At July 31, 2022, the Fund held the following forward foreign currency contracts: | ||||||||
Sale Contracts Settlement Date | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
United States Dollar/Euro | ||||||||
10/18/2022 | State Street Bank and Trust | USD | 2,664,573 | EUR | 2,600,000 | $2,671,868 | $(7,295) |
Shares | Value | ||
SHORT-TERM INVESTMENTS—0.5% | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.88%(c) | 284,945 | $ 284,945 | |
Total Short-Term Investments | 284,945 | ||
Total Investments (Cost $48,656,409)—105.7% | 54,392,812 | ||
Liabilities in Excess of Other Assets—(5.7%) | (2,955,746) | ||
Net Assets—100.0% | $51,437,066 |
(a) | Denotes a security issued under Regulation S or Rule 144A. |
(b) | Non-income producing security. |
(c) | Registered investment company advised by State Street Global Advisors. The rate shown is the 7 day yield as of July 31, 2022. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
At July 31, 2022, the Fund held the following forward foreign currency contracts: | ||||||||
Sale Contracts Settlement Date | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
United States Dollar/Hong Kong Dollar | ||||||||
10/18/2022 | Citibank N.A. | USD | 958,243 | HKD | 7,500,000 | $957,320 | $923 |
Shares | Value | ||
COMMON STOCKS (continued) | |||
UNITED STATES (continued) | |||
Prologis, Inc., REIT | 3,063 | $ 406,031 | |
Public Storage | 404 | 131,870 | |
866,198 | |||
Total Common Stocks | 14,230,653 | ||
SHORT-TERM INVESTMENTS—3.6% | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.88%(e) | 538,286 | 538,286 | |
Total Short-Term Investments | 538,286 | ||
Total Investments (Cost $27,869,495)—98.4% | 14,768,939 | ||
Other Assets in Excess of Liabilities—1.6% | 242,913 | ||
Net Assets—100.0% | $15,011,852 |
(a) | Non-income producing security. |
(b) | Denotes a security issued under Regulation S or Rule 144A. |
(c) | Fair Value is determined pursuant to procedures approved by the Fund’s Board of Trustees. See Note 1(a) of the accompanying Notes to Statements of Investments for inputs used. |
(d) | Illiquid security. |
(e) | Registered investment company advised by Fidelity Management & Research Company. The rate shown is the 7-day yield as of July 31, 2022. |
CVA | Dutch Certificate |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
Shares | Value | ||
COMMON STOCKS (continued) | |||
UNITED STATES—6.3% | |||
Health Care—3.1% | |||
Inmode Ltd.(b) | 110,885 | $ 3,685,817 | |
PolyPeptide Group AG(a)(b) | 62,300 | 2,956,486 | |
6,642,303 | |||
Information Technology—3.2% | |||
CyberArk Software Ltd.(b) | 53,783 | 6,998,782 | |
Total United States | 13,641,085 | ||
VIETNAM—1.4% | |||
Information Technology—1.4% | |||
FPT Corp. | 816,840 | 2,927,440 | |
Total Common Stocks | 207,211,210 | ||
PREFERRED STOCKS—1.0% | |||
GERMANY—1.0% | |||
Industrials—1.0% | |||
Jungheinrich AG | 81,488 | 2,218,062 | |
Total Preferred Stocks | 2,218,062 | ||
SHORT-TERM INVESTMENTS—2.9% | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.88%(c) | 6,371,734 | 6,371,734 | |
Total Short-Term Investments | 6,371,734 | ||
Total Investments (Cost $243,407,753)—100.1% | 215,801,006 | ||
Liabilities in Excess of Other Assets—(0.1%) | (259,168) | ||
Net Assets—100.0% | $215,541,838 |
(a) | Denotes a security issued under Regulation S or Rule 144A. |
(b) | Non-income producing security. |
(c) | Registered investment company advised by State Street Global Advisors. The rate shown is the 7 day yield as of July 31, 2022. |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
Shares | Value | ||
COMMON STOCKS (continued) | |||
UNITED KINGDOM (continued) | |||
Materials—5.9% | |||
Croda International PLC | 32,231 | $ 2,947,525 | |
Linde PLC | 8,733 | 2,644,665 | |
5,592,190 | |||
Total United Kingdom | 12,529,687 | ||
UNITED STATES—5.3% | |||
Health Care—2.4% | |||
ResMed, Inc. | 9,500 | 2,284,940 | |
Industrials—2.9% | |||
Schneider Electric SE | 19,952 | 2,759,438 | |
Total United States | 5,044,378 | ||
Total Common Stocks | 103,093,265 | ||
SHORT-TERM INVESTMENTS—2.1% | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.88%(f) | 1,997,128 | 1,997,128 | |
Total Short-Term Investments | 1,997,128 | ||
Total Investments (Cost $124,983,641)—111.1% | 105,090,393 | ||
Liabilities in Excess of Other Assets—(11.1%) | (10,524,737) | ||
Net Assets—100.0% | $94,565,656 |
(a) | Non-income producing security. |
(b) | Denotes a security issued under Regulation S or Rule 144A. |
(c) | Illiquid security. |
(d) | Level 3 security. See Note 1(a) of the accompanying Notes to Portfolio of Investments. |
(e) | The Fund’s adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. Illiquid securities held by the Fund represent 0.00% of net assets as of July 31, 2022. |
(f) | Registered investment company advised by State Street Global Advisors. The rate shown is the 7 day yield as of July 31, 2022. |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
At July 31, 2022, the Fund held the following forward foreign currency contracts: | ||||||||
Purchase Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
Brazilian Real/United States Dollar | ||||||||
08/23/2022 | UBS AG | BRL | 230,000 | USD | 41,883 | $44,173 | $2,290 | |
Euro/United States Dollar | ||||||||
10/18/2022 | Barclays Bank plc | EUR | 126,000 | USD | 127,592 | 129,473 | 1,881 | |
10/18/2022 | JPMorgan Chase Bank N.A. | EUR | 109,000 | USD | 109,839 | 112,005 | 2,166 |
Purchase Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
Indian Rupee/United States Dollar | ||||||||
08/23/2022 | UBS AG | INR | 3,510,000 | USD | 44,807 | $44,186 | $(621) | |
$329,837 | $5,716 | |||||||
Sale Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
United States Dollar/Brazilian Real | ||||||||
08/23/2022 | Deutsche Bank AG | USD | 2,182,516 | BRL | 11,642,000 | $2,235,947 | $(53,431) | |
United States Dollar/Chilean Peso | ||||||||
08/23/2022 | Royal Bank of Canada | USD | 425,867 | CLP | 374,376,000 | 413,934 | 11,933 | |
United States Dollar/Euro | ||||||||
10/18/2022 | JPMorgan Chase Bank N.A. | USD | 2,729,436 | EUR | 2,663,652 | 2,737,079 | (7,643) | |
United States Dollar/South African Rand | ||||||||
10/18/2022 | Morgan Stanley & Co. | USD | 425,974 | ZAR | 7,213,000 | 430,449 | (4,475) | |
$5,817,409 | $(53,616) | |||||||
Unrealized appreciation on forward foreign currency exchange contracts | $18,270 | |||||||
Unrealized depreciation on forward foreign currency exchange contracts | $(66,170) |
* | Certain contracts with different trade dates and like characteristics have been shown net. |
At July 31, 2022, the Fund held the following futures contracts: |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation/ (Depreciation) |
Long Contract Positions | |||||
FTSE 100 Index | 46 | 9/16/2022 | $3,999,169 | $4,132,786 | $133,617 |
United States Treasury Note 6%–10 year Ultra | 47 | 9/21/2022 | 6,070,038 | 6,168,750 | 98,712 |
United States Treasury Note 6%—5 year | 151 | 9/30/2022 | 16,866,188 | 17,172,711 | 306,523 |
$538,852 | |||||
Short Contract Positions | |||||
Euro STOXX 50 | (77) | 9/16/2022 | $(2,749,626) | $(2,913,394) | $(163,768) |
MSCI Emerging Markets Index | (83) | 9/16/2022 | (4,159,650) | (4,143,775) | 15,875 |
S&P 500 E-Mini | (48) | 9/16/2022 | (9,232,328) | (9,920,400) | (688,072) |
United States Treasury Note 6%—2 year | (9) | 9/30/2022 | (1,888,405) | (1,894,148) | (5,743) |
$(841,708) | |||||
$(302,856) |
At July 31, 2022, the Fund held the following forward foreign currency contracts: | ||||||||
Purchase Contracts Settlement Date | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
Australian Dollar/United States Dollar | ||||||||
08/03/2022 | JPMorgan Chase Bank N.A. | AUD | 1,523,000 | USD | 1,096,427 | $1,064,120 | $(32,307) | |
08/10/2022 | Citibank N.A. | AUD | 180,000 | USD | 129,484 | 125,779 | (3,705) | |
08/10/2022 | Goldman Sachs & Co. | AUD | 190,000 | USD | 132,643 | 132,767 | 124 |
Purchase Contracts Settlement Date | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
Brazilian Real/United States Dollar | ||||||||
08/10/2022 | Citibank N.A. | BRL | 1,100,000 | USD | 212,098 | $212,110 | $12 | |
British Pound/United States Dollar | ||||||||
08/03/2022 | JPMorgan Chase Bank N.A. | GBP | 1,081,000 | USD | 1,349,650 | 1,316,473 | (33,177) | |
08/09/2022 | Morgan Stanley & Co. | GBP | 937,000 | USD | 1,142,231 | 1,141,267 | (964) | |
08/10/2022 | Barclays Bank plc | GBP | 110,000 | USD | 131,705 | 133,983 | 2,278 | |
08/10/2022 | HSBC Bank plc | GBP | 110,000 | USD | 135,818 | 133,983 | (1,835) | |
08/10/2022 | Morgan Stanley & Co. | GBP | 134,000 | USD | 164,496 | 163,215 | (1,281) | |
Canadian Dollar/United States Dollar | ||||||||
08/03/2022 | Barclays Bank plc | CAD | 1,434,000 | USD | 1,125,105 | 1,119,831 | (5,274) | |
08/10/2022 | Goldman Sachs & Co. | CAD | 41,474 | USD | 32,316 | 32,387 | 71 | |
08/10/2022 | HSBC Bank plc | CAD | 23,466 | USD | 18,183 | 18,325 | 142 | |
08/10/2022 | JPMorgan Chase Bank N.A. | CAD | 10,011 | USD | 7,779 | 7,818 | 39 | |
08/10/2022 | Morgan Stanley & Co. | CAD | 320,000 | USD | 248,219 | 249,891 | 1,672 | |
Chinese Renminbi/United States Dollar | ||||||||
08/10/2022 | HSBC Bank plc | CNY | 3,500,000 | USD | 518,957 | 520,186 | 1,229 | |
08/10/2022 | HSBC Bank plc | CNY | 1,400,000 | USD | 208,911 | 208,074 | (837) | |
08/12/2022 | HSBC Bank plc | CNY | 9,652,020 | USD | 1,443,617 | 1,434,413 | (9,204) | |
08/22/2022 | HSBC Bank plc | CNY | 6,302,000 | USD | 942,454 | 936,186 | (6,268) | |
Euro/United States Dollar | ||||||||
08/03/2022 | Citibank N.A. | EUR | 1,297,100 | USD | 1,370,296 | 1,325,790 | (44,506) | |
08/10/2022 | Barclays Bank plc | EUR | 137,972 | USD | 141,540 | 141,090 | (450) | |
08/10/2022 | Citibank N.A. | EUR | 720,000 | USD | 763,091 | 736,272 | (26,819) | |
08/10/2022 | HSBC Bank plc | EUR | 310,000 | USD | 314,262 | 317,006 | 2,744 | |
08/10/2022 | HSBC Bank plc | EUR | 400,108 | USD | 415,144 | 409,151 | (5,993) | |
08/10/2022 | JPMorgan Chase Bank N.A. | EUR | 9,080,600 | USD | 9,406,330 | 9,285,818 | (120,512) | |
Hong Kong Dollar/United States Dollar | ||||||||
08/10/2022 | JPMorgan Chase Bank N.A. | HKD | 9,140,000 | USD | 1,167,138 | 1,164,690 | (2,448) | |
Indian Rupee/United States Dollar | ||||||||
08/10/2022 | Citibank N.A. | INR | 46,000,000 | USD | 594,396 | 579,783 | (14,613) | |
Japanese Yen/United States Dollar | ||||||||
08/10/2022 | HSBC Bank plc | JPY | 17,000,000 | USD | 126,172 | 127,560 | 1,388 | |
08/10/2022 | HSBC Bank plc | JPY | 46,000,000 | USD | 354,785 | 345,161 | (9,624) | |
10/04/2022 | Morgan Stanley & Co. | JPY | 106,000,000 | USD | 783,100 | 798,908 | 15,808 | |
New Taiwan Dollar/United States Dollar | ||||||||
08/10/2022 | Citibank N.A. | TWD | 20,200,000 | USD | 688,761 | 673,904 | (14,857) | |
09/23/2022 | Citibank N.A. | TWD | 2,060,000 | USD | 69,737 | 68,822 | (915) | |
Norwegian krone/United States Dollar | ||||||||
08/03/2022 | JPMorgan Chase Bank N.A. | NOK | 9,850,000 | USD | 1,070,641 | 1,019,165 | (51,476) | |
08/10/2022 | JPMorgan Chase Bank N.A. | NOK | 11,181 | USD | 1,141 | 1,157 | 16 | |
Singapore Dollar/United States Dollar | ||||||||
09/26/2022 | JPMorgan Chase Bank N.A. | SGD | 5,490,000 | USD | 3,965,926 | 3,974,649 | 8,723 | |
South African Rand/United States Dollar | ||||||||
08/10/2022 | Morgan Stanley & Co. | ZAR | 2,200,000 | USD | 135,830 | 132,245 | (3,585) | |
South Korean Won/United States Dollar | ||||||||
08/10/2022 | JPMorgan Chase Bank N.A. | KRW | 690,000,000 | USD | 544,976 | 529,570 | (15,406) | |
Swiss Franc/United States Dollar | ||||||||
08/10/2022 | HSBC Bank plc | CHF | 170,000 | USD | 170,495 | 178,695 | 8,200 | |
09/23/2022 | HSBC Bank plc | CHF | 1,150,000 | USD | 1,196,541 | 1,212,947 | 16,406 |
Purchase Contracts Settlement Date | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
Thai Baht/United States Dollar | ||||||||
09/26/2022 | Goldman Sachs & Co. | THB | 70,200,000 | USD | 1,993,865 | $1,914,502 | $(79,363) | |
$33,887,693 | $(426,567) | |||||||
Sale Contracts Settlement Date | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
United States Dollar/Australian Dollar | ||||||||
08/03/2022 | Citibank N.A. | USD | 1,083,698 | AUD | 1,523,000 | $1,064,120 | $19,578 | |
08/10/2022 | Citibank N.A. | USD | 128,760 | AUD | 180,000 | 125,779 | 2,981 | |
08/10/2022 | Citibank N.A. | USD | 130,858 | AUD | 190,000 | 132,767 | (1,909) | |
United States Dollar/British Pound | ||||||||
08/03/2022 | Barclays Bank plc | USD | 1,375,683 | GBP | 1,081,000 | 1,316,473 | 59,210 | |
08/09/2022 | Citibank N.A. | USD | 720,057 | GBP | 582,750 | 709,790 | 10,267 | |
08/09/2022 | HSBC Bank plc | USD | 484,750 | GBP | 393,171 | 478,882 | 5,868 | |
08/09/2022 | Morgan Stanley & Co. | USD | 955,384 | GBP | 774,079 | 942,829 | 12,555 | |
08/10/2022 | Barclays Bank plc | USD | 265,615 | GBP | 214,457 | 261,214 | 4,401 | |
08/10/2022 | Barclays Bank plc | USD | 156,124 | GBP | 130,000 | 158,343 | (2,219) | |
08/10/2022 | JPMorgan Chase Bank N.A. | USD | 147,410 | GBP | 120,000 | 146,163 | 1,247 | |
09/08/2022 | Barclays Bank plc | USD | 2,009,072 | GBP | 1,600,000 | 1,950,059 | 59,013 | |
United States Dollar/Canadian Dollar | ||||||||
08/03/2022 | JPMorgan Chase Bank N.A. | USD | 1,115,092 | CAD | 1,434,000 | 1,119,831 | (4,739) | |
08/10/2022 | Barclays Bank plc | USD | 246,279 | CAD | 317,047 | 247,586 | (1,307) | |
08/10/2022 | HSBC Bank plc | USD | 57,915 | CAD | 74,521 | 58,194 | (279) | |
08/10/2022 | JPMorgan Chase Bank N.A. | USD | 121,990 | CAD | 160,000 | 124,946 | (2,956) | |
United States Dollar/Chinese Renminbi | ||||||||
08/10/2022 | HSBC Bank plc | USD | 1,449,920 | CNY | 9,700,000 | 1,441,658 | 8,262 | |
08/12/2022 | HSBC Bank plc | USD | 1,421,924 | CNY | 9,652,020 | 1,434,413 | (12,489) | |
08/22/2022 | HSBC Bank plc | USD | 1,433,713 | CNY | 9,800,000 | 1,455,828 | (22,115) | |
08/25/2022 | HSBC Bank plc | USD | 4,336,757 | CNY | 29,402,000 | 4,367,261 | (30,504) | |
09/26/2022 | HSBC Bank plc | USD | 3,958,355 | CNY | 26,500,000 | 3,935,465 | 22,890 | |
United States Dollar/Danish Krone | ||||||||
08/10/2022 | JPMorgan Chase Bank N.A. | USD | 142,181 | DKK | 1,000,000 | 137,373 | 4,808 | |
08/10/2022 | Morgan Stanley & Co. | USD | 209,050 | DKK | 1,470,518 | 202,009 | 7,041 | |
United States Dollar/Euro | ||||||||
08/03/2022 | HSBC Bank plc | USD | 1,394,196 | EUR | 1,297,100 | 1,325,790 | 68,406 | |
08/10/2022 | Barclays Bank plc | USD | 884,296 | EUR | 842,368 | 861,407 | 22,889 | |
08/10/2022 | Citibank N.A. | USD | 9,760,854 | EUR | 9,227,207 | 9,435,738 | 325,116 | |
08/10/2022 | HSBC Bank plc | USD | 229,843 | EUR | 220,000 | 224,972 | 4,871 | |
08/10/2022 | JPMorgan Chase Bank N.A. | USD | 212,734 | EUR | 200,809 | 205,347 | 7,387 | |
08/10/2022 | JPMorgan Chase Bank N.A. | USD | 200,808 | EUR | 200,000 | 204,520 | (3,712) | |
08/10/2022 | UBS AG | USD | 16,755,134 | EUR | 16,377,121 | 16,747,237 | 7,897 | |
09/08/2022 | Citibank N.A. | USD | 4,968 | EUR | 4,819 | 4,938 | 30 | |
United States Dollar/Hong Kong Dollar | ||||||||
08/10/2022 | HSBC Bank plc | USD | 109,762 | HKD | 860,269 | 109,622 | 140 | |
United States Dollar/Indian Rupee | ||||||||
10/20/2022 | Citibank N.A. | USD | 962,536 | INR | 77,590,000 | 970,931 | (8,395) | |
United States Dollar/Japanese Yen | ||||||||
08/10/2022 | Barclays Bank plc | USD | 171,395 | JPY | 23,000,000 | 172,581 | (1,186) | |
08/10/2022 | HSBC Bank plc | USD | 119,269 | JPY | 16,000,000 | 120,056 | (787) | |
08/10/2022 | JPMorgan Chase Bank N.A. | USD | 1,939,703 | JPY | 267,522,515 | 2,007,357 | (67,654) |
Sale Contracts Settlement Date | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
United States Dollar/New Taiwan Dollar | ||||||||
09/23/2022 | Goldman Sachs & Co. | USD | 127,522 | TWD | 3,751,450 | $125,330 | $2,192 | |
09/26/2022 | Barclays Bank plc | USD | 2,009,157 | TWD | 58,800,000 | 1,964,726 | 44,431 | |
09/28/2022 | Citibank N.A. | USD | 947,607 | TWD | 27,848,550 | 930,620 | 16,987 | |
United States Dollar/Norwegian krone | ||||||||
08/03/2022 | Citibank N.A. | USD | 1,045,941 | NOK | 9,850,000 | 1,019,165 | 26,776 | |
08/10/2022 | Barclays Bank plc | USD | 160,062 | NOK | 1,506,093 | 155,869 | 4,193 | |
08/10/2022 | Morgan Stanley & Co. | USD | 65,357 | NOK | 639,767 | 66,211 | (854) | |
United States Dollar/Swedish Krona | ||||||||
09/23/2022 | Barclays Bank plc | USD | 996,306 | SEK | 10,100,000 | 996,200 | 106 | |
United States Dollar/Swiss Franc | ||||||||
08/10/2022 | Barclays Bank plc | USD | 103,033 | CHF | 98,311 | 103,340 | (307) | |
08/10/2022 | Morgan Stanley & Co. | USD | 318,882 | CHF | 310,000 | 325,855 | (6,973) | |
$59,888,795 | $581,157 | |||||||
At July 31, 2022, Fund's open forward foreign cross currency contracts were as follows: | ||||||||
Purchase/Sale Settlement Date | Counterparty | Amount Purchased | Amount Sold | Contract Value | Fair Value | Unrealized Appreciation/ (Depreciation) | ||
British Pound / Euro | ||||||||
09/08/2022 | UBS AG | GBP | 1,600,000 | EUR | 1,855,546 | $1,913,200 | $1,962,025 | $48,825 |
Euro / British Pound | ||||||||
09/08/2022 | HSBC Bank plc | EUR | 1,860,365 | GBP | 1,600,000 | 1,974,499 | 1,930,612 | (43,887) |
Swiss Franc / British Pound | ||||||||
10/04/2022 | UBS AG | CHF | 1,862,900 | GBP | 1,610,000 | 1,923,788 | 1,926,999 | 3,211 |
$5,819,636 | $8,149 | |||||||
Unrealized appreciation on forward foreign currency exchange contracts | $860,430 | |||||||
Unrealized depreciation on forward foreign currency exchange contracts | $(697,691) |
At July 31, 2022 , the FundFund held the following centrally cleared credit default swaps: | ||||||||
Expiration Date | Notional Amount | Credit Index | Fixed Rate | Implied Credit Spread* | Frequency of Payments Made | Premiums Paid (Received) | Value | Unrealized Appreciation/ (Depreciation) |
Buy Protection: | ||||||||
06/20/2027 | 2,030,000 | iTraxx Europe Crossover | Equal to (5.00%) | N/A | Quarterly | $(66,963) | $(4,213) | $62,750 |
06/20/2027 | 2,345,000 | iTraxx Europe Crossover | Equal to (5.00%) | N/A | Quarterly | 49,500 | (4,876) | (54,376) |
06/20/2027 | 2,345,000 | iTraxx Europe Crossover | Equal to (5.00%) | N/A | Quarterly | 50,927 | (4,875) | (55,802) |
$33,464 | $(13,964) | $(47,428) | ||||||
Sell Protection: | ||||||||
06/20/2027 | 8,400,000 | CDX.NA.HY | Equal to 1.00% | N/A | Quarterly | $80,634 | $84,670 | $4,036 |
06/20/2027 | 8,400,000 | CDX.NA.HY | Equal to 1.00% | N/A | Quarterly | 78,467 | 84,671 | 6,204 |
$159,101 | $169,341 | $10,240 |
* | Implied credit spreads, represented in absolute terms, are utilized in determining the market value of credit default swaps agreements on corporate issues or sovereign issues and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made prior to entering into the agreement. For credit default swap with asset-backed securities or credit indices as the underlying assets, the quoted market prices and resulting market values serve as an indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
At July 31, 2022, the Fund held the following centrally cleared interest rate swaps: |
Currency | Notional Amount | Expiration Date | Counterparty | Receive (Pay) Floating Rate | Floating Rate Index | Fixed Rate | Frequency of Paid Payments Made | Premiums Paid (Received) | Value | Unrealized Appreciation/ (Depreciation) |
JPY | 1,340,000,000 | 07/11/2032 | Morgan Stanley & Co. | Receive | 12-month TONA | 0.40% | Annually | $7,366 | $(101,442) | $(108,808) |
$7,366 | $(101,442) | $(108,808) | ||||||||
USD | 10,100,000 | 08/01/2027 | Morgan Stanley & Co. | Pay | 12-month SOFR | 2.44% | Annually | - | 404 | 404 |
JPY | 347,500,000 | 07/11/2032 | Morgan Stanley & Co. | Pay | 12-month TONA | 0.40% | Annually | 21,610 | 21,656 | 46 |
$21,610 | $22,060 | $450 | ||||||||
$28,976 | $(79,382) | $(108,358) |
At July 31, 2022, the Fund held the following over-the-counter total return swaps: | ||||||||
Currency | Notional Amount | Expiration Date | Receive (Pay) Total Return of Equity Index | Equity Index | Floating Rate Index | Frequency of Payments Made | Value | Unrealized Appreciation/ (Depreciation) |
USD | $0.00 | 09/26/2022 | Pay | MSCI China A Index | 1-month SOFR | Monthly | $(41,179) | $(41,179) |
USD | 0.00 | 09/28/2022 | Pay | MSCI China A Index | 1-month SOFR | Monthly | (45,829) | (45,829) |
USD | 0.00 | 10/06/2022 | Pay | S&P 500 Low Volatility Net Total Return Index | 1-month SOFR | Monthly | 136,314 | 136,314 |
USD | 0.00 | 03/31/2023 | Pay | MSCI World Quality Index | 1-month SOFR | Monthly | 406,970 | 406,970 |
USD | 0.00 | 03/31/2023 | Receive | MSCI World Quality Index | 1-month SOFR | Monthly | (429,918) | (386,954) |
$69,322 |
At July 31, 2022, the Fund held the following purchased options: | |||||||
Description | Expiration Date | Exercise Price | Contracts | Notional Amount | Cost | Value | Unrealized Value |
Call Options Purchased 0.0% | |||||||
Index Options 0.0% | |||||||
CBOE Volatility Index | 08/17/2022 | 35.00 | 183 | 640,500 | $67,624 | $5,124 | $(62,500) |
At July 31, 2022, the Fund held the following written options: | |||||||
Description | Expiration Date | Exercise Price | Contracts | Notional Amount | Cost | Value | Unrealized Value |
Call Options Written 0.0% | |||||||
Index Options 0.0% | |||||||
CBOE Volatility Index | 08/17/2022 | 35.00 | (183) | (640,500) | $(78,364) | $(5,124) | $73,240 |
At July 31, 2022, the Fund held the following forward foreign currency contracts: | ||||||||
Purchase Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
Euro/United States Dollar | ||||||||
10/18/2022 | Barclays Bank plc | EUR | 322,000 | USD | 325,837 | $330,900 | $5,063 | |
Sale Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
United States Dollar/British Pound | ||||||||
10/18/2022 | UBS AG | USD | 4,823,902 | GBP | 4,021,000 | $4,905,651 | $(81,749) | |
United States Dollar/Euro | ||||||||
10/18/2022 | Barclays Bank plc | USD | 12,791,490 | EUR | 12,484,000 | 12,829,075 | (37,585) | |
$17,734,726 | $(119,334) | |||||||
Unrealized appreciation on forward foreign currency exchange contracts | $5,063 | |||||||
Unrealized depreciation on forward foreign currency exchange contracts | $(119,334) |
* | Certain contracts with different trade dates and like characteristics have been shown net. |
AMT | Alternative Minimum Tax |
VRDN | Variable Rate Demand Note |
VRN | Variable Rate Note |
60 |
61 |