|
|
Principal
Amount
|
Value
|
|
|
Non-U.S. Dollar Denominated Bonds & Notes–47.60%(a)
|
|||
|
Argentina–0.72%
|
|||
|
Argentina Treasury Bond,
|
|
|
|
|
15.50%, 10/17/2026
|
ARS
|
135,000,000
|
$93,536
|
|
29.50%,
05/27/2027(b)
|
ARS
|
14,350,000,000
|
10,848,130
|
|
|
|
|
10,941,666
|
|
Australia–3.19%
|
|||
|
Australia Government Bond,
2.50%, 09/20/2030(c)
|
AUD
|
10,280,000
|
11,308,310
|
|
South Australian
Government Financing
Authority, 4.50%,
05/23/2031(c)
|
AUD
|
54,000,000
|
37,390,669
|
|
|
|
|
48,698,979
|
|
Belgium–0.40%
|
|||
|
KBC Group N.V.,
8.00%(c)(d)(e)
|
EUR
|
5,000,000
|
6,191,333
|
|
Brazil–12.04%
|
|||
|
Brazil Notas do Tesouro Nacional,
|
|
|
|
|
Series B, 6.00%,
05/15/2055
|
BRL
|
69,000,000
|
53,735,975
|
|
Series F, 10.00%,
01/01/2031
|
BRL
|
753,000,000
|
130,148,528
|
|
|
|
|
183,884,503
|
|
Colombia–0.85%
|
|||
|
Fideicomiso PA Concesion
Ruta al Mar, 6.75%,
02/15/2044(c)
|
COP
|
13,223,216,158
|
3,192,965
|
|
PA Autopista Rio
Magdalena, 6.05%,
06/15/2036(c)
|
COP
|
34,733,327,247
|
9,825,451
|
|
|
|
|
13,018,416
|
|
Finland–0.76%
|
|||
|
Stora Enso OYJ,
5.63%(c)(d)(e)
|
EUR
|
10,000,000
|
11,685,632
|
|
France–1.14%
|
|||
|
BPCE S.A., Series NC5,
1.50%,
01/13/2042(c)(d)
|
EUR
|
7,000,000
|
8,051,034
|
|
Credit Agricole S.A.,
4.00%(c)(d)(e)
|
EUR
|
5,000,000
|
5,759,234
|
|
Electricite de France S.A.,
|
|
|
|
|
7.50%(c)(d)(e)
|
EUR
|
1,600,000
|
1,958,552
|
|
4.38%(c)(d)(e)
|
EUR
|
1,400,000
|
1,574,825
|
|
|
|
|
17,343,645
|
|
Germany–2.98%
|
|||
|
Deutsche Bank AG,
4.63%(c)(d)(e)
|
EUR
|
10,000,000
|
11,494,655
|
|
Norddeutsche Landesbank -
Girozentrale, 4.38%,
12/10/2035(c)(d)
|
EUR
|
5,000,000
|
5,781,456
|
|
|
Principal
Amount
|
Value
|
|
|
Germany–(continued)
|
|||
|
Volkswagen International Finance
N.V.,
|
|
|
|
|
3.88%(c)(d)(e)
|
EUR
|
20,000,000
|
$22,446,941
|
|
5.49%(c)(d)(e)
|
EUR
|
5,000,000
|
5,794,751
|
|
|
|
|
45,517,803
|
|
Greece–0.20%
|
|||
|
Eurobank S.A., 5.88%,
11/28/2029(c)(d)
|
EUR
|
2,500,000
|
3,030,218
|
|
Italy–0.76%
|
|||
|
UniCredit S.p.A.,
4.45%(c)(d)(e)
|
EUR
|
10,000,000
|
11,559,895
|
|
Ivory Coast–0.38%
|
|||
|
Ivory Coast Government
International Bond,
5.25%, 03/22/2030(c)
|
EUR
|
5,000,000
|
5,796,050
|
|
Mexico–10.81%
|
|||
|
Mexican Bonos, Series M,
8.50%, 02/28/2030
|
MXN
|
2,615,000,000
|
152,115,043
|
|
Mexican Udibonos,
Series M, 4.00%,
08/24/2034
|
MXN
|
233,569,596
|
12,944,143
|
|
|
|
|
165,059,186
|
|
Netherlands–1.74%
|
|||
|
ASR Nederland N.V.,
6.63%(c)(d)(e)
|
EUR
|
7,000,000
|
8,646,758
|
|
Athora Netherlands N.V.,
6.75%(c)(d)(e)
|
EUR
|
5,000,000
|
6,163,140
|
|
Heineken N.V., 3.88%,
09/23/2030(c)
|
EUR
|
10,000,000
|
11,736,488
|
|
|
|
|
26,546,386
|
|
South Africa–5.22%
|
|||
|
Republic of South Africa
Government Bond,
|
|
|
|
|
Series 2040, 9.00%,
01/31/2040
|
ZAR
|
450,000,000
|
26,807,503
|
|
Series 2048, 8.75%,
02/28/2048
|
ZAR
|
920,000,000
|
52,877,810
|
|
|
|
|
79,685,313
|
|
Spain–0.57%
|
|||
|
Telefonica Europe, B.V.,
6.75%(c)(d)(e)
|
EUR
|
7,000,000
|
8,713,031
|
|
Supranational–1.33%
|
|||
|
Corporacion Andina de
Fomento, 10.35%,
03/15/2033(c)
|
MXN
|
200,000,000
|
12,375,068
|
|
International Finance Corp.,
0.00%, 04/26/2052(f)
|
MXN
|
1,475,000,000
|
7,971,362
|
|
|
|
|
20,346,430
|
|
United Kingdom–4.14%
|
|||
|
Allwyn Entertainment
Financing (UK) PLC,
4.13%, 02/15/2031(c)
|
EUR
|
8,000,000
|
9,078,508
|
|
|
Principal
Amount
|
Value
|
|
|
United Kingdom–(continued)
|
|||
|
Barclays PLC,
|
|
|
|
|
8.88%(c)(d)(e)
|
GBP
|
5,000,000
|
$6,957,932
|
|
9.25%(d)(e)
|
GBP
|
10,000,000
|
14,312,775
|
|
Coca-Cola Europacific
Partners PLC, 3.13%,
06/03/2031(c)
|
EUR
|
10,000,000
|
11,344,184
|
|
NatWest Group PLC,
5.13%(d)(e)
|
GBP
|
13,000,000
|
17,463,466
|
|
Standard Life PLC,
5.75%(c)(d)(e)
|
GBP
|
3,000,000
|
4,003,689
|
|
|
|
|
63,160,554
|
|
United States–0.37%
|
|||
|
General Mills, Inc., 4.75%,
07/16/2056(d)
|
EUR
|
5,000,000
|
5,673,564
|
|
Total Non-U.S. Dollar Denominated Bonds & Notes
(Cost $720,229,545)
|
726,852,604
|
||
|
|
|
|
|
|
U.S. Dollar Denominated Bonds & Notes–17.84%
|
|||
|
Argentina–1.11%
|
|||
|
Argentine Republic Government
International Bond,
|
|
|
|
|
0.75%, 07/09/2030(g)
|
|
$3,840,000
|
3,361,920
|
|
3.50%, 07/09/2041(g)
|
|
7,000,000
|
5,190,500
|
|
Vista Energy Argentina
S.A.U., 7.63%,
12/10/2035(c)
|
|
2,500,000
|
2,618,125
|
|
YPF S.A.,
|
|
|
|
|
6.95%, 07/21/2027(c)
|
|
1,000,000
|
1,005,824
|
|
8.75%, 09/11/2031(c)
|
|
4,550,000
|
4,831,122
|
|
|
|
|
17,007,491
|
|
Brazil–1.62%
|
|||
|
Arcos Dorados B.V.,
6.38%,
01/29/2032(c)(h)
|
|
2,280,000
|
2,360,340
|
|
Minerva Luxembourg S.A.,
8.88%, 09/13/2033(c)
|
|
2,500,000
|
2,589,500
|
|
Petrobras Global Finance B.V.,
|
|
|
|
|
6.50%, 07/03/2033(h)
|
|
2,500,000
|
2,542,812
|
|
6.25%, 01/10/2036(h)
|
|
5,000,000
|
4,881,250
|
|
Sitios Latinoamerica S.A.B.
de C.V., 5.38%,
04/04/2032(c)
|
|
5,970,000
|
5,880,319
|
|
Vale Overseas Ltd., 6.00%,
02/25/2056(c)(d)
|
|
6,500,000
|
6,489,600
|
|
|
|
|
24,743,821
|
|
Canada–0.19%
|
|||
|
TELUS Corp., 6.38%,
06/09/2056(d)(h)
|
|
2,984,000
|
2,947,595
|
|
Chile–0.96%
|
|||
|
Banco de Credito e
Inversiones S.A.,
8.75%(c)(d)(e)
|
|
2,500,000
|
2,636,650
|
|
Banco del Estado de Chile,
7.95%(c)(d)(e)
|
|
1,450,000
|
1,519,293
|
|
Chile Electricity Lux MPC II
S.a.r.l., 5.58%,
10/20/2035(c)
|
|
2,116,299
|
2,101,484
|
|
|
Principal
Amount
|
Value
|
|
|
Chile–(continued)
|
|||
|
Sociedad Quimica y Minera de Chile
S.A.,
|
|
|
|
|
5.50%, 09/10/2034(c)
|
|
$6,785,000
|
$6,691,028
|
|
5.63%,
04/22/2056(c)(d)
|
|
1,800,000
|
1,749,150
|
|
|
|
|
14,697,605
|
|
China–0.16%
|
|||
|
Prosus N.V., 3.68%,
01/21/2030(c)
|
|
2,500,000
|
2,372,331
|
|
Colombia–0.53%
|
|||
|
Ecopetrol S.A.,
|
|
|
|
|
8.63%, 01/19/2029
|
|
5,000,000
|
5,303,965
|
|
7.75%, 02/01/2032
|
|
2,680,000
|
2,768,936
|
|
|
|
|
8,072,901
|
|
Dominican Republic–0.20%
|
|||
|
Aeropuertos Dominicanos
Siglo XXI S.A., 7.00%,
06/30/2034(c)
|
|
2,975,000
|
3,051,577
|
|
Egypt–0.24%
|
|||
|
Egypt Government
International Bond,
8.63%, 02/04/2030(c)
|
|
3,490,000
|
3,681,879
|
|
France–1.73%
|
|||
|
AXA S.A., 5.13%,
01/17/2047(c)(d)
|
|
12,500,000
|
12,505,912
|
|
Electricite de France S.A.,
9.13%(c)(d)(e)
|
|
7,000,000
|
8,109,108
|
|
Societe Generale S.A.,
9.38%(c)(d)(e)
|
|
5,500,000
|
5,735,037
|
|
|
|
|
26,350,057
|
|
Guatemala–0.13%
|
|||
|
Energuate Trust 2.0,
6.35%, 09/15/2035(c)
|
|
2,000,000
|
1,971,832
|
|
India–0.33%
|
|||
|
Muthoot Finance Ltd.,
7.13%, 02/14/2028(c)
|
|
5,000,000
|
5,040,696
|
|
Ireland–0.15%
|
|||
|
BB Blue Financing DAC,
Series A1, 4.40%,
09/20/2037
|
|
2,395,833
|
2,272,463
|
|
Japan–0.34%
|
|||
|
RLGH Finance Bermuda Ltd.,
6.75%, 07/02/2035(c)
|
|
5,000,000
|
5,121,916
|
|
Luxembourg–0.49%
|
|||
|
Delphos Securities S.a.r.l. -
Compartment Verdant Rock,
|
|
|
|
|
0.00%,
04/29/2056(c)(f)(g)
|
|
7,500,000
|
7,086,562
|
|
0.00%(c)(e)(f)
|
|
375,000
|
376,875
|
|
|
|
|
7,463,437
|
|
Macau–0.11%
|
|||
|
Wynn Macau Ltd., 6.75%,
02/15/2034(c)
|
|
1,750,000
|
1,720,551
|
|
|
Principal
Amount
|
Value
|
|
|
Mexico–1.11%
|
|||
|
Banco Mercantil del Norte
S.A., 8.38%(c)(d)(e)(h)
|
|
$2,500,000
|
$2,585,637
|
|
BBVA Bancomer S.A.,
7.63%,
02/11/2035(c)(d)
|
|
6,000,000
|
6,150,000
|
|
COX Asset Mexico S.A. de CV,
|
|
|
|
|
7.13%, 01/08/2032(c)
|
|
2,725,000
|
2,716,783
|
|
7.75%, 05/08/2036(c)
|
|
2,816,000
|
2,827,264
|
|
Petroleos Mexicanos,
8.75%, 06/02/2029
|
|
2,500,000
|
2,660,045
|
|
|
|
|
16,939,729
|
|
Netherlands–0.66%
|
|||
|
ING Groep N.V., 5.75%(d)(e)
|
|
10,000,000
|
10,047,250
|
|
Peru–0.32%
|
|||
|
Compania de Minas
Buenaventura S.A.A.,
6.80%, 02/04/2032(c)
|
|
2,885,000
|
2,955,682
|
|
Orazul Energy Peru S.A.,
6.25%, 09/17/2032(c)
|
|
1,896,000
|
1,887,997
|
|
|
|
|
4,843,679
|
|
Serbia–0.16%
|
|||
|
Telecommunications Co.
Telekom Srbija AD
Belgrade, 7.00%,
10/28/2029(c)
|
|
2,468,000
|
2,460,068
|
|
Spain–0.33%
|
|||
|
Repsol E&P Capital Markets US LLC,
|
|
|
|
|
4.81%, 09/16/2028(c)
|
|
1,909,000
|
1,909,094
|
|
5.20%, 09/16/2030(c)
|
|
1,934,000
|
1,934,266
|
|
5.98%, 09/16/2035(c)
|
|
1,250,000
|
1,255,407
|
|
|
|
|
5,098,767
|
|
Sweden–2.03%
|
|||
|
Skandinaviska Enskilda
Banken AB,
6.88%(c)(d)(e)
|
|
14,000,000
|
14,194,288
|
|
Svenska Handelsbanken AB,
4.38%(c)(d)(e)
|
|
11,600,000
|
11,520,706
|
|
Swedbank AB, 7.75%(c)(d)(e)
|
|
5,000,000
|
5,245,250
|
|
|
|
|
30,960,244
|
|
Switzerland–2.18%
|
|||
|
Argentum Netherlands B.V.
for Swiss Re Ltd.,
5.63%,
08/15/2052(c)(d)
|
|
333,000
|
333,337
|
|
Credit Suisse Group AG,
6.25%(c)(d)(e)(i)(j)
|
|
9,800,000
|
2,790,550
|
|
UBS Group AG,
|
|
|
|
|
7.75%(c)(d)(e)
|
|
10,000,000
|
10,466,930
|
|
9.25%(c)(d)(e)
|
|
5,000,000
|
5,733,105
|
|
7.00%(c)(d)(e)
|
|
5,000,000
|
5,061,160
|
|
Zurich Finance (Ireland)
DAC, 3.50%,
05/02/2052(c)(d)
|
|
5,000,000
|
4,491,335
|
|
Zurich Finance Ireland
Designated Activity Co.,
3.00%,
04/19/2051(c)(d)
|
|
5,000,000
|
4,478,268
|
|
|
|
|
33,354,685
|
|
|
Principal
Amount
|
Value
|
|
|
Turkey–0.16%
|
|||
|
Akbank T.A.S., 7.88%,
09/04/2035(c)(d)
|
|
$2,500,000
|
$2,498,042
|
|
United Kingdom–2.27%
|
|||
|
Aberdeen Group PLC,
4.25%, 06/30/2028(c)
|
|
2,000,000
|
1,963,483
|
|
B.A.T. Capital Corp.,
3.56%, 08/15/2027
|
|
7,000,000
|
6,932,866
|
|
British Telecommunications
PLC, 4.25%,
11/23/2081(c)(d)
|
|
4,400,000
|
4,381,168
|
|
Hiscox Ltd., 7.00%,
06/11/2036(c)(d)
|
|
2,500,000
|
2,603,809
|
|
HSBC Holdings PLC,
6.75%(d)(e)
|
|
5,000,000
|
5,029,825
|
|
Lancashire Holdings Ltd.,
5.63%,
09/18/2041(c)(d)
|
|
5,000,000
|
4,875,706
|
|
Legal & General Group PLC,
5.25%,
03/21/2047(c)(d)
|
|
1,171,000
|
1,171,458
|
|
Standard Chartered PLC,
7.75%(c)(d)(e)
|
|
7,500,000
|
7,704,495
|
|
|
|
|
34,662,810
|
|
United States–0.20%
|
|||
|
BP Capital Markets PLC,
4.88%(d)(e)
|
|
1,500,000
|
1,466,376
|
|
U.S. International
Development Finance
Corp., Series 4, 3.13%,
04/15/2028
|
|
1,600,000
|
1,579,165
|
|
|
|
|
3,045,541
|
|
Uzbekistan–0.13%
|
|||
|
Navoi Mining & Metallurgical
Co., 6.70%,
10/17/2028(c)
|
|
2,000,000
|
2,042,442
|
|
Total U.S. Dollar Denominated Bonds & Notes
(Cost $278,152,692)
|
272,469,409
|
||
|
|
|
|
|
|
Asset-Backed Securities–15.28%
|
|||
|
Alba PLC,
|
|
|
|
|
Series 2007-1, Class F,
7.12% (SONIA +
3.37%),
03/17/2039(a)(c)(k)
|
GBP
|
2,097,608
|
2,672,529
|
|
Series 2006-2, Class F,
7.12% (SONIA +
3.37%),
12/15/2038(a)(c)(k)
|
GBP
|
728,076
|
911,851
|
|
Series 2006-2, Class E,
4.82% (SONIA +
1.07%),
12/15/2038(a)(c)(k)
|
GBP
|
2,355,540
|
2,927,129
|
|
Auburn 15 PLC,
|
|
|
|
|
Series E, 5.74% (SONIA
+ 2.00%),
07/20/2045(a)(c)(k)
|
GBP
|
870,000
|
1,162,711
|
|
Series F, 6.24% (SONIA
+ 2.50%),
07/20/2045(a)(c)(k)
|
GBP
|
1,035,000
|
1,383,788
|
|
|
Principal
Amount
|
Value
|
|
|
Braccan Mortgage Funding
PLC, Series 2025-2X,
Class B, 4.85% (SONIA +
1.10%),
01/17/2068(a)(c)(k)
|
GBP
|
2,172,000
|
$2,932,314
|
|
Bridgegate Funding PLC,
Series 2023-1A,
Class BR, 0.00% (SONIA
+ 1.50%),
05/15/2080(a)(c)(f)(k)
|
GBP
|
8,000,000
|
10,811,128
|
|
East One PLC,
|
|
|
|
|
Series 2025-1, Class C,
5.64% (SONIA +
1.90%),
02/25/2058(a)(c)(k)
|
GBP
|
787,997
|
1,071,272
|
|
Series 2025-1, Class B,
5.14% (SONIA +
1.40%),
02/25/2058(a)(c)(k)
|
GBP
|
820,997
|
1,110,782
|
|
Series 2025-1, Class D,
5.99% (SONIA +
2.25%),
02/25/2058(a)(c)(k)
|
GBP
|
124,999
|
169,468
|
|
Series 2025-1, Class E,
6.97% (SONIA +
3.23%),
02/25/2058(a)(c)(k)
|
GBP
|
107,000
|
145,122
|
|
Eurohome UK Mortgages PLC,
|
|
|
|
|
Series 2007-1,
Class M2, 4.37% (SONIA
+ 0.62%),
06/15/2044(a)(c)(k)
|
GBP
|
104,000
|
138,339
|
|
Series 2007-2,
Class B1, 5.27% (SONIA
+ 1.52%),
09/15/2044(a)(c)(k)
|
GBP
|
6,610,000
|
8,873,149
|
|
Series 2007-1,
Class M1, 4.17% (SONIA
+ 0.42%),
06/15/2044(a)(c)(k)
|
GBP
|
460,000
|
616,798
|
|
Series 2007-2,
Class B2, 7.87% (SONIA
+ 4.12%),
09/15/2044(a)(c)(k)
|
GBP
|
3,750,000
|
5,024,590
|
|
Eurosail PLC,
Series 2007-4X,
Class D1A, 5.62%
(SONIA + 1.87%),
06/13/2045(a)(c)(k)
|
GBP
|
4,094,013
|
4,892,127
|
|
Eurosail-UK NC PLC,
|
|
|
|
|
Series 2007-1X,
Class D1C, 4.76%
(SONIA + 1.01%),
03/13/2045(a)(c)(k)
|
GBP
|
2,500,000
|
2,980,601
|
|
Series 2007-1X,
Class D1A, 3.24% (3
mo. EURIBOR + 0.84%),
03/13/2045(a)(c)(k)
|
EUR
|
3,967,000
|
4,022,796
|
|
Frontier Mortgage Funding PLC,
|
|
|
|
|
Series 2025-1, Class E,
6.24% (SONIA +
2.50%),
12/20/2066(a)(c)(k)
|
GBP
|
6,442,000
|
8,680,751
|
|
Series 2025-1, Class F,
7.24% (SONIA +
3.50%),
12/20/2066(a)(c)(k)
|
GBP
|
4,628,000
|
6,236,579
|
|
|
Principal
Amount
|
Value
|
|
|
Harvest Funding PLC,
|
|
|
|
|
Series 1A, Class C,
0.00% (SONIA +
1.70%),
11/15/2069(a)(c)(f)(k)
|
GBP
|
2,425,000
|
$3,265,475
|
|
Series 1A, Class A,
0.00% (SONIA +
0.90%),
11/15/2069(a)(c)(f)(k)
|
GBP
|
7,000,000
|
9,433,934
|
|
Series 1A, Class B,
0.00% (SONIA +
1.30%),
11/15/2069(a)(c)(f)(k)
|
GBP
|
2,500,000
|
3,354,743
|
|
Jupiter Mortgage No.1 PLC,
|
|
|
|
|
Series 1A, Class ER,
7.75% (SONIA +
4.00%),
07/20/2055(a)(c)(k)
|
GBP
|
2,200,000
|
2,971,263
|
|
Series 1A, Class FR,
8.75% (SONIA +
5.00%),
07/20/2055(a)(c)(k)
|
GBP
|
2,000,000
|
2,701,116
|
|
Ludgate Funding PLC,
Series 2007-1,
Class RES, 0.00%,
01/01/2061(a)(c)(f)(l)
|
GBP
|
207,500,000
|
2,676,330
|
|
Mansard Mortgages PLC,
|
|
|
|
|
Series 2006-1X,
Class B2, 7.37% (SONIA
+ 3.62%),
10/15/2048(a)(c)(k)
|
GBP
|
3,129,741
|
4,178,498
|
|
Series 2007-1X,
Class B2, 6.87% (SONIA
+ 3.12%),
04/15/2049(a)(c)(k)
|
GBP
|
1,810,006
|
2,314,866
|
|
Mortgage Funding PLC,
Series 2008-1,
Class B2, 7.07% (SONIA
+ 3.32%),
03/13/2046(a)(c)(k)
|
GBP
|
6,580,280
|
8,336,489
|
|
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
|
3,670,822
|
|
Series 2024-3X, Class E,
7.49% (SONIA +
3.75%),
11/15/2032(a)(c)(k)
|
GBP
|
3,480,000
|
4,754,634
|
|
Series 2025-2X, Class E,
6.74% (SONIA +
3.00%),
07/15/2033(a)(c)(k)
|
GBP
|
6,250,000
|
8,422,616
|
|
|
Principal
Amount
|
Value
|
|
|
Newgate Funding PLC,
|
|
|
|
|
Series 2006-2, Class CB,
2.75% (3 mo. EURIBOR
+ 0.43%),
12/01/2050(a)(c)(k)
|
EUR
|
1,412,749
|
$1,544,705
|
|
Series 2007-2X,
Class CB, 2.84% (3 mo.
EURIBOR + 0.44%),
12/15/2050(a)(c)(k)
|
EUR
|
1,772,031
|
1,877,190
|
|
Series 2007-1X,
Class CB, 2.65% (3 mo.
EURIBOR + 0.38%),
12/01/2050(a)(c)(k)
|
EUR
|
1,037,129
|
1,099,911
|
|
Series 2007-3X,
Class CB, 3.90% (3 mo.
EURIBOR + 1.50%),
12/15/2050(a)(c)(k)
|
EUR
|
863,095
|
969,759
|
|
Paragon Mortgages (No.
12) PLC, Series B1B,
2.76% (3 mo. EURIBOR
+ 0.48%),
11/15/2038(a)(c)(k)
|
EUR
|
994,784
|
1,119,192
|
|
Pavillion Consumer PLC,
|
|
|
|
|
Series 2025-1A,
Class C, 5.34% (SONIA +
1.60%),
01/25/2036(a)(c)(k)
|
GBP
|
10,000,000
|
13,492,157
|
|
Series 2025-1A, Class D,
5.64% (SONIA +
1.90%),
01/25/2036(a)(c)(k)
|
GBP
|
5,000,000
|
6,728,753
|
|
RMAC Securities No. 1 PLC,
|
|
|
|
|
Series 2006-NS4X,
Class B1C, 3.25% (3
mo. EURIBOR + 0.85%),
06/12/2044(a)(c)(k)
|
EUR
|
4,577,677
|
4,972,939
|
|
Series 2006-NS3X,
Class A2, 4.02% (SONIA
+ 0.27%),
06/12/2044(a)(c)(k)
|
GBP
|
9,374,444
|
12,536,965
|
|
Series 2007-NS1X,
Class B1, 3.60% (3 mo.
EURIBOR + 1.20%),
06/12/2044(a)(c)(k)
|
EUR
|
393,042
|
425,845
|
|
Series 2006-NS2X,
Class A2, 4.02% (SONIA
+ 0.27%),
06/12/2044(a)(c)(k)
|
GBP
|
3,475,327
|
4,647,842
|
|
Series 2006-NS4X,
Class A3, 4.04% (SONIA
+ 0.29%),
06/12/2044(a)(c)(k)
|
GBP
|
2,052,600
|
2,744,903
|
|
Series 2007-NS1X,
Class A2, 4.02% (SONIA
+ 0.27%),
06/12/2044(a)(c)(k)
|
GBP
|
2,144,480
|
2,850,860
|
|
Towd Point Mortgage Funding 2024
- Granite 6 PLC,
|
|
|
|
|
Series 2024-GR6X,
Class F, 8.25% (SONIA +
4.50%),
07/20/2053(a)(c)(k)
|
GBP
|
1,000,000
|
1,349,485
|
|
Series 2024-GR6X,
Class E, 7.25% (SONIA +
3.50%),
07/20/2053(a)(c)(k)
|
GBP
|
1,435,000
|
1,939,397
|
|
|
Principal
Amount
|
Value
|
|
|
Towd Point Mortgage
Funding 2024 - Granite
7 PLC, Series 2024-
GR7X, Class E, 6.99%
(SONIA + 3.25%),
04/20/2051(a)(c)(k)
|
GBP
|
1,125,000
|
$1,518,282
|
|
Sestante Finance S.r.l.,
Series 2005, Class C1,
3.23% (3 mo. EURIBOR
+ 0.80%),
07/15/2045(a)(c)(k)
|
EUR
|
9,700,000
|
7,008,051
|
|
Fondo de Titulizacion
Santander Consumo 9,
Series E, 7.02% (3 mo.
EURIBOR + 4.55%),
10/25/2040(a)(c)(k)
|
EUR
|
4,500,000
|
5,269,762
|
|
IM Pastor 4, FTA, Series B,
2.58% (3 mo. EURIBOR
+ 0.19%),
03/22/2044(a)(c)(k)
|
EUR
|
3,800,000
|
3,371,400
|
|
Fideicomiso Dorrego Y Libertador,
|
|
|
|
|
Series 1A, 2.00%,
12/31/2043(j)
|
|
$10,843,617
|
9,721,303
|
|
0.00%,
12/31/2043(a)(f)(j)(l)
|
ARS
|
117,222,368
|
0
|
|
Fideicomiso Financiero
Invernea Proteina 2,
Serie II, 0.00%,
08/25/2032(a)(f)(j)(l)
|
ARS
|
445,000,000
|
2,452,494
|
|
Hera Financing DAC,
|
|
|
|
|
Series 2024-1A,
Class B, 6.70% (SONIA +
2.95%),
11/17/2034(a)(c)(k)
|
GBP
|
2,249,806
|
3,050,182
|
|
Series 2024-1A,
Class C, 7.50% (SONIA +
3.75%),
11/17/2034(a)(c)(k)
|
GBP
|
1,285,466
|
1,751,536
|
|
Series 2024-1A,
Class A, 5.65% (SONIA +
1.90%),
11/17/2034(a)(c)(k)
|
GBP
|
1,607,555
|
2,168,503
|
|
Allied Credit ABS Trust,
Series 2025-2, Class A,
5.18% (1 mo. BBSW +
0.87%),
09/17/2033(a)(c)(k)
|
AUD
|
3,468,275
|
2,437,206
|
|
Latitude Australia Personal
Loans Trust,
Series 2025-1, Class A,
5.31% (1 mo. BBSW +
1.00%),
09/17/2033(a)(c)(k)
|
AUD
|
1,103,660
|
777,204
|
|
Panorama Auto Trust,
Series 2025-1, Class A,
5.28% (1 mo. BBSW +
0.97%),
03/15/2033(a)(c)(k)
|
AUD
|
2,512,584
|
1,768,564
|
|
Pepper Residential
Securities Trust No. 41,
Series A1-A, 5.31% (1
mo. BBSW + 1.00%),
07/12/2067(a)(c)(k)
|
AUD
|
9,182,414
|
6,453,259
|
|
Progress Trust,
Series 2023-2, Class A,
5.46% (1 mo. BBSW +
1.15%),
07/12/2054(a)(k)
|
AUD
|
5,657,577
|
4,004,999
|
|
|
Principal
Amount
|
Value
|
|
|
RAF Trust, Series 2025-1,
Class A, 5.26% (1 mo.
BBSW + 0.95%),
12/09/2031(a)(c)(k)
|
AUD
|
696,774
|
$490,388
|
|
Total Asset-Backed Securities
(Cost $236,955,444)
|
233,387,646
|
||
|
|
|
|
|
|
U.S. Treasury Securities–3.55%
|
|||
|
U.S. Treasury Bills–3.55%
|
|||
|
3.62 - 3.71%,
09/17/2026
(Cost $54,270,596)(m)(n)(o)
|
|
$54,270,596
|
54,277,218
|
|
|
Shares |
|
|
|
Common Stocks & Other Equity Interests–3.17%
|
|||
|
Argentina–3.17%
|
|||
|
Banco BBVA Argentina S.A.
|
1,484,411
|
9,982,582
|
|
|
Banco Macro S.A., Class B
|
1,558,631
|
15,087,784
|
|
|
Cresud S.A. Comercial Inmobiliaria
Financiera y Agropecuaria
|
3,420,000
|
4,065,744
|
|
|
Grupo Financiero Galicia S.A.,
Class B
|
3,409,225
|
18,118,868
|
|
|
Pampa Energia S.A., ADR(p)
|
12,189
|
1,076,532
|
|
|
Total Common Stocks & Other Equity Interests
(Cost $36,033,596)
|
48,331,510
|
||
|
|
Principal
Amount
|
|
|
|
Commercial Paper–0.05%
|
|||
|
Argentina–0.05%
|
|||
|
TMF Trust Co. (Argentina)
S.A., 12.00%,
01/07/2027(j)(o)
|
|
$529,802
|
534,408
|
|
TMF Trust Co. (Argentina)
S.A., 12.00%,
04/07/2027(j)(o)
|
|
234,251
|
237,477
|
|
Total Commercial Paper (Cost $764,053)
|
771,885
|
||
|
|
Shares
|
Value
|
|
|
Money Market Funds–6.04%
|
|||
|
Invesco Government & Agency
Portfolio, Institutional Class,
3.64%(q)(r)
|
32,270,655
|
$32,270,655
|
|
|
Invesco Treasury Portfolio,
Institutional Class, 3.63%(q)(r)
|
59,931,216
|
59,931,216
|
|
|
Total Money Market Funds (Cost $92,201,871)
|
92,201,871
|
||
|
|
|||
|
Options Purchased–2.95%
|
|||
|
(Cost $58,054,244)(s)
|
45,028,463
|
||
|
TOTAL INVESTMENTS IN
SECURITIES (excluding
Investments purchased
with cash collateral from
securities on
loan)-96.48%
(Cost $1,476,662,041)
|
|
|
1,473,320,606
|
|
Investments Purchased with Cash Collateral from
Securities on Loan
|
|||
|
Money Market Funds–0.70%
|
|||
|
Invesco Private Government Fund,
3.69%(q)(r)(t)
|
2,951,653
|
2,951,653
|
|
|
Invesco Private Prime Fund,
3.82%(q)(r)(t)
|
7,668,066
|
7,668,833
|
|
|
Total Investments Purchased with Cash Collateral
from Securities on Loan (Cost $10,620,082)
|
10,620,486
|
||
|
TOTAL INVESTMENTS IN SECURITIES—97.18%
(Cost $1,487,282,123)
|
1,483,941,092
|
||
|
OTHER ASSETS LESS LIABILITIES–2.82%
|
43,091,037
|
||
|
NET ASSETS–100.00%
|
$1,527,032,129
|
||
|
ADR
|
– American Depositary Receipt
|
|
ARS
|
– Argentina Peso
|
|
AUD
|
– Australian Dollar
|
|
BBSW
|
– Bank Bill Swap Rate
|
|
BRL
|
– Brazilian Real
|
|
COP
|
– Colombia Peso
|
|
EUR
|
– Euro
|
|
EURIBOR
|
– Euro Interbank Offered Rate
|
|
GBP
|
– British Pound Sterling
|
|
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
July 31, 2026 was $674,554,060, which represented 44.17% 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 July 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 July 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 July 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 July 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 nine months ended July 31, 2026.
|
|
|
Value
October 31, 2025
|
Purchases
at Cost
|
Proceeds
from Sales
|
Change in
Unrealized
Appreciation
|
Realized
Gain
(Loss)
|
Value
July 31, 2026
|
Dividend Income
|
|
Investments in Affiliated Money Market
Funds:
|
|
|
|
|
|
|
|
|
Invesco Government & Agency Portfolio,
Institutional Class
|
$63,741,013
|
$352,031,980
|
$(383,502,338)
|
$-
|
$-
|
$32,270,655
|
$1,124,525
|
|
Invesco Treasury Portfolio, Institutional Class
|
118,376,168
|
653,773,676
|
(712,218,628)
|
-
|
-
|
59,931,216
|
2,072,576
|
|
Investments Purchased with Cash Collateral
from Securities on Loan:
|
|
|
|
|
|
|
|
|
Invesco Private Government Fund
|
4,151,180
|
39,716,687
|
(40,916,214)
|
-
|
-
|
2,951,653
|
82,313*
|
|
Invesco Private Prime Fund
|
10,805,657
|
81,662,114
|
(84,797,531)
|
433
|
(1,840)
|
7,668,833
|
224,301*
|
|
Total
|
$197,074,018
|
$1,127,184,457
|
$(1,221,434,711)
|
$433
|
$(1,840)
|
$102,822,357
|
$3,503,715
|
|
*
|
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 July 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
|
||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
Notional
Value
|
Value
|
||
|
Currency Risk
|
||||||||
|
AUD versus USD
|
Call
|
Deutsche Bank AG
|
08/31/2026
|
USD
|
0.73
|
AUD
|
5,000,000
|
$76,825
|
|
AUD versus USD
|
Call
|
Goldman Sachs International
|
09/10/2026
|
USD
|
0.72
|
AUD
|
7,500,000
|
700,318
|
|
AUD versus USD
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
08/04/2026
|
USD
|
0.74
|
AUD
|
3,750,000
|
3
|
|
AUD versus USD
|
Call
|
Merrill Lynch International
|
10/21/2026
|
USD
|
0.72
|
AUD
|
5,000,000
|
355,062
|
|
EUR versus USD
|
Call
|
Deutsche Bank AG
|
10/09/2026
|
USD
|
1.19
|
EUR
|
5,000,000
|
279,702
|
|
EUR versus USD
|
Call
|
Goldman Sachs International
|
08/07/2026
|
USD
|
1.20
|
EUR
|
7,500,000
|
605
|
|
EUR versus USD
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
08/13/2026
|
USD
|
1.20
|
EUR
|
7,500,000
|
4,982
|
|
EUR versus USD
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
10/09/2026
|
USD
|
1.19
|
EUR
|
7,500,000
|
356,107
|
|
EUR versus USD
|
Call
|
UBS AG
|
08/14/2026
|
USD
|
1.20
|
EUR
|
5,000,000
|
4,566
|
|
Subtotal — Foreign Currency Call Options Purchased
|
1,778,170
|
|||||||
|
Open Over-The-Counter Foreign Currency Options Purchased—(continued)
|
||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
Notional
Value
|
Value
|
||
|
Currency Risk
|
||||||||
|
CHF versus JPY
|
Put
|
Goldman Sachs International
|
07/21/2027
|
JPY
|
147.00
|
CHF
|
20,000,000
|
$67,611
|
|
CHF versus JPY
|
Put
|
UBS AG
|
09/17/2026
|
JPY
|
161.00
|
CHF
|
7,500,000
|
8,758
|
|
CHF versus JPY
|
Put
|
UBS AG
|
10/23/2026
|
JPY
|
165.00
|
CHF
|
7,500,000
|
25,252
|
|
CHF versus JPY
|
Put
|
UBS AG
|
01/20/2027
|
JPY
|
170.00
|
CHF
|
7,500,000
|
113,875
|
|
EUR versus HUF
|
Put
|
Goldman Sachs International
|
11/30/2026
|
HUF
|
335.00
|
EUR
|
50,000,000
|
7,668
|
|
EUR versus HUF
|
Put
|
Merrill Lynch International
|
03/16/2027
|
HUF
|
330.00
|
EUR
|
7,500,000
|
121,340
|
|
EUR versus INR
|
Put
|
Barclays Bank PLC
|
10/13/2026
|
INR
|
106.00
|
EUR
|
5,000,000
|
305,366
|
|
EUR versus NOK
|
Put
|
Deutsche Bank AG
|
09/14/2026
|
NOK
|
11.00
|
EUR
|
75,000,000
|
181,189
|
|
EUR versus NOK
|
Put
|
Goldman Sachs International
|
11/12/2026
|
NOK
|
10.25
|
EUR
|
6,250,000
|
186,572
|
|
USD versus BRL
|
Put
|
Barclays Bank PLC
|
09/16/2026
|
BRL
|
4.85
|
USD
|
2,500,000
|
101,740
|
|
USD versus BRL
|
Put
|
Goldman Sachs International
|
09/10/2026
|
BRL
|
4.65
|
USD
|
12,500,000
|
22,313
|
|
USD versus BRL
|
Put
|
Goldman Sachs International
|
09/29/2026
|
BRL
|
4.83
|
USD
|
5,000,000
|
274,020
|
|
USD versus BRL
|
Put
|
Goldman Sachs International
|
10/19/2026
|
BRL
|
5.00
|
USD
|
75,000,000
|
133,950
|
|
USD versus BRL
|
Put
|
Goldman Sachs International
|
12/21/2026
|
BRL
|
4.75
|
USD
|
10,000,000
|
1,144,620
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
10/14/2026
|
BRL
|
5.03
|
USD
|
5,000,000
|
547,615
|
|
USD versus BRL
|
Put
|
Merrill Lynch International
|
08/12/2026
|
BRL
|
4.75
|
USD
|
10,000,000
|
5,780
|
|
USD versus BRL
|
Put
|
Merrill Lynch International
|
09/29/2026
|
BRL
|
4.80
|
USD
|
5,000,000
|
202,790
|
|
USD versus CLP
|
Put
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
855.00
|
USD
|
50,000,000
|
264,550
|
|
USD versus CLP
|
Put
|
Merrill Lynch International
|
10/26/2026
|
CLP
|
910.00
|
USD
|
5,000,000
|
426,250
|
|
USD versus CLP
|
Put
|
Morgan Stanley and Co.
International PLC
|
10/15/2026
|
CLP
|
870.00
|
USD
|
50,000,000
|
120,250
|
|
USD versus JPY
|
Put
|
Deutsche Bank AG
|
09/11/2026
|
JPY
|
150.00
|
USD
|
10,000,000
|
695,000
|
|
USD versus JPY
|
Put
|
Goldman Sachs International
|
05/12/2027
|
JPY
|
120.00
|
USD
|
12,500,000
|
60,263
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
08/13/2026
|
JPY
|
135.00
|
USD
|
7,500,000
|
4,943
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
02/04/2027
|
JPY
|
140.00
|
USD
|
7,500,000
|
281,160
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
08/18/2027
|
JPY
|
117.50
|
USD
|
12,500,000
|
76,950
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
11/11/2027
|
JPY
|
115.00
|
USD
|
12,500,000
|
87,525
|
|
USD versus JPY
|
Put
|
UBS AG
|
08/27/2026
|
JPY
|
140.00
|
USD
|
15,000,000
|
67,350
|
|
USD versus JPY
|
Put
|
UBS AG
|
10/16/2026
|
JPY
|
145.00
|
USD
|
10,000,000
|
327,310
|
|
USD versus KRW
|
Put
|
Goldman Sachs International
|
02/04/2027
|
KRW
|
1,310.00
|
USD
|
5,000,000
|
437,090
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
11/10/2026
|
KRW
|
1,350.00
|
USD
|
3,750,000
|
401,850
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
06/04/2027
|
KRW
|
1,200.00
|
USD
|
12,500,000
|
404,912
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
06/04/2027
|
KRW
|
1,250.00
|
USD
|
25,000,000
|
2,740,150
|
|
USD versus MXN
|
Put
|
Deutsche Bank AG
|
09/25/2026
|
MXN
|
17.20
|
USD
|
5,000,000
|
787,285
|
|
USD versus MXN
|
Put
|
Goldman Sachs International
|
08/13/2026
|
MXN
|
16.90
|
USD
|
6,250,000
|
118,306
|
|
USD versus MXN
|
Put
|
Goldman Sachs International
|
10/21/2026
|
MXN
|
17.10
|
USD
|
5,000,000
|
2,550
|
|
USD versus MXN
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
10/14/2026
|
MXN
|
16.25
|
USD
|
5,000,000
|
76,375
|
|
USD versus TWD
|
Put
|
Merrill Lynch International
|
12/14/2026
|
TWD
|
32.00
|
USD
|
75,000,000
|
117,450
|
|
USD versus ZAR
|
Put
|
Deutsche Bank AG
|
09/11/2026
|
ZAR
|
16.15
|
USD
|
2,500,000
|
368,302
|
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
09/16/2026
|
ZAR
|
16.05
|
USD
|
50,000,000
|
144,850
|
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
09/22/2026
|
ZAR
|
16.10
|
USD
|
5,000,000
|
736,475
|
|
USD versus ZAR
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
12/02/2026
|
ZAR
|
16.10
|
USD
|
5,000,000
|
445,070
|
|
USD versus ZAR
|
Put
|
Merrill Lynch International
|
09/16/2026
|
ZAR
|
16.25
|
USD
|
50,000,000
|
297,150
|
|
USD versus ZAR
|
Put
|
UBS AG
|
11/10/2026
|
ZAR
|
16.00
|
USD
|
37,500,000
|
233,363
|
|
Subtotal — Foreign Currency Put Options Purchased
|
13,173,188
|
|||||||
|
Total Foreign Currency Options Purchased
|
$14,951,358
|
|||||||
|
Open Over-The-Counter Interest Rate Swaptions Purchased
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Pay/
Receive
Exercise
Rate
|
Floating Rate
Index
|
Payment
Frequency
|
Expiration
Date
|
Notional
Value
|
Value
|
|
|
Interest Rate Risk
|
||||||||||
|
2 Year Interest Rate Swap
|
Call
|
Goldman Sachs
International
|
2.85%
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
09/12/2030
|
EUR
|
195,560,000
|
$1,687,144
|
|
2 Year Interest Rate Swap
|
Call
|
Goldman Sachs
International
|
3.39
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
05/13/2033
|
EUR
|
231,000,000
|
3,040,820
|
|
10 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
3.70
|
Receive
|
SOFR
|
Annually
|
09/24/2035
|
USD
|
33,333,333
|
1,371,048
|
|
20 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.12
|
Receive
|
SOFR
|
Annually
|
10/17/2035
|
USD
|
66,670,000
|
1,514,026
|
|
Subtotal — Interest Rate Call Swaptions Purchased
|
|
|
|
|
|
|
|
7,613,038
|
||
|
Interest Rate Risk
|
||||||||||
|
30 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
3.18
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
05/28/2027
|
EUR
|
33,330,000
|
2,179,491
|
|
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
|
13,423,710
|
|
10 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
5.20
|
Pay
|
SOFR
|
Annually
|
09/24/2035
|
USD
|
33,333,333
|
2,279,569
|
|
20 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
6.12
|
Pay
|
SOFR
|
Annually
|
10/17/2035
|
USD
|
66,670,000
|
4,521,621
|
|
Subtotal — Interest Rate Put Swaptions Purchased
|
|
|
|
|
|
|
|
22,404,391
|
||
|
Total Interest Rate Swaptions Purchased
|
|
|
|
|
|
|
|
$30,017,429
|
||
|
Open Over-The-Counter Credit Default Swaptions Purchased
|
||||||||||
|
Counterparty
|
Type of
Contract
|
Exercise
Rate
|
Reference
Entity
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Expiration
Date
|
Implied
Credit
Spread(a)
|
Notional
Value
|
Value
|
|
|
Credit Risk
|
||||||||||
|
Goldman Sachs
International
|
Put
|
60.00%
|
Markit CDX North America
Investment Grade Index,
Series 46, Version 1
|
(1.00)
|
Quarterly
|
09/16/2026
|
0.529%
|
USD
|
80,000,000
|
$59,676
|
|
(a)
|
Implied credit spreads represent the current level, as of July 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 Credit Default Swaptions Written
|
||||||||||||
|
Counterparty
|
Type of
Contract
|
Exercise
Rate
|
Reference
Entity
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Expiration
Date
|
Implied
Credit
Spread(a)
|
|
Notional
Value
|
|
Value
|
|
|
Credit Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
Put
|
105.00
%
|
Markit CDX North America High Yield
Index, Series 46, Version 1
|
(5.00
)%
|
Quarterly
|
09/16/2026
|
3.115
%
|
|
USD
|
50,000,000
|
|
$(123,130
)
|
|
Goldman Sachs International
|
Put
|
312.50
|
Markit iTraxx Europe Crossover
Index, Series 45, Version 1
|
(5.00
)
|
Quarterly
|
09/16/2026
|
2.613
|
|
EUR
|
25,000,000
|
|
(84,003
)
|
|
J.P. Morgan Chase Bank, N.A.
|
Put
|
350.00
|
Markit iTraxx Europe Crossover
Index, Series 45, Version 1
|
(5.00
)
|
Quarterly
|
12/16/2026
|
2.613
|
|
EUR
|
30,000,000
|
|
(264,470
)
|
|
Total Credit Default Swaptions Written
|
|
|
|
|
|
|
|
|
|
|
$(471,603
)
|
|
|
(a)
|
Implied credit spreads represent the current level, as of July 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
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
|
Notional
Value
|
|
Value
|
||
|
Currency Risk
|
||||||||||
|
EUR versus HUF
|
Call
|
Merrill Lynch International
|
06/16/2027
|
HUF
|
375.00
|
|
EUR
|
62,500,000
|
|
$(1,975,490
)
|
|
EUR versus NOK
|
Call
|
Goldman Sachs International
|
11/12/2026
|
NOK
|
11.15
|
|
EUR
|
62,500,000
|
|
(630,701
)
|
|
USD versus BRL
|
Call
|
Goldman Sachs International
|
12/21/2026
|
BRL
|
5.50
|
|
USD
|
25,000,000
|
|
(465,150
)
|
|
USD versus CLP
|
Call
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
950.00
|
|
USD
|
50,000,000
|
|
(1,165,000
)
|
|
USD versus CLP
|
Call
|
Merrill Lynch International
|
10/26/2026
|
CLP
|
1,000.00
|
|
USD
|
37,500,000
|
|
(203,813
)
|
|
USD versus CLP
|
Call
|
Morgan Stanley and Co.
International PLC
|
10/15/2026
|
CLP
|
930.00
|
|
USD
|
50,000,000
|
|
(1,069,900
)
|
|
USD versus KRW
|
Call
|
Morgan Stanley and Co.
International PLC
|
11/25/2026
|
KRW
|
1,560.00
|
|
USD
|
50,000,000
|
|
(195,350
)
|
|
USD versus MXN
|
Call
|
Goldman Sachs International
|
11/12/2026
|
MXN
|
18.00
|
|
USD
|
50,000,000
|
|
(479,800
)
|
|
USD versus MXN
|
Call
|
Merrill Lynch International
|
09/29/2026
|
MXN
|
18.25
|
|
USD
|
125,000,000
|
|
(395,125
)
|
|
USD versus TRY
|
Call
|
Goldman Sachs International
|
08/02/2027
|
TRY
|
63.75
|
|
USD
|
87,500,000
|
|
(7,032,112
)
|
|
USD versus TWD
|
Call
|
Merrill Lynch International
|
12/14/2026
|
TWD
|
33.00
|
|
USD
|
35,000,000
|
|
(256,760
)
|
|
USD versus ZAR
|
Call
|
Deutsche Bank AG
|
08/27/2026
|
ZAR
|
17.05
|
|
USD
|
50,000,000
|
|
(175,150
)
|
|
USD versus ZAR
|
Call
|
Goldman Sachs International
|
12/23/2026
|
ZAR
|
17.50
|
|
USD
|
50,000,000
|
|
(628,050
)
|
|
USD versus ZAR
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
02/01/2027
|
ZAR
|
18.35
|
|
USD
|
50,000,000
|
|
(404,250
)
|
|
USD versus ZAR
|
Call
|
Merrill Lynch International
|
09/16/2026
|
ZAR
|
17.50
|
|
USD
|
50,000,000
|
|
(146,000
)
|
|
USD versus ZAR
|
Call
|
UBS AG
|
11/10/2026
|
ZAR
|
17.85
|
|
USD
|
37,500,000
|
|
(206,812
)
|
|
Subtotal — Foreign Currency Call Options Written
|
|
|
|
|
|
|
(15,429,463
)
|
|||
|
Currency Risk
|
||||||||||
|
AUD versus USD
|
Put
|
Goldman Sachs International
|
10/27/2026
|
USD
|
0.69
|
|
AUD
|
100,000,000
|
|
(553,069
)
|
|
USD versus CLP
|
Put
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
805.00
|
|
USD
|
100,000,000
|
|
(103,500
)
|
|
USD versus CLP
|
Put
|
Morgan Stanley and Co.
International PLC
|
10/15/2026
|
CLP
|
830.00
|
|
USD
|
50,000,000
|
|
(17,500
)
|
|
USD versus MXN
|
Put
|
Merrill Lynch International
|
09/29/2026
|
MXN
|
17.00
|
|
USD
|
125,000,000
|
|
(442,375
)
|
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
09/16/2026
|
ZAR
|
15.60
|
|
USD
|
50,000,000
|
|
(18,900
)
|
|
USD versus ZAR
|
Put
|
Merrill Lynch International
|
09/16/2026
|
ZAR
|
15.55
|
|
USD
|
50,000,000
|
|
(14,700
)
|
|
USD versus ZAR
|
Put
|
UBS AG
|
11/10/2026
|
ZAR
|
15.00
|
|
USD
|
37,500,000
|
|
(11,625
)
|
|
Subtotal — Foreign Currency Put Options Written
|
|
|
|
|
|
|
(1,161,669
)
|
|||
|
Total Foreign Currency Options Written
|
|
|
|
|
|
|
$(16,591,132
)
|
|||
|
Open Over-The-Counter Interest Rate Swaptions Written
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Pay/
Receive
Exercise
Rate
|
Floating
Rate Index
|
Payment
Frequency
|
Expiration
Date
|
Notional
Value
|
Value
|
|
|
Interest Rate Risk
|
||||||||||
|
10 Year Interest Rate
Swap
|
Call
|
BNP Paribas S.A.
|
3.10%
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
10/16/2026
|
EUR
|
50,000,000
|
$(205,428
)
|
|
10 Year Interest Rate
Swap
|
Call
|
BNP Paribas S.A.
|
3.26
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
01/22/2027
|
EUR
|
32,395,000
|
(512,967
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.10
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
08/28/2026
|
EUR
|
10,000,000
|
(6,621
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.09
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
10/15/2026
|
EUR
|
61,665,000
|
(230,644
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.11
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
10/16/2026
|
EUR
|
120,000,000
|
(539,024
)
|
|
5 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.98
|
Receive
|
SOFR
|
Annually
|
11/16/2026
|
USD
|
333,333,334
|
(1,569,990
)
|
|
2 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
4.05
|
Receive
|
SOFR
|
Annually
|
12/14/2026
|
USD
|
500,000,000
|
(1,626,320
)
|
|
2 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
4.05
|
Receive
|
SOFR
|
Annually
|
12/14/2026
|
USD
|
500,000,000
|
(1,626,320
)
|
|
Open Over-The-Counter Interest Rate Swaptions Written—(continued)
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Pay/
Receive
Exercise
Rate
|
Floating
Rate Index
|
Payment
Frequency
|
Expiration
Date
|
Notional
Value
|
Value
|
|
|
30 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.02%
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
09/12/2030
|
EUR
|
17,780,000
|
$(1,345,477
)
|
|
10 Year Interest Rate
Swap
|
Call
|
J.P. Morgan Chase
Bank, N.A.
|
4.08
|
Receive
|
SOFR
|
Annually
|
10/16/2026
|
USD
|
190,000,000
|
(744,040
)
|
|
10 Year Interest Rate
Swap
|
Call
|
J.P. Morgan Chase
Bank, N.A.
|
3.26
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
01/22/2027
|
EUR
|
32,395,000
|
(517,929
)
|
|
30 Year Interest Rate
Swap
|
Call
|
J.P. Morgan Chase
Bank, N.A.
|
2.42
|
Receive
|
SOFR
|
Annually
|
07/11/2029
|
USD
|
40,000,000
|
(547,955
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Merrill Lynch
International
|
3.15
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
09/01/2026
|
EUR
|
10,000,000
|
(16,539
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Merrill Lynch
International
|
4.00
|
Receive
|
SOFR
|
Annually
|
12/15/2026
|
USD
|
208,335,000
|
(1,103,525
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
3.16
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
09/01/2026
|
EUR
|
10,000,000
|
(18,608
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
4.00
|
Receive
|
SOFR
|
Annually
|
12/15/2026
|
USD
|
125,000,000
|
(662,110
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
3.00
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
01/28/2028
|
EUR
|
11,840,000
|
(438,606
)
|
|
Subtotal—Interest Rate Call Swaptions Written
|
|
|
|
|
|
(11,712,103
)
|
||||
|
Interest Rate Risk
|
||||||||||
|
5 Year Interest Rate
Swap
|
Put
|
Barclays Bank PLC
|
3.05
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
02/15/2027
|
EUR
|
120,000,000
|
(1,600,804
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Barclays Bank PLC
|
5.55
|
Pay
|
SONIA
|
Annually
|
05/10/2027
|
GBP
|
33,330,000
|
(984,888
)
|
|
10 Year Interest Rate
Swap
|
Put
|
BNP Paribas S.A.
|
4.45
|
Pay
|
SOFR
|
Annually
|
10/30/2026
|
USD
|
95,000,000
|
(909,021
)
|
|
2 Year Interest Rate
Swap
|
Put
|
BNP Paribas S.A.
|
3.04
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
12/01/2026
|
EUR
|
200,000,000
|
(955,878
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
3.40
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
08/28/2026
|
EUR
|
10,000,000
|
(55,118
)
|
|
1 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
4.25
|
Pay
|
SONIA
|
At Maturity
|
04/27/2027
|
GBP
|
375,000,000
|
(1,993,247
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
3.68
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
05/28/2027
|
EUR
|
66,670,000
|
(1,445,670
)
|
|
1 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
2.75
|
Pay
|
3 Month EURIBOR
|
Quarterly
|
04/27/2028
|
EUR
|
300,000,000
|
(1,746,631
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
2.93
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
05/15/2028
|
EUR
|
231,000,000
|
(2,493,057
)
|
|
2 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase
Bank, N.A.
|
3.05
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
12/21/2026
|
EUR
|
300,000,000
|
(1,522,528
)
|
|
2 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase
Bank, N.A.
|
3.08
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
01/04/2027
|
EUR
|
250,000,000
|
(1,231,362
)
|
|
2 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase
Bank, N.A.
|
3.08
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
01/21/2027
|
EUR
|
600,000,000
|
(3,097,895
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Merrill Lynch
International
|
3.45
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
09/01/2026
|
EUR
|
10,000,000
|
(36,849
)
|
|
10 Year Interest Rate
Swap
|
Put
|
Merrill Lynch
International
|
5.00
|
Pay
|
6 Month BBSW
|
Semi-Annually
|
12/04/2026
|
AUD
|
100,000,000
|
(1,295,409
)
|
|
10 Year Interest Rate
Swap
|
Put
|
Merrill Lynch
International
|
5.00
|
Pay
|
6 Month BBSW
|
Semi-Annually
|
12/11/2026
|
AUD
|
250,000,000
|
(3,325,526
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Merrill Lynch
International
|
3.05
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
12/21/2026
|
EUR
|
200,000,000
|
(1,004,133
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Merrill Lynch
International
|
4.25
|
Pay
|
SOFR
|
Annually
|
01/29/2027
|
USD
|
533,335,000
|
(2,531,784
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.46
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
09/01/2026
|
EUR
|
10,000,000
|
(33,063
)
|
|
Open Over-The-Counter Interest Rate Swaptions Written—(continued)
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Pay/
Receive
Exercise
Rate
|
Floating
Rate Index
|
Payment
Frequency
|
Expiration
Date
|
Notional
Value
|
Value
|
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.42%
|
Pay
|
SONIA
|
Annually
|
11/23/2026
|
GBP
|
160,000,000
|
$(817,768
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.20
|
Pay
|
SOFR
|
Annually
|
12/09/2026
|
USD
|
1,485,325,000
|
(6,625,322
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.05
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
12/21/2026
|
EUR
|
278,610,000
|
(1,398,807
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.42
|
Pay
|
SONIA
|
Annually
|
12/22/2026
|
GBP
|
250,000,000
|
(1,473,580
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.07
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
01/04/2027
|
EUR
|
348,000,000
|
(1,755,245
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
5.00
|
Pay
|
SONIA
|
Annually
|
10/22/2027
|
GBP
|
53,335,000
|
(4,655,546
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.95
|
Pay
|
SONIA
|
Annually
|
02/14/2028
|
GBP
|
36,000,000
|
(3,675,564
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.00
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
06/02/2028
|
EUR
|
240,000,000
|
(2,438,984
)
|
|
Subtotal—Interest Rate Put Swaptions Written
|
|
|
|
|
|
(49,103,679
)
|
||||
|
Total Interest Rate Swaptions Written
|
|
|
|
|
|
$(60,815,782
)
|
||||
|
Open Futures Contracts
|
|||||
|
Short Futures Contracts
|
Number of
Contracts
|
Expiration
Month
|
Notional
Value
|
Value
|
Unrealized
Appreciation
|
|
Interest Rate Risk
|
|||||
|
Long Gilt
|
231
|
September-2026
|
$(26,926,966
)
|
$164,669
|
$164,669
|
|
U.S. Treasury 10 Year Notes
|
1,000
|
September-2026
|
(108,000,000
)
|
1,045,205
|
1,045,205
|
|
U.S. Treasury 10 Year Ultra Notes
|
22
|
September-2026
|
(2,413,469
)
|
28,494
|
28,494
|
|
Total Futures Contracts
|
$1,238,368
|
$1,238,368
|
|||
|
Open Forward Foreign Currency Contracts
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
Currency Risk
|
|
|
|
|
|
|
|
09/16/2026
|
Barclays Bank PLC
|
USD
|
3,634,246
|
CAD
|
5,128,500
|
$30,955
|
|
09/16/2026
|
Deutsche Bank AG
|
CNY
|
634,284,183
|
USD
|
93,820,000
|
35,782
|
|
09/16/2026
|
Deutsche Bank AG
|
PLN
|
86,630,378
|
USD
|
23,822,297
|
633,553
|
|
09/16/2026
|
Deutsche Bank AG
|
USD
|
40,249,930
|
KRW
|
60,968,983,780
|
2,018,241
|
|
09/16/2026
|
Goldman Sachs International
|
USD
|
118,739,525
|
EUR
|
103,000,000
|
236,979
|
|
01/26/2027
|
Goldman Sachs International
|
USD
|
37,500,000
|
TRY
|
2,149,875,000
|
1,526,100
|
|
03/19/2027
|
Goldman Sachs International
|
INR
|
22,223,750,000
|
USD
|
250,000,000
|
21,863,702
|
|
08/04/2026
|
HSBC Bank USA
|
USD
|
5,938,196
|
BRL
|
30,150,000
|
9,547
|
|
09/16/2026
|
HSBC Bank USA
|
USD
|
3,977,055
|
EUR
|
3,472,776
|
34,390
|
|
09/16/2026
|
HSBC Bank USA
|
USD
|
25,026,851
|
JPY
|
4,047,500,000
|
498,036
|
|
08/04/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
255,664,367
|
BRL
|
1,310,228,779
|
2,806,734
|
|
09/02/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
24,708,074
|
BRL
|
127,317,000
|
219,406
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
CAD
|
6,833,309
|
USD
|
4,959,158
|
75,577
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
EUR
|
177,326,074
|
USD
|
206,916,947
|
2,085,529
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
THB
|
421,254,721
|
USD
|
12,923,312
|
265,215
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
68,621,516
|
GBP
|
50,996,564
|
107,567
|
|
09/17/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
58,847,079
|
MXN
|
1,036,821,827
|
796,587
|
|
09/16/2026
|
Merrill Lynch International
|
CLP
|
20,399,258,661
|
USD
|
22,973,173
|
1,025,583
|
|
09/16/2026
|
Merrill Lynch International
|
CNY
|
44,785,000
|
USD
|
6,661,064
|
39,228
|
|
09/16/2026
|
Merrill Lynch International
|
CZK
|
17,543,322
|
USD
|
844,078
|
8,479
|
|
Open Forward Foreign Currency Contracts—(continued)
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
09/16/2026
|
Merrill Lynch International
|
IDR
|
539,352,795,700
|
USD
|
30,069,287
|
$274,798
|
|
09/16/2026
|
Merrill Lynch International
|
NOK
|
67,850,974
|
USD
|
7,299,128
|
144,449
|
|
09/16/2026
|
Merrill Lynch International
|
NZD
|
4,078,481
|
USD
|
2,425,935
|
20,395
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
40,428,103
|
COP
|
147,958,770,250
|
6,005,908
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
22,139,951
|
INR
|
2,135,951,747
|
162,549
|
|
09/16/2026
|
Merrill Lynch International
|
ZAR
|
138,975,000
|
USD
|
8,494,286
|
110,573
|
|
09/16/2026
|
Morgan Stanley and Co. International PLC
|
HUF
|
9,027,943,772
|
USD
|
29,502,159
|
1,022,641
|
|
09/16/2026
|
Morgan Stanley and Co. International PLC
|
SEK
|
177,000
|
USD
|
19,136
|
506
|
|
09/16/2026
|
Morgan Stanley and Co. International PLC
|
ZAR
|
1,412,345,735
|
USD
|
86,336,062
|
1,135,834
|
|
09/17/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
17,334,293
|
MXN
|
305,000,000
|
210,977
|
|
09/16/2026
|
Standard Chartered Bank PLC
|
JPY
|
734,690,117
|
USD
|
4,636,777
|
3,576
|
|
09/16/2026
|
UBS AG
|
AUD
|
96,682,045
|
USD
|
69,269,108
|
1,289,972
|
|
09/16/2026
|
UBS AG
|
EUR
|
28,537,462
|
USD
|
33,236,778
|
272,822
|
|
09/16/2026
|
UBS AG
|
USD
|
4,929,755
|
EUR
|
4,308,349
|
46,869
|
|
09/17/2026
|
UBS AG
|
USD
|
24,006,212
|
MXN
|
418,303,450
|
56,891
|
|
Subtotal—Appreciation
|
45,075,950
|
|||||
|
Currency Risk
|
|
|
|
|
|
|
|
09/16/2026
|
Deutsche Bank AG
|
CNY
|
445,728,276
|
USD
|
65,730,000
|
(174,651
)
|
|
09/16/2026
|
Deutsche Bank AG
|
KRW
|
58,482,283,095
|
USD
|
38,608,283
|
(1,935,925
)
|
|
09/16/2026
|
Deutsche Bank AG
|
USD
|
33,031,500
|
EUR
|
28,500,000
|
(110,817
)
|
|
09/16/2026
|
Deutsche Bank AG
|
USD
|
24,174,177
|
PLN
|
87,910,000
|
(642,912
)
|
|
09/16/2026
|
Goldman Sachs International
|
EUR
|
22,505,000
|
USD
|
25,855,657
|
(140,131
)
|
|
09/17/2026
|
Goldman Sachs International
|
MXN
|
912,767,827
|
USD
|
51,970,178
|
(537,223
)
|
|
01/26/2027
|
Goldman Sachs International
|
TRY
|
2,165,625,000
|
USD
|
37,500,000
|
(1,812,005
)
|
|
03/19/2027
|
Goldman Sachs International
|
USD
|
250,000,000
|
INR
|
22,223,750,000
|
(21,863,702
)
|
|
08/04/2026
|
HSBC Bank USA
|
BRL
|
30,150,000
|
USD
|
5,759,400
|
(188,342
)
|
|
09/16/2026
|
HSBC Bank USA
|
USD
|
6,004,190
|
EUR
|
5,170,000
|
(32,263
)
|
|
08/04/2026
|
J.P. Morgan Chase Bank, N.A.
|
BRL
|
1,310,228,779
|
USD
|
251,712,706
|
(6,758,395
)
|
|
09/02/2026
|
J.P. Morgan Chase Bank, N.A.
|
BRL
|
1,074,884,658
|
USD
|
208,600,029
|
(1,852,352
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
EUR
|
99,221,895
|
USD
|
113,814,210
|
(798,161
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
GBP
|
182,316,620
|
USD
|
245,177,347
|
(534,386
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
JPY
|
1,572,412,500
|
USD
|
9,832,378
|
(83,780
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
1,039,236
|
CAD
|
1,431,980
|
(15,838
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
277,470,448
|
EUR
|
237,436,836
|
(3,204,384
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
12,921,271
|
THB
|
421,188,216
|
(265,173
)
|
|
01/08/2027
|
J.P. Morgan Chase Bank, N.A.
|
AUD
|
17,000,000
|
USD
|
11,400,200
|
(532,541
)
|
|
09/16/2026
|
Merrill Lynch International
|
COP
|
203,208,170,000
|
USD
|
55,524,392
|
(8,248,579
)
|
|
09/16/2026
|
Merrill Lynch International
|
INR
|
3,082,681,000
|
USD
|
31,953,159
|
(234,596
)
|
|
09/16/2026
|
Merrill Lynch International
|
PEN
|
5,238,000
|
USD
|
1,527,782
|
(10,960
)
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
35,468,770
|
CLP
|
31,494,849,197
|
(1,583,419
)
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
168,011,713
|
CNY
|
1,129,609,954
|
(989,440
)
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
906,707
|
CZK
|
18,845,000
|
(9,108
)
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
30,232,917
|
IDR
|
542,287,839,200
|
(276,294
)
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
7,413,592
|
NOK
|
68,915,000
|
(146,715
)
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
2,427,308
|
NZD
|
4,080,788
|
(20,407
)
|
|
09/16/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
30,454,355
|
HUF
|
9,319,325,018
|
(1,055,647
)
|
|
09/16/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
96,768
|
SGD
|
122,851
|
(680
)
|
|
09/16/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
12,239,321
|
ZAR
|
200,219,375
|
(161,020
)
|
|
09/16/2026
|
Standard Chartered Bank PLC
|
EUR
|
9,415,927
|
USD
|
10,774,334
|
(102,114
)
|
|
09/16/2026
|
Standard Chartered Bank PLC
|
TRY
|
36,405,000
|
USD
|
718,628
|
(20,184
)
|
|
Open Forward Foreign Currency Contracts—(continued)
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
09/16/2026
|
Standard Chartered Bank PLC
|
USD
|
18,923,400
|
JPY
|
2,998,383,205
|
$(14,594
)
|
|
09/16/2026
|
UBS AG
|
USD
|
21,734,244
|
AUD
|
30,335,473
|
(404,749
)
|
|
09/17/2026
|
UBS AG
|
MXN
|
4,030,082,881
|
USD
|
231,284,312
|
(548,113
)
|
|
Subtotal—Depreciation
|
(55,309,600
)
|
|||||
|
Total Forward Foreign Currency Contracts
|
$(10,233,650
)
|
|||||
|
Open Centrally Cleared Credit Default Swap Agreements
|
||||||||||
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Maturity Date
|
Implied
Credit
Spread(a)
|
Notional Value
|
Upfront
Payments Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Credit Risk
|
||||||||||
|
BNP Paribas S.A.
|
Sell
|
1.00%
|
Quarterly
|
12/20/2030
|
0.408%
|
EUR
|
12,500,000
|
$349,394
|
$352,775
|
$3,381
|
|
UBS AG
|
Sell
|
1.00
|
Quarterly
|
12/20/2028
|
0.254
|
EUR
|
7,500,000
|
54,320
|
152,761
|
98,441
|
|
Subtotal - Appreciation
|
|
|
|
|
|
403,714
|
505,536
|
101,822
|
||
|
Credit Risk
|
||||||||||
|
Brazil Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2026
|
0.45
|
USD
|
8,000,000
|
(593
)
|
(17,144
)
|
(16,551
)
|
|
Intesa Sanpaolo S.p.A.
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2028
|
0.205
|
EUR
|
7,500,000
|
(38,174
)
|
(161,850
)
|
(123,676
)
|
|
Intesa Sanpaolo S.p.A.
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2030
|
0.339
|
EUR
|
12,500,000
|
(371,408
)
|
(395,053
)
|
(23,645
)
|
|
Markit CDX North America High Yield
Index, Series 46, Version 1
|
Buy
|
(5.00)
|
Quarterly
|
06/20/2031
|
3.115
|
USD
|
77,220,000
|
(5,200,862
)
|
(5,842,465
)
|
(641,603
)
|
|
Markit iTraxx Europe Crossover
Index, Series 45, Version 1
|
Buy
|
(5.00)
|
Quarterly
|
06/20/2031
|
2.613
|
EUR
|
41,250,000
|
(4,450,697
)
|
(4,738,430
)
|
(287,733
)
|
|
Mexico Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2029
|
0.631
|
USD
|
3,300,000
|
19,742
|
(39,524
)
|
(59,266
)
|
|
Turkey Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2030
|
2.213
|
USD
|
5,000,000
|
280,309
|
232,030
|
(48,279
)
|
|
Subtotal - Depreciation
|
|
|
|
|
|
(9,761,683
)
|
(10,962,436
)
|
(1,200,753
)
|
||
|
Total Centrally Cleared Credit Default Swap Agreements
|
|
|
|
$(9,357,969
)
|
$(10,456,900
)
|
$(1,098,931
)
|
||||
|
(a)
|
Implied credit spreads represent the current level, as of July 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
|
||||||||||
|
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
|
||||||||||
|
Pay
|
ZARONIA
|
Annually
|
9.44%
|
Annually
|
07/24/2036
|
ZAR
|
156,250,000
|
$—
|
$25,985
|
$25,985
|
|
Pay
|
3 Month BBSW
|
Quarterly
|
4.55
|
Quarterly
|
06/10/2029
|
AUD
|
126,665,000
|
—
|
41,358
|
41,358
|
|
Receive
|
6 Month BBSW
|
Semi-Annually
|
(5.00)
|
Semi-Annually
|
06/12/2036
|
AUD
|
14,965,000
|
—
|
55,890
|
55,890
|
|
Receive
|
6 Month
EURIBOR
|
Semi-Annually
|
(3.37)
|
Annually
|
07/24/2036
|
EUR
|
32,500,000
|
—
|
82,765
|
82,765
|
|
Receive
|
3 Month
EURIBOR
|
Quarterly
|
(2.95)
|
Annually
|
08/03/2028
|
EUR
|
137,500,000
|
—
|
100,580
|
100,580
|
|
Receive
|
6 Month BBSW
|
Semi-Annually
|
(5.02)
|
Semi-Annually
|
06/10/2036
|
AUD
|
44,665,000
|
—
|
129,264
|
129,264
|
|
Receive
|
6 Month BBSW
|
Semi-Annually
|
(4.99)
|
Semi-Annually
|
06/11/2036
|
AUD
|
30,000,000
|
—
|
141,594
|
141,594
|
|
Receive
|
SOFR
|
Annually
|
(4.02)
|
Annually
|
08/06/2028
|
USD
|
85,335,000
|
—
|
211,107
|
211,107
|
|
Receive
|
SOFR
|
Annually
|
(4.11)
|
Annually
|
09/23/2028
|
USD
|
195,000,000
|
—
|
251,741
|
251,741
|
|
Receive
|
SOFR
|
Annually
|
(4.02)
|
Annually
|
06/30/2029
|
USD
|
71,200,000
|
—
|
257,618
|
257,618
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
14.17
|
At Maturity
|
01/02/2029
|
BRL
|
448,981,448
|
—
|
260,811
|
260,811
|
|
Open Centrally Cleared Interest Rate Swap Agreements—(continued)
|
||||||||||
|
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)
|
|
|
Receive
|
SOFR
|
Annually
|
(4.10)%
|
Annually
|
09/23/2028
|
USD
|
190,000,000
|
$—
|
$299,518
|
$299,518
|
|
Receive
|
SOFR
|
Annually
|
(4.20)
|
Annually
|
05/22/2036
|
USD
|
49,000,000
|
—
|
479,470
|
479,470
|
|
Receive
|
SOFR
|
Annually
|
(3.92)
|
Annually
|
06/22/2028
|
USD
|
173,335,000
|
—
|
705,232
|
705,232
|
|
Receive
|
SOFR
|
Annually
|
(3.96)
|
Annually
|
07/08/2036
|
USD
|
65,000,000
|
2,382
|
1,909,350
|
1,906,968
|
|
Receive
|
6 Month
EURIBOR
|
Semi-Annually
|
(2.38)
|
Annually
|
12/20/2054
|
EUR
|
19,200,000
|
—
|
3,953,545
|
3,953,545
|
|
Subtotal — Appreciation
|
|
|
|
2,382
|
8,905,828
|
8,903,446
|
||||
|
Interest Rate Risk
|
||||||||||
|
Pay
|
6 Month
EURIBOR
|
Semi-Annually
|
2.38
|
Annually
|
12/20/2054
|
EUR
|
19,200,000
|
—
|
(3,963,731
)
|
(3,963,731
)
|
|
Pay
|
KWCDC
|
Quarterly
|
2.82
|
Quarterly
|
11/16/2027
|
KRW
|
253,333,300,000
|
—
|
(1,535,901
)
|
(1,535,901
)
|
|
Pay
|
TONAR
|
Annually
|
2.60
|
Annually
|
02/16/2046
|
JPY
|
1,722,000,000
|
—
|
(1,205,283
)
|
(1,205,283
)
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.23
|
At Maturity
|
01/02/2031
|
BRL
|
118,479,636
|
—
|
(1,097,456
)
|
(1,097,456
)
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.30
|
At Maturity
|
01/02/2031
|
BRL
|
114,335,366
|
—
|
(973,618
)
|
(973,618
)
|
|
Pay
|
6 Month
EURIBOR
|
Semi-Annually
|
2.76
|
Annually
|
06/22/2028
|
EUR
|
146,665,000
|
—
|
(802,582
)
|
(802,582
)
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.52
|
At Maturity
|
01/02/2031
|
BRL
|
118,574,177
|
—
|
(784,710
)
|
(784,710
)
|
|
Pay
|
6 Month
EURIBOR
|
Semi-Annually
|
2.70
|
Annually
|
08/06/2028
|
EUR
|
75,330,000
|
—
|
(547,923
)
|
(547,923
)
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.60
|
At Maturity
|
01/02/2031
|
BRL
|
58,882,012
|
—
|
(340,666
)
|
(340,666
)
|
|
Pay
|
3 Month BBSW
|
Quarterly
|
4.38
|
Quarterly
|
06/25/2029
|
AUD
|
103,200,000
|
—
|
(300,596
)
|
(300,596
)
|
|
Receive
|
SOFR
|
Annually
|
(4.22)
|
Annually
|
09/23/2028
|
USD
|
151,200,000
|
—
|
(127,037
)
|
(127,037
)
|
|
Pay
|
3 Month JIBAR
|
Quarterly
|
8.18
|
Quarterly
|
06/17/2036
|
ZAR
|
237,500,000
|
—
|
(112,020
)
|
(112,020
)
|
|
Pay
|
3 Month CZK
PRIBOR
|
Quarterly
|
4.45
|
Annually
|
08/03/2028
|
CZK
|
3,350,000,000
|
—
|
(84,877
)
|
(84,877
)
|
|
Receive
|
SOFR
|
Annually
|
(4.23)
|
Annually
|
09/23/2028
|
USD
|
84,000,000
|
—
|
(83,362
)
|
(83,362
)
|
|
Pay
|
6 Month CZK
PRIBOR
|
Semi-Annually
|
4.77
|
Annually
|
07/24/2036
|
CZK
|
885,000,000
|
—
|
(58,296
)
|
(58,296
)
|
|
Pay
|
3 Month BBSW
|
Quarterly
|
4.50
|
Quarterly
|
06/11/2029
|
AUD
|
85,000,000
|
—
|
(52,691
)
|
(52,691
)
|
|
Pay
|
3 Month BBSW
|
Quarterly
|
4.50
|
Quarterly
|
06/12/2029
|
AUD
|
42,605,000
|
—
|
(26,588
)
|
(26,588
)
|
|
Pay
|
3 Month JIBAR
|
Quarterly
|
8.26
|
Quarterly
|
06/17/2036
|
ZAR
|
122,500,000
|
—
|
(19,697
)
|
(19,697
)
|
|
Pay
|
28 Day MXN
TIEF
|
28 days
|
7.12
|
28 days
|
07/03/2028
|
MXN
|
457,500,000
|
19,890
|
1,005
|
(18,885
)
|
|
Subtotal — Depreciation
|
|
|
|
19,890
|
(12,116,029
)
|
(12,135,919
)
|
||||
|
Total Centrally Cleared Interest Rate Swap Agreements
|
|
|
|
$22,272
|
$(3,210,201
)
|
$(3,232,473
)
|
||||
|
Open Over-The-Counter Credit Default Swap Agreements
|
|||||||||||
|
Counterparty
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed Rate
|
Payment
Frequency
|
Maturity
Date
|
Implied
Credit
Spread(a)
|
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 44,
Version 1
|
Sell
|
5.00%
|
Quarterly
|
12/20/2030
|
1.81%
|
EUR
|
25,000,000
|
$3,651,509
|
$3,758,119
|
$106,610
|
|
Open Over-The-Counter Credit Default Swap Agreements—(continued)
|
|||||||||||
|
Counterparty
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed Rate
|
Payment
Frequency
|
Maturity
Date
|
Implied
Credit
Spread(a)
|
Notional
Value
|
Upfront
Payments Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
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
|
0.055%
|
USD
|
19,864,616
|
$(1,013,988
)
|
$(1,308,203
)
|
$(294,215
)
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe
Crossover Index, Series 44,
Version 1
|
Sell
|
5.00
|
Quarterly
|
12/20/2030
|
1.81
|
EUR
|
40,000,000
|
6,031,817
|
6,012,990
|
(18,827
)
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe
Crossover Index, Series 44,
Version 1
|
Sell
|
5.00
|
Quarterly
|
12/20/2030
|
0.543
|
EUR
|
50,000,000
|
10,289,318
|
10,255,912
|
(33,406
)
|
|
Subtotal—Depreciation
|
|
|
|
|
15,307,147
|
14,960,699
|
(346,448
)
|
||||
|
Total Over-The-Counter Credit Default Swap Agreements
|
|
|
|
|
$18,958,656
|
$18,718,818
|
$(239,838
)
|
||||
|
(a)
|
Implied credit spreads represent the current level, as of July 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
|
|
JIBAR
|
—Johannesburg Interbank Average Rate
|
|
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
|
|
THB
|
—Thai Baht
|
|
TIEF
|
—Overnight TIIE Funding Rate
|
|
TONAR
|
—Tokyo Overnight Average Rate
|
|
TRY
|
—Turkish Lira
|
|
TWD
|
—New Taiwan Dollar
|
|
USD
|
—U.S. Dollar
|
|
ZAR
|
—South African Rand
|
|
ZARONIA
|
—South African Rand Overnight Index Average
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Non-U.S. Dollar Denominated Bonds & Notes
|
$—
|
$726,852,604
|
$—
|
$726,852,604
|
|
U.S. Dollar Denominated Bonds & Notes
|
—
|
269,678,859
|
2,790,550
|
272,469,409
|
|
Asset-Backed Securities
|
—
|
221,213,849
|
12,173,797
|
233,387,646
|
|
U.S. Treasury Securities
|
—
|
54,277,218
|
—
|
54,277,218
|
|
Common Stocks & Other Equity Interests
|
48,331,510
|
—
|
—
|
48,331,510
|
|
Commercial Paper
|
—
|
—
|
771,885
|
771,885
|
|
Money Market Funds
|
92,201,871
|
10,620,486
|
—
|
102,822,357
|
|
Options Purchased
|
—
|
45,028,463
|
—
|
45,028,463
|
|
Total Investments in Securities
|
140,533,381
|
1,327,671,479
|
15,736,232
|
1,483,941,092
|
|
Other Investments - Assets*
|
|
|
|
|
|
Futures Contracts
|
1,238,368
|
—
|
—
|
1,238,368
|
|
Forward Foreign Currency Contracts
|
—
|
45,075,950
|
—
|
45,075,950
|
|
Swap Agreements
|
—
|
9,111,878
|
—
|
9,111,878
|
|
|
1,238,368
|
54,187,828
|
—
|
55,426,196
|
|
Other Investments - Liabilities*
|
|
|
|
|
|
Forward Foreign Currency Contracts
|
—
|
(55,309,600
)
|
—
|
(55,309,600
)
|
|
Options Written
|
—
|
(77,878,517
)
|
—
|
(77,878,517
)
|
|
Swap Agreements
|
—
|
(13,683,120
)
|
—
|
(13,683,120
)
|
|
|
—
|
(146,871,237
)
|
—
|
(146,871,237
)
|
|
Total Other Investments
|
1,238,368
|
(92,683,409
)
|
—
|
(91,445,041
)
|
|
Total Investments
|
$141,771,749
|
$1,234,988,070
|
$15,736,232
|
$1,392,496,051
|
|
*
|
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
07/31/26
|
|
Asset-Backed Securities
|
$12,552,581
|
$—
|
$—
|
$—
|
$—
|
$(378,784
)
|
$—
|
$—
|
$12,173,797
|
|
U.S. Dollar Denominated Bonds & Notes
|
2,790,550
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
2,790,550
|
|
Commercial Paper
|
1,372,724
|
—
|
(691,551
)
|
108,775
|
—
|
(18,063
)
|
—
|
—
|
771,885
|
|
Total
|
$16,715,855
|
$—
|
$(691,551
)
|
$108,775
|
$—
|
$(396,847
)
|
$—
|
$—
|
$15,736,232
|
|
|
Fair Value
at 07/31/26
|
Valuation
Technique
|
Unobservable
Inputs
|
Range of
Unobservable
Inputs
|
Weighted Average of
Unobservable Inputs
Based on Fair Value
|
|
|
Asset-Backed Securities
|
$12,173,797
|
Discounted Cash Flow Model
|
Discount Rate
|
6.39%
|
-
|
|
|
U.S. Dollar Denominated Bonds & Notes
|
2,790,550
|
Third-Party Pricing
|
Vendor Price Discount
|
15.00%
|
-
|
|
|
Commercial Paper
|
771,885
|
Accretion to Par Model
|
Accretion Period
|
158 Days
|
-
|
|
|
Total
|
$15,736,232
|
|
|
|
|
|