1 |
2 |
3 |
4 |
5 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
S&P 500 E-Mini Index Futures | 1,091 | Long | Jun 2024 | $285,141,350 | $289,578,675 | $4,437,325 |
$4,437,325 |
6 |
7 |
8 |
9 |
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Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
10-Year U.S. Treasury Note Futures | 46 | Long | Jun 2024 | $5,104,680 | $5,096,656 | $(8,024) |
$(8,024) |
20 |
21 |
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23 |
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25 |
26 |
27 |
Options on securities | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls | ||||||||
CITI | AbbVie, Inc. | USD | 160.00 | Jan 2025 | 37 | 3,700 | $44,659 | $(108,978) |
CITI | AbbVie, Inc. | USD | 165.00 | Jan 2025 | 37 | 3,700 | 37,259 | (95,202) |
JPM | AbbVie, Inc. | USD | 165.00 | Jan 2025 | 24 | 2,400 | 17,214 | (61,752) |
JPM | AbbVie, Inc. | USD | 170.00 | Jan 2025 | 24 | 2,400 | 13,150 | (53,381) |
CITI | AbbVie, Inc. | USD | 175.00 | Jan 2025 | 46 | 4,600 | 30,912 | (87,485) |
JPM | Arthur J. Gallagher & Company | USD | 250.00 | Nov 2024 | 13 | 1,300 | 11,726 | (25,008) |
JPM | Arthur J. Gallagher & Company | USD | 250.00 | Nov 2024 | 13 | 1,300 | 13,351 | (25,008) |
UBS | Danaher Corp. | USD | 300.00 | Jan 2025 | 18 | 1,800 | 19,086 | (13,574) |
JPM | Exelon Corp. | USD | 47.00 | Jun 2024 | 5 | 500 | 670 | (2) |
CITI | Intercontinental Exchange, Inc. | USD | 125.00 | Jan 2025 | 21 | 2,100 | 13,040 | (43,079) |
CITI | Intercontinental Exchange, Inc. | USD | 125.00 | Jan 2025 | 16 | 1,600 | 11,918 | (32,822) |
CITI | Intercontinental Exchange, Inc. | USD | 130.00 | Jan 2025 | 21 | 2,100 | 9,264 | (35,544) |
CITI | Intercontinental Exchange, Inc. | USD | 130.00 | Jan 2025 | 16 | 1,600 | 8,573 | (27,081) |
BOA | Intercontinental Exchange, Inc. | USD | 140.00 | Jan 2025 | 13 | 1,300 | 7,540 | (14,062) |
BOA | Intercontinental Exchange, Inc. | USD | 140.00 | Jan 2025 | 14 | 1,400 | 7,868 | (15,144) |
28 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
BOA | Intercontinental Exchange, Inc. | USD | 145.00 | Jan 2025 | 14 | 1,400 | $5,726 | $(11,711) |
BOA | Intercontinental Exchange, Inc. | USD | 145.00 | Jan 2025 | 14 | 1,400 | 5,530 | (11,711) |
WFB | Linde PLC | USD | 440.00 | Jan 2025 | 4 | 400 | 7,360 | (22,214) |
WFB | Linde PLC | USD | 440.00 | Jan 2025 | 4 | 400 | 7,391 | (22,214) |
WFB | Linde PLC | USD | 450.00 | Jan 2025 | 4 | 400 | 5,929 | (19,523) |
WFB | Linde PLC | USD | 450.00 | Jan 2025 | 4 | 400 | 5,956 | (19,523) |
WFB | Linde PLC | USD | 460.00 | Jan 2025 | 5 | 500 | 10,307 | (21,260) |
WFB | Linde PLC | USD | 460.00 | Jan 2025 | 6 | 600 | 15,653 | (25,512) |
WFB | Linde PLC | USD | 480.00 | Jan 2025 | 5 | 500 | 7,126 | (15,692) |
WFB | Linde PLC | USD | 480.00 | Jan 2025 | 6 | 600 | 10,975 | (18,831) |
GSI | Marsh & McLennan Companies, Inc. | USD | 210.00 | Jul 2024 | 12 | 1,200 | 9,507 | (8,045) |
GSI | Marsh & McLennan Companies, Inc. | USD | 220.00 | Jul 2024 | 12 | 1,200 | 4,847 | (3,449) |
GSI | Marsh & McLennan Companies, Inc. | USD | 210.00 | Dec 2024 | 24 | 2,400 | 19,272 | (31,361) |
GSI | Marsh & McLennan Companies, Inc. | USD | 210.00 | Dec 2024 | 24 | 2,400 | 20,808 | (31,361) |
JPM | Mastercard, Inc., Class A | USD | 480.00 | Jan 2025 | 7 | 700 | 16,849 | (31,967) |
JPM | Mastercard, Inc., Class A | USD | 490.00 | Jan 2025 | 7 | 700 | 14,189 | (28,006) |
JPM | Mastercard, Inc., Class A | USD | 500.00 | Jan 2025 | 7 | 700 | 11,774 | (24,373) |
UBS | McDonald's Corp. | USD | 320.00 | Jan 2025 | 9 | 900 | 12,528 | (4,952) |
UBS | McDonald's Corp. | USD | 320.00 | Jan 2025 | 9 | 900 | 10,638 | (4,952) |
UBS | McDonald's Corp. | USD | 325.00 | Jan 2025 | 9 | 900 | 10,638 | (4,013) |
UBS | McDonald's Corp. | USD | 325.00 | Jan 2025 | 9 | 900 | 8,973 | (4,013) |
UBS | McDonald's Corp. | USD | 330.00 | Jan 2025 | 9 | 900 | 8,973 | (3,230) |
UBS | McDonald's Corp. | USD | 330.00 | Jan 2025 | 9 | 900 | 7,623 | (3,230) |
BARC | Northrop Grumman Corp. | USD | 490.00 | Jan 2025 | 21 | 2,100 | 48,489 | (75,362) |
WFB | NXP Semiconductors NV | USD | 220.00 | Jun 2024 | 4 | 400 | 7,461 | (13,910) |
WFB | Republic Services, Inc. | USD | 170.00 | Jul 2024 | 5 | 500 | 2,500 | (12,108) |
WFB | Republic Services, Inc. | USD | 175.00 | Jul 2024 | 5 | 500 | 1,603 | (9,881) |
CITI | Roper Technologies, Inc. | USD | 580.00 | Dec 2024 | 3 | 300 | 7,190 | (9,871) |
CITI | Roper Technologies, Inc. | USD | 580.00 | Dec 2024 | 2 | 200 | 4,987 | (6,581) |
CITI | Roper Technologies, Inc. | USD | 580.00 | Dec 2024 | 5 | 500 | 14,340 | (16,452) |
CITI | Roper Technologies, Inc. | USD | 600.00 | Dec 2024 | 3 | 300 | 5,190 | (7,291) |
CITI | Roper Technologies, Inc. | USD | 600.00 | Dec 2024 | 2 | 200 | 3,618 | (4,861) |
CITI | Roper Technologies, Inc. | USD | 600.00 | Dec 2024 | 5 | 500 | 10,047 | (12,152) |
CITI | Roper Technologies, Inc. | USD | 600.00 | Dec 2024 | 2 | 200 | 4,560 | (4,861) |
CITI | Roper Technologies, Inc. | USD | 600.00 | Dec 2024 | 3 | 300 | 7,014 | (7,291) |
CITI | Roper Technologies, Inc. | USD | 620.00 | Dec 2024 | 2 | 200 | 2,548 | (3,555) |
CITI | Roper Technologies, Inc. | USD | 620.00 | Dec 2024 | 3 | 300 | 3,963 | (5,332) |
CITI | Roper Technologies, Inc. | USD | 640.00 | Dec 2024 | 2 | 200 | 1,603 | (2,603) |
CITI | Roper Technologies, Inc. | USD | 640.00 | Dec 2024 | 3 | 300 | 2,517 | (3,904) |
GSI | Salesforce, Inc. | USD | 230.00 | Jun 2024 | 2 | 200 | 4,800 | (14,953) |
GSI | Salesforce, Inc. | USD | 240.00 | Jun 2024 | 2 | 200 | 3,991 | (13,071) |
JPM | Thermo Fisher Scientific, Inc. | USD | 650.00 | Jan 2025 | 8 | 800 | 28,917 | (22,981) |
CITI | UnitedHealth Group, Inc. | USD | 580.00 | Jan 2025 | 18 | 1,800 | 76,672 | (24,399) |
JPM | UnitedHealth Group, Inc. | USD | 600.00 | Jan 2025 | 20 | 2,000 | 63,697 | (19,431) |
GSI | Visa, Inc., Class A | USD | 250.00 | Jun 2024 | 1 | 100 | 1,447 | (3,351) |
GSI | Visa, Inc., Class A | USD | 260.00 | Jun 2024 | 1 | 100 | 1,067 | (2,484) |
GSI | Visa, Inc., Class A | USD | 305.00 | Jan 2025 | 12 | 1,200 | 13,344 | (14,954) |
GSI | Visa, Inc., Class A | USD | 310.00 | Jan 2025 | 11 | 1,100 | 10,582 | (11,764) |
GSI | Visa, Inc., Class A | USD | 315.00 | Jan 2025 | 11 | 1,100 | 9,042 | (10,042) |
WFB | Yum! Brands, Inc. | USD | 140.00 | Jan 2025 | 7 | 700 | 4,148 | (7,171) |
WFB | Yum! Brands, Inc. | USD | 140.00 | Jan 2025 | 3 | 300 | 1,711 | (3,073) |
WFB | Yum! Brands, Inc. | USD | 140.00 | Jan 2025 | 4 | 400 | 2,141 | (4,098) |
WFB | Yum! Brands, Inc. | USD | 140.00 | Jan 2025 | 9 | 900 | 5,441 | (9,219) |
JPM | Yum! Brands, Inc. | USD | 145.00 | Jan 2025 | 26 | 2,600 | 15,440 | (19,926) |
WFB | Yum! Brands, Inc. | USD | 145.00 | Jan 2025 | 21 | 2,100 | 9,439 | (16,094) |
WFB | Yum! Brands, Inc. | USD | 145.00 | Jan 2025 | 15 | 1,500 | 7,838 | (11,496) |
WFB | Yum! Brands, Inc. | USD | 145.00 | Jan 2025 | 6 | 600 | 3,252 | (4,598) |
WFB | Yum! Brands, Inc. | USD | 145.00 | Jan 2025 | 7 | 700 | 2,704 | (5,365) |
WFB | Yum! Brands, Inc. | USD | 145.00 | Jan 2025 | 3 | 300 | 1,105 | (2,299) |
WFB | Yum! Brands, Inc. | USD | 145.00 | Jan 2025 | 4 | 400 | 1,361 | (3,066) |
WFB | Yum! Brands, Inc. | USD | 145.00 | Jan 2025 | 10 | 1,000 | 3,959 | (7,664) |
JPM | Yum! Brands, Inc. | USD | 150.00 | Jan 2025 | 26 | 2,600 | 10,490 | (14,395) |
WFB | Yum! Brands, Inc. | USD | 150.00 | Jan 2025 | 21 | 2,100 | 6,594 | (11,627) |
WFB | Yum! Brands, Inc. | USD | 150.00 | Jan 2025 | 15 | 1,500 | 5,502 | (8,305) |
29 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
WFB | Yum! Brands, Inc. | USD | 150.00 | Jan 2025 | 6 | 600 | $2,292 | $(3,322) |
WFB | Yum! Brands, Inc. | USD | 150.00 | Jan 2025 | 7 | 700 | 1,652 | (3,876) |
WFB | Yum! Brands, Inc. | USD | 150.00 | Jan 2025 | 3 | 300 | 668 | (1,661) |
WFB | Yum! Brands, Inc. | USD | 150.00 | Jan 2025 | 4 | 400 | 806 | (2,215) |
WFB | Yum! Brands, Inc. | USD | 150.00 | Jan 2025 | 10 | 1,000 | 2,432 | (5,536) |
$914,966 | $(1,487,716) |
Derivatives Currency Abbreviations | |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BARC | Barclays Bank PLC |
BOA | Bank of America, N.A. |
CITI | Citibank, N.A. |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
OTC | Over-the-counter |
UBS | UBS AG |
WFB | Wells Fargo Bank, N.A. |
30 |
31 |
32 |
33 |
34 |
35 |
36 |
37 |
38 |
39 |
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64 |
65 |
66 |
67 |
68 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
S&P 500 E-Mini Index Futures | 6 | Long | Jun 2024 | $1,552,280 | $1,592,550 | $40,270 |
$40,270 |
69 |
70 |
71 |
72 |
73 |
74 |
75 |
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84 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
5-Year U.S. Treasury Note Futures | 81 | Long | Jun 2024 | $8,650,835 | $8,668,266 | $17,431 |
$17,431 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
EUR | 442,617 | USD | 487,806 | BNP | 4/19/2024 | — | $(9,985) |
MXN | 195,721 | USD | 11,385 | JPM | 4/19/2024 | $357 | — |
USD | 1,743 | CAD | 2,334 | MSCS | 4/19/2024 | 20 | — |
$377 | $(9,985) |
Credit default swaps - Buyer | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | The Goodyear Tire & Rubber Company | 470,000 | USD | $470,000 | 5.000% | Quarterly | Jun 2027 | $(5,479) | $(45,596) | $(51,075) |
Centrally cleared | Transocean, Inc. | 1,168,000 | USD | 1,168,000 | 1.000% | Quarterly | Dec 2028 | 167,886 | (51,425) | 116,461 |
Centrally cleared | General Motors Company | 380,000 | USD | 380,000 | 5.000% | Quarterly | Jun 2029 | (63,059) | (5,174) | (68,233) |
$2,018,000 | $99,348 | $(102,195) | $(2,847) |
Credit default swaps - Seller | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | CDX.NA.HY.41 | 3.108% | 3,578,850 | USD | $3,578,850 | 5.000% | Quarterly | Dec 2028 | $192,468 | $78,113 | $270,581 |
Centrally cleared | Nabors Industries, Inc. | 5.455% | 1,168,000 | USD | 1,168,000 | 1.000% | Quarterly | Dec 2028 | (232,741) | 38,226 | (194,515) |
Centrally cleared | American Axle & Manufacturing, Inc. | 3.926% | 470,000 | USD | 470,000 | 5.000% | Quarterly | Jun 2029 | 12,276 | 9,877 | 22,153 |
Centrally cleared | Ford Motor Company | 1.471% | 1,180,000 | USD | 1,180,000 | 5.000% | Quarterly | Jun 2029 | 177,124 | 14,371 | 191,495 |
$6,396,850 | $149,127 | $140,587 | $289,714 |
85 |
Derivatives Currency Abbreviations | |
CAD | Canadian Dollar |
EUR | Euro |
MXN | Mexican Peso |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BNP | BNP Paribas |
JPM | JPMorgan Chase Bank, N.A. |
MSCS | Morgan Stanley Capital Services LLC |
OTC | Over-the-counter |
86 |
87 |
88 |
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90 |
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95 |
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104 |
105 |
106 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Mini MSCI EAFE Index Futures | 114 | Long | Jun 2024 | $13,442,633 | $13,430,340 | $(12,293) |
Mini MSCI Emerging Markets Index Futures | 109 | Long | Jun 2024 | 5,707,715 | 5,716,505 | 8,790 |
MSCI Kuwait Index Futures | 121 | Long | Jun 2024 | 1,944,157 | 1,919,665 | (24,492) |
MSCI Qatar Index Futures | 129 | Long | Jun 2024 | 2,059,164 | 2,004,015 | (55,149) |
MSCI UAE Index Futures | 80 | Long | Jun 2024 | 2,892,489 | 2,945,600 | 53,111 |
S&P/TSX 60 Index Futures | 8 | Long | Jun 2024 | 1,560,185 | 1,584,467 | 24,282 |
$(5,751) |
107 |
108 |
109 |
110 |
111 |
112 |
113 |
114 |
115 |
116 |
117 |
118 |
119 |
120 |
121 |
122 |
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125 |
126 |
127 |
128 |
129 |
130 |
131 |
132 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Mini MSCI EAFE Index Futures | 7 | Long | Jun 2024 | $821,887 | $824,670 | $2,783 |
$2,783 |
133 |
134 |
135 |
136 |
137 |
138 |
139 |
140 |
141 |
142 |
143 |
144 |
145 |
146 |
147 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
2-Year U.S. Treasury Note Futures | 10 | Long | Jun 2024 | $2,043,763 | $2,044,844 | $1,081 |
5-Year U.S. Treasury Note Futures | 66 | Long | Jun 2024 | 7,044,091 | 7,063,031 | 18,940 |
10-Year U.S. Treasury Note Futures | 113 | Short | Jun 2024 | (12,508,417) | (12,520,047) | (11,630) |
Euro-Buxl Futures | 4 | Short | Jun 2024 | (573,880) | (586,031) | (12,151) |
German Euro BUND Futures | 16 | Short | Jun 2024 | (2,283,611) | (2,302,352) | (18,741) |
U.K. Long Gilt Bond Futures | 9 | Short | Jun 2024 | (1,132,519) | (1,135,253) | (2,734) |
U.S. Treasury Long Bond Futures | 17 | Short | Jun 2024 | (2,024,303) | (2,047,438) | (23,135) |
Ultra 10-Year U.S. Treasury Note Futures | 44 | Short | Jun 2024 | (5,016,219) | (5,042,813) | (26,594) |
Ultra U.S. Treasury Bond Futures | 85 | Short | Jun 2024 | (10,857,827) | (10,965,000) | (107,173) |
$(182,137) |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
EUR | 223,000 | USD | 245,053 | NWM | 6/18/2024 | — | $(3,731) |
USD | 935,460 | BRL | 4,715,000 | GSI | 6/20/2024 | $2,315 | — |
USD | 3,953,795 | EUR | 3,592,000 | BNP | 6/20/2024 | 66,332 | — |
$68,647 | $(3,731) |
Interest rate swaps | ||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | 1,187,000 | USD | Fixed 1.560% | USD Compounded SOFR | Annual | Annual | Dec 2041 | $(5,884) | $363,330 | $357,446 |
Centrally cleared | 1,320,000 | USD | Fixed 1.560% | USD Compounded SOFR | Annual | Annual | Dec 2051 | (7,631) | 498,309 | 490,678 |
Centrally cleared | 380,000 | USD | Fixed 2.880% | USD Compounded SOFR | Annual | Annual | Mar 2053 | 4,323 | 46,979 | 51,302 |
Centrally cleared | 1,105,000 | USD | Fixed 2.970% | USD Compounded SOFR | Annual | Annual | Mar 2053 | 649 | 131,007 | 131,656 |
148 |
Interest rate swaps (continued) | ||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | 370,000 | USD | Fixed 3.250% | USD Compounded SOFR | Annual | Annual | Jun 2053 | $(3,953) | $35,206 | $31,253 |
$(12,496) | $1,074,831 | $1,062,335 |
Derivatives Currency Abbreviations | |
BRL | Brazilian Real |
EUR | Euro |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BNP | BNP Paribas |
GSI | Goldman Sachs International |
NWM | NatWest Markets PLC |
OTC | Over-the-counter |
SOFR | Secured Overnight Financing Rate |
149 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Euro Currency Futures | 137 | Long | Jun 2024 | $18,784,162 | $18,531,819 | $(252,343) |
Euro STOXX 50 Index Futures | 344 | Long | Jun 2024 | 18,163,469 | 18,723,224 | 559,755 |
FTSE 100 Index Futures | 58 | Long | Jun 2024 | 5,619,137 | 5,847,590 | 228,453 |
Japanese Yen Currency Futures | 103 | Long | Jun 2024 | 8,697,113 | 8,607,581 | (89,532) |
MSCI Emerging Markets Index Futures | 391 | Long | Jun 2024 | 20,514,836 | 20,507,950 | (6,886) |
Nikkei 225 Index Futures | 32 | Long | Jun 2024 | 8,421,898 | 8,531,642 | 109,744 |
150 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation)
|
Pound Sterling Currency Futures | 70 | Long | Jun 2024 | $5,614,364 | $5,524,312 | $(90,052) |
Russell 2000 E-Mini Index Futures | 101 | Long | Jun 2024 | 10,652,372 | 10,836,795 | 184,423 |
S&P 500 E-Mini Index Futures | 443 | Long | Jun 2024 | 115,000,509 | 117,585,448 | 2,584,939 |
S&P Mid 400 E-Mini Index Futures | 68 | Long | Jun 2024 | 20,307,139 | 20,926,320 | 619,181 |
$3,847,682 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Euro Currency Futures | 6 | Long | Jun 2024 | $815,716 | $811,612 | $(4,104) |
Euro STOXX 50 Index Futures | 15 | Long | Jun 2024 | 811,164 | 816,420 | 5,256 |
FTSE 100 Index Futures | 2 | Long | Jun 2024 | 200,766 | 201,641 | 875 |
Japanese Yen Currency Futures | 4 | Long | Jun 2024 | 334,586 | 334,275 | (311) |
MSCI Emerging Markets Index Futures | 17 | Long | Jun 2024 | 888,654 | 891,650 | 2,996 |
Nikkei 225 Index Futures | 1 | Long | Jun 2024 | 265,628 | 266,614 | 986 |
Pound Sterling Currency Futures | 3 | Long | Jun 2024 | 237,077 | 236,756 | (321) |
Russell 2000 E-Mini Index Futures | 5 | Long | Jun 2024 | 526,857 | 536,475 | 9,618 |
S&P 500 E-Mini Index Futures | 25 | Long | Jun 2024 | 6,606,913 | 6,635,625 | 28,712 |
151 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation)
|
S&P Mid 400 E-Mini Index Futures | 3 | Long | Jun 2024 | $909,356 | $923,220 | $13,864 |
$57,571 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Euro Currency Futures | 266 | Long | Jun 2024 | $36,471,439 | $35,981,488 | $(489,951) |
Euro STOXX 50 Index Futures | 682 | Long | Jun 2024 | 36,010,133 | 37,119,881 | 1,109,748 |
FTSE 100 Index Futures | 113 | Long | Jun 2024 | 10,947,629 | 11,392,719 | 445,090 |
Japanese Yen Currency Futures | 212 | Long | Jun 2024 | 17,898,896 | 17,716,575 | (182,321) |
MSCI Emerging Markets Index Futures | 795 | Long | Jun 2024 | 41,711,750 | 41,697,750 | (14,000) |
Nikkei 225 Index Futures | 66 | Long | Jun 2024 | 17,370,166 | 17,596,512 | 226,346 |
Pound Sterling Currency Futures | 143 | Long | Jun 2024 | 11,459,965 | 11,285,381 | (174,584) |
Russell 2000 E-Mini Index Futures | 198 | Long | Jun 2024 | 20,882,867 | 21,244,410 | 361,543 |
S&P 500 E-Mini Index Futures | 802 | Long | Jun 2024 | 208,195,053 | 212,870,850 | 4,675,797 |
152 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation)
|
S&P Mid 400 E-Mini Index Futures | 125 | Long | Jun 2024 | $37,329,299 | $38,467,500 | $1,138,201 |
$7,095,869 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Euro Currency Futures | 28 | Long | Jun 2024 | $3,839,099 | $3,787,525 | $(51,574) |
Euro STOXX 50 Index Futures | 71 | Long | Jun 2024 | 3,748,855 | 3,864,386 | 115,531 |
FTSE 100 Index Futures | 12 | Long | Jun 2024 | 1,162,580 | 1,209,846 | 47,266 |
Japanese Yen Currency Futures | 19 | Long | Jun 2024 | 1,606,784 | 1,587,806 | (18,978) |
MSCI Emerging Markets Index Futures | 82 | Long | Jun 2024 | 4,302,344 | 4,300,900 | (1,444) |
Nikkei 225 Index Futures | 6 | Long | Jun 2024 | 1,580,757 | 1,599,683 | 18,926 |
Pound Sterling Currency Futures | 14 | Long | Jun 2024 | 1,122,873 | 1,104,863 | (18,010) |
Russell 2000 E-Mini Index Futures | 21 | Long | Jun 2024 | 2,214,850 | 2,253,195 | 38,345 |
S&P 500 E-Mini Index Futures | 108 | Long | Jun 2024 | 28,036,242 | 28,665,900 | 629,658 |
153 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation)
|
S&P Mid 400 E-Mini Index Futures | 14 | Long | Jun 2024 | $4,180,882 | $4,308,360 | $127,478 |
$887,198 |
154 |
155 |
156 |
157 |
158 |
159 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
S&P Mid 400 E-Mini Index Futures | 173 | Long | Jun 2024 | $51,513,201 | $53,239,020 | $1,725,819 |
$1,725,819 |
160 |
161 |
162 |
163 |
164 |
165 |
166 |
167 |
168 |
169 |
170 |
171 |
172 |
173 |
174 |
175 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
10-Year Australian Treasury Bond Futures | 21 | Long | Jun 2024 | $1,597,908 | $1,595,299 | $(2,609) |
10-Year U.S. Treasury Note Futures | 331 | Long | Jun 2024 | 36,560,554 | 36,673,766 | 113,212 |
2-Year U.S. Treasury Note Futures | 92 | Long | Jun 2024 | 18,807,023 | 18,812,563 | 5,540 |
176 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation)
|
5-Year U.S. Treasury Note Futures | 176 | Long | Jun 2024 | 18,795,778 | 18,834,750 | $38,972 |
Euro SCHATZ Futures | 4 | Long | Jun 2024 | 456,314 | 456,138 | (176) |
Ultra 10-Year U.S. Treasury Note Futures | 1 | Long | Jun 2024 | 113,985 | 114,609 | 624 |
10-Year Japan Government Bond Futures | 7 | Short | Jun 2024 | (6,738,797) | (6,735,962) | 2,835 |
Euro-BTP Italian Government Bond Futures | 28 | Short | Jun 2024 | (3,545,763) | (3,595,030) | (49,267) |
Euro-Buxl Futures | 28 | Short | Jun 2024 | (4,016,544) | (4,102,219) | (85,675) |
Euro-OAT Futures | 13 | Short | Jun 2024 | (1,786,145) | (1,797,591) | (11,446) |
German Euro BOBL Futures | 4 | Short | Jun 2024 | (509,472) | (510,296) | (824) |
German Euro BUND Futures | 2 | Short | Jun 2024 | (285,526) | (287,794) | (2,268) |
U.K. Long Gilt Bond Futures | 28 | Short | Jun 2024 | (3,512,887) | (3,531,899) | (19,012) |
U.S. Treasury Long Bond Futures | 34 | Short | Jun 2024 | (4,062,590) | (4,094,875) | (32,285) |
Ultra U.S. Treasury Bond Futures | 19 | Short | Jun 2024 | (2,415,939) | (2,451,000) | (35,061) |
$(77,440) |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
AUD | 1,248,000 | USD | 815,000 | JPM | 4/30/2024 | — | $(1,111) |
AUD | 65,000 | USD | 43,157 | MSI | 6/20/2024 | — | (707) |
BRL | 41,069,000 | USD | 8,220,047 | BOA | 4/2/2024 | — | (31,468) |
BRL | 41,069,000 | USD | 8,235,212 | CITI | 4/2/2024 | — | (46,632) |
BRL | 11,263,000 | USD | 2,254,404 | SSB | 5/3/2024 | — | (15,691) |
BRL | 265,000 | USD | 53,156 | GSI | 6/4/2024 | — | (623) |
CAD | 2,365,000 | USD | 1,742,995 | BOA | 4/30/2024 | $3,713 | — |
CLP | 1,491,130,000 | USD | 1,523,396 | SSB | 4/30/2024 | — | (2,848) |
CLP | 241,255,000 | USD | 250,420 | BOA | 6/21/2024 | — | (4,683) |
CLP | 74,714,000 | USD | 75,735 | GSI | 6/21/2024 | 367 | — |
CLP | 120,000,000 | USD | 123,056 | SSB | 6/21/2024 | — | (827) |
CNY | 761,000 | USD | 106,420 | BOA | 6/20/2024 | — | (1,254) |
COP | 5,225,506,000 | USD | 1,334,883 | JPM | 4/30/2024 | 10,511 | — |
COP | 79,100,000 | USD | 20,308 | CITI | 6/20/2024 | — | (107) |
COP | 204,200,000 | USD | 51,439 | DB | 6/20/2024 | 711 | — |
CZK | 1,950,000 | USD | 84,423 | CITI | 6/20/2024 | — | (1,275) |
CZK | 865,000 | USD | 37,330 | GSI | 6/20/2024 | — | (446) |
CZK | 1,780,000 | USD | 76,264 | HSBC | 6/20/2024 | — | (364) |
CZK | 870,000 | USD | 37,101 | JPM | 6/20/2024 | — | (4) |
EUR | 3,023,000 | USD | 3,279,771 | BOA | 4/30/2024 | — | (14,882) |
EUR | 105,000 | USD | 113,756 | MSI | 4/30/2024 | — | (354) |
EUR | 15,000 | USD | 16,339 | BARC | 6/20/2024 | — | (105) |
EUR | 69,000 | USD | 75,783 | CITI | 6/20/2024 | — | (1,107) |
EUR | 165,000 | USD | 179,443 | GSI | 6/20/2024 | — | (870) |
EUR | 35,000 | USD | 38,232 | HSBC | 6/20/2024 | — | (353) |
EUR | 68,000 | USD | 74,652 | JPM | 6/20/2024 | — | (1,059) |
EUR | 25,000 | USD | 27,375 | MSI | 6/20/2024 | — | (318) |
GBP | 346,000 | USD | 436,952 | BOA | 4/30/2024 | — | (184) |
GBP | 1,467,000 | USD | 1,854,573 | JPM | 4/30/2024 | — | (2,726) |
HUF | 659,789,000 | USD | 1,795,540 | GSI | 4/30/2024 | 8,608 | — |
HUF | 224,273,000 | USD | 617,250 | GSI | 6/20/2024 | — | (5,548) |
IDR | 29,192,817,000 | USD | 1,847,881 | JPM | 4/30/2024 | — | (10,106) |
IDR | 1,089,000,000 | USD | 70,145 | DB | 6/20/2024 | — | (1,685) |
IDR | 234,000,000 | USD | 14,706 | GSI | 6/20/2024 | 5 | — |
IDR | 9,060,580,000 | USD | 580,144 | JPM | 6/20/2024 | — | (10,549) |
INR | 17,382,000 | USD | 209,472 | HSBC | 6/20/2024 | — | (1,518) |
JPY | 956,034,000 | USD | 6,353,054 | BOA | 4/30/2024 | — | (10,566) |
KRW | 2,421,230,000 | USD | 1,807,900 | JPM | 4/30/2024 | — | (11,333) |
KZT | 48,400,000 | USD | 106,132 | GSI | 6/20/2024 | — | (108) |
MXN | 9,710,000 | USD | 550,142 | MSI | 5/6/2024 | 30,851 | — |
MXN | 2,080,000 | USD | 122,945 | GSI | 6/20/2024 | 627 | — |
MXN | 11,140,000 | USD | 620,890 | GSI | 7/24/2024 | 37,462 | — |
MXN | 3,345,000 | USD | 183,137 | CITI | 9/13/2024 | 12,991 | — |
MXN | 4,435,000 | USD | 240,405 | HSBC | 9/13/2024 | 19,633 | — |
MXN | 9,710,000 | USD | 508,963 | CITI | 11/6/2024 | 55,683 | — |
177 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
MYR | 1,915,000 | USD | 410,715 | HSBC | 6/20/2024 | — | $(8,042) |
NOK | 19,738,000 | USD | 1,840,394 | BARC | 4/30/2024 | — | (21,056) |
NZD | 100,000 | USD | 61,540 | MSI | 6/20/2024 | — | (1,792) |
PEN | 190,000 | USD | 51,400 | CITI | 6/20/2024 | — | (395) |
PHP | 5,920,000 | USD | 106,499 | BOA | 6/20/2024 | — | (1,220) |
PLN | 3,809,000 | USD | 966,237 | BARC | 6/20/2024 | — | (13,412) |
RON | 180,000 | USD | 39,031 | BOA | 6/20/2024 | —— | —— |
SEK | 6,172,000 | USD | 584,288 | JPM | 4/30/2024 | — | (7,058) |
THB | 3,750,000 | USD | 103,734 | BARC | 6/20/2024 | — | (292) |
THB | 930,000 | USD | 25,618 | GSI | 6/20/2024 | $35 | — |
THB | 24,148,000 | USD | 686,120 | JPM | 6/20/2024 | — | (20,005) |
TRY | 9,006,000 | USD | 269,149 | BARC | 4/30/2024 | — | (136) |
TRY | 1,675,000 | USD | 47,363 | BARC | 6/20/2024 | — | (114) |
TRY | 17,608,000 | USD | 485,394 | GSI | 6/20/2024 | 11,303 | — |
USD | 5,763,712 | AUD | 8,801,000 | BOA | 4/30/2024 | 24,095 | — |
USD | 8,284,065 | BRL | 41,069,000 | BOA | 4/2/2024 | 95,485 | — |
USD | 8,220,047 | BRL | 41,069,000 | CITI | 4/2/2024 | 31,468 | — |
USD | 8,209,695 | BRL | 41,069,000 | CITI | 5/3/2024 | 46,535 | — |
USD | 1,003,403 | BRL | 5,013,000 | SSB | 5/3/2024 | 6,984 | — |
USD | 336,018 | BRL | 1,685,000 | GSI | 6/4/2024 | 1,989 | — |
USD | 58,358 | BRL | 295,000 | HSBC | 6/4/2024 | — | (122) |
USD | 59,086 | BRL | 295,000 | MSI | 6/4/2024 | 606 | — |
USD | 18,907 | BRL | 95,000 | SSB | 6/4/2024 | 75 | — |
USD | 3,811,005 | CAD | 5,171,000 | BOA | 4/30/2024 | — | (8,118) |
USD | 85,412 | CAD | 115,000 | JPM | 6/20/2024 | 417 | — |
USD | 1,828,323 | CHF | 1,635,000 | GSI | 4/30/2024 | 9,950 | — |
USD | 52,583 | CLP | 51,500,000 | MSI | 6/21/2024 | 126 | — |
USD | 128,717 | CLP | 122,700,000 | SSB | 6/21/2024 | 3,738 | — |
USD | 768,880 | CNY | 5,565,000 | BOA | 4/30/2024 | 1,955 | — |
USD | 52,618 | CNY | 381,000 | CITI | 6/20/2024 | — | (34) |
USD | 159,082 | CNY | 1,142,000 | JPM | 6/20/2024 | 1,263 | — |
USD | 348,389 | COP | 1,384,409,000 | CITI | 6/20/2024 | — | (5,170) |
USD | 1,825,759 | CZK | 42,691,000 | MSI | 4/30/2024 | 5,935 | — |
USD | 48,359 | CZK | 1,117,000 | GSI | 6/20/2024 | 730 | — |
USD | 4,967,270 | EUR | 4,578,386 | BOA | 4/30/2024 | 22,540 | — |
USD | 197,403 | EUR | 182,000 | JPM | 4/30/2024 | 840 | — |
USD | 61,969 | EUR | 57,000 | BARC | 6/20/2024 | 281 | — |
USD | 433,659 | EUR | 398,000 | GSI | 6/20/2024 | 2,923 | — |
USD | 65,927 | EUR | 60,000 | HSBC | 6/20/2024 | 992 | — |
USD | 261,219 | EUR | 238,000 | MSI | 6/20/2024 | 3,642 | — |
USD | 1,538,525 | GBP | 1,217,000 | JPM | 4/30/2024 | 2,262 | — |
USD | 73,103 | GBP | 57,000 | BARC | 6/20/2024 | 1,130 | — |
USD | 73,474 | GBP | 58,000 | JPM | 6/20/2024 | 240 | — |
USD | 259,264 | HKD | 2,026,000 | BOA | 4/30/2024 | 181 | — |
USD | 132,966 | HUF | 48,452,000 | BOA | 6/20/2024 | 813 | — |
USD | 374,919 | HUF | 137,177,000 | GSI | 6/20/2024 | 770 | — |
USD | 52,367 | IDR | 833,000,000 | GSI | 6/20/2024 | —— | —— |
USD | 395,444 | ILS | 1,435,000 | MSI | 4/30/2024 | 4,749 | — |
USD | 818,333 | INR | 68,366,000 | HSBC | 4/30/2024 | — | (940) |
USD | 50,724 | INR | 4,240,000 | GSI | 6/20/2024 | — | (2) |
USD | 1,460,041 | JPY | 219,713,000 | BOA | 4/30/2024 | 2,428 | — |
USD | 3,008,476 | KRW | 4,029,101,000 | JPM | 4/30/2024 | 18,858 | — |
USD | 53,930 | KZT | 24,700,000 | GSI | 6/20/2024 | — | (177) |
USD | 2,974,274 | MXN | 49,951,000 | MSI | 4/30/2024 | — | (17,372) |
USD | 524,581 | MXN | 9,710,000 | CITI | 5/6/2024 | — | (56,411) |
USD | 1,055,611 | MXN | 18,005,000 | BARC | 6/20/2024 | — | (14,065) |
USD | 58,720 | MXN | 1,000,000 | CITI | 6/20/2024 | — | (690) |
USD | 135,992 | MXN | 2,312,000 | HSBC | 6/20/2024 | — | (1,364) |
USD | 110,156 | MXN | 1,890,000 | JPM | 6/20/2024 | — | (2,129) |
USD | 311,478 | MXN | 5,570,000 | BARC | 7/24/2024 | — | (17,698) |
USD | 310,991 | MXN | 5,570,000 | MSI | 7/24/2024 | — | (18,185) |
USD | 431,367 | MXN | 7,780,000 | CITI | 9/13/2024 | — | (24,801) |
USD | 534,308 | MXN | 9,710,000 | MSI | 11/6/2024 | — | (30,339) |
USD | 29,693 | MYR | 140,000 | HSBC | 6/20/2024 | 255 | — |
USD | 4,121,074 | NOK | 44,198,000 | BARC | 4/30/2024 | 47,150 | — |
USD | 6,769,789 | NZD | 11,269,000 | BOA | 4/30/2024 | 36,887 | — |
178 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 61,752 | NZD | 100,000 | GSI | 6/20/2024 | $2,004 | — |
USD | 96,761 | PEN | 357,000 | BOA | 6/20/2024 | 926 | — |
USD | 68,346 | PEN | 255,000 | SCB | 6/20/2024 | — | $(107) |
USD | 1,432,826 | PHP | 80,731,000 | JPM | 4/30/2024 | — | (3,559) |
USD | 105,743 | PHP | 5,920,000 | BOA | 6/20/2024 | 465 | — |
USD | 52,415 | PHP | 2,950,000 | GSI | 6/20/2024 | — | (47) |
USD | 1,855,233 | PLN | 7,387,000 | MSI | 4/30/2024 | 6,242 | — |
USD | 49,958 | PLN | 200,000 | JPM | 6/20/2024 | — | (72) |
USD | 74,902 | RON | 341,000 | GSI | 6/20/2024 | 960 | — |
USD | 3,809,233 | SEK | 40,238,000 | JPM | 4/30/2024 | 46,016 | — |
USD | 1,869,653 | SGD | 2,513,000 | JPM | 4/30/2024 | 6,093 | — |
USD | 74,179 | THB | 2,620,000 | BARC | 6/20/2024 | 1,907 | — |
USD | 105,669 | THB | 3,820,000 | GSI | 6/20/2024 | 295 | — |
USD | 38,971 | THB | 1,390,000 | HSBC | 6/20/2024 | 628 | — |
USD | 53,908 | TRY | 1,970,000 | BARC | 6/20/2024 | — | (1,663) |
USD | 37,398 | TRY | 1,360,000 | GSI | 6/20/2024 | — | (966) |
USD | 88,162 | UYU | 3,545,000 | HSBC | 4/15/2024 | — | (4,356) |
USD | 88,647 | UYU | 3,545,000 | CITI | 5/13/2024 | — | (1,376) |
USD | 168,643 | UYU | 6,812,000 | CITI | 6/11/2024 | — | (3,437) |
USD | 69,559 | ZAR | 1,322,000 | CITI | 4/30/2024 | — | (90) |
USD | 1,070,731 | ZAR | 20,376,000 | MSI | 4/30/2024 | — | (2,776) |
USD | 148,712 | ZAR | 2,799,000 | GSI | 6/20/2024 | 1,877 | — |
ZAR | 18,294,000 | USD | 961,324 | MSI | 4/30/2024 | 2,493 | — |
$640,698 | $(470,999) |
Interest rate swaps | ||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | 6,855,000 | CAD | CAD CORRA Compounded OIS | Fixed 4.500% | Semi-Annual | Semi-Annual | Sep 2025 | $(2,426) | $8,698 | $6,272 |
Centrally cleared | 89,120,000 | NOK | NOK NIBOR NIBR | Fixed 3.740% | Annual | Semi-Annual | Jun 2026 | — | (79,204) | (79,204) |
Centrally cleared | 45,130,000 | NOK | NOK NIBOR NIBR | Fixed 3.812% | Annual | Semi-Annual | Jun 2026 | — | (34,545) | (34,545) |
Centrally cleared | 52,320,000 | MXN | MXN TIIE Banxico | Fixed 7.840% | Monthly | Monthly | Mar 2027 | 1,438 | (125,775) | (124,337) |
Centrally cleared | 8,500,000 | NZD | NZD BBR FRA | Fixed 2.660% | Semi-Annual | Quarterly | Mar 2027 | (12,878) | (253,237) | (266,115) |
Centrally cleared | 6,540,000 | NZD | NZD BBR FRA | Fixed 2.750% | Semi-Annual | Quarterly | Mar 2027 | 4,268 | (199,228) | (194,960) |
Centrally cleared | 39,115,000 | MXN | MXN TIIE Banxico | Fixed 8.840% | Monthly | Monthly | Jun 2028 | (2,489) | (6,447) | (8,936) |
Centrally cleared | 55,310,000 | MXN | MXN TIIE Banxico | Fixed 9.053% | Monthly | Monthly | Jun 2028 | — | 12,443 | 12,443 |
Centrally cleared | 4,000,000 | AUD | AUD BBR BBSW | Fixed 4.190% | Semi-Annual | Semi-Annual | Sep 2028 | (518) | 24,017 | 23,499 |
Centrally cleared | 24,530,000 | CNY | Fixed 2.445% | CNY CNREPOFIX Reuters | Quarterly | Quarterly | Sep 2028 | — | (51,563) | (51,563) |
Centrally cleared | 9,355,000 | CNY | Fixed 2.468% | CNY CNREPOFIX Reuters | Quarterly | Quarterly | Sep 2028 | — | (20,911) | (20,911) |
Centrally cleared | 15,265,000 | CNY | Fixed 2.467% | CNY CNREPOFIX Reuters | Quarterly | Quarterly | Sep 2028 | — | (34,006) | (34,006) |
Centrally cleared | 12,020,000 | CNY | Fixed 2.400% | CNY CNREPOFIX Reuters | Quarterly | Quarterly | Sep 2028 | — | (21,896) | (21,896) |
Centrally cleared | 12,025,000 | CNY | Fixed 2.362% | CNY CNREPOFIX Reuters | Quarterly | Quarterly | Sep 2028 | — | (19,220) | (19,220) |
Centrally cleared | 2,360,000 | CAD | CAD CORRA Compounded OIS | Fixed 3.910% | Semi-Annual | Semi-Annual | Dec 2028 | (421) | 20,569 | 20,148 |
Centrally cleared | 4,700,000 | CAD | CAD CORRA Compounded OIS | Fixed 3.220% | Semi-Annual | Semi-Annual | Jun 2029 | 1,344 | (36,939) | (35,595) |
Centrally cleared | 17,445,000 | MXN | MXN TIIE Banxico | Fixed 6.940% | Monthly | Monthly | Sep 2031 | (232) | (104,848) | (105,080) |
Centrally cleared | 16,930,000 | MXN | MXN TIIE Banxico | Fixed 8.852% | Monthly | Monthly | Dec 2033 | — | 5,557 | 5,557 |
Centrally cleared | 1,212,830,000 | KRW | Fixed 3.493% | KRW CD KSDA Bloomberg | Quarterly | Quarterly | Mar 2034 | — | (20,002) | (20,002) |
Centrally cleared | 1,212,830,000 | KRW | Fixed 3.460% | KRW CD KSDA Bloomberg | Quarterly | Quarterly | Mar 2034 | — | (17,453) | (17,453) |
$(11,914) | $(953,990) | $(965,904) |
Credit default swaps - Buyer | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | Federative Republic of Brazil | 585,000 | USD | $585,000 | 1.000% | Quarterly | Dec 2026 | $19,434 | $(23,413) | $(3,979) |
179 |
Credit default swaps - Buyer (continued) | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation)
| Value |
BARC | Emirate of Abu Dhabi | 515,000 | USD | $515,000 | 1.000% | Quarterly | Dec 2028 | $(12,581) | $(2,284) | $(14,865) |
BARC | Emirate of Abu Dhabi | 515,000 | USD | 515,000 | 1.000% | Quarterly | Dec 2028 | (12,513) | (2,352) | (14,865) |
BARC | Federative Republic of Brazil | 270,000 | USD | 270,000 | 1.000% | Quarterly | Dec 2028 | 3,713 | (1,032) | 2,681 |
BARC | Kingdom of Saudi Arabia | 520,000 | USD | 520,000 | 1.000% | Quarterly | Dec 2028 | (9,124) | (2,665) | (11,789) |
BARC | Republic of Chile | 935,000 | USD | 935,000 | 1.000% | Quarterly | Dec 2028 | (14,528) | (5,951) | (20,479) |
BARC | Republic of Chile | 260,000 | USD | 260,000 | 1.000% | Quarterly | Dec 2028 | (5,221) | (474) | (5,695) |
BARC | Republic of Colombia | 210,000 | USD | 210,000 | 1.000% | Quarterly | Dec 2028 | 8,433 | (3,591) | 4,842 |
BARC | Republic of Colombia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2024 | 13,160 | (1,632) | 11,528 |
BARC | Republic of Indonesia | 485,000 | USD | 485,000 | 1.000% | Quarterly | Dec 2028 | (5,339) | (1,626) | (6,965) |
BARC | Republic of Panama | 545,000 | USD | 545,000 | 1.000% | Quarterly | Dec 2028 | 17,657 | (4,089) | 13,568 |
BARC | Republic of Panama | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | 13,792 | (1,344) | 12,448 |
BARC | Republic of Peru | 260,000 | USD | 260,000 | 1.000% | Quarterly | Dec 2028 | (3,538) | (989) | (4,527) |
BARC | United Mexican States | 535,000 | USD | 535,000 | 1.000% | Quarterly | Dec 2028 | 991 | (4,961) | (3,970) |
BARC | United Mexican States | 480,000 | USD | 480,000 | 1.000% | Quarterly | Dec 2028 | 299 | (3,861) | (3,562) |
BARC | United Mexican States | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2024 | (2,635) | (1,075) | (3,710) |
BARC | United Mexican States | 265,000 | USD | 265,000 | 1.000% | Quarterly | Dec 2028 | (1,400) | (566) | (1,966) |
BOA | Federative Republic of Brazil | 2,345,000 | USD | 2,345,000 | 1.000% | Quarterly | Dec 2027 | 112,420 | (114,780) | (2,360) |
BOA | Federative Republic of Brazil | 620,000 | USD | 620,000 | 1.000% | Quarterly | Dec 2027 | 29,816 | (30,440) | (624) |
BOA | Republic of South Africa | 1,650,000 | USD | 1,650,000 | 1.000% | Quarterly | Dec 2028 | 95,133 | (588) | 94,545 |
BOA | State of Qatar | 515,000 | USD | 515,000 | 1.000% | Quarterly | Dec 2028 | (10,382) | (4,144) | (14,526) |
CITI | Federative Republic of Brazil | 485,000 | USD | 485,000 | 1.000% | Quarterly | Dec 2027 | 23,690 | (24,178) | (488) |
GSI | Government of Malaysia | 2,075,000 | USD | 2,075,000 | 1.000% | Quarterly | Dec 2028 | (47,069) | (7,830) | (54,899) |
GSI | Government of Malaysia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | (12,260) | (969) | (13,229) |
GSI | Republic of Colombia | 550,000 | USD | 550,000 | 1.000% | Quarterly | Dec 2028 | 16,785 | (4,105) | 12,680 |
GSI | Republic of Colombia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | 12,525 | (997) | 11,528 |
GSI | Republic of Colombia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | 11,130 | 398 | 11,528 |
GSI | Republic of Colombia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | 11,615 | (87) | 11,528 |
GSI | Republic of Indonesia | 1,145,000 | USD | 1,145,000 | 1.000% | Quarterly | Dec 2028 | (5,646) | (10,797) | (16,443) |
GSI | Republic of Indonesia | 1,540,000 | USD | 1,540,000 | 1.000% | Quarterly | Dec 2028 | (15,694) | (6,421) | (22,115) |
GSI | Republic of Indonesia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | (5,109) | (2,071) | (7,180) |
GSI | Republic of South Africa | 460,000 | USD | 460,000 | 1.000% | Quarterly | Dec 2028 | 27,521 | (1,163) | 26,358 |
GSI | Republic of the Philippines | 800,000 | USD | 800,000 | 1.000% | Quarterly | Dec 2028 | (6,929) | (7,960) | (14,889) |
GSI | Republic of the Philippines | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | (8,079) | (1,226) | (9,305) |
GSI | State of Qatar | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | (11,024) | (3,078) | (14,102) |
GSI | State of Qatar | 520,000 | USD | 520,000 | 1.000% | Quarterly | Dec 2028 | (13,329) | (1,338) | (14,667) |
GSI | United Mexican States | 265,000 | USD | 265,000 | 1.000% | Quarterly | Dec 2028 | (1,007) | (959) | (1,966) |
JPM | Republic of South Africa | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | 29,825 | (1,175) | 28,650 |
JPM | Republic of South Africa | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | 27,335 | 1,315 | 28,650 |
MSI | Government of Japan | 9,570,000 | USD | 9,570,000 | 1.000% | Quarterly | Dec 2024 | (50,374) | (20,006) | (70,380) |
MSI | Emirate of Abu Dhabi | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | (12,934) | (1,498) | (14,432) |
MSI | Federative Republic of Brazil | 2,460,000 | USD | 2,460,000 | 1.000% | Quarterly | Dec 2028 | 68,164 | (43,735) | 24,429 |
MSI | Kingdom of Saudi Arabia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | (9,545) | (1,791) | (11,336) |
MSI | Republic of Chile | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | (8,192) | (2,759) | (10,951) |
MSI | Republic of Peru | 2,375,000 | USD | 2,375,000 | 1.000% | Quarterly | Dec 2028 | (20,830) | (20,524) | (41,354) |
MSI | Republic of South Africa | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | 25,080 | 3,570 | 28,650 |
MSI | State of Qatar | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | (11,728) | (2,374) | (14,102) |
MSI | United Mexican States | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | (207) | (3,503) | (3,710) |
MSI | United Mexican States | 1,550,000 | USD | 1,550,000 | 1.000% | Quarterly | Dec 2028 | (1,609) | (9,893) | (11,502) |
MSI | United Mexican States | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2028 | (1,042) | (2,668) | (3,710) |
$44,805,000 | $248,650 | $(389,679) | $(141,029) | |||||||
Centrally cleared | CDX.EM.40 | 24,060,000 | USD | 24,060,000 | 1.000% | Quarterly | Dec 2028 | 1,089,001 | (506,253) | 582,748 |
Centrally cleared | CDX.EM.IG.40 | 3,090,000 | USD | 3,090,000 | 1.000% | Quarterly | Dec 2028 | (38,509) | (11,150) | (49,659) |
Centrally cleared | CDX.NA.HY.41 | 2,717,550 | USD | 2,717,550 | 5.000% | Quarterly | Dec 2028 | (171,144) | (34,318) | (205,462) |
Centrally cleared | CDX.NA.IG.41 | 18,645,000 | USD | 18,645,000 | 1.000% | Quarterly | Dec 2028 | (390,874) | (42,340) | (433,214) |
Centrally cleared | iTraxx Europe Crossover Series 40 Version 1 | 940,000 | EUR | 1,029,392 | 5.000% | Quarterly | Dec 2028 | (52,413) | (26,681) | (79,094) |
Centrally cleared | iTraxx Europe Senior Financials Series 40 Version 1 | 5,820,000 | EUR | 6,324,612 | 1.000% | Quarterly | Dec 2028 | (81,240) | (39,042) | (120,282) |
180 |
Credit default swaps - Buyer (continued) | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation)
| Value |
Centrally cleared | iTraxx Europe Series 40 Version 1 | 6,685,000 | EUR | 7,279,659 | 1.000% | Quarterly | Dec 2028 | $(142,285) | $(16,178) | $(158,463) |
Centrally cleared | iTraxx Europe Sub Financials Series 40 Version 1 | 3,420,000 | EUR | 3,714,684 | 1.000% | Quarterly | Dec 2028 | 53,175 | (51,657) | 1,518 |
Centrally cleared | CDX.NA.HY.42 | 400,000 | USD | 400,000 | 5.000% | Quarterly | Jun 2029 | (27,692) | (1,975) | (29,667) |
Centrally cleared | CDX.NA.IG.42 | 23,020,000 | USD | 23,020,000 | 1.000% | Quarterly | Jun 2029 | (498,538) | (30,879) | (529,417) |
$90,280,897 | $(260,519) | $(760,473) | $(1,020,992) | |||||||
$135,085,897 | $(11,869) | $(1,150,152) | $(1,162,021) |
Credit default swaps - Seller | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BOA | Anglo American Capital PLC | 1.099% | 260,000 | EUR | $284,869 | 5.000% | Quarterly | Dec 2028 | $42,332 | $5,798 | $48,130 |
BOA | Anglo American Capital PLC | 1.099% | 260,000 | EUR | 285,675 | 5.000% | Quarterly | Dec 2028 | 42,128 | 6,002 | 48,130 |
GSI | CMBX.NA.BBB-.14 | 6.917% | 25,000 | USD | 25,000 | 3.000% | Monthly | Dec 2072 | (4,088) | (271) | (4,359) |
$595,544 | $80,372 | $11,529 | $91,901 | ||||||||
Centrally cleared | CDX.NA.HY.41 | 3.108% | 277,200 | USD | 277,200 | 5.000% | Quarterly | Dec 2028 | 8,785 | 12,173 | 20,958 |
$277,200 | $8,785 | $12,173 | $20,958 | ||||||||
$872,744 | $89,157 | $23,702 | $112,859 |
Total return swaps | ||||||||||
Pay/ receive total return* | Reference entity | Floating/ fixed rate | Payment frequency | Currency | Notional amount | Maturity date | Counterparty (OTC) | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Pay | iBoxx $ Liquid Leveraged Loan Index | 1-Day USD Compounded SOFR | At Maturity | USD | 1,375,000 | Jun 2024 | GSI | — | $(55,951) | $(55,951) |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 3,450,000 | Jun 2024 | JPM | — | (143,291) | (143,291) |
Pay | iBoxx $ Liquid Investment Grade Index | 1-Day USD Compounded SOFR | At Maturity | USD | 1,780,000 | Jun 2024 | JPM | — | (47,657) | (47,657) |
Pay | iBoxx $ Liquid Investment Grade Index | 1-Day USD Compounded SOFR | At Maturity | USD | 1,995,000 | Sep 2024 | JPM | — | 4,371 | 4,371 |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 6,110,000 | Jun 2024 | MSI | — | (258,890) | (258,890) |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 1,420,000 | Jun 2024 | MSI | — | (31,051) | (31,051) |
Pay | iBoxx $ Liquid Leveraged Loan Index | 1-Day USD Compounded SOFR | At Maturity | USD | 1,225,000 | Jun 2024 | MSI | — | (49,847) | (49,847) |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 4,300,000 | Dec 2024 | MSI | — | (1,844) | (1,844) |
— | $(584,160) | $(584,160) |
Inflation swaps | |||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | USD notional amount | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | 2,970,000 | USD | $2,970,000 | Fixed 3.243% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | $8,509 | $8,509 |
181 |
Inflation swaps (continued) | |||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | USD notional amount | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | 2,990,000 | USD | $2,990,000 | Fixed 3.243% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | $8,566 | $8,566 |
BARC | 5,640,000 | USD | 5,640,000 | Fixed 3.147% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | 43,042 | 43,042 |
BOA | 500,000 | USD | 500,000 | Fixed 1.635% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2050 | — | 126,415 | 126,415 |
CITI | 440,000 | USD | 440,000 | Fixed 3.257% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | $(36) | 977 | 941 |
CITI | 780,000 | USD | 780,000 | Fixed 2.578% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2051 | — | 43,514 | 43,514 |
JPM | 1,700,000 | USD | 1,700,000 | Fixed 1.830% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2050 | (38,177) | 402,935 | 364,758 |
$15,020,000 | $(38,213) | $633,958 | $595,745 |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | Chinese Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
EUR | Euro |
GBP | Pound Sterling |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli New Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | Korean Won |
KZT | Kazakhstan Tenge |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peruvian Nuevo Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian New Leu |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Bhat |
TRY | Turkish Lira |
USD | U.S. Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
182 |
Derivatives Abbreviations | |
BARC | Barclays Bank PLC |
BBR | Bank Bill Rate |
BBSW | Bank Bill Swap Rate |
BOA | Bank of America, N.A. |
CITI | Citibank, N.A. |
CNREPOFIX | China Fixing Repo Rate |
CORRA | Canadian Overnight Repo Rate Average |
CPI | Consumer Price Index |
DB | Deutsche Bank AG |
FRA | Forward Rate Agreement |
GSI | Goldman Sachs International |
HSBC | HSBC Bank PLC |
JPM | JPMorgan Chase Bank, N.A. |
KSDA | Korea Securities Dealers Association |
MSI | Morgan Stanley & Co. International PLC |
NIBOR | Norwegian Interbank Offered Rate |
OIS | Overnight Index Swap |
OTC | Over-the-counter |
SCB | Standard Chartered Bank |
SOFR | Secured Overnight Financing Rate |
SSB | State Street Bank and Trust Company |
TIIE | Tasa de Interes Interbancario de Equilibrio (Interbank Equilibrium Interest Rate) |
183 |
184 |
185 |
186 |
187 |
188 |
189 |
190 |
191 |
192 |
193 |
194 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
10-Year U.S. Treasury Note Futures | 755 | Long | Jun 2024 | $83,707,850 | $83,651,641 | $(56,209) |
$(56,209) |
195 |
196 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
5-Year U.S. Treasury Note Futures | 66 | Long | Jun 2024 | $7,042,520 | $7,063,031 | $20,511 |
$20,511 |
197 |
198 |
199 |
200 |
201 |
202 |
203 |
204 |
205 |
206 |
207 |
208 |
209 |
210 |
211 |
212 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Russell 2000 E-Mini Index Futures | 218 | Long | Jun 2024 | $22,787,547 | $23,390,310 | $602,763 |
$602,763 |
213 |
214 |
215 |
216 |
217 |
218 |
219 |
220 |
221 |
222 |
223 |
224 |
225 |
226 |
227 |
228 |
229 |
230 |
231 |
232 |
233 |
234 |
235 |
236 |
237 |
238 |
239 |
240 |
241 |
242 |
243 |
244 |
245 |
246 |
247 |
248 |
249 |
250 |
251 |
252 |
253 |
254 |
255 |
256 |
257 |
258 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
MSCI EAFE Index Futures | 988 | Long | Jun 2024 | $116,634,317 | $116,440,740 | $(193,577) |
Russell 2000 E-Mini Index Futures | 172 | Long | Jun 2024 | 18,139,586 | 18,454,740 | 315,154 |
S&P 500 E-Mini Index Futures | 652 | Long | Jun 2024 | 169,594,710 | 173,057,100 | 3,462,390 |
S&P Mid 400 E-Mini Index Futures | 50 | Long | Jun 2024 | 14,879,700 | 15,387,000 | 507,300 |
$4,091,267 |
259 |
260 |
261 |
262 |
263 |
264 |
265 |
266 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
German Euro BUND Futures | 21 | Long | Jun 2024 | $2,995,481 | $3,021,852 | $26,371 |
10-Year U.S. Treasury Note Futures | 25 | Short | Jun 2024 | (2,750,742) | (2,769,922) | (19,180) |
Euro-BTP Italian Government Bond Futures | 28 | Short | Jun 2024 | (3,551,322) | (3,595,030) | (43,708) |
$(36,517) |
267 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
AUD | 2,905 | USD | 1,894 | UBS | 4/3/2024 | — | $(1) |
AUD | 2,077,119 | USD | 1,368,551 | ANZ | 6/20/2024 | — | (12,028) |
AUD | 3,095,366 | USD | 2,022,048 | CITI | 6/20/2024 | — | (528) |
AUD | 4,154,237 | USD | 2,740,417 | JPM | 6/20/2024 | — | (27,371) |
CAD | 2,963,367 | USD | 2,187,318 | CIBC | 6/20/2024 | $2,874 | — |
CAD | 1,485,883 | USD | 1,093,659 | MSCS | 6/20/2024 | 4,541 | — |
EUR | 340,750 | JPY | 55,711,708 | CITI | 6/20/2024 | — | (3,717) |
EUR | 1,699,375 | NOK | 19,677,318 | CITI | 6/20/2024 | 23,292 | — |
EUR | 5,098,125 | NOK | 59,288,653 | JPM | 6/20/2024 | 46,187 | — |
EUR | 2,051,107 | USD | 2,240,321 | CITI | 6/20/2024 | — | (20,499) |
EUR | 4,188,268 | USD | 4,568,689 | RBC | 6/20/2024 | — | (35,911) |
GBP | 330,842 | USD | 422,325 | CIBC | 6/20/2024 | — | (4,580) |
GBP | 1,650,000 | USD | 2,114,105 | GSI | 6/20/2024 | — | (30,698) |
GBP | 1,666,875 | USD | 2,136,989 | RBC | 6/20/2024 | — | (32,274) |
GBP | 1,675,558 | USD | 2,132,952 | SSB | 6/20/2024 | — | (17,274) |
GBP | 1,650,000 | USD | 2,115,892 | UBS | 6/20/2024 | — | (32,485) |
JPY | 55,099,101 | EUR | 340,750 | MSCS | 6/20/2024 | — | (379) |
JPY | 247,889,516 | USD | 1,661,250 | CIBC | 6/20/2024 | — | (3,829) |
JPY | 247,563,628 | USD | 1,661,250 | GSI | 6/20/2024 | — | (6,008) |
JPY | 492,140,479 | USD | 3,322,500 | MSCS | 6/20/2024 | — | (31,986) |
MXN | 11,556,723 | USD | 673,478 | CIBC | 6/20/2024 | 13,106 | — |
MXN | 11,570,135 | USD | 673,478 | RBC | 6/20/2024 | 13,903 | — |
MXN | 5,820,800 | USD | 340,000 | SSB | 6/20/2024 | 5,813 | — |
NOK | 50,937,956 | EUR | 4,416,298 | BARC | 6/20/2024 | — | (78,897) |
NOK | 19,636,108 | EUR | 1,699,375 | HUS | 6/20/2024 | — | (27,095) |
NOK | 8,466,737 | EUR | 732,634 | JPM | 6/20/2024 | — | (11,569) |
NOK | 31,274,429 | EUR | 2,716,923 | MSCS | 6/20/2024 | — | (54,331) |
NZD | 2,087,122 | USD | 1,269,012 | BARC | 6/20/2024 | — | (21,993) |
NZD | 1,700,000 | USD | 1,027,794 | BNY | 6/20/2024 | — | (12,074) |
NZD | 3,106,309 | USD | 1,880,001 | HUS | 6/20/2024 | — | (24,035) |
NZD | 2,087,122 | USD | 1,267,808 | RBC | 6/20/2024 | — | (20,789) |
NZD | 1,700,000 | USD | 1,035,747 | UBS | 6/20/2024 | — | (20,027) |
SGD | 4,686,664 | USD | 3,507,982 | BARC | 6/20/2024 | — | (24,584) |
SGD | 5,952,861 | USD | 4,452,577 | CIBC | 6/20/2024 | — | (28,069) |
SGD | 5,431,276 | USD | 4,068,158 | GSI | 6/20/2024 | — | (31,322) |
SGD | 3,025,218 | USD | 2,260,088 | HUS | 6/20/2024 | — | (11,572) |
SGD | 3,021,421 | USD | 2,260,088 | JPM | 6/20/2024 | — | (14,394) |
SGD | 3,016,110 | USD | 2,260,088 | MSCS | 6/20/2024 | — | (18,342) |
SGD | 3,015,717 | USD | 2,260,088 | SSB | 6/20/2024 | — | (18,634) |
USD | 6,309,276 | AUD | 9,512,406 | CIBC | 6/20/2024 | 96,920 | — |
USD | 3,768,012 | AUD | 5,745,847 | CITI | 6/20/2024 | 15,518 | — |
USD | 2,004,637 | AUD | 3,078,132 | UBS | 6/20/2024 | — | (5,628) |
USD | 1,119,393 | BRL | 5,625,510 | GSI | 6/20/2024 | 6,048 | — |
USD | 3,633,631 | CAD | 4,937,105 | BARC | 6/20/2024 | — | (15,329) |
USD | 5,103,692 | CAD | 6,866,698 | CITI | 6/20/2024 | 28,592 | — |
USD | 47,905 | CAD | 65,000 | HUS | 6/20/2024 | — | (136) |
USD | 16,916,051 | EUR | 15,409,186 | SSB | 6/20/2024 | 239,367 | — |
USD | 2,008,930 | GBP | 1,595,360 | CITI | 6/20/2024 | — | (5,485) |
USD | 10,816,517 | GBP | 8,451,423 | MSCS | 6/20/2024 | 145,149 | — |
USD | 3,402,500 | JPY | 509,320,225 | GSI | 6/20/2024 | — | (2,880) |
USD | 715,427 | MXN | 12,173,776 | BARC | 6/20/2024 | — | (7,816) |
USD | 342,500 | MXN | 5,764,277 | CIBC | 6/20/2024 | 45 | — |
USD | 4,241,092 | MXN | 72,271,596 | JPM | 6/20/2024 | — | (52,558) |
USD | 2,067,988 | MXN | 35,002,946 | MSCS | 6/20/2024 | — | (11,535) |
USD | 724,392 | MXN | 12,126,684 | RBC | 6/20/2024 | 3,947 | — |
USD | 672,682 | MXN | 11,409,677 | UBS | 6/20/2024 | — | (5,166) |
USD | 3,076,695 | NOK | 32,107,496 | HUS | 6/20/2024 | 113,744 | — |
USD | 340,164 | NZD | 552,028 | ANZ | 6/20/2024 | 10,337 | — |
USD | 2,096,650 | NZD | 3,400,000 | CITI | 6/20/2024 | 65,209 | — |
USD | 2,050,547 | NZD | 3,400,000 | HUS | 6/20/2024 | 19,106 | — |
USD | 5,059,308 | NZD | 8,406,750 | MSCS | 6/20/2024 | 36,421 | — |
USD | 94,953 | NZD | 158,215 | SSB | 6/20/2024 | 423 | — |
USD | 1,020,858 | NZD | 1,700,000 | UBS | 6/20/2024 | 5,138 | — |
USD | 17,379,915 | SGD | 22,999,102 | BARC | 6/20/2024 | 285,662 | — |
USD | 75,780 | SGD | 101,818 | BNY | 6/20/2024 | 103 | — |
USD | 3,377,263 | SGD | 4,536,171 | CIBC | 6/20/2024 | 5,720 | — |
USD | 8,889,358 | SGD | 11,884,641 | CITI | 6/20/2024 | 56,012 | — |
268 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 4,503,017 | SGD | 6,040,798 | HUS | 6/20/2024 | $13,150 | — |
$1,256,327 | $(783,828) |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
EUR | Euro |
GBP | Pound Sterling |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SGD | Singapore Dollar |
USD | U.S. Dollar |
Derivatives Abbreviations | |
ANZ | Australia and New Zealand Banking Group Limited |
BARC | Barclays Bank PLC |
BNY | The Bank of New York Mellon |
CIBC | Canadian Imperial Bank of Commerce |
CITI | Citibank, N.A. |
GSI | Goldman Sachs International |
HUS | HSBC Bank USA, N.A. |
JPM | JPMorgan Chase Bank, N.A. |
MSCS | Morgan Stanley Capital Services LLC |
OTC | Over-the-counter |
RBC | Royal Bank of Canada |
SSB | State Street Bank and Trust Company |
UBS | UBS AG |
269 |
270 |
271 |
272 |
273 |
274 |
275 |
276 |
277 |
278 |
279 |
280 |
281 |
282 |
283 |
284 |
285 |
286 |
287 |
288 |
289 |
290 |
291 |
292 |
293 |
294 |
295 |
296 |
297 |
298 |
299 |
300 |
301 |
302 |
303 |
304 |
305 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Russell 2000 E-Mini Index Futures | 22 | Long | Jun 2024 | $2,317,666 | $2,360,490 | $42,824 |
S&P 500 E-Mini Index Futures | 70 | Long | Jun 2024 | 18,286,162 | 18,579,750 | 293,588 |
$336,412 |
306 |
307 |
308 |
309 |
310 |
Subadvisors of Affiliated Underlying Funds | |
Allspring Global Investments, LLC | (Allspring Investments) |
Axiom Investors LLC | (Axiom) |
Dimensional Fund Advisors, LP | (DFA) |
Manulife Investment Management (US) LLC | (MIM US) |
T. Rowe Price Associates, Inc. | (T. Rowe Price) |
Wellington Management Company LLP | (Wellington) |
311 |
312 |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
500 Index Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $9,262,138,881 | $9,262,138,881 | — | — |
Short-term investments | 264,029,924 | 264,029,924 | — | — |
Total investments in securities | $9,526,168,805 | $9,526,168,805 | — | — |
Derivatives: | ||||
Assets | ||||
Futures | $4,437,325 | $4,437,325 | — | — |
Active Bond Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $287,434,988 | — | $287,434,988 | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Active Bond Trust (continued) | ||||
Foreign government obligations | $1,617 | — | $1,617 | — |
Corporate bonds | 199,820,828 | — | 199,820,828 | — |
Capital preferred securities | 246,413 | — | 246,413 | — |
Municipal bonds | 3,254,471 | — | 3,254,471 | — |
Collateralized mortgage obligations | 19,580,698 | — | 19,580,698 | — |
Asset backed securities | 29,350,461 | — | 29,350,461 | — |
Common stocks | 142,006 | $115,778 | 26,228 | — |
Preferred securities | 145,720 | 145,720 | — | — |
Short-term investments | 1,367,281 | 1,367,281 | — | — |
Total investments in securities | $541,344,483 | $1,628,779 | $539,715,704 | — |
Derivatives: | ||||
Liabilities | ||||
Futures | $(8,024) | $(8,024) | — | — |
American Asset Allocation Trust | ||||
Investments in securities: | ||||
Assets | ||||
Investment companies | $1,199,181,021 | $1,199,181,021 | — | — |
Total investments in securities | $1,199,181,021 | $1,199,181,021 | — | — |
American Global Growth Trust | ||||
Investments in securities: | ||||
Assets | ||||
Investment companies | $206,658,411 | $206,658,411 | — | — |
Total investments in securities | $206,658,411 | $206,658,411 | — | — |
American Growth Trust | ||||
Investments in securities: | ||||
Assets | ||||
Investment companies | $973,182,975 | $973,182,975 | — | — |
Total investments in securities | $973,182,975 | $973,182,975 | — | — |
American Growth-Income Trust | ||||
Investments in securities: | ||||
Assets | ||||
Investment companies | $951,368,408 | $951,368,408 | — | — |
Total investments in securities | $951,368,408 | $951,368,408 | — | — |
American International Trust | ||||
Investments in securities: | ||||
Assets | ||||
Investment companies | $373,207,844 | $373,207,844 | — | — |
Total investments in securities | $373,207,844 | $373,207,844 | — | — |
Blue Chip Growth Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $294,199,130 | $294,199,130 | — | — |
Consumer discretionary | 275,266,478 | 275,266,478 | — | — |
Consumer staples | 26,231,942 | 26,231,942 | — | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Blue Chip Growth Trust (continued) | ||||
Energy | $6,632,174 | $6,632,174 | — | — |
Financials | 180,216,333 | 175,289,122 | $4,927,211 | — |
Health care | 229,771,985 | 229,771,985 | — | — |
Industrials | 30,232,601 | 30,232,601 | — | — |
Information technology | 827,876,956 | 827,876,956 | — | — |
Materials | 17,881,207 | 17,881,207 | — | — |
Utilities | 14,392,051 | 14,392,051 | — | — |
Corporate bonds | 3,615,317 | — | 3,615,317 | — |
Short-term investments | 5,193,381 | 5,193,381 | — | — |
Total investments in securities | $1,911,509,555 | $1,902,967,027 | $8,542,528 | — |
Capital Appreciation Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $84,904,577 | $84,904,577 | — | — |
Consumer discretionary | 129,793,193 | 122,289,794 | $7,503,399 | — |
Consumer staples | 17,926,863 | 12,402,177 | 5,524,686 | — |
Financials | 52,537,491 | 49,584,881 | 2,952,610 | — |
Health care | 74,699,819 | 74,699,819 | — | — |
Industrials | 17,653,063 | 17,653,063 | — | — |
Information technology | 265,353,640 | 265,353,640 | — | — |
Real estate | 5,342,636 | 5,342,636 | — | — |
Short-term investments | 4,719 | 4,719 | — | — |
Total investments in securities | $648,216,001 | $632,235,306 | $15,980,695 | — |
Capital Appreciation Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $296,635,977 | $296,635,977 | — | — |
Preferred securities | 805,409 | 805,409 | — | — |
U.S. Government and Agency obligations | 53,302,714 | — | $53,302,714 | — |
Corporate bonds | 52,408,823 | — | 52,408,823 | — |
Term loans | 49,617,801 | — | 49,617,801 | — |
Asset backed securities | 502,041 | — | 502,041 | — |
Short-term investments | 24,761,778 | 22,601,778 | 2,160,000 | — |
Total investments in securities | $478,034,543 | $320,043,164 | $157,991,379 | — |
Derivatives: | ||||
Liabilities | ||||
Written options | $(1,487,716) | — | $(1,487,716) | — |
Core Bond Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $419,032,666 | — | $419,032,666 | — |
Foreign government obligations | 6,946,453 | — | 6,946,453 | — |
Corporate bonds | 193,965,127 | — | 193,965,127 | — |
Municipal bonds | 2,819,507 | — | 2,819,507 | — |
Collateralized mortgage obligations | 124,957,908 | — | 124,957,908 | — |
Asset backed securities | 64,546,266 | — | 64,546,266 | — |
Short-term investments | 14,153,150 | $14,153,150 | — | — |
Total investments in securities | $826,421,077 | $14,153,150 | $812,267,927 | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Disciplined Value International Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Austria | $1,507,816 | — | $1,507,816 | — |
Belgium | 790,820 | — | 790,820 | — |
Bermuda | 8,170,541 | $4,789,080 | 3,381,461 | — |
Brazil | 2,187,853 | 2,187,853 | — | — |
Canada | 31,539,206 | 31,539,206 | — | — |
China | 2,318,583 | — | 2,318,583 | — |
Finland | 3,223,016 | — | 3,223,016 | — |
France | 30,630,170 | — | 30,630,170 | — |
Germany | 21,439,311 | — | 21,439,311 | — |
Ireland | 11,962,290 | 1,663,948 | 10,298,342 | — |
Italy | 2,277,444 | — | 2,277,444 | — |
Japan | 53,553,100 | — | 53,553,100 | — |
Jordan | 1,766,497 | — | 1,766,497 | — |
Luxembourg | 2,132,157 | — | 2,132,157 | — |
Netherlands | 11,250,498 | — | 11,250,498 | — |
Singapore | 2,649,777 | — | 2,649,777 | — |
South Korea | 21,487,109 | — | 21,487,109 | — |
Spain | 2,484,308 | — | 2,484,308 | — |
Switzerland | 11,865,715 | — | 11,865,715 | — |
United Kingdom | 57,010,629 | 6,557,567 | 50,453,062 | — |
United States | 2,483,690 | 2,483,690 | — | — |
Preferred securities | 2,353,660 | — | 2,353,660 | — |
Short-term investments | 8,309,095 | 8,309,095 | — | — |
Total investments in securities | $293,393,285 | $57,530,439 | $235,862,846 | — |
Emerging Markets Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Australia | $94,395 | — | $94,395 | — |
Belgium | 71,286 | — | 71,286 | — |
Brazil | 6,578,910 | $6,578,910 | — | — |
Canada | 108,126 | — | 108,126 | — |
Chile | 1,114,966 | — | 1,114,966 | — |
China | 46,119,990 | 2,790,609 | 43,286,481 | $42,900 |
Colombia | 137,943 | 33,257 | 104,686 | — |
Cyprus | 26,679 | — | 26,679 | — |
Czech Republic | 271,083 | — | 271,083 | — |
Greece | 1,074,736 | — | 1,074,736 | — |
Hong Kong | 6,324,930 | — | 6,320,046 | 4,884 |
Hungary | 409,782 | — | 409,782 | — |
India | 41,938,452 | 67,610 | 41,858,175 | 12,667 |
Indonesia | 3,425,695 | — | 3,368,765 | 56,930 |
Kuwait | 1,373,380 | — | 1,373,380 | — |
Malaysia | 3,496,707 | — | 3,495,563 | 1,144 |
Mexico | 6,782,081 | 78,084 | 6,703,997 | — |
Panama | 820 | — | 820 | — |
Philippines | 1,526,007 | — | 1,525,844 | 163 |
Poland | 1,988,291 | — | 1,988,291 | — |
Qatar | 1,777,874 | — | 1,777,874 | — |
Russia | 60,388 | — | — | 60,388 |
Saudi Arabia | 8,921,263 | — | 8,921,263 | — |
Singapore | 62,489 | — | 62,489 | — |
South Africa | 5,782,391 | 258,644 | 5,523,747 | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Emerging Markets Value Trust (continued) | ||||
South Korea | $29,374,948 | $2,659,751 | $26,642,424 | $72,773 |
Taiwan | 42,941,603 | — | 42,941,603 | — |
Thailand | 3,836,096 | — | 3,828,867 | 7,229 |
Turkey | 2,356,197 | — | 2,356,037 | 160 |
United Arab Emirates | 3,055,915 | — | 3,055,915 | — |
United Kingdom | 147,919 | 147,919 | — | — |
United States | 44,751 | — | 44,751 | — |
Preferred securities | ||||
Brazil | 4,979,466 | 4,979,466 | — | — |
Colombia | 138,627 | — | 138,627 | — |
India | 12 | — | — | 12 |
Philippines | 9,240 | — | 9,240 | — |
Warrants | 202 | 202 | — | — |
Short-term investments | 1,522,546 | 1,522,546 | — | — |
Total investments in securities | $227,876,186 | $19,116,998 | $208,499,938 | $259,250 |
Derivatives: | ||||
Assets | ||||
Futures | $40,270 | $40,270 | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Equity Income Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $67,789,330 | $67,789,330 | — | — |
Consumer discretionary | 34,881,691 | 34,881,691 | — | — |
Consumer staples | 118,117,059 | 118,117,059 | — | — |
Energy | 126,537,868 | 95,282,175 | $31,255,693 | — |
Financials | 338,542,852 | 338,542,852 | — | — |
Health care | 226,317,843 | 218,129,997 | 8,187,846 | — |
Industrials | 179,291,276 | 179,291,276 | — | — |
Information technology | 135,979,957 | 121,613,290 | 14,366,667 | — |
Materials | 44,026,408 | 44,026,408 | — | — |
Real estate | 58,805,439 | 58,805,439 | — | — |
Utilities | 85,214,462 | 85,214,462 | — | — |
Preferred securities | ||||
Consumer discretionary | 17,421,795 | 8,249,597 | 9,172,198 | — |
Utilities | 2,211,691 | 2,211,691 | — | — |
Short-term investments | 20,460,872 | 20,460,872 | — | — |
Total investments in securities | $1,455,598,543 | $1,392,616,139 | $62,982,404 | — |
Financial Industries Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Financials | ||||
Banks | $44,648,184 | $36,241,544 | $8,406,640 | — |
Capital markets | 31,945,409 | 31,945,409 | — | — |
Consumer finance | 5,137,116 | 5,137,116 | — | — |
Financial services | 11,398,818 | 10,490,063 | 908,755 | — |
Insurance | 23,526,819 | 22,007,942 | 1,518,877 | — |
Real estate | ||||
Industrial REITs | 669,659 | — | 669,659 | — |
Specialized REITs | 1,498,592 | 1,498,592 | — | — |
Convertible bonds | 713,338 | — | 713,338 | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Financial Industries Trust (continued) | ||||
Short-term investments | $1,543,933 | $1,543,933 | — | — |
Total investments in securities | $121,081,868 | $108,864,599 | $12,217,269 | — |
Fundamental All Cap Core Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $235,785,197 | $235,785,197 | — | — |
Consumer discretionary | 534,208,277 | 493,675,844 | $40,532,433 | — |
Consumer staples | 81,451,930 | 81,451,930 | — | — |
Energy | 101,319,049 | 101,319,049 | — | — |
Financials | 416,265,363 | 416,265,363 | — | — |
Health care | 155,396,855 | 155,396,855 | — | — |
Industrials | 170,605,573 | 170,605,573 | — | — |
Information technology | 638,018,105 | 638,018,105 | — | — |
Materials | 28,061,999 | 28,061,999 | — | — |
Real estate | 92,270,629 | 92,270,629 | — | — |
Short-term investments | 12,568,059 | 12,568,059 | — | — |
Total investments in securities | $2,465,951,036 | $2,425,418,603 | $40,532,433 | — |
Fundamental Large Cap Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $56,603,308 | $56,603,308 | — | — |
Consumer discretionary | 61,617,998 | 54,427,145 | $7,190,853 | — |
Consumer staples | 69,926,605 | 49,683,989 | 20,242,616 | — |
Energy | 56,115,717 | 56,115,717 | — | — |
Financials | 174,524,193 | 174,524,193 | — | — |
Health care | 132,536,296 | 132,536,296 | — | — |
Industrials | 111,412,473 | 103,203,423 | 8,209,050 | — |
Information technology | 101,533,785 | 92,405,036 | 9,128,749 | — |
Materials | 16,901,189 | 16,901,189 | — | — |
Real estate | 27,111,635 | 27,111,635 | — | — |
Escrow certificates | — | — | — | — |
Short-term investments | 26,088,308 | 26,088,308 | — | — |
Total investments in securities | $834,371,507 | $789,600,239 | $44,771,268 | — |
Global Equity Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
France | $43,393,090 | — | $43,393,090 | — |
Germany | 2,860,814 | — | 2,860,814 | — |
Ireland | 17,319,714 | $8,693,817 | 8,625,897 | — |
Japan | 32,701,253 | — | 32,701,253 | — |
Netherlands | 16,612,548 | — | 16,612,548 | — |
Spain | 3,975,907 | — | 3,975,907 | — |
Switzerland | 4,969,595 | 4,969,595 | — | — |
United Kingdom | 2,655,177 | — | 2,655,177 | — |
United States | 174,157,134 | 174,157,134 | — | — |
Preferred securities | 11,357,521 | — | 11,357,521 | — |
Escrow certificates | — | — | — | — |
Short-term investments | 4,500,650 | 4,500,650 | — | — |
Total investments in securities | $314,503,403 | $192,321,196 | $122,182,207 | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Global Equity Trust (continued) | ||||
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Health Sciences Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Financials | $780,941 | $780,941 | — | — |
Health care | 272,576,566 | 270,149,668 | $2,426,898 | — |
Materials | 91,475 | 91,475 | — | — |
Preferred securities | 787,867 | — | 787,867 | — |
Convertible bonds | 288,606 | — | 288,606 | — |
Warrants | 1,194 | 987 | 207 | — |
Short-term investments | 1,542,839 | 1,542,839 | — | — |
Total investments in securities | $276,069,488 | $272,565,910 | $3,503,578 | — |
High Yield Trust | ||||
Investments in securities: | ||||
Assets | ||||
Foreign government obligations | $553,159 | — | $553,159 | — |
Corporate bonds | 152,590,744 | — | 152,590,744 | — |
Convertible bonds | 906,292 | — | 906,292 | — |
Term loans | 7,721,965 | — | 7,252,213 | $469,752 |
Asset backed securities | 12,886,438 | — | 12,886,438 | — |
Common stocks | 985,277 | $970,593 | — | 14,684 |
Preferred securities | 645,497 | — | 645,497 | — |
Escrow shares | 64,087 | — | — | 64,087 |
Escrow certificates | — | — | — | — |
Short-term investments | 13,714,014 | 13,714,014 | — | — |
Total investments in securities | $190,067,473 | $14,684,607 | $174,834,343 | $548,523 |
Derivatives: | ||||
Assets | ||||
Futures | $17,431 | $17,431 | — | — |
Forward foreign currency contracts | 377 | — | $377 | — |
Swap contracts | 600,690 | — | 600,690 | — |
Liabilities | ||||
Forward foreign currency contracts | (9,985) | — | (9,985) | — |
Swap contracts | (313,823) | — | (313,823) | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
International Equity Index Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Australia | $41,462,202 | — | $41,462,202 | — |
Austria | 1,086,711 | — | 1,086,711 | — |
Belgium | 4,634,298 | — | 4,634,298 | — |
Brazil | 9,240,290 | $9,236,488 | 3,802 | — |
Canada | 68,260,956 | 67,962,790 | 298,166 | — |
Chile | 1,490,870 | 382,580 | 1,108,290 | — |
China | 56,294,427 | 3,797,055 | 52,497,372 | — |
Colombia | 131,644 | 131,644 | — | — |
Czech Republic | 397,446 | — | 397,446 | — |
Denmark | 21,305,874 | — | 21,305,874 | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
International Equity Index Trust (continued) | ||||
Egypt | $174,579 | — | $174,579 | — |
Finland | 5,613,652 | — | 5,613,652 | — |
France | 68,703,701 | — | 68,703,701 | — |
Germany | 47,809,678 | — | 47,809,678 | — |
Greece | 1,249,501 | — | 1,246,476 | $3,025 |
Hong Kong | 14,428,122 | $92,055 | 14,324,291 | 11,776 |
Hungary | 621,979 | — | 621,979 | — |
India | 44,095,352 | 3,591,407 | 40,503,945 | — |
Indonesia | 4,702,016 | 7,969 | 4,694,047 | — |
Ireland | 10,697,474 | 2,997,363 | 7,700,111 | — |
Israel | 4,325,807 | 1,564,542 | 2,761,265 | — |
Italy | 13,863,112 | — | 13,863,112 | — |
Japan | 138,056,764 | — | 138,056,764 | — |
Jordan | 167,087 | — | 167,087 | — |
Luxembourg | 1,242,574 | — | 1,242,574 | — |
Macau | 259,554 | — | 259,554 | — |
Malaysia | 3,426,182 | — | 3,426,182 | — |
Mexico | 6,710,520 | — | 6,710,520 | — |
Netherlands | 31,657,625 | — | 31,657,625 | — |
New Zealand | 1,419,821 | — | 1,419,821 | — |
Norway | 3,440,046 | — | 3,440,046 | — |
Peru | 540,449 | 540,449 | — | — |
Philippines | 1,670,176 | — | 1,670,176 | — |
Poland | 2,439,138 | — | 2,439,138 | — |
Portugal | 875,170 | — | 875,170 | — |
Russia | 170,625 | — | — | 170,625 |
Saudi Arabia | 10,453,613 | — | 10,453,613 | — |
Singapore | 7,800,799 | 880,565 | 6,920,234 | — |
South Africa | 6,229,854 | — | 6,229,854 | — |
South Korea | 30,234,179 | 80,500 | 30,153,679 | — |
Spain | 15,708,972 | — | 15,612,390 | 96,582 |
Sweden | 18,059,955 | — | 18,059,955 | — |
Switzerland | 58,579,096 | — | 58,579,096 | — |
Taiwan | 43,082,005 | — | 43,082,005 | — |
Thailand | 3,755,140 | — | 3,755,140 | — |
Turkey | 1,685,943 | — | 1,685,943 | — |
United Arab Emirates | — | — | — | — |
United Kingdom | 77,104,401 | — | 77,104,401 | — |
United States | 1,404,009 | 1,037,352 | 366,657 | — |
Preferred securities | ||||
Brazil | 3,693,396 | 3,693,396 | — | — |
Chile | 23,907 | — | 23,907 | — |
Germany | 2,657,203 | — | 2,657,203 | — |
South Korea | 1,713,199 | — | 1,713,199 | — |
Warrants | — | — | — | — |
Short-term investments | 21,495,505 | 21,495,505 | — | — |
Total investments in securities | $916,346,598 | $117,491,660 | $798,572,930 | $282,008 |
Derivatives: | ||||
Assets | ||||
Futures | $86,183 | $86,183 | — | — |
Liabilities | ||||
Futures | (91,934) | (91,934) | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
International Small Company Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Australia | $7,715,699 | $85,844 | $7,585,995 | $43,860 |
Austria | 1,493,744 | — | 1,493,744 | — |
Belgium | 1,639,776 | 38,648 | 1,599,857 | 1,271 |
Bermuda | 234,096 | — | 234,096 | — |
Cambodia | 23,178 | — | 23,178 | — |
Canada | 11,120,342 | 11,078,068 | 42,020 | 254 |
China | 5,921 | — | 5,921 | — |
Denmark | 2,788,009 | — | 2,788,009 | — |
Finland | 2,134,524 | — | 2,134,524 | — |
France | 4,935,372 | — | 4,935,372 | — |
Gabon | 3,620 | — | 3,620 | — |
Georgia | 93,446 | — | 93,446 | — |
Germany | 5,992,320 | — | 5,992,320 | — |
Greece | 21,771 | — | 21,705 | 66 |
Guernsey, Channel Islands | 144 | — | — | 144 |
Hong Kong | 1,907,955 | — | 1,907,659 | 296 |
Ireland | 529,617 | — | 529,617 | — |
Isle of Man | 69,262 | — | 69,262 | — |
Israel | 1,406,273 | 16,548 | 1,389,725 | — |
Italy | 4,327,641 | — | 4,327,641 | — |
Japan | 25,463,341 | — | 25,463,341 | — |
Jersey, Channel Islands | 82,576 | — | 82,576 | — |
Jordan | 95,941 | — | 95,941 | — |
Liechtenstein | 78,632 | — | 78,632 | — |
Luxembourg | 511,366 | — | 511,366 | — |
Macau | 1,953 | — | 1,953 | — |
Malaysia | 19,048 | — | 19,048 | — |
Malta | 3,395 | — | 3,395 | — |
Mauritius | 10,265 | — | 10,265 | — |
Mexico | 8,215 | — | 8,215 | — |
Netherlands | 2,027,680 | — | 2,027,680 | — |
New Zealand | 348,840 | — | 348,840 | — |
Norway | 852,431 | — | 852,431 | — |
Peru | 26,497 | — | 26,497 | — |
Poland | 44,280 | — | 44,280 | — |
Portugal | 434,829 | — | 434,829 | — |
Singapore | 1,038,022 | — | 1,027,627 | 10,395 |
Spain | 2,329,074 | — | 2,329,074 | — |
Sweden | 2,778,021 | — | 2,778,021 | — |
Switzerland | 8,008,980 | — | 8,008,980 | — |
Taiwan | 12,543 | — | 12,543 | — |
Thailand | 1,149 | — | 1,149 | — |
United Arab Emirates | 48,332 | — | 48,332 | — |
United Kingdom | 12,913,441 | — | 12,879,522 | 33,919 |
United States | 770,132 | 235,417 | 534,715 | — |
Preferred securities | 416,399 | — | 416,399 | — |
Warrants | 1,148 | 257 | 891 | — |
Rights | 57 | 57 | — | — |
Short-term investments | 4,072,687 | 4,072,687 | — | — |
Total investments in securities | $108,841,984 | $15,527,526 | $93,224,253 | $90,205 |
Derivatives: | ||||
Assets | ||||
Futures | $2,783 | $2,783 | — | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
International Small Company Trust (continued) | ||||
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Investment Quality Bond Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $144,813,403 | — | $144,813,403 | — |
Foreign government obligations | 7,108,969 | — | 7,108,969 | — |
Corporate bonds | 62,827,130 | — | 62,827,130 | — |
Municipal bonds | 3,326,231 | — | 3,326,231 | — |
Collateralized mortgage obligations | 26,658,558 | — | 26,658,558 | — |
Asset backed securities | 22,541,783 | — | 22,541,783 | — |
Short-term investments | 4,600,000 | — | 4,600,000 | — |
Total investments in securities | $271,876,074 | — | $271,876,074 | — |
Derivatives: | ||||
Assets | ||||
Futures | $20,021 | $20,021 | — | — |
Forward foreign currency contracts | 68,647 | — | $68,647 | — |
Swap contracts | 1,062,335 | — | 1,062,335 | — |
Liabilities | ||||
Futures | (202,158) | (202,158) | — | — |
Forward foreign currency contracts | (3,731) | — | (3,731) | — |
Lifestyle Balanced Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $985,310,224 | $985,310,224 | — | — |
Short-term investments | 21 | 21 | — | — |
Total investments in securities | $985,310,245 | $985,310,245 | — | — |
Lifestyle Conservative Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $161,930,000 | $161,930,000 | — | — |
Short-term investments | 2,172 | 2,172 | — | — |
Total investments in securities | $161,932,172 | $161,932,172 | — | — |
Lifestyle Growth Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $5,303,325,262 | $5,303,325,262 | — | — |
Total investments in securities | $5,303,325,262 | $5,303,325,262 | — | — |
Lifestyle Moderate Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $287,528,881 | $287,528,881 | — | — |
Short-term investments | 1,568 | 1,568 | — | — |
Total investments in securities | $287,530,449 | $287,530,449 | — | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Managed Volatility Balanced Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $4,163,556,134 | $4,163,556,134 | — | — |
Unaffiliated investment companies | 84,919,730 | 84,919,730 | — | — |
Short-term investments | 31,936,898 | 31,936,898 | — | — |
Total investments in securities | $4,280,412,762 | $4,280,412,762 | — | — |
Derivatives: | ||||
Assets | ||||
Futures | $4,286,495 | $4,286,495 | — | — |
Liabilities | ||||
Futures | (438,813) | (438,813) | — | — |
Managed Volatility Conservative Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $554,803,438 | $554,803,438 | — | — |
Unaffiliated investment companies | 4,699,935 | 4,699,935 | — | — |
Short-term investments | 5,078,052 | 5,078,052 | — | — |
Total investments in securities | $564,581,425 | $564,581,425 | — | — |
Derivatives: | ||||
Assets | ||||
Futures | $62,307 | $62,307 | — | — |
Liabilities | ||||
Futures | (4,736) | (4,736) | — | — |
Managed Volatility Growth Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $5,496,833,394 | $5,496,833,394 | — | — |
Unaffiliated investment companies | 145,315,539 | 145,315,539 | — | — |
Short-term investments | 47,188,524 | 47,188,524 | — | — |
Total investments in securities | $5,689,337,457 | $5,689,337,457 | — | — |
Derivatives: | ||||
Assets | ||||
Futures | $7,956,725 | $7,956,725 | — | — |
Liabilities | ||||
Futures | (860,856) | (860,856) | — | — |
Managed Volatility Moderate Portfolio | ||||
Investments in securities: | ||||
Assets | ||||
Affiliated investment companies | $1,107,102,137 | $1,107,102,137 | — | — |
Unaffiliated investment companies | 21,773,562 | 21,773,562 | — | — |
Short-term investments | 8,985,253 | 8,985,253 | — | — |
Total investments in securities | $1,137,860,952 | $1,137,860,952 | — | — |
Derivatives: | ||||
Assets | ||||
Futures | $977,204 | $977,204 | — | — |
Liabilities | ||||
Futures | (90,006) | (90,006) | — | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Mid Cap Growth Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $626,293,165 | $626,293,165 | — | — |
Preferred securities | 4,051,367 | — | — | $4,051,367 |
Short-term investments | 12,929,225 | 8,029,225 | $4,900,000 | — |
Total investments in securities | $643,273,757 | $634,322,390 | $4,900,000 | $4,051,367 |
Mid Cap Index Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $1,244,585,516 | $1,244,585,516 | — | — |
Short-term investments | 63,225,275 | 63,225,275 | — | — |
Total investments in securities | $1,307,810,791 | $1,307,810,791 | — | — |
Derivatives: | ||||
Assets | ||||
Futures | $1,725,819 | $1,725,819 | — | — |
Mid Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $13,884,609 | $13,884,609 | — | — |
Consumer discretionary | 60,374,592 | 51,624,596 | $8,749,996 | — |
Consumer staples | 36,428,848 | 36,428,848 | — | — |
Energy | 45,741,449 | 45,741,449 | — | — |
Financials | 102,998,300 | 102,998,300 | — | — |
Health care | 63,374,543 | 63,374,543 | — | — |
Industrials | 102,779,599 | 92,834,404 | 9,945,195 | — |
Information technology | 76,470,324 | 76,470,324 | — | — |
Materials | 38,479,604 | 38,479,604 | — | — |
Real estate | 40,999,381 | 40,999,381 | — | — |
Utilities | 40,547,109 | 40,547,109 | — | — |
Convertible bonds | 1,950,286 | — | 1,950,286 | — |
Short-term investments | 35,683,600 | 35,683,600 | — | — |
Total investments in securities | $659,712,244 | $639,066,767 | $20,645,477 | — |
Opportunistic Fixed Income Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $59,232,799 | — | $59,232,799 | — |
Foreign government obligations | 62,559,436 | — | 62,559,436 | — |
Corporate bonds | 22,927,692 | — | 22,927,692 | — |
Convertible bonds | 10,340,372 | — | 10,340,372 | — |
Municipal bonds | 292,802 | — | 292,802 | — |
Term loans | 3,585,826 | — | 3,585,826 | — |
Collateralized mortgage obligations | 6,342,462 | — | 6,342,462 | — |
Asset backed securities | 5,121,182 | — | 5,121,182 | — |
Common stocks | 20,561 | $20,561 | — | — |
Preferred securities | 999,044 | 999,044 | — | — |
Short-term investments | 18,009,483 | 17,909,629 | 99,854 | — |
Total investments in securities | $189,431,659 | $18,929,234 | $170,502,425 | — |
Liabilities | ||||
Sale commitments outstanding | $(5,194,298) | — | $(5,194,298) | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Opportunistic Fixed Income Trust (continued) | ||||
Derivatives: | ||||
Assets | ||||
Futures | $161,183 | $161,183 | — | — |
Forward foreign currency contracts | 640,698 | — | $640,698 | — |
Swap contracts | 1,693,132 | — | 1,693,132 | — |
Liabilities | ||||
Futures | (238,623) | (238,623) | — | — |
Forward foreign currency contracts | (470,999) | — | (470,999) | — |
Swap contracts | (3,696,613) | — | (3,696,613) | — |
Real Estate Securities Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $289,886,917 | $289,886,917 | — | — |
Short-term investments | 2,915,911 | 2,915,911 | — | — |
Total investments in securities | $292,802,828 | $292,802,828 | — | — |
Science & Technology Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $148,834,766 | $148,834,766 | — | — |
Consumer discretionary | 27,244,101 | 27,244,101 | — | — |
Financials | 6,687,965 | 1,581,706 | $5,106,259 | — |
Industrials | 11,980,160 | 11,980,160 | — | — |
Information technology | 854,969,300 | 849,614,861 | 5,354,439 | — |
Short-term investments | 14,526,716 | 14,526,716 | — | — |
Total investments in securities | $1,064,243,008 | $1,053,782,310 | $10,460,698 | — |
Select Bond Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $3,316,317,233 | — | $3,316,317,233 | — |
Corporate bonds | 1,891,215,316 | — | 1,891,215,316 | — |
Municipal bonds | 33,700,815 | — | 33,700,815 | — |
Collateralized mortgage obligations | 253,583,803 | — | 253,583,803 | — |
Asset backed securities | 435,837,752 | — | 435,837,752 | — |
Short-term investments | 18,185,407 | $18,185,407 | — | — |
Total investments in securities | $5,948,840,326 | $18,185,407 | $5,930,654,919 | — |
Derivatives: | ||||
Liabilities | ||||
Futures | $(56,209) | $(56,209) | — | — |
Short Term Government Income Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $157,167,330 | — | $157,167,330 | — |
Municipal bonds | 4,756,725 | — | 4,756,725 | — |
Collateralized mortgage obligations | 805,648 | — | 805,648 | — |
Short-term investments | 794,206 | $794,206 | — | — |
Total investments in securities | $163,523,909 | $794,206 | $162,729,703 | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Short Term Government Income Trust (continued) | ||||
Derivatives: | ||||
Assets | ||||
Futures | $20,511 | $20,511 | — | — |
Small Cap Index Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $10,998,628 | $10,998,628 | — | — |
Consumer discretionary | 55,510,405 | 55,481,246 | $29,159 | — |
Consumer staples | 16,929,906 | 16,929,906 | — | — |
Energy | 37,374,508 | 37,374,508 | — | — |
Financials | 81,201,891 | 81,201,891 | — | — |
Health care | 78,515,478 | 78,398,831 | — | $116,647 |
Industrials | 89,481,431 | 89,481,431 | — | — |
Information technology | 75,991,436 | 75,991,436 | — | — |
Materials | 23,214,826 | 23,201,708 | — | 13,118 |
Real estate | 28,639,763 | 28,639,763 | — | — |
Utilities | 12,784,877 | 12,784,877 | — | — |
Rights | — | — | — | — |
Warrants | 18,850 | 18,850 | — | — |
Short-term investments | 24,889,221 | 24,889,221 | — | — |
Total investments in securities | $535,551,220 | $535,392,296 | $29,159 | $129,765 |
Derivatives: | ||||
Assets | ||||
Futures | $602,763 | $602,763 | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Small Cap Opportunities Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $3,496,978 | $3,496,429 | — | $549 |
Consumer discretionary | 26,272,840 | 26,272,840 | — | — |
Consumer staples | 3,992,602 | 3,992,602 | — | — |
Energy | 14,646,833 | 14,646,833 | — | — |
Financials | 35,341,083 | 35,341,083 | — | — |
Health care | 18,309,574 | 18,289,691 | — | 19,883 |
Industrials | 30,948,200 | 30,948,200 | — | — |
Information technology | 17,297,363 | 17,297,363 | — | — |
Materials | 12,040,402 | 12,029,694 | — | 10,708 |
Real estate | 2,788,452 | 2,788,452 | — | — |
Utilities | 257,844 | 257,844 | — | — |
Preferred securities | 39,649 | 39,649 | — | — |
Short-term investments | 1,370,627 | 1,370,627 | — | — |
Total investments in securities | $166,802,447 | $166,771,307 | — | $31,140 |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Small Cap Stock Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $287,599,345 | $287,599,345 | — | — |
Exchange-traded funds | 1,528,937 | 1,528,937 | — | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Small Cap Stock Trust (continued) | ||||
Short-term investments | $3,811,073 | $511,073 | $3,300,000 | — |
Total investments in securities | $292,939,355 | $289,639,355 | $3,300,000 | — |
Small Cap Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $459,459,599 | $459,459,599 | — | — |
Short-term investments | 5,880,147 | 80,147 | $5,800,000 | — |
Total investments in securities | $465,339,746 | $459,539,746 | $5,800,000 | — |
Small Company Value Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $127,903,514 | $127,903,514 | — | — |
Warrants | 611 | 611 | — | — |
Short-term investments | 4,727,204 | 4,727,204 | — | — |
Total investments in securities | $132,631,329 | $132,631,329 | — | — |
Strategic Equity Allocation Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $455,395,750 | $366,776,361 | $88,619,389 | — |
Consumer discretionary | 805,674,879 | 529,025,481 | 276,649,398 | — |
Consumer staples | 462,357,428 | 272,124,530 | 190,232,898 | — |
Energy | 304,676,002 | 211,754,302 | 92,921,700 | — |
Financials | 1,101,171,490 | 662,086,193 | 439,085,297 | — |
Health care | 874,621,349 | 589,319,056 | 285,220,275 | $82,018 |
Industrials | 912,429,369 | 533,485,056 | 378,944,313 | — |
Information technology | 1,472,320,142 | 1,263,677,588 | 208,642,554 | — |
Materials | 312,391,856 | 148,096,609 | 164,284,999 | 10,248 |
Real estate | 201,536,664 | 149,178,303 | 52,358,361 | — |
Utilities | 184,192,433 | 113,504,495 | 70,687,938 | — |
Preferred securities | 10,373,774 | — | 10,373,774 | — |
Rights | — | — | — | — |
Warrants | 58,853 | 58,853 | — | — |
Short-term investments | 355,377,901 | 355,377,901 | — | — |
Total investments in securities | $7,452,577,890 | $5,194,464,728 | $2,258,020,896 | $92,266 |
Derivatives: | ||||
Assets | ||||
Futures | $4,284,844 | $4,284,844 | — | — |
Liabilities | ||||
Futures | (193,577) | (193,577) | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Strategic Income Opportunities Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $57,410,734 | — | $57,410,734 | — |
Foreign government obligations | 93,174,603 | — | 93,174,603 | — |
Corporate bonds | 173,929,043 | — | 173,929,043 | — |
Convertible bonds | 11,133,222 | — | 11,133,222 | — |
Municipal bonds | 9,276,600 | — | 9,276,600 | — |
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Strategic Income Opportunities Trust (continued) | ||||
Term loans | $2,386,416 | — | $2,386,416 | — |
Collateralized mortgage obligations | 25,086,539 | — | 25,086,539 | — |
Asset backed securities | 6,771,454 | — | 6,771,454 | — |
Preferred securities | 2,774,027 | $2,774,027 | — | — |
Short-term investments | 13,146,931 | 13,146,931 | — | — |
Total investments in securities | $395,089,569 | $15,920,958 | $379,168,611 | — |
Derivatives: | ||||
Assets | ||||
Futures | $26,371 | $26,371 | — | — |
Forward foreign currency contracts | 1,256,327 | — | $1,256,327 | — |
Liabilities | ||||
Futures | (62,888) | (62,888) | — | — |
Forward foreign currency contracts | (783,828) | — | (783,828) | — |
Total Bond Market Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $653,843,045 | — | $653,843,045 | — |
Foreign government obligations | 7,652,441 | — | 7,652,441 | — |
Corporate bonds | 242,743,655 | — | 242,743,655 | — |
Municipal bonds | 3,079,566 | — | 3,079,566 | — |
Collateralized mortgage obligations | 16,623,141 | — | 16,623,141 | — |
Asset backed securities | 4,434,682 | — | 4,434,682 | — |
Short-term investments | 6,608,639 | $6,608,639 | — | — |
Total investments in securities | $934,985,169 | $6,608,639 | $928,376,530 | — |
Total Stock Market Index Trust | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $76,943,475 | $76,943,260 | $215 | — |
Consumer discretionary | 98,589,855 | 98,583,955 | 5,871 | $29 |
Consumer staples | 54,912,402 | 54,912,402 | — | — |
Energy | 36,748,680 | 36,748,041 | — | 639 |
Financials | 127,940,572 | 127,934,973 | 5,599 | — |
Health care | 112,158,537 | 112,128,885 | 1,339 | 28,313 |
Industrials | 90,847,421 | 90,847,421 | — | — |
Information technology | 250,714,851 | 250,714,851 | — | — |
Materials | 26,079,108 | 26,078,913 | — | 195 |
Real estate | 23,712,103 | 23,709,128 | — | 2,975 |
Utilities | 18,598,989 | 18,598,989 | — | — |
Preferred securities | 25,198 | 25,198 | — | — |
Rights | — | — | — | — |
Warrants | 4,810 | 4,810 | — | — |
Short-term investments | 22,163,559 | 22,163,559 | — | — |
Total investments in securities | $939,439,560 | $939,394,385 | $13,024 | $32,151 |
Derivatives: | ||||
Assets | ||||
Futures | $336,412 | $336,412 | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Total value at 3-31-24 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Ultra Short Term Bond Trust | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $1,427,138 | — | $1,427,138 | — |
Corporate bonds | 135,302,583 | — | 135,302,583 | — |
Collateralized mortgage obligations | 511,347 | — | 511,347 | — |
Asset backed securities | 54,206,344 | — | 54,206,344 | — |
Short-term investments | 57,842,967 | $9,980,869 | 47,862,098 | — |
Total investments in securities | $249,290,379 | $9,980,869 | $239,309,510 | — |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
500 Index Trust | |||||||||
John Hancock Collateral Trust | 26,409,859 | $228,230,262 | $207,369,357 | $(171,491,041) | $26,568 | $(105,222) | $3,082,480 | — | $264,029,924 |
Active Bond Trust | |||||||||
John Hancock Collateral Trust | 136,764 | $8,344,633 | $84,082,213 | $(91,059,114) | $(484) | $33 | $36,785 | — | $1,367,281 |
Blue Chip Growth Trust | |||||||||
John Hancock Collateral Trust | 233,276 | $5,112,872 | $40,579,799 | $(43,360,645) | $500 | $(374) | $1,879 | — | $2,332,152 |
Capital Appreciation Trust | |||||||||
John Hancock Collateral Trust | — | $4,845,876 | $2,493,212 | $(7,339,308) | $1,323 | $(1,103) | $8,682 | — | — |
Capital Appreciation Value Trust | |||||||||
John Hancock Collateral Trust | — | $3,677,578 | $3,726,575 | $(7,404,452) | $422 | $(123) | $1,121 | — | — |
Core Bond Trust | |||||||||
John Hancock Collateral Trust | 18,658 | $1,029,703 | $2,920,430 | $(3,763,595) | $(12) | $7 | $152 | — | $186,533 |
Disciplined Value International Trust | |||||||||
John Hancock Collateral Trust | 660,906 | $6,109,309 | $18,288,059 | $(17,789,143) | $688 | $(1,567) | $8,033 | — | $6,607,346 |
Emerging Markets Value Trust | |||||||||
John Hancock Collateral Trust | 152,294 | $1,139,355 | $2,407,864 | $(2,024,179) | $(45) | $(449) | $29,177 | — | $1,522,546 |
Equity Income Trust | |||||||||
John Hancock Collateral Trust | 1,377,730 | $2,210,073 | $47,173,005 | $(35,606,754) | $901 | $(3,503) | $48,196 | — | $13,773,722 |
Financial Industries Trust | |||||||||
John Hancock Collateral Trust | 154,433 | $2,976,155 | $9,470,053 | $(10,901,969) | $41 | $(347) | $24,391 | — | $1,543,933 |
Fundamental All Cap Core Trust | |||||||||
John Hancock Collateral Trust | 1,257,133 | $27,258,499 | $49,993,406 | $(64,681,426) | $(252) | $(2,168) | $321,434 | — | $12,568,059 |
Fundamental Large Cap Value Trust | |||||||||
John Hancock Collateral Trust | 2,609,509 | $20,392,038 | $27,677,960 | $(21,976,620) | $38 | $(5,108) | $248,967 | — | $26,088,308 |
High Yield Trust | |||||||||
John Hancock Collateral Trust | 1,235,974 | $7,444,672 | $16,914,964 | $(11,998,949) | $118 | $(4,280) | $42,596 | — | $12,356,525 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
International Equity Index Trust | |||||||||
John Hancock Collateral Trust | 346,469 | $1,827,717 | $8,306,081 | $(6,669,381) | $323 | $(952) | $9,441 | — | $3,463,788 |
International Small Company Trust | |||||||||
John Hancock Collateral Trust | 407,375 | $4,257,109 | $4,070,897 | $(4,254,431) | $657 | $(1,545) | $12,878 | — | $4,072,687 |
Investment Quality Bond Trust | |||||||||
John Hancock Collateral Trust | — | $234,527 | $564,066 | $(798,604) | $(5) | $16 | $66 | — | — |
Lifestyle Balanced Portfolio | |||||||||
John Hancock Collateral Trust | 2 | $15 | $6 | — | — | — | — | — | $21 |
Select Bond | 41,340,529 | 480,533,143 | 8,106,203 | $(3,356,373) | $(579,367) | $(1,019,417) | — | — | 483,684,189 |
Strategic Equity Allocation | 27,041,835 | 485,214,555 | — | (23,757,952) | 1,739,847 | 38,429,585 | — | — | 501,626,035 |
$1,160,480 | $37,410,168 | — | — | $985,310,245 | |||||
Lifestyle Conservative Portfolio | |||||||||
John Hancock Collateral Trust | 217 | $81,686 | $13,705 | $(93,229) | $31 | $(21) | $965 | — | $2,172 |
Select Bond | 11,072,137 | 132,497,215 | 1,091,118 | (3,591,449) | (456,552) | 3,668 | — | — | 129,544,000 |
Strategic Equity Allocation | 1,745,876 | 33,200,575 | 380,923 | (3,878,092) | (1,246,507) | 3,929,101 | — | — | 32,386,000 |
$(1,703,028) | $3,932,748 | $965 | — | $161,932,172 | |||||
Lifestyle Growth Portfolio | |||||||||
John Hancock Collateral Trust | — | $77 | $10,359 | $(10,436) | — | — | — | — | — |
Select Bond | 129,780,689 | 1,509,436,905 | 14,001,824 | — | — | $(5,004,670) | — | — | $1,518,434,059 |
Strategic Equity Allocation | 204,061,910 | 3,642,845,732 | — | (160,685,133) | $11,258,856 | 291,471,748 | — | — | 3,784,891,203 |
$11,258,856 | $286,467,078 | — | — | $5,303,325,262 | |||||
Lifestyle Moderate Portfolio | |||||||||
John Hancock Collateral Trust | 157 | $57,755 | $9,812 | $(66,009) | $18 | $(8) | $691 | — | $1,568 |
Select Bond | 14,710,649 | 172,820,144 | 2,318,265 | (2,448,436) | (345,860) | (229,525) | — | — | 172,114,588 |
Strategic Equity Allocation | 6,221,795 | 115,675,995 | 281,430 | (9,939,431) | (876,688) | 10,272,987 | — | — | 115,414,293 |
$(1,222,530) | $10,043,454 | $691 | — | $287,530,449 | |||||
Managed Volatility Balanced Portfolio | |||||||||
Blue Chip Growth | 4,628,884 | $141,650,813 | — | $(17,239,545) | $(5,848,568) | $24,701,268 | — | — | $143,263,968 |
Bond | 39,636,632 | 533,499,279 | $9,789,801 | (3,557,948) | (420,883) | (6,197,546) | $5,858,416 | — | 533,112,703 |
Core Bond | 16,574,086 | 185,500,805 | 1,918,627 | (977,280) | (169,835) | (974,031) | — | — | 185,298,286 |
Emerging Markets Equity | 12,202,535 | 111,169,780 | — | (1,008,788) | (106,789) | 2,819,243 | — | — | 112,873,446 |
Equity Income | 14,140,348 | 201,468,287 | — | (13,417,754) | (710,760) | 17,695,268 | — | — | 205,035,041 |
Fundamental Large Cap Core | 3,058,929 | 214,841,072 | — | (11,375,973) | 4,656,056 | 10,255,781 | — | — | 218,376,936 |
John Hancock Collateral Trust | 3,194,520 | 39,691,627 | 33,999,126 | (41,745,478) | 8,232 | (16,609) | 567,348 | — | 31,936,898 |
Mid Cap Growth | 3,958,304 | 39,317,892 | — | (3,591,546) | (5,556,325) | 9,452,603 | — | — | 39,622,624 |
Mid Value | 5,226,235 | 55,737,621 | — | (4,966,709) | 542,913 | 5,495,344 | — | — | 56,809,169 |
Multifactor Developed International ETF | 2,732,980 | 91,938,275 | 466 | (2,926,252) | 669,608 | 4,687,702 | — | — | 94,369,799 |
Multifactor Emerging Markets ETF | 2,355,928 | 60,116,647 | — | (207,513) | 13,100 | 1,164,859 | — | — | 61,087,093 |
Multifactor Mid Cap ETF | 1,249,115 | 69,649,590 | 2,451 | (4,038,794) | 1,515,053 | 4,545,919 | — | — | 71,674,219 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
Multifactor Small Cap ETF | 1,458,477 | $53,991,015 | $22,218 | $(708,273) | $222,319 | $2,653,255 | — | — | $56,180,534 |
Select Bond | 116,313,105 | 1,361,315,495 | 13,050,542 | (8,950,210) | (1,562,632) | (2,989,867) | — | — | 1,360,863,328 |
Small Cap Dynamic Growth | 1,292,203 | 20,357,425 | — | (2,612,474) | (176,244) | 3,520,044 | — | — | 21,088,751 |
Small Cap Value | 3,511,007 | 48,277,298 | 98,056 | (174,233) | 39,112 | 1,370,290 | — | — | 49,610,523 |
Strategic Equity Allocation | 51,444,189 | 940,978,888 | — | (63,835,890) | (6,266,203) | 83,412,919 | — | — | 954,289,714 |
$(13,151,846) | $161,596,442 | $6,425,764 | — | $4,195,493,032 | |||||
Managed Volatility Conservative Portfolio | |||||||||
Blue Chip Growth | 284,853 | $9,298,390 | — | $(1,683,109) | $(215,209) | $1,416,130 | — | — | $8,816,202 |
Bond | 8,521,336 | 120,002,722 | $1,619,118 | (5,517,343) | (692,382) | (800,146) | $1,289,171 | — | 114,611,969 |
Core Bond | 3,553,992 | 41,600,691 | 183,977 | (1,788,613) | (347,465) | 85,041 | — | — | 39,733,631 |
Emerging Markets Equity | 556,616 | 5,439,344 | — | (414,518) | 35,127 | 88,746 | — | — | 5,148,699 |
Equity Income | 993,809 | 15,068,411 | — | (1,880,023) | 485,129 | 736,719 | — | — | 14,410,236 |
Fundamental Large Cap Core | 170,139 | 12,680,065 | — | (1,388,432) | 655,383 | 199,199 | — | — | 12,146,215 |
John Hancock Collateral Trust | 507,937 | 2,505,820 | 19,297,442 | (16,724,216) | 109 | (1,103) | 45,105 | — | 5,078,052 |
Multifactor Emerging Markets ETF | 83,876 | 2,287,912 | 52 | (154,613) | (2,334) | 43,812 | — | — | 2,174,829 |
Multifactor Mid Cap ETF | 138,853 | 8,187,524 | 170 | (899,306) | 471,524 | 207,473 | — | — | 7,967,385 |
Multifactor Small Cap ETF | 164,180 | 6,428,248 | 338 | (425,888) | 192,579 | 128,937 | — | — | 6,324,214 |
Select Bond | 24,964,010 | 305,703,293 | 700,906 | (13,236,780) | (2,367,661) | 1,279,162 | — | — | 292,078,920 |
Strategic Equity Allocation | 2,770,412 | 53,733,556 | — | (6,594,253) | 239,904 | 4,011,931 | — | — | 51,391,138 |
$(1,545,296) | $7,395,901 | $1,334,276 | — | $559,881,490 | |||||
Managed Volatility Growth Portfolio | |||||||||
Blue Chip Growth | 7,510,330 | $226,717,410 | — | $(24,576,966) | $(7,727,102) | $38,031,375 | — | — | $232,444,717 |
Bond | 30,298,578 | 403,801,730 | $8,735,845 | — | — | (5,021,695) | $4,463,168 | — | 407,515,880 |
Core Bond | 12,696,161 | 140,608,264 | 2,196,983 | — | — | (862,168) | — | — | 141,943,079 |
Emerging Markets Equity | 25,376,330 | 229,148,260 | — | — | — | 5,582,793 | — | — | 234,731,053 |
Equity Income | 22,682,418 | 321,158,961 | — | (19,486,532) | (2,686,952) | 29,909,589 | — | — | 328,895,066 |
Fundamental Large Cap Core | 5,422,228 | 377,661,811 | — | (16,891,907) | 6,892,558 | 19,430,425 | — | — | 387,092,887 |
John Hancock Collateral Trust | 4,720,080 | 47,847,586 | 60,490,872 | (61,137,255) | 7,498 | (20,177) | 686,831 | — | 47,188,524 |
Mid Cap Growth | 9,455,369 | 92,980,886 | — | (7,580,006) | (11,391,744) | 20,639,106 | — | — | 94,648,242 |
Mid Value | 11,261,445 | 119,394,539 | — | (9,979,213) | (325,171) | 13,321,754 | — | — | 122,411,909 |
Multifactor Developed International ETF | 6,486,488 | 214,987,425 | — | (3,633,584) | 846,202 | 11,778,388 | — | — | 223,978,431 |
Multifactor Emerging Markets ETF | 4,801,276 | 122,096,449 | — | — | — | 2,396,317 | — | — | 124,492,766 |
Multifactor Mid Cap ETF | 2,288,134 | 126,669,891 | 3,688 | (6,471,800) | 2,444,173 | 8,647,177 | — | — | 131,293,129 |
Multifactor Small Cap ETF | 3,204,250 | 117,767,348 | 165,827 | (795,823) | 252,902 | 6,037,456 | — | — | 123,427,710 |
Select Bond | 89,401,536 | 1,034,636,680 | 14,781,879 | — | — | (3,420,585) | — | — | 1,045,997,974 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
Small Cap Dynamic Growth | 2,401,395 | $37,394,654 | — | $(4,383,612) | $(296,584) | $6,476,316 | — | — | $39,190,774 |
Small Cap Value | 5,624,845 | 77,005,105 | $220,424 | — | — | 2,253,528 | — | — | 79,479,057 |
Strategic Equity Allocation | 95,918,637 | 1,737,439,131 | — | (101,202,450) | 6,977,183 | 136,076,856 | — | — | 1,779,290,720 |
$(5,007,037) | $291,256,455 | $5,149,999 | — | $5,544,021,918 | |||||
Managed Volatility Moderate Portfolio | |||||||||
Blue Chip Growth | 1,057,772 | $33,409,117 | — | $(5,079,531) | $(2,216,117) | $6,624,587 | — | — | $32,738,056 |
Bond | 12,793,693 | 175,209,345 | $2,394,371 | (3,359,101) | (405,751) | (1,763,691) | $1,909,218 | — | 172,075,173 |
Core Bond | 5,358,254 | 60,946,283 | 210,573 | (874,099) | (150,738) | (226,737) | — | — | 59,905,282 |
Emerging Markets Equity | 2,511,060 | 23,550,461 | — | (885,619) | (30,695) | 593,159 | — | — | 23,227,306 |
Equity Income | 3,399,610 | 49,834,688 | — | (4,667,781) | (118,259) | 4,245,697 | — | — | 49,294,345 |
Fundamental Large Cap Core | 680,834 | 49,132,558 | — | (3,893,308) | 1,188,369 | 2,177,103 | — | — | 48,604,722 |
John Hancock Collateral Trust | 898,759 | 9,059,317 | 7,672,059 | (7,743,647) | 2,500 | (4,976) | 131,313 | — | 8,985,253 |
Mid Cap Growth | 1,035,332 | 10,508,416 | — | (1,177,159) | (1,492,612) | 2,525,032 | — | — | 10,363,677 |
Mid Value | 1,245,916 | 13,651,067 | — | (1,563,156) | 232,627 | 1,222,570 | — | — | 13,543,108 |
Multifactor Developed International ETF | 301,460 | 10,499,690 | 134 | (685,478) | 146,723 | 448,345 | — | — | 10,409,414 |
Multifactor Emerging Markets ETF | 388,914 | 10,198,498 | 180 | (310,377) | 18,288 | 177,601 | — | — | 10,084,190 |
Multifactor Mid Cap ETF | 150,671 | 8,616,177 | 327 | (704,989) | 260,408 | 473,579 | — | — | 8,645,502 |
Multifactor Small Cap ETF | 186,164 | 7,068,966 | 93,365 | (358,880) | 103,704 | 263,882 | — | — | 7,171,037 |
Select Bond | 37,585,151 | 447,589,842 | 1,268,499 | (7,594,333) | (1,323,281) | (194,455) | — | — | 439,746,272 |
Small Cap Dynamic Growth | 288,649 | 4,724,031 | 11,049 | (783,424) | (63,131) | 822,221 | — | — | 4,710,746 |
Small Cap Value | 715,117 | 10,141,821 | 30,548 | (358,635) | 40,509 | 250,364 | — | — | 10,104,607 |
Strategic Equity Allocation | 11,130,927 | 208,987,502 | — | (19,380,713) | (749,702) | 17,621,613 | — | — | 206,478,700 |
$(4,557,158) | $35,255,894 | $2,040,531 | — | $1,116,087,390 | |||||
Mid Cap Growth Trust | |||||||||
John Hancock Collateral Trust | 803,131 | $26,511,135 | $53,453,487 | $(71,933,176) | $(608) | $(1,613) | $49,124 | — | $8,029,225 |
Mid Cap Index Trust | |||||||||
John Hancock Collateral Trust | 6,324,172 | $45,902,432 | $95,583,181 | $(78,244,320) | $3,711 | $(19,729) | $498,196 | — | $63,225,275 |
Mid Value Trust | |||||||||
John Hancock Collateral Trust | 830,414 | $254,631 | $17,752,650 | $(9,702,581) | $(524) | $(2,199) | $819 | — | $8,301,977 |
Opportunistic Fixed Income Trust | |||||||||
John Hancock Collateral Trust | 115,396 | $1,891,256 | $2,467,071 | $(3,204,495) | $102 | $(272) | $2,973 | — | $1,153,662 |
Science & Technology Trust | |||||||||
John Hancock Collateral Trust | 736,435 | $10,568,415 | $27,179,057 | $(30,384,538) | $996 | $(1,499) | $18,199 | — | $7,362,431 |
Select Bond Trust | |||||||||
John Hancock Collateral Trust | 1,819,014 | $29,772,485 | $438,715,951 | $(450,294,191) | $(4,644) | $(4,194) | $874,479 | — | $18,185,407 |
Short Term Government Income Trust | |||||||||
John Hancock Collateral Trust | 79,441 | $1,387,336 | $44,598,529 | $(45,191,498) | $14 | $(175) | $31,491 | — | $794,206 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
Small Cap Index Trust | |||||||||
John Hancock Collateral Trust | 2,489,569 | $32,071,162 | $45,422,722 | $(52,599,146) | $6,451 | $(11,968) | $300,005 | — | $24,889,221 |
Small Cap Opportunities Trust | |||||||||
John Hancock Collateral Trust | 4,425 | — | $800,128 | $(755,868) | $(5) | $(12) | $592 | — | $44,243 |
Small Cap Stock Trust | |||||||||
John Hancock Collateral Trust | 51,121 | $3,421,696 | $25,186,611 | $(28,097,311) | $(80) | $157 | $2,787 | — | $511,073 |
Small Cap Value Trust | |||||||||
John Hancock Collateral Trust | 8,017 | $6,047,636 | $11,557,650 | $(17,525,771) | $643 | $(11) | $899 | — | $80,147 |
Small Company Value Trust | |||||||||
John Hancock Collateral Trust | 187,244 | $719,443 | $7,876,163 | $(6,723,286) | $29 | $(395) | $2,131 | — | $1,871,954 |
Strategic Equity Allocation Trust | |||||||||
John Hancock Collateral Trust | 35,547,032 | $288,736,220 | $513,284,818 | $(446,556,865) | $35,786 | $(122,058) | $3,619,593 | — | $355,377,901 |
Strategic Income Opportunities Trust | |||||||||
John Hancock Collateral Trust | 1,315,035 | $14,208,187 | $32,235,354 | $(33,292,592) | $(592) | $(3,426) | $174,343 | — | $13,146,931 |
Total Bond Market Trust | |||||||||
John Hancock Collateral Trust | 661,036 | $5,599,037 | $36,559,486 | $(35,547,907) | $(327) | $(1,650) | $87,870 | — | $6,608,639 |
Total Stock Market Index Trust | |||||||||
John Hancock Collateral Trust | 2,216,932 | $41,161,671 | $89,482,365 | $(108,470,243) | $3,112 | $(13,346) | $532,310 | — | $22,163,559 |
Ultra Short Term Bond Trust | |||||||||
John Hancock Collateral Trust | 998,346 | $7,157,765 | $97,703,143 | $(94,878,100) | $820 | $(2,759) | $108,898 | — | $9,980,869 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
International Equity Index Trust | |||||||||
Manulife Financial Corp. | 62,100 | $1,372,241 | — | — | — | $178,712 | $15,604 | — | $1,550,953 |
Issuer, Description | Original acquisition date | Acquisition cost | Beginning share amount | Shares purchased | Shares sold | Ending share amount | Value as a percentage of net assets | Ending value |
High Yield Trust | ||||||||
KCAD Holdings I, Ltd. | 3-21-11 | $1,353,651 | 165,553,563 | — | — | 165,553,563 | 0.0%1 | $166 |
MWO Holdings LLC | 8-30-16 | 438,156 | 445 | — | — | 445 | 0.0%1 | 2,768 |
New Cotai, Inc., Class B | 4-12-13 | 0 | 3 | — | — | 3 | 0.0% | 0 |
$2,934 | ||||||||
Mid Cap Growth Trust | ||||||||
Essence Group Holdings Corp. | 5-1-14 | $2,731,549 | 1,663,188 | — | — | 1,663,188 | 0.3% | $2,112,249 |
Lookout, Inc., Series F | 7-31-14 | 2,338,736 | 211,003 | — | — | 211,003 | 0.3% | 1,939,118 |
$4,051,367 |
1 | Less than 0.05%. |