Forward Foreign Currency Exchange Contracts | ||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | ||||||
JPMCB | GBP | (700,000) | USD | 861,182 | 11/17/23 | $6,869 |
Futures Contracts Exchange-Traded | |||||||||||||
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||
98 | US Treasury 5 yr Notes | $10,325,219 | $10,418,479 | 12/29/23 | $— | $(93,260) | $15,313 | ||||||
11 | US Treasury 10 yr Notes | 1,188,688 | 1,210,715 | 12/19/23 | — | (22,027) | 2,234 | ||||||
(13) | US Treasury 10 yr Ultra Notes | (1,450,313) | (1,492,022) | 12/19/23 | 41,709 | — | (3,047) | ||||||
3 | US Treasury Ultra Bonds | 356,063 | 382,368 | 12/19/23 | — | (26,305) | 1,125 | ||||||
Total Futures Contracts | $10,519,540 | $41,709 | $(141,592) | $15,625 |
Summary of abbreviations: |
ADR – American Depositary Receipt |
DAC – Designated Activity Company |
ETF – Exchange-Traded Fund |
GNMA – Government National Mortgage Association |
JPMCB – JPMorgan Chase Bank |
MSCI – Morgan Stanley Capital International |
REMIC – Real Estate Mortgage Investment Conduit |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
SOFR01M – Secured Overnight Financing Rate 1 Month |
SOFR03M – Secured Overnight Financing Rate 3 Month |
USBMMY3M – US Treasury 3 Month Bill Money Market Yield |
yr – Year |
Summary of currencies: |
GBP – British Pound Sterling |
USD – US Dollar |