SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
Forward Commitment Contracts: | |||||||||||
U.S. Government Agency Obligations | Interest Rate | Maturity Date | Settlement Date | Principal Amount (000)# | Value | ||||||
Federal National Mortgage Assoc. | 1.500% | TBA | 04/11/24 | $(325) | $(244,630) | ||||||
Federal National Mortgage Assoc. | 2.000% | TBA | 04/11/24 | (3,000) | (2,372,963) | ||||||
Federal National Mortgage Assoc. | 2.000% | TBA | 04/16/24 | (2,375) | (2,104,359) | ||||||
Federal National Mortgage Assoc. | 2.500% | TBA(tt) | 04/11/24 | (200) | (165,292) | ||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 04/11/24 | (18,669) | (16,059,282) | ||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 04/11/24 | (13,618) | (12,186,440) | ||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 04/11/24 | (6,094) | (5,643,054) | ||||||
Federal National Mortgage Assoc. | 4.500% | TBA | 04/16/24 | (755) | (743,288) | ||||||
Federal National Mortgage Assoc. | 4.500% | TBA | 05/13/24 | (3,500) | (3,334,282) | ||||||
Federal National Mortgage Assoc. | 5.000% | TBA | 05/13/24 | (4,000) | (3,903,903) | ||||||
Federal National Mortgage Assoc. | 6.000% | TBA | 05/13/24 | (500) | (504,454) | ||||||
Federal National Mortgage Assoc. | 6.500% | TBA | 04/11/24 | (15,035) | (15,360,029) | ||||||
Federal National Mortgage Assoc. | 7.000% | TBA | 04/11/24 | (5,175) | (5,333,930) | ||||||
Government National Mortgage Assoc. | 3.000% | TBA | 04/18/24 | (7,709) | (6,797,593) | ||||||
Government National Mortgage Assoc. | 4.000% | TBA | 04/18/24 | (3,380) | (3,162,629) | ||||||
TOTAL FORWARD COMMITMENT CONTRACTS (proceeds receivable $78,034,643) | $(77,916,128) |
Exchange Traded | |||||||||||||||
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
2 Year U.S. Treasury Notes Futures | Call | 05/24/24 | $103.50 | 23 | 46 | $1,797 | |||||||||
3 Month CME SOFR | Put | 04/12/24 | $94.75 | 298 | 745 | 3,725 | |||||||||
3 Month CME SOFR | Put | 12/13/24 | $95.50 | 184 | 460 | 151,800 | |||||||||
Total Exchange Traded (cost $235,780) | $157,322 |
OTC Traded | ||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
Currency Option USD vs AUD | Put | BNP | 04/17/24 | 0.67 | — | 6,071 | $3,633 |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
OTC Traded | ||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
Currency Option USD vs JPY | Put | BNP | 04/18/24 | 143.42 | — | 6,570 | $3,534 | |||||||||
Total OTC Traded (cost $144,291) | $7,167 | |||||||||||||||
Total Options Purchased (cost $380,071) | $164,489 |
Exchange Traded | |||||||||||||||
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
3 Month CME SOFR | Call | 12/13/24 | $97.13 | 184 | 460 | $(23,000) | |||||||||
2 Year U.S. Treasury Notes Futures | Call | 05/24/24 | $104.50 | 23 | 46 | (360) | |||||||||
20 Year U.S. Treasury Notes Futures | Call | 05/24/24 | $130.00 | 7 | 7 | (875) | |||||||||
3 Month CME SOFR | Put | 12/13/24 | $95.00 | 184 | 460 | (49,450) | |||||||||
Total Exchange Traded (premiums received $186,364) | $(73,685) |
OTC Traded | ||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
Currency Option USD vs MXN | Put | CITI | 06/03/24 | 16.80 | — | 2,975 | $(41,685) | |||||||||
(premiums received $16,865) | ||||||||||||||||
Total Options Written (premiums received $203,229) | $(115,370) |
Futures contracts outstanding at March 31, 2024: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
10 | 3 Month CME SOFR | Jun. 2024 | $2,366,813 | $794 | ||||
10 | 3 Month CME SOFR | Sep. 2024 | 2,371,625 | 732 | ||||
371 | 3 Month CME SOFR | Mar. 2025 | 88,511,325 | (205,415) | ||||
33 | 3 Month CME SOFR | Jun. 2025 | 7,895,250 | 2,131 | ||||
475 | 3 Month CME SOFR | Mar. 2026 | 114,290,938 | 183,057 | ||||
448 | 2 Year U.S. Treasury Notes | Jun. 2024 | 91,609,000 | (143,182) | ||||
3,831 | 5 Year U.S. Treasury Notes | Jun. 2024 | 409,976,879 | 737,395 | ||||
78 | 10 Year U.K. Gilt | Jun. 2024 | 9,838,863 | 245,946 | ||||
614 | 10 Year U.S. Treasury Notes | Jun. 2024 | 68,029,284 | 23,944 | ||||
189 | 10 Year U.S. Ultra Treasury Notes | Jun. 2024 | 21,661,172 | 170,290 | ||||
1,123 | 20 Year U.S. Treasury Bonds | Jun. 2024 | 135,251,312 | 2,205,367 | ||||
573 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2024 | 73,917,000 | 956,910 | ||||
18 | Australian Dollar Currency | Jun. 2024 | 1,175,940 | (16,847) | ||||
65 | Euro-OAT | Jun. 2024 | 8,987,953 | 75,651 | ||||
4,236,773 | ||||||||
Short Positions: | ||||||||
147 | 3 Month CME SOFR | Jun. 2024 | 34,792,144 | (24,106) | ||||
398 | 2 Year U.S. Treasury Notes | Jun. 2024 | 81,384,782 | 285,141 | ||||
22 | 5 Year Euro-Bobl | Jun. 2024 | 2,806,628 | (17,938) | ||||
107 | 5 Year U.S. Treasury Notes | Jun. 2024 | 11,450,672 | (30,793) | ||||
66 | 10 Year Euro-Bund | Jun. 2024 | 9,497,203 | (89,019) | ||||
22 | 10 Year Japanese Bonds | Jun. 2024 | 21,200,687 | (54,219) | ||||
2,662 | 10 Year U.S. Treasury Notes | Jun. 2024 | 294,941,295 | (1,499,494) | ||||
363 | 10 Year U.S. Ultra Treasury Notes | Jun. 2024 | 41,603,205 | (218,529) | ||||
146 | 20 Year U.S. Treasury Bonds | Jun. 2024 | 17,583,875 | 152,851 |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
Futures contracts outstanding at March 31, 2024 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Short Positions (cont’d): | ||||||||
35 | 30 Year Euro Buxl | Jun. 2024 | $5,127,774 | $(141,267) | ||||
24 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2024 | 3,096,000 | (35,880) | ||||
11 | Euro Schatz Index | Jun. 2024 | 1,254,379 | (840) | ||||
(1,674,093) | ||||||||
$2,562,680 |
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Australian Dollar, | |||||||||||||
Expiring 04/19/24 | CITI | AUD | 23,983 | $16,080,390 | $15,638,236 | $— | $(442,154) | ||||||
Brazilian Real, | |||||||||||||
Expiring 04/19/24 | CITI | BRL | 25,900 | 5,138,730 | 5,152,889 | 14,159 | — | ||||||
Expiring 04/19/24 | GSB | BRL | 13,810 | 2,760,939 | 2,747,632 | — | (13,307) | ||||||
British Pound, | |||||||||||||
Expiring 04/02/24 | TD | GBP | 4,031 | 5,080,454 | 5,087,838 | 7,384 | — | ||||||
Expiring 04/19/24 | CITI | GBP | 65 | 82,648 | 81,946 | — | (702) | ||||||
Expiring 04/19/24 | CITI | GBP | 60 | 76,505 | 75,738 | — | (767) | ||||||
Canadian Dollar, | |||||||||||||
Expiring 04/19/24 | MSCS | CAD | 11,148 | 8,326,562 | 8,232,819 | — | (93,743) | ||||||
Euro, | |||||||||||||
Expiring 04/02/24 | SSB | EUR | 35,416 | 38,317,053 | 38,216,469 | — | (100,584) | ||||||
Expiring 04/19/24 | CITI | EUR | 1,820 | 2,005,539 | 1,965,118 | — | (40,421) | ||||||
Expiring 04/19/24 | CITI | EUR | 1,754 | 1,899,783 | 1,893,421 | — | (6,362) | ||||||
Expiring 04/19/24 | GSB | EUR | 96 | 104,761 | 103,640 | — | (1,121) | ||||||
Indian Rupee, | |||||||||||||
Expiring 04/19/24 | MSCS | INR | 5,329 | 63,844 | 63,873 | 29 | — | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 04/19/24 | CITI | IDR | 43,365,092 | 2,769,163 | 2,730,348 | — | (38,815) | ||||||
Japanese Yen, | |||||||||||||
Expiring 04/19/24 | MSCS | JPY | 1,448,562 | 10,154,327 | 9,600,284 | — | (554,043) | ||||||
Expiring 04/19/24 | MSCS | JPY | 560,400 | 3,765,527 | 3,714,027 | — | (51,500) | ||||||
Expiring 04/19/24 | MSCS | JPY | 546,200 | 3,670,362 | 3,619,918 | — | (50,444) | ||||||
Swiss Franc, | |||||||||||||
Expiring 04/19/24 | GSB | CHF | 850 | 965,281 | 944,741 | — | (20,540) | ||||||
Expiring 04/19/24 | GSB | CHF | 810 | 915,596 | 900,282 | — | (15,314) | ||||||
Expiring 04/19/24 | GSB | CHF | 630 | 703,139 | 700,219 | — | (2,920) | ||||||
Expiring 04/19/24 | GSB | CHF | 620 | 700,222 | 689,105 | — | (11,117) | ||||||
Expiring 04/19/24 | GSB | CHF | 620 | 699,973 | 689,105 | — | (10,868) | ||||||
Expiring 04/19/24 | GSB | CHF | 530 | 587,827 | 589,073 | 1,246 | — | ||||||
Expiring 04/19/24 | GSB | CHF | 510 | 566,150 | 566,845 | 695 | — | ||||||
Expiring 04/19/24 | GSB | CHF | 510 | 578,950 | 566,844 | — | (12,106) | ||||||
Expiring 04/19/24 | GSB | CHF | 340 | 382,931 | 377,896 | — | (5,035) | ||||||
$106,396,656 | $104,948,306 | 23,513 | (1,471,863) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
British Pound, | |||||||||||||
Expiring 04/02/24 | SSB | GBP | 4,031 | $5,111,479 | $5,087,838 | $23,641 | $— | ||||||
Expiring 04/19/24 | CITI | GBP | 4,515 | 5,756,930 | 5,699,306 | 57,624 | — | ||||||
Expiring 05/02/24 | TD | GBP | 4,031 | 5,081,282 | 5,088,651 | — | (7,369) | ||||||
Canadian Dollar, | |||||||||||||
Expiring 04/19/24 | CITI | CAD | 1,410 | 1,055,358 | 1,041,261 | 14,097 | — | ||||||
Expiring 04/19/24 | MSCS | CAD | 1,900 | 1,400,014 | 1,403,117 | — | (3,103) | ||||||
Expiring 04/19/24 | MSCS | CAD | 1,317 | 975,046 | 972,277 | 2,769 | — | ||||||
Expiring 04/19/24 | MSCS | CAD | 1,050 | 774,490 | 775,407 | — | (917) | ||||||
Expiring 04/19/24 | MSCS | CAD | 850 | 629,288 | 627,710 | 1,578 | — | ||||||
Expiring 04/19/24 | MSCS | CAD | 840 | 622,881 | 620,325 | 2,556 | — | ||||||
Expiring 04/19/24 | MSCS | CAD | 740 | 549,000 | 546,477 | 2,523 | — | ||||||
Expiring 04/19/24 | MSCS | CAD | 270 | 199,884 | 199,391 | 493 | — | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 04/19/24 | JPM | CNH | 61,159 | 8,596,632 | 8,427,140 | 169,492 | — | ||||||
Euro, | |||||||||||||
Expiring 04/02/24 | BNYM | EUR | 35,416 | 38,415,688 | 38,216,469 | 199,219 | — | ||||||
Expiring 04/19/24 | CITI | EUR | 1,810 | 1,972,956 | 1,954,385 | 18,571 | — | ||||||
Expiring 04/19/24 | CITI | EUR | 1,790 | 1,951,556 | 1,932,789 | 18,767 | — | ||||||
Expiring 04/19/24 | CITI | EUR | 1,320 | 1,422,762 | 1,425,298 | — | (2,536) | ||||||
Expiring 04/19/24 | CITI | EUR | 1,030 | 1,117,046 | 1,112,164 | 4,882 | — | ||||||
Expiring 04/19/24 | CITI | EUR | 650 | 699,263 | 701,851 | — | (2,588) | ||||||
Expiring 04/19/24 | CITI | EUR | 640 | 691,676 | 691,054 | 622 | — | ||||||
Expiring 04/19/24 | GSB | EUR | 840 | 914,116 | 907,008 | 7,108 | — | ||||||
Expiring 04/19/24 | GSB | EUR | 770 | 837,248 | 831,423 | 5,825 | — | ||||||
Expiring 04/19/24 | GSB | EUR | 760 | 826,208 | 820,626 | 5,582 | — | ||||||
Expiring 05/02/24 | SSB | EUR | 35,416 | 38,363,236 | 38,261,171 | 102,065 | — | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 04/19/24 | JPM | IDR | 43,365,092 | 2,801,363 | 2,730,348 | 71,015 | — | ||||||
Japanese Yen, | |||||||||||||
Expiring 04/19/24 | CITI | JPY | 25,030 | 170,269 | 165,886 | 4,383 | — | ||||||
Expiring 04/19/24 | MSCS | JPY | 511,890 | 3,483,909 | 3,392,530 | 91,379 | — | ||||||
Expiring 04/19/24 | MSCS | JPY | 249,220 | 1,708,311 | 1,651,695 | 56,616 | — | ||||||
Expiring 04/19/24 | MSCS | JPY | 235,020 | 1,626,231 | 1,557,585 | 68,646 | — | ||||||
Mexican Peso, | |||||||||||||
Expiring 04/19/24 | GSB | MXN | 46,182 | 2,751,797 | 2,768,764 | — | (16,967) | ||||||
Expiring 04/19/24 | JPM | MXN | 72,785 | 4,233,825 | 4,363,688 | — | (129,863) | ||||||
Norwegian Krone, | |||||||||||||
Expiring 04/19/24 | BNP | NOK | 3,570 | 342,687 | 329,017 | 13,670 | — | ||||||
Expiring 04/19/24 | BNP | NOK | 3,560 | 342,101 | 328,095 | 14,006 | — | ||||||
Swiss Franc, | |||||||||||||
Expiring 04/19/24 | GSB | CHF | 5,514 | 6,268,274 | 6,128,808 | 139,466 | — | ||||||
Expiring 04/19/24 | GSB | CHF | 850 | 971,072 | 944,740 | 26,332 | — | ||||||
Expiring 04/19/24 | GSB | CHF | 810 | 927,119 | 900,282 | 26,837 | — | ||||||
Expiring 04/19/24 | GSB | CHF | 810 | 919,342 | 900,282 | 19,060 | — | ||||||
Expiring 04/19/24 | GSB | CHF | 720 | 814,516 | 800,251 | 14,265 | — | ||||||
Expiring 04/19/24 | GSB | CHF | 510 | 582,484 | 566,844 | 15,640 | — | ||||||
Expiring 04/19/24 | GSB | CHF | 420 | 480,183 | 466,813 | 13,370 | — | ||||||
$146,387,522 | $145,338,766 | 1,212,099 | (163,343) | ||||||||||
$1,235,612 | $(1,635,206) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
Cross currency exchange contracts outstanding at March 31, 2024: | ||||||||||||||
Settlement | Type | Notional Amount (000) | In Exchange For (000) | Unrealized Appreciation | Unrealized Depreciation | Counterparty | ||||||||
OTC Cross Currency Exchange Contracts: | ||||||||||||||
04/19/24 | Buy | NOK | 48,181 | EUR | 4,249 | $— | $(148,018) | BNP |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2024(4) | Value at Trade Date | Value at March 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2): | |||||||||||||||
Apache Corp. | 06/20/26 | 1.000%(Q) | 465 | 0.422% | $(12,246) | $5,851 | $18,097 | ||||||||
Apache Corp. | 12/20/26 | 1.000%(Q) | 3,241 | 0.588% | (52,012) | 35,346 | 87,358 | ||||||||
Apache Corp. | 12/20/28 | 1.000%(Q) | 188 | 1.062% | (3,616) | (428) | 3,188 | ||||||||
$(67,874) | $40,769 | $108,643 |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreement on corporate and/or sovereign issues - Buy Protection(1): | ||||||||||||||||
Republic of Italy | 12/20/27 | 1.000%(Q) | EUR | 1,235 | $(43,289) | $(34,674) | $(8,615) | BARC |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at March 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): | ||||||||||||||
CDX.NA.HY.42.V1 | 06/20/29 | 5.000%(Q) | 14,806 | $(1,039,092) | $(1,091,950) | $(52,858) |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2024(4) | Value at Trade Date | Value at March 31, 2024 | Unrealized Appreciation (Depreciation) | |||||||||
Centrally Cleared Credit Default Swap Agreements on credit indices - Sell Protection(2): | ||||||||||||||||
CDX.NA.HY.41.V2 | 12/20/28 | 5.000%(Q) | 752 | 3.116% | $39,667 | $56,646 | $16,979 | |||||||||
CDX.NA.HY.42.V1 | 06/20/29 | 5.000%(Q) | 4,930 | 3.289% | 343,721 | 363,580 | 19,859 | |||||||||
CDX.NA.IG.42.V1 | 06/20/29 | 1.000%(Q) | 105,570 | 0.513% | 2,324,526 | 2,419,893 | 95,367 | |||||||||
$2,707,914 | $2,840,119 | $132,205 |
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
GBP | 3,490 | 05/08/27 | 1.050%(A) | 1 Day SONIA(1)(A)/ 5.191% | $152,757 | $541,886 | $389,129 | |||||||
GBP | 825 | 05/08/32 | 1.150%(A) | 1 Day SONIA(1)(A)/ 5.191% | 36,002 | 217,441 | 181,439 | |||||||
JPY | 229,295 | 10/27/53 | 1.750%(A) | 1 Day TONAR(1)(A)/ 0.074% | — | (118,827) | (118,827) | |||||||
MXN | 251,640 | 07/20/29 | 7.440%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 11.249% | 92,757 | (933,546) | (1,026,303) | |||||||
63,025 | 08/31/24 | 5.384%(T) | 1 Day SOFR(2)(T)/ 5.340% | — | (19,246) | (19,246) | ||||||||
6,996 | 03/08/25 | 4.946%(A) | 1 Day SOFR(2)(A)/ 5.340% | — | (10,637) | (10,637) | ||||||||
9,116 | 03/09/25 | 5.110%(A) | 1 Day SOFR(2)(A)/ 5.340% | — | 1,050 | 1,050 | ||||||||
31,020 | 08/31/25 | 4.805%(A) | 1 Day SOFR(1)(A)/ 5.340% | — | 124,897 | 124,897 | ||||||||
1,645 | 09/25/26 | 4.699%(A) | 1 Day SOFR(1)(A)/ 5.340% | 304 | (6,271) | (6,575) | ||||||||
43,786 | 02/28/31 | 3.870%(A) | 1 Day SOFR(1)(A)/ 5.340% | (118,883) | (77,370) | 41,513 | ||||||||
5,351 | 02/15/47 | 1.520%(A) | 1 Day SOFR(1)(A)/ 5.340% | (163,674) | 1,840,517 | 2,004,191 | ||||||||
11,902 | 02/15/48 | 3.050%(A) | 1 Day SOFR(1)(A)/ 5.340% | 444,443 | 1,302,925 | 858,482 | ||||||||
20,650 | 05/15/48 | 3.150%(A) | 1 Day SOFR(1)(A)/ 5.340% | (428,537) | 2,287,471 | 2,716,008 | ||||||||
5,855 | 03/15/53 | 2.880%(A) | 1 Day SOFR(1)(A)/ 5.340% | 65,915 | 784,900 | 718,985 | ||||||||
9,925 | 03/15/53 | 2.970%(A) | 1 Day SOFR(1)(A)/ 5.340% | 5,803 | 1,172,874 | 1,167,071 | ||||||||
1,105 | 06/21/53 | 3.250%(A) | 1 Day SOFR(1)(A)/ 5.340% | (11,718) | 92,267 | 103,985 | ||||||||
8,665 | 09/20/53 | 3.590%(A) | 1 Day SOFR(1)(A)/ 5.340% | 36,575 | 137,343 | 100,768 | ||||||||
$111,744 | $7,337,674 | $7,225,930 |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid(Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||
OTC Interest Rate Swap Agreement: | |||||||||||||||
BRL | 63,340 | 01/02/29 | 10.262%(T) | 1 Day BROIS(2)(T)/ 0.040% | $(173,750) | $— | $(173,750) | JPM |
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Total return swap agreements outstanding at March 31, 2024: | ||||||||||||||
Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
OTC Total Return Swap Agreements: | ||||||||||||||
iBoxx US Dollar Liquid Investment Grade Index(Q) | 1 Day SOFR(T)/ 5.340% | BNP | 06/20/24 | (13,000) | $(555,212) | $— | $(555,212) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
Total return swap agreements outstanding at March 31, 2024 (continued): | ||||||||||||||
Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
OTC Total Return Swap Agreements (cont’d.): | ||||||||||||||
Total Return Benchmark Bond Index(T) | 1 Day USOIS -54bps(T)/ 4.790% | JPM | 09/20/24 | (6,697) | $(82,513) | $— | $(82,513) | |||||||
U.S. Treasury Bond(T) | 1 Day USOIS +20bps(T)/ 5.530% | JPM | 08/05/24 | 13,785 | (412,801) | — | (412,801) | |||||||
U.S. Treasury Bond(T) | 1 Day USOIS +20bps(T)/ 5.530% | JPM | 08/13/24 | 27,880 | 64,267 | — | 64,267 | |||||||
U.S. Treasury Bond(T) | 1 Day USOIS +20bps(T)/ 5.530% | JPM | 08/21/24 | 41,895 | 569,287 | — | 569,287 | |||||||
$(416,972) | $— | $(416,972) |
(1) | On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
(2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |