Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
EUR | 1,497,002 | USD | 1,623,545 | 3/20/24 | $ 34,151 |
EUR | 1,449,560 | USD | 1,599,964 | 3/20/24 | 5,197 |
USD | 5,781 | EUR | 5,238 | 3/20/24 | (19) |
USD | 1,399,211 | EUR | 1,267,678 | 3/20/24 | (4,545) |
USD | 1,763,246 | EUR | 1,597,492 | 3/20/24 | (5,727) |
USD | 1,932,591 | EUR | 1,750,917 | 3/20/24 | (6,277) |
USD | 300,282 | EUR | 276,877 | 3/20/24 | (6,317) |
USD | 2,268,339 | EUR | 2,055,104 | 3/20/24 | (7,368) |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 3,894,856 | EUR | 3,528,719 | 3/20/24 | $(12,651) |
$(3,556) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 46,065,676 | EUR | 42,161,465 | Standard Chartered Bank | 1/3/24 | $ — | $ (478,480) |
EUR | 174,696 | USD | 191,821 | Australia and New Zealand Banking Group Limited | 1/31/24 | 1,246 | — |
EUR | 409,534 | USD | 446,841 | Citibank, N.A. | 1/31/24 | 5,759 | — |
EUR | 175,060 | USD | 192,653 | Citibank, N.A. | 1/31/24 | 816 | — |
EUR | 113,890 | USD | 123,207 | Goldman Sachs International | 1/31/24 | 2,660 | — |
EUR | 78,480 | USD | 84,647 | Goldman Sachs International | 1/31/24 | 2,086 | — |
EUR | 258,222 | USD | 279,473 | Standard Chartered Bank | 1/31/24 | 5,904 | — |
EUR | 12,582 | USD | 13,728 | Standard Chartered Bank | 1/31/24 | 177 | — |
GBP | 92,185 | USD | 116,800 | Citibank, N.A. | 1/31/24 | 722 | — |
GBP | 45,781 | USD | 57,853 | Standard Chartered Bank | 1/31/24 | 510 | — |
USD | 20,423 | CAD | 27,230 | NatWest Group PLC | 1/31/24 | — | (135) |
USD | 14,698 | CAD | 20,101 | NatWest Group PLC | 1/31/24 | — | (478) |
USD | 455,094 | CAD | 629,526 | NatWest Group PLC | 1/31/24 | — | (20,197) |
USD | 56,276 | EUR | 51,090 | Australia and New Zealand Banking Group Limited | 1/31/24 | — | (187) |
USD | 18,652 | EUR | 17,141 | Bank of America, N.A. | 1/31/24 | — | (291) |
USD | 765,357 | EUR | 719,522 | Bank of America, N.A. | 1/31/24 | — | (29,830) |
USD | 20,809 | EUR | 18,926 | Citibank, N.A. | 1/31/24 | — | (107) |
USD | 293,412 | EUR | 266,856 | Citibank, N.A. | 1/31/24 | — | (1,506) |
USD | 18,317 | EUR | 16,617 | Goldman Sachs International | 1/31/24 | — | (47) |
USD | 16,645 | EUR | 15,603 | Goldman Sachs International | 1/31/24 | — | (599) |
USD | 519,046 | EUR | 470,862 | Goldman Sachs International | 1/31/24 | — | (1,332) |
USD | 208,205 | EUR | 190,699 | Goldman Sachs International | 1/31/24 | — | (2,548) |
USD | 360,610 | EUR | 338,036 | Goldman Sachs International | 1/31/24 | — | (12,973) |
USD | 5,971 | EUR | 5,474 | HSBC Bank USA, N.A. | 1/31/24 | — | (78) |
USD | 394,310 | EUR | 361,478 | HSBC Bank USA, N.A. | 1/31/24 | — | (5,181) |
USD | 202,814 | EUR | 188,203 | NatWest Group PLC | 1/31/24 | — | (5,181) |
USD | 181,579 | EUR | 171,654 | Standard Chartered Bank | 1/31/24 | — | (8,126) |
USD | 152,351 | EUR | 137,572 | State Street Bank and Trust Company | 1/31/24 | 312 | — |
USD | 273,417 | EUR | 248,237 | State Street Bank and Trust Company | 1/31/24 | — | (924) |
USD | 108,917 | EUR | 100,000 | State Street Bank and Trust Company | 1/31/24 | — | (1,599) |
USD | 139,572 | EUR | 129,516 | State Street Bank and Trust Company | 1/31/24 | — | (3,564) |
USD | 295,653 | EUR | 279,486 | State Street Bank and Trust Company | 1/31/24 | — | (13,224) |
USD | 15,289,438 | EUR | 14,379,760 | State Street Bank and Trust Company | 1/31/24 | — | (602,493) |
USD | 17,269,687 | EUR | 16,257,192 | State Street Bank and Trust Company | 1/31/24 | — | (697,106) |
USD | 1,781 | GBP | 1,418 | Citibank, N.A. | 1/31/24 | — | (27) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 66,420 | GBP | 52,883 | Citibank, N.A. | 1/31/24 | $ — | $ (998) |
USD | 3,877 | GBP | 3,048 | Goldman Sachs International | 1/31/24 | — | (8) |
USD | 82,567 | GBP | 64,905 | Goldman Sachs International | 1/31/24 | — | (177) |
USD | 6,752 | GBP | 5,486 | State Street Bank and Trust Company | 1/31/24 | — | (241) |
USD | 119,702 | GBP | 95,294 | State Street Bank and Trust Company | 1/31/24 | — | (1,783) |
USD | 254,150 | GBP | 206,483 | State Street Bank and Trust Company | 1/31/24 | — | (9,084) |
USD | 305,128 | GBP | 250,929 | State Street Bank and Trust Company | 1/31/24 | — | (14,767) |
USD | 5,022,307 | GBP | 4,130,208 | State Street Bank and Trust Company | 1/31/24 | — | (243,062) |
USD | 46,627,516 | EUR | 42,161,465 | Standard Chartered Bank | 2/2/24 | 28,697 | — |
USD | 1,623,823 | EUR | 1,500,000 | Australia and New Zealand Banking Group Limited | 2/29/24 | — | (35,824) |
USD | 523,210 | EUR | 474,427 | Bank of America, N.A. | 2/29/24 | — | (1,712) |
USD | 5,809,976 | EUR | 5,265,000 | Bank of America, N.A. | 2/29/24 | — | (15,384) |
USD | 5,776,165 | EUR | 5,234,593 | Bank of America, N.A. | 2/29/24 | — | (15,553) |
USD | 5,711,433 | EUR | 5,180,000 | Bank of America, N.A. | 2/29/24 | — | (19,881) |
USD | 5,804,167 | EUR | 5,260,000 | HSBC Bank USA, N.A. | 2/29/24 | — | (15,662) |
USD | 5,958,898 | EUR | 5,400,000 | Standard Chartered Bank | 2/29/24 | — | (15,831) |
USD | 5,654,753 | GBP | 4,465,440 | Bank of America, N.A. | 2/29/24 | — | (38,820) |
USD | 78,748 | GBP | 62,142 | Standard Chartered Bank | 2/29/24 | — | (485) |
USD | 856,815 | EUR | 768,519 | Australia and New Zealand Banking Group Limited | 3/28/24 | 5,516 | — |
USD | 7,317,060 | EUR | 6,562,251 | Goldman Sachs International | 3/28/24 | 47,968 | — |
USD | 7,192,556 | EUR | 6,450,000 | State Street Bank and Trust Company | 3/28/24 | 47,806 | — |
USD | 7,358,150 | EUR | 6,600,000 | State Street Bank and Trust Company | 3/28/24 | 47,242 | — |
USD | 7,350,989 | EUR | 6,595,000 | State Street Bank and Trust Company | 3/28/24 | 45,620 | — |
$243,041 | $(2,315,485) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 74 | Long | 3/28/24 | $ 15,237,641 | $ 137,962 |
U.S. 5-Year Treasury Note | 933 | Long | 3/28/24 | 101,485,618 | 2,186,001 |
U.S. 10-Year Treasury Note | 101 | Long | 3/19/24 | 11,401,953 | 355,000 |
U.S. Ultra 10-Year Treasury Note | 27 | Long | 3/19/24 | 3,186,422 | 154,610 |
Euro-Bobl | (25) | Short | 3/7/24 | (3,291,979) | (59,613) |
Euro-Bund | (7) | Short | 3/7/24 | (1,060,388) | (33,074) |
Euro-Buxl | (9) | Short | 3/7/24 | (1,408,066) | (110,540) |
U.S. 2-Year Treasury Note | (9) | Short | 3/28/24 | (1,853,227) | (20,178) |
U.S. 5-Year Treasury Note | (108) | Short | 3/28/24 | (8,049,234) | (264,408) |
U.S. 10-Year Treasury Note | (75) | Short | 3/19/24 | (6,660,547) | (295,687) |
U.S. Long Treasury Bond | (151) | Short | 3/19/24 | (999,500) | (1,340,923) |
U.S. Ultra 10-Year Treasury Note | (1) | Short | 3/19/24 | (118,016) | (5,165) |
Futures Contracts (continued) | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures (continued) | |||||
U.S. Ultra-Long Treasury Bond | (30) | Short | 3/19/24 | $ (4,007,813) | $ (384,039) |
$319,946 |
Credit Default Swaps - Sell Protection (Centrally Cleared) | |||||||
Reference Entity | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Panama | $700 | 1.00% (pays quarterly)(1) | 1.56% | 12/20/28 | $(17,079) | $22,069 | $4,990 |
Total | $700 | $(17,079) | $22,069 | $4,990 |
Credit Default Swaps - Sell Protection (OTC) | ||||||||
Reference Entity | Counterparty | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Mexico | Citibank, N.A. | $2,041 | 1.00% (pays quarterly)(1) | 1.38% | 12/20/31 | $(51,675) | $72,694 | $21,019 |
Total | $2,041 | $(51,675) | $72,694 | $21,019 |
* | If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At December 31, 2023, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $2,741,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) or paid by the Fund (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Abbreviations: | |
CMT | – Constant Maturity Treasury |
COF | – Cost of Funds 11th District |
EURIBOR | – Euro Interbank Offered Rate |
GDP | – Gross Domestic Product |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
RFUCCT | – FTSE USD IBOR Consumer Cash Fallbacks Term |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Interbank Average |
TBA | – To Be Announced |
Currency Abbreviations: | |
CAD | – Canadian Dollar |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2014-C16, Class B, 4.352%, 6/15/47 | $342,690 | $ — | $ — | $ — | $(4,306) | $339,388 | $12,977 | $363,000 |
Series 2015-C23, Class D, 4.138%, 7/15/50 | 2,054,435 | — | — | — | 253,569 | 2,318,759 | 95,159 | 2,670,000 |
Series 2016-C29, Class D, 3.00%, 5/15/49 | 2,540,356 | — | — | — | 134,302 | 2,690,386 | 96,219 | 3,577,365 |
Series 2016-C32, Class D, 3.396%, 12/15/49 | 1,054,795 | — | — | — | (145,484) | 920,428 | 51,867 | 1,600,000 |
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49 | 2,198,211 | — | — | — | (140,469) | 2,083,706 | 137,461 | 4,488,667 |
Series 2019-BPR, Class C, 8.985%, (1 mo. SOFR + 3.642%), 5/15/36 | 1,743,153 | — | — | — | 28,925 | 1,772,078 | 123,049 | 1,845,000 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $26,067,123 | $499,568,376 | $(507,479,674) | $ — | $ — | $18,155,825 | $1,183,609 | 18,155,825 |
Total | $ — | $126,537 | $28,280,570 | $1,700,341 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3* | Total |
Asset-Backed Securities | $ — | $ 133,071,087 | $ — | $ 133,071,087 |
Closed-End Funds | 20,638,300 | — | — | 20,638,300 |
Collateralized Mortgage Obligations | — | 224,853,969 | — | 224,853,969 |
Commercial Mortgage-Backed Securities | — | 65,867,395 | — | 65,867,395 |
Common Stocks | 660,133 | 7,688,243 | 103,178 | 8,451,554 |
Convertible Bonds | — | 3,159,602 | — | 3,159,602 |
Corporate Bonds | — | 647,821,399 | — | 647,821,399 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 551,515,647 | 1,046,541 | 552,562,188 |
Sovereign Government Bonds | — | 53,768,952 | — | 53,768,952 |
Sovereign Loans | — | 3,894,205 | — | 3,894,205 |
U.S. Government Agency Mortgage-Backed Securities | — | 330,527,928 | — | 330,527,928 |
Miscellaneous | — | 32,760 | 0 | 32,760 |
Short-Term Investments: | ||||
Affiliated Fund | 18,155,825 | — | — | 18,155,825 |
U.S. Treasury Obligations | — | 497,427 | — | 497,427 |
Total Investments | $39,454,258 | $2,022,698,614 | $1,149,719 | $2,063,302,591 |
Forward Foreign Currency Exchange Contracts | $ — | $ 282,389 | $ — | $ 282,389 |
Futures Contracts | 2,833,573 | — | — | 2,833,573 |
Total | $42,287,831 | $2,022,981,003 | $1,149,719 | $2,066,418,553 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (2,358,389) | $ — | $ (2,358,389) |
Futures Contracts | (2,513,627) | — | — | (2,513,627) |
Swap Contracts | — | (68,754) | — | (68,754) |
Total | $(2,513,627) | $ (2,427,143) | $ — | $ (4,940,770) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |