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Form NPORT-P EATON VANCE MUTUAL FUNDS For: Jul 31

September 28, 2021 12:49 PM EDT

  
    NPORT-P
    false
    
      
      
        
          0000745463
          XXXXXXXX
        
      
      
      
      
        S000017968
        C000049805
        C000084543
        C000092670
      
      
      
    
  
  
    
      EATON VANCE MUTUAL FUNDS TRUST
      811-04015
      0000745463
      549300C67AFHZKODE756
      TWO INTERNATIONAL PLACE
      BOSTON
      
      02110
      617-482-8260
      Eaton Vance Emerging Markets Local Income Fund
      S000017968
      549300TX6IW7FQVQNZ22
      2021-10-31
      2021-07-31
      N
    
    
      1673524604.83
      8238419.26
      1665286185.57
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      N
      
        
          
          
          
        
        
        
        
      
      
      
      
      
    
    
      
        Emerging Markets Local Income Portfolio
        TJHVIYYZOASBZ463H550
        Emerging Markets Local Income Portfolio
        000000000
        
          
        
        189142990.90000000
        NS
        USD
        1670132610.00000000
        100.2910265197
        Long
        EC
        RF
        US
        N
        
        N/A
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2021-08-23
      EATON VANCE MUTUAL FUNDS TRUST
      James Kirchner
      James Kirchner
      Treasurer
    
  
  XXXX



Eaton Vance

Emerging Markets Local Income Fund

July 31, 2021 (Unaudited)

Eaton Vance Emerging Markets Local Income Fund (the Fund), a non-diversified series of Eaton Vance Mutual Funds Trust, invests substantially all of its assets in Emerging Markets Local Income Portfolio (the Portfolio) and owns a pro-rata interest in the Portfolio’s net assets. At July 31, 2021, the value of the Fund’s investment in the Portfolio was $1,670,056,702 and the Fund owned 92.2% of the Portfolio’s outstanding interests. The Portfolio’s Portfolio of Investments is set forth below.

 

 

 

 


Emerging Markets Local Income Portfolio

July 31, 2021

PORTFOLIO OF INVESTMENTS (Unaudited)

Foreign Corporate Bonds — 1.6%

                                                 
Security   

Principal

Amount
(000’s omitted)

     Value  

Brazil — 0.5%

     

Simpar Finance S.a.r.l., 10.75%, 2/12/28(1)

   BRL 53,195      $ 9,182,540  
     

 

 

 

Total Brazil

      $ 9,182,540  
     

 

 

 

Mexico — 0.0%(2)

     
Petroleos Mexicanos:      

7.19%, 9/12/24(3)

   MXN 10,630      $ 510,653  

7.65%, 11/24/21

   MXN 5,900        296,336  
     

 

 

 

Total Mexico

      $ 806,989  
     

 

 

 

Peru — 0.7%

     

Alicorp SAA, 6.875%, 4/17/27(1)

   PEN 25,530      $ 6,575,928  

Telefonica del Peru SAA, 7.375%, 4/10/27(3)

   PEN 24,500        5,795,822  
     

 

 

 

Total Peru

      $ 12,371,750  
     

 

 

 

Uzbekistan — 0.4%

     

Ipoteka-Bank ATIB, 16.00%, 4/16/24(1)

   UZS 29,670,000      $ 2,785,472  

Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(1)

   UZS 48,000,000        4,492,460  
     

 

 

 

Total Uzbekistan

      $ 7,277,932  
     

 

 

 

Total Foreign Corporate Bonds
(identified cost $34,034,357)

      $ 29,639,211  
     

 

 

 

Loan Participation Notes — 2.2%

     
Security   

Principal

Amount

(000’s omitted)

     Value  

Uzbekistan — 2.2%

     

Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(1)(4)(5)

   UZS 159,708,000      $ 15,436,426  

Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(1)(4)(5)

   UZS 253,458,000        24,350,561  
     

 

 

 

Total Uzbekistan

      $ 39,786,987  
     

 

 

 

Total Loan Participation Notes
(identified cost $41,163,015)

      $ 39,786,987  
     

 

 

 

Sovereign Government Bonds — 70.1%

     
Security   

Principal

Amount
(000’s omitted)

     Value  

Belarus — 0.2%

     

Republic of Belarus, 6.875%, 2/28/23(1)

   USD 3,868      $ 3,891,517  
     

 

 

 

Total Belarus

      $ 3,891,517  
     

 

 

 

 

1

 

 


                                                 
Security   

Principal

Amount
(000’s omitted)

     Value  

Bosnia and Herzegovina — 0.1%

     
Republic of Srpska:      

1.50%, 6/30/23

   BAM 65      $ 39,452  

1.50%, 10/30/23

   BAM 265        161,497  

1.50%, 12/15/23

   BAM 14        8,754  

1.50%, 5/31/25

   BAM 2,225        1,342,638  

1.50%, 6/9/25

   BAM 213        129,152  

1.50%, 12/24/25

   BAM 290        175,737  

1.50%, 9/25/26

   BAM 217        131,841  

1.50%, 9/26/27

   BAM 77        46,053  
     

 

 

 

Total Bosnia and Herzegovina

      $ 2,035,124  
     

 

 

 

Brazil — 0.3%

     

Nota do Tesouro Nacional, 10.00%, 1/1/27

   BRL 22,375      $ 4,516,113  
     

 

 

 

Total Brazil

      $ 4,516,113  
     

 

 

 

China — 5.9%

     

China Development Bank, 3.30%, 3/3/26

   CNY 255,400      $ 40,051,654  

China Government Bond, 2.68%, 5/21/30

   CNY 438,820        66,513,017  
     

 

 

 

Total China

      $ 106,564,671  
     

 

 

 

Colombia — 0.3%

     

Republic of Colombia, 2.625%, 3/15/23

   USD 3,500      $ 3,559,955  

Titulos De Tesoreria B, 10.00%, 7/24/24

   COP 3,528,300        1,036,537  
     

 

 

 

Total Colombia

      $ 4,596,492  
     

 

 

 

Costa Rica — 0.0%(2)

     

Titulo Propiedad UD, 1.00%, 1/12/22(6)

   CRC 67,197      $ 105,709  
     

 

 

 

Total Costa Rica

      $ 105,709  
     

 

 

 

Dominican Republic — 0.1%

     

Dominican Republic, 8.90%, 2/15/23(1)

   DOP 145,250      $ 2,688,407  
     

 

 

 

Total Dominican Republic

      $ 2,688,407  
     

 

 

 

Egypt — 7.3%

     
Egypt Government Bond:      

14.06%, 1/12/26

   EGP 296,986      $ 18,734,394  

14.483%, 4/6/26

   EGP 385,637        24,593,568  

14.556%, 10/13/27

   EGP 1,053,100        67,274,314  

14.664%, 10/6/30

   EGP 350,468        22,103,122  
     

 

 

 

Total Egypt

      $ 132,705,398  
     

 

 

 

El Salvador — 0.2%

     

Republic of El Salvador, 7.75%, 1/24/23(1)

   USD 4,497      $ 4,367,936  
     

 

 

 

Total El Salvador

      $ 4,367,936  
     

 

 

 

Georgia — 1.0%

     
Georgia Treasury Bond:      

7.00%, 5/30/24

   GEL 30,533      $ 9,334,655  

7.375%, 9/27/23

   GEL 6,187        1,926,226  

8.125%, 1/25/23

   GEL 3,108        998,102  

8.25%, 11/6/22

   GEL 1,820        581,552  

9.375%, 4/9/22

   GEL 13,635        4,419,161  
     

 

 

 

Total Georgia

      $ 17,259,696  
     

 

 

 

 

2

 

 


                                                 
Security   

Principal

Amount
(000’s omitted)

     Value  

Indonesia — 10.3%

     
Indonesia Government Bond:      

6.50%, 2/15/31

   IDR 1,074,170,000      $ 75,490,848  

7.375%, 5/15/48

   IDR 72,833,000        5,222,069  

7.50%, 8/15/32

   IDR 70,753,000        5,236,381  

7.50%, 5/15/38

   IDR 667,200,000        48,389,344  

7.50%, 4/15/40

   IDR 402,471,000        29,175,495  

8.25%, 6/15/32

   IDR 11,609,000        902,870  

8.25%, 5/15/36

   IDR 242,576,000        18,742,715  

8.375%, 4/15/39

   IDR 43,001,000        3,349,395  

9.50%, 5/15/41

   IDR 5,702,000        490,884  
     

 

 

 

Total Indonesia

      $ 187,000,001  
     

 

 

 

Iraq — 0.1%

     

Republic of Iraq, 6.752%, 3/9/23(1)

   USD 1,710      $ 1,740,985  
     

 

 

 

Total Iraq

      $ 1,740,985  
     

 

 

 

Jordan — 0.1%

     

Jordan Government International Bond, 4.95%, 7/7/25(1)

   USD 1,620      $ 1,688,380  
     

 

 

 

Total Jordan

      $ 1,688,380  
     

 

 

 

Macedonia — 0.2%

     

North Macedonia Government International Bond, 5.625%, 7/26/23(1)

   EUR 3,277      $ 4,290,612  
     

 

 

 

Total Macedonia

      $ 4,290,612  
     

 

 

 

Malaysia — 6.1%

     
Malaysia Government Bond:      

3.726%, 3/31/26

   MYR 132,970      $ 33,055,855  

3.733%, 6/15/28

   MYR 81,500        20,185,196  

3.828%, 7/5/34

   MYR 28,100        6,691,045  

3.955%, 9/15/25

   MYR 161,030        40,271,212  

4.254%, 5/31/35

   MYR 40,240        10,113,533  
     

 

 

 

Total Malaysia

      $ 110,316,841  
     

 

 

 

Mexico — 2.7%

     
Mexican Bonos:      

7.75%, 11/13/42

   MXN 230,000      $ 11,766,716  

8.50%, 5/31/29

   MXN 224,000        12,400,491  

8.50%, 11/18/38

   MXN 410,469        22,572,781  

10.00%, 11/20/36

   MXN 22,074        1,386,224  
     

 

 

 

Total Mexico

      $ 48,126,212  
     

 

 

 

Mongolia — 0.1%

     

Mongolia Government International Bond, 5.625%, 5/1/23(1)

   USD 1,623      $ 1,710,236  
     

 

 

 

Total Mongolia

      $ 1,710,236  
     

 

 

 

Pakistan — 0.2%

     

Third Pakistan International Sukuk Co., Ltd. (The), 5.625%, 12/5/22(1)

   USD 3,429      $ 3,526,212  
     

 

 

 

Total Pakistan

      $ 3,526,212  
     

 

 

 

Paraguay — 0.0%(2)

     

Republic of Paraguay, 4.625%, 1/25/23(1)

   USD 580      $ 606,831  
     

 

 

 

Total Paraguay

      $ 606,831  
     

 

 

 

 

3

 

 


                                                 
Security   

Principal

Amount
(000’s omitted)

     Value  

Peru — 1.7%

     
Peru Government Bond:      

5.94%, 2/12/29

   PEN 4,380      $ 1,108,880  

6.15%, 8/12/32

   PEN 28,845        6,976,035  

6.714%, 2/12/55

   PEN 4,100        923,991  

6.85%, 2/12/42

   PEN 19,284        4,497,836  

6.90%, 8/12/37

   PEN 41,002        9,762,341  

6.95%, 8/12/31

   PEN 26,763        6,953,498  
     

 

 

 

Total Peru

      $ 30,222,581  
     

 

 

 

Romania — 2.6%

     
Romanian Government Bond:      

3.25%, 6/24/26

   RON 57,650      $ 14,083,378  

4.15%, 1/26/28

   RON 48,045        12,172,857  

4.85%, 4/22/26

   RON 32,030        8,350,295  

5.80%, 7/26/27

   RON 16,020        4,436,583  
Romanian Government International Bond:      

2.75%, 2/26/26(1)

   EUR 2,755        3,616,564  

3.624%, 5/26/30(1)

   EUR 2,755        3,776,767  
     

 

 

 

Total Romania

      $ 46,436,444  
     

 

 

 

Russia — 0.7%

     
Russia Government Bond:      

7.70%, 3/23/33

   RUB 778,365      $ 11,381,275  

7.75%, 9/16/26

   RUB 31,480        451,328  

8.50%, 9/17/31

   RUB 8,092        124,463  
     

 

 

 

Total Russia

      $ 11,957,066  
     

 

 

 

Rwanda — 0.2%

     

Republic of Rwanda, 6.625%, 5/2/23(1)

   USD 3,197      $ 3,440,599  
     

 

 

 

Total Rwanda

      $ 3,440,599  
     

 

 

 

Serbia — 6.6%

     

Republic of Serbia, 7.25%, 9/28/21(1)

   USD 1,396      $ 1,412,297  
Serbia Treasury Bond:      

4.50%, 1/11/26

   RSD 3,649,180        40,410,859  

4.50%, 8/20/32

   RSD 4,569,130        50,974,634  

5.875%, 2/8/28

   RSD 2,161,980        26,380,582  
     

 

 

 

Total Serbia

      $ 119,178,372  
     

 

 

 

Seychelles — 0.0%(2)

     

Republic of Seychelles, 8.00%, 1/1/26(1)

   USD 884      $ 895,073  
     

 

 

 

Total Seychelles

      $ 895,073  
     

 

 

 

South Africa — 9.4%

     
Republic of South Africa:      

8.25%, 3/31/32

   ZAR 95,739      $ 5,971,020  

8.50%, 1/31/37

   ZAR 417,200        24,402,551  

8.75%, 1/31/44

   ZAR 408,487        23,543,429  

8.75%, 2/28/48

   ZAR 231,000        13,277,819  

9.00%, 1/31/40

   ZAR 464,480        27,808,470  

10.50%, 12/21/26

   ZAR 971,954        75,653,345  
     

 

 

 

Total South Africa

      $ 170,656,634  
     

 

 

 

 

4

 

 


                                                 
Security   

Principal

Amount

(000’s omitted)

     Value  

South Korea — 1.0%

     

Korea Treasury Bond, 1.50%, 12/10/30

   KRW 21,000,000      $ 17,678,332  
     

 

 

 

Total South Korea

      $ 17,678,332  
     

 

 

 

Thailand — 3.4%

     
Thailand Government Bond:      

1.25%, 3/12/28(1)(6)

   THB 1,116,365      $ 33,621,938  

3.30%, 6/17/38

   THB 594,751        21,116,254  

3.40%, 6/17/36

   THB 205,000        7,360,775  
     

 

 

 

Total Thailand

      $ 62,098,967  
     

 

 

 

Tunisia — 0.1%

     

Banque Centrale de Tunisie International Bond, 6.75%, 10/31/23(1)

   EUR 1,460      $ 1,538,924  
     

 

 

 

Total Tunisia

      $ 1,538,924  
     

 

 

 

Turkey — 1.2%

     

Republic of Turkey, 5.125%, 3/25/22

   USD 540      $ 551,475  

Turkey Government Bond:

     

7.10%, 3/8/23

   TRY  70,204      $ 7,123,715  

8.00%, 3/12/25

   TRY 76,500        6,850,136  

10.70%, 8/17/22

   TRY 9,380        1,040,305  

12.40%, 3/8/28

   TRY 23,227        2,279,697  

16.20%, 6/14/23

   TRY 36,761        4,249,373  
     

 

 

 

Total Turkey

      $ 22,094,701  
     

 

 

 

Ukraine — 7.3%

     

Ukraine Government International Bond:

     

7.75%, 9/1/22(1)

   USD  1,709      $ 1,789,484  

9.79%, 5/26/27

   UAH 45,679        1,523,946  

9.84%, 2/15/23

   UAH 57,091        2,058,815  

9.99%, 5/22/24

   UAH 614,860        21,377,395  

10.00%, 8/23/23

   UAH 270,191        9,630,701  

11.67%, 11/22/23

   UAH 57,092        2,103,465  

12.52%, 5/13/26

   UAH 169,851        6,324,088  

15.84%, 2/26/25

   UAH 2,158,667        87,273,335  
     

 

 

 

Total Ukraine

      $ 132,081,229  
     

 

 

 

Uruguay — 0.7%

     

Uruguay Government International Bond, 8.25%, 5/21/31

   UYU 513,981      $ 11,991,909  
     

 

 

 

Total Uruguay

      $ 11,991,909  
     

 

 

 

Uzbekistan — 0.0%(2)

     

Republic of Uzbekistan, 14.50%, 11/25/23(1)

   UZS  7,520,000      $ 722,702  
     

 

 

 

Total Uzbekistan

      $ 722,702  
     

 

 

 

Total Sovereign Government Bonds
(identified cost $1,289,965,883)

      $ 1,268,730,906  
     

 

 

 

 

5

 

 


                                                 

Short-Term Investments — 19.3%

     

Affiliated Fund — 5.6%

     
Description    Units      Value  

Eaton Vance Cash Reserves Fund, LLC, 0.08%(7)

     102,001,500      $ 102,001,500  
     

 

 

 

Total Affiliated Fund
(identified cost $102,001,500)

      $ 102,001,500  
     

 

 

 

Sovereign Government Securities — 8.0%

     
Security   

Principal

Amount

(000’s omitted)

     Value  

Brazil — 1.0%

     
Brazil Letras do Tesouro Nacional:      

0.00%, 1/1/22

   BRL 31,678      $ 5,928,427  

0.00%, 4/1/22

   BRL 32,195        5,910,199  

0.00%, 7/1/22

   BRL 32,793        5,900,937  
     

 

 

 

Total Brazil

      $ 17,739,563  
     

 

 

 

Egypt — 2.6%

     
Egypt Treasury Bill:      

0.00%, 9/21/21

   EGP 495,100      $ 31,113,248  

0.00%, 10/12/21

   EGP 31,500        1,960,819  

0.00%, 10/26/21

   EGP 70,925        4,382,128  

0.00%, 12/28/21

   EGP 162,200        9,826,065  
     

 

 

 

Total Egypt

      $ 47,282,260  
     

 

 

 

Georgia — 0.4%

     
Georgia Treasury Bill:      

0.00%, 8/12/21

   GEL 7,219      $ 2,316,341  

0.00%, 12/2/21

   GEL 1,325        413,545  

0.00%, 12/9/21

   GEL 12,497        3,891,799  

0.00%, 2/10/22

   GEL 3,274        1,004,754  

0.00%, 6/9/22

   GEL 1,355        405,048  
     

 

 

 

Total Georgia

      $ 8,031,487  
     

 

 

 

Uganda — 2.0%

     
Uganda Treasury Bill:      

0.00%, 2/24/22

   UGX 17,464,000      $ 4,687,792  

0.00%, 3/10/22

   UGX 14,032,600        3,750,041  

0.00%, 3/24/22

   UGX 2,825,100        754,406  

0.00%, 4/7/22

   UGX 7,267,000        1,928,223  

0.00%, 4/21/22

   UGX 1,453,400        384,026  

0.00%, 5/5/22

   UGX 16,233,200        4,272,493  

0.00%, 5/19/22

   UGX 26,483,100        6,921,926  

0.00%, 6/3/22

   UGX 14,151,700        3,698,886  

0.00%, 6/16/22

   UGX 18,037,600        4,700,906  

0.00%, 6/23/22

   UGX 4,239,900        1,100,432  

0.00%, 7/7/22

   UGX 15,156,200        3,903,693  
     

 

 

 

Total Uganda

      $ 36,102,824  
     

 

 

 

 

6

 

 


                                                 
Security   

Principal

Amount

(000’s omitted)

     Value  

Uruguay — 2.0%

     
Uruguay Monetary Regulation Bill:      

0.00%, 8/20/21

   UYU 150,492      $ 3,437,627  

0.00%, 8/27/21

   UYU 353,149        8,059,548  

0.00%, 12/3/21

   UYU 536,802        12,046,449  

0.00%, 1/7/22

   UYU 109,634        2,443,120  

0.00%, 1/14/22

   UYU 366,807        8,162,048  

0.00%, 4/22/22

   UYU 81,000        1,768,091  
     

 

 

 

Total Uruguay

      $ 35,916,883  
     

 

 

 

Total Sovereign Government Securities
(identified cost $144,660,391)

      $ 145,073,017  
     

 

 

 

U.S. Treasury Obligations — 5.7%

     
Security   

Principal

Amount

(000’s omitted)

     Value  
U.S. Treasury Bill:      

0.00%, 8/19/21

   $ 10,000      $ 9,999,847  

0.00%, 8/26/21(8)

     46,700        46,698,988  

0.00%, 9/9/21(8)

     45,950        45,948,060  
     

 

 

 

Total U.S. Treasury Obligations
(identified cost $102,646,843)

      $ 102,646,895  
     

 

 

 

Total Short-Term Investments
(identified cost $349,308,734)

      $ 349,721,412  
     

 

 

 

Total Purchased Swaptions— 0.0%(2)
(identified cost $923,502)

      $ 307,452  
     

 

 

 

Total Investments — 93.2%
(identified cost $1,715,395,491)

      $ 1,688,185,968  
     

 

 

 

Other Assets, Less Liabilities — 6.8%

      $ 122,848,620  
     

 

 

 

Net Assets — 100.0%

      $ 1,811,034,588  
     

 

 

 

The percentage shown for each investment category in the Portfolio of Investments is based on net assets.

 

(1)

Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At July 31, 2021, the aggregate value of these securities is $138,148,851 or 7.6% of the Portfolio’s net assets.

 

(2)

Amount is less than 0.05%.

 

(3)

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At July 31, 2021, the aggregate value of these securities is $6,306,475 or 0.3% of the Portfolio’s net assets.

 

7

 

 


(4)

For fair value measurement disclosure purposes, security is categorized as Level 3.

 

(5)

Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower.

 

(6)

Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.

 

(7)

Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of July 31, 2021.

 

(8)

Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.

 

                                                                                                                                                     

Purchased Interest Rate Swaptions — 0.0%(2)

 

Description

 

Counterparty

  Notional
Amount
    Expiration
Date
    Value  

Option to enter into interest rate swap expiring 12/15/26 to pay 3-month ZAR-JIBAR and receive 5.73%

  JPMorgan Chase Bank, N.A.   ZAR 69,450,000       12/15/21     $ 28,713  

Option to enter into interest rate swap expiring 1/7/27 to pay 3-month ZAR-JIBAR and receive 5.70%

  Bank of America, N.A.   ZAR 85,280,000       1/7/22       32,802  

Option to enter into interest rate swap expiring 1/10/27 to pay 3-month ZAR-JIBAR and receive 5.70%

  Bank of America, N.A.   ZAR 42,640,000       1/10/22       16,384  

Option to enter into interest rate swap expiring 1/12/27 to pay 3-month ZAR-JIBAR and receive 5.70%

  JPMorgan Chase Bank, N.A.   ZAR 167,880,000       1/12/22       64,453  

Option to enter into interest rate swap expiring 1/17/27 to pay 3-month ZAR-JIBAR and receive 5.73%

  JPMorgan Chase Bank, N.A.   ZAR 46,881,000       1/17/22       19,271  

Option to enter into interest rate swap expiring 1/27/27 to pay 3-month ZAR-JIBAR and receive 5.74%

  Bank of America, N.A.   ZAR 75,706,000       1/27/22       31,619  

Option to enter into interest rate swap expiring 2/10/27 to pay 3-month ZAR-JIBAR and receive 5.88%

  Goldman Sachs International   ZAR 59,880,000       2/10/22       33,506  

Option to enter into interest rate swap expiring 2/16/27 to pay 3-month ZAR-JIBAR and receive 6.18%

  Bank of America, N.A.   ZAR 15,850,000       2/16/22       15,156  

Option to enter into interest rate swap expiring 2/21/27 to pay 3-month ZAR-JIBAR and receive 6.47%

  Bank of America, N.A.   ZAR 15,850,000       2/21/22       22,973  

Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.47%

  Goldman Sachs International   ZAR 12,150,000       2/23/22       17,502  

Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.54%

  Bank of America, N.A.   ZAR 15,850,000       2/23/22       25,073  
           

 

 

 

Total

 

  $ 307,452  
           

 

 

 

 

8

 

 


Centrally Cleared Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
     Currency
Sold
          Settlement
Date
          Value/Unrealized
Appreciation
(Depreciation)
 
BRL      790,374      USD      155,948           8/2/21         $ (4,193
BRL      10,000,000      USD      1,973,087           8/2/21           (53,056
USD      1,979,563      BRL      10,000,000           8/2/21           59,532  
USD      157,352      BRL      790,374           8/2/21           5,598  
PHP      110,974,000      USD      2,282,007           8/4/21           (61,734
RUB      706,306,699      USD      9,560,758           8/4/21           94,719  
RUB      739,649,794      USD      10,026,777           8/4/21           84,512  
RUB      653,333,697      USD      8,846,862           8/4/21           84,454  
USD      7,687,050      RUB      560,058,922           8/4/21           30,835  
USD      7,684,877      RUB      560,058,921           8/4/21           28,662  
USD      8,509,653      RUB      621,172,347           8/4/21           17,995  
USD      4,860,617      RUB      358,000,000           8/4/21           (33,377
RUB      682,231,565      USD      9,316,412           8/9/21           5,401  
RUB      825,859,261      USD      11,303,231           8/9/21           (18,931
RUB      789,952,338      USD      10,820,620           8/9/21           (26,941
RUB      364,866,986      USD      5,012,658           8/9/21           (27,222
RUB      538,603,866      USD      7,400,794           8/9/21           (41,468
USD      11,844,110      IDR      172,213,362,769           8/16/21           (72,409
PEN      7,467,254      USD      1,918,616           8/20/21           (80,119
PEN      7,636,186      USD      1,966,822           8/20/21           (86,733
USD      745,234      PEN      3,010,000           8/20/21           4,148  
USD      297,030      PEN      1,200,000           8/20/21           1,580  
USD      11,034,634      BRL      55,956,628           9/2/21           334,387  
USD      2,129,959      BRL      10,790,374           9/2/21           66,581  
RUB      661,530,868      USD      9,026,837           9/8/21           (20,785
PEN      7,142,700      USD      1,842,041           9/10/21           (83,481
PEN      12,650,000      USD      3,269,579           9/10/21           (155,099
PEN      44,784,050      USD      11,575,097           9/10/21           (549,089
USD      17,065,706      PEN      66,027,218           9/10/21           809,548  
BRL      105,529,013      USD      21,141,320           9/13/21           (990,249
BRL      103,220,759      USD      20,719,987           9/13/21           (1,009,684
CLP      2,800,000,000      USD      3,854,466           9/13/21           (169,288
CLP      12,161,189,875      USD      16,914,266           9/13/21           (908,499
CLP      15,024,218,605      USD      20,935,593           9/13/21           (1,161,693
COP      7,000,000,000      USD      1,811,553           9/13/21           (10,456
COP      14,463,700,000      USD      3,908,157           9/13/21           (186,653
COP      67,103,773,280      USD      18,561,669           9/13/21           (1,295,893
COP      67,103,773,280      USD      18,624,210           9/13/21           (1,358,434
COP      67,103,773,281      USD      18,648,121           9/13/21           (1,382,346
COP      81,030,058,350      USD      22,454,832           9/13/21           (1,605,829
USD      10,656,904      BRL      53,195,000           9/13/21           499,164  
USD      1,241,639      CLP      930,000,000           9/13/21           17,633  
USD      1,252,332      CLP      938,310,000           9/13/21           17,390  
USD      2,314,160      COP      8,919,700,000           9/13/21           19,125  
EUR      6,500,000      USD      7,676,240           9/15/21           40,883  
EUR      637,846      USD      753,271           9/15/21           4,012  
EUR      3,248,650      USD      3,961,039           9/15/21           (104,080
EUR      10,518,605      USD      12,825,206           9/15/21           (336,995
EUR      247,752,818      USD      302,081,961           9/15/21           (7,937,507

 

9

 

 


Currency
Purchased
     Currency
Sold
          Settlement
Date
          Value/Unrealized
Appreciation
(Depreciation)
 
RUB      661,530,867      USD      9,000,444           9/15/21         $ (9,649
RUB      661,530,868      USD      9,013,308           9/15/21           (22,513
RUB      793,147,397      USD      10,829,518           9/15/21           (49,936
RUB      451,493,372      USD      6,187,875           9/15/21           (51,677
RUB      961,906,628      USD      13,182,040           9/15/21           (108,869
USD      111,692,196      EUR      91,604,465           9/15/21           2,934,825  
USD      43,110,158      EUR      35,356,839           9/15/21           1,132,763  
USD      6,710,919      EUR      5,503,967           9/15/21           176,336  
USD      6,414,019      EUR      5,260,464           9/15/21           168,535  
USD      1,801,340      EUR      1,477,371           9/15/21           47,332  
USD      1,400,159      EUR      1,148,342           9/15/21           36,791  
USD      857,618      EUR      703,376           9/15/21           22,535  
RUB      849,641,879      USD      11,609,794           9/16/21           (65,195
RUB      849,641,880      USD      11,611,920           9/16/21           (67,321
BRL      126,634,815      USD      25,325,342           9/22/21           (1,171,842
RUB      602,650,000      USD      8,174,019           9/24/21           (1,268
RUB      570,390,000      USD      7,750,391           9/24/21           (15,128
RUB      570,390,000      USD      7,752,771           9/24/21           (17,509
RUB      288,200,000      USD      3,927,597           9/24/21           (19,214
BRL      112,564,280      USD      22,563,760           9/29/21           (1,113,152
IDR      1,833,228,118,458      USD      125,366,075           9/30/21           784,362  
IDR      32,726,388,302      USD      2,218,137           9/30/21           33,873  
RUB      613,223,446      USD      8,371,240           9/30/21           (67,130
RUB      623,552,182      USD      8,512,600           9/30/21           (68,620
RUB      623,552,182      USD      8,521,255           9/30/21           (77,275
USD      3,414,974      IDR      50,000,000,000           9/30/21           (25,690
USD      2,172,806      IDR      32,000,000,000           9/30/21           (29,219
USD      44,675,160      IDR      653,284,871,026           9/30/21           (279,513
USD      45,501,229      IDR      665,364,465,549           9/30/21           (284,682
BRL      105,529,012      USD      21,056,992           10/4/21           (959,865
BRL      112,564,280      USD      22,471,508           10/4/21           (1,034,572
RUB      541,105,340      USD      7,158,832           10/8/21           156,686  
RUB      450,000,000      USD      5,955,887           10/8/21           127,925  
RUB      217,000,000      USD      2,927,582           10/8/21           6,167  
USD      179,193      RUB      13,544,402           10/8/21           (3,922
PEN      4,896,560      USD      1,256,914           10/12/21           (51,156
BRL      105,529,012      USD      21,067,922           10/13/21           (997,569
MXN      1,309,323,164      USD      64,917,604           10/29/21           70,861  
USD      6,100,419      MXN      123,039,345           10/29/21           (6,659
USD      23,756,134      MXN      479,137,475           10/29/21           (25,931
RUB      621,172,347      USD      8,373,209           11/8/21           (19,153
RUB      560,058,921      USD      7,560,904           11/8/21           (28,753
RUB      560,058,922      USD      7,563,034           11/8/21           (30,884
USD      5,876,635      BRL      31,678,000           1/4/22           (63,064
USD      5,892,743      BRL      32,195,000           4/4/22           (48,868
USD      5,907,584      BRL      32,793,000           7/5/22           (36,763
                    

 

 

 
      $     (18,699,654
                    

 

 

 

 

10

 

 


Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
     Currency
Sold
    

Counterparty

   Settlement
Date
     Unrealized
Appreciation
     Unrealized
(Depreciation)
 
EUR      11,720,996      HUF      4,197,790,971      Standard Chartered Bank      8/2/21      $ 22,751      $  
EUR      13,302,627      HUF      4,770,227,263      Standard Chartered Bank      8/2/21        6,026         
HUF      4,484,009,188      EUR      12,289,014      BNP Paribas      8/2/21        249,906         
HUF      4,484,009,046      EUR      12,289,306      BNP Paribas      8/2/21        249,558         
BRL      55,956,628      USD      10,925,615      Standard Chartered Bank      8/3/21               (181,770
BRL      55,956,628      USD      11,078,854      Standard Chartered Bank      8/3/21               (335,009
USD      11,138,630      BRL      55,956,628      Standard Chartered Bank      8/3/21        394,785         
USD      10,925,615      BRL      55,956,628      Standard Chartered Bank      8/3/21        181,770         
USD      1,360,478      UAH      38,692,000      BNP Paribas      8/4/21               (81,590
PLN      21,574,926      EUR      4,716,666      BNP Paribas      8/5/21        4,911         
PLN      43,278,090      EUR      9,471,099      BNP Paribas      8/5/21               (1,693
PLN      14,000,000      EUR      3,057,036      Citibank, N.A.      8/5/21        7,476         
PLN      21,446,984      EUR      4,689,950      HSBC Bank USA, N.A.      8/5/21        3,393         
EUR      1,500,000      USD      1,780,753      Standard Chartered Bank      8/6/21               (1,276
EUR      12,000,000      USD      14,169,612      UBS AG      8/6/21        66,204         
MXN      43,000,000      USD      2,068,029      Bank of America, N.A.      8/6/21        91,232         
MXN      43,000,000      USD      2,070,458      Bank of America, N.A.      8/6/21        88,803         
MXN      68,800,000      USD      3,309,873      HSBC Bank USA, N.A.      8/6/21        144,945         
MXN      17,200,000      USD      829,573      HSBC Bank USA, N.A.      8/6/21        34,132         
MYR      102,000,000      USD      24,516,284      Barclays Bank PLC      8/6/21               (387,571
USD      17,749,890      EUR      15,000,000      BNP Paribas      8/6/21               (44,881
USD      5,073,949      MXN      101,612,000      UBS AG      8/6/21               (28,535
USD      3,794,616      MYR      16,000,000      Credit Agricole Corporate and Investment Bank      8/6/21        9,720         
USD      17,470,619      THB      563,065,076      Standard Chartered Bank      8/6/21        339,591         
USD      772,464      UAH      21,320,000      Standard Chartered Bank      8/9/21               (20,846
CNH      872,798,000      USD      133,895,795      Goldman Sachs International      8/10/21        1,039,721         
EUR      9,698,958      RON      48,042,500      Citibank, N.A.      8/10/21               (81,298
EUR      9,700,535      RON      48,042,500      Goldman Sachs International      8/10/21               (79,428
USD      40,388,388      CNH      258,441,254      Goldman Sachs International      8/10/21        433,090         
USD      21,321,017      CNH      138,980,773      Goldman Sachs International      8/10/21               (165,561
USD      31,634,984      CNH      206,212,235      Goldman Sachs International      8/10/21               (245,650
USD      4,431,088      CNH      28,700,000      JPMorgan Chase Bank, N.A.      8/10/21               (5,963
EUR      5,697,261      RON      28,214,000      JPMorgan Chase Bank, N.A.      8/11/21               (45,780
MYR      14,500,000      USD      3,487,002      Barclays Bank PLC      8/11/21               (65,032
MYR      9,300,000      USD      2,253,453      Goldman Sachs International      8/11/21               (58,672
USD      3,482,237      UAH      99,000,000      BNP Paribas      8/11/21               (199,449
USD      2,345,201      UZS      25,023,292,000      ICBC Standard Bank plc      8/11/21               (2
UZS      25,023,292,000      USD      2,322,132      ICBC Standard Bank plc      8/11/21        23,071         
USD      969,587      UAH      26,700,000      Citibank, N.A.      8/12/21               (23,118
USD      16,293,316      UAH      448,555,000      Citibank, N.A.      8/12/21               (383,941
THB      6,924,251      USD      212,088      Standard Chartered Bank      8/16/21               (1,433
THB      2,824,985,947      USD      86,528,607      Standard Chartered Bank      8/16/21               (584,731
USD      2,600,163      THB      85,000,000      Standard Chartered Bank      8/16/21        14,228         
USD      8,635,874      THB      281,944,008      Standard Chartered Bank      8/16/21        58,358         
USD      23,656,299      ZAR      334,833,283      Citibank, N.A.      8/16/21        838,928         
USD      9,692,772      ZAR      137,192,323      Citibank, N.A.      8/16/21        343,736         

 

11

 

 


Currency
Purchased
     Currency
Sold
    

Counterparty

   Settlement
Date
     Unrealized
Appreciation
     Unrealized
(Depreciation)
 
USD      8,353,625      ZAR      118,525,056      Citibank, N.A.      8/16/21      $ 276,680      $  
USD      3,422,758      ZAR      48,563,654      Citibank, N.A.      8/16/21        113,365         
ZAR      45,000,000      USD      3,141,410      Citibank, N.A.      8/16/21               (74,863
ZAR      235,000,000      USD      16,056,958      JPMorgan Chase Bank, N.A.      8/16/21               (42,773
ZAR      65,083,057      USD      4,500,123      Standard Chartered Bank      8/16/21               (65,008
CNH      87,600,000      USD      13,522,329      Citibank, N.A.      8/18/21        12,154         
CNH      19,500,000      USD      2,998,190      JPMorgan Chase Bank, N.A.      8/18/21        14,623         
HUF      1,766,232,916      EUR      4,953,509      Citibank, N.A.      8/18/21               (38,819
HUF      2,676,787,630      EUR      7,504,281      Citibank, N.A.      8/18/21               (55,351
HUF      3,016,254,579      EUR      8,456,209      Citibank, N.A.      8/18/21               (62,660
HUF      3,080,724,875      EUR      8,636,286      Goldman Sachs International      8/18/21               (63,207
HUF      808,000,000      EUR      2,292,431      Standard Chartered Bank      8/18/21               (49,021
USD      2,699,483      CNH      17,487,722      Citibank, N.A.      8/18/21               (2,426
USD      16,572,992      ZAR      237,050,113      Citibank, N.A.      8/23/21        433,562         
USD      16,546,260      ZAR      237,523,221      Citibank, N.A.      8/23/21        374,619         
USD      7,935,874      ZAR      113,360,673      Citibank, N.A.      8/23/21        217,773         
USD      6,790,505      ZAR      97,127,308      Citibank, N.A.      8/23/21        177,645         
USD      6,779,553      ZAR      97,321,156      Citibank, N.A.      8/23/21        153,494         
USD      3,251,591      ZAR      46,447,634      Citibank, N.A.      8/23/21        89,229         
ZAR      344,932,909      USD      24,028,597      Citibank, N.A.      8/23/21               (544,024
ZAR      333,870,676      USD      23,342,051      Citibank, N.A.      8/23/21               (610,645
HUF      1,338,602,209      EUR      3,794,710      Goldman Sachs International      8/24/21               (78,507
HUF      1,338,602,208      EUR      3,795,744      Goldman Sachs International      8/24/21               (79,734
HUF      1,604,811,252      EUR      4,550,614      Goldman Sachs International      8/24/21               (95,599
USD      5,804,613      ZAR      83,397,569      BNP Paribas      8/24/21        127,261         
USD      4,916,145      ZAR      70,632,530      BNP Paribas      8/24/21        107,782         
USD      480,983      ZAR      6,910,508      BNP Paribas      8/24/21        10,545         
USD      3,405,616      ZAR      50,000,000      Standard Chartered Bank      8/24/21        1,828         
USD      2,393,253      UAH      67,753,000      Bank of America, N.A.      8/25/21               (118,088
USD      3,886,669      UAH           107,000,000      BNP Paribas      8/25/21               (79,406
HUF      610,000,000      EUR      1,702,487      Goldman Sachs International      8/30/21               (4,475
HUF        1,171,280,000      EUR      3,332,736      Standard Chartered Bank      8/30/21               (84,241
MYR      54,793,000      USD      13,203,769      Barclays Bank PLC      9/1/21               (287,137
MYR      21,000,000      USD      5,068,791      Credit Agricole Corporate and Investment Bank      9/1/21               (118,354
USD      5,954,623      MYR      24,710,496      Barclays Bank PLC      9/1/21        129,493         
EUR      3,095,982      PLN      14,000,000      HSBC Bank USA, N.A.      9/8/21        40,733         
MYR      23,000,000      USD      5,410,492      Barclays Bank PLC      9/8/21        10,016         
MYR      23,400,000      USD      5,660,377      Goldman Sachs International      9/8/21               (145,600
MYR      147,541,230      USD      35,359,543      Goldman Sachs International      9/8/21               (587,876
PLN      5,303,588      EUR      1,184,417      Citibank, N.A.      9/8/21               (29,169
PLN      5,896,412      EUR      1,317,190      Citibank, N.A.      9/8/21               (32,883
USD      8,585,731      MYR      35,824,820      Goldman Sachs International      9/8/21        142,744         
USD      4,172,769      ZAR      59,300,965      Citibank, N.A.      9/8/21        143,539         
USD      2,350,200      ZAR      33,399,675      Citibank, N.A.      9/8/21        80,844         
USD      2,321,393      ZAR      32,990,290      Citibank, N.A.      9/8/21        79,853         
USD      7,300,959      ZAR      103,831,633      Standard Chartered Bank      9/8/21        246,073         
USD      4,112,069      ZAR      58,480,374      Standard Chartered Bank      9/8/21        138,594         
USD      4,061,667      ZAR      57,763,572      Standard Chartered Bank      9/8/21        136,895         
ZAR      46,150,000      USD      3,245,054      Standard Chartered Bank      9/8/21               (109,372
GEL      2,732,173      USD      845,769      ICBC Standard Bank plc      9/9/21        24,891         

 

12

 

 


Currency
Purchased
     Currency
Sold
    

Counterparty

   Settlement
Date
     Unrealized
Appreciation
     Unrealized
(Depreciation)
 
USD      887,126      UAH      24,600,000      BNP Paribas      9/9/21      $      $ (21,452
USD      887,207      UAH      24,620,000      BNP Paribas      9/9/21               (22,109
USD      824,397      UAH      22,910,000      Goldman Sachs International      9/9/21               (21,762
PLN      31,025,979      EUR      6,932,009      Citibank, N.A.      9/10/21               (174,688
PLN      33,917,361      EUR      7,580,869      Citibank, N.A.      9/10/21               (194,352
PLN      21,479,523      EUR      4,803,126      Goldman Sachs International      9/10/21               (125,738
PLN      46,457,300      EUR      10,275,229      Goldman Sachs International      9/10/21               (137,474
PLN      23,866,137      EUR      5,339,210      Goldman Sachs International      9/10/21               (142,562
PLN      10,000,000      EUR      2,234,318      UBS AG      9/10/21               (56,373
USD      9,003,948      THB      281,494,924      Standard Chartered Bank      9/10/21        441,209         
UYU      50,577,938      USD      1,146,606      HSBC Bank USA, N.A.      9/10/21        5,304         
CZK      359,750,000      EUR      14,117,820      Bank of America, N.A.      9/13/21               (36,351
CZK      566,487,910      EUR      22,267,747      Bank of America, N.A.      9/13/21               (100,959
EUR      2,261,231      CZK      58,000,000      Bank of America, N.A.      9/13/21               (11,814
PLN      93,042,275      EUR      20,615,913      Bank of America, N.A.      9/13/21               (320,778
PLN      52,000,000      EUR      11,475,768      Citibank, N.A.      9/13/21               (124,463
PLN      93,042,276      EUR      20,597,507      HSBC Bank USA, N.A.      9/13/21               (298,926
USD      17,227,967      ZAR      249,005,018      BNP Paribas      9/15/21        324,309         
USD      12,111,953      ZAR      174,826,043      BNP Paribas      9/15/21        243,921         
USD      5,116,165      ZAR      71,161,160      Standard Chartered Bank      9/15/21        285,404         
USD      2,881,542      ZAR      40,079,610      Standard Chartered Bank      9/15/21        160,746         
USD      2,846,223      ZAR      39,588,348      Standard Chartered Bank      9/15/21        158,776         
THB      3,039,132      USD      97,511      Standard Chartered Bank      9/16/21               (5,067
USD      493,161      UAH      13,700,000      Bank of America, N.A.      9/16/21               (11,981
CZK      550,409,412      EUR      21,619,664      Bank of America, N.A.      9/20/21               (85,318
CZK      71,000,000      EUR      2,784,870      HSBC Bank USA, N.A.      9/20/21               (6,308
PLN      107,878,955      EUR      23,868,435      Barclays Bank PLC      9/20/21               (333,899
PLN      12,478,000      EUR      2,761,903      Goldman Sachs International      9/20/21               (39,952
PLN      100,795,798      EUR      22,305,690      HSBC Bank USA, N.A.      9/20/21               (317,221
PLN      17,000,000      EUR      3,712,506      Standard Chartered Bank      9/20/21        5,301         
USD      572,909      UAH      16,030,000      Bank of America, N.A.      9/20/21               (17,573
USD      26,723,397      TRY      244,946,661      Standard Chartered Bank      9/21/21               (1,623,242
USD      2,035,220      UAH      56,803,000      BNP Paribas      9/23/21               (55,664
USD      7,313,162      ZAR      105,477,099      BNP Paribas      9/23/21        160,166         
USD      6,193,792      ZAR      89,332,512      BNP Paribas      9/23/21        135,650         
USD      605,985      ZAR      8,740,068      BNP Paribas      9/23/21        13,272         
USD      6,936,713      ZAR      100,077,083      HSBC Bank USA, N.A.      9/23/21        149,921         
USD      5,874,962      ZAR      84,759,036      HSBC Bank USA, N.A.      9/23/21        126,974         
USD      574,791      ZAR      8,292,610      HSBC Bank USA, N.A.      9/23/21        12,423         
USD      4,009,922      UAH           113,160,000      BNP Paribas      9/29/21               (149,415
USD      3,000,000      UAH      84,990,000      HSBC Bank USA, N.A.      9/29/21               (123,914
HUF        2,007,903,313      EUR      5,699,510      Goldman Sachs International      9/30/21               (136,736
HUF      1,874,040,000      EUR      5,335,236      Standard Chartered Bank      9/30/21               (146,267
USD      1,841,332      UAH      51,410,000      BNP Paribas      9/30/21               (47,852
USD      9,254,769      ZAR      133,436,110      BNP Paribas      9/30/21        213,774         
USD      7,838,211      ZAR      113,012,048      BNP Paribas      9/30/21        181,053         
USD      766,871      ZAR      11,056,814      BNP Paribas      9/30/21        17,714         
USD      7,142,832      ZAR      103,738,553      Goldman Sachs International      10/1/21        114,896         
MYR      13,640,000      USD      3,269,023      Credit Agricole Corporate and Investment Bank      10/4/21               (56,966

 

13

 

 


Currency
Purchased
     Currency
Sold
    

Counterparty

   Settlement
Date
     Unrealized
Appreciation
     Unrealized
(Depreciation)
 
USD      9,229,756      ZAR      134,009,372      Citibank, N.A.      10/4/21      $ 154,539      $  
USD      1,647,837      UAH      46,090,000      Citibank, N.A.      10/7/21               (43,331
EUR      9,698,352      RON      48,042,912      Bank of America, N.A.      10/8/21               (41,796
USD      17,469,438      THB      563,040,000      Standard Chartered Bank      10/8/21        344,309         
KES      317,940,000      USD      2,685,985      Standard Chartered Bank      10/12/21        198,662         
KES      211,960,000      USD      1,790,656      Standard Chartered Bank      10/12/21        132,442         
UYU      20,241,106      USD      453,075      HSBC Bank USA, N.A.      10/13/21        5,751         
CNH      142,500,617      USD      21,840,514      BNP Paribas      10/15/21        70,094         
USD      17,643,438      CNH      115,000,000      HSBC Bank USA, N.A.      10/15/21               (38,731
USD      1,438,941      CNH      9,400,000      Standard Chartered Bank      10/15/21               (6,384
THB      329,371,411      USD      10,067,213      Standard Chartered Bank      10/18/21               (49,606
USD      8,828,652      THB           288,853,723      Standard Chartered Bank      10/18/21        43,362         
MXN      73,000,000      USD      3,638,013      Bank of America, N.A.      10/22/21               (10,981
MXN      452,855,348      USD      22,182,046      Goldman Sachs International      10/22/21        318,238         
MXN      373,912,975      USD      18,280,764      Standard Chartered Bank      10/22/21        297,239         
MXN      373,912,973      USD      18,373,777      Standard Chartered Bank      10/22/21        204,227         
MXN      373,912,974      USD      18,376,359      Standard Chartered Bank      10/22/21        201,644         
USD      2,447,074      MXN      49,957,994      Goldman Sachs International      10/22/21               (35,107
USD      4,634,973      MXN      94,624,830      Goldman Sachs International      10/22/21               (66,496
HUF      2,499,754,986      EUR      6,926,160      Citibank, N.A.      10/25/21        21,488         
HUF      2,499,754,987      EUR      6,921,279      Goldman Sachs International      10/25/21        27,287         
HUF      2,499,754,987      EUR      6,954,940      Goldman Sachs International      10/25/21               (12,708
HUF      2,499,754,988      EUR      6,957,389      Goldman Sachs International      10/25/21               (15,618
HUF      2,499,754,987      EUR      6,959,665      Goldman Sachs International      10/25/21               (18,322
HUF      710,000,000      EUR      1,966,714      HSBC Bank USA, N.A.      10/25/21        6,707         
HUF      2,364,719,831      EUR      6,595,561      Standard Chartered Bank      10/25/21               (31,417
HUF      1,171,280,000      EUR      3,233,328      Standard Chartered Bank      10/29/21        23,572         
HUF      4,770,227,263      EUR      13,256,629      Standard Chartered Bank      10/29/21               (9,014
HUF      4,197,790,971      EUR      11,680,020      Standard Chartered Bank      10/29/21               (24,819
UZS      25,722,252,000      USD      2,322,132      ICBC Standard Bank plc      11/12/21        25,930         
GEL      2,748,750      USD      838,852      ICBC Standard Bank plc      1/11/22        11,437         
UYU      20,639,278      USD      455,071      HSBC Bank USA, N.A.      1/11/22        4,717         
KES      45,675,000      USD      386,749      Standard Chartered Bank      2/8/22        18,633         
KES      50,060,000      USD      428,963      ICBC Standard Bank plc      2/23/22        14,043         
KES      25,050,000      USD      214,469      ICBC Standard Bank plc      2/23/22        7,211         
KES      45,360,000      USD      386,701      Standard Chartered Bank      3/2/22        14,168         
KES      45,300,000      USD      387,014      Standard Chartered Bank      3/4/22        13,170         
KES      45,810,000      USD      392,444      Standard Chartered Bank      3/8/22        11,932         
KES      22,400,000      USD      191,617      Standard Chartered Bank      4/1/22        5,199         
KES      127,500,000      USD      1,126,524      Standard Chartered Bank      5/11/22               (15,331
KES      139,764,000      USD      1,228,695      ICBC Standard Bank plc      5/18/22               (12,727
KES      249,600,000      USD      2,187,555      Standard Chartered Bank      5/20/22               (17,072
KES      253,848,000      USD      2,217,982      Standard Chartered Bank      6/6/22               (19,801
KES      125,680,000      USD      1,099,563      Goldman Sachs International      6/8/22               (11,781
KES      253,630,000      USD      2,218,015      Standard Chartered Bank      6/8/22               (22,804
KES      140,000,000      USD      1,217,391      Bank of America, N.A.      6/10/22               (6,264
UZS      133,770,000,000      USD      9,994,023      JPMorgan Chase Bank, N.A.      6/20/22        1,460,052         
                 

 

 

    

 

 

 
   $ 14,317,436      $ (11,939,753
                 

 

 

    

 

 

 

 

14

 

 


Non-deliverable Bond Forward Contracts*

 

                                                                                                                            

Settlement
Date

  Notional
Amount
(000’s omitted)
    

Reference Entity

  

Counterparty

   Aggregate
Cost
     Unrealized
Appreciation
(Depreciation)
 
8/11/21   COP 49,655,400     

Republic of Colombia,

6.25%, 11/26/25

   Goldman Sachs International    $ 12,804,384      $ (136,303
8/12/21   COP 28,233,600     

Republic of Colombia,

6.25%, 11/26/25

   Goldman Sachs International      7,280,454        (90,554
8/12/21   COP 43,166,100     

Republic of Colombia,

6.25%, 11/26/25

   Goldman Sachs International      11,131,021        (151,015
8/13/21   COP 22,509,500     

Republic of Colombia,

6.25%, 11/26/25

   Bank of America, N.A.      5,804,409        (25,267
8/16/21   COP 45,075,730     

Republic of Colombia,

5.75%, 11/3/27

   Bank of America, N.A.      11,623,448        (21,654
8/16/21   COP 22,607,400     

Republic of Colombia,

6.25%, 11/26/25

   Goldman Sachs International      5,829,654        (30,775
8/17/21   COP 41,494,040     

Republic of Colombia,

6.00%, 4/28/28

   Bank of America, N.A.      10,699,856        (84,079
8/20/21   COP 10,523,242     

Republic of Colombia,

6.25%, 11/26/25

   Goldman Sachs International      2,713,575        (7,289
8/23/21   COP 31,047,300     

Republic of Colombia,

6.25%, 11/26/25

   Goldman Sachs International      8,006,008        (64,737
8/24/21   COP 100,500,000     

Republic of Colombia,

6.00%, 4/28/28

   Bank of America, N.A.      25,915,420        84,718  
8/24/21   COP 18,500,000     

Republic of Colombia,

7.00%, 6/30/32

   Bank of America, N.A.      4,770,500        2,161  
8/24/21   COP 24,000,000     

Republic of Colombia,

7.50%, 8/26/26

   Bank of America, N.A.      6,188,757        (11,505
8/24/21   COP 67,000,000     

Republic of Colombia,

7.75%, 9/18/30

   Bank of America, N.A.      17,276,947        72,771  
8/24/21   COP 73,500,000     

Republic of Colombia,

10.00%, 7/24/24

   Bank of America, N.A.      18,953,069        (474
8/26/21   COP 25,537,800     

Republic of Colombia,

6.25%, 11/26/25

   Goldman Sachs International      6,585,302        (13,039
8/30/21   COP 34,467,200     

Republic of Colombia,

6.25%, 11/26/25

   Bank of America, N.A.      8,887,880        82,533  
8/31/21   COP 41,360,600     

Republic of Colombia,

6.25%, 11/26/25

   Bank of America, N.A.      10,665,446        112,648  
9/3/21   COP 28,680,000     

Republic of Colombia,

5.75%, 11/3/27

   Bank of America, N.A.      7,395,565        59,320  
9/3/21   COP 27,573,800     

Republic of Colombia,

6.25%, 11/26/25

   Bank of America, N.A.      7,110,315        71,324  

9/14/21

  COP 20,614,100     

Republic of Colombia,

6.25%, 11/26/25

   Goldman Sachs International      5,315,652        34,148  
             

 

 

 
   $ (117,068
             

 

 

 

 

*

Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency.

 

15

 

 


Futures Contracts

 

                                                                                                                            

Description

   Number of
Contracts
    Position      Expiration
Date
     Notional
Amount
    Value/Unrealized
Appreciation
(Depreciation)
 
            

Interest Rate Futures

 

Euro-Bobl

     (23     Short        9/8/21      $     (3,693,127   $ (34,923

Euro-Bund

     (15     Short        9/8/21        (3,141,841     (89,324

U.S. 5-Year Treasury Note

     (13     Short        9/30/21        (1,617,789     (7,719

U.S. 10-Year Treasury Note

     (150     Short        9/21/21        (20,167,969     (365,347
            

 

 

 
  $     (497,313
            

 

 

 

Centrally Cleared Interest Rate Swaps

 

                                                                                                                                                                              
Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
     Value     Unamortized
Upfront
Receipts
(Payments)
     Unrealized
Appreciation
(Depreciation)
 
BRL   548,199      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

3.06%

(pays upon termination)

     1/3/22      $ (978,195   $      $ (978,195
BRL 360,049      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

3.08%

(pays upon termination)

     1/3/22        (624,234            (624,234
BRL 360,971      Receives   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

3.40%

(pays upon termination)

     1/3/22        506,035              506,035  
BRL 64,031      Receives   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

3.42%

(pays upon termination)

     1/3/22        64,570              64,570  
BRL 507,598      Receives   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

3.44%

(pays upon termination)

     1/3/22        484,125              484,125  
BRL 63,539      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

4.12%

(pays upon termination)

     1/2/23        (387,354            (387,354
BRL 109,032      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

4.70%

(pays upon termination)

     1/2/23        (296,802            (296,802
BRL 175,133      Receives   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

4.71%

(pays upon termination)

     1/2/23        854,194              854,194  
BRL 62,400      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

4.84%

(pays upon termination)

     1/2/23        (120,265            (120,265
BRL 40,336      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

5.84%

(pays upon termination)

     1/2/23        168,357              168,357  
BRL 30,974      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

5.96%

(pays upon termination)

     1/2/23        163,336              163,336  

 

16

 

 


                                                                                                                                                                              
Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
     Value     Unamortized
Upfront
Receipts
(Payments)
     Unrealized
Appreciation
(Depreciation)
 
BRL 76,081      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

6.55%

(pays upon termination)

     1/2/23      $ 719,566     $      $ 719,566  
BRL 35,200      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

8.13%

(pays upon termination)

     1/2/23        778,421              778,421  
BRL 31,500      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

5.41%

(pays upon termination)

     1/2/25        (445,721            (445,721
BRL 69,990      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

5.76%

(pays upon termination)

     1/2/25        (986,096            (986,096
BRL 67,422      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

6.09%

(pays upon termination)

     1/2/25        (818,091            (818,091
BRL 70,160      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

6.27%

(pays upon termination)

     1/2/25        (313,770            (313,770
BRL 72,000      Receives   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

6.36%

(pays upon termination)

     1/2/25        792,261              792,261  
BRL 50,000      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

6.47%

(pays upon termination)

     1/2/25        (517,041            (517,041
BRL 11,269      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

8.57%

(pays upon termination)

     1/2/25        271,951              271,951  
BRL 47,000      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

9.58%

(pays upon termination)

     1/2/25        2,277,352              2,277,352  
BRL    5,239      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

9.90%

(pays upon termination)

     1/2/25        286,851              286,851  
BRL 27,600      Receives   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

  

8.59%

(pays upon termination)

     1/4/27        72,585              72,585  
CLP 9,792,953      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

2.09%

(pays semi-annually)

     12/6/21        71,573              71,573  
CLP  4,865,090      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

1.98%

(pays semi-annually)

     12/11/21        31,636              31,636  
CLP  5,000,000      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

3.68%

(pays semi-annually)

     2/11/24        260,867              260,867  
CLP  1,140,000      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

3.49%

(pays semi-annually)

     4/26/24        41,600              41,600  

 

17

 

 


                                                                                                                                                                              
Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
     Value     Unamortized
Upfront
Receipts
(Payments)
     Unrealized
Appreciation
(Depreciation)
 
CLP 2,650,000      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

1.38%

(pays semi-annually)

     6/17/25      $ (220,695   $      $ (220,695
CLP 3,700,000      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

1.33%

(pays semi-annually)

     9/11/25        (336,980            (336,980
CLP 5,200,000      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

1.48%

(pays semi-annually)

     12/23/25        (500,298            (500,298
CLP 2,500,000      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

1.59%

(pays semi-annually)

     1/27/26        (236,172            (236,172
CLP 2,500,000      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

1.92%

(pays semi-annually)

     2/23/26        (174,992            (174,992
CLP 5,068,950      Receives   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

2.03%

(pays semi-annually)

     2/25/26        320,154              320,154  
CLP 584,900      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

2.87%

(pays semi-annually)

     5/31/26        (13,619            (13,619
CLP 4,898,900      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

2.87%

(pays semi-annually)

     5/31/26        (114,071            (114,071
CLP 6,000,000      Receives   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

3.44%

(pays semi-annually)

     7/30/26        (26,526            (26,526
CLP 794,000      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

4.02%

(pays semi-annually)

     3/18/29        21,649              21,649  
CLP 3,362,600      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

4.08%

(pays semi-annually)

     7/1/31        (16,681            (16,681
CLP 2,473,064      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

4.17%

(pays semi-annually)

     7/2/31        12,963              12,963  
CLP 1,759,504      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

4.18%

(pays semi-annually)

     7/2/31        11,247              11,247  
CLP 4,871,900      Pays   

6-month Sinacofi Chile Interbank Rate

(pays semi-annually)

  

4.22%

(pays semi-annually)

     7/12/31        45,739              45,739  
CNY 116,500      Pays   

7-day China Fixing Repo Rates

(pays quarterly)

  

2.62%

(pays quarterly)

     8/4/25        125,497              125,497  
CNY  90,500      Pays   

7-day China Fixing Repo Rates

(pays quarterly)

  

2.79%

(pays quarterly)

     9/3/25        184,287              184,287  

 

18

 

 


                                                                                                                                                                              
Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
     Value      Unamortized
Upfront
Receipts
(Payments)
     Unrealized
Appreciation
(Depreciation)
 
CNY 80,000      Pays   

7-day China Fixing Repo Rates

(pays quarterly)

  

2.79%

(pays quarterly)

     12/21/25      $ 160,429      $      $ 160,429  
CNY 45,000      Pays   

7-day China Fixing Repo Rates

(pays quarterly)

  

2.74%

(pays quarterly)

     1/27/26        71,429               71,429  
CNY 85,000      Pays   

7-day China Fixing Repo Rates

(pays quarterly)

  

2.74%

(pays quarterly)

     5/7/26        156,308               156,308  
CNY 50,000      Pays   

7-day China Fixing Repo Rates

(pays quarterly)

  

2.75%

(pays quarterly)

     6/4/26        91,829               91,829  
CNY 38,000      Pays   

7-day China Fixing Repo Rates

(pays quarterly)

  

2.86%

(pays quarterly)

     6/18/26        95,412               95,412  
COP  6,031,600      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

3.76%

(pays quarterly)

     11/26/25        57,975               57,975  
COP 6,031,600      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

3.89%

(pays quarterly)

     11/26/25        49,506               49,506  
COP  12,063,100      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.00%

(pays quarterly)

     11/26/25        84,679               84,679  
COP 4,831,700      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.02%

(pays quarterly)

     11/26/25        33,135               33,135  
COP 11,354,500      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.05%

(pays quarterly)

     11/26/25        73,255               73,255  
COP 12,063,100      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.07%

(pays quarterly)

     11/26/25        75,558               75,558  
COP 15,464,200      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.11%

(pays quarterly)

     11/26/25        91,015               91,015  
COP 22,708,900      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.12%

(pays quarterly)

     11/26/25        129,610               129,610  
COP 29,467,300      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.14%

(pays quarterly)

     11/26/25        163,883               163,883  
COP 12,992,300      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.16%

(pays quarterly)

     11/26/25        68,749               68,749  
COP 30,157,800      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.16%

(pays quarterly)

     11/26/25        159,580               159,580  

 

19

 

 


                                                                                                                                                                              
Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
     Value     Unamortized
Upfront
Receipts
(Payments)
     Unrealized
Appreciation
(Depreciation)
 
COP 7,320,600      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.20%

(pays quarterly)

     11/26/25      $ 35,574     $      $ 35,574  
COP 12,063,100      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.20%

(pays quarterly)

     11/26/25        58,621              58,621  
COP 4,710,900      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.21%

(pays quarterly)

     11/26/25        22,639              22,639  
COP 10,648,200      Receives    Colombia Overnight Interbank Reference Rate
(pays quarterly)
  

4.25%

(pays quarterly)

     11/26/25        45,994              45,994  
COP 12,063,100      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.28%

(pays quarterly)

     11/26/25        48,197              48,197  
COP 27,119,500      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.34%

(pays quarterly)

     11/26/25        89,666              89,666  
COP 21,524,800      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.50%

(pays quarterly)

     11/26/25        36,018              36,018  
COP 20,568,100      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.53%

(pays quarterly)

     11/26/25        26,864              26,864  
COP 12,079,200      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.55%

(pays quarterly)

     11/26/25        13,689              13,689  
COP  10,523,242      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.62%

(pays quarterly)

     11/26/25        3,969              3,969  
COP 5,979,100      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.73%

(pays quarterly)

     11/26/25        (5,171            (5,171
COP 25,137,100      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.78%

(pays quarterly)

     11/26/25        (35,316            (35,316
COP 25,708,100      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.38%

(pays quarterly)

     3/30/26        125,974              125,974  
COP 41,744,000      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.38%

(pays quarterly)

     3/30/26        203,610              203,610  
COP 23,038,400      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.48%

(pays quarterly)

     3/31/26        85,834              85,834  
COP 24,662,600      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.56%

(pays quarterly)

     4/6/26        73,412              73,412  

 

20

 

 


                                                                                                                                                                              
Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
     Value     Unamortized
Upfront
Receipts
(Payments)
    Unrealized
Appreciation
(Depreciation)
 
COP  53,708,000      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.15%

(pays quarterly)

     4/19/26      $ 429,801     $     $ 429,801  
COP 7,441,800      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.82%

(pays quarterly)

     3/26/28        47,722             47,722  
COP 8,319,700      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.82%

(pays quarterly)

     3/26/28        52,716             52,716  
COP 5,315,600      Receives   

Colombia Overnight Interbank Reference Rate

(pays quarterly)

  

4.83%

(pays quarterly)

     3/26/28        33,275             33,275  
CZK 232,350      Pays   

6-month CZK PRIBOR

(pays semi-annually)

  

1.84%

(pays annually)

     12/5/24        123,437             123,437  
CZK 491,000      Pays   

6-month CZK PRIBOR

(pays semi-annually)

  

1.80%

(pays annually)

     2/26/25        76,044             76,044  
CZK 200,800      Pays   

6-month CZK PRIBOR

(pays semi-annually)

  

1.40%

(pays annually)

     3/6/25        (115,786           (115,786
CZK 258,400      Receives   

6-month CZK PRIBOR

(pays semi-annually)

  

1.37%

(pays annually)

     3/17/25        171,022             171,022  
CZK 107,690      Pays   

6-month CZK PRIBOR

(pays semi-annually)

  

0.60%

(pays annually)

     6/15/25        (237,385           (237,385
CZK 184,250      Pays   

6-month CZK PRIBOR

(pays semi-annually)

  

0.64%

(pays annually)

     7/27/25        (412,415           (412,415
CZK 80,000      Pays   

6-month CZK PRIBOR

(pays semi-annually)

  

1.01%

(pays annually)

     1/27/26        (121,653           (121,653
CZK 125,000      Pays   

6-month CZK PRIBOR

(pays semi-annually)

  

1.37%

(pays annually)

     2/23/26        (107,599           (107,599
CZK 300,000      Pays   

6-month CZK PRIBOR

(pays semi-annually)

  

1.46%

(pays annually)

     3/15/26        (204,574           (204,574
CZK 147,500      Pays   

6-month CZK PRIBOR

(pays semi-annually)

  

1.73%

(pays annually)

     5/6/26        (18,380           (18,380
CZK 497,198      Pays   

6-month CZK PRIBOR

(pays semi-annually)

  

1.74%

(pays annually)

     5/31/29        (25,988           (25,988
EUR 16,300      Receives   

6-month EURIBOR

(pays semi-annually)

  

0.25%

(pays annually)

     9/20/22        (249,893     (14,347     (264,240
HUF 480,000      Pays   

6-month HUF BUBOR

(pays semi-annually)

  

0.79%

(pays annually)

     8/6/24        (65,993           (65,993
HUF 3,500,000      Pays   

6-month HUF BUBOR

(pays semi-annually)

  

0.71%

(pays annually)

     11/22/24        (563,881           (563,881
HUF 6,619,000      Receives   

6-month HUF BUBOR

(pays semi-annually)

  

1.30%

(pays annually)

     3/16/25        783,328             783,328  
HUF 2,000,000      Pays   

6-month HUF BUBOR

(pays semi-annually)

  

1.20%

(pays annually)

     11/4/25        (279,535           (279,535
HUF 3,165,000      Pays   

6-month HUF BUBOR

(pays semi-annually)

  

1.10%

(pays annually)

     12/4/25        (507,092           (507,092
HUF 2,000,000      Pays   

6-month HUF BUBOR

(pays semi-annually)

  

1.06%

(pays annually)

     12/22/25        (341,792           (341,792
HUF 3,650,000      Receives   

6-month HUF BUBOR

(pays semi-annually)

  

2.45%

(pays annually)

     8/2/26        24,632             24,632  

 

21

 

 


                                                                                                                                                                              
Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
     Value     Unamortized
Upfront
Receipts
(Payments)
    Unrealized
Appreciation
(Depreciation)
 
MXN 154,220      Pays    Mexico Interbank TIIE 28 Day (pays monthly)    5.35%
(pays monthly)
     4/13/22      $ 10,217     $     $ 10,217  
MXN 74,620      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   5.38%
(pays monthly)
     4/13/22        5,808             5,808  
MXN  74,622      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   5.25%
(pays monthly)
     4/14/22        2,058             2,058  
MXN 233,195      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   5.29%
(pays monthly)
     4/14/22        10,330             10,330  
MXN 48,628      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   5.16%
(pays monthly)
     4/15/22        (445           (445
MXN 74,623      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   5.20%
(pays monthly)
     4/15/22        469             469  
MXN 267,700      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   7.58%
(pays monthly)
     3/21/23        408,882       (2,103     406,779  
MXN 350,500      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   8.98%
(pays monthly)
     11/29/23        1,211,489       (6,520     1,204,969  
MXN 185,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   8.13%
(pays monthly)
     2/2/24        473,523             473,523  
MXN  600,760      Receives    Mexico Interbank TIIE 28 Day
(pays monthly)
   6.76%
(pays monthly)
     3/7/24        (538,438           (538,438
MXN  166,961      Receives    Mexico Interbank TIIE 28 Day
(pays monthly)
   6.79%
(pays monthly)
     3/7/24        (155,824           (155,824
MXN  408,300      Receives    Mexico Interbank TIIE 28 Day
(pays monthly)
   7.35%
(pays monthly)
     3/14/24        (698,965           (698,965
MXN  180,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   7.69%
(pays monthly)
     5/22/24        388,408       (3,493     384,915  
MXN  329,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   7.49%
(pays monthly)
     6/5/24        647,126             647,126  
MXN  67,771      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   6.08%
(pays monthly)
     6/27/24        (2,165           (2,165
MXN  224,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   7.19%
(pays monthly)
     6/27/24        331,146             331,146  

 

22

 

 


                                                                                                                                                                              
Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
     Value     Unamortized
Upfront
Receipts
(Payments)
    Unrealized
Appreciation
(Depreciation)
 
MXN  130,204      Receives    Mexico Interbank TIIE 28 Day
(pays monthly)
   6.66%
(pays monthly)
     11/7/24      $ (99,306   $     $ (99,306
MXN  338,050      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   4.63%
(pays monthly)
     1/9/25        (848,227           (848,227
MXN  338,050      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   4.61%
(pays monthly)
     1/10/25        (855,038           (855,038
MXN  391,500      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   4.65%
(pays monthly)
     2/6/25        (992,559           (992,559
MXN  200,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   4.77%
(pays monthly)
     2/14/25        (470,528           (470,528
MXN  275,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   5.18%
(pays monthly)
     3/5/25        (475,130           (475,130
MXN  144,000      Receives    Mexico Interbank TIIE 28 Day
(pays monthly)
   7.40%
(pays monthly)
     3/11/25        (293,497           (293,497
MXN  205,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   5.44%
(pays monthly)
     3/14/25        (263,832           (263,832
MXN  332,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   5.13%
(pays monthly)
     6/6/25        (655,303           (655,303
MXN  222,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   4.71% (pays monthly)      12/12/25        (705,780           (705,780
MXN  111,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   6.07%
(pays monthly)
     4/28/26        (70,977           (70,977
MXN  165,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   6.11%
(pays monthly)
     6/8/26        (89,143           (89,143
MXN  130,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   6.21%
(pays monthly)
     6/29/26        (41,811           (41,811
MXN  176,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   7.86%
(pays monthly)
     1/5/28        621,116       (4,431     616,685  
MXN  83,120      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   6.77%
(pays monthly)
     9/18/29        20,816             20,816  
MXN  15,300      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   5.91%
(pays monthly)
     5/1/30        (44,407           (44,407

 

23

 

 


                                                                                                                                                                              
Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
     Value     Unamortized
Upfront
Receipts
(Payments)
    Unrealized
Appreciation
(Depreciation)
 
MXN  124,500      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   5.37%
(pays monthly)
     12/6/30      $ (644,450   $     $ (644,450
MXN  29,200      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   7.95%
(pays monthly)
     12/3/31        119,875       (276,279     (156,404
PLN  4,400      Pays    6-month PLN WIBOR
(pays semi-annually)
   2.19%
(pays annually)
     10/28/21        24,367             24,367  
PLN  35,000      Pays    6-month PLN WIBOR
(pays semi-annually)
   2.35%
(pays annually)
     11/19/22        359,382             359,382  
PLN  25,000      Pays    6-month PLN WIBOR
(pays semi-annually)
   2.43%
(pays annually)
     6/8/23        227,591             227,591  
PLN  20,000      Pays    6-month PLN WIBOR
(pays semi-annually)
   2.04%
(pays annually)
     1/31/24        196,557             196,557  
PLN  16,000      Pays    6-month PLN WIBOR
(pays semi-annually)
   2.01%
(pays annually)
     2/11/24        150,843             150,843  
PLN  13,000      Pays    6-month PLN WIBOR
(pays semi-annually)
  

2.05%

(pays annually)

     2/28/24        124,525             124,525  
PLN  15,522      Pays    6-month PLN WIBOR
(pays semi-annually)
   2.01%
(pays annually)
     3/13/24        142,100             142,100  
PLN  18,000      Pays   

6-month PLN WIBOR

(pays semi-annually)

   1.99%
(pays annually)
     5/30/24        146,206             146,206  
PLN  37,000      Pays    6-month PLN WIBOR
(pays semi-annually)
   1.79%
(pays annually)
     7/5/24        226,080             226,080  
PLN  27,850      Pays    6-month PLN WIBOR
(pays semi-annually)
   1.76%
(pays annually)
     8/6/24        280,628             280,628  
PLN  12,200      Pays    6-month PLN WIBOR
(pays semi-annually)
  

1.66%

(pays annually)

     10/2/24        100,902             100,902  
PLN  11,400      Pays    6-month PLN WIBOR
(pays semi-annually)
   2.44%
(pays annually)
     10/28/24        182,998             182,998  
PLN  50,000      Pays    6-month PLN WIBOR
(pays semi-annually)
   1.97%
(pays annually)
     1/20/25        507,038             507,038  
PLN  37,000      Receives    6-month PLN WIBOR
(pays semi-annually)
   1.44%
(pays annually)
     3/17/25        (141,612           (141,612
PLN  10,800      Pays    6-month PLN WIBOR
(pays semi-annually)
   0.48%
(pays annually)
     8/7/25        (72,021           (72,021
PLN  11,000      Pays    6-month PLN WIBOR
(pays semi-annually)
   0.69%
(pays annually)
     8/26/25        (47,037           (47,037
PLN  42,000      Pays    6-month PLN WIBOR
(pays semi-annually)
   0.64%
(pays annually)
     1/25/26        (286,122           (286,122
PLN  29,000      Pays    6-month PLN WIBOR
(pays semi-annually)
   0.97%
(pays annually)
     2/23/26        (90,418           (90,418
PLN 75,000      Pays    6-month PLN WIBOR
(pays semi-annually)
   2.84%
(pays annually)
     1/10/28        1,914,866             1,914,866  
PLN 78,000      Receives    6-month PLN WIBOR
(pays semi-annually)
   0.93%
(pays annually)
     5/8/30        1,166,396             1,166,396  
PLN 40,200      Receives    6-month PLN WIBOR
(pays semi-annually)
  

2.02%

(pays annually)

     5/26/31        (345,106           (345,106

 

24

 

 


                                                                                                                                                                              
Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
     Value     Unamortized
Upfront
Receipts
(Payments)
     Unrealized
Appreciation
(Depreciation)
 
PLN  26,700      Pays    6-month PLN WIBOR
(pays semi-annually)
   1.74%
(pays annually)
     7/2/31      $ 33,739     $      $ 33,739  
THB  175,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   1.29%
(pays semi-annually)
     11/25/24        132,248              132,248  
THB  456,500      Pays    6-month THB Fixing Rate
(pays semi-annually)
   1.26%
(pays semi-annually)
     12/16/24        326,888              326,888  
THB  675,000    Pays    6-month THB Fixing Rate
(pays semi-annually)
   0.94%
(pays semi-annually)
     2/12/25        293,229              293,229  
THB  442,000    Pays    6-month THB Fixing Rate
(pays semi-annually)
   0.70%
(pays semi-annually)
     3/6/25        58,094              58,094  
THB  483,000      Receives    6-month THB Fixing Rate
(pays semi-annually)
   1.02%
(pays semi-annually)
     3/17/25        (249,381            (249,381
THB  290,000    Pays    6-month THB Fixing Rate
(pays semi-annually)
   0.80%
(pays semi-annually)
     6/16/25        52,208              52,208  
THB  180,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   0.82%
(pays semi-annually)
     9/11/25        41,534              41,534  
THB  373,500      Pays    6-month THB Fixing Rate
(pays semi-annually)
   0.79%
(pays semi-annually)
     12/4/25        39,737              39,737  
THB  635,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   0.69%
(pays semi-annually)
     12/22/25        (21,254            (21,254
THB  400,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   0.72%
(pays semi-annually)
     1/25/26        (7,098            (7,098
THB  291,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
  

0.90%

(pays semi-annually)

     2/23/26        81,687              81,687  
THB  429,400      Pays    6-month THB Fixing Rate
(pays semi-annually)
  

1.07%

(pays semi-annually)

     4/12/26        222,635              222,635  
THB  449,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   0.98%
(pays semi-annually)
     5/5/26        153,842       231        154,073  
THB  550,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   1.03%
(pays semi-annually)
     6/8/26        213,629              213,629  
THB  370,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   0.98%
(pays semi-annually)
     6/21/26        112,225              112,225  
THB  398,453      Receives    6-month THB Fixing Rate
(pays semi-annually)
   1.19%
(pays semi-annually)
     2/23/28        (191,611            (191,611
THB  398,453      Receives    6-month THB Fixing Rate
(pays semi-annually)
   1.19%
(pays semi-annually)
     2/23/28        (191,611            (191,611

 

25

 

 


                                                                                                                                                                              
Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
    

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
     Value     Unamortized
Upfront
Receipts
(Payments)
    Unrealized
Appreciation
(Depreciation)
 
THB  224,967        Receives      6-month THB Fixing Rate
(pays semi-annually)
   1.32%
(pays semi-annually)
     2/25/28      $ (167,172   $     $ (167,172
THB  199,227        Receives      6-month THB Fixing Rate
(pays semi-annually)
   1.34%
(pays semi-annually)
     2/25/28        (156,453           (156,453
USD  21,400        Receives      3-month USD-LIBOR
(pays quarterly)
   0.93%
(pays semi-annually)
     1/6/31        558,962             558,962  
ZAR  55,027        Pays      3-month ZAR JIBAR
(pays quarterly)
   6.64%
(pays quarterly)
     2/14/25        202,003             202,003  
ZAR  256,793        Pays      3-month ZAR JIBAR
(pays quarterly)
  

6.65%

(pays quarterly)

     2/14/25        945,720             945,720  
ZAR  244,000        Receives      3-month ZAR JIBAR
(pays quarterly)
   7.04%
(pays quarterly)
     3/12/25        (1,092,373           (1,092,373
ZAR  65,700        Receives      3-month ZAR JIBAR
(pays quarterly)
   6.91%
(pays quarterly)
     3/13/25        (272,404           (272,404
ZAR  148,340        Pays      3-month ZAR JIBAR
(pays quarterly)
   5.40%
(pays quarterly)
     6/11/25        60,264             60,264  
ZAR  50,000        Pays      3-month ZAR JIBAR
(pays quarterly)
  

4.97%

(pays quarterly)

     8/24/25        (42,766     97       (42,669
ZAR  192,000        Pays      3-month ZAR JIBAR
(pays quarterly)
   5.56%
(pays quarterly)
     2/19/26        41,677       624       42,301  
ZAR  68,770        Pays      3-month ZAR JIBAR
(pays quarterly)
   8.79%
(pays quarterly)
     3/18/26        644,832             644,832  
ZAR  207,000        Pays      3-month ZAR JIBAR
(pays quarterly)
   5.96%
(pays quarterly)
     5/20/26        243,727       891       244,618  
ZAR  132,000        Pays      3-month ZAR JIBAR
(pays quarterly)
   5.74%
(pays quarterly)
     7/29/26        4,167       511       4,678  
              

 

 

   

 

 

   

 

 

 
  Total                  $ 5,465,675     $ (304,819   $ 5,160,856  
              

 

 

   

 

 

   

 

 

 

 

26

 

 


Interest Rate Swaps

 

Counterparty

   Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating

Rate

   Annual
Fixed Rate
  Termination
Date
     Value/Unrealized
Appreciation
(Depreciation)
 
Bank of America, N.A.    BRL     12,953      Pays    Brazil CETIP Interbank Deposit Rate
(pays upon termination)
   13.10%

(pays upon
termination)

    1/2/23      $ 2,127,682  
Bank of America, N.A.    MYR     36,600      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.50%

(pays quarterly)

    7/19/26        (1,884
Bank of America, N.A.    RUB     1,085,000      Pays   

3-month Moscow Prime Offered Rate

(pays quarterly)

   6.20%

(pays annually)

    3/4/25        (184,100
Bank of America, N.A.    RUB     606,000      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   5.20%

(pays annually)

    8/6/25        (231,499
Bank of America, N.A.    THB     400,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   1.91%

(pays semi-annually)

    11/2/22        288,520  
Bank of America, N.A.    THB     230,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   1.90%

(pays semi-annually)

    12/8/22        165,436  
BNP Paribas    MYR     33,200      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.52%

(pays quarterly)

    7/16/26        3,075  
BNP Paribas    MYR     33,300      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.52%

(pays quarterly)

    7/16/26        3,086  
BNP Paribas    MYR     73,000      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.47%

(pays quarterly)

    7/26/26        (39,356
Citibank, N.A.    MYR     5,500      Pays    3-month MYR KLIBOR
(pays quarterly)
   3.88%

(pays quarterly)

    8/1/23        51,622  
Citibank, N.A.    MYR     40,000      Pays    3-month MYR KLIBOR
(pays quarterly)
   3.37%

(pays quarterly)

    5/29/24        310,694  
Citibank, N.A.    RUB     768,000      Receives    3-month Moscow Prime Offered Rate
(pays quarterly)
   8.65%

(pays annually)

    3/13/25        (762,207
Citibank, N.A.    THB     490,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   2.03%

(pays semi-annually)

    4/24/22        236,143  
Citibank, N.A.    THB     260,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   1.79%

(pays semi-annually)

    8/10/22        177,820  
Citibank, N.A.    THB     330,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   1.87%

(pays semi-annually)

    3/27/23        308,038  
Citibank, N.A.    THB     250,000      Pays    6-month THB Fixing Rate
(pays semi-annually)
   2.22%

(pays semi-annually)

    10/25/23        340,070  
Citibank, N.A.    THB     87,340      Pays    6-month THB Fixing Rate
(pays semi-annually)
   1.96%

(pays semi-annually)

    3/18/24        119,425  

 

27

 

 


Counterparty

   Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating

Rate

   Annual
Fixed Rate
  Termination
Date
     Value/Unrealized
Appreciation
(Depreciation)
 
Credit Suisse International    RUB     51,950      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   7.85%
(pays annually)
    5/23/22      $ 4,822  
Credit Suisse International    RUB     275,000      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   7.85%

(pays annually)

    11/1/22        177,197  
Credit Suisse International    RUB     230,200      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   7.66%

(pays annually)

    8/1/24        227,520  
Deutsche Bank AG    BRL     1,970      Pays    Brazil CETIP Interbank Deposit Rate
(pays upon termination)
   12.98%

(pays upon
termination)

    1/2/23        315,041  
Deutsche Bank AG    THB     324,320      Pays    6-month THB Fixing Rate
(pays semi-annually)
   2.13%

(pays semi-annually)

    11/19/23        414,333  
Goldman Sachs International    MYR     26,400      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.52%

(pays quarterly)

    7/16/26        3,952  
Goldman Sachs International    MYR     8,000      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.50%

(pays quarterly)

    7/19/26        (1,233
Goldman Sachs International    RUB     1,487,640      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   6.67%

(pays annually)

    11/20/24        410,186  
Goldman Sachs International    RUB     1,543,910      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   6.67%

(pays annually)

    11/20/24        425,701  
Goldman Sachs International    RUB     252,000      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   5.27%

(pays annually)

    6/17/25        (210,535
Goldman Sachs International    RUB     430,000      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   5.14%

(pays annually)

    7/24/25        (386,511
Goldman Sachs International    RUB     320,000      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   5.50%

(pays annually)

    8/25/25        (63,350
Goldman Sachs International    RUB     1,700,000      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   5.64%

(pays annually)

    12/21/25        (584,550
Goldman Sachs International    RUB     400,000      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   6.53%

(pays annually)

    3/12/26        (13,829
Goldman Sachs International    RUB     1,174,000      Pays    3-month Moscow Prime Offered Rate
(pays quarterly)
   7.17%

(pays annually)

    5/5/26        132,229  
JPMorgan Chase Bank, N.A.    MYR     11,300      Pays    3-month MYR KLIBOR
(pays quarterly)
   3.88%

(pays quarterly)

    8/1/23        106,061  

 

28

 

 


Counterparty

   Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating

Rate

   Annual
Fixed Rate
  Termination
Date
     Value/Unrealized
Appreciation
(Depreciation)
 
JPMorgan Chase Bank, N.A.    MYR     5,810      Pays    3-month MYR KLIBOR
(pays quarterly)
   3.89%

(pays quarterly)

    8/14/23      $ 54,326  
JPMorgan Chase Bank, N.A.    MYR     5,815      Pays    3-month MYR KLIBOR
(pays quarterly)
   3.89%

(pays quarterly)

    8/14/23        54,373  
JPMorgan Chase Bank, N.A.    MYR     14,500      Pays   

3-month MYR KLIBOR

(pays quarterly)

   3.86%

(pays quarterly)

    9/4/23        132,172  
JPMorgan Chase Bank, N.A.    MYR     11,600      Pays   

3-month MYR KLIBOR

(pays quarterly)

   3.89%

(pays quarterly)

    9/5/23        107,369  
JPMorgan Chase Bank, N.A.    MYR     57,300      Pays   

3-month MYR KLIBOR

(pays quarterly)

   2.67%

(pays quarterly)

    5/20/26        124,514  
JPMorgan Chase Bank, N.A.    MYR     61,000      Pays   

3-month MYR KLIBOR

(pays quarterly)

   2.59%

(pays quarterly)

    7/1/26        63,336  
JPMorgan Chase Bank, N.A.    RUB     565,000      Pays   

3-month Moscow Prime Offered Rate

(pays quarterly)

   7.78%

(pays annually)

    8/6/24        594,557  
JPMorgan Chase Bank, N.A.    RUB     401,200      Pays   

3-month Moscow Prime Offered Rate

(pays quarterly)

   7.20%

(pays annually)

    10/1/24        298,316  
JPMorgan Chase Bank, N.A.    RUB     802,200      Pays   

3-month Moscow Prime Offered Rate

(pays quarterly)

   5.55%

(pays annually)

    12/3/25        (311,778
JPMorgan Chase Bank, N.A.    RUB     775,000      Pays   

3-month Moscow Prime Offered Rate

(pays quarterly)

   6.27%

(pays annually)

    2/24/26        (147,505
JPMorgan Chase Bank, N.A.    RUB     1,000,000      Pays   

3-month Moscow Prime Offered Rate

(pays quarterly)

   7.27%

(pays annually)

    6/4/26        162,665  
Nomura International PLC    BRL     2,006      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

   12.90%

(pays upon
termination)

    1/2/23        314,386  
Nomura International PLC    BRL     4,440      Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

   12.83%

(pays upon
termination)

    1/2/23        684,102  
Nomura International PLC    MYR     4,070      Pays   

3-month MYR KLIBOR

(pays quarterly)

   4.19%

(pays quarterly)

    10/24/24        57,064  
Standard Chartered Bank    MYR     5,800      Pays   

3-month MYR KLIBOR

(pays quarterly)

   3.88%

(pays quarterly)

    7/23/23        47,912  
Standard Chartered Bank    MYR     5,900      Pays   

3-month MYR KLIBOR

(pays quarterly)

   3.88%

(pays quarterly)

    9/4/23        54,324  
Standard Chartered Bank    MYR     59,200      Pays   

3-month MYR KLIBOR

(pays quarterly)

   2.53%

(pays quarterly)

    7/16/26        15,610  
Standard Chartered Bank    MYR     26,300      Pays   

3-month MYR KLIBOR

(pays quarterly)

   2.49%

(pays quarterly)

    7/19/26        (5,552
Standard Chartered Bank    THB     650,000      Pays   

6-month THB Fixing Rate

(pays semi-annually)

   2.15%

(pays semi-annually)

    8/20/23        870,038  
                  

 

 

 
   $ 7,039,828  
                  

 

 

 

 

29

 

 


Centrally Cleared Credit Default Swaps — Sell Protection

 

                                                                                                                                                                              

Reference Entity

   Notional
Amount*
(000’s omitted)
     Contract
Annual
Fixed Rate**
  Termination
Date
     Current
Market
Annual
Fixed
Rate***
    Value     Unamortized
Upfront
Receipts
(Payments)
     Unrealized
Appreciation
(Depreciation)
 

Turkey

   $ 1,874      1.00%

(pays quarterly)(1)

    6/20/22        2.56   $ (23,885   $ 37,996      $ 14,111  
  

 

 

           

 

 

   

 

 

    

 

 

 

Total

   $ 1,874        $ (23,885   $ 37,996      $ 14,111  
  

 

 

           

 

 

   

 

 

    

 

 

 

Centrally Cleared Credit Default Swaps — Buy Protection

 

                                                                                                                                                     

Reference Entity

   Notional
Amount
(000’s omitted)
     Contract
Annual
Fixed Rate**
  Termination
Date
     Value      Unamortized
Upfront
Receipts
(Payments)
    Unrealized
Appreciation
(Depreciation)
 

Markit CDX Emerging Markets Index (CDX.EM.31.V2)

   $ 94      1.00%

(pays quarterly)(1)

    6/20/24      $ 3      $ (1,589   $ (1,586
          

 

 

    

 

 

   

 

 

 

Total

         $ 3      $ (1,589   $ (1,586
          

 

 

    

 

 

   

 

 

 

Credit Default Swaps — Sell Protection

 

Reference Entity

  

Counterparty

   

Notional

Amount*

(000’s omitted)

 

 

 

   

Contract

Annual

Fixed Rate**

 

 

 

   

Termination

Date

 

 

   

Current

Market

Annual

Fixed

Rate***

 

 

 

 

 

    Value      

Unamortized

Upfront

Receipts

(Payments)

 

 

 

 

   

Unrealized

Appreciation

(Depreciation)

 

 

 

Bahamas

   Deutsche Bank AG   $ 1,600      

1.00%

(pays quarterly)(1)

 

 

    6/20/22       3.80   $ (37,714   $ 25,450     $ (12,264
    

 

 

         

 

 

   

 

 

   

 

 

 

Total

     $ 1,600           $ (37,714   $ 25,450     $ (12,264
    

 

 

         

 

 

   

 

 

   

 

 

 

 

*

If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At July 31, 2021, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $3,474,000.

 

**

The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract.

 

***

Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity.

 

(1)

Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

 

30

 

 


Cross-Currency Swaps

 

                                                                                                   

Counterparty

  

Portfolio

Receives

  

Portfolio

Pays

   Termination
Date
     Value/
Unrealized

Appreciation
(Depreciation)
 
Bank of America, N.A.    1-day Indice Camara Promedio Rate on CLP 810,021,438 (pays semi-annually)*    (0.20)% on CLP equivalent of CLF 27,782 (pays semi-annually)*      2/10/31      $ 106,464  
Citibank, N.A.    1-day Indice Camara Promedio Rate on CLP 731,637,500 (pays semi-annually)*    (0.07)% on CLP equivalent of CLF 25,000 (pays semi-annually)*      2/25/31        86,913  
Goldman Sachs International    9.56% on TRY 16,903,000 (pays annually) plus USD 5,549,245**    3-month USD-LIBOR on USD 5,549,245 (pays quarterly) plus TRY 16,903,000**      7/28/23        (3,845,420
Goldman Sachs International    9.51% on TRY 43,482,000 (pays annually) plus USD 14,326,853**    3-month USD-LIBOR on USD 14,326,853 (pays quarterly) plus TRY 43,482,000**      7/29/23        (9,951,711
Goldman Sachs International    1-day Indice Camara Promedio Rate on CLP 1,518,667,068 (pays semi-annually)*    (0.25)% on CLP equivalent of CLF 52,100 (pays semi-annually)*      2/9/31        208,802  
Goldman Sachs International    1-day Indice Camara Promedio Rate on CLP 766,128,035 (pays semi-annually)*    (0.24)% on CLP equivalent of CLF 26,270 (pays semi-annually)*      2/11/31        105,048  
Goldman Sachs International    1-day Indice Camara Promedio Rate on CLP 766,347,926 (pays semi-annually)*    (0.27)% on CLP equivalent of CLF 26,271 (pays semi-annually)*      2/12/31        108,410  
Goldman Sachs International    1-day Indice Camara Promedio Rate on CLP 373,122,363 (pays semi-annually)*    (0.32)% on CLP equivalent of CLF 12,775 (pays semi-annually)*      2/17/31        55,898  
Goldman Sachs International    1-day Indice Camara Promedio Rate on CLP 1,463,251,912 (pays semi-annually)*    (0.15)% on CLP equivalent of CLF 50,074 (pays semi-annually)*      2/19/31        187,717  
JPMorgan Chase Bank, N.A.    18.56% on TRY 125,287,000 (pays annually) plus USD 17,791,394**    3-month USD-LIBOR on USD 17,791,394 (pays quarterly) plus TRY 125,287,000**      8/7/22        (130,801
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 446,062,846 (pays semi-annually)*    (0.23)% on CLP equivalent of CLF 15,299 (pays semi-annually)*      2/10/31        60,114  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 446,174,069 (pays semi-annually)*    (0.20)% on CLP equivalent of CLF 15,299 (pays semi-annually)*      2/11/31        58,800  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 446,174,069 (pays semi-annually)*    (0.22)% on CLP equivalent of CLF 15,299 (pays semi-annually)*      2/11/31        59,691  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 892,318,975 (pays semi-annually)*    (0.22)% on CLP equivalent of CLF 30,597 (pays semi-annually)*      2/11/31        119,973  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 892,318,975 (pays semi-annually)*    (0.23)% on CLP equivalent of CLF 30,597 (pays semi-annually)*      2/11/31        121,162  

 

31

 

 


                                                                                                   

Counterparty

  

Portfolio

Receives

  

Portfolio

Pays

   Termination
Date
     Value/
Unrealized

Appreciation
(Depreciation)
 

The Bank of Nova Scotia

  

1-day Indice Camara Promedio

Rate on CLP 711,127,469 (pays
semi-annually)*

   (0.30)% on CLP equivalent of CLF 24,378 (pays semi-annually)*      2/12/31      $ 103,440  

The Bank of Nova Scotia

   1-day Indice Camara Promedio
Rate on CLP 670,247,514 (pays
semi-annually)*
   (0.31)% on CLP equivalent of CLF 22,948 (pays semi-annually)*      2/16/31        99,535  

The Bank of Nova Scotia

   1-day Indice Camara Promedio Rate on CLP 446,841,412 (pays semi-annually)*    (0.34)% on CLP equivalent of CLF 15,299 (pays semi-annually)*      2/16/31        68,142  

The Bank of Nova Scotia

   1-day Indice Camara Promedio
Rate on CLP 450,575,388 (pays
semi-annually)*
   (0.21)% on CLP equivalent of CLF 15,423 (pays semi-annually)*      2/18/31        60,790  

The Bank of Nova Scotia

   1-day Indice Camara Promedio
Rate on CLP 450,687,667 (pays
semi-annually)*
   (0.16)% on CLP equivalent of CLF 15,423 (pays semi-annually)*      2/19/31        57,968  
           

 

 

 
   $ (12,259,065
           

 

 

 

 

*

At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date.

 

**

The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered.

Currency Abbreviations:

 

BAM

  -   Bosnia-Herzegovina Convertible Mark

BRL

  -   Brazilian Real

CLF

  -   Chilean Unidad de Fomento

CLP

  -   Chilean Peso

CNH

  -   Yuan Renminbi Offshore

CNY

  -   Yuan Renminbi

COP

  -   Colombian Peso

CRC

  -   Costa Rican Colon

CZK

  -   Czech Koruna

DOP

  -   Dominican Peso

EGP

  -   Egyptian Pound

EUR

  -   Euro

GEL

  -   Georgian Lari

HUF

  -   Hungarian Forint

IDR

  -   Indonesian Rupiah

KES

  -   Kenyan Shilling

KRW

  -   South Korean Won

MXN

  -   Mexican Peso

MYR

  -   Malaysian Ringgit

PEN

  -   Peruvian Sol

PHP

  -   Philippine Peso

PLN

  -   Polish Zloty

RON

  -   Romanian Leu

RSD

  -   Serbian Dinar

RUB

  -   Russian Ruble

THB

  -   Thai Baht

TRY

  -   New Turkish Lira

UAH

  -   Ukrainian Hryvnia

UGX

  -   Ugandan Shilling

USD

  -   United States Dollar

UYU

  -   Uruguayan Peso

UZS

  -   Uzbekistani Som

ZAR

  -   South African Rand
 

 

32

 

 


In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:

Credit Risk: The Portfolio enters into credit default swap contracts to enhance total return and/or as a substitute for the purchase or sale of securities.

Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, currency options and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.

Interest Rate Risk: The Portfolio utilizes various interest rate derivatives, including non-deliverable bond forward contracts, interest rate futures contracts, interest rate swaps and swaptions and cross-currency swaps, to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.

At July 31, 2021, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.

At July 31, 2021, the value of the Portfolio’s investment in affiliated funds was $102,001,500, which represents 5.6% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the fiscal year to date ended July 31, 2021 were as follows:

 

                                                                                                                                                                                                       

Name of

affiliated fund

   Value,
beginning of
period
     Purchases      Sales
proceeds
    Net
realized
gain (loss)
    Change in
unrealized
appreciation
(depreciation)
     Value, end of
period
     Dividend
income
     Units, end
of period
 
                                                       

Short-Term Investments

 

Eaton Vance Cash Reserves Fund, LLC

   $     160,245,815      $     1,033,928,366      $     (1,092,170,315   $     (2,366   $      $ 102,001,500      $     134,859        102,001,500  

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

 

 

Level 1 — quoted prices in active markets for identical investments

 

 

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

 

Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At July 31, 2021, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:

 

Asset Description    Level 1      Level 2      Level 3      Total  

Foreign Corporate Bonds

   $      $ 29,639,211      $      $ 29,639,211  

Loan Participation Notes

                   39,786,987        39,786,987  

Sovereign Government Bonds

            1,268,730,906               1,268,730,906  

Short-Term Investments -

           

Affiliated Fund

            102,001,500               102,001,500  

Sovereign Government Securities

            145,073,017               145,073,017  

U.S. Treasury Obligations

            102,646,895               102,646,895  

Purchased Interest Rate Swaptions

            307,452               307,452  

Total Investments

   $      $ 1,648,398,981      $ 39,786,987      $ 1,688,185,968  

Forward Foreign Currency Exchange Contracts

   $      $ 22,242,586      $      $ 22,242,586  

Non-deliverable Bond Forward Contracts

            519,623               519,623  

Swap Contracts

            38,858,582               38,858,582  

Total

   $     —      $     1,710,019,772      $     39,786,987      $     1,749,806,759  
Liability Description                                

Forward Foreign Currency Exchange Contracts

   $      $ (38,564,557    $      $ (38,564,557

Non-deliverable Bond Forward Contracts

            (636,691             (636,691

Futures Contracts

     (497,313                    (497,313

Swap Contracts

            (38,673,740             (38,673,740

Total

   $     (497,313    $     (77,874,988    $      $     (78,372,301

 

33

 

 


The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

 

     Investments in
Loan Participation Notes
     Total  

Balance as of October 31, 2020

   $ 34,155,753      $ 34,155,753  

Realized gains (losses)

             

Change in net unrealized appreciation (depreciation)

     (1,647,854      (1,647,854

Cost of purchases

     7,454,458        7,454,458  

Proceeds from sales, including return of capital

             

Accrued discount (premium)

     (175,370      (175,370

Transfers to Level 3

             

Transfers from Level 3

             
  

 

 

    

 

 

 

Balance as of July 31, 2021

   $ 39,786,987      $ 39,786,987  
  

 

 

    

 

 

 

Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2021

   $ (1,647,854    $ (1,647,854
  

 

 

    

 

 

 

The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of July 31, 2021:

 

                                                                                                                            

Type of Investment

   Fair Value as
of July 31,
2021
     Valuation
Technique
    

Unobservable Input

   Input     Impact to
Valuation from an
Increase to Input*

Loan Participation Notes

   $ 39,786,987        Matrix Pricing      Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate      2.86   Decrease

 

*

Represents the directional change in the fair value of the Level 3 investments that would result in an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect.

For information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.

 

34

 

 



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