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Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6
Months Ended 4/30/22 |
1
Year Ended 4/30/22 |
5
Years Ended 4/30/22 |
Inception (11/4/14) to 4/30/22 |
5
Years Ended 4/30/22 |
Inception (11/4/14) to 4/30/22 | ||
Fund Performance | |||||||
NAV | -9.64% | -14.32% | -2.26% | -2.14% | -10.82% | -14.96% | |
Market Price | -9.92% | -14.86% | -2.48% | -2.20% | -11.82% | -15.31% | |
Index Performance | |||||||
Bloomberg Emerging Markets Local Currency Government - 10% Country Capped Index | -10.51% | -13.37% | -0.11% | -0.62% | -0.56% | -4.54% | |
JP Morgan GBI-EM Global Diversified Index | -13.17% | -15.95% | -1.28% | -1.65% | -6.26% | -11.70% |
(1) | Includes forward foreign currency contracts. |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Annualized Expense Ratio Based on the Six-Month Period |
Expenses Paid During the Six-Month Period (a) | |
First Trust Emerging Markets Local Currency Bond ETF (FEMB) | ||||
Actual | $1,000.00 | $903.60 | 0.85% | $4.01 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.58 | 0.85% | $4.26 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2021 through April 30, 2022), multiplied by 181/365 (to reflect the six-month period). |
Principal Value (Local Currency) |
Description | Stated Coupon |
Stated Maturity |
Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES – 86.0% | ||||||||
Brazil – 13.0% | ||||||||
28,000,000 |
Brazil Notas do Tesouro Nacional, Series F
(BRL)
|
10.00% | 01/01/23 | $5,557,474 | ||||
71,950,000 |
Brazil Notas do Tesouro Nacional, Series F
(BRL)
|
10.00% | 01/01/25 | 13,849,587 | ||||
65,450,000 |
Brazil Notas do Tesouro Nacional, Series F
(BRL)
|
10.00% | 01/01/27 | 12,310,887 | ||||
9,200,000 |
Brazil Notas do Tesouro Nacional, Series F
(BRL)
|
10.00% | 01/01/29 | 1,686,870 | ||||
33,404,818 | ||||||||
Chile – 3.0% | ||||||||
5,660,000,000 |
Bonos de la Tesoreria de la Republica en Pesos
(CLP)
|
4.50% | 03/01/26 | 6,117,207 | ||||
730,000,000 |
Bonos de la Tesoreria de la Republica en Pesos
(CLP) (a) (b)
|
4.70% | 09/01/30 | 753,052 | ||||
810,000,000 |
Bonos de la Tesoreria de la Republica en Pesos
(CLP)
|
5.00% | 03/01/35 | 829,262 | ||||
7,699,521 | ||||||||
Colombia – 7.8% | ||||||||
4,201,000,000 |
Colombian TES (COP)
|
7.00% | 05/04/22 | 1,059,296 | ||||
35,924,000,000 |
Colombian TES (COP)
|
7.50% | 08/26/26 | 8,361,127 | ||||
24,500,000,000 |
Colombian TES (COP)
|
6.00% | 04/28/28 | 5,079,210 | ||||
25,920,000,000 |
Colombian TES (COP)
|
7.75% | 09/18/30 | 5,679,014 | ||||
20,178,647 | ||||||||
Czech Republic – 1.2% | ||||||||
81,070,000 |
Czech Republic Government Bond (CZK) (b)
|
2.40% | 09/17/25 | 3,206,601 | ||||
Hungary – 4.0% | ||||||||
806,000,000 |
Hungary Government Bond (HUF)
|
5.50% | 06/24/25 | 2,154,475 | ||||
2,066,000,000 |
Hungary Government Bond (HUF)
|
6.75% | 10/22/28 | 5,672,099 | ||||
1,130,000,000 |
Hungary Government Bond (HUF)
|
3.00% | 08/21/30 | 2,382,642 | ||||
10,209,216 | ||||||||
India – 0.2% | ||||||||
40,000,000 |
India Government Bond (INR)
|
6.10% | 07/12/31 | 485,123 | ||||
Indonesia – 12.9% | ||||||||
119,090,000,000 |
Indonesia Treasury Bond (IDR)
|
8.38% | 09/15/26 | 8,832,009 | ||||
122,542,000,000 |
Indonesia Treasury Bond (IDR)
|
9.00% | 03/15/29 | 9,439,405 | ||||
43,540,000,000 |
Indonesia Treasury Bond (IDR)
|
7.00% | 09/15/30 | 2,995,721 | ||||
118,493,000,000 |
Indonesia Treasury Bond (IDR)
|
8.38% | 03/15/34 | 8,895,967 | ||||
40,076,000,000 |
Indonesia Treasury Bond (IDR)
|
8.25% | 05/15/36 | 2,970,193 | ||||
33,133,295 | ||||||||
Israel – 0.1% | ||||||||
500,000 |
Israel Government Bond - Fixed (ILS)
|
6.25% | 10/30/26 | 177,729 | ||||
Malaysia – 4.9% | ||||||||
16,750,000 |
Malaysia Government Bond (MYR)
|
3.90% | 11/30/26 | 3,845,806 | ||||
32,480,000 |
Malaysia Government Bond (MYR)
|
3.89% | 08/15/29 | 7,163,137 | ||||
7,500,000 |
Malaysia Government Bond (MYR)
|
2.63% | 04/15/31 | 1,484,306 | ||||
12,493,249 | ||||||||
Mexico – 4.7% | ||||||||
156,470,000 |
Mexican Bonos (MXN)
|
7.50% | 06/03/27 | 7,192,560 | ||||
51,250,000 |
Mexican Bonos (MXN)
|
8.50% | 05/31/29 | 2,438,244 | ||||
40,920,000 |
Mexican Bonos (MXN)
|
7.75% | 05/29/31 | 1,840,112 | ||||
13,660,000 |
Mexican Bonos (MXN)
|
10.00% | 11/20/36 | 714,934 | ||||
12,185,850 |
Principal Value (Local Currency) |
Description | Stated Coupon |
Stated Maturity |
Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES (Continued) | ||||||||
Peru – 4.8% | ||||||||
6,670,000 |
Peru Government Bond (PEN)
|
8.20% | 08/12/26 | $1,816,988 | ||||
20,975,000 |
Peru Government Bond (PEN)
|
6.95% | 08/12/31 | 5,133,095 | ||||
5,850,000 |
Peru Government Bond (PEN)
|
6.15% | 08/12/32 | 1,330,583 | ||||
18,060,000 |
Peru Government Bond (PEN)
|
6.90% | 08/12/37 | 4,172,295 | ||||
12,452,961 | ||||||||
Philippines – 2.2% | ||||||||
60,000,000 |
Philippine Government International Bond
(PHP)
|
3.90% | 11/26/22 | 1,132,029 | ||||
226,000,000 |
Philippine Government International Bond
(PHP)
|
6.25% | 01/14/36 | 4,490,828 | ||||
5,622,857 | ||||||||
Poland – 4.8% | ||||||||
545,000 |
Republic of Poland Government Bond (PLN)
|
4.00% | 10/25/23 | 119,065 | ||||
31,370,000 |
Republic of Poland Government Bond (PLN)
|
2.50% | 07/25/26 | 5,969,997 | ||||
33,350,000 |
Republic of Poland Government Bond (PLN)
|
2.75% | 04/25/28 | 6,124,074 | ||||
12,213,136 | ||||||||
Romania – 4.6% | ||||||||
2,480,000 |
Romania Government Bond (RON)
|
5.85% | 04/26/23 | 529,198 | ||||
38,465,000 |
Romania Government Bond (RON)
|
4.50% | 06/17/24 | 7,914,420 | ||||
17,060,000 |
Romania Government Bond (RON)
|
4.75% | 02/24/25 | 3,484,194 | ||||
11,927,812 | ||||||||
South Africa – 12.1% | ||||||||
204,500,000 |
Republic of South Africa Government Bond
(ZAR)
|
10.50% | 12/21/26 | 14,017,492 | ||||
100,210,000 |
Republic of South Africa Government Bond
(ZAR)
|
8.25% | 03/31/32 | 5,530,031 | ||||
170,170,000 |
Republic of South Africa Government Bond
(ZAR)
|
8.88% | 02/28/35 | 9,393,427 | ||||
14,640,000 |
Republic of South Africa Government Bond
(ZAR)
|
8.50% | 01/31/37 | 766,416 | ||||
24,950,000 |
Republic of South Africa Government Bond
(ZAR)
|
9.00% | 01/31/40 | 1,337,434 | ||||
31,044,800 | ||||||||
Thailand – 4.7% | ||||||||
6,100,000 |
Thailand Government Bond (THB)
|
3.63% | 06/16/23 | 183,597 | ||||
153,100,000 |
Thailand Government Bond (THB)
|
2.13% | 12/17/26 | 4,452,454 | ||||
53,400,000 |
Thailand Government Bond (THB)
|
1.60% | 12/17/29 | 1,448,212 | ||||
190,360,000 |
Thailand Government Bond (THB)
|
3.65% | 06/20/31 | 5,991,071 | ||||
12,075,334 | ||||||||
Turkey – 1.0% | ||||||||
21,800,000 |
Turkey Government Bond (TRY)
|
9.00% | 05/04/22 | 1,469,581 | ||||
23,800,000 |
Turkey Government Bond (TRY)
|
10.60% | 02/11/26 | 1,206,971 | ||||
2,676,552 | ||||||||
Total Foreign Sovereign Bonds and Notes
|
221,187,501 | |||||||
(Cost $260,700,818) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 6.2% | ||||||||
Supranationals – 6.2% | ||||||||
100,000,000 |
African Development Bank (ZAR)
|
(c) | 04/05/46 | 837,739 | ||||
723,500,000 |
Asian Development Bank (INR)
|
6.20% | 10/06/26 | 9,161,289 | ||||
51,050,000 |
International Finance Corp. (INR)
|
5.85% | 11/25/22 | 666,752 |
Principal Value (Local Currency) |
Description | Stated Coupon |
Stated Maturity |
Value (US Dollars) | ||||
FOREIGN CORPORATE BONDS AND NOTES (Continued) | ||||||||
Supranationals (Continued) | ||||||||
337,000,000 |
International Finance Corp. (INR)
|
6.30% | 11/25/24 | $4,338,557 | ||||
83,500,000 |
International Finance Corp. (MXN)
|
(c) | 02/22/38 | 943,168 | ||||
Total Foreign Corporate Bonds and Notes
|
15,947,505 | |||||||
(Cost $18,398,403) |
Total Investments – 92.2%
|
237,135,006 | |
(Cost $279,099,221) | ||
Net Other Assets and Liabilities – 7.8%
|
20,021,872 | |
Net Assets – 100.0%
|
$257,156,878 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date |
Counterparty | Amount Purchased |
Amount Sold |
Purchase Value as of 4/30/2022 |
Sale Value as of 4/30/2022 |
Unrealized Appreciation/ (Depreciation) | ||||||||
05/20/22 | BBH | CNH | 29,550,000 | USD | 4,668,392 | $ 4,484,834 | $ 4,668,392 | $ (183,558) | ||||||
05/20/22 | BNS | COP | 5,500,000,000 | USD | 1,472,360 | 1,385,441 | 1,472,360 | (86,919) | ||||||
05/20/22 | BBH | HUF | 500,000,000 | USD | 1,429,221 | 1,391,279 | 1,429,221 | (37,942) | ||||||
05/20/22 | SG | IDR | 76,000,000,000 | USD | 5,299,423 | 5,246,782 | 5,299,423 | (52,641) | ||||||
05/20/22 | SG | INR | 250,300,000 | USD | 3,276,849 | 3,267,953 | 3,276,849 | (8,896) | ||||||
05/20/22 | SG | KRW | 6,000,000,000 | USD | 4,880,181 | 4,776,923 | 4,880,181 | (103,258) | ||||||
05/20/22 | BBH | MXN | 187,000,000 | USD | 9,381,774 | 9,132,636 | 9,381,774 | (249,138) | ||||||
05/20/22 | BNS | PEN | 5,300,000 | USD | 1,409,949 | 1,378,075 | 1,409,949 | (31,874) | ||||||
05/20/22 | SG | PHP | 248,530,000 | USD | 4,751,540 | 4,757,044 | 4,751,540 | 5,504 | ||||||
05/20/22 | BBH | THB | 50,000,000 | USD | 1,514,360 | 1,483,262 | 1,514,360 | (31,098) | ||||||
05/20/22 | BBH | ZAR | 64,500,000 | USD | 4,504,216 | 4,172,792 | 4,504,216 | (331,424) | ||||||
05/20/22 | BNS | USD | 1,356,852 | CLP | 1,100,000,000 | 1,356,852 | 1,285,576 | 71,276 | ||||||
05/20/22 | BBH | USD | 1,356,297 | RON | 6,200,000 | 1,356,297 | 1,318,802 | 37,495 | ||||||
Net Unrealized Appreciation /
(Depreciation)
|
$(1,002,473) |
Counterparty Abbreviations | |
BBH | Brown Brothers Harriman and Co. |
BNS | Bank of Nova Scotia |
SG | Societe Generale |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At April 30, 2022, securities noted as such amounted to $753,052 or 0.3% of net assets. |
(b) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(c) | Zero coupon bond. |
Currency Exposure Diversification |
% of Total Investments (including cash)† |
IDR | 15.7% |
ZAR | 14.7 |
BRL | 13.6 |
MXN | 10.1 |
COP | 8.8 |
INR | 7.3 |
PEN | 5.7 |
THB | 5.5 |
MYR | 5.1 |
PLN | 5.1 |
HUF | 4.7 |
RON | 4.4 |
PHP | 4.2 |
CLP | 2.7 |
KRW | 2.0 |
CNH | 1.8 |
CZK | 1.3 |
TRY | 1.1 |
ILS | 0.1 |
EUR | 0.0* |
USD | (13.9) |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
* | Amount is less than 0.1%. |
Currency Abbreviations | |
BRL | Brazilian Real |
CLP | Chilean Peso |
CNH | Chinese Yuan |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
EUR | Euro |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peruvian Nuevo Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian New Leu |
THB | Thai Baht |
TRY | Turkish Lira |
USD | United States Dollar |
ZAR | South African Rand |
ASSETS TABLE | ||||
Total Value at 4/30/2022 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
Foreign Sovereign Bonds and Notes*
|
$ 221,187,501 | $ — | $ 221,187,501 | $ — |
Foreign Corporate Bonds and Notes*
|
15,947,505 | — | 15,947,505 | — |
Total Investments
|
237,135,006 | — | 237,135,006 | — |
Forward Foreign Currency Contracts**
|
114,275 | — | 114,275 | — |
Total
|
$ 237,249,281 | $— | $ 237,249,281 | $— |
LIABILITIES TABLE | ||||
Total Value at 4/30/2022 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts**
|
$ (1,116,748) | $ — | $ (1,116,748) | $ — |
* | See Portfolio of Investments for country breakout. |
** | See the Schedule of Forward Foreign Currency Contracts for contract and currency detail. |
ASSETS: | |
Investments, at value (Cost $279,099,221)
|
$ 237,135,006 |
Cash
|
5,853,598 |
Foreign currency (Cost $3,073,482)
|
3,063,229 |
Unrealized appreciation on forward foreign
currency contracts
|
114,275 |
Receivables: | |
Investment securities sold
|
6,774,809 |
Interest
|
5,566,719 |
Interest reclaims
|
169,938 |
Total Assets
|
258,677,574 |
LIABILITIES: | |
Unrealized depreciation on forward foreign
currency contracts
|
1,116,748 |
Due to broker
|
172,911 |
Payables: | |
Investment advisory fees
|
190,110 |
Deferred foreign capital gains tax
|
40,927 |
Total Liabilities
|
1,520,696 |
NET ASSETS
|
$257,156,878 |
NET ASSETS consist of: | |
Paid-in capital
|
$ 336,864,393 |
Par value
|
91,500 |
Accumulated distributable earnings (loss)
|
(79,799,015) |
NET ASSETS
|
$257,156,878 |
NET ASSET VALUE, per share
|
$28.10 |
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share)
|
9,150,002 |
INVESTMENT INCOME: | ||
Interest
|
$ 7,346,222 | |
Foreign withholding tax
|
(218,020) | |
Other
|
65 | |
Total investment income
|
7,128,267 | |
EXPENSES: | ||
Investment advisory fees
|
1,129,352 | |
Total expenses
|
1,129,352 | |
NET INVESTMENT INCOME (LOSS)
|
5,998,915 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments
|
(10,185,096) | |
Forward foreign currency contracts
|
(11,160,045) | |
Foreign currency transactions
|
(266,116) | |
Foreign capital gains tax
|
(850) | |
Net realized gain (loss)
|
(21,612,107) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments
|
(10,983,063) | |
Forward foreign currency contracts
|
(1,354,245) | |
Foreign currency translation
|
110,211 | |
Deferred foreign capital gains tax
|
79,482 | |
Net change in unrealized appreciation
(depreciation)
|
(12,147,615) | |
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
(33,759,722) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
|
$(27,760,807) |
Six
Months Ended 4/30/2022 (Unaudited) |
Year Ended 10/31/2021 | ||
OPERATIONS: | |||
Net investment income (loss)
|
$ 5,998,915 | $ 11,957,035 | |
Net realized gain (loss)
|
(21,612,107) | (6,348,806) | |
Net change in unrealized appreciation
(depreciation)
|
(12,147,615) | (18,292,516) | |
Net increase (decrease) in net assets resulting
from operations
|
(27,760,807) | (12,684,287) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations
|
(7,575,147) | (11,218,417) | |
Return of capital
|
— | (3,557,692) | |
Total distributions to shareholders
|
(7,575,147) | (14,776,109) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold
|
48,517,948 | 139,192,070 | |
Cost of shares redeemed
|
(15,255,205) | (32,886,326) | |
Net increase (decrease) in net assets resulting
from shareholder transactions
|
33,262,743 | 106,305,744 | |
Total increase (decrease) in net assets
|
(2,073,211) | 78,845,348 | |
NET ASSETS: | |||
Beginning of period
|
259,230,089 | 180,384,741 | |
End of period
|
$257,156,878 | $259,230,089 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period
|
8,100,002 | 5,250,002 | |
Shares sold
|
1,550,000 | 3,800,000 | |
Shares redeemed
|
(500,000) | (950,000) | |
Shares outstanding, end of period
|
9,150,002 | 8,100,002 |
Six Months Ended 4/30/2022 (Unaudited) |
Year Ended October 31, | |||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||
Net asset value, beginning of period
|
$ 32.00 | $ 34.36 | $ 38.45 | $ 36.11 | $ 41.55 | $ 42.32 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss)
|
0.78 | 1.84 | 1.66 | 2.25 | 1.80 | 2.30 | ||||||
Net realized and unrealized gain (loss)
|
(3.81) | (2.25) | (3.72) | 2.16 | (4.76) | (0.65) | ||||||
Total from investment operations
|
(3.03) | (0.41) | (2.06) | 4.41 | (2.96) | 1.65 | ||||||
Distributions paid to shareholders from: | ||||||||||||
Net investment income
|
(0.87) | (1.48) | (0.04) | (1.94) | (0.79) | (2.42) | ||||||
Return of capital
|
— | (0.47) | (1.99) | (0.13) | (1.69) | — | ||||||
Total distributions
|
(0.87) | (1.95) | (2.03) | (2.07) | (2.48) | (2.42) | ||||||
Net asset value, end of period
|
$28.10 | $32.00 | $34.36 | $38.45 | $36.11 | $41.55 | ||||||
Total return
(a)
|
(9.64)% | (1.53)% | (5.37)% | 12.46% | (7.55)% | 4.00% | ||||||
Ratios to average net assets/supplemental data: | ||||||||||||
Net assets, end of period (in 000’s)
|
$ 257,157 | $ 259,230 | $ 180,385 | $ 148,045 | $ 55,976 | $ 49,862 | ||||||
Ratio of total expenses to average net
assets
|
0.85% (b) | 0.85% | 0.85% | 0.85% | 0.85% (c) | 0.85% | ||||||
Ratio of net investment income (loss) to average
net assets
|
4.52% (b) | 4.55% | 4.82% | 4.91% | 4.63% (c) | 4.95% | ||||||
Portfolio turnover rate (d)
|
21% | 42% | 59% | 25% | 61% | 16% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | Annualized. |
(c) | Includes excise tax. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer, or economic data relating to the country of issue; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer, or the financial condition of the country of issue; |
5) | the credit quality and cash flow of the issuer, or country of issue, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; |
10) | the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer’s management (for corporate debt only); |
11) | the economic, political and social prospects/developments of the country of issue and the assessment of the country’s governmental leaders/officials (for sovereign debt only); |
12) | the prospects for the issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and |
13) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Gross Amounts not Offset in the Statement of Assets and Liabilities |
|||||||||||
Gross Amounts of Recognized Assets |
Gross
Amounts Offset in the Statement of Assets and Liabilities |
Net
Amounts of Assets Presented in the Statement of Assets and Liabilities |
Financial Instruments |
Collateral Amounts Received |
Net Amount | ||||||
Forward
Foreign Currency Contracts* |
$ 114,275 | $ — | $ 114,275 | $ (114,275) | $ — | $ — | |||||
Gross Amounts not Offset in the Statement of Assets and Liabilities |
|||||||||||
Gross Amounts of Recognized Liabilities |
Gross
Amounts Offset in the Statement of Assets and Liabilities |
Net
Amounts of Liabilities Presented in the Statement of Assets and Liabilities |
Financial Instruments |
Collateral Amounts Pledged |
Net Amount | ||||||
Forward Foreign Currency Contracts* | $ (1,116,748) | $ — | $ (1,116,748) | $ 114,275 | $ — | $ (1,002,473) |
Distributions paid from: | |
Ordinary income
|
$11,218,417 |
Capital gains
|
— |
Return of capital
|
3,557,692 |
Undistributed ordinary income
|
$— |
Accumulated capital and other gain (loss)
|
(6,107,269) |
Net unrealized appreciation (depreciation)
|
(38,355,792) |
Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net
Unrealized Appreciation (Depreciation) | |||
$279,099,221 | $915,368 | $(43,882,056) | $(42,966,688) |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument |
Risk Exposure |
Statement
of Assets and Liabilities Location |
Value | Statement
of Assets and Liabilities Location |
Value | |||||
Forward
foreign currency contracts |
Currency Risk | Unrealized
appreciation on forward foreign currency contracts |
$ 114,275 | Unrealized
depreciation on forward foreign currency contracts |
$ 1,116,748 |
Statement of Operations Location | |
Currency Risk Exposure | |
Net realized gain (loss) on forward foreign currency contracts | $(11,160,045) |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | (1,354,245) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |