HTML
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2019
International Equity Fund
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| Description |
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Shares |
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Market Value
($ Thousands) |
|
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| COMMON STOCK — 94.6% |
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| Australia — 3.1% |
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| Alumina Ltd |
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167,706 |
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|
$ |
271 |
|
| APA Group |
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|
33,261 |
|
|
|
260 |
|
| Aristocrat Leisure Ltd |
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|
678,086 |
|
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|
16,049 |
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| ASX Ltd |
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|
35,377 |
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|
1,950 |
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| Avita Medical Ltd *(A) |
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44,229,403 |
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20,054 |
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| BlueScope Steel Ltd |
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543,083 |
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5,749 |
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| Coca-Cola Amatil Ltd |
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67,862 |
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|
528 |
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| Cochlear Ltd |
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79,211 |
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12,513 |
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| Coles Group Ltd |
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41,701 |
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|
435 |
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| Computershare Ltd |
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21,902 |
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|
258 |
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| CSL Ltd |
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124,319 |
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24,099 |
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| Fortescue Metals Group Ltd |
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1,663,612 |
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|
12,501 |
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| Goodman Group
‡(A) |
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|
114,723 |
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|
|
1,078 |
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| Insurance Australia Group Ltd |
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1,184,240 |
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6,377 |
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| Lendlease Group |
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|
88,345 |
|
|
|
1,093 |
|
| Macquarie Group Ltd |
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|
14,933 |
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|
1,447 |
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| Magellan Financial Group Ltd |
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|
23,120 |
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|
926 |
|
| Newcrest Mining Ltd |
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|
342,286 |
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|
7,278 |
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| Orica Ltd |
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|
31,351 |
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|
484 |
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| Qantas Airways Ltd (A) |
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1,727,393 |
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8,634 |
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| REA Group Ltd |
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|
2,406 |
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|
175 |
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| Rio Tinto Ltd |
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|
18,453 |
|
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|
1,302 |
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| Santos Ltd |
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188,783 |
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|
1,086 |
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| SEEK Ltd |
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|
39,185 |
|
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|
621 |
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| Sonic Healthcare Ltd |
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|
10,756 |
|
|
|
217 |
|
| South32 Ltd |
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3,623,948 |
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|
6,878 |
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| Stockland
‡ |
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|
140,771 |
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|
457 |
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| Sydney Airport (A) |
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131,247 |
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|
799 |
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| Treasury Wine Estates Ltd |
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43,377 |
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|
495 |
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| Woolworths Group Ltd |
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43,696 |
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1,111 |
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135,125 |
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| Austria — 1.2% |
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| Avita Medical Ltd ADR *(A) |
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2,920,713 |
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|
26,579 |
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| BAWAG Group AG * |
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|
317,202 |
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|
14,454 |
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| Erste Group Bank AG * |
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39,100 |
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|
1,481 |
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| OMV AG |
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|
182,033 |
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10,236 |
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| Raiffeisen Bank International AG |
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|
23,093 |
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|
581 |
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53,331 |
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| Belgium — 1.2% |
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| Ageas |
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417,355 |
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24,708 |
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| Colruyt SA |
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31,275 |
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1,633 |
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| Groupe Bruxelles Lambert SA |
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|
110,243 |
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|
11,631 |
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| KBC Group NV |
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|
117,157 |
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8,832 |
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| Proximus SADP |
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|
19,001 |
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|
544 |
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| Description |
|
Shares |
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Market Value
($ Thousands) |
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| COMMON STOCK (continued) |
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| UCB SA |
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81,050 |
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$ |
6,450 |
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53,798 |
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| Canada — 2.7% |
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| Alimentation Couche-Tard Inc, Cl B |
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235,508 |
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7,484 |
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| Bank of Montreal |
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|
32,900 |
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|
2,553 |
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| Canadian Imperial Bank of Commerce (A) |
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|
144,604 |
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12,050 |
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| Canadian Natural Resources Ltd |
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501,156 |
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16,213 |
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| Canadian Pacific Railway Ltd |
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|
74,714 |
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19,048 |
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| CGI Inc, Cl A * |
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|
10,600 |
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|
888 |
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| Constellation Software Inc/Canada |
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|
500 |
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|
486 |
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| Dollarama Inc |
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176,667 |
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6,080 |
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| Encana Corp |
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2,528,928 |
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11,857 |
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| Gildan Activewear Inc |
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143,904 |
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4,260 |
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| iA Financial Corp Inc |
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|
5,600 |
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|
308 |
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| Manulife Financial Corp |
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|
679,275 |
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|
13,808 |
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| Power Corp of Canada |
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43,000 |
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|
1,109 |
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| Royal Bank of Canada |
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|
25,499 |
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|
2,021 |
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| Sun Life Financial Inc (A) |
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|
51,300 |
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|
2,343 |
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| Suncor Energy Inc |
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|
221,733 |
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7,278 |
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| Toronto-Dominion Bank/The |
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|
187,186 |
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|
10,513 |
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118,299 |
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| China — 1.5% |
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| Alibaba Group Holding Ltd ADR * |
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|
54,434 |
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|
11,546 |
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| Baidu Inc ADR * |
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|
138,302 |
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|
17,482 |
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| China Communications Services Corp Ltd, Cl H |
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|
2,053,584 |
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|
1,497 |
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| China Lesso Group Holdings Ltd |
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|
696,000 |
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|
892 |
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| Industrial & Commercial Bank of China Ltd, Cl H |
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|
4,326,000 |
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|
3,331 |
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| JD.com Inc ADR * |
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|
73,726 |
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|
2,597 |
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| Ping An Insurance Group Co of China Ltd, Cl H |
|
|
47,000 |
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|
|
556 |
|
| Sinopharm Group Co Ltd, Cl H |
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|
950,145 |
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|
3,469 |
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| Sinotruk Hong Kong Ltd |
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|
153,254 |
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|
|
327 |
|
| STMicroelectronics NV |
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|
55,848 |
|
|
|
1,507 |
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| Tencent Holdings Ltd |
|
|
320,700 |
|
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|
15,459 |
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| Tsingtao Brewery Co Ltd, Cl H |
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|
88,000 |
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|
|
591 |
|
| Vipshop Holdings Ltd ADR * |
|
|
337,241 |
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|
4,779 |
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64,033 |
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| Denmark — 2.1% |
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| Carlsberg A/S, Cl B |
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10,263 |
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|
1,532 |
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| Chr Hansen Holding A/S |
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47,691 |
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|
3,792 |
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| Coloplast A/S, Cl B |
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|
11,463 |
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|
1,422 |
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| DSV PANALPINA A/S |
|
|
112,230 |
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|
12,942 |
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| Genmab A/S * |
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|
1,845 |
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|
410 |
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| GN Store Nord A/S |
|
|
51,674 |
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|
2,433 |
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| H Lundbeck A/S |
|
|
149,151 |
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|
5,700 |
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| ISS A/S |
|
|
686,022 |
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|
16,471 |
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| Novo Nordisk A/S, Cl B |
|
|
395,240 |
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|
22,966 |
|
| Novozymes A/S, Cl B |
|
|
41,474 |
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|
2,029 |
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| Description |
|
Shares |
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|
Market Value
($ Thousands) |
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| COMMON STOCK (continued) |
|
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| Orsted A/S |
|
|
35,892 |
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|
$ |
3,719 |
|
| Scandinavian Tobacco Group A/S |
|
|
1,339,439 |
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|
16,369 |
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| SimCorp A/S |
|
|
30,019 |
|
|
|
3,417 |
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| Tryg A/S |
|
|
13,103 |
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|
389 |
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93,591 |
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| Finland — 0.4% |
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| Elisa Oyj, Cl A |
|
|
23,880 |
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|
|
1,318 |
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| Fortum Oyj |
|
|
80,898 |
|
|
|
1,998 |
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| Kone Oyj, Cl B |
|
|
3,128 |
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|
|
204 |
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| Metso Oyj |
|
|
19,617 |
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|
775 |
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| Neste Oyj |
|
|
132,368 |
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|
|
4,612 |
|
| Orion Oyj, Cl B |
|
|
139,836 |
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|
6,472 |
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| Stora Enso Oyj, Cl R |
|
|
49,139 |
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|
|
715 |
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| UPM-Kymmene Oyj |
|
|
78,611 |
|
|
|
2,727 |
|
| Valmet Oyj |
|
|
18,845 |
|
|
|
452 |
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|
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|
19,273 |
|
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| France — 7.9% |
|
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| Aeroports de Paris |
|
|
2,455 |
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|
486 |
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| Air France-KLM * |
|
|
776,480 |
|
|
|
8,652 |
|
| Air Liquide SA |
|
|
72,335 |
|
|
|
10,258 |
|
| Airbus SE |
|
|
26,720 |
|
|
|
3,920 |
|
| Alstom SA * |
|
|
17,863 |
|
|
|
849 |
|
| Amundi SA |
|
|
11,275 |
|
|
|
887 |
|
| Arkema SA |
|
|
37,787 |
|
|
|
4,018 |
|
| Atos SE |
|
|
67,410 |
|
|
|
5,638 |
|
| BNP Paribas SA |
|
|
316,169 |
|
|
|
18,809 |
|
| Bollore SA |
|
|
1,820,544 |
|
|
|
7,956 |
|
| Bouygues SA |
|
|
5,771 |
|
|
|
246 |
|
| Capgemini SE |
|
|
72,548 |
|
|
|
8,870 |
|
| Carrefour SA |
|
|
1,220,956 |
|
|
|
20,484 |
|
| CGG SA * |
|
|
352,977 |
|
|
|
1,155 |
|
| Christian Dior SE |
|
|
1,035 |
|
|
|
531 |
|
| Cie de Saint-Gobain |
|
|
179,195 |
|
|
|
7,348 |
|
| CNP Assurances |
|
|
7,323 |
|
|
|
146 |
|
| Covivio
‡ |
|
|
7,765 |
|
|
|
881 |
|
| Credit Agricole SA |
|
|
193,347 |
|
|
|
2,810 |
|
| Criteo SA ADR * |
|
|
60,571 |
|
|
|
1,050 |
|
| Danone SA |
|
|
119,309 |
|
|
|
9,914 |
|
| Dassault Aviation SA |
|
|
87 |
|
|
|
115 |
|
| Dassault Systemes SE |
|
|
2,472 |
|
|
|
408 |
|
| Edenred |
|
|
46,418 |
|
|
|
2,405 |
|
| Eiffage SA |
|
|
15,499 |
|
|
|
1,775 |
|
| Engie SA |
|
|
610,661 |
|
|
|
9,879 |
|
| EssilorLuxottica SA |
|
|
110,728 |
|
|
|
16,930 |
|
| Euronext NV |
|
|
49,557 |
|
|
|
4,045 |
|
| Faurecia SE |
|
|
17,582 |
|
|
|
950 |
|
| Gecina SA
‡ |
|
|
7,468 |
|
|
|
1,339 |
|
| Hermes International |
|
|
6,416 |
|
|
|
4,811 |
|
| ICADE
‡ |
|
|
4,217 |
|
|
|
460 |
|
| Ingenico Group SA |
|
|
40,664 |
|
|
|
4,420 |
|
|
|
|
|
|
|
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|
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| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Ipsen SA |
|
|
55,322 |
|
|
$ |
4,911 |
|
| IPSOS |
|
|
18,645 |
|
|
|
607 |
|
| Kering SA |
|
|
6,902 |
|
|
|
4,538 |
|
| Klepierre SA
‡ |
|
|
4,968 |
|
|
|
189 |
|
| Legrand SA |
|
|
9,157 |
|
|
|
748 |
|
| L’Oreal SA |
|
|
22,300 |
|
|
|
6,614 |
|
| LVMH Moet Hennessy Louis Vuitton SE |
|
|
51,483 |
|
|
|
23,989 |
|
| Pernod Ricard SA |
|
|
123,816 |
|
|
|
22,192 |
|
| Peugeot SA |
|
|
465,715 |
|
|
|
11,212 |
|
| Publicis Groupe SA |
|
|
244,069 |
|
|
|
11,064 |
|
| Quadient |
|
|
14,441 |
|
|
|
350 |
|
| Rexel SA |
|
|
283,012 |
|
|
|
3,776 |
|
| Safran SA |
|
|
49,011 |
|
|
|
7,582 |
|
| Sanofi |
|
|
224,044 |
|
|
|
22,564 |
|
| Sartorius Stedim Biotech |
|
|
18,264 |
|
|
|
3,032 |
|
| Schneider Electric SE |
|
|
71,555 |
|
|
|
7,358 |
|
| SCOR SE |
|
|
16,905 |
|
|
|
710 |
|
| SES SA, Cl A |
|
|
16,038 |
|
|
|
225 |
|
| Societe Generale SA |
|
|
9,461 |
|
|
|
330 |
|
| Suez |
|
|
37,380 |
|
|
|
567 |
|
| Teleperformance |
|
|
5,969 |
|
|
|
1,457 |
|
| Thales SA |
|
|
127,487 |
|
|
|
13,270 |
|
| TOTAL SA |
|
|
507,840 |
|
|
|
28,140 |
|
| Ubisoft Entertainment SA * |
|
|
78,674 |
|
|
|
5,446 |
|
| Valeo SA |
|
|
29,611 |
|
|
|
1,044 |
|
| Veolia Environnement SA |
|
|
28,568 |
|
|
|
761 |
|
| Vivendi SA |
|
|
119,658 |
|
|
|
3,468 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
348,589 |
|
|
|
|
|
|
|
|
|
|
| Germany — 8.5% |
|
|
|
|
|
|
|
|
| adidas AG |
|
|
55,124 |
|
|
|
18,017 |
|
| Allianz SE |
|
|
75,550 |
|
|
|
18,530 |
|
| AURELIUS Equity Opportunities SE & Co KGaA (A) |
|
|
335,482 |
|
|
|
14,680 |
|
| BASF SE |
|
|
372,815 |
|
|
|
28,298 |
|
| Bayer AG |
|
|
441,392 |
|
|
|
36,059 |
|
| Brenntag AG |
|
|
139,323 |
|
|
|
7,632 |
|
| Continental AG |
|
|
36,636 |
|
|
|
4,718 |
|
| CTS Eventim AG & Co KGaA |
|
|
160,818 |
|
|
|
10,137 |
|
| Deutsche Boerse AG |
|
|
52,632 |
|
|
|
8,304 |
|
| Deutsche Lufthansa AG |
|
|
335,670 |
|
|
|
6,202 |
|
| Deutsche Post AG |
|
|
712,798 |
|
|
|
27,318 |
|
| Fresenius Medical Care AG & Co KGaA |
|
|
219,531 |
|
|
|
16,312 |
|
| Gerresheimer AG |
|
|
147,015 |
|
|
|
11,456 |
|
| Hamburger Hafen und Logistik AG |
|
|
18,329 |
|
|
|
508 |
|
| Hannover Rueck SE |
|
|
11,244 |
|
|
|
2,177 |
|
| HOCHTIEF AG |
|
|
13,235 |
|
|
|
1,706 |
|
| Infineon Technologies AG |
|
|
620,928 |
|
|
|
14,200 |
|
| LANXESS AG |
|
|
11,119 |
|
|
|
751 |
|
| Linde PLC |
|
|
92,890 |
|
|
|
19,890 |
|
| MTU Aero Engines AG |
|
|
9,213 |
|
|
|
2,643 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen |
|
|
8,504 |
|
|
$ |
2,510 |
|
| Puma SE |
|
|
12,914 |
|
|
|
990 |
|
| QIAGEN NV * |
|
|
150,324 |
|
|
|
5,156 |
|
| Rational AG |
|
|
1,298 |
|
|
|
1,045 |
|
| RWE AG |
|
|
44,425 |
|
|
|
1,370 |
|
| SAP SE |
|
|
336,208 |
|
|
|
45,650 |
|
| SAP SE ADR (A) |
|
|
93,469 |
|
|
|
12,524 |
|
| Scout24 AG |
|
|
100,481 |
|
|
|
6,670 |
|
| Siemens AG |
|
|
318,496 |
|
|
|
41,765 |
|
| Siltronic AG |
|
|
8,042 |
|
|
|
816 |
|
| TAG Immobilien AG |
|
|
16,160 |
|
|
|
403 |
|
| Talanx AG |
|
|
7,946 |
|
|
|
393 |
|
| TUI AG |
|
|
6,207 |
|
|
|
79 |
|
| Uniper SE |
|
|
43,887 |
|
|
|
1,455 |
|
| Volkswagen AG |
|
|
966 |
|
|
|
189 |
|
| Vonovia SE |
|
|
13,200 |
|
|
|
712 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
371,265 |
|
|
|
|
|
|
|
|
|
|
| Greece — 0.0% |
|
|
|
|
|
|
|
|
| Aegean Airlines SA |
|
|
12,601 |
|
|
|
119 |
|
|
|
|
|
|
|
|
|
|
| Hong Kong — 2.4% |
|
|
|
|
|
|
|
|
| AIA Group Ltd |
|
|
2,184,800 |
|
|
|
22,937 |
|
| ASM Pacific Technology Ltd |
|
|
45,800 |
|
|
|
635 |
|
| Budweiser Brewing Co APAC Ltd * |
|
|
393,200 |
|
|
|
1,327 |
|
| Chaoda Modern Agriculture Holdings Ltd * |
|
|
2,440,000 |
|
|
|
16 |
|
| China Merchants Port Holdings Co Ltd |
|
|
2,107,720 |
|
|
|
3,565 |
|
| China Mobile Ltd |
|
|
2,750,315 |
|
|
|
23,120 |
|
| CITIC Ltd |
|
|
523,000 |
|
|
|
699 |
|
| Country Garden Services Holdings Co Ltd |
|
|
402,000 |
|
|
|
1,354 |
|
| Galaxy Entertainment Group Ltd * |
|
|
891,000 |
|
|
|
6,564 |
|
| Hang Lung Properties Ltd |
|
|
284,000 |
|
|
|
623 |
|
| Hang Seng Bank Ltd |
|
|
41,800 |
|
|
|
864 |
|
| Hebei Construction Group Corp Ltd, Cl H (A) |
|
|
444,000 |
|
|
|
276 |
|
| HK Electric Investments & HK Electric Investments Ltd |
|
|
472,000 |
|
|
|
465 |
|
| HKT Trust & HKT Ltd |
|
|
686,000 |
|
|
|
967 |
|
| Hong Kong & China Gas Co Ltd |
|
|
736,300 |
|
|
|
1,438 |
|
| Kingboard Holdings Ltd |
|
|
152,500 |
|
|
|
484 |
|
| Lenovo Group Ltd |
|
|
470,000 |
|
|
|
316 |
|
| Link REIT
‡ |
|
|
60,000 |
|
|
|
635 |
|
| Logan Property Holdings Co Ltd |
|
|
214,000 |
|
|
|
359 |
|
| Melco Resorts & Entertainment Ltd ADR |
|
|
4,040 |
|
|
|
98 |
|
| NagaCorp Ltd |
|
|
286,000 |
|
|
|
499 |
|
| Power Assets Holdings Ltd |
|
|
56,000 |
|
|
|
410 |
|
| Samsonite International SA |
|
|
6,946,605 |
|
|
|
16,672 |
|
| SITC International Holdings Co Ltd |
|
|
1,865,000 |
|
|
|
2,274 |
|
| Sun Hung Kai Properties Ltd |
|
|
142,000 |
|
|
|
2,174 |
|
| Swire Pacific Ltd, Cl A |
|
|
25,000 |
|
|
|
232 |
|
| Techtronic Industries Co Ltd |
|
|
1,740,000 |
|
|
|
14,192 |
|
| Vitasoy International Holdings Ltd |
|
|
48,000 |
|
|
|
174 |
|
| West China Cement Ltd |
|
|
1,816,000 |
|
|
|
298 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Wheelock & Co Ltd |
|
|
32,000 |
|
|
$ |
213 |
|
| Zoomlion Heavy Industry Science and Technology Co Ltd (A) |
|
|
1,600,000 |
|
|
|
1,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
105,221 |
|
|
|
|
|
|
|
|
|
|
| Hungary — 0.0% |
|
|
|
|
|
|
|
|
| MOL Hungarian Oil & Gas PLC |
|
|
78,733 |
|
|
|
786 |
|
|
|
|
|
|
|
|
|
|
| India — 0.4% |
|
|
|
|
|
|
|
|
| HDFC Bank Ltd ADR |
|
|
250,494 |
|
|
|
15,874 |
|
|
|
|
|
|
|
|
|
|
| Ireland — 1.7% |
|
|
|
|
|
|
|
|
| CRH PLC |
|
|
21,749 |
|
|
|
872 |
|
| Experian PLC |
|
|
644,650 |
|
|
|
21,794 |
|
| ICON PLC * |
|
|
115,265 |
|
|
|
19,852 |
|
| Kerry Group PLC, Cl A |
|
|
103,605 |
|
|
|
12,927 |
|
| Ryanair Holdings PLC ADR * |
|
|
200,235 |
|
|
|
17,543 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72,988 |
|
|
|
|
|
|
|
|
|
|
| Israel — 1.5% |
|
|
|
|
|
|
|
|
| Azrieli Group Ltd |
|
|
8,100 |
|
|
|
592 |
|
| Bank Hapoalim BM |
|
|
826,280 |
|
|
|
6,854 |
|
| Bank Leumi Le-Israel BM |
|
|
2,403,772 |
|
|
|
17,496 |
|
| Check Point Software Technologies Ltd * |
|
|
174,051 |
|
|
|
19,313 |
|
| Elbit Systems Ltd |
|
|
4,487 |
|
|
|
698 |
|
| First International Bank Of Israel Ltd |
|
|
23,055 |
|
|
|
667 |
|
| Israel Discount Bank Ltd, Cl A |
|
|
680,955 |
|
|
|
3,156 |
|
| Mizrahi Tefahot Bank Ltd |
|
|
80,687 |
|
|
|
2,149 |
|
| Nice Ltd * |
|
|
25,298 |
|
|
|
3,923 |
|
| Nice Ltd ADR *(A) |
|
|
82,829 |
|
|
|
12,851 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,699 |
|
|
|
|
|
|
|
|
|
|
| Italy — 2.7% |
|
|
|
|
|
|
|
|
| Assicurazioni Generali SpA |
|
|
71,489 |
|
|
|
1,477 |
|
| Atlantia SpA |
|
|
19,451 |
|
|
|
454 |
|
| Banca Mediolanum SpA |
|
|
52,461 |
|
|
|
521 |
|
| Enel SpA |
|
|
128,670 |
|
|
|
1,023 |
|
| Eni SpA |
|
|
11,401 |
|
|
|
177 |
|
| ERG SpA |
|
|
68,269 |
|
|
|
1,474 |
|
| EXOR NV |
|
|
115,844 |
|
|
|
8,999 |
|
| Ferrari NV |
|
|
12,445 |
|
|
|
2,064 |
|
| Fiat Chrysler Automobiles NV |
|
|
532,971 |
|
|
|
7,827 |
|
| Hera SpA |
|
|
361,886 |
|
|
|
1,587 |
|
| Leonardo SpA |
|
|
711,690 |
|
|
|
8,348 |
|
| Mediobanca Banca di Credito Finanziario SpA |
|
|
115,653 |
|
|
|
1,276 |
|
| Moncler SpA |
|
|
6,450 |
|
|
|
290 |
|
| Nexi SpA * |
|
|
525,760 |
|
|
|
7,325 |
|
| Piaggio & C SpA |
|
|
140,715 |
|
|
|
435 |
|
| Poste Italiane SpA |
|
|
89,045 |
|
|
|
1,010 |
|
| PRADA SpA |
|
|
1,761,272 |
|
|
|
7,279 |
|
| Recordati SpA |
|
|
231,063 |
|
|
|
9,755 |
|
| Saras SpA |
|
|
551,094 |
|
|
|
889 |
|
| Snam SpA |
|
|
60,828 |
|
|
|
320 |
|
| Telecom Italia SpA/Milano * |
|
|
674,143 |
|
|
|
415 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Tenaris SA |
|
|
1,679,139 |
|
|
$ |
18,978 |
|
| Terna Rete Elettrica Nazionale SpA |
|
|
26,062 |
|
|
|
174 |
|
| UniCredit SpA |
|
|
2,388,770 |
|
|
|
34,939 |
|
| UnipolSai Assicurazioni SpA |
|
|
108,643 |
|
|
|
315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
117,351 |
|
|
|
|
|
|
|
|
|
|
| Japan — 15.5% |
|
|
|
|
|
|
|
|
| 77 Bank Ltd/The |
|
|
66,100 |
|
|
|
1,100 |
|
| Advantest Corp |
|
|
54,400 |
|
|
|
3,049 |
|
| Aeon Co Ltd |
|
|
28,800 |
|
|
|
594 |
|
| AGC Inc/Japan |
|
|
97,200 |
|
|
|
3,471 |
|
| Amada Holdings Co Ltd |
|
|
61,700 |
|
|
|
701 |
|
| Arcland Sakamoto Co Ltd |
|
|
33,873 |
|
|
|
387 |
|
| Asahi Group Holdings Ltd |
|
|
33,400 |
|
|
|
1,526 |
|
| Asahi Intecc Co Ltd |
|
|
6,800 |
|
|
|
199 |
|
| Astellas Pharma Inc |
|
|
2,200 |
|
|
|
38 |
|
| Bandai Namco Holdings Inc |
|
|
193,130 |
|
|
|
11,724 |
|
| Bridgestone Corp (A) |
|
|
186,400 |
|
|
|
6,923 |
|
| Brother Industries Ltd |
|
|
22,800 |
|
|
|
469 |
|
| Canon Marketing Japan Inc |
|
|
141,500 |
|
|
|
3,284 |
|
| Capcom Co Ltd |
|
|
174,900 |
|
|
|
4,850 |
|
| Casio Computer Co Ltd |
|
|
32,400 |
|
|
|
649 |
|
| Chubu Electric Power Co Inc |
|
|
16,500 |
|
|
|
233 |
|
| Chugai Pharmaceutical Co Ltd |
|
|
7,600 |
|
|
|
702 |
|
| Chugoku Electric Power Co Inc/The |
|
|
27,200 |
|
|
|
357 |
|
| Coca-Cola Bottlers Japan Holdings Inc (A) |
|
|
107,200 |
|
|
|
2,738 |
|
| Credit Saison Co Ltd |
|
|
10,000 |
|
|
|
173 |
|
| Dai Nippon Printing Co Ltd |
|
|
491,900 |
|
|
|
13,286 |
|
| Daiichi Sankyo Co Ltd |
|
|
50,000 |
|
|
|
3,304 |
|
| Daikin Industries Ltd |
|
|
67,600 |
|
|
|
9,530 |
|
| Daito Trust Construction Co Ltd |
|
|
45,800 |
|
|
|
5,646 |
|
| Daiwa House Industry Co Ltd |
|
|
227,800 |
|
|
|
7,042 |
|
| Daiwa House REIT Investment Corp, Cl A |
|
|
341 |
|
|
|
890 |
|
| Disco Corp |
|
|
3,800 |
|
|
|
898 |
|
| East Japan Railway Co |
|
|
100,900 |
|
|
|
9,113 |
|
| FANUC Corp |
|
|
125,000 |
|
|
|
23,082 |
|
| Fast Retailing Co Ltd |
|
|
2,000 |
|
|
|
1,193 |
|
| FUJIFILM Holdings Corp |
|
|
225,900 |
|
|
|
10,802 |
|
| Fujitsu Ltd |
|
|
174,200 |
|
|
|
16,379 |
|
| Glory Ltd |
|
|
14,900 |
|
|
|
450 |
|
| GMO Payment Gateway Inc |
|
|
7,600 |
|
|
|
521 |
|
| Goldcrest Co Ltd |
|
|
13,992 |
|
|
|
267 |
|
| Hakuhodo DY Holdings Inc |
|
|
101,200 |
|
|
|
1,628 |
|
| Haseko Corp |
|
|
563,400 |
|
|
|
7,563 |
|
| Hikari Tsushin Inc |
|
|
2,300 |
|
|
|
577 |
|
| Hirose Electric Co Ltd |
|
|
3,500 |
|
|
|
447 |
|
| Hitachi Chemical Co Ltd |
|
|
17,600 |
|
|
|
736 |
|
| Hitachi High-Technologies Corp |
|
|
12,400 |
|
|
|
875 |
|
| Hitachi Ltd |
|
|
257,100 |
|
|
|
10,829 |
|
| Hitachi Metals Ltd |
|
|
13,200 |
|
|
|
194 |
|
| Hoshizaki Corp |
|
|
4,200 |
|
|
|
375 |
|
| Hoya Corp |
|
|
90,400 |
|
|
|
8,644 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Iida Group Holdings Co Ltd |
|
|
2,700 |
|
|
$ |
47 |
|
| ITOCHU Corp |
|
|
255,100 |
|
|
|
5,922 |
|
| Itochu Techno-Solutions Corp |
|
|
7,900 |
|
|
|
223 |
|
| Japan Airport Terminal Co Ltd |
|
|
3,100 |
|
|
|
172 |
|
| Japan Post Bank Co Ltd |
|
|
93,400 |
|
|
|
897 |
|
| Japan Post Holdings Co Ltd |
|
|
313,900 |
|
|
|
2,949 |
|
| Japan Prime Realty Investment Corp, Cl A ‡ |
|
|
138 |
|
|
|
606 |
|
| Japan Real Estate Investment Corp, Cl A ‡ |
|
|
105 |
|
|
|
697 |
|
| Japan Retail Fund Investment Corp, Cl A |
|
|
79 |
|
|
|
170 |
|
| JXTG Holdings Inc |
|
|
271,400 |
|
|
|
1,234 |
|
| Kansai Paint Co Ltd |
|
|
29,000 |
|
|
|
710 |
|
| Kao Corp |
|
|
78,800 |
|
|
|
6,503 |
|
| KDDI Corp (A) |
|
|
641,700 |
|
|
|
19,149 |
|
| Keihan Holdings Co Ltd |
|
|
18,600 |
|
|
|
903 |
|
| Keikyu Corp |
|
|
39,300 |
|
|
|
758 |
|
| Keio Corp |
|
|
5,300 |
|
|
|
321 |
|
| Keisei Electric Railway Co Ltd |
|
|
21,000 |
|
|
|
813 |
|
| Keyence Corp |
|
|
54,500 |
|
|
|
19,185 |
|
| Kikkoman Corp |
|
|
2,700 |
|
|
|
132 |
|
| Kintetsu Group Holdings Co Ltd |
|
|
23,000 |
|
|
|
1,248 |
|
| Kirin Holdings Co Ltd |
|
|
41,700 |
|
|
|
910 |
|
| Kobayashi Pharmaceutical Co Ltd |
|
|
300 |
|
|
|
25 |
|
| Kohnan Shoji Co Ltd |
|
|
16,500 |
|
|
|
387 |
|
| Kokuyo Co Ltd |
|
|
60,300 |
|
|
|
901 |
|
| Komatsu Ltd |
|
|
447,900 |
|
|
|
10,777 |
|
| Konami Holdings Corp |
|
|
116,700 |
|
|
|
4,802 |
|
| Kose Corp |
|
|
56,000 |
|
|
|
8,171 |
|
| Kyocera Corp |
|
|
2,800 |
|
|
|
191 |
|
| LIXIL Group Corp |
|
|
49,500 |
|
|
|
856 |
|
| M3 Inc * |
|
|
53,000 |
|
|
|
1,597 |
|
| Mabuchi Motor Co Ltd |
|
|
389,800 |
|
|
|
14,734 |
|
| Marubeni Corp |
|
|
92,700 |
|
|
|
684 |
|
| Marui Group Co Ltd |
|
|
30,900 |
|
|
|
755 |
|
| McDonald’s Holdings Co Japan Ltd |
|
|
10,600 |
|
|
|
511 |
|
| Medipal Holdings Corp |
|
|
10,400 |
|
|
|
229 |
|
| MINEBEA MITSUMI Inc |
|
|
35,100 |
|
|
|
726 |
|
| Mitsubishi Chemical Holdings Corp |
|
|
6,200 |
|
|
|
46 |
|
| Mitsubishi Corp |
|
|
13,400 |
|
|
|
355 |
|
| Mitsubishi Electric Corp |
|
|
27,900 |
|
|
|
379 |
|
| Mitsubishi Heavy Industries Ltd |
|
|
12,300 |
|
|
|
478 |
|
| Mitsubishi UFJ Financial Group Inc |
|
|
498,300 |
|
|
|
2,695 |
|
| Mitsubishi UFJ Lease & Finance Co Ltd |
|
|
29,100 |
|
|
|
187 |
|
| Mitsui & Co Ltd |
|
|
35,900 |
|
|
|
637 |
|
| Mitsui OSK Lines Ltd |
|
|
6,800 |
|
|
|
187 |
|
| Mixi Inc |
|
|
141,600 |
|
|
|
2,685 |
|
| Mizuho Financial Group Inc |
|
|
1,864,800 |
|
|
|
2,868 |
|
| Mizuno Corp |
|
|
20,600 |
|
|
|
520 |
|
| Morinaga & Co Ltd/Japan |
|
|
140,500 |
|
|
|
6,745 |
|
| MS&AD Insurance Group Holdings Inc |
|
|
580,300 |
|
|
|
19,147 |
|
| Murata Manufacturing Co Ltd |
|
|
70,200 |
|
|
|
4,307 |
|
| Nabtesco Corp |
|
|
18,500 |
|
|
|
546 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Nagoya Railroad Co Ltd |
|
|
17,300 |
|
|
$ |
537 |
|
| NET One Systems Co Ltd |
|
|
11,800 |
|
|
|
302 |
|
| NH Foods Ltd |
|
|
5,100 |
|
|
|
211 |
|
| Nidec Corp |
|
|
8,100 |
|
|
|
1,105 |
|
| Nihon M&A Center Inc |
|
|
325,300 |
|
|
|
11,158 |
|
| Nihon Unisys Ltd |
|
|
117,900 |
|
|
|
3,689 |
|
| Nikon Corp |
|
|
279,200 |
|
|
|
3,413 |
|
| Nintendo Co Ltd |
|
|
18,600 |
|
|
|
7,496 |
|
| Nippon Building Fund Inc, Cl A (A) |
|
|
125 |
|
|
|
915 |
|
| Nippon Paint Holdings Co Ltd |
|
|
27,200 |
|
|
|
1,401 |
|
| Nippon Prologis REIT Inc |
|
|
341 |
|
|
|
867 |
|
| Nippon Telegraph & Telephone Corp |
|
|
486,400 |
|
|
|
12,346 |
|
| Nippon Telegraph & Telephone Corp ADR |
|
|
420,466 |
|
|
|
21,234 |
|
| Nissan Chemical Corp |
|
|
3,000 |
|
|
|
126 |
|
| Nisshin Seifun Group Inc |
|
|
16,400 |
|
|
|
286 |
|
| Nomura Real Estate Holdings Inc |
|
|
16,600 |
|
|
|
398 |
|
| Nomura Real Estate Master Fund Inc ‡ |
|
|
761 |
|
|
|
1,298 |
|
| Nomura Research Institute Ltd |
|
|
57,000 |
|
|
|
1,220 |
|
| North Pacific Bank Ltd |
|
|
232,900 |
|
|
|
520 |
|
| NTT Data Corp |
|
|
21,100 |
|
|
|
283 |
|
| NTT DOCOMO Inc |
|
|
256,000 |
|
|
|
7,129 |
|
| Obic Co Ltd |
|
|
9,300 |
|
|
|
1,253 |
|
| Omron Corp |
|
|
22,100 |
|
|
|
1,283 |
|
| Oracle Corp Japan * |
|
|
3,900 |
|
|
|
354 |
|
| Oriental Land Co Ltd/Japan |
|
|
31,600 |
|
|
|
4,311 |
|
| Otsuka Corp |
|
|
78,800 |
|
|
|
3,153 |
|
| Pan Pacific International Holdings Corp |
|
|
11,000 |
|
|
|
183 |
|
| Panasonic Corp |
|
|
80,700 |
|
|
|
757 |
|
| Park24 Co Ltd |
|
|
500 |
|
|
|
12 |
|
| Persol Holdings Co Ltd |
|
|
297,600 |
|
|
|
5,565 |
|
| Recruit Holdings Co Ltd |
|
|
63,000 |
|
|
|
2,355 |
|
| Rinnai Corp |
|
|
3,100 |
|
|
|
242 |
|
| Rohm Co Ltd |
|
|
204,200 |
|
|
|
16,296 |
|
| Sanwa Holdings Corp |
|
|
731,700 |
|
|
|
8,200 |
|
| SBI Holdings Inc/Japan |
|
|
9,300 |
|
|
|
196 |
|
| SCSK Corp |
|
|
87,400 |
|
|
|
4,539 |
|
| Secom Co Ltd |
|
|
29,900 |
|
|
|
2,675 |
|
| Seiko Holdings Corp |
|
|
28,400 |
|
|
|
758 |
|
| Sekisui House Ltd |
|
|
887,000 |
|
|
|
18,983 |
|
| Seven & i Holdings Co Ltd |
|
|
359,800 |
|
|
|
13,194 |
|
| Shimadzu Corp |
|
|
16,400 |
|
|
|
515 |
|
| Shin-Etsu Chemical Co Ltd |
|
|
4,900 |
|
|
|
539 |
|
| Shinsei Bank Ltd * |
|
|
28,300 |
|
|
|
432 |
|
| Shionogi & Co Ltd |
|
|
150,100 |
|
|
|
9,285 |
|
| Shiseido Co Ltd |
|
|
64,500 |
|
|
|
4,582 |
|
| SMC Corp/Japan |
|
|
2,200 |
|
|
|
1,004 |
|
| Sompo Holdings Inc |
|
|
202,300 |
|
|
|
7,928 |
|
| Sony Corp ADR |
|
|
108,900 |
|
|
|
7,405 |
|
| Sony Financial Holdings Inc |
|
|
31,700 |
|
|
|
759 |
|
| SUMCO Corp |
|
|
46,400 |
|
|
|
767 |
|
| Sumitomo Corp |
|
|
216,700 |
|
|
|
3,212 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Sumitomo Mitsui Financial Group Inc |
|
|
416,300 |
|
|
$ |
15,334 |
|
| Sumitomo Mitsui Trust Holdings Inc |
|
|
417,322 |
|
|
|
16,494 |
|
| Suzuken Co Ltd/Aichi Japan |
|
|
10,800 |
|
|
|
440 |
|
| Suzuki Motor Corp |
|
|
103,671 |
|
|
|
4,319 |
|
| Takeda Pharmaceutical Co Ltd |
|
|
1,084,200 |
|
|
|
42,921 |
|
| Takeda Pharmaceutical Co Ltd ADR |
|
|
83,793 |
|
|
|
1,653 |
|
| Teijin Ltd |
|
|
32,700 |
|
|
|
612 |
|
| Terumo Corp |
|
|
149,300 |
|
|
|
5,307 |
|
| THK Co Ltd |
|
|
22,400 |
|
|
|
605 |
|
| TIS Inc |
|
|
76,700 |
|
|
|
4,505 |
|
| Tobu Railway Co Ltd |
|
|
13,900 |
|
|
|
502 |
|
| Toho Gas Co Ltd |
|
|
1,000 |
|
|
|
41 |
|
| Tokio Marine Holdings Inc |
|
|
38,200 |
|
|
|
2,130 |
|
| Tokyo Electric Power Co Holdings Inc * |
|
|
695,800 |
|
|
|
2,969 |
|
| Tokyo Electron Ltd |
|
|
14,800 |
|
|
|
3,224 |
|
| Tokyu Corp |
|
|
6,400 |
|
|
|
118 |
|
| Tokyu Fudosan Holdings Corp |
|
|
94,800 |
|
|
|
654 |
|
| Tomy Co Ltd |
|
|
55,500 |
|
|
|
719 |
|
| Toppan Printing Co Ltd |
|
|
81,400 |
|
|
|
1,681 |
|
| Tosoh Corp |
|
|
8,600 |
|
|
|
133 |
|
| Toyota Industries Corp |
|
|
16,800 |
|
|
|
968 |
|
| Toyota Motor Corp |
|
|
120,800 |
|
|
|
8,514 |
|
| Toyota Motor Corp ADR |
|
|
142,721 |
|
|
|
20,058 |
|
| United Urban Investment Corp |
|
|
348 |
|
|
|
652 |
|
| Universal Entertainment * |
|
|
168,100 |
|
|
|
5,717 |
|
| Wacoal Holdings Corp |
|
|
401,252 |
|
|
|
10,763 |
|
| Yamaha Corp |
|
|
5,600 |
|
|
|
311 |
|
| Yaskawa Electric Corp |
|
|
39,000 |
|
|
|
1,466 |
|
| Yokogawa Electric Corp |
|
|
1,200 |
|
|
|
21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
677,617 |
|
|
|
|
|
|
|
|
|
|
| Malta — 0.0% |
|
|
|
|
|
|
|
|
| BGP Holdings *(B) |
|
|
198,683 |
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
| Mexico — 0.7% |
|
|
|
|
|
|
|
|
| Arca Continental SAB de CV |
|
|
1,261,305 |
|
|
|
6,680 |
|
| Becle SAB de CV |
|
|
7,826,100 |
|
|
|
14,567 |
|
| Wal-Mart de Mexico SAB de CV |
|
|
3,487,100 |
|
|
|
10,023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,270 |
|
|
|
|
|
|
|
|
|
|
| Netherlands — 5.1% |
|
|
|
|
|
|
|
|
| ABN AMRO Bank NV |
|
|
35,304 |
|
|
|
644 |
|
| Aegon NV |
|
|
77,122 |
|
|
|
353 |
|
| AerCap Holdings NV * |
|
|
155,746 |
|
|
|
9,574 |
|
| Akzo Nobel NV |
|
|
119,121 |
|
|
|
12,125 |
|
| ASM International NV |
|
|
6,231 |
|
|
|
703 |
|
| ASML Holding NV |
|
|
56,624 |
|
|
|
16,854 |
|
| ASR Nederland NV |
|
|
197,831 |
|
|
|
7,427 |
|
| Basic-Fit NV * |
|
|
180,326 |
|
|
|
6,868 |
|
| Heineken Holding NV |
|
|
78,547 |
|
|
|
7,628 |
|
| Heineken NV |
|
|
110,621 |
|
|
|
11,791 |
|
| ING Groep NV |
|
|
2,458,738 |
|
|
|
29,566 |
|
| Intertrust NV |
|
|
195,999 |
|
|
|
3,808 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| James Hardie Industries PLC |
|
|
49,858 |
|
|
$ |
977 |
|
| Koninklijke Ahold Delhaize NV |
|
|
601,400 |
|
|
|
15,043 |
|
| Koninklijke DSM NV |
|
|
79,850 |
|
|
|
10,415 |
|
| Koninklijke KPN NV |
|
|
1,147,563 |
|
|
|
3,390 |
|
| Koninklijke Philips NV |
|
|
255,907 |
|
|
|
12,524 |
|
| NN Group NV |
|
|
56,018 |
|
|
|
2,128 |
|
| NXP Semiconductors NV |
|
|
58,149 |
|
|
|
7,400 |
|
| Randstad NV |
|
|
9,650 |
|
|
|
592 |
|
| Royal Dutch Shell PLC, Cl B |
|
|
606,210 |
|
|
|
17,985 |
|
| Royal Dutch Shell PLC ADR,
Cl B (A) |
|
|
267,285 |
|
|
|
16,029 |
|
| Unilever NV |
|
|
23,710 |
|
|
|
1,366 |
|
| Wolters Kluwer NV |
|
|
368,133 |
|
|
|
26,893 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
222,083 |
|
|
|
|
|
|
|
|
|
|
| New Zealand — 0.1% |
|
|
|
|
|
|
|
|
| Air New Zealand Ltd |
|
|
608,322 |
|
|
|
1,203 |
|
| Fisher & Paykel Healthcare Corp Ltd |
|
|
110,254 |
|
|
|
1,651 |
|
| Fletcher Building Ltd |
|
|
84,821 |
|
|
|
291 |
|
| Meridian Energy Ltd |
|
|
224,015 |
|
|
|
756 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,901 |
|
|
|
|
|
|
|
|
|
|
| Norway — 2.3% |
|
|
|
|
|
|
|
|
| Adevinta ASA, Cl B * |
|
|
1,222,466 |
|
|
|
14,468 |
|
| Atlantic Sapphire AS *(A) |
|
|
3,159,420 |
|
|
|
46,447 |
|
| DNB ASA |
|
|
38,779 |
|
|
|
724 |
|
| Gjensidige Forsikring ASA |
|
|
11,487 |
|
|
|
241 |
|
| Kahoot! AS * |
|
|
1,029,938 |
|
|
|
7,736 |
|
| Magseis Fairfield ASA *(A) |
|
|
4,061,782 |
|
|
|
2,689 |
|
| Mowi ASA |
|
|
888,150 |
|
|
|
23,036 |
|
| Norway Royal Salmon ASA |
|
|
243,820 |
|
|
|
6,638 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
101,979 |
|
|
|
|
|
|
|
|
|
|
| Portugal — 0.1% |
|
|
|
|
|
|
|
|
| EDP - Energias de Portugal SA |
|
|
183,856 |
|
|
|
797 |
|
| Galp Energia SGPS SA, Cl B |
|
|
333,155 |
|
|
|
5,588 |
|
| Jeronimo Martins SGPS SA |
|
|
34,780 |
|
|
|
573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,958 |
|
|
|
|
|
|
|
|
|
|
| Russia — 0.0% |
|
|
|
|
|
|
|
|
| Tatneft PJSC ADR |
|
|
22,289 |
|
|
|
1,646 |
|
|
|
|
|
|
|
|
|
|
| Singapore — 1.1% |
|
|
|
|
|
|
|
|
| CapitaLand Commercial Trust ‡ |
|
|
114,000 |
|
|
|
169 |
|
| City Developments Ltd |
|
|
1,905,300 |
|
|
|
15,516 |
|
| ComfortDelGro Corp Ltd |
|
|
113,600 |
|
|
|
201 |
|
| DBS Group Holdings Ltd |
|
|
1,060,800 |
|
|
|
20,417 |
|
| Genting Singapore Ltd |
|
|
466,300 |
|
|
|
319 |
|
| Hong Leong Finance Ltd |
|
|
68,524 |
|
|
|
136 |
|
| Oversea-Chinese Banking Corp Ltd |
|
|
1,022,635 |
|
|
|
8,350 |
|
| Singapore Exchange Ltd |
|
|
381,600 |
|
|
|
2,514 |
|
| UOL Group Ltd |
|
|
60,900 |
|
|
|
377 |
|
| Wilmar International Ltd |
|
|
66,900 |
|
|
|
205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,204 |
|
|
|
|
|
|
|
|
|
|
| South Africa — 0.1% |
|
|
|
|
|
|
|
|
| DataTec Ltd |
|
|
100,188 |
|
|
|
238 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Investec PLC (A) |
|
|
416,323 |
|
|
$ |
2,440 |
|
| Reunert Ltd |
|
|
12,940 |
|
|
|
67 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,745 |
|
|
|
|
|
|
|
|
|
|
| South Korea — 1.9% |
|
|
|
|
|
|
|
|
| BNK Financial Group Inc |
|
|
261,151 |
|
|
|
1,725 |
|
| Daelim Industrial Co Ltd * |
|
|
8,416 |
|
|
|
657 |
|
| DGB Financial Group Inc |
|
|
73,266 |
|
|
|
450 |
|
| Doosan Infracore Co Ltd *(A) |
|
|
146,354 |
|
|
|
701 |
|
| Hyundai Wia Corp |
|
|
6,494 |
|
|
|
281 |
|
| Kangwon Land Inc * |
|
|
379,269 |
|
|
|
9,685 |
|
| Kia Motors Corp * |
|
|
10,621 |
|
|
|
406 |
|
| KT Corp ADR |
|
|
432,095 |
|
|
|
5,012 |
|
| LG Electronics Inc |
|
|
40,173 |
|
|
|
2,496 |
|
| LMS Co Ltd/South Korea |
|
|
43,525 |
|
|
|
659 |
|
| Samsung Electronics Co Ltd |
|
|
494,160 |
|
|
|
23,783 |
|
| SK Innovation Co Ltd |
|
|
23,209 |
|
|
|
3,011 |
|
| SK Telecom Co Ltd |
|
|
70,174 |
|
|
|
14,401 |
|
| SK Telecom Co Ltd ADR |
|
|
787,189 |
|
|
|
18,192 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
81,459 |
|
|
|
|
|
|
|
|
|
|
| Spain — 1.2% |
|
|
|
|
|
|
|
|
| Aena SME SA |
|
|
3,031 |
|
|
|
581 |
|
| Amadeus IT Group SA, Cl A |
|
|
163,375 |
|
|
|
13,365 |
|
| Banco Santander SA |
|
|
1,514,954 |
|
|
|
6,358 |
|
| Bankinter SA |
|
|
17,318 |
|
|
|
127 |
|
| CaixaBank SA |
|
|
2,491,112 |
|
|
|
7,842 |
|
| Cellnex Telecom SA * |
|
|
42,564 |
|
|
|
1,840 |
|
| Cia de Distribucion Integral Logista Holdings SA |
|
|
57,814 |
|
|
|
1,309 |
|
| Endesa SA |
|
|
21,237 |
|
|
|
568 |
|
| Ferrovial SA |
|
|
38,282 |
|
|
|
1,161 |
|
| Indra Sistemas SA * |
|
|
378,671 |
|
|
|
4,345 |
|
| Mapfre SA |
|
|
85,194 |
|
|
|
226 |
|
| Naturgy Energy Group SA |
|
|
25,159 |
|
|
|
635 |
|
| Repsol SA * |
|
|
44,904 |
|
|
|
363 |
|
| Unicaja Banco SA |
|
|
11,477,455 |
|
|
|
12,503 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,223 |
|
|
|
|
|
|
|
|
|
|
| Sweden — 1.3% |
|
|
|
|
|
|
|
|
| Assa Abloy AB, Cl B |
|
|
272,060 |
|
|
|
6,362 |
|
| Atlas Copco AB, Cl A |
|
|
427,932 |
|
|
|
17,074 |
|
| Atlas Copco AB, Cl B |
|
|
15,784 |
|
|
|
548 |
|
| Axfood AB |
|
|
48,823 |
|
|
|
1,087 |
|
| Betsson AB |
|
|
159,620 |
|
|
|
744 |
|
| Boliden AB |
|
|
7,776 |
|
|
|
207 |
|
| Epiroc AB, Cl A |
|
|
77,345 |
|
|
|
944 |
|
| Epiroc AB, Cl B |
|
|
72,504 |
|
|
|
859 |
|
| Fastighets AB Balder, Cl B * |
|
|
26,288 |
|
|
|
1,224 |
|
| Getinge AB, Cl B |
|
|
74,920 |
|
|
|
1,392 |
|
| ICA Gruppen AB |
|
|
81,236 |
|
|
|
3,789 |
|
| Investor AB, Cl B |
|
|
11,180 |
|
|
|
610 |
|
| L E Lundbergforetagen AB, Cl B |
|
|
8,291 |
|
|
|
364 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Lundin Petroleum AB |
|
|
8,046 |
|
|
$ |
274 |
|
| Millicom International Cellular SA |
|
|
107,816 |
|
|
|
5,170 |
|
| Sandvik AB |
|
|
77,480 |
|
|
|
1,510 |
|
| Skanska AB, Cl B |
|
|
26,524 |
|
|
|
599 |
|
| SKF AB, Cl B |
|
|
134,267 |
|
|
|
2,714 |
|
| Swedbank AB, Cl A |
|
|
201,398 |
|
|
|
2,998 |
|
| Swedish Match AB |
|
|
128,113 |
|
|
|
6,609 |
|
| Tele2 AB, Cl B |
|
|
21,047 |
|
|
|
305 |
|
| Trelleborg AB, Cl B |
|
|
60,510 |
|
|
|
1,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,473 |
|
|
|
|
|
|
|
|
|
|
| Switzerland — 7.5% |
|
|
|
|
|
|
|
|
| ABB Ltd |
|
|
939,641 |
|
|
|
22,721 |
|
| Adecco Group AG |
|
|
221,112 |
|
|
|
13,967 |
|
| Alcon Inc * |
|
|
213,820 |
|
|
|
12,088 |
|
| Aryzta AG * |
|
|
2,341,778 |
|
|
|
2,618 |
|
| Baloise Holding AG |
|
|
10,010 |
|
|
|
1,809 |
|
| Barry Callebaut AG |
|
|
371 |
|
|
|
819 |
|
| Chocoladefabriken Lindt & Spruengli AG |
|
|
228 |
|
|
|
2,814 |
|
| Cie Financiere Richemont SA |
|
|
97,066 |
|
|
|
7,631 |
|
| Coca-Cola HBC AG * |
|
|
221,243 |
|
|
|
7,518 |
|
| Geberit AG |
|
|
18,435 |
|
|
|
10,336 |
|
| Givaudan SA |
|
|
2,201 |
|
|
|
6,890 |
|
| Julius Baer Group Ltd |
|
|
192,355 |
|
|
|
9,919 |
|
| Kuehne + Nagel International AG |
|
|
1,566 |
|
|
|
264 |
|
| Lonza Group AG |
|
|
20,506 |
|
|
|
7,478 |
|
| Nestle SA |
|
|
155,722 |
|
|
|
16,848 |
|
| Novartis AG |
|
|
476,180 |
|
|
|
45,143 |
|
| Partners Group Holding AG |
|
|
11,606 |
|
|
|
10,653 |
|
| Roche Holding AG |
|
|
174,203 |
|
|
|
56,497 |
|
| SGS SA |
|
|
3,219 |
|
|
|
8,817 |
|
| SIG Combibloc Group AG * |
|
|
566,513 |
|
|
|
9,063 |
|
| Sika AG |
|
|
89,036 |
|
|
|
16,725 |
|
| Sonova Holding AG |
|
|
57,420 |
|
|
|
13,132 |
|
| Straumann Holding AG |
|
|
933 |
|
|
|
916 |
|
| Swiss Life Holding AG |
|
|
25,877 |
|
|
|
12,988 |
|
| Swiss Prime Site AG |
|
|
3,757 |
|
|
|
434 |
|
| Swiss Re AG |
|
|
44,382 |
|
|
|
4,981 |
|
| Swisscom AG |
|
|
2,133 |
|
|
|
1,128 |
|
| Tecan Group AG |
|
|
3,617 |
|
|
|
1,016 |
|
| UBS Group AG |
|
|
1,678,343 |
|
|
|
21,136 |
|
| Vifor Pharma AG |
|
|
1,644 |
|
|
|
300 |
|
| Zurich Insurance Group AG |
|
|
10,822 |
|
|
|
4,437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
331,086 |
|
|
|
|
|
|
|
|
|
|
| Taiwan — 1.0% |
|
|
|
|
|
|
|
|
| Chicony Electronics Co Ltd |
|
|
114,000 |
|
|
|
338 |
|
| Chipmos Technologies Inc * |
|
|
366,000 |
|
|
|
418 |
|
| Compal Electronics Inc |
|
|
697,000 |
|
|
|
438 |
|
| Foxconn Technology Co Ltd |
|
|
605,000 |
|
|
|
1,336 |
|
| Global Mixed Mode Technology Inc |
|
|
91,000 |
|
|
|
384 |
|
| Hon Hai Precision Industry Co Ltd |
|
|
247,000 |
|
|
|
748 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Kindom Development Co Ltd |
|
|
432,000 |
|
|
$ |
460 |
|
| Lite-On Technology Corp |
|
|
1,534,000 |
|
|
|
2,525 |
|
| MediaTek Inc |
|
|
752,000 |
|
|
|
11,126 |
|
| Mirle Automation Corp |
|
|
685,000 |
|
|
|
907 |
|
| Pou Chen Corp |
|
|
412,000 |
|
|
|
539 |
|
| Simplo Technology Co Ltd |
|
|
158,000 |
|
|
|
1,597 |
|
| Sitronix Technology Corp |
|
|
173,000 |
|
|
|
967 |
|
| Supreme Electronics Co Ltd |
|
|
469,000 |
|
|
|
472 |
|
| Synnex Technology International Corp |
|
|
1,030,000 |
|
|
|
1,288 |
|
| Taiwan Semiconductor Manufacturing Co Ltd ADR |
|
|
316,585 |
|
|
|
18,394 |
|
| Zhen Ding Technology Holding Ltd |
|
|
84,000 |
|
|
|
401 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,338 |
|
|
|
|
|
|
|
|
|
|
| Turkey — 0.0% |
|
|
|
|
|
|
|
|
| Turkiye Halk Bankasi AS *(A) |
|
|
1,180,311 |
|
|
|
1,172 |
|
|
|
|
|
|
|
|
|
|
| United Arab Emirates — 0.0% |
|
|
|
|
|
|
|
|
| Abu Dhabi Islamic Bank PJSC |
|
|
615,520 |
|
|
|
903 |
|
|
|
|
|
|
|
|
|
|
| United Kingdom — 14.4% |
|
|
|
|
|
|
|
|
| 3i Group PLC |
|
|
229,149 |
|
|
|
3,333 |
|
| Admiral Group PLC |
|
|
9,401 |
|
|
|
288 |
|
| Aggreko PLC |
|
|
53,260 |
|
|
|
587 |
|
| Anglo American PLC |
|
|
86,624 |
|
|
|
2,494 |
|
| Antofagasta PLC |
|
|
15,837 |
|
|
|
192 |
|
| Aon PLC |
|
|
49,900 |
|
|
|
10,394 |
|
| Ashtead Group PLC |
|
|
53,308 |
|
|
|
1,705 |
|
| AstraZeneca PLC |
|
|
144,360 |
|
|
|
14,548 |
|
| Auto Trader Group PLC |
|
|
41,041 |
|
|
|
323 |
|
| Aviva PLC |
|
|
2,142,722 |
|
|
|
11,885 |
|
| Balfour Beatty PLC |
|
|
2,573,792 |
|
|
|
8,913 |
|
| Bank of Ireland Group PLC |
|
|
2,640,047 |
|
|
|
14,530 |
|
| Barclays PLC |
|
|
9,519,830 |
|
|
|
22,655 |
|
| Barratt Developments PLC |
|
|
441,346 |
|
|
|
4,365 |
|
| Berkeley Group Holdings PLC |
|
|
24,114 |
|
|
|
1,552 |
|
| BHP Group PLC |
|
|
64,221 |
|
|
|
1,512 |
|
| BP PLC |
|
|
4,564,111 |
|
|
|
28,515 |
|
| BP PLC ADR |
|
|
131,693 |
|
|
|
4,970 |
|
| British American Tobacco PLC |
|
|
511,552 |
|
|
|
21,899 |
|
| British Land Co PLC/The |
|
|
25,721 |
|
|
|
218 |
|
| BT Group PLC, Cl A |
|
|
851,464 |
|
|
|
2,171 |
|
| Bunzl PLC |
|
|
452,632 |
|
|
|
12,382 |
|
| Carnival PLC |
|
|
3,363 |
|
|
|
162 |
|
| Cineworld Group PLC |
|
|
1,784,994 |
|
|
|
5,181 |
|
| Cobham PLC |
|
|
1,485,540 |
|
|
|
3,232 |
|
| Compass Group PLC |
|
|
1,185,939 |
|
|
|
29,693 |
|
| Computacenter PLC |
|
|
62,379 |
|
|
|
1,465 |
|
| CRH PLC |
|
|
269,246 |
|
|
|
10,850 |
|
| Croda International PLC |
|
|
25,865 |
|
|
|
1,754 |
|
| DCC PLC |
|
|
84,724 |
|
|
|
7,345 |
|
| Dialog Semiconductor PLC * |
|
|
45,565 |
|
|
|
2,317 |
|
| Electrocomponents PLC |
|
|
838,854 |
|
|
|
7,530 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Evraz PLC |
|
|
990,183 |
|
|
$ |
5,299 |
|
| Ferguson PLC |
|
|
245,633 |
|
|
|
22,290 |
|
| Ferrexpo PLC |
|
|
524,939 |
|
|
|
1,105 |
|
| Fevertree Drinks PLC |
|
|
342,898 |
|
|
|
9,508 |
|
| GlaxoSmithKline PLC |
|
|
518,129 |
|
|
|
12,211 |
|
| Halma PLC |
|
|
48,067 |
|
|
|
1,347 |
|
| Hargreaves Lansdown PLC |
|
|
5,497 |
|
|
|
141 |
|
| Hays PLC |
|
|
1,583,408 |
|
|
|
3,809 |
|
| HSBC Holdings PLC |
|
|
101,298 |
|
|
|
794 |
|
| Inchcape PLC |
|
|
165,498 |
|
|
|
1,548 |
|
| Indivior PLC * |
|
|
568,551 |
|
|
|
294 |
|
| Informa PLC |
|
|
32,064 |
|
|
|
364 |
|
| InterContinental Hotels Group PLC |
|
|
13,898 |
|
|
|
959 |
|
| International Consolidated Airlines Group SA |
|
|
508,597 |
|
|
|
4,211 |
|
| Intertek Group PLC |
|
|
23,894 |
|
|
|
1,852 |
|
| Investec PLC |
|
|
290,604 |
|
|
|
1,706 |
|
| Johnson Matthey PLC |
|
|
189,030 |
|
|
|
7,503 |
|
| Keywords Studios PLC |
|
|
360,076 |
|
|
|
7,146 |
|
| Kingfisher PLC |
|
|
4,348,234 |
|
|
|
12,500 |
|
| Legal & General Group PLC |
|
|
1,936,682 |
|
|
|
7,774 |
|
| Lloyds Banking Group PLC |
|
|
7,055,659 |
|
|
|
5,842 |
|
| London Stock Exchange Group PLC |
|
|
180,708 |
|
|
|
18,553 |
|
| M&G PLC * |
|
|
640,200 |
|
|
|
2,012 |
|
| Meggitt PLC |
|
|
112,748 |
|
|
|
981 |
|
| Melrose Industries PLC |
|
|
4,130,236 |
|
|
|
13,137 |
|
| Micro Focus International PLC |
|
|
382,051 |
|
|
|
5,384 |
|
| National Grid PLC |
|
|
1,170,318 |
|
|
|
14,640 |
|
| Ocado Group PLC * |
|
|
47,877 |
|
|
|
811 |
|
| Pagegroup PLC |
|
|
128,208 |
|
|
|
888 |
|
| Pearson PLC |
|
|
41,481 |
|
|
|
350 |
|
| Persimmon PLC |
|
|
9,215 |
|
|
|
329 |
|
| Prudential PLC |
|
|
1,795,676 |
|
|
|
34,469 |
|
| QinetiQ Group PLC |
|
|
263,158 |
|
|
|
1,247 |
|
| Reckitt Benckiser Group PLC |
|
|
112,917 |
|
|
|
9,168 |
|
| RELX PLC |
|
|
1,116,479 |
|
|
|
28,183 |
|
| Rentokil Initial PLC |
|
|
1,090,981 |
|
|
|
6,547 |
|
| Rio Tinto PLC |
|
|
7,698 |
|
|
|
459 |
|
| Rolls-Royce Holdings PLC |
|
|
2,075,699 |
|
|
|
18,787 |
|
| Royal Bank of Scotland Group PLC |
|
|
5,568,954 |
|
|
|
17,728 |
|
| RSA Insurance Group PLC |
|
|
181,220 |
|
|
|
1,358 |
|
| Sage Group PLC/The |
|
|
56,442 |
|
|
|
560 |
|
| Schroders PLC |
|
|
45,451 |
|
|
|
2,007 |
|
| Segro PLC
‡ |
|
|
191,650 |
|
|
|
2,278 |
|
| Severn Trent PLC |
|
|
6,164 |
|
|
|
205 |
|
| Smith & Nephew PLC |
|
|
456,505 |
|
|
|
11,082 |
|
| Smiths Group PLC |
|
|
12,154 |
|
|
|
272 |
|
| Smurfit Kappa Group PLC |
|
|
10,366 |
|
|
|
398 |
|
| Spectris PLC |
|
|
170,863 |
|
|
|
6,578 |
|
| Spirax-Sarco Engineering PLC |
|
|
4,287 |
|
|
|
505 |
|
| SSE PLC |
|
|
709,406 |
|
|
|
13,519 |
|
| SSP Group Plc |
|
|
130,608 |
|
|
|
1,125 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| St James’s Place PLC |
|
|
556,911 |
|
|
$ |
8,591 |
|
| Standard Chartered PLC |
|
|
251,179 |
|
|
|
2,371 |
|
| Standard Life Aberdeen PLC |
|
|
282,712 |
|
|
|
1,229 |
|
| Tate & Lyle PLC |
|
|
228,715 |
|
|
|
2,303 |
|
| Taylor Wimpey PLC |
|
|
303,508 |
|
|
|
778 |
|
| Tesco PLC |
|
|
7,064,789 |
|
|
|
23,884 |
|
| Trainline PLC * |
|
|
571,267 |
|
|
|
3,837 |
|
| Unilever PLC |
|
|
50,884 |
|
|
|
2,933 |
|
| Vodafone Group PLC |
|
|
12,347,170 |
|
|
|
24,005 |
|
| Wm Morrison Supermarkets PLC |
|
|
100,457 |
|
|
|
266 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
630,920 |
|
|
|
|
|
|
|
|
|
|
| United States — 5.0% |
|
|
|
|
|
|
|
|
| Accenture PLC, Cl A |
|
|
93,566 |
|
|
|
19,702 |
|
| ASML Holding NV, Cl G |
|
|
47,795 |
|
|
|
14,144 |
|
| Atlassian Corp PLC, Cl A * |
|
|
15,960 |
|
|
|
1,921 |
|
| Axis Capital Holdings Ltd |
|
|
308,388 |
|
|
|
18,331 |
|
| Axonics Modulation Technologies Inc * |
|
|
339,431 |
|
|
|
9,406 |
|
| BCE Inc |
|
|
11,070 |
|
|
|
513 |
|
| Biohaven Pharmaceutical Holding Co Ltd * |
|
|
198,015 |
|
|
|
10,780 |
|
| Chemours Co/The |
|
|
185,551 |
|
|
|
3,357 |
|
| Chubb Ltd |
|
|
95,146 |
|
|
|
14,810 |
|
| Coca-Cola European Partners PLC |
|
|
15,087 |
|
|
|
768 |
|
| Core Laboratories NV |
|
|
19,878 |
|
|
|
749 |
|
| Flex Ltd * |
|
|
1,018,773 |
|
|
|
12,857 |
|
| International Game Technology PLC |
|
|
438,000 |
|
|
|
6,557 |
|
| Lululemon Athletica Inc * |
|
|
44,552 |
|
|
|
10,321 |
|
| Mettler-Toledo International Inc * |
|
|
13,915 |
|
|
|
11,038 |
|
| Microsoft Corp |
|
|
62,443 |
|
|
|
9,847 |
|
| Nomad Foods Ltd * |
|
|
320,168 |
|
|
|
7,162 |
|
| QIAGEN NV * |
|
|
42,823 |
|
|
|
1,447 |
|
| ResMed Inc |
|
|
105,233 |
|
|
|
16,308 |
|
| Sensata Technologies Holding PLC * |
|
|
205,513 |
|
|
|
11,071 |
|
| Shopify Inc, Cl A * |
|
|
52,985 |
|
|
|
21,066 |
|
| Tractor Supply Co |
|
|
65,117 |
|
|
|
6,085 |
|
| Visa Inc, Cl A |
|
|
19,496 |
|
|
|
3,663 |
|
| Wix.com Ltd * |
|
|
44,468 |
|
|
|
5,442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
217,345 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $3,561,737) ($ Thousands) |
|
|
|
|
|
|
4,146,664 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK — 1.8% |
|
|
|
|
|
|
|
|
| Germany — 1.2% |
|
|
|
|
|
|
|
|
| Henkel AG & Co KGaA (C) |
|
|
76,105 |
|
|
|
7,908 |
|
| Porsche Automobil Holding SE (C) |
|
|
2,289 |
|
|
|
172 |
|
| Sartorius AG (C) |
|
|
4,096 |
|
|
|
882 |
|
| Volkswagen AG (C) |
|
|
219,655 |
|
|
|
43,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52,595 |
|
|
|
|
|
|
|
|
|
|
| South Korea — 0.6% |
|
|
|
|
|
|
|
|
| Hyundai Motor Co (C) |
|
|
132,660 |
|
|
|
8,214 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
| PREFERRED STOCK (continued) |
|
|
|
|
|
|
|
|
| Samsung Electronics Co Ltd (C) |
|
|
381,858 |
|
|
$ |
14,939 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,153 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $65,739) ($ Thousands) |
|
|
|
75,748 |
|
|
|
|
|
|
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 1.7% |
|
| SEI Liquidity Fund, L.P.
1.600% **† (D) |
|
|
75,599,401 |
|
|
|
75,606 |
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $75,599) ($ Thousands) |
|
|
|
75,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 1.4% |
|
|
|
|
|
|
|
|
| SEI Daily Income Trust, Government Fund, Cl F
1.500%**† |
|
|
60,243,325 |
|
|
|
60,243 |
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $60,243) ($ Thousands) |
|
|
|
60,243 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities — 99.5%
(Cost $3,763,318) ($ Thousands) |
|
|
$ |
4,358,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at December 31, 2019, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Notional Amount
(Thousands) |
|
Value
(Thousands) |
|
Unrealized
Appreciation/Depreciation
(Thousands) |
|
|
|
|
|
|
| Euro STOXX 50 |
|
|
662 |
|
|
|
Mar-2020 |
|
|
$ |
27,610 |
|
|
$ |
27,710 |
|
|
$ |
(79 |
) |
|
|
|
|
|
|
| FTSE 100 Index |
|
|
144 |
|
|
|
Mar-2020 |
|
|
|
14,103 |
|
|
|
14,305 |
|
|
|
77 |
|
|
|
|
|
|
|
| Hang Seng Index |
|
|
15 |
|
|
|
Feb-2020 |
|
|
|
2,700 |
|
|
|
2,721 |
|
|
|
24 |
|
|
|
|
|
|
|
| SPI 200 Index |
|
|
65 |
|
|
|
Mar-2020 |
|
|
|
7,573 |
|
|
|
7,543 |
|
|
|
(213 |
) |
|
|
|
|
|
|
| TOPIX Index |
|
|
138 |
|
|
|
Mar-2020 |
|
|
|
21,795 |
|
|
|
21,854 |
|
|
|
45 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
73,781 |
|
|
$ |
74,133 |
|
|
$ |
(146 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Percentages are based on Net Assets of $4,382,204 ($ Thousands). |
| * |
Non-income producing security. |
| ** |
The rate reported is the 7-day effective yield as of December 31, 2019.
|
| † |
Investment in Affiliated Security. |
| ‡ |
Real Estate Investment Trust. |
| (A) |
Certain securities or partial positions of certain securities are on loan at December 31, 2019. The total market
value of securities on loan at December 31, 2019 was $70,602 ($ Thousands). |
| (B) |
Level 3 security in accordance with fair value hierarchy. |
| (C) |
There is currently no rate available. |
| (D) |
This security was purchased with cash collateral held from securities on loan. The total market value of such securities
as of December 31, 2019 was $75,606 ($ Thousands). |
ADR — American Depositary Receipt
Cl — Class
EUR — Euro
FTSE — Financial Times Stock Exchange
L.P. — Limited Partnership
Ltd. — Limited
PJSC — Public Joint-Stock Company
PLC — Public Limited Company
REIT — Real Estate investment Trust
SPI — Share Price Index
TOPIX - Tokyo Price Index
USD — United States Dollar
The following is a list of the level of inputs used as of December 31, 2019, in valuing the Fund’s investments
and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| Investments in Securities |
|
Level 1
($) |
|
Level 2
($) |
|
Level 3
($) |
|
Total
($) |
| Common Stock |
|
|
4,146,664 |
|
|
|
– |
|
|
|
–^ |
|
|
|
4,146,664 |
|
| Preferred Stock |
|
|
75,748 |
|
|
|
– |
|
|
|
– |
|
|
|
75,748 |
|
| Affiliated Partnership |
|
|
– |
|
|
|
75,606 |
|
|
|
– |
|
|
|
75,606 |
|
| Cash Equivalent |
|
|
60,243 |
|
|
|
– |
|
|
|
– |
|
|
|
60,243 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
|
4,282,655 |
|
|
|
75,606 |
|
|
|
– |
|
|
|
4,358,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| Other Financial Instruments |
|
Level 1
($) |
|
Level 2
($) |
|
Level 3
($) |
|
Total
($) |
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
146 |
|
|
|
– |
|
|
|
– |
|
|
|
146 |
|
| Unrealized Depreciation |
|
|
(292 |
) |
|
|
– |
|
|
|
– |
|
|
|
(292 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
|
(146 |
) |
|
|
– |
|
|
|
– |
|
|
|
(146 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
^One security with a market value of $0.
*Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.
For the period ended December 31, 2019, there were no transfers in or out of Level 3.
For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the
Fund’s most recent financial statements.
The following is a summary of the transactions with affiliates for the period ended December 31, 2019 ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
| Security Description |
|
Value
9/30/19
($) |
|
Purchases
at Cost
($) |
|
Proceeds
from
Sales ($) |
|
Realized
Gain
(Loss)
($) |
|
Change in
Unrealized
Appreciation
(Depreciation)
($) |
|
Value
12/31/19
($) |
|
Shares |
|
Income
($) |
|
Capital
Gains
($) |
| SEI Liquidity Fund, L.P. |
|
|
122,509 |
|
|
|
187,189 |
|
|
|
(234,091 |
) |
|
|
— |
|
|
|
(1 |
) |
|
|
75,606 |
|
|
|
75,599,401 |
|
|
|
471 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
| SEI Daily Income Trust, Government Fund, Cl F |
|
|
83,730 |
|
|
|
46,735 |
|
|
|
(70,222 |
) |
|
|
— |
|
|
|
— |
|
|
|
60,243 |
|
|
|
60,243,325 |
|
|
|
281 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
206,239 |
|
|
|
233,924 |
|
|
|
(304,313 |
) |
|
|
— |
|
|
|
(1 |
) |
|
|
135,849 |
|
|
|
135,842,726 |
|
|
|
752 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amounts designated as “—” are either $0 or have been rounded to $0.
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2019
Emerging Markets Equity Fund
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK — 95.0% |
|
|
|
|
|
|
|
|
| Argentina — 0.2% |
|
|
|
|
|
|
|
|
| Arcos Dorados Holdings Inc, Cl A |
|
|
191,007 |
|
|
$ |
1,547 |
|
| Cresud SACIF y A ADR *(A) |
|
|
76,288 |
|
|
|
537 |
|
| IRSA Inversiones y Representaciones SA ADR * |
|
|
63,795 |
|
|
|
442 |
|
| IRSA Propiedades Comerciales SA ADR |
|
|
2,512 |
|
|
|
42 |
|
| MercadoLibre Inc * |
|
|
1,929 |
|
|
|
1,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,671 |
|
|
|
|
|
|
|
|
|
|
| Austria — 0.1% |
|
|
|
|
|
|
|
|
| Erste Group Bank AG * |
|
|
69,374 |
|
|
|
2,628 |
|
|
|
|
|
|
|
|
|
|
| Brazil — 7.6% |
|
|
|
|
|
|
|
|
| Ambev SA * |
|
|
671,900 |
|
|
|
3,118 |
|
| Arezzo Industria e Comercio SA |
|
|
106,600 |
|
|
|
1,696 |
|
| Atacadao SA * |
|
|
906,111 |
|
|
|
5,260 |
|
| B2W Cia Digital * |
|
|
939,967 |
|
|
|
14,688 |
|
| B3 SA - Brasil Bolsa Balcao |
|
|
601,820 |
|
|
|
6,429 |
|
| Banco Bradesco SA ADR *(A) |
|
|
1,137,020 |
|
|
|
10,176 |
|
| Banco BTG Pactual SA * |
|
|
50,698 |
|
|
|
959 |
|
| Banco do Brasil SA * |
|
|
327,413 |
|
|
|
4,299 |
|
| Banco Santander Brasil SA |
|
|
254,900 |
|
|
|
3,138 |
|
| Banco Santander Brasil SA ADR (A) |
|
|
163,031 |
|
|
|
1,977 |
|
| BB Seguridade Participacoes SA |
|
|
80,827 |
|
|
|
758 |
|
| BK Brasil Operacao e Assessoria a Restaurantes SA * |
|
|
627,830 |
|
|
|
2,775 |
|
| BR Malls Participacoes SA |
|
|
127,347 |
|
|
|
572 |
|
| BRF SA * |
|
|
483,253 |
|
|
|
4,229 |
|
| BRF SA ADR * |
|
|
329,088 |
|
|
|
2,863 |
|
| CCR SA |
|
|
482,000 |
|
|
|
2,274 |
|
| Cia de Saneamento do Parana |
|
|
17,592 |
|
|
|
444 |
|
| Cia Siderurgica Nacional SA |
|
|
107,412 |
|
|
|
377 |
|
| Construtora Tenda SA |
|
|
93,202 |
|
|
|
699 |
|
| Cosan Ltd, Cl A * |
|
|
40,385 |
|
|
|
922 |
|
| Cosan SA |
|
|
306,128 |
|
|
|
5,294 |
|
| Cyrela Brazil Realty SA Empreendimentos e Participacoes |
|
|
279,398 |
|
|
|
2,062 |
|
| Duratex SA |
|
|
637,700 |
|
|
|
2,651 |
|
| Energisa SA |
|
|
455,268 |
|
|
|
6,058 |
|
| Eneva SA * |
|
|
95,847 |
|
|
|
1,041 |
|
| Gerdau SA ADR (A) |
|
|
518,767 |
|
|
|
2,542 |
|
| Grupo SBF SA * |
|
|
256,375 |
|
|
|
2,242 |
|
| Hapvida Participacoes e Investimentos SA |
|
|
154,310 |
|
|
|
2,451 |
|
| Hypera SA * |
|
|
246,662 |
|
|
|
2,188 |
|
| IRB Brasil Resseguros S/A |
|
|
117,243 |
|
|
|
1,135 |
|
| JBS SA |
|
|
152,080 |
|
|
|
975 |
|
| Localiza Rent a Car SA |
|
|
182,490 |
|
|
|
2,151 |
|
| Lojas Renner SA |
|
|
105,377 |
|
|
|
1,472 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Minerva SA/Brazil * |
|
|
128,998 |
|
|
$ |
412 |
|
| Notre Dame Intermedica Participacoes SA |
|
|
199,077 |
|
|
|
3,378 |
|
| Petro Rio SA * |
|
|
117,300 |
|
|
|
964 |
|
| Petrobras Distribuidora SA |
|
|
389,150 |
|
|
|
2,909 |
|
| Petroleo Brasileiro SA |
|
|
21,549 |
|
|
|
343 |
|
| Petroleo Brasileiro SA ADR * |
|
|
606,081 |
|
|
|
9,661 |
|
| Porto Seguro SA |
|
|
130,188 |
|
|
|
2,030 |
|
| Qualicorp Consultoria e Corretora de Seguros SA |
|
|
111,107 |
|
|
|
1,025 |
|
| Rumo SA * |
|
|
1,468,283 |
|
|
|
9,526 |
|
| Sul America SA |
|
|
66,646 |
|
|
|
993 |
|
| Telefonica Brasil SA ADR |
|
|
296,034 |
|
|
|
4,239 |
|
| TIM Participacoes SA ADR * |
|
|
127,033 |
|
|
|
2,428 |
|
| Transmissora Alianca de Energia Eletrica SA |
|
|
92,364 |
|
|
|
716 |
|
| Ultrapar Participacoes SA ADR |
|
|
47,273 |
|
|
|
296 |
|
| Vale SA ADR, Cl B * |
|
|
232,466 |
|
|
|
3,069 |
|
| YDUQS Part |
|
|
154,786 |
|
|
|
1,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
143,732 |
|
|
|
|
|
|
|
|
|
|
| Canada — 1.0% |
|
|
|
|
|
|
|
|
| First Quantum Minerals Ltd |
|
|
1,420,325 |
|
|
|
14,425 |
|
| Pan American Silver Corp |
|
|
84,904 |
|
|
|
2,011 |
|
| Parex Resources Inc * |
|
|
163,177 |
|
|
|
3,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,475 |
|
|
|
|
|
|
|
|
|
|
| Chile — 0.3% |
|
|
|
|
|
|
|
|
| Banco de Credito e Inversiones SA |
|
|
7,407 |
|
|
|
336 |
|
| Cia Cervecerias Unidas SA ADR |
|
|
46,114 |
|
|
|
875 |
|
| Empresas CMPC SA |
|
|
311,960 |
|
|
|
763 |
|
| Enel Chile SA |
|
|
14,238,302 |
|
|
|
1,335 |
|
| Inversiones La Construccion SA |
|
|
1,878 |
|
|
|
21 |
|
| Latam Airlines Group SA ADR |
|
|
60,000 |
|
|
|
609 |
|
| Sociedad Quimica y Minera de Chile SA ADR |
|
|
36,860 |
|
|
|
984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,923 |
|
|
|
|
|
|
|
|
|
|
| China — 22.2% |
|
|
|
|
|
|
|
|
| Agricultural Bank of China Ltd, Cl H |
|
|
8,188,000 |
|
|
|
3,604 |
|
| Alibaba Group Holding Ltd ADR * |
|
|
285,726 |
|
|
|
60,603 |
|
| Aluminum Corp of China Ltd, Cl H * |
|
|
3,434,000 |
|
|
|
1,177 |
|
| Anhui Conch Cement Co Ltd, Cl H |
|
|
1,614,664 |
|
|
|
11,770 |
|
| ANTA Sports Products Ltd |
|
|
132,069 |
|
|
|
1,182 |
|
| Baidu Inc ADR * |
|
|
45,464 |
|
|
|
5,747 |
|
| Bank of China Ltd, Cl H |
|
|
10,379,000 |
|
|
|
4,436 |
|
| BeiGene Ltd ADR * |
|
|
4,864 |
|
|
|
806 |
|
| Beijing Sinnet Technology Co Ltd, Cl A |
|
|
1,164,995 |
|
|
|
3,357 |
|
| Bilibili Inc ADR *(A) |
|
|
220,265 |
|
|
|
4,101 |
|
| Bosideng International Holdings Ltd |
|
|
2,848,000 |
|
|
|
1,027 |
|
| China Coal Energy Co Ltd, Cl H |
|
|
1,383,000 |
|
|
|
549 |
|
| China Construction Bank Corp, Cl H |
|
|
14,733,000 |
|
|
|
12,725 |
|
| China Everbright Bank Co Ltd, Cl A |
|
|
3,285,500 |
|
|
|
2,080 |
|
| China Lesso Group Holdings Ltd |
|
|
471,000 |
|
|
|
604 |
|
| China Life Insurance Co Ltd, Cl H |
|
|
1,560,000 |
|
|
|
4,335 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| China Merchants Energy Shipping Co Ltd, Cl A |
|
|
942,197 |
|
|
$ |
1,117 |
|
| China National Building Material Co Ltd, Cl H |
|
|
1,178,000 |
|
|
|
1,315 |
|
| China Oilfield Services Ltd, Cl H |
|
|
1,144,000 |
|
|
|
1,794 |
|
| China Pacific Insurance Group Co Ltd,
Cl H |
|
|
220,400 |
|
|
|
868 |
|
| China Petroleum & Chemical Corp, Cl H |
|
|
3,588,000 |
|
|
|
2,160 |
|
| Chongqing Zhifei Biological Products Co Ltd, Cl A |
|
|
291,600 |
|
|
|
2,079 |
|
| CITIC Securities Co Ltd, Cl H |
|
|
425,500 |
|
|
|
971 |
|
| COSCO SHIPPING Energy Transportation Co Ltd, Cl A |
|
|
312,989 |
|
|
|
287 |
|
| CRRC Corp Ltd |
|
|
4,746,408 |
|
|
|
3,460 |
|
| Dongyue Group Ltd |
|
|
573,000 |
|
|
|
318 |
|
| Focus Media Information Technology Co Ltd, Cl A |
|
|
5,028,867 |
|
|
|
4,519 |
|
| Focused Photonics Hangzhou Inc, Cl A |
|
|
811,661 |
|
|
|
1,947 |
|
| Gree Electric Appliances Inc of Zhuhai,
Cl A * |
|
|
191,400 |
|
|
|
1,802 |
|
| Guangdong Haid Group Co Ltd,
Cl A |
|
|
373,392 |
|
|
|
1,930 |
|
| Hangzhou Robam Appliances Co Ltd,
Cl A |
|
|
1,422,950 |
|
|
|
6,907 |
|
| HLA Corp Ltd, Cl A |
|
|
1,424,853 |
|
|
|
1,571 |
|
| Huazhu Group Ltd ADR |
|
|
24,040 |
|
|
|
963 |
|
| Industrial & Commercial Bank of China Ltd, Cl H |
|
|
33,147,419 |
|
|
|
25,525 |
|
| JD.com Inc ADR * |
|
|
241,434 |
|
|
|
8,506 |
|
| Jiangsu Yanghe Brewery Joint-Stock Co Ltd, Cl A |
|
|
129,100 |
|
|
|
2,048 |
|
| KWG Group Holdings Ltd |
|
|
1,607,000 |
|
|
|
2,252 |
|
| Longfor Group Holdings Ltd |
|
|
213,000 |
|
|
|
998 |
|
| Momo Inc ADR * |
|
|
256,484 |
|
|
|
8,592 |
|
| NARI Technology Co Ltd, Cl A |
|
|
1,057,083 |
|
|
|
3,214 |
|
| NetEase Inc ADR |
|
|
34,685 |
|
|
|
10,636 |
|
| New Oriental Education & Technology Group Inc ADR * |
|
|
43,753 |
|
|
|
5,305 |
|
| PetroChina Co Ltd, Cl H |
|
|
1,826,000 |
|
|
|
916 |
|
| PICC Property & Casualty Co Ltd, Cl H |
|
|
566,000 |
|
|
|
682 |
|
| Ping An Insurance Group Co of China Ltd, Cl A |
|
|
294,082 |
|
|
|
3,608 |
|
| Ping An Insurance Group Co of China Ltd, Cl H |
|
|
2,391,857 |
|
|
|
28,272 |
|
| Shenzhen Inovance Technology Co Ltd, Cl A |
|
|
460,600 |
|
|
|
2,026 |
|
| Shenzhen Overseas Chinese Town Co Ltd, Cl A |
|
|
1,118,900 |
|
|
|
1,251 |
|
| SINA Corp/China * |
|
|
87,423 |
|
|
|
3,491 |
|
| Sinopharm Group Co Ltd, Cl H |
|
|
1,159,510 |
|
|
|
4,234 |
|
| Sinotruk Hong Kong Ltd (A) |
|
|
1,246,500 |
|
|
|
2,659 |
|
| Sohu.com Ltd ADR * |
|
|
128,442 |
|
|
|
1,436 |
|
| Suofeiya Home Collection Co Ltd, Cl A |
|
|
1,117,700 |
|
|
|
3,362 |
|
| TAL Education Group ADR * |
|
|
68,889 |
|
|
|
3,320 |
|
| Tencent Holdings Ltd |
|
|
1,553,007 |
|
|
|
74,862 |
|
| Tingyi Cayman Islands Holding Corp |
|
|
2,116,500 |
|
|
|
3,613 |
|
| Trip.com Group Ltd ADR * |
|
|
400,305 |
|
|
|
13,426 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Tsingtao Brewery Co Ltd, Cl H |
|
|
618,000 |
|
|
$ |
4,152 |
|
| Uni-President China Holdings Ltd |
|
|
3,138,400 |
|
|
|
3,295 |
|
| Vipshop Holdings Ltd ADR * |
|
|
57,945 |
|
|
|
821 |
|
| Want Want China Holdings Ltd |
|
|
803,000 |
|
|
|
750 |
|
| Weibo Corp ADR *(A) |
|
|
115,145 |
|
|
|
5,337 |
|
| Weichai Power Co Ltd, Cl H |
|
|
1,343,000 |
|
|
|
2,834 |
|
| Wens Foodstuffs Group Co Ltd |
|
|
840,683 |
|
|
|
4,055 |
|
| Wuhu Sanqi Interactive Entertainment Network Technology Group Co Ltd, Cl A |
|
|
588,600 |
|
|
|
2,276 |
|
| Wuliangye Yibin Co Ltd, Cl A |
|
|
145,500 |
|
|
|
2,778 |
|
| Yantai Jereh Oilfield Services Group Co Ltd, Cl A |
|
|
440,900 |
|
|
|
2,339 |
|
| Yanzhou Coal Mining Co Ltd, Cl H |
|
|
428,791 |
|
|
|
385 |
|
| Yum China Holdings Inc |
|
|
13,071 |
|
|
|
628 |
|
| Zhejiang Expressway Co Ltd, Cl H |
|
|
3,690,000 |
|
|
|
3,362 |
|
| Zhejiang NHU Co Ltd, Cl A |
|
|
504,398 |
|
|
|
1,684 |
|
| Zhongsheng Group Holdings Ltd |
|
|
2,300,500 |
|
|
|
9,418 |
|
| Zhuzhou CRRC Times Electric Co Ltd, Cl H |
|
|
644,600 |
|
|
|
2,333 |
|
| ZTO Express Cayman Inc ADR * |
|
|
222,991 |
|
|
|
5,207 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
417,999 |
|
|
|
|
|
|
|
|
|
|
| Colombia — 0.5% |
|
|
|
|
|
|
|
|
| Bancolombia SA ADR, Cl R |
|
|
157,058 |
|
|
|
8,605 |
|
| Ecopetrol SA ADR |
|
|
38,523 |
|
|
|
769 |
|
| Grupo Aval Acciones y Valores SA ADR |
|
|
17,844 |
|
|
|
156 |
|
| Interconexion Electrica SA ESP |
|
|
35,665 |
|
|
|
213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,743 |
|
|
|
|
|
|
|
|
|
|
| Cyprus — 0.1% |
|
|
|
|
|
|
|
|
| TCS Group Holding PLC GDR |
|
|
106,230 |
|
|
|
2,284 |
|
|
|
|
|
|
|
|
|
|
| Czech Republic — 0.2% |
|
|
|
|
|
|
|
|
| Moneta Money Bank AS |
|
|
776,096 |
|
|
|
2,914 |
|
|
|
|
|
|
|
|
|
|
| Egypt — 0.2% |
|
|
|
|
|
|
|
|
| Commercial International Bank Egypt SAE |
|
|
525,769 |
|
|
|
2,720 |
|
|
|
|
|
|
|
|
|
|
| Germany — 0.2% |
|
|
|
|
|
|
|
|
| Delivery Hero SE * |
|
|
53,900 |
|
|
|
4,274 |
|
|
|
|
|
|
|
|
|
|
| Greece — 0.6% |
|
|
|
|
|
|
|
|
| Eurobank Ergasias SA * |
|
|
3,539,371 |
|
|
|
3,658 |
|
| Hellenic Telecommunications Organization SA |
|
|
43,068 |
|
|
|
688 |
|
| Motor Oil Hellas Corinth Refineries SA |
|
|
52,207 |
|
|
|
1,209 |
|
| National Bank of Greece SA * |
|
|
840,560 |
|
|
|
2,859 |
|
| OPAP SA |
|
|
147,572 |
|
|
|
1,918 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,332 |
|
|
|
|
|
|
|
|
|
|
| Hong Kong — 7.8% |
|
|
|
|
|
|
|
|
| 3SBio Inc * |
|
|
3,657,500 |
|
|
|
4,741 |
|
| A-Living Services Co Ltd, Cl H |
|
|
1,550,375 |
|
|
|
5,352 |
|
| ASM Pacific Technology Ltd |
|
|
291,600 |
|
|
|
4,046 |
|
| BAIC Motor Corp Ltd, Cl H |
|
|
5,690,500 |
|
|
|
3,228 |
|
| Beijing Enterprises Water Group Ltd |
|
|
3,878,000 |
|
|
|
1,961 |
|
| Brilliance China Automotive Holdings Ltd |
|
|
1,511,163 |
|
|
|
1,567 |
|
| Budweiser Brewing Co APAC Ltd * |
|
|
393,425 |
|
|
|
1,328 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Chaoda Modern Agriculture Holdings Ltd * |
|
|
2,056,181 |
|
|
$ |
14 |
|
| China Agri-Industries Holdings Ltd |
|
|
298,559 |
|
|
|
158 |
|
| China Aoyuan Group Ltd |
|
|
319,000 |
|
|
|
520 |
|
| China Conch Venture Holdings Ltd |
|
|
636,500 |
|
|
|
2,777 |
|
| China Everbright Bank Co Ltd, Cl H |
|
|
1,633,000 |
|
|
|
759 |
|
| China Everbright International Ltd |
|
|
5,829,100 |
|
|
|
4,676 |
|
| China Gas Holdings Ltd |
|
|
1,247,000 |
|
|
|
4,673 |
|
| China High Precision Automation Group Ltd * |
|
|
1,385,624 |
|
|
|
– |
|
| China Medical System Holdings Ltd |
|
|
2,218,000 |
|
|
|
3,194 |
|
| China Mengniu Dairy Co Ltd |
|
|
809,000 |
|
|
|
3,271 |
|
| China Mobile Ltd |
|
|
1,155,800 |
|
|
|
9,716 |
|
| China Mobile Ltd ADR |
|
|
136,934 |
|
|
|
5,788 |
|
| China Overseas Grand Oceans Group Ltd |
|
|
662,000 |
|
|
|
458 |
|
| China Resources Beer Holdings Co Ltd |
|
|
138,000 |
|
|
|
763 |
|
| China Resources Cement Holdings Ltd |
|
|
902,000 |
|
|
|
1,148 |
|
| China Resources Gas Group Ltd |
|
|
148,000 |
|
|
|
813 |
|
| China Resources Land Ltd |
|
|
90,000 |
|
|
|
448 |
|
| China State Construction International Holdings Ltd |
|
|
2,837,123 |
|
|
|
2,578 |
|
| China Taiping Insurance Holdings Co Ltd |
|
|
1,079,400 |
|
|
|
2,676 |
|
| CITIC Ltd |
|
|
1,916,000 |
|
|
|
2,562 |
|
| CNOOC Ltd |
|
|
8,976,200 |
|
|
|
14,930 |
|
| Country Garden Services Holdings Co Ltd |
|
|
236,000 |
|
|
|
795 |
|
| CSPC Pharmaceutical Group Ltd |
|
|
454,000 |
|
|
|
1,083 |
|
| Geely Automobile Holdings Ltd |
|
|
2,001,000 |
|
|
|
3,914 |
|
| Genscript Biotech Corp * |
|
|
508,000 |
|
|
|
1,154 |
|
| Haier Electronics Group Co Ltd |
|
|
1,161,118 |
|
|
|
3,629 |
|
| Hang Lung Properties Ltd |
|
|
416,000 |
|
|
|
913 |
|
| Hisense Home Appliances Group Co Ltd, Cl H |
|
|
403,534 |
|
|
|
442 |
|
| Huatai Securities Co Ltd, Cl H |
|
|
2,561,200 |
|
|
|
4,530 |
|
| Kingboard Laminates Holdings Ltd |
|
|
1,007,000 |
|
|
|
1,248 |
|
| Kunlun Energy Co Ltd |
|
|
1,036,000 |
|
|
|
915 |
|
| Li Ning Co Ltd |
|
|
723,000 |
|
|
|
2,167 |
|
| Link REIT
‡ |
|
|
312,438 |
|
|
|
3,308 |
|
| Logan Property Holdings Co Ltd |
|
|
3,420,000 |
|
|
|
5,741 |
|
| Meituan Dianping, Cl B * |
|
|
78,800 |
|
|
|
1,031 |
|
| Midea Real Estate Holding Ltd |
|
|
360,019 |
|
|
|
1,104 |
|
| Nine Dragons Paper Holdings Ltd |
|
|
1,193,000 |
|
|
|
1,240 |
|
| Postal Savings Bank of China Co Ltd, Cl H |
|
|
2,955,000 |
|
|
|
2,010 |
|
| Q Technology Group Co Ltd * |
|
|
344,000 |
|
|
|
569 |
|
| Shenzhen Expressway Co Ltd, Cl H |
|
|
406,000 |
|
|
|
583 |
|
| Shimao Property Holdings Ltd |
|
|
640,000 |
|
|
|
2,481 |
|
| Sino Biopharmaceutical Ltd |
|
|
414,000 |
|
|
|
579 |
|
| SJM Holdings Ltd |
|
|
3,143,000 |
|
|
|
3,578 |
|
| Sun Art Retail Group Ltd |
|
|
512,000 |
|
|
|
621 |
|
| Sunac China Holdings Ltd |
|
|
672,409 |
|
|
|
4,017 |
|
| Sunny Optical Technology Group Co Ltd |
|
|
570,100 |
|
|
|
9,870 |
|
| Techtronic Industries Co Ltd |
|
|
323,925 |
|
|
|
2,642 |
|
| Times China Holdings Ltd |
|
|
316,667 |
|
|
|
606 |
|
| Times Neighborhood Ltd * |
|
|
116,923 |
|
|
|
73 |
|
| Yuexiu Transport Infrastructure Ltd |
|
|
622,000 |
|
|
|
553 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Zoomlion Heavy Industry Science and Technology Co Ltd (A) |
|
|
1,265,800 |
|
|
$ |
1,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
146,602 |
|
|
|
|
|
|
|
|
|
|
| Hungary — 0.4% |
|
|
|
|
|
|
|
|
| MOL Hungarian Oil & Gas PLC |
|
|
202,145 |
|
|
|
2,017 |
|
| OTP Bank Nyrt |
|
|
27,246 |
|
|
|
1,427 |
|
| Richter Gedeon Nyrt |
|
|
226,427 |
|
|
|
4,930 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,374 |
|
|
|
|
|
|
|
|
|
|
| India — 8.3% |
|
|
|
|
|
|
|
|
| ACC Ltd |
|
|
77,785 |
|
|
|
1,575 |
|
| Avanti Feeds Ltd |
|
|
64,997 |
|
|
|
532 |
|
| Axis Bank Ltd |
|
|
148,303 |
|
|
|
1,567 |
|
| Bandhan Bank Ltd |
|
|
247,047 |
|
|
|
1,759 |
|
| Bharti Airtel Ltd * |
|
|
305,205 |
|
|
|
1,949 |
|
| Dabur India Ltd |
|
|
87,003 |
|
|
|
559 |
|
| DLF Ltd |
|
|
505,681 |
|
|
|
1,636 |
|
| Dr Reddy’s Laboratories Ltd |
|
|
46,717 |
|
|
|
1,882 |
|
| Dr Reddy’s Laboratories Ltd ADR |
|
|
20,928 |
|
|
|
849 |
|
| HCL Technologies Ltd |
|
|
133,512 |
|
|
|
1,063 |
|
| HDFC Asset Management Co Ltd |
|
|
9,421 |
|
|
|
422 |
|
| HDFC Bank Ltd |
|
|
303,928 |
|
|
|
5,417 |
|
| HDFC Bank Ltd ADR |
|
|
97,762 |
|
|
|
6,195 |
|
| Hero MotoCorp Ltd |
|
|
57,204 |
|
|
|
1,958 |
|
| Hindustan Petroleum Corp Ltd |
|
|
611,447 |
|
|
|
2,266 |
|
| Hindustan Unilever Ltd |
|
|
164,230 |
|
|
|
4,425 |
|
| Housing Development Finance Corp Ltd |
|
|
373,043 |
|
|
|
12,609 |
|
| ICICI Bank Ltd |
|
|
1,962,132 |
|
|
|
14,814 |
|
| ICICI Bank Ltd ADR |
|
|
564,707 |
|
|
|
8,521 |
|
| ICICI Lombard General Insurance Co Ltd |
|
|
177,285 |
|
|
|
3,444 |
|
| Infosys Ltd |
|
|
449,636 |
|
|
|
4,606 |
|
| Infosys Ltd ADR |
|
|
85,464 |
|
|
|
882 |
|
| ITC Ltd |
|
|
1,760,053 |
|
|
|
5,861 |
|
| JM Financial Ltd |
|
|
528,780 |
|
|
|
698 |
|
| JSW Steel Ltd |
|
|
293,309 |
|
|
|
1,110 |
|
| Larsen & Toubro Ltd |
|
|
66,652 |
|
|
|
1,212 |
|
| Mahindra & Mahindra Ltd |
|
|
235,240 |
|
|
|
1,752 |
|
| Manappuram Finance Ltd |
|
|
286,462 |
|
|
|
712 |
|
| Metropolis Healthcare Ltd * |
|
|
66,204 |
|
|
|
1,346 |
|
| Motherson Sumi Systems Ltd |
|
|
265,139 |
|
|
|
544 |
|
| Mphasis Ltd |
|
|
74,801 |
|
|
|
966 |
|
| Multi Commodity Exchange of India Ltd |
|
|
64,594 |
|
|
|
1,057 |
|
| Muthoot Finance Ltd * |
|
|
92,654 |
|
|
|
988 |
|
| Nestle India Ltd |
|
|
3,125 |
|
|
|
647 |
|
| Petronet LNG Ltd |
|
|
143,637 |
|
|
|
539 |
|
| Power Finance Corp Ltd * |
|
|
330,242 |
|
|
|
546 |
|
| Power Grid Corp of India Ltd |
|
|
2,558,963 |
|
|
|
6,821 |
|
| Reliance Industries Ltd |
|
|
655,176 |
|
|
|
13,897 |
|
| Reliance Industries Ltd GDR |
|
|
565,796 |
|
|
|
24,075 |
|
| Shriram Transport Finance Co Ltd |
|
|
174,420 |
|
|
|
2,862 |
|
| Tata Chemicals Ltd |
|
|
151,917 |
|
|
|
1,420 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Tata Consultancy Services Ltd |
|
|
59,043 |
|
|
$ |
1,788 |
|
| Tech Mahindra Ltd |
|
|
67,039 |
|
|
|
716 |
|
| United Spirits Ltd * |
|
|
302,561 |
|
|
|
2,541 |
|
| UPL Ltd |
|
|
321,934 |
|
|
|
2,636 |
|
| Wipro Ltd |
|
|
193,717 |
|
|
|
667 |
|
| WNS Holdings Ltd ADR * |
|
|
8,529 |
|
|
|
564 |
|
| Zee Entertainment Enterprises Ltd |
|
|
406,956 |
|
|
|
1,666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
156,561 |
|
|
|
|
|
|
|
|
|
|
| Indonesia — 1.0% |
|
|
|
|
|
|
|
|
| Ace Hardware Indonesia Tbk PT |
|
|
8,428,700 |
|
|
|
907 |
|
| Astra International Tbk PT |
|
|
4,106,500 |
|
|
|
2,040 |
|
| Bank Central Asia Tbk PT |
|
|
180,067 |
|
|
|
433 |
|
| Bank Rakyat Indonesia Persero Tbk PT |
|
|
27,334,119 |
|
|
|
8,628 |
|
| Bank Tabungan Pensiunan Nasional Syariah Tbk PT * |
|
|
2,344,400 |
|
|
|
720 |
|
| Indofood Sukses Makmur Tbk PT |
|
|
701,377 |
|
|
|
399 |
|
| Kalbe Farma Tbk PT |
|
|
4,622,600 |
|
|
|
538 |
|
| Map Aktif Adiperkasa PT * |
|
|
3,611,900 |
|
|
|
1,375 |
|
| Mitra Adiperkasa Tbk PT |
|
|
3,751,500 |
|
|
|
285 |
|
| Perusahaan Gas Negara Tbk PT |
|
|
11,471,100 |
|
|
|
1,792 |
|
| Telekomunikasi Indonesia Persero Tbk PT |
|
|
8,426,100 |
|
|
|
2,403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,520 |
|
|
|
|
|
|
|
|
|
|
| Malaysia — 0.5% |
|
|
|
|
|
|
|
|
| Gamuda Bhd |
|
|
732,700 |
|
|
|
698 |
|
| Inari Amertron Bhd |
|
|
5,267,575 |
|
|
|
2,189 |
|
| Malayan Banking Bhd |
|
|
1,002,500 |
|
|
|
2,117 |
|
| MISC Bhd |
|
|
374,875 |
|
|
|
765 |
|
| RHB Bank Bhd |
|
|
2,062,000 |
|
|
|
2,914 |
|
| Syarikat Takaful Malaysia Keluarga Bhd |
|
|
268,828 |
|
|
|
375 |
|
| UEM Sunrise Bhd * |
|
|
1,993,595 |
|
|
|
344 |
|
| Westports Holdings Bhd |
|
|
487,600 |
|
|
|
502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,904 |
|
|
|
|
|
|
|
|
|
|
| Mexico — 2.3% |
|
|
|
|
|
|
|
|
| Alfa SAB de CV, Cl A |
|
|
1,753,700 |
|
|
|
1,454 |
|
| Alsea SAB de CV * |
|
|
802,045 |
|
|
|
2,116 |
|
| America Movil SAB de CV ADR, Cl L |
|
|
115,996 |
|
|
|
1,856 |
|
| Arca Continental SAB de CV |
|
|
90,800 |
|
|
|
481 |
|
| Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand ADR |
|
|
355,435 |
|
|
|
2,410 |
|
| Cemex SAB de CV ADR |
|
|
149,406 |
|
|
|
565 |
|
| Coca-Cola Femsa SAB de CV ADR |
|
|
56,121 |
|
|
|
3,402 |
|
| Controladora Vuela Cia de Aviacion SAB de CV ADR * |
|
|
30,158 |
|
|
|
314 |
|
| Fibra Uno Administracion SA de CV |
|
|
499,315 |
|
|
|
774 |
|
| Fomento Economico Mexicano SAB de CV |
|
|
497,929 |
|
|
|
4,702 |
|
| Fomento Economico Mexicano SAB de CV ADR |
|
|
19,049 |
|
|
|
1,801 |
|
| Gruma SAB de CV, Cl B |
|
|
85,175 |
|
|
|
874 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Grupo Aeroportuario del Centro Norte SAB de CV ADR |
|
|
7,310 |
|
|
$ |
438 |
|
| Grupo Aeroportuario del Sureste SAB de CV ADR |
|
|
2,877 |
|
|
|
539 |
|
| Grupo Financiero Banorte SAB de CV, Cl O |
|
|
1,518,154 |
|
|
|
8,486 |
|
| Grupo Mexico SAB de CV, Ser B |
|
|
948,384 |
|
|
|
2,611 |
|
| Grupo Televisa SAB ADR |
|
|
421,695 |
|
|
|
4,947 |
|
| Infraestructura Energetica Nova SAB de CV |
|
|
441,100 |
|
|
|
2,074 |
|
| Orbia Advance Corp SAB de CV |
|
|
475,081 |
|
|
|
1,014 |
|
| Qualitas Controladora SAB de CV |
|
|
191,603 |
|
|
|
808 |
|
| Wal-Mart de Mexico SAB de CV |
|
|
623,412 |
|
|
|
1,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,458 |
|
|
|
|
|
|
|
|
|
|
| Netherlands — 0.2% |
|
|
|
|
|
|
|
|
| Prosus NV * |
|
|
34,919 |
|
|
|
2,613 |
|
| VEON Ltd ADR |
|
|
291,057 |
|
|
|
737 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,350 |
|
|
|
|
|
|
|
|
|
|
| Panama — 0.2% |
|
|
|
|
|
|
|
|
| Copa Holdings SA, Cl A |
|
|
40,091 |
|
|
|
4,333 |
|
|
|
|
|
|
|
|
|
|
| Peru — 0.7% |
|
|
|
|
|
|
|
|
| Cia de Minas Buenaventura SAA ADR |
|
|
133,640 |
|
|
|
2,018 |
|
| Credicorp Ltd |
|
|
49,157 |
|
|
|
10,477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,495 |
|
|
|
|
|
|
|
|
|
|
| Philippines — 0.7% |
|
|
|
|
|
|
|
|
| Ayala Corp |
|
|
65,450 |
|
|
|
1,015 |
|
| BDO Unibank Inc |
|
|
1,217,275 |
|
|
|
3,798 |
|
| First Gen Corp |
|
|
783,754 |
|
|
|
374 |
|
| Globe Telecom Inc |
|
|
59,727 |
|
|
|
2,382 |
|
| GT Capital Holdings Inc |
|
|
101,434 |
|
|
|
1,696 |
|
| International Container Terminal Services Inc |
|
|
294,250 |
|
|
|
745 |
|
| Manila Electric Co |
|
|
28,870 |
|
|
|
181 |
|
| Metropolitan Bank & Trust Co |
|
|
2,612,164 |
|
|
|
3,422 |
|
| Security Bank Corp |
|
|
97,310 |
|
|
|
374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,987 |
|
|
|
|
|
|
|
|
|
|
| Poland — 0.7% |
|
|
|
|
|
|
|
|
| CD Projekt SA |
|
|
6,879 |
|
|
|
508 |
|
| Dino Polska SA * |
|
|
151,839 |
|
|
|
5,784 |
|
| Grupa Lotos SA |
|
|
38,665 |
|
|
|
853 |
|
| Polski Koncern Naftowy ORLEN SA |
|
|
44,149 |
|
|
|
1,001 |
|
| Powszechny Zaklad Ubezpieczen SA |
|
|
504,991 |
|
|
|
5,342 |
|
| Warsaw Stock Exchange |
|
|
14,019 |
|
|
|
146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,634 |
|
|
|
|
|
|
|
|
|
|
| Portugal — 0.3% |
|
|
|
|
|
|
|
|
| Galp Energia SGPS SA, Cl B |
|
|
286,916 |
|
|
|
4,812 |
|
|
|
|
|
|
|
|
|
|
| Qatar — 0.1% |
|
|
|
|
|
|
|
|
| Commercial Bank PSQC/The |
|
|
278,400 |
|
|
|
359 |
|
| Qatar Gas Transport Co Ltd |
|
|
555,980 |
|
|
|
365 |
|
| Qatar International Islamic Bank QSC |
|
|
347,200 |
|
|
|
923 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Russia — 5.8% |
|
|
|
|
|
|
|
|
| Detsky Mir PJSC |
|
|
1,097,591 |
|
|
$ |
1,767 |
|
| Gazprom PJSC |
|
|
389,260 |
|
|
|
1,607 |
|
| Gazprom PJSC ADR |
|
|
1,067,465 |
|
|
|
8,777 |
|
| LUKOIL PJSC ADR |
|
|
213,958 |
|
|
|
21,146 |
|
| Mail.Ru Group Ltd GDR * |
|
|
152,809 |
|
|
|
3,410 |
|
| MMC Norilsk Nickel PJSC ADR |
|
|
130,376 |
|
|
|
3,975 |
|
| Mobile TeleSystems PJSC ADR |
|
|
77,665 |
|
|
|
788 |
|
| Novatek PJSC GDR |
|
|
161 |
|
|
|
33 |
|
| Rosneft Oil Co PJSC GDR |
|
|
665,547 |
|
|
|
4,797 |
|
| Sberbank of Russia PJSC |
|
|
733,815 |
|
|
|
3,010 |
|
| Sberbank of Russia PJSC ADR (A) |
|
|
1,771,715 |
|
|
|
29,065 |
|
| X5 Retail Group NV GDR |
|
|
124,706 |
|
|
|
4,302 |
|
| Yandex NV, Cl A * |
|
|
611,096 |
|
|
|
26,577 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
109,254 |
|
|
|
|
|
|
|
|
|
|
| Saudi Arabia — 0.2% |
|
|
|
|
|
|
|
|
| Al Rajhi Bank |
|
|
91,351 |
|
|
|
1,593 |
|
| Samba Financial Group |
|
|
109,958 |
|
|
|
951 |
|
| Saudi Arabian Fertilizer Co |
|
|
67,275 |
|
|
|
1,390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,934 |
|
|
|
|
|
|
|
|
|
|
| South Africa — 2.8% |
|
|
|
|
|
|
|
|
| Absa Group Ltd |
|
|
55,496 |
|
|
|
593 |
|
| African Rainbow Minerals Ltd |
|
|
50,812 |
|
|
|
595 |
|
| AngloGold Ashanti Ltd |
|
|
81,573 |
|
|
|
1,846 |
|
| AngloGold Ashanti Ltd ADR |
|
|
136,018 |
|
|
|
3,039 |
|
| Bid Corp Ltd |
|
|
163,100 |
|
|
|
3,851 |
|
| Bidvest Group Ltd/The |
|
|
37,174 |
|
|
|
544 |
|
| Capitec Bank Holdings Ltd |
|
|
56,221 |
|
|
|
5,814 |
|
| FirstRand Ltd |
|
|
746,949 |
|
|
|
3,355 |
|
| Foschini Group Ltd/The |
|
|
89,572 |
|
|
|
958 |
|
| Impala Platinum Holdings Ltd * |
|
|
68,124 |
|
|
|
699 |
|
| JSE Ltd |
|
|
209,557 |
|
|
|
1,791 |
|
| Liberty Holdings Ltd |
|
|
64,340 |
|
|
|
509 |
|
| Mediclinic International PLC |
|
|
324,063 |
|
|
|
1,788 |
|
| Mr Price Group Ltd |
|
|
156,519 |
|
|
|
2,043 |
|
| Naspers Ltd, Cl N |
|
|
53,721 |
|
|
|
8,801 |
|
| Nedbank Group Ltd |
|
|
98,597 |
|
|
|
1,511 |
|
| Netcare Ltd |
|
|
433,265 |
|
|
|
603 |
|
| Old Mutual Ltd |
|
|
787,228 |
|
|
|
1,107 |
|
| Petra Diamonds Ltd * |
|
|
1,651,395 |
|
|
|
193 |
|
| RMB Holdings Ltd |
|
|
388,920 |
|
|
|
2,237 |
|
| Sibanye Gold Ltd ADR * |
|
|
51,778 |
|
|
|
514 |
|
| SPAR Group Ltd/The |
|
|
151,992 |
|
|
|
2,147 |
|
| Standard Bank Group Ltd |
|
|
672,011 |
|
|
|
8,089 |
|
| Vodacom Group Ltd |
|
|
84,110 |
|
|
|
694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,321 |
|
|
|
|
|
|
|
|
|
|
| South Korea — 12.8% |
|
|
|
|
|
|
|
|
| BGF retail Co Ltd * |
|
|
4,113 |
|
|
|
601 |
|
| BH Co Ltd *(A) |
|
|
20,954 |
|
|
|
398 |
|
| Cheil Worldwide Inc * |
|
|
82,287 |
|
|
|
1,711 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Com2uSCorp (A) |
|
|
29,920 |
|
|
$ |
2,764 |
|
| Daelim Industrial Co Ltd * |
|
|
5,821 |
|
|
|
455 |
|
| DB HiTek Co Ltd *(A) |
|
|
45,969 |
|
|
|
1,092 |
|
| DB Insurance Co Ltd * |
|
|
63,468 |
|
|
|
2,859 |
|
| Doosan Bobcat Inc |
|
|
60,051 |
|
|
|
1,784 |
|
| Douzone Bizon Co Ltd *(A) |
|
|
28,826 |
|
|
|
2,019 |
|
| GS Holdings Corp * |
|
|
28,841 |
|
|
|
1,283 |
|
| Hana Financial Group Inc |
|
|
89,381 |
|
|
|
2,844 |
|
| Hankook Tire & Technology Co Ltd * |
|
|
33,016 |
|
|
|
954 |
|
| Hanwha Chemical Corp |
|
|
63,444 |
|
|
|
1,028 |
|
| Hotel Shilla Co Ltd *(A) |
|
|
36,171 |
|
|
|
2,832 |
|
| Hyundai Department Store Co Ltd * |
|
|
20,424 |
|
|
|
1,463 |
|
| Hyundai Mobis Co Ltd (A) |
|
|
5,530 |
|
|
|
1,222 |
|
| Hyundai Motor Co |
|
|
5,519 |
|
|
|
573 |
|
| Kakao Corp (A) |
|
|
26,092 |
|
|
|
3,462 |
|
| Kangwon Land Inc * |
|
|
60,735 |
|
|
|
1,551 |
|
| KB Financial Group Inc |
|
|
82,781 |
|
|
|
3,396 |
|
| KCC Corp (A) |
|
|
4,515 |
|
|
|
911 |
|
| Kia Motors Corp * |
|
|
85,778 |
|
|
|
3,276 |
|
| Korea Zinc Co Ltd * |
|
|
2,131 |
|
|
|
782 |
|
| KT&G Corp |
|
|
10,540 |
|
|
|
854 |
|
| LG Chem Ltd *(A) |
|
|
13,889 |
|
|
|
3,810 |
|
| LG Corp * |
|
|
31,879 |
|
|
|
2,031 |
|
| LG Electronics Inc |
|
|
26,030 |
|
|
|
1,617 |
|
| LG Household & Health Care Ltd * |
|
|
2,212 |
|
|
|
2,406 |
|
| LG Innotek Co Ltd *(A) |
|
|
5,331 |
|
|
|
644 |
|
| LG Uplus Corp * |
|
|
116,484 |
|
|
|
1,428 |
|
| Lotte Chilsung Beverage Co Ltd * |
|
|
10,793 |
|
|
|
1,306 |
|
| Lotte Confectionery Co Ltd *(A) |
|
|
4,024 |
|
|
|
519 |
|
| Lotte Corp (A) |
|
|
24,569 |
|
|
|
825 |
|
| Mando Corp * |
|
|
30,814 |
|
|
|
934 |
|
| Medy-Tox Inc (A) |
|
|
9,823 |
|
|
|
2,547 |
|
| NAVER Corp * |
|
|
58,861 |
|
|
|
9,475 |
|
| NCSoft Corp *(A) |
|
|
23,760 |
|
|
|
11,103 |
|
| Orion Corp/Republic of Korea * |
|
|
46,613 |
|
|
|
4,242 |
|
| Partron Co Ltd (A) |
|
|
116,203 |
|
|
|
1,326 |
|
| Samsung Biologics Co Ltd *(A) |
|
|
6,118 |
|
|
|
2,281 |
|
| Samsung Electro-Mechanics Co
Ltd *(A) |
|
|
34,440 |
|
|
|
3,711 |
|
| Samsung Electronics Co Ltd |
|
|
1,728,660 |
|
|
|
83,198 |
|
| Samsung Engineering Co Ltd *(A) |
|
|
29,493 |
|
|
|
488 |
|
| Samsung Life Insurance Co Ltd *(A) |
|
|
21,761 |
|
|
|
1,396 |
|
| Shinhan Financial Group Co Ltd |
|
|
16,559 |
|
|
|
620 |
|
| SK Hynix Inc |
|
|
384,453 |
|
|
|
31,025 |
|
| SK Telecom Co Ltd |
|
|
55,588 |
|
|
|
11,408 |
|
| SK Telecom Co Ltd ADR |
|
|
274,320 |
|
|
|
6,339 |
|
| S-Oil Corp (A) |
|
|
44,806 |
|
|
|
3,686 |
|
| WONIK IPS Co Ltd *(A) |
|
|
132,161 |
|
|
|
4,083 |
|
| Woongjin Coway Co Ltd |
|
|
72,190 |
|
|
|
5,806 |
|
| Woori Financial Group Inc |
|
|
348,656 |
|
|
|
3,487 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
241,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Switzerland — 0.1% |
|
|
|
|
|
|
|
|
| Wizz Air Holdings Plc * |
|
|
45,954 |
|
|
$ |
2,371 |
|
|
|
|
|
|
|
|
|
|
| Taiwan — 11.3% |
|
|
|
|
|
|
|
|
| Accton Technology Corp |
|
|
643,200 |
|
|
|
3,605 |
|
| Airtac International Group |
|
|
216,000 |
|
|
|
3,361 |
|
| ASE Technology Holding Co Ltd |
|
|
817,372 |
|
|
|
2,269 |
|
| Asia Cement Corp |
|
|
1,569,000 |
|
|
|
2,510 |
|
| Asustek Computer Inc |
|
|
64,862 |
|
|
|
501 |
|
| Bizlink Holding Inc |
|
|
475,000 |
|
|
|
3,573 |
|
| Catcher Technology Co Ltd |
|
|
780,040 |
|
|
|
5,907 |
|
| Cathay Financial Holding Co Ltd |
|
|
731,000 |
|
|
|
1,038 |
|
| Chailease Holding Co Ltd |
|
|
1,084,262 |
|
|
|
4,991 |
|
| Chang Hwa Commercial Bank Ltd |
|
|
765,000 |
|
|
|
579 |
|
| Chicony Electronics Co Ltd |
|
|
187,000 |
|
|
|
555 |
|
| Chilisin Electronics Corp |
|
|
336,000 |
|
|
|
1,435 |
|
| Chunghwa Telecom Co Ltd |
|
|
139,000 |
|
|
|
510 |
|
| CTBC Financial Holding Co Ltd |
|
|
5,358,000 |
|
|
|
4,004 |
|
| Elite Material Co Ltd |
|
|
450,400 |
|
|
|
2,058 |
|
| eMemory Technology Inc |
|
|
172,200 |
|
|
|
2,048 |
|
| Foxconn Technology Co Ltd |
|
|
206,000 |
|
|
|
455 |
|
| Fubon Financial Holding Co Ltd |
|
|
1,857,000 |
|
|
|
2,874 |
|
| Globalwafers Co Ltd |
|
|
218,000 |
|
|
|
2,782 |
|
| Hiwin Technologies Corp |
|
|
259,019 |
|
|
|
2,428 |
|
| Hon Hai Precision Industry Co Ltd |
|
|
2,690,003 |
|
|
|
8,148 |
|
| Huaku Development Co Ltd |
|
|
173,000 |
|
|
|
534 |
|
| King Yuan Electronics Co Ltd |
|
|
426,000 |
|
|
|
534 |
|
| LandMark Optoelectronics Corp |
|
|
192,000 |
|
|
|
1,979 |
|
| Largan Precision Co Ltd |
|
|
12,446 |
|
|
|
2,076 |
|
| Lite-On Technology Corp |
|
|
538,000 |
|
|
|
886 |
|
| Macronix International |
|
|
1,388,000 |
|
|
|
1,722 |
|
| Makalot Industrial Co Ltd |
|
|
315,900 |
|
|
|
1,660 |
|
| MediaTek Inc |
|
|
1,351,170 |
|
|
|
19,990 |
|
| Merida Industry Co Ltd |
|
|
365,000 |
|
|
|
2,149 |
|
| Micro-Star International Co Ltd |
|
|
963,000 |
|
|
|
2,785 |
|
| Novatek Microelectronics Corp |
|
|
62,429 |
|
|
|
456 |
|
| Parade Technologies Ltd |
|
|
175,600 |
|
|
|
3,603 |
|
| Pegatron Corp |
|
|
260,000 |
|
|
|
593 |
|
| Pou Chen |
|
|
502,000 |
|
|
|
656 |
|
| Powertech Technology Inc |
|
|
237,000 |
|
|
|
789 |
|
| Radiant Opto-Electronics Corp |
|
|
123,000 |
|
|
|
492 |
|
| Realtek Semiconductor Corp |
|
|
77,000 |
|
|
|
604 |
|
| Silergy Corp |
|
|
70,890 |
|
|
|
2,247 |
|
| Silicon Motion Technology Corp ADR |
|
|
70,124 |
|
|
|
3,556 |
|
| Simplo Technology Co Ltd |
|
|
41,000 |
|
|
|
414 |
|
| Sino-American Silicon Products Inc |
|
|
250,000 |
|
|
|
829 |
|
| SinoPac Financial Holdings Co Ltd |
|
|
2,371,428 |
|
|
|
1,028 |
|
| Standard Foods Corp |
|
|
127,333 |
|
|
|
296 |
|
| Taiwan Business Bank |
|
|
1,510,986 |
|
|
|
635 |
|
| Taiwan Semiconductor Manufacturing Co Ltd |
|
|
6,840,276 |
|
|
|
75,529 |
|
| Taiwan Semiconductor Manufacturing Co Ltd ADR |
|
|
254,183 |
|
|
|
14,768 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Teco Electric and Machinery Co Ltd |
|
|
746,000 |
|
|
$ |
652 |
|
| Topco Scientific Co Ltd |
|
|
115,000 |
|
|
|
405 |
|
| Tripod Technology Corp |
|
|
111,000 |
|
|
|
465 |
|
| Unimicron Technology Corp |
|
|
292,000 |
|
|
|
409 |
|
| Uni-President Enterprises Corp |
|
|
1,229,000 |
|
|
|
3,042 |
|
| United Microelectronics Corp |
|
|
1,272,000 |
|
|
|
698 |
|
| Win Semiconductors Corp |
|
|
416,681 |
|
|
|
4,087 |
|
| Wistron Corp |
|
|
850,000 |
|
|
|
804 |
|
| Wiwynn Corp * |
|
|
30,000 |
|
|
|
635 |
|
| Yageo Corp |
|
|
162,000 |
|
|
|
2,362 |
|
| Yuanta Financial Holding Co Ltd |
|
|
2,151,000 |
|
|
|
1,449 |
|
| Zhen Ding Technology Holding Ltd |
|
|
121,000 |
|
|
|
577 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
212,026 |
|
|
|
|
|
|
|
|
|
|
| Thailand — 1.9% |
|
|
|
|
|
|
|
|
| Advanced Info Service PCL |
|
|
313,900 |
|
|
|
2,232 |
|
| Advanced Info Service PCL NVDR |
|
|
90,700 |
|
|
|
645 |
|
| Airports of Thailand PCL NVDR |
|
|
228,100 |
|
|
|
565 |
|
| Bangkok Bank PCL |
|
|
299,000 |
|
|
|
1,596 |
|
| Charoen Pokphand Foods PCL NVDR |
|
|
749,900 |
|
|
|
687 |
|
| Com7 PCL |
|
|
1,687,100 |
|
|
|
1,487 |
|
| CP ALL PCL |
|
|
1,903,500 |
|
|
|
4,591 |
|
| CP ALL PCL NVDR |
|
|
738,763 |
|
|
|
1,781 |
|
| Electricity Generating PCL NVDR |
|
|
61,300 |
|
|
|
671 |
|
| Home Product Center PCL |
|
|
14,896,454 |
|
|
|
7,940 |
|
| Minor International PCL NVDR |
|
|
2,767,747 |
|
|
|
3,324 |
|
| PTT Exploration & Production PCL |
|
|
214,800 |
|
|
|
890 |
|
| PTT PCL |
|
|
1,123,700 |
|
|
|
1,649 |
|
| Robinson PCL |
|
|
1,383,400 |
|
|
|
3,047 |
|
| Sino-Thai Engineering & Construction PCL NVDR |
|
|
856,600 |
|
|
|
406 |
|
| Thai Beverage PCL |
|
|
2,435,100 |
|
|
|
1,612 |
|
| Thanachart Capital PCL NVDR |
|
|
261,300 |
|
|
|
467 |
|
| Tipco Asphalt PCL NVDR |
|
|
667,177 |
|
|
|
472 |
|
| Tisco Financial Group PCL NVDR |
|
|
235,900 |
|
|
|
782 |
|
| TOA Paint Thailand PCL NVDR |
|
|
268,800 |
|
|
|
352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,196 |
|
|
|
|
|
|
|
|
|
|
| Turkey — 1.2% |
|
|
|
|
|
|
|
|
| Akbank T.A.S. * |
|
|
3,046,528 |
|
|
|
4,152 |
|
| Anadolu Efes Biracilik Ve Malt Sanayii AS |
|
|
152,949 |
|
|
|
593 |
|
| Ford Otomotiv Sanayi AS |
|
|
70,869 |
|
|
|
844 |
|
| KOC Holding AS (A) |
|
|
219,059 |
|
|
|
748 |
|
| Koza Altin Isletmeleri AS * |
|
|
38,580 |
|
|
|
480 |
|
| Mavi Giyim Sanayi Ve Ticaret AS, Cl B * |
|
|
138,326 |
|
|
|
1,346 |
|
| Sok Marketler Ticaret AS * |
|
|
916,381 |
|
|
|
1,657 |
|
| Tofas Turk Otomobil Fabrikasi AS |
|
|
124,885 |
|
|
|
564 |
|
| Turk Hava Yollari AO *(A) |
|
|
1,099,900 |
|
|
|
2,672 |
|
| Turkcell Iletisim Hizmetleri AS |
|
|
1,426,057 |
|
|
|
3,307 |
|
| Turkcell Iletisim Hizmetleri AS ADR |
|
|
51,919 |
|
|
|
301 |
|
| Turkiye Garanti Bankasi AS * |
|
|
2,268,867 |
|
|
|
4,247 |
|
| Turkiye Is Bankasi AS, Cl C *(A) |
|
|
473,354 |
|
|
|
510 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| COMMON STOCK (continued) |
|
|
|
|
|
|
|
|
| Turkiye Sise ve Cam Fabrikalari AS (A) |
|
|
1,573,639 |
|
|
$ |
1,393 |
|
| Yapi ve Kredi Bankasi AS * |
|
|
1,208,883 |
|
|
|
504 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,318 |
|
|
|
|
|
|
|
|
|
|
| United Arab Emirates — 0.5% |
|
|
|
|
|
|
|
|
| Abu Dhabi Commercial Bank PJSC |
|
|
784,070 |
|
|
|
1,691 |
|
| Abu Dhabi Islamic Bank PJSC |
|
|
374,457 |
|
|
|
549 |
|
| Air Arabia PJSC * |
|
|
998,551 |
|
|
|
438 |
|
| Aldar Properties PJSC |
|
|
2,871,732 |
|
|
|
1,689 |
|
| DP World PLC |
|
|
81,184 |
|
|
|
1,063 |
|
| Dubai Islamic Bank PJSC |
|
|
730,596 |
|
|
|
1,096 |
|
| Emaar Properties PJSC |
|
|
2,096,228 |
|
|
|
2,294 |
|
| Emirates NBD Bank PJSC |
|
|
124,574 |
|
|
|
441 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,261 |
|
|
|
|
|
|
|
|
|
|
| United Kingdom — 1.2% |
|
|
|
|
|
|
|
|
| Anglo American PLC |
|
|
124,158 |
|
|
|
3,541 |
|
| Etalon Group PLC GDR |
|
|
56,800 |
|
|
|
99 |
|
| Halyk Savings Bank of Kazakhstan JSC GDR |
|
|
66,132 |
|
|
|
883 |
|
| KAZ Minerals PLC |
|
|
941,946 |
|
|
|
6,631 |
|
| Mail.Ru Group Ltd GDR * |
|
|
13,035 |
|
|
|
291 |
|
| Network International Holdings PLC * |
|
|
124,137 |
|
|
|
1,054 |
|
| Novatek PJSC GDR |
|
|
15,339 |
|
|
|
3,114 |
|
| Polyus PJSC GDR |
|
|
20,468 |
|
|
|
1,171 |
|
| Rio Tinto PLC |
|
|
68,130 |
|
|
|
4,064 |
|
| Tullow Oil PLC * |
|
|
2,382,934 |
|
|
|
2,020 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,868 |
|
|
|
|
|
|
|
|
|
|
| United States — 0.6% |
|
|
|
|
|
|
|
|
| Liberty Latin America Ltd, Cl C * |
|
|
122,593 |
|
|
|
2,386 |
|
| Pagseguro Digital Ltd, Cl A * |
|
|
138,977 |
|
|
|
4,748 |
|
| Seaspan Corp, Cl A |
|
|
35,506 |
|
|
|
504 |
|
| Southern Copper Corp |
|
|
25,781 |
|
|
|
1,095 |
|
| StoneCo Ltd, Cl A * |
|
|
50,700 |
|
|
|
2,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,755 |
|
|
|
|
|
|
|
|
|
|
| Vietnam — 0.2% |
|
|
|
|
|
|
|
|
| Hoa Phat Group JSC * |
|
|
1,883,862 |
|
|
|
1,910 |
|
| Vincom Retail JSC |
|
|
1,273,675 |
|
|
|
1,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,779 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $1,420,753) ($ Thousands) |
|
|
|
|
|
|
1,791,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCK — 1.9% |
|
|
|
|
|
|
|
|
| Brazil — 1.5% |
|
|
|
|
|
|
|
|
| Alpargatas SA * (B) |
|
|
45,510 |
|
|
|
376 |
|
| Banco Bradesco SA * (B) |
|
|
411,520 |
|
|
|
3,700 |
|
| Centrais Eletricas Brasileiras SA (B) |
|
|
56,700 |
|
|
|
539 |
|
| Cia Brasileira de Distribuicao ADR * (B) |
|
|
123,999 |
|
|
|
2,712 |
|
| Cia de Transmissao de Energia Eletrica Paulista (B) |
|
|
88,409 |
|
|
|
496 |
|
| Cia Paranaense de Energia (B) |
|
|
51,677 |
|
|
|
887 |
|
| Itau Unibanco Holding SA (B) |
|
|
583,553 |
|
|
|
5,382 |
|
| Itau Unibanco Holding SA ADR (B) |
|
|
455,714 |
|
|
|
4,170 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Shares |
|
|
Market Value
($ Thousands) |
|
|
|
| PREFERRED STOCK (continued) |
|
|
|
|
|
|
|
|
| Metalurgica Gerdau SA, Cl A (B) |
|
|
322,493 |
|
|
$ |
744 |
|
| Petroleo Brasileiro SA (B) |
|
|
781,692 |
|
|
|
5,865 |
|
| Petroleo Brasileiro SA ADR, Cl A (B) |
|
|
157,989 |
|
|
|
2,357 |
|
| Randon SA Implementos e Participacoes (B) |
|
|
195,180 |
|
|
|
650 |
|
| Telefonica Brasil SA (B) |
|
|
51,299 |
|
|
|
739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,617 |
|
|
|
|
|
|
|
|
|
|
| Colombia — 0.1% |
|
|
|
|
|
|
|
|
| Grupo Aval Acciones y Valores SA (B) |
|
|
1,797,174 |
|
|
|
800 |
|
|
|
|
|
|
|
|
|
|
| South Korea — 0.3% |
|
|
|
|
|
|
|
|
| Samsung Electronics Co Ltd (A) (B) |
|
|
157,316 |
|
|
|
6,154 |
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $28,343) ($ Thousands) |
|
|
|
|
|
|
35,571 |
|
|
|
|
|
|
|
|
|
|
| |
|
Number of
Participation
Notes |
|
|
|
|
|
|
| PARTICIPATION NOTES — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
| China — 0.2% |
|
|
|
|
|
|
|
|
| Offshore Oil Engineering,
Expires 03/28/2020 * |
|
|
3,604,839 |
|
|
|
3,821 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Luxembourg — 0.1% |
|
|
|
|
|
|
|
|
| Beijing Sinnet Technology Co Ltd,
Expires 10/19/2020 * |
|
|
600,015 |
|
|
|
1,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Switzerland — 0.2% |
|
|
|
|
|
|
|
|
| Han’s Laser, Expires 03/27/2020 * |
|
|
536,950 |
|
|
|
3,084 |
|
| Ping An Insurance Group Co, Expires 10/16/2020 * |
|
|
21,000 |
|
|
|
258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,342 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| United States — 0.0% |
|
|
|
|
|
|
|
|
| China Merchants Energy Shipping Co Ltd,
Expires 11/24/2020 * |
|
|
223,898 |
|
|
|
266 |
|
| COSCO SHIPPING Energy Transportation Co Ltd, Expires 11/24/2020 * |
|
|
704,330 |
|
|
|
645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
911 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Participation Notes
(Cost $9,269) ($ Thousands) |
|
|
|
|
|
|
9,803 |
|
|
|
|
|
|
|
|
|
|
| |
|
Number of
Warrants |
|
|
|
|
|
|
| WARRANTS — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
| Thailand — 0.0% |
|
|
|
|
|
|
|
|
| Minor International PCL,
Expires 09/30/2021 * |
|
|
162,947 |
|
|
|
18 |
|
|
|
|
|
|
|
|
|
|
| Total Warrants
(Cost $—) ($ Thousands) |
|
|
|
|
|
|
18 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Face Amount
(Thousands) |
|
|
|
| DEBENTURE BOND — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Brazil — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Vale, Ser 1997
0.000%, VAR N/A0.000%, 03/30/2168 |
|
|
BRL |
|
|
|
8 |
|
|
$ |
– |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Debenture Bond
(Cost $—) ($ Thousands) |
|
|
|
|
|
|
|
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
|
|
|
| AFFILIATED PARTNERSHIP — 2.3% |
|
|
|
|
|
| SEI Liquidity Fund, L.P.
1.600% **†(C) |
|
|
|
|
|
|
42,855,362 |
|
|
|
42,863 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Affiliated Partnership
(Cost $42,856) ($ Thousands) |
|
|
|
|
|
|
|
|
|
|
42,863 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CASH EQUIVALENT — 1.1% |
|
|
|
|
|
| SEI Daily Income Trust, Government Fund, Cl F
1.500%**† |
|
|
|
|
|
|
21,304,308 |
|
|
|
21,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Cash Equivalent
(Cost $21,304) ($ Thousands) |
|
|
|
|
|
|
|
|
|
|
21,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities — 100.8%
(Cost $1,522,525) ($ Thousands) |
|
|
$ |
1,900,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at December 31, 2019, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long |
|
|
Expiration
Date |
|
|
Notional Amount
(Thousands) |
|
Value
(Thousands) |
|
Unrealized Appreciation
(Thousands) |
|
|
|
|
|
|
| MSCI Emerging Markets |
|
|
429 |
|
|
|
Mar-2020 |
|
|
$ |
23,534 |
|
|
$ |
24,028 |
|
|
$ |
494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Percentages are based on Net Assets of $1,885,560 ($ Thousands). |
| * |
Non-income producing security. |
| ** |
The rate reported is the 7-day effective yield as of December 31, 2019.
|
| † |
Investment in Affiliated Security. |
| ‡ |
Real Estate Investment Trust. |
| (A) |
Certain securities or partial positions of certain securities are on loan at December 31, 2019. The total market
value of securities on loan at December 31, 2019 was $28,983 ($ Thousands). |
| (B) |
There is currently no rate available. |
| (C) |
This security was purchased with cash collateral held from securities on loan. The total market value of such securities
as of December 31, 2019 was $42,863 ($ Thousands). |
ADR — American Depositary Receipt
BRL — Brazilian Real
Cl — Class
GDR — Global Depositary Receipt
JSC — Joint-Stock Company
JSE — Johannesburg Stock Exchange
L.P. — Limited Partnership
Ltd. — Limited
MSCI — Morgan Stanley Capital International
NVDR — Non-Voting Depositary Receipt
PJSC
— Public Joint-Stock Company
PLC — Public Limited Company
REIT —
Real Estate investment Trust
The following is a list of the level of inputs used as of December 31, 2019, in valuing the Fund’s investments
and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| Investments in Securities |
|
Level 1
($) |
|
Level 2
($) |
|
Level 3
($) |
|
Total
($) |
| Common Stock |
|
|
1,789,639 |
|
|
|
1,671 |
|
|
|
– |
|
|
|
1,791,310 |
|
| Preferred Stock |
|
|
35,571 |
|
|
|
– |
|
|
|
– |
|
|
|
35,571 |
|
| Participation Notes |
|
|
3,821 |
|
|
|
5,982 |
|
|
|
– |
|
|
|
9,803 |
|
| Warrants |
|
|
– |
|
|
|
18 |
|
|
|
– |
|
|
|
18 |
|
| Debenture Bond |
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
| Deposit with Counterparty as Collateral for Swap Contracts |
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
| Global Bond |
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
| Affiliated Partnership |
|
|
– |
|
|
|
42,863 |
|
|
|
– |
|
|
|
42,863 |
|
| Cash Equivalent |
|
|
21,304 |
|
|
|
– |
|
|
|
– |
|
|
|
21,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
|
1,850,335 |
|
|
|
50,534 |
|
|
|
– |
|
|
|
1,900,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| Other Financial Instruments |
|
Level 1
($) |
|
Level 2
($) |
|
Level 3
($) |
|
Total
($) |
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
494 |
|
|
|
– |
|
|
|
– |
|
|
|
494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
|
494 |
|
|
|
– |
|
|
|
– |
|
|
|
494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*Futures contracts are valued at the unrealized appreciation on the instrument.
For the period ended December 31, 2019, there were no transfers in or out of Level 3.
For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the
Fund’s most recent financial statements.
The following is a summary of the transactions with affiliates for the period ended December 31, 2019 ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
| Security Description |
|
Value
9/30/19
($) |
|
Purchases
at Cost
($) |
|
Proceeds
from
Sales
($) |
|
Realized
Gain
(Loss)
($) |
|
Change in
Unrealized
Appreciation
(Depreciation)
($) |
|
Value
12/31/19
($) |
|
Shares |
|
Income
($) |
|
Capital
Gains
($) |
| SEI Liquidity Fund, L.P. |
|
|
48,638 |
|
|
|
64,687 |
|
|
|
(70,462 |
) |
|
|
— |
|
|
|
— |
|
|
|
42,863 |
|
|
|
42,855,362 |
|
|
|
102 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
| SEI Daily Income Trust, Government Fund, Cl F |
|
|
29,816 |
|
|
|
40,227 |
|
|
|
(48,739 |
) |
|
|
— |
|
|
|
— |
|
|
|
21,304 |
|
|
|
21,304,308 |
|
|
|
106 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78,454 |
|
|
|
104,914 |
|
|
|
(119,201 |
) |
|
|
— |
|
|
|
— |
|
|
|
64,167 |
|
|
|
64,159,670 |
|
|
|
208 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amounts designated as “—” are either $0 or have been rounded to $0.
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2019
International Fixed Income Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
|
| GLOBAL BONDS — 95.3% |
|
|
|
|
|
|
|
|
|
| Australia — 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Australia & New Zealand Banking Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 03/19/2024 (A) |
|
|
|
|
|
|
200 |
|
|
$ |
213 |
|
| Australia & New Zealand Banking Group MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 08/16/2023 |
|
|
AUD |
|
|
|
750 |
|
|
|
591 |
|
| 3.625%, 07/18/2022 |
|
|
EUR |
|
|
|
300 |
|
|
|
370 |
|
| Australia Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.750%, 04/21/2027 |
|
|
AUD |
|
|
|
820 |
|
|
|
718 |
|
| 4.500%, 04/15/2020 |
|
|
AUD |
|
|
|
185 |
|
|
|
131 |
|
| 4.500%, 04/21/2033 |
|
|
AUD |
|
|
|
195 |
|
|
|
187 |
|
| 3.750%, 04/21/2037 |
|
|
AUD |
|
|
|
393 |
|
|
|
361 |
|
| 3.000%, 03/21/2047 |
|
|
AUD |
|
|
|
70 |
|
|
|
59 |
|
| 2.750%, 04/21/2024 |
|
|
AUD |
|
|
|
1,230 |
|
|
|
928 |
|
| 2.750%, 05/21/2041 |
|
|
AUD |
|
|
|
322 |
|
|
|
261 |
|
| BHP Billiton Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.750%, VAR EUR Swap Annual 5 Yr+4.363%, 04/22/2076 |
|
|
EUR |
|
|
|
101 |
|
|
|
120 |
|
| Commonwealth Bank of Australia |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 12/09/2025 (A) |
|
|
|
|
|
|
450 |
|
|
|
487 |
|
| Commonwealth Bank of Australia MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.000%, 05/03/2022 |
|
|
EUR |
|
|
|
330 |
|
|
|
398 |
|
| 0.375%, 04/11/2024 |
|
|
EUR |
|
|
|
455 |
|
|
|
520 |
|
| National Australia Bank |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 03/11/2024 |
|
|
AUD |
|
|
|
750 |
|
|
|
598 |
|
| National Australia Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.250%, 06/06/2025 |
|
|
EUR |
|
|
|
206 |
|
|
|
259 |
|
| Westpac Banking Corp MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.500%, 03/24/2021 |
|
|
EUR |
|
|
|
220 |
|
|
|
252 |
|
| 0.500%, 05/17/2024 |
|
|
EUR |
|
|
|
455 |
|
|
|
523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Austria — 1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| JAB Holdings BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 05/22/2024 |
|
|
EUR |
|
|
|
200 |
|
|
|
233 |
|
| Republic of Austria Government Bond (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.150%, 03/15/2037 |
|
|
EUR |
|
|
|
326 |
|
|
|
596 |
|
| 3.650%, 04/20/2022 |
|
|
EUR |
|
|
|
1,135 |
|
|
|
1,399 |
|
| 3.150%, 06/20/2044 |
|
|
EUR |
|
|
|
325 |
|
|
|
583 |
|
| 2.400%, 05/23/2034 |
|
|
EUR |
|
|
|
110 |
|
|
|
160 |
|
| 2.100%, 09/20/2117 |
|
|
EUR |
|
|
|
75 |
|
|
|
133 |
|
| 1.500%, 02/20/2047 |
|
|
EUR |
|
|
|
95 |
|
|
|
130 |
|
| 0.750%, 10/20/2026 |
|
|
EUR |
|
|
|
749 |
|
|
|
895 |
|
| 0.500%, 02/20/2029 |
|
|
EUR |
|
|
|
885 |
|
|
|
1,036 |
|
| 0.000%, 07/15/2024 (D) |
|
|
EUR |
|
|
|
765 |
|
|
|
873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Republic of Austria Government Bond, Ser 97-6 |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 07/15/2027 |
|
|
EUR |
|
|
|
288 |
|
|
$ |
479 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Belgium — 2.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Anheuser-Busch InBev MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.250%, 05/24/2029 |
|
|
GBP |
|
|
|
205 |
|
|
|
279 |
|
| 1.500%, 03/17/2025 |
|
|
EUR |
|
|
|
415 |
|
|
|
499 |
|
| 1.125%, 07/01/2027 |
|
|
EUR |
|
|
|
230 |
|
|
|
271 |
|
| Anheuser-Busch InBev Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.600%, 05/15/2024 |
|
|
CAD |
|
|
|
550 |
|
|
|
424 |
|
| KBC Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, VAR EUR Swap Annual 5
Yr+3.594%, 10/24/2168 |
|
|
EUR |
|
|
|
200 |
|
|
|
232 |
|
| Kingdom of Belgium Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 03/28/2041 (A) |
|
|
EUR |
|
|
|
440 |
|
|
|
840 |
|
| 3.750%, 09/28/2020 (A) |
|
|
EUR |
|
|
|
2,126 |
|
|
|
2,463 |
|
| 3.750%, 06/22/2045 |
|
|
EUR |
|
|
|
229 |
|
|
|
433 |
|
| 3.000%, 06/22/2034 (A) |
|
|
EUR |
|
|
|
346 |
|
|
|
531 |
|
| 1.700%, 06/22/2050 (A) |
|
|
EUR |
|
|
|
320 |
|
|
|
432 |
|
| 1.600%, 06/22/2047 (A) |
|
|
EUR |
|
|
|
310 |
|
|
|
412 |
|
| 1.000%, 06/22/2031 (A) |
|
|
EUR |
|
|
|
490 |
|
|
|
598 |
|
| 0.800%, 06/22/2028 (A) |
|
|
EUR |
|
|
|
1,249 |
|
|
|
1,496 |
|
| 0.500%, 10/22/2024 (A) |
|
|
EUR |
|
|
|
1,100 |
|
|
|
1,284 |
|
| Kingdom of Belgium Government Bond,
Ser 44 |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 03/28/2035 (A) |
|
|
EUR |
|
|
|
64 |
|
|
|
120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Brazil — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Brazil Notas do Tesouro Nacional, Serie B |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.000%, 08/15/2050 |
|
|
BRL |
|
|
|
1,203 |
|
|
|
1,432 |
|
| Minerva Luxembourg |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.500%, 09/20/2026 (A) |
|
|
|
|
|
|
290 |
|
|
|
308 |
|
| Odebrecht Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.125%, 06/26/2042 (B) |
|
|
|
|
|
|
280 |
|
|
|
17 |
|
| 4.375%, 04/25/2025 (B) |
|
|
|
|
|
|
200 |
|
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Canada — 6.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Bank of Montreal |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.750%, 09/21/2022 |
|
|
EUR |
|
|
|
235 |
|
|
|
271 |
|
| Bank of Montreal MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.125%, 04/19/2021 |
|
|
EUR |
|
|
|
280 |
|
|
|
316 |
|
| Bank of Nova Scotia MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.750%, 09/17/2021 |
|
|
EUR |
|
|
|
570 |
|
|
|
651 |
|
| Bell Canada MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.700%, 09/11/2023 |
|
|
CAD |
|
|
|
80 |
|
|
|
66 |
|
| Canada Housing Trust No. 1 (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.250%, 12/15/2025 |
|
|
CAD |
|
|
|
2,235 |
|
|
|
1,745 |
|
| 1.750%, 06/15/2022 |
|
|
CAD |
|
|
|
2,465 |
|
|
|
1,897 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Canadian Government Bond |
|
|
|
|
|
| 5.750%, 06/01/2033 |
|
|
CAD |
|
|
|
1,205 |
|
|
$ |
1,371 |
|
| 5.000%, 06/01/2037 |
|
|
CAD |
|
|
|
816 |
|
|
|
933 |
|
| 2.750%, 12/01/2048 |
|
|
CAD |
|
|
|
400 |
|
|
|
377 |
|
| 2.750%, 12/01/2048 |
|
|
CAD |
|
|
|
300 |
|
|
|
283 |
|
| 2.500%, 06/01/2024 |
|
|
CAD |
|
|
|
1,043 |
|
|
|
832 |
|
| 2.250%, 06/01/2029 |
|
|
CAD |
|
|
|
3,537 |
|
|
|
2,857 |
|
| 1.500%, 06/01/2026 |
|
|
CAD |
|
|
|
7,545 |
|
|
|
5,749 |
|
| 1.000%, 09/01/2022 |
|
|
CAD |
|
|
|
1,268 |
|
|
|
961 |
|
| 1.000%, 06/01/2027 |
|
|
CAD |
|
|
|
1,375 |
|
|
|
1,007 |
|
| 0.750%, 09/01/2021 |
|
|
CAD |
|
|
|
655 |
|
|
|
497 |
|
| Canadian Imperial Bank of Commerce |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.240%, 07/25/2022 |
|
|
EUR |
|
|
|
445 |
|
|
|
502 |
|
| Enbridge MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.530%, 03/09/2020 |
|
|
CAD |
|
|
|
2,800 |
|
|
|
2,168 |
|
| Export Development Canada MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.400%, 06/07/2021 |
|
|
AUD |
|
|
|
1,259 |
|
|
|
900 |
|
| Husky Energy |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.400%, 04/15/2029 |
|
|
|
|
|
|
205 |
|
|
|
221 |
|
| National Bank of Canada |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.500%, 03/25/2021 |
|
|
EUR |
|
|
|
345 |
|
|
|
396 |
|
| Province of Manitoba Canada |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.850%, 12/01/2021 |
|
|
CAD |
|
|
|
710 |
|
|
|
568 |
|
| Province of Ontario Canada |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.700%, 06/02/2037 |
|
|
CAD |
|
|
|
1,355 |
|
|
|
1,364 |
|
| 4.650%, 06/02/2041 |
|
|
CAD |
|
|
|
540 |
|
|
|
561 |
|
| 2.800%, 06/02/2048 |
|
|
CAD |
|
|
|
2,200 |
|
|
|
1,796 |
|
| 2.600%, 06/02/2025 |
|
|
CAD |
|
|
|
1,614 |
|
|
|
1,276 |
|
| 2.400%, 06/02/2026 |
|
|
CAD |
|
|
|
585 |
|
|
|
458 |
|
| Province of Ontario Canada MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.650%, 06/08/2020 |
|
|
JPY |
|
|
|
100,000 |
|
|
|
926 |
|
| Province of Quebec Canada |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 06/01/2032 |
|
|
CAD |
|
|
|
720 |
|
|
|
780 |
|
| 3.500%, 12/01/2048 |
|
|
CAD |
|
|
|
520 |
|
|
|
485 |
|
| Rogers Communications |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000%, 06/06/2022 |
|
|
CAD |
|
|
|
165 |
|
|
|
133 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| China — 2.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| China Development Bank |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.880%, 02/09/2028 |
|
|
|
|
|
|
10,600 |
|
|
|
1,649 |
|
| 3.480%, 01/08/2029 |
|
|
CNY |
|
|
|
11,000 |
|
|
|
1,552 |
|
| 0.125%, 01/24/2020 |
|
|
EUR |
|
|
|
1,300 |
|
|
|
1,460 |
|
| China Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.860%, 07/22/2049 |
|
|
CNY |
|
|
|
14,720 |
|
|
|
2,170 |
|
| 3.250%, 06/06/2026 |
|
|
CNY |
|
|
|
48,640 |
|
|
|
7,058 |
|
| Tencent Holdings MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.975%, 04/11/2029 (A) |
|
|
|
|
|
|
260 |
|
|
|
281 |
|
| Weibo |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 07/05/2024 |
|
|
|
|
|
|
200 |
|
|
|
203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,373 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Colombia — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| Colombian TES |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.000%, 07/24/2024 |
|
|
COP |
|
|
|
1,833,400 |
|
|
$ |
661 |
|
| 7.750%, 09/18/2030 |
|
|
COP |
|
|
|
2,160,100 |
|
|
|
728 |
|
| 7.500%, 08/26/2026 |
|
|
COP |
|
|
|
1,100,600 |
|
|
|
366 |
|
| 7.000%, 05/04/2022 |
|
|
COP |
|
|
|
521,100 |
|
|
|
166 |
|
| 7.000%, 06/30/2032 |
|
|
COP |
|
|
|
412,100 |
|
|
|
131 |
|
| 6.000%, 04/28/2028 |
|
|
COP |
|
|
|
1,112,100 |
|
|
|
337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,389 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Czech Republic — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Czech Republic Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.700%, 09/12/2022 |
|
|
CZK |
|
|
|
7,470 |
|
|
|
357 |
|
| 2.500%, 08/25/2028 |
|
|
CZK |
|
|
|
14,630 |
|
|
|
692 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,049 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Denmark — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Danske Bank |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.875%, 09/12/2023 (A) |
|
|
|
|
|
|
270 |
|
|
|
281 |
|
| Danske Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.875%, VAR EUR Swap Annual 7 Yr+5.471%, 10/06/2168 |
|
|
EUR |
|
|
|
344 |
|
|
|
413 |
|
| Kingdom of Denmark |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 11/15/2039 |
|
|
DKK |
|
|
|
2,040 |
|
|
|
572 |
|
| 1.500%, 11/15/2023 |
|
|
DKK |
|
|
|
4,025 |
|
|
|
652 |
|
| Orsted |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, VAR EUR Swap Annual 5 Yr+4.750%, 06/26/3013 |
|
|
EUR |
|
|
|
210 |
|
|
|
277 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Egypt — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Egypt Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.750%, 04/11/2025 (A) |
|
|
EUR |
|
|
|
170 |
|
|
|
201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Finland — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Finland Government Bond (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.000%, 04/15/2024 |
|
|
EUR |
|
|
|
482 |
|
|
|
598 |
|
| 1.375%, 04/15/2047 |
|
|
EUR |
|
|
|
130 |
|
|
|
176 |
|
| 0.500%, 09/15/2029 |
|
|
EUR |
|
|
|
445 |
|
|
|
521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| France — 8.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| BNP Paribas |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.375%, 01/09/2025 (A) |
|
|
|
|
|
|
395 |
|
|
|
410 |
|
| BNP Paribas MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.375%, 01/23/2026 |
|
|
GBP |
|
|
|
490 |
|
|
|
708 |
|
| BPCE |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.150%, 07/21/2024 |
|
|
|
|
|
|
310 |
|
|
|
340 |
|
| BPCE MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.125%, 01/18/2023 |
|
|
EUR |
|
|
|
300 |
|
|
|
347 |
|
| BPCE SFH MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.750%, 09/13/2021 |
|
|
EUR |
|
|
|
200 |
|
|
|
240 |
|
| Bpifrance Financement |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.055%, 11/25/2022 (D) |
|
|
EUR |
|
|
|
600 |
|
|
|
678 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Caisse Francaise de Financement Local MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.000%, 10/02/2028 |
|
|
EUR |
|
|
|
100 |
|
|
$ |
140 |
|
| 0.500%, 01/19/2026 |
|
|
EUR |
|
|
|
500 |
|
|
|
579 |
|
| Caisse Nationale de Reassurance Mutuelle Agricole Groupama |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.000%, 01/23/2027 |
|
|
EUR |
|
|
|
400 |
|
|
|
571 |
|
| Cie de Financement Foncier |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.375%, 12/11/2024 |
|
|
EUR |
|
|
|
300 |
|
|
|
345 |
|
| Cie de Financement Foncier MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.500%, 01/26/2027 |
|
|
GBP |
|
|
|
387 |
|
|
|
656 |
|
| CNP Assurances |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, VAR Euribor 3 Month+4.600%, 06/10/2047 |
|
|
EUR |
|
|
|
200 |
|
|
|
271 |
|
| 1.875%, 10/20/2022 |
|
|
EUR |
|
|
|
200 |
|
|
|
235 |
|
| Credit Agricole Assurances |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.750%, VAR EUR Swap Annual 5
Yr+5.350%, 09/27/2048 |
|
|
EUR |
|
|
|
100 |
|
|
|
138 |
|
| Credit Agricole Home Loan SFH MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 03/24/2031 |
|
|
EUR |
|
|
|
300 |
|
|
|
372 |
|
| Dexia Credit Local MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.625%, 01/21/2022 |
|
|
EUR |
|
|
|
1,550 |
|
|
|
1,772 |
|
| 0.625%, 02/03/2024 |
|
|
EUR |
|
|
|
200 |
|
|
|
231 |
|
| 0.500%, 01/17/2025 |
|
|
EUR |
|
|
|
300 |
|
|
|
346 |
|
| Electricite de France MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.375%, VAR EUR Swap Annual 12 Yr+3.794%, 01/29/2168 |
|
|
EUR |
|
|
|
200 |
|
|
|
259 |
|
| 4.000%, 11/12/2025 |
|
|
EUR |
|
|
|
350 |
|
|
|
481 |
|
| 2.250%, 04/27/2021 |
|
|
EUR |
|
|
|
100 |
|
|
|
116 |
|
| Engie |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.250%, VAR EUR Swap Annual 5
Yr+3.169%, 02/28/2168 |
|
|
EUR |
|
|
|
300 |
|
|
|
369 |
|
| Engie MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.875%, 03/27/2024 |
|
|
EUR |
|
|
|
300 |
|
|
|
348 |
|
| 0.375%, 02/28/2023 |
|
|
EUR |
|
|
|
100 |
|
|
|
114 |
|
| Europcar Mobility Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000%, 04/30/2026 (A) |
|
|
EUR |
|
|
|
170 |
|
|
|
185 |
|
| French Republic Government Bond OAT |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, 10/25/2032 |
|
|
EUR |
|
|
|
403 |
|
|
|
766 |
|
| 4.500%, 04/25/2041 |
|
|
EUR |
|
|
|
580 |
|
|
|
1,150 |
|
| 4.000%, 10/25/2038 |
|
|
EUR |
|
|
|
345 |
|
|
|
626 |
|
| 4.000%, 04/25/2055 |
|
|
EUR |
|
|
|
56 |
|
|
|
120 |
|
| 3.250%, 05/25/2045 |
|
|
EUR |
|
|
|
2,061 |
|
|
|
3,626 |
|
| 1.750%, 05/25/2023 |
|
|
EUR |
|
|
|
2,359 |
|
|
|
2,854 |
|
| 1.750%, 06/25/2039 (A) |
|
|
EUR |
|
|
|
60 |
|
|
|
81 |
|
| 1.750%, 05/25/2066 (A) |
|
|
EUR |
|
|
|
165 |
|
|
|
231 |
|
| 1.250%, 05/25/2034 |
|
|
EUR |
|
|
|
800 |
|
|
|
1,006 |
|
| 0.750%, 05/25/2028 |
|
|
EUR |
|
|
|
5,205 |
|
|
|
6,219 |
|
| 0.500%, 05/25/2029 |
|
|
EUR |
|
|
|
2,176 |
|
|
|
2,540 |
|
| 0.000%, 03/25/2025 (D) |
|
|
EUR |
|
|
|
1,294 |
|
|
|
1,476 |
|
| 0.000%, 02/25/2020 (D) |
|
|
EUR |
|
|
|
1,990 |
|
|
|
2,235 |
|
| 0.000%, 02/25/2021 (D) |
|
|
EUR |
|
|
|
2,055 |
|
|
|
2,322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| 0.000%, 05/25/2021 (D) |
|
|
EUR |
|
|
|
1,685 |
|
|
$ |
1,907 |
|
| 0.000%, 05/25/2022 (D) |
|
|
EUR |
|
|
|
868 |
|
|
|
988 |
|
| Orange MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.500%, 03/01/2023 |
|
|
EUR |
|
|
|
500 |
|
|
|
605 |
|
| 2.375%, VAR EUR Swap Annual 5 Yr+2.359%, 04/15/2168 |
|
|
EUR |
|
|
|
300 |
|
|
|
355 |
|
| SNCF Reseau EPIC MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.500%, 12/01/2021 |
|
|
GBP |
|
|
|
205 |
|
|
|
295 |
|
| 4.250%, 10/07/2026 |
|
|
EUR |
|
|
|
200 |
|
|
|
287 |
|
| 2.250%, 12/20/2047 |
|
|
EUR |
|
|
|
300 |
|
|
|
419 |
|
| 1.125%, 05/19/2027 |
|
|
EUR |
|
|
|
300 |
|
|
|
359 |
|
| 1.125%, 05/25/2030 |
|
|
EUR |
|
|
|
200 |
|
|
|
241 |
|
| Societe Generale |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 04/14/2025 (A) |
|
|
|
|
|
|
325 |
|
|
|
341 |
|
| Societe Generale MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.125%, 01/23/2025 |
|
|
EUR |
|
|
|
100 |
|
|
|
116 |
|
| Suez |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.875%, VAR EUR Swap Annual 5 Yr+2.504%, 04/19/2168 |
|
|
EUR |
|
|
|
300 |
|
|
|
358 |
|
| TOTAL MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.369%, VAR EUR Swap Annual 5 Yr+3.350%, 10/06/2168 |
|
|
EUR |
|
|
|
260 |
|
|
|
333 |
|
| Total Capital International MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 11/26/2021 |
|
|
AUD |
|
|
|
640 |
|
|
|
473 |
|
| UNEDIC ASSEO MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 05/25/2033 |
|
|
EUR |
|
|
|
700 |
|
|
|
868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,448 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Germany — 6.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| BMW Finance MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.875%, 11/17/2020 |
|
|
EUR |
|
|
|
585 |
|
|
|
663 |
|
| 0.454%, 01/29/2021 |
|
|
JPY |
|
|
|
200,000 |
|
|
|
1,840 |
|
| Bundesobligation |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.811%, 10/18/2024 (D) |
|
|
EUR |
|
|
|
5,874 |
|
|
|
6,745 |
|
| Bundesrepublik Deutschland Bundesanleihe |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000%, 01/04/2037 |
|
|
EUR |
|
|
|
411 |
|
|
|
769 |
|
| 3.250%, 07/04/2042 |
|
|
EUR |
|
|
|
1,378 |
|
|
|
2,586 |
|
| 2.500%, 08/15/2046 |
|
|
EUR |
|
|
|
813 |
|
|
|
1,430 |
|
| 0.500%, 02/15/2026 |
|
|
EUR |
|
|
|
863 |
|
|
|
1,023 |
|
| 0.250%, 02/15/2027 |
|
|
EUR |
|
|
|
2,160 |
|
|
|
2,531 |
|
| 0.250%, 02/15/2029 |
|
|
EUR |
|
|
|
1,678 |
|
|
|
1,966 |
|
| 0.245%, 08/15/2026 |
|
|
EUR |
|
|
|
1,882 |
|
|
|
2,167 |
|
| 0.000%, 08/15/2029 |
|
|
EUR |
|
|
|
1,215 |
|
|
|
1,389 |
|
| Bundesrepublik Deutschland Bundesanleihe, Ser 03 |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.750%, 07/04/2034 |
|
|
EUR |
|
|
|
95 |
|
|
|
181 |
|
| Bundesrepublik Deutschland Bundesanleihe, Ser 07 |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 07/04/2039 |
|
|
EUR |
|
|
|
123 |
|
|
|
248 |
|
| Deutsche Telekom International Finance BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.225%, 01/17/2020 (A) |
|
|
|
|
|
|
1,500 |
|
|
|
1,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Deutsche Telekom International Finance BV MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.375%, 12/01/2025 |
|
|
EUR |
|
|
|
165 |
|
|
$ |
196 |
|
| 0.625%, 04/03/2023 |
|
|
EUR |
|
|
|
330 |
|
|
|
377 |
|
| IHO Verwaltungs GmbH |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.625%, 05/15/2025 (A) |
|
|
EUR |
|
|
|
175 |
|
|
|
206 |
|
| Kreditanstalt fuer Wiederaufbau |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.600%, 06/20/2037 |
|
|
JPY |
|
|
|
160,000 |
|
|
|
2,158 |
|
| 0.500%, 09/15/2027 |
|
|
EUR |
|
|
|
510 |
|
|
|
596 |
|
| 0.125%, 06/07/2023 |
|
|
EUR |
|
|
|
1,135 |
|
|
|
1,295 |
|
| Kreditanstalt fuer Wiederaufbau MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.750%, 05/29/2020 |
|
|
NZD |
|
|
|
483 |
|
|
|
329 |
|
| 2.800%, 02/17/2021 |
|
|
AUD |
|
|
|
1,230 |
|
|
|
881 |
|
| 1.125%, 09/15/2032 |
|
|
EUR |
|
|
|
500 |
|
|
|
622 |
|
| 1.125%, 05/09/2033 |
|
|
EUR |
|
|
|
220 |
|
|
|
274 |
|
| Landwirtschaftliche Rentenbank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.625%, 05/18/2027 |
|
|
EUR |
|
|
|
225 |
|
|
|
265 |
|
| Volkswagen Bank GmbH MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.625%, 09/08/2021 |
|
|
EUR |
|
|
|
200 |
|
|
|
227 |
|
| Volkswagen International Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.875%, 03/30/2027 |
|
|
EUR |
|
|
|
500 |
|
|
|
594 |
|
| 1.125%, 10/02/2023 |
|
|
EUR |
|
|
|
600 |
|
|
|
690 |
|
| WEPA Hygieneprodukte GmbH |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.875%, 12/15/2027 (A) |
|
|
EUR |
|
|
|
108 |
|
|
|
125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ghana — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Kosmos Energy |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.125%, 04/04/2026 (A) |
|
|
|
|
|
|
200 |
|
|
|
205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Guernsey — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Suisse Group Funding Guernsey MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 04/14/2022 |
|
|
EUR |
|
|
|
295 |
|
|
|
340 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hungary — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Hungary Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.000%, 06/26/2024 |
|
|
HUF |
|
|
|
75,010 |
|
|
|
279 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| India — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Greenko Mauritius |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 02/21/2023 (A) |
|
|
|
|
|
|
200 |
|
|
|
206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Indonesia — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Indonesia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.450%, 09/18/2026 |
|
|
EUR |
|
|
|
300 |
|
|
|
349 |
|
| Indonesia Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.150%, 07/18/2024 (A) |
|
|
EUR |
|
|
|
200 |
|
|
|
239 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ireland — 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| AIB Group MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.263%, VAR ICE LIBOR USD 3 Month+1.874%, 04/10/2025 (A) |
|
|
|
|
|
|
450 |
|
|
|
477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Allied Irish Banks MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.125%, VAR EUR Swap Annual 5 Yr+3.950%, 11/26/2025 |
|
|
EUR |
|
|
|
177 |
|
|
$ |
205 |
|
| Bank of Ireland MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.375%, 05/07/2022 |
|
|
EUR |
|
|
|
555 |
|
|
|
632 |
|
| CRH Funding MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.875%, 01/09/2024 |
|
|
EUR |
|
|
|
310 |
|
|
|
370 |
|
| Europcar Mobility Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.125%, 11/15/2024 (A) |
|
|
EUR |
|
|
|
100 |
|
|
|
111 |
|
| Ireland Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.400%, 03/13/2025 |
|
|
EUR |
|
|
|
351 |
|
|
|
509 |
|
| 4.500%, 04/18/2020 |
|
|
EUR |
|
|
|
205 |
|
|
|
233 |
|
| 1.500%, 05/15/2050 |
|
|
EUR |
|
|
|
165 |
|
|
|
211 |
|
| 1.100%, 05/15/2029 |
|
|
EUR |
|
|
|
670 |
|
|
|
821 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,569 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Israel — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Israel Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.500%, 01/31/2042 |
|
|
ILS |
|
|
|
276 |
|
|
|
141 |
|
| 4.250%, 03/31/2023 |
|
|
ILS |
|
|
|
2,521 |
|
|
|
846 |
|
| 2.000%, 03/31/2027 |
|
|
ILS |
|
|
|
925 |
|
|
|
292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,279 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Italy — 5.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| Assicurazioni Generali MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.500%, VAR Euribor 3 Month+5.350%, 10/27/2047 |
|
|
EUR |
|
|
|
230 |
|
|
|
317 |
|
| Enel |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, VAR EUR Swap Annual 5 Yr+3.648%, 01/15/2075 |
|
|
EUR |
|
|
|
105 |
|
|
|
118 |
|
| 3.500%, VAR EUR Swap Annual 5 Yr+3.564%, 05/24/2080 |
|
|
EUR |
|
|
|
175 |
|
|
|
213 |
|
| Enel Finance International |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.650%, 09/10/2024 (A) |
|
|
|
|
|
|
340 |
|
|
|
341 |
|
| Enel Finance International MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.625%, 08/14/2024 |
|
|
GBP |
|
|
|
160 |
|
|
|
251 |
|
| Eni |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 05/09/2029 (A) |
|
|
|
|
|
|
515 |
|
|
|
566 |
|
| Intesa Sanpaolo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.017%, 06/26/2024 (A) |
|
|
|
|
|
|
530 |
|
|
|
557 |
|
| 3.625%, 12/05/2022 |
|
|
EUR |
|
|
|
200 |
|
|
|
249 |
|
| Italy Buoni Poliennali Del Tesoro |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 09/01/2040 (A) |
|
|
EUR |
|
|
|
1,393 |
|
|
|
2,273 |
|
| 3.850%, 09/01/2049 (A) |
|
|
EUR |
|
|
|
832 |
|
|
|
1,209 |
|
| 3.750%, 05/01/2021 (A) |
|
|
EUR |
|
|
|
386 |
|
|
|
456 |
|
| 3.500%, 03/01/2030 (A) |
|
|
EUR |
|
|
|
831 |
|
|
|
1,117 |
|
| 3.350%, 03/01/2035 (A) |
|
|
EUR |
|
|
|
1,904 |
|
|
|
2,550 |
|
| 3.100%, 03/01/2040 (A) |
|
|
EUR |
|
|
|
975 |
|
|
|
1,252 |
|
| 3.000%, 08/01/2029 |
|
|
EUR |
|
|
|
2,290 |
|
|
|
2,961 |
|
| 2.800%, 03/01/2067 (A) |
|
|
EUR |
|
|
|
90 |
|
|
|
105 |
|
| 2.450%, 09/01/2033 (A) |
|
|
EUR |
|
|
|
552 |
|
|
|
674 |
|
| 2.000%, 02/01/2028 |
|
|
EUR |
|
|
|
894 |
|
|
|
1,072 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| 1.350%, 04/01/2030 |
|
|
EUR |
|
|
|
692 |
|
|
$ |
772 |
|
| 0.950%, 03/01/2023 |
|
|
EUR |
|
|
|
1,530 |
|
|
|
1,754 |
|
| 0.900%, 08/01/2022 |
|
|
EUR |
|
|
|
2,312 |
|
|
|
2,646 |
|
| 0.350%, 11/01/2021 |
|
|
EUR |
|
|
|
2,605 |
|
|
|
2,946 |
|
| 0.350%, 02/01/2025 |
|
|
EUR |
|
|
|
4,530 |
|
|
|
4,999 |
|
| UniCredit MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.572%, 01/14/2022 (A) |
|
|
|
|
|
|
350 |
|
|
|
376 |
|
| 4.875%, VAR EUAMDB05+4.739%, 02/20/2029 |
|
|
EUR |
|
|
|
220 |
|
|
|
275 |
|
| Unione di Banche Italiane |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.000%, 01/27/2023 |
|
|
EUR |
|
|
|
185 |
|
|
|
215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,264 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Japan — 18.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| Development Bank of Japan |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.300%, 03/19/2026 |
|
|
JPY |
|
|
|
220,000 |
|
|
|
2,311 |
|
| 1.050%, 06/20/2023 |
|
|
JPY |
|
|
|
132,000 |
|
|
|
1,261 |
|
| Government of Japan 2 Year Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.100%, 11/01/2020 |
|
|
JPY |
|
|
|
649,250 |
|
|
|
5,986 |
|
| 0.100%, 04/01/2021 |
|
|
JPY |
|
|
|
139,650 |
|
|
|
1,288 |
|
| Government of Japan 5 Year Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.100%, 03/20/2020 |
|
|
JPY |
|
|
|
322,150 |
|
|
|
2,966 |
|
| Government of Japan 10 Year Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.900%, 06/20/2022 |
|
|
JPY |
|
|
|
859,850 |
|
|
|
8,113 |
|
| 0.100%, 06/20/2026 |
|
|
JPY |
|
|
|
39,650 |
|
|
|
370 |
|
| 0.100%, 03/20/2027 |
|
|
JPY |
|
|
|
71,550 |
|
|
|
668 |
|
| 0.100%, 06/20/2027 |
|
|
JPY |
|
|
|
125,400 |
|
|
|
1,171 |
|
| Government of Japan 20 Year Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.900%, 09/20/2022 |
|
|
JPY |
|
|
|
406,050 |
|
|
|
3,943 |
|
| 1.700%, 06/20/2033 |
|
|
JPY |
|
|
|
1,207,550 |
|
|
|
13,488 |
|
| 1.400%, 09/20/2034 |
|
|
JPY |
|
|
|
444,650 |
|
|
|
4,843 |
|
| 1.000%, 12/20/2035 |
|
|
JPY |
|
|
|
50,000 |
|
|
|
519 |
|
| 0.700%, 03/20/2037 |
|
|
JPY |
|
|
|
92,700 |
|
|
|
923 |
|
| 0.500%, 09/20/2036 |
|
|
JPY |
|
|
|
451,400 |
|
|
|
4,356 |
|
| 0.200%, 06/20/2036 |
|
|
JPY |
|
|
|
169,400 |
|
|
|
1,561 |
|
| Government of Japan 20 Year Bond, Ser 106 |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.200%, 09/20/2028 |
|
|
JPY |
|
|
|
14,550 |
|
|
|
160 |
|
| Government of Japan 20 Year Bond, Ser 128 |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.900%, 06/20/2031 |
|
|
JPY |
|
|
|
17,150 |
|
|
|
191 |
|
| Government of Japan 20 Year Bond, Ser 140 |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.700%, 09/20/2032 |
|
|
JPY |
|
|
|
709,350 |
|
|
|
7,864 |
|
| Government of Japan 20 Year Bond, Ser 143 |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.600%, 03/20/2033 |
|
|
JPY |
|
|
|
58,550 |
|
|
|
645 |
|
| Government of Japan 20 Year Bond, Ser 144 |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.500%, 03/20/2033 |
|
|
JPY |
|
|
|
149,750 |
|
|
|
1,632 |
|
| Government of Japan 30 Year Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.800%, 09/20/2047 |
|
|
JPY |
|
|
|
549,500 |
|
|
|
5,598 |
|
| 0.300%, 06/20/2046 |
|
|
JPY |
|
|
|
134,250 |
|
|
|
1,212 |
|
| Government of Japan 30 Year Bond, Ser 29 |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.400%, 09/20/2038 |
|
|
JPY |
|
|
|
119,300 |
|
|
|
1,527 |
|
| Government of Japan 30 Year Bond, Ser 30 |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.300%, 03/20/2039 |
|
|
JPY |
|
|
|
423,250 |
|
|
|
5,362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Government of Japan 30 Year Bond, Ser 33 |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.000%, 09/20/2040 |
|
|
JPY |
|
|
|
212,700 |
|
|
$ |
2,626 |
|
| Government of Japan 30 Year Bond, Ser 36 |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.000%, 03/20/2042 |
|
|
JPY |
|
|
|
217,550 |
|
|
|
2,723 |
|
| Government of Japan 30 Year Bond, Ser 37 |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.900%, 09/20/2042 |
|
|
JPY |
|
|
|
62,100 |
|
|
|
769 |
|
| Government of Japan 30 Year Bond, Ser 38 |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.800%, 03/20/2043 |
|
|
JPY |
|
|
|
259,650 |
|
|
|
3,171 |
|
| Government of Japan 40 Year Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.400%, 03/20/2056 |
|
|
JPY |
|
|
|
328,900 |
|
|
|
2,990 |
|
| Government of Japan 40 Year Bond, Ser 6 |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.900%, 03/20/2053 |
|
|
JPY |
|
|
|
38,700 |
|
|
|
518 |
|
| Government of Japan CPI Linked Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.100%, 03/10/2026 |
|
|
JPY |
|
|
|
313,852 |
|
|
|
2,949 |
|
| Mitsubishi UFJ Financial Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.339%, 07/19/2024 |
|
|
EUR |
|
|
|
250 |
|
|
|
280 |
|
| Mizuho Financial Group MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.956%, 10/16/2024 |
|
|
EUR |
|
|
|
385 |
|
|
|
445 |
|
| Mizuho Financial Group Cayman 3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.600%, 03/27/2024 (A) |
|
|
|
|
|
|
450 |
|
|
|
481 |
|
| Takeda Pharmaceutical |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.125%, 11/21/2022 (A) |
|
|
EUR |
|
|
|
430 |
|
|
|
497 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
95,407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Luxembourg — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Enel Finance International MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, 09/14/2040 |
|
|
GBP |
|
|
|
145 |
|
|
|
279 |
|
| Samsonite Finco SARL |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 05/15/2026 |
|
|
EUR |
|
|
|
100 |
|
|
|
116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
395 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Malaysia — 0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| Malaysia Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.181%, 07/15/2024 |
|
|
MYR |
|
|
|
3,360 |
|
|
|
856 |
|
| 4.048%, 09/30/2021 |
|
|
MYR |
|
|
|
3,380 |
|
|
|
841 |
|
| 3.955%, 09/15/2025 |
|
|
MYR |
|
|
|
3,440 |
|
|
|
871 |
|
| 3.885%, 08/15/2029 |
|
|
MYR |
|
|
|
2,032 |
|
|
|
519 |
|
| 3.882%, 03/10/2022 |
|
|
MYR |
|
|
|
780 |
|
|
|
194 |
|
| 3.795%, 09/30/2022 |
|
|
MYR |
|
|
|
3,430 |
|
|
|
854 |
|
| 3.480%, 03/15/2023 |
|
|
MYR |
|
|
|
1,135 |
|
|
|
281 |
|
| 3.441%, 02/15/2021 |
|
|
MYR |
|
|
|
491 |
|
|
|
121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,537 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mexico — 2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Alfa |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.250%, 03/25/2024 (A) |
|
|
|
|
|
|
205 |
|
|
|
222 |
|
| Mexican Bonos |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.000%, 06/11/2020 |
|
|
MXN |
|
|
|
8,335 |
|
|
|
444 |
|
| 8.000%, 11/07/2047 |
|
|
MXN |
|
|
|
18,935 |
|
|
|
1,098 |
|
| 7.750%, 11/13/2042 |
|
|
MXN |
|
|
|
8,245 |
|
|
|
463 |
|
| 7.500%, 06/03/2027 |
|
|
MXN |
|
|
|
2,435 |
|
|
|
134 |
|
| 6.500%, 06/09/2022 |
|
|
MXN |
|
|
|
22,900 |
|
|
|
1,206 |
|
| 5.750%, 03/05/2026 |
|
|
MXN |
|
|
|
11,907 |
|
|
|
597 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Mexican Bonos, Ser M |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.500%, 06/10/2021 |
|
|
MXN |
|
|
|
9,962 |
|
|
$ |
525 |
|
| Mexican Bonos, Ser M20 |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.000%, 12/05/2024 |
|
|
MXN |
|
|
|
46,790 |
|
|
|
2,812 |
|
| 7.750%, 05/29/2031 |
|
|
MXN |
|
|
|
28,570 |
|
|
|
1,614 |
|
| Mexican Bonos, Ser M30 |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.000%, 11/20/2036 |
|
|
MXN |
|
|
|
22,113 |
|
|
|
1,512 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,627 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Netherlands — 3.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| ABN AMRO Bank |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, VAR EUR Swap Annual 5 Yr+5.452%, 03/22/2168 |
|
|
EUR |
|
|
|
400 |
|
|
|
464 |
|
| 4.750%, 07/28/2025 |
|
|
|
|
|
|
305 |
|
|
|
332 |
|
| ABN AMRO Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 01/10/2033 |
|
|
EUR |
|
|
|
300 |
|
|
|
374 |
|
| Akzo Nobel Sweden Finance MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.625%, 07/27/2022 |
|
|
EUR |
|
|
|
340 |
|
|
|
408 |
|
| BNG Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.500%, 04/16/2025 |
|
|
EUR |
|
|
|
225 |
|
|
|
261 |
|
| Cooperatieve Rabobank UA |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.750%, 07/21/2026 |
|
|
|
|
|
|
250 |
|
|
|
260 |
|
| 3.250%, VAR EUR Swap Annual 5 Yr+3.702%, 12/29/2168 |
|
|
EUR |
|
|
|
200 |
|
|
|
224 |
|
| Cooperatieve Rabobank UA MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.250%, 09/14/2027 |
|
|
GBP |
|
|
|
195 |
|
|
|
313 |
|
| 4.625%, 05/23/2029 |
|
|
GBP |
|
|
|
130 |
|
|
|
205 |
|
| 1.250%, 05/31/2032 |
|
|
EUR |
|
|
|
300 |
|
|
|
373 |
|
| Heineken MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.000%, 05/04/2026 |
|
|
EUR |
|
|
|
335 |
|
|
|
392 |
|
| ING Bank |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.800%, 09/25/2023 (A) |
|
|
|
|
|
|
315 |
|
|
|
349 |
|
| ING Groep |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.342%, 11/16/2168 |
|
|
|
|
|
|
200 |
|
|
|
211 |
|
| 3.550%, 04/09/2024 |
|
|
|
|
|
|
325 |
|
|
|
340 |
|
| Intertrust Group BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.375%, 11/15/2025 (A) |
|
|
EUR |
|
|
|
180 |
|
|
|
212 |
|
| Lincoln Financing SARL |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.625%, 04/01/2024 (A) |
|
|
EUR |
|
|
|
170 |
|
|
|
198 |
|
| Nederlandse Waterschapsbank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 05/27/2036 |
|
|
EUR |
|
|
|
281 |
|
|
|
351 |
|
| 0.625%, 01/18/2027 |
|
|
EUR |
|
|
|
225 |
|
|
|
264 |
|
| Netherlands Government Bond (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000%, 01/15/2037 |
|
|
EUR |
|
|
|
389 |
|
|
|
715 |
|
| 2.750%, 01/15/2047 |
|
|
EUR |
|
|
|
190 |
|
|
|
346 |
|
| 2.500%, 01/15/2033 |
|
|
EUR |
|
|
|
550 |
|
|
|
811 |
|
| 2.000%, 07/15/2024 |
|
|
EUR |
|
|
|
345 |
|
|
|
430 |
|
| 0.500%, 07/15/2026 |
|
|
EUR |
|
|
|
570 |
|
|
|
673 |
|
| 0.500%, 01/15/2040 |
|
|
EUR |
|
|
|
804 |
|
|
|
938 |
|
| 0.250%, 01/15/2020 |
|
|
EUR |
|
|
|
3,195 |
|
|
|
3,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| 0.250%, 07/15/2025 |
|
|
EUR |
|
|
|
922 |
|
|
$ |
1,070 |
|
| 0.250%, 07/15/2029 |
|
|
EUR |
|
|
|
948 |
|
|
|
1,095 |
|
| 0.000%, 01/15/2022 (D) |
|
|
EUR |
|
|
|
914 |
|
|
|
1,038 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| New Zealand — 2.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| New Zealand Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.500%, 04/15/2023 |
|
|
NZD |
|
|
|
1,608 |
|
|
|
1,235 |
|
| 3.000%, 04/15/2020 |
|
|
NZD |
|
|
|
1,626 |
|
|
|
1,103 |
|
| 3.000%, 04/20/2029 |
|
|
NZD |
|
|
|
1,494 |
|
|
|
1,124 |
|
| 2.750%, 04/15/2025 |
|
|
NZD |
|
|
|
13,113 |
|
|
|
9,470 |
|
| New Zealand Local Government Funding Agency Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 04/15/2027 |
|
|
NZD |
|
|
|
479 |
|
|
|
375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Norway — 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| DNB Bank |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.500%, VAR USD Swap Semi 30/360 5 Yr Curr+5.080%, 03/26/2168 |
|
|
|
|
|
|
355 |
|
|
|
376 |
|
| Equinor MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.625%, 03/11/2021 |
|
|
EUR |
|
|
|
216 |
|
|
|
259 |
|
| 2.000%, 09/10/2020 |
|
|
EUR |
|
|
|
285 |
|
|
|
325 |
|
| Norway Government Bond (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.000%, 03/14/2024 |
|
|
NOK |
|
|
|
1,972 |
|
|
|
239 |
|
| 2.000%, 05/24/2023 |
|
|
NOK |
|
|
|
6,849 |
|
|
|
795 |
|
| 2.000%, 04/26/2028 |
|
|
NOK |
|
|
|
4,462 |
|
|
|
527 |
|
| 1.750%, 02/17/2027 |
|
|
NOK |
|
|
|
4,540 |
|
|
|
526 |
|
| 1.750%, 09/06/2029 |
|
|
NOK |
|
|
|
3,571 |
|
|
|
413 |
|
| 1.500%, 02/19/2026 |
|
|
NOK |
|
|
|
2,163 |
|
|
|
248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Poland — 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| Republic of Poland Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000%, 10/25/2023 |
|
|
PLN |
|
|
|
1,401 |
|
|
|
400 |
|
| 2.750%, 04/25/2028 |
|
|
PLN |
|
|
|
2,820 |
|
|
|
780 |
|
| 2.750%, 10/25/2029 |
|
|
PLN |
|
|
|
1,493 |
|
|
|
415 |
|
| 2.500%, 07/25/2027 |
|
|
PLN |
|
|
|
1,860 |
|
|
|
505 |
|
| 2.000%, 04/25/2021 |
|
|
PLN |
|
|
|
4,961 |
|
|
|
1,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portugal — 0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| EDP - Energias de Portugal |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.496%, VAR EUR Swap Annual 5 Yr+4.287%, 04/30/2079 |
|
|
EUR |
|
|
|
300 |
|
|
|
376 |
|
| EDP Finance MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.000%, 04/22/2025 |
|
|
EUR |
|
|
|
260 |
|
|
|
316 |
|
| Portugal Obrigacoes do Tesouro OT (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.125%, 04/14/2027 |
|
|
EUR |
|
|
|
640 |
|
|
|
918 |
|
| 4.100%, 04/15/2037 |
|
|
EUR |
|
|
|
277 |
|
|
|
463 |
|
| 2.200%, 10/17/2022 |
|
|
EUR |
|
|
|
775 |
|
|
|
932 |
|
| 1.950%, 06/15/2029 |
|
|
EUR |
|
|
|
130 |
|
|
|
166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Qatar — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Qatar Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.375%, 03/14/2024 (A) |
|
|
|
|
|
|
650 |
|
|
$ |
680 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Saudi Arabia — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| SABIC Capital II BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000%, 10/10/2023 (A) |
|
|
|
|
|
|
345 |
|
|
|
363 |
|
| Saudi Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.375%, 10/26/2021 (A) |
|
|
|
|
|
|
275 |
|
|
|
276 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
639 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Singapore — 3.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Singapore Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 03/01/2027 |
|
|
SGD |
|
|
|
1,341 |
|
|
|
1,121 |
|
| 3.125%, 09/01/2022 |
|
|
SGD |
|
|
|
2,088 |
|
|
|
1,617 |
|
| 3.000%, 09/01/2024 |
|
|
SGD |
|
|
|
5,421 |
|
|
|
4,292 |
|
| 2.875%, 07/01/2029 |
|
|
SGD |
|
|
|
7,543 |
|
|
|
6,160 |
|
| 2.750%, 03/01/2046 |
|
|
SGD |
|
|
|
200 |
|
|
|
168 |
|
| 2.375%, 07/01/2039 |
|
|
SGD |
|
|
|
1,171 |
|
|
|
935 |
|
| 2.250%, 08/01/2036 |
|
|
SGD |
|
|
|
250 |
|
|
|
195 |
|
| 2.000%, 07/01/2020 |
|
|
SGD |
|
|
|
3,260 |
|
|
|
2,428 |
|
| Temasek Financial I MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.375%, 01/23/2023 (A) |
|
|
|
|
|
|
495 |
|
|
|
501 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Slovak Republic — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Slovakia Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.375%, 11/15/2024 |
|
|
EUR |
|
|
|
75 |
|
|
|
98 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Slovenia — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Slovenia Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 03/22/2027 |
|
|
EUR |
|
|
|
305 |
|
|
|
371 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| South Korea — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| Hyundai Capital Services MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 03/30/2022 |
|
|
AUD |
|
|
|
680 |
|
|
|
493 |
|
| Korea Treasury Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.000%, 09/10/2024 |
|
|
KRW |
|
|
|
1,254,790 |
|
|
|
1,159 |
|
| 2.000%, 03/10/2049 |
|
|
KRW |
|
|
|
361,670 |
|
|
|
334 |
|
| 1.500%, 12/10/2026 |
|
|
KRW |
|
|
|
994,000 |
|
|
|
852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Spain — 4.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Ayt Cedulas Cajas Global |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.750%, 12/14/2022 |
|
|
EUR |
|
|
|
600 |
|
|
|
750 |
|
| Banco Bilbao Vizcaya Argentaria |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.875%, VAR EUR Swap Annual 5 Yr+5.660%, 12/24/2168 |
|
|
EUR |
|
|
|
200 |
|
|
|
245 |
|
| 2.250%, 06/12/2024 |
|
|
EUR |
|
|
|
200 |
|
|
|
248 |
|
| Banco de Sabadell |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.875%, 11/12/2021 |
|
|
EUR |
|
|
|
400 |
|
|
|
458 |
|
| Banco Santander |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.250%, VAR EUR Swap Annual 5 Yr+4.999%, 12/29/2168 |
|
|
EUR |
|
|
|
200 |
|
|
|
239 |
|
| 5.179%, 11/19/2025 |
|
|
|
|
|
|
400 |
|
|
|
448 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| 3.306%, 06/27/2029 |
|
|
|
|
|
|
200 |
|
|
$ |
206 |
|
| 1.000%, 03/03/2022 |
|
|
EUR |
|
|
|
400 |
|
|
|
462 |
|
| CaixaBank |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 01/11/2027 |
|
|
EUR |
|
|
|
500 |
|
|
|
605 |
|
| Gas Natural Fenosa Finance BV MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 04/19/2026 |
|
|
EUR |
|
|
|
300 |
|
|
|
353 |
|
| Grifols |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.625%, 02/15/2025 (A) |
|
|
EUR |
|
|
|
180 |
|
|
|
206 |
|
| Iberdrola Finanzas MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.000%, 03/07/2025 |
|
|
EUR |
|
|
|
500 |
|
|
|
584 |
|
| Instituto de Credito Oficial MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.000%, 03/08/2021 |
|
|
EUR |
|
|
|
180 |
|
|
|
217 |
|
| Kutxabank |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 09/22/2025 |
|
|
EUR |
|
|
|
300 |
|
|
|
359 |
|
| Spain Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.000%, 01/31/2029 |
|
|
EUR |
|
|
|
104 |
|
|
|
175 |
|
| 5.750%, 07/30/2032 |
|
|
EUR |
|
|
|
102 |
|
|
|
186 |
|
| 4.900%, 07/30/2040 (A) |
|
|
EUR |
|
|
|
852 |
|
|
|
1,640 |
|
| 4.700%, 07/30/2041 (A) |
|
|
EUR |
|
|
|
527 |
|
|
|
1,002 |
|
| 3.450%, 07/30/2066 (A) |
|
|
EUR |
|
|
|
240 |
|
|
|
427 |
|
| 2.900%, 10/31/2046 (A) |
|
|
EUR |
|
|
|
361 |
|
|
|
554 |
|
| 2.350%, 07/30/2033 (A) |
|
|
EUR |
|
|
|
507 |
|
|
|
688 |
|
| 1.950%, 07/30/2030 (A) |
|
|
EUR |
|
|
|
141 |
|
|
|
181 |
|
| 1.600%, 04/30/2025 (A) |
|
|
EUR |
|
|
|
572 |
|
|
|
697 |
|
| 1.500%, 04/30/2027 (A) |
|
|
EUR |
|
|
|
4,380 |
|
|
|
5,372 |
|
| 1.450%, 04/30/2029 (A) |
|
|
EUR |
|
|
|
1,395 |
|
|
|
1,711 |
|
| 1.400%, 04/30/2028 (A) |
|
|
EUR |
|
|
|
300 |
|
|
|
366 |
|
| 0.450%, 10/31/2022 |
|
|
EUR |
|
|
|
607 |
|
|
|
696 |
|
| 0.350%, 07/30/2023 |
|
|
EUR |
|
|
|
2,148 |
|
|
|
2,460 |
|
| 0.050%, 10/31/2021 |
|
|
EUR |
|
|
|
852 |
|
|
|
964 |
|
| Telefonica Europe BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.375%, VAR EUR Swap Annual 6 Yr+4.107%, 03/14/2168 |
|
|
EUR |
|
|
|
300 |
|
|
|
375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supra-National — 3.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| Asian Development Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.350%, 06/21/2027 |
|
|
JPY |
|
|
|
290,000 |
|
|
|
3,185 |
|
| European Financial Stability Facility MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.800%, 07/10/2048 |
|
|
EUR |
|
|
|
270 |
|
|
|
386 |
|
| 0.500%, 07/11/2025 |
|
|
EUR |
|
|
|
695 |
|
|
|
808 |
|
| 0.400%, 02/17/2025 |
|
|
EUR |
|
|
|
1,695 |
|
|
|
1,960 |
|
| 0.200%, 04/28/2025 |
|
|
EUR |
|
|
|
600 |
|
|
|
687 |
|
| European Investment Bank |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.900%, 01/26/2026 |
|
|
JPY |
|
|
|
397,500 |
|
|
|
4,140 |
|
| European Investment Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 05/12/2025 |
|
|
SEK |
|
|
|
13,180 |
|
|
|
1,466 |
|
| 1.000%, 03/14/2031 |
|
|
EUR |
|
|
|
405 |
|
|
|
497 |
|
| 0.250%, 10/14/2024 |
|
|
EUR |
|
|
|
610 |
|
|
|
702 |
|
| 0.250%, 09/14/2029 |
|
|
EUR |
|
|
|
745 |
|
|
|
852 |
|
| European Stability Mechanism MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.000%, 09/23/2025 |
|
|
EUR |
|
|
|
570 |
|
|
|
682 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| European Union MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.875%, 04/04/2028 |
|
|
EUR |
|
|
|
575 |
|
|
$ |
800 |
|
| International Bank for Reconstruction & Development MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.800%, 01/13/2021 |
|
|
AUD |
|
|
|
1,230 |
|
|
|
879 |
|
| International Finance MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.375%, 07/19/2023 |
|
|
CAD |
|
|
|
1,000 |
|
|
|
782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sweden — 0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| Kommunivest I Sverige AB MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.000%, 10/02/2024 |
|
|
SEK |
|
|
|
5,830 |
|
|
|
639 |
|
| Skandinaviska Enskilda Banken MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, VAR USD Swap Semi 30/360 5 Yr Curr+3.850%, 05/13/2168 |
|
|
|
|
|
|
465 |
|
|
|
468 |
|
| Svenska Handelsbanken |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.250%, VAR USD Swap Semi 30/360 5 Yr Curr+3.335%, 03/01/2168 |
|
|
|
|
|
|
325 |
|
|
|
331 |
|
| Svenska Handelsbanken MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.625%, VAR EUR Swap Annual 5 Yr+1.270%, 03/05/2029 |
|
|
EUR |
|
|
|
225 |
|
|
|
263 |
|
| Swedbank |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.625%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.134%, 03/17/2168 |
|
|
|
|
|
|
200 |
|
|
|
206 |
|
| Swedbank Hypotek |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.375%, 03/11/2022 |
|
|
EUR |
|
|
|
360 |
|
|
|
410 |
|
| Sweden Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 06/01/2022 |
|
|
SEK |
|
|
|
3,040 |
|
|
|
355 |
|
| 3.500%, 03/30/2039 |
|
|
SEK |
|
|
|
1,205 |
|
|
|
198 |
|
| 1.000%, 11/12/2026 |
|
|
SEK |
|
|
|
1,725 |
|
|
|
198 |
|
| Sweden Government Bond, Ser 1047 |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 12/01/2020 |
|
|
SEK |
|
|
|
3,370 |
|
|
|
377 |
|
| Vattenfall |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.000%, VAR EUR Swap Annual 5 Yr+2.511%, 03/19/2077 |
|
|
EUR |
|
|
|
175 |
|
|
|
211 |
|
| Vattenfall MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 03/17/2021 |
|
|
EUR |
|
|
|
213 |
|
|
|
257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,913 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Switzerland — 0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Suisse MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.750%, 09/17/2021 |
|
|
EUR |
|
|
|
220 |
|
|
|
251 |
|
| Credit Suisse Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.500%, VAR USD Swap Semi 30/360 5 Yr Curr+4.600%, 01/17/2168 |
|
|
|
|
|
|
286 |
|
|
|
313 |
|
| 7.500%, VAR USD Swap Semi 30/360 5 Yr Curr+4.600%, 01/17/2168 (A) |
|
|
|
|
|
|
200 |
|
|
|
219 |
|
| 2.125%, VAR BPSW1+1.230%, 09/12/2025 |
|
|
GBP |
|
|
|
250 |
|
|
|
336 |
|
| Government of Switzerland |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.000%, 04/28/2021 |
|
|
CHF |
|
|
|
735 |
|
|
|
787 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| 2.000%, 05/25/2022 |
|
|
CHF |
|
|
|
75 |
|
|
$ |
82 |
|
| 1.500%, 04/30/2042 |
|
|
CHF |
|
|
|
408 |
|
|
|
579 |
|
| 1.250%, 06/11/2024 |
|
|
CHF |
|
|
|
405 |
|
|
|
454 |
|
| Swiss Re Finance Luxembourg |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+3.582%, 04/02/2049 (A) |
|
|
|
|
|
|
200 |
|
|
|
223 |
|
| UBS MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.750%, VAR EUR Swap Annual 5 Yr+3.400%, 02/12/2026 |
|
|
EUR |
|
|
|
200 |
|
|
|
236 |
|
| UBS Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.875%, VAR USD Swap Semi 30/360 5 Yr Curr+4.590%, 08/07/2168 |
|
|
|
|
|
|
200 |
|
|
|
221 |
|
| UBS Group Funding Switzerland |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.750%, 11/16/2022 |
|
|
EUR |
|
|
|
427 |
|
|
|
503 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Thailand — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| Thailand Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.875%, 06/22/2029 |
|
|
THB |
|
|
|
16,455 |
|
|
|
712 |
|
| 4.675%, 06/29/2044 |
|
|
THB |
|
|
|
20,805 |
|
|
|
1,057 |
|
| 3.650%, 12/17/2021 |
|
|
THB |
|
|
|
11,020 |
|
|
|
385 |
|
| 3.625%, 06/16/2023 |
|
|
THB |
|
|
|
5,375 |
|
|
|
194 |
|
| 3.300%, 06/17/2038 |
|
|
THB |
|
|
|
3,522 |
|
|
|
144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Turkey — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Turkiye Vakiflar Bankasi TAO |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.375%, 05/04/2021 |
|
|
EUR |
|
|
|
265 |
|
|
|
300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Arab Emirates — 0.1% |
|
|
|
|
|
| DP World |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.375%, 09/25/2026 (A) |
|
|
EUR |
|
|
|
295 |
|
|
|
356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Kingdom — 5.7% |
|
|
|
|
|
| Anglo American Capital MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.625%, 09/18/2025 |
|
|
EUR |
|
|
|
220 |
|
|
|
257 |
|
| Barclays Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.000%, 05/21/2021 |
|
|
GBP |
|
|
|
180 |
|
|
|
265 |
|
| BAT International Finance MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 03/13/2027 |
|
|
EUR |
|
|
|
333 |
|
|
|
378 |
|
| BP Capital Markets MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.526%, 09/26/2022 |
|
|
EUR |
|
|
|
350 |
|
|
|
410 |
|
| 1.117%, 01/25/2024 |
|
|
EUR |
|
|
|
165 |
|
|
|
192 |
|
| Centrica MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.375%, 03/13/2029 |
|
|
GBP |
|
|
|
164 |
|
|
|
255 |
|
| 4.250%, 09/12/2044 |
|
|
GBP |
|
|
|
100 |
|
|
|
160 |
|
| CK Hutchison Finance 16 II |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.875%, 10/03/2024 |
|
|
EUR |
|
|
|
212 |
|
|
|
242 |
|
| CNH Industrial Finance Europe MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.875%, 05/17/2023 |
|
|
EUR |
|
|
|
220 |
|
|
|
267 |
|
| Coca-Cola European Partners |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.375%, 05/07/2025 |
|
|
EUR |
|
|
|
400 |
|
|
|
498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Diageo Finance MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.250%, 10/22/2021 |
|
|
EUR |
|
|
|
240 |
|
|
$ |
271 |
|
| DS Smith MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.375%, 07/26/2024 |
|
|
EUR |
|
|
|
430 |
|
|
|
499 |
|
| Gatwick Funding MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.250%, 01/23/2024 |
|
|
GBP |
|
|
|
250 |
|
|
|
381 |
|
| GlaxoSmithKline Capital |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.000%, 09/12/2020 |
|
|
EUR |
|
|
|
595 |
|
|
|
669 |
|
| Heathrow Funding MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.750%, 08/09/2049 |
|
|
GBP |
|
|
|
160 |
|
|
|
223 |
|
| 1.875%, 05/23/2022 |
|
|
EUR |
|
|
|
235 |
|
|
|
276 |
|
| HSBC Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 03/14/2024 |
|
|
|
|
|
|
505 |
|
|
|
536 |
|
| 3.000%, VAR BPSW1+1.650%, 07/22/2028 |
|
|
GBP |
|
|
|
167 |
|
|
|
233 |
|
| Imperial Brands Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.500%, 07/27/2021 |
|
|
EUR |
|
|
|
150 |
|
|
|
169 |
|
| InterContinental Hotels Group MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.750%, 08/14/2025 |
|
|
GBP |
|
|
|
174 |
|
|
|
252 |
|
| Lloyds Banking Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.582%, 12/10/2025 |
|
|
|
|
|
|
445 |
|
|
|
482 |
|
| Motion Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 11/15/2027 |
|
|
|
|
|
|
245 |
|
|
|
289 |
|
| Nationwide Building Society MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.625%, 02/08/2021 |
|
|
EUR |
|
|
|
550 |
|
|
|
651 |
|
| 0.500%, 02/23/2024 |
|
|
EUR |
|
|
|
225 |
|
|
|
258 |
|
| Next Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.625%, 05/18/2028 |
|
|
GBP |
|
|
|
190 |
|
|
|
269 |
|
| Northumbrian Water Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.875%, 02/06/2023 |
|
|
GBP |
|
|
|
190 |
|
|
|
294 |
|
| Rio Tinto Finance MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.875%, 12/11/2024 |
|
|
EUR |
|
|
|
290 |
|
|
|
368 |
|
| Royal Bank of Scotland Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.265%, VAR ICE LIBOR USD 3 Month+2.320%, 09/29/2017 |
|
|
|
|
|
|
200 |
|
|
|
197 |
|
| Santander UK Group Holdings PLC MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.625%, 01/14/2026 |
|
|
GBP |
|
|
|
100 |
|
|
|
144 |
|
| Santander UK PLC MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 04/12/2021 |
|
|
EUR |
|
|
|
350 |
|
|
|
415 |
|
| 1.125%, 01/14/2022 |
|
|
EUR |
|
|
|
330 |
|
|
|
379 |
|
| Scottish Hydro Electric Transmission |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.250%, 09/27/2035 |
|
|
|
|
|
|
200 |
|
|
|
262 |
|
| Severn Trent Utilities Finance MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.625%, 01/16/2026 |
|
|
GBP |
|
|
|
175 |
|
|
|
257 |
|
| Sky PLC MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.000%, 05/21/2027 |
|
|
GBP |
|
|
|
50 |
|
|
|
86 |
|
| 2.500%, 09/15/2026 |
|
|
EUR |
|
|
|
205 |
|
|
|
262 |
|
| 2.250%, 11/17/2025 |
|
|
EUR |
|
|
|
275 |
|
|
|
343 |
|
| SSE PLC MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.875%, 09/06/2025 |
|
|
EUR |
|
|
|
395 |
|
|
|
455 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Standard Chartered |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.446%, VAR ICE LIBOR USD 3 Month+1.510%, 07/30/2168 (A) |
|
|
|
|
|
|
500 |
|
|
$ |
430 |
|
| Thames Water Utilities Finance MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.625%, 06/04/2046 |
|
|
GBP |
|
|
|
155 |
|
|
|
273 |
|
| Unilever NV |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.375%, 02/14/2023 |
|
|
EUR |
|
|
|
220 |
|
|
|
251 |
|
| United Kingdom Gilt |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 12/07/2042 |
|
|
GBP |
|
|
|
230 |
|
|
|
497 |
|
| 4.250%, 12/07/2046 |
|
|
GBP |
|
|
|
980 |
|
|
|
2,151 |
|
| 3.750%, 07/22/2052 |
|
|
GBP |
|
|
|
80 |
|
|
|
175 |
|
| 3.500%, 01/22/2045 |
|
|
GBP |
|
|
|
1,131 |
|
|
|
2,184 |
|
| 3.250%, 01/22/2044 |
|
|
GBP |
|
|
|
400 |
|
|
|
737 |
|
| 2.750%, 09/07/2024 |
|
|
GBP |
|
|
|
200 |
|
|
|
291 |
|
| 2.500%, 07/22/2065 |
|
|
GBP |
|
|
|
1,717 |
|
|
|
3,274 |
|
| 1.750%, 09/07/2022 |
|
|
GBP |
|
|
|
654 |
|
|
|
894 |
|
| 1.500%, 07/22/2047 |
|
|
GBP |
|
|
|
981 |
|
|
|
1,346 |
|
| 0.750%, 07/22/2023 |
|
|
GBP |
|
|
|
2,170 |
|
|
|
2,891 |
|
| 0.625%, 06/07/2025 |
|
|
GBP |
|
|
|
445 |
|
|
|
589 |
|
| Wales & West Utilities Finance PLC |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 11/30/2021 |
|
|
GBP |
|
|
|
240 |
|
|
|
349 |
|
| Western Power Distribution West Midlands PLC |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, 04/16/2032 |
|
|
GBP |
|
|
|
100 |
|
|
|
183 |
|
| 3.875%, 10/17/2024 |
|
|
GBP |
|
|
|
230 |
|
|
|
336 |
|
| Wm Morrison Supermarkets MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 07/27/2026 |
|
|
GBP |
|
|
|
225 |
|
|
|
328 |
|
| Zurich Finance PLC MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.625%, 10/30/2049 (C) |
|
|
GBP |
|
|
|
235 |
|
|
|
351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United States — 8.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| AbbVie (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.950%, 11/21/2026 |
|
|
|
|
|
|
245 |
|
|
|
249 |
|
| 2.300%, 11/21/2022 |
|
|
|
|
|
|
800 |
|
|
|
804 |
|
| Allergan Funding |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.625%, 11/15/2028 |
|
|
|
|
|
|
100 |
|
|
|
129 |
|
| Altria Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.700%, 06/15/2025 |
|
|
EUR |
|
|
|
450 |
|
|
|
524 |
|
| American International Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.505%, VAR ICE LIBOR GBP 3 Month+1.705%, 03/15/2037 |
|
|
GBP |
|
|
|
100 |
|
|
|
110 |
|
| AT&T |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.800%, 09/05/2026 |
|
|
EUR |
|
|
|
720 |
|
|
|
864 |
|
| 0.800%, 03/04/2030 |
|
|
EUR |
|
|
|
310 |
|
|
|
338 |
|
| Bank of America |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.500%, VAR ICE LIBOR USD 3 Month+4.174%, 04/23/2168 |
|
|
|
|
|
|
67 |
|
|
|
76 |
|
| 6.250%, VAR ICE LIBOR USD 3 Month+3.705%, 03/05/2168 |
|
|
|
|
|
|
150 |
|
|
|
167 |
|
| Bank of America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.375%, 06/19/2024 |
|
|
EUR |
|
|
|
835 |
|
|
|
1,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| 1.625%, 09/14/2022 |
|
|
EUR |
|
|
|
261 |
|
|
$ |
305 |
|
| Baxter International MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.400%, 05/15/2024 |
|
|
EUR |
|
|
|
405 |
|
|
|
461 |
|
| Becton Dickinson |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.632%, 06/04/2023 |
|
|
|
|
|
|
200 |
|
|
|
227 |
|
| Berkshire Hathaway |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.625%, 01/17/2023 |
|
|
EUR |
|
|
|
265 |
|
|
|
303 |
|
| Berkshire Hathaway Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.625%, 06/19/2059 |
|
|
GBP |
|
|
|
144 |
|
|
|
209 |
|
| Boardwalk Pipelines |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.800%, 05/03/2029 |
|
|
|
|
|
|
119 |
|
|
|
128 |
|
| Boston Scientific Corporation |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.625%, 12/01/2027 |
|
|
|
|
|
|
430 |
|
|
|
480 |
|
| Broadcom |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 04/15/2026 (A) |
|
|
|
|
|
|
195 |
|
|
|
207 |
|
| Capital One Financial |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.800%, 06/12/2024 |
|
|
EUR |
|
|
|
291 |
|
|
|
332 |
|
| Carnival |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.625%, 02/22/2021 |
|
|
EUR |
|
|
|
180 |
|
|
|
206 |
|
| 1.000%, 10/28/2029 |
|
|
|
|
|
|
316 |
|
|
|
350 |
|
| Centene |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 12/15/2027 (A) |
|
|
|
|
|
|
63 |
|
|
|
65 |
|
| Chubb INA Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.550%, 03/15/2028 |
|
|
EUR |
|
|
|
325 |
|
|
|
388 |
|
| 0.875%, 06/15/2027 |
|
|
EUR |
|
|
|
115 |
|
|
|
132 |
|
| 0.300%, 12/15/2024 |
|
|
EUR |
|
|
|
190 |
|
|
|
213 |
|
| Cigna |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.125%, 11/15/2025 |
|
|
|
|
|
|
136 |
|
|
|
148 |
|
| Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.950%, VAR ICE LIBOR USD 3 Month+3.905%, 11/15/2168 |
|
|
|
|
|
|
185 |
|
|
|
202 |
|
| 2.040%, 09/16/2020 |
|
|
JPY |
|
|
|
200,000 |
|
|
|
1,864 |
|
| 1.750%, 10/23/2026 |
|
|
GBP |
|
|
|
304 |
|
|
|
401 |
|
| Citigroup MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.750%, 10/26/2023 |
|
|
EUR |
|
|
|
365 |
|
|
|
418 |
|
| Clean Harbors (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.125%, 07/15/2029 |
|
|
|
|
|
|
43 |
|
|
|
46 |
|
| 4.875%, 07/15/2027 |
|
|
|
|
|
|
124 |
|
|
|
131 |
|
| Comcast |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.450%, 10/01/2021 |
|
|
|
|
|
|
965 |
|
|
|
993 |
|
| DH Europe Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.700%, 01/04/2022 |
|
|
EUR |
|
|
|
150 |
|
|
|
175 |
|
| 1.200%, 06/30/2027 |
|
|
|
|
|
|
335 |
|
|
|
396 |
|
| DH Europe Finance II |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.450%, 03/18/2028 |
|
|
|
|
|
|
154 |
|
|
|
171 |
|
| Digital Euro Finco |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.625%, 04/15/2024 |
|
|
EUR |
|
|
|
175 |
|
|
|
213 |
|
| Ebay |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.600%, 06/05/2027 |
|
|
|
|
|
|
130 |
|
|
|
136 |
|
| Expedia Group Inc |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 02/15/2026 |
|
|
|
|
|
|
250 |
|
|
|
276 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| FedEx |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.700%, 05/13/2022 |
|
|
EUR |
|
|
|
108 |
|
|
$ |
123 |
|
| Fidelity National Information Services |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.500%, 05/21/2027 |
|
|
EUR |
|
|
|
400 |
|
|
|
474 |
|
| 0.625%, 12/03/2025 |
|
|
EUR |
|
|
|
185 |
|
|
|
209 |
|
| Fiserv |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.125%, 07/01/2027 |
|
|
EUR |
|
|
|
405 |
|
|
|
468 |
|
| Ford Motor Credit MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.021%, 03/06/2024 |
|
|
EUR |
|
|
|
170 |
|
|
|
201 |
|
| 0.032%, VAR Euribor 3 Month+0.430%, 05/14/2021 |
|
|
EUR |
|
|
|
750 |
|
|
|
836 |
|
| GE Capital European Funding Unlimited MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.375%, 01/23/2020 |
|
|
EUR |
|
|
|
1,100 |
|
|
|
1,238 |
|
| GE Capital UK Funding Unlimited MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 05/05/2038 |
|
|
GBP |
|
|
|
165 |
|
|
|
300 |
|
| General Electric |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.875%, 05/17/2025 |
|
|
EUR |
|
|
|
180 |
|
|
|
203 |
|
| General Motors Financial |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.561%, VAR ICE LIBOR USD 3 Month+1.560%, 01/15/2020 |
|
|
|
|
|
|
2,084 |
|
|
|
2,085 |
|
| General Motors Financial MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.955%, 09/07/2023 |
|
|
EUR |
|
|
|
540 |
|
|
|
612 |
|
| Goldman Sachs Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.625%, 04/25/2021 |
|
|
|
|
|
|
425 |
|
|
|
429 |
|
| Goldman Sachs Group MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.000%, 07/27/2023 |
|
|
EUR |
|
|
|
900 |
|
|
|
1,073 |
|
| 1.625%, 07/27/2026 |
|
|
EUR |
|
|
|
170 |
|
|
|
203 |
|
| IHS Markit |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.125%, 08/01/2023 |
|
|
|
|
|
|
326 |
|
|
|
346 |
|
| 4.000%, 03/01/2026 (A) |
|
|
|
|
|
|
85 |
|
|
|
90 |
|
| International Business Machines |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.850%, 05/13/2022 |
|
|
|
|
|
|
990 |
|
|
|
1,013 |
|
| International Business Machines MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.875%, 01/31/2025 |
|
|
EUR |
|
|
|
593 |
|
|
|
688 |
|
| International Game Technology PLC |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 07/15/2024 |
|
|
|
|
|
|
170 |
|
|
|
205 |
|
| Johnson Controls International PLC |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.375%, 02/25/2025 |
|
|
|
|
|
|
395 |
|
|
|
458 |
|
| JPMorgan Chase MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.090%, VAR Euribor 3 Month+0.760%, 03/11/2027 |
|
|
EUR |
|
|
|
810 |
|
|
|
943 |
|
| Kraft Heinz Foods |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.000%, 06/30/2023 |
|
|
EUR |
|
|
|
235 |
|
|
|
278 |
|
| Marriott International |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.650%, 12/01/2028 |
|
|
|
|
|
|
120 |
|
|
|
135 |
|
| Mastercard |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.100%, 12/01/2022 |
|
|
EUR |
|
|
|
445 |
|
|
|
515 |
|
| McKesson |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.625%, 08/17/2021 |
|
|
EUR |
|
|
|
355 |
|
|
|
402 |
|
| Medtronic Global Holdings SCA |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.125%, 03/07/2027 |
|
|
EUR |
|
|
|
400 |
|
|
|
471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| 0.250%, 07/02/2025 |
|
|
|
|
|
|
115 |
|
|
$ |
129 |
|
| Micron Technology |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.640%, 02/06/2024 |
|
|
|
|
|
|
258 |
|
|
|
280 |
|
| Molson Coors International |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.750%, 09/18/2020 |
|
|
CAD |
|
|
|
1,105 |
|
|
|
854 |
|
| Moody’s |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.750%, 03/09/2027 |
|
|
EUR |
|
|
|
265 |
|
|
|
321 |
|
| 0.950%, 02/25/2030 |
|
|
EUR |
|
|
|
200 |
|
|
|
226 |
|
| Morgan Stanley |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.875%, 03/30/2023 |
|
|
EUR |
|
|
|
490 |
|
|
|
581 |
|
| Morgan Stanley MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.375%, 10/27/2026 |
|
|
EUR |
|
|
|
360 |
|
|
|
426 |
|
| 0.000%, VAR Euribor 3 Month+0.400%, 05/21/2021 |
|
|
EUR |
|
|
|
850 |
|
|
|
955 |
|
| National Grid North America MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.000%, 07/12/2024 |
|
|
EUR |
|
|
|
300 |
|
|
|
346 |
|
| National Oil Well |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.600%, 12/01/2029 |
|
|
|
|
|
|
205 |
|
|
|
206 |
|
| Noble Energy |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.250%, 10/15/2029 |
|
|
|
|
|
|
205 |
|
|
|
208 |
|
| Occidental Petroleum |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.200%, 08/15/2026 |
|
|
|
|
|
|
44 |
|
|
|
45 |
|
| 2.900%, 08/15/2024 |
|
|
|
|
|
|
265 |
|
|
|
269 |
|
| Panther BF Aggregator 2 |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.375%, 05/15/2026 (A) |
|
|
EUR |
|
|
|
106 |
|
|
|
125 |
|
| Philip Morris International |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.625%, 11/08/2024 |
|
|
EUR |
|
|
|
285 |
|
|
|
324 |
|
| Philip Morris International MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.875%, 03/03/2021 |
|
|
EUR |
|
|
|
300 |
|
|
|
345 |
|
| PNC Financial Services Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.200%, 11/01/2024 |
|
|
|
|
|
|
885 |
|
|
|
888 |
|
| PNC Funding |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.300%, 03/08/2022 |
|
|
|
|
|
|
150 |
|
|
|
154 |
|
| Priceline Group |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.375%, 09/23/2024 |
|
|
|
|
|
|
355 |
|
|
|
436 |
|
| Prologis |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.250%, 09/10/2027 |
|
|
|
|
|
|
161 |
|
|
|
177 |
|
| Prologis MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.000%, 01/18/2022 |
|
|
EUR |
|
|
|
115 |
|
|
|
136 |
|
| Realty Income |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.250%, 06/15/2029 |
|
|
|
|
|
|
315 |
|
|
|
333 |
|
| Santander Holdings USA |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.700%, 03/28/2022 |
|
|
|
|
|
|
460 |
|
|
|
473 |
|
| Seagate HDD Cayman |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.750%, 06/01/2023 |
|
|
|
|
|
|
6 |
|
|
|
7 |
|
| 4.750%, 01/01/2025 |
|
|
|
|
|
|
61 |
|
|
|
65 |
|
| Sealed Air |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000%, 12/01/2027 (A) |
|
|
|
|
|
|
149 |
|
|
|
151 |
|
| Southern Co/The |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.750%, 06/15/2020 |
|
|
|
|
|
|
700 |
|
|
|
702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Sprint Spectrum |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.738%, 03/20/2025 (A) |
|
|
|
|
|
|
265 |
|
|
$ |
281 |
|
| Terraform Global Operating |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.125%, 03/01/2026 (A) |
|
|
|
|
|
|
55 |
|
|
|
57 |
|
| Toyota Motor Credit MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.800%, 07/23/2020 |
|
|
EUR |
|
|
|
115 |
|
|
|
131 |
|
| 0.625%, 11/21/2024 |
|
|
EUR |
|
|
|
465 |
|
|
|
534 |
|
| United Technologies Corp |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.250%, 05/22/2023 |
|
|
EUR |
|
|
|
225 |
|
|
|
261 |
|
| 1.150%, 05/18/2024 |
|
|
EUR |
|
|
|
164 |
|
|
|
191 |
|
| US Bancorp MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.850%, 06/07/2024 |
|
|
EUR |
|
|
|
226 |
|
|
|
261 |
|
| Verizon Communications |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.016%, 12/03/2029 |
|
|
|
|
|
|
391 |
|
|
|
436 |
|
| 0.875%, 04/08/2027 |
|
|
EUR |
|
|
|
175 |
|
|
|
202 |
|
| Verizon Communications MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.750%, 02/17/2034 |
|
|
GBP |
|
|
|
170 |
|
|
|
289 |
|
| 4.050%, 02/17/2025 |
|
|
AUD |
|
|
|
680 |
|
|
|
522 |
|
| Wells Fargo |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.900%, VAR ICE LIBOR USD 3 Month+3.110%, 12/15/2168 |
|
|
|
|
|
|
130 |
|
|
|
142 |
|
| Wells Fargo MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.125%, 12/20/2023 |
|
|
GBP |
|
|
|
345 |
|
|
|
469 |
|
| 2.000%, 04/27/2026 |
|
|
EUR |
|
|
|
210 |
|
|
|
258 |
|
| 1.375%, 06/30/2022 |
|
|
GBP |
|
|
|
195 |
|
|
|
259 |
|
| WPC Eurobond BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.350%, 04/15/2028 |
|
|
EUR |
|
|
|
405 |
|
|
|
449 |
|
| ZF North America Capital |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.750%, 04/27/2023 |
|
|
EUR |
|
|
|
200 |
|
|
|
241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,007 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Global Bonds
(Cost $476,763) ($ Thousands) |
|
|
|
|
|
|
|
|
|
|
489,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 4.0%
U.S. Treasury Inflation Protected Securities |
|
|
|
|
|
| |
|
|
|
| 1.250%, 07/15/2020 |
|
|
|
|
|
|
1,194 |
|
|
|
1,206 |
|
| 0.750%, 07/15/2028 |
|
|
|
|
|
|
304 |
|
|
|
320 |
|
| 0.250%, 07/15/2029 |
|
|
|
|
|
|
1,553 |
|
|
|
1,569 |
|
| United States Treasury Bills |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.476%, 01/21/2020 (D) |
|
|
|
|
|
|
17,580 |
|
|
|
17,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $20,645) ($ Thousands) |
|
|
|
|
|
|
|
20,661 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
| MORTGAGE-BACKED SECURITIES — 0.5% |
|
|
| Agency Mortgage-Backed Obligation — 0.4% |
|
| FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA1, Cl M2 |
|
|
|
|
|
|
|
|
| 3.642%, VAR ICE LIBOR USD 1 Month+1.850%, 10/25/2027 |
|
$ |
224 |
|
|
$ |
225 |
|
| FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA2, Cl M2 |
|
|
|
|
|
|
|
|
| 4.392%, VAR ICE LIBOR USD 1 Month+2.600%, 12/25/2027 |
|
|
15 |
|
|
|
15 |
|
| FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA2, Cl M2 |
|
|
|
|
|
|
|
|
| 4.592%, VAR ICE LIBOR USD 1
Month+2.800%, 05/25/2028 |
|
|
43 |
|
|
|
43 |
|
| FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA1, Cl M2 |
|
|
|
|
|
|
|
|
| 4.692%, VAR ICE LIBOR USD 1 Month+2.900%, 07/25/2028 |
|
|
62 |
|
|
|
62 |
|
| FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-HQA1, Cl M3 |
|
|
|
|
|
|
|
|
| 8.142%, VAR ICE LIBOR USD 1 Month+6.350%, 09/25/2028 |
|
|
250 |
|
|
|
275 |
|
| FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA1, Cl M1 |
|
|
|
|
|
|
|
|
| 2.992%, VAR ICE LIBOR USD 1 Month+1.200%, 07/25/2029 |
|
|
143 |
|
|
|
143 |
|
| FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA2, Cl M2 |
|
|
|
|
|
|
|
|
| 5.242%, VAR ICE LIBOR USD 1 Month+3.450%, 10/25/2029 |
|
|
470 |
|
|
|
500 |
|
| FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 2M2 |
|
|
|
|
|
|
|
|
| 6.792%, VAR ICE LIBOR USD 1 Month+5.000%, 11/25/2024 |
|
|
267 |
|
|
|
289 |
|
| FNMA Connecticut Avenue Securities, Ser 2016-C04, Cl 1M2 |
|
|
|
|
|
|
|
|
| 6.042%, VAR ICE LIBOR USD 1 Month+4.250%, 01/25/2029 |
|
|
95 |
|
|
|
101 |
|
| FNMA Connecticut Avenue Securities, Ser 2016-C06, Cl 1M1 |
|
|
|
|
|
|
|
|
| 3.092%, VAR ICE LIBOR USD 1 Month+1.300%, 04/25/2029 |
|
|
107 |
|
|
|
107 |
|
| FNMA Connecticut Avenue Securities, Ser 2016-C07, Cl 2M2 |
|
|
|
|
|
|
|
|
| 6.142%, VAR ICE LIBOR USD 1 Month+4.350%, 05/25/2029 |
|
|
129 |
|
|
|
136 |
|
|
|
|
|
|
|
|
|
|
| Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
| MORTGAGE-BACKED SECURITIES (continued) |
|
| FNMA Connecticut Avenue Securities, Ser 2017-C01, Cl 1M1 |
|
|
|
|
|
|
|
|
| 3.092%, VAR ICE LIBOR USD 1 Month+1.300%, 07/25/2029 |
|
$ |
27 |
|
|
$ |
27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,923 |
|
|
|
|
|
|
|
|
|
|
| Non-Agency Mortgage-Backed Obligation — 0.1% |
|
|
|
|
|
| Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-6, Cl 3A |
|
|
|
|
|
|
|
|
| 4.606%, 09/25/2034 (C) |
|
|
10 |
|
|
|
10 |
|
| COMM Mortgage Trust, Ser 2014-CCRE14, Cl A3 |
|
|
|
|
|
|
|
|
| 3.955%, 02/10/2047 |
|
|
70 |
|
|
|
74 |
|
| JPMorgan Mortgage Trust, Ser 2004-A5, Cl 3A1 |
|
|
|
|
|
|
|
|
| 4.008%, 12/25/2034 (C) |
|
|
32 |
|
|
|
33 |
|
| LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2 |
|
|
|
|
|
|
|
|
| 2.579%, 03/10/2049 (A) |
|
|
159 |
|
|
|
157 |
|
| Wells Fargo Commercial Mortgage Trust, Ser 2015-C28, Cl A3 |
|
|
|
|
|
|
|
|
| 3.290%, 05/15/2048 |
|
|
119 |
|
|
|
124 |
|
| Wells Fargo Commercial Mortgage Trust, Ser 2015-C30, Cl A3 |
|
|
|
|
|
|
|
|
| 3.411%, 09/15/2058 |
|
|
80 |
|
|
|
83 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
481 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Mortgage-Backed Securities
(Cost $2,352) ($ Thousands) |
|
|
|
|
|
|
2,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities — 99.8%
(Cost $499,760) ($ Thousands) |
|
|
|
|
|
$ |
512,734 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund at December 31, 2019, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long (Short) |
|
|
Expiration
Date |
|
Notional Amount
(Thousands) |
|
|
Value
(Thousands) |
|
|
Unrealized
Appreciation/Depreciation
(Thousands) |
|
|
|
|
|
|
|
| Australian 3-Year Bond |
|
|
131 |
|
|
Mar-2020 |
|
$ |
10,397 |
|
|
$ |
10,591 |
|
|
$ |
(69) |
|
|
|
|
|
|
|
| Australian 10-Year Bond |
|
|
14 |
|
|
Mar-2020 |
|
|
1,401 |
|
|
|
1,407 |
|
|
|
(23) |
|
|
|
|
|
|
|
| Australian 10-Year Bond |
|
|
8 |
|
|
Mar-2020 |
|
|
798 |
|
|
|
804 |
|
|
|
(14) |
|
|
|
|
|
|
|
| Canadian 5-Year Bond |
|
|
(22) |
|
|
Mar-2020 |
|
|
(2,007) |
|
|
|
(2,041) |
|
|
|
16 |
|
|
|
|
|
|
|
| Canadian 10-Year Bond |
|
|
16 |
|
|
Mar-2020 |
|
|
1,682 |
|
|
|
1,696 |
|
|
|
(30) |
|
|
|
|
|
|
|
| Canadian 10-Year Bond |
|
|
(7) |
|
|
Mar-2020 |
|
|
(734) |
|
|
|
(742) |
|
|
|
3 |
|
|
|
|
|
|
|
| Euro |
|
|
(240) |
|
|
Mar-2020 |
|
|
(33,511) |
|
|
|
(33,846) |
|
|
|
(335) |
|
|
|
|
|
|
|
| Euro-Bob |
|
|
(57) |
|
|
Mar-2020 |
|
|
(8,466) |
|
|
|
(8,550) |
|
|
|
29 |
|
|
|
|
|
|
|
| Euro-Bob |
|
|
(17) |
|
|
Mar-2020 |
|
|
(2,529) |
|
|
|
(2,550) |
|
|
|
5 |
|
|
|
|
|
|
|
| Euro-BTP |
|
|
9 |
|
|
Mar-2020 |
|
|
1,416 |
|
|
|
1,439 |
|
|
|
3 |
|
|
|
|
|
|
|
| Euro-Bund |
|
|
44 |
|
|
Mar-2020 |
|
|
8,422 |
|
|
|
8,420 |
|
|
|
(105) |
|
|
|
|
|
|
|
| Euro-Bund |
|
|
(16) |
|
|
Mar-2020 |
|
|
(3,063) |
|
|
|
(3,062) |
|
|
|
33 |
|
|
|
|
|
|
|
| Euro-Buxl |
|
|
15 |
|
|
Mar-2020 |
|
|
3,400 |
|
|
|
3,340 |
|
|
|
(101) |
|
|
|
|
|
|
|
| Euro-Buxl |
|
|
(3) |
|
|
Mar-2020 |
|
|
(675) |
|
|
|
(668) |
|
|
|
16 |
|
|
|
|
|
|
|
| Euro-OAT |
|
|
(3) |
|
|
Mar-2020 |
|
|
(548) |
|
|
|
(548) |
|
|
|
7 |
|
|
|
|
|
|
|
| Euro-OAT |
|
|
6 |
|
|
Mar-2020 |
|
|
1,089 |
|
|
|
1,096 |
|
|
|
(8) |
|
|
|
|
|
|
|
| Euro-Schatz |
|
|
28 |
|
|
Mar-2020 |
|
|
3,471 |
|
|
|
3,517 |
|
|
|
(1) |
|
|
|
|
|
|
|
| Japanese 10-Year Bond |
|
|
23 |
|
|
Mar-2020 |
|
|
32,238 |
|
|
|
32,207 |
|
|
|
(38) |
|
|
|
|
|
|
|
| Japanese 10-Year Government Bond E-MINI |
|
|
23 |
|
|
Mar-2020 |
|
|
3,224 |
|
|
|
3,215 |
|
|
|
(9) |
|
|
|
|
|
|
|
| Japanese 10-Year Government Bond E-MINI |
|
|
(5) |
|
|
Mar-2020 |
|
|
(699) |
|
|
|
(699) |
|
|
|
– |
|
|
|
|
|
|
|
| Long Gilt 10-Year Bond |
|
|
(11) |
|
|
Mar-2020 |
|
|
(1,892) |
|
|
|
(1,915) |
|
|
|
9 |
|
|
|
|
|
|
|
| Long Gilt 10-Year Bond |
|
|
45 |
|
|
Mar-2020 |
|
|
7,674 |
|
|
|
7,832 |
|
|
|
(28) |
|
|
|
|
|
|
|
| U.S. 2-Year Treasury Note |
|
|
(37) |
|
|
Apr-2020 |
|
|
(7,970) |
|
|
|
(7,974) |
|
|
|
(4) |
|
|
|
|
|
|
|
| U.S. 2-Year Treasury Note |
|
|
28 |
|
|
Apr-2020 |
|
|
6,037 |
|
|
|
6,034 |
|
|
|
(3) |
|
|
|
|
|
|
|
| U.S. 5-Year Treasury Note |
|
|
40 |
|
|
Apr-2020 |
|
|
4,735 |
|
|
|
4,744 |
|
|
|
9 |
|
|
|
|
|
|
|
| U.S. 5-Year Treasury Note |
|
|
(22) |
|
|
Apr-2020 |
|
|
(2,619) |
|
|
|
(2,609) |
|
|
|
9 |
|
|
|
|
|
|
|
| U.S. 10-Year Treasury Note |
|
|
5 |
|
|
Mar-2020 |
|
|
648 |
|
|
|
642 |
|
|
|
(6) |
|
|
|
|
|
|
|
| U.S. 10-Year Treasury Note |
|
|
(110) |
|
|
Mar-2020 |
|
|
(14,174) |
|
|
|
(14,126) |
|
|
|
48 |
|
|
|
|
|
|
|
| U.S. Ultra Long Treasury Bond |
|
|
2 |
|
|
Mar-2020 |
|
|
374 |
|
|
|
363 |
|
|
|
(10) |
|
|
|
|
|
|
|
| U.S. Ultra Long Treasury Bond |
|
|
(15) |
|
|
Mar-2020 |
|
|
(2,757) |
|
|
|
(2,725) |
|
|
|
32 |
|
|
|
|
|
|
|
| Ultra 10-Year U.S. Treasury Note |
|
|
(37) |
|
|
Mar-2020 |
|
|
(5,274) |
|
|
|
(5,206) |
|
|
|
68 |
|
|
|
|
|
|
|
| Ultra 10-Year U.S. Treasury Note |
|
|
(12) |
|
|
Mar-2020 |
|
|
(1,709) |
|
|
|
(1,688) |
|
|
|
20 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,621) |
|
|
$ |
(1,602) |
|
|
$ |
(477) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open forward foreign currency contracts held by the Fund at December 31, 2019, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement Date |
|
|
|
|
Currency to Deliver
(Thousands) |
|
|
|
|
Currency to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
|
|
|
|
|
|
|
| Bank of America |
|
|
01/10/20 |
|
|
USD |
|
|
379 |
|
|
NOK |
|
|
3,473 |
|
|
$ |
17 |
|
|
|
|
|
|
|
|
| Bank of America |
|
|
01/10/20 |
|
|
USD |
|
|
580 |
|
|
TRY |
|
|
3,424 |
|
|
|
(6) |
|
|
|
|
|
|
|
|
| Bank of America |
|
|
01/10/20 |
|
|
SGD |
|
|
1,281 |
|
|
USD |
|
|
938 |
|
|
|
(15) |
|
|
|
|
|
|
|
|
| Bank of America |
|
|
01/10/20 |
|
|
USD |
|
|
441 |
|
|
JPY |
|
|
48,160 |
|
|
|
2 |
|
|
|
|
|
|
|
|
| Bank of America |
|
|
01/30/20 |
|
|
USD |
|
|
1,265 |
|
|
JPY |
|
|
137,016 |
|
|
|
(2) |
|
|
|
|
|
|
|
|
| Bank of America |
|
|
01/10/20 |
|
|
NOK |
|
|
4,564 |
|
|
USD |
|
|
498 |
|
|
|
(22) |
|
|
|
|
|
|
|
|
| Bank of America |
|
|
01/10/20 |
|
|
JPY |
|
|
24,057 |
|
|
USD |
|
|
222 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| Bank of America |
|
|
01/10/20 |
|
|
SEK |
|
|
43,964 |
|
|
USD |
|
|
4,595 |
|
|
|
(104) |
|
|
|
|
|
|
|
|
| Bank of America |
|
|
01/17/20 |
|
|
USD |
|
|
668 |
|
|
RUB |
|
|
42,864 |
|
|
|
21 |
|
|
|
|
|
|
|
|
| Bank of America |
|
|
01/24/20 |
|
|
EUR |
|
|
1,300 |
|
|
USD |
|
|
1,446 |
|
|
|
(15) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/07/20 |
|
|
USD |
|
|
91 |
|
|
JPY |
|
|
9,860 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/09/20 |
|
|
USD |
|
|
682 |
|
|
PLN |
|
|
2,623 |
|
|
|
11 |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
USD |
|
|
15 |
|
|
SEK |
|
|
147 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
USD |
|
|
43 |
|
|
CHF |
|
|
42 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
GBP |
|
|
54 |
|
|
USD |
|
|
71 |
|
|
|
(1) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
USD |
|
|
56 |
|
|
NOK |
|
|
510 |
|
|
|
2 |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
CHF |
|
|
106 |
|
|
USD |
|
|
108 |
|
|
|
(2) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
USD |
|
|
115 |
|
|
NZD |
|
|
174 |
|
|
|
3 |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
EUR |
|
|
125 |
|
|
USD |
|
|
140 |
|
|
|
(1) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
USD |
|
|
141 |
|
|
AUD |
|
|
205 |
|
|
|
3 |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
USD |
|
|
165 |
|
|
CAD |
|
|
219 |
|
|
|
4 |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
USD |
|
|
152 |
|
|
GBP |
|
|
116 |
|
|
|
2 |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
USD |
|
|
21 |
|
|
GBP |
|
|
16 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
CAD |
|
|
216 |
|
|
USD |
|
|
164 |
|
|
|
(3) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
AUD |
|
|
216 |
|
|
USD |
|
|
149 |
|
|
|
(3) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
NZD |
|
|
340 |
|
|
USD |
|
|
223 |
|
|
|
(7) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
USD |
|
|
435 |
|
|
TRY |
|
|
2,537 |
|
|
|
(9) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
USD |
|
|
808 |
|
|
EUR |
|
|
731 |
|
|
|
13 |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
NOK |
|
|
1,073 |
|
|
USD |
|
|
119 |
|
|
|
(3) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
ZAR |
|
|
1,079 |
|
|
USD |
|
|
77 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
TRY |
|
|
1,690 |
|
|
USD |
|
|
290 |
|
|
|
7 |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
SEK |
|
|
513 |
|
|
USD |
|
|
55 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
SEK |
|
|
1,389 |
|
|
USD |
|
|
147 |
|
|
|
(1) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
PLN |
|
|
3,560 |
|
|
USD |
|
|
909 |
|
|
|
(31) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
MXN |
|
|
5,660 |
|
|
USD |
|
|
297 |
|
|
|
(3) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
JPY |
|
|
1,600 |
|
|
USD |
|
|
15 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
JPY |
|
|
9,860 |
|
|
USD |
|
|
91 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
01/10/20 |
|
|
HUF |
|
|
74,958 |
|
|
USD |
|
|
246 |
|
|
|
(8) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
02/13/20 |
|
|
USD |
|
|
526 |
|
|
MYR |
|
|
2,206 |
|
|
|
15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement Date |
|
|
|
|
Currency to Deliver
(Thousands) |
|
|
|
|
Currency to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
|
02/13/20 |
|
|
MYR |
|
|
1,393 |
|
|
USD |
|
|
332 |
|
|
$ |
(10) |
|
|
|
|
|
|
|
|
| BNP Paribas |
|
|
01/10/20 |
|
|
AUD |
|
|
295 |
|
|
USD |
|
|
200 |
|
|
|
(8) |
|
|
|
|
|
|
|
|
| BNP Paribas |
|
|
01/10/20 |
|
|
USD |
|
|
318 |
|
|
JPY |
|
|
34,600 |
|
|
|
— |
|
|
|
|
|
|
|
|
| BNP Paribas |
|
|
01/10/20 |
|
|
USD |
|
|
1,031 |
|
|
EUR |
|
|
932 |
|
|
|
16 |
|
|
|
|
|
|
|
|
| BNP Paribas |
|
|
01/10/20 |
|
|
USD |
|
|
13,674 |
|
|
GBP |
|
|
10,484 |
|
|
|
217 |
|
|
|
|
|
|
|
|
| BNP Paribas |
|
|
01/10/20 |
|
|
MXN |
|
|
45,546 |
|
|
USD |
|
|
2,313 |
|
|
|
(96) |
|
|
|
|
|
|
|
|
| BNP Paribas |
|
|
01/10/20 |
|
|
THB |
|
|
69,880 |
|
|
USD |
|
|
2,313 |
|
|
|
(21) |
|
|
|
|
|
|
|
|
| BNP Paribas |
|
|
01/16/20 |
|
|
USD |
|
|
1,387 |
|
|
SGD |
|
|
1,885 |
|
|
|
15 |
|
|
|
|
|
|
|
|
| Brown Brothers Harriman |
|
|
01/09/20 |
|
|
PLN |
|
|
2 |
|
|
USD |
|
|
1 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Brown Brothers Harriman |
|
|
01/10/20 |
|
|
GBP |
|
|
328 |
|
|
USD |
|
|
438 |
|
|
|
3 |
|
|
|
|
|
|
|
|
| Brown Brothers Harriman |
|
|
01/10/20 |
|
|
USD |
|
|
406 |
|
|
GBP |
|
|
312 |
|
|
|
7 |
|
|
|
|
|
|
|
|
| Brown Brothers Harriman |
|
|
01/16/20 |
|
|
USD |
|
|
714 |
|
|
EUR |
|
|
640 |
|
|
|
6 |
|
|
|
|
|
|
|
|
| Brown Brothers Harriman |
|
|
01/16/20 - 02/10/20 |
|
|
EUR |
|
|
55,609 |
|
|
USD |
|
|
61,879 |
|
|
|
(657) |
|
|
|
|
|
|
|
|
| Brown Brothers Harriman |
|
|
01/23/20 |
|
|
USD |
|
|
125 |
|
|
CAD |
|
|
167 |
|
|
|
3 |
|
|
|
|
|
|
|
|
| Brown Brothers Harriman |
|
|
01/23/20 |
|
|
AUD |
|
|
7,739 |
|
|
USD |
|
|
5,344 |
|
|
|
(98) |
|
|
|
|
|
|
|
|
| Brown Brothers Harriman |
|
|
01/30/20 |
|
|
USD |
|
|
150 |
|
|
JPY |
|
|
16,411 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| Brown Brothers Harriman |
|
|
02/20/20 |
|
|
CNY |
|
|
22,954 |
|
|
USD |
|
|
3,285 |
|
|
|
(8) |
|
|
|
|
|
|
|
|
| CIBC |
|
|
01/10/20 |
|
|
USD |
|
|
398 |
|
|
JPY |
|
|
43,400 |
|
|
|
2 |
|
|
|
|
|
|
|
|
| Citi |
|
|
01/03/20 |
|
|
BRL |
|
|
2,953 |
|
|
USD |
|
|
718 |
|
|
|
(16) |
|
|
|
|
|
|
|
|
| Citi |
|
|
01/16/20 |
|
|
SGD |
|
|
1,902 |
|
|
USD |
|
|
1,397 |
|
|
|
(18) |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
GBP |
|
|
12 |
|
|
USD |
|
|
16 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
USD |
|
|
15 |
|
|
CAD |
|
|
20 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
AUD |
|
|
21 |
|
|
USD |
|
|
15 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
EUR |
|
|
22 |
|
|
USD |
|
|
24 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
USD |
|
|
26 |
|
|
AUD |
|
|
39 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
NZD |
|
|
76 |
|
|
USD |
|
|
50 |
|
|
|
(1) |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
USD |
|
|
82 |
|
|
NZD |
|
|
125 |
|
|
|
3 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
CAD |
|
|
106 |
|
|
USD |
|
|
80 |
|
|
|
(1) |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
USD |
|
|
334 |
|
|
EUR |
|
|
300 |
|
|
|
3 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
NOK |
|
|
402 |
|
|
USD |
|
|
44 |
|
|
|
(2) |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
USD |
|
|
436 |
|
|
TRY |
|
|
2,556 |
|
|
|
(7) |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
SEK |
|
|
462 |
|
|
USD |
|
|
49 |
|
|
|
(1) |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
USD |
|
|
758 |
|
|
SEK |
|
|
7,235 |
|
|
|
16 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
USD |
|
|
30 |
|
|
SEK |
|
|
277 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
CHF |
|
|
1,172 |
|
|
USD |
|
|
1,189 |
|
|
|
(22) |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
USD |
|
|
3,304 |
|
|
GBP |
|
|
2,515 |
|
|
|
28 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
ILS |
|
|
4,438 |
|
|
USD |
|
|
1,283 |
|
|
|
(2) |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
SGD |
|
|
12,446 |
|
|
USD |
|
|
9,183 |
|
|
|
(74) |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
JPY |
|
|
18,580 |
|
|
USD |
|
|
172 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/10/20 |
|
|
CNY |
|
|
46,854 |
|
|
USD |
|
|
6,669 |
|
|
|
(57) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement Date |
|
|
|
|
Currency to Deliver
(Thousands) |
|
|
|
|
Currency to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
|
|
|
|
|
|
|
| Commonwealth Bank Of Australia |
|
|
01/10/20 |
|
|
NZD |
|
|
18,783 |
|
|
USD |
|
|
12,085 |
|
|
$ |
(587) |
|
|
|
|
|
|
|
|
| Credit Agricole |
|
|
01/10/20 |
|
|
USD |
|
|
2,373 |
|
|
AUD |
|
|
3,452 |
|
|
|
54 |
|
|
|
|
|
|
|
|
| Credit Suisse First Boston |
|
|
01/03/20 |
|
|
USD |
|
|
2,033 |
|
|
BRL |
|
|
8,581 |
|
|
|
100 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/08/20 |
|
|
SEK |
|
|
19,799 |
|
|
USD |
|
|
2,060 |
|
|
|
(56) |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/10/20 |
|
|
USD |
|
|
434 |
|
|
TRY |
|
|
2,567 |
|
|
|
(3) |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/10/20 |
|
|
USD |
|
|
1,469 |
|
|
ZAR |
|
|
21,592 |
|
|
|
73 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/10/20 |
|
|
ZAR |
|
|
33,422 |
|
|
USD |
|
|
2,266 |
|
|
|
(122) |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/16/20 |
|
|
USD |
|
|
1,758 |
|
|
EUR |
|
|
1,582 |
|
|
|
18 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/30/20 |
|
|
JPY |
|
|
292,637 |
|
|
USD |
|
|
2,708 |
|
|
|
10 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
02/13/20 |
|
|
MYR |
|
|
2,800 |
|
|
USD |
|
|
665 |
|
|
|
(22) |
|
|
|
|
|
|
|
|
| HSBC |
|
|
01/10/20 |
|
|
EUR |
|
|
345 |
|
|
USD |
|
|
383 |
|
|
|
(4) |
|
|
|
|
|
|
|
|
| HSBC |
|
|
01/10/20 |
|
|
CNY |
|
|
11,391 |
|
|
USD |
|
|
1,631 |
|
|
|
(4) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/03/20 |
|
|
BRL |
|
|
1,436 |
|
|
USD |
|
|
354 |
|
|
|
(3) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
69 |
|
|
CHF |
|
|
68 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
CAD |
|
|
106 |
|
|
USD |
|
|
81 |
|
|
|
(1) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
143 |
|
|
AUD |
|
|
208 |
|
|
|
3 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
163 |
|
|
NZD |
|
|
247 |
|
|
|
4 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
GBP |
|
|
24 |
|
|
USD |
|
|
32 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
GBP |
|
|
150 |
|
|
USD |
|
|
196 |
|
|
|
(3) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
207 |
|
|
CAD |
|
|
273 |
|
|
|
3 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
114 |
|
|
GBP |
|
|
88 |
|
|
|
2 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
110 |
|
|
GBP |
|
|
82 |
|
|
|
(1) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
255 |
|
|
NOK |
|
|
2,340 |
|
|
|
11 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
AUD |
|
|
385 |
|
|
USD |
|
|
264 |
|
|
|
(6) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
NZD |
|
|
428 |
|
|
USD |
|
|
281 |
|
|
|
(8) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
NOK |
|
|
2,202 |
|
|
USD |
|
|
245 |
|
|
|
(6) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
2,228 |
|
|
EUR |
|
|
2,000 |
|
|
|
18 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
EUR |
|
|
2,321 |
|
|
USD |
|
|
2,576 |
|
|
|
(31) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
2,329 |
|
|
SEK |
|
|
22,246 |
|
|
|
49 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
45 |
|
|
SEK |
|
|
416 |
|
|
|
— |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
CHF |
|
|
15 |
|
|
USD |
|
|
16 |
|
|
|
— |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
CHF |
|
|
2,469 |
|
|
USD |
|
|
2,517 |
|
|
|
(34) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
SEK |
|
|
850 |
|
|
USD |
|
|
91 |
|
|
|
— |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
SEK |
|
|
2,037 |
|
|
USD |
|
|
216 |
|
|
|
(2) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
3,188 |
|
|
JPY |
|
|
348,379 |
|
|
|
20 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
USD |
|
|
181 |
|
|
JPY |
|
|
19,660 |
|
|
|
— |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
MXP |
|
|
5,602 |
|
|
USD |
|
|
290 |
|
|
|
(6) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
CNY |
|
|
6,266 |
|
|
USD |
|
|
890 |
|
|
|
(10) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
JPY |
|
|
33,370 |
|
|
USD |
|
|
308 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
JPY |
|
|
33,965 |
|
|
USD |
|
|
312 |
|
|
|
(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement Date |
|
|
|
|
Currency to Deliver
(Thousands) |
|
|
|
|
Currency to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/14/20 |
|
|
THB |
|
|
190,425 |
|
|
USD |
|
|
6,301 |
|
|
$ |
(58) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/16/20 |
|
|
USD |
|
|
1,699 |
|
|
IDR |
|
|
23,814,501 |
|
|
|
18 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/23/20 |
|
|
USD |
|
|
230 |
|
|
BRL |
|
|
962 |
|
|
|
9 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/23/20 |
|
|
USD |
|
|
1,097 |
|
|
KRW |
|
|
1,288,321 |
|
|
|
19 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/23/20 |
|
|
USD |
|
|
1,425 |
|
|
COP |
|
|
5,005,936 |
|
|
|
100 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/23/20 |
|
|
BRL |
|
|
5,233 |
|
|
USD |
|
|
1,225 |
|
|
|
(75) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/23/20 |
|
|
MXN |
|
|
60,617 |
|
|
USD |
|
|
3,079 |
|
|
|
(121) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/23/20 |
|
|
COP |
|
|
444,941 |
|
|
USD |
|
|
129 |
|
|
|
(7) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/23/20 |
|
|
JPY |
|
|
3,175,201 |
|
|
USD |
|
|
29,221 |
|
|
|
(35) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
USD |
|
|
898 |
|
|
EUR |
|
|
808 |
|
|
|
10 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
NOK |
|
|
917 |
|
|
USD |
|
|
101 |
|
|
|
(4) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
GBP |
|
|
1,038 |
|
|
USD |
|
|
1,352 |
|
|
|
(25) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
PLN |
|
|
2,253 |
|
|
USD |
|
|
582 |
|
|
|
(13) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
CAD |
|
|
2,688 |
|
|
USD |
|
|
2,035 |
|
|
|
(38) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
USD |
|
|
4,613 |
|
|
NOK |
|
|
42,069 |
|
|
|
176 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
AUD |
|
|
4,780 |
|
|
USD |
|
|
3,269 |
|
|
|
(92) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
CHF |
|
|
5,389 |
|
|
USD |
|
|
5,464 |
|
|
|
(111) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
USD |
|
|
6,010 |
|
|
GBP |
|
|
4,639 |
|
|
|
137 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
USD |
|
|
6,064 |
|
|
SEK |
|
|
58,093 |
|
|
|
150 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
SGD |
|
|
8,918 |
|
|
USD |
|
|
6,559 |
|
|
|
(76) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
NZD |
|
|
12,678 |
|
|
USD |
|
|
8,137 |
|
|
|
(417) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
EUR |
|
|
21,549 |
|
|
USD |
|
|
23,965 |
|
|
|
(256) |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
HUF |
|
|
1,354,877 |
|
|
USD |
|
|
4,525 |
|
|
|
(81) |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
USD |
|
|
15 |
|
|
CAD |
|
|
20 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
GBP |
|
|
23 |
|
|
USD |
|
|
30 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
USD |
|
|
29 |
|
|
GBP |
|
|
22 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
USD |
|
|
15 |
|
|
SEK |
|
|
143 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
USD |
|
|
15 |
|
|
SEK |
|
|
142 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
USD |
|
|
32 |
|
|
NOK |
|
|
295 |
|
|
|
2 |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
CAD |
|
|
35 |
|
|
USD |
|
|
27 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
USD |
|
|
44 |
|
|
EUR |
|
|
40 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
USD |
|
|
49 |
|
|
AUD |
|
|
72 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
NZD |
|
|
138 |
|
|
USD |
|
|
91 |
|
|
|
(2) |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
NOK |
|
|
134 |
|
|
USD |
|
|
15 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
NOK |
|
|
300 |
|
|
USD |
|
|
34 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
USD |
|
|
476 |
|
|
NZD |
|
|
730 |
|
|
|
16 |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
CHF |
|
|
1,992 |
|
|
USD |
|
|
2,003 |
|
|
|
(55) |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
USD |
|
|
2,715 |
|
|
CHF |
|
|
2,700 |
|
|
|
75 |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
USD |
|
|
5,455 |
|
|
JPY |
|
|
593,057 |
|
|
|
5 |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
AUD |
|
|
7,263 |
|
|
USD |
|
|
4,929 |
|
|
|
(177) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement Date |
|
|
|
|
Currency to Deliver
(Thousands) |
|
|
|
|
Currency to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
ZAR |
|
|
7,546 |
|
|
USD |
|
|
520 |
|
|
$ |
(19) |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
DKK |
|
|
7,862 |
|
|
USD |
|
|
1,162 |
|
|
|
(19) |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
TRY |
|
|
9,274 |
|
|
USD |
|
|
1,592 |
|
|
|
36 |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
CZK |
|
|
16,323 |
|
|
USD |
|
|
706 |
|
|
|
(15) |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 -02/06/20 |
|
|
EUR |
|
|
94,641 |
|
|
USD |
|
|
104,580 |
|
|
|
(1,744) |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
01/10/20 |
|
|
JPY |
|
|
4,382,732 |
|
|
USD |
|
|
40,317 |
|
|
|
(32) |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
02/13/20 |
|
|
USD |
|
|
516 |
|
|
MYR |
|
|
2,150 |
|
|
|
12 |
|
|
|
|
|
|
|
|
| Morgan Stanley |
|
|
02/13/20 |
|
|
MYR |
|
|
1,335 |
|
|
USD |
|
|
318 |
|
|
|
(10) |
|
|
|
|
|
|
|
|
| RBS |
|
|
01/23/20 |
|
|
EUR |
|
|
1,100 |
|
|
USD |
|
|
1,223 |
|
|
|
(14) |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/10/20 |
|
|
GBP |
|
|
8,437 |
|
|
USD |
|
|
10,875 |
|
|
|
(304) |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/10/20 |
|
|
CZK |
|
|
8,684 |
|
|
USD |
|
|
377 |
|
|
|
(7) |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
02/27/20 |
|
|
USD |
|
|
341 |
|
|
IDR |
|
|
4,793,890 |
|
|
|
4 |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/10/20 |
|
|
USD |
|
|
207 |
|
|
AUD |
|
|
295 |
|
|
|
— |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/10/20 |
|
|
EUR |
|
|
300 |
|
|
USD |
|
|
333 |
|
|
|
(4) |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/10/20 |
|
|
USD |
|
|
312 |
|
|
CAD |
|
|
405 |
|
|
|
— |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/10/20 |
|
|
USD |
|
|
425 |
|
|
GBP |
|
|
321 |
|
|
|
— |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/10/20 |
|
|
USD |
|
|
584 |
|
|
NZD |
|
|
889 |
|
|
|
15 |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/10/20 |
|
|
USD |
|
|
1,099 |
|
|
EUR |
|
|
979 |
|
|
|
— |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/10/20 |
|
|
USD |
|
|
4,280 |
|
|
JPY |
|
|
465,526 |
|
|
|
5 |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/10/20 |
|
|
THB |
|
|
6,869 |
|
|
USD |
|
|
227 |
|
|
|
(2) |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/10/20 |
|
|
JPY |
|
|
3,585,871 |
|
|
USD |
|
|
32,972 |
|
|
|
(41) |
|
|
|
|
|
|
|
|
| TD Securities |
|
|
01/10/20 |
|
|
CAD |
|
|
17,572 |
|
|
USD |
|
|
13,210 |
|
|
|
(342) |
|
|
|
|
|
|
|
|
| TD Securities |
|
|
01/10/20 |
|
|
GBP |
|
|
23,976 |
|
|
USD |
|
|
30,933 |
|
|
|
(835) |
|
|
|
|
|
|
|
|
| TD Securities |
|
|
01/10/20 |
|
|
JPY |
|
|
26,239 |
|
|
USD |
|
|
240 |
|
|
|
(1) |
|
|
|
|
|
|
|
|
| UBS |
|
|
01/03/20 |
|
|
BRL |
|
|
4,191 |
|
|
USD |
|
|
1,028 |
|
|
|
(14) |
|
|
|
|
|
|
|
|
| UBS |
|
|
01/10/20 |
|
|
CAD |
|
|
2,852 |
|
|
USD |
|
|
2,183 |
|
|
|
(17) |
|
|
|
|
|
|
|
|
| UBS |
|
|
01/16/20 |
|
|
USD |
|
|
829 |
|
|
EUR |
|
|
746 |
|
|
|
9 |
|
|
|
|
|
|
|
|
| UBS |
|
|
01/23/20 |
|
|
CAD |
|
|
14,644 |
|
|
USD |
|
|
11,019 |
|
|
|
(276) |
|
|
|
|
|
|
|
|
| UBS |
|
|
02/04/20 |
|
|
USD |
|
|
1,026 |
|
|
BRL |
|
|
4,191 |
|
|
|
14 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(5,978) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open OTC swap agreements held by the Fund at December 31, 2019, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps |
|
| Counterparty |
|
Reference Entity/Obligation |
|
Buy/Sell
Protection |
|
(Pays)/
Receives
Rate |
|
Payment
Frequency |
|
Termination
Date |
|
Notional
Amount (Thousands) |
|
Value
(Thousands) |
|
Upfront
Payments/
Receipts (Thousands) |
|
Net Unrealized
Appreciation
(Thousands) |
| Citigroup |
|
CMBX.NA.BBB.6 |
|
Sell |
|
3.00% |
|
Monthly |
|
05/11/2063 |
|
$(600) |
|
$ |
(30 |
) |
|
$ |
(45 |
) |
|
$ |
15 |
|
| Credit Suisse |
|
CMBX.NA.BBB.6 |
|
Sell |
|
3.00% |
|
Monthly |
|
05/11/2063 |
|
(127) |
|
|
(6 |
) |
|
|
(9 |
) |
|
|
3 |
|
| Credit Suisse |
|
CMBX.NA.BBB.6 |
|
Sell |
|
3.00% |
|
Monthly |
|
05/11/2063 |
|
(134) |
|
|
(7 |
) |
|
|
(8 |
) |
|
|
1 |
|
| Deutsche Bank |
|
CMBX.NA.BBB.6 |
|
Sell |
|
3.00% |
|
Monthly |
|
05/11/2063 |
|
(406) |
|
|
(20 |
) |
|
|
(28 |
) |
|
|
8 |
|
| Goldman Sachs |
|
CMBX.NA.BBB.6 |
|
Sell |
|
3.00% |
|
Monthly |
|
05/11/2063 |
|
(1,345) |
|
|
(68 |
) |
|
|
(163 |
) |
|
|
95 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(131 |
) |
|
$ |
(253 |
) |
|
$ |
122 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Counterparty |
|
Fund Pays |
|
|
Fund
Receives |
|
|
Payment
Frequency |
|
|
Termination
Date |
|
|
Currency |
|
|
Notional
Amount
(Thousands) |
|
|
Value
(Thousands) |
|
|
Upfront
Payments
(Thousands) |
|
|
Net Unrealized
(Depreciation)
(Thousands) |
|
| Deutsche Bank |
|
|
China 7-Day Reverse
Repo Rate |
|
|
|
2.985% |
|
|
|
Quarterly |
|
|
|
06/03/2024 |
|
|
|
CNY |
|
|
|
23,220 |
|
|
$ |
(7 |
) |
|
$ |
– |
|
|
$ |
(7 |
) |
| Deutsche Bank |
|
|
China 7-Day Reverse
Repo Rate |
|
|
|
2.755% |
|
|
|
Quarterly |
|
|
|
09/09/2024 |
|
|
|
CNY |
|
|
|
31,000 |
|
|
$ |
(25 |
) |
|
$ |
– |
|
|
$ |
(25 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(32 |
) |
|
$ |
– |
|
|
$ |
(32 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open centrally cleared swap agreements held by the Fund at December 31, 2019, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swap |
|
| Reference Entity/Obligation |
|
Buy/Sell
Protection |
|
|
(Pays)/
Receives
Rate |
|
|
Payment
Frequency |
|
|
Termination
Date |
|
|
Notional Amount
(Thousands) |
|
|
Value
(Thousands) |
|
Upfront Payments/
Receipts
(Thousands) |
|
Net Unrealized
Appreciation
(Thousands) |
| iTraxx Europe Series 32 |
|
|
Sell |
|
|
|
1.00% |
|
|
|
Quarterly |
|
|
|
12/20/2024 |
|
|
|
(2,160 |
) |
|
$ |
60 |
|
|
$ |
49 |
|
|
$ |
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
60 |
|
|
$ |
49 |
|
|
$ |
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swap |
|
| Fund Pays |
|
Fund Receives |
|
Payment
Frequency |
|
Termination
Date |
|
Currency |
|
Notional
Amount
(Thousands) |
|
|
Value
(Thousands) |
|
|
Upfront
Payments/
Receipts
(Thousands) |
|
|
Net Unrealized
(Depreciation)
(Thousands) |
|
| 1.6460% |
|
6-MONTH
GBP - LIBOR |
|
Semi-Annually |
|
10/03/2047 |
|
GBP |
|
|
460 |
|
|
|
(81 |
) |
|
|
– |
|
|
|
(81 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Percentages are based on Net Assets of $513,896 ($ Thousands). |
| (1) |
In U.S. Dollar unless otherwise indicated. |
| (A) |
Security 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 institutions. On December 31, 2019, the value of these securities amounted to $72,626 ($ Thousands), representing 14.1% of the Net Assets of the Fund. |
| (B) |
Security is in default on interest payment. |
| (C) |
Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest
rates and prepayments on the underlying pool of assets. |
| (D) |
Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of
purchase. |
AUD — Australian Dollar
BRL —
Brazilian Real
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
CNY — Chinese Yuan Onshore
COP — Colombian Peso
CZK — Czech Koruna
DKK — Danish Krone
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National
Mortgage Association
GBP — British Pound Sterling
HUF — Hungarian Forint
ICE— Intercontinental Exchange
IDR — Indonesian Rupiah
ILS — Israeli New Sheckels
JPY — Japanese Yen
KRW — Korean Won
LIBOR — London Interbank Offered Rate
L.P. — Limited Partnership
MTN — Medium Term Note
MXN — Mexican Peso
MYR — Malaysian Ringgit
NOK — Norwegian Krone
NZD — New Zealand Dollar
PLC — Public Limited Company
PLN — Polish Zloty
RUB — Russian Ruble
SGD — Singapore Dollar
SEK — Swedish Krona
THB — Thai Bhat
TRY — Turkish Lira
USD — U.S. Dollar
VAR — Variable Rate
ZAR — South African Rand
The following is a list of the level of inputs used as
of December 31, 2019, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| Investments in Securities |
|
Level 1
($) |
|
Level 2
($) |
|
Level 3
($) |
|
Total
($) |
| Global Bonds |
|
|
– |
|
|
|
489,669 |
|
|
|
– |
|
|
|
489,669 |
|
| U.S. Treasury Obligations |
|
|
– |
|
|
|
20,661 |
|
|
|
– |
|
|
|
20,661 |
|
| Mortgage-Backed Securities |
|
|
– |
|
|
|
2,404 |
|
|
|
– |
|
|
|
2,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
|
– |
|
|
|
512,734 |
|
|
|
– |
|
|
|
512,734 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1
($) |
|
Level 2
($) |
|
Level 3
($) |
|
Total
($) |
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
307 |
|
|
|
– |
|
|
|
– |
|
|
|
307 |
|
| Unrealized Depreciation |
|
|
(784 |
) |
|
|
– |
|
|
|
– |
|
|
|
(784 |
) |
| Forwards Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
– |
|
|
|
1,606 |
|
|
|
– |
|
|
|
1,606 |
|
| Unrealized Depreciation |
|
|
– |
|
|
|
(7,584 |
) |
|
|
– |
|
|
|
(7,584 |
) |
| Centrally Cleared Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
– |
|
|
|
11 |
|
|
|
– |
|
|
|
11 |
|
| Interest Rate Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
|
– |
|
|
|
(81 |
) |
|
|
– |
|
|
|
(81 |
) |
| OTC Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
– |
|
|
|
122 |
|
|
|
– |
|
|
|
122 |
|
| Interest Rate Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
|
– |
|
|
|
(32 |
) |
|
|
– |
|
|
|
(32 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
|
(477) |
|
|
|
(5,958) |
|
|
|
– |
|
|
|
(6,435) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*Futures contracts, forward contracts, and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.
For the period ended December 31, 2019, there were no transfers in or out of Level 3.
For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the
Fund’s most recent financial statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
As of December 31, 2019 the International Fixed Income Fund is the seller (“providing protection”) on a total
notional amount of $4.7 million. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the
Fund were the seller of protection and a credit event was to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WRITTEN CREDIT DERIVATIVE CONTRACTS |
|
SINGLE NAME CREDIT DEFAULT SWAPS |
|
|
CREDIT DEFAULT SWAP INDEX |
|
|
|
|
| REFERENCE ASSET |
|
Corporate
Debt |
|
|
Sovereign
Debt |
|
|
Asset Backed
Securities |
|
|
Corporate
Debt |
|
|
Total |
|
| Fair value of written credit derivatives |
|
|
$- |
|
|
|
$- |
|
|
|
$(131,987) |
|
|
|
$59,990 |
|
|
|
$(71,997 |
) |
| Maximum potential amount of future payments |
|
|
- |
|
|
|
- |
|
|
|
2,612,000 |
|
|
|
2,160,000 |
|
|
|
4,772,000 |
|
| Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any
purchased credit protection)[1] |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| Collateral held by the Fund can obtain upon occurrence of triggering event |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
[1] Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an
identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been
included.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM |
|
| |
|
0-6 MONTHS |
|
|
6-12 MONTHS |
|
|
1-5 YEARS |
|
|
5-10 YEARS |
|
|
> 10 YEARS |
|
|
Total |
|
| Current credit spread* on underlying (in basis
points)[1] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 0-400 |
|
|
$- |
|
|
|
$- |
|
|
|
$- |
|
|
|
$- |
|
|
|
$- |
|
|
|
$- |
|
| > than 400 |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
2,160,000 |
|
|
|
2,612,000 |
|
|
|
4,772,000 |
|
| Total |
|
|
$- |
|
|
|
$- |
|
|
|
$- |
|
|
|
$2,160,000 |
|
|
|
$2,612,000 |
|
|
|
$4,772,000 |
|
[1] If Management uses credit ratings to evaluate the credit risk of an underlying asset, it may use such ratings in its disclosure by
replacing credit spreads by credit ratings.
* The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the
Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher
likelihood of performance by the Fund.
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2019
Emerging Markets Debt Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS — 96.1% |
|
|
|
|
|
| Albania — 0.0% |
|
|
|
|
|
| Albania Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 10/09/2025 |
|
|
EUR |
|
|
|
403 |
|
|
$ |
493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Angola — 1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Angolan Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.375%, 05/08/2048 |
|
|
|
|
|
|
4,972 |
|
|
|
5,447 |
|
| 9.375%, 05/08/2048 (A) |
|
|
|
|
|
|
217 |
|
|
|
238 |
|
| 8.250%, 05/09/2028 |
|
|
|
|
|
|
926 |
|
|
|
998 |
|
| Angolan Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.125%, 11/26/2049 (A) |
|
|
|
|
|
|
2,730 |
|
|
|
2,916 |
|
| 9.125%, 11/26/2049 |
|
|
|
|
|
|
659 |
|
|
|
704 |
|
| 8.000%, 11/26/2029 (A) |
|
|
|
|
|
|
1,337 |
|
|
|
1,424 |
|
| 8.000%, 11/26/2029 |
|
|
|
|
|
|
332 |
|
|
|
354 |
|
| Republic of Angola Via Avenir II BV MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.412%, VAR ICE LIBOR USD 6 Month+7.500%, 07/01/2023 |
|
|
|
|
|
|
4,554 |
|
|
|
4,945 |
|
| 6.388%, VAR ICE LIBOR USD 6 Month+4.500%, 12/07/2023 |
|
|
|
|
|
|
621 |
|
|
|
589 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,615 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Argentina — 1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| Adecoagro |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.000%, 09/21/2027 (A) |
|
|
|
|
|
|
1,071 |
|
|
|
1,072 |
|
| Argentina Treasury Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.500%, 07/22/2021 |
|
|
ARS |
|
|
|
2,000 |
|
|
|
54 |
|
| Argentine Republic Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 56.590%, VAR Argentina Central Bank 7 Day Repo Rate0.000%, 06/21/2020 |
|
|
ARS |
|
|
|
10,231 |
|
|
|
112 |
|
| 18.200%, 10/03/2021 |
|
|
ARS |
|
|
|
5,928 |
|
|
|
37 |
|
| 7.820%, 12/31/2033 |
|
|
EUR |
|
|
|
4,184 |
|
|
|
2,596 |
|
| 7.820%, 12/31/2033 |
|
|
EUR |
|
|
|
18,341 |
|
|
|
11,863 |
|
| 6.875%, 04/22/2021 |
|
|
|
|
|
|
4,894 |
|
|
|
2,643 |
|
| 5.875%, 01/11/2028 |
|
|
|
|
|
|
4,023 |
|
|
|
1,891 |
|
| 5.000%, 01/15/2027 (B) |
|
|
EUR |
|
|
|
415 |
|
|
|
205 |
|
| 4.740%, 03/31/2029 |
|
|
EUR |
|
|
|
7,800 |
|
|
|
3,941 |
|
| 4.625%, 01/11/2023 (B) |
|
|
|
|
|
|
314 |
|
|
|
155 |
|
| 4.500%, 02/13/2020 |
|
|
|
|
|
|
2,955 |
|
|
|
1,669 |
|
| 3.375%, 01/15/2023 |
|
|
EUR |
|
|
|
800 |
|
|
|
402 |
|
| Autonomous City of Buenos Aires Argentina |
|
|
|
|
|
|
|
|
|
|
|
|
| 44.086%, VAR 30-35d Argentina BADLAR Private Banks+3.250%, 03/29/2024 |
|
|
ARS |
|
|
|
19,152 |
|
|
|
270 |
|
| Bonos de la Nacion Argentina con Ajuste por CER |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000%, 03/06/2020 |
|
|
ARS |
|
|
|
23,296 |
|
|
|
592 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Provincia de Buenos Aires |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.875%, 06/15/2027 |
|
|
|
|
|
|
2,762 |
|
|
$ |
1,174 |
|
| 5.375%, 01/20/2023 |
|
|
EUR |
|
|
|
620 |
|
|
|
259 |
|
| Provincia de Cordoba |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.125%, 06/10/2021 (A) |
|
|
|
|
|
|
531 |
|
|
|
390 |
|
| Rio Energy |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.875%, 02/01/2025 (A) |
|
|
|
|
|
|
1,285 |
|
|
|
784 |
|
| 6.875%, 02/01/2025 (B) |
|
|
|
|
|
|
94 |
|
|
|
57 |
|
| YPF MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 63.354%, VAR 30-35d Argentina BADLAR Private Banks+4.000%, 07/07/2020 |
|
|
|
|
|
|
368 |
|
|
|
92 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Armenia — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Republic of Armenia International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.950%, 09/26/2029 (B) |
|
|
|
|
|
|
758 |
|
|
|
750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Azerbaijan — 1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Republic of Azerbaijan International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.125%, 09/01/2029 |
|
|
|
|
|
|
1,711 |
|
|
|
1,861 |
|
| 4.750%, 03/18/2024 |
|
|
|
|
|
|
1,006 |
|
|
|
1,077 |
|
| 3.500%, 09/01/2032 (A) |
|
|
|
|
|
|
507 |
|
|
|
498 |
|
| Southern Gas Corridor CJSC |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.875%, 03/24/2026 (A) |
|
|
|
|
|
|
1,437 |
|
|
|
1,702 |
|
| 6.875%, 03/24/2026 (A) |
|
|
|
|
|
|
842 |
|
|
|
997 |
|
| 6.875%, 03/24/2026 |
|
|
|
|
|
|
6,045 |
|
|
|
7,159 |
|
| State Oil of the Azerbaijan Republic |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.950%, 03/18/2030 |
|
|
|
|
|
|
2,310 |
|
|
|
2,834 |
|
| 6.950%, 03/18/2030 |
|
|
|
|
|
|
611 |
|
|
|
750 |
|
| State Oil of the Azerbaijan Republic MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.750%, 03/13/2023 |
|
|
|
|
|
|
1,300 |
|
|
|
1,366 |
|
| 4.750%, 03/13/2023 |
|
|
|
|
|
|
2,353 |
|
|
|
2,473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,717 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bahrain — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| Bahrain Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.500%, 09/20/2047 (A) |
|
|
|
|
|
|
463 |
|
|
|
564 |
|
| 7.000%, 01/26/2026 (A) |
|
|
|
|
|
|
295 |
|
|
|
347 |
|
| 6.750%, 09/20/2029 (A) |
|
|
|
|
|
|
836 |
|
|
|
976 |
|
| 6.750%, 09/20/2029 |
|
|
|
|
|
|
200 |
|
|
|
233 |
|
| 6.125%, 08/01/2023 |
|
|
|
|
|
|
520 |
|
|
|
574 |
|
| 5.625%, 09/30/2031 (A) |
|
|
|
|
|
|
1,826 |
|
|
|
1,957 |
|
| Oil and Gas Holding BSCC |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.375%, 11/07/2028 |
|
|
|
|
|
|
1,021 |
|
|
|
1,238 |
|
| 8.375%, 11/07/2028 (A) |
|
|
|
|
|
|
560 |
|
|
|
679 |
|
| 7.625%, 11/07/2024 (A) |
|
|
|
|
|
|
1,158 |
|
|
|
1,344 |
|
| 7.500%, 10/25/2027 |
|
|
|
|
|
|
200 |
|
|
|
231 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Belarus — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Republic of Belarus International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.625%, 06/29/2027 |
|
|
|
|
|
|
1,000 |
|
|
|
1,136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| 6.200%, 02/28/2030 |
|
|
|
|
|
|
358 |
|
|
$ |
380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Belize — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Belize Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 02/20/2034 |
|
|
|
|
|
|
1,117 |
|
|
|
690 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Benin — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Benin Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, 03/26/2026 (A) |
|
|
EUR |
|
|
|
1,688 |
|
|
|
1,967 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bermuda — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Bermuda Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.854%, 02/06/2024 |
|
|
|
|
|
|
868 |
|
|
|
945 |
|
| 4.750%, 02/15/2029 |
|
|
|
|
|
|
1,204 |
|
|
|
1,359 |
|
| 3.717%, 01/25/2027 |
|
|
|
|
|
|
1,521 |
|
|
|
1,597 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,901 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bolivia — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Bolivian Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 03/20/2028 |
|
|
|
|
|
|
700 |
|
|
|
707 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Brazil — 6.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Brazil Letras do Tesouro Nacional (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 11.065%, 07/01/2021 |
|
|
BRL |
|
|
|
5,000 |
|
|
|
1,157 |
|
| 9.896%, 01/01/2022 |
|
|
BRL |
|
|
|
8,000 |
|
|
|
1,795 |
|
| 8.579%, 07/01/2020 |
|
|
BRL |
|
|
|
937 |
|
|
|
228 |
|
| 8.236%, 04/01/2020 |
|
|
BRL |
|
|
|
3,000 |
|
|
|
738 |
|
| Brazil Loan Trust 1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.477%, 07/24/2023 (A) |
|
|
|
|
|
|
1,376 |
|
|
|
1,426 |
|
| 5.477%, 07/24/2023 |
|
|
|
|
|
|
217 |
|
|
|
224 |
|
| Brazil Minas SPE via State of Minas Gerais |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.333%, 02/15/2028 (B) |
|
|
|
|
|
|
2,187 |
|
|
|
2,345 |
|
| 5.333%, 02/15/2028 |
|
|
|
|
|
|
1,176 |
|
|
|
1,261 |
|
| 5.333%, 02/15/2028 (A) |
|
|
|
|
|
|
202 |
|
|
|
216 |
|
| Brazil Notas do Tesouro Nacional, Serie B |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.000%, 08/15/2020 |
|
|
BRL |
|
|
|
2,318 |
|
|
|
1,958 |
|
| 6.000%, 05/15/2045 |
|
|
BRL |
|
|
|
3,475 |
|
|
|
3,998 |
|
| 6.000%, 08/15/2050 |
|
|
BRL |
|
|
|
3,455 |
|
|
|
4,113 |
|
| Brazil Notas do Tesouro Nacional, Serie F |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.000%, 01/01/2021 |
|
|
BRL |
|
|
|
69,753 |
|
|
|
18,226 |
|
| 10.000%, 01/01/2023 |
|
|
BRL |
|
|
|
56,715 |
|
|
|
15,676 |
|
| 10.000%, 01/01/2025 |
|
|
BRL |
|
|
|
32,832 |
|
|
|
9,382 |
|
| 10.000%, 01/01/2027 |
|
|
BRL |
|
|
|
30,000 |
|
|
|
8,794 |
|
| 10.000%, 01/01/2029 |
|
|
BRL |
|
|
|
13,032 |
|
|
|
3,916 |
|
| Brazilian Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.250%, 01/20/2034 |
|
|
|
|
|
|
370 |
|
|
|
510 |
|
| 6.000%, 04/07/2026 |
|
|
|
|
|
|
1,238 |
|
|
|
1,445 |
|
| 5.000%, 01/27/2045 (B) |
|
|
|
|
|
|
327 |
|
|
|
340 |
|
| 4.750%, 01/14/2050 |
|
|
|
|
|
|
2,667 |
|
|
|
2,635 |
|
| 4.625%, 01/13/2028 |
|
|
|
|
|
|
40 |
|
|
|
43 |
|
| 4.500%, 05/30/2029 |
|
|
|
|
|
|
7,061 |
|
|
|
7,481 |
|
| CSN Resources (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.625%, 02/13/2023 |
|
|
|
|
|
|
694 |
|
|
|
740 |
|
| 7.625%, 04/17/2026 |
|
|
|
|
|
|
763 |
|
|
|
812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Gol Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.000%, 01/31/2025 (A)(B) |
|
|
|
|
|
|
998 |
|
|
$ |
1,028 |
|
| JBS Investments II GmbH |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, 01/15/2028 (A) |
|
|
|
|
|
|
466 |
|
|
|
491 |
|
| Minerva Luxembourg |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.500%, 09/20/2026 (A)(B) |
|
|
|
|
|
|
741 |
|
|
|
788 |
|
| MV24 Capital BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.748%, 06/01/2034 (A) |
|
|
|
|
|
|
883 |
|
|
|
932 |
|
| Nexa Resources |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.375%, 05/04/2027 (A) |
|
|
|
|
|
|
2,891 |
|
|
|
3,093 |
|
| Petrobras Global Finance BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.900%, 03/19/2049 |
|
|
|
|
|
|
1,506 |
|
|
|
1,767 |
|
| Rumo Luxembourg Sarl |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.375%, 02/09/2024 (A) |
|
|
|
|
|
|
847 |
|
|
|
913 |
|
| 7.375%, 02/09/2024 |
|
|
|
|
|
|
750 |
|
|
|
808 |
|
| Suzano Austria GmbH (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.000%, 03/16/2047 |
|
|
|
|
|
|
399 |
|
|
|
469 |
|
| 6.000%, 01/15/2029 |
|
|
|
|
|
|
688 |
|
|
|
776 |
|
| 5.000%, 01/15/2030 |
|
|
|
|
|
|
494 |
|
|
|
519 |
|
| Votorantim Cimentos International |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.250%, 04/05/2041 |
|
|
|
|
|
|
940 |
|
|
|
1,193 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
102,236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cameroon — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Republic of Cameroon International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.500%, 11/19/2025 (A) |
|
|
|
|
|
|
324 |
|
|
|
363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cayman Islands — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Bioceanico Sovereign Certificate Ltd |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.592%, 06/05/2034 (C) |
|
|
|
|
|
|
1,678 |
|
|
|
1,168 |
|
| Neon Capital MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 215.437%, 01/06/2028 (D) |
|
|
JPY |
|
|
|
347,452 |
|
|
|
2,652 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Chile — 2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Banco de Credito e Inversiones |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 10/12/2027 (A) |
|
|
|
|
|
|
1,046 |
|
|
|
1,069 |
|
| Bonos de la Tesoreria de la Republica en pesos |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.000%, 01/01/2020 |
|
|
CLP |
|
|
|
80,000 |
|
|
|
109 |
|
| 6.000%, 01/01/2043 |
|
|
CLP |
|
|
|
3,160,000 |
|
|
|
5,810 |
|
| 5.100%, 07/15/2050 |
|
|
CLP |
|
|
|
75,000 |
|
|
|
123 |
|
| 5.000%, 03/01/2035 |
|
|
CLP |
|
|
|
720,000 |
|
|
|
1,122 |
|
| 4.700%, 09/01/2030 (A) |
|
|
CLP |
|
|
|
4,175,000 |
|
|
|
6,317 |
|
| 4.500%, 03/01/2026 |
|
|
CLP |
|
|
|
1,980,000 |
|
|
|
2,943 |
|
| Cencosud |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.375%, 07/17/2027 (A) |
|
|
|
|
|
|
1,819 |
|
|
|
1,791 |
|
| Chile Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 01/25/2050 |
|
|
|
|
|
|
3,040 |
|
|
|
3,150 |
|
| Empresa Electrica Angamos |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.875%, 05/25/2029 (A) |
|
|
|
|
|
|
1,082 |
|
|
|
1,115 |
|
| Empresa Nacional del Petroleo |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.750%, 12/06/2021 |
|
|
|
|
|
|
1,621 |
|
|
|
1,682 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.750%, 08/05/2026 |
|
|
|
|
|
|
749 |
|
|
$ |
766 |
|
| Geopark |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.500%, 09/21/2024 (A) |
|
|
|
|
|
|
492 |
|
|
|
513 |
|
| Nacional del Cobre de Chile |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.625%, 10/18/2043 |
|
|
|
|
|
|
442 |
|
|
|
554 |
|
| 4.500%, 09/16/2025 (A) |
|
|
|
|
|
|
2,281 |
|
|
|
2,465 |
|
| 4.375%, 02/05/2049 (A)(B) |
|
|
|
|
|
|
2,627 |
|
|
|
2,824 |
|
| 3.625%, 08/01/2027 (A) |
|
|
|
|
|
|
368 |
|
|
|
383 |
|
| 3.625%, 08/01/2027 (B) |
|
|
|
|
|
|
353 |
|
|
|
367 |
|
| 3.000%, 09/30/2029 (A) |
|
|
|
|
|
|
1,006 |
|
|
|
992 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| China — 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Alibaba Group Holding |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.200%, 12/06/2047 |
|
|
|
|
|
|
310 |
|
|
|
344 |
|
| Charming Light Investments MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.375%, 12/21/2027 (B) |
|
|
|
|
|
|
1,600 |
|
|
|
1,711 |
|
| China Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.250%, 10/19/2023 (B) |
|
|
|
|
|
|
1,535 |
|
|
|
1,606 |
|
| China Minmetals |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.450%, VAR US Treas Yield Curve Rate T Note Const Mat 3 Yr+6.070%, 11/13/2168 |
|
|
|
|
|
|
640 |
|
|
|
650 |
|
| 3.750%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.717%, 05/13/2168 |
|
|
|
|
|
|
2,047 |
|
|
|
2,072 |
|
| Chinalco Capital Holdings |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 04/21/2022 (B) |
|
|
|
|
|
|
740 |
|
|
|
751 |
|
| 4.100%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+5.788%, 03/11/2168 |
|
|
|
|
|
|
224 |
|
|
|
226 |
|
| CNAC HK Finbridge |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.125%, 03/14/2028 (B) |
|
|
|
|
|
|
1,779 |
|
|
|
2,001 |
|
| 4.625%, 03/14/2023 |
|
|
|
|
|
|
294 |
|
|
|
309 |
|
| 3.375%, 06/19/2024 |
|
|
|
|
|
|
592 |
|
|
|
602 |
|
| Dianjian Haiyu |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.300%, 12/20/2168 |
|
|
|
|
|
|
204 |
|
|
|
209 |
|
| Dianjian International Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.600%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr +6.933%, 07/19/2168 |
|
|
|
|
|
|
303 |
|
|
|
313 |
|
| ENN Clean Energy International Investment |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.500%, 02/27/2021 |
|
|
|
|
|
|
475 |
|
|
|
489 |
|
| HBIS Group Hong Kong |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 04/07/2020 |
|
|
|
|
|
|
684 |
|
|
|
681 |
|
| Huarong Finance 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+7.773%, 07/24/2168 |
|
|
|
|
|
|
1,378 |
|
|
|
1,400 |
|
| Leader Goal International Ltd MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 07/19/2168 (D) |
|
|
|
|
|
|
212 |
|
|
|
217 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Sinopec Group Overseas Development 2016 |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.750%, 09/29/2026 |
|
|
|
|
|
|
1,066 |
|
|
$ |
1,059 |
|
| Sinopec Group Overseas Development 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.625%, 04/12/2027 (B) |
|
|
|
|
|
|
2,458 |
|
|
|
2,577 |
|
| Sinopec Group Overseas Development 2018 |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 09/12/2028 (B) |
|
|
|
|
|
|
1,616 |
|
|
|
1,782 |
|
| 2.500%, 08/08/2024 (A) |
|
|
|
|
|
|
3,010 |
|
|
|
3,019 |
|
| Wanda Properties International |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.250%, 01/29/2024 |
|
|
|
|
|
|
400 |
|
|
|
394 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Colombia — 4.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| Bancolombia |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.625%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+2.944%, 12/18/2029 |
|
|
|
|
|
|
821 |
|
|
|
832 |
|
| Colombian TES |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.000%, 07/24/2024 |
|
|
COP |
|
|
|
8,219,100 |
|
|
|
6,572 |
|
| 7.750%, 09/18/2030 |
|
|
COP |
|
|
|
9,427,100 |
|
|
|
3,176 |
|
| 7.500%, 08/26/2026 |
|
|
COP |
|
|
|
6,166,400 |
|
|
|
12,032 |
|
| 7.250%, 10/18/2034 |
|
|
COP |
|
|
|
6,609,500 |
|
|
|
2,136 |
|
| 7.000%, 05/04/2022 |
|
|
COP |
|
|
|
8,296,600 |
|
|
|
5,820 |
|
| 7.000%, 06/30/2032 |
|
|
COP |
|
|
|
7,110,200 |
|
|
|
2,262 |
|
| 6.250%, 11/26/2025 |
|
|
COP |
|
|
|
1,502,600 |
|
|
|
9,878 |
|
| 6.000%, 04/28/2028 |
|
|
COP |
|
|
|
9,219,700 |
|
|
|
5,829 |
|
| 4.750%, 04/04/2035 |
|
|
COP |
|
|
|
1,170,600 |
|
|
|
1,235 |
|
| Ecopetrol |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.875%, 09/18/2023 |
|
|
|
|
|
|
902 |
|
|
|
998 |
|
| Emgesa ESP |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.750%, 01/25/2021 |
|
|
COP |
|
|
|
870,000 |
|
|
|
273 |
|
| Empresas Publicas de Medellin ESP (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.375%, 11/08/2027 |
|
|
COP |
|
|
|
1,760,000 |
|
|
|
565 |
|
| 7.625%, 09/10/2024 |
|
|
COP |
|
|
|
3,116,000 |
|
|
|
987 |
|
| Financiera de Desarrollo Territorial Findeter |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.875%, 08/12/2024 (A) |
|
|
COP |
|
|
|
1,127,000 |
|
|
|
362 |
|
| 7.875%, 08/12/2024 |
|
|
COP |
|
|
|
884,000 |
|
|
|
284 |
|
| Republic of Colombia |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.850%, 06/28/2027 |
|
|
COP |
|
|
|
5,060,000 |
|
|
|
1,934 |
|
| 8.125%, 05/21/2024 |
|
|
|
|
|
|
1,127 |
|
|
|
1,386 |
|
| 7.750%, 04/14/2021 |
|
|
COP |
|
|
|
3,331,000 |
|
|
|
1,046 |
|
| 7.375%, 09/18/2037 |
|
|
|
|
|
|
971 |
|
|
|
1,379 |
|
| 6.125%, 01/18/2041 |
|
|
|
|
|
|
1,584 |
|
|
|
2,050 |
|
| 5.625%, 02/26/2044 |
|
|
|
|
|
|
132 |
|
|
|
164 |
|
| 5.200%, 05/15/2049 |
|
|
|
|
|
|
1,986 |
|
|
|
2,390 |
|
| 5.000%, 06/15/2045 |
|
|
|
|
|
|
2,922 |
|
|
|
3,394 |
|
| 4.500%, 01/28/2026 (B) |
|
|
|
|
|
|
2,352 |
|
|
|
2,562 |
|
| 4.500%, 03/15/2029 |
|
|
|
|
|
|
2,559 |
|
|
|
2,838 |
|
| 4.375%, 03/21/2023 |
|
|
COP |
|
|
|
2,871,000 |
|
|
|
856 |
|
| 4.000%, 02/26/2024 (B) |
|
|
|
|
|
|
965 |
|
|
|
1,017 |
|
| 3.875%, 04/25/2027 |
|
|
|
|
|
|
946 |
|
|
|
1,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
75,257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Costa Rica — 0.6% |
|
|
|
|
|
| Costa Rica Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.158%, 03/12/2045 |
|
|
|
|
|
|
912 |
|
|
$ |
971 |
|
| 7.158%, 03/12/2045 |
|
|
|
|
|
|
2,444 |
|
|
|
2,603 |
|
| 7.158%, 03/12/2045 (A) |
|
|
|
|
|
|
587 |
|
|
|
625 |
|
| 7.000%, 04/04/2044 |
|
|
|
|
|
|
1,208 |
|
|
|
1,272 |
|
| 7.000%, 04/04/2044 |
|
|
|
|
|
|
230 |
|
|
|
242 |
|
| 6.125%, 02/19/2031 |
|
|
|
|
|
|
905 |
|
|
|
963 |
|
| 6.125%, 02/19/2031 (A) |
|
|
|
|
|
|
740 |
|
|
|
787 |
|
| 4.375%, 04/30/2025 (B) |
|
|
|
|
|
|
662 |
|
|
|
660 |
|
| 4.250%, 01/26/2023 |
|
|
|
|
|
|
870 |
|
|
|
874 |
|
| Instituto Costarricense de Electricidad |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.375%, 05/15/2043 |
|
|
|
|
|
|
250 |
|
|
|
215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Croatia — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Croatia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.625%, 07/14/2020 |
|
|
|
|
|
|
1,547 |
|
|
|
1,583 |
|
| 2.750%, 01/27/2030 |
|
|
EUR |
|
|
|
1,969 |
|
|
|
2,633 |
|
| 1.125%, 06/19/2029 |
|
|
EUR |
|
|
|
963 |
|
|
|
1,114 |
|
|
|
|
|
|
|
|
|
|
|
|
5,330 |
|
| Czech Republic — 1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Czech Republic Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.200%, 12/04/2036 |
|
|
CZK |
|
|
|
28,000 |
|
|
|
1,666 |
|
| 2.750%, 07/23/2029 |
|
|
CZK |
|
|
|
121,500 |
|
|
|
5,876 |
|
| 2.500%, 08/25/2028 |
|
|
CZK |
|
|
|
41,920 |
|
|
|
1,984 |
|
| 2.400%, 09/17/2025 |
|
|
CZK |
|
|
|
144,900 |
|
|
|
6,682 |
|
| 2.000%, 10/13/2033 |
|
|
CZK |
|
|
|
36,060 |
|
|
|
1,625 |
|
| 1.000%, 06/26/2026 |
|
|
CZK |
|
|
|
32,290 |
|
|
|
1,371 |
|
| 0.950%, 05/15/2030 |
|
|
CZK |
|
|
|
69,140 |
|
|
|
2,846 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Dominican Republic — 1.0% |
|
|
|
|
|
| Dominican Republic International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 11.250%, 02/05/2027 |
|
|
DOP |
|
|
|
14,500 |
|
|
|
289 |
|
| 9.750%, 06/05/2026 (A) |
|
|
DOP |
|
|
|
25,300 |
|
|
|
488 |
|
| 8.900%, 02/15/2023 (A) |
|
|
DOP |
|
|
|
65,750 |
|
|
|
1,235 |
|
| 7.450%, 04/30/2044 (A) |
|
|
|
|
|
|
687 |
|
|
|
829 |
|
| 6.875%, 01/29/2026 |
|
|
|
|
|
|
575 |
|
|
|
656 |
|
| 6.850%, 01/27/2045 |
|
|
|
|
|
|
1,050 |
|
|
|
1,198 |
|
| 6.850%, 01/27/2045 (A) |
|
|
|
|
|
|
479 |
|
|
|
547 |
|
| 6.600%, 01/28/2024 |
|
|
|
|
|
|
656 |
|
|
|
729 |
|
| 6.500%, 02/15/2048 |
|
|
|
|
|
|
2,817 |
|
|
|
3,106 |
|
| 6.400%, 06/05/2049 |
|
|
|
|
|
|
1,951 |
|
|
|
2,139 |
|
| 6.000%, 07/19/2028 |
|
|
|
|
|
|
3,558 |
|
|
|
3,954 |
|
| 5.950%, 01/25/2027 (B) |
|
|
|
|
|
|
638 |
|
|
|
704 |
|
| 5.875%, 04/18/2024 (A) |
|
|
|
|
|
|
71 |
|
|
|
76 |
|
| 5.500%, 01/27/2025 |
|
|
|
|
|
|
949 |
|
|
|
1,021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,971 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ecuador — 1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Ecuador Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.750%, 01/31/2029 (A) |
|
|
|
|
|
|
1,348 |
|
|
|
1,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
| GLOBAL BONDS (continued) |
|
|
|
|
|
| 10.750%, 01/31/2029 |
|
|
|
|
|
|
4,337 |
|
|
$ |
4,229 |
|
| 9.650%, 12/13/2026 |
|
|
|
|
|
|
944 |
|
|
|
897 |
|
| 9.650%, 12/13/2026 (A) |
|
|
|
|
|
|
206 |
|
|
|
196 |
|
| 9.625%, 06/02/2027 |
|
|
|
|
|
|
777 |
|
|
|
732 |
|
| 9.500%, 03/27/2030 (A) |
|
|
|
|
|
|
1,954 |
|
|
|
1,822 |
|
| 9.500%, 03/27/2030 |
|
|
|
|
|
|
202 |
|
|
|
188 |
|
| 8.875%, 10/23/2027 |
|
|
|
|
|
|
3,158 |
|
|
|
2,898 |
|
| 8.875%, 10/23/2027 (A) |
|
|
|
|
|
|
245 |
|
|
|
225 |
|
| 7.950%, 06/20/2024 (B) |
|
|
|
|
|
|
2,153 |
|
|
|
2,040 |
|
| 7.875%, 03/27/2025 |
|
|
|
|
|
|
1,190 |
|
|
|
1,089 |
|
| 7.875%, 01/23/2028 |
|
|
|
|
|
|
1,777 |
|
|
|
1,579 |
|
| 7.875%, 01/23/2028 (A) |
|
|
|
|
|
|
213 |
|
|
|
189 |
|
| Petroamazonas EP |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.625%, 02/16/2020 (A) |
|
|
|
|
|
|
95 |
|
|
|
95 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Egypt — 2.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| Egypt Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 14.217%, 10/15/2026 |
|
|
EGP |
|
|
|
22,322 |
|
|
|
1,425 |
|
| Egypt Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 18.000%, 11/06/2028 |
|
|
EGP |
|
|
|
30,307 |
|
|
|
2,299 |
|
| 17.700%, 08/07/2025 |
|
|
EGP |
|
|
|
29,457 |
|
|
|
2,117 |
|
| 16.300%, 04/09/2024 |
|
|
EGP |
|
|
|
15,034 |
|
|
|
1,013 |
|
| 16.100%, 05/07/2029 |
|
|
EGP |
|
|
|
14,920 |
|
|
|
1,045 |
|
| 15.900%, 07/02/2024 |
|
|
EGP |
|
|
|
19,208 |
|
|
|
1,284 |
|
| 15.600%, 08/06/2026 |
|
|
EGP |
|
|
|
25,450 |
|
|
|
1,717 |
|
| 14.800%, 01/30/2023 |
|
|
EGP |
|
|
|
65,021 |
|
|
|
4,160 |
|
| 8.700%, 03/01/2049 (A) |
|
|
|
|
|
|
529 |
|
|
|
591 |
|
| 7.903%, 02/21/2048 (A) |
|
|
|
|
|
|
421 |
|
|
|
441 |
|
| 5.577%, 02/21/2023 (A) |
|
|
|
|
|
|
741 |
|
|
|
775 |
|
| Egypt Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.500%, 01/31/2047 (A) |
|
|
|
|
|
|
934 |
|
|
|
1,036 |
|
| 8.500%, 01/31/2047 |
|
|
|
|
|
|
6,251 |
|
|
|
6,935 |
|
| 8.150%, 11/20/2059 (A) |
|
|
|
|
|
|
976 |
|
|
|
1,042 |
|
| 8.150%, 11/20/2059 |
|
|
|
|
|
|
277 |
|
|
|
296 |
|
| 7.600%, 03/01/2029 |
|
|
|
|
|
|
1,550 |
|
|
|
1,695 |
|
| 7.053%, 01/15/2032 (A) |
|
|
|
|
|
|
1,432 |
|
|
|
1,500 |
|
| 7.053%, 01/15/2032 |
|
|
|
|
|
|
321 |
|
|
|
336 |
|
| 6.375%, 04/11/2031 (A) |
|
|
EUR |
|
|
|
1,741 |
|
|
|
2,091 |
|
| 6.375%, 04/11/2031 |
|
|
EUR |
|
|
|
1,030 |
|
|
|
1,237 |
|
| 6.125%, 01/31/2022 (A) |
|
|
|
|
|
|
865 |
|
|
|
901 |
|
| 5.625%, 04/16/2030 |
|
|
EUR |
|
|
|
3,322 |
|
|
|
3,841 |
|
| 5.625%, 04/16/2030 (A) |
|
|
EUR |
|
|
|
2,714 |
|
|
|
3,138 |
|
| 4.750%, 04/11/2025 |
|
|
EUR |
|
|
|
457 |
|
|
|
540 |
|
| 4.750%, 04/16/2026 |
|
|
EUR |
|
|
|
1,269 |
|
|
|
1,497 |
|
| Egypt Treasury Bills (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 17.587%, 02/04/2020 |
|
|
EGP |
|
|
|
44,875 |
|
|
|
2,763 |
|
| 16.989%, 08/04/2020 |
|
|
EGP |
|
|
|
33,000 |
|
|
|
1,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| El Salvador — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| El Salvador Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.250%, 04/10/2032 (A) |
|
|
|
|
|
|
326 |
|
|
$ |
388 |
|
| Republic of El Salvador |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.625%, 02/28/2029 |
|
|
|
|
|
|
1,237 |
|
|
|
1,484 |
|
| 8.250%, 04/10/2032 |
|
|
|
|
|
|
700 |
|
|
|
834 |
|
| 7.750%, 01/24/2023 |
|
|
|
|
|
|
1,690 |
|
|
|
1,855 |
|
| 7.650%, 06/15/2035 (B) |
|
|
|
|
|
|
499 |
|
|
|
569 |
|
| 7.625%, 02/01/2041 |
|
|
|
|
|
|
327 |
|
|
|
373 |
|
| 7.125%, 01/20/2050 |
|
|
|
|
|
|
640 |
|
|
|
681 |
|
| 5.875%, 01/30/2025 |
|
|
|
|
|
|
872 |
|
|
|
919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gabon — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Gabonese Republic |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.950%, 06/16/2025 (A) |
|
|
|
|
|
|
1,548 |
|
|
|
1,630 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Georgia — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Republic of Georgia |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.875%, 04/12/2021 (A) |
|
|
|
|
|
|
66 |
|
|
|
69 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ghana — 0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| Ghana Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 24.750%, 07/19/2021 |
|
|
GHS |
|
|
|
– |
|
|
|
– |
|
| 19.750%, 03/25/2024 |
|
|
GHS |
|
|
|
5,311 |
|
|
|
890 |
|
| 19.000%, 11/02/2026 |
|
|
GHS |
|
|
|
11,055 |
|
|
|
1,763 |
|
| 10.750%, 10/14/2030 |
|
|
|
|
|
|
4,126 |
|
|
|
5,276 |
|
| 8.950%, 03/26/2051 |
|
|
|
|
|
|
301 |
|
|
|
307 |
|
| 8.950%, 03/26/2051 (A) |
|
|
|
|
|
|
278 |
|
|
|
284 |
|
| 8.627%, 06/16/2049 (A) |
|
|
|
|
|
|
593 |
|
|
|
591 |
|
| 8.125%, 03/26/2032 (B) |
|
|
|
|
|
|
1,120 |
|
|
|
1,140 |
|
| 7.875%, 03/26/2027 |
|
|
|
|
|
|
899 |
|
|
|
944 |
|
| 7.875%, 03/26/2027 (A) |
|
|
|
|
|
|
771 |
|
|
|
810 |
|
| Kosmos Energy |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.125%, 04/04/2026 (A) |
|
|
|
|
|
|
190 |
|
|
|
194 |
|
| Republic of Ghana |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.125%, 01/18/2026 (A) |
|
|
|
|
|
|
83 |
|
|
|
90 |
|
| Tullow Oil |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.000%, 03/01/2025 (A)(B) |
|
|
|
|
|
|
1,460 |
|
|
|
1,229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Guatemala — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Comunicaciones Celulares Via Comcel Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.875%, 02/06/2024 (A) |
|
|
|
|
|
|
390 |
|
|
|
400 |
|
| Guatemala Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.900%, 06/01/2030 |
|
|
|
|
|
|
1,292 |
|
|
|
1,382 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Honduras — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Honduras Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 01/19/2027 |
|
|
|
|
|
|
326 |
|
|
|
356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hong Kong — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| NWD |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.125%, 07/18/2029 (B) |
|
|
|
|
|
|
757 |
|
|
|
759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Hungary — 1.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| Hungary Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.750%, 10/22/2028 |
|
|
HUF |
|
|
|
489,630 |
|
|
$ |
2,328 |
|
| 6.375%, 03/29/2021 |
|
|
|
|
|
|
4,004 |
|
|
|
4,219 |
|
| 5.750%, 11/22/2023 |
|
|
|
|
|
|
886 |
|
|
|
999 |
|
| 5.500%, 06/24/2025 |
|
|
HUF |
|
|
|
500,750 |
|
|
|
2,096 |
|
| 5.375%, 03/25/2024 |
|
|
|
|
|
|
1,107 |
|
|
|
1,248 |
|
| 3.000%, 06/26/2024 |
|
|
HUF |
|
|
|
1,144,280 |
|
|
|
4,260 |
|
| 3.000%, 10/27/2027 |
|
|
HUF |
|
|
|
2,286,540 |
|
|
|
8,531 |
|
| 3.000%, 08/21/2030 |
|
|
HUF |
|
|
|
438,920 |
|
|
|
1,626 |
|
| 2.750%, 12/22/2026 |
|
|
HUF |
|
|
|
1,072,960 |
|
|
|
3,959 |
|
| 2.500%, 10/24/2024 |
|
|
HUF |
|
|
|
653,680 |
|
|
|
2,379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| India — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Vedanta Resources |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.250%, 06/07/2021 |
|
|
|
|
|
|
820 |
|
|
|
848 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Indonesia — 7.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| Indonesia Asahan Aluminium Persero |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.757%, 11/15/2048 |
|
|
|
|
|
|
257 |
|
|
|
331 |
|
| 5.710%, 11/15/2023 (A) |
|
|
|
|
|
|
618 |
|
|
|
682 |
|
| Indonesia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.000%, 03/15/2029 |
|
|
IDR |
|
|
|
1,750,000 |
|
|
|
4,961 |
|
| 8.750%, 05/15/2031 |
|
|
IDR |
|
|
|
779,000 |
|
|
|
4,833 |
|
| 8.500%, 10/12/2035 |
|
|
|
|
|
|
2,524 |
|
|
|
3,970 |
|
| 8.375%, 03/15/2024 |
|
|
IDR |
|
|
|
173,000 |
|
|
|
4,644 |
|
| 8.375%, 09/15/2026 |
|
|
IDR |
|
|
|
1,281,000 |
|
|
|
2,423 |
|
| 8.375%, 03/15/2034 |
|
|
IDR |
|
|
|
5,569,000 |
|
|
|
12,761 |
|
| 8.375%, 04/15/2039 |
|
|
IDR |
|
|
|
3,561,000 |
|
|
|
11,836 |
|
| 8.250%, 05/15/2029 |
|
|
IDR |
|
|
|
6,525,000 |
|
|
|
5,942 |
|
| 8.250%, 06/15/2032 |
|
|
IDR |
|
|
|
2,030,000 |
|
|
|
916 |
|
| 8.250%, 05/15/2036 |
|
|
IDR |
|
|
|
2,516,000 |
|
|
|
5,459 |
|
| 8.125%, 05/15/2024 |
|
|
IDR |
|
|
|
6,235,000 |
|
|
|
5,854 |
|
| 7.750%, 01/17/2038 |
|
|
|
|
|
|
1,797 |
|
|
|
2,700 |
|
| 7.500%, 08/15/2032 |
|
|
IDR |
|
|
|
6,770,000 |
|
|
|
1,919 |
|
| 7.500%, 05/15/2038 |
|
|
IDR |
|
|
|
6,662,000 |
|
|
|
5,453 |
|
| 7.000%, 05/15/2022 |
|
|
IDR |
|
|
|
233,000 |
|
|
|
2,950 |
|
| 7.000%, 05/15/2027 |
|
|
IDR |
|
|
|
3,129,000 |
|
|
|
4,529 |
|
| 6.625%, 05/15/2033 |
|
|
IDR |
|
|
|
4,323,000 |
|
|
|
1,616 |
|
| 6.125%, 05/15/2028 |
|
|
IDR |
|
|
|
8,570,000 |
|
|
|
1,939 |
|
| 5.625%, 05/15/2023 |
|
|
IDR |
|
|
|
1,661,000 |
|
|
|
8,607 |
|
| 5.250%, 01/08/2047 (A) |
|
|
|
|
|
|
170 |
|
|
|
208 |
|
| 4.750%, 02/11/2029 |
|
|
|
|
|
|
985 |
|
|
|
1,128 |
|
| 4.350%, 01/08/2027 (A) |
|
|
|
|
|
|
1,540 |
|
|
|
1,680 |
|
| 3.700%, 10/30/2049 (B) |
|
|
|
|
|
|
650 |
|
|
|
667 |
|
| 1.400%, 10/30/2031 |
|
|
EUR |
|
|
|
778 |
|
|
|
867 |
|
| Indonesia Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.250%, 01/17/2042 |
|
|
|
|
|
|
3,120 |
|
|
|
3,753 |
|
| 5.125%, 01/15/2045 |
|
|
|
|
|
|
410 |
|
|
|
488 |
|
| 4.750%, 01/08/2026 |
|
|
|
|
|
|
1,433 |
|
|
|
1,592 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| 4.625%, 04/15/2043 |
|
|
|
|
|
|
1,745 |
|
|
$ |
1,951 |
|
| 4.125%, 01/15/2025 |
|
|
|
|
|
|
1,600 |
|
|
|
1,715 |
|
| 3.850%, 07/18/2027 |
|
|
|
|
|
|
2,708 |
|
|
|
2,882 |
|
| Indonesia Treasury Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.500%, 06/15/2035 |
|
|
IDR |
|
|
|
2,000,000 |
|
|
|
865 |
|
| 6.500%, 06/15/2025 |
|
|
IDR |
|
|
|
7,000,000 |
|
|
|
2,677 |
|
| JPMorgan Chase Bank MTN (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.375%, 04/19/2039 |
|
|
IDR |
|
|
|
3,409,000 |
|
|
|
265 |
|
| 7.500%, 06/15/2035 |
|
|
IDR |
|
|
|
63,788,000 |
|
|
|
4,596 |
|
| Pertamina Persero MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.450%, 05/30/2044 |
|
|
|
|
|
|
789 |
|
|
|
1,013 |
|
| 4.700%, 07/30/2049 (A) |
|
|
|
|
|
|
244 |
|
|
|
260 |
|
| 3.650%, 07/30/2029 (A)(B) |
|
|
|
|
|
|
1,643 |
|
|
|
1,720 |
|
| Perusahaan Listrik Negara |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.875%, 11/05/2031 (A) |
|
|
EUR |
|
|
|
691 |
|
|
|
770 |
|
| Perusahaan Listrik Negara MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.150%, 05/21/2048 (A) |
|
|
|
|
|
|
857 |
|
|
|
1,081 |
|
| 6.150%, 05/21/2048 |
|
|
|
|
|
|
250 |
|
|
|
316 |
|
| 5.450%, 05/21/2028 (A) |
|
|
|
|
|
|
262 |
|
|
|
301 |
|
| 4.375%, 02/05/2050 (A) |
|
|
|
|
|
|
265 |
|
|
|
268 |
|
| Perusahaan Penerbit SBSN Indonesia III |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.400%, 03/01/2028 |
|
|
|
|
|
|
573 |
|
|
|
626 |
|
| 4.325%, 05/28/2025 |
|
|
|
|
|
|
2,135 |
|
|
|
2,306 |
|
| Star Energy Geothermal Wayang Windu |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.750%, 04/24/2033 |
|
|
|
|
|
|
433 |
|
|
|
458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
128,778 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Iraq — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Iraq International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.800%, 01/15/2028 |
|
|
|
|
|
|
460 |
|
|
|
449 |
|
| 5.800%, 01/15/2028 |
|
|
|
|
|
|
347 |
|
|
|
339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
788 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ivory Coast — 0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| Ivory Coast Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.875%, 10/17/2040 |
|
|
EUR |
|
|
|
1,169 |
|
|
|
1,369 |
|
| 6.625%, 03/22/2048 |
|
|
EUR |
|
|
|
1,552 |
|
|
|
1,751 |
|
| 6.625%, 03/22/2048 |
|
|
EUR |
|
|
|
271 |
|
|
|
306 |
|
| 6.375%, 03/03/2028 (A) |
|
|
|
|
|
|
139 |
|
|
|
146 |
|
| 5.875%, 10/17/2031 (A) |
|
|
EUR |
|
|
|
1,636 |
|
|
|
1,906 |
|
| 5.875%, 10/17/2031 |
|
|
EUR |
|
|
|
937 |
|
|
|
1,092 |
|
| 5.750%, 12/31/2032 |
|
|
|
|
|
|
1,943 |
|
|
|
1,939 |
|
| 5.750%, 12/31/2032 |
|
|
|
|
|
|
2,292 |
|
|
|
2,287 |
|
| 5.250%, 03/22/2030 |
|
|
EUR |
|
|
|
1,578 |
|
|
|
1,803 |
|
| 5.125%, 06/15/2025 (B) |
|
|
EUR |
|
|
|
1,371 |
|
|
|
1,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,293 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Jamaica — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Government of Jamaica |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.875%, 07/28/2045 |
|
|
|
|
|
|
2,628 |
|
|
|
3,548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Jordan — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Jordan Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.375%, 10/10/2047 (A) |
|
|
|
|
|
|
1,629 |
|
|
|
1,735 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| 7.375%, 10/10/2047 |
|
|
|
|
|
|
693 |
|
|
$ |
738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Kazakhstan — 1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Development Bank of Kazakhstan |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.125%, 12/10/2022 |
|
|
|
|
|
|
770 |
|
|
|
801 |
|
| Kazakhstan Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.500%, 07/21/2045 |
|
|
|
|
|
|
330 |
|
|
|
487 |
|
| 2.375%, 11/09/2028 (B) |
|
|
EUR |
|
|
|
306 |
|
|
|
389 |
|
| KazMunayGas National JSC |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.375%, 10/24/2048 (A) |
|
|
|
|
|
|
2,522 |
|
|
|
3,242 |
|
| 5.750%, 04/19/2047 (A)(B) |
|
|
|
|
|
|
3,212 |
|
|
|
3,830 |
|
| 5.750%, 04/19/2047 |
|
|
|
|
|
|
63 |
|
|
|
75 |
|
| 5.375%, 04/24/2030 (A) |
|
|
|
|
|
|
1,834 |
|
|
|
2,123 |
|
| 5.375%, 04/24/2030 (B) |
|
|
|
|
|
|
2,560 |
|
|
|
2,964 |
|
| 4.750%, 04/24/2025 (A) |
|
|
|
|
|
|
2,068 |
|
|
|
2,267 |
|
| 3.875%, 04/19/2022 |
|
|
|
|
|
|
2,577 |
|
|
|
2,654 |
|
| KazTransGas JSC |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.375%, 09/26/2027 |
|
|
|
|
|
|
1,996 |
|
|
|
2,093 |
|
| 4.375%, 09/26/2027 (A) |
|
|
|
|
|
|
932 |
|
|
|
977 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,902 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Kenya — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Kenya Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.250%, 02/28/2048 (B) |
|
|
|
|
|
|
660 |
|
|
|
706 |
|
| 8.250%, 02/28/2048 (A) |
|
|
|
|
|
|
654 |
|
|
|
699 |
|
| 8.000%, 05/22/2032 |
|
|
|
|
|
|
1,872 |
|
|
|
2,037 |
|
| 8.000%, 05/22/2032 (A) |
|
|
|
|
|
|
728 |
|
|
|
792 |
|
| 7.000%, 05/22/2027 |
|
|
|
|
|
|
1,250 |
|
|
|
1,330 |
|
| 7.000%, 05/22/2027 (A) |
|
|
|
|
|
|
671 |
|
|
|
714 |
|
| 6.875%, 06/24/2024 |
|
|
|
|
|
|
473 |
|
|
|
511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,789 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Kuwait — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Kuwait International Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.500%, 03/20/2027 |
|
|
|
|
|
|
218 |
|
|
|
234 |
|
| 2.750%, 03/20/2022 |
|
|
|
|
|
|
645 |
|
|
|
655 |
|
| NBK Tier 1 Financing 2 |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, VAR USD Swap Semi 30/360 6 Yr Curr+2.832%,
05/27/2168 (A) |
|
|
|
|
|
|
513 |
|
|
|
512 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,401 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Lebanon — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Lebanon Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.000%, 01/27/2023 |
|
|
|
|
|
|
789 |
|
|
|
362 |
|
| Lebanon Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.650%, 11/03/2028 |
|
|
|
|
|
|
1,112 |
|
|
|
485 |
|
| 6.600%, 11/27/2026 |
|
|
|
|
|
|
588 |
|
|
|
260 |
|
| 6.100%, 10/04/2022 |
|
|
|
|
|
|
1,573 |
|
|
|
751 |
|
| 6.100%, 10/04/2022 |
|
|
|
|
|
|
569 |
|
|
|
272 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Lithuania — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Lithuania Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.375%, 02/11/2020 |
|
|
|
|
|
|
923 |
|
|
$ |
928 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Luxembourg — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Millicom International Cellular |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 03/25/2029 (A) |
|
|
|
|
|
|
449 |
|
|
|
495 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Malaysia — 5.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| 1MDB Energy |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.990%, 05/11/2022 |
|
|
|
|
|
|
2,000 |
|
|
|
2,106 |
|
| 1MDB Global Investments |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.400%, 03/09/2023 |
|
|
|
|
|
|
6,200 |
|
|
|
6,029 |
|
| 4.400%, 03/09/2023 |
|
|
|
|
|
|
1,000 |
|
|
|
972 |
|
| Malaysia Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.248%, 09/15/2028 |
|
|
MYR |
|
|
|
1,050 |
|
|
|
292 |
|
| 4.935%, 09/30/2043 |
|
|
MYR |
|
|
|
2,200 |
|
|
|
612 |
|
| 4.893%, 06/08/2038 |
|
|
MYR |
|
|
|
2,400 |
|
|
|
668 |
|
| 4.642%, 11/07/2033 |
|
|
MYR |
|
|
|
1,700 |
|
|
|
459 |
|
| 4.392%, 04/15/2026 |
|
|
MYR |
|
|
|
3,480 |
|
|
|
903 |
|
| 4.232%, 06/30/2031 |
|
|
MYR |
|
|
|
6,200 |
|
|
|
1,608 |
|
| 4.181%, 07/15/2024 |
|
|
MYR |
|
|
|
4,186 |
|
|
|
1,066 |
|
| 4.160%, 07/15/2021 |
|
|
MYR |
|
|
|
15,369 |
|
|
|
3,822 |
|
| 4.059%, 09/30/2024 |
|
|
MYR |
|
|
|
8,000 |
|
|
|
2,028 |
|
| 4.048%, 09/30/2021 |
|
|
MYR |
|
|
|
2,259 |
|
|
|
562 |
|
| 3.955%, 09/15/2025 |
|
|
MYR |
|
|
|
21,783 |
|
|
|
5,515 |
|
| 3.906%, 07/15/2026 |
|
|
MYR |
|
|
|
16,152 |
|
|
|
4,086 |
|
| 3.899%, 11/16/2027 |
|
|
MYR |
|
|
|
2,500 |
|
|
|
633 |
|
| 3.889%, 07/31/2020 |
|
|
MYR |
|
|
|
7,629 |
|
|
|
1,876 |
|
| 3.885%, 08/15/2029 |
|
|
MYR |
|
|
|
23,033 |
|
|
|
5,888 |
|
| 3.882%, 03/10/2022 |
|
|
MYR |
|
|
|
19,617 |
|
|
|
4,885 |
|
| 3.828%, 07/05/2034 |
|
|
MYR |
|
|
|
120 |
|
|
|
30 |
|
| 3.800%, 08/17/2023 |
|
|
MYR |
|
|
|
30,074 |
|
|
|
7,522 |
|
| 3.795%, 09/30/2022 |
|
|
MYR |
|
|
|
3,200 |
|
|
|
797 |
|
| 3.757%, 04/20/2023 |
|
|
MYR |
|
|
|
13,915 |
|
|
|
3,472 |
|
| 3.733%, 06/15/2028 |
|
|
MYR |
|
|
|
12,719 |
|
|
|
3,189 |
|
| 3.659%, 10/15/2020 |
|
|
MYR |
|
|
|
1,419 |
|
|
|
349 |
|
| 3.620%, 11/30/2021 |
|
|
MYR |
|
|
|
22,657 |
|
|
|
5,601 |
|
| 3.502%, 05/31/2027 |
|
|
MYR |
|
|
|
1,050 |
|
|
|
259 |
|
| 3.492%, 03/31/2020 |
|
|
MYR |
|
|
|
56,134 |
|
|
|
13,751 |
|
| 3.480%, 03/15/2023 |
|
|
MYR |
|
|
|
2,858 |
|
|
|
707 |
|
| 3.478%, 06/14/2024 |
|
|
MYR |
|
|
|
6,160 |
|
|
|
1,523 |
|
| 3.418%, 08/15/2022 |
|
|
MYR |
|
|
|
10,450 |
|
|
|
2,577 |
|
| Malaysia Government Investment Issue |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.369%, 10/31/2028 |
|
|
MYR |
|
|
|
1,200 |
|
|
|
313 |
|
| 4.070%, 09/30/2026 |
|
|
MYR |
|
|
|
6,500 |
|
|
|
1,654 |
|
| Malaysia Sukuk Global |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.179%, 04/27/2026 |
|
|
|
|
|
|
3,003 |
|
|
|
3,115 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
88,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mauritius — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Liquid Telecommunications Financing |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.500%, 07/13/2022 (A) |
|
|
|
|
|
|
836 |
|
|
|
848 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Mexico — 8.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| America Movil |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.125%, 12/09/2024 |
|
|
MXN |
|
|
|
18,110 |
|
|
$ |
934 |
|
| Axtel |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.375%, 11/14/2024 (A) |
|
|
|
|
|
|
713 |
|
|
|
751 |
|
| Banco Mercantil del Norte (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.500%, VAR US Treas Yield Curve Rate T Note Const Mat 10 Yr+5.470%, 09/27/2168 |
|
|
|
|
|
|
476 |
|
|
|
508 |
|
| 6.750%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.967%, 09/27/2168 |
|
|
|
|
|
|
609 |
|
|
|
633 |
|
| Banco Nacional de Comercio Exterior SNC |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.800%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+3.000%, 08/11/2026 |
|
|
|
|
|
|
2,166 |
|
|
|
2,190 |
|
| 3.800%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+3.000%, 08/11/2026 (A) |
|
|
|
|
|
|
1,015 |
|
|
|
1,027 |
|
| Cemex |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.750%, 04/16/2026 |
|
|
|
|
|
|
670 |
|
|
|
730 |
|
| Cometa Energia |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.375%, 04/24/2035 (A) |
|
|
|
|
|
|
688 |
|
|
|
748 |
|
| Comision Federal de Electricidad |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.350%, 11/25/2025 |
|
|
MXN |
|
|
|
39,785 |
|
|
|
1,964 |
|
| 5.750%, 02/14/2042 (A) |
|
|
|
|
|
|
500 |
|
|
|
557 |
|
| 4.750%, 02/23/2027 (A) |
|
|
|
|
|
|
458 |
|
|
|
483 |
|
| Industrias Penoles |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.650%, 09/12/2049 (A) |
|
|
|
|
|
|
359 |
|
|
|
383 |
|
| Mexican Bonos |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.000%, 11/07/2047 |
|
|
MXN |
|
|
|
38,771 |
|
|
|
2,248 |
|
| 7.750%, 11/23/2034 |
|
|
MXN |
|
|
|
39,185 |
|
|
|
2,222 |
|
| 7.750%, 11/13/2042 |
|
|
MXN |
|
|
|
146,708 |
|
|
|
8,239 |
|
| 7.500%, 06/03/2027 |
|
|
MXN |
|
|
|
175,498 |
|
|
|
9,652 |
|
| 6.500%, 06/09/2022 |
|
|
MXN |
|
|
|
32,396 |
|
|
|
1,705 |
|
| 5.750%, 03/05/2026 |
|
|
MXN |
|
|
|
87,650 |
|
|
|
4,397 |
|
| Mexican Bonos, Ser M20 |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.000%, 12/05/2024 |
|
|
MXN |
|
|
|
376,544 |
|
|
|
22,631 |
|
| 8.500%, 05/31/2029 |
|
|
MXN |
|
|
|
63,125 |
|
|
|
3,721 |
|
| 8.000%, 12/07/2023 |
|
|
MXN |
|
|
|
19,699 |
|
|
|
1,087 |
|
| 7.750%, 05/29/2031 (B) |
|
|
MXN |
|
|
|
164,453 |
|
|
|
9,290 |
|
| Mexican Bonos, Ser M30 |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.500%, 11/18/2038 |
|
|
MXN |
|
|
|
65,591 |
|
|
|
3,960 |
|
| Mexican Udibonos |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000%, 11/15/2040 |
|
|
MXN |
|
|
|
37,716 |
|
|
|
2,163 |
|
| 4.000%, 11/03/2050 |
|
|
MXN |
|
|
|
40,013 |
|
|
|
2,344 |
|
| Mexico Cetes (C) |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.525%, 01/23/2020 |
|
|
MXN |
|
|
|
488,456 |
|
|
|
2,575 |
|
| 7.360%, 04/23/2020 |
|
|
MXN |
|
|
|
753,486 |
|
|
|
3,900 |
|
| Mexico City Airport Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.500%, 07/31/2047 (A) |
|
|
|
|
|
|
715 |
|
|
|
737 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Mexico Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 04/22/2029 |
|
|
|
|
|
|
4,525 |
|
|
$ |
4,962 |
|
| 4.500%, 01/31/2050 |
|
|
|
|
|
|
1,668 |
|
|
|
1,803 |
|
| 4.350%, 01/15/2047 (B) |
|
|
|
|
|
|
1,763 |
|
|
|
1,860 |
|
| Mexico Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, 10/12/2110 |
|
|
|
|
|
|
3,576 |
|
|
|
4,230 |
|
| 4.750%, 03/08/2044 |
|
|
|
|
|
|
386 |
|
|
|
427 |
|
| Minera Mexico |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 01/26/2050 (A) |
|
|
|
|
|
|
627 |
|
|
|
638 |
|
| Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.500%, 09/15/2027 |
|
|
|
|
|
|
169 |
|
|
|
203 |
|
| 7.690%, 01/23/2050 (A) |
|
|
|
|
|
|
2,410 |
|
|
|
2,630 |
|
| 7.690%, 01/23/2050 |
|
|
|
|
|
|
682 |
|
|
|
744 |
|
| 7.470%, 11/12/2026 |
|
|
MXN |
|
|
|
175,079 |
|
|
|
8,109 |
|
| 7.190%, 09/12/2024 |
|
|
MXN |
|
|
|
108,672 |
|
|
|
5,237 |
|
| 6.840%, 01/23/2030 (A) |
|
|
|
|
|
|
5,456 |
|
|
|
5,818 |
|
| 6.625%, 06/15/2035 |
|
|
|
|
|
|
3,100 |
|
|
|
3,176 |
|
| 6.500%, 03/13/2027 |
|
|
|
|
|
|
1,511 |
|
|
|
1,604 |
|
| 6.500%, 01/23/2029 (A) |
|
|
|
|
|
|
785 |
|
|
|
826 |
|
| 6.350%, 02/12/2048 (A) |
|
|
|
|
|
|
742 |
|
|
|
716 |
|
| 6.350%, 02/12/2048 |
|
|
|
|
|
|
678 |
|
|
|
654 |
|
| 5.625%, 01/23/2046 |
|
|
|
|
|
|
468 |
|
|
|
418 |
|
| 5.350%, 02/12/2028 |
|
|
|
|
|
|
1,329 |
|
|
|
1,322 |
|
| 5.350%, 02/12/2028 (A) |
|
|
|
|
|
|
1,079 |
|
|
|
1,074 |
|
| 4.500%, 01/23/2026 |
|
|
|
|
|
|
2,372 |
|
|
|
2,362 |
|
| Petroleos Mexicanos MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.750%, 09/21/2047 |
|
|
|
|
|
|
553 |
|
|
|
554 |
|
| 4.875%, 02/21/2028 |
|
|
EUR |
|
|
|
755 |
|
|
|
908 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
142,054 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mongolia — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Development Bank of Mongolia |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.250%, 10/23/2023 (A) |
|
|
|
|
|
|
784 |
|
|
|
830 |
|
| Mongolia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.625%, 05/01/2023 |
|
|
|
|
|
|
2,287 |
|
|
|
2,356 |
|
| Mongolia Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.750%, 03/09/2024 |
|
|
|
|
|
|
1,951 |
|
|
|
2,216 |
|
| Trade & Development Bank of Mongolia MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.375%, 05/19/2020 (A) |
|
|
|
|
|
|
355 |
|
|
|
361 |
|
| 9.375%, 05/19/2020 |
|
|
|
|
|
|
350 |
|
|
|
356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Morocco — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Morocco Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.500%, 11/27/2031 |
|
|
EUR |
|
|
|
1,121 |
|
|
|
1,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mozambique — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Mozambique International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 09/15/2031 (A) |
|
|
|
|
|
|
2,106 |
|
|
|
1,962 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Namibia — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Namibia International Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.250%, 10/29/2025 |
|
|
|
|
|
|
379 |
|
|
|
393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Netherlands — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Minejesa Capital BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.625%, 08/10/2037 (A) |
|
|
|
|
|
|
96 |
|
|
$ |
104 |
|
| Petrobras Global Finance BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, 02/01/2029 (B) |
|
|
|
|
|
|
790 |
|
|
|
891 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
995 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Nigeria — 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| IHS Netherlands Holdco |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.000%, 09/18/2027 (A) |
|
|
|
|
|
|
510 |
|
|
|
542 |
|
| Nigeria Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.248%, 01/21/2049 |
|
|
|
|
|
|
912 |
|
|
|
1,018 |
|
| 8.747%, 01/21/2031 |
|
|
|
|
|
|
2,949 |
|
|
|
3,252 |
|
| 8.747%, 01/21/2031 (A) |
|
|
|
|
|
|
535 |
|
|
|
590 |
|
| 7.875%, 02/16/2032 |
|
|
|
|
|
|
3,514 |
|
|
|
3,643 |
|
| 7.696%, 02/23/2038 |
|
|
|
|
|
|
3,863 |
|
|
|
3,872 |
|
| 7.143%, 02/23/2030 (A) |
|
|
|
|
|
|
618 |
|
|
|
629 |
|
| Nigeria Government International Bond MTN (B) |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.500%, 11/28/2027 (A) |
|
|
|
|
|
|
2,480 |
|
|
|
2,530 |
|
| 6.500%, 11/28/2027 |
|
|
|
|
|
|
230 |
|
|
|
235 |
|
| Nigeria Treasury Bill |
|
|
|
|
|
|
|
|
|
|
|
|
| 15.892%, 02/27/2020 (C) |
|
|
NGN |
|
|
|
229,138 |
|
|
|
619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,930 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oman — 0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| Oman Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.750%, 01/17/2048 |
|
|
|
|
|
|
3,403 |
|
|
|
3,418 |
|
| 6.750%, 01/17/2048 (A) |
|
|
|
|
|
|
808 |
|
|
|
811 |
|
| 6.500%, 03/08/2047 |
|
|
|
|
|
|
1,244 |
|
|
|
1,230 |
|
| 6.500%, 03/08/2047 (A) |
|
|
|
|
|
|
482 |
|
|
|
477 |
|
| 5.625%, 01/17/2028 (A) |
|
|
|
|
|
|
1,893 |
|
|
|
1,957 |
|
| 5.375%, 03/08/2027 (A) |
|
|
|
|
|
|
60 |
|
|
|
62 |
|
| 4.750%, 06/15/2026 |
|
|
|
|
|
|
900 |
|
|
|
912 |
|
| 3.625%, 06/15/2021 |
|
|
|
|
|
|
1,326 |
|
|
|
1,332 |
|
| Oman Government International Bond MTN (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.000%, 08/01/2029 |
|
|
|
|
|
|
1,091 |
|
|
|
1,139 |
|
| 4.875%, 02/01/2025 |
|
|
|
|
|
|
1,767 |
|
|
|
1,827 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,165 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pakistan — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Pakistan Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.250%, 09/30/2025 |
|
|
|
|
|
|
1,000 |
|
|
|
1,118 |
|
| 8.250%, 09/30/2025 (A) |
|
|
|
|
|
|
714 |
|
|
|
799 |
|
| 7.875%, 03/31/2036 (B) |
|
|
|
|
|
|
200 |
|
|
|
206 |
|
| 6.875%, 12/05/2027 (B) |
|
|
|
|
|
|
1,578 |
|
|
|
1,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,765 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Panama — 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Aeropuerto Internacional de Tocumen |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.000%, 11/18/2048 (A) |
|
|
|
|
|
|
672 |
|
|
|
832 |
|
| 5.625%, 05/18/2036 |
|
|
|
|
|
|
555 |
|
|
|
653 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Cable Onda |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 01/30/2030 (A) |
|
|
|
|
|
|
208 |
|
|
$ |
219 |
|
| Empresa de Transmision Electrica |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.125%, 05/02/2049 (A) |
|
|
|
|
|
|
635 |
|
|
|
722 |
|
| Panama Notas del Tesoro |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.750%, 04/17/2026 (A) |
|
|
|
|
|
|
801 |
|
|
|
843 |
|
| Republic of Panama |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.375%, 04/01/2029 (B) |
|
|
|
|
|
|
1,004 |
|
|
|
1,534 |
|
| 8.125%, 04/28/2034 |
|
|
|
|
|
|
478 |
|
|
|
695 |
|
| 4.500%, 05/15/2047 |
|
|
|
|
|
|
764 |
|
|
|
908 |
|
| 3.870%, 07/23/2060 |
|
|
|
|
|
|
1,148 |
|
|
|
1,236 |
|
| 3.160%, 01/23/2030 |
|
|
|
|
|
|
8,012 |
|
|
|
8,252 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Papua New Guinea — 0.3% |
|
| Papua New Guinea Government |
|
|
|
|
|
|
|
|
|
|
|
|
| International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.375%, 10/04/2028 |
|
|
|
|
|
|
531 |
|
|
|
562 |
|
| 8.375%, 10/04/2028 (A) |
|
|
|
|
|
|
3,374 |
|
|
|
3,572 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Paraguay — 0.3% |
|
| Paraguay Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.100%, 08/11/2044 |
|
|
|
|
|
|
1,010 |
|
|
|
1,239 |
|
| 6.100%, 08/11/2044 (A) |
|
|
|
|
|
|
530 |
|
|
|
650 |
|
| 5.400%, 03/30/2050 |
|
|
|
|
|
|
367 |
|
|
|
423 |
|
| 5.400%, 03/30/2050 (A) |
|
|
|
|
|
|
240 |
|
|
|
277 |
|
| 5.000%, 04/15/2026 |
|
|
|
|
|
|
885 |
|
|
|
978 |
|
| 5.000%, 04/15/2026 |
|
|
|
|
|
|
595 |
|
|
|
658 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Peru — 2.5% |
|
| Abengoa Transmision Sur |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.875%, 04/30/2043 (A) |
|
|
|
|
|
|
267 |
|
|
|
338 |
|
| Fondo MIVIVIENDA |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.000%, 02/14/2024 (A) |
|
|
PEN |
|
|
|
3,704 |
|
|
|
1,243 |
|
| Inkia Energy |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.875%, 11/09/2027 (A) |
|
|
|
|
|
|
359 |
|
|
|
374 |
|
| Kallpa Generacion |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.125%, 08/16/2027 (A) |
|
|
|
|
|
|
723 |
|
|
|
737 |
|
| Lima Metro Line 2 Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.350%, 04/05/2036 (A) |
|
|
|
|
|
|
1,520 |
|
|
|
1,609 |
|
| Peru Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.350%, 08/12/2040 (A) |
|
|
PEN |
|
|
|
708 |
|
|
|
216 |
|
| Peru LNG Srl |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.375%, 03/22/2030 (A) |
|
|
|
|
|
|
754 |
|
|
|
743 |
|
| Peruvian Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.200%, 08/12/2026 |
|
|
PEN |
|
|
|
11,712 |
|
|
|
4,501 |
|
| 8.200%, 08/12/2026 |
|
|
PEN |
|
|
|
963 |
|
|
|
370 |
|
| 8.200%, 08/12/2026 |
|
|
PEN |
|
|
|
8,208 |
|
|
|
3,154 |
|
| 6.950%, 08/12/2031 |
|
|
PEN |
|
|
|
11,237 |
|
|
|
4,088 |
|
| 6.950%, 08/12/2031 |
|
|
PEN |
|
|
|
154 |
|
|
|
56 |
|
| 6.900%, 08/12/2037 |
|
|
PEN |
|
|
|
2,480 |
|
|
|
902 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| 6.850%, 02/12/2042 |
|
|
PEN |
|
|
|
613 |
|
|
$ |
222 |
|
| 6.550%, 03/14/2037 |
|
|
|
|
|
|
520 |
|
|
|
761 |
|
| 6.350%, 08/12/2028 |
|
|
PEN |
|
|
|
346 |
|
|
|
121 |
|
| 6.350%, 08/12/2028 |
|
|
PEN |
|
|
|
1,570 |
|
|
|
550 |
|
| 6.350%, 08/12/2028 (A) |
|
|
PEN |
|
|
|
1,465 |
|
|
|
513 |
|
| 6.350%, 08/12/2028 |
|
|
PEN |
|
|
|
5,940 |
|
|
|
2,080 |
|
| 6.150%, 08/12/2032 (A) |
|
|
PEN |
|
|
|
13,992 |
|
|
|
4,786 |
|
| 5.940%, 02/12/2029 (A) |
|
|
PEN |
|
|
|
367 |
|
|
|
125 |
|
| 5.700%, 08/12/2024 (A) |
|
|
PEN |
|
|
|
4,932 |
|
|
|
1,663 |
|
| 5.625%, 11/18/2050 (B) |
|
|
|
|
|
|
823 |
|
|
|
1,203 |
|
| 5.400%, 08/12/2034 (A) |
|
|
PEN |
|
|
|
4,002 |
|
|
|
1,268 |
|
| 2.844%, 06/20/2030 |
|
|
|
|
|
|
3,381 |
|
|
|
3,488 |
|
| Petroleos del Peru |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.625%, 06/19/2047 |
|
|
|
|
|
|
2,272 |
|
|
|
2,638 |
|
| 5.625%, 06/19/2047 (A) |
|
|
|
|
|
|
366 |
|
|
|
425 |
|
| 4.750%, 06/19/2032 |
|
|
|
|
|
|
1,843 |
|
|
|
2,018 |
|
| 4.750%, 06/19/2032
(A)(B) |
|
|
|
|
|
|
1,201 |
|
|
|
1,315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Philippines — 0.4% |
|
| Philippine Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000%, 01/15/2021 |
|
|
|
|
|
|
3,394 |
|
|
|
3,466 |
|
| 3.900%, 11/26/2022 |
|
|
PHP |
|
|
|
45,000 |
|
|
|
887 |
|
| 3.750%, 01/14/2029 |
|
|
|
|
|
|
1,512 |
|
|
|
1,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Poland — 2.5% |
|
| Republic of Poland Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 03/23/2022 |
|
|
|
|
|
|
2,980 |
|
|
|
3,183 |
|
| 3.250%, 07/25/2025 |
|
|
PLN |
|
|
|
11,310 |
|
|
|
3,191 |
|
| 2.750%, 04/25/2028 |
|
|
PLN |
|
|
|
18,202 |
|
|
|
5,032 |
|
| 2.750%, 10/25/2029 |
|
|
PLN |
|
|
|
1,844 |
|
|
|
513 |
|
| 2.500%, 01/25/2023 |
|
|
PLN |
|
|
|
41,804 |
|
|
|
11,306 |
|
| 2.500%, 04/25/2024 |
|
|
PLN |
|
|
|
6,060 |
|
|
|
1,647 |
|
| 2.500%, 07/25/2026 |
|
|
PLN |
|
|
|
26,843 |
|
|
|
7,301 |
|
| 2.500%, 07/25/2027 |
|
|
PLN |
|
|
|
5,278 |
|
|
|
1,433 |
|
| 2.250%, 04/25/2022 |
|
|
PLN |
|
|
|
13,055 |
|
|
|
3,499 |
|
| 2.000%, 04/25/2021 |
|
|
PLN |
|
|
|
912 |
|
|
|
243 |
|
| 1.750%, 07/25/2021 |
|
|
PLN |
|
|
|
5,000 |
|
|
|
1,326 |
|
| 1.555%, 07/25/2020 (C) |
|
|
PLN |
|
|
|
10,140 |
|
|
|
2,662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,336 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Qatar — 1.4% |
|
| Qatar Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.750%, 01/20/2042 (A) |
|
|
|
|
|
|
574 |
|
|
|
786 |
|
| 5.103%, 04/23/2048 (A) |
|
|
|
|
|
|
1,650 |
|
|
|
2,119 |
|
| 5.103%, 04/23/2048 (B) |
|
|
|
|
|
|
2,005 |
|
|
|
2,574 |
|
| 4.817%, 03/14/2049 (A) |
|
|
|
|
|
|
795 |
|
|
|
984 |
|
| 4.817%, 03/14/2049 (B) |
|
|
|
|
|
|
7,319 |
|
|
|
9,057 |
|
| 4.500%, 04/23/2028 (A) |
|
|
|
|
|
|
1,799 |
|
|
|
2,060 |
|
| 4.000%, 03/14/2029 (A) |
|
|
|
|
|
|
2,833 |
|
|
|
3,162 |
|
| 4.000%, 03/14/2029 |
|
|
|
|
|
|
2,497 |
|
|
|
2,787 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Romania — 1.4% |
|
|
|
|
|
| Government of Romania |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.850%, 04/26/2023 |
|
|
RON |
|
|
|
1,720 |
|
|
$ |
428 |
|
| Romania Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.850%, 04/22/2026 |
|
|
RON |
|
|
|
16,775 |
|
|
|
4,091 |
|
| 4.400%, 09/25/2023 |
|
|
RON |
|
|
|
7,500 |
|
|
|
1,794 |
|
| Romanian Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.800%, 07/26/2027 |
|
|
RON |
|
|
|
7,880 |
|
|
|
2,031 |
|
| 5.125%, 06/15/2048 |
|
|
|
|
|
|
838 |
|
|
|
963 |
|
| 5.000%, 02/12/2029 |
|
|
RON |
|
|
|
10,160 |
|
|
|
2,478 |
|
| 4.500%, 06/17/2024 |
|
|
RON |
|
|
|
14,875 |
|
|
|
3,561 |
|
| 4.250%, 06/28/2023 |
|
|
RON |
|
|
|
2,730 |
|
|
|
648 |
|
| 4.000%, 10/27/2021 |
|
|
RON |
|
|
|
10,545 |
|
|
|
2,488 |
|
| Romanian Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.750%, 02/07/2022 |
|
|
|
|
|
|
904 |
|
|
|
988 |
|
| 4.625%, 04/03/2049 |
|
|
EUR |
|
|
|
278 |
|
|
|
385 |
|
| 4.125%, 03/11/2039 |
|
|
EUR |
|
|
|
1,908 |
|
|
|
2,484 |
|
| 3.375%, 02/08/2038 |
|
|
EUR |
|
|
|
973 |
|
|
|
1,188 |
|
| 2.124%, 07/16/2031 |
|
|
EUR |
|
|
|
158 |
|
|
|
181 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Russia — 6.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| Gazprom OAO Via Gaz Capital |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.150%, 02/11/2026 (A) |
|
|
|
|
|
|
2,673 |
|
|
|
2,973 |
|
| GTH Finance BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 04/26/2020 |
|
|
|
|
|
|
580 |
|
|
|
582 |
|
| GTLK Europe Capital DAC |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.949%, 02/18/2026 |
|
|
|
|
|
|
968 |
|
|
|
998 |
|
| GTLK Europe DAC |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.950%, 07/19/2021 |
|
|
|
|
|
|
470 |
|
|
|
490 |
|
| Ritekro (E) |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.490%, 11/07/2022 (C) |
|
|
|
|
|
|
914 |
|
|
|
612 |
|
| Rusal Capital DAC |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.125%, 02/02/2022 |
|
|
|
|
|
|
860 |
|
|
|
879 |
|
| Russian Federal Bond - OFZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.500%, 09/17/2031 |
|
|
RUB |
|
|
|
176,982 |
|
|
|
3,368 |
|
| 8.150%, 02/03/2027 |
|
|
RUB |
|
|
|
827,610 |
|
|
|
14,896 |
|
| 7.950%, 10/07/2026 |
|
|
RUB |
|
|
|
688,722 |
|
|
|
12,203 |
|
| 7.750%, 09/16/2026 |
|
|
RUB |
|
|
|
68,909 |
|
|
|
1,209 |
|
| 7.700%, 03/23/2033 |
|
|
RUB |
|
|
|
229,686 |
|
|
|
4,125 |
|
| 7.500%, 08/18/2021 |
|
|
RUB |
|
|
|
21,285 |
|
|
|
353 |
|
| 7.250%, 05/10/2034 |
|
|
RUB |
|
|
|
303,661 |
|
|
|
5,270 |
|
| 7.100%, 10/16/2024 |
|
|
RUB |
|
|
|
170,937 |
|
|
|
2,884 |
|
| 7.050%, 01/19/2028 |
|
|
RUB |
|
|
|
1,041,377 |
|
|
|
17,702 |
|
| 7.000%, 08/16/2023 (B) |
|
|
RUB |
|
|
|
417,089 |
|
|
|
6,985 |
|
| 6.900%, 05/23/2029 |
|
|
RUB |
|
|
|
438,898 |
|
|
|
7,448 |
|
| Russian Foreign Bond - Eurobond |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.500%, 03/31/2030 |
|
|
|
|
|
|
2 |
|
|
|
2 |
|
| 5.875%, 09/16/2043 (B) |
|
|
|
|
|
|
2,200 |
|
|
|
2,966 |
|
| 5.625%, 04/04/2042 |
|
|
|
|
|
|
800 |
|
|
|
1,046 |
|
| 5.250%, 06/23/2047 (B) |
|
|
|
|
|
|
2,400 |
|
|
|
3,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| 5.100%, 03/28/2035 (A) |
|
|
|
|
|
|
2,200 |
|
|
$ |
2,629 |
|
| 5.100%, 03/28/2035 (B) |
|
|
|
|
|
|
600 |
|
|
|
718 |
|
| 4.750%, 05/27/2026 |
|
|
|
|
|
|
3,400 |
|
|
|
3,793 |
|
| 4.375%, 03/21/2029 |
|
|
|
|
|
|
8,400 |
|
|
|
9,337 |
|
| 4.250%, 06/23/2027 |
|
|
|
|
|
|
800 |
|
|
|
873 |
|
| SCF Capital Designated Activity |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.375%, 06/16/2023 (A) |
|
|
|
|
|
|
729 |
|
|
|
782 |
|
| Vnesheconombank Via VEB Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.902%, 07/09/2020 |
|
|
|
|
|
|
1,310 |
|
|
|
1,339 |
|
| 6.800%, 11/22/2025 |
|
|
|
|
|
|
580 |
|
|
|
691 |
|
| 6.800%, 11/22/2025 (A) |
|
|
|
|
|
|
150 |
|
|
|
179 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110,336 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Saudi Arabia — 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Acwa Power Management And Investments One |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.950%, 12/15/2039 (A) |
|
|
|
|
|
|
2,943 |
|
|
|
3,129 |
|
| KSA Sukuk MTN (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.628%, 04/20/2027 |
|
|
|
|
|
|
934 |
|
|
|
990 |
|
| 2.969%, 10/29/2029 |
|
|
|
|
|
|
3,663 |
|
|
|
3,677 |
|
| Saudi Arabian Oil MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.250%, 04/16/2039 |
|
|
|
|
|
|
1,530 |
|
|
|
1,639 |
|
| 4.250%, 04/16/2039 (A)(B) |
|
|
|
|
|
|
4,637 |
|
|
|
4,967 |
|
| 2.875%, 04/16/2024 |
|
|
|
|
|
|
1,645 |
|
|
|
1,670 |
|
| Saudi Government International Bond (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.250%, 01/16/2050 (B) |
|
|
|
|
|
|
778 |
|
|
|
967 |
|
| 4.375%, 04/16/2029 |
|
|
|
|
|
|
382 |
|
|
|
428 |
|
| Saudi Government International Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 04/17/2049 (A) |
|
|
|
|
|
|
1,360 |
|
|
|
1,625 |
|
| 5.000%, 04/17/2049 (B) |
|
|
|
|
|
|
1,003 |
|
|
|
1,199 |
|
| 4.625%, 10/04/2047 |
|
|
|
|
|
|
1,041 |
|
|
|
1,171 |
|
| 4.625%, 10/04/2047 (A) |
|
|
|
|
|
|
423 |
|
|
|
476 |
|
| 4.500%, 10/26/2046 |
|
|
|
|
|
|
580 |
|
|
|
642 |
|
| 3.625%, 03/04/2028 (A) |
|
|
|
|
|
|
934 |
|
|
|
986 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senegal — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Senegal Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 07/30/2024 (B) |
|
|
|
|
|
|
877 |
|
|
|
970 |
|
| 6.250%, 05/23/2033 |
|
|
|
|
|
|
740 |
|
|
|
777 |
|
| 6.250%, 05/23/2033 (A) |
|
|
|
|
|
|
151 |
|
|
|
159 |
|
| 4.750%, 03/13/2028 |
|
|
EUR |
|
|
|
1,135 |
|
|
|
1,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Serbia — 0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| Republic of Serbia |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.250%, 09/28/2021 |
|
|
|
|
|
|
2,697 |
|
|
|
2,939 |
|
| 7.250%, 09/28/2021 (A) |
|
|
|
|
|
|
200 |
|
|
|
218 |
|
| Serbia International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.500%, 06/26/2029 |
|
|
EUR |
|
|
|
3,154 |
|
|
|
3,599 |
|
| Serbia Treasury Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.875%, 02/08/2028 |
|
|
RSD |
|
|
|
203,510 |
|
|
|
2,346 |
|
| 4.500%, 01/11/2026 |
|
|
RSD |
|
|
|
211,800 |
|
|
|
2,213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| 3.750%, 01/17/2022 |
|
|
RSD |
|
|
|
350,070 |
|
|
$ |
3,456 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| South Africa — 4.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| Eskom Holdings SOC |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.125%, 02/11/2025 (A) |
|
|
|
|
|
|
2,085 |
|
|
|
2,131 |
|
| 7.125%, 02/11/2025 |
|
|
|
|
|
|
1,430 |
|
|
|
1,461 |
|
| 5.750%, 01/26/2021 |
|
|
|
|
|
|
665 |
|
|
|
666 |
|
| Eskom Holdings SOC MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.450%, 08/10/2028
(A)(B) |
|
|
|
|
|
|
471 |
|
|
|
507 |
|
| 7.500%, 09/15/2033 |
|
|
ZAR |
|
|
|
35,200 |
|
|
|
1,917 |
|
| 6.750%, 08/06/2023 |
|
|
|
|
|
|
1,556 |
|
|
|
1,585 |
|
| 6.750%, 08/06/2023
(A)(B) |
|
|
|
|
|
|
1,329 |
|
|
|
1,354 |
|
| 6.350%, 08/10/2028 (A) |
|
|
|
|
|
|
322 |
|
|
|
345 |
|
| Republic of South Africa |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.500%, 12/21/2026 |
|
|
ZAR |
|
|
|
211,105 |
|
|
|
16,885 |
|
| 9.000%, 01/31/2040 |
|
|
ZAR |
|
|
|
141,298 |
|
|
|
9,209 |
|
| 8.875%, 02/28/2035 |
|
|
ZAR |
|
|
|
109,759 |
|
|
|
7,322 |
|
| 8.750%, 01/31/2044 |
|
|
ZAR |
|
|
|
52,605 |
|
|
|
3,305 |
|
| 8.750%, 02/28/2048 |
|
|
ZAR |
|
|
|
47,057 |
|
|
|
2,968 |
|
| 8.500%, 01/31/2037 |
|
|
ZAR |
|
|
|
47,889 |
|
|
|
3,032 |
|
| 8.250%, 03/31/2032 |
|
|
ZAR |
|
|
|
36,331 |
|
|
|
2,384 |
|
| 7.000%, 02/28/2031 |
|
|
ZAR |
|
|
|
51,041 |
|
|
|
3,090 |
|
| 6.500%, 02/28/2041 |
|
|
ZAR |
|
|
|
6,319 |
|
|
|
314 |
|
| 6.300%, 06/22/2048 (B) |
|
|
|
|
|
|
964 |
|
|
|
1,020 |
|
| 6.250%, 03/31/2036 |
|
|
ZAR |
|
|
|
68,414 |
|
|
|
3,500 |
|
| 5.875%, 09/16/2025 (B) |
|
|
|
|
|
|
1,460 |
|
|
|
1,607 |
|
| 5.875%, 06/22/2030 |
|
|
|
|
|
|
1,402 |
|
|
|
1,515 |
|
| 5.750%, 09/30/2049 |
|
|
|
|
|
|
3,829 |
|
|
|
3,729 |
|
| 5.650%, 09/27/2047 |
|
|
|
|
|
|
386 |
|
|
|
375 |
|
| 5.000%, 10/12/2046 |
|
|
|
|
|
|
357 |
|
|
|
327 |
|
| 4.875%, 04/14/2026 |
|
|
|
|
|
|
300 |
|
|
|
312 |
|
| 4.850%, 09/27/2027 |
|
|
|
|
|
|
420 |
|
|
|
434 |
|
| 4.850%, 09/30/2029 |
|
|
|
|
|
|
2,228 |
|
|
|
2,228 |
|
| SASOL Financing USA |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.875%, 03/27/2024 |
|
|
|
|
|
|
442 |
|
|
|
479 |
|
| Transnet SOC MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.500%, 05/13/2021 (A) |
|
|
ZAR |
|
|
|
6,760 |
|
|
|
492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| South Korea — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Export-Import Bank of Korea MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.400%, 11/30/2021 |
|
|
IDR |
|
|
|
2,400,000 |
|
|
|
1,664 |
|
| 7.250%, 12/07/2024 |
|
|
IDR |
|
|
|
700,000 |
|
|
|
51 |
|
| Korea International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.500%, 06/19/2029 |
|
|
|
|
|
|
1,469 |
|
|
|
1,485 |
|
| 2.000%, 06/19/2024 |
|
|
|
|
|
|
824 |
|
|
|
824 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Spain — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| AI Candelaria Spain SLU |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.500%, 12/15/2028 (A) |
|
|
|
|
|
|
1,269 |
|
|
|
1,423 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Sri Lanka — 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Sri Lanka Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.850%, 03/14/2029 |
|
|
|
|
|
|
1,598 |
|
|
$ |
1,618 |
|
| 7.850%, 03/14/2029 (A) |
|
|
|
|
|
|
408 |
|
|
|
413 |
|
| 7.550%, 03/28/2030 |
|
|
|
|
|
|
405 |
|
|
|
401 |
|
| 6.850%, 03/14/2024 |
|
|
|
|
|
|
512 |
|
|
|
518 |
|
| 6.850%, 11/03/2025 |
|
|
|
|
|
|
1,339 |
|
|
|
1,339 |
|
| 6.825%, 07/18/2026 (A) |
|
|
|
|
|
|
1,584 |
|
|
|
1,564 |
|
| 6.825%, 07/18/2026 |
|
|
|
|
|
|
500 |
|
|
|
494 |
|
| 6.750%, 04/18/2028 (A) |
|
|
|
|
|
|
5,224 |
|
|
|
5,002 |
|
| 6.750%, 04/18/2028 |
|
|
|
|
|
|
817 |
|
|
|
782 |
|
| 6.350%, 06/28/2024 (A) |
|
|
|
|
|
|
1,294 |
|
|
|
1,287 |
|
| 6.250%, 07/27/2021 |
|
|
|
|
|
|
1,834 |
|
|
|
1,864 |
|
| 6.200%, 05/11/2027 |
|
|
|
|
|
|
910 |
|
|
|
853 |
|
| 5.875%, 07/25/2022 (A) |
|
|
|
|
|
|
960 |
|
|
|
959 |
|
| 5.750%, 04/18/2023 (A) |
|
|
|
|
|
|
1,462 |
|
|
|
1,444 |
|
| 5.750%, 04/18/2023 |
|
|
|
|
|
|
1,252 |
|
|
|
1,236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,774 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supranational — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| African Export-Import Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.994%, 09/21/2029 (A) |
|
|
|
|
|
|
363 |
|
|
|
368 |
|
| Banque Ouest Africaine de Developpement (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.000%, 07/27/2027 |
|
|
|
|
|
|
865 |
|
|
|
917 |
|
| 4.700%, 10/22/2031 |
|
|
|
|
|
|
683 |
|
|
|
693 |
|
| European Bank for Reconstruction & Development MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.250%, 12/02/2020 |
|
|
IDR |
|
|
|
9,210,000 |
|
|
|
684 |
|
| European Investment Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.500%, 09/17/2024 |
|
|
ZAR |
|
|
|
9,200 |
|
|
|
698 |
|
| Inter-American Development Bank MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.875%, 03/14/2023 |
|
|
IDR |
|
|
|
880,000 |
|
|
|
3,861 |
|
| International Bank for Reconstruction & Development MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.450%, 08/20/2021 |
|
|
IDR |
|
|
|
914,700 |
|
|
|
805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Suriname — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Suriname Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.250%, 10/26/2026 |
|
|
|
|
|
|
382 |
|
|
|
300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Thailand — 3.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Thailand Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.670%, 03/13/2028 |
|
|
THB |
|
|
|
3,000 |
|
|
|
133 |
|
| 4.875%, 06/22/2029 |
|
|
THB |
|
|
|
22,000 |
|
|
|
952 |
|
| 3.775%, 06/25/2032 |
|
|
THB |
|
|
|
272,708 |
|
|
|
11,260 |
|
| 3.650%, 06/20/2031 |
|
|
THB |
|
|
|
84,500 |
|
|
|
3,420 |
|
| 3.625%, 06/16/2023 |
|
|
THB |
|
|
|
55,000 |
|
|
|
1,984 |
|
| 3.400%, 06/17/2036 |
|
|
THB |
|
|
|
234,056 |
|
|
|
9,655 |
|
| 3.300%, 06/17/2038 |
|
|
THB |
|
|
|
55,930 |
|
|
|
2,288 |
|
| 2.875%, 12/17/2028 |
|
|
THB |
|
|
|
298,342 |
|
|
|
11,126 |
|
| 2.875%, 06/17/2046 |
|
|
THB |
|
|
|
3,431 |
|
|
|
135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| 2.550%, 06/26/2020 |
|
|
THB |
|
|
|
5,000 |
|
|
$ |
168 |
|
| 2.400%, 12/17/2023 |
|
|
THB |
|
|
|
88,000 |
|
|
|
3,067 |
|
| 2.125%, 12/17/2026 |
|
|
THB |
|
|
|
52,817 |
|
|
|
1,851 |
|
| 1.875%, 06/17/2022 |
|
|
THB |
|
|
|
57,000 |
|
|
|
1,934 |
|
| 1.450%, 12/17/2024 |
|
|
THB |
|
|
|
118,200 |
|
|
|
3,979 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tunisia — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Banque Centrale de Tunisie International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.375%, 07/15/2026 (B) |
|
|
EUR |
|
|
|
472 |
|
|
|
525 |
|
| 5.750%, 01/30/2025 (B) |
|
|
|
|
|
|
646 |
|
|
|
602 |
|
| 5.625%, 02/17/2024 |
|
|
EUR |
|
|
|
1,650 |
|
|
|
1,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,966 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Turkey — 3.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| Export Credit Bank of Turkey (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.250%, 01/24/2024 |
|
|
|
|
|
|
423 |
|
|
|
460 |
|
| 6.125%, 05/03/2024 |
|
|
|
|
|
|
247 |
|
|
|
250 |
|
| 5.375%, 10/24/2023 |
|
|
|
|
|
|
1,033 |
|
|
|
1,027 |
|
| 5.000%, 09/23/2021 |
|
|
|
|
|
|
538 |
|
|
|
545 |
|
| Export Credit Bank of Turkey MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.375%, 02/08/2021 (A) |
|
|
|
|
|
|
896 |
|
|
|
910 |
|
| Hazine Mustesarligi Varlik Kiralama |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.800%, 02/21/2022 (A) |
|
|
|
|
|
|
2,770 |
|
|
|
2,854 |
|
| Mersin Uluslararasi Liman Isletmeciligi |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.375%, 11/15/2024 (A) |
|
|
|
|
|
|
235 |
|
|
|
242 |
|
| QNB Finansbank |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.875%, 09/07/2024 (A) |
|
|
|
|
|
|
613 |
|
|
|
653 |
|
| TC Ziraat Bankasi MTN (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.125%, 05/03/2022 |
|
|
|
|
|
|
1,063 |
|
|
|
1,058 |
|
| 4.750%, 04/29/2021 |
|
|
|
|
|
|
561 |
|
|
|
564 |
|
| Turkey Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 16.200%, 06/14/2023 |
|
|
TRY |
|
|
|
20,814 |
|
|
|
3,943 |
|
| 12.200%, 01/18/2023 |
|
|
TRY |
|
|
|
22,055 |
|
|
|
3,773 |
|
| 11.000%, 03/02/2022 |
|
|
TRY |
|
|
|
28,809 |
|
|
|
4,805 |
|
| 10.700%, 02/17/2021 |
|
|
TRY |
|
|
|
3,800 |
|
|
|
636 |
|
| 10.700%, 08/17/2022 |
|
|
TRY |
|
|
|
21,356 |
|
|
|
3,531 |
|
| 9.500%, 01/12/2022 |
|
|
TRY |
|
|
|
8,243 |
|
|
|
1,340 |
|
| 9.200%, 09/22/2021 |
|
|
TRY |
|
|
|
5,522 |
|
|
|
898 |
|
| 8.500%, 09/14/2022 |
|
|
TRY |
|
|
|
3,864 |
|
|
|
609 |
|
| 7.625%, 04/26/2029 |
|
|
|
|
|
|
1,363 |
|
|
|
1,505 |
|
| 7.375%, 02/05/2025 (B) |
|
|
|
|
|
|
655 |
|
|
|
715 |
|
| 7.250%, 12/23/2023 |
|
|
|
|
|
|
2,322 |
|
|
|
2,512 |
|
| 7.100%, 03/08/2023 |
|
|
TRY |
|
|
|
37,884 |
|
|
|
5,634 |
|
| 6.875%, 03/17/2036 |
|
|
|
|
|
|
1,424 |
|
|
|
1,469 |
|
| 6.350%, 08/10/2024 |
|
|
|
|
|
|
2,500 |
|
|
|
2,611 |
|
| 6.125%, 10/24/2028 |
|
|
|
|
|
|
1,172 |
|
|
|
1,186 |
|
| 6.000%, 01/14/2041 |
|
|
|
|
|
|
918 |
|
|
|
854 |
|
| 5.750%, 03/22/2024 |
|
|
|
|
|
|
683 |
|
|
|
698 |
|
| 5.750%, 05/11/2047 |
|
|
|
|
|
|
2,447 |
|
|
|
2,167 |
|
| 5.125%, 02/17/2028 |
|
|
|
|
|
|
4,124 |
|
|
|
3,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
|
|
|
|
| 4.875%, 10/09/2026 |
|
|
|
|
|
|
1,587 |
|
|
$ |
1,515 |
|
| 4.250%, 04/14/2026 |
|
|
|
|
|
|
338 |
|
|
|
315 |
|
| 3.000%, 08/02/2023 |
|
|
TRY |
|
|
|
10,461 |
|
|
|
1,743 |
|
| Turkiye Garanti Bankasi |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.125%, VAR USD Swap Semi 30/360 5 Yr Curr+4.220%, 05/24/2027 (A) |
|
|
|
|
|
|
1,170 |
|
|
|
1,106 |
|
| Turkiye Sise ve Cam Fabrikalari |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.950%, 03/14/2026 |
|
|
|
|
|
|
500 |
|
|
|
528 |
|
| Yapi ve Kredi Bankasi MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.850%, 06/21/2024 (A)(B) |
|
|
|
|
|
|
429 |
|
|
|
421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ukraine — 2.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| Metinvest BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.750%, 10/17/2029 (A) |
|
|
|
|
|
|
833 |
|
|
|
851 |
|
| MHP Lux |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.250%, 09/19/2029 (A) |
|
|
|
|
|
|
1,049 |
|
|
|
1,028 |
|
| NAK Naftogaz Ukraine via Kondor Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.625%, 11/08/2026 (A) |
|
|
|
|
|
|
1,880 |
|
|
|
1,918 |
|
| 7.125%, 07/19/2024 |
|
|
EUR |
|
|
|
720 |
|
|
|
858 |
|
| Ukraine Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 17.000%, 05/11/2022 |
|
|
UAH |
|
|
|
71,848 |
|
|
|
3,260 |
|
| 16.000%, 08/11/2021 |
|
|
UAH |
|
|
|
148,624 |
|
|
|
6,454 |
|
| 15.840%, 02/26/2025 |
|
|
UAH |
|
|
|
66,553 |
|
|
|
3,238 |
|
| 15.700%, 01/20/2021 (A) |
|
|
UAH |
|
|
|
48,000 |
|
|
|
2,056 |
|
| 9.750%, 11/01/2028 |
|
|
|
|
|
|
4,884 |
|
|
|
5,934 |
|
| 8.994%, 02/01/2024 (A) |
|
|
|
|
|
|
155 |
|
|
|
174 |
|
| 8.994%, 02/01/2024 |
|
|
|
|
|
|
1,487 |
|
|
|
1,674 |
|
| 7.750%, 09/01/2020 |
|
|
|
|
|
|
656 |
|
|
|
674 |
|
| 7.750%, 09/01/2021 |
|
|
|
|
|
|
316 |
|
|
|
334 |
|
| 7.750%, 09/01/2022 |
|
|
|
|
|
|
830 |
|
|
|
893 |
|
| 7.750%, 09/01/2025 (A) |
|
|
|
|
|
|
1,661 |
|
|
|
1,813 |
|
| 7.750%, 09/01/2026 (A) |
|
|
|
|
|
|
560 |
|
|
|
612 |
|
| 7.750%, 09/01/2026 |
|
|
|
|
|
|
4,970 |
|
|
|
5,432 |
|
| 7.750%, 09/01/2027 |
|
|
|
|
|
|
624 |
|
|
|
683 |
|
| 7.750%, 09/01/2027 (A) |
|
|
|
|
|
|
1,785 |
|
|
|
1,954 |
|
| 7.375%, 09/25/2032 |
|
|
|
|
|
|
1,746 |
|
|
|
1,862 |
|
| 7.375%, 09/25/2032 (A) |
|
|
|
|
|
|
270 |
|
|
|
288 |
|
| 6.750%, 06/20/2026 (A) |
|
|
EUR |
|
|
|
547 |
|
|
|
689 |
|
| 6.750%, 06/20/2026 |
|
|
EUR |
|
|
|
1,122 |
|
|
|
1,414 |
|
| 3.280%, 05/31/2040 (A)(D) |
|
|
|
|
|
|
2,206 |
|
|
|
2,109 |
|
| Ukreximbank Via Biz Finance |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.625%, 04/27/2022 (A) |
|
|
|
|
|
|
713 |
|
|
|
747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46,949 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Arab Emirates — 1.4% |
|
|
|
|
|
|
|
|
|
| Abu Dhabi Crude Oil Pipeline |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.600%, 11/02/2047 (A) |
|
|
|
|
|
|
5,448 |
|
|
|
6,293 |
|
| 4.600%, 11/02/2047 |
|
|
|
|
|
|
330 |
|
|
|
381 |
|
| 3.650%, 11/02/2029 (A) |
|
|
|
|
|
|
1,274 |
|
|
|
1,368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
| GLOBAL BONDS (continued) |
|
| Abu Dhabi Government International Bond (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.125%, 10/11/2047 |
|
|
|
|
|
|
824 |
|
|
$ |
958 |
|
| 3.125%, 09/30/2049 |
|
|
|
|
|
|
3,675 |
|
|
|
3,583 |
|
| 2.500%, 09/30/2029 |
|
|
|
|
|
|
2,677 |
|
|
|
2,667 |
|
| Emirate of Dubai Government International Bonds MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.250%, 01/30/2043 |
|
|
|
|
|
|
490 |
|
|
|
560 |
|
| MDC-GMTN BV MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.500%, 11/07/2028 (A) |
|
|
|
|
|
|
1,346 |
|
|
|
1,528 |
|
| 4.500%, 11/07/2028 |
|
|
|
|
|
|
1,225 |
|
|
|
1,391 |
|
| MDGH - GMTN BV MTN (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.700%, 11/07/2049 |
|
|
|
|
|
|
711 |
|
|
|
739 |
|
| 2.875%, 11/07/2029 |
|
|
|
|
|
|
2,495 |
|
|
|
2,516 |
|
| Sharjah Sukuk Program MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.854%, 04/03/2026 |
|
|
|
|
|
|
359 |
|
|
|
378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Kingdom — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Standard Chartered Bank MTN (A) |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.375%, 10/18/2039 |
|
|
IDR |
|
|
|
797,000 |
|
|
|
1,603 |
|
| 8.250%, 05/17/2029 |
|
|
IDR |
|
|
|
930,000 |
|
|
|
3,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United States — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Rutas 2 and 7 Finance Ltd |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.708%, 09/30/2036 (A)(C) |
|
|
|
|
|
|
930 |
|
|
|
602 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Uruguay — 0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| Republic of Uruguay |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.100%, 06/18/2050 (B) |
|
|
|
|
|
|
474 |
|
|
|
569 |
|
| Uruguay Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.875%, 06/20/2022 |
|
|
UYU |
|
|
|
16,146 |
|
|
|
425 |
|
| 8.500%, 03/15/2028 |
|
|
UYU |
|
|
|
8,397 |
|
|
|
193 |
|
| 4.375%, 10/27/2027 (B) |
|
|
|
|
|
|
2,904 |
|
|
|
3,210 |
|
| 4.375%, 01/23/2031 |
|
|
|
|
|
|
4,694 |
|
|
|
5,248 |
|
| 4.125%, 11/20/2045 (B) |
|
|
|
|
|
|
346 |
|
|
|
372 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Uzbekistan — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Republic of Uzbekistan Bond MTN |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.375%, 02/20/2029 |
|
|
|
|
|
|
983 |
|
|
|
1,091 |
|
| 4.750%, 02/20/2024 |
|
|
|
|
|
|
632 |
|
|
|
671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Venezuela — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Petroleos de Venezuela |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.750%, 05/17/2035 (F) |
|
|
|
|
|
|
1,000 |
|
|
|
78 |
|
| 9.000%, 11/17/2021 (B)(F) |
|
|
|
|
|
|
4,300 |
|
|
|
333 |
|
| 6.000%, 05/16/2024 (F)(G) |
|
|
|
|
|
|
10,192 |
|
|
|
790 |
|
| 6.000%, 05/16/2024 (F) |
|
|
|
|
|
|
7,785 |
|
|
|
603 |
|
| 6.000%, 11/15/2026 (F)(G) |
|
|
|
|
|
|
13,215 |
|
|
|
1,024 |
|
| 5.500%, 04/12/2037 (F) |
|
|
|
|
|
|
1,740 |
|
|
|
135 |
|
| 5.375%, 04/12/2027 (F) |
|
|
|
|
|
|
4,563 |
|
|
|
354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Face Amount
(Thousands) (1) |
|
Market Value
($ Thousands) |
|
|
| GLOBAL BONDS (continued) |
|
|
|
|
|
| Venezuela Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.250%, 09/15/2027 (F) |
|
|
|
|
|
|
2,300 |
|
|
$ |
265 |
|
| 9.250%, 05/07/2028 (F) |
|
|
|
|
|
|
2,941 |
|
|
|
338 |
|
| 8.250%, 10/13/2024 (F) |
|
|
|
|
|
|
3,304 |
|
|
|
380 |
|
| 7.750%, 10/13/2019 (F) |
|
|
|
|
|
|
3,976 |
|
|
|
447 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Vietnam — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Mong Duong Finance Holdings BV |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.125%, 05/07/2029 (A) |
|
|
|
|
|
|
692 |
|
|
|
708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Zambia — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| First Quantum Minerals |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.500%, 04/01/2025 (A) |
|
|
|
|
|
|
190 |
|
|
|
194 |
|
| Zambia Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.500%, 04/14/2024 (A) |
|
|
|
|
|
|
1,139 |
|
|
|
783 |
|
| 5.375%, 09/20/2022 (B) |
|
|
|
|
|
|
1,695 |
|
|
|
1,151 |
|
| 5.375%, 09/20/2022 (A) |
|
|
|
|
|
|
794 |
|
|
|
539 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Global Bonds
(Cost $1,553,499) ($ Thousands) |
|
|
|
|
|
|
|
|
|
|
1,588,044 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATION — 0.2% |
|
|
|
|
|
| United States Treasury Bills |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.549%, 05/07/2020 (C) |
|
|
|
|
|
|
3,991 |
|
|
|
3,970 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligation
(Cost $3,970) ($ Thousands) |
|
|
|
3,970 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
|
|
| AFFILIATED PARTNERSHIP — 4.5% |
|
|
|
|
|
| SEI Liquidity Fund, L.P. |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.600% **(H) |
|
|
|
|
|
|
73,658,520 |
|
|
|
73,655 |
|
| Total Affiliated Partnership
(Cost $73,658) ($ Thousands) |
|
|
|
73,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities — 100.8%
(Cost $1,631,127) ($ Thousands) |
|
|
$ |
1,665,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
|
|
|
Contracts |
|
Market Value
($ Thousands) |
|
|
| PURCHASED OPTION*(I) — 0.0% |
|
|
|
|
|
| Total Purchased Option
(Cost $279) ($ Thousands) |
|
|
|
|
|
|
26,834,317 |
|
|
$ |
69 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open option contracts held by the Fund at December 31, 2019, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of Contracts |
|
|
Notional Amount
(Thousands)† |
|
|
Exercise Price |
|
|
Expiration Date |
|
|
Value
(Thousands) |
|
| PURCHASED OPTION — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| September 2020, USD Call HKD Put* |
|
|
26,834,317 |
|
|
$ |
279 |
|
|
|
$7.85 |
|
|
|
09/19/20 |
|
|
$ |
69 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Purchased Option |
|
|
|
|
|
$ |
– |
|
|
|
|
|
|
|
|
|
|
$ |
69 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
† Represents cost.
A list of the open futures contracts held by the Fund at December 31, 2019, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Type of Contract |
|
Number of
Contracts
Long (Short) |
|
|
Expiration
Date |
|
|
Notional Amount
(Thousands) |
|
Value
(Thousands) |
|
Unrealized
Appreciation/Depreciation
(Thousands) |
|
|
|
|
|
|
| Euro-Bund |
|
|
(113) |
|
|
|
Mar-2020 |
|
|
$ |
(21,619 |
) |
|
$ |
(21,625 |
) |
|
$ |
259 |
|
|
|
|
|
|
|
| Euro-Buxl |
|
|
(16) |
|
|
|
Mar-2020 |
|
|
|
(3,637 |
) |
|
|
(3,563 |
) |
|
|
117 |
|
|
|
|
|
|
|
| Korea 10-Year Bond |
|
|
(28) |
|
|
|
Mar-2020 |
|
|
|
(3,086 |
) |
|
|
(3,154 |
) |
|
|
12 |
|
|
|
|
|
|
|
| Korea 3-Year Bond |
|
|
145 |
|
|
|
Mar-2020 |
|
|
|
13,497 |
|
|
|
13,860 |
|
|
|
8 |
|
|
|
|
|
|
|
| R023 Bond Future |
|
|
568 |
|
|
|
Feb-2020 |
|
|
|
4,069 |
|
|
|
4,264 |
|
|
|
5 |
|
|
|
|
|
|
|
| R186 Bond Future |
|
|
1,021 |
|
|
|
Feb-2020 |
|
|
|
7,838 |
|
|
|
8,251 |
|
|
|
42 |
|
|
|
|
|
|
|
| R2032 Bond Future |
|
|
493 |
|
|
|
Feb-2020 |
|
|
|
3,216 |
|
|
|
3,336 |
|
|
|
(27 |
) |
|
|
|
|
|
|
| R2035 Bond Future |
|
|
571 |
|
|
|
Feb-2020 |
|
|
|
3,846 |
|
|
|
3,965 |
|
|
|
(55 |
) |
|
|
|
|
|
|
| R2037 Bond Future |
|
|
430 |
|
|
|
Feb-2020 |
|
|
|
2,662 |
|
|
|
2,725 |
|
|
|
(56 |
) |
|
|
|
|
|
|
| R2040 Bond Future |
|
|
978 |
|
|
|
Feb-2020 |
|
|
|
6,224 |
|
|
|
6,382 |
|
|
|
(122 |
) |
|
|
|
|
|
|
| R208 Bond Future |
|
|
112 |
|
|
|
Feb-2020 |
|
|
|
787 |
|
|
|
821 |
|
|
|
(2 |
) |
|
|
|
|
|
|
| R213 Bond Future |
|
|
793 |
|
|
|
Feb-2020 |
|
|
|
4,788 |
|
|
|
4,972 |
|
|
|
(35 |
) |
|
|
|
|
|
|
| R214 Bond Future |
|
|
250 |
|
|
|
Feb-2020 |
|
|
|
1,259 |
|
|
|
1,293 |
|
|
|
(23 |
) |
|
|
|
|
|
|
| U.S. 10-Year Treasury Note |
|
|
72 |
|
|
|
Mar-2020 |
|
|
|
9,316 |
|
|
|
9,246 |
|
|
|
(70 |
) |
|
|
|
|
|
|
| U.S. Ultra Long Treasury Bond |
|
|
49 |
|
|
|
Mar-2020 |
|
|
|
9,172 |
|
|
|
8,901 |
|
|
|
(270 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
38,332 |
|
|
$ |
39,674 |
|
|
$ |
(217 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open forward foreign currency contracts held by the Fund at December 31, 2019, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement Date |
|
|
|
|
Currency to Deliver
(Thousands) |
|
|
|
|
|
Currency to Receive
(Thousands) |
|
Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
|
|
|
|
|
|
| Barclays PLC |
|
03/18/20 |
|
|
USD |
|
|
|
13,176 |
|
|
|
THB |
|
|
|
397,534 |
|
|
$ |
122 |
|
|
|
|
|
|
|
|
| Barclays PLC |
|
03/18/20 |
|
|
TWD |
|
|
|
125,619 |
|
|
|
USD |
|
|
|
4,182 |
|
|
|
(44 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
01/06/20 |
|
|
USD |
|
|
|
1,046 |
|
|
|
EUR |
|
|
|
947 |
|
|
|
17 |
|
|
|
|
|
|
|
|
| Citigroup |
|
01/06/20 - 02/05/20 |
|
|
EUR |
|
|
|
3,421 |
|
|
|
USD |
|
|
|
3,804 |
|
|
|
(37 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
01/08/20 - 02/19/20 |
|
|
HUF |
|
|
|
1,699,510 |
|
|
|
EUR |
|
|
|
5,144 |
|
|
|
6 |
|
|
|
|
|
|
|
|
| Citigroup |
|
01/08/20 |
|
|
HUF |
|
|
|
215,937 |
|
|
|
EUR |
|
|
|
645 |
|
|
|
(9 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
01/14/20 - 02/18/20 |
|
|
EUR |
|
|
|
2,297 |
|
|
|
PLN |
|
|
|
9,846 |
|
|
|
20 |
|
|
|
|
|
|
|
|
| Citigroup |
|
01/14/20 |
|
|
PLN |
|
|
|
14,238 |
|
|
|
EUR |
|
|
|
3,321 |
|
|
|
(29 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
01/15/20 - 03/03/20 |
|
|
USD |
|
|
|
18,147 |
|
|
|
BRL |
|
|
|
76,563 |
|
|
|
861 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement Date |
|
|
|
|
|
Currency to Deliver
(Thousands) |
|
|
|
|
|
Currency to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
|
|
|
|
|
|
| Citigroup |
|
|
01/22/20 |
|
|
|
USD |
|
|
|
6,119 |
|
|
|
BRL |
|
|
|
24,503 |
|
|
$ |
(31 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
01/15/20 - 02/19/20 |
|
|
|
UGX |
|
|
|
23,216,948 |
|
|
|
USD |
|
|
|
6,026 |
|
|
|
(280 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
01/21/20 - 03/18/20 |
|
|
|
EUR |
|
|
|
4,520 |
|
|
|
CZK |
|
|
|
115,817 |
|
|
|
25 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
01/21/20 |
|
|
|
CZK |
|
|
|
12,014 |
|
|
|
EUR |
|
|
|
469 |
|
|
|
(4 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
01/22/20 |
|
|
|
IDR |
|
|
|
26,291,002 |
|
|
|
USD |
|
|
|
1,852 |
|
|
|
(44 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
01/23/20 |
|
|
|
USD |
|
|
|
336 |
|
|
|
RUB |
|
|
|
21,611 |
|
|
|
11 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
02/03/20 |
|
|
|
USD |
|
|
|
1,772 |
|
|
|
NGN |
|
|
|
680,163 |
|
|
|
91 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
02/05/20 - 03/18/20 |
|
|
|
USD |
|
|
|
7,173 |
|
|
|
MXN |
|
|
|
138,394 |
|
|
|
78 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
02/05/20 |
|
|
|
MXN |
|
|
|
23,071 |
|
|
|
USD |
|
|
|
1,198 |
|
|
|
(18 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
02/06/20 |
|
|
|
USD |
|
|
|
1,252 |
|
|
|
ZAR |
|
|
|
18,927 |
|
|
|
95 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
02/06/20 - 03/18/20 |
|
|
|
USD |
|
|
|
7,143 |
|
|
|
TRY |
|
|
|
42,213 |
|
|
|
(162 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
02/06/20 |
|
|
|
ZAR |
|
|
|
74,433 |
|
|
|
USD |
|
|
|
4,960 |
|
|
|
(340 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
02/07/20 - 03/18/20 |
|
|
|
USD |
|
|
|
13,280 |
|
|
|
CNY |
|
|
|
93,201 |
|
|
|
83 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
02/11/20 |
|
|
|
ILS |
|
|
|
18,182 |
|
|
|
USD |
|
|
|
5,253 |
|
|
|
(23 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
02/11/20 |
|
|
|
THB |
|
|
|
41,430 |
|
|
|
USD |
|
|
|
1,372 |
|
|
|
(13 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
02/12/20 - 03/18/20 |
|
|
|
USD |
|
|
|
10,002 |
|
|
|
PLN |
|
|
|
38,460 |
|
|
|
157 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
02/18/20 |
|
|
|
CLP |
|
|
|
2,588,752 |
|
|
|
USD |
|
|
|
3,403 |
|
|
|
(45 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
03/03/20 |
|
|
|
BRL |
|
|
|
9,800 |
|
|
|
USD |
|
|
|
2,290 |
|
|
|
(141 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
03/16/20 |
|
|
|
USD |
|
|
|
5,590 |
|
|
|
KRW |
|
|
|
6,533,719 |
|
|
|
80 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
1,552 |
|
|
|
RON |
|
|
|
6,659 |
|
|
|
6 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
03/18/20 |
|
|
|
PEN |
|
|
|
2,361 |
|
|
|
USD |
|
|
|
699 |
|
|
|
(12 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
2,838 |
|
|
|
COP |
|
|
|
9,745,723 |
|
|
|
125 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
10,346 |
|
|
|
THB |
|
|
|
312,348 |
|
|
|
103 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
03/18/20 |
|
|
|
TRY |
|
|
|
19,348 |
|
|
|
USD |
|
|
|
3,268 |
|
|
|
74 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
03/18/20 |
|
|
|
HUF |
|
|
|
179,134 |
|
|
|
USD |
|
|
|
610 |
|
|
|
— |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
03/18/20 |
|
|
|
INR |
|
|
|
599,193 |
|
|
|
USD |
|
|
|
8,392 |
|
|
|
44 |
|
|
|
|
|
|
|
|
| Citigroup |
|
|
03/18/20 |
|
|
|
KRW |
|
|
|
9,943,954 |
|
|
|
USD |
|
|
|
8,503 |
|
|
|
(128 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
03/23/20 |
|
|
|
EGP |
|
|
|
24,000 |
|
|
|
USD |
|
|
|
1,394 |
|
|
|
(88 |
) |
|
|
|
|
|
|
|
| Citigroup |
|
|
12/07/20 |
|
|
|
USD |
|
|
|
338 |
|
|
|
UYU |
|
|
|
13,787 |
|
|
|
6 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/08/20 |
|
|
|
HUF |
|
|
|
779,138 |
|
|
|
EUR |
|
|
|
2,347 |
|
|
|
(11 |
) |
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/14/20 - 02/18/20 |
|
|
|
EUR |
|
|
|
7,310 |
|
|
|
PLN |
|
|
|
31,436 |
|
|
|
79 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/16/20 - 01/28/20 |
|
|
|
USD |
|
|
|
4,062 |
|
|
|
KRW |
|
|
|
4,734,541 |
|
|
|
40 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/21/20 |
|
|
|
EUR |
|
|
|
1,211 |
|
|
|
CZK |
|
|
|
31,076 |
|
|
|
12 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/22/20 |
|
|
|
IDR |
|
|
|
23,315,848 |
|
|
|
USD |
|
|
|
1,643 |
|
|
|
(38 |
) |
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/23/20 |
|
|
|
USD |
|
|
|
1,274 |
|
|
|
RUB |
|
|
|
81,348 |
|
|
|
33 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
01/28/20 |
|
|
|
MYR |
|
|
|
2,437 |
|
|
|
USD |
|
|
|
584 |
|
|
|
(14 |
) |
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
04/02/20 |
|
|
|
RON |
|
|
|
6,126 |
|
|
|
EUR |
|
|
|
1,269 |
|
|
|
1 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
02/03/20 - 04/02/20 |
|
|
|
RON |
|
|
|
14,234 |
|
|
|
EUR |
|
|
|
2,951 |
|
|
|
(2 |
) |
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
02/05/20 |
|
|
|
USD |
|
|
|
465 |
|
|
|
MXN |
|
|
|
8,940 |
|
|
|
6 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
02/05/20 |
|
|
|
MXN |
|
|
|
5,570 |
|
|
|
USD |
|
|
|
289 |
|
|
|
(5 |
) |
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
02/06/20 |
|
|
|
USD |
|
|
|
681 |
|
|
|
TRY |
|
|
|
4,009 |
|
|
|
(12 |
) |
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
02/06/20 |
|
|
|
TRY |
|
|
|
5,221 |
|
|
|
USD |
|
|
|
893 |
|
|
|
22 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
02/06/20 - 03/18/20 |
|
|
|
USD |
|
|
|
17,356 |
|
|
|
ZAR |
|
|
|
256,476 |
|
|
|
840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement Date |
|
|
|
|
|
Currency to Deliver
(Thousands) |
|
|
|
|
|
Currency to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
02/18/20 |
|
|
|
CLP |
|
|
|
2,541,897 |
|
|
|
USD |
|
|
|
3,340 |
|
|
$ |
(44 |
) |
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
03/03/20 |
|
|
|
BRL |
|
|
|
53,766 |
|
|
|
USD |
|
|
|
12,620 |
|
|
|
(718 |
) |
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
03/16/20 |
|
|
|
USD |
|
|
|
5,793 |
|
|
|
BRL |
|
|
|
23,837 |
|
|
|
116 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
871 |
|
|
|
COP |
|
|
|
3,000,365 |
|
|
|
41 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
934 |
|
|
|
CLP |
|
|
|
714,656 |
|
|
|
18 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
1,213 |
|
|
|
CZK |
|
|
|
27,613 |
|
|
|
7 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
1,537 |
|
|
|
EUR |
|
|
|
1,373 |
|
|
|
12 |
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
03/23/20 |
|
|
|
EGP |
|
|
|
23,000 |
|
|
|
USD |
|
|
|
1,410 |
|
|
|
(10 |
) |
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
04/30/20 - 07/29/20 |
|
|
|
NGN |
|
|
|
2,164,387 |
|
|
|
USD |
|
|
|
5,665 |
|
|
|
(117 |
) |
|
|
|
|
|
|
|
| Goldman Sachs |
|
|
06/05/20 |
|
|
|
USD |
|
|
|
649 |
|
|
|
KZT |
|
|
|
262,222 |
|
|
|
13 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/06/20 -02/05/20 |
|
|
|
EUR |
|
|
|
55,938 |
|
|
|
USD |
|
|
|
62,150 |
|
|
|
(708 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
|
USD |
|
|
|
484 |
|
|
|
PHP |
|
|
|
24,673 |
|
|
|
2 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
|
USD |
|
|
|
581 |
|
|
|
COP |
|
|
|
2,005,636 |
|
|
|
31 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 - 01/15/20 |
|
|
|
USD |
|
|
|
4,770 |
|
|
|
CLP |
|
|
|
3,783,101 |
|
|
|
263 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 - 01/13/20 |
|
|
|
USD |
|
|
|
7,124 |
|
|
|
KRW |
|
|
|
8,297,222 |
|
|
|
57 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 - 01/16/20 |
|
|
|
PEN |
|
|
|
15,488 |
|
|
|
USD |
|
|
|
4,575 |
|
|
|
(103 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 - 01/23/20 |
|
|
|
BRL |
|
|
|
31,225 |
|
|
|
USD |
|
|
|
7,475 |
|
|
|
(285 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 - 01/13/20 |
|
|
|
RUB |
|
|
|
599,320 |
|
|
|
USD |
|
|
|
9,293 |
|
|
|
(344 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 |
|
|
|
COP |
|
|
|
6,994,334 |
|
|
|
USD |
|
|
|
2,081 |
|
|
|
(51 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/10/20 - 03/18/20 |
|
|
|
IDR |
|
|
|
163,777,872 |
|
|
|
USD |
|
|
|
11,579 |
|
|
|
(208 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/14/20 |
|
|
|
PLN |
|
|
|
3,112 |
|
|
|
EUR |
|
|
|
728 |
|
|
|
(5 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/14/20 |
|
|
|
EUR |
|
|
|
5,579 |
|
|
|
PLN |
|
|
|
23,894 |
|
|
|
43 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/14/20 - 01/17/20 |
|
|
|
THB |
|
|
|
123,336 |
|
|
|
USD |
|
|
|
4,081 |
|
|
|
(38 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/14/20 |
|
|
|
KRW |
|
|
|
192,811 |
|
|
|
USD |
|
|
|
166 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/17/20 |
|
|
|
USD |
|
|
|
586 |
|
|
|
THB |
|
|
|
17,725 |
|
|
|
6 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/17/20 |
|
|
|
USD |
|
|
|
1,935 |
|
|
|
MXN |
|
|
|
37,180 |
|
|
|
30 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/17/20 |
|
|
|
PLN |
|
|
|
2,000 |
|
|
|
USD |
|
|
|
524 |
|
|
|
(4 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/17/20 |
|
|
|
USD |
|
|
|
6,912 |
|
|
|
RON |
|
|
|
30,003 |
|
|
|
122 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/17/20 |
|
|
|
USD |
|
|
|
11,834 |
|
|
|
PLN |
|
|
|
46,173 |
|
|
|
360 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/17/20 |
|
|
|
MXN |
|
|
|
100,968 |
|
|
|
USD |
|
|
|
5,156 |
|
|
|
(179 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/17/20 - 02/06/20 |
|
|
|
ZAR |
|
|
|
152,144 |
|
|
|
USD |
|
|
|
10,225 |
|
|
|
(633 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/22/20 - 03/03/20 |
|
|
|
USD |
|
|
|
11,345 |
|
|
|
BRL |
|
|
|
47,182 |
|
|
|
363 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/23/20 |
|
|
|
USD |
|
|
|
3,165 |
|
|
|
BRL |
|
|
|
13,377 |
|
|
|
159 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
|
USD |
|
|
|
6,416 |
|
|
|
EUR |
|
|
|
5,765 |
|
|
|
64 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/24/20 |
|
|
|
JPY |
|
|
|
291,628 |
|
|
|
USD |
|
|
|
2,725 |
|
|
|
38 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/28/20 |
|
|
|
USD |
|
|
|
355 |
|
|
|
MYR |
|
|
|
1,474 |
|
|
|
7 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/28/20 |
|
|
|
MYR |
|
|
|
23,826 |
|
|
|
USD |
|
|
|
5,712 |
|
|
|
(133 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
01/30/20 |
|
|
|
PHP |
|
|
|
6,624 |
|
|
|
USD |
|
|
|
129 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
02/03/20 |
|
|
|
RON |
|
|
|
10,997 |
|
|
|
EUR |
|
|
|
2,288 |
|
|
|
(4 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
02/03/20 |
|
|
|
NGN |
|
|
|
681,434 |
|
|
|
USD |
|
|
|
1,767 |
|
|
|
(99 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
02/06/20 - 03/16/20 |
|
|
|
USD |
|
|
|
2,317 |
|
|
|
ZAR |
|
|
|
34,835 |
|
|
|
154 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
02/06/20 - 02/07/20 |
|
|
|
TRY |
|
|
|
37,267 |
|
|
|
USD |
|
|
|
6,360 |
|
|
|
148 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
02/18/20 - 03/18/20 |
|
|
|
USD |
|
|
|
6,905 |
|
|
|
CLP |
|
|
|
5,321,690 |
|
|
|
183 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
03/16/20 |
|
|
|
USD |
|
|
|
2,875 |
|
|
|
CZK |
|
|
|
66,101 |
|
|
|
47 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement Date |
|
|
|
|
|
Currency to Deliver
(Thousands) |
|
|
|
|
|
Currency to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
03/16/20 |
|
|
|
USD |
|
|
|
3,807 |
|
|
|
HUF |
|
|
|
1,134,768 |
|
|
$ |
61 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
03/16/20 |
|
|
|
USD |
|
|
|
4,516 |
|
|
|
TRY |
|
|
|
26,793 |
|
|
|
(91 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
738 |
|
|
|
COP |
|
|
|
2,508,866 |
|
|
|
25 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
03/18/20 |
|
|
|
TWD |
|
|
|
188,429 |
|
|
|
USD |
|
|
|
6,272 |
|
|
|
(67 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
03/18/20 |
|
|
|
CLP |
|
|
|
584,225 |
|
|
|
USD |
|
|
|
773 |
|
|
|
(6 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
04/02/20 |
|
|
|
EUR |
|
|
|
393 |
|
|
|
RON |
|
|
|
1,895 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
06/05/20 |
|
|
|
USD |
|
|
|
2,086 |
|
|
|
KZT |
|
|
|
843,403 |
|
|
|
43 |
|
|
|
|
|
|
|
|
| JPMorgan Chase Bank |
|
|
10/19/20 |
|
|
|
USD |
|
|
|
208 |
|
|
|
UYU |
|
|
|
7,800 |
|
|
|
(12 |
) |
|
|
|
|
|
|
|
| Merrill Lynch |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
15,555 |
|
|
|
MXN |
|
|
|
299,971 |
|
|
|
155 |
|
|
|
|
|
|
|
|
| MIMLIC |
|
|
01/03/20 |
|
|
|
USD |
|
|
|
764,581 |
|
|
|
NGN |
|
|
|
727,380 |
|
|
|
6 |
|
|
|
|
|
|
|
|
| Standard Bank |
|
|
01/06/20 |
|
|
|
USD |
|
|
|
834 |
|
|
|
EUR |
|
|
|
746 |
|
|
|
4 |
|
|
|
|
|
|
|
|
| Standard Bank |
|
|
01/06/20 - 02/05/20 |
|
|
|
EUR |
|
|
|
4,854 |
|
|
|
USD |
|
|
|
5,417 |
|
|
|
(36 |
) |
|
|
|
|
|
|
|
| Standard Bank |
|
|
02/06/20 |
|
|
|
USD |
|
|
|
2,978 |
|
|
|
ZAR |
|
|
|
44,718 |
|
|
|
206 |
|
|
|
|
|
|
|
|
| Standard Bank |
|
|
02/06/20 |
|
|
|
ZAR |
|
|
|
6,507 |
|
|
|
USD |
|
|
|
443 |
|
|
|
(20 |
) |
|
|
|
|
|
|
|
| Standard Bank |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
1,100 |
|
|
|
THB |
|
|
|
32,660 |
|
|
|
(7 |
) |
|
|
|
|
|
|
|
| Standard Bank |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
3,416 |
|
|
|
MYR |
|
|
|
14,154 |
|
|
|
57 |
|
|
|
|
|
|
|
|
| Standard Bank |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
5,242 |
|
|
|
RUB |
|
|
|
334,021 |
|
|
|
88 |
|
|
|
|
|
|
|
|
| Standard Bank |
|
|
03/18/20 |
|
|
|
SGD |
|
|
|
17,256 |
|
|
|
USD |
|
|
|
12,772 |
|
|
|
(76 |
) |
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/08/20 |
|
|
|
EUR |
|
|
|
392 |
|
|
|
HUF |
|
|
|
130,152 |
|
|
|
2 |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/09/20 |
|
|
|
MYR |
|
|
|
4,954 |
|
|
|
USD |
|
|
|
1,186 |
|
|
|
(26 |
) |
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/16/20 |
|
|
|
USD |
|
|
|
1,373 |
|
|
|
KRW |
|
|
|
1,628,150 |
|
|
|
37 |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/16/20 |
|
|
|
USD |
|
|
|
1,721 |
|
|
|
THB |
|
|
|
51,956 |
|
|
|
14 |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/17/20 |
|
|
|
USD |
|
|
|
2,543 |
|
|
|
INR |
|
|
|
183,142 |
|
|
|
22 |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/17/20 |
|
|
|
USD |
|
|
|
2,762 |
|
|
|
CNY |
|
|
|
19,285 |
|
|
|
7 |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/21/20 |
|
|
|
EUR |
|
|
|
595 |
|
|
|
CZK |
|
|
|
15,245 |
|
|
|
6 |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/22/20 |
|
|
|
IDR |
|
|
|
3,108,712 |
|
|
|
USD |
|
|
|
222 |
|
|
|
(2 |
) |
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/23/20 |
|
|
|
USD |
|
|
|
10,867 |
|
|
|
RUB |
|
|
|
700,044 |
|
|
|
377 |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
01/29/20 |
|
|
|
USD |
|
|
|
5,180 |
|
|
|
IDR |
|
|
|
73,628,693 |
|
|
|
131 |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
02/18/20 |
|
|
|
USD |
|
|
|
1,284 |
|
|
|
CLP |
|
|
|
1,022,250 |
|
|
|
77 |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
02/27/20 |
|
|
|
USD |
|
|
|
657 |
|
|
|
UAH |
|
|
|
16,250 |
|
|
|
109 |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
1,142 |
|
|
|
PHP |
|
|
|
57,961 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
| Standard Chartered |
|
|
03/18/20 |
|
|
|
USD |
|
|
|
10,287 |
|
|
|
CNH |
|
|
|
71,994 |
|
|
|
33 |
|
|
|
|
|
|
|
|
| Standard Chartered |
|
|
03/18/20 |
|
|
|
CLP |
|
|
|
529,077 |
|
|
|
USD |
|
|
|
701 |
|
|
|
(4 |
) |
|
|
|
|
|
|
|
| State Street |
|
|
01/06/20 |
|
|
|
USD |
|
|
|
7,005 |
|
|
|
EUR |
|
|
|
6,335 |
|
|
|
108 |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/06/20 - 02/05/20 |
|
|
|
EUR |
|
|
|
12,651 |
|
|
|
USD |
|
|
|
14,177 |
|
|
|
(48 |
) |
|
|
|
|
|
|
|
| State Street |
|
|
01/08/20 |
|
|
|
EUR |
|
|
|
1,493 |
|
|
|
HUF |
|
|
|
495,164 |
|
|
|
5 |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/17/20 |
|
|
|
USD |
|
|
|
149 |
|
|
|
INR |
|
|
|
10,562 |
|
|
|
(1 |
) |
|
|
|
|
|
|
|
| State Street |
|
|
01/22/20 |
|
|
|
USD |
|
|
|
1,299 |
|
|
|
IDR |
|
|
|
18,289,432 |
|
|
|
20 |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/22/20 |
|
|
|
USD |
|
|
|
440 |
|
|
|
IDR |
|
|
|
6,097,272 |
|
|
|
— |
|
|
|
|
|
|
|
|
| State Street |
|
|
01/22/20 |
|
|
|
BRL |
|
|
|
4,246 |
|
|
|
USD |
|
|
|
1,053 |
|
|
|
(2 |
) |
|
|
|
|
|
|
|
| State Street |
|
|
01/22/20 |
|
|
|
IDR |
|
|
|
8,050,707 |
|
|
|
USD |
|
|
|
568 |
|
|
|
(13 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Settlement
Date |
|
|
|
|
|
Currency to Deliver
(Thousands) |
|
|
|
|
|
Currency to Receive
(Thousands) |
|
|
Unrealized
Appreciation
(Depreciation)
(Thousands) |
| State Street |
|
|
02/05/20 |
|
|
|
MXN |
|
|
|
126,952 |
|
|
|
USD |
|
|
|
6,558 |
|
|
$ |
(132 |
) |
| State Street |
|
|
03/02/20 |
|
|
|
HUF |
|
|
|
161,064 |
|
|
|
EUR |
|
|
|
487 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,154 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open OTC swap agreements held by the Fund at December 31, 2019, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Counterparty |
|
Fund Pays |
|
Fund Receives |
|
Payment Frequency |
|
Termination
Date |
|
Currency |
|
Notional
Amount
(Thousands) |
|
|
Value
(Thousands) |
|
|
Upfront
Payments
(Thousands) |
|
|
Net Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
1-DAY BRL -CETIP |
|
8.22% |
|
Annually |
|
01/02/2020 |
|
BRL |
|
|
4,194 |
|
|
$ |
88 |
|
|
$ |
– |
|
|
$ |
88 |
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase |
|
1-DAY BRL - CETIP |
|
11.46% |
|
Annually |
|
01/02/2020 |
|
BRL |
|
|
3,649 |
|
|
|
126 |
|
|
|
– |
|
|
|
126 |
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase |
|
1-DAY BRL - CETIP |
|
12.130% |
|
Annually |
|
01/02/2020 |
|
BRL |
|
|
3,480 |
|
|
|
139 |
|
|
|
– |
|
|
|
139 |
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase |
|
1-DAY BRL - CETIP |
|
12.130% |
|
Annually |
|
01/02/2020 |
|
BRL |
|
|
5,738 |
|
|
|
226 |
|
|
|
– |
|
|
|
226 |
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase |
|
0.6925% |
|
6-MONTH HUF - BUBOR |
|
Semi-Annually |
|
04/20/2020 |
|
HUF |
|
|
1,750,000 |
|
|
|
(37) |
|
|
|
– |
|
|
|
(37) |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
1-DAY BRL - CETIP |
|
12.725% |
|
Annually |
|
01/04/2021 |
|
BRL |
|
|
10,608 |
|
|
|
886 |
|
|
|
– |
|
|
|
886 |
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase |
|
1-DAY BRL - CETIP |
|
9.61% |
|
Annually |
|
01/04/2021 |
|
BRL |
|
|
4,626 |
|
|
|
162 |
|
|
|
– |
|
|
|
162 |
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase |
|
1-DAY BRL - CETIP |
|
10.89% |
|
Annually |
|
01/04/2021 |
|
BRL |
|
|
170 |
|
|
|
7 |
|
|
|
– |
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase |
|
1-DAY BRL - CETIP |
|
10.04% |
|
Annually |
|
01/04/2021 |
|
BRL |
|
|
3,557 |
|
|
|
141 |
|
|
|
– |
|
|
|
141 |
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase |
|
1-DAY BRL - CETIP |
|
9.275% |
|
Annually |
|
01/04/2021 |
|
BRL |
|
|
5,815 |
|
|
|
183 |
|
|
|
– |
|
|
|
183 |
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase |
|
1-DAY BRL - CETIP |
|
8.87% |
|
Annually |
|
01/04/2021 |
|
BRL |
|
|
8,089 |
|
|
|
223 |
|
|
|
– |
|
|
|
223 |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
3-MONTH MOSCOW PRIME
OFFERED RATE - RUB |
|
9.005% |
|
Annually |
|
02/21/2021 |
|
RUB |
|
|
1,080,956 |
|
|
|
408 |
|
|
|
– |
|
|
|
408 |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
28-DAY MXN - TIIE |
|
5.37% |
|
Monthly |
|
03/17/2021 |
|
MXN |
|
|
46,500 |
|
|
|
(44) |
|
|
|
– |
|
|
|
(44) |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
3-MONTH MOSCOW PRIME
OFFERED RATE -
RUB |
|
7.515% |
|
Annually |
|
06/10/2021 |
|
RUB |
|
|
1,020,770 |
|
|
|
171 |
|
|
|
– |
|
|
|
171 |
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase |
|
1.3775% |
|
6-MONTH HUF - BUBOR |
|
Semi-Annually |
|
06/17/2021 |
|
HUF |
|
|
654,998 |
|
|
|
(49) |
|
|
|
– |
|
|
|
(49) |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
6-MONTH PLN - WIBOR |
|
2.208% |
|
Annually |
|
11/16/2021 |
|
PLN |
|
|
6,842 |
|
|
|
20 |
|
|
|
– |
|
|
|
20 |
|
|
|
|
|
|
|
|
|
|
|
| Citigroup |
|
6-MONTH PLN - WIBOR |
|
2.431% |
|
Annually |
|
12/14/2021 |
|
PLN |
|
|
11,000 |
|
|
|
41 |
|
|
|
– |
|
|
|
41 |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
3-MONTH MOSCOW PRIME
OFFERED RATE -
RUB |
|
6.29% |
|
Annually |
|
12/14/2021 |
|
RUB |
|
|
535,000 |
|
|
|
(3) |
|
|
|
– |
|
|
|
(3) |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
6-MONTH HUF - BUBOR |
|
1.265% |
|
Semi-Annually |
|
01/10/2022 |
|
HUF |
|
|
1,537,322 |
|
|
|
(149) |
|
|
|
– |
|
|
|
(149) |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
3-MONTH MOSCOW PRIME
OFFERED RATE -
RUB |
|
8.11% |
|
Quarterly |
|
03/23/2022 |
|
RUB |
|
|
715,570 |
|
|
|
357 |
|
|
|
– |
|
|
|
357 |
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase |
|
1-DAY-CLP -SINACOFI CHILE
INTERBANK RATE AVG |
|
3.430% |
|
Semi-Annually |
|
05/10/2022 |
|
CLP |
|
|
420,527 |
|
|
|
23 |
|
|
|
– |
|
|
|
23 |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
28-DAY MXN - TIIE |
|
5.900% |
|
Monthly |
|
09/12/2022 |
|
MXN |
|
|
75,956 |
|
|
|
(71) |
|
|
|
– |
|
|
|
(71) |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
6-MONTH HUF - BUBOR |
|
0.8385% |
|
Annually |
|
09/21/2022 |
|
HUF |
|
|
1,390,000 |
|
|
|
43 |
|
|
|
– |
|
|
|
43 |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
1-DAY BRL - CETIP |
|
11.985% |
|
Annually |
|
01/02/2023 |
|
BRL |
|
|
3,000 |
|
|
|
337 |
|
|
|
– |
|
|
|
337 |
|
|
|
|
|
|
|
|
|
|
|
| Goldman Sachs |
|
1-DAY BRL - CETIP |
|
10.04% |
|
Annually |
|
01/03/2023 |
|
BRL |
|
|
5,012 |
|
|
|
408 |
|
|
|
– |
|
|
|
408 |
|
|
|
|
|
|
|
|
|
|
|
| Citigroup |
|
China 7-Day Reverse Repo
Rate |
|
2.7614% |
|
Quarterly |
|
07/05/2024 |
|
CNY |
|
|
99,768 |
|
|
|
(67) |
|
|
|
– |
|
|
|
(67) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Counterparty |
|
Fund Pays |
|
|
Fund Receives |
|
|
Payment Frequency |
|
|
Termination
Date |
|
|
Currency |
|
|
Notional
Amount
(Thousands) |
|
|
Value
(Thousands) |
|
|
Upfront
Payments
(Thousands) |
|
|
Net Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
| Goldman Sachs |
|
|
China 7-Day Reverse Repo
Rate |
|
|
|
2.77% |
|
|
|
Quarterly |
|
|
|
07/05/2024 |
|
|
|
CNY |
|
|
|
25,760 |
|
|
$ |
(16) |
|
|
$ |
– |
|
|
$ |
(16) |
|
| Goldman Sachs |
|
|
7D CNY CNRR007 |
|
|
|
2.894% |
|
|
|
Quarterly |
|
|
|
10/14/2024 |
|
|
|
CNY |
|
|
|
12,730 |
|
|
|
1 |
|
|
|
– |
|
|
|
1 |
|
| Goldman Sachs |
|
|
28-DAY MXN - TIIE |
|
|
|
6.355% |
|
|
|
Monthly |
|
|
|
05/21/2025 |
|
|
|
MXN |
|
|
|
23,145 |
|
|
|
(16) |
|
|
|
– |
|
|
|
(16) |
|
| Goldman Sachs |
|
|
28-DAY MXN - TIIE |
|
|
|
6.205% |
|
|
|
Monthly |
|
|
|
12/08/2025 |
|
|
|
MXN |
|
|
|
16,624 |
|
|
|
(21) |
|
|
|
– |
|
|
|
(21) |
|
| Goldman Sachs |
|
|
28-DAY MXN - TIIE |
|
|
|
6.165% |
|
|
|
Monthly |
|
|
|
03/05/2026 |
|
|
|
MXN |
|
|
|
47,200 |
|
|
|
(68) |
|
|
|
– |
|
|
|
(68) |
|
| JPMorgan Chase |
|
|
28-DAY MXN - TIIE |
|
|
|
6.13% |
|
|
|
Monthly |
|
|
|
06/18/2026 |
|
|
|
MXN |
|
|
|
40,000 |
|
|
|
(65) |
|
|
|
– |
|
|
|
(65) |
|
| Goldman Sachs |
|
|
28-DAY MXN - TIIE |
|
|
|
6.381% |
|
|
|
Monthly |
|
|
|
09/16/2026 |
|
|
|
MXN |
|
|
|
26,000 |
|
|
|
(25) |
|
|
|
– |
|
|
|
(25) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
3,359 |
|
|
$ |
– |
|
|
$ |
3,359 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swap |
|
| Counterparty |
|
Reference Entity/Obligation |
|
Buy/Sell
Protection |
|
(Pays)/Receives
Rate |
|
Payment
Frequency |
|
Termination
Date |
|
|
Notional
Amount
(Thousands) |
|
Value
(Thousands) |
|
|
Upfront
Payments/
Receipts
(Thousands) |
|
|
Net Unrealized
(Depreciation)
(Thousands) |
|
| JPMorgan Chase |
|
Argentina |
|
Sell |
|
5.00% |
|
Quarterly |
|
|
06/20/2023 |
|
|
$(1,895) |
|
$ |
(1,033 |
) |
|
$ |
108 |
|
|
$ |
(1,141 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cross Currency Swaps |
|
| Counterparty |
|
Fund Pays |
|
|
Fund Receives |
|
|
Payment
Frequency |
|
Termination
Date |
|
Currency |
|
Notional
Amount
(Thousands) |
|
|
Value
(Thousands) |
|
|
Upfront
Payment
(Thousands) |
|
|
Net Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
| Add to counterparty table |
|
|
|
|
|
|
|
|
|
Quarterly |
|
10/07/2025 |
|
TRY |
|
|
3,070 |
|
|
$ |
(133) |
|
|
$ |
– |
|
|
$ |
(133) |
|
| Add to counterparty table |
|
|
|
|
|
|
|
|
|
Quarterly |
|
12/07/2025 |
|
TRY |
|
|
2,351 |
|
|
|
34 |
|
|
|
– |
|
|
|
34 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(99) |
|
|
$ |
– |
|
|
$ |
(99) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A list of the open centrally cleared swap agreements held by the Fund at December 31, 2019, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Fund Pays |
|
Fund Receives |
|
Payment
Frequency |
|
Termination Date |
|
Currency |
|
Notional
Amount
(Thousands) |
|
|
Value
(Thousands) |
|
|
Upfront
Payments/
Receipts
(Thousands) |
|
|
Net Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
| 7.45% |
|
1-DAY BRL -CETIP |
|
Annually |
|
01/02/2020 |
|
BRL |
|
|
67,046 |
|
|
$ |
(2 |
) |
|
$ |
– |
|
|
$ |
(2 |
) |
| 1.9865% |
|
6-MONTH PLN -WIBOR |
|
Semi-Annually |
|
03/25/2024 |
|
PLN |
|
|
22,000 |
|
|
|
(50 |
) |
|
|
– |
|
|
|
(50 |
) |
| 1.7 |
|
6-MONTH CZK -PRIBOR |
|
Semi-Annually |
|
06/18/2024 |
|
CZK |
|
|
140,000 |
|
|
|
113 |
|
|
|
– |
|
|
|
113 |
|
| 1.64 |
|
6-MONTH CZK -PRIBOR |
|
Semi-Annually |
|
06/21/2024 |
|
CZK |
|
|
14,000 |
|
|
|
13 |
|
|
|
– |
|
|
|
13 |
|
| China 7-Day Reverse Repo Rate |
|
2.7475% |
|
Quarterly |
|
07/05/2024 |
|
CNY |
|
|
20,500 |
|
|
|
(18 |
) |
|
|
– |
|
|
|
(18 |
) |
| 1.675% |
|
6-MONTH CZK -PRIBOR |
|
Semi-Annually |
|
07/17/2024 |
|
CZK |
|
|
21,146 |
|
|
|
18 |
|
|
|
– |
|
|
|
18 |
|
| 28-DAY MXN - TIIE |
|
6.75 |
|
Monthly |
|
08/26/2024 |
|
MXN |
|
|
60,739 |
|
|
|
20 |
|
|
|
– |
|
|
|
20 |
|
| 6-MONTH HUF - BUBOR |
|
0.81% |
|
Annually |
|
09/12/2024 |
|
HUF |
|
|
75,000 |
|
|
|
(1 |
) |
|
|
– |
|
|
|
(1 |
) |
| 28-DAY MXN - TIIE |
|
7.72% |
|
Monthly |
|
12/03/2026 |
|
MXN |
|
|
8,000 |
|
|
|
25 |
|
|
|
– |
|
|
|
25 |
|
| 28-DAY MXN - TIIE |
|
7.51% |
|
Monthly |
|
04/20/2027 |
|
MXN |
|
|
8,110 |
|
|
|
21 |
|
|
|
– |
|
|
|
21 |
|
| 2.969% |
|
6-MONTH HUF -BUBOR |
|
Semi-Annually |
|
02/08/2029 |
|
HUF |
|
|
200,000 |
|
|
|
(30 |
) |
|
|
– |
|
|
|
(30 |
) |
| 5.915% |
|
1-DAY COP - COLUMBIA IBR |
|
Quarterly |
|
05/15/2029 |
|
COP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5.37 |
|
OVERNIGHT INTERBANK
1-DAY COP -
COLUMBIA IBR |
|
Quarterly |
|
06/21/2029 |
|
COP |
|
|
3,600,000 |
|
|
|
(39 |
) |
|
|
– |
|
|
|
(39 |
) |
|
|
OVERNIGHT INTERBANK |
|
|
|
|
|
|
|
|
1,800,000 |
|
|
|
4 |
|
|
|
– |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps |
|
| Fund Pays |
|
Fund Receives |
|
Payment
Frequency |
|
Termination Date |
|
Currency |
|
Notional
Amount
(Thousands) |
|
|
Value
(Thousands) |
|
|
Upfront
Payments/
Receipts
(Thousands) |
|
|
Net Unrealized
Appreciation
(Depreciation)
(Thousands) |
|
| 3-MONTH ZAR -JIBAR |
|
8.49% |
|
Quarterly |
|
07/18/2029 |
|
ZAR |
|
|
10,000 |
|
|
$ |
(2 |
) |
|
$ |
– |
|
|
$ |
(2 |
) |
| 6.94 |
|
28-DAY MXN -TIIE |
|
Monthly |
|
08/20/2029 |
|
MXN |
|
|
35,892 |
|
|
|
(19 |
) |
|
|
– |
|
|
|
(19 |
) |
| 6.9225% |
|
28-DAY MXN - TIIE |
|
Monthly |
|
08/31/2029 |
|
MXN |
|
|
42,602 |
|
|
|
(19 |
) |
|
|
– |
|
|
|
(19 |
) |
| 6.82% |
|
28-DAY MXN - TIIE |
|
Monthly |
|
09/10/2029 |
|
MXN |
|
|
33,993 |
|
|
|
(2 |
) |
|
|
– |
|
|
|
(2 |
) |
| 1.4925% |
|
6-MONTH CZK - PRIBOR |
|
Semi-Annually |
|
11/18/2029 |
|
CZK |
|
|
33,000 |
|
|
|
(21 |
) |
|
|
– |
|
|
|
(21 |
) |
| 1-DAY BRL - CETIP |
|
9.255% |
|
Annually |
|
01/02/2023 |
|
BRL |
|
|
2,368 |
|
|
|
48 |
|
|
|
– |
|
|
|
48 |
|
| 1-DAY-CLP - SINACOFI CHILE |
|
3.045% |
|
Semi-Annually |
|
11/29/2029 |
|
CLP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INTERBANK RATE AVG |
|
|
|
|
|
|
|
|
|
|
610,398 |
|
|
|
9 |
|
|
|
– |
|
|
|
9 |
|
| 1-DAY BRL - CETIP |
|
11.475% |
|
Annually |
|
01/02/2023 |
|
BRL |
|
|
3,524 |
|
|
|
112 |
|
|
|
– |
|
|
|
112 |
|
| 1-DAY BRL - CETIP |
|
6.475% |
|
Annually |
|
01/02/2023 |
|
BRL |
|
|
16,116 |
|
|
|
73 |
|
|
|
– |
|
|
|
73 |
|
| 8.09% |
|
28-DAY MXN - TIIE |
|
Monthly |
|
01/28/2021 |
|
MXN |
|
|
133,260 |
|
|
|
(81 |
) |
|
|
– |
|
|
|
(81 |
) |
| 8.125% |
|
28-DAY MXN - TIIE |
|
Monthly |
|
01/28/2021 |
|
MXN |
|
|
60,000 |
|
|
|
(37 |
) |
|
|
– |
|
|
|
(37 |
) |
| 8.145% |
|
28-DAY MXN - TIIE |
|
Monthly |
|
01/28/2021 |
|
MXN |
|
|
136,359 |
|
|
|
(87 |
) |
|
|
– |
|
|
|
(87 |
) |
| 6-MONTH CZK - PRIBOR |
|
2.1% |
|
Annually |
|
09/30/2021 |
|
CZK |
|
|
150,349 |
|
|
|
(23 |
) |
|
|
– |
|
|
|
(23 |
) |
| 6-MONTH CZK - PRIBOR |
|
2.07% |
|
Annually |
|
09/30/2021 |
|
CZK |
|
|
121,000 |
|
|
|
(18 |
) |
|
|
– |
|
|
|
(18 |
) |
| 6M CZK PRIBOR |
|
2.1025 |
|
Annually |
|
10/03/2021 |
|
CZK |
|
|
75,000 |
|
|
|
(13 |
) |
|
|
– |
|
|
|
(13 |
) |
| 6-MONTH CZK -PRIBOR |
|
2.225% |
|
Annually |
|
11/11/2021 |
|
CZK |
|
|
40,000 |
|
|
|
(2 |
) |
|
|
– |
|
|
|
(2 |
) |
| 6-MONTH PLN -WIBOR |
|
2.263% |
|
Annually |
|
11/12/2021 |
|
PLN |
|
|
7,000 |
|
|
|
17 |
|
|
|
– |
|
|
|
17 |
|
| 1-DAY COP -COLUMBIA IBR |
|
4.9% |
|
Annually |
|
11/18/2021 |
|
COP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OVERNIGHT INTERBANK |
|
|
|
|
|
|
|
|
|
|
26,994,329 |
|
|
|
20 |
|
|
|
– |
|
|
|
20 |
|
| 6-MONTH CZK - PRIBOR |
|
2.135% |
|
Annually |
|
11/18/2021 |
|
CZK |
|
|
155,000 |
|
|
|
(18 |
) |
|
|
– |
|
|
|
(18 |
) |
| 1-DAY COP -COLUMBIA IBR |
|
4.81% |
|
Annually |
|
11/19/2021 |
|
COP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OVERNIGHT INTERBANK |
|
|
|
|
|
|
|
|
|
|
29,005,671 |
|
|
|
14 |
|
|
|
– |
|
|
|
14 |
|
| 1.960% |
|
1-DAY-CLP -SINACOFI CHILE |
|
Semi-Annually |
|
12/12/2021 |
|
CLP |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INTERBANK RATE AVG |
|
|
|
|
|
|
|
|
2,569,905 |
|
|
|
(14 |
) |
|
|
– |
|
|
|
(14 |
) |
| 1-DAY BRL - CETIP |
|
5.89% |
|
Annually |
|
01/03/2022 |
|
BRL |
|
|
27,057 |
|
|
|
74 |
|
|
|
– |
|
|
|
74 |
|
| 1-DAY BRL - CETIP |
|
6.2325% |
|
Annually |
|
01/03/2022 |
|
BRL |
|
|
8,733 |
|
|
|
36 |
|
|
|
– |
|
|
|
36 |
|
| 1-DAY BRL - CETIP |
|
6.24% |
|
Annually |
|
01/03/2022 |
|
BRL |
|
|
14,709 |
|
|
|
62 |
|
|
|
– |
|
|
|
62 |
|
| 28-DAY MXN - TIIE |
|
6.745% |
|
Monthly |
|
06/23/2022 |
|
MXN |
|
|
26,758 |
|
|
|
4 |
|
|
|
– |
|
|
|
4 |
|
| 28-DAY MXN - TIIE |
|
6.71% |
|
Monthly |
|
07/07/2022 |
|
MXN |
|
|
37,637 |
|
|
|
5 |
|
|
|
– |
|
|
|
5 |
|
| 1-DAY BRL - CETIP |
|
5.655 |
|
Annually |
|
01/02/2023 |
|
BRL |
|
|
2,705 |
|
|
|
(1 |
) |
|
|
– |
|
|
|
(1 |
) |
| 1.805% |
|
6-MONTH PZL - WIBOR |
|
Semi-Annually |
|
12/17/2029 |
|
PLN |
|
|
11,500 |
|
|
|
(15 |
) |
|
|
– |
|
|
|
(15 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
176 |
|
|
$ |
– |
|
|
$ |
176 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Percentages are based on Net Assets of $1,652,605 ($ Thousands). |
| * |
Non-income producing security. |
| ** |
The rate reported is the 7-day effective yield as of December 31, 2019.
|
| (A) |
Security 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 institutions. On December 31, 2019, the value of these securities amounted to $268,970 ($ Thousands), representing 16.3% of the Net Assets of the Fund. |
| (B) |
Certain securities or partial positions of certain securities are on loan at December 31, 2019. The total market value of
securities on loan at December 31, 2019 was $70,602 ($ Thousands). |
| (C) |
Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of
purchase. |
| (D) |
Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest
rates and prepayments on the underlying pool of assets. |
| (E) |
Level 3 security in accordance with fair value hierarchy. |
| (F) |
Security is in default on interest payment.
|
| (G) |
Securities considered illiquid. The total value of such securities as of December 31, 2019 was $1,814 ($ Thousands)
and represented 0.2% of the Net Assets of the Fund. |
| (H) |
This security was purchased with cash collateral held from securities on loan. The total market value of such securities
as of December 31, 2019 was $73,655 ($ Thousands). |
| (I) |
Refer to table below for details on Options Contracts. |
BADLAR — Buenos Aires Deposits of Large Amount Rate
BRL — Brazilian Real
BUBOR — Budapest Interbank Offered Rate
CETIP — Central of Custody and
Financial Settlement of Securities
Cl — Class
CLP — Chilean Peso
CNH — Chinese Yuan Offshore
CNY — Chinese Yuan Onshore
COP — Colombian Peso
CZK — Czech Koruna
EGP —
Egyptian Pound
EUR — Euro
HKD — Hong Kong Dollar
HUF — Hungarian Forint
ICE— Intercontinental Exchange
IDR — Indonesian Rupiah
INR — Indian Rupee
ILS — Israeli New Sheckels
JPY — Japanese Yen
JSC — Joint-Stock Company
KRW — Korean Won
KZT - Kazakhstani Tenge
LIBOR — London Interbank Offered Rate
L.P. — Limited Partnership
Ltd. — Limited
MTN — Medium Term Note
MXN — Mexican Peso
MYR — Malaysian Ringgit
NGN — Nigerian Naira
PEN — Peruvian Nuevo Sol
PHP— Philippine Peso
PLN — Polish Zloty
PRIBOR — Prague Interbank Offered Rate
RON — Romanian Leu
RUB — Russian Ruble
SAR— Saudi Riyal
SGD — Singapore Dollar
THB — Thai Bhat
TIIE — Interbank Equilibrium Interest Rate
TRY — Turkish Lira
TWD — Taiwan Dollar
USD — U.S. Dollar
UYU — Uruguayan Peso
WIBOR — Warsaw Interbank Offered Rate
VAR — Variable Rate
ZAR — South African Rand
The following is a list of the level of inputs used as
of December 31, 2019, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Level 1
($) |
|
|
Level 2
($) |
|
|
Level 3
($) |
|
|
Total
($) |
|
| Global Bonds |
|
|
– |
|
|
|
1,587,432 |
|
|
|
612 |
|
|
|
1,588,044 |
|
| U.S. Treasury Obligation |
|
|
– |
|
|
|
3,970 |
|
|
|
– |
|
|
|
3,970 |
|
| Affiliated Partnership |
|
|
– |
|
|
|
73,655 |
|
|
|
– |
|
|
|
73,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
|
– |
|
|
|
1,665,057 |
|
|
|
612 |
|
|
|
1,665,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
Level 1
($) |
|
|
Level 2
($) |
|
|
Level 3
($) |
|
|
Total
($) |
|
| Purchased Options |
|
|
– |
|
|
|
69 |
|
|
|
– |
|
|
|
69 |
|
| Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
443 |
|
|
|
– |
|
|
|
– |
|
|
|
443 |
|
| Unrealized Depreciation |
|
|
(660 |
) |
|
|
– |
|
|
|
– |
|
|
|
(660 |
) |
| Forwards Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
– |
|
|
|
6,914 |
|
|
|
– |
|
|
|
6,914 |
|
| Unrealized Depreciation |
|
|
– |
|
|
|
(5,760 |
) |
|
|
– |
|
|
|
(5,760 |
) |
| Centrally Cleared Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
– |
|
|
|
688 |
|
|
|
– |
|
|
|
688 |
|
| Unrealized Depreciation |
|
|
– |
|
|
|
(512 |
) |
|
|
– |
|
|
|
(512 |
) |
| OTC Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Depreciation |
|
|
– |
|
|
|
(1,141 |
) |
|
|
– |
|
|
|
(1,141 |
) |
| Interest Rate Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
– |
|
|
|
3,990 |
|
|
|
– |
|
|
|
3,990 |
|
| Unrealized Depreciation |
|
|
– |
|
|
|
(631 |
) |
|
|
– |
|
|
|
(631 |
) |
| Cross Currency Swaps* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized Appreciation |
|
|
– |
|
|
|
34 |
|
|
|
– |
|
|
|
34 |
|
| Unrealized Appreciation |
|
|
– |
|
|
|
(133 |
) |
|
|
– |
|
|
|
(133 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Financial Instruments |
|
|
(217 |
) |
|
|
3,518 |
|
|
|
– |
|
|
|
3,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.
‡ A reconciliation of Level 3 investments is
presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
For the period ended December 31, 2019, there were no transfers in or out of Level 3.
For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the
Fund’s most recent financial statements.
The following is a summary of the transactions with affiliates for the period ended December 31, 2019 ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security Description |
|
Value
9/30/19
($) |
|
|
Purchases
at Cost ($) |
|
|
Proceeds
from Sales
($) |
|
|
Realized
Gain (Loss)
($) |
|
|
Change in
Unrealized
(Depreciation)
($) |
|
|
Value
12/31/19 ($) |
|
|
Shares |
|
|
Income
($) |
|
|
Capital
Gains
($) |
|
| SEI Liquidity Fund, L.P. |
|
|
87,228 |
|
|
|
127,054 |
|
|
|
(140,626 |
) |
|
|
— |
|
|
|
(1 |
) |
|
|
73,655 |
|
|
|
73,658,520 |
|
|
|
58 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amounts designated as “—” are either $0 or have been rounded to $0.
As of December 31, 2019 the Emerging Markets Debt Fund is the seller (“providing protection”) on a total notional amount of $1.9 million. The
notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund were the seller of protection and a
credit event was to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WRITTEN CREDIT DERIVATIVE CONTRACTS |
|
SINGLE NAME CREDIT DEFAULT SWAPS |
|
|
CREDIT DEFAULT SWAP INDEX |
|
|
|
|
| REFERENCE ASSET |
|
Corporate
Debt |
|
|
Sovereign
Debt |
|
|
Asset Backed
Securities |
|
|
Corporate Debt |
|
|
Total |
|
| Fair value of written credit derivatives |
|
|
$- |
|
|
|
$(1,032,678) |
|
|
|
$- |
|
|
|
$- |
|
|
|
$(1,032,678) |
|
| Maximum potential amount of future payments |
|
|
- |
|
|
|
1,894,629 |
|
|
|
- |
|
|
|
- |
|
|
|
1,894,629 |
|
| Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any
purchased credit protection)[1] |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| Collateral held by the Fund can obtain upon occurrence of triggering event |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
[1] Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an
identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been
included.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM |
|
| |
|
0-6 MONTHS |
|
|
6-12 MONTHS |
|
|
1-5 YEARS |
|
|
5-10 YEARS |
|
|
> 10 YEARS |
|
|
Total |
|
| Current credit spread* on underlying (in basis points)[1] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 0-400 |
|
|
$- |
|
|
|
$- |
|
|
|
$- |
|
|
|
$- |
|
|
|
$- |
|
|
|
$- |
|
| > than 400 |
|
|
- |
|
|
|
- |
|
|
|
1,894,629 |
|
|
|
- |
|
|
|
- |
|
|
|
1,894,629 |
|
| Total |
|
|
$- |
|
|
|
$- |
|
|
|
$1,894,629 |
|
|
|
$- |
|
|
|
$- |
|
|
|
$1,894,629 |
|
[1] If Management uses credit ratings to evaluate the credit risk of an underlying asset, it may use such ratings in its disclosure by
replacing credit spreads by credit ratings.
* The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the
Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher
likelihood of performance by the Fund.