Notes to Quarterly Schedule of Portfolio Holdings
November 30, 2019
(Unaudited)
NOTE 1—Additional Valuation
Information
Generally Accepted Accounting
Principles ("GAAP") defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current
market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets
(Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other
investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:
Level 1 – Prices are
determined using quoted prices in an active market for identical assets.
Level 2 – Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar
securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.
Level 3 – Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an
investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Trust’s own assumptions about the factors market participants would use in determining fair value of the
securities or instruments and would be based on the best available information.
The following is
a summary of the tiered valuation input levels, as of November 30, 2019. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.
|
| Level 1
| Level 2
| Level 3
| Total
|
| Investments in Securities
|
|
|
|
|
| U.S. Dollar Denominated Bonds & Notes
| $—
| $160,858,352
| $0
| $160,858,352
|
| Non-U.S. Dollar Denominated Bonds & Notes
| —
| 670,751
| —
| 670,751
|
| Money Market Funds
| 7,377,353
| —
| —
| 7,377,353
|
| Total Investments in Securities
| 7,377,353
| 161,529,103
| 0
| 168,906,456
|
| Other Investments - Assets*
|
|
|
|
|
| Forward Foreign Currency Contracts
| —
| 2,128
| —
| 2,128
|
| Other Investments - Liabilities*
|
|
|
|
|
| Forward Foreign Currency Contracts
| —
| (2,516)
| —
| (2,516)
|
| Total Other Investments
| —
| (388)
| —
| (388)
|
| Total Investments
| $7,377,353
| $161,528,715
| $0
| $168,906,068
|
| *
| Unrealized appreciation (depreciation).
|