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) |
Exchange Traded | |||||||||||||||
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
MSCI EAFE ETF Index (FLEX) | Call | 02/08/29 | $75.00 | 15,300 | 1,530 | $28,741,379 | |||||||||
Russell 2000 Index (FLEX) | Call | 02/08/29 | $1,980.00 | 60 | 6 | 3,645,517 | |||||||||
S&P 500 Index (FLEX) | Call | 11/30/27 | $4,650.00 | 240 | 24 | 33,680,200 | |||||||||
S&P 500 Index (FLEX) | Call | 02/08/29 | $4,990.00 | 175 | 18 | 24,426,913 | |||||||||
Total Options Purchased (cost $69,862,590) | $90,494,009 |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
OTC Swaptions | ||||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||
GS_21-PJA^ | Put | GSI | 06/17/24 | 0.25% | 0.25%(M) | GS_21-PJA(M) | 10,270 | $(7) | ||||||||||
(premiums received $0) |
Financial Futures contracts outstanding at March 31, 2024: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
95 | 3 Month CME SOFR | Jun. 2024 | $22,484,719 | $6,850 | ||||
751 | 2 Year U.S. Treasury Notes | Jun. 2024 | 153,567,766 | (215,804) | ||||
1,292 | 5 Year U.S. Treasury Notes | Jun. 2024 | 138,264,194 | 174,991 | ||||
1,185 | 10 Year U.S. Treasury Notes | Jun. 2024 | 131,294,303 | 482,069 | ||||
117 | 10 Year U.S. Ultra Treasury Notes | Jun. 2024 | 13,409,297 | 76,565 | ||||
65 | 20 Year U.S. Treasury Bonds | Jun. 2024 | 7,828,437 | 73,018 | ||||
252 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2024 | 32,508,000 | 430,400 | ||||
1,564 | Mini MSCI EAFE Index | Jun. 2024 | 184,325,220 | 2,316,698 | ||||
79 | Russell 2000 E-Mini Index | Jun. 2024 | 8,476,305 | 146,606 | ||||
1,115 | S&P 500 E-Mini Index | Jun. 2024 | 295,948,875 | 6,535,438 | ||||
10,026,831 | ||||||||
Short Positions: | ||||||||
12 | 5 Year Euro-Bobl | Jun. 2024 | 1,530,888 | (9,784) | ||||
7 | 10 Year Euro-Bund | Jun. 2024 | 1,007,279 | (10,666) | ||||
75 | 20 Year U.S. Treasury Bonds | Jun. 2024 | 9,032,812 | (180,789) | ||||
(201,239) | ||||||||
$9,825,592 |
Commodity Futures contracts outstanding at March 31, 2024: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value/ Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
148 | Brent Crude | Jul. 2024 | $12,750,200 | $690,820 | ||||
55 | Coffee ’C’ | May 2024 | 3,895,031 | 71,022 | ||||
57 | Copper | May 2024 | 5,709,975 | 294,828 | ||||
261 | Corn | May 2024 | 5,768,100 | (121,785) | ||||
57 | Cotton No. 2 | May 2024 | 2,604,330 | 21,729 | ||||
46 | Gasoline RBOB | May 2024 | 5,256,199 | 422,602 | ||||
102 | Gold 100 OZ | Jun. 2024 | 22,831,680 | 707,738 | ||||
88 | Hard Red Winter Wheat | May 2024 | 2,575,100 | (168,950) | ||||
40 | Lean Hogs | Jun. 2024 | 1,623,200 | 10,498 | ||||
86 | Live Cattle | Jun. 2024 | 6,200,600 | (99,056) | ||||
26 | LME Lead | May 2024 | 1,329,634 | (43,702) | ||||
53 | LME Nickel | May 2024 | 5,298,564 | 54,796 | ||||
123 | LME PRI Aluminum | May 2024 | 7,137,013 | 285,419 | ||||
66 | LME Zinc | May 2024 | 3,994,138 | 18,706 | ||||
56 | Low Sulphur Gas Oil | May 2024 | 4,524,800 | 237,086 | ||||
541 | Natural Gas | May 2024 | 9,537,830 | (1,929,205) | ||||
73 | No. 2 Soft Red Winter Wheat | May 2024 | 2,044,913 | 55,343 | ||||
44 | NY Harbor ULSD | May 2024 | 4,846,750 | (36,893) | ||||
55 | Silver | May 2024 | 6,851,900 | 467,960 | ||||
146 | Soybean | May 2024 | 8,697,950 | (62,295) | ||||
145 | Soybean Meal | May 2024 | 4,896,650 | (199,321) |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
Commodity Futures contracts outstanding at March 31, 2024 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value/ Unrealized Appreciation (Depreciation) | ||||
Long Positions (cont’d): | ||||||||
263 | Soybean Oil | May 2024 | $7,566,510 | $336,617 | ||||
214 | Sugar #11 (World) | May 2024 | 5,397,594 | 2,682 | ||||
182 | WTI Crude | May 2024 | 15,136,940 | 1,820,847 | ||||
2,837,486 | ||||||||
Short Positions: | ||||||||
1 | LME Lead | May 2024 | 51,140 | 454 | ||||
14 | LME PRI Aluminum | May 2024 | 812,343 | (32,467) | ||||
30 | LME Zinc | May 2024 | 1,815,518 | 49,753 | ||||
17,740 | ||||||||
$2,855,226 |
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 | 353 | $230,639 | $230,373 | $— | $(266) | ||||||
Brazilian Real, | |||||||||||||
Expiring 04/02/24 | CITI | BRL | 1,188 | 239,000 | 236,689 | — | (2,311) | ||||||
Expiring 04/02/24 | CITI | BRL | 1,186 | 238,000 | 236,426 | — | (1,574) | ||||||
Expiring 04/02/24 | DB | BRL | 7,737 | 1,562,513 | 1,541,798 | — | (20,715) | ||||||
Expiring 04/02/24 | TD | BRL | 2,003 | 399,000 | 399,073 | 73 | — | ||||||
Expiring 05/03/24 | CITI | BRL | 9,445 | 1,889,052 | 1,876,656 | — | (12,396) | ||||||
British Pound, | |||||||||||||
Expiring 04/02/24 | BOA | GBP | 89 | 112,021 | 111,983 | — | (38) | ||||||
Expiring 04/02/24 | MSI | GBP | 3,791 | 4,778,107 | 4,785,251 | 7,144 | — | ||||||
Canadian Dollar, | |||||||||||||
Expiring 04/19/24 | BNP | CAD | 971 | 722,372 | 716,924 | — | (5,448) | ||||||
Chilean Peso, | |||||||||||||
Expiring 06/21/24 | MSI | CLP | 482,074 | 509,000 | 490,987 | — | (18,013) | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 04/24/24 | CITI | CNH | 6,259 | 863,000 | 862,659 | — | (341) | ||||||
Expiring 04/24/24 | HSBC | CNH | 6,154 | 861,000 | 848,132 | — | (12,868) | ||||||
Expiring 04/24/24 | JPM | CNH | 6,208 | 864,000 | 855,641 | — | (8,359) | ||||||
Expiring 04/24/24 | MSI | CNH | 6,124 | 846,000 | 844,035 | — | (1,965) | ||||||
Colombian Peso, | |||||||||||||
Expiring 06/20/24 | BNP | COP | 1,441,683 | 364,030 | 367,901 | 3,871 | — | ||||||
Expiring 06/20/24 | CITI | COP | 2,432,686 | 610,798 | 620,793 | 9,995 | — | ||||||
Euro, | |||||||||||||
Expiring 04/02/24 | SSB | EUR | 18,645 | 20,171,610 | 20,118,659 | — | (52,951) | ||||||
Expiring 04/19/24 | CITI | EUR | 220 | 239,000 | 237,934 | — | (1,066) | ||||||
Expiring 04/19/24 | MSI | EUR | 535 | 584,154 | 577,593 | — | (6,561) | ||||||
Indian Rupee, | |||||||||||||
Expiring 06/20/24 | JPM | INR | 128,306 | 1,544,395 | 1,534,728 | — | (9,667) | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 06/20/24 | BOA | IDR | 7,420,472 | 478,000 | 466,435 | — | (11,565) | ||||||
Expiring 06/20/24 | MSI | IDR | 53,571,789 | 3,449,746 | 3,367,410 | — | (82,336) | ||||||
Japanese Yen, | |||||||||||||
Expiring 04/19/24 | BOA | JPY | 85,600 | 599,670 | 567,311 | — | (32,359) | ||||||
Mexican Peso, | |||||||||||||
Expiring 06/20/24 | BOA | MXN | 50,833 | 3,003,147 | 3,017,879 | 14,732 | — | ||||||
Expiring 06/20/24 | BOA | MXN | 10,474 | 619,000 | 621,840 | 2,840 | — |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
New Taiwanese Dollar, | |||||||||||||
Expiring 06/20/24 | BOA | TWD | 27,996 | $879,000 | $878,379 | $— | $(621) | ||||||
Expiring 06/20/24 | BOA | TWD | 26,273 | 823,999 | 824,323 | 324 | — | ||||||
Expiring 06/20/24 | HSBC | TWD | 25,055 | 789,000 | 786,116 | — | (2,884) | ||||||
Expiring 06/20/24 | MSI | TWD | 32,744 | 1,034,000 | 1,027,343 | — | (6,657) | ||||||
Expiring 06/20/24 | SCB | TWD | 28,938 | 920,000 | 907,920 | — | (12,080) | ||||||
New Zealand Dollar, | |||||||||||||
Expiring 04/19/24 | CITI | NZD | 1,420 | 873,217 | 848,106 | — | (25,111) | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 06/20/24 | SCB | PEN | 2,519 | 681,740 | 676,213 | — | (5,527) | ||||||
Philippine Peso, | |||||||||||||
Expiring 06/20/24 | CITI | PHP | 125,281 | 2,261,593 | 2,227,865 | — | (33,728) | ||||||
Expiring 06/20/24 | MSI | PHP | 147,069 | 2,657,432 | 2,615,319 | — | (42,113) | ||||||
Expiring 06/20/24 | SCB | PHP | 43,521 | 786,000 | 773,935 | — | (12,065) | ||||||
Polish Zloty, | |||||||||||||
Expiring 04/19/24 | CITI | PLN | 2,017 | 512,000 | 504,772 | — | (7,228) | ||||||
Expiring 04/19/24 | GSI | PLN | 1,312 | 323,686 | 328,424 | 4,738 | — | ||||||
Expiring 04/19/24 | JPM | PLN | 762 | 188,314 | 190,736 | 2,422 | — | ||||||
Singapore Dollar, | |||||||||||||
Expiring 06/20/24 | BNP | SGD | 315 | 235,000 | 233,912 | — | (1,088) | ||||||
South African Rand, | |||||||||||||
Expiring 06/20/24 | BNP | ZAR | 19,971 | 1,059,147 | 1,047,212 | — | (11,935) | ||||||
Expiring 06/20/24 | GSI | ZAR | 17,675 | 941,885 | 926,797 | — | (15,088) | ||||||
South Korean Won, | |||||||||||||
Expiring 06/20/24 | BOA | KRW | 627,244 | 474,000 | 466,816 | — | (7,184) | ||||||
Thai Baht, | |||||||||||||
Expiring 06/20/24 | MSI | THB | 17,243 | 476,000 | 475,826 | — | (174) | ||||||
$61,693,267 | $61,275,124 | 46,139 | (464,282) |
Sale 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 | MSI | AUD | 353 | $236,699 | $230,373 | $6,326 | $— | ||||||
Brazilian Real, | |||||||||||||
Expiring 04/02/24 | CITI | BRL | 9,445 | 1,895,041 | 1,882,171 | 12,870 | — | ||||||
Expiring 04/02/24 | GSI | BRL | 2,669 | 535,000 | 531,815 | 3,185 | — | ||||||
Expiring 05/03/24 | CITI | BRL | 1,193 | 239,000 | 237,012 | 1,988 | — | ||||||
British Pound, | |||||||||||||
Expiring 04/02/24 | HSBC | GBP | 3,791 | 4,807,993 | 4,785,250 | 22,743 | — | ||||||
Expiring 04/19/24 | BOA | GBP | 358 | 455,149 | 451,334 | 3,815 | — | ||||||
Expiring 04/19/24 | HSBC | GBP | 615 | 783,837 | 776,764 | 7,073 | — | ||||||
Expiring 04/19/24 | SSB | GBP | 117 | 149,095 | 147,158 | 1,937 | — | ||||||
Expiring 05/02/24 | MSI | GBP | 3,791 | 4,778,883 | 4,786,016 | — | (7,133) | ||||||
Canadian Dollar, | |||||||||||||
Expiring 04/19/24 | CITI | CAD | 971 | 716,281 | 716,923 | — | (642) | ||||||
Chilean Peso, | |||||||||||||
Expiring 06/21/24 | TD | CLP | 1,068,390 | 1,126,399 | 1,088,144 | 38,255 | — | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 04/24/24 | CITI | CNH | 6,350 | 884,000 | 875,162 | 8,838 | — | ||||||
Expiring 04/24/24 | HSBC | CNH | 11,865 | 1,652,000 | 1,635,211 | 16,789 | — | ||||||
Expiring 04/24/24 | HSBC | CNH | 6,384 | 880,000 | 879,777 | 223 | — | ||||||
Expiring 04/24/24 | MSI | CNH | 41,002 | 5,741,733 | 5,650,937 | 90,796 | — | ||||||
Expiring 04/24/24 | SCB | CNH | 6,315 | 879,000 | 870,392 | 8,608 | — |
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 (cont’d.): | |||||||||||||
Czech Koruna, | |||||||||||||
Expiring 04/19/24 | BARC | CZK | 12,017 | $516,000 | $512,257 | $3,743 | $— | ||||||
Expiring 04/19/24 | BARC | CZK | 6,330 | 275,425 | 269,833 | 5,592 | — | ||||||
Expiring 04/19/24 | BARC | CZK | 6,259 | 272,575 | 266,835 | 5,740 | — | ||||||
Expiring 04/19/24 | BNP | CZK | 14,131 | 603,000 | 602,406 | 594 | — | ||||||
Expiring 04/19/24 | BOA | CZK | 14,103 | 617,000 | 601,196 | 15,804 | — | ||||||
Expiring 04/19/24 | BOA | CZK | 12,511 | 528,000 | 533,357 | — | (5,357) | ||||||
Expiring 04/19/24 | GSI | CZK | 14,507 | 620,000 | 618,422 | 1,578 | — | ||||||
Expiring 04/19/24 | GSI | CZK | 7,839 | 330,544 | 334,180 | — | (3,636) | ||||||
Expiring 04/19/24 | JPM | CZK | 5,569 | 235,456 | 237,420 | — | (1,964) | ||||||
Expiring 04/19/24 | MSI | CZK | 14,548 | 619,000 | 620,186 | — | (1,186) | ||||||
Euro, | |||||||||||||
Expiring 04/02/24 | BNYM | EUR | 18,645 | 20,223,535 | 20,118,659 | 104,876 | — | ||||||
Expiring 04/19/24 | BARC | EUR | 978 | 1,067,000 | 1,055,720 | 11,280 | — | ||||||
Expiring 04/19/24 | BARC | EUR | 442 | 474,279 | 477,258 | — | (2,979) | ||||||
Expiring 04/19/24 | CITI | EUR | 221 | 240,000 | 238,411 | 1,589 | — | ||||||
Expiring 04/19/24 | CITI | EUR | 219 | 238,172 | 236,470 | 1,702 | — | ||||||
Expiring 04/19/24 | CITI | EUR | 216 | 236,000 | 233,335 | 2,665 | — | ||||||
Expiring 04/19/24 | CITI | EUR | 212 | 234,000 | 229,158 | 4,842 | — | ||||||
Expiring 04/19/24 | HSBC | EUR | 3,873 | 4,231,210 | 4,181,490 | 49,720 | — | ||||||
Expiring 04/19/24 | HSBC | EUR | 797 | 864,336 | 860,577 | 3,759 | — | ||||||
Expiring 04/19/24 | MSI | EUR | 3,101 | 3,381,325 | 3,347,846 | 33,479 | — | ||||||
Expiring 05/02/24 | SSB | EUR | 18,645 | 20,195,922 | 20,142,191 | 53,731 | — | ||||||
Hungarian Forint, | |||||||||||||
Expiring 04/19/24 | BARC | HUF | 213,269 | 582,000 | 583,390 | — | (1,390) | ||||||
Expiring 04/19/24 | BARC | HUF | 164,963 | 457,000 | 451,252 | 5,748 | — | ||||||
Expiring 04/19/24 | BOA | HUF | 216,465 | 615,623 | 592,134 | 23,489 | — | ||||||
Expiring 04/19/24 | CITI | HUF | 304,926 | 842,709 | 834,115 | 8,594 | — | ||||||
Expiring 04/19/24 | GSI | HUF | 398,843 | 1,146,298 | 1,091,022 | 55,276 | — | ||||||
Expiring 04/19/24 | HSBC | HUF | 193,969 | 534,947 | 530,595 | 4,352 | — | ||||||
Expiring 04/19/24 | UAG | HUF | 160,082 | 446,000 | 437,900 | 8,100 | — | ||||||
Indian Rupee, | |||||||||||||
Expiring 06/20/24 | JPM | INR | 71,244 | 857,000 | 852,179 | 4,821 | — | ||||||
Expiring 06/20/24 | JPM | INR | 69,843 | 840,000 | 835,426 | 4,574 | — | ||||||
Expiring 06/20/24 | JPM | INR | 67,926 | 813,001 | 812,497 | 504 | — | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 06/20/24 | CITI | IDR | 7,458,521 | 471,000 | 468,827 | 2,173 | — | ||||||
Japanese Yen, | |||||||||||||
Expiring 04/19/24 | BOA | JPY | 82,919 | 549,000 | 549,541 | — | (541) | ||||||
Mexican Peso, | |||||||||||||
Expiring 06/20/24 | GSI | MXN | 11,627 | 692,001 | 690,304 | 1,697 | — | ||||||
New Taiwanese Dollar, | |||||||||||||
Expiring 06/20/24 | GSI | TWD | 132,042 | 4,231,310 | 4,142,827 | 88,483 | — | ||||||
New Zealand Dollar, | |||||||||||||
Expiring 04/19/24 | CITI | NZD | 1,420 | 865,739 | 848,107 | 17,632 | — | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 06/20/24 | BARC | PEN | 1,659 | 438,383 | 445,379 | — | (6,996) | ||||||
Expiring 06/20/24 | CITI | PEN | 2,802 | 761,170 | 752,170 | 9,000 | — | ||||||
Philippine Peso, | |||||||||||||
Expiring 06/20/24 | CITI | PHP | 52,301 | 935,000 | 930,068 | 4,932 | — | ||||||
Polish Zloty, | |||||||||||||
Expiring 04/19/24 | CITI | PLN | 3,225 | 802,781 | 807,257 | — | (4,476) | ||||||
Expiring 04/19/24 | CITI | PLN | 774 | 191,468 | 193,832 | — | (2,364) | ||||||
Expiring 04/19/24 | GSI | PLN | 1,772 | 437,532 | 443,596 | — | (6,064) | ||||||
Singapore Dollar, | |||||||||||||
Expiring 06/20/24 | MSI | SGD | 1,830 | 1,374,545 | 1,360,722 | 13,823 | — |
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 (cont’d.): | |||||||||||||
South Korean Won, | |||||||||||||
Expiring 06/20/24 | CITI | KRW | 1,571,212 | $1,198,831 | $1,169,349 | $29,482 | $— | ||||||
Expiring 06/20/24 | HSBC | KRW | 1,215,131 | 908,000 | 904,341 | 3,659 | — | ||||||
Expiring 06/20/24 | MSI | KRW | 635,793 | 476,000 | 473,179 | 2,821 | — | ||||||
Thai Baht, | |||||||||||||
Expiring 06/20/24 | GSI | THB | 32,660 | 908,000 | 901,278 | 6,722 | — | ||||||
Expiring 06/20/24 | JPM | THB | 22,189 | 625,000 | 612,336 | 12,664 | — | ||||||
Expiring 06/20/24 | MSI | THB | 61,339 | 1,728,229 | 1,692,710 | 35,519 | — | ||||||
$106,491,456 | $105,667,979 | 868,205 | (44,728) | ||||||||||
$914,344 | $(509,010) |
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 | EUR | 150 | HUF | 58,248 | $2,630 | $— | TD | ||||||
04/19/24 | Buy | PLN | 944 | EUR | 220 | — | (1,351) | SSB | ||||||
04/19/24 | Buy | PLN | 976 | EUR | 225 | 1,404 | — | BOA | ||||||
04/19/24 | Buy | PLN | 4,795 | EUR | 1,099 | 13,664 | — | BOA | ||||||
$17,698 | $(1,351) |
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 Credit Default Swap Agreement on asset-backed and/or mortgage-backed securities - Sell Protection(2)^: | |||||||||||||||||
GS_21-PJA | 04/14/24 | 0.500%(M) | 6,579 | * | $4,377 | $(43) | $4,420 | GSI |
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): | ||||||||||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 140 | $(905) | $142 | $(1,047) | CITI |
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 Credit Default Swap Agreement on corporate and/or sovereign issues - Sell Protection(2): | |||||||||||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 140 | 1.557% | $(513) | $(1,903) | $1,390 | CITI |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
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.IG.42.V1 | 06/20/29 | 1.000%(Q) | 39,225 | $(886,221) | $(899,122) | $(12,901) |
(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. |
* | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents 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 | 565 | 05/08/24 | 0.950%(A) | 1 Day SONIA(1)(A)/ 5.191% | $(17,910) | $30,496 | $48,406 | |||||||
GBP | 2,737 | 05/08/26 | 1.000%(A) | 1 Day SONIA(1)(A)/ 5.191% | (144,600) | 355,124 | 499,724 | |||||||
GBP | 1,205 | 05/08/29 | 1.100%(A) | 1 Day SONIA(1)(A)/ 5.191% | (94,015) | 242,176 | 336,191 | |||||||
GBP | 247 | 05/08/31 | 1.150%(A) | 1 Day SONIA(1)(A)/ 5.191% | (10,753) | 59,215 | 69,968 | |||||||
66,970 | 08/31/24 | 5.384%(T) | 1 Day SOFR(2)(T)/ 5.340% | — | (20,450) | (20,450) | ||||||||
7,208 | 03/08/25 | 4.946%(A) | 1 Day SOFR(2)(A)/ 5.340% | — | (10,960) | (10,960) | ||||||||
9,328 | 03/09/25 | 5.110%(A) | 1 Day SOFR(2)(A)/ 5.340% | — | 1,074 | 1,074 | ||||||||
21,087 | 03/10/25 | 5.088%(A) | 1 Day SOFR(2)(A)/ 5.340% | — | (1,880) | (1,880) | ||||||||
27,245 | 08/31/25 | 4.805%(A) | 1 Day SOFR(1)(A)/ 5.340% | — | 109,698 | 109,698 | ||||||||
4,910 | 09/25/26 | 4.699%(A) | 1 Day SOFR(1)(A)/ 5.340% | 908 | (18,716) | (19,624) | ||||||||
$(266,370) | $745,777 | $1,012,147 |
SCHEDULE OF INVESTMENTS | as of March 31, 2024 (unaudited) |
(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: | ||||||||||||||
Bloomberg Commodity Index Total Return(Q) | 3 Month U.S. Treasury Bill(Q)/ 5.230% | BOA | 03/31/25 | 23,766 | $— | $— | $— | |||||||
Total Return Benchmark Bond Index(T) | 1 Day USOIS -40bps(T)/ 4.930% | GSI | 09/20/24 | (11,071) | (41,132) | — | (41,132) | |||||||
U.S. Treasury Bond(T) | 1 Day USOIS +20bps(T)/ 5.530% | GSI | 08/01/24 | 10,060 | (242,341) | — | (242,341) | |||||||
$(283,473) | $— | $(283,473) |
(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). |