| 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 Contract: | |||||||||||
| U.S. Government Agency Obligation | Interest Rate | Maturity Date | Settlement Date | Principal Amount (000)# | Value | ||||||
| Federal National Mortgage Assoc. (proceeds receivable $14,655,469) | 5.000% | TBA | 05/13/24 | $(15,000) | $(14,639,635) | ||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| Futures contracts outstanding at March 31, 2024: | ||||||||
| Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
| Long Positions: | ||||||||
| 2,820 | 2 Year U.S. Treasury Notes | Jun. 2024 | $576,645,940 | $(890,998) | ||||
| 448 | 5 Year U.S. Treasury Notes | Jun. 2024 | 47,943,002 | (81,466) | ||||
| 2,149 | 20 Year U.S. Treasury Bonds | Jun. 2024 | 258,820,188 | 4,383,376 | ||||
| 2,157 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2024 | 278,253,000 | 4,797,396 | ||||
| 8,208,308 | ||||||||
| Short Positions: | ||||||||
| 200 | 5 Year Euro-Bobl | Jun. 2024 | 25,514,803 | (163,070) | ||||
| 146 | 10 Year Euro-Bund | Jun. 2024 | 21,008,964 | (220,908) | ||||
| 3,853 | 10 Year U.S. Treasury Notes | Jun. 2024 | 426,900,379 | (1,449,913) | ||||
| (1,833,891) | ||||||||
| $6,374,417 | ||||||||
| Purchase 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 | MSI | GBP | 19,890 | $25,067,872 | $25,105,351 | $37,479 | $— | ||||||
| Canadian Dollar, | |||||||||||||
| Expiring 04/02/24 | BNP | CAD | 6,708 | 4,941,954 | 4,952,516 | 10,562 | — | ||||||
| Euro, | |||||||||||||
| Expiring 04/02/24 | BNYM | EUR | 7,737 | 8,394,044 | 8,349,105 | — | (44,939) | ||||||
| Expiring 04/02/24 | SSB | EUR | 109,152 | 118,091,410 | 117,781,417 | — | (309,993) | ||||||
| $156,495,280 | $156,188,389 | 48,041 | (354,932) | ||||||||||
| 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 | 19,890 | $25,178,588 | $25,105,351 | $73,237 | $— | ||||||
| Expiring 05/02/24 | MSI | GBP | 19,890 | 25,071,942 | 25,109,365 | — | (37,423) | ||||||
| Canadian Dollar, | |||||||||||||
| Expiring 04/02/24 | MSI | CAD | 6,708 | 4,970,313 | 4,952,516 | 17,797 | — | ||||||
| Expiring 05/02/24 | BNP | CAD | 6,708 | 4,944,102 | 4,954,618 | — | (10,516) | ||||||
| Euro, | |||||||||||||
| Expiring 04/02/24 | BNYM | EUR | 116,889 | 126,788,026 | 126,130,522 | 657,504 | — | ||||||
| Expiring 05/02/24 | SSB | EUR | 109,152 | 118,233,744 | 117,919,185 | 314,559 | — | ||||||
| $305,186,715 | $304,171,557 | 1,063,097 | (47,939) | ||||||||||
| $1,111,138 | $(402,871) | ||||||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2024(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)*: | |||||||||||||||||
| Arab Republic of Egypt | 12/20/28 | 1.000%(Q) | 2,000 | 5.297% | $(323,365) | $(3,628) | $(319,737) | MSI | |||||||||
| Dominican Republic | 12/20/28 | 1.000%(Q) | 2,000 | 1.479% | (39,510) | (3,628) | (35,882) | MSI | |||||||||
| Emirate of Abu Dhabi | 12/20/28 | 1.000%(Q) | 2,000 | 0.338% | 57,524 | (3,628) | 61,152 | MSI | |||||||||
| Federal Republic of Nigeria | 12/20/28 | 1.000%(Q) | 2,000 | 4.769% | (289,192) | (3,628) | (285,564) | MSI | |||||||||
| Federation of Malaysia | 12/20/28 | 1.000%(Q) | 3,000 | 0.387% | 79,638 | (5,442) | 85,080 | MSI | |||||||||
| Federative Republic of Brazil | 12/20/28 | 1.000%(Q) | 9,000 | 1.246% | (90,204) | (16,326) | (73,878) | MSI | |||||||||
| Kingdom of Bahrain | 12/20/28 | 1.000%(Q) | 2,000 | 1.795% | (65,239) | (3,628) | (61,611) | MSI | |||||||||
| Kingdom of Morocco | 12/20/28 | 1.000%(Q) | 2,000 | 0.886% | 10,350 | (3,628) | 13,978 | MSI | |||||||||
| Kingdom of Saudi Arabia | 12/20/28 | 1.000%(Q) | 4,000 | 0.478% | 90,652 | (7,256) | 97,908 | MSI | |||||||||
| People’s Republic of China | 12/20/28 | 1.000%(Q) | 9,000 | 0.668% | 129,582 | (16,326) | 145,908 | MSI | |||||||||
| Republic of Argentina | 12/20/28 | 1.000%(Q) | 2,000 | 26.204% | (1,164,823) | (3,628) | (1,161,195) | MSI | |||||||||
| Republic of Chile | 12/20/28 | 1.000%(Q) | 7,000 | 0.494% | 153,874 | (12,698) | 166,572 | MSI | |||||||||
| Republic of Colombia | 12/20/28 | 1.000%(Q) | 6,000 | 1.555% | (137,602) | (10,884) | (126,718) | MSI | |||||||||
| Republic of Indonesia | 12/20/28 | 1.000%(Q) | 9,000 | 0.670% | 129,083 | (16,326) | 145,409 | MSI | |||||||||
| Republic of Panama | 12/20/28 | 1.000%(Q) | 2,000 | 1.670% | (55,309) | (3,628) | (51,681) | MSI | |||||||||
| Republic of Peru | 12/20/28 | 1.000%(Q) | 3,000 | 0.601% | 52,135 | (5,442) | 57,577 | MSI | |||||||||
| Republic of Philippines | 12/20/28 | 1.000%(Q) | 3,000 | 0.575% | 55,374 | (5,442) | 60,816 | MSI | |||||||||
| Republic of South Africa | 12/20/28 | 1.000%(Q) | 9,000 | 2.407% | (516,086) | (16,326) | (499,760) | MSI | |||||||||
| Republic of Turkey | 12/20/28 | 1.000%(Q) | 9,000 | 2.850% | (671,255) | (16,326) | (654,929) | MSI | |||||||||
| State of Qatar | 12/20/28 | 1.000%(Q) | 2,000 | 0.347% | 56,761 | (3,628) | 60,389 | MSI | |||||||||
| Sultanate of Oman | 12/20/28 | 1.000%(Q) | 2,000 | 0.966% | 3,557 | (3,628) | 7,185 | MSI | |||||||||
| United Mexican States | 12/20/28 | 1.000%(Q) | 9,000 | 0.835% | 66,126 | (16,326) | 82,452 | MSI | |||||||||
| $(2,467,929) | $(181,400) | $(2,286,529) | |||||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreement on credit indices— Buy Protection(1)*: | ||||||||||||||||
| CDX.EM.40.V1 | 12/20/28 | 1.000%(Q) | 100,000 | $2,393,663 | $88,107 | $2,305,556 | MSI | |||||||||
| * | The Portfolio entered into multiple credit default swap agreements in a packaged trade consisting of two parts. The Portfolio bought/sold protection on an Emerging Market CDX Index and bought/sold protection on the countries which comprise the index. The upfront premium is attached to the index of the trade for the Emerging Markets CDX package(s). Each swap is priced individually. If any of the component swaps are closed out early, the Index exposure will be reduced by an amount proportionate to the terminated swap(s). |
| 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 | 10,045 | $(352,101) | $(282,029) | $(70,072) | BARC | ||||||||
| 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) | 79,952 | 3.116% | $587,926 | $6,019,392 | $5,431,466 | |||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| 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)(cont’d.): | ||||||||||||||||
| CDX.NA.HY.42.V1 | 06/20/29 | 5.000%(Q) | 326,520 | 3.289% | $22,774,122 | $24,080,361 | $1,306,239 | |||||||||
| $23,362,048 | $30,099,753 | $6,737,705 | ||||||||||||||
| (1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 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 Agreement: | ||||||||||||||
| 47,105 | 08/15/39 | 3.773%(A) | 1 Day SOFR(2)(A)/ 5.340% | $— | $(769,973) | $(769,973) | ||||||||
| (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 agreement 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 Agreement: | ||||||||||||||
| U.S. Treasury Bond(T) | 1 Day USOIS + 22 bps(T)/ 5.550% | BOA | 08/21/24 | 87,160 | $1,183,304 | $— | $1,183,304 | |||||||
| (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 |
| SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
| 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). |