|
|
Principal
Amount
|
Value
|
|
|
Non-U.S. Dollar Denominated Bonds & Notes–47.55%(a)
|
|||
|
Argentina–0.79%
|
|||
|
Argentina Treasury Bond,
|
|
|
|
|
15.50%, 10/17/2026
|
ARS
|
135,000,000
|
$87,706
|
|
29.50%,
04/27/2027(b)
|
ARS
|
14,350,000,000
|
11,509,754
|
|
|
|
|
11,597,460
|
|
Australia–7.99%
|
|||
|
Australia Government Bond,
Series 142, 4.25%,
04/21/2026(c)
|
AUD
|
83,500,000
|
58,184,778
|
|
Queensland Treasury Corp.,
5.25%, 08/13/2038(c)
|
AUD
|
16,000,000
|
10,790,197
|
|
South Australian
Government Financing
Authority, 4.50%,
05/23/2031(c)
|
AUD
|
54,000,000
|
37,264,486
|
|
Treasury Corporation of
Victoria, 5.50%,
11/17/2026
|
AUD
|
16,000,000
|
11,264,161
|
|
|
|
|
117,503,622
|
|
Brazil–10.46%
|
|||
|
Brazil Notas do Tesouro Nacional,
|
|
|
|
|
Class NTNF, 10.00%,
01/01/2031
|
BRL
|
586,000,000
|
100,423,663
|
|
Series B, 6.00%,
05/15/2055
|
BRL
|
69,000,000
|
53,372,817
|
|
|
|
|
153,796,480
|
|
Colombia–0.49%
|
|||
|
Fideicomiso PA Concesion
Ruta al Mar, 6.75%,
02/15/2044(c)
|
COP
|
8,000,000,000
|
1,619,202
|
|
PA Autopista Rio
Magdalena, 6.05%,
06/15/2036(c)
|
COP
|
23,500,000,000
|
5,609,783
|
|
|
|
|
7,228,985
|
|
France–2.89%
|
|||
|
BNP Paribas S.A.,
|
|
|
|
|
2.75%,
07/25/2028(c)(d)
|
EUR
|
10,000,000
|
11,893,590
|
|
2.00%,
05/24/2031(c)(d)
|
GBP
|
5,000,000
|
6,788,399
|
|
BPCE S.A., Series NC5,
1.50%,
01/13/2042(c)(d)
|
EUR
|
7,000,000
|
8,217,846
|
|
Electricite de France S.A.,
|
|
|
|
|
7.50%(c)(d)(e)
|
EUR
|
1,600,000
|
2,080,680
|
|
4.38%(c)(d)(e)
|
EUR
|
1,400,000
|
1,663,520
|
|
La Banque Postale,
3.88%(c)(d)(e)
|
EUR
|
10,000,000
|
11,864,460
|
|
|
|
|
42,508,495
|
|
Germany–1.69%
|
|||
|
Deutsche Bank AG,
4.50%(c)(d)(e)
|
EUR
|
7,000,000
|
8,310,308
|
|
|
Principal
Amount
|
Value
|
|
|
Germany–(continued)
|
|||
|
Hannover Rueck SE,
5.88%,
08/26/2043(c)(d)
|
EUR
|
5,000,000
|
$6,701,323
|
|
Mercedes-Benz Finance
Canada, Inc., 5.14%,
06/29/2026
|
CAD
|
5,000,000
|
3,710,168
|
|
Norddeutsche Landesbank -
Girozentrale, 4.38%,
12/10/2035(c)(d)
|
EUR
|
5,000,000
|
6,056,603
|
|
|
|
|
24,778,402
|
|
Greece–0.22%
|
|||
|
Eurobank S.A., 5.88%,
11/28/2029(c)(d)
|
EUR
|
2,500,000
|
3,203,716
|
|
India–0.68%
|
|||
|
India Government Bond,
7.09%, 08/05/2054
|
INR
|
950,000,000
|
9,952,592
|
|
Ivory Coast–0.41%
|
|||
|
Ivory Coast Government
International Bond,
5.25%, 03/22/2030(c)
|
EUR
|
5,000,000
|
6,041,542
|
|
Mexico–10.34%
|
|||
|
Mexican Bonos, Series M,
8.50%, 02/28/2030
|
MXN
|
2,115,000,000
|
122,530,421
|
|
Mexican Udibonos, Series S,
4.00%, 08/30/2029
|
MXN
|
521,053,560
|
29,554,968
|
|
|
|
|
152,085,389
|
|
South Africa–5.06%
|
|||
|
Republic of South Africa
Government Bond,
|
|
|
|
|
Series 2040, 9.00%,
01/31/2040
|
ZAR
|
450,000,000
|
28,556,274
|
|
Series 2048, 8.75%,
02/28/2048
|
ZAR
|
750,000,000
|
45,878,557
|
|
|
|
|
74,434,831
|
|
Spain–2.73%
|
|||
|
Spain Government Bond,
2.80%, 05/31/2026
|
EUR
|
26,000,000
|
30,888,431
|
|
Telefonica Europe, B.V.,
6.75%(c)(d)(e)
|
EUR
|
7,000,000
|
9,261,456
|
|
|
|
|
40,149,887
|
|
Supranational–1.48%
|
|||
|
African Development Bank,
|
|
|
|
|
0.00%, 04/05/2046(f)
|
ZAR
|
600,000,000
|
6,992,643
|
|
0.00%, 01/17/2050(f)
|
ZAR
|
310,000,000
|
2,518,989
|
|
Corporacion Andina de
Fomento, 10.35%,
03/15/2033(c)
|
MXN
|
200,000,000
|
12,221,103
|
|
|
|
|
21,732,735
|
|
United Kingdom–1.38%
|
|||
|
Allwyn Entertainment
Financing (UK) PLC,
4.13%, 02/15/2031(c)
|
EUR
|
8,000,000
|
9,393,775
|
|
|
Principal
Amount
|
Value
|
|
|
United Kingdom–(continued)
|
|||
|
United Kingdom Gilt,
4.38%, 07/31/2054(c)
|
GBP
|
9,250,000
|
$10,968,061
|
|
|
|
|
20,361,836
|
|
United States–0.94%
|
|||
|
Ford Motor Credit Co. LLC,
6.86%, 06/05/2026
|
GBP
|
10,000,000
|
13,784,500
|
|
Total Non-U.S. Dollar Denominated Bonds & Notes
(Cost $676,554,983)
|
699,160,472
|
||
|
|
|
|
|
|
U.S. Dollar Denominated Bonds & Notes–15.22%
|
|||
|
Argentina–1.15%
|
|||
|
Argentine Republic Government
International Bond,
|
|
|
|
|
0.75%, 07/09/2030(g)
|
|
$4,320,000
|
3,665,520
|
|
3.50%, 07/09/2041(g)
|
|
7,000,000
|
5,078,500
|
|
Vista Energy Argentina
S.A.U., 7.63%,
12/10/2035(c)
|
|
2,500,000
|
2,505,000
|
|
YPF S.A.,
|
|
|
|
|
6.95%, 07/21/2027(c)
|
|
1,000,000
|
1,010,827
|
|
8.75%, 09/11/2031(c)
|
|
4,550,000
|
4,709,082
|
|
|
|
|
16,968,929
|
|
Brazil–1.51%
|
|||
|
Arcos Dorados B.V.,
6.38%, 01/29/2032(c)
|
|
2,280,000
|
2,395,140
|
|
Minerva (Luxembourg) S.A.,
8.88%, 09/13/2033(c)
|
|
2,500,000
|
2,732,930
|
|
Petrobras Global Finance B.V.,
|
|
|
|
|
6.50%, 07/03/2033(h)
|
|
2,500,000
|
2,611,812
|
|
6.25%, 01/10/2036
|
|
5,000,000
|
4,918,750
|
|
Sitios Latinoamerica S.A.B.
de C.V., 5.38%,
04/04/2032(c)
|
|
5,970,000
|
6,025,115
|
|
Vale Overseas Ltd., 6.00%,
02/25/2056(c)(d)
|
|
3,500,000
|
3,517,500
|
|
|
|
|
22,201,247
|
|
Canada–0.21%
|
|||
|
TELUS Corp., 6.38%,
06/09/2056(d)(h)
|
|
2,984,000
|
3,015,914
|
|
Chile–1.03%
|
|||
|
Banco de Credito e
Inversiones S.A.,
8.75%(c)(d)(e)
|
|
2,500,000
|
2,700,475
|
|
Banco del Estado de Chile,
7.95%(c)(d)(e)
|
|
1,450,000
|
1,543,250
|
|
Chile Electricity Lux MPC II
S.a.r.l., 5.58%,
10/20/2035(c)
|
|
2,116,298
|
2,174,341
|
|
Sociedad Quimica y Minera de Chile
S.A.,
|
|
|
|
|
5.50%, 09/10/2034(c)
|
|
6,785,000
|
6,892,203
|
|
5.63%,
04/22/2056(c)(d)
|
|
1,800,000
|
1,798,848
|
|
|
|
|
15,109,117
|
|
China–0.16%
|
|||
|
Prosus N.V., 3.68%,
01/21/2030(c)
|
|
2,500,000
|
2,410,077
|
|
|
Principal
Amount
|
Value
|
|
|
Colombia–0.55%
|
|||
|
Ecopetrol S.A.,
|
|
|
|
|
8.63%, 01/19/2029
|
|
$5,000,000
|
$5,359,765
|
|
7.75%, 02/01/2032
|
|
2,680,000
|
2,753,628
|
|
|
|
|
8,113,393
|
|
Dominican Republic–0.21%
|
|||
|
Aeropuertos Dominicanos
Siglo XXI S.A., 7.00%,
06/30/2034(c)
|
|
2,975,000
|
3,123,081
|
|
Egypt–0.26%
|
|||
|
Egypt Government
International Bond,
8.63%, 02/04/2030(c)
|
|
3,490,000
|
3,809,399
|
|
Finland–0.68%
|
|||
|
Nordea Bank Abp,
6.63%(c)(d)(e)
|
|
10,000,000
|
10,026,510
|
|
France–1.08%
|
|||
|
AXA, 5.13%,
01/17/2047(c)(d)
|
|
7,500,000
|
7,542,054
|
|
Electricite de France S.A.,
9.13%(c)(d)(e)
|
|
7,000,000
|
8,289,162
|
|
|
|
|
15,831,216
|
|
Guatemala–0.14%
|
|||
|
Energuate Trust 2.0,
6.35%, 09/15/2035(c)
|
|
2,000,000
|
2,000,284
|
|
India–0.35%
|
|||
|
Muthoot Finance Ltd.,
7.13%, 02/14/2028(c)
|
|
5,000,000
|
5,124,315
|
|
Ireland–0.17%
|
|||
|
BB Blue Financing DAC,
Series A1, 4.40%,
09/20/2037
|
|
2,500,000
|
2,433,273
|
|
Japan–0.36%
|
|||
|
RLGH Finance Bermuda Ltd.,
6.75%, 07/02/2035(c)
|
|
5,000,000
|
5,294,453
|
|
Macau–0.36%
|
|||
|
MGM China Holdings Ltd.,
5.88%,
05/15/2026(c)(h)
|
|
3,520,000
|
3,522,845
|
|
Wynn Macau Ltd., 6.75%,
02/15/2034(c)(h)
|
|
1,750,000
|
1,775,408
|
|
|
|
|
5,298,253
|
|
Mexico–1.23%
|
|||
|
Banco Mercantil del Norte
S.A., 8.38%(c)(d)(e)(h)
|
|
2,500,000
|
2,698,512
|
|
BBVA Bancomer S.A.,
7.63%,
02/11/2035(c)(d)
|
|
6,000,000
|
6,346,454
|
|
CEMEX S.A.B. de C.V.,
5.13%(c)(d)(e)
|
|
3,050,000
|
3,046,944
|
|
Nemak S.A.B. de C.V.,
3.63%, 06/28/2031(c)
|
|
3,750,000
|
3,267,138
|
|
Petroleos Mexicanos,
8.75%, 06/02/2029
|
|
2,500,000
|
2,685,827
|
|
|
|
|
18,044,875
|
|
|
Principal
Amount
|
Value
|
|
|
Netherlands–0.68%
|
|||
|
ING Groep N.V., 5.75%(d)(e)
|
|
$10,000,000
|
$10,065,894
|
|
Peru–0.33%
|
|||
|
Compania de Minas
Buenaventura S.A.A.,
6.80%, 02/04/2032(c)
|
|
2,885,000
|
3,009,849
|
|
Orazul Energy Peru S.A.,
6.25%, 09/17/2032(c)
|
|
1,896,000
|
1,916,407
|
|
|
|
|
4,926,256
|
|
Serbia–0.17%
|
|||
|
Telecommunications Co.
Telekom Srbija AD
Belgrade, 7.00%,
10/28/2029(c)
|
|
2,468,000
|
2,484,233
|
|
Spain–0.35%
|
|||
|
Repsol E&P Capital Markets US LLC,
|
|
|
|
|
4.81%, 09/16/2028(c)
|
|
1,909,000
|
1,931,518
|
|
5.20%, 09/16/2030(c)
|
|
1,934,000
|
1,964,342
|
|
5.98%, 09/16/2035(c)
|
|
1,250,000
|
1,276,707
|
|
|
|
|
5,172,567
|
|
Switzerland–1.53%
|
|||
|
Argentum Netherlands B.V.
for Swiss Re Ltd.,
5.63%,
08/15/2052(c)(d)
|
|
333,000
|
337,888
|
|
Credit Suisse Group AG,
6.25%(c)(d)(e)(i)(j)
|
|
9,800,000
|
2,790,550
|
|
UBS Group AG, 6.33%,
12/22/2027(c)(d)
|
|
10,000,000
|
10,198,389
|
|
Zurich Finance (Ireland)
DAC, 3.50%,
05/02/2052(c)(d)
|
|
5,000,000
|
4,568,288
|
|
Zurich Finance Ireland
Designated Activity Co.,
3.00%,
04/19/2051(c)(d)
|
|
5,000,000
|
4,559,265
|
|
|
|
|
22,454,380
|
|
Thailand–0.14%
|
|||
|
GC Treasury Center Co. Ltd.,
6.50%(c)(d)(e)
|
|
2,029,000
|
2,050,993
|
|
Turkey–0.17%
|
|||
|
Akbank Turk A.S., 7.88%,
09/04/2035(c)(d)
|
|
2,500,000
|
2,570,666
|
|
United Kingdom–2.05%
|
|||
|
Aberdeen Group PLC,
4.25%, 06/30/2028(c)
|
|
2,000,000
|
1,975,850
|
|
B.A.T. Capital Corp.,
3.56%, 08/15/2027
|
|
7,000,000
|
6,957,604
|
|
Beazley Insurance DAC,
5.50%, 09/10/2029(c)
|
|
4,000,000
|
4,106,213
|
|
British Telecommunications
PLC, 4.25%,
11/23/2081(c)(d)
|
|
4,400,000
|
4,383,444
|
|
Hiscox Ltd., 7.00%,
06/11/2036(c)(d)
|
|
2,500,000
|
2,692,657
|
|
Lloyds Banking Group PLC,
6.75%(d)(e)
|
|
10,000,000
|
10,083,910
|
|
|
|
|
30,199,678
|
|
|
Principal
Amount
|
Value
|
|
|
United States–0.21%
|
|||
|
BP Capital Markets PLC,
4.88%(d)(e)(h)
|
|
$1,500,000
|
$1,489,708
|
|
U.S. International
Development Finance
Corp., Series 4, 3.13%,
04/15/2028
|
|
1,600,000
|
1,575,392
|
|
|
|
|
3,065,100
|
|
Uzbekistan–0.14%
|
|||
|
Navoi Mining and
Metallurgical Combinat,
6.70%, 10/17/2028(c)
|
|
2,000,000
|
2,075,407
|
|
Total U.S. Dollar Denominated Bonds & Notes
(Cost $227,893,645)
|
223,869,510
|
||
|
|
|
|
|
|
Asset-Backed Securities–11.43%
|
|||
|
Alba PLC,
|
|
|
|
|
Series 2007-1, Class F,
7.15% (SONIA +
3.37%),
03/17/2039(a)(c)(k)
|
GBP
|
2,298,584
|
2,922,190
|
|
Series 2006-2, Class F,
7.15% (SONIA +
3.37%),
12/15/2038(a)(c)(k)
|
GBP
|
787,644
|
988,665
|
|
Auburn 15 PLC,
|
|
|
|
|
Series E, 5.73% (SONIA
+ 2.00%),
07/20/2045(a)(c)(k)
|
GBP
|
870,000
|
1,173,526
|
|
Series F, 6.23% (SONIA
+ 2.50%),
07/20/2045(a)(c)(k)
|
GBP
|
1,035,000
|
1,397,028
|
|
Eurohome UK Mortgages
PLC, Series 2007-2,
Class B2, 7.90% (SONIA
+ 4.12%),
09/15/2044(a)(c)(k)
|
GBP
|
3,750,000
|
5,062,421
|
|
Eurosail PLC,
Series 2007-4X,
Class D1A, 5.65%
(SONIA + 1.87%),
06/13/2045(a)(c)(k)
|
GBP
|
4,094,013
|
4,913,525
|
|
Eurosail-UK NC PLC,
|
|
|
|
|
Series 2007-1X,
Class D1C, 4.79%
(SONIA + 1.01%),
03/13/2045(a)(c)(k)
|
GBP
|
2,500,000
|
3,010,877
|
|
Series 2007-1X,
Class D1A, 2.94% (3
mo. EURIBOR + 0.84%),
03/13/2045(a)(c)(k)
|
EUR
|
3,967,000
|
4,066,651
|
|
Frontier Mortgage Funding PLC,
|
|
|
|
|
Series 2025-1, Class E,
6.23% (SONIA +
2.50%),
12/20/2066(a)(c)(k)
|
GBP
|
6,442,000
|
8,829,484
|
|
Series 2025-1, Class F,
7.23% (SONIA +
3.50%),
12/20/2066(a)(c)(k)
|
GBP
|
4,628,000
|
6,343,276
|
|
|
Principal
Amount
|
Value
|
|
|
Jupiter Mortgage No.1 PLC,
|
|
|
|
|
Series 1A, Class ER,
7.74% (SONIA +
4.00%),
07/20/2055(a)(c)(k)
|
GBP
|
2,200,000
|
$3,017,671
|
|
Series 1A, Class FR,
8.74% (SONIA +
5.00%),
07/20/2055(a)(c)(k)
|
GBP
|
2,000,000
|
2,743,307
|
|
Ludgate Funding PLC,
Series 2007-1,
Class RES, 0.00%,
01/01/2061(a)(c)(f)(l)
|
GBP
|
207,500,000
|
2,794,181
|
|
Mansard Mortgages PLC,
|
|
|
|
|
Series 2006-1X,
Class B2, 7.36% (SONIA
+ 3.62%),
10/15/2048(a)(c)(k)
|
GBP
|
3,129,741
|
4,222,789
|
|
Series 2007-1X,
Class B2, 6.86% (SONIA
+ 3.12%),
04/15/2049(a)(c)(k)
|
GBP
|
1,891,506
|
2,448,941
|
|
Mortgage Funding PLC,
Series 2008-1, Class B2,
7.10% (SONIA +
3.32%),
03/13/2046(a)(c)(k)
|
GBP
|
6,580,280
|
8,344,657
|
|
Newday Funding Master Issuer PLC,
|
|
|
|
|
Series 2025-1X, Class E,
0.00% (SONIA +
3.30%),
04/15/2033(a)(c)(f)(k)
|
GBP
|
2,700,000
|
3,742,575
|
|
Series 2024-3X, Class E,
7.48% (SONIA +
3.75%),
11/15/2032(a)(c)(k)
|
GBP
|
3,480,000
|
4,858,325
|
|
Newgate Funding PLC,
|
|
|
|
|
Series 2006-2, Class CB,
2.45% (3 mo. EURIBOR
+ 0.43%),
12/01/2050(a)(c)(k)
|
EUR
|
1,412,749
|
1,554,105
|
|
Series 2007-2X,
Class CB, 2.54% (3 mo.
EURIBOR + 0.44%),
12/15/2050(a)(c)(k)
|
EUR
|
1,772,031
|
1,917,867
|
|
Series 2007-1X,
Class CB, 2.44% (3 mo.
EURIBOR + 0.38%),
12/01/2050(a)(c)(k)
|
EUR
|
1,037,130
|
1,111,736
|
|
Series 2007-3X,
Class CB, 3.60% (3 mo.
EURIBOR + 1.50%),
12/15/2050(a)(c)(k)
|
EUR
|
948,308
|
1,083,926
|
|
Pavillion Consumer PLC,
|
|
|
|
|
Series 2025-1A, Class C,
5.33% (SONIA +
1.60%),
01/25/2036(a)(c)(k)
|
GBP
|
10,000,000
|
13,711,308
|
|
Series 2025-1A, Class D,
5.63% (SONIA +
1.90%),
01/25/2036(a)(c)(k)
|
GBP
|
5,000,000
|
6,830,196
|
|
|
Principal
Amount
|
Value
|
|
|
RMAC Securities No. 1 PLC,
|
|
|
|
|
Series 2006-NS4X,
Class B1C, 2.93% (3
mo. EURIBOR + 0.85%),
06/12/2044(a)(c)(k)
|
EUR
|
5,022,712
|
$5,503,149
|
|
Series 2006-NS3X,
Class A2, 4.06% (SONIA
+ 0.27%),
06/12/2044(a)(c)(k)
|
GBP
|
10,141,582
|
13,631,152
|
|
Towd Point Mortgage Funding 2024
- Granite 6 PLC,
|
|
|
|
|
Series 2024-GR6X,
Class F, 8.24% (SONIA +
4.50%),
07/20/2053(a)(c)(k)
|
GBP
|
1,000,000
|
1,370,564
|
|
Series 2024-GR6X,
Class E, 7.24% (SONIA +
3.50%),
07/20/2053(a)(c)(k)
|
GBP
|
1,435,000
|
1,972,694
|
|
Towd Point Mortgage
Funding 2024 - Granite
7 PLC, Series 2024-
GR7X, Class E, 6.98%
(SONIA + 3.25%),
04/20/2051(a)(c)(k)
|
GBP
|
1,125,000
|
1,542,023
|
|
Sestante Finance S.r.l.,
Series 2005, Class C1,
2.82% (3 mo. EURIBOR
+ 0.80%),
07/15/2045(a)(c)(k)
|
EUR
|
9,700,000
|
6,270,835
|
|
IM Pastor 4, FTA, Series B,
2.23% (3 mo. EURIBOR
+ 0.19%),
03/22/2044(a)(c)(k)
|
EUR
|
3,800,000
|
3,266,611
|
|
Fideicomiso Dorrego Y Libertador,
|
|
|
|
|
Series 1A, 2.00%,
12/31/2043(j)
|
ARS
|
10,843,617
|
9,407,922
|
|
0.00%,
12/31/2043(a)(f)(j)
|
ARS
|
117,222,368
|
76,967
|
|
Fideicomiso Financiero
Invernea Proteina 2,
Serie II, 0.00%,
08/25/2032(a)(f)(j)(l)
|
ARS
|
445,000,000
|
2,480,159
|
|
Hera Financing DAC,
|
|
|
|
|
Series 2024-1A, Class B,
6.81% (SONIA +
2.95%),
11/17/2034(a)(c)(k)
|
GBP
|
2,249,806
|
3,098,924
|
|
Series 2024-1A, Class C,
7.61% (SONIA +
3.75%),
11/17/2034(a)(c)(k)
|
GBP
|
1,285,466
|
1,770,631
|
|
Series 2024-1A, Class A,
5.76% (SONIA +
1.90%),
11/17/2034(a)(c)(k)
|
GBP
|
1,607,555
|
2,213,279
|
|
Allied Credit ABS Trust,
Series 2025-2, Class A,
4.43% (1 mo. BBSW +
0.87%),
09/17/2033(a)(c)(k)
|
AUD
|
4,353,105
|
3,031,588
|
|
Latitude Australia Personal
Loans Trust,
Series 2025-1, Class A,
4.56% (1 mo. BBSW +
1.00%),
09/17/2033(a)(c)(k)
|
AUD
|
1,575,976
|
1,099,055
|
|
|
Principal
Amount
|
Value
|
|
|
Panorama Auto Trust,
Series 2025-1, Class A,
4.53% (1 mo. BBSW +
0.97%),
03/15/2033(a)(c)(k)
|
AUD
|
3,058,692
|
$2,132,839
|
|
Pepper Residential
Securities Trust No. 41,
Series A1-A, 4.57% (1
mo. BBSW + 1.00%),
07/12/2067(a)(c)(k)
|
AUD
|
10,000,000
|
6,976,872
|
|
Progress Trust,
Series 2023-2, Class A,
4.72% (1 mo. BBSW +
1.15%),
07/12/2054(a)(k)
|
AUD
|
6,543,292
|
4,593,467
|
|
RAF Trust, Series 2025-1,
Class A, 4.51% (1 mo.
BBSW + 0.95%),
12/09/2031(a)(c)(k)
|
AUD
|
866,394
|
604,008
|
|
Total Asset-Backed Securities
(Cost $170,281,996)
|
168,131,966
|
||
|
U.S. Treasury Securities–6.87%
|
|||
|
U.S. Treasury Bills–6.87%
|
|||
|
3.56 - 4.14%,
05/14/2026
(Cost $100,970,224)(m)(n)(o)
|
|
$100,970,224
|
101,078,567
|
|
|
Shares |
|
|
|
Common Stocks & Other Equity Interests–3.55%
|
|||
|
Argentina–3.55%
|
|||
|
Banco BBVA Argentina S.A.
|
1,484,411
|
10,408,672
|
|
|
Banco Macro S.A., Class B
|
1,558,631
|
16,494,813
|
|
|
Cresud S.A. Comercial Inmobiliaria
Financiera y Agropecuaria
|
513,579
|
718,510
|
|
|
Grupo Financiero Galicia S.A.,
Class B
|
3,232,725
|
18,562,454
|
|
|
Pampa Energia S.A., ADR(h)(p)
|
19,334
|
1,675,098
|
|
|
YPF S.A., Class D(p)
|
103,200
|
4,260,874
|
|
|
Total Common Stocks & Other Equity Interests
(Cost $34,719,046)
|
52,120,421
|
||
|
|
Principal
Amount
|
|
|
|
Commercial Paper–0.08%
|
|||
|
Argentina–0.08%
|
|||
|
TMF Trust Co. (Argentina) S.A.,
12.00%, 07/08/2026(j)(o)
|
364,281
|
366,665
|
|
|
|
Principal
Amount
|
Value
|
|
|
Argentina–(continued)
|
|||
|
TMF Trust Co. (Argentina) S.A.,
12.00%, 01/07/2027(j)(o)
|
500,772
|
$507,510
|
|
|
TMF Trust Co. (Argentina) S.A.,
12.00%, 04/07/2027(j)(o)
|
221,853
|
225,534
|
|
|
Total Commercial Paper (Cost $1,086,906)
|
1,099,709
|
||
|
|
Shares |
|
|
|
Money Market Funds–8.01%
|
|||
|
Invesco Government & Agency
Portfolio, Institutional Class,
3.61%(q)(r)
|
41,237,299
|
41,237,299
|
|
|
Invesco Treasury Portfolio,
Institutional Class, 3.57%(q)(r)
|
76,583,556
|
76,583,556
|
|
|
Total Money Market Funds (Cost $117,820,855)
|
117,820,855
|
||
|
|
|||
|
Options Purchased–6.39%
|
|||
|
(Cost $100,975,700)(s)
|
93,971,715
|
||
|
TOTAL INVESTMENTS IN
SECURITIES (excluding
Investments purchased
with cash collateral from
securities on
loan)-99.10%
(Cost $1,430,303,355)
|
|
|
1,457,253,215
|
|
Investments Purchased with Cash Collateral from
Securities on Loan
|
|||
|
Money Market Funds–0.57%
|
|||
|
Invesco Private Government Fund,
3.65%(q)(r)(t)
|
2,602,405
|
2,602,405
|
|
|
Invesco Private Prime Fund,
3.80%(q)(r)(t)
|
5,796,090
|
5,797,829
|
|
|
Total Investments Purchased with Cash Collateral
from Securities on Loan (Cost $8,400,234)
|
8,400,234
|
||
|
TOTAL INVESTMENTS IN SECURITIES—99.67%
(Cost $1,438,703,589)
|
1,465,653,449
|
||
|
OTHER ASSETS LESS LIABILITIES–0.33%
|
4,802,805
|
||
|
NET ASSETS–100.00%
|
$1,470,456,254
|
||
|
ADR
|
– American Depositary Receipt
|
|
ARS
|
– Argentina Peso
|
|
AUD
|
– Australian Dollar
|
|
BBSW
|
– Bank Bill Swap Rate
|
|
BRL
|
– Brazilian Real
|
|
CAD
|
– Canadian Dollar
|
|
COP
|
– Colombia Peso
|
|
EUR
|
– Euro
|
|
EURIBOR
|
– Euro Interbank Offered Rate
|
|
GBP
|
– British Pound Sterling
|
|
INR
|
– Indian Rupee
|
|
MXN
|
– Mexican Peso
|
|
SONIA
|
– Sterling Overnight Index Average
|
|
ZAR
|
– South African Rand
|
|
(a)
|
Foreign denominated security. Principal amount is denominated in the currency indicated.
|
|
(b)
|
Security has an irrevocable call by the issuer or mandatory put by the holder. Maturity
date reflects such call or put.
|
|
(c)
|
Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be
resold pursuant to an exemption from registration under the 1933 Act, typically to
qualified institutional buyers. The aggregate value of these securities at
January 31, 2026 was $540,882,292, which represented 36.78% of the Fund’s Net Assets.
|
|
(d)
|
Security issued at a fixed rate for a specific period of time, after which it will
convert to a variable rate.
|
|
(e)
|
Perpetual bond with no specified maturity date.
|
|
(f)
|
Zero coupon bond issued at a discount.
|
|
(g)
|
Step coupon bond. The interest rate represents the coupon rate at which the bond will
accrue at a specified future date.
|
|
(h)
|
All or a portion of this security was out on loan at January 31, 2026.
|
|
(i)
|
Defaulted security. Currently, the issuer is in default with respect to principal
and/or interest payments. The value of this security at January 31, 2026
represented less than 1% of the Fund’s Net Assets.
|
|
(j)
|
Security valued using significant unobservable inputs (Level 3). See Note 1.
|
|
(k)
|
Interest or dividend rate is redetermined periodically. Rate shown is the rate in
effect on January 31, 2026.
|
|
(l)
|
Interest rate is redetermined periodically based on the cash flows generated by the
pool of assets backing the security, less any applicable fees. The rate shown is
the rate in effect on January 31, 2026.
|
|
(m)
|
All or a portion of the value was pledged as collateral to cover margin requirements
for open futures contracts.
|
|
(n)
|
All or a portion of the value was designated as collateral to cover margin requirements
for swap agreements.
|
|
(o)
|
Security traded on a discount basis. The interest rate shown represents the discount
rate at the time of purchase by the Fund.
|
|
(p)
|
Non-income producing security.
|
|
(q)
|
Affiliated holding. Affiliated holdings are investments in entities which are under
common ownership or control of Invesco Ltd. or are investments in entities in
which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in
affiliates for the three months ended January 31, 2026.
|
|
|
Value
October 31, 2025
|
Purchases
at Cost
|
Proceeds
from Sales
|
Change in
Unrealized
Appreciation
|
Realized
Gain
(Loss)
|
Value
January 31, 2026
|
Dividend Income
|
|
Investments in Affiliated Money Market Funds:
|
|
|
|
|
|
|
|
|
Invesco Government & Agency Portfolio,
Institutional Class
|
$63,741,013
|
$68,093,149
|
$(90,596,863)
|
$-
|
$-
|
$41,237,299
|
$391,306
|
|
Invesco Treasury Portfolio, Institutional Class
|
118,376,168
|
126,458,705
|
(168,251,317)
|
-
|
-
|
76,583,556
|
718,223
|
|
Investments Purchased with Cash Collateral
from Securities on Loan:
|
|
|
|
|
|
|
|
|
Invesco Private Government Fund
|
4,151,180
|
13,237,922
|
(14,786,697)
|
-
|
-
|
2,602,405
|
31,394*
|
|
Invesco Private Prime Fund
|
10,805,657
|
17,515,783
|
(22,523,611)
|
29
|
(29)
|
5,797,829
|
85,364*
|
|
Total
|
$197,074,018
|
$225,305,559
|
$(296,158,488)
|
$29
|
$(29)
|
$126,221,089
|
$1,226,287
|
|
*
|
Represents the income earned on the investment of cash collateral. Does not include
rebates and fees paid to lending agent or premiums received from
borrowers, if any.
|
|
(r)
|
The rate shown is the 7-day SEC standardized yield as of January 31, 2026.
|
|
(s)
|
The table below details options purchased.
|
|
(t)
|
The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of
the securities loaned.
|
|
Open Over-The-Counter Foreign Currency Options Purchased(a)
|
||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
Notional
Value
|
Value
|
||
|
Currency Risk
|
||||||||
|
AUD versus USD
|
Call
|
Deutsche Bank AG
|
04/24/2026
|
USD
|
0.72
|
AUD
|
7,500,000
|
$1,238,400
|
|
AUD versus USD
|
Call
|
Merrill Lynch International
|
06/01/2026
|
USD
|
0.72
|
AUD
|
7,500,000
|
498,912
|
|
AUD versus USD
|
Call
|
Merrill Lynch International
|
07/20/2026
|
USD
|
0.68
|
AUD
|
50,000,000
|
1,310,566
|
|
EUR versus USD
|
Call
|
Goldman Sachs International
|
03/26/2026
|
USD
|
1.21
|
EUR
|
125,000,000
|
98,088
|
|
EUR versus USD
|
Call
|
Goldman Sachs International
|
04/20/2026
|
USD
|
1.20
|
EUR
|
10,000,000
|
1,078,656
|
|
EUR versus USD
|
Call
|
Goldman Sachs International
|
05/06/2026
|
USD
|
1.20
|
EUR
|
7,500,000
|
712,463
|
|
EUR versus USD
|
Call
|
Goldman Sachs International
|
05/18/2026
|
USD
|
1.20
|
EUR
|
10,000,000
|
879,873
|
|
EUR versus USD
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
03/19/2026
|
USD
|
1.20
|
EUR
|
5,830,000
|
670,431
|
|
EUR versus USD
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
04/20/2026
|
USD
|
1.20
|
EUR
|
5,840,000
|
506,757
|
|
EUR versus USD
|
Call
|
Merrill Lynch International
|
05/08/2026
|
USD
|
1.35
|
EUR
|
16,670,000
|
203,229
|
|
Subtotal — Foreign Currency Call Options Purchased
|
7,197,375
|
|||||||
|
Open Over-The-Counter Foreign Currency Options Purchased(a)—(continued)
|
||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
Notional
Value
|
Value
|
||
|
Currency Risk
|
||||||||
|
CHF versus JPY
|
Put
|
Deutsche Bank AG
|
07/27/2026
|
JPY
|
160.00
|
CHF
|
12,500,000
|
$56,093
|
|
CHF versus JPY
|
Put
|
Goldman Sachs International
|
07/21/2027
|
JPY
|
147.00
|
CHF
|
20,000,000
|
208,473
|
|
CHF versus JPY
|
Put
|
UBS AG
|
09/17/2026
|
JPY
|
161.00
|
CHF
|
7,500,000
|
64,750
|
|
CHF versus JPY
|
Put
|
UBS AG
|
10/23/2026
|
JPY
|
165.00
|
CHF
|
7,500,000
|
125,639
|
|
CHF versus JPY
|
Put
|
UBS AG
|
01/20/2027
|
JPY
|
170.00
|
CHF
|
7,500,000
|
301,892
|
|
EUR versus BRL
|
Put
|
Goldman Sachs International
|
07/16/2026
|
BRL
|
6.00
|
EUR
|
10,000,000
|
1,700,751
|
|
EUR versus BRL
|
Put
|
Goldman Sachs International
|
07/23/2026
|
BRL
|
6.00
|
EUR
|
6,250,000
|
1,075,186
|
|
GBP versus USD
|
Put
|
UBS AG
|
02/23/2026
|
USD
|
1.30
|
GBP
|
62,500,000
|
2,908
|
|
USD versus BRL
|
Put
|
Barclays Bank PLC
|
04/30/2026
|
BRL
|
5.15
|
USD
|
2,500,000
|
420,122
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
04/23/2026
|
BRL
|
5.25
|
USD
|
5,000,000
|
358,590
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
05/11/2026
|
BRL
|
5.30
|
USD
|
50,000,000
|
938,550
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
05/27/2026
|
BRL
|
5.10
|
USD
|
7,500,000
|
441,645
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
06/25/2026
|
BRL
|
5.40
|
USD
|
50,000,000
|
1,450,750
|
|
USD versus BRL
|
Put
|
Merrill Lynch International
|
05/21/2026
|
BRL
|
5.35
|
USD
|
50,000,000
|
1,172,050
|
|
USD versus CAD
|
Put
|
Deutsche Bank AG
|
05/06/2026
|
CAD
|
1.20
|
USD
|
12,500,000
|
45,312
|
|
USD versus CLP
|
Put
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
855.00
|
USD
|
50,000,000
|
1,654,300
|
|
USD versus INR
|
Put
|
Goldman Sachs International
|
05/22/2026
|
INR
|
82.00
|
USD
|
10,000,000
|
14,550
|
|
USD versus INR
|
Put
|
Goldman Sachs International
|
05/22/2026
|
INR
|
87.00
|
USD
|
6,250,000
|
112,900
|
|
USD versus INR
|
Put
|
Merrill Lynch International
|
05/26/2026
|
INR
|
87.00
|
USD
|
7,500,000
|
140,392
|
|
USD versus JPY
|
Put
|
BNP Paribas S.A.
|
02/16/2026
|
JPY
|
145.00
|
USD
|
175,000,000
|
67,550
|
|
USD versus JPY
|
Put
|
Goldman Sachs International
|
02/16/2026
|
JPY
|
143.00
|
USD
|
10,000,000
|
86,300
|
|
USD versus JPY
|
Put
|
Goldman Sachs International
|
05/06/2026
|
JPY
|
110.00
|
USD
|
50,000,000
|
22,950
|
|
USD versus JPY
|
Put
|
Goldman Sachs International
|
05/12/2027
|
JPY
|
120.00
|
USD
|
12,500,000
|
326,475
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
08/18/2027
|
JPY
|
117.50
|
USD
|
12,500,000
|
332,250
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
11/11/2027
|
JPY
|
115.00
|
USD
|
12,500,000
|
317,375
|
|
USD versus KRW
|
Put
|
Deutsche Bank AG
|
05/20/2026
|
KRW
|
1,200.00
|
USD
|
5,000,000
|
8,890
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
05/15/2026
|
KRW
|
1,300.00
|
USD
|
116,670,000
|
34,184
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
07/23/2026
|
KRW
|
1,350.00
|
USD
|
125,000,000
|
611,625
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
06/04/2027
|
KRW
|
1,200.00
|
USD
|
12,500,000
|
428,362
|
|
USD versus MXN
|
Put
|
Merrill Lynch International
|
04/27/2026
|
MXN
|
16.50
|
USD
|
5,000,000
|
286,240
|
|
USD versus MXN
|
Put
|
Merrill Lynch International
|
07/13/2026
|
MXN
|
17.90
|
USD
|
125,000,000
|
4,183,375
|
|
USD versus ZAR
|
Put
|
Deutsche Bank AG
|
04/29/2026
|
ZAR
|
15.85
|
USD
|
75,000,000
|
893,925
|
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
07/23/2026
|
ZAR
|
16.05
|
USD
|
50,000,000
|
1,177,950
|
|
USD versus ZAR
|
Put
|
Merrill Lynch International
|
04/13/2026
|
ZAR
|
16.30
|
USD
|
50,000,000
|
1,207,300
|
|
USD versus ZAR
|
Put
|
Morgan Stanley and Co.
International PLC
|
07/30/2026
|
ZAR
|
15.80
|
USD
|
25,000,000
|
440,600
|
|
USD versus ZAR
|
Put
|
UBS AG
|
04/29/2026
|
ZAR
|
15.75
|
USD
|
100,000,000
|
96,700
|
|
Subtotal — Foreign Currency Put Options Purchased
|
20,806,904
|
|||||||
|
Total Foreign Currency Options Purchased
|
$28,004,279
|
|||||||
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $45,573,359.
|
|
Open Over-The-Counter Interest Rate Swaptions Purchased(a)
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Pay/
Receive
Exercise
Rate
|
Floating Rate
Index
|
Payment
Frequency
|
Expiration
Date
|
Notional
Value
|
Value
|
|
|
Interest Rate Risk
|
||||||||||
|
1 Year Interest Rate Swap
|
Call
|
Goldman Sachs
International
|
3.45%
|
Receive
|
SONIA
|
At Maturity
|
08/05/2026
|
GBP
|
250,000,000
|
$444,406
|
|
10 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
3.70
|
Receive
|
SOFR
|
Annually
|
09/24/2035
|
USD
|
33,333,333
|
1,376,261
|
|
2 Year Interest Rate Swap
|
Call
|
Goldman Sachs
International
|
2.85
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
09/12/2030
|
EUR
|
195,560,000
|
1,768,149
|
|
20 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.12
|
Receive
|
SOFR
|
Annually
|
10/17/2035
|
USD
|
66,670,000
|
1,386,498
|
|
5 Year Interest Rate Swap
|
Call
|
J.P. Morgan Chase Bank,
N.A.
|
3.98
|
Receive
|
SOFR
|
Annually
|
11/06/2030
|
USD
|
250,000,000
|
6,700,950
|
|
5 Year Interest Rate Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.36
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
02/06/2026
|
EUR
|
93,330,000
|
985
|
|
5 Year Interest Rate Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.38
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
06/24/2026
|
EUR
|
98,330,000
|
256,217
|
|
Subtotal — Interest Rate Call Swaptions Purchased
|
|
|
|
|
|
|
|
11,933,466
|
||
|
Interest Rate Risk
|
||||||||||
|
10 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
5.20
|
Pay
|
SOFR
|
Annually
|
09/24/2035
|
USD
|
33,333,333
|
2,043,526
|
|
15 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
1.76
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
03/15/2039
|
EUR
|
60,000,000
|
13,890,244
|
|
20 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
6.12
|
Pay
|
SOFR
|
Annually
|
10/17/2035
|
USD
|
66,670,000
|
3,939,754
|
|
30 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
3.00
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
01/20/2027
|
EUR
|
33,330,000
|
2,621,582
|
|
30 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
4.26
|
Pay
|
SOFR
|
Annually
|
01/27/2028
|
USD
|
48,330,000
|
3,190,279
|
|
30 Year Interest Rate
Swap
|
Put
|
Merrill Lynch International
|
4.34
|
Pay
|
SOFR
|
Annually
|
01/08/2031
|
USD
|
23,330,000
|
2,148,718
|
|
30 Year Interest Rate
Swap
|
Put
|
Mizuho Capital
Markets LLC/New York
|
4.27
|
Pay
|
SOFR
|
Annually
|
01/08/2029
|
USD
|
33,330,000
|
2,665,386
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.15
|
Pay
|
SOFR
|
Annually
|
11/04/2026
|
USD
|
176,670,000
|
8,232,515
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.26
|
Pay
|
SOFR
|
Annually
|
01/10/2028
|
USD
|
50,330,000
|
3,277,101
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.28
|
Pay
|
SOFR
|
Annually
|
01/27/2028
|
USD
|
46,670,000
|
3,033,605
|
|
5 Year Interest Rate Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
3.98
|
Pay
|
SOFR
|
Annually
|
11/06/2030
|
USD
|
250,000,000
|
8,991,260
|
|
Subtotal — Interest Rate Put Swaptions Purchased
|
|
|
|
|
|
|
|
54,033,970
|
||
|
Total Interest Rate Swaptions Purchased
|
|
|
|
|
|
|
|
$65,967,436
|
||
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $45,573,359.
|
|
Open Exchange-Traded Futures Options Written
|
||||||||
|
Description
|
Type of
Contract
|
Expiration
Date
|
Number of
Contracts
|
Exercise
Price
|
Notional
Value(a)
|
Value
|
||
|
Interest Rate Risk
|
||||||||
|
U.S. Treasury 10 Year Notes
|
Call
|
03/27/2026
|
3,333
|
USD
|
113.50
|
USD
|
378,295,500
|
$(677,016
)
|
|
Interest Rate Risk
|
||||||||
|
U.S. Treasury 10 Year Notes
|
Put
|
03/27/2026
|
3,333
|
USD
|
111.00
|
USD
|
369,963,000
|
(1,458,187
)
|
|
Total Exchange-Traded Future Options Written
|
|
|
|
$(2,135,203
)
|
||||
|
(a) Notional Value is calculated by multiplying the Number of Contracts by the Exercise
Price by the multiplier.
|
|
Open Over-The-Counter Credit Default Swaptions Written(a)
|
||||||||||||
|
Counterparty
|
Type of
Contract
|
Exercise
Rate
|
Reference
Entity
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Expiration
Date
|
Implied
Credit
Spread(b)
|
|
Notional
Value
|
|
Value
|
|
|
Credit Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
Put
|
70.00
%
|
Markit CDX North America
Investment Grade Index, Series 45,
Version 1
|
(1.00
)%
|
Quarterly
|
04/15/2026
|
0.495
%
|
|
USD
|
100,000,000
|
|
$(47,655
)
|
|
J.P. Morgan Chase Bank, N.A.
|
Put
|
350.00
|
Markit iTraxx Europe Crossover
Index, Series 44, Version 1
|
(5.00
)
|
Quarterly
|
03/18/2026
|
2.468
|
|
EUR
|
100,000,000
|
|
(142,154
)
|
|
Total Credit Default Swaptions Written
|
|
|
|
|
|
|
|
|
|
|
$(189,809
)
|
|
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $45,573,359.
|
|
(b)
|
Implied credit spreads represent the current level, as of January 31, 2026, at which
protection could be bought or sold given the terms of the existing credit
default swap agreement and serve as an indicator of the current status of the payment/performance
risk of the credit default swap agreement. An implied credit
spread that has widened or increased since entry into the initial agreement may indicate
a deteriorating credit profile and increased risk of default for the
reference entity. A declining or narrowing spread may indicate an improving credit
profile or decreased risk of default for the reference entity. Alternatively, credit
spreads may increase or decrease reflecting the general tolerance for risk in the
credit markets generally.
|
|
Open Over-The-Counter Foreign Currency Options Written(a)
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
|
Notional
Value
|
|
Value
|
||
|
Currency Risk
|
||||||||||
|
AUD versus USD
|
Call
|
Merrill Lynch International
|
07/20/2026
|
USD
|
0.72
|
|
AUD
|
50,000,000
|
|
$(537,722
)
|
|
EUR versus BRL
|
Call
|
Goldman Sachs International
|
07/16/2026
|
BRL
|
6.75
|
|
EUR
|
5,000,000
|
|
(1,789,024
)
|
|
EUR versus BRL
|
Call
|
Goldman Sachs International
|
07/23/2026
|
BRL
|
6.75
|
|
EUR
|
3,125,000
|
|
(1,160,024
)
|
|
EUR versus MXN
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
07/07/2026
|
MXN
|
22.65
|
|
EUR
|
75,000,000
|
|
(626,665
)
|
|
USD versus BRL
|
Call
|
Goldman Sachs International
|
01/26/2027
|
BRL
|
5.75
|
|
USD
|
25,000,000
|
|
(1,384,575
)
|
|
USD versus BRL
|
Call
|
Goldman Sachs International
|
07/06/2027
|
BRL
|
6.75
|
|
USD
|
75,000,000
|
|
(2,345,100
)
|
|
USD versus BRL
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
05/11/2026
|
BRL
|
6.00
|
|
USD
|
50,000,000
|
|
(211,200
)
|
|
USD versus BRL
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
06/25/2026
|
BRL
|
6.00
|
|
USD
|
25,000,000
|
|
(205,250
)
|
|
USD versus BRL
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
07/10/2026
|
BRL
|
7.00
|
|
USD
|
33,350,000
|
|
(50,192
)
|
|
USD versus BRL
|
Call
|
Merrill Lynch International
|
05/21/2026
|
BRL
|
5.75
|
|
USD
|
50,000,000
|
|
(484,100
)
|
|
USD versus BRL
|
Call
|
Merrill Lynch International
|
07/03/2026
|
BRL
|
6.00
|
|
USD
|
75,000,000
|
|
(674,175
)
|
|
USD versus CLP
|
Call
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
950.00
|
|
USD
|
50,000,000
|
|
(979,800
)
|
|
USD versus IDR
|
Call
|
Goldman Sachs International
|
08/13/2026
|
IDR
|
17,000.00
|
|
USD
|
50,000,000
|
|
(869,100
)
|
|
USD versus KRW
|
Call
|
Merrill Lynch International
|
07/23/2026
|
KRW
|
1,480.00
|
|
USD
|
50,000,000
|
|
(666,350
)
|
|
USD versus MXN
|
Call
|
Merrill Lynch International
|
07/13/2026
|
MXN
|
19.20
|
|
USD
|
125,000,000
|
|
(868,750
)
|
|
USD versus TRY
|
Call
|
Goldman Sachs International
|
01/25/2027
|
TRY
|
55.75
|
|
USD
|
87,500,000
|
|
(6,432,737
)
|
|
USD versus ZAR
|
Call
|
Deutsche Bank AG
|
04/29/2026
|
ZAR
|
16.80
|
|
USD
|
75,000,000
|
|
(839,850
)
|
|
USD versus ZAR
|
Call
|
Goldman Sachs International
|
07/23/2026
|
ZAR
|
17.00
|
|
USD
|
50,000,000
|
|
(911,550
)
|
|
USD versus ZAR
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
02/01/2027
|
ZAR
|
18.35
|
|
USD
|
50,000,000
|
|
(947,900
)
|
|
USD versus ZAR
|
Call
|
Merrill Lynch International
|
04/13/2026
|
ZAR
|
17.10
|
|
USD
|
50,000,000
|
|
(319,000
)
|
|
USD versus ZAR
|
Call
|
Morgan Stanley and Co.
International PLC
|
07/30/2026
|
ZAR
|
17.10
|
|
USD
|
25,000,000
|
|
(439,900
)
|
|
Subtotal — Foreign Currency Call Options Written
|
|
|
|
|
|
|
(22,742,964
)
|
|||
|
Currency Risk
|
||||||||||
|
AUD versus USD
|
Put
|
Deutsche Bank AG
|
07/23/2026
|
USD
|
0.66
|
|
AUD
|
45,000,000
|
|
(256,483
)
|
|
AUD versus USD
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
01/06/2027
|
USD
|
0.62
|
|
AUD
|
100,000,000
|
|
(575,116
)
|
|
AUD versus USD
|
Put
|
Merrill Lynch International
|
07/20/2026
|
USD
|
0.65
|
|
AUD
|
50,000,000
|
|
(206,851
)
|
|
USD versus BRL
|
Put
|
Goldman Sachs International
|
07/06/2027
|
BRL
|
5.30
|
|
USD
|
75,000,000
|
|
(2,326,275
)
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
05/11/2026
|
BRL
|
5.00
|
|
USD
|
50,000,000
|
|
(131,600
)
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
06/25/2026
|
BRL
|
5.05
|
|
USD
|
50,000,000
|
|
(285,050
)
|
|
USD versus BRL
|
Put
|
Merrill Lynch International
|
05/21/2026
|
BRL
|
5.05
|
|
USD
|
50,000,000
|
|
(210,450
)
|
|
USD versus CLP
|
Put
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
805.00
|
|
USD
|
100,000,000
|
|
(1,372,400
)
|
|
USD versus CLP
|
Put
|
Morgan Stanley and Co.
International PLC
|
03/05/2026
|
CLP
|
885.00
|
|
USD
|
50,000,000
|
|
(1,082,450
)
|
|
USD versus MXN
|
Put
|
Merrill Lynch International
|
07/13/2026
|
MXN
|
17.10
|
|
USD
|
125,000,000
|
|
(1,400,750
)
|
|
Open Over-The-Counter Foreign Currency Options Written(a)—(continued)
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
|
Notional
Value
|
|
Value
|
||
|
USD versus ZAR
|
Put
|
Deutsche Bank AG
|
04/29/2026
|
ZAR
|
15.20
|
|
USD
|
75,000,000
|
|
$(222,225
)
|
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
03/11/2026
|
ZAR
|
17.50
|
|
USD
|
25,000,000
|
|
(2,112,375
)
|
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
07/23/2026
|
ZAR
|
15.45
|
|
USD
|
50,000,000
|
|
(524,250
)
|
|
USD versus ZAR
|
Put
|
Merrill Lynch International
|
04/13/2026
|
ZAR
|
15.80
|
|
USD
|
50,000,000
|
|
(477,300
)
|
|
USD versus ZAR
|
Put
|
Morgan Stanley and Co.
International PLC
|
07/30/2026
|
ZAR
|
14.90
|
|
USD
|
25,000,000
|
|
(116,900
)
|
|
Subtotal — Foreign Currency Put Options Written
|
|
|
|
|
|
|
(11,300,475
)
|
|||
|
Total Foreign Currency Options Written
|
|
|
|
|
|
|
$(34,043,439
)
|
|||
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $45,573,359.
|
|
Open Over-The-Counter Interest Rate Swaptions Written(a)
|
||||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Floating
Rate Index
|
Pay/
Receive
Exercise
Rate
|
Payment
Frequency
|
Expiration
Date
|
|
Notional
Value
|
|
Value
|
|
|
Interest Rate Risk
|
||||||||||||
|
5 Year Interest Rate Swap
|
Call
|
BNP Paribas S.A.
|
3.35%
|
SOFR
|
Receive
|
Annually
|
07/29/2026
|
|
USD
|
100,000,000
|
|
$(522,333
)
|
|
30 Year Interest Rate
Swap
|
Call
|
BNP Paribas S.A.
|
3.00
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
01/28/2027
|
|
EUR
|
35,530,000
|
|
(1,093,444
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.50
|
SOFR
|
Receive
|
Annually
|
04/07/2026
|
|
USD
|
337,500,000
|
|
(447,157
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.40
|
SOFR
|
Receive
|
Annually
|
03/09/2026
|
|
USD
|
215,600,000
|
|
(40,552
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.02
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
09/12/2030
|
|
EUR
|
17,780,000
|
|
(1,402,264
)
|
|
1 Year Interest Rate Swap
|
Call
|
Goldman Sachs
International
|
3.25
|
SONIA
|
Receive
|
At Maturity
|
08/05/2026
|
|
GBP
|
250,000,000
|
|
(206,272
)
|
|
30 Year Interest Rate
Swap
|
Call
|
J.P. Morgan Chase Bank,
N.A.
|
2.42
|
SOFR
|
Receive
|
Annually
|
07/11/2029
|
|
USD
|
40,000,000
|
|
(583,929
)
|
|
30 Year Interest Rate
Swap
|
Call
|
J.P. Morgan Chase Bank,
N.A.
|
4.06
|
SOFR
|
Receive
|
Annually
|
11/06/2030
|
|
USD
|
65,000,000
|
|
(5,630,296
)
|
|
5 Year Interest Rate Swap
|
Call
|
J.P. Morgan Chase Bank,
N.A.
|
3.30
|
SOFR
|
Receive
|
Annually
|
01/06/2027
|
|
USD
|
166,670,000
|
|
(1,141,619
)
|
|
5 Year Interest Rate Swap
|
Call
|
Merrill Lynch International
|
3.15
|
SOFR
|
Receive
|
Annually
|
01/08/2027
|
|
USD
|
100,000,000
|
|
(503,304
)
|
|
5 Year Interest Rate Swap
|
Call
|
Merrill Lynch International
|
3.25
|
SOFR
|
Receive
|
Annually
|
01/19/2027
|
|
USD
|
166,666,667
|
|
(1,052,127
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Merrill Lynch International
|
3.00
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
01/28/2027
|
|
EUR
|
27,420,000
|
|
(843,857
)
|
|
50 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.85
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
03/04/2026
|
|
EUR
|
20,000,000
|
|
(75,615
)
|
|
50 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.90
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
03/16/2026
|
|
EUR
|
33,330,000
|
|
(293,077
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
3.00
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
01/28/2028
|
|
EUR
|
11,840,000
|
|
(579,749
)
|
|
Subtotal—Interest Rate Call Swaptions Written
|
|
|
|
|
|
|
|
(14,415,595
)
|
||||
|
Interest Rate Risk
|
||||||||||||
|
30 Year Interest Rate
Swap
|
Put
|
Barclays Bank PLC
|
5.55
|
SONIA
|
Pay
|
Annually
|
05/10/2027
|
|
GBP
|
33,330,000
|
|
(705,698
)
|
|
5 Year Interest Rate Swap
|
Put
|
BNP Paribas S.A.
|
3.70
|
SOFR
|
Pay
|
Annually
|
07/29/2026
|
|
USD
|
100,000,000
|
|
(584,535
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
3.50
|
6 Month
EURIBOR
|
Pay
|
Semi-Annually
|
01/20/2027
|
|
EUR
|
66,670,000
|
|
(1,725,192
)
|
|
1 Year Interest Rate Swap
|
Put
|
Goldman Sachs
International
|
3.75
|
SONIA
|
Pay
|
At Maturity
|
08/05/2026
|
|
GBP
|
250,000,000
|
|
(114,353
)
|
|
2 Year Interest Rate Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
3.58
|
SOFR
|
Pay
|
Annually
|
01/27/2028
|
|
USD
|
425,000,000
|
|
(3,163,883
)
|
|
5 Year Interest Rate Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
3.80
|
SOFR
|
Pay
|
Annually
|
01/06/2027
|
|
USD
|
166,670,000
|
|
(1,467,234
)
|
|
Open Over-The-Counter Interest Rate Swaptions Written(a)—(continued)
|
||||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Floating
Rate Index
|
Pay/
Receive
Exercise
Rate
|
Payment
Frequency
|
Expiration
Date
|
|
Notional
Value
|
|
Value
|
|
|
30 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
4.06%
|
SOFR
|
Pay
|
Annually
|
11/06/2030
|
|
USD
|
65,000,000
|
|
$(8,350,601
)
|
|
5 Year Interest Rate Swap
|
Put
|
Merrill Lynch International
|
3.65
|
SOFR
|
Pay
|
Annually
|
01/19/2027
|
|
USD
|
166,666,667
|
|
(2,005,167
)
|
|
1 Year Interest Rate Swap
|
Put
|
Merrill Lynch International
|
3.93
|
SOFR
|
Pay
|
At Maturity
|
01/08/2031
|
|
USD
|
333,330,000
|
|
(2,033,120
)
|
|
5 Year Interest Rate Swap
|
Put
|
Merrill Lynch International
|
3.55
|
SOFR
|
Pay
|
Annually
|
01/08/2027
|
|
USD
|
100,000,000
|
|
(1,397,345
)
|
|
10 Year Interest Rate
Swap
|
Put
|
Merrill Lynch International
|
5.00
|
6 Month
BBSW
|
Pay
|
Semi-Annually
|
12/11/2026
|
|
AUD
|
250,000,000
|
|
(3,713,326
)
|
|
10 Year Interest Rate
Swap
|
Put
|
Merrill Lynch International
|
5.00
|
6 Month
BBSW
|
Pay
|
Semi-Annually
|
12/04/2026
|
|
AUD
|
100,000,000
|
|
(1,457,503
)
|
|
10 Year Interest Rate
Swap
|
Put
|
Mizuho Capital
Markets LLC/New York
|
4.20
|
SOFR
|
Pay
|
Annually
|
01/08/2029
|
|
USD
|
68,000,000
|
|
(2,736,774
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.25
|
6 Month
EURIBOR
|
Pay
|
Semi-Annually
|
07/16/2026
|
|
EUR
|
44,000,000
|
|
(1,164,823
)
|
|
2 Year Interest Rate Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.59
|
SOFR
|
Pay
|
Annually
|
01/27/2028
|
|
USD
|
400,000,000
|
|
(2,950,628
)
|
|
1 Year Interest Rate Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.50
|
SOFR
|
Pay
|
At Maturity
|
01/07/2028
|
|
USD
|
1,666,700,000
|
|
(6,159,623
)
|
|
5 Year Interest Rate Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.78
|
SOFR
|
Pay
|
Annually
|
01/10/2028
|
|
USD
|
186,670,000
|
|
(3,435,611
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
5.00
|
SONIA
|
Pay
|
Annually
|
10/22/2027
|
|
GBP
|
53,335,000
|
|
(3,261,215
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.50
|
SOFR
|
Pay
|
Annually
|
11/04/2026
|
|
USD
|
176,670,000
|
|
(3,982,027
)
|
|
Subtotal—Interest Rate Put Swaptions Written
|
|
|
|
|
|
|
|
(50,408,658
)
|
||||
|
Total Interest Rate Swaptions Written
|
|
|
|
|
|
|
|
$(64,824,253
)
|
||||
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $45,573,359.
|
|
Open Futures Contracts(a)
|
|||||
|
Long Futures Contracts
|
Number of
Contracts
|
Expiration
Month
|
Notional
Value
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Interest Rate Risk
|
|||||
|
U.S. Treasury 2 Year Notes
|
3,530
|
March-2026
|
$735,977,424
|
$(584,504
)
|
$(584,504
)
|
|
Short Futures Contracts
|
|
|
|
|
|
|
Interest Rate Risk
|
|||||
|
U.S. Treasury 10 Year Ultra Notes
|
1,431
|
March-2026
|
(163,357,594
)
|
(223,130
)
|
(223,130
)
|
|
Total Futures Contracts
|
$(807,634
)
|
$(807,634
)
|
|||
|
(a)
|
Futures contracts collateralized by $1,531,555 cash held with Merrill Lynch International,
the futures commission merchant.
|
|
Open Forward Foreign Currency Contracts
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
Currency Risk
|
|
|
|
|
|
|
|
03/18/2026
|
Deutsche Bank AG
|
INR
|
3,082,681,000
|
USD
|
33,923,332
|
$419,075
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
19,525,523
|
AUD
|
29,476,270
|
998,140
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
75,677,205
|
EUR
|
64,500,000
|
932,849
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
27,650,000
|
GBP
|
20,480,418
|
372,865
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
22,759,364
|
MXN
|
418,303,450
|
1,083,643
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
2,368,052
|
NZD
|
4,080,788
|
92,907
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
24,170,183
|
PLN
|
87,910,000
|
569,989
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
95,537
|
SGD
|
122,851
|
1,325
|
|
02/03/2026
|
Goldman Sachs International
|
BRL
|
426,214,800
|
USD
|
81,892,886
|
905,798
|
|
Open Forward Foreign Currency Contracts—(continued)
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
02/03/2026
|
Goldman Sachs International
|
USD
|
208,510,153
|
BRL
|
1,112,314,037
|
$2,845,894
|
|
02/27/2026
|
Goldman Sachs International
|
USD
|
91,277,445
|
EUR
|
78,500,000
|
1,877,861
|
|
03/03/2026
|
Goldman Sachs International
|
USD
|
53,600,519
|
BRL
|
284,775,809
|
169,825
|
|
03/18/2026
|
Goldman Sachs International
|
EUR
|
39,500,000
|
USD
|
47,247,925
|
331,691
|
|
03/18/2026
|
Goldman Sachs International
|
USD
|
905,932
|
CZK
|
18,845,000
|
12,258
|
|
03/18/2026
|
Goldman Sachs International
|
USD
|
55,782,600
|
EUR
|
47,500,000
|
635,656
|
|
03/18/2026
|
Goldman Sachs International
|
USD
|
28,159,544
|
HUF
|
9,319,325,018
|
715,926
|
|
03/18/2026
|
Goldman Sachs International
|
USD
|
28,150,000
|
KRW
|
41,239,750,000
|
319,163
|
|
03/18/2026
|
Goldman Sachs International
|
USD
|
13,290,468
|
THB
|
421,188,216
|
134,478
|
|
05/08/2026
|
Goldman Sachs International
|
JPY
|
2,223,200,000
|
USD
|
16,000,000
|
1,519,534
|
|
03/19/2027
|
Goldman Sachs International
|
INR
|
22,223,750,000
|
USD
|
250,000,000
|
15,052,677
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
EUR
|
15,227,966
|
USD
|
18,244,640
|
157,581
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
JPY
|
2,895,146,376
|
USD
|
18,846,250
|
69,885
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
17,554,200
|
AUD
|
26,410,602
|
834,908
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
1,031,925
|
CAD
|
1,431,980
|
21,689
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
44,852,105
|
CNY
|
314,964,935
|
418,389
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
224,918,739
|
EUR
|
191,671,461
|
2,739,569
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
6,931,895
|
GBP
|
5,154,566
|
120,973
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
16,500,000
|
MXN
|
289,599,750
|
6,985
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
6,818,203
|
NOK
|
68,915,000
|
336,252
|
|
07/07/2026
|
J.P. Morgan Chase Bank, N.A.
|
JPY
|
1,572,412,500
|
USD
|
11,250,000
|
961,164
|
|
03/18/2026
|
Merrill Lynch International
|
USD
|
31,122,579
|
COP
|
120,441,270,250
|
1,181,254
|
|
03/18/2026
|
Merrill Lynch International
|
USD
|
9,266,088
|
GBP
|
6,950,646
|
244,316
|
|
03/18/2026
|
Merrill Lynch International
|
USD
|
45,929,012
|
KRW
|
67,048,549,335
|
356,819
|
|
03/18/2026
|
Merrill Lynch International
|
USD
|
17,820,983
|
MXN
|
322,831,125
|
580,167
|
|
03/18/2026
|
Merrill Lynch International
|
USD
|
12,500,000
|
ZAR
|
207,387,500
|
297,748
|
|
03/25/2026
|
Merrill Lynch International
|
IDR
|
561,723,605,700
|
USD
|
33,519,728
|
71,444
|
|
02/03/2026
|
Morgan Stanley and Co. International PLC
|
BRL
|
225,582,300
|
USD
|
43,131,546
|
267,587
|
|
03/09/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
37,500,000
|
CLP
|
34,629,375,000
|
2,118,511
|
|
03/18/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
20,740,000
|
AUD
|
30,797,696
|
703,743
|
|
03/18/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
34,306,993
|
CLP
|
31,494,849,197
|
1,724,738
|
|
03/18/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
62,564,600
|
ZAR
|
1,032,076,600
|
1,124,174
|
|
04/06/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
10,500,000
|
CLP
|
9,261,000,000
|
94,655
|
|
02/25/2026
|
UBS AG
|
USD
|
8,513,895
|
GBP
|
6,500,000
|
380,167
|
|
03/18/2026
|
UBS AG
|
USD
|
41,985,000
|
JPY
|
6,528,985,035
|
358,490
|
|
Subtotal—Appreciation
|
44,162,762
|
|||||
|
Currency Risk
|
|
|
|
|
|
|
|
03/18/2026
|
BNP Paribas S.A.
|
EUR
|
17,507,834
|
USD
|
20,658,215
|
(136,762
)
|
|
03/18/2026
|
Deutsche Bank AG
|
AUD
|
204,248,576
|
USD
|
135,297,321
|
(6,916,368
)
|
|
03/18/2026
|
Deutsche Bank AG
|
EUR
|
63,727,244
|
USD
|
74,707,612
|
(984,600
)
|
|
03/18/2026
|
Deutsche Bank AG
|
MXN
|
3,692,264,646
|
USD
|
200,891,467
|
(9,565,061
)
|
|
03/18/2026
|
Deutsche Bank AG
|
NZD
|
4,078,481
|
USD
|
2,366,713
|
(92,854
)
|
|
03/18/2026
|
Deutsche Bank AG
|
PLN
|
86,630,378
|
USD
|
23,818,360
|
(561,693
)
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
23,505,059
|
INR
|
2,135,951,747
|
(290,372
)
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
14,235,000
|
KRW
|
20,410,285,350
|
(145,105
)
|
|
03/25/2026
|
Deutsche Bank AG
|
USD
|
20,740,000
|
IDR
|
347,913,500,000
|
(23,210
)
|
|
02/03/2026
|
Goldman Sachs International
|
BRL
|
1,112,314,037
|
USD
|
203,148,238
|
(8,207,808
)
|
|
02/03/2026
|
Goldman Sachs International
|
USD
|
81,492,668
|
BRL
|
426,214,800
|
(505,579
)
|
|
03/03/2026
|
Goldman Sachs International
|
BRL
|
784,364,537
|
USD
|
147,633,140
|
(467,752
)
|
|
03/18/2026
|
Goldman Sachs International
|
CZK
|
17,543,322
|
USD
|
843,357
|
(11,411
)
|
|
Open Forward Foreign Currency Contracts—(continued)
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
03/18/2026
|
Goldman Sachs International
|
HUF
|
9,027,943,772
|
USD
|
27,279,098
|
$(693,542
)
|
|
03/18/2026
|
Goldman Sachs International
|
MXN
|
903,630,000
|
USD
|
50,000,000
|
(1,506,284
)
|
|
03/18/2026
|
Goldman Sachs International
|
THB
|
421,254,721
|
USD
|
13,292,566
|
(134,499
)
|
|
03/18/2026
|
Goldman Sachs International
|
USD
|
47,500,000
|
MXN
|
822,296,250
|
(629,683
)
|
|
06/23/2026
|
Goldman Sachs International
|
BRL
|
88,764,000
|
USD
|
15,600,000
|
(734,097
)
|
|
03/19/2027
|
Goldman Sachs International
|
USD
|
250,000,000
|
INR
|
22,223,750,000
|
(15,052,677
)
|
|
02/12/2026
|
J.P. Morgan Chase Bank, N.A.
|
ZAR
|
276,072,000
|
USD
|
16,000,000
|
(1,078,506
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
AUD
|
23,330,000
|
USD
|
15,180,271
|
(1,063,883
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
CAD
|
6,833,309
|
USD
|
4,924,273
|
(103,498
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
CNY
|
44,785,000
|
USD
|
6,377,540
|
(59,491
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
EUR
|
116,744,814
|
USD
|
136,790,096
|
(1,873,879
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
GBP
|
4,990,782
|
USD
|
6,637,218
|
(191,549
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
MXN
|
1,419,031,250
|
USD
|
78,500,000
|
(2,383,799
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
NOK
|
67,850,974
|
USD
|
6,712,932
|
(331,061
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
SEK
|
177,000
|
USD
|
18,906
|
(1,008
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
TRY
|
36,405,000
|
USD
|
792,257
|
(17,823
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
91,320,176
|
EUR
|
76,188,428
|
(827,159
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
44,122,648
|
JPY
|
6,772,120,500
|
(202,312
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
48,980,000
|
MXN
|
858,516,199
|
(45,171
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
ZAR
|
1,032,009,375
|
USD
|
62,500,000
|
(1,184,627
)
|
|
06/22/2026
|
J.P. Morgan Chase Bank, N.A.
|
ZAR
|
138,975,000
|
USD
|
7,500,000
|
(1,016,747
)
|
|
07/14/2026
|
J.P. Morgan Chase Bank, N.A.
|
BRL
|
30,150,000
|
USD
|
5,000,000
|
(520,967
)
|
|
01/08/2027
|
J.P. Morgan Chase Bank, N.A.
|
AUD
|
17,000,000
|
USD
|
11,400,200
|
(374,140
)
|
|
02/09/2026
|
Merrill Lynch International
|
BRL
|
11,025,000
|
USD
|
1,750,000
|
(341,523
)
|
|
03/18/2026
|
Merrill Lynch International
|
COP
|
203,208,170,000
|
USD
|
52,509,928
|
(1,993,008
)
|
|
03/18/2026
|
Merrill Lynch International
|
GBP
|
103,987,682
|
USD
|
138,628,684
|
(3,655,171
)
|
|
03/18/2026
|
Merrill Lynch International
|
PEN
|
5,238,000
|
USD
|
1,552,368
|
(791
)
|
|
03/18/2026
|
Merrill Lynch International
|
USD
|
7,500,000
|
COP
|
27,517,500,000
|
(119,467
)
|
|
03/25/2026
|
Merrill Lynch International
|
USD
|
32,359,938
|
IDR
|
542,287,839,200
|
(68,972
)
|
|
04/09/2026
|
Merrill Lynch International
|
AUD
|
9,000,000
|
USD
|
5,460,300
|
(805,636
)
|
|
05/12/2026
|
Merrill Lynch International
|
EUR
|
12,000,000
|
USD
|
13,854,000
|
(435,384
)
|
|
02/03/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
43,500,000
|
BRL
|
225,582,300
|
(636,041
)
|
|
03/18/2026
|
Morgan Stanley and Co. International PLC
|
CLP
|
31,405,767,384
|
USD
|
34,209,958
|
(1,719,860
)
|
|
03/18/2026
|
Morgan Stanley and Co. International PLC
|
KRW
|
25,501,255,000
|
USD
|
17,380,425
|
(223,934
)
|
|
03/18/2026
|
Morgan Stanley and Co. International PLC
|
ZAR
|
1,077,582,949
|
USD
|
62,761,540
|
(3,735,402
)
|
|
03/18/2026
|
Standard Chartered Bank PLC
|
KRW
|
40,369,700,000
|
USD
|
27,527,924
|
(340,615
)
|
|
03/18/2026
|
Standard Chartered Bank PLC
|
USD
|
28,470,000
|
JPY
|
4,338,161,802
|
(335,013
)
|
|
Subtotal—Depreciation
|
(72,345,794
)
|
|||||
|
Total Forward Foreign Currency Contracts
|
$(28,183,032
)
|
|||||
|
Open Centrally Cleared Credit Default Swap Agreements(a)
|
||||||||||
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Maturity Date
|
Implied
Credit
Spread(b)
|
Notional Value
|
Upfront
Payments Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Credit Risk
|
||||||||||
|
UBS AG
|
Sell
|
1.00%
|
Quarterly
|
12/20/2028
|
0.290%
|
EUR
|
7,500,000
|
$66,515
|
$178,665
|
$112,150
|
|
BNP Paribas S.A.
|
Sell
|
1.00
|
Quarterly
|
12/20/2030
|
0.382
|
EUR
|
12,500,000
|
388,074
|
425,248
|
37,174
|
|
Subtotal - Appreciation
|
|
|
|
|
|
454,589
|
603,913
|
149,324
|
||
|
Open Centrally Cleared Credit Default Swap Agreements(a)—(continued)
|
||||||||||
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Maturity Date
|
Implied
Credit
Spread(b)
|
Notional Value
|
Upfront
Payments Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Credit Risk
|
||||||||||
|
Markit CDX North America High
Yield Index, Series 45, Version 1
|
Buy
|
(5.00)%
|
Quarterly
|
12/20/2030
|
2.966%
|
USD
|
69,300,000
|
$(4,934,053
)
|
$(5,808,241
)
|
$(874,188
)
|
|
Brazil Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2026
|
0.494
|
USD
|
8,000,000
|
(1,355
)
|
(35,808
)
|
(34,453
)
|
|
Intesa Sanpaolo S.p.A.
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2028
|
0.209
|
EUR
|
7,500,000
|
(46,743
)
|
(198,401
)
|
(151,658
)
|
|
Mexico Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2029
|
0.700
|
USD
|
3,300,000
|
22,630
|
(35,462
)
|
(58,092
)
|
|
Intesa Sanpaolo S.p.A.
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2030
|
0.346
|
EUR
|
12,500,000
|
(412,524
)
|
(451,022
)
|
(38,498
)
|
|
Markit iTraxx Europe Crossover
Index, Series 44, Version 1
|
Buy
|
(5.00)
|
Quarterly
|
12/20/2030
|
2.468
|
EUR
|
90,000,000
|
(10,429,419
)
|
(11,512,530
)
|
(1,083,111
)
|
|
Turkey Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2030
|
2.173
|
USD
|
5,000,000
|
311,979
|
252,585
|
(59,394
)
|
|
Subtotal - Depreciation
|
|
|
|
|
|
(15,489,485
)
|
(17,788,879
)
|
(2,299,394
)
|
||
|
Total Centrally Cleared Credit Default Swap Agreements
|
|
|
|
$(15,034,896
)
|
$(17,184,966
)
|
$(2,150,070
)
|
||||
|
(a)
|
Centrally cleared swap agreements collateralized by $20,888,752 cash held with Counterparties.
|
|
(b)
|
Implied credit spreads represent the current level, as of January 31, 2026, at which
protection could be bought or sold given the terms of the existing credit
default swap agreement and serve as an indicator of the current status of the payment/performance
risk of the credit default swap agreement. An implied credit
spread that has widened or increased since entry into the initial agreement may indicate
a deteriorating credit profile and increased risk of default for the
reference entity. A declining or narrowing spread may indicate an improving credit
profile or decreased risk of default for the reference entity. Alternatively, credit
spreads may increase or decrease reflecting the general tolerance for risk in the
credit markets generally.
|
|
Open Centrally Cleared Interest Rate Swap Agreements(a)
|
||||||||||
|
Pay/
Receive
Floating
Rate
|
Floating Rate
Index
|
Payment
Frequency
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Maturity
Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Interest Rate Risk
|
||||||||||
|
Receive
|
SOFR
|
Annually
|
(3.83)%
|
Annually
|
08/04/2035
|
USD
|
29,995,000
|
$—
|
$6,436
|
$6,436
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
12.91
|
At Maturity
|
01/03/2033
|
BRL
|
32,035,109
|
—
|
13,950
|
13,950
|
|
Receive
|
SOFR
|
Annually
|
(4.20)
|
Annually
|
07/08/2056
|
USD
|
22,835,000
|
—
|
49,948
|
49,948
|
|
Receive
|
SOFR
|
Annually
|
(3.69)
|
Annually
|
09/04/2035
|
USD
|
5,935,000
|
—
|
70,405
|
70,405
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.54
|
At Maturity
|
01/03/2033
|
BRL
|
16,515,350
|
—
|
144,334
|
144,334
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.32
|
At Maturity
|
01/03/2033
|
BRL
|
31,229,380
|
—
|
181,851
|
181,851
|
|
Receive
|
SOFR
|
Annually
|
(3.56)
|
Annually
|
12/12/2035
|
USD
|
13,995,000
|
—
|
326,133
|
326,133
|
|
Pay
|
3 Month CZK
PRIBOR
|
Quarterly
|
3.79
|
Annually
|
12/02/2027
|
CZK
|
1,850,000,000
|
—
|
424,474
|
424,474
|
|
Pay
|
6 Month
EURIBOR
|
Semi-Annually
|
2.42
|
Annually
|
01/29/2029
|
EUR
|
1,100,000,000
|
(173,457
)
|
403,187
|
576,644
|
|
Receive
|
SOFR
|
Annually
|
(3.52)
|
Annually
|
12/10/2035
|
USD
|
27,670,000
|
—
|
744,266
|
744,266
|
|
Receive
|
6 Month
EURIBOR
|
Semi-Annually
|
(2.38)
|
Annually
|
12/20/2054
|
EUR
|
19,200,000
|
—
|
3,486,861
|
3,486,861
|
|
Receive
|
6 Month
EURIBOR
|
Semi-Annually
|
(1.98)
|
Annually
|
01/24/2075
|
EUR
|
11,760,000
|
84,194
|
3,708,177
|
3,623,983
|
|
Subtotal — Appreciation
|
|
|
|
(89,263
)
|
9,560,022
|
9,649,285
|
||||
|
Interest Rate Risk
|
||||||||||
|
Pay
|
6 Month
EURIBOR
|
Semi-Annually
|
2.38
|
Annually
|
12/20/2054
|
EUR
|
19,200,000
|
—
|
(3,497,816
)
|
(3,497,816
)
|
|
Pay
|
KWCDC
|
Quarterly
|
2.82
|
Quarterly
|
11/16/2027
|
KRW
|
253,333,300,000
|
—
|
(704,301
)
|
(704,301
)
|
|
Receive
|
SORA
|
Semi-Annually
|
(1.52)
|
Semi-Annually
|
01/27/2028
|
SGD
|
108,335,000
|
—
|
(116,335
)
|
(116,335
)
|
|
Receive
|
SOFR
|
Annually
|
(3.86)
|
Annually
|
07/15/2035
|
USD
|
20,035,000
|
—
|
(61,790
)
|
(61,790
)
|
|
Receive
|
SOFR
|
Annually
|
(3.86)
|
Annually
|
07/15/2035
|
USD
|
20,035,000
|
—
|
(49,818
)
|
(49,818
)
|
|
Subtotal — Depreciation
|
|
|
|
—
|
(4,430,060
)
|
(4,430,060
)
|
||||
|
Total Centrally Cleared Interest Rate Swap Agreements
|
|
|
|
$(89,263
)
|
$5,129,962
|
$5,219,225
|
||||
|
(a)
|
Centrally cleared swap agreements collateralized by $20,888,752 cash held with Counterparties.
|
|
Open Over-The-Counter Credit Default Swap Agreements(a)
|
|||||||||||
|
Counterparty
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed Rate
|
Payment
Frequency
|
Maturity
Date
|
Implied
Credit
Spread(b)
|
Notional
Value
|
Upfront
Payments Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Credit Risk
|
|||||||||||
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe
Crossover Index, Series 42,
Version 4
|
Sell
|
5.00%
|
Quarterly
|
12/20/2029
|
1.355%
|
EUR
|
15,000,000
|
$1,410,896
|
$2,412,068
|
$1,001,172
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe
Crossover Index, Series 42,
Version 4
|
Sell
|
5.00
|
Quarterly
|
12/20/2029
|
0.347
|
EUR
|
31,891,370
|
5,018,668
|
6,352,985
|
1,334,317
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe
Crossover Index, Series 42,
Version 4
|
Sell
|
5.00
|
Quarterly
|
12/20/2029
|
1.355
|
EUR
|
10,000,000
|
960,256
|
1,608,045
|
647,789
|
|
Subtotal—Appreciation
|
|
|
|
|
7,389,820
|
10,373,098
|
2,983,278
|
||||
|
Credit Risk
|
|||||||||||
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit CDX North America
High Yield Index, Series 39,
Version 1
|
Buy
|
(5.00)
|
Quarterly
|
12/20/2027
|
0.083
|
USD
|
19,883,846
|
(1,378,032
)
|
(1,781,255
)
|
(403,223
)
|
|
Total Over-The-Counter Credit Default Swap Agreements
|
|
|
|
|
$6,011,788
|
$8,591,843
|
$2,580,055
|
||||
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $45,573,359.
|
|
(b)
|
Implied credit spreads represent the current level, as of January 31, 2026, at which
protection could be bought or sold given the terms of the existing credit
default swap agreement and serve as an indicator of the current status of the payment/performance
risk of the credit default swap agreement. An implied credit
spread that has widened or increased since entry into the initial agreement may indicate
a deteriorating credit profile and increased risk of default for the
reference entity. A declining or narrowing spread may indicate an improving credit
profile or decreased risk of default for the reference entity. Alternatively, credit
spreads may increase or decrease reflecting the general tolerance for risk in the
credit markets generally.
|
|
Abbreviations:
|
|
|
AUD
|
—Australian Dollar
|
|
BBSW
|
—Bank Bill Swap Rate
|
|
BRL
|
—Brazilian Real
|
|
BZDIOVRA
|
—Brazil Ceptip DI Interbank Deposit Rate
|
|
CAD
|
—Canadian Dollar
|
|
CHF
|
—Swiss Franc
|
|
CLP
|
—Chile Peso
|
|
CNY
|
—Chinese Yuan Renminbi
|
|
COP
|
—Colombia Peso
|
|
CZK
|
—Czech Koruna
|
|
EUR
|
—Euro
|
|
EURIBOR
|
—Euro Interbank Offered Rate
|
|
GBP
|
—British Pound Sterling
|
|
HUF
|
—Hungarian Forint
|
|
IDR
|
—Indonesian Rupiah
|
|
INR
|
—Indian Rupee
|
|
JPY
|
—Japanese Yen
|
|
KRW
|
—South Korean Won
|
|
KWCDC
|
—South Korean Won Certificate of Deposit
|
|
MXN
|
—Mexican Peso
|
|
NOK
|
—Norwegian Krone
|
|
NZD
|
—New Zealand Dollar
|
|
PEN
|
—Peruvian Sol
|
|
PLN
|
—Polish Zloty
|
|
PRIBOR
|
—Prague Interbank Offerred Rate
|
|
SEK
|
—Swedish Krona
|
|
SGD
|
—Singapore Dollar
|
|
SOFR
|
—Secured Overnight Financing Rate
|
|
SONIA
|
—Sterling Overnight Index Average
|
|
SORA
|
—Singapore Overnight Rate Average
|
|
THB
|
—Thai Baht
|
|
TRY
|
—Turkish Lira
|
|
USD
|
—U.S. Dollar
|
|
ZAR
|
—South African Rand
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Non-U.S. Dollar Denominated Bonds & Notes
|
$—
|
$699,160,472
|
$—
|
$699,160,472
|
|
U.S. Dollar Denominated Bonds & Notes
|
—
|
221,078,960
|
2,790,550
|
223,869,510
|
|
Asset-Backed Securities
|
—
|
156,166,918
|
11,965,048
|
168,131,966
|
|
U.S. Treasury Securities
|
—
|
101,078,567
|
—
|
101,078,567
|
|
Common Stocks & Other Equity Interests
|
1,675,098
|
50,445,323
|
—
|
52,120,421
|
|
Commercial Paper
|
—
|
—
|
1,099,709
|
1,099,709
|
|
Money Market Funds
|
117,820,855
|
8,400,234
|
—
|
126,221,089
|
|
Options Purchased
|
—
|
93,971,715
|
—
|
93,971,715
|
|
Total Investments in Securities
|
119,495,953
|
1,330,302,189
|
15,855,307
|
1,465,653,449
|
|
Other Investments - Assets*
|
|
|
|
|
|
Forward Foreign Currency Contracts
|
—
|
44,162,762
|
—
|
44,162,762
|
|
Swap Agreements
|
—
|
12,781,887
|
—
|
12,781,887
|
|
|
—
|
56,944,649
|
—
|
56,944,649
|
|
Other Investments - Liabilities*
|
|
|
|
|
|
Futures Contracts
|
(807,634
)
|
—
|
—
|
(807,634
)
|
|
Forward Foreign Currency Contracts
|
—
|
(72,345,794
)
|
—
|
(72,345,794
)
|
|
Options Written
|
(2,135,203
)
|
(99,057,501
)
|
—
|
(101,192,704
)
|
|
Swap Agreements
|
—
|
(7,132,677
)
|
—
|
(7,132,677
)
|
|
|
(2,942,837
)
|
(178,535,972
)
|
—
|
(181,478,809
)
|
|
Total Other Investments
|
(2,942,837
)
|
(121,591,323
)
|
—
|
(124,534,160
)
|
|
Total Investments
|
$116,553,116
|
$1,208,710,866
|
$15,855,307
|
$1,341,119,289
|
|
*
|
Forward foreign currency contracts, futures contracts and swap agreements are valued
at unrealized appreciation (depreciation). Options written are shown at
value.
|
|
|
Value
10/31/25
|
Purchases
at Cost
|
Proceeds
from Sales
|
Accrued
Discounts/
Premiums
|
Realized
Gain
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Value
01/31/26
|
|
Asset-Backed Securities
|
$12,552,581
|
$—
|
$—
|
$—
|
$—
|
$(587,533
)
|
$—
|
$—
|
$11,965,048
|
|
U.S. Dollar Denominated Bonds & Notes
|
2,790,550
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
2,790,550
|
|
Commercial Paper
|
1,372,724
|
—
|
(308,187
)
|
35,768
|
—
|
(596
)
|
—
|
—
|
1,099,709
|
|
Total
|
$16,715,855
|
$—
|
$(308,187
)
|
$35,768
|
$—
|
$(588,129
)
|
$—
|
$—
|
$15,855,307
|
|
|
Fair Value
at 01/31/26
|
Valuation
Technique
|
Unobservable
Inputs
|
Range of
Unobservable
Inputs
|
Weighted Average of
Unobservable Inputs
Based on Fair Value
|
|
|
Asset-Backed Securities
|
$11,965,048
|
Expected Recovery
|
Anticipated Proceeds
|
86.76% of Par
|
-
|
|
|
U.S. Dollar Denominated Bonds & Notes
|
2,790,550
|
Third-Party Pricing
|
Vendor Price Discount
|
15.00%
|
-
|
|
|
Commercial Paper
|
1,099,709
|
Expected Recovery
|
Anticipated Proceeds
|
248 - 431 Days
|
355 Days
|
|
|
Total
|
$15,855,307
|
|
|
|
|
|