Principal Amount* | Value | ||||
Foreign Government and Agency Securities 51.9% | |||||
Argentina 2.4% | |||||
Argentina Treasury Bill, | |||||
Strip, 4/30/20 | 68,265,000 | ARS | $ 1,743,562 | ||
Strip, 7/31/20 | 4,372,000 | ARS | 97,129 | ||
Argentine Bonos del Tesoro, | |||||
18.20%, 10/03/21 | 252,627,000 | ARS | 4,197,425 | ||
16.00%, 10/17/23 | 283,431,000 | ARS | 4,877,655 | ||
senior note, 15.50%, 10/17/26 | 512,895,000 | ARS | 8,262,434 | ||
Government of Argentina, | |||||
a FRN, 54.47%, (ARPP7DRR), 6/21/20 | 3,380,000 | ARS | 86,395 | ||
a FRN, 44.503%, (ARS Badlar + 2.00%), 4/03/22 | 20,588,000 | ARS | 461,870 | ||
b Index Linked, 4.00%, 3/06/20 | 1,274,000 | ARS | 41,400 | ||
senior note, 4.50%, 2/13/20 | 2,821,000 | 2,595,673 | |||
22,363,543 | |||||
Brazil 12.5% | |||||
Brazil Notas do Tesouro Nacional, | |||||
10.00%, 1/01/21 | 73,235c | BRL | 19,526,413 | ||
10.00%, 1/01/23 | 6,218c | BRL | 1,677,335 | ||
10.00%, 1/01/25 | 75,193c | BRL | 20,370,878 | ||
10.00%, 1/01/27 | 162,730c | BRL | 44,083,658 | ||
Letra Tesouro Nacional, | |||||
Strip, 7/01/20 | 70,870c | BRL | 16,675,067 | ||
Strip, 7/01/21 | 74,890c | BRL | 16,251,299 | ||
118,584,650 | |||||
Colombia 1.5% | |||||
Government of Colombia, | |||||
senior bond, 7.75%, 4/14/21 | 983,000,000 | COP | 322,551 | ||
senior bond, 4.375%, 3/21/23 | 149,000,000 | COP | 44,544 | ||
senior bond, 9.85%, 6/28/27 | 237,000,000 | COP | 92,064 | ||
Titulos de Tesoreria, | |||||
B, 7.75%, 9/18/30 | 1,645,700,000 | COP | 562,455 | ||
senior bond, B, 11.00%, 7/24/20 | 1,144,000,000 | COP | 387,663 | ||
senior bond, B, 7.00%, 5/04/22 | 3,111,000,000 | COP | 1,023,971 | ||
senior bond, B, 10.00%, 7/24/24 | 12,183,000,000 | COP | 4,547,793 | ||
senior bond, B, 7.50%, 8/26/26 | 9,469,300,000 | COP | 3,210,161 | ||
senior bond, B, 6.00%, 4/28/28 | 13,320,000,000 | COP | 4,061,789 | ||
senior note, B, 7.00%, 9/11/19 | 1,258,000,000 | COP | 399,015 | ||
14,652,006 | |||||
Ghana 1.4% | |||||
Government of Ghana, | |||||
24.75%, 3/01/21 | 220,000 | GHS | 43,437 | ||
16.25%, 5/17/21 | 2,040,000 | GHS | 352,294 | ||
24.50%, 6/21/21 | 50,000 | GHS | 9,925 | ||
24.75%, 7/19/21 | 360,000 | GHS | 71,923 | ||
18.75%, 1/24/22 | 8,520,000 | GHS | 1,532,826 | ||
17.60%, 11/28/22 | 100,000 | GHS | 17,420 | ||
19.75%, 3/25/24 | 8,520,000 | GHS | 1,573,450 | ||
19.00%, 11/02/26 | 25,560,000 | GHS | 4,568,733 | ||
senior bond, 19.75%, 3/15/32 | 25,560,000 | GHS | 4,485,412 | ||
senior note, 21.50%, 3/09/20 | 370,000 | GHS | 68,952 | ||
senior note, 18.50%, 6/01/20 | 140,000 | GHS | 25,380 | ||
senior note, 18.25%, 9/21/20 | 140,000 | GHS | 25,292 |
Principal Amount* | Value | ||||
Foreign Government and Agency Securities (continued) | |||||
Ghana (continued) | |||||
Government of Ghana, (continued) | |||||
senior note, 16.50%, 3/22/21 | 490,000 | GHS | $ 85,326 | ||
12,860,370 | |||||
India 8.8% | |||||
Government of India, | |||||
senior bond, 8.20%, 2/15/22 | 282,000,000 | INR | 4,234,993 | ||
senior bond, 8.35%, 5/14/22 | 68,200,000 | INR | 1,029,718 | ||
senior bond, 8.08%, 8/02/22 | 549,000,000 | INR | 8,242,419 | ||
senior bond, 8.13%, 9/21/22 | 15,000,000 | INR | 225,745 | ||
senior bond, 9.15%, 11/14/24 | 387,000,000 | INR | 6,113,912 | ||
senior note, 8.27%, 6/09/20 | 476,000,000 | INR | 7,019,770 | ||
senior note, 7.80%, 4/11/21 | 697,700,000 | INR | 10,322,501 | ||
senior note, 8.79%, 11/08/21 | 225,000,000 | INR | 3,415,083 | ||
senior note, 8.15%, 6/11/22 | 540,000,000 | INR | 8,118,849 | ||
senior note, 6.84%, 12/19/22 | 111,000,000 | INR | 1,607,924 | ||
senior note, 7.16%, 5/20/23 | 42,900,000 | INR | 625,267 | ||
senior note, 8.83%, 11/25/23 | 966,400,000 | INR | 14,967,362 | ||
senior note, 7.68%, 12/15/23 | 730,000,000 | INR | 10,869,018 | ||
senior note, 6.79%, 5/15/27 | 492,800,000 | INR | 6,847,943 | ||
83,640,504 | |||||
Indonesia 8.2% | |||||
Government of Indonesia, | |||||
senior bond, FR31, 11.00%, 11/15/20 | 145,557,000,000 | IDR | 10,913,704 | ||
senior bond, FR34, 12.80%, 6/15/21 | 64,492,000,000 | IDR | 5,085,085 | ||
senior bond, FR35, 12.90%, 6/15/22 | 42,438,000,000 | IDR | 3,479,080 | ||
senior bond, FR36, 11.50%, 9/15/19 | 32,651,000,000 | IDR | 2,350,918 | ||
senior bond, FR39, 11.75%, 8/15/23 | 2,703,000,000 | IDR | 222,115 | ||
senior bond, FR42, 10.25%, 7/15/27 | 3,595,000,000 | IDR | 290,604 | ||
senior bond, FR43, 10.25%, 7/15/22 | 4,826,000,000 | IDR | 371,151 | ||
senior bond, FR44, 10.00%, 9/15/24 | 1,618,000,000 | IDR | 126,508 | ||
senior bond, FR46, 9.50%, 7/15/23 | 11,430,000,000 | IDR | 871,296 | ||
senior bond, FR47, 10.00%, 2/15/28 | 1,052,000,000 | IDR | 84,685 | ||
senior bond, FR52, 10.50%, 8/15/30 | 3,390,000,000 | IDR | 284,174 | ||
senior bond, FR53, 8.25%, 7/15/21 | 144,200,000,000 | IDR | 10,424,622 | ||
senior bond, FR56, 8.375%, 9/15/26 | 292,968,000,000 | IDR | 21,511,761 | ||
senior bond, FR61, 7.00%, 5/15/22 | 18,449,000,000 | IDR | 1,299,138 | ||
senior bond, FR63, 5.625%, 5/15/23 | 16,137,000,000 | IDR | 1,078,368 | ||
senior bond, FR64, 6.125%, 5/15/28 | 3,157,000,000 | IDR | 201,081 | ||
senior bond, FR70, 8.375%, 3/15/24 | 149,967,000,000 | IDR | 11,043,210 | ||
senior bond, FR71, 9.00%, 3/15/29 | 45,298,000,000 | IDR | 3,446,340 | ||
senior bond, FR73, 8.75%, 5/15/31 | 41,805,000,000 | IDR | 3,120,990 | ||
senior note, FR69, 7.875%, 4/15/19 | 20,859,000,000 | IDR | 1,465,549 | ||
77,670,379 | |||||
Mexico 13.3% | |||||
Government of Mexico, | |||||
senior bond, M, 8.00%, 6/11/20 | 1,881,620d | MXN | 9,728,220 | ||
senior bond, M, 6.50%, 6/10/21 | 18,789,460d | MXN | 94,344,340 | ||
senior bond, M, 8.00%, 12/07/23 | 16,500d | MXN | 85,614 | ||
senior note, M, 5.00%, 12/11/19 | 3,370,500d | MXN | 17,015,442 | ||
senior note, M, 7.25%, 12/09/21 | 604,000d | MXN | 3,069,667 |
Principal Amount* | Value | |||||
Foreign Government and Agency Securities (continued) | ||||||
Mexico (continued) | ||||||
e | Mexican Udibonos, | |||||
Index Linked, 4.00%, 6/13/19 | 145,122f | MXN | $ 741,609 | |||
Index Linked, 2.50%, 12/10/20 | 114,444f | MXN | 576,421 | |||
125,561,313 | ||||||
Philippines 0.6% | ||||||
Government of the Philippines, | ||||||
senior note, 3.375%, 8/20/20 | 9,870,000 | PHP | 182,496 | |||
senior note, 7-56, 3.875%, 11/22/19 | 282,370,000 | PHP | 5,307,972 | |||
5,490,468 | ||||||
South Korea 1.9% | ||||||
Korea Monetary Stabilization Bond, senior note, 2.06%, 12/02/19 | 20,034,000,000 | KRW | 17,638,667 | |||
g | Supranational 1.0% | |||||
Inter-American Development Bank, senior bond, 7.50%, 12/05/24 | 185,000,000 | MXN | 9,349,733 | |||
Ukraine 0.3% | ||||||
h,i,j | Government of Ukraine, 144A, VRI, GDP Linked Security, 5/31/40 | 5,236,000 | 3,355,648 | |||
Total Foreign Government and Agency Securities (Cost $546,085,384) | 491,167,281 | |||||
Number of Contracts | Notional Amount* | |||||
Options Purchased (Cost $246) 0.0%† | ||||||
Puts - Over-the-Counter | ||||||
Currency Options 0.0%† | ||||||
AUD/USD, Counterparty GSCO, December Strike Price $0.683, Expires 12/23/19 | 1 | 23,000 | AUD | 165 | ||
Total Investments before Short Term Investments (Cost $546,085,630) | 491,167,446 | |||||
Principal Amount* | ||||||
Short Term Investments 39.3% | ||||||
Foreign Government and Agency Securities 10.0% | ||||||
Argentina 1.5% | ||||||
k | Argentina Treasury Bill, 4/30/19 - 2/28/20 | 533,623,000 | ARS | 14,709,214 | ||
Mexico 6.0% | ||||||
k | Mexico Treasury Bill, | |||||
5/23/19 | 45,539,690l | MXN | 23,205,930 | |||
6/06/19 - 2/27/20 | 22,942,920l | MXN | 11,228,060 | |||
7/04/19 | 43,612,880l | MXN | 21,993,229 | |||
56,427,219 |
Principal Amount* | Value | |||||
Short Term Investments (continued) | ||||||
Foreign Government and Agency Securities (continued) | ||||||
South Korea 2.5% | ||||||
Korea Monetary Stabilization Bond, | ||||||
senior note, 1.80%, 9/09/19 | 10,158,000,000 | KRW | $ 8,927,202 | |||
senior note, 1.85%, 10/02/19 | 17,190,000,000 | KRW | 15,111,411 | |||
24,038,613 | ||||||
Total Foreign Government and Agency Securities (Cost $98,533,232) | 95,175,046 | |||||
U.S. Government and Agency Securities 4.3% | ||||||
United States 4.3% | ||||||
k | U.S. Treasury Bill, | |||||
5/30/19 | 20,296,000 | 20,217,915 | ||||
5/02/19 - 9/26/19 | 20,269,000 | 20,167,506 | ||||
40,385,421 | ||||||
Total U.S. Government and Agency Securities (Cost $40,379,189) | 40,385,421 | |||||
Total Investments before Money Market Funds (Cost $684,998,051) | 626,727,913 | |||||
Shares | ||||||
Money Market Funds (Cost $236,849,824) 25.0% | ||||||
United States 25.0% | ||||||
m,n | Institutional Fiduciary Trust Money Market Portfolio, 2.10% | 236,849,824 | 236,849,824 | |||
Total Investments (Cost $921,847,875) 91.2% | 863,577,737 | |||||
Options Written (0.0)%† | (175) | |||||
Other Assets, less Liabilities 8.8% | 83,532,206 | |||||
Net Assets 100.0% | $947,109,768 | |||||
Number of Contracts | Notional Amount* | |||||
Options Written (Premiums received $231) (0.0)%† | ||||||
Calls - Over-the-Counter | ||||||
Currency Options (0.0)%† | ||||||
AUD/USD, Counterparty GSCO, December Strike Price $0.739, Expires 12/23/19 | 1 | 23,000 | AUD | (175) |
†Rounds to less than 0.1% of net assets. |
*The principal/notional amount is stated in U.S. dollars unless otherwise indicated. |
aThe coupon rate shown represents the rate at period end. |
bRedemption price at maturity and coupon paymentare adjusted for inflation. |
cPrincipal amount is stated in 1,000 Brazilian Real Units. |
dPrincipal amount is stated in 100 Mexican Peso Units. |
ePrincipal amount of security is adjusted for inflation. |
fPrincipal amount is stated in 100 Unidad de Inversion Units. |
gA supranational organization is an entity formed by two or more central governments through international treaties. |
hNon-income producing. |
iSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. This security has been deemed liquid under guidelines approved by the Fund’s Board of Trustees. At March 31, 2019, the value of this security was $3,355,648, representing 0.4% of net assets. |
jThe principal represents the notional amount. See Note 3 regarding value recovery instruments. |
kThe security was issued on a discount basis with no stated coupon rate. |
lPrincipal amount is stated in 10 Mexican Peso Units. |
mSee Note 5 regarding investments in affiliated management investment companies. |
nThe rate shown is the annualized seven-day effective yield at period end. |
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts | ||||||||
Euro | HSBK | Buy | 2,972,000 | 3,336,070 | 4/01/19 | $ — | $ (792) | |
Euro | HSBK | Sell | 2,972,000 | 3,388,318 | 4/01/19 | 53,039 | — | |
Euro | GSCO | Sell | 2,676,375 | 3,065,333 | 4/04/19 | 61,055 | — | |
Indian Rupee | HSBK | Buy | 309,946,000 | 4,500,450 | 4/04/19 | — | (27,344) | |
Indian Rupee | HSBK | Sell | 309,946,000 | 4,330,064 | 4/04/19 | — | (143,042) | |
Indian Rupee | BNDP | Sell | 363,139,700 | 5,063,509 | 4/05/19 | — | (175,947) | |
Euro | BOFA | Sell | 1,257,588 | 1,429,739 | 4/08/19 | 17,599 | — | |
Japanese Yen | JPHQ | Sell | 208,350,000 | 1,921,560 | 4/08/19 | 39,704 | — | |
Australian Dollar | CITI | Sell | 2,549,800 | 1,820,940 | 4/09/19 | 10,190 | — | |
Euro | UBSW | Sell | 13,525,000 | 15,632,330 | 4/09/19 | 443,880 | — | |
Japanese Yen | JPHQ | Sell | 557,950,000 | 5,186,551 | 4/09/19 | 146,587 | — | |
Japanese Yen | GSCO | Sell | 69,178,000 | 641,333 | 4/10/19 | 16,391 | — | |
Japanese Yen | HSBK | Sell | 555,000,000 | 5,146,762 | 4/10/19 | 132,992 | — | |
Australian Dollar | JPHQ | Sell | 6,321,500 | 4,537,383 | 4/11/19 | 47,971 | — | |
Euro | BZWS | Sell | 4,094,000 | 4,611,093 | 4/11/19 | 12,793 | — | |
Euro | HSBK | Sell | 13,422,375 | 15,479,823 | 4/11/19 | 404,078 | — | |
Euro | JPHQ | Sell | 7,083,554 | 8,180,173 | 4/11/19 | 224,066 | — | |
Indian Rupee | HSBK | Sell | 247,578,743 | 3,477,083 | 4/11/19 | — | (89,580) | |
Japanese Yen | HSBK | Sell | 147,385,635 | 1,323,785 | 4/11/19 | — | (7,790) | |
Japanese Yen | JPHQ | Sell | 557,950,000 | 5,167,974 | 4/11/19 | 127,100 | — | |
Japanese Yen | DBAB | Sell | 167,200,000 | 1,508,764 | 4/12/19 | — | (1,963) | |
Australian Dollar | CITI | Sell | 5,634,533 | 3,980,798 | 4/15/19 | — | (21,058) | |
Australian Dollar | JPHQ | Sell | 20,622,000 | 14,839,832 | 4/15/19 | 193,317 | — | |
Euro | GSCO | Sell | 748,727 | 866,127 | 4/15/19 | 24,888 | — | |
Indian Rupee | CITI | Sell | 427,625,000 | 5,994,931 | 4/15/19 | — | (159,246) | |
Indian Rupee | HSBK | Sell | 427,246,885 | 5,995,017 | 4/15/19 | — | (153,718) | |
Japanese Yen | CITI | Sell | 257,910,667 | 2,330,185 | 4/15/19 | — | (785) | |
Japanese Yen | DBAB | Sell | 277,200,000 | 2,502,607 | 4/15/19 | — | (2,698) | |
Japanese Yen | JPHQ | Sell | 102,242,000 | 922,325 | 4/15/19 | — | (1,728) |
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts (continued) | ||||||||
Euro | BOFA | Sell | 6,265,500 | 7,238,407 | 4/16/19 | $ 198,152 | $ — | |
Euro | GSCO | Sell | 1,183,000 | 1,367,169 | 4/16/19 | 37,887 | — | |
Indian Rupee | CITI | Sell | 22,267,000 | 311,734 | 4/16/19 | — | (8,641) | |
Japanese Yen | CITI | Sell | 94,950,000 | 881,722 | 4/16/19 | 23,496 | — | |
Japanese Yen | HSBK | Sell | 505,050,000 | 4,688,240 | 4/16/19 | 123,239 | — | |
Japanese Yen | JPHQ | Sell | 467,930,000 | 4,358,103 | 4/16/19 | 128,619 | — | |
South Korean Won | CITI | Sell | 616,384,000 | 542,926 | 4/16/19 | 875 | — | |
Euro | SCNY | Sell | 6,873,000 | 7,897,077 | 4/17/19 | 173,551 | — | |
Japanese Yen | HSBK | Sell | 372,780,000 | 3,387,416 | 4/17/19 | 17,661 | — | |
Japanese Yen | DBAB | Sell | 490,271,000 | 4,402,727 | 4/18/19 | — | (29,491) | |
Japanese Yen | GSCO | Sell | 133,059,715 | 1,204,193 | 4/18/19 | 1,287 | — | |
Japanese Yen | GSCO | Sell | 133,083,710 | 1,195,066 | 4/18/19 | — | (8,057) | |
Japanese Yen | HSBK | Sell | 93,560,000 | 839,032 | 4/18/19 | — | (6,783) | |
Japanese Yen | MSCO | Sell | 245,000,000 | 2,197,704 | 4/18/19 | — | (17,181) | |
Japanese Yen | CITI | Sell | 207,460,000 | 1,865,312 | 4/22/19 | — | (10,875) | |
Japanese Yen | HSBK | Sell | 707,007,200 | 6,402,833 | 4/22/19 | 8,936 | — | |
Euro | GSCO | Sell | 1,285,391 | 1,476,683 | 4/23/19 | 31,494 | — | |
Euro | JPHQ | Sell | 11,085,000 | 12,738,439 | 4/23/19 | 275,372 | — | |
Euro | UBSW | Sell | 5,829,129 | 6,699,535 | 4/23/19 | 145,739 | — | |
Japanese Yen | JPHQ | Sell | 1,459,049,000 | 13,182,768 | 4/23/19 | — | (13,493) | |
Euro | UBSW | Sell | 1,228,000 | 1,404,869 | 4/24/19 | 24,090 | — | |
Euro | JPHQ | Sell | 6,359,037 | 7,280,493 | 4/25/19 | 129,705 | — | |
Japanese Yen | JPHQ | Sell | 275,000,000 | 2,520,589 | 4/25/19 | 32,922 | — | |
Japanese Yen | JPHQ | Sell | 478,194,000 | 4,300,062 | 4/25/19 | — | (25,710) | |
Japanese Yen | SCNY | Sell | 696,345,000 | 6,297,006 | 4/25/19 | — | (2,173) | |
Japanese Yen | BZWS | Sell | 125,158,380 | 1,134,431 | 4/26/19 | 2,139 | — | |
Japanese Yen | CITI | Sell | 220,552,000 | 2,012,461 | 4/26/19 | 17,154 | — | |
Japanese Yen | DBAB | Sell | 187,160,000 | 1,706,006 | 4/26/19 | 12,793 | — | |
Japanese Yen | HSBK | Sell | 2,103,406,455 | 19,258,107 | 4/26/19 | 228,845 | — | |
Japanese Yen | MSCO | Sell | 155,600,000 | 1,434,591 | 4/26/19 | 26,896 | — | |
Mexican Peso | HSBK | Buy | 104,380,700 | 4,505,382 | EUR | 4/26/19 | 288,690 | — |
Mexican Peso | HSBK | Sell | 104,380,700 | 4,423,323 | EUR | 4/26/19 | — | (380,974) |
Euro | BOFA | Sell | 8,723,695 | 9,978,380 | 4/29/19 | 165,160 | — | |
Euro | GSCO | Sell | 451,231 | 518,338 | 4/29/19 | 10,752 | — | |
Mexican Peso | CITI | Buy | 350,137,330 | 15,181,053 | EUR | 4/29/19 | 878,622 | — |
Mexican Peso | CITI | Sell | 350,137,330 | 14,843,086 | EUR | 4/29/19 | — | (1,258,799) |
Mexican Peso | DBAB | Buy | 129,747,300 | 5,618,226 | EUR | 4/29/19 | 333,776 | — |
Mexican Peso | DBAB | Sell | 129,747,300 | 5,494,089 | EUR | 4/29/19 | — | (473,417) |
Mexican Peso | JPHQ | Buy | 39,025,000 | 1,692,721 | EUR | 4/29/19 | 97,144 | — |
Mexican Peso | JPHQ | Sell | 39,025,000 | 1,653,251 | EUR | 4/29/19 | — | (141,542) |
Euro | BOFA | Sell | 8,723,695 | 10,038,181 | 4/30/19 | 224,091 | — | |
Euro | BZWS | Sell | 2,175,778 | 2,504,951 | 4/30/19 | 57,218 | — | |
Euro | GSCO | Sell | 1,784,250 | 2,052,499 | 4/30/19 | 45,232 | — | |
Euro | JPHQ | Sell | 33,330 | 38,363 | 4/30/19 | 867 | — | |
Euro | SCNY | Sell | 4,300,311 | 4,948,282 | 4/30/19 | 110,465 | — | |
South Korean Won | HSBK | Sell | 12,970,000,000 | 11,523,767 | 4/30/19 | 111,630 | — | |
Euro | JPHQ | Sell | 893,000 | 1,027,218 | 5/02/19 | 22,422 | — | |
Japanese Yen | CITI | Sell | 256,312,747 | 2,308,354 | 5/07/19 | — | (12,326) | |
Euro | JPHQ | Sell | 4,312,000 | 4,947,804 | 5/08/19 | 93,396 | — | |
Australian Dollar | CITI | Sell | 5,614,733 | 3,971,975 | 5/13/19 | — | (17,985) | |
Australian Dollar | JPHQ | Sell | 6,321,500 | 4,476,539 | 5/13/19 | — | (15,666) | |
Euro | JPHQ | Sell | 3,156,669 | 3,606,668 | 5/13/19 | 51,343 | — |
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts (continued) | ||||||||
Australian Dollar | JPHQ | Sell | 14,547,500 | 10,303,311 | 5/14/19 | $ — | $ (34,678) | |
Euro | HSBK | Sell | 7,662,000 | 8,718,092 | 5/14/19 | 87,692 | — | |
Australian Dollar | CITI | Sell | 5,614,733 | 3,993,900 | 5/15/19 | 3,788 | — | |
Australian Dollar | JPHQ | Sell | 7,979,000 | 5,674,745 | 5/15/19 | 4,465 | — | |
Euro | CITI | Sell | 1,417,000 | 1,611,979 | 5/15/19 | 15,743 | — | |
Euro | JPHQ | Sell | 932,604 | 1,060,529 | 5/15/19 | 9,960 | — | |
Mexican Peso | CITI | Buy | 424,000,000 | 2,248,472,000 | JPY | 5/15/19 | 1,315,895 | — |
Mexican Peso | CITI | Sell | 424,000,000 | 2,289,854,400 | JPY | 5/15/19 | — | (941,009) |
South Korean Won | CITI | Sell | 5,173,000,000 | 4,570,192 | 5/15/19 | 17,013 | — | |
South Korean Won | DBAB | Sell | 5,870,000,000 | 5,211,524 | 5/16/19 | 44,743 | — | |
Australian Dollar | JPHQ | Sell | 4,614,000 | 3,273,541 | 5/20/19 | — | (5,715) | |
Euro | BOFA | Sell | 13,098,580 | 14,900,814 | 5/20/19 | 138,845 | — | |
Euro | GSCO | Sell | 3,105,000 | 3,527,001 | 5/20/19 | 27,697 | — | |
Euro | JPHQ | Sell | 36,690,814 | 41,714,703 | 5/20/19 | 364,524 | — | |
Indian Rupee | HSBK | Sell | 282,901,000 | 3,935,466 | 5/20/19 | — | (110,581) | |
Japanese Yen | BZWS | Sell | 66,495,000 | 593,395 | 5/20/19 | — | (9,194) | |
Japanese Yen | BZWS | Sell | 518,550,000 | 4,722,420 | 5/20/19 | 23,229 | — | |
Japanese Yen | GSCO | Sell | 133,059,715 | 1,210,635 | 5/20/19 | 4,825 | — | |
Japanese Yen | HSBK | Sell | 380,340,000 | 3,461,649 | 5/20/19 | 14,941 | — | |
Japanese Yen | JPHQ | Sell | 3,416,159,000 | 31,069,125 | 5/20/19 | 111,294 | — | |
Japanese Yen | SCNY | Sell | 103,657,300 | 942,793 | 5/20/19 | 3,433 | — | |
Australian Dollar | JPHQ | Sell | 3,926,000 | 2,797,196 | 5/21/19 | 6,862 | — | |
Euro | GSCO | Sell | 1,285,078 | 1,465,400 | 5/21/19 | 17,002 | — | |
Euro | JPHQ | Sell | 25,367,558 | 28,829,338 | 5/21/19 | 237,816 | — | |
Euro | SCNY | Sell | 3,955,000 | 4,510,480 | 5/21/19 | 52,839 | — | |
Euro | UBSW | Sell | 6,199,607 | 7,054,905 | 5/21/19 | 67,389 | — | |
Japanese Yen | BOFA | Sell | 870,842,750 | 7,931,066 | 5/21/19 | 38,796 | — | |
Japanese Yen | BOFA | Sell | 1,567,330,000 | 14,094,314 | 5/21/19 | — | (110,079) | |
Japanese Yen | CITI | Sell | 1,438,294,600 | 13,089,506 | 5/21/19 | 54,535 | — | |
Japanese Yen | DBAB | Sell | 1,279,817,000 | 11,653,398 | 5/21/19 | 54,677 | — | |
South Korean Won | CITI | Sell | 6,847,000,000 | 6,095,433 | 5/21/19 | 68,024 | — | |
Indian Rupee | JPHQ | Sell | 299,959,000 | 4,159,206 | 5/22/19 | — | (129,660) | |
Japanese Yen | BZWS | Sell | 66,495,000 | 604,297 | 5/22/19 | 1,625 | — | |
Japanese Yen | SCNY | Sell | 219,020,000 | 1,989,897 | 5/22/19 | 4,827 | — | |
Euro | BZWS | Sell | 1,087,889 | 1,243,294 | 5/28/19 | 16,382 | — | |
Euro | GSCO | Sell | 1,348,769 | 1,543,612 | 5/28/19 | 22,483 | — | |
Euro | MSCO | Sell | 4,545,000 | 5,195,094 | 5/28/19 | 69,284 | — | |
Indian Rupee | JPHQ | Sell | 466,711,000 | 6,475,442 | 5/28/19 | — | (192,334) | |
Japanese Yen | BNDP | Sell | 155,600,000 | 1,413,806 | 5/28/19 | 2,957 | — | |
Japanese Yen | BZWS | Sell | 146,100,000 | 1,329,192 | 5/28/19 | 4,481 | — | |
Japanese Yen | BZWS | Sell | 726,500,000 | 6,581,272 | 5/28/19 | — | (6,015) | |
Japanese Yen | CITI | Sell | 178,564,000 | 1,625,615 | 5/28/19 | 6,547 | — | |
Japanese Yen | DBAB | Sell | 95,240,000 | 866,460 | 5/28/19 | 2,904 | — | |
Japanese Yen | JPHQ | Sell | 478,194,000 | 4,311,161 | 5/28/19 | — | (24,697) | |
Japanese Yen | DBAB | Sell | 1,141,004,974 | 10,368,060 | 5/31/19 | 19,956 | — | |
Japanese Yen | HSBK | Sell | 951,318,000 | 8,648,778 | 5/31/19 | 21,000 | — | |
Japanese Yen | JPHQ | Sell | 825,457,000 | 7,504,155 | 5/31/19 | 17,847 | — | |
Australian Dollar | CITI | Sell | 2,549,800 | 1,822,852 | 6/03/19 | 10,203 | — | |
Australian Dollar | GSCO | Sell | 26,618,090 | 18,926,527 | 6/04/19 | 3,450 | — | |
Euro | BOFA | Sell | 7,200,930 | 8,262,923 | 6/04/19 | 137,087 | — | |
Euro | GSCO | Sell | 2,676,375 | 3,069,856 | 6/04/19 | 49,720 | — | |
Euro | HSBK | Sell | 4,550,000 | 5,213,617 | 6/04/19 | 79,203 | — |
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts (continued) | ||||||||
Japanese Yen | HSBK | Sell | 980,688,000 | 8,868,704 | 6/04/19 | $ — | $ (28,233) | |
Japanese Yen | JPHQ | Sell | 208,350,000 | 1,889,033 | 6/04/19 | — | (1,146) | |
Euro | JPHQ | Sell | 6,016,524 | 6,895,479 | 6/05/19 | 105,616 | — | |
Euro | SCNY | Sell | 1,325,806 | 1,522,741 | 6/05/19 | 26,522 | — | |
Indian Rupee | BNDP | Sell | 366,171,300 | 5,088,928 | 6/06/19 | — | (136,753) | |
Indian Rupee | HSBK | Sell | 308,587,000 | 4,283,848 | 6/06/19 | — | (120,039) | |
Euro | BOFA | Sell | 1,258,386 | 1,436,498 | 6/07/19 | 16,130 | — | |
South Korean Won | DBAB | Sell | 5,874,000,000 | 5,284,275 | 6/10/19 | 110,517 | — | |
Indian Rupee | HSBK | Sell | 424,992,790 | 5,928,409 | 6/11/19 | — | (133,046) | |
Indian Rupee | BNDP | Sell | 102,165,000 | 1,430,181 | 6/12/19 | — | (26,769) | |
Euro | JPHQ | Sell | 916,524 | 1,041,799 | 6/14/19 | 6,700 | — | |
Indian Rupee | HSBK | Sell | 213,251,757 | 3,007,994 | 6/14/19 | — | (32,400) | |
Indian Rupee | HSBK | Sell | 425,413,000 | 6,015,030 | 6/17/19 | — | (48,007) | |
Euro | BOFA | Sell | 6,549,290 | 7,460,034 | 6/18/19 | 60,986 | — | |
Euro | GSCO | Sell | 748,727 | 852,714 | 6/18/19 | 6,841 | — | |
Indian Rupee | CITI | Sell | 343,270,000 | 4,842,632 | 6/18/19 | — | (49,100) | |
Japanese Yen | BOFA | Sell | 352,816,750 | 3,183,118 | 6/18/19 | — | (21,208) | |
Japanese Yen | CITI | Sell | 1,207,320,000 | 10,892,664 | 6/18/19 | — | (72,365) | |
Japanese Yen | JPHQ | Sell | 197,300,000 | 1,780,260 | 6/18/19 | — | (11,643) | |
Indian Rupee | JPHQ | Sell | 300,988,000 | 4,273,273 | 6/19/19 | — | (15,405) | |
Indian Rupee | JPHQ | Sell | 258,585,000 | 3,710,770 | 6/20/19 | 26,724 | — | |
Indian Rupee | HSBK | Sell | 309,946,000 | 4,446,858 | 7/05/19 | 38,803 | — | |
Indonesian Rupiah | JPHQ | Buy | 111,570,000,000 | 10,785,963 | AUD | 7/10/19 | 38,287 | — |
Indonesian Rupiah | JPHQ | Sell | 111,570,000,000 | 10,908,291 | AUD | 7/10/19 | 48,734 | — |
Indian Rupee | HSBK | Sell | 270,815,000 | 3,716,872 | 7/22/19 | — | (127,278) | |
South Korean Won | HSBK | Sell | 7,321,000,000 | 6,552,403 | 8/19/19 | 88,686 | — | |
Euro | JPHQ | Sell | 32,400,000 | 37,352,664 | 9/20/19 | 461,330 | — | |
South Korean Won | CITI | Sell | 2,579,000,000 | 2,291,487 | 9/20/19 | 11,910 | — | |
Euro | GSCO | Sell | 1,285,078 | 1,481,913 | 9/23/19 | 18,329 | — | |
Euro | DBAB | Sell | 14,148,265 | 16,370,957 | 9/25/19 | 254,705 | — | |
Euro | BZWS | Sell | 1,087,889 | 1,248,238 | 9/30/19 | 8,506 | — | |
Euro | SCNY | Sell | 4,385,600 | 5,008,926 | 9/30/19 | 11,199 | — | |
Euro | HSBK | Sell | 2,972,000 | 3,386,743 | 10/01/19 | — | (363) | |
Total Forward Exchange Contracts | $10,683,818 | $(5,596,521) | ||||||
Net unrealized appreciation (depreciation) | $5,087,297 |
*In U.S. dollars unless otherwise indicated. |
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date. |
Description | Payment Frequency | Maturity Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) | ||
Centrally Cleared Swap Contracts | ||||||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 1.914% | Semi-Annual | 1/22/25 | $35,260,000 | $ 798,271 |
Description | Payment Frequency | Maturity Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) | ||
Centrally Cleared Swap Contracts (continued) | ||||||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 1.970% | Semi-Annual | 1/23/25 | $17,628,000 | $ 343,569 | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 1.973% | Semi-Annual | 1/27/25 | 10,404,000 | 200,269 | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 1.942% | Semi-Annual | 1/30/25 | 5,500,000 | 115,374 | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 1.978% | Semi-Annual | 3/27/25 | 800,000 | 14,517 | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 1.985% | Semi-Annual | 3/27/25 | 800,000 | 14,189 | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 2.449% | Semi-Annual | 7/02/25 | 6,340,000 | (48,148) | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 2.310% | Semi-Annual | 7/29/25 | 16,220,000 | 9,270 | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 2.752% | Semi-Annual | 7/29/45 | 23,960,000 | (837,192) | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 2.378% | Semi-Annual | 11/18/46 | 56,100,000 | 1,958,665 | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 2.794% | Semi-Annual | 3/13/47 | 10,100,000 | (453,068) | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 2.537% | Semi-Annual | 4/13/47 | 12,300,000 | 29,386 | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 2.980% | Semi-Annual | 2/20/48 | 12,196,000 | (1,042,284) | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 3.002% | Semi-Annual | 2/22/48 | 12,196,000 | (1,099,168) | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 3.019% | Semi-Annual | 2/23/48 | 12,196,000 | (1,143,099) | ||
Total Interest Rate Swap Contracts | $(1,139,449) |
Number of Shares Held at Beginning of Period | Gross Additions | Gross Reductions | Number of Shares Held at End of Period | Value at End of Period | Dividend Income | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | |
Non-Controlled Affiliates | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 2.10% | 236,712,686 | 20,238,853 | (20,101,715) | 236,849,824 | $236,849,824 | $1,205,745 | $ — | $ — |
• | Level 1 – quoted prices in active markets for identical financial instruments |
• | Level 2 – other significant observable inputs (including quoted prices for similar financial instruments, interest rates, prepayment speed, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of financial instruments) |
Level 1 | Level 2 | Level 3 | Total | |
Assets: | ||||
Investments in Securities:a | ||||
Foreign Government and Agency Securities | $— | $491,167,281 | $— | $491,167,281 |
Options Purchased | — | 165 | — | 165 |
Short Term Investments | 277,235,245 | 95,175,046 | — | 372,410,291 |
Total Investments in Securities | $277,235,245 | $586,342,492 | $ — | $863,577,737 |
Other Financial Instruments: | ||||
Forward Exchange Contracts | $— | $10,683,818 | $— | $10,683,818 |
Swap Contracts | — | 3,483,510 | — | 3,483,510 |
Total Other Financial Instruments | $ — | $14,167,328 | $ — | $14,167,328 |
Level 1 | Level 2 | Level 3 | Total | |
Liabilities: | ||||
Other Financial Instruments: | ||||
Options Written | $— | $175 | $— | $175 |
Forward Exchange Contracts | — | 5,596,521 | — | 5,596,521 |
Swap Contracts | — | 4,622,959 | — | 4,622,959 |
Total Other Financial Instruments | $ — | $10,219,655 | $ — | $10,219,655 |
aFor detailed categories, see the accompanying Statement of Investments. |