Global Macro Absolute Return Advantage Portfolio
January 31, 2022
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
Asset-Backed Securities 2.1%
Security | Principal Amount (000s omitted) |
Value | ||||||
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(2) |
$ | 51,922 | $ | 51,253,338 | ||||
|
|
|||||||
Total Asset-Backed Securities |
$ | 51,253,338 | ||||||
|
|
|||||||
Collateralized Mortgage Obligations 0.2% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Federal Home Loan Mortgage Corp.: | ||||||||
Interest Only:(3) | ||||||||
Series 2770, Class SH, 6.994%, (7.10% - 1 mo. USD LIBOR), 3/15/34(4) |
$ | 889 | $ | 187,332 | ||||
Series 4791, Class JI, 4.00%, 5/15/48 |
10,093 | 1,360,746 | ||||||
|
|
|||||||
$ | 1,548,078 | |||||||
|
|
|||||||
Federal National Mortgage Association: | ||||||||
Interest Only:(3) | ||||||||
Series 424, Class C8, 3.50%, 2/25/48 |
$ | 12,641 | $ | 1,844,668 | ||||
Series 2010-109, Class PS, 6.492%, (6.60% - 1 mo. USD LIBOR), 10/25/40(4) |
1,933 | 354,644 | ||||||
Series 2018-21, Class IO, 3.00%, 4/25/48 |
10,482 | 1,410,277 | ||||||
Series 2018-58, Class BI, 4.00%, 8/25/48 |
1,829 | 256,024 | ||||||
|
|
|||||||
$ | 3,865,613 | |||||||
|
|
|||||||
Total Collateralized Mortgage Obligations |
$ | 5,413,691 | ||||||
|
|
|||||||
U.S. Government Guaranteed Small Business Administration Loans(5)(6) 1.0% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
1.63%, 11/20/42 |
$ | 1,174 | $ | 70,869 | ||||
1.88%, 10/30/42 to 12/28/42 |
7,457 | 503,183 | ||||||
2.13%, 1/25/43 |
1,626 | 118,365 | ||||||
2.38%, 11/30/42 to 3/1/43 |
5,874 | 526,765 | ||||||
2.54%, 11/15/32 to 4/10/43(7) |
33,638 | 2,927,322 | ||||||
2.63%, 10/27/42 to 3/20/43 |
8,411 | 780,618 | ||||||
2.82%, 4/12/27 to 3/10/43(7) |
75,920 | 7,072,183 | ||||||
2.88%, 10/27/42 to 2/13/43 |
8,470 | 912,653 | ||||||
3.05%, 2/2/27 to 12/17/43(7) |
81,528 | 8,158,021 |
1
Security | Principal Amount (000s omitted) |
Value | ||||||
3.13%, 10/12/42 to 2/15/43 |
$ | 5,426 | $ | 668,435 | ||||
3.63%, 10/27/42 to 3/28/43 |
22,527 | 3,140,817 | ||||||
|
|
|||||||
Total U.S. Government Guaranteed Small Business Administration Loans |
$ | 24,879,231 | ||||||
|
|
|||||||
Convertible Bonds 0.4% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Bermuda 0.2% |
||||||||
Liberty Latin America, Ltd., 2.00%, 7/15/24 |
$ | 4,760 | $ | 4,587,450 | ||||
|
|
|||||||
Total Bermuda |
$ | 4,587,450 | ||||||
|
|
|||||||
India 0.2% |
||||||||
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(8) |
$ | 4,605 | $ | 4,385,894 | ||||
|
|
|||||||
Total India |
$ | 4,385,894 | ||||||
|
|
|||||||
Total Convertible Bonds |
$ | 8,973,344 | ||||||
|
|
|||||||
Foreign Corporate Bonds 9.5% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Argentina 0.8% |
||||||||
IRSA Propiedades Comerciales S.A., 8.75%, 3/23/23(8) | USD | 1,461 | $ | 1,419,062 | ||||
YPF S.A.: | ||||||||
4.00% to 1/1/23, 2/12/26(1)(9) |
USD | 18,233 | 15,220,710 | |||||
6.95%, 7/21/27(8) |
USD | 1,428 | 938,696 | |||||
8.50%, 7/28/25(8) |
USD | 760 | 581,400 | |||||
9.00% to 1/1/23, 2/12/26(8)(9) |
USD | 2,726 | 2,275,492 | |||||
|
|
|||||||
Total Argentina |
$ | 20,435,360 | ||||||
|
|
|||||||
Armenia 0.5% |
||||||||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(8) | USD | 13,208 | $ | 12,910,820 | ||||
|
|
|||||||
Total Armenia |
$ | 12,910,820 | ||||||
|
|
|||||||
Belarus 0.2% |
||||||||
Eurotorg, LLC Via Bonitron DAC, 9.00%, 10/22/25(8) | USD | 3,827 | $ | 3,884,405 | ||||
|
|
|||||||
Total Belarus |
$ | 3,884,405 | ||||||
|
|
|||||||
Brazil 1.7% |
||||||||
Braskem America Finance Co., 7.125%, 7/22/41(8) | USD | 1,778 | $ | 2,143,432 | ||||
Braskem Netherlands Finance BV, 5.875%, 1/31/50(8) | USD | 6,191 | 6,755,991 | |||||
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(1) | USD | 5,892 | 5,659,119 |
2
Security | Principal Amount (000s omitted) |
Value | ||||||
Natura Cosmeticos S.A., 4.125%, 5/3/28(8) |
USD | 8,098 | $ | 7,895,550 | ||||
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, 12/1/22(8) |
USD | 2,024 | 2,003,711 | |||||
Oi Movel S.A., 8.75%, 7/30/26(8) |
USD | 8,917 | 9,039,609 | |||||
Petrobras Global Finance BV, 6.90%, 3/19/49 |
USD | 736 | 751,150 | |||||
Vale S.A., 2.762%(10)(11) |
BRL | 64,850 | 6,153,114 | |||||
|
|
|||||||
Total Brazil |
$ | 40,401,676 | ||||||
|
|
|||||||
Bulgaria 0.5% |
||||||||
Eurohold Bulgaria AD, 6.50%, 12/7/22(8) |
EUR | 9,718 | $ | 10,809,316 | ||||
|
|
|||||||
Total Bulgaria |
$ | 10,809,316 | ||||||
|
|
|||||||
China 0.5% |
||||||||
KWG Group Holdings, Ltd., 7.875%, 9/1/23(8) |
USD | 2,385 | $ | 1,514,475 | ||||
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(8) |
USD | 4,600 | 2,139,000 | |||||
Sunac China Holdings, Ltd.: |
||||||||
6.50%, 7/9/23(8) |
USD | 2,200 | 1,358,500 | |||||
8.35%, 4/19/23(8) |
USD | 3,600 | 2,304,000 | |||||
Times China Holdings, Ltd.: |
||||||||
5.55%, 6/4/24(8) |
USD | 6,284 | 3,098,012 | |||||
6.75%, 7/16/23(8) |
USD | 4,471 | 2,313,743 | |||||
|
|
|||||||
Total China |
$ | 12,727,730 | ||||||
|
|
|||||||
Georgia 0.5% |
||||||||
Georgia Capital JSC: |
||||||||
6.125%, 3/9/24(1) |
USD | 2,580 | $ | 2,611,605 | ||||
6.125%, 3/9/24(8) |
USD | 2,988 | 3,024,603 | |||||
Silknet JSC: |
||||||||
8.375%, 1/31/27(8) |
USD | 3,228 | 3,264,315 | |||||
11.00%, 4/2/24(8) |
USD | 3,388 | 3,595,972 | |||||
|
|
|||||||
Total Georgia |
$ | 12,496,495 | ||||||
|
|
|||||||
Honduras 0.2% |
||||||||
Inversiones Atlantida S.A., 7.50%, 5/19/26(8) |
USD | 4,625 | $ | 4,709,152 | ||||
|
|
|||||||
Total Honduras |
$ | 4,709,152 | ||||||
|
|
|||||||
Iceland 1.2% |
||||||||
Arion Banki HF, 6.00%, 4/12/24(8) |
ISK | 1,720,000 | $ | 13,913,350 | ||||
Islandsbanki HF, 6.40%, 10/26/23 |
ISK | 900,000 | 7,291,347 | |||||
Landsbankinn HF, 5.00%, 11/23/23(8) |
ISK | 1,020,000 | 8,094,312 | |||||
WOW Air HF: | ||||||||
0.00%(10)(12)(13) |
EUR | 121 | 0 | |||||
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(12)(13) |
EUR | 5,500 | 0 | |||||
|
|
|||||||
Total Iceland |
$ | 29,299,009 | ||||||
|
|
|||||||
India 0.3% |
||||||||
JSW Infrastructure, Ltd., 4.95%, 1/21/29(8) |
USD | 5,576 | $ | 5,543,721 | ||||
JSW Steel, Ltd., 5.05%, 4/5/32(8) |
USD | 2,277 | 2,110,429 | |||||
|
|
|||||||
Total India |
$ | 7,654,150 | ||||||
|
|
3
Security | Principal Amount (000s omitted) |
Value | ||||||
Mexico 0.5% |
||||||||
Alpha Capital, S.A.S. (Debtor-In-Possession Note), 10.00%, 2/5/22(1)(14) |
USD | 270 | $ | 256,513 | ||||
Alpha Holding S.A. de CV: |
||||||||
9.00%, 2/10/25(8)(13) |
USD | 5,879 | 698,131 | |||||
10.00%, 12/19/22(8)(13) |
USD | 2,864 | 368,769 | |||||
Braskem Idesa SAPI, 6.99%, 2/20/32(8) |
USD | 4,630 | 4,602,058 | |||||
Grupo Kaltex S.A. de CV, 8.875%, 4/11/22(8) |
USD | 1,779 | 1,723,308 | |||||
Petroleos Mexicanos, 6.75%, 9/21/47 |
USD | 5,400 | 4,641,516 | |||||
|
|
|||||||
Total Mexico |
$ | 12,290,295 | ||||||
|
|
|||||||
Moldova 0.4% |
||||||||
Aragvi Finance International DAC, 8.45%, 4/29/26(8) |
USD | 8,981 | $ | 9,103,609 | ||||
|
|
|||||||
Total Moldova |
$ | 9,103,609 | ||||||
|
|
|||||||
Nigeria 0.3% |
||||||||
IHS Holding, Ltd., 5.625%, 11/29/26(8) |
USD | 2,750 | $ | 2,781,281 | ||||
SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(8) |
USD | 4,892 | 4,898,115 | |||||
|
|
|||||||
Total Nigeria |
$ | 7,679,396 | ||||||
|
|
|||||||
Paraguay 0.3% |
||||||||
Frigorifico Concepcion S.A., 7.70%, 7/21/28(1) |
USD | 7,075 | $ | 6,972,589 | ||||
|
|
|||||||
Total Paraguay |
$ | 6,972,589 | ||||||
|
|
|||||||
Peru 0.1% |
||||||||
PetroTal Corp., 12.00%, 2/16/24(1)(8) |
USD | 1,265 | $ | 1,328,250 | ||||
|
|
|||||||
Total Peru |
$ | 1,328,250 | ||||||
|
|
|||||||
Russia 0.2% |
||||||||
Tinkoff Bank JSC Via TCS Finance, Ltd., 6.00% to 12/20/26(8)(10)(15) |
USD | 6,161 | $ | 5,628,074 | ||||
|
|
|||||||
Total Russia |
$ | 5,628,074 | ||||||
|
|
|||||||
South Africa 0.3% |
||||||||
Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(8)(14) |
USD | 7,299 | $ | 7,536,105 | ||||
|
|
|||||||
Total South Africa |
$ | 7,536,105 | ||||||
|
|
|||||||
Turkey 0.3% |
||||||||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(8) |
USD | 6,880 | $ | 6,780,515 | ||||
|
|
|||||||
Total Turkey |
$ | 6,780,515 | ||||||
|
|
|||||||
Uzbekistan 0.7% |
||||||||
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(8) |
UZS | 177,000,000 | $ | 16,403,632 | ||||
|
|
|||||||
Total Uzbekistan |
$ | 16,403,632 | ||||||
|
|
|||||||
Total Foreign Corporate Bonds |
$ | 229,050,578 | ||||||
|
|
|||||||
Loan Participation Notes 2.2% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Uzbekistan 2.2% |
||||||||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(8)(12)(16) |
UZS | 294,368,000 | $ | 26,629,847 |
4
Security | Principal Amount (000s omitted) |
Value | ||||||
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank Asaka), 18.70%, 7/26/23(8)(12)(16) |
UZS | 290,568,000 | $ | 26,451,147 | ||||
|
|
|||||||
Total Uzbekistan |
$ | 53,080,994 | ||||||
|
|
|||||||
Total Loan Participation Notes |
$ | 53,080,994 | ||||||
|
|
|||||||
Senior Floating-Rate Loans 0.4%(17) |
||||||||
Borrower/Description | Principal Amount (000s omitted) |
Value | ||||||
Argentina 0.1% |
||||||||
Desa, LLC, Term Loan, 0.188%, 6/30/24(12)(18) |
$ | 1,204 | $ | 865,671 | ||||
|
|
|||||||
Total Argentina |
$ | 865,671 | ||||||
|
|
|||||||
Mexico 0.3% |
||||||||
Petroleos Mexicanos, Term Loan, 6/28/24(19) |
$ | 8,171 | $ | 7,885,015 | ||||
|
|
|||||||
Total Mexico |
$ | 7,885,015 | ||||||
|
|
|||||||
Total Senior Floating-Rate Loans |
$ | 8,750,686 | ||||||
|
|
|||||||
Sovereign Government Bonds 49.4% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Albania 0.7% |
||||||||
Albania Government International Bond, 3.50%, 11/23/31(8) |
EUR | 14,553 | $ | 16,071,352 | ||||
|
|
|||||||
Total Albania |
$ | 16,071,352 | ||||||
|
|
|||||||
Argentina 1.3% |
||||||||
Republic of Argentina: |
||||||||
0.50% to 7/9/23, 7/9/30(9) |
USD | 4,100 | $ | 1,290,190 | ||||
2.50% to 7/9/22, 7/9/41(9) |
USD | 80,794 | 28,995,994 | |||||
|
|
|||||||
Total Argentina |
$ | 30,286,184 | ||||||
|
|
|||||||
Bahrain 1.2% |
||||||||
Kingdom of Bahrain: |
||||||||
5.45%, 9/16/32(8) |
USD | 18,625 | $ | 17,623,720 | ||||
6.00%, 9/19/44(8) |
USD | 7,172 | 6,270,709 | |||||
7.50%, 9/20/47(8) |
USD | 4,847 | 4,729,048 | |||||
|
|
|||||||
Total Bahrain |
$ | 28,623,477 | ||||||
|
|
|||||||
Barbados 1.8% |
||||||||
Government of Barbados, 6.50%, 10/1/29(8) |
USD | 43,780 | $ | 44,108,048 | ||||
|
|
|||||||
Total Barbados |
$ | 44,108,048 | ||||||
|
|
|||||||
Belarus 0.5% |
||||||||
Republic of Belarus, 5.875%, 2/24/26(8) |
USD | 14,016 | $ | 11,771,057 | ||||
|
|
|||||||
Total Belarus |
$ | 11,771,057 | ||||||
|
|
|||||||
Benin 1.1% |
||||||||
Benin Government International Bond, 6.875%, 1/19/52(8) |
EUR | 23,680 | $ | 25,963,601 | ||||
|
|
|||||||
Total Benin |
$ | 25,963,601 | ||||||
|
|
5
Security | Principal Amount (000s omitted) |
Value | ||||||
Costa Rica 0.5% |
||||||||
Costa Rica Government International Bond, 9.66%, 9/30/26(8) |
CRC | 7,043,600 | $ | 12,861,240 | ||||
|
|
|||||||
Total Costa Rica |
$ | 12,861,240 | ||||||
|
|
|||||||
Croatia 1.4% |
||||||||
Croatia Government International Bond: |
||||||||
1.125%, 3/4/33(8) |
EUR | 19,199 | $ | 20,641,651 | ||||
1.75%, 3/4/41(8) |
EUR | 10,868 | 12,035,732 | |||||
|
|
|||||||
Total Croatia |
$ | 32,677,383 | ||||||
|
|
|||||||
Dominican Republic 1.0% |
||||||||
Dominican Republic: |
||||||||
6.40%, 6/5/49(8) |
USD | 11,934 | $ | 11,950,708 | ||||
6.85%, 1/27/45(8) |
USD | 11,191 | 11,783,004 | |||||
|
|
|||||||
Total Dominican Republic |
$ | 23,733,712 | ||||||
|
|
|||||||
Ecuador 0.1% |
||||||||
Republic of Ecuador, 0.50% to 7/31/22, 7/31/40(8)(9) |
USD | 5,728 | $ | 2,892,455 | ||||
|
|
|||||||
Total Ecuador |
$ | 2,892,455 | ||||||
|
|
|||||||
Egypt 8.3% |
||||||||
Arab Republic of Egypt: |
||||||||
5.875%, 2/16/31(8) |
USD | 5,643 | $ | 4,784,023 | ||||
6.375%, 4/11/31(8) |
EUR | 33,607 | 33,288,001 | |||||
6.588%, 2/21/28(8) |
USD | 9,053 | 8,552,342 | |||||
7.053%, 1/15/32(8) |
USD | 1,982 | 1,751,414 | |||||
7.30%, 9/30/33(8) |
USD | 6,865 | 6,012,696 | |||||
7.60%, 3/1/29(8) |
USD | 8,373 | 8,089,206 | |||||
8.70%, 3/1/49(8) |
USD | 11,552 | 9,821,279 | |||||
Egypt Government Bond: |
||||||||
14.06%, 1/12/26 |
EGP | 478,013 | 30,202,695 | |||||
14.483%, 4/6/26 |
EGP | 805,398 | 51,476,859 | |||||
14.556%, 10/13/27 |
EGP | 279,103 | 17,866,428 | |||||
14.664%, 10/6/30 |
EGP | 443,431 | 28,484,981 | |||||
|
|
|||||||
Total Egypt |
$ | 200,329,924 | ||||||
|
|
|||||||
Honduras 1.1% |
||||||||
Honduras Government International Bond: |
||||||||
5.625%, 6/24/30(8) |
USD | 21,957 | $ | 21,517,860 | ||||
6.25%, 1/19/27(8) |
USD | 3,663 | 3,672,194 | |||||
|
|
|||||||
Total Honduras |
$ | 25,190,054 | ||||||
|
|
|||||||
Iceland 2.3% |
||||||||
Republic of Iceland: |
||||||||
5.00%, 11/15/28 |
ISK | 2,319,313 | $ | 18,678,609 | ||||
6.50%, 1/24/31 |
ISK | 3,752,922 | 33,543,726 | |||||
8.00%, 6/12/25 |
ISK | 323,582 | 2,819,556 | |||||
|
|
|||||||
Total Iceland |
$ | 55,041,891 | ||||||
|
|
|||||||
Indonesia 3.4% |
||||||||
Indonesia Government Bond: |
||||||||
6.50%, 2/15/31 |
IDR | 299,218,000 | $ | 20,846,644 | ||||
7.50%, 4/15/40 |
IDR | 842,437,000 | 61,680,306 | |||||
|
|
|||||||
Total Indonesia |
$ | 82,526,950 | ||||||
|
|
6
Security | Principal Amount (000s omitted) |
Value | ||||||
Ivory Coast 1.6% |
||||||||
Ivory Coast Government International Bond: | ||||||||
4.875%, 1/30/32(8) |
EUR | 7,119 | $ | 7,528,530 | ||||
5.25%, 3/22/30(8) |
EUR | 16,942 | 19,096,496 | |||||
6.625%, 3/22/48(8) |
EUR | 10,058 | 10,807,224 | |||||
6.875%, 10/17/40(8) |
EUR | 1,643 | 1,865,764 | |||||
|
|
|||||||
Total Ivory Coast |
$ | 39,298,014 | ||||||
|
|
|||||||
Lebanon 0.4% |
||||||||
Lebanese Republic: | ||||||||
6.25%, 11/4/24(8)(13) |
USD | 11,108 | $ | 1,205,884 | ||||
6.25%, 6/12/25(8)(13) |
USD | 7,800 | 856,206 | |||||
6.40%, 5/26/23(13) |
USD | 11,020 | 1,204,927 | |||||
6.65%, 4/22/24(8)(13) |
USD | 13,568 | 1,482,304 | |||||
6.65%, 11/3/28(8)(13) |
USD | 2,923 | 318,841 | |||||
6.85%, 5/25/29(13) |
USD | 9,378 | 1,018,920 | |||||
7.00%, 12/3/24(13) |
USD | 4,878 | 530,580 | |||||
7.00%, 3/20/28(8)(13) |
USD | 13,664 | 1,398,032 | |||||
7.15%, 11/20/31(8)(13) |
USD | 12,224 | 1,248,682 | |||||
8.20%, 5/17/33(13) |
USD | 4,223 | 429,014 | |||||
8.25%, 5/17/34(13) |
USD | 3,507 | 357,630 | |||||
|
|
|||||||
Total Lebanon |
$ | 10,051,020 | ||||||
|
|
|||||||
New Zealand 1.2% |
||||||||
New Zealand Government Bond, 2.50%, 9/20/40(8)(20) | NZD | 33,351 | $ | 27,717,060 | ||||
|
|
|||||||
Total New Zealand |
$ | 27,717,060 | ||||||
|
|
|||||||
Pakistan 0.1% |
||||||||
Islamic Republic of Pakistan, 8.875%, 4/8/51(8) | USD | 3,558 | $ | 3,323,812 | ||||
|
|
|||||||
Total Pakistan |
$ | 3,323,812 | ||||||
|
|
|||||||
Romania 1.9% |
||||||||
Romania Government International Bond: | ||||||||
2.625%, 12/2/40(8) |
EUR | 1,710 | $ | 1,601,736 | ||||
2.75%, 4/14/41(8) |
EUR | 4,109 | 3,870,834 | |||||
3.375%, 1/28/50(8) |
EUR | 11,763 | 11,543,959 | |||||
4.625%, 4/3/49(8) |
EUR | 24,951 | 29,517,564 | |||||
|
|
|||||||
Total Romania |
$ | 46,534,093 | ||||||
|
|
|||||||
Serbia 3.7% |
||||||||
Serbia Treasury Bond: | ||||||||
4.50%, 8/20/32 |
RSD | 4,395,300 | $ | 44,608,239 | ||||
5.875%, 2/8/28 |
RSD | 4,030,890 | 43,417,225 | |||||
|
|
|||||||
Total Serbia |
$ | 88,025,464 | ||||||
|
|
|||||||
Suriname 2.6% |
||||||||
Republic of Suriname: |
||||||||
9.25%, 10/26/26(1)(13) |
USD | 200 | $ | 152,850 | ||||
9.25%, 10/26/26(8)(13) |
USD | 79,896 | 61,060,518 | |||||
12.875%, 12/30/23(8)(13) |
USD | 2,634 | 2,015,010 | |||||
|
|
|||||||
Total Suriname |
$ | 63,228,378 | ||||||
|
|
|||||||
Thailand 2.1% |
||||||||
Thailand Government Bond, 1.25%, 3/12/28(8)(20) |
THB | 1,704,286 | $ | 51,341,938 | ||||
|
|
|||||||
Total Thailand |
$ | 51,341,938 | ||||||
|
|
7
Security | Principal Amount (000s omitted) |
Value | ||||||
Ukraine 10.0% |
||||||||
Ukraine Government International Bond: |
||||||||
1.258%, GDP-Linked, 5/31/40(8)(21) |
USD | 23,827 | $ | 18,085,885 | ||||
9.79%, 5/26/27 |
UAH | 1,287,962 | 34,916,160 | |||||
12.52%, 5/13/26 |
UAH | 1,605,408 | 49,930,021 | |||||
15.84%, 2/26/25 |
UAH | 3,916,509 | 137,372,237 | |||||
|
|
|||||||
Total Ukraine |
$ | 240,304,303 | ||||||
|
|
|||||||
Uzbekistan 0.0%(22) |
||||||||
Republic of Uzbekistan, 14.50%, 11/25/23(8) |
UZS | 6,120,000 | $ | 582,441 | ||||
|
|
|||||||
Total Uzbekistan |
$ | 582,441 | ||||||
|
|
|||||||
Zambia 1.1% |
||||||||
Zambia Government Bond: |
||||||||
11.00%, 1/25/26 |
ZMW | 454,760 | $ | 18,905,289 | ||||
11.00%, 9/20/26 |
ZMW | 18,560 | 728,899 | |||||
11.00%, 12/27/26 |
ZMW | 18,600 | 713,234 | |||||
12.00%, 3/22/28 |
ZMW | 36,400 | 1,325,573 | |||||
12.00%, 5/31/28 |
ZMW | 11,710 | 420,478 | |||||
13.00%, 1/25/31 |
ZMW | 35,620 | 1,188,177 | |||||
13.00%, 6/28/31 |
ZMW | 28,040 | 920,639 | |||||
13.00%, 9/20/31 |
ZMW | 55,730 | 1,816,911 | |||||
13.00%, 12/27/31 |
ZMW | 16,100 | 520,170 | |||||
14.00%, 12/5/31 |
ZMW | 2,700 | 92,657 | |||||
15.00%, 2/16/27 |
ZMW | 20,160 | 892,574 | |||||
|
|
|||||||
Total Zambia |
$ | 27,524,601 | ||||||
|
|
|||||||
Total Sovereign Government Bonds |
$ | 1,190,008,452 | ||||||
|
|
|||||||
Sovereign Loans 6.7% |
||||||||
Borrower | Principal Amount (000s omitted) |
Value | ||||||
Ivory Coast 0.2% |
||||||||
Republic of Ivory Coast, Term Loan, 5.75%, (3 mo. EURIBOR + 5.75%), 1/6/28(23) |
EUR | 5,655 | $ | 6,279,644 | ||||
|
|
|||||||
Total Ivory Coast |
$ | 6,279,644 | ||||||
|
|
|||||||
Kenya 1.0% |
||||||||
Government of Kenya: |
||||||||
Term Loan, 6.616%, (6 mo. USD LIBOR + 6.45%), 6/29/25(23) |
USD | 20,885 | $ | 21,315,828 | ||||
Term Loan, 6.87%, (6 mo. USD LIBOR + 6.70%), 10/24/24(23) |
USD | 2,983 | 3,044,622 | |||||
|
|
|||||||
Total Kenya |
$ | 24,360,450 | ||||||
|
|
|||||||
Tanzania 5.5% |
||||||||
Government of the United Republic of Tanzania: |
||||||||
Term Loan, 5.429%, (6 mo. USD LIBOR + 5.20%), 6/23/22(23) |
USD | 31,436 | $ | 31,877,858 | ||||
Term Loan, 5.526%, (6 mo. USD LIBOR + 5.20%), 6/23/22(23) |
USD | 7,257 | 7,376,835 |
8
Borrower | Principal Amount (000s omitted) |
Value | ||||||
Term Loan, 6.454%, (3 mo. USD LIBOR + 6.30%), 4/28/31(23) |
USD | 92,880 | $ | 92,474,207 | ||||
|
|
|||||||
Total Tanzania |
$ | 131,728,900 | ||||||
|
|
|||||||
Total Sovereign Loans |
$ | 162,368,994 | ||||||
|
|
|||||||
Common Stocks 5.4% |
||||||||
Security | Shares | Value | ||||||
Brazil 0.8% |
||||||||
Pagseguro Digital, Ltd., Class A(24) |
90,400 | $ | 2,044,848 | |||||
Petroleo Brasileiro S.A. ADR |
821,100 | 10,961,685 | ||||||
StoneCo, Ltd., Class A(24) |
125,000 | 1,947,500 | ||||||
XP, Inc., Class A(24) |
110,300 | 3,674,093 | ||||||
|
|
|||||||
Total Brazil |
$ | 18,628,126 | ||||||
|
|
|||||||
Bulgaria 0.6% |
||||||||
Eurohold Bulgaria AD(24) |
11,361,600 | $ | 15,188,559 | |||||
|
|
|||||||
Total Bulgaria |
$ | 15,188,559 | ||||||
|
|
|||||||
Cyprus 0.4% |
||||||||
Bank of Cyprus Holdings PLC(24) |
8,424,416 | $ | 10,144,932 | |||||
|
|
|||||||
Total Cyprus |
$ | 10,144,932 | ||||||
|
|
|||||||
Egypt 0.2% |
| |||||||
Taaleem Management Services Co. SAE(24) |
17,865,400 | $ | 5,292,867 | |||||
|
|
|||||||
Total Egypt |
|
$ | 5,292,867 | |||||
|
|
|||||||
Greece 1.0% |
| |||||||
Alpha Services and Holdings S.A.(24) |
1,307,900 | $ | 1,979,310 | |||||
Eurobank Ergasias Services and Holdings S.A.(24) |
2,207,700 | 2,496,914 | ||||||
Hellenic Telecommunications Organization S.A. |
227,300 | 4,418,106 | ||||||
JUMBO S.A. |
145,300 | 2,161,232 | ||||||
Motor Oil (Hellas) Corinth Refineries S.A. |
78,100 | 1,250,723 | ||||||
Mytilineos S.A. |
102,500 | 1,753,425 | ||||||
National Bank of Greece S.A.(24) |
460,300 | 1,811,668 | ||||||
OPAP S.A. |
161,100 | 2,392,812 | ||||||
Piraeus Financial Holdings S.A.(24) |
1,909,800 | 3,213,733 | ||||||
Public Power Corp. S.A.(24) |
132,900 | 1,293,676 | ||||||
Titan Cement International S.A.(24) |
6,605 | 103,338 | ||||||
|
|
|||||||
Total Greece |
|
$ | 22,874,937 | |||||
|
|
|||||||
Iceland 0.7% |
| |||||||
Arion Banki HF(1) |
3,025,250 | $ | 4,273,740 | |||||
Eik Fasteignafelag HF(24) |
9,249,405 | 925,647 | ||||||
Eimskipafelag Islands HF |
769,259 | 3,044,227 | ||||||
Hagar HF |
2,980,965 | 1,623,709 | ||||||
Islandsbanki HF(24) |
1,701,619 | 1,641,352 | ||||||
Reginn HF(24) |
4,450,968 | 1,136,830 | ||||||
Reitir Fasteignafelag HF |
2,707,483 | 1,857,978 | ||||||
Siminn HF |
12,984,530 | 1,235,780 | ||||||
|
|
|||||||
Total Iceland |
|
$ | 15,739,263 | |||||
|
|
9
Security | Shares | Value | ||||||
Indonesia 0.5% |
| |||||||
Allo Bank Indonesia Tbk PT(24) |
701,500 | $ | 272,534 | |||||
Astra International Tbk PT |
1,947,300 | 745,284 | ||||||
Bank Central Asia Tbk PT |
5,806,800 | 3,088,620 | ||||||
Bank Jago Tbk PT(24) |
566,200 | 647,308 | ||||||
Bank Mandiri Persero Tbk PT |
2,076,400 | 1,088,051 | ||||||
Bank Negara Indonesia Persero Tbk PT |
859,000 | 440,877 | ||||||
Bank Rakyat Indonesia Persero Tbk PT |
7,060,500 | 2,009,668 | ||||||
Bayan Resources Tbk PT |
101,000 | 258,829 | ||||||
Chandra Asri Petrochemical Tbk PT |
769,100 | 473,010 | ||||||
Charoen Pokphand Indonesia Tbk PT |
788,700 | 346,557 | ||||||
Elang Mahkota Teknologi Tbk PT(24) |
2,359,200 | 295,814 | ||||||
Merdeka Copper Gold Tbk PT(24) |
1,125,800 | 287,803 | ||||||
Telkom Indonesia Persero Tbk PT |
4,930,900 | 1,444,140 | ||||||
Unilever Indonesia Tbk PT |
1,342,700 | 377,636 | ||||||
United Tractors Tbk PT |
171,300 | 276,965 | ||||||
|
|
|||||||
Total Indonesia |
|
$ | 12,053,096 | |||||
|
|
|||||||
Japan 0.2% |
| |||||||
Mizuho Financial Group, Inc. |
112,700 | $ | 1,526,634 | |||||
SBI Holdings, Inc. |
18,800 | 484,961 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
41,800 | 1,505,676 | ||||||
Tokio Marine Holdings, Inc. |
25,600 | 1,527,646 | ||||||
|
|
|||||||
Total Japan |
|
$ | 5,044,917 | |||||
|
|
|||||||
United Kingdom 0.0%(22) |
| |||||||
Tesnik Cuatro, Ltd.(12) |
584,285 | $ | 400,060 | |||||
|
|
|||||||
Total United Kingdom |
|
$ | 400,060 | |||||
|
|
|||||||
Vietnam 1.0% |
| |||||||
Bank for Foreign Trade of Vietnam JSC |
513,602 | $ | 2,021,142 | |||||
Binh Minh Plastics JSC |
62,700 | 170,625 | ||||||
Coteccons Construction JSC |
205,470 | 908,330 | ||||||
Ho Chi Minh City Infrastructure Investment JSC(24) |
1,200,300 | 1,489,232 | ||||||
Hoa Phat Group JSC |
1,703,870 | 3,202,526 | ||||||
KIDO Group Corp. |
52,690 | 127,027 | ||||||
Masan Group Corp. |
192,500 | 1,222,335 | ||||||
Mobile World Investment Corp. |
558,000 | 3,492,735 | ||||||
Refrigeration Electrical Engineering Corp.(24) |
602,660 | 1,964,432 | ||||||
SSI Securities Corp. |
388,188 | 782,078 | ||||||
Vietnam Dairy Products JSC |
488,096 | 1,798,409 | ||||||
Vietnam Prosperity JSC Bank(24) |
1,227,913 | 2,005,521 | ||||||
Vietnam Technological & Commercial Joint Stock Bank(24) |
921,400 | 2,171,806 | ||||||
Vingroup JSC(24) |
634,652 | 2,734,983 | ||||||
|
|
|||||||
Total Vietnam |
|
$ | 24,091,181 | |||||
|
|
|||||||
Total Common Stocks |
|
$ | 129,457,938 | |||||
|
|
10
Reinsurance Side Cars 1.0% |
| |||||||
Security | Principal Amount/ Shares |
Value | ||||||
Eden Re II, Ltd., 0.00%, 3/20/26(1)(12)(25) |
$ | 2,200,000 | $ | 2,208,580 | ||||
Eden Re II, Ltd., Series 2021A, 0.00%, 3/21/25(1)(12)(25) |
$ | 2,130,000 | 1,640,100 | |||||
Eden Re II, Ltd., Series 2022B, 0.00%, 3/20/26(1)(12)(25) |
$ | 4,900,000 | 4,919,600 | |||||
Mt. Logan Re Ltd., Series A-1(12)(24)(25)(26) |
8,600 | 8,000,291 | ||||||
Sussex Capital, Ltd., Designated Investment Series 14, 12/21(12)(24)(25)(26) |
1,114 | 1,107,140 | ||||||
Sussex Capital, Ltd., Series 14, Preference Shares(12)(24)(25)(26) |
7,500 | 6,331,480 | ||||||
|
|
|||||||
Total Reinsurance Side Cars |
|
$ | 24,207,191 | |||||
|
|
|||||||
Warrants 0.0%(22) |
| |||||||
Security | Shares | Value | ||||||
IRSA Inversiones y Representaciones S.A., Exp. 3/5/26(24) |
383,780 | $ | 77,773 | |||||
|
|
|||||||
Total Warrants |
|
$ | 77,773 | |||||
|
|
|||||||
Short-Term Investments 11.0% |
| |||||||
Affiliated Fund 5.2% |
| |||||||
Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 0.08%(27) |
124,723,706 | $ | 124,711,233 | |||||
Total Affiliated Fund |
|
$ | 124,711,233 | |||||
Repurchase Agreements 3.5% |
| |||||||
Description | Principal Amount (000s omitted) |
Value | ||||||
Barclays Bank PLC: |
| |||||||
Dated 10/25/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $1,068,000 Peruvian Government International Bond, 5.625%, due 11/18/50 and a market value, including accrued interest, of $1,421,184(28) |
$ | 1,501 | $ | 1,500,704 | ||||
Dated 11/12/21 with an interest rate of 0.20% payable by the Portfolio, collateralized by $580,000 Corp. Nacional del Cobre de Chile, 4.375%, due 2/5/49 and a market value, including accrued interest, of $628,608(28) |
674 | 674,250 | ||||||
Dated 12/8/21 with an interest rate of 0.50% payable by the Portfolio, collateralized by $1,423,000 Peruvian Government International Bond, 3.55%, due 3/10/51 and a market value, including accrued interest, of $1,391,842(28) |
1,487 | 1,486,916 |
11
Description | Principal Amount (000s omitted) |
Value | ||||||
Dated 1/13/22 with an interest rate of 0.65% payable by the Portfolio, collateralized by $3,008,000 Country Garden Holdings Co., Ltd., 7.25%, due 4/8/26 and a market value, including accrued interest, of $2,685,413(28) |
$ | 2,610 | $ | 2,609,506 | ||||
Dated 1/24/22 with an interest rate of 1.50% payable by the Portfolio, collateralized by $1,959,000 Country Garden Holdings Co., Ltd., 3.125%, due 10/22/25 and a market value, including accrued interest, of $1,593,830(28) |
1,663 | 1,663,217 | ||||||
Dated 1/24/22 with an interest rate of 1.50% payable by the Portfolio, collateralized by $2,944,000 Country Garden Holdings Co., Ltd., 2.70%, due 7/12/26 and a market value, including accrued interest, of $2,340,259(28) |
2,412 | 2,412,446 | ||||||
JPMorgan Chase Bank, N.A.: |
| |||||||
Dated 1/10/22 with an interest rate of 0.10% payable by the Portfolio, collateralized by $4,906,000 Qatar Government International Bond, 4.817%, due 3/14/49 and a market value, including accrued interest, of $6,237,765(28) |
6,562 | 6,561,624 | ||||||
Nomura International PLC: |
| |||||||
Dated 12/14/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $13,240,000 Peruvian Government International Bond, 5.625%, due 11/18/50 and a market value, including accrued interest, of $17,618,418(28) |
20,291 | 20,290,833 | ||||||
Dated 12/14/21 with an interest rate of 0.15% payable by the Portfolio, collateralized by $6,696,000 Corp. Nacional del Cobre de Chile, 4.375%, due 2/5/49 and a market value, including accrued interest, of $7,257,177(28) |
8,462 | 8,462,140 | ||||||
Dated 12/17/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $14,656,000 Qatar Government International Bond, 4.817%, due 3/14/49 and a market value, including accrued interest, of $18,634,464(28) |
20,506 | 20,505,576 | ||||||
Dated 1/18/22 with an interest rate of 0.15% payable by the Portfolio, collateralized by $6,833,000 Corp. Nacional del Cobre de Chile, 4.375%, due 2/5/49 and a market value, including accrued interest, of $7,405,658(28) |
8,037 | 8,037,316 | ||||||
Dated 1/18/22 with an interest rate of 0.30% payable by the Portfolio, collateralized by $7,563,000 Peruvian Government International Bond, 5.625%, due 11/18/50 and a market value, including accrued interest, of $10,064,056(28) |
USD | 10,947 | 10,947,443 | |||||
|
|
|||||||
Total Repurchase Agreements |
$ | 85,151,971 | ||||||
|
|
|||||||
U.S. Treasury Obligations 2.3% |
||||||||
Security |
Principal |
Value | ||||||
U.S. Treasury Bill: |
||||||||
0.00%, 2/10/22(29) |
$ | 43,130 | $ | 43,129,701 | ||||
0.00%, 3/3/22(29) |
11,870 | 11,869,703 | ||||||
|
|
|||||||
Total U.S. Treasury Obligations |
$ | 54,999,404 | ||||||
|
|
|||||||
Total Short-Term Investments |
$ | 264,862,608 | ||||||
|
|
12
Value | ||||||||
Total Purchased Options and Swaptions 0.0%(22) |
$ | 484,656 | ||||||
|
|
|||||||
Total Investments 89.3% |
$ | 2,152,869,474 | ||||||
|
|
|||||||
Securities Sold Short (3.5)% |
||||||||
Common Stocks (0.3)% |
||||||||
Security | Shares | Value | ||||||
New Zealand (0.3)% |
||||||||
a2 Milk Co., Ltd. (The)(24) |
(142,600 | ) | $ | (525,838 | ) | |||
Auckland International Airport, Ltd.(24) |
(228,900 | ) | (1,086,564 | ) | ||||
Contact Energy, Ltd. |
(148,300 | ) | (768,748 | ) | ||||
Fisher & Paykel Healthcare Corp., Ltd. |
(110,600 | ) | (2,034,877 | ) | ||||
Fletcher Building, Ltd. |
(156,500 | ) | (665,606 | ) | ||||
Infratil, Ltd. |
(136,700 | ) | (682,218 | ) | ||||
Mainfreight, Ltd. |
(16,200 | ) | (893,949 | ) | ||||
Meridian Energy, Ltd. |
(234,300 | ) | (675,385 | ) | ||||
Ryman Healthcare, Ltd. |
(66,067 | ) | (432,001 | ) | ||||
Spark New Zealand, Ltd. |
(354,900 | ) | (1,014,351 | ) | ||||
|
|
|||||||
Total New Zealand |
$ | (8,779,537 | ) | |||||
|
|
|||||||
Total Common Stocks |
$ | (8,779,537 | ) | |||||
|
|
|||||||
Foreign Corporate Bonds (0.9)% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Chile (0.6)% |
||||||||
Corp. Nacional del Cobre de Chile, 4.375%, 2/5/49(8) |
USD | (14,109 | ) | $ | (14,989,668 | ) | ||
|
|
|||||||
Total Chile |
$ | (14,989,668 | ) | |||||
|
|
|||||||
China (0.3)% |
| |||||||
Country Garden Holdings Co., Ltd.: |
|
|||||||
2.70%, 7/12/26(8) |
USD | (2,944 | ) | $ | (2,296,320 | ) | ||
3.125%, 10/22/25(8) |
USD | (1,959 | ) | (1,576,995 | ) | |||
7.25%, 4/8/26(8) |
USD | (3,008 | ) | (2,616,960 | ) | |||
|
|
|||||||
Total China |
|
$ | (6,490,275 | ) | ||||
|
|
|||||||
Total Foreign Corporate Bonds |
|
$ | (21,479,943 | ) | ||||
|
|
13
Sovereign Government Bonds (2.3)% |
| |||||||
Security |
Principal Amount (000s omitted) |
Value | ||||||
Peru (1.3)% |
| |||||||
Peruvian Government International Bond: | ||||||||
3.55%, 3/10/51 |
USD | (1,423 | ) | $ | (1,372,057 | ) | ||
5.625%, 11/18/50 |
USD | (21,871 | ) | (28,854,191 | ) | |||
|
|
|||||||
Total Peru |
|
$ | (30,226,248 | ) | ||||
|
|
|||||||
Qatar (1.0)% |
| |||||||
Qatar Government International Bond, 4.817%, 3/14/49(8) |
USD | (19,562 | ) | $ | (24,513,631 | ) | ||
|
|
|||||||
Total Qatar |
|
$ | (24,513,631 | ) | ||||
|
|
|||||||
Total Sovereign Government Bonds |
|
$ | (54,739,879 | ) | ||||
|
|
|||||||
Total Securities Sold Short |
|
$ | (84,999,359 | ) | ||||
|
|
|||||||
Other Assets, Less Liabilities 14.2% |
|
$ | 342,917,854 | |||||
|
|
|||||||
Net Assets 100.0% |
|
$ | 2,410,787,969 | |||||
|
|
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At January 31, 2022, the aggregate value of these securities is $96,496,994 or 4.0% of the Portfolios net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at January 31, 2022. |
(3) | Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated. |
(4) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at January 31, 2022. |
(5) | Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated. |
(6) | Securities comprise a trust that is wholly-owned by the Portfolio and may only be sold on a pro-rata basis with all securities in the trust. |
(7) | The stated interest rate represents the weighted average fixed interest rate at January 31, 2022 of all interest only securities comprising the certificate. |
(8) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At January 31, 2022, the aggregate value of these securities is $743,626,289 or 30.8% of the Portfolios net assets. |
(9) | Step coupon security. Interest rate represents the rate in effect at January 31, 2022. |
14
(10) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(11) | Variable rate security whose coupon rate is linked to the issuers mining activities revenue. The coupon rate shown represents the rate in effect at January 31, 2022. |
(12) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(13) | Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(14) | Represents a payment-in-kind security which may pay interest in additional principal at the issuers discretion. |
(15) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(16) | Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower. |
(17) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (LIBOR) and secondarily, the prime rate offered by one or more major United States banks (the Prime Rate). Base lending rates may be subject to a floor, or minimum rate. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(18) | Fixed-rate loan. |
(19) | This Senior Loan will settle after January 31, 2022, at which time the interest rate will be determined. |
(20) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(21) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraines GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
(22) | Amount is less than 0.05%. |
(23) | Variable rate security. The stated interest rate represents the rate in effect at January 31, 2022. |
(24) | Non-income producing security. |
(25) | Security is subject to risk of loss depending on the occurrence, frequency and severity of the loss events that are covered by underlying reinsurance contracts and that may occur during a specified risk period. |
(26) | Restricted security. |
(27) | Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of January 31, 2022. |
(28) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(29) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
15
Purchased Interest Rate Swaptions 0.0%(22) |
| |||||||||||||
Description | Counterparty | Notional Amount |
Expiration Date |
Value | ||||||||||
Option to enter into interest rate swap expiring 2/10/27 to pay 3-month ZAR-JIBAR and receive 5.88% |
Goldman Sachs International | ZAR | 921,190,000 | 2/10/22 | $ | 1 | ||||||||
Option to enter into interest rate swap expiring 2/16/27 to pay 3-month ZAR-JIBAR and receive 6.18% |
Bank of America, N.A. | ZAR | 243,850,000 | 2/16/22 | 392 | |||||||||
Option to enter into interest rate swap expiring 2/21/27 to pay 3-month ZAR-JIBAR and receive 6.47% |
Bank of America, N.A. | ZAR | 243,850,000 | 2/21/22 | 13,925 | |||||||||
Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.47% |
Goldman Sachs International | ZAR | 186,950,000 | 2/23/22 | 11,674 | |||||||||
Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.54% |
Bank of America, N.A. | ZAR | 243,850,000 | 2/23/22 | 24,592 | |||||||||
|
|
|||||||||||||
Total |
|
$ | 50,584 | |||||||||||
|
|
Purchased Call Options 0.0%(22)
Description | Counterparty | Notional Amount |
Spread | Expiration Date |
Value | |||||||||||||
2-year 10 Constant Maturity Swap Curve Cap |
Bank of America, N.A. |
USD | 1,221,400,000 | 1.06 | % | 12/19/22 | $ | 296,764 | ||||||||||
2-year 10 Constant Maturity Swap Curve Cap |
Bank of America, N.A. |
USD | 596,500,000 | 1.09 | 1/4/23 | 137,308 | ||||||||||||
|
|
|||||||||||||||||
Total |
|
$ | 434,072 | |||||||||||||||
|
|
Centrally Cleared Forward Foreign Currency Exchange Contracts
Currency Purchased |
Currency Sold |
Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
BRL | 15,587,549 | USD | 2,740,331 | 2/2/22 | $ | 195,122 | ||||||||||||||||||
BRL | 13,700,000 | USD | 2,396,177 | 2/2/22 | 183,812 | |||||||||||||||||||
BRL | 4,100,000 | USD | 721,949 | 2/2/22 | 50,164 | |||||||||||||||||||
BRL | 2,800,000 | USD | 491,106 | 2/2/22 | 36,191 | |||||||||||||||||||
BRL | 10,800,000 | USD | 2,015,903 | 2/2/22 | 17,957 | |||||||||||||||||||
BRL | 9,200,000 | USD | 1,717,251 | 2/2/22 | 15,297 | |||||||||||||||||||
BRL | 6,987,549 | USD | 1,304,280 | 2/2/22 | 11,618 | |||||||||||||||||||
BRL | 5,600,000 | USD | 1,045,283 | 2/2/22 | 9,311 | |||||||||||||||||||
BRL | 2,100,000 | USD | 391,981 | 2/2/22 | 3,492 | |||||||||||||||||||
BRL | 1,500,000 | USD | 279,987 | 2/2/22 | 2,494 | |||||||||||||||||||
USD | 278,482 | BRL | 1,500,000 | 2/2/22 | (3,998 | ) | ||||||||||||||||||
USD | 522,642 | BRL | 2,800,000 | 2/2/22 | (4,655 | ) | ||||||||||||||||||
USD | 765,297 | BRL | 4,100,000 | 2/2/22 | (6,817 | ) | ||||||||||||||||||
USD | 387,043 | BRL | 2,100,000 | 2/2/22 | (8,430 | ) |
16
Currency Purchased |
Currency Sold |
Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
USD | 1,297,010 | BRL | 6,987,549 | 2/2/22 | $ | (18,887 | ) | |||||||||||||||||
USD | 1,033,783 | BRL | 5,600,000 | 2/2/22 | (20,812 | ) | ||||||||||||||||||
USD | 2,557,211 | BRL | 13,700,000 | 2/2/22 | (22,778 | ) | ||||||||||||||||||
USD | 2,909,536 | BRL | 15,587,549 | 2/2/22 | (25,917 | ) | ||||||||||||||||||
USD | 1,693,823 | BRL | 9,200,000 | 2/2/22 | (38,724 | ) | ||||||||||||||||||
USD | 1,988,950 | BRL | 10,800,000 | 2/2/22 | (44,910 | ) | ||||||||||||||||||
INR | 923,370,000 | USD | 12,307,005 | 2/3/22 | 65,799 | |||||||||||||||||||
NZD | 69,653,889 | USD | 45,679,020 | 2/3/22 | 152,696 | |||||||||||||||||||
NZD | 5,788,722 | USD | 3,888,574 | 2/3/22 | (79,640 | ) | ||||||||||||||||||
PHP | 1,003,020 | USD | 19,744 | 2/3/22 | (68 | ) | ||||||||||||||||||
USD | 12,315,557 | INR | 923,370,000 | 2/3/22 | (57,247 | ) | ||||||||||||||||||
USD | 49,869,189 | NZD | 69,653,889 | 2/3/22 | 4,037,473 | |||||||||||||||||||
USD | 3,796,244 | NZD | 5,788,722 | 2/3/22 | (12,690 | ) | ||||||||||||||||||
USD | 19,693 | PHP | 1,000,400 | 2/3/22 | 68 | |||||||||||||||||||
RUB | 95,500,000 | USD | 1,302,002 | 2/8/22 | (68,778 | ) | ||||||||||||||||||
RUB | 248,898,071 | USD | 3,408,372 | 2/8/22 | (194,267 | ) | ||||||||||||||||||
RUB | 138,600,000 | USD | 1,888,168 | 2/9/22 | (98,939 | ) | ||||||||||||||||||
RUB | 207,863,962 | USD | 2,837,582 | 2/9/22 | (154,204 | ) | ||||||||||||||||||
RUB | 249,500,000 | USD | 3,407,769 | 2/9/22 | (186,900 | ) | ||||||||||||||||||
RUB | 249,500,000 | USD | 3,408,624 | 2/9/22 | (187,754 | ) | ||||||||||||||||||
RUB | 1,214,313,153 | USD | 16,553,665 | 2/9/22 | (877,738 | ) | ||||||||||||||||||
AUD | 43,775,671 | USD | 32,392,946 | 2/10/22 | (1,440,548 | ) | ||||||||||||||||||
INR | 352,029,400 | USD | 4,695,604 | 2/10/22 | 18,581 | |||||||||||||||||||
INR | 153,485,000 | USD | 2,047,149 | 2/10/22 | 8,238 | |||||||||||||||||||
INR | 9,956,300 | USD | 132,795 | 2/10/22 | 534 | |||||||||||||||||||
RUB | 3,810,000,000 | USD | 51,064,583 | 2/10/22 | (1,895,566 | ) | ||||||||||||||||||
RUB | 19,600,000 | USD | 258,717 | 2/16/22 | (6,248 | ) | ||||||||||||||||||
RUB | 385,200,000 | USD | 5,089,987 | 2/16/22 | (128,203 | ) | ||||||||||||||||||
RUB | 414,800,000 | USD | 5,492,854 | 2/16/22 | (149,791 | ) | ||||||||||||||||||
RUB | 665,200,000 | USD | 9,017,802 | 2/16/22 | (449,323 | ) | ||||||||||||||||||
RUB | 1,311,640,000 | USD | 17,617,257 | 2/17/22 | (727,224 | ) | ||||||||||||||||||
AUD | 76,800,000 | USD | 56,040,192 | 2/22/22 | (1,735,093 | ) | ||||||||||||||||||
NOK | 60,430,000 | USD | 6,850,076 | 2/22/22 | (58,001 | ) | ||||||||||||||||||
NZD | 23,478 | USD | 16,405 | 2/22/22 | (961 | ) | ||||||||||||||||||
NZD | 24,495,449 | USD | 17,115,705 | 2/22/22 | (1,002,452 | ) | ||||||||||||||||||
USD | 25,539,150 | AUD | 35,000,000 | 2/22/22 | 790,733 | |||||||||||||||||||
USD | 18,081 | IDR | 259,481,143 | 2/22/22 | 21 | |||||||||||||||||||
USD | 7,217 | IDR | 103,698,938 | 2/22/22 | (1 | ) | ||||||||||||||||||
USD | 124,306 | IDR | 1,790,379,229 | 2/22/22 | (301 | ) | ||||||||||||||||||
USD | 1,339,946 | IDR | 19,304,601,091 | 2/22/22 | (3,615 | ) | ||||||||||||||||||
USD | 22,792,169 | NZD | 32,619,423 | 2/22/22 | 1,334,917 | |||||||||||||||||||
USD | 6,899,713 | ZAR | 109,635,058 | 2/23/22 | (212,597 | ) | ||||||||||||||||||
IDR | 14,033,121,181 | USD | 976,965 | 2/25/22 | (141 | ) | ||||||||||||||||||
USD | 19,788,148 | ZAR | 315,719,901 | 2/25/22 | (687,627 | ) | ||||||||||||||||||
PEN | 29,100,000 | USD | 7,570,239 | 2/28/22 | (26,368 | ) | ||||||||||||||||||
USD | 67,395,239 | PHP | 3,425,700,000 | 2/28/22 | 456,102 | |||||||||||||||||||
BRL | 15,800,000 | USD | 2,746,376 | 3/3/22 | 207,807 | |||||||||||||||||||
BRL | 10,800,000 | USD | 1,975,164 | 3/3/22 | 44,151 |
17
Currency Purchased |
Currency Sold |
Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
BRL | 5,600,000 | USD | 1,026,606 | 3/3/22 | $ | 20,447 | ||||||||||||||||||
BRL | 2,100,000 | USD | 384,339 | 3/3/22 | 8,305 | |||||||||||||||||||
BRL | 1,500,000 | USD | 276,532 | 3/3/22 | 3,928 | |||||||||||||||||||
INR | 1,226,176,000 | USD | 16,197,493 | 3/7/22 | 180,564 | |||||||||||||||||||
CLP | 522,545,000 | USD | 615,121 | 3/8/22 | 34,517 | |||||||||||||||||||
CLP | 245,200,000 | USD | 289,591 | 3/8/22 | 15,246 | |||||||||||||||||||
INR | 253,254,000 | USD | 3,335,159 | 3/8/22 | 46,995 | |||||||||||||||||||
PEN | 13,675,168 | USD | 3,335,936 | 3/9/22 | 207,081 | |||||||||||||||||||
PEN | 17,340,000 | USD | 4,496,107 | 3/9/22 | (3,591 | ) | ||||||||||||||||||
USD | 6,929,086 | ZAR | 111,516,714 | 3/9/22 | (290,874 | ) | ||||||||||||||||||
COP | 1,567,000,000 | USD | 384,939 | 3/10/22 | 10,264 | |||||||||||||||||||
COP | 9,584,686,118 | USD | 2,408,340 | 3/10/22 | 8,957 | |||||||||||||||||||
COP | 9,812,243,882 | USD | 2,466,588 | 3/10/22 | 8,099 | |||||||||||||||||||
PEN | 27,592,829 | USD | 6,714,564 | 3/10/22 | 433,818 | |||||||||||||||||||
USD | 731,830 | PEN | 2,920,000 | 3/10/22 | (24,645 | ) | ||||||||||||||||||
KRW | 25,750,000,000 | USD | 21,447,431 | 3/14/22 | (111,492 | ) | ||||||||||||||||||
KRW | 23,329,006,606 | USD | 19,773,855 | 3/14/22 | (443,904 | ) | ||||||||||||||||||
ZAR | 142,692,000 | USD | 8,855,981 | 3/14/22 | 375,744 | |||||||||||||||||||
CLP | 2,512,000,000 | USD | 2,928,323 | 3/15/22 | 191,666 | |||||||||||||||||||
CLP | 1,883,800,000 | USD | 2,194,088 | 3/15/22 | 145,655 | |||||||||||||||||||
RUB | 87,000,000 | USD | 1,159,892 | 3/15/22 | (47,713 | ) | ||||||||||||||||||
RUB | 259,200,000 | USD | 3,458,324 | 3/15/22 | (144,797 | ) | ||||||||||||||||||
RUB | 270,300,000 | USD | 3,605,029 | 3/15/22 | (149,603 | ) | ||||||||||||||||||
RUB | 660,065,002 | USD | 8,793,034 | 3/15/22 | (354,982 | ) | ||||||||||||||||||
COP | 7,556,300,000 | USD | 1,899,432 | 3/16/22 | 4,944 | |||||||||||||||||||
COP | 8,551,070,000 | USD | 2,154,805 | 3/16/22 | 277 | |||||||||||||||||||
EUR | 726,204 | USD | 821,319 | 3/16/22 | (4,710 | ) | ||||||||||||||||||
EUR | 5,500,000 | USD | 6,220,373 | 3/16/22 | (35,670 | ) | ||||||||||||||||||
EUR | 6,300,000 | USD | 7,125,154 | 3/16/22 | (40,859 | ) | ||||||||||||||||||
EUR | 7,826,434 | USD | 8,851,515 | 3/16/22 | (50,758 | ) | ||||||||||||||||||
EUR | 8,040,000 | USD | 9,093,054 | 3/16/22 | (52,143 | ) | ||||||||||||||||||
EUR | 10,565,000 | USD | 11,948,770 | 3/16/22 | (68,519 | ) | ||||||||||||||||||
EUR | 14,256,010 | USD | 16,123,217 | 3/16/22 | (92,457 | ) | ||||||||||||||||||
EUR | 24,283,052 | USD | 27,463,569 | 3/16/22 | (157,488 | ) | ||||||||||||||||||
EUR | 92,058,945 | USD | 104,116,534 | 3/16/22 | (597,048 | ) | ||||||||||||||||||
EUR | 128,613,034 | USD | 145,458,363 | 3/16/22 | (834,119 | ) | ||||||||||||||||||
RUB | 101,600,000 | USD | 1,352,814 | 3/16/22 | (54,315 | ) | ||||||||||||||||||
RUB | 169,100,000 | USD | 2,255,689 | 3/16/22 | (94,506 | ) | ||||||||||||||||||
RUB | 201,100,000 | USD | 2,683,240 | 3/16/22 | (113,081 | ) | ||||||||||||||||||
RUB | 233,324,688 | USD | 3,109,972 | 3/16/22 | (127,965 | ) | ||||||||||||||||||
USD | 205,929,162 | EUR | 182,080,795 | 3/16/22 | 1,180,884 | |||||||||||||||||||
USD | 200,430,788 | EUR | 177,219,180 | 3/16/22 | 1,149,354 | |||||||||||||||||||
USD | 86,214,056 | EUR | 76,229,728 | 3/16/22 | 494,387 | |||||||||||||||||||
USD | 82,908,080 | EUR | 73,306,611 | 3/16/22 | 475,430 | |||||||||||||||||||
USD | 79,394,574 | EUR | 70,200,000 | 3/16/22 | 455,282 | |||||||||||||||||||
USD | 71,703,932 | EUR | 63,400,000 | 3/16/22 | 411,180 | |||||||||||||||||||
USD | 56,459,570 | EUR | 49,921,066 | 3/16/22 | 323,763 | |||||||||||||||||||
USD | 35,194,500 | EUR | 31,118,674 | 3/16/22 | 201,820 | |||||||||||||||||||
USD | 35,122,738 | EUR | 31,055,223 | 3/16/22 | 201,408 |
18
Currency Purchased |
Currency Sold |
Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
USD | 34,528,723 | EUR | 30,530,000 | 3/16/22 | $ | 198,002 | ||||||||||||||||||||
USD | 28,649,400 | EUR | 25,331,553 | 3/16/22 | 164,288 | |||||||||||||||||||||
USD | 16,906,777 | EUR | 14,948,827 | 3/16/22 | 96,951 | |||||||||||||||||||||
USD | 16,416,835 | EUR | 14,515,624 | 3/16/22 | 94,141 | |||||||||||||||||||||
USD | 16,121,623 | EUR | 14,254,600 | 3/16/22 | 92,448 | |||||||||||||||||||||
USD | 10,433,801 | EUR | 9,225,477 | 3/16/22 | 59,832 | |||||||||||||||||||||
USD | 8,588,600 | EUR | 7,593,967 | 3/16/22 | 49,251 | |||||||||||||||||||||
USD | 6,672,763 | EUR | 5,900,000 | 3/16/22 | 38,264 | |||||||||||||||||||||
USD | 6,220,373 | EUR | 5,500,000 | 3/16/22 | 35,670 | |||||||||||||||||||||
USD | 394,151 | EUR | 348,505 | 3/16/22 | 2,260 | |||||||||||||||||||||
USD | 3,165,959 | ZAR | 51,293,286 | 3/16/22 | (151,604 | ) | ||||||||||||||||||||
CLP | 2,616,855,000 | USD | 3,040,734 | 3/17/22 | 208,603 | |||||||||||||||||||||
RUB | 87,100,000 | USD | 1,159,785 | 3/17/22 | (46,879 | ) | ||||||||||||||||||||
RUB | 87,000,000 | USD | 1,159,120 | 3/17/22 | (47,492 | ) | ||||||||||||||||||||
RUB | 91,773,813 | USD | 1,223,559 | 3/17/22 | (50,933 | ) | ||||||||||||||||||||
USD | 9,119,809 | ZAR | 149,656,315 | 3/18/22 | (556,933 | ) | ||||||||||||||||||||
AUD | 11,000,000 | USD | 7,945,608 | 3/21/22 | (166,332 | ) | ||||||||||||||||||||
AUD | 32,800,000 | USD | 23,692,358 | 3/21/22 | (495,973 | ) | ||||||||||||||||||||
NZD | 132,924 | USD | 87,613 | 3/21/22 | (219 | ) | ||||||||||||||||||||
NZD | 2,837,019 | USD | 1,895,498 | 3/21/22 | (30,234 | ) | ||||||||||||||||||||
NZD | 5,000,000 | USD | 3,359,225 | 3/21/22 | (71,861 | ) | ||||||||||||||||||||
NZD | 11,400,000 | USD | 7,750,974 | 3/21/22 | (255,783 | ) | ||||||||||||||||||||
USD | 25,632,607 | NZD | 37,700,000 | 3/21/22 | 845,880 | |||||||||||||||||||||
RUB | 217,800,000 | USD | 2,900,728 | 3/23/22 | (121,949 | ) | ||||||||||||||||||||
USD | 5,146,687 | RUB | 390,000,000 | 3/23/22 | 170,913 | |||||||||||||||||||||
ZAR | 360,709,117 | USD | 21,976,368 | 3/25/22 | 1,323,617 | |||||||||||||||||||||
PEN | 14,500,000 | USD | 3,760,373 | 3/31/22 | (9,164 | ) | ||||||||||||||||||||
BRL | 9,200,000 | USD | 1,667,513 | 4/4/22 | 37,359 | |||||||||||||||||||||
USD | 4,952,458 | ZAR | 79,571,149 | 4/4/22 | (180,085 | ) | ||||||||||||||||||||
USD | 38,379,777 | ZAR | 614,325,896 | 4/6/22 | (1,234,811 | ) | ||||||||||||||||||||
USD | 13,107,005 | ZAR | 213,500,000 | 4/7/22 | (658,555 | ) | ||||||||||||||||||||
PEN | 19,192,003 | USD | 4,805,810 | 4/11/22 | 154,870 | |||||||||||||||||||||
PEN | 12,280,000 | USD | 3,073,073 | 4/11/22 | 101,017 | |||||||||||||||||||||
PEN | 11,110,000 | USD | 2,778,889 | 4/11/22 | 92,783 | |||||||||||||||||||||
PEN | 9,950,000 | USD | 2,487,811 | 4/11/22 | 84,029 | |||||||||||||||||||||
USD | 16,412,349 | ZAR | 263,410,000 | 4/11/22 | (561,761 | ) | ||||||||||||||||||||
RUB | 156,300,000 | USD | 2,042,112 | 4/14/22 | (59,706 | ) | ||||||||||||||||||||
RUB | 544,860,574 | USD | 7,117,569 | 4/14/22 | (206,915 | ) | ||||||||||||||||||||
IDR | 685,685,039,882 | USD | 47,590,577 | 4/18/22 | (34,910 | ) | ||||||||||||||||||||
USD | 49,179,474 | IDR | 708,577,865,950 | 4/18/22 | 36,075 | |||||||||||||||||||||
USD | 5,166,645 | JPY | 587,995,200 | 4/18/22 | 52,618 | |||||||||||||||||||||
KRW | 28,851,993,394 | USD | 24,173,259 | 4/21/22 | (278,758 | ) | ||||||||||||||||||||
KRW | 16,245,500,000 | USD | 13,586,375 | 4/25/22 | (132,517 | ) | ||||||||||||||||||||
USD | 5,971,768 | IDR | 86,202,473,637 | 4/26/22 | (1,836 | ) | ||||||||||||||||||||
USD | 4,671,679 | IDR | 67,573,503,685 | 4/26/22 | (10,986 | ) | ||||||||||||||||||||
USD | 30,800,897 | NZD | 45,976,292 | 4/26/22 | 596,416 | |||||||||||||||||||||
USD | 5,012,724 | NZD | 7,482,459 | 4/26/22 | 97,064 |
19
Currency Purchased |
Currency Sold |
Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
CLP | 5,813,600,000 | USD | 7,156,433 | 4/27/22 | $ | 16,897 | ||||||||||||||||||||
CLP | 906,440,000 | USD | 1,120,289 | 4/27/22 | (1,843 | ) | ||||||||||||||||||||
CLP | 921,600,000 | USD | 1,140,267 | 4/27/22 | (3,116 | ) | ||||||||||||||||||||
PEN | 4,400,000 | USD | 1,138,569 | 4/27/22 | (2,866 | ) | ||||||||||||||||||||
PEN | 19,500,000 | USD | 5,044,234 | 4/28/22 | (11,447 | ) | ||||||||||||||||||||
INR | 923,370,000 | USD | 12,165,452 | 5/2/22 | 66,234 | |||||||||||||||||||||
NZD | 5,788,722 | USD | 3,789,564 | 5/2/22 | 12,856 | |||||||||||||||||||||
USD | 45,598,640 | NZD | 69,653,889 | 5/2/22 | (154,696 | ) | ||||||||||||||||||||
BRL | 12,200,000 | USD | 2,186,717 | 5/3/22 | 56,756 | |||||||||||||||||||||
BRL | 12,400,000 | USD | 2,223,812 | 5/3/22 | 56,438 | |||||||||||||||||||||
BRL | 13,540,000 | USD | 2,438,322 | 5/3/22 | 51,565 | |||||||||||||||||||||
BRL | 7,700,000 | USD | 1,382,942 | 5/3/22 | 33,020 | |||||||||||||||||||||
BRL | 6,987,549 | USD | 1,266,933 | 5/3/22 | 18,016 | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||
$ | (896,890 | ) | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts
|
| |||||||||||||||||||||||||
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||||
AED | 159,291,500 | USD | 43,368,818 | BNP Paribas | 2/3/22 | $ | | $ | (1,177 | ) | ||||||||||||||||
USD | 43,217,150 | AED | 159,291,500 | BNP Paribas | 2/3/22 | | (150,491 | ) | ||||||||||||||||||
EUR | 2,800,291 | PLN | 13,000,000 | UBS AG | 2/4/22 | | (39,250 | ) | ||||||||||||||||||
EUR | 2,141,997 | USD | 2,424,167 | Bank of America, N.A. | 2/4/22 | | (17,644 | ) | ||||||||||||||||||
EUR | 6,548,981 | USD | 7,469,508 | Standard Chartered Bank | 2/4/22 | | (111,762 | ) | ||||||||||||||||||
EUR | 5,201,167 | USD | 5,956,601 | Standard Chartered Bank | 2/4/22 | | (113,116 | ) | ||||||||||||||||||
EUR | 13,811,119 | USD | 15,704,339 | Standard Chartered Bank | 2/4/22 | | (187,617 | ) | ||||||||||||||||||
PLN | 17,882,569 | EUR | 3,859,834 | Bank of America, N.A. | 2/4/22 | 45,225 | | |||||||||||||||||||
PLN | 17,879,524 | EUR | 3,859,899 | Citibank, N.A. | 2/4/22 | 44,405 | | |||||||||||||||||||
PLN | 17,882,568 | EUR | 3,858,857 | HSBC Bank USA, N.A. | 2/4/22 | 46,322 | | |||||||||||||||||||
PLN | 119,400,000 | EUR | 25,784,995 | Standard Chartered Bank | 2/4/22 | 287,021 | | |||||||||||||||||||
PLN | 75,956,339 | EUR | 16,404,902 | Standard Chartered Bank | 2/4/22 | 180,599 | | |||||||||||||||||||
PLN | 23,800,000 | EUR | 5,140,289 | Standard Chartered Bank | 2/4/22 | 56,576 | | |||||||||||||||||||
PLN | 11,500,000 | EUR | 2,420,594 | UBS AG | 2/4/22 | 98,296 | | |||||||||||||||||||
USD | 249,547 | EUR | 220,500 | Bank of America, N.A. | 2/4/22 | 1,816 | | |||||||||||||||||||
USD | 4,172,777 | EUR | 3,683,562 | Standard Chartered Bank | 2/4/22 | 34,313 | | |||||||||||||||||||
USD | 476,581 | EUR | 419,127 | Standard Chartered Bank | 2/4/22 | 5,694 | | |||||||||||||||||||
USD | 335,757 | EUR | 297,000 | Standard Chartered Bank | 2/4/22 | 2,079 | | |||||||||||||||||||
USD | 9,937,764 | UAH | 277,840,000 | Goldman Sachs International | 2/7/22 | 168,031 | | |||||||||||||||||||
EGP | 212,500,000 | USD | 13,178,295 | Goldman Sachs International | 2/8/22 | 326,533 | | |||||||||||||||||||
KES | 643,630,000 | USD | 5,449,873 | Standard Chartered Bank | 2/8/22 | 209,786 | | |||||||||||||||||||
USD | 5,665,757 | KES | 643,630,000 | Standard Chartered Bank | 2/8/22 | 6,098 | | |||||||||||||||||||
MYR | 52,560,420 | USD | 12,615,005 | Goldman Sachs International | 2/9/22 | | (54,747 | ) | ||||||||||||||||||
USD | 1,040,120 | UYU | 46,199,000 | HSBC Bank USA, N.A. | 2/9/22 | | (6,201 | ) | ||||||||||||||||||
USD | 1,581,863 | UYU | 71,100,000 | HSBC Bank USA, N.A. | 2/9/22 | | (28,419 | ) | ||||||||||||||||||
UYU | 117,299,000 | USD | 2,594,307 | HSBC Bank USA, N.A. | 2/9/22 | 62,296 | | |||||||||||||||||||
USD | 6,483,991 | UAH | 174,160,000 | Bank of America, N.A. | 2/10/22 | 369,206 | | |||||||||||||||||||
USD | 16,103,012 | UAH | 433,010,000 | Goldman Sachs International | 2/10/22 | 899,963 | |
20
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
EUR | 1,085,373 | HUF | 400,000,000 | Citibank, N.A. | 2/14/22 | $ | | $ | (42,893 | ) | ||||||||||||||
EUR | 1,346,524 | HUF | 497,600,000 | Goldman Sachs International | 2/14/22 | | (57,493 | ) | ||||||||||||||||
HUF | 753,000,000 | EUR | 2,064,697 | Bank of America, N.A. | 2/14/22 | 56,605 | | |||||||||||||||||
HUF | 575,000,000 | EUR | 1,576,971 | Bank of America, N.A. | 2/14/22 | 42,838 | | |||||||||||||||||
HUF | 5,384,000,000 | EUR | 14,789,340 | Citibank, N.A. | 2/14/22 | 374,817 | | |||||||||||||||||
HUF | 2,480,000,000 | EUR | 6,812,326 | Citibank, N.A. | 2/14/22 | 172,650 | | |||||||||||||||||
HUF | 1,033,000,000 | EUR | 2,757,715 | Citibank, N.A. | 2/14/22 | 161,630 | | |||||||||||||||||
HUF | 720,600,000 | EUR | 1,981,774 | Citibank, N.A. | 2/14/22 | 47,521 | | |||||||||||||||||
HUF | 576,400,000 | EUR | 1,585,340 | Citibank, N.A. | 2/14/22 | 37,854 | | |||||||||||||||||
HUF | 5,096,000,000 | EUR | 13,967,001 | Standard Chartered Bank | 2/14/22 | 389,861 | | |||||||||||||||||
HUF | 753,000,000 | EUR | 2,066,715 | Standard Chartered Bank | 2/14/22 | 54,338 | | |||||||||||||||||
HUF | 925,800,000 | EUR | 2,510,814 | UBS AG | 2/14/22 | 100,715 | | |||||||||||||||||
USD | 10,311,159 | GBP | 7,600,000 | Standard Chartered Bank | 2/14/22 | 90,710 | | |||||||||||||||||
ZAR | 25,400,000 | USD | 1,602,737 | Standard Chartered Bank | 2/15/22 | 46,893 | | |||||||||||||||||
ZAR | 24,600,000 | USD | 1,553,678 | Standard Chartered Bank | 2/15/22 | 43,995 | | |||||||||||||||||
USD | 3,051,192 | ZAR | 47,200,000 | Standard Chartered Bank | 2/17/22 | | (13,395 | ) | ||||||||||||||||
USD | 15,583,493 | ZAR | 240,607,935 | Standard Chartered Bank | 2/17/22 | | (38,625 | ) | ||||||||||||||||
USD | 6,473,700 | ZAR | 104,000,000 | Standard Chartered Bank | 2/17/22 | | (278,780 | ) | ||||||||||||||||
CZK | 299,500,000 | EUR | 11,776,849 | Standard Chartered Bank | 2/18/22 | 568,968 | | |||||||||||||||||
CZK | 286,500,000 | EUR | 11,270,632 | Standard Chartered Bank | 2/18/22 | 538,692 | | |||||||||||||||||
CZK | 100,500,000 | EUR | 3,955,214 | Standard Chartered Bank | 2/18/22 | 187,121 | | |||||||||||||||||
CZK | 84,000,000 | EUR | 3,302,799 | Standard Chartered Bank | 2/18/22 | 159,828 | | |||||||||||||||||
CZK | 51,400,000 | EUR | 2,021,741 | Standard Chartered Bank | 2/18/22 | 96,966 | | |||||||||||||||||
EUR | 1,385,924 | CZK | 35,100,000 | Deutsche Bank AG | 2/18/22 | | (60,238 | ) | ||||||||||||||||
THB | 475,855,584 | USD | 14,565,967 | Standard Chartered Bank | 2/18/22 | | (275,271 | ) | ||||||||||||||||
UAH | 38,310,000 | USD | 1,366,750 | Goldman Sachs International | 2/18/22 | | (27,065 | ) | ||||||||||||||||
USD | 65,005,543 | CNH | 413,980,000 | UBS AG | 2/18/22 | 84,016 | | |||||||||||||||||
USD | 50,387,314 | THB | 1,646,103,146 | Standard Chartered Bank | 2/18/22 | 952,231 | | |||||||||||||||||
AED | 137,000,000 | USD | 37,299,972 | BNP Paribas | 2/22/22 | | (1,262 | ) | ||||||||||||||||
CAD | 6,600,000 | USD | 5,237,696 | Bank of America, N.A. | 2/22/22 | | (45,598 | ) | ||||||||||||||||
CAD | 8,200,000 | USD | 6,504,655 | Bank of America, N.A. | 2/22/22 | | (53,866 | ) | ||||||||||||||||
CZK | 47,800,000 | EUR | 1,864,817 | Bank of America, N.A. | 2/22/22 | 106,240 | | |||||||||||||||||
CZK | 140,300,000 | EUR | 5,524,478 | Standard Chartered Bank | 2/22/22 | 254,549 | | |||||||||||||||||
CZK | 99,900,000 | EUR | 3,931,842 | Standard Chartered Bank | 2/22/22 | 183,316 | | |||||||||||||||||
CZK | 83,100,000 | EUR | 3,270,217 | Standard Chartered Bank | 2/22/22 | 152,954 | | |||||||||||||||||
EGP | 314,980,000 | USD | 19,548,798 | Goldman Sachs International | 2/22/22 | 394,580 | | |||||||||||||||||
EUR | 4,318,341 | CZK | 106,000,000 | Standard Chartered Bank | 2/22/22 | | (29,953 | ) | ||||||||||||||||
USD | 42,719,148 | AED | 157,394,000 | BNP Paribas | 2/22/22 | | (131,898 | ) | ||||||||||||||||
USD | 19,404,125 | OMR | 7,620,000 | Standard Chartered Bank | 2/22/22 | | (395,184 | ) | ||||||||||||||||
USD | 38,900,204 | OMR | 15,280,000 | Standard Chartered Bank | 2/22/22 | | (802,349 | ) | ||||||||||||||||
HUF | 2,293,114,637 | EUR | 6,152,111 | BNP Paribas | 2/23/22 | 316,671 | | |||||||||||||||||
HUF | 1,897,400,000 | EUR | 5,087,860 | BNP Paribas | 2/23/22 | 264,950 | | |||||||||||||||||
HUF | 1,569,200,000 | EUR | 4,213,344 | HSBC Bank USA, N.A. | 2/23/22 | 212,884 | | |||||||||||||||||
HUF | 1,570,600,000 | EUR | 4,218,814 | HSBC Bank USA, N.A. | 2/23/22 | 211,151 | | |||||||||||||||||
HUF | 1,047,600,000 | EUR | 2,812,581 | HSBC Bank USA, N.A. | 2/23/22 | 142,406 | | |||||||||||||||||
HUF | 5,223,900,000 | EUR | 14,014,787 | Standard Chartered Bank | 2/23/22 | 721,648 | | |||||||||||||||||
HUF | 1,021,400,000 | EUR | 2,745,567 | UBS AG | 2/23/22 | 135,105 | | |||||||||||||||||
KES | 705,380,000 | USD | 6,044,387 | ICBC Standard Bank plc | 2/23/22 | 139,264 | | |||||||||||||||||
KES | 352,994,000 | USD | 3,022,209 | ICBC Standard Bank plc | 2/23/22 | 72,282 | | |||||||||||||||||
IDR | 174,190,768,819 | USD | 12,128,705 | Standard Chartered Bank | 2/25/22 | | (3,553 | ) | ||||||||||||||||
UGX | 68,235,820,000 | USD | 17,116,380 | Standard Chartered Bank | 2/28/22 | 2,223,480 | | |||||||||||||||||
EGP | 100,940,000 | USD | 6,236,639 | Goldman Sachs International | 3/2/22 | 140,990 | |
21
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
EGP | 100,717,500 | USD | 6,234,448 | Goldman Sachs International | 3/2/22 | $ | 129,123 | $ | | |||||||||||||||
EUR | 3,911,055 | HUF | 1,400,000,000 | Standard Chartered Bank | 3/2/22 | | (15,258 | ) | ||||||||||||||||
EUR | 3,908,945 | HUF | 1,400,000,000 | Standard Chartered Bank | 3/2/22 | | (17,629 | ) | ||||||||||||||||
HUF | 464,600,000 | EUR | 1,248,915 | Bank of America, N.A. | 3/2/22 | 60,139 | | |||||||||||||||||
HUF | 267,550,000 | EUR | 720,073 | Bank of America, N.A. | 3/2/22 | 33,667 | | |||||||||||||||||
HUF | 230,100,000 | EUR | 619,093 | Bank of America, N.A. | 3/2/22 | 29,167 | | |||||||||||||||||
HUF | 115,000,000 | EUR | 309,380 | Citibank, N.A. | 3/2/22 | 14,614 | | |||||||||||||||||
KES | 639,150,000 | USD | 5,448,849 | Standard Chartered Bank | 3/2/22 | 146,135 | | |||||||||||||||||
USD | 5,613,966 | KES | 639,150,000 | Standard Chartered Bank | 3/2/22 | 18,982 | | |||||||||||||||||
KES | 637,900,000 | USD | 5,449,808 | Standard Chartered Bank | 3/4/22 | 131,714 | | |||||||||||||||||
USD | 5,593,161 | KES | 637,900,000 | Standard Chartered Bank | 3/4/22 | 11,639 | | |||||||||||||||||
USD | 713,966 | ZAR | 11,500,000 | Citibank, N.A. | 3/7/22 | | (30,796 | ) | ||||||||||||||||
USD | 8,132,158 | ZAR | 130,961,968 | Citibank, N.A. | 3/7/22 | | (349,186 | ) | ||||||||||||||||
ZAR | 70,000,000 | USD | 4,495,726 | JPMorgan Chase Bank, N.A. | 3/7/22 | 37,607 | | |||||||||||||||||
ZAR | 75,000,000 | USD | 4,812,437 | Standard Chartered Bank | 3/7/22 | 44,705 | | |||||||||||||||||
KES | 645,640,000 | USD | 5,531,055 | Standard Chartered Bank | 3/8/22 | 113,098 | | |||||||||||||||||
PLN | 8,253,000 | EUR | 1,779,099 | Citibank, N.A. | 3/8/22 | 17,450 | | |||||||||||||||||
USD | 5,664,006 | KES | 645,640,000 | Standard Chartered Bank | 3/8/22 | 19,853 | | |||||||||||||||||
EUR | 3,423,340 | PLN | 15,600,000 | Standard Chartered Bank | 3/10/22 | 35,764 | | |||||||||||||||||
EUR | 4,017,401 | PLN | 18,300,000 | UBS AG | 3/10/22 | 43,707 | | |||||||||||||||||
EUR | 3,095,137 | PLN | 14,100,000 | UBS AG | 3/10/22 | 33,409 | | |||||||||||||||||
PLN | 5,100,000 | EUR | 1,100,945 | HSBC Bank USA, N.A. | 3/10/22 | 8,798 | | |||||||||||||||||
BHD | 1,240,000 | USD | 3,278,689 | Bank of America, N.A. | 3/14/22 | 9,245 | | |||||||||||||||||
SAR | 30,700,000 | USD | 8,178,815 | Standard Chartered Bank | 3/14/22 | 1,644 | | |||||||||||||||||
SAR | 25,100,000 | USD | 6,687,324 | Standard Chartered Bank | 3/14/22 | 935 | | |||||||||||||||||
SAR | 33,400,000 | USD | 8,899,215 | Standard Chartered Bank | 3/14/22 | 698 | | |||||||||||||||||
SAR | 39,900,000 | USD | 10,631,353 | Standard Chartered Bank | 3/14/22 | 579 | | |||||||||||||||||
UGX | 17,964,400,000 | USD | 4,519,346 | Standard Chartered Bank | 3/14/22 | 559,599 | | |||||||||||||||||
UGX | 9,038,710,000 | USD | 2,272,746 | Standard Chartered Bank | 3/14/22 | 282,703 | | |||||||||||||||||
USD | 12,633,111 | BHD | 4,816,500 | Bank of America, N.A. | 3/14/22 | | (138,125 | ) | ||||||||||||||||
USD | 9,612,169 | OMR | 4,139,000 | BNP Paribas | 3/14/22 | | (1,142,137 | ) | ||||||||||||||||
USD | 25,194,536 | SAR | 95,903,000 | Standard Chartered Bank | 3/14/22 | | (360,207 | ) | ||||||||||||||||
USD | 60,660,554 | SAR | 230,838,000 | Standard Chartered Bank | 3/14/22 | | (849,573 | ) | ||||||||||||||||
BHD | 4,000,000 | USD | 10,582,655 | Standard Chartered Bank | 3/16/22 | 23,253 | | |||||||||||||||||
UGX | 29,524,990,000 | USD | 7,427,670 | ICBC Standard Bank plc | 3/16/22 | 917,152 | | |||||||||||||||||
USD | 17,011,383 | BHD | 6,518,000 | BNP Paribas | 3/16/22 | | (270,943 | ) | ||||||||||||||||
USD | 12,624,854 | BHD | 4,866,250 | Standard Chartered Bank | 3/16/22 | | (277,895 | ) | ||||||||||||||||
USD | 25,249,372 | BHD | 9,636,500 | Standard Chartered Bank | 3/16/22 | | (301,585 | ) | ||||||||||||||||
EGP | 71,100,000 | USD | 4,425,770 | Goldman Sachs International | 3/21/22 | 42,925 | | |||||||||||||||||
USD | 84,937,357 | CNH | 541,000,000 | Goldman Sachs International | 3/21/22 | 266,062 | | |||||||||||||||||
USD | 25,617,465 | SAR | 97,103,000 | BNP Paribas | 3/24/22 | | (256,200 | ) | ||||||||||||||||
USD | 38,426,649 | SAR | 145,637,000 | HSBC Bank USA, N.A. | 3/24/22 | | (379,184 | ) | ||||||||||||||||
USD | 45,976,495 | SAR | 174,090,000 | Standard Chartered Bank | 3/28/22 | | (410,208 | ) | ||||||||||||||||
KES | 315,200,000 | USD | 2,696,322 | Standard Chartered Bank | 4/1/22 | 44,314 | | |||||||||||||||||
USD | 2,728,532 | KES | 315,200,000 | Standard Chartered Bank | 4/1/22 | | (12,104 | ) | ||||||||||||||||
MYR | 116,764,000 | USD | 27,903,931 | Barclays Bank PLC | 4/5/22 | 12,267 | | |||||||||||||||||
PLN | 3,100,000 | EUR | 672,307 | HSBC Bank USA, N.A. | 4/11/22 | | (708 | ) | ||||||||||||||||
PLN | 2,000,000 | EUR | 433,823 | Standard Chartered Bank | 4/11/22 | | (543 | ) | ||||||||||||||||
PLN | 2,610,000 | EUR | 568,293 | Standard Chartered Bank | 4/11/22 | | (3,132 | ) | ||||||||||||||||
PLN | 19,200,000 | EUR | 4,163,414 | Standard Chartered Bank | 4/11/22 | | (3,766 | ) | ||||||||||||||||
PLN | 5,999,435 | EUR | 1,307,027 | Standard Chartered Bank | 4/11/22 | | (8,021 | ) |
22
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
PLN | 38,000,000 | EUR | 8,245,991 | Standard Chartered Bank | 4/11/22 | $ | | $ | (14,093 | ) | ||||||||||||||
USD | 14,206,341 | THB | 475,855,584 | Standard Chartered Bank | 4/11/22 | | (84,930 | ) | ||||||||||||||||
EGP | 330,353,534 | USD | 20,676,172 | Goldman Sachs International | 4/12/22 | | (46,525 | ) | ||||||||||||||||
EGP | 295,748,716 | USD | 18,519,018 | HSBC Bank USA, N.A. | 4/12/22 | | (50,345 | ) | ||||||||||||||||
SGD | 36,103,604 | USD | 26,834,130 | Citibank, N.A. | 4/18/22 | | (114,081 | ) | ||||||||||||||||
SGD | 32,508,198 | USD | 24,155,386 | Standard Chartered Bank | 4/18/22 | | (96,275 | ) | ||||||||||||||||
SGD | 32,508,198 | USD | 24,178,832 | Standard Chartered Bank | 4/18/22 | | (119,721 | ) | ||||||||||||||||
PLN | 3,300,000 | EUR | 721,536 | BNP Paribas | 4/20/22 | | (8,182 | ) | ||||||||||||||||
PLN | 2,700,000 | EUR | 590,423 | Goldman Sachs International | 4/20/22 | | (6,780 | ) | ||||||||||||||||
PLN | 9,200,000 | EUR | 2,011,457 | Standard Chartered Bank | 4/20/22 | | (22,702 | ) | ||||||||||||||||
PLN | 25,300,000 | EUR | 5,532,034 | Standard Chartered Bank | 4/20/22 | | (63,026 | ) | ||||||||||||||||
HUF | 338,563,101 | EUR | 936,592 | Standard Chartered Bank | 4/25/22 | 6,867 | | |||||||||||||||||
HUF | 43,650,000 | EUR | 120,699 | Standard Chartered Bank | 4/25/22 | 946 | | |||||||||||||||||
HUF | 70,620,000 | EUR | 195,995 | Standard Chartered Bank | 4/25/22 | 720 | | |||||||||||||||||
HUF | 305,520,000 | EUR | 851,393 | Standard Chartered Bank | 4/25/22 | | (794 | ) | ||||||||||||||||
HUF | 3,072,188,874 | EUR | 8,457,696 | Citibank, N.A. | 4/27/22 | 106,185 | | |||||||||||||||||
HUF | 3,202,511,126 | EUR | 8,812,799 | Standard Chartered Bank | 4/27/22 | 114,824 | | |||||||||||||||||
MYR | 110,675,580 | USD | 26,333,146 | Barclays Bank PLC | 4/27/22 | 104,990 | | |||||||||||||||||
EGP | 350,000,000 | USD | 21,742,507 | Goldman Sachs International | 4/28/22 | 1,756 | | |||||||||||||||||
EGP | 412,000,000 | USD | 25,621,891 | HSBC Bank USA, N.A. | 4/28/22 | | (25,787 | ) | ||||||||||||||||
ZAR | 122,540,000 | USD | 7,989,197 | Standard Chartered Bank | 4/28/22 | | (111,324 | ) | ||||||||||||||||
UZS | 9,098,627,000 | USD | 796,379 | ICBC Standard Bank plc | 5/6/22 | 22,867 | | |||||||||||||||||
UGX | 34,825,000,000 | USD | 9,128,440 | Standard Chartered Bank | 5/10/22 | 547,898 | | |||||||||||||||||
KES | 235,200,000 | USD | 2,078,106 | Standard Chartered Bank | 5/11/22 | | (52,095 | ) | ||||||||||||||||
USD | 2,013,699 | KES | 235,200,000 | Standard Chartered Bank | 5/11/22 | | (12,312 | ) | ||||||||||||||||
KES | 257,553,000 | USD | 2,264,202 | ICBC Standard Bank plc | 5/18/22 | | (48,930 | ) | ||||||||||||||||
KES | 460,000,000 | USD | 4,031,551 | Standard Chartered Bank | 5/20/22 | | (76,660 | ) | ||||||||||||||||
USD | 3,928,602 | KES | 460,000,000 | Standard Chartered Bank | 5/20/22 | | (26,289 | ) | ||||||||||||||||
KES | 467,765,000 | USD | 4,087,069 | Standard Chartered Bank | 6/6/22 | | (79,830 | ) | ||||||||||||||||
USD | 3,965,791 | KES | 467,765,000 | Standard Chartered Bank | 6/6/22 | | (41,448 | ) | ||||||||||||||||
KES | 231,620,000 | USD | 2,026,422 | Goldman Sachs International | 6/8/22 | | (43,021 | ) | ||||||||||||||||
KES | 467,340,000 | USD | 4,086,926 | Standard Chartered Bank | 6/8/22 | | (85,016 | ) | ||||||||||||||||
USD | 1,963,214 | KES | 231,620,000 | Goldman Sachs International | 6/8/22 | | (20,187 | ) | ||||||||||||||||
USD | 3,967,233 | KES | 467,340,000 | Standard Chartered Bank | 6/8/22 | | (34,678 | ) | ||||||||||||||||
UGX | 35,147,800,000 | USD | 9,298,360 | Standard Chartered Bank | 6/13/22 | 415,690 | | |||||||||||||||||
UGX | 36,563,109,603 | USD | 9,683,027 | ICBC Standard Bank plc | 6/21/22 | 409,543 | | |||||||||||||||||
UGX | 17,415,100,000 | USD | 4,597,439 | Standard Chartered Bank | 6/23/22 | 208,174 | | |||||||||||||||||
UGX | 18,421,960,000 | USD | 4,841,514 | JPMorgan Chase Bank, N.A. | 7/5/22 | 232,421 | | |||||||||||||||||
UGX | 35,766,460,000 | USD | 9,399,858 | Standard Chartered Bank | 7/5/22 | 451,248 | | |||||||||||||||||
UGX | 57,448,570,397 | USD | 15,078,365 | Goldman Sachs International | 7/6/22 | 742,146 | | |||||||||||||||||
ZMW | 36,540,000 | USD | 1,638,565 | JPMorgan Chase Bank, N.A. | 8/18/22 | 227,331 | | |||||||||||||||||
ZMW | 26,675,000 | USD | 1,310,811 | JPMorgan Chase Bank, N.A. | 8/25/22 | 47,556 | | |||||||||||||||||
OMR | 7,500,000 | USD | 18,796,992 | BNP Paribas | 8/29/22 | 668,771 | | |||||||||||||||||
USD | 23,292,293 | OMR | 9,293,625 | BNP Paribas | 8/29/22 | | (828,708 | ) | ||||||||||||||||
USD | 12,483,846 | OMR | 4,830,000 | Standard Chartered Bank | 10/27/22 | | (45,224 | ) | ||||||||||||||||
USD | 12,923,236 | OMR | 5,000,000 | Standard Chartered Bank | 10/27/22 | | (46,816 | ) | ||||||||||||||||
AED | 72,500,000 | USD | 19,732,344 | Standard Chartered Bank | 12/12/22 | 1,815 | | |||||||||||||||||
USD | 33,420,810 | AED | 123,212,500 | Standard Chartered Bank | 12/12/22 | | (117,054 | ) |
23
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
USD | 33,420,899 | AED | 123,220,500 | Standard Chartered Bank | 12/12/22 | $ | | $ | (119,143 | ) | ||||||||||||||
USD | 29,801,366 | OMR | 11,800,000 | BNP Paribas | 12/14/22 | | (792,661 | ) | ||||||||||||||||
USD | 58,402,155 | AED | 215,000,000 | BNP Paribas | 3/1/23 | | (108,566 | ) | ||||||||||||||||
USD | 81,979,737 | AED | 301,839,143 | BNP Paribas | 3/6/23 | | (162,231 | ) | ||||||||||||||||
USD | 30,000,000 | AED | 110,456,400 | BNP Paribas | 3/13/23 | | (58,686 | ) | ||||||||||||||||
USD | 109,556,452 | AED | 403,354,537 | BNP Paribas | 3/13/23 | | (209,099 | ) | ||||||||||||||||
USD | 12,664,006 | SAR | 47,604,000 | Standard Chartered Bank | 3/13/23 | | (8,892 | ) | ||||||||||||||||
USD | 146,927,878 | AED | 540,959,063 | Standard Chartered Bank | 3/15/23 | | (283,214 | ) | ||||||||||||||||
USD | 20,104,768 | BHD | 7,651,000 | Standard Chartered Bank | 3/15/23 | | (84,308 | ) | ||||||||||||||||
USD | 22,725,930 | OMR | 8,900,000 | Standard Chartered Bank | 3/15/23 | | (323,956 | ) | ||||||||||||||||
USD | 9,511,645 | AED | 35,000,000 | BNP Paribas | 6/21/23 | | (9,699 | ) | ||||||||||||||||
USD | 9,036,785 | SAR | 34,000,000 | Standard Chartered Bank | 7/13/23 | | (9,534 | ) | ||||||||||||||||
USD | 36,694,600 | OMR | 14,300,000 | Standard Chartered Bank | 8/23/23 | | (258,292 | ) | ||||||||||||||||
USD | 48,448,681 | OMR | 18,858,800 | Standard Chartered Bank | 11/6/23 | | (234,283 | ) | ||||||||||||||||
USD | 26,650,006 | OMR | 10,530,750 | Standard Chartered Bank | 8/29/24 | | (327,157 | ) | ||||||||||||||||
|
|
|
|
|||||||||||||||||||||
$ | 20,127,673 | $ | (13,107,601 | ) | ||||||||||||||||||||
|
|
|
|
Non-deliverable Bond Forward Contracts*
Settlement Date | Notional Amount (000s omitted) |
Reference Entity |
Counterparty | Aggregate Cost |
Unrealized Appreciation (Depreciation) |
|||||||||||
2/15/22 | COP 40,781,000 | Republic of Colombia, 6.25%, 11/26/25 |
Bank of America, N.A. | $ | 10,330,096 | $ | (365,448 | ) | ||||||||
2/15/22 | COP 68,623,300 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 17,382,735 | (594,229 | ) | ||||||||||
2/17/22 | COP 81,564,000 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 20,660,700 | (521,249 | ) | ||||||||||
2/21/22 | COP 40,780,000 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 10,329,843 | (256,469 | ) | ||||||||||
2/21/22 | COP 33,985,000 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 8,608,625 | (213,735 | ) | ||||||||||
3/3/22 | COP 35,344,000 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 8,952,869 | (172,477 | ) | ||||||||||
3/9/22 | COP 33,396,060 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 8,459,442 | (117,214 | ) | ||||||||||
3/10/22 | COP 80,203,600 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 20,316,101 | (268,965 | ) | ||||||||||
3/15/22 | COP 69,263,330 | Republic of Colombia, 5.75%, 11/3/27 |
Bank of America, N.A. | 17,544,859 | 30,019 | |||||||||||
3/17/22 | COP 63,759,700 | Republic of Colombia, 6.00%, 4/28/28 |
Bank of America, N.A. | 16,150,753 | 937 | |||||||||||
3/17/22 | COP 63,301,700 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 16,034,738 | 41,867 | |||||||||||
3/17/22 | COP 27,188,000 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 6,886,900 | 17,982 | |||||||||||
3/18/22 | COP 115,547,000 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 29,268,818 | 19,054 |
24
Settlement Date | Notional Amount (000s omitted) |
Reference Entity |
Counterparty | Aggregate Cost |
Unrealized Appreciation (Depreciation) |
|||||||||||
3/21/22 | COP 66,792,100 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | $ | 16,918,880 | $ | 112,071 | |||||||||
3/22/22 | COP 57,441,200 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 14,550,235 | 63,192 | |||||||||||
3/25/22 | COP 21,465,880 | Republic of Colombia, 5.75%, 11/3/27 |
Bank of America, N.A. | 5,437,449 | 76,380 | |||||||||||
3/25/22 | COP 29,239,600 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 7,406,584 | (16,769 | ) | ||||||||||
3/29/22 | COP 100,529,300 | Republic of Colombia, 6.25%, 11/26/25 |
Bank of America, N.A. | 25,464,735 | 72,931 | |||||||||||
3/29/22 | COP 20,311,040 | Republic of Colombia, 6.00%, 4/28/28 |
Goldman Sachs International | 5,144,921 | 28,508 | |||||||||||
3/30/22 | COP 67,019,600 | Republic of Colombia, 6.25%, 11/26/25 |
Bank of America, N.A. | 16,976,507 | 8,488 | |||||||||||
3/30/22 | COP 69,263,320 | Republic of Colombia, 5.75%, 11/3/27 |
Bank of America, N.A. | 17,544,856 | 47,231 | |||||||||||
3/31/22 | COP 66,792,100 | Republic of Colombia, 6.25%, 11/26/25 |
Goldman Sachs International | 16,918,880 | 11,572 | |||||||||||
|
|
|||||||||||||||
$ | (1,996,323 | ) | ||||||||||||||
|
|
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts
Description |
Number of Contracts |
Position |
Expiration Date |
Notional Amount |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||
Commodity Futures |
||||||||||||||||||
Brent Crude |
265 | Long | 1/31/22 | $ | 24,170,650 | $ | 4,256,035 | |||||||||||
Equity Futures |
||||||||||||||||||
TOPIX Index |
89 | Long | 3/10/22 | 14,831,585 | (190,838 | ) | ||||||||||||
SGX CNX Nifty Index |
(522 | ) | Short | 2/24/22 | (18,244,235 | ) | (200,324 | ) | ||||||||||
Interest Rate Futures |
||||||||||||||||||
U.S. Ultra-Long Treasury Bond |
148 | Long | 3/22/22 | 27,962,750 | (684,801 | ) | ||||||||||||
Euro-Bund |
(481 | ) | Short | 3/8/22 | (91,383,596 | ) | 2,528,577 | |||||||||||
Euro-Buxl |
(292 | ) | Short | 3/8/22 | (66,692,057 | ) | 4,100,351 | |||||||||||
U.S. 5-Year Treasury Note |
(862 | ) | Short | 3/31/22 | (102,753,094 | ) | 712,783 | |||||||||||
U.S. 10-Year Treasury Note |
(1,386 | ) | Short | 3/22/22 | (177,364,687 | ) | 1,341,726 | |||||||||||
U.S. Long Treasury Bond |
(19 | ) | Short | 3/22/22 | (2,956,875 | ) | 7,680 | |||||||||||
|
|
|||||||||||||||||
$ | 11,871,189 | |||||||||||||||||
|
|
25
Centrally Cleared Inflation Swaps
Notional Amount (000s omitted) |
Portfolio Pays/Receives Return on Reference Index |
Reference Index |
Portfolio Pays/Receives Rate |
Annual Rate |
Termination Date |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||||||
EUR | 10,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) |
Pays | 2.20% (pays upon termination) |
10/15/36 | $ | (133,486 | ) | |||||||||||||
EUR | 10,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) |
Pays | 2.20% (pays upon termination) |
10/15/36 | (133,486 | ) | ||||||||||||||
EUR | 11,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) |
Pays | 2.20% (pays upon termination) |
10/15/36 | (136,681 | ) | ||||||||||||||
EUR | 11,410 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) |
Pays | 2.08% (pays upon termination) |
1/15/37 | 16,875 | |||||||||||||||
EUR | 10,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) |
Receives | 2.29% (pays upon termination) |
10/15/46 | 586,599 | |||||||||||||||
EUR | 10,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) |
Receives | 2.29% (pays upon termination) |
10/15/46 | 593,663 | |||||||||||||||
EUR | 11,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) |
Receives | 2.29% (pays upon termination) |
10/15/46 | 599,109 | |||||||||||||||
EUR | 11,410 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) |
Receives | 2.18% (pays upon termination) |
1/15/47 | 221,858 | |||||||||||||||
EUR | 4,350 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) |
Receives | 1.10% (pays upon termination) |
3/12/50 | (2,130,323 | ) | ||||||||||||||
USD | 18,215 | Pays | Return on CPI-U (NSA) (pays upon termination) |
Receives | 2.98% (pays upon termination) |
12/2/26 | (222,812 | ) | ||||||||||||||
USD | 89,075 | Pays | Return on CPI-U (NSA) (pays upon termination) |
Receives | 3.00% (pays upon termination) |
12/2/26 | (996,219 | ) | ||||||||||||||
USD | 42,510 | Pays | Return on CPI-U (NSA) (pays upon termination) |
Receives | 2.90% (pays upon termination) |
1/11/27 | (266,176 | ) | ||||||||||||||
USD | 42,520 | Pays | Return on CPI-U (NSA) (pays upon termination) |
Receives | 2.89% (pays upon termination) |
1/12/27 | (268,043 | ) | ||||||||||||||
USD | 51,550 | Pays | Return on CPI-U (NSA) (pays upon termination) |
Receives | 2.75% (pays upon termination) |
10/29/36 | 350,438 | |||||||||||||||
USD | 18,160 |
Pays | Return on CPI-U (NSA) (pays upon termination) |
Receives | 2.67% (pays upon termination) |
1/7/37 | 98,084 | |||||||||||||||
USD | 34,300 | Receives | Return on CPI-U (NSA) (pays upon termination) |
Pays | 2.62% (pays upon termination) |
10/29/46 | (826,548 | ) | ||||||||||||||
USD | 17,300 | Receives | Return on CPI-U (NSA) (pays upon termination) |
Pays | 2.62% (pays upon termination) |
10/29/46 | (427,428 | ) | ||||||||||||||
USD | 18,140 | Receives | Return on CPI-U (NSA) (pays upon termination) |
Pays | 2.54% (pays upon termination) |
1/7/47 | (198,346 | ) | ||||||||||||||
USD | 5,824 | Receives | Return on CPI-U (NSA) (pays upon termination) |
Pays | 2.42% (pays upon termination) |
6/8/48 | 307,525 | |||||||||||||||
|
|
|||||||||||||||||||||
$ | (2,965,397 | ) | ||||||||||||||||||||
|
|
26
CPI-U (NSA) |
- | Consumer Price Index All Urban Non-Seasonally Adjusted | ||
HICP |
- | Harmonised Indices of Consumer Prices |
Centrally Cleared Interest Rate Swaps
Notional Amount (000s omitted) |
Portfolio |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
AUD | 347,130 | Pays | 6-month AUD Bank Bill (pays semi-annually) |
1.58% (pays semi-annually) |
1/17/24 | $ | (634,016 | ) | $ | | $ | (634,016 | ) | |||||||||||||
CAD | 128,330 | Pays | 3-month Canadian Bankers Acceptances (pays quarterly) |
2.19% (pays semi-annually) |
1/18/24 | (87,347 | ) | | (87,347 | ) | ||||||||||||||||
CAD | 190,420 | Pays | 3-month Canadian Bankers Acceptances (pays quarterly) |
2.19% (pays semi-annually) |
1/18/24 | (133,997 | ) | | (133,997 | ) | ||||||||||||||||
CNY | 91,623 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.64% (pays quarterly) |
11/1/26 | 266,332 | | 266,332 | ||||||||||||||||||
CNY | 111,257 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.63% (pays quarterly) |
11/1/26 | 317,276 | | 317,276 | ||||||||||||||||||
CNY | 130,890 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.64% (pays quarterly) |
11/1/26 | 380,475 | | 380,475 | ||||||||||||||||||
CNY | 222,514 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.64% (pays quarterly) |
11/1/26 | 638,636 | | 638,636 | ||||||||||||||||||
CNY | 229,058 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.63% (pays quarterly) |
11/1/26 | 653,216 | | 653,216 | ||||||||||||||||||
CNY | 307,658 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.64% (pays quarterly) |
11/1/26 | 883,008 | | 883,008 | ||||||||||||||||||
CNY | 315,167 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.26% (pays quarterly) |
2/7/27 | 31,931 | | 31,931 | ||||||||||||||||||
COP | 86,746,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
3.84% (pays quarterly) |
5/5/25 | 1,872,872 | | 1,872,872 | ||||||||||||||||||
COP | 15,180,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
3.85% (pays quarterly) |
5/6/25 | 326,920 | | 326,920 | ||||||||||||||||||
COP | 100,029,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
3.70% (pays quarterly) |
5/7/25 | 2,281,496 | | 2,281,496 |
27
Notional Amount (000s omitted) |
Portfolio Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
COP | 11,171,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
3.49% (pays quarterly) |
5/13/25 | $ | 275,220 | $ | | $ | 275,220 | |||||||||||||||
COP | 11,171,850 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
3.54% (pays quarterly) |
5/14/25 | 270,953 | | 270,953 | ||||||||||||||||||
COP | 40,662,300 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) |
3.19% (pays quarterly) |
6/4/25 | (1,124,561 | ) | | (1,124,561 | ) | ||||||||||||||||
COP | 61,940,900 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) |
3.26% (pays quarterly) |
6/5/25 | (1,682,076 | ) | | (1,682,076 | ) | ||||||||||||||||
COP | 85,106,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) |
3.34% (pays quarterly) |
6/8/25 | (2,262,900 | ) | | (2,262,900 | ) | ||||||||||||||||
COP | 41,729,700 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) |
3.44% (pays quarterly) |
6/9/25 | (1,075,713 | ) | | (1,075,713 | ) | ||||||||||||||||
COP | 6,192,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.21% (pays quarterly) |
11/26/25 | 137,216 | | 137,216 | ||||||||||||||||||
COP | 6,351,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.02% (pays quarterly) |
11/26/25 | 151,708 | | 151,708 | ||||||||||||||||||
COP | 7,859,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.73% (pays quarterly) |
11/26/25 | 136,640 | | 136,640 | ||||||||||||||||||
COP | 14,659,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
3.76% (pays quarterly) |
11/26/25 | 384,176 | | 384,176 |
28
Notional Amount (000s omitted) |
Portfolio Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
COP | 14,659,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
3.89% (pays quarterly) |
11/26/25 | $ | 366,848 | $ | | $ | 366,848 | |||||||||||||||
COP | 14,924,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.05% (pays quarterly) |
11/26/25 | 351,404 | | 351,404 | ||||||||||||||||||
COP | 15,771,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.34% (pays quarterly) |
11/26/25 | 329,581 | | 329,581 | ||||||||||||||||||
COP | 15,877,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.55% (pays quarterly) |
11/26/25 | 302,753 | | 302,753 | ||||||||||||||||||
COP | 17,793,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.20% (pays quarterly) |
11/26/25 | 395,098 | | 395,098 | ||||||||||||||||||
COP | 20,326,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.11% (pays quarterly) |
11/26/25 | 468,910 | | 468,910 | ||||||||||||||||||
COP | 25,880,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.25% (pays quarterly) |
11/26/25 | 562,921 | | 562,921 | ||||||||||||||||||
COP | 27,035,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.53% (pays quarterly) |
11/26/25 | 519,449 | | 519,449 | ||||||||||||||||||
COP | 27,035,200 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) |
5.68% (pays quarterly) |
11/26/25 | (236,514 | ) | | (236,514 | ) | ||||||||||||||||
COP | 28,925,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
6.12% (pays quarterly) |
11/26/25 | 177,352 | | 177,352 |
29
Notional Amount (000s omitted) |
Portfolio Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.00% (pays quarterly) |
11/26/25 | $ | 704,375 | $ | | $ | 704,375 | |||||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.07% (pays quarterly) |
11/26/25 | 685,714 | | 685,714 | ||||||||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.20% (pays quarterly) |
11/26/25 | 651,058 | | 651,058 | ||||||||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.28% (pays quarterly) |
11/26/25 | 629,731 | | 629,731 | ||||||||||||||||||
COP | 31,578,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.16% (pays quarterly) |
11/26/25 | 712,694 | | 712,694 | ||||||||||||||||||
COP | 31,722,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.90% (pays quarterly) |
11/26/25 | 503,947 | | 503,947 | ||||||||||||||||||
COP | 33,040,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.78% (pays quarterly) |
11/26/25 | 559,430 | | 559,430 | ||||||||||||||||||
COP | 33,392,440 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.81% (pays quarterly) |
11/26/25 | 557,797 | | 557,797 | ||||||||||||||||||
COP | 35,344,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
6.06% (pays quarterly) |
11/26/25 | 235,012 | | 235,012 | ||||||||||||||||||
COP | 36,412,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
6.14% (pays quarterly) |
11/26/25 | 218,545 | | 218,545 |
30
Notional Amount (000s omitted) |
Portfolio Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
COP | 37,433,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
6.18% (pays quarterly) |
11/26/25 | $ | 213,162 | $ | | $ | 213,162 | |||||||||||||||
COP | 40,836,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
6.00% (pays quarterly) |
11/26/25 | 294,453 | | 294,453 | ||||||||||||||||||
COP | 57,435,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.86% (pays quarterly) |
11/26/25 | 931,001 | | 931,001 | ||||||||||||||||||
COP | 66,784,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.73% (pays quarterly) |
11/26/25 | 1,164,171 | | 1,164,171 | ||||||||||||||||||
COP | 66,784,856 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.78% (pays quarterly) |
11/26/25 | 1,130,774 | | 1,130,774 | ||||||||||||||||||
COP | 74,865,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
6.09% (pays quarterly) |
11/26/25 | 482,636 | | 482,636 | ||||||||||||||||||
COP | 76,566,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
6.25% (pays quarterly) |
11/26/25 | 387,364 | | 387,364 | ||||||||||||||||||
COP | 115,701,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
6.05% (pays quarterly) |
11/26/25 | 777,317 | | 777,317 | ||||||||||||||||||
COP | 64,177,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.38% (pays quarterly) |
3/30/26 | 1,470,246 | | 1,470,246 | ||||||||||||||||||
COP | 129,615,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.38% (pays quarterly) |
3/30/26 | 2,971,848 | | 2,971,848 |
31
Notional Amount (000s omitted) |
Portfolio Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
COP | 36,071,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.48% (pays quarterly) |
3/31/26 | $ | 791,511 | $ | | $ | 791,511 | |||||||||||||||
COP | 38,614,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.56% (pays quarterly) |
4/6/26 | 823,185 | | 823,185 | ||||||||||||||||||
COP | 8,172,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.83% (pays quarterly) |
3/26/28 | 229,291 | | 229,291 | ||||||||||||||||||
COP | 11,441,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.82% (pays quarterly) |
3/26/28 | 322,514 | | 322,514 | ||||||||||||||||||
COP | 12,790,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) |
4.82% (pays quarterly) |
3/26/28 | 359,716 | | 359,716 | ||||||||||||||||||
EUR | 17,300 | Receives | 1-day Euro Short-Term Rate (pays annually) |
(0.03%) (pays annually) |
11/9/31 | 520,127 | | 520,127 | ||||||||||||||||||
GBP | 65,370 | Receives | 1-day Sterling Overnight Index Average (pays annually) |
0.54% (pays annually) |
9/15/26 | 3,028,593 | (1,113 | ) | 3,027,480 | |||||||||||||||||
GBP | 65,387 | Receives | 1-day Sterling Overnight Index Average (pays annually) |
0.54% (pays annually) |
9/15/26 | 3,027,699 | (1,114 | ) | 3,026,585 | |||||||||||||||||
GBP | 90,053 | Receives | 1-day Sterling Overnight Index Average (pays annually) |
0.54% (pays annually) |
9/15/26 | 4,152,214 | (1,543 | ) | 4,150,671 | |||||||||||||||||
GBP | 52,280 | Receives | 1-day Sterling Overnight Index Average (pays annually) |
0.87% (pays annually) |
10/14/26 | 1,363,220 | (1,499 | ) | 1,361,721 | |||||||||||||||||
GBP | 54,220 | Receives | 1-day Sterling Overnight Index Average (pays annually) |
0.87% (pays annually) |
10/14/26 | 1,409,932 | (1,556 | ) | 1,408,376 | |||||||||||||||||
JPY | 1,534,582 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) |
0.56% (pays annually) |
1/11/52 | 64,135 | | 64,135 |
32
Notional Amount (000s omitted) |
Portfolio |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
JPY | 1,613,311 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) |
0.56% (pays annually) |
1/11/52 | $ | 84,829 | $ | | $ | 84,829 | |||||||||||||||
JPY | 1,952,107 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) |
0.56% (pays annually) |
1/11/52 | 90,678 | | 90,678 | ||||||||||||||||||
KRW | 122,458,300 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) |
1.77% (pays quarterly) |
10/5/23 | (545,277 | ) | | (545,277 | ) | ||||||||||||||||
KRW | 192,943,700 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) |
1.75% (pays quarterly) |
10/5/23 | (876,641 | ) | | (876,641 | ) | ||||||||||||||||
KRW | 280,598,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) |
1.75% (pays quarterly) |
10/5/23 | (1,276,971 | ) | | (1,276,971 | ) | ||||||||||||||||
KRW | 72,704,100 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) |
1.65% (pays quarterly) |
7/19/31 | (3,148,827 | ) | | (3,148,827 | ) | ||||||||||||||||
MXN | 1,955,100 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) |
6.96% (pays monthly) |
6/24/25 | (1,056,122 | ) | | (1,056,122 | ) | ||||||||||||||||
MXN | 1,955,700 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) |
6.91% (pays monthly) |
6/25/25 | (1,133,051 | ) | | (1,133,051 | ) | ||||||||||||||||
MXN | 1,539,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) |
6.60% (pays monthly) |
7/8/26 | (2,477,673 | ) | | (2,477,673 | ) | ||||||||||||||||
NZD | 186,090 | Pays | 3-month NZD Bank Bill (pays quarterly) |
2.71% (pays semi-annually) |
1/18/24 | (267,033 | ) | | (267,033 | ) | ||||||||||||||||
NZD | 190,540 | Pays | 3-month NZD Bank Bill (pays quarterly) |
2.69% (pays semi-annually) |
1/18/24 | (297,578 | ) | | (297,578 | ) | ||||||||||||||||
NZD | 27,000 | Pays | 3-month NZD Bank Bill (pays quarterly) |
2.09% (pays semi-annually) |
9/23/31 | (984,812 | ) | | (984,812 | ) | ||||||||||||||||
PLN | 54,770 | Receives | 6-month PLN WIBOR (pays semi-annually) |
2.49% (pays annually) |
10/14/26 | 852,763 | | 852,763 | ||||||||||||||||||
PLN | 163,380 | Receives | 6-month PLN WIBOR (pays semi-annually) |
2.49% (pays annually) |
10/15/26 | 2,550,368 | | 2,550,368 |
33
Notional Amount (000s omitted) |
Portfolio |
Floating Rate |
Annual Fixed Rate | Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
PLN | 85,600 | Receives | 6-month PLN WIBOR (pays semi-annually) |
3.39% (pays annually) |
12/15/26 | $ | 682,947 | $ | | $ | 682,947 | |||||||||||||||
PLN | 71,350 | Receives | 6-month PLN WIBOR (pays semi-annually) |
2.28% (pays annually) |
10/4/31 | 2,251,195 | | 2,251,195 | ||||||||||||||||||
PLN | 28,070 | Receives | 6-month PLN WIBOR (pays semi-annually) |
2.32% (pays annually) |
10/5/31 | 860,279 | | 860,279 | ||||||||||||||||||
PLN | 28,720 | Receives | 6-month PLN WIBOR (pays semi-annually) |
2.32% (pays annually) |
10/5/31 | 880,199 | | 880,199 | ||||||||||||||||||
PLN | 60,940 | Receives | 6-month PLN WIBOR (pays semi-annually) |
2.68% (pays annually) |
10/22/31 | 1,470,697 | | 1,470,697 | ||||||||||||||||||
PLN | 29,830 | Receives | 6-month PLN WIBOR (pays semi-annually) |
2.67% (pays annually) |
10/25/31 | 726,451 | | 726,451 | ||||||||||||||||||
PLN | 44,420 | Receives | 6-month PLN WIBOR (pays semi-annually) |
2.73% (pays annually) |
10/25/31 | 1,027,910 | | 1,027,910 | ||||||||||||||||||
TWD | 653,926 | Receives | 3-month TWD TAIBOR (pays quarterly) |
0.87% (pays quarterly) |
11/2/26 | 94,057 | | 94,057 | ||||||||||||||||||
TWD | 1,307,851 | Receives | 3-month TWD TAIBOR (pays quarterly) |
0.87% (pays quarterly) |
11/2/26 | 188,114 | | 188,114 | ||||||||||||||||||
TWD | 1,307,851 | Receives | 3-month TWD TAIBOR (pays quarterly) |
0.88% (pays quarterly) |
11/2/26 | 165,510 | | 165,510 | ||||||||||||||||||
TWD | 1,307,851 | Receives | 3-month TWD TAIBOR (pays quarterly) |
0.88% (pays quarterly) |
11/2/26 | 160,992 | | 160,992 | ||||||||||||||||||
TWD | 1,752,521 | Receives | 3-month TWD TAIBOR (pays quarterly) |
0.89% (pays quarterly) |
11/2/26 | 191,496 | | 191,496 | ||||||||||||||||||
TWD | 1,260,030 | Receives | 3-month TWD TAIBOR (pays quarterly) |
0.95% (pays quarterly) |
2/8/27 | 39,653 | | 39,653 | ||||||||||||||||||
USD | 110,990 | Receives | SOFR (pays annually) |
1.08% (pays annually) |
11/22/26 | 1,638,324 | | 1,638,324 | ||||||||||||||||||
USD | 20,000 | Receives | SOFR (pays annually) |
1.21% (pays annually) |
11/29/26 | 167,252 | | 167,252 | ||||||||||||||||||
USD | 107,290 | Receives | SOFR (pays annually) |
1.06% (pays annually) |
12/2/26 | 1,707,592 | | 1,707,592 |
34
Notional Amount (000s omitted) |
Portfolio |
Floating Rate |
Annual Fixed Rate | Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
USD | 24,050 | Receives | SOFR (pays annually) |
|
1.39% (pays annually) |
1/12/27 | $ | 43,032 | $ | | $ | 43,032 | ||||||||||||||||
USD | 24,200 | Receives | SOFR (pays annually) |
|
1.39% (pays annually) |
1/13/27 | 48,536 | | 48,536 | |||||||||||||||||||
USD | 48,150 | Receives | SOFR (pays annually) |
|
1.33% (pays annually) |
1/18/27 | 244,870 | | 244,870 | |||||||||||||||||||
USD | 21,700 | Receives | SOFR (pays annually) |
|
1.26% (pays annually) |
11/9/31 | 598,617 | | 598,617 | |||||||||||||||||||
USD | 6,500 | Receives | SOFR (pays annually) |
|
1.43% (pays annually) |
11/9/51 | 346,630 | | 346,630 | |||||||||||||||||||
ZAR | 72,640 | Pays | 3-month ZAR JIBAR (pays quarterly) |
|
5.47% (pays quarterly) |
2/24/26 | (148,228 | ) | 205 | (148,023 | ) | |||||||||||||||||
ZAR | 476,700 | Pays | 3-month ZAR JIBAR (pays quarterly) |
|
5.52% (pays quarterly) |
2/24/26 | (914,166 | ) | 1,383 | (912,783 | ) | |||||||||||||||||
ZAR | 419,363 | Pays | 3-month ZAR JIBAR (pays quarterly) |
|
5.82% (pays quarterly) |
3/11/26 | (534,106 | ) | 1,383 | (532,723 | ) | |||||||||||||||||
ZAR | 474,840 | Pays | 3-month ZAR JIBAR (pays quarterly) |
|
5.88% (pays quarterly) |
3/11/26 | (535,032 | ) | 1,609 | (533,423 | ) | |||||||||||||||||
ZAR | 474,850 | Pays | 3-month ZAR JIBAR (pays quarterly) |
|
5.82% (pays quarterly) |
3/11/26 | (604,775 | ) | 1,566 | (603,209 | ) | |||||||||||||||||
ZAR | 444,000 | Pays | 3-month ZAR JIBAR (pays quarterly) |
|
6.03% (pays quarterly) |
6/30/26 | (501,298 | ) | 1,769 | (499,529 | ) | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total | $ | 38,430,080 | $ | 1,090 | $ | 38,431,170 | ||||||||||||||||||||||
|
|
|
|
|
|
Interest Rate Swaps
Counterparty |
Notional Amount (000s omitted) |
Portfolio Pays/Receives Floating Rate |
Floating Rate |
Annual |
Termination Date |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||
Bank of America, N.A. | MYR | 54,200 | Pays | 3-month MYR KLIBOR |
2.50% |
7/19/26 | $ | (322,116 | ) | |||||||||
BNP Paribas | MYR | 49,200 | Pays | 3-month MYR KLIBOR |
2.52% |
7/16/26 | (285,533 | ) | ||||||||||
BNP Paribas | MYR | 49,200 | Pays | 3-month MYR KLIBOR |
2.52% |
7/16/26 | (285,533 | ) | ||||||||||
Goldman Sachs International | MYR | 39,100 | Pays | 3-month MYR KLIBOR |
2.52% |
7/16/26 | (224,922 | ) |
35
Counterparty |
Notional Amount (000s omitted) |
Portfolio Pays/Receives Floating Rate |
Floating Rate |
Annual |
Termination Date |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||||
Goldman Sachs International | MYR | 11,900 | Pays | 3-month MYR KLIBOR |
2.50% |
7/19/26 | $ | (71,815 | ) | |||||||||||
Standard Chartered Bank | MYR | 87,600 | Pays | 3-month MYR KLIBOR |
2.53% |
7/16/26 | (494,969 | ) | ||||||||||||
Standard Chartered Bank | MYR | 38,800 | Pays | 3-month MYR KLIBOR |
2.49% |
7/19/26 | (236,141 | ) | ||||||||||||
|
|
|||||||||||||||||||
$ | (1,921,029 | ) | ||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps Sell Protection
Reference Entity |
Notional Amount* (000s omitted) |
Contract |
Termination Date |
Current Market Annual Fixed Rate*** |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
Brazil |
$ | 83,990 | 1.00% (pays quarterly)(1) |
12/20/26 | 2.26 | % | $ | (4,685,199 | ) | $ | 5,187,854 | $ | 502,655 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 83,990 | $ | (4,685,199 | ) | $ | 5,187,854 | $ | 502,655 | |||||||||||||||||
|
|
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps Buy Protection
Reference Entity |
Notional Amount (000s omitted) |
Contract |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
Malaysia |
$ | 257,000 | 1.00% (pays quarterly)(1) |
12/20/26 | $ | (5,174,495 | ) | $ | 6,246,698 | $ | 1,072,203 | |||||||||||
Markit CDX Emerging Markets Index (CDX.EM.31.V2) |
940 | 1.00% (pays quarterly)(1) |
6/20/24 | 8,605 | (13,117 | ) | (4,512 | ) | ||||||||||||||
Mexico |
9,690 | 1.00% (pays quarterly)(1) |
12/20/26 | 11,601 | 57,485 | 69,086 | ||||||||||||||||
Philippines |
77,200 | 1.00% (pays quarterly)(1) |
12/20/26 | (1,059,939 | ) | 1,820,641 | 760,702 | |||||||||||||||
Qatar |
10,315 | 1.00% (pays quarterly)(1) |
12/20/27 | (232,832 | ) | (269,757 | ) | (502,589 | ) | |||||||||||||
Qatar |
57,454 | 1.00% (pays quarterly)(1) |
12/20/27 | (1,296,856 | ) | (1,416,058 | ) | (2,712,914 | ) | |||||||||||||
Russia |
325,990 | 1.00% (pays quarterly)(1) |
12/20/26 | 17,543,199 | 2,207,573 | 19,750,772 | ||||||||||||||||
Saudi Arabia |
29,930 | 1.00% (pays quarterly)(1) |
12/20/26 | (693,946 | ) | 715,283 | 21,337 | |||||||||||||||
South Africa |
93,040 | 1.00% (pays quarterly)(1) |
12/20/26 | 4,489,444 | (4,221,483 | ) | 267,961 | |||||||||||||||
South Africa |
41,600 | 1.00% (pays quarterly)(1) |
12/20/27 | 2,928,515 | (3,371,610 | ) | (443,095 | ) | ||||||||||||||
South Africa |
58,700 | 1.00% (pays quarterly)(1) |
6/20/29 | 5,941,098 | (7,114,802 | ) | (1,173,704 | ) | ||||||||||||||
South Africa |
78,581 | 1.00% (pays quarterly)(1) |
6/20/31 | 10,867,288 | (9,917,883 | ) | 949,405 | |||||||||||||||
Turkey |
149,190 | 1.00% (pays quarterly)(1) |
12/20/26 | 26,012,344 | (18,633,608 | ) | 7,378,736 | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Total |
$ | 59,344,026 | $ | (33,910,638 | ) | $ | 25,433,388 | |||||||||||||||
|
|
|
|
|
|
36
Credit Default Swaps Sell Protection
Reference |
Counterparty |
Notional Amount* (000s omitted) |
Contract |
Termination Date |
Current Market Annual Fixed Rate*** |
Value |
Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
Vietnam |
Barclays Bank PLC | $ | 18,120 | 1.00% (pays quarterly)(1) |
12/20/26 | 1.12 | % | $ | (78,747 | ) | $ | (21,154 | ) | $ | (99,901 | ) | ||||||||||||
Vietnam |
Barclays Bank PLC | 6,427 | 1.00% (pays quarterly)(1) |
12/20/26 | 1.12 | (27,931 | ) | 29,539 | 1,608 | |||||||||||||||||||
Vietnam |
BNP Paribas | 23,200 | 1.00% (pays quarterly)(1) |
12/20/26 | 1.12 | (100,823 | ) | 30,543 | (70,280 | ) | ||||||||||||||||||
Vietnam |
Goldman Sachs International | 19,880 | 1.00% (pays quarterly)(1) |
6/20/24 | 0.66 | 183,231 | (141,515 | ) | 41,716 | |||||||||||||||||||
Vietnam |
Goldman Sachs International | 5,900 | 1.00% (pays quarterly)(1) |
12/20/26 | 1.12 | (25,640 | ) | (8,966 | ) | (34,606 | ) | |||||||||||||||||
Vietnam |
Goldman Sachs International | 1,973 | 1.00% (pays quarterly)(1) |
12/20/26 | 1.12 | (8,574 | ) | 4,539 | (4,035 | ) | ||||||||||||||||||
Vietnam |
Nomura International PLC | 3,500 | 1.00% (pays quarterly) |
12/20/26 | 1.12 | (15,210 | ) | | (15,210 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 79,000 | $ | (73,694 | ) | $ | (107,014 | ) | $ | (180,708 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
Credit Default Swaps Buy Protection
Reference |
Counterparty |
Notional Amount (000s omitted) |
Contract |
Termination Date |
Value |
Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Dubai |
Barclays Bank PLC | $ | 6,348 | 1.00% (pays quarterly)(1) |
12/20/24 | $ | (69,983 | ) | $ | (60,831 | ) | $ | (130,814 | ) | ||||||||||
Dubai |
Barclays Bank PLC | 9,572 | 1.00% (pays quarterly)(1) |
12/20/24 | (105,525 | ) | (91,805 | ) | (197,330 | ) | ||||||||||||||
Egypt |
Barclays Bank PLC | 9,744 | 1.00% (pays quarterly)(1) |
12/20/24 | 1,018,077 | (552,908 | ) | 465,169 | ||||||||||||||||
Egypt |
JPMorgan Chase Bank, N.A. | 9,097 | 1.00% (pays quarterly)(1) |
12/20/24 | 950,477 | (515,140 | ) | 435,337 | ||||||||||||||||
Oman |
Bank of America, N.A. | 17,964 | 1.00% (pays quarterly)(1) |
6/20/22 | (13,179 | ) | (68,312 | ) | (81,491 | ) | ||||||||||||||
Oman |
Bank of America, N.A. | 14,372 | 1.00% (pays quarterly)(1) |
12/20/22 | 21,387 | (136,558 | ) | (115,171 | ) | |||||||||||||||
Saudi Arabia |
Barclays Bank PLC | 40,301 | 1.00% (pays quarterly)(1) |
6/20/31 | (485,049 | ) | (696,640 | ) | (1,181,689 | ) | ||||||||||||||
Saudi Arabia | Goldman Sachs International | 63,340 | 1.00% (pays quarterly)(1) |
12/20/31 | (678,887 | ) | 168,560 | (510,327 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total |
|
$ | 637,318 | $ | (1,953,634 | ) | $ | (1,316,316 | ) | |||||||||||||||
|
|
|
|
|
|
* | 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 January 31, 2022, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $162,990,000. |
37
** | 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 markets perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as Defaulted indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Total Return Swaps
Counterparty |
Notional Amount (000s omitted) |
Portfolio |
Portfolio Pays |
Termination Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||
Bank of America, N.A. | USD | 8,394 | Market value of 11,251,978 common shares of AI Yah Satellite Communications Company in USD (pays monthly) | Notional amount plus 1-month USD-LIBOR + 0.75% on Notional Amount (pays monthly) | 8/12/22 | $ | (149,791 | ) | ||||||||||
Bank of America, N.A. | USD | 155,100 | Positive Return on BofA Merrill Lynch Commodity Excess Return Strategy Index (pays upon termination) | Negative Return on BofA Merrill Lynch Commodity Excess Return Strategy Index + 0.14% (pays upon termination) | 3/14/22 | (694,011 | ) | |||||||||||
Citibank, N.A. | USD | 155,100 | Positive Return on Bloomberg Commodity City Congestion Alfa Index (pays monthly) |
Negative Return on Bloomberg Commodity City Congestion Alfa Index + 0.13% (pays monthly) | 3/14/22 | (1,307,130 | ) | |||||||||||
Citibank, N.A. | USD | 103,500 | Excess Return on Bloomberg Commodity ex-Natural Gas Index 4 Month Forward (pays upon termination) | Excess Return on Bloomberg Commodity ex-Natural Gas Index + 0.18% (pays upon termination) | 4/6/22 | (1,113,624 | ) | |||||||||||
Citibank, N.A. | USD | 47,800 | Excess Return on Bloomberg Commodity ex-Natural Gas Index 5 Month Forward (pays upon termination) | Excess Return on Bloomberg Commodity ex-Natural Gas Index + 0.18% (pays upon termination) | 4/6/22 | (724,763 | ) | |||||||||||
Citibank, N.A. | USD | 89,000 | Excess Return on Bloomberg Commodity ex-Natural Gas Index 5 Month Forward (pays upon termination) | Excess Return on Bloomberg Commodity ex-Natural Gas Index + 0.18% (pays upon termination) | 4/6/22 | (1,349,451 | ) | |||||||||||
Citibank, N.A. | USD | 191,200 | Excess Return on Bloomberg Commodity ex-Natural Gas Index 5 Month Forward (pays upon termination) | Excess Return on Bloomberg Commodity ex-Natural Gas Index + 0.18% (pays upon termination) | 4/6/22 | (2,899,046 | ) |
38
Counterparty |
Notional Amount (000s omitted) |
Portfolio |
Portfolio Pays |
Termination Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||
Citibank, N.A. | USD | 80,200 | Excess Return on Bloomberg Commodity ex-Natural Gas Index 6 Month Forward (pays upon termination) | Excess Return on Bloomberg Commodity ex-Natural Gas Index + 0.18% (pays upon termination) | 4/6/22 | $ | (1,223,601 | ) | ||||||||||
Citibank, N.A. | KRW | 51,250 | Negative Return on KOSPI 200 Index Futures 3/2022 (pays upon termination) | Positive Return on KOSPI 200 Index Futures 3/2022 (pays upon termination) | 3/10/22 | 1,669,360 | ||||||||||||
|
|
|||||||||||||||||
$ | (7,792,057 | ) | ||||||||||||||||
|
|
Abbreviations:
ADR |
- | American Depositary Receipt | ||
EURIBOR |
- | Euro Interbank Offered Rate | ||
GDP |
- | Gross Domestic Product | ||
LIBOR |
- | London Interbank Offered Rate | ||
PIK |
- | Payment in Kind |
Currency Abbreviations:
AED |
- | United Arab Emirates Dirham | ||
AUD |
- | Australian Dollar | ||
BHD |
- | Bahraini Dinar | ||
BRL |
- | Brazilian Real | ||
CAD |
- | Canadian Dollar | ||
CLP |
- | Chilean Peso | ||
CNH |
- | Yuan Renminbi Offshore | ||
CNY |
- | Yuan Renminbi | ||
COP |
- | Colombian Peso | ||
CRC |
- | Costa Rican Colon | ||
CZK |
- | Czech Koruna | ||
EGP |
- | Egyptian Pound | ||
EUR |
- | Euro | ||
GBP |
- | British Pound Sterling | ||
HUF |
- | Hungarian Forint | ||
IDR |
- | Indonesian Rupiah | ||
INR |
- | Indian Rupee | ||
ISK |
- | Icelandic Krona | ||
JPY |
- | Japanese Yen | ||
KES |
- | Kenyan Shilling | ||
KRW |
- | South Korean Won |
MXN |
- | Mexican Peso | ||
MYR |
- | Malaysian Ringgit | ||
NOK |
- | Norwegian Krone | ||
NZD |
- | New Zealand Dollar | ||
OMR |
- | Omani Rial | ||
PEN |
- | Peruvian Sol | ||
PHP |
- | Philippine Peso | ||
PLN |
- | Polish Zloty | ||
RSD |
- | Serbian Dinar | ||
RUB |
- | Russian Ruble | ||
SAR |
- | Saudi Riyal | ||
SGD |
- | Singapore Dollar | ||
THB |
- | Thai Baht | ||
TWD |
- | New Taiwan Dollar | ||
UAH |
- | Ukrainian Hryvnia | ||
UGX |
- | Ugandan Shilling | ||
USD |
- | United States Dollar | ||
UYU |
- | Uruguayan Peso | ||
UZS |
- | Uzbekistani Som | ||
ZAR |
- | South African Rand | ||
ZMW |
- | Zambian Kwacha |
39
Basis for Consolidation
The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMAP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at January 31, 2022 were $96,131,922 or 4.0% of the Portfolios consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.
At January 31, 2022, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Commodity Risk: The Portfolio invested in commodities-linked derivative instruments, including commodity futures contracts and total return swap contracts based on commodity indices, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative instruments are used to enhance total return and/or as a substitute for the purchase or sale of commodities and to manage certain investment risks.
Credit Risk: The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return or as a substitute for the purchase or sale of securities.
Equity Price Risk: The Portfolio enters into equity index futures contracts and total return swaps to enhance total return and/or to manage certain investment risks.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including non-deliverable bond forward contracts, interest rate futures contracts, interest rate swaps and swaptions, inflation swaps and options contracts to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.
Restricted Securities
At January 31, 2022, the Portfolio owned the following securities (representing 0.6% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
Description | Date of Acquisition |
Shares | Cost | Value | ||||||||||||
Reinsurance Side Cars |
||||||||||||||||
Mt. Logan Re Ltd., Series A-1 |
12/30/20 | 8,600 | $ | 8,600,000 | $ | 8,000,291 | ||||||||||
Sussex Capital, Ltd., Designated Investment Series 14, 12/21 |
1/24/22 | 1,114 | | 1,107,140 | ||||||||||||
Sussex Capital, Ltd., Series 14, Preference Shares |
6/1/21 | 7,500 | 7,500,000 | 6,331,480 | ||||||||||||
|
|
|
|
|||||||||||||
Total Restricted Securities |
$ | 16,100,000 | $ | 15,438,911 | ||||||||||||
|
|
|
|
At January 31, 2022, the value of the Portfolios investment in affiliated funds was $124,711,233, which represents 5.2% of the Portfolios net assets. Transactions in affiliated funds by the Portfolio for the fiscal year to date ended January 31, 2022 were as follows:
Name |
Value, beginning of period |
Purchases | Sales proceeds |
Net realized gain (loss) |
Change in unrealized appreciation (depreciation) |
Value, end of period |
Dividend income |
Units, end of period |
||||||||||||||||||||||||
Short-Term Investments |
||||||||||||||||||||||||||||||||
Eaton Vance Cash Reserves Fund, LLC |
$ 244,492,544 | $ 637,023,745 | $ (756,777,420 | ) | $ (27,636 | ) | $ | $ 124,711,233 | $ 54,377 | 124,723,706 |
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
| Level 1 quoted prices in active markets for identical investments |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
40
| Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At January 31, 2022, the hierarchy of inputs used in valuing the Portfolios investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset-Backed Securities |
$ | | $ | 51,253,338 | $ | | $ | 51,253,338 | ||||||||
Collateralized Mortgage Obligations |
| 5,413,691 | | 5,413,691 | ||||||||||||
U.S. Government Guaranteed Small Business Administration Loans |
| 24,879,231 | | 24,879,231 | ||||||||||||
Convertible Bonds |
| 8,973,344 | | 8,973,344 | ||||||||||||
Foreign Corporate Bonds |
| 229,050,578 | 0 | 229,050,578 | ||||||||||||
Loan Participation Notes |
| | 53,080,994 | 53,080,994 | ||||||||||||
Senior Floating-Rate Loans |
| 7,885,015 | 865,671 | 8,750,686 | ||||||||||||
Sovereign Government Bonds |
| 1,190,008,452 | | 1,190,008,452 | ||||||||||||
Sovereign Loans |
| 162,368,994 | | 162,368,994 | ||||||||||||
Common Stocks |
18,628,126 | 110,429,752 | * | 400,060 | 129,457,938 | |||||||||||
Reinsurance Side Cars |
| | 24,207,191 | 24,207,191 | ||||||||||||
Warrants |
77,773 | | | 77,773 | ||||||||||||
Short-Term Investments |
||||||||||||||||
Affiliated Fund |
| 124,711,233 | | 124,711,233 | ||||||||||||
Repurchase Agreements |
| 85,151,971 | | 85,151,971 | ||||||||||||
U.S. Treasury Obligations |
| 54,999,404 | | 54,999,404 | ||||||||||||
Purchased Interest Rate Swaptions |
| 50,584 | | 50,584 | ||||||||||||
Purchased Call Options |
| 434,072 | | 434,072 | ||||||||||||
Total Investments |
$ | 18,705,899 | $ | 2,055,609,659 | $ | 78,553,916 | $ | 2,152,869,474 | ||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 39,304,399 | $ | | $ | 39,304,399 | ||||||||
Non-deliverable Bond Forward Contracts |
| 530,232 | | 530,232 | ||||||||||||
Futures Contracts |
12,947,152 | | | 12,947,152 | ||||||||||||
Swap Contracts |
| 135,387,571 | | 135,387,571 | ||||||||||||
Total |
$ | 31,653,051 | $ | 2,230,831,861 | $ | 78,553,916 | $ | 2,341,038,828 | ||||||||
Liability Description | ||||||||||||||||
Securities Sold Short |
$ | | $ | (84,999,359 | ) | $ | | $ | (84,999,359 | ) | ||||||
Forward Foreign Currency Exchange Contracts |
| (33,181,217 | ) | | (33,181,217 | ) | ||||||||||
Non-deliverable Bond Forward Contracts |
| (2,526,555 | ) | | (2,526,555 | ) | ||||||||||
Futures Contracts |
(684,801 | ) | (391,162 | ) | | (1,075,963 | ) | |||||||||
Swap Contracts |
| (54,413,523 | ) | | (54,413,523 | ) | ||||||||||
Total |
$ | (684,801 | ) | $ | (175,511,816 | ) | $ | | $ | (176,196,617 | ) |
* | 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. |
41
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
|
Investments in Foreign Corporate Bonds |
Investments in Loan Participation Notes |
Investments in Senior Floating- Rate Loans |
Investments in Common Stocks |
Investments in Reinsurance Side Cars* |
Total | ||||||||||||||||||
Balance as of October 31, 2021 |
$ | 0 | $ | 55,266,184 | $ | 977,300 | $ | 390,302 | $ | 22,146,350 | $ | 78,780,136 | ||||||||||||
Realized gains (losses) |
| | | | | | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) |
| (2,076,324 | ) | (168,438 | ) | 9,758 | (69,159 | ) | (2,304,163 | ) | ||||||||||||||
Cost of purchases |
| | | | 7,100,000 | 7,100,000 | ||||||||||||||||||
Proceeds from sales, including return of capital |
| | | | (4,970,000 | ) | (4,970,000 | ) | ||||||||||||||||
Accrued discount (premium) |
| (108,866 | ) | 56,809 | | | (52,057 | ) | ||||||||||||||||
Transfers to Level 3 |
| | | | | | ||||||||||||||||||
Transfers from Level 3 |
| | | | | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Balance as of January 31, 2022 |
$ | 0 | $ | 53,080,994 | $ | 865,671 | $ | 400,060 | $ | 24,207,191 | $ | 78,553,916 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Change in net unrealized appreciation (depreciation) on investments still held as of January 31, 2022 |
$ | | $ | (2,076,324 | ) | $ | (168,438 | ) | $ | 9,758 | $ | (1,155,774 | ) | $ | (3,390,778 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | The Portfolios investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations. |
The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of January 31, 2022:
Type of Investment |
Fair Value as of January 31, 2022 |
Valuation |
Unobservable Input |
Input | Impact to Valuation from an Increase to Input* | |||||||||
Foreign Corporate Bonds |
$ | 0 | Estimated Recovery Value | Estimated Recovery Value Percentage | 0 | % | Increase | |||||||
Loan Participation Notes |
53,080,994 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 6.65 | % | Decrease | ||||||||
Senior Floating-Rate Loans |
865,671 | Market Approach | Discount Rate | 10 | % | Decrease | ||||||||
Common Stocks |
400,060 | Market Approach | EBITDA Multiple Discount Rate | 15 | % | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result in an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
For information on the Portfolios policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolios most recent financial statements included in its semiannual or annual report to shareholders.
42