UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22424
Global Macro Absolute Return Advantage Portfolio
(Exact Name of Registrant as Specified in Charter)
One Post Office Square, Boston, Massachusetts 02109
(Address of Principal Executive Offices)
Deidre E. Walsh
One Post Office Square, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
(617) 482-8260
(Registrants Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2024
Date of Reporting Period
Item 1. Reports to Stockholders
Purchased Currency Options (OTC) — 0.1% | |||||||
Description | Counterparty | Notional Amount | Exercise
Price |
Expiration
Date |
Value | ||
Put USD vs. Call BRL | Goldman Sachs International | USD | 59,025,000 | BRL | 5.01 | 6/11/24 | $ 126,314 |
Put USD vs. Call BRL | JPMorgan Chase Bank, N.A. | USD | 50,105,000 | BRL | 5.01 | 6/11/24 | 107,976 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 50,900,000 | INR | 85.50 | 1/25/29 | 412,850 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 27,200,000 | INR | 85.50 | 1/25/29 | 220,619 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 26,300,000 | INR | 85.50 | 1/30/29 | 213,714 |
Put USD vs. Call MXN | Citibank, N.A. | USD | 35,400,000 | MXN | 17.02 | 5/17/24 | 213,958 |
Put USD vs. Call MXN | Standard Chartered Bank | USD | 55,500,000 | MXN | 16.74 | 6/20/24 | 230,991 |
Put USD vs. Call MXN | Standard Chartered Bank | USD | 20,300,000 | MXN | 16.82 | 7/2/24 | 121,820 |
Put USD vs. Call MXN | Standard Chartered Bank | USD | 35,400,000 | MXN | 16.71 | 7/5/24 | 161,105 |
Total | $1,809,347 |
Written Currency Options (OTC) — (0.0)%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise
Price |
Expiration
Date |
Value | ||
Put USD vs. Call MXN | Standard Chartered Bank | USD | 35,400,000 | MXN | 17.02 | 5/17/24 | $(213,958) |
Total | $(213,958) |
(1) | Amount is less than (0.05)%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement
Date |
Value/Unrealized
Appreciation (Depreciation) | ||
USD | 7,252,470 | PHP | 414,000,000 | 5/17/24 | $ 87,025 |
TWD | 157,165,000 | USD | 4,826,357 | 5/29/24 | (11,124) |
COP | 35,265,160,000 | USD | 8,851,586 | 6/20/24 | 72,021 |
COP | 8,312,000,000 | USD | 2,095,043 | 6/20/24 | 8,251 |
EUR | 2,140,000 | USD | 2,338,882 | 6/20/24 | (50,526) |
EUR | 3,087,961 | USD | 3,374,943 | 6/20/24 | (72,908) |
EUR | 5,860,367 | USD | 6,359,776 | 6/20/24 | (93,138) |
EUR | 7,384,197 | USD | 8,013,463 | 6/20/24 | (117,356) |
EUR | 8,398,820 | USD | 9,114,550 | 6/20/24 | (133,481) |
EUR | 9,881,442 | USD | 10,723,518 | 6/20/24 | (157,044) |
EUR | 9,919,625 | USD | 10,764,956 | 6/20/24 | (157,651) |
EUR | 19,603,034 | USD | 21,273,565 | 6/20/24 | (311,548) |
EUR | 30,797,832 | USD | 33,422,362 | 6/20/24 | (489,465) |
EUR | 36,935,319 | USD | 40,082,873 | 6/20/24 | (587,007) |
EUR | 69,800,000 | USD | 76,286,907 | 6/20/24 | (1,648,011) |
IDR | 72,622,650,000 | USD | 4,474,028 | 6/20/24 | (14,027) |
IDR | 199,633,874,289 | USD | 12,780,658 | 6/20/24 | (520,469) |
INR | 13,023,901,264 | USD | 156,730,834 | 6/20/24 | (996,253) |
KRW | 24,072,000,000 | USD | 17,329,456 | 6/20/24 | 79,432 |
KRW | 4,891,790,000 | USD | 3,645,366 | 6/20/24 | (107,620) |
KRW | 103,931,200,000 | USD | 79,601,118 | 6/20/24 | (4,438,000) |
PEN | 1,100,000 | USD | 295,906 | 6/20/24 | (3,880) |
PEN | 4,191,000 | USD | 1,125,705 | 6/20/24 | (13,086) |
PEN | 9,359,000 | USD | 2,513,833 | 6/20/24 | (29,222) |
PEN | 39,835,000 | USD | 10,659,050 | 6/20/24 | (83,723) |
PEN | 44,838,000 | USD | 12,094,679 | 6/20/24 | (191,165) |
PEN | 82,600,000 | USD | 22,331,428 | 6/20/24 | (402,923) |
TWD | 271,000,000 | USD | 8,468,327 | 6/20/24 | (158,120) |
TWD | 584,000,000 | USD | 18,164,852 | 6/20/24 | (256,510) |
USD | 12,541,087 | COP | 49,546,700,000 | 6/20/24 | 3,634 |
USD | 7,253,657 | COP | 28,708,160,000 | 6/20/24 | (10,746) |
USD | 16,462,758 | COP | 65,257,550,000 | 6/20/24 | (50,218) |
USD | 175,109,859 | EUR | 160,219,737 | 6/20/24 | 3,782,865 |
USD | 76,286,907 | EUR | 69,800,000 | 6/20/24 | 1,648,011 |
USD | 68,213,599 | EUR | 62,413,190 | 6/20/24 | 1,473,605 |
USD | 65,166,449 | EUR | 59,625,149 | 6/20/24 | 1,407,778 |
USD | 62,686,856 | EUR | 57,356,402 | 6/20/24 | 1,354,212 |
USD | 59,587,953 | EUR | 54,521,009 | 6/20/24 | 1,287,267 |
USD | 57,323,967 | EUR | 52,449,536 | 6/20/24 | 1,238,359 |
USD | 50,952,659 | EUR | 46,620,000 | 6/20/24 | 1,100,720 |
USD | 46,492,250 | EUR | 42,538,873 | 6/20/24 | 1,004,363 |
USD | 36,319,157 | EUR | 33,230,829 | 6/20/24 | 784,596 |
USD | 30,543,374 | EUR | 27,946,178 | 6/20/24 | 659,823 |
USD | 21,424,855 | EUR | 19,603,034 | 6/20/24 | 462,837 |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement
Date |
Value/Unrealized
Appreciation (Depreciation) | ||
USD | 16,387,440 | EUR | 14,993,967 | 6/20/24 | $ 354,015 |
USD | 15,547,699 | EUR | 14,225,631 | 6/20/24 | 335,874 |
USD | 10,799,779 | EUR | 9,881,441 | 6/20/24 | 233,306 |
USD | 8,561,194 | EUR | 7,833,210 | 6/20/24 | 184,946 |
USD | 7,034,744 | EUR | 6,436,558 | 6/20/24 | 151,970 |
USD | 3,696,308 | EUR | 3,382,000 | 6/20/24 | 79,851 |
USD | 2,918,914 | EUR | 2,670,710 | 6/20/24 | 63,057 |
USD | 2,875,867 | EUR | 2,631,323 | 6/20/24 | 62,127 |
USD | 2,608,833 | EUR | 2,386,996 | 6/20/24 | 56,358 |
USD | 2,196,610 | EUR | 2,009,826 | 6/20/24 | 47,453 |
USD | 2,115,701 | EUR | 1,949,563 | 6/20/24 | 30,984 |
USD | 1,302,262 | EUR | 1,200,000 | 6/20/24 | 19,071 |
USD | 762,799 | EUR | 697,936 | 6/20/24 | 16,479 |
USD | 868,273 | EUR | 800,091 | 6/20/24 | 12,716 |
USD | 631,129 | EUR | 581,569 | 6/20/24 | 9,243 |
USD | 380,893 | EUR | 348,505 | 6/20/24 | 8,228 |
USD | 363,019 | EUR | 332,150 | 6/20/24 | 7,842 |
USD | 209,277 | EUR | 191,481 | 6/20/24 | 4,521 |
USD | 209,256 | EUR | 192,824 | 6/20/24 | 3,064 |
USD | 67,765 | EUR | 62,443 | 6/20/24 | 992 |
USD | 485,693 | IDR | 7,586,523,636 | 6/20/24 | 19,779 |
USD | 32,338,843 | PEN | 119,146,000 | 6/20/24 | 708,169 |
USD | 21,558,776 | PEN | 79,429,000 | 6/20/24 | 472,103 |
USD | 23,444,232 | PEN | 86,716,065 | 6/20/24 | 423,001 |
USD | 28,150,550 | PEN | 105,908,000 | 6/20/24 | 34,278 |
USD | 47,833,298 | PEN | 180,714,199 | 6/20/24 | (142,395) |
USD | 42,021,744 | PEN | 158,859,000 | 6/20/24 | (151,868) |
USD | 11,143,442 | PHP | 636,870,000 | 6/20/24 | 128,297 |
BRL | 15,092,039 | USD | 2,992,072 | 7/2/24 | (102,843) |
BRL | 15,829,000 | USD | 3,139,304 | 7/2/24 | (108,992) |
BRL | 23,744,000 | USD | 4,707,002 | 7/2/24 | (161,437) |
BRL | 23,791,000 | USD | 4,716,880 | 7/2/24 | (162,318) |
BRL | 25,643,961 | USD | 5,087,694 | 7/2/24 | (178,399) |
BRL | 42,500,000 | USD | 8,435,552 | 7/2/24 | (299,328) |
BRL | 48,563,000 | USD | 9,657,744 | 7/2/24 | (360,816) |
$ 7,148,906 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
HUF | 3,269,062,468 | EUR | 8,255,237 | BNP Paribas | 5/2/24 | $ 102,936 | $ — |
HUF | 3,321,061,473 | EUR | 8,372,459 | UBS AG | 5/2/24 | 119,609 | — |
CZK | 340,176,151 | EUR | 13,412,088 | Goldman Sachs International | 5/6/24 | 117,744 | — |
CZK | 336,923,849 | EUR | 13,283,530 | HSBC Bank USA, N.A. | 5/6/24 | 116,971 | — |
EUR | 26,885,931 | CZK | 677,100,000 | Societe Generale | 5/6/24 | — | (31,589) |
USD | 1,554,834 | KES | 215,111,315 | Citibank, N.A. | 5/6/24 | — | (37,871) |
EUR | 5,714,237 | USD | 6,131,051 | Barclays Bank PLC | 5/10/24 | — | (31,151) |
EUR | 641,457 | USD | 683,818 | Citibank, N.A. | 5/10/24 | 931 | — |
EUR | 1,339,697 | USD | 1,456,324 | UBS AG | 5/10/24 | — | (26,209) |
USD | 7,432,577 | EUR | 6,842,258 | Bank of America, N.A. | 5/10/24 | 128,525 | — |
USD | 93,520 | EUR | 86,278 | BNP Paribas | 5/10/24 | 1,419 | — |
USD | 2,686,725 | EUR | 2,520,616 | Citibank, N.A. | 5/10/24 | — | (4,011) |
USD | 1,554,782 | EUR | 1,460,402 | Citibank, N.A. | 5/10/24 | — | (4,185) |
USD | 5,327,082 | EUR | 5,004,325 | Citibank, N.A. | 5/10/24 | — | (14,992) |
USD | 31,268 | EUR | 28,989 | JPMorgan Chase Bank, N.A. | 5/10/24 | 322 | — |
USD | 14,634 | EUR | 13,571 | JPMorgan Chase Bank, N.A. | 5/10/24 | 147 | — |
USD | 6,219,703 | EUR | 5,834,293 | JPMorgan Chase Bank, N.A. | 5/10/24 | — | (8,356) |
USD | 1,898,069 | EUR | 1,772,569 | Standard Chartered Bank | 5/10/24 | 5,867 | — |
USD | 5,975,747 | EUR | 5,576,185 | UBS AG | 5/10/24 | 23,216 | — |
USD | 963,016 | EUR | 885,866 | UBS AG | 5/10/24 | 17,361 | — |
USD | 1,735,216 | EUR | 1,626,914 | UBS AG | 5/10/24 | — | (1,501) |
USD | 10,682,195 | EUR | 10,012,377 | UBS AG | 5/10/24 | — | (5,933) |
HUF | 4,274,997,999 | EUR | 10,839,156 | HSBC Bank USA, N.A. | 5/13/24 | 76,640 | — |
HUF | 8,004,266,938 | EUR | 20,426,865 | JPMorgan Chase Bank, N.A. | 5/13/24 | 2,321 | — |
HUF | 4,093,087,887 | EUR | 10,367,628 | UBS AG | 5/13/24 | 84,375 | — |
ILS | 111,378,125 | USD | 29,692,915 | Bank of America, N.A. | 5/13/24 | 88,019 | — |
ILS | 102,821,875 | USD | 27,432,334 | BNP Paribas | 5/13/24 | 60,780 | — |
ISK | 2,327,000,000 | EUR | 15,441,274 | Citibank, N.A. | 5/13/24 | 66,090 | — |
TRY | 335,116,310 | USD | 9,983,882 | Standard Chartered Bank | 5/13/24 | 269,226 | — |
TRY | 301,442,832 | USD | 8,982,278 | Standard Chartered Bank | 5/13/24 | 240,568 | — |
TRY | 262,593,198 | USD | 7,811,291 | Standard Chartered Bank | 5/13/24 | 222,924 | — |
USD | 58,062,942 | ILS | 214,200,000 | JPMorgan Chase Bank, N.A. | 5/13/24 | 788,893 | — |
USD | 7,001,545 | UZS | 89,724,797,000 | ICBC Standard Bank plc | 5/14/24 | — | (75,605) |
UZS | 37,765,034,000 | USD | 2,888,339 | ICBC Standard Bank plc | 5/14/24 | 90,423 | — |
UZS | 26,151,403,000 | USD | 2,005,168 | ICBC Standard Bank plc | 5/14/24 | 57,555 | — |
UZS | 25,808,360,000 | USD | 1,990,464 | ICBC Standard Bank plc | 5/14/24 | 45,201 | — |
HUF | 4,744,006,690 | EUR | 12,128,000 | UBS AG | 5/15/24 | — | (23,787) |
EGP | 292,565,127 | USD | 6,082,435 | Goldman Sachs International | 5/16/24 | 13,636 | — |
EUR | 21,187 | HUF | 8,347,173 | JPMorgan Chase Bank, N.A. | 5/17/24 | — | (117) |
USD | 38,267,216 | PHP | 2,183,980,000 | Standard Chartered Bank | 5/17/24 | 469,322 | — |
EGP | 245,552,479 | USD | 4,970,698 | HSBC Bank USA, N.A. | 5/20/24 | 141,454 | — |
USD | 12,682,390 | KRW | 17,668,670,544 | Standard Chartered Bank | 5/20/24 | — | (91,910) |
MXN | 131,967,000 | USD | 7,760,596 | Bank of America, N.A. | 5/21/24 | — | (79,103) |
MXN | 32,678,743 | USD | 1,924,303 | Goldman Sachs International | 5/21/24 | — | (22,149) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
MXN | 33,007,164 | USD | 1,943,549 | Goldman Sachs International | 5/21/24 | $ — | $ (22,278) |
MXN | 100,174,000 | USD | 5,886,433 | Goldman Sachs International | 5/21/24 | — | (55,536) |
MXN | 123,130,000 | USD | 7,238,212 | Goldman Sachs International | 5/21/24 | — | (71,100) |
MXN | 127,447,093 | USD | 7,499,340 | Goldman Sachs International | 5/21/24 | — | (80,940) |
USD | 20,870,549 | MXN | 355,271,000 | Citibank, N.A. | 5/21/24 | 191,047 | — |
USD | 11,354,086 | MXN | 193,133,000 | JPMorgan Chase Bank, N.A. | 5/21/24 | 112,261 | — |
TRY | 265,735,902 | USD | 7,800,659 | Standard Chartered Bank | 5/22/24 | 250,334 | — |
USD | 9,328,439 | PHP | 537,458,000 | Societe Generale | 5/23/24 | 27,209 | — |
USD | 18,468,220 | PHP | 1,062,542,000 | Standard Chartered Bank | 5/23/24 | 80,558 | — |
HUF | 6,234,086,736 | EUR | 15,771,717 | Bank of America, N.A. | 5/29/24 | 123,529 | — |
HUF | 6,233,720,009 | EUR | 15,765,246 | BNP Paribas | 5/29/24 | 129,444 | — |
TWD | 954,235,000 | USD | 29,292,025 | Standard Chartered Bank | 5/29/24 | — | (42,604) |
HUF | 3,434,643,973 | EUR | 8,737,107 | BNP Paribas | 6/3/24 | 12,697 | — |
HUF | 3,155,479,968 | EUR | 8,023,087 | Citibank, N.A. | 6/3/24 | 15,809 | — |
PLN | 106,000,000 | EUR | 24,473,530 | Barclays Bank PLC | 6/5/24 | — | (30,211) |
CZK | 677,100,000 | EUR | 26,853,676 | Societe Generale | 6/6/24 | 32,794 | — |
BRL | 164,647,000 | USD | 32,863,673 | Goldman Sachs International | 6/13/24 | — | (1,275,001) |
EGP | 198,513,016 | USD | 4,315,500 | Citibank, N.A. | 6/13/24 | — | (208,826) |
EGP | 198,843,585 | USD | 3,699,416 | Standard Chartered Bank | 6/13/24 | 414,097 | — |
USD | 32,844,006 | BRL | 164,647,000 | Goldman Sachs International | 6/13/24 | 1,255,334 | — |
USD | 10,353,220 | EGP | 397,356,601 | Citibank, N.A. | 6/13/24 | 2,133,034 | — |
KZT | 2,500,499,000 | USD | 5,092,666 | JPMorgan Chase Bank, N.A. | 6/18/24 | 501,291 | — |
USD | 4,951,483 | KZT | 2,500,499,000 | ICBC Standard Bank plc | 6/18/24 | — | (642,474) |
AUD | 26,740,000 | USD | 17,522,588 | BNP Paribas | 6/20/24 | — | (175,205) |
AUD | 61,500,000 | USD | 40,816,271 | BNP Paribas | 6/20/24 | — | (918,587) |
AUD | 72,000,000 | USD | 47,764,728 | Citibank, N.A. | 6/20/24 | — | (1,055,245) |
AUD | 29,975,670 | USD | 19,744,524 | UBS AG | 6/20/24 | — | (298,023) |
AUD | 42,000,000 | USD | 27,634,530 | UBS AG | 6/20/24 | — | (387,332) |
CAD | 5,738,800 | USD | 4,258,256 | Bank of America, N.A. | 6/20/24 | — | (86,239) |
CAD | 19,147,100 | USD | 14,207,369 | Bank of America, N.A. | 6/20/24 | — | (287,731) |
CAD | 6,746,000 | USD | 5,004,514 | Goldman Sachs International | 6/20/24 | — | (100,279) |
CAD | 22,509,000 | USD | 16,698,282 | Goldman Sachs International | 6/20/24 | — | (334,597) |
CAD | 8,433,000 | USD | 6,258,859 | HSBC Bank USA, N.A. | 6/20/24 | — | (128,202) |
CAD | 28,136,000 | USD | 20,882,160 | HSBC Bank USA, N.A. | 6/20/24 | — | (427,735) |
CAD | 4,216,000 | USD | 3,136,123 | Standard Chartered Bank | 6/20/24 | — | (71,158) |
CAD | 14,069,000 | USD | 10,465,397 | Standard Chartered Bank | 6/20/24 | — | (237,458) |
CAD | 6,746,200 | USD | 5,027,450 | UBS AG | 6/20/24 | — | (123,070) |
CAD | 22,508,900 | USD | 16,774,240 | UBS AG | 6/20/24 | — | (410,628) |
CZK | 144,760,000 | EUR | 5,724,212 | Bank of America, N.A. | 6/20/24 | 22,165 | — |
EUR | 2,008,863 | CZK | 51,187,829 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (24,141) |
EUR | 2,669,430 | CZK | 68,019,755 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (32,079) |
EUR | 1,714,012 | PLN | 7,378,531 | Citibank, N.A. | 6/20/24 | 14,805 | — |
EUR | 1,769,980 | PLN | 7,616,755 | Goldman Sachs International | 6/20/24 | 15,956 | — |
EUR | 7,248,076 | USD | 7,786,997 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (36,447) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
EUR | 14,281,924 | USD | 15,342,965 | JPMorgan Chase Bank, N.A. | 6/20/24 | $ — | $ (70,945) |
ISK | 1,073,125,968 | EUR | 7,118,580 | Bank of America, N.A. | 6/20/24 | — | (8,928) |
ISK | 1,197,685,232 | EUR | 7,950,118 | Bank of America, N.A. | 6/20/24 | — | (15,603) |
ISK | 1,940,746,312 | EUR | 12,905,615 | Bank of America, N.A. | 6/20/24 | — | (50,017) |
ISK | 1,293,500,051 | EUR | 8,603,259 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (35,172) |
JPY | 2,689,280,000 | USD | 18,225,666 | Citibank, N.A. | 6/20/24 | — | (1,047,235) |
JPY | 4,083,457,667 | USD | 27,674,224 | Citibank, N.A. | 6/20/24 | — | (1,590,142) |
MXN | 58,212,000 | USD | 3,398,124 | Bank of America, N.A. | 6/20/24 | — | (25,894) |
MXN | 67,289,000 | USD | 3,945,168 | Goldman Sachs International | 6/20/24 | — | (47,107) |
MXN | 55,522,300 | USD | 3,269,768 | Goldman Sachs International | 6/20/24 | — | (53,354) |
MXN | 476,702,700 | USD | 28,073,537 | Goldman Sachs International | 6/20/24 | — | (458,084) |
MXN | 27,397,000 | USD | 1,615,882 | Societe Generale | 6/20/24 | — | (28,770) |
MXN | 44,939,700 | USD | 2,630,437 | Standard Chartered Bank | 6/20/24 | — | (27,074) |
MXN | 44,900,000 | USD | 2,643,312 | Standard Chartered Bank | 6/20/24 | — | (42,249) |
MXN | 386,110,300 | USD | 22,600,035 | Standard Chartered Bank | 6/20/24 | — | (232,612) |
MXN | 386,100,000 | USD | 22,730,131 | Standard Chartered Bank | 6/20/24 | — | (363,304) |
MXN | 8,311,538 | USD | 486,837 | State Street Bank and Trust Company | 6/20/24 | — | (5,349) |
MXN | 58,788,000 | USD | 3,411,667 | State Street Bank and Trust Company | 6/20/24 | — | (6,070) |
MXN | 10,044,046 | USD | 588,289 | State Street Bank and Trust Company | 6/20/24 | — | (6,436) |
MXN | 68,328,000 | USD | 3,982,120 | State Street Bank and Trust Company | 6/20/24 | — | (23,869) |
MXN | 65,617,000 | USD | 3,858,614 | State Street Bank and Trust Company | 6/20/24 | — | (57,412) |
MXN | 587,057,000 | USD | 34,213,373 | State Street Bank and Trust Company | 6/20/24 | — | (205,079) |
NGN | 495,390,017 | USD | 582,812 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (227,311) |
NZD | 12,967,274 | USD | 8,006,112 | Australia and New Zealand Banking Group Limited | 6/20/24 | — | (365,172) |
NZD | 45,180,000 | USD | 26,999,220 | BNP Paribas | 6/20/24 | — | (376,996) |
NZD | 37,742,000 | USD | 22,623,593 | BNP Paribas | 6/20/24 | — | (384,195) |
NZD | 60,483,200 | USD | 37,393,751 | BNP Paribas | 6/20/24 | — | (1,754,147) |
NZD | 40,158,000 | USD | 24,089,061 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (426,041) |
PLN | 112,694,442 | EUR | 25,731,675 | Barclays Bank PLC | 6/20/24 | 251,791 | — |
SEK | 269,562,000 | EUR | 24,056,705 | UBS AG | 6/20/24 | — | (1,210,930) |
SGD | 6,420,000 | USD | 4,780,788 | Citibank, N.A. | 6/20/24 | — | (67,068) |
SGD | 19,000,000 | USD | 14,258,131 | Citibank, N.A. | 6/20/24 | — | (307,871) |
SGD | 18,000,000 | USD | 13,506,112 | Goldman Sachs International | 6/20/24 | — | (290,076) |
SGD | 19,000,000 | USD | 14,261,374 | Goldman Sachs International | 6/20/24 | — | (311,114) |
SGD | 23,000,000 | USD | 17,256,035 | Goldman Sachs International | 6/20/24 | — | (368,879) |
SGD | 50,599,700 | USD | 38,125,151 | Goldman Sachs International | 6/20/24 | — | (973,626) |
TRY | 498,964,769 | USD | 14,015,937 | Standard Chartered Bank | 6/20/24 | 643,580 | — |
TRY | 470,830,000 | USD | 13,839,097 | Standard Chartered Bank | 6/20/24 | — | (6,176) |
TWD | 381,000,000 | USD | 11,904,783 | Standard Chartered Bank | 6/20/24 | — | (221,429) |
TWD | 485,000,000 | USD | 15,158,171 | Standard Chartered Bank | 6/20/24 | — | (285,661) |
USD | 21,459,033 | AUD | 32,633,000 | BNP Paribas | 6/20/24 | 288,609 | — |
USD | 26,932,521 | AUD | 41,280,000 | HSBC Bank USA, N.A. | 6/20/24 | 152,417 | — |
USD | 21,689,576 | AUD | 32,967,000 | Standard Chartered Bank | 6/20/24 | 302,472 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
USD | 21,370,954 | CNH | 153,000,000 | BNP Paribas | 6/20/24 | $ 233,592 | $ — |
USD | 4,469,742 | CNH | 32,000,000 | BNP Paribas | 6/20/24 | 48,856 | — |
USD | 27,451,173 | CNH | 196,000,000 | Citibank, N.A. | 6/20/24 | 373,245 | — |
USD | 25,970,708 | CNH | 185,420,000 | Goldman Sachs International | 6/20/24 | 354,436 | — |
USD | 16,536,841 | CNH | 118,032,000 | Goldman Sachs International | 6/20/24 | 230,402 | — |
USD | 21,787,773 | CNH | 156,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 235,953 | — |
USD | 4,469,287 | CNH | 32,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 48,401 | — |
USD | 37,588,889 | CNH | 269,000,000 | JPMorgan Chase Bank, N.A. | 6/20/24 | 425,815 | — |
USD | 7,825,196 | CNH | 56,000,000 | JPMorgan Chase Bank, N.A. | 6/20/24 | 88,645 | — |
USD | 12,093,456 | CNH | 87,828,000 | Standard Chartered Bank | 6/20/24 | — | (40,219) |
USD | 99,733,480 | CNH | 713,687,700 | UBS AG | 6/20/24 | 1,135,602 | — |
USD | 20,850,931 | CNH | 149,208,196 | UBS AG | 6/20/24 | 237,416 | — |
USD | 3,292,491 | JPY | 485,822,045 | Citibank, N.A. | 6/20/24 | 189,184 | — |
USD | 256,741 | JPY | 37,378,931 | UBS AG | 6/20/24 | 17,974 | — |
USD | 18,568,359 | MXN | 308,840,000 | Goldman Sachs International | 6/20/24 | 677,215 | — |
USD | 16,172,206 | MXN | 274,612,143 | Goldman Sachs International | 6/20/24 | 263,886 | — |
USD | 597,628 | MXN | 10,148,025 | Goldman Sachs International | 6/20/24 | 9,752 | — |
USD | 35,091,125 | MXN | 584,500,000 | Standard Chartered Bank | 6/20/24 | 1,230,959 | — |
USD | 23,517,795 | MYR | 109,560,000 | Barclays Bank PLC | 6/20/24 | 595,805 | — |
USD | 39,295,888 | NZD | 63,559,847 | BNP Paribas | 6/20/24 | 1,843,376 | — |
USD | 4,000,079 | NZD | 6,470,000 | BNP Paribas | 6/20/24 | 187,644 | — |
USD | 12,282,678 | NZD | 20,462,604 | Citibank, N.A. | 6/20/24 | 225,130 | — |
USD | 10,573,961 | NZD | 17,617,396 | Citibank, N.A. | 6/20/24 | 192,946 | — |
USD | 96,785,178 | NZD | 157,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 4,273,244 | — |
USD | 9,863,458 | NZD | 16,000,000 | HSBC Bank USA, N.A. | 6/20/24 | 435,490 | — |
USD | 717,367 | NZD | 1,197,100 | State Street Bank and Trust Company | 6/20/24 | 11,978 | — |
USD | 50,460,249 | THB | 1,779,505,000 | Standard Chartered Bank | 6/20/24 | 2,262,093 | — |
USD | 2,836,600 | THB | 104,190,000 | Standard Chartered Bank | 6/20/24 | 14,598 | — |
USD | 16,164,004 | ZAR | 307,745,665 | Barclays Bank PLC | 6/20/24 | — | (123,728) |
USD | 7,708,866 | ZAR | 146,681,372 | BNP Paribas | 6/20/24 | — | (54,385) |
USD | 10,085,747 | ZAR | 188,790,451 | Goldman Sachs International | 6/20/24 | 93,833 | — |
USD | 10,135,544 | ZAR | 189,822,321 | Goldman Sachs International | 6/20/24 | 89,017 | — |
USD | 49,236,263 | ZAR | 928,034,630 | HSBC Bank USA, N.A. | 6/20/24 | 119,147 | — |
USD | 7,654,704 | ZAR | 145,638,303 | HSBC Bank USA, N.A. | 6/20/24 | — | (53,342) |
USD | 21,568,787 | ZAR | 406,015,152 | JPMorgan Chase Bank, N.A. | 6/20/24 | 80,048 | — |
USD | 12,975,547 | ZAR | 244,668,723 | JPMorgan Chase Bank, N.A. | 6/20/24 | 26,222 | — |
USD | 12,967,381 | ZAR | 244,668,723 | JPMorgan Chase Bank, N.A. | 6/20/24 | 18,057 | — |
USD | 40,570,462 | ZAR | 762,465,000 | UBS AG | 6/20/24 | 216,277 | — |
USD | 15,080,079 | ZAR | 286,468,716 | UBS AG | 6/20/24 | — | (81,551) |
USD | 23,708,739 | ZAR | 453,175,944 | UBS AG | 6/20/24 | — | (276,029) |
ZAR | 10,459,354 | USD | 556,538 | UBS AG | 6/20/24 | — | (2,967) |
NGN | 2,601,891,623 | USD | 3,153,808 | Societe Generale | 6/21/24 | — | (1,287,315) |
TRY | 131,342,227 | USD | 3,885,896 | Standard Chartered Bank | 6/21/24 | — | (31,081) |
USD | 3,740,848 | TRY | 131,342,227 | Standard Chartered Bank | 6/21/24 | — | (113,967) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
NGN | 1,352,433,739 | USD | 1,591,111 | Standard Chartered Bank | 6/24/24 | $ — | $ (621,972) |
KZT | 1,957,500,000 | USD | 3,828,851 | Societe Generale | 6/25/24 | 543,588 | — |
KZT | 217,617,000 | USD | 442,311 | Societe Generale | 6/25/24 | 43,777 | — |
USD | 4,244,131 | KZT | 2,175,117,000 | ICBC Standard Bank plc | 6/25/24 | — | (614,396) |
NGN | 1,393,006,751 | USD | 1,591,111 | Standard Chartered Bank | 6/26/24 | — | (593,613) |
ILS | 100,402,956 | USD | 26,831,362 | Barclays Bank PLC | 7/2/24 | 75,140 | — |
ILS | 100,738,729 | USD | 26,946,296 | Goldman Sachs International | 7/2/24 | 50,187 | — |
USD | 13,704,064 | ILS | 50,572,243 | Bank of America, N.A. | 7/2/24 | 151,453 | — |
USD | 27,344,932 | ILS | 100,738,729 | Barclays Bank PLC | 7/2/24 | 348,448 | — |
USD | 13,502,582 | ILS | 49,830,713 | Goldman Sachs International | 7/2/24 | 148,691 | — |
NGN | 1,313,023,184 | USD | 1,475,319 | Standard Chartered Bank | 7/3/24 | — | (537,445) |
NGN | 1,414,379,737 | USD | 1,571,533 | Societe Generale | 7/8/24 | — | (562,899) |
EGP | 49,210,000 | USD | 994,141 | HSBC Bank USA, N.A. | 7/10/24 | 14,560 | — |
ILS | 113,461,271 | USD | 30,393,312 | Barclays Bank PLC | 7/10/24 | 24,826 | — |
USD | 30,947,356 | ILS | 113,461,271 | Citibank, N.A. | 7/10/24 | 529,219 | — |
USD | 9,048,690 | SAR | 34,000,000 | Standard Chartered Bank | 7/15/24 | — | (11,730) |
PLN | 144,535,181 | EUR | 33,110,591 | Citibank, N.A. | 7/19/24 | 147,927 | — |
PLN | 95,856,308 | EUR | 21,904,506 | UBS AG | 7/19/24 | 156,536 | — |
UZS | 75,753,887,244 | USD | 5,691,502 | ICBC Standard Bank plc | 7/22/24 | 157,766 | — |
UZS | 82,952,605,575 | USD | 6,255,853 | ICBC Standard Bank plc | 7/22/24 | 149,258 | — |
ISK | 2,592,013,830 | EUR | 17,063,949 | Bank of America, N.A. | 8/8/24 | — | (15,983) |
ISK | 2,864,103,680 | EUR | 18,855,192 | Bank of America, N.A. | 8/8/24 | — | (17,661) |
USD | 763,809 | ZMW | 20,852,000 | Citibank, N.A. | 8/26/24 | 27,394 | — |
UZS | 21,633,982,210 | USD | 1,632,507 | ICBC Standard Bank plc | 8/26/24 | 3,724 | — |
ZMW | 20,852,000 | USD | 820,952 | Standard Chartered Bank | 8/26/24 | — | (84,536) |
USD | 36,365,894 | OMR | 14,010,800 | Standard Chartered Bank | 8/29/24 | — | (12,681) |
USD | 26,650,006 | OMR | 10,530,750 | Standard Chartered Bank | 8/29/24 | — | (692,735) |
UZS | 78,826,461,000 | USD | 5,832,517 | ICBC Standard Bank plc | 8/30/24 | 178,574 | — |
UZS | 54,219,745,000 | USD | 4,010,336 | JPMorgan Chase Bank, N.A. | 8/30/24 | 124,314 | — |
USD | 874,322 | AMD | 348,679,825 | Citibank, N.A. | 9/6/24 | — | (11,699) |
EGP | 2,209,540 | USD | 37,757 | Citibank, N.A. | 9/11/24 | 6,637 | — |
USD | 52,039 | EGP | 2,209,540 | Standard Chartered Bank | 9/11/24 | 7,645 | — |
KZT | 3,688,854,849 | USD | 7,073,547 | Citibank, N.A. | 9/16/24 | 1,021,120 | — |
KZT | 2,362,387,916 | USD | 4,527,816 | Citibank, N.A. | 9/16/24 | 656,108 | — |
KZT | 1,846,195,811 | USD | 3,536,774 | Citibank, N.A. | 9/16/24 | 514,440 | — |
KZT | 1,844,427,424 | USD | 3,536,774 | Citibank, N.A. | 9/16/24 | 510,560 | — |
USD | 1,213,868 | AMD | 493,134,000 | Citibank, N.A. | 9/16/24 | — | (37,801) |
USD | 3,536,773 | KZT | 1,808,175,000 | Citibank, N.A. | 9/16/24 | — | (431,010) |
USD | 7,073,549 | KZT | 3,589,826,000 | Citibank, N.A. | 9/16/24 | — | (803,813) |
USD | 8,488,256 | KZT | 4,343,865,000 | Citibank, N.A. | 9/16/24 | — | (1,043,737) |
EGP | 322,370,319 | USD | 6,947,636 | HSBC Bank USA, N.A. | 9/17/24 | — | (482,172) |
EGP | 184,573,681 | USD | 3,770,657 | ICBC Standard Bank plc | 9/17/24 | — | (68,845) |
USD | 12,532,608 | EGP | 506,944,000 | Citibank, N.A. | 9/17/24 | 2,365,331 | — |
KZT | 1,835,586,000 | USD | 3,649,276 | Citibank, N.A. | 9/19/24 | 375,887 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
USD | 3,536,775 | KZT | 1,835,586,000 | Citibank, N.A. | 9/19/24 | $ — | $ (488,388) |
TRY | 75,337,746 | USD | 2,070,930 | Standard Chartered Bank | 9/20/24 | — | (71,857) |
TRY | 75,337,748 | USD | 2,071,636 | Standard Chartered Bank | 9/20/24 | — | (72,564) |
TRY | 188,013,000 | USD | 5,127,202 | Standard Chartered Bank | 9/20/24 | — | (138,314) |
TRY | 651,103,833 | USD | 17,777,187 | Standard Chartered Bank | 9/20/24 | — | (500,276) |
USD | 16,999,396 | TRY | 651,103,833 | Standard Chartered Bank | 9/20/24 | — | (277,515) |
TRY | 552,643,974 | USD | 14,015,825 | Standard Chartered Bank | 9/23/24 | 598,957 | — |
TRY | 517,381,190 | USD | 13,212,087 | Standard Chartered Bank | 9/23/24 | 470,163 | — |
TRY | 176,998,064 | USD | 4,766,379 | Standard Chartered Bank | 9/23/24 | — | (85,629) |
USD | 4,616,140 | TRY | 176,998,064 | Standard Chartered Bank | 9/23/24 | — | (64,610) |
KZT | 1,877,496,000 | USD | 3,732,596 | Societe Generale | 9/30/24 | 374,117 | — |
USD | 3,603,639 | KZT | 1,877,496,000 | Bank of America, N.A. | 9/30/24 | — | (503,074) |
UZS | 37,010,823,256 | USD | 2,756,858 | JPMorgan Chase Bank, N.A. | 10/4/24 | 34,444 | — |
TRY | 149,730,527 | USD | 3,709,768 | Standard Chartered Bank | 10/17/24 | 145,736 | — |
TRY | 149,629,425 | USD | 3,709,237 | Standard Chartered Bank | 10/17/24 | 143,663 | — |
PLN | 102,314,069 | EUR | 23,284,950 | Bank of America, N.A. | 10/21/24 | 124,871 | — |
UZS | 20,105,998,239 | USD | 1,478,382 | JPMorgan Chase Bank, N.A. | 10/22/24 | 30,397 | — |
UZS | 20,179,917,352 | USD | 1,478,382 | JPMorgan Chase Bank, N.A. | 10/24/24 | 34,998 | — |
UZS | 66,799,282,000 | USD | 4,916,411 | ICBC Standard Bank plc | 11/15/24 | 58,955 | — |
EGP | 75,991,538 | USD | 1,468,436 | HSBC Bank USA, N.A. | 11/27/24 | 22,371 | — |
USD | 940,538 | ZMW | 26,241,000 | Citibank, N.A. | 11/29/24 | 40,146 | — |
ZMW | 26,241,000 | USD | 1,017,101 | Standard Chartered Bank | 11/29/24 | — | (116,709) |
USD | 13,644,426 | HKD | 106,000,000 | BNP Paribas | 12/9/24 | 23,360 | — |
USD | 37,448,989 | HKD | 290,900,000 | Deutsche Bank AG | 12/9/24 | 68,158 | — |
TRY | 810,105,292 | USD | 20,812,120 | Standard Chartered Bank | 12/16/24 | — | (1,208,994) |
TRY | 222,407,816 | USD | 5,330,964 | Standard Chartered Bank | 12/18/24 | 40,247 | — |
USD | 3,172,432 | KES | 466,347,541 | Standard Chartered Bank | 12/18/24 | — | (161,285) |
EGP | 429,234,287 | USD | 8,215,010 | Goldman Sachs International | 12/26/24 | 123,649 | — |
EGP | 992,980,000 | USD | 18,968,099 | Goldman Sachs International | 12/31/24 | 289,984 | — |
EGP | 340,478,000 | USD | 6,630,536 | HSBC Bank USA, N.A. | 1/2/25 | — | (31,655) |
TRY | 584,426,780 | USD | 13,824,517 | Standard Chartered Bank | 1/6/25 | 28,680 | — |
TRY | 276,896,900 | USD | 6,550,337 | Standard Chartered Bank | 1/6/25 | 13,201 | — |
TRY | 197,106,600 | USD | 4,659,096 | Standard Chartered Bank | 1/6/25 | 13,100 | — |
TRY | 207,660,500 | USD | 4,912,716 | Standard Chartered Bank | 1/6/25 | 9,649 | — |
UZS | 50,108,154,000 | USD | 3,579,154 | JPMorgan Chase Bank, N.A. | 1/6/25 | 92,669 | — |
EGP | 172,186,615 | USD | 3,286,004 | Standard Chartered Bank | 1/15/25 | 36,698 | — |
TRY | 274,200,000 | USD | 6,384,219 | Standard Chartered Bank | 1/15/25 | 58,981 | — |
UZS | 54,430,517,000 | USD | 3,868,551 | ICBC Standard Bank plc | 1/23/25 | 207,215 | — |
UZS | 45,422,117,948 | USD | 3,250,241 | ICBC Standard Bank plc | 1/23/25 | 150,975 | — |
TRY | 204,065,622 | USD | 4,650,682 | Standard Chartered Bank | 1/29/25 | 80,611 | — |
TRY | 275,637,775 | USD | 6,349,345 | Standard Chartered Bank | 1/29/25 | 41,358 | — |
TRY | 205,726,000 | USD | 4,736,885 | Standard Chartered Bank | 1/29/25 | 32,904 | — |
UZS | 11,980,321,831 | USD | 865,630 | JPMorgan Chase Bank, N.A. | 1/29/25 | 6,384 | — |
TRY | 348,446,365 | USD | 8,051,043 | Standard Chartered Bank | 2/10/25 | — | (57,288) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
UZS | 54,159,721,000 | USD | 3,868,552 | ICBC Standard Bank plc | 2/10/25 | $ 59,861 | $ — |
EGP | 523,539,906 | USD | 8,696,676 | Citibank, N.A. | 2/13/25 | 1,303,750 | — |
UZS | 49,482,178,280 | USD | 3,521,863 | JPMorgan Chase Bank, N.A. | 2/13/25 | 64,147 | — |
UZS | 63,552,436,124 | USD | 4,520,088 | JPMorgan Chase Bank, N.A. | 2/18/25 | 78,939 | — |
EGP | 175,382,970 | USD | 2,898,892 | Citibank, N.A. | 2/20/25 | 442,182 | — |
EGP | 107,664,850 | USD | 1,739,335 | Citibank, N.A. | 2/20/25 | 311,698 | — |
EGP | 90,590,377 | USD | 1,449,446 | Citibank, N.A. | 2/20/25 | 276,315 | — |
NGN | 5,359,349,909 | USD | 2,912,690 | Standard Chartered Bank | 2/24/25 | 577,868 | — |
NGN | 2,716,083,583 | USD | 1,456,345 | Standard Chartered Bank | 2/24/25 | 312,647 | — |
NGN | 4,159,580,543 | USD | 2,514,861 | JPMorgan Chase Bank, N.A. | 2/25/25 | 193,412 | — |
EGP | 43,308,143 | USD | 801,261 | Goldman Sachs International | 2/26/25 | 21,868 | — |
EGP | 94,648,825 | USD | 1,449,446 | Citibank, N.A. | 2/27/25 | 348,791 | — |
EGP | 81,498,172 | USD | 1,468,436 | HSBC Bank USA, N.A. | 2/27/25 | 79,952 | — |
UZS | 64,418,704,293 | USD | 4,576,817 | ICBC Standard Bank plc | 2/28/25 | 71,443 | — |
UZS | 22,806,122,207 | USD | 1,632,507 | ICBC Standard Bank plc | 3/5/25 | 10,743 | — |
UZS | 21,100,777,180 | USD | 1,495,979 | JPMorgan Chase Bank, N.A. | 3/17/25 | 19,156 | — |
UZS | 19,658,896,895 | USD | 1,393,260 | JPMorgan Chase Bank, N.A. | 3/20/25 | 17,126 | — |
USD | 3,172,432 | KES | 475,864,837 | Standard Chartered Bank | 3/21/25 | — | (167,394) |
EGP | 2,859,077,953 | USD | 52,346,808 | Goldman Sachs International | 3/25/25 | 1,436,904 | — |
EGP | 357,517,247 | USD | 6,572,008 | Goldman Sachs International | 3/26/25 | 150,897 | — |
EGP | 1,034,713,000 | USD | 18,968,158 | Bank of America, N.A. | 3/27/25 | 481,642 | — |
EGP | 53,780,069 | USD | 1,004,867 | Standard Chartered Bank | 4/3/25 | 3,376 | — |
USD | 4,758,696 | KES | 693,580,000 | Standard Chartered Bank | 4/4/25 | — | (95,641) |
UZS | 19,573,694,237 | USD | 1,378,429 | JPMorgan Chase Bank, N.A. | 4/4/25 | 9,513 | — |
UZS | 9,422,051,685 | USD | 665,869 | JPMorgan Chase Bank, N.A. | 4/4/25 | 2,235 | — |
EGP | 507,174,446 | USD | 9,444,589 | Goldman Sachs International | 4/8/25 | 45,724 | — |
TRY | 261,370,000 | USD | 5,694,381 | Standard Chartered Bank | 4/8/25 | 30,562 | — |
TRY | 234,960,000 | USD | 5,124,578 | Standard Chartered Bank | 4/8/25 | 21,891 | — |
USD | 2,774,809 | KES | 405,122,112 | Standard Chartered Bank | 4/9/25 | — | (57,816) |
UZS | 17,433,106,209 | USD | 1,217,396 | Standard Chartered Bank | 4/15/25 | 18,761 | — |
USD | 2,774,809 | KES | 404,705,891 | Standard Chartered Bank | 4/16/25 | 133,777 | — |
UZS | 100,794,050,000 | USD | 7,075,749 | ICBC Standard Bank plc | 4/17/25 | 97,862 | — |
USD | 1,131,469 | KES | 174,812,031 | Standard Chartered Bank | 5/5/25 | — | (84,561) |
USD | 1,131,469 | KES | 174,812,032 | Standard Chartered Bank | 5/5/25 | — | (84,561) |
USD | 7,657,092 | BHD | 2,927,000 | Standard Chartered Bank | 6/13/25 | — | (75,317) |
USD | 35,111,769 | BHD | 13,422,878 | Standard Chartered Bank | 6/18/25 | — | (346,511) |
USD | 11,380,379 | SAR | 42,945,000 | Standard Chartered Bank | 6/18/25 | — | (39,469) |
UZS | 53,922,250,000 | USD | 3,359,642 | Standard Chartered Bank | 3/25/26 | 65,185 | — |
$45,227,924 | $(33,437,732) |
Futures Contracts | |||||
Description | Number
of Contracts |
Position | Expiration
Date |
Notional
Amount |
Value/Unrealized
Appreciation (Depreciation) |
Equity Futures | |||||
Nikkei 225 Index | 174 | Long | 6/13/24 | $ 33,225,300 | $ (1,209,534) |
Euro Stoxx 50 Index | (891) | Short | 6/21/24 | (46,373,562) | (30,891) |
IFSC Nifty 50 Index | (468) | Short | 5/30/24 | (21,243,454) | (146,632) |
S&P/TSX 60 Index | (146) | Short | 6/20/24 | (27,690,844) | 326,387 |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 398 | Long | 6/28/24 | 41,687,391 | (632,229) |
Euro-Bobl | (567) | Short | 6/6/24 | (70,452,109) | 937,474 |
Euro-BTP | (544) | Short | 6/6/24 | (67,919,375) | 1,522,991 |
Euro-Bund | (1,534) | Short | 6/6/24 | (212,952,101) | 4,319,831 |
Euro-Buxl | (68) | Short | 6/6/24 | (9,355,678) | 311,664 |
Euro-Schatz | (163) | Short | 6/6/24 | (18,284,272) | 97,817 |
Japan 10-Year Bond | (133) | Short | 6/13/24 | (121,855,879) | 880,342 |
U.S. 2-Year Treasury Note | (7) | Short | 6/28/24 | (1,418,594) | 13,607 |
U.S. 10-Year Treasury Note | (799) | Short | 6/18/24 | (85,842,563) | 263,739 |
U.S. Long Treasury Bond | (271) | Short | 6/18/24 | (30,843,188) | 178,093 |
U.S. Ultra 10-Year Treasury Note | (148) | Short | 6/18/24 | (16,312,375) | 432,754 |
U.S. Ultra-Long Treasury Bond | (530) | Short | 6/18/24 | (63,368,125) | 3,206,709 |
$10,472,122 |
Inflation Swaps (Centrally Cleared) | |||||||
Notional
Amount (000's omitted) |
Portfolio
Pays/Receives Return on Reference Index |
Reference Index | Portfolio
Pays/Receives Rate |
Annual
Rate |
Termination
Date |
Value/Unrealized
Appreciation (Depreciation) | |
EUR | 11,000 | Receives | Eurostat
Eurozone HICP ex Tobacco NSA (pays upon termination) |
Pays | 2.20%
(pays upon termination) |
10/15/36 | $ 1,383,078 |
EUR | 10,900 | Receives | Eurostat
Eurozone HICP ex Tobacco NSA (pays upon termination) |
Pays | 2.20%
(pays upon termination) |
10/15/36 | 1,371,909 |
EUR | 10,900 | Receives | Eurostat
Eurozone HICP ex Tobacco NSA (pays upon termination) |
Pays | 2.20%
(pays upon termination) |
10/15/36 | 1,371,909 |
EUR | 11,410 | Receives | Eurostat
Eurozone HICP ex Tobacco NSA (pays upon termination) |
Pays | 2.08%
(pays upon termination) |
1/15/37 | 1,533,736 |
EUR | 10,900 | Pays | Eurostat
Eurozone HICP ex Tobacco NSA (pays upon termination) |
Receives | 2.29%
(pays upon termination) |
10/15/46 | (1,653,717) |
EUR | 10,900 | Pays | Eurostat
Eurozone HICP ex Tobacco NSA (pays upon termination) |
Receives | 2.29%
(pays upon termination) |
10/15/46 | (1,657,832) |
EUR | 11,000 | Pays | Eurostat
Eurozone HICP ex Tobacco NSA (pays upon termination) |
Receives | 2.29%
(pays upon termination) |
10/15/46 | (1,668,888) |
Inflation Swaps (Centrally Cleared) (continued) | |||||||
Notional
Amount (000's omitted) |
Portfolio
Pays/Receives Return on Reference Index |
Reference Index | Portfolio
Pays/Receives Rate |
Annual
Rate |
Termination
Date |
Value/Unrealized
Appreciation (Depreciation) | |
EUR | 11,410 | Pays | Eurostat
Eurozone HICP ex Tobacco NSA (pays upon termination) |
Receives | 2.18%
(pays upon termination) |
1/15/47 | $ (1,949,385) |
EUR | 4,350 | Pays | Eurostat
Eurozone HICP ex Tobacco NSA (pays upon termination) |
Receives | 1.10%
(pays upon termination) |
3/12/50 | (2,075,317) |
EUR | 7,900 | Pays | Eurostat
Eurozone HICP ex Tobacco NSA (pays upon termination) |
Receives | 2.64%
(pays upon termination) |
3/13/53 | 138,350 |
USD | 9,489 | Receives | Return
on CPI-U (NSA) (pays upon termination) |
Pays | 2.44%
(pays upon termination) |
1/13/33 | 173,587 |
USD | 4,900 | Receives | Return
on CPI-U (NSA) (pays upon termination) |
Pays | 2.60%
(pays upon termination) |
4/3/33 | 35,530 |
USD | 10,000 | Receives | Return
on CPI-U (NSA) (pays upon termination) |
Pays | 2.61%
(pays upon termination) |
4/3/33 | 63,038 |
USD | 6,000 | Receives | Return
on CPI-U (NSA) (pays upon termination) |
Pays | 2.53%
(pays upon termination) |
11/21/33 | 46,511 |
USD | 51,550 | Pays | Return
on CPI-U (NSA) (pays upon termination) |
Receives | 2.75%
(pays upon termination) |
10/29/36 | (2,163,973) |
USD | 18,160 | Pays | Return
on CPI-U (NSA) (pays upon termination) |
Receives | 2.67%
(pays upon termination) |
1/7/37 | (773,369) |
USD | 34,300 | Receives | Return
on CPI-U (NSA) (pays upon termination) |
Pays | 2.62%
(pays upon termination) |
10/29/46 | 1,379,194 |
USD | 17,300 | Receives | Return
on CPI-U (NSA) (pays upon termination) |
Pays | 2.62%
(pays upon termination) |
10/29/46 | 689,231 |
USD | 18,140 | Receives | Return
on CPI-U (NSA) (pays upon termination) |
Pays | 2.54%
(pays upon termination) |
1/7/47 | 860,580 |
USD | 5,824 | Receives | Return
on CPI-U (NSA) (pays upon termination) |
Pays | 2.42%
(pays upon termination) |
6/8/48 | 525,616 |
USD | 10,710 | Receives | Return
on CPI-U (NSA) (pays upon termination) |
Pays | 2.40%
(pays upon termination) |
3/13/53 | 399,879 |
$ (1,970,333) |
Interest Rate Swaps (Centrally Cleared) | ||||||||
Notional
Amount (000's omitted) |
Portfolio
Pays/ Receives Floating Rate |
Floating Rate | Annual
Fixed Rate |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) | |
BRL | 230,200 | Pays | Brazil
CETIP Interbank Deposit Rate (pays upon termination) |
10.34%
(pays upon termination) |
7/1/25 | $ (54,569) | $ — | $ (54,569) |
BRL | 345,800 | Pays | Brazil
CETIP Interbank Deposit Rate (pays upon termination) |
10.43%
(pays upon termination) |
7/1/25 | (14,518) | — | (14,518) |
BRL | 483,000 | Pays | Brazil
CETIP Interbank Deposit Rate (pays upon termination) |
10.52%
(pays upon termination) |
7/1/25 | 72,935 | — | 72,935 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional
Amount (000's omitted) |
Portfolio
Pays/ Receives Floating Rate |
Floating Rate | Annual
Fixed Rate |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) | |
BRL | 163,800 | Pays | Brazil
CETIP Interbank Deposit Rate (pays upon termination) |
10.56%
(pays upon termination) |
7/1/25 | $ 39,974 | $ — | $ 39,974 |
BRL | 79,100 | Pays | Brazil
CETIP Interbank Deposit Rate (pays upon termination) |
10.60%
(pays upon termination) |
7/1/25 | 25,606 | — | 25,606 |
BRL | 901,620 | Pays | Brazil
CETIP Interbank Deposit Rate (pays upon termination) |
9.96%
(pays upon termination) |
1/2/26 | (1,866,061) | — | (1,866,061) |
BRL | 1,007,688 | Pays | Brazil
CETIP Interbank Deposit Rate (pays upon termination) |
9.98%
(pays upon termination) |
1/2/26 | (1,999,443) | — | (1,999,443) |
CLP | 40,832,380 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
4.77%
(pays semi-annually) |
6/6/33 | 886,029 | 12,225 | 898,254 |
CLP | 13,713,620 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
4.65%
(pays semi-annually) |
6/14/33 | 361,414 | — | 361,414 |
CLP | 11,010,000 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
5.00%
(pays semi-annually) |
6/22/33 | 375,472 | — | 375,472 |
CLP | 12,557,000 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
5.20%
(pays semi-annually) |
6/22/33 | 223,740 | — | 223,740 |
CLP | 6,085,000 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
5.22%
(pays semi-annually) |
12/20/33 | 114,026 | — | 114,026 |
CLP | 15,037,000 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
4.94%
(pays semi-annually) |
6/21/34 | 495,279 | — | 495,279 |
CLP | 10,270,000 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
4.94%
(pays semi-annually) |
6/21/34 | 334,134 | — | 334,134 |
CLP | 4,971,000 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
5.06%
(pays semi-annually) |
6/21/34 | 115,731 | — | 115,731 |
CLP | 12,325,000 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
5.07%
(pays semi-annually) |
6/21/34 | 272,064 | — | 272,064 |
CLP | 6,705,037 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
5.08%
(pays semi-annually) |
6/21/34 | 142,613 | — | 142,613 |
CLP | 12,326,000 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
5.09%
(pays semi-annually) |
6/21/34 | 252,250 | — | 252,250 |
CLP | 6,161,963 | Receives | 6-month
Sinacofi Chile Interbank Rate (pays semi-annually) |
5.12%
(pays semi-annually) |
6/21/34 | 111,229 | — | 111,229 |
COP | 86,746,200 | Receives | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
3.84%
(pays quarterly) |
5/5/25 | 1,658,935 | — | 1,658,935 |
COP | 40,662,300 | Pays | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
3.19%
(pays quarterly) |
6/4/25 | (825,119) | — | (825,119) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional
Amount (000's omitted) |
Portfolio
Pays/ Receives Floating Rate |
Floating Rate | Annual
Fixed Rate |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) | |
COP | 61,940,900 | Pays | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
3.26%
(pays quarterly) |
6/5/25 | $ (1,242,865) | $ — | $ (1,242,865) |
COP | 85,106,600 | Pays | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
3.34%
(pays quarterly) |
6/8/25 | (1,678,188) | — | (1,678,188) |
COP | 41,729,700 | Pays | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
3.44%
(pays quarterly) |
6/9/25 | (803,480) | — | (803,480) |
COP | 6,351,000 | Receives | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
4.02%
(pays quarterly) |
11/26/25 | 141,665 | — | 141,665 |
COP | 29,320,000 | Receives | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
4.07%
(pays quarterly) |
11/26/25 | 647,307 | — | 647,307 |
COP | 20,326,400 | Receives | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
4.11%
(pays quarterly) |
11/26/25 | 445,795 | — | 445,795 |
COP | 6,192,100 | Receives | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
4.21%
(pays quarterly) |
11/26/25 | 133,230 | — | 133,230 |
COP | 15,771,100 | Receives | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
4.34%
(pays quarterly) |
11/26/25 | 330,235 | — | 330,235 |
COP | 27,035,200 | Pays | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
5.68%
(pays quarterly) |
11/26/25 | (415,944) | — | (415,944) |
COP | 35,344,000 | Receives | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
6.06%
(pays quarterly) |
11/26/25 | 397,318 | — | 397,318 |
COP | 7,565,000 | Receives | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
10.17%
(pays quarterly) |
11/26/25 | (24,796) | (64) | (24,860) |
COP | 14,525,000 | Receives | Colombia
Overnight Interbank Reference Rate (pays quarterly) |
10.28%
(pays quarterly) |
11/26/25 | (54,249) | — | (54,249) |
CZK | 569,000 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
4.18%
(pays annually) |
9/20/28 | 442,212 | — | 442,212 |
CZK | 155,489 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
3.94%
(pays annually) |
9/20/33 | (17,120) | — | (17,120) |
CZK | 310,979 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
3.96%
(pays annually) |
9/20/33 | (18,649) | — | (18,649) |
CZK | 467,532 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
3.96%
(pays annually) |
9/20/33 | (15,813) | — | (15,813) |
CZK | 753,484 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
4.12%
(pays annually) |
12/20/33 | (573,605) | — | (573,605) |
CZK | 642,816 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
4.15%
(pays annually) |
12/20/33 | (403,938) | — | (403,938) |
CZK | 225,000 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
4.31%
(pays annually) |
12/20/33 | (19,799) | — | (19,799) |
CZK | 340,000 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
3.41%
(pays annually) |
3/20/34 | (976,809) | — | (976,809) |
CZK | 680,000 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
3.43%
(pays annually) |
3/20/34 | (1,916,679) | — | (1,916,679) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional
Amount (000's omitted) |
Portfolio
Pays/ Receives Floating Rate |
Floating Rate | Annual
Fixed Rate |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) | |
CZK | 340,000 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
3.45%
(pays annually) |
3/20/34 | $ (924,368) | $ — | $ (924,368) |
CZK | 340,000 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
3.47%
(pays annually) |
3/20/34 | (910,136) | — | (910,136) |
CZK | 824,000 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
4.08%
(pays annually) |
6/19/34 | (261,693) | — | (261,693) |
CZK | 311,610 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
4.11%
(pays annually) |
6/19/34 | (68,693) | — | (68,693) |
CZK | 311,610 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
4.12%
(pays annually) |
6/19/34 | (57,882) | — | (57,882) |
CZK | 576,800 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
4.20%
(pays annually) |
6/19/34 | 52,951 | — | 52,951 |
CZK | 357,180 | Pays | 6-month
CZK PRIBOR (pays semi-annually) |
4.27%
(pays annually) |
6/19/34 | 122,632 | — | 122,632 |
EUR | 2,800 | Receives | 1-day
Euro Short-Term Rate (pays annually) |
2.60%
(pays annually) |
1/24/28 | 40,855 | (45) | 40,810 |
EUR | 5,444 | Pays | 6-month
EURIBOR (pays semi-annually) |
3.03%
(pays annually) |
10/10/29 | 108,125 | — | 108,125 |
EUR | 1,800 | Pays | 6-month
EURIBOR (pays semi-annually) |
3.17%
(pays annually) |
10/17/29 | 51,762 | — | 51,762 |
EUR | 2,719 | Pays | 6-month
EURIBOR (pays semi-annually) |
3.01%
(pays annually) |
10/27/29 | 52,908 | — | 52,908 |
EUR | 600 | Pays | 6-month
EURIBOR (pays semi-annually) |
3.26%
(pays annually) |
10/17/32 | 28,752 | — | 28,752 |
EUR | 1,200 | Pays | 6-month
EURIBOR (pays semi-annually) |
3.31%
(pays annually) |
10/18/32 | 63,060 | — | 63,060 |
EUR | 1,200 | Pays | 6-month
EURIBOR (pays semi-annually) |
3.20%
(pays annually) |
10/19/32 | 51,994 | — | 51,994 |
EUR | 2,700 | Receives | 1-day
Euro Short-Term Rate (pays annually) |
0.83%
(pays annually) |
3/17/52 | 1,013,558 | (1,497) | 1,012,061 |
EUR | 2,702 | Receives | 1-day
Euro Short-Term Rate (pays annually) |
0.86%
(pays annually) |
3/18/52 | 995,702 | 643 | 996,345 |
EUR | 3,019 | Receives | 1-day
Euro Short-Term Rate (pays annually) |
0.87%
(pays annually) |
3/18/52 | 1,103,950 | (106) | 1,103,844 |
EUR | 970 | Receives | 1-day
Euro Short-Term Rate (pays annually) |
1.29%
(pays annually) |
4/20/52 | 267,158 | 33 | 267,191 |
GBP | 15,312 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
4.56%
(pays annually) |
10/2/28 | 112,369 | — | 112,369 |
GBP | 12,044 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
3.61%
(pays annually) |
12/20/28 | (509,820) | — | (509,820) |
GBP | 12,044 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
3.64%
(pays annually) |
12/20/28 | (489,693) | — | (489,693) |
GBP | 12,044 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
3.69%
(pays annually) |
12/20/28 | (455,715) | — | (455,715) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional
Amount (000's omitted) |
Portfolio
Pays/ Receives Floating Rate |
Floating Rate | Annual
Fixed Rate |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) | |
GBP | 12,269 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
3.72%
(pays annually) |
12/20/28 | $ (447,124) | $ — | $ (447,124) |
GBP | 15,232 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
4.27%
(pays annually) |
12/20/28 | (80,679) | — | (80,679) |
GBP | 15,218 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
4.28%
(pays annually) |
12/20/28 | (72,101) | — | (72,101) |
GBP | 30,192 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
4.39%
(pays annually) |
12/20/28 | 42,999 | — | 42,999 |
GBP | 15,096 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
4.59%
(pays annually) |
12/20/28 | 187,643 | — | 187,643 |
GBP | 17,726 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
3.73%
(pays annually) |
3/20/29 | (543,945) | — | (543,945) |
GBP | 17,726 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
3.76%
(pays annually) |
3/20/29 | (519,465) | — | (519,465) |
GBP | 17,933 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
3.76%
(pays annually) |
3/20/29 | (524,051) | — | (524,051) |
GBP | 17,726 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
3.77%
(pays annually) |
3/20/29 | (507,713) | — | (507,713) |
GBP | 17,799 | Pays | 1-day
Sterling Overnight Index Average (pays annually) |
3.83%
(pays annually) |
3/20/29 | (450,342) | — | (450,342) |
HUF | 4,990,512 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
6.92%
(pays annually) |
6/19/29 | 16,823 | — | 16,823 |
HUF | 3,342,301 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
6.94%
(pays annually) |
6/19/29 | 16,826 | — | 16,826 |
HUF | 5,032,188 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
6.94%
(pays annually) |
6/19/29 | 28,122 | — | 28,122 |
HUF | 3,776,964 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
7.90%
(pays annually) |
4/27/33 | 605,673 | — | 605,673 |
HUF | 5,920,391 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
8.08%
(pays annually) |
5/25/33 | 1,618,265 | — | 1,618,265 |
HUF | 1,888,482 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
7.88%
(pays annually) |
6/5/33 | 438,614 | — | 438,614 |
HUF | 7,257,534 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
6.74%
(pays annually) |
6/19/34 | (368,879) | — | (368,879) |
HUF | 1,441,968 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
6.76%
(pays annually) |
6/19/34 | (68,165) | — | (68,165) |
HUF | 19,475,497 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
6.78%
(pays annually) |
6/19/34 | (845,468) | — | (845,468) |
HUF | 2,254,000 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
6.84%
(pays annually) |
6/19/34 | (72,363) | — | (72,363) |
HUF | 6,810,948 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
6.99%
(pays annually) |
6/19/34 | (27,286) | — | (27,286) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional
Amount (000's omitted) |
Portfolio
Pays/ Receives Floating Rate |
Floating Rate | Annual
Fixed Rate |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) | |
HUF | 14,714,051 | Pays | 6-month
HUF BUBOR (pays semi-annually) |
7.03%
(pays annually) |
6/19/34 | $ 66,867 | $ — | $ 66,867 |
INR | 4,859,300 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.53%
(pays semi-annually) |
9/18/26 | (72,852) | — | (72,852) |
INR | 4,860,000 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.55%
(pays semi-annually) |
9/18/26 | (53,087) | — | (53,087) |
INR | 2,429,400 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.57%
(pays semi-annually) |
9/18/26 | (18,213) | — | (18,213) |
INR | 2,429,000 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.59%
(pays semi-annually) |
9/18/26 | (7,025) | — | (7,025) |
INR | 2,430,000 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.61%
(pays semi-annually) |
9/18/26 | 2,079 | — | 2,079 |
INR | 2,430,000 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.61%
(pays semi-annually) |
9/18/26 | 4,680 | — | 4,680 |
INR | 1,804,100 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.62%
(pays semi-annually) |
9/18/26 | 5,408 | — | 5,408 |
INR | 2,429,400 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.64%
(pays semi-annually) |
9/18/26 | 21,328 | — | 21,328 |
INR | 2,429,400 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.66%
(pays semi-annually) |
9/18/26 | 30,695 | — | 30,695 |
INR | 2,520,000 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.31%
(pays semi-annually) |
3/20/29 | (375,420) | — | (375,420) |
INR | 7,000,000 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.31%
(pays semi-annually) |
3/20/29 | (1,042,480) | — | (1,042,480) |
INR | 5,960,000 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.31%
(pays semi-annually) |
3/20/29 | (886,404) | — | (886,404) |
INR | 1,134,200 | Pays | 1-day
INR FBIL MIBOR (pays semi-annually) |
6.57%
(pays semi-annually) |
6/19/29 | (13,443) | — | (13,443) |
JPY | 6,104,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.31%
(pays annually) |
12/1/27 | 181,624 | — | 181,624 |
JPY | 559,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.32%
(pays annually) |
12/1/27 | 15,726 | — | 15,726 |
JPY | 5,588,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.32%
(pays annually) |
12/1/27 | 157,205 | — | 157,205 |
JPY | 3,184,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.41%
(pays annually) |
9/20/28 | 56,581 | — | 56,581 |
JPY | 6,296,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.57%
(pays annually) |
6/19/29 | 73,613 | — | 73,613 |
JPY | 45,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.80%
(pays annually) |
9/20/33 | 1,357 | — | 1,357 |
JPY | 57,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.80%
(pays annually) |
9/20/33 | 1,683 | — | 1,683 |
JPY | 36,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.81%
(pays annually) |
9/20/33 | 949 | — | 949 |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional
Amount (000's omitted) |
Portfolio
Pays/ Receives Floating Rate |
Floating Rate | Annual
Fixed Rate |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) | |
JPY | 6,992,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.82%
(pays annually) |
9/20/33 | $ 130,666 | $ — | $ 130,666 |
JPY | 2,841,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.86%
(pays annually) |
9/20/33 | (28,124) | — | (28,124) |
JPY | 3,117,900 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.99%
(pays annually) |
12/20/33 | (197,522) | (123) | (197,645) |
JPY | 2,031,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
1.07%
(pays annually) |
12/20/33 | (224,195) | — | (224,195) |
JPY | 3,335,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
0.95%
(pays annually) |
3/21/34 | (24,274) | (15) | (24,289) |
JPY | 2,826,000 | Receives | 1-day
Overnight Tokyo Average Rate (pays annually) |
1.55%
(pays annually) |
6/19/54 | 502,599 | — | 502,599 |
KRW | 4,881,000 | Pays | 3-month
KRW Certificate of Deposit Rate (pays quarterly) |
3.29%
(pays quarterly) |
9/20/33 | (70,254) | — | (70,254) |
KRW | 3,543,000 | Pays | 3-month
KRW Certificate of Deposit Rate (pays quarterly) |
3.31%
(pays quarterly) |
9/20/33 | (47,808) | — | (47,808) |
KRW | 887,765 | Pays | 3-month
KRW Certificate of Deposit Rate (pays quarterly) |
3.31%
(pays quarterly) |
9/20/33 | (11,713) | — | (11,713) |
KRW | 4,723,000 | Pays | 3-month
KRW Certificate of Deposit Rate (pays quarterly) |
3.33%
(pays quarterly) |
9/20/33 | (56,082) | — | (56,082) |
KRW | 4,723,600 | Pays | 3-month
KRW Certificate of Deposit Rate (pays quarterly) |
3.34%
(pays quarterly) |
9/20/33 | (53,823) | — | (53,823) |
KRW | 7,533,000 | Pays | 3-month
KRW Certificate of Deposit Rate (pays quarterly) |
3.40%
(pays quarterly) |
9/20/33 | (57,597) | — | (57,597) |
KRW | 7,690,000 | Pays | 3-month
KRW Certificate of Deposit Rate (pays quarterly) |
3.52%
(pays quarterly) |
9/20/33 | (5,758) | — | (5,758) |
KRW | 7,156,000 | Pays | 3-month
KRW Certificate of Deposit Rate (pays quarterly) |
3.56%
(pays quarterly) |
9/20/33 | 11,166 | — | 11,166 |
KRW | 7,250,000 | Pays | 3-month
KRW Certificate of Deposit Rate (pays quarterly) |
3.59%
(pays quarterly) |
9/20/33 | 26,096 | — | 26,096 |
MXN | 2,363,270 | Pays | Mexico
Interbank TIIE 28 Day (pays monthly) |
10.88%
(pays monthly) |
1/6/25 | (182,850) | — | (182,850) |
MXN | 6,487,980 | Pays | Mexico
Interbank TIIE 28 Day (pays monthly) |
10.82%
(pays monthly) |
1/7/25 | (647,693) | — | (647,693) |
MXN | 5,724,050 | Pays | Mexico
Interbank TIIE 28 Day (pays monthly) |
10.80%
(pays monthly) |
1/8/25 | (737,635) | — | (737,635) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional
Amount (000's omitted) |
Portfolio
Pays/ Receives Floating Rate |
Floating Rate | Annual
Fixed Rate |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) | |
MXN | 449,560 | Pays | Mexico
Interbank TIIE 28 Day (pays monthly) |
8.71%
(pays monthly) |
12/1/33 | $ (1,477,075) | $ — | $ (1,477,075) |
MXN | 432,300 | Pays | Mexico
Interbank TIIE 28 Day (pays monthly) |
8.77%
(pays monthly) |
12/1/33 | (1,322,928) | — | (1,322,928) |
MXN | 267,690 | Pays | Mexico
Interbank TIIE 28 Day (pays monthly) |
8.43%
(pays monthly) |
12/2/33 | (1,160,089) | — | (1,160,089) |
MXN | 276,650 | Pays | Mexico
Interbank TIIE 28 Day (pays monthly) |
8.49%
(pays monthly) |
12/2/33 | (1,141,775) | — | (1,141,775) |
TWD | 339,300 | Receives | 3-month
TWD TAIBOR (pays quarterly) |
1.26%
(pays quarterly) |
3/20/29 | 304,980 | — | 304,980 |
TWD | 451,200 | Receives | 3-month
TWD TAIBOR (pays quarterly) |
1.27%
(pays quarterly) |
3/20/29 | 395,567 | — | 395,567 |
TWD | 458,400 | Receives | 3-month
TWD TAIBOR (pays quarterly) |
1.32%
(pays quarterly) |
3/20/29 | 368,029 | — | 368,029 |
TWD | 1,079,800 | Receives | 3-month
TWD TAIBOR (pays quarterly) |
1.33%
(pays quarterly) |
3/20/29 | 846,989 | — | 846,989 |
TWD | 372,000 | Receives | 3-month
TWD TAIBOR (pays quarterly) |
1.35%
(pays quarterly) |
3/20/29 | 282,181 | — | 282,181 |
TWD | 1,486,900 | Receives | 3-month
TWD TAIBOR (pays quarterly) |
1.36%
(pays quarterly) |
3/20/29 | 1,105,928 | — | 1,105,928 |
TWD | 451,200 | Receives | 3-month
TWD TAIBOR (pays quarterly) |
1.37%
(pays quarterly) |
3/20/29 | 328,931 | — | 328,931 |
TWD | 451,200 | Receives | 3-month
TWD TAIBOR (pays quarterly) |
1.38%
(pays quarterly) |
3/20/29 | 325,599 | — | 325,599 |
TWD | 2,187,400 | Receives | 3-month
TWD TAIBOR (pays quarterly) |
1.64%
(pays quarterly) |
6/19/29 | 818,693 | — | 818,693 |
TWD | 829,000 | Receives | 3-month
TWD TAIBOR (pays quarterly) |
1.95%
(pays quarterly) |
6/19/29 | (76,935) | — | (76,935) |
USD | 5,458 | Pays | SOFR
(pays annually) |
1.60%
(pays semi-annually) |
3/10/27 | (484,274) | (3,174) | (487,448) |
USD | 5,970 | Receives | SOFR
(pays annually) |
1.60%
(pays semi-annually) |
3/10/27 | 529,702 | 3,681 | 533,383 |
USD | 55,000 | Pays | SOFR
(pays annually) |
4.01%
(pays annually) |
8/4/28 | (1,705,897) | — | (1,705,897) |
USD | 55,000 | Pays | SOFR
(pays annually) |
4.01%
(pays annually) |
8/4/28 | (1,703,376) | — | (1,703,376) |
USD | 11,800 | Pays | SOFR
(pays annually) |
4.05%
(pays annually) |
9/20/28 | (322,984) | — | (322,984) |
USD | 11,800 | Pays | SOFR
(pays annually) |
4.06%
(pays annually) |
9/20/28 | (321,642) | — | (321,642) |
USD | 1,908 | Receives | SOFR
(pays annually) |
1.94%
(pays annually) |
3/17/32 | 312,208 | 87 | 312,295 |
USD | 10,205 | Pays | SOFR
(pays annually) |
3.23%
(pays semi-annually) |
1/13/33 | (848,061) | — | (848,061) |
USD | 4,900 | Pays | SOFR
(pays annually) |
3.27%
(pays annually) |
4/3/33 | (390,873) | — | (390,873) |
USD | 10,000 | Pays | SOFR
(pays annually) |
3.28%
(pays annually) |
4/3/33 | (789,572) | — | (789,572) |
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional
Amount (000's omitted) |
Portfolio
Pays/ Receives Floating Rate |
Floating Rate | Annual
Fixed Rate |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) | |
USD | 32,400 | Pays | SOFR
(pays annually) |
3.76%
(pays annually) |
9/20/33 | $ (404,300) | $ — | $ (404,300) |
USD | 6,000 | Pays | SOFR
(pays annually) |
4.11%
(pays annually) |
11/21/33 | (132,142) | — | (132,142) |
Total | $(16,274,337) | $11,645 | $(16,262,692) |
Interest Rate Swaps (OTC) | |||||||
Counterparty | Notional
Amount (000's omitted) |
Portfolio
Pays/Receives Floating Rate |
Floating Rate | Annual
Fixed Rate |
Termination
Date |
Value/Unrealized
Appreciation (Depreciation) | |
BNP Paribas | MYR | 86,300 | Receives | 3-month
MYR KLIBOR (pays quarterly) |
3.63%
(pays quarterly) |
3/20/29 | $ 138,011 |
JPMorgan Chase Bank, N.A. | MYR | 146,000 | Receives | 3-month
MYR KLIBOR (pays quarterly) |
3.65%
(pays quarterly) |
3/20/29 | 209,410 |
Standard Chartered Bank | MYR | 195,000 | Receives | 3-month
MYR KLIBOR (pays quarterly) |
3.64%
(pays quarterly) |
3/20/29 | 285,365 |
Total | $632,786 |
Credit Default Swaps - Sell Protection (Centrally Cleared) | |||||||
Reference Entity | Notional
Amount* (000's omitted) |
Contract
Annual Fixed Rate** |
Current
Market Annual Fixed Rate*** |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) |
Egypt | $ 8,778 | 1.00%
(pays quarterly)(1) |
6.31% | 12/20/28 | $ (1,637,671) | $ 2,476,055 | $ 838,384 |
Panama | 34,641 | 1.00%
(pays quarterly)(1) |
1.80 | 6/20/29 | (1,332,295) | 1,319,866 | (12,429) |
Total | $43,419 | $(2,969,966) | $3,795,921 | $825,955 |
Credit Default Swaps - Buy Protection (Centrally Cleared) | |||||||
Reference Entity | Notional
Amount (000's omitted) |
Contract
Annual Fixed Rate** |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) | |
Austria | $12,213 | 1.00%
(pays quarterly)(1) |
6/20/29 | $ (482,617) | $ 471,932 | $ (10,685) | |
Finland | 18,801 | 0.25%
(pays quarterly)(1) |
6/20/29 | (40,134) | 21,696 | (18,438) | |
France | 60,573 | 0.25%
(pays quarterly)(1) |
6/20/29 | (25,057) | (13,962) | (39,019) |
Credit Default Swaps - Buy Protection (Centrally Cleared) (continued) | |||||||
Reference Entity | Notional
Amount (000's omitted) |
Contract
Annual Fixed Rate** |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) | |
Germany | $ 85,444 | 0.25%
(pays quarterly)(1) |
6/20/29 | $ (606,880) | $ 495,110 | $ (111,770) | |
Hungary | 13,438 | 1.00%
(pays quarterly)(1) |
6/20/29 | 138,725 | (238,916) | (100,191) | |
Malaysia | 383,450 | 1.00%
(pays quarterly)(1) |
6/20/29 | (9,588,682) | 10,044,203 | 455,521 | |
Markit CDX Emerging Markets Index (CDX.EM.31.V3) | 860 | 1.00%
(pays quarterly)(1) |
6/20/24 | (1,946) | (3,614) | (5,560) | |
Markit CDX Emerging Markets Index (CDX.EM.IG.41.V1) | 357,000 | 1.00%
(pays quarterly)(1) |
6/20/29 | (4,326,748) | 4,966,775 | 640,027 | |
Philippines | 147,000 | 1.00%
(pays quarterly)(1) |
6/20/29 | (2,351,211) | 2,145,308 | (205,903) | |
Poland | 61,949 | 1.00%
(pays quarterly)(1) |
6/20/29 | (831,782) | 771,505 | (60,277) | |
Qatar | 20,242 | 1.00%
(pays quarterly)(1) |
6/20/29 | (541,062) | 558,360 | 17,298 | |
Romania | 13,120 | 1.00%
(pays quarterly)(1) |
6/20/29 | 290,363 | (364,568) | (74,205) | |
Saudi Arabia | 132,151 | 1.00%
(pays quarterly)(1) |
6/20/29 | (2,906,353) | 2,819,873 | (86,480) | |
South Africa | 579,860 | 1.00%
(pays quarterly)(1) |
6/20/29 | 34,324,659 | (38,880,819) | (4,556,160) | |
South Africa | 9,464 | 1.00%
(pays quarterly)(1) |
6/20/31 | 1,041,791 | (1,030,040) | 11,751 | |
Sweden | 41,185 | 0.25%
(pays quarterly)(1) |
6/20/29 | (224,856) | 181,142 | (43,714) | |
Turkey | 137,050 | 1.00%
(pays quarterly)(1) |
6/20/29 | 11,111,835 | (12,853,376) | (1,741,541) | |
United Kingdom | 59,267 | 1.00%
(pays quarterly)(1) |
6/20/29 | (2,050,263) | 1,894,891 | (155,372) | |
Total | $22,929,782 | $ (29,014,500) | $ (6,084,718) |
Credit Default Swaps - Sell Protection (OTC) | ||||||||
Reference Entity | Counterparty | Notional
Amount* (000's omitted) |
Contract
Annual Fixed Rate** |
Current
Market Annual Fixed Rate*** |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) |
Benin | Barclays Bank PLC | $ 1,100 | 1.00%
(pays quarterly)(1) |
2.40% | 6/20/27 | $ (42,160) | $ 95,250 | $ 53,090 |
Benin | Barclays Bank PLC | 1,100 | 1.00%
(pays quarterly)(1) |
2.40 | 6/20/27 | (42,160) | 93,135 | 50,975 |
Indonesia | Barclays Bank PLC | 45,000 | 1.00%
(pays quarterly)(1) |
0.76 | 6/20/29 | 538,443 | (464,393) | 74,050 |
Indonesia | BNP Paribas | 22,000 | 1.00%
(pays quarterly)(1) |
0.76 | 6/20/29 | 263,524 | (234,656) | 28,868 |
Indonesia | Deutsche Bank AG | 23,000 | 1.00%
(pays quarterly)(1) |
0.76 | 6/20/29 | 275,502 | (226,559) | 48,943 |
Credit Default Swaps - Sell Protection (OTC) (continued) | ||||||||
Reference Entity | Counterparty | Notional
Amount* (000's omitted) |
Contract
Annual Fixed Rate** |
Current
Market Annual Fixed Rate*** |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) |
Indonesia | Goldman Sachs International | $ 19,000 | 1.00%
(pays quarterly)(1) |
0.76% | 6/20/29 | $ 227,589 | $ (187,157) | $ 40,432 |
Indonesia | JPMorgan Chase Bank, N.A. | 18,000 | 1.00%
(pays quarterly)(1) |
0.76 | 6/20/29 | 180,224 | (181,374) | (1,150) |
Ivory Coast | Barclays Bank PLC | 18,000 | 1.00%
(pays quarterly)(1) |
1.86 | 6/20/25 | (150,386) | 305,765 | 155,379 |
Ivory Coast | Barclays Bank PLC | 6,486 | 1.00%
(pays quarterly)(1) |
3.03 | 6/20/27 | (358,971) | 527,747 | 168,776 |
Ivory Coast | Deutsche Bank AG | 15,100 | 1.00%
(pays quarterly)(1) |
2.99 | 6/20/27 | (819,336) | 1,230,627 | 411,291 |
Ivory Coast | Deutsche Bank AG | 16,821 | 1.00%
(pays quarterly)(1) |
2.99 | 6/20/27 | (912,721) | 1,369,260 | 456,539 |
Panama | Bank of America, N.A. | 3,560 | 1.00%
(pays quarterly)(1) |
1.80 | 6/20/29 | (122,077) | 133,858 | 11,781 |
Panama | Bank of America, N.A. | 3,660 | 1.00%
(pays quarterly)(1) |
1.80 | 6/20/29 | (125,506) | 116,021 | (9,485) |
Panama | Barclays Bank PLC | 6,927 | 1.00%
(pays quarterly)(1) |
1.80 | 6/20/29 | (237,536) | 230,585 | (6,951) |
Panama | Citibank, N.A. | 4,175 | 1.00%
(pays quarterly)(1) |
1.80 | 6/20/29 | (143,166) | 164,466 | 21,300 |
Panama | Deutsche Bank AG | 4,345 | 1.00%
(pays quarterly)(1) |
1.80 | 6/20/29 | (148,996) | 148,857 | (139) |
Panama | Deutsche Bank AG | 4,350 | 1.00%
(pays quarterly)(1) |
1.80 | 6/20/29 | (149,168) | 138,117 | (11,051) |
Panama | Goldman Sachs International | 24,350 | 1.00%
(pays quarterly)(1) |
1.80 | 6/20/29 | (834,995) | 772,007 | (62,988) |
Panama | JPMorgan Chase Bank, N.A. | 5,083 | 1.00%
(pays quarterly)(1) |
1.80 | 6/20/29 | (174,303) | 191,577 | 17,274 |
Petroleos Mexicanos | Bank of America, N.A. | 63,175 | 1.00%
(pays quarterly)(1) |
1.89 | 3/20/25 | (412,116) | 932,646 | 520,530 |
Petroleos Mexicanos | Barclays Bank PLC | 25,790 | 1.00%
(pays quarterly)(1) |
1.37 | 6/20/24 | 16,478 | 27,863 | 44,341 |
Vietnam | Bank of America, N.A. | 5,000 | 1.00%
(pays quarterly)(1) |
1.18 | 6/20/29 | (34,494) | 41,987 | 7,493 |
Vietnam | BNP Paribas | 7,000 | 1.00%
(pays quarterly)(1) |
1.18 | 6/20/29 | (48,292) | 64,983 | 16,691 |
Vietnam | Goldman Sachs International | 19,880 | 1.00%
(pays quarterly)(1) |
0.49 | 6/20/24 | 37,405 | (8,133) | 29,272 |
Vietnam | Goldman Sachs International | 9,500 | 1.00%
(pays quarterly)(1) |
1.18 | 6/20/29 | (65,593) | 84,168 | 18,575 |
Vietnam | Goldman Sachs International | 7,500 | 1.00%
(pays quarterly)(1) |
1.30 | 6/20/29 | (75,755) | 66,337 | (9,418) |
Total | $379,902 | $ (3,358,566) | $5,432,984 | $2,074,418 |
Credit Default Swaps - Buy Protection (OTC) | |||||||
Reference Entity | Counterparty | Notional
Amount (000's omitted) |
Contract
Annual Fixed Rate** |
Termination
Date |
Value | Unamortized
Upfront Receipts (Payments) |
Unrealized
Appreciation (Depreciation) |
Czech Republic | JPMorgan Chase Bank, N.A. | $19,840 | 1.00%
(pays quarterly)(1) |
6/20/29 | $ (642,021) | $ 650,030 | $ 8,009 |
Dubai | Barclays Bank PLC | 6,348 | 1.00%
(pays quarterly)(1) |
12/20/24 | (38,732) | (13,460) | (52,192) |
Dubai | Barclays Bank PLC | 9,572 | 1.00%
(pays quarterly)(1) |
12/20/24 | (58,403) | (20,314) | (78,717) |
Saudi Arabia | Barclays Bank PLC | 25,486 | 1.00%
(pays quarterly)(1) |
6/20/31 | (547,311) | (335,105) | (882,416) |
Saudi Arabia | Goldman Sachs International | 57,200 | 1.00%
(pays quarterly)(1) |
6/20/34 | (856,217) | 731,013 | (125,204) |
Total | $(2,142,684) | $1,012,164 | $ (1,130,520) |
* | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At April 30, 2024, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $423,321,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Total Return Swaps (OTC) | ||||||
Counterparty | Notional
Amount (000's omitted) |
Portfolio Receives | Portfolio Pays | Termination
Date |
Value/Unrealized
Appreciation (Depreciation) | |
BNP Paribas | USD | 217,500 | Excess Return on Bloomberg Commodity 3 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.12% (pays upon termination) | 8/26/24 | $ 182,340 |
Citibank, N.A. | USD | 32,381 | 5.35% on PEN 119,519,558 (pays upon termination) | SOFR + 1.10% on Notional Amount (pays upon termination) | 6/15/24 | (2,125,591) |
Citibank, N.A. | USD | 54,140 | 5.94% on PEN 199,830,221 (pays upon termination) | SOFR + 1.10% on Notional Amount (pays upon termination) | 6/15/24 | (2,206,517) |
Citibank, N.A. | USD | 82,400 | Excess Return on Bloomberg Commodity 3 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.12% (pays upon termination) | 6/18/24 | 341,065 |
Citibank, N.A. | USD | 61,519 | Excess Return on EGP 3,545,975,000 Treasury Bill, 0.00%, 12/17/24 at 0.82 (pays upon termination) | SOFR + 0.70% on Notional Amount (pays upon termination) | 12/17/24 | 744,396 |
Citibank, N.A. | KRW | 59,500 | Positive Return on KOSPI 200 Index Futures 6/2024 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 6/2024 (pays upon termination) | 6/13/24 | 289,764 |
Total Return Swaps (OTC) (continued) | ||||||
Counterparty | Notional
Amount (000's omitted) |
Portfolio Receives | Portfolio Pays | Termination
Date |
Value/Unrealized
Appreciation (Depreciation) | |
Goldman Sachs International | USD | 53,984 | 5.94% on PEN 198,770,371 (pays upon termination) | SOFR + 1.10% on Notional Amount (pays upon termination) | 6/6/24 | $ (2,387,015) |
$(5,161,558) |
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Termination
Date |
Value/Unrealized
Appreciation (Depreciation) |
Barclays Bank PLC | 1-day Indice Camara Promedio Rate on CLP 7,890,662,080 (pays semi-annually)* | 1.41%
on CLP equivalent of CLF 224,000 (pays semi-annually)* |
1/13/33 | $ 331,396 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 2,698,942,950 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 85,000 (pays semi-annually)* | 4/8/32 | (420,038) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 8,224,633,060 (pays semi-annually)* | 2.25%
on CLP equivalent of CLF 259,000 (pays semi-annually)* |
4/11/32 | (1,392,664) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,531,614,475 (pays semi-annually)* | 1.85% on CLP equivalent of CLF 47,900 (pays semi-annually)* | 4/20/32 | (193,596) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 6,500,579,580 (pays semi-annually)* | 2.34%
on CLP equivalent of CLF 178,000 (pays semi-annually)* |
11/21/33 | 62,083 |
$(1,612,819) |
* | At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date. |
April 30, 2024 | |
Assets | |
Unaffiliated investments, at value (identified cost $2,639,356,892) | $ 2,658,645,978 |
Affiliated investments, at value (identified cost $36,275,308) | 36,275,308 |
Cash | 6,407,274 |
Deposits for derivatives collateral: | |
Centrally cleared derivatives | 175,526,488 |
OTC derivatives | 21,884,300 |
Cash collateral for securities sold short | 137,350,920 |
Foreign currency, at value (identified cost $37,541,874) | 37,610,169 |
Interest and dividends receivable | 51,060,240 |
Dividends receivable from affiliated investments | 845,518 |
Receivable for investments sold | 47,770,470 |
Receivable for variation margin on open futures contracts | 3,508,644 |
Receivable for open forward foreign currency exchange contracts | 45,227,924 |
Receivable for open swap contracts | 4,767,439 |
Upfront payments on open non-centrally cleared swap contracts | 1,671,151 |
Receivable for closed swap contracts | 4,678,577 |
Tax reclaims receivable | 359,595 |
Receivable from affiliates | 80,694 |
Trustees' deferred compensation plan | 158,640 |
Total assets | $3,233,829,329 |
Liabilities | |
Cash collateral due to brokers | $ 4,279,000 |
Payable for reverse repurchase agreements, including accrued interest of $420,386 | 88,246,507 |
Written options outstanding, at value (premiums received $1,081,464) | 213,958 |
Payable for investments purchased | 94,675,391 |
Payable for securities sold short, at value (proceeds $175,202,063) | 169,928,740 |
Payable for variation margin on open centrally cleared derivatives | 3,227,627 |
Payable for open forward foreign currency exchange contracts | 33,437,732 |
Payable for open swap contracts | 9,965,132 |
Payable for closed swap contracts | 95,518 |
Upfront receipts on open non-centrally cleared swap contracts | 8,116,299 |
Payable to affiliates: | |
Investment adviser fee | 2,144,988 |
Trustees' fees | 9,222 |
Trustees' deferred compensation plan | 158,640 |
Interest and dividends payable on securities sold short | 5,107,899 |
Accrued foreign capital gains taxes | 19,468 |
Accrued expenses | 1,225,433 |
Total liabilities | $ 420,851,554 |
Net Assets applicable to investors' interest in Portfolio | $2,812,977,775 |
Six Months Ended | |
April 30, 2024 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $299,619) | $ 3,430,202 |
Dividend income from affiliated investments | 4,491,840 |
Interest income (net of foreign taxes withheld of $973,836) | 101,172,135 |
Other income | 260,699 |
Total investment income | $109,354,876 |
Expenses | |
Investment adviser fee | $ 12,420,775 |
Trustees’ fees and expenses | 54,250 |
Custodian fee | 866,985 |
Legal and accounting services | 97,659 |
Interest expense and fees | 2,991,247 |
Interest and dividend expense on securities sold short | 9,429,403 |
Miscellaneous | 51,334 |
Total expenses | $ 25,911,653 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 214,149 |
Total expense reductions | $ 214,149 |
Net expenses | $ 25,697,504 |
Net investment income | $ 83,657,372 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 2,081,074 |
Written options | 626,309 |
Securities sold short | (11,823,142) |
Futures contracts | (14,285,981) |
Swap contracts | (36,718,203) |
Foreign currency transactions | 9,580,955 |
Forward foreign currency exchange contracts | (12,528,324) |
Non-deliverable bond forward contracts | 3,158,005 |
Net realized loss | $ (59,909,307) |
Change in unrealized appreciation (depreciation): | |
Investments (including net decrease in accrued foreign capital gains taxes of $862) | $ 168,179,744 |
Written options | 731,804 |
Securities sold short | (7,997,827) |
Futures contracts | 5,569,661 |
Swap contracts | (20,226,243) |
Foreign currency | 1,245,070 |
Forward foreign currency exchange contracts | 16,404,097 |
Net change in unrealized appreciation (depreciation) | $163,906,306 |
Net realized and unrealized gain | $103,996,999 |
Net increase in net assets from operations | $187,654,371 |
Six
Months Ended April 30, 2024 (Unaudited) |
Year
Ended October 31, 2023 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 83,657,372 | $ 135,016,357 |
Net realized loss | (59,909,307) | (197,706,941) |
Net change in unrealized appreciation (depreciation) | 163,906,306 | 252,495,787 |
Net increase in net assets from operations | $ 187,654,371 | $ 189,805,203 |
Capital transactions: | ||
Contributions | $ 287,809,575 | $ 548,261,795 |
Withdrawals | (135,503,954) | (209,820,317) |
Net increase in net assets from capital transactions | $ 152,305,621 | $ 338,441,478 |
Net increase in net assets | $ 339,959,992 | $ 528,246,681 |
Net Assets | ||
At beginning of period | $ 2,473,017,783 | $ 1,944,771,102 |
At end of period | $2,812,977,775 | $2,473,017,783 |
Six
Months Ended April 30, 2024 (Unaudited) |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (1) | 1.95% (2)(3)(4) | 1.68% (3)(4) | 1.17% (3)(4) | 1.12% | 1.11% (3) | 1.26% (3) |
Net investment income | 6.34% (2) | 5.97% | 6.13% | 5.37% | 5.69% | 5.86% |
Portfolio Turnover | 100% (5) | 56% | 94% | 82% | 80% | 71% |
Total Return | 7.40% (5) | 9.60% | (4.83)% (3) | 5.94% | 6.57% (3) | 8.22% (3) |
Net assets, end of period (000’s omitted) | $2,812,978 | $2,473,018 | $1,944,771 | $2,632,155 | $3,045,720 | $3,331,278 |
(1) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.94%, 0.68%, 0.16%, 0.11%, 0.09% and 0.24% of average daily net assets for the six months ended April 30, 2024 and the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(2) | Annualized. |
(3) | The investment adviser reimbursed certain operating expenses (equal to 0.02%, 0.01%, 0.01%, 0.04% and 0.05% of average daily net assets for six months ended April 30, 2024 and the years ended October 31, 2023, 2022, 2020 and 2019, respectively). Absent this reimbursement, total return would be lower. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to 0.01%, 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2024 and the years ended October 31, 2023 and 2022, respectively). |
(5) | Not annualized. |
Average Daily Net Assets | Annual Fee Rate |
Up to $500 million | 1.000% |
$500 million but less than $1 billion | 0.950% |
$1 billion but less than $2.5 billion | 0.925% |
$2.5 billion but less than $5 billion | 0.900% |
$5 billion and over | 0.880% |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 2,023,396,069 | $ 1,800,387,250 |
U.S. Government and Agency Securities | 55,381,415 | 18,702,712 |
$2,078,777,484 | $1,819,089,962 |
Aggregate cost | $2,591,655,539 |
Gross unrealized appreciation | $ 178,891,952 |
Gross unrealized depreciation | (242,643,218) |
Net unrealized depreciation | $ (63,751,266) |
Description | Date(s)
of Acquisition |
Shares | Cost | Value |
Reinsurance Side Cars | ||||
Mt. Logan Re Ltd., Series A-1 | 12/30/20 | 8,600 | $ 8,600,000 | $ 11,815,016 |
PartnerRe ILS Fund SAC Ltd. | 1/2/24 | 13,000,000 | 13,000,000 | 13,449,800 |
Sussex Capital Ltd., Designated Investment Series 14 | 1/24/22 | 1,114 | 1,107,140 | 24,047 |
Sussex Capital Ltd., Designated Investment Series 14 | 11/30/22 | 1,081 | 1,080,115 | 305,880 |
Sussex Capital Ltd., Series 14, Preference Shares | 6/1/21 | 1,466 | 1,038,237 | 1,864,819 |
Total Restricted Securities | $24,825,492 | $27,459,562 |
Fair Value | ||||||
Consolidated Statement of Assets and Liabilities Caption | Commodity | Credit | Equity
Price |
Foreign
Exchange |
Interest
Rate |
Total |
Unaffiliated investments, at value | $ — | $ — | $ — | $ 1,809,347 | $ — | $ 1,809,347 |
Not applicable | — | 46,907,373* | 326,387* | 19,922,523* | 44,086,232* | 111,242,515 |
Receivable for open forward foreign currency exchange contracts | — | — | — | 45,227,924 | — | 45,227,924 |
Receivable/Payable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | 523,405 | 1,539,165 | 289,764 | — | 1,770,661 | 4,122,995 |
Total Asset Derivatives | $523,405 | $ 48,446,538 | $ 616,151 | $ 66,959,794 | $ 45,856,893 | $ 162,402,781 |
Derivatives not subject to master netting or similar agreements | $ — | $ 46,907,373 | $ 326,387 | $ 19,922,523 | $ 44,086,232 | $ 111,242,515 |
Total Asset Derivatives subject to master netting or similar agreements | $523,405 | $ 1,539,165 | $ 289,764 | $ 47,037,271 | $ 1,770,661 | $ 51,160,266 |
Written options outstanding, at value | $ — | $ — | $ — | $ (213,958) | $ — | $ (213,958) |
Not applicable | — | (26,947,557)* | (1,387,057)* | (12,773,617)* | (50,798,110)* | (91,906,341) |
Payable for open forward foreign currency exchange contracts | — | — | — | (33,437,732) | — | (33,437,732) |
Payable/Receivable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | — | (7,040,415) | — | — | (8,725,421) | (15,765,836) |
Total Liability Derivatives | $ — | $(33,987,972) | $(1,387,057) | $(46,425,307) | $(59,523,531) | $(141,323,867) |
Derivatives not subject to master netting or similar agreements | $ — | $(26,947,557) | $(1,387,057) | $(12,773,617) | $(50,798,110) | $ (91,906,341) |
Total Liability Derivatives subject to master netting or similar agreements | $ — | $ (7,040,415) | $ — | $(33,651,690) | $ (8,725,421) | $ (49,417,526) |
* | Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable. |
Counterparty | Derivative
Assets Subject to Master Netting Agreement |
Derivatives
Available for Offset |
Non-cash
Collateral Received(a) |
Cash
Collateral Received(a) |
Net
Amount of Derivative Assets(b) |
Total
Cash Collateral Received |
Bank of America, N.A. | $ 1,120,204 | $ (1,120,204) | $ — | $ — | $ — | $ — |
Barclays Bank PLC | 2,182,327 | (1,660,749) | (521,578) | — | — | — |
BNP Paribas | 3,516,588 | (3,334,248) | (182,340) | — | — | 400,000 |
Citibank, N.A. | 13,868,909 | (11,629,168) | (272,403) | — | 1,967,338 | — |
Counterparty | Derivative
Assets Subject to Master Netting Agreement |
Derivatives
Available for Offset |
Non-cash
Collateral Received(a) |
Cash
Collateral Received(a) |
Net
Amount of Derivative Assets(b) |
Total
Cash Collateral Received |
Deutsche Bank AG | $ 343,660 | $ (343,660) | $ — | $ — | $ — | $ — |
Goldman Sachs International | 5,842,506 | (5,842,506) | — | — | — | — |
HSBC Bank USA, N.A. | 5,716,600 | (1,123,106) | (2,534,592) | — | 2,058,902 | — |
ICBC Standard Bank plc | 1,339,555 | (1,339,555) | — | — | — | — |
JPMorgan Chase Bank, N.A. | 4,096,549 | (1,676,933) | — | (2,419,616) | — | 3,879,000 |
Societe Generale | 1,021,485 | (1,021,485) | — | — | — | — |
Standard Chartered Bank | 10,091,539 | (8,281,883) | — | — | 1,809,656 | — |
State Street Bank and Trust Company | 11,978 | (11,978) | — | — | — | — |
UBS AG | 2,008,366 | (2,008,366) | — | — | — | — |
$51,160,266 | $(39,393,841) | $(3,510,913) | $(2,419,616) | $5,835,896 | $4,279,000 |
Counterparty | Derivative
Liabilities Subject to Master Netting Agreement |
Derivatives
Available for Offset |
Non-cash
Collateral Pledged(a) |
Cash
Collateral Pledged(a) |
Net
Amount of Derivative Liabilities(c) |
Total
Cash Collateral Pledged |
Australia and New Zealand Banking Group Limited | $ (365,172) | $ — | $ 280,692 | $ — | $ (84,480) | $ — |
Bank of America, N.A. | (1,784,426) | 1,120,204 | 664,222 | — | — | — |
Barclays Bank PLC | (1,660,749) | 1,660,749 | — | — | — | — |
BNP Paribas | (3,711,807) | 3,334,248 | — | — | (377,559) | — |
Citibank, N.A. | (11,629,168) | 11,629,168 | — | — | — | 7,762,300 |
Deutsche Bank AG | (2,030,221) | 343,660 | 1,686,561 | — | — | — |
Goldman Sachs International | (10,689,993) | 5,842,506 | 3,786,691 | — | (1,060,796) | — |
HSBC Bank USA, N.A. | (1,123,106) | 1,123,106 | — | — | — | — |
ICBC Standard Bank plc | (1,401,320) | 1,339,555 | 61,765 | — | — | — |
JPMorgan Chase Bank, N.A. | (1,676,933) | 1,676,933 | — | — | — | — |
Societe Generale | (1,910,573) | 1,021,485 | 889,088 | — | — | — |
Standard Chartered Bank | (8,281,883) | 8,281,883 | — | — | — | 9,640,000 |
State Street Bank and Trust Company | (304,215) | 11,978 | 69,905 | — | (222,332) | — |
UBS AG | (2,847,960) | 2,008,366 | 649,847 | 189,747 | — | 203,000 |
$(49,417,526) | $39,393,841 | $8,088,771 | $189,747 | $(1,745,167) | $17,605,300 | |
Total — Deposits for derivatives collateral — OTC derivatives | $21,884,300 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Consolidated Statement of Operations Caption | Commodity | Credit | Equity
Price |
Foreign
Exchange |
Interest
Rate |
Total |
Net realized gain (loss): | ||||||
Investment transactions | $ — | $ — | $ — | $ (1,242,797) | $ — | $ (1,242,797) |
Written options | — | — | — | 1,230,867 | (604,558) | 626,309 |
Futures contracts | (2,112,470) | — | (6,625,974) | — | (5,547,537) | (14,285,981) |
Swap contracts | (15,710) | (65,546,839) | 4,754,043 | — | 24,090,303 | (36,718,203) |
Forward foreign currency exchange contracts | — | — | — | (12,528,324) | — | (12,528,324) |
Non-deliverable bond forward contracts | — | — | — | — | 3,158,005 | 3,158,005 |
Total | $(2,128,180) | $(65,546,839) | $(1,871,931) | $(12,540,254) | $ 21,096,213 | $(60,990,991) |
Change in unrealized appreciation (depreciation): | ||||||
Investments | $ — | $ — | $ — | $ (3,487,484) | $ — | $ (3,487,484) |
Written options | — | — | — | 731,804 | — | 731,804 |
Futures contracts | 729,379 | — | (3,261,758) | — | 8,102,040 | 5,569,661 |
Swap contracts | 469,590 | (9,815,202) | 2,031,723 | — | (12,912,354) | (20,226,243) |
Forward foreign currency exchange contracts | — | — | — | 16,404,097 | — | 16,404,097 |
Total | $ 1,198,969 | $ (9,815,202) | $(1,230,035) | $ 13,648,417 | $ (4,810,314) | $ (1,008,165) |
Futures
Contracts — Long |
Futures
Contracts — Short |
Forward
Foreign Currency Exchange Contracts* |
Non-Deliverable
Bond Forward Contracts |
Swap
Contracts |
$126,955,000 | $1,065,548,000 | $3,980,285,000 | $30,019,000 | $7,761,963,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Counterparty | Trade
Date |
Maturity
Date |
Interest
Rate Paid (Received) |
Principal
Amount |
Value
Including Accrued Interest |
MUFG Securities Americas, Inc. | 2/13/24 | On Demand(1) | 5.55% | $ 16,084,121 | $ 16,275,053 |
MUFG Securities Americas, Inc. | 4/3/24 | On Demand(1) | 5.55 | 13,916,000 | 13,976,071 |
MUFG Securities Americas, Inc. | 4/12/24 | On Demand(1) | 5.55 | 57,826,000 | 57,995,383 |
Total | $87,826,121 | $88,246,507 |
(1) | Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Counterparty | Repurchase
Agreements |
Liabilities
Available for Offset |
Securities
Collateral Received(a) |
Net
Amount(b) |
Bank of America, N.A. | $ 1,787,500 | $ — | $ (1,787,500) | $ — |
Barclays Bank PLC | 14,540,721 | — | (13,605,933) | 934,788 |
JPMorgan Chase Bank, N.A. | 53,558,961 | — | (48,920,533) | 4,638,428 |
Nomura International PLC | 19,702,921 | — | (17,998,335) | 1,704,586 |
$89,590,103 | $ — | $(82,312,301) | $7,277,802 |
Counterparty | Reverse
Repurchase Agreements* |
Assets
Available for Offset |
Securities
Collateral Pledged(a) |
Net
Amount(c) |
MUFG Securities Americas, Inc. | $(88,246,507) | $ — | $88,246,507 | $ — |
* | Including accrued interest. |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Name | Value,
beginning of period |
Purchases | Sales
proceeds |
Net
realized gain (loss) |
Change
in unrealized appreciation (depreciation) |
Value,
end of period |
Dividend
income |
Shares,
end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $230,125,366 | $1,352,870,566 | $(1,546,720,624) | $ — | $ — | $36,275,308 | $4,491,840 | 36,275,308 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Collateralized Mortgage Obligations | $ — | $ 145,595,508 | $ — | $ 145,595,508 |
Common Stocks | 400,277 | 213,301,095* | 367,399 | 214,068,771 |
Convertible Bonds | — | 4,564,056 | — | 4,564,056 |
Foreign Corporate Bonds | — | 152,876,325 | 0 | 152,876,325 |
Loan Participation Notes | — | — | 54,139,286 | 54,139,286 |
Reinsurance Side Cars | — | — | 41,366,960 | 41,366,960 |
Senior Floating-Rate Loans | — | 16,159,500 | 407,885 | 16,567,385 |
Sovereign Government Bonds | — | 1,448,913,197 | — | 1,448,913,197 |
Sovereign Loans | — | 87,565,373 | — | 87,565,373 |
U.S. Government Guaranteed Small Business Administration Loans | — | 5,733,898 | — | 5,733,898 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 36,275,308 | — | — | 36,275,308 |
Repurchase Agreements | — | 89,590,103 | — | 89,590,103 |
Sovereign Government Securities | — | 289,618,200 | — | 289,618,200 |
U.S. Treasury Obligations | — | 106,237,569 | — | 106,237,569 |
Purchased Currency Options | — | 1,809,347 | — | 1,809,347 |
Total Investments | $ 36,675,585 | $ 2,561,964,171 | $ 96,281,530 | $ 2,694,921,286 |
Forward Foreign Currency Exchange Contracts | $ — | $ 65,150,447 | $ — | $ 65,150,447 |
Futures Contracts | 12,491,408 | — | — | 12,491,408 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Swap Contracts | $ — | $ 82,951,579 | $ — | $ 82,951,579 |
Total | $ 49,166,993 | $ 2,710,066,197 | $ 96,281,530 | $ 2,855,514,720 |
Liability Description | ||||
Securities Sold Short | $ (47,206,453) | $ (122,722,287) | $ — | $ (169,928,740) |
Written Currency Options | — | (213,958) | — | (213,958) |
Forward Foreign Currency Exchange Contracts | — | (46,211,349) | — | (46,211,349) |
Futures Contracts | (1,841,763) | (177,523) | — | (2,019,286) |
Swap Contracts | — | (92,879,274) | — | (92,879,274) |
Total | $ (49,048,216) | $ (262,204,391) | $ — | $ (311,252,607) |
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Common
Stocks |
Foreign
Corporate Bonds |
Loan
Participation Notes |
Reinsurance
Side Cars** |
Senior
Floating-Rate Loans |
Miscellaneous | Total | |
Balance as of October 31, 2023 | $ 818,174 | $ 0 | $50,529,862 | $20,158,090 | $ 397,208 | $ 0 | $71,903,334 |
Realized gains (losses) | — | — | — | 3,027,524 | 13,429 | 116,131 | 3,157,084 |
Change in net unrealized appreciation (depreciation) | (450,775) | — | 3,147,767 | 182,993 | 670,469 | — | 3,550,454 |
Cost of purchases | — | — | — | 26,000,000 | — | — | 26,000,000 |
Proceeds from sales, including return of capital | — | — | — | (8,001,647) | (699,275) | (116,131) | (8,817,053) |
Accrued discount (premium) | — | — | 461,657 | — | 26,054 | — | 487,711 |
Transfers to Level 3 | — | — | — | — | — | — | — |
Transfers from Level 3 | — | — | — | — | — | — | — |
Balance as of April 30, 2024 | $ 367,399 | $ 0 | $54,139,286 | $41,366,960 | $ 407,885 | $ 0 | $96,281,530 |
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2024 | $(450,775) | $ — | $ 3,147,767 | $ 2,294,447 | $ 245,091 | $ — | $ 5,236,530 |
* | The Portfolio’s investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations. |
Type of Investment | Fair
Value as of April 30, 2024 |
Valuation Technique | Unobservable Input | Range of Unobservable Input | Impact
to Valuation from an Increase to Input* |
Common Stocks | $ 367,399 | Market Approach | Discount Rate | 30% | Decrease |
Foreign Corporate Bonds | 0 | Estimated Recovery Value | Estimated Recovery Value Percentage | 0% | Increase |
Loan Participation Notes | 54,139,286 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 4.38% - 6.67%** | Decrease |
Miscellaneous | 0 | Estimated Value | Estimated Recovery Value Percentage | 0% | Increase |
Senior Floating-Rate Loans | 407,885 | Market Approach | Discount Rate | 10% | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
** | The weighted average of the unobservable input is 5.55% based on relative principal amounts. |
Officers of Eaton Vance Global Macro Absolute Return Advantage Fund and Global Macro Absolute Return Advantage Portfolio | |
Kenneth
A. Topping President |
Nicholas
S. Di Lorenzo Secretary |
Deidre
E. Walsh Vice President and Chief Legal Officer |
Laura T.
Donovan Chief Compliance Officer |
James
F. Kirchner Treasurer |
Trustees of Eaton Vance Global Macro Absolute Return Advantage Fund and Global Macro Absolute Return Advantage Portfolio |
* | Interested Trustee |
U.S. Customer Privacy Notice | March 2024 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The
types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account information and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does
Eaton Vance share? |
Can
you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No* |
For our affiliates’ everyday business purposes — information about your creditworthiness | Yes | Yes* |
For our affiliates to market to you | Yes | Yes* |
For nonaffiliates to market to you | No | We don’t share |
To
limit our sharing |
Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
U.S. Customer Privacy Notice — continued | March 2024 |
Who we are | |
Who is providing this notice? | Eaton Vance Management and our investment management affiliates (“Eaton Vance”) (see Affiliates definition below.) |
What we do | |
How
does Eaton Vance protect my personal information? |
To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How
does Eaton Vance collect my personal information? |
We
collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal
law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. (See below for more on your rights under state law.) |
What
happens when I limit sharing for an account I hold jointly with someone else? |
Your choices will apply to everyone on your account. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include registered investment advisers such as Eaton Vance Management, Eaton Vance Advisers International Ltd., Boston Management and Research, Calvert Research and Management, Parametric Portfolio Associates LLC, Atlanta Capital Management Company LLC, Morgan Stanley Investment Management Inc., Morgan Stanley Investment Management Co.; registered broker-dealers such as Morgan Stanley Distributors Inc. and Eaton Vance Distributors, Inc. (together, the “Investment Management Affiliates”); and companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. (the “Morgan Stanley Affiliates”). |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance does not jointly market. |
U.S. Customer Privacy Notice — continued | March 2024 |
Other important information | |
*PLEASE NOTE: Eaton Vance does not share your creditworthiness information or your transactions and experiences information with the Morgan Stanley Affiliates, nor does Eaton Vance enable the Morgan Stanley Affiliates to market to you. Your opt outs will prevent Eaton Vance from sharing your creditworthiness information with the Investment Management Affiliates and will prevent the Investment Management Affiliates from marketing their products to you.Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrants principal executive officer and principal financial officer that the effectiveness of the registrants current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commissions rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrants principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrants internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrants Code of Ethics Not applicable (please see Item 2). |
(a)(2)(i) |
(a)(2)(ii) |
(b) |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Global Macro Absolute Return Advantage Portfolio | ||
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
Principal Executive Officer | ||
Date: | June 25, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Principal Financial Officer | ||
Date: | June 25, 2024 | |
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
Principal Executive Officer | ||
Date: | June 25, 2024 |
Global Macro Absolute Return Advantage Portfolio
FORM N-CSR
Exhibit 13(a)(2)(i)
CERTIFICATION
I, James F. Kirchner, certify that:
1. I have reviewed this report on Form N-CSR of Global Macro Absolute Return Advantage Portfolio;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: June 25, 2024 | /s/ James F. Kirchner | |||||
James F. Kirchner | ||||||
Principal Financial Officer |
Global Macro Absolute Return Advantage Portfolio
FORM N-CSR
Exhibit 13(a)(2)(ii)
CERTIFICATION
I, Kenneth A. Topping, certify that:
1. I have reviewed this report on Form N-CSR of Global Macro Absolute Return Advantage Portfolio;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: June 25, 2024 | /s/ Kenneth A. Topping | |||||
Kenneth A. Topping | ||||||
Principal Executive Officer |
Form N-CSR Item 13(b) Exhibit
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
The undersigned hereby certify in their capacity as Principal Financial Officer and Principal Executive Officer, respectively, of Global Macro Absolute Return Advantage Portfolio (the Portfolio), that:
(a) | The Semiannual Report of the Portfolio on Form N-CSR for the period ended April 30, 2024 (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. |
A signed original of this written statement required by section 906 has been provided to the Portfolio and will be retained by the Portfolio and furnished to the Securities and Exchange Commission or its staff upon request.
Global Macro Absolute Return Advantage Portfolio |
Date: June 25, 2024 |
/s/ James F. Kirchner |
James F. Kirchner |
Principal Financial Officer |
Date: June 25, 2024 |
/s/ Kenneth A. Topping |
Kenneth A. Topping |
Principal Executive Officer |