Security | Shares/ Investment Value | Value | |
Investment Companies(a) | |||
Equity Funds — 52.1% | |||
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC | $ 848,101,659 | $ 848,101,659 | |
Fixed-Income Funds — 29.6% | |||
iShares Core U.S. Aggregate Bond ETF | 473,739 | 55,991,213 | |
Master Total Return Portfolio of Master Bond LLC | $ 426,367,663 | 426,367,663 | |
482,358,876 | |||
Total Long-Term Investments — 81.7% (Cost: $1,118,876,255) | 1,330,460,535 |
Shares | |||
Short-Term Securities(a)(b) | |||
Money Market Funds — 17.5% | |||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.00% | 284,943,127 | 284,943,127 | |
Total Short-Term Securities — 17.5% (Cost: $284,943,127) | 284,943,127 | ||
Total Investments — 99.2% (Cost: $1,403,819,382) | 1,615,403,662 | ||
Other Assets Less Liabilities — 0.8% | 12,580,936 | ||
Net Assets — 100.0% | $ 1,627,984,598 |
(a) | Affiliate of the Fund. |
(b) | Annualized 7-day yield as of period end. |
Affiliated Issuer | Value at 09/30/20 | Purchases at Cost | Proceeds from Sale | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 12/31/20 | Shares/ Investment Value Held at 12/31/20 | Income (Expense) | Capital Gain Distributions from Underlying Funds | |||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ 242,046,920 | $ 42,896,207(a) | $ — | $ — | $ — | $ 284,943,127 | 284,943,127 | $ 21,116 | $ — | |||
iShares Core U.S. Aggregate Bond ETF | 55,929,627 | — | — | — | 61,586 | 55,991,213 | 473,739 | 343,447 | — | |||
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC | 755,769,919 | 2,300,543(a)(b) | — | 24,073,718 | 65,957,479 | 848,101,659 | $848,101,659 | 2,300,552 | — | |||
Master Total Return Portfolio of Master Bond LLC | 417,698,909 | 2,607,877(a)(b) | — | 2,053,836 | 4,007,041 | 426,367,663 | $426,367,663 | 2,687,132 | — | |||
$ 26,127,554 | $ 70,026,106 | $ 1,615,403,662 | $ 5,352,247 | $ — |
(a) | Represents net shares/investment value purchased (sold). |
(b) | Inclusive of income, expense, realized and unrealized gains and losses allocated from the Master Portfolio. |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | ||||
S&P 500 E-Mini Index | 970 | 03/19/21 | $ 181,817 | $ 4,259,963 |
U.S. Treasury Notes (10 Year) | 509 | 03/22/21 | 70,282 | (1,077) |
U.S. Ultra Treasury Bonds | 132 | 03/22/21 | 28,190 | (402,041) |
3,856,845 |
Level 1 | Level 2 | Level 3 | Total | ||||
Assets | |||||||
Investments | |||||||
Long-Term Investments | |||||||
Investment Companies | $ 55,991,213 | $ — | $ — | $ 55,991,213 | |||
Short-Term Securities | |||||||
Money Market Funds | 284,943,127 | — | — | 284,943,127 | |||
$ 340,934,340 | $ — | $ — | 340,934,340 | ||||
Investments Valued at NAV(a) | 1,274,469,322 | ||||||
$ 1,615,403,662 | |||||||
Derivative Financial Instruments(b) | |||||||
Assets | |||||||
Equity Contracts | $ 4,259,963 | $ — | $ — | $ 4,259,963 | |||
Liabilities | |||||||
Interest Rate Contracts | (403,118) | — | — | (403,118) | |||
$ 3,856,845 | $ — | $ — | $ 3,856,845 |
(a) | Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(b) | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Affiliated Issuer | Value at 09/30/20 | Purchases at Cost | Proceeds from Sale | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 12/31/20 | Shares Held at 12/31/20 | Income | Capital Gain Distributions from Underlying Funds | |||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ 109,976,399 | $ 8,605,635(a) | $ — | $ — | $ — | $ 118,582,034 | 118,582,034 | $ 8,647 | $ — | |||
SL Liquidity Series, LLC, Money Market Series | 22,241,319 | 39,136,113(a) | — | (824) | 44 | 61,376,652 | 61,358,245 | 132,951(b) | — | |||
$ (824) | $ 44 | $ 179,958,686 | $ 141,598 | $ — |
(a) | Represents net amount purchased (sold). |
(b) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | ||||
S&P 500 E-Mini Index | 697 | 03/19/21 | $ 130,646 | $ 3,364,607 |
Level 1 | Level 2 | Level 3 | Total | ||||
Assets | |||||||
Investments | |||||||
Long-Term Investments | |||||||
Common Stocks | $ 3,907,915,137 | $ — | $ — | $ 3,907,915,137 | |||
Rights | 60,085 | — | — | 60,085 | |||
Short-Term Securities | |||||||
Money Market Funds | 118,582,034 | — | — | 118,582,034 | |||
$ 4,026,557,256 | $ — | $ — | 4,026,557,256 | ||||
Investments Valued at NAV(a) | 61,376,652 | ||||||
$ 4,087,933,908 | |||||||
Derivative Financial Instruments(b) | |||||||
Assets | |||||||
Equity Contracts | $ 3,364,607 | $ — | $ — | $ 3,364,607 |
(a) | Certain investments of the Master Portfolio were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(b) | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Affiliated Issuer | Value at 09/30/20 | Purchases at Cost | Proceeds from Sale | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 12/31/20 | Par/Shares Held at 12/31/20 | Income | Capital Gain Distributions from Underlying Funds | |||
BlackRock Capital Finance LP, Series 1997-R2, Class AP | $ 3,188 | $ — | $ — | $ — | $ 19 | $ 3,207 | 3,373 | $ — | $ — | |||
BlackRock Liquidity Funds, T-Fund, Institutional Class | 178,500,805 | 634,894,457(a) | — | — | — | 813,395,262 | 813,395,262 | 19,188 | — | |||
iShares 0-5 Year High Yield Corporate Bond ETF(b) | — | 84,256 | (86,052) | 1,796 | — | — | — | 1,080 | — | |||
iShares iBoxx High Yield Corporate Bond ETF | 127,840,947 | 98,729,420 | (81,540,381) | 1,726,840 | 7,169,399 | 153,926,225 | 1,763,187 | 3,072,719 | — | |||
SL Liquidity Series, LLC, Money Market Series | 56,783,936 | 28,922,475(a) | — | (22,398) | 55 | 85,684,068 | 85,658,371 | 27,301(c) | — | |||
$ 1,706,238 | $ 7,169,473 | $ 1,053,008,762 | $ 3,120,288 | $ — |
(a) | Represents net shares purchased (sold). |
(b) | As of period end, the entity is no longer held by the Master Portfolio. |
(c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | ||||
Euro-Bobl | 708 | 03/08/21 | $ 116,921 | $ (72,762) |
Euro-Schatz | 3,615 | 03/08/21 | 495,836 | (198,521) |
Canadian Government Bonds (5 Year) | 147 | 03/22/21 | 14,752 | 40,592 |
U.S. Treasury Bonds (30 Year) | 2,436 | 03/22/21 | 421,885 | (928,384) |
U.S. Ultra Treasury Bonds | 4,946 | 03/22/21 | 1,056,280 | (7,350,705) |
U.S. Treasury Notes (2 Year) | 5,410 | 03/31/21 | 1,195,483 | 1,041,113 |
U.S. Treasury Notes (5 Year) | 12,406 | 03/31/21 | 1,565,191 | 3,998,194 |
Canadian Bankers Acceptance | 5,478 | 06/13/22 | 1,069,972 | 446,467 |
Canadian Bankers Acceptance | 1,022 | 09/19/22 | 199,529 | 166,547 |
(2,857,459) | ||||
Short Contracts | ||||
Euro-BTP Italian Government Bond | 189 | 03/08/21 | 35,098 | (32,922) |
Euro-Bund | 3,720 | 03/08/21 | 807,292 | 133,851 |
Euro-Buxl | 641 | 03/08/21 | 176,380 | (1,281,852) |
Euro-OAT | 640 | 03/08/21 | 131,242 | 255,677 |
E-Mini S&P 500 Index | 950 | 03/19/21 | 178,068 | (3,717,676) |
Canadian Government Bonds (10 Year) | 130 | 03/22/21 | 15,227 | (60,479) |
U.S. Treasury Notes (10 Year) | 684 | 03/22/21 | 94,445 | (75,749) |
U.S. Ultra Treasury Bonds (10 Year) | 756 | 03/22/21 | 118,208 | (102,564) |
10 Year U.K. Gilt | 56 | 03/29/21 | 10,380 | (6,511) |
Canadian Bankers Acceptance | 5,478 | 06/14/21 | 1,071,102 | (483,359) |
Canadian Bankers Acceptance | 1,022 | 09/13/21 | 199,820 | (124,737) |
(5,496,321) | ||||
$ (8,353,780) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
BRL | 21,014,766 | USD | 3,988,000 | BNP Paribas SA | 01/05/21 | $ 57,556 |
GBP | 43,490,984 | USD | 59,450,000 | Bank of America N.A. | 01/05/21 | 26,234 |
MXN | 406,423,100 | USD | 20,110,000 | Citibank N.A. | 01/05/21 | 302,269 |
MXN | 795,659,368 | USD | 39,340,000 | HSBC Bank PLC | 01/05/21 | 621,344 |
USD | 5,021,000 | BRL | 25,579,485 | BNP Paribas SA | 01/05/21 | 96,689 |
USD | 17,076,000 | BRL | 86,993,682 | BNP Paribas SA | 01/05/21 | 328,831 |
USD | 3,988,000 | BRL | 20,514,272 | Citibank N.A. | 01/05/21 | 38,794 |
USD | 59,450,000 | ZAR | 873,246,187 | BNP Paribas SA | 01/05/21 | 66,634 |
ZAR | 301,207,580 | USD | 20,110,000 | BNP Paribas SA | 01/05/21 | 373,021 |
ZAR | 611,561,937 | USD | 39,340,000 | Deutsche Bank AG | 01/05/21 | 2,248,050 |
IDR | 558,942,720,000 | USD | 39,340,000 | Bank of America N.A. | 01/06/21 | 420,217 |
IDR | 285,320,680,000 | USD | 20,110,000 | JPMorgan Chase Bank N.A. | 01/06/21 | 186,198 |
INR | 2,920,995,000 | USD | 39,340,000 | Bank of America N.A. | 01/06/21 | 609,945 |
INR | 1,482,207,550 | USD | 20,110,000 | JPMorgan Chase Bank N.A. | 01/06/21 | 161,897 |
KRW | 1,617,382,186 | USD | 1,480,848 | Bank of America N.A. | 01/07/21 | 8,136 |
KRW | 1,617,382,186 | USD | 1,480,848 | Bank of America N.A. | 01/07/21 | 8,136 |
KRW | 4,041,975,708 | USD | 3,702,121 | Citibank N.A. | 01/07/21 | 18,976 |
KRW | 4,041,975,708 | USD | 3,702,121 | Citibank N.A. | 01/07/21 | 18,976 |
KRW | 3,039,861,337 | USD | 2,785,031 | Citibank N.A. | 01/07/21 | 13,506 |
KRW | 3,039,861,337 | USD | 2,785,031 | Citibank N.A. | 01/07/21 | 13,506 |
AUD | 20,013,234 | USD | 15,228,548 | Barclays Bank PLC | 01/11/21 | 202,572 |
AUD | 22,491,919 | USD | 17,132,117 | JPMorgan Chase Bank N.A. | 01/11/21 | 210,182 |
AUD | 2,500,433 | USD | 1,903,568 | State Street Global Markets LLC | 01/11/21 | 24,381 |
CAD | 21,923,490 | USD | 17,132,117 | JPMorgan Chase Bank N.A. | 01/11/21 | 91,913 |
CAD | 19,499,406 | USD | 15,228,548 | Morgan Stanley & Co. International PLC | 01/11/21 | 91,019 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
CAD | 2,436,133 | USD | 1,903,568 | State Street Global Markets LLC | 01/11/21 | $ 10,363 |
GBP | 11,278,438 | USD | 15,228,548 | Citibank N.A. | 01/11/21 | 196,036 |
GBP | 12,693,607 | USD | 17,132,117 | JPMorgan Chase Bank N.A. | 01/11/21 | 227,877 |
GBP | 1,409,916 | USD | 1,903,568 | Royal Bank of Canada | 01/11/21 | 24,657 |
USD | 34,264,233 | AUD | 44,329,573 | Bank of America N.A. | 01/11/21 | 84,103 |
USD | 26,650,657 | AUD | 34,535,489 | Deutsche Bank AG | 01/11/21 | 22,214 |
USD | 34,264,233 | EUR | 27,912,535 | State Street Global Markets LLC | 01/11/21 | 155,876 |
USD | 26,650,657 | EUR | 21,778,163 | State Street Global Markets LLC | 01/11/21 | 38,335 |
RUB | 3,021,386,746 | USD | 39,340,000 | Citibank N.A. | 01/12/21 | 1,468,397 |
AUD | 11,137,000 | USD | 8,189,039 | Barclays Bank PLC | 01/13/21 | 398,292 |
AUD | 11,137,000 | USD | 8,189,039 | Barclays Bank PLC | 01/13/21 | 398,292 |
AUD | 11,015,000 | USD | 8,111,324 | JPMorgan Chase Bank N.A. | 01/13/21 | 381,938 |
CLP | 3,629,642,500 | USD | 4,895,000 | Citibank N.A. | 01/13/21 | 213,273 |
COP | 24,828,878,200 | USD | 6,829,000 | Citibank N.A. | 01/13/21 | 440,694 |
INR | 292,314,270 | USD | 3,931,000 | Deutsche Bank AG | 01/13/21 | 63,817 |
INR | 438,508,586 | USD | 5,897,000 | Deutsche Bank AG | 01/13/21 | 95,733 |
JPY | 155,227,060 | USD | 1,493,000 | Bank of America N.A. | 01/13/21 | 10,576 |
JPY | 207,004,070 | USD | 1,991,000 | Bank of America N.A. | 01/13/21 | 14,103 |
JPY | 814,832,553 | USD | 7,849,000 | Morgan Stanley & Co. International PLC | 01/13/21 | 43,712 |
JPY | 814,832,553 | USD | 7,849,000 | Morgan Stanley & Co. International PLC | 01/13/21 | 43,712 |
KRW | 3,298,693,200 | USD | 2,959,000 | Barclays Bank PLC | 01/13/21 | 77,984 |
KRW | 3,298,693,200 | USD | 2,959,000 | Barclays Bank PLC | 01/13/21 | 77,984 |
MXN | 74,848,710 | USD | 3,731,000 | Bank of America N.A. | 01/13/21 | 24,828 |
MXN | 200,572,877 | USD | 9,998,000 | Bank of America N.A. | 01/13/21 | 66,530 |
MXN | 156,975,760 | USD | 7,825,000 | Bank of America N.A. | 01/13/21 | 51,874 |
MXN | 121,477,548 | USD | 6,060,000 | Citibank N.A. | 01/13/21 | 35,612 |
MXN | 84,862,157 | USD | 4,249,248 | Citibank N.A. | 01/13/21 | 9,043 |
MXN | 76,591,069 | USD | 3,835,752 | Citibank N.A. | 01/13/21 | 7,505 |
MXN | 82,346,358 | USD | 4,040,000 | Morgan Stanley & Co. International PLC | 01/13/21 | 92,051 |
NOK | 43,063,572 | USD | 4,875,000 | JPMorgan Chase Bank N.A. | 01/13/21 | 147,376 |
NOK | 35,013,555 | USD | 3,984,000 | UBS AG | 01/13/21 | 99,527 |
RUB | 743,494,080 | USD | 9,960,000 | BNP Paribas SA | 01/13/21 | 80,971 |
RUB | 146,127,232 | USD | 1,923,000 | Citibank N.A. | 01/13/21 | 50,465 |
USD | 997,000 | MXN | 19,845,883 | Bank of America N.A. | 01/13/21 | 1,155 |
USD | 997,000 | MXN | 19,845,883 | Bank of America N.A. | 01/13/21 | 1,155 |
USD | 5,021,000 | RUB | 368,767,345 | Bank of America N.A. | 01/13/21 | 40,756 |
USD | 5,021,000 | RUB | 368,767,345 | Bank of America N.A. | 01/13/21 | 40,756 |
ZAR | 75,297,427 | USD | 5,021,000 | HSBC Bank PLC | 01/13/21 | 93,757 |
CNH | 65,699,785 | USD | 10,042,000 | JPMorgan Chase Bank N.A. | 01/19/21 | 48,818 |
CNH | 65,699,785 | USD | 10,042,000 | JPMorgan Chase Bank N.A. | 01/19/21 | 48,818 |
USD | 10,042,000 | TWD | 279,815,409 | JPMorgan Chase Bank N.A. | 01/19/21 | 82,687 |
USD | 10,042,000 | TWD | 279,815,409 | JPMorgan Chase Bank N.A. | 01/19/21 | 82,687 |
KZT | 557,736,564 | USD | 1,270,760 | Citibank N.A. | 01/20/21 | 46,706 |
MXN | 1,188,375,775 | USD | 59,450,000 | Citibank N.A. | 02/02/21 | 46,793 |
RUB | 4,412,379,000 | USD | 59,450,000 | JPMorgan Chase Bank N.A. | 02/02/21 | 16,116 |
USD | 5,050,000 | BRL | 26,078,200 | Citibank N.A. | 02/02/21 | 31,615 |
USD | 5,021,000 | BRL | 25,928,444 | Citibank N.A. | 02/02/21 | 31,433 |
USD | 59,450,000 | EUR | 48,555,385 | Bank of America N.A. | 02/02/21 | 85,528 |
USD | 59,450,000 | JPY | 6,135,846,390 | Bank of America N.A. | 02/02/21 | 2,069 |
USD | 59,450,000 | SEK | 488,077,425 | Bank of America N.A. | 02/02/21 | 104,543 |
COP | 32,111,560,000 | USD | 8,345,000 | Citibank N.A. | 02/17/21 | 1,050,264 |
KRW | 8,677,869,120 | USD | 7,968,000 | Barclays Bank PLC | 02/17/21 | 23,118 |
KRW | 8,677,869,120 | USD | 7,968,000 | Barclays Bank PLC | 02/17/21 | 23,118 |
COP | 26,238,920,868 | USD | 7,544,256 | Citibank N.A. | 02/24/21 | 130,380 |
IDR | 7,214,103,138 | USD | 507,021 | Citibank N.A. | 02/24/21 | 3,828 |
IDR | 7,277,388,710 | USD | 507,949 | Deutsche Bank AG | 02/24/21 | 7,381 |
IDR | 30,619,575,600 | USD | 2,150,402 | Goldman Sachs International | 02/24/21 | 17,849 |
IDR | 17,279,490,738 | USD | 1,216,009 | Goldman Sachs International | 02/24/21 | 7,596 |
IDR | 6,548,921,034 | USD | 460,867 | Goldman Sachs International | 02/24/21 | 2,879 |
IDR | 15,126,017,410 | USD | 1,064,988 | HSBC Bank PLC | 02/24/21 | 6,125 |
RUB | 684,290,580 | USD | 8,917,000 | BNP Paribas SA | 02/24/21 | 283,864 |
MXN | 708,900,000 | USD | 35,122,227 | Citibank N.A. | 02/26/21 | 269,824 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
EUR | 12,360,000 | USD | 15,008,624 | Bank of America N.A. | 03/17/21 | $ 117,382 |
EUR | 41,270,000 | USD | 50,324,721 | Barclays Bank PLC | 03/17/21 | 180,967 |
EUR | 37,070,000 | USD | 45,044,573 | BNP Paribas SA | 03/17/21 | 321,210 |
EUR | 53,780,000 | USD | 65,255,039 | BNP Paribas SA | 03/17/21 | 560,223 |
EUR | 41,280,000 | USD | 50,493,531 | BNP Paribas SA | 03/17/21 | 24,394 |
EUR | 24,820,000 | USD | 30,337,709 | Goldman Sachs International | 03/17/21 | 36,683 |
EUR | 12,380,000 | USD | 15,055,937 | HSBC Bank PLC | 03/17/21 | 94,545 |
EUR | 49,500,000 | USD | 60,240,758 | HSBC Bank PLC | 03/17/21 | 336,696 |
EUR | 10,690,192 | USD | 12,978,000 | JPMorgan Chase Bank N.A. | 03/17/21 | 104,517 |
EUR | 1,669,808 | USD | 2,026,813 | Morgan Stanley & Co. International PLC | 03/17/21 | 16,676 |
EUR | 18,580,000 | USD | 22,495,274 | Morgan Stanley & Co. International PLC | 03/17/21 | 242,687 |
GBP | 29,174,913 | EUR | 32,066,335 | BNP Paribas SA | 03/17/21 | 673,503 |
GBP | 19,172,170 | EUR | 21,192,845 | BNP Paribas SA | 03/17/21 | 295,014 |
GBP | 9,124,743 | EUR | 9,880,000 | Deutsche Bank AG | 03/17/21 | 393,067 |
GBP | 19,121,068 | EUR | 20,940,000 | Deutsche Bank AG | 03/17/21 | 534,526 |
GBP | 19,181,065 | EUR | 21,181,089 | Deutsche Bank AG | 03/17/21 | 321,569 |
GBP | 6,558,025 | EUR | 7,266,066 | Deutsche Bank AG | 03/17/21 | 80,291 |
GBP | 18,396,740 | EUR | 20,290,000 | Goldman Sachs International | 03/17/21 | 338,993 |
GBP | 6,774,703 | EUR | 7,443,665 | UBS AG | 03/17/21 | 159,398 |
GBP | 37,410,696 | EUR | 41,400,000 | UBS AG | 03/17/21 | 518,929 |
GBP | 27,015,000 | USD | 35,833,101 | Barclays Bank PLC | 03/17/21 | 1,127,662 |
GBP | 16,680,000 | USD | 22,610,407 | Barclays Bank PLC | 03/17/21 | 210,453 |
GBP | 10,600,000 | USD | 14,028,093 | Deutsche Bank AG | 03/17/21 | 474,372 |
GBP | 16,700,000 | USD | 22,571,887 | Deutsche Bank AG | 03/17/21 | 276,336 |
GBP | 17,240,000 | USD | 23,070,482 | Deutsche Bank AG | 03/17/21 | 516,546 |
GBP | 16,690,000 | USD | 22,529,831 | Goldman Sachs International | 03/17/21 | 304,711 |
GBP | 29,495,000 | USD | 39,190,744 | HSBC Bank PLC | 03/17/21 | 1,163,049 |
GBP | 17,280,000 | USD | 22,978,875 | UBS AG | 03/17/21 | 662,880 |
HKD | 9,041,750 | USD | 1,166,459 | Morgan Stanley & Co. International PLC | 03/17/21 | 42 |
JPY | 40,000,000 | USD | 387,239 | Morgan Stanley & Co. International PLC | 03/17/21 | 498 |
USD | 50,670,893 | EUR | 41,270,000 | Barclays Bank PLC | 03/17/21 | 165,206 |
USD | 30,496,582 | EUR | 24,820,000 | BNP Paribas SA | 03/17/21 | 122,190 |
USD | 75,997,400 | EUR | 61,930,000 | BNP Paribas SA | 03/17/21 | 208,274 |
USD | 25,249,675 | EUR | 20,570,000 | Deutsche Bank AG | 03/17/21 | 76,378 |
USD | 50,633,734 | EUR | 41,280,000 | Morgan Stanley & Co. International PLC | 03/17/21 | 115,809 |
24,800,026 | ||||||
BRL | 25,238,057 | USD | 5,021,000 | BNP Paribas SA | 01/05/21 | (162,417) |
BRL | 101,230,812 | USD | 20,014,000 | Citibank N.A. | 01/05/21 | (526,039) |
EUR | 48,588,125 | USD | 59,450,000 | Bank of America N.A. | 01/05/21 | (85,190) |
JPY | 6,137,915,250 | USD | 59,450,000 | Bank of America N.A. | 01/05/21 | (2,127) |
SEK | 488,236,097 | USD | 59,450,000 | Bank of America N.A. | 01/05/21 | (105,140) |
USD | 2,938,000 | BRL | 15,605,187 | Deutsche Bank AG | 01/05/21 | (66,157) |
USD | 39,340,000 | EUR | 32,849,086 | Bank of America N.A. | 01/05/21 | (794,905) |
USD | 20,110,000 | EUR | 16,563,239 | JPMorgan Chase Bank N.A. | 01/05/21 | (126,911) |
USD | 39,340,000 | GBP | 29,449,128 | Deutsche Bank AG | 01/05/21 | (933,249) |
USD | 20,110,000 | GBP | 15,035,661 | Deutsche Bank AG | 01/05/21 | (452,067) |
USD | 20,110,000 | JPY | 2,088,942,338 | Bank of America N.A. | 01/05/21 | (122,143) |
USD | 39,340,000 | JPY | 4,098,736,250 | Citibank N.A. | 01/05/21 | (357,706) |
USD | 59,450,000 | MXN | 1,184,570,975 | Citibank N.A. | 01/05/21 | (44,113) |
USD | 20,110,000 | SEK | 168,929,993 | Bank of America N.A. | 01/05/21 | (423,358) |
USD | 39,340,000 | SEK | 336,039,998 | JPMorgan Chase Bank N.A. | 01/05/21 | (1,505,498) |
USD | 2,288,848 | AUD | 3,105,000 | UBS AG | 01/06/21 | (105,114) |
USD | 19,670,000 | CLP | 15,082,956,000 | Citibank N.A. | 01/06/21 | (1,558,072) |
USD | 20,110,000 | CLP | 14,748,674,000 | Citibank N.A. | 01/06/21 | (647,596) |
USD | 19,670,000 | CLP | 15,088,463,600 | JPMorgan Chase Bank N.A. | 01/06/21 | (1,565,823) |
USD | 126,332,585 | EUR | 105,959,000 | Goldman Sachs International | 01/06/21 | (3,130,879) |
USD | 126,896,075 | EUR | 105,959,000 | UBS AG | 01/06/21 | (2,567,389) |
USD | 714,700 | JPY | 74,538,000 | Barclays Bank PLC | 01/06/21 | (7,236) |
USD | 1,058,354 | JPY | 110,000,000 | Royal Bank of Canada | 01/06/21 | (7,048) |
USD | 7,968,000 | KRW | 8,677,470,720 | Barclays Bank PLC | 01/07/21 | (20,596) |
USD | 7,968,000 | KRW | 8,677,470,720 | Barclays Bank PLC | 01/07/21 | (20,596) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
EUR | 12,422,196 | USD | 15,228,548 | Barclays Bank PLC | 01/11/21 | $ (48,963) |
EUR | 13,986,304 | USD | 17,132,117 | JPMorgan Chase Bank N.A. | 01/11/21 | (41,235) |
EUR | 1,552,832 | USD | 1,903,568 | State Street Global Markets LLC | 01/11/21 | (6,050) |
USD | 34,264,233 | CAD | 43,660,856 | Morgan Stanley & Co. International PLC | 01/11/21 | (37,600) |
USD | 26,650,657 | CAD | 33,952,004 | State Street Global Markets LLC | 01/11/21 | (23,488) |
USD | 34,264,233 | GBP | 25,082,065 | Bank of America N.A. | 01/11/21 | (38,428) |
USD | 26,650,657 | GBP | 19,495,513 | Citibank N.A. | 01/11/21 | (11,740) |
RUB | 1,485,927,900 | USD | 20,110,000 | Bank of America N.A. | 01/12/21 | (40,297) |
MXN | 79,619,512 | USD | 4,022,000 | Citibank N.A. | 01/13/21 | (26,779) |
MXN | 79,619,512 | USD | 4,022,000 | Citibank N.A. | 01/13/21 | (26,779) |
PLN | 14,594,848 | USD | 4,001,000 | Bank of America N.A. | 01/13/21 | (93,840) |
PLN | 14,594,848 | USD | 4,001,000 | Bank of America N.A. | 01/13/21 | (93,840) |
PLN | 11,163,632 | USD | 2,991,000 | Citibank N.A. | 01/13/21 | (2,404) |
PLN | 11,163,632 | USD | 2,991,000 | Citibank N.A. | 01/13/21 | (2,404) |
PLN | 570,686 | USD | 154,000 | Goldman Sachs International | 01/13/21 | (1,223) |
PLN | 570,686 | USD | 154,000 | Goldman Sachs International | 01/13/21 | (1,223) |
USD | 4,976,566 | AUD | 6,764,000 | Bank of America N.A. | 01/13/21 | (238,906) |
USD | 2,026,709 | AUD | 2,741,000 | BNP Paribas SA | 01/13/21 | (86,775) |
USD | 6,019,496 | AUD | 8,141,000 | BNP Paribas SA | 01/13/21 | (257,729) |
USD | 6,264,118 | AUD | 8,261,000 | Morgan Stanley & Co. International PLC | 01/13/21 | (105,635) |
USD | 4,896,000 | CAD | 6,361,178 | Morgan Stanley & Co. International PLC | 01/13/21 | (101,654) |
USD | 4,896,000 | CAD | 6,361,178 | Morgan Stanley & Co. International PLC | 01/13/21 | (101,654) |
USD | 4,895,000 | CLP | 3,755,541,900 | Deutsche Bank AG | 01/13/21 | (390,461) |
USD | 4,987,000 | COP | 17,250,033,000 | Citibank N.A. | 01/13/21 | (63,670) |
USD | 3,999,000 | COP | 13,772,556,000 | Citibank N.A. | 01/13/21 | (33,493) |
USD | 3,994,000 | COP | 13,959,030,000 | Deutsche Bank AG | 01/13/21 | (93,091) |
USD | 3,994,000 | COP | 13,959,030,000 | Deutsche Bank AG | 01/13/21 | (93,091) |
USD | 5,001,000 | COP | 17,328,465,000 | HSBC Bank PLC | 01/13/21 | (72,634) |
USD | 2,899,911 | EUR | 2,430,000 | Barclays Bank PLC | 01/13/21 | (69,625) |
USD | 2,959,000 | KRW | 3,267,623,700 | Bank of America N.A. | 01/13/21 | (49,379) |
USD | 2,959,000 | KRW | 3,267,623,700 | Bank of America N.A. | 01/13/21 | (49,379) |
USD | 2,945,000 | KRW | 3,283,675,000 | JPMorgan Chase Bank N.A. | 01/13/21 | (78,157) |
USD | 2,945,000 | KRW | 3,283,675,000 | JPMorgan Chase Bank N.A. | 01/13/21 | (78,157) |
USD | 4,964,000 | MXN | 99,584,293 | Bank of America N.A. | 01/13/21 | (33,032) |
USD | 4,034,000 | MXN | 80,733,450 | Bank of America N.A. | 01/13/21 | (17,117) |
USD | 4,040,000 | MXN | 81,159,241 | Bank of America N.A. | 01/13/21 | (32,483) |
USD | 4,973,000 | MXN | 100,415,254 | HSBC Bank PLC | 01/13/21 | (65,729) |
USD | 1,733,328 | MXN | 34,678,782 | HSBC Bank PLC | 01/13/21 | (6,816) |
USD | 1,733,328 | MXN | 34,678,782 | HSBC Bank PLC | 01/13/21 | (6,816) |
USD | 5,049,000 | MXN | 100,957,279 | Morgan Stanley & Co. International PLC | 01/13/21 | (16,927) |
USD | 4,017,000 | NOK | 35,067,205 | Bank of America N.A. | 01/13/21 | (72,784) |
USD | 5,824,000 | PLN | 21,815,217 | BNP Paribas SA | 01/13/21 | (16,112) |
USD | 5,824,000 | PLN | 21,815,217 | BNP Paribas SA | 01/13/21 | (16,112) |
USD | 1,923,000 | RUB | 142,455,840 | Bank of America N.A. | 01/13/21 | (882) |
USD | 6,036,000 | RUB | 447,146,880 | Bank of America N.A. | 01/13/21 | (2,769) |
USD | 4,040,000 | RUB | 303,686,800 | Bank of America N.A. | 01/13/21 | (61,324) |
USD | 4,040,000 | RUB | 303,686,800 | Bank of America N.A. | 01/13/21 | (61,324) |
USD | 3,924,000 | RUB | 297,971,699 | BNP Paribas SA | 01/13/21 | (100,141) |
USD | 10,107,000 | RUB | 761,057,100 | Citibank N.A. | 01/13/21 | (171,161) |
USD | 9,355,272 | ZAR | 142,747,418 | Bank of America N.A. | 01/13/21 | (341,186) |
USD | 5,879,000 | ZAR | 89,704,721 | Bank of America N.A. | 01/13/21 | (214,407) |
USD | 4,987,000 | ZAR | 76,184,903 | Bank of America N.A. | 01/13/21 | (188,041) |
USD | 4,987,000 | ZAR | 76,184,903 | Bank of America N.A. | 01/13/21 | (188,041) |
BRL | 25,594,045 | USD | 5,021,000 | BNP Paribas SA | 02/02/21 | (95,784) |
BRL | 87,043,202 | USD | 17,076,000 | BNP Paribas SA | 02/02/21 | (325,752) |
USD | 59,450,000 | GBP | 43,481,282 | Bank of America N.A. | 02/02/21 | (25,592) |
ZAR | 876,664,562 | USD | 59,450,000 | BNP Paribas SA | 02/02/21 | (63,228) |
INR | 4,353,939,650 | USD | 59,450,000 | Citibank N.A. | 02/03/21 | (85,299) |
USD | 2,985,000 | TRY | 23,954,655 | Barclays Bank PLC | 02/16/21 | (182,179) |
USD | 8,345,000 | COP | 32,111,560,000 | Morgan Stanley & Co. International PLC | 02/17/21 | (1,050,264) |
EUR | 3,139,000 | USD | 3,854,488 | Citibank N.A. | 02/24/21 | (14,854) |
USD | 125,167,650 | CNH | 826,344,310 | Morgan Stanley & Co. International PLC | 02/24/21 | (1,440,507) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 14,615,603 | COP | 53,206,642,219 | Deutsche Bank AG | 02/24/21 | $ (946,835) |
USD | 3,749,615 | EUR | 3,139,000 | JPMorgan Chase Bank N.A. | 02/24/21 | (90,019) |
USD | 5,974,631 | EUR | 5,001,678 | JPMorgan Chase Bank N.A. | 02/24/21 | (143,436) |
USD | 29,573,418 | IDR | 421,155,052,000 | JPMorgan Chase Bank N.A. | 02/24/21 | (249,655) |
USD | 8,917,000 | RUB | 684,290,580 | Citibank N.A. | 02/24/21 | (283,864) |
USD | 70,110,690 | RUB | 5,354,914,298 | Citibank N.A. | 02/24/21 | (1,890,647) |
USD | 50,866,287 | MXN | 1,031,313,972 | Barclays Bank PLC | 02/26/21 | (622,381) |
USD | 16,328,571 | MXN | 330,278,000 | Deutsche Bank AG | 02/26/21 | (160,660) |
PEN | 10,732,304 | USD | 2,992,000 | Citibank N.A. | 03/09/21 | (26,728) |
PEN | 10,732,304 | USD | 2,992,000 | Citibank N.A. | 03/09/21 | (26,728) |
EUR | 41,350,000 | GBP | 37,363,240 | Barclays Bank PLC | 03/17/21 | (515,191) |
EUR | 25,010,000 | GBP | 22,573,151 | Barclays Bank PLC | 03/17/21 | (276,705) |
EUR | 5,960,000 | GBP | 5,379,258 | Barclays Bank PLC | 03/17/21 | (65,899) |
EUR | 41,280,000 | GBP | 37,031,256 | Barclays Bank PLC | 03/17/21 | (146,650) |
EUR | 21,378,107 | GBP | 19,495,508 | Deutsche Bank AG | 03/17/21 | (510,669) |
EUR | 19,300,156 | GBP | 17,430,762 | Deutsche Bank AG | 03/17/21 | (228,742) |
EUR | 19,357,355 | GBP | 17,507,779 | Deutsche Bank AG | 03/17/21 | (264,114) |
EUR | 5,462,645 | GBP | 4,939,362 | Goldman Sachs International | 03/17/21 | (72,709) |
EUR | 24,880,000 | GBP | 22,762,339 | JPMorgan Chase Bank N.A. | 03/17/21 | (694,636) |
EUR | 5,519,844 | GBP | 4,986,076 | JPMorgan Chase Bank N.A. | 03/17/21 | (66,621) |
EUR | 3,131,893 | GBP | 2,854,507 | UBS AG | 03/17/21 | (72,645) |
USD | 360,245 | CNH | 2,360,000 | Deutsche Bank AG | 03/17/21 | (820) |
USD | 194,548 | CNH | 1,274,112 | HSBC Bank PLC | 03/17/21 | (383) |
USD | 68,559,302 | CNH | 450,571,730 | Standard Chartered Bank | 03/17/21 | (375,274) |
USD | 340,131,441 | CNH | 2,235,343,830 | Standard Chartered Bank | 03/17/21 | (1,861,783) |
USD | 4,489,966 | EUR | 3,707,621 | Bank of America N.A. | 03/17/21 | (47,372) |
USD | 37,445,837 | EUR | 30,720,000 | Barclays Bank PLC | 03/17/21 | (148,898) |
USD | 1,156,160 | EUR | 950,000 | Barclays Bank PLC | 03/17/21 | (6,438) |
USD | 28,962,934 | EUR | 23,800,000 | Barclays Bank PLC | 03/17/21 | (163,195) |
USD | 75,249,298 | EUR | 61,880,000 | Goldman Sachs International | 03/17/21 | (478,638) |
USD | 30,255,841 | EUR | 24,900,000 | Goldman Sachs International | 03/17/21 | (216,454) |
USD | 65,347,755 | EUR | 53,780,000 | Goldman Sachs International | 03/17/21 | (467,507) |
USD | 21,783,726 | GBP | 16,190,000 | Barclays Bank PLC | 03/17/21 | (366,737) |
USD | 30,591,993 | GBP | 22,730,000 | Barclays Bank PLC | 03/17/21 | (506,217) |
USD | 30,934,992 | GBP | 22,830,000 | Barclays Bank PLC | 03/17/21 | (300,034) |
USD | 37,097,618 | GBP | 27,870,000 | HSBC Bank PLC | 03/17/21 | (1,032,920) |
USD | 31,063,885 | GBP | 22,840,000 | HSBC Bank PLC | 03/17/21 | (184,823) |
USD | 52,290,439 | GBP | 39,240,000 | Morgan Stanley & Co. International PLC | 03/17/21 | (1,396,045) |
USD | 6,208,841 | HKD | 48,130,685 | Bank of America N.A. | 03/17/21 | (633) |
USD | 3,156,804 | JPY | 328,419,026 | Goldman Sachs International | 03/17/21 | (26,696) |
USD | 561,786 | SGD | 750,000 | Morgan Stanley & Co. International PLC | 03/17/21 | (5,753) |
USD | 29,484,392 | IDR | 421,155,052,711 | JPMorgan Chase Bank N.A. | 03/31/21 | (237,207) |
(37,873,176) | ||||||
$ (13,073,150) | ||||||
Reference Entity | Exercise Rate | Counterparty | Expiration Date | Notional Amount (000) | Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||
30Y-5Y CMS Index Cap | 0.87% | Goldman Sachs Bank USA | 03/18/21 | USD | 948,500 | $ 1,353,421 | $ 820,453 | $ 532,969 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
Amazon.com, Inc. | 60 | 01/15/21 | USD | 3,500.00 | USD | 19,542 | $ 71,550 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Caesars Entertainment, Inc. | 1,451 | 01/15/21 | USD | 45.00 | USD | 10,776 | $ 4,262,313 |
Invesco QQQ Trust, Series 1 ETF | 72 | 01/15/21 | USD | 315.00 | USD | 2,259 | 35,136 |
Invesco QQQ Trust, Series 1 ETF | 2,882 | 01/15/21 | USD | 320.00 | USD | 90,420 | 733,469 |
iShares MSCI Emerging Markets ETF | 2,890 | 01/15/21 | USD | 52.00 | USD | 14,933 | 186,405 |
iShares MSCI Emerging Markets ETF | 44,654 | 02/19/21 | USD | 52.00 | USD | 230,727 | 6,050,617 |
Caesars Entertainment, Inc. | 1,160 | 03/19/21 | USD | 40.00 | USD | 8,615 | 4,031,000 |
Caesars Entertainment, Inc. | 1,423 | 03/19/21 | USD | 50.00 | USD | 10,569 | 3,703,358 |
Caesars Entertainment, Inc. | 1,704 | 03/19/21 | USD | 60.00 | USD | 12,656 | 2,973,480 |
22,047,328 | |||||||
Put | |||||||
SPDR S&P 500 ETF Trust | 5,775 | 01/04/21 | USD | 360.00 | USD | 215,916 | 98,175 |
Chicago Board Options Exchange Volatility Index | 2,874 | 01/20/21 | USD | 20.00 | USD | 6,538 | 158,070 |
U.S. Treasury 10-Year Notes Futures | 874 | 01/22/21 | USD | 136.50 | USD | 120,680 | 68,281 |
CBOE Volatility Index | 2,874 | 02/17/21 | USD | 20.00 | USD | 6,538 | 244,290 |
Euro-Bund Futures | 3,291 | 02/19/21 | EUR | 175.00 | EUR | 584,613 | — |
iPath Series B S&P 500 VIX Short-Term Futures ETN | 2,350 | 02/19/21 | USD | 17.00 | USD | 3,946 | 603,950 |
Euro Dollar (3 Year) Mid-Curve | 24,355 | 06/11/21 | USD | 99.25 | USD | 6,051,913 | 5,023,219 |
Euro Dollar (1 Year) Mid-Curve | 30,709 | 09/10/21 | USD | 99.63 | USD | 7,661,512 | 1,919,313 |
Euro Dollar (2 Year) Mid-Curve | 27,324 | 09/10/21 | USD | 99.38 | USD | 6,801,285 | 4,269,375 |
12,384,673 | |||||||
$ 34,432,001 |
Description | Type of Option | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Barrier Price/Range | Notional Amount (000) | Value | |||
Call | |||||||||||
USD Currency | One-Touch | Citibank N.A. | — | 02/18/21 | JPY | 100.00 | JPY | 100.00 | USD | 943 | $ 83,276 |
EUR Currency | One-Touch | BNP Paribas SA | — | 06/28/21 | USD | 1.25 | USD | 1.25 | EUR | 12,870 | 4,877,391 |
4,960,667 | |||||||||||
Put | |||||||||||
USD Currency | Down-and-Out | Morgan Stanley & Co. International PLC | — | 01/15/21 | MXN | 20.00 | MXN | 19.10 | USD | 7,880 | 65,692 |
USD Currency | One-Touch | Bank of America N.A. | — | 02/04/21 | KRW | 1,071.00 | KRW | 1,048.00 | USD | 1,196 | 242,154 |
S&P 500 Index | Down-and-Out | Goldman Sachs International | 9,262 | 03/19/21 | USD | 3,242.36 | USD | 2,559.77 | USD | 34,789 | 118,801 |
USD Currency | One-Touch | Citibank N.A. | — | 04/23/21 | TRY | 7.35 | TRY | 7.35 | USD | 1,990 | 540,247 |
EUR Currency | One-Touch | BNP Paribas SA | — | 05/28/21 | PLN | 4.25 | PLN | 4.25 | EUR | 3,730 | 146,450 |
EUR Currency | One-Touch | BNP Paribas SA | — | 05/28/21 | HUF | 340.00 | HUF | 340.00 | EUR | 4,000 | 261,266 |
1,374,610 | |||||||||||
$ 6,335,277 |
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | ||||||||
USD Currency | Bank of America N.A. | — | 01/05/21 | KRW | 1,110.00 | USD | 15,936 | $ 1,833 |
USD Currency | BNP Paribas SA | — | 01/07/21 | ZAR | 15.30 | USD | 14,004 | 14,218 |
GBP Currency | Goldman Sachs International | — | 01/08/21 | USD | 1.40 | GBP | 112,160 | 71,434 |
USD Currency | JPMorgan Chase Bank N.A. | — | 01/11/21 | KRW | 1,180.00 | USD | 19,638 | 141 |
USD Currency | JPMorgan Chase Bank N.A. | — | 01/11/21 | KRW | 1,095.00 | USD | 18,006 | 72,870 |
EUR Currency | UBS AG | — | 01/12/21 | CHF | 1.10 | EUR | 125,500 | 33,537 |
USD Currency | Citibank N.A. | — | 01/26/21 | RUB | 78.50 | USD | 9,946 | 47,666 |
EUR Currency | Citibank N.A. | — | 01/29/21 | USD | 1.22 | EUR | 166,890 | 2,214,491 |
EUR Currency | Citibank N.A. | — | 02/10/21 | USD | 1.23 | EUR | 165,390 | 1,629,678 |
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
USD Currency | Citibank N.A. | — | 02/12/21 | RUB | 81.00 | USD | 6,323 | $ 29,420 |
USD Currency | Morgan Stanley & Co. International PLC | — | 02/12/21 | MXN | 22.35 | USD | 14,728 | 28,428 |
USD Currency | JPMorgan Chase Bank N.A. | — | 03/18/21 | ZAR | 14.75 | USD | 7,060 | 228,229 |
USD Currency | Morgan Stanley & Co. International PLC | — | 03/18/21 | CLP | 730.00 | USD | 20,172 | 277,915 |
4,649,860 | ||||||||
Put | ||||||||
EUR Currency | Citibank N.A. | — | 01/07/21 | GBP | 0.90 | EUR | 249,190 | 1,737,214 |
USD Currency | JPMorgan Chase Bank N.A. | — | 01/11/21 | KRW | 1,140.00 | USD | 19,638 | 876,667 |
USD Currency | Citibank N.A. | — | 01/15/21 | TRY | 7.60 | USD | 6,896 | 185,629 |
USD Currency | Deutsche Bank AG | — | 01/15/21 | MXN | 20.00 | USD | 3,940 | 57,698 |
USD Currency | Goldman Sachs International | — | 01/21/21 | BRL | 5.10 | USD | 20,198 | 238,016 |
USD Currency | Morgan Stanley & Co. International PLC | — | 01/25/21 | COP | 3,630.00 | USD | 13,930 | 873,364 |
USD Currency | Citibank N.A. | — | 01/26/21 | RUB | 72.00 | USD | 9,946 | 40,392 |
USD Currency | Deutsche Bank AG | — | 01/26/21 | RUB | 75.50 | USD | 19,892 | 493,680 |
USD Currency | UBS AG | — | 01/26/21 | RUB | 72.00 | USD | 9,946 | 39,766 |
EUR Currency | Bank of America N.A. | — | 02/05/21 | RUB | 89.00 | EUR | 16,490 | 162,158 |
USD Currency | Morgan Stanley & Co. International PLC | — | 02/05/21 | BRL | 4.95 | USD | 14,978 | 105,192 |
USD Currency | BNP Paribas SA | — | 02/08/21 | IDR | 14,100.00 | USD | 19,972 | 383,303 |
USD Currency | Deutsche Bank AG | — | 02/08/21 | TRY | 7.85 | USD | 7,988 | 434,991 |
USD Currency | JPMorgan Chase Bank N.A. | — | 02/09/21 | IDR | 14,000.00 | USD | 20,006 | 294,222 |
USD Currency | Morgan Stanley & Co. International PLC | — | 02/11/21 | BRL | 5.25 | USD | 49,093 | 1,640,327 |
USD Currency | Bank of America N.A. | — | 02/12/21 | NOK | 8.65 | USD | 8,033 | 174,713 |
USD Currency | Deutsche Bank AG | — | 02/12/21 | RUB | 75.50 | USD | 29,639 | 835,081 |
USD Currency | Goldman Sachs International | — | 02/12/21 | MXN | 20.60 | USD | 49,093 | 2,019,190 |
USD Currency | Morgan Stanley & Co. International PLC | — | 02/12/21 | COP | 3,760.00 | USD | 29,456 | 2,945,852 |
EUR Currency | Citibank N.A. | — | 02/17/21 | GBP | 0.87 | EUR | 250,800 | 776,674 |
USD Currency | Citibank N.A. | — | 02/19/21 | RUB | 76.00 | USD | 19,800 | 663,805 |
USD Currency | Citibank N.A. | — | 02/22/21 | MXN | 20.00 | USD | 29,701 | 664,147 |
USD Currency | Morgan Stanley & Co. International PLC | — | 03/02/21 | BRL | 5.05 | USD | 207,280 | 3,703,161 |
USD Currency | Citibank N.A. | — | 04/22/21 | TRY | 7.75 | USD | 2,970 | 113,681 |
19,458,923 | ||||||||
$ 24,108,783 |
Paid by the Fund | Received by the Fund | ||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
Put | |||||||||||
10-Year Interest Rate Swap, 02/21/31 | 1.03% | Semi-Annual | 3-month LIBOR, 0.24% | Quarterly | Bank of America N.A. | 02/19/21 | 1.03% | USD | 441,392 | $ 2,378,154 |
Reference Entity | Exercise Rate | Counterparty | Expiration Date | Notional Amount (000) | Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||
30Y-5Y CMS Index Cap | 1.17% | Goldman Sachs Bank USA | 03/18/21 | USD | 948,500 | $ (188,523) | $ (204,876) | $ 16,353 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
Altice U.S.A., Inc. | 616 | 01/15/21 | USD | 38.00 | USD | 2,333 | $ (41,580) |
Invesco QQQ Trust, Series 1 ETF | 95 | 01/15/21 | USD | 325.00 | USD | 2,980 | (11,020) |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
SPDR S&P 500 ETF Trust | 1,446 | 01/15/21 | USD | 385.00 | USD | 54,063 | $ (133,755) |
Caesars Entertainment, Inc. | 1,451 | 02/19/21 | USD | 80.00 | USD | 10,777 | (591,282) |
HCA Healthcare, Inc. | 235 | 02/19/21 | USD | 170.00 | USD | 3,865 | (142,175) |
iShares MSCI Emerging Markets ETF | 44,654 | 02/19/21 | USD | 55.00 | USD | 230,727 | (1,473,582) |
Gores Holdings IV, Inc. | 3,378 | 03/19/21 | USD | 15.00 | USD | 4,435 | (734,715) |
(3,128,109) | |||||||
Put | |||||||
SPDR S&P 500 ETF Trust | 7,504 | 01/15/21 | USD | 345.00 | USD | 280,560 | (622,832) |
iPath Series B S&P 500 VIX Short-Term Futures ETN | 2,350 | 02/19/21 | USD | 14.00 | USD | 3,946 | (178,600) |
Invesco QQQ Trust, Series 1 ETF | 2,882 | 03/19/21 | USD | 275.00 | USD | 90,420 | (1,390,565) |
SPDR S&P 500 ETF Trust | 148 | 06/18/21 | USD | 290.00 | USD | 5,533 | (69,782) |
(2,261,779) | |||||||
$ (5,389,888) |
Description | Type of Option | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Barrier Price/Range | Notional Amount (000) | Value | |||
Call | |||||||||||
USD Currency | One-Touch | HSBC Bank PLC | — | 2/18/21 | JPY | 100.00 | JPY | 100.00 | USD | 943 | $ (83,276) |
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | ||||||||
USD Currency | BNP Paribas SA | — | 01/07/21 | ZAR | 15.80 | USD | 20,006 | $ (3,792) |
USD Currency | JPMorgan Chase Bank N.A. | — | 01/11/21 | KRW | 1,160.00 | USD | 19,638 | (460) |
EUR Currency | UBS AG | — | 01/12/21 | CHF | 1.14 | EUR | 125,500 | (908) |
USD Currency | Goldman Sachs International | — | 01/21/21 | BRL | 5.25 | USD | 10,100 | (166,537) |
USD Currency | Bank of America N.A. | — | 01/22/21 | TRY | 7.75 | USD | 3,030 | (24,591) |
USD Currency | Morgan Stanley & Co. International PLC | — | 01/25/21 | COP | 3,800.00 | USD | 13,930 | (6,393) |
USD Currency | Deutsche Bank AG | — | 01/26/21 | RUB | 78.50 | USD | 19,892 | (96,083) |
EUR Currency | HSBC Bank PLC | — | 01/29/21 | USD | 1.22 | EUR | 166,890 | (2,214,491) |
EUR Currency | Bank of America N.A. | — | 02/05/21 | RUB | 92.00 | EUR | 11,544 | (224,691) |
USD Currency | Bank of America N.A. | — | 02/12/21 | NOK | 9.00 | USD | 8,033 | (35,778) |
USD Currency | Deutsche Bank AG | — | 02/12/21 | RUB | 81.00 | USD | 6,323 | (29,586) |
USD Currency | Goldman Sachs International | — | 02/12/21 | MXN | 22.35 | USD | 14,728 | (28,299) |
USD Currency | Citibank N.A. | — | 02/19/21 | RUB | 80.00 | USD | 13,860 | (92,823) |
USD Currency | Citibank N.A. | — | 02/22/21 | MXN | 21.00 | USD | 19,800 | (173,335) |
USD Currency | JPMorgan Chase Bank N.A. | — | 03/18/21 | ZAR | 15.50 | USD | 7,060 | (107,825) |
USD Currency | Morgan Stanley & Co. International PLC | — | 03/18/21 | CLP | 780.00 | USD | 20,172 | (75,874) |
(3,281,466) | ||||||||
Put | ||||||||
USD Currency | Citibank N.A. | — | 01/15/21 | TRY | 7.30 | USD | 7,881 | (48,508) |
USD Currency | Deutsche Bank AG | — | 01/15/21 | MXN | 19.50 | USD | 3,940 | (14,930) |
USD Currency | Goldman Sachs International | — | 01/21/21 | BRL | 4.90 | USD | 30,298 | (74,951) |
USD Currency | Deutsche Bank AG | — | 01/26/21 | RUB | 72.00 | USD | 19,892 | (79,532) |
USD Currency | Deutsche Bank AG | — | 02/08/21 | TRY | 7.55 | USD | 9,986 | (257,422) |
USD Currency | Morgan Stanley & Co. International PLC | — | 02/11/21 | BRL | 4.95 | USD | 63,821 | (532,846) |
USD Currency | Deutsche Bank AG | — | 02/12/21 | RUB | 72.50 | USD | 38,531 | (326,279) |
USD Currency | Goldman Sachs International | — | 02/12/21 | MXN | 19.50 | USD | 63,821 | (587,539) |
USD Currency | Morgan Stanley & Co. International PLC | — | 02/12/21 | COP | 3,600.00 | USD | 38,292 | (2,164,801) |
USD Currency | Citibank N.A. | — | 02/19/21 | RUB | 72.00 | USD | 24,750 | (183,238) |
USD Currency | Morgan Stanley & Co. International PLC | — | 03/02/21 | BRL | 4.90 | USD | 207,280 | (1,813,311) |
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
USD Currency | JPMorgan Chase Bank N.A. | — | 03/18/21 | ZAR | 14.00 | USD | 7,060 | $ (53,992) |
USD Currency | Morgan Stanley & Co. International PLC | — | 03/18/21 | CLP | 700.00 | USD | 20,172 | (323,783) |
(6,461,132) | ||||||||
$ (9,742,598) | ||||||||
Paid by the Fund | Received by the Fund | ||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
Put | |||||||||||
10-Year Interest Rate Swap, 02/21/31 | 3-month LIBOR, 0.24% | Quarterly | 1.33% | Semi-Annual | Bank of America N.A. | 02/19/21 | 1.33% | USD | 662,088 | $ (557,879) |
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
CDX.NA.HY.33.V1 | 5.00% | Quarterly | 12/20/24 | USD | 35,459 | $ (3,341,464) | $ (2,618,416) | $ (723,048) | ||
ITRAXX.XO.34.V1 | 5.00 | Quarterly | 12/20/25 | EUR | 11,429 | (1,685,963) | (1,479,050) | (206,913) | ||
$ (5,027,427) | $ (4,097,466) | $ (929,961) |
Paid by the Fund | Received by the Fund | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||
Reference | Frequency | Rate | Frequency | |||||||
0.73% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 09/15/25 | EUR | 69,035 | $ 513,764 | $ — | $ 513,764 | |
0.72% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 09/15/25 | EUR | 69,035 | 561,619 | — | 561,619 | |
0.67% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 10/15/25 | EUR | 51,170 | 559,752 | — | 559,752 | |
0.67% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 10/15/25 | EUR | 76,335 | 823,209 | — | 823,209 | |
0.68% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 10/15/25 | EUR | 51,630 | 516,786 | — | 516,786 | |
UK RPI All Items Monthly | At Termination | 3.50% | At Termination | 10/15/25 | GBP | 57,260 | 773,515 | — | 773,515 | |
UK RPI All Items Monthly | At Termination | 3.52% | At Termination | 10/15/25 | GBP | 115,370 | 1,671,765 | — | 1,671,765 | |
0.70% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 11/15/25 | EUR | 51,170 | 928,239 | — | 928,239 | |
0.71% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 11/15/25 | EUR | 72,800 | 1,304,130 | — | 1,304,130 | |
1.00% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 12/15/25 | EUR | 29,515 | 7,246 | — | 7,246 |
Paid by the Fund | Received by the Fund | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||
Reference | Frequency | Rate | Frequency | ||||||||||
1.03% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 12/15/25 | EUR | 44,273 | $ (50,019) | $ — | $ (50,019) | ||||
1.03% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 12/15/25 | EUR | 44,272 | (53,790) | — | (53,790) | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 0.98% | At Termination | 09/15/30 | EUR | 69,035 | (680,026) | — | (680,026) | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 0.96% | At Termination | 09/15/30 | EUR | 69,035 | (831,226) | — | (831,226) | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 0.92% | At Termination | 10/15/30 | EUR | 76,335 | (1,391,126) | — | (1,391,126) | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 0.92% | At Termination | 10/15/30 | EUR | 51,170 | (921,910) | — | (921,910) | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 0.93% | At Termination | 10/15/30 | EUR | 51,630 | (860,935) | — | (860,935) | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 0.90% | At Termination | 11/15/30 | EUR | 51,170 | (1,558,123) | — | (1,558,123) | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 0.91% | At Termination | 11/15/30 | EUR | 72,800 | (2,191,636) | — | (2,191,636) | ||||
UK RPI All Items Monthly | At Termination | 3.42% | At Termination | 11/15/30 | GBP | 13,500 | 26,903 | — | 26,903 | ||||
UK RPI All Items Monthly | At Termination | 3.47% | At Termination | 11/15/30 | GBP | 3,502 | 38,969 | — | 38,969 | ||||
UK RPI All Items Monthly | At Termination | 3.50% | At Termination | 11/15/30 | GBP | 7,911 | 131,563 | — | 131,563 | ||||
UK RPI All Items Monthly | At Termination | 3.55% | At Termination | 11/15/30 | GBP | 10,587 | 252,984 | — | 252,984 | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 1.13% | At Termination | 12/15/30 | EUR | 29,515 | (30,306) | — | (30,306) | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 1.14% | At Termination | 12/15/30 | EUR | 44,273 | 4,464 | — | 4,464 | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 1.14% | At Termination | 12/15/30 | EUR | 44,272 | 40,056 | — | 40,056 | ||||
UK RPI All Items Monthly | At Termination | 3.59% | At Termination | 12/15/30 | GBP | 10,000 | 306,617 | — | 306,617 | ||||
UK RPI All Items Monthly | At Termination | 3.59% | At Termination | 12/15/30 | GBP | 2,000 | 63,174 | — | 63,174 | ||||
UK RPI All Items Monthly | At Termination | 3.33% | At Termination | 11/15/40 | GBP | 21,340 | 157,319 | — | 157,319 | ||||
UK RPI All Items Monthly | At Termination | 3.38% | At Termination | 12/15/40 | GBP | 6,820 | 224,314 | — | 224,314 | ||||
UK RPI All Items Monthly | At Termination | 3.38% | At Termination | 12/15/40 | GBP | 14,500 | 483,928 | — | 483,928 | ||||
$ 821,219 | $ — | $ 821,219 |
Paid by the Fund | Received by the Fund | ||||||||||
Rate | Frequency | Rate | Frequency | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.78% | Semi-Annual | 08/12/22(a) | 08/12/23 | CAD | 50,765 | $ 41,559 | $ — | $ 41,559 |
Paid by the Fund | Received by the Fund | ||||||||||
Rate | Frequency | Rate | Frequency | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||
1-day CORRA, 0.20% | Semi-Annual | 0.49% | Semi-Annual | 08/16/22(a) | 08/16/23 | CAD | 50,765 | $ 39,483 | $ — | $ 39,483 | |
1-day CORRA, 0.20% | At Termination | 0.49% | At Termination | 08/25/22(a) | 08/25/23 | CAD | 300,000 | 216,348 | — | 216,348 | |
1-day SONIA, 0.04% | At Termination | (0.17)% | At Termination | 09/21/22(a) | 09/21/23 | GBP | 41,000 | (57,408) | — | (57,408) | |
1-day CORRA, 0.20% | At Termination | 0.48% | At Termination | 10/07/22(a) | 10/07/23 | CAD | 697,124 | 248,472 | — | 248,472 | |
1-day SONIA, 0.04% | At Termination | (0.05)% | At Termination | 10/07/22(a) | 10/07/23 | GBP | 109,000 | 21,766 | — | 21,766 | |
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.76% | Semi-Annual | 10/07/22(a) | 10/07/23 | CAD | 1,048,445 | 205,182 | (21,682) | 226,864 | |
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.75% | Semi-Annual | 10/24/22(a) | 10/24/23 | CAD | 737,322 | 12,530 | — | 12,530 | |
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.76% | Semi-Annual | 10/24/22(a) | 10/24/23 | CAD | 130,000 | 12,352 | — | 12,352 | |
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.74% | Semi-Annual | 10/26/22(a) | 10/26/23 | CAD | 554,308 | (42,216) | — | (42,216) | |
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.83% | Semi-Annual | 11/09/22(a) | 11/09/23 | CAD | 532,960 | 290,509 | — | 290,509 | |
1-day CORRA, 0.20% | Semi-Annual | 0.55% | Semi-Annual | N/A | 11/10/23 | CAD | 130,222 | 91,763 | — | 91,763 | |
0.38% | Semi-Annual | 3-month LIBOR, 0.24% | Quarterly | 12/01/22(a) | 12/01/23 | USD | 362,530 | (217,952) | — | (217,952) | |
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.84% | Semi-Annual | 12/01/22(a) | 12/01/23 | CAD | 469,475 | 191,696 | — | 191,696 | |
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.85% | Semi-Annual | 12/01/22(a) | 12/01/23 | CAD | 625,145 | 322,285 | — | 322,285 | |
1-day CORRA, 0.20% | At Termination | 0.56% | At Termination | 12/05/22(a) | 12/05/23 | CAD | 128,328 | 85,885 | — | 85,885 | |
0.80% | Semi-Annual | 3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 12/12/22(a) | 12/12/23 | CAD | 650,382 | (19,783) | — | (19,783) | |
28-day MXIBTIIE, 4.48% | Monthly | 6.67% | Monthly | N/A | 08/12/24 | MXN | 258,548 | 970,296 | 520 | 969,776 | |
28-day MXIBTIIE, 4.48% | Monthly | 6.72% | Monthly | N/A | 08/13/24 | MXN | 222,465 | 852,034 | 433 | 851,601 | |
28-day MXIBTIIE, 4.48% | Monthly | 6.59% | Monthly | N/A | 11/08/24 | MXN | 169,474 | 635,736 | 1,066 | 634,670 | |
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.75% | Semi-Annual | N/A | 05/26/25 | CAD | 17,415 | 7,197 | (50) | 7,247 |
Paid by the Fund | Received by the Fund | |||||||||||||
Rate | Frequency | Rate | Frequency | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.82% | Semi-Annual | N/A | 06/03/25 | CAD | 5,855 | $ 15,989 | $ (26) | $ 16,015 | ||||
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.82% | Semi-Annual | N/A | 06/03/25 | CAD | 5,855 | 14,960 | (52) | 15,012 | ||||
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.74% | Semi-Annual | N/A | 09/18/25 | CAD | 13,320 | (11,161) | (183) | (10,978) | ||||
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.75% | Semi-Annual | N/A | 09/18/25 | CAD | 13,000 | (7,596) | (184) | (7,412) | ||||
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.74% | Semi-Annual | N/A | 09/21/25 | CAD | 22,500 | (19,733) | (103) | (19,630) | ||||
3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | 0.74% | Semi-Annual | N/A | 09/21/25 | CAD | 22,500 | (17,098) | (208) | (16,890) | ||||
0.78% | Semi-Annual | 3-month Canadian Bankers Acceptances, 0.48% | Semi-Annual | N/A | 11/02/25 | CAD | 44,905 | (593) | 270 | (863) | ||||
28-day MXIBTIIE, 4.48% | Monthly | 5.04% | Monthly | N/A | 11/12/25 | MXN | 919,915 | 711,209 | (657) | 711,866 | ||||
2.91% | Semi-Annual | 3-month LIBOR, 0.24% | Quarterly | N/A | 08/23/26 | USD | 3,692 | (538,765) | (46) | (538,719) | ||||
2.93% | Semi-Annual | 3-month LIBOR, 0.24% | Quarterly | N/A | 08/24/28 | USD | 8,170 | (1,446,403) | 128 | (1,446,531) | ||||
3.16% | Semi-Annual | 3-month LIBOR, 0.24% | Quarterly | N/A | 10/03/28 | USD | 4,519 | (872,031) | 71 | (872,102) | ||||
0.68% | Semi-Annual | 3-month LIBOR, 0.24% | Quarterly | N/A | 09/23/30 | USD | 19,409 | 370,576 | — | 370,576 | ||||
3-month LIBOR, 0.24% | Quarterly | 0.67% | Semi-Annual | N/A | 09/23/30 | USD | 19,409 | (393,413) | — | (393,413) | ||||
$ 1,713,675 | $ (20,703) | $ 1,734,378 |
(a) | Forward Swap. |
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premiun Paid (Received) | Unrealized Appreciation (Depreciation) | |
DISH DBS Corp. | 5.00% | Quarterly | Goldman Sachs International | 12/20/23 | USD | 2,168 | $ (127,586) | $ 66,155 | $ (193,741) |
KB Home | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 2,138 | (241,182) | (106,344) | (134,838) |
Realogy Group LLC | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 1,069 | (74,383) | (6,216) | (68,167) |
RR Donnelley & Sons Co. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 1,070 | (16,850) | 32,154 | (49,004) |
Beazer Homes USA, Inc. | 5.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 1,199 | (117,023) | (55,433) | (61,590) |
Beazer Homes USA, Inc. | 5.00 | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 1,000 | (97,601) | (40,823) | (56,778) |
Beazer Homes USA, Inc. | 5.00 | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 1,103 | (107,654) | (48,590) | (59,064) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 1,000 | (76,419) | (8,147) | (68,272) |
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premiun Paid (Received) | Unrealized Appreciation (Depreciation) | |
Tenet Healthcare Corp. | 5.00% | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,175 | $ (93,352) | $ (29,366) | $ (63,986) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,150 | (91,366) | (28,741) | (62,625) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,175 | (93,351) | (29,391) | (63,960) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,223 | (93,461) | (12,053) | (81,408) |
Tenet Healthcare Corp. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/24 | USD | 500 | (39,724) | (4,770) | (34,954) |
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/24 | USD | 750 | (32,546) | 50,266 | (82,812) |
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/24 | USD | 1,680 | (69,148) | 111,563 | (180,711) |
Boeing Co. | 1.00 | Quarterly | BNP Paribas S.A. | 12/20/24 | USD | 2,250 | 15,390 | (35,563) | 50,953 |
Boeing Co. | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/24 | USD | 5,950 | 40,696 | (55,669) | 96,365 |
Broadcom, Inc. | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/24 | USD | 1,325 | (27,129) | 32,191 | (59,320) |
Occidental Petroleum Corp. | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 5,080 | 556,836 | 2,110,338 | (1,553,502) |
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/25 | USD | 2,540 | (96,145) | 281,301 | (377,446) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 20,679 | 412,407 | 1,254,806 | (842,399) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 15,020 | 299,543 | 853,810 | (554,267) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 3,770 | 75,185 | 197,499 | (122,314) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 3,770 | 75,185 | 202,532 | (127,347) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 3,320 | 66,210 | 178,357 | (112,147) |
Republic of Chile | 1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 5,147 | (142,018) | (67,201) | (74,817) |
Republic of Colombia | 1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 2,190 | (13,446) | 35,737 | (49,183) |
Republic of Colombia | 1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 2,190 | (13,446) | 37,797 | (51,243) |
Republic of Colombia | 1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 44,575 | (273,677) | 821,224 | (1,094,901) |
Republic of Colombia | 1.00 | Quarterly | Goldman Sachs International | 12/20/25 | USD | 7,980 | (48,995) | 141,229 | (190,224) |
Republic of Colombia | 1.00 | Quarterly | Goldman Sachs International | 12/20/25 | USD | 3,230 | (19,831) | 70,498 | (90,329) |
Republic of Colombia | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 1,300 | (7,981) | 21,820 | (29,801) |
Republic of Colombia | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 1,950 | (11,973) | 34,346 | (46,319) |
Republic of Indonesia | 1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 21,112 | (339,350) | 20,154 | (359,504) |
Republic of Indonesia | 1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 3,240 | (52,079) | 5,721 | (57,800) |
Republic of Indonesia | 1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 3,340 | (53,686) | 7,488 | (61,174) |
Republic of Indonesia | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | USD | 4,280 | (68,795) | 8,170 | (76,965) |
Republic of South Africa | 1.00 | Quarterly | Goldman Sachs International | 12/20/25 | USD | 8,596 | 414,048 | 773,784 | (359,736) |
Republic of South Africa | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 3,602 | 173,483 | 328,881 | (155,398) |
Republic of South Africa | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 29,970 | 1,443,575 | 2,736,658 | (1,293,083) |
Republic of South Africa | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 23,518 | 1,132,819 | 2,147,542 | (1,014,723) |
Republic of South Africa | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 10,860 | 523,106 | 967,616 | (444,510) |
Republic of the Philippines | 1.00 | Quarterly | Goldman Sachs International | 12/20/25 | USD | 11,217 | (363,703) | (251,413) | (112,290) |
Russian Federation | 1.00 | Quarterly | Bank of America N.A. | 12/20/25 | USD | 8,257 | (55,634) | 75,460 | (131,094) |
Russian Federation | 1.00 | Quarterly | Bank of America N.A. | 12/20/25 | USD | 9,137 | (61,566) | 63,098 | (124,664) |
Russian Federation | 1.00 | Quarterly | Bank of America N.A. | 12/20/25 | USD | 10,860 | (73,176) | 79,431 | (152,607) |
Russian Federation | 1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 3,718 | (25,054) | 23,637 | (48,691) |
United Mexican States | 1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 31,727 | (306,032) | 556,737 | (862,769) |
United Mexican States | 1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 3,610 | (34,821) | 53,379 | (88,200) |
United Mexican States | 1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 3,610 | (34,820) | 58,484 | (93,304) |
United Mexican States | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 3,640 | (35,111) | 59,826 | (94,937) |
CMBX.NA.9.AAA | 0.50 | Monthly | Credit Suisse International | 09/17/58 | USD | 4,539 | (61,067) | 51,010 | (112,077) |
CMBX.NA.9.AAA | 0.50 | Monthly | Deutsche Bank AG | 09/17/58 | USD | 3,620 | (48,692) | 41,262 | (89,954) |
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 2,530 | (34,030) | 28,427 | (62,457) |
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 3,050 | (41,025) | 34,269 | (75,294) |
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 5,569 | (74,920) | 68,669 | (143,589) |
CMBX.NA.9.BBB- | 3.00 | Monthly | Citigroup Global Markets, Inc. | 09/17/58 | USD | 2,080 | 246,172 | 70,227 | 175,945 |
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premiun Paid (Received) | Unrealized Appreciation (Depreciation) | |||
CMBX.NA.9.BBB- | 3.00% | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 204 | $ 24,144 | $ 11,277 | $ 12,867 | ||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 2,186 | (11,758) | 400 | (12,158) | ||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 5,311 | (28,571) | (1,630) | (26,941) | ||
CMBX.NA.6.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 05/11/63 | USD | 850 | 226,489 | 78,896 | 147,593 | ||
$ 1,895,111 | $ 14,102,776 | $ (12,207,665) |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
Broadcom, Inc. | 1.00% | Quarterly | Citigroup Global Markets, Inc. | 06/20/24 | BBB- | USD | 14,931 | $ 302,436 | $ (791,206) | $ 1,093,642 | ||
CMBX.NA.7.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 01/17/47 | AAA | USD | 4,963 | 46,617 | (140,050) | 186,667 | ||
CMBX.NA.3.AM | 0.50 | Monthly | Credit Suisse International | 12/13/49 | N/R | USD | —(a) | — | (10) | 10 | ||
CMBX.NA.3.AM | 0.50 | Monthly | Goldman Sachs International | 12/13/49 | N/R | USD | —(a) | — | (25) | 25 | ||
CMBX.NA.3.AM | 0.50 | Monthly | JPMorgan Chase Bank N.A. | 12/13/49 | N/R | USD | 1 | — | (50) | 50 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Deutsche Bank AG | 09/17/58 | N/R | USD | 906 | (107,227) | (103,562) | (3,665) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 09/17/58 | N/R | USD | 800 | (94,682) | (180,216) | 85,534 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | JPMorgan Chase Bank N.A. | 09/17/58 | N/R | USD | 438 | (51,838) | (36,933) | (14,905) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,000 | (118,352) | (263,117) | 144,765 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,060 | (125,453) | (51,173) | (74,280) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 231 | (27,340) | (13,407) | (13,933) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,200 | (142,022) | (1,487) | (140,535) | ||
CMBX.NA.10.A | 2.00 | Monthly | Deutsche Bank AG | 11/17/59 | A- | USD | 3,340 | (101,608) | (138,623) | 37,015 | ||
CMBX.NA.10.A | 2.00 | Monthly | Deutsche Bank AG | 11/17/59 | A- | USD | 1,670 | (50,804) | (70,476) | 19,672 | ||
CMBX.NA.10.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 11/17/59 | BBB- | USD | 60 | (7,378) | (4,927) | (2,451) | ||
CMBX.NA.6.BBB- | 3.00 | Monthly | Credit Suisse International | 05/11/63 | BB | USD | 850 | (226,489) | (63,890) | (162,599) | ||
$ (704,140) | $ (1,859,152) | $ 1,155,012 |
(a) | Notional amount is less than USD 500. |
Paid by the Fund | Received by the Fund | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||
Rate | Frequency | Rate | Frequency | |||||||||||
3.27% | Semi-Annual | 3-month LIBOR, 0.24% | Quarterly | Deutsche Bank AG | 05/16/21 | USD | 9,510 | $ (149,060) | $ — | $ (149,060) | ||||
28-day MXIBTIIE, 4.48% | Monthly | 6.33% | Monthly | Citibank N.A. | 06/09/25 | MXN | 14,869 | 52,025 | (54) | 52,079 | ||||
28-day MXIBTIIE, 4.48% | Monthly | 6.32% | Monthly | Goldman Sachs International | 08/06/25 | MXN | 109,616 | 386,896 | (301) | 387,197 | ||||
$ 289,861 | $ (355) | $ 290,216 |
Paid by the Fund | Received by the Fund | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||
Reference | Frequency | Rate | Frequency | |||||||||||
U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | (0.60)% | At Termination | Citibank N.A. | 04/15/21 | USD | 76,393 | $ (1,200,685) | $ — | $ (1,200,685) | ||||
0.27% | At Termination | U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | Citibank N.A. | 04/15/22 | USD | 76,394 | 2,044,501 | — | 2,044,501 | ||||
$ 843,816 | $ — | $ 843,816 |
Paid by the Fund | Received by the Fund | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||
Reference | Frequency | Rate | Frequency | |||||||||||
Antero Resources Corp. | At Termination | 3-month LIBOR minus 0.50%, 0.24% | At Termination | Citibank N.A. | 02/12/21 | USD | 2,597 | $ (834,569) | $ — | $ (834,569) | ||||
EQT Corp. | At Termination | 3-month LIBOR minus 0.15%, 0.24% | At Termination | Citibank N.A. | 02/12/21 | USD | 2,323 | 331,017 | — | 331,017 | ||||
3-month LIBOR, 0.24% | At Termination | Goldman Sachs Systematic Skew U.S. Series 10 Excess Return Strategy | At Termination | Goldman Sachs International | 09/09/21 | USD | 25 | 49 | — | 49 | ||||
ConocoPhillips | At Termination | 3-month LIBOR minus 0.30%, | At Termination | Credit Suisse International | 10/18/21 | USD | 2,340 | (373,780) | — | (373,780) | ||||
Choice Hotels International, Inc. | At Termination | 3-month LIBOR minus 0.20%, | At Termination | BNP Paribas S.A. | 11/15/21 | USD | 2,137 | (16,846) | — | (16,846) | ||||
$ (894,129) | $ — | $ (894,129) |
Level 1 | Level 2 | Level 3 | Total | ||||
Assets | |||||||
Investments | |||||||
Long-Term Investments | |||||||
Asset-Backed Securities | $ — | $ 2,092,984,316 | $ 130,308,589 | $ 2,223,292,905 | |||
Common Stocks | |||||||
Automobiles | — | 5,500,899 | — | 5,500,899 | |||
Capital Markets | — | 27,038,420 | — | 27,038,420 | |||
Diversified Financial Services | 12,652,913 | — | 1,085 | 12,653,998 | |||
Energy Equipment & Services | 809 | — | 282,626 | 283,435 | |||
Entertainment | 1,821,295 | — | — | 1,821,295 | |||
Equity Real Estate Investment Trusts (REITs) | 24,837,691 | — | — | 24,837,691 | |||
Health Care Providers & Services | 4,837,755 | — | — | 4,837,755 | |||
Hotels, Restaurants & Leisure | 178,292 | — | — | 178,292 | |||
Household Durables | 11,691,244 | — | — | 11,691,244 | |||
Independent Power and Renewable Electricity Producers | 2,752,164 | — | — | 2,752,164 | |||
Media | 2,918,035 | — | — | 2,918,035 | |||
Metals & Mining | 22,303 | — | — | 22,303 | |||
Oil, Gas & Consumable Fuels | 9,520,528 | 3,328,822 | — | 12,849,350 | |||
Real Estate Management & Development | 3,215,984 | — | — | 3,215,984 | |||
Corporate Bonds | — | 7,741,298,276 | 40,355,769 | 7,781,654,045 | |||
Floating Rate Loan Interests | — | 255,155,957 | 94,572,464 | 349,728,421 | |||
Foreign Agency Obligations | — | 164,355,626 | — | 164,355,626 | |||
Foreign Government Obligations | — | 1,510,122,562 | — | 1,510,122,562 | |||
Investment Companies | 153,986,957 | — | — | 153,986,957 | |||
Municipal Bonds | — | 146,644,223 | — | 146,644,223 | |||
Non-Agency Mortgage-Backed Securities | — | 1,197,173,606 | 20,349,374 | 1,217,522,980 | |||
Preferred Securities | — | 96,353,507 | — | 96,353,507 | |||
U.S. Government Sponsored Agency Securities | — | 12,257,851,957 | — | 12,257,851,957 | |||
U.S. Treasury Obligations | — | 1,954,955,872 | — | 1,954,955,872 | |||
Warrants | |||||||
Diversified Financial Services | 1,233,933 | — | 469,648 | 1,703,581 | |||
Oil, Gas & Consumable Fuels | 17,864 | 312,233 | — | 330,097 | |||
Real Estate Management & Development | 604 | — | — | 604 | |||
Short-Term Securities | |||||||
Money Market Funds | 813,395,262 | — | — | 813,395,262 | |||
Options Purchased | |||||||
Equity Contracts | 23,151,813 | 118,801 | — | 23,270,614 | |||
Foreign Currency Exchange Contracts | — | 30,325,259 | — | 30,325,259 | |||
Interest Rate Contracts | 11,280,188 | 3,731,575 | — | 15,011,763 | |||
Unfunded Floating Rate Loan Interests(a) | — | 4,937 | — | 4,937 | |||
Liabilities | |||||||
TBA Sale Commitments | — | (8,728,067,018) | — | (8,728,067,018) | |||
Unfunded Floating Rate Loan Interests (a) | — | — | (4,888) | (4,888) | |||
$ 1,077,515,634 | $ 18,759,189,830 | $ 286,334,667 | 20,123,040,131 | ||||
Investments Valued at NAV(b) | 85,684,068 | ||||||
$ 20,208,724,199 | |||||||
Derivative Financial Instruments(c) | |||||||
Assets | |||||||
Credit Contracts | $ — | $ 2,051,103 | $ — | $ 2,051,103 | |||
Equity Contracts | — | 331,066 | — | 331,066 | |||
Foreign Currency Exchange Contracts | — | 24,800,026 | — | 24,800,026 | |||
Interest Rate Contracts | 6,082,441 | 5,817,551 | — | 11,899,992 | |||
Other Contracts | — | 11,434,817 | — | 11,434,817 | |||
Liabilities | |||||||
Credit Contracts | — | (14,424,343) | — | (14,424,343) | |||
Equity Contracts | (9,107,564) | (834,569) | — | (9,942,133) | |||
Foreign Currency Exchange Contracts | — | (47,699,050) | — | (47,699,050) |
Level 1 | Level 2 | Level 3 | Total | ||||
Liabilities | |||||||
Interest Rate Contracts | $ (10,718,545) | $ (4,539,359) | $ — | $ (15,257,904) | |||
Other Contracts | — | (9,769,782) | — | (9,769,782) | |||
$ (13,743,668) | $ (32,832,540) | $ — | $ (46,576,208) |
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Certain investments of the Master Portfolio were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
Asset-Backed Securities | Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Non-Agency Mortgage-Backed Securities | |||||
Assets | |||||||||
Opening Balance, as of September 30, 2020 | $ 185,886,590 | $ 282,627 | $ 38,948,734 | $ 133,453,277 | $ 21,820,080 | ||||
Transfers into Level 3 | — | — | — | — | — | ||||
Transfers out of Level 3 | (60,863,666) | — | — | (25,597,932) | (1,789,186) | ||||
Accrued discounts/premiums | 53,099 | — | 56,592 | 17,821 | (17,335) | ||||
Net realized gain (loss) | 75,481 | (1) | (698,693) | 48,968 | 27,860 | ||||
Net change in unrealized appreciation (depreciation)(a) | 1,631,862 | — | 2,867,029 | 760,847 | 50,366 | ||||
Purchases | 6,737,405 | 3,298 | 107,821 | 1,998,285 | 3,258,111 | ||||
Sales | (3,212,182) | (2,213) | (925,714) | (16,108,802) | (3,000,522) | ||||
Closing Balance, as of December 31, 2020 | $ 130,308,589 | $ 283,711 | $ 40,355,769 | $ 94,572,464 | $ 20,349,374 | ||||
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(a) | $ 1,631,862 | $ — | $ 2,867,029 | $ 1,482,011 | $ 50,366 |
Warrants | Unfunded Floating Rate Loan Interests | Total | |||
Assets | |||||
Opening Balance, as of September 30, 2020 | $ — | $ (14,194) | $ 380,377,114 | ||
Transfers into Level 3 | — | — | — | ||
Transfers out of Level 3 | — | — | (88,250,784) | ||
Accrued discounts/premiums | — | — | 110,177 | ||
Net realized gain (loss) | — | — | (546,385) | ||
Net change in unrealized appreciation (depreciation)(a) | — | 9,306 | 5,319,410 | ||
Purchases | 469,648 | — | 12,574,568 | ||
Sales | — | — | (23,249,433) | ||
Closing Balance, as of December 31, 2020 | $ 469,648 | $ (4,888) | $ 286,334,667 | ||
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(a) | $ — | $ 9,306 | $ 6,040,574 |
(a) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
Credit Contracts | Foreign Currency Exchange Contracts | ||||||
Assets | Liabilities | Assets | Liabilities | ||||
Opening Balance, as of September 30, 2020 | $ 960,974 | $ — | $ — | $ (2) | |||
Transfers into Level 3 | — | — | — | — | |||
Transfers out of Level 3 | (960,974) | — | — | — | |||
Accrued discounts/premiums | — | — | — | — | |||
Net realized gain (loss) | — | — | — | — | |||
Net change in unrealized appreciation (depreciation)(a) | — | — | — | 2 | |||
Purchases | — | — | — | — | |||
Issues | — | — | — | — | |||
Sales | — | — | — | — | |||
Settlements | — | — | — | — | |||
Closing Balance, as of December 31, 2020 | $ — | $ — | $ — | $ — | |||
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(a) | $ — | $ — | $ — | $ — |
(a) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
Currency Abbreviation | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNH | Chinese Yuan Offshore |
CNY | Chinese Yuan |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
NOK | Norwegian Krone |
PEN | Peruvian Sol |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TRY | Turkish Lira |
TWD | Taiwan New Dollar |
USD | United States Dollar |
ZAR | South African Rand |
Portfolio Abbreviation | |
ABS | Asset-Backed Security |
ADR | American Depositary Receipt |
AKA | Also Known As |
CD | Certificate of Deposit |
CDO | Collateralized Debt Obligation |
CLO | Collateralized Loan Obligation |
CORRA | Canadian OvernightRepo Rate Average |
CVR | Contingent Value Rights |
DAC | Designated Activity Co. |
ETF | Exchange-Traded Fund |
EURIBOR | Euro Interbank Offered Rate |
FKA | Formally Known As |
GMTN | Global Medium-Term Note |
GO | General Obligation Bonds |
HFA | Housing Finance Agency |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
LP | Limited Partnership |
MTN | Medium-Term Note |
MXIBTIIE | Mexico Interbank TIIE 28-Day |
OTC | Over-the-Counter |
PIK | Payment-in-Kind |
RB | Revenue Bonds |
REMIC | Real Estate Mortgage Investment Conduit |
S&P | Standard & Poor’s |
SONIA | Sterling Overnight Index Average |
SPDR | Standard & Poor’s Depository Receipt |
TBA | To-be-Announced |