Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Assets: | ||||
Corporate Bonds | $— | $101,011,778 | $— | $101,011,778 |
U.S. Treasury Obligations | — | 48,140,962 | — | 48,140,962 |
Commercial Mortgage-Backed Securities | — | 20,725,864 | — | 20,725,864 |
U.S. Government Mortgage-Backed Obligations | — | 18,273,640 | — | 18,273,640 |
Non-Agency Collateralized Mortgage Obligations | — | 16,904,144 | — | 16,904,144 |
Agency Collateralized Mortgage Obligations | — | 16,298,775 | — | 16,298,775 |
Asset-Backed Securities | — | 14,040,138 | — | 14,040,138 |
Sovereign Government Obligations | — | 5,652,620 | — | 5,652,620 |
Short-Term Investment Fund | 6,815,372 | — | — | 6,815,372 |
Other Financial Instruments | ||||
Futures | ||||
Interest rate contracts | 152,464 | — | — | 152,464 |
Total Assets | $6,967,836 | $241,047,921 | $— | $248,015,757 |
Liabilities: | ||||
Other Financial Instruments | ||||
Swap Agreements | ||||
Credit contracts | $— | $(601,685) | $— | $(601,685) |
Futures | ||||
Interest rate contracts | (1,005,468) | — | — | (1,005,468) |
Total Liabilities | $(1,005,468) | $(601,685) | $— | $(1,607,153) |
Total | $5,962,368 | $240,446,236 | $— | $246,408,604 |
Description | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ Depreciation |
Short Futures: | ||||
30-Year U.S. Ultra Treasury Bond | 3/19/2024 | 105 | $14,027,344 | $(1,005,468) |
Long Futures: | ||||
5 Year U.S. Treasury Note | 3/28/2024 | 143 | 15,554,602 | 66,649 |
2-Year U.S. Treasury Note | 3/28/2024 | 242 | 49,831,203 | 85,815 |
$(853,004) |
Counterparty | Termination Date | Notional Amount(2) | Pay Fixed Rate | Clearinghouse | Underlying Bond | Value(3) | Premiums Paid/ (Received) | Unrealized Depreciation |
Buy Protection: | ||||||||
Wells Fargo | 12/20/28 | $10,112,850 | 5.000% | ICE | Markit CDX North America High Yield Series 41 5Y Index | $(589,911) | $11,774 | $(601,685) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund 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. |
(3) | The quoted market prices and resulting values for credit default swap agreements on the underlying bond serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Counterparty | Termination Date | Notional Amount(2) | Pay Fixed Rate | Clearinghouse | Underlying Bond | Value(3) | Premiums Paid/ (Received) | Unrealized Depreciation |
Buy Protection: | ||||||||
Wells Fargo | 12/20/25 | $557,053 | 5.000% | ICE | Markit CDX North America High Yield Series 35 5Y Index | $(31,990) | $(23,002) | $(8,988) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund 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. |
(3) | The quoted market prices and resulting values for credit default swap agreements on the underlying bond serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Contract to | ||||||
Counterparty | Expiration Date | Receive | Deliver | Unrealized Depreciation | ||
Wells Fargo | 1/16/2024 | USD | 8,418,451 | EUR | 7,739,151 | $(131,488) |
Wells Fargo | 1/16/2024 | USD | 317,735 | GBP | 252,401 | (4,021) |
$(135,509) |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $2,501,465,032 | $— | $— | $2,501,465,032 |
Short-Term Investment Fund | 1,141,526 | — | — | 1,141,526 |
Total | $2,502,606,558 | $— | $— | $2,502,606,558 |
Portfolio Abbreviations: |
LLC – Limited Liability Company |
LP – Limited Partnership |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
TSFR3M – Three Month Term Secured Overnight Financing Rate |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, these securities were valued at $79,576,876 or 75.5% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $— | $100,244,754 | $— | $100,244,754 |
Asset-Backed Securities | — | 991,347 | — | 991,347 |
Short-Term Investment Funds | 2,992,389 | — | — | 2,992,389 |
Total | $2,992,389 | $101,236,101 | $— | $104,228,490 |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $722,329,124 | $— | $— | $722,329,124 |
Short-Term Investment Funds | 19,926,470 | — | — | 19,926,470 |
Total | $742,255,594 | $— | $— | $742,255,594 |
Valuation inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
Netherlands | $2,796,819 | $3,117,742 | $— | $5,914,561 |
Japan | — | 5,818,246 | — | 5,818,246 |
Switzerland | 1,577,883 | 2,483,045 | — | 4,060,928 |
Brazil | 3,639,064 | — | — | 3,639,064 |
Canada | 2,935,799 | — | — | 2,935,799 |
India | 1,539,638 | 1,358,850 | — | 2,898,488 |
Sweden | — | 2,748,620 | — | 2,748,620 |
United States | 2,569,792 | — | — | 2,569,792 |
Italy | 2,201,351 | — | — | 2,201,351 |
Germany | — | 1,897,626 | — | 1,897,626 |
Taiwan | 1,301,040 | — | — | 1,301,040 |
Poland | — | 1,229,162 | — | 1,229,162 |
France | — | 990,457 | — | 990,457 |
Denmark | 988,763 | — | — | 988,763 |
Singapore | 814,212 | — | — | 814,212 |
Short-Term Investment Fund | 1,049,270 | — | — | 1,049,270 |
Total | $21,413,631 | $19,643,748 | $— | $41,057,379 |