NPORT-EX 2 macro.htm LOCORR MACRO STRATEGIES FUND 3.31.23 PART F

LoCorr Macro Strategies Fund
          
Consolidated Schedule of Investments
                
March 31, 2023 (Unaudited)
                
                 
     
Maturity
  
Coupon
  
Principal
    
     
Date
  
Rate
  
Amount
  
Value
ASSET BACKED SECURITIES: 4.86%
                
321 Henderson Receivables I LLC
                
 
Series 2006-1A A1 (1 Month LIBOR USD + 0.200%) (a)(c)
  
03/15/2041
  
4.88%
  
$
  20,416  
$
  20,386
 
Series 2004-A A1 (1 Month LIBOR USD + 0.350%) (a)(c)
  
09/15/2045
  
5.03%
  
                32,140
  
                31,804
American Homes 4 Rent Trust, 2014-SFR2 A (a)
  
10/17/2036
  
3.79%
  
              710,819
  
              692,892
AmeriCredit Automobile Receivables Trust, 2021-2 A3
  
12/18/2026
  
0.34%
  
           4,103,406
  
           4,000,258
Bank of America Credit Card Trust, 2021-A1 A1
  
09/15/2026
  
0.44%
  
           2,120,000
  
           2,023,001
Carmax Auto Owner Trust, 2021-4 A3
  
09/15/2026
  
0.56%
  
           3,805,000
  
           3,612,973
Carvana Auto Receivables Trust
                
 
Series 2021-P2 A3
  
03/10/2026
  
0.49%
  
           4,499,458
  
           4,350,915
 
Series 2021-P4 A-3
  
01/10/2027
  
1.31%
  
           7,270,000
  
           6,891,157
 
Series 2022-P3
  
11/10/2027
  
4.61%
  
           4,800,000
  
           4,693,854
Citibank Credit Card Issuance Trust, 2018-A3 A3
  
05/23/2025
  
3.29%
  
           3,500,000
  
           3,490,475
DB Master Finance LLC, 2021-1A A2I (a)
  
11/20/2051
  
2.05%
  
           4,048,750
  
           3,559,062
Diamond Resorts Owner Trust, 2021-1A A (a)
  
11/21/2033
  
1.51%
  
           1,061,095
  
              983,011
Elara HGV Timeshare Issuer, 2021-A A (a)
  
08/27/2035
  
1.36%
  
           1,818,212
  
           1,633,183
Entergy New Orleans Storm Recovery Funding LLC, 2015-1 A
  
06/01/2027
  
2.67%
  
              345,059
  
              336,628
Ford Credit Auto Owner Trust, 2018-2 A (a)
  
01/15/2030
  
3.47%
  
           1,400,000
  
           1,392,180
Freddie Mac STACR REMIC Trust, 2021-HQA4 M1 (SOFR30A + 0.950%) (a)(c)
  
12/26/2041
  
5.51%
  
           5,493,397
  
           5,292,188
GM Financial Consumer Automobile Receivables Trust
                
 
Series 2021-1 A3
  
10/16/2025
  
0.35%
  
           2,042,658
  
           1,987,760
 
Series 2021-3 A3
  
06/16/2026
  
0.48%
  
           5,340,486
  
           5,122,843
Hilton Grand Vacations Trust, 2019-AA A (a)
  
07/25/2033
  
2.34%
  
           1,078,686
  
           1,015,330
Hyundai Auto Receivables Trust, 2020-C A3
  
05/15/2025
  
0.38%
  
           2,726,525
  
           2,662,035
Invitation Homes Trust, 2018-SFR4 A (1 Month LIBOR USD + 1.100%) (a)(c)
  
01/19/2038
  
5.81%
  
              880,184
  
              876,601
John Deere Owner Trust, 2022-C
  
08/15/2025
  
4.98%
  
           7,000,000
  
           6,993,507
MVW Owner Trust
                
 
Series 2019-1A A (a)
  
11/20/2036
  
2.89%
  
              477,043
  
              451,697
 
Series 2019-2A A (a)
  
10/20/2038
  
2.22%
  
              692,826
  
              648,820
 
Series 2021-1WA A (a)
  
01/22/2041
  
1.14%
  
           1,796,709
  
           1,635,031
Navient Student Loan Trust, 2021-A A (a)
  
05/15/2069
  
0.84%
  
           1,931,858
  
           1,687,883
PFS Financing Corp.
                
 
Series 2020-G A (a)
  
02/17/2026
  
0.97%
  
           2,288,000
  
           2,199,838
 
Series 2021-B A (a)
  
08/17/2026
  
0.77%
  
           3,550,000
  
           3,316,799
Planet Fitness Master Issuer LLC, 3.25100 (a)
  
12/05/2051
  
3.25%
  
           3,168,000
  
           2,770,657
Santander Drive Auto Receivables Trust, 2022-6 A3
  
11/16/2026
  
4.49%
  
           4,500,000
  
           4,460,916
Sierra Receivables Funding LLC, 2018-3A A (a)
  
09/20/2035
  
3.69%
  
              462,593
  
              458,704
SoFi Professional Loan Program LLC, 2016-D A2B (a)
  
04/25/2033
  
2.34%
  
              133,689
  
              131,345
SoFi Professional Loan Program Trust, 2021-B AFX (a)
  
02/15/2047
  
1.14%
  
           1,654,065
  
           1,380,874
Taco Bell Funding LLC, 2021-1A A21 (a)
  
08/25/2051
  
1.95%
  
           5,796,625
  
           5,036,322
Tesla Auto Lease Trust, 2021-A B (a)
  
03/20/2025
  
1.02%
  
           2,900,000
  
           2,811,045
Toyota Auto Loan Extended Note Trust, 2020-1 A (a)
  
05/25/2033
  
1.35%
  
           1,950,000
  
           1,809,956
Toyota Auto Receivables Owner Trust, 2022-C A3
  
04/15/2027
  
3.76%
  
           3,000,000
  
           2,940,463
Toyota Lease Owner Trust, 2021-B A3 (a)
  
10/21/2024
  
0.42%
  
           5,992,155
  
           5,882,270
Volkswagen Auto Loan Enhanced Trust, 2021-1 A3
  
06/22/2026
  
1.02%
  
           5,570,000
  
           5,324,393
TOTAL ASSET BACKED SECURITIES (Cost $109,719,219)
              
       104,609,056
                   
                   
CORPORATE BONDS: 9.11%
                
Aerospace & Defense: 0.20%
                
Boeing Co.
  
02/04/2026
  
2.20%
  
           3,655,000
  
           3,392,168
Raytheon Technologies Corp.
  
02/27/2026
  
5.00%
  
              870,000
  
              882,636
                 
           4,274,804
Agriculture: 0.06%
                
Philip Morris International, Inc.
  
02/15/2028
  
4.88%
  
           1,400,000
  
           1,411,777
                 
Auto Manufacturers: 0.25%
                
General Motors Financial Co., Inc.
  
02/26/2027
  
2.35%
  
              660,000
  
              590,332
General Motors Financial Co., Inc.
  
06/20/2025
  
2.75%
  
           1,400,000
  
           1,324,934
Mercedes-Benz Finance North America LLC (a)
  
03/01/2024
  
0.75%
  
              795,000
  
              763,191
Volkswagen Group of America Finance LLC (a)
  
11/22/2023
  
0.88%
  
           1,440,000
  
           1,400,401
Volkswagen Group of America Finance LLC (a)
  
11/24/2025
  
1.25%
  
           1,390,000
  
           1,263,769
                 
           5,342,627
Banks: 3.87%
                
Banco Santander SA (b)
  
03/24/2025
  
3.50%
  
           1,175,000
  
           1,129,527
Banco Santander SA (b)
  
05/28/2025
  
2.75%
  
              815,000
  
              768,185
Bank of America Corp. (SOFR + 1.150%) (c)
  
06/19/2026
  
1.32%
  
           6,205,000
  
           5,673,423
Bank of America Corp. (SOFR + 1.010%) (c)
  
10/24/2026
  
1.20%
  
           4,215,000
  
           3,781,562
Bank of America Corp. (SOFR + 1.580%) (c)
  
04/27/2028
  
4.38%
  
           3,015,000
  
           2,920,103
Barclays PLC (1 Year CMT  Rate + 0.800%) (b)(c)
  
12/10/2024
  
1.01%
  
           2,465,000
  
           2,374,855
Canadian Imperial Bank (b)
  
04/07/2027
  
3.45%
  
           1,665,000
  
           1,572,876
Citigroup, Inc. (SOFR + 1.372%) (c)
  
05/24/2025
  
4.14%
  
           3,505,000
  
           3,441,446
Citigroup, Inc. (SOFR + 0.528%) (c)
  
11/03/2025
  
1.28%
  
           2,455,000
  
           2,292,195
Citigroup, Inc. (SOFR + 0.765%) (c)
  
01/28/2027
  
1.12%
  
           2,030,000
  
           1,808,194
Citigroup, Inc. (SOFR + 1.887%) (c)
  
05/24/2028
  
4.66%
  
           1,105,000
  
           1,089,729
Credit Suisse AG (b)
  
05/05/2023
  
1.00%
  
           2,610,000
  
           2,583,900
Credit Suisse AG (b)
  
08/09/2023
  
0.52%
  
           1,805,000
  
           1,753,106
Credit Suisse AG (b)
  
07/09/2027
  
5.00%
  
           1,425,000
  
           1,371,563
Deutsche Bank NY (b)
  
05/28/2024
  
0.90%
  
           1,115,000
  
           1,046,361
Federation des Caisses Desjardins du Quebec (a)(b)
  
03/14/2028
  
5.70%
  
           1,340,000
  
           1,369,705
Goldman Sachs Group, Inc. (3 Month LIBOR USD + 1.201%) (c)
  
09/29/2025
  
3.27%
  
           5,795,000
  
           5,619,661
Goldman Sachs Group, Inc. (SOFR + 0.609%) (c)
  
02/12/2026
  
0.86%
  
           1,520,000
  
           1,389,957
Goldman Sachs Group, Inc. (SOFR + 0.789%) (c)
  
12/09/2026
  
1.09%
  
           3,400,000
  
           3,042,706
HSBC Holdings PLC (SOFR + 1.929%) (b)(c)
  
06/04/2026
  
2.10%
  
           3,510,000
  
           3,220,531
ING Groep NV (b)
  
04/09/2024
  
3.55%
  
           1,955,000
  
           1,913,241
ING Groep NV (SOFR + 1.640%) (b)(c)
  
03/28/2026
  
3.87%
  
           2,085,000
  
           2,015,044
JP Morgan Chase & Co. (SOFR + 0.800%) (c)
  
11/19/2026
  
1.05%
  
           7,695,000
  
           6,861,867
JP Morgan Chase & Co. (TSFR3M + 0.695%) (c)
  
02/04/2027
  
1.04%
  
           2,980,000
  
           2,657,934
Mitsubishi UFJ Financial Group, Inc. (b)
  
02/25/2025
  
2.19%
  
           1,945,000
  
           1,831,477
Morgan Stanley (SOFR + 0.525%) (c)
  
05/30/2025
  
0.79%
  
           2,075,000
  
           1,963,521
Morgan Stanley (SOFR + 1.152%) (c)
  
07/22/2025
  
2.72%
  
           1,135,000
  
           1,094,626
Morgan Stanley (SOFR + 0.858%) (c)
  
07/20/2027
  
1.51%
  
           4,510,000
  
           4,004,412
NatWest Markets PLC (a)(b)
  
08/12/2024
  
0.80%
  
           1,475,000
  
           1,379,694
Royal Bank of Canada (b)
  
07/26/2024
  
3.97%
  
           1,860,000
  
           1,834,233
Svenska Handelsbanken AB (a)(b)
  
06/11/2024
  
0.55%
  
              930,000
  
              879,972
Toronto-Dominion Bank (b)
  
06/06/2025
  
3.77%
  
           1,845,000
  
           1,795,335
Toronto-Dominion Bank (b)
  
09/10/2026
  
1.25%
  
           2,260,000
  
           1,996,777
UBS AG/London (a)(b)
  
06/01/2023
  
0.38%
  
           1,390,000
  
           1,379,132
UBS AG/London (a)(b)
  
08/09/2024
  
0.70%
  
           1,880,000
  
           1,755,926
UBS Group AG (1 Year CMT  Rate + 0.830%) (a)(b)(c)
  
07/30/2024
  
1.01%
  
              750,000
  
              734,897
UBS Group AG (1 Year CMT  Rate + 1.550%) (a)(b)(c)
  
05/12/2026
  
4.49%
  
           1,100,000
  
           1,060,295
                 
         83,407,968
Building Materials: 0.04%
                
Trane Technologies Luxembourg Finance SA (b)
  
03/21/2026
  
3.50%
  
              955,000
  
              926,006
                   
Chemicals: 0.06%
                
Nutrien Ltd. (b)
  
11/07/2025
  
5.95%
  
           1,375,000
  
           1,407,374
                 
Cosmetics & Personal Care: 0.23%
                
Colgate-Palmolive Co.
  
03/02/2026
  
4.80%
  
           2,380,000
  
           2,432,293
Haleon US Capital LLC
  
03/24/2027
  
3.38%
  
           2,675,000
  
           2,534,362
                 
           4,966,655
Diversified Financial Services: 0.70%
                
AerCap Ireland Capital/Global Aviation Trust (b)
  
10/29/2024
  
1.65%
  
           5,960,000
  
           5,566,782
AerCap Ireland Capital/Global Aviation Trust (b)
  
01/30/2026
  
1.75%
  
           1,465,000
  
           1,310,925
Air Lease Corp.
  
12/15/2027
  
5.85%
  
           1,900,000
  
           1,908,556
Capital One Financial Corp. (SOFR + 1.370%) (c)
  
05/09/2025
  
4.17%
  
           2,015,000
  
           1,951,350
Charles Schwab Corp.
  
03/03/2027
  
2.45%
  
           1,500,000
  
           1,342,542
OMERS Finance Trust (a)(b)
  
05/02/2024
  
2.50%
  
           1,930,000
  
           1,883,645
Private Export Funding Corp.
  
06/15/2025
  
3.25%
  
           1,255,000
  
           1,223,101
                 
         15,186,901
Electric: 0.31%
                
Eversource Energy
  
08/15/2025
  
0.80%
  
              335,000
  
              304,428
Florida Power & Light Co.
  
04/01/2028
  
5.05%
  
           1,105,000
  
           1,140,745
NSTAR Electric Co.
  
05/15/2027
  
3.20%
  
           2,490,000
  
           2,358,983
Southern California Edison Co.
  
04/01/2024
  
1.10%
  
           2,545,000
  
           2,422,047
Southern California Edison Co.
  
02/01/2026
  
1.20%
  
              510,000
  
              458,670
                 
           6,684,873
Entertainment: 0.22%
                
Warnermedia Holdings, Inc. (a)
  
03/15/2027
  
3.76%
  
           5,005,000
  
           4,688,424
                 
Food: 0.25%
                
Conagra Brands, Inc.
  
08/11/2023
  
0.50%
  
           1,075,000
  
           1,056,630
General Mills, Inc.
  
11/18/2025
  
5.24%
  
              855,000
  
              857,422
Nestle Holdings, Inc. (a)
  
03/13/2026
  
5.25%
  
           1,880,000
  
           1,927,615
SYSCO Corp.
  
07/15/2027
  
3.25%
  
           1,535,000
  
           1,453,205
                 
           5,294,872
Healthcare - Products: 0.39%
                
Baxter International, Inc.
  
11/29/2024
  
1.32%
  
           4,640,000
  
           4,364,725
PerkinElmer, Inc.
  
09/15/2024
  
0.85%
  
           4,315,000
  
           4,049,683
                 
           8,414,408
Healthcare - Services: 0.05%
                
HCA, Inc. (a)
  
03/15/2027
  
3.13%
  
           1,115,000
  
           1,035,297
                 
Household Products & Wares: 0.07%
                
Clorox Co.
  
10/01/2027
  
3.10%
  
           1,495,000
  
           1,409,444
                 
Insurance: 0.57%
                
Equitable Financial Life Global (a)
  
07/07/2025
  
1.40%
  
           1,780,000
  
           1,645,265
Metropolitan Life Global Funding I (a)
  
06/07/2024
  
0.55%
  
           2,620,000
  
           2,492,860
Metropolitan Life Global Funding I (a)
  
07/02/2025
  
0.95%
  
           1,565,000
  
           1,440,013
Principal Life Global Funding II (a)
  
04/12/2024
  
0.75%
  
           2,150,000
  
           2,055,139
Principal Life Global Funding II (a)
  
01/12/2026
  
0.88%
  
           2,045,000
  
           1,822,802
Protective Life Global Funding (a)
  
07/05/2024
  
0.78%
  
           2,905,000
  
           2,750,894
                 
         12,206,973
Media: 0.19%
                
Charter Communications Operating LLC / Charter Communications Operating Capital
  
07/23/2025
  
4.91%
  
           2,785,000
  
           2,755,465
Comcast Corp.
  
03/01/2026
  
3.15%
  
           1,460,000
  
           1,414,700
                 
           4,170,165
Oil & Gas: 0.04%
                
Pioneer Natural Resources Co.
  
03/29/2026
  
5.10%
  
              785,000
  
              787,611
                 
Packaging & Containers: 0.13%
                
Amcor Finance, Inc.
  
04/28/2026
  
3.63%
  
           2,870,000
  
           2,760,620
                 
Pharmaceuticals: 0.15%
                
AbbVie, Inc.
  
05/14/2026
  
3.20%
  
              860,000
  
              829,733
CVS Health Corp.
  
06/01/2026
  
2.88%
  
           2,505,000
  
           2,378,407
                 
           3,208,140
Pipelines: 0.20%
                
Enbridge, Inc. (b)
  
02/14/2025
  
2.50%
  
           1,050,000
  
           1,005,199
Enterprise Products Operating LLC
  
01/10/2026
  
5.05%
  
           1,350,000
  
           1,364,423
MPLX LP
  
03/01/2026
  
1.75%
  
           2,105,000
  
           1,919,517
                 
           4,289,139
Real Estate Investment Trusts: 0.34%
                
Brixmor Operating Partnership LP
  
06/15/2026
  
4.13%
  
           1,335,000
  
           1,264,790
Realty Income Corp.
  
01/13/2026
  
5.05%
  
           2,335,000
  
           2,324,831
SITE Centers Corp.
  
02/01/2025
  
3.63%
  
           1,115,000
  
           1,054,429
SITE Centers Corp.
  
06/01/2027
  
4.70%
  
           2,775,000
  
           2,617,862
                 
           7,261,912
Retail: 0.07%
                
Lowe’s Cos, Inc.
  
09/08/2025
  
4.40%
  
           1,590,000
  
           1,581,197
                 
Software: 0.14%
                
Oracle Corp.
  
03/25/2028
  
2.30%
  
           1,395,000
  
           1,246,078
VMware, Inc.
  
08/15/2024
  
1.00%
  
           1,770,000
  
           1,669,709
                 
           2,915,787
Telecommunications: 0.58%
                
AT&T, Inc.
  
06/01/2027
  
2.30%
  
           2,125,000
  
           1,947,682
NBN Co. Ltd. (a)(b)
  
10/08/2024
  
0.88%
  
           1,615,000
  
           1,514,208
T-Mobile USA, Inc.
  
02/15/2026
  
2.25%
  
           3,620,000
  
           3,367,274
Verizon Communications, Inc.
  
11/20/2025
  
0.85%
  
           3,595,000
  
           3,269,875
Verizon Communications, Inc.
  
03/20/2026
  
1.45%
  
           2,680,000
  
           2,463,913
                 
         12,562,952
TOTAL CORPORATE BONDS (Cost $202,603,351)
              
       196,195,926
                   
MORTGAGE BACKED SECURITIES: 7.41%
                
ACRE Commercial Mortgage Trust, 2021-FL4 A (1 Month LIBOR USD + 0.830%) (a)(b)(c)
  
12/18/2037
  
5.59%
  
              778,690
  
              765,107
Alen Mortgage Trust, 2021-ACEN A (1 Month LIBOR USD + 1.150%) (a)(c)
  
04/17/2034
  
5.83%
  
           3,150,000
  
           2,781,731
Angel Oak Mortgage Trust
                
 
Series 2020-1 M1 (a)(d)
  
12/25/2059
  
3.16%
  
           1,915,000
  
           1,648,060
 
Series 2020-5 A3 (a)(d)
  
05/25/2065
  
2.04%
  
              123,215
  
              111,894
Barclays Commercial Mortgage Securities LLC, 2015-VFM A1 (a)
  
03/12/2036
  
2.47%
  
              753,060
  
              701,736
BHP Trust, 2019-BXHP A (1 Month LIBOR USD + 0.975%) (a)(c)
  
08/15/2036
  
5.66%
  
           1,895,755
  
           1,819,223
BSREP Commercial Mortgage Trust, 2021-DC A (1 Month LIBOR USD + 0.950%) (a)(c)
  
08/16/2038
  
5.64%
  
           4,330,000
  
           3,997,882
BX Commercial Mortgage Trust
                
 
Series 2019-XL A (1 Month LIBOR USD + 1.034%) (a)(c)
  
10/15/2036
  
5.86%
  
           2,257,978
  
           2,232,358
 
Series 2021-XL2 B (1 Month LIBOR USD + 0.998%) (a)(c)
  
10/15/2038
  
5.68%
  
           5,096,933
  
           4,828,538
 
Series 2021-CIP A (1 Month LIBOR USD + 0.921%) (a)(c)
  
12/15/2038
  
5.61%
  
           6,050,000
  
           5,830,055
BX Trust, 2022-PSB (TSFR1M + 2.949%) (a)(c)
  
08/15/2039
  
7.78%
  
           1,087,419
  
           1,080,632
Citigroup Commercial Mortgage Trust
                
 
Series 2019-PRM B (a)
  
05/10/2035
  
3.64%
  
           1,000,000
  
              979,717
 
Series 2021-PRM2 A (1 Month LIBOR USD + 0.950%) (a)(c)
  
10/15/2038
  
5.64%
  
           5,250,000
  
           5,039,361
Comm Mortgage Trust
                
 
Series 2015-3BP A (a)
  
02/12/2035
  
3.18%
  
           1,030,000
  
              960,820
 
Series 2014-UBS2 AM
  
03/12/2047
  
4.20%
  
           2,450,000
  
           2,390,436
 
Series 2014-CR19 A5
  
08/12/2047
  
3.80%
  
           1,380,133
  
           1,336,940
 
Series 2014-LC17 A5
  
10/11/2047
  
3.92%
  
              724,000
  
              702,739
 
Series 2014-CR21 A3
  
12/10/2047
  
3.53%
  
           1,561,832
  
           1,504,804
 
Series 2015-CR27 AM
  
10/13/2048
  
3.98%
  
           2,000,000
  
           1,894,188
Connecticut Avenue Securities Trust
                
 
Series 2021-R01 1M2 (SOFR30A + 1.550%) (a)(c)
  
10/25/2041
  
6.11%
  
           4,305,000
  
           4,181,444
 
Series 2021-R03 1M1 (SOFR30A + 0.850%) (a)(c)
  
12/26/2041
  
5.41%
  
           3,852,340
  
           3,794,759
 
Series 2022-R04 (SOFR30A + 2.000%) (a)(c)
  
03/25/2042
  
6.56%
  
           1,703,534
  
           1,705,666
 
Series 2022-R03 1M1 (SOFR30A + 2.100%) (a)(c)
  
03/25/2042
  
6.66%
  
           4,001,430
  
           4,006,258
 
Series 2022-R06 (SOFR30A + 2.750%) (a)(c)
  
05/25/2042
  
7.31%
  
           1,136,591
  
           1,155,023
Credit Suisse Mortgage Capital Certificates, 2019-ICE4 A (1 Month LIBOR USD + 0.980%) (a)(c)
  
05/15/2036
  
5.66%
  
           3,491,314
  
           3,455,990
ELP Commercial Mortgage Trust, 2021-ELP B (1 Month LIBOR USD + 1.120%) (a)(c)
  
11/15/2038
  
5.81%
  
           5,400,000
  
           5,129,211
Fannie Mae Connecticut Avenue Securities
                
 
Series 2018-C01 1EB1 (1 Month LIBOR USD + 0.450%) (c)
  
07/25/2030
  
5.30%
  
              544,627
  
              542,117
 
Series 2021-R02 2M1 (SOFR30A + 0.900%) (a)(c)
  
11/25/2041
  
5.46%
  
           1,805,304
  
           1,782,836
FHLMC Multifamily Structured Pass Through Certificates, K059 A1
  
09/25/2025
  
2.76%
  
           1,361,453
  
           1,319,881
Freddie Mac STACR REMIC Trust
                
 
Series 2021-DNA5 M2 (SOFR30A + 1.650%) (a)(c)
  
01/25/2034
  
6.21%
  
              356,302
  
              349,654
 
Series 2021-DNA6 M1 (SOFR30A + 0.800%) (a)(c)
  
10/25/2041
  
5.36%
  
           4,709,871
  
           4,667,521
 
Series 2021-DNA6 (SOFR30A + 1.500%) (a)(c)
  
10/25/2041
  
6.06%
  
           1,355,927
  
           1,290,143
 
Series 2022-DNA1 M1A (SOFR30A + 1.000%) (a)(c)
  
01/27/2042
  
5.56%
  
           2,425,757
  
           2,377,409
 
Series 2022-HQA1 M1A (SOFR30A + 2.100%) (a)(c)
  
03/25/2042
  
6.66%
  
           3,930,934
  
           3,943,218
 
Series 2022-DNA3 (SOFR30A + 2.000%) (a)(c)
  
04/25/2042
  
6.56%
  
           1,841,267
  
           1,841,256
Freddie Mac STACR Trust, 2018-HRP2 M3AS (1 Month LIBOR USD + 1.000%) (a)(c)
  
02/25/2047
  
5.85%
  
           3,228,296
  
           3,204,341
Freddie Mac Structured Agency Credit Risk Debt Notes
                
 
Series 2021-DNA2 (SOFR30A + 2.300%) (a)(c)
  
08/25/2033
  
6.86%
  
           1,530,000
  
           1,507,081
 
Series 2021-DNA7 M1 (SOFR30A + 0.850%) (a)(c)
  
11/25/2041
  
5.41%
  
           4,482,863
  
           4,414,643
 
Series 2022-DNA2 M1A (SOFR30A + 1.300%) (a)(c)
  
02/25/2042
  
5.86%
  
           4,298,831
  
           4,256,070
 
Series 2018-HRP2 M3 (1 Month LIBOR USD + 2.400%) (a)(c)
  
02/25/2047
  
7.25%
  
           1,694,257
  
           1,692,008
FRESB Multifamily Mortgage Pass Through Certificates
                
 
Series 2016-SB17 A7F (d)
  
05/25/2023
  
2.15%
  
              244,727
  
              243,181
 
Series 2016-SB22 A7F (d)
  
09/25/2023
  
1.98%
  
           1,116,422
  
           1,101,127
 
Series 2017-SB32 A7F (d)
  
04/25/2024
  
2.44%
  
              706,672
  
              685,970
 
Series 2019-SB67 A5F (d)
  
07/25/2024
  
2.09%
  
           1,380,382
  
           1,325,525
 
Series 2019-SB69 A5F (d)
  
10/25/2024
  
2.25%
  
           4,403,638
  
           4,223,741
 
Series 2016-SB23 A10F (d)
  
09/25/2026
  
2.31%
  
           1,056,622
  
              997,162
GCT Commercial Mortgage Trust, 2021-GCT A (1 Month LIBOR USD + 0.800%) (a)(c)
  
02/15/2038
  
5.48%
  
           3,850,000
  
           3,526,837
GS Mortgage Securities Corp II, 2021-ARDN A (1 Month LIBOR USD + 1.250%) (a)(c)
  
11/17/2036
  
5.93%
  
           5,400,000
  
           5,212,380
GS Mortgage Securities Trust
                
 
Series 2017-SLP A (a)
  
10/12/2032
  
3.42%
  
              218,479
  
              212,039
 
Series 2019-600C A (a)
  
09/12/2034
  
2.94%
  
           2,065,000
  
           1,811,533
 
Series 2021-ROSS A (1 Month LIBOR USD + 1.150%) (a)(c)
  
06/16/2036
  
5.84%
  
           5,000,000
  
           4,498,641
 
Series 2013-GC16 B (d)
  
11/10/2046
  
5.16%
  
              206,000
  
              202,355
 
Series 2015-GC28 A5
  
02/10/2048
  
3.40%
  
           1,000,000
  
              961,175
 
Series 2021-NQM1 A3 (a)(d)
  
07/25/2061
  
1.53%
  
           1,344,452
  
           1,131,472
J.P. Morgan Chase Commercial Mortgage Securities Trust
                
 
Series 2018-BCON A (a)
  
01/07/2031
  
3.73%
  
           3,630,000
  
           3,627,087
 
Series 2021-MHC A (1 Month LIBOR USD + 0.800%) (a)(c)
  
04/15/2038
  
5.48%
  
           4,157,546
  
           4,032,265
 
Series 2013-C15 A-S
  
11/17/2045
  
4.42%
  
           3,325,000
  
           3,267,704
 
Series 2013-C13 A4 (d)
  
01/18/2046
  
3.99%
  
              212,975
  
              212,019
 
Series 2014-C23 ASB
  
09/17/2047
  
3.66%
  
              867,881
  
              850,810
 
Series 2014-C22 AS
  
09/17/2047
  
4.11%
  
           3,650,000
  
           3,517,475
 
Series 2016-JP3 A-5
  
08/15/2049
  
2.87%
  
           1,000,000
  
              916,997
Ladder Capital Commercial Mortgage Trust, 2013-GCP A1 (a)
  
02/15/2036
  
3.57%
  
           1,747,707
  
           1,627,734
Natixis Commercial Mortgage Securities Trust, 2018-285M A (a)(d)
  
11/15/2032
  
3.79%
  
           1,000,000
  
              953,586
New Residential Mortgage Loan Trust
                
 
Series 2016-1A A1 (a)(d)
  
03/25/2056
  
3.75%
  
              669,367
  
              612,796
 
Series 2017-2A A3 (a)(d)
  
03/25/2057
  
4.00%
  
           1,022,683
  
              964,560
OBX Trust, 2018-1 A2 (1 Month LIBOR USD + 0.650%) (a)(c)
  
06/25/2057
  
5.50%
  
              595,048
  
              554,356
PKHL Commercial Mortgage Trust, 2021-MF A (1 Month LIBOR USD + 0.880%) (a)(c)
  
07/15/2038
  
5.57%
  
           5,750,000
  
           5,402,153
SREIT Trust, 2021-MFP2 A (1 Month LIBOR USD + 0.822%) (a)(c)
  
11/17/2036
  
5.51%
  
           5,000,000
  
           4,799,408
UBS-Barclays Commercial Mortgage Trust
                
 
Series 2013-C5 B (a)(d)
  
03/12/2046
  
3.65%
  
              165,113
  
              160,153
 
Series 2013-C6 B (a)(d)
  
04/12/2046
  
3.88%
  
              700,000
  
              697,235
Verus Securitization Trust
                
 
Series 2020-1 A1 (a)(c)
  
01/25/2060
  
2.42%
  
              417,636
  
              394,374
 
Series 2020-1 A3 (a)(c)
  
01/25/2060
  
2.72%
  
           1,068,728
  
           1,005,847
WFRBS Commercial Mortgage Trust
                
 
Series 2013-C13 AS
  
05/17/2045
  
3.35%
  
              650,000
  
              648,112
 
Series 2013-C14 A5
  
06/15/2046
  
3.34%
  
              727,218
  
              723,287
 
Series 2014-C24 A5
  
11/18/2047
  
3.61%
  
           1,000,000
  
              963,457
 
Series 2014-C22 AS (d)
  
09/17/2057
  
4.07%
  
              350,000
  
              330,483
TOTAL MORTGAGE BACKED SECURITIES (Cost $167,141,029)
              
       159,617,786
                   
MUNICIPAL BONDS: 0.55%
                
Forsyth County School District
  
02/01/2024
  
0.92%
  
           1,330,000
  
           1,291,350
Miami Dade County Florida Aviation Refunding Taxable Series B
  
10/01/2023
  
2.37%
  
           1,350,000
  
           1,332,709
Nebraska Public Power District
  
01/01/2024
  
2.22%
  
           1,700,000
  
           1,667,150
Pennsylvania State University
  
09/01/2023
  
1.35%
  
           2,945,000
  
           2,904,683
State of Hawaii
  
08/01/2025
  
1.03%
  
           4,220,000
  
           3,907,317
Water Works Board of the City of Birmingham
  
01/01/2024
  
2.20%
  
              695,000
  
              681,353
TOTAL MUNICIPAL BONDS (Cost $12,240,720)
              
         11,784,562
                   
U.S. GOVERNMENT AGENCY ISSUES: 4.41%
                
Federal Farm Credit Banks Funding Corp.
  
06/26/2023
  
1.77%
  
           5,135,000
  
           5,096,403
Federal Farm Credit Banks Funding Corp.
  
03/06/2024
  
3.63%
  
         10,000,000
  
           9,894,306
Federal Farm Credit Banks Funding Corp.
  
03/10/2025
  
5.00%
  
         14,165,000
  
         14,342,722
Federal Home Loan Banks
  
09/08/2023
  
3.38%
  
           9,000,000
  
           8,943,425
Federal Home Loan Banks
  
02/27/2024
  
4.42%
  
           9,250,000
  
           8,871,941
Federal Home Loan Banks
  
04/14/2025
  
0.50%
  
           9,350,000
  
           8,692,391
Federal Home Loan Banks
  
02/25/2028
  
1.10%
  
         11,160,000
  
           9,563,138
Federal Home Loan Mortgage Corp.
  
09/08/2023
  
0.25%
  
           2,000,000
  
           1,960,360
Federal National Mortgage Association
  
07/02/2024
  
1.75%
  
           5,000,000
  
           4,822,451
Federal National Mortgage Association
  
04/22/2025
  
0.63%
  
         15,000,000
  
         13,938,880
Federal National Mortgage Association
  
12/18/2026
  
0.88%
  
         10,105,000
  
           8,995,194
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $96,134,736)
              
         95,121,211
                   
U.S. GOVERNMENT NOTES: 13.27%
                
United States Treasury Note
  
06/30/2024
  
1.75%
  
         21,495,000
  
         20,798,932
United States Treasury Note
  
01/31/2025
  
4.13%
  
         16,660,000
  
         16,646,984
United States Treasury Note
  
02/15/2025
  
7.63%
  
           1,500,000
  
           1,593,867
United States Treasury Note
  
02/28/2025
  
4.63%
  
         26,195,000
  
         26,436,485
United States Treasury Note
  
04/15/2025
  
2.63%
  
           6,375,000
  
           6,192,466
United States Treasury Note
  
05/31/2025
  
0.25%
  
         67,120,000
  
         61,899,847
United States Treasury Note
  
06/15/2025
  
2.88%
  
         12,605,000
  
         12,301,200
United States Treasury Note
  
07/15/2025
  
3.00%
  
         61,425,000
  
         60,069,331
United States Treasury Note
  
09/15/2025
  
3.50%
  
         46,550,000
  
         46,073,590
United States Treasury Note
  
11/30/2027
  
3.88%
  
         28,215,000
  
         28,481,720
United States Treasury Note
  
01/31/2028
  
3.50%
  
           5,520,000
  
           5,486,362
TOTAL U.S. GOVERNMENT NOTES (Cost $287,858,359)
              
       285,980,784
                   
SHORT TERM INVESTMENTS: 55.40%
                
U.S. TREASURY BILLS: 1.00%
                
United States Treasury Bill (c)
  
06/15/2023
  
4.45%
  
           4,025,000
  
           3,987,199
United States Treasury Bill (c)
  
11/02/2023
  
4.41%
  
         18,070,000
  
         17,591,960
TOTAL U.S. TREASURY BILLS (Cost $21,601,638)
              
         21,579,159
                   
MONEY MARKET DEPOSIT ACCOUNT: 54.40%
                
U.S. Bank N.A. (e)(f)
  
N/A
  
4.73%
  
    1,172,014,498
  
    1,172,014,821
TOTAL MONEY MARKET DEPOSIT ACCOUNT (Cost $1,172,014,821)
              
    1,172,014,821
SHORT TERM INVESTMENT (Cost $1,193,616,458)
              
    1,193,593,980
                   
TOTAL INVESTMENTS (Cost $2,069,313,872): 95.01%
              
    2,046,903,305
Other Assets in Excess of Liabilities: 4.99% (g)
              
       107,587,704
TOTAL NET ASSETS: 100.00%
              
$ 
 2,154,491,009


(a) 
Security as defined in Rule 144A under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At March 31, 2023, the value of these securities total $209,717,123 which represents 9.73% of total net assets.
(b) 
Foreign issued security.
(c) 
Variable rate security based on a reference index and spread.  The rate reported is the rate in effect as of March 31, 2023.
(d) 
Variable rate security.  The coupon is based on an underlying pool of loans.  The rate reported is the rate in effect as of March 31, 2023.
(e) 
A portion of this deposit account is pledged as collateral for derivative contracts. At March 31, 2023, the value of this collateral totals $12,516.
(f) 
The Money Market Deposit Account (“MMDA”) is a short-term investment vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and may change daily and by any amount. The rate shown is as of March 31, 2023.
(g) 
Includes assets pledged as collateral for derivative contracts. At March 31, 2023, the value of these assets totals $104,441,737.
                   
CMT 
Constant Maturity Treasury
LIBOR 
London Interbank Offered Rate
PLC 
Public Limited Company
SOFR 
Secured Overnight Financing Rate
SOFR30A 
30 Day Average Secured Overnight Financing Rate
                
TSFR1M 
1 Month Term Secured Overnight Financing Rate

 
LoCorr Macro Strategies Fund
                              
Consolidated Schedule of Open Forward Currency Contracts
                          
                                       
March 31, 2023 (Unaudited)
                                  
                               
                               
                
Currency to be Received
  
Currency to be Delivered
              
     
Notional
  
Counterparty
Forward
Currency
  
U.S. $ Notional Amount at
  
Currency
  
U.S. $ Notional Amount on
    
Unrealized
    
Unrealized
  
     
Amount
  
Abbreviation
Settlement Date
Abbreviation
  
March 31, 2023
  
Abbreviation
  
Origination Date
    
Appreciation
    
(Depreciation)
  
Purchase Contracts:
                                        
     
$
93,365,791
  
DB
04/19/2023
AUD
  
$
93,292,002
  
USD
  
$
93,365,791
    
$
–
    
$
(73,789
)
       
30,404,864
  
BAML
06/23/2023
AUD
    
30,436,287
  
USD
    
30,404,864
      
31,423
      
–
  
       
59,592,342
  
DB
04/19/2023
BRL
    
61,059,388
  
USD
    
59,592,342
      
1,467,046
      
–
  
       
55,944,612
  
DB
04/19/2023
CAD
    
56,707,965
  
USD
    
55,944,612
      
763,353
      
–
  
       
63,846,542
  
BAML
06/23/2023
CAD
    
64,764,077
  
USD
    
63,846,542
      
917,535
      
–
  
       
72,587,483
  
DB
04/19/2023
CHF
    
73,290,102
  
USD
    
72,587,483
      
702,619
      
–
  
       
45,163,098
  
BAML
06/23/2023
CHF
    
45,378,433
  
USD
    
45,163,098
      
215,335
      
–
  
       
4,443,247
  
DB
04/19/2023
CLP
    
4,618,360
  
USD
    
4,443,247
      
175,113
      
–
  
       
202,118,875
  
DB
04/19/2023
EUR
    
204,242,949
  
USD
    
202,118,875
      
2,124,074
      
–
  
       
40,044,548
  
BAML
06/23/2023
EUR
    
40,694,386
  
USD
    
40,044,548
      
649,838
      
–
  
       
119,283,236
  
DB
04/19/2023
GBP
    
121,668,505
  
USD
    
119,283,236
      
2,385,269
      
–
  
       
15,917,190
  
DB
05/17/2023
GBP
    
15,904,357
  
USD
    
15,917,190
      
–
      
(12,833
)
       
107,499,583
  
BAML
06/23/2023
GBP
    
109,551,853
  
USD
    
107,499,583
      
2,052,270
      
–
  
       
4,469,368
  
DB
04/19/2023
ILS
    
4,490,208
  
USD
    
4,469,368
      
20,840
      
–
  
       
16,436,105
  
DB
04/19/2023
INR
    
16,498,100
  
USD
    
16,436,105
      
61,995
      
–
  
 
     
19,266,938
  
DB
04/19/2023
JPY
    
19,271,324
  
USD
    
19,266,938
      
4,386
      
–
  
 
     
8,177,672
  
BAML
06/23/2023
JPY
    
8,190,562
  
USD
    
8,177,672
      
12,890
      
–
  
 
     
7,595,800
  
DB
04/19/2023
KRW
    
7,600,516
  
USD
    
7,595,800
      
4,716
      
–
  
 
     
60,058,385
  
DB
04/19/2023
MXN
    
61,612,714
  
USD
    
60,058,385
      
1,554,329
      
–
  
         
65,052,074
  
BAML
06/23/2023
MXN
    
65,594,448
  
USD
    
65,052,074
      
542,374
      
–
  
         
36,859,635
  
DB
04/19/2023
NOK
    
37,052,600
  
USD
    
36,859,635
      
192,965
      
–
  
         
166,824
  
DB
05/19/2023
NOK
    
166,575
  
USD
    
166,824
      
–
      
(249
)
         
102,284,576
  
DB
04/19/2023
NZD
    
102,703,598
  
USD
    
102,284,576
      
419,022
      
–
  
         
19,623,765
  
BAML
06/23/2023
NZD
    
19,732,738
  
USD
    
19,623,765
      
108,973
      
–
  
         
14,802,497
  
DB
04/19/2023
PLN
    
15,064,282
  
USD
    
14,802,497
      
261,785
      
–
  
         
40,716,957
  
DB
04/19/2023
SEK
    
41,214,096
  
USD
    
40,716,957
      
497,139
      
–
  
         
11,838,797
  
DB
04/19/2023
SGD
    
11,939,791
  
USD
    
11,838,797
      
100,994
      
–
  
         
21,766,531
  
DB
04/19/2023
ZAR
    
22,306,190
  
USD
    
21,766,531
      
539,659
      
–
  
Total Purchase Contracts
            
1,355,046,406
        
1,339,327,335
      
15,805,942
      
(86,871
)
                                                     
Sale Contracts:
                                                  
 
   
$
74,979,824
  
DB
04/19/2023
USD
  
$
75,545,985
  
AUD
  
$
74,979,824
    
$
–
    
$
(566,161
)
 
     
44,507,963
  
BAML
06/23/2023
USD
    
44,682,132
  
AUD
    
44,507,963
      
–
      
(174,169
)
 
     
21,120,407
  
DB
04/19/2023
USD
    
22,009,231
  
BRL
    
21,120,407
      
–
      
(888,824
)
 
     
98,406,461
  
DB
04/19/2023
USD
    
99,738,517
  
CAD
    
98,406,461
      
–
      
(1,332,056
)
 
     
161,271,346
  
BAML
06/23/2023
USD
    
163,008,291
  
CAD
    
161,271,346
      
–
      
(1,736,945
)
         
76,579,658
  
DB
04/19/2023
USD
    
77,605,149
  
CHF
    
76,579,658
      
–
      
(1,025,491
)
         
62,957,222
  
BAML
06/23/2023
USD
    
64,437,419
  
CHF
    
62,957,222
      
–
      
(1,480,197
)
         
4,426,777
  
DB
04/19/2023
USD
    
4,447,636
  
CLP
    
4,426,777
      
–
      
(20,859
)
         
154,190,997
  
DB
04/19/2023
USD
    
156,517,864
  
EUR
    
154,190,997
      
–
      
(2,326,867
)
         
39,150,692
  
BAML
06/23/2023
USD
    
39,636,243
  
EUR
    
39,150,692
      
–
      
(485,551
)
         
119,158,715
  
DB
04/19/2023
USD
    
121,668,506
  
GBP
    
119,158,715
      
–
      
(2,509,791
)
         
105,468,151
  
BAML
06/23/2023
USD
    
108,244,532
  
GBP
    
105,468,151
      
–
      
(2,776,381
)
         
2,346,183
  
DB
04/19/2023
USD
    
2,378,642
  
ILS
    
2,346,183
      
–
      
(32,459
)
         
4,870,032
  
DB
04/19/2023
USD
    
4,888,312
  
INR
    
4,870,032
      
–
      
(18,280
)
         
38,591,238
  
DB
04/19/2023
USD
    
38,882,596
  
JPY
    
38,591,238
      
–
      
(291,358
)
         
8,256,790
  
BAML
06/23/2023
USD
    
8,190,562
  
JPY
    
8,256,790
      
66,228
      
–
  
         
8,748,557
  
DB
04/19/2023
USD
    
8,796,388
  
KRW
    
8,748,557
      
–
      
(47,831
)
         
31,030,525
  
DB
04/19/2023
USD
    
31,765,046
  
MXN
    
31,030,525
      
–
      
(734,521
)
         
35,639,779
  
BAML
06/23/2023
USD
    
37,377,545
  
MXN
    
35,639,779
      
–
      
(1,737,766
)
         
36,751,005
  
DB
04/19/2023
USD
    
37,052,600
  
NOK
    
36,751,005
      
–
      
(301,595
)
         
68,165,284
  
DB
04/19/2023
USD
    
69,123,574
  
NZD
    
68,165,284
      
–
      
(958,290
)
         
47,144,930
  
BAML
06/23/2023
USD
    
47,829,644
  
NZD
    
47,144,930
      
–
      
(684,714
)
         
6,243,580
  
DB
04/19/2023
USD
    
6,358,933
  
PLN
    
6,243,580
      
–
      
(115,353
)
         
31,294,424
  
DB
04/19/2023
USD
    
31,687,495
  
SEK
    
31,294,424
      
–
      
(393,071
)
         
5,977,341
  
DB
04/19/2023
USD
    
6,045,083
  
SGD
    
5,977,341
      
–
      
(67,742
)
         
11,727,974
  
DB
04/19/2023
USD
    
12,081,328
  
ZAR
    
11,727,974
      
–
      
(353,354
)
Total Sale Contracts
            
1,319,999,253
        
1,299,005,855
      
66,228
      
(21,059,626
)
Net Forward Currency Contracts
            
$
35,047,153
      
$
40,321,480
    
$
15,872,170
    
$
(21,146,497
)
Net Unrealized Depreciation
                                    
$
(5,274,327
)
                                                     
                                                     
                                                     
Counterparty Abbreviations:
                                          
BAML
    
Bank of America Merrill Lynch
                                      
DB
    
Deutsche Bank
                                          
                                                     
Currency Abbreviations:
                                          
AUD
    
AUSTRALIAN DOLLAR
  
INR
INDIAN RUPEE
SGD
  
SINGAPORE DOLLAR
                            
BRL
    
BRAZILIAN REAL
  
JPY
JAPANESE YEN
USD
  
U.S. DOLLAR
                            
CAD
    
CANADIAN DOLLAR
  
KRW
SOUTH KOREAN WON
ZAR
  
SOUTH AFRICAN RAND
                        
CHF
    
SWISS FRANC
  
MXN
MEXICAN PESO
                                    
CLP
    
CHILEAN PESO
  
NOK
NORWEGIAN KRONE
                                    
EUR
    
EURO
  
NZD
NEW ZEALAND DOLLAR
                                  
GBP
    
BRITISH POUND
  
PLN
POLISH ZLOTY
                                    
ILS
    
ISRAELI NEW SHEQEL
  
SEK
SWEDISH KRONA
                                    
                                                     
                                                     


LoCorr Macro Strategies Fund
                                
Consolidated Schedule of Open Futures Contracts
                                
March 31, 2023 (Unaudited)
                                
                                     
                           
Value
  
Description
  
 
  
Number of Contracts
Purchased (Sold)
  
Settlement
Month-Year
  
Current Notional
Amount
    
Notional Amount
At Trade Date
    
Unrealized
Appreciation
    
Unrealized
(Depreciation)
  
Purchase Contracts:
                                    
   
3 Mo Euro Euribor
    
6
  
Jun-25
  
$
1,580,394
    
$
1,581,277
    
$
-
    
$
(883
)
   
Aluminum - 90 Day Settlement (a)
    
2
  
Apr-23
    
118,863
      
115,317
      
3,546
      
-
  
   
Aluminum - 90 Day Settlement (a)
    
1
  
Apr-23
    
59,613
      
66,175
      
-
      
(6,562
)
   
Aluminum - 90 Day Settlement (a)
    
2
  
Apr-23
    
119,311
      
130,448
      
-
      
(11,137
)
 
 
Aluminum - 90 Day Settlement (a)
    
1
  
May-23
    
59,775
      
62,595
      
-
      
(2,820
)
 
 
Aluminum - 90 Day Settlement (a)
    
1
  
May-23
    
59,783
      
61,827
      
-
      
(2,044
)
 
 
Aluminum - 90 Day Settlement (a)
    
2
  
Jun-23
    
120,149
      
121,237
      
-
      
(1,088
)
 
 
Aluminum - 90 Day Settlement (a)
    
6
  
Jun-23
    
361,388
      
342,174
      
19,214
      
-
  
 
 
Aluminum - 90 Day Settlement (a)
    
1
  
Jun-23
    
60,263
      
56,995
      
3,268
      
-
  
     
Aluminum - 90 Day Settlement (a)
    
2
  
Jun-23
    
120,598
      
117,910
      
2,688
      
-
  
     
Aluminum - 90 Day Settlement (a)
    
2
  
Jun-23
    
120,630
      
118,965
      
1,665
      
-
  
     
Aluminum - 90 Day Settlement (a)
    
1
  
Jun-23
    
60,325
      
60,342
      
-
      
(17
)
     
Aluminum (a)(b)
    
296
  
Jun-23
    
17,837,700
      
18,235,536
      
-
      
(397,836
)
     
Australian 10 Yr Bond
    
217
  
Jun-23
    
17,825,105
      
17,775,179
      
49,926
      
-
  
     
Australian 3 Yr Bond
    
12
  
Jun-23
    
872,853
      
870,736
      
2,117
      
-
  
     
Australian Dollar
    
31
  
Jun-23
    
2,077,310
      
2,077,889
      
-
      
(579
)
     
Brent Crude (a)
    
326
  
Apr-23
    
26,044,140
      
25,356,917
      
687,223
      
-
  
     
Brent Crude (a)
    
93
  
May-23
    
7,414,890
      
7,145,875
      
269,015
      
-
  
     
Brent Crude (a)
    
27
  
Jun-23
    
2,145,150
      
2,067,361
      
77,789
      
-
  
     
Brent Crude (a)
    
16
  
Jul-23
    
1,265,760
      
1,212,138
      
53,622
      
-
  
     
Brent Crude (a)
    
9
  
Aug-23
    
708,390
      
684,320
      
24,070
      
-
  
     
Brent Crude (a)
    
5
  
Sep-23
    
391,550
      
374,526
      
17,024
      
-
  
     
British Pound
    
424
  
Jun-23
    
32,740,750
      
32,755,134
      
-
      
(14,384
)
     
CAC 40 10 Euro Index
    
674
  
Apr-23
    
53,608,321
      
51,085,106
      
2,523,215
      
-
  
     
Canadian 10 Yr Bond
    
102
  
Jun-23
    
9,521,509
      
9,573,751
      
-
      
(52,242
)
     
Canadian Dollar
    
7
  
Jun-23
    
517,930
      
517,660
      
270
      
-
  
     
Cocoa (ICE) (a)
    
183
  
May-23
    
4,873,890
      
4,548,187
      
325,703
      
-
  
     
Copper - 90 Day Settlement (a)
    
1
  
Apr-23
    
225,088
      
206,536
      
18,552
      
-
  
     
Copper - 90 Day Settlement (a)
    
3
  
Apr-23
    
675,413
      
658,381
      
17,032
      
-
  
     
Copper - 90 Day Settlement (a)
    
4
  
Apr-23
    
899,850
      
938,522
      
-
      
(38,672
)
     
Copper - 90 Day Settlement (a)
    
2
  
Apr-23
    
450,040
      
460,534
      
-
      
(10,494
)
     
Copper - 90 Day Settlement (a)
    
1
  
May-23
    
224,848
      
219,474
      
5,374
      
-
  
     
Copper - 90 Day Settlement (a)
    
1
  
Jun-23
    
224,869
      
221,632
      
3,237
      
-
  
     
Copper - 90 Day Settlement (a)
    
2
  
Jun-23
    
449,675
      
429,579
      
20,096
      
-
  
     
Copper - 90 Day Settlement (a)
    
1
  
Jun-23
    
224,792
      
224,501
      
291
      
-
  
     
Copper - 90 Day Settlement (a)
    
1
  
Jun-23
    
224,813
      
223,229
      
1,584
      
-
  
     
Copper - 90 Day Settlement (a)
    
1
  
Jun-23
    
224,817
      
223,949
      
868
      
-
  
     
Copper (a)(b)
    
48
  
Jun-23
    
10,791,000
      
10,721,679
      
69,321
      
-
  
     
Copper (a)(b)
    
131
  
Jun-23
    
29,450,438
      
29,273,830
      
176,608
      
-
  
     
Corn (a)
    
34
  
May-23
    
1,122,850
      
1,148,209
      
-
      
(25,359
)
     
DAX Index
    
131
  
Jun-23
    
56,107,035
      
55,176,893
      
930,142
      
-
  
     
Dollar
    
136
  
Jun-23
    
13,897,296
      
14,232,585
      
-
      
(335,289
)
     
 Euro
    
445
  
Jun-23
    
60,650,719
      
60,890,859
      
-
      
(240,140
)
     
Euro-Bobl
    
68
  
Jun-23
    
8,693,215
      
8,674,865
      
18,350
      
-
  
     
Euro-BTP
    
14
  
Jun-23
    
1,751,366
      
1,739,238
      
12,128
      
-
  
     
Euro-Bund
    
10
  
Jun-23
    
1,473,191
      
1,471,149
      
2,042
      
-
  
     
Euro-OAT
    
24
  
Jun-23
    
3,389,641
      
3,370,957
      
18,684
      
-
  
     
Euro-Schatz
    
240
  
Jun-23
    
27,510,411
      
27,505,916
      
4,496
      
(1
)
     
Euro-Stoxx 50 Index
    
526
  
Jun-23
    
24,306,850
      
23,887,471
      
419,379
      
-
  
     
FTSE 100 Index
    
1157
  
Jun-23
    
109,028,954
      
108,088,337
      
940,617
      
-
  
     
FTSE China A50 Index
    
200
  
Apr-23
    
2,661,200
      
2,634,969
      
26,231
      
-
  
     
FTSE MIB Index
    
50
  
Jun-23
    
7,227,139
      
7,044,731
      
182,408
      
-
  
     
FTSE/JSE Top 40 Index
    
53
  
Jun-23
    
2,120,417
      
2,073,065
      
47,352
      
-
  
     
Gasoline RBOB (a)
    
168
  
Apr-23
    
18,917,136
      
17,980,903
      
936,233
      
-
  
     
Gasoline RBOB (a)
    
52
  
May-23
    
5,739,552
      
5,560,453
      
179,099
      
-
  
     
Gasoline RBOB (a)
    
20
  
Jun-23
    
2,161,740
      
2,080,683
      
81,057
      
-
  
     
Gasoline RBOB (a)
    
11
  
Jul-23
    
1,163,639
      
1,122,428
      
41,211
      
-
  
     
Gold (a)
    
136
  
Jun-23
    
27,012,320
      
27,193,109
      
-
      
(180,789
)
     
Hang Seng Index
    
77
  
Apr-23
    
10,044,950
      
9,880,361
      
164,589
      
-
  
     
Hard Red Wheat (a)
    
57
  
May-23
    
2,501,588
      
2,333,804
      
167,784
      
-
  
     
Heating Oil (a)
    
91
  
Apr-23
    
10,015,933
      
9,895,478
      
120,455
      
-
  
     
Heating Oil (a)
    
29
  
May-23
    
3,126,606
      
3,105,247
      
21,359
      
-
  
     
Heating Oil (a)
    
4
  
Jun-23
    
429,072
      
421,910
      
7,162
      
-
  
     
H-Shares Index
    
89
  
Apr-23
    
3,975,006
      
3,911,309
      
63,697
      
-
  
     
IBEX 35 Index
    
39
  
Apr-23
    
3,888,327
      
3,755,930
      
132,397
      
-
  
     
Japanese 10 Yr Bond
    
38
  
Jun-23
    
42,391,715
      
42,501,262
      
-
      
(109,547
)
     
Japanese Yen
    
34
  
Jun-23
    
3,239,563
      
3,228,691
      
10,872
      
-
  
     
KOSPI 200 Index
    
399
  
Jun-23
    
24,802,454
      
24,733,312
      
69,142
      
-
  
     
Lead (a)(b)
    
19
  
Jun-23
    
1,001,181
      
1,010,853
      
-
      
(9,672
)
     
Long Gilt
    
158
  
Jun-23
    
20,143,714
      
20,318,352
      
-
      
(174,638
)
     
Low Sulphur Gasoil (a)
    
104
  
May-23
    
7,818,200
      
7,771,618
      
46,582
      
-
  
     
Low Sulphur Gasoil (a)
    
79
  
Jun-23
    
5,844,025
      
5,770,339
      
73,686
      
-
  
     
Low Sulphur Gasoil (a)
    
17
  
Jul-23
    
1,248,650
      
1,235,369
      
13,281
      
-
  
     
Mexican Peso
    
63
  
Jun-23
    
1,722,105
      
1,671,676
      
50,429
      
-
  
     
Nasdaq 100 E-Mini Index
    
73
  
Jun-23
    
19,420,555
      
18,905,713
      
514,842
      
-
  
     
Natural Gas (a)
    
103
  
Apr-23
    
2,282,480
      
2,242,376
      
40,104
      
-
  
     
Natural Gas (a)
    
14
  
May-23
    
345,100
      
342,465
      
2,635
      
-
  
     
Natural Gas (a)
    
10
  
Jun-23
    
273,200
      
271,148
      
2,052
      
-
  
     
Natural Gas (a)
    
4
  
Jul-23
    
111,320
      
111,137
      
183
      
-
  
     
Natural Gas (a)
    
1
  
Aug-23
    
27,500
      
27,372
      
128
      
-
  
     
New Zealand Dollar
    
32
  
Jun-23
    
2,000,320
      
2,001,101
      
-
      
(781
)
     
Nickel (a)(b)
    
8
  
Jun-23
    
1,143,792
      
1,295,851
      
-
      
(152,059
)
     
Nikkei 225 Index (OSE)
    
221
  
Jun-23
    
46,671,737
      
46,517,079
      
154,658
      
-
  
     
Nikkei 225 Index (SGX)
    
123
  
Jun-23
    
12,990,153
      
12,922,612
      
67,541
      
-
  
     
Platinum (a)
    
4
  
Jul-23
    
200,620
      
196,957
      
3,663
      
-
  
     
S&P 500 E-Mini Index
    
143
  
Jun-23
    
29,584,913
      
29,341,547
      
243,366
      
-
  
     
SET 50 Index
    
268
  
Jun-23
    
1,517,791
      
1,507,371
      
10,420
      
-
  
     
Silver (a)
    
32
  
Jan-00
    
3,864,960
      
3,777,747
      
87,213
      
-
  
     
Soybean (a)
    
360
  
May-23
    
27,099,000
      
27,371,206
      
-
      
(272,206
)
     
Soybean Meal (a)
    
142
  
May-23
    
6,617,200
      
6,772,511
      
-
      
(155,311
)
     
Soybean Oil (a)
    
17
  
May-23
    
565,998
      
565,058
      
940
      
-
  
     
SPI 200 Index
    
120
  
Jun-23
    
14,420,454
      
14,065,967
      
354,487
      
-
  
     
Sugar (a)
    
730
  
Apr-23
    
18,191,600
      
16,579,291
      
1,612,309
      
-
  
     
Swiss Franc
    
5
  
Sep-24
    
1,479,464
      
1,480,995
      
-
      
(1,531
)
     
Swiss Franc
    
23
  
Dec-24
    
6,816,528
      
6,835,144
      
-
      
(18,616
)
     
Swiss Franc
    
10
  
Mar-25
    
2,966,175
      
2,973,492
      
-
      
(7,317
)
     
Swiss Franc
    
31
  
Jun-23
    
4,274,319
      
4,277,801
      
-
      
(3,482
)
     
Tokyo Price Index
    
280
  
Jun-23
    
42,250,424
      
41,977,124
      
273,300
      
-
  
     
U.S. 10 Yr Note
    
937
  
Jun-23
    
107,681,800
      
107,567,599
      
114,201
      
-
  
     
U.S. 2 Yr Note
    
56
  
Jun-23
    
11,561,375
      
11,550,834
      
10,541
      
-
  
     
U.S. 5 Yr Note
    
282
  
Jun-23
    
30,881,203
      
30,945,407
      
-
      
(64,204
)
     
U.S. Long Bond
    
98
  
Jun-23
    
12,853,313
      
12,764,961
      
88,352
      
-
  
     
Wheat (a)
    
3
  
May-23
    
103,838
      
103,244
      
594
      
-
  
     
WTI Crude (a)
    
50
  
Apr-23
    
3,783,500
      
3,742,104
      
41,396
      
-
  
     
WTI Crude (a)
    
44
  
May-23
    
3,335,200
      
3,276,820
      
58,380
      
-
  
     
WTI Crude (a)
    
19
  
Jun-23
    
1,438,870
      
1,410,134
      
28,736
      
-
  
     
WTI Crude (a)
    
10
  
Jul-23
    
754,400
      
740,438
      
13,962
      
-
  
     
WTI Crude (a)
    
6
  
Aug-23
    
450,000
      
440,081
      
9,919
      
-
  
     
WTI Crude (a)
    
4
  
Sep-23
    
298,040
      
293,897
      
4,143
      
-
  
     
Zinc - 90 Day Settlement (a)
    
1
  
May-23
    
73,327
      
79,190
      
-
      
(5,863
)
     
Zinc - 90 Day Settlement (a)
    
1
  
May-23
    
73,315
      
79,573
      
-
      
(6,258
)
     
Zinc - 90 Day Settlement (a)
    
1
  
May-23
    
73,195
      
74,869
      
-
      
(1,674
)
     
Zinc - 90 Day Settlement (a)
    
1
  
Jun-23
    
73,181
      
76,773
      
-
      
(3,592
)
     
Zinc - 90 Day Settlement (a)
    
1
  
Jun-23
    
73,166
      
74,506
      
-
      
(1,340
)
     
Zinc (a)(b)
    
25
  
Jun-23
    
1,827,969
      
1,935,819
      
-
      
(107,850
)
     
Zinc (a)(b)
    
119
  
Jun-23
    
8,701,131
      
9,195,816
      
-
      
(494,685
)
Total Purchase Contracts
                              
12,918,310
      
(2,910,962
)
                                                 
Sale Contracts:
                                              
     
10 Yr Mini JGB
    
(12
)
Jun-23
  
$
1,335,974
    
$
1,341,850
    
$
5,876
    
$
-
  
     
3 Mo Euro Euribor
    
(68
)
Mar-24
    
17,813,422
      
17,818,229
      
4,807
      
-
  
     
3 Mo Euro Euribor
    
(960
)
Jun-24
    
251,887,038
      
250,832,421
      
-
      
(1,054,617
)
     
3 Mo Euro Euribor
    
(68
)
Dec-23
    
17,783,923
      
17,790,398
      
6,475
      
-
  
     
3 Mo Euro Euribor
    
(100
)
Sep-24
    
26,274,835
      
26,254,189
      
-
      
(20,646
)
     
3 Mo Euro Euribor
    
(123
)
Dec-24
    
32,351,396
      
32,330,526
      
-
      
(20,870
)
     
3 Mo Euro Euribor
    
(98
)
Mar-25
    
25,794,508
      
25,780,125
      
-
      
(14,383
)
     
90 Day Euro
    
(132
)
Sep-25
    
31,937,400
      
31,899,840
      
-
      
(37,560
)
     
Aluminum - 90 Day Settlement (a)
    
(2
)
Apr-23
    
118,863
      
113,533
      
-
      
(5,330
)
     
Aluminum - 90 Day Settlement (a)
    
(1
)
Apr-23
    
59,613
      
66,143
      
6,530
      
-
  
     
Aluminum - 90 Day Settlement (a)
    
(2
)
Apr-23
    
119,311
      
131,089
      
11,778
      
-
  
     
Aluminum - 90 Day Settlement (a)
    
(1
)
May-23
    
59,775
      
61,866
      
2,091
      
-
  
     
Aluminum - 90 Day Settlement (a)
    
(1
)
May-23
    
59,783
      
61,194
      
1,411
      
-
  
     
Aluminum - 90 Day Settlement (a)
    
(2
)
Jun-23
    
120,149
      
120,454
      
305
      
-
  
     
Aluminum - 90 Day Settlement (a)
    
(6
)
Jun-23
    
361,388
      
341,943
      
-
      
(19,445
)
     
Aluminum - 90 Day Settlement (a)
    
(1
)
Jun-23
    
60,263
      
57,209
      
-
      
(3,054
)
     
Aluminum - 90 Day Settlement (a)
    
(2
)
Jun-23
    
120,598
      
116,818
      
-
      
(3,780
)
     
Aluminum - 90 Day Settlement (a)
    
(2
)
Jun-23
    
120,630
      
119,807
      
-
      
(823
)
     
Aluminum - 90 Day Settlement (a)
    
(1
)
Jun-23
    
60,325
      
59,583
      
-
      
(742
)
     
Aluminum (a)(b)
    
(508
)
Jun-23
    
30,613,350
      
30,411,047
      
-
      
(202,303
)
     
Australian Dollar
    
(85
)
Jun-23
    
5,695,850
      
5,694,787
      
-
      
(1,063
)
     
Bovespa Index
    
(780
)
Apr-23
    
15,716,805
      
15,893,188
      
176,383
      
-
  
     
Brent Crude (a)
    
(142
)
Apr-23
    
11,344,380
      
10,892,803
      
-
      
(451,577
)
     
Canadian 10 Yr Bond
    
(156
)
Jun-23
    
14,562,308
      
13,979,126
      
-
      
(583,182
)
     
Canadian Dollar
    
(457
)
Jun-23
    
33,813,430
      
33,704,011
      
-
      
(109,419
)
     
Carbon Emission
    
(32
)
Dec-23
    
3,190,352
      
3,068,986
      
-
      
(121,366
)
     
CBOE Volatility Index (a)
    
(5
)
Jun-23
    
605,703
      
603,412
      
-
      
(2,291
)
     
CBOE Volatility Index (a)
    
(144
)
Apr-23
    
2,990,045
      
3,025,088
      
35,043
      
-
  
     
CBOE Volatility Index (a)
    
(101
)
May-23
    
2,234,979
      
2,254,666
      
19,687
      
-
  
     
CBOE Volatility Index (a)
    
(24
)
Jun-23
    
550,997
      
556,356
      
5,359
      
-
  
     
Cocoa (ICE) (a)
    
(91
)
May-23
    
10,990,980
      
9,373,751
      
-
      
(1,617,229
)
     
Cocoa (NYBOT) (a)
    
(34
)
May-23
    
997,220
      
953,247
      
-
      
(43,973
)
     
Coffee (a)
    
(108
)
May-23
    
6,905,250
      
7,080,795
      
175,545
      
-
  
     
Copper - 90 Day Settlement (a)
    
(1
)
Apr-23
    
225,088
      
209,243
      
-
      
(15,845
)
     
Copper - 90 Day Settlement (a)
    
(3
)
Apr-23
    
675,413
      
654,944
      
-
      
(20,469
)
     
Copper - 90 Day Settlement (a)
    
(4
)
Apr-23
    
899,850
      
942,286
      
42,436
      
-
  
     
Copper - 90 Day Settlement (a)
    
(2
)
Apr-23
    
450,040
      
454,081
      
4,041
      
-
  
     
Copper - 90 Day Settlement (a)
    
(1
)
May-23
    
224,848
      
218,021
      
-
      
(6,827
)
     
Copper - 90 Day Settlement (a)
    
(1
)
Jun-23
    
224,869
      
222,370
      
-
      
(2,499
)
     
Copper - 90 Day Settlement (a)
    
(2
)
Jun-23
    
449,675
      
429,283
      
-
      
(20,392
)
     
Copper - 90 Day Settlement (a)
    
(1
)
Jun-23
    
224,792
      
222,757
      
-
      
(2,035
)
     
Copper - 90 Day Settlement (a)
    
(1
)
Jun-23
    
224,813
      
222,658
      
-
      
(2,155
)
     
Copper - 90 Day Settlement (a)
    
(1
)
Jun-23
    
224,817
      
224,674
      
-
      
(143
)
     
Copper (a)(b)
    
(158
)
Jun-23
    
35,520,375
      
34,952,964
      
-
      
(567,411
)
     
Copper (a)
    
(29
)
May-23
    
2,968,513
      
2,960,534
      
-
      
(7,979
)
     
Corn (a)
    
(43
)
May-23
    
1,420,075
      
1,396,066
      
-
      
(24,009
)
     
Cotton No.2 (a)
    
(177
)
May-23
    
7,326,030
      
7,326,524
      
494
      
-
  
     
Dow Jones Industrial Average Mini E-Cbot Index
    
(153
)
Jun-23
    
25,596,900
      
24,995,867
      
-
      
(601,033
)
     
Euro-Bobl
    
(1,030
)
Jun-23
    
131,676,643
      
130,032,323
      
-
      
(1,644,320
)
     
Euro-BTP
    
(91
)
Jun-23
    
11,383,883
      
11,303,975
      
-
      
(79,908
)
     
Euro-Bund
    
(641
)
Jun-23
    
94,431,544
      
94,456,652
      
25,106
      
2
  
     
Euro-Buxl 30 Yr Bond
    
(149
)
Jun-23
    
22,761,735
      
22,545,840
      
-
      
(215,895
)
     
Euro-OAT
    
(145
)
Jun-23
    
20,479,079
      
20,361,764
      
-
      
(117,315
)
     
Euro-Schatz
    
(1,047
)
Jun-23
    
120,014,169
      
120,209,918
      
195,749
      
-
  
     
Hang Seng Index
    
(129
)
Apr-23
    
16,828,552
      
16,355,785
      
-
      
(472,767
)
     
Hard Red Wheat (a)
    
(332
)
Jul-23
    
14,305,050
      
14,344,062
      
39,012
      
-
  
     
Heating Oil (a)
    
(47
)
Apr-23
    
5,173,064
      
5,108,452
      
-
      
(64,612
)
     
Japanese 10 Yr Bond
    
(110
)
Jun-23
    
122,712,860
      
120,543,770
      
-
      
(2,169,090
)
     
Japanese Yen
    
(31
)
Jun-23
    
2,953,719
      
2,982,338
      
28,619
      
-
  
     
Lead (a)(b)
    
(15
)
Jun-23
    
790,406
      
781,493
      
-
      
(8,913
)
     
Lean Hogs (a)
    
(28
)
Jun-23
    
1,026,200
      
1,034,845
      
8,645
      
-
  
     
Live Cattle (a)
    
(1
)
Jun-23
    
64,850
      
64,138
      
-
      
(712
)
     
Long Gilt
    
(319
)
Jun-23
    
40,669,903
      
40,287,722
      
-
      
(382,181
)
     
Low Sulphur Gasoil (a)
    
(7
)
May-23
    
526,225
      
525,942
      
-
      
(283
)
     
MSCI EAFE Index
    
(32
)
Jun-23
    
3,354,400
      
3,250,027
      
-
      
(104,373
)
     
MSCI Emerging Markets Index
    
(220
)
Jun-23
    
10,950,500
      
10,793,769
      
-
      
(156,731
)
     
Nasdaq 100 E-Mini Index
    
(10
)
Jun-23
    
2,660,350
      
2,640,409
      
-
      
(19,941
)
     
Natural Gas (a)
    
(224
)
Apr-23
    
4,963,840
      
5,205,745
      
241,905
      
-
  
     
Nickel (a)(b)
    
(13
)
Jun-23
    
1,858,662
      
1,967,536
      
108,874
      
-
  
     
Nikkei 225 Index (OSE)
    
(7
)
Jun-23
    
1,478,290
      
1,472,787
      
-
      
(5,503
)
     
Russell 2000 Mini Index
    
(214
)
Jun-23
    
19,404,450
      
19,098,228
      
-
      
(306,222
)
     
S&P 500 E-Mini Index
    
(14
)
Jun-23
    
2,896,425
      
2,791,151
      
-
      
(105,274
)
     
S&P MidCap 400 E-Mini Index
    
(22
)
Jun-23
    
5,565,340
      
5,405,296
      
-
      
(160,044
)
     
S&P/TSX 60 Index
    
(53
)
Jun-23
    
9,483,922
      
9,352,775
      
-
      
(131,147
)
     
SGX Nifty 50 Index
    
(63
)
Apr-23
    
2,194,605
      
2,151,607
      
-
      
(42,998
)
     
Soybean (a)
    
(58
)
May-23
    
4,365,950
      
4,268,647
      
-
      
(97,303
)
     
Soybean Meal (a)
    
(11
)
May-23
    
512,600
      
505,435
      
-
      
(7,165
)
     
Soybean Oil (a)
    
(224
)
May-23
    
7,457,856
      
7,952,269
      
494,413
      
-
  
     
Swiss Franc
    
(305
)
Sep-24
    
90,247,289
      
90,330,379
      
83,090
      
-
  
     
Swiss Franc
    
(7
)
Jun-24
    
2,066,500
      
2,065,677
      
-
      
(823
)
     
Swiss Franc
    
(9
)
Mar-24
    
2,651,100
      
2,651,817
      
717
      
-
  
     
Swiss Franc
    
(4
)
Jun-25
    
1,187,148
      
1,186,960
      
-
      
(188
)
     
Swiss Franc
    
(3
)
Sep-25
    
890,870
      
890,760
      
-
      
(110
)
     
Swiss Franc
    
(278
)
Sep-24
    
67,022,325
      
66,973,213
      
-
      
(49,112
)
     
Tokyo Price Index
    
(27
)
Jun-23
    
4,074,148
      
3,979,824
      
-
      
(94,324
)
     
U.S. 10 Yr Note
    
(251
)
Jun-23
    
28,845,391
      
28,378,717
      
-
      
(466,674
)
     
U.S. 2 Yr Note
    
(969
)
Jun-23
    
200,053,082
      
199,926,838
      
-
      
(126,244
)
     
U.S. 5 Yr Note
    
(719
)
Jun-23
    
78,736,118
      
76,931,359
      
-
      
(1,804,759
)
     
U.S. Long Bond
    
(200
)
Jun-23
    
26,231,250
      
26,063,617
      
-
      
(167,633
)
     
U.S. Ultra Bond
    
(226
)
Jun-23
    
31,894,250
      
31,815,107
      
-
      
(79,143
)
     
Wheat (a)
    
(500
)
May-23
    
17,306,250
      
19,408,843
      
2,102,593
      
-
  
     
WTI Crude (a)
    
(115
)
Apr-23
    
8,702,050
      
7,886,145
      
-
      
(815,905
)
     
Zinc - 90 Day Settlement (a)
    
(1
)
May-23
    
73,327
      
78,260
      
4,933
      
-
  
     
Zinc - 90 Day Settlement (a)
    
(1
)
May-23
    
73,315
      
77,608
      
4,293
      
-
  
     
Zinc - 90 Day Settlement (a)
    
(1
)
May-23
    
73,195
      
74,523
      
1,328
      
-
  
     
Zinc - 90 Day Settlement (a)
    
(1
)
Jun-23
    
73,181
      
76,734
      
3,553
      
-
  
     
Zinc - 90 Day Settlement (a)
    
(1
)
Jun-23
    
73,166
      
73,767
      
601
      
-
  
     
Zinc (a)(b)
    
(144
)
Jun-23
    
10,529,100
      
10,528,670
      
-
      
(430
)
Total Sale Contracts
                                  
3,841,692
      
(15,482,490
)
Total Futures Contracts
                            
$
16,760,002
    
$
(18,393,452
)
Net Unrealized Depreciation
                                    
$
(1,633,450
)
                                                 
(a)
  
London Metal Exchange (‘‘LME’’) futures contracts settle on their respective maturity date.
          
COMEX
  
Commodity Exchange, Inc.
                                          
ICE
  
Intercontinental Exchange
                                          
NYBOT
  
New York Board of Trade
                                          
OSE
  
Osaka Securities Exchange
                                          
SGX
  
Singapore Exchange Limited
                                          
                                                 
The accompanying notes are an integral part of these consolidated financial statements.
                                    
 

NOTES
                    
                       
Investment Valuation
                
Fair Value Measurement Summary
                
March 31, 2023 (Unaudited)
                
                       
The LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Market Trend Fund, LoCorr Dynamic Opportunity Fund and the LoCorr Spectrum Income Fund (individually a ‘‘Fund’’ and collectively the ‘‘Funds’’) follow fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and changes in valuation techniques and related inputs during the period. These inputs are summarized in three broad levels listed below:
                       
Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
                       
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
                       
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
                       
Generally, the Funds’ investments are valued each day at the last quoted sales price on each investment’s primary exchange. Investments traded or dealt in upon one or more exchanges (whether domestic or foreign) for which market quotations are readily available and not subject to restrictions against resale shall be valued at the last quoted sales price on the primary exchange or, in the absence of a sale on the primary exchange, at the last bid on the primary exchange. Investments primarily traded in the National Association of Securities Dealers’ Automated Quotation System (“NASDAQ”) National Market System for which market quotations are readily available shall be valued using the NASDAQ Official Closing Price.
                       
The Funds may use independent pricing services to assist in calculating the value of the Funds’ investments. In addition, market prices for foreign investments are not determined at the same time of day as the net asset value (“NAV”) for the Funds. Because the Funds may invest in portfolio investments primarily listed on foreign exchanges, and these exchanges may trade on weekends or other days when the Funds do not price their shares, the value of some of the Funds’ portfolio investments may change on days when you may not be able to buy or sell the Funds’ shares. In computing the NAV, the Funds value foreign investments held by the Funds at the latest closing price on the exchange in which they are traded immediately prior to closing of the NYSE. Prices of foreign investments quoted in foreign currencies are translated into U.S. dollars at current rates. If events materially affecting the value of an investment in the Funds’ portfolio, particularly foreign investments, occur after the close of trading on a foreign market but before the Funds price their shares, the investment will be valued at fair value.
Certain investments such as commodity pools are measured based upon NAV as a practical expedient to determine fair value and are not required to be categorized in the fair value hierarchy.
                       
American Depositary Receipts
                
The Funds may invest in sponsored and unsponsored American Depositary Receipts (“ADRs”), which are receipts issued by an American bank or trust company evidencing ownership of underlying securities issued by a foreign issuer. ADRs, in registered form, are designed for use in U.S. securities markets. Unsponsored ADRs may be created without the participation of the foreign issuer. Holders of unsponsored ADRs generally bear all the costs of the ADR facility, whereas foreign issuers typically bear certain costs in a sponsored ADR. The bank or trust company depositary of an unsponsored ADR may be under no obligation to distribute shareholder communications received from the foreign issuer or to pass through voting rights. ADRs are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.
                       
Equity Securities
                    
Equity securities, including common stocks, preferred stocks, securities convertible into common stocks, such as convertible bonds, warrants, rights, options, master limited partnership (“MLP”) interests, real estate investment trusts (“REITs”), business development companies and royalty trusts, generally are valued by using market quotations, but may be valued on the basis of prices furnished by a pricing service when the Adviser believes such prices accurately reflect the fair market value of such securities. MLP interests are limited partnerships, the interests in which (known as “units”) typically trade publicly, like stock. Master limited partnerships are also called publicly traded partnerships and public limited partnerships. Securities that are traded on any stock exchange or on the NASDAQ over-the-counter market are generally valued by the pricing service at the last quoted sale price. Lacking a last sale price, an equity security is generally valued by the pricing service at its last bid price. Equity securities are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.
                       
Exchange Traded Funds
                    
The Funds may invest in Exchange Traded Funds (“ETFs”). They are managed by professionals and provide the investor with diversification, cost and tax efficiency, liquidity, marginability, are useful for hedging, have the ability to go long and short, and some provide quarterly dividends. Additionally, some ETFs are unit investment trusts (“UITs”), which are unmanaged portfolios overseen by trustees. ETFs generally have two markets. The primary market is where institutions swap “creation units” in block-multiples of shares, typically 25,000 or 50,000, for in-kind securities and cash in the form of dividends. The secondary market is where individual investors can trade as little as a single share during trading hours on the exchange. This is different from open-ended mutual funds that are traded after hours once the NAV is calculated. ETFs share many similar risks with open-end and closed-end funds. ETFs are generally categorized in Level 1 of the fair value hierarchy.
                       
The Funds may invest in ETFs and other investment companies that hold a portfolio of foreign securities. Investing in securities of foreign companies and countries involves certain considerations and risks that are not typically associated with investing in U.S. government securities and securities of domestic companies. There may be less publicly available information about a foreign issuer than a domestic one, and foreign companies are not generally subject to uniform accounting, auditing and financial standards and requirements comparable to those applicable to U.S. companies. There may also be less government supervision and regulation of foreign securities exchanges, brokers and listed companies than exists in the United States. Interest and dividends paid by foreign issuers may be subject to withholding and other foreign taxes, which may decrease the net return on such investments as compared to dividends and interest paid to the Fund by domestic companies or the U.S. government. There may be the possibility of expropriations, seizure or nationalization of foreign deposits, confiscatory taxation, political, economic or social instability or diplomatic developments that could affect assets of the Fund held in foreign countries. Finally, the establishment of exchange controls or other foreign governmental laws or restrictions could adversely affect the payment of obligations.
                       
Fixed Income Securities
                    
Fixed income securities and certificates of deposit with maturities more than 60 days when acquired generally are valued using an evaluated price supplied by an independent pricing service. Inputs used by the pricing service for U.S. government and treasury securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker dealer quotes, yields, bids, offers, and reference data. Agency issued debt securities, foreign issued bonds and municipal bonds are generally valued in a manner similar to U.S. government securities. Evaluations for corporate bonds are typically based on valuation methodologies such as market pricing and other analytical pricing models as well as market transactions and dealer quotations based on observable inputs. Fixed income securities are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.
                       
The fair value of asset backed securities and mortgage backed securities is estimated on models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Additional inputs such as creditworthiness of the underlying collateral and quotes from outside brokers for the same or similar issuance may also be considered in the development of fair value. Asset backed and mortgage backed securities are generally categorized in Level 2 of the fair value hierarchy.
                       
Short-term investments in fixed income securities and certificates of deposit with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity, are valued using an amortized cost method of valuation, and are generally categorized in Level 2.
                       
Investment Companies
                    
With respect to any portion of the Funds’ assets that are invested in one or more open-end management investment companies, including money market funds, registered under the 1940 Act, the Funds’ net asset value is calculated based upon the net asset values of those open-end management investment companies, and the prospectuses for these companies explain the circumstances under which those companies will use fair value pricing and the effects of using fair value pricing.
                       
The Funds generally will purchase shares of closed-end investment companies only in the secondary market. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share that is less than the net asset value per share, the difference representing the “market discount” of such shares. This market discount may be due in part to the investment objective of long-term appreciation, which is sought by many closed-end investment companies, as well as to the fact that the shares of closed-end investment companies are not redeemable by the holder upon demand to the issuer at the next determined net asset value but rather are subject to the principles of supply and demand in the secondary market. A relative lack of secondary market purchasers of closed-end investment company shares also may contribute to such shares trading at a discount to their net asset value. Closed-end investment companies are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.
                       
Financial Derivative Instruments
                
Financial derivative instruments, such as forward currency contracts, futures contracts, swap agreements or options contracts, derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker-dealer quotations, a pricing service at the settlement price determined by the relevant exchange or by the counterparty. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates.
                       
Forward currency contracts represent the purchase or sale of a specific quantity of a foreign currency at the current or spot price, with delivery and settlement at a specified future date. Forward currency contracts are presented at fair value using spot currency rates and are adjusted for the time value of money (forward points) and contractual prices of the underlying financial instruments. Forward currency contracts are generally categorized in Level 2.
                       
Futures contracts are carried at fair value using the primary exchange’s closing (settlement) price, and are generally categorized in Level 1.
  
                       
Total return swap contracts are stated at fair value daily based on the fair value of the underlying futures and forward currency contracts constituting the contract’s stated index, taking into account any fees and expenses associated with the swap agreement. Total return swap contracts are generally categorized in Level 2.
                       
Fund-linked options are stated at fair value based on the fair value of Galaxy Plus Fund – East Alpha Feeder Fund (548) LLC and Galaxy Plus Fund - CoreCommodity Feeder Fund (558) LLC, taking into account any fees and expenses associated with the fund-linked option. Fund-linked options are generally categorized in Level 2.
                       
Fair Value Pricing
                    
If market quotations are not readily available, investments will be valued at their fair value as determined in good faith by the Adviser in accordance with procedures approved by the Board of Trustees (the “Board”) and evaluated by the Board as to the reliability of the fair value method used. In these cases, a Fund’s NAV will reflect certain portfolio investments’ fair value rather than their market price. Fair value pricing involves subjective judgments and it is possible that the fair value determined for an investment is materially different than the value that could be realized upon the sale of that investment. The fair value prices can differ from market prices when they become available or when a price becomes available.
                       
Fair value determinations are required for the following securities:
  
                       
●
securities for which market quotations are not readily available at the valuation time on a particular business day (including without limitation securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source);
                       
●
securities for which, in the opinion of the Adviser/relevant Sub-Adviser, the prices or values available do not represent the fair value of the instrument, based upon factors that may include, but are not limited to, the following: the availability of only a bid price or an ask price; the spread between bid and ask prices; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securitiesmarkets or regulators, such as the suspension or limitation of trading;
 
                       
●
securities determined to be illiquid in accordance with the Trust’s Liquidity Procedures; and
            
                       
●
securities with respect to which an event that will affect the value thereof has occurred subsequent to the determination by the Adviser/relevant Sub-Adviser of the closing prices reported on the principal exchange on which the securities are traded, but prior to the relevant Fund’s calculation of its NAV.
                       
●
For any open-end mutual funds that do not provide timely NAV information, the Adviser/relevant Sub-Adviser shall evaluate those ‘similar’ funds and determine which are most appropriate based on funds having similar benchmarks or similar objectives. The Adviser/relevant Sub-Adviser shall then calculate the NAV percentage move of those ‘similar’ funds for the day to create an aggregate average percentage move, which it shall use to calculate the price movement for the day of the Fund at issue. For closed-end funds, the aforementioned practice shall be utilized, in addition to monitoring secondary market activity during the day.
                       
Performing Fair Value Pricing
                
The Adviser considers all appropriate factors relevant to the value of securities for which market quotations are not readily available. No single standard for determining fair value can be established, since fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of an issue of securities being valued by the Adviser would appear to be the amount that the owner might reasonably expect to receive for them upon their current sale.
                       
As a general matter, the Funds’ Adviser will value the portfolio security or other asset primarily by reference to the public market if there is a public market for securities of the same class or similar securities; primarily by reference to private transactions if public market reference is not available and private transaction reports are available; and primarily by use of one or more analytical methods or models if public and private market references are not available or not reliable. The Adviser will use cost only if no better method of valuation is available.
                       
The Adviser regularly evaluates whether its pricing methodologies continue to result in values that the Fund might reasonably expect to receive upon a current sale. In order to do this, the Adviser compares its fair value prices with values that are available from other sources (if there are any). The next actual sales price of a security might be one such source. However, the next-day opening prices or next actual sales prices for a security may differ from the fair value of that security as of the time for NAV calculation, given the subjectivity inherent in fair valuation and the fact that events could occur after NAV calculation. Thus, discrepancies between fair values and next-day opening prices or next actual sales prices may occur on a regular and recurring basis. These discrepancies do not necessarily indicate that the Adviser’s fair value methodology is inappropriate. Nonetheless, systematic comparisons of fair values to the next-day opening prices or next actual sales prices are useful to assist the Adviser with ongoing monitoring and evaluation of the appropriateness of its fair value methodologies.
                       
The above guidance does not purport to delineate all factors that may be considered. The Adviser takes into consideration all indications of value available to it in determining the fair value assigned to a particular security.

 
 
 
 
 
 
 
 
 
 
 
 
 
The following table summarizes LoCorr Macro Strategies Fund’s consolidated investments and other financial instruments as of March 31, 2023:
    

   
Security Classification
  
Level 1
    
Level 2
    
Level 3
    
Total
  
   
Investments
                        
   
Asset Backed Securities
  
$
-
    
$
104,609,056
    
$
-
    
$
104,609,056
  
 
 
Corporate Bonds
    
-
      
196,195,926
      
-
      
196,195,926
  
 
 
Mortgage Backed Securities
    
-
      
159,617,786
      
-
      
159,617,786
  
 
 
Municipal Bonds
    
-
      
11,784,562
      
-
      
11,784,562
  
 
 
U.S. Government Agency Issues
    
-
      
95,121,211
      
-
      
95,121,211
  
     
U.S. Government Notes
    
-
      
285,980,784
      
-
      
285,980,784
  
 
 
Short Term Investments
    
1,172,014,821
      
21,579,159
      
-
      
1,193,593,980
  
 
 
Total Investments
  
$
1,172,014,821
    
$
874,888,484
    
$
-
    
$
2,046,903,305
  
                                       
     
Other Financial Instruments*
                                
     
Forward Currency Contracts
                                
     
Purchase
  
$
-
    
$
15,719,071
    
$
-
    
$
15,719,071
  
     
  Sale
    
-
      
(20,993,398
)
    
-
      
(20,993,398
)
     
Total Forward Currency Contracts
    
-
      
(5,274,327
)
    
-
      
(5,274,327
)
     
Futures Contracts
                                
     
  Long
    
10,007,348
      
-
      
-
      
10,007,348
  
     
Short
    
(11,640,798
)
    
-
      
-
      
(11,640,798
)
     
Total Futures Contracts
    
(1,633,450
)
    
-
      
-
      
(1,633,450
)
     
Total Other Financial Instruments
  
$
(1,633,450
)
  
$
(5,274,327
)
  
$
-
    
$
(6,907,777
)
                                       
See the Fund’s consolidated schedule of investments for the investments detailed by industry classification.
  
                                       
*The fair value of the Fund’s other financial instruments represents the net unrealized appreciation (depreciation) at March 31, 2023.
  
                                       
The LoCorr Macro Strategies Fund did not hold any Level 3 assets during the period.