Eaton Vance
Short Duration Strategic Income Fund
July 31, 2021 (Unaudited)
Eaton Vance Short Duration Strategic Income Fund (the Fund), a non-diversified series of Eaton Vance Mutual Funds Trust, currently pursues its investment objective by investing substantially all of its investable assets in interests in one or more registered investment companies (each a Portfolio) managed by Eaton Vance Management or its affiliates and in shares of Eaton Vance Emerging Markets Debt Opportunities Fund (the Affiliated Investment Fund). The Fund owns a pro-rata interest in the net assets of each Portfolio in which it invests. At July 31, 2021, the Fund owned 6.9% of Emerging Markets Local Income Portfolio’s outstanding interests, 13.9% of Global Macro Absolute Return Advantage Portfolio’s outstanding interests, 98.3% of Global Opportunities Portfolio’s outstanding interests and 4.7% of Senior Debt Portfolio’s outstanding interests. The Fund’s Portfolio of Investments at July 31, 2021 is set forth below.
PORTFOLIO OF INVESTMENTS (Unaudited)
Investments in Affiliated Portfolios
Description | Value | % of Net Assets | ||||||||||
Emerging Markets Local Income Portfolio | $ | 125,159,951 | 4.5 | % | ||||||||
Global Macro Absolute Return Advantage Portfolio | 417,654,112 | 15.1 | ||||||||||
Global Opportunities Portfolio | 1,750,409,651 | 63.3 | ||||||||||
Senior Debt Portfolio | 362,569,867 | 13.1 | ||||||||||
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Total Investments in Affiliated Portfolios | $ | 2,655,793,581 | 96.0 | % | ||||||||
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Investments in Affiliated Investment Funds | ||||||||||||
Security | Shares | Value | % of Net Assets | |||||||||
Fixed Income Funds | ||||||||||||
Eaton Vance Emerging Markets Debt Opportunities Fund, Class R6 | 12,228,526 | $ | 108,222,458 | 3.9 | % | |||||||
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Total Investments in Affiliated Investment Funds |
| $ | 108,222,458 | 3.9 | % | |||||||
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Total Investments |
| $ | 2,764,016,039 | 99.9 | % | |||||||
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Other Assets, Less Liabilities |
| $ | 1,992,711 | 0.1 | % | |||||||
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Net Assets |
| $ | 2,766,008,750 | 100.0 | % | |||||||
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2
At July 31, 2021, the value of the Fund’s investment in affiliated funds was $108,222,458 which represents 3.9% of the Fund’s net assets. Transactions in affiliated funds by the Fund 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 | Shares, end of period | ||||||||||||||||||||||||
Eaton Vance Emerging Markets Debt Opportunities Fund, Class R6 | $ | 56,465,297 | $ | 52,030,148 | $ | — | $ | — | $ | (272,987 | ) | $ | 108,222,458 | $ | 4,783,369 | 12,228,526 |
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 Fund’s investments in securities and investments in the Portfolios, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Affiliated Portfolios | $ | 2,655,793,581 | $ | — | $ | — | $ | 2,655,793,581 | ||||||||
Investments in Affiliated Investment Funds | 108,222,458 | — | — | 108,222,458 | ||||||||||||
Total Investments | $ | 2,764,016,039 | $ | — | $ | — | $ | 2,764,016,039 |
For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
The Global Opportunities Portfolio’s Portfolio of Investments is set forth below. A copy of each of the other Portfolio’s and Affiliated Investment Fund’s Part F to Form N-PORT (containing a Portfolio of Investments) at July 31, 2021 is available by calling Eaton Vance at 1-800-262-1122 or in EDGAR database on the Securities and Exchange Commission’s website at www.sec.gov.
3
Global Opportunities Portfolio
July 31, 2021
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
Asset-Backed Securities — 10.0%
Security | Principal Amount | Value | ||||||
Alinea CLO, Ltd., Series 2018-1A, Class E, 6.134%, (3 mo. USD LIBOR + 6.00%), 7/20/31(1)(2) | $ | 2,000,000 | $ | 1,976,906 | ||||
Allegany Park CLO, Ltd., Series 2019-1A, Class D, 3.834%, (3 mo. USD LIBOR + 3.70%), 1/20/33(1)(2) | 1,700,000 | 1,709,348 | ||||||
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 7.036%, (3 mo. USD LIBOR + 6.91%), 1/15/32(1)(2) | 3,000,000 | 2,957,628 | ||||||
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 6.342%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2) | 2,000,000 | 1,875,238 | ||||||
Arch Street CLO, Ltd., Series 2016-2A, Class AR2, 1.134%, (3 mo. USD LIBOR + 1.00%), 10/20/28(1)(2) | 8,125,278 | 8,125,270 | ||||||
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class D, 6.006%, (3 mo. USD LIBOR + 5.85%), 5/15/30(1)(2) | 4,000,000 | 3,926,784 | ||||||
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 5.826%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 3,000,000 | 2,929,137 | ||||||
Bain Capital Credit CLO, Ltd., Series 2018-1A, Class E, 5.488%, (3 mo. USD LIBOR + 5.35%), 4/23/31(1)(2) | 3,500,000 | 3,283,843 | ||||||
Barings CLO, Ltd., Series 2018-1A, Class D, 5.626%, (3 mo. USD LIBOR + 5.50%), 4/15/31(1)(2) | 5,000,000 | 4,791,775 | ||||||
Benefit Street Partners CLO V-B, Ltd., Series 2018-5BA, Class D, 6.084%, (3 mo. USD LIBOR + 5.95%), 4/20/31(1)(2) | 3,000,000 | 2,819,721 | ||||||
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 5.734%, (3 mo. USD LIBOR + 5.60%), 1/20/31(1)(2) | 5,000,000 | 4,623,755 | ||||||
Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class E, 5.484%, (3 mo. USD LIBOR + 5.35%), 4/20/31(1)(2) | 3,000,000 | 2,835,930 | ||||||
Benefit Street Partners CLO XVI, Ltd.: |
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Series 2018-16A, Class DR, 3.134%, (3 mo. USD LIBOR + 3.00%), 1/17/32(1)(2) | 2,000,000 | 2,002,334 | ||||||
Series 2018-16A, Class E, 6.834%, (3 mo. USD LIBOR + 6.70%), 1/17/32(1)(2) | 2,000,000 | 1,993,886 | ||||||
Benefit Street Partners CLO XVII, Ltd.: |
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Series 2019-17A, Class DR, (3 mo. USD LIBOR + 3.35%), 7/15/32(1)(3) | 1,500,000 | 1,501,557 | ||||||
Series 2019-17A, Class ER, (3 mo. USD LIBOR + 6.35%), 7/15/32(1)(3) | 750,000 | 750,617 | ||||||
Betony CLO 2, Ltd., Series 2018-1A, Class D, 5.779%, (3 mo. USD LIBOR + 5.65%), 4/30/31(1)(2) | 3,000,000 | 2,848,779 | ||||||
BlueMountain CLO, Ltd.: |
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Series 2015-3A, Class DR, 5.534%, (3 mo. USD LIBOR + 5.40%), 4/20/31(1)(2) | 2,000,000 | 1,828,872 | ||||||
Series 2016-3A, Class ER, 6.106%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2) | 1,000,000 | 939,745 | ||||||
Series 2018-1A, Class E, 6.079%, (3 mo. USD LIBOR + 5.95%), 7/30/30(1)(2) | 750,000 | 699,415 | ||||||
Canyon Capital CLO, Ltd.: |
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Series 2016-1A, Class ER, 5.876%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 4,000,000 | 3,844,728 | ||||||
Series 2016-2A, Class ER, 6.126%, (3 mo. USD LIBOR + 6.00%), 10/15/31(1)(2) | 1,000,000 | 949,967 | ||||||
Series 2017-1A, Class E, 6.376%, (3 mo. USD LIBOR + 6.25%), 7/15/30(1)(2) | 1,000,000 | 982,156 | ||||||
Series 2018-1A, Class E, 5.876%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2) | 2,000,000 | 1,927,252 | ||||||
Carlyle Global Market Strategies CLO, Ltd.: |
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Series 2012-3A, Class DR2, 6.633%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2) | 1,000,000 | 945,785 | ||||||
Series 2014-3RA, Class D, 5.529%, (3 mo. USD LIBOR + 5.40%), 7/27/31(1)(2) | 2,000,000 | 1,887,378 | ||||||
Series 2014-4RA, Class D, 5.776%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2) | 3,000,000 | 2,712,858 |
1
Security | Principal Amount | Value | ||||||
Series 2015-5A, Class DR, 6.834%, (3 mo. USD LIBOR + 6.70%), 1/20/32(1)(2) | $ | 3,500,000 | $ | 3,331,699 | ||||
Series C17A, Class DR, 6.129%, (3 mo. USD LIBOR + 6.00%), 4/30/31(1)(2) | 3,000,000 | 2,864,640 | ||||||
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 6.738%, (3 mo. USD LIBOR + 6.60%), 7/20/34(1)(2) | 1,000,000 | 992,225 | ||||||
CIFC Funding 2017-III, Ltd., Series 2017-3A, Class A1, 1.354%, (3 mo. USD LIBOR + 1.22%), 7/20/30(1)(2) | 1,125,000 | 1,126,167 | ||||||
Crown City CLO III, Series 2021-1A, Class C, 3.424%, (3 mo. USD LIBOR + 3.30%), 7/20/34(1)(2) | 1,000,000 | 1,000,894 | ||||||
Dryden CLO, Ltd., Series 2018-55A, Class E, 5.526%, (3 mo. USD LIBOR + 5.40%), 4/15/31(1)(2) | 1,000,000 | 973,912 | ||||||
Dryden Senior Loan Fund, Series 2016-42A, Class ER, 5.676%, (3 mo. USD LIBOR + 5.55%), 7/15/30(1)(2) | 2,000,000 | 1,936,730 | ||||||
Galaxy XXI CLO, Ltd.: |
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Series 2015-21A, Class DR, 2.784%, (3 mo. USD LIBOR + 2.65%), 4/20/31(1)(2) | 5,000,000 | 4,932,705 | ||||||
Series 2015-21A, Class ER, 5.384%, (3 mo. USD LIBOR + 5.25%), 4/20/31(1)(2) | 4,000,000 | 3,813,832 | ||||||
Galaxy XXV CLO, Ltd., Series 2018-25A, Class E, 6.075%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 2,000,000 | 1,965,212 | ||||||
Golub Capital Partners CLO 22B, Ltd., Series 2015-22A, Class ER, 6.134%, (3 mo. USD LIBOR + 6.00%), 1/20/31(1)(2) | 3,000,000 | 2,851,446 | ||||||
Golub Capital Partners CLO 37B, Ltd., Series 2018-37A, Class E, 5.884%, (3 mo. USD LIBOR + 5.75%), 7/20/30(1)(2) | 3,000,000 | 2,745,156 | ||||||
Golub Capital Partners CLO 53B, Ltd.: |
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Series 2021-53A, Class D, 3.18%, (3 mo. USD LIBOR + 3.05%), 7/20/34(1)(2) | 2,000,000 | 1,999,874 | ||||||
Series 2021-53A, Class E, 6.83%, (3 mo. USD LIBOR + 6.70%), 7/20/34(1)(2) | 1,000,000 | 999,715 | ||||||
Golub Capital Partners CLO, Ltd., Series 2020-48A, Class D, 3.934%, (3 mo. USD LIBOR + 3.80%), 4/17/33(1)(2) | 3,000,000 | 3,003,825 | ||||||
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 6.534%, (3 mo. USD LIBOR + 6.40%), 4/20/34(1)(2) | 1,000,000 | 999,965 | ||||||
Highbridge Loan Management, Ltd., Series 3A-2014, Class DR, 6.634%, (3 mo. USD LIBOR + 6.50%), 7/18/29(1)(2) | 2,750,000 | 2,662,286 | ||||||
ICG US CLO, Ltd., Series 2018-2A, Class E, 5.888%, (3 mo. USD LIBOR + 5.75%), 7/22/31(1)(2) | 1,000,000 | 923,882 | ||||||
LCM XXV, Ltd., Series 25A, Class A, 1.344%, (3 mo. USD LIBOR + 1.21%), 7/20/30(1)(2) | 3,828,000 | 3,828,976 | ||||||
Madison Park Funding XVII, Ltd.: |
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Series 2015-17A, Class DR, 3.734%, (3 mo. USD LIBOR + 3.60%), 7/21/30(1)(2) | 3,500,000 | 3,506,051 | ||||||
Series 2015-17A, Class ER, 6.634%, (3 mo. USD LIBOR + 6.50%), 7/21/30(1)(2) | 2,500,000 | 2,491,050 | ||||||
Mountain View CLO, LLC, Series 2017-2A, Class AR, (3 mo. USD LIBOR + 1.04%), 1/16/31(1)(3) | 7,000,000 | 7,000,000 | ||||||
Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class ER, 6.194%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2) | 2,000,000 | 1,988,368 | ||||||
Neuberger Berman Loan Advisers CLO 30, Ltd., Series 2018-30A, Class ER, 6.334%, (3 mo. USD LIBOR + 6.20%), 1/20/31(1)(2) | 2,000,000 | 1,999,934 | ||||||
NRZ Excess Spread-Collateralized Notes, Series 2021-FNT1, Class A, 2.981%, 3/25/26(1) | 1,354,387 | 1,355,765 | ||||||
Palmer Square CLO, Ltd.: |
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Series 2013-2A, Class DRR, 5.984%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2) | 1,500,000 | 1,477,664 | ||||||
Series 2015-1A, Class DR4, 6.625%, (3 mo. USD LIBOR + 6.50%), 5/21/34(1)(2) | 2,000,000 | 1,997,806 | ||||||
Series 2018-1A, Class D, 5.284%, (3 mo. USD LIBOR + 5.15%), 4/18/31(1)(2) | 4,000,000 | 3,878,532 | ||||||
Series 2018-2A, Class D, 5.726%, (3 mo. USD LIBOR + 5.60%), 7/16/31(1)(2) | 2,500,000 | 2,458,558 | ||||||
Series 2021-2A, Class E, 6.456%, (3 mo. USD LIBOR + 6.35%), 7/15/34(1)(2) | 1,000,000 | 999,841 | ||||||
Pnmac Gmsr Issuer Trust: |
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Series 2018-GT1, Class A, 2.939%, (1 mo. USD LIBOR + 2.85%), 2/25/23(1)(2) | 5,000,000 | 5,028,790 | ||||||
Series 2018-GT2, Class A, 2.739%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(2) | 4,272,000 | 4,270,999 | ||||||
Regatta IX Funding, Ltd., Series 2017-1A, Class E, 6.134%, (3 mo. USD LIBOR + 6.00%), 4/17/30(1)(2) | 3,000,000 | 2,984,460 |
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Security | Principal Amount | Value | ||||||
Regatta XIII Funding, Ltd., Series 2018-2A, Class D, 6.076%, (3 mo. USD LIBOR + 5.95%), 7/15/31(1)(2) | $ | 3,000,000 | $ | 2,876,721 | ||||
Upland CLO, Ltd., Series 2016-1A, Class DR, 6.034%, (3 mo. USD LIBOR + 5.90%), 4/20/31(1)(2) | 2,000,000 | 1,924,710 | ||||||
Vibrant CLO IX, Ltd., Series 2018-9A, Class D, 6.384%, (3 mo. USD LIBOR + 6.25%), | 2,000,000 | 1,828,876 | ||||||
Voya CLO, Ltd.: |
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Series 2013-1A, Class DR, 6.606%, (3 mo. USD LIBOR + 6.48%), 10/15/30(1)(2) | 5,000,000 | 4,670,615 | ||||||
Series 2014-1A, Class DR2, 6.134%, (3 mo. USD LIBOR + 6.00%), 4/18/31(1)(2) | 2,000,000 | 1,847,314 | ||||||
Series 2015-3A, Class DR, 6.334%, (3 mo. USD LIBOR + 6.20%), 10/20/31(1)(2) | 2,000,000 | 1,796,966 | ||||||
Series 2017-4A, Class A1, 1.256%, (3 mo. USD LIBOR + 1.13%), 10/15/30(1)(2) | 5,087,000 | 5,092,407 | ||||||
Series 2018-2A, Class E, 5.376%, (3 mo. USD LIBOR + 5.25%), 7/15/31(1)(2) | 1,000,000 | 955,741 | ||||||
Wellfleet CLO, Ltd.: |
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Series 2016-2A, Class A1R, 1.274%, (3 mo. USD LIBOR + 1.14%), 10/20/28(1)(2) | 4,323,696 | 4,330,277 | ||||||
Series 2021-2A, Class E, (3 mo. USD LIBOR + 6.96%), 7/15/34(1)(3) | 1,000,000 | 980,000 | ||||||
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Total Asset-Backed Securities |
| $ | 178,365,250 | |||||
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Closed-End Funds — 0.7% |
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Security | Shares | Value | ||||||
BlackRock Multi-Sector Income Trust | 156,650 | $ | 2,898,025 | |||||
Nuveen Global High Income Fund | 83,400 | 1,340,238 | ||||||
PGIM Global High Yield Fund, Inc. | 430,326 | 6,708,783 | ||||||
Western Asset High Income Opportunity Fund, Inc. | 383,997 | 2,012,144 | ||||||
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Total Closed-End Funds |
| $ | 12,959,190 | |||||
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Collateralized Mortgage Obligations — 6.8% |
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Security | Principal Amount | Value | ||||||
Federal Home Loan Mortgage Corp.: |
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Series 2182, Class ZC, 7.50%, 9/15/29 | $ | 76,894 | $ | 87,830 | ||||
Series 4273, Class SP, 11.733%, (12.00% - 1 mo. USD LIBOR x 2.67), 11/15/43(4) | 516,145 | 770,840 | ||||||
Series 4637, Class CU, 3.00%, 8/15/44 | 1,358,431 | 1,368,341 | ||||||
Series 5071, Class SP, 3.274%, (3.30% - 30-day average SOFR), 2/25/51(4) | 4,776,170 | 4,856,895 | ||||||
Series 5083, Class SK, 3.832%, (3.867% - 30-day average SOFR x 1.33), 3/25/51(4) | 4,805,126 | 4,856,077 | ||||||
Series 5144, Class Z, 2.50%, 9/25/51(3) | 10,000,000 | 9,972,210 | ||||||
Interest Only:(5) | ||||||||
Series 2631, Class DS, 7.007%, (7.10% - 1 mo. USD LIBOR), 6/15/33(4) | 1,183,636 | 165,385 | ||||||
Series 2953, Class LS, 6.607%, (6.70% - 1 mo. USD LIBOR), 12/15/34(4) | 527,867 | 21,436 | ||||||
Series 2956, Class SL, 6.907%, (7.00% - 1 mo. USD LIBOR), 6/15/32(4) | 759,081 | 168,424 | ||||||
Series 3114, Class TS, 6.557%, (6.65% - 1 mo. USD LIBOR), 9/15/30(4) | 2,338,603 | 325,858 | ||||||
Series 3153, Class JI, 6.527%, (6.62% - 1 mo. USD LIBOR), 5/15/36(4) | 1,862,686 | 371,335 | ||||||
Series 4007, Class JI, 4.00%, 2/15/42 | 926,405 | 105,423 | ||||||
Series 4050, Class IB, 3.50%, 5/15/41 | 1,428,404 | 12,404 |
3
Security | Principal Amount | Value | ||||||
Series 4067, Class JI, 3.50%, 6/15/27 | $ | 3,827,886 | $ | 309,712 | ||||
Series 4070, Class S, 6.007%, (6.10% - 1 mo. USD LIBOR), 6/15/32(4) | 7,808,698 | 1,455,913 | ||||||
Series 4095, Class HS, 6.007%, (6.10% - 1 mo. USD LIBOR), 7/15/32(4) | 2,110,012 | 313,319 | ||||||
Series 4109, Class ES, 6.057%, (6.15% - 1 mo. USD LIBOR), 12/15/41(4) | 82,796 | 20,438 | ||||||
Series 4109, Class SA, 6.107%, (6.20% - 1 mo. USD LIBOR), 9/15/32(4) | 3,321,099 | 620,685 | ||||||
Series 4149, Class S, 6.157%, (6.25% - 1 mo. USD LIBOR), 1/15/33(4) | 2,423,855 | 471,371 | ||||||
Series 4163, Class GS, 6.107%, (6.20% - 1 mo. USD LIBOR), 11/15/32(4) | 2,129,194 | 414,777 | ||||||
Series 4169, Class AS, 6.157%, (6.25% - 1 mo. USD LIBOR), 2/15/33(4) | 3,244,166 | 563,890 | ||||||
Series 4180, Class GI, 3.50%, 8/15/26 | 1,239,437 | 36,486 | ||||||
Series 4188, Class AI, 3.50%, 4/15/28 | 3,255,912 | 213,262 | ||||||
Series 4189, Class SQ, 6.057%, (6.15% - 1 mo. USD LIBOR), 12/15/42(4) | 752,672 | 101,168 | ||||||
Series 4203, Class QS, 6.157%, (6.25% - 1 mo. USD LIBOR), 5/15/43(4) | 2,028,926 | 323,162 | ||||||
Series 4323, Class CI, 4.00%, 3/15/40 | 665,480 | 3,013 | ||||||
Series 4332, Class IK, 4.00%, 4/15/44 | 864,940 | 101,224 | ||||||
Series 4332, Class KI, 4.00%, 9/15/43 | 383,503 | 7,236 | ||||||
Series 4343, Class PI, 4.00%, 5/15/44 | 2,294,359 | 254,101 | ||||||
Series 4370, Class IO, 3.50%, 9/15/41 | 861,823 | 36,682 | ||||||
Series 4381, Class SK, 6.057%, (6.15% - 1 mo. USD LIBOR), 6/15/44(4) | 2,282,718 | 308,493 | ||||||
Series 4388, Class MS, 6.007%, (6.10% - 1 mo. USD LIBOR), 9/15/44(4) | 2,436,422 | 381,397 | ||||||
Series 4408, Class IP, 3.50%, 4/15/44 | 3,305,888 | 278,013 | ||||||
Series 4452, Class SP, 6.107%, (6.20% - 1 mo. USD LIBOR), 10/15/43(4) | 801,823 | 9,816 | ||||||
Series 4497, Class CS, 6.107%, (6.20% - 1 mo. USD LIBOR), 9/15/44(4) | 3,579,950 | 270,729 | ||||||
Series 4507, Class MI, 3.50%, 8/15/44 | 2,567,490 | 93,968 | ||||||
Series 4507, Class SJ, 6.087%, (6.18% - 1 mo. USD LIBOR), 9/15/45(4) | 5,832,321 | 1,143,046 | ||||||
Series 4520, Class PI, 4.00%, 8/15/45 | 15,821,065 | 1,354,044 | ||||||
Series 4526, Class PI, 3.50%, 1/15/42 | 881,359 | 10,858 | ||||||
Series 4528, Class BS, 6.057%, (6.15% - 1 mo. USD LIBOR), 7/15/45(4) | 3,151,594 | 390,394 | ||||||
Series 4629, Class QI, 3.50%, 11/15/46 | 3,849,140 | 359,690 | ||||||
Series 4637, Class IP, 3.50%, 4/15/44 | 1,058,230 | 37,788 | ||||||
Series 4644, Class TI, 3.50%, 1/15/45 | 3,345,234 | 220,236 | ||||||
Series 4653, Class PI, 3.50%, 7/15/44 | 510,595 | 2,488 | ||||||
Series 4667, Class PI, 3.50%, 5/15/42 | 4,705,861 | 93,186 | ||||||
Series 4672, Class LI, 3.50%, 1/15/43 | 2,250,601 | 48,526 | ||||||
Series 4744, Class IO, 4.00%, 11/15/47 | 3,064,890 | 359,342 | ||||||
Series 4749, Class IL, 4.00%, 12/15/47 | 2,403,339 | 282,208 | ||||||
Series 4767, Class IM, 4.00%, 5/15/45 | 2,072,532 | 33,887 | ||||||
Series 4768, Class IO, 4.00%, 3/15/48 | 2,988,318 | 348,840 | ||||||
Series 5051, Class S, 3.55%, (3.60% - 30-day average SOFR), 12/25/50(4) | 22,815,565 | 2,322,636 | ||||||
Principal Only:(6) |
| |||||||
Series 4417, Class KO, 0.00%, 12/15/43 | 812,933 | 656,554 | ||||||
Series 4478, Class PO, 0.00%, 5/15/45 | 1,396,242 | 1,263,463 | ||||||
|
| |||||||
$ | 38,598,499 | |||||||
|
| |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: |
| |||||||
Series 2020-DNA4, Class M2, 3.839%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(2) | $ | 4,150,757 | $ | 4,201,912 | ||||
Series 2020-HQA4, Class M2, 3.239%, (1 mo. USD LIBOR + 3.15%), 9/25/50(1)(2) | 8,075,343 | 8,140,415 | ||||||
|
| |||||||
$ | 12,342,327 | |||||||
|
|
4
Security | Principal Amount | Value | ||||||
Federal National Mortgage Association: |
| |||||||
Series G94-7, Class PJ, 7.50%, 5/17/24 | $ | 81,803 | $ | 86,746 | ||||
Series 1994-42, Class K, 6.50%, 4/25/24 | 59,425 | 63,136 | ||||||
Series 2009-62, Class WA, 5.577%, 8/25/39(7) | 1,089,816 | 1,209,575 | ||||||
Series 2013-6, Class TA, 1.50%, 1/25/43 | 1,002,200 | 1,010,164 | ||||||
Series 2021-15, Class HZ, 3.00%, 4/25/51 | 979,260 | 980,424 | ||||||
Series 2021-61, Class Z, 2.50%, 9/25/51(3) | 10,000,000 | 9,984,670 | ||||||
Interest Only:(5) |
| |||||||
Series 2004-46, Class SI, 5.911%, (6.00% - 1 mo. USD LIBOR), 5/25/34(4) | 2,000,964 | 308,400 | ||||||
Series 2005-17, Class SA, 6.611%, (6.70% - 1 mo. USD LIBOR), 3/25/35(4) | 1,532,360 | 338,047 | ||||||
Series 2005-71, Class SA, 6.661%, (6.75% - 1 mo. USD LIBOR), 8/25/25(4) | 499,456 | 30,822 | ||||||
Series 2005-105, Class S, 6.611%, (6.70% - 1 mo. USD LIBOR), 12/25/35(4) | 1,249,790 | 280,147 | ||||||
Series 2006-44, Class IS, 6.511%, (6.60% - 1 mo. USD LIBOR), 6/25/36(4) | 1,070,466 | 238,706 | ||||||
Series 2006-65, Class PS, 7.131%, (7.22% - 1 mo. USD LIBOR), 7/25/36(4) | 1,061,413 | 262,028 | ||||||
Series 2006-96, Class SN, 7.111%, (7.20% - 1 mo. USD LIBOR), 10/25/36(4) | 1,314,146 | 267,513 | ||||||
Series 2006-104, Class SD, 6.551%, (6.64% - 1 mo. USD LIBOR), 11/25/36(4) | 1,102,302 | 225,600 | ||||||
Series 2006-104, Class SE, 6.541%, (6.63% - 1 mo. USD LIBOR), 11/25/36(4) | 734,868 | 150,145 | ||||||
Series 2007-50, Class LS, 6.361%, (6.45% - 1 mo. USD LIBOR), 6/25/37(4) | 1,569,110 | 300,055 | ||||||
Series 2008-26, Class SA, 6.111%, (6.20% - 1 mo. USD LIBOR), 4/25/38(4) | 1,965,893 | 422,264 | ||||||
Series 2008-61, Class S, 6.011%, (6.10% - 1 mo. USD LIBOR), 7/25/38(4) | 3,398,109 | 609,269 | ||||||
Series 2010-135, Class SD, 5.911%, (6.00% - 1 mo. USD LIBOR), 6/25/39(4) | 539,296 | 9,287 | ||||||
Series 2011-101, Class IC, 3.50%, 10/25/26 | 1,870,420 | 104,766 | ||||||
Series 2011-101, Class IE, 3.50%, 10/25/26 | 1,363,769 | 72,707 | ||||||
Series 2011-104, Class IM, 3.50%, 10/25/26 | 2,482,813 | 150,912 | ||||||
Series 2012-52, Class DI, 3.50%, 5/25/27 | 4,223,311 | 319,647 | ||||||
Series 2012-94, Class KS, 6.561%, (6.65% - 1 mo. USD LIBOR), 5/25/38(4) | 2,893,925 | 101,211 | ||||||
Series 2012-94, Class SL, 6.611%, (6.70% - 1 mo. USD LIBOR), 5/25/38(4) | 2,170,444 | 76,468 | ||||||
Series 2012-97, Class PS, 6.061%, (6.15% - 1 mo. USD LIBOR), 3/25/41(4) | 1,493,731 | 30,665 | ||||||
Series 2012-112, Class SB, 6.061%, (6.15% - 1 mo. USD LIBOR), 9/25/40(4) | 903,262 | 12,321 | ||||||
Series 2012-124, Class IO, 1.427%, 11/25/42(7) | 4,905,868 | 265,887 | ||||||
Series 2012-139, Class LS, 6.05%, (6.15% - 1 mo. USD LIBOR), 12/25/42(4) | 3,956,548 | 892,719 | ||||||
Series 2012-147, Class SA, 6.011%, (6.10% - 1 mo. USD LIBOR), 1/25/43(4) | 4,960,776 | 1,027,130 | ||||||
Series 2012-150, Class PS, 6.061%, (6.15% - 1 mo. USD LIBOR), 1/25/43(4) | 4,826,479 | 780,434 | ||||||
Series 2012-150, Class SK, 6.061%, (6.15% - 1 mo. USD LIBOR), 1/25/43(4) | 7,481,042 | 1,227,552 | ||||||
Series 2013-11, Class IO, 4.00%, 1/25/43 | 14,394,384 | 2,038,133 | ||||||
Series 2013-12, Class SP, 5.561%, (5.65% - 1 mo. USD LIBOR), 11/25/41(4) | 1,028,916 | 81,567 | ||||||
Series 2013-15, Class DS, 6.111%, (6.20% - 1 mo. USD LIBOR), 3/25/33(4) | 5,691,339 | 986,596 | ||||||
Series 2013-23, Class CS, 6.161%, (6.25% - 1 mo. USD LIBOR), 3/25/33(4) | 3,013,938 | 527,093 | ||||||
Series 2013-54, Class HS, 6.211%, (6.30% - 1 mo. USD LIBOR), 10/25/41(4) | 2,008,198 | 91,466 | ||||||
Series 2013-64, Class PS, 6.161%, (6.25% - 1 mo. USD LIBOR), 4/25/43(4) | 2,999,173 | 447,874 | ||||||
Series 2013-66, Class JI, 3.00%, 7/25/43 | 5,274,244 | 808,748 | ||||||
Series 2013-75, Class SC, 6.161%, (6.25% - 1 mo. USD LIBOR), 7/25/42(4) | 5,454,898 | 481,955 | ||||||
Series 2014-29, Class IG, 3.50%, 6/25/43 | 456,209 | 5,165 | ||||||
Series 2014-32, Class EI, 4.00%, 6/25/44 | 1,291,884 | 148,332 | ||||||
Series 2014-41, Class SA, 5.961%, (6.05% - 1 mo. USD LIBOR), 7/25/44(4) | 2,171,169 | 354,968 | ||||||
Series 2014-43, Class PS, 6.011%, (6.10% - 1 mo. USD LIBOR), 3/25/42(4) | 2,278,622 | 275,420 |
5
Security | Principal Amount | Value | ||||||
Series 2014-55, Class IN, 3.50%, 7/25/44 | $ | 3,376,041 | $ | 525,027 | ||||
Series 2014-64, Class BI, 3.50%, 3/25/44 | 903,975 | 39,764 | ||||||
Series 2014-67, Class IH, 4.00%, 10/25/44 | 2,105,069 | 306,675 | ||||||
Series 2014-80, Class CI, 3.50%, 12/25/44 | 2,149,676 | 301,263 | ||||||
Series 2014-89, Class IO, 3.50%, 1/25/45 | 3,197,506 | 401,215 | ||||||
Series 2015-6, Class IM, 1.00%, (5.33% - 1 mo. USD LIBOR x 1.33, Cap 1.00%), 6/25/43(4) | 4,046,696 | 105,417 | ||||||
Series 2015-14, Class KI, 3.00%, 3/25/45 | 4,629,560 | 602,421 | ||||||
Series 2015-17, Class SA, 6.111%, (6.20% - 1 mo. USD LIBOR), 11/25/43(4) | 1,095,574 | 19,074 | ||||||
Series 2015-22, Class GI, 3.50%, 4/25/45 | 1,517,690 | 192,701 | ||||||
Series 2015-31, Class SG, 6.011%, (6.10% - 1 mo. USD LIBOR), 5/25/45(4) | 4,130,511 | 925,905 | ||||||
Series 2015-36, Class IL, 3.00%, 6/25/45 | 2,404,445 | 292,268 | ||||||
Series 2015-52, Class MI, 3.50%, 7/25/45 | 5,811,604 | 817,445 | ||||||
Series 2015-93, Class BS, 6.061%, (6.15% - 1 mo. USD LIBOR), 8/25/45(4) | 2,544,852 | 254,912 | ||||||
Series 2017-46, Class NI, 3.00%, 8/25/42 | 1,269,928 | 7,923 | ||||||
Series 2018-21, Class IO, 3.00%, 4/25/48 | 6,939,075 | 611,428 | ||||||
|
| |||||||
$ | 33,490,172 | |||||||
|
| |||||||
Government National Mortgage Association: | ||||||||
Series 2021-57, Class LZ, 3.00%, 3/20/51 | $ | 3,551,342 | $ | 3,549,709 | ||||
Interest Only:(5) |
| |||||||
Series 2014-68, Class KI, 1.494%, 10/20/42(7) | 4,070,006 | 170,467 | ||||||
Series 2017-104, Class SD, 6.116%, (6.20% - 1 mo. USD LIBOR), 7/20/47(4) | 7,430,313 | 1,193,642 | ||||||
Series 2017-121, Class DS, 4.416%, (4.50% - 1 mo. USD LIBOR), 8/20/47(4) | 5,500,522 | 623,545 | ||||||
Series 2017-137, Class AS, 4.416%, (4.50% - 1 mo. USD LIBOR), 9/20/47(4) | 7,705,567 | 851,684 | ||||||
Series 2020-146, Class IQ, 2.00%, 10/20/50 | 23,876,059 | 2,238,091 | ||||||
Series 2020-151, Class HI, 2.50%, 10/20/50 | 2,083,671 | 147,164 | ||||||
Series 2020-154, Class PI, 2.50%, 10/20/50 | 19,201,205 | 1,172,612 | ||||||
Series 2020-167, Class KI, 2.00%, 11/20/50 | 38,514,038 | 3,502,459 | ||||||
Series 2020-176, Class HI, 2.50%, 11/20/50 | 52,903,954 | 3,359,798 | ||||||
Series 2020-191, Class AI, 2.00%, 12/20/50 | 36,442,232 | 2,996,470 | ||||||
Series 2021-46, Class IM, 2.50%, 3/20/51 | 4,685,588 | 314,418 | ||||||
Series 2021-56, Class SE, 2.04%, (2.30% - 30-day average SOFR), 10/20/50(4) | 9,424,456 | 357,861 | ||||||
Series 2021-67, Class SA, 2.251%, (2.30% - 30-day average SOFR), 10/20/50(4) | 63,177,193 | 2,783,366 | ||||||
Series 2021-77, Class SB, 3.666%, (3.75% - 1 mo. USD LIBOR), 5/20/51(4) | 14,841,917 | 1,972,969 | ||||||
Series 2021-97, Class IG, 2.50%, 8/20/49 | 49,836,253 | 4,631,447 | ||||||
Series 2021-125, Class SA, 3.661%, (3.75% - 1 mo. USD LIBOR), 7/20/51(4) | 20,000,000 | 1,750,320 | ||||||
|
| |||||||
$ | 31,616,022 | |||||||
|
| |||||||
NewRez Warehouse Securitization Trust, | $ | 3,300,000 | $ | 3,324,745 | ||||
Provident Funding Mortgage Warehouse Securitization Trust, | 2,500,000 | 2,482,247 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations |
| $ | 121,854,012 | |||||
|
|
6
Commercial Mortgage-Backed Securities — 0.7% |
| |||||||
Security | Principal Amount | Value | ||||||
JPMBB Commercial Mortgage Securities Trust: |
| |||||||
Series 2014-C22, Class D, 4.553%, 9/15/47(1)(7) | $ | 3,430,000 | $ | 2,636,934 | ||||
Series 2014-C25, Class D, 3.946%, 11/15/47(1)(7) | 8,045,000 | 6,479,359 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class D, | 5,000,000 | 471,975 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2014-C24, Class D, 3.692%, 11/15/47(1) | 4,000,000 | 2,096,672 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities |
| $ | 11,684,940 | |||||
|
| |||||||
U.S. Government Agency Mortgage-Backed Securities — 31.6% |
| |||||||
Security | Principal Amount | Value | ||||||
Federal Home Loan Mortgage Corp.: |
| |||||||
2.792%, (COF + 1.25%), with maturity at 2035(9) | $ | 238,401 | $ | 245,190 | ||||
3.00%, with maturity at 2050 | 23,636,728 | 24,808,918 | ||||||
4.381%, (COF + 1.25%), with maturity at 2030(9) | 87,114 | 92,944 | ||||||
7.00%, with various maturities to 2036 | 918,235 | 1,041,791 | ||||||
8.00%, with maturity at 2026 | 28,333 | 30,774 | ||||||
|
| |||||||
$ | 26,219,617 | |||||||
|
| |||||||
Federal National Mortgage Association: |
| |||||||
2.50%, 30-Year, TBA(10) | $ | 40,000,000 | $ | 41,585,934 | ||||
3.357%, (COF + 1.25%), with maturity at 2035(9) | 138,734 | 143,078 | ||||||
3.937%, (COF + 1.78%), with maturity at 2035(9) | 604,026 | 640,785 | ||||||
6.00%, with maturity at 2032 | 211,515 | 244,482 | ||||||
6.50%, with maturity at 2036 | 467,806 | 531,975 | ||||||
7.00%, with maturity at 2037 | 389,240 | 443,195 | ||||||
8.50%, with maturity at 2032 | 129,629 | 152,463 | ||||||
9.50%, with maturity at 2028 | 48,021 | 53,476 | ||||||
|
| |||||||
$ | 43,795,388 | |||||||
|
| |||||||
Government National Mortgage Association: |
| |||||||
2.50%, 30-Year, TBA(10) | $ | 150,000,000 | $ | 155,791,882 | ||||
2.50%, with various maturities to 2051 | 237,048,833 | 246,780,196 | ||||||
3.00%, 30-Year, TBA(10) | 20,000,000 | 20,870,259 | ||||||
3.00%, with various maturities to 2051 | 64,903,796 | 68,358,598 | ||||||
|
| |||||||
$ | 491,800,935 | |||||||
|
| |||||||
Total U.S. Government Agency Mortgage-Backed Securities | $ | 561,815,940 | ||||||
|
|
7
Common Stocks — 0.6% | ||||||||
Security | Shares | Value | ||||||
Bulgaria — 0.4% | ||||||||
Eurohold Bulgaria AD(11) | 5,140,100 | $ | 7,809,414 | |||||
|
| |||||||
Total Bulgaria | $ | 7,809,414 | ||||||
|
| |||||||
Iceland — 0.2% | ||||||||
Arion Banki HF(1) | 1,126,817 | $ | 1,478,053 | |||||
Eik Fasteignafelag HF | 1,980,300 | 170,459 | ||||||
Eimskipafelag Islands HF | 125,154 | 387,415 | ||||||
Hagar HF | 530,600 | 260,456 | ||||||
Reginn HF(11) | 808,000 | 169,445 | ||||||
Reitir Fasteignafelag HF | 544,900 | 310,478 | ||||||
Siminn HF | 5,098,858 | 481,516 | ||||||
|
| |||||||
Total Iceland | $ | 3,257,822 | ||||||
|
| |||||||
Total Common Stocks | $ | 11,067,236 | ||||||
|
| |||||||
Convertible Bonds — 0.3% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Bermuda — 0.3% | ||||||||
Liberty Latin America, Ltd., 2.00%, 7/15/24 | USD | 4,184 | $ | 4,210,359 | ||||
|
| |||||||
Total Bermuda | $ | 4,210,359 | ||||||
|
| |||||||
Total Convertible Bonds | $ | 4,210,359 | ||||||
|
| |||||||
Foreign Corporate Bonds — 6.2% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Argentina — 0.6% | ||||||||
Generacion Mediterranea S.A./Central Termica Roca S.A., 15.00%, 5/5/23(1)(12) | USD | 1,163 | $ | 885,983 | ||||
IRSA Propiedades Comerciales S.A., 8.75%, 3/23/23(13) | USD | 493 | 467,467 | |||||
Telecom Argentina S.A., 8.00%, 7/18/26(13) | USD | 2,730 | 2,627,502 | |||||
Transportadora de Gas del Sur S.A., 6.75%, 5/2/25(13) | USD | 1,740 | 1,642,160 | |||||
YPF S.A.: | ||||||||
4.00% to 1/1/23, 2/12/26(1)(14) | USD | 1,918 | 1,624,899 | |||||
4.00% to 1/1/23, 2/12/26(13)(14) | USD | 1,705 | 1,444,278 | |||||
6.95%, 7/21/27(13) | USD | 894 | 627,052 | |||||
8.50%, 7/28/25(13) | USD | 1,207 | 942,981 | |||||
|
| |||||||
Total Argentina | $ | 10,262,322 | ||||||
|
|
8
Security | Principal Amount (000’s omitted) | Value | ||||||
Armenia — 0.2% | ||||||||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(13) | USD | 3,400 | $ | 3,387,335 | ||||
|
| |||||||
Total Armenia | $ | 3,387,335 | ||||||
|
| |||||||
Belarus — 0.1% | ||||||||
Eurotorg, LLC Via Bonitron DAC, 9.00%, 10/22/25(13) | USD | 1,829 | $ | 1,948,031 | ||||
|
| |||||||
Total Belarus | $ | 1,948,031 | ||||||
|
| |||||||
Brazil — 0.8% | ||||||||
Amaggi Luxembourg International S.a.r.l., 5.25%, 1/28/28(13) | USD | 750 | $ | 784,661 | ||||
Braskem Netherlands Finance BV: | ||||||||
4.50%, 1/31/30(13) | USD | 1,656 | 1,750,243 | |||||
5.875%, 1/31/50(13) | USD | 2,185 | 2,451,297 | |||||
Guara Norte S.a.r.l., 5.198%, 6/15/34(13) | USD | 945 | 974,257 | |||||
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(1) | USD | 1,965 | 2,043,011 | |||||
MV24 Capital BV, 6.748%, 6/1/34(13) | USD | 630 | 684,380 | |||||
Odebrecht Offshore Drilling Finance, Ltd.: | ||||||||
6.72%, 12/1/22(1) | USD | 215 | 211,533 | |||||
6.72%, 12/1/22(13) | USD | 1,985 | 1,950,273 | |||||
Oi Movel S.A., 8.75%, 7/30/26(13) | USD | 566 | 585,810 | |||||
Petrobras Global Finance BV, 6.90%, 3/19/49 | USD | 1,080 | 1,267,542 | |||||
Vale S.A., 2.762%(15)(16) | BRL | 14,736 | 1,843,716 | |||||
|
| |||||||
Total Brazil | $ | 14,546,723 | ||||||
|
| |||||||
Bulgaria — 0.1% | ||||||||
Eurohold Bulgaria AD, 6.50%, 12/7/22(13) | EUR | 2,000 | $ | 2,302,613 | ||||
|
| |||||||
Total Bulgaria | $ | 2,302,613 | ||||||
|
| |||||||
China — 0.3% | ||||||||
CIFI Holdings Group Co., Ltd., 5.50%, 1/23/22(13) | USD | 1,300 | $ | 1,314,625 | ||||
Kaisa Group Holdings, Ltd., 9.375%, 6/30/24(13) | USD | 850 | 661,938 | |||||
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(13) | USD | 1,650 | 1,720,081 | |||||
Times China Holdings, Ltd., 5.55%, 6/4/24(13) | USD | 2,115 | 2,016,924 | |||||
|
| |||||||
Total China | $ | 5,713,568 | ||||||
|
| |||||||
Colombia — 0.1% | ||||||||
Gran Tierra Energy International Holdings, Ltd.: | ||||||||
6.25%, 2/15/25(1) | USD | 278 | $ | 246,376 | ||||
6.25%, 2/15/25(13) | USD | 1,184 | 1,049,314 | |||||
|
| |||||||
Total Colombia | $ | 1,295,690 | ||||||
|
| |||||||
El Salvador — 0.1% | ||||||||
AES El Salvador Trust II, 6.75%, 3/28/23(13) | USD | 1,654 | $ | 1,590,007 | ||||
|
| |||||||
Total El Salvador | $ | 1,590,007 | ||||||
|
| |||||||
Georgia — 0.1% | ||||||||
Georgia Capital JSC, 6.125%, 3/9/24(13) | USD | 1,850 | $ | 1,882,375 | ||||
Silknet JSC, 11.00%, 4/2/24(13) | USD | 558 | 612,701 | |||||
|
| |||||||
Total Georgia | $ | 2,495,076 | ||||||
|
|
9
Security | Principal Amount (000’s omitted) | Value | ||||||
Honduras — 0.1% | ||||||||
Inversiones Atlantida S.A., 7.50%, 5/19/26(13) | USD | 1,735 | $ | 1,808,738 | ||||
|
| |||||||
Total Honduras | $ | 1,808,738 | ||||||
|
| |||||||
Iceland — 0.3% | ||||||||
Arion Banki HF, 6.00%, 4/12/24(13) | ISK | 440,000 | $ | 3,835,911 | ||||
Islandsbanki HF, 6.40%, 10/26/23 | ISK | 120,000 | 1,043,612 | |||||
Landsbankinn HF, 5.00%, 11/23/23(13) | ISK | 120,000 | 1,018,570 | |||||
WOW Air HF: | ||||||||
0.00%(12)(15)(17) | EUR | 20 | 0 | |||||
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(12)(17) | EUR | 900 | 0 | |||||
|
| |||||||
Total Iceland | $ | 5,898,093 | ||||||
|
| |||||||
Indonesia — 0.1% | ||||||||
Alam Sutera Realty Tbk PT: | ||||||||
6.00%, (6.00% cash or 6.25% PIK), 5/2/24(18) | USD | 881 | $ | 713,610 | ||||
6.25%, (6.25% cash or 6.50% PIK), 11/2/25(13)(18) | USD | 2,228 | 1,626,440 | |||||
|
| |||||||
Total Indonesia | $ | 2,340,050 | ||||||
|
| |||||||
Mauritius — 0.1% | ||||||||
HTA Group, Ltd./Mauritius, 7.00%, 12/18/25(13) | USD | 930 | $ | 987,095 | ||||
Network i2i, Ltd., 3.975% to 3/3/26(13)(15)(19) | USD | 1,010 | 1,003,288 | |||||
|
| |||||||
Total Mauritius | $ | 1,990,383 | ||||||
|
| |||||||
Mexico — 0.6% | ||||||||
Alpha Holding S.A. de CV: | ||||||||
9.00%, 2/10/25(13)(17) | USD | 2,815 | $ | 330,762 | ||||
10.00%, 12/19/22(13)(17) | USD | 1,529 | 162,472 | |||||
Braskem Idesa SAPI, 7.45%, 11/15/29(13) | USD | 3,559 | 3,688,619 | |||||
Grupo Kaltex S.A. de CV, 8.875%, 4/11/22(13) | USD | 2,637 | 2,380,697 | |||||
Petroleos Mexicanos: | ||||||||
5.95%, 1/28/31 | USD | 1,500 | 1,476,375 | |||||
6.75%, 9/21/47 | USD | 1,930 | 1,728,006 | |||||
|
| |||||||
Total Mexico | $ | 9,766,931 | ||||||
|
| |||||||
Moldova — 0.2% | ||||||||
Aragvi Finance International DAC, 8.45%, 4/29/26(13) | USD | 3,521 | $ | 3,669,727 | ||||
|
| |||||||
Total Moldova | $ | 3,669,727 | ||||||
|
| |||||||
Nigeria — 0.1% | ||||||||
SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(13) | USD | 1,277 | $ | 1,330,864 | ||||
|
| |||||||
Total Nigeria | $ | 1,330,864 | ||||||
|
| |||||||
Paraguay — 0.2% | ||||||||
Banco Continental SAE, 2.75%, 12/10/25(13) | USD | 515 | $ | 509,600 | ||||
Frigorifico Concepcion S.A., 7.70%, 7/21/28(1) | USD | 3,145 | 3,277,169 | |||||
|
| |||||||
Total Paraguay | $ | 3,786,769 | ||||||
|
|
10
Security | Principal Amount (000’s omitted) | Value | ||||||
Peru — 0.3% | ||||||||
Auna SAA, 6.50%, 11/20/25(13) | USD | 2,300 | $ | 2,368,839 | ||||
PetroTal Corp., 12.00%, 2/16/24(1)(13) | USD | 1,540 | 1,609,300 | |||||
Telefonica del Peru SAA, 7.375%, 4/10/27(13) | PEN | 4,500 | 1,064,539 | |||||
|
| |||||||
Total Peru | $ | 5,042,678 | ||||||
|
| |||||||
Russia — 0.1% | ||||||||
Gazprom PJSC Via Gaz Finance PLC, 4.599% to 10/26/25(13)(15)(19) | USD | 1,115 | $ | 1,165,258 | ||||
Hacienda Investments, Ltd. Via DME Airport DAC, 5.35%, 2/8/28(13) | USD | 900 | 945,481 | |||||
|
| |||||||
Total Russia | $ | 2,110,739 | ||||||
|
| |||||||
Saint Lucia — 0.2% | ||||||||
Digicel International Finance, Ltd./Digicel Holdings Bermuda, Ltd., 8.75%, 5/25/24(13) | USD | 2,453 | $ | 2,557,792 | ||||
|
| |||||||
Total Saint Lucia | $ | 2,557,792 | ||||||
|
| |||||||
Saudi Arabia — 0.1% | ||||||||
Dar Al-Arkan Sukuk Co., Ltd., 6.875%, 4/10/22(13) | USD | 1,640 | $ | 1,680,315 | ||||
|
| |||||||
Total Saudi Arabia | $ | 1,680,315 | ||||||
|
| |||||||
Singapore — 0.2% | ||||||||
Puma International Financing S.A., 5.00%, 1/24/26(13) | USD | 1,782 | $ | 1,788,593 | ||||
TBLA International Pte Ltd., 7.00%, 1/24/23(13) | USD | 2,502 | 2,352,506 | |||||
|
| |||||||
Total Singapore | $ | 4,141,099 | ||||||
|
| |||||||
South Africa — 0.2% | ||||||||
Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(13) | USD | 3,728 | $ | 3,779,143 | ||||
|
| |||||||
Total South Africa | $ | 3,779,143 | ||||||
|
| |||||||
Turkey — 0.4% | ||||||||
Akbank T.A.S., 7.20% to 3/16/22, 3/16/27(13)(19) | USD | 1,050 | $ | 1,068,742 | ||||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(13) | USD | 2,305 | 2,426,596 | |||||
QNB Finansbank AS, 6.875%, 9/7/24(13) | USD | 1,505 | 1,644,438 | |||||
Ulker Biskuvi Sanayi AS, 6.95%, 10/30/25(13) | USD | 2,022 | 2,193,043 | |||||
|
| |||||||
Total Turkey | $ | 7,332,819 | ||||||
|
| |||||||
Ukraine — 0.3% | ||||||||
Kernel Holding S.A.: | ||||||||
6.75%, 10/27/27(13) | USD | 800 | $ | 861,000 | ||||
8.75%, 1/31/22(13) | USD | 1,850 | 1,912,689 | |||||
Metinvest BV: | ||||||||
5.625%, 6/17/25(13) | EUR | 1,340 | 1,680,975 | |||||
7.75%, 10/17/29(13) | USD | 350 | 386,729 | |||||
8.50%, 4/23/26(13) | USD | 706 | 801,975 | |||||
|
| |||||||
Total Ukraine | $ | 5,643,368 | ||||||
|
| |||||||
United Arab Emirates — 0.2% | ||||||||
NBK Tier 1 Financing, Ltd., 3.625% to 8/24/26(13)(15)(19) | USD | 1,490 | $ | 1,495,316 | ||||
Shelf Drilling Holdings, Ltd., 8.875%, 11/15/24(13) | USD | 1,067 | 1,097,634 | |||||
|
| |||||||
Total United Arab Emirates | $ | 2,592,950 | ||||||
|
|
11
Security | Principal Amount (000’s omitted) | Value | ||||||
Uzbekistan — 0.1% | ||||||||
Ipoteka-Bank ATIB, 16.00%, 4/16/24(13) | UZS | 7,100,000 | $ | 666,560 | ||||
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(13) | UZS | 3,000,000 | 280,779 | |||||
|
| |||||||
Total Uzbekistan | $ | 947,339 | ||||||
|
| |||||||
Total Foreign Corporate Bonds | $ | 109,961,162 | ||||||
|
| |||||||
Loan Participation Notes — 0.0%(20) | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Uzbekistan — 0.0%(20) | ||||||||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(12)(13)(21) | UZS | 2,619,000 | $ | 253,137 | ||||
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(12)(13)(21) | UZS | 2,952,000 | 283,609 | |||||
|
| |||||||
Total Loan Participation Notes | $ | 536,746 | ||||||
|
| |||||||
Reinsurance Side Cars — 2.3% | ||||||||
Security | Principal Amount/ | Value | ||||||
Altair VI Reinsurance(11)(12)(22)(23) | 1,000 | $ | 251,377 | |||||
Eden Re II, Ltd., Series 2018A, 0.00%, 3/22/22(1)(12)(23) | $ | 7,471 | 37,167 | |||||
Eden Re II, Ltd., Series 2018B, 0.00%, 3/22/22(1)(12)(23) | $ | 8,667 | 117,942 | |||||
Eden Re II, Ltd., Series 2019A, 0.00%, 3/22/23(1)(12)(23) | $ | 1,440 | 26,810 | |||||
Eden Re II, Ltd., Series 2019B, 0.00%, 3/22/23(1)(12)(23) | $ | 11,140 | 500,745 | |||||
Eden Re II, Ltd., Series 2020A, 0.00%, 3/22/24(1)(12)(23) | $ | 990,000 | 913,473 | |||||
Eden Re II, Ltd., Series 2021A, 0.00%, 3/21/25(1)(12)(23) | $ | 900,000 | 891,900 | |||||
Eden Re II, Ltd., Series 2021B, 0.00%, 3/21/25(1)(12)(23) | $ | 8,900,000 | 8,805,660 | |||||
Mt. Logan Re, Ltd., Series 13, Preference Shares(11)(12)(22)(23) | 10,000 | 10,766,457 | ||||||
Mt. Logan Re, Ltd., Series 17, Preference Shares(11)(12)(22)(23) | 860 | 894,222 | ||||||
Mt. Logan Re, Ltd., Special Investment Series 13, 12/18(11)(12)(22)(23) | 2,000 | 426,116 | ||||||
Mt. Logan Re, Ltd., Special Investment Series 13, 12/19(11)(12)(22)(23) | 1,829 | 636,297 | ||||||
Sussex Capital, Ltd., Designated Investment Series 5, 5/19(11)(12)(22)(23) | 249 | 39,301 | ||||||
Sussex Capital, Ltd., Designated Investment Series 5, 12/19(11)(12)(22)(23) | 791 | 117,940 | ||||||
Sussex Capital, Ltd., Designated Investment Series 5, 6/20(11)(12)(22)(23) | 434 | 105,062 | ||||||
Sussex Capital, Ltd., Designated Investment Series 5, 12/20(11)(12)(22)(23) | 292 | 150,407 | ||||||
Sussex Capital, Ltd., Designated Investment Series 5, 4/21(11)(12)(22)(23) | 247 | 199,176 |
12
Security | Principal Amount/ | Value | ||||||
Sussex Capital, Ltd., Series 5, Preference Shares(11)(12)(22)(23) | $ | 6,000 | $ | 6,349,725 | ||||
Sussex Capital, Ltd., Series 15, Preference Shares(11)(12)(22)(23) | 5,000 | 5,030,329 | ||||||
Sussex Re, Ltd., Series 2020A(11)(12)(22)(23) | 4,081,939 | 244,100 | ||||||
Sussex Re, Ltd., Series 2021A(11)(12)(22)(23) | 4,154,232 | 4,141,769 | ||||||
Versutus Re, Ltd., Series 2019(11)(12)(22)(23) | 220,133 | 147,929 | ||||||
|
| |||||||
Total Reinsurance Side Cars | $ | 40,793,904 | ||||||
|
| |||||||
Sovereign Government Bonds — 19.2% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
China — 1.5% | ||||||||
China Development Bank, 3.70%, 10/20/30 | CNY | 170,000 | $ | 27,154,785 | ||||
|
| |||||||
Total China | $ | 27,154,785 | ||||||
|
| |||||||
Egypt — 1.4% | ||||||||
Egypt Government Bond: | ||||||||
14.483%, 4/6/26 | EGP | 349,977 | $ | 22,319,392 | ||||
14.563%, 7/6/26 | EGP | 27,330 | 1,725,192 | |||||
|
| |||||||
Total Egypt | $ | 24,044,584 | ||||||
|
| |||||||
Iceland — 1.2% | ||||||||
Republic of Iceland: | ||||||||
5.00%, 11/15/28 | ISK | 852,032 | $ | 7,647,637 | ||||
6.50%, 1/24/31 | ISK | 1,234,839 | 12,399,778 | |||||
8.00%, 6/12/25 | ISK | 194,682 | 1,866,275 | |||||
|
| |||||||
Total Iceland | $ | 21,913,690 | ||||||
|
| |||||||
Indonesia — 4.9% | ||||||||
Indonesia Government Bond: | ||||||||
6.50%, 2/15/31 | IDR | 1,118,949,000 | $ | 78,637,840 | ||||
7.50%, 4/15/40 | IDR | 77,875,000 | 5,645,231 | |||||
8.375%, 4/15/39 | IDR | 45,746,000 | 3,563,206 | |||||
|
| |||||||
Total Indonesia | $ | 87,846,277 | ||||||
|
| |||||||
New Zealand — 1.1% | ||||||||
New Zealand Government Bond, 3.00%, 9/20/30(13)(24) | NZD | 20,960 | $ | 19,037,338 | ||||
|
| |||||||
Total New Zealand | $ | 19,037,338 | ||||||
|
| |||||||
Serbia — 2.2% | ||||||||
Serbia Treasury Bond: | ||||||||
4.50%, 8/20/32 | RSD | 3,419,480 | $ | 38,148,781 | ||||
5.875%, 2/8/28 | RSD | 3,280 | 40,023 | |||||
|
| |||||||
Total Serbia | $ | 38,188,804 | ||||||
|
|
13
Security | Principal Amount (000’s omitted) | Value | ||||||
South Africa — 3.4% | ||||||||
Republic of South Africa, 10.50%, 12/21/26 | ZAR | 781,941 | $ | 60,863,413 | ||||
|
| |||||||
Total South Africa | $ | 60,863,413 | ||||||
|
| |||||||
Suriname — 0.4% | ||||||||
Republic of Suriname, 9.25%, 10/26/26(13) | USD | 11,370 | $ | 7,242,690 | ||||
|
| |||||||
Total Suriname | $ | 7,242,690 | ||||||
|
| |||||||
Thailand — 1.8% | ||||||||
Thailand Government Bond, 1.25%, 3/12/28(13)(24) | THB | 1,074,068 | $ | 32,348,047 | ||||
|
| |||||||
Total Thailand | $ | 32,348,047 | ||||||
|
| |||||||
Ukraine — 1.3% | ||||||||
Ukraine Government Bond, 16.06%, 8/3/22 | UAH | 25,000 | $ | 972,638 | ||||
Ukraine Government International Bond: | ||||||||
1.258%, GDP-Linked, 5/31/40(13)(25) | USD | 4,433 | 5,177,722 | |||||
11.67%, 11/22/23 | UAH | 25,000 | 921,086 | |||||
15.84%, 2/26/25 | UAH | 394,170 | 15,936,006 | |||||
|
| |||||||
Total Ukraine | $ | 23,007,452 | ||||||
|
| |||||||
Total Sovereign Government Bonds | $ | 341,647,080 | ||||||
|
| |||||||
Sovereign Loans — 0.1% | ||||||||
Borrower | Principal Amount (000’s omitted) | Value | ||||||
Nigeria — 0.1% | ||||||||
Bank of Industry Limited, Term Loan, 6.119%, (3 mo. USD LIBOR + 6.00%), 12/14/23(2)(26) | $ | 2,050 | $ | 2,069,649 | ||||
|
| |||||||
Total Nigeria | $ | 2,069,649 | ||||||
|
| |||||||
Total Sovereign Loans | $ | 2,069,649 | ||||||
|
| |||||||
U.S. Government Guaranteed Small Business Administration Loans(27)(28) — 2.2% | ||||||||
Security | Principal Amount | Value | ||||||
0.66%, 3/15/30 | $ | 2,695,021 | $ | 50,835 | ||||
0.73%, 7/15/31 | 2,915,989 | 78,143 | ||||||
0.93%, 5/15/42 | 1,593,400 | 54,843 | ||||||
0.98%, 4/15/32 | 1,344,073 | 48,552 | ||||||
1.31%, 4/15/42 to 7/15/42 | 5,793,264 | 297,414 | ||||||
1.34%, 9/15/41 | 1,859,700 | 95,804 | ||||||
1.38%, 6/15/41 | 3,111,968 | 155,041 | ||||||
1.56%, 7/15/42 | 2,479,673 | 144,599 | ||||||
1.59%, 10/21/36 | 1,220,922 | 61,131 |
14
Security | Principal Amount | Value | ||||||
1.61%, 12/15/41 to 7/15/42 | $ | 5,308,946 | $ | 331,111 | ||||
1.63%, 9/15/41 | 1,932,545 | 123,602 | ||||||
1.68%, 7/15/41 | 1,935,606 | 133,809 | ||||||
1.73%, 10/15/33 to 11/21/41 | 2,758,152 | 172,624 | ||||||
1.81%, 12/21/41 to 11/15/42 | 7,743,799 | 528,849 | ||||||
1.86%, 12/28/41 to 6/15/42 | 16,467,109 | 1,145,716 | ||||||
1.91%, 2/15/42 to 7/15/42 | 6,761,587 | 514,842 | ||||||
1.93%, 7/15/42 | 1,729,671 | 127,384 | ||||||
1.96%, 11/29/30 to 8/15/42 | 4,909,402 | 334,773 | ||||||
2.06%, 5/15/42 to 7/15/42 | 5,067,014 | 393,472 | ||||||
2.11%, 4/15/33 to 7/15/42 | 4,665,239 | 347,600 | ||||||
2.16%, 5/15/42 to 6/15/42 | 3,854,637 | 298,288 | ||||||
2.21%, 8/15/42 | 3,227,883 | 260,758 | ||||||
2.23%, 1/15/41 to 7/15/41 | 2,713,776 | 235,157 | ||||||
2.28%, 11/1/29 | 1,228,960 | 62,905 | ||||||
2.31%, 4/15/42 to 7/15/42 | 5,107,887 | 473,856 | ||||||
2.36%, 1/16/42 to 6/15/42 | 16,455,801 | 1,462,651 | ||||||
2.38%, 6/15/42 | 1,556,569 | 137,372 | ||||||
2.39%, 7/15/40 | 1,371,623 | 110,519 | ||||||
2.41%, 1/15/38 to 7/15/42 | 13,822,285 | 1,244,357 | ||||||
2.43%, 3/15/41 to 1/5/42 | 3,032,348 | 274,519 | ||||||
2.46%, 12/15/26 to 8/15/42 | 12,497,540 | 1,075,894 | ||||||
2.48%, 2/23/41 | 1,110,779 | 107,935 | ||||||
2.56%, 1/15/41 to 7/15/42 | 3,180,732 | 323,544 | ||||||
2.59%, 4/15/36 | 1,381,869 | 111,601 | ||||||
2.61%, 6/15/33 to 7/15/42 | 4,717,468 | 450,288 | ||||||
2.66%, 3/15/42 to 6/15/42 | 4,529,400 | 469,438 | ||||||
2.68%, 4/15/41 to 4/15/42 | 3,370,445 | 364,522 | ||||||
2.71%, 7/15/31 to 8/15/42 | 17,421,890 | 1,783,385 | ||||||
2.78%, 1/15/42 to 3/15/43(29) | 14,015,717 | 1,567,903 | ||||||
2.86%, 5/15/32 to 7/15/42 | 14,783,516 | 1,626,666 | ||||||
2.89%, 8/15/40 | 1,004,087 | 99,104 | ||||||
2.91%, 12/15/41 to 7/15/42 | 12,135,439 | 1,401,132 | ||||||
2.92%, 10/25/41 to 1/7/43(29) | 26,623,227 | 3,018,497 | ||||||
2.93%, 4/15/41 to 7/15/42 | 4,129,106 | 446,851 | ||||||
2.96%, 2/15/27 to 1/15/43 | 11,565,419 | 1,177,444 | ||||||
2.98%, 2/15/41 to 7/15/42 | 8,557,235 | 1,080,913 | ||||||
3.03%, 7/15/41 to 6/15/42 | 2,426,357 | 283,891 | ||||||
3.11%, 12/15/41 to 6/15/42 | 5,508,624 | 642,061 | ||||||
3.13%, 6/15/32 | 588,384 | 59,944 | ||||||
3.16%, 5/15/42 to 1/15/43 | 15,536,323 | 1,960,317 | ||||||
3.19%, 8/15/39 | 1,486,495 | 165,896 | ||||||
3.21%, 12/15/26 to 7/15/42 | 13,631,358 | 1,541,815 | ||||||
3.23%, 4/15/42 | 945,921 | 114,706 | ||||||
3.24%, 7/15/28 to 4/15/42 | 2,594,985 | 235,780 | ||||||
3.28%, 6/21/26 to 7/15/42 | 5,442,205 | 599,580 | ||||||
3.36%, 3/15/42 to 5/15/42 | 3,005,909 | 394,307 | ||||||
3.41%, 4/15/42 to 12/15/42 | 5,575,369 | 757,048 |
15
Security | Principal Amount | Value | ||||||
3.43%, 9/15/41 | $ | 904,988 | $ | 110,291 | ||||
3.46%, 2/15/27 to 8/15/42 | 10,853,618 | 1,067,057 | ||||||
3.48%, 5/15/36 to 7/15/42 | 3,356,180 | 429,685 | ||||||
3.53%, 6/15/26 to 8/15/42 | 1,793,723 | 140,032 | ||||||
3.61%, 6/15/32 to 6/15/42 | 7,158,004 | 1,059,949 | ||||||
3.64%, 8/15/41 to 12/15/41 | 3,617,463 | 558,303 | ||||||
3.66%, 5/15/42 to 7/15/42 | 7,392,653 | 1,082,864 | ||||||
3.68%, 11/15/31 to 5/15/42 | 3,865,204 | 543,883 | ||||||
3.71%, 1/15/24 to 7/15/42 | 22,092,597 | 2,243,007 | ||||||
3.73%, 1/15/37 | 1,760,725 | 196,210 | ||||||
3.78%, 2/15/27 to 6/15/42 | 5,423,786 | 736,758 | ||||||
|
| |||||||
Total U.S. Government Guaranteed Small Business Administration Loans |
| $ | 39,729,027 | |||||
|
| |||||||
Senior Floating-Rate Loans — 0.2%(30) |
| |||||||
Borrower/Description | Principal Amount (000’s omitted) | Value | ||||||
Dominican Republic — 0.2% |
| |||||||
Ingenieria Estrella, S.A., and Dominicana Cooperatief U.A., Term Loan, 5.172%, (6 mo. USD LIBOR + 5.00%), 11/29/24 | $ | 3,019 | $ | 2,946,229 | ||||
|
| |||||||
Total Senior Floating-Rate Loans | $ | 2,946,229 | ||||||
|
| |||||||
Short-Term Investments — 33.4% | ||||||||
Affiliated Fund — 28.7% | ||||||||
Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 0.08%(31) | 511,547,016 | $ | 511,547,016 | |||||
|
| |||||||
Total Affiliated Fund | $ | 511,547,016 | ||||||
|
| |||||||
Repurchase Agreements — 0.6% | ||||||||
Description | Principal (000’s omitted) | Value | ||||||
JPMorgan Chase Bank, N.A., | $ | 10,639 | $ | 10,639,431 | ||||
|
| |||||||
Total Repurchase Agreements | $ | 10,639,431 | ||||||
|
|
16
Sovereign Government Securities — 3.7% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Egypt — 2.1% | ||||||||
Egypt Treasury Bill: | ||||||||
0.00%, 8/17/21 | EGP | 224,675 | $ | 14,282,719 | ||||
0.00%, 8/31/21 | EGP | 16,125 | 1,020,685 | |||||
0.00%, 11/2/21 | EGP | 309,150 | 19,103,523 | |||||
0.00%, 12/28/21 | EGP | 55,425 | 3,357,643 | |||||
|
| |||||||
Total Egypt | $ | 37,764,570 | ||||||
|
| |||||||
Israel — 1.6% | ||||||||
Israel Treasury Bill, 0.00%, 8/31/21 | ILS | 91,000 | $ | 28,151,585 | ||||
|
| |||||||
Total Israel | $ | 28,151,585 | ||||||
|
| |||||||
Total Sovereign Government Securities | $ | 65,916,155 | ||||||
|
| |||||||
U.S. Treasury Obligations — 0.4% | ||||||||
Security | Principal (000’s omitted) | Value | ||||||
U.S. Treasury Bill: | ||||||||
0.00%, 8/26/21(32) | $ | 3,325 | $ | 3,324,928 | ||||
0.00%, 9/9/21(32) | 3,675 | 3,674,845 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | $ | 6,999,773 | ||||||
|
| |||||||
Total Short-Term Investments | $ | 595,102,375 | ||||||
|
| |||||||
Total Purchased Swaptions — 0.0%(20) | $ | 360,586 | ||||||
|
| |||||||
Total Investments — 114.3% | $ | 2,035,103,685 | ||||||
|
|
17
Securities Sold Short — (0.6)% | ||||||||
Sovereign Government Bonds — (0.6)% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
United Kingdom — (0.6)% | ||||||||
United Kingdom Gilt Bond, 0.25%, 3/22/52(13)(24) | GBP | (3,492 | ) | $ | (10,559,088 | ) | ||
|
| |||||||
Total United Kingdom | $ | (10,559,088 | ) | |||||
|
| |||||||
Total Sovereign Government Bonds | $ | (10,559,088 | ) | |||||
|
| |||||||
Total Securities Sold Short | $ | (10,559,088 | ) | |||||
|
| |||||||
TBA Sale Commitments — (8.7)% | ||||||||
U.S. Government Agency Mortgage-Backed Securities — (8.7)% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Federal National Mortgage Association, 2.50%, 30-Year, TBA(10) | $ | (150,000 | ) | $ | (156,060,537 | ) | ||
|
| |||||||
Total U.S. Government Agency Mortgage-Backed Securities | $ | (156,060,537 | ) | |||||
|
| |||||||
Total TBA Sale Commitments | $ | (156,060,537 | ) | |||||
|
| |||||||
Other Assets, Less Liabilities — (5.0)% | $ | (88,152,399 | ) | |||||
|
| |||||||
Net Assets — 100.0% | $ | 1,780,331,661 | ||||||
|
|
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.
(1) | 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 $230,869,530 or 13.0% of the Portfolio’s net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at July 31, 2021. |
(3) | When-issued security. For a variable rate security, interest rate will be determined after July 31, 2021. |
(4) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at July 31, 2021. |
(5) | Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated. |
18
(6) | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
(7) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at July 31, 2021. |
(8) | Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021. |
(9) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at July 31, 2021. |
(10) | TBA (To Be Announced) securities are purchased or sold on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(11) | Non-income producing security. |
(12) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(13) | 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 $147,382,785 or 8.3% of the Portfolio’s net assets. |
(14) | Step coupon security. Interest rate represents the rate in effect at July 31, 2021. |
(15) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(16) | Variable rate security whose coupon rate is linked to the issuer’s mining activities revenue. The coupon rate shown represents the rate in effect at July 31, 2021. |
(17) | Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(18) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(19) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(20) | Amount is less than 0.05%. |
(21) | 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. |
(22) | Restricted security. |
(23) | Security is subject to risk of loss depending on the occurence, frequency and severity of the loss events that are covered by underlying reinsurance contracts and that may occur during a specified risk period. |
(24) | 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. |
(25) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
(26) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(27) | Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated. |
(28) | Securities comprise a trust that is wholly-owned by the Portfolio and may only be sold on a pro-rata basis with all securities in the trust. |
(29) | The stated interest rate represents the weighted average fixed interest rate at July 31, 2021 of all interest only securities comprising the certificate. |
19
(30) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(31) | 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. |
(32) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Interest Rate Swaptions — 0.0%(20)
Description | Counterparty | Notional Amount | Expiration | 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 | 91,740,000 | 12/15/21 | $ | 37,928 | ||||||||||
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 | 112,630,000 | 1/7/22 | 43,323 | |||||||||||
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 | 56,320,000 | 1/10/22 | 21,641 | |||||||||||
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 | 221,740,000 | 1/12/22 | 85,131 | |||||||||||
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 | 61,919,000 | 1/17/22 | 25,453 | |||||||||||
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 | 99,991,000 | 1/27/22 | 41,762 | |||||||||||
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 | 55,230,000 | 2/10/22 | 30,904 | |||||||||||
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 | 14,620,000 | 2/16/22 | 13,979 | |||||||||||
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 | 14,620,000 | 2/21/22 | 21,190 |
20
Description | Counterparty | Notional Amount | Expiration | Value | ||||||||||||
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 | 14,620,000 | 2/23/22 | $ | 23,127 | ||||||||||
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 | 11,210,000 | 2/23/22 | 16,148 | |||||||||||
|
| |||||||||||||||
Total | $ | 360,586 | ||||||||||||||
|
|
Forward Commodity Contracts(1)
Settlement Date | Deliver | In Exchange For | Counterparty | Value/ Unrealized Appreciation (Depreciation) | ||||||
9/1/22 | USD 8,366,876 | Gold 4,300 Troy Ounces | Citibank, N.A. | $ | (545,735 | ) | ||||
Total | $ | (545,735 | ) | |||||||
|
|
(1) | Non-deliverable contracts that are settled with the counterparty in cash. |
Centrally Cleared Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Settlement Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||
BRL | 4,150,000 | USD | 800,961 | 8/3/21 | $ | (4,148 | ) | |||||||||||||
BRL | 4,150,000 | USD | 810,294 | 8/3/21 | (13,481 | ) | ||||||||||||||
USD | 822,520 | BRL | 4,150,000 | 8/3/21 | 25,707 | |||||||||||||||
USD | 810,294 | BRL | 4,150,000 | 8/3/21 | 13,481 | |||||||||||||||
USD | 18 | PHP | 886 | 8/4/21 | 1 | |||||||||||||||
NZD | 195,423 | USD | 136,748 | 8/11/21 | (600 | ) | ||||||||||||||
NZD | 12,253,112 | USD | 8,855,201 | 8/11/21 | (318,611 | ) | ||||||||||||||
USD | 11,205,420 | NZD | 15,505,155 | 8/11/21 | 403,173 | |||||||||||||||
USD | 11,542,377 | NZD | 16,494,845 | 8/11/21 | 50,624 | |||||||||||||||
USD | 15,157,999 | IDR | 220,397,299,990 | 8/16/21 | (92,668 | ) | ||||||||||||||
COP | 3,790,000,000 | USD | 1,033,483 | 8/20/21 | (57,063 | ) | ||||||||||||||
IDR | 38,730,000,000 | USD | 2,679,720 | 8/20/21 | (1,097 | ) | ||||||||||||||
USD | 1,023,340 | COP | 3,790,000,000 | 8/20/21 | 46,920 | |||||||||||||||
USD | 2,659,114 | IDR | 38,730,000,000 | 8/20/21 | (19,510 | ) | ||||||||||||||
GBP | 1,427,000 | USD | 2,021,785 | 8/23/21 | (38,163 | ) | ||||||||||||||
GBP | 6,720,544 | USD | 9,517,979 | 8/23/21 | (175,991 | ) | ||||||||||||||
RUB | 97,000,000 | USD | 1,301,169 | 8/23/21 | 22,404 | |||||||||||||||
USD | 1,302,220 | RUB | 97,000,000 | 8/23/21 | (21,353 | ) | ||||||||||||||
BRL | 4,350,000 | USD | 864,148 | 8/26/21 | (31,511 | ) | ||||||||||||||
USD | 809,016 | BRL | 4,350,000 | 8/26/21 | (23,620 | ) | ||||||||||||||
USD | 5,290,897 | NZD | 7,571,945 | 8/26/21 | 15,901 | |||||||||||||||
USD | 3,447,972 | NZD | 4,934,486 | 8/26/21 | 10,362 |
21
Currency Purchased | Currency Sold | Settlement Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||
INR | 168,180,000 | USD | 2,275,692 | 8/27/21 | $ | (20,302 | ) | |||||||||||||
USD | 2,248,666 | INR | 168,180,000 | 8/27/21 | (6,724 | ) | ||||||||||||||
NZD | 5,276,512 | USD | 3,693,959 | 9/1/21 | (18,156 | ) | ||||||||||||||
NZD | 2,110,982 | USD | 1,538,619 | 9/1/21 | (68,035 | ) | ||||||||||||||
USD | 28,042,456 | NZD | 38,474,196 | 9/1/21 | 1,239,984 | |||||||||||||||
USD | 18,583,890 | NZD | 25,497,061 | 9/1/21 | 821,745 | |||||||||||||||
BRL | 4,150,000 | USD | 819,151 | 9/2/21 | (25,572 | ) | ||||||||||||||
CLP | 832,000,000 | USD | 1,144,508 | 9/2/21 | (49,184 | ) | ||||||||||||||
USD | 1,097,495 | CLP | 832,000,000 | 9/2/21 | 2,171 | |||||||||||||||
NZD | 28,011,493 | USD | 19,676,393 | 9/7/21 | (163,216 | ) | ||||||||||||||
PEN | 3,700,000 | USD | 954,765 | 9/9/21 | (43,818 | ) | ||||||||||||||
USD | 1,187,925 | PEN | 4,596,080 | 9/10/21 | 56,352 | |||||||||||||||
EUR | 2,120,113 | USD | 2,503,769 | 9/15/21 | 13,335 | |||||||||||||||
EUR | 245,209 | USD | 298,980 | 9/15/21 | (7,856 | ) | ||||||||||||||
USD | 40,670,731 | EUR | 33,356,140 | 9/15/21 | 1,068,664 | |||||||||||||||
USD | 27,764,260 | EUR | 22,770,885 | 9/15/21 | 729,534 | |||||||||||||||
USD | 7,556,034 | EUR | 6,197,089 | 9/15/21 | 198,542 | |||||||||||||||
USD | 3,076,856 | EUR | 2,523,486 | 9/15/21 | 80,847 | |||||||||||||||
USD | 1,097,359 | EUR | 900,000 | 9/15/21 | 28,834 | |||||||||||||||
USD | 3,427,991 | EUR | 2,902,716 | 9/15/21 | (18,257 | ) | ||||||||||||||
PHP | 218,000,000 | USD | 4,471,795 | 9/20/21 | (120,507 | ) | ||||||||||||||
USD | 4,298,955 | PHP | 218,000,000 | 9/20/21 | (52,333 | ) | ||||||||||||||
TWD | 96,600,000 | USD | 3,518,100 | 9/22/21 | (55,409 | ) | ||||||||||||||
AUD | 42,245,000 | USD | 31,687,130 | 9/23/21 | (678,146 | ) | ||||||||||||||
NZD | 16,384,960 | USD | 11,398,198 | 9/23/21 | 14,683 | |||||||||||||||
USD | 12,521,700 | NZD | 18,000,000 | 9/23/21 | (16,130 | ) | ||||||||||||||
NZD | 8,194,246 | USD | 5,780,795 | 9/28/21 | (73,296 | ) | ||||||||||||||
USD | 8,169,910 | NZD | 11,580,804 | 9/28/21 | 103,588 | |||||||||||||||
USD | 5,324,169 | NZD | 7,546,981 | 9/28/21 | 67,507 | |||||||||||||||
USD | 70,441,611 | IDR | 1,030,067,670,423 | 9/30/21 | (440,723 | ) | ||||||||||||||
RUB | 189,546,000 | USD | 2,521,853 | 10/8/21 | 40,730 | |||||||||||||||
USD | 2,505,039 | RUB | 189,546,000 | 10/8/21 | (57,544 | ) | ||||||||||||||
USD | 2,731,045 | INR | 206,000,000 | 10/14/21 | (16,324 | ) | ||||||||||||||
COP | 4,916,000,000 | USD | 1,266,074 | 10/27/21 | (4,007 | ) | ||||||||||||||
USD | 3,096,956 | MXN | 62,462,496 | 10/29/21 | (3,381 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 2,318,353 | |||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
ILS | 91,000,000 | USD | 27,953,400 | Bank of America, N.A. | 8/3/21 | $ | 198,185 | $ | — | |||||||||||||||
USD | 28,036,940 | ILS | 91,000,000 | HSBC Bank USA, N.A. | 8/3/21 | — | (114,646 | ) | ||||||||||||||||
EUR | 2,876,217 | USD | 3,400,340 | Bank of America, N.A. | 8/6/21 | 11,768 | — | |||||||||||||||||
EUR | 2,194,975 | USD | 2,604,056 | Bank of America, N.A. | 8/6/21 | — | (118 | ) | ||||||||||||||||
USD | 37,386,518 | CNH | 243,703,533 | Goldman Sachs International | 8/10/21 | — | (290,312 | ) | ||||||||||||||||
USD | 594,337 | UAH | 16,897,000 | BNP Paribas | 8/11/21 | — | (34,041 | ) |
22
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
EUR | 12,564,271 | NOK | 128,566,000 | Barclays Bank PLC | 8/12/21 | $ | 354,185 | $ | — | |||||||||||||||
NOK | 128,566,000 | EUR | 12,838,909 | Bank of America, N.A. | 8/12/21 | — | (680,031 | ) | ||||||||||||||||
USD | 127,463 | UAH | 3,510,000 | Citibank, N.A. | 8/12/21 | — | (3,039 | ) | ||||||||||||||||
USD | 27,478,604 | THB | 897,121,451 | Standard Chartered Bank | 8/16/21 | 185,691 | — | |||||||||||||||||
USD | 99,806 | UAH | 2,825,000 | Bank of America, N.A. | 8/16/21 | — | (5,129 | ) | ||||||||||||||||
USD | 1,714,739 | ZAR | 24,270,566 | Citibank, N.A. | 8/16/21 | 60,810 | — | |||||||||||||||||
USD | 605,517 | ZAR | 8,591,351 | Citibank, N.A. | 8/16/21 | 20,055 | — | |||||||||||||||||
MXN | 24,300,000 | USD | 1,215,340 | HSBC Bank USA, N.A. | 8/19/21 | 2,796 | — | |||||||||||||||||
SGD | 4,087,000 | USD | 3,033,330 | Citibank, N.A. | 8/19/21 | — | (17,052 | ) | ||||||||||||||||
USD | 1,201,820 | MXN | 24,300,000 | Citibank, N.A. | 8/19/21 | — | (16,316 | ) | ||||||||||||||||
USD | 3,059,478 | SGD | 4,087,000 | BNP Paribas | 8/19/21 | 43,200 | — | |||||||||||||||||
USD | 2,338,714 | ILS | 7,600,000 | HSBC Bank USA, N.A. | 8/20/21 | — | (12,589 | ) | ||||||||||||||||
USD | 796,016 | UAH | 22,376,000 | Bank of America, N.A. | 8/20/21 | — | (34,354 | ) | ||||||||||||||||
USD | 11,697,010 | ZAR | 171,718,230 | BNP Paribas | 8/23/21 | 5,666 | — | |||||||||||||||||
USD | 27,256,684 | ZAR | 382,094,688 | Citibank, N.A. | 8/23/21 | 1,241,972 | — | |||||||||||||||||
USD | 1,201,302 | ZAR | 17,182,701 | Citibank, N.A. | 8/23/21 | 31,427 | — | |||||||||||||||||
USD | 1,199,364 | ZAR | 17,216,995 | Citibank, N.A. | 8/23/21 | 27,155 | — | |||||||||||||||||
USD | 575,236 | ZAR | 8,217,008 | Citibank, N.A. | 8/23/21 | 15,785 | — | |||||||||||||||||
USD | 3,696,005 | ZAR | 53,102,216 | BNP Paribas | 8/24/21 | 81,031 | — | |||||||||||||||||
SEK | 60,300,000 | USD | 7,300,590 | Standard Chartered Bank | 8/25/21 | — | (294,578 | ) | ||||||||||||||||
SEK | 126,796,211 | USD | 15,351,361 | Standard Chartered Bank | 8/25/21 | — | (619,425 | ) | ||||||||||||||||
USD | 27,965,615 | ILS | 91,000,000 | Bank of America, N.A. | 8/31/21 | — | (189,857 | ) | ||||||||||||||||
USD | 1,463,026 | UAH | 40,994,000 | Goldman Sachs International | 9/1/21 | — | (53,961 | ) | ||||||||||||||||
USD | 1,447,568 | UAH | 40,170,000 | Citibank, N.A. | 9/7/21 | — | (36,791 | ) | ||||||||||||||||
USD | 1,617,696 | MYR | 6,750,000 | Goldman Sachs International | 9/8/21 | 26,895 | — | |||||||||||||||||
USD | 1,766,882 | ZAR | 25,109,903 | Citibank, N.A. | 9/8/21 | 60,779 | — | |||||||||||||||||
USD | 3,091,457 | ZAR | 43,965,593 | Standard Chartered Bank | 9/8/21 | 104,195 | — | |||||||||||||||||
EUR | 2,508,123 | PLN | 11,200,000 | UBS AG | 9/13/21 | 70,045 | — | |||||||||||||||||
PLN | 11,200,000 | EUR | 2,441,034 | State Street Bank and Trust Company | 9/13/21 | 9,605 | — | |||||||||||||||||
USD | 1,325,842 | EUR | 1,122,682 | BNP Paribas | 9/15/21 | — | (7,061 | ) | ||||||||||||||||
USD | 3,525,082 | EUR | 2,984,929 | BNP Paribas | 9/15/21 | — | (18,774 | ) | ||||||||||||||||
USD | 667,400 | UAH | 18,507,000 | BNP Paribas | 9/15/21 | — | (15,148 | ) | ||||||||||||||||
USD | 2,166,346 | ZAR | 30,131,883 | Standard Chartered Bank | 9/15/21 | 120,849 | — | |||||||||||||||||
USD | 3,910,752 | THB | 121,886,392 | Standard Chartered Bank | 9/16/21 | 203,201 | — | |||||||||||||||||
USD | 503,610 | UAH | 13,950,000 | HSBC Bank USA, N.A. | 9/16/21 | — | (10,749 | ) | ||||||||||||||||
TRY | 8,600,000 | USD | 948,121 | Citibank, N.A. | 9/17/21 | 49,110 | — | |||||||||||||||||
USD | 960,174 | TRY | 8,600,000 | Standard Chartered Bank | 9/17/21 | — | (37,057 | ) | ||||||||||||||||
USD | 718,656 | UAH | 20,108,000 | Bank of America, N.A. | 9/20/21 | — | (22,043 | ) | ||||||||||||||||
USD | 303,166 | UAH | 8,522,000 | Citibank, N.A. | 9/22/21 | — | (10,599 | ) | ||||||||||||||||
USD | 4,656,552 | ZAR | 67,161,043 | BNP Paribas | 9/23/21 | 101,983 | — | |||||||||||||||||
USD | 4,416,853 | ZAR | 63,722,659 | HSBC Bank USA, N.A. | 9/23/21 | 95,460 | — |
23
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
ZAR | 13,850,000 | USD | 954,665 | HSBC Bank USA, N.A. | 9/27/21 | $ | — | $ | (15,897 | ) | ||||||||||||||
USD | 2,925,358 | UAH | 81,676,000 | BNP Paribas | 9/30/21 | — | (76,023 | ) | ||||||||||||||||
USD | 5,892,843 | ZAR | 84,963,546 | BNP Paribas | 9/30/21 | 136,118 | — | |||||||||||||||||
USD | 2,151,773 | ZAR | 31,251,159 | Goldman Sachs International | 10/1/21 | 34,613 | — | |||||||||||||||||
USD | 2,780,457 | ZAR | 40,370,220 | Citibank, N.A. | 10/4/21 | 46,555 | — | |||||||||||||||||
HUF | 4,700,000,000 | EUR | 13,130,927 | BNP Paribas | 10/8/21 | — | (75,986 | ) | ||||||||||||||||
PLN | 58,323,000 | EUR | 12,747,286 | Goldman Sachs International | 10/8/21 | 969 | — | |||||||||||||||||
MXN | 23,000,000 | USD | 1,143,283 | State Street Bank and Trust Company | 10/13/21 | 968 | — | |||||||||||||||||
USD | 1,126,058 | MXN | 23,000,000 | Societe Generale | 10/13/21 | — | (18,194 | ) | ||||||||||||||||
CNH | 74,903,533 | USD | 11,480,172 | BNP Paribas | 10/15/21 | 36,844 | — | |||||||||||||||||
USD | 1,707,470 | THB | 55,864,596 | Standard Chartered Bank | 10/18/21 | 8,386 | — | |||||||||||||||||
MXN | 10,486,661 | USD | 513,664 | Goldman Sachs International | 10/22/21 | 7,369 | — | |||||||||||||||||
MXN | 8,658,611 | USD | 423,323 | Standard Chartered Bank | 10/22/21 | 6,883 | — | |||||||||||||||||
MXN | 8,658,612 | USD | 425,477 | Standard Chartered Bank | 10/22/21 | 4,729 | — | |||||||||||||||||
MXN | 8,658,612 | USD | 425,537 | Standard Chartered Bank | 10/22/21 | 4,669 | — | |||||||||||||||||
EGP | 23,320,000 | USD | 1,421,951 | Goldman Sachs International | 10/28/21 | 32,159 | — | |||||||||||||||||
THB | 99,000,000 | USD | 3,005,464 | Standard Chartered Bank | 11/2/21 | 5,381 | — | |||||||||||||||||
EGP | 23,300,000 | USD | 1,421,599 | Goldman Sachs International | 11/8/21 | 26,798 | — | |||||||||||||||||
USD | 4,209,726 | BHD | 1,605,000 | Bank of America, N.A. | 3/14/22 | — | (27,047 | ) | ||||||||||||||||
USD | 8,407,724 | SAR | 32,004,000 | Standard Chartered Bank | 3/14/22 | — | (114,685 | ) | ||||||||||||||||
USD | 20,243,572 | SAR | 77,035,000 | Standard Chartered Bank | 3/14/22 | — | (270,230 | ) | ||||||||||||||||
USD | 8,429,122 | BHD | 3,217,000 | Standard Chartered Bank | 3/16/22 | — | (62,585 | ) | ||||||||||||||||
USD | 4,215,852 | BHD | 1,625,000 | Standard Chartered Bank | 3/16/22 | — | (73,556 | ) | ||||||||||||||||
USD | 4,112,475 | BHD | 1,585,976 | Standard Chartered Bank | 3/16/22 | — | (73,923 | ) | ||||||||||||||||
USD | 8,651,101 | SAR | 32,792,000 | BNP Paribas | 3/24/22 | — | (80,623 | ) | ||||||||||||||||
USD | 12,976,517 | SAR | 49,181,000 | HSBC Bank USA, N.A. | 3/24/22 | — | (119,205 | ) | ||||||||||||||||
USD | 15,526,212 | SAR | 58,790,000 | Standard Chartered Bank | 3/28/22 | — | (127,783 | ) | ||||||||||||||||
USD | 23,292,293 | OMR | 9,293,625 | BNP Paribas | 8/29/22 | — | (719,836 | ) | ||||||||||||||||
USD | 5,030,996 | BHD | 1,911,024 | Standard Chartered Bank | 3/13/23 | 17,972 | — | |||||||||||||||||
USD | 4,226,390 | SAR | 15,887,000 | Standard Chartered Bank | 3/13/23 | 3,801 | — | |||||||||||||||||
USD | 6,711,224 | BHD | 2,554,000 | Standard Chartered Bank | 3/15/23 | 11,791 | — | |||||||||||||||||
USD | 11,776,656 | OMR | 4,666,500 | BNP Paribas | 4/8/24 | — | (102,634 | ) | ||||||||||||||||
USD | 11,825,022 | OMR | 4,664,971 | Standard Chartered Bank | 4/22/24 | — | (50,376 | ) | ||||||||||||||||
USD | 8,189,339 | OMR | 3,237,000 | BNP Paribas | 7/8/24 | — | (50,940 | ) | ||||||||||||||||
USD | 5,155,499 | OMR | 2,039,000 | Standard Chartered Bank | 7/15/24 | — | (35,087 | ) | ||||||||||||||||
USD | 954,425 | OMR | 378,000 | BNP Paribas | 7/29/24 | — | (7,832 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 3,507,853 | $ | (4,626,112 | ) | ||||||||||||||||||||
|
|
|
|
Non-deliverable Bond Forward Contracts*
Settlement Date | Notional Amount (000’s omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |||||||||||||
8/16/21 | COP | 27,410,880 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | $ | 7,068,303 | $ | (13,168 | ) | |||||||||
8/16/21 | COP | 27,410,880 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 7,048,894 | 19,410 |
24
Settlement Date | Notional Amount (000’s omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |||||||||||||
8/17/21 | COP | 25,232,830 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | $ | 6,506,661 | $ | (51,129 | ) | |||||||||
8/25/21 | COP | 8,255,529 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 2,128,811 | 32,813 | ||||||||||||
8/27/21 | COP | 8,038,070 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | 2,072,736 | 26,817 | ||||||||||||
9/3/21 | COP | 27,410,880 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 7,068,303 | 56,695 | ||||||||||||
9/15/21 | COP | 27,410,880 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 7,068,303 | 105,176 | ||||||||||||
|
| |||||||||||||||||
$ | 176,614 | |||||||||||||||||
|
|
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Interest Rate Futures |
| |||||||||||||||||
U.S. 2-Year Treasury Note | 18 | Long | 9/30/21 | $ | 3,971,813 | $ | (1,387 | ) | ||||||||||
U.S. 10-Year Treasury Note | 73 | Long | 9/21/21 | 9,815,078 | 137,600 | |||||||||||||
U.S. Ultra-Long Treasury Bond | 17 | Long | 9/21/21 | 3,392,031 | 208,069 | |||||||||||||
Euro-Bobl | (4 | ) | Short | 9/8/21 | (642,283 | ) | (6,075 | ) | ||||||||||
Euro-Buxl | (14 | ) | Short | 9/8/21 | (3,571,275 | ) | (249,457 | ) | ||||||||||
U.S. 5-Year Treasury Note | (22 | ) | Short | 9/30/21 | (2,737,797 | ) | (12,631 | ) | ||||||||||
U.S. 10-Year Treasury Note | (1,752 | ) | Short | 9/21/21 | (235,561,875 | ) | (4,262,871 | ) | ||||||||||
U.S. Long Treasury Bond | (2 | ) | Short | 9/21/21 | (329,438 | ) | (16,144 | ) | ||||||||||
|
| |||||||||||||||||
$ | (4,202,896 | ) | ||||||||||||||||
|
|
Centrally Cleared Inflation Swaps
Notional Amount (000’s omitted) | Portfolio | Reference Index | Portfolio | Annual Rate | Termination Date | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||
EUR | 5,003 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.60% (pays upon termination) | 8/15/32 | $ | (88,016 | ) | |||||||||||||
EUR | 19,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.69% (pays upon termination) | 11/15/32 | (627,305 | ) | ||||||||||||||
EUR | 5,003 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.79% (pays upon termination) | 8/15/42 | 212,003 | |||||||||||||||
EUR | 19,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.89% (pays upon termination) | 11/15/42 | 1,563,751 | |||||||||||||||
USD | 8,770 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.29% (pays upon termination) | 1/26/26 | (373,421 | ) |
25
Notional Amount (000’s omitted) | Portfolio | Reference Index | Portfolio | Annual Rate | Termination Date | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||
USD | 8,770 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.29% (pays upon termination) | 1/26/26 | $ | (373,421 | ) | |||||||||||
USD | 8,770 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.26% (pays upon termination) | 1/27/26 | (388,865 | ) | ||||||||||||
USD | 8,780 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.26% (pays upon termination) | 1/27/26 | (388,136 | ) | ||||||||||||
USD | 4,910 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.28% (pays upon termination) | 1/28/26 | (213,759 | ) | ||||||||||||
USD | 5,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 1.28% (pays upon termination) | 4/20/30 | 742,537 | |||||||||||||
USD | 8,770 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.33% (pays upon termination) | 1/26/31 | 399,331 | |||||||||||||
USD | 8,770 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.33% (pays upon termination) | 1/26/31 | 398,104 | |||||||||||||
USD | 8,780 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.31% (pays upon termination) | 1/27/31 | 419,287 | |||||||||||||
USD | 8,770 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.31% (pays upon termination) | 1/27/31 | 418,564 | |||||||||||||
USD | 4,910 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.32% (pays upon termination) | 1/28/31 | 232,367 | |||||||||||||
USD | 19,500 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.30% (pays upon termination) | 2/25/31 | 936,241 | |||||||||||||
USD | 25,300 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.22% (pays upon termination) | 11/14/32 | (1,355,127 | ) | ||||||||||||
USD | 25,300 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.20% (pays upon termination) | 11/14/42 | 1,826,486 | |||||||||||||
USD | 2,309 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.13% (pays upon termination) | 8/22/47 | 258,379 | |||||||||||||
USD | 2,295 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.15% (pays upon termination) | 8/25/47 | 245,212 | |||||||||||||
USD | 4,400 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.42% (pays upon termination) | 6/8/48 | (29,165 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | 3,815,047 | |||||||||||||||||||
|
|
CPI-U (NSA) | - | Consumer Price Index All Urban Non-Seasonally Adjusted | ||
HICP | - | Harmonised Indices of Consumer Prices |
Inflation Swaps
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio | Annual Rate | Termination Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Bank of America, N.A. | USD | 19,500 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.09% (pays upon termination) | 4/2/29 | $ | 1,240,875 | |||||||||||||
|
| |||||||||||||||||||||
$ | 1,240,875 | |||||||||||||||||||||
|
|
CPI-U (NSA) | - | Consumer Price Index All Urban Non-Seasonally Adjusted |
26
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 | 413,556 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.08% (pays upon termination) | 1/3/22 | $ | (717,002 | ) | $ | — | $ | (717,002 | ) | |||||||||||
BRL | 417,031 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.40% (pays upon termination) | 1/3/22 | 584,625 | — | 584,625 | ||||||||||||||||
BRL | 34,700 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 8.59% (pays upon termination) | 1/4/27 | 91,258 | — | 91,258 | ||||||||||||||||
CLP | 4,565,350 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.03% (pays semi-annually) | 2/25/26 | 288,347 | — | 288,347 | ||||||||||||||||
CLP | 1,842,670 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.04% (pays semi-annually) | 2/25/26 | 116,175 | — | 116,175 | ||||||||||||||||
CLP | 9,791,980 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.04% (pays semi-annually) | 2/25/26 | 616,599 | — | 616,599 | ||||||||||||||||
CLP | 7,600,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.44% (pays semi-annually) | 7/30/26 | (33,599 | ) | — | (33,599 | ) | ||||||||||||||
CNY | 892,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.31% (pays quarterly) | 7/28/22 | 23,750 | — | 23,750 | ||||||||||||||||
COP | 51,043,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.38% (pays quarterly) | 3/30/26 | 250,119 | — | 250,119 | ||||||||||||||||
COP | 25,273,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.38% (pays quarterly) | 3/30/26 | 123,272 | — | 123,272 | ||||||||||||||||
COP | 14,519,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.48% (pays quarterly) | 3/31/26 | 54,096 | — | 54,096 | ||||||||||||||||
COP | 15,543,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.56% (pays quarterly) | 4/6/26 | 46,267 | — | 46,267 | ||||||||||||||||
COP | 4,505,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 28,892 | — | 28,892 | ||||||||||||||||
COP | 5,037,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 31,916 | — | 31,916 | ||||||||||||||||
COP | 3,218,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 20,145 | — | 20,145 | ||||||||||||||||
EUR | 750 | Receives | 6-month EURIBOR (pays semi-annually) | (0.30)% (pays annually) | 6/16/25 | (4,266 | ) | (1 | ) | (4,267 | ) | |||||||||||||
HUF | 4,600,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 2.45% (pays annually) | 8/2/26 | 31,043 | — | 31,043 | ||||||||||||||||
MXN | 1,081,600 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.54% (pays monthly) | 12/15/23 | 3,139,022 | — | 3,139,022 | ||||||||||||||||
MXN | 298,383 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.76% (pays monthly) | 3/7/24 | (267,429 | ) | — | (267,429 | ) | ||||||||||||||
MXN | 82,926 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.79% (pays monthly) | 3/7/24 | (77,394 | ) | — | (77,394 | ) | ||||||||||||||
MXN | 393,100 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.63% (pays monthly) | 1/9/25 | (986,358 | ) | — | (986,358 | ) | ||||||||||||||
MXN | 393,300 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.61% (pays monthly) | 1/10/25 | (994,783 | ) | — | (994,783 | ) | ||||||||||||||
MXN | 350,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.29% (pays monthly) | 5/2/25 | (577,169 | ) | — | (577,169 | ) | ||||||||||||||
THB | 384,716 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.19% (pays semi-annually) | 2/23/28 | (185,005 | ) | — | (185,005 | ) | ||||||||||||||
THB | 384,716 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.19% (pays semi-annually) | 2/23/28 | (185,005 | ) | — | (185,005 | ) | ||||||||||||||
THB | 217,211 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.32% (pays semi-annually) | 2/25/28 | (161,409 | ) | — | (161,409 | ) | ||||||||||||||
THB | 192,358 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.34% (pays semi-annually) | 2/25/28 | (151,059 | ) | — | (151,059 | ) | ||||||||||||||
USD | 1,010 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.32% (pays semi-annually) | 6/11/23 | (1,673 | ) | — | (1,673 | ) |
27
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) | |||||||||||||||
USD 332 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.44% (pays semi-annually) | 6/12/25 | $ | 2,186 | $ | — | $ | 2,186 | ||||||||||||
USD 1,010 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.36% (pays semi-annually) | 6/15/25 | 9,824 | — | 9,824 | |||||||||||||||
USD 1,316 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.37% (pays semi-annually) | 6/23/25 | 12,954 | — | 12,954 | |||||||||||||||
USD 1,180 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.32% (pays semi-annually) | 7/14/25 | 14,537 | — | 14,537 | |||||||||||||||
USD 1,000 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.50% (pays semi-annually) | 6/4/27 | 22,033 | — | 22,033 | |||||||||||||||
USD 51,000 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.94% (pays semi-annually) | 1/7/31 | 1,261,629 | — | 1,261,629 | |||||||||||||||
USD 11,693 | Receives | 3-month USD-LIBOR (pays quarterly) | 2.50% (pays semi-annually) | 9/20/47 | (2,351,085 | ) | (98,019 | ) | (2,449,104 | ) | ||||||||||||
USD 2,450 | Pays | 3-month USD-LIBOR (pays quarterly) | 0.58% (pays semi-annually) | 3/11/50 | (623,222 | ) | — | (623,222 | ) | |||||||||||||
USD 2,450 | Pays | 3-month USD-LIBOR (pays quarterly) | 0.62% (pays semi-annually) | 3/11/50 | (598,215 | ) | — | (598,215 | ) | |||||||||||||
USD 3,670 | Pays | 3-month USD-LIBOR (pays quarterly) | 0.97% (pays semi-annually) | 3/20/50 | (588,847 | ) | — | (588,847 | ) | |||||||||||||
USD 700 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.94% (pays semi-annually) | 5/21/50 | 117,809 | — | 117,809 | |||||||||||||||
USD 5,000 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.18% (pays semi-annually) | 6/10/50 | 557,536 | — | 557,536 | |||||||||||||||
USD 12,450 | Pays | 3-month USD-LIBOR (pays quarterly) | 1.27% (pays semi-annually) | 11/4/50 | (1,116,214 | ) | — | (1,116,214 | ) | |||||||||||||
USD 3,750 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.76% (pays semi-annually) | 2/12/51 | (130,568 | ) | — | (130,568 | ) | |||||||||||||
USD 3,000 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.24% (pays semi-annually) | 3/5/51 | 285,917 | — | 285,917 | |||||||||||||||
USD 3,000 | Pays | 3-month USD-LIBOR (pays quarterly) | 1.26% (pays semi-annually) | 3/5/51 | (272,774 | ) | — | (272,774 | ) | |||||||||||||
USD 12,500 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.70% (pays semi-annually) | �� | 3/5/51 | (242,534 | ) | (334,143 | ) | (576,677 | ) | |||||||||||
ZAR165,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.74% (pays quarterly) | 7/29/26 | 5,210 | 638 | 5,848 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Total | $ | (2,530,449 | ) | $ | (431,525 | ) | $ | (2,961,974 | ) | |||||||||||||
|
|
|
|
|
|
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. | MYR | 61,400 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.50% (pays quarterly) | 7/19/26 | $ | (3,161 | ) | |||||||||
BNP Paribas | MYR | 55,800 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.52% (pays quarterly) | 7/16/26 | 5,171 | |||||||||||
BNP Paribas | MYR | 55,800 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.52% (pays quarterly) | 7/16/26 | 5,169 | |||||||||||
BNP Paribas | MYR | 92,000 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.47% (pays quarterly) | 7/26/26 | (49,599 | ) | ||||||||||
Goldman Sachs International | MYR | 44,300 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.52% (pays quarterly) | 7/16/26 | 6,632 |
28
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Goldman Sachs International | MYR | 13,500 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.50% (pays quarterly) | 7/19/26 | $ | (2,080 | ) | |||||||||
Standard Chartered Bank | MYR | 99,300 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.53% (pays quarterly) | 7/16/26 | 26,183 | |||||||||||
Standard Chartered Bank | MYR | 43,900 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.49% (pays quarterly) | 7/19/26 | (9,268 | ) | ||||||||||
|
| |||||||||||||||||
$ | (20,953 | ) | ||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Entity | Notional Amount (000’s omitted) | Contract | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Malaysia | $ | 26,266 | 1.00% (pays quarterly)(1) | 6/20/26 | $ | (643,939 | ) | $ | 691,744 | $ | 47,805 | |||||||||||
|
|
|
|
|
| |||||||||||||||||
Total | $ | (643,939 | ) | $ | 691,744 | $ | 47,805 | |||||||||||||||
|
|
|
|
|
|
* | The contract annual fixed rate represents the fixed rate of interest paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
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 1,013,999,193 (pays semi-annually)* | (0.20)% on CLP equivalent of CLF 34,778 (pays semi-annually)* | 2/10/31 | $ | 133,273 | |||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,901,102,998 (pays semi-annually)* | (0.25)% on CLP equivalent of CLF 65,220 (pays semi-annually)* | 2/9/31 | 261,383 | ||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 959,074,478 (pays semi-annually)* | (0.24)% on CLP equivalent of CLF 32,886 (pays semi-annually)* | 2/11/31 | 131,504 | ||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 959,284,060 (pays semi-annually)* | (0.27)% on CLP equivalent of CLF 32,885 (pays semi-annually)* | 2/12/31 | 135,703 | ||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 467,082,022 (pays semi-annually)* | (0.32)% on CLP equivalent of CLF 15,992 (pays semi-annually)* | 2/17/31 | 69,975 | ||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,831,709,463 (pays semi-annually)* | (0.15)% on CLP equivalent of CLF 62,683 (pays semi-annually)* | 2/19/31 | 234,988 | ||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 558,373,067 (pays semi-annually)* | (0.23)% on CLP equivalent of CLF 19,151 (pays semi-annually)* | 2/10/31 | 75,249 |
29
Counterparty | Portfolio Receives | Portfolio Pays | Termination Date | Value/ Unrealized Appreciation (Depreciation) | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 558,512,295 (pays semi-annually)* | (0.20)% on CLP equivalent of CLF 19,151 (pays semi-annually)* | 2/11/31 | $ | 73,604 | |||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 558,512,295 (pays semi-annually)* | (0.22)% on CLP equivalent of CLF 19,151 (pays semi-annually)* | 2/11/31 | 74,720 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 1,117,024,590 (pays semi-annually)* | (0.22)% on CLP equivalent of CLF 38,302 (pays semi-annually)* | 2/11/31 | 150,185 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 1,117,024,590 (pays semi-annually)* | (0.23)% on CLP equivalent of CLF 38,302 (pays semi-annually)* | 2/11/31 | 151,674 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 890,207,440 (pays semi-annually)* | (0.30)% on CLP equivalent of CLF 30,517 (pays semi-annually)* | 2/12/31 | 129,489 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 839,036,096 (pays semi-annually)* | (0.31)% on CLP equivalent of CLF 28,727 (pays semi-annually)* | 2/16/31 | 124,600 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 559,347,662 (pays semi-annually)* | (0.34)% on CLP equivalent of CLF 19,151 (pays semi-annually)* | 2/16/31 | 85,299 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 564,044,545 (pays semi-annually)* | (0.21)% on CLP equivalent of CLF 19,307 (pays semi-annually)* | 2/18/31 | 76,099 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 564,185,100 (pays semi-annually)* | (0.16)% on CLP equivalent of CLF 19,307 (pays semi-annually)* | 2/19/31 | 72,566 | ||||||||
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$ | 1,980,311 | |||||||||||
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* | 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. |
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Abbreviations:
COF | - | Cost of Funds 11th District | ||
EURIBOR | - | Euro Interbank Offered Rate | ||
GDP | - | Gross Domestic Product | ||
LIBOR | - | London Interbank Offered Rate | ||
PIK | - | Payment In Kind | ||
SOFR | - | Secured Overnight Financing Rate | ||
TBA | - | To Be Announced |
Currency Abbreviations:
AUD | - | Australian Dollar | ||||
BHD | - | Bahraini Dinar | ||||
BRL | - | Brazilian Real | ||||
CLF | - | Chilean Unidad de Fomento | ||||
CLP | - | Chilean Peso | ||||
CNH | - | Yuan Renminbi Offshore | ||||
CNY | - | Yuan Renminbi | ||||
COP | - | Colombian Peso | ||||
EGP | - | Egyptian Pound | ||||
EUR | - | Euro | ||||
GBP | - | British Pound Sterling | ||||
HUF | - | Hungarian Forint | ||||
IDR | - | Indonesian Rupiah | ||||
ILS | - | Israeli Shekel | ||||
INR | - | Indian Rupee | ||||
ISK | - | Icelandic Krona | ||||
MXN | - | Mexican Peso | ||||
MYR | - | Malaysian Ringgit |
NOK | - | Norwegian Krone | ||
NZD | - | New Zealand Dollar | ||
OMR | - | Omani Rial | ||
PEN | - | Peruvian Sol | ||
PHP | - | Philippine Peso | ||
PLN | - | Polish Zloty | ||
RSD | - | Serbian Dinar | ||
RUB | - | Russian Ruble | ||
SAR | - | Saudi Riyal | ||
SEK | - | Swedish Krona | ||
SGD | - | Singapore Dollar | ||
THB | - | Thai Baht | ||
TRY | - | New Turkish Lira | ||
TWD | - | New Taiwan Dollar | ||
UAH | - | Ukrainian Hryvnia | ||
USD | - | United States Dollar | ||
UZS | - | Uzbekistani Som | ||
ZAR | - | South African Rand |
Basis for Consolidation
The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GOP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The net assets of the Subsidiary at July 31, 2021 were $1,352,833 or 0.1% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.
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In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Commodity Risk: The Portfolio invests in commodities-linked derivative instruments, including forward commodity contracts and total return swap contracts based on commodity indices, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative instruments are used to enhance total return and/or as a substitute for the purchase or sale of commodities and to manage certain investment risks.
Credit Risk: The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return or as a substitute for the purchase or sale of securities.
Equity Price Risk: During the fiscal year to date ended July 31, 2021, the Portfolio entered into total return swap contracts to enhance total return and/or to manage certain investment risks.
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, inflation swaps, cross-currency swaps and options contracts, 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.
Restricted Securities
At July 31, 2021, the Portfolio owned the following securities (representing 1.7% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
Description | Date of Acquisition | Shares | Cost | Value | ||||||||||||
Reinsurance Side Cars | ||||||||||||||||
Altair VI Reinsurance | 12/29/17 | 1,000 | $ | 2,670,333 | $ | 251,377 | ||||||||||
Mt. Logan Re, Ltd., Series 13, Preference Shares | 1/2/18 | 10,000 | 6,658,283 | 10,766,457 | ||||||||||||
Mt. Logan Re, Ltd., Series 17, Preference Shares | 1/26/21 | 860 | 572,931 | 894,222 | ||||||||||||
Mt. Logan Re, Ltd., Special Investment Series 13, 12/18 | 1/22/19 | 2,000 | 1,446,242 | 426,116 | ||||||||||||
Mt. Logan Re, Ltd., Special Investment Series 13, 12/19 | 1/17/20 | 1,829 | 1,322,544 | 636,297 | ||||||||||||
Sussex Capital, Ltd., Designated Investment Series 5, 5/19 | 5/31/19 | 249 | 212,150 | 39,301 | ||||||||||||
Sussex Capital, Ltd., Designated Investment Series 5, 12/19 | 1/17/20 | 791 | 673,953 | 117,940 | ||||||||||||
Sussex Capital, Ltd., Designated Investment Series 5, 6/20 | 6/30/20 | 434 | 69,673 | 105,062 | ||||||||||||
Sussex Capital, Ltd., Designated Investment Series 5, 12/20 | 1/25/21 | 292 | 284,695 | 150,407 | ||||||||||||
Sussex Capital, Ltd., Designated Investment Series 5, 4/21 | 4/1/21 | 247 | 195,858 | 199,176 | ||||||||||||
Sussex Capital, Ltd., Series 5, Preference Shares | 12/17/18 | 6,000 | 4,563,671 | 6,349,725 | ||||||||||||
Sussex Capital, Ltd., Series 15, Preference Shares | 6/1/21 | 5,000 | 5,000,000 | 5,030,329 | ||||||||||||
Sussex Re, Ltd., Series 2020A | 1/21/20 | 4,081,939 | 208,171 | 244,100 | ||||||||||||
Sussex Re, Ltd., Series 2021A | 1/14/21 | 4,154,232 | 3,475,256 | 4,141,769 | ||||||||||||
Versutus Re, Ltd., Series 2019 | 1/21/20 | 220,133 | 47,833 | 147,929 | ||||||||||||
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Total Restricted Securities | $ | 27,401,593 | $ | 29,500,207 | ||||||||||||
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The Portfolio invested in issuers that may be deemed to be affiliated with Morgan Stanley. At July 31, 2021, the value of the Portfolio’s investment in affiliated issuers and funds was $512,018,991, which represents 28.8% of the Portfolio’s net assets. Transactions in affiliated issuers and funds by the Portfolio for the fiscal year to date ended July 31, 2021 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/Dividend income | Principal amount/Units, end of period | ||||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
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Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class D, 4.354%, 8/15/46(1) | $ | — | $ | — | $ | — | $ | — | $ | (3,603 | ) | $ | 471,975 | $ | 18,900 | $ | 5,000,000 | |||||||||||||||
Short-Term Investments |
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Eaton Vance Cash Reserves Fund, LLC | 282,555,462 | 1,513,288,494 | (1,284,296,271 | ) | 4,376 | (5,045 | ) | 511,547,016 | 268,880 | 511,547,016 | ||||||||||||||||||||||
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Totals | $ | 4,376 | $ | (8,648 | ) | $ | 512,018,991 | $ | 287,780 | |||||||||||||||||||||||
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(1) | May be deemed to be an affiliated issuer as of March 1, 2021. |
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.
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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 | ||||||||||||
Asset-Backed Securities | $ | — | $ | 178,365,250 | $ | — | $ | 178,365,250 | ||||||||
Closed-End Funds | 12,959,190 | — | — | 12,959,190 | ||||||||||||
Collateralized Mortgage Obligations | — | 121,854,012 | — | 121,854,012 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 11,684,940 | — | 11,684,940 | ||||||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 561,815,940 | — | 561,815,940 | ||||||||||||
Common Stocks | — | 11,067,236 | * | — | 11,067,236 | |||||||||||
Convertible Bonds | — | 4,210,359 | — | 4,210,359 | ||||||||||||
Foreign Corporate Bonds | — | 109,075,179 | 885,983 | 109,961,162 | ||||||||||||
Loan Participation Notes | — | — | 536,746 | 536,746 | ||||||||||||
Reinsurance Side Cars | — | — | 40,793,904 | 40,793,904 | ||||||||||||
Sovereign Government Bonds | — | 341,647,080 | — | 341,647,080 | ||||||||||||
Sovereign Loans | — | 2,069,649 | — | 2,069,649 | ||||||||||||
U.S. Government Guaranteed Small Business Administration Loans | — | 39,729,027 | — | 39,729,027 | ||||||||||||
Senior Floating-Rate Loans | — | 2,946,229 | — | 2,946,229 | ||||||||||||
Short-Term Investments — | ||||||||||||||||
Affiliated Fund | — | 511,547,016 | — | 511,547,016 | ||||||||||||
Repurchase Agreements | — | 10,639,431 | — | 10,639,431 | ||||||||||||
Sovereign Government Securities | — | 65,916,155 | — | 65,916,155 | ||||||||||||
U.S. Treasury Obligations | — | 6,999,773 | — | 6,999,773 | ||||||||||||
Purchased Interest Rate Swaptions | — | 360,586 | — | 360,586 | ||||||||||||
Total Investments | $ | 12,959,190 | $ | 1,979,927,862 | $ | 42,216,633 | $ | 2,035,103,685 | ||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 8,562,942 | $ | — | $ | 8,562,942 | ||||||||
Non-deliverable Bond Forward Contracts | — | 240,911 | — | 240,911 | ||||||||||||
Futures Contracts | 345,669 | — | — | 345,669 | ||||||||||||
Swap Contracts | — | 18,651,764 | — | 18,651,764 | ||||||||||||
Total | $ | 13,304,859 | $ | 2,007,383,479 | $ | 42,216,633 | $ | 2,062,904,971 | ||||||||
Liability Description | ||||||||||||||||
Securities Sold Short | $ | — | $ | (10,559,088 | ) | $ | — | $ | (10,559,088 | ) | ||||||
TBA Sale Commitments | — | (156,060,537 | ) | — | (156,060,537 | ) | ||||||||||
Forward Commodity Contracts | — | (545,735 | ) | — | (545,735 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (7,362,848 | ) | — | (7,362,848 | ) | ||||||||||
Non-deliverable Bond Forward Contracts | — | (64,297 | ) | — | (64,297 | ) | ||||||||||
Futures Contracts | (4,548,565 | ) | — | — | (4,548,565 | ) | ||||||||||
Swap Contracts | — | (14,810,872 | ) | — | (14,810,872 | ) | ||||||||||
Total | $ | (4,548,565 | ) | $ | (189,403,377 | ) | $ | — | $ | (193,951,942 | ) |
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
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The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Investments in Foreign Corporate Bonds | Investments in Loan Participation Notes | Investments in Reinsurance Side Cars* | Total | |||||||||||||
Balance as of October 31, 2020 | $ | 800,582 | $ | 563,847 | $ | 36,084,623 | $ | 37,449,052 | ||||||||
Realized gains (losses) | — | — | 178,579 | 178,579 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 172,901 | (24,782 | ) | (936,706 | ) | (788,587 | ) | |||||||||
Cost of purchases | — | — | 19,328,740 | 19,328,740 | ||||||||||||
Proceeds from sales, including return of capital | (87,500 | ) | — | (13,861,332 | ) | (13,948,832 | ) | |||||||||
Accrued discount (premium) | — | (2,319 | ) | — | (2,319 | ) | ||||||||||
Transfers to Level 3 | — | — | — | — | ||||||||||||
Transfers from Level 3 | — | — | — | — | ||||||||||||
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Balance as of July 31, 2021 | $ | 885,983 | $ | 536,746 | $ | 40,793,904 | $ | 42,216,633 | ||||||||
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Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2021 | $ | 172,901 | $ | (24,782 | ) | $ | 959,057 | $ | 1,107,176 | |||||||
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* | The Portfolio’s investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations. |
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* | |||||||||||
Foreign Corporate Bonds | $ | 885,983 | Matrix Pricing | Credit Spread to U.S. Treasury | 22.31 | % | Decrease | |||||||||
Loan Participation Notes | 536,746 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 2.86 | % | Decrease |
Included in foreign corporate bonds are securities valued at $0 based on their estimated recovery value percentage.
* | 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.
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