| Open purchased option contracts as of February 28, 2025 were as follows: | ||||||
| Description of Options | Counterparty | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
| Call Options(2) | ||||||
| Call USD 2,208 versus Put CNH 16,284 | GS | 2,208,340 | $16,284 | 7.37 | 05/14/25 | $9 |
| Call USD 3,811 versus Put CNH 28,098 | GS | 3,811,000 | 28,098 | 7.37 | 05/30/25 | 18 |
| Put Option(2) | ||||||
| Put AUD 9,565 versus Call USD 5,996 | GS | 9,565,000 | 5,996 | 0.63 | 05/30/25 | 146 |
| Total | $173 | |||||
| Footnote Legend: | |
| (1) | Strike price not reported in thousands. |
| (2) | Over-the-counter options. |
| Forward foreign currency exchange contracts as of February 28, 2025 were as follows: | ||||||||
| Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
| EUR | 1,583 | USD | 1,644 | JPM | 04/04/25 | $1 | $— | |
| JPY | 84,676 | USD | 547 | JPM | 04/04/25 | 17 | — | |
| TRY | 94,000 | USD | 2,501 | JPM | 03/28/25 | 12 | — | |
| USD | 7,405 | EUR | 7,119 | JPM | 04/04/25 | 7 | — | |
| USD | 3,416 | JPY | 533,748 | JPM | 04/04/25 | — | (144) | |
| Total | $37 | $(144) | ||||||
| Over-the-counter credit default swaps - sell protection(1) outstanding as of February 28, 2025 were as follows: | |||||||||||||
| Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
| Republic of Argentina 5 Year CDS, CCC /BL(3),* | Quarterly | JPM | 5.000% | 12/20/29 | $3,113 | $(574) | $(520) | $— | $(54) | ||||
| Republic of Argentina 5 Year CDS, CCC /BL(3),* | Quarterly | JPM | 5.000% | 12/20/29 | 366 | (68) | (59) | — | (8) | ||||
| Total | $(642) | $(579) | $— | $(62) | |||||||||
| Footnote Legend: | |
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (3) | Based on Republic of Argentina Sovereign Debt Obligation, USD Denominated 0.75% fixed coupon, 07/09/2030 maturity. |
| * | S&P / Morningstar DBRS, respectively. |
| Total Value at February 28, 2025 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
| Assets: | |||||||
| Debt Instruments: | |||||||
| Foreign Government Securities | $185,327 | $— | $185,327 | $—(1) | |||
| Convertible Bonds and Notes | 185 | — | 185 | — | |||
| Corporate Bonds and Notes | 53,462 | — | 53,462 | — | |||
| Credit Linked Notes | 3,004 | — | — | 3,004 | |||
| Affiliated Mutual Funds | 4,626 | 4,626 | — | — | |||
| Other Financial Instruments: | |||||||
| Purchased Options | 173 | — | 173 | — | |||
| Forward Foreign Currency Exchange Contracts* | 37 | — | 37 | — | |||
| Total Assets | 246,814 | 4,626 | 239,184 | 3,004 | |||
| Liabilities: | |||||||
| Other Financial Instruments: | |||||||
| Over-the-Counter Credit Default Swaps | (642) | — | (642) | — | |||
| Forward Foreign Currency Exchange Contract* | (144) | — | (144) | — | |||
| Total Liabilities | (786) | — | (786) | — | |||
| Total Investments | $246,028 | $4,626 | $238,398 | $3,004 |
| (1) | Includes internally fair valued securities currently priced at zero ($0). |
| * | Forward Foreign Currency Exchange Contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty. |
| Total | Credit Linked Notes | Foreign Government Securities | |||
| Investments in Securities | |||||
| Balance as of May 31, 2024: | $ 3,730 | $ 3,730 | $ — | ||
| Accrued discount/(premium) | 62 | 62 | — | ||
| Net realized gain (loss) | (530) | (530) | — | ||
| Net change in unrealized appreciation (depreciation)(a) | 678 | 742 | (64) | ||
| Sales(b) | (1,000) | (1,000) | — | ||
| Transfers into Level 3(c) | 64 | — | 64 | ||
| Balance as of February 28, 2025 | $ 3,004 | $ 3,004 | $ —(d) |
| • | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
| • | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
| • | Level 3 – prices determined using significant unobservable inputs (including the investment adviser’s Valuation Committee’s own assumptions in determining the fair value of investments). |