Reverse Repurchase Agreements as of August 31, 2022 were as follows: | |||
Counterparty | Interest Rate | Acquisition Date* | Amount |
CS | 3.00% | 07/28/22 | $(919) |
CS | 3.00 | 07/28/22 | (1,436) |
CS | 3.00 | 07/28/22 | (1,114) |
CS | 3.10 | 08/26/22 | (515) |
CS | 3.10 | 07/28/22 | (241) |
CS | 3.10 | 08/24/22 | (451) |
CS | 3.10 | 08/24/22 | (550) |
CS | 3.10 | 07/28/22 | (80) |
CS | 3.10 | 07/28/22 | (190) |
CS | 3.10 | 07/28/22 | (559) |
CS | 3.10 | 08/24/22 | (584) |
CS | 3.10 | 08/24/22 | (683) |
CS | 3.25 | 08/24/22 | (181) |
CS | 3.25 | 08/26/22 | (132) |
CS | 3.25 | 08/26/22 | (256) |
CS | 3.50 | 07/28/22 | (504) |
CS | 3.50 | 08/24/22 | (38) |
CS | 3.50 | 08/24/22 | (291) |
CS | 3.50 | 08/26/22 | (861) |
CS | 3.50 | 08/26/22 | (649) |
CS | 3.50 | 07/28/22 | (256) |
CS | 3.50 | 08/26/22 | (322) |
CS | 3.50 | 07/28/22 | (202) |
CS | 3.50 | 07/28/22 | (365) |
CS | 3.50 | 08/24/22 | (509) |
CS | 3.50 | 08/24/22 | (276) |
CS | 3.50 | 08/26/22 | (253) |
CS | 3.50 | 07/28/22 | (508) |
CS | 3.50 | 07/28/22 | (986) |
CS | 3.50 | 08/24/22 | (123) |
CS | 3.50 | 07/28/22 | (546) |
CS | 3.50 | 07/28/22 | (430) |
CS | 3.50 | 07/28/22 | (357) |
CS | 3.50 | 08/24/22 | (105) |
CS | 3.50 | 08/24/22 | (809) |
JPM | 2.55 | 07/28/22 | (795) |
JPM | 2.65 | 07/28/22 | (889) |
JPM | 2.65 | 07/28/22 | (393) |
JPM | 2.65 | 07/28/22 | (1,235) |
JPM | 2.70 | 07/28/22 | (1,621) |
JPM | 3.30 | 07/28/22 | (541) |
JPM | 3.30 | 07/28/22 | (871) |
JPM | 3.30 | 07/28/22 | (948) |
Reverse Repurchase Agreements as of August 31, 2022 were as follows: | |||
Counterparty | Interest Rate | Acquisition Date* | Amount |
JPM | 3.45% | 07/28/22 | $(694) |
JPM | 3.45 | 07/28/22 | (261) |
JPM | 3.45 | 07/28/22 | (128) |
JPM | 3.45 | 07/28/22 | (458) |
Total | $(25,115) |
Footnote Legend: | |
* | All agreements can be terminated by either party on demand at value plus accrued interest. |
Forward foreign currency exchange contracts as of August 31, 2022 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
USD | 1,506 | MXN | 31,200 | JPM | 09/09/22 | $— | $(40) | |
Total | $— | $(40) |
Centrally cleared credit default swaps - sell protection(1) outstanding as of August 31, 2022 was 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 4 Year CDS(3) | Quarterly | ICE | 5.000% | 6/20/25 | $4,000 | $(2,653) | $(1,019) | $— | $(1,634) | ||||
Total | $(2,653) | $(1,019) | $— | $(1,634) |
Over-the-counter credit default swaps - sell protection(1) outstanding as of August 31, 2022 were as follows: | ||||||||||
Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | |
Eskom Holdings SOC Ltd. 5 Year CDS(4) | Quarterly | BCLY | 1.000% | 12/20/25 | $6,100 | $(714) | $(691) | $— | $(23) |
Over-the-counter credit default swaps - sell protection(1) outstanding as of August 31, 2022 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 4 Year CDS(3) | Quarterly | BCLY | 5.000% | 06/20/25 | $4,000 | $(2,652) | $(1,012) | $— | $(1,641) | ||||
Republic of Argentina 5 Year CDS(3) | Quarterly | GS | 5.000% | 12/20/25 | 2,250 | (1,508) | (467) | — | (1,040) | ||||
Republic of Argentina 5 Year CDS(3) | Quarterly | BCLY | 5.000% | 12/20/25 | 9,100 | (6,098) | (1,892) | — | (4,206) | ||||
Republic of Turkey CDS | Quarterly | BCLY | 1.000% | 06/20/27 | 3,059 | (735) | (690) | — | (45) | ||||
Total | $(11,707) | $(4,752) | $— | $(6,955) |
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 1.00% fixed coupon, 07/09/2029 maturity. |
(4) | Based on Eskom Holdings SOC, Ltd. Corporate Debt Obligation, USD Denominated 6.35% fixed coupon, 08/10/2028 maturity. |
Total Value at August 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $24,392 | $— | $24,102 | $290 | |||
Foreign Government Securities | 39,442 | — | 38,592 | 850 | |||
U.S. Government Security | 4,979 | — | 4,979 | — | |||
Credit Linked Notes | 2,100 | — | — | 2,100 | |||
Money Market Mutual Fund | 1,925 | 1,925 | — | — | |||
Total Assets | 72,838 | 1,925 | 67,673 | 3,240 | |||
Liabilities: | |||||||
Other Financial Instruments:(1) | |||||||
Forward Foreign Currency Exchange Contract | (40) | — | (40) | — | |||
Centrally Cleared Credit Default Swap | (2,653) | — | (2,653) | — | |||
Over-the-Counter Credit Default Swaps | (11,707) | — | (11,707) | — | |||
Reverse Repurchase Agreements | (25,115) | — | (25,115) | — | |||
Total Liabilities | (39,515) | — | (39,515) | — | |||
Total Investments | $33,323 | $1,925 | $28,158 | $3,240 |
(1) | Other financial instruments are derivative instruments reflected in the Schedule of Investments. The derivatives shown in this table are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract’s value from trade date. For liabilities arising from reverse repurchase agreements, the carrying amount approximates fair value due to the relatively short-term maturity of these financial instruments. As of August 31, 2022, the liabilities related to reverse repurchase agreements used level 2 inputs. |
Total | Foreign Government Securities | Corporate Bonds And Notes | Credit-Linked Notes | ||||
Investments in Securities | |||||||
Balance as of November 30, 2021: | $3,120 | $— | $— | $3,120 | |||
Accrued discount/(premium) | 75 | — | — | 75 | |||
Net realized gain (loss) | 62 | — | — | 62 | |||
Net change in unrealized appreciation (depreciation)(a) | (616) | — | — | (616) | |||
Sales(b) | (541) | — | — | (541) | |||
Transfers into Level 3(c) | 1,140 | 850 | 290 | — | |||
Balance as of August 31, 2022 | $3,240 | $850 | $290 | $2,100 |