PORTFOLIO OF INVESTMENTS as of September 30, 2022 (Unaudited)
Mirova Global Green Bond Fund
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes 90.8% of Net Assets |
||||||||
Canada 2.0% |
| |||||||
1,000,000 | Province of Ontario Canada, 1.950%, 1/27/2023, (CAD) |
$ | 719,868 | |||||
50,000 | Province of Quebec Canada, 2.600%, 7/06/2025, (CAD) |
35,001 | ||||||
|
|
|||||||
754,869 | ||||||||
|
|
|||||||
Chile 1.7% |
| |||||||
500,000 | Chile Government International Bond, 1.250%, 1/29/2040, (EUR) |
298,180 | ||||||
500,000 | Chile Government International Bond, 3.500%, 1/25/2050 |
339,628 | ||||||
|
|
|||||||
637,808 | ||||||||
|
|
|||||||
Denmark 2.7% |
| |||||||
500,000 | Orsted A/S, 1.500%, 11/26/2029, (EUR) |
427,003 | ||||||
200,000 | Orsted A/S, (fixed rate to 9/09/2027, variable rate thereafter), 1.750%, 12/09/3019, (EUR) |
164,502 | ||||||
500,000 | Vestas Wind Systems Finance BV, EMTN, 1.500%, 6/15/2029, (EUR) |
425,414 | ||||||
|
|
|||||||
1,016,919 | ||||||||
|
|
|||||||
Finland 1.2% |
| |||||||
400,000 | Citycon OYJ, (fixed rate to 11/24/2024, variable rate thereafter), 4.496%, (EUR)(a) |
282,842 | ||||||
200,000 | VR-Yhtyma Oyj, 2.375%, 5/30/2029, (EUR) |
172,061 | ||||||
|
|
|||||||
454,903 | ||||||||
|
|
|||||||
France 7.9% |
| |||||||
400,000 | Altarea SCA, 1.750%, 1/16/2030, (EUR) |
247,347 | ||||||
400,000 | Cie de Saint-Gobain, EMTN, 2.125%, 6/10/2028, (EUR) |
358,136 | ||||||
400,000 | Covivio, 1.125%, 9/17/2031, (EUR) |
289,486 | ||||||
200,000 | Derichebourg S.A., 2.250%, 7/15/2028, (EUR) |
153,068 | ||||||
200,000 | Faurecia SE, 2.375%, 6/15/2029, (EUR) |
132,122 | ||||||
700,000 | France Government Bond OAT, 1.750%, 6/25/2039, 144A, (EUR) |
577,355 | ||||||
100,000 | Getlink SE, 3.500%, 10/30/2025, (EUR) |
89,185 | ||||||
600,000 | ICADE, 1.500%, 9/13/2027, (EUR) |
514,793 | ||||||
300,000 | Seche Environnement S.A., 2.250%, 11/15/2028, (EUR) |
234,768 | ||||||
600,000 | Societe du Grand Paris EPIC, EMTN, 1.700%, 5/25/2050, (EUR) |
419,895 | ||||||
|
|
|||||||
3,016,155 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Germany 10.4% |
| |||||||
700,000 | BayWa AG, EMTN, 3.125%, 6/26/2024, (EUR) |
$ | 682,995 | |||||
2,500,000 | Bundesrepublik Deutschland Bundesanleihe, Series G, Zero Coupon, 1.719%-1.874%, 8/15/2050, (EUR)(b) |
1,377,245 | ||||||
500,000 | E.ON SE, EMTN, 0.350%, 2/28/2030, (EUR) |
371,595 | ||||||
500,000 | EnBW Energie Baden-Wuerttemberg AG, (fixed rate to 3/30/2026, variable rate thereafter), 1.875%, 6/29/2080, (EUR) |
396,529 | ||||||
400,000 | Evonik Industries AG, (fixed rate to 9/02/2026, variable rate thereafter), 1.375%, 9/02/2081, (EUR) |
295,975 | ||||||
500,000 | Evonik Industries AG, EMTN, 2.250%, 9/25/2027, (EUR) |
444,083 | ||||||
500,000 | Landesbank Baden-Wuerttemberg, Series 809, MTN, 0.375%, 7/29/2026, (EUR) |
429,024 | ||||||
|
|
|||||||
3,997,446 | ||||||||
|
|
|||||||
Hungary 1.1% |
| |||||||
700,000 | Hungary Government International Bond, 1.750%, 6/05/2035, (EUR) |
424,428 | ||||||
|
|
|||||||
Indonesia 2.6% |
| |||||||
500,000 | Perusahaan Penerbit SBSN Indonesia III, 3.750%, 3/01/2023 |
497,834 | ||||||
500,000 | Perusahaan Penerbit SBSN Indonesia III, MTN, 3.900%, 8/20/2024 |
494,520 | ||||||
|
|
|||||||
992,354 | ||||||||
|
|
|||||||
Ireland 0.5% |
| |||||||
300,000 | ESB Finance DAC, EMTN, 1.000%, 7/19/2034, (EUR) |
210,850 | ||||||
|
|
|||||||
Italy 5.5% |
| |||||||
400,000 | A2A SpA, EMTN, 1.000%, 7/16/2029, (EUR) |
306,936 | ||||||
600,000 | Assicurazioni Generali SpA, EMTN, 2.124%, 10/01/2030, (EUR) |
436,159 | ||||||
300,000 | ERG SpA, EMTN, 0.500%, 9/11/2027, (EUR) |
246,854 | ||||||
400,000 | Hera SpA, EMTN, 2.500%, 5/25/2029, (EUR) |
348,069 | ||||||
1,300,000 | Italy Buoni Poliennali Del Tesoro, 1.500%, 4/30/2045, 144A, (EUR) |
750,371 | ||||||
|
|
|||||||
2,088,389 | ||||||||
|
|
|||||||
Japan 1.1% |
| |||||||
500,000 | Denso Corp., 1.239%, 9/16/2026 |
431,122 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Korea 4.3% |
| |||||||
$ | 400,000 | Kia Corp., 1.750%, 10/16/2026 |
$ | 344,807 | ||||
400,000 | Kookmin Bank, GMTN, 4.500%, 2/01/2029 |
376,788 | ||||||
600,000 | Korea International Bond, Zero Coupon, 0.000%, 10/15/2026, (EUR)(c) |
515,932 | ||||||
400,000 | Korea Water Resources Corp., EMTN, 3.875%, 5/15/2023 |
398,208 | ||||||
|
|
|||||||
1,635,735 | ||||||||
|
|
|||||||
Lithuania 2.0% |
| |||||||
500,000 | AB Ignitis Grupe, EMTN, 1.875%, 7/10/2028, (EUR) |
409,773 | ||||||
400,000 | AB Ignitis Grupe, EMTN, 2.000%, 7/14/2027, (EUR) |
341,293 | ||||||
|
|
|||||||
751,066 | ||||||||
|
|
|||||||
Mexico 1.8% |
| |||||||
800,000 | Mexico Government International Bond, 1.350%, 9/18/2027, (EUR) |
680,813 | ||||||
|
|
|||||||
Netherlands 6.8% |
| |||||||
200,000 | ABB Finance BV, EMTN, Zero Coupon, 0.282%, 1/19/2030, (EUR)(c) |
148,110 | ||||||
400,000 | CTP NV, EMTN, 2.125%, 10/01/2025, (EUR) |
348,259 | ||||||
400,000 | de Volksbank NV, EMTN, 0.375%, 3/03/2028, (EUR) |
312,779 | ||||||
500,000 | de Volksbank NV, (fixed rate to 12/15/2027, variable rate thereafter), 7.000%, (EUR)(a) |
411,621 | ||||||
600,000 | de Volksbank NV, EMTN, (fixed rate to 10/22/2025, variable rate thereafter), 1.750%, 10/22/2030, (EUR) |
521,246 | ||||||
500,000 | Koninklijke Philips NV, EMTN, 2.125%, 11/05/2029, (EUR) |
428,253 | ||||||
300,000 | Stedin Holding NV, EMTN, 2.375%, 6/03/2030, (EUR) |
263,546 | ||||||
150,000 | TenneT Holding BV, EMTN, 1.250%, 10/24/2033, (EUR) |
111,521 | ||||||
100,000 | TenneT Holding BV, EMTN, 1.875%, 6/13/2036, (EUR) |
75,284 | ||||||
|
|
|||||||
2,620,619 | ||||||||
|
|
|||||||
Portugal 0.8% |
| |||||||
400,000 | Ren Finance BV, EMTN, 0.500%, 4/16/2029, (EUR) |
307,158 | ||||||
|
|
|||||||
Singapore 2.4% |
| |||||||
1,000,000 | Vena Energy Capital Pte Ltd., EMTN, 3.133%, 2/26/2025 |
919,308 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Spain 7.3% |
| |||||||
400,000 | Banco Bilbao Vizcaya Argentaria S.A., 1.000%, 6/21/2026, (EUR) |
$ | 352,771 | |||||
500,000 | Bankinter S.A., 0.625%, 10/06/2027, (EUR) |
397,343 | ||||||
400,000 | Iberdrola Finanzas S.A., EMTN, 1.375%, 3/11/2032, (EUR) |
320,726 | ||||||
500,000 | Iberdrola International BV, (fixed rate to 2/22/2023, variable rate thereafter), 1.875%, (EUR)(a) |
480,225 | ||||||
900,000 | Spain Government Bond, 1.000%, 7/30/2042, 144A, (EUR) |
566,890 | ||||||
500,000 | Telefonica Emisiones S.A., EMTN, 2.592%, 5/25/2031, (EUR) |
437,840 | ||||||
300,000 | Telefonica Europe BV, (fixed rate to 2/05/2027, variable rate thereafter), 2.502%, (EUR)(a) |
235,066 | ||||||
|
|
|||||||
2,790,861 | ||||||||
|
|
|||||||
Supranationals 8.9% |
| |||||||
3,700,000 | European Investment Bank, 2.375%, 5/24/2027 |
3,420,095 | ||||||
|
|
|||||||
Sweden 1.9% |
| |||||||
500,000 | Vattenfall AB, EMTN, 0.125%, 2/12/2029, (EUR) |
394,737 | ||||||
400,000 | Volvo Car AB, EMTN, 2.500%, 10/07/2027, (EUR) |
324,025 | ||||||
|
|
|||||||
718,762 | ||||||||
|
|
|||||||
United Kingdom 7.1% |
| |||||||
500,000 | Anglian Water Services Financing PLC, EMTN, 1.625%, 8/10/2025, (GBP) |
494,193 | ||||||
500,000 | SSE PLC, EMTN, 1.375%, 9/04/2027, (EUR) |
436,675 | ||||||
300,000 | SSE PLC, EMTN, 2.875%, 8/01/2029, (EUR) |
269,606 | ||||||
400,000 | Thames Water Utilities Finance PLC, 0.875%, 1/31/2028, (EUR) |
323,450 | ||||||
1,500,000 | United Kingdom Gilt, 0.875%, 7/31/2033, (GBP) |
1,190,465 | ||||||
|
|
|||||||
2,714,389 | ||||||||
|
|
|||||||
United States 10.8% |
| |||||||
500,000 | Air Products & Chemicals, Inc., 2.050%, 5/15/2030 |
408,885 | ||||||
600,000 | Digital Dutch Finco BV, 1.500%, 3/15/2030, (EUR) |
449,902 | ||||||
600,000 | Digital Euro Finco LLC, 2.500%, 1/16/2026, (EUR) |
544,334 | ||||||
300,000 | Digital Intrepid Holding BV, 0.625%, 7/15/2031, (EUR) |
196,115 | ||||||
200,000 | DTE Electric Co., 3.950%, 3/01/2049 |
160,378 | ||||||
500,000 | Equinix, Inc., 0.250%, 3/15/2027, (EUR) |
412,687 | ||||||
400,000 | Ford Motor Co., 3.250%, 2/12/2032 |
288,132 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
United States continued |
| |||||||
$ | 400,000 | Southern Power Co., 4.150%, 12/01/2025 |
$ | 386,042 | ||||
200,000 | Thermo Fisher Scientific, Inc., 4.100%, 8/15/2047 |
168,889 | ||||||
700,000 | Verizon Communications, Inc., 3.875%, 2/08/2029 |
639,017 | ||||||
600,000 | Wabtec Transportation Netherlands BV, 1.250%, 12/03/2027, (EUR) |
473,076 | ||||||
|
|
|||||||
4,127,457 | ||||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $44,344,376) |
34,711,506 | |||||||
|
|
|||||||
Short-Term Investments 3.1% |
||||||||
1,166,406 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2022 at 1.100% to be repurchased at $1,166,512 on 10/03/2022 collateralized by $1,213,200 U.S. Treasury
Note, 3.500% due 9/15/2025 valued at $1,189,789 including accrued interest(d) (Identified Cost $1,166,406) |
1,166,406 | ||||||
|
|
|||||||
Total Investments 93.9% (Identified Cost $45,510,782) |
35,877,912 | |||||||
Other assets less liabilities 6.1% | 2,340,915 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 38,218,827 | ||||||
|
|
() | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Funds Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Boards oversight. |
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.
The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Funds investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Funds net asset value (NAV) is calculated. Fair valuation by the Funds valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
(a) | Perpetual bond with no specified maturity date. |
(b) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Funds investment in this security is comprised of various lots with differing annualized yields. |
(c) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(d) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds ability to dispose of the underlying securities. As of September 30, 2022, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, the value of Rule 144A holdings amounted to $1,894,616 or 5.0% of net assets. |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
CAD | Canadian Dollar |
EUR | Euro |
GBP | British Pound |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2022, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
Euro-Buxl® 30 Year Bond |
12/08/2022 | 4 | $ | 629,270 | $ | 574,858 | $ | (54,412 | ) | |||||||||||
|
|
At September 30, 2022, open short futures contracts were as follows:
Financial and Currency Futures |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
5 Year U.S. Treasury Note |
12/30/2022 | 4 | $ | 426,656 | $ | 430,032 | $ | (3,376 | ) | |||||||||||
British Pound |
12/19/2022 | 25 | 1,838,125 | 1,747,031 | 91,094 | |||||||||||||||
Canadian Dollar |
12/20/2022 | 11 | 846,219 | 796,345 | 49,874 | |||||||||||||||
Euro |
12/19/2022 | 203 | 25,574,440 | 25,023,556 | 550,884 | |||||||||||||||
Euro Schatz |
12/08/2022 | 27 | 2,839,705 | 2,835,731 | 3,974 | |||||||||||||||
German Euro BOBL |
12/08/2022 | 14 | 1,661,087 | 1,643,054 | 18,033 | |||||||||||||||
|
|
|||||||||||||||||||
Total |
|
$ | 710,483 | |||||||||||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Funds valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2022, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* |
$ | | $ | 34,711,506 | $ | | $ | 34,711,506 | ||||||||
Short-Term Investments |
| 1,166,406 | | 1,166,406 | ||||||||||||
Total Investments |
| 35,877,912 | | 35,877,912 | ||||||||||||
Futures Contracts (unrealized appreciation) |
713,859 | | | 713,859 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 713,859 | $ | 35,877,912 | $ | | $ | 36,591,771 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) |
$ | (57,788 | ) | $ | | $ | | $ | (57,788 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts.
The Fund seeks to provide total return, through a combination of capital appreciation and current income, by investing in green bonds. The Fund pursues its objective by primarily investing in fixed-income securities. In connection with its principal investment strategies, the Fund may also invest in various types of futures contracts for investment purposes. During the period ended September 30, 2022, the Fund used U.S. and foreign government bond futures to gain yield curve exposure.
The Fund is subject to the risk that changes in interest rates will affect the value of the Funds investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended September 30, 2022, the Fund used U.S. and foreign government bond futures to manage duration.
The Fund is also subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may use futures contracts for hedging purposes to protect the value of the Funds holdings of foreign securities. During the period ended September 30, 2022, the Fund used currency futures for hedging purposes.
The following is a summary of derivative instruments for the Fund, as of September 30, 2022:
Assets |
Unrealized appreciation on futures contracts |
|||
Exchange-traded asset derivatives |
||||
Interest rate contracts |
$ | 22,007 | ||
Foreign exchange contracts |
691,852 | |||
|
|
|||
Total exchange-traded asset derivatives |
$ | 713,859 | ||
|
|
Liabilities |
Unrealized depreciation on futures contracts |
|||
Exchange-traded liability derivatives |
||||
Interest rate contracts |
$ | (57,788 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of September 30, 2022:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss Net | |
$ 1,863,925 |
$1,863,925 |
Industry Summary at September 30, 2022 (Unaudited)
Government National |
17.7 | % | ||
Industrial |
15.7 | |||
Utility-Electric |
14.5 | |||
Special Purpose |
10.6 | |||
Supra-National |
8.9 | |||
Financial |
8.4 | |||
Bank |
7.2 | |||
Government Regional |
3.1 | |||
Telephone |
2.3 | |||
Government Agency |
1.0 | |||
Utility-Gas |
0.7 | |||
Transportation-Rail |
0.5 | |||
Transportation-Non Rail |
0.2 | |||
Short-Term Investments |
3.1 | |||
|
|
|||
Total Investments |
93.9 | |||
Other assets less liabilities (including futures contracts) |
6.1 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at September 30, 2022 (Unaudited)
Euro |
60.2 | % | ||
United States Dollar |
27.3 | |||
British Pound |
4.4 | |||
Canadian Dollar |
2.0 | |||
|
|
|||
Total Investments |
93.9 | |||
Other assets less liabilities (including futures contracts) |
6.1 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|