Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 9,525,655 | EUR | 8,613,275 | Standard Chartered Bank | 2/2/24 | $217,288 | $ — |
USD | 1,494,152 | EUR | 1,354,000 | Bank of America, N.A. | 2/29/24 | 29,238 | — |
USD | 1,486,378 | EUR | 1,347,015 | Bank of America, N.A. | 2/29/24 | 29,021 | — |
USD | 1,466,449 | EUR | 1,330,000 | Bank of America, N.A. | 2/29/24 | 27,501 | — |
USD | 262,652 | EUR | 238,163 | Bank of America, N.A. | 2/29/24 | 4,980 | — |
USD | 1,495,180 | EUR | 1,355,000 | HSBC Bank USA, N.A. | 2/29/24 | 29,184 | — |
USD | 1,544,900 | EUR | 1,400,000 | Standard Chartered Bank | 2/29/24 | 30,218 | — |
USD | 2,521,458 | GBP | 1,991,142 | Bank of America, N.A. | 2/29/24 | — | (2,454) |
USD | 73,156 | GBP | 57,425 | Goldman Sachs International | 2/29/24 | 366 | — |
USD | 70,484 | GBP | 55,484 | Standard Chartered Bank | 2/29/24 | 154 | — |
USD | 6,200 | GBP | 4,893 | Standard Chartered Bank | 2/29/24 | — | (2) |
USD | 9,368,165 | EUR | 8,613,274 | Standard Chartered Bank | 3/4/24 | 47,773 | — |
USD | 86,729 | EUR | 77,791 | Australia and New Zealand Banking Group Limited | 3/28/24 | 2,464 | — |
USD | 1,432,563 | EUR | 1,284,784 | Goldman Sachs International | 3/28/24 | 40,856 | — |
USD | 1,438,184 | EUR | 1,290,000 | State Street Bank and Trust Company | 3/28/24 | 40,826 | — |
USD | 1,437,873 | EUR | 1,290,000 | State Street Bank and Trust Company | 3/28/24 | 40,516 | — |
USD | 1,405,057 | EUR | 1,260,000 | State Street Bank and Trust Company | 3/28/24 | 40,196 | — |
$580,581 | $(2,456) |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $11,774,657 | $38,129,850 | $(43,352,230) | $ — | $ — | $6,552,277 | $110,622 | 6,552,277 |
(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 | $ — | $ 30,771,179 | $ — | $ 30,771,179 |
Closed-End Funds | 6,814,046 | — | — | 6,814,046 |
Common Stocks | 37,153 | 2,897,038 | 35,497 | 2,969,688 |
Corporate Bonds | — | 25,302,345 | — | 25,302,345 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 517,421,863 | 431,987 | 517,853,850 |
Short-Term Investments | 6,552,277 | — | — | 6,552,277 |
Total Investments | $13,403,476 | $576,392,425 | $467,484 | $590,263,385 |
Forward Foreign Currency Exchange Contracts | $ — | $ 580,581 | $ — | $ 580,581 |
Total | $13,403,476 | $576,973,006 | $467,484 | $590,843,966 |
Liability Description | Level 1 | Level 2 | Level 3 | Total |
Forward Foreign Currency Exchange Contracts | $ — | $ (2,456) | $ — | $ (2,456) |
Total | $ — | $ (2,456) | $ — | $ (2,456) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Trust. |