| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| Forward Commitment Contracts: | |||||||||||
| U.S. Government Agency Obligations | Interest Rate | Maturity Date | Settlement Date | Principal Amount (000)# | Value | ||||||
| Federal National Mortgage Assoc. | 3.000% | TBA | 04/13/23 | $(1,500) | $(1,345,889) | ||||||
| Federal National Mortgage Assoc. | 3.500% | TBA | 05/11/23 | (18,500) | (17,201,387) | ||||||
| TOTAL FORWARD COMMITMENT CONTRACTS (proceeds receivable $18,444,141) | $(18,547,276) | ||||||||||
| OTC Traded | ||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
| FNMA TBA 5.50% | Call | BOA | 04/06/23 | $100.16 | — | 6,500 | $56,176 | |||||||||
| (cost $38,593) | ||||||||||||||||
| OTC Traded | ||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
| FNMA TBA 5.50% | Call | BOA | 06/06/23 | $100.11 | — | 6,500 | $(80,402) | |||||||||
| FNMA TBA 5.50% | Put | CGM | 04/06/23 | $99.52 | — | 8,000 | (149) | |||||||||
| Total OTC Traded (premiums received $104,726) | $(80,551) | |||||||||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| OTC Swaptions | ||||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||
| GS_21-PJA^ | Put | GSI | 06/17/24 | 0.25% | 0.25%(M) | GS_21-PJA(M) | 9,100 | $(148) | ||||||||||
| (premiums received $0) | ||||||||||||||||||
| Total Options Written (premiums received $104,726) | $(80,699) | |||||||||||||||||
| Centrally Cleared Swaptions | |||||||||||||||||
| Description | Call/ Put | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value at March 31, 2023 | Unrealized Appreciation (Depreciation) | |||||||||
| CDX.NA.IG.39.V1, 12/20/27 | Put | 04/19/23 | 0.85% | CDX.NA.IG.39.V1(Q) | 1.00%(Q) | 12,820 | $5,217 | $(35,294) | |||||||||
| (cost $40,511) | |||||||||||||||||
| Centrally Cleared Swaptions | |||||||||||||||||
| Description | Call/ Put | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value at March 31, 2023 | Unrealized Appreciation (Depreciation) | |||||||||
| CDX.NA.IG.39.V1, 12/20/27 | Call | 04/19/23 | 0.75% | CDX.NA.IG.39.V1(Q) | 1.00%(Q) | 12,820 | $(24,578) | $7,472 | |||||||||
| (premiums received $32,050) | |||||||||||||||||
| Futures contracts outstanding at March 31, 2023: | ||||||||
| Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
| Long Positions: | ||||||||
| 93 | 2 Year U.S. Treasury Notes | Jun. 2023 | $19,200,141 | $217,061 | ||||
| 457 | 5 Year U.S. Treasury Notes | Jun. 2023 | 50,045,069 | 699,675 | ||||
| 396 | 10 Year U.S. Treasury Notes | Jun. 2023 | 45,509,064 | 701,985 | ||||
| 142 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2023 | 20,039,750 | 651,077 | ||||
| 8 | Mini MSCI EAFE Index | Jun. 2023 | 838,600 | 27,048 | ||||
| 66 | S&P 500 E-Mini Index | Jun. 2023 | 13,654,575 | 799,301 | ||||
| 3,096,147 | ||||||||
| Short Positions: | ||||||||
| 21 | 5 Year Euro-Bobl | Jun. 2023 | 2,684,658 | (64,137) | ||||
| 25 | 10 Year U.S. Ultra Treasury Notes | Jun. 2023 | 3,028,516 | (91,385) | ||||
| 371 | 20 Year U.S. Treasury Bonds | Jun. 2023 | 48,658,969 | (1,960,970) | ||||
| (2,116,492) | ||||||||
| $979,655 | ||||||||
| Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
| Euro, | |||||||||||||
| Expiring 04/04/23 | HSBC | EUR | 14,532 | $15,667,445 | $15,763,882 | $96,437 | $— | ||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Euro (cont’d.), | |||||||||||||
| Expiring 04/04/23 | SCB | EUR | 225 | $238,881 | $244,378 | $5,497 | $— | ||||||
| $15,906,326 | $16,008,260 | 101,934 | — | ||||||||||
| Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
| Euro, | |||||||||||||
| Expiring 04/04/23 | CITI | EUR | 243 | $258,746 | $263,075 | $— | $(4,329) | ||||||
| Expiring 04/04/23 | TD | EUR | 14,515 | 15,475,594 | 15,745,185 | — | (269,591) | ||||||
| Expiring 05/02/23 | HSBC | EUR | 14,532 | 15,692,877 | 15,788,810 | — | (95,933) | ||||||
| $31,427,217 | $31,797,070 | — | (369,853) | ||||||||||
| $101,934 | $(369,853) | ||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2023(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreement on asset-backed and/or mortgage-backed securities - Sell Protection(2)^: | |||||||||||||||||
| GS_21-PJA | 04/14/23 | 0.500%(M) | 5,545 | * | $4,770 | $(518) | $5,288 | GSI | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1): | ||||||||||||||||
| Credit Suisse Group AG | 06/20/26 | 1.000%(Q) | 2,000 | $54,819 | $107,459 | $(52,640) | BARC | |||||||||
| Credit Suisse Group AG | 06/20/26 | 1.000%(Q) | 2,000 | 54,819 | 104,818 | (49,999) | BARC | |||||||||
| Credit Suisse Group AG | 06/20/26 | 1.000%(Q) | 2,000 | 54,819 | 117,910 | (63,091) | BARC | |||||||||
| U.S. Treasury Notes | 12/20/27 | 0.250%(Q) | EUR | 575 | 6,226 | 3,180 | 3,046 | BARC | ||||||||
| U.S. Treasury Notes | 12/20/27 | 0.250%(Q) | EUR | 575 | 6,226 | 3,180 | 3,046 | BARC | ||||||||
| U.S. Treasury Notes | 12/20/32 | 0.250%(Q) | EUR | 290 | 4,636 | 3,525 | 1,111 | BNP | ||||||||
| $181,545 | $340,072 | $(158,527) | ||||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at March 31, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): | ||||||||||||||
| CDX.NA.IG.40.V1 | 06/20/28 | 1.000%(Q) | 14,994 | $(66,027) | $(176,486) | $(110,459) | ||||||||
| (1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap |
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | |
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| * | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
| 3,816 | 03/08/25 | 4.946%(A) | 1 Day SOFR(2)(A)/ 4.870% | $— | $58,384 | $58,384 | ||||||||
| 4,664 | 03/09/25 | 5.110%(A) | 1 Day SOFR(2)(A)/ 4.870% | — | 85,940 | 85,940 | ||||||||
| 10,650 | 03/10/25 | 5.088%(A) | 1 Day SOFR(2)(A)/ 4.870% | — | 191,660 | 191,660 | ||||||||
| $— | $335,984 | $335,984 | ||||||||||||
| (1) | The Portfolio pays the fixed rate and receives the floating rate. |
| (2) | The Portfolio pays the floating rate and receives the fixed rate. |
| Total return swap agreements outstanding at March 31, 2023: | ||||||||||||||
| Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
| OTC Total Return Swap Agreements: | ||||||||||||||
| Total Return Benchmark Bond Index(T) | 1 Day USOIS -54bps(T)/ 4.290% | JPM | 09/20/23 | (5,376) | $(66,176) | $— | $(66,176) | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +10bps(T)/ 4.930% | JPM | 04/18/23 | 6,655 | (103,729) | — | (103,729) | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +10bps(T)/ 4.930% | GSI | 04/19/23 | 12,240 | (368,021) | — | (368,021) | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +10bps(T)/ 4.930% | JPM | 04/21/23 | 11,775 | (300,609) | — | (300,609) | |||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2023 (unaudited) |
| Total return swap agreements outstanding at March 31, 2023 (continued): | ||||||||||||||
| Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
| OTC Total Return Swap Agreements (cont’d.): | ||||||||||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +11bps(T)/ 4.940% | JPM | 04/26/23 | 10,220 | $(311,670) | $— | $(311,670) | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +10bps(T)/ 4.930% | GSI | 04/27/23 | 16,755 | (415,144) | — | (415,144) | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +12bps(T)/ 4.950% | BOA | 05/10/23 | 19,230 | (54,632) | — | (54,632) | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +12bps(T)/ 4.950% | JPM | 05/23/23 | 13,010 | 379,074 | — | 379,074 | |||||||
| $(1,240,907) | $— | $(1,240,907) | ||||||||||||
| (1) | On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
| (2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |