0001752724-23-170654.txt : 20230809 0001752724-23-170654.hdr.sgml : 20230809 20230809094912 ACCESSION NUMBER: 0001752724-23-170654 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230630 FILED AS OF DATE: 20230809 DATE AS OF CHANGE: 20230809 PERIOD START: 20230930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Advisors Preferred Trust CENTRAL INDEX KEY: 0001556505 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22756 FILM NUMBER: 231153691 BUSINESS ADDRESS: STREET 1: 1445 RESEARCH BOULEVARD STREET 2: SUITE 530 CITY: ROCKVILLE STATE: MD ZIP: 20850 BUSINESS PHONE: 2402231998 MAIL ADDRESS: STREET 1: 1445 RESEARCH BOULEVARD STREET 2: SUITE 530 CITY: ROCKVILLE STATE: MD ZIP: 20850 0001556505 S000049076 Spectrum Active Advantage Fund C000154799 Investor Class Shares SAPEX NPORT-P 1 primary_doc.xml NPORT-P false 0001556505 XXXXXXXX S000049076 C000154799 Advisors Preferred Trust 811-22756 0001556505 549300VBL7C31PY2VZ37 1445 RESEARCH BOULEVARD SUITE 530 ROCKVILLE 20850 240-223-1998 Spectrum Active Advantage Fund S000049076 54930044QDSUUH44JO68 2023-09-30 2023-06-30 N 16743707.88 9237915.79 7505792.09 0.00000000 0.00000000 5448671.95000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00 USD N S&P 500 (TR) 500TR N/A N/A ASML HOLDING NV N/A 42.00000000 NS USD -42.63000000 -0.00056796137 Long DO US N 2 BARCLAYS N/A ASML Holding NV ASML Holding NV Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30482.13000000 USD -42.63000000 N N N United States Treasury Bills 254900HROIFWPRGM1V77 B 09/21/23 912796CR8 607000.00000000 PA USD 600038.61000000 7.994340941037 Long DBT UST US N 2 2023-09-21 Fixed 0.00000000 N N N N N N N/A N/A IDEXX LABORATORIES N/A 63.00000000 NS USD 1110.38000000 0.014793641852 Long DO US N 2 BARCLAYS N/A ASML Holding NV ASML Holding NV Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30530.11500000 USD 1110.38000000 N N N CHICAGO MERCANTILE EXCHANGE (FLOOR) N/A S&P500 EMINI FUT Sep23 N/A 4.00000000 NC USD 13285.00000000 0.176996642602 Long DE CORP US N 1 ADM INVESTOR SERVICES N/A Long CME Standard & Poor's 500 Inde SPX 2023-09-15 884365.00000000 USD 13285.00000000 N N N N/A N/A KLA CORP N/A 64.00000000 NS USD 460.48000000 0.006134995407 Long DO US N 2 BARCLAYS N/A KLA Corp KLA Corp Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30580.80000000 USD 460.48000000 N N N N/A N/A INVESCO EXCH TRADED N/A 28700.00000000 NS USD 5596.50000000 0.074562417035 Long DO US N 2 BARCLAYS N/A INVESCO SENIOR LOAN ETF INVESCO SENIOR LOAN ETF Y performance 2024-07-10 0.00000000 USD 0.00000000 USD -598251.50000000 USD 5596.50000000 N N N N/A N/A ADOBE INC N/A 62.00000000 NS USD -50.53000000 -0.00067321342 Long DO US N 2 BARCLAYS N/A Adobe Inc Adobe Inc Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30367.91000000 USD -50.53000000 N N N CHICAGO MERCANTILE EXCHANGE (FLOOR) N/A NASDAQ 100 E-MINI Sep23 N/A 2.00000000 NC USD 5986.67000000 0.079760669203 Long DE CORP US N 1 ADM INVESTOR SERVICES N/A Long CME E-Mini NASDAQ 100 Index Fu NDX 2023-09-15 607493.33000000 USD 5986.67000000 N N N N/A N/A INTUIT INC N/A 67.00000000 NS USD -128.13000000 -0.00170708165 Long DO US N 2 BARCLAYS N/A Intuit Inc Intuit Inc Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30826.86750000 USD -128.13000000 N N N N/A N/A FIRST TRUST NASDQ 10 N/A 7200.00000000 NS USD 35682.84000000 0.475404055589 Long DO US N 2 BARCLAYS N/A First Trust NASDAQ-100 Equal Weighted Index Fund First Trust NASDAQ-100 Equal Weighted Index Fund Y performance 2024-07-02 0.00000000 USD 0.00000000 USD -733997.16000000 USD 35682.84000000 N N N N/A N/A ISHARESNATIONAL MUNI N/A 5600.00000000 NS USD -570.64000000 -0.00760266195 Long DO US N 2 BARCLAYS N/A iShares National Muni Bond ETF iShares National Muni Bond ETF Y performance 2024-07-18 0.00000000 USD 0.00000000 USD -598258.64000000 USD -570.64000000 N N N N/A N/A ZOOM VIDEO N/A 448.00000000 NS USD -172.48000000 -0.00229795866 Long DO US N 2 BARCLAYS N/A Zoom Video Communications Inc Zoom Video Communications Inc Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30582.72000000 USD -172.48000000 N N N CME GLOBEX N/A E-Mini Russ 2000 Sep23 N/A 24.00000000 NC USD 21252.50000000 0.283147997508 Long DE CORP US N 1 ADM INVESTOR SERVICES N/A Long RUSSELL 2000 INDEX RTY 2023-09-15 2263187.50000000 USD 21252.50000000 N N N CME GLOBEX N/A S&P MID 400 EMINI Sep23 N/A 5.00000000 NC USD 11310.00000000 0.150683630246 Long DE CORP US N 1 ADM INVESTOR SERVICES N/A Long CME E-Mini Standard & Poor's M MID 2023-09-15 1310740.00000000 USD 11310.00000000 N N N N/A N/A INVESCO EXCHANGE N/A 10200.00000000 NS USD 46321.28000000 0.617140462253 Long DO US N 2 BARCLAYS N/A INVESCO S&P 500 EQUAL WEIGHT ETF INVESCO S&P 500 EQUAL WEI Y performance 2024-08-01 0.00000000 USD 0.00000000 USD -1480006.72000000 USD 46321.28000000 N N N N/A N/A TESLA INC N/A 123.00000000 NS USD 1547.96000000 0.020623539547 Long DO US N 2 BARCLAYS N/A Tesla Inc Tesla Inc Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30649.75500000 USD 1547.96000000 N N N United States Treasury Bills 254900HROIFWPRGM1V77 B 09/28/23 912796CS6 5975000.00000000 PA USD 5900437.62000000 78.61179139056 Long DBT UST US N 2 2023-09-28 Fixed 0.00000000 N N N N N N First American Funds Inc. 549300J5J5SJCZ9IA369 FRST AM-GV OB-Z 31846V567 3165839.74000000 PA USD 3165839.74000000 42.17862288269 Long STIV RF US N 1 N N N N/A N/A APPLIED MATERIALS N/A 209.00000000 NS USD -383.51000000 -0.00510952069 Long DO US N 2 BARCLAYS N/A Applied Materials, Inc. Applied Materials, Inc. Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30592.37500000 USD -383.51000000 N N N N/A N/A NVIDIA CORP N/A 73.00000000 NS USD 316.82000000 0.004221006873 Long DO US N 2 BARCLAYS N/A NVIDIA Corp NVIDIA Corp Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30563.64000000 USD 316.82000000 N N N N/A N/A AUTODESK INC N/A 148.00000000 NS USD -344.57000000 -0.00459072135 Long DO US N 2 BARCLAYS N/A Autodesk Inc Autodesk Inc Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30626.85360000 USD -344.57000000 N N N N/A N/A MARVELL TECHNOLOGY N/A 505.00000000 NS USD -416.62000000 -0.00555064668 Long DO US N 2 BARCLAYS N/A Marvell Technology Inc Marvell Technology Inc Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30605.52500000 USD -416.62000000 N N N Fidelity Institutional Cash Portfolios 549300SHPEJB1OPRCV46 FID-MM GOVT-I 316175108 3165839.74000000 PA USD 3165839.74000000 42.17862288269 Long STIV RF US N 1 N N N N/A N/A ON SEMICONDUCTOR N/A 334.00000000 NS USD 963.73000000 0.012839817416 Long DO US N 2 BARCLAYS N/A ON Semiconductor Corp ON Semiconductor Corp Y performance 2024-07-25 0.00000000 USD 0.00000000 USD -30625.99640000 USD 963.73000000 N N N ICE FUTURES U.S. 5493004R83R1LVX2IL36 MSCI EmgMkt Sep23 N/A 7.00000000 NC USD -10325.00000000 -0.13756043167 Long DE CORP US N 1 ADM INVESTOR SERVICES N/A Long ICE US MSCI Emerging Markets E MXEF 2023-09-15 359590.00000000 USD -10325.00000000 N N N 2023-07-28 Advisors Preferred Trust Christine Casares Christine Casares Treasurer XXXX NPORT-EX 2 spectrum_nport.htm SPECTRUM NQ 6.30.23

 

SPECTRUM LOW VOLATILITY FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
 
Shares             Fair Value
    OPEN-END FUNDS — 73.0%      
    FIXED INCOME - 73.0%      
4,108,761     AB High Income Fund, Inc., Class Z       $   27,200,000  
4,551,351     Aristotle Floating Rate Income Fund, Class I       42,646,162  
3,282,811     Axonic Strategic Income Fund, Class I       28,823,082  
976,715     Easterly Income Opportunities Fund, Class R6       9,610,876  
4,014,599     Invesco Rochester Municipal Opportunities Fund, Class R6       27,459,854  
4,340,491     Invesco Senior Floating Rate Fund, Class R6       28,560,429  
1,965,035     Nuveen Preferred Securities Fund, Class I       28,060,699  
910,525     Semper MBS Total Return Fund, Institutional Class       7,311,516  
              199,672,618  
               
    TOTAL OPEN-END FUNDS (Cost $198,878,632)     199,672,618  
               
Principal Amount ($)         Coupon Rate (%) Maturity  
    U.S. GOVERNMENT & AGENCIES — 17.5%      
    U.S. TREASURY BILLS — 17.5%      
15,189,000   United States Treasury Bill(a)   4.9100 08/15/23 15,095,642  
23,382,000   United States Treasury Bill(a)   4.9400 08/17/23 23,231,171  
9,692,000   United States Treasury Bill(a)   5.0000 08/24/23 9,619,541  
            47,946,354  
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $47,937,239)     47,946,354  
             
Shares              
    SHORT-TERM INVESTMENTS — 15.5%      
    MONEY MARKET FUND - 15.5%      
42,463,348     Fidelity Government Portfolio, Class I, 4.98% (Cost $42,463,348)(b)       42,463,348  
             
 
    TOTAL INVESTMENTS - 106.0% (Cost $289,279,219)     $   290,082,320  
    LIABILITIES IN EXCESS OF OTHER ASSETS - (6.0)%         (16,540,545)
    NET ASSETS - 100.0%         $   273,541,775
           

 

 

 

 

(a) Zero coupon bond; rate disclosed is the effective yield as of June 30, 2023.
(b) Rate disclosed is the seven-day effective yield as of June 30, 2023.
 
 

 

 

 

SPECTRUM LOW VOLATILITY FUND        
SCHEDULE OF INVESTMENTS (Unaudited)  
June 30, 2023        
             
               

                               
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION: (1)(2)(3)            
Reference Entity     Counterparty   Termination Date   Interest Rate Receivable(4)   Notional Amount at June 30, 2023   Fair Value   Upfront Premiums Paid   Unrealized Appreciation
CDX North American High Yield Series 40   BRC   6/20/2028   500 bps    $    (54,500,000)    $    1,603,580    $   1,180,664    $       422,916
                               
BRC - Barclays Capital                             
(1) For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and receive the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value.
(2) For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap contracts as of period will serve as an indicator of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the contract.  Generally, wider credit spreads represent a perceived deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract.
(3)  For centrally cleared swaps, the notional amounts represents the maximum potential the Fund may pay as a seller of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the reference entity.
(4)  Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

             
TOTAL RETURN SWAPS           
Number of Shares Reference Entity Notional Amount at June 30, 2023 Interest Rate Payable (1) Termination Date Counterparty Unrealized Appreciation (Depreciation)
Long Position:            
           2,844,037   Eaton Vance Floating-Rate Advantage Fund Class R6*  $     28,070,642 USD SOFR plus 165 bp 6/9/2026 BRC  $                -   
           5,645,161   Eaton Vance Income Fund of Boston Class R6*         28,056,452 USD SOFR plus 165 bp 6/8/2026 BRC                    -   
              366,100   iShares iBoxx $ High Yield Corporate Bond ETF         27,483,127 O/N USD SOFR plus 35 bp 7/25/2024 BRC          203,017
           3,637,549   PIMCO High Yield Fund Institutional Class*         27,900,000 USD FED plus 165 bp 6/28/2024 CIBC                    -   
          Total:    $      203,017
  BRC - Barclays Capital           
  CIBC - Canadian Imperial Bank of Commerce          
  FED - Federal Funds Effective Rate          
  O/N - Overnight, Daily Fixings          
  SOFR - Secured Overnight Financing Rate          
(1) Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.  
  * Swap contract reset at June 30, 2023.          

 

 

 
 

 

 

 

SPECTRUM ACTIVE ADVANTAGE FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
 
Principal Amount ($)         Coupon Rate (%) Maturity Fair Value
    U.S. GOVERNMENT & AGENCIES — 86.6%      
    U.S. TREASURY BILLS — 86.6%      
607,000   United States Treasury Bill(a)   5.1000 09/21/23 $   600,038  
5,975,000   United States Treasury Bill(a)   5.1200 09/28/23 5,900,438  
            6,500,476  
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $6,500,154)     6,500,476  
             
Shares              
    SHORT-TERM INVESTMENTS — 84.4%      
    MONEY MARKET FUNDS - 84.4%      
3,165,840     Fidelity Government Portfolio, Class I, 4.98%(b)       3,165,840  
3,165,840     First American Government Obligations Fund, Class Z, 4.97%(b)       3,165,840  
    TOTAL MONEY MARKET FUNDS (Cost $6,331,680)   6,331,680  
               
    TOTAL SHORT-TERM INVESTMENTS (Cost $6,331,680)   6,331,680  
         
    TOTAL INVESTMENTS - 171.0% (Cost $12,831,834)     $   12,832,156  
    LIABILITIES IN EXCESS OF OTHER ASSETS - (71.0)%         (5,326,364 )
    NET ASSETS - 100.0%         $   7,505,792  
           
OPEN FUTURES CONTRACTS        
Number of Contracts   Open Long Futures Contracts     Expiration Notional Amount Unrealized Appreciation (Depreciation)
2     CME E-Mini NASDAQ 100 Index Futures   09/15/2023 $   613,480   $   5,987  
24     CME E-Mini-Russell 2000 Index Futures   09/15/2023 2,284,440   21,252  
4     CME E-Mini Standard & Poor's 500 Index Futures   09/15/2023 897,650   13,285  
5     CME E-Mini Standard & Poor's Midcap 400 Index Futures   09/15/2023 1,322,050   11,310  
7     ICE US MSCI Emerging Markets EM Index Futures   09/15/2023 349,265       (10,325 )
    TOTAL FUTURES CONTRACTS   $   41,509  
         
   

 

 

 

(a) Zero coupon bond; rate disclosed is the effective yield as of June 30, 2023.
(b) Rate disclosed is the seven-day effective yield as of June 30, 2023.
   

 

 

 

 

 

 

 

 

 

SPECTRUM ACTIVE ADVANTAGE FUND        
SCHEDULE OF INVESTMENTS (Unaudited)  
June 30, 2023  
             
 
               

 

             
TOTAL RETURN SWAPS           
Number of Shares Reference Entity Notional Amount at June 30, 2023 Interest Rate Payable (1) Termination Date Counterparty Unrealized Appreciation (Depreciation)
Long Position:            
                       62   Adobe, Inc.  $             30,317 O/N USD SOFR plus 35 bp 7/25/2024 BRC  $             (60)
                     209   Applied Materials, Inc.                 30,210 O/N USD SOFR plus 35 bp 7/25/2024 BRC               (393)
                       42   ASML Holding NV                 30,440 O/N USD SOFR plus 35 bp 7/25/2024 BRC                 (52)
                     148   Autodesk, Inc.                 30,282 O/N USD SOFR plus 35 bp 7/25/2024 BRC               (354)
                  7,200   First Trust NASDAQ-100 Equal Weighted Index Fund ETF               769,680 O/N USD SOFR plus 35 bp 7/2/2024 BRC            32,263
                       63   IDEXX Laboratories, Inc.                 31,640 O/N USD SOFR plus 35 bp 7/25/2024 BRC              1,101
                       67   Intuit, Inc.                 30,699 O/N USD SOFR plus 35 bp 7/25/2024 BRC               (138)
                10,200   Invesco S&P 500 Eql Wght ETF            1,526,328 O/N USD SOFR plus 35 bp 8/1/2024 BRC            47,355
                28,700   Invesco Senior Loan ETF               603,848 O/N USD SOFR plus 35 bp 7/10/2024 BRC              8,519
                  5,600   iShares National Muni Bond ETF               597,688 O/N USD SOFR plus 35 bp 7/18/2024 BRC            (1,466)
                       64   KLA Corp.                 31,041 O/N USD SOFR plus 35 bp 7/25/2024 BRC                 451
                     505   Marvell Technology, Inc.                 30,189 O/N USD SOFR plus 35 bp 7/25/2024 BRC               (426)
                       73   NVIDIA Corp.                 30,880 O/N USD SOFR plus 35 bp 7/25/2024 BRC                 307
                     334   ON Semiconductor Corp.                 31,590 O/N USD SOFR plus 35 bp 7/25/2024 BRC                 954
                     123   Tesla, Inc.                 32,198 O/N USD SOFR plus 35 bp 7/25/2024 BRC              1,539
                     448   Zoom Video Communications, Inc.                 30,410 O/N USD SOFR plus 35 bp 7/25/2024 BRC               (182)
             
          Total:    $        89,418
  BRC - Barclays Capital           
  CIBC - Canadian Imperial Bank of Commerce          
  CS - Credit Suisse Securities (Europe) Limited          
  LIBOR - London Interbank Offered Rate           
  SOFR - Secured Overnight Financing Rate          
  O/N - Overnight, Daily Fixings          
(1) Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

 
 

 

 

SPECTRUM UNCONSTRAINED FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
 
Shares             Fair Value
    OPEN-END FUNDS — 39.4%      
    FIXED INCOME - 39.4%      
117,427   Braddock Multi-Strategy Income Fund, Institutional Class       $ 736,270
359,764   DWS High Income Fund, Class A         1,521,801
92,317   Semper MBS Total Return Fund, Institutional Class         741,306
             

2,999,377

               
    TOTAL OPEN-END FUNDS (Cost $2,987,852)    

  2,999,377

               
Principal Amount ($)         Coupon Rate (%) Maturity  
    U.S. GOVERNMENT & AGENCIES — 36.6%      
    U.S. TREASURY BILLS — 36.6%      
1,315,000   United States Treasury Bill(a)   4.3200 07/20/23   1,311,892
749,000   United States Treasury Bill(a)   4.7300 08/03/23   745,717
354,000   United States Treasury Bill(a)   4.9400 08/17/23   351,716
374,000   United States Treasury Bill(a)   5.0000 08/24/23   371,204
              2,780,529
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,780,018)    

2,780,529

             
Shares              
    SHORT-TERM INVESTMENTS — 28.0%      
    MONEY MARKET FUNDS - 28.0%      
1,067,076   Fidelity Government Portfolio, Class I, 4.98%(b)         1,067,076
1,067,076   First American Government Obligations Fund, Class Z, 4.97%(b)         1,067,076
    TOTAL MONEY MARKET FUNDS (Cost $2,134,152)  

2,134,152

               
    TOTAL SHORT-TERM INVESTMENTS (Cost $2,134,152)  

2,134,152

         
    TOTAL INVESTMENTS - 104.0% (Cost $7,902,022)     $ 7,914,058
    LIABILITIES IN EXCESS OF OTHER ASSETS - (4.0)%    

(303,268)

    NET ASSETS - 100.0%        

$ 7,610,790

           
   

 

 

 

(a) Zero coupon bond; rate disclosed is the effective yield as of June 30, 2023.
(b) Rate disclosed is the seven-day effective yield as of June 30, 2023.

 

 

 

 

 

 

 

SPECTRUM UNCONSTRAINED FUND        
SCHEDULE OF INVESTMENTS (Unaudited)  
June 30, 2023  
 
           

 

 

                               
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION: (1)(2)(3)        
Reference Entity     Counterparty   Termination Date   Interest Rate Received (4)   Notional Amount at June 30, 2023   Fair Value   Upfront Premiums Paid   Unrealized Appreciation
CDX North American High Yield Series 40    BRC   6/20/2028   500 bps    $       (1,900,000)    $  54,451    $   52,535    $        1,916
                               
BRC - Barclays Capital                             
(1) For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and receive the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value.
(2) For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap contracts as of period will serve as an indicator of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the contract.  Generally, wider credit spreads represent a perceived deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract.
(3)  For centrally cleared swaps, the notional amounts represents the maximum potential the Fund may pay as a seller of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the reference entity.
(4)  Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

               
TOTAL RETURN SWAPS             
Number of Shares Reference Entity Notional Amount at June 30, 2023 Interest Rate Payable (1) Termination Date Counterparty Unrealized Appreciation   
Long Position:              
          183,500   Invesco Senior Loan ETF  $          3,860,840 O/N USD SOFR plus 35 bp 7/3/2024 BRC  $        26,907  
            25,400   iShares iBoxx $ High Yield Corporate Bond ETF              1,906,778 O/N USD SOFR plus 35 bp 7/25/2024 BRC            14,097  
            36,800   iShares Preferred and Income Securities ETF              1,138,224 O/N USD SOFR plus 35 bp 8/1/2024 BRC              1,288  
            10,900   SPDR Bloomberg Convertible Securities ETF                 762,455 O/N USD SOFR plus 35 bp 7/25/2024 BRC              7,249  
          Total:    $        49,541  
  BRC - Barclays Capital             
  CIBC - Canadian Imperial Bank of Commerce            
  CS - Credit Suisse Securities (Europe) Limited            
  LIBOR - London Interbank Offered Rate             
  SOFR - Secured Overnight Financing Rate            
  O/N - Overnight, Daily Fixings            
(1) Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.