Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Long-Term Investments 94.8% | |||||
Convertible Bond 0.0% | |||||
China | |||||
Sunac China Holdings Ltd., Sr. Sec’d. Notes, 144A, Cash coupon 1.000% (cost $2,601) | 1.000 % | 09/30/32 | 22 | $1,087 | |
Corporate Bonds 22.8% | |||||
Azerbaijan 0.4% | |||||
Southern Gas Corridor CJSC, Gov’t. Gtd. Notes | 6.875 | 03/24/26 | 400 | 404,500 | |
State Oil Co. of the Azerbaijan Republic, Sr. Unsec’d. Notes | 6.950 | 03/18/30 | 400 | 411,500 | |
816,000 | |||||
Bahrain 0.2% | |||||
Bapco Energies BSCC, Sr. Unsec’d. Notes | 8.375 | 11/07/28 | 500 | 542,812 | |
Brazil 0.6% | |||||
Banco do Brasil SA, Sr. Unsec’d. Notes | 4.875 | 01/11/29 | 200 | 193,125 | |
Braskem Netherlands Finance BV, Gtd. Notes, 144A | 8.500 | 01/12/31 | 240 | 227,395 | |
Globo Comunicacao e Participacoes SA, Sr. Unsec’d. Notes | 4.875 | 01/22/30 | 200 | 168,750 | |
JSM Global Sarl, Gtd. Notes, 144A | 4.750 | 10/20/30(d) | 400 | 82,000 | |
Nexa Resources SA, Gtd. Notes | 6.500 | 01/18/28 | 410 | 410,738 | |
Petrobras Global Finance BV, Gtd. Notes | 5.375 | 10/01/29 | GBP | 100 | 118,631 |
Suzano Austria GmbH, Gtd. Notes | 3.750 | 01/15/31 | 150 | 130,266 | |
1,330,905 | |||||
Chile 1.3% | |||||
Alfa Desarrollo SpA, Sr. Sec’d. Notes, 144A | 4.550 | 09/27/51 | 199 | 145,131 | |
Corp. Nacional del Cobre de Chile, | |||||
Sr. Unsec’d. Notes | 3.000 | 09/30/29 | 200 | 176,800 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Chile (cont’d.) | |||||
Corp. Nacional del Cobre de Chile, (cont’d.) | |||||
Sr. Unsec’d. Notes | 4.250 % | 07/17/42 | 360 | $281,700 | |
Sr. Unsec’d. Notes | 4.875 | 11/04/44 | 600 | 501,600 | |
Sr. Unsec’d. Notes, 144A | 4.875 | 11/04/44 | 200 | 167,200 | |
Sr. Unsec’d. Notes, 144A | 5.125 | 02/02/33 | 200 | 190,339 | |
Sr. Unsec’d. Notes, 144A | 6.440 | 01/26/36 | 640 | 662,400 | |
Empresa Nacional del Petroleo, | |||||
Sr. Unsec’d. Notes, 144A | 3.450 | 09/16/31 | 200 | 167,894 | |
Sr. Unsec’d. Notes, 144A | 6.150 | 05/10/33 | 200 | 199,234 | |
Mercury Chile Holdco LLC, Sr. Sec’d. Notes | 6.500 | 01/24/27 | 400 | 372,000 | |
VTR Finance NV, Sr. Unsec’d. Notes | 6.375 | 07/15/28 | 200 | 76,625 | |
2,940,923 | |||||
China 0.4% | |||||
Agile Group Holdings Ltd., Sr. Sec’d. Notes | 6.050 | 10/13/25 | 200 | 27,000 | |
ENN Clean Energy International Investment Ltd., Gtd. Notes, 144A | 3.375 | 05/12/26 | 200 | 188,041 | |
Prosus NV, Sr. Unsec’d. Notes, 144A | 4.193 | 01/19/32 | 550 | 470,250 | |
Sinopec Group Overseas Development 2012 Ltd., Gtd. Notes | 4.875 | 05/17/42 | 200 | 194,425 | |
Sunac China Holdings Ltd., | |||||
Sr. Sec’d. Notes, 144A, PIK 6.000% | 6.000 | 09/30/26 | 18 | 2,198 | |
Sr. Sec’d. Notes, 144A, PIK 6.250% | 6.250 | 09/30/27 | 18 | 2,023 | |
Sr. Sec’d. Notes, 144A, PIK 6.500% | 6.500 | 09/30/27 | 35 | 3,561 | |
Sr. Sec’d. Notes, 144A, PIK 6.750% | 6.750 | 09/30/28 | 53 | 4,669 | |
Sr. Sec’d. Notes, 144A, PIK 7.000% | 7.000 | 09/30/29 | 53 | 4,115 | |
Sr. Sec’d. Notes, 144A, PIK 7.250% | 7.250 | 09/30/30 | 25 | 1,735 | |
898,017 | |||||
Colombia 0.7% | |||||
Colombia Telecomunicaciones SA ESP, Sr. Unsec’d. Notes, 144A | 4.950 | 07/17/30 | 200 | 128,900 | |
Ecopetrol SA, | |||||
Sr. Unsec’d. Notes | 4.625 | 11/02/31 | 76 | 62,259 | |
Sr. Unsec’d. Notes | 6.875 | 04/29/30 | 233 | 226,103 | |
Sr. Unsec’d. Notes | 8.625 | 01/19/29 | 560 | 591,500 | |
Sr. Unsec’d. Notes | 8.875 | 01/13/33 | 476 | 502,109 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Colombia (cont’d.) | |||||
Grupo Aval Ltd., Gtd. Notes, 144A | 4.375 % | 02/04/30 | 200 | $164,980 | |
1,675,851 | |||||
Costa Rica 0.1% | |||||
Instituto Costarricense de Electricidad, Sr. Unsec’d. Notes, 144A | 6.750 | 10/07/31 | 200 | 197,813 | |
Guatemala 0.3% | |||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, Gtd. Notes | 5.250 | 04/27/29 | 167 | 155,310 | |
CT Trust, Sr. Sec’d. Notes, 144A | 5.125 | 02/03/32 | 200 | 174,000 | |
Energuate Trust, Gtd. Notes | 5.875 | 05/03/27 | 400 | 381,000 | |
710,310 | |||||
Hungary 0.2% | |||||
MFB Magyar Fejlesztesi Bank Zrt, Gov’t. Gtd. Notes | 6.500 | 06/29/28 | 215 | 220,106 | |
MVM Energetika Zrt, Sr. Unsec’d. Notes | 7.500 | 06/09/28 | 208 | 215,670 | |
435,776 | |||||
India 1.6% | |||||
Adani Ports & Special Economic Zone Ltd., Sr. Unsec’d. Notes, 144A | 5.000 | 08/02/41 | 200 | 161,000 | |
Azure Power Solar Energy Pvt. Ltd., Sr. Sec’d. Notes, 144A, MTN | 5.650 | 12/24/24 | 200 | 194,562 | |
CA Magnum Holdings, Sr. Sec’d. Notes, 144A | 5.375 | 10/31/26 | 400 | 373,500 | |
GMR Hyderabad International Airport Ltd., Sr. Sec’d. Notes | 4.250 | 10/27/27 | 400 | 369,300 | |
HPCL-Mittal Energy Ltd., Sr. Unsec’d. Notes | 5.250 | 04/28/27 | 400 | 384,500 | |
NTPC Ltd., Sr. Unsec’d. Notes, EMTN | 2.750 | 02/01/27 | EUR | 100 | 103,234 |
Periama Holdings LLC, Gtd. Notes | 5.950 | 04/19/26 | 400 | 394,000 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
India (cont’d.) | |||||
Power Finance Corp. Ltd., | |||||
Sr. Unsec’d. Notes | 4.500 % | 06/18/29 | 810 | $780,289 | |
Sr. Unsec’d. Notes, 144A, MTN | 6.150 | 12/06/28 | 200 | 207,390 | |
Reliance Industries Ltd., Sr. Unsec’d. Notes, 144A | 3.625 | 01/12/52 | 250 | 179,233 | |
Summit Digitel Infrastructure Ltd., Sr. Sec’d. Notes, 144A | 2.875 | 08/12/31 | 435 | 357,627 | |
TML Holdings Pte Ltd., Sr. Unsec’d. Notes | 5.500 | 06/03/24 | 200 | 198,810 | |
3,703,445 | |||||
Indonesia 2.3% | |||||
Cikarang Listrindo Tbk PT, Sr. Unsec’d. Notes, 144A | 4.950 | 09/14/26 | 200 | 192,750 | |
Freeport Indonesia PT, Sr. Unsec’d. Notes, 144A, MTN | 5.315 | 04/14/32 | 400 | 387,544 | |
Indofood CBP Sukses Makmur Tbk PT, Sr. Unsec’d. Notes | 3.541 | 04/27/32 | 200 | 171,772 | |
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, | |||||
Sr. Unsec’d. Notes | 5.450 | 05/15/30 | 920 | 914,351 | |
Sr. Unsec’d. Notes, 144A | 4.750 | 05/15/25 | 200 | 196,937 | |
Pertamina Geothermal Energy PT, Sr. Unsec’d. Notes, 144A | 5.150 | 04/27/28 | 200 | 199,875 | |
Pertamina Persero PT, | |||||
Sr. Unsec’d. Notes | 6.000 | 05/03/42 | 200 | 202,022 | |
Sr. Unsec’d. Notes, 144A, MTN | 4.700 | 07/30/49 | 200 | 170,522 | |
Sr. Unsec’d. Notes, EMTN | 3.100 | 01/21/30 | 200 | 179,375 | |
Sr. Unsec’d. Notes, EMTN | 3.100 | 08/27/30 | 300 | 266,625 | |
Sr. Unsec’d. Notes, EMTN | 3.650 | 07/30/29 | 200 | 186,688 | |
Sr. Unsec’d. Notes, EMTN | 4.700 | 07/30/49 | 200 | 170,522 | |
Sr. Unsec’d. Notes, EMTN | 6.500 | 11/07/48 | 200 | 213,772 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, | |||||
Sr. Unsec’d. Notes | 1.875 | 11/05/31 | EUR | 400 | 355,010 |
Sr. Unsec’d. Notes | 2.875 | 10/25/25 | EUR | 200 | 212,226 |
Sr. Unsec’d. Notes, 144A, MTN | 5.450 | 05/21/28 | 620 | 622,703 | |
Sr. Unsec’d. Notes, 144A, MTN | 6.150 | 05/21/48 | 400 | 399,044 | |
Sr. Unsec’d. Notes, EMTN | 6.150 | 05/21/48 | 200 | 199,522 | |
5,241,260 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Israel 0.6% | |||||
Bank Leumi Le-Israel BM, Sr. Unsec’d. Notes, 144A | 5.125 % | 07/27/27 | 203 | $198,877 | |
Energian Israel Finance Ltd., | |||||
Sr. Sec’d. Notes, 144A | 4.875 | 03/30/26 | 75 | 69,000 | |
Sr. Sec’d. Notes, 144A | 5.375 | 03/30/28 | 385 | 335,431 | |
Sr. Sec’d. Notes, 144A | 5.875 | 03/30/31 | 215 | 178,987 | |
Leviathan Bond Ltd., | |||||
Sr. Sec’d. Notes, 144A | 6.125 | 06/30/25 | 200 | 192,250 | |
Sr. Sec’d. Notes, 144A | 6.750 | 06/30/30 | 300 | 268,710 | |
1,243,255 | |||||
Jamaica 0.1% | |||||
Digicel Intermediate Holdings Ltd./Digicel International Finance Ltd./DIFL US LLC, Sr. Sec’d. Notes, Cash coupon 9.000% and PIK 1.500% (original cost $91,374; purchased 01/29/24 - 01/30/24)(f) | 9.000 | 05/25/27 | 99 | 93,320 | |
Digicel MidCo Ltd./DIFL US II LLC, Sr. Unsec’d. Notes, PIK 10.500% (original cost $41,961; purchased 01/30/24)(f) | 10.500 | 11/25/28 | 65 | 42,910 | |
136,230 | |||||
Kazakhstan 0.9% | |||||
KazMunayGas National Co. JSC, | |||||
Sr. Unsec’d. Notes | 3.500 | 04/14/33 | 200 | 163,400 | |
Sr. Unsec’d. Notes | 4.750 | 04/19/27 | 400 | 389,125 | |
Sr. Unsec’d. Notes | 5.750 | 04/19/47 | 200 | 173,300 | |
Sr. Unsec’d. Notes | 6.375 | 10/24/48 | 600 | 552,000 | |
Sr. Unsec’d. Notes, EMTN | 5.375 | 04/24/30 | 800 | 781,600 | |
2,059,425 | |||||
Kuwait 0.2% | |||||
MEGlobal BV, Gtd. Notes, EMTN | 2.625 | 04/28/28 | 300 | 267,937 | |
MEGlobal Canada ULC, Gtd. Notes, 144A, MTN | 5.875 | 05/18/30 | 200 | 202,688 | |
470,625 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Macau 0.2% | |||||
MGM China Holdings Ltd., Sr. Unsec’d. Notes | 4.750 % | 02/01/27 | 330 | $308,550 | |
Sands China Ltd., Sr. Unsec’d. Notes | 5.650(cc) | 08/08/28 | 250 | 244,900 | |
553,450 | |||||
Malaysia 1.1% | |||||
GENM Capital Labuan Ltd., Gtd. Notes | 3.882 | 04/19/31 | 400 | 342,500 | |
Gohl Capital Ltd., Gtd. Notes | 4.250 | 01/24/27 | 250 | 239,187 | |
Petronas Capital Ltd., | |||||
Gtd. Notes, 144A, MTN | 4.550 | 04/21/50 | 800 | 712,152 | |
Gtd. Notes, 144A, MTN | 4.800 | 04/21/60 | 200 | 181,814 | |
Gtd. Notes, EMTN | 2.480 | 01/28/32 | 400 | 337,156 | |
Gtd. Notes, EMTN | 4.550 | 04/21/50 | 500 | 445,095 | |
Gtd. Notes, EMTN | 4.800 | 04/21/60 | 200 | 181,814 | |
2,439,718 | |||||
Mexico 4.7% | |||||
Cemex SAB de CV, Gtd. Notes | 5.450 | 11/19/29 | 400 | 394,580 | |
Comision Federal de Electricidad, | |||||
Gtd. Notes | 4.688 | 05/15/29 | 710 | 666,956 | |
Gtd. Notes, 144A | 4.688 | 05/15/29 | 200 | 187,875 | |
Fermaca Enterprises S de RL de CV, Sr. Sec’d. Notes | 6.375 | 03/30/38 | 564 | 542,951 | |
Mexico City Airport Trust, | |||||
Sr. Sec’d. Notes | 3.875 | 04/30/28 | 200 | 185,456 | |
Sr. Sec’d. Notes | 5.500 | 07/31/47 | 2,430 | 1,993,329 | |
Sr. Sec’d. Notes, 144A | 5.500 | 10/31/46 | 400 | 329,012 | |
Sr. Sec’d. Notes, 144A | 5.500 | 07/31/47 | 400 | 328,120 | |
Petroleos Mexicanos, | |||||
Gtd. Notes | 5.350 | 02/12/28 | 1,069 | 933,953 | |
Gtd. Notes | 6.350 | 02/12/48(a) | 493 | 305,167 | |
Gtd. Notes | 6.490 | 01/23/27 | 655 | 615,995 | |
Gtd. Notes | 6.500 | 03/13/27 | 466 | 436,176 | |
Gtd. Notes | 6.500 | 06/02/41 | 610 | 406,071 | |
Gtd. Notes | 6.700 | 02/16/32 | 1,141 | 925,864 | |
Gtd. Notes | 6.840 | 01/23/30 | 573 | 489,399 | |
Gtd. Notes | 6.950 | 01/28/60 | 45 | 28,733 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Mexico (cont’d.) | |||||
Petroleos Mexicanos, (cont’d.) | |||||
Gtd. Notes | 7.690 % | 01/23/50 | 661 | $460,387 | |
Gtd. Notes | 10.000 | 02/07/33 | 109 | 107,229 | |
Gtd. Notes, EMTN | 3.750 | 04/16/26 | EUR | 285 | 286,440 |
Gtd. Notes, MTN | 6.750 | 09/21/47 | 805 | 514,958 | |
Gtd. Notes, MTN | 6.875 | 08/04/26 | 95 | 92,283 | |
Gtd. Notes, MTN | 8.750 | 06/02/29 | 150 | 144,353 | |
Tierra Mojada Luxembourg II Sarl, Sr. Sec’d. Notes, 144A | 5.750 | 12/01/40 | 394 | 343,080 | |
10,718,367 | |||||
Panama 0.3% | |||||
Aeropuerto Internacional de Tocumen SA, | |||||
Sr. Sec’d. Notes | 4.000 | 08/11/41 | 200 | 148,375 | |
Sr. Sec’d. Notes, 144A | 5.125 | 08/11/61 | 400 | 293,708 | |
AES Panama Generation Holdings SRL, Sr. Sec’d. Notes | 4.375 | 05/31/30 | 393 | 335,876 | |
777,959 | |||||
Peru 0.7% | |||||
Banco Internacional del Peru SAA Interbank, Sr. Unsec’d. Notes | 3.250 | 10/04/26 | 350 | 328,016 | |
Corp. Financiera de Desarrollo SA, Sr. Unsec’d. Notes | 2.400 | 09/28/27 | 200 | 179,640 | |
Fondo MIVIVIENDA SA, Sr. Unsec’d. Notes, 144A | 4.625 | 04/12/27 | 150 | 145,875 | |
InRetail Consumer, Sr. Sec’d. Notes | 3.250 | 03/22/28 | 300 | 266,437 | |
Petroleos del Peru SA, | |||||
Sr. Unsec’d. Notes | 4.750 | 06/19/32 | 225 | 162,603 | |
Sr. Unsec’d. Notes | 5.625 | 06/19/47 | 700 | 446,943 | |
1,529,514 | |||||
Philippines 0.1% | |||||
Globe Telecom, Inc., Sr. Unsec’d. Notes | 3.000 | 07/23/35 | 200 | 152,563 | |
Poland 0.2% | |||||
Bank Gospodarstwa Krajowego, Gov’t. Gtd. Notes, 144A, MTN | 5.375 | 05/22/33 | 400 | 400,960 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Qatar 0.5% | |||||
QatarEnergy, | |||||
Sr. Unsec’d. Notes | 3.300 % | 07/12/51 | 200 | $139,575 | |
Sr. Unsec’d. Notes, 144A | 3.125 | 07/12/41 | 1,240 | 921,165 | |
1,060,740 | |||||
Saudi Arabia 0.7% | |||||
Arabian Centres Sukuk Ltd., Gtd. Notes | 5.375 | 11/26/24 | 200 | 195,875 | |
EIG Pearl Holdings Sarl, Sr. Sec’d. Notes, 144A | 3.545 | 08/31/36 | 450 | 376,875 | |
Greensaif Pipelines Bidco Sarl, Sr. Sec’d. Notes, 144A | 6.129 | 02/23/38 | 200 | 203,800 | |
Saudi Arabian Oil Co., | |||||
Sr. Unsec’d. Notes | 2.250 | 11/24/30 | 260 | 218,075 | |
Sr. Unsec’d. Notes, EMTN | 4.250 | 04/16/39 | 400 | 345,450 | |
TMS Issuer Sarl, Sr. Sec’d. Notes, 144A | 5.780 | 08/23/32 | 200 | 205,500 | |
1,545,575 | |||||
South Africa 1.7% | |||||
Eskom Holdings SOC Ltd., | |||||
Gov’t. Gtd. Notes, MTN | 6.350 | 08/10/28 | 1,510 | 1,466,587 | |
Sr. Unsec’d. Notes | 7.125 | 02/11/25 | 890 | 884,438 | |
Sr. Unsec’d. Notes, MTN | 8.450 | 08/10/28 | 460 | 459,425 | |
MTN Mauritius Investments Ltd., Gtd. Notes, 144A | 6.500 | 10/13/26 | 200 | 201,750 | |
Sasol Financing USA LLC, Gtd. Notes | 6.500 | 09/27/28 | 300 | 283,185 | |
Transnet SOC Ltd., | |||||
Sr. Unsec’d. Notes | 8.250 | 02/06/28 | 200 | 201,020 | |
Sr. Unsec’d. Notes, 144A | 8.250 | 02/06/28 | 420 | 422,142 | |
3,918,547 | |||||
Thailand 0.2% | |||||
Thaioil Treasury Center Co. Ltd., Gtd. Notes, 144A, MTN | 3.750 | 06/18/50(a) | 600 | 412,644 | |
Trinidad & Tobago 0.1% | |||||
Heritage Petroleum Co. Ltd., Sr. Sec’d. Notes, 144A | 9.000 | 08/12/29 | 200 | 210,187 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Turkey 0.1% | |||||
Aydem Yenilenebilir Enerji A/S, Sr. Sec’d. Notes, 144A | 7.750 % | 02/02/27 | 200 | $187,438 | |
Ukraine 0.1% | |||||
NAK Naftogaz Ukraine via Kondor Finance PLC, Sr. Unsec’d. Notes | 7.125 | 07/19/26(d) | EUR | 420 | 242,833 |
State Savings Bank of Ukraine Via SSB #1 PLC, Sr. Unsec’d. Notes | 9.625 | 03/20/25 | 30 | 27,881 | |
270,714 | |||||
United Arab Emirates 1.9% | |||||
Abu Dhabi Crude Oil Pipeline LLC, | |||||
Sr. Sec’d. Notes | 3.650 | 11/02/29 | 200 | 187,188 | |
Sr. Sec’d. Notes | 4.600 | 11/02/47 | 400 | 355,250 | |
Abu Dhabi National Energy Co. PJSC, Sr. Unsec’d. Notes, 144A | 4.000 | 10/03/49 | 200 | 160,750 | |
DP World Crescent Ltd., Sr. Unsec’d. Notes, EMTN | 3.875 | 07/18/29 | 660 | 618,717 | |
DP World Ltd., Sr. Unsec’d. Notes, EMTN | 6.850 | 07/02/37 | 1,670 | 1,795,250 | |
Galaxy Pipeline Assets Bidco Ltd., | |||||
Sr. Sec’d. Notes | 2.160 | 03/31/34 | 187 | 160,130 | |
Sr. Sec’d. Notes, 144A | 2.940 | 09/30/40 | 933 | 747,079 | |
MDGH GMTN RSC Ltd., | |||||
Gtd. Notes, 144A, MTN | 5.084 | 05/22/53 | 200 | 189,250 | |
Gtd. Notes, EMTN | 3.700 | 11/07/49 | 240 | 182,700 | |
4,396,314 | |||||
Venezuela 0.1% | |||||
Petroleos de Venezuela SA, | |||||
Gtd. Notes | 5.375 | 04/12/27(d) | 205 | 20,705 | |
Gtd. Notes | 6.000 | 05/16/24(d) | 45 | 4,838 | |
Gtd. Notes | 6.000 | 11/15/26(d) | 65 | 6,987 | |
Sr. Sec’d. Notes | 8.500 | 10/27/20(d) | 205 | 170,662 | |
203,192 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Vietnam 0.2% | |||||
Mong Duong Finance Holdings BV, Sr. Sec’d. Notes | 5.125 % | 05/07/29 | 461 | $430,594 | |
Total Corporate Bonds (cost $55,894,582) | 51,611,123 | ||||
Sovereign Bonds 71.9% | |||||
Angola 2.2% | |||||
Angolan Government International Bond, | |||||
Sr. Unsec’d. Notes | 8.250 | 05/09/28 | 2,180 | 1,962,000 | |
Sr. Unsec’d. Notes | 8.750 | 04/14/32 | 500 | 427,500 | |
Sr. Unsec’d. Notes | 9.375 | 05/08/48 | 600 | 480,000 | |
Sr. Unsec’d. Notes | 9.500 | 11/12/25 | 1,305 | 1,280,466 | |
Sr. Unsec’d. Notes, EMTN | 8.000 | 11/26/29 | 1,000 | 867,500 | |
5,017,466 | |||||
Argentina 1.3% | |||||
Argentine Republic Government International Bond, | |||||
Sr. Unsec’d. Notes | 0.000 | 12/15/35(d) | 16,368 | 540,144 | |
Sr. Unsec’d. Notes | 0.000 | 12/15/35(d) | EUR | 15,000 | 871,963 |
Sr. Unsec’d. Notes | 0.750(cc) | 07/09/30 | 481 | 194,509 | |
Sr. Unsec’d. Notes | 1.000 | 07/09/29 | 544 | 218,728 | |
Sr. Unsec’d. Notes | 3.500(cc) | 07/09/41 | 567 | 188,305 | |
Sr. Unsec’d. Notes | 3.625(cc) | 07/09/35 | 1,772 | 592,684 | |
Sr. Unsec’d. Notes | 3.625(cc) | 07/09/46 | 335 | 113,565 | |
Sr. Unsec’d. Notes | 4.250(cc) | 01/09/38 | 527 | 202,317 | |
Provincia de Buenos Aires, Sr. Unsec’d. Notes, 144A, MTN | 6.375(cc) | 09/01/37 | 194 | 76,004 | |
2,998,219 | |||||
Bahrain 1.5% | |||||
Bahrain Government International Bond, | |||||
Sr. Unsec’d. Notes | 6.750 | 09/20/29 | 800 | 803,000 | |
Sr. Unsec’d. Notes | 7.000 | 10/12/28 | 950 | 972,563 | |
Sr. Unsec’d. Notes | 7.375 | 05/14/30 | 1,070 | 1,103,437 | |
Sr. Unsec’d. Notes | 7.500 | 09/20/47 | 400 | 367,460 | |
Sr. Unsec’d. Notes, EMTN | 6.250 | 01/25/51 | 200 | 160,750 | |
3,407,210 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Brazil 3.3% | |||||
Brazil Minas SPE via State of Minas Gerais, Gov’t. Gtd. Notes | 5.333 % | 02/15/28 | 143 | $140,485 | |
Brazilian Government International Bond, | |||||
Sr. Unsec’d. Notes | 3.875 | 06/12/30 | 1,285 | 1,163,567 | |
Sr. Unsec’d. Notes | 4.500 | 05/30/29 | 557 | 532,771 | |
Sr. Unsec’d. Notes | 5.000 | 01/27/45 | 1,631 | 1,290,121 | |
Sr. Unsec’d. Notes | 5.625 | 01/07/41 | 845 | 761,345 | |
Sr. Unsec’d. Notes | 6.000 | 10/20/33 | 1,495 | 1,475,565 | |
Sr. Unsec’d. Notes | 6.250 | 03/18/31 | 210 | 215,670 | |
Sr. Unsec’d. Notes | 7.125 | 01/20/37 | 585 | 625,658 | |
Sr. Unsec’d. Notes | 7.125 | 05/13/54 | 285 | 284,715 | |
Sr. Unsec’d. Notes | 8.250 | 01/20/34 | 763 | 872,109 | |
7,362,006 | |||||
Cameroon 0.1% | |||||
Republic of Cameroon International Bond, Sr. Unsec’d. Notes | 9.500 | 11/19/25 | 267 | 258,101 | |
Chile 0.5% | |||||
Chile Government International Bond, | |||||
Sr. Unsec’d. Notes | 2.550 | 07/27/33 | 370 | 304,140 | |
Sr. Unsec’d. Notes | 2.750 | 01/31/27 | 220 | 207,900 | |
Sr. Unsec’d. Notes | 3.100 | 01/22/61 | 200 | 127,700 | |
Sr. Unsec’d. Notes | 3.250 | 09/21/71 | 200 | 128,100 | |
Sr. Unsec’d. Notes | 4.000 | 01/31/52 | 235 | 187,295 | |
Sr. Unsec’d. Notes | 4.340 | 03/07/42 | 280 | 245,980 | |
1,201,115 | |||||
Colombia 3.2% | |||||
Colombia Government International Bond, | |||||
Sr. Unsec’d. Notes | 3.000 | 01/30/30 | 1,518 | 1,256,904 | |
Sr. Unsec’d. Notes | 3.875 | 04/25/27 | 870 | 823,455 | |
Sr. Unsec’d. Notes | 4.500 | 03/15/29 | 1,300 | 1,195,350 | |
Sr. Unsec’d. Notes | 5.000 | 06/15/45 | 400 | 291,200 | |
Sr. Unsec’d. Notes | 5.200 | 05/15/49 | 412 | 303,026 | |
Sr. Unsec’d. Notes | 5.625 | 02/26/44 | 710 | 563,385 | |
Sr. Unsec’d. Notes | 6.125 | 01/18/41 | 730 | 633,275 | |
Sr. Unsec’d. Notes | 7.500 | 02/02/34 | 840 | 857,220 | |
Sr. Unsec’d. Notes | 8.000 | 04/20/33 | 910 | 964,884 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Colombia (cont’d.) | |||||
Colombia Government International Bond, (cont’d.) | |||||
Sr. Unsec’d. Notes | 8.750 % | 11/14/53 | 200 | $217,500 | |
Sr. Unsec’d. Notes | 10.375 | 01/28/33 | 200 | 238,504 | |
7,344,703 | |||||
Congo (Republic) 0.1% | |||||
Congolese International Bond, Sr. Unsec’d. Notes | 6.000 | 06/30/29 | 208 | 166,521 | |
Costa Rica 1.1% | |||||
Costa Rica Government International Bond, | |||||
Sr. Unsec’d. Notes | 4.375 | 04/30/25 | 200 | 196,312 | |
Sr. Unsec’d. Notes | 6.125 | 02/19/31 | 650 | 656,500 | |
Sr. Unsec’d. Notes | 7.000 | 04/04/44 | 400 | 405,200 | |
Sr. Unsec’d. Notes, 144A | 6.550 | 04/03/34 | 465 | 475,695 | |
Unsec’d. Notes, 144A | 7.300 | 11/13/54 | 620 | 647,590 | |
2,381,297 | |||||
Dominican Republic 3.6% | |||||
Dominican Republic International Bond, | |||||
Sr. Unsec’d. Notes | 4.500 | 01/30/30 | 1,691 | 1,541,346 | |
Sr. Unsec’d. Notes | 4.875 | 09/23/32 | 190 | 169,575 | |
Sr. Unsec’d. Notes | 5.500 | 02/22/29 | 883 | 854,038 | |
Sr. Unsec’d. Notes | 5.950 | 01/25/27 | 705 | 705,353 | |
Sr. Unsec’d. Notes | 6.000 | 07/19/28 | 640 | 641,600 | |
Sr. Unsec’d. Notes | 6.400 | 06/05/49(a) | 1,020 | 943,500 | |
Sr. Unsec’d. Notes | 6.850 | 01/27/45 | 610 | 596,275 | |
Sr. Unsec’d. Notes | 6.875 | 01/29/26 | 300 | 304,650 | |
Sr. Unsec’d. Notes | 7.450 | 04/30/44 | 1,120 | 1,167,600 | |
Sr. Unsec’d. Notes, 144A | 5.300 | 01/21/41 | 150 | 126,150 | |
Sr. Unsec’d. Notes, 144A | 5.500 | 02/22/29 | 1,010 | 976,872 | |
Sr. Unsec’d. Notes, 144A | 6.000 | 07/19/28 | 170 | 170,425 | |
8,197,384 | |||||
Ecuador 1.2% | |||||
Ecuador Government International Bond, | |||||
Sr. Unsec’d. Notes | 2.500(cc) | 07/31/40 | 337 | 123,358 | |
Sr. Unsec’d. Notes | 6.000(cc) | 07/31/30 | 590 | 309,944 | |
Sr. Unsec’d. Notes, 144A | 7.187(s) | 07/31/30 | 179 | 59,054 | |
Sr. Unsec’d. Notes, 144A | 2.500(cc) | 07/31/40 | 1,511 | 553,075 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Ecuador (cont’d.) | |||||
Ecuador Government International Bond, (cont’d.) | |||||
Sr. Unsec’d. Notes, 144A | 3.500 %(cc) | 07/31/35 | 2,705 | $1,096,921 | |
Sr. Unsec’d. Notes, 144A | 6.000(cc) | 07/31/30 | 910 | 477,782 | |
2,620,134 | |||||
Egypt 2.2% | |||||
Egypt Government International Bond, | |||||
Sr. Unsec’d. Notes | 5.800 | 09/30/27 | 220 | 164,175 | |
Sr. Unsec’d. Notes | 7.500 | 01/31/27 | 200 | 163,600 | |
Sr. Unsec’d. Notes | 7.625 | 05/29/32 | 1,310 | 887,525 | |
Sr. Unsec’d. Notes | 7.903 | 02/21/48 | 200 | 118,750 | |
Sr. Unsec’d. Notes | 8.500 | 01/31/47 | 500 | 305,000 | |
Sr. Unsec’d. Notes | 8.700 | 03/01/49 | 850 | 527,000 | |
Sr. Unsec’d. Notes | 8.875 | 05/29/50 | 400 | 251,000 | |
Sr. Unsec’d. Notes, 144A | 8.700 | 03/01/49 | 410 | 254,200 | |
Sr. Unsec’d. Notes, 144A, MTN | 6.375 | 04/11/31 | EUR | 220 | 151,568 |
Sr. Unsec’d. Notes, 144A, MTN | 8.500 | 01/31/47 | 255 | 155,550 | |
Sr. Unsec’d. Notes, EMTN | 3.875 | 02/16/26 | 300 | 242,625 | |
Sr. Unsec’d. Notes, EMTN | 4.750 | 04/11/25 | EUR | 145 | 142,794 |
Sr. Unsec’d. Notes, EMTN | 4.750 | 04/16/26 | EUR | 775 | 678,410 |
Sr. Unsec’d. Notes, EMTN | 5.625 | 04/16/30 | EUR | 450 | 310,026 |
Sr. Unsec’d. Notes, EMTN | 6.375 | 04/11/31 | EUR | 300 | 206,684 |
Sr. Unsec’d. Notes, EMTN | 7.600 | 03/01/29 | 650 | 477,750 | |
5,036,657 | |||||
El Salvador 0.7% | |||||
El Salvador Government International Bond, | |||||
Sr. Unsec’d. Notes | 5.875 | 01/30/25(a) | 501 | 475,449 | |
Sr. Unsec’d. Notes | 6.375 | 01/18/27 | 495 | 439,560 | |
Sr. Unsec’d. Notes | 7.625 | 02/01/41 | 150 | 112,800 | |
Sr. Unsec’d. Notes | 7.650 | 06/15/35 | 57 | 44,403 | |
Sr. Unsec’d. Notes | 8.250 | 04/10/32 | 275 | 234,162 | |
Sr. Unsec’d. Notes | 8.625 | 02/28/29 | 340 | 305,660 | |
1,612,034 | |||||
Gabon 0.8% | |||||
Gabon Government International Bond, | |||||
Sr. Unsec’d. Notes | 6.625 | 02/06/31 | 800 | 652,000 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Gabon (cont’d.) | |||||
Gabon Government International Bond, (cont’d.) | |||||
Sr. Unsec’d. Notes | 6.950 % | 06/16/25 | 1,000 | $958,125 | |
Sr. Unsec’d. Notes | 7.000 | 11/24/31 | 200 | 163,000 | |
1,773,125 | |||||
Ghana 1.1% | |||||
Ghana Government International Bond, | |||||
Bank Gtd. Notes | 10.750 | 10/14/30 | 400 | 258,000 | |
Sr. Unsec’d. Notes | 6.375 | 02/11/27(d) | 450 | 201,938 | |
Sr. Unsec’d. Notes | 7.625 | 05/16/29(d) | 400 | 177,000 | |
Sr. Unsec’d. Notes | 7.750 | 04/07/29(d) | 650 | 289,250 | |
Sr. Unsec’d. Notes | 7.875 | 03/26/27(d) | 750 | 337,500 | |
Sr. Unsec’d. Notes | 7.875 | 02/11/35(d) | 800 | 354,000 | |
Sr. Unsec’d. Notes | 8.125 | 01/18/26(d) | 400 | 190,000 | |
Sr. Unsec’d. Notes | 8.750 | 03/11/61(d) | 200 | 88,250 | |
Sr. Unsec’d. Notes | 8.875 | 05/07/42(d) | 200 | 87,750 | |
Sr. Unsec’d. Notes | 8.950 | 03/26/51(d) | 870 | 383,887 | |
Sr. Unsec’d. Notes, 144A | 8.950 | 03/26/51(d) | 205 | 90,456 | |
2,458,031 | |||||
Guatemala 0.8% | |||||
Guatemala Government Bond, | |||||
Sr. Unsec’d. Notes | 4.875 | 02/13/28 | 400 | 386,500 | |
Sr. Unsec’d. Notes | 6.125 | 06/01/50 | 850 | 772,926 | |
Sr. Unsec’d. Notes, 144A | 4.650 | 10/07/41 | 200 | 160,300 | |
Unsec’d. Notes | 5.250 | 08/10/29 | 430 | 416,455 | |
1,736,181 | |||||
Honduras 0.2% | |||||
Honduras Government International Bond, Sr. Unsec’d. Notes | 6.250 | 01/19/27 | 400 | 379,600 | |
Hungary 2.8% | |||||
Hungary Government International Bond, | |||||
Sr. Unsec’d. Notes | 3.125 | 09/21/51 | 440 | 280,500 | |
Sr. Unsec’d. Notes | 5.250 | 06/16/29 | 200 | 198,000 | |
Sr. Unsec’d. Notes | 6.125 | 05/22/28 | 812 | 835,142 | |
Sr. Unsec’d. Notes | 6.250 | 09/22/32 | 220 | 229,570 | |
Sr. Unsec’d. Notes | 7.625 | 03/29/41 | 760 | 874,190 | |
Sr. Unsec’d. Notes, 144A | 5.250 | 06/16/29 | 740 | 732,600 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Hungary (cont’d.) | |||||
Hungary Government International Bond, (cont’d.) | |||||
Sr. Unsec’d. Notes, 144A | 5.500 % | 03/26/36 | 448 | $439,544 | |
Sr. Unsec’d. Notes, 144A | 6.125 | 05/22/28 | 500 | 514,250 | |
Sr. Unsec’d. Notes, 144A | 6.250 | 09/22/32 | 1,235 | 1,288,722 | |
Sr. Unsec’d. Notes, 144A | 6.750 | 09/25/52 | 220 | 235,675 | |
Magyar Export-Import Bank Zrt, Gov’t. Gtd. Notes, 144A | 6.125 | 12/04/27 | 600 | 606,750 | |
6,234,943 | |||||
India 0.3% | |||||
Export-Import Bank of India, | |||||
Sr. Unsec’d. Notes | 3.875 | 02/01/28 | 200 | 191,868 | |
Sr. Unsec’d. Notes, 144A, MTN | 3.250 | 01/15/30 | 400 | 362,024 | |
Sr. Unsec’d. Notes, EMTN | 2.250 | 01/13/31 | 200 | 165,680 | |
719,572 | |||||
Indonesia 2.8% | |||||
Indonesia Government International Bond, | |||||
Sr. Unsec’d. Notes | 1.100 | 03/12/33 | EUR | 440 | 375,651 |
Sr. Unsec’d. Notes | 1.400 | 10/30/31 | EUR | 100 | 91,184 |
Sr. Unsec’d. Notes | 3.550 | 03/31/32 | 200 | 182,250 | |
Sr. Unsec’d. Notes | 4.300 | 03/31/52 | 400 | 343,544 | |
Sr. Unsec’d. Notes | 4.650 | 09/20/32 | 590 | 579,740 | |
Sr. Unsec’d. Notes | 5.450 | 09/20/52 | 400 | 404,544 | |
Sr. Unsec’d. Notes | 5.650 | 01/11/53 | 200 | 208,522 | |
Sr. Unsec’d. Notes | 6.625 | 02/17/37 | 150 | 170,248 | |
Sr. Unsec’d. Notes | 7.750 | 01/17/38 | 690 | 861,713 | |
Sr. Unsec’d. Notes | 8.500 | 10/12/35 | 400 | 516,044 | |
Sr. Unsec’d. Notes, 144A | 6.625 | 02/17/37 | 290 | 329,146 | |
Sr. Unsec’d. Notes, EMTN | 3.750 | 06/14/28 | EUR | 370 | 401,358 |
Sr. Unsec’d. Notes, EMTN | 4.625 | 04/15/43 | 200 | 186,522 | |
Sr. Unsec’d. Notes, EMTN | 4.750 | 07/18/47 | 230 | 214,213 | |
Sr. Unsec’d. Notes, EMTN | 5.125 | 01/15/45 | 200 | 196,522 | |
Sr. Unsec’d. Notes, EMTN | 5.250 | 01/17/42 | 400 | 398,544 | |
Sr. Unsec’d. Notes, EMTN | 6.750 | 01/15/44 | 100 | 117,011 | |
Perusahaan Penerbit SBSN Indonesia III, | |||||
Sr. Unsec’d. Notes | 4.700 | 06/06/32 | 600 | 591,066 | |
Sr. Unsec’d. Notes, 144A | 4.700 | 06/06/32 | 205 | 201,948 | |
6,369,770 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Iraq 0.1% | |||||
Iraq International Bond, Sr. Unsec’d. Notes | 5.800 % | 01/15/28 | 323 | $300,328 | |
Ivory Coast 1.6% | |||||
Ivory Coast Government International Bond, | |||||
Sr. Unsec’d. Notes | 5.250 | 03/22/30 | EUR | 1,360 | 1,332,514 |
Sr. Unsec’d. Notes | 5.750 | 12/31/32 | 81 | 77,470 | |
Sr. Unsec’d. Notes | 5.875 | 10/17/31 | EUR | 1,150 | 1,120,544 |
Sr. Unsec’d. Notes | 6.375 | 03/03/28 | 200 | 194,750 | |
Sr. Unsec’d. Notes, 144A | 7.625 | 01/30/33 | 515 | 510,365 | |
Sr. Unsec’d. Notes, 144A | 8.250 | 01/30/37 | 400 | 400,400 | |
3,636,043 | |||||
Jamaica 0.6% | |||||
Jamaica Government International Bond, | |||||
Sr. Unsec’d. Notes | 6.750 | 04/28/28 | 500 | 521,562 | |
Sr. Unsec’d. Notes | 7.875 | 07/28/45 | 400 | 465,000 | |
Sr. Unsec’d. Notes | 8.000 | 03/15/39(a) | 320 | 380,320 | |
1,366,882 | |||||
Jordan 0.7% | |||||
Jordan Government International Bond, | |||||
Sr. Unsec’d. Notes | 5.750 | 01/31/27 | 200 | 191,000 | |
Sr. Unsec’d. Notes | 6.125 | 01/29/26 | 200 | 194,250 | |
Sr. Unsec’d. Notes | 7.375 | 10/10/47 | 400 | 340,000 | |
Sr. Unsec’d. Notes | 7.750 | 01/15/28 | 550 | 550,000 | |
Sr. Unsec’d. Notes, 144A | 7.500 | 01/13/29 | 205 | 200,644 | |
Sr. Unsec’d. Notes, 144A | 7.750 | 01/15/28 | 220 | 220,000 | |
1,695,894 | |||||
Kazakhstan 0.1% | |||||
Kazakhstan Government International Bond, Sr. Unsec’d. Notes, EMTN | 6.500 | 07/21/45 | 200 | 220,300 | |
Lebanon 0.1% | |||||
Lebanon Government International Bond, | |||||
Sr. Unsec’d. Notes | 6.000 | 01/27/23(d) | 191 | 10,887 | |
Sr. Unsec’d. Notes | 6.650 | 04/22/24(d) | 172 | 9,804 | |
Sr. Unsec’d. Notes | 6.750 | 11/29/27(d) | 170 | 9,690 | |
Sr. Unsec’d. Notes | 6.850 | 03/23/27(d) | 30 | 1,710 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Lebanon (cont’d.) | |||||
Lebanon Government International Bond, (cont’d.) | |||||
Sr. Unsec’d. Notes | 7.000 % | 04/22/31(d) | 115 | $6,555 | |
Sr. Unsec’d. Notes, EMTN | 6.100 | 10/04/22(d) | 75 | 4,275 | |
Sr. Unsec’d. Notes, EMTN | 6.850 | 05/25/29(d) | 335 | 19,095 | |
Sr. Unsec’d. Notes, GMTN | 6.250 | 05/27/22(d) | 245 | 13,965 | |
Sr. Unsec’d. Notes, GMTN | 6.250 | 11/04/24(d) | 320 | 18,240 | |
Sr. Unsec’d. Notes, GMTN | 6.375 | 03/09/20(d) | 220 | 12,540 | |
Sr. Unsec’d. Notes, GMTN | 6.400 | 05/26/23(d) | 250 | 13,800 | |
Sr. Unsec’d. Notes, GMTN | 6.650 | 02/26/30(d) | 715 | 40,755 | |
Sr. Unsec’d. Notes, GMTN | 7.150 | 11/20/31(d) | 415 | 24,586 | |
185,902 | |||||
Mexico 2.9% | |||||
Mexico Government International Bond, | |||||
Sr. Unsec’d. Notes | 2.659 | 05/24/31 | 465 | 390,600 | |
Sr. Unsec’d. Notes | 3.250 | 04/16/30 | 270 | 242,298 | |
Sr. Unsec’d. Notes | 3.500 | 02/12/34 | 1,000 | 836,500 | |
Sr. Unsec’d. Notes | 3.750 | 01/11/28 | 320 | 306,880 | |
Sr. Unsec’d. Notes | 4.600 | 02/10/48 | 300 | 241,050 | |
Sr. Unsec’d. Notes | 4.875 | 05/19/33 | 850 | 812,175 | |
Sr. Unsec’d. Notes | 5.400 | 02/09/28 | 350 | 356,475 | |
Sr. Unsec’d. Notes | 6.000 | 05/07/36 | 605 | 612,865 | |
Sr. Unsec’d. Notes | 6.338 | 05/04/53 | 290 | 288,260 | |
Sr. Unsec’d. Notes | 6.350 | 02/09/35 | 250 | 260,025 | |
Sr. Unsec’d. Notes | 6.400 | 05/07/54 | 400 | 401,040 | |
Sr. Unsec’d. Notes, GMTN | 5.750 | 10/12/2110 | 358 | 315,362 | |
Sr. Unsec’d. Notes, MTN | 4.750 | 03/08/44 | 140 | 117,110 | |
Sr. Unsec’d. Notes, MTN | 6.050 | 01/11/40 | 930 | 926,745 | |
Sr. Unsec’d. Notes, Series A, MTN | 6.750 | 09/27/34 | 203 | 217,210 | |
Sr. Unsec’d. Notes, Series A, MTN | 7.500 | 04/08/33 | 130 | 147,485 | |
6,472,080 | |||||
Mongolia 0.2% | |||||
Mongolia Government International Bond, | |||||
Sr. Unsec’d. Notes | 8.650 | 01/19/28 | 200 | 209,272 | |
Sr. Unsec’d. Notes, 144A | 7.875 | 06/05/29 | 200 | 205,272 | |
414,544 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Morocco 0.9% | |||||
Morocco Government International Bond, | |||||
Sr. Unsec’d. Notes | 1.500 % | 11/27/31 | EUR | 100 | $86,456 |
Sr. Unsec’d. Notes | 2.000 | 09/30/30 | EUR | 400 | 370,140 |
Sr. Unsec’d. Notes | 2.375 | 12/15/27 | 200 | 179,000 | |
Sr. Unsec’d. Notes | 4.000 | 12/15/50 | 400 | 272,580 | |
Sr. Unsec’d. Notes, 144A | 5.950 | 03/08/28 | 550 | 561,000 | |
Sr. Unsec’d. Notes, 144A | 6.500 | 09/08/33 | 595 | 615,081 | |
2,084,257 | |||||
Mozambique 0.4% | |||||
Mozambique International Bond, Unsec’d. Notes | 9.000 | 09/15/31 | 1,040 | 898,300 | |
Nigeria 1.3% | |||||
Nigeria Government International Bond, | |||||
Sr. Unsec’d. Notes | 7.143 | 02/23/30 | 200 | 174,500 | |
Sr. Unsec’d. Notes | 7.696 | 02/23/38 | 200 | 157,640 | |
Sr. Unsec’d. Notes | 7.875 | 02/16/32 | 400 | 347,000 | |
Sr. Unsec’d. Notes | 8.747 | 01/21/31 | 400 | 370,500 | |
Sr. Unsec’d. Notes | 9.248 | 01/21/49 | 200 | 176,100 | |
Sr. Unsec’d. Notes, 144A | 7.696 | 02/23/38 | 200 | 157,640 | |
Sr. Unsec’d. Notes, 144A, MTN | 7.375 | 09/28/33 | 200 | 164,500 | |
Sr. Unsec’d. Notes, EMTN | 6.500 | 11/28/27 | 900 | 814,950 | |
Sr. Unsec’d. Notes, EMTN | 8.250 | 09/28/51 | 250 | 198,750 | |
Sr. Unsec’d. Notes, EMTN | 8.375 | 03/24/29 | 400 | 374,500 | |
2,936,080 | |||||
Oman 2.8% | |||||
Oman Government International Bond, | |||||
Sr. Unsec’d. Notes | 4.750 | 06/15/26 | 410 | 403,850 | |
Sr. Unsec’d. Notes | 5.375 | 03/08/27 | 930 | 931,162 | |
Sr. Unsec’d. Notes | 5.625 | 01/17/28 | 1,480 | 1,497,205 | |
Sr. Unsec’d. Notes | 6.500 | 03/08/47 | 1,025 | 1,009,497 | |
Sr. Unsec’d. Notes | 6.750 | 10/28/27 | 800 | 838,000 | |
Sr. Unsec’d. Notes | 7.000 | 01/25/51 | 200 | 205,980 | |
Sr. Unsec’d. Notes, 144A | 6.750 | 01/17/48 | 200 | 201,500 | |
Sr. Unsec’d. Notes, EMTN | 6.000 | 08/01/29 | 1,200 | 1,225,500 | |
6,312,694 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Pakistan 1.4% | |||||
Pakistan Government International Bond, | |||||
Sr. Unsec’d. Notes | 6.875 % | 12/05/27 | 440 | $315,748 | |
Sr. Unsec’d. Notes | 8.250 | 04/15/24 | 1,100 | 1,075,250 | |
Sr. Unsec’d. Notes | 8.250 | 09/30/25(a) | 770 | 666,135 | |
Sr. Unsec’d. Notes, 144A, MTN | 7.375 | 04/08/31 | 200 | 129,022 | |
Sr. Unsec’d. Notes, EMTN | 6.000 | 04/08/26(a) | 610 | 470,874 | |
Sr. Unsec’d. Notes, EMTN | 7.375 | 04/08/31 | 650 | 419,322 | |
3,076,351 | |||||
Panama 1.2% | |||||
Panama Government International Bond, | |||||
Sr. Unsec’d. Notes | 3.160 | 01/23/30 | 200 | 167,100 | |
Sr. Unsec’d. Notes | 3.298 | 01/19/33 | 200 | 153,500 | |
Sr. Unsec’d. Notes | 3.870 | 07/23/60 | 200 | 111,800 | |
Sr. Unsec’d. Notes | 4.300 | 04/29/53 | 375 | 236,813 | |
Sr. Unsec’d. Notes | 4.500 | 04/16/50 | 850 | 561,212 | |
Sr. Unsec’d. Notes | 4.500 | 04/01/56 | 660 | 419,430 | |
Sr. Unsec’d. Notes | 4.500 | 01/19/63 | 200 | 123,900 | |
Sr. Unsec’d. Notes | 6.700 | 01/26/36 | 695 | 666,192 | |
Sr. Unsec’d. Notes | 6.853 | 03/28/54 | 215 | 191,350 | |
Sr. Unsec’d. Notes | 9.375 | 04/01/29 | 165 | 184,388 | |
2,815,685 | |||||
Papua New Guinea 0.2% | |||||
Papua New Guinea Government International Bond, | |||||
Sr. Unsec’d. Notes | 8.375 | 10/04/28 | 220 | 205,106 | |
Sr. Unsec’d. Notes, 144A | 8.375 | 10/04/28 | 200 | 186,460 | |
391,566 | |||||
Paraguay 0.5% | |||||
Paraguay Government International Bond, | |||||
Sr. Unsec’d. Notes | 4.700 | 03/27/27 | 200 | 196,200 | |
Sr. Unsec’d. Notes | 4.950 | 04/28/31 | 200 | 192,400 | |
Sr. Unsec’d. Notes | 6.100 | 08/11/44 | 700 | 666,400 | |
Sr. Unsec’d. Notes, 144A | 5.400 | 03/30/50 | 200 | 172,200 | |
1,227,200 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Peru 1.9% | |||||
Peruvian Government International Bond, | |||||
Sr. Unsec’d. Notes | 2.780 % | 12/01/60 | 490 | $289,590 | |
Sr. Unsec’d. Notes | 2.783 | 01/23/31 | 1,050 | 906,675 | |
Sr. Unsec’d. Notes | 3.000 | 01/15/34 | 1,385 | 1,153,566 | |
Sr. Unsec’d. Notes | 3.230 | 07/28/2121 | 110 | 64,625 | |
Sr. Unsec’d. Notes | 3.600 | 01/15/72 | 515 | 347,110 | |
Sr. Unsec’d. Notes | 5.625 | 11/18/50 | 502 | 505,263 | |
Sr. Unsec’d. Notes | 6.550 | 03/14/37 | 225 | 247,163 | |
Sr. Unsec’d. Notes | 8.750 | 11/21/33 | 670 | 834,150 | |
4,348,142 | |||||
Philippines 1.7% | |||||
Philippine Government International Bond, | |||||
Sr. Unsec’d. Notes | 1.750 | 04/28/41 | EUR | 265 | 199,396 |
Sr. Unsec’d. Notes | 2.650 | 12/10/45 | 200 | 133,260 | |
Sr. Unsec’d. Notes | 3.200 | 07/06/46 | 200 | 144,522 | |
Sr. Unsec’d. Notes | 3.556 | 09/29/32 | 300 | 271,908 | |
Sr. Unsec’d. Notes | 3.700 | 03/01/41 | 600 | 495,816 | |
Sr. Unsec’d. Notes | 3.950 | 01/20/40 | 450 | 390,425 | |
Sr. Unsec’d. Notes | 4.200 | 03/29/47 | 700 | 592,452 | |
Sr. Unsec’d. Notes | 5.000 | 07/17/33 | 770 | 778,747 | |
Sr. Unsec’d. Notes | 5.609 | 04/13/33 | 200 | 209,272 | |
Sr. Unsec’d. Notes | 6.375 | 10/23/34 | 200 | 221,772 | |
Sr. Unsec’d. Notes | 7.750 | 01/14/31 | 420 | 491,400 | |
3,928,970 | |||||
Poland 0.5% | |||||
Republic of Poland Government International Bond, | |||||
Sr. Unsec’d. Notes | 5.500 | 04/04/53 | 785 | 793,517 | |
Sr. Unsec’d. Notes | 5.750 | 11/16/32 | 230 | 243,897 | |
1,037,414 | |||||
Qatar 2.5% | |||||
Qatar Government International Bond, | |||||
Sr. Unsec’d. Notes | 4.000 | 03/14/29 | 1,000 | 985,000 | |
Sr. Unsec’d. Notes | 4.500 | 04/23/28 | 500 | 501,938 | |
Sr. Unsec’d. Notes | 4.625 | 06/02/46 | 330 | 302,775 | |
Sr. Unsec’d. Notes | 4.817 | 03/14/49 | 220 | 204,875 | |
Sr. Unsec’d. Notes | 5.103 | 04/23/48 | 2,210 | 2,130,716 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Qatar (cont’d.) | |||||
Qatar Government International Bond, (cont’d.) | |||||
Sr. Unsec’d. Notes | 6.400 % | 01/20/40 | 100 | $113,125 | |
Sr. Unsec’d. Notes, 144A | 4.817 | 03/14/49 | 1,340 | 1,247,875 | |
Sr. Unsec’d. Notes, 144A | 5.103 | 04/23/48 | 200 | 192,825 | |
5,679,129 | |||||
Romania 3.4% | |||||
Romanian Government International Bond, | |||||
Sr. Unsec’d. Notes | 5.125 | 06/15/48 | 180 | 154,575 | |
Sr. Unsec’d. Notes, 144A | 6.375 | 01/30/34 | 520 | 530,452 | |
Sr. Unsec’d. Notes, 144A | 6.625 | 02/17/28 | 1,080 | 1,115,737 | |
Sr. Unsec’d. Notes, 144A | 7.125 | 01/17/33 | 478 | 515,093 | |
Sr. Unsec’d. Notes, 144A | 7.625 | 01/17/53 | 1,136 | 1,266,640 | |
Sr. Unsec’d. Notes, EMTN | 2.000 | 04/14/33 | EUR | 260 | 212,802 |
Sr. Unsec’d. Notes, EMTN | 2.125 | 03/07/28 | EUR | 960 | 945,396 |
Sr. Unsec’d. Notes, EMTN | 3.875 | 10/29/35 | EUR | 440 | 403,754 |
Sr. Unsec’d. Notes, EMTN | 4.125 | 03/11/39 | EUR | 410 | 371,085 |
Sr. Unsec’d. Notes, EMTN | 5.000 | 09/27/26 | EUR | 490 | 545,297 |
Sr. Unsec’d. Notes, EMTN | 6.000 | 05/25/34 | 80 | 79,760 | |
Sr. Unsec’d. Notes, EMTN | 6.625 | 09/27/29 | EUR | 370 | 427,849 |
Unsec’d. Notes, 144A, MTN | 6.000 | 05/25/34 | 1,022 | 1,018,934 | |
7,587,374 | |||||
Russia 0.1% | |||||
Russian Foreign Bond - Eurobond, | |||||
Sr. Unsec’d. Notes | 1.850 | 11/20/32(d) | EUR | 300 | 108,610 |
Sr. Unsec’d. Notes | 5.100 | 03/28/35(d) | 400 | 215,600 | |
324,210 | |||||
Saudi Arabia 2.7% | |||||
Saudi Government International Bond, | |||||
Sr. Unsec’d. Notes | 5.250 | 01/16/50 | 480 | 447,804 | |
Sr. Unsec’d. Notes, 144A | 5.000 | 01/16/34 | 385 | 383,075 | |
Sr. Unsec’d. Notes, 144A | 5.250 | 01/16/50 | 400 | 373,170 | |
Sr. Unsec’d. Notes, 144A | 5.750 | 01/16/54 | 365 | 357,417 | |
Sr. Unsec’d. Notes, 144A, MTN | 5.000 | 01/18/53 | 600 | 533,250 | |
Sr. Unsec’d. Notes, EMTN | 4.500 | 10/26/46 | 2,500 | 2,131,250 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Saudi Arabia (cont’d.) | |||||
Saudi Government International Bond, (cont’d.) | |||||
Sr. Unsec’d. Notes, EMTN | 4.625 % | 10/04/47 | 1,470 | $1,264,200 | |
Sr. Unsec’d. Notes, EMTN | 5.000 | 04/17/49 | 800 | 724,100 | |
6,214,266 | |||||
Senegal 0.8% | |||||
Senegal Government International Bond, | |||||
Sr. Unsec’d. Notes | 4.750 | 03/13/28 | EUR | 1,110 | 1,096,113 |
Sr. Unsec’d. Notes | 5.375 | 06/08/37 | EUR | 785 | 612,933 |
Sr. Unsec’d. Notes, 144A | 5.375 | 06/08/37 | EUR | 100 | 78,081 |
1,787,127 | |||||
Serbia 1.5% | |||||
Serbia International Bond, | |||||
Sr. Unsec’d. Notes | 1.500 | 06/26/29 | EUR | 1,120 | 1,015,210 |
Sr. Unsec’d. Notes, 144A | 1.650 | 03/03/33 | EUR | 225 | 178,417 |
Sr. Unsec’d. Notes, 144A | 2.125 | 12/01/30 | 230 | 183,425 | |
Sr. Unsec’d. Notes, 144A | 3.125 | 05/15/27 | EUR | 715 | 737,929 |
Sr. Unsec’d. Notes, 144A | 6.250 | 05/26/28 | 600 | 612,825 | |
Sr. Unsec’d. Notes, 144A | 6.500 | 09/26/33 | 430 | 439,234 | |
Sr. Unsec’d. Notes, EMTN | 1.000 | 09/23/28 | EUR | 230 | 209,102 |
3,376,142 | |||||
South Africa 1.6% | |||||
Republic of South Africa Government International Bond, | |||||
Sr. Unsec’d. Notes | 4.300 | 10/12/28 | 200 | 183,135 | |
Sr. Unsec’d. Notes | 4.850 | 09/30/29 | 1,000 | 908,950 | |
Sr. Unsec’d. Notes | 5.750 | 09/30/49 | 1,550 | 1,148,627 | |
Sr. Unsec’d. Notes | 5.875 | 06/22/30 | 340 | 319,447 | |
Sr. Unsec’d. Notes | 5.875 | 04/20/32 | 600 | 550,440 | |
Sr. Unsec’d. Notes | 7.300 | 04/20/52 | 480 | 423,840 | |
3,534,439 | |||||
Sri Lanka 1.0% | |||||
Sri Lanka Government International Bond, | |||||
Sr. Unsec’d. Notes | 5.750 | 04/18/23(d) | 400 | 209,044 | |
Sr. Unsec’d. Notes | 6.200 | 05/11/27(d) | 600 | 304,566 | |
Sr. Unsec’d. Notes | 6.350 | 06/28/24(d) | 630 | 322,678 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Sri Lanka (cont’d.) | |||||
Sri Lanka Government International Bond, (cont’d.) | |||||
Sr. Unsec’d. Notes | 6.750 % | 04/18/28(d) | 240 | $122,448 | |
Sr. Unsec’d. Notes | 6.825 | 07/18/26(d) | 1,150 | 602,025 | |
Sr. Unsec’d. Notes | 6.850 | 11/03/25(a)(d) | 350 | 182,476 | |
Sr. Unsec’d. Notes | 7.550 | 03/28/30(d) | 440 | 221,149 | |
Sr. Unsec’d. Notes | 7.850 | 03/14/29(d) | 250 | 125,715 | |
Sr. Unsec’d. Notes, 144A | 6.750 | 04/18/28(d) | 200 | 102,040 | |
Sr. Unsec’d. Notes, 144A | 6.850 | 03/14/24(d) | 205 | 105,136 | |
2,297,277 | |||||
Turkey 4.2% | |||||
Turkey Government International Bond, | |||||
Sr. Unsec’d. Notes | 4.750 | 01/26/26 | 495 | 478,418 | |
Sr. Unsec’d. Notes | 5.250 | 03/13/30 | 810 | 716,445 | |
Sr. Unsec’d. Notes | 6.000 | 01/14/41 | 200 | 158,850 | |
Sr. Unsec’d. Notes | 6.125 | 10/24/28 | 920 | 882,602 | |
Sr. Unsec’d. Notes | 6.875 | 03/17/36 | 669 | 607,117 | |
Sr. Unsec’d. Notes | 9.875 | 01/15/28 | 629 | 683,723 | |
Turkiye Government International Bond, | |||||
Sr. Unsec’d. Notes | 4.250 | 04/14/26 | 400 | 381,000 | |
Sr. Unsec’d. Notes | 4.875 | 10/09/26 | 620 | 591,790 | |
Sr. Unsec’d. Notes | 5.750 | 05/11/47 | 400 | 292,180 | |
Sr. Unsec’d. Notes | 5.950 | 01/15/31 | 400 | 363,200 | |
Sr. Unsec’d. Notes | 6.000 | 03/25/27 | 440 | 427,460 | |
Sr. Unsec’d. Notes | 9.125 | 07/13/30 | 1,245 | 1,325,925 | |
Sr. Unsec’d. Notes | 9.375 | 03/14/29 | 1,831 | 1,968,325 | |
Sr. Unsec’d. Notes | 9.375 | 01/19/33 | 600 | 651,000 | |
9,528,035 | |||||
Ukraine 1.0% | |||||
Ukraine Government International Bond, | |||||
Sr. Unsec’d. Notes | 4.375 | 01/27/32(d) | EUR | 760 | 171,658 |
Sr. Unsec’d. Notes | 6.750 | 06/20/28(d) | EUR | 580 | 149,493 |
Sr. Unsec’d. Notes | 7.375 | 09/25/34(d) | 200 | 45,200 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/25(d) | 300 | 82,050 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/26(d) | 1,030 | 267,543 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/27(d) | 1,920 | 483,840 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/28(d) | 1,520 | 380,000 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/29(d) | 520 | 128,960 | |
Sr. Unsec’d. Notes | 8.994 | 02/01/26(d) | 200 | 57,700 | |
Sr. Unsec’d. Notes | 9.750 | 11/01/30(d) | 1,665 | 439,560 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Ukraine (cont’d.) | |||||
Ukraine Government International Bond, (cont’d.) | |||||
Sr. Unsec’d. Notes, 144A | 4.375 % | 01/27/32(d) | EUR | 100 | $22,587 |
Ukreximbank Via Biz Finance PLC, Sr. Unsec’d. Notes | 9.750 | 01/22/25 | 25 | 23,000 | |
2,251,591 | |||||
United Arab Emirates 1.5% | |||||
Abu Dhabi Government International Bond, | |||||
Sr. Unsec’d. Notes | 3.125 | 09/30/49 | 800 | 557,000 | |
Sr. Unsec’d. Notes, 144A | 3.125 | 09/30/49 | 500 | 348,125 | |
Sr. Unsec’d. Notes, 144A, MTN | 3.875 | 04/16/50 | 200 | 160,250 | |
Emirate of Dubai Government International Bonds, Sr. Unsec’d. Notes, EMTN | 5.250 | 01/30/43 | 1,390 | 1,304,862 | |
Finance Department Government of Sharjah, | |||||
Sr. Unsec’d. Notes | 6.500 | 11/23/32 | 200 | 206,500 | |
Sr. Unsec’d. Notes, 144A | 6.500 | 11/23/32 | 355 | 366,538 | |
Sr. Unsec’d. Notes, 144A, MTN | 4.000 | 07/28/50 | 400 | 257,000 | |
Sr. Unsec’d. Notes, MTN | 4.000 | 07/28/50 | 200 | 128,500 | |
3,328,775 | |||||
Uruguay 1.6% | |||||
Uruguay Government International Bond, | |||||
Sr. Unsec’d. Notes | 4.125 | 11/20/45 | 120 | 105,600 | |
Sr. Unsec’d. Notes | 4.975 | 04/20/55 | 800 | 751,600 | |
Sr. Unsec’d. Notes | 5.100 | 06/18/50 | 1,104 | 1,074,082 | |
Sr. Unsec’d. Notes | 7.625 | 03/21/36 | 870 | 1,060,312 | |
Sr. Unsec’d. Notes, Cash coupon 7.875% | 7.875 | 01/15/33 | 435 | 524,828 | |
3,516,422 | |||||
Venezuela 0.4% | |||||
Venezuela Government International Bond, | |||||
Sr. Unsec’d. Notes | 9.250 | 09/15/27(d) | 5,320 | 949,620 | |
Sr. Unsec’d. Notes | 12.750 | 08/23/22(d) | 180 | 25,650 | |
975,270 | |||||
Zambia 0.7% | |||||
Zambia Government International Bond, | |||||
Sr. Unsec’d. Notes | 8.500 | 04/14/24(d) | 1,610 | 1,014,300 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Zambia (cont’d.) | |||||
Zambia Government International Bond, (cont’d.) | |||||
Sr. Unsec’d. Notes | 8.970 % | 07/30/27(d) | 600 | $374,250 | |
Unsec’d. Notes | 5.375 | 09/20/22(d) | 200 | 112,946 | |
1,501,496 | |||||
Total Sovereign Bonds (cost $175,511,502) | 162,524,254 | ||||
U.S. Treasury Obligation(h) 0.1% | |||||
U.S. Treasury Notes (cost $265,138) | 4.250 | 09/30/24 | 265 | 263,644 |
Shares | |||||
Common Stock 0.0% | |||||
Jamaica | |||||
Digicel International Finance Ltd. (original Cost $1,535; purchased 01/30/24)*(f) (cost $1,535) | 853 | 1,535 | |||
Total Long-Term Investments (cost $231,675,358) | 214,401,643 | ||||
Short-Term Investments 4.6% | |||||
Affiliated Mutual Funds 4.6% | |||||
PGIM Core Government Money Market Fund (7-day effective yield 5.560%)(wb) | 7,178,029 | 7,178,029 | |||
PGIM Institutional Money Market Fund (7-day effective yield 5.727%) (cost $3,157,115; includes $3,146,830 of cash collateral for securities on loan)(b)(wb) | 3,158,518 | 3,157,571 | |||
Total Affiliated Mutual Funds (cost $10,335,144) | 10,335,600 | ||||
Options Purchased*~ 0.0% | |||||
(cost $18,512) | 13,133 | ||||
Total Short-Term Investments (cost $10,353,656) | 10,348,733 | ||||
Description | Value | ||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN 99.4% (cost $242,029,014) | $224,750,376 | ||||
Options Written*~ (0.1)% | |||||
(premiums received $327,112) | (304,615) | ||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN 99.3% (cost $241,701,902) | 224,445,761 | ||||
Other assets in excess of liabilities(z) 0.7% | 1,579,949 | ||||
Net Assets 100.0% | $226,025,710 |
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
BRL—Brazilian Real | |
CLP—Chilean Peso | |
CNH—Chinese Renminbi | |
COP—Colombian Peso | |
CZK—Czech Koruna | |
EUR—Euro | |
GBP—British Pound | |
HUF—Hungarian Forint | |
IDR—Indonesian Rupiah | |
ILS—Israeli Shekel | |
INR—Indian Rupee | |
JPY—Japanese Yen | |
KRW—South Korean Won | |
MXN—Mexican Peso | |
MYR—Malaysian Ringgit | |
PEN—Peruvian Nuevo Sol | |
PHP—Philippine Peso | |
PLN—Polish Zloty | |
SGD—Singapore Dollar | |
THB—Thai Baht | |
TRY—Turkish Lira | |
TWD—New Taiwanese Dollar | |
USD—US Dollar | |
ZAR—South African Rand |
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
A—Annual payment frequency for swaps | |
BARC—Barclays Bank PLC | |
BNP—BNP Paribas S.A. | |
BNYM—Bank of New York Mellon | |
BOA—Bank of America, N.A. | |
BROIS—Brazil Overnight Index Swap | |
BUBOR—Budapest Interbank Offered Rate | |
CITI—Citibank, N.A. | |
CLOIS—Sinacofi Chile Interbank Rate Average | |
COOIS—Colombia Overnight Interbank Reference Rate | |
DB—Deutsche Bank AG |
EMTN—Euro Medium Term Note | |
GMTN—Global Medium Term Note | |
GSI—Goldman Sachs International | |
HSBC—HSBC Bank PLC | |
JIBAR—Johannesburg Interbank Agreed Rate | |
JPM—JPMorgan Chase Bank N.A. | |
KLIBOR—Kuala Lumpur Interbank Offered Rate | |
KWCDC—Korean Won Certificate of Deposit | |
M—Monthly payment frequency for swaps | |
MSI—Morgan Stanley & Co International PLC | |
MTN—Medium Term Note | |
OTC—Over-the-counter | |
PIK—Payment-in-Kind | |
PJSC—Public Joint-Stock Company | |
PRIBOR—Prague Interbank Offered Rate | |
Q—Quarterly payment frequency for swaps | |
S—Semiannual payment frequency for swaps | |
SCB—Standard Chartered Bank | |
SSB—State Street Bank & Trust Company | |
T—Swap payment upon termination | |
TD—The Toronto-Dominion Bank | |
THOR—Thai Overnight Repurchase Rate | |
UAG—UBS AG | |
WIBOR—Warsaw Interbank Offered Rate |
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. Options with maturity dates greater than one year from date of acquisition would be considered long-term investments. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $3,048,990; cash collateral of $3,146,830 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Fund may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of January 31, 2024. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(f) | Indicates a restricted security that is acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer and is considered restricted as to disposition under federal securities law; the aggregate original cost of such securities is $134,870. The aggregate value of $137,765 is 0.1% of net assets. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(wb) | Represents an investment in a Fund affiliated with the Manager. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
OTC Traded | ||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
Currency Option EUR vs CZK | Call | MSI | 02/08/24 | 26.00 | — | EUR | 562 | $5 | ||||||||
Currency Option EUR vs HUF | Call | MSI | 02/22/24 | 430.00 | — | EUR | 279 | 18 | ||||||||
Currency Option EUR vs ILS | Call | MSI | 02/16/24 | 5.50 | — | EUR | 555 | — | ||||||||
Currency Option EUR vs PLN | Call | CITI | 02/01/24 | 4.80 | — | EUR | 1,027 | — | ||||||||
Currency Option EUR vs PLN | Call | MSI | 02/07/24 | 4.70 | — | EUR | 562 | 1 | ||||||||
Currency Option EUR vs PLN | Call | CITI | 02/28/24 | 4.70 | — | EUR | 1,027 | 62 | ||||||||
Currency Option USD vs BRL | Call | DB | 02/28/24 | 6.00 | — | 280 | 3 | |||||||||
Currency Option USD vs CLP | Call | MSI | 02/01/24 | 1,100.00 | — | 853 | — | |||||||||
Currency Option USD vs CLP | Call | JPM | 02/07/24 | 1,100.00 | — | 281 | — | |||||||||
Currency Option USD vs CLP | Call | MSI | 02/29/24 | 1,150.00 | — | 853 | 28 | |||||||||
Currency Option USD vs CNH | Call | MSI | 04/02/24 | 7.25 | — | 1,137 | 2,792 | |||||||||
Currency Option USD vs COP | Call | MSI | 02/07/24 | 4,800.00 | — | 1,124 | — | |||||||||
Currency Option USD vs KRW | Call | CITI | 02/01/24 | 1,450.00 | — | 569 | — | |||||||||
Currency Option USD vs MXN | Call | MSI | 02/01/24 | 17.10 | — | 1,137 | 4,936 | |||||||||
Currency Option USD vs MXN | Call | BOA | 02/01/24 | 19.80 | — | 1,137 | — | |||||||||
Currency Option USD vs MXN | Call | MSI | 02/01/24 | 19.80 | — | 569 | — | |||||||||
Currency Option USD vs MXN | Call | DB | 02/06/24 | 20.00 | — | 564 | — | |||||||||
Currency Option USD vs MXN | Call | JPM | 02/07/24 | 20.00 | — | 562 | 1 | |||||||||
Currency Option USD vs MXN | Call | DB | 02/14/24 | 21.00 | — | 558 | 2 | |||||||||
Currency Option USD vs MXN | Call | MSI | 02/21/24 | 20.00 | — | 1,137 | 76 | |||||||||
Currency Option USD vs MXN | Call | MSI | 02/22/24 | 20.00 | — | 569 | 41 | |||||||||
Currency Option USD vs MXN | Call | MSI | 02/22/24 | 20.50 | — | 562 | 22 |
OTC Traded | ||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
Currency Option USD vs ZAR | Call | JPM | 02/14/24 | 21.00 | — | 558 | $11 | |||||||||
Currency Option USD vs ZAR | Call | MSI | 02/28/24 | 22.00 | — | 569 | 22 | |||||||||
Currency Option EUR vs HUF | Put | MSI | 02/02/24 | 360.00 | — | EUR | 255 | — | ||||||||
Currency Option EUR vs HUF | Put | DB | 02/27/24 | 360.00 | — | EUR | 335 | 4 | ||||||||
Currency Option USD vs BRL | Put | MSI | 03/26/24 | 4.25 | — | 1,397 | 11 | |||||||||
Currency Option USD vs CLP | Put | BARC | 02/01/24 | 830.00 | — | 280 | — | |||||||||
Currency Option USD vs CLP | Put | CITI | 02/07/24 | 800.00 | — | 841 | — | |||||||||
Currency Option USD vs CNH | Put | MSI | 04/02/24 | 6.50 | — | 1,137 | 21 | |||||||||
Currency Option USD vs COP | Put | MSI | 02/01/24 | 3,400.00 | — | 510 | — | |||||||||
Currency Option USD vs COP | Put | DB | 02/06/24 | 3,400.00 | — | 560 | — | |||||||||
Currency Option USD vs COP | Put | BARC | 02/15/24 | 3,400.00 | — | 566 | 1 | |||||||||
Currency Option USD vs COP | Put | MSI | 03/07/24 | 3,200.00 | — | 944 | 5 | |||||||||
Currency Option USD vs KRW | Put | JPM | 02/21/24 | 1,200.00 | — | 840 | 5 | |||||||||
Currency Option USD vs ZAR | Put | MSI | 02/01/24 | 16.50 | — | 1,082 | — | |||||||||
Currency Option USD vs ZAR | Put | GSI | 02/08/24 | 16.30 | — | 562 | — | |||||||||
Currency Option USD vs ZAR | Put | JPM | 02/08/24 | 18.70 | — | 562 | 5,031 | |||||||||
Currency Option USD vs ZAR | Put | JPM | 02/14/24 | 16.50 | — | 562 | — | |||||||||
Currency Option USD vs ZAR | Put | JPM | 02/14/24 | 17.00 | — | 562 | 4 | |||||||||
Currency Option USD vs ZAR | Put | JPM | 02/22/24 | 16.75 | — | 560 | 9 | |||||||||
Currency Option USD vs ZAR | Put | MSI | 03/14/24 | 16.00 | — | 1,082 | 22 | |||||||||
Total Options Purchased (cost $18,512) | $13,133 |
OTC Traded | |||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||
Currency Option EUR vs CZK | Call | MSI | 02/08/24 | 24.60 | — | EUR | 562 | $(6,094) | |||||||
Currency Option EUR vs HUF | Call | MSI | 02/22/24 | 390.00 | — | EUR | 279 | (1,053) | |||||||
Currency Option EUR vs ILS | Call | MSI | 02/16/24 | 4.48 | — | EUR | 555 | (10) | |||||||
Currency Option EUR vs PLN | Call | MSI | 02/07/24 | 4.35 | — | EUR | 562 | (883) | |||||||
Currency Option EUR vs PLN | Call | CITI | 02/28/24 | 4.35 | — | EUR | 1,027 | (5,390) | |||||||
Currency Option USD vs BRL | Call | DB | 02/28/24 | 5.00 | — | 280 | (2,175) | ||||||||
Currency Option USD vs CLP | Call | JPM | 02/07/24 | 900.00 | — | 281 | (9,299) | ||||||||
Currency Option USD vs CLP | Call | MSI | 02/29/24 | 910.00 | — | 853 | (25,554) | ||||||||
Currency Option USD vs COP | Call | MSI | 02/07/24 | 4,000.00 | — | 1,124 | (1,855) | ||||||||
Currency Option USD vs KRW | Call | CITI | 02/01/24 | 1,320.00 | — | 569 | (4,117) | ||||||||
Currency Option USD vs MXN | Call | BOA | 02/01/24 | 17.10 | — | 1,137 | (4,936) | ||||||||
Currency Option USD vs MXN | Call | DB | 02/06/24 | 17.00 | — | 564 | (6,347) | ||||||||
Currency Option USD vs MXN | Call | JPM | 02/07/24 | 16.95 | — | 562 | (7,817) | ||||||||
Currency Option USD vs MXN | Call | DB | 02/14/24 | 17.30 | — | 558 | (3,353) | ||||||||
Currency Option USD vs MXN | Call | MSI | 02/21/24 | 17.20 | — | 1,137 | (11,730) | ||||||||
Currency Option USD vs MXN | Call | MSI | 02/22/24 | 17.25 | — | 569 | (5,435) | ||||||||
Currency Option USD vs MXN | Call | MSI | 02/22/24 | 17.40 | — | 562 | (3,781) | ||||||||
Currency Option USD vs ZAR | Call | JPM | 02/14/24 | 19.00 | — | 558 | (2,296) | ||||||||
Currency Option USD vs ZAR | Call | MSI | 02/28/24 | 18.60 | — | 569 | (9,476) | ||||||||
Currency Option EUR vs HUF | Put | DB | 02/27/24 | 385.00 | — | EUR | 335 | (2,848) | |||||||
Currency Option USD vs BRL | Put | MSI | 03/26/24 | 5.05 | — | 1,397 | (39,344) | ||||||||
Currency Option USD vs CLP | Put | BARC | 02/01/24 | 900.00 | — | 280 | — |
OTC Traded | |||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||
Currency Option USD vs CLP | Put | CITI | 02/07/24 | 910.00 | — | 841 | $(1,061) | ||||||||
Currency Option USD vs CNH | Put | MSI | 04/02/24 | 7.10 | — | 1,137 | (4,667) | ||||||||
Currency Option USD vs COP | Put | DB | 02/06/24 | 3,900.00 | — | 560 | (4,839) | ||||||||
Currency Option USD vs COP | Put | BARC | 02/15/24 | 3,900.00 | — | 566 | (6,644) | ||||||||
Currency Option USD vs COP | Put | MSI | 03/07/24 | 4,100.00 | — | 944 | (49,513) | ||||||||
Currency Option USD vs KRW | Put | JPM | 02/21/24 | 1,320.00 | — | 840 | (4,893) | ||||||||
Currency Option USD vs ZAR | Put | GSI | 02/08/24 | 18.70 | — | 562 | (5,031) | ||||||||
Currency Option USD vs ZAR | Put | JPM | 02/14/24 | 19.00 | — | 562 | (12,422) | ||||||||
Currency Option USD vs ZAR | Put | JPM | 02/14/24 | 19.00 | — | 562 | (12,423) | ||||||||
Currency Option USD vs ZAR | Put | JPM | 02/22/24 | 18.80 | — | 560 | (9,229) | ||||||||
Currency Option USD vs ZAR | Put | MSI | 03/14/24 | 19.25 | — | 1,082 | (40,100) | ||||||||
Total Options Written (premiums received $327,112) | $(304,615) |
Futures contracts outstanding at January 31, 2024: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
102 | 2 Year U.S. Treasury Notes | Mar. 2024 | $20,976,938 | $151,337 | ||||
67 | 10 Year U.S. Treasury Notes | Mar. 2024 | 7,525,985 | 149,955 | ||||
23 | 10 Year U.S. Ultra Treasury Notes | Mar. 2024 | 2,688,125 | 11,817 | ||||
16 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2024 | 2,067,500 | (12,204) | ||||
300,905 | ||||||||
Short Positions: | ||||||||
42 | 5 Year Euro-Bobl | Mar. 2024 | 5,380,006 | (49,675) | ||||
33 | 5 Year U.S. Treasury Notes | Mar. 2024 | 3,576,891 | (12,950) | ||||
34 | 10 Year Euro-Bund | Mar. 2024 | 4,991,645 | (107,249) |
Futures contracts outstanding at January 31, 2024 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Short Positions (cont’d): | ||||||||
6 | 20 Year U.S. Treasury Bonds | Mar. 2024 | $734,063 | $(8,446) | ||||
18 | Euro Schatz Index | Mar. 2024 | 2,065,672 | (2,673) | ||||
(180,993) | ||||||||
$119,912 |
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Brazilian Real, | |||||||||||||
Expiring 02/02/24 | CITI | BRL | 2,982 | $604,000 | $601,669 | $— | $(2,331) | ||||||
Expiring 02/02/24 | CITI | BRL | 2,073 | 420,621 | 418,335 | — | (2,286) | ||||||
Expiring 02/02/24 | GSI | BRL | 2,799 | 568,000 | 564,833 | — | (3,167) | ||||||
Expiring 02/02/24 | HSBC | BRL | 3,819 | 773,000 | 770,659 | — | (2,341) | ||||||
Expiring 02/02/24 | SSB | BRL | 2,988 | 604,000 | 603,040 | — | (960) | ||||||
Expiring 04/02/24 | DB | BRL | 14,749 | 2,978,680 | 2,958,814 | — | (19,866) | ||||||
Chilean Peso, | |||||||||||||
Expiring 03/20/24 | MSI | CLP | 771,928 | 863,213 | 827,113 | — | (36,100) | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 04/24/24 | HSBC | CNH | 7,090 | 992,000 | 991,862 | — | (138) | ||||||
Colombian Peso, | |||||||||||||
Expiring 03/20/24 | CITI | COP | 3,576,760 | 887,203 | 910,274 | 23,071 | — | ||||||
Expiring 03/20/24 | GSI | COP | 4,683,655 | 1,147,673 | 1,191,976 | 44,303 | — | ||||||
Expiring 03/20/24 | GSI | COP | 4,646,483 | 1,146,332 | 1,182,516 | 36,184 | — | ||||||
Czech Koruna, | |||||||||||||
Expiring 04/19/24 | MSI | CZK | 1,814 | 79,570 | 78,846 | — | (724) | ||||||
Euro, | |||||||||||||
Expiring 02/06/24 | CITI | EUR | 855 | 925,023 | 923,688 | — | (1,335) | ||||||
Expiring 02/06/24 | CITI | EUR | 855 | 924,848 | 923,688 | — | (1,160) | ||||||
Expiring 04/19/24 | JPM | EUR | 1,083 | 1,179,683 | 1,173,838 | — | (5,845) | ||||||
Indian Rupee, | |||||||||||||
Expiring 03/20/24 | CITI | INR | 120,744 | 1,443,143 | 1,450,344 | 7,201 | — | ||||||
Expiring 03/20/24 | HSBC | INR | 82,031 | 985,000 | 985,330 | 330 | — | ||||||
Expiring 03/20/24 | MSI | INR | 139,532 | 1,676,000 | 1,676,018 | 18 | — | ||||||
Expiring 03/20/24 | UAG | INR | 120,744 | 1,443,138 | 1,450,344 | 7,206 | — | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 03/20/24 | BOA | IDR | 13,425,452 | 862,957 | 850,441 | — | (12,516) | ||||||
Expiring 03/20/24 | HSBC | IDR | 12,945,774 | 826,000 | 820,056 | — | (5,944) | ||||||
Expiring 03/20/24 | HSBC | IDR | 12,108,704 | 776,000 | 767,031 | — | (8,969) |
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Indonesian Rupiah (cont’d.), | |||||||||||||
Expiring 03/20/24 | JPM | IDR | 5,661,087 | $363,000 | $358,604 | $— | $(4,396) | ||||||
Expiring 03/20/24 | SCB | IDR | 12,257,285 | 788,000 | 776,443 | — | (11,557) | ||||||
Israeli Shekel, | |||||||||||||
Expiring 03/20/24 | BOA | ILS | 3,007 | 813,903 | 825,744 | 11,841 | — | ||||||
Expiring 03/20/24 | CITI | ILS | 2,640 | 713,000 | 724,984 | 11,984 | — | ||||||
Japanese Yen, | |||||||||||||
Expiring 04/19/24 | BOA | JPY | 104,656 | 733,165 | 719,929 | — | (13,236) | ||||||
Mexican Peso, | |||||||||||||
Expiring 03/20/24 | HSBC | MXN | 6,305 | 360,612 | 363,317 | 2,705 | — | ||||||
Expiring 03/20/24 | JPM | MXN | 10,265 | 595,000 | 591,468 | — | (3,532) | ||||||
Expiring 03/20/24 | JPM | MXN | 9,777 | 574,000 | 563,400 | — | (10,600) | ||||||
Expiring 03/20/24 | TD | MXN | 9,645 | 548,000 | 555,744 | 7,744 | — | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 03/20/24 | BNP | PEN | 361 | 96,126 | 94,767 | — | (1,359) | ||||||
Expiring 03/20/24 | CITI | PEN | 909 | 238,000 | 238,531 | 531 | — | ||||||
Expiring 03/20/24 | MSI | PEN | 1,249 | 331,034 | 327,805 | — | (3,229) | ||||||
Philippine Peso, | |||||||||||||
Expiring 03/20/24 | CITI | PHP | 53,576 | 952,000 | 952,370 | 370 | — | ||||||
Expiring 03/20/24 | CITI | PHP | 50,178 | 899,000 | 891,965 | — | (7,035) | ||||||
Expiring 03/20/24 | JPM | PHP | 51,211 | 921,000 | 910,330 | — | (10,670) | ||||||
Expiring 03/20/24 | MSI | PHP | 85,007 | 1,515,000 | 1,511,089 | — | (3,911) | ||||||
Expiring 03/20/24 | MSI | PHP | 54,680 | 974,000 | 972,005 | — | (1,995) | ||||||
Expiring 03/20/24 | SCB | PHP | 61,366 | 1,098,000 | 1,090,858 | — | (7,142) | ||||||
Expiring 03/20/24 | SCB | PHP | 60,437 | 1,073,000 | 1,074,342 | 1,342 | — | ||||||
Expiring 03/20/24 | SCB | PHP | 49,680 | 886,000 | 883,111 | — | (2,889) | ||||||
Singapore Dollar, | |||||||||||||
Expiring 03/20/24 | CITI | SGD | 758 | 571,000 | 565,926 | — | (5,074) | ||||||
Expiring 03/20/24 | CITI | SGD | 753 | 569,000 | 562,478 | — | (6,522) | ||||||
Expiring 03/20/24 | HSBC | SGD | 2,435 | 1,842,000 | 1,819,144 | — | (22,856) | ||||||
South African Rand, | |||||||||||||
Expiring 03/20/24 | CITI | ZAR | 8,144 | 432,000 | 433,152 | 1,152 | — | ||||||
Expiring 03/20/24 | HSBC | ZAR | 35,171 | 1,863,274 | 1,870,740 | 7,466 | — | ||||||
Expiring 03/20/24 | TD | ZAR | 40,466 | 2,162,937 | 2,152,356 | — | (10,581) | ||||||
South Korean Won, | |||||||||||||
Expiring 03/20/24 | CITI | KRW | 734,888 | 560,000 | 552,194 | — | (7,806) | ||||||
Thai Baht, | |||||||||||||
Expiring 03/20/24 | HSBC | THB | 24,925 | 733,000 | 705,284 | — | (27,716) | ||||||
Expiring 03/20/24 | HSBC | THB | 24,689 | 712,000 | 698,611 | — | (13,389) | ||||||
Expiring 03/20/24 | HSBC | THB | 24,333 | 688,000 | 688,544 | 544 | — | ||||||
Expiring 03/20/24 | MSI | THB | 25,602 | 741,000 | 724,439 | — | (16,561) |
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Turkish Lira, | |||||||||||||
Expiring 03/20/24 | BARC | TRY | 10,225 | $325,000 | $320,960 | $— | $(4,040) | ||||||
Expiring 03/20/24 | BARC | TRY | 8,565 | 268,000 | 268,858 | 858 | — | ||||||
$48,045,135 | $47,910,207 | 164,850 | (299,778) |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Brazilian Real, | |||||||||||||
Expiring 02/02/24 | DB | BRL | 14,661 | $2,978,749 | $2,958,535 | $20,214 | $— | ||||||
British Pound, | |||||||||||||
Expiring 04/19/24 | HSBC | GBP | 102 | 130,313 | 129,723 | 590 | — | ||||||
Chilean Peso, | |||||||||||||
Expiring 03/20/24 | MSI | CLP | 603,485 | 684,620 | 646,629 | 37,991 | — | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 04/24/24 | MSI | CNH | 43,570 | 6,101,361 | 6,095,130 | 6,231 | — | ||||||
Colombian Peso, | |||||||||||||
Expiring 03/20/24 | BARC | COP | 2,651,574 | 666,000 | 674,818 | — | (8,818) | ||||||
Expiring 03/20/24 | MSI | COP | 7,901,208 | 1,952,000 | 2,010,833 | — | (58,833) | ||||||
Czech Koruna, | |||||||||||||
Expiring 04/19/24 | BARC | CZK | 7,300 | 317,643 | 317,237 | 406 | — | ||||||
Expiring 04/19/24 | BARC | CZK | 7,219 | 314,357 | 313,713 | 644 | — | ||||||
Expiring 04/19/24 | BOA | CZK | 16,503 | 722,000 | 717,167 | 4,833 | — | ||||||
Euro, | |||||||||||||
Expiring 02/06/24 | CITI | EUR | 2,534 | 2,749,033 | 2,739,630 | 9,403 | — | ||||||
Expiring 04/19/24 | BOA | EUR | 3,225 | 3,521,614 | 3,497,270 | 24,344 | — | ||||||
Expiring 04/19/24 | CITI | EUR | 259 | 283,000 | 280,990 | 2,010 | — | ||||||
Expiring 04/19/24 | CITI | EUR | 258 | 280,000 | 279,324 | 676 | — | ||||||
Expiring 04/19/24 | CITI | EUR | 255 | 281,000 | 276,351 | 4,649 | — | ||||||
Expiring 04/19/24 | SSB | EUR | 5,218 | 5,734,431 | 5,658,365 | 76,066 | — | ||||||
Expiring 04/19/24 | TD | EUR | 4,838 | 5,283,060 | 5,245,905 | 37,155 | — | ||||||
Hungarian Forint, | |||||||||||||
Expiring 04/19/24 | BOA | HUF | 391,744 | 1,114,111 | 1,095,409 | 18,702 | — | ||||||
Expiring 04/19/24 | GSI | HUF | 721,797 | 2,074,488 | 2,018,317 | 56,171 | — | ||||||
Expiring 04/19/24 | UAG | HUF | 183,413 | 511,000 | 512,865 | — | (1,865) | ||||||
Israeli Shekel, | |||||||||||||
Expiring 03/20/24 | CITI | ILS | 2,067 | 560,274 | 567,752 | — | (7,478) | ||||||
Expiring 03/20/24 | DB | ILS | 2,652 | 729,050 | 728,390 | 660 | — | ||||||
Expiring 03/20/24 | DB | ILS | 927 | 254,453 | 254,586 | — | (133) |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Mexican Peso, | |||||||||||||
Expiring 03/20/24 | CITI | MXN | 17,815 | $1,032,423 | $1,026,573 | $5,850 | $— | ||||||
New Taiwanese Dollar, | |||||||||||||
Expiring 03/20/24 | CITI | TWD | 25,493 | 830,000 | 819,855 | 10,145 | — | ||||||
Expiring 03/20/24 | JPM | TWD | 293,826 | 9,590,262 | 9,449,290 | 140,972 | — | ||||||
Expiring 03/20/24 | SCB | TWD | 39,434 | 1,288,000 | 1,268,177 | 19,823 | — | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 03/20/24 | BARC | PEN | 3,290 | 879,115 | 863,707 | 15,408 | — | ||||||
Expiring 03/20/24 | CITI | PEN | 2,123 | 567,073 | 557,313 | 9,760 | — | ||||||
Expiring 03/20/24 | SCB | PEN | 2,964 | 780,525 | 778,321 | 2,204 | — | ||||||
Philippine Peso, | |||||||||||||
Expiring 03/20/24 | CITI | PHP | 36,403 | 656,106 | 647,111 | 8,995 | — | ||||||
Expiring 03/20/24 | SCB | PHP | 42,864 | 772,327 | 761,959 | 10,368 | — | ||||||
Expiring 03/20/24 | SSB | PHP | 54,389 | 972,235 | 966,822 | 5,413 | — | ||||||
Expiring 03/20/24 | SSB | PHP | 39,693 | 714,215 | 705,592 | 8,623 | — | ||||||
Polish Zloty, | |||||||||||||
Expiring 04/19/24 | CITI | PLN | 929 | 229,822 | 231,891 | — | (2,069) | ||||||
Expiring 04/19/24 | GSI | PLN | 2,127 | 525,178 | 530,700 | — | (5,522) | ||||||
Expiring 04/19/24 | HSBC | PLN | 6,332 | 1,569,666 | 1,579,680 | — | (10,014) | ||||||
Singapore Dollar, | |||||||||||||
Expiring 03/20/24 | BNYM | SGD | 2,433 | 1,819,987 | 1,817,412 | 2,575 | — | ||||||
Expiring 03/20/24 | BOA | SGD | 1,357 | 1,014,000 | 1,014,028 | — | (28) | ||||||
Expiring 03/20/24 | BOA | SGD | 1,346 | 1,018,000 | 1,005,654 | 12,346 | — | ||||||
Expiring 03/20/24 | HSBC | SGD | 1,337 | 1,007,000 | 999,218 | 7,782 | — | ||||||
Expiring 03/20/24 | SSB | SGD | 747 | 558,000 | 557,802 | 198 | — | ||||||
South Korean Won, | |||||||||||||
Expiring 03/20/24 | BARC | KRW | 2,297,499 | 1,751,917 | 1,726,339 | 25,578 | — | ||||||
Expiring 03/20/24 | BOA | KRW | 855,277 | 651,000 | 642,655 | 8,345 | — | ||||||
Expiring 03/20/24 | UAG | KRW | 915,981 | 686,000 | 688,267 | — | (2,267) | ||||||
Thai Baht, | |||||||||||||
Expiring 03/20/24 | CITI | THB | 22,931 | 656,000 | 648,867 | 7,133 | — | ||||||
Expiring 03/20/24 | GSI | THB | 19,585 | 560,000 | 554,198 | 5,802 | — | ||||||
Expiring 03/20/24 | JPM | THB | 28,750 | 815,000 | 813,513 | 1,487 | — | ||||||
Expiring 03/20/24 | MSI | THB | 17,026 | 479,017 | 481,779 | — | (2,762) | ||||||
$68,665,425 | $68,155,662 | 609,552 | (99,789) | ||||||||||
$774,402 | $(399,567) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at January 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
BRL | 4,565 | 01/04/27 | 9.957%(T) | 1 Day BROIS(2)(T)/ 0.044% | $— | $5,711 | $5,711 | |||||||
BRL | 2,676 | 01/04/27 | 10.000%(T) | 1 Day BROIS(2)(T)/ 0.044% | — | (686) | (686) | |||||||
BRL | 5,686 | 01/04/27 | 10.196%(T) | 1 Day BROIS(2)(T)/ 0.044% | — | 13,768 | 13,768 | |||||||
BRL | 10,979 | 01/04/27 | 10.750%(T) | 1 Day BROIS(2)(T)/ 0.044% | — | 59,729 | 59,729 | |||||||
BRL | 342 | 01/04/27 | 11.120%(T) | 1 Day BROIS(2)(T)/ 0.044% | 2,092 | 2,221 | 129 | |||||||
BRL | 7,258 | 01/04/27 | 12.640%(T) | 1 Day BROIS(1)(T)/ 0.044% | (44,025) | (129,129) | (85,104) | |||||||
BRL | 3,272 | 01/02/29 | 10.373%(T) | 1 Day BROIS(2)(T)/ 0.044% | — | 9,720 | 9,720 | |||||||
BRL | 2,968 | 01/02/29 | 10.375%(T) | 1 Day BROIS(2)(T)/ 0.044% | — | 8,830 | 8,830 | |||||||
BRL | 1,592 | 01/02/29 | 11.420%(T) | 1 Day BROIS(2)(T)/ 0.044% | — | 21,637 | 21,637 | |||||||
CLP | 1,509,030 | 12/20/25 | 5.960%(S) | 1 Day CLOIS(1)(S)/ 7.250% | — | (34,689) | (34,689) | |||||||
CLP | 1,754,470 | 12/20/25 | 6.029%(S) | 1 Day CLOIS(1)(S)/ 7.250% | — | (42,823) | (42,823) | |||||||
CLP | 615,850 | 03/20/29 | 4.775%(S) | 1 Day CLOIS(1)(S)/ 7.250% | — | (12,323) | (12,323) | |||||||
CLP | 613,500 | 03/20/29 | 4.805%(S) | 1 Day CLOIS(1)(S)/ 7.250% | — | (13,160) | (13,160) | |||||||
CLP | 644,260 | 03/20/29 | 4.853%(S) | 1 Day CLOIS(1)(S)/ 7.250% | — | (15,289) | (15,289) | |||||||
CNH | 17,665 | 03/20/27 | 1.978%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.700% | — | (1,096) | (1,096) | |||||||
CNH | 4,647 | 12/15/27 | 2.680%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.700% | — | 15,135 | 15,135 | |||||||
CNH | 19,155 | 09/20/28 | 2.420%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.700% | 7,350 | 35,791 | 28,441 | |||||||
COP | 5,238,410 | 12/20/25 | 9.702%(Q) | 1 Day COOIS(1)(Q)/ 12.016% | 34 | (29,909) | (29,943) | |||||||
COP | 835,888 | 09/20/28 | 7.440%(Q) | 1 Day COOIS(2)(Q)/ 12.016% | (1,824) | 1,713 | 3,537 | |||||||
COP | 1,282,370 | 12/20/28 | 7.743%(Q) | 1 Day COOIS(2)(Q)/ 12.016% | — | 7,180 | 7,180 |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at January 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
COP | 2,316,400 | 12/20/28 | 7.797%(Q) | 1 Day COOIS(2)(Q)/ 12.016% | $— | $14,289 | $14,289 | |||||||
COP | 2,318,080 | 12/20/28 | 7.865%(Q) | 1 Day COOIS(2)(Q)/ 12.016% | — | 15,963 | 15,963 | |||||||
COP | 6,175,080 | 03/20/29 | 7.070%(Q) | 1 Day COOIS(2)(Q)/ 12.016% | (477) | 10,910 | 11,387 | |||||||
CZK | 19,526 | 06/21/25 | 5.919%(A) | 6 Month PRIBOR(1)(S)/ 6.150% | 147 | (38,234) | (38,381) | |||||||
CZK | 30,001 | 03/20/26 | 3.930%(A) | 6 Month PRIBOR(2)(S)/ 6.150% | — | 1,514 | 1,514 | |||||||
CZK | 29,580 | 03/20/26 | 4.495%(A) | 6 Month PRIBOR(1)(S)/ 6.150% | — | (15,413) | (15,413) | |||||||
CZK | 7,500 | 09/20/33 | 4.225%(A) | 6 Month PRIBOR(2)(S)/ 6.150% | — | 13,748 | 13,748 | |||||||
CZK | 7,214 | 12/20/33 | 4.290%(A) | 6 Month PRIBOR(2)(S)/ 6.150% | — | 17,434 | 17,434 | |||||||
HUF | 317,176 | 03/20/26 | 6.195%(A) | 6 Month BUBOR(1)(S)/ 8.760% | (5,615) | (5,429) | 186 | |||||||
HUF | 145,770 | 12/20/33 | 7.420%(A) | 6 Month BUBOR(2)(S)/ 8.760% | — | 43,034 | 43,034 | |||||||
KRW | 400,000 | 09/21/27 | 3.639%(Q) | 3 Month KWCDC(1)(Q)/ 3.680% | (3,603) | (4,324) | (721) | |||||||
KRW | 870,000 | 12/21/27 | 4.197%(Q) | 3 Month KWCDC(2)(Q)/ 3.680% | 29,318 | 23,990 | (5,328) | |||||||
KRW | 600,000 | 03/15/28 | 2.965%(Q) | 3 Month KWCDC(2)(Q)/ 3.680% | — | (4,655) | (4,655) | |||||||
KRW | 2,028,148 | 03/15/28 | 3.100%(Q) | 3 Month KWCDC(1)(Q)/ 3.680% | 56,772 | 7,483 | (49,289) | |||||||
KRW | 2,489,746 | 12/20/28 | 3.830%(Q) | 3 Month KWCDC(2)(Q)/ 3.680% | 113 | 55,074 | 54,961 |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at January 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
KRW | 1,040,000 | 03/20/29 | 3.163%(Q) | 3 Month KWCDC(2)(Q)/ 3.680% | $— | $(4) | $(4) | |||||||
MXN | 13,205 | 12/15/27 | 8.950%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 11.501% | 5,613 | 1,031 | (4,582) | |||||||
MXN | 3,279 | 03/08/28 | 8.475%(M) | 28 Day Mexican Interbank Rate(1)(M)/ 11.501% | 6,047 | 2,549 | (3,498) | |||||||
MXN | 13,610 | 09/13/28 | 8.658%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 11.501% | (8,233) | (3,921) | 4,312 | |||||||
MXN | 2,597 | 12/13/28 | 8.570%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 11.501% | (1,821) | (1,032) | 789 | |||||||
MXN | 11,660 | 03/14/29 | 8.447%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 11.501% | — | (3,964) | (3,964) | |||||||
MXN | 10,570 | 03/14/29 | 8.455%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 11.501% | — | (3,385) | (3,385) | |||||||
MXN | 18,750 | 03/14/29 | 8.463%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 11.501% | — | (5,677) | (5,677) | |||||||
MXN | 9,340 | 03/14/29 | 8.484%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 11.501% | — | (2,372) | (2,372) | |||||||
MXN | 11,450 | 03/08/34 | 8.615%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 11.501% | — | 1,457 | 1,457 | |||||||
PLN | 6,830 | 06/21/25 | 6.021%(A) | 6 Month WIBOR(1)(S)/ 5.850% | 4,201 | (65,815) | (70,016) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at January 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
PLN | 1,204 | 06/15/27 | 4.970%(A) | 6 Month WIBOR(2)(S)/ 5.850% | $(11,987) | $9,948 | $21,935 | |||||||
PLN | 2,826 | 09/21/27 | 5.487%(A) | 6 Month WIBOR(1)(S)/ 5.850% | — | (19,521) | (19,521) | |||||||
PLN | 5,393 | 09/21/27 | 6.547%(A) | 6 Month WIBOR(1)(S)/ 5.850% | 1,194 | (88,695) | (89,889) | |||||||
PLN | 1,175 | 10/06/27 | 6.826%(A) | 6 Month WIBOR(2)(S)/ 5.850% | — | 22,523 | 22,523 | |||||||
PLN | 460 | 10/25/27 | 7.900%(A) | 6 Month WIBOR(2)(S)/ 5.850% | — | 13,344 | 13,344 | |||||||
PLN | 18 | 12/21/27 | 6.845%(A) | 6 Month WIBOR(2)(S)/ 5.850% | 212 | 356 | 144 | |||||||
PLN | 15,700 | 12/20/28 | 4.087%(A) | 6 Month WIBOR(2)(S)/ 5.850% | (93,464) | (79,953) | 13,511 | |||||||
PLN | 2,732 | 03/20/29 | 4.535%(A) | 6 Month WIBOR(2)(S)/ 5.850% | — | 1,892 | 1,892 | |||||||
THB | 31,220 | 03/20/29 | 2.212%(Q) | 1 Day THOR(2)(Q)/ 2.483% | — | (3,366) | (3,366) | |||||||
ZAR | 52,851 | 09/21/27 | 7.490%(Q) | 3 Month JIBAR(1)(Q)/ 8.392% | 49,954 | 27,118 | (22,836) | |||||||
ZAR | 26,104 | 09/21/27 | 7.995%(Q) | 3 Month JIBAR(2)(Q)/ 8.392% | (3,731) | 9,483 | 13,214 | |||||||
ZAR | 10,122 | 12/21/27 | 8.860%(Q) | 3 Month JIBAR(1)(Q)/ 8.392% | (2,875) | (19,313) | (16,438) | |||||||
ZAR | 14,361 | 03/15/28 | 7.766%(Q) | 3 Month JIBAR(2)(Q)/ 8.392% | (37,812) | (2,676) | 35,136 | |||||||
ZAR | 17,762 | 06/21/28 | 8.455%(Q) | 3 Month JIBAR(1)(Q)/ 8.392% | (1,774) | (19,455) | (17,681) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at January 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
ZAR | 15,630 | 09/20/28 | 8.415%(Q) | 3 Month JIBAR(2)(Q)/ 8.392% | $— | $14,759 | $14,759 | |||||||
ZAR | 11,504 | 09/20/28 | 8.623%(Q) | 3 Month JIBAR(1)(Q)/ 8.392% | — | (15,916) | (15,916) | |||||||
ZAR | 17,881 | 12/20/28 | 8.897%(Q) | 3 Month JIBAR(1)(Q)/ 8.392% | (20,733) | (34,327) | (13,594) | |||||||
ZAR | 3,548 | 12/20/28 | 9.085%(Q) | 3 Month JIBAR(1)(Q)/ 8.392% | — | (8,283) | (8,283) | |||||||
ZAR | 16,410 | 03/20/29 | 8.160%(Q) | 3 Month JIBAR(1)(Q)/ 8.392% | — | (3,281) | (3,281) | |||||||
ZAR | 5,396 | 11/10/32 | 9.160%(Q) | 3 Month JIBAR(2)(Q)/ 8.392% | (17) | 3,999 | 4,016 | |||||||
$(74,944) | $(234,782) | $(159,838) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid(Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||
OTC Interest Rate Swap Agreement: | |||||||||||||||
MYR | 4,300 | 06/21/28 | 3.598%(Q) | 3 Month KLIBOR(2)(Q)/ 3.570% | $2,169 | $— | $2,169 | GSI |
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |