NPORT-EX 2 IPEMLCD.htm IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT SOI HTML
   SCHEDULE OF INVESTMENTS   
 
  

Ivy Pictet Emerging Markets Local Currency

Debt Fund (in thousands)

    DECEMBER 31, 2019 (UNAUDITED)
     
     

 

OTHER
GOVERNMENT
SECURITIES(A)		   Principal   Value

Brazil – 8.2%

Brazil Letras do Tesouro Nacional:

    

0.000%, 7-1-21(B)(C)

   BRL1,550   $359

0.000%, 1-1-22(B)(C)

   2,000   448

0.000%, 7-1-22(B)(C)

   2,100   456

0.000%, 7-1-23(B)(C)

   7,019   1,422

Brazil Notas do Tesouro Nacional:

    

10.000%, 1-1-23(C)

   12,700   3,508

10.000%, 1-1-25(C)

   10,245   2,926

10.000%, 1-1-27(C)

   2,687   785

10.000%, 1-1-29(C)

   3,550   1,065
    10,969

Chile – 2.8%

Chile Bonos Tesoreria:

    

4.500%, 3-1-21(C)

   CLP410,000   562

4.500%, 3-1-26(C)

   650,000   953

4.700%, 9-1-30(C)

   235,000   356

5.000%, 3-1-35(C)

   605,000   949

6.000%, 1-1-43(C)

   470,000   846
    3,666

Columbia – 4.1%

Colombian TES:

    

7.500%, 8-26-26(C)

   COP1,993,600   662

6.000%, 4-28-28(C)

   2,948,500   893

7.750%, 9-18-30(C)

   2,396,000   806

7.000%, 6-30-32(C)

   5,456,700   1,732

7.250%, 10-18-34(C)

   4,348,700   1,403
    5,496

Czech Republic – 3.2%

Czech Republic Government Bond:

    

0.450%, 10-25-23(C)

   CZK20,430   859

2.400%, 9-17-25(C)

   5,900   272

1.000%, 6-26-26(C)

   30,990   1,314

2.500%, 8-25-28(C)

   14,860   703

2.750%, 7-23-29(C)

   15,700   758

0.950%, 5-15-30(C)

   10,230   420
    4,326

Dominican Republic – 0.2%

Dominican Republic

    

8.900%, 2-15-23(C)

   DOP13,300   250

Hungary – 4.8%

Hungary Government Bond:

    

3.000%, 6-26-24(C)

   HUF100,000   372

2.500%, 10-24-24(C)

   479,470   1,742

5.500%, 6-24-25(C)

   335,810   1,403

2.750%, 12-22-26(C)

   256,820   946

3.000%, 10-27-27(C)

   192,800   718

6.750%, 10-22-28(C)

   87,140   414

3.000%, 8-21-30(C)

   31,310   116

3.000%, 10-27-38(C)

   180,000   623
    6,334

Indonesia – 6.3%

Indonesia Government Bond:

    

9.000%, 3-15-29(C)

   IDR15,181,000   1,219

6.625%, 5-15-33(C)

   6,093,000   405

8.375%, 3-15-34(C)

   44,465,000   3,427

8.250%, 5-15-36(C)

   34,000,000   2,559

8.375%, 4-15-39(C)

   6,034,000   465

8.750%, 2-15-44(C)

   4,600,000   365
    8,440

Malaysia – 4.8%

Malaysia Government Bond:

    

3.882%, 3-10-22(C)

   MYR840   209

3.948%, 4-14-22(C)

   650   162

3.418%, 8-15-22(C)

   1,070   264

3.478%, 6-14-24(C)

   828   205

4.181%, 7-15-24(C)

   701   179

3.955%, 9-15-25(C)

   1,752   443

4.392%, 4-15-26(C)

   3,700   960

3.900%, 11-30-26(C)

   900   227

3.899%, 11-16-27(C)

   7,277   1,844

3.733%, 6-15-28(C)

   1,196   300

4.498%, 4-15-30(C)

   1,118   297

4.232%, 6-30-31(C)

   2,700   700

4.127%, 4-15-32(C)

   681   175

3.844%, 4-15-33(C)

   561   140

4.935%, 9-30-43(C)

   760   211

4.736%, 3-15-46(C)

   200   54

4.921%, 7-6-48(C)

   273   76
    6,446

Mexico – 3.4%

Mexican Bonos:

    

8.500%, 5-31-29(C)

   MXN25,500   1,501

7.750%, 5-29-31(C)

   3,730   211

7.750%, 11-23-34(C)

   7,500   425

10.000%, 11-20-36(C)

   11,300   772

8.500%, 11-18-38(C)

   7,083   427

7.750%, 11-13-42(C)

   13,000   729

8.000%, 11-7-47(C)

   9,000   521
    4,586

Peru – 4.2%

Republic of Peru:

    

5.700%, 8-12-24(C)

   PEN2,516   848

6.350%, 8-12-28(C)

   3,825   1,339

5.940%, 2-12-29(C)(D)

   1,200   409

6.950%, 8-12-31(C)

   1,020   371

5.400%, 8-12-34(C)(D)

   1,987   629

6.900%, 8-12-37(C)

   2,762   1,005

5.350%, 8-12-40(C)(D)

   1,807   551

6.850%, 2-12-42(C)

   1,206   436
    5,588

Philippines – 0.3%

Republic of Philippines:

    

4.950%, 1-15-21(C)

   PHP10,000   199

6.250%, 1-14-36(C)

   10,000   239
    438

Poland – 4.5%

Poland Government Bond:

    

5.750%, 9-23-22(C)

   PLN1,700   497

2.500%, 4-25-24(C)

   8,158   2,214

2.500%, 7-25-26(C)

   3,714   1,008

2.500%, 7-25-27(C)

   2,837   769

2.750%, 4-25-28(C)

   4,304   1,188

2.750%, 10-25-29(C)

   1,378   382
    6,058

Romania – 2.3%

Romania Government Bond:

    

5.950%, 6-11-21(C)

   RON20   5

5.850%, 4-26-23(C)

   5,200   1,293

3.250%, 4-29-24(C)

   3,080   704

4.850%, 4-22-26(C)

   1,495   364

5.800%, 7-26-27(C)

   1,240   319

5.000%, 2-12-29(C)

   1,450   353
    3,038

Russia – 9.0%

Russia Government Bond:

    

7.500%, 8-18-21(C)

   RUB17,351   288

7.000%, 1-25-23(C)

   17,985   301

7.000%, 8-16-23(C)

   124,796   2,091

7.100%, 10-16-24(C)

   20,000   338

8.150%, 2-3-27(C)

   120,889   2,177

7.050%, 1-19-28(C)

   161,566   2,748

6.900%, 5-23-29(C)

   20,811   354

8.500%, 9-17-31(C)

   25,000   476

7.700%, 3-23-33(C)

   115,170   2,070

7.250%, 5-10-34(C)

   64,879   1,127
    11,970

South Africa – 9.4%

Republic of South Africa:

    

10.500%, 12-21-26(C)

   ZAR39,373   3,144

8.000%, 1-31-30(C)

   39,770   2,649

7.000%, 2-28-31(C)

   9,000   544

8.875%, 2-28-35(C)

   6,346   422

6.250%, 3-31-36(C)

   10,488   536

8.500%, 1-31-37(C)

   13,519   855

9.000%, 1-31-40(C)

   3,500   228

6.500%, 2-28-41(C)

   9,800   486

8.750%, 1-31-44(C)

   15,750   988

8.750%, 2-28-48(C)

   42,246   2,660
    12,512

Thailand – 8.4%

Thailand Government Bond:

    

2.400%, 12-17-23(C)

   THB148,718   5,184

3.850%, 12-12-25(C)

   12,850   491

2.875%, 12-17-28(C)

   44,848   1,672

1.600%, 12-17-29(C)

   27,000   907

3.775%, 6-25-32(C)

   2,966   123

3.300%, 6-17-38(C)

   65,030   2,660

2.875%, 6-17-46(C)

   5,000   196
    11,233

Turkey – 2.9%

Turkey Government Bond:

    

11.000%, 3-2-22(C)

   TRY648   108

8.500%, 9-14-22(C)

   1,010   159

12.200%, 1-18-23(C)

   2,500   428

16.200%, 6-14-23(C)

   898   170

10.400%, 3-20-24(C)

   1,070   173

8.000%, 3-12-25(C)

   2,937   424

10.600%, 2-11-26(C)

   4,396   698

11.000%, 2-24-27(C)

   2,203   353

10.500%, 8-11-27(C)

   4,544   712

12.400%, 3-8-28(C)

   3,541   610
    3,835

Uruguay – 0.2%

Republica Orient Uruguay:

    

9.875%, 6-20-22(C)

   UYU5,281   139
 

8.500%, 3-15-28(C)

   4,137   95
    234

TOTAL OTHER GOVERNMENT
SECURITIES – 79.0%

   $105,419

(Cost: $101,347)

SHORT-TERM

SECURITIES

   Shares     

Money Market Funds (E) – 13.0%

State Street Institutional U.S. Government Money Market Fund - Premier Class

    

1.550%

   17,416   17,416
      Principal    

Treasury Bills(F) – 3.9%

Egypt Government Treasury Bills:

    

13.700%, 5-7-29(C)

   EGP33,023   2,313

15.010%, 5-26-20(C)

   6,700   393

Nigeria Government Treasury Bills:

    

12.250%, 2-20-20(C)

   NGN183,190   496

12.550%, 2-27-20(C)

   472,725   1,277

4.650%, 7-16-20(C)

   288,483   776
    5,255

TOTAL SHORT-TERM SECURITIES – 16.9%

   $22,671

(Cost: $22,567)

TOTAL INVESTMENT SECURITIES – 95.9%

       $128,090

(Cost: $123,914)

CASH AND OTHER ASSETS, NET OF LIABILITIES(G)(H)(I) – 4.1%

   5,537

NET ASSETS – 100.0%

   $133,627

                    

                    

 

Notes to Schedule of Investments

*Not shown due to rounding.

 

(A)  Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities.

(B)  Zero coupon bond.

(C)  Principal amounts are denominated in the indicated foreign currency, where applicable (BRL - Brazilian Real, CLP - Chilean Peso, CNY - Chinese Yuan Renminbi, COP - Columbian Peso, CZK - Czech Koruna, DOP - Dominican Republic Peso, EGP - Egyptian Pound, HUF - Hungarian Forint, IDR - Indonesian Rupiah, INR - Indian Rupee, KRW - South Korean Won, MXN - Mexican Peso, MYR - Malaysian Ringgit, NGN - Nigeria Naira, PEN - Peruvian Neuvo Sol, PHP - Philippine Peso, PLN - Polish Zloty, RON - Romania Leu, RUB - Russian Ruble, THB - Thai Baht, TRY - Turkish New Lira, UYU - Uruguay Peso and ZAR - South African Rand).

(D)  Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019 the total value of these securities amounted to $1,589 or 1.2% of net assets.

(E)  Rate shown is the annualized 7-day yield at December 31, 2019.

(F)  Rate shown is the yield to maturity at December 31, 2019.

(G)  Cash of $25 has been pledged as collateral on open futures contracts.

(H)  Cash of $280 has been pledged as collateral on OTC forward currency contracts.

(I)   Cash of $707 has been pledged as collateral on centrally cleared interest rate swaps.

The following over the counter credit default swaps - buy protection(1) were outstanding at December 31, 2019:

 

Referenced Obligation   Counterparty   

(Pay)

Fixed

Rate

    Maturity
Date		    Notional
Amount(2)		           Value   

Upfront
Payments/

(Receipts)

    Unrealized
Depreciation

Republic of Turkey

   Goldman Sachs International    (1.000%)    12-20-24    1,000      $80    $83    $(3)

Republic of Indonesia

  

Goldman Sachs

International

    (1.000%)    12-20-24    1,001      (17)    (5)    (12)

Republic of Indonesia

   Citibank N.A.    (1.000%)    12-20-24    1,175      (21)    (6)    (15)

Republic of Indonesia

   Barclays Bank plc    (1.000%)    12-20-24    799      (14)    (4)    (10)

Federation of Malaysia

   Morgan Stanley & Co. International plc    (1.000%)    6-20-24    157      (5)    (3)    (2)

Federation of Malaysia

   Goldman Sachs International    (1.000%)    6-20-24    396      (12)    (7)    (5)

Federation of Malaysia

   Morgan Stanley & Co. International plc    (1.000%)    6-20-24    99      (3)    (2)    (1)

Federation of Malaysia

   Barclays Bank plc    (1.000%)    6-20-24    248      (7)    (4)    (3)

Federation of Malaysia

   Goldman Sachs International    (1.000%)    12-20-24    800      (25)    (18)    (7)

Federation of Malaysia

   Barclays Bank plc    (1.000%)    12-20-24    189      (6)    (5)    (1)

Republic of South Africa

   Goldman Sachs International    (1.000%)    12-20-24    1,640      47    60    (13)
               

 

                            $17    $89    $(72)
               

 

The following over the counter credit default swaps - sold protection(3) were outstanding at December 31, 2019:

   
Referenced Obligation   Counterparty   

Receive

Fixed Rate

    Maturity
Date		   

Implied

Credit

Spread at

December

31, 2019(4)

   Notional
Amount(2)		    Value   

Upfront
Payments/

(Receipts)

    Unrealized
Appreciation

State of Qatar

   JPMorgan Chase Bank N.A.    1.000%    6-20-24    0.421%   460    $14    $7    $7

State of Qatar

   Barclays Bank plc    1.000%    6-20-24    0.421   440    13    7    6

State of Qatar

   Goldman Sachs International    1.000%    12-20-24    0.494   800    24    17    7

State of Qatar

   JPMorgan Chase Bank N.A.    1.000%    12-20-24    0.494   189    6    4    2

Kingdom of Saudi Arabia

   Morgan Stanley & Co. International plc    1.000%    6-20-24    0.667   212    5    3    2

Kingdom of Saudi Arabia

   JPMorgan Chase Bank N.A.    1.000%    6-20-24    0.667   188    4    3    1

Kingdom of Saudi Arabia

  

Morgan Stanley &

Co. International plc

    1.000%    6-24-24    0.667   188    4    3    1

Kingdom of Saudi Arabia

   Barclays Bank plc    1.000%    6-20-24    0.667   212    5    4    1
               

 

               

 

            $75

    $48    $27
               

 

 

(1)

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and/or take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities 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 the swap agreement.

(3)

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/or deliver the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(4)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, sovereign issues, or an index as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following forward foreign currency contracts were outstanding at December 31, 2019:

 

    

Currency to be

Delivered

       

Currency to be

Received

   Settlement
Date		   Counterparty               Unrealized
Appreciation		    Unrealized
Depreciation

Brazilian Real

   13,436   U.S. Dollar     3,292       1-2-20     Barclays Capital, Inc.      $—    $49

U.S. Dollar

   3,333   Brazilian Real     13,436       1-2-20     Barclays Capital, Inc.      7    —

Indonesian Rupiah

   22,100,000   U.S. Dollar     1,592       1-6-20     Barclays Capital, Inc.      —    —*

U.S. Dollar

   384   Malaysian Ringgit     1,589       1-6-20     Barclays Capital, Inc.      4    —

Russian Ruble

   2,480   U.S. Dollar     39       1-9-20     Barclays Capital, Inc.      —    1

U.S. Dollar

   40   Russian Ruble     2,480       1-9-20     Barclays Capital, Inc.      —    —*

U.S. Dollar

   183   Thai Baht     5,545       1-13-20     Barclays Capital, Inc.      2    —

U.S. Dollar

   300   Malaysian Ringgit     1,250       1-16-20     Barclays Capital, Inc.      6    —

U.S. Dollar

   289   Romanian Leu     1,244       1-16-20     Barclays Capital, Inc.      2    —

U.S. Dollar

   1,808   Indonesian Rupiah     25,100,000       1-17-20     Barclays Capital, Inc.      1    —

Chilean Peso

   804,974   U.S. Dollar     1,054       1-21-20     Barclays Capital, Inc.      —    17

Mexican Peso

   29,849   U.S. Dollar     1,536       1-21-20     Barclays Capital, Inc.      —    38

Argentine Peso

   3,100   U.S. Dollar     58       1-29-20     Barclays Capital, Inc.      8    —

Peruvian New Sol

   670   U.S. Dollar     196       1-29-20     Barclays Capital, Inc.      —    6

Philippine Peso

   2,497   U.S. Dollar     49       1-29-20     Barclays Capital, Inc.      —    —*

U.S. Dollar

   731   Colombian Peso     2,480,000       1-30-20     Barclays Capital, Inc.      22    —

Argentine Peso

   34,990   U.S. Dollar     652       1-31-20     Barclays Capital, Inc.      85    —

U.S. Dollar

   208   Malaysian Ringgit     854       2-3-20     Barclays Capital, Inc.      1    —

U.S. Dollar

   3,287   Brazilian Real     13,436       2-4-20     Barclays Capital, Inc.      50    —

Russian Ruble

   29,608   U.S. Dollar     462       2-6-20     Barclays Capital, Inc.      —    13

Argentine Peso

   3,620   U.S. Dollar     66       2-13-20     Barclays Capital, Inc.      9    —

South African Rand

   2,400   U.S. Dollar     165       2-18-20     Barclays Capital, Inc.      —    5

Russian Ruble

   25,700   U.S. Dollar     411       2-19-20     Barclays Capital, Inc.      —    1

U.S. Dollar

   4,007   Polish Zloty     15,347       2-20-20     Barclays Capital, Inc.      38    —

U.S. Dollar

   661   Chilean Peso     515,857       2-21-20     Barclays Capital, Inc.      26    —

Turkish New Lira

   10,665   U.S. Dollar     1,477       2-24-20     Barclays Capital, Inc.      —    292

U.S. Dollar

   1,477   Turkish New Lira     9,618       2-24-20     Barclays Capital, Inc.      119    —

Argentine Peso

   24,680   U.S. Dollar     444       2-26-20     Barclays Capital, Inc.      58    —

Mexican Peso

   28,586   U.S. Dollar     1,455       2-26-20     Barclays Capital, Inc.      —    44

Turkish New Lira

   4,780   U.S. Dollar     813       2-26-20     Barclays Capital, Inc.      20    —

U.S. Dollar

   1,187   Mexican Peso     22,700       2-26-20     Barclays Capital, Inc.      4    —

Argentine Peso

   25,670   U.S. Dollar     462       2-27-20     Barclays Capital, Inc.      60    —

South African Rand

   12,200   U.S. Dollar     818       2-27-20     Barclays Capital, Inc.      —    47

South African Rand

   12,200   U.S. Dollar     822       3-10-20     Barclays Capital, Inc.      —    42

U.S. Dollar

   540   South African Rand     8,017       3-12-20     Barclays Capital, Inc.      27    —

U.S. Dollar

   1,258   Mexican Peso     24,447       3-13-20     Barclays Capital, Inc.      22    —

U.S. Dollar

   1,927   Hungarian Forint     567,362       3-16-20     Barclays Capital, Inc.      3    —

U.S. Dollar

   260   Mexican Peso     5,000       3-17-20     Barclays Capital, Inc.      2    —

Turkish New Lira

   24,543   U.S. Dollar     3,762       3-18-20     Barclays Capital, Inc.      —    286

South African Rand

   19,151   U.S. Dollar     1,319       3-20-20     Barclays Capital, Inc.      —    34

U.S. Dollar

   375   Argentine Peso     21,400         3-20-20       Barclays Capital, Inc.      —    51

South African Rand   6,204   U.S. Dollar     428       3-23-20     Barclays Capital, Inc.      —    11
Argentine Peso   34,736   U.S. Dollar     572       4-6-20     Barclays Capital, Inc.                   58    —
Brazilian Real   16,796   U.S. Dollar     4,167       1-2-20     Citibank N.A.      —    9
U.S. Dollar   3,979   Brazilian Real     16,796       1-2-20     Citibank N.A.      196    —
Czech Koruna   9,400   U.S. Dollar     399       1-6-20     Citibank N.A.      —    16
U.S. Dollar   218   Thai Baht     6,600       1-7-20     Citibank N.A.      2    —
Indonesian Rupiah   374,753   U.S. Dollar     26       1-8-20     Citibank N.A.      —    1
Chinese Yuan Renminbi Offshore   5,720   U.S. Dollar     808       1-10-20     Citibank N.A.      —    14
Hungarian Forint   928,682   U.S. Dollar     3,119       1-10-20     Citibank N.A.      —    29
U.S. Dollar   1,220   Chinese Yuan Renminbi Offshore     8,600       1-10-20     Citibank N.A.      15    —
Chinese Yuan Renminbi Offshore   2,860   U.S. Dollar     405       1-13-20     Citibank N.A.      —    6
U.S. Dollar   812   Chinese Yuan Renminbi Offshore     5,730       1-13-20     Citibank N.A.      11    —
U.S. Dollar   814   South Korean Won     955,000       1-13-20     Citibank N.A.      12    —
U.S. Dollar   815   South Korean Won          944,000       1-15-20     Citibank N.A.      2    —
Argentine Peso   67,280   U.S. Dollar     1,251       1-17-20     Citibank N.A.      144    —
Hungarian Forint   243,987   Euro     740       1-21-20     Citibank N.A.      3    —
U.S. Dollar   455   Thai Baht     13,759       1-21-20     Citibank N.A.      4    —
Hungarian Forint   242,614   U.S. Dollar     819       1-23-20     Citibank N.A.      —    4
Peruvian New Sol   3,563   U.S. Dollar     1,065       1-23-20     Citibank N.A.      —    10
U.S. Dollar   806   South Korean Won     947,000       1-28-20     Citibank N.A.      14    —
Argentine Peso   65,880   U.S. Dollar     1,209       1-29-20     Citibank N.A.      139    —
U.S. Dollar   1,342   Argentine Peso     68,980       1-29-20     Citibank N.A.      —    222
U.S. Dollar   687   Argentine Peso     34,990       1-31-20     Citibank N.A.      —    121
Russian Ruble   29,595   U.S. Dollar     461       2-6-20     Citibank N.A.      —    13
Turkish New Lira   2,850   U.S. Dollar     483       2-7-20     Citibank N.A.      9    —
Colombian Peso   2,780,000   U.S. Dollar     828       2-13-20     Citibank N.A.      —    16
U.S. Dollar   1,655   Turkish New Lira     9,730       2-26-20     Citibank N.A.      —    41
Argentine Peso   44,830   U.S. Dollar     789       2-27-20     Citibank N.A.      87    —
South African Rand   12,200   U.S. Dollar     818       2-27-20     Citibank N.A.      —    46
U.S. Dollar   1,286   Argentine Peso     70,500       2-27-20     Citibank N.A.      —    182
South African Rand   12,100   U.S. Dollar     810       3-10-20     Citibank N.A.      —    47
Euro   1,460   U.S. Dollar     1,637       3-12-20     Citibank N.A.      —    8
U.S. Dollar   1,628   Euro     1,460       3-12-20     Citibank N.A.      17    —
U.S. Dollar   437   Mexican Peso     8,400       3-17-20     Citibank N.A.      3    —
Argentine Peso   8,500   U.S. Dollar     146       3-18-20     Citibank N.A.      17    —
U.S. Dollar   2,904   Turkish New Lira     20,431       3-18-20     Citibank N.A.      465    —
Hungarian Forint   94,613   U.S. Dollar     320       3-20-20     Citibank N.A.      —    2
U.S. Dollar   1,305   Hungarian Forint     386,371       3-20-20     Citibank N.A.      10    —
Argentine Peso   23,300   U.S. Dollar     394       4-6-20     Citibank N.A.      49    —
Egyptian Pound   5,310   U.S. Dollar     312       7-15-20     Citibank N.A.      —    7
U.S. Dollar   290   Egyptian Pound     5,310       7-15-20     Deutsche Bank AG      29    —
Indonesian Rupiah   2,900,000   U.S. Dollar     205       1-6-20     Goldman Sachs International      —    4
Mexican Peso   6,900   U.S. Dollar     356       1-6-20     Goldman Sachs International      —    9
U.S. Dollar   2,629   Polish Zloty     10,160       1-8-20     Goldman Sachs International      49    —
Russian Ruble   12,941   U.S. Dollar     202       1-9-20     Goldman Sachs International      —    6
U.S. Dollar   210   Russian Ruble     12,941       1-9-20     Goldman Sachs International      —    1
U.S. Dollar   393   Chilean Peso     306,790       1-10-20     Goldman Sachs International      15    —
Egyptian Pound   5,000   U.S. Dollar     307       1-15-20     Goldman Sachs International      —    5
U.S. Dollar   556   Malaysian Ringgit     2,320       1-16-20     Goldman Sachs International      12    —
U.S. Dollar   39   Colombian Peso     130,000       1-17-20     Goldman Sachs International      1    —
U.S. Dollar   437   Malaysian Ringgit     1,810       1-17-20     Goldman Sachs International      6    —
U.S. Dollar   409   Malaysian Ringgit     1,700       1-22-20     Goldman Sachs International      8    —
Thai Baht   24,400   U.S. Dollar     808       1-23-20     Goldman Sachs International      —    7
Philippine Peso   7,300   U.S. Dollar     144       1-29-20     Goldman Sachs International      —    —*
U.S. Dollar   206   Malaysian Ringgit     850       1-31-20     Goldman Sachs International      3    —
Peruvian New Sol   710   U.S. Dollar     208       2-3-20     Goldman Sachs International      —    6
U.S. Dollar   33   Russian Ruble     2,041       2-6-20     Goldman Sachs International      —    —*
U.S. Dollar   71   Argentine Peso     3,620       2-13-20     Goldman Sachs International      —    13
U.S. Dollar   833   Russian Ruble     52,300       2-18-20     Goldman Sachs International      5    —
Russian Ruble   51,600   U.S. Dollar     819       2-19-20     Goldman Sachs International      —    8
Turkish New Lira   4,780   U.S. Dollar     813       2-26-20     Goldman Sachs International      20    —
U.S. Dollar   860   South African Rand     12,800       2-27-20     Goldman Sachs International      47    —
South African Rand   12,000   U.S. Dollar     805       3-10-20     Goldman Sachs International      —    44
U.S. Dollar   823   South African Rand     12,100       3-10-20     Goldman Sachs International      33    —

U.S. Dollar

   10,478   Mexican Peso     202,411       3-17-20     Goldman Sachs International      110    —

U.S. Dollar

   613   Romanian Leu     2,639         3-20-20       Goldman Sachs International      3    —

U.S. Dollar

   1,136   Colombian Peso     3,800,000        3-24-20     Goldman Sachs International                   15    —

U.S. Dollar

   29   Singapore Dollar     40        5-6-20     Goldman Sachs International      —*    —

Brazilian Real

   3,360   U.S. Dollar     828        1-2-20     JPMorgan Securities LLC      —    8

U.S. Dollar

   834   Brazilian Real     3,360        1-2-20     JPMorgan Securities LLC      2    —

Polish Zloty

   1,520   U.S. Dollar     396        1-8-20     JPMorgan Securities LLC      —    4

Thai Baht

   24,500   U.S. Dollar     811        1-10-20     JPMorgan Securities LLC      —    7

U.S. Dollar

   932   Indian Rupee     66,300        1-10-20     JPMorgan Securities LLC      —    4

Thai Baht

   26,900   U.S. Dollar     887        1-14-20     JPMorgan Securities LLC      —    11

U.S. Dollar

   287   Egyptian Pound     5,000        1-15-20     JPMorgan Securities LLC      24    —

U.S. Dollar

   1,318   Argentine Peso     67,280        1-17-20     JPMorgan Securities LLC      —    211

U.S. Dollar

   977   Turkish New Lira     5,756        1-17-20     JPMorgan Securities LLC      —    13

Romanian Leu

   1,569   U.S. Dollar     365        1-21-20     JPMorgan Securities LLC      —    2

U.S. Dollar

   455   Thai Baht     13,751        1-21-20     JPMorgan Securities LLC      4    —

U.S. Dollar

   190   Turkish New Lira     1,123        1-21-20     JPMorgan Securities LLC      —    2

U.S. Dollar

   586   Peruvian New Sol     1,964        1-23-20     JPMorgan Securities LLC      7    —

U.S. Dollar

   854   South African Rand     13,071        1-30-20     JPMorgan Securities LLC      76    —

U.S. Dollar

   2,129   Colombian Peso     7,508,625        2-3-20     JPMorgan Securities LLC      152    —

Brazilian Real

   1,644   U.S. Dollar     407        2-4-20     JPMorgan Securities LLC      —    2

U.S. Dollar

   1,157   Brazilian Real     4,677        2-4-20     JPMorgan Securities LLC      5    —

U.S. Dollar

   2,967   Russian Ruble     187,200        2-19-20     JPMorgan Securities LLC      32    —

U.S. Dollar

   1,033   Czech Koruna     23,596        2-20-20     JPMorgan Securities LLC      8    —

U.S. Dollar

   453   Argentine Peso     24,680        2-26-20     JPMorgan Securities LLC      —    66

Romanian Leu

   3,568   Euro     740        3-16-20     JPMorgan Securities LLC      1    —

Turkish New Lira

   24,378   U.S. Dollar     3,762        3-18-20     JPMorgan Securities LLC      —    259

U.S. Dollar

   140   Argentine Peso     8,520        3-18-20     JPMorgan Securities LLC      —    10

U.S. Dollar

   4,620   Turkish New Lira     32,317        3-18-20     JPMorgan Securities LLC      710    —

Argentine Peso

   21,400   U.S. Dollar     361        3-20-20     JPMorgan Securities LLC      36    —

Argentine Peso

   13,200   U.S. Dollar     218        4-6-20     JPMorgan Securities LLC      23    —

U.S. Dollar

   1,109   Argentine Peso     71,340        4-6-20     JPMorgan Securities LLC      —    54

Singapore Dollar

   1,451   U.S. Dollar     1,070        5-6-20     JPMorgan Securities LLC      —    10

Malaysian Ringgit

   3,649   U.S. Dollar     888        1-6-20     Morgan Stanley International      —    4

U.S. Dollar

   1,786   Indonesian Rupiah     25,000,000        1-6-20     Morgan Stanley International      15    —

U.S. Dollar

   494   Malaysian Ringgit     2,060        1-6-20     Morgan Stanley International      9    —

Russian Ruble

   15,421   U.S. Dollar     250        1-9-20     Morgan Stanley International      2    —

U.S. Dollar

   246   Russian Ruble     15,421        1-9-20     Morgan Stanley International      3    —

U.S. Dollar

   224   Colombian Peso     770,000        1-10-20     Morgan Stanley International      11    —

Polish Zloty

   1,260   U.S. Dollar     326        1-13-20     Morgan Stanley International      —    6

U.S. Dollar

   809   Chinese Yuan Renminbi     5,700        1-13-20     Morgan Stanley International      10    —

U.S. Dollar

   799   Malaysian Ringgit     3,330        1-16-20     Morgan Stanley International      16    —

U.S. Dollar

   778   Malaysian Ringgit     3,237        1-21-20     Morgan Stanley International      15    —

U.S. Dollar

   208   Malaysian Ringgit     860        2-3-20     Morgan Stanley International      2    —

U.S. Dollar

   994   Malaysian Ringgit     4,079        2-10-20     Morgan Stanley International      5    —

U.S. Dollar

   804   South African Rand     12,000        2-27-20     Morgan Stanley International      46    —

U.S. Dollar

   798   South African Rand     12,000        3-10-20     Morgan Stanley International      51    —

Romanian Leu

   3,820   Euro     772        3-16-20     Morgan Stanley International      —    22

U.S. Dollar

   833   Polish Zloty     3,190        3-17-20     Morgan Stanley International      8    —

U.S. Dollar

   1,077   Euro     955          5-6-20       Morgan Stanley International      3    —
               

 

                            $3,465            $2,529
               

 

The following futures contracts were outstanding at December 31, 2019 (contracts unrounded):

 

Description    Type     

Number

of

Contracts

      Expiration Date     

Notional

Amount

      Value      Unrealized
Depreciation		  

U.S. 10-Year Treasury Note

      Short        20        3-20-20        2,000        $(2,569 )       $(4)  

U.S. 30-Year Treasury Bond

      Short        9        3-31-20        900        (1,403 )       — * 
              

 

 

  
                         $(3,972 )       $(4)  
              

 

 

  

The following centrally cleared interest rate swap agreements were outstanding at December 31, 2019:

 

Counterparty    Pay/Receive
Floating Rate		    Floating Rate Index    Fixed Rate    Maturity
Date		    Notional
Amount(C)		      Value      Upfront
Payments/
(Receipts)		      Unrealized
Appreciation
(Depreciation)

JPMorgan Chase Bank N.A.

    Pay    1-Day Brazil Interbank Deposit Rate    5.870%    1/2/2025      BRL2,343        $3        $—        $3  

JPMorgan Chase Bank N.A.

    Receive    1-Day Brazil Interbank Deposit Rate    6.833%    1/4/2027      599        —*        —        —*  

JPMorgan Chase Bank N.A.

    Receive    1-Year Camara vs. Interest
Rate Swap Peso		    1.715%    3/18/2021      CLP6,983        (1)        —       (1)  

JPMorgan Chase Bank N.A.

    Receive    1-Year Camara vs. Interest
Rate Swap Peso		    2.300%    3/18/2025      1,442        1        —       1  

JPMorgan Chase Bank N.A.

    Pay    1-Year Camara vs. Interest
Rate Swap Peso		    2.960%    3/18/2030      1,169        7        —       7  

JPMorgan Chase Bank N.A.

    Pay    28-Day Mexico Equilibrium
Interbank Interest Rate		    6.340%    3/16/2022      MXN3,204        (10)        —       (10)  

JPMorgan Chase Bank N.A.

    Pay    28-Day Mexico Equilibrium
Interbank Interest Rate		    6.370%    12/14/2022      5,314        2        —       2  

JPMorgan Chase Bank N.A.

    Pay    28-Day Mexico Equilibrium
Interbank Interest Rate		    6.395%    3/15/2023      3,634        (8)        —       (8)  

JPMorgan Chase Bank N.A.

    Pay    28-Day Mexico Equilibrium
Interbank Interest Rate		    6.245%    12/13/2023      5,510        (18)        —       (18)  

JPMorgan Chase Bank N.A.

    Pay    28-Day Mexico Equilibrium
Interbank Interest Rate		    6.340%    12/13/2023      5,518        (10)        —       (10)  

JPMorgan Chase Bank N.A.

    Receive    28-Day Mexico Equilibrium
Interbank Interest Rate		    6.398%    3/12/2025      7,975        (48)        —       (48)  

JPMorgan Chase Bank N.A.

    Receive    28-Day Mexico Equilibrium
Interbank Interest Rate		    6.703%    3/12/2025      2,559        11        —       11  

JPMorgan Chase Bank N.A.

    Pay    28-Day Mexico Equilibrium
Interbank Interest Rate		    6.525%    3/10/2027      3,257        (20)        —       (20)  

JPMorgan Chase Bank N.A.

    Receive    28-Day Mexico Equilibrium
Interbank Interest Rate		    7.140%    12/12/2029      3,411        (2)        —       (2)  

JPMorgan Chase Bank N.A.

    Receive    28-Day Mexico Equilibrium
Interbank Interest Rate		    7.180%    12/12/2029      3,314        (6)        —       (6)  

JPMorgan Chase Bank N.A.

    Pay    28-Day Mexico Equilibrium
Interbank Interest Rate		    6.693%    3/6/2030      2,181        (12)        —       (12)  

JPMorgan Chase Bank N.A.

    Receive    28-Day Mexico Equilibrium
Interbank Interest Rate		    6.900%    12/4/2030      1,794        (6)        —       (6)  

JPMorgan Chase Bank N.A.

    Pay    6-Month Budapest
Interbank Offered Rate		    0.295%    3/18/2021      HUF6,330        (4)        —       (4)  

JPMorgan Chase Bank N.A.

    Receive    6-Month Budapest
Interbank Offered Rate		    0.840%    3/18/2025      4,870        30        —       30  

JPMorgan Chase Bank N.A.

    Pay    6-Month Warsaw
Interbank Offered Rate		    1.680%    3/18/2022      PLN8,927        (17)        —       (17)  

JPMorgan Chase Bank N.A.

    Receive    6-Month Warsaw
Interbank Offered Rate		    1.640%    3/18/2023      1,933        (6)        —       (6)  

JPMorgan Chase Bank N.A.

    Receive    6-Month Warsaw
Interbank Offered Rate		    1.652%    3/18/2025      1,222        (8)        —       (8)  

JPMorgan Chase Bank N.A.

    Receive    6-Month Warsaw
Interbank Offered Rate		    1.732%    3/18/2030      2,160        27        —       27  

JPMorgan Chase Bank N.A.

    Pay    6-Month Warsaw
Interbank Offered Rate		    1.713%    3/18/2030      670        (9)        —       (9)  

Morgan Stanley & Co. International plc

    Pay    6-Month Warsaw
Interbank Offered Rate		    1.640%    3/18/2022      3,536        (9)        —       (9)  

Morgan Stanley & Co. International plc

    Receive    6-Month Warsaw
Interbank Offered Rate		    1.730%    3/18/2030      833        10        —       10  
                    $(103)        $—       $(103)  

 

The following over the counter interest rate swap agreements were outstanding at December 31, 2019:

 

  

Counterparty

    Pay/Receive
Floating Rate		    Floating Rate Index    Fixed Rate    Maturity
Date		     
 Notional
Amount(C)		  
 		      Value       

 Upfront
Payments/
(Receipts)		  
 
 		    

 Unrealized
Appreciation
(Depreciation)		  
 
 

Barclays Bank plc

    Pay    6-Month LIBOR    7.650%    3/9/2024      IDR1,184        $113        $—       $113  

Citibank N.A.

    Pay    1-Day South Korean Won
Certificate of Deposit		    1.365%    12/18/2021      KRW4,209        2        —       2  

Citibank N.A.

    Receive    3-Month Kuala Lumpur
Interbank Offered Rate		    3.215%    12/10/2021      MYR2,605        (2)        —       (2)  

Citibank N.A.

    Receive    3-Month Kuala Lumpur
Interbank Offered Rate		    3.229%    12/10/2024      1,098        5        —       5  

Citibank N.A.

    Pay    6-Month Thai Baht Interest
Rate Fixing Rate		    1.295%    11/11/2022      THB2,463        8        —       8  

Citibank N.A.

    Pay    7-Day China Fixing Repo
Rates		    2.600%    7/5/2022      CNY1,602        (7)        —       (7)  

Credit Suisse International

    Receive    1-Day Mumbai Interbank
Outright Rate		    6.615%    3/20/2023      INR2,167        (82)        —       (82)  

Goldman Sachs International

    Receive    1-Day Brazil Interbank
Deposit Rate		    5.590%    1/4/2021      BRL9,676        (11)        —       (11)  

Goldman Sachs International

    Pay    1-Day Brazil Interbank
Deposit Rate		    6.480%    1/2/2024      3,215        17        —       17  

Goldman Sachs International

    Pay    1-Day Mumbai Interbank
Outright Rate		    6.319%    12/20/2020      INR895        (4)        —       (4)  

Goldman Sachs International

    Pay    3-Month Kuala Lumpur
Interbank Offered Rate		    3.215%    12/10/2021      MYR2,605        (2)        —       (2)  

Goldman Sachs International

    Receive    3-Month Kuala Lumpur
Interbank Offered Rate		    3.234%    12/10/2024      1,098        5        —       5  

Goldman Sachs International

    Pay    3-Month RUB NFEA
MosPrime Rate		    6.550%    12/16/2022      RUB4,473        13        —       13  

Goldman Sachs International

    Receive    6-Month Budapest
Interbank Offered Rate		    0.510%    3/18/2022      HUF4,243        —*        —       —*  

Goldman Sachs International

    Receive    6-Month Budapest
Interbank Offered Rate		    0.810%    3/18/2025      1,780        13        —       13  

Goldman Sachs International

    Pay    6-Month Prague
Interbank Offered Rate		    2.020%    3/18/2022      CZK9,019        (41)        —       (41)  

Goldman Sachs International

    Receive    6-Month Prague
Interbank Offered Rate		    1.640%    3/18/2025      3,893        69        —       69  

Goldman Sachs International

    Pay    7-Day China Fixing
Repo Rates		    2.629%    7/5/2022      CNY1,604        (5)        —       (5)  

JPMorgan Chase Bank N.A.

    Receive    1-Day Brazil Interbank
Deposit Rate		    4.473%    7/1/2020      BRL23,248        2        —       2  

JPMorgan Chase Bank N.A.

    Pay    1-Day Mumbai Interbank
Outright Rate		    6.385%    12/19/2020      INR1,683        (4)        —       (4)  

JPMorgan Chase Bank N.A.

    Pay    1-Day Mumbai Interbank
Outright Rate		    6.320%    12/20/2020      762        (4)        —       (4)  

JPMorgan Chase Bank N.A.

    Pay    1-Day Mumbai Interbank
Outright Rate		    4.965%    8/8/2022      783        (5)        —       (5)  

JPMorgan Chase Bank N.A.

    Pay    1-Day South Korean
Won Certificate of
Deposit		    1.365%    12/18/2021      KRW2,453        1        —       1  

JPMorgan Chase Bank N.A.

    Pay    1-Day South Korean
Won Certificate of
Deposit		    1.365%    12/18/2021      1,756        1        —       1  

JPMorgan Chase Bank N.A.

    Receive    1-Day South Korean
Won Certificate of
Deposit		    1.384%    12/18/2024      1,031        (2)        —       (2)  

JPMorgan Chase Bank N.A.

    Receive    1-Day South Korean
Won Certificate of
Deposit		    1.384%    12/18/2024      738        (1)        —       (1)  

JPMorgan Chase Bank N.A.

    Pay    3-Month RUB NFEA
MosPrime Rate		    6.490%    12/16/2022      RUB5,410        9        —       9  

JPMorgan Chase Bank N.A.

    Pay    6-Month LIBOR    9.800%    10/9/2022      IDR218        23        —       23  

Morgan Stanley & Co. International plc

    Receive    1-Day Brazil Interbank
Deposit Rate		    4.330%    7/1/2020      BRL2,859        1        —       1  

Morgan Stanley & Co. International plc

    Receive    1-Day Brazil Interbank
Deposit Rate		    4.565%    1/4/2021      2,785        (1)        —       (1)  

Morgan Stanley & Co. International plc

    Pay    1-Day Brazil Interbank
Deposit Rate		    6.305%    1/2/2025      424        —*        —       —*  

Morgan Stanley & Co. International plc

    Receive    6-Month LIBOR    7.400%    4/24/2024      IDR971        81        —       81  
                    $192        $—       $192  

Each Fund’s investments are reported at fair value. Fair value is defined as the price that each Fund would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.

Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Fund.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:

• Level 1 - Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities.

• Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the

assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of December 31, 2019:

 

      Level 1      Level 2      Level 3  

Assets

         

Investments in Securities

         

Other Government Securities

    $ —        $ 105,419      $ —   

Short-Term Securities

      17,416        5,255        —   

Total

    $ 17,416        $     110,674      $ —   

Over the Counter Credit Default Swaps

    $ 157        $ 45      $ —   

Forward Foreign Currency Contracts

    $ —        $ 3,465      $ —   

Centrally Cleared Interest Rate Swaps

    $ —        $ 91      $ —   

Over the Counter Interest Rate Swaps

      $ —      $ 363        $ —   

Liabilities

         

Over the Counter Credit Default Swaps

    $ 83        $ 27      $ —   

Forward Foreign Currency Contracts

    $ —        $ 2,529      $ —   

Futures Contracts

    $ 4        $ —      $ —   

Centrally Cleared Interest Rate Swaps

    $ —        $ 194      $ —   

Over the Counter Interest Rate Swaps

      $ —      $   171        $             —   

The following acronyms are used throughout this schedule:

LIBOR = London Interbank Offered Rate

OTC = Over the Counter

 

For Federal income tax purposes, cost of investments owned at December 31, 2019 and the related unrealized appreciation (depreciation) were as follows:

Cost

            $123,914

Gross unrealized appreciation

    5,787

Gross unrealized depreciation

    (1,611)

Net unrealized appreciation

    $4,176