Eaton Vance
Global Macro Absolute Return Advantage Fund
July 31, 2021 (Unaudited)
Eaton Vance Global Macro Absolute Return Advantage Fund (the Fund), a non-diversified series of Eaton Vance Mutual Funds Trust, invests substantially all of its assets in Global Macro Absolute Return Advantage Portfolio (the Portfolio) and owns a pro rata interest in the Portfolio’s net assets. At July 31, 2021, the value of the Fund’s investment in the Portfolio was $2,563,444,009 and the Fund owned 85.4% of the Portfolio’s outstanding interests. The Portfolio’s Consolidated Portfolio of Investments is set forth below.
Global Macro Absolute Return Advantage Portfolio
July 31, 2021
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
Collateralized Mortgage Obligations — 0.2%
Security | Principal Amount (000’s omitted) | Value | ||||||
Federal Home Loan Mortgage Corp.: |
| |||||||
Interest Only:(1) |
| |||||||
Series 2770, Class SH, 7.007%, (7.10% - 1 mo. USD LIBOR), 3/15/34(2) | $ | 1,026 | $ | 239,172 | ||||
Series 4791, Class JI, 4.00%, 5/15/48 | 13,839 | 1,443,150 | ||||||
|
| |||||||
$ | 1,682,322 | |||||||
|
| |||||||
Federal National Mortgage Association: |
| |||||||
Interest Only:(1) |
| |||||||
Series 424, Class C8, 3.50%, 2/25/48 | $ | 16,529 | $ | 1,782,055 | ||||
Series 2010-67, Class BI, 5.50%, 6/25/25 | 2 | 20 | ||||||
Series 2010-109, Class PS, 6.511%, (6.60% - 1 mo. USD LIBOR), 10/25/40(2) | 2,237 | 462,183 | ||||||
Series 2018-21, Class IO, 3.00%, 4/25/48 | 14,016 | 1,234,977 | ||||||
Series 2018-58, Class BI, 4.00%, 8/25/48 | 2,372 | 271,532 | ||||||
|
| |||||||
$ | 3,750,767 | |||||||
|
| |||||||
Total Collateralized Mortgage Obligations |
| $ | 5,433,089 | |||||
|
| |||||||
U.S. Government Guaranteed Small Business Administration Loans(3)(4) — 1.0% |
| |||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
1.63%, 11/20/42 | $ | 1,192 | $ | 75,786 | ||||
1.88%, 10/30/42 to 12/28/42 | 10,409 | 721,198 | ||||||
2.13%, 1/25/43 | 1,648 | 127,523 | ||||||
2.24%, 11/15/32 to 4/10/43(5) | 40,560 | 3,528,774 | ||||||
2.38%, 11/30/42 to 3/1/43 | 5,964 | 571,906 | ||||||
2.63%, 10/27/42 to 3/20/43 | 8,520 | 840,619 | ||||||
2.80%, 4/12/27 to 3/10/43(5) | 87,568 | 8,773,524 | ||||||
2.88%, 10/27/42 to 2/13/43 | 10,139 | 1,147,676 | ||||||
3.03%, 2/2/27 to 12/17/43(5) | 91,142 | 9,594,069 | ||||||
3.13%, 10/12/42 to 2/15/43 | 5,500 | 727,020 | ||||||
3.38%, 12/18/42 | 650 | 92,119 | ||||||
3.63%, 10/27/42 to 3/28/43 | 23,121 | 3,438,127 | ||||||
|
| |||||||
Total U.S. Government Guaranteed Small Business Administration Loans |
| $ | 29,638,341 | |||||
|
|
1
Convertible Bonds — 0.1%
Security | Principal Amount (000’s omitted) | Value | ||||||
Bermuda — 0.1% |
| |||||||
Liberty Latin America, Ltd., 2.00%, 7/15/24 | $ | 4,760 | $ | 4,789,988 | ||||
|
| |||||||
Total Bermuda |
| $ | 4,789,988 | |||||
|
| |||||||
Total Convertible Bonds |
| $ | 4,789,988 | |||||
|
| |||||||
Foreign Corporate Bonds — 7.5% |
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Security | Principal Amount (000’s omitted) | Value | ||||||
Argentina — 0.6% |
| |||||||
IRSA Propiedades Comerciales S.A., 8.75%, 3/23/23(6) | USD | 1,461 | $ | 1,385,335 | ||||
YPF S.A.: |
| |||||||
4.00% to 1/1/23, 2/12/26(7)(8) | USD | 18,233 | 15,448,620 | |||||
4.00% to 1/1/23, 2/12/26(6)(8) | USD | 106 | 89,638 | |||||
6.95%, 7/21/27(6) | USD | 1,428 | 1,001,599 | |||||
8.50%, 7/28/25(6) | USD | 760 | 593,758 | |||||
|
| |||||||
Total Argentina |
| $ | 18,518,950 | |||||
|
| |||||||
Armenia — 0.6% |
| |||||||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(6) | USD | 16,608 | $ | 16,546,135 | ||||
|
| |||||||
Total Armenia |
| $ | 16,546,135 | |||||
|
| |||||||
Belarus — 0.1% |
| |||||||
Eurotorg, LLC Via Bonitron DAC, 9.00%, 10/22/25(6) | USD | 3,827 | $ | 4,076,061 | ||||
|
| |||||||
Total Belarus |
| $ | 4,076,061 | |||||
|
| |||||||
Brazil — 0.8% |
| |||||||
Braskem Netherlands Finance BV, 5.875%, 1/31/50(6) | USD | 5,117 | $ | 5,740,634 | ||||
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(7) | USD | 5,892 | 6,125,913 | |||||
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, 12/1/22(6) | USD | 3,508 | 3,447,057 | |||||
Oi Movel S.A., 8.75%, 7/30/26(6) | USD | 1,342 | 1,388,970 | |||||
Vale S.A., 2.762%(9)(10) | BRL | 64,850 | 8,113,568 | |||||
|
| |||||||
Total Brazil |
| $ | 24,816,142 | |||||
|
| |||||||
Bulgaria — 0.4% | ||||||||
Eurohold Bulgaria AD, 6.50%, 12/7/22(6) | EUR | 9,718 | $ | 11,188,398 | ||||
|
| |||||||
Total Bulgaria | $ | 11,188,398 | ||||||
|
| |||||||
China — 0.2% | ||||||||
Times China Holdings, Ltd., 5.55%, 6/4/24(6) | USD | 4,735 | $ | 4,515,430 | ||||
|
| |||||||
Total China | $ | 4,515,430 | ||||||
|
| |||||||
Georgia — 0.3% | ||||||||
Georgia Capital JSC: | ||||||||
6.125%, 3/9/24(6) | USD | 2,988 | $ | 3,040,290 | ||||
6.125%, 3/9/24(7) | USD | 2,580 | 2,625,150 | |||||
Silknet JSC, 11.00%, 4/2/24(6) | USD | 3,388 | 3,720,126 | |||||
|
| |||||||
Total Georgia | $ | 9,385,566 | ||||||
|
|
2
Security | Principal Amount (000’s omitted) | Value | ||||||
Honduras — 0.2% | ||||||||
Inversiones Atlantida S.A., 7.50%, 5/19/26(6) | USD | 4,625 | $ | 4,821,563 | ||||
|
| |||||||
Total Honduras | $ | 4,821,563 | ||||||
|
| |||||||
Iceland — 1.7% | ||||||||
Alma Ibuethafelag HF, 6.65%, 11/26/28(11) | ISK | 2,270,706 | $ | 20,303,172 | ||||
Arion Banki HF, 6.00%, 4/12/24(6) | ISK | 1,720,000 | 14,994,925 | |||||
Islandsbanki HF, 6.40%, 10/26/23 | ISK | 900,000 | 7,827,091 | |||||
Landsbankinn HF, 5.00%, 11/23/23(6) | ISK | 1,020,000 | 8,657,843 | |||||
WOW Air HF: | ||||||||
0.00%(9)(11)(12) | EUR | 121 | 0 | |||||
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(11)(12) | EUR | 5,500 | 0 | |||||
|
| |||||||
Total Iceland | $ | 51,783,031 | ||||||
|
| |||||||
India — 0.4% | ||||||||
Indian Railway Finance Corp., Ltd., 2.80%, 2/10/31(6) | USD | 10,939 | $ | 10,611,861 | ||||
|
| |||||||
Total India | $ | 10,611,861 | ||||||
|
| |||||||
Mexico — 0.3% | ||||||||
Alpha Holding S.A. de CV: | ||||||||
9.00%, 2/10/25(6)(12) | USD | 5,879 | $ | 690,782 | ||||
10.00%, 12/19/22(6)(12) | USD | 2,864 | 304,329 | |||||
Grupo Kaltex S.A. de CV, 8.875%, 4/11/22(6) | USD | 1,779 | 1,606,090 | |||||
Petroleos Mexicanos, 6.75%, 9/21/47 | USD | 5,400 | 4,834,836 | |||||
|
| |||||||
Total Mexico | $ | 7,436,037 | ||||||
|
| |||||||
Moldova — 0.3% | ||||||||
Aragvi Finance International DAC, 8.45%, 4/29/26(6) | USD | 8,981 | $ | 9,360,357 | ||||
|
| |||||||
Total Moldova | $ | 9,360,357 | ||||||
|
| |||||||
Nigeria — 0.2% | ||||||||
SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(6) | USD | 4,892 | $ | 5,098,345 | ||||
|
| |||||||
Total Nigeria | $ | 5,098,345 | ||||||
|
| |||||||
Paraguay — 0.2% | ||||||||
Frigorifico Concepcion S.A., 7.70%, 7/21/28(7) | USD | 7,075 | $ | 7,372,327 | ||||
|
| |||||||
Total Paraguay | $ | 7,372,327 | ||||||
|
| |||||||
Peru — 0.0%(13) | ||||||||
PetroTal Corp., 12.00%, 2/16/24(6)(7) | USD | 1,265 | $ | 1,321,925 | ||||
|
| |||||||
Total Peru | $ | 1,321,925 | ||||||
|
| |||||||
South Africa — 0.2% | ||||||||
Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(6)(14) | USD | 7,297 | $ | 7,397,161 | ||||
|
| |||||||
Total South Africa | $ | 7,397,161 | ||||||
|
| |||||||
Turkey — 0.2% | ||||||||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(6) | USD | 6,880 | $ | 7,242,941 | ||||
|
| |||||||
Total Turkey | $ | 7,242,941 | ||||||
|
|
3
Security | Principal Amount (000’s omitted) | Value | ||||||
Uzbekistan — 0.8% | ||||||||
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), | UZS | 256,000,000 | $ | 23,959,785 | ||||
|
| |||||||
Total Uzbekistan | $ | 23,959,785 | ||||||
|
| |||||||
Total Foreign Corporate Bonds | $ | 225,452,015 | ||||||
|
| |||||||
Loan Participation Notes — 1.9% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Uzbekistan — 1.9% | ||||||||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(6)(11)(15) | UZS | 294,368,000 | $ | 28,451,860 | ||||
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(6)(11)(15) | UZS | 290,568,000 | 27,915,844 | |||||
|
| |||||||
Total Uzbekistan | $ | 56,367,704 | ||||||
|
| |||||||
Total Loan Participation Notes | $ | 56,367,704 | ||||||
|
| |||||||
Senior Floating-Rate Loans — 0.0%(13) | ||||||||
Borrower/Description | Principal Amount (000’s omitted) | Value | ||||||
Argentina — 0.0%(13) | ||||||||
Desarrolladora Energética S.A., Term Loan, 9.50%, 7/18/20(11)(12)(16) | $ | 2,607 | $ | 861,778 | ||||
|
| |||||||
Total Argentina | $ | 861,778 | ||||||
|
| |||||||
Total Senior Floating-Rate Loans | $ | 861,778 | ||||||
|
| |||||||
Sovereign Government Bonds — 54.7% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Argentina — 1.0% | ||||||||
Provincia de Buenos Aires/Government Bonds: | ||||||||
4.00%, 5/15/35(6)(12) | USD | 1,967 | $ | 798,919 | ||||
6.50%, 2/15/23(6)(12) | USD | 4,670 | 2,253,322 | |||||
7.875%, 6/15/27(6)(12) | USD | 12,167 | 5,900,995 | |||||
9.00%, 6/9/21(6)(12) | USD | 5,166 | 2,589,458 | |||||
9.125%, 3/16/24(6)(12) | USD | 6,983 | 3,421,670 | |||||
9.625%, 4/18/28(6)(12) | USD | 866 | 435,165 | |||||
Republic of Argentina, 2.50% to 7/9/22, 7/9/41(8) | USD | 41,794 | 15,695,564 | |||||
|
| |||||||
Total Argentina | $ | 31,095,093 | ||||||
|
|
4
Security | Principal Amount (000’s omitted) | Value | ||||||
Bahrain — 1.1% | ||||||||
Kingdom of Bahrain: | ||||||||
5.45%, 9/16/32(6) | USD | 18,625 | $ | 18,285,373 | ||||
6.00%, 9/19/44(6) | USD | 7,172 | 6,739,744 | |||||
7.50%, 9/20/47(6) | USD | 7,297 | 7,761,950 | |||||
|
| |||||||
Total Bahrain | $ | 32,787,067 | ||||||
|
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Barbados — 1.5% | ||||||||
Government of Barbados, 6.50%, 10/1/29(6) | USD | 43,780 | $ | 44,217,497 | ||||
|
| |||||||
Total Barbados | $ | 44,217,497 | ||||||
|
| |||||||
Belarus — 0.4% | ||||||||
Republic of Belarus, 5.875%, 2/24/26(6) | USD | 14,016 | $ | 13,087,510 | ||||
|
| |||||||
Total Belarus | $ | 13,087,510 | ||||||
|
| |||||||
Benin — 1.3% | ||||||||
Benin Government International Bond, 6.875%, 1/19/52(6) | EUR | 30,780 | $ | 37,646,808 | ||||
|
| |||||||
Total Benin | $ | 37,646,808 | ||||||
|
| |||||||
Ecuador — 0.1% | ||||||||
Republic of Ecuador, 0.50% to 7/31/22, 7/31/40(6)(8) | USD | 5,728 | $ | 2,978,368 | ||||
|
| |||||||
Total Ecuador | $ | 2,978,368 | ||||||
|
| |||||||
Egypt — 9.4% | ||||||||
Arab Republic of Egypt: | ||||||||
6.375%, 4/11/31(6) | EUR | 46,967 | $ | 57,186,001 | ||||
8.15%, 11/20/59(6) | USD | 9,002 | 8,910,270 | |||||
8.50%, 1/31/47(6) | USD | 736 | 762,524 | |||||
8.70%, 3/1/49(6) | USD | 40,514 | 42,455,836 | |||||
8.875%, 5/29/50(6) | USD | 1,864 | 1,990,286 | |||||
Egypt Government Bond: | ||||||||
14.06%, 1/12/26 | EGP | 633,513 | 39,963,102 | |||||
14.483%, 4/6/26 | EGP | 1,076,194 | 68,633,069 | |||||
14.556%, 10/13/27 | EGP | 279,103 | 17,829,705 | |||||
14.664%, 10/6/30 | EGP | 715,869 | 45,148,030 | |||||
|
| |||||||
Total Egypt | $ | 282,878,823 | ||||||
|
| |||||||
Georgia — 1.2% | ||||||||
Georgia Treasury Bond: | ||||||||
7.00%, 5/30/24 | GEL | 51,500 | $ | 15,744,759 | ||||
7.375%, 9/27/23 | GEL | 12,110 | 3,770,259 | |||||
8.125%, 1/25/23 | GEL | 6,262 | 2,010,976 | |||||
9.375%, 4/9/22 | GEL | 43,335 | 14,045,058 | |||||
|
| |||||||
Total Georgia | $ | 35,571,052 | ||||||
|
| |||||||
Iceland — 1.4% | ||||||||
Republic of Iceland: | ||||||||
6.50%, 1/24/31 | ISK | 3,752,922 | $ | 37,685,403 | ||||
8.00%, 6/12/25 | ISK | 323,582 | 3,101,944 | |||||
|
| |||||||
Total Iceland | $ | 40,787,347 | ||||||
|
| |||||||
India — 0.3% | ||||||||
Export-Import Bank of India: | ||||||||
2.25%, 1/13/31(6) | USD | 3,486 | $ | 3,280,219 | ||||
3.25%, 1/15/30(6) | USD | 4,572 | 4,695,717 | |||||
|
| |||||||
Total India | $ | 7,975,936 | ||||||
|
|
5
Security | Principal Amount (000’s omitted) | Value | ||||||
Indonesia — 3.0% | ||||||||
Indonesia Government Bond, 7.50%, 4/15/40 | IDR | 1,260,618,000 | $ | 91,383,365 | ||||
|
| |||||||
Total Indonesia | $ | 91,383,365 | ||||||
|
| |||||||
Ivory Coast — 2.0% | ||||||||
Ivory Coast Government International Bond: | ||||||||
4.875%, 1/30/32(6) | EUR | 7,119 | $ | 8,552,709 | ||||
5.25%, 3/22/30(6) | EUR | 19,942 | 25,053,179 | |||||
6.625%, 3/22/48(6) | EUR | 19,185 | 24,254,252 | |||||
6.875%, 10/17/40(6) | EUR | 1,643 | 2,158,113 | |||||
|
| |||||||
Total Ivory Coast | $ | 60,018,253 | ||||||
|
| |||||||
Lebanon — 0.6% | ||||||||
Lebanese Republic: | ||||||||
6.25%, 11/4/24(6)(12) | USD | 11,108 | $ | 1,389,955 | ||||
6.25%, 6/12/25(6)(12) | USD | 7,800 | 985,374 | |||||
6.40%, 5/26/23(12) | USD | 11,020 | 1,377,775 | |||||
6.65%, 4/22/24(6)(12) | USD | 30,094 | 3,776,797 | |||||
6.65%, 11/3/28(6)(12) | USD | 8,500 | 1,073,966 | |||||
6.65%, 2/26/30(6)(12) | USD | 132 | 16,566 | |||||
6.75%, 11/29/27(6)(12) | USD | 1,235 | 156,504 | |||||
6.85%, 3/23/27(6)(12) | USD | 16,961 | 2,135,085 | |||||
6.85%, 5/25/29(12) | USD | 14,243 | 1,780,945 | |||||
7.00%, 12/3/24(12) | USD | 4,878 | 606,896 | |||||
7.00%, 3/20/28(6)(12) | USD | 15,142 | 1,953,167 | |||||
7.05%, 11/2/35(6)(12) | USD | 3,532 | 445,138 | |||||
7.15%, 11/20/31(6)(12) | USD | 12,224 | 1,546,275 | |||||
8.20%, 5/17/33(12) | USD | 4,223 | 532,753 | |||||
8.25%, 5/17/34(12) | USD | 3,507 | 442,724 | |||||
|
| |||||||
Total Lebanon | $ | 18,219,920 | ||||||
|
| |||||||
New Zealand — 1.0% | ||||||||
New Zealand Government Bond, 2.50%, 9/20/40(6)(17) | NZD | 32,415 | $ | 30,555,431 | ||||
|
| |||||||
Total New Zealand | $ | 30,555,431 | ||||||
|
| |||||||
Pakistan — 0.5% | ||||||||
Islamic Republic of Pakistan: | ||||||||
7.375%, 4/8/31(6) | USD | 2,192 | $ | 2,207,399 | ||||
8.875%, 4/8/51(6) | USD | 13,361 | 13,810,865 | |||||
|
| |||||||
Total Pakistan | $ | 16,018,264 | ||||||
|
| |||||||
Peru — 0.9% | ||||||||
Peru Government Bond: | ||||||||
6.15%, 8/12/32 | PEN | 98,559 | $ | 23,836,055 | ||||
6.95%, 8/12/31 | PEN | 13,200 | 3,429,592 | |||||
|
| |||||||
Total Peru | $ | 27,265,647 | ||||||
|
| |||||||
Romania — 5.7% | ||||||||
Romania Government International Bond: | ||||||||
2.625%, 12/2/40(6) | EUR | 5,505 | $ | 6,408,970 | ||||
2.75%, 4/14/41(6) | EUR | 13,231 | 15,454,988 | |||||
3.375%, 1/28/50(6) | EUR | 51,595 | 64,319,853 | |||||
4.625%, 4/3/49(6) | EUR | 57,743 | 85,558,849 | |||||
|
| |||||||
Total Romania | $ | 171,742,660 | ||||||
|
|
6
Security | Principal Amount (000’s omitted) | Value | ||||||
Serbia — 4.9% | ||||||||
Serbia Treasury Bond: | ||||||||
4.50%, 8/20/32 | RSD | 1,991,430 | $ | 22,217,012 | ||||
5.875%, 2/8/28 | RSD | 10,224,100 | 124,754,951 | |||||
|
| |||||||
Total Serbia | $ | 146,971,963 | ||||||
|
| |||||||
Suriname — 1.7% | ||||||||
Republic of Suriname: | ||||||||
9.25%, 10/26/26(6) | USD | 77,193 | $ | 49,171,941 | ||||
9.25%, 10/26/26(7) | USD | 200 | 127,400 | |||||
12.875%, 12/30/23(6) | USD | 2,634 | 1,685,760 | |||||
|
| |||||||
Total Suriname | $ | 50,985,101 | ||||||
|
| |||||||
Thailand — 1.7% | ||||||||
Thailand Government Bond, 1.25%, 3/12/28(6)(17) | THB | 1,662,050 | $ | 50,056,511 | ||||
|
| |||||||
Total Thailand | $ | 50,056,511 | ||||||
|
| |||||||
Tunisia — 0.4% | ||||||||
Banque Centrale de Tunisie International Bond: | ||||||||
5.625%, 2/17/24(6) | EUR | 7,550 | $ | 7,687,047 | ||||
6.75%, 10/31/23(6) | EUR | 5,050 | 5,322,990 | |||||
|
| |||||||
Total Tunisia | $ | 13,010,037 | ||||||
|
| |||||||
Ukraine — 13.1% | ||||||||
Ukraine Government International Bond: | ||||||||
1.258%, GDP-Linked, 5/31/40(6)(18) | USD | 31,977 | $ | 37,348,976 | ||||
9.79%, 5/26/27 | UAH | 21,980 | 733,298 | |||||
10.00%, 8/23/23 | UAH | 203,654 | 7,259,053 | |||||
11.67%, 11/22/23 | UAH | 235,191 | 8,665,243 | |||||
12.52%, 5/13/26 | UAH | 1,695,439 | 63,126,543 | |||||
15.84%, 2/26/25 | UAH | 6,803,666 | 275,067,264 | |||||
|
| |||||||
Total Ukraine | $ | 392,200,377 | ||||||
|
| |||||||
Uruguay — 1.3% | ||||||||
Uruguay Government International Bond, 8.25%, 5/21/31 | UYU | 1,684,022 | $ | 39,290,634 | ||||
|
| |||||||
Total Uruguay | $ | 39,290,634 | ||||||
|
| |||||||
Uzbekistan — 0.0%(13) | ||||||||
Republic of Uzbekistan, 14.50%, 11/25/23(6) | UZS | 9,200,000 | $ | 884,157 | ||||
|
| |||||||
Total Uzbekistan | $ | 884,157 | ||||||
|
| |||||||
Zambia — 0.2% | ||||||||
Republic of Zambia, 5.375%, 9/20/22(6) | USD | 7,277 | $ | 4,687,661 | ||||
|
| |||||||
Total Zambia | $ | 4,687,661 | ||||||
|
| |||||||
Total Sovereign Government Bonds | $ | 1,642,315,482 | ||||||
|
|
7
Sovereign Loans — 6.2% | ||||||||
Borrower | Principal Amount (000’s omitted) | Value | ||||||
Ivory Coast — 0.2% | ||||||||
Republic of Ivory Coast, Term Loan, 5.75%, (6 mo. EURIBOR + 5.75%), 1/6/28(19) | EUR | 5,655 | $ | 6,657,929 | ||||
|
| |||||||
Total Ivory Coast | $ | 6,657,929 | ||||||
|
| |||||||
Kenya — 0.9% | ||||||||
Government of Kenya: | ||||||||
Term Loan, 6.616%, (6 mo. USD LIBOR + 6.45%), 6/29/25(19) | $ | 23,868 | $ | 24,137,566 | ||||
Term Loan, 6.911%, (6 mo. USD LIBOR + 6.70%), 10/24/24(19) | 3,480 | 3,521,547 | ||||||
|
| |||||||
Total Kenya | $ | 27,659,113 | ||||||
|
| |||||||
Tanzania — 5.1% | ||||||||
Government of the United Republic of Tanzania: | ||||||||
Term Loan, 5.364%, (6 mo. USD LIBOR + 5.20%), 6/23/22(19) | $ | 14,514 | $ | 14,876,432 | ||||
Term Loan, 5.456%, (6 mo. USD LIBOR + 5.20%), 6/23/22(19) | 41,914 | �� | 42,919,851 | |||||
Term Loan, 6.446%, (6 mo. USD LIBOR + 6.30%), 4/28/31(19) | 92,880 | 92,972,880 | ||||||
|
| |||||||
Total Tanzania | $ | 150,769,163 | ||||||
|
| |||||||
Total Sovereign Loans | $ | 185,086,205 | ||||||
|
| |||||||
Common Stocks — 3.5% |
| |||||||
Security | Shares | Value | ||||||
Brazil — 0.3% |
| |||||||
Petroleo Brasileiro S.A. ADR | 821,100 | $ | 8,761,137 | |||||
|
| |||||||
Total Brazil |
| $ | 8,761,137 | |||||
|
| |||||||
Bulgaria — 0.6% |
| |||||||
Eurohold Bulgaria AD(20) | 11,361,600 | $ | 17,261,811 | |||||
|
| |||||||
Total Bulgaria |
| $ | 17,261,811 | |||||
|
| |||||||
Cyprus — 0.3% |
| |||||||
Bank of Cyprus Holdings PLC(20) | 8,424,416 | $ | 10,413,678 | |||||
|
| |||||||
Total Cyprus |
| $ | 10,413,678 | |||||
|
| |||||||
Egypt — 0.2% |
| |||||||
Taaleem Management Services Co. SAE(20) | 17,865,400 | $ | 5,562,675 | |||||
|
| |||||||
Total Egypt |
| $ | 5,562,675 | |||||
|
| |||||||
Georgia — 0.3% |
| |||||||
Georgia Capital PLC(20) | 1,003,008 | $ | 8,772,281 | |||||
|
| |||||||
Total Georgia |
| $ | 8,772,281 | |||||
|
| |||||||
Iceland — 0.9% |
| |||||||
Arion Banki HF(7) | 6,077,250 | $ | 7,971,567 | |||||
Eik Fasteignafelag HF | 18,588,405 | 1,600,045 |
8
Security | Shares | Value | ||||||
Eimskipafelag Islands HF | 1,546,259 | $ | 4,786,450 | |||||
Hagar HF | 5,986,965 | 2,938,829 | ||||||
Islandsbanki HF(20) | 3,417,619 | 2,996,458 | ||||||
Reginn HF(20) | 8,414,968 | 1,764,699 | ||||||
Reitir Fasteignafelag HF | 5,436,483 | 3,097,643 | ||||||
Siminn HF | 26,075,530 | 2,462,470 | ||||||
|
| |||||||
Total Iceland |
| $ | 27,618,161 | |||||
|
| |||||||
Vietnam — 0.9% |
| |||||||
Bank for Foreign Trade of Vietnam JSC | 469,610 | $ | 2,002,983 | |||||
Binh Minh Plastics JSC | 73,100 | 179,090 | ||||||
Coteccons Construction JSC | 239,670 | 658,456 | ||||||
Ho Chi Minh City Infrastructure Investment JSC | 1,400,400 | 982,592 | ||||||
Hoa Phat Group JSC | 1,987,870 | 4,096,272 | ||||||
KIDO Group Corp. | 55,900 | 151,861 | ||||||
Masan Group Corp. | 224,600 | 1,312,160 | ||||||
Mobile World Investment Corp. | 372,000 | 2,845,496 | ||||||
Refrigeration Electrical Engineering Corp.(20) | 703,160 | 1,686,147 | ||||||
SSI Securities Corp. | 301,892 | 718,031 | ||||||
Viet Capital Securities JSC | 658,778 | 1,428,225 | ||||||
Vietnam Dairy Products JSC | 569,396 | 2,135,847 | ||||||
Vietnam Prosperity JSC Bank(20) | 795,882 | 2,110,787 | ||||||
Vietnam Technological & Commercial Joint Stock Bank(20) | 1,075,000 | 2,560,565 | ||||||
Vingroup JSC(20) | 658,180 | 3,076,981 | ||||||
|
| |||||||
Total Vietnam |
| $ | 25,945,493 | |||||
|
| |||||||
Total Common Stocks |
| $ | 104,335,236 | |||||
|
| |||||||
Reinsurance Side Cars — 0.8% |
| |||||||
Security | Principal Amount/ Shares | Value | ||||||
Eden Re II, Ltd., Series 2021A, 0.00%, 3/21/25(7)(11)(21) | $ | 7,100,000 | $ | 7,036,100 | ||||
Mt. Logan Re Ltd., Series A-1(11)(20)(21)(22) | 8,600 | 8,451,423 | ||||||
Sussex Capital, Ltd., Series 14, Preference Shares(11)(20)(21)(22) | 7,500 | 7,545,493 | ||||||
|
| |||||||
Total Reinsurance Side Cars |
| $ | 23,033,016 | |||||
|
| |||||||
Warrants — 0.0%(13) |
| |||||||
Security | Shares | Value | ||||||
IRSA Inversiones y Representaciones S.A., Exp. 3/5/26(20) | 383,780 | $ | 92,107 | |||||
|
| |||||||
Total Warrants |
| $ | 92,107 | |||||
|
|
9
Short-Term Investments — 13.0% |
| |||||||
Affiliated Fund — 8.1% |
| |||||||
Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 0.08%(23) | 243,049,262 | $ | 243,049,262 | |||||
|
| |||||||
Total Affiliated Fund |
| $ | 243,049,262 | |||||
|
| |||||||
Repurchase Agreements — 2.5% |
| |||||||
Description | Principal Amount (000’s omitted) | Value | ||||||
JPMorgan Chase Bank, N.A.: |
| |||||||
Dated 7/27/21 with an interest rate of 0.10% payable by the Portfolio, collateralized by $4,906,000 Qatar Government International Bond, 4.817%, due 3/14/49 and a market value, including accrued interest, of $6,487,623(24) | $ | 6,838 | $ | 6,838,035 | ||||
Dated 7/27/21 with a maturity date of 8/2/21, an interest rate of 0.30% payable by the Portfolio and repurchase proceeds of $48,409,257, collateralized by GBP 15,859,805 United Kingdom Gilt Bond, 0.25%, due 3/22/52 and a market value, including accrued interest, of $47,976,053 | 48,411 | 48,411,274 | ||||||
Nomura International PLC: |
| |||||||
Dated 7/27/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $14,656,000 Qatar Government International Bond, 4.817%, due 3/14/49 and a market value, including accrued interest, of $19,380,880(24) | 20,306 | 20,305,522 | ||||||
|
| |||||||
Total Repurchase Agreements |
| $ | 75,554,831 | |||||
|
| |||||||
Sovereign Government Securities — 0.6% |
| |||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Georgia — 0.2% |
| |||||||
Georgia Treasury Bill: | ||||||||
0.00%, 12/9/21 | GEL | 8,507 | $ | 2,649,239 | ||||
0.00%, 2/10/22 | GEL | 5,291 | 1,623,749 | |||||
0.00%, 6/9/22 | GEL | 1,771 | 529,402 | |||||
|
| |||||||
Total Georgia |
| $ | 4,802,390 | |||||
|
| |||||||
Uruguay — 0.4% |
| |||||||
Uruguay Monetary Regulation Bill: | ||||||||
0.00%, 12/3/21 | UYU | 438,905 | $ | 9,849,529 | ||||
0.00%, 2/25/22 | UYU | 110,198 | 2,431,858 | |||||
|
| |||||||
Total Uruguay |
| $ | 12,281,387 | |||||
|
| |||||||
Total Sovereign Government Securities |
| $ | 17,083,777 | |||||
|
|
10
U.S. Treasury Obligations — 1.8% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
U.S. Treasury Bill: | ||||||||
0.00%, 8/5/21(25) | $ | 30,000 | $ | 29,999,937 | ||||
0.00%, 8/26/21(25) | 11,870 | 11,869,743 | ||||||
0.00%, 9/9/21(25) | 13,130 | 13,129,446 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| $ | 54,999,126 | |||||
|
| |||||||
Total Short-Term Investments |
| $ | 390,686,996 | |||||
|
| |||||||
Total Purchased Options and Swaptions — 0.2% |
| $ | 4,604,891 | |||||
|
| |||||||
Total Investments — 89.1% |
| $ | 2,672,696,848 | |||||
|
| |||||||
Total Written Options — (0.0)%(13) |
| $ | (196,702 | ) | ||||
|
| |||||||
Securities Sold Short — (3.3)% |
| |||||||
Common Stocks — (0.9)% |
| |||||||
Security | Shares | Value | ||||||
United Kingdom — (0.7)% |
| |||||||
Ashmore Group PLC | (3,562,400 | ) | $ | (18,812,915 | ) | |||
Royal Dutch Shell PLC, Class A ADR | (77,600 | ) | (3,152,112 | ) | ||||
|
| |||||||
Total United Kingdom |
| $ | (21,965,027 | ) | ||||
|
| |||||||
United States — (0.2)% |
| |||||||
Chevron Corp. | (29,100 | ) | $ | (2,962,671 | ) | |||
Exxon Mobil Corp. | (50,500 | ) | (2,907,285 | ) | ||||
|
| |||||||
Total United States |
| $ | (5,869,956 | ) | ||||
|
| |||||||
Total Common Stocks |
| $ | (27,834,983 | ) | ||||
|
| |||||||
Sovereign Government Bonds — (2.4)% |
| |||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Qatar — (0.9)% |
| |||||||
Qatar Government International Bond, 4.817%, 3/14/49(6) | USD | (19,562 | ) | $ | (25,509,904 | ) | ||
|
| |||||||
Total Qatar |
| $ | (25,509,904 | ) | ||||
|
| |||||||
United Kingdom — (1.5)% |
| |||||||
United Kingdom Gilt Bond, 0.25%, 3/22/52(6)(17) | GBP | (15,053 | ) | $ | (45,517,213 | ) | ||
|
| |||||||
Total United Kingdom |
| $ | (45,517,213 | ) | ||||
|
|
11
Value | ||||||
Total Sovereign Government Bonds | $ | (71,027,117 | ) | |||
|
| |||||
Total Securities Sold Short | $ | (98,862,100 | ) | |||
|
| |||||
Other Assets, Less Liabilities — 14.2% | $ | 426,826,523 | ||||
|
| |||||
Net Assets — 100.0% | $ | 3,000,464,569 | ||||
|
|
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 July 31, 2021. |
(3) | 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. |
(4) | 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. |
(5) | The stated interest rate represents the weighted average fixed interest rate at July 31, 2021 of all interest only securities comprising the certificate. |
(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 July 31, 2021, the aggregate value of these securities is $852,198,035 or 28.4% of the Portfolio’s net assets. |
(7) | 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 July 31, 2021, the aggregate value of these securities is $48,029,002 or 1.6% of the Portfolio’s net assets. |
(8) | Step coupon security. Interest rate represents the rate in effect at July 31, 2021. |
(9) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(10) | 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 July 31, 2021. |
(11) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(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) | Amount is less than 0.05% or (0.05)%, as applicable. |
(14) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(15) | Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower. |
(16) | Fixed-rate loan. |
(17) | 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. |
12
(18) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
(19) | Variable rate security. The stated interest rate represents the rate in effect at July 31, 2021. |
(20) | Non-income producing security. |
(21) | 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. |
(22) | Restricted security. |
(23) | Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of July 31, 2021. |
(24) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(25) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Interest Rate Swaptions — 0.1% |
| |||||||||||||||||
Description | Counterparty | Notional Amount | Expiration | Value | ||||||||||||||
Option to enter into interest rate swap expiring 12/15/26 to pay 3-month ZAR-JIBAR and receive 5.73% | | JPMorgan Chase Bank, N.A. |
| ZAR | 319,670,000 | 12/15/21 | $ | 132,161 | ||||||||||
Option to enter into interest rate swap expiring 1/7/27 to pay 3-month ZAR-JIBAR and receive 5.70% | | Bank of America, N.A. |
| ZAR | 392,480,000 | 1/7/22 | 150,965 | |||||||||||
Option to enter into interest rate swap expiring 1/10/27 to pay 3-month ZAR-JIBAR and receive 5.70% | | Bank of America, N.A. |
| ZAR | 196,240,000 | 1/10/22 | 75,405 | |||||||||||
Option to enter into interest rate swap expiring 1/12/27 to pay 3-month ZAR-JIBAR and receive 5.70% | | JPMorgan Chase Bank, N.A. |
| ZAR | 772,660,000 | 1/12/22 | 296,641 | |||||||||||
Option to enter into interest rate swap expiring 1/17/27 to pay 3-month ZAR-JIBAR and receive 5.73% | | JPMorgan Chase Bank, N.A. |
| ZAR | 215,774,000 | 1/17/22 | 88,697 | |||||||||||
Option to enter into interest rate swap expiring 1/27/27 to pay 3-month ZAR-JIBAR and receive 5.74% | | Bank of America, N.A. |
| ZAR | 348,448,000 | 1/27/22 | 145,532 | |||||||||||
Option to enter into interest rate swap expiring 2/10/27 to pay 3-month ZAR-JIBAR and receive 5.88% | | Goldman Sachs International |
| ZAR | 921,190,000 | 2/10/22 | 515,456 | |||||||||||
Option to enter into interest rate swap expiring 2/16/27 to pay 3-month ZAR-JIBAR and receive 6.18% | | Bank of America, N.A. |
| ZAR | 243,850,000 | 2/16/22 | 233,167 | |||||||||||
Option to enter into interest rate swap expiring 2/21/27 to pay 3-month ZAR-JIBAR and receive 6.47% | | Bank of America, N.A. |
| ZAR | 243,850,000 | 2/21/22 | 353,440 | |||||||||||
Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.47% | | Goldman Sachs International | | ZAR | 186,950,000 | 2/23/22 | 269,295 | |||||||||||
Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.54% | | Bank of America, N.A. |
| ZAR | 243,850,000 | 2/23/22 | 385,745 | |||||||||||
|
| |||||||||||||||||
Total | $ | 2,646,504 | ||||||||||||||||
|
|
13
Purchased Call Options — 0.1% |
| |||||||||||||||||||||||
Description | Counterparty | Notional Amount | Spread | Expiration Date | Value | |||||||||||||||||||
2-year 10 Constant Maturity Swap Curve Cap | Bank of America, N.A. | USD | 1,221,400,000 | 1.06 | % | 12/19/22 | $ | 1,344,004 | ||||||||||||||||
2-year 10 Constant Maturity Swap Curve Cap | Bank of America, N.A. | USD | 596,500,000 | 1.09 | 1/4/23 | 614,383 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total |
| $ | 1,958,387 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Written Currency Options — (0.0)%(13) |
| |||||||||||||||||||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||||||
Put INR/Call USD | Barclays Bank PLC | USD | 42,770,000 | INR | 80.25 | 2/9/22 | $ | (181,431 | ) | |||||||||||||||
Put INR/Call USD | Standard Chartered Bank | USD | 3,600,000 | INR | 80.25 | 2/9/22 | (15,271 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
Total |
| $ | (196,702 | ) | ||||||||||||||||||||
|
|
Centrally Cleared Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date |
| Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
PHP | 1,003,020 | USD | 20,626 | 8/4/21 | $ | (558 | ) | |||||||||||||||
RUB | 512,884,105 | USD | 6,942,537 | 8/4/21 | 68,780 | |||||||||||||||||
RUB | 537,096,169 | USD | 7,280,937 | 8/4/21 | 61,368 | |||||||||||||||||
RUB | 474,417,797 | USD | 6,424,143 | 8/4/21 | 61,326 | |||||||||||||||||
USD | 20,572 | PHP | 1,000,400 | 8/4/21 | 556 | |||||||||||||||||
USD | 6,729,564 | RUB | 490,298,944 | 8/4/21 | 26,994 | |||||||||||||||||
USD | 6,727,662 | RUB | 490,298,943 | 8/4/21 | 25,092 | |||||||||||||||||
USD | 7,449,705 | RUB | 543,800,184 | 8/4/21 | 15,753 | |||||||||||||||||
RUB | 495,401,963 | USD | 6,765,106 | 8/9/21 | 3,922 | |||||||||||||||||
RUB | 599,697,113 | USD | 8,207,833 | 8/9/21 | (13,746 | ) | ||||||||||||||||
RUB | 573,623,326 | USD | 7,857,385 | 8/9/21 | (19,563 | ) | ||||||||||||||||
RUB | 264,947,901 | USD | 3,639,938 | 8/9/21 | (19,767 | ) | ||||||||||||||||
RUB | 391,106,812 | USD | 5,374,081 | 8/9/21 | (30,112 | ) | ||||||||||||||||
NZD | 21,013,147 | USD | 14,704,088 | 8/11/21 | (64,491 | ) | ||||||||||||||||
NZD | 15,356,277 | USD | 11,097,828 | 8/11/21 | (399,301 | ) | ||||||||||||||||
NZD | 35,323,805 | USD | 25,374,855 | 8/11/21 | (765,202 | ) | ||||||||||||||||
USD | 34,561,718 | NZD | 47,823,711 | 8/11/21 | 1,243,536 | |||||||||||||||||
USD | 14,704,088 | NZD | 21,013,147 | 8/11/21 | 64,491 | |||||||||||||||||
RUB | 23,500,000 | USD | 316,921 | 8/16/21 | 3,957 | |||||||||||||||||
RUB | 802,300,000 | USD | 11,016,534 | 8/16/21 | (61,619 | ) | ||||||||||||||||
KRW | 23,329,006,606 | USD | 20,870,466 | 8/18/21 | (642,477 | ) | ||||||||||||||||
PEN | 26,135,390 | USD | 6,715,157 | 8/20/21 | (280,418 | ) | ||||||||||||||||
PEN | 26,726,648 | USD | 6,883,876 | 8/20/21 | (303,564 | ) | ||||||||||||||||
USD | 2,125,526 | PEN | 8,585,000 | 8/20/21 | 11,831 | |||||||||||||||||
USD | 849,010 | PEN | 3,430,000 | 8/20/21 | 4,517 | |||||||||||||||||
GBP | 2,100,000 | USD | 2,921,223 | 8/23/21 | (2,088 | ) | ||||||||||||||||
GBP | 14,435,765 | USD | 20,452,707 | 8/23/21 | (386,067 | ) | ||||||||||||||||
GBP | 32,882,661 | USD | 46,570,112 | 8/23/21 | (861,101 | ) | ||||||||||||||||
USD | 2,470,672 | GBP | 1,779,536 | 8/23/21 | (2,998 | ) |
14
Currency Purchased | Currency Sold | Settlement Date |
| Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 459,518 | GBP | 333,000 | 8/23/21 | $ | (3,373 | ) | |||||||||||||||
AUD | 76,800,000 | USD | 59,451,494 | 8/24/21 | (3,086,170 | ) | ||||||||||||||||
USD | 26,040,217 | AUD | 35,000,000 | 8/24/21 | 352,895 | |||||||||||||||||
NZD | 11,687,317 | USD | 8,166,513 | 8/26/21 | (24,543 | ) | ||||||||||||||||
NZD | 21,722,283 | USD | 15,178,445 | 8/26/21 | (45,617 | ) | ||||||||||||||||
NZD | 79,200,000 | USD | 55,657,958 | 8/26/21 | (483,278 | ) | ||||||||||||||||
USD | 60,062,926 | NZD | 83,859,502 | 8/26/21 | 1,642,203 | |||||||||||||||||
USD | 16,508,121 | NZD | 23,625,218 | 8/26/21 | 49,613 | |||||||||||||||||
USD | 6,836,837 | NZD | 9,784,382 | 8/26/21 | 20,547 | |||||||||||||||||
NZD | 34,654 | USD | 25,258 | 9/1/21 | (1,117 | ) | ||||||||||||||||
NZD | 44,298,937 | USD | 32,287,901 | 9/1/21 | (1,427,710 | ) | ||||||||||||||||
USD | 9,233,611 | NZD | 12,668,496 | 9/1/21 | 408,293 | |||||||||||||||||
USD | 7,302,566 | NZD | 10,019,107 | 9/1/21 | 322,906 | |||||||||||||||||
USD | 8,146 | NZD | 11,176 | 9/1/21 | 360 | |||||||||||||||||
USD | 40,397,507 | NZD | 57,510,260 | 9/7/21 | 335,099 | |||||||||||||||||
USD | 10,536,600 | NZD | 15,000,000 | 9/7/21 | 87,401 | |||||||||||||||||
CLP | 522,545,000 | USD | 726,655 | 9/8/21 | (38,831 | ) | ||||||||||||||||
RUB | 445,000,000 | USD | 5,940,811 | 9/8/21 | 117,400 | |||||||||||||||||
RUB | 573,872,205 | USD | 7,830,702 | 9/8/21 | (18,031 | ) | ||||||||||||||||
PEN | 8,000,000 | USD | 2,033,037 | 9/9/21 | (63,421 | ) | ||||||||||||||||
PEN | 49,267,997 | USD | 12,768,361 | 9/9/21 | (638,484 | ) | ||||||||||||||||
COP | 2,400,000,000 | USD | 621,918 | 9/10/21 | (4,303 | ) | ||||||||||||||||
COP | 23,968,930,000 | USD | 6,631,161 | 9/10/21 | (463,006 | ) | ||||||||||||||||
AUD | 37,700,000 | USD | 29,221,647 | 9/13/21 | (1,550,164 | ) | ||||||||||||||||
BRL | 7,701,972 | USD | 1,542,987 | 9/13/21 | (72,273 | ) | ||||||||||||||||
BRL | 7,533,505 | USD | 1,512,236 | 9/13/21 | (73,691 | ) | ||||||||||||||||
EUR | 37,486,570 | USD | 44,211,286 | 9/15/21 | 294,632 | |||||||||||||||||
EUR | 19,643,367 | USD | 23,167,034 | 9/15/21 | 154,548 | |||||||||||||||||
EUR | 12,790,378 | USD | 15,104,924 | 9/15/21 | 80,447 | |||||||||||||||||
EUR | 4,500,000 | USD | 5,314,320 | 9/15/21 | 28,304 | |||||||||||||||||
EUR | 3,508,478 | USD | 4,143,372 | 9/15/21 | 22,067 | |||||||||||||||||
EUR | 726,204 | USD | 885,451 | 9/15/21 | (23,266 | ) | ||||||||||||||||
RUB | 573,872,206 | USD | 7,807,806 | 9/15/21 | (8,370 | ) | ||||||||||||||||
RUB | 573,872,206 | USD | 7,818,966 | 9/15/21 | (19,529 | ) | ||||||||||||||||
RUB | 688,048,385 | USD | 9,394,511 | 9/15/21 | (43,319 | ) | ||||||||||||||||
RUB | 697,268,806 | USD | 9,556,314 | 9/15/21 | (79,808 | ) | ||||||||||||||||
RUB | 1,485,531,194 | USD | 20,357,830 | 9/15/21 | (168,133 | ) | ||||||||||||||||
USD | 237,604,022 | EUR | 194,871,173 | 9/15/21 | 6,243,284 | |||||||||||||||||
USD | 216,081,165 | EUR | 177,219,180 | 9/15/21 | 5,677,750 | |||||||||||||||||
USD | 88,068,818 | EUR | 72,229,728 | 9/15/21 | 2,314,097 | |||||||||||||||||
USD | 87,318,120 | EUR | 71,614,042 | 9/15/21 | 2,294,371 | |||||||||||||||||
USD | 80,960,703 | EUR | 66,400,000 | 9/15/21 | 2,127,324 | |||||||||||||||||
USD | 66,354,936 | EUR | 54,421,066 | 9/15/21 | 1,743,543 | |||||||||||||||||
USD | 46,131,841 | EUR | 37,835,075 | 9/15/21 | 1,212,160 | |||||||||||||||||
USD | 37,865,251 | EUR | 31,055,223 | 9/15/21 | 994,947 | |||||||||||||||||
USD | 18,619,511 | EUR | 15,270,810 | 9/15/21 | 489,246 | |||||||||||||||||
USD | 15,526,355 | EUR | 12,733,955 | 9/15/21 | 407,971 | |||||||||||||||||
USD | 15,100,398 | EUR | 12,384,606 | 9/15/21 | 396,778 | |||||||||||||||||
USD | 61,761,658 | EUR | 51,800,000 | 9/15/21 | 262,124 |
15
Currency Purchased | Currency Sold | Settlement Date |
| Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 9,259,230 | EUR | 7,593,967 | 9/15/21 | $ | 243,296 | ||||||||||||||||
USD | 6,706,082 | EUR | 5,500,000 | 9/15/21 | 176,209 | |||||||||||||||||
USD | 1,998,857 | EUR | 1,692,569 | 9/15/21 | (10,646 | ) | ||||||||||||||||
USD | 3,006,813 | EUR | 2,546,075 | 9/15/21 | (16,014 | ) | ||||||||||||||||
USD | 6,967,664 | EUR | 5,900,000 | 9/15/21 | (37,109 | ) | ||||||||||||||||
USD | 10,264,460 | EUR | 8,691,624 | 9/15/21 | (54,668 | ) | ||||||||||||||||
RUB | 466,662,344 | USD | 6,376,632 | 9/16/21 | (35,808 | ) | ||||||||||||||||
RUB | 466,662,344 | USD | 6,377,800 | 9/16/21 | (36,976 | ) | ||||||||||||||||
CLP | 956,000,000 | USD | 1,272,969 | 9/20/21 | (14,959 | ) | ||||||||||||||||
CLP | 3,080,323,342 | USD | 4,272,471 | 9/20/21 | (219,042 | ) | ||||||||||||||||
CLP | 3,868,331,658 | USD | 5,361,810 | 9/20/21 | (271,434 | ) | ||||||||||||||||
COP | 16,107,370,000 | USD | 4,333,473 | 9/20/21 | (190,556 | ) | ||||||||||||||||
BRL | 9,242,366 | USD | 1,848,355 | 9/22/21 | (85,526 | ) | ||||||||||||||||
AUD | 128,375,671 | USD | 96,292,023 | 9/23/21 | (2,060,776 | ) | ||||||||||||||||
NZD | 22,321,194 | USD | 15,527,738 | 9/23/21 | 20,003 | |||||||||||||||||
USD | 60,606,464 | AUD | 80,800,000 | 9/23/21 | 1,297,058 | |||||||||||||||||
USD | 32,971,723 | NZD | 47,397,000 | 9/23/21 | (42,474 | ) | ||||||||||||||||
RUB | 912,030,000 | USD | 12,370,282 | 9/24/21 | (1,918 | ) | ||||||||||||||||
RUB | 863,210,000 | USD | 11,729,194 | 9/24/21 | (22,895 | ) | ||||||||||||||||
RUB | 863,200,000 | USD | 11,732,661 | 9/24/21 | (26,498 | ) | ||||||||||||||||
NZD | 7,482,125 | USD | 5,278,415 | 9/28/21 | (66,926 | ) | ||||||||||||||||
USD | 24,596,932 | NZD | 34,866,021 | 9/28/21 | 311,871 | |||||||||||||||||
USD | 10,557,065 | NZD | 14,964,584 | 9/28/21 | 133,856 | |||||||||||||||||
BRL | 8,215,436 | USD | 1,646,802 | 9/29/21 | (81,243 | ) | ||||||||||||||||
IDR | 643,633,000,000 | USD | 44,015,113 | 9/30/21 | 275,384 | |||||||||||||||||
RUB | 403,098,255 | USD | 5,502,777 | 9/30/21 | (44,127 | ) | ||||||||||||||||
RUB | 409,887,779 | USD | 5,595,699 | 9/30/21 | (45,107 | ) | ||||||||||||||||
RUB | 409,887,779 | USD | 5,601,389 | 9/30/21 | (50,796 | ) | ||||||||||||||||
USD | 46,326,267 | IDR | 677,429,000,000 | 9/30/21 | (289,844 | ) | ||||||||||||||||
USD | 5,985,180 | RUB | 446,920,000 | 9/30/21 | (66,892 | ) | ||||||||||||||||
USD | 6,714,595 | RUB | 501,080,000 | 9/30/21 | (70,898 | ) | ||||||||||||||||
BRL | 2,000,000 | USD | 383,083 | 10/4/21 | (2,200 | ) | ||||||||||||||||
BRL | 7,701,972 | USD | 1,536,832 | 10/4/21 | (70,055 | ) | ||||||||||||||||
BRL | 8,215,437 | USD | 1,640,070 | 10/4/21 | (75,508 | ) | ||||||||||||||||
RUB | 287,696,285 | USD | 3,807,748 | 10/8/21 | 81,786 | |||||||||||||||||
RUB | 256,664,289 | USD | 3,395,673 | 10/8/21 | 74,321 | |||||||||||||||||
PEN | 17,137,962 | USD | 4,399,200 | 10/12/21 | (179,045 | ) | ||||||||||||||||
PEN | 52,532,003 | USD | 13,208,288 | 10/12/21 | (272,493 | ) | ||||||||||||||||
BRL | 7,701,972 | USD | 1,537,630 | 10/13/21 | (72,807 | ) | ||||||||||||||||
KRW | 28,851,993,394 | USD | 25,070,378 | 10/25/21 | (77,985 | ) | ||||||||||||||||
RUB | 543,800,184 | USD | 7,330,256 | 11/8/21 | (16,767 | ) | ||||||||||||||||
RUB | 490,298,943 | USD | 6,619,131 | 11/8/21 | (25,172 | ) | ||||||||||||||||
RUB | 490,298,944 | USD | 6,620,996 | 11/8/21 | (27,037 | ) | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 15,434,507 | |||||||||||||||||||||
|
|
16
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
EUR | 6,559,947 | HUF | 2,349,398,331 | Standard Chartered Bank | 8/2/21 | $ | 12,733 | $ | — | |||||||||||||||
EUR | 7,445,147 | HUF | 2,669,776,568 | Standard Chartered Bank | 8/2/21 | 3,372 | — | |||||||||||||||||
HUF | 2,509,587,489 | EUR | 6,877,853 | BNP Paribas | 8/2/21 | 139,866 | — | |||||||||||||||||
HUF | 2,509,587,410 | EUR | 6,878,017 | BNP Paribas | 8/2/21 | 139,671 | — | |||||||||||||||||
USD | 1,870,705 | EUR | 1,573,879 | Standard Chartered Bank | 8/2/21 | 3,692 | — | |||||||||||||||||
CRC | 1,315,442,000 | USD | 2,116,662 | Citibank, N.A. | 8/4/21 | 3,104 | — | |||||||||||||||||
CRC | 1,315,442,000 | USD | 2,142,553 | Citibank, N.A. | 8/4/21 | — | (22,787 | ) | ||||||||||||||||
USD | 2,117,003 | CRC | 1,315,442,000 | Citibank, N.A. | 8/4/21 | — | (2,764 | ) | ||||||||||||||||
USD | 2,116,662 | CRC | 1,315,442,000 | Citibank, N.A. | 8/4/21 | — | (3,104 | ) | ||||||||||||||||
USD | 632,911 | UAH | 18,000,000 | BNP Paribas | 8/4/21 | — | (37,957 | ) | ||||||||||||||||
PLN | 75,013,743 | EUR | 16,399,350 | BNP Paribas | 8/5/21 | 17,076 | — | |||||||||||||||||
PLN | 150,473,357 | EUR | 32,930,011 | BNP Paribas | 8/5/21 | — | (5,885 | ) | ||||||||||||||||
PLN | 5,800,000 | EUR | 1,273,272 | Citibank, N.A. | 8/5/21 | — | (4,952 | ) | ||||||||||||||||
PLN | 74,568,900 | EUR | 16,306,463 | HSBC Bank USA, N.A. | 8/5/21 | 11,799 | — | |||||||||||||||||
UYU | 162,313,000 | USD | 3,724,484 | HSBC Bank USA, N.A. | 8/5/21 | — | (9,144 | ) | ||||||||||||||||
EUR | 8,985,332 | USD | 10,600,336 | Bank of America, N.A. | 8/6/21 | 59,125 | — | |||||||||||||||||
EUR | 5,500,000 | USD | 6,497,214 | Bank of America, N.A. | 8/6/21 | 27,535 | — | |||||||||||||||||
EUR | 6,235,704 | USD | 7,371,239 | Bank of America, N.A. | 8/6/21 | 26,289 | — | |||||||||||||||||
EUR | 6,316,842 | USD | 7,467,939 | Bank of America, N.A. | 8/6/21 | 25,845 | — | |||||||||||||||||
EUR | 3,914,449 | USD | 4,626,964 | Bank of America, N.A. | 8/6/21 | 16,818 | — | |||||||||||||||||
EUR | 1,000,000 | USD | 1,181,312 | Bank of America, N.A. | 8/6/21 | 5,006 | — | |||||||||||||||||
EUR | 523,854 | USD | 619,805 | Bank of America, N.A. | 8/6/21 | 1,653 | — | |||||||||||||||||
EUR | 14,173,617 | USD | 16,815,180 | Bank of America, N.A. | 8/6/21 | — | (762 | ) | ||||||||||||||||
EUR | 3,508,478 | USD | 4,155,266 | Citibank, N.A. | 8/6/21 | 6,905 | — | |||||||||||||||||
EUR | 4,255,336 | USD | 5,014,441 | Deutsche Bank AG | 8/6/21 | 33,741 | — | |||||||||||||||||
EUR | 3,073,732 | USD | 3,627,158 | Goldman Sachs International | 8/6/21 | 19,266 | — | |||||||||||||||||
EUR | 13,655,546 | USD | 16,111,306 | Standard Chartered Bank | 8/6/21 | 88,514 | — | |||||||||||||||||
EUR | 8,040,000 | USD | 9,475,502 | Standard Chartered Bank | 8/6/21 | 62,495 | — | |||||||||||||||||
EUR | 4,000,000 | USD | 4,714,180 | Standard Chartered Bank | 8/6/21 | 31,092 | — | |||||||||||||||||
EUR | 1,674,988 | USD | 1,978,136 | Standard Chartered Bank | 8/6/21 | 8,932 | — | |||||||||||||||||
EUR | 1,512,901 | USD | 1,787,185 | Standard Chartered Bank | 8/6/21 | 7,596 | — | |||||||||||||||||
EUR | 538,804 | USD | 634,473 | Standard Chartered Bank | 8/6/21 | 4,720 | — | |||||||||||||||||
EUR | 696,189 | USD | 822,180 | Standard Chartered Bank | 8/6/21 | 3,721 | — | |||||||||||||||||
EUR | 5,655,000 | USD | 6,709,689 | Standard Chartered Bank | 8/6/21 | — | (1,061 | ) | ||||||||||||||||
EUR | 1,573,879 | USD | 1,870,843 | Standard Chartered Bank | 8/6/21 | — | (3,722 | ) | ||||||||||||||||
EUR | 8,823,352 | USD | 10,475,482 | Standard Chartered Bank | 8/6/21 | — | (8,181 | ) | ||||||||||||||||
EUR | 7,197,860 | USD | 8,494,771 | UBS AG | 8/6/21 | 44,181 | — | |||||||||||||||||
EUR | 2,626,649 | USD | 3,090,305 | UBS AG | 8/6/21 | 25,736 | — | |||||||||||||||||
EUR | 876,362 | USD | 1,031,101 | UBS AG | 8/6/21 | 8,544 | — | |||||||||||||||||
EUR | 759,557 | USD | 894,956 | UBS AG | 8/6/21 | 6,121 | — | |||||||||||||||||
MXN | 155,500,000 | USD | 7,478,568 | Bank of America, N.A. | 8/6/21 | 329,922 | — | |||||||||||||||||
MXN | 155,500,000 | USD | 7,487,355 | Bank of America, N.A. | 8/6/21 | 321,136 | — | |||||||||||||||||
USD | 26,593,885 | EUR | 22,478,898 | Goldman Sachs International | 8/6/21 | — | (73,237 | ) | ||||||||||||||||
USD | 4,725,143 | EUR | 4,000,000 | Standard Chartered Bank | 8/6/21 | — | (20,129 | ) | ||||||||||||||||
USD | 4,134,899 | EUR | 3,508,478 | Standard Chartered Bank | 8/6/21 | — | (27,272 | ) | ||||||||||||||||
USD | 19,491,216 | EUR | 16,500,000 | Standard Chartered Bank | 8/6/21 | — | (83,032 | ) |
17
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 6,646,735 | EUR | 5,612,588 | UBS AG | 8/6/21 | $ | — | $ | (11,579 | ) | ||||||||||||||
USD | 4,477,392 | EUR | 3,800,000 | UBS AG | 8/6/21 | — | (30,617 | ) | ||||||||||||||||
USD | 17,239,695 | EUR | 14,600,000 | UBS AG | 8/6/21 | — | (80,549 | ) | ||||||||||||||||
USD | 15,215,700 | MXN | 311,000,000 | Deutsche Bank AG | 8/6/21 | — | (401,280 | ) | ||||||||||||||||
USD | 24,648,268 | THB | 794,395,377 | Standard Chartered Bank | 8/6/21 | 479,109 | — | |||||||||||||||||
CRC | 1,040,200,000 | USD | 1,693,668 | Citibank, N.A. | 8/9/21 | — | (17,572 | ) | ||||||||||||||||
MYR | 52,560,420 | USD | 12,638,666 | Barclays Bank PLC | 8/9/21 | — | (226,700 | ) | ||||||||||||||||
USD | 1,683,744 | CRC | 1,040,200,000 | Citibank, N.A. | 8/9/21 | 7,648 | — | |||||||||||||||||
USD | 6,843,442 | UAH | 188,879,000 | Standard Chartered Bank | 8/9/21 | — | (184,683 | ) | ||||||||||||||||
USD | 18,829,134 | CNH | 122,692,899 | JPMorgan Chase Bank, N.A. | 8/10/21 | — | (139,321 | ) | ||||||||||||||||
USD | 852,730 | UZS | 9,098,627,000 | Standard Chartered Bank | 8/11/21 | — | (1 | ) | ||||||||||||||||
UZS | 9,098,627,000 | USD | 844,342 | ICBC Standard Bank plc | 8/11/21 | 8,389 | — | |||||||||||||||||
USD | 6,097,339 | UAH | 164,430,000 | Citibank, N.A. | 8/13/21 | — | (14,718 | ) | ||||||||||||||||
USD | 6,089,807 | UAH | 164,440,000 | Citibank, N.A. | 8/13/21 | — | (22,622 | ) | ||||||||||||||||
THB | 436,476,745 | USD | 13,369,173 | Standard Chartered Bank | 8/16/21 | — | (90,344 | ) | ||||||||||||||||
USD | 54,108,972 | THB | 1,766,549,716 | Standard Chartered Bank | 8/16/21 | 365,650 | — | |||||||||||||||||
USD | 23,053,597 | ZAR | 326,302,593 | Citibank, N.A. | 8/16/21 | 817,554 | — | |||||||||||||||||
USD | 8,140,797 | ZAR | 115,505,342 | Citibank, N.A. | 8/16/21 | 269,631 | — | |||||||||||||||||
EGP | 203,940,000 | USD | 12,458,155 | Goldman Sachs International | 8/17/21 | 483,864 | — | |||||||||||||||||
HUF | 950,000,000 | EUR | 2,679,661 | Bank of America, N.A. | 8/18/21 | — | (39,067 | ) | ||||||||||||||||
HUF | 1,586,928,436 | EUR | 4,450,638 | Citibank, N.A. | 8/18/21 | — | (34,879 | ) | ||||||||||||||||
HUF | 950,000,000 | EUR | 2,679,806 | Citibank, N.A. | 8/18/21 | — | (39,239 | ) | ||||||||||||||||
HUF | 2,405,045,431 | EUR | 6,742,461 | Citibank, N.A. | 8/18/21 | — | (49,732 | ) | ||||||||||||||||
HUF | 2,710,050,366 | EUR | 7,597,752 | Citibank, N.A. | 8/18/21 | — | (56,299 | ) | ||||||||||||||||
HUF | 1,300,000,000 | EUR | 3,689,101 | Citibank, N.A. | 8/18/21 | — | (79,799 | ) | ||||||||||||||||
HUF | 2,767,975,767 | EUR | 7,759,548 | Goldman Sachs International | 8/18/21 | — | (56,790 | ) | ||||||||||||||||
HUF | 4,600,000,000 | EUR | 12,930,065 | Standard Chartered Bank | 8/18/21 | — | (135,611 | ) | ||||||||||||||||
USD | 1,921,019 | OMR | 754,000 | BNP Paribas | 8/19/21 | — | (37,085 | ) | ||||||||||||||||
USD | 12,911,740 | UAH | 362,949,000 | Bank of America, N.A. | 8/20/21 | — | (557,234 | ) | ||||||||||||||||
USD | 43,018,585 | OMR | 16,897,700 | BNP Paribas | 8/23/21 | — | (862,665 | ) | ||||||||||||||||
USD | 16,150,754 | ZAR | 231,010,685 | Citibank, N.A. | 8/23/21 | 422,516 | — | |||||||||||||||||
USD | 16,124,704 | ZAR | 231,471,740 | Citibank, N.A. | 8/23/21 | 365,074 | — | |||||||||||||||||
USD | 7,733,688 | ZAR | 110,472,534 | Citibank, N.A. | 8/23/21 | 212,224 | — | |||||||||||||||||
HUF | 4,315,027,085 | EUR | 12,232,370 | Goldman Sachs International | 8/24/21 | — | (253,071 | ) | ||||||||||||||||
HUF | 4,315,027,087 | EUR | 12,235,703 | Goldman Sachs International | 8/24/21 | — | (257,027 | ) | ||||||||||||||||
HUF | 5,173,160,465 | EUR | 14,669,049 | Goldman Sachs International | 8/24/21 | — | (308,166 | ) | ||||||||||||||||
USD | 3,461,430 | ZAR | 49,731,968 | BNP Paribas | 8/24/21 | 75,889 | — | |||||||||||||||||
SEK | 95,100,000 | USD | 11,429,667 | Standard Chartered Bank | 8/25/21 | — | (380,384 | ) | ||||||||||||||||
SEK | 289,350,858 | USD | 35,032,037 | Standard Chartered Bank | 8/25/21 | — | (1,413,537 | ) | ||||||||||||||||
USD | 44,125,277 | SEK | 384,450,858 | Standard Chartered Bank | 8/25/21 | — | (542,506 | ) | ||||||||||||||||
USD | 5,615,895 | UAH | 158,986,000 | Bank of America, N.A. | 8/25/21 | — | (277,099 | ) | ||||||||||||||||
USD | 26,816,272 | OMR | 10,530,750 | BNP Paribas | 8/26/21 | — | (530,169 | ) | ||||||||||||||||
EUR | 1,669,091 | HUF | 600,000,000 | Standard Chartered Bank | 8/30/21 | — | (2,110 | ) | ||||||||||||||||
EUR | 1,568,096 | HUF | 564,000,000 | Standard Chartered Bank | 8/30/21 | — | (2,991 | ) | ||||||||||||||||
EUR | 3,196,025 | HUF | 1,150,000,000 | Standard Chartered Bank | 8/30/21 | — | (7,683 | ) | ||||||||||||||||
HUF | 3,775,650,000 | EUR | 10,743,156 | Standard Chartered Bank | 8/30/21 | — | (271,552 | ) | ||||||||||||||||
PLN | 55,996,897 | EUR | 12,505,432 | Citibank, N.A. | 9/8/21 | — | (307,970 | ) | ||||||||||||||||
PLN | 62,256,103 | EUR | 13,907,295 | Citibank, N.A. | 9/8/21 | — | (347,184 | ) | ||||||||||||||||
USD | 3,007,751 | ZAR | 42,744,405 | Citibank, N.A. | 9/8/21 | 103,464 | — |
18
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 5,262,564 | ZAR | 74,842,309 | Standard Chartered Bank | 9/8/21 | $ | 177,370 | $ | — | |||||||||||||||
GEL | 2,225,648 | USD | 688,970 | ICBC Standard Bank plc | 9/9/21 | 20,276 | — | |||||||||||||||||
USD | 7,861,882 | UAH | 218,010,000 | BNP Paribas | 9/9/21 | — | (190,109 | ) | ||||||||||||||||
USD | 7,861,622 | UAH | 218,160,000 | BNP Paribas | 9/9/21 | — | (195,910 | ) | ||||||||||||||||
USD | 7,302,267 | UAH | 202,930,000 | Goldman Sachs International | 9/9/21 | — | (192,759 | ) | ||||||||||||||||
EUR | 1,990,500 | PLN | 9,000,000 | JPMorgan Chase Bank, N.A. | 9/10/21 | 26,536 | — | |||||||||||||||||
EUR | 2,470,908 | PLN | 11,350,000 | Standard Chartered Bank | 9/10/21 | — | (13,231 | ) | ||||||||||||||||
EUR | 2,469,828 | PLN | 11,350,000 | Standard Chartered Bank | 9/10/21 | — | (14,512 | ) | ||||||||||||||||
PLN | 11,300,000 | EUR | 2,481,622 | Citibank, N.A. | 9/10/21 | — | (12,468 | ) | ||||||||||||||||
PLN | 15,600,000 | EUR | 3,433,969 | Citibank, N.A. | 9/10/21 | — | (26,726 | ) | ||||||||||||||||
PLN | 16,000,000 | EUR | 3,530,653 | Citibank, N.A. | 9/10/21 | — | (37,661 | ) | ||||||||||||||||
PLN | 41,781,785 | EUR | 9,335,135 | Citibank, N.A. | 9/10/21 | — | (235,248 | ) | ||||||||||||||||
PLN | 45,675,527 | EUR | 10,208,936 | Citibank, N.A. | 9/10/21 | — | (261,728 | ) | ||||||||||||||||
PLN | 28,925,852 | EUR | 6,468,231 | Goldman Sachs International | 9/10/21 | — | (169,328 | ) | ||||||||||||||||
PLN | 32,139,836 | EUR | 7,190,160 | Goldman Sachs International | 9/10/21 | — | (191,985 | ) | ||||||||||||||||
USD | 12,703,140 | THB | 397,144,621 | Standard Chartered Bank | 9/10/21 | 622,476 | — | |||||||||||||||||
UYU | 117,298,776 | USD | 2,659,173 | HSBC Bank USA, N.A. | 9/10/21 | 12,300 | — | |||||||||||||||||
ZAR | 151,700,000 | USD | 10,905,593 | Citibank, N.A. | 9/13/21 | — | (604,842 | ) | ||||||||||||||||
ZAR | 11,300,000 | USD | 771,688 | HSBC Bank USA, N.A. | 9/13/21 | — | (4,394 | ) | ||||||||||||||||
CAD | 10,284,151 | USD | 8,469,230 | Bank of America, N.A. | 9/15/21 | — | (226,244 | ) | ||||||||||||||||
USD | 3,687,755 | ZAR | 51,293,286 | Standard Chartered Bank | 9/15/21 | 205,720 | — | |||||||||||||||||
USD | 377,590 | THB | 11,768,341 | Standard Chartered Bank | 9/16/21 | 19,619 | — | |||||||||||||||||
USD | 7,185,025 | UAH | 199,600,000 | Bank of America, N.A. | 9/16/21 | — | (174,550 | ) | ||||||||||||||||
USD | 7,423,435 | UAH | 207,485,000 | JPMorgan Chase Bank, N.A. | 9/20/21 | — | (219,492 | ) | ||||||||||||||||
EGP | 71,100,000 | USD | 4,415,875 | Citibank, N.A. | 9/23/21 | 56,810 | — | |||||||||||||||||
USD | 4,361,014 | ZAR | 62,898,521 | BNP Paribas | 9/23/21 | 95,511 | — | |||||||||||||||||
USD | 4,136,528 | ZAR | 59,678,362 | HSBC Bank USA, N.A. | 9/23/21 | 89,402 | — | |||||||||||||||||
EGP | 229,850,000 | USD | 14,304,384 | Citibank, N.A. | 9/28/21 | 137,928 | — | |||||||||||||||||
EGP | 208,022,500 | USD | 12,968,984 | Citibank, N.A. | 9/28/21 | 101,827 | — | |||||||||||||||||
EGP | 167,600,000 | USD | 10,445,622 | Credit Agricole Corporate and Investment Bank | 9/28/21 | 85,296 | — | |||||||||||||||||
EGP | 275,820,000 | USD | 17,195,761 | HSBC Bank USA, N.A. | 9/28/21 | 135,014 | — | |||||||||||||||||
EUR | 3,177,201 | HUF | 1,120,000,000 | Bank of America, N.A. | 9/30/21 | 73,941 | — | |||||||||||||||||
HUF | 1,600,000,000 | EUR | 4,497,854 | Deutsche Bank AG | 9/30/21 | — | (56,932 | ) | ||||||||||||||||
HUF | 6,472,540,630 | EUR | 18,372,554 | Goldman Sachs International | 9/30/21 | — | (440,772 | ) | ||||||||||||||||
HUF | 6,041,040,000 | EUR | 17,198,338 | Standard Chartered Bank | 9/30/21 | — | (471,498 | ) | ||||||||||||||||
USD | 5,518,840 | ZAR | 79,571,149 | BNP Paribas | 9/30/21 | 127,479 | — | |||||||||||||||||
USD | 10,304,461 | ZAR | 149,656,315 | Goldman Sachs International | 10/1/21 | 165,753 | — | |||||||||||||||||
MYR | 116,764,000 | USD | 27,984,182 | Credit Agricole Corporate and Investment Bank | 10/4/21 | — | (487,656 | ) | ||||||||||||||||
USD | 13,315,120 | ZAR | 193,325,896 | Citibank, N.A. | 10/4/21 | 222,943 | — | |||||||||||||||||
USD | 12,647,947 | ZAR | 189,326,938 | Standard Chartered Bank | 10/4/21 | — | (173,418 | ) | ||||||||||||||||
USD | 15,473,962 | ZAR | 231,673,062 | Standard Chartered Bank | 10/4/21 | — | (215,115 | ) | ||||||||||||||||
MYR | 110,675,580 | USD | 26,528,183 | Credit Agricole Corporate and Investment Bank | 10/6/21 | — | (467,043 | ) | ||||||||||||||||
USD | 14,120,892 | ZAR | 204,836,149 | Bank of America, N.A. | 10/7/21 | 254,504 | — | |||||||||||||||||
USD | 9,970,085 | ZAR | 144,836,925 | Bank of America, N.A. | 10/7/21 | 165,347 | — | |||||||||||||||||
USD | 9,969,982 | ZAR | 144,836,926 | Standard Chartered Bank | 10/7/21 | 165,244 | — | |||||||||||||||||
USD | 24,646,603 | THB | 794,360,002 | Standard Chartered Bank | 10/8/21 | 485,766 | — | |||||||||||||||||
KES | 764,700,000 | USD | 6,460,252 | Standard Chartered Bank | 10/12/21 | 477,817 | — | |||||||||||||||||
KES | 509,790,000 | USD | 4,306,750 | Standard Chartered Bank | 10/12/21 | 318,538 | — | |||||||||||||||||
USD | 6,079,569 | OMR | 2,390,000 | Standard Chartered Bank | 10/12/21 | — | (123,787 | ) |
19
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
UYU | 46,940,262 | USD | 1,050,705 | HSBC Bank USA, N.A. | 10/13/21 | $ | 13,338 | $ | — | |||||||||||||||
USD | 13,340,666 | THB | 436,476,746 | Standard Chartered Bank | 10/18/21 | 65,523 | — | |||||||||||||||||
USD | 164,859 | THB | 5,393,823 | Standard Chartered Bank | 10/18/21 | 810 | — | |||||||||||||||||
EGP | 60,356,250 | USD | 3,671,305 | Bank of America, N.A. | 10/19/21 | 101,008 | — | |||||||||||||||||
EGP | 488,721,000 | USD | 29,790,978 | Citibank, N.A. | 10/19/21 | 754,466 | — | |||||||||||||||||
EGP | 207,425,000 | USD | 12,897,479 | UBS AG | 10/19/21 | 66,745 | — | |||||||||||||||||
USD | 39,927,020 | CNH | 260,000,000 | Bank of America, N.A. | 10/20/21 | — | (35,969 | ) | ||||||||||||||||
USD | 53,594,831 | CNH | 349,000,000 | Bank of America, N.A. | 10/20/21 | — | (47,795 | ) | ||||||||||||||||
GEL | 38,944,800 | USD | 11,242,725 | Goldman Sachs International | 10/21/21 | 1,041,254 | — | |||||||||||||||||
HUF | 861,476,922 | EUR | 2,386,925 | Citibank, N.A. | 10/25/21 | 7,405 | — | |||||||||||||||||
HUF | 861,476,922 | EUR | 2,385,243 | Goldman Sachs International | 10/25/21 | 9,404 | — | |||||||||||||||||
HUF | 861,476,922 | EUR | 2,396,843 | Goldman Sachs International | 10/25/21 | — | (4,380 | ) | ||||||||||||||||
HUF | 861,476,921 | EUR | 2,397,687 | Goldman Sachs International | 10/25/21 | — | (5,382 | ) | ||||||||||||||||
HUF | 861,476,922 | EUR | 2,398,471 | Goldman Sachs International | 10/25/21 | — | (6,314 | ) | ||||||||||||||||
HUF | 814,940,492 | EUR | 2,272,992 | Standard Chartered Bank | 10/25/21 | — | (10,827 | ) | ||||||||||||||||
EGP | 426,970,000 | USD | 26,034,756 | Goldman Sachs International | 10/28/21 | 588,803 | — | |||||||||||||||||
USD | 18,442,153 | OMR | 7,245,000 | Bank of America, N.A. | 10/28/21 | — | (358,156 | ) | ||||||||||||||||
USD | 35,659,705 | OMR | 14,000,000 | Credit Agricole Corporate and Investment Bank | 10/28/21 | — | (669,396 | ) | ||||||||||||||||
HUF | 3,775,640,000 | EUR | 10,422,686 | Standard Chartered Bank | 10/29/21 | 75,986 | — | |||||||||||||||||
HUF | 2,669,776,568 | EUR | 7,419,403 | Standard Chartered Bank | 10/29/21 | — | (5,045 | ) | ||||||||||||||||
HUF | 2,349,398,331 | EUR | 6,537,014 | Standard Chartered Bank | 10/29/21 | — | (13,891 | ) | ||||||||||||||||
USD | 47,974,561 | OMR | 18,858,800 | Bank of America, N.A. | 11/4/21 | — | (957,874 | ) | ||||||||||||||||
EGP | 244,463,000 | USD | 14,915,375 | Goldman Sachs International | 11/8/21 | 281,162 | — | |||||||||||||||||
UZS | 9,352,774,000 | USD | 844,342 | ICBC Standard Bank plc | 11/12/21 | 9,428 | — | |||||||||||||||||
EGP | 314,980,000 | USD | 19,182,704 | Bank of America, N.A. | 11/22/21 | 314,382 | — | |||||||||||||||||
EGP | 100,940,000 | USD | 6,138,036 | Citibank, N.A. | 12/1/21 | 93,114 | — | |||||||||||||||||
EGP | 100,717,500 | USD | 6,116,695 | Goldman Sachs International | 12/2/21 | 98,843 | — | |||||||||||||||||
GEL | 16,061,500 | USD | 4,608,355 | Goldman Sachs International | 12/7/21 | 401,025 | — | |||||||||||||||||
UYU | 47,863,645 | USD | 1,055,335 | HSBC Bank USA, N.A. | 1/11/22 | 10,938 | — | |||||||||||||||||
UYU | 227,619,000 | USD | 5,078,514 | Citibank, N.A. | 1/24/22 | — | (21,230 | ) | ||||||||||||||||
USD | 40,155,317 | AED | 148,012,500 | BNP Paribas | 1/31/22 | — | (139,746 | ) | ||||||||||||||||
USD | 43,217,150 | AED | 159,291,500 | BNP Paribas | 2/3/22 | — | (148,480 | ) | ||||||||||||||||
KES | 643,630,000 | USD | 5,449,873 | Standard Chartered Bank | 2/8/22 | 262,571 | — | |||||||||||||||||
UYU | 117,299,000 | USD | 2,594,307 | HSBC Bank USA, N.A. | 2/9/22 | 3,548 | — | |||||||||||||||||
USD | 42,719,148 | AED | 157,394,000 | BNP Paribas | 2/22/22 | — | (129,333 | ) | ||||||||||||||||
USD | 19,404,125 | OMR | 7,620,000 | Standard Chartered Bank | 2/22/22 | — | (339,238 | ) | ||||||||||||||||
USD | 38,900,204 | OMR | 15,280,000 | Standard Chartered Bank | 2/22/22 | — | (690,163 | ) | ||||||||||||||||
KES | 705,380,000 | USD | 6,044,387 | ICBC Standard Bank plc | 2/23/22 | 197,882 | — | |||||||||||||||||
KES | 352,994,000 | USD | 3,022,209 | ICBC Standard Bank plc | 2/23/22 | 101,616 | — | |||||||||||||||||
UGX | 68,235,820,000 | USD | 17,116,380 | Standard Chartered Bank | 2/28/22 | 1,216,077 | — | |||||||||||||||||
KES | 639,150,000 | USD | 5,448,849 | Standard Chartered Bank | 3/2/22 | 199,643 | — | |||||||||||||||||
KES | 637,900,000 | USD | 5,449,808 | Standard Chartered Bank | 3/4/22 | 185,453 | — | |||||||||||||||||
KES | 645,640,000 | USD | 5,531,055 | Standard Chartered Bank | 3/8/22 | 168,165 | — | |||||||||||||||||
UGX | 17,964,400,000 | USD | 4,519,346 | Standard Chartered Bank | 3/14/22 | 290,391 | — | |||||||||||||||||
UGX | 9,038,710,000 | USD | 2,272,746 | Standard Chartered Bank | 3/14/22 | 147,252 | — | |||||||||||||||||
USD | 12,633,111 | BHD | 4,816,500 | Bank of America, N.A. | 3/14/22 | — | (81,167 | ) | ||||||||||||||||
USD | 9,612,169 | OMR | 4,139,000 | BNP Paribas | 3/14/22 | — | (1,108,953 | ) | ||||||||||||||||
USD | 25,194,536 | SAR | 95,903,000 | Standard Chartered Bank | 3/14/22 | — | (343,664 | ) | ||||||||||||||||
USD | 60,660,554 | SAR | 230,838,000 | Standard Chartered Bank | 3/14/22 | — | (809,755 | ) | ||||||||||||||||
UGX | 29,524,990,000 | USD | 7,427,670 | ICBC Standard Bank plc | 3/16/22 | 473,375 | — |
20
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 17,011,383 | BHD | 6,518,000 | BNP Paribas | 3/16/22 | $ | — | $ | (193,759 | ) | ||||||||||||||
USD | 25,249,372 | BHD | 9,636,500 | Standard Chartered Bank | 3/16/22 | — | (187,473 | ) | ||||||||||||||||
USD | 12,624,854 | BHD | 4,866,250 | Standard Chartered Bank | 3/16/22 | — | (220,271 | ) | ||||||||||||||||
USD | 25,617,465 | SAR | 97,103,000 | BNP Paribas | 3/24/22 | — | (238,738 | ) | ||||||||||||||||
USD | 38,426,649 | SAR | 145,637,000 | HSBC Bank USA, N.A. | 3/24/22 | — | (352,996 | ) | ||||||||||||||||
USD | 45,976,495 | SAR | 174,090,000 | Standard Chartered Bank | 3/28/22 | — | (378,392 | ) | ||||||||||||||||
KES | 315,200,000 | USD | 2,696,322 | Standard Chartered Bank | 4/1/22 | 73,156 | — | |||||||||||||||||
UGX | 34,825,000,000 | USD | 9,128,440 | Standard Chartered Bank | 5/10/22 | 63,400 | — | |||||||||||||||||
KES | 235,200,000 | USD | 2,078,106 | Standard Chartered Bank | 5/11/22 | — | (28,280 | ) | ||||||||||||||||
KES | 257,553,000 | USD | 2,264,202 | ICBC Standard Bank plc | 5/18/22 | — | (23,453 | ) | ||||||||||||||||
KES | 460,000,000 | USD | 4,031,551 | Standard Chartered Bank | 5/20/22 | — | (31,463 | ) | ||||||||||||||||
KES | 467,765,000 | USD | 4,087,069 | Standard Chartered Bank | 6/6/22 | — | (36,488 | ) | ||||||||||||||||
KES | 231,620,000 | USD | 2,026,422 | Goldman Sachs International | 6/8/22 | — | (21,711 | ) | ||||||||||||||||
KES | 467,340,000 | USD | 4,086,926 | Standard Chartered Bank | 6/8/22 | — | (42,018 | ) | ||||||||||||||||
UGX | 35,147,800,000 | USD | 9,298,360 | Standard Chartered Bank | 6/13/22 | — | (111,957 | ) | ||||||||||||||||
UGX | 36,563,109,603 | USD | 9,683,027 | ICBC Standard Bank plc | 6/21/22 | — | (148,630 | ) | ||||||||||||||||
UGX | 17,415,100,000 | USD | 4,597,439 | Standard Chartered Bank | 6/23/22 | — | (58,785 | ) | ||||||||||||||||
UGX | 18,421,960,000 | USD | 4,841,514 | JPMorgan Chase Bank, N.A. | 7/5/22 | — | (56,907 | ) | ||||||||||||||||
UGX | 35,766,460,000 | USD | 9,399,858 | Standard Chartered Bank | 7/5/22 | — | (110,486 | ) | ||||||||||||||||
UGX | 57,448,570,397 | USD | 15,078,365 | Goldman Sachs International | 7/6/22 | — | (161,909 | ) | ||||||||||||||||
OMR | 7,500,000 | USD | 18,796,992 | BNP Paribas | 8/29/22 | 580,911 | — | |||||||||||||||||
USD | 23,292,293 | OMR | 9,293,625 | BNP Paribas | 8/29/22 | — | (719,836 | ) | ||||||||||||||||
USD | 33,420,810 | AED | 123,212,500 | Standard Chartered Bank | 12/12/22 | — | (105,152 | ) | ||||||||||||||||
USD | 33,420,899 | AED | 123,220,500 | Standard Chartered Bank | 12/12/22 | — | (107,239 | ) | ||||||||||||||||
USD | 29,801,366 | OMR | 11,800,000 | BNP Paribas | 12/14/22 | — | (625,464 | ) | ||||||||||||||||
USD | 58,402,155 | AED | 215,000,000 | BNP Paribas | 3/1/23 | — | (85,565 | ) | ||||||||||||||||
USD | 81,979,737 | AED | 301,839,143 | BNP Paribas | 3/6/23 | — | (130,148 | ) | ||||||||||||||||
USD | 30,000,000 | AED | 110,456,400 | BNP Paribas | 3/13/23 | — | (47,053 | ) | ||||||||||||||||
USD | 109,556,452 | AED | 403,354,537 | BNP Paribas | 3/13/23 | — | (166,618 | ) | ||||||||||||||||
USD | 12,664,006 | SAR | 47,604,000 | Standard Chartered Bank | 3/13/23 | 11,388 | — | |||||||||||||||||
USD | 146,927,878 | AED | 540,959,063 | Standard Chartered Bank | 3/15/23 | — | (226,391 | ) | ||||||||||||||||
USD | 20,104,768 | BHD | 7,651,000 | Standard Chartered Bank | 3/15/23 | 35,323 | — | |||||||||||||||||
USD | 22,725,930 | OMR | 8,900,000 | Standard Chartered Bank | 3/15/23 | — | (184,090 | ) | ||||||||||||||||
USD | 9,511,645 | AED | 35,000,000 | BNP Paribas | 6/21/23 | — | (6,498 | ) | ||||||||||||||||
USD | 9,036,785 | SAR | 34,000,000 | Standard Chartered Bank | 7/13/23 | 6,137 | — | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 17,300,557 | $ | (24,315,760 | ) | ||||||||||||||||||||
|
|
|
|
Non-deliverable Bond Forward Contracts*
Settlement Date | Notional | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |||||||||||
8/11/21 | COP | 56,853,500 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | $ | 14,660,521 | $ | (156,061 | ) | |||||||
8/12/21 | COP | 68,623,300 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 17,695,539 | (220,097 | ) | |||||||||
8/12/21 | COP | 63,301,700 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 16,323,285 | (221,458 | ) |
21
Settlement Date | Notional | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |||||||||||
8/13/21 | COP | 25,772,500 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | $ | 6,645,823 | $ | (28,929 | ) | |||||||
8/16/21 | COP | 69,263,340 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 17,811,538 | 49,045 | ||||||||||
8/16/21 | COP | 69,263,340 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 17,860,583 | (33,274 | ) | |||||||||
8/16/21 | COP | 25,884,700 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 6,674,755 | (35,236 | ) | |||||||||
8/17/21 | COP | 63,759,700 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 16,441,387 | (129,196 | ) | |||||||||
8/20/21 | COP | 13,831,930 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 3,566,769 | (9,580 | ) | |||||||||
8/23/21 | COP | 35,547,800 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 9,166,529 | (74,121 | ) | |||||||||
8/25/21 | COP | 21,465,880 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 5,535,297 | 85,321 | ||||||||||
8/26/21 | COP | 29,239,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 7,539,866 | (14,929 | ) | |||||||||
8/27/21 | COP | 20,311,040 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | 5,237,504 | 67,763 | ||||||||||
8/30/21 | COP | 83,774,600 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 21,602,527 | 200,601 | ||||||||||
8/31/21 | COP | 100,529,300 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 25,922,976 | 273,798 | ||||||||||
9/3/21 | COP | 69,263,320 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 17,860,578 | 143,260 | ||||||||||
9/3/21 | COP | 67,019,600 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 17,282,001 | 173,356 | ||||||||||
9/14/21 | COP | 50,103,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 12,919,959 | 82,998 | ||||||||||
9/15/21 | COP | 69,263,330 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 17,860,580 | 265,765 | ||||||||||
9/17/21 | COP | 40,075,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 10,333,961 | 87,839 | ||||||||||
9/22/21 | COP | 66,790,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 17,222,795 | 133,907 | ||||||||||
9/24/21 | COP | 57,441,200 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 14,812,068 | 124,599 | ||||||||||
9/27/21 | COP | 66,792,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 17,223,337 | 101,394 | ||||||||||
9/29/21 | COP | 66,792,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 17,223,337 | 69,134 | ||||||||||
9/30/21 | COP | 33,396,060 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 8,611,671 | 63,675 | ||||||||||
10/5/21 | COP | 184,613,440 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 47,605,322 | 268,922 | ||||||||||
|
| |||||||||||||||
$ | 1,268,496 | |||||||||||||||
|
|
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
22
Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||
Commodity Futures |
| |||||||||||||||||
Brent Crude Oil | 216 | Long | 8/31/21 | $ | 16,288,560 | $ | 303,109 | |||||||||||
Equity Futures | ||||||||||||||||||
E-mini S&P 500 Index | 84 | Long | 9/17/21 | 18,435,900 | 742,139 | |||||||||||||
SPI 200 Index | 182 | Long | 9/16/21 | 24,428,714 | 73,912 | |||||||||||||
SGX CNX Nifty Index | (522 | ) | Short | 8/26/21 | (16,507,306 | ) | 97,585 | |||||||||||
Interest Rate Futures | ||||||||||||||||||
Euro-Bund | (196 | ) | Short | 9/8/21 | (41,053,390 | ) | (1,167,347 | ) | ||||||||||
Euro-Buxl | (471 | ) | Short | 9/8/21 | (120,147,902 | ) | (8,392,440 | ) | ||||||||||
U.S. 5-Year Treasury Note | (515 | ) | Short | 9/30/21 | (64,089,336 | ) | (313,415 | ) | ||||||||||
U.S. 10-Year Treasury Note | (1,290 | ) | Short | 9/21/21 | (173,444,531 | ) | (2,872,335 | ) | ||||||||||
U.S. Long Treasury Bond | (123 | ) | Short | 9/21/21 | (20,260,406 | ) | (1,019,054 | ) | ||||||||||
U.S. Ultra-Long Treasury Bond | (11 | ) | Short | 9/21/21 | (2,194,844 | ) | (113,760 | ) | ||||||||||
|
| |||||||||||||||||
$ | (12,661,606 | ) | ||||||||||||||||
|
|
Centrally Cleared Inflation Swaps
Notional Amount (000’s omitted) | Portfolio Pays/Receives Reference Index | Reference Index | Portfolio Pays/Receives | Annual Rate | Termination Date | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||
EUR | 56,810 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 0.62% (pays upon termination) | 3/15/28 | $ | (5,063,538 | ) | |||||||||||||
EUR | 4,350 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.10% (pays upon termination) | 3/12/50 | (1,575,112 | ) | ||||||||||||||
USD | 39,940 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.29% (pays upon termination) | 1/26/26 | (1,700,621 | ) | ||||||||||||||
USD | 39,940 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.29% (pays upon termination) | 1/26/26 | (1,700,621 | ) | ||||||||||||||
USD | 39,960 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.26% (pays upon termination) | 1/27/26 | (1,771,842 | ) | ||||||||||||||
USD | 39,940 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.26% (pays upon termination) | 1/27/26 | (1,765,620 | ) | ||||||||||||||
USD | 22,375 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.28% (pays upon termination) | 1/28/26 | (974,107 | ) | ||||||||||||||
USD | 43,660 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 1.00% (pays upon termination) | 3/12/27 | (5,717,893 | ) | ||||||||||||||
USD | 14,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.23% (pays upon termination) | 1/17/28 | 562,691 | |||||||||||||||
USD | 14,682 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.35% (pays upon termination) | 2/6/28 | 377,061 | |||||||||||||||
USD | 39,940 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.33% (pays upon termination) | 1/26/31 | 1,818,620 | |||||||||||||||
USD | 39,940 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.33% (pays upon termination) | 1/26/31 | 1,813,029 |
23
Notional Amount (000’s omitted) | Portfolio Pays/Receives Reference Index | Reference Index | Portfolio Pays/Receives | Annual Rate | Termination Date | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||
USD | 39,940 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.31% (pays upon termination) | 1/27/31 | $ | 1,907,324 | ||||||||||||
USD | 39,960 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.31% (pays upon termination) | 1/27/31 | 1,907,163 | |||||||||||||
USD | 22,375 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.32% (pays upon termination) | 1/28/31 | 1,058,902 | |||||||||||||
USD | 5,824 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.42% (pays upon termination) | 6/8/48 | (40,992 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (10,865,556 | ) | ||||||||||||||||||
|
|
CPI-U (NSA) | - | Consumer Price Index All Urban Non-Seasonally Adjusted | ||
HICP | - | Harmonised Indices of Consumer Prices |
Inflation Swaps
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives | Annual Rate | Termination Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||
Bank of America, N.A. | $ | 87,363 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.97% (pays upon termination) | 6/23/27 | $ | 6,177,555 | |||||||||||
|
| |||||||||||||||||||
$ | 6,177,555 | |||||||||||||||||||
|
|
CPI-U (NSA) | - | Consumer Price Index All Urban Non-Seasonally Adjusted |
Centrally Cleared Interest Rate Swaps
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 | 354,128 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 2.77% (pays upon termination) | 1/3/22 | $ | (819,658 | ) | $ | — | $ | (819,658 | ) | |||||||||||
BRL | 463,519 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.42% (pays upon termination) | 1/3/22 | 467,422 | — | 467,422 | ||||||||||||||||
BRL | 1,544,575 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.08% (pays upon termination) | 1/3/22 | (2,673,902 | ) | — | (2,673,902 | ) | ||||||||||||||
BRL | 2,244,640 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 2.92% (pays upon termination) | 1/3/22 | (3,966,806 | ) | — | (3,966,806 | ) | ||||||||||||||
BRL | 3,674,499 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.44% (pays upon termination) | 1/3/22 | 3,504,576 | — | 3,504,576 | ||||||||||||||||
COP | 86,746,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.84% (pays quarterly) | 5/5/25 | 497,435 | — | 497,435 | ||||||||||||||||
COP | 15,180,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.85% (pays quarterly) | 5/6/25 | 85,649 | — | 85,649 | ||||||||||||||||
COP | 100,029,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.70% (pays quarterly) | 5/7/25 | 717,690 | — | 717,690 | ||||||||||||||||
COP | 11,171,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.49% (pays quarterly) | 5/13/25 | 104,356 | — | 104,356 | ||||||||||||||||
COP | 11,171,850 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.54% (pays quarterly) | 5/14/25 | 99,241 | — | 99,241 | ||||||||||||||||
COP | 40,662,300 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.19% (pays quarterly) | 6/4/25 | (523,997 | ) | — | (523,997 | ) | ||||||||||||||
COP | 61,940,900 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.26% (pays quarterly) | 6/5/25 | (762,962 | ) | — | (762,962 | ) |
24
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 | 85,106,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.34% (pays quarterly) | 6/8/25 | $ | (986,010 | ) | $ | — | $ | (986,010 | ) | |||||||||||||
COP | 41,729,700 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.44% (pays quarterly) | 6/9/25 | (442,782 | ) | — | (442,782 | ) | ||||||||||||||||
COP | 6,192,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.21% (pays quarterly) | 11/26/25 | 29,756 | — | 29,756 | ||||||||||||||||||
COP | 6,351,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.02% (pays quarterly) | 11/26/25 | 43,554 | — | 43,554 | ||||||||||||||||||
COP | 7,859,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.73% (pays quarterly) | 11/26/25 | (6,797 | ) | — | (6,797 | ) | ||||||||||||||||
COP | 13,831,930 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.62% (pays quarterly) | 11/26/25 | 5,217 | — | 5,217 | ||||||||||||||||||
COP | 14,659,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 140,909 | — | 140,909 | ||||||||||||||||||
COP | 14,659,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.89% (pays quarterly) | 11/26/25 | 120,325 | — | 120,325 | ||||||||||||||||||
COP | 14,924,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.05% (pays quarterly) | 11/26/25 | 96,288 | — | 96,288 | ||||||||||||||||||
COP | 15,877,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.55% (pays quarterly) | 11/26/25 | 17,993 | — | 17,993 | ||||||||||||||||||
COP | 17,793,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.20% (pays quarterly) | 11/26/25 | 86,465 | — | 86,465 | ||||||||||||||||||
COP | 20,326,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.11% (pays quarterly) | 11/26/25 | 119,632 | — | 119,632 | ||||||||||||||||||
COP | 25,880,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.25% (pays quarterly) | 11/26/25 | 111,790 | — | 111,790 | ||||||||||||||||||
COP | 27,035,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.53% (pays quarterly) | 11/26/25 | 35,310 | — | 35,310 | ||||||||||||||||||
COP | 28,292,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.50% (pays quarterly) | 11/26/25 | 47,342 | — | 47,342 | ||||||||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.00% (pays quarterly) | 11/26/25 | 205,816 | — | 205,816 | ||||||||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.07% (pays quarterly) | 11/26/25 | 183,648 | — | 183,648 | ||||||||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.20% (pays quarterly) | 11/26/25 | 142,480 | — | 142,480 | ||||||||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.28% (pays quarterly) | 11/26/25 | 117,145 | — | 117,145 | ||||||||||||||||||
COP | 29,849,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.12% (pays quarterly) | 11/26/25 | 170,362 | — | 170,362 | ||||||||||||||||||
COP | 31,578,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.16% (pays quarterly) | 11/26/25 | 167,098 | — | 167,098 | ||||||||||||||||||
COP | 33,040,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.78% (pays quarterly) | 11/26/25 | (46,420 | ) | — | (46,420 | ) | ||||||||||||||||
COP | 33,392,440 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.81% (pays quarterly) | 11/26/25 | (8,860 | ) | — | (8,860 | ) | ||||||||||||||||
COP | 38,732,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.14% (pays quarterly) | 11/26/25 | 215,411 | — | 215,411 | ||||||||||||||||||
COP | 40,070,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.92% (pays quarterly) | 11/26/25 | (71,251 | ) | — | (71,251 | ) |
25
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 | 57,435,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.86% (pays quarterly) | 11/26/25 | $ | (56,576 | ) | $ | — | $ | (56,576 | ) | |||||||||||||
COP | 63,445,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.90% (pays quarterly) | 11/26/25 | (90,288 | ) | — | (90,288 | ) | ||||||||||||||||
COP | 65,915,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 217,937 | — | 217,937 | ||||||||||||||||||
COP | 66,784,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.73% (pays quarterly) | 11/26/25 | 34,677 | — | 34,677 | ||||||||||||||||||
COP | 66,784,856 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.78% (pays quarterly) | 11/26/25 | (4,831 | ) | — | (4,831 | ) | ||||||||||||||||
COP | 73,300,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.16% (pays quarterly) | 11/26/25 | 387,868 | — | 387,868 | ||||||||||||||||||
COP | 184,593,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.76% (pays quarterly) | 11/26/25 | 53,046 | — | 53,046 | ||||||||||||||||||
COP | 64,177,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.38% (pays quarterly) | 3/30/26 | 313,031 | — | 313,031 | ||||||||||||||||||
COP | 129,615,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.38% (pays quarterly) | 3/30/26 | 635,137 | — | 635,137 | ||||||||||||||||||
COP | 36,071,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.48% (pays quarterly) | 3/31/26 | 134,391 | — | 134,391 | ||||||||||||||||||
COP | 38,614,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.56% (pays quarterly) | 4/6/26 | 114,942 | — | 114,942 | ||||||||||||||||||
COP | 8,172,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 51,157 | — | 51,157 | ||||||||||||||||||
COP | 11,441,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 73,368 | — | 73,368 | ||||||||||||||||||
COP | 12,790,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 81,045 | — | 81,045 | ||||||||||||||||||
EUR | 10,000 | Receives | 6-month EURIBOR (pays semi-annually) | (0.47)% (pays annually) | 5/4/23 | (7,397 | ) | (45 | ) | (7,442 | ) | |||||||||||||||
EUR | 1,700 | Receives | 6-month EURIBOR (pays semi-annually) | (0.48)% (pays annually) | 5/6/23 | (629 | ) | 13 | (616 | ) | ||||||||||||||||
EUR | 1,700 | Receives | 6-month EURIBOR (pays semi-annually) | (0.48)% (pays annually) | 5/10/23 | (670 | ) | — | (670 | ) | ||||||||||||||||
EUR | 1,850 | Receives | 6-month EURIBOR (pays semi-annually) | (0.47)% (pays annually) | 5/14/23 | (1,248 | ) | — | (1,248 | ) | ||||||||||||||||
EUR | 4,750 | Receives | 6-month EURIBOR (pays semi-annually) | (0.46)% (pays annually) | 5/25/23 | (3,982 | ) | 18 | (3,964 | ) | ||||||||||||||||
EUR | 5,493 | Receives | 6-month EURIBOR (pays semi-annually) | 0.11% (pays annually) | 7/23/29 | (163,404 | ) | 49,558 | (113,846 | ) | ||||||||||||||||
EUR | 9,682 | Receives | 6-month EURIBOR (pays semi-annually) | 0.11% (pays annually) | 7/23/29 | (287,988 | ) | 31,149 | (256,839 | ) | ||||||||||||||||
EUR | 10,400 | Receives | 6-month EURIBOR (pays semi-annually) | (0.08)% (pays annually) | 8/6/29 | (136,735 | ) | (16 | ) | (136,751 | ) | |||||||||||||||
EUR | 5,660 | Receives | 6-month EURIBOR (pays semi-annually) | (0.16)% (pays annually) | 9/12/29 | (17,951 | ) | 8 | (17,943 | ) | ||||||||||||||||
EUR | 872 | Receives | 6-month EURIBOR (pays semi-annually) | 0.39% (pays annually) | 2/13/50 | (38,900 | ) | — | (38,900 | ) | ||||||||||||||||
EUR | 3,970 | Receives | 6-month EURIBOR (pays semi-annually) | 0.35% (pays annually) | 2/18/50 | (131,127 | ) | (2 | ) | (131,129 | ) | |||||||||||||||
EUR | 30,400 | Receives | 6-month EURIBOR (pays semi-annually) | 0.26% (pays annually) | 2/25/50 | (40,949 | ) | 8 | (40,941 | ) | ||||||||||||||||
EUR | 6,047 | Receives | 6-month EURIBOR (pays semi-annually) | 0.12% (pays annually) | 6/8/50 | 287,906 | (12 | ) | 287,894 |
26
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 | 72,704,100 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.65% (pays quarterly) | 7/19/31 | $ | 590,492 | $ | — | $ | 590,492 | |||||||||||||
MXN | 1,955,100 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.96% (pays monthly) | 6/24/25 | 374,367 | — | 374,367 | ||||||||||||||||
MXN | 1,955,700 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.91% (pays monthly) | 6/25/25 | 292,172 | — | 292,172 | ||||||||||||||||
MXN | 1,539,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.60% (pays monthly) | 7/8/26 | 777,626 | — | 777,626 | ||||||||||||||||
USD | 2,481 | Receives | 3-month USD-LIBOR (pays quarterly) | 2.22% (pays semi-annually) | 3/28/24 | (138,123 | ) | — | (138,123 | ) | ||||||||||||||
USD | 5,590 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.59% (pays semi-annually) | 1/23/25 | (202,695 | ) | — | (202,695 | ) | ||||||||||||||
USD | 9,000 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.60% (pays semi-annually) | 1/23/25 | (329,230 | ) | — | (329,230 | ) | ||||||||||||||
USD | 1,100 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.49% (pays semi-annually) | 1/28/25 | (35,849 | ) | — | (35,849 | ) | ||||||||||||||
USD | 2,978 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.46% (pays semi-annually) | 1/30/25 | (94,201 | ) | — | (94,201 | ) | ||||||||||||||
USD | 7,400 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.41% (pays semi-annually) | 2/3/25 | (269,057 | ) | — | (269,057 | ) | ||||||||||||||
USD | 742 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.44% (pays semi-annually) | 2/18/25 | (27,414 | ) | — | (27,414 | ) | ||||||||||||||
USD | 2,100 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.16% (pays semi-annually) | 2/28/25 | (54,090 | ) | — | (54,090 | ) | ||||||||||||||
USD | 700 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.83% (pays semi-annually) | 3/5/25 | (8,607 | ) | — | (8,607 | ) | ||||||||||||||
USD | 20,810 | Pays | 3-month USD-LIBOR (pays quarterly) | 0.71% (pays semi-annually) | 3/20/25 | 147,993 | — | 147,993 | ||||||||||||||||
USD | 1,800 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.33% (pays semi-annually) | 5/18/25 | 18,010 | — | 18,010 | ||||||||||||||||
USD | 3,742 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.43% (pays semi-annually) | 6/12/25 | 26,160 | — | 26,160 | ||||||||||||||||
USD | 14,000 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.39% (pays semi-annually) | 6/19/25 | 122,395 | — | 122,395 | ||||||||||||||||
USD | 79,700 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.25% (pays semi-annually) | 6/30/25 | (401,377 | ) | — | (401,377 | ) | ||||||||||||||
USD | 39,752 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.28% (pays semi-annually) | 7/3/25 | (223,201 | ) | — | (223,201 | ) | ||||||||||||||
USD | 39,948 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.26% (pays semi-annually) | 7/3/25 | (210,465 | ) | — | (210,465 | ) | ||||||||||||||
USD | 33,046 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.89% (pays semi-annually) | 7/15/26 | (191,106 | ) | — | (191,106 | ) | ||||||||||||||
USD | 33,954 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.92% (pays semi-annually) | 7/15/26 | (250,166 | ) | — | (250,166 | ) | ||||||||||||||
USD | 59,173 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.74% (pays semi-annually) | 12/16/26 | (2,966,552 | ) | — | (2,966,552 | ) | ||||||||||||||
USD | 59,130 | Pays | 3-month USD-LIBOR (pays quarterly) | 0.84% (pays semi-annually) | 3/20/27 | 81,848 | — | 81,848 | ||||||||||||||||
USD | 26,160 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.76% (pays semi-annually) | 6/5/30 | 919,293 | — | 919,293 | ||||||||||||||||
USD | 3,189 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.70% (pays semi-annually) | 9/12/49 | (58,487 | ) | — | (58,487 | ) | ||||||||||||||
USD | 1,000 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.82% (pays semi-annually) | 9/20/49 | (48,460 | ) | — | (48,460 | ) |
27
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 | 2,190 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.97% (pays semi-annually) | 11/15/49 | $ | (175,144 | ) | $ | — | $ | (175,144 | ) | |||||||||||
USD | 1,462 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.94% (pays semi-annually) | 1/9/50 | (102,355 | ) | — | (102,355 | ) | ||||||||||||||
USD | 1,561 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.94% (pays semi-annually) | 1/9/50 | (112,296 | ) | — | (112,296 | ) | ||||||||||||||
USD | 9,369 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.03% (pays semi-annually) | 6/19/50 | 1,385,336 | — | 1,385,336 | ||||||||||||||||
ZAR | 72,640 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.47% (pays quarterly) | 2/24/26 | (4,562 | ) | 229 | (4,333 | ) | ||||||||||||||
ZAR | 476,700 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.52% (pays quarterly) | 2/24/26 | 39,392 | 1,546 | 40,938 | ||||||||||||||||
ZAR | 419,363 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.82% (pays quarterly) | 3/11/26 | 352,288 | 1,548 | 353,836 | ||||||||||||||||
ZAR | 474,840 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.88% (pays quarterly) | 3/11/26 | 481,361 | 1,802 | 483,163 | ||||||||||||||||
ZAR | 474,850 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.82% (pays quarterly) | 3/11/26 | 398,901 | 1,753 | 400,654 | ||||||||||||||||
ZAR | 444,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.03% (pays quarterly) | 6/30/26 | 486,682 | 1,958 | 488,640 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total | $ | (783,826 | ) | $ | 89,515 | $ | (694,311 | ) | ||||||||||||||||
|
|
|
|
|
|
Interest Rate Swaps
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||
Bank of America, N.A. | MYR | 54,200 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.50% (pays quarterly) | 7/19/26 | $ | (2,790 | ) | |||||||||||
BNP Paribas | MYR | 49,200 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.52% (pays quarterly) | 7/16/26 | 4,560 | |||||||||||||
BNP Paribas | MYR | 49,200 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.52% (pays quarterly) | 7/16/26 | 4,557 | |||||||||||||
Goldman Sachs International | MYR | 39,100 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.52% (pays quarterly) | 7/16/26 | 5,854 | |||||||||||||
Goldman Sachs International | MYR | 11,900 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.50% (pays quarterly) | 7/19/26 | (1,834 | ) | ||||||||||||
Standard Chartered Bank | MYR | 87,600 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.53% (pays quarterly) | 7/16/26 | 23,098 | |||||||||||||
Standard Chartered Bank | MYR | 38,800 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.49% (pays quarterly) | 7/19/26 | (8,190 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | 25,255 | |||||||||||||||||||
|
|
28
Centrally Cleared Credit Default Swaps — Sell Protection
Reference Entity | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Current Market Annual Fixed Rate*** | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Peru | $ | 62,705 | 1.00% (pays quarterly)(1) | 6/20/26 | 1.03 | % | $ | (5,563 | ) | $ | (325,155 | ) | $ | (330,718 | ) | |||||||||||
Turkey | 14,870 | 1.00% (pays quarterly)(1) | 12/20/21 | 2.18 | (52,413 | ) | 226,078 | 173,665 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 77,575 | $ | (57,976 | ) | $ | (99,077 | ) | $ | (157,053 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Entity | Notional Amount (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Malaysia | $ | 162,817 | 1.00% (pays quarterly)(1) | 6/20/26 | $ | (3,990,018 | ) | $ | 4,287,974 | $ | 297,956 | |||||||||||
Markit CDX Emerging Markets Index (CDX.EM.31.V2) | 940 | 1.00% (pays quarterly)(1) | 6/20/24 | 29 | (15,892 | ) | (15,863 | ) | ||||||||||||||
Mexico | 9,690 | 1.00% (pays quarterly)(1) | 6/20/26 | (32,919 | ) | (13,675 | ) | (46,594 | ) | |||||||||||||
Philippines | 45,900 | 1.00% (pays quarterly)(1) | 6/20/26 | (1,125,809 | ) | 1,185,491 | 59,682 | |||||||||||||||
Qatar | 52,167 | 1.00% (pays quarterly)(1) | 12/20/22 | (685,523 | ) | (5,271 | ) | (690,794 | ) | |||||||||||||
Qatar | 23,815 | 1.00% (pays quarterly)(1) | 12/20/27 | (640,584 | ) | (676,159 | ) | (1,316,743 | ) | |||||||||||||
Qatar | 23,816 | 1.00% (pays quarterly)(1) | 12/20/27 | (640,611 | ) | (676,269 | ) | (1,316,880 | ) | |||||||||||||
Qatar | 57,454 | 1.00% (pays quarterly)(1) | 12/20/27 | (1,545,410 | ) | (1,537,359 | ) | (3,082,769 | ) | |||||||||||||
Russia | 368,448 | 1.00% (pays quarterly)(1) | 6/20/26 | (2,622,921 | ) | (672,263 | ) | (3,295,184 | ) | |||||||||||||
Saudi Arabia | 47,234 | 1.00% (pays quarterly)(1) | 6/20/26 | (1,033,770 | ) | 675,790 | (357,980 | ) | ||||||||||||||
Saudi Arabia | 61,170 | 1.00% (pays quarterly)(1) | 6/20/31 | (86,344 | ) | (135,492 | ) | (221,836 | ) | |||||||||||||
South Africa | 101,209 | 1.00% (pays quarterly)(1) | 6/20/26 | 4,736,775 | (5,723,459 | ) | (986,684 | ) | ||||||||||||||
South Africa | 41,600 | 1.00% (pays quarterly)(1) | 12/20/27 | 3,338,725 | (3,660,426 | ) | (321,701 | ) | ||||||||||||||
South Africa | 58,700 | 1.00% (pays quarterly)(1) | 6/20/29 | 6,533,228 | (7,600,382 | ) | (1,067,154 | ) | ||||||||||||||
Turkey | 147,494 | 1.00% (pays quarterly)(1) | 6/20/26 | 17,970,859 | (9,126,412 | ) | 8,844,447 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Total |
| $ | 20,175,707 | $ | (23,693,804 | ) | $ | (3,518,097 | ) | |||||||||||||
|
|
|
|
|
|
29
Credit Default Swaps — Sell Protection
Reference Entity | Counterparty | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Current Market Annual Fixed Rate*** | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Vietnam | Barclays Bank PLC | $ | 9,800 | 1.00% (pays quarterly)(1) | 6/20/26 | 1.13 | % | $ | (48,002 | ) | $ | 41,261 | $ | (6,741 | ) | |||||||||||||
Vietnam | Barclays Bank PLC | 6,200 | 1.00% (pays quarterly)(1) | 6/20/26 | 1.13 | (30,541 | ) | 29,502 | (1,039 | ) | ||||||||||||||||||
Vietnam | Barclays Bank PLC | 2,120 | 1.00% (pays quarterly)(1) | 6/20/26 | 1.13 | (10,384 | ) | 9,906 | (478 | ) | ||||||||||||||||||
Vietnam | Goldman Sachs International | 19,880 | 1.00% (pays quarterly)(1) | 6/20/24 | 0.71 | 189,806 | (171,444 | ) | 18,362 | |||||||||||||||||||
Vietnam | Goldman Sachs International | 5,900 | 1.00% (pays quarterly)(1) | 6/20/26 | 1.13 | (29,063 | ) | 28,074 | (989 | ) | ||||||||||||||||||
Vietnam | Nomura International PLC | 3,500 | 1.00% (pays quarterly)(1) | 6/20/26 | 1.13 | (17,144 | ) | 8,152 | (8,992 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 47,400 | $ | 54,672 | $ | (54,549 | ) | $ | 123 | |||||||||||||||||||
|
|
|
|
|
|
|
|
Credit Default Swaps — Buy Protection
Reference Entity | Counterparty | Notional Amount (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Dubai | Barclays Bank PLC | $ | 6,348 | 1.00% (pays quarterly)(1) | 12/20/24 | $ | (73,071 | ) | $ | (71,461 | ) | $ | (144,532 | ) | ||||||||||
Dubai | Barclays Bank PLC | 9,572 | 1.00% (pays quarterly)(1) | 12/20/24 | (110,182 | ) | (107,847 | ) | (218,029 | ) | ||||||||||||||
Egypt | Barclays Bank PLC | 9,744 | 1.00% (pays quarterly)(1) | 12/20/24 | 640,481 | (649,522 | ) | (9,041 | ) | |||||||||||||||
Egypt | JPMorgan Chase Bank, N.A. | 9,097 | 1.00% (pays quarterly)(1) | 12/20/24 | 597,953 | (605,155 | ) | (7,202 | ) | |||||||||||||||
Oman | Bank of America, N.A. | 17,964 | 1.00% (pays quarterly)(1) | 6/20/22 | (16,729 | ) | (158,738 | ) | (175,467 | ) | ||||||||||||||
Oman | Bank of America, N.A. | 14,372 | 1.00% (pays quarterly)(1) | 12/20/22 | 87,711 | (214,590 | ) | (126,879 | ) | |||||||||||||||
Qatar | Goldman Sachs International | 1,730 | 1.00% (pays quarterly)(1) | 9/20/24 | (42,293 | ) | 465 | (41,828 | ) | |||||||||||||||
Qatar | Nomura International PLC | 5,380 | 1.00% (pays quarterly)(1) | 9/20/24 | (131,523 | ) | 5,786 | (125,737 | ) |
30
Reference Entity | Counterparty | Notional Amount (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Saudi Arabia | Barclays Bank PLC | $ | 45,001 | 1.00% (pays quarterly)(1) | 6/20/31 | $ | (62,271 | ) | $ | (819,661 | ) | $ | (881,932 | ) | ||||||||||
South Africa | Goldman Sachs International | 59,340 | 1.00% (pays quarterly)(1) | 6/20/31 | 8,810,800 | (9,490,301 | ) | (679,501 | ) | |||||||||||||||
South Africa | Goldman Sachs International | 229,800 | 1.00% (pays quarterly)(1) | 6/20/31 | 34,120,692 | (36,810,153 | ) | (2,689,461 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 43,821,568 | $ | (48,921,177 | ) | $ | (5,099,609 | ) | ||||||||||||||||
|
|
|
|
|
|
* | 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 July 31, 2021, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $124,975,000. |
** | 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
Counterparty | Notional Amount (000’s omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||
Bank of America, N.A. | USD | 8,425 | Market value of 11,251,978 common shares of Al Yah Satellite Communications Company in USD minus Notional Amount | 1-month USD-LIBOR + 0.75% on Notional Amount | 8/12/22 | $ | 118,187 | |||||||||||
Citibank, N.A. | USD | 66,000 | Excess Return on Bloomberg Commodity 4 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.24% (pays upon termination) | 9/16/21 | (129,320 | ) | |||||||||||
Citibank, N.A. | USD | 56,400 | Excess Return on Bloomberg Commodity 5 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.25% (pays upon termination) | 9/16/21 | (117,828 | ) | |||||||||||
Citibank, N.A. | USD | 51,700 | Excess Return on Bloomberg Commodity 6 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.26% (pays upon termination) | 9/16/21 | (115,498 | ) |
31
Counterparty | Notional Amount (000’s omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||
Citibank, N.A. | USD | 165,000 | Excess Return on Bloomberg Commodity 5 Month Forward Index(pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.25%(pays upon termination) | 9/22/21 | $ | 325,098 | |||||||||||
JPMorgan Chase Bank, N.A. | CNY | 120,090 | Total Return on Shenzhen Stock Exchange Composite Index(pays upon termination) | 3-month USD-LIBOR minus 8.50% on $18,565,004 (pays quarterly) | 10/18/21 | (371,280 | ) | |||||||||||
|
| |||||||||||||||||
$ | (290,641 | ) | ||||||||||||||||
|
|
Abbreviations:
ADR | - | American Depositary Receipt | ||
EURIBOR | - | Euro Interbank Offered Rate | ||
GDP | - | Gross Domestic Product | ||
LIBOR | - | London Interbank Offered Rate |
Currency Abbreviations:
AED | - | United Arab Emirates Dirham | ||
AUD | - | Australian Dollar | ||
BHD | - | Bahraini Dinar | ||
BRL | - | Brazilian Real | ||
CAD | - | Canadian Dollar | ||
CLP | - | Chilean Peso | ||
CNH | - | Yuan Renminbi Offshore | ||
CNY | - | Yuan Renminbi | ||
COP | - | Colombian Peso | ||
CRC | - | Costa Rican Colon | ||
EGP | - | Egyptian Pound | ||
EUR | - | Euro | ||
GBP | - | British Pound Sterling | ||
GEL | - | Georgian Lari | ||
HUF | - | Hungarian Forint | ||
IDR | - | Indonesian Rupiah | ||
INR | - | Indian Rupee | ||
ISK | - | Icelandic Krona | ||
KES | - | Kenyan Shilling | ||
KRW | - | South Korean Won | ||
MXN | - | Mexican Peso | ||
MYR | - | Malaysian Ringgit | ||
NZD | - | New Zealand Dollar | ||
OMR | - | Omani Rial | ||
PEN | - | Peruvian Sol | ||
PHP | - | Philippine Peso | ||
PLN | - | Polish Zloty | ||
RSD | - | Serbian Dinar | ||
RUB | - | Russian Ruble | ||
SAR | - | Saudi Riyal | ||
SEK | - | Swedish Krona | ||
THB | - | Thai Baht | ||
UAH | - | Ukrainian Hryvnia | ||
UGX | - | Ugandan Shilling | ||
USD | - | United States Dollar | ||
UYU | - | Uruguayan Peso | ||
UZS | - | Uzbekistani Som | ||
ZAR | - | South African Rand |
32
Basis for Consolidation
The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMAP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at July 31, 2021 were $58,428,002 or 1.9% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.
At July 31, 2021, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Commodity Risk: The Portfolio invested in commodities-linked derivative instruments, including commodity futures contracts, forward commodity contracts and total return swap contracts based on commodity indices, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative instruments are used to enhance total return and/or as a substitute for the purchase or sale of commodities and to manage certain investment risks.
Credit Risk: The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return or as a substitute for the purchase or sale of securities.
Equity Price Risk: The Portfolio enters into equity index futures contracts and total return swaps to enhance total return and/or to manage certain investment risks.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, currency options, cross-currency swaps and total return swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including non-deliverable bond forward contracts, interest rate futures contracts, interest rate swaps, cross-currency swaps and swaptions, inflation swaps and options contracts to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.
Restricted Securities
At July 31, 2021, the Portfolio owned the following securities (representing 0.5% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
Description | Date of Acquisition | Shares | Cost | Value | ||||||||||||
Reinsurance Side Cars | ||||||||||||||||
Mt. Logan Re Ltd., Series A-1 | 12/30/20 | 8,600 | $ | 8,600,000 | $ | 8,451,423 | ||||||||||
Sussex Capital, Ltd., Series 14, Preference Shares | 6/1/21 | 7,500 | 7,500,000 | 7,545,493 | ||||||||||||
|
|
|
| |||||||||||||
Total Restricted Securities | $ | 16,100,000 | $ | 15,996,916 | ||||||||||||
|
|
|
|
33
At July 31, 2021, the value of the Portfolio’s investment in affiliated funds was $243,049,262, which represents 8.1% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the fiscal year to date ended July 31, 2021 were as follows:
Name of affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period | ||||||||||||||||||||||||
Short-Term Investments |
| |||||||||||||||||||||||||||||||
Eaton Vance Cash Reserves Fund, LLC | $ | 316,280,512 | $ | 1,694,190,137 | $ | (1,767,422,822 | ) | $ | 493 | $ | 942 | $ | 243,049,262 | $ | 203,773 | 243,049,262 |
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | 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) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At July 31, 2021, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 5,433,089 | $ | — | $ | 5,433,089 | ||||||||
U.S. Government Guaranteed Small Business Administration Loans | — | 29,638,341 | — | 29,638,341 | ||||||||||||
Convertible Bonds | — | 4,789,988 | — | 4,789,988 | ||||||||||||
Foreign Corporate Bonds | — | 205,148,843 | 20,303,172 | 225,452,015 | ||||||||||||
Loan Participation Notes | — | — | 56,367,704 | 56,367,704 | ||||||||||||
Senior Floating-Rate Loans | — | — | 861,778 | 861,778 | ||||||||||||
Sovereign Government Bonds | — | 1,642,315,482 | — | 1,642,315,482 | ||||||||||||
Sovereign Loans | — | 185,086,205 | — | 185,086,205 | ||||||||||||
Common Stocks | 17,320,270 | 87,014,966 | * | — | 104,335,236 | |||||||||||
Reinsurance Side Cars | — | — | 23,033,016 | 23,033,016 | ||||||||||||
Warrants | 92,107 | — | — | 92,107 | ||||||||||||
Short-Term Investments — | ||||||||||||||||
Affiliated Fund | — | 243,049,262 | — | 243,049,262 | ||||||||||||
Repurchase Agreements | — | 75,554,831 | — | 75,554,831 | ||||||||||||
Sovereign Government Securities | — | 17,083,777 | — | 17,083,777 | ||||||||||||
U.S. Treasury Obligations | — | 54,999,126 | — | 54,999,126 | ||||||||||||
Purchased Interest Rate Swaptions | — | 2,646,504 | — | 2,646,504 | ||||||||||||
Purchased Call Options | — | 1,958,387 | — | 1,958,387 | ||||||||||||
Total Investments | $ | 17,412,377 | $ | 2,554,718,801 | $ | 100,565,670 | $ | 2,672,696,848 | ||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 49,586,774 | $ | — | $ | 49,586,774 | ||||||||
Non-deliverable Bond Forward Contracts | — | 2,191,377 | — | 2,191,377 | ||||||||||||
Futures Contracts | 1,045,248 | 171,497 | — | 1,216,745 | ||||||||||||
Swap Contracts | — | 109,542,489 | — | 109,542,489 | ||||||||||||
Total | $ | 18,457,625 | $ | 2,716,210,938 | $ | 100,565,670 | $ | 2,835,234,233 | ||||||||
Liability Description | ||||||||||||||||
Securities Sold Short | $ | (9,022,068 | ) | $ | (89,840,032 | ) | $ | — | $ | (98,862,100 | ) | |||||
Written Currency Options | — | (196,702 | ) | — | (196,702 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (41,167,470 | ) | — | (41,167,470 | ) | ||||||||||
Non-deliverable Bond Forward Contracts | — | (922,881 | ) | — | (922,881 | ) | ||||||||||
Futures Contracts | (13,878,351 | ) | — | — | (13,878,351 | ) | ||||||||||
Swap Contracts | — | (51,285,731 | ) | — | (51,285,731 | ) | ||||||||||
Total | $ | (22,900,419 | ) | $ | (183,412,816 | ) | $ | — | $ | (206,313,235 | ) |
* | 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. |
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The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Investments in Senior Floating-Rate Loans | Investments in Foreign Corporate Bonds | Investments in Loan Participation Notes | Investments in Reinsurance Side Cars* | Investments in Warrants | Total | |||||||||||||||||||
Balance as of October 31, 2020 | $ | 1,381,786 | $ | 35,326,462 | $ | 52,169,729 | $ | — | $ | 0 | $ | 88,877,977 | ||||||||||||
Realized gains (losses) | — | (395,988 | ) | — | — | 59,223 | (336,765 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | — | 5,201,970 | (2,433,928 | ) | (166,984 | ) | — | 2,601,058 | ||||||||||||||||
Cost of purchases | — | 165,813 | 6,891,424 | 23,200,000 | — | 30,257,237 | ||||||||||||||||||
Proceeds from sales, including return of capital | (520,008 | ) | (19,843,090 | ) | — | — | (59,223 | ) | (20,422,321 | ) | ||||||||||||||
Accrued discount (premium) | — | (151,995 | ) | (259,521 | ) | — | — | (411,516 | ) | |||||||||||||||
Transfers to Level 3 | — | — | — | — | — | — | ||||||||||||||||||
Transfers from Level 3 | — | — | — | — | — | — | ||||||||||||||||||
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Balance as of July 31, 2021 | $ | 861,778 | $ | 20,303,172 | $ | 56,367,704 | $ | 23,033,016 | $ | — | $ | 100,565,670 | ||||||||||||
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Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2021 | $ | — | $ | 2,720,369 | $ | (2,433,928 | ) | $ | (166,984 | ) | $ | — | $ | 119,457 | ||||||||||
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* | The Portfolio’s investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations. |
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The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of July 31, 2021:
Type of Investment | Fair Value as of July 31, 2021 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* | |||||||||||
Senior Floating-Rate Loans | $ | 861,778 | Estimated Recovery Value | Estimated Recovery Value Percentage | 33.05 | % | Increase | |||||||||
Foreign Corporate Bonds | 20,303,172 | Matrix Pricing | Credit Spread to Iceland Government Bond Yield | 1.25 | % | Decrease | ||||||||||
Loan Participation Notes | 56,367,704 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 2.86 | % | Decrease |
Included in foreign corporate bonds are securities valued at $0 based on their estimated recovery value percentage.
* | Represents the directional change in the fair value of the Level 3 investments that would result in an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
For information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.
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