Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
CAD | 2,919,282 | USD | 2,154,968 | BNP Paribas | 2/8/24 | $49,317 | $ — |
CAD | 988,117 | USD | 727,645 | State Street Bank and Trust Company | 2/8/24 | 18,461 | — |
EUR | 2,439,041 | USD | 2,657,154 | State Street Bank and Trust Company | 2/8/24 | 39,227 | — |
EUR | 17,080,797 | USD | 18,399,315 | UBS AG | 2/8/24 | 483,657 | — |
EUR | 1,619,600 | USD | 1,734,538 | UBS AG | 2/8/24 | 55,944 | — |
EUR | 1,062,410 | USD | 1,144,662 | UBS AG | 2/8/24 | 29,842 | — |
USD | 2,973,690 | CAD | 4,064,351 | State Street Bank and Trust Company | 2/8/24 | — | (95,211) |
USD | 57,274,001 | EUR | 53,131,892 | UBS AG | 2/8/24 | — | (1,463,774) |
USD | 3,579,074 | GBP | 2,891,089 | Citibank, N.A. | 2/8/24 | — | (106,767) |
USD | 185,009 | SEK | 2,007,289 | JPMorgan Chase Bank, N.A. | 2/8/24 | — | (14,292) |
$676,448 | $(1,680,044) |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 446 | Long | 3/28/24 | $91,837,672 | $921,175 |
U.S. 5-Year Treasury Note | 340 | Long | 3/28/24 | 36,982,969 | 849,416 |
U.S. 10-Year Treasury Note | 403 | Long | 3/19/24 | 45,494,922 | 1,652,197 |
U.S. Long Treasury Bond | 249 | Long | 3/19/24 | 31,109,437 | 2,300,839 |
U.S. Ultra-Long Treasury Bond | 221 | Long | 3/19/24 | 29,524,219 | 2,630,361 |
U.S. Ultra 10-Year Treasury Note | (217) | Short | 3/19/24 | (25,609,391) | (959,105) |
$7,394,883 |
Description | Acquisition Date | Cost |
Calvert Impact Climate, Inc., Cut Carbon Notes, 5.50%, 12/15/53 | 10/18/23 | $1,000,000 |
Abbreviations: | |
OTC | – Over-the-counter |
Currency Abbreviations: | |
CAD | – Canadian Dollar |
EUR | – Euro |
GBP | – British Pound Sterling |
MXN | – Mexican Peso |
SEK | – Swedish Krona |
USD | – United States Dollar |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(1) | $1,676,693 | $ — | $ (1,700,000) | $ — | $23,307 | $ — | $ 5,242 | $ — |
Calvert Impact Climate, Inc., Cut Carbon Notes, 5.50%, 12/15/53(1) | — | 1,000,000 | — | — | — | 1,000,000 | 11,153 | 1,000,000 |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(2) | 78,920 | 77,910,490 | (51,582,659) | — | — | 26,406,751 | 131,811 | 26,406,751 |
Total | $ — | $23,307 | $27,406,751 | $148,206 |
(1) | Restricted security. |
(2) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $86,161,830 | $ — | $86,161,830 |
Commercial Mortgage-Backed Securities | — | 60,818,116 | — | 60,818,116 |
Corporate Bonds | — | 405,730,774 | — | 405,730,774 |
High Social Impact Investments | — | 1,000,000 | — | 1,000,000 |
Preferred Stocks | 8,762,920 | — | — | 8,762,920 |
Sovereign Government Bonds | — | 48,610,055 | — | 48,610,055 |
Taxable Municipal Obligations | — | 11,619,102 | — | 11,619,102 |
U.S. Government Agencies and Instrumentalities | — | 7,295,231 | — | 7,295,231 |
U.S. Government Agency Mortgage-Backed Securities | — | 70,335,221 | — | 70,335,221 |
Short-Term Investments: | ||||
Affiliated Fund | 26,406,751 | — | — | 26,406,751 |
Securities Lending Collateral | 7,944,994 | — | — | 7,944,994 |
Total Investments | $43,114,665 | $691,570,329 | $ — | $734,684,994 |
Forward Foreign Currency Exchange Contracts | $ — | $676,448 | $ — | $676,448 |
Futures Contracts | 8,353,988 | — | — | 8,353,988 |
Total | $51,468,653 | $692,246,777 | $ — | $743,715,430 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $(1,680,044) | $ — | $(1,680,044) |
Futures Contracts | (959,105) | — | — | (959,105) |
Total | $(959,105) | $(1,680,044) | $ — | $(2,639,149) |