| 1 |
| Reverse Repurchase Agreements Outstanding at July 31, 2021 | |||||||||||||
| Counterparty | Interest Rate | Settlement Date | Maturity Date | Principal Amount | Value | Value Including Accrued Interest | |||||||
| JP Morgan Chase Bank | 0.931% | 06/07/21 | 09/03/21 | USD | (617,000) | $ (617,000) | $ (617,877) | ||||||
| JP Morgan Chase Bank | 0.061% | 05/12/21 | 08/12/21 | EUR | (745,173) | (883,962) | (884,085) | ||||||
| JP Morgan Chase Bank | 0.638% | 05/19/21 | 08/19/21 | GBP | (1,404,895) | (1,952,805) | (1,955,340) | ||||||
| JP Morgan Chase Bank | 0.578% | 07/08/21 | 10/08/21 | GBP | (2,033,881) | (2,827,096) | 2,828,164 | ||||||
| 2 |
| Reverse Repurchase Agreements Outstanding at July 31, 2021 – (continued) | |||||||||||||
| Counterparty | Interest Rate | Settlement Date | Maturity Date | Principal Amount | Value | Value Including Accrued Interest | |||||||
| Merrill Lynch Mortgage Investors Trust | 0.150% | 07/12/21 | 10/12/21 | EUR | (929,603) | (1,102,741) | (1,102,833) | ||||||
| Total | $ (7,383,604) | $ (1,731,971) | |||||||||||
| Securities pledged as collateral against open reverse repurchase agreements are noted in the Schedule of Investments. | |||||||||||||
| Futures Contracts Outstanding at July 31, 2021 | ||||||||
| Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
| Short position contracts: | ||||||||
| U.S. Treasury 10-Year Note Future | 30 | 09/21/2021 | $ (4,033,594) | $ (61,589) | ||||
| Total futures contracts | $ (61,589) | |||||||
| Foreign Currency Contracts Outstanding at July 31, 2021 | ||||||||||
| Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ Depreciation | ||||||
| 1,740 | USD | 1,466 | EUR | BNP | 08/19/2021 | $ — | ||||
| 1,347,289 | USD | 1,140,383 | EUR | UBS | 08/19/2021 | (5,999) | ||||
| 8,541 | USD | 6,140 | GBP | UBS | 08/19/2021 | 6 | ||||
| 4,500,430 | USD | 3,258,151 | GBP | MSC | 08/19/2021 | (28,604) | ||||
| Total foreign currency contracts | $ (34,597) | |||||||||
| Description | Total | Level 1 | Level 2 | Level 3(1)(2) | ||||
| Assets | ||||||||
| Asset & Commercial Mortgage-Backed Securities | $ 25,634,854 | $ — | $ 25,174,179 | $ 460,675 | ||||
| Corporate Bonds | 2,095,845 | — | 2,095,845 | — | ||||
| U.S. Government Agencies | 262,069 | — | 262,069 | — | ||||
| Common Stocks | ||||||||
| Diversified Financials | 4,503,000 | 4,503,000 | — | — | ||||
| Real Estate | 266,576 | 266,576 | — | — | ||||
| Short-Term Investments | 942,819 | 942,819 | — | — | ||||
| Foreign Currency Contracts(3) | 6 | — | 6 | — | ||||
| Total | $ 33,705,169 | $ 5,712,395 | $ 27,532,099 | $ 460,675 | ||||
| Liabilities | ||||||||
| Foreign Currency Contracts(3) | $ (34,603) | $ — | $ (34,603) | $ — | ||||
| Futures Contracts(3) | (61,589) | (61,589) | — | — | ||||
| Reverse Repurchase Agreements | (7,383,604) | — | (7,383,604) | — | ||||
| Total | $ (7,479,796) | $ (61,589) | $ (7,418,207) | $ — |
| (1) | For the period ended July 31, 2021, there were no transfers in and out of Level 3. |
| (2) | Level 3 securities were valued using broker quotes. |
| (3) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
| 3 |
| Asset & Commercial Mortgage-Backed Securities | Total | |||||||
| Beginning balance | $ 1,084,946 | $ 1,084,946 | ||||||
| Purchases | — | — | ||||||
| Sales | (420,699) | (420,699) | ||||||
| Accrued discounts/(premiums) | — | — | ||||||
| Total realized gain/(loss) | — | — | ||||||
| Net change in unrealized appreciation/(depreciation) | (203,572) | (203,572) | ||||||
| Transfers into Level 3 | — | — | ||||||
| Transfers out of Level 3 | — | — | ||||||
| Ending balance | $ 460,675 | $ 460,675 | ||||||
| The change in net unrealized appreciation/(depreciation) relating to the Level 3 investments held at July 31, 2021 was $(203,572). | ||||||||
| 4 |
| 5 |
| 1. | Investment Valuation and Fair Value Measurements: |
| For purposes of calculating the net asset value per share (“NAV”) of each class of the Fund, portfolio securities and other assets held in the Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions. | |
| If market prices are not readily available or are deemed unreliable, the Fund will use the fair value of the security or other instrument as determined in good faith under policies and procedures established by and under the supervision of the Board of the Trustees of the Fund (the “Board of Trustees”) (“Valuation Procedures”). Market prices are considered not readily available where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund's portfolio holdings or assets. In addition, market prices are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities or other instruments trade do not open for trading for the entire day and no other market prices are available. Fair value pricing is subjective in nature and the use of fair value pricing by the Fund may cause its NAV to differ significantly from the NAV that would have been calculated using market prices at the close of the exchange on which a portfolio holding is primarily traded. There can be no assurance that the Fund could obtain the fair value assigned to an investment if the Fund were to sell the investment at approximately the time at which the Fund determines its NAV. | |
| Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close. Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Fund. The value of the foreign securities or other instruments in which the Fund invests may change on days when a shareholder will not be able to purchase shares of the Fund. | |
| Fixed income investments (other than short-term obligations) held by the Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or less are generally valued at amortized cost. Directly originated loans will be valued on an individual loan level and fair valuation of such loans will be performed using inputs that incorporate borrower level data, including significant events affecting the issuer or collateral, accruals, and market developments. The Fund expects to use a third-party valuation firm to value its loan investments, subject to oversight by Hartford Funds Management Company, LLC (“HFMC”) and the Board of Trustees in accordance with the Fund’s valuation policies and procedures. Directly originated loans categorized as Level 3 investments will be initially valued at their initial transaction price and subsequently valued using (i) market data for similar instruments (e.g., recent transactions or indicative broker quotes), (ii) comparisons to benchmark derivative indices and/or (iii) valuation models. An illiquidity discount is applied where appropriate. The unobservable inputs and assumptions may differ by asset and in the application of the Fund or its selected vendor’s valuation methodologies. The reported fair value estimates could vary materially if different unobservable inputs and other assumptions were chosen. | |
| Exchange-traded derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange (“Exchange Close”). If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the Exchange Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the Exchange Close. Over-the-counter derivatives are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures. | |
| Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of the Fund's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and the market value may change on days when an investor is not able to purchase, exchange or request the repurchase of shares of the Fund. | |
| Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date. | |
| Investments in open-end mutual funds are valued at the respective NAV of each open-end mutual fund on the Valuation Date. Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Such open-end mutual funds and listed investment companies may use fair value pricing as disclosed in their prospectuses. | |
| Financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures. |
| 6 |
| U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of the Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. | |
| These levels are: |
| • | Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange-traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange-traded funds, rights and warrants. |
| • | Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange-traded instruments and which are valued using independent pricing services; foreign equities, which are principally traded on certain foreign markets and are adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract. |
| • | Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price. |
| 7 |