Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (6.4%) | ||||||
1,2 | United States Treasury Note/Bond | 0.250% | 9/30/23 | 500 | 496 | |
United States Treasury Note/Bond | 0.625% | 10/15/24 | 105 | 104 | ||
United States Treasury Note/Bond | 1.125% | 10/31/26 | 40 | 40 | ||
United States Treasury Note/Bond | 1.250% | 8/15/31 | 389 | 380 | ||
United States Treasury Note/Bond | 1.375% | 11/15/31 | 80 | 79 | ||
United States Treasury Note/Bond | 1.625% | 5/15/31 | 80 | 81 | ||
United States Treasury Note/Bond | 1.750% | 8/15/41 | 9 | 9 | ||
United States Treasury Note/Bond | 2.000% | 8/15/51 | 81 | 83 | ||
United States Treasury Note/Bond | 3.000% | 2/15/47 | 235 | 284 | ||
United States Treasury Note/Bond | 5.000% | 5/15/37 | 30 | 44 | ||
Total U.S. Government and Agency Obligations (Cost $1,595) | 1,600 | |||||
Corporate Bonds (74.3%) | ||||||
Australia (0.9%) | ||||||
3 | Westpac Banking Corp. | 4.322% | 11/23/31 | 200 | 216 | |
Belgium (0.5%) | ||||||
Anheuser-Busch InBev Worldwide Inc. | 4.750% | 1/23/29 | 113 | 132 | ||
Brazil (0.9%) | ||||||
Petrobras Global Finance BV | 5.999% | 1/27/28 | 200 | 218 | ||
Canada (3.4%) | ||||||
4 | 1011778 BC ULC | 3.875% | 1/15/28 | 80 | 81 | |
4 | Air Canada | 3.875% | 8/15/26 | 120 | 123 | |
4 | Antares Holdings LP | 3.950% | 7/15/26 | 250 | 257 | |
Canadian Natural Resources Ltd. | 3.850% | 6/1/27 | 50 | 54 | ||
Canadian Pacific Railway Co. | 1.750% | 12/2/26 | 10 | 10 | ||
4 | Hudbay Minerals Inc. | 4.500% | 4/1/26 | 80 | 80 | |
4 | MEG Energy Corp. | 6.500% | 1/15/25 | 80 | 81 | |
4 | Ritchie Bros Holdings Inc. | 4.750% | 12/15/31 | 75 | 78 | |
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 75 | 84 | ||
848 | ||||||
Ireland (1.3%) | ||||||
AerCap Ireland Capital DAC | 1.150% | 10/29/23 | 150 | 149 | ||
AerCap Ireland Capital DAC | 3.300% | 1/30/32 | 150 | 153 | ||
5,6,7,8 | Setanta Aircraft Leasing DAC Bank Loan, 2M USD LIBOR + 2.000% | —% | 11/5/28 | 25 | 25 | |
327 | ||||||
Japan (2.9%) | ||||||
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 200 | 217 | ||
4 | Nissan Motor Co. Ltd. | 3.043% | 9/15/23 | 315 | 323 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Nomura Holdings Inc. | 2.172% | 7/14/28 | 200 | 196 | ||
736 | ||||||
Peru (0.8%) | ||||||
4 | Minsur SA | 4.500% | 10/28/31 | 200 | 203 | |
Poland (0.6%) | ||||||
4 | Canpack SA | 3.875% | 11/15/29 | 160 | 156 | |
United Kingdom (5.3%) | ||||||
AstraZeneca Finance LLC | 1.200% | 5/28/26 | 60 | 59 | ||
Barclays plc | 4.375% | 9/11/24 | 200 | 214 | ||
BAT International Finance plc | 1.668% | 3/25/26 | 113 | 111 | ||
3 | HSBC Holdings plc | 1.645% | 4/18/26 | 200 | 199 | |
HSBC Holdings plc | 2.206% | 8/17/29 | 200 | 196 | ||
Lloyds Banking Group plc | 4.450% | 5/8/25 | 200 | 217 | ||
3 | NatWest Group plc | 3.754% | 11/1/29 | 200 | 209 | |
4 | Rolls-Royce plc | 3.625% | 10/14/25 | 125 | 127 | |
1,332 | ||||||
United States (57.7%) | ||||||
4 | 7-Eleven Inc. | 1.300% | 2/10/28 | 113 | 107 | |
AbbVie Inc. | 3.200% | 5/14/26 | 75 | 79 | ||
AbbVie Inc. | 4.250% | 11/14/28 | 113 | 128 | ||
Allegheny Technologies Inc. | 4.875% | 10/1/29 | 80 | 80 | ||
4 | Allison Transmission Inc. | 4.750% | 10/1/27 | 80 | 83 | |
4 | American Airlines Inc. | 11.750% | 7/15/25 | 110 | 137 | |
4 | American Airlines Inc. | 5.500% | 4/20/26 | 150 | 156 | |
4 | Antero Resources Corp. | 5.375% | 3/1/30 | 80 | 86 | |
4 | Aramark Services Inc. | 5.000% | 2/1/28 | 80 | 83 | |
4 | Asbury Automotive Group Inc. | 5.000% | 2/15/32 | 150 | 155 | |
AT&T Inc. | 2.750% | 6/1/31 | 60 | 61 | ||
4 | Axalta Coating Systems LLC | 4.750% | 6/15/27 | 160 | 167 | |
Bank of America Corp. | 0.976% | 4/22/25 | 88 | 87 | ||
Bank of America Corp. | 1.734% | 7/22/27 | 88 | 87 | ||
3 | Bank of America Corp. | 4.271% | 7/23/29 | 40 | 45 | |
3 | Bank of America Corp. | 1.922% | 10/24/31 | 35 | 34 | |
4 | Bausch Health Cos. Inc. | 6.125% | 4/15/25 | 120 | 122 | |
4 | Bausch Health Cos. Inc. | 5.250% | 2/15/31 | 40 | 35 | |
4 | Big River Steel LLC | 6.625% | 1/31/29 | 110 | 119 | |
Boeing Co. | 2.750% | 2/1/26 | 113 | 116 | ||
Boeing Co. | 5.150% | 5/1/30 | 76 | 89 | ||
Boston Properties LP | 3.650% | 2/1/26 | 60 | 64 | ||
Boston Scientific Corp. | 4.000% | 3/1/28 | 75 | 84 | ||
Boyd Gaming Corp. | 4.750% | 12/1/27 | 80 | 82 | ||
BP Capital Markets America Inc. | 4.234% | 11/6/28 | 100 | 113 | ||
4 | Cable One Inc. | 4.000% | 11/15/30 | 200 | 197 | |
4 | Calpine Corp. | 4.500% | 2/15/28 | 80 | 83 | |
4 | Calpine Corp. | 5.125% | 3/15/28 | 80 | 81 | |
4 | Carnival Corp. | 4.000% | 8/1/28 | 160 | 159 | |
4 | CCO Holdings LLC | 5.000% | 2/1/28 | 80 | 83 | |
4 | CCO Holdings LLC | 4.750% | 3/1/30 | 80 | 83 | |
4 | Cedar Fair LP | 5.500% | 5/1/25 | 150 | 156 | |
Centene Corp. | 2.450% | 7/15/28 | 120 | 119 | ||
Charter Communications Operating LLC | 4.908% | 7/23/25 | 120 | 132 | ||
Cheniere Energy Partners LP | 4.000% | 3/1/31 | 80 | 84 | ||
4 | Churchill Downs Inc. | 4.750% | 1/15/28 | 150 | 156 | |
5,6,7,8 | Churchill Downs Inc. Bank Loan, 12M USD LIBOR + 2.000% | —% | 12/27/24 | 50 | 50 | |
3 | Citigroup Inc. | 3.352% | 4/24/25 | 85 | 89 | |
Citigroup Inc. | 4.400% | 6/10/25 | 55 | 60 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Citigroup Inc. | 4.125% | 7/25/28 | 35 | 38 | ||
3 | Citigroup Inc. | 2.666% | 1/29/31 | 45 | 46 | |
4 | Clarios Global LP | 6.250% | 5/15/26 | 80 | 84 | |
4 | Clarios Global LP | 8.500% | 5/15/27 | 110 | 117 | |
4 | Clean Harbors Inc. | 4.875% | 7/15/27 | 80 | 83 | |
4 | Cleveland-Cliffs Inc. | 6.750% | 3/15/26 | 50 | 53 | |
4 | Colgate Energy Partners III LLC | 5.875% | 7/1/29 | 85 | 88 | |
4 | CommScope Inc. | 6.000% | 3/1/26 | 80 | 83 | |
4 | CrownRock LP | 5.625% | 10/15/25 | 80 | 82 | |
4 | CSC Holdings LLC | 4.625% | 12/1/30 | 40 | 38 | |
CVS Health Corp. | 2.625% | 8/15/24 | 113 | 117 | ||
CVS Health Corp. | 4.300% | 3/25/28 | 113 | 127 | ||
DCP Midstream Operating LP | 5.625% | 7/15/27 | 140 | 159 | ||
Dell International LLC | 5.850% | 7/15/25 | 115 | 130 | ||
4 | Delta Air Lines Inc. | 4.750% | 10/20/28 | 185 | 202 | |
Devon Energy Corp. | 5.850% | 12/15/25 | 70 | 80 | ||
4 | Directv Financing LLC | 5.875% | 8/15/27 | 100 | 102 | |
4 | DISH DBS Corp. | 5.250% | 12/1/26 | 45 | 46 | |
Dominion Energy Inc. | 4.250% | 6/1/28 | 55 | 62 | ||
4 | DT Midstream Inc. | 4.125% | 6/15/29 | 160 | 164 | |
4 | Element Solutions Inc. | 3.875% | 9/1/28 | 80 | 81 | |
4 | Endeavor Energy Resources LP | 6.625% | 7/15/25 | 80 | 85 | |
Energy Transfer LP | 4.050% | 3/15/25 | 120 | 127 | ||
Energy Transfer LP | 4.950% | 5/15/28 | 75 | 83 | ||
4 | EnLink Midstream LLC | 5.625% | 1/15/28 | 110 | 115 | |
Exxon Mobil Corp. | 3.482% | 3/19/30 | 45 | 49 | ||
4 | Fair Isaac Corp. | 4.000% | 6/15/28 | 110 | 113 | |
FirstEnergy Corp. | 2.650% | 3/1/30 | 160 | 158 | ||
Ford Motor Credit Co. LLC | 3.375% | 11/13/25 | 120 | 125 | ||
Ford Motor Credit Co. LLC | 4.271% | 1/9/27 | 110 | 119 | ||
Freeport-McMoRan Inc. | 4.250% | 3/1/30 | 150 | 159 | ||
4 | Frontier Communications Holdings LLC | 6.000% | 1/15/30 | 120 | 120 | |
General Dynamics Corp. | 3.250% | 4/1/25 | 98 | 104 | ||
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 113 | 119 | ||
Global Payments Inc. | 1.500% | 11/15/24 | 10 | 10 | ||
Global Payments Inc. | 2.150% | 1/15/27 | 20 | 20 | ||
Goldman Sachs Group Inc. | 3.500% | 4/1/25 | 60 | 63 | ||
Goldman Sachs Group Inc. | 2.383% | 7/21/32 | 25 | 25 | ||
4 | Graphic Packaging International LLC | 3.750% | 2/1/30 | 50 | 51 | |
4 | Gray Escrow II Inc. | 5.375% | 11/15/31 | 80 | 82 | |
4 | II-VI Inc. | 5.000% | 12/15/29 | 60 | 61 | |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 65 | 68 | ||
3 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 95 | 99 | |
JPMorgan Chase & Co. | 1.470% | 9/22/27 | 65 | 64 | ||
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 40 | 40 | ||
JPMorgan Chase & Co. | 1.953% | 2/4/32 | 50 | 48 | ||
Kilroy Realty LP | 4.750% | 12/15/28 | 60 | 69 | ||
Kraft Heinz Foods Co. | 3.875% | 5/15/27 | 70 | 76 | ||
Kraft Heinz Foods Co. | 3.750% | 4/1/30 | 180 | 194 | ||
Kraft Heinz Foods Co. | 4.875% | 10/1/49 | 40 | 50 | ||
4 | Level 3 Financing Inc. | 4.250% | 7/1/28 | 120 | 120 | |
4 | Lithia Motors Inc. | 4.625% | 12/15/27 | 110 | 116 | |
4 | Lithia Motors Inc. | 3.875% | 6/1/29 | 80 | 82 | |
4 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 110 | 120 | |
4 | Live Nation Entertainment Inc. | 3.750% | 1/15/28 | 80 | 80 | |
Merck & Co. Inc. | 2.150% | 12/10/31 | 40 | 40 | ||
4 | Mileage Plus Holdings LLC | 6.500% | 6/20/27 | 355 | 379 | |
Mondelez International Inc. | 2.750% | 4/13/30 | 60 | 62 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
3 | Morgan Stanley | 1.512% | 7/20/27 | 85 | 84 | |
MPLX LP | 4.000% | 3/15/28 | 75 | 82 | ||
4 | MSCI Inc. | 3.625% | 11/1/31 | 60 | 62 | |
4 | NCL Corp. Ltd. | 5.875% | 3/15/26 | 80 | 80 | |
Newmont Corp. | 2.800% | 10/1/29 | 55 | 57 | ||
4 | News Corp. | 3.875% | 5/15/29 | 120 | 121 | |
4 | Nexstar Media Inc. | 5.625% | 7/15/27 | 150 | 158 | |
4 | NextEra Energy Operating Partners LP | 4.500% | 9/15/27 | 100 | 108 | |
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 200 | 205 | ||
Occidental Petroleum Corp. | 4.400% | 8/15/49 | 60 | 61 | ||
4 | Olympus Water US Holding Corp. | 4.250% | 10/1/28 | 80 | 79 | |
4 | Option Care Health Inc. | 4.375% | 10/31/29 | 80 | 80 | |
4 | Organon & Co. | 4.125% | 4/30/28 | 160 | 164 | |
4 | Performance Food Group Inc. | 5.500% | 10/15/27 | 80 | 84 | |
4 | Performance Food Group Inc. | 4.250% | 8/1/29 | 80 | 79 | |
PG&E Corp. | 5.250% | 7/1/30 | 120 | 126 | ||
Philip Morris International Inc. | 3.250% | 11/10/24 | 60 | 64 | ||
Philip Morris International Inc. | 0.875% | 5/1/26 | 60 | 58 | ||
4 | Post Holdings Inc. | 5.500% | 12/15/29 | 80 | 84 | |
Realty Income Corp. | 4.625% | 11/1/25 | 60 | 67 | ||
Realty Income Corp. | 2.200% | 6/15/28 | 70 | 71 | ||
Sabra Health Care LP | 5.125% | 8/15/26 | 50 | 55 | ||
4 | SBL Holdings Inc. | 5.000% | 2/18/31 | 50 | 53 | |
Sherwin-Williams Co. | 2.950% | 8/15/29 | 45 | 47 | ||
5,6,7,8 | SkyMiles IP Ltd. Bank Loan, 4M USD LIBOR + 3.750% | —% | 10/20/27 | 120 | 127 | |
Southwestern Energy Co. | 4.750% | 2/1/32 | 40 | 42 | ||
5,6,7,8 | Southwestern Energy Co. Bank Loan, 4M USD LIBOR + 2.500% | —% | 6/22/27 | 105 | 105 | |
Sprint Corp. | 7.125% | 6/15/24 | 70 | 79 | ||
4 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 75 | 79 | |
4 | Tap Rock Resources LLC | 7.000% | 10/1/26 | 40 | 42 | |
4 | Tenet Healthcare Corp. | 6.250% | 2/1/27 | 80 | 83 | |
4 | Tenet Healthcare Corp. | 4.250% | 6/1/29 | 80 | 81 | |
Thermo Fisher Scientific Inc. | 2.600% | 10/1/29 | 60 | 62 | ||
4 | Thor Industries Inc. | 4.000% | 10/15/29 | 120 | 119 | |
T-Mobile USA Inc. | 3.750% | 4/15/27 | 85 | 92 | ||
T-Mobile USA Inc. | 2.625% | 2/15/29 | 130 | 128 | ||
T-Mobile USA Inc. | 3.375% | 4/15/29 | 50 | 51 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 60 | 66 | ||
Toll Brothers Finance Corp. | 4.875% | 3/15/27 | 140 | 157 | ||
4 | TransDigm Inc. | 6.250% | 3/15/26 | 80 | 83 | |
TransDigm Inc. | 4.875% | 5/1/29 | 120 | 120 | ||
4 | United Airlines Inc. | 4.375% | 4/15/26 | 160 | 167 | |
4 | Venture Global Calcasieu Pass LLC | 3.875% | 8/15/29 | 120 | 125 | |
ViacomCBS Inc. | 4.000% | 1/15/26 | 85 | 92 | ||
Viatris Inc. | 2.300% | 6/22/27 | 170 | 171 | ||
4 | Vistra Operations Co. LLC | 5.000% | 7/31/27 | 80 | 83 | |
VMware Inc. | 4.700% | 5/15/30 | 81 | 94 | ||
3 | Wells Fargo & Co. | 4.100% | 6/3/26 | 50 | 55 | |
Western Digital Corp. | 4.750% | 2/15/26 | 110 | 120 | ||
Western Midstream Operating LP | 5.300% | 2/1/30 | 40 | 44 | ||
Willis North America Inc. | 4.500% | 9/15/28 | 35 | 39 | ||
4 | WMG Acquisition Corp. | 3.750% | 12/1/29 | 125 | 125 | |
5,6,7,8 | Wyndham Hotels & Resorts Inc. Bank Loan, 12M USD LIBOR + 1.750% | —% | 5/30/25 | 120 | 118 | |
Xcel Energy Inc. | 4.000% | 6/15/28 | 50 | 55 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4 | Zayo Group Holdings Inc. | 4.000% | 3/1/27 | 190 | 187 | |
14,528 | ||||||
Total Corporate Bonds (Cost $18,671) | 18,696 | |||||
Sovereign Bonds (11.5%) | ||||||
Angola (0.8%) | ||||||
3 | Republic of Angola | 8.250% | 5/9/28 | 200 | 201 | |
Brazil (0.7%) | ||||||
3 | Federative Republic of Brazil | 4.750% | 1/14/50 | 200 | 178 | |
Chile (1.1%) | ||||||
3,4 | Empresa Nacional del Petroleo | 3.450% | 9/16/31 | 300 | 285 | |
Colombia (1.4%) | ||||||
3 | Republic of Colombia | 5.000% | 6/15/45 | 400 | 361 | |
El Salvador (0.2%) | ||||||
3 | Republic of El Salvador | 8.625% | 2/28/29 | 85 | 52 | |
Mexico (0.6%) | ||||||
Petroleos Mexicanos | 6.750% | 9/21/47 | 159 | 141 | ||
Nigeria (0.7%) | ||||||
3 | Federal Republic of Nigeria | 7.625% | 11/28/47 | 200 | 179 | |
Pakistan (0.8%) | ||||||
3 | Islamic Republic of Pakistan | 8.875% | 4/8/51 | 200 | 199 | |
Peru (1.4%) | ||||||
3 | Petroleos del Peru SA | 5.625% | 6/19/47 | 350 | 349 | |
Romania (1.4%) | ||||||
3,9 | Republic of Romania | 2.500% | 2/8/30 | 300 | 344 | |
Ukraine (1.6%) | ||||||
3 | Ukraine Government Bond | 8.994% | 2/1/24 | 400 | 399 | |
Uzbekistan (0.8%) | ||||||
3,4 | Uzbekneftegaz JSC | 4.750% | 11/16/28 | 200 | 193 | |
Total Sovereign Bonds (Cost $2,970) | 2,881 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (7.7%) | ||||||
Money Market Fund (7.7%) | ||||||
10 | Vanguard Market Liquidity Fund (Cost $1,941) | 0.090% | 19,407 | 1,941 | ||
Total Investments (99.9%) (Cost $25,177) | 25,118 | |||||
Other Assets and Liabilities—Net (0.1%) | 36 | |||||
Net Assets (100%) | 25,154 |
Cost is in $000. | |
1 | Securities with a value of $37,000 have been segregated as initial margin for open centrally cleared swap contracts. |
2 | Securities with a value of $25,000 have been segregated as initial margin for open futures contracts. |
3 | 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. |
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 $9,308,000, representing 37.0% of net assets. |
5 | Represents an unsettled loan as of December 31, 2021. The coupon rate is not known until the settlement date. |
6 | Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At December 31, 2021, the aggregate value of these securities was $425,000, representing 1.7% of net assets. |
7 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
8 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2021. |
9 | Face amount denominated in euro. |
10 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
12M—12-month. | |
2M—2-month. | |
4M—4-month. | |
LIBOR—London Interbank Offered Rate. | |
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 | 2 | 436 | — |
5-Year U.S. Treasury Note | March 2022 | 1 | 121 | — |
Long U.S. Treasury Bond | March 2022 | 4 | 642 | 4 |
Ultra 10-Year U.S. Treasury Note | March 2022 | 2 | 293 | — |
4 | ||||
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | March 2022 | (1) | (130) | — |
Euro-Bobl | March 2022 | (1) | (152) | 1 |
Euro-Bund | March 2022 | (1) | (195) | 3 |
4 | ||||
8 |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized (Depreciation) ($000) | ||||
Counterparty | Receive | Deliver | |||||
Barclays Bank plc | 1/14/22 | USD | 362 | EUR | 321 | — | (3) |
Goldman Sachs Bank USA | 1/14/22 | USD | 31 | MXN | 660 | — | (1) |
Barclays Bank plc | 3/16/22 | USD | 130 | RUB | 9,860 | — | — |
— | (4) |
EUR—euro. |
MXN—Mexican peso. |
RUB—Russian ruble. |
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 | ||||||||
AT&T Inc./Baa2 | 12/20/23 | BARC | 70 | 1.000 | 1 | 1 | — | — |
Republic of Chile/A1 | 12/20/26 | GSI | 600 | 1.000 | 8 | 3 | 5 | — |
9 | 4 | 5 | — |
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) |
Credit Protection Purchased | ||||||||
United Mexican States | 12/20/26 | GSI | 750 | (1.000) | (4) | (1) | — | (3) |
5 | 3 | 5 | (3) |
1 Periodic premium received/paid quarterly. |
BARC—Barclays Bank plc. |
GSI—Goldman Sachs International. |
Centrally Cleared Interest Rate Swaps | ||||||
Termination Date | Future Effective Date | Notional Amount (000) | Interest Rate Received1 (%) | Interest Rate (Paid)2 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
3/3/32 | 3/16/223 | 8,0004 | 7.391 | (0.000) | (5) | (10) |
1 Interest payment received/paid every 28 days. |
2 Based on 28-day Mexican Interbank Rate (TIIE) as of the most recent payment date. Interest payment received/paid every 28 days. |
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 Notional amount denominated in Mexican pesos. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 1,600 | — | 1,600 |
Corporate Bonds | — | 18,696 | — | 18,696 |
Sovereign Bonds | — | 2,881 | — | 2,881 |
Temporary Cash Investments | 1,941 | — | — | 1,941 |
Total | 1,941 | 23,177 | — | 25,118 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 8 | — | — | 8 |
Forward Currency Contracts | — | — | — | — |
Swap Contracts | — | 5 | — | 5 |
Total | 8 | 5 | — | 13 |
Liabilities | ||||
Futures Contracts1 | — | — | — | — |
Forward Currency Contracts | — | 4 | — | 4 |
Swap Contracts | 101 | 3 | — | 13 |
Total | 10 | 7 | — | 17 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |