Principal Amount* | Value | ||||
Foreign Government and Agency Securities 51.7% | |||||
Argentina 1.3% | |||||
Argentina Treasury Bill, | |||||
Strip, 3/30/20 | 222,316,500 | ARS | $3,004,927 | ||
Strip, 4/28/20 | 98,792,000 | ARS | 1,335,332 | ||
Strip, 5/28/20 | 312,000 | ARS | 2,679 | ||
Strip, 7/29/20 | 68,265,000 | ARS | 645,890 | ||
Strip, 10/29/20 | 13,797,000 | ARS | 104,213 | ||
Argentine Bonos del Tesoro, | |||||
18.20%, 10/03/21 | 252,627,000 | ARS | 1,218,096 | ||
16.00%, 10/17/23 | 283,431,000 | ARS | 1,507,970 | ||
senior note, 15.50%, 10/17/26 | 512,895,000 | ARS | 2,719,407 | ||
Government of Argentina, | |||||
a FRN, 67.42%, (ARPP7DRR), 6/21/20 | 3,380,000 | ARS | 25,373 | ||
a FRN, 55.469%, (ARS Badlar + 2.00%), 4/03/22 | 20,588,000 | ARS | 152,156 | ||
b Index Linked, 4.00%, 3/06/20 | 1,274,000 | ARS | 13,669 | ||
senior note, 4.50%, 2/13/20 | 2,821,000 | 924,498 | |||
11,654,210 | |||||
Brazil 12.9% | |||||
Letra Tesouro Nacional, | |||||
Strip, 7/01/20 | 75,890c | BRL | 17,630,665 | ||
Strip, 4/01/21 | 2,770c | BRL | 618,632 | ||
Strip, 7/01/21 | 75,960c | BRL | 16,713,004 | ||
Nota do Tesouro Nacional, | |||||
10.00%, 1/01/21 | 73,235c | BRL | 18,636,246 | ||
10.00%, 1/01/23 | 6,218c | BRL | 1,663,796 | ||
10.00%, 1/01/25 | 75,193c | BRL | 20,730,910 | ||
10.00%, 1/01/27 | 145,600c | BRL | 41,083,436 | ||
117,076,689 | |||||
Colombia 1.5% | |||||
Government of Colombia, | |||||
senior bond, 7.75%, 4/14/21 | 983,000,000 | COP | 294,245 | ||
senior bond, 4.375%, 3/21/23 | 149,000,000 | COP | 42,056 | ||
senior bond, 9.85%, 6/28/27 | 237,000,000 | COP | 86,625 | ||
Titulos de Tesoreria, | |||||
B, 7.75%, 9/18/30 | 1,645,700,000 | COP | 538,565 | ||
senior bond, B, 11.00%, 7/24/20 | 1,144,000,000 | COP | 345,984 | ||
senior bond, B, 7.00%, 5/04/22 | 3,111,000,000 | COP | 941,712 | ||
senior bond, B, 10.00%, 7/24/24 | 12,183,000,000 | COP | 4,221,234 | ||
senior bond, B, 7.50%, 8/26/26 | 9,469,300,000 | COP | 3,023,754 | ||
senior bond, B, 6.00%, 4/28/28 | 13,320,000,000 | COP | 3,875,258 | ||
13,369,433 | |||||
Ghana 1.4% | |||||
Government of Ghana, | |||||
24.75%, 3/01/21 | 220,000 | GHS | 43,611 | ||
16.25%, 5/17/21 | 2,040,000 | GHS | 363,326 | ||
24.50%, 6/21/21 | 50,000 | GHS | 9,938 |
Principal Amount* | Value | ||||
Foreign Government and Agency Securities (continued) | |||||
Ghana (continued) | |||||
Government of Ghana, (continued) | |||||
24.75%, 7/19/21 | 360,000 | GHS | $71,742 | ||
18.75%, 1/24/22 | 8,520,000 | GHS | 1,554,779 | ||
17.60%, 11/28/22 | 100,000 | GHS | 17,728 | ||
19.75%, 3/25/24 | 8,520,000 | GHS | 1,574,416 | ||
19.00%, 11/02/26 | 25,560,000 | GHS | 4,524,957 | ||
senior bond, 19.75%, 3/15/32 | 25,560,000 | GHS | 4,597,414 | ||
senior note, 21.50%, 3/09/20 | 370,000 | GHS | 69,045 | ||
senior note, 18.50%, 6/01/20 | 140,000 | GHS | 25,869 | ||
senior note, 18.25%, 9/21/20 | 140,000 | GHS | 25,865 | ||
senior note, 16.50%, 3/22/21 | 490,000 | GHS | 88,178 | ||
12,966,868 | |||||
India 9.1% | |||||
Government of India, | |||||
senior bond, 8.20%, 2/15/22 | 282,000,000 | INR | 4,186,350 | ||
senior bond, 8.35%, 5/14/22 | 68,200,000 | INR | 1,017,425 | ||
senior bond, 8.08%, 8/02/22 | 549,000,000 | INR | 8,176,910 | ||
senior bond, 8.13%, 9/21/22 | 15,000,000 | INR | 224,050 | ||
senior bond, 9.15%, 11/14/24 | 387,000,000 | INR | 6,081,671 | ||
senior note, 8.27%, 6/09/20 | 476,000,000 | INR | 6,855,154 | ||
senior note, 7.80%, 4/11/21 | 697,700,000 | INR | 10,145,612 | ||
senior note, 8.79%, 11/08/21 | 225,000,000 | INR | 3,357,562 | ||
senior note, 8.15%, 6/11/22 | 540,000,000 | INR | 8,032,008 | ||
senior note, 6.84%, 12/19/22 | 111,000,000 | INR | 1,603,431 | ||
senior note, 7.16%, 5/20/23 | 42,900,000 | INR | 623,105 | ||
senior note, 8.83%, 11/25/23 | 966,400,000 | INR | 14,875,269 | ||
senior note, 7.68%, 12/15/23 | 730,000,000 | INR | 10,829,151 | ||
senior note, 6.79%, 5/15/27 | 492,800,000 | INR | 6,982,630 | ||
82,990,328 | |||||
Indonesia 8.3% | |||||
Government of Indonesia, | |||||
senior bond, FR31, 11.00%, 11/15/20 | 145,557,000,000 | IDR | 10,816,035 | ||
senior bond, FR34, 12.80%, 6/15/21 | 64,492,000,000 | IDR | 5,027,151 | ||
senior bond, FR35, 12.90%, 6/15/22 | 42,438,000,000 | IDR | 3,463,501 | ||
senior bond, FR39, 11.75%, 8/15/23 | 2,703,000,000 | IDR | 223,371 | ||
senior bond, FR42, 10.25%, 7/15/27 | 3,595,000,000 | IDR | 296,819 | ||
senior bond, FR43, 10.25%, 7/15/22 | 4,826,000,000 | IDR | 372,838 | ||
senior bond, FR44, 10.00%, 9/15/24 | 1,618,000,000 | IDR | 129,098 | ||
senior bond, FR46, 9.50%, 7/15/23 | 11,430,000,000 | IDR | 882,030 | ||
senior bond, FR47, 10.00%, 2/15/28 | 1,052,000,000 | IDR | 86,369 | ||
senior bond, FR52, 10.50%, 8/15/30 | 3,390,000,000 | IDR | 291,666 | ||
senior bond, FR53, 8.25%, 7/15/21 | 144,200,000,000 | IDR | 10,493,232 | ||
senior bond, FR56, 8.375%, 9/15/26 | 292,968,000,000 | IDR | 22,170,207 | ||
senior bond, FR61, 7.00%, 5/15/22 | 18,449,000,000 | IDR | 1,320,282 | ||
senior bond, FR63, 5.625%, 5/15/23 | 16,137,000,000 | IDR | 1,106,229 | ||
senior bond, FR64, 6.125%, 5/15/28 | 3,157,000,000 | IDR | 206,612 | ||
senior bond, FR70, 8.375%, 3/15/24 | 149,967,000,000 | IDR | 11,222,960 |
Principal Amount* | Value | |||||
Foreign Government and Agency Securities (continued) | ||||||
Indonesia (continued) | ||||||
Government of Indonesia, (continued) | ||||||
senior bond, FR71, 9.00%, 3/15/29 | 45,298,000,000 | IDR | $3,527,469 | |||
senior bond, FR73, 8.75%, 5/15/31 | 41,805,000,000 | IDR | 3,219,972 | |||
74,855,841 | ||||||
Mexico 13.3% | ||||||
Government of Mexico, | ||||||
senior bond, M, 6.50%, 6/10/21 | 18,789,460d | MXN | 94,980,389 | |||
senior bond, M, 6.50%, 6/09/22 | 2,067,400d | MXN | 10,430,503 | |||
senior bond, M, 8.00%, 12/07/23 | 16,500d | MXN | 87,590 | |||
senior note, M, 7.25%, 12/09/21 | 2,763,800d | MXN | 14,170,049 | |||
e | Mexican Udibonos, Index Linked, 2.50%, 12/10/20 | 115,007f | MXN | 578,296 | ||
120,246,827 | ||||||
South Korea 2.8% | ||||||
Korea Monetary Stabilization Bond, | ||||||
senior note, 2.06%, 12/02/19 | 20,034,000,000 | KRW | 16,728,480 | |||
senior note, 1.18%, 8/02/21 | 2,322,000,000 | KRW | 1,931,137 | |||
Korea Treasury Bond, | ||||||
senior note, 1.375%, 9/10/21 | 3,483,000,000 | KRW | 2,906,689 | |||
senior note, 2.00%, 12/10/21 | 4,254,000,000 | KRW | 3,599,072 | |||
25,165,378 | ||||||
g | Supranational 1.1% | |||||
Inter-American Development Bank, senior bond, 7.50%, 12/05/24 | 185,000,000 | MXN | 9,640,557 | |||
Total Foreign Government and Agency Securities (Cost $547,853,296) | 467,966,131 | |||||
U.S. Government and Agency Securities 0.5% | ||||||
United States 0.5% | ||||||
U.S. Treasury Note, | ||||||
1.50%, 8/31/21 | 2,143,000 | 2,136,847 | ||||
1.50%, 9/30/21 | 2,577,000 | 2,570,860 | ||||
Total U.S. Government and Agency Securities (Cost $4,705,768) | 4,707,707 | |||||
Number of Contracts | Notional Amount* | |||||
Options Purchased 1.0% | ||||||
Calls - Over-the-Counter | ||||||
Currency Options 0.5% | ||||||
AUD/JPY, Counterparty CITI, February Strike Price 82.35 JPY, Expires 2/12/20 | 1 | 869,000 | AUD | 124 | ||
AUD/JPY, Counterparty CITI, May Strike Price 84.00 JPY, Expires 5/06/20 | 1 | 3,864,000 | AUD | 1,197 | ||
AUD/JPY, Counterparty CITI, May Strike Price 86.63 JPY, Expires 5/06/20 | 1 | 4,250,000 | AUD | 654 | ||
AUD/JPY, Counterparty CITI, May Strike Price 85.50 JPY, Expires 5/07/20 | 1 | 15,455,000 | AUD | 3,046 | ||
AUD/JPY, Counterparty CITI, November Strike Price 84.33 JPY, Expires 11/12/20 | 1 | 2,898,000 | AUD | 4,313 | ||
AUD/USD, Counterparty HSBK, April Strike Price $0.77, Expires 4/30/20 | 1 | 4,830,000 | AUD | 1,962 | ||
AUD/USD, Counterparty HSBK, May Strike Price $0.77, Expires 5/04/20 | 1 | 6,086,000 | AUD | 2,879 | ||
AUD/USD, Counterparty HSBK, May Strike Price $0.77, Expires 5/07/20 | 1 | 3,864,000 | AUD | 1,494 |
Number of Contracts | Notional Amount* | Value | |||
Options Purchased (continued) | |||||
Calls - Over-the-Counter (continued) | |||||
Currency Options (continued) | |||||
USD/JPY, Counterparty CITI, March Strike Price 111.15 JPY, Expires 3/20/20 | 1 | 18,670,000 | $61,219 | ||
USD/JPY, Counterparty CITI, March Strike Price 111.40 JPY, Expires 3/30/20 | 1 | 21,782,000 | 68,265 | ||
USD/JPY, Counterparty CITI, September Strike Price 112.24 JPY, Expires 9/22/20 | 1 | 24,116,000 | 120,966 | ||
USD/MXN, Counterparty CITI, December Strike Price 20.50 MXN, Expires 12/05/19 | 1 | 5,844,000 | 45,718 | ||
USD/MXN, Counterparty CITI, December Strike Price 18.83 MXN, Expires 12/09/19 | 1 | 3,688,000 | 211,669 | ||
USD/MXN, Counterparty CITI, December Strike Price 21.70 MXN, Expires 12/09/19 | 1 | 3,688,000 | 7,693 | ||
USD/MXN, Counterparty CITI, March Strike Price 20.78 MXN, Expires 3/09/20 | 1 | 6,147,000 | 112,066 | ||
USD/MXN, Counterparty CITI, May Strike Price 20.50 MXN, Expires 5/11/20 | 1 | 21,158,000 | 682,980 | ||
USD/MXN, Counterparty CITI, May Strike Price 20.92 MXN, Expires 5/12/20 | 1 | 12,594,000 | 318,338 | ||
USD/MXN, Counterparty CITI, May Strike Price 20.87 MXN, Expires 5/14/20 | 1 | 14,206,000 | 375,536 | ||
USD/MXN, Counterparty CITI, May Strike Price 20.58 MXN, Expires 5/15/20 | 1 | 4,433,000 | 139,759 | ||
USD/MXN, Counterparty CITI, September Strike Price 21.94 MXN, Expires 9/03/20 | 1 | 15,368,000 | 395,680 | ||
USD/MXN, Counterparty CITI, September Strike Price 21.70 MXN, Expires 9/08/20 | 1 | 15,352,000 | 445,546 | ||
USD/MXN, Counterparty GSCO, March Strike Price 21.20 MXN, Expires 3/12/20 | 1 | 14,800,000 | 204,595 | ||
USD/MXN, Counterparty JPHQ, November Strike Price 20.11 MXN, Expires 11/14/19 | 1 | 7,103,000 | 63,082 | ||
USD/MXN, Counterparty JPHQ, November Strike Price 20.11 MXN, Expires 11/14/19 | 1 | 7,103,000 | 63,082 | ||
USD/MXN, Counterparty JPHQ, November Strike Price 22.35 MXN, Expires 11/14/19 | 1 | 7,103,000 | 2,486 | ||
USD/MXN, Counterparty JPHQ, December Strike Price 20.14 MXN, Expires 12/19/19 | 1 | 2,670,000 | 40,832 | ||
USD/MXN, Counterparty JPHQ, March Strike Price 20.89 MXN, Expires 3/05/20 | 1 | 5,348,000 | 86,942 | ||
USD/MXN, Counterparty JPHQ, May Strike Price 20.93 MXN, Expires 5/13/20 | 1 | 8,118,000 | 205,288 | ||
USD/MXN, Counterparty MSCO, December Strike Price 20.56 MXN, Expires 12/10/19 | 1 | 6,147,000 | 48,955 | ||
USD/MXN, Counterparty MSCO, December Strike Price 20.77 MXN, Expires 12/10/19 | 1 | 6,147,000 | 37,626 | ||
USD/MXN, Counterparty MSCO, March Strike Price 21.58 MXN, Expires 3/05/20 | 1 | 12,294,000 | 121,637 | ||
USD/MXN, Counterparty MSCO, March Strike Price 24.81 MXN, Expires 3/05/20 | 1 | 6,147,000 | 9,528 | ||
USD/MXN, Counterparty MSCO, March Strike Price 21.36 MXN, Expires 3/10/20 | 1 | 23,052,000 | 276,901 | ||
USD/MXN, Counterparty MSCO, March Strike Price 20.90 MXN, Expires 3/12/20 | 1 | 4,000,000 | 68,976 | ||
USD/MXN, Counterparty MSCO, June Strike Price 21.45 MXN, Expires 6/15/20 | 1 | 4,000,000 | 89,832 | ||
USD/MXN, Counterparty MSCO, September Strike Price 22.33 MXN, Expires 9/04/20 | 1 | 12,294,000 | 270,726 | ||
USD/MXN, Counterparty MSCO, September Strike Price 25.97 MXN, Expires 9/04/20 | 1 | 12,294,000 | 75,682 | ||
4,667,274 | |||||
Puts - Over-the-Counter | |||||
Currency Options 0.5% | |||||
AUD/JPY, Counterparty CITI, May Strike Price 69.54 JPY, Expires 5/06/20 | 1 | 3,091,000 | AUD | 34,705 | |
AUD/JPY, Counterparty CITI, May Strike Price 70.65 JPY, Expires 5/06/20 | 1 | 1,932,000 | AUD | 27,316 | |
AUD/JPY, Counterparty CITI, May Strike Price 74.48 JPY, Expires 5/06/20 | 1 | 14,296,000 | AUD | 438,377 |
Number of Contracts | Notional Amount* | Value | |||
Options Purchased (continued) | |||||
Puts - Over-the-Counter (continued) | |||||
Currency Options (continued) | |||||
AUD/JPY, Counterparty CITI, May Strike Price 75.05 JPY, Expires 5/06/20 | 1 | 5,796,000 | AUD | $198,053 | |
AUD/JPY, Counterparty CITI, May Strike Price 65.55 JPY, Expires 5/07/20 | 1 | 7,728,000 | AUD | 38,682 | |
AUD/JPY, Counterparty CITI, May Strike Price 73.25 JPY, Expires 5/07/20 | 1 | 7,728,000 | AUD | 186,692 | |
AUD/JPY, Counterparty CITI, November Strike Price 66.78 JPY, Expires 11/12/20 | 1 | 1,449,000 | AUD | 19,352 | |
AUD/JPY, Counterparty CITI, November Strike Price 69.18 JPY, Expires 11/12/20 | 1 | 869,000 | AUD | 16,498 | |
AUD/JPY, Counterparty CITI, November Strike Price 72.78 JPY, Expires 11/12/20 | 1 | 3,622,000 | AUD | 117,021 | |
AUD/JPY, Counterparty CITI, November Strike Price 74.00 JPY, Expires 11/12/20 | 1 | 2,608,000 | AUD | 100,443 | |
AUD/USD, Counterparty HSBK, April Strike Price $0.66, Expires 4/30/20 | 1 | 12,880,000 | AUD | 103,121 | |
AUD/USD, Counterparty HSBK, April Strike Price $0.68, Expires 4/30/20 | 1 | 6,440,000 | AUD | 103,816 | |
AUD/USD, Counterparty HSBK, May Strike Price $0.65, Expires 5/04/20 | 1 | 16,228,000 | AUD | 65,248 | |
AUD/USD, Counterparty HSBK, May Strike Price $0.68, Expires 5/04/20 | 1 | 8,050,000 | AUD | 116,393 | |
AUD/USD, Counterparty HSBK, May Strike Price $0.66, Expires 5/05/20 | 1 | 6,440,000 | AUD | 66,674 | |
AUD/USD, Counterparty HSBK, May Strike Price $0.65, Expires 5/07/20 | 1 | 7,728,000 | AUD | 55,879 | |
AUD/USD, Counterparty HSBK, May Strike Price $0.68, Expires 5/07/20 | 1 | 3,864,000 | AUD | 58,104 | |
USD/JPY, Counterparty CITI, March Strike Price 100.11 JPY, Expires 3/20/20 | 1 | 18,670,000 | 79,534 | ||
USD/JPY, Counterparty CITI, March Strike Price 105.29 JPY, Expires 3/20/20 | 1 | 37,341,000 | 484,387 | ||
USD/JPY, Counterparty CITI, March Strike Price 104.61 JPY, Expires 3/30/20 | 1 | 43,564,000 | 514,796 | ||
USD/JPY, Counterparty CITI, September Strike Price 104.48 JPY, Expires 9/22/20 | 1 | 48,232,000 | 1,085,509 | ||
USD/MXN, Counterparty CITI, March Strike Price 18.35 MXN, Expires 3/06/20 | 1 | 6,550,000 | 11,856 | ||
USD/MXN, Counterparty CITI, March Strike Price 18.68 MXN, Expires 3/09/20 | 1 | 4,610,000 | 15,038 | ||
USD/MXN, Counterparty CITI, May Strike Price 18.31 MXN, Expires 5/14/20 | 1 | 3,552,000 | 11,015 | ||
USD/MXN, Counterparty CITI, September Strike Price 19.11 MXN, Expires 9/03/20 | 1 | 7,684,000 | 91,447 | ||
USD/MXN, Counterparty GSCO, March Strike Price 18.57 MXN, Expires 3/12/20 | 1 | 2,460,000 | 6,745 | ||
USD/MXN, Counterparty JPHQ, March Strike Price 18.74 MXN, Expires 3/05/20 | 1 | 4,011,000 | 13,910 | ||
USD/MXN, Counterparty MSCO, December Strike Price 18.96 MXN, Expires 12/03/19 | 1 | 21,391,000 | 32,771 | ||
USD/MXN, Counterparty MSCO, December Strike Price 20.31 MXN, Expires 12/03/19 | 1 | 10,696,000 | 300,451 | ||
USD/MXN, Counterparty MSCO, December Strike Price 18.68 MXN, Expires 12/10/19 | 1 | 6,147,000 | 5,256 | ||
USD/MXN, Counterparty MSCO, December Strike Price 18.91 MXN, Expires 12/10/19 | 1 | 6,147,000 | 9,761 | ||
USD/MXN, Counterparty MSCO, March Strike Price 18.92 MXN, Expires 3/10/20 | 1 | 3,074,000 | 15,041 | ||
4,423,891 | |||||
Total Options Purchased (Cost $10,629,956) | 9,091,165 | ||||
Total Investments before Short Term Investments (Cost $563,189,020) | 481,765,003 |
Principal Amount* | Value | ||||
Short Term Investments 41.7% | |||||
Foreign Government and Agency Securities 6.5% | |||||
Brazil 0.2% | |||||
Letra Tesouro Nacional, Strip, 1/01/20 - 4/01/20 | 7,460c | BRL | $1,757,049 | ||
Japan 4.7% | |||||
h | Japan Treasury Discount Bill, | ||||
10/07/19 | 1,535,400,000 | JPY | 14,201,970 | ||
10/15/19 | 1,819,600,000 | JPY | 16,831,237 | ||
12/10/19 | 1,287,000,000 | JPY | 11,907,741 | ||
42,940,948 | |||||
South Korea 1.6% | |||||
Korea Monetary Stabilization Bond, senior note, 1.85%, 10/02/19 | 17,190,000,000 | KRW | 14,335,608 | ||
Total Foreign Government and Agency Securities (Cost $59,970,761) | 59,033,605 | ||||
U.S. Government and Agency Securities 10.2% | |||||
United States 10.2% | |||||
h | U.S. Treasury Bill, | ||||
10/24/19 | 16,300,000 | 16,281,437 | |||
11/07/19 | 13,600,000 | 13,576,052 | |||
11/29/19 | 10,148,000 | 10,118,105 | |||
12/05/19 | 9,675,000 | 9,643,971 | |||
12/12/19 | 18,440,000 | 18,374,492 | |||
10/29/19 - 1/30/20 | 21,682,000 | 21,605,989 | |||
U.S. Treasury Note, 1.25%, 1/31/20 | 3,000,000 | 2,993,555 | |||
Total U.S. Government and Agency Securities (Cost $92,548,758) | 92,593,601 | ||||
Total Investments before Money Market Funds (Cost $715,708,539) | 633,392,209 | ||||
Shares | |||||
Money Market Funds (Cost $226,654,980) 25.0% | |||||
United States 25.0% | |||||
i,j | Institutional Fiduciary Trust Money Market Portfolio, 1.71% | 226,654,980 | 226,654,980 | ||
Total Investments (Cost $942,363,519) 94.9% | 860,047,189 | ||||
Options Written (0.7)% | (6,240,113) | ||||
Other Assets, less Liabilities 5.8% | 52,088,448 | ||||
Net Assets 100.0% | $905,895,524 |
Number of Contracts | Notional Amount* | Value | |||
Options Written (0.7)% | |||||
Calls - Over-the-Counter | |||||
Currency Options (0.4)% | |||||
AUD/JPY, Counterparty CITI, November Strike Price 79.77 JPY, Expires 11/06/19 | 1 | 9,273,000 | AUD | $(81) | |
AUD/JPY, Counterparty CITI, November Strike Price 80.15 JPY, Expires 11/06/19 | 1 | 3,864,000 | AUD | (23) | |
AUD/JPY, Counterparty CITI, November Strike Price 80.60 JPY, Expires 11/08/19 | 1 | 7,728,000 | AUD | (42) | |
AUD/JPY, Counterparty CITI, February Strike Price 77.28 JPY, Expires 2/12/20 | 1 | 2,898,000 | AUD | (5,197) | |
AUD/JPY, Counterparty CITI, February Strike Price 78.18 JPY, Expires 2/12/20 | 1 | 1,739,000 | AUD | (1,930) | |
AUD/JPY, Counterparty CITI, February Strike Price 79.45 JPY, Expires 2/12/20 | 1 | 2,608,000 | AUD | (1,487) | |
AUD/JPY, Counterparty CITI, February Strike Price 80.32 JPY, Expires 2/12/20 | 1 | 2,898,000 | AUD | (1,068) | |
AUD/JPY, Counterparty CITI, May Strike Price 78.60 JPY, Expires 5/06/20 | 1 | 6,182,000 | AUD | (13,648) | |
AUD/JPY, Counterparty CITI, May Strike Price 79.10 JPY, Expires 5/06/20 | 1 | 3,864,000 | AUD | (7,010) | |
AUD/JPY, Counterparty CITI, May Strike Price 77.35 JPY, Expires 5/07/20 | 1 | 15,455,000 | AUD | (56,173) | |
AUD/USD, Counterparty HSBK, April Strike Price $0.71, Expires 4/30/20 | 1 | 4,830,000 | AUD | (22,683) | |
AUD/USD, Counterparty HSBK, May Strike Price $0.71, Expires 5/04/20 | 1 | 6,086,000 | AUD | (33,963) | |
AUD/USD, Counterparty HSBK, November Strike Price $0.71, Expires 11/05/20 | 1 | 3,864,000 | AUD | (39,253) | |
AUD/USD, Counterparty HSBK, November Strike Price $0.80, Expires 11/05/20 | 1 | 7,728,000 | AUD | (8,680) | |
AUD/USD, Counterparty HSBK, April Strike Price $0.81, Expires 4/29/21 | 1 | 9,660,000 | AUD | (20,655) | |
AUD/USD, Counterparty HSBK, May Strike Price $0.80, Expires 5/04/21 | 1 | 12,172,000 | AUD | (30,208) | |
AUD/USD, Counterparty HSBK, May Strike Price $0.78, Expires 5/05/21 | 1 | 6,440,000 | AUD | (26,832) | |
USD/JPY, Counterparty CITI, March Strike Price 108.91 JPY, Expires 3/20/20 | 1 | 37,341,000 | (328,713) | ||
USD/JPY, Counterparty CITI, March Strike Price 109.16 JPY, Expires 3/30/20 | 1 | 43,564,000 | (361,058) | ||
USD/JPY, Counterparty CITI, September Strike Price 108.77 JPY, Expires 9/22/20 | 1 | 48,232,000 | (640,376) | ||
USD/MXN, Counterparty CITI, December Strike Price 19.81 MXN, Expires 12/09/19 | 1 | 7,377,000 | (149,797) | ||
USD/MXN, Counterparty CITI, March Strike Price 21.82 MXN, Expires 3/06/20 | 1 | 3,821,000 | (32,330) | ||
USD/MXN, Counterparty CITI, May Strike Price 19.55 MXN, Expires 5/11/20 | 1 | 7,053,000 | (398,974) | ||
USD/MXN, Counterparty CITI, May Strike Price 22.55 MXN, Expires 5/11/20 | 1 | 7,053,000 | (72,512) | ||
USD/MXN, Counterparty CITI, May Strike Price 19.82 MXN, Expires 5/12/20 | 1 | 5,038,000 | (244,711) | ||
USD/MXN, Counterparty CITI, May Strike Price 23.85 MXN, Expires 5/12/20 | 1 | 5,038,000 | (28,460) | ||
USD/MXN, Counterparty CITI, May Strike Price 22.85 MXN, Expires 5/14/20 | 1 | 7,103,000 | (64,531) | ||
USD/MXN, Counterparty CITI, May Strike Price 22.91 MXN, Expires 5/21/20 | 1 | 1,360,000 | (12,656) | ||
USD/MXN, Counterparty CITI, September Strike Price 23.00 MXN, Expires 9/03/20 | 1 | 7,684,000 | (128,922) | ||
USD/MXN, Counterparty CITI, September Strike Price 24.30 MXN, Expires 9/08/20 | 1 | 5,117,000 | (54,593) | ||
USD/MXN, Counterparty GSCO, March Strike Price 19.49 MXN, Expires 3/12/20 | 1 | 4,920,000 | (237,410) | ||
USD/MXN, Counterparty GSCO, March Strike Price 22.11 MXN, Expires 3/12/20 | 1 | 4,920,000 | (36,625) | ||
USD/MXN, Counterparty JPHQ, November Strike Price 21.00 MXN, Expires 11/14/19 | 1 | 14,207,000 | (29,309) | ||
USD/MXN, Counterparty JPHQ, May Strike Price 23.76 MXN, Expires 5/13/20 | 1 | 4,059,000 | (24,021) | ||
USD/MXN, Counterparty MSCO, December Strike Price 19.81 MXN, Expires 12/10/19 | 1 | 12,294,000 | (252,224) | ||
USD/MXN, Counterparty MSCO, March Strike Price 22.56 MXN, Expires 3/05/20 | 1 | 9,221,000 | (47,866) | ||
USD/MXN, Counterparty MSCO, March Strike Price 20.49 MXN, Expires 3/10/20 | 1 | 7,684,000 | (175,380) | ||
USD/MXN, Counterparty MSCO, March Strike Price 22.87 MXN, Expires 3/12/20 | 1 | 3,000,000 | (14,001) | ||
USD/MXN, Counterparty MSCO, June Strike Price 24.20 MXN, Expires 6/15/20 | 1 | 2,000,000 | (12,664) | ||
USD/MXN, Counterparty MSCO, September Strike Price 24.56 MXN, Expires 9/04/20 | 1 | 18,441,000 | (176,610) |
Number of Contracts | Notional Amount* | Value | |||
Options Written (continued) | |||||
Calls - Over-the-Counter (continued) | |||||
Currency Options (continued) | |||||
USD/MXN, Counterparty MSCO, September Strike Price 25.68 MXN, Expires 9/10/20 | 1 | 1,537,000 | $(10,664) | ||
(3,803,340) | |||||
Puts - Over-the-Counter | |||||
Currency Options (0.3)% | |||||
USD/JPY, Counterparty CITI, March Strike Price 102.84 JPY, Expires 3/20/20 | 1 | 37,341,000 | (283,456) | ||
USD/JPY, Counterparty CITI, March Strike Price 100.13 JPY, Expires 3/30/20 | 1 | 21,782,000 | (101,983) | ||
USD/JPY, Counterparty CITI, September Strike Price 100.03 JPY, Expires 9/22/20 | 1 | 24,116,000 | (280,324) | ||
USD/MXN, Counterparty CITI, March Strike Price 18.96 MXN, Expires 3/06/20 | 1 | 6,141,000 | (30,607) | ||
USD/MXN, Counterparty CITI, March Strike Price 19.38 MXN, Expires 3/06/20 | 1 | 3,685,000 | (35,350) | ||
USD/MXN, Counterparty CITI, March Strike Price 19.37 MXN, Expires 3/09/20 | 1 | 9,221,000 | (88,457) | ||
USD/MXN, Counterparty CITI, May Strike Price 19.55 MXN, Expires 5/11/20 | 1 | 7,053,000 | (103,757) | ||
USD/MXN, Counterparty CITI, May Strike Price 19.69 MXN, Expires 5/12/20 | 1 | 2,519,000 | (43,261) | ||
USD/MXN, Counterparty CITI, May Strike Price 19.24 MXN, Expires 5/14/20 | 1 | 10,655,000 | (110,183) | ||
USD/MXN, Counterparty CITI, May Strike Price 20.58 MXN, Expires 5/15/20 | 1 | 4,433,000 | (171,163) | ||
USD/MXN, Counterparty CITI, May Strike Price 19.09 MXN, Expires 5/21/20 | 1 | 1,360,000 | (11,914) | ||
USD/MXN, Counterparty CITI, September Strike Price 19.76 MXN, Expires 9/03/20 | 1 | 15,368,000 | (323,788) | ||
USD/MXN, Counterparty GSCO, March Strike Price 19.40 MXN, Expires 3/12/20 | 1 | 6,100,000 | (61,433) | ||
USD/MXN, Counterparty JPHQ, November Strike Price 19.44 MXN, Expires 11/13/19 | 1 | 4,059,000 | (15,789) | ||
USD/MXN, Counterparty JPHQ, November Strike Price 19.36 MXN, Expires 11/14/19 | 1 | 7,103,000 | (21,281) | ||
USD/MXN, Counterparty JPHQ, December Strike Price 19.36 MXN, Expires 12/19/19 | 1 | 2,670,000 | (14,696) | ||
USD/MXN, Counterparty JPHQ, March Strike Price 19.45 MXN, Expires 3/05/20 | 1 | 8,022,000 | (84,720) | ||
USD/MXN, Counterparty MSCO, December Strike Price 19.74 MXN, Expires 12/03/19 | 1 | 32,087,000 | (348,946) | ||
USD/MXN, Counterparty MSCO, December Strike Price 19.81 MXN, Expires 12/10/19 | 1 | 12,294,000 | (160,301) | ||
USD/MXN, Counterparty MSCO, March Strike Price 19.05 MXN, Expires 3/12/20 | 1 | 3,000,000 | (17,835) | ||
USD/MXN, Counterparty MSCO, June Strike Price 19.05 MXN, Expires 6/15/20 | 1 | 3,000,000 | (27,510) | ||
USD/MXN, Counterparty MSCO, September Strike Price 19.76 MXN, Expires 9/10/20 | 1 | 4,610,000 | (100,019) | ||
(2,436,773) | |||||
Total Options Written (Premiums received $8,402,469) | (6,240,113) |
*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 payment are 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. |
hThe security was issued on a discount basis with no stated coupon rate. |
iSee Note 5 regarding investments in affiliated management investment companies. |
jThe 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 | 3,249,882 | 10/01/19 | $ — | $(10,431) | |
Euro | HSBK | Sell | 2,972,000 | 3,386,743 | 10/01/19 | 147,292 | — | |
Indian Rupee | HSBK | Buy | 309,946,000 | 4,377,150 | 10/03/19 | 8,529 | — | |
Indian Rupee | HSBK | Sell | 309,946,000 | 4,441,442 | 10/03/19 | 55,763 | — | |
Norwegian Krone | DBAB | Buy | 17,872,000 | 1,972,845 | 10/03/19 | — | (8,460) | |
Swedish Krona | DBAB | Buy | 24,303,000 | 2,500,309 | 10/03/19 | — | (31,367) | |
Euro | GSCO | Sell | 2,676,375 | 3,044,751 | 10/04/19 | 126,805 | — | |
Indian Rupee | BNDP | Sell | 363,139,700 | 5,204,364 | 10/07/19 | 68,649 | — | |
Australian Dollar | CITI | Buy | 2,549,800 | 1,730,830 | 10/08/19 | — | (9,318) | |
Australian Dollar | CITI | Sell | 2,549,800 | 1,820,455 | 10/08/19 | 98,944 | — | |
Euro | BOFA | Buy | 1,257,588 | 1,372,530 | 10/08/19 | — | (978) | |
Euro | BOFA | Sell | 1,257,588 | 1,431,927 | 10/08/19 | 60,375 | — | |
Euro | UBSW | Sell | 13,525,000 | 15,405,043 | 10/09/19 | 653,167 | — | |
Swedish Krona | DBAB | Buy | 25,875,233 | 2,653,557 | 10/09/19 | — | (23,764) | |
Australian Dollar | JPHQ | Buy | 6,321,500 | 4,283,771 | 10/11/19 | — | (15,288) | |
Australian Dollar | JPHQ | Sell | 6,321,500 | 4,536,877 | 10/11/19 | 268,395 | — | |
Euro | BZWS | Sell | 4,094,000 | 4,687,978 | 10/11/19 | 221,865 | — | |
Euro | HSBK | Sell | 13,422,375 | 15,368,485 | 10/11/19 | 726,120 | — | |
Euro | JPHQ | Sell | 7,083,554 | 8,112,865 | 10/11/19 | 385,471 | — | |
Australian Dollar | CITI | Buy | 5,634,533 | 3,825,792 | 10/15/19 | — | (20,593) | |
Australian Dollar | CITI | Sell | 5,634,533 | 4,038,045 | 10/15/19 | 232,845 | — | |
Australian Dollar | JPHQ | Buy | 10,311,000 | 6,988,043 | 10/15/19 | — | (24,661) | |
Australian Dollar | JPHQ | Sell | 10,311,000 | 7,390,564 | 10/15/19 | 427,182 | — | |
Euro | GSCO | Sell | 748,727 | 856,012 | 10/15/19 | 38,961 | — | |
Swedish Krona | DBAB | Buy | 25,286,200 | 2,371,597 | EUR | 10/15/19 | — | (16,982) |
Euro | BOFA | Buy | 6,265,500 | 6,842,496 | 10/16/19 | — | (4,681) | |
Euro | BOFA | Sell | 6,265,500 | 7,201,566 | 10/16/19 | 363,750 | — | |
Euro | GSCO | Sell | 1,183,000 | 1,359,657 | 10/16/19 | 68,598 | — | |
Euro | SCNY | Sell | 6,873,000 | 7,894,259 | 10/17/19 | 392,831 | — | |
South Korean Won | CITI | Sell | 616,384,000 | 542,592 | 10/17/19 | 28,291 | — | |
Japanese Yen | HSBK | Buy | 1,305,707,190 | 12,171,837 | 10/21/19 | — | (76,130) | |
Japanese Yen | HSBK | Sell | 1,305,707,190 | 12,341,045 | 10/21/19 | 245,337 | — | |
Japanese Yen | JPHQ | Buy | 822,634,530 | 7,662,749 | 10/21/19 | — | (42,092) | |
Japanese Yen | JPHQ | Sell | 822,634,530 | 7,747,932 | 10/21/19 | 127,275 | — |
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts (continued) | ||||||||
Euro | GSCO | Sell | 1,285,391 | 1,474,793 | 10/23/19 | $71,176 | $ — | |
Euro | JPHQ | Sell | 11,085,000 | 12,722,809 | 10/23/19 | 618,245 | — | |
Euro | UBSW | Sell | 5,829,129 | 6,696,387 | 10/23/19 | 331,113 | — | |
Euro | UBSW | Sell | 1,228,000 | 1,410,229 | 10/24/19 | 69,170 | — | |
Japanese Yen | CITI | Buy | 491,209,600 | 4,575,175 | 10/28/19 | — | (22,399) | |
Japanese Yen | CITI | Sell | 166,818,000 | 1,552,210 | 10/28/19 | 6,057 | — | |
Euro | BOFA | Buy | 8,723,695 | 9,535,871 | 10/29/19 | — | (5,060) | |
Euro | BOFA | Sell | 8,723,695 | 9,871,297 | 10/29/19 | 340,486 | — | |
Euro | GSCO | Sell | 451,231 | 510,613 | 10/29/19 | 17,634 | — | |
Euro | JPHQ | Sell | 33,330 | 37,706 | 10/29/19 | 1,292 | — | |
Euro | SCNY | Sell | 4,300,311 | 4,866,236 | 10/29/19 | 168,060 | — | |
Swedish Krona | DBAB | Buy | 40,231,960 | 4,180,335 | 10/29/19 | — | (85,557) | |
Euro | BOFA | Buy | 8,723,695 | 9,537,092 | 10/31/19 | — | (4,870) | |
Euro | BOFA | Sell | 8,723,695 | 9,864,144 | 10/31/19 | 331,921 | — | |
Euro | CITI | Sell | 283,400 | 33,380,916 | JPY | 10/31/19 | — | (211) |
Euro | GSCO | Sell | 1,784,250 | 2,016,854 | 10/31/19 | 67,236 | — | |
Indian Rupee | BNDP | Sell | 366,171,300 | 5,062,369 | 11/06/19 | — | (96,574) | |
Indian Rupee | HSBK | Sell | 602,804,357 | 8,288,819 | 11/06/19 | — | (204,019) | |
Indian Rupee | HSBK | Sell | 497,014,061 | 6,852,058 | 11/07/19 | — | (149,468) | |
Euro | JPHQ | Sell | 4,312,000 | 4,896,664 | 11/08/19 | 182,562 | — | |
South Korean Won | HSBK | Sell | 7,321,000,000 | 6,042,423 | 11/12/19 | — | (70,519) | |
Australian Dollar | CITI | Buy | 5,614,733 | 3,815,155 | 11/13/19 | — | (19,701) | |
Australian Dollar | CITI | Sell | 5,614,733 | 3,929,190 | 11/13/19 | 133,736 | — | |
Australian Dollar | JPHQ | Buy | 6,321,500 | 4,287,475 | 11/13/19 | — | (14,260) | |
Australian Dollar | JPHQ | Sell | 6,321,500 | 4,429,949 | 11/13/19 | 156,733 | — | |
Euro | JPHQ | Sell | 3,156,669 | 3,559,729 | 11/13/19 | 107,568 | — | |
Indian Rupee | HSBK | Sell | 425,413,000 | 5,913,442 | 11/13/19 | — | (75,091) | |
Swedish Krona | DBAB | Buy | 25,286,200 | 2,370,963 | EUR | 11/13/19 | — | (16,997) |
Australian Dollar | JPHQ | Buy | 14,547,500 | 9,866,900 | 11/14/19 | — | (32,792) | |
Australian Dollar | JPHQ | Sell | 14,547,500 | 10,217,437 | 11/14/19 | 383,328 | — | |
Euro | HSBK | Sell | 7,662,000 | 8,738,434 | 11/14/19 | 358,658 | — | |
Norwegian Krone | DBAB | Buy | 35,409,000 | 3,977,632 | 11/14/19 | — | (83,034) | |
Australian Dollar | CITI | Buy | 5,614,734 | 3,815,324 | 11/15/19 | — | (19,660) | |
Australian Dollar | CITI | Sell | 5,614,733 | 3,933,121 | 11/15/19 | 137,457 | — | |
Australian Dollar | JPHQ | Buy | 7,979,000 | 5,411,932 | 11/15/19 | — | (17,981) | |
Australian Dollar | JPHQ | Sell | 7,979,000 | 5,589,688 | 11/15/19 | 195,737 | — | |
Euro | CITI | Buy | 1,417,000 | 1,555,016 | 11/15/19 | — | (5,170) | |
Euro | CITI | Sell | 1,417,000 | 1,619,489 | 11/15/19 | 69,644 | — | |
Euro | JPHQ | Sell | 932,604 | 1,066,041 | 11/15/19 | 46,004 | — | |
South Korean Won | CITI | Sell | 5,173,000,000 | 4,427,422 | 11/15/19 | 107,719 | — | |
Indian Rupee | HSBK | Sell | 553,716,000 | 7,670,790 | 11/18/19 | — | (119,165) | |
Norwegian Krone | DBAB | Buy | 14,610,000 | 1,636,856 | 11/18/19 | — | (29,853) | |
Norwegian Krone | DBAB | Buy | 59,090,000 | 6,567,124 | 11/19/19 | — | (67,555) | |
Swedish Krona | DBAB | Buy | 4,832,000 | 503,905 | 11/19/19 | — | (11,496) | |
Australian Dollar | JPHQ | Buy | 4,614,000 | 3,129,953 | 11/20/19 | — | (10,375) | |
Australian Dollar | JPHQ | Sell | 4,614,000 | 3,198,909 | 11/20/19 | 79,331 | — | |
Euro | BOFA | Buy | 13,098,580 | 14,340,011 | 11/20/19 | — | (8,745) | |
Euro | BOFA | Sell | 13,098,580 | 14,865,055 | 11/20/19 | 533,789 | — |
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts (continued) | ||||||||
Euro | GSCO | Sell | 3,105,000 | 3,522,157 | 11/20/19 | $124,950 | $ — | |
Euro | JPHQ | Sell | 36,690,814 | 41,663,336 | 11/20/19 | 1,519,611 | — | |
Indian Rupee | JPHQ | Sell | 299,959,000 | 4,165,345 | 11/20/19 | — | (53,612) | |
Australian Dollar | JPHQ | Buy | 3,926,000 | 2,663,312 | 11/21/19 | — | (8,825) | |
Australian Dollar | JPHQ | Sell | 3,926,000 | 2,711,335 | 11/21/19 | 56,848 | — | |
Australian Dollar | JPHQ | Sell | 16,082,875 | 1,156,086,917 | JPY | 11/21/19 | — | (143,636) |
Euro | GSCO | Sell | 1,285,078 | 1,457,471 | 11/21/19 | 51,365 | — | |
Euro | JPHQ | Sell | 12,683,779 | 14,369,326 | 11/21/19 | 490,992 | — | |
Euro | UBSW | Sell | 6,199,607 | 7,026,263 | 11/21/19 | 242,778 | — | |
South Korean Won | CITI | Sell | 6,847,000,000 | 5,659,613 | 11/21/19 | — | (58,791) | |
Euro | HSBK | Sell | 7,079,963 | 835,331,580 | JPY | 11/22/19 | 6,510 | — |
Euro | JPHQ | Sell | 12,683,779 | 14,143,175 | 11/22/19 | 263,934 | — | |
Japanese Yen | CITI | Buy | 1,040,048,500 | 9,834,996 | 11/26/19 | — | (178,746) | |
Japanese Yen | CITI | Sell | 1,040,048,500 | 9,733,016 | 11/26/19 | 76,765 | — | |
Norwegian Krone | DBAB | Buy | 43,803,500 | 4,888,156 | 11/26/19 | — | (69,680) | |
Swedish Krona | DBAB | Buy | 97,113,000 | 10,110,093 | 11/26/19 | — | (209,630) | |
Japanese Yen | JPHQ | Buy | 739,460,800 | 6,986,125 | 11/27/19 | — | (120,259) | |
Euro | BZWS | Sell | 1,087,889 | 1,230,076 | 11/29/19 | 39,108 | — | |
Euro | GSCO | Sell | 1,348,769 | 1,525,828 | 11/29/19 | 49,262 | — | |
Euro | MSCO | Sell | 4,545,000 | 5,140,486 | 11/29/19 | 164,840 | — | |
Swedish Krona | DBAB | Buy | 60,018,807 | 6,238,144 | 11/29/19 | — | (118,277) | |
Australian Dollar | CITI | Buy | 2,549,800 | 1,733,405 | 12/03/19 | — | (8,824) | |
Australian Dollar | CITI | Sell | 2,549,800 | 1,774,941 | 12/03/19 | 50,360 | — | |
Australian Dollar | GSCO | Buy | 26,618,090 | 18,135,379 | 12/04/19 | — | (131,447) | |
Australian Dollar | GSCO | Sell | 26,618,090 | 18,553,075 | 12/04/19 | 549,143 | — | |
Euro | BOFA | Buy | 2,616,700 | 2,867,712 | 12/04/19 | — | (1,699) | |
Euro | BOFA | Sell | 7,200,930 | 8,157,033 | 12/04/19 | 270,016 | — | |
Euro | GSCO | Sell | 2,676,375 | 3,034,260 | 12/04/19 | 102,886 | — | |
Euro | HSBK | Sell | 4,550,000 | 5,155,241 | 12/04/19 | 171,728 | — | |
Euro | JPHQ | Sell | 6,016,524 | 6,832,515 | 12/05/19 | 242,117 | — | |
Euro | SCNY | Sell | 1,325,806 | 1,505,559 | 12/05/19 | 53,293 | — | |
Indian Rupee | HSBK | Sell | 308,587,000 | 4,212,504 | 12/05/19 | — | (119,514) | |
Japanese Yen | JPHQ | Buy | 432,810,070 | 4,056,132 | 12/05/19 | — | (34,419) | |
Japanese Yen | JPHQ | Sell | 432,810,070 | 4,087,679 | 12/05/19 | 65,967 | — | |
Japanese Yen | HSBK | Buy | 1,329,338,880 | 12,463,433 | 12/06/19 | — | (109,748) | |
Japanese Yen | HSBK | Sell | 1,329,338,880 | 12,599,771 | 12/06/19 | 246,087 | — | |
Japanese Yen | JPHQ | Buy | 450,247,630 | 4,220,606 | 12/06/19 | — | (36,408) | |
Japanese Yen | JPHQ | Sell | 450,247,630 | 4,252,625 | 12/06/19 | 68,427 | — | |
Euro | BOFA | Sell | 1,258,386 | 1,440,009 | 12/09/19 | 61,064 | — | |
Australian Dollar | HSBK | Sell | 9,880,000 | 741,302,960 | JPY | 12/12/19 | 209,278 | — |
Australian Dollar | JPHQ | Sell | 4,480,000 | 335,794,368 | JPY | 12/12/19 | 91,706 | — |
Swedish Krona | DBAB | Buy | 25,286,200 | 2,370,185 | EUR | 12/13/19 | — | (16,738) |
Indian Rupee | HSBK | Sell | 213,251,757 | 2,939,174 | 12/16/19 | — | (49,967) | |
Indian Rupee | JPHQ | Sell | 805,429,500 | 11,156,692 | 12/16/19 | — | (132,978) | |
Euro | BOFA | Sell | 6,549,290 | 7,466,191 | 12/18/19 | 283,233 | — | |
Euro | GSCO | Sell | 748,727 | 852,650 | 12/18/19 | 31,481 | — | |
Japanese Yen | HSBK | Buy | 1,356,630,000 | 12,660,717 | 12/19/19 | — | (35,583) | |
Japanese Yen | HSBK | Sell | 1,019,822,880 | 9,673,536 | 12/19/19 | 182,812 | — |
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts (continued) | ||||||||
Norwegian Krone | DBAB | Buy | 59,090,000 | 6,569,132 | 12/19/19 | $ — | $(66,104) | |
Japanese Yen | JPHQ | Buy | 666,398,580 | 6,222,534 | 12/20/19 | — | (20,190) | |
Japanese Yen | JPHQ | Sell | 666,398,580 | 6,299,293 | 12/20/19 | 96,949 | — | |
Norwegian Krone | DBAB | Buy | 35,776,500 | 3,998,268 | 12/23/19 | — | (60,618) | |
Euro | CITI | Sell | 283,400 | 33,393,952 | JPY | 12/30/19 | — | (40) |
Indian Rupee | BNDP | Sell | 102,165,000 | 1,400,528 | 1/13/20 | — | (26,175) | |
Australian Dollar | JPHQ | Sell | 6,470,000 | 474,567,965 | JPY | 1/14/20 | 44,505 | — |
Australian Dollar | JPHQ | Buy | 10,311,000 | 7,003,994 | 1/15/20 | — | (21,910) | |
Australian Dollar | JPHQ | Sell | 10,311,000 | 7,224,041 | 1/15/20 | 241,957 | — | |
Indian Rupee | CITI | Sell | 793,162,000 | 10,831,107 | 1/16/20 | — | (240,853) | |
South Korean Won | HSBK | Sell | 12,970,000,000 | 11,082,628 | 1/30/20 | 225,626 | — | |
Euro | JPHQ | Sell | 893,000 | 1,009,304 | 2/03/20 | 26,496 | — | |
Indian Rupee | HSBK | Sell | 309,946,000 | 4,304,806 | 2/03/20 | — | (11,751) | |
South Korean Won | DBAB | Sell | 5,870,000,000 | 4,864,910 | 2/10/20 | — | (50,806) | |
Swedish Krona | DBAB | Buy | 25,286,100 | 2,368,544 | EUR | 2/13/20 | — | (16,831) |
Australian Dollar | JPHQ | Sell | 16,082,875 | 1,150,914,665 | JPY | 2/21/20 | — | (142,181) |
Euro | SCNY | Sell | 3,955,000 | 4,438,894 | 2/24/20 | 79,999 | — | |
Australian Dollar | CITI | Sell | 10,996,440 | 786,149,250 | JPY | 2/25/20 | — | (103,333) |
Australian Dollar | JPHQ | Sell | 10,420,500 | 747,300,947 | JPY | 2/25/20 | — | (76,171) |
Euro | HSBK | Sell | 7,079,963 | 835,461,144 | JPY | 2/25/20 | 7,481 | — |
Japanese Yen | CITI | Buy | 1,097,248,900 | 10,447,015 | 2/26/20 | — | (187,857) | |
Japanese Yen | CITI | Sell | 1,097,248,900 | 10,261,616 | 2/26/20 | 2,458 | — | |
Norwegian Krone | DBAB | Buy | 43,803,500 | 4,891,677 | 2/26/20 | — | (69,088) | |
Japanese Yen | CITI | Buy | 748,182,800 | 7,116,496 | 2/27/20 | — | (120,642) | |
Japanese Yen | CITI | Sell | 748,182,800 | 7,000,213 | 2/27/20 | 4,359 | — | |
Japanese Yen | JPHQ | Buy | 739,475,000 | 7,033,438 | 2/27/20 | — | (119,006) | |
Euro | BZWS | Sell | 2,175,778 | 2,445,020 | 2/28/20 | 46,400 | — | |
Japanese Yen | CITI | Buy | 1,436,811,000 | 13,762,749 | 2/28/20 | — | (327,084) | |
Japanese Yen | CITI | Sell | 1,436,811,000 | 13,437,119 | 2/28/20 | 1,455 | — | |
Australian Dollar | CITI | Sell | 5,777,000 | 413,734,493 | JPY | 3/06/20 | — | (46,013) |
Japanese Yen | HSBK | Buy | 520,970,830 | 4,910,576 | 3/06/20 | — | (36,881) | |
Japanese Yen | JPHQ | Buy | 494,791,690 | 4,668,862 | 3/06/20 | — | (40,074) | |
Japanese Yen | JPHQ | Sell | 494,791,690 | 4,703,181 | 3/06/20 | 74,393 | — | |
South Korean Won | DBAB | Sell | 5,874,000,000 | 4,885,636 | 3/06/20 | — | (38,034) | |
Australian Dollar | JPHQ | Sell | 5,850,000 | 436,559,526 | JPY | 3/12/20 | 118,970 | — |
Australian Dollar | HSBK | Sell | 2,520,000 | 187,363,260 | JPY | 3/13/20 | 44,829 | — |
Swedish Krona | DBAB | Buy | 25,286,200 | 2,367,666 | EUR | 3/13/20 | — | (16,829) |
Indian Rupee | JPHQ | Sell | 220,854,500 | 3,024,368 | 3/16/20 | — | (34,827) | |
South Korean Won | CITI | Sell | 2,579,000,000 | 2,190,885 | 3/20/20 | 27,997 | — | |
Euro | GSCO | Sell | 1,285,078 | 1,440,289 | 3/23/20 | 21,305 | — | |
Japanese Yen | HSBK | Buy | 1,966,726,540 | 18,509,746 | 3/23/20 | — | (91,875) | |
Japanese Yen | HSBK | Sell | 1,583,000,000 | 15,092,030 | 3/23/20 | 267,656 | — | |
Japanese Yen | JPHQ | Buy | 1,331,363,580 | 12,520,037 | 3/23/20 | — | (52,171) | |
Japanese Yen | JPHQ | Sell | 1,331,363,580 | 12,666,960 | 3/23/20 | 199,094 | — | |
Norwegian Krone | DBAB | Buy | 35,776,500 | 4,001,532 | 3/23/20 | — | (62,380) | |
Japanese Yen | JPHQ | Buy | 345,545,070 | 3,280,374 | 3/24/20 | — | (44,239) | |
Japanese Yen | JPHQ | Sell | 345,545,070 | 3,291,407 | 3/24/20 | 55,272 | — | |
Norwegian Krone | DBAB | Buy | 26,911,000 | 2,992,738 | 3/24/20 | — | (29,708) |
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts (continued) | ||||||||
Euro | HSBK | Sell | 7,080,147 | 837,015,006 | JPY | 3/25/20 | $20,421 | $ — |
Euro | JPHQ | Sell | 3,359,037 | 3,739,313 | 3/25/20 | 29,762 | — | |
Euro | BZWS | Sell | 1,087,889 | 1,205,376 | 3/31/20 | 3,490 | — | |
Euro | CITI | Sell | 283,400 | 33,395,794 | JPY | 3/31/20 | — | (202) |
Euro | SCNY | Sell | 4,385,601 | 4,861,614 | 3/31/20 | 16,460 | — | |
Euro | HSBK | Sell | 2,972,000 | 3,293,511 | 4/01/20 | 9,873 | — | |
Euro | CITI | Sell | 40,685,750 | 4,795,979,249 | JPY | 4/02/20 | — | (14,596) |
Australian Dollar | JPHQ | Sell | 16,082,875 | 1,147,022,609 | JPY | 5/21/20 | — | (140,993) |
Euro | HSBK | Sell | 7,079,963 | 835,990,017 | JPY | 5/22/20 | 8,997 | — |
Japanese Yen | HSBK | Buy | 520,970,850 | 4,939,067 | 6/08/20 | — | (37,622) | |
Japanese Yen | JPHQ | Buy | 494,791,690 | 4,696,337 | 6/08/20 | — | (41,193) | |
Japanese Yen | JPHQ | Sell | 494,791,690 | 4,733,082 | 6/08/20 | 77,939 | — | |
Australian Dollar | HSBK | Sell | 2,560,000 | 189,807,360 | JPY | 6/12/20 | 47,096 | — |
Australian Dollar | JPHQ | Sell | 6,990,000 | 518,468,537 | JPY | 6/12/20 | 130,529 | — |
Euro | JPHQ | Sell | 916,524 | 1,065,111 | 6/15/20 | 47,558 | — | |
Swedish Krona | DBAB | Buy | 25,286,100 | 2,364,645 | EUR | 6/15/20 | — | (16,754) |
Japanese Yen | JPHQ | Buy | 666,398,580 | 6,301,528 | 6/22/20 | — | (26,556) | |
Japanese Yen | JPHQ | Sell | 666,398,580 | 6,378,912 | 6/22/20 | 103,940 | — | |
Japanese Yen | BNDP | Buy | 1,684,055,930 | 16,084,717 | 6/24/20 | — | (225,319) | |
Euro | CITI | Sell | 283,400 | 33,390,126 | JPY | 6/30/20 | — | (385) |
Australian Dollar | JPHQ | Sell | 16,082,875 | 1,143,008,300 | JPY | 8/21/20 | — | (139,466) |
Australian Dollar | CITI | Sell | 10,967,160 | 778,434,201 | JPY | 8/24/20 | — | (103,687) |
Australian Dollar | JPHQ | Sell | 10,420,500 | 742,095,907 | JPY | 8/24/20 | — | (75,243) |
Euro | HSBK | Sell | 7,079,963 | 836,619,426 | JPY | 8/24/20 | 11,353 | — |
Japanese Yen | CITI | Buy | 900,237,000 | 8,710,604 | 8/31/20 | — | (199,089) | |
Japanese Yen | CITI | Sell | 900,237,000 | 8,512,960 | 8/31/20 | 1,444 | — | |
Euro | CITI | Sell | 283,400 | 33,401,462 | JPY | 9/30/20 | — | (431) |
Total Forward Exchange Contracts | $17,123,725 | $(6,269,285) | ||||||
Net unrealized appreciation (depreciation) | $10,854,440 |
*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 2.378% | Semi-Annual | 11/18/46 | $56,100,000 | $(8,681,937) | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 2.537% | Semi-Annual | 4/13/47 | 12,300,000 | (2,375,324) | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 2.980% | Semi-Annual | 2/20/48 | 12,196,000 | (3,591,467) |
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 3.002% | Semi-Annual | 2/22/48 | $12,196,000 | $(3,654,737) | ||
Receive Floating 3-month USD LIBOR | Quarterly | |||||
Pay Fixed 3.019% | Semi-Annual | 2/23/48 | 12,196,000 | (3,702,700) | ||
Total Interest Rate Swap Contracts | $(22,006,165) |
Value at Beginning of Period | Purchases | Sales | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value at End of Period | Number of Shares Held at End of Period | Dividend Income | |
Non-Controlled Affiliates | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.71% | $236,712,686 | $126,393,343 | $(136,451,049) | $ — | $ — | $226,654,980 | 226,654,980 | $3,445,836 |
• | 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 | $— | $467,966,131 | $— | $467,966,131 |
U.S. Government and Agency Securities | — | 4,707,707 | — | 4,707,707 |
Options Purchased | — | 9,091,165 | — | 9,091,165 |
Short Term Investments | 316,255,026 | 62,027,160 | — | 378,282,186 |
Total Investments in Securities | $316,255,026 | $543,792,163 | $ — | $860,047,189 |
Other Financial Instruments: | ||||
Forward Exchange Contracts | $— | $17,123,725 | $— | $17,123,725 |
Liabilities: | ||||
Other Financial Instruments: | ||||
Options Written | $— | $6,240,113 | $— | $6,240,113 |
Forward Exchange Contracts | — | 6,269,285 | — | 6,269,285 |
Swap Contracts | — | 22,006,165 | — | 22,006,165 |
Total Other Financial Instruments | $ — | $34,515,563 | $ — | $34,515,563 |
aFor detailed categories, see the accompanying Statement of Investments. |