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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Virtus Stone Harbor Emerging Markets Income Fund | NYSE:EDF | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 5.28 | 5.28 | 5.25 | 5.28 | 31,498 | 01:00:00 |
The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete.
The reader should not assume that the information is accurate and complete. |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION WASHINGTON, DC 20549 FORM NPORT-P Monthly Portfolio Investments Report |
Confidential | ☐ |
Filer CIK | 0001501103 |
Filer CCC | ******** |
Filer Investment Company Type | |
Is this a LIVE or TEST Filing? | ☐ LIVE ☐ TEST |
Would you like a Return Copy? | ☐ |
Is this an electronic copy of an official filing submitted in paper format? | ☐ |
Name | |
Phone | |
E-Mail Address |
Notify via Filing Website only? | ☐ |
Notification E-mail Address | |
Series ID |
Class (Contract) ID |
a. Name of Registrant | Virtus Stone Harbor Emerging Markets Income Fund |
b. Investment Company Act file number for Registrant: (e.g., 811-______) | 811-22473 |
c. CIK number of Registrant | 0001501103 |
d. LEI of Registrant | XXFOYQ5TGUGS75Z22C46 |
e. Address and telephone number of Registrant: |
i. Street Address 1 | 101 Munson Street |
ii. Street Address 2 | |
iii. City | Greenfield |
iv. State, if applicable | |
v. Foreign country, if applicable | |
vi. Zip / Postal Code | 01301-9683 |
vii. Telephone number | 800-243-1574 |
a. Name of Series. | Virtus Stone Harbor Emerging Markets Income Fund |
b. EDGAR series identifier (if any). | |
c. LEI of Series. | XXFOYQ5TGUGS75Z22C46 |
a. Date of fiscal year-end. | 2023-11-30 |
b. Date as of which information is reported. | 2023-02-28 |
a. Does the Fund anticipate that this will be its final filing on Form N PORT? | ☐ Yes ☒ No |
Report the following information for the Fund and its consolidated subsidiaries. |
a. Total assets, including assets attributable to miscellaneous securities reported in Part D. | 77710221.96 |
b. Total liabilities. | 2846252.92 |
c. Net assets. | 74863969.04 |
a. Assets attributable to miscellaneous securities reported in Part D. | 0.00000000 |
b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities. | 0.00000000 |
c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)]. |
Amounts payable within one year. | |
Banks or other financial institutions for borrowings. | 19524648.26000000 |
Controlled companies. | 0.00000000 |
Other affiliates. | 0.00000000 |
Others. | 0.00000000 |
Amounts payable after one year. | |
Banks or other financial institutions for borrowings. | 0.00000000 |
Controlled companies. | 0.00000000 |
Other affiliates. | 0.00000000 |
Others. | 0.00000000 |
d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis. |
(i) On a delayed delivery, when-issued, or other firm commitment basis: | 0.00000000 |
(ii) On a standby commitment basis: | 0.00000000 |
e. Liquidation preference of outstanding preferred stock issued by the Fund. | 0.00000000 |
f. Cash and cash equivalents not reported in Parts C and D. | 19687487.57000000 |
If the average value of the Fund's debt securities positions for the previous three months, in the aggregate, exceeds 25% or more of the Fund's net asset value, provide: |
a. Interest Rate Risk (DV01). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 1 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
b. Interest Rate Risk (DV100). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 100 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
Currency Metric Record | ISO Currency code | 3 month | 1 year | 5 years | 10 years | 30 years |
---|---|---|---|---|---|---|
#1 | Brazil Real | |||||
Interest Rate Risk (DV01) | ||||||
0.00000000 | 0.00000000 | -749.00000000 | -219.00000000 | 0.00000000 | ||
Interest Rate Risk (DV100) | ||||||
0.00000000 | 0.00000000 | -74913.00000000 | -21850.00000000 | 0.00000000 | ||
#2 | Colombia Peso | |||||
Interest Rate Risk (DV01) | ||||||
0.00000000 | 0.00000000 | -71.00000000 | 0.00000000 | -728.00000000 | ||
Interest Rate Risk (DV100) | ||||||
0.00000000 | 0.00000000 | -7064.00000000 | 0.00000000 | -72799.00000000 | ||
#3 | Euro Member Countries | |||||
Interest Rate Risk (DV01) | ||||||
0.00000000 | -177.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | ||
Interest Rate Risk (DV100) | ||||||
0.00000000 | -17660.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | ||
#4 | Indonesia Rupiah | |||||
Interest Rate Risk (DV01) | ||||||
0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | -2755.00000000 | ||
Interest Rate Risk (DV100) | ||||||
0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | -275509.00000000 | ||
#5 | Japan Yen | |||||
Interest Rate Risk (DV01) | ||||||
0.00000000 | 0.00000000 | -724.00000000 | 0.00000000 | 0.00000000 | ||
Interest Rate Risk (DV100) | ||||||
0.00000000 | 0.00000000 | -72383.00000000 | 0.00000000 | 0.00000000 | ||
#6 | Kazakhstan Tenge | |||||
Interest Rate Risk (DV01) | ||||||
0.00000000 | 0.00000000 | -217.00000000 | 0.00000000 | 0.00000000 | ||
Interest Rate Risk (DV100) | ||||||
0.00000000 | 0.00000000 | -21693.00000000 | 0.00000000 | 0.00000000 | ||
#7 | Mexico Peso | |||||
Interest Rate Risk (DV01) | ||||||
0.00000000 | 0.00000000 | -1076.00000000 | 0.00000000 | 0.00000000 | ||
Interest Rate Risk (DV100) | ||||||
0.00000000 | 0.00000000 | -107645.00000000 | 0.00000000 | 0.00000000 | ||
#8 | United States Dollar | |||||
Interest Rate Risk (DV01) | ||||||
-9.00000000 | -230.00000000 | -2164.00000000 | -10017.00000000 | -6228.00000000 | ||
Interest Rate Risk (DV100) | ||||||
-909.00000000 | -23009.00000000 | -216437.00000000 | -1001730.00000000 | -622828.00000000 | ||
#9 | South Africa Rand | |||||
Interest Rate Risk (DV01) | ||||||
0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | -2148.00000000 | ||
Interest Rate Risk (DV100) | ||||||
0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | -214845.00000000 |
c. Credit Spread Risk (SDV01, CR01 or CS01). Provide the change in value of the portfolio resulting from a 1 basis point change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non-investment grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
Credit Spread Risk | 3 month | 1 year | 5 years | 10 years | 30 years |
---|---|---|---|---|---|
Investment grade | 0.00000000 | 0.00000000 | -1362.00000000 | -4997.00000000 | -4965.00000000 |
Non-Investment grade | -9.00000000 | -420.00000000 | -12241.00000000 | -5318.00000000 | -6592.00000000 |
For purposes of Item B.3., calculate value as the sum of the absolute values of: (i) the value of each debt security, (ii) the notional value of each swap, including, but not limited to, total return swaps, interest rate swaps, and credit default swaps, for which the underlying reference asset or assets are debt securities or an interest rate; (iii) the notional value of each futures contract for which the underlying reference asset or assets are debt securities or an interest rate; and (iv) the delta-adjusted notional value of any option for which the underlying reference asset is an asset described in clause (i),(ii), or (iii). Report zero for maturities to which the Fund has no exposure. For exposures that fall between any of the listed maturities in (a) and (b), use linear interpolation to approximate exposure to each maturity listed above. For exposures outside of the range of maturities listed above, include those exposures in the nearest maturity. |
a. For each borrower in any securities lending transaction, provide the following information: |
Borrower Information Record | Name of borrower | LEI (if any) of borrower | Aggregate value of all securities on loan to the borrower |
---|---|---|---|
— | — | — | — |
b. Did any securities lending counterparty provide any non-cash collateral? | ☐ Yes ☒ No |
a. Monthly total returns of the Fund for each of the preceding three months. If the Fund is a Multiple Class Fund, report returns for each class. Such returns shall be calculated in accordance with the methodologies outlined in Item 26(b) (1) of Form N-1A, Instruction 13 to sub-Item 1 of Item 4 of Form N-2, or Item 26(b) (i) of Form N-3, as applicable. |
Monthly Total Return Record | Monthly total returns of the Fund for each of the preceding three months | Class identification number(s) (if any) of the Class(es) for which returns are reported | ||
Month 1 | Month 2 | Month 3 | ||
#1 | 2.64820000 | 10.52930000 | -3.70460000 | C000000000 |
b. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to derivatives for each of the following categories: commodity contracts, credit contracts, equity contracts, foreign exchange contracts, interest rate contracts, and other contracts. Within each such asset category, further report the same information for each of the following types of derivatives instrument: forward, future, option, swaption, swap, warrant, and other. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers. |
Asset category | Instrument type | Month 1 | Month 2 | Month 3 | |||
Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | ||
Commodity Contracts | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Credit Contracts | 0.00000000 | 162693.58000000 | 0.00000000 | 2597257.74000000 | 82436.29000000 | 123265.08000000 | |
Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swap | 0.00000000 | 162693.58000000 | 0.00000000 | 2597257.74000000 | 82436.29000000 | 123265.08000000 | |
Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Equity Contracts | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Foreign Exchange Contracts | 0.00000000 | 36208.37000000 | -157297.89000000 | 60390.60000000 | 0.00000000 | -67384.33000000 | |
Forward | 0.00000000 | 36208.37000000 | -157297.89000000 | 60390.60000000 | 0.00000000 | -67384.33000000 | |
Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Interest Rate Contracts | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Other Contracts | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 |
c. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to investment other than derivatives. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers. |
Month | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) |
---|---|---|
Month 1 | -2267813.06000000 | 2496071.72000000 |
Month 2 | -670256.72000000 | 4943299.31000000 |
Month 3 | -2502328.90000000 | -1542171.40000000 |
a. Provide the aggregate dollar amounts for sales and redemptions/repurchases of Fund shares during each of the preceding three months. If shares of the Fund are held in omnibus accounts, for purposes of calculating the Fund's sales, redemptions, and repurchases, use net sales or redemptions/repurchases from such omnibus accounts. The amounts to be reported under this Item should be after any front-end sales load has been deducted and before any deferred or contingent deferred sales load or charge has been deducted. Shares sold shall include shares sold by the Fund to a registered unit investment trust. For mergers and other acquisitions, include in the value of shares sold any transaction in which the Fund acquired the assets of another investment company or of a personal holding company in exchange for its own shares. For liquidations, include in the value of shares redeemed any transaction in which the Fund liquidated all or part of its assets. Exchanges are defined as the redemption or repurchase of shares of one Fund or series and the investment of all or part of the proceeds in shares of another Fund or series in the same family of investment companies. |
Month | Total net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions) | Total net asset value of shares sold in connection with reinvestments of dividends and distributions | Total net asset value of shares redeemed or repurchased, including exchanges |
---|---|---|---|
Month 1 | 0.00000000 | 0.00000000 | 0.00000000 |
Month 2 | 0.00000000 | 128475.47000000 | 0.00000000 |
Month 3 | 0.00000000 | 110391.33000000 | 0.00000000 |
a. If applicable, provide the Fund's current Highly Liquid Investment Minimum. |
—
|
b. If applicable, provide the number of days that the Fund's holdings in Highly Liquid Investments fell below the Fund's Highly Liquid Investment Minimum during the reporting period. |
—
|
c. Did the Fund's Highly Liquid Investment Minimum change during the reporting period? | ☐ Yes ☐ No ☐ N/A |
For portfolio investments of open-end management investment companies, provide the percentage of the Fund's Highly Liquid Investments that it has pledged as margin or collateral in connection with derivatives transactions that are classified among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]: |
(1) Moderately Liquid Investments |
(2) Less Liquid Investments |
(3) Illiquid Investments |
For purposes of Item B.8, when computing the required percentage, the denominator should only include assets (and exclude liabilities) that are categorized by the Fund as Highly Liquid Investments. |
Classification |
—
|
If the Fund is excepted from the rule 18f-4 [17 CFR 270.18f-4] program requirement and limit on fund leverage risk under rule 18f-4(c)(4) [17 CFR 270.18f-4(c)(4)], provide the following information: |
a. Derivatives exposure (as defined in rule 18f-4(a) [17 CFR 270.18f-4(a)]), reported as a percentage of the Fund’s net asset value. |
—
|
b. Exposure from currency derivatives that hedge currency risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value. |
—
|
c. Exposure from interest rate derivatives that hedge interest rate risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value. |
—
|
d. The number of business days, if any, in excess of the five-business-day period described in rule 18f-4(c)(4)(ii) [17 CFR 270.18f-4(c)(4)(ii)], that the Fund’s derivatives exposure exceeded 10 percent of its net assets during the reporting period. |
—
|
For Funds subject to the limit on fund leverage risk described in rule 18f-4(c)(2) [17 CFR 270.18f-4(c)(2)], provide the following information, as determined in accordance with the requirement under rule 18f-4(c)(2)(ii) to determine the fund’s compliance with the applicable VaR test at least once each business day: |
a. Median daily VaR during the reporting period, reported as a percentage of the Fund's net asset value. |
—
|
b. For Funds that were subject to the Relative VaR Test during the reporting period, provide: | |
i. As applicable, the name of the Fund’s Designated Index, or a statement that the Fund's Designated Reference Portfolio is the Fund’s Securities Portfolio. | Securities Portfolio |
ii. As applicable, the index identifier for the Fund’s Designated Index. | N/A |
iii. Median VaR Ratio during the reporting period, reported as a percentage of the VaRof the Fund's Designated Reference Portfolio. |
—
|
c. Backtesting Results. Number of exceptions that the Fund identified as a result of its backtesting of its VaR calculation model (as described in rule 18f-4(c)(1)(iv) [17 CFR 270.18f-4(c)(1)(iv)] during the reporting period. |
—
|
For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Schedule of Portfolio Investments Record: 1 |
a. Name of issuer (if any). | PNG GOVT INTL BOND |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Papua New Guinea Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USY6726SAP66 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGM9CF5 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 867000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 780191.63000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.042145694390 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PAPUA NEW GUINEA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-10-04 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.37500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 2 |
a. Name of issuer (if any). | ADANI ELECTRICITY MUMBAI |
b. LEI (if any) of issuer. (1) | 335800AIC1B5EBFVUC38 |
c. Title of the issue or description of the investment. | Adani Electricity Mumbai Ltd |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS2109438205 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKBN2H8 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1038000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 744310.88000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.994217765294 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
INDIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-02-12 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.94900000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 3 |
a. Name of issuer (if any). | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
b. LEI (if any) of issuer. (1) | 5493001KFROXQS5VBZ89 |
c. Title of the issue or description of the investment. | CREDIT SUISSE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE02LIA2 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -410193.75000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -410193.75000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.54791878557 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.75000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 655000.00000000 | United States Dollar | 535585.31000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 4 |
a. Name of issuer (if any). | PETROLEOS DE VENEZUELA S |
b. LEI (if any) of issuer. (1) | 549300YWR8TN1OFD4P06 |
c. Title of the issue or description of the investment. | Petroleos de Venezuela SA |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USP7807HAQ85 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B7XSMN6 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 4200000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 210000.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.280508771700 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
VENEZUELA (BOLIVARIAN REPUBLIC OF)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2035-05-17 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 9.75000000 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 5 |
a. Name of issuer (if any). | REPUBLIC OF SENEGAL |
b. LEI (if any) of issuer. (1) | 549300NP14ZLQGWIUZ97 |
c. Title of the issue or description of the investment. | Senegal Government International Bond |
d. CUSIP (if any). | 81720TAC9 |
At least one of the following other identifiers: |
- ISIN | US81720TAC99 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ11Z23 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 365000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 300668.75000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.401620103576 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
SENEGAL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-05-23 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.25000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 6 |
a. Name of issuer (if any). | ARAB REPUBLIC OF EGYPT |
b. LEI (if any) of issuer. (1) | 529900GFIVH4086NMH82 |
c. Title of the issue or description of the investment. | Egypt Government International Bond |
d. CUSIP (if any). | 03846JX39 |
At least one of the following other identifiers: |
- ISIN | US03846JX394 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKLKMY6 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 731000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 445910.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.595626982803 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
EGYPT
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2059-11-20 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.15000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 7 |
a. Name of issuer (if any). | REPUBLIC OF ZAMBIA |
b. LEI (if any) of issuer. (1) | 213800DMLAZ6LGMMD849 |
c. Title of the issue or description of the investment. | Zambia Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS1267081575 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ03GH2 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 900000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 400500.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.534970300313 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ZAMBIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-07-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.97000000 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 8 |
a. Name of issuer (if any). | LEBANESE REPUBLIC |
b. LEI (if any) of issuer. (1) | 529900QPC4K9S1KHL354 |
c. Title of the issue or description of the investment. | Lebanon Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS0493540297 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B3L8PZ3 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 148000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 10110.25000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.013504827662 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LEBANON
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2020-03-09 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.37500000 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 9 |
a. Name of issuer (if any). | PETROLEOS MEXICANOS |
b. LEI (if any) of issuer. (1) | 549300CAZKPF4HKMPX17 |
c. Title of the issue or description of the investment. | Petroleos Mexicanos |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | MX95PE1X00J5 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BV9GKM7 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 45240000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Mexico Peso
|
e. Value. (4) | 2085950.59000000 |
f. Exchange rate. | 18.29650000 |
g. Percentage value compared to net assets of the Fund. | 2.786321132513 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-11-12 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.47000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 10 |
a. Name of issuer (if any). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | JP Morgan |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE34Q806 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -243004.61000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -243004.61000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.32459487937 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.75000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 328000.00000000 | United States Dollar | 314470.00000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 11 |
a. Name of issuer (if any). | SIXSIGMA NETWORKS MEXICO |
b. LEI (if any) of issuer. (1) | 5493000VGOF3UCTUXW26 |
c. Title of the issue or description of the investment. | Sixsigma Networks Mexico SA de CV |
d. CUSIP (if any). | 83006LAB9 |
At least one of the following other identifiers: |
- ISIN | US83006LAB99 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDFBVS3 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1541000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1403080.50000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.874173274529 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-05-02 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.50000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 12 |
a. Name of issuer (if any). | AYDEM YENILENEBILIR ENER |
b. LEI (if any) of issuer. (1) | 9845009C50EDA74OA532 |
c. Title of the issue or description of the investment. | Aydem Yenilenebilir Enerji AS |
d. CUSIP (if any). | 054644AA7 |
At least one of the following other identifiers: |
- ISIN | US054644AA72 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNHQ2R2 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 655000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 535585.31000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.715411321184 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
TURKEY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-02-02 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.75000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 13 |
a. Name of issuer (if any). | REPUBLIC OF KENYA |
b. LEI (if any) of issuer. (1) | 549300VVURQQYU45PR87 |
c. Title of the issue or description of the investment. | Republic of Kenya Government International Bond |
d. CUSIP (if any). | 491798AE4 |
At least one of the following other identifiers: |
- ISIN | US491798AE43 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNG7Y70 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1571000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1461030.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.951579670080 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
KENYA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-06-24 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.87500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 14 |
a. Name of issuer (if any). | NOTA DO TESOURO NACIONAL |
b. LEI (if any) of issuer. (1) | 254900ZFY40OYEADAP90 |
c. Title of the issue or description of the investment. | Brazil Notas do Tesouro Nacional Serie F |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | BRSTNCNTF1P8 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYYCKC1 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 14800000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Brazil Real
|
e. Value. (4) | 2588657.20000000 |
f. Exchange rate. | 5.23545000 |
g. Percentage value compared to net assets of the Fund. | 3.457814531068 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-01-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 10.00000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 15 |
a. Name of issuer (if any). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | JP Morgan |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE44PZ48 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -1536273.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1536273.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -2.05208596298 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.80000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1700000.00000000 | United States Dollar | 1686740.00000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 16 |
a. Name of issuer (if any). | JPMorgan Chase Bank, National Association |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | MXN/USD FORWARD |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Ticker (if ISIN is not available). | N/A |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | V3K528IEA1T20RUR |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | 1.00000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 10188.22000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.013608976561 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | JPMorgan Chase Bank, National Association | 7H6GLXDRUGQFU57RNE97 |
i. Amount and description of currency sold. |
Amount of currency sold. | -2353619.03000000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 43300000.00000000 |
Description of currency purchased. |
Mexico Peso
|
iii. Settlement date. | 2023-03-06 |
iv. Unrealized appreciation or depreciation. (24) | 10188.22000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 17 |
a. Name of issuer (if any). | REPUBLIC OF ECUADOR |
b. LEI (if any) of issuer. (1) | 5299003Y2U5XK0A35H71 |
c. Title of the issue or description of the investment. | Ecuador Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS2214239175 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGR2K2 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 310000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 96158.13000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.128443804453 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ECUADOR
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2040-07-31 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 1.50000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 18 |
a. Name of issuer (if any). | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
b. LEI (if any) of issuer. (1) | 5493001KFROXQS5VBZ89 |
c. Title of the issue or description of the investment. | CREDIT SUISSE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE94QCH1 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -509183.44000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -509183.44000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.68014486344 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.75000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 860000.00000000 | United States Dollar | 597592.50000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 19 |
a. Name of issuer (if any). | REPUBLIC OF SOUTH AFRICA |
b. LEI (if any) of issuer. (1) | 378900AAFB4F17004C49 |
c. Title of the issue or description of the investment. | Republic of South Africa Government Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | ZAG000077488 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B5VV9G5 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 24400000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
South Africa Rand
|
e. Value. (4) | 836144.09000000 |
f. Exchange rate. | 18.36500000 |
g. Percentage value compared to net assets of the Fund. | 1.116884531667 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
SOUTH AFRICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2041-02-28 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.50000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 20 |
a. Name of issuer (if any). | DEVELOPMENT BANK OF KAZA |
b. LEI (if any) of issuer. (1) | 213800LCDPGJ1BI7KX98 |
c. Title of the issue or description of the investment. | Development Bank of Kazakhstan JSC |
d. CUSIP (if any). | 25159XAC7 |
At least one of the following other identifiers: |
- ISIN | US25159XAC74 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN29VJ1 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 506000000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Kazakhstan Tenge
|
e. Value. (4) | 889560.02000000 |
f. Exchange rate. | 445.08500000 |
g. Percentage value compared to net assets of the Fund. | 1.188235183636 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
KAZAKHSTAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-05-06 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 10.95000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 21 |
a. Name of issuer (if any). | MORGAN STANLEY & CO. LLC |
b. LEI (if any) of issuer. (1) | 9R7GPTSO7KV3UQJZQ078 |
c. Title of the issue or description of the investment. | CDS ARAB REPUBLIC OF EGYPT |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SPGC0HAV6 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | 1.00000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -773259.03000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.03288543195 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MORGAN STANLEY & CO. LLC | 9R7GPTSO7KV3UQJZQ078 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | ARAB REPUBLIC OF EGYPT |
Title of issue. | Egypt Government International Bond |
At least one of the following other identifiers: |
- CUSIP. | 000000000 |
- ISIN (if CUSIP is not available). | XS2176895469 |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | BMHWTW7 |
If other identifier provided, indicate the type of identifier used. | SEDOL |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 1.00000000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | N/A |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Default Event |
ii. Termination or maturity date. | 2025-12-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.00000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -710982.66000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 3600000.00000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -62276.37000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 22 |
a. Name of issuer (if any). | REPUBLIC OF MOZAMBIQUE |
b. LEI (if any) of issuer. (1) | 213800759WLKYIKPER73 |
c. Title of the issue or description of the investment. | Mozambique International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS2051203946 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ06CG0 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1531000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1159062.69000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.548225007120 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MOZAMBIQUE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-09-15 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 5.00000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 23 |
a. Name of issuer (if any). | REPUBLIC OF VENEZUELA |
b. LEI (if any) of issuer. (1) | 529900XM8PJTJK5OJI77 |
c. Title of the issue or description of the investment. | Venezuela Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USP17625AA59 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B2RFDV3 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 2250000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 219375.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.293031484722 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
VENEZUELA (BOLIVARIAN REPUBLIC OF)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-05-07 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 9.00000000 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 24 |
a. Name of issuer (if any). | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
b. LEI (if any) of issuer. (1) | 5493001KFROXQS5VBZ89 |
c. Title of the issue or description of the investment. | CREDIT SUISSE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE84QGN6 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -976686.89000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -976686.89000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.30461542785 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.25000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1629000.00000000 | United States Dollar | 1144291.05000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 25 |
a. Name of issuer (if any). | MONG DUONG FIN HLDGS BV |
b. LEI (if any) of issuer. (1) | 549300995KGQFMWSV879 |
c. Title of the issue or description of the investment. | Mong Duong Finance Holdings BV |
d. CUSIP (if any). | 60935DAA3 |
At least one of the following other identifiers: |
- ISIN | US60935DAA37 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK77BR7 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 890000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 756388.75000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.010350853286 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
NETHERLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-05-07 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.12500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 26 |
a. Name of issuer (if any). | PETROLEOS MEXICANOS |
b. LEI (if any) of issuer. (1) | 549300CAZKPF4HKMPX17 |
c. Title of the issue or description of the investment. | Petroleos Mexicanos |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USP8000UAA71 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMG3ZK1 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 171000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 136938.94000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.182917018368 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2032-02-16 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.70000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 27 |
a. Name of issuer (if any). | JPMorgan Chase Bank, National Association |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | USD/BRL FORWARD |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Ticker (if ISIN is not available). | N/A |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 96SA7KB8ACTHL19M |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | 1.00000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2182.78000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.00291566160 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | JPMorgan Chase Bank, National Association | 7H6GLXDRUGQFU57RNE97 |
i. Amount and description of currency sold. |
Amount of currency sold. | -700000.00000000 |
Description of currency sold. |
Brazil Real
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 131467.74000000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-03-02 |
iv. Unrealized appreciation or depreciation. (24) | -2182.78000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 28 |
a. Name of issuer (if any). | INTERCONTINENTAL EXCHANGE, INC. |
b. LEI (if any) of issuer. (1) | 5493000F4ZO33MV32P92 |
c. Title of the issue or description of the investment. | CDS REPUBLIC OF ARGENTINA |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SPQS01O57 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | 1.00000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2991983.66000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -3.99656029244 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | INTERCONTINENTAL EXCHANGE, INC. | 5493000F4ZO33MV32P92 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | REPUBLIC OF ARGENTINA |
Title of issue. | Argentine Republic Government International Bond |
At least one of the following other identifiers: |
- CUSIP. | 040114HX1 |
- ISIN (if CUSIP is not available). | US040114HX11 |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | BNC18N0 |
If other identifier provided, indicate the type of identifier used. | SEDOL |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 5.00000000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | N/A |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Default Event |
ii. Termination or maturity date. | 2025-06-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.00000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -1404732.75000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 6750000.00000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -1587250.91000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 29 |
a. Name of issuer (if any). | VEDANTA RESOURCES |
b. LEI (if any) of issuer. (1) | 8945002DGA3BBXO3N634 |
c. Title of the issue or description of the investment. | Vedanta Resources Finance II PLC |
d. CUSIP (if any). | 92243XAE1 |
At least one of the following other identifiers: |
- ISIN | US92243XAE13 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNKHCM7 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1253000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 833245.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.113012054643 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-03-11 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.95000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 30 |
a. Name of issuer (if any). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | JP Morgan |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPED4Q432 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -803280.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -803280.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.07298612443 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.95000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1000000.00000000 | United States Dollar | 992200.00000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 31 |
a. Name of issuer (if any). | MONGOLIA INTL BOND |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Mongolia Government International Bond |
d. CUSIP (if any). | 60937LAG0 |
At least one of the following other identifiers: |
- ISIN | US60937LAG05 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BQFM9S3 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 156000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 158162.16000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.211266063004 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MONGOLIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-01-19 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.65000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 32 |
a. Name of issuer (if any). | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
b. LEI (if any) of issuer. (1) | 5493001KFROXQS5VBZ89 |
c. Title of the issue or description of the investment. | CREDIT SUISSE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE44PXX6 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -325857.65000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -325857.65000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.43526632928 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.75000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 865000.00000000 | United States Dollar | 384925.00000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 33 |
a. Name of issuer (if any). | EMPRESAS PUBLIC MEDELLIN |
b. LEI (if any) of issuer. (1) | 549300SU25TO8EMXB434 |
c. Title of the issue or description of the investment. | Empresas Publicas de Medellin ESP |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USP9379RAV98 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BQQPB96 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 2700000000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Colombia Peso
|
e. Value. (4) | 501447.70000000 |
f. Exchange rate. | 4859.43000000 |
g. Percentage value compared to net assets of the Fund. | 0.669811801899 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
COLOMBIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-09-10 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.62500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 34 |
a. Name of issuer (if any). | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
b. LEI (if any) of issuer. (1) | 5493001KFROXQS5VBZ89 |
c. Title of the issue or description of the investment. | CREDIT SUISSE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE94QBK5 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -3809116.48000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -3809116.48000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -5.08805040508 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.75000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 8120000.00000000 | United States Dollar | 3919422.50000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 35 |
a. Name of issuer (if any). | Bakrie and Brothers Tbk PT |
b. LEI (if any) of issuer. (1) | 529900WKY5LWACDEKJ20 |
c. Title of the issue or description of the investment. | Bakrie and Brothers Tbk PT |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | ID1000110000 |
- Ticker (if ISIN is not available). | BNBR |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B06JVX0 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 44851794.00000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
Indonesia Rupiah
|
e. Value. (4) | 194112.68000000 |
f. Exchange rate. | 15250.00000000 |
g. Percentage value compared to net assets of the Fund. | 0.259287187800 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
INDONESIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 36 |
a. Name of issuer (if any). | REPUBLIC OF GABON |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Gabon Government International Bond |
d. CUSIP (if any). | 362420AC5 |
At least one of the following other identifiers: |
- ISIN | US362420AC51 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ0P3V1 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1248000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1196520.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.598258835783 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
GABON
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-06-16 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.95000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 37 |
a. Name of issuer (if any). | Republic of Iraq CLN |
b. LEI (if any) of issuer. (1) | 549300K1NZTY5QS1NO76 |
c. Title of the issue or description of the investment. | Republic of Iraq CLN |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS0276740544 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B7F3ZQ3 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 27257524.80000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Japan Yen
|
e. Value. (4) | 177372.60000000 |
f. Exchange rate. | 136.15500000 |
g. Percentage value compared to net assets of the Fund. | 0.236926524567 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-01-06 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 0.01000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 38 |
a. Name of issuer (if any). | INDONESIA GOVERNMENT |
b. LEI (if any) of issuer. (1) | 529900FWX0GRR7WG5W79 |
c. Title of the issue or description of the investment. | Indonesia Treasury Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | IDG000013202 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGWLKF7 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 40300000000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Indonesia Rupiah
|
e. Value. (4) | 2963886.62000000 |
f. Exchange rate. | 15250.00000000 |
g. Percentage value compared to net assets of the Fund. | 3.959029501116 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
INDONESIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2039-04-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.37500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 39 |
a. Name of issuer (if any). | POINSETTIA FINANCE LTD |
b. LEI (if any) of issuer. (1) | 549300P2JTF5JKW10Z65 |
c. Title of the issue or description of the investment. | Poinsettia Finance Ltd |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USG7150PAA87 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD8CY39 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 13650300.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 11432126.25000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 15.27053186812 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-06-17 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.62500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 40 |
a. Name of issuer (if any). | JPMorgan Chase Bank, National Association |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | USD/BRL FORWARD |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Ticker (if ISIN is not available). | N/A |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TTS8V8JQP0N61LQV |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | 1.00000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -2788.42000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.00372464890 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | JPMorgan Chase Bank, National Association | 7H6GLXDRUGQFU57RNE97 |
i. Amount and description of currency sold. |
Amount of currency sold. | -136438.94000000 |
Description of currency sold. |
United States Dollar
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 700000.00000000 |
Description of currency purchased. |
Brazil Real
|
iii. Settlement date. | 2023-03-02 |
iv. Unrealized appreciation or depreciation. (24) | -2788.42000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 41 |
a. Name of issuer (if any). | 1MDB GLOBAL INVESTMENTS |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | 1MDB Global Investments Ltd |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS0906085179 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B92NBN9 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 4900000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4861780.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 6.494152076551 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
VIRGIN ISLANDS (BRITISH)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-03-09 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.40000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 42 |
a. Name of issuer (if any). | PROVINCIA DE BUENOS AIRE |
b. LEI (if any) of issuer. (1) | 549300L6AYROPOTQ4L07 |
c. Title of the issue or description of the investment. | Provincia de Buenos Aires/Government Bonds |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS2385150334 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDHK12 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 3856000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1465280.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.957256633317 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-09-01 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 5.25000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 43 |
a. Name of issuer (if any). | REPUBLIC OF KENYA |
b. LEI (if any) of issuer. (1) | 549300VVURQQYU45PR87 |
c. Title of the issue or description of the investment. | Republic of Kenya Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS1781710626 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF2J2B4 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1025000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 781562.50000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.043976842294 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
KENYA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2048-02-28 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.25000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 44 |
a. Name of issuer (if any). | THETA CAPITAL PTE LTD |
b. LEI (if any) of issuer. (1) | 2549003I5QVCGQHCYJ52 |
c. Title of the issue or description of the investment. | Theta Capital Pte Ltd |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS1506085114 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYX8V49 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1550000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1125978.13000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.504032105749 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SINGAPORE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-10-31 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.75000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 45 |
a. Name of issuer (if any). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | JP Morgan |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPEB4NVH2 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -1247766.67000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1247766.67000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.66671188557 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.90000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 2200000.00000000 | United States Dollar | 1061912.50000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 46 |
a. Name of issuer (if any). | REP OF ANGOLA(AVENIR IS) |
b. LEI (if any) of issuer. (1) | 635400VEZIQKZPR7KU35 |
c. Title of the issue or description of the investment. | Republic of Angola Via Avenir Issuer II Ireland DAC |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | PTAVDAOT0001 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLLZL85 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1268571.42780000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1211485.71000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.618249373544 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-02-19 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.92700000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 47 |
a. Name of issuer (if any). | INTERCONTINENTAL EXCHANGE, INC. |
b. LEI (if any) of issuer. (1) | 5493000F4ZO33MV32P92 |
c. Title of the issue or description of the investment. | CDS REPUBLIC OF ARGENTINA |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SP5G00CL6 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | 1.00000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -7011399.29000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -9.36551906064 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | INTERCONTINENTAL EXCHANGE, INC. | 5493000F4ZO33MV32P92 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | REPUBLIC OF ARGENTINA |
Title of issue. | Argentine Republic Government International Bond |
At least one of the following other identifiers: |
- CUSIP. | 040114HX1 |
- ISIN (if CUSIP is not available). | US040114HX11 |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | BNC18N0 |
If other identifier provided, indicate the type of identifier used. | SEDOL |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 5.00000000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | N/A |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Default Event |
ii. Termination or maturity date. | 2025-12-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.00000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -2333857.50000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 13200000.00000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -4677541.79000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 48 |
a. Name of issuer (if any). | WANDA PROPERTIES INTL |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Wanda Properties International Co Ltd |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS1023280271 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ8RZW2 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 600000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 564487.50000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.754017596500 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
VIRGIN ISLANDS (BRITISH)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-01-29 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.25000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 49 |
a. Name of issuer (if any). | PETROLEOS DEL PERU SA |
b. LEI (if any) of issuer. (1) | 549300ZMGDLC9JT2OR80 |
c. Title of the issue or description of the investment. | Petroleos del Peru SA |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USP7808BAB38 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ3ZZB2 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 225000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 149557.50000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.199772336302 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2047-06-19 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.62500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 50 |
a. Name of issuer (if any). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | JP Morgan |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE84QHZ8 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -998000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -998000.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.33308454360 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.25000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1500000.00000000 | United States Dollar | 1135593.75000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 51 |
a. Name of issuer (if any). | INTERCONTINENTAL EXCHANGE, INC. |
b. LEI (if any) of issuer. (1) | 5493000F4ZO33MV32P92 |
c. Title of the issue or description of the investment. | CDS REPUBLIC OF ARGENTINA |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SP4C00D27 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | 1.00000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1726291.49000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -2.30590431169 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | INTERCONTINENTAL EXCHANGE, INC. | 5493000F4ZO33MV32P92 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | REPUBLIC OF ARGENTINA |
Title of issue. | Argentine Republic Government International Bond |
At least one of the following other identifiers: |
- CUSIP. | 040114HX1 |
- ISIN (if CUSIP is not available). | US040114HX11 |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | BNC18N0 |
If other identifier provided, indicate the type of identifier used. | SEDOL |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 5.00000000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | N/A |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Default Event |
ii. Termination or maturity date. | 2025-12-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.00000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -573676.92000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 3250000.00000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -1152614.57000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 52 |
a. Name of issuer (if any). | REPUBLIC OF EL SALVADOR |
b. LEI (if any) of issuer. (1) | 529900AKDMUSFSDOM949 |
c. Title of the issue or description of the investment. | El Salvador Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USP01012AT38 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BQT3TQ0 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 700000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 368725.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.492526651643 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
EL SALVADOR
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-01-18 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.37500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 53 |
a. Name of issuer (if any). | PETROLEOS MEXICANOS |
b. LEI (if any) of issuer. (1) | 549300CAZKPF4HKMPX17 |
c. Title of the issue or description of the investment. | Petroleos Mexicanos |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USP78625DC49 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF8H9M2 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 63700000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Mexico Peso
|
e. Value. (4) | 3198229.85000000 |
f. Exchange rate. | 18.29650000 |
g. Percentage value compared to net assets of the Fund. | 4.272054889704 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-09-12 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.19000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 54 |
a. Name of issuer (if any). | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
b. LEI (if any) of issuer. (1) | 5493001KFROXQS5VBZ89 |
c. Title of the issue or description of the investment. | CREDIT SUISSE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPEE2LJS2 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -898875.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -898875.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.20067772458 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.75000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1410000.00000000 | United States Dollar | 1151625.78000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 55 |
a. Name of issuer (if any). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | JP Morgan |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE94QDU1 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -681598.29000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -681598.29000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.91044904343 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.75000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 920000.00000000 | United States Dollar | 882050.00000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 56 |
a. Name of issuer (if any). | REPUBLIC OF SOUTH AFRICA |
b. LEI (if any) of issuer. (1) | 378900AAFB4F17004C49 |
c. Title of the issue or description of the investment. | Republic of South Africa Government Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | ZAG000096173 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B8S1C48 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 36800000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
South Africa Rand
|
e. Value. (4) | 1560256.28000000 |
f. Exchange rate. | 18.36500000 |
g. Percentage value compared to net assets of the Fund. | 2.084121774476 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
SOUTH AFRICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2048-02-28 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.75000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 57 |
a. Name of issuer (if any). | REP OF ANGOLA(AVENIR II) |
b. LEI (if any) of issuer. (1) | 724500CRIYMKEWLTHZ15 |
c. Title of the issue or description of the investment. | Republic of Angola Via Avenir II BV |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | PTAVBAOT0003 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF2FGP4 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 4961230.76300000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5010843.07000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 6.693263974987 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
NETHERLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-07-03 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 12.63757000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 58 |
a. Name of issuer (if any). | MC BRAZIL DWNSTRM |
b. LEI (if any) of issuer. (1) | 213800T2A7R9TYNXZI63 |
c. Title of the issue or description of the investment. | MC Brazil Downstream Trading SARL |
d. CUSIP (if any). | 55292WAA8 |
At least one of the following other identifiers: |
- ISIN | US55292WAA80 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNTMV9 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 550763.40910000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 449147.56000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.599951573179 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-06-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.25000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 59 |
a. Name of issuer (if any). | LEBANESE REPUBLIC |
b. LEI (if any) of issuer. (1) | 529900QPC4K9S1KHL354 |
c. Title of the issue or description of the investment. | Lebanon Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS1419879686 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFXY5L9 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 848000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 57929.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.077379012551 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LEBANON
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-05-26 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.40000000 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 60 |
a. Name of issuer (if any). | REPUBLIC OF NIGERIA |
b. LEI (if any) of issuer. (1) | 549300GSBZD84TNEQ285 |
c. Title of the issue or description of the investment. | Nigeria Government International Bond |
d. CUSIP (if any). | 65412JAU7 |
At least one of the following other identifiers: |
- ISIN | US65412JAU79 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP928P2 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 460000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 387550.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.517672259392 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
NIGERIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-03-24 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.37500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 61 |
a. Name of issuer (if any). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | JP Morgan |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPEA4PVW6 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -963936.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -963936.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.28758334932 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 4.95000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1200000.00000000 | United States Dollar | 1190640.00000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 62 |
a. Name of issuer (if any). | GRAN TIERRA ENERGY INTL |
b. LEI (if any) of issuer. (1) | 549300RQNK5SS6I0T293 |
c. Title of the issue or description of the investment. | Gran Tierra Energy International Holdings Ltd |
d. CUSIP (if any). | 38502HAA3 |
At least one of the following other identifiers: |
- ISIN | US38502HAA32 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BG0VL56 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1267000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1093421.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.460543722195 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-02-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.25000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 63 |
a. Name of issuer (if any). | REPUBLIC OF NIGERIA |
b. LEI (if any) of issuer. (1) | 549300GSBZD84TNEQ285 |
c. Title of the issue or description of the investment. | Nigeria Government International Bond |
d. CUSIP (if any). | 65412JAH6 |
At least one of the following other identifiers: |
- ISIN | US65412JAH68 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF5J620 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 860000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 597592.50000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.798237800724 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
NIGERIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2038-02-23 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.69600000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 64 |
a. Name of issuer (if any). | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
b. LEI (if any) of issuer. (1) | 5493001KFROXQS5VBZ89 |
c. Title of the issue or description of the investment. | CREDIT SUISSE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPEA4PUC1 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -1688942.71000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1688942.71000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -2.25601545263 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.25000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 2950000.00000000 | United States Dollar | 1770000.00000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 65 |
a. Name of issuer (if any). | REPUBLIC OF ZAMBIA |
b. LEI (if any) of issuer. (1) | 213800DMLAZ6LGMMD849 |
c. Title of the issue or description of the investment. | Zambia Government International Bond |
d. CUSIP (if any). | 988895AF5 |
At least one of the following other identifiers: |
- ISIN | US988895AF56 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYSF4C4 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 865000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 384925.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.514165899745 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ZAMBIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-07-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.97000000 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 66 |
a. Name of issuer (if any). | PETROLEOS MEXICANOS |
b. LEI (if any) of issuer. (1) | 549300CAZKPF4HKMPX17 |
c. Title of the issue or description of the investment. | Petroleos Mexicanos |
d. CUSIP (if any). | 71654QDD1 |
At least one of the following other identifiers: |
- ISIN | US71654QDD16 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYVTL6 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 3629000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2549191.05000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.405097382210 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2050-01-23 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.69000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 67 |
a. Name of issuer (if any). | ISLAMIC REP OF PAKISTAN |
b. LEI (if any) of issuer. (1) | 529900LOP29R5WKHOD86 |
c. Title of the issue or description of the investment. | Pakistan Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS1056560920 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLMP1Z1 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1300000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 692393.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.924868142684 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PAKISTAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-04-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.25000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 68 |
a. Name of issuer (if any). | REP OF ANGOLA(AVENIR II) |
b. LEI (if any) of issuer. (1) | 724500CRIYMKEWLTHZ15 |
c. Title of the issue or description of the investment. | Republic of Angola Via Avenir II BV |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | PTAVBBOT0002 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BH3VG33 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 346000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 346000.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.462171595277 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
NETHERLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-12-07 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.68686000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 69 |
a. Name of issuer (if any). | REPUBLIC OF COLOMBIA |
b. LEI (if any) of issuer. (1) | 549300MHDRBVRF6B9117 |
c. Title of the issue or description of the investment. | Colombia Government International Bond |
d. CUSIP (if any). | 195325DP7 |
At least one of the following other identifiers: |
- ISIN | US195325DP79 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGV7K78 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1395000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1195602.19000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.597032865517 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
COLOMBIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-03-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.50000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 70 |
a. Name of issuer (if any). | REPUBLIC OF GABON |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Gabon Government International Bond |
d. CUSIP (if any). | 362420AE1 |
At least one of the following other identifiers: |
- ISIN | US362420AE18 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPG9L46 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 135000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 109350.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.146064924692 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
GABON
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-11-24 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.00000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 71 |
a. Name of issuer (if any). | LEBANESE REPUBLIC |
b. LEI (if any) of issuer. (1) | 529900QPC4K9S1KHL354 |
c. Title of the issue or description of the investment. | Lebanon Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS1396347723 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD39B67 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 377000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 25753.81000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.034400807665 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LEBANON
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-04-22 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.00000000 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 72 |
a. Name of issuer (if any). | TITULOS DE TESORERIA |
b. LEI (if any) of issuer. (1) | 549300MHDRBVRF6B9117 |
c. Title of the issue or description of the investment. | Colombian TES |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | COL17CT03615 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHPGGV4 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 8275000000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Colombia Peso
|
e. Value. (4) | 1105003.85000000 |
f. Exchange rate. | 4859.43000000 |
g. Percentage value compared to net assets of the Fund. | 1.476015584225 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
COLOMBIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2034-10-18 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.25000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 73 |
a. Name of issuer (if any). | ARAB REPUBLIC OF EGYPT |
b. LEI (if any) of issuer. (1) | 529900GFIVH4086NMH82 |
c. Title of the issue or description of the investment. | Egypt Government International Bond |
d. CUSIP (if any). | 03846JW55 |
At least one of the following other identifiers: |
- ISIN | US03846JW552 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF0V3R5 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 2950000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1770000.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.364288218614 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
EGYPT
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2048-02-21 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.90300000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 74 |
a. Name of issuer (if any). | TUNISIAN REPUBLIC |
b. LEI (if any) of issuer. (1) | 254900B5LFB16S9T2T11 |
c. Title of the issue or description of the investment. | Tunisian Republic |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS1567439689 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYQ2QW1 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 2940000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Euro Member Countries
|
e. Value. (4) | 2455253.55000000 |
f. Exchange rate. | 0.94544766 |
g. Percentage value compared to net assets of the Fund. | 3.279619797726 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
TUNISIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-02-17 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.62500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 75 |
a. Name of issuer (if any). | NOTA DO TESOURO NACIONAL |
b. LEI (if any) of issuer. (1) | 254900ZFY40OYEADAP90 |
c. Title of the issue or description of the investment. | Brazil Notas do Tesouro Nacional Serie F |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | BRSTNCNTF204 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK6FNL0 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 2800000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Brazil Real
|
e. Value. (4) | 452202.87000000 |
f. Exchange rate. | 5.23545000 |
g. Percentage value compared to net assets of the Fund. | 0.604032722013 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-01-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 10.00000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 76 |
a. Name of issuer (if any). | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
b. LEI (if any) of issuer. (1) | 5493001KFROXQS5VBZ89 |
c. Title of the issue or description of the investment. | CREDIT SUISSE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE34Q6K4 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -1199124.48000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1199124.48000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.60173778571 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.25000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 2000000.00000000 | United States Dollar | 1404900.00000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 77 |
a. Name of issuer (if any). | REPUBLIC OF EL SALVADOR |
b. LEI (if any) of issuer. (1) | 529900AKDMUSFSDOM949 |
c. Title of the issue or description of the investment. | El Salvador Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS0146173371 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 7351778 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 568000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 282509.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.377363107543 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
EL SALVADOR
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2032-04-10 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.25000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 78 |
a. Name of issuer (if any). | REPUBLIC OF TURKEY |
b. LEI (if any) of issuer. (1) | 5493000PCHOG3B6S3Q85 |
c. Title of the issue or description of the investment. | Turkey Government International Bond |
d. CUSIP (if any). | 900123DF4 |
At least one of the following other identifiers: |
- ISIN | US900123DF45 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BQB8PQ5 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1954000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1980867.50000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.645955758692 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
TURKEY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-01-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 9.87500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 79 |
a. Name of issuer (if any). | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
b. LEI (if any) of issuer. (1) | 5493001KFROXQS5VBZ89 |
c. Title of the issue or description of the investment. | CREDIT SUISSE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPED4Q2J9 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -416285.28000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -416285.28000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.55605558366 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.75000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 731000.00000000 | United States Dollar | 445910.00000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 80 |
a. Name of issuer (if any). | PETROLEOS DE VENEZUELA S |
b. LEI (if any) of issuer. (1) | 549300YWR8TN1OFD4P06 |
c. Title of the issue or description of the investment. | Petroleos de Venezuela SA |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USP7807HAR68 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHBXP45 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 2550000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 114750.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.153278007393 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
VENEZUELA (BOLIVARIAN REPUBLIC OF)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-11-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.00000000 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 81 |
a. Name of issuer (if any). | LEBANESE REPUBLIC |
b. LEI (if any) of issuer. (1) | 529900QPC4K9S1KHL354 |
c. Title of the issue or description of the investment. | Lebanon Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS0559237796 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B5L3R45 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 3217000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 217147.50000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.290056088108 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LEBANON
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2022-10-04 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6.10000000 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 82 |
a. Name of issuer (if any). | REPUBLIC OF ECUADOR |
b. LEI (if any) of issuer. (1) | 5299003Y2U5XK0A35H71 |
c. Title of the issue or description of the investment. | Ecuador Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS2214238102 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGR2B3 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 10467077.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5052327.23000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 6.748676692923 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ECUADOR
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-07-31 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 5.50000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 83 |
a. Name of issuer (if any). | JPMorgan Chase Bank, National Association |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | USD/MXN FORWARD |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Ticker (if ISIN is not available). | N/A |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 0AEL9T8FJNDUE2QC |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | 1.00000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -148236.86000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.19800828342 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | JPMorgan Chase Bank, National Association | 7H6GLXDRUGQFU57RNE97 |
i. Amount and description of currency sold. |
Amount of currency sold. | -43300000.00000000 |
Description of currency sold. |
Mexico Peso
|
ii. Amount and description of currency purchased. |
Amount of currency purchased. | 2215570.39000000 |
Description of currency purchased. |
United States Dollar
|
iii. Settlement date. | 2023-03-06 |
iv. Unrealized appreciation or depreciation. (24) | -148236.86000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 84 |
a. Name of issuer (if any). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | JP Morgan |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE22LG10 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -1197363.83000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1197363.83000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.59938598681 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.00000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1571000.00000000 | United States Dollar | 1461030.00000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 85 |
a. Name of issuer (if any). | BANCO MERCANTIL DE NORTE |
b. LEI (if any) of issuer. (1) | 549300QTVYRPFHS0J362 |
c. Title of the issue or description of the investment. | Banco Mercantil del Norte SA/Grand Cayman |
d. CUSIP (if any). | 05973KAA5 |
At least one of the following other identifiers: |
- ISIN | US05973KAA51 |
Balance. (2) |
a. Balance | 576000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 512064.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.683992588913 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | N/A |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.87500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 86 |
a. Name of issuer (if any). | GRAN TIERRA ENERGY INC |
b. LEI (if any) of issuer. (1) | 549300IH2S17MAIUCM32 |
c. Title of the issue or description of the investment. | Gran Tierra Energy Inc |
d. CUSIP (if any). | 38502JAA9 |
At least one of the following other identifiers: |
- ISIN | US38502JAA97 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHRH2J5 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1410000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1151625.78000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.538291109551 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-05-23 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.75000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 87 |
a. Name of issuer (if any). | REPUBLIC OF ARGENTINA |
b. LEI (if any) of issuer. (1) | 549300KPBYGYF7HCHO27 |
c. Title of the issue or description of the investment. | Argentine Republic Government International Bond |
d. CUSIP (if any). | 040114HX1 |
At least one of the following other identifiers: |
- ISIN | US040114HX11 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNC18N0 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 9488000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2941280.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.928832571551 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-07-09 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 1.00000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 88 |
a. Name of issuer (if any). | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
b. LEI (if any) of issuer. (1) | 5493001KFROXQS5VBZ89 |
c. Title of the issue or description of the investment. | CREDIT SUISSE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE14OL26 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -230589.29000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -230589.29000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.30801104050 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.75000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 568000.00000000 | United States Dollar | 282509.00000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 89 |
a. Name of issuer (if any). | REPUBLIC OF ZAMBIA |
b. LEI (if any) of issuer. (1) | 213800DMLAZ6LGMMD849 |
c. Title of the issue or description of the investment. | Zambia Government International Bond |
d. CUSIP (if any). | 988895AA6 |
At least one of the following other identifiers: |
- ISIN | US988895AA69 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B85SB12 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 124000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 52607.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.070270118822 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ZAMBIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2022-09-20 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.37500000 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 90 |
a. Name of issuer (if any). | TULLOW OIL PLC |
b. LEI (if any) of issuer. (1) | 2138003EYHWO75RKS857 |
c. Title of the issue or description of the investment. | Tullow Oil PLC |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USG91237AA87 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD4B0S7 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1912000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1204560.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.608998314471 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-03-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.00000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 91 |
a. Name of issuer (if any). | REPUBLIC OF EL SALVADOR |
b. LEI (if any) of issuer. (1) | 529900AKDMUSFSDOM949 |
c. Title of the issue or description of the investment. | El Salvador Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USP01012AS54 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B92M6K8 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 718000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 531454.63000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.709893740359 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
EL SALVADOR
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-01-30 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.87500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 92 |
a. Name of issuer (if any). | Republic of Iraq CLN |
b. LEI (if any) of issuer. (1) | 549300K1NZTY5QS1NO76 |
c. Title of the issue or description of the investment. | Republic of Iraq CLN |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS0582500319 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD73068 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 492121235.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
Japan Yen
|
e. Value. (4) | 3194785.06000000 |
f. Exchange rate. | 136.15500000 |
g. Percentage value compared to net assets of the Fund. | 4.267453490601 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-01-01 |
b. Coupon. |
i. Coupon category. (13) | Variable |
ii. Annualized rate. | 0.01000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 93 |
a. Name of issuer (if any). | REPUBLIC OF EL SALVADOR |
b. LEI (if any) of issuer. (1) | 529900AKDMUSFSDOM949 |
c. Title of the issue or description of the investment. | El Salvador Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USP01012BX31 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYXQ9Y9 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 410000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 204180.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.272734671455 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
EL SALVADOR
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-02-28 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.62500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 94 |
a. Name of issuer (if any). | BANK OF AMERICA, NATIONAL ASSOCIATION |
b. LEI (if any) of issuer. (1) | B4TYDEB6GKMZO031MB27 |
c. Title of the issue or description of the investment. | CDS TURKEY |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SPIS07ZN2 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | 1.00000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -746770.68000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.99750345804 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BANK OF AMERICA, NATIONAL ASSOCIATION | B4TYDEB6GKMZO031MB27 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | REPUBLIC OF TURKEY |
Title of issue. | Turkey Government International Bond |
At least one of the following other identifiers: |
- CUSIP. | 900123AL4 |
- ISIN (if CUSIP is not available). | US900123AL40 |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | 5866575 |
If other identifier provided, indicate the type of identifier used. | SEDOL |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 1.00000000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | N/A |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Default Event |
ii. Termination or maturity date. | 2027-06-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.00000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -986941.45000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 4880000.00000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 240170.77000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 95 |
a. Name of issuer (if any). | INTERCONTINENTAL EXCHANGE, INC. |
b. LEI (if any) of issuer. (1) | 5493000F4ZO33MV32P92 |
c. Title of the issue or description of the investment. | CDS REPUBLIC OF ARGENTINA |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SP1828AK3 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | 1.00000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -3102797.87000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -4.14458104451 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | INTERCONTINENTAL EXCHANGE, INC. | 5493000F4ZO33MV32P92 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | REPUBLIC OF ARGENTINA |
Title of issue. | Argentine Republic Government International Bond |
At least one of the following other identifiers: |
- CUSIP. | 040114HX1 |
- ISIN (if CUSIP is not available). | US040114HX11 |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | BNC18N0 |
If other identifier provided, indicate the type of identifier used. | SEDOL |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 5.00000000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | N/A |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Default Event |
ii. Termination or maturity date. | 2025-06-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.00000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -1467455.04000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 7000000.00000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | -1635342.83000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 96 |
a. Name of issuer (if any). | TULLOW OIL PLC |
b. LEI (if any) of issuer. (1) | 2138003EYHWO75RKS857 |
c. Title of the issue or description of the investment. | Tullow Oil PLC |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USG91237AB60 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPGK80 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 368000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 295780.00000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.395089926159 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-05-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 10.25000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 97 |
a. Name of issuer (if any). | INDIKA ENERGY CAPITAL IV |
b. LEI (if any) of issuer. (1) | 254900LQ197HY24XVH34 |
c. Title of the issue or description of the investment. | Indika Energy Capital IV Pte Ltd |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USY39690AA30 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMW19X0 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1085000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1060587.50000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.416686175740 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SINGAPORE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-10-22 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.25000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 98 |
a. Name of issuer (if any). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
c. Title of the issue or description of the investment. | JP Morgan |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE14OMI0 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -1049528.25000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -1049528.25000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -1.40191371558 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.05000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1395000.00000000 | United States Dollar | 1195602.19000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 99 |
a. Name of issuer (if any). | PETROLEOS DEL PERU SA |
b. LEI (if any) of issuer. (1) | 549300ZMGDLC9JT2OR80 |
c. Title of the issue or description of the investment. | Petroleos del Peru SA |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | USP7808BAA54 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ3ZZ12 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 250000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 190281.25000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.254169331976 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2032-06-19 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 4.75000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 100 |
a. Name of issuer (if any). | THETA CAPITAL PTE LTD |
b. LEI (if any) of issuer. (1) | 2549003I5QVCGQHCYJ52 |
c. Title of the issue or description of the investment. | Theta Capital Pte Ltd |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS2099273737 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKP8ZV4 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 935000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 775933.13000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.036457377226 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SINGAPORE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-01-22 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.12500000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 101 |
a. Name of issuer (if any). | BARCLAYS CAPITAL INC. |
b. LEI (if any) of issuer. (1) | AC28XWWI3WIBK2824319 |
c. Title of the issue or description of the investment. | CDS ESKOM HOLDINGS SOC LTD |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | SP9N5C2B9 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | 1.00000000 |
b. Units |
Number of contracts
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -289835.85000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.38714999180 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BARCLAYS CAPITAL INC. | AC28XWWI3WIBK2824319 |
3. The reference instrument is neither a derivative or an index (28) |
Name of issuer. | ESKOM HOLDINGS SOC LTD |
Title of issue. | Eskom Holdings SOC Ltd |
At least one of the following other identifiers: |
- ISIN (if CUSIP is not available). | XS0579851949 |
- Other identifier (if CUSIP, ISIN, and ticker are not available). | B3YFGK3 |
If other identifier provided, indicate the type of identifier used. | SEDOL |
Custom swap Flag | ☒ Yes ☐ No |
1. Description and terms of payments to be received from another party. |
Receipts: Reference Asset, Instrument or Index. |
Receipts: fixed, floating or other. | ☒ Fixed ☐ Floating ☐ Other |
Receipts: Fixed rate. | 1.00000000 |
Receipts: Base currency. |
United States Dollar
|
Receipts: Amount. | N/A |
2. Description and terms of payments to be paid to another party. |
Payments: Reference Asset, Instrument or Index. |
Payments: fixed, floating or other. | ☐ Fixed ☐ Floating ☒ Other |
Description of Other Payments | Default Event |
ii. Termination or maturity date. | 2025-12-20 |
iii. Upfront payments or receipts | |
Upfront payments. | 0.00000000 |
ISO Currency Code. |
United States Dollar
|
Upfront receipts. | -626309.27000000 |
ISO Currency Code. |
United States Dollar
|
iv. Notional amount. | 6500000.00000000 |
ISO Currency Code. | USD |
v. Unrealized appreciation or depreciation. (24) | 336473.42000000 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 102 |
a. Name of issuer (if any). | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
b. LEI (if any) of issuer. (1) | 5493001KFROXQS5VBZ89 |
c. Title of the issue or description of the investment. | CREDIT SUISSE |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RPE14OLG5 |
Description of other unique identifier. | INTERNAL |
Balance. (2) |
a. Balance | -339042.64000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | -339042.64000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | -0.45287825952 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
a. Transaction category. (18) | ☐ Repurchase ☒ Reverse repurchase |
b. Counterparty. |
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. | ☒ Yes ☐ No |
ii. Value | CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC |
c. Tri-party? | ☐ Yes ☒ No |
d. Repurchase rate. | 5.75000000 |
e. Maturity date. | 2099-01-01 |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19) |
Repurchase Collateral Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 900000.00000000 | United States Dollar | 400500.00000000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 103 |
a. Name of issuer (if any). | LEBANESE REPUBLIC |
b. LEI (if any) of issuer. (1) | 529900QPC4K9S1KHL354 |
c. Title of the issue or description of the investment. | Lebanon Government International Bond |
d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers: |
- ISIN | XS0250882478 |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B12K5Z4 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 5175000.00000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 350282.81000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.467892384670 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LEBANON
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2021-04-12 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 8.25000000 |
c. Currently in default? | ☒ Yes ☐ No |
d. Are there any interest payments in arrears? (14) | ☒ Yes ☐ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable. |
The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. |
Registrant: | Virtus Stone Harbor Emerging Markets Income Fund |
By (Signature): | Amy Hackett |
Name: | Amy Hackett |
Title: | Vice President and Assistant Treasurer |
Date: | 2023-04-21 |
1 Year Virtus Stone Harbor Emer... Chart |
1 Month Virtus Stone Harbor Emer... Chart |
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