Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
U.S. Government and Agency Obligations (0.5%) | |||||
1,2 | United States Treasury Note/Bond (Cost $12,632) | 1.375% | 11/15/31 | 12,700 | 12,533 |
Corporate Bonds (19.5%) | |||||
Azerbaijan (1.1%) | |||||
3 | Southern Gas Corridor CJSC | 6.875% | 3/24/26 | 23,215 | 26,671 |
State Oil Co. of The Azerbaijan Republic | 6.950% | 3/18/30 | 1,335 | 1,612 | |
28,283 | |||||
Brazil (0.5%) | |||||
Embraer SA | 5.150% | 6/15/22 | 5,862 | 5,945 | |
Petrobras Global Finance BV | 6.250% | 3/17/24 | 5,710 | 6,169 | |
12,114 | |||||
Chile (3.1%) | |||||
4 | Empresa de los Ferrocarriles del Estado | 3.830% | 9/14/61 | 4,356 | 4,206 |
Empresa Nacional del Petroleo | 4.375% | 10/30/24 | 5,209 | 5,544 | |
Empresa Nacional del Petroleo | 3.750% | 8/5/26 | 32,641 | 33,555 | |
Empresa Nacional del Petroleo | 5.250% | 11/6/29 | 19,206 | 20,742 | |
4 | Empresa Nacional del Petroleo | 3.450% | 9/16/31 | 17,850 | 16,955 |
81,002 | |||||
Indonesia (0.6%) | |||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 4.125% | 5/15/27 | 6,518 | 6,952 | |
4,5 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 1.875% | 11/5/31 | 4,400 | 4,813 |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 5.250% | 10/24/42 | 4,317 | 4,861 | |
16,626 | |||||
Kazakhstan (2.7%) | |||||
4,6 | Development Bank of Kazakhstan JSC | 10.950% | 5/6/26 | 3,450,000 | 7,829 |
4 | Development Bank of Kazakhstan JSC | 2.950% | 5/6/31 | 7,229 | 7,199 |
Kazakhstan Temir Zholy Finance BV | 6.950% | 7/10/42 | 4,115 | 5,487 | |
KazMunayGas National Co. JSC | 4.750% | 4/19/27 | 8,078 | 8,927 | |
KazMunayGas National Co. JSC | 5.750% | 4/19/47 | 9,200 | 11,274 | |
KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 13,500 | 17,721 | |
KazTransGas JSC | 4.375% | 9/26/27 | 11,599 | 12,639 | |
71,076 | |||||
Malaysia (1.3%) | |||||
Petronas Capital Ltd. | 3.500% | 4/21/30 | 30,779 | 33,300 | |
Mexico (4.3%) | |||||
4 | CIBANCO SA Institucion de Banca Multiple Trust CIB | 4.375% | 7/22/31 | 8,565 | 8,195 |
4 | Comision Federal de Electricidad | 3.875% | 7/26/33 | 23,234 | 22,785 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
Comision Federal de Electricidad | 3.875% | 7/26/33 | 6,818 | 6,693 | |
4 | Comision Federal de Electricidad | 4.677% | 2/9/51 | 3,036 | 2,856 |
Comision Federal de Electricidad | 4.677% | 2/9/51 | 2,793 | 2,635 | |
Petroleos Mexicanos | 3.500% | 1/30/23 | 7,850 | 7,923 | |
4,7 | Petroleos Mexicanos | 6.700% | 2/16/32 | 46,998 | 47,328 |
Petroleos Mexicanos | 5.625% | 1/23/46 | 1 | 1 | |
Petroleos Mexicanos | 6.750% | 9/21/47 | 13,860 | 12,263 | |
110,679 | |||||
Peru (1.8%) | |||||
4 | Minsur SA | 4.500% | 10/28/31 | 13,550 | 13,755 |
4 | Petroleos del Peru SA | 5.625% | 6/19/47 | 8,750 | 8,726 |
Petroleos del Peru SA | 5.625% | 6/19/47 | 23,138 | 23,109 | |
45,590 | |||||
Russia (1.0%) | |||||
Gazprom PJSC Via Gaz Capital SA | 5.150% | 2/11/26 | 20,522 | 22,029 | |
Lukoil International Finance BV | 4.750% | 11/2/26 | 4,585 | 4,905 | |
26,934 | |||||
Saudi Arabia (2.7%) | |||||
SA Global Sukuk Ltd. | 0.946% | 6/17/24 | 21,296 | 20,991 | |
Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 5,800 | 5,989 | |
Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 20,900 | 22,346 | |
Saudi Arabian Oil Co. | 2.250% | 11/24/30 | 4,250 | 4,140 | |
Saudi Arabian Oil Co. | 4.250% | 4/16/39 | 13,500 | 15,252 | |
68,718 | |||||
Thailand (0.4%) | |||||
Bangkok Bank PCL | 3.733% | 9/25/34 | 10,552 | 10,783 | |
Venezuela (0.0%) | |||||
7,8 | Petroleos de Venezuela SA | 6.000% | 11/15/26 | 2,850 | 107 |
8 | Petroleos de Venezuela SA | 5.375% | 4/12/27 | 462 | 18 |
125 | |||||
Total Corporate Bonds (Cost $512,985) | 505,230 | ||||
Sovereign Bonds (63.6%) | |||||
Albania (0.1%) | |||||
4,5 | Republic of Albania | 3.500% | 11/23/31 | 2,516 | 2,815 |
Angola (0.6%) | |||||
Republic of Angola | 8.250% | 5/9/28 | 16,073 | 16,180 | |
Republic of Angola | 9.125% | 11/26/49 | 600 | 576 | |
16,756 | |||||
Argentina (1.2%) | |||||
Republic of Argentina | 1.000% | 7/9/29 | 926 | 337 | |
9 | Republic of Argentina, 0.750% coupon rate effective 7/9/23 | 0.500% | 7/9/30 | 39,288 | 13,760 |
9 | Republic of Argentina, 1.500% coupon rate effective 7/9/22 | 1.125% | 7/9/35 | 55,311 | 17,618 |
9 | Republic of Argentina, 3.500% coupon rate effective 7/9/22 | 2.500% | 7/9/41 | 700 | 248 |
31,963 | |||||
Azerbaijan (0.4%) | |||||
Republic of Azerbaijan | 4.750% | 3/18/24 | 8,000 | 8,493 | |
7 | Republic of Azerbaijan | 5.125% | 9/1/29 | 2,795 | 3,053 |
11,546 | |||||
Bahrain (1.1%) | |||||
Kingdom of Bahrain | 7.500% | 9/20/47 | 4,256 | 4,317 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
Kingdom of Bahrain | 6.250% | 1/25/51 | 27,818 | 25,519 | |
29,836 | |||||
Belarus (0.4%) | |||||
Republic of Belarus | 7.625% | 6/29/27 | 2,200 | 2,024 | |
Republic of Belarus | 6.200% | 2/28/30 | 1,760 | 1,402 | |
Republic of Belarus | 6.378% | 2/24/31 | 8,460 | 6,740 | |
10,166 | |||||
Brazil (3.4%) | |||||
10 | Brazil Notas do Tesouro Nacional Serie F | 10.000% | 1/1/27 | 106,250 | 19,546 |
Federative Republic of Brazil | 4.625% | 1/13/28 | 41,976 | 43,805 | |
Federative Republic of Brazil | 4.750% | 1/14/50 | 26,499 | 23,554 | |
86,905 | |||||
Cameroon (0.3%) | |||||
4,5 | Republic of Cameroon | 5.950% | 7/7/32 | 6,192 | 6,602 |
Chile (1.0%) | |||||
Republic of Chile | 3.240% | 2/6/28 | 23,610 | 24,873 | |
Colombia (2.9%) | |||||
Republic of Colombia | 5.000% | 6/15/45 | 37,497 | 33,833 | |
Republic of Colombia | 5.200% | 5/15/49 | 28,548 | 26,264 | |
Republic of Colombia | 3.875% | 2/15/61 | 18,426 | 14,188 | |
74,285 | |||||
Croatia (0.6%) | |||||
Republic of Croatia | 5.500% | 4/4/23 | 8,000 | 8,453 | |
5 | Republic of Croatia | 2.750% | 1/27/30 | 4,616 | 5,951 |
14,404 | |||||
Dominican Republic (2.2%) | |||||
7 | Dominican Republic | 5.875% | 4/18/24 | 3,344 | 3,502 |
Dominican Republic | 5.500% | 1/27/25 | 17,546 | 18,978 | |
Dominican Republic | 5.875% | 1/30/60 | 35,846 | 34,457 | |
56,937 | |||||
Ecuador (2.0%) | |||||
4,7 | Republic of Ecuador | 0.000% | 7/31/30 | 978 | 555 |
7 | Republic of Ecuador | 0.000% | 7/31/30 | 11,915 | 6,702 |
9 | Republic of Ecuador, 2.500% coupon rate effective 7/31/22 | 1.000% | 7/31/35 | 42,500 | 27,837 |
9 | Republic of Ecuador, 5.500% coupon rate effective 7/31/22 | 5.000% | 7/31/30 | 20,080 | 16,641 |
51,735 | |||||
Egypt (0.5%) | |||||
Arab Republic of Egypt | 7.903% | 2/21/48 | 9,354 | 7,865 | |
Arab Republic of Egypt | 8.875% | 5/29/50 | 6,347 | 5,765 | |
13,630 | |||||
El Salvador (1.2%) | |||||
Republic of El Salvador | 5.875% | 1/30/25 | 8,172 | 5,101 | |
Republic of El Salvador | 8.625% | 2/28/29 | 14,836 | 9,118 | |
Republic of El Salvador | 8.250% | 4/10/32 | 8,500 | 5,206 | |
Republic of El Salvador | 7.125% | 1/20/50 | 21,740 | 11,902 | |
31,327 | |||||
Gabon (0.4%) | |||||
7 | Republic of Gabon | 6.625% | 2/6/31 | 11,345 | 11,031 |
Georgia (0.8%) | |||||
4 | Republic of Georgia | 2.750% | 4/22/26 | 20,340 | 20,269 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
Guatemala (2.2%) | |||||
Republic of Guatemala | 5.750% | 6/6/22 | 9,942 | 10,123 | |
Republic of Guatemala | 4.500% | 5/3/26 | 17,162 | 18,108 | |
Republic of Guatemala | 4.375% | 6/5/27 | 12,498 | 13,147 | |
Republic of Guatemala | 4.875% | 2/13/28 | 9,160 | 9,866 | |
7 | Republic of Guatemala | 4.900% | 6/1/30 | 3,000 | 3,240 |
7 | Republic of Guatemala | 6.125% | 6/1/50 | 2,900 | 3,318 |
57,802 | |||||
Honduras (0.8%) | |||||
7 | Republic of Honduras | 7.500% | 3/15/24 | 19,033 | 20,164 |
Hungary (1.4%) | |||||
Republic of Hungary | 5.375% | 2/21/23 | 4,570 | 4,801 | |
Republic of Hungary | 5.750% | 11/22/23 | 3,100 | 3,365 | |
4 | Republic of Hungary | 2.125% | 9/22/31 | 11,093 | 10,919 |
5 | Republic of Hungary | 1.625% | 4/28/32 | 6,800 | 8,086 |
4 | Republic of Hungary | 3.125% | 9/21/51 | 10,359 | 10,200 |
37,371 | |||||
Indonesia (1.3%) | |||||
Republic of Indonesia | 3.850% | 7/18/27 | 4,300 | 4,715 | |
Republic of Indonesia | 6.625% | 2/17/37 | 4,675 | 6,531 | |
Republic of Indonesia | 4.625% | 4/15/43 | 4,050 | 4,770 | |
Republic of Indonesia | 4.350% | 1/11/48 | 15,043 | 17,307 | |
Republic of Indonesia | 3.700% | 10/30/49 | 700 | 742 | |
34,065 | |||||
Iraq (0.1%) | |||||
7 | Republic of Iraq | 5.800% | 1/15/28 | 3,424 | 3,282 |
Ivory Coast (0.8%) | |||||
4,5 | Republic of Cote d'Ivoire | 4.875% | 1/30/32 | 1,526 | 1,669 |
5 | Republic of Cote d'Ivoire | 6.875% | 10/17/40 | 1,715 | 2,033 |
5,7 | Republic of Cote d'Ivoire | 6.625% | 3/22/48 | 4,800 | 5,406 |
4,5,7 | Republic of Cote d'Ivoire | 6.625% | 3/22/48 | 10,599 | 11,937 |
21,045 | |||||
Jordan (0.4%) | |||||
Kingdom of Jordan | 7.375% | 10/10/47 | 10,151 | 10,282 | |
Kazakhstan (0.6%) | |||||
Republic of Kazakhstan | 4.875% | 10/14/44 | 13,500 | 16,592 | |
Lebanon (0.1%) | |||||
8 | Lebanon Republic | 8.250% | 4/12/21 | 2,430 | 286 |
8 | Lebanon Republic | 6.100% | 10/4/22 | 2,250 | 239 |
8 | Lebanon Republic | 6.650% | 4/22/24 | 2,890 | 307 |
8 | Lebanon Republic | 7.000% | 3/20/28 | 6,310 | 640 |
8 | Lebanon Republic | 6.650% | 2/26/30 | 4,900 | 517 |
8 | Lebanon Republic | 7.150% | 11/20/31 | 1,445 | 145 |
8 | Lebanon Republic | 8.200% | 5/17/33 | 1,445 | 147 |
8 | Lebanon Republic | 8.250% | 5/17/34 | 1,445 | 147 |
2,428 | |||||
Mexico (3.7%) | |||||
11 | Mexican Bonos | 7.750% | 5/29/31 | 620,000 | 30,612 |
11 | Mexican Bonos | 8.500% | 11/18/38 | 636,710 | 32,687 |
United Mexican States | 4.500% | 4/22/29 | 6,513 | 7,255 | |
United Mexican States | 2.659% | 5/24/31 | 8,344 | 8,135 | |
United Mexican States | 4.750% | 4/27/32 | 3,640 | 4,116 | |
United Mexican States | 3.771% | 5/24/61 | 5,190 | 4,781 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
United Mexican States | 5.750% | 10/12/10 | 6,500 | 7,490 | |
95,076 | |||||
Mongolia (0.3%) | |||||
Mongolia | 5.625% | 5/1/23 | 4,843 | 4,985 | |
4 | Mongolia | 5.125% | 4/7/26 | 3,020 | 3,088 |
8,073 | |||||
Morocco (1.0%) | |||||
4,5 | Kingdom of Morocco | 2.000% | 9/30/30 | 14,650 | 16,221 |
4 | Kingdom of Morocco | 4.000% | 12/15/50 | 10,589 | 9,623 |
25,844 | |||||
Nigeria (2.0%) | |||||
Republic of Nigeria | 7.625% | 11/28/47 | 12,720 | 11,397 | |
4 | Republic of Nigeria | 8.250% | 9/28/51 | 42,610 | 39,946 |
51,343 | |||||
North Macedonia (0.2%) | |||||
4,5 | North Macedonia | 1.625% | 3/10/28 | 2,183 | 2,326 |
5 | North Macedonia | 1.625% | 3/10/28 | 2,542 | 2,709 |
5,035 | |||||
Oman (1.7%) | |||||
Sultanate of Oman | 6.500% | 3/8/47 | 13,590 | 13,466 | |
Sultanate of Oman | 6.750% | 1/17/48 | 8,490 | 8,627 | |
4 | Sultanate of Oman | 7.000% | 1/25/51 | 12,106 | 12,689 |
Sultanate of Oman | 7.000% | 1/25/51 | 10,065 | 10,609 | |
45,391 | |||||
Pakistan (1.2%) | |||||
4 | Islamic Republic of Pakistan | 8.875% | 4/8/51 | 22,150 | 21,992 |
Islamic Republic of Pakistan | 8.875% | 4/8/51 | 9,714 | 9,661 | |
31,653 | |||||
Panama (2.1%) | |||||
Panama Bonos del Tesoro | 3.362% | 6/30/31 | 8,552 | 8,598 | |
7 | Republic of Panama | 4.500% | 4/16/50 | 13,783 | 15,193 |
7 | Republic of Panama | 3.870% | 7/23/60 | 29,804 | 29,808 |
53,599 | |||||
Paraguay (2.3%) | |||||
Republic of Paraguay | 4.625% | 1/25/23 | 27,362 | 28,373 | |
Republic of Paraguay | 5.000% | 4/15/26 | 3,400 | 3,782 | |
7 | Republic of Paraguay | 4.950% | 4/28/31 | 2,460 | 2,775 |
Republic of Paraguay | 6.100% | 8/11/44 | 1,375 | 1,691 | |
Republic of Paraguay | 5.600% | 3/13/48 | 4,590 | 5,347 | |
7 | Republic of Paraguay | 5.400% | 3/30/50 | 14,737 | 16,867 |
58,835 | |||||
Peru (1.8%) | |||||
Corp. Financiera de Desarrollo SA | 4.750% | 7/15/25 | 203 | 221 | |
4 | Corp. Financiera de Desarrollo SA | 2.400% | 9/28/27 | 3,805 | 3,700 |
Fondo MIVIVIENDA SA | 3.500% | 1/31/23 | 20,462 | 20,866 | |
Republic of Peru | 7.350% | 7/21/25 | 5,461 | 6,506 | |
Republic of Peru | 3.000% | 1/15/34 | 16,124 | 16,085 | |
47,378 | |||||
Philippines (1.8%) | |||||
Republic of Philippines | 3.950% | 1/20/40 | 13,150 | 14,723 | |
5 | Republic of Philippines | 1.750% | 4/28/41 | 21,863 | 24,709 |
Republic of Philippines | 3.200% | 7/6/46 | 6,055 | 6,173 | |
45,605 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
Qatar (0.3%) | |||||
State of Qatar | 3.400% | 4/16/25 | 8,303 | 8,817 | |
Romania (1.5%) | |||||
5 | Romania | 2.500% | 2/8/30 | 5,939 | 6,805 |
4,5 | Romania | 1.750% | 7/13/30 | 19,185 | 20,355 |
4,5 | Romania | 2.750% | 4/14/41 | 6,000 | 6,096 |
5 | Romania | 2.750% | 4/14/41 | 5,771 | 5,858 |
39,114 | |||||
Russia (2.1%) | |||||
5 | Russian Federation | 1.125% | 11/20/27 | 12,700 | 14,379 |
12 | Russian Federation | 6.900% | 7/23/31 | 1,549,134 | 18,769 |
5 | Russian Federation | 2.650% | 5/27/36 | 17,800 | 20,374 |
53,522 | |||||
Saudi Arabia (0.7%) | |||||
Kingdom of Saudi Arabia | 4.000% | 4/17/25 | 7,300 | 7,871 | |
Kingdom of Saudi Arabia | 4.500% | 10/26/46 | 4,250 | 4,990 | |
Kingdom of Saudi Arabia | 4.625% | 10/4/47 | 5,100 | 6,116 | |
18,977 | |||||
Serbia (2.6%) | |||||
5 | Republic of Serbia | 3.125% | 5/15/27 | 43,998 | 53,348 |
4,5 | Republic of Serbia | 2.050% | 9/23/36 | 14,350 | 14,874 |
68,222 | |||||
South Africa (3.1%) | |||||
Republic of South Africa | 5.875% | 9/16/25 | 5,345 | 5,900 | |
Republic of South Africa | 4.850% | 9/27/27 | 14,200 | 14,978 | |
13 | Republic of South Africa | 8.250% | 3/31/32 | 184,521 | 10,415 |
13 | Republic of South Africa | 8.500% | 1/31/37 | 170,066 | 9,039 |
Republic of South Africa | 6.250% | 3/8/41 | 4,000 | 4,246 | |
Republic of South Africa | 5.000% | 10/12/46 | 18,187 | 16,506 | |
Republic of South Africa | 5.650% | 9/27/47 | 14,312 | 13,742 | |
Republic of South Africa | 5.750% | 9/30/49 | 4,462 | 4,292 | |
79,118 | |||||
Sri Lanka (0.2%) | |||||
Republic of Sri Lanka | 6.125% | 6/3/25 | 8,504 | 4,477 | |
Tunisia (0.4%) | |||||
Banque Centrale de Tunisie International Bond | 5.750% | 1/30/25 | 13,250 | 10,213 | |
Turkey (1.3%) | |||||
5 | Republic of Turkey | 4.375% | 7/8/27 | 4,313 | 4,575 |
Republic of Turkey | 6.000% | 1/14/41 | 8,470 | 7,042 | |
Republic of Turkey | 4.875% | 4/16/43 | 9,107 | 6,986 | |
Republic of Turkey | 5.750% | 5/11/47 | 19,235 | 15,565 | |
34,168 | |||||
Ukraine (2.9%) | |||||
Ukraine | 7.750% | 9/1/23 | 11,800 | 11,565 | |
Ukraine | 8.994% | 2/1/24 | 10,410 | 10,389 | |
Ukraine | 7.750% | 9/1/24 | 10,557 | 10,265 | |
Ukraine | 7.750% | 9/1/25 | 18,715 | 18,005 | |
Ukraine | 7.750% | 9/1/26 | 7,185 | 6,904 | |
Ukraine | 9.750% | 11/1/28 | 501 | 506 | |
4 | Ukraine | 6.876% | 5/21/29 | 5,900 | 5,240 |
5 | Ukraine | 4.375% | 1/27/30 | 4,700 | 4,290 |
4 | Ukraine | 7.253% | 3/15/33 | 8,200 | 7,242 |
7 | Ukreximbank Via Biz Finance plc | 9.750% | 1/22/25 | 88 | 89 |
74,495 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
United Arab Emirates (0.5%) | |||||
4 | Finance Department Government of Sharjah | 4.000% | 7/28/50 | 2,646 | 2,400 |
Finance Department Government of Sharjah | 4.000% | 7/28/50 | 5,860 | 5,299 | |
Sharjah Sukuk Program Ltd. | 3.854% | 4/3/26 | 2,135 | 2,257 | |
Sharjah Sukuk Program Ltd. | 2.942% | 6/10/27 | 3,600 | 3,620 | |
13,576 | |||||
Uzbekistan (2.9%) | |||||
Republic of Uzbekistan | 4.750% | 2/20/24 | 24,199 | 25,237 | |
Republic of Uzbekistan | 5.375% | 2/20/29 | 6,150 | 6,557 | |
4 | Republic of Uzbekistan | 3.700% | 11/25/30 | 13,148 | 12,639 |
4 | Republic of Uzbekistan | 3.900% | 10/19/31 | 3,433 | 3,289 |
4 | Uzbekneftegaz JSC | 4.750% | 11/16/28 | 28,100 | 27,079 |
74,801 | |||||
Venezuela (0.0%) | |||||
8 | Republic of Venezuela | 11.750% | 10/21/26 | 640 | 45 |
8 | Republic of Venezuela | 7.000% | 3/31/38 | 1,500 | 105 |
150 | |||||
Vietnam (0.2%) | |||||
Socialist Republic of Vietnam | 4.800% | 11/19/24 | 4,700 | 5,098 | |
Total Sovereign Bonds (Cost $1,716,189) | 1,650,691 | ||||
Shares | |||||
Temporary Cash Investments (13.3%) | |||||
Money Market Fund (13.3%) | |||||
14 | Vanguard Market Liquidity Fund (Cost $344,615) | 0.090% | 3,446,524 | 344,618 |
Counterparty | Expiration Date | Exercise Price | Notional Value ($000) | |||
Options Purchased (0.0%) | ||||||
Foreign Currency Options (0.0%) | ||||||
Call Options | ||||||
EUR | BARC | 10/21/22 | USD1.220 | EUR110,665 | 399 |
Counterparty | Expiration Date | Exercise Price | Notional Value ($000) | Market Value ($000) | ||
Put Options | ||||||
USD | BNPSW | 7/21/22 | JPY95.100 | USD10,000 | 1 | |
Total Options Purchased (Cost $1,386) | 400 | |||||
Total Investments (96.9%) (Cost $2,587,807) | 2,513,472 | |||||
Other Assets and Liabilities—Net (3.1%) | 79,466 | |||||
Net Assets (100.0%) | 2,592,938 | |||||
Cost is in $000. |
1 | Securities with a value of $1,314,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $2,004,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
3 | Guaranteed by the Republic of Azerbaijan. |
4 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2021, the aggregate value was $418,412,000, representing 16.1% of net assets. |
5 | Face amount denominated in euro. |
6 | Face amount denominated in Kazakhstan Tenge. |
7 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
8 | Non-income-producing security—security in default. |
9 | Step bond. |
10 | Face amount denominated in Brazilian dollars. |
11 | Face amount denominated in Mexican pesos. |
12 | Face amount denominated in Russian rubles. |
13 | Face amount denominated in South African rand. |
14 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
BARC—Barclays Bank plc. | |
BNPSW—BNP Paribas. | |
EUR—euro. | |
JPY—Japanese yen. | |
USD—U.S. dollar. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | March 2022 | 270 | 58,906 | (11) |
10-Year U.S. Treasury Note | March 2022 | 359 | 46,838 | 523 |
Ultra 10-Year U.S. Treasury Note | March 2022 | 202 | 29,580 | 423 |
935 | ||||
Short Futures Contracts | ||||
Long U.S. Treasury Bond | March 2022 | (332) | (53,265) | (561) |
Ultra Long U.S. Treasury Bond | March 2022 | (119) | (23,458) | (178) |
(739) | ||||
196 |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
BNP Paribas | 1/4/22 | BRL | 129,817 | USD | 23,243 | 44 | — |
Goldman Sachs & Co. | 1/4/22 | BRL | 95,853 | USD | 17,176 | 19 | — |
Morgan Stanley Capital Services Inc. | 1/4/22 | BRL | 3,160 | USD | 557 | 10 | — |
Citibank, N.A. | 3/16/22 | CLP | 22,622,302 | USD | 26,710 | — | (467) |
Citibank, N.A. | 3/16/22 | CZK | 592,371 | USD | 26,171 | 744 | — |
Bank of America, N.A. | 3/16/22 | EUR | 37,300 | USD | 42,154 | 379 | — |
Morgan Stanley Capital Services Inc. | 3/16/22 | HUF | 13,891,740 | USD | 42,370 | 113 | — |
UBS AG | 3/16/22 | ILS | 41,085 | USD | 12,989 | 235 | — |
Morgan Stanley Capital Services Inc. | 3/16/22 | JPY | 5,347,055 | USD | 47,160 | — | (645) |
Bank of America, N.A. | 3/16/22 | JPY | 1,500,950 | USD | 13,209 | — | (152) |
Standard Chartered Bank | 3/16/22 | JPY | 1,488,303 | USD | 13,175 | — | (228) |
BNP Paribas | 3/16/22 | THB | 834,917 | USD | 24,953 | 34 | — |
Standard Chartered Bank | 3/16/22 | TRY | 985 | USD | 60 | 10 | — |
JPMorgan Chase Bank, N.A. | 3/16/22 | ZAR | 208,137 | USD | 13,024 | — | (102) |
BNP Paribas | 1/4/22 | USD | 23,202 | BRL | 129,817 | — | (86) |
BNP Paribas | 2/2/22 | USD | 19,818 | BRL | 111,761 | — | (91) |
Goldman Sachs & Co. | 1/4/22 | USD | 17,010 | BRL | 95,853 | — | (185) |
Morgan Stanley Capital Services Inc. | 1/4/22 | USD | 566 | BRL | 3,160 | — | (1) |
BNP Paribas | 3/16/22 | USD | 13,130 | CLP | 11,544,815 | — | (263) |
UBS AG | 3/16/22 | USD | 18,863 | CNY | 120,950 | — | (69) |
Deutsche Bank AG | 3/16/22 | USD | 290,197 | EUR | 256,715 | — | (2,534) |
Standard Chartered Bank | 3/16/22 | USD | 28,082 | EUR | 24,770 | — | (163) |
Morgan Stanley Capital Services Inc. | 3/16/22 | USD | 6,110 | EUR | 5,372 | — | (17) |
JPMorgan Chase Bank, N.A. | 3/16/22 | USD | 559 | EUR | 492 | — | (2) |
UBS AG | 3/16/22 | USD | 41,422 | HUF | 13,680,158 | — | (414) |
Citibank, N.A. | 3/16/22 | USD | 13,169 | ILS | 40,944 | — | (10) |
BNP Paribas | 7/22/22 | USD | 9,683 | JPY | 971,945 | 1,210 | — |
Citibank, N.A. | 3/16/22 | USD | 52,570 | MXN | 1,118,440 | — | (1,322) |
UBS AG | 3/16/22 | USD | 9,939 | MXN | 208,720 | — | (118) |
Goldman Sachs & Co. | 3/16/22 | USD | 29 | MXN | 618 | — | (1) |
Morgan Stanley Capital Services Inc. | 3/16/22 | USD | 38,735 | PHP | 1,965,917 | 309 | — |
Morgan Stanley Capital Services Inc. | 3/16/22 | USD | 26,848 | PLN | 110,784 | — | (490) |
Barclays Bank plc | 3/16/22 | USD | 28,459 | RUB | 2,164,519 | 130 | — |
UBS AG | 3/16/22 | USD | 13,145 | RUB | 989,687 | 192 | — |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
JPMorgan Chase Bank, N.A. | 1/11/22 | USD | 8,961 | TRY | 106,980 | 945 | — |
BNP Paribas | 3/16/22 | USD | 18,635 | ZAR | 303,190 | — | (187) |
4,374 | (7,547) |
BRL—Brazilian real. |
CLP—Chilean peso. |
CNY—Chinese renminbi. |
CZK—Czech koruna. |
EUR—euro. |
HUF—Hungarian forint. |
ILS—Israeli shekel. |
JPY—Japanese yen. |
MXN—Mexican peso. |
PHP—Philippines Peso. |
PLN—Polish zloty. |
RUB—Russian ruble. |
THB—Thai baht. |
TRY—Turkish lira. |
USD—U.S. dollar. |
ZAR—South African rand. |
Centrally Cleared Credit Default Swaps | ||||||
Reference Entity | Termination Date | Notional Amount (000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) | |
Credit Protection Purchased | ||||||
CDX-NA-HY-S36-V1 | 6/23/26 | USD | 10,885 | (5.000) | (1,000) | 84 |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
Republic of Chile/A1 | 12/22/26 | MSCS | 43,870 | 1.000 | 629 | 315 | 314 | — |
Republic of Indonesia/Baa2 | 12/22/26 | BARC | 26,800 | 1.000 | 327 | 95 | 232 | — |
Republic of Indonesia/Baa2 | 12/22/26 | BNPSW | 11,650 | 1.000 | 143 | 100 | 43 | — |
1,099 | 510 | 589 | — | |||||
Credit Protection Purchased | ||||||||
Petroleos Mexicanos | 12/22/26 | BARC | 15,300 | (1.000) | 1,421 | 1,579 | — | (158) |
Republic of Colombia | 12/22/26 | MSCS | 18,167 | (1.000) | 859 | 389 | 470 | — |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Republic of Mexico | 12/22/26 | BARC | 42,565 | (1.000) | (218) | (20) | — | (198) |
Republic of Peru | 12/22/26 | MSCS | 21,295 | (1.000) | (256) | (132) | — | (124) |
1,806 | 1,816 | 470 | (480) | |||||
2,905 | 2,326 | 1,059 | (480) |
1 | Periodic premium received/paid quarterly. |
BARC—Barclays Bank plc. | |
BNPSW—BNP Paribas. | |
MSCS—Morgan Stanley Capital Services LLC. |
Centrally Cleared Interest Rate Swaps | ||||||
Termination Date | Future Effective Date | Notional Amount ($000) | Interest Rate Received (%) | Interest Rate (Paid) (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
1/2/23 | N/A | 794,837 | 11.7001 | (9.150)2 | 107 | 87 |
1/4/27 | N/A | 58,530 | 11.1251 | (6.150)2 | 378 | 377 |
3/16/27 | 3/16/223 | 353,776 | 2.4604 | (0.000)5 | 211 | 155 |
3/16/27 | 3/16/223 | 114,961 | 0.0006 | (3.245)7 | 733 | 943 |
5/29/31 | N/A | 373,495 | 5.7001 | (7.365)8 | 168 | 168 |
3/3/32 | 3/16/223 | 447,650 | 7.3911 | (0.000)8 | (296) | (296) |
1,301 | 1,434 |
1 | Interest payment received/paid monthly. |
2 | Based on 1-Day Overnight Brazil CETIP Interbank Deposit Rate as of the most recent payment date. Interest payment received/paid at maturity. |
3 | Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. |
4 | Interest payment received/paid quarterly. |
5 | Based on 7-day China Fixing Repo Rate as of the most recent payment date. Interest payment received/paid quarterly. |
6 | Based on Poland Warsaw Interbank Offered Rate as of the most recent payment date. Interest payment received/paid semiannually. |
7 | Interest payment received/paid annually. |
8 | Based on 28-day Mexican Interbank Rate (TIIE) as of the most recent payment date. Interest payment received/paid every 28 days. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 12,533 | — | 12,533 |
Corporate Bonds | — | 505,230 | — | 505,230 |
Sovereign Bonds | — | 1,650,691 | — | 1,650,691 |
Temporary Cash Investments | 344,618 | — | — | 344,618 |
Options Purchased | — | 400 | — | 400 |
Total | 344,618 | 2,168,854 | — | 2,513,472 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 946 | — | — | 946 |
Forward Currency Contracts | — | 4,374 | — | 4,374 |
Swap Contracts | 1,8141 | 1,059 | — | 2,873 |
Total | 2,760 | 5,433 | — | 8,193 |
Liabilities | ||||
Futures Contracts1 | 750 | — | — | 750 |
Forward Currency Contracts | — | 7,547 | — | 7,547 |
Swap Contracts | 2961 | 480 | — | 776 |
Total | 1,046 | 8,027 | — | 9,073 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |