| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| Futures contracts outstanding at March 31, 2024: | ||||||||
| Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
| Long Positions: | ||||||||
| 118 | 2 Year U.S. Treasury Notes | Jun. 2024 | $24,129,156 | $(30,258) | ||||
| 146 | 5 Year U.S. Treasury Notes | Jun. 2024 | 15,624,282 | 26,032 | ||||
| 116 | 10 Year U.S. Treasury Notes | Jun. 2024 | 12,852,438 | 52,698 | ||||
| 27 | 20 Year U.S. Treasury Bonds | Jun. 2024 | 3,251,813 | 57,219 | ||||
| 13 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2024 | 1,677,000 | 34,567 | ||||
| $140,258 | ||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2024(4) | Value at Trade Date | Value at March 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Credit Default Swap Agreements on credit indices - Sell Protection(2): | |||||||||||||||
| CDX.NA.HY.41.V2 | 12/20/28 | 5.000%(Q) | 1,980 | 3.116% | $97,473 | $149,069 | $51,596 | ||||||||
| CDX.NA.HY.42.V1 | 06/20/29 | 5.000%(Q) | 1,250 | 3.289% | 85,820 | 92,186 | 6,366 | ||||||||
| $183,293 | $241,255 | $57,962 | |||||||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| (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 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. |
| Total return swap agreements outstanding at March 31, 2024: | ||||||||||||||
| 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: | ||||||||||||||
| iBoxx US Dollar Liquid Investment Grade Index(T) | 1 Day SOFR(Q)/ 5.340% | GSI | 06/20/24 | (2,243) | $(67,838) | $— | $(67,838) | |||||||
| iBoxx US Dollar Liquid Investment Grade Index(T) | 1 Day SOFR(Q)/ 5.340% | MSI | 09/20/24 | (7,550) | (234,019) | — | (234,019) | |||||||
| iBoxx US Dollar Liquid Investment Grade Index(T) | 1 Day SOFR(Q)/ 5.340% | BNP | 09/20/24 | (5,759) | (139,969) | — | (139,969) | |||||||
| $(441,826) | $— | $(441,826) | ||||||||||||
| (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). |