Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
Australia
10
Year
Bond;
September
2020
Short
155
$
16,550
$
(122)
Canada
10
Year
Bond;
September
2020
Long
136
15,707
100
Euro
Bond
10
Year
Bond;
September
2020
Short
96
20,075
(340)
Euro
Buxl
30
Year
Bond;
September
2020
Short
16
4,238
(150)
Euro-BTP;
September
2020
Short
31
5,367
(260)
Japan
10
Year
Bond
TSE;
September
2020
Short
28
40,304
(87)
US
10
Year
Note;
September
2020
Short
257
36,000
(279)
US
10
Year
Ultra
Note;
September
2020
Short
194
30,894
(280)
US
2
Year
Note;
September
2020
Long
635
140,325
130
US
5
Year
Note;
September
2020
Long
367
46,288
165
US
Long
Bond;
September
2020
Long
5
911
5
US
Ultra
Bond;
September
2020
Long
44
10,018
283
Total
$
(835)
Amounts
in
thousands
except
contracts.
Foreign
Currency
Contracts
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Barclays
Bank
PLC
08/05/2020
GBP
4,861
$
6,013
$
350
$
—
Barclays
Bank
PLC
08/05/2020
$
6,013
EUR
5,390
—
(336)
BNP
Paribas
08/05/2020
$
6,462
AUD
9,039
4
—
BNP
Paribas
08/05/2020
JPY
6,421,034
$
61,153
—
(493)
BNP
Paribas
09/03/2020
$
61,172
JPY
6,421,034
482
—
Citigroup
Inc
08/05/2020
$
2,500
CAD
3,362
—
(10)
Citigroup
Inc
08/05/2020
CAD
3,363
$
2,500
11
—
Citigroup
Inc
08/05/2020
EUR
9,191
$
10,768
59
—
Citigroup
Inc
08/05/2020
$
59,821
JPY
6,421,713
—
(845)
Citigroup
Inc
08/05/2020
$
16,633
NZD
25,725
—
(428)
Citigroup
Inc
09/16/2020
$
2,500
CAD
3,363
—
(11)
Deutsche
Bank
AG
08/05/2020
$
1,908
GBP
1,575
—
(154)
Deutsche
Bank
AG
08/05/2020
EUR
1,725
$
1,908
124
—
Goldman
Sachs
&
Co
08/05/2020
GBP
2,962
$
3,434
443
—
Goldman
Sachs
&
Co
08/05/2020
$
37,994
EUR
34,010
—
(2,069)
Goldman
Sachs
&
Co
11/02/2020
GBP
2,607
$
3,264
149
—
Goldman
Sachs
&
Co
11/02/2020
$
3,264
EUR
2,870
—
(123)
HSBC
Securities
Inc
08/05/2020
EUR
89
$
105
—
—
HSBC
Securities
Inc
08/05/2020
$
8,385
NZD
12,807
—
(108)
HSBC
Securities
Inc
09/03/2020
$
105
EUR
89
—
—
JPMorgan
Chase
08/05/2020
$
7,538
GBP
6,556
—
(1,043)
JPMorgan
Chase
08/05/2020
EUR
6,985
$
7,538
690
—
Morgan
Stanley
&
Co
08/05/2020
AUD
9,039
$
6,451
7
—
Morgan
Stanley
&
Co
08/05/2020
$
5,806
EUR
5,142
—
(251)
Morgan
Stanley
&
Co
09/03/2020
$
6,452
AUD
9,039
—
(5)
Royal
Bank
of
Scotland
08/05/2020
NZD
54,111
$
35,927
—
(41)
Royal
Bank
of
Scotland
09/03/2020
$
35,928
NZD
54,111
52
—
Standard
Chartered
Bank,
Hong
Kong
08/05/2020
$
10,019
NZD
15,579
—
(313)
Standard
Chartered
Bank,
Hong
Kong
09/03/2020
$
847
EUR
718
1
—
Standard
Chartered
Bank,
Hong
Kong
09/16/2020
CAD
13,278
$
9,801
115
—
UBS
AG
08/05/2020
GBP
308
$
405
—
(2)
UBS
AG
08/05/2020
EUR
26,573
$
31,422
—
(120)
UBS
AG
09/03/2020
$
405
GBP
308
2
—
UBS
AG
09/03/2020
$
31,441
EUR
26,573
124
—
Westpac
Banking
Corporation
08/05/2020
$
24
EUR
21
—
(1)
Total
$
2,613
$
(6,353)
Amounts
in
thousands.
Exchange
Cleared
Interest
Rate
Swaps
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
1.08%
Semiannual
Quarterly
N/A
09/16/2030
NZD
22,950
$
(610)
$
(56)
$
(666)
3
Month
USD
LIBOR
Receive
0.55%
Semiannual
Quarterly
N/A
03/12/2021
$
35,890
(66)
—
(66)
3
Month
USD
LIBOR
Pay
0.62%
Quarterly
Semiannual
N/A
05/04/2030
2,290
21
—
21
3
Month
USD
LIBOR
Pay
0.35%
Quarterly
Semiannual
N/A
10/02/2022
8,420
31
—
31
3
Month
USD
LIBOR
Pay
0.64%
Quarterly
Semiannual
N/A
05/05/2030
920
10
1
11
3
Month
USD
LIBOR
Pay
0.64%
Quarterly
Semiannual
N/A
04/07/2030
3,410
39
—
39