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Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 2-Year Note Future | 611 | 03/28/2024 | $ 125,655,969 | $ 1,115,495 | ||||
U.S. Treasury Long Bond Future | 1 | 03/19/2024 | 122,344 | 2,311 | ||||
U.S. Treasury Ultra Bond Future | 627 | 03/19/2024 | 81,020,156 | 4,825,671 | ||||
Total | $ 5,943,477 | |||||||
Short position contracts: | ||||||||
Euro BUXL 30-Year Bond Future | 5 | 03/07/2024 | $ 743,306 | $ (26,268) | ||||
Euro-BOBL Future | 67 | 03/07/2024 | 8,582,391 | (51,103) | ||||
Euro-BTP Future | 42 | 03/07/2024 | 5,400,432 | (151,791) | ||||
Euro-BUND Future | 30 | 03/07/2024 | 4,404,394 | (55,055) | ||||
Euro-Schatz Future | 61 | 03/07/2024 | 7,000,333 | (16,040) | ||||
U.S. Treasury 5-Year Note Future | 2,261 | 03/28/2024 | 245,071,203 | (2,462,524) | ||||
U.S. Treasury 10-Year Note Future | 799 | 03/19/2024 | 89,750,172 | (666,978) | ||||
U.S. Treasury 10-Year Note Future | 7 | 06/18/2024 | 790,781 | (8,057) | ||||
U.S. Treasury 10-Year Ultra Future | 948 | 03/19/2024 | 110,797,500 | (2,316,721) | ||||
Total | $ (5,754,537) | |||||||
Total futures contracts | $ 188,940 |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
Credit default swaps on indices: | |||||||||||||||||
Buy protection: | |||||||||||||||||
CDX.EM.S40.V1 | USD | 44,895,000 | (1.00%) | 12/20/2028 | Quarterly | $ 1,771,863 | $ — | $ 1,473,516 | $ (298,347) | ||||||||
Total | $ 1,771,863 | $ — | $ 1,473,516 | $ (298,347) | |||||||||||||
Credit default swaps on single-name issues: | |||||||||||||||||
Buy protection: | |||||||||||||||||
Kingdom of Saudi Arabia | USD | 785,000 | (1.00%) | 12/20/2028 | Quarterly | $ — | $ (13,018) | $ (15,125) | $ (2,107) | ||||||||
Sell protection: | |||||||||||||||||
Republic of Turkey (B+) | USD | 1,195,000 | 1.00% | 06/20/2028 | Quarterly | $ — | $ (171,054) | $ (93,954) | $ 77,100 | ||||||||
Total | $ — | $ (184,072) | $ (109,079) | $ 74,993 | |||||||||||||
Total centrally cleared credit default swap contracts | $ 1,771,863 | $ (184,072) | $ 1,364,437 | $ (223,354) |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
2,865,000 | BRL | 578,408 | USD | MSC | 03/04/2024 | $ (1,839) | ||||
4,975,000 | BRL | 1,015,721 | USD | CBK | 03/04/2024 | (14,523) | ||||
1,105,680,000 | COP | 278,579 | USD | BNP | 03/20/2024 | 2,782 | ||||
829,260,000 | COP | 208,829 | USD | UBS | 03/20/2024 | 2,192 | ||||
829,260,000 | COP | 209,092 | USD | CBK | 03/20/2024 | 1,928 | ||||
4,393,000 | EUR | 4,752,585 | USD | GSC | 03/20/2024 | 5,051 | ||||
178,000 | EUR | 193,237 | USD | CBK | 03/20/2024 | (462) | ||||
250,000 | EUR | 274,772 | USD | BCLY | 03/20/2024 | (4,021) | ||||
984,000 | EUR | 1,073,418 | USD | SCB | 03/20/2024 | (7,742) | ||||
1,348,000 | EUR | 1,469,064 | USD | MSC | 03/20/2024 | (9,174) | ||||
462,400,000 | HUF | 1,321,332 | USD | UBS | 03/20/2024 | (25,746) | ||||
63,650,000 | INR | 761,309 | USD | UBS | 03/20/2024 | 3,719 | ||||
487,900,000 | KZT | 1,073,338 | USD | GSC | 03/20/2024 | (1,094) |
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Foreign Currency Contracts Outstanding at January 31, 2024 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
1,035,000 | PEN | 277,815 | USD | CBK | 03/20/2024 | $ (6,076) | ||||
1,035,000 | PEN | 278,675 | USD | GSC | 03/20/2024 | (6,936) | ||||
5,255,000 | PLN | 1,334,341 | USD | UBS | 03/20/2024 | (22,760) | ||||
1,425,000 | RON | 314,210 | USD | BCLY | 03/20/2024 | (4,899) | ||||
4,035,000 | RON | 889,753 | USD | BOA | 03/20/2024 | (13,914) | ||||
4,872,000 | RON | 1,074,202 | USD | BNP | 03/20/2024 | (16,682) | ||||
40,875,000 | TRY | 1,285,439 | USD | BCLY | 03/20/2024 | (3,262) | ||||
15,290,000 | TRY | 485,821 | USD | GSC | 03/20/2024 | (6,200) | ||||
13,274,888 | USD | 65,579,000 | BRL | GSC | 03/04/2024 | 77,386 | ||||
1,628,294 | USD | 1,442,066,000 | CLP | BOA1 | 03/20/2024 | 83,196 | ||||
1,069,382 | USD | 4,358,800,000 | COP | BNP | 03/20/2024 | (39,795) | ||||
2,964,048 | USD | 12,058,341,000 | COP | CBK | 03/20/2024 | (104,419) | ||||
1,575,926 | USD | 35,140,000 | CZK | BCLY | 03/20/2024 | 48,262 | ||||
18,629,703 | USD | 17,174,000 | EUR | TDB | 02/29/2024 | 45,782 | ||||
3,204,729 | USD | 2,952,000 | EUR | CBK | 02/29/2024 | 10,381 | ||||
32,202,115 | USD | 29,262,000 | EUR | DEUT | 03/20/2024 | 511,257 | ||||
2,923,361 | USD | 2,682,000 | EUR | MSC | 03/20/2024 | 18,745 | ||||
2,227,592 | USD | 2,044,000 | EUR | UBS | 03/20/2024 | 13,931 | ||||
367,495 | USD | 338,000 | EUR | BCLY | 03/20/2024 | 1,438 | ||||
1,474,318 | USD | 1,360,000 | EUR | SSG | 03/20/2024 | 1,433 | ||||
1,081,743 | USD | 999,000 | EUR | CBK | 03/20/2024 | (178) | ||||
4,880,524 | USD | 4,511,000 | EUR | GSC | 03/20/2024 | (4,906) | ||||
3,131,080 | USD | 2,465,000 | GBP | BCLY | 02/29/2024 | 6,421 | ||||
711,786 | USD | 251,323,000 | HUF | BCLY | 03/20/2024 | 7,611 | ||||
763,222 | USD | 270,152,000 | HUF | TDB | 03/20/2024 | 6,291 | ||||
1,342,728 | USD | 5,050,000 | ILS | GSC | 03/20/2024 | (44,136) | ||||
98,747 | USD | 1,730,000 | MXN | JPM | 03/20/2024 | (930) | ||||
4,079,535 | USD | 72,220,000 | MXN | BOA | 03/20/2024 | (81,531) | ||||
4,077,116 | USD | 72,220,000 | MXN | BCLY | 03/20/2024 | (83,949) | ||||
3,344,849 | USD | 12,599,000 | PEN | BOA1 | 03/20/2024 | 36,984 | ||||
826,890 | USD | 3,112,000 | PEN | DEUT | 03/20/2024 | 9,835 | ||||
2,632,025 | USD | 11,938,000 | RON | GSC | 03/20/2024 | 40,755 | ||||
925,006 | USD | 4,195,000 | RON | JPM | 03/20/2024 | 14,437 | ||||
392,525 | USD | 16,015,000 | UYU | JPM | 03/20/2024 | (14,982) | ||||
709,476 | USD | 28,988,000 | UYU | CBK | 03/20/2024 | (28,132) | ||||
61,011 | USD | 2,449,000 | UYU | GSC | 04/15/2024 | (1,154) | ||||
61,240 | USD | 2,449,000 | UYU | CBK | 05/13/2024 | (728) | ||||
1,278,612 | USD | 23,490,000 | ZAR | BCLY | 03/20/2024 | 29,254 | ||||
647,242 | USD | 12,402,000 | ZAR | DEUT | 03/20/2024 | (12,380) | ||||
Total foreign currency contracts | $ 416,521 |
1 | At January 31, 2024, the counterparty had deposited in a segregated account securities with a value of $138,000 in connection with Foreign Currency contracts. |
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Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Convertible Bonds | $ 10,927,015 | $ — | $ 10,927,015 | $ — | ||||
Corporate Bonds | 6,195,943,103 | — | 6,195,943,103 | — | ||||
Foreign Government Obligations | 456,276,462 | — | 456,276,462 | — | ||||
Municipal Bonds | 37,810,826 | — | 37,810,826 | — | ||||
Senior Floating Rate Interests | 11,944,845 | — | 11,944,845 | — | ||||
U.S. Government Securities | 251,344,996 | — | 251,344,996 | — | ||||
Common Stocks | ||||||||
Banks | 498,977,200 | 498,977,200 | — | — | ||||
Capital Goods | 410,450,840 | 356,179,762 | 54,271,078 | — | ||||
Consumer Discretionary Distribution & Retail | 163,920,958 | 163,920,958 | — | — | ||||
Consumer Services | 62,925,126 | 62,925,126 | — | — | ||||
Energy | 468,927,806 | 468,927,806 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 367,872,715 | 367,872,715 | — | — | ||||
Financial Services | 296,158,552 | 296,158,552 | — | — | ||||
Food, Beverage & Tobacco | 373,122,179 | 288,641,252 | 84,480,927 | — | ||||
Health Care Equipment & Services | 115,208,323 | 115,208,323 | — | — | ||||
Household & Personal Products | 176,338,875 | 176,338,875 | — | — | ||||
Insurance | 290,143,356 | 290,143,356 | — | — | ||||
Materials | 333,995,613 | 333,995,613 | — | — | ||||
Media & Entertainment | 28,858,334 | 28,858,334 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 808,935,452 | 728,272,462 | 80,662,990 | — | ||||
Semiconductors & Semiconductor Equipment | 201,971,051 | 201,971,051 | — | — | ||||
Technology Hardware & Equipment | 195,698,973 | 195,698,973 | — | — | ||||
Transportation | 137,553,731 | 137,553,731 | — | — | ||||
Utilities | 439,192,362 | 439,192,362 | — | — | ||||
Preferred Stocks | 14,553,000 | 14,553,000 | — | — | ||||
Short-Term Investments | 137,831,606 | 64,109,458 | 73,722,148 | — | ||||
Foreign Currency Contracts(2) | 979,071 | — | 979,071 | — | ||||
Futures Contracts(2) | 5,943,477 | 5,943,477 | — | — | ||||
Swaps - Credit Default(2) | 77,100 | — | 77,100 | — | ||||
Total | $ 12,493,882,947 | $ 5,235,442,386 | $ 7,258,440,561 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (562,550) | $ — | $ (562,550) | $ — | ||||
Futures Contracts(2) | (5,754,537) | (5,754,537) | — | — | ||||
Swaps - Credit Default(2) | (300,454) | — | (300,454) | — | ||||
Total | $ (6,617,541) | $ (5,754,537) | $ (863,004) | $ — |
(1) | For the period ended January 31, 2024, investments valued at $33,750 were transferred into Level 3 due to the unavailability of active market pricing. There were no transfers out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
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Exchange-Traded Option Contracts Outstanding at January 31, 2024 | ||||||||||||||||
Description | Exercise Price/ FX Rate/ Rate | Expiration Date | Number of Contracts | Notional Amount | Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||
Purchased option contracts: | ||||||||||||||||
Put | ||||||||||||||||
S&P 500 Index Option | 4,250.00 | USD | 03/15/2024 | 7 | USD | 700 | $ 4,319 | $ 15,549 | $ (11,230) | |||||||
S&P 500 Index Option | 4,200.00 | USD | 06/21/2024 | 7 | USD | 700 | 20,909 | 34,519 | (13,610) | |||||||
Total purchased exchange-traded option contracts | $ 25,228 | $ 50,068 | $ (24,840) |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 2-Year Note Future | 9 | 03/28/2024 | $ 1,850,906 | $ 17,281 | ||||
U.S. Treasury 5-Year Note Future | 9 | 03/28/2024 | 975,516 | 16,832 | ||||
U.S. Treasury 10-Year Note Future | 44 | 03/19/2024 | 4,942,437 | 135,727 | ||||
U.S. Treasury 10-Year Ultra Future | 4 | 03/19/2024 | 467,500 | 5,619 | ||||
U.S. Treasury Ultra Bond Future | 5 | 03/19/2024 | 646,094 | 29,879 | ||||
Total futures contracts | $ 205,338 |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
743,039 | USD | 1,000,000 | CAD | JPM | 02/29/2024 | $ (1,040) | ||||
621,402 | USD | 535,000 | CHF | BCLY | 02/29/2024 | (635) | ||||
1,494,802 | USD | 1,378,000 | EUR | TDB | 02/29/2024 | 3,673 | ||||
2,859,254 | USD | 2,251,000 | GBP | BCLY | 02/29/2024 | 5,863 | ||||
202,113 | USD | 2,110,000 | SEK | MSC | 02/29/2024 | (895) | ||||
Total foreign currency contracts | $ 6,966 |
Affiliated Investment Companies | Beginning Value as of November 1, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2024 | Shares as of January 31, 2024 | Dividend Income | Capital Gains Distribution | |||||||||
Hartford AARP Balanced Retirement Fund | ||||||||||||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | $ 916,908 | $ — | $ 967,188 | $ 168,169 | $ (117,889) | $ — | — | $ — | $ — | |||||||||
Hartford Multifactor Emerging Markets ETF | 928,470 | — | 984,388 | 203,459 | (147,541) | — | — | — | — | |||||||||
The Hartford World Bond Fund, Class F | 6,514,241 | 63,447 | 565,946 | (37,446) | 322,645 | 6,296,941 | 624,078 | 63,431 | — | |||||||||
Total | $8,359,619 | $63,447 | $2,517,522 | $334,182 | $57,215 | $6,296,941 | 624,078 | $63,431 | $— |
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Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 9,480,549 | $ — | $ 9,480,549 | $ — | ||||
Corporate Bonds | 12,881,216 | — | 12,881,216 | — | ||||
Municipal Bonds | 468,568 | — | 468,568 | — | ||||
U.S. Government Agencies | 5,308,324 | — | 5,308,324 | — | ||||
U.S. Government Securities | 2,061,456 | — | 2,061,456 | — | ||||
Common Stocks | ||||||||
Banks | 408,295 | 408,295 | — | — | ||||
Capital Goods | 2,046,692 | 401,637 | 1,645,055 | — | ||||
Commercial & Professional Services | 758,798 | 340,160 | 418,638 | — | ||||
Consumer Discretionary Distribution & Retail | 431,081 | 431,081 | — | — | ||||
Consumer Durables & Apparel | 410,465 | 360,939 | 49,526 | — | ||||
Consumer Services | 837,422 | 567,652 | 269,770 | — | ||||
Energy | 3,435,472 | 2,181,652 | 1,253,820 | — | ||||
Equity Real Estate Investment Trusts (REITs) | 1,966,031 | 1,696,489 | 269,542 | — | ||||
Financial Services | 653,638 | 653,638 | — | — | ||||
Food, Beverage & Tobacco | 2,257,772 | 942,624 | 1,315,148 | — | ||||
Health Care Equipment & Services | 1,818,380 | 1,818,380 | — | — | ||||
Household & Personal Products | 1,193,596 | 698,696 | 494,900 | — | ||||
Insurance | 1,389,342 | 696,644 | 692,698 | — | ||||
Materials | 2,381,738 | 1,423,346 | 958,392 | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 2,480,207 | 1,283,792 | 1,196,415 | — | ||||
Real Estate Management & Development | 348,038 | 56,054 | 291,984 | — | ||||
Semiconductors & Semiconductor Equipment | 433,405 | 433,405 | — | — | ||||
Software & Services | 1,645,963 | 1,215,771 | 430,192 | — | ||||
Telecommunication Services | 394,274 | — | 394,274 | — | ||||
Transportation | 813,106 | 813,106 | — | — | ||||
Utilities | 364,294 | 206,692 | 157,602 | — | ||||
Affiliated Investment Companies | 6,296,941 | 6,296,941 | — | — | ||||
Short-Term Investments | 382,478 | — | 382,478 | — | ||||
Purchased Options | 25,228 | 25,228 | — | — | ||||
Foreign Currency Contracts(2) | 9,536 | — | 9,536 | — | ||||
Futures Contracts(2) | 205,338 | 205,338 | — | — | ||||
Total | $ 63,587,643 | $ 23,157,560 | $ 40,430,083 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (2,570) | $ — | $ (2,570) | $ — | ||||
Total | $ (2,570) | $ — | $ (2,570) | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
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Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Nasdaq 100 E-MINI Future | 349 | 03/15/2024 | $ 120,350,905 | $ 2,721,716 | ||||
Total futures contracts | $ 2,721,716 |
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Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 39,566,918 | $ 39,566,918 | $ — | $ — | ||||
Banks | 152,357,286 | 152,357,286 | — | — | ||||
Capital Goods | 371,458,504 | 347,520,748 | — | 23,937,756 | ||||
Commercial & Professional Services | 82,651,077 | 82,651,077 | — | — | ||||
Consumer Discretionary Distribution & Retail | 328,070,428 | 314,547,463 | — | 13,522,965 | ||||
Consumer Durables & Apparel | 112,623,410 | 112,623,410 | — | — | ||||
Consumer Services | 128,392,020 | 128,392,020 | — | — | ||||
Consumer Staples Distribution & Retail | 22,566,939 | 22,566,939 | — | — | ||||
Energy | 144,768,901 | 144,768,901 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 180,180,693 | 180,180,693 | — | — | ||||
Financial Services | 379,586,347 | 379,586,347 | — | — | ||||
Food, Beverage & Tobacco | 215,726,546 | 215,726,546 | — | — | ||||
Health Care Equipment & Services | 403,980,381 | 403,980,381 | — | — | ||||
Household & Personal Products | 124,620,240 | 124,620,240 | — | — | ||||
Insurance | 274,855,052 | 274,855,052 | — | — | ||||
Materials | 210,752,380 | 210,752,380 | — | — | ||||
Media & Entertainment | 551,482,357 | 551,482,357 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 376,212,268 | 376,212,268 | — | — | ||||
Semiconductors & Semiconductor Equipment | 384,583,717 | 384,583,717 | — | — | ||||
Software & Services | 728,135,087 | 728,115,944 | — | 19,143 | ||||
Technology Hardware & Equipment | 272,111,960 | 272,111,960 | — | — | ||||
Transportation | 179,513,831 | 179,513,831 | — | — | ||||
Utilities | 50,566,127 | 50,566,127 | — | — | ||||
Convertible Preferred Stocks | 1,640,052 | — | — | 1,640,052 | ||||
Exchange-Traded Funds | 23,213,739 | 23,213,739 | — | — | ||||
Short-Term Investments | 49,274,083 | 17,677,011 | 31,597,072 | — | ||||
Futures Contracts(2) | 2,721,716 | 2,721,716 | — | — | ||||
Total | $ 5,791,612,059 | $ 5,720,895,071 | $ 31,597,072 | $ 39,119,916 |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
40 |
Affiliated Investment Companies | Beginning Value as of November 1, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2024 | Shares as of January 31, 2024 | Dividend Income | Capital Gains Distribution | |||||||||
The Hartford Checks and Balances Fund | ||||||||||||||||||
Hartford Total Return Bond ETF | $ 428,529,590 | $ — | $ — | $ — | $ 33,236,243 | $ 461,765,833 | 13,621,411 | $ 5,319,733 | $ — | |||||||||
The Hartford Capital Appreciation Fund, Class F | 413,626,681 | 8,786,906 | 30,221,326 | 111,516 | 61,478,658 | 453,782,436 | 11,444,702 | 3,961,828 | — | |||||||||
The Hartford Dividend and Growth Fund, Class F | 413,055,167 | 13,895,459 | 20,304,945 | 1,661,761 | 45,326,562 | 453,634,004 | 13,970,865 | 3,001,410 | 1,568,392 | |||||||||
Total | $1,255,211,438 | $22,682,365 | $50,526,271 | $1,773,277 | $140,041,463 | $1,369,182,273 | 39,036,978 | $12,282,971 | $1,568,392 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Affiliated Investment Companies | $ 1,369,182,273 | $ 1,369,182,273 | $ — | $ — | ||||
Short-Term Investments | 2,778,879 | 2,778,879 | — | — | ||||
Total | $ 1,371,961,152 | $ 1,371,961,152 | $ — | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
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Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Belgium | $ 313,128 | $ — | $ 313,128 | $ — | ||||
Canada | 879,023 | 879,023 | — | — | ||||
Chile | 669,070 | — | 669,070 | — | ||||
China | 2,803,047 | — | 2,803,047 | — | ||||
Denmark | 1,892,759 | — | 1,892,759 | — | ||||
France | 2,999,954 | — | 2,999,954 | — | ||||
Germany | 8,762,355 | — | 8,762,355 | — | ||||
Ireland | 853,424 | — | 853,424 | — | ||||
Italy | 1,560,545 | — | 1,560,545 | — | ||||
Japan | 9,930,510 | — | 9,930,510 | — | ||||
Norway | 2,132,023 | — | 2,132,023 | — | ||||
South Korea | 1,166,987 | — | 1,166,987 | — | ||||
Spain | 1,018,715 | 17,317 | 1,001,398 | — | ||||
Sweden | 1,359,556 | — | 1,359,556 | — | ||||
Taiwan | 1,649,062 | — | 1,649,062 | — | ||||
United Kingdom | 2,258,350 | — | 2,258,350 | — | ||||
United States | 85,057,051 | 80,584,419 | 4,472,632 | — | ||||
Short-Term Investments | 2,158,902 | 1,673,019 | 485,883 | — | ||||
Total | $ 127,464,461 | $ 83,153,778 | $ 44,310,683 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
43 |
Affiliated Investment Companies | Beginning Value as of November 1, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2024 | Shares as of January 31, 2024 | Dividend Income | Capital Gains Distribution | |||||||||
The Hartford Conservative Allocation Fund | ||||||||||||||||||
Hartford Core Bond ETF | $ 19,438,403 | $ — | $ 713,278 | $ (143,369) | $ 1,626,423 | $ 20,208,179 | 577,177 | $ 234,234 | $ — | |||||||||
Hartford Core Equity Fund, Class F | 10,442,218 | 346,646 | 945,659 | 70,354 | 1,186,857 | 11,100,416 | 236,986 | 123,781 | 222,865 | |||||||||
Hartford Large Cap Growth ETF | 3,506,941 | — | — | — | 756,285 | 4,263,226 | 245,603 | — | — | |||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | 2,427,933 | — | — | — | 224,772 | 2,652,705 | 97,940 | 53,438 | — | |||||||||
Hartford Multifactor US Equity ETF | 3,053,711 | — | — | — | 412,186 | 3,465,897 | 77,566 | 20,570 | — | |||||||||
Hartford Schroders Core Fixed Income Fund, Class F | 13,795,462 | 637,072 | 2,950,028 | (608,708) | 1,499,956 | 12,373,754 | 1,427,192 | 193,424 | — | |||||||||
Hartford Schroders Emerging Markets Equity Fund, Class F | 446,428 | 7,138 | 14,530 | 69 | 17,419 | 456,524 | 30,619 | 7,139 | — | |||||||||
Hartford Schroders International Multi-Cap Value Fund, Class F | 2,094,744 | 19,277 | 193,915 | (1,271) | 192,509 | 2,111,344 | 221,547 | 19,277 | — | |||||||||
Hartford Small Cap Value Fund, Class F | 962,466 | 261,254 | 55,912 | 11,494 | 103,170 | 1,282,472 | 114,404 | 19,601 | 20,652 | |||||||||
The Hartford Equity Income Fund, Class F | 2,930,269 | 182,712 | 421,429 | 10,356 | 63,326 | 2,765,234 | 142,980 | 25,128 | 157,583 | |||||||||
The Hartford Growth Opportunities Fund, Class F | 379,692 | — | 435,152 | 112,272 | (56,812) | — | — | — | — | |||||||||
The Hartford Inflation Plus Fund, Class F | 5,508,851 | 96,981 | 1,124,196 | (105,030) | 363,893 | 4,740,499 | 463,845 | 17,618 | — | |||||||||
The Hartford International Growth Fund, Class F | 1,276,221 | 13,015 | 19,525 | 73 | 180,640 | 1,450,424 | 92,857 | 13,014 | — | |||||||||
The Hartford International Opportunities Fund, Class F | 2,653,707 | 146,689 | 58,632 | 894 | 224,659 | 2,967,317 | 178,110 | 51,911 | — | |||||||||
The Hartford Small Company Fund, Class F | 849,090 | 361,395 | 65,192 | (7,419) | 165,592 | 1,303,466 | 65,402 | — | — |
44 |
Affiliated Investment Companies | Beginning Value as of November 1, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2024 | Shares as of January 31, 2024 | Dividend Income | Capital Gains Distribution | |||||||||
The Hartford Conservative Allocation Fund – (continued) | ||||||||||||||||||
The Hartford Strategic Income Fund, Class F | $ 7,754,257 | $ 231,090 | $ 447,459 | $ (74,149) | $ 613,243 | $ 8,076,982 | 1,044,888 | $ 173,852 | $ — | |||||||||
The Hartford World Bond Fund, Class F | 12,685,619 | 2,429,832 | 279,816 | (19,390) | 606,527 | 15,422,772 | 1,528,521 | 148,461 | — | |||||||||
Total | $90,206,012 | $4,733,101 | $7,724,723 | $(753,824) | $8,180,645 | $94,641,211 | 6,545,637 | $1,101,448 | $401,100 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Affiliated Investment Companies | $ 94,641,211 | $ 94,641,211 | $ — | $ — | ||||
Short-Term Investments | 188,429 | 188,429 | — | — | ||||
Total | $ 94,829,640 | $ 94,829,640 | $ — | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
45 |
46 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 33,766,327 | $ 33,766,327 | $ — | $ — | ||||
Banks | 446,308,640 | 446,308,640 | — | — | ||||
Capital Goods | 755,474,665 | 755,474,665 | — | — | ||||
Commercial & Professional Services | 79,464,877 | 79,464,877 | — | — | ||||
Consumer Discretionary Distribution & Retail | 679,688,524 | 679,688,524 | — | — | ||||
Consumer Durables & Apparel | 102,502,353 | 102,502,353 | — | — | ||||
Consumer Services | 135,234,591 | 135,234,591 | — | — | ||||
Energy | 320,675,859 | 320,675,859 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 149,825,111 | 149,825,111 | — | — | ||||
Financial Services | 542,425,481 | 542,425,481 | — | — | ||||
Food, Beverage & Tobacco | 198,928,568 | 198,928,568 | — | — | ||||
Health Care Equipment & Services | 462,521,661 | 462,521,661 | — | — | ||||
Household & Personal Products | 308,929,173 | 308,929,173 | — | — | ||||
Insurance | 324,431,036 | 324,431,036 | — | — | ||||
Materials | 177,011,617 | 177,011,617 | — | — | ||||
Media & Entertainment | 879,533,134 | 879,533,134 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 898,384,253 | 898,384,253 | — | — | ||||
Semiconductors & Semiconductor Equipment | 821,921,312 | 821,921,312 | — | — | ||||
Software & Services | 1,159,631,043 | 1,159,631,043 | — | — | ||||
Technology Hardware & Equipment | 749,860,941 | 749,860,941 | — | — | ||||
Utilities | 274,762,936 | 274,762,936 | — | — | ||||
Short-Term Investments | 4,671,224 | — | 4,671,224 | — | ||||
Total | $ 9,505,953,326 | $ 9,501,282,102 | $ 4,671,224 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
47 |
48 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Banks | $ 900,380,900 | $ 900,380,900 | $ — | $ — | ||||
Capital Goods | 1,073,915,169 | 917,473,692 | 156,441,477 | — | ||||
Consumer Discretionary Distribution & Retail | 523,836,114 | 523,836,114 | — | — | ||||
Consumer Staples Distribution & Retail | 105,755,520 | 105,755,520 | — | — | ||||
Energy | 1,256,032,625 | 1,256,032,625 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 540,404,076 | 540,404,076 | — | — | ||||
Financial Services | 1,204,017,706 | 1,204,017,706 | — | — | ||||
Food, Beverage & Tobacco | 639,552,404 | 639,552,404 | — | — | ||||
Health Care Equipment & Services | 1,210,457,914 | 1,210,457,914 | — | — | ||||
Household & Personal Products | 359,480,040 | 359,480,040 | — | — | ||||
Insurance | 543,299,598 | 543,299,598 | — | — | ||||
Materials | 712,534,113 | 712,534,113 | — | — | ||||
Media & Entertainment | 1,392,618,736 | 1,392,618,736 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 1,180,983,970 | 1,180,983,970 | — | — | ||||
Semiconductors & Semiconductor Equipment | 877,981,171 | 877,981,171 | — | — | ||||
Software & Services | 1,438,621,995 | 1,438,621,995 | — | — | ||||
Technology Hardware & Equipment | 746,843,689 | 746,843,689 | — | — | ||||
Telecommunication Services | 162,027,289 | 162,027,289 | — | — | ||||
Transportation | 182,619,322 | 182,619,322 | — | — | ||||
Utilities | 868,551,662 | 868,551,662 | — | — | ||||
Short-Term Investments | 147,281,510 | 53,501,910 | 93,779,600 | — | ||||
Total | $ 16,067,195,523 | $ 15,816,974,446 | $ 250,221,077 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
49 |
50 |
51 |
52 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Corporate Bonds | $ 139,865,890 | $ — | $ 139,865,890 | $ — | ||||
Foreign Government Obligations | 599,902 | — | 599,902 | — | ||||
U.S. Government Securities | 27,566,907 | — | 27,566,907 | — | ||||
Short-Term Investments | 35,818,558 | — | 35,818,558 | — | ||||
Total | $ 203,851,257 | $ — | $ 203,851,257 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
53 |
54 |
55 |
56 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
MSCI Emerging Markets Index Future | 75 | 03/15/2024 | $ 3,678,000 | $ (15,740) | ||||
Total futures contracts | $ (15,740) |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Brazil | $ 16,396,544 | $ 16,396,544 | $ — | $ — | ||||
Chile | 769,329 | 769,329 | — | — | ||||
China | 112,902,340 | 8,658,680 | 104,243,660 | — | ||||
Greece | 3,975,963 | 1,871,740 | 2,104,223 | — | ||||
Hong Kong | 629,724 | — | 629,724 | — | ||||
Hungary | 403,060 | 403,060 | — | — | ||||
India | 68,773,991 | — | 68,773,991 | — | ||||
Indonesia | 5,953,178 | — | 5,953,178 | — | ||||
Malaysia | 3,521,780 | — | 3,521,780 | — | ||||
Mexico | 16,199,254 | 16,199,254 | — | — | ||||
Poland | 7,633,691 | — | 7,633,691 | — | ||||
Qatar | 2,359,569 | 591,277 | 1,768,292 | — | ||||
Romania | 1,733,375 | 1,733,375 | — | — | ||||
Russia | — | — | — | — | ||||
Saudi Arabia | 12,285,014 | 2,229,628 | 10,055,386 | — | ||||
South Africa | 6,454,433 | 3,744,711 | 2,709,722 | — | ||||
South Korea | 58,318,233 | — | 58,318,233 | — | ||||
Taiwan | 66,671,503 | — | 66,671,503 | — | ||||
Thailand | 15,329,721 | 10,463,165 | 4,866,556 | — | ||||
Turkey | 1,670,357 | — | 1,670,357 | — | ||||
United Arab Emirates | 4,720,286 | 1,881,384 | 2,838,902 | — | ||||
Preferred Stocks | 10,704,733 | 10,704,733 | — | — | ||||
Short-Term Investments | 2,700,213 | — | 2,700,213 | — | ||||
Total | $ 420,106,291 | $ 75,646,880 | $ 344,459,411 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (15,740) | $ (15,740) | $ — | $ — | ||||
Total | $ (15,740) | $ (15,740) | $ — | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
57 |
58 |
59 |
60 |
61 |
(8) | Investment valued using significant unobservable inputs. |
(9) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2024. Base lending rates may be subject to a floor or cap. |
OTC Option Contracts Outstanding at January 31, 2024 | |||||||||||||||||||
Description | Counterparty | Exercise Price/ FX Rate/Rate | Expiration Date | Number of Contracts | Notional Amount | Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Purchased option contracts: | |||||||||||||||||||
Call | |||||||||||||||||||
Call EUR vs. Put USD | BOA | 1.11 | EUR | 03/21/2024 | 567,000 | EUR | 567,000 | $ 1,868 | $ 4,194 | $ (2,326) | |||||||||
Call NZD vs. Put USD | MSC | 0.62 | NZD | 03/14/2024 | 805,000 | NZD | 805,000 | 3,818 | 9,840 | (6,022) | |||||||||
Call USD vs. Put BRL | DEUT | 5.49 | USD | 03/08/2024 | 151,000 | USD | 151,000 | 72 | 2,537 | (2,465) | |||||||||
Call USD vs. Put BRL | BCLY | 5.52 | USD | 04/01/2024 | 294,000 | USD | 294,000 | 379 | 4,904 | (4,525) | |||||||||
Call USD vs. Put BRL | BOA | 4.93 | USD | 04/08/2024 | 343,000 | USD | 343,000 | 7,885 | 8,892 | (1,007) | |||||||||
Call USD vs. Put BRL | BOA | 5.06 | USD | 07/23/2024 | 169,000 | USD | 169,000 | 5,594 | 6,263 | (669) | |||||||||
Call USD vs. Put CAD | BNP | 1.34 | USD | 03/14/2024 | 492,000 | USD | 492,000 | 3,404 | 5,274 | (1,870) | |||||||||
Call USD vs. Put CNH | DEUT | 7.45 | USD | 02/21/2024 | 151,000 | USD | 151,000 | 3 | 1,039 | (1,036) | |||||||||
Call USD vs. Put CZK | BOA | 24.68 | USD | 04/16/2024 | 436,000 | USD | 436,000 | 702 | 4,885 | (4,183) | |||||||||
Call USD vs. Put INR | GSC | 83.74 | USD | 03/06/2024 | 606,000 | USD | 606,000 | 621 | 7,416 | (6,795) | |||||||||
Call USD vs. Put MXN | DEUT | 17.87 | USD | 05/03/2024 | 292,000 | USD | 292,000 | 3,889 | 10,538 | (6,649) | |||||||||
Call USD vs. Put MXN | BOA | 18.39 | USD | 05/10/2024 | 292,000 | USD | 292,000 | 2,572 | 10,265 | (7,693) | |||||||||
Call USD vs. Put ZAR | BOA | 19.98 | USD | 02/13/2024 | 291,000 | USD | 291,000 | 60 | 3,430 | (3,370) | |||||||||
Total Call | $ 30,867 | $ 79,477 | $ (48,610) | ||||||||||||||||
Put | |||||||||||||||||||
Call BRL vs. Put USD | MSC | 4.97 | USD | 04/04/2024 | 342,000 | USD | 342,000 | $ 6,534 | $ 8,906 | $ (2,372) | |||||||||
Call BRL vs. Put USD | BOA | 4.93 | USD | 04/08/2024 | 343,000 | USD | 343,000 | 5,323 | 8,208 | (2,885) | |||||||||
Call BRL vs. Put USD | MSC | 4.99 | USD | 07/09/2024 | 343,000 | USD | 343,000 | 9,364 | 12,407 | (3,043) | |||||||||
Call BRL vs. Put USD | BOA | 5.06 | USD | 07/23/2024 | 169,000 | USD | 169,000 | 5,881 | 5,597 | 284 | |||||||||
Call CAD vs. Put USD | BNP | 1.34 | USD | 03/14/2024 | 492,000 | USD | 492,000 | 3,715 | 5,275 | (1,560) | |||||||||
Call CNH vs. Put USD | DEUT | 6.99 | USD | 02/21/2024 | 151,000 | USD | 151,000 | 22 | 1,011 | (989) | |||||||||
Call COP vs. Put USD | MSC | 3,755.00 | USD | 07/09/2024 | 343,000 | USD | 343,000 | 4,528 | 5,544 | (1,016) | |||||||||
Call HUF vs. Put USD | BOA | 344.98 | USD | 02/13/2024 | 291,000 | USD | 291,000 | 249 | 2,305 | (2,056) | |||||||||
Call HUF vs. Put USD | CBK | 353.80 | USD | 04/16/2024 | 436,000 | USD | 436,000 | 7,135 | 5,395 | 1,740 | |||||||||
Call INR vs. Put USD | GSC | 83.74 | USD | 03/06/2024 | 606,000 | USD | 606,000 | 4,917 | 7,416 | (2,499) | |||||||||
Call INR vs. Put USD | BOA | 82.38 | USD | 04/08/2024 | 434,000 | USD | 434,000 | 582 | 1,981 | (1,399) | |||||||||
Call INR vs. Put USD | UBS | 82.38 | USD | 05/09/2024 | 149,000 | USD | 149,000 | 301 | 655 | (354) | |||||||||
Call MXN vs. Put USD | DEUT | 17.87 | USD | 05/03/2024 | 292,000 | USD | 292,000 | 11,353 | 9,469 | 1,884 | |||||||||
Call PLN vs. Put EUR | BCLY | 4.34 | EUR | 05/10/2024 | 416,000 | EUR | 416,000 | 4,667 | 3,151 | 1,516 | |||||||||
Call TRY vs. Put USD | BOA | 33.29 | USD | 07/08/2024 | 172,000 | USD | 172,000 | 1,766 | 2,705 | (939) | |||||||||
Call USD vs. Put GBP | BOA | 1.22 | GBP | 05/29/2024 | 237,000 | GBP | 237,000 | 1,186 | 2,539 | (1,353) | |||||||||
Call USD vs. Put NZD | MSC | 0.62 | NZD | 03/14/2024 | 805,000 | NZD | 805,000 | 9,759 | 9,840 | (81) | |||||||||
Total Put | $ 77,282 | $ 92,404 | $ (15,122) | ||||||||||||||||
Total purchased OTC option contracts | $ 108,149 | $ 171,881 | $ (63,732) | ||||||||||||||||
Written option contracts: | |||||||||||||||||||
Call | |||||||||||||||||||
Call USD vs. Put COP | MSC | 4,020.00 | USD | 03/14/2024 | (492,000) | USD | (492,000) | $ (5,759) | $ (16,418) | $ 10,659 | |||||||||
Call USD vs. Put HUF | BOA | 375.30 | USD | 02/13/2024 | (291,000) | USD | (291,000) | (104) | (2,936) | 2,832 | |||||||||
Call USD vs. Put HUF | CBK | 406.50 | USD | 04/16/2024 | (436,000) | USD | (436,000) | (600) | (7,234) | 6,634 | |||||||||
Call USD vs. Put MXN | BOA | 19.69 | USD | 05/10/2024 | (292,000) | USD | (292,000) | (853) | (4,675) | 3,822 | |||||||||
Call USD vs. Put THB | MSC | 34.76 | USD | 02/27/2024 | (595,000) | USD | (595,000) | (12,116) | (10,136) | (1,980) | |||||||||
Total Call | $ (19,432) | $ (41,399) | $ 21,967 | ||||||||||||||||
Puts | |||||||||||||||||||
Call BRL vs. Put USD | DEUT | 4.78 | USD | 03/08/2024 | (151,000) | USD | (151,000) | $ (300) | $ (1,999) | $ 1,699 | |||||||||
Call BRL vs. Put USD | BCLY | 4.80 | USD | 04/01/2024 | (294,000) | USD | (294,000) | (1,483) | (3,857) | 2,374 | |||||||||
Call BRL vs. Put USD | MSC | 4.77 | USD | 04/04/2024 | (342,000) | USD | (342,000) | (1,395) | (3,119) | 1,724 | |||||||||
Call BRL vs. Put USD | MSC | 4.71 | USD | 07/09/2024 | (343,000) | USD | (343,000) | (2,607) | (4,278) | 1,671 | |||||||||
Call COP vs. Put USD | MSC | 4,020.00 | USD | 03/14/2024 | (492,000) | USD | (492,000) | (18,057) | (16,419) | (1,638) | |||||||||
Call COP vs. Put USD | MSC | 4,055.00 | USD | 07/09/2024 | (343,000) | USD | (343,000) | (15,976) | (15,717) | (259) | |||||||||
Call CZK vs. Put USD | BOA | 22.50 | USD | 04/16/2024 | (436,000) | USD | (436,000) | (3,209) | (4,142) | 933 |
62 |
OTC Option Contracts Outstanding at January 31, 2024 – (continued) | |||||||||||||||||||
Description | Counterparty | Exercise Price/ FX Rate/Rate | Expiration Date | Number of Contracts | Notional Amount | Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Written – (continued): | |||||||||||||||||||
Puts – (continued): | |||||||||||||||||||
Call THB vs. Put USD | MSC | 34.76 | USD | 02/27/2024 | (595,000) | USD | (595,000) | $ (2,081) | $ (10,136) | $ 8,055 | |||||||||
Call ZAR vs. Put USD | BOA | 18.08 | USD | 02/13/2024 | (291,000) | USD | (291,000) | (294) | (2,978) | 2,684 | |||||||||
Total puts | $ (45,402) | $ (62,645) | $ 17,243 | ||||||||||||||||
Total Written Option Contracts OTC option contracts | $ (64,834) | $ (104,044) | $ 39,210 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 9 | 03/28/2024 | $ 975,516 | $ (67) | ||||
U.S. Treasury Long Bond Future | 3 | 03/19/2024 | 367,031 | 11,824 | ||||
U.S. Treasury Ultra Bond Future | 3 | 03/19/2024 | 387,656 | 25,621 | ||||
Total | $ 37,378 | |||||||
Short position contracts: | ||||||||
Euro-BOBL Future | 5 | 03/07/2024 | $ 640,477 | $ (275) | ||||
Euro-BUND Future | 1 | 03/07/2024 | 146,813 | (2,281) | ||||
Euro-Schatz Future | 1 | 03/07/2024 | 114,759 | (163) | ||||
U.S. Treasury 2-Year Note Future | 4 | 03/28/2024 | 822,625 | (519) | ||||
U.S. Treasury 10-Year Note Future | 15 | 03/19/2024 | 1,684,922 | (25,170) | ||||
Total | $ (28,408) | |||||||
Total futures contracts | $ 8,970 |
OTC Interest Rate Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||||
Counterparty | Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||
CBK | BZDIOVRA | 12.63% Fixed | BRL | 1,204,241 | 01/02/2026 | At Maturity | $ — | $ — | $ 14,299 | $ 14,299 | |||||||||
Total OTC interest rate swap contracts | $ — | $ — | $ 14,299 | $ 14,299 |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
Credit default swaps on indices: | |||||||||||||||||
Buy protection: | |||||||||||||||||
CDX.EM.S40.V1 | USD | 260,000 | (1.00%) | 12/20/2028 | Quarterly | $ 11,325 | $ — | $ 8,534 | $ (2,791) | ||||||||
Total centrally cleared credit default swap contracts | $ 11,325 | $ — | $ 8,534 | $ (2,791) |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
63 |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
1 Mo. MXN TIIE | 11.10% Fixed | MXN | 9,070,000 | 05/23/2024 | Lunar | $ — | $ — | $ (616) | $ (616) | ||||||||
10.85% Fixed | 1 Mo. MXN TIIE | MXN | 4,795,000 | 12/19/2024 | Monthly | — | — | 124 | 124 | ||||||||
10.59% Fixed | 1 Mo. MXN TIIE | MXN | 9,925,000 | 10/13/2025 | Lunar | — | — | (5,266) | (5,266) | ||||||||
9.98% Fixed | 1 Mo. MXN TIIE | MXN | 6,442,000 | 11/13/2025 | Monthly | — | — | (193) | (193) | ||||||||
1 Mo. MXN TIIE | 9.11% Fixed | MXN | 4,060,000 | 05/21/2026 | Lunar | — | — | (2,447) | (2,447) | ||||||||
1 Mo. MXN TIIE | 9.40% Fixed | MXN | 2,219,000 | 11/12/2026 | Monthly | — | — | 312 | 312 | ||||||||
8.50% Fixed | 1 Mo. MXN TIIE | MXN | 665,000 | 11/30/2027 | Lunar | — | — | 495 | 495 | ||||||||
8.76% Fixed | 1 Mo. MXN TIIE | MXN | 7,205,000 | 08/02/2028 | Lunar | — | — | 229 | 229 | ||||||||
8.88% Fixed | 1 Mo. MXN TIIE | MXN | 5,585,000 | 08/09/2028 | Lunar | — | — | (1,486) | (1,486) | ||||||||
9.38% Fixed | 1 Mo. MXN TIIE | MXN | 8,965,000 | 09/06/2028 | Lunar | — | — | (12,512) | (12,512) | ||||||||
1 Mo. MXN TIIE | 9.27% Fixed | MXN | 2,710,000 | 08/31/2033 | Lunar | — | — | 6,612 | 6,612 | ||||||||
1 Mo. MXN TIIE | 9.02% Fixed | MXN | 2,200,000 | 09/01/2033 | Lunar | — | — | 2,980 | 2,980 | ||||||||
1 Mo. MXN TIIE | 9.64% Fixed | MXN | 265,000 | 09/21/2033 | Lunar | — | — | 1,014 | 1,014 | ||||||||
1 Mo. MXN TIIE | 9.43% Fixed | MXN | 2,695,000 | 10/03/2033 | Lunar | — | — | 7,999 | 7,999 | ||||||||
1 Mo. MXN TIIE | 9.31% Fixed | MXN | 1,365,000 | 10/24/2033 | Monthly | — | — | 3,565 | 3,565 | ||||||||
1 Mo. MXN TIIE | 8.78% Fixed | MXN | 1,555,000 | 11/21/2033 | Monthly | — | — | 826 | 826 | ||||||||
1 Mo. MXN TIIE | 8.51% Fixed | MXN | 1,430,000 | 12/08/2033 | Monthly | — | — | (794) | (794) | ||||||||
1 Mo. MXN TIIE | 8.60% Fixed | MXN | 2,235,000 | 12/22/2033 | Monthly | 7 | — | (610) | (617) | ||||||||
12 Mo. USD SOFR | 4.97% Fixed | USD | 1,015,000 | 11/25/2024 | Semi-Annual | — | — | 2,174 | 2,174 | ||||||||
12 Mo. USD SOFR | 4.47% Fixed | USD | 2,100,000 | 12/20/2024 | At Maturity | 616 | — | 558 | (58) | ||||||||
12 Mo. USD SOFR | 4.38% Fixed | USD | 525,000 | 01/10/2025 | Semi-Annual | 88 | — | 150 | 62 | ||||||||
12 Mo. USD SOFR | 4.36% Fixed | USD | 360,000 | 01/21/2025 | Annual | — | — | 154 | 154 | ||||||||
12 Mo. USD SOFR | 4.39% Fixed | USD | 240,000 | 01/21/2025 | Annual | — | — | 138 | 138 | ||||||||
12 Mo. USD SOFR | 4.34% Fixed | USD | 595,000 | 01/29/2025 | Semi-Annual | 84 | — | 312 | 228 | ||||||||
3 Mo. PLN WIBOR | 5.20% Fixed | PLN | 4,410,000 | 03/20/2025 | Quarterly | — | — | (2,210) | (2,210) | ||||||||
8.12% Fixed | 3 Mo. ZAR JIBAR | ZAR | 14,075,000 | 03/20/2029 | Quarterly | — | — | (1,561) | (1,561) | ||||||||
3 Mo. ZAR JIBAR | 8.70% Fixed | ZAR | 2,290,000 | 03/20/2031 | Quarterly | — | — | 617 | 617 | ||||||||
3 Mo. ZAR JIBAR | 9.30% Fixed | ZAR | 10,750,000 | 03/20/2034 | Quarterly | — | (1) | 3,641 | 3,642 | ||||||||
3 Mo. ZAR JIBAR | 9.62% Fixed | ZAR | 1,985,000 | 03/20/2034 | Quarterly | — | — | 2,920 | 2,920 | ||||||||
3 Mo. ZAR JIBAR | 9.26% Fixed | ZAR | 1,705,000 | 03/20/2034 | Quarterly | — | — | 320 | 320 | ||||||||
6 Mo. CLP CLICP | 4.88% Fixed | CLP | 333,555,000 | 03/20/2027 | Semi-Annual | — | — | 5,964 | 5,964 | ||||||||
4.64% Fixed | 6 Mo. CLP CLICP | CLP | 81,840,000 | 03/20/2029 | Semi-Annual | — | — | (1,107) | (1,107) | ||||||||
5.06% Fixed | 6 Mo. CLP CLICP | CLP | 124,840,000 | 03/20/2029 | Semi-Annual | — | — | (4,207) | (4,207) | ||||||||
4.80% Fixed | 6 Mo. CLP CLICP | CLP | 414,060,000 | 03/20/2029 | Semi-Annual | — | — | (8,682) | (8,682) | ||||||||
6 Mo. CZK PRIBOR | 5.03% Fixed | CZK | 29,440,000 | 03/20/2025 | Quarterly | — | — | 6,460 | 6,460 | ||||||||
3.55% Fixed | 6 Mo. CZK PRIBOR | CZK | 3,105,000 | 03/20/2029 | Annual | — | — | (576) | (576) | ||||||||
6 Mo. EUR EURIBOR | 3.09% Fixed | EUR | 505,000 | 03/20/2026 | Semi-Annual | 617 | — | 3,765 | 3,148 | ||||||||
2.88% Fixed | 6 Mo. EUR EURIBOR | EUR | 310,000 | 03/20/2031 | Annual | — | (1,445) | (8,563) | (7,118) | ||||||||
6 Mo. EUR EURIBOR | 2.94% Fixed | EUR | 115,000 | 03/20/2034 | Semi-Annual | 651 | — | 4,334 | 3,683 | ||||||||
6 Mo. HUF BIBOR | 6.48% Fixed | HUF | 482,305,000 | 03/20/2026 | Semi-Annual | — | — | 15,544 | 15,544 | ||||||||
5.98% Fixed | 6 Mo. HUF BIBOR | HUF | 482,270,000 | 03/20/2029 | Annual | — | — | (20,494) | (20,494) | ||||||||
6 Mo. HUF BIBOR | 6.34% Fixed | HUF | 61,240,000 | 03/20/2031 | Semi-Annual | — | — | 5,927 | 5,927 | ||||||||
6 Mo. HUF BIBOR | 5.44% Fixed | HUF | 17,960,000 | 03/20/2031 | Semi-Annual | — | — | (853) | (853) | ||||||||
6 Mo. HUF BIBOR | 5.43% Fixed | HUF | 17,955,000 | 03/20/2031 | Semi-Annual | — | — | (882) | (882) | ||||||||
6 Mo. HUF BIBOR | 6.16% Fixed | HUF | 92,960,000 | 03/20/2034 | Semi-Annual | — | — | 5,424 | 5,424 | ||||||||
6 Mo. HUF BIBOR | 6.16% Fixed | HUF | 48,250,000 | 03/20/2034 | Semi-Annual | — | — | 2,764 | 2,764 | ||||||||
6 Mo. PLN WIBOR | 4.69% Fixed | PLN | 3,500,000 | 03/20/2026 | Semi-Annual | — | — | (3,806) | (3,806) | ||||||||
4.43% Fixed | 6 Mo. PLN WIBOR | PLN | 3,460,000 | 03/20/2029 | Annual | — | — | 1,856 | 1,856 | ||||||||
4.46% Fixed | 6 Mo. PLN WIBOR | PLN | 1,375,000 | 03/20/2029 | Annual | — | — | 234 | 234 | ||||||||
6 Mo. PLN WIBOR | 4.67% Fixed | PLN | 665,000 | 03/20/2031 | Semi-Annual | — | — | 1,702 | 1,702 | ||||||||
6 Mo. PLN WIBOR | 4.53% Fixed | PLN | 390,000 | 03/20/2031 | Semi-Annual | — | — | — | — | ||||||||
6 Mo. PLN WIBOR | 4.63% Fixed | PLN | 435,000 | 03/20/2034 | Semi-Annual | — | — | 248 | 248 | ||||||||
BZDIOVRA | 12.16% Fixed | BRL | 570,730 | 01/02/2026 | At Maturity | — | — | 1,420 | 1,420 | ||||||||
BZDIOVRA | 10.13% Fixed | BRL | 930,634 | 07/01/2026 | At Maturity | — | — | 1,688 | 1,688 | ||||||||
BZDIOVRA | 10.36% Fixed | BRL | 695,896 | 07/01/2026 | At Maturity | — | — | 433 | 433 | ||||||||
BZDIOVRA | 10.33% Fixed | BRL | 528,733 | 07/01/2026 | At Maturity | — | — | 409 | 409 | ||||||||
BZDIOVRA | 11.00% Fixed | BRL | 530,567 | 01/04/2027 | At Maturity | — | — | 3,727 | 3,727 | ||||||||
BZDIOVRA | 11.18% Fixed | BRL | 426,067 | 01/04/2027 | At Maturity | — | — | 3,524 | 3,524 | ||||||||
BZDIOVRA | 10.62% Fixed | BRL | 553,791 | 01/04/2027 | At Maturity | — | — | 2,772 | 2,772 | ||||||||
BZDIOVRA | 10.44% Fixed | BRL | 797,711 | 01/04/2027 | At Maturity | — | — | 2,662 | 2,662 | ||||||||
BZDIOVRA | 10.05% Fixed | BRL | 1,213,739 | 01/04/2027 | At Maturity | — | — | 2,083 | 2,083 | ||||||||
BZDIOVRA | 10.03% Fixed | BRL | 711,331 | 01/04/2027 | At Maturity | — | — | 1,108 | 1,108 | ||||||||
BZDIOVRA | 10.13% Fixed | BRL | 390,890 | 01/04/2027 | At Maturity | — | — | 140 | 140 | ||||||||
BZDIOVRA | 9.73% Fixed | BRL | 863,709 | 01/04/2027 | At Maturity | — | — | (55) | (55) |
64 |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2024 – (continued) | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
BZDIOVRA | 10.47% Fixed | BRL | 695,590 | 07/01/2027 | At Maturity | $ — | $ — | $ 2,158 | $ 2,158 | ||||||||
BZDIOVRA | 11.85% Fixed | BRL | 550,024 | 01/02/2029 | At Maturity | — | — | 9,747 | 9,747 | ||||||||
BZDIOVRA | 10.60% Fixed | BRL | 281,837 | 01/02/2029 | At Maturity | — | — | 974 | 974 | ||||||||
BZDIOVRA | 10.34% Fixed | BRL | 179,392 | 01/02/2029 | At Maturity | 2 | — | 550 | 548 | ||||||||
10.08% Fixed | BZDIOVRA | BRL | 496,747 | 01/02/2029 | At Maturity | — | — | (8) | (8) | ||||||||
Total centrally cleared interest rate swaps contracts | $ 2,065 | $ (1,446) | $ 45,829 | $ 45,210 |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
120,000 | AUD | 79,279 | USD | CBK | 03/20/2024 | $ (424) | ||||
693,000 | BRL | 140,839 | USD | GSC | 02/05/2024 | (1,050) | ||||
611,000 | BRL | 124,529 | USD | MSC | 02/05/2024 | (1,280) | ||||
1,012,000 | BRL | 206,152 | USD | BOA | 02/05/2024 | (2,016) | ||||
305,000 | BRL | 61,132 | USD | BOA | 02/09/2024 | 367 | ||||
1,770,000 | BRL | 355,769 | USD | SCB | 03/04/2024 | 437 | ||||
1,173,000 | BRL | 235,692 | USD | UBS | 03/04/2024 | 369 | ||||
173,000 | BRL | 34,574 | USD | BCLY | 03/04/2024 | 241 | ||||
90,000 | BRL | 18,173 | USD | DEUT | 03/04/2024 | (61) | ||||
365,000 | BRL | 73,544 | USD | BOA | 03/04/2024 | (90) | ||||
2,054,000 | BRL | 415,372 | USD | GSC | 03/04/2024 | (2,014) | ||||
13,475,000 | BRL | 2,720,436 | USD | MSC | 03/04/2024 | (8,648) | ||||
364,000 | BRL | 71,548 | USD | DEUT | 03/12/2024 | 1,639 | ||||
690,000 | BRL | 134,977 | USD | BCLY | 04/03/2024 | 3,428 | ||||
215,000 | CAD | 158,583 | USD | BCLY | 03/20/2024 | 1,437 | ||||
60,000 | CAD | 44,502 | USD | CIBC | 03/20/2024 | 154 | ||||
498,000 | CAD | 371,074 | USD | MSC | 03/20/2024 | (423) | ||||
195,000 | CAD | 145,884 | USD | GSC | 03/20/2024 | (750) | ||||
140,000 | CAD | 105,117 | USD | UBS | 03/20/2024 | (918) | ||||
61,000,000 | CLP | 65,297 | USD | GSC | 03/20/2024 | 62 | ||||
171,900,000 | CLP | 191,006 | USD | DEUT | 03/20/2024 | (6,824) | ||||
1,064,000 | CNH | 148,551 | USD | JPM | 02/20/2024 | (366) | ||||
709,000 | CNH | 98,564 | USD | SCB | 03/20/2024 | 372 | ||||
35,000 | CNH | 4,897 | USD | MSC | 03/20/2024 | (13) | ||||
284,000 | CNH | 39,730 | USD | BNP | 03/20/2024 | (100) | ||||
1,162,000 | CNH | 163,049 | USD | JPM | 03/20/2024 | (901) | ||||
1,272,000 | CNH | 179,296 | USD | DEUT | 03/20/2024 | (1,797) | ||||
19,104,912 | CNH | 2,671,493 | USD | UBS | 03/20/2024 | (5,542) | ||||
359,233,000 | COP | 86,250 | USD | BOA | 02/02/2024 | 5,967 | ||||
172,993,000 | COP | 42,873 | USD | MSC | 03/18/2024 | 1,163 | ||||
2,465,838,000 | COP | 610,783 | USD | CBK | 03/20/2024 | 16,696 | ||||
774,318,000 | COP | 194,132 | USD | BNP | 03/20/2024 | 2,907 | ||||
188,900,000 | COP | 46,112 | USD | GSC | 03/20/2024 | 1,957 | ||||
169,800,000 | COP | 42,102 | USD | BCLY | 03/20/2024 | 1,107 | ||||
405,000,000 | COP | 103,211 | USD | SCB | 03/20/2024 | (151) | ||||
373,590,000 | COP | 92,130 | USD | MSC | 07/11/2024 | 967 | ||||
510,000 | CZK | 22,582 | USD | UBS | 03/20/2024 | (410) | ||||
3,400,000 | CZK | 148,707 | USD | GSC | 03/20/2024 | (897) | ||||
1,790,000 | CZK | 79,730 | USD | CBK | 03/20/2024 | (1,912) | ||||
2,080,000 | CZK | 92,802 | USD | DEUT | 03/20/2024 | (2,377) | ||||
13,801,000 | CZK | 618,934 | USD | BCLY | 03/20/2024 | (18,954) | ||||
4,628,000 | CZK | 197,314 | USD | BOA | 04/18/2024 | 3,808 | ||||
51,000 | EUR | 54,641 | USD | BOA | 02/22/2024 | 526 | ||||
110,000 | EUR | 118,713 | USD | BMO | 03/20/2024 | 417 | ||||
467,000 | EUR | 505,782 | USD | BNP | 03/20/2024 | (19) | ||||
51,000 | EUR | 55,862 | USD | UBS | 03/20/2024 | (629) | ||||
106,000 | EUR | 115,767 | USD | GSC | 03/20/2024 | (969) | ||||
159,000 | EUR | 173,285 | USD | CBK | 03/20/2024 | (1,088) | ||||
98,000 | EUR | 107,862 | USD | BCLY | 03/20/2024 | (1,728) | ||||
125,000 | EUR | 137,771 | USD | BOA | 03/20/2024 | (2,396) | ||||
2,420,000 | EUR | 2,663,232 | USD | DEUT | 03/20/2024 | (42,363) | ||||
106,000 | EUR | 114,188 | USD | BCLY | 05/14/2024 | 874 |
65 |
Foreign Currency Contracts Outstanding at January 31, 2024 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
92,000 | GBP | 117,265 | USD | JPM | 03/20/2024 | $ (627) | ||||
53,000 | GBP | 64,819 | USD | BOA | 03/27/2024 | 2,378 | ||||
48,000 | GBP | 60,600 | USD | BOA | 05/31/2024 | 270 | ||||
13,447,000 | HUF | 37,549 | USD | BCLY | 03/20/2024 | 128 | ||||
4,100,000 | HUF | 11,465 | USD | RBC | 03/20/2024 | 22 | ||||
48,173,000 | HUF | 136,439 | USD | CBK | 03/20/2024 | (1,464) | ||||
86,780,000 | HUF | 246,044 | USD | DEUT | 03/20/2024 | (2,898) | ||||
62,100,000 | HUF | 177,450 | USD | JPM | 03/20/2024 | (3,454) | ||||
92,000,000 | HUF | 264,258 | USD | BOA | 03/20/2024 | (6,486) | ||||
280,612,000 | HUF | 796,276 | USD | UBS | 03/20/2024 | (10,037) | ||||
665,000,000 | IDR | 42,852 | USD | RBS | 03/20/2024 | (728) | ||||
706,000,000 | IDR | 45,761 | USD | GSC | 03/20/2024 | (1,040) | ||||
2,542,000,000 | IDR | 164,233 | USD | DEUT | 03/20/2024 | (3,211) | ||||
4,061,000,000 | IDR | 263,189 | USD | BNP | 03/20/2024 | (5,946) | ||||
21,896,827,000 | IDR | 1,396,036 | USD | JPM | 03/20/2024 | (8,991) | ||||
793,000 | ILS | 208,778 | USD | BOA | 02/07/2024 | 8,658 | ||||
325,000 | ILS | 88,344 | USD | GSC | 03/20/2024 | 910 | ||||
444,000 | ILS | 110,668 | USD | MSC | 03/29/2024 | 11,307 | ||||
12,000 | ILS | 3,153 | USD | GSC | 03/29/2024 | 144 | ||||
23,699,000 | INR | 283,461 | USD | UBS | 03/20/2024 | 1,195 | ||||
16,124,000 | INR | 193,000 | USD | DEUT | 03/20/2024 | 669 | ||||
5,900,000 | INR | 70,707 | USD | GSC | 03/20/2024 | 160 | ||||
7,400,000 | INR | 88,820 | USD | BNP | 03/20/2024 | 64 | ||||
8,110,000 | INR | 97,376 | USD | JPM | 03/20/2024 | 35 | ||||
17,150,000 | KZT | 36,858 | USD | BOA | 02/07/2024 | 1,227 | ||||
15,750,000 | KZT | 33,820 | USD | BOA | 02/09/2024 | 1,139 | ||||
33,000,000 | KZT | 69,328 | USD | GSC | 02/14/2024 | 3,829 | ||||
75,100,000 | KZT | 163,703 | USD | GSC | 03/20/2024 | 1,341 | ||||
1,020,000 | MXN | 58,271 | USD | BCLY | 03/20/2024 | 498 | ||||
2,200,000 | MXN | 126,724 | USD | BOA | 03/20/2024 | 32 | ||||
460,000 | MXN | 26,643 | USD | DEUT | 03/20/2024 | (140) | ||||
1,120,000 | MXN | 65,133 | USD | GSC | 03/20/2024 | (603) | ||||
1,173,000 | MXN | 68,873 | USD | CBK | 03/20/2024 | (1,289) | ||||
2,620,000 | MXN | 153,018 | USD | BNP | 03/20/2024 | (2,063) | ||||
1,450,000 | MXN | 78,037 | USD | MSC | 04/11/2024 | 5,224 | ||||
7,135,000 | MXN | 403,483 | USD | BCLY | 05/06/2024 | 4,527 | ||||
1,139,000 | MXN | 61,949 | USD | BOA | 05/14/2024 | 3,094 | ||||
8,310,000 | MXN | 468,750 | USD | MSC | 05/24/2024 | 4,990 | ||||
16,240,000 | MXN | 930,702 | USD | CBK | 05/24/2024 | (4,885) | ||||
24,550,000 | MXN | 1,368,298 | USD | GSC | 07/24/2024 | 16,814 | ||||
7,135,000 | MXN | 373,991 | USD | CBK | 11/06/2024 | 21,636 | ||||
12,275,000 | MXN | 672,209 | USD | MSC | 11/25/2024 | 6,331 | ||||
12,275,000 | MXN | 673,248 | USD | BCLY | 11/25/2024 | 5,291 | ||||
18,300,000 | MXN | 1,007,598 | USD | CBK | 12/20/2024 | (86) | ||||
9,150,000 | MXN | 504,911 | USD | GSC | 12/20/2024 | (1,155) | ||||
9,150,000 | MXN | 505,051 | USD | MSC | 12/20/2024 | (1,294) | ||||
8,610,000 | MXN | 482,393 | USD | CBK | 01/10/2025 | (9,967) | ||||
6,024,000 | MXN | 328,346 | USD | CBK | 01/21/2025 | 1,605 | ||||
4,016,000 | MXN | 220,914 | USD | RBC | 01/21/2025 | (947) | ||||
10,040,000 | MXN | 550,243 | USD | BOA | 01/29/2025 | (1,029) | ||||
590,000 | MYR | 129,244 | USD | BNP | 03/20/2024 | (3,797) | ||||
2,333,000 | MYR | 501,237 | USD | DEUT | 03/20/2024 | (5,187) | ||||
270,000 | NZD | 165,212 | USD | GSC | 03/20/2024 | (164) | ||||
95,000 | NZD | 58,539 | USD | SCB | 03/20/2024 | (467) | ||||
250,000 | NZD | 153,699 | USD | DEUT | 03/20/2024 | (877) | ||||
85,000 | NZD | 53,369 | USD | JPM | 03/20/2024 | (1,410) | ||||
335,000 | NZD | 208,782 | USD | MSC | 03/20/2024 | (4,000) | ||||
569,000 | NZD | 354,359 | USD | BNP | 03/20/2024 | (6,536) | ||||
55,000 | PEN | 14,595 | USD | JPM | 03/20/2024 | (155) | ||||
45,000 | PEN | 12,068 | USD | DEUT | 03/20/2024 | (253) | ||||
625,000 | PEN | 164,690 | USD | BOA | 03/20/2024 | (597) | ||||
2,720,000 | PHP | 48,458 | USD | GSC | 03/20/2024 | (107) | ||||
14,165,000 | PHP | 254,892 | USD | JPM | 03/20/2024 | (3,095) | ||||
16,550,000 | PHP | 297,839 | USD | BOA | 03/20/2024 | (3,644) | ||||
699,000 | PLN | 173,592 | USD | GSC | 03/20/2024 | 869 |
66 |
Foreign Currency Contracts Outstanding at January 31, 2024 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
420,000 | PLN | 104,427 | USD | BCLY | 03/20/2024 | $ 400 | ||||
130,000 | PLN | 32,318 | USD | JPM | 03/20/2024 | 129 | ||||
301,000 | PLN | 75,642 | USD | DEUT | 03/20/2024 | (516) | ||||
6,822,000 | PLN | 1,734,206 | USD | UBS | 03/20/2024 | (31,523) | ||||
120,000 | RON | 26,022 | USD | UBS | 03/20/2024 | 25 | ||||
840,000 | RON | 184,543 | USD | GSC | 03/20/2024 | (2,212) | ||||
3,166,000 | RON | 697,073 | USD | DEUT | 03/20/2024 | (9,859) | ||||
3,303,000 | RSD | 30,911 | USD | CBK | 03/20/2024 | (435) | ||||
9,135,000 | THB | 252,091 | USD | MSC | 02/07/2024 | 5,534 | ||||
506,000 | THB | 14,544 | USD | MSC | 02/29/2024 | (248) | ||||
7,680,000 | THB | 217,700 | USD | GSC | 03/20/2024 | (374) | ||||
75,328,000 | THB | 2,134,955 | USD | BCLY | 03/20/2024 | (3,340) | ||||
16,416,000 | THB | 468,520 | USD | CBK | 03/20/2024 | (3,984) | ||||
5,470,000 | THB | 159,949 | USD | JPM | 03/20/2024 | (5,160) | ||||
3,696,000 | TRY | 115,949 | USD | GSC | 03/20/2024 | (10) | ||||
1,170,000 | TRY | 37,157 | USD | BNP | 03/20/2024 | (456) | ||||
3,930,000 | TRY | 125,259 | USD | UBS | 03/20/2024 | (1,982) | ||||
14,241,500 | TRY | 449,200 | USD | BCLY | 03/20/2024 | (2,469) | ||||
2,518,000 | ZAR | 133,016 | USD | BOA | 02/15/2024 | 1,302 | ||||
2,020,000 | ZAR | 106,042 | USD | GSC | 03/20/2024 | 1,395 | ||||
1,760,000 | ZAR | 93,194 | USD | BNP | 03/20/2024 | 415 | ||||
500,000 | ZAR | 26,338 | USD | RBC | 03/20/2024 | 255 | ||||
293,000 | ZAR | 15,704 | USD | JPM | 03/20/2024 | (121) | ||||
780,000 | ZAR | 42,283 | USD | MSC | 03/20/2024 | (797) | ||||
1,120,000 | ZAR | 61,073 | USD | DEUT | 03/20/2024 | (1,504) | ||||
22,285,000 | ZAR | 1,213,021 | USD | BCLY | 03/20/2024 | (27,754) | ||||
78,961 | USD | 120,000 | AUD | RBC | 03/20/2024 | 107 | ||||
236,301 | USD | 1,173,000 | BRL | UBS | 02/05/2024 | (311) | ||||
28,988 | USD | 147,000 | BRL | BOA | 02/05/2024 | (664) | ||||
109,417 | USD | 556,000 | BRL | BCLY | 02/05/2024 | (2,737) | ||||
85,938 | USD | 440,000 | BRL | MSC | 02/05/2024 | (2,817) | ||||
35,594 | USD | 179,000 | BRL | DEUT | 02/09/2024 | (499) | ||||
169,254 | USD | 830,000 | BRL | CBK | 03/04/2024 | 2,220 | ||||
185,072 | USD | 910,000 | BRL | MSC | 03/04/2024 | 1,938 | ||||
206,171 | USD | 1,016,000 | BRL | DEUT | 03/04/2024 | 1,705 | ||||
199,905 | USD | 987,000 | BRL | GSC | 03/04/2024 | 1,276 | ||||
55,792 | USD | 275,000 | BRL | UBS | 03/04/2024 | 450 | ||||
99,135 | USD | 493,000 | BRL | MSC | 04/08/2024 | 303 | ||||
32,969 | USD | 163,000 | BRL | BOA | 04/10/2024 | 300 | ||||
104,167 | USD | 520,000 | BRL | MSC | 07/11/2024 | 1,014 | ||||
16,154 | USD | 82,000 | BRL | BOA | 07/25/2024 | (87) | ||||
10,442 | USD | 14,000 | CAD | BNP | 03/15/2024 | 23 | ||||
136,522 | USD | 180,000 | CAD | DEUT | 03/20/2024 | 2,552 | ||||
291,503 | USD | 390,000 | CAD | UBS | 03/20/2024 | 1,234 | ||||
56,172 | USD | 75,000 | CAD | BCLY | 03/20/2024 | 351 | ||||
30,050 | USD | 40,000 | CAD | BNP | 03/20/2024 | 279 | ||||
41,007 | USD | 55,000 | CAD | GSC | 03/20/2024 | 72 | ||||
221,457 | USD | 300,000 | CAD | RBC | 03/20/2024 | (1,826) | ||||
334,753 | USD | 300,540,000 | CLP | BOA | 03/20/2024 | 12,741 | ||||
80,114 | USD | 73,100,000 | CLP | CBK | 03/20/2024 | 1,791 | ||||
88,189 | USD | 636,000 | CNH | DEUT | 02/05/2024 | (307) | ||||
25,090 | USD | 181,000 | CNH | JPM | 02/20/2024 | (118) | ||||
4,991 | USD | 36,000 | CNH | DEUT | 02/23/2024 | (24) | ||||
167,749 | USD | 1,188,000 | CNH | JPM | 03/20/2024 | 1,973 | ||||
126,406 | USD | 901,000 | CNH | SCB | 03/20/2024 | 678 | ||||
258,820 | USD | 1,850,000 | CNH | BNP | 03/20/2024 | 666 | ||||
72,711 | USD | 520,000 | CNH | BCLY | 03/20/2024 | 149 | ||||
29,443 | USD | 211,000 | CNH | DEUT | 03/20/2024 | — | ||||
110,203 | USD | 433,318,000 | COP | MSC | 02/02/2024 | (1,033) | ||||
66,844 | USD | 266,400,000 | COP | DEUT | 03/20/2024 | (946) | ||||
138,484 | USD | 551,375,000 | COP | BNP | 03/20/2024 | (1,823) | ||||
91,497 | USD | 368,000,000 | COP | GSC | 03/20/2024 | (2,148) | ||||
159,373 | USD | 638,510,000 | COP | BOA | 03/20/2024 | (3,108) | ||||
361,105 | USD | 1,444,403,000 | COP | CBK | 03/20/2024 | (6,450) | ||||
134,257 | USD | 3,030,000 | CZK | GSC | 03/20/2024 | 2,532 |
67 |
Foreign Currency Contracts Outstanding at January 31, 2024 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
142,973 | USD | 3,260,000 | CZK | BNP | 03/20/2024 | $ 1,248 | ||||
58,210 | USD | 1,340,000 | CZK | BOA | 03/20/2024 | (45) | ||||
143,668 | USD | 131,000 | EUR | BOA | 02/22/2024 | 1,962 | ||||
3,801,091 | USD | 3,454,000 | EUR | DEUT | 03/20/2024 | 60,396 | ||||
448,528 | USD | 403,000 | EUR | BNP | 03/20/2024 | 12,077 | ||||
400,018 | USD | 366,000 | EUR | GSC | 03/20/2024 | 3,639 | ||||
196,477 | USD | 179,000 | EUR | CBK | 03/20/2024 | 2,619 | ||||
49,811 | USD | 45,000 | EUR | TDB | 03/20/2024 | 1,076 | ||||
45,076 | USD | 41,000 | EUR | BCLY | 03/20/2024 | 673 | ||||
60,215 | USD | 55,000 | EUR | JPM | 03/20/2024 | 650 | ||||
83,800 | USD | 77,000 | EUR | SSG | 03/20/2024 | 408 | ||||
6,574 | USD | 6,000 | EUR | MSC | 03/20/2024 | 76 | ||||
155,527 | USD | 145,000 | EUR | BOA | 03/25/2024 | (1,541) | ||||
284,570 | USD | 223,000 | GBP | MSC | 03/20/2024 | 1,850 | ||||
18,932 | USD | 15,000 | GBP | BOA | 03/27/2024 | (87) | ||||
132,883 | USD | 47,559,000 | HUF | BOA | 02/15/2024 | (821) | ||||
174,301 | USD | 61,500,000 | HUF | GSC | 03/20/2024 | 1,986 | ||||
192,875 | USD | 68,386,000 | HUF | JPM | 03/20/2024 | 1,266 | ||||
41,020 | USD | 14,600,000 | HUF | MSC | 03/20/2024 | 113 | ||||
49,944 | USD | 17,900,000 | HUF | BNP | 03/20/2024 | (209) | ||||
96,936 | USD | 34,900,000 | HUF | UBS | 03/20/2024 | (849) | ||||
198,455 | USD | 74,639,000 | HUF | CBK | 04/18/2024 | (10,266) | ||||
123,348 | USD | 1,923,000,000 | IDR | BOA | 03/20/2024 | 1,537 | ||||
139,472 | USD | 2,178,000,000 | IDR | BNP | 03/20/2024 | 1,508 | ||||
89,660 | USD | 1,408,000,000 | IDR | DEUT | 03/20/2024 | 471 | ||||
196,799 | USD | 793,000 | ILS | BOA | 02/07/2024 | (20,637) | ||||
248,647 | USD | 935,000 | ILS | BOA | 03/20/2024 | (8,129) | ||||
2,988 | USD | 12,000 | ILS | GSC | 03/29/2024 | (309) | ||||
110,544 | USD | 444,000 | ILS | MSC | 03/29/2024 | (11,431) | ||||
44,999 | USD | 3,770,000 | INR | GSC | 03/11/2024 | (306) | ||||
150,293 | USD | 12,510,000 | INR | BNP | 03/20/2024 | 32 | ||||
104,478 | USD | 8,710,000 | INR | CBK | 03/20/2024 | (141) | ||||
36,637 | USD | 3,066,000 | INR | GSC | 03/20/2024 | (189) | ||||
146,564 | USD | 12,220,000 | INR | DEUT | 03/20/2024 | (214) | ||||
95,863 | USD | 8,063,000 | INR | BOA | 04/12/2024 | (886) | ||||
34,041 | USD | 2,855,000 | INR | UBS | 05/13/2024 | (171) | ||||
81,898 | USD | 109,800,000 | KRW | JPM | 03/20/2024 | (609) | ||||
34,875 | USD | 17,150,000 | KZT | GSC | 02/07/2024 | (3,210) | ||||
32,012 | USD | 15,750,000 | KZT | GSC | 02/09/2024 | (2,947) | ||||
70,362 | USD | 33,000,000 | KZT | BOA | 02/14/2024 | (2,794) | ||||
458,489 | USD | 7,810,000 | MXN | CBK | 03/20/2024 | 8,504 | ||||
175,508 | USD | 3,026,000 | MXN | DEUT | 03/20/2024 | 1,161 | ||||
243,541 | USD | 4,210,000 | MXN | SSG | 03/20/2024 | 975 | ||||
104,511 | USD | 1,797,000 | MXN | GSC | 03/20/2024 | 974 | ||||
24,052 | USD | 416,000 | MXN | MSC | 03/20/2024 | 83 | ||||
104,344 | USD | 1,828,000 | MXN | BCLY | 03/20/2024 | (980) | ||||
89,470 | USD | 1,570,000 | MXN | JPM | 03/20/2024 | (988) | ||||
61,797 | USD | 1,094,000 | MXN | BOA | 03/20/2024 | (1,235) | ||||
71,842 | USD | 1,341,000 | MXN | BOA | 03/27/2024 | (5,334) | ||||
48,039 | USD | 904,000 | MXN | UBS | 04/11/2024 | (3,869) | ||||
385,467 | USD | 7,135,000 | MXN | CBK | 05/06/2024 | (22,543) | ||||
42,865 | USD | 769,000 | MXN | DEUT | 05/07/2024 | (1,102) | ||||
693,209 | USD | 12,275,000 | MXN | BCLY | 05/24/2024 | (6,569) | ||||
692,154 | USD | 12,275,000 | MXN | MSC | 05/24/2024 | (7,624) | ||||
520,330 | USD | 9,150,000 | MXN | MSC | 06/20/2024 | 1,100 | ||||
520,182 | USD | 9,150,000 | MXN | GSC | 06/20/2024 | 952 | ||||
1,038,003 | USD | 18,300,000 | MXN | CBK | 06/20/2024 | (457) | ||||
496,970 | USD | 8,610,000 | MXN | CBK | 07/10/2024 | 10,040 | ||||
227,561 | USD | 4,016,000 | MXN | RBC | 07/19/2024 | 787 | ||||
338,142 | USD | 6,024,000 | MXN | CBK | 07/19/2024 | (2,020) | ||||
686,425 | USD | 12,275,000 | MXN | BCLY | 07/24/2024 | (6,130) | ||||
685,352 | USD | 12,275,000 | MXN | MSC | 07/24/2024 | (7,204) | ||||
566,432 | USD | 10,040,000 | MXN | BOA | 07/29/2024 | 453 | ||||
392,108 | USD | 7,135,000 | MXN | BCLY | 11/06/2024 | (3,518) | ||||
902,909 | USD | 16,240,000 | MXN | CBK | 11/25/2024 | 5,192 |
68 |
Foreign Currency Contracts Outstanding at January 31, 2024 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
455,562 | USD | 8,310,000 | MXN | MSC | 11/25/2024 | $ (3,800) | ||||
84,896 | USD | 400,000 | MYR | DEUT | 03/20/2024 | (153) | ||||
3,727 | USD | 6,000 | NZD | MSC | 03/18/2024 | 59 | ||||
675,413 | USD | 1,100,000 | NZD | DEUT | 03/20/2024 | 2,998 | ||||
71,441 | USD | 115,000 | NZD | MSC | 03/20/2024 | 1,143 | ||||
344,786 | USD | 1,293,000 | PEN | CBK | 03/20/2024 | 5,308 | ||||
69,203 | USD | 259,000 | PEN | BOA | 03/20/2024 | 1,202 | ||||
80,496 | USD | 305,000 | PEN | SCB | 03/20/2024 | 418 | ||||
266 | USD | 1,000 | PEN | DEUT | 03/20/2024 | 3 | ||||
335,867 | USD | 18,760,000 | PHP | BOA | 03/20/2024 | 2,387 | ||||
78,227 | USD | 4,360,000 | PHP | JPM | 03/20/2024 | 724 | ||||
154,235 | USD | 610,000 | PLN | BOA | 03/20/2024 | 1,987 | ||||
56,618 | USD | 225,000 | PLN | DEUT | 03/20/2024 | 461 | ||||
137,321 | USD | 550,000 | PLN | BCLY | 03/20/2024 | 48 | ||||
53,287 | USD | 215,000 | PLN | GSC | 03/20/2024 | (375) | ||||
139,074 | USD | 560,000 | PLN | BNP | 03/20/2024 | (695) | ||||
114,016 | USD | 473,000 | PLN | BCLY | 05/14/2024 | (3,933) | ||||
165,982 | USD | 760,000 | RON | GSC | 03/20/2024 | 1,015 | ||||
67,789 | USD | 310,000 | RON | BCLY | 03/20/2024 | 500 | ||||
108,765 | USD | 502,000 | RON | CBK | 03/20/2024 | (200) | ||||
269,682 | USD | 9,242,000 | THB | SCB | 03/20/2024 | 8,154 | ||||
424,652 | USD | 14,743,000 | THB | BOA | 03/20/2024 | 7,459 | ||||
803,626 | USD | 28,170,000 | THB | BCLY | 03/20/2024 | 6,479 | ||||
350,872 | USD | 12,330,000 | THB | UBS | 03/20/2024 | 1,961 | ||||
147,155 | USD | 4,658,000 | TRY | GSC | 03/20/2024 | 1,041 | ||||
52,385 | USD | 1,878,000 | TRY | BOA | 07/09/2024 | (138) | ||||
57,449 | USD | 2,306,000 | UYU | GSC | 04/15/2024 | (1,086) | ||||
57,664 | USD | 2,306,000 | UYU | CBK | 05/13/2024 | (686) | ||||
118,016 | USD | 4,767,000 | UYU | CBK | 06/11/2024 | (2,105) | ||||
68,306 | USD | 1,290,000 | ZAR | BNP | 03/20/2024 | (305) | ||||
224,452 | USD | 4,310,000 | ZAR | GSC | 03/20/2024 | (4,783) | ||||
Total foreign currency contracts | $ (116,758) |
69 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Corporate Bonds | $ 10,416,998 | $ — | $ 10,416,998 | $ — | ||||
Foreign Government Obligations | 20,230,346 | — | 20,230,346 | — | ||||
Short-Term Investments | 505,221 | — | 505,221 | — | ||||
Purchased Options | 108,149 | — | 108,149 | — | ||||
Foreign Currency Contracts(2) | 360,246 | — | 360,246 | — | ||||
Futures Contracts(2) | 37,445 | 37,445 | — | — | ||||
Swaps - Interest Rate(2) | 135,057 | — | 135,057 | — | ||||
Total | $ 31,793,462 | $ 37,445 | $ 31,756,017 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (477,004) | $ — | $ (477,004) | $ — | ||||
Futures Contracts(2) | (28,475) | (28,475) | — | — | ||||
Swaps - Credit Default(2) | (2,791) | — | (2,791) | — | ||||
Swaps - Interest Rate(2) | (75,548) | — | (75,548) | — | ||||
Written Options | (64,834) | — | (64,834) | — | ||||
Total | $ (648,652) | $ (28,475) | $ (620,177) | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
70 |
71 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Banks | $ 395,547,560 | $ 395,547,560 | $ — | $ — | ||||
Capital Goods | 353,997,078 | 304,286,453 | 49,710,625 | — | ||||
Consumer Discretionary Distribution & Retail | 112,762,901 | 112,762,901 | — | — | ||||
Consumer Durables & Apparel | 51,030,219 | 51,030,219 | — | — | ||||
Energy | 434,181,996 | 434,181,996 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 291,479,463 | 291,479,463 | — | — | ||||
Financial Services | 418,156,583 | 418,156,583 | — | — | ||||
Food, Beverage & Tobacco | 339,712,571 | 263,130,992 | 76,581,579 | — | ||||
Health Care Equipment & Services | 226,606,744 | 226,606,744 | — | — | ||||
Household & Personal Products | 156,866,596 | 156,866,596 | — | — | ||||
Insurance | 243,974,919 | 243,974,919 | — | — | ||||
Materials | 294,636,647 | 294,636,647 | — | — | ||||
Media & Entertainment | 26,665,263 | 26,665,263 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 672,257,647 | 606,701,422 | 65,556,225 | — | ||||
Semiconductors & Semiconductor Equipment | 142,831,084 | 142,831,084 | — | — | ||||
Software & Services | 45,659,574 | 45,659,574 | — | — | ||||
Technology Hardware & Equipment | 224,502,541 | 224,502,541 | — | — | ||||
Telecommunication Services | 40,174,002 | 40,174,002 | — | — | ||||
Transportation | 127,039,713 | 127,039,713 | — | — | ||||
Utilities | 401,754,299 | 401,754,299 | — | — | ||||
Short-Term Investments | 16,480,826 | — | 16,480,826 | — | ||||
Total | $ 5,016,318,226 | $ 4,807,988,971 | $ 208,329,255 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
72 |
73 |
74 |
75 |
76 |
77 |
78 |
79 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts: | ||||||||
Euro-BOBL Future | 4 | 03/07/2024 | $ 512,382 | $ (3,462) | ||||
U.S. Treasury 5-Year Note Future | 42 | 03/28/2024 | 4,552,406 | (97,538) | ||||
Total futures contracts | $ (101,000) |
OTC Total Return Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||||
Reference Entity | Counter- party | Notional Amount | Payments received (paid) by the Fund | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ Depreciation | ||||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | MSC | USD | 44,775,000 | (5.32%) | 03/20/2024 | Quarterly | $ — | $ — | $ 1,351,467 | $ 1,351,467 | |||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | MSC | USD | 21,170,000 | (5.32%) | 06/20/2024 | Quarterly | — | — | 158,098 | 158,098 | |||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | BNP | USD | 24,715,000 | (5.32%) | 06/20/2024 | Quarterly | — | — | 144,281 | 144,281 | |||||||||
Total OTC total return swap contracts | $ — | $ — | $ 1,653,846 | $ 1,653,846 |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
Credit default swaps on indices: | |||||||||||||||||
Buy protection: | |||||||||||||||||
CDX.NA.HY.S41 | USD | 8,291,250 | (5.00%) | 12/20/2028 | Quarterly | $ — | $ (232,935) | $ (531,182) | $ (298,247) | ||||||||
Total centrally cleared credit default swap contracts | $ — | $ (232,935) | $ (531,182) | $ (298,247) |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
80 |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
4,258,351 | EUR | 4,619,297 | USD | TDB | 02/29/2024 | $ (11,352) | ||||
120,944,079 | USD | 111,493,655 | EUR | TDB | 02/29/2024 | 297,219 | ||||
3,806,010 | USD | 3,500,000 | EUR | DEUT | 02/29/2024 | 18,673 | ||||
2,925,726 | USD | 2,695,000 | EUR | CBK | 02/29/2024 | 9,477 | ||||
10,656,242 | USD | 8,389,321 | GBP | BCLY | 02/29/2024 | 21,853 | ||||
Total foreign currency contracts | $ 335,870 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 12,553,275 | $ — | $ 12,553,275 | $ — | ||||
Convertible Bonds | 3,169,541 | — | 3,169,541 | — | ||||
Corporate Bonds | 65,773,877 | — | 65,773,877 | — | ||||
Senior Floating Rate Interests | 1,116,597,954 | — | 1,116,573,880 | 24,074 | ||||
Common Stocks | ||||||||
Energy | 7,060,333 | — | 7,060,333 | — | ||||
Insurance | 1,755 | — | 1,755 | — | ||||
Materials | 2,308,881 | — | 2,308,881 | — | ||||
Media & Entertainment | 7,975,867 | — | 7,875,854 | 100,013 | ||||
Exchange-Traded Funds | 49,253,636 | 49,253,636 | — | — | ||||
Warrants | 58,500 | — | — | 58,500 | ||||
Short-Term Investments | 61,615,950 | 61,615,950 | — | — | ||||
Foreign Currency Contracts(2) | 347,222 | — | 347,222 | — | ||||
Swaps- Total Return(2) | 1,653,846 | — | 1,653,846 | — | ||||
Total | $ 1,328,370,637 | $ 110,869,586 | $ 1,217,318,464 | $ 182,587 | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (11,352) | $ — | $ (11,352) | $ — | ||||
Futures Contracts(2) | (101,000) | (101,000) | — | — | ||||
Swaps - Credit Default(2) | (298,247) | — | (298,247) | — | ||||
Total | $ (410,599) | $ (101,000) | $ (309,599) | $ — |
(1) | For the period ended January 31, 2024, investments valued at $36,112 were transferred into Level 3 due to the unavailability of active market pricing. There were no transfers out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
81 |
82 |
83 |
84 |
85 |
86 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts: | ||||||||
Euro-BOBL Future | 1 | 03/07/2024 | $ 128,095 | $ (865) | ||||
U.S. Treasury 5-Year Note Future | 12 | 03/28/2024 | 1,300,688 | (27,867) | ||||
Total futures contracts | $ (28,732) |
OTC Total Return Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||||
Reference Entity | Counter- party | Notional Amount | Payments received (paid) by the Fund | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ Depreciation | ||||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | MSC | USD | 10,800,000 | (5.32%) | 03/20/2024 | Quarterly | $ — | $ — | $ 325,982 | $ 325,982 | |||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | MSC | USD | 4,380,000 | (5.32%) | 06/20/2024 | Quarterly | — | — | 32,710 | 32,710 | |||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | BNP | USD | 5,110,000 | (5.32%) | 06/20/2024 | Quarterly | — | — | 29,831 | 29,831 | |||||||||
Total OTC total return swap contracts | $ — | $ — | $ 388,523 | $ 388,523 |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
Credit default swaps on indices: | |||||||||||||||||
Buy protection: | |||||||||||||||||
CDX.NA.HY.S41 | USD | 2,673,000 | (5.00%) | 12/20/2028 | Quarterly | $ — | $ (74,745) | $ (171,249) | $ (96,504) | ||||||||
Total centrally cleared credit default swap contracts | $ — | $ (74,745) | $ (171,249) | $ (96,504) |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
87 |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
216,000 | EUR | 234,389 | USD | UBS | 02/29/2024 | $ (657) | ||||
2,591,000 | EUR | 2,821,839 | USD | CBK | 02/29/2024 | (18,127) | ||||
19,693,807 | USD | 18,154,956 | EUR | TDB | 02/29/2024 | 48,397 | ||||
2,454,055 | USD | 1,932,000 | GBP | BCLY | 02/29/2024 | 5,033 | ||||
Total foreign currency contracts | $ 34,646 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Convertible Bonds | $ 706,586 | $ — | $ 706,586 | $ — | ||||
Corporate Bonds | 13,379,881 | — | 13,379,881 | — | ||||
Senior Floating Rate Interests | 165,231,436 | — | 165,227,825 | 3,611 | ||||
Common Stocks | ||||||||
Energy | 1,109,940 | — | 1,109,940 | — | ||||
Insurance | 348 | — | 348 | — | ||||
Materials | 188,845 | — | 188,845 | — | ||||
Media & Entertainment | 2,159,220 | — | 2,138,567 | 20,653 | ||||
Exchange-Traded Funds | 10,669,376 | 10,669,376 | — | — | ||||
Warrants | 14,625 | — | — | 14,625 | ||||
Short-Term Investments | 22,949,244 | 22,949,244 | — | — | ||||
Foreign Currency Contracts(2) | 53,430 | — | 53,430 | — | ||||
Swaps- Total Return(2) | 388,523 | — | 388,523 | — | ||||
Total | $ 216,851,454 | $ 33,618,620 | $ 183,193,945 | $ 38,889 | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (18,784) | $ — | $ (18,784) | $ — | ||||
Futures Contracts(2) | (28,732) | (28,732) | — | — | ||||
Swaps - Credit Default(2) | (96,504) | — | (96,504) | — | ||||
Total | $ (144,020) | $ (28,732) | $ (115,288) | $ — |
(1) | For the period ended January 31, 2024, investments valued at $5,417 were transferred into Level 3 due to the unavailability of active market pricing. There were no transfers out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
88 |
Affiliated Investment Companies | Beginning Value as of November 1, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2024 | Shares as of January 31, 2024 | Dividend Income | Capital Gains Distribution | |||||||||
The Hartford Growth Allocation Fund | ||||||||||||||||||
Hartford Core Bond ETF | $ 37,921,011 | $ — | $ 4,525,322 | $ (900,755) | $ 3,777,531 | $ 36,272,465 | 1,035,998 | $ 446,785 | $ — | |||||||||
Hartford Core Equity Fund, Class F | 97,010,528 | 3,268,733 | 3,604,813 | 133,938 | 11,672,404 | 108,480,790 | 2,315,986 | 1,179,600 | 2,089,133 | |||||||||
Hartford Large Cap Growth ETF | 37,594,330 | — | — | — | 8,107,363 | 45,701,693 | 2,632,859 | — | — | |||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | 29,607,912 | — | — | — | 2,741,031 | 32,348,943 | 1,194,349 | 651,659 | — | |||||||||
Hartford Multifactor US Equity ETF | 41,758,910 | — | — | — | 5,636,560 | 47,395,470 | 1,060,700 | 281,291 | — | |||||||||
Hartford Schroders Core Fixed Income Fund, Class F | 24,747,690 | 339,987 | 6,099,803 | (408,474) | 1,976,328 | 20,555,728 | 2,370,903 | 339,986 | — | |||||||||
Hartford Schroders Emerging Markets Equity Fund, Class F | 4,634,623 | 76,424 | — | — | 178,145 | 4,889,192 | 327,914 | 76,425 | — | |||||||||
Hartford Schroders International Multi-Cap Value Fund, Class F | 29,804,276 | 291,854 | 868,227 | (58,584) | 2,822,836 | 31,992,155 | 3,356,994 | 291,855 | — | |||||||||
Hartford Small Cap Value Fund, Class F | 13,149,820 | 1,994,167 | 469,768 | 45,349 | 1,542,397 | 16,261,965 | 1,450,666 | 268,472 | 282,164 | |||||||||
The Hartford Equity Income Fund, Class F | 40,273,998 | 2,649,994 | 950,492 | 24,036 | 886,332 | 42,883,868 | 2,217,367 | 380,016 | 2,269,978 | |||||||||
The Hartford Growth Opportunities Fund, Class F | 15,977,844 | — | 4,405,792 | 1,094,518 | 2,239,635 | 14,906,205 | 304,457 | — | — |
89 |
Affiliated Investment Companies | Beginning Value as of November 1, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2024 | Shares as of January 31, 2024 | Dividend Income | Capital Gains Distribution | |||||||||
The Hartford Growth Allocation Fund – (continued) | ||||||||||||||||||
The Hartford International Growth Fund, Class F | $ 16,928,550 | $ 174,944 | $ — | $ — | $ 2,400,350 | $ 19,503,844 | 1,248,645 | $ 174,943 | $ — | |||||||||
The Hartford International Opportunities Fund, Class F | 36,513,234 | 2,601,157 | 225,779 | 2,433 | 3,111,777 | 42,002,822 | 2,521,178 | 724,808 | — | |||||||||
The Hartford Small Company Fund, Class F | 12,278,046 | 2,309,167 | 390,126 | (41,765) | 2,356,781 | 16,512,103 | 828,505 | — | — | |||||||||
The Hartford Strategic Income Fund, Class F | 9,385,374 | 217,104 | — | — | 664,519 | 10,266,997 | 1,328,201 | 217,104 | — | |||||||||
The Hartford World Bond Fund, Class F | 21,642,682 | 6,507,795 | 3,600,851 | (79,924) | 1,124,096 | 25,593,798 | 2,536,551 | 282,525 | — | |||||||||
Total | $469,228,828 | $20,431,326 | $25,140,973 | $(189,228) | $51,238,085 | $515,568,038 | 26,731,273 | $5,315,469 | $4,641,275 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Affiliated Investment Companies | $ 515,568,038 | $ 515,568,038 | $ — | $ — | ||||
Short-Term Investments | 1,024,486 | 1,024,486 | — | — | ||||
Total | $ 516,592,524 | $ 516,592,524 | $ — | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
90 |
91 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 2,097,117 | $ — | $ 2,097,117 | $ — | ||||
Bangladesh | 600,774 | — | — | 600,774 | ||||
Brazil | 6,661,069 | 6,661,069 | — | — | ||||
Canada | 5,022,717 | 5,022,717 | — | — | ||||
China | 535,777 | — | 535,777 | — | ||||
Germany | 3,294,357 | — | 3,294,357 | — | ||||
India | 2,461,490 | — | 2,461,490 | — | ||||
Indonesia | 4,041,454 | — | 4,041,454 | — | ||||
Ireland | 1,953,340 | — | 1,953,340 | — | ||||
Japan | 4,336,569 | — | 4,336,569 | — | ||||
Netherlands | 5,078,516 | — | 5,078,516 | — | ||||
Puerto Rico | 3,694,944 | 3,694,944 | — | — | ||||
South Africa | 5,111,367 | 2,512,245 | 2,599,122 | — | ||||
South Korea | 1,605,474 | — | 1,605,474 | — | ||||
Spain | 2,083,648 | — | 2,083,648 | — | ||||
Sweden | 776,741 | — | 776,741 | — | ||||
Switzerland | 6,503,876 | — | 6,503,876 | — | ||||
Taiwan | 3,818,686 | — | 3,818,686 | — | ||||
United Kingdom | 8,757,812 | 6,261,526 | 2,496,286 | — | ||||
United States | 130,610,059 | 126,489,520 | 4,120,539 | — | ||||
Short-Term Investments | 1,622,816 | — | 1,622,816 | — | ||||
Total | $ 200,668,603 | $ 150,642,021 | $ 49,425,808 | $ 600,774 |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
92 |
93 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Biotechnology | $ 214,216,527 | $ 204,842,157 | $ 9,374,370 | $ — | ||||
Health Care Distributors | 24,663,615 | 24,663,615 | — | — | ||||
Health Care Equipment | 181,412,024 | 176,341,499 | 5,070,525 | — | ||||
Health Care Facilities | 55,912,192 | 55,912,192 | — | — | ||||
Health Care Services | 35,206,120 | 35,206,120 | — | — | ||||
Health Care Technology | 6,336,090 | 6,336,090 | — | — | ||||
Life Sciences Tools & Services | 143,508,575 | 139,254,746 | 4,253,829 | — | ||||
Managed Health Care | 149,238,596 | 149,238,596 | — | — | ||||
Pharmaceuticals | 323,479,165 | 263,564,644 | 59,914,521 | — | ||||
Rights | 7,565 | — | — | 7,565 | ||||
Short-Term Investments | 2,788,207 | 211,945 | 2,576,262 | — | ||||
Total | $ 1,136,768,676 | $ 1,055,571,604 | $ 81,189,507 | $ 7,565 |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
94 |
95 |
96 |
97 |
98 |
99 |
(8) | Senior floating rate interests generally pay interest rates which are periodically adjusted by reference to a base short-term, floating lending rate plus a premium. The base lending rates are primarily the Secured Overnight Financing Rate ("SOFR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. Base lending rates may be subject to a floor or cap. Unless otherwise noted, the interest rate disclosed for these securities represents the rate in effect as of January 31, 2024. |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts: | ||||||||
Euro-BOBL Future | 19 | 03/07/2024 | $ (2,433,813) | $ (16,455) | ||||
Total futures contracts | $ (16,455) |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
13,299,182 | USD | 12,260,000 | EUR | TDB | 02/29/2024 | $ 32,683 | ||||
2,081,120 | USD | 1,917,000 | EUR | CBK | 02/29/2024 | 6,741 | ||||
3,179,348 | USD | 2,503,000 | GBP | BCLY | 02/29/2024 | 6,520 | ||||
Total foreign currency contracts | $ 45,944 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Convertible Bonds | $ 9,074,673 | $ — | $ 9,074,673 | $ — | ||||
Corporate Bonds | 384,928,360 | — | 384,928,360 | — | ||||
Senior Floating Rate Interests | 6,409,238 | — | 6,409,238 | — | ||||
Short-Term Investments | 3,148,779 | — | 3,148,779 | — | ||||
Foreign Currency Contracts(2) | 45,944 | — | 45,944 | — | ||||
Total | $ 403,606,994 | $ — | $ 403,606,994 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(1) | $ (16,455) | $ (16,455) | $ — | $ — | ||||
Total | $ (16,455) | $ (16,455) | $ — | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
100 |
101 |
102 |
103 |
104 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 189 | 03/28/2024 | $ 20,485,828 | $ 438,029 | ||||
U.S. Treasury 10-Year Note Future | 60 | 03/19/2024 | 6,739,687 | (19,929) | ||||
Total | $ 418,100 | |||||||
Short position contracts: | ||||||||
Euro BUXL 30-Year Bond Future | 21 | 03/07/2024 | $ 3,121,884 | $ (109,831) | ||||
Euro-BTP Future | 21 | 03/07/2024 | 2,700,216 | (75,895) | ||||
Euro-BUND Future | 16 | 03/07/2024 | 2,349,010 | (36,499) | ||||
U.S. Treasury 2-Year Note Future | 58 | 03/28/2024 | 11,928,062 | (8,282) | ||||
U.S. Treasury 10-Year Ultra Future | 80 | 03/19/2024 | 9,350,000 | (138,864) | ||||
U.S. Treasury Ultra Bond Future | 91 | 03/19/2024 | 11,758,906 | (657,959) | ||||
Total | $ (1,027,330) | |||||||
Total futures contracts | $ (609,230) |
105 |
OTC Interest Rate Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||||
Counterparty | Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||
BOA(1) | 1.24% Fixed | CPURNSA | USD | 5,375,000 | 01/15/2029 | At Maturity | $ — | $ — | $ 1,003,574 | $ 1,003,574 | |||||||||
CBK | 2.84% Fixed | CPURNSA | USD | 13,170,000 | 01/15/2027 | At Maturity | — | — | 382,148 | 382,148 | |||||||||
CBK | 2.62% Fixed | CPURNSA | USD | 4,365,000 | 04/15/2028 | At Maturity | — | — | (43,152) | (43,152) | |||||||||
CBK | 2.60% Fixed | CPURNSA | USD | 18,520,000 | 01/15/2031 | At Maturity | — | — | 1,462,137 | 1,462,137 | |||||||||
CBK | 2.45% Fixed | CPURNSA | USD | 4,060,000 | 04/15/2028 | At Maturity | — | — | (6,159) | (6,159) | |||||||||
Total OTC interest rate swap contracts | $ — | $ — | $ 2,798,548 | $ 2,798,548 |
(1) | At January 31, 2024, the counterparty had deposited in a segregated account securities with a value of $1,375,000 in connection with open swap contracts. |
OTC Total Return Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||||
Reference Entity | Counter- party | Notional Amount | Payments received (paid) by the Fund | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ Depreciation | ||||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | MSC | USD | 995,000 | 5.32% | 06/20/2024 | Quarterly | $ — | $ — | $ (24,642) | $ (24,642) | |||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | JPM | USD | 560,000 | 5.32% | 06/20/2024 | Quarterly | — | — | (13,406) | (13,406) | |||||||||
Total OTC total return swap contracts | $ — | $ — | $ (38,048) | $ (38,048) |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 | ||||||||||||||||||
Reference Entity | Notional Amount | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||
Credit default swaps on single-name issues: | ||||||||||||||||||
Buy protection: | ||||||||||||||||||
Brazil Republic | USD | 1,735,000 | (1.00%) | 06/20/2027 | Quarterly | $ 65,717 | $ — | $ (7,560) | $ (73,277) | |||||||||
Brazil Republic | USD | 2,110,000 | (1.00%) | 06/20/2028 | Quarterly | 94,115 | — | 15,824 | (78,291) | |||||||||
Total | $ 159,832 | $ — | $ 8,264 | $ (151,568) | ||||||||||||||
Sell protection: | ||||||||||||||||||
Anglo American Capital PLC (BBB+) | EUR | 1,660,000 | 5.00% | 12/20/2028 | Quarterly | $ 278,879 | $ — | $ 301,572 | $ 22,693 | |||||||||
Total centrally cleared credit default swap contracts | $ 438,711 | $ — | $ 309,836 | $ (128,875) |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
3.25% Fixed | 12 Mo. USD SOFR | USD | 5,510,000 | 06/21/2053 | Annual | $ — | $ (58,769) | $ 334,913 | $ 393,682 | ||||||||
Total centrally cleared interest rate swaps contracts | $ — | $ (58,769) | $ 334,913 | $ 393,682 |
Bond Forward Contracts Outstanding at January 31, 2024 | |||||||||
Counterparty | Reference Obligation | Notional Amount | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||
MSC | U.S. Treasury Inflation-Indexed Bonds, 0.13%, 04/15/2025(1) | USD | 19,599,986 | 04/15/2025 | $3,943 | ||||
BOA | U.S. Treasury Inflation-Indexed Bonds, 0.38%, 07/15/2025(1) | USD | 10,400,142 | 07/15/2025 | 7,162 | ||||
BOA | U.S. Treasury Inflation-Indexed Bonds, 0.63%, 01/15/2026(1) | USD | 18,150,169 | 01/15/2026 | 20,361 | ||||
MSC | U.S. Treasury Inflation-Indexed Bonds, 0.75%, 07/15/2028(1) | USD | 3,446,209 | 07/15/2028 | 13,555 | ||||
Total Bond Forward Contracts | $45,021 |
(1) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
106 |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
15,943,000 | BRL | 3,242,622 | USD | GSC | 02/02/2024 | $ (25,472) | ||||
15,943,000 | BRL | 3,203,448 | USD | UBS | 03/04/2024 | 5,015 | ||||
4,814,000,000 | COP | 1,219,182 | USD | MSC | 02/29/2024 | 10,096 | ||||
1,042,400,000 | JPY | 7,077,477 | USD | BCLY | 02/29/2024 | 39,431 | ||||
36,642,000 | ZAR | 1,931,953 | USD | CBK | 02/29/2024 | 20,133 | ||||
4,770,883 | USD | 23,457,000 | BRL | GSC | 02/02/2024 | 37,477 | ||||
4,713,246 | USD | 23,457,000 | BRL | UBS | 03/04/2024 | (7,378) | ||||
3,676,556 | USD | 4,948,000 | CAD | JPM | 02/29/2024 | (5,148) | ||||
5,939,315 | USD | 5,475,224 | EUR | TDB | 02/29/2024 | 14,596 | ||||
3,663,671 | USD | 4,874,515,000 | KRW | GSC | 02/29/2024 | 5,224 | ||||
7,213,520 | USD | 124,348,000 | MXN | JPM | 02/29/2024 | 25,941 | ||||
9,300,302 | USD | 15,241,000 | NZD | UBS | 02/29/2024 | (16,292) | ||||
7,857,115 | USD | 82,026,000 | SEK | MSC | 02/29/2024 | (34,789) | ||||
Total foreign currency contracts | $ 68,834 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 15,729,160 | $ — | $ 15,729,160 | $ — | ||||
Convertible Bonds | 4,265,925 | — | 4,265,925 | — | ||||
Corporate Bonds | 895,759 | — | 895,759 | — | ||||
Foreign Government Obligations | 44,838,776 | — | 44,838,776 | — | ||||
Senior Floating Rate Interests | 9,833,115 | — | 9,833,115 | — | ||||
U.S. Government Agencies | 8,241,683 | — | 8,241,683 | — | ||||
U.S. Government Securities | 278,599,511 | — | 278,599,511 | — | ||||
Short-Term Investments | 647,443 | 83,600 | 563,843 | — | ||||
Bond Forward(2) | 45,021 | — | 45,021 | — | ||||
Foreign Currency Contracts(2) | 157,913 | — | 157,913 | — | ||||
Futures Contracts(2) | 438,029 | 438,029 | — | — | ||||
Swaps - Credit Default(2) | 22,693 | — | 22,693 | — | ||||
Swaps - Interest Rate(2) | 3,241,541 | — | 3,241,541 | — | ||||
Total | $ 366,956,569 | $ 521,629 | $ 366,434,940 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (89,079) | $ — | $ (89,079) | $ — | ||||
Futures Contracts(2) | (1,047,259) | (1,047,259) | — | — | ||||
Swaps - Credit Default(2) | (151,568) | — | (151,568) | — | ||||
Swaps - Interest Rate(2) | (49,311) | — | (49,311) | — | ||||
Swaps - Total Return(2) | (38,048) | — | (38,048) | — | ||||
Total | $ (1,375,265) | $ (1,047,259) | $ (328,006) | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
107 |
108 |
109 |
110 |
111 |
112 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
SPI 200 Future | 81 | 03/21/2024 | $ 10,153,735 | $ 95,740 | ||||
Total futures contracts | $ 95,740 |
113 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 9,587,264 | $ 360,325 | $ 9,226,939 | $ — | ||||
Austria | 5,862,433 | 128,854 | 5,733,579 | — | ||||
Belgium | 3,274,322 | 156,949 | 3,117,373 | — | ||||
Brazil | 9,547,982 | 9,547,982 | — | — | ||||
Burkina Faso | 379,496 | 379,496 | — | — | ||||
Canada | 31,652,548 | 31,652,548 | — | — | ||||
Cayman Islands | 818,327 | 818,327 | — | — | ||||
Chile | 515,990 | 341,236 | 174,754 | — | ||||
China | 37,605,196 | 7,027,562 | 30,577,634 | — | ||||
Denmark | 9,726,643 | — | 9,726,643 | — | ||||
Egypt | 416,098 | — | 416,098 | — | ||||
Finland | 5,174,602 | — | 5,174,602 | — | ||||
France | 59,763,370 | 640,621 | 59,122,749 | — | ||||
Germany | 29,168,786 | — | 29,168,786 | — | ||||
Greece | 433,058 | — | 433,058 | — | ||||
Hong Kong | 11,695,019 | 180,187 | 11,514,832 | — | ||||
Hungary | 2,065,182 | 1,813,821 | 251,361 | — | ||||
India | 25,188,614 | 627,044 | 24,561,570 | — | ||||
Indonesia | 4,582,972 | 94,660 | 4,488,312 | — | ||||
Ireland | 1,446,175 | — | 1,446,175 | — | ||||
Italy | 19,066,505 | 4,330,109 | 14,736,396 | — | ||||
Japan | 83,516,751 | — | 83,516,751 | — | ||||
Kazakhstan | 710,332 | 710,332 | — | — | ||||
Luxembourg | 576,186 | — | 576,186 | — | ||||
Malaysia | 3,065,800 | 1,475,951 | 1,589,849 | — | ||||
Mexico | 4,684,181 | 4,272,439 | 411,742 | — | ||||
Netherlands | 28,425,184 | 283,620 | 28,141,564 | — | ||||
Norway | 137,136 | — | 137,136 | — | ||||
Peru | 851,988 | 851,988 | — | — | ||||
Philippines | 831,444 | 286,844 | 544,600 | — | ||||
Poland | 601,561 | — | 601,561 | — | ||||
Portugal | 1,644,024 | — | 1,644,024 | — | ||||
Russia | — | — | — | — | ||||
Saudi Arabia | 8,409,827 | 2,199,827 | 6,210,000 | — | ||||
South Africa | 5,717,844 | 3,445,639 | 2,272,205 | — | ||||
South Korea | 21,286,205 | 988,078 | 20,298,127 | — | ||||
Spain | 8,484,816 | — | 8,484,816 | — | ||||
Sweden | 10,444,095 | — | 10,444,095 | — | ||||
Switzerland | 22,798,467 | — | 22,798,467 | — | ||||
Taiwan | 26,033,712 | 1,561,107 | 24,472,605 | — | ||||
Thailand | 2,922,536 | 1,833,881 | 1,088,655 | — | ||||
Turkey | 1,643,780 | 561,251 | 1,082,529 | — | ||||
Ukraine | 82,496 | 82,496 | — | — | ||||
United Arab Emirates | 677,291 | 677,291 | — | — | ||||
United Kingdom | 53,456,037 | 1,821,370 | 51,634,667 | — | ||||
United States | 46,454,907 | 16,193,907 | 29,560,122 | 700,878 | ||||
Convertible Preferred Stocks | 753,558 | — | — | 753,558 | ||||
Exchange-Traded Funds | 798,125 | 798,125 | — | — | ||||
Preferred Stocks | 6,831,880 | 3,985,000 | 2,846,880 | — | ||||
Rights | 479 | 479 | — | — | ||||
Short-Term Investments | 7,249,025 | 4,979,941 | 2,269,084 | — | ||||
Futures Contracts(2) | 95,740 | 95,740 | — | — | ||||
Total | $ 617,155,989 | $ 105,205,027 | $ 510,496,526 | $ 1,454,436 |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
114 |
115 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Austria | $ 7,410,217 | $ — | $ 7,410,217 | $ — | ||||
Canada | 8,692,639 | 8,692,639 | — | — | ||||
China | 20,894,332 | 4,094,740 | 16,799,592 | — | ||||
Denmark | 15,630,937 | — | 15,630,937 | — | ||||
France | 41,612,191 | — | 41,612,191 | — | ||||
Germany | 12,285,502 | — | 12,285,502 | — | ||||
India | 6,436,959 | — | 6,436,959 | — | ||||
Italy | 26,847,555 | 11,517,698 | 15,329,857 | — | ||||
Japan | 25,118,581 | — | 25,118,581 | — | ||||
Netherlands | 27,230,860 | — | 27,230,860 | — | ||||
South Korea | 11,202,105 | — | 11,202,105 | — | ||||
Spain | 4,848,456 | — | 4,848,456 | — | ||||
Sweden | 5,999,089 | — | 5,999,089 | — | ||||
Switzerland | 7,842,754 | — | 7,842,754 | — | ||||
Taiwan | 16,558,936 | — | 16,558,936 | — | ||||
United Kingdom | 20,356,739 | — | 20,356,739 | — | ||||
United States | 42,885,489 | 32,371,878 | 10,513,611 | — | ||||
Short-Term Investments | 5,195,057 | 4,411,753 | 783,304 | — | ||||
Total | $ 307,048,398 | $ 61,088,708 | $ 245,959,690 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
116 |
117 |
118 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 72,389,317 | $ — | $ 72,389,317 | $ — | ||||
Brazil | 43,564,492 | 43,564,492 | — | — | ||||
Canada | 285,129,141 | 285,129,141 | — | — | ||||
China | 155,822,562 | 19,043,871 | 136,778,691 | — | ||||
Denmark | 71,466,759 | — | 71,466,759 | — | ||||
France | 408,265,056 | — | 408,265,056 | — | ||||
Germany | 378,849,852 | — | 378,849,852 | — | ||||
Hong Kong | 23,527,387 | — | 23,527,387 | — | ||||
India | 131,304,720 | — | 131,304,720 | — | ||||
Indonesia | 29,476,160 | — | 29,476,160 | — | ||||
Italy | 63,833,099 | — | 63,833,099 | — | ||||
Japan | 461,173,570 | — | 461,173,570 | — | ||||
Jersey | 8,644,491 | 8,644,491 | — | — | ||||
Netherlands | 230,439,754 | — | 230,439,754 | — | ||||
South Africa | 39,428,312 | — | 39,428,312 | — | ||||
South Korea | 114,481,559 | — | 114,481,559 | — | ||||
Spain | 42,219,611 | 732,520 | 41,487,091 | — | ||||
Switzerland | 158,493,812 | — | 158,493,812 | — | ||||
Taiwan | 126,265,437 | — | 126,265,437 | — | ||||
Thailand | 44,029,460 | 44,029,460 | — | — | ||||
United Kingdom | 391,594,091 | — | 391,594,091 | — | ||||
United States | 189,186,109 | 69,039,350 | 120,146,759 | — | ||||
Preferred Stocks | 43,974,479 | 43,974,479 | — | — | ||||
Rights | 26,905 | 26,905 | — | — | ||||
Warrants | — | — | — | — | ||||
Short-Term Investments | 13,846,813 | 5,977,020 | 7,869,793 | — | ||||
Total | $ 3,527,432,948 | $ 520,161,729 | $ 3,007,271,219 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
119 |
120 |
121 |
122 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
MSCI EAFE Index Future | 704 | 03/15/2024 | $ 78,601,600 | $ 1,175,787 | ||||
Total futures contracts | $ 1,175,787 |
123 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 13,160,095 | $ 9,934,104 | $ 3,225,991 | $ — | ||||
Austria | 54,776,732 | 1,450,159 | 53,326,573 | — | ||||
Belgium | 45,361,831 | 3,645,422 | 41,716,409 | — | ||||
Brazil | 132,403,506 | 132,403,506 | — | — | ||||
Burkina Faso | 10,419,947 | 10,419,947 | — | — | ||||
Canada | 50,996,715 | 50,996,715 | — | — | ||||
Chile | 19,751,518 | 19,751,518 | — | — | ||||
China | 37,496,990 | — | 37,496,990 | — | ||||
Egypt | 11,743,205 | — | 11,743,205 | — | ||||
Finland | 34,867,892 | — | 34,867,892 | — | ||||
France | 487,657,095 | 17,069,794 | 470,587,301 | — | ||||
Germany | 226,199,855 | — | 226,199,855 | — | ||||
Hong Kong | 91,043,088 | 4,118,937 | 86,924,151 | — | ||||
Hungary | 6,590,767 | — | 6,590,767 | — | ||||
India | 28,231,923 | — | 28,231,923 | — | ||||
Indonesia | 15,036,382 | 1,082,063 | 13,954,319 | — | ||||
Ireland | 40,433,900 | — | 40,433,900 | — | ||||
Italy | 154,943,600 | — | 154,943,600 | — | ||||
Japan | 1,065,966,421 | — | 1,065,966,421 | — | ||||
Luxembourg | 16,151,015 | — | 16,151,015 | — | ||||
Malaysia | 20,758,592 | — | 20,758,592 | — | ||||
Mexico | 38,980,524 | 27,657,364 | 11,323,160 | — | ||||
Netherlands | 265,233,494 | 3,780,419 | 261,453,075 | — | ||||
Norway | 3,814,068 | — | 3,814,068 | — | ||||
Philippines | 6,600,544 | 6,600,544 | — | — | ||||
Poland | 16,892,413 | — | 16,892,413 | — | ||||
Russia | — | — | — | — | ||||
South Africa | 64,519,226 | 26,940,546 | 37,578,680 | — | ||||
South Korea | 181,414,751 | — | 181,414,751 | — | ||||
Spain | 30,997,490 | — | 30,997,490 | — | ||||
Sweden | 68,131,801 | — | 68,131,801 | — | ||||
Switzerland | 202,232,632 | — | 202,232,632 | — | ||||
Taiwan | 41,582,249 | — | 41,582,249 | — | ||||
Thailand | 40,225,232 | 37,775,101 | 2,450,131 | — | ||||
Turkey | 24,427,714 | 9,358,806 | 15,068,908 | — | ||||
Ukraine | 2,496,671 | 2,496,671 | — | — | ||||
United Kingdom | 470,936,897 | 49,770,310 | 421,166,587 | — | ||||
United States | 96,372,912 | — | 96,372,912 | — | ||||
Preferred Stocks | 101,345,021 | 21,324,745 | 80,020,276 | — | ||||
Short-Term Investments | 37,413,127 | 709,612 | 36,703,515 | — | ||||
Futures Contracts(2) | 1,175,787 | 1,175,787 | — | — | ||||
Total | $ 4,258,783,622 | $ 438,462,070 | $ 3,820,321,552 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
124 |
125 |
Affiliated Investment Companies | Beginning Value as of November 1, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2024 | Shares as of January 31, 2024 | Dividend Income | Capital Gains Distribution | |||||||||
The Hartford MidCap Fund | ||||||||||||||||||
Nuvei Corp.* | $ 51,473,131 | $ — | $ 16,417,058 | $ (15,708,752) | $ 54,110,934 | $ 73,458,255 | 3,024,218 | $ 311,235 | $ — |
* | Not an affiliate as of January 31, 2024. |
126 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 82,391,494 | $ 82,391,494 | $ — | $ — | ||||
Banks | 29,706,967 | 29,706,967 | — | — | ||||
Capital Goods | 791,673,147 | 791,673,147 | — | — | ||||
Commercial & Professional Services | 198,430,161 | 198,430,161 | — | — | ||||
Consumer Discretionary Distribution & Retail | 218,079,227 | 218,079,227 | — | — | ||||
Consumer Durables & Apparel | 237,814,070 | 237,814,070 | — | — | ||||
Consumer Services | 255,419,879 | 255,419,879 | — | — | ||||
Consumer Staples Distribution & Retail | 40,113,159 | 40,113,159 | — | — | ||||
Energy | 231,322,744 | 231,322,744 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 78,249,926 | 78,249,926 | — | — | ||||
Financial Services | 543,502,174 | 543,502,174 | — | — | ||||
Food, Beverage & Tobacco | 64,658,795 | 64,658,795 | — | — | ||||
Health Care Equipment & Services | 442,396,711 | 442,396,711 | — | — | ||||
Insurance | 158,205,026 | 158,205,026 | — | — | ||||
Materials | 147,584,228 | 147,584,228 | — | — | ||||
Media & Entertainment | 125,921,866 | 125,921,866 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 835,000,101 | 835,000,101 | — | — | ||||
Semiconductors & Semiconductor Equipment | 280,012,925 | 280,012,925 | — | — | ||||
Software & Services | 1,009,244,824 | 1,009,244,824 | — | — | ||||
Technology Hardware & Equipment | 109,188,453 | 109,188,453 | — | — | ||||
Transportation | 283,826,715 | 283,826,715 | — | — | ||||
Utilities | 50,767,659 | 50,767,659 | — | — | ||||
Short-Term Investments | 5,085,021 | 4,154,493 | 930,528 | — | ||||
Total | $ 6,218,595,272 | $ 6,217,664,744 | $ 930,528 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
127 |
128 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 36,675,788 | $ 36,675,788 | $ — | $ — | ||||
Banks | 69,107,568 | 69,107,568 | — | — | ||||
Capital Goods | 130,791,514 | 130,791,514 | — | — | ||||
Commercial & Professional Services | 15,045,020 | 15,045,020 | — | — | ||||
Consumer Discretionary Distribution & Retail | 6,316,528 | 6,316,528 | — | — | ||||
Consumer Durables & Apparel | 29,618,313 | 29,618,313 | — | — | ||||
Consumer Services | 30,420,703 | 30,420,703 | — | — | ||||
Consumer Staples Distribution & Retail | 26,720,160 | 26,720,160 | — | — | ||||
Energy | 60,284,561 | 60,284,561 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 72,470,457 | 72,470,457 | — | — | ||||
Financial Services | 30,214,702 | 30,214,702 | — | — | ||||
Food, Beverage & Tobacco | 14,288,691 | 14,288,691 | — | — | ||||
Health Care Equipment & Services | 80,144,005 | 80,144,005 | — | — | ||||
Insurance | 99,599,123 | 99,599,123 | — | — | ||||
Materials | 68,069,149 | 68,069,149 | — | — | ||||
Media & Entertainment | 24,004,629 | 24,004,629 | — | — | ||||
Semiconductors & Semiconductor Equipment | 50,184,093 | 50,184,093 | — | — | ||||
Technology Hardware & Equipment | 45,473,019 | 45,473,019 | — | — | ||||
Transportation | 30,269,226 | 30,269,226 | — | — | ||||
Utilities | 62,199,064 | 62,199,064 | — | — | ||||
Short-Term Investments | 1,189,221 | — | 1,189,221 | — | ||||
Total | $ 983,085,534 | $ 981,896,313 | $ 1,189,221 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
129 |
Affiliated Investment Companies | Beginning Value as of November 1, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2024 | Shares as of January 31, 2024 | Dividend Income | Capital Gains Distribution | |||||||||
Hartford Moderate Allocation Fund | ||||||||||||||||||
Hartford Core Bond ETF | $ 41,491,963 | $ 2,598,315 | $ 1,727,345 | $ (347,197) | $ 3,583,603 | $ 45,599,339 | 1,302,388 | $ 521,037 | $ — | |||||||||
Hartford Core Equity Fund, Class F | 52,830,906 | 2,174,682 | 3,502,911 | 118,561 | 6,291,886 | 57,913,124 | 1,236,403 | 644,825 | 1,143,461 | |||||||||
Hartford Large Cap Growth ETF | 15,831,588 | — | — | — | 3,414,143 | 19,245,731 | 1,108,740 | — | — | |||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | 14,974,276 | — | — | — | 1,386,283 | 16,360,559 | 604,045 | 329,578 | — | |||||||||
Hartford Multifactor US Equity ETF | 15,592,250 | — | — | — | 2,104,621 | 17,696,871 | 396,052 | 105,031 | — | |||||||||
Hartford Schroders Core Fixed Income Fund, Class F | 31,760,151 | 491,285 | 8,884,920 | (1,065,742) | 3,045,903 | 25,346,677 | 2,923,492 | 425,185 | — | |||||||||
Hartford Schroders Emerging Markets Equity Fund, Class F | 2,837,162 | 133,524 | 30,544 | 160 | 108,631 | 3,048,933 | 204,489 | 47,659 | — | |||||||||
Hartford Schroders International Multi-Cap Value Fund, Class F | 13,677,491 | 421,147 | 495,365 | (7,997) | 1,285,501 | 14,880,777 | 1,561,467 | 136,030 | — | |||||||||
Hartford Small Cap Value Fund, Class F | 5,080,348 | 1,174,858 | 36,772 | 2,032 | 600,565 | 6,821,031 | 608,477 | 106,263 | 109,012 | |||||||||
The Hartford Equity Income Fund, Class F | 14,776,838 | 981,491 | 406,379 | 7,130 | 325,852 | 15,684,932 | 811,010 | 139,451 | 842,039 | |||||||||
The Hartford Growth Opportunities Fund, Class F | 3,992,512 | 229,427 | 2,424,458 | 557,868 | 217,047 | 2,572,396 | 52,541 | — | — | |||||||||
The Hartford International Growth Fund, Class F | 8,285,506 | 146,596 | 18,405 | (1,389) | 1,177,950 | 9,590,258 | 613,973 | 86,022 | — |
130 |
Affiliated Investment Companies | Beginning Value as of November 1, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2024 | Shares as of January 31, 2024 | Dividend Income | Capital Gains Distribution | |||||||||
Hartford Moderate Allocation Fund – (continued) | ||||||||||||||||||
The Hartford International Opportunities Fund, Class F | $ 17,197,176 | $ 1,354,151 | $ 371,281 | $ 4,890 | $ 1,458,069 | $ 19,643,005 | 1,179,052 | $ 339,801 | $ — | |||||||||
The Hartford Small Company Fund, Class F | 5,444,278 | 712,088 | 265,503 | (30,963) | 1,060,313 | 6,920,213 | 347,226 | — | — | |||||||||
The Hartford Strategic Income Fund, Class F | 15,899,713 | 475,149 | 376,057 | (59,740) | 1,181,044 | 17,120,109 | 2,214,762 | 365,466 | — | |||||||||
The Hartford World Bond Fund, Class F | 26,295,445 | 6,627,270 | 2,696,525 | (96,209) | 1,348,911 | 31,478,892 | 3,119,811 | 332,803 | — | |||||||||
Total | $285,967,603 | $17,519,983 | $21,236,465 | $(918,596) | $28,590,322 | $309,922,847 | 18,283,928 | $3,579,151 | $2,094,512 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Affiliated Investment Companies | $ 309,922,847 | $ 309,922,847 | $ — | $ — | ||||
Short-Term Investments | 623,621 | 623,621 | — | — | ||||
Total | $ 310,546,468 | $ 310,546,468 | $ — | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
131 |
132 |
133 |
134 |
135 |
136 |
137 |
138 |
139 |
140 |
141 |
142 |
143 |
144 |
145 |
146 |
Exchange-Traded Option Contracts Outstanding at January 31, 2024 | ||||||||||||||||
Description | Exercise Price/ FX Rate/ Rate | Expiration Date | Number of Contracts | Notional Amount | Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||
Purchased option contracts: | ||||||||||||||||
Call | ||||||||||||||||
S&P 500 Index Option | 4,960.00 | USD | 02/16/2024 | 311 | USD | 31,100 | $ 372,578 | $ 1,114,412 | $ (741,834) | |||||||
Total purchased exchange-traded option contracts | $ 372,578 | $ 1,114,412 | $ (741,834) |
147 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 2-Year Note Future | 70 | 03/28/2024 | $ 14,395,937 | $ 134,404 | ||||
U.S. Treasury 5-Year Note Future | 246 | 03/28/2024 | 26,664,094 | 570,140 | ||||
U.S. Treasury 10-Year Note Future | 495 | 03/19/2024 | 55,602,422 | 1,525,934 | ||||
Total | $ 2,230,478 | |||||||
Short position contracts: | ||||||||
U.S. Treasury 10-Year Ultra Future | 73 | 03/19/2024 | $ 8,531,875 | $ (187,025) | ||||
U.S. Treasury Ultra Bond Future | 5 | 03/19/2024 | 646,094 | (26,383) | ||||
Total | $ (213,408) | |||||||
Total futures contracts | $ 2,017,070 |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
3,496,114 | USD | 3,010,000 | CHF | BCLY | 02/29/2024 | $ (3,573) | ||||
629,836 | USD | 4,330,000 | DKK | GSC | 02/29/2024 | 1,062 | ||||
26,605,957 | USD | 24,527,000 | EUR | TDB | 02/29/2024 | 65,384 | ||||
6,840,108 | USD | 5,385,000 | GBP | BCLY | 02/29/2024 | 14,027 | ||||
16,802,219 | USD | 2,474,700,000 | JPY | BCLY | 02/29/2024 | (93,611) | ||||
1,060,727 | USD | 1,411,690,000 | KRW | GSC | 02/29/2024 | 1,218 | ||||
3,273,089 | USD | 184,360,000 | PHP | JPM | 02/29/2024 | 813 | ||||
1,565,177 | USD | 16,340,000 | SEK | MSC | 02/29/2024 | (6,930) | ||||
Total foreign currency contracts | $ (21,610) |
148 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 125,218,922 | $ — | $ 125,218,922 | $ — | ||||
Convertible Bonds | 15,033,755 | — | 15,033,755 | — | ||||
Corporate Bonds | 123,054,263 | — | 123,054,263 | — | ||||
Foreign Government Obligations | 1,246,326 | — | 1,246,326 | — | ||||
Municipal Bonds | 5,575,152 | — | 5,575,152 | — | ||||
Senior Floating Rate Interests | 51,492,649 | — | 51,492,649 | — | ||||
U.S. Government Agencies | 17,299,572 | — | 17,299,572 | — | ||||
U.S. Government Securities | 71,201,994 | — | 71,201,994 | — | ||||
Common Stocks | ||||||||
Automobiles & Components | 4,815,341 | 150,215 | 4,665,126 | — | ||||
Banks | 10,669,662 | 1,311,002 | 9,358,660 | — | ||||
Capital Goods | 20,431,424 | 5,485,462 | 14,945,962 | — | ||||
Commercial & Professional Services | 7,386,067 | 2,502,506 | 4,883,561 | — | ||||
Consumer Discretionary Distribution & Retail | 2,076,674 | 1,428,765 | 647,909 | — | ||||
Consumer Durables & Apparel | 6,705,361 | 4,475,609 | 2,229,752 | — | ||||
Consumer Services | 2,608,353 | 1,962,865 | 645,488 | — | ||||
Consumer Staples Distribution & Retail | 1,029,242 | 567,707 | 461,535 | — | ||||
Energy | 2,699,391 | 180,407 | 2,518,984 | — | ||||
Equity Real Estate Investment Trusts (REITs) | 7,352,973 | 7,352,973 | — | — | ||||
Financial Services | 6,707,596 | 6,170,437 | 537,159 | — | ||||
Food, Beverage & Tobacco | 11,593,721 | 4,214,934 | 7,378,787 | — | ||||
Health Care Equipment & Services | 10,287,916 | 7,471,172 | 2,816,744 | — | ||||
Household & Personal Products | 4,992,522 | 2,420,154 | 2,572,368 | — | ||||
Insurance | 6,171,437 | 3,803,091 | 2,368,346 | — | ||||
Materials | 2,677,123 | 1,862,370 | 814,753 | — | ||||
Media & Entertainment | 1,711,028 | 1,234,826 | 476,202 | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 12,636,396 | 7,666,305 | 4,970,091 | — | ||||
Real Estate Management & Development | 4,726,156 | 1,743,305 | 2,982,851 | — | ||||
Semiconductors & Semiconductor Equipment | 11,863,874 | 3,995,766 | 7,868,108 | — | ||||
Software & Services | 9,976,092 | 8,314,843 | 1,661,249 | — | ||||
Technology Hardware & Equipment | 2,872,986 | 916,697 | 1,956,289 | — | ||||
Telecommunication Services | 6,290,915 | 2,446,322 | 3,844,593 | — | ||||
Transportation | 4,844,600 | 4,111,710 | 732,890 | — | ||||
Utilities | 12,056,073 | 6,530,647 | 5,525,426 | — | ||||
Equity Linked Securities | 16,524,560 | — | 16,524,560 | — | ||||
Preferred Stocks | 1,628,908 | 1,628,908 | — | — | ||||
Short-Term Investments | 4,763,467 | 3,207,186 | 1,556,281 | — | ||||
Purchased Options | 372,578 | 372,578 | — | — | ||||
Foreign Currency Contracts(2) | 82,504 | — | 82,504 | — | ||||
Futures Contracts(2) | 2,230,478 | 2,230,478 | — | — | ||||
Total | $ 610,908,051 | $ 95,759,240 | $ 515,148,811 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (104,114) | $ — | $ (104,114) | $ — | ||||
Futures Contracts(2) | (213,408) | (213,408) | — | — | ||||
Total | $ (317,522) | $ (213,408) | $ (104,114) | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
149 |
150 |
151 |
152 |
153 |
154 |
155 |
156 |
157 |
158 |
159 |
160 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Municipal Bonds | $ 1,711,862,948 | $ — | $ 1,711,862,948 | $ — | ||||
U.S. Government Agencies | 2,450,131 | — | 2,450,131 | — | ||||
Short-Term Investments | 19,097,313 | — | 19,097,313 | — | ||||
Total | $ 1,733,410,392 | $ — | $ 1,733,410,392 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
161 |
162 |
163 |
164 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Municipal Bonds | $ 38,541,701 | $ — | $ 38,541,701 | $ — | ||||
Short-Term Investments | 170,104 | — | 170,104 | — | ||||
Total | $ 38,711,805 | $ — | $ 38,711,805 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
165 |
166 |
167 |
168 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Brent Crude Oil Future | 5 | 03/28/2024 | $ 401,350 | $ 18,478 | ||||
Brent Crude Oil Future | 8 | 05/31/2024 | 636,640 | 21,292 | ||||
Copper Future | 5 | 07/29/2024 | 493,875 | 17,586 | ||||
Cotton No. 2 Future | 18 | 07/09/2024 | 784,170 | 26,964 | ||||
Gas Oil Future | 2 | 07/11/2024 | 154,600 | 4,021 | ||||
Gasoline RBOB Future | 5 | 06/28/2024 | 505,113 | 23,639 | ||||
Gold 100oz Future | 11 | 06/26/2024 | 2,295,700 | 43,197 | ||||
Live Cattle Future | 3 | 04/30/2024 | 216,840 | 8,349 | ||||
Live Cattle Future | 7 | 06/28/2024 | 500,850 | 24,035 | ||||
LME Lead Future | 2 | 05/13/2024 | 108,320 | 4,677 | ||||
LME Lead Future | 2 | 07/15/2024 | 108,582 | 4,538 | ||||
LME Nickel Future | 11 | 03/18/2024 | 1,066,032 | (239,306) | ||||
LME Nickel Future | 9 | 05/13/2024 | 881,334 | (80,929) | ||||
LME Nickel Future | 9 | 07/15/2024 | 890,622 | (8,364) | ||||
LME Zinc Future | 15 | 03/18/2024 | 944,756 | (903) | ||||
LME Zinc Future | 10 | 05/13/2024 | 632,837 | (9,726) | ||||
LME Zinc Future | 9 | 07/15/2024 | 571,354 | 4,974 | ||||
Mill Wheat Future | 13 | 05/10/2024 | 149,623 | (10,513) | ||||
Natural Gas Future | 17 | 12/27/2024 | 647,700 | (22,731) | ||||
Natural Gas Future | 3 | 09/26/2025 | 102,030 | (27,763) | ||||
Natural Gas Future | 3 | 10/29/2025 | 112,560 | (17,233) | ||||
Natural Gas Future | 3 | 11/25/2025 | 126,270 | (3,523) | ||||
NY Harbor ULSD Future | 2 | 06/28/2024 | 215,729 | 3,199 | ||||
Platinum Future | 18 | 04/26/2024 | 839,340 | (2,401) | ||||
Platinum Future | 4 | 07/29/2024 | 188,080 | 574 |
169 |
Futures Contracts Outstanding at January 31, 2024 – (continued) | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts – (continued): | ||||||||
Primary Aluminum Future | 2 | 05/13/2024 | $ 114,456 | $ (1,163) | ||||
SGX Iron ORE Future | 14 | 04/30/2024 | 179,508 | (1,272) | ||||
Soybean Future | 3 | 03/14/2024 | 183,337 | (11,374) | ||||
Soybean Future | 15 | 07/12/2024 | 931,312 | (5,516) | ||||
Soybean Meal Future | 3 | 03/14/2024 | 110,490 | (5,321) | ||||
Soybean Meal Future | 22 | 07/12/2024 | 806,520 | 4,151 | ||||
Soybean Oil Future | 9 | 03/14/2024 | 248,508 | (23,943) | ||||
Soybean Oil Future | 22 | 07/12/2024 | 617,892 | (20,698) | ||||
World Sugar No. 11 Future | 12 | 04/30/2024 | 312,480 | 38,276 | ||||
World Sugar No. 11 Future | 8 | 06/28/2024 | 204,019 | 12,985 | ||||
WTI Crude Future | 4 | 02/20/2024 | 303,400 | 8,460 | ||||
Total | $ (223,284) | |||||||
Short position contracts: | ||||||||
LME Lead Future | 2 | 05/13/2024 | $ 108,320 | $ (4,535) | ||||
LME Lead Future | 1 | 07/15/2024 | 54,291 | (81) | ||||
LME Nickel Future | 11 | 03/18/2024 | 1,066,032 | 137,722 | ||||
LME Nickel Future | 9 | 05/13/2024 | 881,334 | 8,076 | ||||
LME Nickel Future | 7 | 07/15/2024 | 692,706 | 10,516 | ||||
LME Primary Aluminum Future | 2 | 05/13/2024 | 114,455 | (1,737) | ||||
LME Zinc Future | 15 | 03/18/2024 | 944,756 | 13,216 | ||||
LME Zinc Future | 10 | 05/13/2024 | 632,837 | (3,563) | ||||
LME Zinc Future | 5 | 07/15/2024 | 317,419 | 5,300 | ||||
TTF Gas 1st Line Future | 1 | 09/29/2025 | 105,840 | 45,955 | ||||
TTF Gas 1st Line Future | 1 | 10/30/2025 | 110,570 | 41,225 | ||||
TTF Gas 1st Line Future | 1 | 11/27/2025 | 114,340 | 37,455 | ||||
Total | $ 289,549 | |||||||
Total futures contracts | $ 66,265 |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
2,760,000 | BRL | 554,651 | USD | SGG | 02/29/2024 | $ 1,039 | ||||
115,000 | BRL | 23,283 | USD | GSC | 02/29/2024 | (129) | ||||
3,065,000 | CAD | 2,277,414 | USD | JPM | 02/29/2024 | 3,189 | ||||
15,000 | CHF | 17,416 | USD | DEUT | 02/29/2024 | 24 | ||||
50,000 | GBP | 63,424 | USD | BCLY | 02/29/2024 | (44) | ||||
227,900,000 | JPY | 1,547,350 | USD | BCLY | 02/29/2024 | 8,621 | ||||
8,000 | SEK | 766 | USD | MSC | 02/29/2024 | 3 | ||||
146,981 | USD | 223,000 | AUD | BCLY | 02/29/2024 | 532 | ||||
582,904 | USD | 2,875,000 | BRL | UBS | 02/29/2024 | 4,061 | ||||
44,626 | USD | 60,000 | CAD | MSC | 02/29/2024 | (19) | ||||
373,748 | USD | 503,000 | CAD | JPM | 02/29/2024 | (523) | ||||
1,120,847 | USD | 965,000 | CHF | BCLY | 02/29/2024 | (1,146) | ||||
4,339 | USD | 4,000 | EUR | TDB | 02/29/2024 | 11 | ||||
3,651,868 | USD | 2,875,000 | GBP | BCLY | 02/29/2024 | 7,489 | ||||
31,249 | USD | 4,600,000 | JPY | JPM | 02/29/2024 | (158) | ||||
67,923 | USD | 10,004,000 | JPY | BCLY | 02/29/2024 | (378) | ||||
Total foreign currency contracts | $ 22,572 |
170 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
U.S. Government Securities | $ 32,561,133 | $ — | $ 32,561,133 | $ — | ||||
Common Stocks | ||||||||
Automobiles & Components | 17,577 | — | 17,577 | — | ||||
Banks | 1,220,305 | 95,176 | 1,125,129 | — | ||||
Capital Goods | 1,637,814 | 737,527 | 900,287 | — | ||||
Commercial & Professional Services | 169,862 | 42,235 | 127,627 | — | ||||
Consumer Discretionary Distribution & Retail | 22,715 | — | 22,715 | — | ||||
Consumer Durables & Apparel | 193,564 | — | 193,564 | — | ||||
Consumer Services | 288,644 | 158,617 | 130,027 | — | ||||
Consumer Staples Distribution & Retail | 278,519 | 172,742 | 105,777 | — | ||||
Energy | 19,339,331 | 13,416,600 | 5,922,731 | — | ||||
Equity Real Estate Investment Trusts (REITs) | 6,004,522 | 4,880,661 | 1,123,861 | — | ||||
Financial Services | 278,061 | 201,463 | 76,598 | — | ||||
Food, Beverage & Tobacco | 1,553,054 | 1,487,488 | 65,566 | — | ||||
Health Care Equipment & Services | 35,457 | 35,457 | — | — | ||||
Insurance | 377,213 | — | 377,213 | — | ||||
Materials | 19,554,903 | 9,852,957 | 9,701,946 | — | ||||
Real Estate Management & Development | 1,475,275 | 303,828 | 1,171,447 | — | ||||
Semiconductors & Semiconductor Equipment | 25 | — | 25 | — | ||||
Telecommunication Services | 1,080,976 | 146,290 | 934,686 | — | ||||
Transportation | 897,257 | 231,230 | 666,027 | — | ||||
Utilities | 3,550,961 | 2,215,319 | 1,335,642 | — | ||||
Exchange-Traded Funds | 1,751,991 | 1,751,991 | — | — | ||||
Preferred Stocks | 121,706 | 121,706 | — | — | ||||
Short-Term Investments | 13,490,734 | 12,827,369 | 663,365 | — | ||||
Foreign Currency Contracts(2) | 24,969 | — | 24,969 | — | ||||
Futures Contracts(2) | 568,860 | 568,860 | — | — | ||||
Total | $ 106,495,428 | $ 49,247,516 | $ 57,247,912 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (2,397) | $ — | $ (2,397) | $ — | ||||
Futures Contracts(2) | (502,595) | (502,595) | — | — | ||||
Total | $ (504,992) | $ (502,595) | $ (2,397) | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
171 |
172 |
173 |
174 |
175 |
176 |
177 |
178 |
179 |
180 |
181 |
182 |
183 |
184 |
185 |
186 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 2-Year Note Future | 1,553 | 03/28/2024 | $ 319,384,156 | $ 2,981,862 | ||||
Short position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 1,652 | 03/28/2024 | $ 179,061,312 | $ (2,810,230) | ||||
U.S. Treasury 10-Year Note Future | 639 | 03/19/2024 | 71,777,672 | (1,147,923) | ||||
Total | $ (3,958,153) | |||||||
Total futures contracts | $ (976,291) |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
2,879,955 | USD | 2,614,000 | EUR | DEUT | 02/02/2024 | $ 54,770 | ||||
19,938,464 | USD | 18,380,496 | EUR | TDB | 02/29/2024 | 48,999 | ||||
2,832,238 | USD | 2,614,000 | EUR | DEUT | 03/05/2024 | 3,046 | ||||
Total foreign currency contracts | $ 106,815 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 352,633,573 | $ — | $ 352,633,573 | $ — | ||||
Corporate Bonds | 916,923,051 | — | 916,923,051 | — | ||||
Municipal Bonds | 1,860,398 | — | 1,860,398 | — | ||||
Senior Floating Rate Interests | 298,858,034 | — | 298,858,034 | — | ||||
U.S. Government Agencies | 100,841,732 | — | 100,841,732 | — | ||||
U.S. Government Securities | 101,633,433 | — | 101,633,433 | — | ||||
Short-Term Investments | 6,002,654 | 2,730,419 | 3,272,235 | — | ||||
Foreign Currency Contracts(2) | 106,815 | — | 106,815 | — | ||||
Futures Contracts(2) | 2,981,862 | 2,981,862 | — | — | ||||
Total | $ 1,781,841,552 | $ 5,712,281 | $ 1,776,129,271 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (3,958,153) | $ (3,958,153) | $ — | $ — | ||||
Total | $ (3,958,153) | $ (3,958,153) | $ — | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
187 |
188 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 1,977,333 | $ 1,977,333 | $ — | $ — | ||||
Banks | 19,009,004 | 19,009,004 | — | — | ||||
Capital Goods | 9,904,080 | 9,904,080 | — | — | ||||
Commercial & Professional Services | 5,671,842 | 3,908,864 | 1,762,978 | — | ||||
Consumer Discretionary Distribution & Retail | 1,345,894 | 1,345,894 | — | — | ||||
Consumer Durables & Apparel | 9,646,365 | 9,646,365 | — | — | ||||
Consumer Services | 7,503,505 | 7,503,505 | — | — | ||||
Energy | 5,258,136 | 5,258,136 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 4,478,609 | 4,478,609 | — | — | ||||
Financial Services | 9,981,357 | 9,981,357 | — | — | ||||
Health Care Equipment & Services | 6,681,327 | 6,681,327 | — | — | ||||
Household & Personal Products | 3,472,754 | 3,472,754 | — | — | ||||
Insurance | 8,234,377 | 8,234,377 | — | — | ||||
Materials | 2,298,983 | 2,298,983 | — | — | ||||
Media & Entertainment | 1,471,521 | 1,471,521 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 3,772,762 | 3,772,762 | — | — | ||||
Semiconductors & Semiconductor Equipment | 4,152,913 | 4,152,913 | — | — | ||||
Software & Services | 5,942,447 | 5,942,447 | — | — | ||||
Utilities | 3,747,907 | 3,747,907 | — | — | ||||
Exchange-Traded Funds | 2,388,017 | 2,388,017 | — | — | ||||
Short-Term Investments | 395,279 | 161,168 | 234,111 | — | ||||
Total | $ 117,334,412 | $ 115,337,323 | $ 1,997,089 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
189 |
190 |
191 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 5,194,852 | $ 5,194,852 | $ — | $ — | ||||
Banks | 6,010,556 | 6,010,556 | — | — | ||||
Capital Goods | 98,282,496 | 98,282,496 | — | — | ||||
Commercial & Professional Services | 44,901,568 | 44,901,568 | — | — | ||||
Consumer Discretionary Distribution & Retail | 10,952,350 | 9,802,056 | — | 1,150,294 | ||||
Consumer Durables & Apparel | 19,094,925 | 19,094,925 | — | — | ||||
Consumer Services | 35,350,516 | 35,350,516 | — | — | ||||
Energy | 30,608,312 | 30,608,312 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 18,681,720 | 18,681,720 | — | — | ||||
Financial Services | 13,575,957 | 13,575,957 | — | — | ||||
Food, Beverage & Tobacco | 9,587,801 | 9,587,801 | — | — | ||||
Health Care Equipment & Services | 63,377,169 | 63,377,169 | — | — | ||||
Household & Personal Products | 16,175,385 | 16,175,385 | — | — | ||||
Insurance | 6,899,177 | 6,899,177 | — | — | ||||
Materials | 15,870,012 | 15,870,012 | — | — | ||||
Media & Entertainment | 23,219,328 | 23,219,328 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 77,975,100 | 77,975,100 | — | — | ||||
Semiconductors & Semiconductor Equipment | 18,844,094 | 18,844,094 | — | — | ||||
Software & Services | 69,250,533 | 69,250,533 | — | — | ||||
Technology Hardware & Equipment | 22,580,622 | 22,580,622 | — | — | ||||
Exchange-Traded Funds | 9,498,417 | 9,498,417 | — | — | ||||
Short-Term Investments | 4,286,995 | 2,718,414 | 1,568,581 | — | ||||
Total | $ 620,217,885 | $ 617,499,010 | $ 1,568,581 | $ 1,150,294 |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
192 |
193 |
194 |
195 |
196 |
197 |
198 |
199 |
200 |
201 |
202 |
203 |
204 |
205 |
206 |
207 |
208 |
209 |
210 |
211 |
212 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 1,167 | 03/28/2024 | $ 126,491,859 | $ 2,628,850 | ||||
U.S. Treasury 10-Year Note Future | 1,494 | 03/19/2024 | 167,818,219 | 2,347,326 | ||||
U.S. Treasury 10-Year Ultra Future | 150 | 03/19/2024 | 17,531,250 | 532,303 | ||||
Total | $ 5,508,479 | |||||||
Short position contracts: | ||||||||
Euro BUXL 30-Year Bond Future | 98 | 03/07/2024 | $ 14,568,790 | $ (519,711) | ||||
Euro-BOBL Future | 907 | 03/07/2024 | 116,182,524 | (785,508) | ||||
Euro-BTP Future | 152 | 03/07/2024 | 19,544,420 | (549,339) | ||||
Euro-BUND Future | 133 | 03/07/2024 | 19,526,145 | (303,399) | ||||
Euro-Schatz Future | 37 | 03/07/2024 | 4,246,104 | 2,205 | ||||
Long Gilt Future | 1 | 03/26/2024 | 126,692 | (5,556) | ||||
U.S. Treasury 2-Year Note Future | 2,157 | 03/28/2024 | 443,600,531 | (497,214) | ||||
U.S. Treasury Long Bond Future | 158 | 03/19/2024 | 19,330,312 | (1,108,728) | ||||
U.S. Treasury Ultra Bond Future | 421 | 03/19/2024 | 54,401,094 | (2,506,899) | ||||
Total | $ (6,274,149) | |||||||
Total futures contracts | $ (765,670) |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
Credit default swaps on indices: | |||||||||||||||||
Buy protection: | |||||||||||||||||
Mediobanca SpA | EUR | 7,380,000 | (1.00%) | 12/20/2028 | Quarterly | $ 108,039 | $ — | $ (6,452) | $ (114,491) | ||||||||
Sell protection: | |||||||||||||||||
CDX.NA.HY.S41.V1 | USD | 167,626,800 | 5.00% | 12/20/2028 | Quarterly | $ 9,584,011 | $ — | $ 10,734,807 | $ 1,150,796 | ||||||||
ITRAXX-XOVER S40.V1 | EUR | 76,995,000 | 5.00% | 12/20/2028 | Quarterly | 4,518,575 | — | 6,373,937 | 1,855,362 | ||||||||
Total | $ 14,102,586 | $ — | $ 17,108,744 | $ 3,006,158 | |||||||||||||
Total centrally cleared credit default swap contracts | $ 14,210,625 | $ — | $ 17,102,292 | $ 2,891,667 |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
2.97% Fixed | 12 Mo. USD SOFR | USD | 10,685,000 | 03/15/2053 | Annual | $ 33,458 | $ — | $ 1,267,388 | $ 1,233,930 | ||||||||
2.88% Fixed | 12 Mo. USD SOFR | USD | 8,095,000 | 03/15/2053 | Annual | 91,602 | — | 1,097,765 | 1,006,163 | ||||||||
3.25% Fixed | 12 Mo. USD SOFR | USD | 5,555,000 | 06/21/2053 | Annual | — | (59,256) | 337,764 | 397,020 | ||||||||
3.59% Fixed | 12 Mo. USD SOFR | USD | 12,095,000 | 09/20/2053 | Annual | 54,002 | — | (93,558) | (147,560) | ||||||||
Total centrally cleared interest rate swaps contracts | $ 179,062 | $ (59,256) | $ 2,609,359 | $ 2,489,553 |
213 |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
3,599,000 | EUR | 3,912,310 | USD | MSC | 02/29/2024 | $ (17,846) | ||||
505,000 | EUR | 549,295 | USD | RBS | 03/20/2024 | (2,378) | ||||
478,000 | EUR | 520,373 | USD | SCB | 03/20/2024 | (2,697) | ||||
483,000 | EUR | 525,953 | USD | BCLY | 03/20/2024 | (2,863) | ||||
444,000 | EUR | 484,792 | USD | UBS | 03/20/2024 | (3,939) | ||||
659,000 | EUR | 718,216 | USD | RBC | 03/20/2024 | (4,517) | ||||
300,000 | EUR | 329,563 | USD | TDB | 03/20/2024 | (4,662) | ||||
2,794,000 | EUR | 3,059,703 | USD | MSC | 03/20/2024 | (33,789) | ||||
1,799,000 | GBP | 2,279,518 | USD | BNP | 02/29/2024 | 913 | ||||
404,020,000 | INR | 4,832,428 | USD | UBS | 03/20/2024 | 20,373 | ||||
1,771,200,000 | KZT | 3,592,698 | USD | BOA | 03/20/2024 | 311,011 | ||||
473,000,000 | KZT | 999,472 | USD | GSC | 03/20/2024 | 43,016 | ||||
5,833,276 | USD | 8,865,000 | AUD | RBC | 03/20/2024 | 7,879 | ||||
13,447,659 | USD | 67,282,000 | BRL | DEUT | 03/20/2024 | (68,120) | ||||
1,116,980 | USD | 1,500,000 | CAD | DEUT | 02/07/2024 | 1,183 | ||||
6,307,833 | USD | 8,545,000 | CAD | RBC | 03/20/2024 | (52,021) | ||||
2,218,763 | USD | 3,000,000 | CAD | DEUT | 04/17/2024 | (14,866) | ||||
85,068,858 | USD | 78,421,679 | EUR | TDB | 02/29/2024 | 209,056 | ||||
87,838,038 | USD | 81,088,870 | EUR | JPM | 02/29/2024 | 92,079 | ||||
1,572,080 | USD | 1,445,609 | EUR | BNP | 02/29/2024 | 7,792 | ||||
98,541,373 | USD | 89,534,393 | EUR | DEUT | 03/20/2024 | 1,575,284 | ||||
2,020,597 | USD | 1,836,000 | EUR | CBK | 03/20/2024 | 32,202 | ||||
1,209,725 | USD | 1,096,000 | EUR | RBS | 03/20/2024 | 22,753 | ||||
1,541,113 | USD | 1,403,000 | EUR | BNP | 03/20/2024 | 21,659 | ||||
2,237,762 | USD | 2,062,000 | EUR | BCLY | 03/20/2024 | 4,608 | ||||
117,234 | USD | 107,000 | EUR | MSC | 03/20/2024 | 1,353 | ||||
209,268 | USD | 193,000 | EUR | GSC | 03/20/2024 | 249 | ||||
15,081,263 | USD | 11,873,000 | GBP | BCLY | 02/29/2024 | 30,926 | ||||
14,380,348 | USD | 11,269,000 | GBP | MSC | 03/20/2024 | 93,500 | ||||
13,222,815 | USD | 1,901,900,000 | JPY | MSC | 03/21/2024 | 195,622 | ||||
Total foreign currency contracts | $ 2,463,760 |
Foreign Cross Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Contract Amount | Counterparty | Delivery Date | Contract Amount | Unrealized Appreciation/ Depreciation | ||||||
EUR | 309,547 | DEUT | 02/29/2024 | GBP | 309,297 | $ 250 | ||||
EUR | 17,845,125 | JPM | 02/29/2024 | GBP | 17,850,487 | (5,362) | ||||
Total foreign cross currency contracts | $ (5,112) |
214 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 461,411,825 | $ — | $ 461,411,825 | $ — | ||||
Convertible Bonds | 78,047,380 | — | 78,047,380 | — | ||||
Corporate Bonds | 758,278,774 | — | 758,278,774 | — | ||||
Foreign Government Obligations | 144,319,596 | — | 144,319,596 | — | ||||
Municipal Bonds | 4,795,151 | — | 4,795,151 | — | ||||
Senior Floating Rate Interests | 204,453,300 | — | 204,453,300 | — | ||||
U.S. Government Agencies | 313,763,875 | — | 313,763,875 | — | ||||
U.S. Government Securities | 446,853,028 | — | 446,853,028 | — | ||||
Common Stocks | ||||||||
Energy | — | — | — | — | ||||
Health Care Equipment & Services | 168,839 | 168,839 | — | — | ||||
Media & Entertainment | 682,403 | — | 668,252 | 14,151 | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 335,002 | 335,002 | — | — | ||||
Preferred Stocks | 4,839,230 | 4,839,230 | — | — | ||||
Short-Term Investments | 20,330,444 | 11,042,089 | 9,288,355 | — | ||||
Foreign Currency Contracts(2) | 2,671,708 | — | 2,671,708 | — | ||||
Futures Contracts(2) | 5,510,684 | 5,510,684 | — | — | ||||
Swaps - Credit Default(2) | 3,006,158 | — | 3,006,158 | — | ||||
Swaps - Interest Rate(2) | 2,637,113 | — | 2,637,113 | — | ||||
Total | $ 2,452,104,510 | $ 21,895,844 | $ 2,430,194,515 | $ 14,151 | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (213,060) | $ — | $ (213,060) | $ — | ||||
Futures Contracts(2) | (6,276,354) | (6,276,354) | — | — | ||||
Swaps - Credit Default(2) | (114,491) | — | (114,491) | — | ||||
Swaps - Interest Rate(2) | (147,560) | — | (147,560) | — | ||||
Total | $ (6,751,465) | $ (6,276,354) | $ (475,111) | $ — |
(1) | For the period ended January 31, 2024, investments valued at $3,584,161 were transferred out of Level 3 due to the availability of active market prices which has been determined to be significant observable input. There were no transfers into Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
215 |
216 |
217 |
218 |
219 |
220 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Municipal Bonds | $ 85,748,293 | $ — | $ 85,748,293 | $ — | ||||
U.S. Government Agencies | 489,181 | — | 489,181 | — | ||||
Short-Term Investments | 667,594 | — | 667,594 | — | ||||
Total | $ 86,905,068 | $ — | $ 86,905,068 | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
221 |
222 |
223 |
224 |
225 |
226 |
227 |
228 |
229 |
230 |
231 |
232 |
233 |
234 |
235 |
236 |
237 |
238 |
239 |
240 |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 966 | 03/28/2024 | $ 104,705,344 | $ 2,238,902 | ||||
U.S. Treasury 10-Year Ultra Future | 455 | 03/19/2024 | 53,178,125 | 393,280 | ||||
Total | $ 2,632,182 | |||||||
Short position contracts: | ||||||||
Euro BUXL 30-Year Bond Future | 124 | 03/07/2024 | $ 18,433,979 | $ (647,678) | ||||
Euro-BTP Future | 164 | 03/07/2024 | 21,087,401 | (592,707) | ||||
Euro-BUND Future | 274 | 03/07/2024 | 40,226,796 | (625,048) | ||||
U.S. Treasury 2-Year Note Future | 3,136 | 03/28/2024 | 644,938,000 | (693,345) | ||||
U.S. Treasury 10-Year Note Future | 786 | 03/19/2024 | 88,289,906 | (418,882) | ||||
U.S. Treasury Long Bond Future | 150 | 03/19/2024 | 18,351,563 | (1,051,421) | ||||
U.S. Treasury Ultra Bond Future | 646 | 03/19/2024 | 83,475,312 | (3,212,850) | ||||
Total | $ (7,241,931) | |||||||
Total futures contracts | $ (4,609,749) |
TBA Sale Commitments Outstanding at January 31, 2024 | ||||||||
Description | Principal Amount | Maturity Date | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||
Government National Mortgage Association, 3.00% | $ 7,249,000 | 02/20/2054 | $ (6,500,819) | $ (23,091) | ||||
Government National Mortgage Association, 4.00% | 12,540,000 | 02/20/2054 | (11,923,244) | (98,415) | ||||
Government National Mortgage Association, 4.50% | 2,770,000 | 02/20/2054 | (2,700,518) | (10,697) | ||||
Government National Mortgage Association, 5.00% | 14,825,000 | 02/20/2054 | (14,746,821) | (91,531) | ||||
Uniform Mortgage-Backed Security, 2.00% | 3,280,000 | 02/15/2039 | (2,945,411) | (14,936) | ||||
Uniform Mortgage-Backed Security, 2.50% | 3,950,000 | 02/01/2054 | (3,330,481) | (46,735) | ||||
Uniform Mortgage-Backed Security, 3.00% | 21,085,000 | 02/13/2054 | (18,490,377) | (59,644) | ||||
Uniform Mortgage-Backed Security, 4.00% | 19,290,000 | 03/13/2054 | (18,180,006) | (279,488) | ||||
Uniform Mortgage-Backed Security, 4.00% | 20,630,000 | 02/13/2054 | (19,438,063) | (93,073) | ||||
Uniform Mortgage-Backed Security, 4.50% | 3,307,000 | 02/01/2039 | (3,284,523) | 3,436 | ||||
Uniform Mortgage-Backed Security, 5.00% | 129,060,000 | 02/13/2054 | (127,579,461) | (615,929) | ||||
Uniform Mortgage-Backed Security, 5.00% | 129,060,000 | 03/01/2053 | (127,584,502) | (1,215,922) | ||||
Total TBA sale commitments (proceeds receivable $354,158,201) | $ (356,704,226) | $ (2,546,025) | ||||||
At January 31, 2024, the aggregate market value of TBA Sale Commitments represents (11.2)% of total net assets. |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
Credit default swaps on indices: | |||||||||||||||||
Sell protection: | |||||||||||||||||
CDX.NA.HY.S41.V1 | USD | 21,829,500 | 5.00% | 12/20/2028 | Quarterly | $ 1,104,698 | $ — | $ 1,399,392 | $ 294,694 | ||||||||
Total centrally cleared credit default swap contracts | $ 1,104,698 | $ — | $ 1,399,392 | $ 294,694 |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
241 |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
1.56% Fixed | 12 Mo. USD SOFR | USD | 12,720,000 | 12/15/2051 | Annual | $ — | $ (73,562) | $ 4,476,562 | $ 4,550,124 | ||||||||
2.97% Fixed | 12 Mo. USD SOFR | USD | 16,045,000 | 03/15/2053 | Annual | 9,434 | — | 1,902,323 | 1,892,889 | ||||||||
2.88% Fixed | 12 Mo. USD SOFR | USD | 7,545,000 | 03/15/2053 | Annual | 85,388 | — | 1,022,788 | 937,400 | ||||||||
3.25% Fixed | 12 Mo. USD SOFR | USD | 7,880,000 | 06/21/2053 | Annual | — | (84,054) | 478,967 | 563,021 | ||||||||
3.59% Fixed | 12 Mo. USD SOFR | USD | 12,140,000 | 09/20/2053 | Annual | 54,569 | — | (93,931) | (148,500) | ||||||||
Total centrally cleared interest rate swaps contracts | $ 149,391 | $ (157,616) | $ 7,786,709 | $ 7,794,934 |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
331,000 | EUR | 360,033 | USD | RBS | 03/20/2024 | $ (1,558) | ||||
255,000 | EUR | 278,428 | USD | UBS | 03/20/2024 | (2,262) | ||||
402,000 | EUR | 437,636 | USD | SCB | 03/20/2024 | (2,268) | ||||
307,000 | EUR | 337,253 | USD | TDB | 03/20/2024 | (4,771) | ||||
7,951,000 | EUR | 8,687,747 | USD | MSC | 03/20/2024 | (76,785) | ||||
12,974,567 | USD | 64,915,000 | BRL | DEUT | 03/20/2024 | (65,724) | ||||
63,905,122 | USD | 58,064,000 | EUR | DEUT | 03/20/2024 | 1,021,588 | ||||
1,308,545 | USD | 1,189,000 | EUR | CBK | 03/20/2024 | 20,854 | ||||
Total foreign currency contracts | $ 889,074 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 675,675,832 | $ — | $ 675,675,832 | $ — | ||||
Corporate Bonds | 916,927,654 | — | 916,927,654 | — | ||||
Foreign Government Obligations | 105,248,573 | — | 105,248,573 | — | ||||
Municipal Bonds | 41,913,369 | — | 41,913,369 | — | ||||
Senior Floating Rate Interests | 3,343 | — | 3,343 | — | ||||
U.S. Government Agencies | 1,713,306,728 | — | 1,713,306,728 | — | ||||
U.S. Government Securities | 479,224,960 | — | 479,224,960 | — | ||||
Common Stocks | ||||||||
Energy | — | — | — | — | ||||
Preferred Stocks | 393,965 | 393,965 | — | — | ||||
Short-Term Investments | 10,390,620 | 520,068 | 9,870,552 | — | ||||
Foreign Currency Contracts(2) | 1,042,442 | — | 1,042,442 | — | ||||
Futures Contracts(2) | 2,632,182 | 2,632,182 | — | — | ||||
Swaps - Credit Default(2) | 294,694 | — | 294,694 | — | ||||
Swaps - Interest Rate(2) | 7,943,434 | — | 7,943,434 | — | ||||
Total | $ 3,954,997,796 | $ 3,546,215 | $ 3,951,451,581 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (153,368) | $ — | $ (153,368) | $ — | ||||
Futures Contracts(2) | (7,241,931) | (7,241,931) | — | — | ||||
Swaps - Interest Rate(2) | (148,500) | — | (148,500) | — | ||||
TBA Sale Commitments | (356,704,226) | — | (356,704,226) | — | ||||
Total | $ (364,248,025) | $ (7,241,931) | $ (357,006,094) | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
242 |
243 |
244 |
245 |
246 |
247 |
248 |
249 |
250 |
251 |
252 |
253 |
254 |
Exchange-Traded Option Contracts Outstanding at January 31, 2024 | ||||||||||||||||
Description | Exercise Price/ FX Rate/ Rate | Expiration Date | Number of Contracts | Notional Amount | Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||
Purchased option contracts: | ||||||||||||||||
Exchange-Traded Options | ||||||||||||||||
3 Mo. EURIBOR Future Option | 96.25 | EUR | 03/18/2024 | 347 | EUR | 867,500 | $ 65,626 | $ 81,472 | $ (15,846) | |||||||
3 Mo. EURIBOR Future Option | 95.75 | EUR | 03/18/2024 | 347 | EUR | 867,500 | 2,344 | 7,489 | (5,145) | |||||||
3 Mo. EURIBOR Future Option | 96.50 | EUR | 06/17/2024 | 688 | EUR | 1,720,000 | 125,469 | 146,647 | (21,178) | |||||||
3 Mo. EURIBOR Future Option | 96.00 | EUR | 06/17/2024 | 688 | EUR | 1,720,000 | 9,294 | 16,289 | (6,995) | |||||||
Total purchased exchange-traded option contracts | $ 202,733 | $ 251,897 | $ (49,164) | |||||||||||||
Written option contracts: | ||||||||||||||||
Exchange-Traded Options | ||||||||||||||||
3 Mo. EURIBOR Future Option | 96.00 | EUR | 03/18/2024 | (693) | EUR | (1,732,500) | $ (9,362) | $ (28,993) | $ 19,631 | |||||||
3 Mo. EURIBOR Future Option | 96.25 | EUR | 06/17/2024 | (1,376) | EUR | (3,440,000) | (65,058) | (79,144) | 14,086 | |||||||
Total Written Option Contracts exchange-traded option contracts | $ (74,420) | $ (108,137) | $ 33,717 |
255 |
OTC Swaptions Outstanding at January 31, 2024 | ||||||||||||||||||
Description | Counter- party | Exercise Price/ FX Rate/Rate | Pay/ Receive Floating Rate | Expiration Date | Notional Amount | Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased swaptions: | ||||||||||||||||||
Put | ||||||||||||||||||
1 Year Interest Rate Swap Option* | MSC | 6.25% | 12/02/2024 | GBP | 17,305,000 | $ 6,993 | $ 19,443 | $ (12,450) | ||||||||||
1 Year Interest Rate Swap Option* | MSC | 4.25% | 12/02/2024 | GBP | 17,305,000 | 66,292 | 122,342 | (56,050) | ||||||||||
1 Year Interest Rate Swap Option* | MSC | 6.25% | 12/05/2024 | GBP | 17,301,000 | 7,755 | 19,283 | (11,528) | ||||||||||
1 Year Interest Rate Swap Option* | MSC | 4.25% | 12/05/2024 | GBP | 17,301,000 | 65,928 | 122,018 | (56,090) | ||||||||||
1 Year Interest Rate Swap Option* | UBS | 6.25% | 12/05/2024 | GBP | 17,301,000 | 7,632 | 16,201 | (8,569) | ||||||||||
1 Year Interest Rate Swap Option* | UBS | 4.25% | 12/05/2024 | GBP | 17,301,000 | 65,448 | 109,815 | (44,367) | ||||||||||
1 Year Interest Rate Swap Option* | MSC | 6.25% | 12/05/2024 | GBP | 17,301,000 | 7,501 | 12,999 | (5,498) | ||||||||||
1 Year Interest Rate Swap Option* | MSC | 4.25% | 12/05/2024 | GBP | 17,301,000 | 64,880 | 96,130 | (31,250) | ||||||||||
ITRAXX-EUROPE.S40.V1.5Y* | GSC | 80.00% | 04/17/2024 | EUR | 345,305,000 | 273,736 | 272,489 | 1,247 | ||||||||||
$ 566,165 | $ 790,720 | $ (224,555) | ||||||||||||||||
Written swaptions: | ||||||||||||||||||
Put | ||||||||||||||||||
1 Year Interest Rate Swap Option* | MSC | 5.25% | 12/02/2024 | GBP | (34,605,000) | $ (41,741) | $ (96,767) | $ 55,026 | ||||||||||
1 Year Interest Rate Swap Option* | MSC | 5.25% | 12/05/2024 | GBP | (34,604,000) | (42,132) | (96,530) | 54,398 | ||||||||||
1 Year Interest Rate Swap Option* | UBS | 5.25% | 12/05/2024 | GBP | (34,604,000) | (41,688) | (85,248) | 43,560 | ||||||||||
1 Year Interest Rate Swap Option* | MSC | 5.25% | 12/05/2024 | GBP | (34,603,000) | (41,094) | (70,788) | 29,694 | ||||||||||
ITRAXX-EUROPE.S40.V1.5Y* | GSC | 110.00% | 04/17/2024 | EUR | (345,305,000) | (85,337) | (82,687) | (2,650) | ||||||||||
$ (251,992) | $ (432,020) | $ 180,028 |
* | Swaptions with forward premiums. |
Futures Contracts Outstanding at January 31, 2024 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Canadian Government Bond Future | 67 | 03/19/2024 | $ 6,063,364 | $ 39,155 | ||||
Euro-BOBL Future | 758 | 03/07/2024 | 97,096,310 | 665,369 | ||||
Euro-BUND Future | 700 | 03/07/2024 | 102,769,186 | 1,399,480 | ||||
Long Gilt Future | 227 | 03/26/2024 | 28,759,085 | 276,557 | ||||
U.S. Treasury 2-Year Note Future | 1,646 | 03/28/2024 | 338,510,188 | 475,738 | ||||
U.S. Treasury 5-Year Note Future | 4 | 03/28/2024 | 433,563 | 2,057 | ||||
U.S. Treasury 10-Year Note Future | 1,459 | 03/19/2024 | 163,886,734 | 813,114 | ||||
U.S. Treasury 10-Year Ultra Future | 822 | 03/19/2024 | 96,071,250 | 3,153,762 | ||||
U.S. Treasury Ultra Bond Future | 555 | 03/19/2024 | 71,716,406 | (1,067,365) | ||||
Total | $ 5,757,867 | |||||||
Short position contracts: | ||||||||
3 Mo. EURIBOR Future Option Future | 275 | 03/18/2024 | $ 71,515,674 | $ (27,004) | ||||
Australian 3-Year Bond Future | 2,334 | 03/15/2024 | 163,754,200 | (1,773,751) | ||||
Australian 10-Year Bond Future | 389 | 03/15/2024 | 29,636,160 | (523,409) | ||||
Euro BUXL 30-Year Bond Future | 38 | 03/07/2024 | 5,649,123 | (66,706) | ||||
Japanese 10-Year Bond Future | 104 | 03/13/2024 | 103,342,845 | 308,489 | ||||
Korean 10-Year Bond Future | 26 | 03/19/2024 | 2,214,963 | (182) | ||||
U.S. Treasury Long Bond Future | 46 | 03/19/2024 | 5,627,812 | (241,568) | ||||
Total | $ (2,324,131) | |||||||
Total futures contracts | $ 3,433,736 |
256 |
OTC Credit Default Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||||
Reference Entity | Counter- party | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||
Credit default swaps on indices: | |||||||||||||||||||
Sell protection: | |||||||||||||||||||
CMBX.NA.BBB-.14 | CBK | USD | 875,000 | 3.00% | 12/16/2072 | Monthly | $ — | $ (143,143) | $ (151,521) | $ (8,378) | |||||||||
Total | $ — | $ (143,143) | $ (151,521) | $ (8,378) | |||||||||||||||
Credit default swaps on single-name issues: | |||||||||||||||||||
Buy protection: | |||||||||||||||||||
Morocco Government International Bonds | GSC | USD | 3,555,000 | (1.00%) | 12/20/2028 | Quarterly | $ 45,532 | $ — | $ 4,427 | $ (41,105) | |||||||||
Total | $ 45,532 | $ — | $ 4,427 | $ (41,105) | |||||||||||||||
Total OTC credit default swap contracts | $ 45,532 | $ (143,143) | $ (147,094) | $ (49,483) |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
OTC Interest Rate Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||||
Counterparty | Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||
CBK | 3.82% Fixed | 12 Mo. EUR EURIBOR | EUR | 23,905,000 | 09/15/2024 | At Maturity | $ — | $ — | $ 1,624 | $ 1,624 | |||||||||
CBK | 3.69% Fixed | 12 Mo. EUR EURIBOR | EUR | 7,969,000 | 09/15/2024 | At Maturity | — | — | 23,245 | 23,245 | |||||||||
CBK | 2.65% Fixed | 12 Mo. USD CPI | USD | 11,830,000 | 09/15/2033 | At Maturity | — | — | (189,412) | (189,412) | |||||||||
CBK | 2.64% Fixed | 12 Mo. USD CPI | USD | 4,940,000 | 09/15/2033 | At Maturity | — | — | (72,424) | (72,424) | |||||||||
CBK | 12 Mo. USD CPI | 2.61% Fixed | USD | 4,940,000 | 09/15/2028 | At Maturity | — | — | 54,486 | 54,486 | |||||||||
CBK | 12 Mo. USD CPI | 2.62% Fixed | USD | 11,830,000 | 09/15/2028 | At Maturity | — | — | 136,037 | 136,037 | |||||||||
JPM | 2.45% Fixed | 12 Mo. EUR EURIBOR | EUR | 17,460,000 | 02/15/2033 | At Maturity | — | — | (570,760) | (570,760) | |||||||||
JPM | 12 Mo. EUR EURIBOR | 2.48% Fixed | EUR | 17,460,000 | 02/15/2028 | At Maturity | — | — | 363,557 | 363,557 | |||||||||
JPM | 2.63% Fixed | 12 Mo. USD CPI | USD | 9,690,000 | 09/15/2033 | At Maturity | — | — | (137,705) | (137,705) | |||||||||
JPM | 2.63% Fixed | 12 Mo. USD CPI | USD | 12,507,000 | 09/15/2033 | At Maturity | — | — | (179,144) | (179,144) | |||||||||
JPM | 12 Mo. USD CPI | 2.60% Fixed | USD | 9,690,000 | 09/15/2028 | At Maturity | — | — | 102,324 | 102,324 | |||||||||
JPM | 12 Mo. USD CPI | 2.61% Fixed | USD | 12,507,000 | 09/15/2028 | At Maturity | — | — | 137,946 | 137,946 | |||||||||
MSC | 2.40% Fixed | 12 Mo. EUR EURIBOR | EUR | 17,428,000 | 02/15/2033 | At Maturity | — | — | (470,366) | (470,366) | |||||||||
MSC | 2.38% Fixed | 12 Mo. EUR EURIBOR | EUR | 17,428,000 | 02/15/2033 | At Maturity | — | — | (442,333) | (442,333) | |||||||||
MSC | 2.32% Fixed | 12 Mo. EUR EURIBOR | EUR | 16,700,000 | 02/15/2033 | At Maturity | — | — | (324,773) | (324,773) | |||||||||
MSC | 12 Mo. EUR EURIBOR | 2.31% Fixed | EUR | 16,700,000 | 02/15/2028 | At Maturity | — | — | 196,398 | 196,398 | |||||||||
MSC | 12 Mo. EUR EURIBOR | 2.40% Fixed | EUR | 17,428,000 | 02/15/2028 | At Maturity | — | — | 292,258 | 292,258 | |||||||||
MSC | 12 Mo. EUR EURIBOR | 2.41% Fixed | EUR | 17,428,000 | 02/15/2028 | At Maturity | — | — | 294,139 | 294,139 | |||||||||
Total OTC interest rate swap contracts | $ — | $ — | $ (784,903) | $ (784,903) |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
Credit default swaps on indices: | |||||||||||||||||
Buy protection: | |||||||||||||||||
Bouygues SA | EUR | 9,010,000 | (1.00%) | 12/20/2028 | Quarterly | $ — | $ (224,303) | $ (309,424) | $ (85,121) | ||||||||
CDX.NA.HY.S41 | USD | 47,138,850 | (5.00%) | 12/20/2028 | Quarterly | — | (1,484,240) | (3,018,768) | (1,534,528) | ||||||||
CDX.NA.IG.S41 | USD | 56,380,000 | (1.00%) | 12/20/2028 | Quarterly | — | (717,538) | (1,167,587) | (450,049) | ||||||||
iTraxx-Asia ex-Japan.IG.S40.V1.5Y | USD | 4,165,000 | (1.00%) | 12/20/2028 | Quarterly | — | (9,913) | (4,661) | 5,252 | ||||||||
ITRAXX-FINSUBS.38.V1 | EUR | 32,380,000 | (1.00%) | 12/20/2027 | Quarterly | 1,492,941 | — | 19,933 | (1,473,008) | ||||||||
Total | $ 1,492,941 | $ (2,435,994) | $ (4,480,507) | $ (3,537,454) | |||||||||||||
Sell protection: | |||||||||||||||||
ITRAXX-FINSUBS.38.V1 | EUR | 56,630,000 | 1.00% | 12/20/2027 | Quarterly | $ — | $ (583,202) | $ 1,035,518 | $ 1,618,720 |
257 |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 – (continued) | |||||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
Credit default swaps on single-name issues: | |||||||||||||||||
Buy protection: | |||||||||||||||||
Kingdom of Saudi Arabia | USD | 6,790,000 | (1.00%) | 12/20/2028 | Quarterly | $ — | $ (114,724) | $ (130,823) | $ (16,099) | ||||||||
Sell protection: | |||||||||||||||||
Virgin Media Finance PLC (B) | EUR | 12,350,000 | 5.00% | 12/20/2025 | Quarterly | $ 645,372 | $ — | $ 1,025,405 | $ 380,033 | ||||||||
Total | $ 645,372 | $ (114,724) | $ 894,582 | $ 363,934 | |||||||||||||
Total centrally cleared credit default swap contracts | $ 2,138,313 | $ (3,133,920) | $ (2,550,407) | $ (1,554,800) |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2024 | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
1 Mo. MXN TIIE | 8.31% Fixed | MXN | 149,574,000 | 09/13/2028 | Monthly | $ — | $ — | $ (160,033) | $ (160,033) | ||||||||
1 Mo. MXN TIIE | 8.90% Fixed | MXN | 74,532,000 | 12/13/2028 | Monthly | — | — | 27,733 | 27,733 | ||||||||
1 Mo. MXN TIIE | 9.73% Fixed | MXN | 49,092,000 | 12/07/2033 | Monthly | — | — | 206,984 | 206,984 | ||||||||
1 Mo. MXN TIIE | 8.74% Fixed | MXN | 44,740,000 | 03/08/2034 | Monthly | — | — | 27,276 | 27,276 | ||||||||
1 Mo. MXN TIIE | 8.33% Fixed | MXN | 45,827,000 | 03/08/2034 | Monthly | — | — | (45,707) | (45,707) | ||||||||
1.38% Fixed | 12 Mo. CHF SARON | CHF | 6,470,000 | 12/20/2033 | Annual | — | (24,923) | (1,524) | 23,399 | ||||||||
12 Mo. EUR EURIBOR | 3.09% Fixed | EUR | 12,595,000 | 03/20/2029 | Semi-Annual | — | (21,869) | 399,811 | 421,680 | ||||||||
12 Mo. EUR EURIBOR | 2.75% Fixed | EUR | 7,660,000 | 12/20/2033 | Annual | 44,148 | — | 95,717 | 51,569 | ||||||||
12 Mo. EUR EURIBOR | 3.13% Fixed | EUR | 5,935,000 | 03/20/2034 | Semi-Annual | 1,137 | — | 327,851 | 326,714 | ||||||||
3.03% Fixed | 12 Mo. EUR EURIBOR | EUR | 8,747,000 | 03/04/2053 | Annual | 60,852 | — | (1,163,039) | (1,223,891) | ||||||||
12 Mo. JPY TONAR | 0.47% Fixed | JPY | 2,468,880,000 | 06/18/2028 | Annual | 2,967 | — | (56,619) | (59,586) | ||||||||
12 Mo. JPY TONAR | 1.09% Fixed | JPY | 776,425,000 | 06/19/2034 | Annual | — | (524) | 62,409 | 62,933 | ||||||||
3.50% Fixed | 12 Mo. SONIA | GBP | 16,529,000 | 06/17/2029 | Annual | 3,513 | — | (159,322) | (162,835) | ||||||||
3.81% Fixed | 12 Mo. SONIA | GBP | 21,641,000 | 06/19/2029 | Annual | 38 | — | (408,553) | (408,591) | ||||||||
3.72% Fixed | 12 Mo. SONIA | GBP | 5,178,000 | 06/19/2034 | Annual | 1,059 | — | (108,524) | (109,583) | ||||||||
12 Mo. SONIA | 3.69% Fixed | GBP | 12,516,000 | 06/20/2034 | Annual | 280 | — | 72,907 | 72,627 | ||||||||
12 Mo. USD SOFR | 5.44% Fixed | USD | 38,363,000 | 06/21/2024 | Annual | 39,660 | — | 52,121 | 12,461 | ||||||||
12 Mo. USD SOFR | 4.25% Fixed | USD | 18,565,000 | 06/20/2025 | Annual | — | — | 27,064 | 27,064 | ||||||||
3.63% Fixed | 12 Mo. USD SOFR | USD | 26,157,000 | 06/20/2029 | Annual | — | (28,605) | (177,115) | (148,510) | ||||||||
3.88% Fixed | 12 Mo. USD SOFR | USD | 6,689,000 | 03/20/2034 | Annual | — | (2,753) | (167,747) | (164,994) | ||||||||
12 Mo. USD SOFR | 2.69% Fixed | USD | 106,197,000 | 06/17/2039 | Annual | — | (142,677) | (1,409,320) | (1,266,643) | ||||||||
12 Mo. USD SOFR | 3.73% Fixed | USD | 8,950,000 | 12/16/2039 | Annual | — | — | (6,437) | (6,437) | ||||||||
12 Mo. USD SOFR | 3.47% Fixed | USD | 5,665,000 | 12/16/2039 | Annual | — | — | (21,080) | (21,080) | ||||||||
12 Mo. USD SOFR | 3.16% Fixed | USD | 5,965,000 | 12/16/2039 | Annual | — | — | (43,252) | (43,252) | ||||||||
12 Mo. USD SOFR | 3.16% Fixed | USD | 5,965,000 | 12/16/2039 | Annual | — | — | (43,725) | (43,725) | ||||||||
12 Mo. USD SOFR | 3.07% Fixed | USD | 5,965,000 | 12/16/2039 | Annual | — | — | (49,418) | (49,418) | ||||||||
12 Mo. USD SOFR | 3.13% Fixed | USD | 11,935,000 | 12/16/2039 | Annual | — | — | (91,167) | (91,167) | ||||||||
12 Mo. USD SOFR | 4.33% Fixed | USD | 50,944,000 | 12/15/2040 | Annual | — | — | 345,811 | 345,811 | ||||||||
12 Mo. USD SOFR | 4.31% Fixed | USD | 24,453,000 | 12/15/2040 | Annual | — | — | 159,965 | 159,965 | ||||||||
12 Mo. USD SOFR | 4.26% Fixed | USD | 13,675,000 | 12/15/2043 | Annual | — | — | 227,539 | 227,539 | ||||||||
2.31% Fixed | 12 Mo. USD SOFR | USD | 22,221,000 | 06/17/2047 | Annual | 160,743 | — | 1,398,014 | 1,237,271 | ||||||||
2.64% Fixed | 12 Mo. USD SOFR | USD | 2,520,000 | 12/16/2047 | Annual | — | — | 109,110 | 109,110 | ||||||||
2.60% Fixed | 12 Mo. USD SOFR | USD | 1,260,000 | 12/16/2047 | Annual | — | — | 57,011 | 57,011 | ||||||||
2.67% Fixed | 12 Mo. USD SOFR | USD | 1,260,000 | 12/16/2047 | Annual | — | — | 52,600 | 52,600 | ||||||||
2.69% Fixed | 12 Mo. USD SOFR | USD | 1,260,000 | 12/16/2047 | Annual | — | — | 51,102 | 51,102 | ||||||||
2.96% Fixed | 12 Mo. USD SOFR | USD | 1,260,000 | 12/16/2047 | Annual | — | — | 34,303 | 34,303 | ||||||||
3.19% Fixed | 12 Mo. USD SOFR | USD | 2,020,000 | 12/16/2047 | Annual | — | — | 30,966 | 30,966 | ||||||||
3.87% Fixed | 12 Mo. USD SOFR | USD | 5,855,000 | 12/15/2048 | Annual | — | — | (131,008) | (131,008) |
258 |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2024 – (continued) | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
3.88% Fixed | 12 Mo. USD SOFR | USD | 12,180,000 | 12/15/2048 | Annual | $ — | $ — | $ (279,360) | $ (279,360) | ||||||||
3.43% Fixed | 12 Mo. USD SOFR | USD | 9,980,000 | 12/16/2053 | Annual | — | — | (174,742) | (174,742) | ||||||||
3 Mo. AUD BBSW | 3.88% Fixed | AUD | 31,480,000 | 09/17/2028 | Annual | 8,758 | — | 124,001 | 115,243 | ||||||||
5.03% Fixed | 3 Mo. HKD HIBOR | HKD | 291,632,000 | 06/21/2024 | Annual | — | (32,182) | (6,635) | 25,547 | ||||||||
3 Mo. KRW KSDA | 3.13% Fixed | KRW | 75,151,660,000 | 03/20/2029 | Quarterly | 36,219 | — | (85,890) | (122,109) | ||||||||
3 Mo. NZD NZDBBR | 4.78% Fixed | NZD | 94,455,000 | 06/21/2028 | Annual | — | (144,437) | 956,086 | 1,100,523 | ||||||||
3 Mo. NZD NZDBBR | 4.31% Fixed | NZD | 47,290,000 | 03/20/2029 | Quarterly | 218,817 | — | 56,387 | (162,430) | ||||||||
3 Mo. NZD NZDBBR | 4.03% Fixed | NZD | 30,574,000 | 06/17/2029 | Quarterly | 2,938 | — | 15,339 | 12,401 | ||||||||
3 Mo. NZD NZDBBR | 4.56% Fixed | NZD | 22,121,000 | 06/19/2029 | Quarterly | — | (40,222) | 223,148 | 263,370 | ||||||||
3 Mo. NZD NZDBBR | 4.63% Fixed | NZD | 29,268,000 | 12/20/2033 | Quarterly | — | (41,873) | 90,482 | 132,355 | ||||||||
3 Mo. NZD NZDBBR | 4.66% Fixed | NZD | 10,807,000 | 06/19/2034 | Quarterly | — | (32,474) | 161,707 | 194,181 | ||||||||
3.22% Fixed | 3 Mo. SEK STIBOR | SEK | 214,994,000 | 12/17/2028 | Annual | 12,248 | — | (566,956) | (579,204) | ||||||||
2.47% Fixed | 3 Mo. SEK STIBOR | SEK | 262,376,000 | 06/19/2029 | Annual | 58,450 | — | (81,003) | (139,453) | ||||||||
2.59% Fixed | 3 Mo. SEK STIBOR | SEK | 63,029,000 | 06/19/2034 | Annual | 827 | — | (54,523) | (55,350) | ||||||||
6 Mo. AUD BBSW | 4.72% Fixed | AUD | 15,342,000 | 12/20/2028 | Semi-Annual | 78,910 | — | 351,290 | 272,380 | ||||||||
6 Mo. AUD BBSW | 4.69% Fixed | AUD | 12,257,000 | 12/20/2028 | Semi-Annual | 69,554 | — | 269,688 | 200,134 | ||||||||
6 Mo. AUD BBSW | 4.25% Fixed | AUD | 21,004,000 | 03/20/2029 | Semi-Annual | — | (25,947) | 195,455 | 221,402 | ||||||||
6 Mo. AUD BBSW | 4.59% Fixed | AUD | 25,042,000 | 09/20/2033 | Annual | 35,222 | — | 10,164 | (25,058) | ||||||||
6 Mo. AUD BBSW | 4.47% Fixed | AUD | 10,411,000 | 03/20/2034 | Semi-Annual | — | (38,484) | 121,880 | 160,364 | ||||||||
3.69% Fixed | 6 Mo. CAD CDOR | CAD | 24,805,000 | 03/20/2026 | Semi-Annual | 10,577 | — | 76,633 | 66,056 | ||||||||
2.94% Fixed | 6 Mo. CAD CDOR | CAD | 28,548,000 | 09/17/2028 | Semi-annual | — | (16,975) | 27,625 | 44,600 | ||||||||
4.28% Fixed | 6 Mo. CAD CDOR | CAD | 10,721,000 | 12/20/2028 | Semi-Annual | — | (194,217) | (298,640) | (104,423) | ||||||||
4.38% Fixed | 6 Mo. CAD CDOR | CAD | 13,417,000 | 12/20/2028 | Semi-Annual | — | (225,435) | (419,185) | (193,750) | ||||||||
3.88% Fixed | 6 Mo. CAD CDOR | CAD | 36,635,000 | 03/20/2029 | Semi-Annual | — | (50,210) | (648,517) | (598,307) | ||||||||
6 Mo. CAD CDOR | 3.31% Fixed | CAD | 21,946,000 | 09/20/2033 | Semi-annual | — | (8,367) | 5,671 | 14,038 | ||||||||
6 Mo. CAD CDOR | 4.13% Fixed | CAD | 4,425,000 | 12/20/2033 | Semi-Annual | — | (48,538) | 202,834 | 251,372 | ||||||||
3.78% Fixed | 6 Mo. CAD CDOR | CAD | 9,063,000 | 03/20/2034 | Semi-Annual | — | (30,815) | (241,620) | (210,805) | ||||||||
6 Mo. EUR EURIBOR | 2.44% Fixed | EUR | 17,978,000 | 06/17/2029 | Semi-Annual | — | (852) | 74,793 | 75,645 | ||||||||
6 Mo. EUR EURIBOR | 0.53% Fixed | EUR | 15,256,400 | 09/16/2031 | Annual | 67,095 | — | (1,366,898) | (1,433,993) | ||||||||
6 Mo. EUR EURIBOR | 2.72% Fixed | EUR | 56,687,000 | 03/15/2033 | Semi-Annual | 388,953 | — | 1,394,526 | 1,005,573 | ||||||||
0.63% Fixed | 6 Mo. EUR EURIBOR | EUR | 10,659,350 | 09/17/2051 | Annual | — | (290,485) | 1,661,293 | 1,951,778 | ||||||||
2.03% Fixed | 6 Mo. EUR EURIBOR | EUR | 12,361,500 | 03/16/2054 | Annual | — | (64,562) | 4,863 | 69,425 | ||||||||
0.63% Fixed | 6 Mo. EUR EURIBOR | EUR | 4,753,000 | 06/15/2072 | Annual | — | (88,350) | 2,207,202 | 2,295,552 | ||||||||
1.16% Fixed | 6 Mo. EUR EURIBOR | EUR | 887,500 | 06/15/2072 | Annual | — | (18,343) | 262,665 | 281,008 | ||||||||
6 Mo. NOK NIBOR | 4.00% Fixed | NOK | 192,995,000 | 03/20/2026 | Semi-Annual | 2,150 | — | (16,481) | (18,631) | ||||||||
3.94% Fixed | 6 Mo. NOK NIBOR | NOK | 226,558,000 | 03/18/2029 | Annual | 6,352 | — | (338,730) | (345,082) | ||||||||
6 Mo. NOK NIBOR | 4.25% Fixed | NOK | 134,519,000 | 03/20/2029 | Semi-Annual | 326,366 | — | 354,117 | 27,751 | ||||||||
6 Mo. NOK NIBOR | 3.47% Fixed | NOK | 479,492,000 | 03/20/2029 | Semi-Annual | 20,641 | — | (336,080) | (356,721) | ||||||||
4.19% Fixed | 6 Mo. NOK NIBOR | NOK | 34,890,000 | 12/20/2033 | Annual | 35,296 | — | (163,025) | (198,321) | ||||||||
3.00% Fixed | 6 Mo. SGD SORA | SGD | 24,065,000 | 06/19/2025 | Semi-Annual | — | — | (6,850) | (6,850) | ||||||||
Total centrally cleared interest rate swaps contracts | $ 1,693,770 | $ (1,614,119) | $ 3,285,418 | $ 3,205,767 |
Foreign Currency Contracts Outstanding at January 31, 2024 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
14,425,000 | AUD | 9,492,078 | USD | GSC | 02/02/2024 | $ (27,947) | ||||
10,540,000 | AUD | 6,971,606 | USD | JPM | 02/02/2024 | (56,393) | ||||
5,185,000 | AUD | 3,458,533 | USD | SSG | 02/02/2024 | (56,694) | ||||
10,335,000 | AUD | 6,881,766 | USD | BOA | 02/02/2024 | (101,052) | ||||
8,295,000 | AUD | 5,558,448 | USD | DEUT | 02/02/2024 | (116,162) | ||||
52,355,000 | AUD | 34,604,823 | USD | ANZ | 02/02/2024 | (255,110) | ||||
36,320,000 | AUD | 24,179,501 | USD | BCLY | 02/02/2024 | (350,227) | ||||
76,656,000 | AUD | 50,652,843 | USD | BNP | 02/02/2024 | (359,432) | ||||
49,350,000 | AUD | 32,905,022 | USD | MSC | 02/02/2024 | (526,866) | ||||
82,601,000 | AUD | 55,848,859 | USD | UBS | 02/02/2024 | (1,654,978) | ||||
13,145,000 | AUD | 8,666,121 | USD | GSC | 03/05/2024 | (32,232) | ||||
15,770,000 | AUD | 10,403,501 | USD | BNP | 03/05/2024 | (45,462) | ||||
230,061,000 | AUD | 151,785,045 | USD | MSC | 03/05/2024 | (676,544) |
259 |
Foreign Currency Contracts Outstanding at January 31, 2024 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
49,705,000 | BRL | 10,109,423 | USD | GSC | 02/02/2024 | $ (79,414) | ||||
22,375,000 | BRL | 4,495,838 | USD | UBS | 03/04/2024 | 7,038 | ||||
2,340,000 | CAD | 1,734,913 | USD | MSC | 02/02/2024 | 5,620 | ||||
2,320,000 | CAD | 1,721,769 | USD | TDB | 02/02/2024 | 3,887 | ||||
18,575,000 | CAD | 13,815,998 | USD | JPM | 02/02/2024 | 414 | ||||
4,630,000 | CAD | 3,452,351 | USD | BOA | 02/02/2024 | (8,476) | ||||
9,285,000 | CAD | 6,944,128 | USD | GSC | 02/02/2024 | (37,782) | ||||
6,880,000 | CAD | 5,168,289 | USD | UBS | 02/02/2024 | (50,824) | ||||
11,595,000 | CAD | 8,675,621 | USD | SSG | 02/02/2024 | (51,057) | ||||
13,840,000 | CAD | 10,374,776 | USD | BNP | 02/02/2024 | (80,341) | ||||
23,175,000 | CAD | 17,343,187 | USD | CBK | 02/02/2024 | (105,215) | ||||
35,770,000 | CAD | 26,770,340 | USD | BCLY | 02/02/2024 | (163,987) | ||||
119,488,000 | CAD | 88,865,487 | USD | CBK | 03/05/2024 | 48,978 | ||||
43,030,000 | CAD | 32,076,441 | USD | RBC | 03/05/2024 | (56,577) | ||||
5,000 | CHF | 5,907 | USD | BOA | 02/02/2024 | (112) | ||||
2,985,000 | CHF | 3,471,112 | USD | TDB | 02/02/2024 | (11,308) | ||||
3,720,000 | CHF | 4,323,558 | USD | BCLY | 02/02/2024 | (11,842) | ||||
16,355,000 | CHF | 18,985,597 | USD | UBS | 02/02/2024 | (29,118) | ||||
11,905,000 | CHF | 13,858,190 | USD | JPM | 02/02/2024 | (59,542) | ||||
10,410,000 | CHF | 12,141,954 | USD | BNP | 02/02/2024 | (76,106) | ||||
14,050,000 | CHF | 16,426,593 | USD | SSG | 02/02/2024 | (141,754) | ||||
25,875,000 | CHF | 30,374,840 | USD | CBK | 02/02/2024 | (384,081) | ||||
4,485,000 | CHF | 5,211,486 | USD | RBC | 03/05/2024 | 5,904 | ||||
2,990,000 | CHF | 3,476,690 | USD | BCLY | 03/05/2024 | 1,570 | ||||
2,990,000 | CHF | 3,491,033 | USD | BOA | 03/05/2024 | (12,773) | ||||
5,990,000 | CHF | 6,996,107 | USD | JPM | 03/05/2024 | (27,953) | ||||
11,220,000 | CHF | 13,125,371 | USD | BNP | 03/05/2024 | (73,170) | ||||
8,975,000 | CHF | 10,516,966 | USD | UBS | 03/05/2024 | (76,369) | ||||
3,388,100,000 | CLP | 3,824,041 | USD | CBK | 02/02/2024 | (180,900) | ||||
6,218,000 | CNH | 866,887 | USD | SCB | 02/02/2024 | (1,882) | ||||
6,212,000 | CNH | 867,019 | USD | BNP | 02/02/2024 | (2,849) | ||||
20,588,000 | CNH | 2,880,649 | USD | CIB | 02/02/2024 | (16,590) | ||||
26,815,000 | CNH | 3,749,282 | USD | JPM | 02/02/2024 | (18,966) | ||||
78,689,000 | CNH | 11,014,095 | USD | BOA | 02/02/2024 | (67,431) | ||||
12,446,000 | CNH | 1,735,628 | USD | BNP | 03/05/2024 | (648) | ||||
24,149,000 | CNH | 3,419,909 | USD | CIB | 04/10/2024 | (45,250) | ||||
34,888,110,000 | COP | 8,881,676 | USD | CBK | 02/02/2024 | 74,329 | ||||
17,247,810,000 | COP | 4,350,004 | USD | BNP | 03/05/2024 | 50,475 | ||||
226,181,000 | DKK | 32,966,594 | USD | CIB | 02/02/2024 | (171,811) | ||||
217,805,000 | DKK | 31,796,148 | USD | SSG | 02/02/2024 | (215,830) | ||||
12,172,000 | DKK | 1,769,034 | USD | BCLY | 03/05/2024 | (1,043) | ||||
412,000 | EUR | 452,198 | USD | JPM | 02/02/2024 | (6,912) | ||||
2,361,000 | EUR | 2,587,798 | USD | CBK | 02/02/2024 | (36,054) | ||||
2,370,000 | EUR | 2,598,326 | USD | SSG | 02/02/2024 | (36,855) | ||||
4,757,000 | EUR | 5,183,946 | USD | GSC | 02/02/2024 | (42,629) | ||||
15,852,000 | EUR | 17,195,570 | USD | BNP | 02/02/2024 | (62,892) | ||||
29,271,000 | EUR | 31,920,602 | USD | UBS | 02/02/2024 | (284,810) | ||||
106,362,000 | EUR | 115,737,065 | USD | BOA | 02/02/2024 | (782,120) | ||||
186,947,000 | EUR | 205,684,730 | USD | DEUT | 02/02/2024 | (3,634,354) | ||||
4,796,000 | EUR | 5,199,200 | USD | GSC | 03/05/2024 | (8,379) | ||||
5,133,000 | EUR | 5,575,162 | USD | UBS | 03/05/2024 | (19,598) | ||||
6,404,000 | EUR | 6,967,622 | USD | BCLY | 03/05/2024 | (36,426) | ||||
186,605,000 | EUR | 202,187,126 | USD | DEUT | 03/05/2024 | (220,249) | ||||
29,969,000 | GBP | 37,921,563 | USD | CBK | 02/02/2024 | 58,740 | ||||
4,081,000 | GBP | 5,171,000 | USD | UBS | 02/02/2024 | 931 | ||||
2,870,000 | GBP | 3,646,875 | USD | DEUT | 02/02/2024 | (9,668) | ||||
8,256,000 | GBP | 10,481,437 | USD | BCLY | 02/02/2024 | (18,446) | ||||
29,976,000 | GBP | 38,013,995 | USD | BOA | 02/02/2024 | (24,821) | ||||
17,697,000 | GBP | 22,516,030 | USD | BNP | 02/02/2024 | (88,275) | ||||
55,875,000 | GBP | 70,808,838 | USD | BCLY | 03/05/2024 | 21,547 | ||||
7,505,000 | GBP | 9,514,498 | USD | UBS | 03/05/2024 | (725) |
260 |
Foreign Currency Contracts Outstanding at January 31, 2024 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
1,368,000 | GBP | 1,741,089 | USD | GSC | 03/05/2024 | $ (6,933) | ||||
229,162,000 | HUF | 658,426 | USD | JPM | 02/02/2024 | (13,184) | ||||
229,162,000 | HUF | 633,104 | USD | JPM | 03/05/2024 | 9,767 | ||||
2,912,500,000 | IDR | 186,689 | USD | BOA1 | 02/02/2024 | (2,128) | ||||
8,415,000 | ILS | 2,253,268 | USD | BOA | 02/02/2024 | 53,760 | ||||
3,725,000 | ILS | 1,021,808 | USD | UBS | 02/02/2024 | (574) | ||||
5,145,000 | ILS | 1,411,668 | USD | BCLY | 02/02/2024 | (1,132) | ||||
2,098,236,000 | INR | 25,152,070 | USD | GSC | 02/02/2024 | 112,825 | ||||
1,629,810,000 | INR | 19,584,119 | USD | GSC | 03/05/2024 | 16,231 | ||||
381,100,000 | JPY | 2,589,118 | USD | GSC | 02/02/2024 | 1,028 | ||||
3,690,000,000 | JPY | 25,089,611 | USD | BNP | 02/02/2024 | (10,529) | ||||
759,400,000 | JPY | 5,187,853 | USD | CIBC | 02/02/2024 | (26,591) | ||||
1,029,400,000 | JPY | 7,076,891 | USD | UBS | 02/02/2024 | (80,574) | ||||
1,002,000,000 | JPY | 6,968,118 | USD | JPM | 02/02/2024 | (158,026) | ||||
3,027,300,000 | JPY | 20,801,198 | USD | BOA | 02/02/2024 | (226,156) | ||||
3,262,500,000 | JPY | 22,492,643 | USD | CBK | 02/02/2024 | (319,065) | ||||
4,908,200,000 | JPY | 33,783,014 | USD | BCLY | 02/02/2024 | (424,437) | ||||
7,314,825,000 | JPY | 51,350,036 | USD | MSC | 02/02/2024 | (1,634,834) | ||||
6,807,325,000 | JPY | 46,410,091 | USD | JPM | 03/05/2024 | 102,210 | ||||
256,200,000 | JPY | 1,747,369 | USD | GSC | 03/05/2024 | 3,164 | ||||
1,026,100,000 | JPY | 7,036,926 | USD | CBK | 03/05/2024 | (25,908) | ||||
1,140,210,000 | KRW | 853,259 | USD | JPM | 02/02/2024 | 1,205 | ||||
3,414,620,000 | KRW | 2,594,499 | USD | BCLY | 02/02/2024 | (35,611) | ||||
17,162,870,000 | KRW | 12,915,969 | USD | CBK | 02/02/2024 | (54,255) | ||||
56,302,960,000 | KRW | 42,345,366 | USD | UBS | 02/02/2024 | (152,398) | ||||
17,099,330,000 | KRW | 12,992,442 | USD | BOA1 | 02/02/2024 | (178,347) | ||||
2,314,280,000 | KRW | 1,736,535 | USD | BCLY | 03/05/2024 | 869 | ||||
10,412,850,000 | KRW | 7,837,002 | USD | UBS | 03/05/2024 | (19,742) | ||||
56,476,420,000 | KRW | 42,531,588 | USD | BOA | 03/05/2024 | (132,934) | ||||
44,000,000 | MXN | 2,557,616 | USD | UBS | 02/02/2024 | (2,038) | ||||
44,000,000 | MXN | 2,561,814 | USD | JPM | 02/02/2024 | (6,237) | ||||
70,450,000 | MXN | 4,135,458 | USD | BNP | 02/02/2024 | (43,629) | ||||
228,130,000 | MXN | 13,307,358 | USD | SSG | 02/02/2024 | (57,268) | ||||
174,634,000 | MXN | 10,203,458 | USD | DEUT | 02/02/2024 | (60,486) | ||||
140,960,000 | MXN | 8,264,056 | USD | BCLY | 02/02/2024 | (76,914) | ||||
433,190,000 | MXN | 25,410,263 | USD | GSC | 02/02/2024 | (250,021) | ||||
89,070,000 | MXN | 5,133,984 | USD | MSC | 03/05/2024 | 10,309 | ||||
95,430,000 | MXN | 5,523,752 | USD | BCLY | 03/05/2024 | (12,134) | ||||
95,430,000 | MXN | 5,528,648 | USD | GSC | 03/05/2024 | (17,030) | ||||
81,800,000 | NOK | 7,786,440 | USD | DEUT | 02/02/2024 | (8,345) | ||||
72,850,000 | NOK | 7,032,815 | USD | CBK | 02/02/2024 | (105,747) | ||||
53,650,000 | NOK | 5,222,217 | USD | GSC | 02/02/2024 | (120,814) | ||||
80,830,000 | NOK | 7,814,041 | USD | BOA | 02/02/2024 | (128,180) | ||||
268,340,000 | NOK | 25,925,246 | USD | BCLY | 02/02/2024 | (409,672) | ||||
483,551,000 | NOK | 47,665,147 | USD | UBS | 02/02/2024 | (1,685,862) | ||||
21,000 | NOK | 2,013 | USD | DEUT | 03/05/2024 | (14) | ||||
72,680,000 | NOK | 6,952,030 | USD | JPM | 03/05/2024 | (35,480) | ||||
54,440,000 | NOK | 5,228,474 | USD | CBK | 03/05/2024 | (47,724) | ||||
21,204,000 | NZD | 12,942,117 | USD | CBK | 02/02/2024 | 18,851 | ||||
5,656,000 | NZD | 3,448,774 | USD | GSC | 02/02/2024 | 8,462 | ||||
2,830,000 | NZD | 1,722,893 | USD | JPM | 02/02/2024 | 6,948 | ||||
8,490,000 | NZD | 5,192,555 | USD | BNP | 02/02/2024 | (3,034) | ||||
5,605,000 | NZD | 3,451,727 | USD | BOA | 02/02/2024 | (25,665) | ||||
2,790,000 | NZD | 1,750,569 | USD | MSC | 02/02/2024 | (45,178) | ||||
7,509,000 | NZD | 4,693,160 | USD | SSG | 02/02/2024 | (103,276) | ||||
8,905,000 | NZD | 5,562,842 | USD | UBS | 02/02/2024 | (119,652) | ||||
37,795,000 | NZD | 23,345,148 | USD | BCLY | 02/02/2024 | (242,912) | ||||
131,566,000 | NZD | 82,344,133 | USD | CBA | 02/02/2024 | (1,924,274) | ||||
7,506,000 | NZD | 4,594,595 | USD | BCLY | 03/05/2024 | (6,287) | ||||
2,835,000 | NZD | 1,747,579 | USD | GSC | 03/05/2024 | (14,585) | ||||
12,626,000 | PEN | 3,377,471 | USD | BOA1 | 02/02/2024 | (59,704) |
261 |
Foreign Currency Contracts Outstanding at January 31, 2024 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
4,886,000 | PEN | 1,278,221 | USD | BOA1 | 03/05/2024 | $ 4,951 | ||||
19,270,000 | PLN | 4,856,785 | USD | BOA | 02/02/2024 | (44,386) | ||||
57,805,000 | PLN | 14,554,300 | USD | BCLY | 02/02/2024 | (118,350) | ||||
710,725,000 | SEK | 67,769,419 | USD | DEUT | 02/02/2024 | 531,362 | ||||
72,290,000 | SEK | 6,893,382 | USD | JPM | 02/02/2024 | 53,698 | ||||
119,200,000 | SEK | 11,417,574 | USD | BNP | 02/02/2024 | 37,563 | ||||
90,840,000 | SEK | 8,712,458 | USD | CBK | 02/02/2024 | 17,280 | ||||
180,000 | SEK | 17,608 | USD | BOA | 02/02/2024 | (310) | ||||
179,310,000 | SEK | 17,245,667 | USD | BCLY | 02/02/2024 | (13,949) | ||||
71,300,000 | SEK | 6,941,973 | USD | GSC | 02/02/2024 | (90,032) | ||||
9,774,000 | SGD | 7,355,235 | USD | BNP | 02/02/2024 | (68,699) | ||||
2,084,000 | SGD | 1,558,469 | USD | JPM | 03/05/2024 | (2,483) | ||||
775,000 | TWD | 24,729 | USD | JPM | 02/02/2024 | 43 | ||||
26,915,000 | TWD | 867,890 | USD | UBS | 02/02/2024 | (7,597) | ||||
463,606,000 | TWD | 14,984,242 | USD | BOA1 | 02/02/2024 | (165,846) | ||||
70,230,000 | TWD | 2,260,380 | USD | UBS | 03/05/2024 | (7,011) | ||||
140,000 | ZAR | 7,350 | USD | SSG | 02/02/2024 | 126 | ||||
87,144,000 | ZAR | 4,735,637 | USD | MSC | 02/02/2024 | (81,918) | ||||
87,144,000 | ZAR | 4,615,458 | USD | MSC | 03/05/2024 | 25,184 | ||||
266,093,876 | USD | 392,514,000 | AUD | UBS | 02/02/2024 | 8,568,460 | ||||
13,819,681 | USD | 20,845,000 | AUD | BNP | 02/02/2024 | 143,437 | ||||
5,212,489 | USD | 7,745,000 | AUD | BCLY | 02/02/2024 | 131,054 | ||||
5,195,399 | USD | 7,820,000 | AUD | SSG | 02/02/2024 | 64,758 | ||||
14,744,735 | USD | 22,404,000 | AUD | CBK | 02/02/2024 | 45,643 | ||||
10,334,059 | USD | 15,730,000 | AUD | MSC | 02/02/2024 | 13,727 | ||||
3,465,086 | USD | 5,266,000 | AUD | GSC | 02/02/2024 | 10,104 | ||||
1,723,255 | USD | 2,620,000 | AUD | BOA | 02/02/2024 | 4,293 | ||||
242,011,844 | USD | 366,818,000 | AUD | MSC | 03/05/2024 | 1,078,708 | ||||
5,195,878 | USD | 7,875,000 | AUD | JPM | 03/05/2024 | 23,426 | ||||
3,455,778 | USD | 17,075,000 | BRL | CBK | 02/02/2024 | 10,201 | ||||
2,070,613 | USD | 10,255,000 | BRL | BCLY | 02/02/2024 | 1,249 | ||||
15,017,329 | USD | 19,991,000 | CAD | BCLY | 02/02/2024 | 147,671 | ||||
8,646,479 | USD | 11,570,000 | CAD | JPM | 02/02/2024 | 40,510 | ||||
12,096,203 | USD | 16,235,000 | CAD | SSG | 02/02/2024 | 20,325 | ||||
7,493 | USD | 10,000 | CAD | CBK | 02/02/2024 | 55 | ||||
3,463,038 | USD | 4,665,000 | CAD | BOA | 02/02/2024 | (6,871) | ||||
10,411,994 | USD | 14,010,000 | CAD | UBS | 02/02/2024 | (8,890) | ||||
8,634,377 | USD | 11,650,000 | CAD | BNP | 02/02/2024 | (31,097) | ||||
6,914,585 | USD | 9,340,000 | CAD | MSC | 02/02/2024 | (32,671) | ||||
69,047,052 | USD | 94,408,000 | CAD | JPM | 02/15/2024 | (1,186,785) | ||||
6,960,365 | USD | 9,320,000 | CAD | CBK | 03/05/2024 | 25,084 | ||||
3,479,469 | USD | 4,655,000 | CAD | BOA | 03/05/2024 | 15,549 | ||||
1,739,108 | USD | 2,330,000 | CAD | BCLY | 03/05/2024 | 5,288 | ||||
1,738,678 | USD | 2,330,000 | CAD | GSC | 03/05/2024 | 4,857 | ||||
1,558,723 | USD | 2,091,000 | CAD | RBC | 03/05/2024 | 2,749 | ||||
69,990,424 | USD | 94,501,000 | CAD | TDB | 04/11/2024 | (364,101) | ||||
61,543,472 | USD | 82,573,000 | CAD | RBC | 05/09/2024 | 49,948 | ||||
75,154,830 | USD | 63,908,000 | CHF | UBS | 02/02/2024 | 1,081,419 | ||||
15,635,065 | USD | 13,260,000 | CHF | CBK | 02/02/2024 | 265,887 | ||||
19,833,693 | USD | 16,910,000 | CHF | JPM | 02/02/2024 | 233,935 | ||||
16,490,901 | USD | 14,100,000 | CHF | SSG | 02/02/2024 | 149,595 | ||||
20,930,289 | USD | 17,955,000 | CHF | MSC | 02/02/2024 | 119,308 | ||||
6,940,464 | USD | 5,905,000 | CHF | BOA | 02/02/2024 | 96,196 | ||||
20,851,545 | USD | 17,940,000 | CHF | BCLY | 02/02/2024 | 57,950 | ||||
6,965,321 | USD | 6,015,000 | CHF | BNP | 02/02/2024 | (6,444) | ||||
1,728,452 | USD | 1,500,000 | CHF | GSC | 02/02/2024 | (10,143) | ||||
71,871,015 | USD | 61,738,000 | CHF | JPM | 03/05/2024 | 51,341 | ||||
8,047,432 | USD | 7,130,186,000 | CLP | MSC | 02/02/2024 | 380,519 | ||||
4,002,873 | USD | 3,742,086,000 | CLP | MSC | 03/05/2024 | (10,274) | ||||
8,747,591 | USD | 62,669,000 | CNH | CIB | 02/02/2024 | 29,517 | ||||
11,563,685 | USD | 82,978,000 | CNH | JPM | 02/02/2024 | 20,367 |
262 |
Foreign Currency Contracts Outstanding at January 31, 2024 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
35,836 | USD | 258,000 | CNH | BCLY | 02/02/2024 | $ (55) | ||||
865,461 | USD | 6,236,000 | CNH | CBK | 02/02/2024 | (2,048) | ||||
3,634,835 | USD | 26,065,000 | CNH | BNP | 03/05/2024 | 1,356 | ||||
3,589,702 | USD | 24,149,000 | CNH | BOA | 04/10/2024 | 215,043 | ||||
1,071,408 | USD | 4,233,672,000 | COP | BNP | 02/02/2024 | (15,403) | ||||
3,393,021 | USD | 13,406,628,000 | COP | CBK | 02/02/2024 | (48,548) | ||||
140,727 | USD | 3,151,000 | CZK | BCLY | 02/02/2024 | 3,601 | ||||
137,115 | USD | 3,151,000 | CZK | UBS | 03/05/2024 | 99 | ||||
63,921,629 | USD | 431,814,000 | DKK | DEUT | 02/02/2024 | 1,311,390 | ||||
49,861,320 | USD | 45,284,000 | EUR | DEUT | 02/02/2024 | 918,843 | ||||
44,940,012 | USD | 41,110,000 | EUR | BNP | 02/02/2024 | 508,749 | ||||
43,033,215 | USD | 39,366,000 | EUR | BCLY | 02/02/2024 | 486,851 | ||||
44,433,243 | USD | 40,713,000 | EUR | JPM | 02/02/2024 | 431,055 | ||||
41,367,049 | USD | 37,998,000 | EUR | CBK | 02/02/2024 | 299,206 | ||||
19,709,220 | USD | 18,109,000 | EUR | UBS | 02/02/2024 | 137,200 | ||||
4,862,500 | USD | 4,441,000 | EUR | BOA | 02/02/2024 | 62,713 | ||||
42,613,218 | USD | 39,283,473 | EUR | TDB | 02/29/2024 | 104,722 | ||||
1,161,606 | USD | 1,070,000 | EUR | CBK | 02/29/2024 | 3,763 | ||||
50,721,333 | USD | 46,813,000 | EUR | DEUT | 03/05/2024 | 54,548 | ||||
15,645,373 | USD | 14,418,000 | EUR | BNP | 03/05/2024 | 40,440 | ||||
24,776,759 | USD | 19,482,000 | GBP | BNP | 02/02/2024 | 86,836 | ||||
11,234,083 | USD | 8,823,000 | GBP | SSG | 02/02/2024 | 52,523 | ||||
3,481,612 | USD | 2,738,000 | GBP | BCLY | 02/02/2024 | 11,690 | ||||
3,479,775 | USD | 2,739,000 | GBP | MSC | 02/02/2024 | 8,587 | ||||
21,776,641 | USD | 17,177,000 | GBP | JPM | 02/02/2024 | 7,891 | ||||
2,624,557 | USD | 2,067,000 | GBP | UBS | 02/02/2024 | 5,007 | ||||
2,604,698 | USD | 2,052,000 | GBP | RBC | 02/02/2024 | 4,158 | ||||
1,723,515 | USD | 1,358,000 | GBP | GSC | 02/02/2024 | 2,495 | ||||
3,478,322 | USD | 2,744,000 | GBP | TDB | 02/02/2024 | 797 | ||||
13,286,449 | USD | 10,460,000 | GBP | BCLY | 02/29/2024 | 27,246 | ||||
88,692,863 | USD | 69,939,000 | GBP | SCB | 03/05/2024 | 34,138 | ||||
6,971,112 | USD | 5,479,000 | GBP | JPM | 03/05/2024 | 25,615 | ||||
1,730,946 | USD | 1,365,000 | GBP | UBS | 03/05/2024 | 593 | ||||
26,410,695 | USD | 20,841,000 | GBP | BCLY | 03/05/2024 | (8,563) | ||||
5,504,776 | USD | 42,760,000 | HKD | SCB | 04/12/2024 | 24,909 | ||||
5,479,188 | USD | 42,610,000 | HKD | SCB | 05/09/2024 | 14,826 | ||||
12,492,063 | USD | 4,347,800,000 | HUF | JPM | 02/02/2024 | 250,138 | ||||
14,476,787 | USD | 5,084,900,000 | HUF | UBS | 02/02/2024 | 159,438 | ||||
5,573,624 | USD | 2,001,600,000 | HUF | UBS | 03/05/2024 | (41,487) | ||||
26,059,630 | USD | 9,432,700,000 | HUF | JPM | 03/05/2024 | (402,030) | ||||
188,097 | USD | 2,912,500,000 | IDR | BCLY | 02/02/2024 | 3,536 | ||||
14,568,166 | USD | 52,598,000 | ILS | UBS | 02/02/2024 | 148,075 | ||||
9,690,368 | USD | 35,313,000 | ILS | BCLY | 03/05/2024 | (2,053) | ||||
2,073,683 | USD | 172,350,000 | INR | BNP | 02/02/2024 | (1,586) | ||||
2,767,713 | USD | 230,080,000 | INR | CBK | 02/02/2024 | (2,684) | ||||
791,414 | USD | 65,996,000 | INR | UBS | 02/02/2024 | (3,245) | ||||
13,589,528 | USD | 1,955,400,000 | JPY | JPM | 02/02/2024 | 299,654 | ||||
10,460,470 | USD | 1,513,400,000 | JPY | TDB | 02/02/2024 | 174,647 | ||||
33,363,587 | USD | 4,888,000,000 | JPY | BCLY | 02/02/2024 | 142,299 | ||||
6,997,615 | USD | 1,010,900,000 | JPY | BOA | 02/02/2024 | 127,034 | ||||
5,241,883 | USD | 757,400,000 | JPY | MSC | 02/02/2024 | 94,214 | ||||
2,609,908 | USD | 373,400,000 | JPY | UBS | 02/02/2024 | 72,095 | ||||
3,481,211 | USD | 502,900,000 | JPY | GSC | 02/02/2024 | 63,252 | ||||
52,069,112 | USD | 7,697,200,000 | JPY | BNP | 02/02/2024 | (244,903) | ||||
17,320,181 | USD | 2,559,800,000 | JPY | RBC | 02/05/2024 | (85,559) | ||||
69,202,416 | USD | 10,237,750,000 | JPY | WEST | 02/13/2024 | (500,576) | ||||
34,444,075 | USD | 5,129,950,000 | JPY | JPM | 02/20/2024 | (522,885) | ||||
138,242,159 | USD | 20,492,350,000 | JPY | JPM | 02/26/2024 | (1,576,037) | ||||
86,548,556 | USD | 12,736,650,000 | JPY | BCLY | 03/04/2024 | (463,546) | ||||
5,276,489 | USD | 768,500,000 | JPY | RBS | 03/05/2024 | 25,571 | ||||
2,281,937 | USD | 333,300,000 | JPY | GSC | 03/05/2024 | 4,604 |
263 |
Foreign Currency Contracts Outstanding at January 31, 2024 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
894,478 | USD | 131,200,000 | JPY | JPM | 03/05/2024 | $ (1,970) | ||||
51,567,960 | USD | 7,230,800,000 | JPY | TDB | 04/04/2024 | 1,940,917 | ||||
383,289,457 | USD | 502,214,737,000 | KRW | BOA | 02/02/2024 | 6,933,924 | ||||
10,415,120 | USD | 13,707,340,000 | KRW | CBK | 02/02/2024 | 142,954 | ||||
5,199,924 | USD | 6,812,940,000 | KRW | JPM | 02/02/2024 | 94,363 | ||||
6,908,912 | USD | 9,119,320,000 | KRW | UBS | 02/02/2024 | 74,970 | ||||
1,559,973 | USD | 2,043,880,000 | KRW | MSC | 02/02/2024 | 28,307 | ||||
2,604,352 | USD | 3,491,160,000 | KRW | BCLY | 02/02/2024 | (11,894) | ||||
375,598,370 | USD | 498,745,807,000 | KRW | BOA | 03/05/2024 | 1,173,950 | ||||
129,620,264 | USD | 2,219,395,000 | MXN | DEUT | 02/02/2024 | 714,897 | ||||
59,754,755 | USD | 1,021,771,000 | MXN | SSG | 02/02/2024 | 408,957 | ||||
10,967,153 | USD | 186,910,000 | MXN | BCLY | 02/02/2024 | 111,176 | ||||
10,432,343 | USD | 178,140,000 | MXN | JPM | 02/02/2024 | 85,739 | ||||
13,836,331 | USD | 237,200,000 | MXN | GSC | 02/02/2024 | 59,444 | ||||
5,177,045 | USD | 88,170,000 | MXN | BNP | 02/02/2024 | 56,016 | ||||
1,637,619 | USD | 28,170,000 | MXN | SCB | 02/02/2024 | 1,469 | ||||
49,681,556 | USD | 859,789,000 | MXN | TDB | 03/05/2024 | 23,912 | ||||
49,680,062 | USD | 859,788,000 | MXN | BCLY | 03/05/2024 | 22,476 | ||||
66,228,661 | USD | 1,146,385,000 | MXN | MSC | 03/05/2024 | 18,488 | ||||
11,030,908 | USD | 190,870,000 | MXN | SSG | 03/05/2024 | 7,093 | ||||
312,824,860 | USD | 3,173,530,000 | NOK | UBS | 02/02/2024 | 11,064,261 | ||||
70,858,149 | USD | 741,476,000 | NOK | GSC | 02/02/2024 | 353,619 | ||||
24,234,089 | USD | 251,350,000 | NOK | BCLY | 02/02/2024 | 334,038 | ||||
6,977,571 | USD | 71,400,000 | NOK | CBK | 02/02/2024 | 188,378 | ||||
6,068,067 | USD | 62,790,000 | NOK | DEUT | 02/02/2024 | 97,571 | ||||
4,192,514 | USD | 43,100,000 | NOK | BOA | 02/02/2024 | 94,276 | ||||
5,177,262 | USD | 54,420,000 | NOK | SGG | 02/02/2024 | 2,642 | ||||
3,454,684 | USD | 36,320,000 | NOK | RBC | 02/02/2024 | 1,133 | ||||
1,663,383 | USD | 17,520,000 | NOK | JPM | 02/02/2024 | (2,536) | ||||
326,891,370 | USD | 3,410,906,000 | NOK | DEUT | 03/05/2024 | 2,294,485 | ||||
180,072,323 | USD | 287,712,000 | NZD | CBA | 02/02/2024 | 4,208,054 | ||||
43,614,505 | USD | 69,625,000 | NZD | CBK | 02/02/2024 | 1,056,149 | ||||
53,401,319 | USD | 86,045,000 | NZD | MSC | 02/02/2024 | 806,221 | ||||
16,108,078 | USD | 25,837,000 | NZD | DEUT | 02/02/2024 | 315,184 | ||||
12,129,813 | USD | 19,460,000 | NZD | BOA | 02/02/2024 | 234,867 | ||||
14,055,079 | USD | 22,740,000 | NZD | GSC | 02/02/2024 | 155,229 | ||||
6,949,444 | USD | 11,140,000 | NZD | UBS | 02/02/2024 | 140,107 | ||||
3,478,994 | USD | 5,570,000 | NZD | SSG | 02/02/2024 | 74,326 | ||||
7,784,106 | USD | 12,640,000 | NZD | BCLY | 02/02/2024 | 57,893 | ||||
6,905,881 | USD | 11,275,000 | NZD | JPM | 02/02/2024 | 14,025 | ||||
20,174,866 | USD | 33,043,000 | NZD | WEST | 02/02/2024 | (22,703) | ||||
220,513,026 | USD | 360,243,000 | NZD | BCLY | 03/05/2024 | 301,728 | ||||
2,066,921 | USD | 7,740,000 | PEN | CBK | 02/02/2024 | 33,061 | ||||
707,387 | USD | 39,330,000 | PHP | CBK | 02/02/2024 | 8,792 | ||||
697,291 | USD | 39,330,000 | PHP | CBK | 03/05/2024 | (710) | ||||
22,279,101 | USD | 87,614,000 | PLN | BCLY | 02/02/2024 | 398,791 | ||||
2,608,967 | USD | 10,539,000 | PLN | MSC | 03/05/2024 | (21,957) | ||||
126,099,550 | USD | 1,267,551,000 | SEK | DEUT | 02/02/2024 | 4,287,707 | ||||
20,735,591 | USD | 214,340,000 | SEK | BCLY | 02/02/2024 | 137,485 | ||||
7,348,378 | USD | 75,435,000 | SEK | CBK | 02/02/2024 | 99,063 | ||||
3,442,003 | USD | 35,380,000 | SEK | UBS | 02/02/2024 | 41,979 | ||||
4,405,586 | USD | 45,505,000 | SEK | BNP | 02/02/2024 | 32,549 | ||||
1,737,397 | USD | 18,180,000 | SEK | SSG | 02/02/2024 | (9,704) | ||||
6,935,616 | USD | 72,290,000 | SEK | JPM | 02/02/2024 | (11,463) | ||||
7,007,396 | USD | 72,470,000 | SEK | JPM | 03/05/2024 | 33,561 | ||||
39,695,723 | USD | 412,676,000 | SEK | DEUT | 03/05/2024 | (16,355) | ||||
6,958,486 | USD | 72,640,000 | SEK | CBK | 03/05/2024 | (31,708) | ||||
1,913,803 | USD | 2,540,000 | SGD | JPM | 02/02/2024 | 20,228 | ||||
3,841,073 | USD | 5,150,000 | SGD | BNP | 02/02/2024 | 1,738 | ||||
3,895,396 | USD | 134,099,000 | THB | JPM | 02/02/2024 | 114,985 | ||||
4,285,328 | USD | 152,260,000 | THB | BCLY | 02/02/2024 | (7,063) |
264 |
Foreign Currency Contracts Outstanding at January 31, 2024 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
8,105,953 | USD | 286,359,000 | THB | BCLY | 03/05/2024 | $ 12,000 | ||||
6,959,088 | USD | 215,175,000 | TWD | BOA | 02/02/2024 | 81,377 | ||||
5,855,945 | USD | 183,335,000 | TWD | JPM | 02/02/2024 | (4,054) | ||||
1,732,395 | USD | 54,410,000 | TWD | GSC | 02/02/2024 | (6,731) | ||||
2,237,778 | USD | 70,490,000 | TWD | DEUT | 02/02/2024 | (15,318) | ||||
6,973,091 | USD | 216,375,000 | TWD | UBS | 03/05/2024 | 30,577 | ||||
1,035,101 | USD | 32,114,000 | TWD | JPM | 03/05/2024 | 4,705 | ||||
68,453,435 | USD | 1,259,663,000 | ZAR | MSC | 02/02/2024 | 1,184,125 | ||||
4,152,536 | USD | 78,240,000 | ZAR | GSC | 02/02/2024 | (25,686) | ||||
4,193,214 | USD | 79,110,000 | ZAR | BCLY | 02/02/2024 | (31,468) | ||||
75,042,662 | USD | 1,416,873,000 | ZAR | MSC | 03/05/2024 | (409,459) | ||||
Total foreign currency contracts | $ 33,097,130 |
1 | At January 31, 2024, the counterparty had deposited in a segregated account securities with a value of $7,541,000 in connection with Foreign Currency contracts. |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 275,603,427 | $ — | $ 275,603,427 | $ — | ||||
Convertible Bonds | 6,940,955 | — | 6,940,955 | — | ||||
Corporate Bonds | 555,032,535 | — | 555,032,535 | — | ||||
Foreign Government Obligations | 1,990,411,556 | — | 1,990,411,556 | — | ||||
Senior Floating Rate Interests | 178,276,632 | — | 178,276,632 | — | ||||
U.S. Government Agencies | 90,424,583 | — | 90,424,583 | — | ||||
U.S. Government Securities | 191,390,439 | — | 191,390,439 | — | ||||
Short-Term Investments | 142,157,101 | 1,772,246 | 140,384,855 | — | ||||
Purchased Options | 768,898 | 202,733 | 566,165 | — | ||||
Foreign Currency Contracts(2) | 60,855,807 | — | 60,855,807 | — | ||||
Futures Contracts(2) | 7,133,721 | 7,133,721 | — | — | ||||
Swaps - Credit Default(2) | 2,004,005 | — | 2,004,005 | — | ||||
Swaps - Interest Rate(2) | 13,948,830 | — | 13,948,830 | — | ||||
Total | $ 3,514,948,489 | $ 9,108,700 | $ 3,505,839,789 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (27,758,677) | $ — | $ (27,758,677) | $ — | ||||
Futures Contracts(2) | (3,699,985) | (3,699,985) | — | — | ||||
Swaps - Credit Default(2) | (3,608,288) | — | (3,608,288) | — | ||||
Swaps - Interest Rate(2) | (11,527,966) | — | (11,527,966) | — | ||||
Written Options | (326,412) | — | (326,412) | — | ||||
Total | $ (46,921,328) | $ (3,699,985) | $ (43,221,343) | $ — |
(1) | For the period ended January 31, 2024, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
265 |
266 |
Other Abbreviations: | |
ADR | American Depositary Receipt |
AGM | Assured Guaranty Municipal |
AMBAC | American Municipal Bond Assurance Co. |
ARM | Adjustable Rate Mortgage |
ASA | Allmennaksjeselskap |
BAM | Build America Mutual Assurance Corp. |
BBSW | Bank Bill Swap Reference Rate |
Bhd | Berhad |
BZDIOVRA | Brazil Cetip Interbank Deposit Rate |
CDI | Chess Depositary Interest |
CDOR | Canadian Dollar Offered Rate |
CLICP | Sinacofi Chile Interbank Offered Rate |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
COLL | Collateral |
CR | Custodial Receipts |
CVR | Contingent Value Rights |
ETF | Exchange-Traded Fund |
EURIBOR | Euro Interbank Offered Rate |
FHA | Federal Housing Authority |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GDR | Global Depositary Receipt |
GNMA | Government National Mortgage Association |
HIBOR | Hong Kong Interbank Offered Rate |
HUD | Housing and Urban Development |
JIBAR | Johannesburg Interbank Agreed Rate |
JSC | Joint Stock Company |
KGaA | Kommanditgesellschaft Auf Aktien |
KSDA | Korea Securities Dealers Association |
LIBOR | London Interbank Offered Rate |
LME | London Metal Exchange |
MSCI | Morgan Stanley Capital International |
NATL | National Public Finance Guarantee Corp. |
NIBOR | Norwegian Interbank Offered Rate |
NVDR | Non-Voting Depositary Receipt |
Nyrt | New York REIT Inc |
NZDBBR | New Zealand Bank Bill Rate |
OJSC | Open Joint Stock Company |
PJSC | Private Joint Stock Company |
PRIBOR | Prague Interbank Offered Rate |
PSF-GTD | Permanent School Fund Guaranteed |
PT | Perseroan Terbatas |
Q-SBLF | Qualified School Bond Loan Fund |
RBOB | Reformulated Blendstock for Oxygenate Blending |
REIT | Real Estate Investment Trust |
SARON | Swiss Average Rate Overnight |
SD CRED PROG | School District Credit Enhancement Program |
SIFMA | Securities Industry and Financial Markets Association |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
SPDR | Standard & Poor's Depositary Receipt |
ST APPROP | State Appropriation |
ST GTD | State Guaranteed |
ST INTERCEPT | State Intercept Program |
STIBOR | Stockholm Interbank Offered Rate |
TBA | To Be Announced |
Tbk | Terbuka |
TCRS | Tennessee Consolidated Retirement System |
TIIE | Interbank Equilibrium Interest Rate |
TONAR | Tokyo Overnight Average Rate |
TTF | Title Transfer Facility |
ULSD | Ultra-Low Sulfur Diesel |
WIBOR | Warsaw Interbank Offered Rate |
WTI | West Texas Intermediate |
267 |