Principal Amount | Fair Value | |
Repurchase Agreements — (continued) | ||
$ 31,077,187 | Undivided interest of 82.14% in a repurchase agreement (principal amount/value $37,884,479 with a maturity value of $37,906,873) with Mizuho Securities (USA) LLC, 5.32%, dated 3/28/24 to be repurchased at $31,077,187 on 4/1/24 collateralized by U.S. Treasury securities, 0.25% - 2.88%, 6/15/24 - 5/15/32, with a value of $38,642,182.(o) | $ 31,077,187 |
124,308,748 | ||
TOTAL SHORT TERM INVESTMENTS — 9.36% (Cost $165,258,205) | $165,258,205 | |
TOTAL INVESTMENTS — 105.63% (Cost $1,962,559,988) | $1,864,504,094 | |
OTHER ASSETS & LIABILITIES, NET — (5.63)% | $(99,327,933) | |
TOTAL NET ASSETS — 100.00% | $1,765,176,161 |
(a) | Amount is stated in U.S. dollars unless otherwise noted. |
(b) | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. |
(c) | Adjustable rate security; interest rate is subject to change. Interest rate shown reflects the rate in effect at March 28, 2024. |
(d) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(e) | Step bond; a zero coupon bond that converts to a fixed rate or variable interest rate at a designated future date. Rate disclosed represents effective yield at March 28, 2024. Maturity date disclosed represents final maturity date. |
(f) | All or a portion of the security is on loan at March 28, 2024. |
(g) | Security has no contractual maturity date and pays an indefinite stream of interest. |
(h) | Security in default. |
(i) | Security is a payment-in-kind bond (PIK); income may be received in cash or additional securities at the discretion of the issuer. |
(j) | Zero coupon bond; the interest rate shown is the effective yield on date of purchase. |
(k) | Principal amount is stated in 100 Mexican Peso Units. |
(l) | All or a portion of the security has been segregated to cover initial margin requirements on open futures contracts. |
(m) | Non-income producing security. |
(n) | Represents less than 0.005% of net assets. |
(o) | Collateral received for securities on loan. |
LP | Limited Partnership |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate is the secured interbank overnight interest rate and reference rate. |
At March 28, 2024 the Fund held the following outstanding exchange traded futures contracts: | |||||
Description | Number of Contracts | Notional Amount (000) | Expiration Date | Fair Value and Net Unrealized Appreciation/ (Depreciation) | |
Short | |||||
U.S. 10 Year Treasury Ultra Futures | 1,643 | USD | 188,303 | Jun 2024 | $(873,259) |
U.S. 5 Year Treasury Note Futures | 1,062 | USD | 113,651 | Jun 2024 | 600,998 |
At March 28, 2024 the Fund held the following outstanding exchange traded futures contracts: | |||||
Description | Number of Contracts | Notional Amount (000) | Expiration Date | Fair Value and Net Unrealized Appreciation/ (Depreciation) | |
Long | |||||
U.S. 10 Year Treasury Note Futures | 868 | USD | 96,172 | Jun 2024 | $578,000 |
U.S. 2 Year Treasury Note Futures | 121 | USD | 24,742 | Jun 2024 | (24,656) |
U.S. Long Bond Futures | 1,724 | USD | 207,634 | Jun 2024 | 2,203,537 |
U.S. Ultra Bond Futures | 372 | USD | 47,988 | Jun 2024 | 513,743 |
Net Appreciation | $2,998,363 |
Currency Abbreviations | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
EUR | Euro Dollar | |
GBP | British Pound | |
IDR | Indonesian Rupiah | |
MXN | Mexican Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
USD | U.S. Dollar | |
ZAR | South African Rand |
Principal Amount | Fair Value | |
U.S. Treasury Bonds and Notes — (continued) | ||
$ 22,755,192(f) | 0.38%, 01/15/2027 | $ 21,707,759 |
94,055,112(f) | 1.63%, 10/15/2027 | 93,164,320 |
9,633,414(f) | 0.50%, 01/15/2028 | 9,116,570 |
18,826,563(f) | 2.38%, 10/15/2028 | 19,265,968 |
30,465,712(f) | 0.13%, 01/15/2030 | 27,589,281 |
31,131,690(f) | 0.13%, 07/15/2030 | 28,049,439 |
10,786,537(f) | 1.13%, 01/15/2033 | 10,117,502 |
27,689,966(f) | 1.38%, 07/15/2033 | 26,578,190 |
32,114,559(f) | 1.75%, 01/15/2034 | 31,708,635 |
11,125,186(f) | 1.50%, 02/15/2053 | 9,711,618 |
TOTAL U.S. TREASURY BONDS AND NOTES — 84.84% (Cost $327,410,925) | $331,878,548 | |
SHORT TERM INVESTMENTS | ||
Repurchase Agreements — 0.05% | ||
195,020 | Undivided interest of 0.11% in a repurchase agreement (principal amount/value $177,916,671 with a maturity value of $178,022,037) with RBC Capital Markets Corp, 5.33%, dated 3/28/24 to be repurchased at $195,020 on 4/1/24 collateralized by U.S. Treasury securities and various U.S. Government Agency securities, 0.00% - 8.00%, 4/4/24 - 3/1/54, with a value of $181,475,005.(g) | 195,020 |
TOTAL SHORT TERM INVESTMENTS — 0.05% (Cost $195,020) | $195,020 | |
TOTAL INVESTMENTS — 99.08% (Cost $383,030,244) | $387,613,077 | |
OTHER ASSETS & LIABILITIES, NET — 0.92% | $3,590,608 | |
TOTAL NET ASSETS — 100.00% | $391,203,685 |
(a) | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. |
(b) | Adjustable rate security; interest rate is subject to change. Interest rate shown reflects the rate in effect at March 28, 2024. |
(c) | All or a portion of the security is on loan at March 28, 2024. |
(d) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(e) | Step bond; a zero coupon bond that converts to a fixed rate or variable interest rate at a designated future date. Rate disclosed represents effective yield at March 28, 2024. Maturity date disclosed represents final maturity date. |
(f) | Principal amount of the security is adjusted for inflation. |
(g) | Collateral received for securities on loan. |
SOFR | Secured Overnight Financing Rate is the secured interbank overnight interest rate and reference rate. |
TBA | To Be Announced |
TIPS | Treasury Inflation Protected Securities |
At March 28, 2024 the Fund held the following outstanding exchange traded futures contracts: | |||||
Description | Number of Contracts | Notional Amount (000) | Expiration Date | Fair Value and Net Unrealized Appreciation/ (Depreciation) | |
Long | |||||
U.S. 10 Year Treasury Note Futures | 261 | USD | 28,918 | Jun 2024 | $126,154 |
U.S. 2 Year Treasury Note Futures | 3 | USD | 613 | Jun 2024 | 563 |
U.S. 5 Year Treasury Note Futures | 229 | USD | 24,507 | Jun 2024 | 49,028 |
Short | |||||
U.S. 10 Year Treasury Ultra Futures | 37 | USD | 4,241 | Jun 2024 | (26,434) |
U.S. Long Bond Futures | 20 | USD | 2,409 | Jun 2024 | (19,533) |
U.S. Ultra Bond Futures | 148 | USD | 19,092 | Jun 2024 | (228,693) |
Net Depreciation | $(98,915) |
At March 28, 2024, the Fund held the following outstanding centrally cleared interest rate swaps: | |||||||
Rate Received by the Fund | Receive Frequency | Rate Paid by the Fund | Pay Frequency | Notional Amount (000) | Maturity Date | Net Unrealized Appreciation/ (Depreciation) | |
1-day SOFR | Annual | 2.68% | Annual | USD | 7,240 | 07/28/2032 | $437,397 |
2.91 | Annual | 1-day SOFR | Annual | USD | 18,940 | 07/28/2037 | (650,944) |
1-day SOFR | Annual | 2.08% | Annual | USD | 18,040 | 07/28/2047 | 470,229 |
3.39 | Annual | 1-day SOFR | Annual | USD | 24,050 | 05/10/2038 | (262,274) |
1-day SOFR | Annual | 2.56% | Annual | USD | 20,470 | 05/11/2053 | 445,711 |
4.31 | Annual | 1-day SOFR | Annual | USD | 7,130 | 10/05/2033 | 259,857 |
1-day SOFR | Annual | 3.61% | Annual | USD | 4,640 | 11/15/2053 | (205,762) |
3.73 | Annual | 1-day SOFR | Annual | USD | 3,500 | 11/28/2027 | 51,885 |
1-day SOFR | Annual | 3.51% | Annual | USD | 1,190 | 11/29/2053 | (23,637) |
3.85 | Annual | 1-day SOFR | Annual | USD | 7,480 | 11/15/2033 | 139,789 |
1-day SOFR | Annual | 3.98% | Annual | USD | 22,660 | 08/31/2028 | (241,101) |
Net Appreciation | $421,150 |
(a) | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. |
(b) | Non-income producing security. |
(c) | All or a portion of the security is on loan at March 28, 2024. |
(d) | Security is fair valued using significant unobservable inputs. |
(e) | Zero coupon bond; the interest rate shown is the effective yield on date of purchase. |
(f) | Collateral received for securities on loan. |
ADR | American Depositary Receipt |
ETF | Exchange Traded Fund |
REIT | Real Estate Investment Trust |
At March 28, 2024 the Fund held the following outstanding exchange traded futures contracts: | |||||
Description | Number of Contracts | Notional Amount (000) | Expiration Date | Fair Value and Net Unrealized Appreciation | |
Long | |||||
MSCI EAFE Index Futures | 46 | USD | 5,421 | Jun 2024 | $31,955 |
Net Appreciation | $31,955 |
At March 28, 2024 the Fund held the following over-the-counter (OTC) forward foreign currency contracts: | ||||||
Counterparty | Currency Purchased | Quantity of Currency Purchased | Currency Sold | Quantity of Currency Sold | Settlement Date | Net Unrealized Appreciation/ (Depreciation) |
CGM | USD | 9,195 | AUD | 14,008 | 04/11/2024 | $64 |
CGM | USD | 79,722 | EUR | 73,292 | 04/03/2024 | 633 |
CGM | USD | 15,127 | GBP | 11,981 | 04/11/2024 | 4 |
CGM | USD | 109,415 | GBP | 85,000 | 04/25/2024 | 2,124 |
CGM | USD | 3,403 | JPY | 496,485 | 04/26/2024 | 108 |
CGM | USD | 3,018 | JPY | 448,800 | 05/13/2024 | 32 |
CGM | USD | 6,311 | JPY | 936,190 | 05/28/2024 | 66 |
CGM | USD | 2,971 | NZD | 4,924 | 04/05/2024 | 29 |
CGM | USD | 2,694 | SEK | 28,363 | 04/02/2024 | 44 |
MEL | USD | 4,391 | AUD | 6,754 | 04/11/2024 | (11) |
MEL | USD | 6,888 | AUD | 10,570 | 04/12/2024 | (3) |
MEL | USD | 15,003 | AUD | 22,876 | 04/18/2024 | 88 |
MEL | USD | 6,903 | CHF | 6,260 | 04/03/2024 | (43) |
MEL | USD | 175,507 | CHF | 148,000 | 04/10/2024 | 11,164 |
MEL | USD | 24,870 | EUR | 22,995 | 04/03/2024 | 56 |
MEL | USD | 3,905 | EUR | 3,610 | 04/04/2024 | 9 |
MEL | USD | 4,621 | EUR | 4,263 | 04/05/2024 | 20 |
MEL | USD | 4,157 | EUR | 3,843 | 04/09/2024 | 9 |
MEL | USD | 9,314 | EUR | 8,568 | 05/10/2024 | 56 |
MEL | USD | 18,314 | GBP | 14,473 | 04/03/2024 | 46 |
MEL | USD | 53,391 | GBP | 41,960 | 04/18/2024 | 428 |
MEL | USD | 15,391 | GBP | 12,023 | 04/29/2024 | 215 |
MEL | USD | 2,934 | GBP | 2,292 | 04/30/2024 | 41 |
MEL | USD | 32,248 | GBP | 25,376 | 05/02/2024 | 216 |
MEL | USD | 5,438 | GBP | 4,248 | 05/03/2024 | 76 |
MEL | USD | 5,765 | GBP | 4,503 | 05/16/2024 | 80 |
MEL | USD | 1,727 | HKD | 13,500 | 04/26/2024 | 1 |
MEL | USD | 714 | ILS | 2,599 | 04/04/2024 | 7 |
MEL | USD | 1,393 | ILS | 5,110 | 04/11/2024 | 2 |
MEL | USD | 20,208 | JPY | 3,000,000 | 05/16/2024 | 237 |
MEL | USD | 50,286 | JPY | 7,538,055 | 05/28/2024 | 5 |
MEL | USD | 53,595 | JPY | 8,030,558 | 05/31/2024 | 7 |
MEL | USD | 31,433 | JPY | 4,706,271 | 06/05/2024 | 5 |
MEL | USD | 47,354 | JPY | 7,088,957 | 06/06/2024 | 8 |
MEL | USD | 2,674 | JPY | 400,180 | 06/07/2024 | 1 |
MEL | USD | 8,091 | JPY | 1,210,570 | 06/10/2024 | 2 |
MEL | USD | 3,037 | JPY | 446,250 | 06/17/2024 | 52 |
MEL | USD | 10,379 | JPY | 1,550,485 | 06/20/2024 | 3 |
MEL | USD | 13,500 | JPY | 2,016,514 | 06/21/2024 | 4 |
MEL | USD | 64,593 | JPY | 9,643,887 | 06/24/2024 | 20 |
MEL | USD | 77,448 | JPY | 11,559,914 | 06/26/2024 | 25 |
MEL | USD | 32,690 | JPY | 4,878,575 | 06/27/2024 | 10 |
MEL | USD | 28,167 | JPY | 4,202,995 | 06/28/2024 | 9 |
MEL | USD | 134,437 | JPY | 20,049,937 | 07/01/2024 | 51 |
MEL | USD | 3,351 | JPY | 498,525 | 07/19/2024 | 1 |
MEL | USD | 2,310 | NOK | 24,640 | 04/05/2024 | 40 |
MEL | USD | 23,533 | SEK | 248,971 | 04/04/2024 | 268 |
MEL | USD | 50,632 | SEK | 537,622 | 04/05/2024 | 392 |
Net Appreciation | $16,701 |
Currency Abbreviations | ||
AUD | Australian Dollar | |
CHF | Swiss Franc | |
EUR | Euro Dollar | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
ILS | Israeli New Shekel | |
JPY | Japanese Yen | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
SEK | Swedish Krona | |
USD | U.S. Dollar |
Abbreviations | ||
CGM | Citigroup Global Markets | |
MEL | Mellon Capital |
Country | Fair Value | Percentage of Fund Investments | |
Japan | $140,857,708 | 21.79% | |
United Kingdom | 80,613,369 | 12.47 | |
Switzerland | 69,619,279 | 10.77 | |
France | 63,746,063 | 9.86 | |
Germany | 58,493,861 | 9.05 | |
Australia | 45,506,610 | 7.04 | |
Netherlands | 29,497,131 | 4.56 | |
Denmark | 23,602,475 | 3.65 | |
Spain | 19,166,266 | 2.97 | |
Sweden | 17,729,302 | 2.74 | |
Italy | 15,224,977 | 2.36 | |
Israel | 11,890,198 | 1.84 | |
Ireland | 11,134,483 | 1.72 | |
Hong Kong | 9,619,716 | 1.49 | |
Finland | 7,374,153 | 1.14 | |
Singapore | 7,211,562 | 1.12 | |
United States | 6,046,029 | 0.94 | |
Canada | 5,929,072 | 0.92 | |
Norway | 5,317,410 | 0.82 | |
Belgium | 4,375,802 | 0.68 | |
Austria | 3,733,924 | 0.58 | |
Uruguay | 3,023,920 | 0.47 | |
Indonesia | 2,203,367 | 0.34 | |
Portugal | 1,062,108 | 0.16 | |
Jordan | 1,001,124 | 0.15 | |
New Zealand | 760,387 | 0.12 | |
South Africa | 635,324 | 0.10 | |
Luxembourg | 622,647 | 0.10 | |
Chile | 194,604 | 0.03 | |
Macau | 113,978 | 0.02 | |
United Arab Emirates | 19 | 0.00 | |
Total | $646,306,868 | 100.00% |
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan at March 28, 2024. |
(c) | Zero coupon bond; the interest rate shown is the effective yield on date of purchase. |
(d) | Collateral received for securities on loan. |
ADR | American Depositary Receipt |
ETF | Exchange Traded Fund |
REIT | Real Estate Investment Trust |
At March 28, 2024 the Fund held the following outstanding exchange traded futures contracts: | |||||
Description | Number of Contracts | Notional Amount (000) | Expiration Date | Fair Value and Net Unrealized Appreciation | |
Long | |||||
S&P 500® Emini Futures | 18 | USD | 4,778 | Jun 2024 | $95,995 |
Net Appreciation | $95,995 |
At March 28, 2024 the Fund held the following over-the-counter (OTC) forward foreign currency contracts: | ||||||
Counterparty | Currency Purchased | Quantity of Currency Purchased | Currency Sold | Quantity of Currency Sold | Settlement Date | Net Unrealized Appreciation |
BB | USD | 346,828 | EUR | 318,300 | 06/20/2024 | $2,266 |
BB | USD | 601,369 | GBP | 473,600 | 06/20/2024 | 3,390 |
CGM | USD | 109 | EUR | 100 | 06/20/2024 | 1 |
CGM | USD | 13,459 | GBP | 10,600 | 06/20/2024 | 75 |
GS | USD | 31,234 | GBP | 24,600 | 06/20/2024 | 174 |
HSB | USD | 1,094,476 | EUR | 1,005,100 | 06/20/2024 | 6,448 |
HSB | USD | 218,497 | GBP | 172,100 | 06/20/2024 | 1,199 |
MS | USD | 2,151,502 | EUR | 1,973,900 | 06/20/2024 | 14,742 |
RBS | USD | 495,670 | EUR | 454,900 | 06/20/2024 | 3,237 |
RBS | USD | 975,020 | GBP | 767,900 | 06/20/2024 | 5,450 |
SSB | USD | 92,714 | EUR | 85,100 | 06/20/2024 | 593 |
SSB | USD | 977,230 | GBP | 769,600 | 06/20/2024 | 5,514 |
TD | USD | 408,930 | EUR | 375,300 | 06/20/2024 | 2,666 |
TD | USD | 335,719 | GBP | 264,400 | 06/20/2024 | 1,881 |
UBS | USD | 663,149 | EUR | 608,600 | 06/20/2024 | 4,335 |
WES | USD | 496,581 | GBP | 391,100 | 06/20/2024 | 2,768 |
Net Appreciation | $54,739 |
Currency Abbreviations | ||
EUR | Euro Dollar | |
GBP | British Pound | |
USD | U.S. Dollar |
Abbreviations | ||
BB | Barclays Bank PLC | |
CGM | Citigroup Global Markets | |
GS | Goldman Sachs | |
HSB | HSBC Bank USA | |
MS | Morgan Stanley & Co LLC | |
RBS | Royal Bank of Scotland | |
SSB | State Street Bank | |
TD | Toronto Dominion Bank | |
UBS | UBS AG | |
WES | Westpac Banking |
Class | Inputs |
Asset-Backed Securities | Benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, evaluated bids, offers and reference data including market research publications. Inputs may also include new issue data, collateral performance, and monthly payment information. |
Bank Loans | Broker quotes, Loan Syndications and Trading Association daily marks, loan analytics and market news. |
Corporate Bonds and Notes | Benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, evaluated bids, offers and reference data including market research publications. Inputs also may include observations of equity and credit default swap curves related to issuer. |
Convertible Bonds, Convertible Preferred Stock, Preferred Stock | Benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, evaluated bids, offers and reference data including market research publications. Inputs also may include exchange prices. |
Foreign Government Bonds and Notes | Benchmark yields, executed trades, broker/dealer quotes, credit information, collateral attributes, issuer spreads, benchmark securities, treasury/swap maturity curves, issuer spread curves, evaluated bids, market corroborated inputs, offers and reference data including market research publications. |
Mortgage-Backed Securities | Benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, evaluated bids, offers and reference data including market research publications. Inputs may also include new issue data, collateral performance, TBA prices, monthly payment information and third party real estate analysis. |
U.S. Treasury Bonds and Notes | Benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, evaluated bids, offers and reference data including market research publications. |
Common Stock | Exchange traded close price, bids, evaluated bids, open and close price of the local exchange, exchange rates, fair values based on significant market movement and various index data. |
Exchange Traded Funds | Exchange traded close price. |
Short Term Investments | Maturity date, credit quality and interest rates. |
Futures Contracts | Exchange traded close price. |
Forward Foreign Currency Contracts | Foreign currency spot and forward rates. |
Interest Rate Swaps | Interest rate curves, LIBOR curves, reported trades and swap curves |
Level 1 | Level 2 | Level 3 | Total | ||||
Assets | |||||||
Investments, at fair value: | |||||||
Asset-Backed Securities | $— | $159,634,700 | $— | $159,634,700 | |||
Bank Loans | — | 12,877,898 | — | 12,877,898 | |||
Corporate Bonds and Notes | — | 530,134,833 | — | 530,134,833 | |||
Convertible Bonds | — | 27,356,034 | — | 27,356,034 | |||
Foreign Government Bonds and Notes | |||||||
Foreign Government Bonds and Notes | 3,263,316 | 62,002,167 | — | 65,265,483 | |||
Mortgage-Backed Securities | — | 502,128,896 | — | 502,128,896 | |||
U.S. Government Agency Bonds and Notes | — | 34,598,463 | — | 34,598,463 | |||
U.S. Treasury Bonds and Notes | — | 360,069,164 | — | 360,069,164 | |||
Common Stock | 5,122,946 | — | — | 5,122,946 | |||
Convertible Preferred Stock | |||||||
Consumer, Non-cyclical | — | 331,304 | — | 331,304 | |||
Energy | 18,992 | — | — | 18,992 | |||
Financial | 1,707,176 | — | — | 1,707,176 | |||
1,726,168 | 331,304 | — | 2,057,472 | ||||
Short Term Investments | — | 165,258,205 | — | 165,258,205 | |||
Total investments, at fair value: | 10,112,430 | 1,854,391,664 | — | 1,864,504,094 | |||
Other Financial Investments: | |||||||
Futures Contracts(a) | 1,154,342 | — | — | 1,154,342 | |||
Total Assets | $11,266,772 | $1,854,391,664 | $— | $1,865,658,436 | |||
Liabilities | |||||||
Other Financial Investments: | |||||||
Futures Contracts(a) | $1,844,021 | $— | $— | $1,844,021 | |||
Total Liabilities | $1,844,021 | $0 | $— | $1,844,021 |
(a) | Futures Contracts are reported at the security’s unrealized appreciation (depreciation), which represents the change in the contract’s value from trade date. |
Level 1 | Level 2 | Level 3 | Total | ||||
Assets | |||||||
Investments, at fair value: | |||||||
Asset-Backed Securities | $— | $15,816,719 | $— | $15,816,719 | |||
Corporate Bonds and Notes | — | 15,189,911 | — | 15,189,911 | |||
Mortgage-Backed Securities | — | 24,532,879 | — | 24,532,879 | |||
U.S. Treasury Bonds and Notes | — | 331,878,548 | — | 331,878,548 | |||
Short Term Investments | — | 195,020 | — | 195,020 | |||
Total investments, at fair value: | 0 | 387,613,077 | — | 387,613,077 | |||
Other Financial Investments: | |||||||
Futures Contracts(a) | 175,745 | — | — | 175,745 | |||
Interest Rate Swaps(a) | — | 1,804,868 | — | 1,804,868 | |||
Total Assets | $175,745 | $389,417,945 | $— | $389,593,690 | |||
Liabilities | |||||||
Other Financial Investments: | |||||||
Futures Contracts(a) | $(274,660) | $— | $— | $(274,660) | |||
Interest Rate Swaps(a) | — | (1,383,718) | — | (1,383,718) | |||
Total Liabilities | $(274,660) | $(1,383,718) | $— | $(1,658,378) |
(a) | Futures Contracts and Interest Rate Swaps are reported at the security’s unrealized appreciation (depreciation), which represents the change in the contract’s value from trade date. |
Level 1 | Level 2 | Level 3 | Total | ||||
Assets | |||||||
Investments, at fair value: | |||||||
Common Stock | |||||||
Basic Materials | $163,850 | $33,871,475 | $— | $34,035,325 | |||
Communications | 9,871,054 | 24,003,551 | — | 33,874,605 | |||
Consumer, Cyclical | 1,785,850 | 101,004,122 | — | 102,789,972 | |||
Consumer, Non-cyclical | 6,250,658 | 139,591,173 | 19 | 145,841,850 | |||
Diversified | 102,564 | — | — | 102,564 | |||
Energy | — | 31,085,055 | — | 31,085,055 | |||
Financial | 1,103,022 | 128,685,377 | — | 129,788,399 | |||
Industrial | 2,634,495 | 93,447,506 | — | 96,082,001 | |||
Technology | 13,109,219 | 37,009,319 | — | 50,118,538 | |||
Utilities | 773,207 | 12,403,954 | — | 13,177,161 | |||
35,793,919 | 601,101,532 | 19 | 636,895,470 | ||||
Preferred Stock | — | 3,365,369 | — | 3,365,369 | |||
Exchange Traded Funds | 2,795,100 | — | — | 2,795,100 | |||
Short Term Investments | — | 3,250,929 | — | 3,250,929 | |||
Total investments, at fair value: | 38,589,019 | 607,717,830 | 19 | 646,306,868 | |||
Other Financial Investments: | |||||||
Forward Foreign Currency Contracts | — | 16,759 | — | 16,759 | |||
Futures Contracts(a) | 31,955 | — | — | 31,955 | |||
Total Assets | $38,620,974 | $607,734,588 | $19 | $646,355,581 | |||
Liabilities | |||||||
Other Financial Investments: | |||||||
Forward Foreign Currency Contracts | — | (57) | — | (57) | |||
Total Liabilities | $0 | $(57) | $— | $(57) |
(a) | Futures Contracts are reported at the security’s unrealized appreciation (depreciation), which represents the change in the contract’s value from trade date. |
Level 1 | Level 2 | Level 3 | Total | ||||
Assets | |||||||
Investments, at fair value: | |||||||
Common Stock | |||||||
Basic Materials | $17,935,040 | $— | $— | $17,935,040 | |||
Communications | 81,669,983 | — | — | 81,669,983 | |||
Consumer, Cyclical | 71,178,051 | — | — | 71,178,051 | |||
Consumer, Non-cyclical | 143,634,629 | 1,234,933 | — | 144,869,562 | |||
Energy | 41,238,444 | 2,092,893 | — | 43,331,337 | |||
Financial | 108,799,138 | 1,896,311 | — | 110,695,449 | |||
Industrial | 82,754,677 | — | — | 82,754,677 | |||
Technology | 153,370,462 | — | — | 153,370,462 | |||
Utilities | 17,907,486 | — | — | 17,907,486 | |||
718,487,910 | 5,224,137 | — | 723,712,047 | ||||
Exchange Traded Funds | 8,474,081 | — | — | 8,474,081 | |||
Short Term Investments | — | 3,420,950 | — | 3,420,950 | |||
Total investments, at fair value: | 726,961,991 | 8,645,087 | — | 735,607,078 | |||
Other Financial Investments: | |||||||
Forward Foreign Currency Contracts(a) | — | 54,739 | — | 54,739 | |||
Futures Contracts(a) | 95,995 | — | — | 95,995 | |||
Total Assets | $727,057,986 | $8,699,826 | $— | $735,757,812 |
(a) | Forward Foreign Currency Contracts and Futures Contracts are reported at the security's unrealized appreciation (depreciation), which represents the change in the contract's value from trade date. |
Empower Core Strategies: Flexible Bond Fund | |
Futures Contracts: | |
Average long contracts | 3,779 |
Average short contracts | 1,774 |
Average notional long | $508,913,270 |
Average notional short | $203,874,371 |
Empower Core Strategies: Inflation-Protected Securities Fund | |
Futures Contracts: | |
Average long contracts | 424 |
Average short contracts | 159 |
Average notional long | $48,053,830 |
Average notional short | $19,871,141 |
Centrally Cleared Interest Rate Swaps: | |
Average notional amount | $269,170,000 |
Centrally Cleared Inflation Swaps: |
Empower Core Strategies: Inflation-Protected Securities Fund | |
Average notional amount | $4,605,000 |
Empower Core Strategies: International Equity Fund | |
Futures Contracts: | |
Average long contracts | 58 |
Average notional long | $6,538,119 |
Forward Currency Exchange Contracts: | |
Average notional amount | $663,471 |
Empower Core Strategies: U.S. Equity Fund | |
Futures Contracts: | |
Average long contracts | 29 |
Average notional long | $7,227,172 |
Forward Currency Exchange Contracts: | |
Average notional amount | $8,523,720 |