Portfolio of Investments (unaudited)
As of January 31, 2022
Aberdeen Income Credit Strategies Fund
Principal Amount (000) or Shares | Description | Value (US$) | ||||||||
BANK LOANS—5.1% | ||||||||||
NORWAY—1.7% | ||||||||||
EUR | 3,500 | Silk Bidco AS, 8.00%, 06/11/2023 | $ | 3,918,078 | ||||||
UNITED KINGDOM—3.4% | ||||||||||
GBP | 2,000 | Constellation Automotive Ltd., 7.60%, 07/30/2029 | 2,705,481 | |||||||
EUR | 3,500 | EG Group Limited, 7.00%, 04/10/2027 | 3,941,906 | |||||||
GBP | 1,000 | Impala Holdings Ltd., 5.45%, 06/08/2028 | 1,339,016 | |||||||
7,986,403 | ||||||||||
UNITED STATES—0.0% | ||||||||||
USD | 4,000 | La Paloma Generating Co., LLC, Zero Coupon, 02/20/2022 (a)(b)(c)(d) | — | |||||||
Total Bank Loans — 5.1% (cost $16,260,055) | 11,904,481 | |||||||||
CORPORATE BONDS—156.1% | ||||||||||
ARGENTINA—1.3% | ||||||||||
USD | 3,120 | Telecom Argentina SA, 8.00%, 07/18/2023 (e)(f) | 2,925,000 | |||||||
BERMUDA—1.1% | ||||||||||
USD | 2,479 | Highlands Holdings Bond Issuer Ltd. / Highlands Holdings Bond Co-Issuer, Inc., 7.63%, 10/15/2022 (e)(f)(g) | 2,566,240 | |||||||
BRAZIL—1.1% | ||||||||||
USD | 3,000 | InterCement Financial Operations BV, 5.75%, 03/02/2022 (e)(f) | 2,636,280 | |||||||
CANADA—2.8% | ||||||||||
USD | 4,495 | Husky III Holding Ltd., 13.00%, 03/03/2022 (e)(f)(g) | 4,697,275 | |||||||
USD | 1,875 | Titan Acquisition Ltd. / Titan Co-Borrower LLC, 7.75%, 03/03/2022 (e)(f) | 1,910,156 | |||||||
6,607,431 | ||||||||||
CHINA—1.8% | ||||||||||
USD | 3,304 | China Evergrande Group, 9.50%, 04/11/2022 (e) | 545,160 | |||||||
USD | 1,700 | CIFI Holdings Group Co. Ltd., 6.55%, 03/28/2022 (e)(f) | 1,564,000 | |||||||
USD | 7,510 | Kaisa Group Holdings Ltd., 9.38%, 03/03/2022 (e)(f) | 2,008,925 | |||||||
4,118,085 | ||||||||||
DENMARK—0.9% | ||||||||||
USD | 2,000 | DKT Finance ApS, 9.38%, 02/11/2022 (e)(f) | 2,010,000 | |||||||
2,010,000 | ||||||||||
FRANCE—8.7% | ||||||||||
USD | 4,068 | Iliad Holding SASU, 7.00%, 10/15/2024 (e)(f) | 4,135,570 | |||||||
EUR | 3,017 | La Financiere Atalian SASU, 5.13%, 02/10/2022 (e)(f) | 3,233,162 | |||||||
GBP | 3,000 | La Financiere Atalian SASU, 6.63%, 02/10/2022 (e)(f) | 3,874,795 | |||||||
EUR | 5,950 | Novafives SAS, 5.00%, 02/10/2022 (e)(f) | 5,926,557 | |||||||
EUR | 2,600 | Picard Bondco SA, 5.38%, 07/01/2024 (e)(f) | 2,873,061 | |||||||
20,043,145 | ||||||||||
GEORGIA—0.2% | ||||||||||
USD | 526 | Bank of Georgia JSC, (fixed rate to 06/28/2024, variable rate thereafter), 11.13%, 06/28/2024 (e)(h) | 573,340 | |||||||
GERMANY—5.1% | ||||||||||
EUR | 1,800 | Aareal Bank AG, 6.64%, 04/30/2022 (e)(h)(i) | 2,036,386 | |||||||
EUR | 4,000 | ADLER Group SA, 3.25%, 05/05/2025 (e)(f) | 3,848,563 | |||||||
GBP | 1,600 | Deutsche Bank AG, (fixed rate to 04/30/2026, variable rate thereafter), 7.13%, 04/30/2026 (e)(h) | 2,246,240 | |||||||
EUR | 1,320 | HT Troplast GmbH, 9.25%, 07/15/2022 (e)(f) | 1,564,517 |
See accompanying Notes to Portfolio of Investments.
Portfolio of Investments (unaudited) (continued)
As of January 31, 2022
Aberdeen Income Credit Strategies Fund
Principal Amount (000) or Shares | Description | Value (US$) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
EUR | 2,500 | Standard Profil Automotive GmbH, 6.25%, 04/30/2023 (e)(f) | $ | 2,218,815 | ||||||
11,914,521 | ||||||||||
ITALY—1.7% | ||||||||||
EUR | 3,500 | Gamma Bondco Sarl, 8.13%, 11/15/2026 | 3,865,506 | |||||||
JAMAICA—1.4% | ||||||||||
USD | 3,173 | Digicel Group 0.5 Ltd., 10.00%, 02/15/2022 (f)(g) | 3,181,109 | |||||||
JAPAN—4.0% | ||||||||||
USD | 4,900 | SoftBank Group Corp., (fixed rate to 07/19/2023, variable rate thereafter), 6.00%, 07/19/2023 (e)(h) | 4,695,180 | |||||||
USD | 4,750 | SoftBank Group Corp., (fixed rate to 07/19/2023, variable rate thereafter), 6.00%, 07/19/2023 (e)(h) | 4,551,450 | |||||||
9,246,630 | ||||||||||
LUXEMBOURG—27.3% | ||||||||||
USD | 6,485 | Albion Financing 2SARL, 8.75%, 10/15/2023 (e)(f) | 6,436,363 | |||||||
EUR | 5,000 | Altice Finco SA, 4.75%, 10/15/2022 (e)(f) | 5,105,666 | |||||||
USD | 10,000 | Altice France Holding SA, 6.00%, 02/15/2023 (e)(f) | 9,126,500 | |||||||
GBP | 2,993 | Cidron Aida Finco SARL, 6.25%, 04/01/2024 (e)(f) | 3,868,411 | |||||||
GBP | 7,214 | Garfunkelux Holdco 3 SA, 7.75%, 11/01/2022 (e)(f) | 9,923,507 | |||||||
EUR | 2,000 | Herens Midco Sarl, 5.25%, 05/15/2024 (e)(f) | 2,030,681 | |||||||
EUR | 6,268 | Kleopatra Holdings 2 SCA, 6.50%, 03/01/2023 (e)(f) | 6,167,943 | |||||||
EUR | 6,161 | LHMC Finco 2 Sarl, 7.25%, 03/02/2022 (e)(f)(g) | 6,695,586 | |||||||
EUR | 5,150 | Monitchem HoldCo 2 SA, 9.50%, 09/15/2022 (e)(f) | 6,140,147 | |||||||
EUR | 6,397 | Summer BC Holdco A Sarl, 9.25%, 10/31/2022 (e)(f) | 7,598,757 | |||||||
63,093,561 | ||||||||||
MEXICO—5.0% | ||||||||||
USD | 1,079 | Braskem Idesa SAPI, 6.99%, 02/20/2027 (e)(f) | 1,070,908 | |||||||
EUR | 1,400 | Petroleos Mexicanos, 4.75%, 02/26/2029 (e) | 1,541,059 | |||||||
USD | 4,200 | Petroleos Mexicanos, 6.49%, 11/23/2026 (f) | 4,385,346 | |||||||
USD | 1,500 | Sixsigma Networks Mexico SA de CV, 7.50%, 03/03/2022 (e)(f) | 1,443,750 | |||||||
USD | 4,000 | Unifin Financiera SAB de CV, 8.38%, 01/27/2028 (e) | 2,372,000 | |||||||
USD | 2,000 | Unifin Financiera SAB de CV, (fixed rate to 01/29/2025, variable rate thereafter), 8.88%, 01/29/2025 (e)(h) | 865,020 | |||||||
11,678,083 | ||||||||||
NETHERLANDS—5.0% | ||||||||||
EUR | 4,300 | Sigma Holdco BV, 5.75%, 02/10/2022 (e)(f) | 4,342,584 | |||||||
EUR | 6,373 | Summer BidCo BV, 9.00%, 03/02/2022 (e)(f)(g) | 7,250,374 | |||||||
11,592,958 | ||||||||||
NIGERIA—1.3% | ||||||||||
USD | 2,860 | IHS Netherlands Holdco BV, 8.00%, 09/18/2022 (e)(f) | 2,995,850 | |||||||
SPAIN—1.2% | ||||||||||
EUR | 2,600 | Tendam Brands SAU, 5.00%, 02/10/2022 (e)(f) | 2,901,985 | |||||||
SWEDEN—3.1% | ||||||||||
EUR | 6,400 | DDM Debt AB, 9.00%, 04/19/2024 (e)(f) | 7,154,132 | |||||||
TURKEY—0.4% | ||||||||||
USD | 983 | Yapi ve Kredi Bankasi AS, (fixed rate to 01/22/2026, variable rate thereafter), 7.88%, 01/22/2026 (e)(f) | 978,046 |
See accompanying Notes to Portfolio of Investments.
Portfolio of Investments (unaudited) (continued)
As of January 31, 2022
Aberdeen Income Credit Strategies Fund
Principal Amount (000) or Shares | Description | Value (US$) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
UKRAINE—2.3% | ||||||||||
USD | 3,000 | Metinvest BV, 8.50%, 01/23/2026 (e)(f) | $ | 2,655,000 | ||||||
USD | 3,000 | MHP Lux SA, 6.95%, 04/03/2026 (e) | 2,655,000 | |||||||
5,310,000 | ||||||||||
UNITED ARAB EMIRATES—0.1% | ||||||||||
USD | 200 | Emirates Reit Sukuk Ltd., 5.13%, 12/12/2022 (e) | 158,000 | |||||||
UNITED KINGDOM—27.6% | ||||||||||
EUR | 2,700 | BCP V Modular Services Finance PLC, 6.75%, 11/30/2024 (e)(f) | 2,807,334 | |||||||
GBP | 640 | EnQuest PLC, 7.00%, 10/15/2023 (e)(g) | 846,256 | |||||||
USD | 13,187 | EnQuest PLC, 7.00%, 02/10/2022 (e)(g) | 12,494,779 | |||||||
GBP | 6,300 | Galaxy Finco Ltd., 9.25%, 07/17/2022 (e)(f) | 8,756,708 | |||||||
USD | 5,236 | Ithaca Energy North Sea PLC, 9.00%, 07/15/2023 (e)(f) | 5,379,990 | |||||||
USD | 1,700 | Jaguar Land Rover Automotive PLC, 4.50%, 07/01/2027 (e)(f) | 1,604,800 | |||||||
GBP | 3,198 | Metrocentre Finance, Senior Secured,, 11.00%, 12/06/2023 (a)(j) | 4,356,297 | |||||||
USD | 4,000 | Motion Bondco DAC, 6.63%, 11/15/2022 (e)(f) | 3,990,000 | |||||||
GBP | 2,740 | Punch Finance PLC, 6.13%, 06/30/2023 (e)(f) | 3,650,722 | |||||||
GBP | 2,000 | Stonegate Pub Co. Financing 2019 PLC, 8.00%, 07/13/2022 (e)(f) | 2,740,905 | |||||||
GBP | 3,095 | Very Group Funding PLC (The), 6.50%, 08/01/2023 (e)(f) | 4,131,245 | |||||||
GBP | 6,000 | Voyage Care BondCo PLC, 10.00%, 03/02/2022 (e)(f) | 8,028,545 | |||||||
GBP | 3,783 | Wheel Bidco Ltd., 6.75%, 07/15/2023 (e)(f) | 4,998,719 | |||||||
63,786,300 | ||||||||||
UNITED STATES—51.7% | ||||||||||
USD | 4,808 | 99 Escrow Issuer, Inc., 7.50%, 01/15/2023 (e)(f) | 3,642,060 | |||||||
USD | 2,023 | Adams Homes, Inc., 7.50%, 02/16/2022 (e)(f) | 2,083,690 | |||||||
USD | 1,087 | Adient US LLC, 9.00%, 04/15/2022 (e)(f) | 1,151,894 | |||||||
USD | 1,819 | Aethon United BR LP / Aethon United Finance Corp., 8.25%, 02/15/2023 (e)(f) | 1,915,643 | |||||||
USD | 2,139 | Affinity Gaming, 6.88%, 12/01/2023 (e)(f) | 2,171,085 | |||||||
USD | 2,581 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 8.25%, 02/01/2024 (e)(f) | 2,703,597 | |||||||
USD | 5,015 | ASP Unifrax Holdings, Inc., 7.50%, 09/30/2024 (e)(f) | 4,858,281 | |||||||
USD | 1,904 | Austin BidCo, Inc., 7.13%, 12/15/2023 (e)(f) | 1,932,560 | |||||||
EUR | 4,200 | Banff Merger Sub, Inc., 8.38%, 02/10/2022 (e)(f) | 4,869,115 | |||||||
USD | 1,459 | Bausch Health Cos., Inc., 6.13%, 02/01/2027 | 1,464,471 | |||||||
USD | 2,639 | Carnival Corp., 6.00%, 11/01/2024 (e)(f) | 2,538,718 | |||||||
USD | 324 | Carnival Corp., 7.63%, 03/01/2024 (e)(f) | 330,480 | |||||||
EUR | 1,850 | Carnival Corp., 10.13%, 08/01/2023 (e)(f) | 2,308,294 | |||||||
USD | 4,667 | Cengage Learning, Inc., 9.50%, 03/03/2022 (e)(f) | 4,686,228 | |||||||
USD | 1,730 | Cimpress PLC, 7.00%, 03/03/2022 (e)(f) | 1,778,319 | |||||||
USD | 1,750 | Colgate Energy Partners III LLC, 5.88%, 07/01/2024 (e)(f) | 1,778,437 | |||||||
USD | 1,200 | Colgate Energy Partners III LLC, 7.75%, 02/15/2024 (e)(f) | 1,287,000 | |||||||
USD | 913 | Consensus Cloud Solutions, Inc., 6.00%, 10/15/2023 (e)(f) | 940,573 | |||||||
USD | 2,576 | Consensus Cloud Solutions, Inc., 6.50%, 10/15/2026 (e)(f) | 2,641,984 | |||||||
USD | 3,235 | Embarq Corp., 8.00%, 06/01/2036 | 3,330,044 | |||||||
USD | 3,088 | Frontier Communications Holdings LLC, 6.00%, 10/15/2024 (e)(f) | 2,980,538 | |||||||
USD | 1,375 | FXI Holdings, Inc., 7.88%, 03/03/2022 (e)(f) | 1,390,400 | |||||||
USD | 3,279 | FXI Holdings, Inc., 12.25%, 11/15/2022 (e)(f) | 3,591,259 | |||||||
USD | 425 | Howard Midstream Energy Partners LLC, 6.75%, 01/15/2024 (e)(f) | 436,025 | |||||||
USD | 3,825 | ITT Holdings LLC, 6.50%, 08/01/2024 (e)(f) | 3,669,820 | |||||||
USD | 3,823 | LD Holdings Group LLC, 6.13%, 04/01/2024 (e)(f) | 3,398,532 | |||||||
USD | 3,506 | MajorDrive Holdings IV LLC, 6.38%, 06/01/2024 (e)(f) | 3,330,700 | |||||||
USD | 4,324 | Mauser Packaging Solutions Holding Co., 7.25%, 03/03/2022 (e)(f) | 4,296,889 | |||||||
USD | 934 | Michaels Cos Inc.(The), 5.25%, 11/01/2023 (e)(f) | 899,377 |
See accompanying Notes to Portfolio of Investments.
Portfolio of Investments (unaudited) (continued)
As of January 31, 2022
Aberdeen Income Credit Strategies Fund
Principal Amount (000) or Shares | Description | Value (US$) | ||||||||
CORPORATE BONDS (continued) | ||||||||||
USD | 3,110 | Millennium Escrow Corp., 6.63%, 08/01/2023 (e)(f) | $ | 3,083,752 | ||||||
USD | 2,853 | Minerva Merger Sub, Inc., 6.50%, 02/15/2030 | 2,845,867 | |||||||
USD | 2,567 | Moss Creek Resources Holdings, Inc., 7.50%, 03/03/2022 (e)(f) | 2,349,370 | |||||||
USD | 548 | Moss Creek Resources Holdings, Inc., 10.50%, 05/15/2022 (e)(f) | 537,418 | |||||||
USD | 4,074 | Nabors Industries, Inc., 5.10%, 06/15/2023 (f) | 4,155,480 | |||||||
USD | 965 | Nabors Industries, Inc., 7.38%, 05/15/2024 (e)(f) | 990,225 | |||||||
USD | 721 | NCL Corp. Ltd., 5.88%, 12/15/2025 (e)(f) | 686,753 | |||||||
USD | 768 | NCL Corp. Ltd., 10.25%, 08/01/2023 (e)(f) | 869,760 | |||||||
USD | 4,814 | New Enterprise Stone & Lime Co., Inc., 9.75%, 07/15/2023 (e)(f) | 5,066,735 | |||||||
USD | 3,154 | Photo Holdings Merger Sub, Inc., 8.50%, 10/01/2022 (e)(f) | 3,185,414 | |||||||
USD | 6,649 | Qwest Capital Funding, Inc., 6.88%, 07/15/2028 | 6,981,450 | |||||||
USD | 1,070 | Qwest Capital Funding, Inc., 7.75%, 02/15/2031 | 1,139,550 | |||||||
USD | 8,205 | Staples, Inc., 10.75%, 04/15/2022 (e)(f) | 7,647,716 | |||||||
USD | 2,870 | Viking Cruises Ltd., 5.88%, 09/15/2022 (e)(f) | 2,618,875 | |||||||
USD | 1,192 | Waldorf Production UK Ltd., 9.75%, 04/01/2023 | 1,203,583 | |||||||
USD | 3,687 | Weatherford International Ltd., 8.63%, 10/30/2024 (e)(f) | 3,751,522 | |||||||
119,519,483 | ||||||||||
ZAMBIA—1.0% | ||||||||||
USD | 2,151 | First Quantum Minerals Ltd., 6.88%, 02/11/2022 (e)(f) | 2,220,907 | |||||||
Total Corporate Bonds — 156.1% (cost $378,435,014) | 361,076,592 | |||||||||
COMMON STOCK—0.2% | ||||||||||
UNITED STATES—0.2% | ||||||||||
USD | 9,723 | California Resources Corp.(c) | 414,394 | |||||||
414,394 | ||||||||||
Total Common Stocks — 0.2% (cost $145,845) | 414,394 | |||||||||
WARRANT—0.1% | ||||||||||
UNITED STATES—0.1% | ||||||||||
USD | 22,363 | California Resources Corp.(c) | 335,445 | |||||||
335,445 | ||||||||||
Total Warrants — 0.1% (cost $—) | 335,445 | |||||||||
SHORT-TERM INVESTMENT—3.4% | ||||||||||
UNITED STATES—3.4% | ||||||||||
USD | 7,726,080 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.03%(k) | 7,726,080 | |||||||
Total Short-Term Investment — 3.4% (cost $7,726,080) | 7,726,080 | |||||||||
Total Investments — 164.9% (cost $402,566,994) | 381,456,992 | |||||||||
Liabilities in Excess of Other Assets — (64.9)% | (150,115,103 | ) | ||||||||
Net Assets—100.0% | $ | 231,341,889 |
(a) | Level 3 security. See Note (a) of the accompanying Notes to Portfolio of Investments. |
(b) | Escrow Security. |
(c) | Non-income producing security. |
(d) | Security is in default. |
(e) | Denotes a security issued under Regulation S or Rule 144A. |
(f) | The maturity date presented for these instruments represents the next call/put date. |
See accompanying Notes to Portfolio of Investments.
Portfolio of Investments (unaudited) (concluded)
As of January 31, 2022
Aberdeen Income Credit Strategies Fund
(g) | Payment-in-kind. This is a type of bond that pays interest in additional bonds rather than in cash. |
(h) | Perpetual bond. This is a bond that has no maturity date, is redeemable and pays a steady stream of interest indefinitely. The maturity date presented for these instruments represents the next call/put date. |
(i) | Variable Rate Instrument. The rate shown is based on the latest available information as of January 31, 2022. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(j) | Illiquid security. |
(k) | Registered investment company advised by State Street Global Advisors. The rate shown is the 7 day yield as of January 31, 2022. |
EUR—Euro Currency
GBP—British Pound Sterling
USD—U.S. Dollar
At January 31, 2022, the Fund's open forward foreign currency exchange contracts were as follows:
Purchase Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
British Pound/United States Dollar | ||||||||||||||||||||||
02/22/2022 | Goldman Sachs & Co. | GBP | 2,855,000 | USD | 3,836,414 | $ | 3,839,189 | $ | 2,775 | |||||||||||||
02/22/2022 | UBS AG | GBP | 9,064,000 | USD | 12,367,022 | 12,188,585 | (178,437 | ) | ||||||||||||||
Euro/United States Dollar | ||||||||||||||||||||||
02/22/2022 | Citibank N.A. | EUR | 400,000 | USD | 446,424 | 449,559 | 3,135 | |||||||||||||||
$ | 16,477,333 | $ | (172,527 | ) |
Sale Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
United States Dollar/British Pound | ||||||||||||||||||||||
02/22/2022 | Citibank N.A. | USD | 79,126,401 | GBP | 58,058,000 | $ | 78,072,027 | $ | 1,054,374 | |||||||||||||
United States Dollar/Euro | ||||||||||||||||||||||
02/22/2022 | Royal Bank of Canada | USD | 100,331,408 | EUR | 88,325,000 | 99,268,333 | 1,063,075 | |||||||||||||||
02/22/2022 | UBS AG | USD | 4,501,167 | EUR | 3,979,000 | 4,471,992 | 29,175 | |||||||||||||||
$ | 181,812,352 | $ | 2,146,624 |
* Certain contracts with different trade dates and like characteristics have been shown net.
See accompanying Notes to Portfolio of Investments.
Notes to Portfolio of Investments (unaudited)
January 31, 2022
Summary of Significant Accounting Policies
1. Security Valuation:
The Fund values its securities at current market value or fair value, consistent with regulatory requirements. "Fair value" is defined in the Fund's Valuation and Liquidity Procedures as the price that could be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants without a compulsion to transact at the measurement date.
Long-term debt and other fixed-income securities are valued at the last quoted or evaluated bid price on the valuation date provided by an independent pricing service provider approved by the Board. If there are no current day bids, the security is valued at the previously applied bid. Pricing services generally price debt securities assuming orderly transactions of an institutional “round lot” size and the strategies employed by the Fund’s investment adviser generally trade in round lot sizes. In certain circumstances, some trades may occur in smaller “odd lot” sizes which may be effected at lower or higher prices than institutional round lot trades. Short-term debt securities (such as commercial paper and U.S. treasury bills) having a remaining maturity of 60 days or less are valued at the last quoted or evaluated bid price on the valuation date provided by an independent pricing service, or on the basis of amortized cost, if it represents the best approximation of fair value. Debt and other fixed-income securities are generally determined to be Level 2 investments.
Short-term investments are comprised of cash and cash equivalents invested in short-term investment funds which are redeemable daily. The Fund sweeps available cash into the State Street Institutional U.S. Government Money Market Fund, which has elected to qualify as a “government money market fund” pursuant to Rule 2a-7 under the 1940 Act, and has an objective, which is not guaranteed, to maintain a $1.00 per share net asset value. Generally, these investment types are categorized as Level 1 investments.
Derivative instruments are valued at fair value. Exchange traded futures are generally Level 1 investments and centrally cleared swaps and forwards are generally Level 2 investments. Forward foreign currency contracts are generally valued based on the bid price of the forward rates and the current spot rate. Forward exchange rate quotations are available for scheduled settlement dates, such as 1-, 3-, 6-, 9- and 12- month periods. An interpolated valuation is derived based on the actual settlement dates of the forward contracts held. Futures contracts are valued at the settlement price or at the last bid price if no settlement price is available. Swap agreements are generally valued by an approved pricing agent based on the terms of the swap agreement (including future cash flows).
In the event that a security’s market quotations are not readily available or are deemed unreliable (for reasons other than because the foreign exchange on which they trade closed before the “Valuation Time”), the security is valued at fair value as determined by the Fund’s Pricing Committee, taking into account the relevant factors and surrounding circumstances using valuation policies and procedures approved by the Board. Under normal circumstances, the Valuation Time is as of the close of regular trading on the New York Stock Exchange (“NYSE”) (usually 4:00 p.m. Eastern Time). A security that has been fair valued by the Fund’s Pricing Committee may be classified as Level 2 or Level 3 depending on the nature of the inputs. The three-level hierarchy of inputs is summarized below:
Level 1 – quoted prices in active markets for identical investments;
Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk); or
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).