CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES

12 Months Ended

Dec. 31, 2023

CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract]

CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES

Note 11. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES

Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Trust sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at December 31, 2023 and December 31, 2022. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the carrying value of these contracts is a more relevant measure of these obligations. At December 31, 2023 and December 31, 2022, the carrying value of such credit derivative contracts purchased was $11,078,458 and $381,247, respectively.

	December 31, 2023		December 31, 2022
	Maturity Date:		Maturity Date:
Credit Default Index Swaps	December 2028		December 2027
Investment grade	$	468,234,947	$	73,504,094
Non-investment grade		183,131,945		25,156,817
Total	$	651,366,892	$	98,660,911

The Trust does not monitor its exposure to credit derivatives based on the notional amounts because that measure does not take into consideration the probability of a credit default event, the legal right to offset assets and liabilities by a counterparty, or collateral posted. However, the notional value of these credit derivative contracts has been included to provide information about the magnitude of involvement with these types of contracts.