Reverse Repurchase Agreements as of February 29, 2024 were as follows: | |||
Counterparty | Interest Rate | Acquisition Date* | Amount |
JPM | 5.80% | 01/11/24 | $(928) |
JPM | 6.00 | 01/30/24 | (462) |
JPM | 6.10 | 02/01/24 | (893) |
JPM | 5.80 | 02/01/24 | (692) |
JPM | 6.05 | 02/01/24 | (1,430) |
JPM | 5.75 | 02/01/24 | (1,612) |
JPM | 5.90 | 02/01/24 | (1,046) |
JPM | 5.80 | 02/01/24 | (623) |
JPM | 5.70 | 02/01/24 | (2,084) |
JPM | 5.85 | 02/01/24 | (1,015) |
JPM | 5.80 | 02/01/24 | (408) |
JPM | 5.90 | 01/17/24 | (1,104) |
JPM | 5.90 | 02/01/24 | (2,753) |
JPM | 6.00 | 02/01/24 | (1,755) |
JPM | 5.80 | 02/01/24 | (463) |
JPM | 5.60 | 02/01/24 | (636) |
JPM | 6.05 | 02/01/24 | (2,183) |
JPM | 5.75 | 02/01/24 | (338) |
JPM | 5.80 | 02/01/24 | (532) |
Reverse Repurchase Agreements as of February 29, 2024 were as follows: | |||
Counterparty | Interest Rate | Acquisition Date* | Amount |
JPM | 5.65% | 02/01/24 | $(684) |
JPM | 5.95 | 02/01/24 | (1,498) |
JPM | 5.90 | 02/01/24 | (2,232) |
JPM | 5.90 | 01/17/24 | (1,568) |
JPM | 5.65 | 02/01/24 | (345) |
JPM | 6.00 | 02/01/24 | (599) |
JPM | 5.90 | 02/01/24 | (978) |
JPM | 5.80 | 02/01/24 | (1,046) |
JPM | 6.05 | 02/01/24 | (511) |
JPM | 6.10 | 02/01/24 | (1,749) |
JPM | 5.85 | 02/01/24 | (1,465) |
JPM | 5.80 | 02/01/24 | (424) |
JPM | 5.90 | 02/27/24 | (1,159) |
JPM | 5.80 | 02/27/24 | (7,219) |
JPM | 5.90 | 01/17/24 | (1,293) |
JPM | 5.90 | 01/17/24 | (683) |
JPM | 5.90 | 01/19/24 | (831) |
JPM | 6.00 | 01/30/24 | (1,359) |
JPM | 5.80 | 01/30/24 | (340) |
JPM | 6.05 | 01/30/24 | (707) |
Total | $(47,647) |
Footnote Legend: | |
* | All agreements can be terminated by either party on demand at value plus accrued interest. |
Over-the-counter credit default swaps - sell protection(1) outstanding as of February 29, 2024 were as follows: | |||||||||||||
Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
Republic of Argentina 5 Year CDS, CCC-(3),* | Quarterly | BCLY | 5.000% | 12/20/25 | $11,200 | $(4,365) | $(1,275) | $— | $(3,090) | ||||
Total | $(4,365) | $(1,275) | $— | $(3,090) |
Footnote Legend: | |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | Based on Republic of Argentina Sovereign Debt Obligation, USD Denominated 1.00% fixed coupon, 07/09/2029 maturity. |
* | S&P. |
Total Value at February 29, 2024 | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Debt Instruments: | |||||
Foreign Government Securities | $104,907 | $104,907 | $— | ||
Corporate Bonds and Notes | 64,428 | 64,428 | — | ||
Credit Linked Notes | 5,276 | — | 5,276 | ||
Total Assets | 174,611 | 169,335 | 5,276 | ||
Liabilities: | |||||
Other Financial Instruments:(1) | |||||
Over-the-Counter Credit Default Swap | (4,365) | (4,365) | — | ||
Reverse Repurchase Agreements | (47,647) | (47,647) | — | ||
Total Liabilities | (52,012) | (52,012) | — | ||
Total Investments | $122,599 | $117,323 | $5,276 |
(1) | Other financial instruments are derivative instruments reflected in the Schedule of Investments. Swaps are reported at value. For liabilities arising from reverse repurchase agreements, the carrying amount approximates fair value due to the short-term maturity of these financial instruments. |
Total | Credit Linked Notes | ||
Investments in Securities | |||
Balance as of November 30, 2023: | $ 2,833 | $ 2,833 | |
Accrued discount/(premium) | 44 | 44 | |
Net realized gain (loss) | (107) | (107) | |
Net change in unrealized appreciation (depreciation)(a) | (54) | (54) | |
Purchases | 3,311 | 3,311 | |
Sales(b) | (751) | (751) | |
Balance as of February 29, 2024 | $ 5,276 | $ 5,276 |