Foreign Government Bonds 68.9% | ||||||||||||
Principal |
||||||||||||
Security | Amount | Value | ||||||||||
Albania 0.7% | ||||||||||||
Republic of Albania, 7.50%, 11/4/15
|
EUR | 3,500,000 | $ | 4,990,921 | ||||||||
Total Albania
|
$ | 4,990,921 | ||||||||||
Bermuda 0.1% | ||||||||||||
Government of Bermuda,
5.603%, 7/20/20(1)
|
USD | 900,000 | $ | 958,408 | ||||||||
Total Bermuda
|
$ | 958,408 | ||||||||||
Brazil 4.4% | ||||||||||||
Nota Do Tesouro Nacional,
6.00%, 5/15/15(2)
|
BRL | 468,142 | $ | 291,565 | ||||||||
Nota Do Tesouro Nacional, 10.00%, 1/1/12
|
BRL | 6,142,000 | 3,847,144 | |||||||||
Nota Do Tesouro Nacional, 10.00%, 1/1/13
|
BRL | 5,118,000 | 3,127,992 | |||||||||
Nota Do Tesouro Nacional, 10.00%, 1/1/14
|
BRL | 20,289,000 | 12,149,928 | |||||||||
Nota Do Tesouro Nacional, 10.00%, 1/1/17
|
BRL | 10,405,000 | 5,951,195 | |||||||||
Nota Do Tesouro Nacional, 10.00%, 1/1/21
|
BRL | 9,400,000 | 5,157,691 | |||||||||
Republic of Brazil, 10.25%, 1/10/28
|
BRL | 620,000 | 423,462 | |||||||||
Total Brazil
|
$ | 30,948,977 | ||||||||||
Chile 1.2% | ||||||||||||
Government of Chile,
2.10%, 9/1/15(2)
|
CLP | 86,823,160 | $ | 185,235 | ||||||||
Government of Chile,
3.00%, 1/1/15(2)
|
CLP | 759,702,650 | 1,677,286 | |||||||||
Government of Chile, 6.00%, 3/1/17
|
CLP | 70,000,000 | 150,330 | |||||||||
Government of Chile, 6.00%, 3/1/18
|
CLP | 2,350,000,000 | 5,048,991 | |||||||||
Government of Chile, 6.00%, 1/1/20
|
CLP | 465,000,000 | 994,542 | |||||||||
Total Chile
|
$ | 8,056,384 | ||||||||||
Colombia 4.0% | ||||||||||||
Republic of Colombia, 7.75%, 4/14/21
|
COP | 9,341,000,000 | $ | 5,888,099 | ||||||||
Republic of Colombia, 9.85%, 6/28/27
|
COP | 8,093,000,000 | 5,758,032 | |||||||||
Republic of Colombia, 12.00%, 10/22/15
|
COP | 15,960,000,000 | 11,643,211 | |||||||||
Titulos De Tesoreria B, 9.25%, 8/15/12
|
COP | 1,749,800,000 | 1,045,749 | |||||||||
Titulos De Tesoreria B, 11.00%, 5/18/11
|
COP | 6,500,000,000 | 3,697,315 | |||||||||
Total Colombia
|
$ | 28,032,406 | ||||||||||
Congo 0.2% | ||||||||||||
Republic of Congo, 3.00%, 6/30/29
|
USD | 2,333,200 | $ | 1,481,582 | ||||||||
Total Congo
|
$ | 1,481,582 | ||||||||||
Costa Rica 0.0%(3) | ||||||||||||
Titulo Propiedad Ud,
1.00%, 1/12/22(2)
|
CRC | 52,816,999 | $ | 85,238 | ||||||||
Titulo Propiedad Ud,
1.63%, 7/13/16(2)
|
CRC | 5,933,671 | 10,851 | |||||||||
Total Costa Rica
|
$ | 96,089 | ||||||||||
Dominican Republic 1.2% | ||||||||||||
Dominican Republic,
16.00%, 7/10/20(1)
|
DOP | 38,000,000 | $ | 1,037,365 | ||||||||
Dominican Republic Bonos Internos Total Return
Linked Bond (Citibank, N.A.),
13.00%, 2/25/13(4)
|
DOP | 107,000,000 | 2,873,343 | |||||||||
Dominican Republic Bonos Internos Total Return
Linked Bond (Citibank, N.A.),
15.00%, 3/12/12(4)
|
DOP | 82,000,000 | 2,229,445 | |||||||||
Dominican Republic Bonos Internos Total Return
Linked Bond (Citibank, N.A.),
16.00%, 7/10/20(4)
|
DOP | 67,800,000 | 1,848,550 | |||||||||
Total Dominican Republic
|
$ | 7,988,703 | ||||||||||
Egypt 0.0%(3) | ||||||||||||
Arab Republic of Egypt,
8.75%, 7/18/12(1)
|
EGP | 1,690,000 | $ | 268,547 | ||||||||
Total Egypt
|
$ | 268,547 | ||||||||||
Greece 0.0%(3) | ||||||||||||
Hellenic Republic Government Bond, 6.10%, 8/20/15
|
EUR | 225,000 | $ | 202,188 | ||||||||
Total Greece
|
$ | 202,188 | ||||||||||
Hungary 7.3% | ||||||||||||
Hungary Government Bond, 5.50%, 2/12/14
|
HUF | 1,525,600,000 | $ | 8,381,960 | ||||||||
Hungary Government Bond, 5.50%, 2/12/16
|
HUF | 862,500,000 | 4,600,340 | |||||||||
Hungary Government Bond, 6.00%, 10/24/12
|
HUF | 676,970,000 | 3,790,710 | |||||||||
Hungary Government Bond, 6.00%, 11/24/23
|
HUF | 195,000,000 | 998,347 | |||||||||
Hungary Government Bond, 6.50%, 6/24/19
|
HUF | 579,100,000 | 3,154,647 | |||||||||
Hungary Government Bond, 6.75%, 2/12/13
|
HUF | 785,300,000 | 4,448,751 | |||||||||
Hungary Government Bond, 6.75%, 2/24/17
|
HUF | 1,554,520,000 | 8,693,098 | |||||||||
Hungary Government Bond, 6.75%, 11/24/17
|
HUF | 1,123,980,000 | 6,246,492 | |||||||||
Hungary Government Bond, 7.25%, 6/12/12
|
HUF | 322,000,000 | 1,829,041 | |||||||||
Hungary Government Bond, 7.50%, 10/24/13
|
HUF | 796,000,000 | 4,595,050 | |||||||||
Hungary Government Bond, 7.50%, 11/12/20
|
HUF | 668,800,000 | 3,868,543 | |||||||||
Hungary Government Bond, 8.00%, 2/12/15
|
HUF | 60,000,000 | 351,917 | |||||||||
Total Hungary
|
$ | 50,958,896 | ||||||||||
Principal |
||||||||||||
Security | Amount | Value | ||||||||||
Indonesia 8.5% | ||||||||||||
Indonesia Government, 7.375%, 9/15/16
|
IDR | 43,648,000,000 | $ | 5,233,795 | ||||||||
Indonesia Government, 8.25%, 7/15/21
|
IDR | 4,730,000,000 | 568,690 | |||||||||
Indonesia Government, 8.375%, 9/15/26
|
IDR | 14,100,000,000 | 1,664,263 | |||||||||
Indonesia Government, 9.00%, 9/15/13
|
IDR | 26,300,000,000 | 3,245,348 | |||||||||
Indonesia Government, 9.00%, 9/15/18
|
IDR | 42,550,000,000 | 5,386,455 | |||||||||
Indonesia Government, 9.50%, 6/15/15
|
IDR | 33,485,000,000 | 4,282,049 | |||||||||
Indonesia Government, 9.50%, 7/15/23
|
IDR | 35,245,000,000 | 4,517,429 | |||||||||
Indonesia Government, 9.50%, 7/15/31
|
IDR | 58,734,000,000 | 7,294,885 | |||||||||
Indonesia Government, 9.75%, 5/15/37
|
IDR | 28,656,000,000 | 3,471,017 | |||||||||
Indonesia Government, 10.00%, 7/15/17
|
IDR | 10,200,000,000 | 1,364,104 | |||||||||
Indonesia Government, 10.00%, 9/15/24
|
IDR | 22,100,000,000 | 2,928,947 | |||||||||
Indonesia Government, 10.00%, 2/15/28
|
IDR | 8,560,000,000 | 1,105,817 | |||||||||
Indonesia Government, 10.25%, 7/15/27
|
IDR | 22,325,000,000 | 2,977,223 | |||||||||
Indonesia Government, 10.50%, 8/15/30
|
IDR | 24,610,000,000 | 3,297,282 | |||||||||
Indonesia Government, 10.50%, 7/15/38
|
IDR | 10,900,000,000 | 1,431,866 | |||||||||
Indonesia Government, 11.00%, 11/15/20
|
IDR | 14,560,000,000 | 2,068,861 | |||||||||
Indonesia Government, 11.00%, 9/15/25
|
IDR | 16,440,000,000 | 2,329,151 | |||||||||
Indonesia Government, 11.25%, 5/15/14
|
IDR | 16,743,000,000 | 2,204,891 | |||||||||
Indonesia Government, 11.50%, 9/15/19
|
IDR | 25,200,000,000 | 3,638,098 | |||||||||
Total Indonesia
|
$ | 59,010,171 | ||||||||||
Israel 0.1% | ||||||||||||
Israel Government Bond,
3.00%, 10/31/19(2)
|
ILS | 569,005 | $ | 177,614 | ||||||||
Israel Government Bond,
5.00%, 4/30/15(2)
|
ILS | 1,443,765 | 486,232 | |||||||||
Total Israel
|
$ | 663,846 | ||||||||||
Macedonia 0.1% | ||||||||||||
Republic of Macedonia, 4.625%, 12/8/15
|
EUR | 280,000 | $ | 395,645 | ||||||||
Total Macedonia
|
$ | 395,645 | ||||||||||
Malaysia 3.8% | ||||||||||||
Malaysia Government, 2.509%, 8/27/12
|
MYR | 3,800,000 | $ | 1,276,040 | ||||||||
Malaysia Government, 3.21%, 5/31/13
|
MYR | 5,925,000 | 2,001,058 | |||||||||
Malaysia Government, 3.502%, 5/31/27
|
MYR | 4,125,000 | 1,251,621 | |||||||||
Malaysia Government, 3.70%, 5/15/13
|
MYR | 6,355,000 | 2,167,098 | |||||||||
Malaysia Government, 3.741%, 2/27/15
|
MYR | 24,076,000 | 8,230,481 | |||||||||
Malaysia Government, 4.012%, 9/15/17
|
MYR | 10,786,000 | 3,696,732 | |||||||||
Malaysia Government, 4.24%, 2/7/18
|
MYR | 15,775,000 | 5,458,640 | |||||||||
Malaysia Government, 4.378%, 11/29/19
|
MYR | 3,750,000 | 1,304,682 | |||||||||
Malaysia Government, 4.498%, 4/15/30
|
MYR | 3,480,000 | 1,166,886 | |||||||||
Total Malaysia
|
$ | 26,553,238 | ||||||||||
Mexico 4.6% | ||||||||||||
Government of Mexico, 7.25%, 12/15/16
|
MXN | 20,800,000 | $ | 1,858,353 | ||||||||
Government of Mexico, 7.50%, 6/3/27
|
MXN | 30,480,000 | 2,579,959 | |||||||||
Government of Mexico, 7.75%, 12/14/17
|
MXN | 9,500,000 | 865,767 | |||||||||
Government of Mexico, 8.00%, 12/19/13
|
MXN | 61,900,000 | 5,671,805 | |||||||||
Government of Mexico, 8.00%, 6/11/20
|
MXN | 21,018,000 | 1,933,334 | |||||||||
Government of Mexico, 8.50%, 12/13/18
|
MXN | 6,832,600 | 647,155 | |||||||||
Government of Mexico, 8.50%, 11/18/38
|
MXN | 36,100,000 | 3,278,230 | |||||||||
Government of Mexico, 9.00%, 12/20/12
|
MXN | 39,000,000 | 3,590,790 | |||||||||
Government of Mexico, 9.50%, 12/18/14
|
MXN | 23,060,000 | 2,220,925 | |||||||||
Government of Mexico, 10.00%, 12/5/24
|
MXN | 63,550,000 | 6,701,299 | |||||||||
Government of Mexico, 10.00%, 11/20/36
|
MXN | 23,470,000 | 2,459,195 | |||||||||
Total Mexico
|
$ | 31,806,812 | ||||||||||
Montenegro 0.4% | ||||||||||||
Republic of Montenegro, 7.875%, 9/14/15
|
EUR | 2,000,000 | $ | 3,073,535 | ||||||||
Total Montenegro
|
$ | 3,073,535 | ||||||||||
Peru 1.5% | ||||||||||||
Republic of Peru, 6.90%, 8/12/37
|
PEN | 2,700,000 | $ | 869,942 | ||||||||
Republic of Peru,
6.90%, 8/12/37(1)
|
PEN | 2,367,000 | 762,649 | |||||||||
Republic of Peru, 6.95%, 8/12/31
|
PEN | 2,000,000 | 657,279 | |||||||||
Republic of Peru,
7.84%, 8/12/20(5)
|
PEN | 7,570,000 | 2,811,599 | |||||||||
Republic of Peru, 7.84%, 8/12/20
|
PEN | 1,130,000 | 419,697 | |||||||||
Republic of Peru, 8.20%, 8/12/26
|
PEN | 5,775,000 | 2,172,291 | |||||||||
Republic of Peru, 8.60%, 8/12/17
|
PEN | 5,305,000 | 2,112,991 | |||||||||
Republic of Peru, 9.91%, 5/5/15
|
PEN | 1,760,000 | 713,278 | |||||||||
Total Peru
|
$ | 10,519,726 | ||||||||||
Philippines 1.0% | ||||||||||||
Philippine Government International Bond, 4.95%, 1/15/21
|
PHP | 139,000,000 | $ | 3,182,298 | ||||||||
Philippine Government International Bond, 6.25%, 1/14/36
|
PHP | 150,000,000 | 3,389,954 | |||||||||
Total Philippines
|
$ | 6,572,252 | ||||||||||
Poland 0.8% | ||||||||||||
Poland Government Bond,
3.00%, 8/24/16(2)
|
PLN | 1,834,622 | $ | 712,197 | ||||||||
Poland Government Bond, 4.75%, 4/25/12
|
PLN | 2,010,000 | 757,354 | |||||||||
Poland Government Bond, 5.25%, 10/25/17
|
PLN | 3,575,000 | 1,302,976 | |||||||||
Poland Government Bond, 5.75%, 9/23/22
|
PLN | 5,420,000 | 1,969,536 |
Principal |
||||||||||||
Security | Amount | Value | ||||||||||
Poland (continued)
|
||||||||||||
Poland Government Bond, 6.25%, 10/24/15
|
PLN | 2,900,000 | $ | 1,119,692 | ||||||||
Total Poland
|
$ | 5,861,755 | ||||||||||
Russia 3.3% | ||||||||||||
Russia Foreign Bond,
7.85%, 3/10/18(1)
|
RUB | 600,000,000 | $ | 23,293,371 | ||||||||
Total Russia
|
$ | 23,293,371 | ||||||||||
Serbia 1.3% | ||||||||||||
Serbia Treasury Bill, 0.00%, 8/9/12
|
RSD | 230,950,000 | $ | 2,958,668 | ||||||||
Serbia Treasury Bill, 0.00%, 9/6/12
|
RSD | 403,070,000 | 5,116,948 | |||||||||
Serbia Treasury Bill, 0.00%, 4/25/13
|
RSD | 55,500,000 | 654,286 | |||||||||
Total Serbia
|
$ | 8,729,902 | ||||||||||
South Africa 8.1% | ||||||||||||
Republic of South Africa,
2.50%, 1/31/17(2)
|
ZAR | 6,069,759 | $ | 962,328 | ||||||||
Republic of South Africa,
2.60%, 3/31/28(2)
|
ZAR | 6,183,120 | 930,152 | |||||||||
Republic of South Africa,
2.75%, 1/31/22(2)
|
ZAR | 32,470,528 | 4,981,617 | |||||||||
Republic of South Africa,
5.50%, 12/7/23(2)
|
ZAR | 2,939,171 | 585,506 | |||||||||
Republic of South Africa, 6.25%, 3/31/36
|
ZAR | 22,825,000 | 2,589,499 | |||||||||
Republic of South Africa, 6.75%, 3/31/21
|
ZAR | 45,745,000 | 6,206,137 | |||||||||
Republic of South Africa, 7.00%, 2/28/31
|
ZAR | 19,600,000 | 2,482,766 | |||||||||
Republic of South Africa, 7.25%, 1/15/20
|
ZAR | 51,600,000 | 7,319,906 | |||||||||
Republic of South Africa, 7.50%, 1/15/14
|
ZAR | 34,500,000 | 5,332,134 | |||||||||
Republic of South Africa, 8.25%, 9/15/17
|
ZAR | 19,430,000 | 2,976,365 | |||||||||
Republic of South Africa, 8.75%, 12/21/14
|
ZAR | 10,290,000 | 1,642,168 | |||||||||
Republic of South Africa, 10.50%, 12/21/26
|
ZAR | 30,356,000 | 5,362,585 | |||||||||
Republic of South Africa, 13.50%, 9/15/15
|
ZAR | 81,005,000 | 14,982,409 | |||||||||
Total South Africa
|
$ | 56,353,572 | ||||||||||
Sri Lanka 0.1% | ||||||||||||
Republic of Sri Lanka,
6.25%, 10/4/20(1)
|
USD | 950,000 | $ | 958,360 | ||||||||
Total Sri Lanka
|
$ | 958,360 | ||||||||||
Taiwan 0.4% | ||||||||||||
Taiwan Government Bond, 0.25%, 10/21/11
|
TWD | 12,500,000 | $ | 436,099 | ||||||||
Taiwan Government Bond, 0.25%, 2/10/12
|
TWD | 74,400,000 | 2,592,669 | |||||||||
Total Taiwan
|
$ | 3,028,768 | ||||||||||
Thailand 5.0% | ||||||||||||
Bank of Thailand, 3.625%, 5/2/11
|
THB | 22,000,000 | $ | 737,018 | ||||||||
Kingdom of Thailand, 3.625%, 6/16/23
|
THB | 75,523,000 | 2,488,724 | |||||||||
Kingdom of Thailand, 3.85%, 12/12/25
|
THB | 74,315,000 | 2,459,759 | |||||||||
Kingdom of Thailand, 3.875%, 6/13/19
|
THB | 93,235,000 | 3,206,013 | |||||||||
Kingdom of Thailand, 4.25%, 3/13/13
|
THB | 168,678,000 | 5,761,368 | |||||||||
Kingdom of Thailand, 4.50%, 4/9/24
|
THB | 61,371,000 | 2,190,772 | |||||||||
Kingdom of Thailand, 4.75%, 12/20/24
|
THB | 30,000,000 | 1,095,335 | |||||||||
Kingdom of Thailand, 5.125%, 3/13/18
|
THB | 86,300,000 | 3,158,233 | |||||||||
Kingdom of Thailand, 5.25%, 5/12/14
|
THB | 275,409,000 | 9,732,613 | |||||||||
Kingdom of Thailand, 5.67%, 3/13/28
|
THB | 92,500,000 | 3,727,236 | |||||||||
Total Thailand
|
$ | 34,557,071 | ||||||||||
Turkey 10.1% | ||||||||||||
Turkey Government Bond, 0.00%, 4/25/12
|
TRY | 19,569,000 | $ | 11,908,656 | ||||||||
Turkey Government Bond, 0.00%, 8/8/12
|
TRY | 11,410,000 | 6,774,584 | |||||||||
Turkey Government Bond, 0.00%, 11/7/12
|
TRY | 17,860,000 | 10,367,489 | |||||||||
Turkey Government Bond,
4.00%, 4/1/20(2)
|
TRY | 9,714,335 | 7,063,171 | |||||||||
Turkey Government Bond, 8.00%, 10/9/13
|
TRY | 7,015,000 | 4,531,386 | |||||||||
Turkey Government Bond, 10.00%, 1/9/13
|
TRY | 8,595,000 | 5,776,620 | |||||||||
Turkey Government Bond, 10.00%, 4/10/13
|
TRY | 7,165,000 | 4,825,658 | |||||||||
Turkey Government Bond, 10.00%, 6/17/15
|
TRY | 7,800,000 | 5,325,446 | |||||||||
Turkey Government Bond, 10.50%, 1/15/20
|
TRY | 6,051,000 | 4,324,416 | |||||||||
Turkey Government Bond, 11.00%, 8/6/14
|
TRY | 9,221,000 | 6,415,900 | |||||||||
Turkey Government Bond, 14.00%, 9/26/12
|
TRY | 1,790,000 | 1,262,768 | |||||||||
Turkey Government Bond, 16.00%, 3/7/12
|
TRY | 1,270,000 | 886,829 | |||||||||
Turkey Government Bond, 16.00%, 8/28/13
|
TRY | 1,330,000 | 1,008,212 | |||||||||
Total Turkey
|
$ | 70,471,135 | ||||||||||
Uruguay 0.1% | ||||||||||||
Republic of Uruguay,
5.00%, 9/14/18(2)
|
UYU | 14,668,276 | $ | 932,233 | ||||||||
Total Uruguay
|
$ | 932,233 | ||||||||||
Venezuela 0.6% | ||||||||||||
Bolivarian Republic of Venezuela,
7.00%, 3/31/38(5)
|
USD | 6,137,000 | $ | 3,513,433 | ||||||||
Bolivarian Republic of Venezuela,
9.25%, 5/7/28(5)
|
USD | 1,368,100 | 932,360 | |||||||||
Total Venezuela
|
$ | 4,445,793 | ||||||||||
Total Foreign Government Bonds
|
||||||||||||
(identified cost $453,593,579)
|
$ | 481,210,286 | ||||||||||
Mortgage Pass-Throughs 2.0% | ||||||||||||
Principal |
||||||||||||
Security | Amount | Value | ||||||||||
Federal Home Loan Mortgage Corp.:
|
||||||||||||
7.00%, with maturity at 2032
|
$ | 3,184,973 | $ | 3,654,970 | ||||||||
7.50%, with maturity at 2034
|
701,134 | 823,518 | ||||||||||
$ | 4,478,488 | |||||||||||
Federal National Mortgage Association:
|
||||||||||||
2.734%, with maturity at
2035(6)
|
$ | 1,649,375 | $ | 1,722,086 | ||||||||
4.378%, with maturity at
2035(6)
|
1,379,787 | 1,494,482 | ||||||||||
6.50%, with various maturities to 2033
|
3,084,845 | 3,364,571 | ||||||||||
7.00%, with maturity at 2033
|
1,296,296 | 1,495,093 | ||||||||||
8.50%, with maturity at 2032
|
1,164,130 | 1,428,521 | ||||||||||
$ | 9,504,753 | |||||||||||
Total Mortgage Pass-Throughs
|
||||||||||||
(identified cost $13,622,634)
|
$ | 13,983,241 | ||||||||||
U.S. Government Agency Obligations 1.1% | ||||||||||||
Principal |
||||||||||||
Security | Amount | Value | ||||||||||
Federal Home Loan Bank:
|
||||||||||||
4.50%, 9/13/19
|
$ | 4,000,000 | $ | 4,366,900 | ||||||||
5.25%, 12/9/22
|
2,700,000 | 3,017,444 | ||||||||||
Total U.S. Government Agency
Obligations
|
||||||||||||
(identified cost $7,801,968)
|
$ | 7,384,344 | ||||||||||
Precious Metals 1.8% | ||||||||||||
Description | Troy Ounces | Value | ||||||||||
Gold(7)
|
2,421 | $ | 3,783,733 | |||||||||
Platinum(7)
|
4,784 | 8,952,341 | ||||||||||
Total Precious Metals
|
||||||||||||
(identified cost $11,651,853)
|
$ | 12,736,074 | ||||||||||
Currency Options Purchased 0.0%(3) | ||||||||||||||||||
Principal |
||||||||||||||||||
Amount of |
||||||||||||||||||
Contracts |
Strike |
Expiration |
||||||||||||||||
Description | (000s omitted) | Price | Date | Value | ||||||||||||||
Euro Put Option
|
EUR | 5,600 | EUR | 1.22 | 5/11/11 | $ | 0 | |||||||||||
Euro Put Option
|
EUR | 6,566 | EUR | 1.17 | 5/3/12 | 61,960 | ||||||||||||
Total Currency Options Purchased
|
||||||||||||||||||
(identified cost $591,330)
|
$ | 61,960 | ||||||||||||||||
Put Options Purchased 0.0%(3) | ||||||||||||||||||
Number of |
Strike |
Expiration |
||||||||||||||||
Description | Contracts | Price | Date | Value | ||||||||||||||
KOSPI 200 Index
|
28,650,000 | KRW | 205 | 10/13/11 | $ | 14,914 | ||||||||||||
KOSPI 200 Index
|
28,650,000 | KRW | 200 | 10/11/12 | 92,101 | |||||||||||||
Light Sweet Crude Oil Future 12/11
|
6 | USD | 80 | 11/15/11 | 5,280 | |||||||||||||
Total Put Options Purchased
|
||||||||||||||||||
(identified cost $547,687)
|
$ | 112,295 | ||||||||||||||||
Short-Term Investments 23.3% | ||||||||||||
Foreign Government Securities 17.4% | ||||||||||||
Principal |
||||||||||||
Amount |
||||||||||||
Security | (000s omitted) | Value | ||||||||||
Brazil 0.9% | ||||||||||||
Letras Do Tesouro Nacional, 0.00%, 7/1/11
|
BRL | 10,400 | $ | 6,479,407 | ||||||||
Total Brazil
|
$ | 6,479,407 | ||||||||||
Colombia 0.1% | ||||||||||||
Titulos De Tesoreria B, 0.00%, 4/26/12
|
COP | 1,178,600 | $ | 635,652 | ||||||||
Total Colombia
|
$ | 635,652 | ||||||||||
Croatia 1.4% | ||||||||||||
Croatia Treasury Bill, 0.00%, 5/5/11
|
EUR | 341 | $ | 504,942 | ||||||||
Croatia Treasury Bill, 0.00%, 6/2/11
|
EUR | 700 | 1,035,197 | |||||||||
Croatia Treasury Bill, 0.00%, 6/16/11
|
EUR | 819 | 1,210,073 | |||||||||
Croatia Treasury Bill, 0.00%, 8/25/11
|
EUR | 307 | 451,321 | |||||||||
Croatia Treasury Bill, 0.00%, 9/8/11
|
EUR | 592 | 869,269 | |||||||||
Croatia Treasury Bill, 0.00%, 9/15/11
|
EUR | 3,467 | 5,087,722 | |||||||||
Croatia Treasury Bill, 0.00%, 9/22/11
|
EUR | 540 | 791,949 | |||||||||
Total Croatia
|
$ | 9,950,473 | ||||||||||
Egypt 0.2% | ||||||||||||
Egypt Treasury Bill, 0.00%, 7/12/11
|
EGP | 3,600 | $ | 592,335 | ||||||||
Egypt Treasury Bill, 0.00%, 8/2/11
|
EGP | 1,900 | 310,548 | |||||||||
Egypt Treasury Bill, 0.00%, 8/9/11
|
EGP | 4,700 | 766,504 | |||||||||
Total Egypt
|
$ | 1,669,387 | ||||||||||
Principal |
||||||||||||
Amount |
||||||||||||
Security | (000s omitted) | Value | ||||||||||
Georgia 0.2% | ||||||||||||
Bank of Georgia Promissory Note, 9.00%, 12/7/11
|
USD | 1,500 | $ | 1,500,000 | ||||||||
Total Georgia
|
$ | 1,500,000 | ||||||||||
Ghana 0.3% | ||||||||||||
Ghana Government Bond, 14.47%, 12/15/11
|
GHS | 3,062 | $ | 2,079,345 | ||||||||
Total Ghana
|
$ | 2,079,345 | ||||||||||
Hong Kong 1.5% | ||||||||||||
Hong Kong Treasury Bill, 0.00%, 5/11/11
|
HKD | 34,000 | $ | 4,377,725 | ||||||||
Hong Kong Treasury Bill, 0.00%, 7/20/11
|
HKD | 9,500 | 1,222,693 | |||||||||
Hong Kong Treasury Bill, 0.00%, 8/10/11
|
HKD | 34,000 | 4,375,544 | |||||||||
Hong Kong Treasury Bill, 0.00%, 9/7/11
|
HKD | 3,500 | 450,918 | |||||||||
Total Hong Kong
|
$ | 10,426,880 | ||||||||||
Iceland 0.0%(3) | ||||||||||||
Iceland Treasury Bill, 0.00%, 5/16/11
|
ISK | 7,518 | $ | 57,486 | ||||||||
Iceland Treasury Bill, 0.00%, 6/15/11
|
ISK | 12,310 | 93,897 | |||||||||
Total Iceland
|
$ | 151,383 | ||||||||||
Indonesia 0.8% | ||||||||||||
Indonesia Treasury Bill, 0.00%, 5/5/11
|
IDR | 4,826,000 | $ | 563,317 | ||||||||
Indonesia Treasury Bill, 0.00%, 6/9/11
|
IDR | 3,655,000 | 424,165 | |||||||||
Indonesia Treasury Bill, 0.00%, 6/23/11
|
IDR | 4,380,000 | 507,039 | |||||||||
Indonesia Treasury Bill, 0.00%, 7/6/11
|
IDR | 6,759,000 | 781,062 | |||||||||
Indonesia Treasury Bill, 0.00%, 7/7/11
|
IDR | 9,106,000 | 1,054,003 | |||||||||
Indonesia Treasury Bill, 0.00%, 7/20/11
|
IDR | 16,548,000 | 1,910,775 | |||||||||
Total Indonesia
|
$ | 5,240,361 | ||||||||||
Israel 3.5% | ||||||||||||
Israel Treasury Bill, 0.00%, 5/4/11
|
ILS | 4,556 | $ | 1,347,321 | ||||||||
Israel Treasury Bill, 0.00%, 6/1/11
|
ILS | 17,435 | 5,145,139 | |||||||||
Israel Treasury Bill, 0.00%, 7/6/11
|
ILS | 1,746 | 513,700 | |||||||||
Israel Treasury Bill, 0.00%, 8/3/11
|
ILS | 9,306 | 2,730,425 | |||||||||
Israel Treasury Bill, 0.00%, 9/7/11
|
ILS | 12,718 | 3,724,920 | |||||||||
Israel Treasury Bill, 0.00%, 10/5/11
|
ILS | 6,204 | 1,810,135 | |||||||||
Israel Treasury Bill, 0.00%, 11/2/11
|
ILS | 22,957 | 6,680,795 | |||||||||
Israel Treasury Bill, 0.00%, 2/29/12
|
ILS | 8,112 | 2,333,587 | |||||||||
Total Israel
|
$ | 24,286,022 | ||||||||||
Kazakhstan 2.1% | ||||||||||||
Kazakhstan National Bank, 0.00%, 5/13/11
|
KZT | 119,000 | $ | 815,844 | ||||||||
Kazakhstan National Bank, 0.00%, 5/27/11
|
KZT | 271,637 | 1,861,850 | |||||||||
Kazakhstan National Bank, 0.00%, 6/3/11
|
KZT | 25,800 | 176,811 | |||||||||
Kazakhstan National Bank, 0.00%, 6/10/11
|
KZT | 355,008 | 2,432,536 | |||||||||
Kazakhstan National Bank, 0.00%, 6/17/11
|
KZT | 151,305 | 1,036,564 | |||||||||
Kazakhstan National Bank, 0.00%, 7/8/11
|
KZT | 134,321 | 919,639 | |||||||||
Kazakhstan National Bank, 0.00%, 7/15/11
|
KZT | 55,867 | 382,406 | |||||||||
Kazakhstan National Bank, 0.00%, 7/22/11
|
KZT | 164,968 | 1,128,911 | |||||||||
Kazakhstan National Bank, 0.00%, 7/29/11
|
KZT | 485,279 | 3,319,969 | |||||||||
Kazakhstan National Bank, 0.00%, 8/19/11
|
KZT | 416,900 | 2,849,591 | |||||||||
Kazakhstan National Bank, 0.00%, 3/4/12
|
KZT | 4,386 | 29,679 | |||||||||
Total Kazakhstan
|
$ | 14,953,800 | ||||||||||
Lebanon 0.6% | ||||||||||||
Lebanon Treasury Bill, 0.00%, 6/30/11
|
LBP | 386,000 | $ | 255,208 | ||||||||
Lebanon Treasury Bill, 0.00%, 7/14/11
|
LBP | 179,220 | 118,315 | |||||||||
Lebanon Treasury Bill, 0.00%, 7/28/11
|
LBP | 1,727,060 | 1,138,432 | |||||||||
Lebanon Treasury Bill, 0.00%, 8/11/11
|
LBP | 72,000 | 47,379 | |||||||||
Lebanon Treasury Bill, 0.00%, 9/22/11
|
LBP | 192,250 | 125,805 | |||||||||
Lebanon Treasury Bill, 0.00%, 10/6/11
|
LBP | 3,479,130 | 2,272,150 | |||||||||
Lebanon Treasury Note, 6.74%, 10/20/11
|
LBP | 358,450 | 241,055 | |||||||||
Lebanon Treasury Note, 6.86%, 10/6/11
|
LBP | 179,220 | 120,523 | |||||||||
Lebanon Treasury Note, 9.06%, 11/10/11
|
LBP | 179,220 | 122,059 | |||||||||
Total Lebanon
|
$ | 4,440,926 | ||||||||||
Malaysia 1.0% | ||||||||||||
Malaysia Treasury Bill, 0.00%, 5/10/11
|
MYR | 3,612 | $ | 1,218,726 | ||||||||
Malaysia Treasury Bill, 0.00%, 6/2/11
|
MYR | 495 | 166,734 | |||||||||
Malaysia Treasury Bill, 0.00%, 6/16/11
|
MYR | 6,620 | 2,227,261 | |||||||||
Malaysia Treasury Bill, 0.00%, 7/14/11
|
MYR | 10,961 | 3,680,809 | |||||||||
Total Malaysia
|
$ | 7,293,530 | ||||||||||
Philippines 0.4% | ||||||||||||
Philippine Treasury Bill, 0.00%, 6/8/11
|
PHP | 34,840 | $ | 812,905 | ||||||||
Philippine Treasury Bill, 0.00%, 9/7/11
|
PHP | 34,840 | 811,838 | |||||||||
Philippine Treasury Bill, 0.00%, 9/21/11
|
PHP | 51,300 | 1,193,475 | |||||||||
Total Philippines
|
$ | 2,818,218 | ||||||||||
Principal |
||||||||||||
Amount |
||||||||||||
Security | (000s omitted) | Value | ||||||||||
Romania 1.2% | ||||||||||||
Romania Treasury Bill, 0.00%, 11/9/11
|
RON | 7,160 | $ | 2,512,537 | ||||||||
Romania Treasury Bill, 0.00%, 12/14/11
|
RON | 2,200 | 767,939 | |||||||||
Romania Treasury Bill, 0.00%, 3/21/12
|
RON | 9,520 | 3,248,551 | |||||||||
Romania Treasury Bill, 0.00%, 4/11/12
|
RON | 4,990 | 1,700,901 | |||||||||
Total Romania
|
$ | 8,229,928 | ||||||||||
Serbia 0.4% | ||||||||||||
Serbia Treasury Bill, 0.00%, 12/13/11
|
RSD | 37,420 | $ | 517,046 | ||||||||
Serbia Treasury Bill, 0.00%, 3/22/12
|
RSD | 146,950 | 1,964,345 | |||||||||
Serbia Treasury Bill, 0.00%, 4/5/12
|
RSD | 29,480 | 392,282 | |||||||||
Total Serbia
|
$ | 2,873,673 | ||||||||||
South Korea 0.6% | ||||||||||||
Korea Monetary Stabilization Bond, 0.00%, 5/17/11
|
KRW | 637,100 | $ | 593,699 | ||||||||
Korea Monetary Stabilization Bond, 0.00%, 5/17/11
|
KRW | 181,250 | 168,907 | |||||||||
Korea Monetary Stabilization Bond,
0.00%, 6/7/11 |
KRW | 239,490 | 222,724 | |||||||||
Korea Monetary Stabilization Bond,
0.00%, 7/5/11 |
KRW | 649,960 | 602,878 | |||||||||
Korea Monetary Stabilization Bond, 0.00%, 8/23/11
|
KRW | 2,511,600 | 2,318,056 | |||||||||
Total South Korea
|
$ | 3,906,264 | ||||||||||
Sri Lanka 0.4% | ||||||||||||
Sri Lanka Treasury Bill, 0.00%, 7/15/11
|
LKR | 60,920 | $ | 546,367 | ||||||||
Sri Lanka Treasury Bill, 0.00%, 8/5/11
|
LKR | 22,030 | 196,842 | |||||||||
Sri Lanka Treasury Bill, 0.00%, 3/9/12
|
LKR | 17,130 | 146,638 | |||||||||
Sri Lanka Treasury Bill, 0.00%, 3/16/12
|
LKR | 9,720 | 83,082 | |||||||||
Sri Lanka Treasury Bill, 0.00%, 3/23/12
|
LKR | 14,370 | 122,632 | |||||||||
Sri Lanka Treasury Bill, 0.00%, 4/27/12
|
LKR | 180,600 | 1,528,609 | |||||||||
Total Sri Lanka
|
$ | 2,624,170 | ||||||||||
Turkey 0.4% | ||||||||||||
Turkey Government Bond, 0.00%, 5/11/11
|
TRY | 285 | $ | 186,948 | ||||||||
Turkey Government Bond, 0.00%, 11/16/11
|
TRY | 4,630 | 2,918,940 | |||||||||
Total Turkey
|
$ | 3,105,888 | ||||||||||
Uruguay 0.9% | ||||||||||||
Uruguay Treasury Bill, 0.00%, 5/10/11
|
UYU | 859 | $ | 45,451 | ||||||||
Uruguay Treasury Bill, 0.00%, 5/25/11
|
UYU | 12,500 | 659,777 | |||||||||
Uruguay Treasury Bill, 0.00%, 6/15/11
|
UYU | 8,600 | 452,031 | |||||||||
Uruguay Treasury Bill, 0.00%, 6/16/11
|
UYU | 32,000 | 1,681,614 | |||||||||
Uruguay Treasury Bill, 0.00%, 6/21/11
|
UYU | 6,910 | 362,733 | |||||||||
Uruguay Treasury Bill, 0.00%, 7/5/11
|
UYU | 9,773 | 511,456 | |||||||||
Uruguay Treasury Bill, 0.00%, 7/7/11
|
UYU | 3,550 | 185,702 | |||||||||
Uruguay Treasury Bill, 0.00%, 8/11/11
|
UYU | 12,355 | 641,324 | |||||||||
Uruguay Treasury Bill, 0.00%, 8/18/11
|
UYU | 4,625 | 239,685 | |||||||||
Uruguay Treasury Bill, 0.00%, 8/30/11
|
UYU | 5,327 | 275,286 | |||||||||
Uruguay Treasury Bill, 0.00%, 9/16/11
|
UYU | 6,200 | 319,168 | |||||||||
Uruguay Treasury Bill, 0.00%, 10/21/11
|
UYU | 6,725 | 343,201 | |||||||||
Uruguay Treasury Bill, 0.00%, 11/22/11
|
UYU | 13,225 | 669,569 | |||||||||
Total Uruguay
|
$ | 6,386,997 | ||||||||||
Zambia 0.5% | ||||||||||||
Zambia Treasury Bill, 0.00%, 5/9/11
|
ZMK | 655,000 | $ | 138,992 | ||||||||
Zambia Treasury Bill, 0.00%, 6/13/11
|
ZMK | 1,245,000 | 262,727 | |||||||||
Zambia Treasury Bill, 0.00%, 8/29/11
|
ZMK | 2,005,000 | 416,882 | |||||||||
Zambia Treasury Bill, 0.00%, 9/12/11
|
ZMK | 1,515,000 | 313,791 | |||||||||
Zambia Treasury Bill, 0.00%, 10/10/11
|
ZMK | 2,910,000 | 597,638 | |||||||||
Zambia Treasury Bill, 0.00%, 12/12/11
|
ZMK | 4,170,000 | 845,472 | |||||||||
Zambia Treasury Bill, 0.00%, 3/12/12
|
ZMK | 540,000 | 106,981 | |||||||||
Zambia Treasury Bill, 0.00%, 3/19/12
|
ZMK | 3,225,000 | 637,071 | |||||||||
Total Zambia
|
$ | 3,319,554 | ||||||||||
Total Foreign Government Securities
|
||||||||||||
(identified cost $117,995,144)
|
$ | 122,371,858 | ||||||||||
U.S. Treasury Obligations 0.3% | ||||||||||||
Principal |
||||||||||||
Amount |
||||||||||||
Security | (000s omitted) | Value | ||||||||||
United States Treasury Bill,
0.00%, 6/23/11(8)
|
$ | 2,000 | $ | 1,999,966 | ||||||||
United States Treasury Bill,
0.00%, 7/28/11(8)
|
267 | 266,881 | ||||||||||
United States Treasury Bill, 0.00%, 10/6/11
|
71 | 71,273 | ||||||||||
Total U.S. Treasury Obligations
|
||||||||||||
(identified cost $2,337,615)
|
$ | 2,338,120 | ||||||||||
Repurchase Agreements 0.8% | ||||||||||||
Principal |
||||||||||||
Amount |
||||||||||||
Description | (000s omitted) | Value | ||||||||||
Bank of America, dated 4/27/11 with a maturity date of 7/1/11,
an interest rate of 0.75% and repurchase proceeds of EUR
3,560,147, collateralized by EUR 3,610,000 Belgium Kingdom
Government Bond 3.75%, due 9/28/20 and a market value, including
accrued interest, of $5,309,664.
|
EUR | 3,556 | $ | 5,266,748 | ||||||||
Total Repurchase Agreements
|
||||||||||||
(identified cost $5,260,343)
|
$ | 5,266,748 | ||||||||||
Other Securities 4.8% | ||||||||||||
Interest |
||||||||||||
Description | (000s omitted) | Value | ||||||||||
Eaton Vance Cash Reserves Fund, LLC,
0.16%(9)
|
$ | 33,262 | $ | 33,261,562 | ||||||||
Total Other Securities
|
||||||||||||
(identified cost $33,261,562)
|
$ | 33,261,562 | ||||||||||
Total Short-Term Investments
|
||||||||||||
(identified cost $158,854,664)
|
$ | 163,238,288 | ||||||||||
Total Investments 97.1%
|
||||||||||||
(identified cost $646,663,715)
|
$ | 678,726,488 | ||||||||||
Other Assets, Less
Liabilities 2.9%
|
$ | 20,361,003 | ||||||||||
Net Assets 100.0%
|
$ | 699,087,491 | ||||||||||
BRL
|
- Brazilian Real
|
|
CLP
|
- Chilean Peso
|
|
COP
|
- Colombian Peso
|
|
CRC
|
- Costa Rican Colon
|
|
DOP
|
- Dominican Peso
|
|
EGP
|
- Egyptian Pound
|
|
EUR
|
- Euro
|
|
GHS
|
- Ghanaian Cedi
|
|
HKD
|
- Hong Kong Dollar
|
|
HUF
|
- Hungarian Forint
|
|
IDR
|
- Indonesian Rupiah
|
|
ILS
|
- Israeli Shekel
|
|
ISK
|
- Icelandic Krona
|
|
KRW
|
- South Korean Won
|
|
KZT
|
- Kazak Tenge
|
|
LBP
|
- Lebanese Pound
|
|
LKR
|
- Sri Lankan Rupee
|
|
MXN
|
- Mexican Peso
|
|
MYR
|
- Malaysian Ringgit
|
|
PEN
|
- Peruvian New Sol
|
|
PHP
|
- Philippine Peso
|
|
PLN
|
- Polish Zloty
|
|
RON
|
- Romanian Leu
|
|
RSD
|
- Serbian Dinar
|
|
RUB
|
- Russian Ruble
|
|
THB
|
- Thailand Baht
|
|
TRY
|
- New Turkish Lira
|
|
TWD
|
- New Taiwan Dollar
|
|
USD
|
- United States Dollar
|
|
UYU
|
- Uruguayan Peso
|
|
ZAR
|
- South African Rand
|
|
ZMK
|
- Zambian Kwacha
|
(1) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At April 30, 2011, the aggregate value of these securities is $27,278,700 or 3.9% of the Portfolios net assets. | |
(2) | 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. | |
(3) | Amount is less than 0.05%. | |
(4) | Represents a structured security whose market value and interest rate are linked to the performance of the underlying security. | |
(5) | Security exempt from registration under Regulation S of the Securities Act of 1933, 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. | |
(6) | Adjustable rate mortgage security. Rate shown is the rate at April 30, 2011. | |
(7) | Non-income producing. | |
(8) | Security (or a portion thereof) has been pledged to cover collateral requirements on open financial contracts. | |
(9) | 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 April 30, 2011. |
Securities Sold Short | ||||||||||||
Foreign Government Bonds | ||||||||||||
Principal |
||||||||||||
Amount |
||||||||||||
Security | (000s omitted) | Value | ||||||||||
Belgium Kingdom Government Bond, 3.75%, 9/28/20
|
EUR | (3,150 | ) | $ | (4,530,054 | ) | ||||||
Total Foreign Government Bonds
|
||||||||||||
(proceeds $4,174,334)
|
$ | (4,530,054 | ) | |||||||||
Total Securities Sold Short
|
||||||||||||
(proceeds $4,174,334)
|
$ | (4,530,054 | ) | |||||||||
Assets | April 30, 2011 | |||||
Investments
|
||||||
Securities of unaffiliated issuers, at value (identified cost,
$601,750,300)
|
$ | 632,728,852 | ||||
Affiliated investment, at value (identified cost, $33,261,562)
|
33,261,562 | |||||
Precious metals, at value (identified cost, $11,651,853)
|
12,736,074 | |||||
Total Investments, at value (identified cost $646,663,715)
|
$ | 678,726,488 | ||||
Cash
|
$ | 879,659 | ||||
Cash collateral on deposit at broker
|
10,950 | |||||
Foreign currency, at value (identified cost, $9,020,306)
|
9,094,468 | |||||
Interest and dividends receivable
|
10,040,478 | |||||
Interest receivable from affiliated investment
|
4,593 | |||||
Receivable for investments sold
|
5,366,271 | |||||
Receivable for variation margin on open financial futures
contracts
|
525,102 | |||||
Receivable for open forward foreign currency exchange contracts
|
14,641,300 | |||||
Receivable for closed forward foreign currency exchange contracts
|
682,690 | |||||
Receivable for open swap contracts
|
2,041,166 | |||||
Receivable for closed swap contracts
|
54,363 | |||||
Receivable for closed options
|
87,183 | |||||
Premium paid on open swap contracts
|
3,118,935 | |||||
Total assets
|
$ | 725,273,646 | ||||
Liabilities | ||||||
Payable for investments purchased
|
$ | 11,124,410 | ||||
Payable for variation margin on open financial futures contracts
|
30,091 | |||||
Payable for open forward commodity contracts
|
795,970 | |||||
Payable for open forward foreign currency exchange contracts
|
4,177,331 | |||||
Payable for closed forward foreign currency exchange contracts
|
360,479 | |||||
Payable for open swap contracts
|
3,991,714 | |||||
Payable for securities sold short, at value (proceeds,
$4,174,334)
|
4,530,054 | |||||
Premium received on open swap contracts
|
148,474 | |||||
Payable to affiliates:
|
||||||
Investment adviser fee
|
354,616 | |||||
Trustees fees
|
1,440 | |||||
Interest payable for securities sold short
|
95,912 | |||||
Accrued expenses
|
575,664 | |||||
Total liabilities
|
$ | 26,186,155 | ||||
Net Assets applicable to investors interest in
Portfolio
|
$ | 699,087,491 | ||||
Sources of Net Assets | ||||||
Net proceeds from capital contributions and withdrawals
|
$ | 659,573,780 | ||||
Net unrealized appreciation
|
39,513,711 | |||||
Total
|
$ | 699,087,491 | ||||
Six Months Ended |
||||||
Investment Income | April 30, 2011 | |||||
Interest (net of foreign taxes, $664,033)
|
$ | 15,259,134 | ||||
Interest allocated from affiliated investment
|
30,845 | |||||
Expenses allocated from affiliated investment
|
(1,526 | ) | ||||
Total investment income
|
$ | 15,288,453 | ||||
Expenses | ||||||
Investment adviser fee
|
$ | 1,760,150 | ||||
Trustees fees and expenses
|
9,560 | |||||
Custodian fee
|
267,945 | |||||
Legal and accounting services
|
98,346 | |||||
Interest expense on securities sold short
|
35,225 | |||||
Miscellaneous
|
2,538 | |||||
Total expenses
|
$ | 2,173,764 | ||||
Deduct
|
||||||
Reduction of custodian fee
|
$ | 163 | ||||
Total expense reductions
|
$ | 163 | ||||
Net expenses
|
$ | 2,173,601 | ||||
Net investment income
|
$ | 13,114,852 | ||||
Realized and Unrealized Gain (Loss) | ||||||
Net realized gain (loss)
|
||||||
Investment transactions
|
$ | 2,008,768 | ||||
Investment transactions allocated from affiliated investment
|
532 | |||||
Financial futures contracts
|
22,869 | |||||
Swap contracts
|
(280,413 | ) | ||||
Forward commodity contracts
|
(19,234 | ) | ||||
Foreign currency and forward foreign currency exchange contract
transactions
|
4,578,370 | |||||
Net realized gain
|
$ | 6,310,892 | ||||
Change in unrealized appreciation (depreciation)
|
||||||
Investments (including net increase of $1,055,072 from precious
metals)
|
$ | 13,970,781 | ||||
Securities sold short
|
(355,720 | ) | ||||
Financial futures contracts
|
(466,989 | ) | ||||
Swap contracts
|
(2,611,942 | ) | ||||
Forward commodity contracts
|
(795,970 | ) | ||||
Foreign currency and forward foreign currency exchange contracts
|
11,496,916 | |||||
Net change in unrealized appreciation (depreciation)
|
$ | 21,237,076 | ||||
Net realized and unrealized gain
|
$ | 27,547,968 | ||||
Net increase in net assets from operations
|
$ | 40,662,820 | ||||
Six Months Ended |
||||||||||
April 30, 2011 |
Year Ended |
|||||||||
Increase (Decrease) in Net Assets | (Unaudited) | October 31, 2010 | ||||||||
From operations
|
||||||||||
Net investment income
|
$ | 13,114,852 | $ | 8,940,269 | ||||||
Net realized gain from investment transactions, financial
futures contracts, swap contracts, written options, forward
commodity contracts and foreign currency and forward foreign
currency exchange contract transactions
|
6,310,892 | 6,405,538 | ||||||||
Net change in unrealized appreciation (depreciation) from
investments, securities sold short, financial futures contracts,
swap contracts, written options, forward commodity contracts,
foreign currency and forward foreign currency exchange contracts
|
21,237,076 | 14,299,069 | ||||||||
Net increase in net assets from operations
|
$ | 40,662,820 | $ | 29,644,876 | ||||||
Capital transactions
|
||||||||||
Contributions
|
$ | 286,938,428 | $ | 270,094,823 | ||||||
Withdrawals
|
(29,161,627 | ) | (15,131,692 | ) | ||||||
Net increase in net assets from capital transactions
|
$ | 257,776,801 | $ | 254,963,131 | ||||||
Net increase in net assets
|
$ | 298,439,621 | $ | 284,608,007 | ||||||
Net Assets | ||||||||||
At beginning of period
|
$ | 400,647,870 | $ | 116,039,863 | ||||||
At end of period
|
$ | 699,087,491 | $ | 400,647,870 | ||||||
Six Months Ended |
Year Ended October 31, | |||||||||||||||||||||
April 30, 2011 |
Period Ended |
|||||||||||||||||||||
Ratios/Supplemental Data | (Unaudited) | 2010 | 2009 | 2008 | October 31, 2007(1) | |||||||||||||||||
Ratios (as a percentage of average daily net assets):
|
||||||||||||||||||||||
Expenses(2)
|
0.80 | %(3)(4) | 0.93 | % | 0.91 | % | 0.96 | % | 1.13 | %(3) | ||||||||||||
Net investment income
|
4.83 | %(3) | 5.30 | % | 5.70 | % | 5.51 | % | 5.25 | %(3) | ||||||||||||
Portfolio Turnover
|
9 | %(5) | 17 | % | 26 | % | 38 | % | 2 | %(5) | ||||||||||||
Total Return
|
6.00 | %(5) | 19.03 | % | 30.48 | % | (13.13 | )% | 10.48 | %(5) | ||||||||||||
Net assets, end of period (000s omitted)
|
$ | 699,087 | $ | 400,648 | $ | 116,040 | $ | 60,837 | $ | 55,813 | ||||||||||||
(1) | For the period from the start of business, June 27, 2007, to October 31, 2007. | |
(2) | Excludes the effect of custody fee credits, if any, of less than 0.005%. | |
(3) | Annualized. | |
(4) | Includes interest expense on securities sold short of 0.01%. | |
(5) | Not annualized. |
Purchases | Sales | |||||||||
Investments
(non-U.S.
Government)
|
$ | 217,825,968 | $ | 1,307,415 | ||||||
U.S. Government and Agency Securities
|
| 33,469,296 | ||||||||
$ | 217,825,968 | $ | 34,776,711 | |||||||
Aggregate cost
|
$ | 649,153,721 | ||||
Gross unrealized appreciation
|
$ | 36,224,518 | ||||
Gross unrealized depreciation
|
(6,651,751 | ) | ||||
Net unrealized appreciation
|
$ | 29,572,767 | ||||
Forward Commodity Contracts(1) | ||||||||||||
Sales
|
||||||||||||
Net Unrealized |
||||||||||||
Settlement Date | Deliver | In Exchange For | Counterparty | Depreciation | ||||||||
6/28/11
|
Gold 1,972 Troy Ounces |
United States Dollar 2,834,780 |
Citigroup Global Markets | $ | (256,793 | ) | ||||||
10/27/11
|
Gold 1,462 Troy Ounces |
United States Dollar 2,083,744 |
Citigroup Global Markets | (208,337 | ) | |||||||
4/26/12
|
Gold 2,480 Troy Ounces |
United States Dollar 3,559,658 |
Citigroup Global Markets | (330,840 | ) | |||||||
$ | (795,970 | ) | ||||||||||
(1) | Non-deliverable contracts that are settled with the counterparty in cash. |
Forward Foreign Currency Exchange Contracts | ||||||||||||
Sales
|
||||||||||||
Net Unrealized |
||||||||||||
Appreciation |
||||||||||||
Settlement Date | Deliver | In Exchange For | Counterparty | (Depreciation) | ||||||||
5/2/11
|
New Turkish Lira 6,107,419 |
United States Dollar 4,025,454 |
Deutsche Bank | $ | 10,057 | |||||||
5/3/11
|
South African Rand 2,653,432 |
United States Dollar 401,731 |
Standard Bank | (2,448 | ) | |||||||
5/4/11
|
Euro 453,910 |
United States Dollar 645,234 |
Deutsche Bank | (27,057 | ) | |||||||
5/4/11
|
Israeli Shekel 1,696,000 |
United States Dollar 454,022 |
Barclays Bank PLC | (47,690 | ) | |||||||
5/4/11
|
Israeli Shekel 2,860,000 |
United States Dollar 760,032 |
Citigroup Global Markets | (86,016 | ) | |||||||
5/4/11
|
New Zealand Dollar 3,627,900 |
United States Dollar 2,758,525 |
Credit Suisse | (177,157 | ) | |||||||
5/4/11
|
New Zealand Dollar 1,035,000 |
United States Dollar 786,595 |
Goldman Sachs, Inc. | (50,923 | ) | |||||||
5/4/11
|
New Zealand Dollar 1,034,600 |
United States Dollar 786,586 |
HSBC Bank USA | (50,608 | ) | |||||||
5/4/11
|
New Zealand Dollar 489,800 |
United States Dollar 371,954 |
JPMorgan Chase Bank | (24,390 | ) | |||||||
5/4/11
|
Serbian Dinar 84,685,000 |
Euro 851,962 |
Deutsche Bank | (4,488 | ) | |||||||
5/5/11
|
Euro 341,000 |
United States Dollar 446,846 |
HSBC Bank USA | (58,198 | ) | |||||||
5/19/11
|
Japanese Yen 232,125,000 |
United States Dollar 2,788,556 |
Goldman Sachs, Inc. | (73,278 | ) | |||||||
5/20/11
|
Euro 569,857 |
United States Dollar 833,419 |
Deutsche Bank | (10,231 | ) | |||||||
5/20/11
|
Euro 281,107 |
United States Dollar 410,746 |
Goldman Sachs, Inc. | (5,421 | ) | |||||||
5/20/11
|
Euro 11,105,843 |
United States Dollar 15,914,673 |
HSBC Bank USA | (527,071 | ) | |||||||
5/20/11
|
Euro 11,105,843 |
United States Dollar 15,836,654 |
JPMorgan Chase Bank | (605,090 | ) | |||||||
5/23/11
|
Euro 1,570,000 |
United States Dollar 2,244,158 |
Standard Bank | (79,971 | ) | |||||||
6/1/11
|
Israeli Shekel 4,955,000 |
United States Dollar 1,353,271 |
Barclays Bank PLC | (110,430 | ) | |||||||
6/2/11
|
Euro 700,000 |
United States Dollar 856,310 |
HSBC Bank USA | (179,642 | ) | |||||||
6/15/11
|
South African Rand 774,936 |
United States Dollar 110,884 |
Bank of America | (6,468 | ) | |||||||
6/16/11
|
Euro 819,000 |
United States Dollar 1,009,999 |
Citigroup Global Markets | (201,605 | ) | |||||||
7/6/11
|
Israeli Shekel 1,746,000 |
United States Dollar 472,467 |
Deutsche Bank | (42,473 | ) | |||||||
7/15/11
|
Sri Lankan Rupee 60,920,000 |
United States Dollar 512,665 |
HSBC Bank USA | (39,384 | ) |
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Sales
|
||||||||||||
Net Unrealized |
||||||||||||
Appreciation |
||||||||||||
Settlement Date | Deliver | In Exchange For | Counterparty | (Depreciation) | ||||||||
8/3/11
|
Israeli Shekel 9,305,600 |
United States Dollar 2,667,049 |
Deutsche Bank | $ | (74,327 | ) | ||||||
8/5/11
|
Sri Lankan Rupee 22,030,000 |
United States Dollar 189,505 |
HSBC Bank USA | (9,826 | ) | |||||||
8/25/11
|
Euro 307,000 |
United States Dollar 386,851 |
Deutsche Bank | (66,342 | ) | |||||||
9/7/11
|
Israeli Shekel 3,412,100 |
United States Dollar 976,141 |
Barclays Bank PLC | (27,497 | ) | |||||||
9/7/11
|
Israeli Shekel 9,305,600 |
United States Dollar 2,661,937 |
Deutsche Bank | (75,221 | ) | |||||||
9/8/11
|
Euro 592,000 |
United States Dollar 751,745 |
Citigroup Global Markets | (121,749 | ) | |||||||
9/15/11
|
Euro 3,467,000 |
United States Dollar 4,502,038 |
Deutsche Bank | (612,295 | ) | |||||||
9/22/11
|
Euro 540,000 |
United States Dollar 707,697 |
Goldman Sachs, Inc. | (88,693 | ) | |||||||
10/5/11
|
Israeli Shekel 6,203,700 |
United States Dollar 1,772,739 |
Citigroup Global Markets | (49,780 | ) | |||||||
11/2/11
|
Israeli Shekel 19,627,000 |
United States Dollar 5,368,435 |
Barclays Bank PLC | (390,491 | ) | |||||||
11/2/11
|
Israeli Shekel 1,500,000 |
United States Dollar 405,351 |
Deutsche Bank | (34,777 | ) | |||||||
2/29/12
|
Israeli Shekel 5,553,000 |
United States Dollar 1,518,458 |
Deutsche Bank | (102,577 | ) | |||||||
3/9/12
|
Sri Lankan Rupee 17,130,000 |
United States Dollar 152,402 |
Standard Chartered Bank | (274 | ) | |||||||
3/16/12
|
Sri Lankan Rupee 9,720,000 |
United States Dollar 85,942 |
Standard Chartered Bank | (656 | ) | |||||||
3/23/12
|
Sri Lankan Rupee 14,370,000 |
United States Dollar 127,450 |
HSBC Bank USA | (524 | ) | |||||||
4/27/12
|
Sri Lankan Rupee 180,600,000 |
United States Dollar 1,595,406 |
Standard Chartered Bank | (9,760 | ) | |||||||
$ | (4,064,771 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases
|
||||||||||||
Net Unrealized |
||||||||||||
Appreciation |
||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
5/2/11
|
New Turkish Lira 6,107,419 |
United States Dollar 3,787,859 |
JPMorgan Chase Bank | $ | 227,538 | |||||||
5/3/11
|
Romanian Leu 7,938,000 |
Euro 1,950,488 |
Credit Suisse | (4,780 | ) | |||||||
5/3/11
|
Thai Baht 148,200,000 |
United States Dollar 4,835,237 |
Standard Chartered Bank | 129,588 | ||||||||
5/4/11
|
Czech Koruna 13,237,000 |
Euro 539,191 |
Deutsche Bank | 12,278 | ||||||||
5/4/11
|
Israeli Shekel 4,335,900 |
United States Dollar 1,267,733 |
Bank of America | 14,917 | ||||||||
5/4/11
|
Israeli Shekel 5,439,034 |
United States Dollar 1,624,562 |
Bank of America | (15,582 | ) | |||||||
5/4/11
|
Israeli Shekel 7,389,216 |
United States Dollar 2,141,367 |
Credit Suisse | 44,518 | ||||||||
5/4/11
|
Israeli Shekel 4,340,160 |
United States Dollar 1,264,321 |
Credit Suisse | 19,590 | ||||||||
5/4/11
|
Israeli Shekel 2,801,700 |
United States Dollar 820,879 |
Credit Suisse | 7,923 | ||||||||
5/4/11
|
Israeli Shekel 1,116,710 |
United States Dollar 325,844 |
Standard Bank | 4,502 | ||||||||
5/4/11
|
Serbian Dinar 57,083,000 |
Euro 573,524 |
Credit Suisse | 4,138 | ||||||||
5/4/11
|
Serbian Dinar 27,602,000 |
Euro 278,190 |
Raiffeisen Zentralbank | 717 | ||||||||
5/5/11
|
Mexican Peso 293,734,056 |
United States Dollar 24,798,147 |
Citigroup Global Markets | 713,409 | ||||||||
5/5/11
|
Mexican Peso 32,126,000 |
United States Dollar 2,765,073 |
Credit Suisse | 25,153 | ||||||||
5/6/11
|
Polish Zloty 22,597,883 |
Euro 5,589,454 |
Credit Suisse | 232,678 | ||||||||
5/9/11
|
Czech Koruna 80,338,000 |
Euro 3,284,532 |
Citigroup Global Markets | 57,061 | ||||||||
5/10/11
|
Mexican Peso 11,903,502 |
United States Dollar 983,314 |
Citigroup Global Markets | 50,073 | ||||||||
5/10/11
|
Mexican Peso 24,280,000 |
United States Dollar 1,999,094 |
Deutsche Bank | 108,741 | ||||||||
5/10/11
|
Thai Baht 315,825,000 |
United States Dollar 10,279,089 |
Bank of America | 297,448 | ||||||||
5/10/11
|
Thai Baht 300,000,000 |
United States Dollar 9,760,859 |
Barclays Bank PLC | 285,721 | ||||||||
5/11/11
|
Indonesian Rupiah 6,145,000,000 |
United States Dollar 682,778 |
Barclays Bank PLC | 34,631 | ||||||||
5/11/11
|
Indonesian Rupiah 5,525,000,000 |
United States Dollar 613,889 |
Credit Suisse | 31,137 | ||||||||
5/11/11
|
Indonesian Rupiah 2,520,000,000 |
United States Dollar 280,000 |
Standard Chartered Bank | 14,202 |
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases
|
||||||||||||
Net Unrealized |
||||||||||||
Appreciation |
||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
5/11/11
|
New Turkish Lira 6,107,419 |
United States Dollar 4,019,626 |
Deutsche Bank | $ | (10,404 | ) | ||||||
5/13/11
|
Polish Zloty 47,002,000 |
Euro 11,815,782 |
Standard Bank | 194,194 | ||||||||
5/13/11
|
Russian Ruble 231,060,000 |
United States Dollar 8,204,673 |
HSBC Bank USA | 221,688 | ||||||||
5/16/11
|
Czech Koruna 55,600,000 |
Euro 2,278,035 |
Bank of America | 32,663 | ||||||||
5/16/11
|
Indian Rupee 37,500,000 |
United States Dollar 822,008 |
Goldman Sachs, Inc. | 24,034 | ||||||||
5/16/11
|
New Taiwan Dollar 15,840,000 |
United States Dollar 540,928 |
Citigroup Global Markets | 12,211 | ||||||||
5/18/11
|
Swedish Krona 47,394,000 |
Euro 5,245,949 |
Goldman Sachs, Inc. | 70,487 | ||||||||
5/19/11
|
Indonesian Rupiah 12,405,000,000 |
United States Dollar 1,428,160 |
Credit Suisse | 19,821 | ||||||||
5/20/11
|
Indonesian Rupiah 1,815,000,000 |
United States Dollar 208,573 |
Barclays Bank PLC | 3,279 | ||||||||
5/20/11
|
Indonesian Rupiah 1,566,000,000 |
United States Dollar 180,000 |
Deutsche Bank | 2,788 | ||||||||
5/20/11
|
Indonesian Rupiah 1,925,000,000 |
United States Dollar 221,264 |
Standard Chartered Bank | 3,427 | ||||||||
5/23/11
|
Czech Koruna 46,978,208 |
Euro 1,921,713 |
Credit Suisse | 32,493 | ||||||||
5/23/11
|
Indonesian Rupiah 2,833,620,000 |
United States Dollar 317,102 |
Citigroup Global Markets | 13,625 | ||||||||
5/23/11
|
Indonesian Rupiah 17,270,000,000 |
United States Dollar 1,980,050 |
Credit Suisse | 35,619 | ||||||||
5/23/11
|
Indonesian Rupiah 3,058,180,000 |
United States Dollar 342,231 |
Goldman Sachs, Inc. | 14,704 | ||||||||
5/23/11
|
Serbian Dinar 15,139,223 |
Euro 148,526 |
Deutsche Bank | 5,299 | ||||||||
5/23/11
|
Serbian Dinar 58,293,000 |
Euro 571,500 |
Standard Bank | 20,984 | ||||||||
5/23/11
|
Singapore Dollar 3,264,000 |
United States Dollar 2,560,602 |
Deutsche Bank | 105,930 | ||||||||
5/24/11
|
Indonesian Rupiah 22,000,000,000 |
United States Dollar 2,452,346 |
Citigroup Global Markets | 115,328 | ||||||||
5/24/11
|
Thai Baht 331,700,000 |
United States Dollar 10,818,656 |
Citigroup Global Markets | 280,051 | ||||||||
5/26/11
|
Yuan Renminbi 4,609,500 |
United States Dollar 700,000 |
Bank of America | 12,703 | ||||||||
5/26/11
|
Yuan Renminbi 9,223,200 |
United States Dollar 1,400,000 |
Barclays Bank PLC | 26,056 | ||||||||
5/26/11
|
Yuan Renminbi 4,610,200 |
United States Dollar 700,000 |
Citigroup Global Markets | 12,811 |
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases
|
||||||||||||
Net Unrealized |
||||||||||||
Appreciation |
||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
5/31/11
|
Indian Rupee 30,000,000 |
United States Dollar 664,452 |
Bank of America | $ | 10,466 | |||||||
5/31/11
|
Indian Rupee 39,200,000 |
United States Dollar 868,025 |
Standard Chartered Bank | 13,868 | ||||||||
5/31/11
|
Norwegian Krone 32,130,000 |
Euro 4,066,497 |
Credit Suisse | 95,713 | ||||||||
5/31/11
|
Norwegian Krone 14,000,000 |
Euro 1,798,018 |
Goldman Sachs, Inc. | 3,041 | ||||||||
5/31/11
|
Polish Zloty 11,476,000 |
Euro 2,913,356 |
Standard Bank | 226 | ||||||||
5/31/11
|
South Korean Won 568,000,000 |
United States Dollar 507,778 |
Barclays Bank PLC | 23,433 | ||||||||
5/31/11
|
South Korean Won 544,000,000 |
United States Dollar 486,322 |
Citigroup Global Markets | 22,443 | ||||||||
5/31/11
|
Swedish Krona 31,216,800 |
Euro 3,531,552 |
Credit Suisse | (68,086 | ) | |||||||
6/3/11
|
South African Rand 30,573,046 |
United States Dollar 4,608,678 |
Standard Bank | 29,032 | ||||||||
6/3/11
|
Yuan Renminbi 1,950,000 |
United States Dollar 294,740 |
Bank of America | 7,141 | ||||||||
6/3/11
|
Yuan Renminbi 1,950,000 |
United States Dollar 294,606 |
Deutsche Bank | 7,274 | ||||||||
6/6/11
|
Indian Rupee 51,000,000 |
United States Dollar 1,126,325 |
Deutsche Bank | 19,795 | ||||||||
6/6/11
|
Indonesian Rupiah 8,260,000,000 |
United States Dollar 927,048 |
Bank of America | 36,616 | ||||||||
6/6/11
|
Indonesian Rupiah 6,838,000,000 |
United States Dollar 786,791 |
Citigroup Global Markets | 10,973 | ||||||||
6/6/11
|
Malaysian Ringgit 8,573,000 |
United States Dollar 2,807,046 |
Bank of America | 89,031 | ||||||||
6/6/11
|
Polish Zloty 7,125,614 |
United States Dollar 2,583,000 |
Goldman Sachs, Inc. | 92,905 | ||||||||
6/6/11
|
Polish Zloty 13,513,870 |
United States Dollar 4,749,875 |
JPMorgan Chase Bank | 325,032 | ||||||||
6/7/11
|
Indonesian Rupiah 4,650,000,000 |
United States Dollar 523,531 |
Barclays Bank PLC | 18,937 | ||||||||
6/7/11
|
Indonesian Rupiah 4,880,000,000 |
United States Dollar 549,550 |
Deutsche Bank | 19,750 | ||||||||
6/7/11
|
Singapore Dollar 2,225,000 |
United States Dollar 1,754,593 |
Bank of America | 63,115 | ||||||||
6/7/11
|
Singapore Dollar 2,225,000 |
United States Dollar 1,755,078 |
Citigroup Global Markets | 62,631 | ||||||||
6/7/11
|
Swedish Krona 37,111,000 |
Euro 4,120,514 |
Credit Suisse | 33,159 | ||||||||
6/9/11
|
Indonesian Rupiah 5,675,000,000 |
United States Dollar 640,808 |
Barclays Bank PLC | 21,161 |
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases
|
||||||||||||
Net Unrealized |
||||||||||||
Appreciation |
||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
6/9/11
|
Indonesian Rupiah 5,675,000,000 |
United States Dollar 640,881 |
Standard Chartered Bank | $ | 21,088 | |||||||
6/9/11
|
Malaysian Ringgit 5,510,000 |
United States Dollar 1,811,308 |
Deutsche Bank | 49,913 | ||||||||
6/9/11
|
South Korean Won 890,000,000 |
United States Dollar 827,676 |
Bank of America | 4,557 | ||||||||
6/9/11
|
South Korean Won 1,200,000,000 |
United States Dollar 1,101,301 |
Barclays Bank PLC | 20,810 | ||||||||
6/9/11
|
South Korean Won 948,000,000 |
United States Dollar 860,566 |
Credit Suisse | 25,902 | ||||||||
6/9/11
|
South Korean Won 1,290,000,000 |
United States Dollar 1,200,782 |
Credit Suisse | 5,488 | ||||||||
6/10/11
|
Polish Zloty 98,917,720 |
United States Dollar 34,369,105 |
Citigroup Global Markets | 2,763,652 | ||||||||
6/10/11
|
South Korean Won 145,000,000 |
United States Dollar 132,541 |
Barclays Bank PLC | 3,039 | ||||||||
6/10/11
|
South Korean Won 147,000,000 |
United States Dollar 134,375 |
Citigroup Global Markets | 3,074 | ||||||||
6/10/11
|
South Korean Won 148,000,000 |
United States Dollar 135,271 |
Goldman Sachs, Inc. | 3,114 | ||||||||
6/13/11
|
Indian Rupee 10,950,000 |
United States Dollar 245,186 |
Bank of America | 597 | ||||||||
6/13/11
|
Indian Rupee 12,310,000 |
United States Dollar 275,638 |
Barclays Bank PLC | 671 | ||||||||
6/13/11
|
Indian Rupee 13,390,000 |
United States Dollar 299,888 |
Credit Suisse | 663 | ||||||||
6/13/11
|
Indian Rupee 13,390,000 |
United States Dollar 299,888 |
Goldman Sachs, Inc. | 663 | ||||||||
6/13/11
|
Malaysian Ringgit 6,300,000 |
United States Dollar 2,070,393 |
Citigroup Global Markets | 57,480 | ||||||||
6/13/11
|
Malaysian Ringgit 11,500,000 |
United States Dollar 3,806,057 |
Standard Chartered Bank | 78,156 | ||||||||
6/13/11
|
South Korean Won 1,168,000,000 |
United States Dollar 1,069,499 |
Deutsche Bank | 22,409 | ||||||||
6/14/11
|
Malaysian Ringgit 5,800,000 |
United States Dollar 1,902,575 |
Bank of America | 56,373 | ||||||||
6/14/11
|
South Korean Won 708,600,000 |
United States Dollar 646,651 |
Barclays Bank PLC | 15,743 | ||||||||
6/14/11
|
South Korean Won 1,480,000,000 |
United States Dollar 1,351,969 |
Credit Suisse | 31,524 | ||||||||
6/14/11
|
South Korean Won 642,000,000 |
United States Dollar 585,927 |
Goldman Sachs, Inc. | 14,210 | ||||||||
6/15/11
|
Yuan Renminbi 1,800,000 |
United States Dollar 272,521 |
Citigroup Global Markets | 6,519 | ||||||||
6/15/11
|
Yuan Renminbi 3,800,000 |
United States Dollar 574,887 |
HSBC Bank USA | 14,198 |
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases
|
||||||||||||
Net Unrealized |
||||||||||||
Appreciation |
||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
6/21/11
|
Serbian Dinar 33,685,000 |
Euro 327,261 |
HSBC Bank USA | $ | 13,029 | |||||||
6/27/11
|
Malaysian Ringgit 7,738,000 |
United States Dollar 2,543,303 |
Deutsche Bank | 69,396 | ||||||||
6/27/11
|
Norwegian Krone 14,564,882 |
Euro 1,867,604 |
Standard Bank | 4,976 | ||||||||
6/30/11
|
Czech Koruna 33,030,000 |
Euro 1,369,687 |
Deutsche Bank | (3,372 | ) | |||||||
6/30/11
|
Hungarian Forint 896,948,135 |
Euro 3,367,554 |
Standard Bank | 13,248 | ||||||||
6/30/11
|
Malaysian Ringgit 6,300,000 |
United States Dollar 2,074,894 |
Bank of America | 52,120 | ||||||||
7/5/11
|
Brazilian Real 4,344,000 |
United States Dollar 2,684,796 |
Credit Suisse | 61,182 | ||||||||
7/5/11
|
Brazilian Real 26,430,000 |
United States Dollar 15,487,841 |
Standard Bank | 1,219,388 | ||||||||
7/5/11
|
Brazilian Real 4,600,000 |
United States Dollar 2,702,703 |
Standard Chartered Bank | 205,101 | ||||||||
7/5/11
|
Serbian Dinar 84,685,000 |
Euro 836,674 |
Deutsche Bank | 8,081 | ||||||||
7/6/11
|
Indian Rupee 74,100,000 |
United States Dollar 1,632,878 |
Citigroup Global Markets | 23,818 | ||||||||
7/11/11
|
Indian Rupee 22,400,000 |
United States Dollar 499,777 |
Goldman Sachs, Inc. | 608 | ||||||||
7/11/11
|
Malaysian Ringgit 13,890,000 |
United States Dollar 4,577,964 |
Bank of America | 109,812 | ||||||||
7/11/11
|
Malaysian Ringgit 7,320,000 |
United States Dollar 2,414,168 |
Deutsche Bank | 56,279 | ||||||||
7/12/11
|
Malaysian Ringgit 17,800,000 |
United States Dollar 5,880,021 |
JPMorgan Chase Bank | 127,089 | ||||||||
7/18/11
|
Ghanaian Cedi 829,820 |
United States Dollar 537,797 |
Standard Bank | 1,609 | ||||||||
7/18/11
|
Malaysian Ringgit 45,150,000 |
United States Dollar 14,877,912 |
Standard Chartered Bank | 355,236 | ||||||||
7/20/11
|
Ghanaian Cedi 3,288,700 |
United States Dollar 2,131,367 |
Standard Bank | 5,307 | ||||||||
7/25/11
|
Indian Rupee 96,573,000 |
United States Dollar 2,141,783 |
Credit Suisse | 10,419 | ||||||||
7/25/11
|
Malaysian Ringgit 36,075,000 |
United States Dollar 11,960,810 |
Deutsche Bank | 206,810 | ||||||||
7/28/11
|
Malaysian Ringgit 13,000,000 |
United States Dollar 4,330,446 |
Bank of America | 53,708 | ||||||||
7/29/11
|
Malaysian Ringgit 3,530,000 |
United States Dollar 1,183,214 |
Barclays Bank PLC | 7,201 | ||||||||
7/29/11
|
Serbian Dinar 48,350,000 |
Euro 470,789 |
Citigroup Global Markets | 10,153 |
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
Purchases
|
||||||||||||
Net Unrealized |
||||||||||||
Appreciation |
||||||||||||
Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
7/29/11
|
Serbian Dinar 64,194,000 |
Euro 626,283 |
Standard Bank | $ | 11,678 | |||||||
8/2/11
|
Brazilian Real 13,500,000 |
United States Dollar 7,721,787 |
HSBC Bank USA | 768,972 | ||||||||
8/4/11
|
Serbian Dinar 32,219,000 |
Euro 316,960 |
Barclays Bank PLC | 1,224 | ||||||||
8/4/11
|
Serbian Dinar 54,106,000 |
Euro 529,931 |
JPMorgan Chase Bank | 5,522 | ||||||||
8/9/11
|
Yuan Renminbi 2,470,000 |
United States Dollar 369,263 |
Goldman Sachs, Inc. | 15,818 | ||||||||
8/24/11
|
Yuan Renminbi 1,920,000 |
United States Dollar 287,511 |
Bank of America | 12,147 | ||||||||
10/12/11
|
Yuan Renminbi 2,000,000 |
United States Dollar 309,191 |
Deutsche Bank | 4,060 | ||||||||
10/12/11
|
Yuan Renminbi 13,300,000 |
United States Dollar 2,048,991 |
JPMorgan Chase Bank | 34,126 | ||||||||
10/13/11
|
Russian Ruble 231,059,000 |
United States Dollar 8,087,045 |
Credit Suisse | 219,248 | ||||||||
10/13/11
|
Zambian Kwacha 749,000,000 |
United States Dollar 152,143 |
Standard Chartered Bank | 2,841 | ||||||||
11/28/11
|
Yuan Renminbi 4,545,800 |
United States Dollar 700,000 |
Barclays Bank PLC | 14,219 | ||||||||
11/28/11
|
Yuan Renminbi 4,547,550 |
United States Dollar 700,000 |
JPMorgan Chase Bank | 14,494 | ||||||||
11/28/11
|
Yuan Renminbi 9,093,000 |
United States Dollar 1,400,000 |
Standard Chartered Bank | 28,657 | ||||||||
12/8/11
|
Russian Ruble 296,460,000 |
United States Dollar 9,187,573 |
HSBC Bank USA | 1,408,055 | ||||||||
12/13/11
|
Mexican Peso 217,378,684 |
United States Dollar 16,856,874 |
HSBC Bank USA | 1,597,748 | ||||||||
12/30/11
|
Yuan Renminbi 6,600,000 |
United States Dollar 1,020,882 |
Bank of America | 18,129 | ||||||||
1/19/12
|
Yuan Renminbi 780,000 |
United States Dollar 123,223 |
Barclays Bank PLC | (279 | ) | |||||||
1/30/12
|
Yuan Renminbi 4,190,000 |
United States Dollar 648,828 |
Bank of America | 12,049 | ||||||||
1/30/12
|
Yuan Renminbi 14,416,000 |
United States Dollar 2,234,935 |
Barclays Bank PLC | 38,859 | ||||||||
6/18/12
|
Yuan Renminbi 1,990,000 |
United States Dollar 299,248 |
Goldman Sachs, Inc. | 17,099 | ||||||||
11/13/12
|
Yuan Renminbi 10,940,000 |
United States Dollar 1,743,426 |
Bank of America | 9,985 | ||||||||
$ | 14,528,740 | |||||||||||
Futures Contracts | ||||||||||||||||||
Net Unrealized |
||||||||||||||||||
Appreciation |
||||||||||||||||||
Expiration Date | Contracts | Position | Aggregate Cost | Value | (Depreciation) | |||||||||||||
6/11
|
36 Euro-Bobl | Short | $ | (6,175,063 | ) | $ | (6,144,759 | ) | $ | 30,304 | ||||||||
6/11
|
18 Euro-Bund | Short | (3,265,136 | ) | (3,277,133 | ) | (11,997 | ) | ||||||||||
6/11
|
10 Euro-Buxl | Short | (1,539,508 | ) | (1,535,953 | ) | 3,555 | |||||||||||
6/11
|
16 Gold | Short | (2,336,051 | ) | (2,490,240 | ) | (154,189 | ) | ||||||||||
6/11
|
6 Japan 10-Year Bond | Short | (10,270,603 | ) | (10,359,366 | ) | (88,763 | ) | ||||||||||
6/11
|
17 U.S. 2-Year Treasury Note | Short | (3,705,469 | ) | (3,725,125 | ) | (19,656 | ) | ||||||||||
6/11
|
19 U.S. 5-Year Treasury Note | Short | (2,214,688 | ) | (2,250,907 | ) | (36,219 | ) | ||||||||||
6/11
|
7 U.S. 10-Year Treasury Note | Short | (829,719 | ) | (847,985 | ) | (18,266 | ) | ||||||||||
6/11
|
74 U.S. 30-Year Treasury Bond | Short | (8,824,500 | ) | (9,055,750 | ) | (231,250 | ) | ||||||||||
6/11
|
3 U.S. Ultra-Long Treasury Bond | Short | (358,001 | ) | (377,625 | ) | (19,624 | ) | ||||||||||
7/11
|
22 Platinum | Long | 1,973,547 | 2,052,050 | 78,503 | |||||||||||||
$ | (467,602 | ) | ||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||
Notional |
Portfolio |
Net Unrealized |
||||||||||||||||||
Amount |
Pays/Receives |
Floating |
Annual |
Termination |
Appreciation |
|||||||||||||||
Counterparty | (000s omitted) | Floating Rate | Rate Index | Fixed Rate | Date | (Depreciation) | ||||||||||||||
Bank of America
|
ILS 640 | Receive | 3-month ILS TELBOR | 4.20 | % | 11/19/14 | $ | (935 | ) | |||||||||||
Bank of America
|
ILS 600 | Receive | 3-month ILS TELBOR | 4.54 | 1/6/15 | (2,314 | ) | |||||||||||||
Bank of America
|
MXN 26,000 | Pay | Mexican Interbank Deposit Rate | 6.46 | 9/24/20 | (150,566 | ) | |||||||||||||
Bank of America
|
PLN 10,700 | Pay | 6-month PLN WIBOR | 4.88 | 9/14/14 | 11,089 | ||||||||||||||
Bank of America
|
PLN 3,600 | Pay | 6-month PLN WIBOR | 4.95 | 9/14/20 | (38,274 | ) | |||||||||||||
Barclays Bank PLC
|
ILS 303 | Receive | 3-month ILS TELBOR | 5.15 | 3/5/20 | 258 | ||||||||||||||
Barclays Bank PLC
|
ILS 303 | Receive | 3-month ILS TELBOR | 5.16 | 3/8/20 | 211 | ||||||||||||||
Barclays Bank PLC
|
MYR 26,000 | Pay | 3-month MYR KLIBOR | 3.39 | 11/23/13 | (47,725 | ) | |||||||||||||
Barclays Bank PLC
|
MYR 18,000 | Pay | 3-month MYR KLIBOR | 3.70 | 10/19/15 | (50,386 | ) | |||||||||||||
Barclays Bank PLC
|
MYR 10,000 | Pay | 3-month MYR KLIBOR | 4.13 | 10/19/20 | (77,530 | ) | |||||||||||||
Barclays Bank PLC
|
PLN 8,000 | Pay | 6-month PLN WIBOR | 5.42 | 6/1/14 | 79,785 | ||||||||||||||
Barclays Bank PLC
|
PLN 14,300 | Pay | 6-month PLN WIBOR | 5.02 | 7/30/14 | 51,659 | ||||||||||||||
Barclays Bank PLC
|
PLN 24,000 | Pay | 6-month PLN WIBOR | 5.18 | 11/9/14 | (67,007 | ) | |||||||||||||
Barclays Bank PLC
|
PLN 2,300 | Pay | 6-month PLN WIBOR | 5.36 | 7/30/20 | 3,825 | ||||||||||||||
Barclays Bank PLC
|
THB 143,000 | Pay | 6-month THBFIX | 3.34 | 2/16/15 | (26,749 | ) | |||||||||||||
Barclays Bank PLC
|
THB 149,550 | Pay | 6-month THBFIX | 3.21 | 10/4/20 | (354,950 | ) | |||||||||||||
Barclays Bank PLC
|
ZAR 53,700 | Pay | 3-month JIBAR | 7.41 | 9/24/20 | (360,463 | ) | |||||||||||||
Citigroup Global Markets | MXN 50,000 | Pay | Mexican Interbank Deposit Rate | 9.08 | 8/6/13 | 318,724 |
Interest Rate Swaps (continued) | ||||||||||||||||||||
Notional |
Portfolio |
Net Unrealized |
||||||||||||||||||
Amount |
Pays/Receives |
Floating |
Annual |
Termination |
Appreciation |
|||||||||||||||
Counterparty | (000s omitted) | Floating Rate | Rate Index | Fixed Rate | Date | (Depreciation) | ||||||||||||||
Citigroup Global Markets | MXN 48,000 | Pay | Mexican Interbank Deposit Rate | 6.86 | % | 11/10/20 | $ | (165,701 | ) | |||||||||||
Citigroup Global Markets | MYR 37,000 | Pay | 3-month MYR KLIBOR | 3.48 | 3/4/13 | (11,643 | ) | |||||||||||||
Citigroup Global Markets | THB 69,000 | Pay | 6-month THBFIX | 3.40 | 1/14/15 | 4,223 | ||||||||||||||
Credit Suisse
|
MXN 42,000 | Pay | Mexican Interbank Deposit Rate | 6.24 | 7/31/15 | (36,034 | ) | |||||||||||||
Credit Suisse
|
MXN 45,000 | Pay | Mexican Interbank Deposit Rate | 5.84 | 10/1/15 | (109,900 | ) | |||||||||||||
Credit Suisse
|
MXN 41,500 | Pay | Mexican Interbank Deposit Rate | 6.36 | 10/23/20 | (269,279 | ) | |||||||||||||
Credit Suisse
|
PLN 10,000 | Pay | 6-month PLN WIBOR | 5.17 | 6/15/12 | 108,573 | ||||||||||||||
Deutsche Bank
|
MYR 10,800 | Pay | 3-month MYR KLIBOR | 4.38 | 11/23/20 | (6,470 | ) | |||||||||||||
Deutsche Bank
|
PLN 5,400 | Pay | 6-month PLN WIBOR | 4.85 | 4/23/14 | (34,197 | ) | |||||||||||||
Deutsche Bank
|
PLN 3,100 | Pay | 6-month PLN WIBOR | 5.11 | 4/23/17 | (32,809 | ) | |||||||||||||
HSBC Bank USA
|
MXN 44,030 | Pay | Mexican Interbank Deposit Rate | 7.28 | 12/23/20 | (47,047 | ) | |||||||||||||
HSBC Bank USA
|
THB 262,000 | Pay | 6-month THBFIX | 2.67 | 10/21/15 | (377,463 | ) | |||||||||||||
HSBC Bank USA
|
THB 94,300 | Pay | 6-month THBFIX | 3.26 | 8/19/20 | (195,724 | ) | |||||||||||||
HSBC Bank USA
|
THB 159,000 | Pay | 6-month THBFIX | 3.50 | 11/25/20 | (206,944 | ) | |||||||||||||
JPMorgan Chase Bank
|
BRL 41,183 | Pay | Brazilian Interbank Deposit Rate | 11.41 | 7/2/12 | (265,184 | ) | |||||||||||||
JPMorgan Chase Bank
|
MXN 50,500 | Pay | Mexican Interbank Deposit Rate | 5.31 | 9/19/12 | 199 | ||||||||||||||
JPMorgan Chase Bank
|
MYR 4,750 | Pay | 3-month MYR KLIBOR | 4.44 | 4/8/19 | 16,477 | ||||||||||||||
JPMorgan Chase Bank
|
PLN 16,600 | Pay | 6-month PLN WIBOR | 4.75 | 10/11/13 | 49,755 | ||||||||||||||
JPMorgan Chase Bank
|
PLN 31,500 | Pay | 6-month PLN WIBOR | 5.06 | 11/26/13 | (47,196 | ) | |||||||||||||
JPMorgan Chase Bank
|
PLN 16,200 | Pay | 6-month PLN WIBOR | 4.93 | 10/13/17 | (104,057 | ) | |||||||||||||
JPMorgan Chase Bank
|
PLN 9,900 | Pay | 6-month PLN WIBOR | 4.91 | 10/11/18 | (87,876 | ) | |||||||||||||
JPMorgan Chase Bank
|
PLN 15,099 | Pay | 6-month PLN WIBOR | 5.62 | 4/8/21 | (13,343 | ) | |||||||||||||
JPMorgan Chase Bank
|
THB 108,000 | Pay | 6-month THBFIX | 3.22 | 10/21/20 | (258,172 | ) | |||||||||||||
JPMorgan Chase Bank
|
ZAR 36,500 | Pay | 3-month JIBAR | 9.05 | 10/12/15 | 322,867 | ||||||||||||||
Standard Chartered Bank | BRL 19,000 | Pay | Brazilian Interbank Deposit Rate | 12.12 | 1/2/13 | (68,297 | ) | |||||||||||||
$ | (2,546,590 | ) | ||||||||||||||||||
BRL
|
- Brazilian Real
|
|
ILS
|
- Israeli Shekel
|
|
MXN
|
- Mexican Peso
|
|
MYR
|
- Malaysian Ringgit
|
|
PLN
|
- Polish Zloty
|
|
THB
|
- Thailand Baht
|
|
ZAR
|
- South African Rand
|
Credit Default Swaps Sell Protection | ||||||||||||||||||||||||||||||||
Current |
Upfront |
|||||||||||||||||||||||||||||||
Notional |
Contract |
Market |
Payments |
Net Unrealized |
||||||||||||||||||||||||||||
Amount* |
Annual |
Termination |
Annual |
Market |
Received |
Appreciation |
||||||||||||||||||||||||||
Reference Entity | Counterparty | (000s omitted) | Fixed Rate** | Date | Fixed Rate*** | Value | (Paid) | (Depreciation) | ||||||||||||||||||||||||
Argentina | Bank of America | $ | 4,959 | 5.00 | %(1) | 6/20/13 | 4.38 | % | $ | 91,476 | $ | (29,810 | ) | $ | 61,666 | |||||||||||||||||
Argentina
|
Bank of America | 1,520 | 5.00 | (1) | 6/20/13 | 4.38 | 28,038 | (20,841 | ) | 7,197 | ||||||||||||||||||||||
Argentina
|
Bank of America | 760 | 5.00 | (1) | 6/20/13 | 4.38 | 14,019 | (10,730 | ) | 3,289 | ||||||||||||||||||||||
Argentina
|
Bank of America | 667 | 5.00 | (1) | 6/20/13 | 4.38 | 12,309 | (12,427 | ) | (118 | ) | |||||||||||||||||||||
Argentina
|
Bank of America | 695 | 5.00 | (1) | 6/20/13 | 4.38 | 12,815 | (13,365 | ) | (550 | ) | |||||||||||||||||||||
Argentina
|
Citigroup Global Markets | 375 | 5.00 | (1) | 6/20/16 | 5.79 | (10,395 | ) | 9,730 | (665 | ) | |||||||||||||||||||||
Argentina
|
Credit Suisse | 826 | 5.00 | (1) | 6/20/13 | 4.38 | 15,236 | (4,965 | ) | 10,271 | ||||||||||||||||||||||
Argentina
|
Credit Suisse | 763 | 5.00 | (1) | 6/20/13 | 4.38 | 14,074 | (10,801 | ) | 3,273 | ||||||||||||||||||||||
Argentina
|
Credit Suisse | 379 | 5.00 | (1) | 6/20/13 | 4.38 | 6,991 | (3,809 | ) | 3,182 | ||||||||||||||||||||||
Argentina
|
Credit Suisse | 734 | 5.00 | (1) | 6/20/13 | 4.38 | 13,540 | (10,391 | ) | 3,149 | ||||||||||||||||||||||
Argentina
|
Credit Suisse | 847 | 5.00 | (1) | 6/20/16 | 5.79 | (23,478 | ) | 20,950 | (2,528 | ) | |||||||||||||||||||||
Argentina
|
Credit Suisse | 670 | 5.00 | (1) | 6/20/16 | 5.79 | (18,572 | ) | 15,223 | (3,349 | ) | |||||||||||||||||||||
Argentina
|
Deutsche Bank | 734 | 5.00 | (1) | 6/20/13 | 4.38 | 13,540 | (10,391 | ) | 3,149 | ||||||||||||||||||||||
Argentina
|
Deutsche Bank | 668 | 5.00 | (1) | 6/20/13 | 4.38 | 12,322 | (9,451 | ) | 2,871 | ||||||||||||||||||||||
Argentina
|
Deutsche Bank | 695 | 5.00 | (1) | 6/20/13 | 4.38 | 12,817 | (13,367 | ) | (550 | ) | |||||||||||||||||||||
Iceland
|
JPMorgan Chase Bank | 500 | 1.75 | 3/20/18 | 2.50 | (20,433 | ) | | (20,433 | ) | ||||||||||||||||||||||
Iceland
|
JPMorgan Chase Bank | 200 | 2.10 | 3/20/23 | 2.49 | (5,855 | ) | | (5,855 | ) | ||||||||||||||||||||||
Iceland
|
JPMorgan Chase Bank | 200 | 2.45 | 3/20/23 | 2.49 | (34 | ) | | (34 | ) | ||||||||||||||||||||||
South Africa
|
Bank of America | 775 | 1.00 | (1) | 12/20/15 | 1.10 | (2,728 | ) | 5,801 | 3,073 | ||||||||||||||||||||||
South Africa
|
Bank of America | 525 | 1.00 | (1) | 12/20/15 | 1.10 | (1,848 | ) | 4,119 | 2,271 | ||||||||||||||||||||||
South Africa
|
Barclays Bank PLC | 750 | 1.00 | (1) | 12/20/15 | 1.10 | (2,640 | ) | 6,534 | 3,894 | ||||||||||||||||||||||
South Africa
|
Barclays Bank PLC | 565 | 1.00 | (1) | 12/20/15 | 1.10 | (1,989 | ) | 4,964 | 2,975 | ||||||||||||||||||||||
South Africa
|
Credit Suisse | 840 | 1.00 | (1) | 12/20/15 | 1.10 | (2,957 | ) | 16,426 | 13,469 | ||||||||||||||||||||||
South Africa
|
Credit Suisse | 790 | 1.00 | (1) | 12/20/15 | 1.10 | (2,781 | ) | 7,566 | 4,785 | ||||||||||||||||||||||
South Africa
|
Credit Suisse | 775 | 1.00 | (1) | 12/20/15 | 1.10 | (2,728 | ) | 6,818 | 4,090 | ||||||||||||||||||||||
South Africa
|
Deutsche Bank | 500 | 1.00 | (1) | 9/20/15 | 1.06 | (662 | ) | 10,475 | 9,813 | ||||||||||||||||||||||
South Africa
|
Deutsche Bank | 610 | 1.00 | (1) | 12/20/15 | 1.10 | (2,148 | ) | 5,360 | 3,212 | ||||||||||||||||||||||
South Africa
|
Goldman Sachs, Inc. | 820 | 1.00 | (1) | 12/20/15 | 1.10 | (2,887 | ) | 7,853 | 4,966 | ||||||||||||||||||||||
South Africa
|
Goldman Sachs, Inc. | 815 | 1.00 | (1) | 12/20/15 | 1.10 | (2,869 | ) | 7,516 | 4,647 | ||||||||||||||||||||||
South Africa
|
JPMorgan Chase Bank | 1,500 | 1.00 | (1) | 9/20/15 | 1.06 | (1,986 | ) | 19,139 | 17,153 | ||||||||||||||||||||||
$ | 140,187 | $ | (1,874 | ) | $ | 138,313 | ||||||||||||||||||||||||||
Credit Default Swaps Buy Protection | ||||||||||||||||||||||||||||
Upfront |
||||||||||||||||||||||||||||
Notional |
Contract |
Payments |
Net Unrealized |
|||||||||||||||||||||||||
Amount |
Annual |
Termination |
Market |
Received |
Appreciation |
|||||||||||||||||||||||
Reference Entity | Counterparty | (000s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
Austria
|
Barclays Bank PLC | $ | 300 | 0.44 | % | 12/20/13 | $ | (1,051 | ) | $ | | $ | (1,051 | ) | ||||||||||||||
Austria
|
Barclays Bank PLC | 200 | 1.42 | 3/20/14 | (6,491 | ) | | (6,491 | ) | |||||||||||||||||||
Brazil
|
Bank of America | 350 | 1.00 | (1) | 6/20/20 | 11,553 | (11,731 | ) | (178 | ) | ||||||||||||||||||
Brazil
|
Bank of America | 825 | 1.00 | (1) | 6/20/20 | 27,232 | (34,890 | ) | (7,658 | ) | ||||||||||||||||||
Brazil
|
Bank of America | 2,900 | 1.00 | (1) | 12/20/20 | 106,045 | (89,124 | ) | 16,921 | |||||||||||||||||||
Brazil
|
Bank of America | 883 | 1.00 | (1) | 12/20/20 | 32,289 | (31,727 | ) | 562 |
Credit Default Swaps Buy Protection (continued) | ||||||||||||||||||||||||||||
Upfront |
||||||||||||||||||||||||||||
Notional |
Contract |
Payments |
Net Unrealized |
|||||||||||||||||||||||||
Amount |
Annual |
Termination |
Market |
Received |
Appreciation |
|||||||||||||||||||||||
Reference Entity | Counterparty | (000s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
Brazil
|
Bank of America | $ | 387 | 1.00 | %(1) | 12/20/20 | $ | 14,151 | $ | (13,601 | ) | $ | 550 | |||||||||||||||
Brazil
|
Bank of America | 120 | 1.00 | (1) | 12/20/20 | 4,388 | (4,035 | ) | 353 | |||||||||||||||||||
Brazil
|
Barclays Bank PLC | 450 | 1.65 | 9/20/19 | (9,110 | ) | | (9,110 | ) | |||||||||||||||||||
Brazil
|
Barclays Bank PLC | 770 | 1.00 | (1) | 12/20/20 | 28,156 | (28,312 | ) | (156 | ) | ||||||||||||||||||
Brazil
|
Citigroup Global Markets | 190 | 1.00 | (1) | 12/20/20 | 6,948 | (6,463 | ) | 485 | |||||||||||||||||||
Brazil
|
Deutsche Bank | 1,600 | 1.00 | (1) | 12/20/20 | 58,507 | (36,693 | ) | 21,814 | |||||||||||||||||||
Brazil
|
Deutsche Bank | 190 | 1.00 | (1) | 12/20/20 | 6,948 | (7,210 | ) | (262 | ) | ||||||||||||||||||
Brazil
|
HSBC Bank USA | 160 | 1.00 | (1) | 12/20/20 | 5,851 | (5,443 | ) | 408 | |||||||||||||||||||
Brazil
|
Standard Chartered Bank | 800 | 1.00 | (1) | 12/20/20 | 29,254 | (22,915 | ) | 6,339 | |||||||||||||||||||
Brazil
|
Standard Chartered Bank | 150 | 1.00 | (1) | 12/20/20 | 5,485 | (5,102 | ) | 383 | |||||||||||||||||||
Egypt
|
Bank of America | 550 | 1.00 | (1) | 9/20/15 | 49,935 | (23,128 | ) | 26,807 | |||||||||||||||||||
Egypt
|
Barclays Bank PLC | 125 | 1.00 | (1) | 6/20/15 | 10,601 | (4,217 | ) | 6,384 | |||||||||||||||||||
Egypt
|
Citigroup Global Markets | 650 | 1.00 | (1) | 12/20/15 | 62,770 | (40,595 | ) | 22,175 | |||||||||||||||||||
Egypt
|
Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 17,495 | (10,134 | ) | 7,361 | |||||||||||||||||||
Egypt
|
Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 17,495 | (10,645 | ) | 6,850 | |||||||||||||||||||
Egypt
|
Credit Suisse | 1,085 | 1.00 | (1) | 12/20/15 | 104,778 | (67,768 | ) | 37,010 | |||||||||||||||||||
Egypt
|
Credit Suisse | 375 | 1.00 | (1) | 12/20/15 | 36,213 | (21,941 | ) | 14,272 | |||||||||||||||||||
Egypt
|
Deutsche Bank | 250 | 1.00 | (1) | 6/20/15 | 21,202 | (8,344 | ) | 12,858 | |||||||||||||||||||
Egypt
|
Deutsche Bank | 150 | 1.00 | (1) | 6/20/15 | 12,722 | (6,755 | ) | 5,967 | |||||||||||||||||||
Egypt
|
Deutsche Bank | 100 | 1.00 | (1) | 6/20/15 | 8,481 | (5,065 | ) | 3,416 | |||||||||||||||||||
Egypt
|
Deutsche Bank | 100 | 1.00 | (1) | 6/20/15 | 8,481 | (5,231 | ) | 3,250 | |||||||||||||||||||
Egypt
|
Deutsche Bank | 125 | 1.00 | (1) | 9/20/15 | 11,349 | (6,744 | ) | 4,605 | |||||||||||||||||||
Egypt
|
Deutsche Bank | 1,400 | 1.00 | (1) | 12/20/15 | 135,197 | (65,600 | ) | 69,597 | |||||||||||||||||||
Egypt
|
Deutsche Bank | 930 | 1.00 | (1) | 12/20/15 | 89,809 | (52,836 | ) | 36,973 | |||||||||||||||||||
Egypt
|
Deutsche Bank | 100 | 1.00 | (1) | 6/20/20 | 17,495 | (10,196 | ) | 7,299 | |||||||||||||||||||
Egypt
|
Deutsche Bank | 50 | 1.00 | (1) | 6/20/20 | 8,747 | (5,091 | ) | 3,656 | |||||||||||||||||||
Egypt
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 6/20/15 | 8,480 | (5,132 | ) | 3,348 | |||||||||||||||||||
Greece
|
Citigroup Global Markets | 225 | 1.00 | (1) | 6/20/15 | 108,636 | (35,863 | ) | 72,773 | |||||||||||||||||||
Guatemala
|
Citigroup Global Markets | 458 | 1.00 | (1) | 9/20/20 | 30,693 | (33,032 | ) | (2,339 | ) | ||||||||||||||||||
Lebanon
|
Barclays Bank PLC | 200 | 1.00 | (1) | 12/20/14 | 14,955 | (11,212 | ) | 3,743 | |||||||||||||||||||
Lebanon
|
Citigroup Global Markets | 250 | 3.30 | 9/20/14 | (1,696 | ) | | (1,696 | ) | |||||||||||||||||||
Lebanon
|
Citigroup Global Markets | 200 | 1.00 | (1) | 12/20/14 | 14,955 | (11,381 | ) | 3,574 | |||||||||||||||||||
Lebanon
|
Citigroup Global Markets | 150 | 1.00 | (1) | 12/20/14 | 11,216 | (8,240 | ) | 2,976 | |||||||||||||||||||
Lebanon
|
Citigroup Global Markets | 100 | 1.00 | (1) | 12/20/14 | 7,477 | (5,606 | ) | 1,871 | |||||||||||||||||||
Lebanon
|
Credit Suisse | 300 | 1.00 | (1) | 3/20/15 | 24,282 | (16,465 | ) | 7,817 | |||||||||||||||||||
Lebanon
|
Credit Suisse | 100 | 1.00 | (1) | 3/20/15 | 8,094 | (5,520 | ) | 2,574 | |||||||||||||||||||
Lebanon
|
Credit Suisse | 1,000 | 1.00 | (1) | 12/20/15 | 99,701 | (79,091 | ) | 20,610 | |||||||||||||||||||
Lebanon
|
Credit Suisse | 840 | 1.00 | (1) | 12/20/15 | 83,748 | (69,639 | ) | 14,109 | |||||||||||||||||||
Lebanon
|
Credit Suisse | 350 | 1.00 | (1) | 12/20/15 | 34,895 | (27,620 | ) | 7,275 | |||||||||||||||||||
Lebanon
|
Deutsche Bank | 100 | 1.00 | (1) | 3/20/15 | 8,094 | (5,096 | ) | 2,998 | |||||||||||||||||||
Lebanon
|
Deutsche Bank | 1,140 | 1.00 | (1) | 12/20/15 | 113,658 | (93,627 | ) | 20,031 | |||||||||||||||||||
Lebanon
|
Deutsche Bank | 865 | 1.00 | (1) | 12/20/15 | 86,241 | (71,334 | ) | 14,907 | |||||||||||||||||||
Malaysia
|
Bank of America | 200 | 0.83 | 12/20/14 | (2,266 | ) | | (2,266 | ) | |||||||||||||||||||
Malaysia
|
Barclays Bank PLC | 300 | 2.40 | 3/20/14 | (17,671 | ) | | (17,671 | ) | |||||||||||||||||||
Malaysia
|
Barclays Bank PLC | 400 | 0.82 | 12/20/14 | (4,385 | ) | | (4,385 | ) | |||||||||||||||||||
Malaysia
|
Citigroup Global Markets | 300 | 2.45 | 3/20/14 | (18,119 | ) | | (18,119 | ) | |||||||||||||||||||
Philippines
|
Bank of America | 700 | 1.00 | (1) | 12/20/15 | 3,953 | (14,092 | ) | (10,139 | ) | ||||||||||||||||||
Philippines
|
Barclays Bank PLC | 142 | 1.00 | (1) | 3/20/15 | (370 | ) | (3,209 | ) | (3,579 | ) |
Credit Default Swaps Buy Protection (continued) | ||||||||||||||||||||||||||||
Upfront |
||||||||||||||||||||||||||||
Notional |
Contract |
Payments |
Net Unrealized |
|||||||||||||||||||||||||
Amount |
Annual |
Termination |
Market |
Received |
Appreciation |
|||||||||||||||||||||||
Reference Entity | Counterparty | (000s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
Philippines
|
Barclays Bank PLC | $ | 500 | 1.70 | % | 12/20/14 | $ | (15,171 | ) | $ | | $ | (15,171 | ) | ||||||||||||||
Philippines
|
Barclays Bank PLC | 300 | 1.84 | 12/20/14 | (10,649 | ) | | (10,649 | ) | |||||||||||||||||||
Philippines
|
Barclays Bank PLC | 100 | 1.85 | 12/20/14 | (3,586 | ) | | (3,586 | ) | |||||||||||||||||||
Philippines
|
Citigroup Global Markets | 200 | 1.84 | 12/20/14 | (7,099 | ) | | (7,099 | ) | |||||||||||||||||||
Philippines
|
Citigroup Global Markets | 100 | 1.86 | 12/20/14 | (3,623 | ) | | (3,623 | ) | |||||||||||||||||||
Philippines
|
Deutsche Bank | 150 | 1.00 | (1) | 3/20/15 | (390 | ) | (3,683 | ) | (4,073 | ) | |||||||||||||||||
Philippines
|
HSBC Bank USA | 600 | 1.00 | (1) | 9/20/15 | 1,534 | (13,646 | ) | (12,112 | ) | ||||||||||||||||||
Philippines
|
JPMorgan Chase Bank | 142 | 1.00 | (1) | 3/20/15 | (370 | ) | (3,209 | ) | (3,579 | ) | |||||||||||||||||
Philippines
|
JPMorgan Chase Bank | 400 | 1.69 | 12/20/14 | (11,990 | ) | | (11,990 | ) | |||||||||||||||||||
Philippines
|
Standard Chartered Bank | 4,900 | 1.00 | (1) | 3/20/16 | 42,528 | (83,635 | ) | (41,107 | ) | ||||||||||||||||||
Russia
|
Bank of America | 540 | 1.00 | (1) | 6/20/15 | 1,755 | (24,652 | ) | (22,897 | ) | ||||||||||||||||||
Russia
|
Bank of America | 860 | 1.00 | (1) | 12/20/20 | 41,191 | (54,889 | ) | (13,698 | ) | ||||||||||||||||||
Russia
|
Barclays Bank PLC | 500 | 1.00 | (1) | 12/20/20 | 23,948 | (31,538 | ) | (7,590 | ) | ||||||||||||||||||
Russia
|
Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/15 | 325 | (1,285 | ) | (960 | ) | ||||||||||||||||||
Russia
|
Credit Suisse | 200 | 1.00 | (1) | 3/20/15 | 325 | (2,226 | ) | (1,901 | ) | ||||||||||||||||||
Russia
|
Credit Suisse | 300 | 1.00 | (1) | 6/20/15 | 976 | (3,644 | ) | (2,668 | ) | ||||||||||||||||||
Russia
|
Deutsche Bank | 490 | 1.00 | (1) | 12/20/20 | 23,469 | (31,274 | ) | (7,805 | ) | ||||||||||||||||||
South Africa
|
Bank of America | 300 | 1.00 | (1) | 12/20/19 | 9,974 | (12,025 | ) | (2,051 | ) | ||||||||||||||||||
South Africa
|
Bank of America | 775 | 1.00 | (1) | 12/20/20 | 31,097 | (28,784 | ) | 2,313 | |||||||||||||||||||
South Africa
|
Bank of America | 525 | 1.00 | (1) | 12/20/20 | 21,066 | (21,388 | ) | (322 | ) | ||||||||||||||||||
South Africa
|
Barclays Bank PLC | 300 | 1.00 | (1) | 12/20/19 | 9,974 | (13,900 | ) | (3,926 | ) | ||||||||||||||||||
South Africa
|
Barclays Bank PLC | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,552 | ) | (51 | ) | ||||||||||||||||||
South Africa
|
Barclays Bank PLC | 565 | 1.00 | (1) | 12/20/20 | 22,671 | (20,907 | ) | 1,764 | |||||||||||||||||||
South Africa
|
Barclays Bank PLC | 750 | 1.00 | (1) | 12/20/20 | 30,094 | (29,415 | ) | 679 | |||||||||||||||||||
South Africa
|
Citigroup Global Markets | 150 | 1.00 | (1) | 12/20/19 | 4,987 | (7,902 | ) | (2,915 | ) | ||||||||||||||||||
South Africa
|
Citigroup Global Markets | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (5,544 | ) | (2,043 | ) | ||||||||||||||||||
South Africa
|
Credit Suisse | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,895 | ) | (394 | ) | ||||||||||||||||||
South Africa
|
Credit Suisse | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (4,739 | ) | (1,238 | ) | ||||||||||||||||||
South Africa
|
Credit Suisse | 775 | 1.00 | (1) | 12/20/20 | 31,097 | (30,604 | ) | 493 | |||||||||||||||||||
South Africa
|
Credit Suisse | 790 | 1.00 | (1) | 12/20/20 | 31,699 | (32,783 | ) | (1,084 | ) | ||||||||||||||||||
South Africa
|
Credit Suisse | 840 | 1.00 | (1) | 12/20/20 | 33,705 | (42,842 | ) | (9,137 | ) | ||||||||||||||||||
South Africa
|
Deutsche Bank | 500 | 1.00 | (1) | 9/20/20 | 19,232 | (26,702 | ) | (7,470 | ) | ||||||||||||||||||
South Africa
|
Deutsche Bank | 610 | 1.00 | (1) | 12/20/20 | 24,477 | (23,524 | ) | 953 | |||||||||||||||||||
South Africa
|
Goldman Sachs, Inc. | 815 | 1.00 | (1) | 12/20/20 | 32,702 | (32,064 | ) | 638 | |||||||||||||||||||
South Africa
|
Goldman Sachs, Inc. | 820 | 1.00 | (1) | 12/20/20 | 32,903 | (32,784 | ) | 119 | |||||||||||||||||||
South Africa
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 12/20/19 | 3,325 | (5,493 | ) | (2,168 | ) | ||||||||||||||||||
South Africa
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 12/20/19 | 3,324 | (6,592 | ) | (3,268 | ) | ||||||||||||||||||
South Africa
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,827 | ) | (326 | ) | ||||||||||||||||||
South Africa
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,964 | ) | (463 | ) | ||||||||||||||||||
South Africa
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (5,478 | ) | (1,977 | ) | ||||||||||||||||||
Spain
|
Barclays Bank PLC | 167 | 1.00 | (1) | 9/20/20 | 16,225 | (15,305 | ) | 920 | |||||||||||||||||||
Spain
|
Barclays Bank PLC | 700 | 1.00 | (1) | 12/20/20 | 69,215 | (68,697 | ) | 518 | |||||||||||||||||||
Spain
|
Barclays Bank PLC | 300 | 1.00 | (1) | 12/20/20 | 29,663 | (29,549 | ) | 114 | |||||||||||||||||||
Spain
|
Barclays Bank PLC | 690 | 1.00 | (1) | 12/20/20 | 68,228 | (68,991 | ) | (763 | ) | ||||||||||||||||||
Spain
|
Citigroup Global Markets | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (7,311 | ) | 20,755 | |||||||||||||||||||
Spain
|
Citigroup Global Markets | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (15,055 | ) | 13,011 | |||||||||||||||||||
Spain
|
Deutsche Bank | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (6,903 | ) | 21,163 | |||||||||||||||||||
Spain
|
Deutsche Bank | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (15,055 | ) | 13,011 |
Credit Default Swaps Buy Protection (continued) | ||||||||||||||||||||||||||||
Upfront |
||||||||||||||||||||||||||||
Notional |
Contract |
Payments |
Net Unrealized |
|||||||||||||||||||||||||
Amount |
Annual |
Termination |
Market |
Received |
Appreciation |
|||||||||||||||||||||||
Reference Entity | Counterparty | (000s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
Spain
|
Deutsche Bank | $ | 550 | 1.00 | %(1) | 6/20/20 | $ | 52,457 | $ | (35,611 | ) | $ | 16,846 | |||||||||||||||
Spain
|
Deutsche Bank | 3,265 | 1.00 | (1) | 12/20/20 | 322,843 | (279,968 | ) | 42,875 | |||||||||||||||||||
Spain
|
Deutsche Bank | 670 | 1.00 | (1) | 12/20/20 | 66,250 | (66,991 | ) | (741 | ) | ||||||||||||||||||
Spain
|
Goldman Sachs, Inc. | 193 | 1.00 | (1) | 9/20/20 | 18,752 | (18,065 | ) | 687 | |||||||||||||||||||
Thailand
|
Barclays Bank PLC | 400 | 0.97 | 9/20/19 | 11,162 | | 11,162 | |||||||||||||||||||||
Thailand
|
Citigroup Global Markets | 400 | 0.86 | 12/20/14 | 330 | | 330 | |||||||||||||||||||||
Thailand
|
Citigroup Global Markets | 200 | 0.95 | 9/20/19 | 5,872 | | 5,872 | |||||||||||||||||||||
Thailand
|
Goldman Sachs, Inc. | 1,500 | 1.00 | (1) | 3/20/16 | 5,778 | (12,229 | ) | (6,451 | ) | ||||||||||||||||||
Thailand
|
JPMorgan Chase Bank | 200 | 0.87 | 12/20/14 | 92 | | 92 | |||||||||||||||||||||
Uruguay
|
Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 7,655 | (6,976 | ) | 679 | |||||||||||||||||||
Uruguay
|
Deutsche Bank | 100 | 1.00 | (1) | 6/20/20 | 7,654 | (6,812 | ) | 842 | |||||||||||||||||||
Banco Comercial Portugues, S.A. |
JPMorgan Chase Bank | 110 | 1.00 | (1) | 3/20/15 | 28,983 | (4,757 | ) | 24,226 | |||||||||||||||||||
Banco de Sabadell, S.A. | JPMorgan Chase Bank | 110 | 3.00 | (1) | 3/20/15 | 6,238 | (560 | ) | 5,678 | |||||||||||||||||||
Citibank Corp.
|
Bank of America | 490 | 1.00 | (1) | 9/20/20 | 15,304 | (29,119 | ) | (13,815 | ) | ||||||||||||||||||
Citibank Corp.
|
JPMorgan Chase Bank | 490 | 1.00 | (1) | 9/20/20 | 15,304 | (30,820 | ) | (15,516 | ) | ||||||||||||||||||
Erste Group Bank AG | Barclays Bank PLC | 110 | 1.00 | (1) | 3/20/15 | 3,838 | (6,071 | ) | (2,233 | ) | ||||||||||||||||||
ING Verzekeringen N.V. | JPMorgan Chase Bank | 110 | 1.00 | (1) | 3/20/15 | 5,049 | (2,731 | ) | 2,318 | |||||||||||||||||||
OAO Gazprom
|
Barclays Bank PLC | 150 | 1.00 | (1) | 6/20/15 | 3,927 | (8,232 | ) | (4,305 | ) | ||||||||||||||||||
OAO Gazprom
|
Deutsche Bank | 150 | 1.00 | (1) | 6/20/15 | 3,927 | (8,285 | ) | (4,358 | ) | ||||||||||||||||||
OAO Gazprom
|
Deutsche Bank | 100 | 1.00 | (1) | 9/20/20 | 8,315 | (11,239 | ) | (2,924 | ) | ||||||||||||||||||
OAO Gazprom
|
Deutsche Bank | 100 | 1.00 | (1) | 9/20/20 | 8,315 | (11,597 | ) | (3,282 | ) | ||||||||||||||||||
OAO Gazprom
|
Goldman Sachs, Inc. | 100 | 1.00 | (1) | 9/20/20 | 8,315 | (11,306 | ) | (2,991 | ) | ||||||||||||||||||
OAO Gazprom
|
Goldman Sachs, Inc. | 390 | 1.00 | (1) | 9/20/20 | 32,429 | (46,306 | ) | (13,877 | ) | ||||||||||||||||||
Rabobank Nederland N.V. | JPMorgan Chase Bank | 110 | 1.00 | (1) | 3/20/15 | (619 | ) | (80 | ) | (699 | ) | |||||||||||||||||
Raiffeisen Zentralbank | Barclays Bank PLC | 110 | 1.00 | (1) | 3/20/15 | 5,231 | (8,195 | ) | (2,964 | ) | ||||||||||||||||||
iTraxx Europe Senior Financials 5-Year Index |
Bank of America | EUR | 920 | 1.00 | (1) | 6/20/16 | 17,185 | (27,395 | ) | (10,210 | ) | |||||||||||||||||
iTraxx Europe Subordinated Financials 5-Year Index |
Goldman Sachs, Inc. | EUR | 3,100 | 1.00 | (1) | 6/20/16 | 254,465 | (318,292 | ) | (63,827 | ) | |||||||||||||||||
$ | 3,208,149 | $ | (2,968,587 | ) | $ | 239,562 | ||||||||||||||||||||||
* | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At April 30, 2011, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $25,457,000. |
** | 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) annually 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 markets perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as Defaulted indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Cross-Currency Swaps | ||||||||||||||||||||||
Notional |
Notional |
|||||||||||||||||||||
Amount on |
Amount on |
|||||||||||||||||||||
Fixed Rate |
Floating Rate |
|||||||||||||||||||||
(Currency |
(Currency |
Net Unrealized |
||||||||||||||||||||
Received) |
Delivered) |
Termination |
Appreciation |
|||||||||||||||||||
Counterparty | (000s omitted) | (000s omitted) | Floating Rate | Fixed Rate | Date | (Depreciation) | ||||||||||||||||
Deutsche Bank | COP 5,200,000 | $ | 2,728 |
6-Month USD-LIBOR-BBA |
3.32 | % | 12/17/13 | $ | 218,167 | |||||||||||||
$ | 218,167 | |||||||||||||||||||||
Fair Value | ||||||||||||||||||||||
Foreign |
Interest |
|||||||||||||||||||||
Consolidated Statement of Assets and Liabilities Caption | Credit | Equity | Exchange | Rate | Commodity | |||||||||||||||||
Securities of unaffiliated issuers, at value
|
$ | | $ | 107,015 | $ | 61,960 | $ | | $ | 5,280 | ||||||||||||
Net unrealized appreciation*
|
| | | 33,859 | 78,503 | |||||||||||||||||
Receivable for open and closed forward foreign currency exchange
contracts
|
| | 15,323,990 | | | |||||||||||||||||
Receivable for open swap contracts; Premium paid/received on
open swap contracts
|
3,569,982 | | | 1,185,812 | | |||||||||||||||||
Total Asset Derivatives
|
$ | 3,569,982 | $ | 107,015 | $ | 15,385,950 | $ | 1,219,671 | $ | 83,783 | ||||||||||||
Net unrealized appreciation*
|
$ | | $ | | $ | | $ | (425,775 | ) | $ | (154,189 | ) | ||||||||||
Payable for open forward commodity contracts
|
| | | | (795,970 | ) | ||||||||||||||||
Payable for open and closed forward foreign currency exchange
contracts
|
| | (4,537,810 | ) | | | ||||||||||||||||
Payable for open swap contracts; Premium paid/received on open
swap contracts
|
(221,646 | ) | | | (3,514,235 | ) | | |||||||||||||||
Total Liability Derivatives
|
$ | (221,646 | ) | $ | | $ | (4,537,810 | ) | $ | (3,940,010 | ) | $ | (950,159 | ) | ||||||||
* | Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above. Only the current days variation margin on open futures contracts is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin, as applicable. |
Foreign |
Interest |
|||||||||||||||||||||
Consolidated Statement of Operations Caption | Credit | Equity | Exchange | Rate | Commodity | |||||||||||||||||
Net realized gain (loss)
|
||||||||||||||||||||||
Financial futures contracts
|
$ | | $ | | $ | | $ | 148,216 | $ | (125,347 | ) | |||||||||||
Swap contracts
|
(420,867 | ) | | | 140,454 | | ||||||||||||||||
Forward commodity contracts
|
| | | | (19,234 | ) | ||||||||||||||||
Foreign currency and forward foreign currency exchange contract
transactions
|
| | 4,478,481 | | | |||||||||||||||||
Total
|
$ | (420,867 | ) | $ | | $ | 4,478,481 | $ | 288,670 | $ | (144,581 | ) | ||||||||||
Change in unrealized appreciation (depreciation)
|
||||||||||||||||||||||
Investments
|
$ | | $ | (376,745 | ) | $ | (183,195 | ) | $ | | $ | (36,420 | ) | |||||||||
Financial futures contracts
|
| | | (391,303 | ) | (75,686 | ) | |||||||||||||||
Swap contracts
|
648,304 | | | (3,260,246 | ) | | ||||||||||||||||
Forward commodity contracts
|
| | | | (795,970 | ) | ||||||||||||||||
Foreign currency and forward foreign currency exchange contracts
|
| | 11,019,137 | | | |||||||||||||||||
Total
|
$ | 648,304 | $ | (376,745 | ) | $ | 10,835,942 | $ | (3,651,549 | ) | $ | (908,076 | ) | |||||||||
| Level 1 quoted prices in active markets for identical investments |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Foreign Government Bonds
|
$ | | $ | 481,210,286 | $ | | $ | 481,210,286 | ||||||||||
Mortgage Pass-Throughs
|
| 13,983,241 | | 13,983,241 | ||||||||||||||
U.S. Government Agency Obligations
|
| 7,384,344 | | 7,384,344 | ||||||||||||||
Precious Metals
|
12,736,074 | | | 12,736,074 | ||||||||||||||
Currency Options Purchased
|
| 61,960 | | 61,960 | ||||||||||||||
Put Options Purchased
|
5,280 | 107,015 | | 112,295 | ||||||||||||||
Short-Term Investments
|
||||||||||||||||||
Foreign Government Securities
|
| 122,371,858 | | 122,371,858 | ||||||||||||||
U.S. Treasury Obligations
|
| 2,338,120 | | 2,338,120 | ||||||||||||||
Repurchase Agreements
|
| 5,266,748 | | 5,266,748 | ||||||||||||||
Other Securities
|
| 33,261,562 | | 33,261,562 | ||||||||||||||
Total Investments
|
$ | 12,741,354 | $ | 665,985,134 | $ | | $ | 678,726,488 | ||||||||||
Forward Foreign Currency Exchange Contracts
|
$ | | $ | 15,323,990 | $ | | $ | 15,323,990 | ||||||||||
Swaps Contracts
|
| 4,755,794 | | 4,755,794 | ||||||||||||||
Futures Contracts
|
112,362 | | | 112,362 | ||||||||||||||
Total
|
$ | 12,853,716 | $ | 686,064,918 | $ | | $ | 698,918,634 | ||||||||||
Liability Description
|
||||||||||||||||||
Securities Sold Short
|
$ | | $ | (4,530,054 | ) | $ | | $ | (4,530,054 | ) | ||||||||
Forward Commodity Contracts
|
| (795,970 | ) | | (795,970 | ) | ||||||||||||
Forward Foreign Currency Exchange Contracts
|
| (4,537,810 | ) | | (4,537,810 | ) | ||||||||||||
Swaps Contracts
|
| (3,735,881 | ) | | (3,735,881 | ) | ||||||||||||
Futures Contracts
|
(579,964 | ) | | | (579,964 | ) | ||||||||||||
Total
|
$ | (579,964 | ) | $ | (13,599,715 | ) | $ | | $ | (14,179,679 | ) | |||||||
| An independent report comparing the advisory and related fees paid by each fund with fees paid by comparable funds; | |
| An independent report comparing each funds total expense ratio and its components to comparable funds; | |
| An independent report comparing the investment performance of each fund (including yield data and Sharpe and information ratios where relevant) to the investment performance of comparable funds over various time periods; | |
| Data regarding investment performance in comparison to relevant peer groups of similarly managed funds and appropriate indices; | |
| For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other mutual funds and institutional accounts using investment strategies and techniques similar to those used in managing such fund; | |
| Profitability analyses for each adviser with respect to each fund; |
| Descriptions of the investment management services provided to each fund, including the investment strategies and processes employed, and any changes in portfolio management processes and personnel; | |
| Information about the allocation of brokerage and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and/or the funds policies with respect to soft dollar arrangements; | |
| Data relating to portfolio turnover rates of each fund; | |
| The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes; |
| Reports detailing the financial results and condition of each adviser; | |
| Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; | |
| Copies of the Codes of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes; | |
| Copies of or descriptions of each advisers policies and procedures relating to proxy voting, the handling of corporate actions and class actions; | |
| Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates on behalf of the funds (including descriptions of various compliance programs) and their record of compliance with investment policies and restrictions, including policies with respect to market-timing, late trading and selective portfolio disclosure, and with policies on personal securities transactions; | |
| Descriptions of the business continuity and disaster recovery plans of each adviser and its affiliates; | |
| A description of Eaton Vance Managements procedures for overseeing third party advisers and sub-advisers; |
| Information concerning the nature, cost and character of the administrative and other non-investment management services provided by Eaton Vance Management and its affiliates; | |
| Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds administrator; and | |
| The terms of each advisory agreement. |
Officers of Eaton Vance Emerging Markets Local Income Fund | ||
Duncan W. Richardson
President Payson F. Swaffield Vice President Barbara E. Campbell Treasurer |
Maureen A. Gemma
Vice President, Secretary and Chief Legal Officer Paul M. ONeil Chief Compliance Officer |
Officers of Emerging Markets Local Income Portfolio | ||
Mark S. Venezia
President Payson F. Swaffield Vice President Barbara E. Campbell Treasurer |
Maureen A. Gemma
Vice President, Secretary and Chief Legal Officer Paul M. ONeil Chief Compliance Officer |
Trustees of Eaton Vance Emerging Markets Local Income Fund and Emerging Markets Local Income Portfolio | ||
Ralph F. Verni
Chairman Benjamin C. Esty Thomas E. Faust Jr.* Allen R. Freedman |
William H. Park
Ronald A. Pearlman Helen Frame Peters Lynn A. Stout |
* | Interested Trustee |
| Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
| None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customers account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker/dealers. |
| Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
| We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
* | FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org. |
3040-6/11 | EMISRC |
(a)(1)
|
Registrants Code of Ethics Not applicable (please see Item 2). | |
(a)(2)(i)
|
Treasurers Section 302 certification. | |
(a)(2)(ii)
|
Presidents Section 302 certification. | |
(b)
|
Combined Section 906 certification. |
By:
|
/s/ Mark S. Venezia
|
|||||
President | ||||||
Date:
|
June 14, 2011 |
By:
|
/s/ Barbara E. Campbell
|
|||||
Treasurer | ||||||
Date:
|
June 14, 2011 | |||||
By:
|
/s/ Mark S. Venezia
|
|||||
President | ||||||
Date:
|
June 14, 2011 |
/s/ Barbara E. Campbell | ||||
Barbara E. Campbell | ||||
Treasurer | ||||
/s/ Mark S. Venezia | ||||
Mark S. Venezia | ||||
President | ||||
(a) | The Semi-Annual Report of the Portfolio on Form N-CSR for the period ended April 30, 2011 (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and | ||
(b) | The information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Portfolio for such period. |
/s/ Barbara E. Campbell | ||||
Barbara E. Campbell | ||||
Treasurer | ||||
/s/ Mark S. Venezia | ||||
Mark S. Venezia | ||||
President | ||||