Security | Investment Value | Value | |
Investment Companies | |||
Fixed-Income Funds — 100.1% | |||
Master Total Return Portfolio of Master Bond LLC(a) | 18,073,233,452 | $ 18,073,233,452 | |
Total Investments — 100.1% (Cost: $19,356,593,884) | 18,073,233,452 | ||
Liabilities in Excess of Other Assets — (0.1)% | (22,187,034) | ||
Net Assets — 100.0% | $ 18,051,046,418 |
(a) | Affiliate of the Fund. |
Affiliated Issuer | Value at 09/30/22 | Purchases at Cost | Proceeds from Sale | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/23 | Investment Value Held at 06/30/23 | Income (Expense) | Capital Gain Distributions from Underlying Funds | |||
Master Total Return Portfolio of Master Bond LLC | $ 16,680,633,133 | $ 1,065,829,691(a)(b) | $ — | $ (750,608,241) | $ 1,077,378,869 | $ 18,073,233,452 | 18,073,233,452 | $ 551,129,812 | $ — |
(a) | Represents net investment value purchased (sold). |
(b) | Inclusive of income, expense, realized and unrealized gains and losses allocated from the Master Portfolio. |
Affiliated Issuer | Value at 09/30/22 | Purchases at Cost | Proceeds from Sale | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/23 | Par/Shares Held at 06/30/23 | Income | Capital Gain Distributions from Underlying Funds | |||
BlackRock Capital Finance LP, Series 1997-R2, Class AP | $ 2,571 | $ — | $ — | $ — | $ (2,571) | $ — | 2,839 | $ — | $ — | |||
BlackRock Liquidity Funds, T-Fund, Institutional Class | 436,896,201 | 725,752,447(a) | — | — | — | 1,162,648,648 | 1,162,648,648 | — | — | |||
iShares iBoxx $ Investment Grade Corporate Bond ETF | — | 393,496,098 | (366,506,791) | (1,335,071) | 191,224 | 25,845,460 | 239,000 | 1,432,296 | — | |||
iShares J.P. Morgan USD Emerging Markets Bond ETF(b) | — | 16,514,978 | (16,485,864) | (29,114) | — | — | — | — | — | |||
iShares MSCI U.S.A. Momentum Factor ETF | — | 28,232,863 | (17,055,848) | 99,216 | 263,769 | 11,540,000 | 80,000 | — | — | |||
iShares TIPS Bond ETF(b) | — | 7,760,214 | (7,801,262) | 41,048 | — | — | — | — | — | |||
SL Liquidity Series, LLC, Money Market Series | 4,095,774 | 3,874,549(a) | — | (2,484) | 1,034 | 7,968,873 | 7,968,873 | 235,436(c) | — | |||
$ (1,226,405) | $ 453,456 | $ 1,208,002,981 | $ 1,667,732 | $ — |
(a) | Represents net shares purchased (sold). |
(b) | As of period end, the entity is no longer held by the Master Portfolio. |
(c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | ||||
30-Day Federal Funds | 99 | 08/31/23 | $ 39,075 | $ (4,337) |
Euro-Bobl | 13 | 09/07/23 | 1,641 | 21 |
NASDAQ 100 E-Mini Index | 25 | 09/15/23 | 7,669 | 207,944 |
U.S. Treasury Bonds (30 Year) | 4,999 | 09/20/23 | 634,404 | (4,395,853) |
U.S. Ultra Treasury Bonds | 2,502 | 09/20/23 | 340,819 | (304,881) |
U.S. Treasury Notes (2 Year) | 4,232 | 09/29/23 | 860,551 | (1,384,936) |
U.S. Treasury Notes (5 Year) | 19,278 | 09/29/23 | 2,064,553 | (25,462,206) |
3-month EURIBOR | 158 | 06/17/24 | 41,454 | (275,665) |
3-month SOFR | 12,434 | 06/18/24 | 2,949,500 | (9,828,148) |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts (continued) | ||||
3-month SOFR | 4,746 | 09/17/24 | $ 1,130,023 | $ (3,355,191) |
3-month SONIA Index | 1,288 | 09/17/24 | 383,974 | (713,671) |
Canadian Bankers Acceptance | 26 | 09/18/24 | 4,667 | (24,462) |
(45,541,385) | ||||
Short Contracts | ||||
CBOE Volatility Index | 148 | 07/19/23 | 2,222 | 234,814 |
Euro-Bund | 29 | 09/07/23 | 4,232 | 1,311 |
Euro-Buxl | 81 | 09/07/23 | 12,339 | (109,671) |
Japanese Government Bonds (10 Year) | 565 | 09/12/23 | 581,661 | (2,578,837) |
E-Mini Russell 2000 Index | 187 | 09/15/23 | 17,800 | (161,566) |
E-Mini S&P 500 Index | 57 | 09/15/23 | 12,792 | (166,198) |
Euro STOXX 50 Index | 390 | 09/15/23 | 18,840 | (400,357) |
Euro STOXX Banks Index | 769 | 09/15/23 | 4,538 | (156,767) |
3-month SONIA Index | 100 | 09/19/23 | 30,102 | 122,211 |
U.S. Treasury Notes (10 Year) | 1,797 | 09/20/23 | 201,741 | 1,199,149 |
U.S. Ultra Treasury Notes (10 Year) | 229 | 09/20/23 | 27,122 | 60,590 |
3-month SOFR | 20 | 12/17/24 | 4,781 | 46,027 |
3-month SOFR | 58 | 03/18/25 | 13,916 | 44,659 |
(1,864,635) | ||||
$ (47,406,020) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
BRL | 4,498,592 | USD | 931,000 | Bank of America N.A. | 07/05/23 | $ 7,637 |
BRL | 4,498,592 | USD | 931,000 | Bank of America N.A. | 07/05/23 | 7,637 |
BRL | 6,836,366 | USD | 1,366,000 | BNP Paribas SA | 07/05/23 | 60,417 |
BRL | 6,836,366 | USD | 1,366,000 | BNP Paribas SA | 07/05/23 | 60,417 |
BRL | 8,818,504 | USD | 1,815,000 | BNP Paribas SA | 07/05/23 | 24,993 |
BRL | 8,999,594 | USD | 1,863,000 | BNP Paribas SA | 07/05/23 | 14,777 |
BRL | 9,137,690 | USD | 1,815,000 | Citibank N.A. | 07/05/23 | 91,591 |
BRL | 4,501,090 | USD | 913,000 | Citibank N.A. | 07/05/23 | 26,159 |
BRL | 4,501,090 | USD | 913,000 | Citibank N.A. | 07/05/23 | 26,159 |
BRL | 4,489,392 | USD | 929,000 | Goldman Sachs International | 07/05/23 | 7,718 |
BRL | 4,489,393 | USD | 929,000 | Goldman Sachs International | 07/05/23 | 7,718 |
COP | 46,621,218,361 | USD | 11,132,096 | Bank of America N.A. | 07/05/23 | 23,859 |
USD | 2,291,000 | BRL | 10,935,401 | Barclays Bank PLC | 07/05/23 | 9,314 |
USD | 2,291,000 | BRL | 10,935,401 | Barclays Bank PLC | 07/05/23 | 9,314 |
USD | 1,285,000 | TWD | 39,175,153 | Citibank N.A. | 07/13/23 | 25,232 |
USD | 1,285,000 | TWD | 39,175,153 | Citibank N.A. | 07/13/23 | 25,232 |
USD | 1,362,000 | TWD | 41,520,570 | Citibank N.A. | 07/13/23 | 26,809 |
USD | 1,362,000 | TWD | 41,520,570 | Citibank N.A. | 07/13/23 | 26,809 |
AUD | 1,417,000 | USD | 938,224 | JPMorgan Chase Bank N.A. | 07/18/23 | 6,242 |
AUD | 1,417,000 | USD | 938,224 | JPMorgan Chase Bank N.A. | 07/18/23 | 6,242 |
CLP | 745,215,300 | USD | 927,000 | Deutsche Bank AG | 07/18/23 | 63 |
CLP | 745,215,300 | USD | 927,000 | Deutsche Bank AG | 07/18/23 | 63 |
CZK | 71,102,594 | USD | 3,217,000 | Goldman Sachs International | 07/18/23 | 43,997 |
CZK | 71,102,594 | USD | 3,217,000 | Goldman Sachs International | 07/18/23 | 43,997 |
EUR | 856,000 | NOK | 9,843,064 | Deutsche Bank AG | 07/18/23 | 17,273 |
EUR | 856,000 | NOK | 9,843,064 | Deutsche Bank AG | 07/18/23 | 17,273 |
EUR | 378,000 | USD | 407,827 | Standard Chartered Bank | 07/18/23 | 5,034 |
EUR | 378,000 | USD | 407,827 | Standard Chartered Bank | 07/18/23 | 5,034 |
GBP | 529,000 | USD | 665,095 | Deutsche Bank AG | 07/18/23 | 6,828 |
GBP | 529,000 | USD | 665,095 | Deutsche Bank AG | 07/18/23 | 6,828 |
GBP | 1,089,000 | USD | 1,373,061 | JPMorgan Chase Bank N.A. | 07/18/23 | 10,160 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
GBP | 1,089,000 | USD | 1,373,061 | JPMorgan Chase Bank N.A. | 07/18/23 | $ 10,160 |
HUF | 629,518,360 | USD | 1,823,000 | JPMorgan Chase Bank N.A. | 07/18/23 | 11,468 |
HUF | 629,518,360 | USD | 1,823,000 | JPMorgan Chase Bank N.A. | 07/18/23 | 11,468 |
INR | 112,935,388 | USD | 1,367,000 | Citibank N.A. | 07/18/23 | 8,752 |
INR | 112,935,388 | USD | 1,367,000 | Citibank N.A. | 07/18/23 | 8,752 |
MXN | 23,811,652 | GBP | 1,089,000 | Goldman Sachs International | 07/18/23 | 2,793 |
MXN | 23,811,652 | GBP | 1,089,000 | Goldman Sachs International | 07/18/23 | 2,793 |
NOK | 5,061,577 | USD | 468,000 | Barclays Bank PLC | 07/18/23 | 3,892 |
PLN | 3,783,817 | USD | 915,000 | Goldman Sachs International | 07/18/23 | 14,690 |
PLN | 3,783,817 | USD | 915,000 | Goldman Sachs International | 07/18/23 | 14,690 |
USD | 696,629 | AUD | 1,023,000 | Bank of America N.A. | 07/18/23 | 14,774 |
USD | 278,516 | AUD | 409,000 | Bank of America N.A. | 07/18/23 | 5,907 |
USD | 535,021 | AUD | 790,000 | Royal Bank of Canada | 07/18/23 | 8,466 |
USD | 2,861,000 | CLP | 2,278,643,450 | Morgan Stanley & Co. International PLC | 07/18/23 | 26,321 |
USD | 2,861,000 | CLP | 2,278,643,450 | Morgan Stanley & Co. International PLC | 07/18/23 | 26,321 |
USD | 4,510,000 | CLP | 3,591,989,500 | Morgan Stanley & Co. International PLC | 07/18/23 | 41,492 |
USD | 467,268 | GBP | 366,000 | HSBC Bank PLC | 07/18/23 | 2,384 |
USD | 934,332 | GBP | 733,000 | Morgan Stanley & Co. International PLC | 07/18/23 | 3,293 |
USD | 934,332 | GBP | 733,000 | Morgan Stanley & Co. International PLC | 07/18/23 | 3,293 |
USD | 937,000 | HUF | 319,441,543 | JPMorgan Chase Bank N.A. | 07/18/23 | 6,121 |
USD | 1,367,000 | INR | 112,210,195 | Citibank N.A. | 07/18/23 | 83 |
USD | 1,367,000 | INR | 112,210,195 | Citibank N.A. | 07/18/23 | 83 |
USD | 1,372,000 | JPY | 189,882,014 | Royal Bank of Canada | 07/18/23 | 52,266 |
USD | 915,000 | KRW | 1,166,524,350 | Deutsche Bank AG | 07/18/23 | 28,912 |
USD | 915,000 | KRW | 1,166,524,350 | Deutsche Bank AG | 07/18/23 | 28,912 |
USD | 935,000 | SEK | 10,012,343 | Deutsche Bank AG | 07/18/23 | 5,871 |
USD | 935,000 | SEK | 10,012,343 | Deutsche Bank AG | 07/18/23 | 5,871 |
USD | 828,750 | THB | 29,032,356 | Citibank N.A. | 07/18/23 | 8,337 |
USD | 828,750 | THB | 29,032,356 | Citibank N.A. | 07/18/23 | 8,337 |
USD | 699,000 | ZAR | 12,836,366 | Citibank N.A. | 07/18/23 | 18,279 |
USD | 699,000 | ZAR | 12,836,366 | Citibank N.A. | 07/18/23 | 18,279 |
USD | 464,000 | ZAR | 8,482,089 | JPMorgan Chase Bank N.A. | 07/18/23 | 14,189 |
USD | 935,000 | ZAR | 17,332,188 | UBS AG | 07/18/23 | 15,862 |
USD | 935,000 | ZAR | 17,332,189 | UBS AG | 07/18/23 | 15,863 |
USD | 1,240,258 | EUR | 1,120,540 | Standard Chartered Bank | 08/08/23 | 15,092 |
USD | 5,932,188 | ZAR | 109,900,307 | Morgan Stanley & Co. International PLC | 08/08/23 | 116,501 |
MXN | 70,942,181 | USD | 3,902,210 | JPMorgan Chase Bank N.A. | 08/31/23 | 193,972 |
USD | 7,575,109 | GBP | 5,940,000 | JPMorgan Chase Bank N.A. | 09/13/23 | 29,665 |
EUR | 8,094,000 | GBP | 6,942,062 | Bank of America N.A. | 09/20/23 | 50,003 |
EUR | 10,580,000 | GBP | 9,100,525 | Bank of America N.A. | 09/20/23 | 31,991 |
EUR | 8,094,000 | GBP | 6,981,081 | JPMorgan Chase Bank N.A. | 09/20/23 | 439 |
EUR | 8,094,000 | GBP | 6,960,176 | JPMorgan Chase Bank N.A. | 09/20/23 | 26,993 |
EUR | 17,880,000 | GBP | 15,350,785 | UBS AG | 09/20/23 | 90,812 |
EUR | 1,619,000 | USD | 1,773,106 | Bank of America N.A. | 09/20/23 | 751 |
EUR | 3,570,000 | USD | 3,897,003 | Deutsche Bank AG | 09/20/23 | 14,467 |
EUR | 7,260,000 | USD | 7,906,779 | HSBC Bank PLC | 09/20/23 | 47,638 |
EUR | 585,900 | USD | 640,191 | JPMorgan Chase Bank N.A. | 09/20/23 | 1,750 |
USD | 7,772,765 | AUD | 11,320,000 | Bank of America N.A. | 09/20/23 | 214,685 |
USD | 2,354,530 | AUD | 3,424,000 | Bank of New York Mellon | 09/20/23 | 68,411 |
USD | 10,096,565 | CAD | 13,306,000 | NatWest Markets PLC | 09/20/23 | 39,606 |
USD | 46,995,854 | EUR | 42,825,584 | BNP Paribas SA | 09/20/23 | 74,012 |
USD | 488,572 | EUR | 445,000 | Deutsche Bank AG | 09/20/23 | 1,008 |
USD | 7,844,765 | EUR | 7,150,000 | Deutsche Bank AG | 09/20/23 | 10,870 |
USD | 7,796,141 | EUR | 7,100,000 | HSBC Bank PLC | 09/20/23 | 17,027 |
USD | 12,428,172 | EUR | 11,330,000 | JPMorgan Chase Bank N.A. | 09/20/23 | 14,460 |
USD | 26,674,542 | EUR | 24,304,416 | TD Securities, Inc. | 09/20/23 | 45,414 |
USD | 402,865 | EUR | 366,000 | TD Securities, Inc. | 09/20/23 | 1,858 |
USD | 7,832,125 | GBP | 6,100,000 | JPMorgan Chase Bank N.A. | 09/20/23 | 83,572 |
USD | 4,301,222 | JPY | 599,895,000 | Bank of New York Mellon | 09/20/23 | 90,585 |
USD | 600,235 | EUR | 546,432 | Bank of America N.A. | 09/22/23 | 1,476 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 227,960 | EUR | 207,527 | Bank of America N.A. | 09/22/23 | $ 560 |
USD | 379,674 | EUR | 345,641 | Bank of America N.A. | 09/22/23 | 933 |
USD | 488,845 | EUR | 445,007 | Deutsche Bank AG | 09/22/23 | 1,224 |
USD | 276,263 | EUR | 251,615 | Deutsche Bank AG | 09/22/23 | 554 |
USD | 7,280,817 | IDR | 109,030,237,236 | Citibank N.A. | 09/26/23 | 13,459 |
$2,399,588 | ||||||
USD | 915,000 | BRL | 4,518,727 | Citibank N.A. | 07/05/23 | (27,839) |
USD | 915,000 | BRL | 4,518,727 | Citibank N.A. | 07/05/23 | (27,839) |
USD | 1,815,000 | BRL | 9,255,520 | Goldman Sachs International | 07/05/23 | (116,177) |
USD | 1,863,000 | BRL | 9,073,760 | JPMorgan Chase Bank N.A. | 07/05/23 | (30,252) |
USD | 1,815,000 | BRL | 9,069,555 | Morgan Stanley & Co. International PLC | 07/05/23 | (77,375) |
USD | 933,000 | BRL | 4,478,400 | TD Securities, Inc. | 07/05/23 | (1,424) |
USD | 933,000 | BRL | 4,478,400 | TD Securities, Inc. | 07/05/23 | (1,424) |
USD | 4,743,400 | COP | 22,165,906,812 | Bank of New York Mellon | 07/05/23 | (560,663) |
USD | 5,293,816 | COP | 24,455,311,549 | JPMorgan Chase Bank N.A. | 07/05/23 | (558,077) |
TWD | 40,604,980 | USD | 1,323,500 | Standard Chartered Bank | 07/13/23 | (17,752) |
TWD | 40,604,980 | USD | 1,323,500 | Standard Chartered Bank | 07/13/23 | (17,752) |
AUD | 2,065,000 | CAD | 1,862,991 | BNP Paribas SA | 07/18/23 | (30,324) |
AUD | 581,000 | USD | 393,280 | BNP Paribas SA | 07/18/23 | (6,029) |
AUD | 2,097,000 | USD | 1,404,002 | JPMorgan Chase Bank N.A. | 07/18/23 | (6,300) |
AUD | 2,097,000 | USD | 1,404,002 | JPMorgan Chase Bank N.A. | 07/18/23 | (6,300) |
CAD | 1,755,335 | EUR | 1,221,000 | Deutsche Bank AG | 07/18/23 | (8,196) |
CAD | 1,755,335 | EUR | 1,221,000 | Deutsche Bank AG | 07/18/23 | (8,196) |
CNH | 6,607,793 | USD | 929,000 | HSBC Bank PLC | 07/18/23 | (18,721) |
COP | 3,918,042,000 | GBP | 738,000 | Morgan Stanley & Co. International PLC | 07/18/23 | (4,059) |
COP | 3,918,042,000 | GBP | 738,000 | Morgan Stanley & Co. International PLC | 07/18/23 | (4,059) |
EUR | 129,000 | PLN | 574,365 | HSBC Bank PLC | 07/18/23 | (225) |
EUR | 129,000 | PLN | 574,365 | HSBC Bank PLC | 07/18/23 | (225) |
EUR | 1,707,000 | USD | 1,873,022 | Citibank N.A. | 07/18/23 | (8,595) |
EUR | 1,707,000 | USD | 1,873,022 | Citibank N.A. | 07/18/23 | (8,595) |
EUR | 1,706,000 | USD | 1,869,973 | Deutsche Bank AG | 07/18/23 | (6,638) |
EUR | 1,706,000 | USD | 1,869,973 | Deutsche Bank AG | 07/18/23 | (6,638) |
HUF | 476,837,610 | USD | 1,403,000 | Bank of America N.A. | 07/18/23 | (13,456) |
HUF | 476,837,610 | USD | 1,403,000 | Bank of America N.A. | 07/18/23 | (13,456) |
IDR | 26,965,655,500 | USD | 1,813,000 | Citibank N.A. | 07/18/23 | (14,662) |
IDR | 26,965,655,500 | USD | 1,813,000 | Citibank N.A. | 07/18/23 | (14,662) |
IDR | 10,538,673,000 | USD | 703,000 | Citibank N.A. | 07/18/23 | (177) |
IDR | 10,538,673,000 | USD | 703,000 | Citibank N.A. | 07/18/23 | (177) |
JPY | 208,604,505 | EUR | 1,395,000 | Bank of America N.A. | 07/18/23 | (73,792) |
JPY | 181,897,033 | USD | 1,314,000 | State Street Bank and Trust Co. | 07/18/23 | (49,764) |
KRW | 1,214,004,000 | USD | 935,000 | Citibank N.A. | 07/18/23 | (12,847) |
KRW | 1,214,004,000 | USD | 935,000 | Citibank N.A. | 07/18/23 | (12,847) |
KRW | 1,186,800,750 | USD | 915,000 | JPMorgan Chase Bank N.A. | 07/18/23 | (13,511) |
KRW | 1,186,800,750 | USD | 915,000 | JPMorgan Chase Bank N.A. | 07/18/23 | (13,511) |
MYR | 4,187,820 | USD | 910,000 | Barclays Bank PLC | 07/18/23 | (11,597) |
MYR | 4,187,820 | USD | 910,000 | Barclays Bank PLC | 07/18/23 | (11,597) |
NOK | 9,917,554 | EUR | 852,000 | NatWest Markets PLC | 07/18/23 | (5,959) |
NOK | 9,917,554 | EUR | 852,000 | NatWest Markets PLC | 07/18/23 | (5,959) |
NOK | 9,733,822 | EUR | 847,000 | UBS AG | 07/18/23 | (17,628) |
NOK | 9,733,822 | EUR | 847,000 | UBS AG | 07/18/23 | (17,628) |
THB | 57,192,038 | USD | 1,657,500 | Citibank N.A. | 07/18/23 | (41,335) |
THB | 57,192,038 | USD | 1,657,500 | Citibank N.A. | 07/18/23 | (41,335) |
USD | 1,816,545 | AUD | 2,744,000 | UBS AG | 07/18/23 | (12,400) |
USD | 1,816,544 | AUD | 2,744,000 | UBS AG | 07/18/23 | (12,400) |
USD | 1,804,000 | CAD | 2,403,976 | Goldman Sachs International | 07/18/23 | (11,182) |
USD | 288,000 | CAD | 383,783 | Goldman Sachs International | 07/18/23 | (1,785) |
USD | 218,000 | COP | 922,874,660 | BNP Paribas SA | 07/18/23 | (1,841) |
USD | 218,000 | COP | 922,874,660 | BNP Paribas SA | 07/18/23 | (1,841) |
USD | 915,000 | COP | 3,864,502,500 | Citibank N.A. | 07/18/23 | (5,577) |
USD | 915,000 | COP | 3,864,502,500 | Citibank N.A. | 07/18/23 | (5,577) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 1,373,741 | EUR | 1,270,000 | Goldman Sachs International | 07/18/23 | $ (13,383) |
USD | 1,373,741 | EUR | 1,270,000 | Goldman Sachs International | 07/18/23 | (13,383) |
USD | 927,000 | HUF | 323,820,660 | JPMorgan Chase Bank N.A. | 07/18/23 | (16,640) |
USD | 927,000 | HUF | 323,820,660 | JPMorgan Chase Bank N.A. | 07/18/23 | (16,640) |
USD | 501,000 | MXN | 8,709,012 | JPMorgan Chase Bank N.A. | 07/18/23 | (5,929) |
USD | 501,000 | MXN | 8,708,085 | State Street Bank and Trust Co. | 07/18/23 | (5,875) |
ZAR | 16,663,517 | EUR | 830,000 | Morgan Stanley & Co. International PLC | 07/18/23 | (22,869) |
ZAR | 16,663,517 | EUR | 830,000 | Morgan Stanley & Co. International PLC | 07/18/23 | (22,869) |
ZAR | 16,920,068 | USD | 927,000 | Bank of America N.A. | 07/18/23 | (29,718) |
ZAR | 16,920,068 | USD | 927,000 | Bank of America N.A. | 07/18/23 | (29,718) |
ZAR | 8,716,574 | USD | 464,000 | Deutsche Bank AG | 07/18/23 | (1,754) |
ZAR | 5,893,861 | USD | 317,000 | Morgan Stanley & Co. International PLC | 07/18/23 | (4,445) |
ZAR | 8,162,160 | USD | 439,000 | Morgan Stanley & Co. International PLC | 07/18/23 | (6,155) |
BRL | 10,991,874 | USD | 2,291,000 | Barclays Bank PLC | 08/02/23 | (9,432) |
BRL | 10,991,874 | USD | 2,291,000 | Barclays Bank PLC | 08/02/23 | (9,432) |
USD | 935,000 | BRL | 4,578,695 | Citibank N.A. | 08/02/23 | (15,393) |
USD | 935,000 | BRL | 4,578,695 | Citibank N.A. | 08/02/23 | (15,393) |
USD | 14,738,960 | MXN | 269,699,380 | Barclays Bank PLC | 08/31/23 | (833,407) |
USD | 1,358,883 | MXN | 24,865,393 | Barclays Bank PLC | 08/31/23 | (76,837) |
USD | 10,407,788 | MXN | 186,965,505 | JPMorgan Chase Bank N.A. | 08/31/23 | (387,548) |
USD | 2,665,352 | MXN | 49,688,022 | Morgan Stanley & Co. International PLC | 08/31/23 | (203,621) |
USD | 5,141,751 | MXN | 95,374,995 | State Street Bank and Trust Co. | 08/31/23 | (365,174) |
USD | 4,403,566 | CZK | 97,148,046 | Barclays Bank PLC | 09/06/23 | (42,599) |
USD | 127,103 | EUR | 116,490 | Citibank N.A. | 09/14/23 | (491) |
USD | 95,030 | EUR | 87,095 | Citibank N.A. | 09/14/23 | (367) |
USD | 563,753 | EUR | 516,683 | Citibank N.A. | 09/14/23 | (2,179) |
AUD | 11,320,000 | USD | 7,797,295 | Morgan Stanley & Co. International PLC | 09/20/23 | (239,215) |
EUR | 7,100,000 | USD | 7,815,880 | JPMorgan Chase Bank N.A. | 09/20/23 | (36,767) |
EUR | 11,330,000 | USD | 12,434,902 | JPMorgan Chase Bank N.A. | 09/20/23 | (21,190) |
EUR | 5,700,000 | USD | 6,267,120 | JPMorgan Chase Bank N.A. | 09/20/23 | (21,916) |
GBP | 6,149,592 | EUR | 7,130,000 | Deutsche Bank AG | 09/20/23 | (435) |
GBP | 9,272,309 | EUR | 10,780,000 | HSBC Bank PLC | 09/20/23 | (32,910) |
GBP | 6,111,708 | EUR | 7,100,000 | HSBC Bank PLC | 09/20/23 | (15,687) |
GBP | 2,972,434 | EUR | 3,450,000 | HSBC Bank PLC | 09/20/23 | (4,244) |
GBP | 6,100,000 | USD | 7,826,110 | Deutsche Bank AG | 09/20/23 | (77,556) |
GBP | 6,985,000 | USD | 8,887,386 | Standard Chartered Bank | 09/20/23 | (14,657) |
IDR | 129,680,129,696 | USD | 8,719,575 | HSBC Bank PLC | 09/20/23 | (75,577) |
USD | 4,061,230 | EUR | 3,753,000 | Deutsche Bank AG | 09/20/23 | (50,743) |
USD | 11,739,944 | EUR | 10,720,000 | HSBC Bank PLC | 09/20/23 | (5,422) |
USD | 7,806,334 | EUR | 7,150,000 | HSBC Bank PLC | 09/20/23 | (27,562) |
USD | 7,788,898 | EUR | 7,110,000 | HSBC Bank PLC | 09/20/23 | (1,172) |
USD | 6,233,982 | EUR | 5,700,000 | Société Générale | 09/20/23 | (11,222) |
USD | 637,530 | EUR | 585,900 | State Street Bank and Trust Co. | 09/20/23 | (4,411) |
USD | 8,861,955 | GBP | 6,978,000 | Bank of America N.A. | 09/20/23 | (1,882) |
USD | 24,287,012 | MXN | 423,649,149 | JPMorgan Chase Bank N.A. | 09/20/23 | (83,050) |
USD | 10,715,674 | COP | 46,621,218,360 | Bank of America N.A. | 12/20/23 | (10,130) |
$(4,885,176) | ||||||
$ (2,485,588) | ||||||
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
CME 3-Month SOFR Futures | 1,470 | 07/14/23 | USD | 94.81 | USD | 347,692 | $ 45,937 |
Consumer Staples Select Sector SPDR Fund | 1,000 | 07/21/23 | USD | 75.00 | USD | 7,417 | 33,000 |
S&P 500 INDEX | 57 | 07/21/23 | USD | 4,500.00 | USD | 25,367 | 123,975 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | 576 | 07/21/23 | USD | 105.00 | USD | 5,813 | $ 93,600 |
U.S. Treasury 2-Year Notes Futures | 249 | 07/21/23 | USD | 102.25 | USD | 50,644 | 35,016 |
NASDAQ 100 Stock Index | 30 | 08/04/23 | USD | 15,400.00 | USD | 45,538 | 752,700 |
$1,084,228 | |||||||
Put | |||||||
CBOE Volatility Index | 5,206 | 07/19/23 | USD | 17.00 | USD | 7,075 | 1,285,882 |
S&P 500 INDEX | 57 | 07/21/23 | USD | 4,050.00 | USD | 25,367 | 15,532 |
U.S. Treasury 2-Year Notes Futures | 249 | 07/21/23 | USD | 101.25 | USD | 50,644 | 46,687 |
Consumer Discretionary Select Sector SPDR Fund | 680 | 07/28/23 | USD | 160.00 | USD | 11,547 | 65,620 |
NASDAQ 100 Stock Index | 30 | 08/04/23 | USD | 14,400.00 | USD | 45,538 | 283,050 |
SPDR S&P Regional Banking (ETF) | 1,023 | 08/18/23 | USD | 40.00 | USD | 4,177 | 172,887 |
Ally Financial, Inc. | 13,794 | 09/15/23 | USD | 20.00 | USD | 37,257 | 379,335 |
1 Year Mid-Curve Options on 3-Month SOFR Futures | 7,264 | 10/13/23 | USD | 96.00 | USD | 1,743,269 | 7,127,800 |
CME 3-Month SOFR Futures | 7,264 | 10/13/23 | USD | 94.38 | USD | 1,718,844 | 1,498,200 |
CME 3-Month SOFR Futures | 7,627 | 10/13/23 | USD | 94.88 | USD | 1,804,739 | 7,436,325 |
CME 3-Month SOFR Futures | 11,440 | 10/13/23 | USD | 95.00 | USD | 2,706,990 | 13,942,500 |
CME 3-Month SOFR Futures | 19,067 | 10/13/23 | USD | 95.63 | USD | 4,511,729 | 49,574,200 |
1 Year Mid-Curve Options on 3-Month SOFR Futures | 1,453 | 12/15/23 | USD | 96.00 | USD | 348,702 | 1,743,600 |
$83,571,618 | |||||||
$ 84,655,846 |
Description | Type of Option | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Barrier Price/Range | Notional Amount (000) | Value | |||
Call | |||||||||||
EUR Currency | One-Touch | Morgan Stanley & Co. International PLC | — | 09/27/23 | USD | 1.06 | USD | 1.06 | EUR | 2,970 | $ 454,722 |
Put | |||||||||||
USD Currency | Under-and-In | UBS AG | — | 08/01/23 | JPY | 144.00 | JPY | 147.50 | USD | 43,070 | 54,353 |
USD Currency | Down-and-Out | Bank of America N.A. | — | 08/04/23 | JPY | 129.00 | JPY | 124.00 | USD | 27,745 | 7,432 |
USD Currency | One-Touch | Citibank N.A. | — | 09/07/23 | JPY | 125.00 | JPY | 125.00 | USD | 1,339 | 15,849 |
EUR Currency | One-Touch | Bank of America N.A. | — | 09/12/23 | USD | 1.02 | USD | 1.02 | EUR | 710 | 12,948 |
EUR Currency | One-Touch | HSBC Bank PLC | — | 11/16/23 | USD | 1.05 | USD | 1.05 | EUR | 339 | 45,098 |
135,680 | |||||||||||
$ 590,402 |
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | ||||||||
EUR Currency | JPMorgan Chase Bank N.A. | — | 07/11/23 | USD | 1.10 | EUR | 3,416 | $ 6,320 |
USD Currency | Goldman Sachs International | — | 07/17/23 | ZAR | 19.75 | USD | 2,738 | 4,797 |
USD Currency | Goldman Sachs International | — | 07/18/23 | ZAR | 18.60 | USD | 2,782 | 54,063 |
EUR Currency | Deutsche Bank AG | — | 07/19/23 | USD | 1.13 | EUR | 27,450 | 4,663 |
USD Currency | Barclays Bank PLC | — | 07/20/23 | CLP | 810.00 | USD | 1,866 | 18,459 |
USD Currency | Morgan Stanley & Co. International PLC | — | 07/25/23 | COP | 4,200.00 | USD | 1,872 | 29,042 |
117,344 | ||||||||
Put | ||||||||
USD Currency | HSBC Bank PLC | — | 07/10/23 | MXN | 17.70 | USD | 2,730 | 90,174 |
USD Currency | JPMorgan Chase Bank N.A. | — | 07/17/23 | ZAR | 19.00 | USD | 1,369 | 22,833 |
EUR Currency | JPMorgan Chase Bank N.A. | — | 07/20/23 | NOK | 11.60 | EUR | 1,708 | 10,627 |
EUR Currency | JPMorgan Chase Bank N.A. | — | 07/20/23 | USD | 1.08 | EUR | 3,420 | 8,466 |
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
GBP Currency | Bank of America N.A. | — | 07/24/23 | USD | 1.25 | GBP | 1,466 | $ 5,179 |
USD Currency | Barclays Bank PLC | — | 08/04/23 | MXN | 17.50 | USD | 3,650 | 79,630 |
USD Currency | Citibank N.A. | — | 08/10/23 | BRL | 4.90 | USD | 3,642 | 99,750 |
AUD Currency | Citibank N.A. | — | 08/18/23 | USD | 0.66 | AUD | 4,128 | 33,063 |
349,722 | ||||||||
$ 467,066 |
Description(a) | Counterparty | Units | Expiration Date | Notional Amount (000) | Value | |
Put | ||||||
Payout at expiry if USD/JPY < 128.79 and 10-year JPY TONA > .89 | Citibank N.A. | — | 08/14/23 | USD | 3,074 | $ — |
(a) | Option only pays if both terms are met on the expiration date. |
Paid by the Fund | Received by the Fund | ||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
Call | |||||||||||
10-Year Interest Rate Swap, 04/22/36 | 1-day SOFR, 5.09% | Quarterly | 3.11% | Semi-Annual | Goldman Sachs International | 04/20/26 | 3.11% | USD | 45,694 | $ 2,121,571 | |
10-Year Interest Rate Swap, 06/17/36 | 1-day SOFR, 5.09% | Quarterly | 3.24% | Semi-Annual | Barclays Bank PLC | 06/15/26 | 3.24% | USD | 23,139 | 1,199,215 | |
10-Year Interest Rate Swap, 06/25/36 | 1-day SOFR, 5.09% | Quarterly | 3.15% | Semi-Annual | Morgan Stanley & Co. International PLC | 06/23/26 | 3.15% | USD | 18,967 | 920,693 | |
4,241,479 | |||||||||||
Put | |||||||||||
10-Year Interest Rate Swap, 04/22/36 | 3.11% | Semi-Annual | 1-day SOFR, 5.09% | Quarterly | Goldman Sachs International | 04/20/26 | 3.11% | USD | 45,694 | $ 2,453,585 | |
10-Year Interest Rate Swap, 06/17/36 | 3.24% | Semi-Annual | 1-day SOFR, 5.09% | Quarterly | Barclays Bank PLC | 06/15/26 | 3.24% | USD | 23,139 | 1,155,832 | |
10-Year Interest Rate Swap, 06/25/36 | 3.15% | Semi-Annual | 1-day SOFR, 5.09% | Quarterly | Morgan Stanley & Co. International PLC | 06/23/26 | 3.15% | USD | 18,967 | 1,000,150 | |
4,609,567 | |||||||||||
$ 8,851,046 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
CME 3-Month SOFR Futures | 2,201 | 07/14/23 | USD | 95.00 | USD | 520,592 | $ (41,269) |
S&P 500 INDEX | 57 | 07/21/23 | USD | 4,300.00 | USD | 25,367 | (933,945) |
U.S. Treasury 2-Year Notes Futures | 249 | 07/21/23 | USD | 102.00 | USD | 50,644 | (62,250) |
NASDAQ 100 Stock Index | 60 | 08/04/23 | USD | 15,900.00 | USD | 91,075 | (558,600) |
(1,596,064) | |||||||
Put | |||||||
CBOE Volatility Index | 10,412 | 07/19/23 | USD | 15.00 | USD | 14,150 | (973,522) |
NASDAQ 100 Stock Index | 60 | 08/04/23 | USD | 13,900.00 | USD | 91,075 | (277,500) |
U.S. Treasury 10-Year Notes Futures | 568 | 08/25/23 | USD | 114.00 | USD | 63,794 | (1,286,875) |
U.S. Treasury 2-Year Notes Futures | 743 | 08/25/23 | USD | 103.00 | USD | 151,119 | (2,066,469) |
1 Year Mid-Curve Options on 3-Month SOFR Futures | 7,264 | 10/13/23 | USD | 95.75 | USD | 1,743,269 | (4,948,600) |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
CME 3-Month SOFR Futures | 7,264 | 10/13/23 | USD | 94.63 | USD | 1,718,844 | $ (3,813,600) |
CME 3-Month SOFR Futures | 7,627 | 10/13/23 | USD | 95.13 | USD | 1,804,739 | (11,297,494) |
CME 3-Month SOFR Futures | 11,440 | 10/13/23 | USD | 95.25 | USD | 2,706,990 | (20,020,000) |
CME 3-Month SOFR Futures | 19,067 | 10/13/23 | USD | 95.38 | USD | 4,511,729 | (38,729,844) |
1 Year Mid-Curve Options on 3-Month SOFR Futures | 1,453 | 12/15/23 | USD | 95.75 | USD | 348,702 | (1,307,700) |
(84,721,604) | |||||||
$ (86,317,668) |
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | ||||||||
EUR Currency | Deutsche Bank AG | — | 07/19/23 | USD | 1.15 | EUR | 27,450 | $ (142) |
EUR Currency | JPMorgan Chase Bank N.A. | — | 07/20/23 | NOK | 11.95 | EUR | 1,708 | (6,542) |
USD Currency | HSBC Bank PLC | — | 07/25/23 | COP | 4,400.00 | USD | 1,872 | (6,863) |
(13,547) | ||||||||
Put | ||||||||
USD Currency | Goldman Sachs International | — | 07/17/23 | ZAR | 19.00 | USD | 2,738 | (45,665) |
USD Currency | Goldman Sachs International | — | 07/18/23 | ZAR | 17.75 | USD | 2,782 | (917) |
USD Currency | Barclays Bank PLC | — | 07/20/23 | CLP | 790.00 | USD | 1,866 | (10,045) |
USD Currency | Morgan Stanley & Co. International PLC | — | 07/25/23 | COP | 4,100.00 | USD | 1,872 | (10,752) |
USD Currency | Barclays Bank PLC | — | 08/04/23 | MXN | 17.10 | USD | 5,476 | (40,839) |
USD Currency | Citibank N.A. | — | 08/10/23 | BRL | 4.75 | USD | 4,552 | (46,004) |
AUD Currency | Citibank N.A. | — | 08/18/23 | USD | 0.65 | AUD | 4,128 | (14,785) |
(169,007) | ||||||||
$ (182,554) | ||||||||
Paid by the Fund | Received by the Fund | ||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
Call | |||||||||||
5-Year Interest Rate Swap, 06/16/29 | 3.31% | Semi-Annual | 1-day SOFR, 5.09% | Quarterly | Barclays Bank PLC | 06/14/24 | 3.31% | USD | 251,702 | $ (4,725,925) | |
10-Year Interest Rate Swap, 03/18/36 | 3.02% | Semi-Annual | 1-day SOFR, 5.09% | Quarterly | Goldman Sachs International | 03/16/26 | 3.02% | USD | 46,647 | (1,972,798) | |
10-Year Interest Rate Swap, 03/18/36 | 3.12% | Semi-Annual | 1-day SOFR, 5.09% | Quarterly | Goldman Sachs International | 03/16/26 | 3.12% | USD | 40,741 | (1,868,702) | |
10-Year Interest Rate Swap, 05/06/36 | 3.05% | Semi-Annual | 1-day SOFR, 5.09% | Quarterly | UBS AG | 05/04/26 | 3.05% | USD | 21,352 | (942,799) | |
(9,510,224) |
Paid by the Fund | Received by the Fund | ||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
Put | |||||||||||
2-Year Interest Rate Swap, 08/16/25 | 1-day SOFR, 5.09% | Quarterly | 4.05% | Semi-Annual | Barclays Bank PLC | 08/14/23 | 4.05% | USD | 191,897 | $ (2,549,798) | |
2-Year Interest Rate Swap, 08/24/25 | 1-day SOFR, 5.09% | Quarterly | 4.11% | Semi-Annual | JPMorgan Chase Bank N.A. | 08/22/23 | 4.11% | USD | 92,258 | (1,127,655) | |
2-Year Interest Rate Swap, 08/24/25 | 1-day SOFR, 5.09% | Quarterly | 4.15% | Semi-Annual | UBS AG | 08/22/23 | 4.15% | USD | 95,948 | (1,112,003) | |
2-Year Interest Rate Swap, 08/25/25 | 1-day SOFR, 5.09% | Quarterly | 4.10% | Semi-Annual | JPMorgan Chase Bank N.A. | 08/23/23 | 4.10% | USD | 92,258 | (1,142,296) | |
2-Year Interest Rate Swap, 08/25/25 | 1-day SOFR, 5.09% | Quarterly | 4.13% | Semi-Annual | UBS AG | 08/23/23 | 4.13% | USD | 95,948 | (1,142,127) | |
2-Year Interest Rate Swap, 08/26/25 | 1-day SOFR, 5.09% | Quarterly | 4.18% | Semi-Annual | BNP Paribas S.A. | 08/24/23 | 4.18% | USD | 184,516 | (2,030,054) | |
2-Year Interest Rate Swap, 09/02/25 | 1-day SOFR, 5.09% | Quarterly | 4.30% | Semi-Annual | JPMorgan Chase Bank N.A. | 08/31/23 | 4.30% | USD | 184,516 | (1,701,035) | |
2-Year Interest Rate Swap, 09/02/25 | 1-day SOFR, 5.09% | Quarterly | 4.43% | Semi-Annual | JPMorgan Chase Bank N.A. | 08/31/23 | 4.43% | USD | 184,517 | (1,377,040) | |
2-Year Interest Rate Swap, 09/07/25 | 1-day SOFR, 5.09% | Quarterly | 4.39% | Semi-Annual | JPMorgan Chase Bank N.A. | 09/05/23 | 4.39% | USD | 184,516 | (1,496,483) | |
2-Year Interest Rate Swap, 09/07/25 | 1-day SOFR, 5.09% | Quarterly | 4.61% | Semi-Annual | Barclays Bank PLC | 09/05/23 | 4.61% | USD | 184,517 | (1,015,200) | |
5-Year Interest Rate Swap, 06/16/29 | 1-day SOFR, 5.09% | Quarterly | 3.31% | Semi-Annual | Barclays Bank PLC | 06/14/24 | 3.31% | USD | 251,701 | (6,549,733) | |
10-Year Interest Rate Swap, 03/18/36 | 1-day SOFR, 5.09% | Quarterly | 3.02% | Semi-Annual | Goldman Sachs International | 03/16/26 | 3.02% | USD | 46,647 | (2,632,456) |
Paid by the Fund | Received by the Fund | ||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
10-Year Interest Rate Swap, 03/18/36 | 1-day SOFR, 5.09% | Quarterly | 3.12% | Semi-Annual | Goldman Sachs International | 03/16/26 | 3.12% | USD | 40,741 | $ (2,159,132) | |
10-Year Interest Rate Swap, 05/06/36 | 1-day SOFR, 5.09% | Quarterly | 3.05% | Semi-Annual | UBS AG | 05/04/26 | 3.05% | USD | 21,352 | (1,198,515) | |
(27,233,527) | |||||||||||
$ (36,743,751) |
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
CDX.NA.IG.39.V1 | 1.00% | Quarterly | 12/20/27 | USD | 9,099 | $ (136,037) | $ (123,357) | $ (12,680) | ||
ITRAXX.EUR.39.V1 | 1.00 | Quarterly | 06/20/28 | EUR | 17,284 | (229,164) | (141,459) | (87,705) | ||
ITRAXX.FINSR.39.V1 | 1.00 | Quarterly | 06/20/28 | EUR | 54,428 | (412,832) | 722,340 | (1,135,172) | ||
ITRAXX.XO.39.V1 | 5.00 | Quarterly | 06/20/28 | EUR | 15,133 | (683,804) | (357,056) | (326,748) | ||
$ (1,461,837) | $ 100,468 | $ (1,562,305) |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
CDX.NA.HY.40.V1 | 5.00% | Quarterly | 06/20/28 | B+ | USD | 116,703 | $ 3,470,255 | $ 2,167,873 | $ 1,302,382 |
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of agreement. |
Paid by the Fund | Received by the Fund | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||
Reference | Frequency | Rate | Frequency | ||||||||||
2.53% | At Termination | U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 06/28/33 | USD | 982 | $ 1,416 | $ — | $ 1,416 | ||||
2.45% | At Termination | U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 06/09/53 | USD | 9,507 | 20,309 | — | 20,309 | ||||
2.46% | At Termination | U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 06/09/53 | USD | 9,507 | (2,806) | — | (2,806) | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.77% | At Termination | 06/15/53 | EUR | 6,823 | 158,833 | — | 158,833 | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.77% | At Termination | 06/15/53 | EUR | 6,823 | 175,726 | — | 175,726 | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.73% | At Termination | 06/15/53 | EUR | 12,905 | 119,047 | — | 119,047 | ||||
2.42% | At Termination | U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 06/30/53 | USD | 19,075 | 126,864 | — | 126,864 | ||||
$ 599,389 | $ — | $ 599,389 |
Paid by the Fund | Received by the Fund | ||||||||||
Rate | Frequency | Rate | Frequency | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||
1-day Overnight Fed Funds Effective Rate, 5.08% | At Termination | 5.28% | At Termination | 07/26/23(a) | 09/20/23 | USD | 3,173,676 | $ (91,611) | $ — | $ (91,611) | |
1-day Overnight Fed Funds Effective Rate, 5.08% | At Termination | 5.28% | At Termination | 07/26/23(a) | 09/20/23 | USD | 3,146,257 | (105,329) | — | (105,329) | |
28-day MXIBTIIE, 11.50% | Monthly | 11.70% | Monthly | N/A | 02/12/24 | MXN | 241,928 | 31,821 | (103) | 31,924 | |
28-day MXIBTIIE, 11.50% | Monthly | 11.72% | Monthly | N/A | 02/14/24 | MXN | 144,274 | 20,374 | — | 20,374 | |
0.27% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 01/05/25 | JPY | 2,631,030 | (96,159) | — | (96,159) | |
0.20% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 02/03/25 | JPY | 1,750,064 | (44,377) | — | (44,377) | |
0.21% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 02/03/25 | JPY | 1,750,065 | (45,595) | — | (45,595) | |
3-month JIBAR, 8.50% | Quarterly | 7.20% | Quarterly | 03/20/24(a) | 03/20/25 | ZAR | 252,370 | (144,335) | — | (144,335) | |
9.84% | Monthly | 28-day MXIBTIIE, 11.50% | Monthly | N/A | 05/16/25 | MXN | 186,418 | 14,180 | — | 14,180 | |
4.62% | Quarterly | 3-month PRIBOR, 7.13% | Annual | 06/19/24(a) | 06/19/25 | CZK | 579,069 | (8,726) | — | (8,726) | |
1-day ESTR, 3.40% | At Termination | 3.30% | At Termination | 07/02/24(a) | 07/02/25 | EUR | 75,900 | (74,895) | (6,658) | (68,237) | |
1-day ESTR, 3.40% | At Termination | 3.40% | At Termination | 07/02/24(a) | 07/02/25 | EUR | 75,020 | (675) | 2,947 | (3,622) | |
3-month KWCDC, 3.75% | Quarterly | 3.19% | Quarterly | 09/20/23(a) | 09/20/26 | KRW | 12,458,201 | (107,717) | — | (107,717) |
Paid by the Fund | Received by the Fund | ||||||||||
Rate | Frequency | Rate | Frequency | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||
3-month KWCDC, 3.75% | Quarterly | 3.19% | Quarterly | 09/20/23(a) | 09/20/26 | KRW | 9,208,236 | $ (79,120) | $ — | $ (79,120) | |
3-month KWCDC, 3.75% | Quarterly | 3.33% | Quarterly | 09/20/23(a) | 09/20/26 | KRW | 4,958,603 | (27,639) | — | (27,639) | |
3-month KWCDC, 3.75% | Quarterly | 3.38% | Quarterly | 09/20/23(a) | 09/20/26 | KRW | 4,959,347 | (22,297) | — | (22,297) | |
3-month KWCDC, 3.75% | Quarterly | 3.39% | Quarterly | 09/20/23(a) | 09/20/26 | KRW | 4,959,347 | (22,030) | — | (22,030) | |
28-day MXIBTIIE, 11.50% | Monthly | 8.42% | Monthly | N/A | 01/20/28 | MXN | 104,450 | (8,400) | — | (8,400) | |
28-day MXIBTIIE, 11.50% | Monthly | 8.35% | Monthly | N/A | 04/28/28 | MXN | 60,636 | (2,587) | — | (2,587) | |
5.71% | Annual | 6-month WIBOR, 6.95% | Semi-Annual | 09/20/23(a) | 09/20/28 | PLN | 17,062 | (147,736) | — | (147,736) | |
6-month PRIBOR, 7.15% | Annual | 4.32% | Semi-Annual | 09/20/23(a) | 09/20/28 | CZK | 134,826 | 3,813 | — | 3,813 | |
6-month PRIBOR, 7.15% | Annual | 4.55% | Semi-Annual | 09/20/23(a) | 09/20/28 | CZK | 114,885 | 55,312 | — | 55,312 | |
6-month EURIBOR, 3.90% | Annual | 2.44% | Semi-Annual | 07/14/27(a) | 07/14/32 | EUR | 9,100 | (105,653) | — | (105,653) | |
0.89% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 02/15/33 | JPY | 1,765,619 | (435,738) | — | (435,738) | |
0.90% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 02/15/33 | JPY | 3,531,237 | (907,557) | — | (907,557) | |
0.90% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 02/15/33 | JPY | 1,765,619 | (450,772) | — | (450,772) | |
0.92% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 02/15/33 | JPY | 5,114,206 | (1,375,357) | — | (1,375,357) | |
3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | 3.30% | Semi-Annual | N/A | 03/27/33 | CAD | 1,389 | (47,010) | 150 | (47,160) | |
3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | 3.35% | Semi-Annual | N/A | 03/30/33 | CAD | 1,411 | (43,269) | (2,827) | (40,442) | |
3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | 3.28% | Semi-Annual | N/A | 04/25/33 | CAD | 4,175 | (141,984) | (13,443) | (128,541) | |
3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | 3.45% | Semi-Annual | N/A | 05/09/33 | CAD | 1,415 | (32,867) | 45 | (32,912) | |
3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | 3.37% | Semi-Annual | N/A | 05/12/33 | CAD | 1,438 | (40,355) | (35) | (40,320) | |
3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | 3.43% | Semi-Annual | N/A | 05/15/33 | CAD | 4,308 | (102,163) | (20,575) | (81,588) | |
3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | 3.77% | Semi-Annual | N/A | 05/30/33 | CAD | 1,467 | (2,614) | (650) | (1,964) |
Paid by the Fund | Received by the Fund | ||||||||||
Rate | Frequency | Rate | Frequency | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||
3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | 3.68% | Semi-Annual | N/A | 05/31/33 | CAD | 1,484 | $ (10,993) | $ 41 | $ (11,034) | |
3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | 3.68% | Semi-Annual | N/A | 06/01/33 | CAD | 1,452 | (11,078) | 41 | (11,119) | |
3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | 3.92% | Semi-Annual | N/A | 06/13/33 | CAD | 273 | 2,143 | 8 | 2,135 | |
1-day CORRA, 4.75% | Semi-Annual | 3.54% | Semi-Annual | N/A | 06/15/33 | CAD | 145,751 | 761,061 | — | 761,061 | |
1-day CORRA, 4.75% | Semi-Annual | 3.54% | Semi-Annual | N/A | 06/22/33 | CAD | 29,656 | 160,955 | — | 160,955 | |
1-day SONIA, 4.93% | Annual | 4.28% | Annual | N/A | 06/27/33 | GBP | 45,108 | (425,240) | 2,038 | (427,278) | |
3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | 3.86% | Semi-Annual | N/A | 06/29/33 | CAD | 1,460 | 5,543 | — | 5,543 | |
3.24% | Annual | 1-day SOFR, 4.30% | Annual | 07/01/25(a) | 07/01/35 | USD | 5,000 | (11,138) | 2,578 | (13,716) | |
0.86% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 05/09/52 | JPY | 39,072 | 11,780 | — | 11,780 | |
0.88% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 05/23/52 | JPY | 58,849 | 15,513 | — | 15,513 | |
0.85% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 05/26/52 | JPY | 48,525 | 15,403 | — | 15,403 | |
0.79% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 05/27/52 | JPY | 48,523 | 20,464 | — | 20,464 | |
0.99% | Annual | 1-day TONA, (0.08)% | Annual | N/A | 07/26/52 | JPY | 125,000 | 1,378 | — | 1,378 | |
1-day TONA, (0.08)% | Annual | 1.11% | Annual | N/A | 09/12/52 | JPY | 100,050 | 19,225 | — | 19,225 | |
1-day TONA, (0.08)% | Annual | 1.13% | Annual | N/A | 09/12/52 | JPY | 100,050 | 23,586 | — | 23,586 | |
3.37% | Semi-Annual | 3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | N/A | 03/27/53 | CAD | 602 | 17,036 | (105) | 17,141 | |
3.40% | Semi-Annual | 3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | N/A | 03/30/53 | CAD | 612 | 14,662 | 1,557 | 13,105 | |
3.32% | Semi-Annual | 3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | N/A | 04/25/53 | CAD | 1,809 | 61,569 | 11,029 | 50,540 | |
3.49% | Semi-Annual | 3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | N/A | 05/09/53 | CAD | 613 | 6,171 | (19) | 6,190 | |
3.38% | Semi-Annual | 3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | N/A | 05/12/53 | CAD | 623 | 15,770 | (537) | 16,307 |
Paid by the Fund | Received by the Fund | |||||||||||||
Rate | Frequency | Rate | Frequency | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||
3.44% | Semi-Annual | 3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | N/A | 05/15/53 | CAD | 1,867 | $ 29,780 | $ 8,201 | $ 21,579 | ||||
3.66% | Semi-Annual | 3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | N/A | 05/30/53 | CAD | 636 | (10,133) | 1,872 | (12,005) | ||||
3.58% | Semi-Annual | 3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | N/A | 05/31/53 | CAD | 643 | (2,932) | (19) | (2,913) | ||||
3.57% | Semi-Annual | 3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | N/A | 06/01/53 | CAD | 631 | (1,441) | (19) | (1,422) | ||||
3.77% | Semi-Annual | 3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | N/A | 06/13/53 | CAD | 118 | (3,740) | (4) | (3,736) | ||||
2.49% | Annual | 1-day SOFR, 4.30% | Annual | 06/15/43(a) | 06/15/53 | USD | 2,102 | (5,601) | — | (5,601) | ||||
3.40% | Semi-Annual | 1-day CORRA, 4.75% | Semi-Annual | N/A | 06/15/53 | CAD | 64,778 | (1,749,349) | — | (1,749,349) | ||||
3.36% | Semi-Annual | 1-day CORRA, 4.75% | Semi-Annual | N/A | 06/22/53 | CAD | 12,975 | (277,431) | — | (277,431) | ||||
3.75% | Annual | 1-day SONIA, 4.93% | Annual | N/A | 06/27/53 | GBP | 19,753 | 389,704 | (1,618) | 391,322 | ||||
3.64% | Semi-Annual | 3-month Canadian Bankers Acceptances, 5.40% | Semi-Annual | N/A | 06/29/53 | CAD | 635 | (8,580) | — | (8,580) | ||||
$ (5,534,980) | $ (16,105) | $ (5,518,875) |
(a) | Forward Swap. |
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
DISH DBS Corp. | 5.00% | Quarterly | Goldman Sachs International | 12/20/23 | USD | 2,168 | $ 27,425 | $ 10,413 | $ 17,012 |
KB Home | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 2,138 | (50,661) | (16,739) | (33,922) |
Realogy Group LLC | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 1,069 | (3,266) | (978) | (2,288) |
RR Donnelley & Sons Co. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 1,070 | (17,551) | 5,061 | (22,612) |
Staples, Inc. | 5.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/23 | USD | 1,000 | 8,262 | 6,489 | 1,773 |
Beazer Homes U.S.A., Inc. | 5.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 1,199 | (52,278) | (15,493) | (36,785) |
Beazer Homes U.S.A., Inc. | 5.00 | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 1,000 | (43,602) | (11,410) | (32,192) |
Beazer Homes U.S.A., Inc. | 5.00 | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 1,103 | (48,092) | (13,580) | (34,512) |
Pitney Bowes, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 1,025 | 49,649 | 64,509 | (14,860) |
Pitney Bowes, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 320 | 15,500 | 20,712 | (5,212) |
Staples, Inc. | 5.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 315 | 11,497 | 17,753 | (6,256) |
Staples, Inc. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 525 | 19,162 | 25,109 | (5,947) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 1,000 | (44,536) | (2,277) | (42,259) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,175 | (52,551) | (8,207) | (44,344) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,150 | (51,434) | (8,033) | (43,401) |
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
Tenet Healthcare Corp. | 5.00% | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,175 | $ (52,552) | $ (8,215) | $ (44,337) | ||
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,223 | (54,467) | (3,369) | (51,098) | ||
Tenet Healthcare Corp. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/24 | USD | 500 | (22,362) | (1,333) | (21,029) | ||
Xerox Corp. | 1.00 | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 1,000 | 3,336 | 18,360 | (15,024) | ||
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/24 | USD | 750 | (41,317) | 18,633 | (59,950) | ||
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/24 | USD | 1,680 | (88,092) | 41,354 | (129,446) | ||
Boeing Co. | 1.00 | Quarterly | BNP Paribas S.A. | 12/20/24 | USD | 2,250 | (15,882) | (13,183) | (2,699) | ||
Boeing Co. | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/24 | USD | 5,950 | (41,997) | (20,635) | (21,362) | ||
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,216 | (28,650) | 23,810 | (52,460) | ||
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,215 | (28,642) | 23,802 | (52,444) | ||
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,220 | (28,686) | 23,839 | (52,525) | ||
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,215 | (28,641) | 23,349 | (51,990) | ||
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 4,500 | (40,089) | 32,682 | (72,771) | ||
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 1,948 | (17,354) | 14,148 | (31,502) | ||
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/25 | USD | 2,540 | (164,505) | 124,063 | (288,568) | ||
Pitney Bowes, Inc. | 1.00 | Quarterly | Goldman Sachs International | 06/20/25 | USD | 500 | 73,902 | 102,495 | (28,593) | ||
Southwest Airlines Co. | 1.00 | Quarterly | Goldman Sachs International | 12/20/26 | USD | 5,000 | (48,811) | (3,286) | (45,525) | ||
Abbot Laboratories | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | USD | 7,786 | (177,878) | (143,871) | (34,007) | ||
Caterpillar, Inc. | 1.00 | Quarterly | Deutsche Bank AG | 06/20/27 | USD | 4,300 | (115,590) | (82,083) | (33,507) | ||
General Electric Co. | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/27 | USD | 706 | (7,872) | 11,759 | (19,631) | ||
General Electric Co. | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/27 | USD | 706 | (7,872) | 11,759 | (19,631) | ||
General Electric Co. | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/27 | USD | 943 | (10,517) | 14,758 | (25,275) | ||
BorgWarner, Inc. | 1.00 | Quarterly | BNP Paribas S.A. | 12/20/27 | USD | 1,000 | (16,188) | 12,415 | (28,603) | ||
Pitney Bowes, Inc. | 1.00 | Quarterly | Bank of America N.A. | 12/20/27 | USD | 620 | 215,179 | 147,181 | 67,998 | ||
Pitney Bowes, Inc. | 1.00 | Quarterly | Citibank N.A. | 12/20/27 | USD | 250 | 86,766 | 61,037 | 25,729 | ||
Pitney Bowes, Inc. | 1.00 | Quarterly | Citibank N.A. | 12/20/27 | USD | 380 | 131,884 | 95,591 | 36,293 | ||
Pitney Bowes, Inc. | 1.00 | Quarterly | Goldman Sachs International | 12/20/27 | USD | 780 | 270,710 | 243,374 | 27,336 | ||
Simon Property Group LP | 1.00 | Quarterly | Goldman Sachs International | 12/20/27 | USD | 3,640 | (18,731) | 50,576 | (69,307) | ||
Credit Suisse Group AG | 1.00 | Quarterly | Barclays Bank PLC | 06/20/28 | EUR | 1,350 | (850) | 86,000 | (86,850) | ||
Credit Suisse Group AG | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/28 | EUR | 7,000 | (4,405) | 248,352 | (252,757) | ||
Deutsche Bank AG | 1.00 | Quarterly | BNP Paribas S.A. | 06/20/28 | EUR | 4,400 | 29,819 | 359,927 | (330,108) | ||
Deutsche Bank AG | 1.00 | Quarterly | Goldman Sachs International | 06/20/28 | EUR | 4,400 | 29,818 | 252,160 | (222,342) | ||
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 06/20/28 | USD | 8,286 | 271,010 | 571,378 | (300,368) | ||
Republic of Colombia | 1.00 | Quarterly | Barclays Bank PLC | 06/20/28 | USD | 7,277 | 416,278 | 695,717 | (279,439) | ||
Republic of Colombia | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/28 | USD | 2,823 | 161,498 | 164,857 | (3,359) | ||
United Mexican States | 1.00 | Quarterly | Barclays Bank PLC | 06/20/28 | USD | 6,624 | 6,108 | 120,570 | (114,462) | ||
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 3,030 | 5,697 | 31,802 | (26,105) | ||
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 64 | 119 | 732 | (613) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Citigroup Global Markets, Inc. | 09/17/58 | USD | 2,080 | 495,386 | 65,586 | 429,800 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Goldman Sachs International | 09/17/58 | USD | 3,544 | 844,063 | 263,349 | 580,714 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 204 | 48,586 | 10,532 | 38,054 | ||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 3 | — | 1 | (1) | ||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 8 | (1) | (2) | 1 | ||
$ 1,795,732 | $ 3,763,300 | $ (1,967,568) |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
Vistra Operations Co. LLC | 5.00% | Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | BB | USD | 1,015 | $ 70,586 | $ 44,181 | $ 26,405 | ||
CMBX.NA.7.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 01/17/47 | AAA | USD | 2,807 | 343 | (71,630) | 71,973 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Deutsche Bank AG | 09/17/58 | N/R | USD | 906 | (215,779) | (96,718) | (119,061) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Goldman Sachs International | 09/17/58 | N/R | USD | 1,310 | (311,999) | (136,197) | (175,802) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 09/17/58 | N/R | USD | 121 | (28,818) | (25,456) | (3,362) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,000 | (238,167) | (245,729) | 7,562 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,060 | (252,457) | (47,791) | (204,666) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 231 | (55,017) | (12,521) | (42,496) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,200 | (285,800) | (1,389) | (284,411) | ||
CMBX.NA.10.A | 2.00 | Monthly | Deutsche Bank AG | 11/17/59 | BBB+ | USD | 3,340 | (322,905) | (129,737) | (193,168) | ||
CMBX.NA.10.A | 2.00 | Monthly | Deutsche Bank AG | 11/17/59 | BBB+ | USD | 1,670 | (161,453) | (65,959) | (95,494) | ||
CMBX.NA.10.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 11/17/59 | BB- | USD | 60 | (18,190) | (4,612) | (13,578) | ||
CMBX.NA.14.BBB- | 3.00 | Monthly | Goldman Sachs International | 12/16/72 | N/R | USD | 2,070 | (598,270) | (356,699) | (241,571) | ||
$ (2,417,926) | $ (1,150,257) | $ (1,267,669) |
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of agreement. |
Paid by the Fund | Received by the Fund | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||
12.37% | At Termination | 1-day COOIS, 12.27% | At Termination | Citibank N.A. | 04/18/24 | COP | 44,297,919 | $ (63,844) | $ — | $ (63,844) | ||||||
1-day BZDIOVER, 0.05% | At Termination | 12.97% | At Termination | Goldman Sachs International | 07/01/24 | BRL | 15,561 | 32,546 | — | 32,546 | ||||||
1-day BZDIOVER, 0.05% | At Termination | 12.97% | At Termination | Citibank N.A. | 07/01/24 | BRL | 25,732 | 54,153 | — | 54,153 | ||||||
1-day BZDIOVER, 0.05% | At Termination | 12.60% | At Termination | Bank of America N.A. | 07/01/24 | BRL | 44,283 | 56,517 | — | 56,517 | ||||||
11.90% | At Termination | 1-day COOIS, 12.27% | At Termination | Bank of America N.A. | 10/19/24 | COP | 22,971,880 | (38,322) | — | (38,322) | ||||||
1-day BZDIOVER, 0.05% | At Termination | 11.87% | At Termination | Bank of America N.A. | 01/02/25 | BRL | 49,590 | 135,131 | — | 135,131 | ||||||
1-day BZDIOVER, 0.05% | At Termination | 11.92% | At Termination | Citibank N.A. | 01/02/26 | BRL | 46,385 | 397,745 | — | 397,745 | ||||||
1-day BZDIOVER, 0.05% | At Termination | 11.75% | At Termination | Citibank N.A. | 01/02/26 | BRL | 31,817 | 243,252 | — | 243,252 | ||||||
1-day BZDIOVER, 0.05% | At Termination | 11.80% | At Termination | Citibank N.A. | 01/02/26 | BRL | 32,055 | 255,247 | — | 255,247 | ||||||
1-day BZDIOVER, 0.05% | At Termination | 11.38% | At Termination | Bank of America N.A. | 01/02/26 | BRL | 28,049 | 165,141 | — | 165,141 | ||||||
$1,237,566 | $— | $1,237,566 |
Paid by the Fund | Received by the Fund | |||||||||||||
Reference | Frequency | Rate | Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||
Western Alliance | At Termination | 1-day SOFR minus 5.50%, x.xx% | At Termination | Citibank N.A. | 07/05/23 | USD | 245 | $ 6,159 | $ — | $ 6,159 | ||||
0.00% | At Termination | Goldman Sachs U.S. Series 4 Excess Return Strategy | At Termination | Goldman Sachs Bank USA | 08/15/23 | USD | 4,441 | 151,753 | — | 151,753 | ||||
0.00% | At Termination | Goldman Sachs Systematic Skew U.S. Series 10 Excess Return Strategy | At Termination | Goldman Sachs International | 12/07/23 | USD | 4,752 | 7,387 | — | 7,387 | ||||
$ 165,299 | $ — | $ 165,299 |
Reference Entity | Payment Frequency | Counterparty(e) | Termination Date | Net Notional | Accrued Unrealized Appreciation (Depreciation) | Net Value of Reference Entity | Gross Notional Amount Net Asset Percentage | |
Equity Securities Long/Short | Monthly | JPMorgan Chase Bank N.A.(a) | 02/08/24 | $ (17,183,535) | $ 1,311,456(b) | $ (15,838,277) | 0.1% | |
Monthly | Merrill Lynch International(c) | 05/15/24 | (58,055,844) | 2,664(d) | (58,154,338) | 0.3 | ||
$ 1,314,120 | $ (73,992,615) |
(b) | Amount includes $(33,801) of net dividends and financing fees. |
(d) | Amount includes $101,158 of net dividends and financing fees. |
(e) | The Master Portfolio receives the total return on a portfolio of long positions underlying the total return swap. The Master Portfolio pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Master Portfolio pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest: | ||||
(a) | (c) | |||
Range: | 15 - 269 basis points | 15 - 80 basis points | ||
Benchmarks: | USD Overnight Bank Funding Rate | USD Overnight Bank Funding Rate | ||
Level 1 | Level 2 | Level 3 | Total | |
Assets | ||||
Investments | ||||
Long-Term Investments | ||||
Asset-Backed Securities | $ — | $ 1,714,277,948 | $ 19,651,365 | $ 1,733,929,313 |
Common Stocks | ||||
Aerospace & Defense | — | 134,258 | — | 134,258 |
Level 1 | Level 2 | Level 3 | Total | ||||
Common Stocks (continued) | |||||||
Banks | $ 1,587,078 | $ — | $ — | $ 1,587,078 | |||
Capital Markets | 1,828,801 | — | 122,236 | 1,951,037 | |||
Chemicals | 1,515,168 | — | — | 1,515,168 | |||
Energy Equipment & Services | 4,491,038 | — | — | 4,491,038 | |||
Entertainment | 1,012,492 | 2,245,451 | — | 3,257,943 | |||
Financial Services | 1,289,446 | — | 49,221 | 1,338,667 | |||
Hotel & Resort REITs | 5,590,359 | 201,767 | — | 5,792,126 | |||
Hotels, Restaurants & Leisure | 733,968 | — | — | 733,968 | |||
Interactive Media & Services | 4,410,295 | — | — | 4,410,295 | |||
IT Services | 123,952 | — | — | 123,952 | |||
Machinery | 814,460 | 921,237 | — | 1,735,697 | |||
Metals & Mining | 28,573 | — | — | 28,573 | |||
Oil, Gas & Consumable Fuels | 8,792,067 | — | — | 8,792,067 | |||
Real Estate Management & Development | 3,017,501 | — | — | 3,017,501 | |||
Software | 356,514 | 572,470 | — | 928,984 | |||
Corporate Bonds | — | 4,438,149,734 | 88,432,817 | 4,526,582,551 | |||
Fixed Rate Loan Interests | — | 31,968 | 10,858,929 | 10,890,897 | |||
Floating Rate Loan Interests | — | 118,814,039 | 219,968,707 | 338,782,746 | |||
Foreign Agency Obligations | — | 36,857,095 | — | 36,857,095 | |||
Foreign Government Obligations | — | 228,639,675 | — | 228,639,675 | |||
Investment Companies | 47,963,900 | — | — | 47,963,900 | |||
Municipal Bonds | — | 114,871,831 | — | 114,871,831 | |||
Non-Agency Mortgage-Backed Securities | — | 1,482,356,196 | 91,256,006 | 1,573,612,202 | |||
Preferred Securities | — | 13,342,477 | 33,752,519 | 47,094,996 | |||
U.S. Government Sponsored Agency Securities | — | 9,558,250,259 | 1,563,591 | 9,559,813,850 | |||
U.S. Treasury Obligations | — | 3,548,635,098 | — | 3,548,635,098 | |||
Warrants | |||||||
Automobile Components | 7,540 | — | — | 7,540 | |||
Automobiles | 46,611 | 6,574 | — | 53,185 | |||
Capital Markets | 22,285 | — | 19,310 | 41,595 | |||
Consumer Staples Distribution & Retail | 62,455 | — | — | 62,455 | |||
Electrical Equipment | — | — | 340,394 | 340,394 | |||
Financial Services | 171 | — | 8,789 | 8,960 | |||
Hotels, Restaurants & Leisure | — | — | 1 | 1 | |||
IT Services | — | 61,054 | — | 61,054 | |||
Machinery | 9,388 | 3,650 | — | 13,038 | |||
Oil, Gas & Consumable Fuels | 26,519 | — | — | 26,519 | |||
Real Estate Management & Development | 2,255 | — | — | 2,255 | |||
Software | 222,694 | — | 1,451,696 | 1,674,390 | |||
Short-Term Securities | |||||||
Commercial Paper | — | 11,145,049 | — | 11,145,049 | |||
Money Market Funds | 1,162,648,648 | — | — | 1,162,648,648 | |||
Options Purchased | |||||||
Equity Contracts | 3,205,581 | — | — | 3,205,581 | |||
Foreign Currency Exchange Contracts | — | 1,057,468 | — | 1,057,468 | |||
Interest Rate Contracts | 81,450,265 | 8,851,046 | — | 90,301,311 | |||
Other Contracts | — | — | — | 0 | |||
Liabilities | |||||||
TBA Sale Commitments | — | (3,468,104,574) | — | (3,468,104,574) | |||
Unfunded Floating Rate Loan Interests (a) | — | (10,807) | (199,964) | (210,771) | |||
$ 1,331,260,024 | $ 17,811,310,963 | $ 467,275,617 | 19,609,846,604 | ||||
Investments valued at NAV(b) | 7,968,873 | ||||||
$ 19,617,815,477 | |||||||
Derivative Financial Instruments(c) | |||||||
Assets | |||||||
Credit Contracts | $ — | $ 2,633,032 | $ — | $ 2,633,032 | |||
Equity Contracts | 442,758 | 1,479,419 | — | 1,922,177 | |||
Foreign Currency Exchange Contracts | — | 2,399,588 | — | 2,399,588 | |||
Interest Rate Contracts | 1,473,968 | 3,018,562 | — | 4,492,530 | |||
Other Contracts | — | 602,195 | — | 602,195 |
Level 1 | Level 2 | Level 3 | Total | ||||
Liabilities | |||||||
Credit Contracts | $ — | $ (6,128,192) | $ — | $ (6,128,192) | |||
Equity Contracts | (3,628,455) | — | — | (3,628,455) | |||
Foreign Currency Exchange Contracts | — | (5,067,730) | — | (5,067,730) | |||
Interest Rate Contracts | (132,011,959) | (44,043,622) | — | (176,055,581) | |||
Other Contracts | — | (2,806) | — | (2,806) | |||
$ (133,723,688) | $ (45,109,554) | $ — | $ (178,833,242) |
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Certain investments of the Master Portfolio were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
Asset-Backed Securities | Common Stocks | Corporate Bonds | Fixed Rate Loan Interests | Floating Rate Loan Interests | Non-Agency Mortgage-Backed Securities | ||||||
Assets | |||||||||||
Opening Balance, as of September 30, 2022 | $ 68,815,237 | $ 348,874 | $ 43,313,634 | $ — | $ 263,305,796 | $ 213,991,954 | |||||
Transfers into Level 3 | 1,421,625 | — | 20,092,362 | — | 15,225,786 | 9,863,122 | |||||
Transfers out of Level 3 | (32,345,682) | (209,580) | — | — | (16,456,326) | (136,435,604) | |||||
Other(a) | (15,633,983) | — | — | 20,267,812 | (20,267,812) | 15,633,983 | |||||
Accrued discounts/premiums | 322 | — | 247,275 | 45,313 | 194,086 | 562,292 | |||||
Net realized gain (loss) | 1,772 | — | 16,313 | 48,030 | (2,583,302) | (135,693) | |||||
Net change in unrealized appreciation (depreciation)(b) | (790,757) | 32,163 | 2,346,958 | (2,733,419) | (2,514,901) | (4,344,111) | |||||
Purchases | — | — | 25,265,933 | — | 34,544,780 | 2,814,151 | |||||
Sales | (1,817,169) | — | (2,849,658) | (6,768,807) | (51,479,400) | (10,694,088) | |||||
Closing Balance, as of June 30, 2023 | $ 19,651,365 | $ 171,457 | $ 88,432,817 | $ 10,858,929 | $ 219,968,707 | $ 91,256,006 | |||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(b) | $ (814,712) | $ 32,163 | $ 2,346,958 | $ (2,733,419) | $ (3,901,362) | $ (4,337,715) |
Preferred Securities | Rights | U.S. Government Sponsored Agency Securities | Warrants | Total | |||||
Assets | |||||||||
Opening Balance, as of September 30, 2022 | $ 18,825,589 | $ 4,291 | $ 4,460,883 | $ 959,745 | $ 614,026,003 | ||||
Transfers into Level 3 | — | — | 1,679,398 | — | 48,282,293 | ||||
Transfers out of Level 3 | — | — | (4,034,487) | (28,179) | (189,509,858) | ||||
Other(a) | — | (4,291) | — | 4,291 | — | ||||
Accrued discounts/premiums | — | — | (181,654) | — | 867,634 | ||||
Net realized gain (loss) | — | — | (119,333) | — | (2,772,213) | ||||
Net change in unrealized appreciation (depreciation)(b) | (822,114) | — | 161,972 | 884,333 | (7,779,876) | ||||
Purchases | 15,749,044 | — | — | — | 78,373,908 | ||||
Sales | — | — | (403,188) | — | (74,012,310) | ||||
Closing Balance, as of June 30, 2023 | $ 33,752,519 | $ — | $ 1,563,591 | $ 1,820,190 | $ 467,475,581 | ||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(b) | $ (822,114) | $ — | $ 6,361 | $ 884,333 | $ (9,339,507) |
Unfunded Floating Rate Loan Interests | |
Liabilities | |
Opening Balance, as of September 30, 2022 | $ (384,063) |
Transfers into Level 3 | — |
Transfers out of Level 3 | 12,179 |
Accrued discounts/premiums | — |
Net realized gain (loss) | — |
Net change in unrealized appreciation (depreciation)(b) | 171,920 |
Purchases | — |
Sales | — |
Closing Balance, as of June 30, 2023 | $ (199,964) |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(b) | $ 49,432 |
(a) | Certain Level 3 investments were re-classified between Asset-Backed Securities and Non-Agency Mortgage-Backed Securities, between Fixed Rate Loan Interests and Floating Rate Loan Interests and between Rights and Warrants. |
(b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023, is generally due to investments no longer held or categorized as Level 3 at period end. |
Foreign Currency Exchange Contracts | |||
Assets | Liabilities | ||
Opening Balance, as of September 30, 2022 | $ 2,680,210 | $ — | |
Transfers into Level 3 | — | — | |
Transfers out of Level 3 | — | — | |
Accrued discounts/premiums | — | — | |
Net realized gain (loss) | (3,816,474) | — | |
Net change in unrealized appreciation (depreciation)(a) | 1,136,264 | — | |
Purchases | — | — | |
Issues | — | — | |
Sales | — | — | |
Settlements | — | — | |
Closing Balance, as of June 30, 2023 | $ — | $ — | |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(a) | $ — | $ — |
(a) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023, is generally due to investments no longer held or categorized as Level 3 at period end. |
Value | Valuation Approach | Unobservable Inputs | Range of Unobservable Inputs Utilized(a) | Weighted Average of Unobservable Inputs Based on Fair Value | |
Assets | |||||
Asset-Backed Securities | $ 18,537,148 | Income | Discount Rate | 9% | — |
Common Stocks | 171,457 | Market | Volatility Time to Exit | 51% - 58% 1.4 - 1.6 years | 56% 1.5 years |
Corporate Bonds(b) | 82,124,657 | Income | Discount Rate | 6% - 35% | 18% |
Floating Rate Loan Interests(c) | 205,809,820 | Income | Discount Rate Credit Spread Estimated Recovery Value | 11% - 22% 321 - 632 years 50% | 14% 441 — |
Preferred Stocks | 33,752,520 | Income Market | Discount Rate Revenue Multiple Volatility Time to Exit | 13% - 15% 10.00x - 15.00x 90% 3 years | 13% 11.19x — — |
Warrants | 1,820,180 | Market | Revenue Multiple Volatility Time to Exit | 3.75x - 10.00x 44% - 60% 0.5 - 0.7 years | 8.81x 59% 0.5 years |
$ 342,215,782 |
(a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
(b) | For the period end June 30, 2023, the valuation technique for investments classified as Corporate Bonds amounting to $6,490,546 changed to a Discount Cash Flow approach. The investments were previously valued utilizing a recent transaction. The change was due to consideration of the information that was available at the time the investments were valued. |
(c) | For the period end June 30, 2023, the valuation technique for investments classified as Floating Rate Loan Interests amounting to $12,617,808 changed to a Discount Cash Flow approach. The investments were previously valued utilizing a recent transaction. The change was due to consideration of the information that was available at the time the investments were valued. |
Currency Abbreviation | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
CNH | Chinese Yuan Offshore |
COP | Colombian Peso |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
THB | Thai Baht |
TWD | Taiwan New Dollar |
USD | United States Dollar |
ZAR | South African Rand |
Portfolio Abbreviation | |
ABS | Asset-Backed Security |
BZDIOVER | Overnight Brazil CETIP - Interbank Rate |
CDI | CREST Depository Interest |
CLO | Collateralized Loan Obligation |
CORRA | Canadian OvernightRepo Rate Average |
DAC | Designated Activity Co. |
ESTR | Euro Short-Term Rate |
ETF | Exchange-Traded Fund |
EURIBOR | Euro Interbank Offered Rate |
FKA | Formally Known As |
GO | General Obligation Bonds |
HFA | Housing Finance Agency |
IO | Interest Only |
JIBAR | Johannesburg Interbank Average Rate |
LIBOR | London Interbank Offered Rate |
LP | Limited Partnership |
MXIBTIIE | Mexico Interbank TIIE 28-Day |
OTC | Over-the-Counter |
PIK | Payment-in-Kind |
PRIBOR | Prague Inter Bank Offered Rate |
RB | Revenue Bonds |
REMIC | Real Estate Mortgage Investment Conduit |
S&P | Standard & Poor’s |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
SPDR | Standard & Poor’s Depository Receipt |
TBA | To-be-Announced |
TONA | Tokyo Overnight Average Rate |
WIBOR | Warsaw Interbank Offer Rate |