| 1 |
| 2 |
| 3 |
| 4 |
| 5 |
| 6 |
| 7 |
| 8 |
| 9 |
| 10 |
| Futures Contracts Outstanding at April 30, 2023 | ||||||||
| Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
| Long position contracts: | ||||||||
| U.S. Treasury 2-Year Note Future | 130 | 06/30/2023 | $ 26,801,328 | $ 36,477 | ||||
| U.S. Treasury Long Bond Future | 7 | 06/21/2023 | 921,594 | 41,937 | ||||
| Total | $ 78,414 | |||||||
| Short position contracts: | ||||||||
| U.S. Treasury 5-Year Note Future | 176 | 06/30/2023 | $ 19,314,625 | $ (203,953) | ||||
| U.S. Treasury 10-Year Note Future | 27 | 06/21/2023 | 3,110,485 | 9,535 | ||||
| U.S. Treasury 10-Year Ultra Future | 65 | 06/21/2023 | 7,894,453 | (272,909) | ||||
| U.S. Treasury Ultra Bond Future | 29 | 06/21/2023 | 4,100,781 | (108,772) | ||||
| Total | $ (576,099) | |||||||
| Total futures contracts | $ (497,685) | |||||||
| Centrally Cleared Interest Rate Swap Contracts Outstanding at April 30, 2023 | |||||||||||||||||
| Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
| 2.88% Fixed | 12 Mo. USD SOFR | USD | 380,000 | 03/15/2053 | Annual | $ 4,442 | $ — | $ 7,449 | $ 3,007 | ||||||||
| 2.97% Fixed | 12 Mo. USD SOFR | USD | 1,330,000 | 03/15/2053 | Annual | 3,111 | — | 5,598 | 2,487 | ||||||||
| 3.25% Fixed | 12 Mo. USD SOFR | USD | 495,000 | 06/21/2053 | Annual | — | (5,416) | (27,927) | (22,511) | ||||||||
| Total centrally cleared interest rate swaps contracts | $ 7,553 | $ (5,416) | $ (14,880) | $ (17,017) | |||||||||||||
| 11 |
| Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
| Assets | ||||||||
| Asset & Commercial Mortgage-Backed Securities | $ 59,651,940 | $ — | $ 59,651,940 | $ — | ||||
| Corporate Bonds | 61,761,138 | — | 61,761,138 | — | ||||
| Foreign Government Obligations | 2,148,671 | — | 2,148,671 | — | ||||
| Municipal Bonds | 2,363,097 | — | 2,363,097 | — | ||||
| U.S. Government Agencies | 90,737,537 | — | 90,737,537 | — | ||||
| U.S. Government Securities | 95,058,038 | — | 95,058,038 | — | ||||
| Short-Term Investments | 644,897 | — | 644,897 | — | ||||
| Futures Contracts(2) | 87,949 | 87,949 | — | — | ||||
| Swaps - Interest Rate(2) | 5,494 | — | 5,494 | — | ||||
| Total | $ 312,458,761 | $ 87,949 | $ 312,370,812 | $ — | ||||
| Liabilities | ||||||||
| Futures Contracts(2) | $ (585,634) | $ (585,634) | $ — | $ — | ||||
| Swaps - Interest Rate(2) | (22,511) | — | (22,511) | — | ||||
| Total | $ (608,145) | $ (585,634) | $ (22,511) | $ — |
| (1) | For the period ended April 30, 2023, there were no transfers in and out of Level 3. |
| (2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
| 12 |
| 13 |
| * | Non-income producing. |
| † | For information regarding the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder report. |
| Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
| Assets | ||||||||
| Common Stocks | ||||||||
| Automobiles & Components | $ 707,847 | $ 707,847 | $ — | $ — | ||||
| Capital Goods | 1,194,706 | 1,194,706 | — | — | ||||
| Commercial & Professional Services | 3,398,237 | 3,398,237 | — | — | ||||
| Consumer Discretionary Distribution & Retail | 7,330,330 | 7,330,330 | — | — | ||||
| Consumer Durables & Apparel | 903,077 | 903,077 | — | — | ||||
| Consumer Services | 4,052,333 | 4,052,333 | — | — | ||||
| Energy | 1,335,202 | 1,335,202 | — | — | ||||
| Financial Services | 3,831,666 | 3,831,666 | — | — | ||||
| Food, Beverage & Tobacco | 2,229,371 | 2,229,371 | — | — | ||||
| Health Care Equipment & Services | 8,735,776 | 8,735,776 | — | — | ||||
| Materials | 708,272 | 708,272 | — | — | ||||
| Media & Entertainment | 9,857,474 | 9,857,474 | — | — | ||||
| Pharmaceuticals, Biotechnology & Life Sciences | 6,288,888 | 6,288,888 | — | — | ||||
| Semiconductors & Semiconductor Equipment | 5,572,400 | 5,572,400 | — | — | ||||
| Software & Services | 13,031,740 | 13,031,740 | — | — | ||||
| Technology Hardware & Equipment | 9,079,440 | 9,079,440 | — | — | ||||
| Transportation | 856,856 | 856,856 | — | — | ||||
| Exchange-Traded Funds | 3,201,138 | 3,201,138 | — | — | ||||
| Short-Term Investments | 295,156 | — | 295,156 | — | ||||
| Total | $ 82,609,909 | $ 82,314,753 | $ 295,156 | $ — |
| (1) | For the period ended April 30, 2023, there were no transfers in and out of Level 3. |
| 14 |
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| 20 |
| 21 |
| † | For information regarding the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder report. |
| Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
| Assets | ||||||||
| Municipal Bonds | $ 335,483,623 | $ — | $ 335,483,623 | $ — | ||||
| U.S. Government Agencies | 1,021,951 | — | 1,021,951 | — | ||||
| Short-Term Investments | 2,700,479 | — | 2,700,479 | — | ||||
| Total | $ 339,206,053 | $ — | $ 339,206,053 | $ — |
| (1) | For the period ended April 30, 2023, there were no transfers in and out of Level 3. |
| 22 |
| Futures Contracts Outstanding at April 30, 2023 | ||||||||
| Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
| Long position contracts: | ||||||||
| Brent Crude Oil Future | 38 | 05/31/2023 | $ 3,052,540 | $ (48,923) | ||||
| Coffee Future | 31 | 07/19/2023 | 2,161,669 | (33,347) | ||||
| Copper Future | 6 | 07/27/2023 | 583,575 | (31,723) | ||||
| Corn Future | 27 | 07/14/2023 | 789,750 | (74,911) | ||||
| Cotton No. 2 Future | 10 | 07/07/2023 | 404,000 | (10,186) | ||||
| Gasoline RBOB Future | 10 | 06/30/2023 | 1,044,960 | (101,392) | ||||
| Gold 100oz Future | 39 | 06/28/2023 | 7,796,490 | 256,151 | ||||
| ICE Gas Oil Future | 15 | 07/12/2023 | 1,043,250 | (105,010) | ||||
| Lean Hogs Future | 19 | 06/14/2023 | 696,920 | (74,011) | ||||
| LME Lead Future | 4 | 05/15/2023 | 215,500 | (408) | ||||
| LME Lead Future | 4 | 07/17/2023 | 214,900 | 3,617 | ||||
| LME Nickel Future | 7 | 05/15/2023 | 1,017,933 | (141,988) | ||||
| LME Nickel Future | 7 | 07/17/2023 | 1,018,038 | 23,336 | ||||
| LME Primary Aluminum Future | 15 | 12/16/2024 | 949,406 | (61,986) | ||||
| LME Zinc Future | 17 | 05/15/2023 | 1,124,444 | (196,039) | ||||
| LME Zinc Future | 15 | 07/17/2023 | 992,437 | (66,753) | ||||
| Natural Gas Future | 94 | 06/28/2023 | 2,423,320 | 132,600 | ||||
| NY Harbor ULSD Future | 7 | 06/30/2023 | 700,279 | (69,892) | ||||
| Primary Aluminum Future | 31 | 05/15/2023 | 1,838,300 | 27,262 | ||||
| Primary Aluminum Future | 29 | 07/17/2023 | 1,707,194 | 13,348 | ||||
| Silver Future | 20 | 07/27/2023 | 2,522,600 | (55,278) | ||||
| Soybean Future | 16 | 07/14/2023 | 1,135,400 | (52,393) | ||||
| Soybean Meal Future | 14 | 07/14/2023 | 605,360 | (32,468) | ||||
| Soybean Oil Future | 37 | 07/14/2023 | 1,147,074 | (57,985) | ||||
| Wheat Future | 16 | 07/14/2023 | 621,000 | (57,967) | ||||
| Wheat Future | 47 | 07/14/2023 | 1,489,312 | (136,274) | ||||
| World Sugar No. 11 Future | 48 | 06/30/2023 | 1,416,576 | 159,488 | ||||
| 23 |
| Futures Contracts Outstanding at April 30, 2023 – (continued) | ||||||||
| Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
| Long position contracts – (continued): | ||||||||
| WTI Crude Future | 44 | 06/20/2023 | $ 3,370,840 | $ (236,139) | ||||
| Total | $ (1,029,271) | |||||||
| Short position contracts: | ||||||||
| LME Lead Future | 4 | 05/15/2023 | $ 215,500 | $ (4,429) | ||||
| LME Nickel Future | 7 | 05/15/2023 | 1,017,933 | 10,203 | ||||
| LME Nickel Future | 1 | 07/17/2023 | 145,434 | (7,813) | ||||
| LME Primary Aluminum Future | 7 | 07/17/2023 | 412,081 | (5,164) | ||||
| LME Primary Aluminum Future | 15 | 12/16/2024 | 949,406 | (16,461) | ||||
| LME Zinc Future | 17 | 05/15/2023 | 1,124,444 | 84,450 | ||||
| Primary Aluminum Future | 31 | 05/15/2023 | 1,838,300 | (52,093) | ||||
| Total | $ 8,693 | |||||||
| Total futures contracts | $ (1,020,578) | |||||||
| Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
| Assets | ||||||||
| Common Stocks | ||||||||
| Materials | $ 190,863 | $ 190,863 | $ — | $ — | ||||
| Short-Term Investments | 34,761,563 | 2,479,627 | 32,281,936 | — | ||||
| Futures Contracts(2) | 710,455 | 710,455 | — | — | ||||
| Total | $ 35,662,881 | $ 3,380,945 | $ 32,281,936 | $ — | ||||
| Liabilities | ||||||||
| Futures Contracts(2) | $ (1,731,033) | $ (1,731,033) | $ — | $ — | ||||
| Total | $ (1,731,033) | $ (1,731,033) | $ — | $ — |
| (1) | For the period ended April 30, 2023, there were no transfers in and out of Level 3. |
| (2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
| 24 |
| 25 |
| 26 |
| Futures Contracts Outstanding at April 30, 2023 | ||||||||
| Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
| Long position contracts: | ||||||||
| S&P 500 (E-Mini) Future | 1 | 06/16/2023 | $ 20,943 | $ 782 | ||||
| Total futures contracts | $ 782 | |||||||
| 27 |
| Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
| Assets | ||||||||
| Common Stocks | ||||||||
| Automobiles & Components | $ 63,424 | $ 63,424 | $ — | $ — | ||||
| Banks | 67,503 | 67,503 | — | — | ||||
| Capital Goods | 787,360 | 787,360 | — | — | ||||
| Commercial & Professional Services | 198,395 | 198,395 | — | — | ||||
| Consumer Discretionary Distribution & Retail | 531,368 | 531,368 | — | — | ||||
| Consumer Durables & Apparel | 187,838 | 187,838 | — | — | ||||
| Consumer Services | 547,677 | 547,677 | — | — | ||||
| Consumer Staples Distribution & Retail | 209,155 | 209,155 | — | — | ||||
| Energy | 470,311 | 470,311 | — | — | ||||
| Equity Real Estate Investment Trusts (REITs) | 104,788 | 104,788 | — | — | ||||
| Financial Services | 442,297 | 442,297 | — | — | ||||
| Food, Beverage & Tobacco | 458,575 | 458,575 | — | — | ||||
| Health Care Equipment & Services | 368,355 | 368,355 | — | — | ||||
| Household & Personal Products | 176,623 | 176,623 | — | — | ||||
| Insurance | 435,699 | 435,699 | — | — | ||||
| Materials | 259,569 | 259,569 | — | — | ||||
| Media & Entertainment | 726,886 | 726,886 | — | — | ||||
| Pharmaceuticals, Biotechnology & Life Sciences | 937,493 | 937,493 | — | — | ||||
| Real Estate Management & Development | 1,306 | 1,306 | — | — | ||||
| Semiconductors & Semiconductor Equipment | 329,316 | 329,316 | — | — | ||||
| Software & Services | 701,226 | 701,226 | — | — | ||||
| Technology Hardware & Equipment | 955,851 | 955,851 | — | — | ||||
| Telecommunication Services | 49,891 | 49,891 | — | — | ||||
| Transportation | 189,245 | 189,245 | — | — | ||||
| Utilities | 76,328 | 76,328 | — | — | ||||
| Short-Term Investments | 82,787 | 82,787 | — | — | ||||
| Futures Contracts(2) | 782 | 782 | — | — | ||||
| Total | $ 9,360,048 | $ 9,360,048 | $ — | $ — |
| (1) | For the period ended April 30, 2023, there were no transfers in and out of Level 3. |
| (2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
| 28 |
| 29 |
| 30 |
| 31 |
| 32 |
| Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
| Assets | ||||||||
| Corporate Bonds | $ 5,449,920 | $ — | $ 5,449,920 | $ — | ||||
| Municipal Bonds | 77,694,319 | — | 77,694,319 | — | ||||
| U.S. Government Agencies | 3,127,114 | — | 3,127,114 | — | ||||
| U.S. Government Securities | 5,899,888 | — | 5,899,888 | — | ||||
| Short-Term Investments | 19,040,395 | 6,398,770 | 12,641,625 | — | ||||
| Total | $ 111,211,636 | $ 6,398,770 | $ 104,812,866 | $ — |
| (1) | For the period ended April 30, 2023, there were no transfers in and out of Level 3. |
| 33 |
| 34 |
| 35 |
| 36 |
| 37 |
| 38 |
| Futures Contracts Outstanding at April 30, 2023 | ||||||||
| Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
| Long position contracts: | ||||||||
| U.S. Treasury 2-Year Note Future | 48 | 06/30/2023 | $ 9,895,875 | $ 95,111 | ||||
| Short position contracts: | ||||||||
| U.S. Treasury 5-Year Note Future | 7 | 06/30/2023 | $ 768,196 | $ (17,899) | ||||
| U.S. Treasury 10-Year Note Future | 10 | 06/21/2023 | 1,152,031 | (34,851) | ||||
| Total | $ (52,750) | |||||||
| Total futures contracts | $ 42,361 | |||||||
| 39 |
| Foreign Currency Contracts Outstanding at April 30, 2023 | ||||||||||
| Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
| 222,000 | EUR | 245,068 | USD | BCLY | 05/03/2023 | $ 66 | ||||
| 241,070 | USD | 222,000 | EUR | HSBC | 05/03/2023 | (4,064) | ||||
| 494,188 | USD | 448,221 | EUR | UBS | 05/31/2023 | (1,581) | ||||
| 245,542 | USD | 222,000 | EUR | BCLY | 06/06/2023 | (87) | ||||
| Total foreign currency contracts | $ (5,666) | |||||||||
| Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
| Assets | ||||||||
| Asset & Commercial Mortgage-Backed Securities | $ 13,759,015 | $ — | $ 13,759,015 | $ — | ||||
| Corporate Bonds | 21,629,600 | — | 21,629,600 | — | ||||
| Senior Floating Rate Interests | 9,582,070 | — | 9,582,070 | — | ||||
| U.S. Government Agencies | 2,172,739 | — | 2,172,739 | — | ||||
| U.S. Government Securities | 3,640,261 | — | 3,640,261 | — | ||||
| Short-Term Investments | 86,997 | — | 86,997 | — | ||||
| Foreign Currency Contracts(2) | 66 | — | 66 | — | ||||
| Futures Contracts(2) | 95,111 | 95,111 | — | — | ||||
| Total | $ 50,965,859 | $ 95,111 | $ 50,870,748 | $ — | ||||
| Liabilities | ||||||||
| Foreign Currency Contracts(2) | $ (5,732) | $ — | $ (5,732) | $ — | ||||
| Futures Contracts(2) | (52,750) | (52,750) | — | — | ||||
| Total | $ (58,482) | $ (52,750) | $ (5,732) | $ — |
| (1) | For the period ended April 30, 2023, there were no transfers in and out of Level 3. |
| (2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
| 40 |
| 41 |
| 42 |
| 43 |
| 44 |
| 45 |
| 46 |
| Futures Contracts Outstanding at April 30, 2023 | ||||||||
| Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
| Long position contracts: | ||||||||
| U.S. Treasury 2-Year Note Future | 18 | 06/30/2023 | $ 3,710,953 | $ (15,151) | ||||
| U.S. Treasury 5-Year Note Future | 83 | 06/30/2023 | 9,108,602 | (2,914) | ||||
| U.S. Treasury 10-Year Note Future | 78 | 06/21/2023 | 8,985,844 | 179,939 | ||||
| U.S. Treasury 10-Year Ultra Future | 28 | 06/21/2023 | 3,400,687 | 45,521 | ||||
| Total | $ 207,395 | |||||||
| 47 |
| Futures Contracts Outstanding at April 30, 2023 – (continued) | ||||||||
| Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
| Short position contracts: | ||||||||
| Canadian 10-Year Bond Future | 9 | 06/21/2023 | $ 836,629 | $ (30,910) | ||||
| Euro BUXL 30-Year Bond Future | 6 | 06/08/2023 | 924,048 | (37,132) | ||||
| Euro-BOBL Future | 18 | 06/08/2023 | 2,344,300 | (25,505) | ||||
| Euro-BUND Future | 7 | 06/08/2023 | 1,047,608 | (37,711) | ||||
| U.S. Treasury Long Bond Future | 3 | 06/21/2023 | 394,969 | (17,973) | ||||
| U.S. Treasury Ultra Bond Future | 3 | 06/21/2023 | 424,219 | 6,213 | ||||
| Total | $ (143,018) | |||||||
| Total futures contracts | $ 64,377 | |||||||
| Centrally Cleared Credit Default Swap Contracts Outstanding at April 30, 2023 | |||||||||||||||
| Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||
| Credit default swaps on indices: | |||||||||||||||
| Sell protection: | |||||||||||||||
| CDX.NA.HY.S40 | USD | 4,115,000 | 5.00% | 06/20/2028 | Quarterly | $ 35,068 | $ 81,677 | $ 46,609 | |||||||
| ITRAXX-XOVER S39.V1 | EUR | 2,240,000 | 5.00% | 06/20/2028 | Quarterly | (21,707) | 80,127 | 101,834 | |||||||
| Total centrally cleared credit default swap contracts | $ 13,361 | $ 161,804 | $ 148,443 | ||||||||||||
| (1) | 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. |
| Centrally Cleared Interest Rate Swap Contracts Outstanding at April 30, 2023 | |||||||||||||||||
| Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
| 2.88% Fixed | 12 Mo. USD SOFR | USD | 190,000 | 03/15/2053 | Annual | $ 2,200 | $ — | $ 3,724 | $ 1,524 | ||||||||
| 2.97% Fixed | 12 Mo. USD SOFR | USD | 280,000 | 03/15/2053 | Annual | 899 | — | 592 | (307) | ||||||||
| 3.25% Fixed | 12 Mo. USD SOFR | USD | 125,000 | 06/21/2053 | Annual | — | (1,314) | (7,052) | (5,738) | ||||||||
| Total centrally cleared interest rate swaps contracts | $ 3,099 | $ (1,314) | $ (2,736) | $ (4,521) | |||||||||||||
| Foreign Currency Contracts Outstanding at April 30, 2023 | ||||||||||
| Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
| 78,000 | EUR | 85,791 | USD | CBA | 05/31/2023 | $ 484 | ||||
| 153,000 | EUR | 169,091 | USD | JPM | 05/31/2023 | 140 | ||||
| 79,000 | EUR | 84,810 | USD | SSG | 06/21/2023 | 2,668 | ||||
| 37,000 | EUR | 40,296 | USD | JPM | 06/21/2023 | 675 | ||||
| 31,000 | EUR | 33,797 | USD | BCLY | 06/21/2023 | 529 | ||||
| 34,000 | EUR | 37,136 | USD | TDB | 06/21/2023 | 513 | ||||
| 42,700,000 | KZT | 86,613 | USD | BOA | 03/20/2024 | 1,276 | ||||
| 13,602 | USD | 20,000 | AUD | SCB | 06/21/2023 | 355 | ||||
| 132,312 | USD | 200,000 | AUD | MSC | 06/21/2023 | (157) | ||||
| 126,341 | USD | 171,000 | CAD | MSC | 05/31/2023 | 187 | ||||
| 134,001 | USD | 185,000 | CAD | TDB | 06/21/2023 | (2,546) | ||||
| 4,218,379 | USD | 3,826,000 | EUR | UBS | 05/31/2023 | (13,499) | ||||
| 45,407 | USD | 42,000 | EUR | HSBC | 06/21/2023 | (1,100) | ||||
| 2,333,063 | USD | 2,173,000 | EUR | DEUT | 06/21/2023 | (73,129) | ||||
| 276,184 | USD | 233,000 | GBP | GSC | 06/21/2023 | (17,000) | ||||
| 276,618 | USD | 37,000,000 | JPY | MSC | 06/21/2023 | 2,711 | ||||
| 14,519 | USD | 1,900,000 | JPY | RBC | 06/21/2023 | 453 | ||||
| 48 |
| Foreign Currency Contracts Outstanding at April 30, 2023 – (continued) | ||||||||||
| Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
| 946,734 | USD | 125,000,000 | JPY | SCB | 07/03/2023 | $ 19,631 | ||||
| 758,389 | USD | 100,000,000 | JPY | BOA | 07/31/2023 | 13,654 | ||||
| Total foreign currency contracts | $ (64,155) | |||||||||
| Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
| Assets | ||||||||
| Asset & Commercial Mortgage-Backed Securities | $ 3,762,897 | $ — | $ 3,762,897 | $ — | ||||
| Convertible Bonds | 1,129,573 | — | 1,129,573 | — | ||||
| Corporate Bonds | 16,148,515 | — | 16,148,515 | — | ||||
| Foreign Government Obligations | 6,480,025 | — | 6,480,025 | — | ||||
| Senior Floating Rate Interests | 5,930,168 | — | 5,930,168 | — | ||||
| U.S. Government Agencies | 4,498,632 | — | 4,498,632 | — | ||||
| U.S. Government Securities | 12,939,848 | — | 12,939,848 | — | ||||
| Common Stocks | ||||||||
| Pharmaceuticals, Biotechnology & Life Sciences | 65,150 | 65,150 | — | — | ||||
| Convertible Preferred Stocks | 132,472 | 132,472 | — | — | ||||
| Preferred Stocks | 49,660 | 49,660 | — | — | ||||
| Short-Term Investments | 385,753 | — | 385,753 | — | ||||
| Foreign Currency Contracts(2) | 43,276 | — | 43,276 | — | ||||
| Futures Contracts(2) | 231,673 | 231,673 | — | — | ||||
| Swaps - Credit Default(2) | 148,443 | — | 148,443 | — | ||||
| Swaps - Interest Rate(2) | 1,524 | — | 1,524 | — | ||||
| Total | $ 51,947,609 | $ 478,955 | $ 51,468,654 | $ — | ||||
| Liabilities | ||||||||
| Foreign Currency Contracts(2) | $ (107,431) | $ — | $ (107,431) | $ — | ||||
| Futures Contracts(2) | (167,296) | (167,296) | — | — | ||||
| Swaps - Interest Rate(2) | (6,045) | — | (6,045) | — | ||||
| Total | $ (280,772) | $ (167,296) | $ (113,476) | $ — |
| (1) | For the period ended April 30, 2023, there were no transfers in and out of Level 3. |
| (2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
| 49 |
| 50 |
| 51 |
| 52 |
| 53 |
| 54 |
| 55 |
| 56 |
| 57 |
| 58 |
| 59 |
| 60 |
| 61 |
| 62 |
| 63 |
| 64 |
| OTC Swaptions Outstanding at April 30, 2023 | ||||||||||||||||||
| Description | Counter- party | Exercise Price/ FX Rate/Rate | Pay/ Receive Floating Rate | Expiration Date | Notional Amount | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||
| Purchased swaptions: | ||||||||||||||||||
| Call | ||||||||||||||||||
| 1D USD SOFR Compound* | BCLY | 3.11% | Pay | 04/20/2026 | USD | 1,275,000 | $ 83,191 | $ 72,675 | $ 10,516 | |||||||||
| Put | ||||||||||||||||||
| 1D USD SOFR Compound* | BCLY | 3.11% | Pay | 04/20/2026 | USD | 1,275,000 | $ 66,121 | $ 72,675 | $ (6,554) | |||||||||
| Total purchased OTC swaption contracts | $ 149,312 | $ 145,350 | $ 3,962 | |||||||||||||||
| * | Swaptions with forward premiums. |
| Futures Contracts Outstanding at April 30, 2023 | ||||||||
| Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
| Long position contracts: | ||||||||
| U.S. Treasury 2-Year Note Future | 355 | 06/30/2023 | $ 73,188,242 | $ (291,007) | ||||
| U.S. Treasury 5-Year Note Future | 1,274 | 06/30/2023 | 139,811,547 | 137,256 | ||||
| U.S. Treasury 10-Year Ultra Future | 39 | 06/21/2023 | 4,736,672 | (653) | ||||
| U.S. Treasury Long Bond Future | 23 | 06/21/2023 | 3,028,094 | 93,907 | ||||
| Total | $ (60,497) | |||||||
| Short position contracts: | ||||||||
| Canadian 10-Year Bond Future | 150 | 06/21/2023 | $ 13,943,818 | $ (515,685) | ||||
| 65 |
| Futures Contracts Outstanding at April 30, 2023 – (continued) | ||||||||
| Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
| Short position contracts – (continued): | ||||||||
| Euro BUXL 30-Year Bond Future | 95 | 06/08/2023 | $ 14,630,762 | $ (563,184) | ||||
| Euro-BOBL Future | 180 | 06/08/2023 | 23,443,001 | (62,552) | ||||
| Euro-BUND Future | 70 | 06/08/2023 | 10,476,078 | (377,625) | ||||
| U.S. Treasury 10-Year Note Future | 443 | 06/21/2023 | 51,034,984 | (73,568) | ||||
| U.S. Treasury Ultra Bond Future | 94 | 06/21/2023 | 13,292,187 | 141,431 | ||||
| Total | $ (1,451,183) | |||||||
| Total futures contracts | $ (1,511,680) | |||||||
| TBA Sale Commitments Outstanding at April 30, 2023 | ||||||||
| Description | Principal Amount | Maturity Date | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||
| Uniform Mortgage-Backed Security, 2.50% | $ 3,133,000 | 05/15/2053 | $ (2,705,887) | $ 10,400 | ||||
| Uniform Mortgage-Backed Security, 3.00% | 17,753,000 | 05/15/2053 | (15,912,451) | 57,907 | ||||
| Uniform Mortgage-Backed Security, 3.50% | 24,775,000 | 05/15/2053 | (22,987,988) | 119,265 | ||||
| Uniform Mortgage-Backed Security, 4.00% | 11,837,000 | 05/15/2053 | (11,299,249) | 35,554 | ||||
| Total TBA sale commitments (proceeds receivable $53,128,701) | $ (52,905,575) | $ 223,126 | ||||||
| At April 30, 2023, the aggregate market value of TBA Sale Commitments represents (5.0)% of total net assets. | ||||||||
| Centrally Cleared Credit Default Swap Contracts Outstanding at April 30, 2023 | |||||||||||||||
| Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||
| Credit default swaps on indices: | |||||||||||||||
| Buy protection: | |||||||||||||||
| CDX.EM.38.V1 | USD | 15,930,000 | (1.00%) | 12/20/2027 | Quarterly | $ 967,237 | $ 836,145 | $ (131,092) | |||||||
| Total | $ 967,237 | $ 836,145 | $ (131,092) | ||||||||||||
| Credit default swaps on single-name issues: | |||||||||||||||
| Buy protection: | |||||||||||||||
| Brazil Republic | USD | 3,350,000 | (1.00%) | 06/20/2027 | Quarterly | $ 153,100 | $ 86,094 | $ (67,006) | |||||||
| Total | $ 153,100 | $ 86,094 | $ (67,006) | ||||||||||||
| Total centrally cleared credit default swap contracts | $ 1,120,337 | $ 922,239 | $ (198,098) | ||||||||||||
| (1) | 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. |
| Centrally Cleared Interest Rate Swap Contracts Outstanding at April 30, 2023 | |||||||||||||||||
| Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
| 3.16% Fixed | 12 Mo. USD SOFR | USD | 150,000 | 04/22/2036 | Annual | $ — | $ — | $ (1,809) | $ (1,809) | ||||||||
| 2.88% Fixed | 12 Mo. USD SOFR | USD | 4,030,000 | 03/15/2053 | Annual | 46,786 | — | 78,995 | 32,209 | ||||||||
| 2.97% Fixed | 12 Mo. USD SOFR | USD | 5,185,000 | 03/15/2053 | Annual | 3,128 | — | 22,884 | 19,756 | ||||||||
| 3.25% Fixed | 12 Mo. USD SOFR | USD | 1,225,000 | 06/21/2053 | Annual | — | (13,526) | (69,113) | (55,587) | ||||||||
| Total centrally cleared interest rate swaps contracts | $ 49,914 | $ (13,526) | $ 30,957 | $ (5,431) | |||||||||||||
| 66 |
| Foreign Currency Contracts Outstanding at April 30, 2023 | ||||||||||
| Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
| 1,573,000 | EUR | 1,682,765 | USD | SSG | 06/21/2023 | $ 59,040 | ||||
| 272,000 | EUR | 294,510 | USD | BNP | 06/21/2023 | 6,679 | ||||
| 3,659,178 | USD | 19,188,000 | BRL | MSC | 06/21/2023 | (138,448) | ||||
| 152,725 | USD | 138,519 | EUR | UBS | 05/31/2023 | (489) | ||||
| 19,266,829 | USD | 17,945,000 | EUR | DEUT | 06/21/2023 | (603,911) | ||||
| Total foreign currency contracts | $ (677,129) | |||||||||
| Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
| Assets | ||||||||
| Asset & Commercial Mortgage-Backed Securities | $ 239,684,007 | $ — | $ 238,175,287 | $ 1,508,720 | ||||
| Corporate Bonds | 263,180,708 | — | 263,180,708 | — | ||||
| Foreign Government Obligations | 29,500,760 | — | 29,500,760 | — | ||||
| Municipal Bonds | 13,331,265 | — | 13,331,265 | — | ||||
| Senior Floating Rate Interests | 141,625 | — | 141,625 | — | ||||
| U.S. Government Agencies | 490,738,563 | — | 490,738,563 | — | ||||
| U.S. Government Securities | 254,936,883 | — | 254,936,883 | — | ||||
| Short-Term Investments | 2,105,751 | — | 2,105,751 | — | ||||
| Purchased Options | 149,312 | — | 149,312 | — | ||||
| Foreign Currency Contracts(2) | 65,719 | — | 65,719 | — | ||||
| Futures Contracts(2) | 372,594 | 372,594 | — | — | ||||
| Swaps - Interest Rate(2) | 51,965 | — | 51,965 | — | ||||
| Total | $ 1,294,259,152 | $ 372,594 | $ 1,292,377,838 | $ 1,508,720 | ||||
| Liabilities | ||||||||
| Foreign Currency Contracts(2) | $ (742,848) | $ — | $ (742,848) | $ — | ||||
| Futures Contracts(2) | (1,884,274) | (1,884,274) | — | — | ||||
| Swaps - Interest Rate(2) | (57,396) | — | (57,396) | — | ||||
| Swaps - Credit Default(2) | (198,098) | — | (198,098) | — | ||||
| TBA Sale Commitments | (52,905,575) | — | (52,905,575) | — | ||||
| Total | $ (55,788,191) | $ (1,884,274) | $ (53,903,917) | $ — |
| (1) | For the period ended April 30, 2023, there were no transfers in and out of Level 3. |
| (2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
| 67 |
| 68 |
| 1. | Investment Valuation and Fair Value Measurements: |
| The net asset value ("NAV") of each Fund's shares is determined as of the close of regular trading on the New York Stock Exchange (the “Exchange”) (normally 4:00 p.m. Eastern Time) (the "NYSE Close") on each day that the Exchange is open ("Valuation Date"). If the Exchange is closed due to weather or other extraordinary circumstances on a day it would typically be open for business, each Fund may treat such day as a typical business day and accept creation and redemption orders from Authorized Participants and calculate each Fund’s NAV in accordance with applicable law. The NAV for the shares of each Fund is determined by dividing the value of the Fund’s net assets attributable to the shares by the number of shares outstanding. Information that becomes known to the Funds after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the NAV determined earlier that day. | |
| For purposes of calculating the NAV per share of each Fund, portfolio securities and other assets held in a Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services.Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions. | |
| With respect to a Fund's investments that do not have readily available market prices, the Trust's Board of Trustees (the "Board") has designated Hartford Funds Management Company, LLC (the "Investment Manager") as its valuation designee to perform fair valuations pursuant to Rule 2a-5 under the 1940 Act ("the Valuation Designee"). | |
| If market prices are not readily available or deemed unreliable, the Valuation Designee determines the fair value of the security or other instrument in good faith under policies and procedures approved by and under the supervision of the Board ("Valuation Procedures"). | |
| The Valuation Designee has delegated the day-to-day responsibility for implementing the Valuation Procedures to the Valuation Committee. The Valuation Committee will consider all available relevant factors in determining an investment’s fair value. The Valuation Designee reports fair value matters to the Audit Committee of the Board. | |
| Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase, sell or redeem shares of the Fund. | |
| Fixed income investments (other than short-term obligations) and non-exchange traded derivatives held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. | |
| Exchange-traded derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange ("Exchange Close"). If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the Exchange Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the Exchange Close. Over-the-counter derivatives are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures. | |
| Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot currency exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and the market value may change on days when an investor is not able to purchase, redeem or sell shares of a Fund. | |
| Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date. | |
| Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Investments in investment companies that are not listed or traded on an exchange ("Non-Traded Funds"), if any, are valued at the respective NAV of each Non-Traded Fund on the Valuation Date. Such Non-Traded Funds and listed investment companies may use fair value pricing as disclosed in their prospectuses. | |
| Financial instruments for which prices are not available from an independent pricing service may be valued using quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures. |
| 69 |
| U.S. GAAP defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. These levels are: |
| • | Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange-traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange-traded funds, rights and warrants. |
| • | Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange-traded instruments and which are valued using independent pricing services; foreign equities, which are principally traded on certain foreign markets and are adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract. |
| • | Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price. |
| 70 |