261 | |
ICG US CLO, Ltd.: | |||
Series 2018-2A, Class D, 8.774%, (3 mo. SOFR + 3.362%), 7/22/31(1)(2) | 2,000 | 1,844,714 | |
Series 2018-2A, Class E, 11.424%, (3 mo. SOFR + 6.012%), 7/22/31(1)(2) | 3,000 | 2,468,892 | |
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 12.257%, (3 mo. SOFR + 6.862%), 1/18/34(1)(2) | 1,550 | 1,447,717 | |
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class ER, 12.444%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,500 | 2,464,607 | |
Marble Point CLO XXIV, Ltd., Series 2022-1A, Class D1, 9.656%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,948,968 | |
Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class DR2, 11.594%, (3 mo. SOFR + 6.182%), 10/21/30(1)(2) | 2,000 | 1,857,866 | |
Neuberger Berman CLO XXII, Ltd.: | |||
Series 2016-22A, Class DR, 8.764%, (3 mo. SOFR + 3.362%), 10/17/30(1)(2) | 2,500 | 2,405,505 | |
Series 2016-22A, Class ER, 11.724%, (3 mo. SOFR + 6.322%), 10/17/30(1)(2) | 3,000 | 2,729,217 |
Security | Principal Amount (000's omitted) | Value | |
Neuberger Berman Loan Advisers CLO 28, Ltd., Series 2018-28A, Class E, 11.277%, (3 mo. SOFR + 5.862%), 4/20/30(1)(2) | $ | 1,950 | $ 1,712,176 |
Neuberger Berman Loan Advisers CLO 48, Ltd., Series 2022-48A, Class E, 11.878%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | 2,600 | 2,473,812 | |
OCP CLO, Ltd.: | |||
Series 2022-24A, Class D, 9.216%, (3 mo. SOFR + 3.80%), 7/20/35(1)(2) | 500 | 472,812 | |
Series 2022-24A, Class E, 12.836%, (3 mo. SOFR + 7.42%), 7/20/35(1)(2) | 1,000 | 966,488 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 11.514%, (3 mo. SOFR + 6.111%), 10/17/31(1)(2) | 1,425 | 1,334,976 | |
Series 2015-1A, Class DR4, 12.141%, (3 mo. SOFR + 6.762%), 5/21/34(1)(2) | 2,000 | 1,847,830 | |
Series 2018-1A, Class D, 10.807%, (3 mo. SOFR + 5.412%), 4/18/31(1)(2) | 2,000 | 1,881,298 | |
Series 2018-2A, Class D, 11.256%, (3 mo. SOFR + 5.862%), 7/16/31(1)(2) | 2,000 | 1,928,870 | |
Series 2021-2A, Class E, 12.006%, (3 mo. SOFR + 6.612%), 7/15/34(1)(2) | 1,000 | 962,846 | |
Series 2022-1A, Class E, 11.766%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 5,500 | 5,306,378 | |
RAD CLO 5, Ltd., Series 2019-5A, Class E, 12.36%, (3 mo. SOFR + 6.962%), 7/24/32(1)(2) | 1,250 | 1,169,161 | |
RAD CLO 11, Ltd., Series 2021-11A, Class E, 11.906%, (3 mo. SOFR + 6.512%), 4/15/34(1)(2) | 750 | 711,525 | |
RAD CLO 14, Ltd., Series 2021-14A, Class E, 12.156%, (3 mo. SOFR + 6.762%), 1/15/35(1)(2) | 1,050 | 983,733 | |
Regatta XIII Funding, Ltd.: | |||
Series 2018-2A, Class C, 8.756%, (3 mo. SOFR + 3.362%), 7/15/31(1)(2) | 2,500 | 2,432,925 | |
Series 2018-2A, Class D, 11.606%, (3 mo. SOFR + 6.212%), 7/15/31(1)(2) | 5,000 | 4,067,035 | |
Regatta XIV Funding, Ltd.: | |||
Series 2018-3A, Class D, 8.84%, (3 mo. SOFR + 3.462%), 10/25/31(1)(2) | 2,500 | 2,442,735 | |
Series 2018-3A, Class E, 11.59%, (3 mo. SOFR + 6.211%), 10/25/31(1)(2) | 2,000 | 1,801,678 | |
Regatta XV Funding, Ltd., Series 2018-4A, Class D, 12.14%, (3 mo. SOFR + 6.762%), 10/25/31(1)(2) | 2,875 | 2,543,044 | |
Symphony CLO, Ltd., Series 2022-37A, Class D1, 10.846%, (3 mo. SOFR + 5.43%), 10/20/34(1)(2) | 2,500 | 2,518,007 | |
Upland CLO, Ltd.: | |||
Series 2016-1A, Class CR, 8.577%, (3 mo. SOFR + 3.162%), 4/20/31(1)(2) | 4,500 | 4,239,504 | |
Series 2016-1A, Class DR, 11.577%, (3 mo. SOFR + 6.162%), 4/20/31(1)(2) | 2,125 | 1,920,182 | |
Vibrant CLO IX, Ltd.: | |||
Series 2018-9A, Class C, 8.877%, (3 mo. SOFR + 3.462%), 7/20/31(1)(2) | 2,500 | 2,231,463 |
Security | Principal Amount (000's omitted) | Value | |
Vibrant CLO IX, Ltd.: (continued) | |||
Series 2018-9A, Class D, 11.927%, (3 mo. SOFR + 6.512%), 7/20/31(1)(2) | $ | 3,500 | $ 2,432,773 |
Vibrant CLO X, Ltd.: | |||
Series 2018-10A, Class C, 8.927%, (3 mo. SOFR + 3.512%), 10/20/31(1)(2) | 5,000 | 4,605,920 | |
Series 2018-10A, Class D, 11.867%, (3 mo. SOFR + 6.452%), 10/20/31(1)(2) | 5,000 | 3,719,755 | |
Voya CLO, Ltd.: | |||
Series 2014-1A, Class DR2, 11.657%, (3 mo. SOFR + 6.262%), 4/18/31(1)(2) | 3,250 | 2,613,543 | |
Series 2015-3A, Class CR, 8.827%, (3 mo. SOFR + 3.412%), 10/20/31(1)(2) | 2,500 | 2,177,888 | |
Series 2015-3A, Class DR, 11.877%, (3 mo. SOFR + 6.462%), 10/20/31(1)(2) | 5,500 | 4,405,318 | |
Series 2016-3A, Class CR, 8.907%, (3 mo. SOFR + 3.512%), 10/18/31(1)(2) | 2,000 | 1,813,576 | |
Series 2016-3A, Class DR, 11.737%, (3 mo. SOFR + 6.342%), 10/18/31(1)(2) | 2,375 | 1,880,140 | |
Webster Park CLO, Ltd.: | |||
Series 2015-1A, Class CR, 8.577%, (3 mo. SOFR + 3.162%), 7/20/30(1)(2) | 2,000 | 1,925,990 | |
Series 2015-1A, Class DR, 11.177%, (3 mo. SOFR + 5.762%), 7/20/30(1)(2) | 2,500 | 2,130,353 | |
Wellfleet CLO, Ltd.: | |||
Series 2021-3A, Class E, 12.756%, (3 mo. SOFR + 7.362%), 1/15/35(1)(2) | 1,050 | 884,497 | |
Series 2022-1A, Class D, 9.534%, (3 mo. SOFR + 4.14%), 4/15/34(1)(2) | 1,000 | 945,569 | |
Series 2022-1A, Class E, 13.254%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,300 | 2,130,223 | |
Series 2022-2A, Class E, 13.955%, (3 mo. SOFR + 8.56%), 10/18/35(1)(2) | 1,000 | 990,339 | |
Total Asset-Backed Securities (identified cost $315,618,680) | $ 287,354,466 |
Common Stocks — 0.7% |
Security | Shares | Value | |
Aerospace and Defense — 0.0% | |||
IAP Global Services, LLC(3)(4)(5) | 168 | $ 0 | |
$ 0 | |||
Chemicals — 0.0% | |||
Flint Campfire Topco, Ltd., Class A(3)(4)(5) | 4,095,976 | $ 0 | |
$ 0 | |||
Commercial Services & Supplies — 0.1% | |||
Monitronics International, Inc.(4)(5) | 199,603 | $ 4,191,663 |
Security | Shares | Value | |
Commercial Services & Supplies (continued) | |||
Phoenix Services International, LLC(4)(5) | 291,132 | $ 2,765,754 | |
Phoenix Services International, LLC(4)(5) | 26,562 | 252,339 | |
$ 7,209,756 | |||
Containers and Glass Products — 0.0%(6) | |||
LG Newco Holdco, Inc.(4)(5) | 342,076 | $ 1,966,937 | |
$ 1,966,937 | |||
Electronics/Electrical — 0.0%(6) | |||
Skillsoft Corp.(4)(5) | 50,519 | $ 949,757 | |
$ 949,757 | |||
Entertainment — 0.1% | |||
New Cineworld, Ltd.(4)(5) | 113,548 | $ 2,427,088 | |
$ 2,427,088 | |||
Health Care — 0.0% | |||
Akorn Holding Company, LLC(3)(4)(5) | 792,089 | $ 0 | |
$ 0 | |||
Household Durables — 0.3% | |||
Serta Simmons Bedding, Inc.(4)(5) | 1,401,999 | $ 19,627,986 | |
Serta SSB Equipment Co.(3)(4)(5) | 1,401,999 | 0 | |
$ 19,627,986 | |||
Investment Companies — 0.0%(6) | |||
Aegletes B.V.(4)(5) | 138,671 | $ 334,544 | |
Jubilee Topco, Ltd., Class A(3)(4) | 2,563,805 | 0 | |
$ 334,544 | |||
Nonferrous Metals/Minerals — 0.1% | |||
ACNR Holdings, Inc., Class A(4)(5) | 30,298 | $ 2,590,479 | |
$ 2,590,479 | |||
Oil and Gas — 0.0%(6) | |||
AFG Holdings, Inc.(3)(4)(5) | 281,241 | $ 556,857 | |
McDermott International, Ltd.(4)(5) | 1,382,889 | 373,380 | |
$ 930,237 | |||
Pharmaceuticals — 0.0%(6) | |||
Covis Midco 1 S.a.r.l., Class A(4)(5) | 8,349 | $ 4,258 | |
Covis Midco 1 S.a.r.l., Class B(4)(5) | 8,349 | 4,258 | |
Covis Midco 1 S.a.r.l., Class C(4)(5) | 8,349 | 4,258 |
Security | Shares | Value | |
Pharmaceuticals (continued) | |||
Covis Midco 1 S.a.r.l., Class D(4)(5) | 8,349 | $ 4,258 | |
Covis Midco 1 S.a.r.l., Class E(4)(5) | 8,349 | 4,258 | |
$ 21,290 | |||
Retailers (Except Food and Drug) — 0.0%(6) | |||
Phillips Pet Holding Corp.(3)(4)(5) | 2,960 | $ 117,617 | |
$ 117,617 | |||
Telecommunications — 0.0% | |||
Global Eagle Entertainment(3)(4)(5) | 390,679 | $ 0 | |
$ 0 | |||
Utilities — 0.1% | |||
Longview Intermediate Holdings, LLC, Class A(4)(5) | 359,046 | $ 2,897,502 | |
$ 2,897,502 | |||
Total Common Stocks (identified cost $79,555,952) | $ 39,073,193 |
Corporate Bonds — 10.3% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 0.4% | |||
TransDigm, Inc.: | |||
6.25%, 3/15/26(1) | 1,500 | $ 1,466,857 | |
6.75%, 8/15/28(1) | 3,825 | 3,718,792 | |
6.875%, 12/15/30(1) | 19,500 | 18,847,335 | |
$ 24,032,984 | |||
Air Transport — 0.6% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 16,083 | $ 15,656,057 | |
5.75%, 4/20/29(1) | 14,475 | 13,071,356 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 5,050 | 4,689,478 | |
4.625%, 4/15/29(1) | 5,050 | 4,270,296 | |
$ 37,687,187 | |||
Automotive — 0.2% | |||
Adient Global Holdings, Ltd., 7.00%, 4/15/28(1) | 2,650 | $ 2,611,297 |
Security | Principal Amount* (000's omitted) | Value | |
Automotive (continued) | |||
Clarios Global, L.P., 6.75%, 5/15/25(1) | 2,183 | $ 2,167,769 | |
Clarios Global, L.P./Clarios US Finance Co., 6.25%, 5/15/26(1) | 4,478 | 4,382,269 | |
$ 9,161,335 | |||
Building and Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, 6.75%, 5/15/28(1) | 7,493 | $ 6,839,978 | |
Winnebago Industries, Inc., 6.25%, 7/15/28(1) | 1,100 | 1,035,557 | |
$ 7,875,535 | |||
Business Equipment and Services — 1.0% | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp., 6.625%, 7/15/26(1) | 2,475 | $ 2,319,879 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
4.625%, 6/1/28(1) | 20,725 | 16,908,433 | |
4.625%, 6/1/28(1) | 27,575 | 22,582,678 | |
Prime Security Services Borrower, LLC/Prime Finance, Inc., 5.75%, 4/15/26(1) | 17,950 | 17,431,027 | |
$ 59,242,017 | |||
Chemicals — 0.5% | |||
Cheever Escrow Issuer, LLC, 7.125%, 10/1/27(1) | 1,075 | $ 990,825 | |
INEOS Finance PLC, 3.375%, 3/31/26(1) | EUR | 2,000 | 2,005,100 |
INEOS Quattro Finance 2 PLC, 3.375%, 1/15/26(1) | 5,464 | 5,223,966 | |
Olympus Water US Holding Corp.: | |||
4.25%, 10/1/28(1) | 10,050 | 8,029,649 | |
9.75%, 11/15/28(1) | 11,400 | 11,148,641 | |
$ 27,398,181 | |||
Commercial Services — 0.3% | |||
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(1) | 21,600 | $ 19,083,354 | |
$ 19,083,354 | |||
Containers & Packaging — 0.2% | |||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC: | |||
4.00%, 10/15/27(1) | 6,325 | $ 5,525,828 | |
4.375%, 10/15/28(1) | 10,100 | 8,603,411 | |
$ 14,129,239 | |||
Diversified Financial Services — 0.3% | |||
AG Issuer, LLC, 6.25%, 3/1/28(1) | 11,581 | $ 10,681,362 |
Security | Principal Amount* (000's omitted) | Value | |
Diversified Financial Services (continued) | |||
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 3,350 | $ 3,368,827 | |
Aretec Escrow Issuer 2, Inc., 10.00%, 8/15/30(1)(7) | 5,375 | 5,442,188 | |
$ 19,492,377 | |||
Diversified Telecommunication Services — 1.0% | |||
Altice France S.A.: | |||
5.125%, 1/15/29(1) | 1,600 | $ 1,105,958 | |
5.125%, 7/15/29(1) | 55,000 | 37,694,052 | |
5.50%, 10/15/29(1) | 6,455 | 4,445,207 | |
Level 3 Financing, Inc., 3.875%, 11/15/29(1) | 11,175 | 9,968,071 | |
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(1) | 7,625 | 6,296,649 | |
$ 59,509,937 | |||
Drugs — 0.1% | |||
Jazz Securities DAC, 4.375%, 1/15/29(1) | 10,050 | $ 8,748,862 | |
$ 8,748,862 | |||
Ecological Services and Equipment — 0.1% | |||
GFL Environmental, Inc., 4.25%, 6/1/25(1) | 6,025 | $ 5,798,269 | |
$ 5,798,269 | |||
Electronics/Electrical — 0.4% | |||
GoTo Group, Inc., 5.50%, 9/1/27(1) | 12,010 | $ 6,276,551 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 20,200 | 17,627,694 | |
$ 23,904,245 | |||
Entertainment — 0.1% | |||
Live Nation Entertainment, Inc., 3.75%, 1/15/28(1) | 2,412 | $ 2,114,118 | |
Six Flags Theme Parks, Inc., 7.00%, 7/1/25(1) | 1,208 | 1,200,812 | |
$ 3,314,930 | |||
Health Care — 0.7% | |||
Medline Borrower, L.P., 3.875%, 4/1/29(1) | 25,150 | $ 21,259,312 | |
Tenet Healthcare Corp., 4.25%, 6/1/29 | 25,375 | 21,742,876 | |
$ 43,002,188 | |||
Hotels, Restaurants & Leisure — 0.6% | |||
Carnival Corp., 4.00%, 8/1/28(1) | 37,975 | $ 33,062,736 | |
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(1) | 2,425 | 2,460,126 | |
$ 35,522,862 |
Security | Principal Amount* (000's omitted) | Value | |
Household Products — 0.3% | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(1) | 16,969 | $ 15,366,534 | |
$ 15,366,534 | |||
Insurance — 0.4% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co., 4.25%, 10/15/27(1) | 700 | $ 616,144 | |
NFP Corp.: | |||
4.875%, 8/15/28(1) | 7,025 | 6,158,031 | |
7.50%, 10/1/30(1) | 3,350 | 3,176,167 | |
8.50%, 10/1/31(1) | 10,725 | 10,555,187 | |
$ 20,505,529 | |||
Internet Software & Services — 0.3% | |||
Central Parent, Inc./CDK Global, Inc., 7.25%, 6/15/29(1) | 15,225 | $ 14,642,308 | |
$ 14,642,308 | |||
Leisure Goods/Activities/Movies — 0.4% | |||
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 3,475 | $ 3,169,825 | |
NCL Corp., Ltd., 5.875%, 2/15/27(1) | 22,375 | 20,617,983 | |
$ 23,787,808 | |||
Machinery — 0.3% | |||
Madison IAQ, LLC, 4.125%, 6/30/28(1) | 12,300 | $ 10,286,928 | |
TK Elevator U.S. Newco, Inc., 5.25%, 7/15/27(1) | 4,950 | 4,511,713 | |
$ 14,798,641 | |||
Media — 0.4% | |||
iHeartCommunications, Inc.: | |||
4.75%, 1/15/28(1) | 2,975 | $ 2,107,986 | |
5.25%, 8/15/27(1) | 2,500 | 1,834,505 | |
6.375%, 5/1/26 | 1,159 | 946,222 | |
8.375%, 5/1/27 | 2,101 | 1,290,215 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 10,075 | 8,019,739 | |
7.375%, 6/30/30(1) | 10,000 | 8,814,934 | |
$ 23,013,601 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
CITGO Petroleum Corporation, 7.00%, 6/15/25(1) | 12,175 | $ 11,975,879 | |
$ 11,975,879 |
Security | Principal Amount* (000's omitted) | Value | |
Professional Services — 0.1% | |||
CoreLogic, Inc., 4.50%, 5/1/28(1) | 6,000 | $ 4,761,360 | |
$ 4,761,360 | |||
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 | $ 7,145,576 | |
$ 7,145,576 | |||
Retail — 0.1% | |||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 6,790 | $ 5,713,208 | |
$ 5,713,208 | |||
Retailers (Except Food and Drug) — 0.0%(6) | |||
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 1,575 | $ 1,395,385 | |
$ 1,395,385 | |||
Software — 0.3% | |||
Boxer Parent Co., Inc., 7.125%, 10/2/25(1) | 4,850 | $ 4,789,375 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 12,100 | 10,315,311 | |
Veritas US, Inc./Veritas Bermuda, Ltd., 7.50%, 9/1/25(1) | 4,000 | 3,277,710 | |
$ 18,382,396 | |||
Technology — 0.3% | |||
Clarivate Science Holdings Corp., 3.875%, 7/1/28(1) | 12,575 | $ 10,812,462 | |
NCR Atleos Escrow Corp., 9.50%, 4/1/29(1) | 8,700 | 8,537,223 | |
$ 19,349,685 | |||
Telecommunications — 0.4% | |||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 17,200 | $ 13,416,354 | |
VMED O2 UK Financing I PLC, 4.25%, 1/31/31(1) | 10,575 | 8,328,044 | |
$ 21,744,398 | |||
Trading Companies & Distributors — 0.0%(6) | |||
American Builders & Contractors Supply Co., Inc., 4.00%, 1/15/28(1) | 875 | $ 786,373 | |
$ 786,373 |
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 | $ 6,659,342 | |
$ 6,659,342 | |||
Total Corporate Bonds (identified cost $693,166,182) | $ 607,931,525 |
Exchange-Traded Funds — 0.3% |
Security | Shares | Value | |
SPDR Blackstone Senior Loan ETF | 384,000 | $ 15,955,200 | |
Total Exchange-Traded Funds (identified cost $17,625,066) | $ 15,955,200 |
Preferred Stocks — 0.1% |
Security | Shares | Value | |
Nonferrous Metals/Minerals — 0.1% | |||
ACNR Holdings, Inc., 15.00% (PIK)(4)(5) | 14,309 | $ 7,359,595 | |
Total Preferred Stocks (identified cost $0) | $ 7,359,595 |
Senior Floating-Rate Loans — 108.6%(8) |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 2.7% | |||
Aernnova Aerospace S.A.U.: | |||
Term Loan, 6.783%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 4,179 | $ 4,272,127 |
Term Loan, 6.934%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 1,071 | 1,095,417 |
AI Convoy (Luxembourg) S.a.r.l., Term Loan, 7.722%, (3 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 4,300 | 4,428,979 |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 9.324%, (SOFR + 4.00%), 8/24/28 | 37,242 | 36,875,857 | |
Term Loan, 9.324%, (SOFR + 4.00%), 8/24/28 | 15,961 | 15,803,939 | |
IAP Worldwide Services, Inc., Term Loan - Second Lien, 12.152%, (3 mo. USD LIBOR + 6.50%), 7/18/23(3) | 1,184 | 904,120 | |
TransDigm, Inc.: | |||
Term Loan, 8.64%, (SOFR + 3.25%), 2/22/27 | 29,446 | 29,458,251 | |
Term Loan, 8.64%, (SOFR + 3.25%), 8/24/28 | 34,729 | 34,722,348 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense (continued) | |||
WP CPP Holdings, LLC, Term Loan, 9.29%, (SOFR + 3.75%), 4/30/25 | 35,212 | $ 33,944,111 | |
$ 161,505,149 | |||
Airlines — 0.6% | |||
American Airlines, Inc., Term Loan, 10.427%, (SOFR + 4.75%), 4/20/28 | 32,400 | $ 32,900,742 | |
$ 32,900,742 | |||
Apparel & Luxury Goods — 0.1% | |||
Hanesbrands, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 3/8/30 | 5,448 | $ 5,386,339 | |
$ 5,386,339 | |||
Auto Components — 2.3% | |||
Adient US, LLC, Term Loan, 8.689%, (SOFR + 3.25%), 4/10/28 | 7,981 | $ 7,990,709 | |
Autokiniton US Holdings, Inc., Term Loan, 9.939%, (SOFR + 4.50%), 4/6/28 | ��� 22,289 | 21,889,252 | |
Clarios Global, L.P., Term Loan, 7.118%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 21,261 | 22,432,920 |
DexKo Global, Inc.: | |||
Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 3,604 | 3,603,801 |
Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 8,046 | 8,045,089 |
Term Loan, 9.402%, (SOFR + 3.75%), 10/4/28 | 14,258 | 13,685,336 | |
Garrett LX I S.a.r.l., Term Loan, 8.895%, (SOFR + 3.25%), 4/30/28 | 6,272 | 6,230,185 | |
Garrett Motion, Inc., Term Loan, 9.883%, (SOFR + 4.50%), 4/30/28 | 9,429 | 9,452,143 | |
LSF12 Badger Bidco, LLC, Term Loan, 11.324%, (SOFR + 6.00%), 8/30/30 | 4,000 | 3,995,000 | |
LTI Holdings, Inc.: | |||
Term Loan, 8.939%, (SOFR + 3.50%), 9/6/25 | 8,073 | 7,715,307 | |
Term Loan, 10.189%, (SOFR + 4.75%), 7/24/26 | 8,607 | 8,255,196 | |
RealTruck Group, Inc.: | |||
Term Loan, 9.189%, (SOFR + 3.75%), 1/31/28 | 13,910 | 13,291,923 | |
Term Loan, 10.406%, (SOFR + 5.00%), 1/31/28 | 8,950 | 8,583,605 | |
$ 135,170,466 | |||
Automobiles — 1.0% | |||
Bombardier Recreational Products, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 5/24/27 | 35,185 | $ 34,921,139 | |
MajorDrive Holdings IV, LLC: | |||
Term Loan, 9.652%, (SOFR + 4.00%), 6/1/28 | 20,362 | 19,835,689 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Automobiles (continued) | |||
MajorDrive Holdings IV, LLC: (continued) | |||
Term Loan, 11.04%, (SOFR + 5.50%), 6/1/29 | 1,496 | $ 1,483,111 | |
$ 56,239,939 | |||
Beverages — 0.6% | |||
Arterra Wines Canada, Inc., Term Loan, 9.152%, (SOFR + 3.50%), 11/24/27 | 3,404 | $ 3,222,564 | |
City Brewing Company, LLC, Term Loan, 9.164%, (SOFR + 3.50%), 4/5/28 | 8,700 | 6,451,156 | |
Triton Water Holdings, Inc., Term Loan, 8.902%, (SOFR + 3.25%), 3/31/28 | 25,515 | 24,247,685 | |
$ 33,921,405 | |||
Biotechnology — 0.5% | |||
Alkermes, Inc., Term Loan, 7.949%, (SOFR + 2.50%), 3/12/26 | 12,702 | $ 12,606,930 | |
Alltech, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 10/13/28 | 6,842 | 6,696,628 | |
Grifols Worldwide Operations USA, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 11/15/27 | 9,268 | 9,027,382 | |
$ 28,330,940 | |||
Building Products — 1.0% | |||
Cornerstone Building Brands, Inc., Term Loan, 8.685%, (SOFR + 3.25%), 4/12/28 | 17,967 | $ 17,132,640 | |
CPG International, Inc., Term Loan, 7.924%, (SOFR + 2.50%), 4/28/29 | 14,801 | 14,798,650 | |
LHS Borrower, LLC, Term Loan, 10.174%, (SOFR + 4.75%), 2/16/29 | 6,697 | 5,876,506 | |
MI Windows and Doors, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/18/27 | 6,351 | 6,358,445 | |
Standard Industries, Inc., Term Loan, 7.953%, (SOFR + 2.50%), 9/22/28 | 13,029 | 13,063,965 | |
$ 57,230,206 | |||
Capital Markets — 6.0% | |||
Advisor Group, Inc., Term Loan, 9.824%, (SOFR + 4.50%), 8/17/28 | 31,480 | $ 31,397,521 | |
AllSpring Buyer, LLC, Term Loan, 8.949%, (SOFR + 3.25%), 11/1/28 | 8,230 | 8,026,346 | |
Aretec Group, Inc.: | |||
Term Loan, 9.674%, (SOFR + 4.25%), 10/1/25 | 25,515 | 25,529,243 | |
Term Loan, 9.924%, (SOFR + 4.50%), 8/9/30 | 10,898 | 10,611,623 | |
Brookfield Property REIT, Inc., Term Loan, 7.924%, (SOFR + 2.50%), 8/27/25 | 5,186 | 5,138,419 | |
CeramTec AcquiCo GmbH, Term Loan, 7.283%, (3 mo. EURIBOR + 3.50%), 3/16/29 | EUR | 14,461 | 14,957,464 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Capital Markets (continued) | |||
Citadel Securities, L.P., Term Loan, 7.939%, (SOFR + 2.50%), 7/29/30 | 9,682 | $ 9,667,338 | |
Citco Funding, LLC, Term Loan, 4/27/28(9) | 10,425 | 10,444,547 | |
Clipper Acquisitions Corp., Term Loan, 7.192%, (SOFR + 1.75%), 3/3/28 | 7,795 | 7,762,829 | |
Edelman Financial Center, LLC, Term Loan, 8.939%, (SOFR + 3.50%), 4/7/28 | 22,283 | 21,937,845 | |
EIG Management Company, LLC, Term Loan, 9.177%, (SOFR + 3.75%), 2/22/25 | 2,670 | 2,669,625 | |
FinCo I, LLC, Term Loan, 8.383%, (SOFR + 3.00%), 6/27/29 | 16,284 | 16,292,330 | |
Focus Financial Partners, LLC: | |||
Term Loan, 7.824%, (SOFR + 2.50%), 6/30/28 | 10,831 | 10,745,152 | |
Term Loan, 8.574%, (SOFR + 3.25%), 6/30/28 | 27,453 | 27,380,762 | |
Term Loan, 8.824%, (SOFR + 3.50%), 6/30/28 | 8,475 | 8,466,169 | |
Franklin Square Holdings, L.P., Term Loan, 7.674%, (SOFR + 2.25%), 8/1/25 | 6,484 | 6,491,817 | |
Guggenheim Partners, LLC, Term Loan, 8.64%, (SOFR + 3.25%), 12/12/29 | 32,353 | 32,366,485 | |
HighTower Holdings, LLC, Term Loan, 9.38%, (SOFR + 4.00%), 4/21/28 | 9,264 | 9,107,225 | |
Hudson River Trading, LLC, Term Loan, 8.439%, (SOFR + 3.00%), 3/20/28 | 29,737 | 29,353,712 | |
LPL Holdings, Inc., Term Loan, 7.165%, (SOFR + 1.75%), 11/12/26 | 19,154 | 19,197,645 | |
Mariner Wealth Advisors, LLC, Term Loan, 8.901%, (SOFR + 3.25%), 8/18/28 | 15,069 | 14,842,532 | |
Victory Capital Holdings, Inc.: | |||
Term Loan, 7.772%, (SOFR + 2.25%), 7/1/26 | 18,707 | 18,697,902 | |
Term Loan, 7.772%, (SOFR + 2.25%), 12/29/28 | 8,636 | 8,603,913 | |
$ 349,688,444 | |||
Chemicals — 6.0% | |||
Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 7.89%, (SOFR + 2.50%), 12/20/29 | 21,207 | $ 21,268,762 | |
CPC Acquisition Corp., Term Loan, 9.402%, (SOFR + 3.75%), 12/29/27 | 17,474 | 13,831,823 | |
Flint Group Midco Limited, Term Loan, 10.674%, (SOFR + 5.00%), 9.924% cash, 0.75% PIK, 12/31/26 | 5,770 | 5,366,411 | |
Flint Group Packaging INKS North America Holdings, LLC: | |||
Term Loan, 9.002%, (3 mo. EURIBOR + 5.00%), 8.252% cash, 0.75% PIK, 12/31/26 | EUR | 1,283 | 1,262,388 |
Term Loan, 11.002%, (3 mo. EURIBOR + 7.00%), 4.102% cash, 6.90% PIK, 12/31/27 | EUR | 623 | 482,565 |
Term Loan - Second Lien, 11.002%, (3 mo. EURIBOR + 7.00%), 4.102% cash, 6.90% PIK, 12/31/27 | EUR | 830 | 158,868 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Flint Group Topco Limited: | |||
Term Loan, 12.674%, (SOFR + 7.00%), 5.774% cash, 6.90% PIK, 12/31/27 | 2,814 | $ 2,061,038 | |
Term Loan - Second Lien, 12.674%, (SOFR + 7.00%), 5.774% cash, 6.90% PIK, 12/31/27 | 3,752 | 678,526 | |
Gemini HDPE, LLC, Term Loan, 8.645%, (SOFR + 3.00%), 12/31/27 | 5,681 | 5,671,942 | |
GEON Performance Solutions, LLC, Term Loan, 10.402%, (SOFR + 4.75%), 8/18/28 | 7,620 | 7,467,817 | |
Groupe Solmax, Inc., Term Loan, 10.303%, (SOFR + 4.75%), 5/29/28(10) | 19,874 | 18,616,633 | |
INEOS Enterprises Holdings II Limited, Term Loan, 7.783%, (3 mo. EURIBOR + 4.00%), 7/7/30 | EUR | 2,290 | 2,388,564 |
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 9.273%, (SOFR + 3.75%), 7/8/30 | 14,000 | 13,708,338 | |
INEOS Finance PLC: | |||
Term Loan, 6.618%, (1 mo. EURIBOR + 2.75%), 11/8/28 | EUR | 9,675 | 9,830,829 |
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 11/8/27 | EUR | 7,846 | 8,201,887 |
INEOS Quattro Holdings UK, Ltd.: | |||
Term Loan, 6.622%, (1 week EURIBOR + 2.75%), 1/29/26 | EUR | 26,250 | 27,423,777 |
Term Loan, 7.872%, (1 week EURIBOR + 4.00%), 3/14/30 | EUR | 4,075 | 4,177,016 |
Term Loan, 9.174%, (SOFR + 3.75%), 3/14/30 | 6,110 | 6,006,587 | |
INEOS Styrolution US Holding, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 1/29/26 | 12,578 | 12,379,268 | |
INEOS US Finance, LLC: | |||
Term Loan, 7.825%, (SOFR + 2.50%), 11/8/28 | 6,768 | 6,623,744 | |
Term Loan, 8.924%, (SOFR + 3.50%), 2/18/30 | 11,122 | 10,937,920 | |
Term Loan, 9.174%, (SOFR + 3.75%), 11/8/27 | 3,422 | 3,385,364 | |
Kraton Corporation, Term Loan, 8.921%, (SOFR + 3.25%), 3/15/29 | 6,132 | 5,848,037 | |
Kraton Polymers Holdings B.V., Term Loan, 7.217%, (EURIBOR + 3.25%), 3/15/29(10) | EUR | 4,650 | 4,739,759 |
Lonza Group AG: | |||
Term Loan, 7.897%, (3 mo. EURIBOR + 3.93%), 7/3/28 | EUR | 9,600 | 8,778,846 |
Term Loan, 9.415%, (SOFR + 3.93%), 7/3/28 | 14,720 | 12,504,105 | |
Messer Industries GmbH: | |||
Term Loan, 6.368%, (1 mo. EURIBOR + 2.50%), 3/2/26 | EUR | 1,622 | 1,717,302 |
Term Loan, 8.152%, (SOFR + 2.50%), 3/2/26 | 7,900 | 7,902,468 | |
Momentive Performance Materials, Inc., Term Loan, 9.824%, (SOFR + 4.50%), 3/29/28 | 16,122 | 15,396,143 | |
Olympus Water US Holding Corporation: | |||
Term Loan, 9.402%, (SOFR + 3.75%), 11/9/28 | 4,438 | 4,336,305 | |
Term Loan, 9.99%, (SOFR + 4.50%), 11/9/28 | 5,861 | 5,767,957 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Orion Engineered Carbons GmbH: | |||
Term Loan, 6.372%, (3 mo. EURIBOR + 2.40%), 9/24/28 | EUR | 1,250 | $ 1,325,932 |
Term Loan, 7.64%, (SOFR + 2.15%), 9/24/28 | 4,851 | 4,790,363 | |
PQ Corporation, Term Loan, 7.983%, (SOFR + 2.50%), 6/9/28 | 25,204 | 25,085,595 | |
Rohm Holding GmbH: | |||
Term Loan, 8.472%, (6 mo. EURIBOR + 4.50%), 7/31/26 | EUR | 1,000 | 950,968 |
Term Loan, 10.881%, (SOFR + 5.00%), 7/31/26 | 17,350 | 16,034,260 | |
Term Loan, 7/31/26(9) | EUR | 13,700 | 13,028,257 |
SCUR-Alpha 1503 GmbH, Term Loan, 10.883%, (SOFR + 5.50%), 3/29/30 | 6,866 | 6,333,464 | |
Tronox Finance, LLC: | |||
Term Loan, 8.116%, (SOFR + 2.50%), 3/10/28(10) | 12,836 | 12,611,521 | |
Term Loan, 8.64%, (SOFR + 3.25%), 4/4/29 | 3,915 | 3,863,171 | |
Term Loan, 8.824%, (SOFR + 3.50%), 8/16/28 | 6,425 | 6,344,688 | |
W.R. Grace & Co.-Conn., Term Loan, 9.402%, (SOFR + 3.75%), 9/22/28 | 12,969 | 12,767,894 | |
$ 352,057,102 | |||
Commercial Services & Supplies — 2.0% | |||
Asplundh Tree Expert, LLC, Term Loan, 7.174%, (SOFR + 1.75%), 9/7/27 | 10,137 | $ 10,154,715 | |
Belfor Holdings, Inc.: | |||
Term Loan, 9.439%, (SOFR + 4.00%), 4/6/26 | 2,261 | 2,261,479 | |
Term Loan, 9.574%, (SOFR + 4.25%), 4/6/26 | 4,550 | 4,558,673 | |
Term Loan, 10/25/30(9) | 8,425 | 8,425,000 | |
EnergySolutions, LLC, Term Loan, 9.382%, (SOFR + 4.00%), 9/20/30 | 17,247 | 17,171,895 | |
Foundever Group, Term Loan, 7.62%, (1 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 7,075 | 7,203,461 |
GFL Environmental, Inc., Term Loan, 7.912%, (SOFR + 2.50%), 5/31/27 | 4,322 | 4,330,513 | |
Harsco Corporation, Term Loan, 7.689%, (SOFR + 2.25%), 3/10/28 | 1,301 | 1,271,273 | |
JFL-Tiger Acquisition Co., Inc., Term Loan, 10.403%, (SOFR + 5.00%), 10/17/30 | 9,375 | 9,269,531 | |
LABL, Inc., Term Loan, 10.424%, (SOFR + 5.00%), 10/29/28 | 9,358 | 8,841,846 | |
Monitronics International, Inc., Term Loan, 13.145%, (SOFR + 7.50%), 6/30/28 | 11,001 | 11,125,052 | |
Phoenix Services International, LLC, Term Loan, 11.427%, (SOFR + 6.10%), 6/30/28 | 3,500 | 3,264,012 | |
SITEL Worldwide Corporation, Term Loan, 9.189%, (SOFR + 3.75%), 8/28/28 | 13,409 | 12,952,447 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Commercial Services & Supplies (continued) | |||
Tempo Acquisition, LLC, Term Loan, 8.074%, (SOFR + 2.75%), 8/31/28 | 4,199 | $ 4,200,072 | |
TMF Group Holding B.V., Term Loan, 10.414%, (SOFR + 5.00%), 5/3/28 | 5,175 | 5,178,235 | |
TruGreen Limited Partnership, Term Loan, 9.424%, (SOFR + 4.00%), 11/2/27 | 9,333 | 8,778,041 | |
$ 118,986,245 | |||
Communications Equipment — 0.1% | |||
CommScope, Inc., Term Loan, 8.689%, (SOFR + 3.25%), 4/6/26 | 4,484 | $ 3,883,445 | |
Digi International, Inc., Term Loan, 10.439%, (SOFR + 5.00%), 11/1/28 | 4,547 | 4,549,057 | |
$ 8,432,502 | |||
Construction Materials — 0.3% | |||
Quikrete Holdings, Inc.: | |||
Term Loan, 8.064%, (SOFR + 2.63%), 2/1/27 | 4,742 | $ 4,740,346 | |
Term Loan, 8.189%, (SOFR + 2.75%), 3/19/29 | 11,303 | 11,311,166 | |
$ 16,051,512 | |||
Consumer Staples Distribution & Retail — 0.5% | |||
Cardenas Markets, Inc., Term Loan, 12.24%, (SOFR + 6.75%), 8/1/29 | 5,373 | $ 5,373,536 | |
Peer Holding III B.V.: | |||
Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 9/29/28 | EUR | 7,550 | 7,973,263 |
Term Loan, 10/19/30(9) | 14,625 | 14,570,156 | |
$ 27,916,955 | |||
Containers & Packaging — 2.0% | |||
Berlin Packaging, LLC, Term Loan, 9.189%, (SOFR + 3.75%), 3/11/28(10) | 9,681 | $ 9,474,244 | |
Clydesdale Acquisition Holdings, Inc., Term Loan, 9.599%, (SOFR + 4.18%), 4/13/29 | 22,679 | 21,978,496 | |
Kouti B.V.: | |||
Term Loan, 7.458%, (3 mo. EURIBOR + 3.68%), 8/31/28 | EUR | 32,750 | 33,431,620 |
Term Loan, 8.533%, (3 mo. EURIBOR + 4.75%), 8/31/28 | EUR | 2,000 | 2,099,007 |
Pregis TopCo Corporation: | |||
Term Loan, 9.074%, (SOFR + 3.75%), 7/31/26 | 2,334 | 2,314,312 | |
Term Loan, 9.189%, (SOFR + 3.75%), 7/31/26 | 1,617 | 1,608,915 | |
Pretium Packaging, LLC, Term Loan - Second Lien, 9.995%, (SOFR + 4.60%), 10/2/28 | 7,242 | 5,522,031 | |
Pretium PKG Holdings, Inc., Term Loan - Second Lien, 12.20%, (SOFR + 6.75%), 10/1/29(10) | 7,100 | 3,150,625 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Containers & Packaging (continued) | |||
Proampac PG Borrower, LLC, Term Loan, 10.585%, (SOFR + 4.50%), 9/15/28 | 15,000 | $ 14,843,745 | |
Trident TPI Holdings, Inc.: | |||
Term Loan, 9.652%, (SOFR + 4.00%), 9/15/28 | 6,496 | 6,425,228 | |
Term Loan, 9.89%, (SOFR + 4.50%), 9/15/28 | 17,532 | 17,488,562 | |
$ 118,336,785 | |||
Distributors — 0.1% | |||
Phillips Feed Service, Inc., Term Loan, 12.427%, (SOFR + 7.00%), 11/13/24(3) | 538 | $ 430,363 | |
Winterfell Financing S.a.r.l., Term Loan, 8.765%, (3 mo. EURIBOR + 5.00%), 5/4/28 | EUR | 2,500 | 2,595,652 |
$ 3,026,015 | |||
Diversified Consumer Services — 1.0% | |||
Ascend Learning, LLC: | |||
Term Loan, 8.924%, (SOFR + 3.50%), 12/11/28 | 12,471 | $ 11,641,244 | |
Term Loan - Second Lien, 11.174%, (SOFR + 5.75%), 12/10/29 | 5,243 | 4,473,864 | |
Belron Finance US, LLC, Term Loan, 8.057%, (SOFR + 2.43%), 4/13/28 | 8,507 | 8,516,445 | |
FrontDoor, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 6/17/28 | 953 | 950,382 | |
KUEHG Corp., Term Loan, 10.39%, (SOFR + 5.00%), 6/12/30 | 18,250 | 18,258,139 | |
Sotheby's, Term Loan, 10.156%, (SOFR + 4.50%), 1/15/27 | 10,422 | 10,122,566 | |
Spring Education Group, Inc., Term Loan, 9.914%, (SOFR + 4.50%), 10/4/30 | 4,725 | 4,679,720 | |
$ 58,642,360 | |||
Diversified Financial Services — 0.1% | |||
Concorde Midco, Ltd., Term Loan, 7.892%, (6 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 7,480 | $ 7,799,172 |
$ 7,799,172 | |||
Diversified Telecommunication Services — 1.0% | |||
CenturyLink, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 3/15/27 | 28,655 | $ 21,603,167 | |
GEE Holdings 2, LLC: | |||
Term Loan, 13.50%, (SOFR + 8.25%), 3/24/25 | 9,869 | 8,980,646 | |
Term Loan - Second Lien, 13.75%, (SOFR + 8.25%), 7.00% cash, 6.75% PIK, 3/23/26 | 7,607 | 4,564,183 | |
Level 3 Financing, Inc., Term Loan, 7.189%, (SOFR + 1.75%), 3/1/27 | 11,500 | 10,816,532 | |
Telenet Financing USD, LLC, Term Loan, 7.449%, (SOFR + 2.00%), 4/30/28 | 5,075 | 4,941,781 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Telecommunication Services (continued) | |||
Virgin Media Bristol, LLC, Term Loan, 7.949%, (SOFR + 2.50%), 1/31/28 | 4,843 | $ 4,714,101 | |
Virgin Media SFA Finance Limited, Term Loan, 6.372%, (1 mo. EURIBOR + 2.50%), 1/31/29 | EUR | 1,125 | 1,149,975 |
$ 56,770,385 | |||
Electronic Equipment, Instruments & Components — 1.3% | |||
Creation Technologies, Inc., Term Loan, 11.176%, (SOFR + 5.50%), 10/5/28 | 15,513 | $ 14,699,003 | |
II-VI Incorporated, Term Loan, 8.189%, (SOFR + 2.75%), 7/2/29 | 1,474 | 1,472,919 | |
Ingram Micro, Inc., Term Loan, 8.653%, (SOFR + 3.00%), 6/30/28 | 4,481 | 4,481,233 | |
Minimax Viking GmbH, Term Loan, 7.133%, (EURIBOR + 3.25%), 7/31/28(10) | EUR | 3,984 | 4,215,437 |
Mirion Technologies, Inc., Term Loan, 8.402%, (SOFR + 2.75%), 10/20/28 | 2,350 | 2,346,099 | |
MX Holdings US, Inc., Term Loan, 7/31/28(9) | 3,350 | 3,343,719 | |
Robertshaw US Holding Corp.: | |||
Term Loan, 13.49%, (SOFR + 8.00%), 8.490% cash, 5.00% PIK, 2/28/27 | 4,853 | 4,901,278 | |
Term Loan - Second Lien, 12.49%, (SOFR + 7.00%), 2/28/27 | 20,495 | 17,317,867 | |
TTM Technologies, Inc., Term Loan, 8.065%, (SOFR + 2.75%), 5/30/30 | 6,983 | 6,986,864 | |
Verifone Systems, Inc., Term Loan, 9.653%, (SOFR + 4.00%), 8/20/25 | 20,407 | 19,013,339 | |
$ 78,777,758 | |||
Energy Equipment & Services — 0.5% | |||
Ameriforge Group, Inc.: | |||
Term Loan, 16.731%, (SOFR + 13.00%), 12/29/23(3)(11) | 2,245 | $ 1,791,244 | |
Term Loan, 18.456%, (SOFR + 13.00%), 12/29/23(3)(10) | 17,625 | 14,061,537 | |
GIP Pilot Acquisition Partners L.P., Term Loan, 8.388%, (SOFR + 3.00%), 10/4/30 | 6,250 | 6,250,000 | |
Lealand Finance Company B.V.: | |||
Letter of Credit, 3.638%, 6/28/24(11) | 10,000 | 7,450,000 | |
Term Loan, 12.439%, (SOFR + 7.00%), 9.439% cash, 3.00% PIK, 6/30/25 | 3,435 | 1,914,859 | |
$ 31,467,640 | |||
Engineering & Construction — 1.2% | |||
Aegion Corporation, Term Loan, 10.395%, (SOFR + 4.75%), 5/17/28 | 17,680 | $ 17,581,008 | |
American Residential Services, LLC, Term Loan, 9.152%, (SOFR + 3.50%), 10/15/27 | 8,445 | 8,434,845 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Engineering & Construction (continued) | |||
APi Group DE, Inc.: | |||
Term Loan, 7.689%, (SOFR + 2.25%), 10/1/26 | 11,043 | $ 11,059,970 | |
Term Loan, 7.939%, (SOFR + 2.50%), 1/3/29 | 5,176 | 5,186,926 | |
Centuri Group, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 8/27/28 | 9,144 | 9,137,183 | |
Northstar Group Services, Inc.: | |||
Term Loan, 10.939%, (SOFR + 5.50%), 11/12/26 | 12,962 | 12,962,369 | |
Term Loan, 10.949%, (SOFR + 5.50%), 11/12/26 | 1,963 | 1,957,594 | |
USIC Holdings, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 5/12/28 | 6,177 | 5,974,312 | |
$ 72,294,207 | |||
Entertainment — 1.3% | |||
City Football Group Limited, Term Loan, 8.453%, (SOFR + 3.00%), 7/21/28 | 12,001 | $ 11,910,884 | |
Crown Finance US, Inc., Term Loan, 7.381%, (SOFR + 1.50%), 7/31/28 | 2,461 | 2,517,188 | |
Delta 2 (LUX) S.a.r.l., Term Loan, 7.574%, (SOFR + 2.25%), 1/15/30 | 2,500 | 2,493,750 | |
EP Purchaser, LLC, Term Loan, 9.152%, (SOFR + 3.50%), 11/6/28 | 997 | 973,467 | |
Playtika Holding Corp., Term Loan, 8.189%, (SOFR + 2.75%), 3/13/28 | 27,261 | 26,490,582 | |
Renaissance Holding Corp.: | |||
Term Loan, 10.074%, (SOFR + 4.75%), 4/5/30 | 13,750 | 13,580,985 | |
Term Loan - Second Lien, 12.424%, (SOFR + 7.00%), 5/29/26 | 143 | 142,251 | |
UFC Holdings, LLC, Term Loan, 8.399%, (SOFR + 2.75%), 4/29/26 | 14,700 | 14,704,284 | |
Vue International Bidco PLC: | |||
Term Loan, 12.13%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 384 | 397,980 |
Term Loan, 12.63%, (6 mo. EURIBOR + 8.50%), 6.13% cash, 6.50% PIK, 12/31/27 | EUR | 2,682 | 1,266,375 |
$ 74,477,746 | |||
Equity Real Estate Investment Trusts (REITs) — 0.2% | |||
Iron Mountain, Inc., Term Loan, 7.189%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 8,954 | $ 8,945,476 | |
$ 8,945,476 | |||
Financial Services — 1.2% | |||
Ditech Holding Corporation, Term Loan, 0.00%, 3/28/24(12) | 15,063 | $ 1,656,959 | |
GTCR W Merger Sub, LLC: | |||
Term Loan, 9/20/30(9) | 38,850 | 38,614,142 | |
Term Loan, 9/20/30(9) | EUR | 1,000 | 1,056,778 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Financial Services (continued) | |||
NCR Atleos, LLC, Term Loan, 10.176%, (SOFR + 4.75%), 3/27/29 | 17,400 | $ 16,707,619 | |
Walker & Dunlop, Inc., Term Loan, 7.674%, (SOFR + 2.25%), 12/16/28 | 13,976 | 13,952,764 | |
$ 71,988,262 | |||
Food Products — 1.5% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 10.189%, (SOFR + 4.75%), 10/1/25 | 7,252 | $ 6,868,246 | |
Badger Buyer Corp., Term Loan, 8.939%, (SOFR + 3.50%), 9/30/24 | 9,493 | 8,128,089 | |
CHG PPC Parent, LLC, Term Loan, 8.439%, (SOFR + 3.00%), 12/8/28 | 6,230 | 6,167,415 | |
Del Monte Foods, Inc., Term Loan, 9.682%, (SOFR + 4.25%), 5/16/29 | 6,559 | 6,363,627 | |
Froneri International, Ltd.: | |||
Term Loan, 6.097%, (6 mo. EURIBOR + 2.13%), 1/29/27 | EUR | 1,500 | 1,544,637 |
Term Loan, 7.674%, (SOFR + 2.25%), 1/29/27 | 8,706 | 8,658,385 | |
Monogram Food Solutions, LLC, Term Loan, 9.439%, (SOFR + 4.00%), 8/28/28 | 1,770 | 1,725,344 | |
Nomad Foods US, LLC, Term Loan, 8.469%, (SOFR + 3.00%), 11/13/29 | 14,174 | 14,188,228 | |
Sovos Brands Intermediate, Inc., Term Loan, 9.145%, (SOFR + 3.50%), 6/8/28 | 9,191 | 9,211,337 | |
United Petfood Group B.V., Term Loan, 6.852%, (6 mo. EURIBOR + 2.75%), 4/23/28 | EUR | 9,025 | 9,326,540 |
Valeo F1 Company Limited (Ireland): | |||
Term Loan, 8.136%, (6 mo. EURIBOR + 4.00%), 9/29/28 | EUR | 9,450 | 9,002,713 |
Term Loan, 10.186%, (SONIA + 5.00%), 6/28/28 | GBP | 5,500 | 5,755,760 |
$ 86,940,321 | |||
Gas Utilities — 0.4% | |||
CQP Holdco, L.P., Term Loan, 8.99%, (SOFR + 3.50%), 6/5/28 | 24,456 | $ 24,463,147 | |
$ 24,463,147 | |||
Health Care Equipment & Supplies — 1.5% | |||
Artivion, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 6/1/27 | 6,506 | $ 6,313,523 | |
Bayou Intermediate II, LLC, Term Loan, 10.128%, (SOFR + 4.50%), 8/2/28 | 9,093 | 8,729,125 | |
Gloves Buyer, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 12/29/27 | 18,261 | 17,621,459 | |
ICU Medical, Inc., Term Loan, 8.04%, (SOFR + 2.50%), 1/8/29 | 7,979 | 7,962,711 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Equipment & Supplies (continued) | |||
Journey Personal Care Corp., Term Loan, 9.981%, (6 mo. USD LIBOR + 4.25%), 3/1/28 | 28,647 | $ 27,545,920 | |
Medline Borrower, L.P.: | |||
Term Loan, 7.368%, (1 mo. EURIBOR + 3.50%), 10/23/28 | EUR | 1,000 | 1,049,172 |
Term Loan, 8.689%, (SOFR + 3.25%), 10/23/28 | 19,227 | 19,117,396 | |
$ 88,339,306 | |||
Health Care Providers & Services — 5.8% | |||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 9.402%, (SOFR + 3.75%), 9/7/28 | 14,860 | $ 14,822,854 | |
BW NHHC Holdco, Inc., Term Loan - Second Lien, 13.39%, (SOFR + 8.00%), 1/15/26 | 19,042 | 16,281,321 | |
Cano Health, LLC, Term Loan, 9.533%, (SOFR + 4.00%), 11/23/27(10) | 7,609 | 4,489,209 | |
CCRR Parent, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 3/6/28 | 5,235 | 4,986,479 | |
Cerba Healthcare S.A.S.: | |||
Term Loan, 7.583%, (1 mo. EURIBOR + 3.70%), 6/30/28 | EUR | 20,800 | 20,475,749 |
Term Loan, 7.883%, (1 mo. EURIBOR + 4.00%), 2/16/29 | EUR | 8,600 | 8,584,012 |
CHG Healthcare Services, Inc.: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 9/29/28 | 7,863 | 7,787,950 | |
Term Loan, 9.145%, (SOFR + 3.75%), 9/29/28 | 5,275 | 5,234,340 | |
Covis Finco S.a.r.l.: | |||
Term Loan, 9.90%, (SOFR + 4.50%), 2/18/27 | 4,368 | 4,193,458 | |
Term Loan, 12.04%, (SOFR + 6.50%), 2/18/27 | 10,270 | 7,394,694 | |
Dedalus Finance GmbH, Term Loan, 7.712%, (6 mo. EURIBOR + 3.75%), 7/17/27 | EUR | 14,150 | 14,290,349 |
Elsan S.A.S., Term Loan, 7.39%, (6 mo. EURIBOR + 3.35%), 6/16/28 | EUR | 4,150 | 4,259,110 |
Ensemble RCM, LLC, Term Loan, 9.233%, (SOFR + 3.75%), 8/3/26 | 8,401 | 8,407,777 | |
Envision Healthcare Corporation: | |||
Term Loan, 0.00%, 3/31/27(12) | 6,718 | 7,994,599 | |
Term Loan - Second Lien, 0.00%, 3/31/27(12) | 47,025 | 8,229,435 | |
IVC Acquisition, Ltd., Term Loan, 7.687%, (6 mo. EURIBOR + 4.00%), 2/13/26 | EUR | 20,825 | 21,832,944 |
Medical Solutions Holdings, Inc.: | |||
Term Loan, 8.773%, (SOFR + 3.25%), 11/1/28 | 15,174 | 14,181,313 | |
Term Loan - Second Lien, 12.523%, (SOFR + 7.00%), 11/1/29 | 9,500 | 8,478,750 | |
Mehilainen Yhtiot Oy, Term Loan, 7.497%, (3 mo. EURIBOR + 3.53%), 8/8/25 | EUR | 6,475 | 6,847,986 |
Midwest Physician Administrative Services, LLC, Term Loan, 8.902%, (SOFR + 3.25%), 3/12/28 | 10,030 | 9,425,688 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
National Mentor Holdings, Inc.: | |||
Term Loan, 9.187%, (SOFR + 3.75%), 3/2/28(10) | 15,735 | $ 13,781,060 | |
Term Loan, 9.24%, (SOFR + 3.75%), 3/2/28 | 438 | 383,336 | |
Term Loan - Second Lien, 12.74%, (SOFR + 7.25%), 3/2/29 | 6,475 | 4,516,313 | |
Phoenix Guarantor, Inc.: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 3/5/26 | 24,054 | 23,846,845 | |
Term Loan, 8.939%, (SOFR + 3.50%), 3/5/26 | 4,434 | 4,395,794 | |
Radiology Partners, Inc., Term Loan, 10.179%, (SOFR + 4.25%), 7/9/25 | 17,020 | 12,754,055 | |
Ramsay Generale de Sante S.A., Term Loan, 6.952%, (3 mo. EURIBOR + 2.95%), 4/22/27 | EUR | 7,400 | 7,826,027 |
Select Medical Corporation, Term Loan, 8.324%, (SOFR + 3.00%), 3/6/27 | 56,317 | 56,237,577 | |
Sound Inpatient Physicians, Term Loan, 8.645%, (SOFR + 3.00%), 6/27/25 | 2,566 | 856,061 | |
Synlab Bondco PLC, Term Loan, 6.392%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 2,600 | 2,724,408 |
TTF Holdings, LLC, Term Loan, 9.439%, (SOFR + 4.00%), 3/31/28 | 5,644 | 5,651,378 | |
U.S. Anesthesia Partners, Inc., Term Loan, 9.679%, (SOFR + 4.25%), 10/1/28 | 9,419 | 8,215,082 | |
$ 339,385,953 | |||
Health Care Technology — 1.7% | |||
Certara, L.P., Term Loan, 9.184%, (SOFR + 3.50%), 8/15/26 | 9,283 | $ 9,294,499 | |
eResearchTechnology, Inc., Term Loan, 9.939%, (SOFR + 4.50%), 2/4/27 | 9,562 | 9,257,424 | |
Imprivata, Inc.: | |||
Term Loan, 9.189%, (SOFR + 3.75%), 12/1/27 | 15,197 | 15,158,512 | |
Term Loan, 9.574%, (SOFR + 4.25%), 12/1/27 | 3,580 | 3,581,180 | |
MedAssets Software Intermediate Holdings, Inc.: | |||
Term Loan, 9.439%, (SOFR + 4.00%), 12/18/28 | 17,533 | 13,916,819 | |
Term Loan - Second Lien, 12.189%, (SOFR + 6.75%), 12/17/29 | 9,625 | 5,849,594 | |
Navicure, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 10/22/26 | 10,028 | 10,036,341 | |
PointClickCare Technologies, Inc., Term Loan, 8.76%, (SOFR + 3.00%), 12/29/27 | 4,288 | 4,282,650 | |
Symplr Software, Inc., Term Loan, 9.983%, (SOFR + 4.50%), 12/22/27 | 11,445 | 10,064,454 | |
Verscend Holding Corp., Term Loan, 9.439%, (SOFR + 4.00%), 8/27/25 | 21,362 | 21,377,130 | |
$ 102,818,603 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Hotels, Restaurants & Leisure — 5.2% | |||
1011778 B.C. Unlimited Liability Company, Term Loan, 7.574%, (SOFR + 2.25%), 9/20/30 | 45,515 | $ 45,252,796 | |
Bally's Corporation, Term Loan, 8.927%, (SOFR + 3.25%), 10/2/28 | 3,834 | 3,588,037 | |
Carnival Corporation: | |||
Term Loan, 7.618%, (1 mo. EURIBOR + 3.75%), 6/30/25 | EUR | 9,546 | 10,116,261 |
Term Loan, 8.689%, (SOFR + 3.25%), 10/18/28 | 39,988 | 39,321,274 | |
ClubCorp Holdings, Inc., Term Loan, 8.19%, (1 mo. USD LIBOR + 2.75%), 9/18/26 | 22,314 | 21,876,990 | |
Fertitta Entertainment, LLC, Term Loan, 9.324%, (SOFR + 4.00%), 1/27/29 | 29,627 | 29,022,275 | |
Great Canadian Gaming Corporation, Term Loan, 9.658%, (SOFR + 4.00%), 11/1/26 | 9,643 | 9,647,105 | |
GVC Holdings (Gibraltar) Limited, Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 21,325 | 22,549,886 |
Ontario Gaming GTA L.P., Term Loan, 9.64%, (SOFR + 4.25%), 8/1/30 | 12,025 | 12,030,363 | |
Oravel Stays Singapore Pte., Ltd., Term Loan, 13.908%, (SOFR + 8.25%), 6/23/26 | 5,914 | 5,233,780 | |
Playa Resorts Holding B.V., Term Loan, 9.585%, (SOFR + 4.25%), 1/5/29 | 39,680 | 39,605,144 | |
Scientific Games Holdings, L.P., Term Loan, 7.964%, (3 mo. EURIBOR + 4.00%), 4/4/29 | EUR | 1,000 | 1,045,139 |
Scientific Games International, Inc., Term Loan, 8.435%, (SOFR + 3.00%), 4/14/29 | 7,885 | 7,886,525 | |
SeaWorld Parks & Entertainment, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 8/25/28 | 13,295 | 13,289,695 | |
Stars Group Holdings B.V. (The): | |||
Term Loan, 6.358%, (3 mo. EURIBOR + 2.50%), 7/21/26 | EUR | 12,305 | 13,034,257 |
Term Loan, 7.902%, (SOFR + 2.25%), 7/21/26 | 32,829 | 32,847,479 | |
$ 306,347,006 | |||
Household Durables — 1.2% | |||
ACProducts, Inc., Term Loan, 9.902%, (SOFR + 4.25%), 5/17/28 | 20,377 | $ 16,250,630 | |
Libbey Glass, Inc., Term Loan, 11.939%, (SOFR + 6.50%), 11/22/27 | 19,909 | 18,963,452 | |
Serta Simmons Bedding, LLC, Term Loan, 12.90%, (SOFR + 7.50%), 6/29/28 | 20,679 | 20,480,448 | |
Solis IV B.V., Term Loan, 8.891%, (SOFR + 3.50%), 2/26/29 | 17,967 | 17,001,560 | |
$ 72,696,090 | |||
Household Products — 0.5% | |||
Energizer Holdings, Inc., Term Loan, 7.703%, (SOFR + 2.25%), 12/22/27 | 7,185 | $ 7,181,370 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Household Products (continued) | |||
Kronos Acquisition Holdings, Inc.: | |||
Term Loan, 9.402%, (SOFR + 3.75%), 12/22/26 | 9,807 | $ 9,628,496 | |
Term Loan, 11.567%, (SOFR + 6.00%), 12/22/26 | 5,649 | 5,649,375 | |
Nobel Bidco B.V., Term Loan, 7.27%, (6 mo. EURIBOR + 3.50%), 9/1/28 | EUR | 9,050 | 8,831,020 |
$ 31,290,261 | |||
Independent Power and Renewable Electricity Producers — 0.3% | |||
Calpine Construction Finance Company L.P., Term Loan, 7.574%, (SOFR + 2.25%), 7/31/30 | 10,519 | $ 10,445,606 | |
Calpine Corporation: | |||
Term Loan, 7.439%, (SOFR + 2.00%), 4/5/26 | 3,174 | 3,174,829 | |
Term Loan, 7.939%, (SOFR + 2.50%), 12/16/27 | 3,693 | 3,693,777 | |
$ 17,314,212 | |||
Industrial Conglomerates — 0.5% | |||
Ammeraal Beltech Holding B.V., Term Loan, 8.972%, (3 mo. EURIBOR + 5.00%), 12/30/28 | EUR | 10,775 | $ 11,375,378 |
Rain Carbon GmbH, Term Loan, 8.787%, (3 mo. EURIBOR + 5.00%), 10/31/28 | EUR | 15,875 | 16,713,131 |
$ 28,088,509 | |||
Insurance — 2.2% | |||
Alliant Holdings Intermediate, LLC: | |||
Term Loan, 8.835%, (SOFR + 3.50%), 11/5/27 | 2,873 | $ 2,867,134 | |
Term Loan, 8.939%, (1 mo. USD LIBOR + 3.50%), 11/5/27 | 13,967 | 13,939,991 | |
AmWINS Group, Inc.: | |||
Term Loan, 7.689%, (SOFR + 2.25%), 2/19/28 | 11,302 | 11,221,190 | |
Term Loan, 8.189%, (SOFR + 2.75%), 2/19/28 | 15,419 | 15,405,171 | |
AssuredPartners, Inc.: | |||
Term Loan, 8.824%, (SOFR + 3.50%), 2/12/27 | 5,294 | 5,254,005 | |
Term Loan, 2/12/27(9) | 13,000 | 12,909,273 | |
Financiere CEP S.A.S., Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 6/18/27 | EUR | 5,242 | 5,463,733 |
HUB International Limited, Term Loan, 9.662%, (SOFR + 4.25%), 6/20/30 | 17,758 | 17,773,218 | |
NFP Corp., Term Loan, 8.689%, (SOFR + 3.25%), 2/16/27 | 27,630 | 27,150,532 | |
Ryan Specialty Group, LLC, Term Loan, 8.424%, (SOFR + 3.00%), 9/1/27 | 9,814 | 9,823,534 | |
USI, Inc., Term Loan, 9/27/30(9) | 9,050 | 9,017,945 | |
$ 130,825,726 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Interactive Media & Services — 0.7% | |||
Adevinta ASA: | |||
Term Loan, 6.472%, (3 mo. EURIBOR + 2.50%), 6/26/28 | EUR | 6,799 | $ 7,198,200 |
Term Loan, 8.322%, (SOFR + 2.75%), 6/26/28 | 3,626 | 3,631,613 | |
Buzz Finco, LLC: | |||
Term Loan, 8.174%, (SOFR + 2.75%), 1/29/27 | 2,734 | 2,735,571 | |
Term Loan, 8.674%, (SOFR + 3.25%), 1/29/27 | 549 | 549,527 | |
Foundational Education Group, Inc., Term Loan, 9.895%, (SOFR + 4.25%), 8/31/28 | 3,558 | 3,326,786 | |
Getty Images, Inc.: | |||
Term Loan, 9.00%, (3 mo. EURIBOR + 5.00%), 2/19/26 | EUR | 2,224 | 2,348,783 |
Term Loan, 9.99%, (SOFR + 4.50%), 2/19/26 | 15,075 | 15,127,062 | |
Match Group, Inc., Term Loan, 7.298%, (SOFR + 1.75%), 2/13/27 | 7,625 | 7,603,558 | |
$ 42,521,100 | |||
IT Services — 5.8% | |||
Asurion, LLC: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 12/23/26 | 5,407 | $ 5,233,905 | |
Term Loan, 8.689%, (SOFR + 3.25%), 7/31/27 | 11,456 | 10,955,039 | |
Term Loan, 9.424%, (SOFR + 4.00%), 8/19/28 | 21,544 | 20,604,725 | |
Term Loan, 9.674%, (SOFR + 4.25%), 8/19/28 | 7,338 | 7,022,057 | |
Term Loan - Second Lien, 10.689%, (SOFR + 5.25%), 1/31/28 | 18,610 | 16,244,985 | |
Term Loan - Second Lien, 10.689%, (SOFR + 5.25%), 1/20/29 | 4,375 | 3,758,742 | |
Cyxtera DC Holdings, Inc.: | |||
DIP Loan, 13.951%, (SOFR + 8.50%), 12/7/23 | 16,383 | 16,495,163 | |
Term Loan, 0.00%, 5/1/24(12) | 45,767 | 26,773,588 | |
Term Loan, 0.00%, 5/1/24(12) | 13,280 | 7,801,825 | |
Endure Digital, Inc., Term Loan, 9.422%, (SOFR + 3.50%), 2/10/28 | 33,744 | 31,408,700 | |
Gainwell Acquisition Corp., Term Loan, 9.49%, (SOFR + 4.00%), 10/1/27 | 51,267 | 49,131,005 | |
Go Daddy Operating Company, LLC: | |||
Term Loan, 7.439%, (SOFR + 2.00%), 8/10/27 | 9,796 | 9,800,022 | |
Term Loan, 7.824%, (SOFR + 2.50%), 11/9/29 | 52,470 | 52,576,405 | |
Informatica, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 10/27/28 | 34,327 | 34,300,440 | |
NAB Holdings, LLC, Term Loan, 8.54%, (SOFR + 3.00%), 11/23/28 | 13,797 | 13,729,526 | |
Rackspace Technology Global, Inc., Term Loan, 8.206%, (SOFR + 2.75%), 2/15/28 | 13,485 | 6,078,423 | |
Sedgwick Claims Management Services, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 2/24/28 | 9,975 | 9,953,402 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
IT Services (continued) | |||
team.blue Finco S.a.r.l., Term Loan, 7.105%, (1 mo. EURIBOR + 3.20%), 3/30/28 | EUR | 12,375 | $ 12,598,881 |
WEX, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 3/31/28 | 4,339 | 4,341,761 | |
$ 338,808,594 | |||
Leisure Products — 0.9% | |||
Accell Group N.V., Term Loan, 8.653%, (3 mo. EURIBOR + 4.90%), 6/14/29 | EUR | 3,500 | $ 3,207,258 |
Amer Sports Oyj, Term Loan, 7.948%, (3 mo. EURIBOR + 4.00%), 3/30/26 | EUR | 20,475 | 21,515,659 |
Fender Musical Instruments Corporation, Term Loan, 9.439%, (SOFR + 4.00%), 12/1/28 | 4,268 | 4,126,158 | |
Hayward Industries, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 5/30/28 | 12,281 | 12,096,343 | |
Recess Holdings, Inc., Term Loan, 9.383%, (SOFR + 4.00%), 3/29/27 | 7,800 | 7,785,375 | |
SRAM, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 5/18/28 | 2,074 | 2,068,679 | |
$ 50,799,472 | |||
Life Sciences Tools & Services — 2.9% | |||
Avantor Funding, Inc.: | |||
Term Loan, 6.368%, (1 mo. EURIBOR + 2.50%), 6/12/28 | EUR | 21,310 | $ 22,446,124 |
Term Loan, 7.674%, (SOFR + 2.25%), 11/8/27 | 5,966 | 5,970,559 | |
Cambrex Corporation, Term Loan, 8.924%, (SOFR + 3.50%), 12/4/26 | 5,938 | 5,894,310 | |
Catalent Pharma Solutions, Inc., Term Loan, 7.453%, (SOFR + 2.00%), 2/22/28 | 782 | 762,211 | |
Curia Global, Inc., Term Loan, 9.233%, (SOFR + 3.75%), 8/30/26(10) | 19,418 | 15,636,722 | |
ICON Luxembourg S.a.r.l., Term Loan, 7.902%, (SOFR + 2.25%), 7/3/28 | 53,065 | 53,146,632 | |
IQVIA, Inc., Term Loan, 7.402%, (SOFR + 1.75%), 1/17/25 | 13,620 | 13,667,314 | |
LGC Group Holdings, Ltd., Term Loan, 7.118%, (1 mo. EURIBOR + 3.25%), 4/21/27 | EUR | 4,025 | 4,174,439 |
Loire Finco Luxembourg S.a.r.l., Term Loan, 8.924%, (SOFR + 3.50%), 4/21/27 | 3,485 | 3,401,906 | |
PRA Health Sciences, Inc., Term Loan, 7.902%, (SOFR + 2.25%), 7/3/28 | 13,221 | 13,241,728 | |
Sotera Health Holdings, LLC, Term Loan, 8.395%, (SOFR + 2.75%), 12/11/26 | 11,625 | 11,578,500 | |
Star Parent, Inc., Term Loan, 9.386%, (3 mo. USD LIBOR + 4.00%), 9/27/30 | 18,475 | 17,680,187 | |
$ 167,600,632 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery — 6.3% | |||
AI Aqua Merger Sub, Inc., Term Loan, 9.082%, (SOFR + 3.75%), 7/31/28 | 19,610 | $ 19,250,949 | |
Albion Financing 3 S.a.r.l.: | |||
Term Loan, 10.883%, (SOFR + 5.50%), 8/17/26 | 4,254 | 4,250,967 | |
Term Loan, 10.924%, (SOFR + 5.25%), 8/17/26 | 19,994 | 19,993,875 | |
Ali Group North America Corporation, Term Loan, 7.439%, (SOFR + 2.00%), 7/30/29 | 16,370 | 16,373,849 | |
American Trailer World Corp., Term Loan, 9.174%, (SOFR + 3.75%), 3/3/28 | 16,117 | 15,162,955 | |
Apex Tool Group, LLC, Term Loan, 10.689%, (SOFR + 5.25%), 2/8/29 | 23,517 | 20,062,537 | |
Barnes Group, Inc., Term Loan, 8.424%, (SOFR + 3.00%), 9/3/30 | 14,800 | 14,702,882 | |
Clark Equipment Company, Term Loan, 7.99%, (SOFR + 2.50%), 4/20/29 | 12,403 | 12,431,054 | |
Conair Holdings, LLC, Term Loan, 9.189%, (SOFR + 3.75%), 5/17/28 | 26,044 | 24,204,178 | |
CPM Holdings, Inc., Term Loan, 9.827%, (SOFR + 4.50%), 9/28/28 | 7,000 | 7,006,566 | |
Delachaux Group S.A., Term Loan, 9.88%, (SOFR + 4.50%), 4/16/26 | 4,130 | 4,130,000 | |
Delachaux Group SA, Term Loan, 4/16/29(9) | EUR | 8,400 | 8,772,978 |
EMRLD Borrower, L.P., Term Loan, 8.38%, (SOFR + 3.00%), 5/31/30 | 14,790 | 14,781,123 | |
Engineered Machinery Holdings, Inc.: | |||
Term Loan, 7.722%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 11,883 | 12,407,858 |
Term Loan, 9.152%, (SOFR + 3.50%), 5/19/28 | 22,583 | 22,388,868 | |
Term Loan - Second Lien, 11.652%, (SOFR + 6.00%), 5/21/29 | 2,000 | 1,960,000 | |
Filtration Group Corporation, Term Loan, 8.939%, (SOFR + 3.50%), 10/21/28 | 3,218 | 3,197,922 | |
Gates Global, LLC, Term Loan, 7.924%, (SOFR + 2.50%), 3/31/27 | 18,374 | 18,365,381 | |
Icebox Holdco III, Inc., Term Loan, 9.402%, (SOFR + 3.75%), 12/22/28 | 12,621 | 12,378,944 | |
INNIO Group Holding GmbH, Term Loan, 6.871%, (1 mo. EURIBOR + 3.00%), 10/31/25 | EUR | 6,125 | 6,444,409 |
Madison IAQ, LLC, Term Loan, 8.703%, (SOFR + 3.25%), 6/21/28 | 23,025 | 22,235,916 | |
Pro Mach Group, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 8/31/28 | 4,773 | 4,766,186 | |
Roper Industrial Products Investment Company, LLC: | |||
Term Loan, 8.972%, (3 mo. EURIBOR + 5.25%), 11/22/29 | EUR | 995 | 1,050,836 |
Term Loan, 9.89%, (SOFR + 4.50%), 11/22/29 | 11,275 | 11,266,019 | |
SPX Flow, Inc., Term Loan, 9.924%, (SOFR + 4.50%), 4/5/29 | 19,620 | 19,476,372 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
Titan Acquisition Limited, Term Loan, 8.731%, (3 mo. USD LIBOR + 3.00%), 3/28/25 | 29,880 | $ 29,460,479 | |
TK Elevator Topco GmbH, Term Loan, 7.597%, (6 mo. EURIBOR + 3.63%), 7/30/27 | EUR | 12,100 | 12,600,969 |
Vertical US Newco, Inc., Term Loan, 9.381%, (SOFR + 3.50%), 7/30/27 | 6 | 6,138 | |
Zephyr German BidCo GmbH, Term Loan, 7.833%, (3 mo. EURIBOR + 3.85%), 3/10/28 | EUR | 13,675 | 13,665,653 |
$ 372,795,863 | |||
Media — 1.7% | |||
CSC Holdings, LLC: | |||
Term Loan, 7.699%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | 24,723 | $ 24,045,725 | |
Term Loan, 7.699%, (1 mo. USD LIBOR + 2.25%), 1/15/26 | 5,592 | 5,391,043 | |
Hubbard Radio, LLC, Term Loan, 9.69%, (1 mo. USD LIBOR + 4.25%), 3/28/25 | 7,610 | 6,443,074 | |
iHeartCommunications, Inc.: | |||
Term Loan, 8.439%, (SOFR + 3.00%), 5/1/26 | 1,127 | 964,957 | |
Term Loan, 8.689%, (SOFR + 3.25%), 5/1/26 | 3,165 | 2,718,891 | |
Mission Broadcasting, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 6/2/28 | 4,008 | 4,014,639 | |
Nexstar Broadcasting, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 9/18/26 | 1,167 | 1,168,113 | |
Recorded Books, Inc., Term Loan, 9.324%, (SOFR + 4.00%), 8/29/25 | 11,351 | 11,347,501 | |
Sinclair Television Group, Inc.: | |||
Term Loan, 7.939%, (SOFR + 2.50%), 9/30/26 | 5,305 | 4,479,575 | |
Term Loan, 8.439%, (SOFR + 3.00%), 4/1/28 | 25,186 | 18,185,893 | |
Univision Communications, Inc., Term Loan, 8.689%, (SOFR + 3.25%), 3/15/26 | 23,194 | 23,057,713 | |
$ 101,817,124 | |||
Metals/Mining — 1.5% | |||
Arsenal AIC Parent, LLC, Term Loan, 9.879%, (SOFR + 4.50%), 8/18/30 | 18,425 | $ 18,413,484 | |
Dynacast International, LLC: | |||
Term Loan, 10.017%, (SOFR + 4.50%), 7/22/25 | 16,367 | 15,343,726 | |
Term Loan, 14.517%, (SOFR + 9.00%), 10/22/25 | 2,926 | 2,209,012 | |
PMHC II, Inc., Term Loan, 9.807%, (SOFR + 4.25%), 4/23/29 | 20,550 | 18,747,407 | |
WireCo WorldGroup, Inc., Term Loan, 9.699%, (SOFR + 4.25%), 11/13/28 | 6,458 | 6,433,987 | |
Zekelman Industries, Inc., Term Loan, 7.449%, (SOFR + 2.00%), 1/24/27 | 26,813 | 26,790,361 | |
$ 87,937,977 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Oil, Gas & Consumable Fuels — 1.4% | |||
Freeport LNG Investments, LLP, Term Loan, 9.177%, (SOFR + 3.50%), 12/21/28 | 9,279 | $ 9,132,811 | |
GIP II Blue Holding, L.P., Term Loan, 9.939%, (SOFR + 4.50%), 9/29/28 | 17,292 | 17,337,555 | |
ITT Holdings, LLC, Term Loan, 10/5/30(9) | 10,850 | 10,704,198 | |
Matador Bidco S.a.r.l., Term Loan, 9.924%, (SOFR + 4.50%), 10/15/26 | 30,332 | 30,402,592 | |
Oxbow Carbon, LLC, Term Loan, 9.457%, (SOFR + 4.00%), 5/10/30(10) | 7,506 | 7,501,496 | |
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 13.439%, (SOFR + 8.00%), 8/27/26 | 7,607 | 7,602,609 | |
$ 82,681,261 | |||
Personal Products — 0.2% | |||
HLF Financing S.a.r.l., Term Loan, 7.939%, (SOFR + 2.50%), 8/18/25 | 13,794 | $ 13,683,744 | |
$ 13,683,744 | |||
Pharmaceuticals — 2.2% | |||
Aenova Holding GmbH, Term Loan, 8.487%, (3 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 4,075 | $ 4,293,791 |
AI Sirona (Luxembourg) Acquisition S.a.r.l., Term Loan, 8.868%, (1 mo. EURIBOR + 5.00%), 9/30/28 | EUR | 12,550 | 13,288,454 |
Bausch Health Companies, Inc., Term Loan, 10.689%, (SOFR + 5.25%), 2/1/27 | 18,433 | 14,463,005 | |
Ceva Sante Animale: | |||
Term Loan, 11/1/30(9) | EUR | 13,200 | 13,910,749 |
Term Loan, 11/1/30(9) | 5,375 | 5,381,719 | |
Elanco Animal Health Incorporated, Term Loan, 7.165%, (SOFR + 1.75%), 8/1/27 | 7,960 | 7,785,446 | |
Jazz Financing Lux S.a.r.l., Term Loan, 8.939%, (SOFR + 3.50%), 5/5/28 | 8,317 | 8,326,220 | |
Mallinckrodt International Finance S.A.: | |||
DIP Loan, 13.439%, (SOFR + 8.00%), 8/28/24 | 1,788 | 1,861,122 | |
DIP Loan, 13.451%, (SOFR + 8.00%), 8/28/24 | 3,379 | 3,527,311 | |
Term Loan, 12.703%, (SOFR + 7.25%), 9/30/27 | 38,268 | 29,143,242 | |
Term Loan, 12.953%, (SOFR + 7.50%), 9/30/27 | 12,161 | 9,295,692 | |
PharmaZell GmbH, Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 1,950 | 1,992,112 |
Recipharm AB, Term Loan, 6.737%, (3 mo. EURIBOR + 2.95%), 2/17/28 | EUR | 15,275 | 15,449,603 |
$ 128,718,466 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Professional Services — 2.7% | |||
APFS Staffing Holdings, Inc., Term Loan, 9.324%, (SOFR + 4.00%), 12/29/28 | 3,940 | $ 3,875,975 | |
Apleona Holding GmbH, Term Loan, 6.898%, (3 mo. EURIBOR + 2.95%), 4/28/28 | EUR | 10,525 | 10,872,014 |
ASGN Incorporated, Term Loan, 7.574%, (SOFR + 2.25%), 8/30/30 | 4,875 | 4,898,614 | |
CoreLogic, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 6/2/28 | 17,334 | 15,817,118 | |
Corporation Service Company, Term Loan, 8.674%, (SOFR + 3.25%), 11/2/29 | 4,991 | 4,997,762 | |
Deerfield Dakota Holding, LLC, Term Loan, 9.14%, (SOFR + 3.75%), 4/9/27 | 10,728 | 10,382,005 | |
EAB Global, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 8/16/28 | 15,695 | 15,454,120 | |
Employbridge Holding Company, Term Loan, 10.407%, (SOFR + 4.75%), 7/19/28 | 23,801 | 20,759,006 | |
First Advantage Holdings, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 1/31/27 | 3,606 | 3,611,349 | |
Genuine Financial Holdings, LLC, Term Loan, 9.40%, (SOFR + 4.00%), 9/27/30 | 5,175 | 5,128,104 | |
Neptune Bidco US, Inc., Term Loan, 10.507%, (SOFR + 5.00%), 4/11/29 | 9,129 | 8,032,206 | |
Rockwood Service Corporation, Term Loan, 9.439%, (SOFR + 4.00%), 1/23/27 | 11,302 | 11,326,302 | |
Trans Union, LLC: | |||
Term Loan, 7.174%, (SOFR + 1.75%), 11/16/26 | 2,471 | 2,469,157 | |
Term Loan, 7.689%, (SOFR + 2.25%), 12/1/28 | 34,098 | 34,089,508 | |
Vaco Holdings, LLC, Term Loan, 10.393%, (SOFR + 5.00%), 1/21/29 | 5,453 | 5,173,719 | |
$ 156,886,959 | |||
Real Estate Management & Development — 1.0% | |||
Cushman & Wakefield U.S. Borrower, LLC: | |||
Term Loan, 8.189%, (SOFR + 2.75%), 8/21/25 | 921 | $ 920,898 | |
Term Loan, 8.674%, (SOFR + 3.25%), 1/31/30 | 10,634 | 10,182,019 | |
Term Loan, 9.324%, (SOFR + 4.00%), 1/31/30 | 8,009 | 7,648,986 | |
Greystar Real Estate Partners, LLC, Term Loan, 9.147%, (SOFR + 3.75%), 8/21/30 | 8,350 | 8,350,000 | |
Homeserve USA Holding Corp., Term Loan, 8.416%, (SOFR + 3.00%), 10/21/30 | 12,075 | 12,044,812 | |
RE/MAX International, Inc., Term Loan, 7.939%, (SOFR + 2.50%), 7/21/28 | 17,888 | 17,266,633 | |
$ 56,413,348 | |||
Road & Rail — 2.7% | |||
Avis Budget Car Rental, LLC: | |||
Term Loan, 7.189%, (SOFR + 1.75%), 8/6/27 | 33,771 | $ 33,637,570 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Road & Rail (continued) | |||
Avis Budget Car Rental, LLC: (continued) | |||
Term Loan, 8.924%, (SOFR + 3.50%), 3/16/29 | 4,104 | $ 4,112,375 | |
Grab Holdings, Inc., Term Loan, 9.939%, (SOFR + 4.50%), 1/29/26 | 17,194 | 17,264,084 | |
Hertz Corporation (The): | |||
Term Loan, 8.691%, (SOFR + 3.25%), 6/30/28 | 16,492 | 16,381,677 | |
Term Loan, 8.691%, (SOFR + 3.25%), 6/30/28 | 3,180 | 3,158,379 | |
Kenan Advantage Group, Inc., Term Loan, 9.477%, (SOFR + 3.75%), 3/24/26 | 16,820 | 16,795,688 | |
Uber Technologies, Inc., Term Loan, 8.159%, (SOFR + 2.75%), 3/3/30 | 68,388 | 68,439,682 | |
$ 159,789,455 | |||
Semiconductors & Semiconductor Equipment — 1.2% | |||
Altar Bidco, Inc.: | |||
Term Loan, 8.142%, (SOFR + 3.10%), 2/1/29(10) | 20,811 | $ 20,653,470 | |
Term Loan - Second Lien, 10.493%, (SOFR + 5.60%), 2/1/30 | 7,300 | 7,099,250 | |
Bright Bidco B.V., Term Loan, 14.378%, (SOFR + 9.00%), 6.378% cash, 8.00% PIK, 10/31/27 | 4,376 | 1,712,251 | |
Entegris, Inc., Term Loan, 7.89%, (SOFR + 2.50%), 7/6/29 | 1,261 | 1,263,364 | |
MaxLinear, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 6/23/28 | 3,250 | 3,201,250 | |
MKS Instruments, Inc., Term Loan, 7.819%, (SOFR + 2.50%), 8/17/29 | 33,342 | 33,141,895 | |
Synaptics Incorporated, Term Loan, 7.914%, (SOFR + 2.25%), 12/2/28 | 3,173 | 3,159,998 | |
Ultra Clean Holdings, Inc., Term Loan, 9.191%, (SOFR + 3.75%), 8/27/25 | 2,848 | 2,855,431 | |
$ 73,086,909 | |||
Software — 16.4% | |||
Applied Systems, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 9/18/26 | 67,781 | $ 68,011,446 | |
Aptean, Inc.: | |||
Term Loan, 9.674%, (SOFR + 4.25%), 4/23/26 | 22,344 | 22,326,156 | |
Term Loan - Second Lien, 12.424%, (SOFR + 7.00%), 4/23/27 | 6,500 | 6,069,375 | |
Astra Acquisition Corp.: | |||
Term Loan, 10.902%, (SOFR + 5.25%), 10/25/28 | 14,219 | 9,753,192 | |
Term Loan - Second Lien, 14.527%, (SOFR + 8.88%), 10/25/29 | 21,995 | 11,547,224 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 5,922 | 6,257,553 |
Term Loan, 9.189%, (SOFR + 3.75%), 10/2/25 | 14,998 | 15,001,149 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Banff Merger Sub, Inc.: (continued) | |||
Term Loan - Second Lien, 10.939%, (SOFR + 5.50%), 2/27/26 | 9,470 | $ 9,432,518 | |
Cegid Group SAS, Term Loan, 7/10/28(9) | EUR | 7,850 | 8,255,902 |
Central Parent, Inc., Term Loan, 9.406%, (SOFR + 4.00%), 7/6/29 | 33,487 | 33,348,158 | |
CentralSquare Technologies, LLC, Term Loan, 9.29%, (SOFR + 3.75%), 8/29/25 | 23,577 | 22,306,639 | |
Cloud Software Group, Inc., Term Loan, 9.99%, (SOFR + 4.50%), 9/29/28(10) | 22,472 | 21,348,286 | |
Cloudera, Inc.: | |||
Term Loan, 9.174%, (SOFR + 3.75%), 10/8/28 | 22,685 | 21,881,374 | |
Term Loan - Second Lien, 11.424%, (SOFR + 6.00%), 10/8/29 | 4,450 | 4,013,344 | |
Constant Contact, Inc., Term Loan, 9.687%, (SOFR + 4.00%), 2/10/28 | 12,979 | 12,067,507 | |
Cornerstone OnDemand, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 10/16/28 | 16,991 | 16,083,272 | |
Delta TopCo, Inc., Term Loan, 9.069%, (SOFR + 3.75%), 12/1/27 | 14,035 | 13,838,071 | |
E2open, LLC, Term Loan, 8.939%, (SOFR + 3.50%), 2/4/28 | 20,063 | 19,825,208 | |
ECI Macola Max Holding, LLC, Term Loan, 9.402%, (SOFR + 3.75%), 11/9/27 | 26,794 | 26,697,268 | |
Epicor Software Corporation: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 7/30/27 | 69,746 | 69,488,218 | |
Term Loan, 9.074%, (SOFR + 3.75%), 7/30/27 | 10,900 | 10,931,337 | |
Fiserv Investment Solutions, Inc., Term Loan, 9.383%, (SOFR + 4.00%), 2/18/27 | 12,035 | 11,309,136 | |
Gen Digital, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 9/12/29 | 3,652 | 3,624,166 | |
GoTo Group, Inc., Term Loan, 10.283%, (SOFR + 4.75%), 8/31/27 | 28,349 | 17,948,603 | |
IGT Holding IV AB: | |||
Term Loan, 7.122%, (3 mo. EURIBOR + 3.15%), 3/31/28 | EUR | 6,205 | 6,406,403 |
Term Loan, 8.962%, (SOFR + 3.40%), 3/31/28 | 1,657 | 1,649,758 | |
Imperva, Inc., Term Loan, 9.627%, (SOFR + 4.00%), 1/12/26 | 4,899 | 4,908,098 | |
iSolved, Inc., Term Loan, 9.484%, (SOFR + 4.00%), 10/14/30 | 6,550 | 6,562,281 | |
Ivanti Software, Inc., Term Loan, 9.907%, (SOFR + 4.25%), 12/1/27 | 10,275 | 9,159,946 | |
Magenta Buyer, LLC: | |||
Term Loan, 10.645%, (SOFR + 5.00%), 7/27/28 | 22,176 | 15,523,291 | |
Term Loan - Second Lien, 13.895%, (SOFR + 8.25%), 7/27/29 | 7,475 | 3,236,675 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Marcel LUX IV S.a.r.l.: | |||
Term Loan, 7.455%, (3 mo. EURIBOR + 3.50%), 3/16/26 | EUR | 9,150 | $ 9,675,567 |
Term Loan, 8.689%, (SOFR + 3.25%), 3/15/26 | 15,965 | 15,965,033 | |
Term Loan, 9.436%, (SOFR + 4.00%), 12/31/27 | 3,254 | 3,254,231 | |
Maverick Bidco, Inc., Term Loan, 9.283%, (SOFR + 3.75%), 5/18/28 | 11,914 | 11,663,223 | |
McAfee, LLC, Term Loan, 9.165%, (SOFR + 3.75%), 3/1/29 | 24,476 | 23,440,877 | |
Mosel Bidco SE: | |||
Term Loan, 8.691%, (3 mo. EURIBOR + 4.75%), 9/16/30 | EUR | 1,825 | 1,918,987 |
Term Loan, 10.164%, (SOFR + 4.75%), 9/16/30 | 3,275 | 3,270,906 | |
N-Able International Holdings II, LLC, Term Loan, 8.434%, (SOFR + 2.75%), 7/19/28 | 1,632 | 1,629,494 | |
Open Text Corporation, Term Loan, 8.174%, (SOFR + 2.75%), 1/31/30 | 28,443 | 28,473,452 | |
Polaris Newco, LLC: | |||
Term Loan, 7.868%, (1 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 9,163 | 9,143,949 |
Term Loan, 9.439%, (SOFR + 4.00%), 6/2/28 | 7,770 | 7,355,519 | |
Project Alpha Intermediate Holding, Inc., Term Loan, 10/28/30(9) | 5,500 | 5,350,713 | |
Proofpoint, Inc.: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 8/31/28 | 39,330 | 38,729,406 | |
Term Loan - Second Lien, 11.689%, (SOFR + 6.25%), 8/31/29 | 2,070 | 2,081,321 | |
Quartz Acquireco, LLC, Term Loan, 8.824%, (SOFR + 3.50%), 6/28/30 | 10,625 | 10,625,000 | |
Quest Software US Holdings, Inc., Term Loan, 9.783%, (SOFR + 4.25%), 2/1/29 | 25,210 | 20,068,835 | |
RealPage, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 4/24/28 | 10,981 | 10,739,861 | |
Red Planet Borrower, LLC, Term Loan, 9.174%, (SOFR + 3.75%), 10/2/28 | 16,613 | 15,557,804 | |
Redstone Holdco 2, L.P., Term Loan, 10.189%, (SOFR + 4.75%), 4/27/28 | 12,915 | 10,380,338 | |
Sabre GLBL, Inc.: | |||
Term Loan, 8.939%, (SOFR + 3.50%), 12/17/27 | 8,392 | 7,185,831 | |
Term Loan, 8.939%, (SOFR + 3.50%), 12/17/27 | 5,371 | 4,598,562 | |
Term Loan, 9.674%, (SOFR + 4.25%), 6/30/28 | 7,345 | 6,291,941 | |
Term Loan, 10.424%, (SOFR + 5.00%), 6/30/28 | 1,000 | 858,333 | |
Skillsoft Corporation, Term Loan, 10.699%, (SOFR + 5.25%), 7/14/28 | 14,915 | 13,688,972 | |
SolarWinds Holdings, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 2/5/27 | 26,616 | 26,641,216 | |
Sophia, L.P., Term Loan, 8.924%, (SOFR + 3.50%), 10/7/27 | 32,861 | 32,475,124 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
SS&C European Holdings S.a.r.l., Term Loan, 7.189%, (SOFR + 1.75%), 4/16/25 | 4,995 | $ 4,999,276 | |
SS&C Technologies, Inc.: | |||
Term Loan, 7.189%, (SOFR + 1.75%), 4/16/25 | 5,290 | 5,294,273 | |
Term Loan, 7.189%, (SOFR + 1.75%), 4/16/25 | 4,745 | 4,748,421 | |
Term Loan, 7.674%, (SOFR + 2.25%), 3/22/29 | 2,978 | 2,979,123 | |
Term Loan, 7.674%, (SOFR + 2.25%), 3/22/29 | 4,718 | 4,719,194 | |
Turing Midco, LLC, Term Loan, 7.939%, (SOFR + 2.50%), 3/24/28 | 726 | 724,553 | |
Ultimate Software Group, Inc. (The): | |||
Term Loan, 8.764%, (SOFR + 3.25%), 5/4/26 | 54,101 | 53,888,185 | |
Term Loan, 9.233%, (SOFR + 3.75%), 5/4/26 | 782 | 781,231 | |
Veritas US, Inc., Term Loan, 10.439%, (SOFR + 5.11%), 9/1/25 | 20,007 | 16,987,401 | |
Vision Solutions, Inc.: | |||
Term Loan, 9.64%, (SOFR + 4.00%), 4/24/28 | 39,257 | 37,514,755 | |
Term Loan - Second Lien, 12.791%, (SOFR + 7.25%), 4/23/29 | 1,500 | 1,332,187 | |
VS Buyer, LLC, Term Loan, 8.674%, (SOFR + 3.25%), 2/28/27 | 1,812 | 1,801,117 | |
$ 965,645,765 | |||
Specialty Retail — 2.6% | |||
Belron Luxembourg S.a.r.l., Term Loan, 6.147%, (3 mo. EURIBOR + 2.43%), 4/13/28 | EUR | 3,925 | $ 4,151,561 |
Boels Topholding B.V., Term Loan, 7.049%, (EURIBOR + 3.25%), 2/6/27(10) | EUR | 7,586 | 8,028,637 |
Etraveli Holding AB, Term Loan, 7.972%, (3 mo. EURIBOR + 4.00%), 8/2/24 | EUR | 9,472 | 10,009,840 |
Great Outdoors Group, LLC, Term Loan, 9.402%, (SOFR + 3.75%), 3/6/28 | 35,275 | 35,065,436 | |
Harbor Freight Tools USA, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 10/19/27 | 25,349 | 25,065,068 | |
Hoya Midco, LLC, Term Loan, 8.633%, (SOFR + 3.25%), 2/3/29 | 4,845 | 4,846,963 | |
Les Schwab Tire Centers, Term Loan, 8.692%, (SOFR + 3.25%), 11/2/27 | 28,684 | 28,624,423 | |
LIDS Holdings, Inc., Term Loan, 11.06%, (SOFR + 5.50%), 12/14/26 | 5,527 | 5,347,705 | |
Mattress Firm, Inc., Term Loan, 9.95%, (6 mo. USD LIBOR + 4.25%), 9/25/28 | 17,449 | 17,268,984 | |
PetSmart, Inc., Term Loan, 9.174%, (SOFR + 3.75%), 2/11/28 | 15,390 | 15,237,590 | |
$ 153,646,207 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Trading Companies & Distributors — 3.5% | |||
Avolon TLB Borrower 1 (US), LLC: | |||
Term Loan, 7.689%, (SOFR + 2.25%), 12/1/27 | 17,796 | $ 17,819,649 | |
Term Loan, 7.839%, (SOFR + 2.50%), 6/22/28 | 23,366 | 23,395,368 | |
Core & Main, L.P., Term Loan, 7.967%, (SOFR + 2.50%), 7/27/28(10) | 9,545 | 9,548,978 | |
DXP Enterprises, Inc., Term Loan, 10.291%, (SOFR + 4.75%), 10/11/30 | 9,150 | 9,104,250 | |
Electro Rent Corporation, Term Loan, 11.002%, (SOFR + 5.50%), 11/1/24 | 21,917 | 20,602,422 | |
Hillman Group, Inc. (The), Term Loan, 8.189%, (SOFR + 2.75%), 7/14/28 | 1,078 | 1,076,957 | |
Park River Holdings, Inc., Term Loan, 8.907%, (SOFR + 3.25%), 12/28/27 | 3,726 | 3,531,593 | |
Patagonia Bidco Limited, Term Loan, 10.181%, (SONIA + 5.25%), 11/1/28 | GBP | 20,050 | 20,424,904 |
PEARLS (Netherlands) Bidco B.V., Term Loan, 7.448%, (3 mo. EURIBOR + 3.50%), 2/26/29 | EUR | 6,000 | 6,199,143 |
Spin Holdco, Inc., Term Loan, 9.664%, (SOFR + 4.00%), 3/4/28 | 51,147 | 43,966,470 | |
SRS Distribution, Inc.: | |||
Term Loan, 8.825%, (SOFR + 3.50%), 6/2/28 | 5,355 | 5,246,194 | |
Term Loan, 8.939%, (SOFR + 3.50%), 6/2/28 | 16,294 | 15,953,575 | |
White Cap Buyer, LLC, Term Loan, 9.074%, (SOFR + 3.75%), 10/19/27 | 16,349 | 16,260,597 | |
Windsor Holdings III, LLC, Term Loan, 9.815%, (SOFR + 4.50%), 8/1/30 | 13,900 | 13,874,563 | |
$ 207,004,663 | |||
Wireless Telecommunication Services — 0.5% | |||
CCI Buyer, Inc., Term Loan, 9.39%, (SOFR + 4.00%), 12/17/27 | 9,871 | $ 9,678,967 | |
Digicel International Finance Limited, Term Loan, 8.902%, (3 mo. USD LIBOR + 3.25%), 5/28/24 | 18,919 | 17,421,048 | |
$ 27,100,015 | |||
Total Senior Floating-Rate Loans (identified cost $6,735,136,792) | $ 6,381,790,440 |
Short-Term Investments — 1.4% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(13) | 83,572,578 | $ 83,572,578 | |
Total Short-Term Investments (identified cost $83,572,578) | $ 83,572,578 | ||
Total Investments — 126.3% (identified cost $7,924,675,250) | $ 7,423,036,997 | ||
Less Unfunded Loan Commitments — (0.2)% | $ (10,209,831) | ||
Net Investments — 126.1% (identified cost $7,914,465,419) | $ 7,412,827,166 | ||
Other Assets, Less Liabilities — (26.1)% | $ (1,537,361,779) | ||
Net Assets — 100.0% | $ 5,875,465,387 |
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 October 31, 2023, the aggregate value of these securities is $871,306,678 or 14.8% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(4) | Non-income producing security. |
(5) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(6) | Amount is less than 0.05%. |
(7) | When-issued security. |
(8) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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. |
(9) | This Senior Loan will settle after October 31, 2023, at which time the interest rate will be determined. |
(10) | The stated interest rate represents the weighted average interest rate at October 31, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(11) | 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 October 31, 2023, the total value of unfunded loan commitments is $7,617,406. See Note 1F for description. |
(12) | Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(13) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 315,263,746 | EUR | 297,407,318 | Standard Chartered Bank | 11/2/23 | $ 576,977 | $ — |
EUR | 20,000,000 | USD | 21,486,354 | Citibank, N.A. | 11/30/23 | — | (300,653) |
EUR | 40,000,000 | USD | 42,327,580 | Standard Chartered Bank | 11/30/23 | 43,822 | — |
GBP | 2,357,648 | USD | 2,857,894 | Bank of America, N.A. | 11/30/23 | 8,173 | — |
GBP | 3,000,000 | USD | 3,745,067 | Standard Chartered Bank | 11/30/23 | — | (98,127) |
USD | 116,064,697 | EUR | 106,243,836 | Bank of America, N.A. | 11/30/23 | 3,522,189 | — |
USD | 62,855,595 | EUR | 57,560,153 | Bank of America, N.A. | 11/30/23 | 1,882,985 | — |
USD | 72,465,865 | EUR | 66,379,854 | State Street Bank and Trust Company | 11/30/23 | 2,150,676 | — |
USD | 2,232,524 | EUR | 2,045,193 | The Toronto-Dominion Bank | 11/30/23 | 66,081 | — |
USD | 41,739,674 | GBP | 33,074,976 | State Street Bank and Trust Company | 11/30/23 | 1,532,194 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 314,756,312 | EUR | 297,407,318 | Standard Chartered Bank | 12/4/23 | $ — | $ (333,443) |
EUR | 17,000,000 | USD | 18,051,246 | Standard Chartered Bank | 12/29/23 | — | (13,840) |
GBP | 6,000,000 | USD | 7,317,447 | State Street Bank and Trust Company | 12/29/23 | — | (21,207) |
USD | 7,102,868 | EUR | 6,729,574 | Australia and New Zealand Banking Group Limited | 12/29/23 | — | (37,372) |
USD | 32,690,461 | EUR | 31,000,000 | Australia and New Zealand Banking Group Limited | 12/29/23 | — | (201,279) |
USD | 32,704,566 | EUR | 31,000,000 | Goldman Sachs International | 12/29/23 | — | (187,174) |
USD | 32,690,188 | EUR | 31,000,000 | State Street Bank and Trust Company | 12/29/23 | — | (201,552) |
USD | 34,097,643 | EUR | 32,342,549 | State Street Bank and Trust Company | 12/29/23 | — | (218,574) |
USD | 34,095,356 | EUR | 32,342,549 | State Street Bank and Trust Company | 12/29/23 | — | (220,860) |
$9,783,097 | $(1,834,081) |
Abbreviations: | |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Interbank Average |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $7,830,892,841) | $ 7,329,254,588 |
Affiliated investments, at value (identified cost $83,572,578) | 83,572,578 |
Cash | 26,564,056 |
Deposits for derivatives collateral — forward foreign currency exchange contracts | 1,720,000 |
Foreign currency, at value (identified cost $27,293,161) | 27,317,109 |
Interest receivable | 48,121,291 |
Dividends receivable from affiliated investments | 397,657 |
Receivable for investments sold | 67,432,178 |
Receivable for open forward foreign currency exchange contracts | 9,783,097 |
Prepaid upfront fees on notes payable | 1,307,380 |
Trustees' deferred compensation plan | 273,147 |
Prepaid expenses | 91,621 |
Total assets | $7,595,834,702 |
Liabilities | |
Notes payable | $ 1,525,000,000 |
Payable for investments purchased | 178,250,208 |
Payable for when-issued securities | 5,375,000 |
Payable for open forward foreign currency exchange contracts | 1,834,081 |
Payable to affiliates: | |
Investment adviser fee | 2,634,200 |
Trustees' fees | 9,042 |
Trustees' deferred compensation plan | 273,147 |
Accrued expenses | 6,993,637 |
Total liabilities | $1,720,369,315 |
Net Assets applicable to investors' interest in Portfolio | $5,875,465,387 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income | $ 4,384,967 |
Dividend income from affiliated investments | 5,747,653 |
Interest and other income | 711,315,184 |
Total investment income | $ 721,447,804 |
Expenses | |
Investment adviser fee | $ 33,952,435 |
Trustees’ fees and expenses | 108,500 |
Custodian fee | 1,308,498 |
Legal and accounting services | 410,206 |
Interest expense and fees | 114,477,456 |
Miscellaneous | 425,800 |
Total expenses | $ 150,682,895 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 187,525 |
Total expense reductions | $ 187,525 |
Net expenses | $ 150,495,370 |
Net investment income | $ 570,952,434 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (256,805,482) |
Foreign currency transactions | 2,530,617 |
Forward foreign currency exchange contracts | (67,585,880) |
Net realized loss | $(321,860,745) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 484,673,959 |
Foreign currency | 464,567 |
Forward foreign currency exchange contracts | 11,505,499 |
Net change in unrealized appreciation (depreciation) | $ 496,644,025 |
Net realized and unrealized gain | $ 174,783,280 |
Net increase in net assets from operations | $ 745,735,714 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 570,952,434 | $ 454,111,028 |
Net realized gain (loss) | (321,860,745) | 61,185,798 |
Net change in unrealized appreciation (depreciation) | 496,644,025 | (933,652,683) |
Net increase (decrease) in net assets from operations | $ 745,735,714 | $ (418,355,857) |
Capital transactions: | ||
Contributions | $ 365,123,130 | $ 2,156,822,498 |
Withdrawals | (2,604,898,648) | (2,792,514,701) |
Net decrease in net assets from capital transactions | $(2,239,775,518) | $ (635,692,203) |
Net decrease in net assets | $(1,494,039,804) | $(1,054,048,060) |
Net Assets | ||
At beginning of year | $ 7,369,505,191 | $ 8,423,553,251 |
At end of year | $ 5,875,465,387 | $ 7,369,505,191 |
Year Ended | |
October 31, 2023 | |
Cash Flows From Operating Activities | |
Net increase in net assets from operations | $ 745,735,714 |
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: | |
Investments purchased | (1,225,778,411) |
Investments sold and principal repayments | 3,503,558,761 |
Decrease in short-term investments, net | 2,637,385 |
Net amortization/accretion of premium (discount) | (18,858,014) |
Amortization of prepaid upfront fees on notes payable | 3,951,049 |
Increase in interest receivable | (2,070,002) |
Increase in dividends receivable from affiliated investments | (102,095) |
Increase in Trustees’ deferred compensation plan | (273,147) |
Decrease in payable to affiliate for investment adviser fee | (708,469) |
Increase in payable to affiliate for Trustees' deferred compensation plan | 273,147 |
Decrease in accrued expenses | (122,395) |
Decrease in unfunded loan commitments | (7,313,422) |
Net change in unrealized (appreciation) depreciation from investments | (484,673,959) |
Net change in unrealized (appreciation) depreciation from forward foreign currency exchange contracts | (11,505,499) |
Net realized loss from investments | 256,805,482 |
Net cash provided by operating activities | $ 2,761,556,125 |
Cash Flows From Financing Activities | |
Proceeds from capital contributions | $ 365,123,130 |
Payments for capital withdrawals | (2,604,898,648) |
Proceeds from notes payable | 375,000,000 |
Repayments of notes payable | (925,000,000) |
Payment of prepaid upfront fees on notes payable | (3,787,500) |
Net cash used in financing activities | $(2,793,563,018) |
Net decrease in cash and restricted cash* | $ (32,006,893) |
Cash and restricted cash at beginning of year (including foreign currency) | $ 87,608,058 |
Cash and restricted cash at end of year (including foreign currency) | $ 55,601,165 |
Supplemental disclosure of cash flow information: | |
Cash paid for interest and fees on borrowings | $ 114,591,036 |
* | Includes net change in unrealized (appreciation) depreciation on foreign currency of $(26,993). |
October 31, 2023 | |
Cash | $ 26,564,056 |
Deposits for derivatives collateral — forward foreign currency exchange contracts | 1,720,000 |
Foreign currency | 27,317,109 |
Total cash and restricted cash as shown on the Statement of Cash Flows | $55,601,165 |
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Ratios/Supplemental Data | |||||
Ratios (as a percentage of average daily net assets): | |||||
Expenses excluding interest and fees | 0.56% | 0.52% | 0.53% | 0.56% | 0.55% |
Interest and fee expense | 1.81% | 0.47% | 0.32% | 0.60% | 0.88% |
Total expenses | 2.37% (1) | 0.99% (1) | 0.85% | 1.16% | 1.43% |
Net investment income | 9.01% | 5.16% | 4.19% | 4.86% | 5.63% |
Portfolio Turnover | 18% | 27% | 28% | 30% | 17% |
Total Return | 12.42% | (4.22)% | 9.75% | 0.39% | 2.04% |
Net assets, end of year (000’s omitted) | $5,875,465 | $7,369,505 | $8,423,553 | $5,449,434 | $7,343,453 |
(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 years ended October 31, 2023 and 2022). |
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 | $7,855,187,552 |
Gross unrealized appreciation | $ 33,109,887 |
Gross unrealized depreciation | (475,470,273) |
Net unrealized depreciation | $ (442,360,386) |
Fair Value | ||
Derivative | Asset Derivative(1) | Liability Derivative(2) |
Forward foreign currency exchange contracts | $9,783,097 | $(1,834,081) |
(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. | $ 5,413,347 | $ — | $ (5,133,962) | $ — | $ 279,385 |
Standard Chartered Bank | 620,799 | (445,410) | — | — | 175,389 |
State Street Bank and Trust Company | 3,682,870 | (662,193) | (1,523,875) | — | 1,496,802 |
The Toronto-Dominion Bank | 66,081 | — | — | — | 66,081 |
$9,783,097 | $(1,107,603) | $(6,657,837) | $ — | $2,017,657 |
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) |
Australia and New Zealand Banking Group Limited | $ (238,651) | $ — | $ — | $ 238,651 | $ — |
Citibank, N.A. | (300,653) | — | — | 300,653 | — |
Goldman Sachs International | (187,174) | — | — | 187,174 | — |
Standard Chartered Bank | (445,410) | 445,410 | — | — | — |
State Street Bank and Trust Company | (662,193) | 662,193 | — | — | — |
$(1,834,081) | $1,107,603 | $ — | $726,478 | $ — |
(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 | $(67,585,880) | $11,505,499 |
(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 | $2,721,664,974 | $(2,724,302,359) | $ — | $ — | $83,572,578 | $5,747,653 | 83,572,578 |
• | 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 | $ — | $ 287,354,466 | $ — | $ 287,354,466 |
Common Stocks | 949,757 | 37,448,962 | 674,474 | 39,073,193 |
Corporate Bonds | — | 607,931,525 | — | 607,931,525 |
Exchange-Traded Funds | 15,955,200 | — | — | 15,955,200 |
Preferred Stocks | — | 7,359,595 | — | 7,359,595 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 6,354,393,345 | 17,187,264 | 6,371,580,609 |
Short-Term Investments | 83,572,578 | — | — | 83,572,578 |
Total Investments | $ 100,477,535 | $ 7,294,487,893 | $ 17,861,738 | $ 7,412,827,166 |
Forward Foreign Currency Exchange Contracts | $ — | $ 9,783,097 | $ — | $ 9,783,097 |
Total | $ 100,477,535 | $ 7,304,270,990 | $ 17,861,738 | $ 7,422,610,263 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (1,834,081) | $ — | $ (1,834,081) |
Total | $ — | $ (1,834,081) | $ — | $ (1,834,081) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management ‘Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 10/31/2011 | 10/31/2011 | 8.13% | 2.72% | 3.33% |
Class A with 3.25% Maximum Sales Charge | — | — | 4.57 | 2.04 | 2.98 |
Class C at NAV | 10/31/2011 | 10/31/2011 | 7.32 | 1.96 | 2.76 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 6.32 | 1.96 | 2.76 |
Class I at NAV | 10/31/2011 | 10/31/2011 | 8.40 | 2.99 | 3.64 |
Class R6 at NAV | 09/03/2019 | 10/31/2011 | 8.44 | 3.00 | 3.65 |
Morningstar® LSTA® US Leveraged Loan IndexSM | — | — | 11.92% | 4.46% | 4.22% |
ICE BofA Developed Markets High Yield ex-Subordinated Financials Index – Hedged USD | — | — | 7.25 | 3.04 | 3.96 |
Blended Index | — | — | 9.57 | 3.78 | 4.11 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
0.98% | 1.73% | 0.73% | 0.67% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class C | $10,000 | 10/31/2013 | $13,133 | N.A. |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,430,268 | N.A. |
Class R6, at minimum investment | $5,000,000 | 10/31/2013 | $7,156,288 | N.A. |
Asset Allocation (% of total investments)1 |
Credit Quality (% of net assets)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. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. | |
Additional Information | |
Bloomberg U.S. Treasury Index measures the performance of U.S. Treasuries with a maturity of one year or more. Bloomberg U.S. Corporate Bond Index measures the performance of investment-grade U.S. corporate securities with a maturity of one year or more. Bloomberg U.S. Corporate High Yield Index measures USD-denominated, non-investment grade corporate securities. Bloomberg U.S. Asset-Backed Securities Index tracks the performance of U.S. dollar denominated investment grade fixed rate asset-backed securities publicly issued in the U.S. domestic market. Bloomberg U.S. Mortgage Backed Securities Index measures agency mortgage-backed pass-through securities issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). | |
Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,022.10 | $4.79 | 0.94% |
Class C | $1,000.00 | $1,018.20 | $8.60 | 1.69% |
Class I | $1,000.00 | $1,024.50 | $3.52 | 0.69% |
Class R6 | $1,000.00 | $1,023.60 | $3.26 | 0.64% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.47 | $4.79 | 0.94% |
Class C | $1,000.00 | $1,016.69 | $8.59 | 1.69% |
Class I | $1,000.00 | $1,021.73 | $3.52 | 0.69% |
Class R6 | $1,000.00 | $1,021.98 | $3.26 | 0.64% |
* | 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 184/365 (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 April 30, 2023. |
Asset-Backed Securities — 4.1% |
Security | Principal Amount (000's omitted) | Value | |
Ares LII CLO, Ltd., Series 2019-52A, Class DR, 8.974%, (3 mo. SOFR + 3.562%), 4/22/31(1)(2) | $ | 1,750 | $ 1,669,563 |
Benefit Street Partners CLO XIX, Ltd.: | |||
Series 2019-19A, Class D, 9.456%, (3 mo. SOFR + 4.062%), 1/15/33(1)(2) | 1,000 | 983,520 | |
Series 2019-19A, Class E, 12.676%, (3 mo. SOFR + 7.281%), 1/15/33(1)(2) | 1,000 | 980,592 | |
Benefit Street Partners CLO XVIII, Ltd., Series 2019-18A, Class ER, 12.406%, (3 mo. SOFR + 7.011%), 10/15/34(1)(2) | 500 | 483,246 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 12.807%, (3 mo. SOFR + 7.392%), 10/20/34(1)(2) | 500 | 463,554 | |
Bryant Park Funding, Ltd., Series 2023-20A, Class D, 11.449%, (3 mo. SOFR + 6.09%), 7/15/36(1)(2) | 1,000 | 974,506 | |
Canyon Capital CLO, Ltd., Series 2020-3A, Class E, 12.906%, (3 mo. SOFR + 7.512%), 1/15/34(1)(2) | 1,000 | 992,063 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2014-3RA, Class C, 8.599%, (3 mo. SOFR + 3.212%), 7/27/31(1)(2) | 2,725 | 2,518,224 | |
Series 2014-4RA, Class C, 8.556%, (3 mo. SOFR + 3.162%), 7/15/30(1)(2) | 2,000 | 1,848,728 | |
Series 2014-4RA, Class D, 11.306%, (3 mo. SOFR + 5.912%), 7/15/30(1)(2) | 250 | 201,082 | |
Series 2015-5A, Class DR, 12.377%, (3 mo. SOFR + 6.961%), 1/20/32(1)(2) | 250 | 204,431 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 61 | 50,184 | |
Crown City CLO III, Series 2021-1A, Class C, 8.977%, (3 mo. SOFR + 3.562%), 7/20/34(1)(2) | 1,000 | 897,007 | |
Golub Capital Partners CLO 53B, Ltd., Series 2021-53A, Class E, 12.377%, (3 mo. SOFR + 6.962%), 7/20/34(1)(2) | 500 | 456,691 | |
Golub Capital Partners CLO 60B, Ltd., Series 2022-60A, Class D, 9.148%, (3 mo. SOFR + 3.77%), 10/25/34(1)(2) | 2,000 | 1,903,754 | |
Madison Park Funding XXXVI, Ltd.: | |||
Series 2019-36A, Class D1R, 8.894%, (3 mo. SOFR + 3.50%), 4/15/35(1)(2) | 1,000 | 969,875 | |
Series 2019-36A, Class ER, 12.444%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 1,000 | 985,843 | |
Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class ER, 11.724%, (3 mo. SOFR + 6.322%), 10/17/30(1)(2) | 250 | 227,435 | |
Palmer Square CLO, Ltd., Series 2013-2A, Class DRR, 11.514%, (3 mo. SOFR + 6.111%), 10/17/31(1)(2) | 250 | 234,206 | |
Retained Vantage Data Centers Issuer, LLC, Series 2023-1A, Class A2A, 5.00%, 9/15/48(1) | 850 | 768,799 | |
Stack Infrastructure Issuer, LLC, Series 2021-1A, Class A2, 1.877%, 3/26/46(1) | 890 | 791,243 |
Security | Principal Amount (000's omitted) | Value | |
Sunnova Helios X Issuer, LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | $ | 662 | $ 618,171 |
Theorem Funding Trust, Series 2022-3A, Class A, 7.60%, 4/15/29(1) | 344 | 345,549 | |
Total Asset-Backed Securities (identified cost $20,299,849) | $ 19,568,266 |
Collateralized Mortgage Obligations — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
PNMAC GMSR Issuer Trust, Series 2018-GT2, Class A, 8.089% (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(2) | $ | 117 | $ 116,987 |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(3) | 1,191 | 929,009 | |
Total Collateralized Mortgage Obligations (identified cost $1,291,059) | $ 1,045,996 |
Commercial Mortgage-Backed Securities — 2.1% |
Security | Principal Amount* (000's omitted) | Value | |
BBCMS Mortgage Trust, Series 2017-C1, Class D, 3.541%, 2/15/50(1)(3) | 1,000 | $ 660,572 | |
CSMC Trust: | |||
Series 2021-4SZN, Class A, 9.302%, (1 mo. SOFR + 3.967%), 11/15/23(1)(2) | 1,000 | 999,107 | |
Series 2022-CNTR, Class A, 9.279%, (1 mo. SOFR + 3.944%), 1/15/24(1)(2) | 1,000 | 867,235 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C19, Class B, 4.394%, 4/15/47(3) | 215 | 208,277 | |
Series 2014-C23, Class D, 3.983%, 9/15/47(1)(3) | 750 | 631,256 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 150 | 21,263 | |
Series 2021-MHC, Class C, 6.749%, (1 mo. SOFR + 1.414%), 4/15/38(1)(2) | 1,800 | 1,761,866 | |
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A, 7.307%, (1 mo. SOFR + 1.992%), 5/15/36(1)(2)(4) | 379 | 366,998 | |
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class C, 8.50%, (1 mo. SOFR + 2.314%), 6/15/35(1)(2) | 100 | 46,110 | |
Vita Scientia, Series 2022-1A, Class D, 6.274%, (3 mo. EURIBOR + 2.49%), 8/27/25(1)(2) | EUR | 450 | 429,490 |
VMC Finance, LLC, Series 2021-HT1, Class B, 9.949%, (1 mo. SOFR + 4.614%), 1/18/37(1)(2) | 2,000 | 1,900,043 |
Security | Principal Amount* (000's omitted) | Value | |
Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class D, 3.142%, 7/15/48(1) | 1,700 | $ 1,207,120 | |
WFRBS Commercial Mortgage Trust, Series 2013-UBS1, Class E, 5.053%, 3/15/46(1)(3) | 1,000 | 961,147 | |
Total Commercial Mortgage-Backed Securities (identified cost $10,960,265) | $ 10,060,484 |
Common Stocks — 0.1% |
Security | Shares | Value | |
Media — 0.1% | |||
National CineMedia, Inc.(5) | 64,991 | $ 254,117 | |
Total Common Stocks (identified cost $217,720) | $ 254,117 |
Convertible Bonds — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Energy — 0.1% | |||
NextEra Energy Partners, L.P., 2.50%, 6/15/26(1) | $ | 654 | $ 567,018 |
$ 567,018 | |||
Leisure Goods/Activities/Movies — 0.1% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26 | $ | 741 | $ 550,249 |
$ 550,249 | |||
Transportation — 0.2% | |||
CryoPort, Inc., 0.75%, 12/1/26(1) | $ | 1,088 | $ 857,453 |
$ 857,453 | |||
Total Convertible Bonds (identified cost $2,152,371) | $ 1,974,720 |
Corporate Bonds — 46.3% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 0.8% | |||
Moog, Inc., 4.25%, 12/15/27(1) | 791 | $ 705,104 | |
Rolls-Royce PLC, 5.75%, 10/15/27(1) | 1,200 | 1,138,572 |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense (continued) | |||
Spirit AeroSystems, Inc.: | |||
4.60%, 6/15/28 | 174 | $ 137,825 | |
9.375%, 11/30/29(1) | 59 | 60,663 | |
TransDigm, Inc.: | |||
4.625%, 1/15/29 | 343 | 296,136 | |
5.50%, 11/15/27 | 943 | 878,842 | |
7.50%, 3/15/27 | 791 | 790,846 | |
$ 4,007,988 | |||
Agriculture — 0.1% | |||
Darling Ingredients, Inc., 6.00%, 6/15/30(1) | 693 | $ 650,831 | |
$ 650,831 | |||
Air Transport — 0.9% | |||
Air France-KLM, 8.125%, 5/31/28(6) | EUR | 1,000 | $ 1,113,793 |
American Airlines, Inc., 7.25%, 2/15/28(1) | 145 | 134,998 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(1) | 648 | 631,109 | |
Deutsche Lufthansa AG: | |||
2.875%, 5/16/27(6) | EUR | 100 | 97,862 |
3.50%, 7/14/29(6) | EUR | 200 | 190,135 |
4.382% to 2/12/26, 8/12/75(6)(7) | EUR | 500 | 496,125 |
Gatwick Airport Finance PLC, 4.375%, 4/7/26(6) | GBP | 1,270 | 1,430,165 |
United Airlines, Inc., 4.625%, 4/15/29(1) | 445 | 376,294 | |
$ 4,470,481 | |||
Automotive — 1.9% | |||
Asbury Automotive Group, Inc.: | |||
4.625%, 11/15/29(1) | 392 | $ 332,087 | |
4.75%, 3/1/30 | 303 | 257,513 | |
Clarios Global, L.P./Clarios US Finance Co.: | |||
4.375%, 5/15/26(6) | EUR | 1,500 | 1,522,746 |
8.50%, 5/15/27(1) | 670 | 660,921 | |
Dana Financing Luxembourg S.a.r.l.: | |||
3.00%, 7/15/29(6) | EUR | 300 | 251,597 |
8.50%, 7/15/31(6) | EUR | 300 | 324,969 |
Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/29(1) | 595 | 468,726 | |
Ford Motor Co.: | |||
4.75%, 1/15/43 | 325 | 226,166 | |
6.10%, 8/19/32 | 530 | 490,623 | |
6.625%, 10/1/28 | 825 | 816,127 | |
9.625%, 4/22/30 | 44 | 49,111 | |
Forvia SE: | |||
2.375%, 6/15/29(6) | EUR | 150 | 131,925 |
2.75%, 2/15/27(6) | EUR | 200 | 192,818 |
Security | Principal Amount* (000's omitted) | Value | |
Automotive (continued) | |||
Forvia SE: (continued) | |||
3.75%, 6/15/28(6) | EUR | 250 | $ 241,625 |
Goodyear Tire & Rubber Co. (The), 5.00%, 7/15/29 | 546 | 470,397 | |
IHO Verwaltungs GmbH, 8.75%, (8.75% cash or 9.50% PIK), 5/15/28(6)(8) | EUR | 600 | 655,502 |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 398 | 329,701 | |
4.375%, 1/15/31(1) | 452 | 366,436 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(1) | 444 | 353,639 | |
Sonic Automotive, Inc.: | |||
4.625%, 11/15/29(1) | 587 | 489,437 | |
4.875%, 11/15/31(1) | 239 | 190,631 | |
Wheel Pros, Inc., 6.50%, 5/15/29(1) | 332 | 101,107 | |
$ 8,923,804 | |||
Banks and Thrifts — 0.1% | |||
Synchrony Bank, 5.625%, 8/23/27 | 351 | $ 320,870 | |
$ 320,870 | |||
Building and Development — 1.4% | |||
Ashton Woods USA, LLC/Ashton Woods Finance Co.: | |||
4.625%, 8/1/29(1) | 136 | $ 110,180 | |
4.625%, 4/1/30(1) | 136 | 105,438 | |
Builders FirstSource, Inc.: | |||
4.25%, 2/1/32(1) | 735 | 585,833 | |
5.00%, 3/1/30(1) | 105 | 91,748 | |
Castle U.K. Finco PLC, 9.031%, (3 mo. EURIBOR + 5.25%), 5/15/28(2)(6) | EUR | 400 | 364,039 |
Emerald Debt Merger Sub, LLC, 6.625%, 12/15/30(1) | 520 | 495,300 | |
MIWD Holdco II, LLC/MIWD Finance Corp., 5.50%, 2/1/30(1) | 354 | 281,327 | |
Patrick Industries, Inc., 4.75%, 5/1/29(1) | 675 | 549,112 | |
PGT Innovations, Inc., 4.375%, 10/1/29(1) | 397 | 370,997 | |
Smyrna Ready Mix Concrete, LLC, 6.00%, 11/1/28(1) | 898 | 831,123 | |
SRS Distribution, Inc., 6.00%, 12/1/29(1) | 668 | 556,825 | |
Standard Industries, Inc.: | |||
2.25%, 11/21/26(6) | EUR | 850 | 791,455 |
4.75%, 1/15/28(1) | 753 | 674,733 | |
White Cap Buyer, LLC, 6.875%, 10/15/28(1) | 700 | 611,615 | |
$ 6,419,725 | |||
Business Equipment and Services — 0.7% | |||
Adtalem Global Education, Inc., 5.50%, 3/1/28(1) | 942 | $ 858,840 |
Security | Principal Amount* (000's omitted) | Value | |
Business Equipment and Services (continued) | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
3.625%, 6/1/28(6) | EUR | 350 | $ 299,472 |
4.625%, 6/1/28(1) | 239 | 194,987 | |
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC: | |||
7.125%, 7/31/26(1) | 1,935 | 1,864,605 | |
7.125%, 7/31/26(6) | 260 | 250,541 | |
$ 3,468,445 | |||
Cable and Satellite Television — 1.3% | |||
Altice Financing S.A., 5.00%, 1/15/28(1) | 470 | $ 382,618 | |
CCO Holdings, LLC/CCO Holdings Capital Corp.: | |||
4.25%, 2/1/31(1) | 865 | 673,811 | |
4.50%, 8/15/30(1) | 900 | 722,849 | |
4.75%, 3/1/30(1) | 1,288 | 1,064,343 | |
4.75%, 2/1/32(1) | 225 | 175,844 | |
5.00%, 2/1/28(1) | 400 | 359,485 | |
6.375%, 9/1/29(1) | 601 | 550,611 | |
DISH Network Corp., 11.75%, 11/15/27(1) | 397 | 393,582 | |
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(6) | GBP | 1,851 | 1,892,095 |
$ 6,215,238 | |||
Capital Goods — 0.2% | |||
BWX Technologies, Inc.: | |||
4.125%, 6/30/28(1) | 609 | $ 536,605 | |
4.125%, 4/15/29(1) | 221 | 189,210 | |
$ 725,815 | |||
Chemicals — 0.2% | |||
Calderys Financing, LLC, 11.25%, 6/1/28(1) | 544 | $ 549,440 | |
Olympus Water US Holding Corp., 9.75%, 11/15/28(1) | 614 | 600,462 | |
$ 1,149,902 | |||
Chemicals and Plastics — 1.0% | |||
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(1) | 128 | $ 86,606 | |
Avient Corp., 7.125%, 8/1/30(1) | 681 | 655,913 | |
Herens Holdco S.a.r.l., 4.75%, 5/15/28(1) | 452 | 350,541 | |
Herens Midco S.a.r.l., 5.25%, 5/15/29(6) | EUR | 1,000 | 602,675 |
Italmatch Chemicals SpA: | |||
9.455%, (3 mo. EURIBOR + 5.50%), 2/6/28(2)(6) | EUR | 200 | 204,974 |
10.00%, 2/6/28(6) | EUR | 650 | 658,983 |
NOVA Chemicals Corp., 4.875%, 6/1/24(1) | 399 | 392,546 |
Security | Principal Amount* (000's omitted) | Value | |
Chemicals and Plastics (continued) | |||
Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30(1) | 783 | $ 680,129 | |
Valvoline, Inc., 3.625%, 6/15/31(1) | 699 | 532,243 | |
W.R. Grace Holdings, LLC: | |||
4.875%, 6/15/27(1) | 639 | 574,850 | |
7.375%, 3/1/31(1) | 185 | 171,660 | |
$ 4,911,120 | |||
Commercial Services — 2.2% | |||
Abertis Infraestructuras Finance B.V., 3.248% to 11/24/25(6)(7)(9) | EUR | 600 | $ 588,136 |
AMN Healthcare, Inc., 4.00%, 4/15/29(1) | 557 | 461,965 | |
APi Group DE, Inc., 4.75%, 10/15/29(1) | 662 | 567,553 | |
EC Finance PLC, 3.00%, 10/15/26(6) | EUR | 256 | 251,651 |
GTCR W-2 Merger Sub, LLC, 7.50%, 1/15/31(1) | 250 | 247,062 | |
GTCR W-2 Merger Sub, LLC/GTCR W Dutch Finance Sub B.V., 8.50%, 1/15/31(6) | GBP | 330 | 403,605 |
HealthEquity, Inc., 4.50%, 10/1/29(1) | 1,196 | 1,025,988 | |
IPD 3 B.V., 8.00%, 6/15/28(6) | EUR | 700 | 748,609 |
Korn Ferry, 4.625%, 12/15/27(1) | 620 | 564,581 | |
LABL, Inc.: | |||
5.875%, 11/1/28(1) | 598 | 507,176 | |
8.25%, 11/1/29(1) | 300 | 223,313 | |
Metis Merger Sub, LLC, 6.50%, 5/15/29(1) | 1,178 | 963,818 | |
NESCO Holdings II, Inc., 5.50%, 4/15/29(1) | 565 | 485,044 | |
Verisure Holding AB, 3.25%, 2/15/27(6) | EUR | 1,130 | 1,083,561 |
Verisure Midholding AB, 5.25%, 2/15/29(6) | EUR | 380 | 348,060 |
VT Topco, Inc., 8.50%, 8/15/30(1) | 867 | 846,665 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 1,110 | 1,027,760 | |
$ 10,344,547 | |||
Computers — 0.7% | |||
Kyndryl Holdings, Inc., 2.70%, 10/15/28 | 775 | $ 626,958 | |
McAfee Corp., 7.375%, 2/15/30(1) | 855 | 684,744 | |
NCR Voyix Corp.: | |||
5.125%, 4/15/29(1) | 296 | 254,853 | |
5.25%, 10/1/30(1) | 405 | 335,851 | |
Presidio Holdings, Inc., 8.25%, 2/1/28(1) | 763 | 722,789 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29 | 129 | 111,353 | |
9.625%, 12/1/32(1) | 344 | 367,360 | |
$ 3,103,908 |
Security | Principal Amount* (000's omitted) | Value | |
Containers and Glass Products — 0.6% | |||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC, 3.00%, 9/1/29(6) | EUR | 850 | $ 666,059 |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: | |||
2.125%, 8/15/26(6) | EUR | 300 | 275,080 |
2.125%, 8/15/26(6) | EUR | 1,070 | 981,740 |
Canpack S.A./Canpack US, LLC, 3.875%, 11/15/29(1) | 547 | 430,117 | |
Crown Americas, LLC/Crown Americas Capital Corp. VI, 4.75%, 2/1/26 | 377 | 362,974 | |
$ 2,715,970 | |||
Cosmetics/Toiletries — 0.1% | |||
Edgewell Personal Care Co.: | |||
4.125%, 4/1/29(1) | 238 | $ 199,352 | |
5.50%, 6/1/28(1) | 391 | 357,257 | |
$ 556,609 | |||
Distribution & Wholesale — 1.1% | |||
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(1) | 1,138 | $ 1,044,861 | |
Parts Europe S.A., 7.993%, (3 mo. EURIBOR + 4.00%), 7/20/27(2)(6) | EUR | 1,167 | 1,237,696 |
Performance Food Group, Inc.: | |||
4.25%, 8/1/29(1) | 551 | 465,499 | |
6.875%, 5/1/25(1) | 209 | 208,157 | |
Rexel S.A., 5.25%, 9/15/30(6) | EUR | 680 | 710,845 |
Ritchie Bros Holdings, Inc.: | |||
6.75%, 3/15/28(1) | 190 | 186,433 | |
7.75%, 3/15/31(1) | 457 | 458,714 | |
Windsor Holdings III, LLC, 8.50%, 6/15/30(1) | 719 | 700,821 | |
$ 5,013,026 | |||
Diversified Financial Services — 1.8% | |||
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 345 | $ 346,939 | |
Encore Capital Group, Inc., 5.375%, 2/15/26(6) | GBP | 230 | 255,917 |
Intrum AB, 4.875%, 8/15/25(6) | EUR | 600 | 571,139 |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(1) | 511 | 436,023 | |
Jefferson Capital Holdings, LLC, 6.00%, 8/15/26(1) | 798 | 697,721 | |
KOC Holding AS, 6.50%, 3/11/25(6) | 1,400 | 1,383,424 | |
Macquarie Airfinance Holdings, Ltd., 8.125%, 3/30/29(1) | 265 | 261,292 | |
Oxford Finance, LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/1/27(1) | 443 | 404,149 | |
PRA Group, Inc., 7.375%, 9/1/25(1) | 651 | 609,352 | |
ProGroup AG, 3.00%, 3/31/26(6) | EUR | 500 | 494,651 |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: | |||
2.875%, 10/15/26(1) | 261 | 227,516 |
Security | Principal Amount* (000's omitted) | Value | |
Diversified Financial Services (continued) | |||
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: (continued) | |||
3.625%, 3/1/29(1) | 849 | $ 691,089 | |
4.00%, 10/15/33(1) | 65 | 47,851 | |
Sherwood Financing PLC, 6.00%, 11/15/26(6) | GBP | 934 | 948,757 |
VistaJet Malta Finance PLC/Vista Management Holding, Inc.: | |||
6.375%, 2/1/30(1) | 945 | 631,225 | |
7.875%, 5/1/27(1) | 250 | 192,541 | |
9.50%, 6/1/28(1) | 297 | 227,875 | |
$ 8,427,461 | |||
Diversified Telecommunication Services — 0.2% | |||
Altice France S.A., 8.125%, 2/1/27(1) | 1,065 | $ 898,967 | |
$ 898,967 | |||
Drugs — 0.6% | |||
Catalent Pharma Solutions, Inc., 2.375%, 3/1/28(6) | EUR | 900 | $ 785,235 |
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(1)(10) | 400 | 269,000 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo US, Inc., 6.125%, 4/1/29(1)(10) | 459 | 303,424 | |
Gruenenthal GmbH, 3.625%, 11/15/26(6) | EUR | 500 | 503,083 |
Perrigo Finance Unlimited Co.: | |||
4.65%, 6/15/30 | 899 | 751,751 | |
4.90%, 12/15/44 | 406 | 277,770 | |
$ 2,890,263 | |||
Ecological Services and Equipment — 1.0% | |||
Clean Harbors, Inc.: | |||
4.875%, 7/15/27(1) | 200 | $ 186,658 | |
5.125%, 7/15/29(1) | 418 | 376,428 | |
Covanta Holding Corp., 4.875%, 12/1/29(1) | 1,290 | 1,008,187 | |
GFL Environmental, Inc.: | |||
3.50%, 9/1/28(1) | 889 | 762,220 | |
4.25%, 6/1/25(1) | 313 | 301,221 | |
4.75%, 6/15/29(1) | 906 | 794,029 | |
Paprec Holding S.A.: | |||
3.50%, 7/1/28(6) | EUR | 910 | 855,030 |
4.00%, 3/31/25(6) | EUR | 400 | 418,728 |
$ 4,702,501 | |||
Electric Utilities — 0.9% | |||
EDP - Energias de Portugal S.A., 4.496% to 1/30/24, 4/30/79(6)(7) | EUR | 1,500 | $ 1,580,802 |
Security | Principal Amount* (000's omitted) | Value | |
Electric Utilities (continued) | |||
Electricite de France S.A., 7.50% to 9/6/28(6)(7)(9) | EUR | 400 | $ 428,869 |
Energizer Gamma Acquisition B.V., 3.50%, 6/30/29(6) | EUR | 550 | 460,906 |
FirstEnergy Corp.: | |||
2.65%, 3/1/30 | 585 | 472,436 | |
Series B, 4.15%, 7/15/27 | 494 | 457,655 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 578 | 504,411 | |
TransAlta Corp., 7.75%, 11/15/29 | 448 | 446,218 | |
$ 4,351,297 | |||
Electronics/Electrical — 0.6% | |||
Coherent Corp., 5.00%, 12/15/29(1) | 995 | $ 845,676 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 1,026 | 895,347 | |
Open Text Corp., 3.875%, 2/15/28(1) | 798 | 694,467 | |
Sensata Technologies, Inc., 4.375%, 2/15/30(1) | 360 | 304,682 | |
$ 2,740,172 | |||
Energy — 1.0% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 1,078 | $ 758,475 | |
Greenko Solar Mauritius, Ltd.: | |||
5.55%, 1/29/25(1) | 1,100 | 1,057,375 | |
5.95%, 7/29/26(1) | 1,200 | 1,108,500 | |
New Fortress Energy, Inc., 6.50%, 9/30/26(1) | 941 | 843,726 | |
Sunoco, L.P./Sunoco Finance Corp.: | |||
4.50%, 5/15/29 | 583 | 505,693 | |
4.50%, 4/30/30 | 372 | 318,123 | |
$ 4,591,892 | |||
Engineering & Construction — 0.1% | |||
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(1) | 42 | $ 39,754 | |
TopBuild Corp., 4.125%, 2/15/32(1) | 791 | 626,808 | |
$ 666,562 | |||
Entertainment — 1.5% | |||
Allwyn Entertainment Financing UK PLC, 7.25%, 4/30/30(6) | EUR | 1,047 | $ 1,105,892 |
Boyne USA, Inc., 4.75%, 5/15/29(1) | 814 | 709,488 | |
Caesars Entertainment, Inc.: | |||
6.25%, 7/1/25(1) | 1,031 | 1,015,207 | |
7.00%, 2/15/30(1) | 250 | 241,504 | |
8.125%, 7/1/27(1) | 508 | 503,773 | |
CDI Escrow Issuer, Inc., 5.75%, 4/1/30(1) | 669 | 598,384 | |
CPUK Finance, Ltd., 4.875%, 2/28/47(6) | GBP | 1,130 | 1,286,511 |
Security | Principal Amount* (000's omitted) | Value | |
Entertainment (continued) | |||
Jacobs Entertainment, Inc., 6.75%, 2/15/29(1) | 755 | $ 642,407 | |
Light & Wonder International, Inc., 7.00%, 5/15/28(1) | 719 | 701,556 | |
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(1) | 519 | 463,745 | |
$ 7,268,467 | |||
Financial Intermediaries — 1.0% | |||
Ally Financial, Inc., Series B, 4.70% to 5/15/26(7)(9) | 635 | $ 414,162 | |
Compass Group Diversified Holdings, LLC, 5.25%, 4/15/29(1) | 788 | 673,723 | |
Ford Motor Credit Co., LLC: | |||
2.70%, 8/10/26 | 800 | 717,861 | |
2.90%, 2/16/28 | 203 | 172,898 | |
3.815%, 11/2/27 | 1,141 | 1,018,450 | |
4.125%, 8/17/27 | 457 | 415,398 | |
5.113%, 5/3/29 | 600 | 546,658 | |
5.125%, 6/16/25 | 273 | 265,883 | |
MSCI, Inc.: | |||
3.625%, 9/1/30(1) | 357 | 295,821 | |
3.875%, 2/15/31(1) | 443 | 366,087 | |
$ 4,886,941 | |||
Food Products — 0.5% | |||
Chobani, LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25(1) | 463 | $ 455,239 | |
Nomad Foods Bondco PLC, 2.50%, 6/24/28(6) | EUR | 1,170 | 1,076,279 |
Pilgrim's Pride Corp., 3.50%, 3/1/32 | 951 | 725,651 | |
$ 2,257,169 | |||
Food Service — 0.4% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.: | |||
3.875%, 1/15/28(1) | 386 | $ 344,956 | |
4.375%, 1/15/28(1) | 673 | 606,576 | |
IRB Holding Corp., 7.00%, 6/15/25(1) | 37 | 36,757 | |
US Foods, Inc., 4.75%, 2/15/29(1) | 816 | 720,611 | |
$ 1,708,900 | |||
Food/Drug Retailers — 0.2% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC, 5.875%, 2/15/28(1) | 806 | $ 772,852 | |
$ 772,852 | |||
Health Care — 3.5% | |||
AHP Health Partners, Inc., 5.75%, 7/15/29(1) | 212 | $ 174,039 |
Security | Principal Amount* (000's omitted) | Value | |
Health Care (continued) | |||
Avantor Funding, Inc., 2.625%, 11/1/25(6) | EUR | 300 | $ 306,250 |
Bausch & Lomb Escrow Corp., 8.375%, 10/1/28(1) | 595 | 591,728 | |
Cerba Healthcare SACA, 3.50%, 5/31/28(6) | EUR | 250 | 215,697 |
Chrome Holdco S.A.S., 5.00%, 5/31/29(6) | EUR | 1,100 | 844,645 |
Encompass Health Corp., 4.75%, 2/1/30 | 616 | 532,990 | |
Fortrea Holdings, Inc., 7.50%, 7/1/30(1) | 844 | 815,515 | |
Grifols Escrow Issuer S.A.: | |||
3.875%, 10/15/28(6) | EUR | 2,100 | 1,856,012 |
4.75%, 10/15/28(1) | 595 | 500,312 | |
Grifols S.A., 3.20%, 5/1/25(6) | EUR | 350 | 355,711 |
Heartland Dental, LLC/Heartland Dental Finance Corp., 10.50%, 4/30/28(1) | 1,155 | 1,111,549 | |
IQVIA, Inc.: | |||
2.25%, 3/15/29(6) | EUR | 611 | 544,616 |
2.875%, 6/15/28(6) | EUR | 350 | 330,300 |
6.50%, 5/15/30(1) | 337 | 327,311 | |
Legacy LifePoint Health, LLC, 4.375%, 2/15/27(1) | 354 | 293,052 | |
LifePoint Health, Inc.: | |||
5.375%, 1/15/29(1) | 377 | 228,776 | |
9.875%, 8/15/30(1) | 290 | 262,450 | |
Medline Borrower, L.P., 5.25%, 10/1/29(1) | 1,361 | 1,159,853 | |
ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29(1) | 519 | 378,766 | |
ModivCare, Inc., 5.875%, 11/15/25(1) | 708 | 669,810 | |
Molina Healthcare, Inc.: | |||
3.875%, 11/15/30(1) | 573 | 468,023 | |
3.875%, 5/15/32(1) | 814 | 640,581 | |
Option Care Health, Inc., 4.375%, 10/31/29(1) | 805 | 673,686 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(1) | 643 | 601,855 | |
Team Health Holdings, Inc., 6.375%, 2/1/25(1) | 639 | 507,027 | |
Tenet Healthcare Corp.: | |||
6.125%, 10/1/28 | 1,004 | 932,094 | |
6.875%, 11/15/31 | 313 | 288,931 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(1) | 845 | 719,724 | |
Varex Imaging Corp., 7.875%, 10/15/27(1) | 446 | 437,662 | |
$ 16,768,965 | |||
Home Furnishings — 0.2% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(1) | 245 | $ 234,389 | |
Tempur Sealy International, Inc., 3.875%, 10/15/31(1) | 673 | 504,870 | |
$ 739,259 | |||
Hotels, Restaurants & Leisure — 0.1% | |||
Resorts World Las Vegas, LLC/RWLV Capital, Inc.: | |||
4.625%, 4/6/31(6) | 400 | $ 282,438 |
Security | Principal Amount* (000's omitted) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Resorts World Las Vegas, LLC/RWLV Capital, Inc.: (continued) | |||
8.45%, 7/27/30(1) | 200 | $ 184,604 | |
$ 467,042 | |||
Household Products — 0.1% | |||
Spectrum Brands, Inc., 3.875%, 3/15/31(1) | 299 | $ 239,639 | |
$ 239,639 | |||
Industrial Equipment — 0.1% | |||
Madison IAQ, LLC, 5.875%, 6/30/29(1) | 864 | $ 670,270 | |
$ 670,270 | |||
Insurance — 0.5% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 480 | $ 438,783 | |
Galaxy Finco, Ltd., 9.25%, 7/31/27(6) | GBP | 981 | 1,070,139 |
Jones DesLauriers Insurance Management, Inc., 10.50%, 12/15/30(1) | 728 | 723,226 | |
$ 2,232,148 | |||
Internet Software & Services — 0.7% | |||
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(1) | 270 | $ 223,919 | |
6.125%, 12/1/28(1) | 940 | 760,192 | |
Cars.com, Inc., 6.375%, 11/1/28(1) | 814 | 725,368 | |
Match Group Holdings II, LLC, 3.625%, 10/1/31(1) | 919 | 706,150 | |
Science Applications International Corp., 4.875%, 4/1/28(1) | 1,108 | 989,872 | |
$ 3,405,501 | |||
Leisure Goods/Activities/Movies — 1.7% | |||
Acushnet Co., 7.375%, 10/15/28(1) | 258 | $ 258,719 | |
Cinemark USA, Inc.: | |||
5.25%, 7/15/28(1) | 390 | 337,181 | |
5.875%, 3/15/26(1) | 375 | 356,457 | |
8.75%, 5/1/25(1) | 248 | 250,857 | |
LHMC Finco 2 S.a.r.l., 7.25%, (7.25% cash or 8.00% PIK), 10/2/25(6)(8) | EUR | 1,562 | 1,596,815 |
Life Time, Inc.: | |||
5.75%, 1/15/26(1) | 401 | 388,715 | |
8.00%, 4/15/26(1) | 821 | 801,156 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 5/15/28(1) | 228 | 219,520 | |
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 142 | 129,530 |
Security | Principal Amount* (000's omitted) | Value | |
Leisure Goods/Activities/Movies (continued) | |||
NCL Corp., Ltd.: | |||
3.625%, 12/15/24(1) | 135 | $ 127,807 | |
5.875%, 3/15/26(1) | 512 | 459,976 | |
5.875%, 2/15/27(1) | 102 | 93,990 | |
7.75%, 2/15/29(1) | 86 | 75,127 | |
NCL Finance, Ltd., 6.125%, 3/15/28(1) | 295 | 246,939 | |
Playtika Holding Corp., 4.25%, 3/15/29(1) | 757 | 611,323 | |
Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27(1) | 480 | 521,059 | |
SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29(1) | 688 | 600,005 | |
Viking Cruises, Ltd.: | |||
5.875%, 9/15/27(1) | 985 | 888,278 | |
7.00%, 2/15/29(1) | 205 | 185,698 | |
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29(1) | 131 | 116,242 | |
$ 8,265,394 | |||
Machinery — 0.4% | |||
Chart Industries, Inc., 9.50%, 1/1/31(1) | 648 | $ 668,201 | |
IMA Industria Macchine Automatiche SpA, 3.75%, 1/15/28(6) | EUR | 700 | 666,781 |
Renk AG, 5.75%, 7/15/25(6) | EUR | 500 | 522,721 |
$ 1,857,703 | |||
Media — 0.3% | |||
Beasley Mezzanine Holdings, LLC, 8.625%, 2/1/26(1) | 470 | $ 310,788 | |
Outfront Media Capital, LLC/Outfront Media Capital Corp., 4.625%, 3/15/30(1) | 514 | 412,981 | |
Univision Communications, Inc., 7.375%, 6/30/30(1) | 564 | 497,162 | |
$ 1,220,931 | |||
Metals/Mining — 0.8% | |||
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 1,000 | $ 942,900 | |
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 416 | 342,838 | |
Hudbay Minerals, Inc.: | |||
4.50%, 4/1/26(1) | 503 | 468,670 | |
6.125%, 4/1/29(1) | 220 | 197,133 | |
Novelis Corp., 3.25%, 11/15/26(1) | 237 | 211,234 | |
Novelis Sheet Ingot GmbH, 3.375%, 4/15/29(6) | EUR | 1,077 | 977,059 |
Roller Bearing Co. of America, Inc., 4.375%, 10/15/29(1) | 552 | 468,791 | |
$ 3,608,625 | |||
Nonferrous Metals/Minerals — 0.3% | |||
Eldorado Gold Corp., 6.25%, 9/1/29(1) | 485 | $ 416,474 |
Security | Principal Amount* (000's omitted) | Value | |
Nonferrous Metals/Minerals (continued) | |||
First Quantum Minerals, Ltd., 6.875%, 3/1/26(1) | 400 | $ 352,000 | |
New Gold, Inc., 7.50%, 7/15/27(1) | 653 | 613,366 | |
$ 1,381,840 | |||
Oil and Gas — 2.2% | |||
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(1) | 950 | $ 944,462 | |
Callon Petroleum Co., 8.00%, 8/1/28(1) | 704 | 696,482 | |
Civitas Resources, Inc., 8.625%, 11/1/30(1) | 150 | 152,833 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.00%, 5/1/29(1) | 487 | 459,777 | |
CVR Energy, Inc., 5.75%, 2/15/28(1) | 865 | 777,985 | |
Endeavor Energy Resources, L.P./EER Finance, Inc., 5.75%, 1/30/28(1) | 485 | 465,746 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 1,150 | 1,139,562 | |
Parkland Corp.: | |||
4.50%, 10/1/29(1) | 480 | 413,318 | |
4.625%, 5/1/30(1) | 292 | 249,250 | |
Permian Resources Operating, LLC: | |||
5.875%, 7/1/29(1) | 701 | 653,087 | |
7.00%, 1/15/32(1) | 418 | 405,610 | |
7.75%, 2/15/26(1) | 362 | 362,066 | |
Precision Drilling Corp., 7.125%, 1/15/26(1) | 670 | 660,801 | |
Seadrill Finance, Ltd., 8.375%, 8/1/30(1) | 200 | 200,282 | |
Southwestern Energy Co., 4.75%, 2/1/32 | 810 | 697,375 | |
Transocean Poseidon, Ltd., 6.875%, 2/1/27(1) | 439 | 430,379 | |
Transocean, Inc., 8.75%, 2/15/30(1) | 206 | 205,717 | |
Vital Energy, Inc., 9.75%, 10/15/30 | 466 | 457,140 | |
Wintershall Dea Finance 2 B.V., Series NC5, 2.499% to 4/20/26(6)(7)(9) | EUR | 1,300 | 1,210,377 |
$ 10,582,249 | |||
Packaging & Containers — 1.0% | |||
Ball Corp., 6.875%, 3/15/28 | 487 | $ 486,074 | |
Berry Global, Inc., 5.625%, 7/15/27(1) | 321 | 306,748 | |
Kleopatra Finco S.a.r.l., 4.25%, 3/1/26(6) | EUR | 1,110 | 975,692 |
Owens-Brockway Glass Container, Inc., 7.25%, 5/15/31(1) | 752 | 689,020 | |
Schoeller Packaging B.V., 6.375%, 11/1/24(6) | EUR | 950 | 990,620 |
Trivium Packaging Finance B.V.: | |||
3.75%, 8/15/26(6) | EUR | 575 | 552,294 |
7.531%, (3 mo. EURIBOR + 3.75%), 8/15/26(2)(6) | EUR | 740 | 763,420 |
$ 4,763,868 |
Security | Principal Amount* (000's omitted) | Value | |
Pharmaceuticals — 0.6% | |||
Bayer AG, 5.375% to 6/25/30, 3/25/82(6)(7) | EUR | 500 | $ 484,962 |
BellRing Brands, Inc., 7.00%, 3/15/30(1) | 535 | 520,170 | |
Cheplapharm Arzneimittel GmbH, 8.531%, (3 mo. EURIBOR + 4.75%), 5/15/30(2)(6) | EUR | 825 | 879,480 |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(1) | 575 | 541,644 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(1) | 590 | 396,866 | |
$ 2,823,122 | |||
Pipelines — 1.5% | |||
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: | |||
5.75%, 3/1/27(1) | 493 | $ 471,667 | |
7.875%, 5/15/26(1) | 148 | 149,193 | |
Cheniere Energy Partners, L.P., 4.00%, 3/1/31 | 611 | 512,171 | |
DT Midstream, Inc., 4.125%, 6/15/29(1) | 599 | 515,598 | |
Energy Transfer, L.P., 5.00%, 5/15/50 | 337 | 252,906 | |
EQM Midstream Partners, L.P.: | |||
4.50%, 1/15/29(1) | 1,033 | 906,918 | |
6.00%, 7/1/25(1) | 75 | 73,417 | |
6.50%, 7/1/27(1) | 405 | 394,055 | |
7.50%, 6/1/30(1) | 536 | 526,454 | |
Kinetik Holdings, L.P., 5.875%, 6/15/30(1) | 679 | 623,682 | |
Plains All American Pipeline, L.P., Series B, 9.736%, (3 mo. SOFR + 4.372%)(2)(9) | 601 | 567,773 | |
Venture Global LNG, Inc.: | |||
8.125%, 6/1/28(1) | 609 | 591,696 | |
8.375%, 6/1/31(1) | 574 | 548,170 | |
9.50%, 2/1/29(1) | 370 | 376,129 | |
9.875%, 2/1/32(1) | 373 | 378,451 | |
$ 6,888,280 | |||
Publishing — 0.1% | |||
McGraw-Hill Education, Inc.: | |||
5.75%, 8/1/28(1) | 326 | $ 275,112 | |
8.00%, 8/1/29(1) | 481 | 396,969 | |
$ 672,081 | |||
Radio and Television — 0.1% | |||
Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28(1) | 875 | $ 669,830 | |
$ 669,830 |
Security | Principal Amount* (000's omitted) | Value | |
Real Estate Investment Trusts (REITs) — 0.9% | |||
CTR Partnership, L.P./CareTrust Capital Corp., 3.875%, 6/30/28(1) | 662 | $ 556,934 | |
Cushman & Wakefield US Borrower, LLC, 8.875%, 9/1/31(1) | 302 | 286,612 | |
Emeria SASU: | |||
3.375%, 3/31/28(6) | EUR | 600 | 508,185 |
7.75%, 3/31/28(6) | EUR | 480 | 468,160 |
Greystar Real Estate Partners, LLC, 7.75%, 9/1/30(1) | 643 | 632,593 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 600 | 528,800 | |
3.75%, 9/15/30(1) | 785 | 564,363 | |
Heimstaden Bostad AB, 3.248% to 11/19/24(6)(7)(9) | EUR | 950 | 533,427 |
$ 4,079,074 | |||
Retail — 1.7% | |||
Arko Corp., 5.125%, 11/15/29(1) | 699 | $ 567,504 | |
Dufry One B.V., 3.375%, 4/15/28(6) | EUR | 1,350 | 1,268,912 |
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28(1) | 871 | 879,688 | |
Ferrellgas, L.P./Ferrellgas Finance Corp., 5.875%, 4/1/29(1) | 793 | 700,492 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(1) | 575 | 495,545 | |
Ken Garff Automotive, LLC, 4.875%, 9/15/28(1) | 724 | 612,960 | |
Kohl's Corp., 4.625%, 5/1/31 | 439 | 300,671 | |
LCM Investments Holdings II, LLC: | |||
4.875%, 5/1/29(1) | 775 | 650,285 | |
8.25%, 8/1/31(1) | 92 | 87,603 | |
Midco GB SASU, 7.75%, (7.75% cash or 8.50% PIK), 11/1/27(6)(8) | EUR | 815 | 815,205 |
PEU (Fin) PLC, 7.25%, 7/1/28(6) | EUR | 600 | 610,757 |
Punch Finance PLC, 6.125%, 6/30/26(6) | GBP | 745 | 781,364 |
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., 5.00%, 6/1/31(1) | 254 | 210,655 | |
$ 7,981,641 | |||
Retailers (Except Food and Drug) — 0.6% | |||
Bath & Body Works, Inc.: | |||
6.875%, 11/1/35 | 410 | $ 362,221 | |
6.95%, 3/1/33 | 282 | 244,135 | |
7.60%, 7/15/37 | 13 | 11,036 | |
9.375%, 7/1/25(1) | 54 | 55,667 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 923 | 917,010 |
Security | Principal Amount* (000's omitted) | Value | |
Retailers (Except Food and Drug) (continued) | |||
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/29(1) | 844 | $ 777,837 | |
Superior Plus, L.P./Superior General Partner, Inc., 4.50%, 3/15/29(1) | 737 | 629,372 | |
$ 2,997,278 | |||
Semiconductors & Semiconductor Equipment — 0.1% | |||
ON Semiconductor Corp., 3.875%, 9/1/28(1) | 554 | $ 495,445 | |
$ 495,445 | |||
Software — 0.4% | |||
Central Parent, LLC/CDK Global II, LLC/CDK Financing Co., Inc., 8.00%, 6/15/29(1) | 374 | $ 369,792 | |
Clarivate Science Holdings Corp., 4.875%, 7/1/29(1) | 994 | 839,582 | |
Cloud Software Group, Inc.: | |||
6.50%, 3/31/29(1) | 344 | 302,344 | |
9.00%, 9/30/29(1) | 648 | 552,423 | |
$ 2,064,141 | |||
Software and Services — 0.2% | |||
Fair Isaac Corp., 4.00%, 6/15/28(1) | 667 | $ 594,709 | |
Gartner, Inc., 3.75%, 10/1/30(1) | 547 | 453,564 | |
$ 1,048,273 | |||
Specialty Retail — 0.3% | |||
Fiber Bidco SpA: | |||
9.955%, (3 mo. EURIBOR + 6.00%), 10/25/27(2)(6) | EUR | 817 | $ 873,653 |
11.00%, 10/25/27(6) | EUR | 270 | 304,042 |
$ 1,177,695 | |||
Steel — 0.1% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 401 | $ 399,749 | |
TMS International Corp., 6.25%, 4/15/29(1) | 89 | 70,310 | |
$ 470,059 | |||
Surface Transport — 0.1% | |||
Hertz Corp. (The): | |||
4.625%, 12/1/26(1) | 47 | $ 39,413 | |
5.00%, 12/1/29(1) | 679 | 488,320 | |
$ 527,733 | |||
Technology — 0.5% | |||
athenahealth Group, Inc., 6.50%, 2/15/30(1) | 1,055 | $ 863,065 |
Security | Principal Amount* (000's omitted) | Value | |
Technology (continued) | |||
International Game Technology PLC: | |||
3.50%, 6/15/26(6) | EUR | 250 | $ 253,159 |
4.125%, 4/15/26(1) | 573 | 539,720 | |
6.25%, 1/15/27(1) | 200 | 195,100 | |
6.50%, 2/15/25(1) | 383 | 380,784 | |
$ 2,231,828 | |||
Telecommunications — 2.9% | |||
Ciena Corp., 4.00%, 1/31/30(1) | 706 | $ 589,062 | |
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(1) | 1,299 | 1,212,339 | |
Iliad Holding SASU: | |||
6.50%, 10/15/26(1) | 943 | 882,037 | |
7.00%, 10/15/28(1) | 362 | 327,884 | |
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) | 1,141 | 890,003 | |
Level 3 Financing, Inc., 4.25%, 7/1/28(1) | 594 | 336,443 | |
Lorca Telecom Bondco S.A., 4.00%, 9/18/27(6) | EUR | 1,600 | 1,576,119 |
Network i2i, Ltd., 3.975% to 3/3/26(6)(7)(9) | 1,000 | 904,990 | |
PLT VII Finance S.a.r.l., 8.59%, (3 mo. EURIBOR + 4.625%), 1/5/26(2)(6) | EUR | 500 | 529,804 |
Stagwell Global, LLC, 5.625%, 8/15/29(1) | 429 | 355,058 | |
Summer (BC) Bidco B, LLC, 5.50%, 10/31/26(1) | 383 | 333,863 | |
Summer (BC) Holdco A S.a.r.l., 9.25%, 10/31/27(6) | EUR | 327 | 276,869 |
Summer (BC) Holdco B S.a.r.l., 5.75%, 10/31/26(6) | EUR | 600 | 575,355 |
Telecom Italia Finance S.A., 7.75%, 1/24/33 | EUR | 435 | 483,471 |
Telecom Italia SpA: | |||
2.75%, 4/15/25(6) | EUR | 367 | 370,549 |
6.875%, 2/15/28(6) | EUR | 300 | 316,240 |
7.875%, 7/31/28(6) | EUR | 300 | 325,380 |
Telefonica Europe B.V., 7.125% to 8/23/28(6)(7)(9) | EUR | 800 | 867,068 |
Viasat, Inc., 5.625%, 4/15/27(1) | 528 | 461,424 | |
Viavi Solutions, Inc., 3.75%, 10/1/29(1) | 601 | 468,485 | |
Vodafone Group PLC, 4.875% to 7/3/25, 10/3/78(6)(7) | GBP | 500 | 576,621 |
Wp/ap Telecom Holdings III B.V., 5.50%, 1/15/30(6) | EUR | 1,125 | 999,705 |
$ 13,658,769 | |||
Transportation — 0.3% | |||
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(1) | 457 | $ 403,844 | |
Seaspan Corp., 5.50%, 8/1/29(1) | 836 | 642,198 | |
Watco Cos., LLC/Watco Finance Corp., 6.50%, 6/15/27(1) | 609 | 568,072 | |
$ 1,614,114 | |||
Utilities — 0.9% | |||
Calpine Corp.: | |||
5.00%, 2/1/31(1) | 615 | $ 496,664 |
Security | Principal Amount* (000's omitted) | Value | |
Utilities (continued) | |||
Calpine Corp.: (continued) | |||
5.125%, 3/15/28(1) | 450 | $ 403,147 | |
Leeward Renewable Energy Operations, LLC, 4.25%, 7/1/29(1) | 411 | 336,149 | |
NRG Energy, Inc.: | |||
3.625%, 2/15/31(1) | 563 | 425,559 | |
3.875%, 2/15/32(1) | 118 | 87,869 | |
5.75%, 1/15/28 | 384 | 359,788 | |
10.25% to 3/15/28(1)(7)(9) | 509 | 491,911 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 460 | 389,234 | |
5.00%, 1/31/28(1) | 450 | 412,697 | |
Vistra Operations Co., LLC: | |||
4.375%, 5/1/29(1) | 193 | 164,148 | |
5.00%, 7/31/27(1) | 580 | 531,104 | |
$ 4,098,270 | |||
Total Corporate Bonds (identified cost $237,366,162) | $218,862,790 |
Foreign Corporate Bonds — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Chemicals and Plastics — 0.2% | |||
Braskem Idesa SAPI, 7.45%, 11/15/29(6) | $ | 1,150 | $ 728,476 |
$ 728,476 | |||
Real Estate Investment Trusts (REITs) — 0.0%(11) | |||
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(6)(10) | $ | 1,250 | $ 31,250 |
$ 31,250 | |||
Total Foreign Corporate Bonds (identified cost $2,523,182) | $ 759,726 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Distribution & Wholesale — 0.2% | |||
WESCO International, Inc., Series A, 10.625% to 6/22/25(7) | 36,126 | $ 963,119 | |
Total Preferred Stocks (identified cost $1,027,931) | $ 963,119 |
Senior Floating-Rate Loans — 38.0%(12) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Aerospace and Defense — 0.9% | |||
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 9.324%, (SOFR + 4.00%), 8/24/28 | $ | 890 | $ 881,310 |
Term Loan, 9.324%, (SOFR + 4.00%), 8/24/28 | 381 | 377,705 | |
TransDigm, Inc., Term Loan, 8.64%, (SOFR + 3.25%), 8/24/28 | 1,741 | 1,740,916 | |
WP CPP Holdings, LLC, Term Loan, 9.29%, (SOFR + 3.75%), 4/30/25 | 1,105 | 1,064,756 | |
$ 4,064,687 | |||
Airlines — 0.6% | |||
Air Canada, Term Loan, 9.128%, (SOFR + 3.50%), 8/11/28 | $ | 479 | $ 478,777 |
American Airlines, Inc., Term Loan, 10.427%, (SOFR + 4.75%), 4/20/28 | 1,350 | 1,370,864 | |
Mileage Plus Holdings, LLC, Term Loan, 10.798%, (SOFR + 5.25%), 6/21/27 | 490 | 505,568 | |
United Airlines, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 4/21/28 | 373 | 375,213 | |
$ 2,730,422 | |||
Apparel & Luxury Goods — 0.3% | |||
ABG Intermediate Holdings 2, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/21/28 | $ | 291 | $ 290,618 |
Hanesbrands, Inc., Term Loan, 9.074%, (SOFR + 3.75%), 3/8/30 | 1,047 | 1,035,468 | |
$ 1,326,086 | |||
Auto Components — 1.0% | |||
Adient US, LLC, Term Loan, 8.689%, (SOFR + 3.25%), 4/10/28 | $ | 1,000 | $ 1,001,161 |
Autokiniton US Holdings, Inc., Term Loan, 9.939%, (SOFR + 4.50%), 4/6/28 | 1,087 | 1,067,271 | |
Clarios Global, L.P., Term Loan, 9.074%, (SOFR + 3.75%), 5/6/30 | 1,669 | 1,668,479 | |
DexKo Global, Inc., Term Loan, 9.402%, (SOFR + 3.75%), 10/4/28 | 517 | 496,360 | |
LTI Holdings, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 9/6/25 | 711 | 679,908 | |
$ 4,913,179 | |||
Automobiles — 0.5% | |||
Bombardier Recreational Products, Inc., Term Loan, 7.424%, (SOFR + 2.00%), 5/24/27 | $ | 1,389 | $ 1,378,756 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Automobiles (continued) | |||
MajorDrive Holdings IV, LLC, Term Loan, 9.652%, (SOFR + 4.00%), 6/1/28 | $ | 996 | $ 969,828 |
$ 2,348,584 | |||
Beverages — 0.1% | |||
Triton Water Holdings, Inc., Term Loan, 8.902%, (SOFR + 3.25%), 3/31/28 | $ | 748 | $ 710,916 |
$ 710,916 | |||
Biotechnology — 0.1% | |||
Alltech, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 10/13/28 | $ | 732 | $ 716,360 |
$ 716,360 | |||
Building Products — 0.5% | |||
Cornerstone Building Brands, Inc., Term Loan, 8.685%, (SOFR + 3.25%), 4/12/28 | $ | 497 | $ 474,339 |
Oscar AcquisitionCo, LLC, Term Loan, 9.99%, (SOFR + 4.50%), 4/29/29 | 743 | 724,402 | |
Standard Industries, Inc., Term Loan, 7.953%, (SOFR + 2.50%), 9/22/28 | 984 | 986,840 | |
$ 2,185,581 | |||
Capital Markets — 1.6% | |||
Advisor Group, Inc., Term Loan, 9.824%, (SOFR + 4.50%), 8/17/28 | $ | 965 | $ 961,998 |
Aretec Group, Inc.: | |||
Term Loan, 9.674%, (SOFR + 4.25%), 10/1/25 | 692 | 692,333 | |
Term Loan, 9.924%, (SOFR + 4.50%), 8/9/30 | 474 | 461,375 | |
Citco Funding, LLC, Term Loan, 4/27/28(13) | 1,225 | 1,227,297 | |
Edelman Financial Center, LLC, Term Loan, 8.939%, (SOFR + 3.50%), 4/7/28 | 746 | 734,640 | |
Focus Financial Partners, LLC, Term Loan, 8.574%, (SOFR + 3.25%), 6/30/28 | 997 | 994,863 | |
HighTower Holdings, LLC, Term Loan, 9.38%, (SOFR + 4.00%), 4/21/28 | 997 | 980,623 | |
Mariner Wealth Advisors, LLC, Term Loan, 8.901%, (SOFR + 3.25%), 8/18/28 | 796 | 784,000 | |
Victory Capital Holdings, Inc., Term Loan, 7.772%, (SOFR + 2.25%), 7/1/26 | 1,000 | 999,531 | |
$ 7,836,660 | |||
Chemicals — 3.0% | |||
Aruba Investments, Inc., Term Loan, 9.424%, (SOFR + 4.00%), 11/24/27 | $ | 598 | $ 589,309 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Chemicals (continued) | |||
Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 7.89%, (SOFR + 2.50%), 12/20/29 | $ | 1,388 | $ 1,391,972 |
Charter NEX US, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 12/1/27 | 896 | 874,706 | |
CPC Acquisition Corp., Term Loan, 9.402%, (SOFR + 3.75%), 12/29/27 | 659 | 521,326 | |
Groupe Solmax, Inc., Term Loan, 10.303%, (SOFR + 4.75%), 5/29/28(14) | 497 | 465,991 | |
INEOS Quattro Holdings UK, Ltd., Term Loan, 9.174%, (SOFR + 3.75%), 3/14/30 | 773 | 760,017 | |
INEOS US Finance, LLC: | |||
Term Loan, 8.924%, (SOFR + 3.50%), 2/18/30 | 499 | 490,490 | |
Term Loan, 9.174%, (SOFR + 3.75%), 11/8/27 | 995 | 984,221 | |
Kraton Corporation, Term Loan, 8.921%, (SOFR + 3.25%), 3/15/29 | 995 | 948,933 | |
Lonza Group AG, Term Loan, 9.415%, (SOFR + 3.93%), 7/3/28 | 499 | 423,660 | |
Messer Industries GmbH, Term Loan, 8.152%, (SOFR + 2.50%), 3/2/26 | 1,266 | 1,266,546 | |
Momentive Performance Materials, Inc., Term Loan, 9.824%, (SOFR + 4.50%), 3/29/28 | 547 | 522,624 | |
Olympus Water US Holding Corporation, Term Loan, 9.99%, (SOFR + 4.50%), 11/9/28 | 980 | 964,509 | |
PQ Corporation, Term Loan, 7.983%, (SOFR + 2.50%), 6/9/28 | 1,004 | 999,542 | |
Starfruit Finco B.V., Term Loan, 9.419%, (SOFR + 4.00%), 4/3/28 | 723 | 707,518 | |
Tronox Finance, LLC, Term Loan, 8/16/28(13) | 1,000 | 987,500 | |
W.R. Grace & Co.-Conn., Term Loan, 9.402%, (SOFR + 3.75%), 9/22/28 | 1,278 | 1,257,776 | |
$ 14,156,640 | |||
Commercial Services & Supplies — 1.4% | |||
Allied Universal Holdco, LLC, Term Loan, 9.174%, (SOFR + 3.75%), 5/12/28 | $ | 631 | $ 599,897 |
Belfor Holdings, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 4/6/26 | 497 | 497,403 | |
EnergySolutions, LLC, Term Loan, 9.382%, (SOFR + 4.00%), 9/20/30 | 791 | �� 787,753 | |
Garda World Security Corporation, Term Loan, 9.746%, (SOFR + 4.25%), 10/30/26 | 1,050 | 1,048,360 | |
GFL Environmental, Inc., Term Loan, 7.912%, (SOFR + 2.50%), 5/31/27 | 795 | 796,745 | |
SITEL Worldwide Corporation, Term Loan, 9.189%, (SOFR + 3.75%), 8/28/28 | 995 | 961,047 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Commercial Services & Supplies (continued) | |||
Tempo Acquisition, LLC, Term Loan, 8.074%, (SOFR + 2.75%), 8/31/28 | $ | 1,474 | $ 1,474,201 |
TruGreen Limited Partnership, Term Loan, 9.424%, (SOFR + 4.00%), 11/2/27 | 598 | 562,853 | |
$ 6,728,259 | |||
Communications Equipment — 0.1% | |||
CommScope, Inc., Term Loan, 8.689%, (SOFR + 3.25%), 4/6/26 | $ | 579 | $ 501,502 |
$ 501,502 | |||
Construction Materials — 0.3% | |||
Quikrete Holdings, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 3/19/29 | $ | 1,285 | $ 1,286,430 |
$ 1,286,430 | |||
Containers & Packaging — 0.2% | |||
Clydesdale Acquisition Holdings, Inc., Term Loan, 9.599%, (SOFR + 4.18%), 4/13/29 | $ | 742 | $ 719,544 |
Trident TPI Holdings, Inc., Term Loan, 9.652%, (SOFR + 4.00%), 9/15/28 | 496 | 490,874 | |
$ 1,210,418 | |||
Diversified Consumer Services — 0.6% | |||
Ascend Learning, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/11/28 | $ | 499 | $ 465,535 |
Belron Finance US, LLC, Term Loan, 8.245%, (SOFR + 2.75%), 4/18/29 | 1,397 | 1,400,340 | |
KUEHG Corp., Term Loan, 10.39%, (SOFR + 5.00%), 6/12/30 | 875 | 875,390 | |
$ 2,741,265 | |||
Electrical Equipment — 0.3% | |||
Brookfield WEC Holdings, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 8/1/25 | $ | 1,256 | $ 1,255,803 |
$ 1,255,803 | |||
Electronic Equipment, Instruments & Components — 0.9% | |||
Chamberlain Group, Inc., Term Loan, 8.674%, (SOFR + 3.25%), 11/3/28 | $ | 748 | $ 727,757 |
Creation Technologies, Inc., Term Loan, 11.176%, (SOFR + 5.50%), 10/5/28 | 497 | 471,358 | |
Ingram Micro, Inc., Term Loan, 8.653%, (SOFR + 3.00%), 6/30/28 | 372 | 371,501 | |
Robertshaw US Holding Corp.: | |||
Term Loan, 13.49%, (SOFR + 8.00%), 8.49% cash, 5.00% PIK, 2/28/27 | 443 | 447,846 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
Robertshaw US Holding Corp.: (continued) | |||
Term Loan - Second Lien, 12.49%, (SOFR + 7.00%), 2/28/27 | $ | 1,873 | $ 1,582,392 |
Verifone Systems, Inc., Term Loan, 9.653%, (SOFR + 4.00%), 8/20/25 | 742 | 691,493 | |
$ 4,292,347 | |||
Energy Equipment & Services — 0.2% | |||
GIP Pilot Acquisition Partners L.P., Term Loan, 8.388%, (SOFR + 3.00%), 10/4/30 | $ | 925 | $ 925,000 |
$ 925,000 | |||
Entertainment — 0.7% | |||
Delta 2 (LUX) S.a.r.l., Term Loan, 7.574%, (SOFR + 2.25%), 1/15/30 | $ | 1,000 | $ 997,500 |
Playtika Holding Corp., Term Loan, 8.189%, (SOFR + 2.75%), 3/13/28 | 348 | 338,377 | |
Renaissance Holding Corp., Term Loan, 10.074%, (SOFR + 4.75%), 4/5/30 | 625 | 617,317 | |
UFC Holdings, LLC, Term Loan, 8.399%, (SOFR + 2.75%), 4/29/26 | 1,311 | 1,311,010 | |
$ 3,264,204 | |||
Financial Services — 0.2% | |||
GTCR W Merger Sub, LLC, Term Loan, 9/20/30(13) | $ | 850 | $ 844,840 |
$ 844,840 | |||
Food Products — 0.4% | |||
Del Monte Foods, Inc., Term Loan, 9.682%, (SOFR + 4.25%), 5/16/29 | $ | 499 | $ 483,903 |
Nomad Foods US, LLC, Term Loan, 8.469%, (SOFR + 3.00%), 11/13/29 | 1,207 | 1,207,890 | |
$ 1,691,793 | |||
Gas Utilities — 0.3% | |||
CQP Holdco, L.P., Term Loan, 8.99%, (SOFR + 3.50%), 6/5/28 | $ | 1,491 | $ 1,491,569 |
$ 1,491,569 | |||
Health Care Equipment & Supplies — 0.3% | |||
Gloves Buyer, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 12/29/27 | $ | 497 | $ 480,038 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Health Care Equipment & Supplies (continued) | |||
Journey Personal Care Corp., Term Loan, 9.981%, (6 mo. USD LIBOR + 4.25%), 3/1/28 | $ | 497 | $ 478,334 |
Medline Borrower, L.P., Term Loan, 8.689%, (SOFR + 3.25%), 10/23/28 | 691 | 687,536 | |
$ 1,645,908 | |||
Health Care Providers & Services — 1.3% | |||
CCRR Parent, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 3/6/28 | $ | 997 | $ 950,064 |
CHG Healthcare Services, Inc., Term Loan, 8.689%, (SOFR + 3.25%), 9/29/28 | 874 | 865,448 | |
Medical Solutions Holdings, Inc., Term Loan, 8.773%, (SOFR + 3.25%), 11/1/28 | 986 | 921,305 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 9.187%, (SOFR + 3.75%), 3/2/28(14) | 760 | 665,727 | |
Term Loan, 9.24%, (SOFR + 3.75%), 3/2/28 | 27 | 24,068 | |
Pearl Intermediate Parent, LLC, Term Loan - Second Lien, 11.674%, (SOFR + 6.25%), 2/13/26 | 142 | 141,882 | |
Pluto Acquisition I, Inc., Term Loan, 9.684%, (SOFR + 4.00%), 6/22/26 | 992 | 842,786 | |
Surgery Center Holdings, Inc., Term Loan, 9.203%, (SOFR + 3.75%), 8/31/26 | 1,000 | 1,000,455 | |
TTF Holdings, LLC, Term Loan, 3/31/28(13) | 750 | 750,937 | |
$ 6,162,672 | |||
Health Care Technology — 0.6% | |||
athenahealth Group, Inc., Term Loan, 8.577%, (SOFR + 3.25%), 2/15/29 | $ | 880 | $ 853,107 |
Navicure, Inc., Term Loan, 9.439%, (SOFR + 4.00%), 10/22/26 | 660 | 660,893 | |
Symplr Software, Inc., Term Loan, 9.983%, (SOFR + 4.50%), 12/22/27 | 499 | 438,563 | |
Verscend Holding Corp., Term Loan, 9.439%, (SOFR + 4.00%), 8/27/25 | 1,028 | 1,028,677 | |
$ 2,981,240 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
Carnival Corporation, Term Loan, 8.689%, (SOFR + 3.25%), 10/18/28 | $ | 1,147 | $ 1,128,337 |
ClubCorp Holdings, Inc., Term Loan, 10.398%, (SOFR + 5.00%), 9/18/26 | 692 | 678,514 | |
Dave & Buster's, Inc., Term Loan, 9.188%, (SOFR + 3.75%), 6/29/29 | 348 | 348,584 | |
Fertitta Entertainment, LLC, Term Loan, 9.324%, (SOFR + 4.00%), 1/27/29 | 854 | 836,600 | |
Four Seasons Hotels Limited, Term Loan, 11/30/29(13) | 1,400 | 1,402,722 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
IRB Holding Corp., Term Loan, 8.424%, (SOFR + 3.00%), 12/15/27 | $ | 1,810 | $ 1,792,971 |
SeaWorld Parks & Entertainment, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 8/25/28 | 995 | 994,509 | |
Spectacle Gary Holdings, LLC, Term Loan, 9.674%, (SOFR + 4.25%), 12/10/28 | 801 | 783,128 | |
Stars Group Holdings B.V. (The), Term Loan, 8.902%, (SOFR + 3.25%), 7/22/28 | 995 | 997,066 | |
$ 8,962,431 | |||
Household Durables — 0.3% | |||
ACProducts, Inc., Term Loan, 9.902%, (SOFR + 4.25%), 5/17/28 | $ | 792 | $ 631,539 |
Solis IV B.V., Term Loan, 8.891%, (SOFR + 3.50%), 2/26/29 | 994 | 940,300 | |
$ 1,571,839 | |||
Household Products — 0.4% | |||
Energizer Holdings, Inc., Term Loan, 7.703%, (SOFR + 2.25%), 12/22/27 | $ | 1,266 | $ 1,265,841 |
Kronos Acquisition Holdings, Inc., Term Loan, 9.402%, (SOFR + 3.75%), 12/22/26 | 897 | 881,114 | |
$ 2,146,955 | |||
Insurance — 1.3% | |||
Alliant Holdings Intermediate, LLC, Term Loan, 8.939%, (1 mo. USD LIBOR + 3.50%), 11/5/27 | $ | 746 | $ 744,727 |
AmWINS Group, Inc., Term Loan, 7.689%, (SOFR + 2.25%), 2/19/28 | 1,680 | 1,667,704 | |
AssuredPartners, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 2/12/27 | 497 | 493,673 | |
NFP Corp., Term Loan, 8.689%, (SOFR + 3.25%), 2/16/27 | 995 | 977,574 | |
Ryan Specialty Group, LLC, Term Loan, 8.424%, (SOFR + 3.00%), 9/1/27 | 997 | 998,365 | |
USI, Inc., Term Loan, 9.14%, (SOFR + 3.75%), 11/22/29 | 1,183 | 1,182,941 | |
$ 6,064,984 | |||
Interactive Media & Services — 0.1% | |||
Getty Images, Inc., Term Loan, 9.99%, (SOFR + 4.50%), 2/19/26 | $ | 506 | $ 507,707 |
$ 507,707 | |||
IT Services — 2.0% | |||
Asurion, LLC: | |||
Term Loan, 8.689%, (SOFR + 3.25%), 12/23/26 | $ | 1,031 | $ 998,389 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
IT Services (continued) | |||
Asurion, LLC: (continued) | |||
Term Loan - Second Lien, 10.689%, (SOFR + 5.25%), 1/31/28 | $ | 1,000 | $ 872,917 |
Cyxtera DC Holdings, Inc.: | |||
DIP Loan, 13.951%, (SOFR + 8.50%), 12/7/23 | 410 | 413,258 | |
Term Loan, 0.00%, 5/1/24(10) | 1,480 | 866,014 | |
Endure Digital, Inc., Term Loan, 9.422%, (SOFR + 3.50%), 2/10/28 | 990 | 921,355 | |
Gainwell Acquisition Corp., Term Loan, 9.49%, (SOFR + 4.00%), 10/1/27 | 1,076 | 1,030,717 | |
Go Daddy Operating Company, LLC, Term Loan, 7.824%, (SOFR + 2.50%), 11/9/29 | 998 | 999,526 | |
Informatica, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 10/27/28 | 1,798 | 1,796,221 | |
NAB Holdings, LLC, Term Loan, 8.54%, (SOFR + 3.00%), 11/23/28 | 998 | 993,511 | |
Travelport Finance (Luxembourg) S.a.r.l., Term Loan, 12.652%, (SOFR + 7.26%), 5.402% cash, 7.25% PIK, 2/28/25 | 399 | 379,997 | |
$ 9,271,905 | |||
Leisure Products — 0.1% | |||
Peloton Interactive, Inc., Term Loan, 12.263%, (SOFR + 6.50%), 5/25/27 | $ | 312 | $ 313,922 |
$ 313,922 | |||
Life Sciences Tools & Services — 0.2% | |||
Curia Global, Inc., Term Loan, 9.233%, (SOFR + 3.75%), 8/30/26(14) | $ | 758 | $ 610,427 |
Star Parent, Inc., Term Loan, 9.386%, (SOFR + 4.00%), 9/27/30 | 600 | 574,187 | |
$ 1,184,614 | |||
Machinery — 2.7% | |||
AI Aqua Merger Sub, Inc., Term Loan, 9.082%, (SOFR + 3.75%), 7/31/28 | $ | 1,047 | $ 1,027,658 |
Albion Financing 3 S.a.r.l., Term Loan, 10.883%, (SOFR + 5.50%), 8/17/26 | 597 | 596,627 | |
Alliance Laundry Systems, LLC, Term Loan, 8.932%, (SOFR + 3.50%), 10/8/27 | 479 | 478,677 | |
Apex Tool Group, LLC, Term Loan, 10.689%, (SOFR + 5.25%), 2/8/29 | 830 | 707,684 | |
Barnes Group, Inc., Term Loan, 9/3/30(13) | 1,000 | 993,438 | |
Clark Equipment Company, Term Loan, 7.99%, (SOFR + 2.50%), 4/20/29 | 437 | 437,937 | |
Conair Holdings, LLC, Term Loan, 9.189%, (SOFR + 3.75%), 5/17/28 | 795 | 738,555 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Machinery (continued) | |||
EMRLD Borrower, L.P., Term Loan, 8.38%, (SOFR + 3.00%), 5/31/30 | $ | 1,225 | $ 1,224,234 |
Engineered Machinery Holdings, Inc., Term Loan, 9.152%, (SOFR + 3.50%), 5/19/28 | 735 | 728,655 | |
Filtration Group Corporation, Term Loan, 8.939%, (SOFR + 3.50%), 10/21/28 | 748 | 743,416 | |
Gates Global, LLC, Term Loan, 7.924%, (SOFR + 2.50%), 3/31/27 | 1,527 | 1,525,956 | |
Madison IAQ, LLC, Term Loan, 8.703%, (SOFR + 3.25%), 6/21/28 | 681 | 658,093 | |
Roper Industrial Products Investment Company, LLC, Term Loan, 9.89%, (SOFR + 4.50%), 11/22/29 | 698 | 697,419 | |
SPX Flow, Inc., Term Loan, 9.924%, (SOFR + 4.50%), 4/5/29 | 950 | 943,023 | |
Vertical US Newco, Inc., Term Loan, 8.98%, (SOFR + 3.50%), 7/30/27 | 1,244 | 1,236,935 | |
$ 12,738,307 | |||
Media — 0.1% | |||
Recorded Books, Inc., Term Loan, 9.324%, (SOFR + 4.00%), 8/29/25 | $ | 431 | $ 430,741 |
$ 430,741 | |||
Metals/Mining — 0.6% | |||
Arsenal AIC Parent, LLC, Term Loan, 9.879%, (SOFR + 4.50%), 8/18/30 | $ | 875 | $ 874,453 |
PMHC II, Inc., Term Loan, 9.807%, (SOFR + 4.25%), 4/23/29 | 796 | 726,383 | |
WireCo WorldGroup, Inc., Term Loan, 9.699%, (SOFR + 4.25%), 11/13/28 | 689 | 686,332 | |
Zekelman Industries, Inc., Term Loan, 7.449%, (SOFR + 2.00%), 1/24/27 | 498 | 497,646 | |
$ 2,784,814 | |||
Oil, Gas & Consumable Fuels — 0.5% | |||
ITT Holdings, LLC, Term Loan, 10/5/30(13) | $ | 700 | $ 690,593 |
Oryx Midstream Services Permian Basin, LLC, Term Loan, 8.692%, (SOFR + 3.25%), 10/5/28 | 746 | 745,948 | |
UGI Energy Services, LLC, Term Loan, 8.674%, (SOFR + 3.25%), 2/22/30 | 748 | 748,525 | |
$ 2,185,066 | |||
Pharmaceuticals — 0.5% | |||
Bausch Health Companies, Inc., Term Loan, 10.689%, (SOFR + 5.25%), 2/1/27 | $ | 845 | $ 662,804 |
Jazz Financing Lux S.a.r.l., Term Loan, 8.939%, (SOFR + 3.50%), 5/5/28 | 960 | 961,057 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
Mallinckrodt International Finance S.A.: | |||
DIP Loan, 13.439%, (SOFR + 8.00%), 8/28/24 | $ | 29 | $ 30,534 |
DIP Loan, 13.451%, (SOFR + 8.00%), 8/28/24 | 55 | 57,871 | |
Term Loan, 12.703%, (SOFR + 7.25%), 9/30/27 | 827 | 630,077 | |
$ 2,342,343 | |||
Professional Services — 1.3% | |||
AlixPartners, LLP, Term Loan, 8.189%, (SOFR + 2.75%), 2/4/28 | $ | 705 | $ 705,319 |
CoreLogic, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 6/2/28 | 974 | 888,585 | |
Employbridge Holding Company, Term Loan, 10.407%, (SOFR + 4.75%), 7/19/28 | 497 | 433,880 | |
First Advantage Holdings, LLC, Term Loan, 8.189%, (SOFR + 2.75%), 1/31/27 | 1,237 | 1,238,544 | |
Genuine Financial Holdings, LLC, Term Loan, 9.40%, (SOFR + 4.00%), 9/27/30 | 500 | 495,469 | |
Neptune Bidco US, Inc., Term Loan, 10.507%, (SOFR + 5.00%), 4/11/29 | 796 | 700,356 | |
Rockwood Service Corporation, Term Loan, 9.439%, (SOFR + 4.00%), 1/23/27 | 724 | 725,727 | |
Trans Union, LLC, Term Loan, 7.689%, (SOFR + 2.25%), 12/1/28 | 1,127 | 1,126,623 | |
$ 6,314,503 | |||
Real Estate Management & Development — 0.4% | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 8.674%, (SOFR + 3.25%), 1/31/30 | $ | 916 | $ 877,336 |
Greystar Real Estate Partners, LLC, Term Loan, 9.147%, (SOFR + 3.75%), 8/21/30 | 1,100 | 1,100,000 | |
$ 1,977,336 | |||
Road & Rail — 1.0% | |||
Avis Budget Car Rental, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 3/16/29 | $ | 1,393 | $ 1,395,715 |
First Student Bidco, Inc.: | |||
Term Loan, 8.652%, (SOFR + 3.00%), 7/21/28 | 136 | 132,123 | |
Term Loan, 8.655%, (SOFR + 3.00%), 7/21/28 | 362 | 351,476 | |
Hertz Corporation (The): | |||
Term Loan, 8.691%, (SOFR + 3.25%), 6/30/28 | 878 | 871,713 | |
Term Loan, 8.691%, (SOFR + 3.25%), 6/30/28 | 169 | 168,066 | |
Uber Technologies, Inc., Term Loan, 8.159%, (SOFR + 2.75%), 3/3/30 | 1,741 | 1,742,534 | |
$ 4,661,627 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Semiconductors & Semiconductor Equipment — 0.5% | |||
Altar Bidco, Inc., Term Loan, 8.142%, (SOFR + 3.10%), 2/1/29(14) | $ | 996 | $ 988,671 |
Entegris, Inc., Term Loan, 7.89%, (SOFR + 2.50%), 7/6/29 | 616 | 617,621 | |
MKS Instruments, Inc., Term Loan, 7.819%, (SOFR + 2.50%), 8/17/29 | 746 | 741,754 | |
$ 2,348,046 | |||
Software — 4.6% | |||
Applied Systems, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 9/18/26 | $ | 1,521 | $ 1,526,521 |
Astra Acquisition Corp., Term Loan, 10.902%, (SOFR + 5.25%), 10/25/28 | 771 | 528,576 | |
Banff Merger Sub, Inc., Term Loan, 9.189%, (SOFR + 3.75%), 10/2/25 | 1,041 | 1,040,805 | |
Central Parent, Inc., Term Loan, 9.406%, (SOFR + 4.00%), 7/6/29 | 1,191 | 1,186,311 | |
Cloud Software Group, Inc., Term Loan, 9.99%, (SOFR + 4.50%), 3/30/29(14) | 1,096 | 1,043,529 | |
Delta TopCo, Inc., Term Loan, 9.069%, (SOFR + 3.75%), 12/1/27 | 795 | 783,519 | |
Epicor Software Corporation, Term Loan, 8.689%, (SOFR + 3.25%), 7/30/27 | 1,701 | 1,695,170 | |
GoTo Group, Inc., Term Loan, 10.13%, (SOFR + 4.75%), 8/31/27 | 807 | 511,142 | |
Magenta Buyer, LLC, Term Loan, 10.645%, (SOFR + 5.00%), 7/27/28 | 1,124 | 786,891 | |
McAfee, LLC, Term Loan, 9.165%, (SOFR + 3.75%), 3/1/29 | 988 | 945,737 | |
Open Text Corporation, Term Loan, 8.174%, (SOFR + 2.75%), 1/31/30 | 850 | 851,042 | |
Polaris Newco, LLC, Term Loan, 9.439%, (SOFR + 4.00%), 6/2/28 | 723 | 684,062 | |
Proofpoint, Inc., Term Loan, 8.689%, (SOFR + 3.25%), 8/31/28 | 1,133 | 1,115,693 | |
Quest Software US Holdings, Inc., Term Loan, 9.783%, (SOFR + 4.25%), 2/1/29 | 499 | 397,030 | |
RealPage, Inc., Term Loan, 8.439%, (SOFR + 3.00%), 4/24/28 | 966 | 945,142 | |
Redstone Holdco 2, L.P., Term Loan, 10.189%, (SOFR + 4.75%), 4/27/28 | 310 | 248,870 | |
Riverbed Technology, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 7/1/28 | 110 | 71,942 | |
Skillsoft Corporation, Term Loan, 10.699%, (SOFR + 5.25%), 7/14/28 | 499 | 457,677 | |
Sophia, L.P., Term Loan, 8.924%, (SOFR + 3.50%), 10/7/27 | 1,466 | 1,449,025 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Software (continued) | |||
SS&C Technologies, Inc.: | |||
Term Loan, 7.674%, (SOFR + 2.25%), 3/22/29 | $ | 529 | $ 528,720 |
Term Loan, 7.674%, (SOFR + 2.25%), 3/22/29 | 837 | 837,540 | |
Ultimate Software Group, Inc. (The): | |||
Term Loan, 8.764%, (SOFR + 3.25%), 5/4/26 | 1,461 | 1,455,116 | |
Term Loan, 9.233%, (SOFR + 3.75%), 5/4/26 | 683 | 682,065 | |
Veritas US, Inc., Term Loan, 10.439%, (SOFR + 5.11%), 9/1/25 | 953 | 809,438 | |
Vision Solutions, Inc., Term Loan, 9.64%, (SOFR + 4.00%), 4/24/28 | 1,221 | 1,166,527 | |
$ 21,748,090 | |||
Specialty Retail — 1.5% | |||
Great Outdoors Group, LLC, Term Loan, 9.402%, (SOFR + 3.75%), 3/6/28 | $ | 1,219 | $ 1,211,618 |
Harbor Freight Tools USA, Inc., Term Loan, 8.189%, (SOFR + 2.75%), 10/19/27 | 746 | 737,806 | |
Hoya Midco, LLC, Term Loan, 8.633%, (SOFR + 3.25%), 2/3/29 | 623 | 623,072 | |
Les Schwab Tire Centers, Term Loan, 8.692%, (SOFR + 3.25%), 11/2/27 | 1,202 | 1,199,365 | |
Mattress Firm, Inc., Term Loan, 9/25/28(13) | 750 | 742,266 | |
Mavis Tire Express Services Corp., Term Loan, 9.439%, (SOFR + 4.00%), 5/4/28 | 400 | 394,727 | |
Michaels Companies, Inc., Term Loan, 9.902%, (SOFR + 4.25%), 4/15/28 | 382 | 320,456 | |
PetSmart, Inc., Term Loan, 9.174%, (SOFR + 3.75%), 2/11/28 | 1,858 | 1,839,894 | |
$ 7,069,204 | |||
Trading Companies & Distributors — 1.4% | |||
Core & Main, L.P., Term Loan, 7.967%, (SOFR + 2.50%), 7/27/28(14) | $ | 1,019 | $ 1,019,761 |
Electro Rent Corporation, Term Loan, 11.002%, (SOFR + 5.50%), 11/1/24 | 686 | 644,737 | |
Park River Holdings, Inc., Term Loan, 8.907%, (SOFR + 3.25%), 12/28/27 | 497 | 471,509 | |
Spin Holdco, Inc., Term Loan, 9.664%, (SOFR + 4.00%), 3/4/28 | 1,544 | 1,327,220 | |
SRS Distribution, Inc., Term Loan, 8.939%, (SOFR + 3.50%), 6/2/28 | 1,239 | 1,212,742 | |
White Cap Buyer, LLC, Term Loan, 9.074%, (SOFR + 3.75%), 10/19/27 | 1,244 | 1,237,601 | |
Windsor Holdings III, LLC, Term Loan, 9.815%, (SOFR + 4.50%), 8/1/30 | 675 | 673,765 | |
$ 6,587,335 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Wireless Telecommunication Services — 0.2% | |||
CCI Buyer, Inc., Term Loan, 9.39%, (SOFR + 4.00%), 12/17/27 | $ | 797 | $ 781,406 |
$ 781,406 | |||
Total Senior Floating-Rate Loans (identified cost $183,269,160) | $180,005,540 |
Miscellaneous — 0.0%(11) |
Security | Principal Amount | Value | |
Entertainment — 0.0% | |||
National CineMedia, Inc., Escrow Certificates(5)(15) | $ | 333,000 | $ 0 |
$ 0 | |||
Surface Transport — 0.0%(11) | |||
Hertz Corp., Escrow Certificates(1)(5) | $ | 105,000 | $ 9,450 |
$ 9,450 | |||
Total Miscellaneous (identified cost $0) | $ 9,450 |
Short-Term Investments — 9.6% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(16) | 45,142,813 | $ 45,142,813 | |
Total Short-Term Investments (identified cost $45,142,813) | $ 45,142,813 | ||
Total Investments — 101.2% (identified cost $504,250,512) | $478,647,021 | ||
Other Assets, Less Liabilities — (1.2)% | $ (5,595,689) | ||
Net Assets — 100.0% | $473,051,332 |
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 October 31, 2023, the aggregate value of these securities is $169,864,115 or 35.9% of the Fund's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at October 31, 2023. |
(4) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 10). |
(5) | Non-income producing security. |
(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 October 31, 2023, the aggregate value of these securities is $61,085,080 or 12.9% of the Fund's net assets. |
(7) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(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) | Issuer is in default with respect to interest and/or principal payments. |
(11) | Amount is less than 0.05%. |
(12) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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. |
(13) | This Senior Loan will settle after October 31, 2023, at which time the interest rate will be determined. |
(14) | The stated interest rate represents the weighted average interest rate at October 31, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(15) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 11). |
(16) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 50,507,242 | EUR | 47,482,502 | Bank of America, N.A. | 1/31/24 | $ 51,056 | $ — |
USD | 415,398 | EUR | 390,347 | State Street Bank and Trust Company | 1/31/24 | 606 | — |
USD | 8,735,438 | GBP | 7,183,784 | State Street Bank and Trust Company | 1/31/24 | — | (2,444) |
$51,662 | $(2,444) |
Abbreviations: | |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
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 |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $458,744,053) | $ 433,137,210 |
Affiliated investments, at value (identified cost $45,506,459) | 45,509,811 |
Cash | 1,670,982 |
Deposits for derivatives collateral - forward foreign currency exchange contracts | 2,680,000 |
Foreign currency, at value (identified cost $45,129) | 45,112 |
Interest receivable | 4,846,270 |
Interest and dividends receivable from affiliated investments | 195,813 |
Receivable for investments sold | 1,431,271 |
Receivable for Fund shares sold | 1,203,360 |
Receivable for open forward foreign currency exchange contracts | 51,662 |
Tax reclaims receivable | 45,764 |
Trustees' deferred compensation plan | 48,684 |
Total assets | $ 490,865,939 |
Liabilities | |
Cash collateral due to brokers | $ 2,680,000 |
Payable for investments purchased | 13,961,661 |
Payable for Fund shares redeemed | 559,161 |
Payable for open forward foreign currency exchange contracts | 2,444 |
Distributions payable | 91,654 |
Payable to affiliates: | |
Investment adviser and administration fee | 211,892 |
Distribution and service fees | 12,121 |
Trustees' fees | 2,527 |
Trustees' deferred compensation plan | 48,684 |
Accrued expenses | 244,463 |
Total liabilities | $ 17,814,607 |
Net Assets | $ 473,051,332 |
Sources of Net Assets | |
Paid-in capital | $ 731,733,581 |
Accumulated loss | (258,682,249) |
Net Assets | $ 473,051,332 |
Class A Shares | |
Net Assets | $ 40,737,914 |
Shares Outstanding | 4,286,970 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.50 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 9.82 |
Class C Shares | |
Net Assets | $ 3,869,904 |
Shares Outstanding | 406,929 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 9.51 |
Class I Shares | |
Net Assets | $ 180,662,813 |
Shares Outstanding | 18,962,372 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.53 |
October 31, 2023 | |
Class R6 Shares | |
Net Assets | $247,780,701 |
Shares Outstanding | 26,017,515 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.52 |
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. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income | $ 96,254 |
Dividend income from affiliated investments | 1,621,766 |
Interest and other income | 31,002,604 |
Interest income from affiliated investments | 31,123 |
Total investment income | $ 32,751,747 |
Expenses | |
Investment adviser and administration fee | $ 2,370,074 |
Distribution and service fees: | |
Class A | 107,403 |
Class C | 54,292 |
Trustees’ fees and expenses | 28,674 |
Custodian fee | 194,396 |
Transfer and dividend disbursing agent fees | 133,040 |
Legal and accounting services | 107,224 |
Printing and postage | 22,232 |
Registration fees | 75,366 |
Miscellaneous | 49,227 |
Total expenses | $ 3,141,928 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 50,799 |
Total expense reductions | $ 50,799 |
Net expenses | $ 3,091,129 |
Net investment income | $ 29,660,618 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (21,528,999) |
Foreign currency transactions | 183,291 |
Forward foreign currency exchange contracts | (1,818,054) |
Net realized loss | $(23,163,762) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 28,642,962 |
Investments - affiliated investments | 2,300 |
Foreign currency | (9,980) |
Forward foreign currency exchange contracts | (523,486) |
Net change in unrealized appreciation (depreciation) | $ 28,111,796 |
Net realized and unrealized gain | $ 4,948,034 |
Net increase in net assets from operations | $ 34,608,652 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 29,660,618 | $ 19,272,667 |
Net realized loss | (23,163,762) | (3,797,265) |
Net change in unrealized appreciation (depreciation) | 28,111,796 | (47,511,771) |
Net increase (decrease) in net assets from operations | $ 34,608,652 | $ (32,036,369) |
Distributions to shareholders: | ||
Class A | $ (2,908,778) | $ (2,179,540) |
Class C | (323,146) | (613,791) |
Class I | (13,472,073) | (12,184,954) |
Class R6 | (13,600,022) | (5,097,071) |
Total distributions to shareholders | $ (30,304,019) | $ (20,075,356) |
Transactions in shares of beneficial interest: | ||
Class A | $ (4,686,715) | $ (10,630,209) |
Class C | (4,510,269) | (13,534,522) |
Class I | (27,558,904) | (108,874,811) |
Class R6 | 102,903,580 | 113,967,404 |
Net increase (decrease) in net assets from Fund share transactions | $ 66,147,692 | $ (19,072,138) |
Net increase (decrease) in net assets | $ 70,452,325 | $ (71,183,863) |
Net Assets | ||
At beginning of year | $ 402,599,007 | $ 473,782,870 |
At end of year | $473,051,332 | $ 402,599,007 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.400 | $10.680 | $ 10.210 | $ 10.760 | $ 10.620 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.636 | $ 0.468 | $ 0.394 | $ 0.423 | $ 0.496 |
Net realized and unrealized gain (loss) | 0.114 | (1.287) | 0.489 | (0.500) | 0.148 |
Total income (loss) from operations | $ 0.750 | $ (0.819) | $ 0.883 | $ (0.077) | $ 0.644 |
Less Distributions | |||||
From net investment income | $ (0.650) | $ (0.461) | $ (0.413) | $ (0.473) | $ (0.504) |
Total distributions | $ (0.650) | $ (0.461) | $ (0.413) | $ (0.473) | $ (0.504) |
Net asset value — End of year | $ 9.500 | $ 9.400 | $10.680 | $10.210 | $10.760 |
Total Return(2) | 8.13% | (7.80)% | 8.73% | (0.66)% (3) | 6.22% (3) |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $40,738 | $44,921 | $ 61,518 | $ 63,023 | $ 3,888 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.95% (4) | 0.97% (4) | 0.96% | 0.99% (3) | 1.00% (3) |
Net investment income | 6.63% | 4.66% | 3.70% | 4.13% | 4.64% |
Portfolio Turnover | 54% | 80% | 76% | 93% | 96% |
(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 and sub-adviser reimbursed certain operating expenses (equal to 0.01% and 0.70% of average daily net assets for the years ended October 31, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser 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 years ended October 31, 2023 and 2022, respectively). |
Class C | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.410 | $10.690 | $ 10.220 | $ 10.770 | $ 10.620 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.558 | $ 0.352 | $ 0.315 | $ 0.353 | $ 0.411 |
Net realized and unrealized gain (loss) | 0.121 | (1.246) | 0.489 | (0.508) | 0.154 |
Total income (loss) from operations | $ 0.679 | $ (0.894) | $ 0.804 | $ (0.155) | $ 0.565 |
Less Distributions | |||||
From net investment income | $ (0.579) | $ (0.386) | $ (0.334) | $ (0.395) | $ (0.415) |
Total distributions | $(0.579) | $ (0.386) | $ (0.334) | $ (0.395) | $ (0.415) |
Net asset value — End of year | $ 9.510 | $ 9.410 | $10.690 | $10.220 | $10.770 |
Total Return(2) | 7.32% | (8.48)% | 7.92% | (1.40)% (3) | 5.43% (3) |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 3,870 | $ 8,267 | $ 23,956 | $ 34,273 | $ 1,259 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 1.71% (4) | 1.72% (4) | 1.71% | 1.74% (3) | 1.75% (3) |
Net investment income | 5.82% | 3.47% | 2.95% | 3.45% | 3.85% |
Portfolio Turnover | 54% | 80% | 76% | 93% | 96% |
(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 and sub-adviser reimbursed certain operating expenses (equal to 0.01% and 0.70% of average daily net assets for the years ended October 31, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser 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 years ended October 31, 2023 and 2022, respectively). |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 9.430 | $ 10.710 | $ 10.240 | $ 10.790 | $ 10.650 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.661 | $ 0.461 | $ 0.420 | $ 0.449 | $ 0.526 |
Net realized and unrealized gain (loss) | 0.115 | (1.253) | 0.491 | (0.499) | 0.146 |
Total income (loss) from operations | $ 0.776 | $ (0.792) | $ 0.911 | $ (0.050) | $ 0.672 |
Less Distributions | |||||
From net investment income | $ (0.676) | $ (0.488) | $ (0.441) | $ (0.500) | $ (0.532) |
Total distributions | $ (0.676) | $ (0.488) | $ (0.441) | $ (0.500) | $ (0.532) |
Net asset value — End of year | $ 9.530 | $ 9.430 | $ 10.710 | $ 10.240 | $10.790 |
Total Return(2) | 8.40% | (7.53)% | 8.99% | (0.40)% (3) | 6.48% (3) |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $180,663 | $205,778 | $345,990 | $304,389 | $ 68,533 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.70% (4) | 0.72% (4) | 0.71% | 0.74% (3) | 0.75% (3) |
Net investment income | 6.88% | 4.56% | 3.93% | 4.38% | 4.90% |
Portfolio Turnover | 54% | 80% | 76% | 93% | 96% |
(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 and sub-adviser reimbursed certain operating expenses (equal to 0.01% and 0.70% of average daily net assets for the years ended October 31, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser 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 years ended October 31, 2023 and 2022, respectively). |
Class R6 | ||||||
Year Ended October 31, | Period Ended October 31, 2019(1) | |||||
2023 | 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) | $ 0.671 | $ 0.483 | $ 0.418 | $ 0.443 | $ 0.059 | |
Net realized and unrealized gain (loss) | 0.109 | (1.281) | 0.507 | (0.501) | (0.011) | |
Total income (loss) from operations | $ 0.780 | $ (0.798) | $ 0.925 | $ (0.058) | $ 0.048 | |
Less Distributions | ||||||
From net investment income | $ (0.680) | $ (0.492) | $ (0.445) | $ (0.502) | $ (0.078) | |
Total distributions | $ (0.680) | $ (0.492) | $ (0.445) | $ (0.502) | $ (0.078) | |
Net asset value — End of period | $ 9.520 | $ 9.420 | $10.710 | $10.230 | $10.790 | |
Total Return(3) | 8.44% | (7.58)% | 9.13% | (0.47)% (4) | 0.44% (4)(5) | |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $247,781 | $143,633 | $ 42,319 | $ 3,089 | $ 10 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.65% (6) | 0.66% (6) | 0.65% | 0.69% (4) | 0.75% (4)(7) | |
Net investment income | 6.97% | 4.90% | 3.90% | 4.34% | 3.40% (7) | |
Portfolio Turnover | 54% | 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) | 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 2019, respectively). Absent this reimbursement, total return would be lower. |
(5) | Not annualized. |
(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 years ended October 31, 2023 and 2022, respectively). |
(7) | Annualized. |
(8) | For the year ended October 31, 2019. |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $30,304,019 | $20,075,356 |
Undistributed ordinary income | $ 1,438,658 |
Deferred capital losses | (235,077,003) |
Net unrealized depreciation | (24,952,250) |
Distributions payable | (91,654) |
Accumulated loss | $(258,682,249) |
Aggregate cost | $ 503,573,337 |
Gross unrealized appreciation | $ 3,381,936 |
Gross unrealized depreciation | (28,308,252) |
Net unrealized depreciation | $ (24,926,316) |
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) | $ 244,815,148 | $ 176,079,938 |
U.S. Government and Agency Securities | 20,241,876 | 40,949,792 |
$265,057,024 | $217,029,730 |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 491,044 | $ 4,697,337 | 1,174,963 | $ 11,607,550 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 263,567 | 2,529,515 | 187,456 | 1,857,405 | |
Redemptions | (1,244,833) | (11,913,567) | (2,343,927) | (24,095,164) | |
Net decrease | (490,222) | $ (4,686,715) | (981,508) | $ (10,630,209) | |
Class C | |||||
Sales | 19,519 | $ 187,835 | 28,523 | $ 287,396 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 32,545 | 312,531 | 60,321 | 603,965 | |
Redemptions | (523,577) | (5,010,635) | (1,450,989) | (14,425,883) | |
Net decrease | (471,513) | $ (4,510,269) | (1,362,145) | $ (13,534,522) |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Sales | 2,693,183 | $ 25,833,259 | 6,164,379 | $ 63,453,436 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,367,503 | 13,159,874 | 1,194,356 | 11,928,833 | |
Redemptions | (6,925,581) | (66,552,037) | (17,836,543) | (184,257,080) | |
Net decrease | (2,864,895) | $ (27,558,904) | (10,477,808) | $(108,874,811) | |
Class R6 | |||||
Sales | 10,881,327 | $ 103,837,241 | 11,166,945 | $ 113,062,124 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,393,936 | 13,411,166 | 509,601 | 4,956,821 | |
Redemptions | (1,497,869) | (14,344,827) | (389,300) | (4,051,541) | |
Net increase | 10,777,394 | $102,903,580 | 11,287,246 | $ 113,967,404 |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Forward foreign currency exchange contracts | $51,662 (1) | $(2,444) (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. | $ 51,056 | $ — | $ — | $ — | $ 51,056 |
State Street Bank and Trust Company | 606 | (606) | — | — | — |
$51,662 | $(606) | $ — | $ — | $51,056 |
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) |
State Street Bank and Trust Company | $(2,444) | $606 | $ — | $ — | $(1,838) |
(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 | $(1,818,054) | $(523,486) |
(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 | Principal amount/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A, 7.307%, (1 mo. SOFR + 1.992%), 5/15/36 | $ 420,332 | $ — | $ (59,445) | $ — | $ 2,300 | $ 366,998 | $ 31,123 | $ 378,948 |
Short-Term Investments | ||||||||
Liquidity Fund | 31,492,053 | 307,643,352 | (293,992,592) | — | — | 45,142,813 | 1,621,766 | 45,142,813 |
Total | $ — | $2,300 | $45,509,811 | $1,652,889 |
• | 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 | $ — | $ 19,568,266 | $ — | $ 19,568,266 |
Collateralized Mortgage Obligations | — | 1,045,996 | — | 1,045,996 |
Commercial Mortgage-Backed Securities | — | 10,060,484 | — | 10,060,484 |
Common Stocks | 254,117 | — | — | 254,117 |
Convertible Bonds | — | 1,974,720 | — | 1,974,720 |
Corporate Bonds | — | 218,862,790 | — | 218,862,790 |
Foreign Corporate Bonds | — | 759,726 | — | 759,726 |
Preferred Stocks | 963,119 | — | — | 963,119 |
Senior Floating-Rate Loans | — | 180,005,540 | — | 180,005,540 |
Miscellaneous | — | 9,450 | 0 | 9,450 |
Short-Term Investments | 45,142,813 | — | — | 45,142,813 |
Total Investments | $ 46,360,049 | $ 432,286,972 | $ — | $ 478,647,021 |
Forward Foreign Currency Exchange Contracts | $ — | $ 51,662 | $ — | $ 51,662 |
Total | $ 46,360,049 | $ 432,338,634 | $ — | $ 478,698,683 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (2,444) | $ — | $ (2,444) |
Total | $ — | $ (2,444) | $ — | $ (2,444) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
127 funds in the Eaton Vance fund complex (including both funds and portfolios in a hub and spoke structure).
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management `Classic' (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class A at NAV | 11/01/2013 | 02/21/2012 | 5.96% | 3.08% | 3.14% |
Class A with 3.25% Maximum Sales Charge | — | — | 2.57 | 2.40 | 2.80 |
Class I at NAV | 11/01/2013 | 02/21/2012 | 6.23 | 3.32 | 3.40 |
ICE BofA U.S. High Yield Cash Pay BB-B 1–3 Year Index | — | — | 6.64% | 3.54% | 3.88% |
% Total Annual Operating Expense Ratios3 | Class A | Class I |
Gross | 1.14% | 0.89% |
Net | 0.91 | 0.66 |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class I, at minimum investment | $1,000,000 | 10/31/2013 | $1,397,812 | N.A. |
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. The breakdown assigns a numeric equivalent to the ratings from the aforementioned agencies and the mean is rounded to the nearest integer and converted to an equivalent S&P major rating category. 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. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. |
Additional Information | |
ICE BofA U.S. High Yield Index is an unmanaged index of below-investment grade U.S. corporate bonds. Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. | |
Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,017.50 | $4.53** | 0.89% |
Class I | $1,000.00 | $1,017.60 | $3.25** | 0.64% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.72 | $4.53** | 0.89% |
Class I | $1,000.00 | $1,021.98 | $3.26** | 0.64% |
* | 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 184/365 (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 April 30, 2023. |
** | Absent an allocation of certain expenses to affiliate(s), expenses would be higher. |
Convertible Bonds — 1.7% |
Security | Principal Amount (000's omitted) | Value | |
Containers — 0.4% | |||
CryoPort, Inc., 0.75%, 12/1/26(1) | $ | 437 | $ 344,400 |
$ 344,400 | |||
Homebuilders & Real Estate — 0.3% | |||
HAT Holdings I, LLC/HAT Holdings II, LLC, 0.00%, 5/1/25(1) | $ | 200 | $ 190,063 |
$ 190,063 | |||
Leisure — 0.4% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26 | $ | 398 | $ 295,545 |
$ 295,545 | |||
Telecommunications — 0.4% | |||
Liberty Latin America, Ltd., 2.00%, 7/15/24 | $ | 330 | $ 313,913 |
$ 313,913 | |||
Utility — 0.2% | |||
NextEra Energy Partners, L.P., 2.50%, 6/15/26(1) | $ | 214 | $ 185,538 |
$ 185,538 | |||
Total Convertible Bonds (identified cost $1,409,300) | $ 1,329,459 |
Corporate Bonds — 80.3% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace — 3.4% | |||
Bombardier, Inc.: | |||
7.125%, 6/15/26(1) | 463 | $ 446,057 | |
7.50%, 3/15/25(1) | 216 | 215,989 | |
Rolls-Royce PLC, 3.625%, 10/14/25(1) | 500 | 469,154 | |
Spirit AeroSystems, Inc., 7.50%, 4/15/25(1) | 600 | 599,192 | |
TransDigm, Inc., 6.25%, 3/15/26(1) | 910 | 889,893 | |
$ 2,620,285 | |||
Air Transportation — 3.3% | |||
Air Canada Pass-Through Trust, 10.50%, 7/15/26(1) | 250 | $ 269,085 | |
American Airlines, Inc., 7.25%, 2/15/28(1) | 150 | 139,653 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(1) | 1,000 | 973,434 |
Security | Principal Amount* (000's omitted) | Value | |
Air Transportation (continued) | |||
Delta Air Lines, Inc.: | |||
2.90%, 10/28/24 | 275 | $ 264,278 | |
7.375%, 1/15/26 | 400 | 404,394 | |
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 7.875%, 5/1/27(1) | 675 | 519,861 | |
$ 2,570,705 | |||
Automotive & Auto Parts — 2.9% | |||
Ford Motor Credit Co., LLC: | |||
3.37%, 11/17/23 | 200 | $ 199,942 | |
3.375%, 11/13/25 | 650 | 607,203 | |
3.664%, 9/8/24 | 663 | 646,052 | |
5.125%, 6/16/25 | 850 | 827,839 | |
$ 2,281,036 | |||
Broadcasting — 1.3% | |||
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.50%, 5/1/26(1) | 377 | $ 359,908 | |
Townsquare Media, Inc., 6.875%, 2/1/26(1) | 262 | 242,424 | |
Univision Communications, Inc., 5.125%, 2/15/25(1) | 384 | 375,360 | |
$ 977,692 | |||
Capital Goods — 0.5% | |||
Patrick Industries, Inc., 7.50%, 10/15/27(1) | 400 | $ 381,446 | |
$ 381,446 | |||
Chemicals — 2.4% | |||
Avient Corp., 5.75%, 5/15/25(1) | 500 | $ 490,436 | |
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 360 | 339,444 | |
International Flavors & Fragrances, Inc., 1.23%, 10/1/25(1) | 210 | 189,402 | |
NOVA Chemicals Corp., 4.875%, 6/1/24(1) | 819 | 805,752 | |
$ 1,825,034 | |||
Consumer Products — 0.9% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(1) | 328 | $ 313,794 | |
Mattel, Inc., 3.375%, 4/1/26(1) | 400 | 369,861 | |
$ 683,655 | |||
Containers — 5.9% | |||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 2.125%, 8/15/26(2) | EUR | 1,200 | $ 1,101,016 |
Ball Corp.: | |||
4.00%, 11/15/23 | 342 | 341,524 | |
5.25%, 7/1/25 | 384 | 378,462 | |
Berry Global, Inc., 4.50%, 2/15/26(1) | 610 | 575,306 |
Security | Principal Amount* (000's omitted) | Value | |
Containers (continued) | |||
Canpack S.A./Canpack US, LLC, 3.125%, 11/1/25(1) | 400 | $ 367,148 | |
Crown Americas, LLC/Crown Americas Capital Corp. VI, 4.75%, 2/1/26 | 500 | 481,398 | |
Graphic Packaging International, LLC, 4.125%, 8/15/24 | 575 | 561,273 | |
Owens-Brockway Glass Container, Inc., 6.375%, 8/15/25(1) | 500 | 488,400 | |
Trivium Packaging Finance B.V., 5.50%, 8/15/26(1) | 350 | 317,826 | |
$ 4,612,353 | |||
Diversified Financial Services — 1.1% | |||
Ally Financial, Inc., 5.75%, 11/20/25 | 400 | $ 382,204 | |
PRA Group, Inc., 7.375%, 9/1/25(1) | 136 | 127,299 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc., 2.875%, 10/15/26(1) | 415 | 361,760 | |
$ 871,263 | |||
Diversified Media — 1.4% | |||
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(1) | 200 | $ 165,866 | |
6.125%, 12/1/28(1) | 200 | 161,743 | |
Clear Channel International B.V., 6.625%, 8/1/25(1) | 275 | 269,154 | |
TripAdvisor, Inc., 7.00%, 7/15/25(1) | 500 | 495,486 | |
$ 1,092,249 | |||
Energy — 9.2% | |||
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(1) | 630 | $ 626,327 | |
Antero Midstream Partners, L.P./Antero Midstream Finance Corp., 7.875%, 5/15/26(1) | 350 | 352,822 | |
Callon Petroleum Co., 6.375%, 7/1/26 | 226 | 220,926 | |
CITGO Petroleum Corp., 6.375%, 6/15/26(1) | 537 | 528,103 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.625%, 10/15/25(1) | 845 | 831,989 | |
CVR Energy, Inc., 5.25%, 2/15/25(1) | 300 | 294,553 | |
EQM Midstream Partners, L.P.: | |||
4.00%, 8/1/24 | 262 | 255,018 | |
7.50%, 6/1/27(1) | 500 | 495,702 | |
Matador Resources Co., 5.875%, 9/15/26 | 400 | 385,805 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 720 | 713,465 | |
New Fortress Energy, Inc.: | |||
6.50%, 9/30/26(1) | 400 | 358,651 | |
6.75%, 9/15/25(1) | 400 | 371,468 | |
Permian Resources Operating, LLC: | |||
5.375%, 1/15/26(1) | 303 | 291,190 | |
7.75%, 2/15/26(1) | 360 | 360,066 |
Security | Principal Amount* (000's omitted) | Value | |
Energy (continued) | |||
Precision Drilling Corp., 7.125%, 1/15/26(1) | 200 | $ 197,254 | |
Southwestern Energy Co., 5.70%, 1/23/25 | 200 | 197,778 | |
Transocean, Inc., 7.25%, 11/1/25(1) | 225 | 219,743 | |
Venture Global LNG, Inc.: | |||
8.125%, 6/1/28(1) | 300 | 291,476 | |
9.50%, 2/1/29(1) | 165 | 167,733 | |
$ 7,160,069 | |||
Entertainment & Film — 0.7% | |||
Cinemark USA, Inc., 8.75%, 5/1/25(1) | 180 | $ 182,074 | |
Live Nation Entertainment, Inc., 4.875%, 11/1/24(1) | 325 | 318,379 | |
$ 500,453 | |||
Environmental — 1.5% | |||
GFL Environmental, Inc., 3.75%, 8/1/25(1) | 1,190 | $ 1,126,838 | |
$ 1,126,838 | |||
Food & Drug Retail — 0.6% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC: | |||
3.25%, 3/15/26(1) | 150 | $ 138,705 | |
7.50%, 3/15/26(1) | 350 | 355,901 | |
$ 494,606 | |||
Food, Beverage & Tobacco — 3.4% | |||
Chobani, LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25(1) | 857 | $ 842,635 | |
Darling Ingredients, Inc., 5.25%, 4/15/27(1) | 600 | 571,479 | |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(1) | 298 | 280,713 | |
Performance Food Group, Inc., 6.875%, 5/1/25(1) | 752 | 748,966 | |
U.S. Foods, Inc., 6.875%, 9/15/28(1) | 230 | 225,081 | |
$ 2,668,874 | |||
Gaming — 4.8% | |||
Caesars Entertainment, Inc.: | |||
6.25%, 7/1/25(1) | 751 | $ 739,496 | |
8.125%, 7/1/27(1) | 380 | 376,838 | |
International Game Technology PLC, 6.50%, 2/15/25(1) | 447 | 444,413 | |
Light & Wonder International, Inc., 7.00%, 5/15/28(1) | 300 | 292,722 | |
MGM Resorts International, 5.75%, 6/15/25 | 700 | 685,127 |
Security | Principal Amount* (000's omitted) | Value | |
Gaming (continued) | |||
Raptor Acquisition Corp./Raptor Co.-Issuer, LLC, 4.875%, 11/1/26(1) | 650 | $ 605,485 | |
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(1) | 580 | 569,948 | |
$ 3,714,029 | |||
Healthcare — 5.5% | |||
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(1)(3) | 260 | $ 174,850 | |
IQVIA, Inc., 5.00%, 10/15/26(1) | 500 | 477,196 | |
ModivCare, Inc., 5.875%, 11/15/25(1) | 392 | 370,855 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(1) | 299 | 201,124 | |
Perrigo Finance Unlimitd Co., 3.90%, 12/15/24 | 527 | 511,685 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(1) | 856 | 801,225 | |
Team Health Holdings, Inc., 6.375%, 2/1/25(1) | 250 | 198,367 | |
Tenet Healthcare Corp., 4.875%, 1/1/26 | 758 | 727,168 | |
Teva Pharmaceutical Finance Netherlands III B.V., 7.125%, 1/31/25 | 460 | 456,389 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(1) | 416 | 354,326 | |
$ 4,273,185 | |||
Homebuilders & Real Estate — 3.8% | |||
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(1) | 271 | $ 256,510 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 342 | 301,416 | |
6.00%, 4/15/25(1) | 300 | 291,831 | |
Meritage Homes Corp., 6.00%, 6/1/25 | 187 | 183,539 | |
Outfront Media Capital, LLC/Outfront Media Capital Corp., 6.25%, 6/15/25(1) | 403 | 397,845 | |
Starwood Property Trust, Inc., 3.75%, 12/31/24(1) | 964 | 911,920 | |
VICI Properties, L.P./VICI Note Co., Inc., 3.50%, 2/15/25(1) | 619 | 590,942 | |
$ 2,934,003 | |||
Insurance — 1.6% | |||
AssuredPartners, Inc., 7.00%, 8/15/25(1) | 342 | $ 335,817 | |
HUB International, Ltd., 7.00%, 5/1/26(1) | 387 | 377,068 | |
USI, Inc., 6.875%, 5/1/25(1) | 530 | 525,705 | |
$ 1,238,590 | |||
Leisure — 4.7% | |||
Life Time, Inc., 8.00%, 4/15/26(1) | 445 | $ 434,244 | |
NCL Corp., Ltd.: | |||
3.625%, 12/15/24(1) | 1,152 | 1,090,623 |
Security | Principal Amount* (000's omitted) | Value | |
Leisure (continued) | |||
NCL Corp., Ltd.: (continued) | |||
5.875%, 3/15/26(1) | 245 | $ 220,106 | |
Royal Caribbean Cruises, Ltd.: | |||
5.50%, 8/31/26(1) | 250 | 236,190 | |
11.625%, 8/15/27(1) | 225 | 244,247 | |
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(1) | 300 | 268,060 | |
Vail Resorts, Inc., 6.25%, 5/15/25(1) | 450 | 447,613 | |
Viking Cruises, Ltd., 6.25%, 5/15/25(1) | 727 | 711,084 | |
$ 3,652,167 | |||
Metals & Mining — 1.6% | |||
Constellium SE, 5.875%, 2/15/26(1) | 250 | $ 239,877 | |
First Quantum Minerals, Ltd., 6.875%, 3/1/26(1) | 500 | 440,000 | |
Hudbay Minerals, Inc., 4.50%, 4/1/26(1) | 400 | 372,700 | |
New Gold, Inc., 7.50%, 7/15/27(1) | 210 | 197,254 | |
$ 1,249,831 | |||
Paper — 0.7% | |||
Clearwater Paper Corp., 5.375%, 2/1/25(1) | 187 | $ 188,800 | |
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 520 | 365,869 | |
$ 554,669 | |||
Publishing & Printing — 0.5% | |||
LABL, Inc., 10.50%, 7/15/27(1) | 250 | $ 216,693 | |
McGraw-Hill Education, Inc., 5.75%, 8/1/28(1) | 191 | 161,185 | |
$ 377,878 | |||
Railroad — 0.5% | |||
Watco Cos., LLC/Watco Finance Corp., 6.50%, 6/15/27(1) | 400 | $ 373,118 | |
$ 373,118 | |||
Restaurant — 2.1% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc., 5.75%, 4/15/25(1) | 356 | $ 353,426 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 518 | 514,638 | |
IRB Holding Corp., 7.00%, 6/15/25(1) | 753 | 748,064 | |
$ 1,616,128 | |||
Services — 4.2% | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp.: | |||
6.625%, 7/15/26(1) | 442 | $ 414,298 | |
9.75%, 7/15/27(1) | 200 | 173,953 |
Security | Principal Amount* (000's omitted) | Value | |
Services (continued) | |||
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC, 7.125%, 7/31/26(1) | 827 | $ 796,914 | |
Hertz Corp. (The), 4.625%, 12/1/26(1) | 279 | 233,964 | |
Korn Ferry, 4.625%, 12/15/27(1) | 380 | 346,033 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 400 | 370,364 | |
WESCO Distribution, Inc., 7.125%, 6/15/25(1) | 899 | 899,354 | |
$ 3,234,880 | |||
Steel — 1.1% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 515 | $ 513,393 | |
Cleveland-Cliffs, Inc., 6.75%, 3/15/26(1) | 376 | 374,260 | |
$ 887,653 | |||
Super Retail — 1.5% | |||
Bath & Body Works, Inc., 9.375%, 7/1/25(1) | 309 | $ 318,540 | |
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28(1) | 256 | 258,553 | |
Hanesbrands, Inc., 4.875%, 5/15/26(1) | 158 | 145,343 | |
Kohl's Corp., 4.25%, 7/17/25 | 270 | 252,430 | |
William Carter Co. (The), 5.625%, 3/15/27(1) | 185 | 175,478 | |
$ 1,150,344 | |||
Technology — 4.3% | |||
CDK Global II, LLC, 6.50%, 10/15/24 | 500 | $ 451,860 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 299 | 296,914 | |
Clarios Global, L.P./Clarios US Finance Co., 8.50%, 5/15/27(1) | 750 | 739,837 | |
Gen Digital, Inc.: | |||
5.00%, 4/15/25(1) | 322 | 312,079 | |
6.75%, 9/30/27(1) | 500 | 487,266 | |
Seagate HDD Cayman, 4.75%, 1/1/25 | 410 | 401,490 | |
Sensata Technologies B.V., 5.00%, 10/1/25(1) | 650 | 632,686 | |
$ 3,322,132 | |||
Telecommunications — 2.0% | |||
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(1) | 285 | $ 265,987 | |
Iliad Holding SASU, 6.50%, 10/15/26(1) | 460 | 430,262 | |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(1) | 600 | 543,612 | |
Viasat, Inc., 5.625%, 9/15/25(1) | 300 | 278,962 | |
$ 1,518,823 | |||
Transport Excluding Air & Rail — 0.7% | |||
Fenix Marine Service Holdings, Ltd., 8.00%, 1/15/24 | 562 | $ 565,378 | |
$ 565,378 |
Security | Principal Amount* (000's omitted) | Value | |
Utility — 2.2% | |||
Calpine Corp., 5.25%, 6/1/26(1) | 350 | $ 335,297 | |
Ferrellgas, L.P./Ferrellgas Finance Corp., 5.375%, 4/1/26(1) | 400 | 374,776 | |
NextEra Energy Operating Partners, L.P., 4.25%, 7/15/24(1) | 741 | 727,415 | |
NRG Energy, Inc., 6.625%, 1/15/27 | 300 | 291,445 | |
$ 1,728,933 | |||
Total Corporate Bonds (identified cost $63,870,731) | $62,258,299 |
Senior Floating-Rate Loans — 11.8%(4) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Aerospace — 1.4% | |||
TransDigm, Inc., Term Loan, 8.64%, (SOFR + 3.25%), 8/24/28 | $ | 1,097 | $ 1,097,032 |
$ 1,097,032 | |||
Air Transportation — 1.1% | |||
Mileage Plus Holdings, LLC, Term Loan, 10.798%, (SOFR + 5.25%), 6/21/27 | $ | 795 | $ 820,582 |
$ 820,582 | |||
Capital Goods — 0.4% | |||
EMRLD Borrower, L.P., Term Loan, 8.38%, (SOFR + 3.00%), 5/31/30 | $ | 311 | $ 310,751 |
$ 310,751 | |||
Chemicals — 0.5% | |||
Olympus Water US Holding Corporation, Term Loan, 9.402%, (SOFR + 3.75%), 11/9/28 | $ | 388 | $ 379,101 |
$ 379,101 | |||
Gaming — 0.8% | |||
Spectacle Gary Holdings, LLC, Term Loan, 9.674%, (SOFR + 4.25%), 12/10/28 | $ | 604 | $ 590,560 |
$ 590,560 | |||
Healthcare — 1.8% | |||
Jazz Financing Lux S.a.r.l., Term Loan, 8.939%, (SOFR + 3.50%), 5/5/28 | $ | 718 | $ 718,699 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Healthcare (continued) | |||
Pluto Acquisition I, Inc., Term Loan, 9.684%, (SOFR + 4.00%), 6/22/26 | $ | 288 | $ 244,438 |
Verscend Holding Corp., Term Loan, 9.439%, (SOFR + 4.00%), 8/27/25 | 433 | 433,090 | |
$ 1,396,227 | |||
Restaurant — 1.3% | |||
Dave & Buster's, Inc., Term Loan, 9.188%, (SOFR + 3.75%), 6/29/29 | $ | 768 | $ 768,288 |
IRB Holding Corp., Term Loan, 12/15/27(5) | 244 | 242,011 | |
$ 1,010,299 | |||
Services — 1.1% | |||
AlixPartners, LLP, Term Loan, 8.189%, (SOFR + 2.75%), 2/4/28 | $ | 873 | $ 873,158 |
$ 873,158 | |||
Super Retail — 1.8% | |||
Mavis Tire Express Services Corp., Term Loan, 9.439%, (SOFR + 4.00%), 5/4/28 | $ | 168 | $ 165,372 |
Michaels Companies, Inc., Term Loan, 9.902%, (SOFR + 4.25%), 4/15/28 | 243 | 203,456 | |
PetSmart, Inc., Term Loan, 9.174%, (SOFR + 3.75%), 2/11/28 | 1,065 | 1,054,113 | |
$ 1,422,941 | |||
Technology — 1.6% | |||
Clarios Global, L.P., Term Loan, 9.074%, (SOFR + 3.75%), 5/6/30 | $ | 65 | $ 64,980 |
GoTo Group, Inc., Term Loan, 10.283%, (SOFR + 4.75%), 8/31/27 | 2 | 1,110 | |
Presidio Holdings, Inc., Term Loan, 8.981%, (SOFR + 3.50%), 1/22/27(6) | 832 | 831,695 | |
Riverbed Technology, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 7/1/28 | 21 | 13,917 | |
Travelport Finance (Luxembourg) S.a.r.l., Term Loan, 12.652%, (SOFR + 7.00%), 2/28/25 | 384 | 365,789 | |
$ 1,277,491 | |||
Total Senior Floating-Rate Loans (identified cost $9,230,800) | $ 9,178,142 |
Short-Term Investments — 6.3% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(7) | 4,875,056 | $ 4,875,056 | |
Total Short-Term Investments (identified cost $4,875,056) | $ 4,875,056 | ||
Total Investments — 100.1% (identified cost $79,385,887) | $77,640,956 | ||
Other Assets, Less Liabilities — (0.1)% | $ (40,644) | ||
Net Assets — 100.0% | $77,600,312 |
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 October 31, 2023, the aggregate value of these securities is $50,683,284 or 65.3% of the Fund's net assets. |
(2) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At October 31, 2023, the aggregate value of these securities is $1,101,016 or 1.4% of the Fund's net assets. |
(3) | Issuer is in default with respect to interest and/or principal payments. |
(4) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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. |
(5) | This Senior Loan will settle after October 31, 2023, at which time the interest rate will be determined. |
(6) | The stated interest rate represents the weighted average interest rate at October 31, 2023 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(7) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 519,994 | EUR | 489,056 | State Street Bank and Trust Company | 1/31/24 | $ 310 | $ — |
USD | 587,343 | EUR | 552,908 | State Street Bank and Trust Company | 1/31/24 | — | (192) |
$ 310 | $(192) |
Abbreviations: | |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
Currency Abbreviations: | |
EUR | – Euro |
USD | – United States Dollar |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $74,510,831) | $ 72,765,900 |
Affiliated investments, at value (identified cost $4,875,056) | 4,875,056 |
Foreign currency, at value (identified cost $1,019) | 1,020 |
Interest receivable | 1,112,090 |
Dividends receivable from affiliated investments | 17,858 |
Receivable for investments sold | 1,258,107 |
Receivable for Fund shares sold | 456,727 |
Receivable for open forward foreign currency exchange contracts | 310 |
Receivable from affiliates | 3,565 |
Trustees' deferred compensation plan | 5,621 |
Total assets | $80,496,254 |
Liabilities | |
Payable for investments purchased | $ 2,483,245 |
Payable for Fund shares redeemed | 200,192 |
Payable for open forward foreign currency exchange contracts | 192 |
Distributions payable | 5,719 |
Due to custodian | 50,935 |
Payable to affiliates: | |
Investment adviser and administration fee | 34,945 |
Distribution and service fees | 2,456 |
Trustees' fees | 434 |
Trustees' deferred compensation plan | 5,621 |
Accrued expenses | 112,203 |
Total liabilities | $ 2,895,942 |
Net Assets | $77,600,312 |
Sources of Net Assets | |
Paid-in capital | $ 83,890,615 |
Accumulated loss | (6,290,303) |
Net Assets | $77,600,312 |
Class A Shares | |
Net Assets | $ 11,663,930 |
Shares Outstanding | 1,337,900 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.72 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 9.01 |
Class I Shares | |
Net Assets | $ 65,936,382 |
Shares Outstanding | 7,553,810 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.73 |
On sales of $100,000 or more, the offering price of Class A shares is reduced. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income | $ 9,177 |
Dividend income from affiliated investments | 147,611 |
Interest and other income | 4,726,351 |
Total investment income | $ 4,883,139 |
Expenses | |
Investment adviser and administration fee | $ 401,293 |
Distribution and service fees: | |
Class A | 19,856 |
Trustees’ fees and expenses | 5,036 |
Custodian fee | 36,984 |
Transfer and dividend disbursing agent fees | 69,513 |
Legal and accounting services | 75,018 |
Printing and postage | 11,219 |
Registration fees | 40,148 |
Miscellaneous | 13,055 |
Total expenses | $ 672,122 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 180,938 |
Total expense reductions | $ 180,938 |
Net expenses | $ 491,184 |
Net investment income | $ 4,391,955 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (1,387,608) |
Foreign currency transactions | (3,234) |
Forward foreign currency exchange contracts | (10,453) |
Net realized loss | $(1,401,295) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 1,244,999 |
Foreign currency | 150 |
Forward foreign currency exchange contracts | (7,345) |
Net change in unrealized appreciation (depreciation) | $ 1,237,804 |
Net realized and unrealized loss | $ (163,491) |
Net increase in net assets from operations | $ 4,228,464 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 4,391,955 | $ 2,686,084 |
Net realized loss | (1,401,295) | (917,213) |
Net change in unrealized appreciation (depreciation) | 1,237,804 | (3,752,930) |
Net increase (decrease) in net assets from operations | $ 4,228,464 | $ (1,984,059) |
Distributions to shareholders: | ||
Class A | $ (492,054) | $ (278,639) |
Class I | (4,152,190) | (2,549,762) |
Total distributions to shareholders | $ (4,644,244) | $ (2,828,401) |
Transactions in shares of beneficial interest: | ||
Class A | $ 5,040,226 | $ 164,876 |
Class I | (3,032,600) | 11,717,543 |
Net increase in net assets from Fund share transactions | $ 2,007,626 | $11,882,419 |
Net increase in net assets | $ 1,591,846 | $ 7,069,959 |
Net Assets | ||
At beginning of year | $ 76,008,466 | $ 68,938,507 |
At end of year | $77,600,312 | $76,008,466 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.750 | $ 9.500 | $ 9.120 | $ 9.540 | $ 9.470 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.515 | $ 0.355 | $ 0.356 | $ 0.394 | $ 0.432 |
Net realized and unrealized gain (loss) | (0.003) | (0.730) | 0.401 | (0.387) | 0.070 |
Total income (loss) from operations | $ 0.512 | $(0.375) | $ 0.757 | $ 0.007 | $ 0.502 |
Less Distributions | |||||
From net investment income | $ (0.542) | $ (0.375) | $ (0.377) | $ (0.414) | $ (0.432) |
Tax return of capital | — | — | — | (0.013) | — |
Total distributions | $ (0.542) | $(0.375) | $(0.377) | $(0.427) | $(0.432) |
Net asset value — End of year | $ 8.720 | $ 8.750 | $ 9.500 | $ 9.120 | $ 9.540 |
Total Return(2)(3) | 5.96% | (4.00)% | 8.39% | 0.15% | 5.41% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $11,664 | $ 6,683 | $ 7,059 | $ 6,537 | $ 6,914 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses (3) | 0.90% (5) | 0.90% (5) | 0.90% | 0.90% | 0.90% |
Net investment income | 5.84% | 3.89% | 3.76% | 4.29% | 4.54% |
Portfolio Turnover of the Portfolio(6) | — | — | — | 50% | 63% |
Portfolio Turnover of the Fund | 70% | 96% | 75% | 34% (7) | — |
(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 0.24%, 0.23%, 0.30%, 0.31% and 0.39% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(4) | Includes the Fund’s share of the Portfolio’s allocated expenses for the period while the Fund was investing in the Portfolio. |
(5) | 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 years ended October 31, 2023 and 2022, respectively). |
(6) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(7) | 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 | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 8.760 | $ 9.510 | $ 9.130 | $ 9.560 | $ 9.490 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.533 | $ 0.381 | $ 0.375 | $ 0.417 | $ 0.457 |
Net realized and unrealized gain (loss) | 0.002 (2) | (0.733) | 0.407 | (0.396) | 0.069 |
Total income (loss) from operations | $ 0.535 | $ (0.352) | $ 0.782 | $ 0.021 | $ 0.526 |
Less Distributions | |||||
From net investment income | $ (0.565) | $ (0.398) | $ (0.402) | $ (0.437) | $ (0.456) |
Tax return of capital | — | — | — | (0.014) | — |
Total distributions | $ (0.565) | $ (0.398) | $ (0.402) | $ (0.451) | $ (0.456) |
Net asset value — End of year | $ 8.730 | $ 8.760 | $ 9.510 | $ 9.130 | $ 9.560 |
Total Return(3)(4) | 6.23% | (3.75)% | 8.65% | 0.30% | 5.67% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $65,936 | $69,325 | $61,879 | $41,585 | $49,780 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Expenses (4) | 0.65% (6) | 0.65% (6) | 0.65% | 0.65% | 0.65% |
Net investment income | 6.04% | 4.18% | 3.95% | 4.53% | 4.79% |
Portfolio Turnover of the Portfolio(7) | — | — | — | 50% | 63% |
Portfolio Turnover of the Fund | 70% | 96% | 75% | 34% (8) | — |
(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) | The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.24%, 0.23%, 0.30%, 0.31% and 0.39% of average daily net assets for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, 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) | 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 years ended October 31, 2023 and 2022, respectively). |
(7) | Portfolio turnover represents the rate of portfolio activity for the period while the Fund was investing in the Portfolio. |
(8) | 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. |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $4,644,244 | $2,828,401 |
Deferred capital losses | $ (4,306,245) |
Net unrealized depreciation | (1,978,339) |
Distributions payable | (5,719) |
Accumulated loss | $(6,290,303) |
Aggregate cost | $ 79,619,184 |
Gross unrealized appreciation | $ 157,601 |
Gross unrealized depreciation | (2,135,829) |
Net unrealized depreciation | $ (1,978,228) |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 831,920 | $ 7,311,993 | 156,200 | $ 1,414,154 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 54,543 | 480,324 | 29,979 | 270,963 | |
Redemptions | (312,285) | (2,752,091) | (165,322) | (1,520,241) | |
Net increase | 574,178 | $ 5,040,226 | 20,857 | $ 164,876 | |
Class I | |||||
Sales | 5,714,700 | $ 50,433,326 | 6,766,427 | $ 60,662,464 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 464,178 | 4,094,270 | 278,621 | 2,518,053 | |
Redemptions | (6,538,541) | (57,560,196) | (5,636,745) | (51,462,974) | |
Net increase (decrease) | (359,663) | $ (3,032,600) | 1,408,303 | $ 11,717,543 |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Forward foreign currency exchange contracts | $310 (1) | $(192) (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 | $310 | $(192) | $ — | $ — | $118 |
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) |
State Street Bank and Trust Company | $(192) | $192 | $ — | $ — | $ — |
(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 | $(10,453) | $(7,345) |
(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 | $55,634,287 | $(55,280,758) | $ — | $ — | $4,875,056 | $147,611 | 4,875,056 |
• | 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 |
Convertible Bonds | $ — | $ 1,329,459 | $ — | $ 1,329,459 |
Corporate Bonds | — | 62,258,299 | — | 62,258,299 |
Senior Floating-Rate Loans | — | 9,178,142 | — | 9,178,142 |
Short-Term Investments | 4,875,056 | — | — | 4,875,056 |
Total Investments | $ 4,875,056 | $ 72,765,900 | $ — | $ 77,640,956 |
Forward Foreign Currency Exchange Contracts | $ — | $ 310 | $ — | $ 310 |
Total | $ 4,875,056 | $ 72,766,210 | $ — | $ 77,641,266 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (192) | $ — | $ (192) |
Total | $ — | $ (192) | $ — | $ (192) |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
127 funds in the Eaton Vance fund complex (including both funds and portfolios in a hub and spoke structure).
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUP, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (ecommerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management `Classic' (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception |
Class A at NAV | 11/03/2014 | 11/01/2013 | 15.84% | 6.10% | 3.06% |
Class A with 5.25% Maximum Sales Charge | — | — | 9.78 | 4.96 | 2.45 |
Class I at NAV | 11/03/2014 | 11/01/2013 | 16.11 | 6.37 | 3.29 |
MSCI Emerging Markets Equal Country Weighted Index | — | — | 11.20% | 2.37% | 0.25% |
MSCI Frontier Markets Index | — | — | 4.82 | 1.15 | 1.39 |
Blended Index | — | — | 8.04 | 1.96 | 0.99 |
% Total Annual Operating Expense Ratios3 | Class A | Class I |
Gross | 1.67% | 1.42% |
Net | 1.42 | 1.17 |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class I, at minimum investment | $1,000,000 | 11/01/2013 | $1,382,729 | N.A. |
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. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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 | |
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. MSCI Golden Dragon Index is an unmanaged index of common stocks traded in China, Hong Kong and Taiwan. MSCI ACWI Index is an unmanaged free-float-adjusted, market-capitalization-weighted index designed to measure the equity market performance of developed and emerging markets. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI Emerging Markets Index is an unmanaged index of emerging markets common stocks. |
Beginning Account Value (5/1/23) | Ending Account Value (10/31/23) | Expenses Paid During Period* (5/1/23 – 10/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,004.40 | $7.07** | 1.40% |
Class I | $1,000.00 | $1,006.10 | $5.81** | 1.15% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,018.15 | $7.12** | 1.40% |
Class I | $1,000.00 | $1,019.41 | $5.85** | 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 184/365 (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 April 30, 2023. The Example reflects the expenses of both the Fund and the Portfolio. |
** | Absent an allocation of certain expenses to affiliate(s), expenses would be higher. |
October 31, 2023 | |
Assets | |
Investment in Global Macro Capital Opportunities Portfolio, at value (identified cost $347,706,695) | $ 376,408,663 |
Receivable for Fund shares sold | 3,795,795 |
Receivable from affiliates | 146,478 |
Total assets | $380,350,936 |
Liabilities | |
Payable for Fund shares redeemed | $ 406,005 |
Payable to affiliates: | |
Distribution and service fees | 1,349 |
Trustees' fees | 43 |
Accrued expenses | 104,364 |
Total liabilities | $ 511,761 |
Net Assets | $379,839,175 |
Sources of Net Assets | |
Paid-in capital | $ 364,021,804 |
Distributable earnings | 15,817,371 |
Net Assets | $379,839,175 |
Class A Shares | |
Net Assets | $ 6,275,816 |
Shares Outstanding | 544,254 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 11.53 |
Maximum Offering Price Per Share (100 ÷ 94.75 of net asset value per share) | $ 12.17 |
Class I Shares | |
Net Assets | $ 373,563,359 |
Shares Outstanding | 32,143,452 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 11.62 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income allocated from Portfolio (net of foreign taxes withheld of $589,827) | $ 7,744,394 |
Interest income allocated from Portfolio (net of foreign taxes withheld of $35) | 1,080,988 |
Expenses allocated from Portfolio | (2,929,363) |
Total investment income from Portfolio | $ 5,896,019 |
Expenses | |
Distribution and service fees: | |
Class A | $ 10,648 |
Trustees’ fees and expenses | 501 |
Custodian fee | 26,699 |
Transfer and dividend disbursing agent fees | 185,421 |
Legal and accounting services | 28,915 |
Printing and postage | 22,420 |
Registration fees | 102,739 |
Miscellaneous | 9,700 |
Total expenses | $ 387,043 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 376,395 |
Total expense reductions | $ 376,395 |
Net expenses | $ 10,648 |
Net investment income | $ 5,885,371 |
Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $346,973) | $ (6,873,680) |
Written options | (2,041) |
Futures contracts | (3,748,902) |
Swap contracts | 468,679 |
Foreign currency transactions | 388,647 |
Forward foreign currency exchange contracts | 1,886,899 |
Net realized loss | $ (7,880,398) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $40,000) | $ 26,784,480 |
Futures contracts | (728,445) |
Swap contracts | (2,227,316) |
Foreign currency | 33,568 |
Forward foreign currency exchange contracts | (1,343,720) |
Net change in unrealized appreciation (depreciation) | $22,518,567 |
Net realized and unrealized gain | $14,638,169 |
Net increase in net assets from operations | $20,523,540 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 5,885,371 | $ 3,945,419 |
Net realized loss | (7,880,398) | (1,544,189) |
Net change in unrealized appreciation (depreciation) | 22,518,567 | (36,582,070) |
Net increase (decrease) in net assets from operations | $ 20,523,540 | $ (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 | $ 3,802,805 | $ 1,245,692 |
Class I | 182,063,035 | 31,510,639 |
Net increase in net assets from Fund share transactions | $185,865,840 | $ 32,756,331 |
Net increase (decrease) in net assets | $196,075,859 | $ (6,682,965) |
Net Assets | ||
At beginning of year | $ 183,763,316 | $ 190,446,281 |
At end of year | $379,839,175 | $183,763,316 |
Class A | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 10.510 | $ 12.990 | $ 9.610 | $10.100 | $ 9.700 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.262 | $ 0.221 | $ 0.073 | $ 0.040 | $ 0.091 |
Net realized and unrealized gain (loss) | 1.344 | (2.387) | 3.307 | (0.349) | 0.571 |
Total income (loss) from operations | $ 1.606 | $ (2.166) | $ 3.380 | $ (0.309) | $ 0.662 |
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 year | $11.530 | $10.510 | $12.990 | $ 9.610 | $10.100 |
Total Return(2) | 15.84% (3) | (17.13)% (3) | 35.17% | (3.20)% (3) | 7.05% (3) |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $ 6,276 | $ 2,340 | $ 1,387 | $ 1,572 | $ 2,328 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses | 1.40% (3)(5) | 1.56% (3)(5) | 1.64% | 1.65% (3) | 1.66% (3)(6) |
Net investment income | 2.22% | 1.90% | 0.60% | 0.43% | 0.91% |
Portfolio Turnover of the Portfolio | 69% | 67% | 70% | 44% | 43% |
(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 reimbursed certain operating expenses (equal to 0.15%, 0.09%, 0.08% and 0.07% of average daily net assets for the years ended October 31, 2023, 2022, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(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 years ended October 31, 2023 and 2022). |
(6) | Includes interest expense of 0.01% of average daily net assets for the year ended October 31, 2019. |
Class I | |||||
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year | $ 10.580 | $ 13.080 | $ 9.660 | $ 10.150 | $ 9.740 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.272 | $ 0.252 | $ 0.111 | $ 0.067 | $ 0.117 |
Net realized and unrealized gain (loss) | 1.371 | (2.398) | 3.321 | (0.348) | 0.572 |
Total income (loss) from operations | $ 1.643 | $ (2.146) | $ 3.432 | $ (0.281) | $ 0.689 |
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 year | $ 11.620 | $ 10.580 | $ 13.080 | $ 9.660 | $ 10.150 |
Total Return(2) | 16.11% (3) | (16.91)% (3) | 35.54% | (2.93)% (3) | 7.31% (3) |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $373,563 | $181,423 | $189,060 | $143,908 | $176,468 |
Ratios (as a percentage of average daily net assets):(4) | |||||
Expenses | 1.15% (3)(5) | 1.31% (3)(5) | 1.39% | 1.40% (3) | 1.41% (3)(6) |
Net investment income | 2.30% | 2.12% | 0.89% | 0.71% | 1.17% |
Portfolio Turnover of the Portfolio | 69% | 67% | 70% | 44% | 43% |
(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 reimbursed certain operating expenses (equal to 0.15%, 0.09%, 0.08% and 0.07% of average daily net assets for the years ended October 31, 2023, 2022, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(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 years ended October 31, 2023 and 2022). |
(6) | Includes interest expense of 0.01% of average daily net assets for the year ended October 31, 2019. |
Year Ended October 31, | ||
2023 | 2022 | |
Ordinary income | $10,313,521 | $2,016,467 |
Long-term capital gains | $ — | $3,241,989 |
Undistributed ordinary income | $ 9,048,176 |
Deferred capital losses | (15,528,009) |
Net unrealized appreciation | 22,297,204 |
Distributable earnings | $ 15,817,371 |
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% |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 392,007 | $ 4,637,046 | 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 | (77,602) | (909,565) | (30,591) | (378,585) | |
Net increase | 321,592 | $ 3,802,805 | 115,928 | $ 1,245,692 |
Year Ended October 31, 2023 | Year Ended October 31, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Sales | 18,978,983 | $ 229,309,289 | 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 | (4,947,577) | (57,407,638) | (2,618,985) | (31,310,730) | |
Net increase | 14,995,484 | $182,063,035 | 2,690,622 | $ 31,510,639 |
Boston, Massachusetts
December 19, 2023
Common Stocks — 84.8% |
Security | Shares | Value | |
Belgium — 0.1% | |||
Cenergy Holdings S.A. | 60,106 | $ 404,299 | |
$ 404,299 | |||
Bulgaria — 0.2% | |||
Eurohold Bulgaria AD(1) | 978,120 | $ 899,482 | |
$ 899,482 | |||
China — 0.0%(2) | |||
Ganfeng Lithium Group Co., Ltd., Class H(3) | 2,800 | $ 10,057 | |
$ 10,057 | |||
Cyprus — 3.0% | |||
Bank of Cyprus Holdings PLC(4) | 45,800 | $ 141,568 | |
Bank of Cyprus Holdings PLC(4) | 2,841,093 | 8,759,831 | |
Optima bank S.A.(1) | 339,741 | 2,552,308 | |
$ 11,453,707 | |||
Georgia — 7.2% | |||
Bank of Georgia Group PLC | 206,490 | $ 8,360,204 | |
Georgia Capital PLC(1) | 1,014,117 | 11,368,973 | |
TBC Bank Group PLC | 227,322 | 7,429,109 | |
$ 27,158,286 | |||
Greece — 19.3% | |||
Aegean Airlines S.A.(1) | 74,253 | $ 812,719 | |
Alpha Services and Holdings S.A.(1) | 4,593,637 | 6,876,365 | |
Athens Water Supply & Sewage Co. S.A. | 87,668 | 520,945 | |
Autohellas Tourist & Trading S.A. | 39,638 | 534,040 | |
Ellaktor S.A.(1) | 179,472 | 353,790 | |
Eurobank Ergasias Services and Holdings S.A.(1) | 5,488,394 | 8,970,910 | |
GEK Terna Holding Real Estate Construction S.A. | 119,525 | 1,670,550 | |
Hellenic Telecommunications Organization S.A. | 396,797 | 5,561,661 | |
Helleniq Energy Holdings S.A. | 121,665 | 893,288 | |
Holding Co. ADMIE IPTO S.A. | 239,157 | 506,844 | |
Ideal Holdings S.A.(1) | 23,943 | 147,479 | |
JUMBO S.A. | 243,322 | 6,401,937 | |
LAMDA Development S.A.(1) | 144,089 | 927,660 | |
Motor Oil (Hellas) Corinth Refineries S.A. | 139,914 | 3,332,414 | |
Mytilineos S.A. | 221,742 | 8,214,299 | |
National Bank of Greece S.A.(1) | 1,136,445 | 6,508,819 | |
OPAP S.A. | 374,475 | 6,342,966 | |
Piraeus Financial Holdings S.A.(1) | 2,058,570 | 6,101,898 |
Security | Shares | Value | |
Greece (continued) | |||
Public Power Corp. S.A.(1) | 422,686 | $ 4,314,378 | |
Sarantis S.A. | 62,205 | 516,797 | |
Terna Energy S.A. | 109,639 | 1,645,224 | |
Titan Cement International S.A. | 78,547 | 1,471,063 | |
$ 72,626,046 | |||
India — 7.8% | |||
Adani Energy Solutions, Ltd.(1) | 12,259 | $ 112,995 | |
Adani Green Energy, Ltd.(1) | 14,178 | 154,523 | |
Affle India, Ltd.(1) | 36,000 | 455,429 | |
Angel One, Ltd. | 23,000 | 714,679 | |
Apollo Hospitals Enterprise, Ltd. | 4,774 | 277,697 | |
Asian Paints, Ltd. | 1,872 | 67,506 | |
Avenue Supermarts, Ltd.(1)(3) | 7,154 | 312,277 | |
Bajaj Finance, Ltd. | 24,417 | 2,198,796 | |
Bajaj Finserv, Ltd. | 16,719 | 315,047 | |
Bharti Airtel, Ltd. | 95,293 | 1,046,165 | |
Brightcom Group, Ltd.(1) | 899,000 | 181,823 | |
Cholamandalam Investment & Finance Co., Ltd. | 14,109 | 193,403 | |
Cipla, Ltd. | 3,388 | 48,965 | |
Divi's Laboratories, Ltd. | 6,252 | 254,934 | |
Dr. Reddy's Laboratories, Ltd. | 739 | 47,667 | |
Easy Trip Planners, Ltd.(1) | 321,000 | 152,895 | |
Eicher Motors, Ltd. | 1,090 | 43,146 | |
FSN E-Commerce Ventures, Ltd.(1) | 442,000 | 740,167 | |
GAIL (India), Ltd. | 88,026 | 126,760 | |
Grasim Industries, Ltd. | 11,746 | 266,507 | |
Happiest Minds Technologies, Ltd. | 50,000 | 492,412 | |
Havells India, Ltd. | 9,907 | 148,662 | |
HCL Technologies, Ltd. | 4,848 | 74,332 | |
HDFC Bank, Ltd. | 10,936 | 193,857 | |
HDFC Life Insurance Co., Ltd.(3) | 6,699 | 49,970 | |
Hindalco Industries, Ltd. | 57,847 | 319,683 | |
Hindustan Unilever, Ltd. | 3,395 | 101,318 | |
ICICI Securities, Ltd.(3) | 60,000 | 462,761 | |
IndiaMart InterMesh, Ltd.(3) | 20,000 | 636,728 | |
Indian Energy Exchange, Ltd.(3) | 362,000 | 547,895 | |
Indian Railway Catering & Tourism Corp., Ltd. | 122,683 | 981,190 | |
Info Edge India, Ltd. | 22,581 | 1,112,437 | |
Infosys, Ltd. | 11,970 | 197,122 | |
Intellect Design Arena, Ltd. | 52,000 | 425,968 | |
ITC, Ltd. | 14,140 | 72,795 | |
Jindal Steel & Power, Ltd. | 13,591 | 103,484 | |
Jio Financial Services, Ltd.(1) | 162,358 | 425,401 | |
JSW Steel, Ltd. | 31,961 | 282,505 | |
Jubilant FoodWorks, Ltd. | 142,996 | 857,758 |
Security | Shares | Value | |
India (continued) | |||
Larsen & Toubro, Ltd. | 25,733 | $ 903,697 | |
LTIMindtree, Ltd.(3) | 3,328 | 202,582 | |
Mahindra & Mahindra, Ltd. | 36,818 | 647,634 | |
Maruti Suzuki India, Ltd. | 596 | 74,410 | |
Mphasis, Ltd. | 3,178 | 81,082 | |
Nazara Technologies, Ltd.(1) | 23,000 | 224,086 | |
Nestle India, Ltd. | 193 | 56,241 | |
NTPC, Ltd. | 22,489 | 63,836 | |
One 97 Communications, Ltd.(1) | 79,000 | 870,310 | |
PB Fintech, Ltd.(1) | 91,000 | 764,962 | |
Petronet LNG, Ltd. | 28,740 | 68,682 | |
PI Industries, Ltd. | 2,863 | 116,646 | |
Power Grid Corp. of India, Ltd. | 23,545 | 57,043 | |
Reliance Industries, Ltd. | 163,358 | 4,494,142 | |
Route Mobile, Ltd. | 19,000 | 354,117 | |
SBI Cards & Payment Services, Ltd. | 9,055 | 81,515 | |
SBI Life Insurance Co., Ltd.(3) | 2,822 | 46,420 | |
SRF, Ltd. | 5,781 | 151,931 | |
Sun Pharmaceutical Industries, Ltd. | 5,217 | 67,982 | |
Tanla Platforms, Ltd. | 47,000 | 539,187 | |
Tata Consultancy Services, Ltd. | 3,464 | 140,362 | |
Tata Consumer Products, Ltd. | 26,081 | 282,059 | |
Tata Elxsi, Ltd. | 1,296 | 119,071 | |
Tata Motors, Ltd. | 11,778 | 89,080 | |
Tata Steel, Ltd. | 327,127 | 467,396 | |
Tech Mahindra, Ltd. | 3,441 | 46,888 | |
Titan Co., Ltd. | 15,533 | 596,281 | |
Trent, Ltd. | 6,864 | 178,107 | |
Tube Investments of India, Ltd. | 4,113 | 155,806 | |
UltraTech Cement, Ltd. | 4,517 | 458,102 | |
UPL, Ltd. | 18,027 | 117,070 | |
Varun Beverages, Ltd. | 17,020 | 187,079 | |
Wipro, Ltd. | 7,963 | 36,661 | |
Zomato, Ltd.(1) | 1,246,000 | 1,570,723 | |
$ 29,508,849 | |||
Indonesia — 3.7% | |||
Adaro Energy Indonesia Tbk PT | 2,449,800 | $ 395,273 | |
Astra International Tbk PT | 3,027,700 | 1,101,415 | |
Bank Central Asia Tbk PT | 5,995,400 | 3,302,989 | |
Bank Jago Tbk PT(1) | 626,600 | 62,214 | |
Bank Mandiri Persero Tbk PT | 4,386,800 | 1,567,193 | |
Bank Negara Indonesia Persero Tbk PT | 2,419,400 | 730,142 | |
Bank Rakyat Indonesia Persero Tbk PT | 7,475,184 | 2,337,370 | |
Barito Pacific Tbk PT | 4,808,843 | 340,772 | |
Charoen Pokphand Indonesia Tbk PT(1) | 1,315,900 | 480,552 |
Security | Shares | Value | |
Indonesia (continued) | |||
Kalbe Farma Tbk PT | 3,818,800 | $ 406,147 | |
Merdeka Copper Gold Tbk PT(1) | 2,079,800 | 291,704 | |
Sumber Alfaria Trijaya Tbk PT | 2,968,200 | 540,203 | |
Telkom Indonesia Persero Tbk PT | 6,925,700 | 1,518,222 | |
Unilever Indonesia Tbk PT | 1,221,400 | 278,490 | |
United Tractors Tbk PT | 284,400 | 450,065 | |
$ 13,802,751 | |||
Nigeria — 0.0%(2) | |||
Airtel Africa PLC(3) | 40,000 | $ 55,101 | |
$ 55,101 | |||
Philippines — 2.1% | |||
Aboitiz Equity Ventures, Inc. | 345,400 | $ 278,852 | |
Ayala Corp. | 62,300 | 666,097 | |
Ayala Land, Inc. | 1,379,700 | 678,883 | |
Bank of the Philippine Islands | 416,200 | 737,907 | |
BDO Unibank, Inc. | 477,200 | 1,074,164 | |
International Container Terminal Services, Inc. | 210,600 | 746,161 | |
JG Summit Holdings, Inc. | 542,300 | 351,757 | |
Jollibee Foods Corp. | 92,300 | 333,646 | |
Manila Electric Co. | 58,200 | 364,325 | |
Metropolitan Bank & Trust Co. | 380,300 | 350,674 | |
PLDT, Inc. | 15,700 | 335,478 | |
SM Investments Corp. | 50,100 | 708,078 | |
SM Prime Holdings, Inc. | 2,083,000 | 1,102,073 | |
Universal Robina Corp. | 175,000 | 337,371 | |
$ 8,065,466 | |||
Poland — 6.3% | |||
Alior Bank S.A.(1) | 27,900 | $ 439,223 | |
Allegro.eu S.A.(1)(3) | 78,300 | 561,668 | |
Asseco Poland S.A. | 31,200 | 571,265 | |
Bank Millennium S.A.(1) | 204,300 | 355,477 | |
Bank Polska Kasa Opieki S.A. | 64,200 | 1,950,857 | |
Budimex S.A. | 7,500 | 839,576 | |
CCC S.A.(1) | 24,200 | 229,040 | |
CD Projekt S.A. | 37,000 | 923,768 | |
Cyfrowy Polsat S.A.(1) | 148,600 | 463,327 | |
Dino Polska S.A.(1)(3) | 8,400 | 795,945 | |
Enea S.A.(1) | 150,300 | 260,521 | |
Eurocash S.A. | 48,400 | 161,013 | |
Grupa Azoty S.A.(1) | 28,800 | 150,689 | |
Grupa Kety S.A. | 5,700 | 961,496 | |
Jastrzebska Spolka Weglowa S.A.(1) | 30,500 | 362,326 | |
KGHM Polska Miedz S.A. | 81,700 | 2,180,187 |
Security | Shares | Value | |
Poland (continued) | |||
KRUK S.A. | 5,500 | $ 608,435 | |
LPP S.A. | 700 | 2,255,022 | |
mBank S.A.(1) | 5,000 | 618,116 | |
Orange Polska S.A. | 374,400 | 694,472 | |
ORLEN S.A. | 105,600 | 1,669,949 | |
PGE S.A.(1) | 512,000 | 889,199 | |
Powszechna Kasa Oszczednosci Bank Polski S.A.(1) | 163,200 | 1,690,550 | |
Powszechny Zaklad Ubezpieczen S.A. | 202,500 | 2,291,465 | |
Santander Bank Polska S.A.(1) | 6,500 | 705,945 | |
Tauron Polska Energia S.A.(1) | 616,500 | 542,191 | |
Text S.A. | 10,700 | 288,280 | |
Warsaw Stock Exchange | 8,800 | 81,726 | |
XTB S.A.(3) | 15,200 | 118,173 | |
$ 23,659,901 | |||
Saudi Arabia — 3.2% | |||
Advanced Petrochemical Co. | 48,600 | $ 483,867 | |
Al Hammadi Holding | 35,300 | 508,377 | |
Almarai Co. JSC | 17,800 | 265,228 | |
Arabian Contracting Services Co. | 15,600 | 838,702 | |
Arabian Internet & Communications Services Co. | 7,100 | 592,619 | |
Ataa Educational Co. | 29,094 | 477,606 | |
Dallah Healthcare Co. | 11,603 | 457,775 | |
Dr Sulaiman Al Habib Medical Services Group Co. | 5,100 | 342,559 | |
Etihad Etisalat Co. | 65,000 | 799,009 | |
Jarir Marketing Co. | 121,000 | 467,001 | |
National Co. for Learning & Education | 17,800 | 467,760 | |
SABIC Agri-Nutrients Co. | 11,200 | 399,874 | |
Saudi Arabian Mining Co.(1) | 57,900 | 554,751 | |
Saudi Arabian Oil Co.(3) | 116,710 | 1,036,893 | |
Saudi Basic Industries Corp. | 40,600 | 834,299 | |
Saudi Electricity Co. | 49,600 | 235,488 | |
Saudi Industrial Investment Group | 93,300 | 596,771 | |
Saudi Telecom Co. | 68,400 | 700,697 | |
Savola Group (The) | 80,200 | 778,378 | |
Theeb Rent A Car Co. | 25,800 | 419,947 | |
United International Transportation Co. | 33,200 | 595,562 | |
$ 11,853,163 | |||
Serbia — 0.3% | |||
Metalac AD(1) | 67,357 | $ 940,419 | |
$ 940,419 | |||
Slovenia — 1.9% | |||
Nova Ljubljanska Banka dd(3) | 72,121 | $ 5,711,221 |
Security | Shares | Value | |
Slovenia (continued) | |||
Nova Ljubljanska Banka dd GDR(5) | 60,052 | $ 919,056 | |
Petrol DD Ljubljana | 18,600 | 456,816 | |
$ 7,087,093 | |||
South Korea — 7.4% | |||
AMOREPACIFIC Corp. | 1,140 | $ 107,007 | |
Celltrion Healthcare Co., Ltd. | 4,463 | 220,765 | |
Celltrion, Inc. | 4,945 | 549,159 | |
CJ CheilJedang Corp. | 339 | 71,019 | |
Cosmo AM&T Co., Ltd.(1) | 900 | 93,701 | |
Coway Co., Ltd. | 2,186 | 69,954 | |
DB Insurance Co., Ltd. | 2,673 | 173,902 | |
Doosan Enerbility Co., Ltd.(1) | 21,359 | 212,821 | |
Ecopro BM Co., Ltd. | 2,248 | 328,876 | |
Hana Financial Group, Inc. | 13,526 | 393,292 | |
Hanwha Aerospace Co., Ltd. | 1,500 | 112,772 | |
Hanwha Galleria Corp.(1) | 4,611 | 3,451 | |
Hanwha Solutions Corp.(1) | 4,088 | 87,075 | |
HD Korea Shipbuilding & Offshore Engineering Co., Ltd.(1) | 2,316 | 155,364 | |
HLB, Inc.(1) | 4,453 | 95,944 | |
HMM Co., Ltd. | 9,451 | 102,366 | |
HYBE Co., Ltd.(1) | 432 | 70,357 | |
Hyundai Engineering & Construction Co., Ltd. | 3,379 | 83,802 | |
Hyundai Glovis Co., Ltd. | 762 | 96,706 | |
Hyundai Mobis Co., Ltd. | 2,890 | 447,559 | |
Hyundai Motor Co. | 5,831 | 734,613 | |
Hyundai Steel Co. | 2,500 | 60,796 | |
Kakao Corp. | 13,862 | 390,712 | |
KB Financial Group, Inc. | 16,629 | 633,868 | |
Kia Corp. | 11,114 | 634,959 | |
Korea Aerospace Industries, Ltd. | 2,870 | 94,436 | |
Korea Electric Power Corp.(1) | 9,138 | 114,380 | |
Korea Investment Holdings Co., Ltd. | 1,239 | 46,318 | |
Korea Zinc Co., Ltd. | 330 | 114,681 | |
Korean Air Lines Co., Ltd. | 6,673 | 101,531 | |
Krafton, Inc.(1) | 869 | 105,785 | |
KT&G Corp. | 5,085 | 320,779 | |
L&F Co., Ltd. | 839 | 81,612 | |
LG Chem, Ltd. | 2,023 | 663,022 | |
LG Corp. | 4,829 | 276,407 | |
LG Display Co., Ltd.(1) | 9,346 | 84,569 | |
LG Electronics, Inc. | 5,323 | 394,876 | |
LG Energy Solution, Ltd.(1) | 1,583 | 453,796 | |
LG H&H Co., Ltd. | 316 | 74,084 | |
LG Innotek Co., Ltd. | 522 | 86,638 | |
Lotte Chemical Corp. | 607 | 65,918 |
Security | Shares | Value | |
South Korea (continued) | |||
Meritz Financial Group, Inc. | 5,370 | $ 199,859 | |
Naver Corp. | 6,088 | 851,121 | |
NCSoft Corp. | 575 | 99,341 | |
Pearl Abyss Corp.(1) | 890 | 32,606 | |
POSCO Chemical Co., Ltd. | 1,555 | 274,027 | |
POSCO Holdings, Inc. | 3,243 | 992,764 | |
Posco International Corp. | 2,974 | 110,931 | |
Samsung Biologics Co., Ltd.(1)(3) | 802 | 421,617 | |
Samsung C&T Corp. | 4,209 | 332,787 | |
Samsung Electro-Mechanics Co., Ltd. | 2,692 | 248,905 | |
Samsung Electronics Co., Ltd. | 195,999 | 9,755,826 | |
Samsung Engineering Co., Ltd.(1) | 8,539 | 150,497 | |
Samsung Fire & Marine Insurance Co., Ltd. | 1,547 | 295,821 | |
Samsung Heavy Industries Co., Ltd.(1) | 31,961 | 162,026 | |
Samsung Life Insurance Co., Ltd. | 4,061 | 217,423 | |
Samsung SDI Co., Ltd. | 2,388 | 756,124 | |
Samsung SDS Co., Ltd. | 2,013 | 206,342 | |
Shinhan Financial Group Co., Ltd. | 19,340 | 497,120 | |
SK Bioscience Co., Ltd.(1) | 942 | 42,397 | |
SK Hynix, Inc. | 26,391 | 2,291,850 | |
SK Innovation Co., Ltd.(1) | 2,937 | 267,574 | |
SK Square Co., Ltd.(1) | 3,831 | 121,052 | |
SK, Inc. | 1,234 | 130,102 | |
S-Oil Corp. | 1,757 | 86,712 | |
Woori Financial Group, Inc. | 30,239 | 267,094 | |
Yuhan Corp. | 2,980 | 127,032 | |
$ 27,948,622 | |||
Spain — 0.1% | |||
AmRest Holdings SE(1) | 46,500 | $ 294,937 | |
$ 294,937 | |||
Sri Lanka — 2.3% | |||
Browns Investments PLC(1) | 19,464,638 | $ 303,320 | |
Commercial Bank of Ceylon PLC(1) | 4,535,356 | 1,136,504 | |
Dialog Axiata PLC(1) | 11,855,734 | 340,402 | |
Expolanka Holdings PLC | 2,214,372 | 862,260 | |
Hatton National Bank PLC(1) | 1,859,171 | 928,991 | |
John Keells Holdings PLC | 5,860,590 | 3,440,265 | |
LOLC Holdings PLC(1) | 488,858 | 579,131 | |
Sampath Bank PLC | 6,019,065 | 1,185,117 | |
$ 8,775,990 | |||
Taiwan — 2.3% | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 533,000 | $ 8,705,226 | |
$ 8,705,226 |
Security | Shares | Value | |
Turkey — 3.8% | |||
Akbank T.A.S. | 1,139,909 | $ 1,187,504 | |
Aselsan Elektronik Sanayi Ve Ticaret AS | 412,502 | 602,407 | |
BIM Birlesik Magazalar AS | 151,352 | 1,455,592 | |
Eregli Demir ve Celik Fabrikalari TAS(1) | 444,378 | 594,897 | |
Ford Otomotiv Sanayi AS | 23,111 | 642,180 | |
Haci Omer Sabanci Holding AS | 358,830 | 678,629 | |
Hektas Ticaret TAS(1) | 374,632 | 290,687 | |
KOC Holding AS | 256,572 | 1,241,059 | |
Koza Altin Isletmeleri AS | 328,999 | 255,454 | |
Pegasus Hava Tasimaciligi AS(1) | 14,498 | 361,236 | |
Sasa Polyester Sanayi AS(1) | 350,238 | 530,454 | |
Tofas Turk Otomobil Fabrikasi AS | 38,195 | 324,743 | |
Turk Hava Yollari AO(1) | 180,099 | 1,382,781 | |
Turkcell Iletisim Hizmetleri AS(1) | 396,563 | 672,499 | |
Turkiye Is Bankasi AS, Class C | 1,238,331 | 920,469 | |
Turkiye Petrol Rafinerileri AS | 317,638 | 1,593,601 | |
Turkiye Sise ve Cam Fabrikalari AS | 439,174 | 735,825 | |
Yapi ve Kredi Bankasi AS | 1,247,407 | 761,308 | |
$ 14,231,325 | |||
United Arab Emirates — 8.0% | |||
Abu Dhabi Commercial Bank PJSC | 552,750 | $ 1,207,913 | |
Abu Dhabi Islamic Bank PJSC | 329,659 | 923,750 | |
Abu Dhabi National Oil Co. for Distribution PJSC | 470,000 | 429,988 | |
Agthia Group PJSC | 1,296,034 | 1,571,483 | |
Air Arabia PJSC | 2,257,172 | 1,610,863 | |
Al Ansari Financial Services PJSC(1) | 1,805,311 | 564,998 | |
Al Waha Capital PJSC | 4,117,465 | 2,131,484 | |
Al Yah Satellite Communications Co. PJSC (Yahsat) | 2,242,854 | 1,551,145 | |
Aldar Properties PJSC | 1,739,556 | 2,464,176 | |
Amanat Holdings PJSC | 6,091,633 | 1,650,143 | |
Americana Restaurants International PLC | 494,400 | 499,514 | |
Aramex PJSC | 454,227 | 284,828 | |
Deyaar Development PJSC(1) | 9,480,540 | 1,519,723 | |
Dubai Electricity & Water Authority PJSC | 1,686,287 | 1,092,440 | |
Dubai Islamic Bank PJSC | 584,077 | 858,704 | |
Emaar Properties PJSC | 1,589,891 | 2,896,437 | |
Emirates Central Cooling Systems Corp. | 3,502,706 | 1,706,314 | |
Emirates NBD Bank PJSC | 100,660 | 464,674 | |
Emirates Telecommunications Group Co. PJSC | 353,100 | 1,774,668 | |
First Abu Dhabi Bank PJSC | 448,554 | 1,548,699 | |
Multiply Group PJSC(1) | 345,100 | 319,772 | |
National Central Cooling Co. PJSC | 689,840 | 657,451 | |
Q Holding PJSC(1) | 227,300 | 190,672 |
Security | Shares | Value | |
United Arab Emirates (continued) | |||
Ras Al Khaimah Ceramics | 3,202,255 | $ 2,118,691 | |
Taaleem Holdings PJSC(1) | 29,300 | 31,012 | |
$ 30,069,542 | |||
United Kingdom — 0.1% | |||
Pepco Group N.V.(1)(5) | 102,800 | $ 416,660 | |
$ 416,660 | |||
Vietnam — 5.7% | |||
Digiworld Corp. | 1,064,800 | $ 1,828,762 | |
Duc Giang Chemicals JSC | 712,600 | 2,297,874 | |
FPT Corp. | 1,838,970 | 6,430,313 | |
FPT Digital Retail JSC | 663,860 | 2,359,157 | |
Gemadept Corp. | 745,200 | 1,795,166 | |
Mobile World Investment Corp. | 1,041,098 | 1,602,134 | |
Novaland Investment Group Corp.(1) | 7,524 | 3,975 | |
Phat Dat Real Estate Development Corp.(1) | 3,271 | 2,804 | |
Phu Nhuan Jewelry JSC | 1,185,066 | 3,478,690 | |
Refrigeration Electrical Engineering Corp. | 629,803 | 1,442,824 | |
$ 21,241,699 | |||
Total Common Stocks (identified cost $289,792,424) | $319,208,621 |
Loan Participation Notes — 2.7% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 2.7% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(5)(6)(7) | UZS | 48,512,190 | $ 3,876,468 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/21/26(5)(6)(7) | UZS | 81,043,560 | 6,175,859 |
Total Loan Participation Notes (identified cost $10,780,060) | $ 10,052,327 |
Preferred Stocks — 0.4% |
Security | Shares | Value | |
South Korea — 0.4% | |||
Hanwha Galleria Co., Ltd.(1) | 45 | $ 95 | |
Hanwha Solutions Corp.(1) | 40 | 581 | |
Hyundai Motor Co., Ltd. | 1,499 | 111,364 |
Security | Shares | Value | |
South Korea (continued) | |||
LG Chem, Ltd. | 400 | $ 83,542 | |
Samsung Electronics Co., Ltd. | 36,110 | 1,441,681 | |
Total Preferred Stocks (identified cost $1,614,418) | $ 1,637,263 |
Rights — 0.0%(2) |
Security | Shares | Value | |
South Korea — 0.0%(2) | |||
Cosmo AM&T Co., Ltd., Exp. 11/7/23(1) | 47 | $ 578 | |
Total Rights (identified cost $0) | $ 578 |
Sovereign Government Bonds — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
Greece — 0.1% | |||
Hellenic Republic Government Bond, 0.00%, GDP-Linked, 10/15/42 | EUR | 79,360 | $ 264,073 |
Total Sovereign Government Bonds (identified cost $335,579) | $ 264,073 |
Short-Term Investments — 8.1% |
Affiliated Fund — 7.7% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(8) | 28,891,215 | $ 28,891,215 | |
Total Affiliated Fund (identified cost $28,891,215) | $ 28,891,215 |
U.S. Treasury Obligations — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills, 0.00%, 11/30/23(9) | $ | 1,500 | $ 1,493,615 |
Total U.S. Treasury Obligations (identified cost $1,493,566) | $ 1,493,615 | ||
Total Short-Term Investments (identified cost $30,384,781) | $ 30,384,830 |
Value | |||
Total Investments — 96.1% (identified cost $332,907,262) | $361,547,692 | ||
Other Assets, Less Liabilities — 3.9% | $ 14,862,366 | ||
Net Assets — 100.0% | $376,410,058 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Amount is less than 0.05%. |
(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 October 31, 2023, the aggregate value of these securities is $10,969,308 or 2.9% of the Portfolio's net assets. |
(4) | Securities are traded on separate exchanges for the same entity. |
(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 October 31, 2023, the aggregate value of these securities is $11,388,043 or 3.0% of the Portfolio's net assets. |
(6) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(7) | 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. |
(8) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
(9) | 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 | 34.5% | $129,992,422 |
Industrials | 10.5 | 39,522,327 |
Consumer Discretionary | 9.8 | 37,050,392 |
Information Technology | 9.7 | 36,320,976 |
Communication Services | 5.5 | 20,799,013 |
Materials | 4.5 | 17,026,431 |
Energy | 3.8 | 14,288,593 |
Utilities | 3.6 | 13,364,857 |
Real Estate | 2.6 | 9,595,731 |
Consumer Staples | 2.4 | 9,069,030 |
Health Care | 1.0 | 3,869,017 |
Government | 0.1 | 264,073 |
Short-Term Investments | 8.1 | 30,384,830 |
Total Investments | 96.1% | $361,547,692 |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
EUR | 1,296,988 | USD | 1,388,841 | 12/20/23 | $ (13,438) |
EUR | 19,062,884 | USD | 20,412,917 | 12/20/23 | (197,517) |
INR | 971,000,000 | USD | 11,702,687 | 12/20/23 | (59,255) |
INR | 980,000,000 | USD | 11,810,658 | 12/20/23 | (59,306) |
KRW | 15,124,000,000 | USD | 11,408,657 | 12/20/23 | (200,203) |
KRW | 18,376,000,000 | USD | 13,867,109 | 12/20/23 | (248,586) |
USD | 7,326,391 | EUR | 6,841,851 | 12/20/23 | 70,891 |
USD | 4,441,849 | EUR | 4,148,082 | 12/20/23 | 42,980 |
USD | 3,832,413 | EUR | 3,578,952 | 12/20/23 | 37,083 |
USD | 2,299,163 | EUR | 2,147,105 | 12/20/23 | 22,247 |
USD | 2,263,434 | EUR | 2,113,739 | 12/20/23 | 21,901 |
USD | 1,659,771 | EUR | 1,550,000 | 12/20/23 | 16,060 |
USD | 22,900,292 | EUR | 21,700,000 | 12/20/23 | (111,661) |
$ (678,804) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 23,639,464 | CNH | 168,000,000 | BNP Paribas | 11/24/23 | $ 720,769 | $ — |
USD | 22,319,552 | CNH | 155,348,700 | HSBC Bank USA, N.A. | 11/24/23 | 1,126,756 | — |
USD | 15,175,804 | EUR | 14,250,000 | HSBC Bank USA, N.A. | 12/20/23 | 64,268 | — |
$1,911,793 | $ — |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
MSCI Emerging Markets Index | 240 | Long | 12/15/23 | $11,030,400 | $ (729,771) |
$(729,771) |
Total Return Swaps (OTC) | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Citibank, N.A. | KRW | 103,250 | Positive Return on KOSPI 200 Index Futures 12/2023 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 12/2023 (pays upon termination) | 12/14/23 | $ (2,227,335) |
$(2,227,335) |
Abbreviations: | |
GDP | – Gross Domestic Product |
GDR | – Global Depositary Receipt |
OTC | – Over-the-counter |
Currency Abbreviations: | |
CNH | – Yuan Renminbi Offshore |
EUR | – Euro |
INR | – Indian Rupee |
KRW | – South Korean Won |
USD | – United States Dollar |
UZS | – Uzbekistani Som |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $304,016,047) | $ 332,656,477 |
Affiliated investments, at value (identified cost $28,891,215) | 28,891,215 |
Cash | 94,390 |
Deposits for derivatives collateral: | |
Futures contracts | 319,754 |
Centrally cleared derivatives | 2,962,242 |
OTC derivatives | 2,986,310 |
Foreign currency, at value (identified cost $3,462,469) | 3,454,161 |
Interest and dividends receivable | 749,802 |
Dividends receivable from affiliated investments | 74,038 |
Receivable for investments sold | 5,451,889 |
Receivable for variation margin on open futures contracts | 484,160 |
Receivable for open forward foreign currency exchange contracts | 1,911,793 |
Tax reclaims receivable | 12,723 |
Receivable from affiliates | 106,333 |
Trustees' deferred compensation plan | 10,628 |
Other assets | 307,980 |
Total assets | $380,473,895 |
Liabilities | |
Cash collateral due to brokers | $ 710,000 |
Payable for investments purchased | 435,453 |
Payable for variation margin on open centrally cleared derivatives | 27,970 |
Payable for open swap contracts | 2,227,335 |
Payable to affiliates: | |
Investment adviser fee | 311,855 |
Trustees' fees | 1,462 |
Trustees' deferred compensation plan | 10,628 |
Accrued foreign capital gains taxes | 50,898 |
Accrued expenses | 288,236 |
Total liabilities | $ 4,063,837 |
Net Assets applicable to investors' interest in Portfolio | $376,410,058 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $589,830) | $ 7,357,741 |
Dividend income from affiliated investments | 386,696 |
Interest income (net of foreign taxes withheld of $36) | 1,080,994 |
Total investment income | $ 8,825,431 |
Expenses | |
Investment adviser fee | $ 2,549,271 |
Trustees’ fees and expenses | 15,306 |
Custodian fee | 392,142 |
Legal and accounting services | 80,058 |
Miscellaneous | 30,403 |
Total expenses | $ 3,067,180 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 137,801 |
Total expense reductions | $ 137,801 |
Net expenses | $ 2,929,379 |
Net investment income | $ 5,896,052 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions (net of foreign capital gains taxes of $346,976) | $ (6,873,724) |
Written options | (2,041) |
Futures contracts | (3,748,918) |
Swap contracts | 468,682 |
Foreign currency transactions | 388,649 |
Forward foreign currency exchange contracts | 1,886,910 |
Net realized loss | $ (7,880,442) |
Change in unrealized appreciation (depreciation): | |
Investments (including net increase in accrued foreign capital gains taxes of $40,000) | $ 26,784,711 |
Futures contracts | (728,448) |
Swap contracts | (2,227,335) |
Foreign currency | 33,568 |
Forward foreign currency exchange contracts | (1,343,729) |
Net change in unrealized appreciation (depreciation) | $22,518,767 |
Net realized and unrealized gain | $14,638,325 |
Net increase in net assets from operations | $20,534,377 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 5,896,052 | $ 4,053,926 |
Net realized loss | (7,880,442) | (1,544,196) |
Net change in unrealized appreciation (depreciation) | 22,518,767 | (36,582,335) |
Net increase (decrease) in net assets from operations | $ 20,534,377 | $ (34,072,605) |
Capital transactions: | ||
Contributions | $ 190,449,338 | $ 40,153,386 |
Withdrawals | (18,206,673) | (12,951,136) |
Net increase in net assets from capital transactions | $172,242,665 | $ 27,202,250 |
Net increase (decrease) in net assets | $192,777,042 | $ (6,870,355) |
Net Assets | ||
At beginning of year | $ 183,633,016 | $ 190,503,371 |
At end of year | $376,410,058 | $183,633,016 |
Year Ended October 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Ratios/Supplemental Data | |||||
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 1.15% (1)(2) | 1.26% (1) | 1.24% | 1.28% | 1.29% (3) |
Net investment income | 2.30% | 2.17% | 1.04% | 0.84% | 1.29% |
Portfolio Turnover | 69% | 67% | 70% | 44% | 43% |
Total Return | 16.11% (2) | (16.87)% | 35.70% | (2.84)% | 7.44% |
Net assets, end of year (000’s omitted) | $376,410 | $183,633 | $190,503 | $145,694 | $179,334 |
(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 years ended October 31, 2023 and 2022). |
(2) | The investment adviser reimbursed certain operating expenses (equal to 0.05% of average daily net assets for the year ended October 31, 2023). Absent this reimbursement, total return would be lower. |
(3) | 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% |
Aggregate cost | $ 339,004,767 |
Gross unrealized appreciation | $ 38,593,994 |
Gross unrealized depreciation | (18,278,404) |
Net unrealized appreciation | $ 20,315,590 |
Fair Value | |||
Statement of Assets and Liabilities Caption | Equity Price | Foreign Exchange | Total |
Not applicable | $ — | $ 211,162* | $ 211,162 |
Receivable for open forward foreign currency exchange contracts | — | 1,911,793 | 1,911,793 |
Total Asset Derivatives | $ — | $2,122,955 | $ 2,122,955 |
Derivatives not subject to master netting or similar agreements | $ — | $ 211,162 | $ 211,162 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $1,911,793 | $ 1,911,793 |
Not applicable | $ (729,771)* | $ (889,966)* | $ (1,619,737) |
Payable for open swap contracts | (2,227,335) | — | (2,227,335) |
Total Liability Derivatives | $(2,957,106) | $ (889,966) | $(3,847,072) |
Derivatives not subject to master netting or similar agreements | $ (729,771) | $ (889,966) | $(1,619,737) |
Total Liability Derivatives subject to master netting or similar agreements | $(2,227,335) | $ — | $(2,227,335) |
* | 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 |
BNP Paribas | $ 720,769 | $ — | $ — | $ (710,000) | $ 10,769 | $ 710,000 |
HSBC Bank USA, N.A. | 1,191,024 | — | (1,051,762) | — | 139,262 | — |
$1,911,793 | $ — | $(1,051,762) | $(710,000) | $150,031 | $710,000 |
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 |
Citibank, N.A. | $(2,227,335) | $ — | $1,493,615 | $733,720 | $ — | $2,278,058 |
(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): | |||
Investment transactions | $ — | $ 401,503(1) | $ 401,503 |
Written options | — | (2,041) | (2,041) |
Futures contracts | (3,748,918) | — | (3,748,918) |
Swap contracts | 468,682 | — | 468,682 |
Forward foreign currency exchange contracts | — | 1,886,910 | 1,886,910 |
Total | $(3,280,236) | $ 2,286,372 | $ (993,864) |
Change in unrealized appreciation (depreciation): | |||
Futures contracts | $ (728,448) | $ — | $ (728,448) |
Swap contracts | (2,227,335) | — | (2,227,335) |
Forward foreign currency exchange contracts | — | (1,343,729) | (1,343,729) |
Total | $(2,955,783) | $(1,343,729) | $(4,299,512) |
(1) | Relates to purchased options. |
Futures Contracts — Long | Forward Foreign Currency Exchange Contracts* | Swap Contracts |
$24,801,000 | $140,989,000 | $13,214,000 |
* | 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 | $238,000,029 | $(211,349,215) | $ — | $ — | $28,891,215 | $386,696 | 28,891,215 |
• | 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 | $ 425,401 | $ 117,633,259 | $ — | $ 118,058,660 |
Developed Europe | — | 1,115,896 | — | 1,115,896 |
Emerging Europe | 2,552,308 | 155,503,951 | — | 158,056,259 |
Middle East/Africa | — | 41,977,806 | — | 41,977,806 |
Total Common Stocks | $ 2,977,709 | $ 316,230,912* | $ — | $ 319,208,621 |
Loan Participation Notes | $ — | $ — | $ 10,052,327 | $ 10,052,327 |
Preferred Stocks | — | 1,637,263 | — | 1,637,263 |
Rights | — | 578 | — | 578 |
Sovereign Government Bonds | — | 264,073 | — | 264,073 |
Short-Term Investments: | ||||
Affiliated Fund | 28,891,215 | — | — | 28,891,215 |
U.S. Treasury Obligations | — | 1,493,615 | — | 1,493,615 |
Total Investments | $ 31,868,924 | $ 319,626,441 | $ 10,052,327 | $ 361,547,692 |
Forward Foreign Currency Exchange Contracts | $ — | $ 2,122,955 | $ — | $ 2,122,955 |
Total | $ 31,868,924 | $ 321,749,396 | $ 10,052,327 | $ 363,670,647 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (889,966) | $ — | $ (889,966) |
Liability Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts | $ (729,771) | $ — | $ — | $ (729,771) |
Swap Contracts | — | (2,227,335) | — | (2,227,335) |
Total | $ (729,771) | $ (3,117,301) | $ — | $ (3,847,072) |
* | 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. |
Loan Participation Notes | |
Balance as of October 31, 2022 | $ — |
Realized gains (losses) | — |
Change in net unrealized appreciation (depreciation) | (727,733) |
Cost of purchases | 10,718,814 |
Proceeds from sales, including return of capital | — |
Accrued discount (premium) | 61,246 |
Transfers to Level 3 | — |
Transfers from Level 3 | — |
Balance as of October 31, 2023 | $10,052,327 |
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2023 | $ (727,733) |
Type of Investment | Fair Value as of October 31, 2023 | Valuation Technique | Unobservable Input | Range of Unobservable Input | Impact to Valuation from an Increase to Input* |
Loan Participation Notes | $10,052,327 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 5.46% - 9.79%** | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
** | The weighted average of the unobservable input is 8.17% based on relative principal amounts. |
Boston, Massachusetts
December 19, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management 'Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
Item 2. Code of Ethics
The registrant (sometimes referred to as the “Fund”) has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees (the “Board”) has designated George J. Gorman and Scott E. Wennerholm, each an independent trustee, as audit committee financial experts. Mr. Gorman is a certified public accountant who is the Principal at George J. Gorman LLC (a consulting firm). Previously, Mr. Gorman served in various capacities at Ernst & Young LLP (a registered public accounting firm), including as Senior Partner. Mr. Gorman also has experience serving as an independent trustee and audit committee financial expert of other mutual fund complexes. Mr. Wennerholm is a private investor. Previously, Mr. Wennerholm served as a Trustee at Wheelock College (postsecondary institution), as a Consultant at GF Parish Group (executive recruiting firm), Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm), Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm), and Vice President at Fidelity Investments Institutional Services (investment management firm).
Item 4. Principal Accountant Fees and Services
Eaton Vance Emerging and Frontier Countries Equity Fund, Eaton Vance Emerging Markets Local Income Fund, Eaton Vance Floating-Rate Fund, Eaton Vance Floating-Rate Advantage Fund, Eaton Vance Floating-Rate & High Income Fund, Eaton Vance Global Sovereign Opportunities Fund (formerly, Eaton Vance Global Bond Fund), Eaton Vance Global Income Builder Fund, Eaton Vance Global Macro Absolute Return Fund, Eaton Vance Global Macro Absolute Return Advantage Fund, Eaton Vance Government Opportunities Fund, Eaton Vance High Income Opportunities Fund, Eaton Vance Multi-Asset Credit Fund, Eaton Vance Short Duration Government Income Fund, Eaton Vance Short Duration High Income Fund, Eaton Vance Short Duration Strategic Income Fund, Eaton Vance Tax-Managed Equity Asset Allocation Fund, Eaton Vance Tax-Managed Global Dividend Income Fund, Eaton Vance Tax-Managed Multi-Cap Growth Fund, Eaton Vance Tax-Managed Small-Cap Fund, Eaton Vance Tax-Managed Value Fund and Parametric Tax-Managed International Equity Fund (the “Fund(s)”) are series of Eaton Vance Mutual Funds Trust (the “Trust”), a Massachusetts business trust, which, including the Funds, contains a total of 31 series (the “Series”). The Trust is registered under the Investment Company Act of 1940 as an open-end management investment company. This Form N-CSR relates to the Funds’ annual reports.
(a)-(d)
The following table presents the aggregate fees billed to the fund for the fund’s fiscal years ended October 31, 2022 and October 31, 2023 by the Fund’s principal accountant, Deloitte and Touche LLP (“D&T”), for professional services rendered for the audit of the fund’s annual financial statements and fees billed for other services rendered by D&T during such periods.
Eaton Vance Emerging and Frontier Countries Equity Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 17,850 | $ | 18,300 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 350 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total | $ | 18,200 | $ | 18,300 | ||||
|
|
|
|
Eaton Vance Emerging Markets Local Income Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 24,550 | $ | 25,000 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 3,350 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total | $ | 27,900 | $ | 25,000 | ||||
|
|
|
|
Eaton Vance Floating-Rate Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 30,650 | $ | 31,100 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 1,650 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total | $ | 32,300 | $ | 31,100 | ||||
|
|
|
|
Eaton Vance Floating-Rate Advantage Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 30,450 | $ | 30,900 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 1,650 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total | $ | 32,100 | $ | 30,900 | ||||
|
|
|
|
Eaton Vance Floating-Rate & High Income Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 34,700 | $ | 35,200 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 1,650 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total | $ | 36,350 | $ | 35,200 | ||||
|
|
|
|
Eaton Vance Global Sovereign Opportunities Fund (formerly, Eaton Vance Global Bond Fund) | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 26,050 | $ | 26,500 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 350 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total | $ | 26,400 | $ | 26,500 | ||||
|
|
|
|
Eaton Vance Global Income Builder Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 17,650 | $ | 57,600 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 1,650 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total | $ | 19,300 | $ | 57,600 | ||||
|
|
|
|
Eaton Vance Global Macro Absolute Return Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 30,650 | $ | 31,100 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 3,450 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total | $ | 34,100 | $ | 31,100 | ||||
|
|
|
|
Eaton Vance Global Macro Absolute Return Advantage Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 29,050 | $ | 29,500 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 3,450 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
|
|
|
| |||||
Total | $ | 32,500 | $ | 29,500 | ||||
|
|
|
|
Eaton Vance Government Opportunities Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 61,433 | $ | 61,300 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 350 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 1,033 | ||||
|
|
|
| |||||
Total | $ | 61,783 | $ | 62,333 | ||||
|
|
|
|
Eaton Vance High Income Opportunities Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 28,350 | $ | 28,800 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 350 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 833 | ||||
|
|
|
| |||||
Total | $ | 28,700 | $ | 29,633 | ||||
|
|
|
|
Eaton Vance Multi-Asset Credit Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 81,233 | $ | 80,100 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 4,750 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 533 | ||||
|
|
|
| |||||
Total | $ | 85,983 | $ | 80,633 | ||||
|
|
|
|
Eaton Vance Short Duration Government Income Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 95,367 | $ | 92,900 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 350 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 2,167 | ||||
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Total | $ | 95,717 | $ | 95,067 | ||||
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Eaton Vance Short Duration High Income Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 58,650 | $ | 59,100 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 350 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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Total | $ | 59,000 | $ | 59,100 | ||||
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Eaton Vance Short Duration Strategic Income Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 53,650 | $ | 54,100 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 2,150 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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Total | $ | 55,800 | $ | 54,100 | ||||
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Eaton Vance Tax-Managed Equity Asset Allocation Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 43,650 | $ | 44,100 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 3,150 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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Total | $ | 46,800 | $ | 44,100 | ||||
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Eaton Vance Tax-Managed Global Dividend Income Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 43,950 | $ | 44,400 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 6,200 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 1,000 | ||||
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Total | $ | 50,150 | $ | 45,400 | ||||
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Eaton Vance Tax-Managed Multi-Cap Growth Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 17,550 | $ | 18,000 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 1,650 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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Total | $ | 19,200 | $ | 18,000 | ||||
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Eaton Vance Tax-Managed Small-Cap Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 19,750 | $ | 20,200 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 1,650 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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Total | $ | 21,400 | $ | 20,200 | ||||
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Eaton Vance Tax-Managed Value Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 21,550 | $ | 22,000 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 1,300 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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Total | $ | 22,850 | $ | 22,000 | ||||
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Parametric Tax-Managed International Equity Fund | ||||||||
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 17,650 | $ | 18,100 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 1,650 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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Total | $ | 19,300 | $ | 18,100 | ||||
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(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
The various Series comprising the Trust have differing fiscal year ends (January 31, February 28, July 31, September 30, October 31, November 30, or December 31). The following table presents the aggregate audit, audit-related, tax, and other fees billed to all of the Series in the Trust by D&T for the last two fiscal years of each Series.
Fiscal Years Ended | 11/30/21 | 12/31/21 | 1/31/22 | 2/28/22 | 9/30/22 | 10/31/22 | 11/30/22 | 12/31/22 | 1/31/23 | 2/28/23 | 9/30/23 | 10/31/23 | ||||||||||||||||||||||||||||||||||||
Audit Fees | $ | 37,050 | $ | 111,700 | $ | 198,900 | $ | 24,050 | $ | 104,200 | $ | 816,633 | $ | 41,150 | $ | 130,600 | $ | 172,250 | $ | 27,150 | $ | 117,600 | $ | 828,300 | ||||||||||||||||||||||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||||||
Tax Fees(2) | $ | 13,000 | $ | 61,738 | $ | 78,353 | $ | 8,478 | $ | 5,000 | $ | 44,100 | $ | 0 | $ | 16,150 | $ | 14,695 | $ | 1,650 | $ | 0 | $ | 0 | ||||||||||||||||||||||||
All Other Fees(3) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 5,566 | ||||||||||||||||||||||||
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Total | $ | 50,050 | $ | 173,438 | $ | 277,253 | $ | 32,528 | $ | 109,200 | $ | 860,733 | $ | 41,150 | $ | 146,750 | $ | 186,945 | $ | 28,800 | $ | 117,600 | $ | 833,866 | ||||||||||||||||||||||||
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(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. Includes consent fee for N-14 registration statements related to fund mergers. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01(c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed for services rendered to all of the Series in the Trust by D&T for the last two fiscal years of each Series; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the last two fiscal years of each Series.
Fiscal Years Ended | 12/31/21 | 1/31/22 | 2/28/22 | 9/30/22 | 10/31/22 | 12/31/22 | 1/31/23 | 2/28/23 | 9/30/23 | 10/31/23 | ||||||||||||||||||||||||||||||
Registrant(1) | $ | 61,738 | $ | 78,353 | $ | 8,478 | $ | 5,000 | $ | 44,100 | $ | 16,150 | $ | 14,695 | $ | 4,350 | $ | 0 | $ | 5,566 | ||||||||||||||||||||
Eaton Vance(2) | $ | 51,800 | $ | 51,800 | $ | 51,800 | $ | 52,836 | $ | 52,836 | $ | 0 | $ | 0 | $ | 0 | $ | 52,836 | $ | 0 |
(1) | Includes all of the Series of the Trust. During the fiscal years reported above, certain of the Funds were “feeder” funds in a “master-feeder” fund structure or funds of funds. |
(2) | Various subsidiaries of Morgan Stanley. act in either an investment advisory and/or service provider capacity with respect to the Series and/or their respective “master” funds (if applicable). |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Mutual Funds Trust | ||
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President |
Date: December 22, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer |
Date: December 22, 2023
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President |
Date: December 22, 2023