Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 2 | $ 204,150 | $ (60) | ||||
MSCI Emerging Markets | 12/2023 | 1 | 47,775 | — | ||||
S&P 500® E-Mini | 12/2023 | 4 | 865,100 | 237 | ||||
10-Year U.S. Treasury Note | 12/2023 | 1 | 108,063 | 16 | ||||
Total Futures Contracts outstanding at September 30, 2023 | $1,225,088 | $193 |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 21 | $ 2,143,575 | $ (28,605) | ||||
MSCI Emerging Markets | 12/2023 | 18 | 859,950 | (13,135) | ||||
S&P 500® E-Mini | 12/2023 | 21 | 4,541,775 | (86,447) | ||||
10-Year U.S. Treasury Note | 12/2023 | 8 | 864,500 | (8,290) | ||||
U.S. Treasury Long Bond | 12/2023 | 7 | 796,469 | (17,938) | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | 7 | 780,938 | (2,766) | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | 5 | 593,438 | (17,406) | ||||
2-Year U.S. Treasury Note | 12/2023 | 9 | 1,824,398 | (2,693) | ||||
5-Year U.S. Treasury Note | 12/2023 | 17 | 1,791,109 | (5,281) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $14,196,152 | $(182,561) |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 24 | $ 2,449,800 | $ (27,827) | ||||
MSCI Emerging Markets | 12/2023 | 21 | 1,003,275 | (9,713) | ||||
S&P 500® E-Mini | 12/2023 | 23 | 4,974,325 | (75,080) | ||||
10-Year U.S. Treasury Note | 12/2023 | 3 | 324,188 | (172) | ||||
U.S. Treasury Long Bond | 12/2023 | 2 | 227,563 | (1,438) | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | 2 | 223,125 | (3,059) | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | 2 | 237,375 | (7,411) | ||||
2-Year U.S. Treasury Note | 12/2023 | 3 | 608,133 | 125 | ||||
5-Year U.S. Treasury Note | 12/2023 | 6 | 632,156 | (951) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $10,679,940 | $(125,526) |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 18 | $1,837,350 | $ (41,205) | ||||
MSCI Emerging Markets | 12/2023 | 17 | 812,175 | (16,409) | ||||
S&P 500® E-Mini | 12/2023 | 20 | 4,325,500 | (95,853) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $6,975,025 | $(153,467) |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 12/2023 | (25) | $ (3,059,417) | $ 31,509 | ||||
Euro-Bund | 12/2023 | (2) | (272,009) | 7,746 | ||||
Euro-Schatz | 12/2023 | (25) | (2,775,017) | 7,539 | ||||
10-Year Japanese Treasury Bond | 12/2023 | (3) | (2,910,064) | 26,235 | ||||
10-Year U.S. Treasury Note | 12/2023 | 9 | 972,562 | 3,493 | ||||
U.S. Treasury Long Bond | 12/2023 | (21) | (2,389,406) | 136,826 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | (284) | (31,683,751) | 783,576 | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | (17) | (2,017,688) | 141,910 | ||||
2-Year U.S. Treasury Note | 12/2023 | 1,732 | 351,095,344 | (1,060,874) | ||||
5-Year U.S. Treasury Note | 12/2023 | (676) | (71,222,937) | 559,463 | ||||
3-Month CME SOFR | 03/2025 | (110) | (26,237,750) | 82,746 | ||||
Total Futures Contracts outstanding at September 30, 2023 | $209,499,867 | $ 720,169 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/03/23 | U.S. Dollars | 7,024,707 | British Pounds | 5,584,000 | HSBC | $211,538 | ||||||
11/06/23 | U.S. Dollars | 2,843,706 | Japanese Yen | 400,000,000 | BAR | 149,665 | ||||||
12/20/23 | U.S. Dollars | 5,573,281 | Euro | 5,202,329 | UBS | 51,150 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | U.S. Dollars | 3,181,510 | Euro | 2,968,671 | TD | $ 30,347 | ||||||
12/20/23 | U.S. Dollars | 647,740 | Euro | 600,000 | WB | 10,856 | ||||||
10/27/23 | U.S. Dollars | 1,111,566 | Canadian Dollars | 1,500,000 | HSBC | 6,777 | ||||||
11/02/23 | U.S. Dollars | 1,278,569 | Canadian Dollars | 1,728,171 | HSBC | 5,618 | ||||||
11/15/23 | U.S. Dollars | 137,448 | Australian Dollars | 209,000 | UBS | 2,853 | ||||||
10/03/23 | U.S. Dollars | 1,654,225 | Canadian Dollars | 2,242,881 | UBS | 2,852 | ||||||
12/20/23 | U.S. Dollars | 328,083 | Canadian Dollars | 442,000 | TD | 2,223 | ||||||
Subtotal Appreciation | $ 473,879 | |||||||||||
11/02/23 | Japanese Yen | 185,421,225 | U.S. Dollars | 1,249,517 | MSCS | $ (1,432) | ||||||
11/15/23 | Australian Dollars | 1,681,000 | U.S. Dollars | 1,084,721 | BAR | (2,167) | ||||||
10/03/23 | Canadian Dollars | 514,000 | U.S. Dollars | 380,699 | JPM | (2,255) | ||||||
11/02/23 | Japanese Yen | 293,123,479 | U.S. Dollars | 1,980,900 | DEUT | (7,863) | ||||||
10/03/23 | British Pounds | 1,086,000 | U.S. Dollars | 1,335,066 | BAR | (10,012) | ||||||
11/02/23 | U.S. Dollars | 5,471,749 | British Pounds | 4,498,000 | BNP | (17,390) | ||||||
10/03/23 | Japanese Yen | 200,888,732 | U.S. Dollars | 1,383,303 | UBS | (38,294) | ||||||
10/03/23 | Japanese Yen | 279,447,178 | U.S. Dollars | 1,918,421 | HSBC | (47,441) | ||||||
Subtotal Depreciation | $(126,854) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $ 347,025 |
Reference Obligation | Fixed
Deal (Pay) Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.NA.IG.41 Index (Pay Quarterly) | (1.00)% | 12/20/2028 | USD | 28,290,000 | $(353,632) | $(378,769) | $25,137 | |||||||
Subtotal Appreciation | $(353,632) | $(378,769) | $25,137 | |||||||||||
Markit CDX.NA.IG.40 Index (Pay Quarterly) | (1.00)% | 6/20/2028 | USD | 900,000 | $ (12,374) | $ (4,983) | $ (7,391) | |||||||
Subtotal Depreciation | $ (12,374) | $ (4,983) | $ (7,391) | |||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection outstanding at September 30, 2023 | $(366,006) | $(383,752) | $17,746 |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
6-Month ASX BBSW (Semiannually) | 4.50% (Semiannually) | 9/20/2033 | AUD | 4,300,000 | $(55,281) | $(25,829) | $(29,452) | |||||||
$(55,281) | $(25,829) | $(29,452) |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 12/2023 | (11) | $ (1,423,016) | $ 108,326 | ||||
Euro-Bobl | 12/2023 | (72) | (8,811,122) | 20,743 | ||||
Euro-Bund | 12/2023 | (195) | (26,520,907) | 623,085 | ||||
Euro-OAT | 12/2023 | 26 | 3,386,584 | (85,275) | ||||
10-Year Japanese Treasury Bond | 12/2023 | (23) | (22,310,492) | 169,499 | ||||
10-Year U.S. Treasury Note | 12/2023 | (473) | (51,113,563) | 940,402 | ||||
U.S. Treasury Long Bond | 12/2023 | (416) | (47,333,000) | 2,628,750 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | 73 | 8,144,062 | (620,031) | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | 740 | 87,828,751 | (3,856,968) | ||||
Long GILT | 12/2023 | 25 | 2,872,115 | 12,427 | ||||
2-Year U.S. Treasury Note | 12/2023 | 449 | 91,017,211 | (202,347) | ||||
5-Year U.S. Treasury Note | 12/2023 | 617 | 65,006,734 | (455,441) | ||||
3-Month CME SOFR | 03/2024 | (221) | (52,238,875) | 351,005 | ||||
3-Month SONIA Index | 12/2024 | 53 | 15,345,885 | 180,086 | ||||
3-Month CME SOFR | 03/2025 | 159 | 37,925,475 | (164,271) | ||||
3-Month CME SOFR | 03/2026 | 397 | 95,324,662 | (46,118) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $197,100,504 | $ (396,128) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/30/23 | U.S. Dollars | 32,634,927 | Japanese Yen | 4,510,000,000 | HSBC | $2,291,385 | ||||||
10/03/23 | U.S. Dollars | 19,638,736 | British Pounds | 15,611,000 | HSBC | 591,390 | ||||||
10/03/23 | U.S. Dollars | 14,068,444 | Euro | 13,012,000 | HSBC | 309,752 | ||||||
10/20/23 | U.S. Dollars | 4,210,593 | British Pounds | 3,256,669 | GSC | 236,625 | ||||||
10/20/23 | U.S. Dollars | 4,801,377 | Chinese Offshore Yuan | 34,310,131 | GSC | 96,244 | ||||||
12/20/23 | U.S. Dollars | 5,999,017 | Euro | 5,572,175 | BNP | 84,304 | ||||||
12/20/23 | U.S. Dollars | 3,256,797 | British Pounds | 2,614,393 | CITI | 65,036 | ||||||
01/03/24 | U.S. Dollars | 14,803,498 | Brazilian Reals | 75,000,000 | GSC | 56,085 | ||||||
11/27/23 | U.S. Dollars | 1,936,927 | Japanese Yen | 279,000,000 | BAR | 51,935 | ||||||
12/20/23 | U.S. Dollars | 2,407,044 | Taiwan Dollars | 76,048,927 | JPM | 35,486 | ||||||
12/20/23 | U.S. Dollars | 2,219,233 | Japanese Yen | 321,884,136 | MSCS | 35,219 | ||||||
12/20/23 | U.S. Dollars | 1,628,608 | British Pounds | 1,306,753 | BNP | 33,269 | ||||||
10/17/23 | U.S. Dollars | 827,328 | South African Rand | 15,066,222 | DEUT | 32,810 | ||||||
10/20/23 | Norwegian Kroner | 26,657,844 | Euro | 2,329,132 | GSC | 29,028 | ||||||
11/02/23 | U.S. Dollars | 13,356,916 | Euro | 12,589,000 | BNP | 28,434 | ||||||
11/02/23 | U.S. Dollars | 6,463,979 | Canadian Dollars | 8,737,004 | HSBC | 28,402 | ||||||
10/20/23 | U.S. Dollars | 4,446,206 | Mexican Pesos | 77,271,504 | GSC | 27,761 | ||||||
12/20/23 | U.S. Dollars | 1,786,700 | Euro | 1,662,132 | MSCS | 22,392 | ||||||
10/20/23 | U.S. Dollars | 1,981,660 | Indonesian Rupiahs | 30,380,036,210 | CITI | 18,502 | ||||||
12/20/23 | U.S. Dollars | 1,249,064 | South Korean Won | 1,657,492,802 | MSCS | 18,213 | ||||||
10/03/23 | U.S. Dollars | 559,334 | Brazilian Reals | 2,721,721 | GSC | 18,101 | ||||||
12/20/23 | Euro | 1,282,000 | Swiss Francs | 1,217,714 | SS | 17,933 | ||||||
10/16/23 | U.S. Dollars | 1,057,106 | Euro | 983,000 | BAR | 17,123 | ||||||
10/03/23 | U.S. Dollars | 465,794 | Danish Kroner | 3,186,657 | BNP | 13,998 | ||||||
11/20/23 | U.S. Dollars | 1,081,005 | Taiwan Dollars | 34,260,291 | BAR | 13,882 | ||||||
12/20/23 | U.S. Dollars | 1,383,000 | Swiss Francs | 1,241,628 | SS | 13,752 | ||||||
12/20/23 | Norwegian Kroner | 7,251,389 | British Pounds | 546,000 | UBS | 12,909 | ||||||
12/20/23 | Euro | 1,256,000 | Swiss Francs | 1,197,625 | DEUT | 12,489 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | U.S. Dollars | 1,380,393 | Euro | 1,289,000 | DEUT | $ 12,154 | ||||||
10/03/23 | U.S. Dollars | 6,446,577 | Canadian Dollars | 8,740,592 | UBS | 11,115 | ||||||
12/20/23 | U.S. Dollars | 499,923 | Peruvian Nuevo Soles | 1,860,813 | BNP | 10,790 | ||||||
12/20/23 | Canadian Dollars | 1,853,000 | Swiss Francs | 1,230,851 | SS | 8,741 | ||||||
03/26/24 | U.S. Dollars | 3,065,826 | Chinese Offshore Yuan | 22,091,732 | DEUT | 7,527 | ||||||
12/20/23 | U.S. Dollars | 520,781 | Taiwan Dollars | 16,463,971 | BAR | 7,358 | ||||||
12/20/23 | U.S. Dollars | 468,205 | South Korean Won | 620,990,724 | BNP | 7,059 | ||||||
12/20/23 | Australian Dollars | 3,824,000 | Swiss Francs | 2,229,606 | CITI | 7,027 | ||||||
12/06/23 | U.S. Dollars | 515,406 | Euro | 481,185 | CITI | 5,107 | ||||||
10/17/23 | U.S. Dollars | 259,564 | South African Rand | 4,837,289 | GSC | 4,469 | ||||||
10/20/23 | U.S. Dollars | 110,125 | Euro | 100,000 | GSC | 4,310 | ||||||
12/20/23 | U.S. Dollars | 278,454 | South Korean Won | 369,274,329 | DEUT | 4,232 | ||||||
12/20/23 | Swedish Kronor | 2,167,281 | U.S. Dollars | 195,418 | SS | 3,807 | ||||||
12/20/23 | Canadian Dollars | 933,500 | Swiss Francs | 620,678 | CITI | 3,740 | ||||||
11/02/23 | Australian Dollars | 547,293 | U.S. Dollars | 349,157 | BAR | 3,155 | ||||||
12/20/23 | U.S. Dollars | 186,717 | South Korean Won | 247,358,947 | UBS | 3,029 | ||||||
03/26/24 | U.S. Dollars | 804,536 | Chinese Offshore Yuan | 5,790,254 | BNP | 2,954 | ||||||
11/02/23 | Australian Dollars | 1,553,626 | U.S. Dollars | 997,541 | MSCS | 2,582 | ||||||
12/20/23 | U.S. Dollars | 1,076,765 | Euro | 1,012,000 | CITI | 2,554 | ||||||
10/20/23 | U.S. Dollars | 363,786 | Canadian Dollars | 490,925 | CITI | 2,243 | ||||||
11/02/23 | U.S. Dollars | 200,866 | Canadian Dollars | 269,701 | BAR | 2,208 | ||||||
12/20/23 | U.S. Dollars | 164,003 | Taiwan Dollars | 5,189,721 | MSCS | 2,164 | ||||||
10/03/23 | Australian Dollars | 1,379,748 | U.S. Dollars | 885,083 | UBS | 2,126 | ||||||
03/26/24 | U.S. Dollars | 948,756 | Chinese Offshore Yuan | 6,842,062 | MSCS | 1,566 | ||||||
10/17/23 | South African Rand | 2,916,149 | U.S. Dollars | 152,218 | GSC | 1,565 | ||||||
12/20/23 | Indian Rupees | 53,387,181 | U.S. Dollars | 638,851 | JPM | 969 | ||||||
03/26/24 | U.S. Dollars | 820,714 | Chinese Offshore Yuan | 5,921,616 | GSC | 947 | ||||||
12/20/23 | New Zealand Dollars | 1,125,653 | Australian Dollars | 1,045,000 | UBS | 844 | ||||||
10/16/23 | U.S. Dollars | 100,000 | Taiwan Dollars | 3,201,164 | BNP | 511 | ||||||
12/20/23 | U.S. Dollars | 516,818 | British Pounds | 423,067 | BOA | 320 | ||||||
12/20/23 | Australian Dollars | 43,183 | U.S. Dollars | 27,746 | MSCS | 99 | ||||||
11/06/23 | U.S. Dollars | 102,639 | South Korean Won | 138,471,194 | BNP | 54 | ||||||
12/20/23 | U.S. Dollars | 1,194 | Taiwan Dollars | 37,740 | BNP | 17 | ||||||
10/20/23 | British Pounds | 498,801 | U.S. Dollars | 608,652 | CITI | 13 | ||||||
Subtotal Appreciation | $4,339,815 | |||||||||||
12/20/23 | South Korean Won | 234,918 | U.S. Dollars | 177 | UBS | $ (3) | ||||||
11/06/23 | U.S. Dollars | 97,361 | South Korean Won | 131,449,515 | BNP | (22) | ||||||
10/31/23 | Indonesian Rupiahs | 1,548,092,200 | U.S. Dollars | 100,000 | BNP | (29) | ||||||
10/16/23 | U.S. Dollars | 28,393 | Mexican Pesos | 496,839 | GSC | (37) | ||||||
11/21/23 | U.S. Dollars | 117,357 | South African Rand | 2,233,593 | MSCS | (58) | ||||||
12/20/23 | U.S. Dollars | 27,731 | Australian Dollars | 43,183 | SS | (114) | ||||||
10/20/23 | Chinese Offshore Yuan | 6,639,109 | U.S. Dollars | 910,581 | CITI | (125) | ||||||
10/20/23 | U.S. Dollars | 2,126,516 | Japanese Yen | 316,667,959 | CITI | (202) | ||||||
03/20/24 | Indonesian Rupiahs | 1,542,319,310 | U.S. Dollars | 99,801 | BAR | (390) | ||||||
03/20/24 | Indonesian Rupiahs | 1,458,066,897 | U.S. Dollars | 94,563 | GSC | (582) | ||||||
10/03/23 | Australian Dollars | 351,278 | U.S. Dollars | 226,672 | MSCS | (792) | ||||||
10/20/23 | Euro | 459,327 | Norwegian Kroner | 5,206,753 | CITI | (1,007) | ||||||
11/02/23 | U.S. Dollars | 450,411 | Danish Kroner | 3,180,755 | JPM | (1,273) | ||||||
10/03/23 | Australian Dollars | 369,893 | U.S. Dollars | 239,184 | UBS | (1,334) | ||||||
12/20/23 | U.S. Dollars | 1,227,053 | Norwegian Kroner | 13,111,339 | DEUT | (1,539) | ||||||
03/20/24 | Indonesian Rupiahs | 3,078,058,794 | U.S. Dollars | 199,982 | DEUT | (1,582) | ||||||
12/20/23 | Euro | 1,296,000 | Japanese Yen | 202,992,078 | DEUT | (1,651) | ||||||
12/20/23 | U.S. Dollars | 590,270 | Euro | 558,284 | JPM | (2,333) | ||||||
10/03/23 | U.S. Dollars | 996,496 | Australian Dollars | 1,553,626 | MSCS | (2,521) | ||||||
12/20/23 | U.S. Dollars | 416,927 | New Zealand Dollars | 700,106 | CITI | (2,696) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | Japanese Yen | 200,495,274 | U.S. Dollars | 1,364,000 | BNP | $ (3,621) | ||||||
10/20/23 | Australian Dollars | 150,776 | U.S. Dollars | 100,640 | GSC | (3,625) | ||||||
11/03/23 | Brazilian Reals | 2,985,407 | U.S. Dollars | 594,691 | MSCS | (3,629) | ||||||
12/20/23 | Indian Rupees | 182,482,873 | U.S. Dollars | 2,190,758 | JPM | (3,788) | ||||||
12/20/23 | Canadian Dollars | 712,100 | U.S. Dollars | 528,911 | SS | (3,923) | ||||||
11/01/23 | Mexican Pesos | 5,048,000 | U.S. Dollars | 292,295 | GSC | (4,249) | ||||||
10/03/23 | Euro | 423,000 | U.S. Dollars | 451,599 | BNP | (4,326) | ||||||
03/20/24 | Indonesian Rupiahs | 6,126,385,905 | U.S. Dollars | 399,764 | BNP | (4,882) | ||||||
12/20/23 | U.S. Dollars | 1,379,090 | Euro | 1,304,000 | UBS | (5,071) | ||||||
12/20/23 | Canadian Dollars | 942,627 | U.S. Dollars | 701,000 | UBS | (6,058) | ||||||
12/20/23 | U.S. Dollars | 1,317,609 | New Zealand Dollars | 2,210,000 | SS | (7,000) | ||||||
12/20/23 | Norwegian Kroner | 13,778,595 | U.S. Dollars | 1,298,123 | UBS | (7,006) | ||||||
12/20/23 | Japanese Yen | 201,469,757 | U.S. Dollars | 1,374,000 | CITI | (7,009) | ||||||
12/20/23 | Canadian Dollars | 1,521,321 | British Pounds | 925,000 | CITI | (7,701) | ||||||
12/20/23 | U.S. Dollars | 677,783 | New Zealand Dollars | 1,146,000 | UBS | (9,095) | ||||||
12/20/23 | U.S. Dollars | 1,245,210 | Australian Dollars | 1,945,629 | DEUT | (9,374) | ||||||
11/09/23 | Mexican Pesos | 14,375,712 | U.S. Dollars | 828,814 | UBS | (9,637) | ||||||
12/20/23 | U.S. Dollars | 1,800,771 | Canadian Dollars | 2,455,971 | MSCS | (9,867) | ||||||
12/20/23 | Australian Dollars | 3,252,000 | U.S. Dollars | 2,109,231 | UBS | (12,270) | ||||||
03/20/24 | Indonesian Rupiahs | 25,129,912,037 | U.S. Dollars | 1,632,682 | MSCS | (12,908) | ||||||
12/20/23 | British Pounds | 544,000 | U.S. Dollars | 678,490 | UBS | (14,352) | ||||||
12/20/23 | Japanese Yen | 199,521,712 | U.S. Dollars | 1,375,000 | UBS | (21,227) | ||||||
12/20/23 | Euro | 1,280,000 | U.S. Dollars | 1,381,244 | JPM | (22,559) | ||||||
12/20/23 | Japanese Yen | 97,903,811 | New Zealand Dollars | 1,146,000 | UBS | (22,592) | ||||||
12/20/23 | U.S. Dollars | 1,318,766 | Swedish Kronor | 14,632,466 | MSCS | (26,305) | ||||||
10/03/23 | Brazilian Reals | 2,718,141 | U.S. Dollars | 569,340 | DEUT | (28,818) | ||||||
10/17/23 | South African Rand | 9,647,537 | U.S. Dollars | 540,908 | BNP | (32,145) | ||||||
10/20/23 | Indonesian Rupiahs | 29,921,033,357 | U.S. Dollars | 1,967,415 | CITI | (33,918) | ||||||
11/03/23 | Brazilian Reals | 20,718,950 | U.S. Dollars | 4,145,872 | GSC | (43,856) | ||||||
10/20/23 | Canadian Dollars | 2,434,002 | U.S. Dollars | 1,838,703 | GSC | (46,178) | ||||||
12/20/23 | Japanese Yen | 454,029,307 | U.S. Dollars | 3,133,486 | MSCS | (52,855) | ||||||
12/20/23 | U.S. Dollars | 3,217,256 | New Zealand Dollars | 5,468,187 | RBC | (60,214) | ||||||
11/02/23 | U.S. Dollars | 18,990,547 | British Pounds | 15,611,000 | BNP | (60,356) | ||||||
10/20/23 | Mexican Pesos | 57,494,852 | U.S. Dollars | 3,348,858 | GSC | (61,257) | ||||||
12/14/23 | Mexican Pesos | 63,260,202 | U.S. Dollars | 3,646,523 | GSC | (63,230) | ||||||
12/20/23 | Swiss Francs | 3,482,146 | U.S. Dollars | 3,943,191 | UBS | (103,138) | ||||||
12/20/23 | Swiss Francs | 3,529,967 | U.S. Dollars | 3,997,173 | MSCS | (104,382) | ||||||
10/20/23 | Euro | 2,426,394 | U.S. Dollars | 2,680,353 | GSC | (112,867) | ||||||
11/15/23 | Japanese Yen | 1,224,901,981 | U.S. Dollars | 8,642,473 | UBS | (381,534) | ||||||
10/20/23 | Japanese Yen | 1,575,752,510 | U.S. Dollars | 11,359,599 | GSC | (776,968) | ||||||
Subtotal Depreciation | $(2,222,080) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $ 2,117,735 |
Reference Obligation | Implied
Credit Spread |
Fixed
Deal Receive Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection | ||||||||||||||||
Devon Energy Corporation 7.95% due 4/15/32 (Receive Quarterly) | 0.64% | 1.00% | 6/20/2026 | USD | 2,800,000 | $ 26,698 | $ (26,054) | $ 52,752 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.41% | 1.00% | 6/20/2026 | USD | 2,100,000 | 31,982 | 11,126 | 20,856 |
Reference Obligation | Implied
Credit Spread |
Fixed
Deal Receive Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
The Boeing Company, 2.6% due 10/30/25 (Receive Quarterly) | 0.60% | 1.00% | 6/20/2026 | USD | 2,400,000 | $ 25,274 | $ (17,161) | $ 42,435 | ||||||||
General Electric Co, 2.7% due 10/9/22 (Receive Quarterly) | 0.46% | 1.00% | 12/20/2026 | USD | 2,600,000 | 42,912 | 29,130 | 13,782 | ||||||||
British Telecommunications 5.75% due 12/7/28 (Receive Quarterly) | 0.92% | 1.00% | 6/20/2028 | EUR | 2,000,000 | 7,898 | (11,393) | 19,291 | ||||||||
General Motors Co., 4.2% due 10/1/27 (Receive Quarterly) | 1.73% | 5.00% | 6/20/2028 | USD | 995,000 | 134,144 | 119,736 | 14,408 | ||||||||
Verizon Communications, 4.125% due 3/16/27 (Receive Quarterly) | 1.02% | 1.00% | 6/20/2028 | USD | 1,400,000 | (695) | (4,067) | 3,372 | ||||||||
British Telecommunications 5.75% due 12/7/28 (Receive Quarterly) | 1.02% | 1.00% | 12/20/2028 | EUR | 2,000,000 | (1,494) | (23,988) | 22,494 | ||||||||
Subtotal Appreciation | $266,719 | $ 77,329 | $189,390 | |||||||||||||
The Boeing Company, 8.75% due 8/15/21 (Receive Quarterly) | 0.36% | 1.00% | 6/20/2024 | USD | 475,000 | $ 2,314 | $ 11,966 | $ (9,652) | ||||||||
General Electric Co, 2.7% due 10/9/22 (Receive Quarterly) | 0.41% | 1.00% | 6/20/2026 | USD | 1,100,000 | 16,752 | 17,601 | (849) | ||||||||
General Motors Co., 4.88% due 10/2/23 (Receive Quarterly) | 1.20% | 5.00% | 12/20/2026 | USD | 870,000 | 98,359 | 175,392 | (77,033) | ||||||||
Republic of Chile, 3.24% 2/6/2028 (Receive Quarterly) | 0.73% | 1.00% | 12/20/2028 | USD | 1,470,000 | 18,813 | 24,766 | (5,953) | ||||||||
Republic of Indonesia, 4.125% 1/15/2025 (Receive Quarterly) | 0.93% | 1.00% | 12/20/2028 | USD | 1,470,000 | 5,270 | 10,180 | (4,910) | ||||||||
Republic of Peru, 8.75% due 11/21/2033 (Receive Quarterly) | 0.85% | 1.00% | 12/20/2028 | USD | 290,000 | 2,048 | 2,352 | (304) | ||||||||
Verizon Communications, 4.125% due 3/16/27 (Receive Quarterly) | 1.07% | 1.00% | 12/20/2028 | USD | 300,000 | (906) | (746) | (160) | ||||||||
Subtotal Depreciation | $142,650 | $241,511 | $ (98,861) | |||||||||||||
Net
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at September 30, 2023 |
$409,369 | $318,840 | $ 90,529 |
Reference Obligation | Fixed
Deal (Pay) Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.NA.IG.41 Index (Pay Quarterly) | (1.00)% | 12/20/2028 | USD | 11,200,000 | $(140,003) | $(142,791) | $ 2,788 | |||||||
Subtotal Appreciation | $(140,003) | $(142,791) | $ 2,788 | |||||||||||
Markit CDX.NA.IG.38 Index (Pay Quarterly) | (5.00)% | 6/20/2027 | USD | 14,700,000 | $(457,435) | $ 127,251 | $(584,686) | |||||||
iTraxx Europe & Crossover Series 38 (Pay Quarterly) | (1.00)% | 12/20/2027 | EUR | 2,900,000 | (41,357) | (26,751) | (14,606) | |||||||
Markit CDX.NA.HY.40 Index (Pay Quarterly) | (5.00)% | 6/20/2028 | USD | 2,400,000 | (44,198) | 10,990 | (55,188) | |||||||
Markit CDX.NA.IG.40 Index (Pay Quarterly) | (1.00)% | 6/20/2028 | USD | 2,600,000 | (35,746) | (14,395) | (21,351) | |||||||
Markit CDX.NA.HY.41 Index (Pay Quarterly) | (5.00)% | 12/20/2028 | USD | 830,000 | (9,005) | (6,093) | (2,912) | |||||||
Subtotal Depreciation | $(587,741) | $ 91,002 | $(678,743) | |||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection outstanding at September 30, 2023 | $(727,744) | $ (51,789) | $(675,955) |
Reference Obligation | Implied
Credit Spread |
Fixed
Deal Receive Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.39% | 1.00% | 6/20/2025 | USD | 22,475,000 | $233,553 | $232,086 | $ 1,467 | ||||||||
Subtotal Appreciation | $233,553 | $232,086 | $ 1,467 | |||||||||||||
Markit CDX.NA.IG.36 Index (Receive Quarterly) | 0.48% | 1.00% | 6/20/2026 | USD | 1,800,000 | $ 24,378 | $ 41,673 | $(17,295) | ||||||||
Markit CDX.NA.IG.40 Index (Receive Quarterly) | 0.68% | 1.00% | 6/20/2028 | USD | 24,854,158 | 341,709 | 386,157 | (44,448) | ||||||||
Markit CDX.NA.IG.41 Index (Receive Quarterly) | 0.73% | 1.00% | 12/20/2028 | USD | 17,046,700 | 213,088 | 220,496 | (7,408) | ||||||||
Subtotal Depreciation | $579,175 | $648,326 | $(69,151) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection outstanding at September 30, 2023 | $812,728 | $880,412 | $(67,684) |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day SOFR (Quarterly) | 1.27% (Semiannually) | 11/4/2023 | USD | 19,300,000 | $ (157,571) | $ (396,268) | $ 238,697 | |||||||
12.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 6,874,848 | 8,528 | — | 8,528 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 13.95% (Upon termination) | 1/2/2024 | BRL | 2,795,216 | 4,174 | (457) | 4,631 | |||||||
5.41% (Upon termination) | 1-Day US Federal Fund Effective Rate (Upon termination) | 1/31/2024 | USD | 118,167,000 | 4,336 | — | 4,336 | |||||||
4.27% (Annually) | 1-Day SOFR (Annually) | 9/13/2024 | USD | 1,500,000 | 17,172 | — | 17,172 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.23% (Upon termination) | 1/2/2025 | BRL | 72,980,941 | 9,471 | — | 9,471 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.06% (Upon termination) | 1/2/2025 | BRL | 10,122,091 | 4,689 | (10,009) | 14,698 | |||||||
9.75% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/17/2025 | MXN | 71,480,000 | 42,184 | 15,470 | 26,714 | |||||||
1-Day ESTR (Annually) | 3.50% (Annually) | 12/20/2025 | EUR | 40,390,000 | (58,634) | (112,117) | 53,483 | |||||||
1-Day SONIA (Annually) | 5.25% (Annually) | 12/20/2025 | GBP | 19,690,000 | 80,369 | 48,087 | 32,282 | |||||||
3-Month ASX BBSW (Quarterly) | 4.00% (Quarterly) | 12/20/2025 | AUD | 58,920,000 | 213,101 | 165,537 | 47,564 | |||||||
3-Month JIBAR (Quarterly) | 7.75% (Quarterly) | 12/20/2025 | ZAR | 41,430,000 | 28,820 | 12,160 | 16,660 | |||||||
3-Month KWCDC (Quarterly) | 3.75% (Quarterly) | 12/20/2025 | KRW | 214,930,000 | (360) | (405) | 45 | |||||||
3-Month STIBOR (Quarterly) | 4.00% (Annually) | 12/20/2025 | SEK | 442,815,000 | 56,742 | 40,975 | 15,767 | |||||||
10.29% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 3,926,736 | 12,755 | — | 12,755 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 11.98% (Upon termination) | 1/4/2027 | BRL | 44,823,382 | 191,802 | — | 191,802 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 13.03% (Upon termination) | 1/4/2027 | BRL | 1,495,928 | 21,693 | 2,345 | 19,348 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 8.50% (Upon termination) | 1/4/2027 | BRL | 773,155 | (22,254) | (28,984) | 6,730 |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 11.23% (Upon termination) | 1/4/2027 | BRL | 471,954 | $ (743) | $ (6,627) | $ 5,884 | |||||||
2.85% (Annually) | 3-Month EURIBOR (Quarterly) | 4/22/2028 | EUR | 24,510,000 | 155,023 | (66,238) | 221,261 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 8/3/2028 | JPY | 7,488,080,000 | 323,970 | 115,601 | 208,369 | |||||||
1-Day SOFR (Annually) | 4.38% (Annually) | 10/3/2028 | USD | 16,000,000 | 760 | — | 760 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/20/2028 | JPY | 6,696,000,000 | 201,663 | 169,731 | 31,932 | |||||||
4.00% (Annually) | 1-Day SOFR (Annually) | 12/20/2028 | USD | 1,810,000 | 24,787 | 7,074 | 17,713 | |||||||
2.85% (Annually) | 1-Day SOFR (Annually) | 2/15/2029 | USD | 5,338,000 | 457,391 | 1,198 | 456,193 | |||||||
3.85% (Annually) | 1-Day SOFR (Annually) | 6/30/2029 | USD | 3,169,000 | 90,367 | 106 | 90,261 | |||||||
3.25% (Annually) | 1-Day SOFR (Annually) | 9/30/2029 | USD | 5,234,000 | 295,581 | 3,532 | 292,049 | |||||||
2.68% (Annually) | 1-Day SOFR (Annually) | 7/28/2032 | USD | 12,630,000 | 671,801 | 198,419 | 473,382 | |||||||
2.00% (Annually) | 1-Day SOFR (Annually) | 12/21/2032 | USD | 10,100,000 | 1,968,199 | 1,040,439 | 927,760 | |||||||
3.00% (Annually) | 1-Day SOFR (Annually) | 6/21/2033 | USD | 8,300,000 | 884,093 | 367,635 | 516,458 | |||||||
1.25% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 8/3/2033 | JPY | 1,014,000,000 | 32,541 | (8,212) | 40,753 | |||||||
1.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/20/2033 | JPY | 2,852,000,000 | (29,905) | (89,145) | 59,240 | |||||||
3.25% (Annually) | 3-Month STIBOR (Quarterly) | 12/20/2033 | SEK | 44,410,000 | 62,394 | 9,458 | 52,936 | |||||||
3.25% (Semiannually) | Bank Of Canada Overnight Repo Rate (Semiannually) | 12/20/2033 | CAD | 560,000 | 29,038 | 21,295 | 7,743 | |||||||
4.25% (Annually) | 1-Day SONIA (Annually) | 12/20/2033 | GBP | 540,000 | 3,816 | (2,676) | 6,492 | |||||||
6-Month NIBOR (Semiannually) | 4.00% (Annually) | 12/20/2033 | NOK | 23,340,000 | 32,338 | 17,428 | 14,910 | |||||||
Swiss Average Overnight Rate (Annually) | 1.75% (Annually) | 12/20/2033 | CHF | 3,120,000 | (15,370) | (15,395) | 25 | |||||||
3.24% (Annually) | 1-Day SOFR (Annually) | 10/6/2035 | USD | 16,680,000 | 1,058,283 | 66,310 | 991,973 | |||||||
3.78% (Annually) | 1-Day SOFR (Annually) | 9/22/2036 | USD | 2,450,000 | 60,802 | 2,788 | 58,014 | |||||||
0.75% (Semiannually) | Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 3/20/2038 | JPY | 489,200,000 | 232,459 | 39,965 | 192,494 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 3/15/2042 | JPY | 1,080,000,000 | 1,058,302 | 300,339 | 757,963 | |||||||
1.45% (Annually) | 6-Month EURIBOR (Semiannually) | 8/10/2042 | EUR | 46,790,000 | 2,398,036 | 1,439,137 | 958,899 | |||||||
1.52% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 2,594,000 | 1,067,820 | (23,965) | 1,091,785 | |||||||
2.08% (Annually) | 1-Day SOFR (Annually) | 7/28/2047 | USD | 33,700,000 | 1,021,567 | 533,006 | 488,561 | |||||||
2.60% (Annually) | 1-Day SOFR (Annually) | 2/15/2048 | USD | 4,813,000 | 1,194,203 | 330,836 | 863,367 | |||||||
3.05% (Annually) | 1-Day SOFR (Annually) | 2/15/2048 | USD | 6,287,000 | 1,114,121 | 307,047 | 807,074 | |||||||
3.15% (Annually) | 1-Day SOFR (Annually) | 5/15/2048 | USD | 5,654,000 | 889,372 | (618,678) | 1,508,050 | |||||||
1-Day SOFR (Annually) | 2.50% (Annually) | 4/21/2052 | USD | 2,061,000 | 553,787 | 1,921 | 551,866 | |||||||
0.80% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 6/15/2052 | JPY | 250,000,000 | 289,309 | 11,645 | 277,664 | |||||||
1-Day SOFR (Annually) | 2.56% (Annually) | 5/11/2053 | USD | 29,690,000 | 791,209 | 170,399 | 620,810 | |||||||
2.00% (Annually) | 6-Month EURIBOR (Semiannually) | 5/17/2053 | EUR | 8,620,000 | 399,457 | 107,510 | 291,947 | |||||||
2.50% (Annually) | 6-Month EURIBOR (Semiannually) | 12/20/2053 | EUR | 1,530,000 | 175,557 | 124,567 | 50,990 | |||||||
Subtotal Appreciation | $ 17,949,045 | $ 4,292,784 | $ 13,656,261 | |||||||||||
1-Day SOFR (Annually) | 3.30% (Annually) | 12/21/2023 | USD | 18,400,000 | $ (332,960) | $ (3,373) | $ (329,587) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 9.20% (Upon termination) | 1/2/2024 | BRL | 6,468,748 | (90,464) | (28,018) | (62,446) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.30% (Upon termination) | 1/2/2024 | BRL | 1,293,456 | (1,003) | 1,647 | (2,650) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.00% (Annually) | 3/17/2024 | JPY | 750,000,000 | 1,766 | 11,605 | (9,839) |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
1-Day SOFR (Annually) | 2.20% (Annually) | 6/15/2024 | USD | 14,700,000 | $ (471,715) | $ — | $ (471,715) | |||||||
1-Day SOFR (Annually) | 4.72% (Annually) | 9/13/2024 | USD | 6,900,000 | (49,346) | — | (49,346) | |||||||
1-Day SOFR (Annually) | 3.50% (Annually) | 9/30/2024 | USD | 5,189,000 | (97,276) | (36,591) | (60,685) | |||||||
13.30% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 3,355,039 | (19,492) | (36) | (19,456) | |||||||
3.72% (Annually) | 3-Month EURIBOR (Quarterly) | 3/18/2025 | EUR | 9,080,000 | 6,348 | 11,335 | (4,987) | |||||||
1-Day SOFR (Annually) | 3.50% (Annually) | 4/19/2025 | USD | 230,000 | (3,253) | 723 | (3,976) | |||||||
6-Month WIBOR (Semiannually) | 4.50% (Annually) | 12/20/2025 | PLN | 4,960,000 | 4,110 | 7,109 | (2,999) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.00% (Quarterly) | 12/20/2025 | CNY | 32,930,000 | (11,623) | (10,148) | (1,475) | |||||||
Bank Of Canada Overnight Repo Rate (Semiannually) | 3.75% (Semiannually) | 12/20/2025 | CAD | 27,750,000 | (442,449) | (388,142) | (54,307) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.85% (Upon termination) | 1/2/2026 | BRL | 2,445,345 | (1,289) | 112 | (1,401) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.50% (Annually) | 8/2/2026 | JPY | 3,594,000,000 | 28,634 | 104,288 | (75,654) | |||||||
6-Month EURIBOR (Semiannually) | 1.00% (Annually) | 5/18/2027 | EUR | 3,600,000 | (355,855) | (163,593) | (192,262) | |||||||
1-Day SOFR (Annually) | 2.15% (Annually) | 6/15/2027 | USD | 14,700,000 | (1,305,664) | — | (1,305,664) | |||||||
2.87% (Annually) | 1-Day SOFR (Annually) | 7/22/2027 | USD | 1,700,000 | (103,200) | — | (103,200) | |||||||
1-Day SOFR (Annually) | 2.85% (Annually) | 8/29/2027 | USD | 3,200,000 | (191,892) | — | (191,892) | |||||||
1-Day SOFR (Annually) | 3.35% (Annually) | 10/6/2027 | USD | 69,720,000 | (683,520) | 227,172 | (910,692) | |||||||
1-Day SOFR (Annually) | 4.18% (Annually) | 2/29/2028 | USD | 38,232,000 | (272,269) | 29,387 | (301,656) | |||||||
4.00% (Annually) | 1-Day SOFR (Annually) | 2/29/2028 | USD | 25,311,000 | (353,291) | (4,661) | (348,630) | |||||||
1-Day SOFR (Annually) | 3.40% (Annually) | 4/4/2028 | USD | 6,000,000 | (298,782) | — | (298,782) | |||||||
1-Day ESTR (Annually) | 2.67% (Annually) | 4/22/2028 | EUR | 24,510,000 | (155,827) | 77,922 | (233,749) | |||||||
1-Day SOFR (Annually) | 3.56% (Annually) | 5/25/2028 | USD | 4,200,000 | (172,989) | — | (172,989) | |||||||
1-Day SOFR (Annually) | 3.70% (Annually) | 6/9/2028 | USD | 5,700,000 | (196,252) | — | (196,252) | |||||||
1-Day SOFR (Annually) | 3.70% (Annually) | 9/22/2028 | USD | 10,550,000 | (43,739) | (4,728) | (39,011) | |||||||
3.00% (Annually) | 1-Day ESTR (Annually) | 10/19/2028 | EUR | 10,250,000 | (60,510) | 31,874 | (92,384) | |||||||
1-Day SONIA (Annually) | 4.75% (Annually) | 12/20/2028 | GBP | 6,740,000 | 74,439 | 82,356 | (7,917) | |||||||
3-Month KWCDC (Quarterly) | 3.50% (Quarterly) | 12/20/2028 | KRW | 2,753,380,000 | (28,301) | (15,423) | (12,878) | |||||||
6-Month WIBOR (Semiannually) | 4.25% (Annually) | 12/20/2028 | PLN | 4,420,000 | (9,449) | 2,290 | (11,739) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.25% (Quarterly) | 12/20/2028 | CNY | 29,030,000 | (35,593) | (11,441) | (24,152) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.24% (Upon termination) | 1/2/2029 | BRL | 29,522,574 | (286,526) | — | (286,526) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | (888,752) | 68,837 | (957,589) | |||||||
1-Day SOFR (Annually) | 3.08% (Annually) | 3/28/2030 | USD | 4,500,000 | (361,593) | — | (361,593) | |||||||
1-Day SOFR (Annually) | 3.98% (Annually) | 7/31/2030 | USD | 19,000,000 | (307,083) | 19,705 | (326,788) | |||||||
1-Day SOFR (Annually) | 3.52% (Annually) | 6/9/2033 | USD | 14,000,000 | (902,503) | — | (902,503) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 1.25% (Annually) | 8/2/2033 | JPY | 1,542,270,000 | (49,325) | 33,170 | (82,495) | |||||||
1-Day SOFR (Annually) | 3.50% (Annually) | 12/20/2033 | USD | 13,630,000 | (800,722) | (614,846) | (185,876) | |||||||
3-Month JIBAR (Quarterly) | 9.25% (Quarterly) | 12/20/2033 | ZAR | 5,440,000 | (13,102) | (5,489) | (7,613) | |||||||
3-Month KWCDC (Quarterly) | 3.50% (Quarterly) | 12/20/2033 | KRW | 843,140,000 | (16,992) | (7,091) | (9,901) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 4.75% (Semiannually) | 12/20/2033 | NZD | 4,480,000 | (86,581) | (3,194) | (83,387) | |||||||
4.50% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 12/20/2033 | AUD | 2,270,000 | (31,873) | 6,623 | (38,496) | |||||||
6-Month ASX BBSW (Semiannually) | 4.75% (Semiannually) | 12/20/2033 | AUD | 15,900,000 | (139,707) | (44,582) | (95,125) | |||||||
6-Month EURIBOR (Semiannually) | 3.25% (Annually) | 12/20/2033 | EUR | 2,420,000 | (26,400) | (10,753) | (15,647) | |||||||
6-Month WIBOR (Semiannually) | 4.75% (Annually) | 12/20/2033 | PLN | 2,340,000 | (9,004) | 4,861 | (13,865) |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
1-Day SONIA (Annually) | 4.50% (Annually) | 3/20/2034 | GBP | 7,000,000 | $ 141,387 | $ 187,085 | $ (45,698) | |||||||
6-Month EURIBOR (Semiannually) | 3.00% (Annually) | 3/20/2034 | EUR | 21,650,000 | (667,141) | (253,662) | (413,479) | |||||||
6-Month EURIBOR (Semiannually) | 3.00% (Annually) | 5/15/2035 | EUR | 15,100,000 | (279,987) | (7,379) | (272,608) | |||||||
1-Day SOFR (Annually) | 2.91% (Annually) | 7/28/2037 | USD | 33,960,000 | (1,426,585) | (465,725) | (960,860) | |||||||
6-Month EURIBOR (Semiannually) | 2.15% (Annually) | 8/9/2037 | EUR | 18,290,000 | (912,788) | (604,387) | (308,401) | |||||||
1-Day SOFR (Annually) | 3.39% (Annually) | 5/10/2038 | USD | 31,380,000 | (839,483) | (202,197) | (637,286) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 1.50% (Annually) | 8/3/2038 | JPY | 1,099,000,000 | (109,979) | (51,233) | (58,746) | |||||||
6-Month EURIBOR (Semiannually) | 1.05% (Annually) | 8/11/2047 | EUR | 27,390,000 | (1,063,893) | (641,932) | (421,961) | |||||||
Subtotal Depreciation | $(14,751,338) | $(2,670,523) | $(12,080,815) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at September 30, 2023 | $ 3,197,707 | $ 1,622,261 | $ 1,575,446 |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 12/2023 | 16 | $ 2,069,842 | $ (192,873) | ||||
Euro-Bobl | 12/2023 | (6) | (734,260) | 9,406 | ||||
Euro-Bund | 12/2023 | 76 | 10,336,353 | (216,053) | ||||
Euro-Schatz | 12/2023 | 71 | 7,881,049 | (32,292) | ||||
FTSE KLCI | 12/2023 | (5) | (580,060) | 19,757 | ||||
10-Year Japanese E-Mini | 12/2023 | 82 | 7,956,370 | (53,980) | ||||
10-Year Commonwealth Treasury Bond | 12/2023 | (7) | (503,950) | 12,970 | ||||
10-Year Bond | 12/2023 | 4 | 339,054 | (10,283) | ||||
10-Year U.S. Treasury Note | 12/2023 | 83 | 8,969,187 | (186,256) | ||||
U.S. Treasury Long Bond | 12/2023 | 112 | 12,743,500 | (647,151) | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | (153) | (17,069,063) | 446,488 | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | 10 | 1,186,875 | (84,870) | ||||
Long GILT | 12/2023 | 84 | 9,650,309 | 18,986 | ||||
2-Year U.S. Treasury Note | 12/2023 | 146 | 29,595,797 | (98,024) | ||||
5-Year U.S. Treasury Note | 12/2023 | 646 | 68,062,156 | (597,799) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $139,903,159 | $(1,611,974) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/19/23 | U.S. Dollars | 244,340,968 | Euro | 217,880,901 | SS | $13,800,358 | ||||||
10/19/23 | U.S. Dollars | 20,536,469 | Euro | 18,313,148 | UBS | 1,159,258 | ||||||
10/19/23 | U.S. Dollars | 17,257,931 | British Pounds | 13,212,046 | SS | 1,135,963 | ||||||
10/19/23 | U.S. Dollars | 11,189,071 | Japanese Yen | 1,528,565,243 | SS | 925,202 | ||||||
10/20/23 | U.S. Dollars | 17,687,113 | Euro | 15,971,422 | GSC | 786,973 | ||||||
10/19/23 | U.S. Dollars | 12,394,046 | Australian Dollars | 18,047,391 | SC | 782,188 | ||||||
10/19/23 | U.S. Dollars | 11,537,431 | Swiss Francs | 9,891,041 | SC | 709,143 | ||||||
10/19/23 | U.S. Dollars | 12,524,525 | Euro | 11,168,651 | CITI | 706,933 | ||||||
10/19/23 | U.S. Dollars | 11,486,959 | New Zealand Dollars | 18,090,554 | SC | 644,339 | ||||||
10/19/23 | U.S. Dollars | 10,265,512 | Australian Dollars | 15,224,475 | GSC | 469,945 | ||||||
10/19/23 | U.S. Dollars | 6,483,501 | British Pounds | 4,964,588 | CITI | 425,474 | ||||||
10/19/23 | U.S. Dollars | 7,305,752 | Euro | 6,521,352 | RBC | 405,485 | ||||||
10/19/23 | U.S. Dollars | 11,629,157 | Canadian Dollars | 15,295,221 | SS | 365,124 | ||||||
10/19/23 | U.S. Dollars | 5,835,977 | British Pounds | 4,496,207 | BNP | 349,491 | ||||||
10/19/23 | U.S. Dollars | 5,014,898 | Swiss Francs | 4,287,938 | RBC | 320,647 | ||||||
10/19/23 | U.S. Dollars | 7,276,442 | Euro | 6,577,732 | GSC | 316,519 | ||||||
10/19/23 | U.S. Dollars | 5,233,823 | British Pounds | 4,032,262 | SC | 313,465 | ||||||
10/19/23 | U.S. Dollars | 3,736,929 | Czech Republic Koruna | 79,959,523 | BNP | 274,204 | ||||||
10/19/23 | U.S. Dollars | 3,006,051 | Japanese Yen | 410,531,341 | CITI | 249,453 | ||||||
10/19/23 | U.S. Dollars | 2,976,002 | Japanese Yen | 406,514,454 | UBS | 246,376 | ||||||
10/19/23 | U.S. Dollars | 5,048,868 | Norwegian Kroner | 51,379,006 | GSC | 242,973 | ||||||
10/19/23 | U.S. Dollars | 2,769,977 | Polish Zloty | 11,053,417 | UBS | 241,214 | ||||||
10/19/23 | U.S. Dollars | 4,243,758 | Euro | 3,784,596 | SC | 239,263 | ||||||
10/19/23 | U.S. Dollars | 3,967,908 | Norwegian Kroner | 39,887,594 | SS | 236,898 | ||||||
10/20/23 | U.S. Dollars | 3,673,066 | British Pounds | 2,849,273 | GSC | 196,225 | ||||||
10/19/23 | U.S. Dollars | 3,472,977 | New Zealand Dollars | 5,467,809 | UBS | 195,832 | ||||||
10/19/23 | U.S. Dollars | 3,349,131 | New Zealand Dollars | 5,271,316 | CITI | 189,754 | ||||||
10/19/23 | U.S. Dollars | 3,830,951 | Swiss Francs | 3,333,563 | CITI | 181,509 | ||||||
10/19/23 | U.S. Dollars | 2,816,655 | Australian Dollars | 4,100,113 | RBC | 178,604 | ||||||
10/19/23 | U.S. Dollars | 3,070,116 | Swedish Kronor | 31,596,113 | BNP | 175,878 | ||||||
10/19/23 | U.S. Dollars | 2,839,002 | Norwegian Kroner | 28,487,411 | UBS | 174,344 | ||||||
10/19/23 | U.S. Dollars | 3,277,511 | Japanese Yen | 463,828,246 | BNP | 163,039 | ||||||
10/20/23 | U.S. Dollars | 2,224,243 | Polish Zloty | 9,049,000 | GSC | 154,105 | ||||||
10/19/23 | U.S. Dollars | 2,404,269 | Swiss Francs | 2,061,265 | UBS | 147,684 | ||||||
10/19/23 | U.S. Dollars | 1,722,545 | Polish Zloty | 6,905,397 | SS | 142,752 | ||||||
10/19/23 | U.S. Dollars | 6,280,313 | Euro | 5,814,517 | BNP | 127,950 | ||||||
10/20/23 | U.S. Dollars | 3,541,280 | Taiwan Dollars | 110,204,629 | GSC | 113,443 | ||||||
10/19/23 | U.S. Dollars | 2,685,100 | Japanese Yen | 383,403,966 | GSC | 110,654 | ||||||
10/19/23 | U.S. Dollars | 5,310,149 | British Pounds | 4,266,785 | GSC | 103,615 | ||||||
10/19/23 | U.S. Dollars | 1,599,692 | Swedish Kronor | 16,346,315 | UBS | 102,352 | ||||||
10/19/23 | U.S. Dollars | 1,108,517 | Polish Zloty | 4,419,526 | CITI | 97,433 | ||||||
10/19/23 | U.S. Dollars | 1,633,301 | Swedish Kronor | 16,810,829 | SS | 93,410 | ||||||
10/19/23 | U.S. Dollars | 1,237,802 | Hungarian Forint | 425,145,930 | UBS | 87,742 | ||||||
10/19/23 | U.S. Dollars | 1,113,531 | Czech Republic Koruna | 23,821,681 | GSC | 81,910 | ||||||
10/19/23 | U.S. Dollars | 2,452,611 | Canadian Dollars | 3,226,875 | SC | 76,206 | ||||||
10/19/23 | U.S. Dollars | 2,711,764 | Canadian Dollars | 3,579,230 | UBS | 75,871 | ||||||
10/19/23 | U.S. Dollars | 4,444,753 | Mexican Pesos | 76,496,349 | GSC | 69,868 | ||||||
10/19/23 | U.S. Dollars | 764,001 | Polish Zloty | 3,050,254 | SC | 66,174 | ||||||
10/19/23 | Swedish Kronor | 48,812,469 | U.S. Dollars | 4,407,723 | BNP | 63,552 | ||||||
10/19/23 | U.S. Dollars | 770,169 | Chilean Pesos | 631,307,359 | BNP | 60,757 | ||||||
10/19/23 | U.S. Dollars | 836,335 | Hungarian Forint | 287,570,038 | BNP | 58,431 | ||||||
10/19/23 | U.S. Dollars | 765,729 | Czech Republic Koruna | 16,350,581 | UBS | 57,651 | ||||||
10/19/23 | U.S. Dollars | 959,099 | Swedish Kronor | 9,871,049 | SC | 54,900 | ||||||
10/19/23 | U.S. Dollars | 1,717,595 | Canadian Dollars | 2,258,199 | RBC | 54,564 | ||||||
10/19/23 | U.S. Dollars | 3,537,141 | Mexican Pesos | 60,900,243 | UBS | 54,209 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/19/23 | U.S. Dollars | 1,877,040 | Swiss Francs | 1,675,055 | GSC | $ 43,262 | ||||||
10/19/23 | U.S. Dollars | 1,339,636 | Canadian Dollars | 1,760,804 | CITI | 42,907 | ||||||
10/19/23 | U.S. Dollars | 582,430 | Hungarian Forint | 200,275,000 | SS | 40,667 | ||||||
10/19/23 | U.S. Dollars | 764,018 | South Korean Won | 983,054,684 | BNP | 35,824 | ||||||
10/19/23 | Swedish Kronor | 16,492,692 | U.S. Dollars | 1,475,559 | GSC | 35,190 | ||||||
10/19/23 | U.S. Dollars | 549,490 | Australian Dollars | 799,671 | UBS | 34,974 | ||||||
10/19/23 | U.S. Dollars | 395,955 | Polish Zloty | 1,580,714 | GSC | 34,325 | ||||||
10/19/23 | New Zealand Dollars | 4,126,502 | U.S. Dollars | 2,439,028 | GSC | 34,201 | ||||||
10/19/23 | U.S. Dollars | 403,914 | Japanese Yen | 55,162,515 | SC | 33,514 | ||||||
10/19/23 | U.S. Dollars | 506,284 | British Pounds | 387,548 | RBC | 33,379 | ||||||
10/19/23 | U.S. Dollars | 585,563 | New Zealand Dollars | 922,001 | RBC | 32,959 | ||||||
10/19/23 | U.S. Dollars | 491,380 | New Zealand Dollars | 773,108 | GSC | 28,016 | ||||||
10/20/23 | U.S. Dollars | 4,279,746 | Mexican Pesos | 74,378,570 | GSC | 26,722 | ||||||
10/19/23 | U.S. Dollars | 768,926 | Norwegian Kroner | 7,943,345 | BNP | 25,921 | ||||||
10/19/23 | U.S. Dollars | 524,406 | South Korean Won | 674,735,853 | SS | 24,597 | ||||||
10/19/23 | Norwegian Kroner | 43,303,073 | U.S. Dollars | 4,026,151 | GSC | 24,335 | ||||||
10/20/23 | Euro | 803,581 | Polish Zloty | 3,620,000 | GSC | 22,161 | ||||||
10/20/23 | Mexican Pesos | 74,378,570 | U.S. Dollars | 4,231,845 | GSC | 21,180 | ||||||
10/19/23 | U.S. Dollars | 1,920,464 | Chinese Yuans | 13,750,329 | GSC | 20,587 | ||||||
10/19/23 | U.S. Dollars | 399,595 | Thai Baht | 13,800,000 | GSC | 19,976 | ||||||
10/19/23 | U.S. Dollars | 1,138,365 | Indonesian Rupiahs | 17,313,489,139 | SS | 19,498 | ||||||
10/19/23 | U.S. Dollars | 717,384 | Brazilian Reals | 3,518,267 | BNP | 19,375 | ||||||
10/19/23 | U.S. Dollars | 755,926 | Swedish Kronor | 8,052,450 | GSC | 18,312 | ||||||
10/19/23 | U.S. Dollars | 245,560 | Czech Republic Koruna | 5,250,000 | RBC | 18,203 | ||||||
10/19/23 | U.S. Dollars | 296,012 | Norwegian Kroner | 2,972,277 | SC | 17,991 | ||||||
10/19/23 | U.S. Dollars | 770,820 | British Pounds | 617,350 | UBS | 17,500 | ||||||
10/19/23 | Norwegian Kroner | 15,968,767 | U.S. Dollars | 1,477,700 | BNP | 15,988 | ||||||
10/19/23 | Australian Dollars | 3,472,485 | U.S. Dollars | 2,219,095 | GSC | 15,134 | ||||||
10/19/23 | U.S. Dollars | 384,268 | South African Rand | 7,011,349 | GSC | 14,591 | ||||||
10/19/23 | U.S. Dollars | 320,898 | Australian Dollars | 480,000 | SS | 12,062 | ||||||
10/19/23 | U.S. Dollars | 236,127 | South African Rand | 4,308,235 | SS | 8,974 | ||||||
10/19/23 | U.S. Dollars | 754,865 | Swiss Francs | 681,549 | BNP | 8,735 | ||||||
10/19/23 | Euro | 3,122,138 | U.S. Dollars | 3,295,111 | UBS | 8,435 | ||||||
10/19/23 | U.S. Dollars | 92,707 | Polish Zloty | 370,000 | RBC | 8,060 | ||||||
10/19/23 | U.S. Dollars | 146,421 | Czech Republic Koruna | 3,200,000 | SS | 7,841 | ||||||
10/19/23 | U.S. Dollars | 456,052 | Mexican Pesos | 7,847,629 | SC | 7,240 | ||||||
10/19/23 | U.S. Dollars | 237,617 | Brazilian Reals | 1,163,831 | RBC | 6,718 | ||||||
10/19/23 | U.S. Dollars | 75,724 | Czech Republic Koruna | 1,620,000 | SC | 5,568 | ||||||
10/19/23 | U.S. Dollars | 83,435 | Australian Dollars | 121,403 | CITI | 5,323 | ||||||
10/19/23 | British Pounds | 519,140 | U.S. Dollars | 629,007 | GSC | 4,472 | ||||||
10/19/23 | U.S. Dollars | 2,262,896 | New Zealand Dollars | 3,768,981 | BNP | 3,948 | ||||||
10/19/23 | U.S. Dollars | 206,366 | Mexican Pesos | 3,550,007 | SS | 3,339 | ||||||
10/19/23 | U.S. Dollars | 755,976 | Canadian Dollars | 1,023,937 | GSC | 1,906 | ||||||
12/20/23 | U.S. Dollars | 90,562 | Euro | 84,000 | BOA | 1,398 | ||||||
10/19/23 | Japanese Yen | 114,393,300 | U.S. Dollars | 766,828 | GSC | 1,289 | ||||||
10/19/23 | U.S. Dollars | 112,776 | Chinese Yuans | 809,212 | SC | 967 | ||||||
10/19/23 | U.S. Dollars | 48,845 | Mexican Pesos | 840,000 | RBC | 805 | ||||||
10/19/23 | U.S. Dollars | 25,230 | Brazilian Reals | 124,743 | GSC | 481 | ||||||
10/19/23 | New Zealand Dollars | 190,864 | U.S. Dollars | 114,008 | SC | 387 | ||||||
10/19/23 | U.S. Dollars | 7,553 | South African Rand | 137,759 | BNP | 290 | ||||||
10/19/23 | U.S. Dollars | 87 | Chinese Yuans | 624 | UBS | 1 | ||||||
Subtotal Appreciation | $29,726,834 | |||||||||||
10/19/23 | South African Rand | 1,403 | U.S. Dollars | 77 | RBC | $ (3) | ||||||
10/19/23 | Indonesian Rupiahs | 11,428,019 | U.S. Dollars | 751 | BNP | (13) | ||||||
10/19/23 | U.S. Dollars | 743,607 | Japanese Yen | 110,768,158 | GSC | (169) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/19/23 | U.S. Dollars | 1,452,501 | Norwegian Kroner | 15,530,717 | BNP | $ (213) | ||||||
10/19/23 | Canadian Dollars | 14,676 | U.S. Dollars | 11,163 | RBC | (355) | ||||||
10/19/23 | U.S. Dollars | 109,071 | Chinese Yuans | 792,701 | UBS | (456) | ||||||
10/19/23 | Chinese Yuans | 597,498 | U.S. Dollars | 83,085 | SC | (529) | ||||||
10/19/23 | U.S. Dollars | 93,820 | New Zealand Dollars | 157,562 | RBC | (615) | ||||||
10/19/23 | South Korean Won | 120,955,532 | U.S. Dollars | 90,400 | RBC | (803) | ||||||
10/19/23 | British Pounds | 83,505 | Euro | 97,254 | RBC | (1,008) | ||||||
10/19/23 | British Pounds | 141,905 | Euro | 164,917 | CITI | (1,340) | ||||||
10/19/23 | Norwegian Kroner | 7,746,399 | U.S. Dollars | 726,018 | GSC | (1,435) | ||||||
10/19/23 | U.S. Dollars | 733,914 | Canadian Dollars | 998,527 | SC | (1,442) | ||||||
10/19/23 | U.S. Dollars | 1,452,814 | Japanese Yen | 216,610,254 | BNP | (1,660) | ||||||
10/19/23 | U.S. Dollars | 714,619 | Australian Dollars | 1,113,728 | GSC | (1,964) | ||||||
10/19/23 | Mexican Pesos | 2,140,706 | U.S. Dollars | 124,421 | CITI | (1,992) | ||||||
10/20/23 | Indian Rupees | 41,071,535 | U.S. Dollars | 496,597 | GSC | (2,859) | ||||||
10/19/23 | Hungarian Forint | 15,128,338 | U.S. Dollars | 44,000 | SC | (3,076) | ||||||
10/19/23 | Canadian Dollars | 173,599 | U.S. Dollars | 132,025 | UBS | (4,180) | ||||||
10/19/23 | Australian Dollars | 1,801,872 | U.S. Dollars | 1,164,177 | GSC | (4,836) | ||||||
10/19/23 | Chilean Pesos | 56,271,974 | U.S. Dollars | 68,069 | SS | (4,836) | ||||||
10/19/23 | U.S. Dollars | 766,908 | New Zealand Dollars | 1,291,041 | GSC | (6,880) | ||||||
10/19/23 | Hungarian Forint | 36,669,187 | U.S. Dollars | 106,754 | RBC | (7,561) | ||||||
10/20/23 | Euro | 3,027,884 | Polish Zloty | 14,050,000 | GSC | (10,265) | ||||||
10/19/23 | U.S. Dollars | 2,167,457 | Chinese Yuans | 15,765,000 | GSC | (10,785) | ||||||
10/19/23 | South Korean Won | 983,331,620 | U.S. Dollars | 739,458 | SC | (11,058) | ||||||
10/19/23 | Mexican Pesos | 27,506,937 | U.S. Dollars | 1,584,451 | GSC | (11,308) | ||||||
10/19/23 | U.S. Dollars | 1,014,034 | Swedish Kronor | 11,232,052 | SS | (14,834) | ||||||
10/19/23 | U.S. Dollars | 3,150,547 | Norwegian Kroner | 33,846,281 | GSC | (15,370) | ||||||
10/19/23 | Czech Republic Koruna | 4,935,188 | U.S. Dollars | 230,647 | SS | (16,923) | ||||||
10/19/23 | Czech Republic Koruna | 4,872,994 | U.S. Dollars | 228,212 | UBS | (17,182) | ||||||
10/19/23 | Swedish Kronor | 16,379,491 | U.S. Dollars | 1,518,060 | GSC | (17,681) | ||||||
10/19/23 | British Pounds | 275,689 | U.S. Dollars | 360,212 | SS | (23,803) | ||||||
10/19/23 | Swedish Kronor | 7,881,046 | U.S. Dollars | 745,756 | SC | (23,844) | ||||||
10/19/23 | Mexican Pesos | 25,002,643 | U.S. Dollars | 1,453,873 | RBC | (23,953) | ||||||
10/19/23 | South African Rand | 11,560,940 | U.S. Dollars | 633,902 | SC | (24,345) | ||||||
10/19/23 | Mexican Pesos | 26,804,053 | U.S. Dollars | 1,557,343 | BNP | (24,399) | ||||||
10/19/23 | Euro | 581,050 | U.S. Dollars | 639,538 | RBC | (24,727) | ||||||
10/19/23 | Brazilian Reals | 4,494,124 | U.S. Dollars | 917,662 | SS | (26,047) | ||||||
10/19/23 | Mexican Pesos | 29,958,733 | U.S. Dollars | 1,739,419 | SC | (26,056) | ||||||
10/19/23 | Norwegian Kroner | 9,439,455 | U.S. Dollars | 910,771 | BNP | (27,822) | ||||||
10/19/23 | Brazilian Reals | 5,963,707 | U.S. Dollars | 1,212,720 | BNP | (29,546) | ||||||
10/19/23 | Swedish Kronor | 15,378,825 | U.S. Dollars | 1,441,094 | BNP | (32,377) | ||||||
10/19/23 | Japanese Yen | 210,619,364 | U.S. Dollars | 1,446,780 | BNP | (32,532) | ||||||
10/19/23 | U.S. Dollars | 3,304,842 | Swedish Kronor | 36,457,777 | UBS | (34,730) | ||||||
10/19/23 | Euro | 2,964,715 | U.S. Dollars | 3,175,165 | GSC | (38,189) | ||||||
10/19/23 | Norwegian Kroner | 8,483,031 | U.S. Dollars | 837,706 | SC | (44,219) | ||||||
10/20/23 | Euro | 930,000 | U.S. Dollars | 1,029,166 | GSC | (45,088) | ||||||
10/19/23 | Norwegian Kroner | 7,642,839 | U.S. Dollars | 762,545 | UBS | (47,649) | ||||||
10/19/23 | Swedish Kronor | 9,778,323 | U.S. Dollars | 949,781 | RBC | (54,076) | ||||||
10/19/23 | British Pounds | 686,087 | U.S. Dollars | 896,152 | UBS | (58,956) | ||||||
10/19/23 | British Pounds | 696,217 | U.S. Dollars | 909,522 | RBC | (59,965) | ||||||
10/19/23 | New Zealand Dollars | 1,742,763 | U.S. Dollars | 1,106,794 | BNP | (62,264) | ||||||
10/19/23 | Czech Republic Koruna | 18,171,017 | U.S. Dollars | 849,918 | RBC | (63,004) | ||||||
10/19/23 | Hungarian Forint | 420,743,242 | U.S. Dollars | 1,201,301 | GSC | (63,151) | ||||||
10/19/23 | U.S. Dollars | 4,803,296 | Swedish Kronor | 53,142,090 | GSC | (64,578) | ||||||
10/19/23 | Canadian Dollars | 2,936,002 | U.S. Dollars | 2,232,747 | BNP | (70,553) | ||||||
10/19/23 | Canadian Dollars | 6,004,048 | U.S. Dollars | 4,496,268 | GSC | (74,639) | ||||||
10/19/23 | Hungarian Forint | 373,386,382 | U.S. Dollars | 1,085,865 | SS | (75,819) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/19/23 | Polish Zloty | 3,706,189 | U.S. Dollars | 928,201 | SS | $ (80,312) | ||||||
10/19/23 | British Pounds | 2,437,636 | U.S. Dollars | 3,055,160 | GSC | (80,640) | ||||||
10/19/23 | Polish Zloty | 3,706,086 | U.S. Dollars | 928,596 | RBC | (80,731) | ||||||
10/19/23 | Swiss Francs | 1,102,547 | U.S. Dollars | 1,289,830 | CITI | (82,809) | ||||||
10/19/23 | Norwegian Kroner | 14,349,173 | U.S. Dollars | 1,428,589 | CITI | (86,394) | ||||||
10/19/23 | Czech Republic Koruna | 25,099,939 | U.S. Dollars | 1,173,950 | CITI | (86,973) | ||||||
10/19/23 | Australian Dollars | 1,993,446 | U.S. Dollars | 1,373,079 | UBS | (90,478) | ||||||
10/19/23 | New Zealand Dollars | 4,484,814 | U.S. Dollars | 2,792,666 | GSC | (104,682) | ||||||
10/19/23 | Swedish Kronor | 15,930,095 | U.S. Dollars | 1,564,339 | SS | (105,125) | ||||||
10/19/23 | Polish Zloty | 5,125,623 | U.S. Dollars | 1,283,821 | SC | (111,198) | ||||||
10/19/23 | New Zealand Dollars | 5,012,336 | U.S. Dollars | 3,118,135 | UBS | (113,979) | ||||||
10/19/23 | Swiss Francs | 1,530,059 | U.S. Dollars | 1,789,878 | SS | (114,835) | ||||||
10/19/23 | New Zealand Dollars | 3,270,000 | U.S. Dollars | 2,076,777 | RBC | (116,894) | ||||||
10/20/23 | South Korean Won | 3,422,044,000 | U.S. Dollars | 2,657,300 | GSC | (122,489) | ||||||
10/19/23 | Swiss Francs | 1,641,958 | U.S. Dollars | 1,920,304 | UBS | (122,759) | ||||||
10/19/23 | Czech Republic Koruna | 37,556,090 | U.S. Dollars | 1,755,491 | SC | (129,087) | ||||||
10/19/23 | Polish Zloty | 6,076,046 | U.S. Dollars | 1,521,521 | BNP | (131,464) | ||||||
10/20/23 | Canadian Dollars | 9,608,965 | U.S. Dollars | 7,258,842 | GSC | (182,302) | ||||||
10/19/23 | Norwegian Kroner | 35,734,063 | U.S. Dollars | 3,554,583 | RBC | (212,086) | ||||||
10/20/23 | Australian Dollars | 10,188,572 | U.S. Dollars | 6,800,648 | GSC | (244,981) | ||||||
10/19/23 | Euro | 4,832,619 | U.S. Dollars | 5,364,045 | BNP | (250,633) | ||||||
10/19/23 | Swedish Kronor | 50,016,453 | U.S. Dollars | 4,858,976 | CITI | (277,415) | ||||||
10/19/23 | Canadian Dollars | 12,477,402 | U.S. Dollars | 9,488,417 | SC | (299,541) | ||||||
10/19/23 | New Zealand Dollars | 8,381,916 | U.S. Dollars | 5,324,193 | SS | (300,470) | ||||||
10/19/23 | Swiss Francs | 6,117,121 | U.S. Dollars | 7,071,829 | BNP | (375,066) | ||||||
10/19/23 | Japanese Yen | 624,748,242 | U.S. Dollars | 4,571,630 | RBC | (376,628) | ||||||
10/19/23 | Australian Dollars | 10,598,426 | U.S. Dollars | 7,204,028 | BNP | (384,903) | ||||||
10/19/23 | Australian Dollars | 8,980,463 | U.S. Dollars | 6,171,895 | CITI | (393,783) | ||||||
10/19/23 | Swiss Francs | 6,901,393 | U.S. Dollars | 7,963,424 | GSC | (408,074) | ||||||
10/19/23 | Japanese Yen | 788,331,611 | U.S. Dollars | 5,771,349 | GSC | (477,932) | ||||||
10/19/23 | Japanese Yen | 1,065,605,760 | U.S. Dollars | 7,668,894 | SC | (513,662) | ||||||
10/19/23 | Australian Dollars | 16,425,638 | U.S. Dollars | 11,202,049 | SS | (633,643) | ||||||
10/19/23 | Japanese Yen | 1,289,852,281 | U.S. Dollars | 9,445,735 | UBS | (784,754) | ||||||
10/19/23 | British Pounds | 16,095,806 | U.S. Dollars | 20,981,277 | SC | (1,340,408) | ||||||
10/19/23 | Euro | 29,318,463 | U.S. Dollars | 32,824,270 | SS | (1,802,292) | ||||||
10/20/23 | Japanese Yen | 5,717,458,465 | U.S. Dollars | 41,217,156 | GSC | (2,819,151) | ||||||
10/19/23 | Euro | 49,075,542 | U.S. Dollars | 54,977,103 | UBS | (3,050,085) | ||||||
10/19/23 | Euro | 144,458,876 | U.S. Dollars | 162,004,856 | SC | (9,152,370) | ||||||
Subtotal Depreciation | $(27,390,990) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $ 2,335,844 |
Reference Obligation | Fixed
Deal (Pay) Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
iTraxx Europe & Crossover Series 40 (Pay Quarterly) | (5.00)% | 12/20/2028 | EUR | 10,944,000 | $(365,231) | $(378,282) | $13,051 | |||||||
Markit CDX.EM.IG.40 Index (Pay Quarterly) | (1.00)% | 12/20/2028 | USD | 14,024,000 | 760,863 | 719,431 | 41,432 | |||||||
$ 395,632 | $ 341,149 | $54,483 |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
7-Day CFETS Repo Rate (Quarterly) | 2.05% (Quarterly) | 8/17/2026 | CNY | 33,632,000 | $ (17,618) | $ — | $ (17,618) | |||||||
3-Month KWCDC (Quarterly) | 2.36% (Quarterly) | 2/11/2032 | KRW | 604,702,000 | (48,139) | — | (48,139) | |||||||
3-Month KWCDC (Quarterly) | 2.37% (Quarterly) | 2/18/2032 | KRW | 1,195,630,000 | (94,740) | — | (94,740) | |||||||
3-Month KWCDC (Quarterly) | 2.88% (Quarterly) | 8/11/2032 | KRW | 2,048,372,000 | (110,193) | — | (110,193) | |||||||
$(270,690) | $ — | $(270,690) |
Par | Value | |||
0.63%, 08/15/30 | $3,200,000 | $ 2,456,625 | ||
7,440,112 | ||||
Total
U.S. Treasury Obligations (Cost $14,903,297) |
14,075,892 |
Shares | |||
MONEY MARKET FUNDS — 3.4% | |||
GuideStone
Money Market Fund, 5.25% (Institutional Class)Ø ∞ |
2,458,226 | 2,458,226 | |
Northern Institutional U.S. Treasury Portfolio (Premier), 5.20%Ø | 254,858 | 254,858 | |
Total
Money Market Funds (Cost $2,713,084) |
2,713,084 | ||
TOTAL
INVESTMENTS —100.6% (Cost $83,449,036) |
79,366,469 | ||
Liabilities
in Excess of Other Assets — (0.6)% |
(495,225) | ||
NET ASSETS — 100.0% | $78,871,244 |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 67 | $14,490,425 | $ (621,712) | ||||
10-Year U.S. Treasury Note | 12/2023 | 110 | 11,886,875 | (222,874) | ||||
U.S. Treasury Long Bond | 12/2023 | 51 | 5,802,844 | (325,173) | ||||
2-Year U.S. Treasury Note | 12/2023 | 52 | 10,540,969 | (31,464) | ||||
5-Year U.S. Treasury Note | 12/2023 | 369 | 38,877,609 | (330,724) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $81,598,722 | $(1,531,947) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/22/23 | U.S. Dollars | 5,277,467 | Swiss Francs | 4,766,160 | MSCS | $20,036 | ||||||
12/22/23 | U.S. Dollars | 2,953,416 | Euro | 2,777,469 | MSCS | 4,824 | ||||||
12/22/23 | U.S. Dollars | 2,952,824 | Euro | 2,777,468 | JPM | 4,232 | ||||||
12/22/23 | U.S. Dollars | 651,062 | Canadian Dollars | 877,859 | GSC | 3,839 | ||||||
12/22/23 | U.S. Dollars | 2,952,291 | Euro | 2,777,469 | BOA | 3,699 | ||||||
12/22/23 | U.S. Dollars | 1,436,209 | British Pounds | 1,175,473 | GSC | 1,106 | ||||||
Subtotal Appreciation | $37,736 | |||||||||||
12/22/23 | Canadian Dollars | 27,117 | U.S. Dollars | 20,109 | GSC | $ (117) | ||||||
12/22/23 | U.S. Dollars | 507,679 | Swedish Kronor | 5,589,355 | UBS | (6,200) | ||||||
Subtotal Depreciation | $ (6,317) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $31,419 |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 5 | $ 510,375 | $(15,976) | ||||
MSCI Emerging Markets | 12/2023 | 6 | 286,650 | (9,604) | ||||
S&P 500® E-Mini | 12/2023 | 6 | 1,297,650 | (60,795) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $2,094,675 | $(86,375) |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 5.50%ا | 382,413 | $ 382,413 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 5.20%Ø | 8,846,994 | 8,846,994 | ||
Total
Money Market Funds (Cost $63,755,550) |
63,755,550 | |||
TOTAL
INVESTMENTS — 99.9% (Cost $2,089,912,677) |
3,247,455,016 | |||
Other
Assets in Excess of Liabilities — 0.1% |
4,560,337 | |||
NET ASSETS — 100.0% | $3,252,015,353 |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 300 | $64,882,500 | $(2,478,887) |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 21 | $4,541,775 | $(153,917) | ||||
S&P 500® Micro E-Mini | 12/2023 | 19 | 410,923 | (17,634) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $4,952,698 | $(171,551) |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 76 | $16,436,900 | $(551,023) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/22/23 | U.S. Dollars | 11,881,572 | Swiss Francs | 10,730,425 | MSCS | $45,108 | ||||||
12/22/23 | U.S. Dollars | 10,994,156 | British Pounds | 8,998,327 | GSC | 8,342 | ||||||
12/22/23 | U.S. Dollars | 5,003,929 | Euro | 4,705,825 | MSCS | 8,173 | ||||||
12/22/23 | U.S. Dollars | 5,002,927 | Euro | 4,705,824 | JPM | 7,171 | ||||||
12/22/23 | U.S. Dollars | 5,002,023 | Euro | 4,705,825 | MLIB | 6,268 | ||||||
Subtotal Appreciation | $75,062 | |||||||||||
12/22/23 | British Pounds | 182,889 | U.S. Dollars | 223,569 | GSC | $ (284) | ||||||
Subtotal Depreciation | $ (284) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $74,778 |
Shares | Value | |||
Northern Institutional U.S. Treasury Portfolio (Premier), 5.20%Ø | 73,276 | $ 73,276 | ||
Total
Money Market Funds (Cost $5,024,548) |
5,024,548 | |||
TOTAL
INVESTMENTS — 99.8% (Cost $151,457,390) |
171,642,770 | |||
Other
Assets in Excess of Liabilities — 0.2% |
269,937 | |||
NET ASSETS — 100.0% | $171,912,707 |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 21 | $4,541,775 | $(162,036) | ||||
S&P 500® Micro E-Mini | 12/2023 | 17 | 367,668 | (15,778) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $4,909,443 | $(177,814) |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 116 | $25,087,900 | $(591,649) |
Shares | Value | |||
Sweden — 0.1% | ||||
Loomis ABΔ | 35,634 | $ 959,012 | ||
United Kingdom — 0.4% | ||||
Gates Industrial Corporation PLC* | 192,855 | 2,239,046 | ||
Luxfer Holdings PLC | 23,172 | 302,395 | ||
2,541,441 | ||||
Total
Foreign Common Stocks (Cost $33,788,372) |
33,058,142 |
RIGHTS — 0.0% | |||
Aduro Biotech, Inc.†††* | 2,713 | — | |
Omniab, Inc.†††* | 7,376 | 1 | |
Omniab, Inc. (NASDAQ Exchange)†††* | 7,376 | 1 | |
Total
Rights (Cost $—) |
2 | ||
MONEY MARKET FUNDS — 5.6% | |||
GuideStone
Money Market Fund, 5.25% (Institutional Class)Ø∞ |
29,401,761 | 29,401,761 | |
Northern Institutional Liquid Assets Portfolio (Shares), 5.50%ا | 9,097,603 | 9,097,603 | |
Northern Institutional U.S. Government Portfolio (Shares), 5.14%Ø | 67,014 | 67,014 | |
Northern Institutional U.S. Treasury Portfolio (Premier), 5.20%Ø | 730,340 | 730,340 | |
Total
Money Market Funds (Cost $39,296,718) |
39,296,718 | ||
TOTAL
INVESTMENTS — 100.9% (Cost $713,196,302) |
708,157,458 | ||
Liabilities
in Excess of Other Assets — (0.9)% |
(6,622,679) | ||
NET ASSETS — 100.0% | $701,534,779 |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
E-Mini Russell 2000 Index | 12/2023 | 162 | $14,568,660 | $(585,572) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/22/23 | U.S. Dollars | 889,741 | Swedish Kronor | 9,795,715 | UBS | $(10,867) | ||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $(10,867) |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 286 | $29,193,450 | $(831,715) |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
CAC40 10 Euro | 10/2023 | (105) | $ (7,938,970) | $ 70,314 | ||||
IBEX 35 Index | 10/2023 | (22) | (2,195,697) | (161) | ||||
OMXS30 Index | 10/2023 | (371) | (7,334,734) | 20,419 | ||||
Hang Seng Index | 10/2023 | 76 | 8,680,709 | 79,737 | ||||
MSCI Singapore Index | 10/2023 | (1) | (20,896) | (364) | ||||
Topix Index® | 12/2023 | 270 | 41,979,724 | (632,066) | ||||
S&P/TSX 60 Index | 12/2023 | (108) | (18,706,482) | 664,729 | ||||
DAX Index | 12/2023 | (37) | (15,183,750) | 169,065 | ||||
FTSE 100 Index | 12/2023 | 162 | 15,162,208 | 88,985 | ||||
FTSE/MIB Index | 12/2023 | 199 | 29,752,693 | (293,190) | ||||
MSCI EAFE Index | 12/2023 | 315 | 32,153,625 | (957,559) | ||||
ASX SPI 200 Index | 12/2023 | 87 | 9,909,178 | (4,599) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $ 86,257,608 | $(794,690) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | U.S. Dollars | 31,171,371 | Swiss Francs | 27,309,000 | CITI | $ 1,055,449 | ||||||
12/20/23 | U.S. Dollars | 42,518,920 | Japanese Yen | 6,126,701,000 | CITI | 948,684 | ||||||
12/20/23 | U.S. Dollars | 19,470,661 | Euro | 18,097,000 | CITI | 261,186 | ||||||
12/20/23 | Australian Dollars | 15,907,500 | U.S. Dollars | 10,199,289 | CITI | 58,219 | ||||||
12/20/23 | Norwegian Kroner | 155,736,839 | U.S. Dollars | 14,556,172 | CITI | 37,078 | ||||||
12/20/23 | Swedish Kronor | 18,000,000 | U.S. Dollars | 1,628,287 | CITI | 26,341 | ||||||
12/20/23 | U.S. Dollars | 704,646 | Danish Kroner | 4,860,000 | CITI | 12,347 | ||||||
12/20/23 | U.S. Dollars | 1,007,996 | Singapore Dollars | 1,359,000 | CITI | 10,085 | ||||||
12/20/23 | U.S. Dollars | 1,324,368 | British Pounds | 1,081,000 | CITI | 4,638 | ||||||
12/20/23 | Japanese Yen | 390,000,000 | U.S. Dollars | 2,642,423 | CITI | 3,763 | ||||||
12/20/23 | U.S. Dollars | 2,576,323 | Swedish Kronor | 28,000,000 | CITI | 2,457 | ||||||
12/20/23 | U.S. Dollars | 429,259 | Hong Kong Dollars | 3,353,000 | CITI | 347 | ||||||
12/20/23 | Israeli Shekels | 220,000 | U.S. Dollars | 57,636 | CITI | 288 | ||||||
12/20/23 | Danish Kroner | 565,000 | U.S. Dollars | 80,458 | CITI | 25 | ||||||
12/20/23 | Singapore Dollars | 8,000 | U.S. Dollars | 5,863 | CITI | 11 | ||||||
12/20/23 | U.S. Dollars | 2,376 | Israeli Shekels | 9,000 | CITI | 7 | ||||||
Subtotal Appreciation | $ 2,420,925 | |||||||||||
12/20/23 | U.S. Dollars | 4,404 | Singapore Dollars | 6,000 | CITI | $ (2) | ||||||
12/20/23 | U.S. Dollars | 37,324 | Israeli Shekels | 143,000 | CITI | (326) | ||||||
12/20/23 | U.S. Dollars | 98,420 | Danish Kroner | 695,000 | CITI | (582) | ||||||
12/20/23 | U.S. Dollars | 415,130 | Australian Dollars | 645,000 | CITI | (780) | ||||||
12/20/23 | Singapore Dollars | 583,000 | U.S. Dollars | 429,447 | CITI | (1,351) | ||||||
12/20/23 | Hong Kong Dollars | 40,889,987 | U.S. Dollars | 5,233,000 | CITI | (2,390) | ||||||
12/20/23 | Israeli Shekels | 5,370,000 | U.S. Dollars | 1,419,558 | CITI | (5,700) | ||||||
12/20/23 | Japanese Yen | 340,000,000 | U.S. Dollars | 2,314,562 | CITI | (7,630) | ||||||
12/20/23 | U.S. Dollars | 5,424,266 | British Pounds | 4,459,000 | CITI | (19,467) | ||||||
12/20/23 | Australian Dollars | 12,405,500 | U.S. Dollars | 8,031,544 | CITI | (32,203) | ||||||
12/20/23 | U.S. Dollars | 4,994,792 | Swedish Kronor | 55,000,000 | CITI | (61,016) | ||||||
12/20/23 | Swiss Francs | 2,027,000 | U.S. Dollars | 2,297,968 | CITI | (62,626) | ||||||
12/20/23 | Norwegian Kroner | 137,884,161 | U.S. Dollars | 12,987,022 | CITI | (66,650) | ||||||
12/20/23 | Danish Kroner | 20,438,000 | U.S. Dollars | 2,981,131 | CITI | (69,770) | ||||||
12/20/23 | U.S. Dollars | 29,671,675 | New Zealand Dollars | 49,956,000 | CITI | (270,474) | ||||||
12/20/23 | Euro | 67,561,739 | U.S. Dollars | 73,330,734 | CITI | (1,615,781) | ||||||
12/20/23 | British Pounds | 60,290,000 | U.S. Dollars | 75,577,673 | CITI | (1,973,126) | ||||||
Subtotal Depreciation | $(4,189,874) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $(1,768,949) |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Increase in total return of AEX Index (At Termination) | Decrease in total return of AEX Index (At Termination) | 10/20/2023 | GSC | EUR | 16,795,750 | $210,050 | $ — | $210,050 | ||||||||
Increase in total return of Swiss Market Index (At Termination) | Decrease in total return of Swiss Market Index (At Termination) | 12/15/2023 | GSC | CHF | 9,241,680 | 13,331 | — | 13,331 | ||||||||
Financing Index: 1-Month TELBOR - 0.2% | Tel Aviv Interbank Offered Rate (Monthly) | 12/20/2023 | GSC | ILS | 168,078,972 | 6,668 | — | 6,668 | ||||||||
MSCI Canada Net Return CAD Index (Monthly) | Financing Index: Canadian Overnight Repo Rate Average - 0.4% | 12/20/2023 | GSC | CAD | 206,586 | 189,408 | — | 189,408 |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
MSCI Netherlands Net Return EUR Index (Monthly) | Financing Index: Euro Short Term Rate - 0.11% | 12/20/2023 | GSC | EUR | 2,839,434 | $ 20,258 | $ — | $ 20,258 | ||||||||
MSCI Switzerland Net Return CHF Index (Monthly) | Financing Index: Swiss Average Rate Overnight - 0.27% | 12/20/2023 | GSC | CHF | 135,759 | 478 | — | 478 | ||||||||
Subtotal Appreciation | $440,193 | $ — | $440,193 | |||||||||||||
Financing Index: 1-Day SONIA + 0.41% | MSCI United Kingdom Net Return GBP Index (Monthly) | 12/20/2023 | GSC | GBP | 48,660 | $ (9,909) | $ — | $ (9,909) | ||||||||
Financing Index: Bank of Japan Unsecured Overnight Call Rate - 0.37% | MSCI Japan Net Return JPY Index (Monthly) | 12/20/2023 | GSC | JPY | 132,498,528 | (38,710) | — | (38,710) | ||||||||
Financing Index: Euro Short Term Rate + 0.2% | MSCI Italy Net Return EUR Index (Monthly) | 12/20/2023 | GSC | EUR | 18,123,999 | (12,423) | — | (12,423) | ||||||||
MSCI Spain Net Return EUR Index (Monthly) | Financing Index: Euro Short Term Rate - 0.34% | 12/20/2023 | GSC | EUR | 4,852,131 | (5,636) | — | (5,636) | ||||||||
MSCI Sweden Net Return SEK Index (Monthly) | Financing Index: 1-Month STIBOR - 0.63% | 12/20/2023 | GSC | SEK | 103,766 | (9,656) | — | (9,656) | ||||||||
Subtotal Depreciation | $ (76,334) | $ — | $ (76,334) | |||||||||||||
Net Total Return Swaps outstanding at September 30, 2023 | $363,859 | $ — | $363,859 |
Description | Maturity
Date |
Counterparty | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the SONIA plus or minus a specified spread (-0.25% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swap (Monthly).* | 23-60 months maturity ranging from 08/08/2025 - 09/15/2028 | GSC | $ 29,082,960 | $1,182,243 | $— | $1,182,243 | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-0.35% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swap (Monthly).** | 23-59 months maturity ranging from 08/08/2025 - 08/31/2028 | GSC | 48,553,413 | 483,196 | — | 483,196 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the RBA minus a specified spread (-0.40%), which is denominated in AUD based on the local currencies of the positions within the swap (Monthly).*** | 40-60 months maturity ranging from 01/06/2027 - 09/15/2028 | GSC | 13,331,238 | 317,197 | — | 317,197 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the MUTSCALM minus a specified spread (-0.30%), which is denominated in JPY based on the local currencies of the positions within the swap (Monthly).**** | 23-60 months maturity ranging from 08/08/2025 - 09/15/2028 | GSC | 1,915,999,887 | 306,940 | — | 306,940 |
Description | Maturity
Date |
Counterparty | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the SSARON minus a specified spread (-1.75 to -0.35%), which is denominated in CHF based on the local currencies of the positions within the swap (Monthly). | 40-59 months maturity ranging from 01/06/2027 - 08/31/2028 | GSC | $ 3,421,325 | $ 271,704 | $ — | $ 271,704 | ||||||
The Fund receives the total return on a portfolio of long equity positions and pays HIBOR plus a specified spread (0.33%), which is denominated in HKD based on the local currencies of the positions within the swap (Monthly). | 26-59 months maturity ranging from 08/08/2025 - 05/25/2028 | GSC | 40,985,166 | 66,107 | — | 66,107 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the STIBOR minus a specified spread ( -0.35%), which is denominated in SEK based on the local currencies of the positions within the swap (Monthly). | 54-59 months maturity ranging from 03/03/2028 - 08/07/2028 | GSC | 19,988,279 | 21,556 | — | 21,556 | ||||||
The Fund receives the total return on a portfolio of short equity positions and pays 1-Month SORA minus a specified spread (0.40%), which is denominated in SGD based on the local currencies of the positions within the swap (Monthly). | 54-60 months maturity ranging from 03/23/2028 - 09/15/2028 | GSC | 575,285 | 7,831 | — | 7,831 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the NOWA minus a specified spread (-0.35%), which is denominated in NOK based on the local currencies of the positions within the swap (Monthly). | 50-55 months maturity ranging from 11/03/2027 - 04/21/2028 | GSC | 15,551,759 | 5,063 | — | 5,063 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the DETNT/N minus a specified spread (-0.35%), which is denominated in DKK based on the local currencies of the positions within the swap (Monthly). | 23-56 months maturity ranging from 08/08/2025 - 05/26/2028 | GSC | 3,381,694 | 13,606 | — | 13,606 | ||||||
Subtotal Appreciation | $2,675,443 | $ — | $2,675,443 |
* The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
HSBC Holdings PLC | 623,491 | $ 3,998,901 | $ 441,273 | 37.33% | ||||
Shell PLC | 151,096 | 3,924,982 | 201,174 | 17.02 | ||||
BP PLC | 491,859 | 2,598,550 | 93,088 | 7.87 | ||||
Centrica PLC | 1,629,943 | 2,512,728 | (172,160) | (14.56) | ||||
Antofagasta PLC | (120,999) | 1,721,592 | 118,970 | 10.06 | ||||
Vodafone Group PLC | 2,226,409 | 1,710,546 | 41,312 | 3.49 | ||||
Marks & Spencer Group PLC | 717,220 | 1,690,749 | 128,733 | 10.89 | ||||
Rolls-Royce Holdings PLC | 657,321 | 1,443,501 | (33,739) | (2.85) | ||||
InterContinental Hotels Group PLC | 20,705 | 1,254,999 | (9,415) | (0.80) | ||||
Barratt Developments PLC | 262,815 | 1,154,919 | 64,298 | 5.44 |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Associated British Foods PLC | 43,201 | $ 889,579 | $ 28,144 | 2.38% | ||||
Whitbread PLC | 21,049 | 726,181 | (36,361) | (3.08) | ||||
Barclays PLC | 416,974 | 658,706 | 64,799 | 5.48 | ||||
Carnival PLC | (54,769) | 543,554 | 60,566 | 5.12 | ||||
Compass Group PLC | 26,310 | 524,897 | (10,841) | (0.92) | ||||
Ocado Group PLC | (86,491) | 515,422 | 225,861 | 19.10 | ||||
Pearson PLC | 57,610 | 498,180 | (8,544) | (0.72) | ||||
Man Group PLC | 189,474 | 422,092 | 29,464 | 2.49 | ||||
3i Group PLC | 16,377 | 337,857 | 7,630 | 0.65 | ||||
London Stock Exchange Group PLC | 3,917 | 321,765 | (3,322) | (0.28) | ||||
TUI AG | 58,370 | 262,229 | (20,518) | (1.73) | ||||
Haleon PLC | 77,158 | 262,132 | 15,025 | 1.27 | ||||
Rentokil Initial PLC | (36,222) | 220,420 | (10,192) | (0.86) | ||||
Direct Line Insurance Group | 100,936 | 173,069 | (6,103) | (0.52) | ||||
Hiscox, Ltd. | 16,474 | 165,086 | (5,868) | (0.50) | ||||
Anglo American PLC | (6,397) | 143,971 | (13,629) | (1.15) | ||||
Croda International PLC | (2,218) | 108,585 | 5,696 | 0.48 | ||||
Melrose Industries PLC | (22,239) | 103,902 | 4,996 | 0.42 | ||||
Burberry Group PLC | 4,642 | 88,171 | (13,176) | (1.11) | ||||
Coca-Cola HBC AG CDI | 2,823 | 63,267 | (1,216) | (0.10) | ||||
EasyJet PLC | 9,987 | 42,428 | (3,702) | (0.31) | ||||
$29,082,960 | $1,182,243 | 100.00% |
** The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Repsol SA | 212,059 | $ 3,299,278 | $ 101,103 | 20.92% | ||||
Sanofi | 29,467 | 2,992,695 | (13,750) | (2.84) | ||||
Sodexo SA | 29,111 | 2,834,624 | (113,955) | (23.58) | ||||
TotalEnergies SE | 39,211 | 2,438,494 | 82,304 | 17.03 | ||||
Cellnex Telecom SA | (65,773) | 2,163,837 | 149,893 | 31.02 | ||||
Rexel SA | 101,227 | 2,145,273 | (102,325) | (21.18) | ||||
Eiffage SA | 22,265 | 1,998,904 | (40,093) | (8.30) | ||||
Engie SA | 113,119 | 1,640,872 | (47,529) | (9.84) | ||||
Banco de Sabadell SA | 1,356,687 | 1,484,525 | 57,242 | 11.85 | ||||
Dassault Aviation SA | 8,119 | 1,446,406 | (34,118) | (7.06) | ||||
Unibail-Rodamco-Westfield REIT | (28,391) | 1,320,540 | 71,840 | 14.87 | ||||
Banco Santander SA | 353,873 | 1,274,602 | 60,503 | 12.52 | ||||
Orange SA | 112,772 | 1,223,481 | (10,300) | (2.13) | ||||
Ferrari NV | (3,903) | 1,088,246 | 7,537 | 1.56 | ||||
adidas AG | (6,456) | 1,071,117 | 83,303 | 17.24 | ||||
Mapfre SA | 532,790 | 1,025,456 | (28,638) | (5.93) | ||||
Compagnie De Saint Gobain | 17,735 | 1,003,970 | (16,185) | (3.35) | ||||
STMicroelectronics NV | 24,448 | 997,184 | (8,187) | (1.69) | ||||
Bankinter SA | 142,550 | 857,793 | 38,043 | 7.87 | ||||
Sartorius Stedim Biotech | (3,605) | 811,201 | 124,636 | 25.79 | ||||
Adyen NV | (1,071) | 751,077 | 8,706 | 1.80 | ||||
Faurecia SE (Euronext Paris Exchange) | (38,513) | 749,441 | (5,277) | (1.09) | ||||
BNP Paribas SA | 12,414 | 746,616 | 7,018 | 1.45 | ||||
Telefonica | 188,738 | 729,307 | (7,353) | (1.52) | ||||
Rubis | 33,184 | 702,962 | (55,272) | (11.44) | ||||
Ipsen SA | 5,289 | 655,450 | 6,754 | 1.40 |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
SCOR SE | 20,095 | $ 590,103 | $ (24,066) | (4.98)% | ||||
Kering SA | 1,330 | 571,580 | (55,161) | (11.41) | ||||
Covestro AG | (11,199) | 569,615 | 32,201 | 6.67 | ||||
Axa SA | 19,718 | 553,332 | 1,194 | 0.25 | ||||
Bouygues SA | 16,408 | 542,633 | 17,590 | 3.64 | ||||
ASM International NV | (1,350) | 533,223 | 45,629 | 9.44 | ||||
Industria de Diseno Textil SA | 14,785 | 520,388 | (10,427) | (2.16) | ||||
Banco Bilbao Vizcaya Argentaria SA | (60,464) | 462,834 | (36,679) | (7.59) | ||||
CTS Eventim AG & Co. KGaA | (8,455) | 453,948 | 21,560 | 4.46 | ||||
Delivery Hero SE | (15,867) | 428,525 | 56,839 | 11.76 | ||||
Corp ACCIONA Energias Renovables | (17,177) | 418,482 | 40,441 | 8.37 | ||||
Eurofins Scientific | (7,494) | 399,471 | 7,593 | 1.57 | ||||
Safran SA | 2,685 | 397,980 | (6,033) | (1.25) | ||||
Renault SA | 9,359 | 362,201 | 20,784 | 4.30 | ||||
Siemens Healthineers AG | (7,291) | 348,822 | (19,371) | (4.01) | ||||
Brembo SpA | (26,838) | 314,699 | 14,832 | 3.07 | ||||
Valeo | (18,752) | 304,359 | 26,643 | 5.51 | ||||
Societe Generale SA | 13,133 | 300,579 | (39,805) | (8.24) | ||||
Wacker Chemie AG | (2,203) | 297,551 | 2,702 | 0.56 | ||||
Nexi SpA | (49,972) | 287,996 | 28,692 | 5.94 | ||||
DiaSorin SpA | (3,340) | 287,679 | 24,188 | 5.01 | ||||
Reply SPA | (2,899) | 257,289 | (2,341) | (0.48) | ||||
Stora Enso OYJ, R Shares | (20,383) | 241,634 | (2,884) | (0.60) | ||||
Credit Agricole SA | 19,529 | 227,104 | 6,376 | 1.32 | ||||
Other | (30,081) | 1,428,033 | 16,799 | 3.48 | ||||
$48,553,411 | $ 483,196 | 100.00% |
*** The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Mineral Resources, Ltd. | (63,106) | $ 4,214,764 | $ 51,517 | 16.24% | ||||
Lynas Rare Earths, Ltd. | (341,535) | 2,294,080 | 130,637 | 41.18 | ||||
Commonwealth Bank of Australia | (22,309) | 2,216,364 | 20,039 | 6.32 | ||||
Cleanaway Waste Management, Ltd. | (452,831) | 1,096,922 | 31,222 | 9.84 | ||||
Domino’s Pizza Enterprises, Ltd. | (20,703) | 1,093,382 | (3,236) | (1.02) | ||||
Alumina, Ltd. | (955,175) | 903,638 | 52,578 | 16.57 | ||||
Reece, Ltd. | (38,794) | 718,218 | 16,896 | 5.33 | ||||
Igo, Ltd. | (38,874) | 485,209 | 21,620 | 6.82 | ||||
New Hope Corporation, Ltd. | (29,273) | 184,731 | (6,163) | (1.94) | ||||
Woodside Energy Group, Ltd. | (3,427) | 123,931 | 2,087 | 0.66 | ||||
$13,331,239 | $317,197 | 100.00% |
**** The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
NTT Data Corporation | (101,300) | $ 202,570,587 | $ (9,809) | (3.20)% | ||||
Baycurrent Consulting, Inc. | (30,030) | 149,542,307 | 1,270 | 0.41 | ||||
Eisai Co., Ltd. | (16,900) | 139,974,771 | 70,922 | 23.11 | ||||
Nippon Telegraph & Telephone Corporation | (657,700) | 116,335,613 | (25,181) | (8.20) |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Denso Corporation | (42,800) | $ 102,629,959 | $ 27,360 | 8.91% | ||||
Tokio Marine Holdings, Inc. | (28,500) | 98,612,538 | (19,458) | (6.34) | ||||
Yaskawa Electric Corporation | (17,700) | 95,252,408 | 34,770 | 11.33 | ||||
Kansai Electric Power Co., Inc. (The) | (43,200) | 89,377,709 | 39,385 | 12.83 | ||||
Asahi Intecc Co., Ltd. | (31,100) | 83,323,647 | 65,109 | 21.21 | ||||
Daikin Industries, Ltd. | (3,400) | 79,655,075 | 29,527 | 9.62 | ||||
Japan Airport Terminal Co., Ltd. | (10,462) | 66,234,234 | 10,859 | 3.54 | ||||
Rakuten, Inc. | (88,300) | 54,217,805 | (22,042) | (7.18) | ||||
KDDI Corporation | (10,600) | 48,488,958 | (5,305) | (1.73) | ||||
Unicharm Corporation | (8,400) | 44,384,431 | 21,599 | 7.04 | ||||
Nissan Chemical Corporation | (6,900) | 43,833,047 | (4,314) | (1.41) | ||||
Advantest Corporation | (10,400) | 43,351,431 | 2,944 | 0.96 | ||||
Sysmex Corporation | (6,000) | 42,605,803 | 19,234 | 6.27 | ||||
SMC Corporation | (600) | 40,192,995 | 4,226 | 1.38 | ||||
Nitori Holdings Co., Ltd. | (2,400) | 39,988,525 | 10,052 | 3.27 | ||||
Kobe Bussan Co., Ltd. | (10,600) | 37,085,255 | 2,168 | 0.71 | ||||
Asics Corporation | (7,100) | 36,946,541 | 7,148 | 2.33 | ||||
Sharp Corporation | (36,700) | 34,144,234 | (1,792) | (0.58) | ||||
Kurita Water Industries, Ltd. | (6,100) | 31,722,060 | 10,729 | 3.50 | ||||
Capcom Co., Ltd. | (5,508) | 29,625,340 | 24,344 | 7.93 | ||||
Kubota Corporation | (12,600) | 27,699,652 | 12,290 | 4.00 | ||||
Showa Denko K. K. | (8,300) | 20,749,830 | 286 | 0.09 | ||||
Sumitomo Metal Mining Co., Ltd. | (4,600) | 20,186,983 | 1,261 | 0.41 | ||||
Konami Holdings Corporation | (2,200) | 17,334,116 | 6,076 | 1.98 | ||||
Osaka Gas Co., Ltd. | (5,800) | 14,262,313 | (2,070) | (0.67) | ||||
Lasertec Corporation | (600) | 13,943,873 | (7,756) | (2.53) | ||||
Fast Retailing Co., Ltd. | (400) | 13,020,122 | 2,257 | 0.74 | ||||
Keyence Corporation | (200) | 11,053,357 | 2,313 | 0.75 | ||||
GMO Payment Gateway, Inc. | (1,200) | 9,784,783 | 4,705 | 1.53 | ||||
Daifuku Co., Ltd. | (3,400) | 9,591,140 | (4,124) | (1.34) | ||||
MINEBEA MITSUMI, Inc. | (3,400) | 8,278,445 | (2,043) | (0.67) | ||||
$1,915,999,887 | $306,940 | 100.00% |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
IFSC NIFTY 50 Index | 10/2023 | (29) | $ (1,143,209) | $ 371 | ||||
FTSE Taiwan Index | 10/2023 | 268 | 15,276,000 | 127,399 | ||||
MSCI Singapore Index | 10/2023 | (399) | (8,337,553) | (126,312) | ||||
FTSE Bursa Malaysia KLCI | 10/2023 | (15) | (227,943) | 2,671 |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
KOSPI2 Index | 12/2023 | 192 | $11,702,979 | $ (429,061) | ||||
Mexican Bolsa Index | 12/2023 | 15 | 443,101 | (9,373) | ||||
MSCI Emerging Markets | 12/2023 | 618 | 29,524,950 | (895,882) | ||||
FTSE/JSE Top 40 Index | 12/2023 | (118) | (4,203,657) | 108,533 | ||||
Thai SET50 Index | 12/2023 | (576) | (2,852,436) | 55,848 | ||||
Total Futures Contracts outstanding at September 30, 2023 | $40,182,232 | $(1,165,806) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | U.S. Dollars | 7,715,951 | Polish Zloty | 31,935,000 | CITI | $ 430,527 | ||||||
12/20/23 | U.S. Dollars | 28,398,890 | Singapore Dollars | 38,338,000 | CITI | 247,363 | ||||||
12/20/23 | U.S. Dollars | 11,225,034 | South Korean Won | 14,820,054,000 | CITI | 219,691 | ||||||
12/20/23 | U.S. Dollars | 10,058,490 | Mexican Pesos | 175,000,000 | CITI | 155,964 | ||||||
12/20/23 | South African Rand | 145,231,000 | U.S. Dollars | 7,482,636 | CITI | 131,697 | ||||||
12/20/23 | U.S. Dollars | 7,208,928 | Brazilian Reals | 36,032,000 | CITI | 113,213 | ||||||
12/20/23 | U.S. Dollars | 18,175,252 | Israeli Shekels | 68,731,443 | CITI | 79,063 | ||||||
12/20/23 | Mexican Pesos | 131,826,741 | U.S. Dollars | 7,382,878 | CITI | 76,652 | ||||||
12/20/23 | U.S. Dollars | 2,917,972 | Chilean Pesos | 2,544,307,277 | CITI | 72,943 | ||||||
12/20/23 | U.S. Dollars | 1,812,204 | Hungarian Forint | 660,000,000 | CITI | 43,719 | ||||||
12/20/23 | U.S. Dollars | 7,637,845 | Chinese Offshore Yuan | 55,224,482 | CITI | 42,505 | ||||||
12/20/23 | Colombian Pesos | 15,241,666,666 | U.S. Dollars | 3,621,443 | CITI | 38,508 | ||||||
12/20/23 | Chinese Offshore Yuan | 67,668,511 | U.S. Dollars | 9,280,120 | CITI | 26,717 | ||||||
12/20/23 | U.S. Dollars | 5,280,678 | Indonesian Rupiahs | 81,421,124,212 | CITI | 26,492 | ||||||
12/20/23 | Israeli Shekels | 37,925,238 | U.S. Dollars | 9,964,908 | CITI | 20,366 | ||||||
12/20/23 | U.S. Dollars | 4,315,259 | South African Rand | 82,000,000 | CITI | 16,072 | ||||||
12/20/23 | Philippine Pesos | 190,000,000 | U.S. Dollars | 3,343,822 | CITI | 11,320 | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | 10,599 | ||||||
12/20/23 | U.S. Dollars | 479,577 | Thai Baht | 17,000,000 | CITI | 9,189 | ||||||
12/20/23 | U.S. Dollars | 8,074,309 | Hong Kong Dollars | 63,072,269 | CITI | 6,161 | ||||||
10/10/23 | Chinese Offshore Yuan | 16,398,356 | U.S. Dollars | 2,243,044 | CITI | 4,960 | ||||||
12/20/23 | Hungarian Forint | 240,000,000 | U.S. Dollars | 640,150 | CITI | 2,935 | ||||||
12/20/23 | Saudi Riyals | 16,512,204 | U.S. Dollars | 4,397,575 | CITI | 1,450 | ||||||
12/20/23 | U.S. Dollars | 90,158 | Euro | 84,000 | CITI | 994 | ||||||
12/20/23 | U.S. Dollars | 29,338 | Peruvian Nuevo Soles | 110,000 | CITI | 424 | ||||||
12/20/23 | Peruvian Nuevo Soles | 5,000 | U.S. Dollars | 1,312 | CITI | 3 | ||||||
12/20/23 | U.S. Dollars | 87,385 | Saudi Riyals | 328,000 | CITI | 2 | ||||||
Subtotal Appreciation | $1,789,529 | |||||||||||
12/20/23 | U.S. Dollars | 5,302 | Euro | 5,000 | CITI | $ (6) | ||||||
12/20/23 | U.S. Dollars | 54,936 | Thai Baht | 2,000,000 | CITI | (404) | ||||||
12/20/23 | U.S. Dollars | 4,485,951 | Singapore Dollars | 6,110,000 | CITI | (611) | ||||||
12/20/23 | U.S. Dollars | 4,166,318 | Saudi Riyals | 15,644,336 | CITI | (1,499) | ||||||
12/20/23 | U.S. Dollars | 655,854 | Philippine Pesos | 37,287,000 | CITI | (2,584) | ||||||
12/20/23 | U.S. Dollars | 2,873,634 | Indian Rupees | 240,000,000 | CITI | (2,652) | ||||||
12/20/23 | Israeli Shekels | 8,142,762 | U.S. Dollars | 2,147,139 | CITI | (3,245) | ||||||
12/20/23 | U.S. Dollars | 1,093,764 | Indonesian Rupiahs | 17,000,000,000 | CITI | (3,263) | ||||||
12/20/23 | Peruvian Nuevo Soles | 1,033,874 | U.S. Dollars | 277,310 | CITI | (5,546) | ||||||
12/20/23 | Hong Kong Dollars | 107,685,593 | U.S. Dollars | 13,781,661 | CITI | (6,617) | ||||||
10/10/23 | U.S. Dollars | 2,240,864 | Chinese Offshore Yuan | 16,398,356 | CITI | (7,140) | ||||||
12/20/23 | Polish Zloty | 3,213,000 | U.S. Dollars | 746,245 | CITI | (13,254) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | Colombian Pesos | 8,058,333,334 | U.S. Dollars | 1,956,115 | CITI | $ (21,084) | ||||||
12/20/23 | U.S. Dollars | 8,788,623 | Chinese Offshore Yuan | 64,078,116 | CITI | (24,407) | ||||||
12/20/23 | Euro | 1,120,000 | U.S. Dollars | 1,213,358 | CITI | (24,508) | ||||||
12/20/23 | U.S. Dollars | 8,248,410 | Israeli Shekels | 31,458,557 | CITI | (34,262) | ||||||
12/20/23 | Chinese Offshore Yuan | 61,827,265 | U.S. Dollars | 8,538,391 | CITI | (34,933) | ||||||
12/20/23 | U.S. Dollars | 6,301,861 | Chilean Pesos | 5,700,000,000 | CITI | (71,844) | ||||||
12/20/23 | Indian Rupees | 1,792,532,000 | U.S. Dollars | 21,568,719 | CITI | (86,079) | ||||||
12/20/23 | Hungarian Forint | 1,129,656,000 | U.S. Dollars | 3,118,118 | CITI | (91,180) | ||||||
12/20/23 | Brazilian Reals | 22,253,000 | U.S. Dollars | 4,487,374 | CITI | (105,132) | ||||||
12/20/23 | South African Rand | 230,231,000 | U.S. Dollars | 12,182,755 | CITI | (111,946) | ||||||
12/20/23 | Chilean Pesos | 4,200,000,000 | U.S. Dollars | 4,855,507 | CITI | (159,092) | ||||||
12/20/23 | Czech Republic Koruna | 140,100,000 | U.S. Dollars | 6,245,482 | CITI | (185,693) | ||||||
12/20/23 | Mexican Pesos | 171,826,738 | U.S. Dollars | 9,950,026 | CITI | (227,062) | ||||||
12/20/23 | Thai Baht | 307,269,624 | U.S. Dollars | 8,766,176 | CITI | (264,043) | ||||||
12/20/23 | South Korean Won | 22,000,000,000 | U.S. Dollars | 16,607,914 | CITI | (270,758) | ||||||
07/16/25 | U.S. Dollars | 3,253,457 | Chinese Offshore Yuan | 24,819,000 | MSCS | (285,722) | ||||||
12/20/23 | Taiwan Dollars | 694,477,890 | U.S. Dollars | 21,972,945 | CITI | (315,903) | ||||||
Subtotal Depreciation | $(2,360,469) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $ (570,940) |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decrease in total return of HSCEI Index (At Termination) | Increase in total return of HSCEI Index (At Termination) | 10/30/2023 | CITI | HKD | 45,430,350 | $ 75,931 | $ — | $ 75,931 | ||||||||
Increase in total return of WIG20 Index (At Termination) | Decrease in total return of WIG20 Index (At Termination) | 12/15/2023 | CITI | PLN | 1,827,360 | 9,225 | — | 9,225 | ||||||||
Financing Index: Overnight Bank Funding Rate + 0.4% | MSCI Saudi Arabia Index Futures (Monthly) | 12/20/2023 | GSC | USD | 331,252 | 382 | — | 382 | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index (Monthly) | Financing Index: Overnight Bank Funding Rate - 0.2% | 12/20/2023 | CITI | USD | 7,644,766 | 325,371 | — | 325,371 | ||||||||
MSCI Poland Net Return PLN Index (Monthly) | Financing Index: 1-Month WIBOR - 0.1% | 12/20/2023 | CITI | PLN | 8,160,453 | 10,799 | — | 10,799 | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: Singapore Overnight Rate - 0.25% | 12/20/2023 | CITI | SGD | 999,660 | 2,476 | — | 2,476 | ||||||||
MSCI South Africa Net Return ZAR Index (Monthly) | Financing Index: 1-Month SAFE South Africa JIBAR - 0.55% | 12/20/2023 | CITI | ZAR | 33,006,406 | 22,021 | — | 22,021 | ||||||||
Tel Aviv Interbank Offered Rate (Monthly) | Financing Index: 1-Month TELBOR - 0.6% | 12/20/2023 | GSC | ILS | 1,945,186 | 61 | — | 61 | ||||||||
Increase in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | Decrease in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | 12/21/2023 | CITI | ZAR | 866,670 | 1,239 | — | 1,239 | ||||||||
Subtotal Appreciation | $ 447,505 | $ — | $ 447,505 | |||||||||||||
Decrease in total return of Bovespa Index (At Termination) | Increase in total return of Bovespa Index (At Termination) | 10/18/2023 | CITI | BRL | 14,309,990 | $ (35,254) | $ — | $ (35,254) |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 10/18/2023 | CITI | TWD | 189,857,200 | $(131,663) | $ — | $(131,663) | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 12/14/2023 | CITI | KRW | 15,298,500,000 | (333,280) | — | (333,280) | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.2% | MSCI Mexico Net MXN Index (Monthly) | 12/20/2023 | CITI | MXN | 158,430,461 | (22,688) | — | (22,688) | ||||||||
Financing Index: Overnight Bank Funding Rate + 0.4% | MSCI Saudi Arabia Index Futures (Monthly) | 12/20/2023 | GSC | USD | 22,014,401 | (39,774) | — | (39,774) | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: Singapore Overnight Rate - 0.25% | 12/20/2023 | CITI | SGD | 8,475,986 | (72,719) | — | (72,719) | ||||||||
Tel Aviv Interbank Offered Rate (Monthly) | Financing Index: 1-Month TELBOR - 0.6% | 12/20/2023 | GSC | ILS | 12,150,565 | (9,478) | — | (9,478) | ||||||||
Subtotal Depreciation | $(644,856) | $ — | $(644,856) | |||||||||||||
Net Total Return Swaps outstanding at September 30, 2023 | $(197,351) | $ — | $(197,351) |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 5.50%ا | 6,627,975 | $ 6,627,975 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 5.20%Ø | 15,528 | 15,528 | ||
Total
Money Market Funds (Cost $13,126,550) |
13,126,550 | |||
TOTAL
INVESTMENTS — 102.0% (Cost $273,438,649) |
247,349,207 | |||
Liabilities
in Excess of Other Assets — (2.0)% |
(4,834,592) | |||
NET ASSETS — 100.0% | $242,514,615 |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
E-Mini S&P MidCap 400 | 12/2023 | 18 | $4,536,720 | $(128,006) |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
Brazilian Reals/U.S. Dollars | 10/2023 | 1 | $ 19,820 | $ (235) | ||||
30-Year Euro Buxl | 12/2023 | (1) | (129,365) | 1,139 | ||||
Euro-Bobl | 12/2023 | (74) | (9,055,876) | 28,072 | ||||
Euro-Bund | 12/2023 | (3) | (408,014) | (962) | ||||
Euro-OAT | 12/2023 | (1) | (130,253) | 568 | ||||
Euro-OAT | 12/2023 | 1 | 130,253 | (4,357) | ||||
FTSE KLCI | 12/2023 | (1) | (116,012) | 5,848 | ||||
10-Year Bond | 12/2023 | (6) | (508,581) | 14,076 | ||||
Australian Dollars/U.S. Dollars | 12/2023 | (153) | (9,876,150) | (36,842) | ||||
British Pounds/U.S. Dollars | 12/2023 | (39) | (2,976,188) | 63,180 | ||||
Mexican Pesos/U.S. Dollars | 12/2023 | 2 | 56,720 | (910) | ||||
New Zealand Dollars/U.S. Dollars | 12/2023 | (4) | (240,060) | (3,764) | ||||
South African Rand/U.S. Dollars | 12/2023 | 2 | 52,575 | 126 | ||||
Swiss Francs/U.S. Dollars | 12/2023 | (9) | (1,239,300) | 29,857 | ||||
U.S. Dollars/Norwegian Kroner | 12/2023 | 1 | 99,539 | (224) | ||||
U.S. Dollars/Swedish Kronor | 12/2023 | 1 | 99,455 | (1,881) | ||||
10-Year U.S. Treasury Note | 12/2023 | (63) | (6,807,938) | 29,959 | ||||
U.S. Treasury Long Bond | 12/2023 | (14) | (1,592,938) | 1,586 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | (143) | (15,953,438) | 283,431 | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | (45) | (5,340,938) | 104,707 | ||||
Canadian Dollars/U.S. Dollars | 12/2023 | (4) | (295,340) | 35 | ||||
Euro/U.S. Dollars | 12/2023 | (93) | (12,337,031) | 190,881 | ||||
Japanese Yen/U.S. Dollars | 12/2023 | (17) | (1,440,219) | 24,040 | ||||
Long GILT | 12/2023 | (2) | (229,769) | 956 | ||||
Long GILT | 12/2023 | 2 | 229,769 | (1,522) | ||||
2-Year U.S. Treasury Note | 12/2023 | (9) | (1,824,398) | (1,662) | ||||
5-Year U.S. Treasury Note | 12/2023 | (42) | (4,425,094) | 672 |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
3-Month SONIA Index | 12/2024 | 32 | $ 9,265,440 | $ 19,417 | ||||
Total Futures Contracts outstanding at September 30, 2023 | $(64,973,331) | $746,191 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | U.S. Dollars | 3,090,642 | British Pounds | 2,483,279 | MSCS | $ 58,951 | ||||||
10/30/23 | U.S. Dollars | 1,803,589 | British Pounds | 1,429,968 | MSCS | 58,552 | ||||||
12/20/23 | U.S. Dollars | 2,310,863 | Swiss Francs | 2,067,103 | MSCS | 31,296 | ||||||
12/20/23 | U.S. Dollars | 2,891,831 | Euro | 2,695,409 | MSCS | 30,728 | ||||||
12/20/23 | U.S. Dollars | 2,596,472 | Canadian Dollars | 3,495,993 | MSCS | 19,088 | ||||||
12/20/23 | Swedish Kronor | 10,610,945 | U.S. Dollars | 957,350 | MSCS | 18,048 | ||||||
12/20/23 | U.S. Dollars | 855,256 | Japanese Yen | 123,966,962 | MSCS | 14,129 | ||||||
10/02/23 | U.S. Dollars | 310,174 | Chilean Pesos | 263,087,403 | MSCS | 14,121 | ||||||
12/20/23 | New Zealand Dollars | 2,233,942 | U.S. Dollars | 1,325,152 | MSCS | 13,807 | ||||||
11/22/23 | U.S. Dollars | 394,371 | Japanese Yen | 57,202,245 | MSCS | 8,187 | ||||||
12/20/23 | Canadian Dollars | 1,342,413 | U.S. Dollars | 984,249 | MSCS | 5,431 | ||||||
12/06/23 | U.S. Dollars | 618,614 | Euro | 578,408 | MSCS | 5,210 | ||||||
12/20/23 | Norwegian Kroner | 8,281,897 | U.S. Dollars | 771,754 | MSCS | 4,297 | ||||||
11/20/23 | U.S. Dollars | 798,042 | Canadian Dollars | 1,078,792 | MSCS | 3,213 | ||||||
10/31/23 | U.S. Dollars | 270,000 | South Korean Won | 360,544,500 | MSCS | 2,981 | ||||||
12/20/23 | U.S. Dollars | 213,618 | Czech Republic Koruna | 4,876,679 | MSCS | 2,685 | ||||||
12/20/23 | Euro | 242,592 | Swiss Francs | 231,297 | MSCS | 2,434 | ||||||
12/04/23 | U.S. Dollars | 87,339 | Swiss Francs | 77,211 | MSCS | 2,371 | ||||||
11/08/23 | U.S. Dollars | 159,347 | Swedish Kronor | 1,718,972 | MSCS | 1,752 | ||||||
12/20/23 | U.S. Dollars | 690,375 | Norwegian Kroner | 7,350,446 | MSCS | 1,605 | ||||||
12/20/23 | Israeli Shekels | 1,032,610 | Euro | 255,000 | MSCS | 1,199 | ||||||
11/21/23 | U.S. Dollars | 556,538 | Australian Dollars | 862,370 | MSCS | 1,073 | ||||||
12/20/23 | Canadian Dollars | 365,591 | Euro | 253,000 | MSCS | 976 | ||||||
11/09/23 | U.S. Dollars | 80,771 | Mexican Pesos | 1,400,634 | MSCS | 958 | ||||||
12/20/23 | Chinese Offshore Yuan | 1,969,514 | U.S. Dollars | 270,000 | MSCS | 878 | ||||||
12/20/23 | Euro | 263,076 | Mexican Pesos | 4,920,050 | MSCS | 843 | ||||||
10/30/23 | British Pounds | 412,013 | U.S. Dollars | 502,066 | MSCS | 727 | ||||||
11/21/23 | Australian Dollars | 980,013 | U.S. Dollars | 630,698 | MSCS | 542 | ||||||
12/20/23 | U.S. Dollars | 143,587 | South Korean Won | 192,697,509 | MSCS | 490 | ||||||
11/08/23 | U.S. Dollars | 74,007 | South African Rand | 1,398,439 | MSCS | 408 | ||||||
12/20/23 | Australian Dollars | 454,448 | U.S. Dollars | 292,634 | MSCS | 404 | ||||||
12/20/23 | Singapore Dollars | 184,324 | U.S. Dollars | 135,000 | MSCS | 349 | ||||||
12/20/23 | Mexican Pesos | 2,470,597 | Euro | 131,432 | MSCS | 289 | ||||||
12/20/23 | New Zealand Dollars | 226,259 | Australian Dollars | 210,000 | MSCS | 200 | ||||||
12/20/23 | Japanese Yen | 19,766,902 | U.S. Dollars | 134,000 | MSCS | 120 | ||||||
Subtotal Appreciation | $308,342 | |||||||||||
12/20/23 | Euro | 279,215 | Japanese Yen | 43,681,218 | MSCS | $ (2) | ||||||
12/20/23 | U.S. Dollars | 46,790 | Chilean Pesos | 41,886,641 | MSCS | (47) | ||||||
12/20/23 | U.S. Dollars | 44,503 | Norwegian Kroner | 475,426 | MSCS | (47) | ||||||
11/21/23 | Australian Dollars | 175,910 | U.S. Dollars | 113,397 | MSCS | (90) | ||||||
11/06/23 | U.S. Dollars | 139,390 | South Korean Won | 188,288,269 | MSCS | (102) | ||||||
12/20/23 | U.S. Dollars | 142,735 | Singapore Dollars | 194,573 | MSCS | (140) | ||||||
10/02/23 | U.S. Dollars | 46,673 | Chilean Pesos | 41,776,591 | MSCS | (339) | ||||||
12/20/23 | Chinese Offshore Yuan | 1,931,240 | U.S. Dollars | 266,000 | MSCS | (386) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | South Korean Won | 191,595,871 | U.S. Dollars | 142,735 | MSCS | $ (456) | ||||||
12/20/23 | U.S. Dollars | 134,000 | British Pounds | 110,197 | MSCS | (533) | ||||||
12/20/23 | Hungarian Forint | 10,047,222 | U.S. Dollars | 27,472 | MSCS | (550) | ||||||
11/09/23 | Mexican Pesos | 879,728 | U.S. Dollars | 50,732 | MSCS | (602) | ||||||
11/08/23 | South African Rand | 3,154,106 | U.S. Dollars | 166,759 | MSCS | (758) | ||||||
12/12/23 | U.S. Dollars | 58,377 | New Zealand Dollars | 98,876 | MSCS | (886) | ||||||
12/13/23 | South Korean Won | 46,590,617 | U.S. Dollars | 35,490 | MSCS | (905) | ||||||
12/20/23 | Singapore Dollars | 622,773 | U.S. Dollars | 458,416 | MSCS | (1,115) | ||||||
12/20/23 | U.S. Dollars | 145,911 | South African Rand | 2,805,497 | MSCS | (1,179) | ||||||
12/20/23 | Czech Republic Koruna | 6,211,620 | U.S. Dollars | 270,000 | MSCS | (1,327) | ||||||
12/20/23 | Norwegian Kroner | 1,782,267 | U.S. Dollars | 168,364 | MSCS | (1,357) | ||||||
12/20/23 | U.S. Dollars | 269,037 | Euro | 254,841 | MSCS | (1,470) | ||||||
11/14/23 | Norwegian Kroner | 1,190,897 | U.S. Dollars | 113,035 | MSCS | (1,559) | ||||||
12/20/23 | U.S. Dollars | 250,601 | Chinese Offshore Yuan | 1,835,453 | MSCS | (1,839) | ||||||
10/16/23 | Singapore Dollars | 84,947 | U.S. Dollars | 64,531 | MSCS | (2,345) | ||||||
12/20/23 | Canadian Dollars | 977,014 | Euro | 680,928 | MSCS | (2,494) | ||||||
12/20/23 | U.S. Dollars | 255,239 | Mexican Pesos | 4,557,180 | MSCS | (2,633) | ||||||
12/07/23 | U.S. Dollars | 199,157 | Chilean Pesos | 180,296,666 | MSCS | (2,655) | ||||||
10/02/23 | Chilean Pesos | 124,567,328 | U.S. Dollars | 144,495 | MSCS | (4,320) | ||||||
12/20/23 | Euro | 252,000 | New Zealand Dollars | 453,729 | MSCS | (4,461) | ||||||
12/20/23 | Euro | 124,000 | Swedish Kronor | 1,481,502 | MSCS | (4,563) | ||||||
12/20/23 | U.S. Dollars | 892,235 | Australian Dollars | 1,391,569 | MSCS | (5,080) | ||||||
12/20/23 | Australian Dollars | 1,559,370 | U.S. Dollars | 1,010,769 | MSCS | (5,253) | ||||||
12/06/23 | Euro | 682,643 | U.S. Dollars | 730,261 | MSCS | (6,314) | ||||||
11/20/23 | Canadian Dollars | 1,841,677 | U.S. Dollars | 1,364,839 | MSCS | (7,934) | ||||||
12/20/23 | Canadian Dollars | 1,539,232 | U.S. Dollars | 1,143,318 | MSCS | (8,536) | ||||||
12/20/23 | Japanese Yen | 188,068,245 | U.S. Dollars | 1,291,608 | MSCS | (15,547) | ||||||
12/20/23 | Euro | 1,439,659 | U.S. Dollars | 1,546,454 | MSCS | (18,295) | ||||||
12/20/23 | U.S. Dollars | 1,076,132 | Swedish Kronor | 11,959,816 | MSCS | (23,260) | ||||||
12/20/23 | British Pounds | 2,378,357 | U.S. Dollars | 2,927,328 | MSCS | (23,731) | ||||||
12/20/23 | U.S. Dollars | 1,665,208 | New Zealand Dollars | 2,822,380 | MSCS | (26,443) | ||||||
10/30/23 | British Pounds | 623,606 | U.S. Dollars | 796,696 | MSCS | (35,689) | ||||||
12/20/23 | Swiss Francs | 2,014,282 | U.S. Dollars | 2,277,661 | MSCS | (56,343) | ||||||
Subtotal Depreciation | $(271,585) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $ 36,757 |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
12.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 60,306 | $ 75 | $ — | $ 75 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 13.95% (Upon termination) | 1/2/2024 | BRL | 12,231,240 | 18,266 | (1,614) | 19,880 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.06% (Upon termination) | 1/2/2025 | BRL | 22,114,689 | 14,714 | (17,245) | 31,959 | |||||||
0.27% (Annually) | 1-Day SONIA (Annually) | 6/17/2025 | GBP | 10,000 | 1,142 | (174) | 1,316 | |||||||
9.75% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/17/2025 | MXN | 90,090,000 | 53,167 | 26,254 | 26,913 | |||||||
1-Day ESTR (Annually) | 3.50% (Annually) | 12/20/2025 | EUR | 32,600,000 | (47,325) | (71,979) | 24,654 | |||||||
1-Day SONIA (Annually) | 5.25% (Annually) | 12/20/2025 | GBP | 15,650,000 | 63,879 | 37,670 | 26,209 | |||||||
2.50% (Quarterly) | Thai Overnight Repurchase Rate (Quarterly) | 12/20/2025 | THB | 229,300,000 | 7,232 | (132) | 7,364 | |||||||
3-Month KWCDC (Quarterly) | 3.75% (Quarterly) | 12/20/2025 | KRW | 1,884,750,000 | (3,161) | (3,743) | 582 | |||||||
3-Month STIBOR (Quarterly) | 4.00% (Annually) | 12/20/2025 | SEK | 353,630,000 | 45,313 | 37,416 | 7,897 |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
3-Month TELBOR (Quarterly) | 4.00% (Annually) | 12/20/2025 | ILS | 34,250,000 | $ (80,693) | $ (96,616) | $ 15,923 | |||||||
4.00% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 12/20/2025 | AUD | 46,580,000 | 168,470 | 121,056 | 47,414 | |||||||
7.75% (Quarterly) | 3-Month JIBAR (Quarterly) | 12/20/2025 | ZAR | 90,940,000 | 63,262 | 26,693 | 36,569 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.92% (Upon termination) | 1/2/2026 | BRL | 5,983,532 | 58,904 | 51,575 | 7,329 | |||||||
10.29% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 6,662,458 | 21,642 | — | 21,642 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 8.50% (Upon termination) | 1/4/2027 | BRL | 1,954,887 | 56,267 | (6,797) | 63,064 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 13.03% (Upon termination) | 1/4/2027 | BRL | 1,502,187 | 21,783 | — | 21,783 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.53% (Upon termination) | 1/4/2027 | BRL | 1,483,606 | 15,675 | — | 15,675 | |||||||
2.85% (Annually) | 3-Month EURIBOR (Quarterly) | 4/22/2028 | EUR | 23,400,000 | 148,003 | (100,699) | 248,702 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 8/3/2028 | JPY | 6,095,650,000 | 263,727 | 94,151 | 169,576 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/20/2028 | JPY | 5,419,000,000 | 163,204 | 123,279 | 39,925 | |||||||
2.50% (Quarterly) | Thai Overnight Repurchase Rate (Quarterly) | 12/20/2028 | THB | 84,790,000 | 37,959 | 21,558 | 16,401 | |||||||
4.00% (Annually) | 1-Day SOFR (Annually) | 12/20/2028 | USD | 4,880,000 | 66,828 | 19,063 | 47,765 | |||||||
6.50% (Semiannually) | 1-Day MIBOR (Semiannually) | 12/20/2028 | INR | 1,567,790,000 | 237,840 | 172,587 | 65,253 | |||||||
2.68% (Annually) | 1-Day SOFR (Annually) | 7/28/2032 | USD | 9,810,000 | 521,803 | 132,399 | 389,404 | |||||||
1.25% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 8/3/2033 | JPY | 838,000,000 | 26,892 | (7,077) | 33,969 | |||||||
8.75% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/7/2033 | MXN | 22,600,000 | 53,462 | 15,668 | 37,794 | |||||||
1.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/20/2033 | JPY | 2,359,000,000 | (24,736) | (82,240) | 57,504 | |||||||
3.25% (Annually) | 3-Month STIBOR (Quarterly) | 12/20/2033 | SEK | 42,540,000 | 59,767 | 9,849 | 49,918 | |||||||
3.25% (Semiannually) | Bank Of Canada Overnight Repo Rate (Semiannually) | 12/20/2033 | CAD | 770,000 | 39,927 | 29,280 | 10,647 | |||||||
3.75% (Annually) | 3-Month TELBOR (Quarterly) | 12/20/2033 | ILS | 4,500,000 | 56,012 | 17,647 | 38,365 | |||||||
4.25% (Annually) | 1-Day SONIA (Annually) | 12/20/2033 | GBP | 360,000 | 2,544 | (1,784) | 4,328 | |||||||
5.25% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 12/20/2033 | CLP | 3,200,221,228 | 95,654 | 40,365 | 55,289 | |||||||
6-Month NIBOR (Semiannually) | 4.00% (Annually) | 12/20/2033 | NOK | 26,350,000 | 36,508 | 13,712 | 22,796 | |||||||
1.45% (Annually) | 6-Month EURIBOR (Semiannually) | 8/10/2042 | EUR | 36,110,000 | 1,850,675 | 841,662 | 1,009,013 | |||||||
2.08% (Annually) | 1-Day SOFR (Annually) | 7/28/2047 | USD | 26,190,000 | 793,913 | 459,213 | 334,700 | |||||||
2.56% (Annually) | 1-Day SOFR (Annually) | 5/11/2053 | USD | 24,180,000 | 644,373 | 137,250 | 507,123 | |||||||
2.00% (Annually) | 6-Month EURIBOR (Semiannually) | 5/17/2053 | EUR | 7,380,000 | 341,995 | 100,953 | 241,042 | |||||||
2.50% (Annually) | 6-Month EURIBOR (Semiannually) | 12/20/2053 | EUR | 1,210,000 | 138,839 | 90,226 | 48,613 | |||||||
Subtotal Appreciation | $ 6,033,801 | $ 2,229,426 | $ 3,804,375 | |||||||||||
12.30% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 1,496,046 | $ (1,160) | $ 1,905 | $ (3,065) | |||||||
12.71% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 1,437,365 | (5,027) | (261) | (4,766) | |||||||
13.30% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 8,356,958 | (48,552) | (89) | (48,463) | |||||||
3.72% (Annually) | 3-Month EURIBOR (Quarterly) | 3/18/2025 | EUR | 7,680,000 | 5,370 | 9,588 | (4,218) | |||||||
1-Day MIBOR (Semiannually) | 6.50% (Semiannually) | 12/20/2025 | INR | 2,246,320,000 | (166,161) | (123,403) | (42,758) | |||||||
4.25% (Annually) | 1-Day SOFR (Annually) | 12/20/2025 | USD | 9,870,000 | 103,347 | 111,996 | (8,649) | |||||||
6-Month PRIBOR (Semiannually) | 4.75% (Annually) | 12/20/2025 | CZK | 156,500,000 | (33,648) | 8,437 | (42,085) | |||||||
6-Month WIBOR (Semiannually) | 4.50% (Annually) | 12/20/2025 | PLN | 8,910,000 | 7,382 | 12,770 | (5,388) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.00% (Quarterly) | 12/20/2025 | CNY | 76,250,000 | (26,913) | (23,828) | (3,085) | |||||||
Bank Of Canada Overnight Repo Rate (Semiannually) | 3.75% (Semiannually) | 12/20/2025 | CAD | 19,850,000 | (316,491) | (270,728) | (45,763) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.85% (Upon termination) | 1/2/2026 | BRL | 5,876,469 | (3,098) | 308 | (3,406) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.50% (Annually) | 8/2/2026 | JPY | 2,926,000,000 | 23,312 | 84,880 | (61,568) | |||||||
1-Day ESTR (Annually) | 2.67% (Annually) | 4/22/2028 | EUR | 23,400,000 | (148,769) | 115,926 | (264,695) | |||||||
1-Day ESTR (Annually) | 3.00% (Annually) | 10/19/2028 | EUR | 8,550,000 | (50,475) | 26,587 | (77,062) | |||||||
1-Day CLP-TNA (Semiannually) | 5.00% (Semiannually) | 12/20/2028 | CLP | 4,013,910,000 | (114,284) | (54,350) | (59,934) |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
1-Day SONIA (Annually) | 4.75% (Annually) | 12/20/2028 | GBP | 5,180,000 | $ 57,210 | $ 74,491 | $ (17,281) | |||||||
3-Month KWCDC (Quarterly) | 3.50% (Quarterly) | 12/20/2028 | KRW | 9,531,880,000 | (97,978) | (56,360) | (41,618) | |||||||
6-Month PRIBOR (Semiannually) | 4.00% (Annually) | 12/20/2028 | CZK | 66,920,000 | (66,827) | (15,415) | (51,412) | |||||||
6-Month WIBOR (Semiannually) | 4.25% (Annually) | 12/20/2028 | PLN | 11,970,000 | (25,589) | 6,202 | (31,791) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.25% (Quarterly) | 12/20/2028 | CNY | 83,110,000 | (101,899) | (38,412) | (63,487) | |||||||
1-Day SONIA (Annually) | 0.31% (Annually) | 6/17/2030 | GBP | 10,000 | (3,032) | 307 | (3,339) | |||||||
1-Day SOFR (Annually) | 3.98% (Annually) | 7/31/2030 | USD | 15,800,000 | (255,364) | 17,726 | (273,090) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 1.25% (Annually) | 8/2/2033 | JPY | 1,256,010,000 | (40,170) | 26,997 | (67,167) | |||||||
1-Day SOFR (Annually) | 3.50% (Annually) | 12/20/2033 | USD | 11,500,000 | (675,590) | (509,297) | (166,293) | |||||||
3-Month JIBAR (Quarterly) | 9.25% (Quarterly) | 12/20/2033 | ZAR | 32,380,000 | (77,981) | (32,669) | (45,312) | |||||||
3-Month KWCDC (Quarterly) | 3.50% (Quarterly) | 12/20/2033 | KRW | 2,638,830,000 | (53,181) | (23,565) | (29,616) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 4.75% (Semiannually) | 12/20/2033 | NZD | 4,120,000 | (79,624) | (4,437) | (75,187) | |||||||
6-Month ASX BBSW (Semiannually) | 4.50% (Semiannually) | 12/20/2033 | AUD | 2,640,000 | (37,068) | 4,189 | (41,257) | |||||||
6-Month BUBOR (Semiannually) | 6.50% (Annually) | 12/20/2033 | HUF | 619,350,000 | (76,430) | (17,354) | (59,076) | |||||||
6-Month EURIBOR (Semiannually) | 3.25% (Annually) | 12/20/2033 | EUR | 1,310,000 | (14,291) | 919 | (15,210) | |||||||
6-Month PRIBOR (Semiannually) | 4.00% (Annually) | 12/20/2033 | CZK | 27,170,000 | (46,440) | (8,684) | (37,756) | |||||||
6-Month WIBOR (Semiannually) | 4.75% (Annually) | 12/20/2033 | PLN | 4,460,000 | (17,161) | 9,265 | (26,426) | |||||||
8.00% (Quarterly) | 1-Day COP-IBR-OIS (Quarterly) | 12/20/2033 | COP | 1,297,146,927 | 18,876 | 25,831 | (6,955) | |||||||
Swiss Average Overnight Rate (Annually) | 1.75% (Annually) | 12/20/2033 | CHF | 3,080,000 | (15,174) | (10,420) | (4,754) | |||||||
6-Month EURIBOR (Semiannually) | 3.00% (Annually) | 5/15/2035 | EUR | 12,930,000 | (239,750) | (12,629) | (227,121) | |||||||
1-Day SOFR (Annually) | 2.91% (Annually) | 7/28/2037 | USD | 26,390,000 | (1,108,599) | (379,150) | (729,449) | |||||||
6-Month EURIBOR (Semiannually) | 2.15% (Annually) | 8/9/2037 | EUR | 14,120,000 | (704,679) | (389,172) | (315,507) | |||||||
1-Day SOFR (Annually) | 3.39% (Annually) | 5/10/2038 | USD | 25,550,000 | (683,518) | (164,293) | (519,225) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 1.50% (Annually) | 8/3/2038 | JPY | 906,000,000 | (90,666) | (41,799) | (48,867) | |||||||
1-Day SONIA (Annually) | 0.40% (Annually) | 6/17/2040 | GBP | 10,000 | (5,765) | 512 | (6,277) | |||||||
6-Month EURIBOR (Semiannually) | 1.05% (Annually) | 8/11/2047 | EUR | 21,130,000 | (820,740) | (365,523) | (455,217) | |||||||
Subtotal Depreciation | $(6,036,597) | $(2,003,002) | $(4,033,595) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at September 30, 2023 | $ (2,796) | $ 226,424 | $ (229,220) |
Description | Maturity
Date |
Counterparty | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the USFFE or 1-Month LIBOR plus or minus a specified spread (-6.30% to 0.15%), which is denominated in USD based on the local currencies of the positions within the swap (Monthly).* | 32-60 months maturity ranging from 05/26/2026 - 09/25/2028 | GSC | $127,735,985 | $991,901 | $— | $991,901 |
* The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Automatic Data Processing, Inc. | 3,273 | $ 787,418 | $ (16,569) | (1.67)% | ||||
Marriott International, Inc. Class A | 3,669 | 721,179 | (27,688) | (2.79) | ||||
Applied Materials, Inc. | 4,562 | 631,609 | (31,608) | (3.19) | ||||
KB Home | 12,237 | 566,328 | (55,967) | (5.64) | ||||
JPMorgan Chase & Co. | (3,581) | 519,317 | (837) | (0.08) | ||||
Welltower, Inc. REIT | (6,230) | 510,362 | 12,516 | 1.26 |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Marathon Petroleum Corporation | 3,354 | $ 507,594 | $ (10,415) | (1.05)% | ||||
NNN REIT, Inc. | 14,079 | 497,552 | (38,753) | (3.91) | ||||
Crane Holdings Co. | (5,582) | 495,905 | (18,025) | (1.82) | ||||
Nexstar Media Group, Inc. Class A | 3,384 | 485,164 | 141 | 0.01 | ||||
Hilton Worldwide Holdings, Inc. | (3,219) | 483,429 | 15,268 | 1.54 | ||||
Micron Technology, Inc. | (7,091) | 482,401 | 15,303 | 1.54 | ||||
Intel Corporation | (13,138) | 467,056 | 41,084 | 4.14 | ||||
Ingersoll-Rand, Inc. | (6,906) | 440,050 | 34,967 | 3.53 | ||||
Landstar System, Inc. | 2,485 | 439,696 | (21,398) | (2.16) | ||||
Monolithic Power Systems, Inc. | 942 | 435,204 | (17,397) | (1.75) | ||||
Booking Holdings, Inc. | 140 | 431,753 | (11,287) | (1.14) | ||||
Progressive Corporation (The) | (3,056) | 425,701 | (5,287) | (0.53) | ||||
Wendy's Co. (The) | 20,841 | 425,365 | 15,907 | 1.60 | ||||
New York Times Co. (The) Class A | 10,073 | 415,008 | (31,909) | (3.22) | ||||
Vornado Realty Trust REIT | (18,223) | 413,298 | 45,132 | 4.55 | ||||
Rollins, Inc. | 10,980 | 409,883 | 12,320 | 1.24 | ||||
AGCO Corporation | 3,435 | 406,292 | (16,625) | (1.68) | ||||
Choice Hotels International, Inc. | 3,274 | 401,098 | (18,677) | (1.88) | ||||
Union Pacific Corporation | (1,943) | 395,653 | 13,908 | 1.40 | ||||
General Dynamics Corporation | 1,715 | 378,964 | 7,214 | 0.73 | ||||
Crown Castle, Inc. REIT | 4,117 | 378,888 | (21,305) | (2.15) | ||||
Dropbox, Inc. Class A | 13,795 | 375,638 | (11,010) | (1.11) | ||||
Americold Realty Trust REIT | (12,352) | 375,624 | 28,833 | 2.91 | ||||
Cintas Corporation | 779 | 374,707 | (12,841) | (1.29) | ||||
Xcel Energy, Inc. | 6,542 | 374,333 | 1,113 | 0.11 | ||||
Cigna Group (The) | 1,305 | 373,321 | 2,331 | 0.23 | ||||
Veeva Systems, Inc. Class A | 1,834 | 373,127 | (40,011) | (4.03) | ||||
Fortune Brands Innovations, Inc. | (5,994) | 372,587 | 17,587 | 1.77 | ||||
Chemed Corporation | 715 | 371,585 | 11,444 | 1.15 | ||||
Paramount Global Class B | (28,489) | 367,508 | 19,057 | 1.92 | ||||
UFP Industries, Inc. | 3,586 | 367,206 | (2,859) | (0.29) | ||||
Cardinal Health, Inc. | 4,195 | 364,210 | (11,847) | (1.19) | ||||
Old Dominion Freight Line, Inc. | 886 | 362,498 | (15,499) | (1.56) | ||||
Entegris, Inc. | (3,805) | 357,328 | 6,909 | 0.70 | ||||
Chart Industries, Inc. | (2,109) | 356,674 | 13,636 | 1.37 | ||||
Owens Corning | 2,588 | 353,029 | (19,617) | (1.98) | ||||
W.W. Grainger, Inc. | 509 | 352,147 | (934) | (0.09) | ||||
Emerson Electric Co. | (3,622) | 349,777 | 13,429 | 1.35 | ||||
Vertex Pharmaceuticals, Inc. | 1,002 | 348,435 | (326) | (0.03) | ||||
First Citizens BancShares, Inc. Class A | 249 | 343,645 | 12,422 | 1.25 | ||||
Edwards Lifesciences Corporation | 4,941 | 342,312 | (28,521) | (2.88) | ||||
Coterra Energy, Inc. | 12,637 | 341,831 | (9,700) | (0.98) | ||||
NRG Energy, Inc. | (8,726) | 336,126 | 2,950 | 0.30 | ||||
Fastenal Co. | 6,105 | 333,577 | (568) | (0.06) | ||||
Other | (849,139) | 106,516,593 | 1,145,910 | 115.55 | ||||
$127,735,985 | $ 991,901 | 100.00% |