COUNTERPARTY ABBREVIATIONS: | ||
BAR | — | Counterparty to contract is Barclays Capital. |
BBH | — | Counterparty to contract is Brown Brothers Harriman. |
BNP | — | Counterparty to contract is BNP Paribas. |
BOA | — | Counterparty to contract is Bank of America. |
CITI | — | Counterparty to contract is Citibank NA London. |
CS | — | Counterparty to contract is Credit Suisse International. |
DEUT | — | Counterparty to contract is Deutsche Bank AG. |
GSC | — | Counterparty to contract is Goldman Sachs Capital Markets, LP. |
HSBC | — | Counterparty to contract is HSBC Securities. |
JPM | — | Counterparty to contract is JPMorgan Chase Bank. |
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. |
NT | — | Counterparty to contract is Northern Trust. |
RBC | — | Counterparty to contract is Royal Bank of Canada. |
RBS | — | Counterparty to contract is Royal Bank of Scotland. |
SC | — | Counterparty to contract is Standard Chartered PLC. |
SS | — | Counterparty to contract is State Street Global Markets. |
UBS | — | Counterparty to contract is UBS AG. |
WEST | — | Counterparty to contract is Westpac Bank. |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 9 | $986,400 | $(2,000) | ||||
MSCI Emerging Markets | 06/2021 | 4 | 264,500 | (2,216) | ||||
S&P 500® E-Mini | 06/2021 | 9 | 1,785,330 | 22,940 | ||||
10-Year U.S. Treasury Note | 06/2021 | 28 | 3,666,250 | (71,557) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $6,702,480 | $(52,833) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 34 | $3,726,400 | $(11,439) | ||||
MSCI Emerging Markets | 06/2021 | 13 | 859,625 | (7,386) | ||||
S&P 500® E-Mini | 06/2021 | 33 | 6,546,210 | 65,858 | ||||
10-Year U.S. Treasury Note | 06/2021 | 72 | 9,427,500 | (244,795) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $20,559,735 | $(197,762) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 54 | $5,918,400 | $(15,694) | ||||
MSCI Emerging Markets | 06/2021 | 23 | 1,520,875 | (13,168) | ||||
S&P 500® E-Mini | 06/2021 | 58 | 11,505,460 | 122,852 | ||||
10-Year U.S. Treasury Note | 06/2021 | 56 | 7,332,500 | (168,361) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $26,277,235 | $(74,371) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 47 | $5,151,200 | $(11,545) | ||||
MSCI Emerging Markets | 06/2021 | 20 | 1,322,500 | (1,968) | ||||
S&P 500® E-Mini | 06/2021 | 51 | 10,116,870 | 111,738 | ||||
10-Year U.S. Treasury Note | 06/2021 | 20 | 2,618,750 | (56,021) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $19,209,320 | $42,204 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 21 | $2,301,600 | $(4,939) | ||||
MSCI Emerging Markets | 06/2021 | 9 | 595,125 | (2,614) | ||||
S&P 500® E-Mini | 06/2021 | 22 | 4,364,140 | 36,592 | ||||
10-Year U.S. Treasury Note | 06/2021 | 6 | 785,625 | (18,650) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $8,046,490 | $10,389 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 5 | $548,000 | $(2,264) | ||||
MSCI Emerging Markets | 06/2021 | 5 | 330,625 | (2,779) | ||||
S&P 500® E-Mini | 06/2021 | 7 | 1,388,590 | 13,970 | ||||
2-Year U.S. Treasury Note | 06/2021 | 35 | 7,725,430 | (6,929) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $9,992,645 | $1,998 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 06/2021 | 49 | $5,370,400 | $(14,270) | ||||
MSCI Emerging Markets E-Mini | 06/2021 | 28 | 1,851,500 | (16,087) | ||||
S&P 500® E-Mini | 06/2021 | 58 | 11,505,460 | 115,750 | ||||
10-Year U.S. Treasury Note | 06/2021 | 22 | 2,880,625 | (74,799) | ||||
U.S. Treasury Long Bond | 06/2021 | 29 | 4,483,219 | (174,938) | ||||
5-Year U.S. Treasury Note | 06/2021 | 52 | 6,416,719 | (82,149) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $32,507,923 | $(246,493) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 67 | $7,343,200 | $(28,542) | ||||
MSCI Emerging Markets | 06/2021 | 45 | 2,975,625 | (30,291) | ||||
S&P 500® E-Mini | 06/2021 | 83 | 16,464,710 | 153,588 | ||||
10-Year U.S. Treasury Note | 06/2021 | 12 | 1,571,250 | (31,644) | ||||
U.S. Treasury Long Bond | 06/2021 | 13 | 2,009,719 | (78,421) | ||||
5-Year U.S. Treasury Note | 06/2021 | 24 | 2,961,562 | (34,165) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $33,326,066 | $(49,475) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 77 | $8,439,200 | $(35,215) | ||||
MSCI Emerging Markets E-Mini | 06/2021 | 56 | 3,703,000 | (39,131) | ||||
S&P 500® E-Mini | 06/2021 | 92 | 18,250,040 | 161,497 | ||||
Total Futures Contracts outstanding at March 31, 2021 | $30,392,240 | $87,151 |
Number of Contracts | Notional Amount | Value | |||
G2SF 2.00% expiration date 05/2021, Strike Price $100.05, Expires 05/13/21 (JPM) | (1) | $(5,102,391) | $(53,787) | ||
(146,236) | |||||
Total Written Options (Premiums received $ (90,348)) | (154,283) | ||||
Liabilities in Excess of Other Assets — (1.2)% | (13,253,479) | ||||
NET ASSETS — 100.0% | $1,064,566,649 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 06/2021 | (1) | $(200,860) | $8 | ||||
Euro-Schatz | 06/2021 | (5) | (657,298) | 37 | ||||
Euro-Bobl | 06/2021 | (45) | (7,128,374) | (1,289) | ||||
10-Year U.S. Treasury Note | 06/2021 | (103) | (13,486,563) | 239,446 | ||||
Ultra Long U.S. Treasury Bond | 06/2021 | (9) | (1,630,969) | 70,584 | ||||
2-Year U.S. Treasury Note | 06/2021 | 2,027 | 447,412,742 | (344,575) | ||||
5-Year U.S. Treasury Note | 06/2021 | (786) | (96,991,172) | 959,779 | ||||
Ultra 10-Year U.S. Treasury Note | 06/2021 | (140) | (20,116,250) | 421,117 | ||||
90-Day Bank Acceptance | 12/2022 | 70 | 13,784,018 | (53,152) | ||||
90-Day Bank Acceptance | 03/2023 | 216 | 42,451,898 | (228,511) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $363,437,172 | $1,063,444 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/07/21 | U.S. Dollars | 18,862,020 | British Pounds | 13,367,000 | UBS | $433,836 | ||||||
06/16/21 | U.S. Dollars | 26,316,748 | Euro | 22,086,000 | BNP | 373,412 | ||||||
06/16/21 | U.S. Dollars | 5,270,354 | Euro | 4,356,372 | WEST | 153,138 | ||||||
06/22/21 | U.S. Dollars | 5,940,991 | Euro | 4,980,000 | HSBC | 90,473 | ||||||
04/07/21 | U.S. Dollars | 3,393,671 | Japanese Yen | 370,100,000 | BNP | 50,902 | ||||||
04/07/21 | U.S. Dollars | 7,063,265 | Canadian Dollars | 8,813,152 | BNP | 50,229 | ||||||
04/07/21 | U.S. Dollars | 3,456,616 | Euro | 2,906,000 | MSCS | 48,255 | ||||||
06/16/21 | Mexican Pesos | 17,431,188 | Euro | 680,000 | BAR | 46,775 | ||||||
04/07/21 | British Pounds | 16,304,000 | U.S. Dollars | 22,431,449 | JPM | 45,779 | ||||||
04/07/21 | U.S. Dollars | 1,974,180 | Australian Dollars | 2,548,000 | UBS | 38,769 | ||||||
04/07/21 | U.S. Dollars | 1,573,381 | Australian Dollars | 2,031,000 | GSC | 30,673 | ||||||
04/07/21 | U.S. Dollars | 5,058,022 | Japanese Yen | 557,532,161 | MSCS | 22,354 | ||||||
05/04/21 | U.S. Dollars | 4,271,304 | Australian Dollars | 5,599,000 | GSC | 17,803 | ||||||
04/07/21 | Canadian Dollars | 7,946,648 | U.S. Dollars | 6,307,998 | GSC | 15,521 | ||||||
04/07/21 | U.S. Dollars | 787,689 | Australian Dollars | 1,020,000 | MSCS | 12,917 | ||||||
06/22/21 | U.S. Dollars | 2,022,961 | Canadian Dollars | 2,526,000 | HSBC | 12,717 | ||||||
04/07/21 | U.S. Dollars | 1,726,907 | Euro | 1,464,000 | CS | 9,824 | ||||||
04/07/21 | Canadian Dollars | 3,261,504 | U.S. Dollars | 2,585,897 | BNP | 9,434 | ||||||
06/16/21 | U.S. Dollars | 372,100 | Australian Dollars | 480,000 | BAR | 7,396 | ||||||
05/07/21 | U.S. Dollars | 5,061,896 | Japanese Yen | 559,500,000 | MSCS | 6,917 | ||||||
06/16/21 | Australian Dollars | 1,100,000 | New Zealand Dollars | 1,190,537 | JPM | 4,470 | ||||||
06/16/21 | U.S. Dollars | 306,237 | Canadian Dollars | 382,000 | CITI | 2,236 | ||||||
05/04/21 | U.S. Dollars | 5,130,584 | Euro | 4,370,000 | JPM | 2,235 | ||||||
06/16/21 | New Zealand Dollars | 1,199,468 | Australian Dollars | 1,100,000 | JPM | 1,766 | ||||||
06/16/21 | New Zealand Dollars | 1,210,017 | Australian Dollars | 1,110,000 | BOA | 1,534 | ||||||
06/16/21 | U.S. Dollars | 80,168 | Euro | 67,000 | BAR | 1,467 | ||||||
04/07/21 | U.S. Dollars | 2,223,633 | British Pounds | 1,612,000 | GSC | 1,277 | ||||||
Subtotal Appreciation | $1,492,109 | |||||||||||
04/07/21 | U.S. Dollars | 212,276 | Canadian Dollars | 269,000 | MSCS | $(1,780) | ||||||
06/16/21 | Australian Dollars | 1,110,000 | New Zealand Dollars | 1,210,710 | MSCS | (2,019) | ||||||
04/07/21 | Euro | 4,370,000 | U.S. Dollars | 5,127,689 | JPM | (2,245) | ||||||
04/07/21 | Japanese Yen | 48,400,000 | U.S. Dollars | 443,991 | BNP | (6,838) | ||||||
04/07/21 | U.S. Dollars | 1,818,651 | British Pounds | 1,325,000 | BNP | (8,037) | ||||||
05/04/21 | U.S. Dollars | 2,586,013 | Canadian Dollars | 3,261,504 | BNP | (9,447) | ||||||
04/07/21 | U.S. Dollars | 1,676,513 | Canadian Dollars | 2,126,000 | BNP | (15,244) | ||||||
05/04/21 | U.S. Dollars | 6,308,313 | Canadian Dollars | 7,946,648 | GSC | (15,522) | ||||||
04/01/21 | U.S. Dollars | 2,371,036 | Canadian Dollars | 3,000,000 | CITI | (16,169) | ||||||
04/07/21 | Australian Dollars | 5,599,000 | U.S. Dollars | 4,270,811 | GSC | (17,921) | ||||||
05/07/21 | Japanese Yen | 557,532,161 | U.S. Dollars | 5,059,512 | MSCS | (22,311) | ||||||
06/16/21 | Euro | 680,000 | Mexican Pesos | 16,933,496 | CITI | (22,633) | ||||||
06/16/21 | Euro | 1,791,000 | U.S. Dollars | 2,140,708 | CITI | (36,909) | ||||||
05/05/21 | U.S. Dollars | 22,433,601 | British Pounds | 16,304,000 | JPM | (45,675) | ||||||
06/16/21 | Euro | 7,871,000 | U.S. Dollars | 9,409,198 | UBS | (163,522) | ||||||
04/07/21 | Japanese Yen | 879,232,161 | U.S. Dollars | 8,287,739 | MSCS | (346,454) | ||||||
Subtotal Depreciation | $(732,726) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $759,383 |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2024 | MS | USD | 1,600,000 | $(43,621) | $(35,993) | $(7,628) | ||||||||
$(43,621) | $(35,993) | $(7,628) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.NA.IG.32 Index (Pay Quarterly) | (1.00)% | 6/20/2024 | USD | 10,100,000 | $(183,309) | $(198,363) | $15,054 | |||||||
Markit CDX.NA.IG.33 Index (Pay Quarterly) | (1.00)% | 12/20/2024 | USD | 27,050,000 | (501,493) | (698,526) | 197,033 | |||||||
Subtotal Appreciation | $(684,802) | $(896,889) | $212,087 | |||||||||||
Markit CDX.NA.IG.35 Index (Pay Quarterly) | (1.00)% | 12/20/2025 | USD | 3,300,000 | $(79,805) | $(76,309) | $(3,496) | |||||||
Markit CDX.NA.IG.36 Index (Pay Quarterly) | (1.00)% | 6/20/2026 | USD | 5,200,000 | (123,030) | (112,537) | (10,493) | |||||||
Subtotal Depreciation | $(202,835) | $(188,846) | $(13,989) | |||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection outstanding at March 31, 2021 | $(887,637) | $(1,085,735) | $198,098 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Month LIBOR + .0975% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 14,200,000 | $(4,179) | $— | $(4,179) | |||||||
1-Month LIBOR + .098% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 10,800,000 | (3,230) | — | (3,230) | |||||||
$(7,409) | $ — | $(7,409) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 06/2021 | (188) | $(37,761,691) | $(120,889) | ||||
Euro-OAT | 06/2021 | 42 | 7,976,588 | 2,765 | ||||
10-Year Japanese Treasury Bond | 06/2021 | (9) | (12,286,656) | (7,386) | ||||
90-Day Eurodollar | 06/2021 | (679) | (169,452,937) | (257,872) | ||||
10-Year Commonwealth Treasury Bond | 06/2021 | 80 | 8,392,380 | (59,571) | ||||
10-Year U.S. Treasury Note | 06/2021 | 682 | 89,299,375 | (1,853,256) | ||||
U.S. Treasury Long Bond | 06/2021 | (351) | (54,262,406) | 2,016,783 | ||||
Ultra Long U.S. Treasury Bond | 06/2021 | 457 | 82,816,969 | (3,455,928) | ||||
Long GILT | 06/2021 | (66) | (11,609,109) | 134,843 | ||||
2-Year U.S. Treasury Note | 06/2021 | 1,000 | 220,726,562 | (77,520) | ||||
30-Year Euro Buxl | 06/2021 | (19) | (4,590,839) | 15,283 | ||||
5-Year U.S. Treasury Note | 06/2021 | 967 | 119,326,289 | (1,456,670) | ||||
Ultra 10-Year U.S. Treasury Note | 06/2021 | (17) | (2,442,688) | 23,109 | ||||
90-Day Eurodollar | 12/2021 | (918) | (228,891,825) | (301,011) | ||||
90-Day Eurodollar | 09/2023 | 37 | 9,154,725 | (10,400) | ||||
90-Day Eurodollar | 12/2023 | 1,142 | 282,059,725 | (567,014) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $298,454,462 | $(5,974,734) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/19/21 | U.S. Dollars | 20,570,116 | Euro | 16,824,071 | GSC | $832,750 | ||||||
04/07/21 | U.S. Dollars | 28,452,371 | British Pounds | 20,156,000 | UBS | 664,649 | ||||||
06/28/21 | U.S. Dollars | 32,451,093 | Japanese Yen | 3,530,000,000 | BAR | 542,664 | ||||||
04/06/21 | U.S. Dollars | 7,426,020 | Euro | 6,113,000 | BNP | 256,413 | ||||||
05/24/21 | U.S. Dollars | 4,763,275 | Japanese Yen | 500,000,000 | BNP | 245,265 | ||||||
06/16/21 | U.S. Dollars | 4,656,686 | Swedish Kronor | 39,578,219 | SS | 121,583 | ||||||
06/16/21 | U.S. Dollars | 3,129,646 | New Zealand Dollars | 4,367,628 | CITI | 79,879 | ||||||
04/05/21 | U.S. Dollars | 4,282,197 | Brazilian Reals | 23,710,527 | DEUT | 70,977 | ||||||
04/07/21 | U.S. Dollars | 2,004,278 | Euro | 1,655,000 | HSBC | 63,178 | ||||||
04/07/21 | British Pounds | 22,122,000 | U.S. Dollars | 30,435,998 | JPM | 62,116 | ||||||
05/20/21 | U.S. Dollars | 6,608,978 | British Pounds | 4,748,907 | SS | 61,121 | ||||||
04/09/21 | U.S. Dollars | 1,347,055 | Euro | 1,109,648 | UBS | 45,528 | ||||||
06/16/21 | U.S. Dollars | 3,172,143 | Australian Dollars | 4,118,554 | JPM | 42,862 | ||||||
05/10/21 | U.S. Dollars | 1,919,618 | Peruvian Nuevo Soles | 7,052,465 | HSBC | 35,879 | ||||||
06/16/21 | U.S. Dollars | 3,705,256 | Norwegian Kroner | 31,410,384 | BOA | 33,033 | ||||||
04/07/21 | U.S. Dollars | 1,763,351 | Euro | 1,477,000 | BAR | 31,022 | ||||||
04/07/21 | U.S. Dollars | 2,739,352 | British Pounds | 1,966,000 | RBS | 28,960 | ||||||
04/09/21 | U.S. Dollars | 859,864 | Euro | 708,524 | BOA | 28,823 | ||||||
01/31/22 | U.S. Dollars | 2,219,614 | Israeli Shekels | 7,282,000 | HSBC | 28,718 | ||||||
04/19/21 | Canadian Dollars | 3,995,065 | U.S. Dollars | 3,153,209 | CITI | 25,931 | ||||||
04/09/21 | U.S. Dollars | 1,071,336 | Euro | 893,206 | SS | 23,677 | ||||||
06/23/21 | U.S. Dollars | 713,429 | Peruvian Nuevo Soles | 2,604,516 | HSBC | 17,949 | ||||||
06/14/21 | U.S. Dollars | 1,248,000 | Peruvian Nuevo Soles | 4,609,488 | HSBC | 17,096 | ||||||
06/16/21 | U.S. Dollars | 548,202 | Swedish Kronor | 4,650,767 | UBS | 15,290 | ||||||
05/04/21 | U.S. Dollars | 7,188,724 | Euro | 6,113,000 | BNP | 14,902 | ||||||
06/16/21 | U.S. Dollars | 824,975 | Euro | 691,000 | CITI | 13,291 | ||||||
05/17/21 | U.S. Dollars | 305,670 | Japanese Yen | 32,400,000 | UBS | 12,919 | ||||||
06/16/21 | U.S. Dollars | 420,419 | Japanese Yen | 45,268,809 | UBS | 11,276 | ||||||
08/04/21 | U.S. Dollars | 426,000 | Peruvian Nuevo Soles | 1,573,218 | BNP | 6,005 | ||||||
04/19/21 | U.S. Dollars | 454,924 | Chinese Offshore Yuan | 2,958,374 | CITI | 4,947 | ||||||
04/19/21 | U.S. Dollars | 574,642 | Australian Dollars | 750,000 | CITI | 4,918 | ||||||
05/17/21 | Chilean Pesos | 1,891,114,500 | U.S. Dollars | 2,621,087 | HSBC | 4,668 | ||||||
05/20/21 | British Pounds | 496,000 | U.S. Dollars | 680,109 | CITI | 3,782 | ||||||
05/20/21 | British Pounds | 325,932 | U.S. Dollars | 446,974 | JPM | 2,426 | ||||||
06/21/21 | U.S. Dollars | 174,000 | Peruvian Nuevo Soles | 645,453 | HSBC | 1,645 | ||||||
06/16/21 | Canadian Dollars | 364,981 | U.S. Dollars | 289,573 | UBS | 884 | ||||||
06/16/21 | U.S. Dollars | 397,294 | New Zealand Dollars | 568,000 | DEUT | 679 | ||||||
06/16/21 | Norwegian Kroner | 1,669,695 | U.S. Dollars | 194,739 | BOA | 466 | ||||||
Subtotal Appreciation | $3,458,171 | |||||||||||
06/01/21 | U.S. Dollars | 1,990,177 | Australian Dollars | 2,619,602 | CITI | $(81) | ||||||
06/16/21 | U.S. Dollars | 206,112 | New Zealand Dollars | 296,000 | CITI | (575) | ||||||
06/01/21 | U.S. Dollars | 408,682 | Canadian Dollars | 515,436 | CITI | (1,498) | ||||||
06/16/21 | British Pounds | 164,080 | U.S. Dollars | 229,741 | JPM | (3,485) | ||||||
04/19/21 | U.S. Dollars | 255,788 | British Pounds | 188,429 | CITI | (3,997) | ||||||
06/16/21 | Euro | 171,000 | U.S. Dollars | 206,438 | CITI | (5,573) | ||||||
04/09/21 | Euro | 724,287 | U.S. Dollars | 855,577 | JPM | (6,047) | ||||||
06/16/21 | Australian Dollars | 529,000 | U.S. Dollars | 411,890 | SS | (9,955) | ||||||
06/16/21 | Australian Dollars | 593,000 | U.S. Dollars | 461,772 | UBS | (11,210) | ||||||
06/16/21 | New Zealand Dollars | 522,439 | U.S. Dollars | 376,720 | UBS | (11,919) | ||||||
04/07/21 | U.S. Dollars | 1,918,078 | Canadian Dollars | 2,429,000 | HSBC | (14,791) | ||||||
04/19/21 | Brazilian Reals | 3,660,000 | U.S. Dollars | 675,601 | GSC | (26,090) | ||||||
06/16/21 | U.S. Dollars | 3,755,758 | Canadian Dollars | 4,753,858 | DEUT | (27,426) | ||||||
04/19/21 | Euro | 680,000 | U.S. Dollars | 825,765 | GSC | (28,014) | ||||||
04/19/21 | Russian Rubles | 185,108,744 | U.S. Dollars | 2,475,448 | GSC | (32,252) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/01/21 | Australian Dollars | 3,410,543 | U.S. Dollars | 2,628,645 | SS | $(37,465) | ||||||
04/19/21 | Russian Rubles | 327,095,958 | U.S. Dollars | 4,360,810 | CITI | (43,565) | ||||||
04/19/21 | Euro | 1,330,000 | U.S. Dollars | 1,610,868 | CITI | (50,562) | ||||||
04/19/21 | Australian Dollars | 2,961,180 | U.S. Dollars | 2,310,466 | CITI | (61,058) | ||||||
05/05/21 | U.S. Dollars | 30,438,918 | British Pounds | 22,122,000 | JPM | (61,974) | ||||||
06/16/21 | Japanese Yen | 437,575,002 | U.S. Dollars | 4,026,050 | CITI | (71,217) | ||||||
04/19/21 | Mexican Pesos | 95,453,689 | U.S. Dollars | 4,731,776 | CITI | (71,322) | ||||||
05/04/21 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,276,771 | DEUT | (73,098) | ||||||
04/19/21 | Brazilian Reals | 11,584,857 | U.S. Dollars | 2,167,922 | CITI | (112,051) | ||||||
06/16/21 | Euro | 6,793,906 | U.S. Dollars | 8,094,803 | RBC | (114,337) | ||||||
04/19/21 | Indonesian Rupiahs | 56,877,253,622 | U.S. Dollars | 4,048,099 | CITI | (150,073) | ||||||
04/05/21 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,363,767 | GSC | (152,547) | ||||||
04/19/21 | Japanese Yen | 917,179,528 | U.S. Dollars | 8,891,070 | CITI | (605,964) | ||||||
Subtotal Depreciation | $(1,788,146) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $1,670,025 |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | JPM | USD | 30,000 | $(71) | $(252) | $181 | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 170,000 | (1,978) | (2,226) | 248 | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | CITI | USD | 70,000 | (814) | (1,226) | 412 | ||||||||
Subtotal Appreciation | $(2,863) | $(3,704) | $841 | |||||||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | CITI | USD | 920,000 | $(2,178) | $6,695 | $(8,873) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | BOA | USD | 460,000 | (1,089) | 5,499 | (6,588) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | DEUT | USD | 360,000 | (851) | 2,602 | (3,453) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | JPM | USD | 290,000 | (687) | 1,476 | (2,163) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 12/20/2021 | DEUT | USD | 430,000 | (3,023) | 1,639 | (4,662) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 460,000 | (5,352) | (4,609) | (743) | ||||||||
Subtotal Depreciation | $(13,180) | $13,302 | $(26,482) | |||||||||||||
Net Credit Default Swaps on Sovereign Issuers—Buy Protection outstanding at March 31, 2021 | $(16,043) | $9,598 | $(25,641) |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection | ||||||||||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.46% | 1.00% | 12/20/2023 | USD | 600,000 | $8,950 | $(25,420) | $34,370 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.51% | 1.00% | 6/20/2024 | USD | 2,150,000 | 34,332 | (34,866) | 69,198 | ||||||||
Prudential Financial, Inc., 3.50% due 5/15/24 (Receive Quarterly) | 0.35% | 1.00% | 6/20/2024 | USD | 1,075,000 | 22,776 | 18,590 | 4,186 | ||||||||
Republic of Indonesia, 5.88% due 3/13/20 (Receive Quarterly) | 0.51% | 1.00% | 6/20/2024 | USD | 3,470,000 | 55,859 | 4,023 | 51,836 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.61% | 1.00% | 12/20/2024 | USD | 600,000 | 8,783 | (9,660) | 18,443 | ||||||||
Rolls-Royce Holdings PLC 2.13% due 6/18/21 (Receive Quarterly) | 2.52% | 1.00% | 6/20/2025 | EUR | 1,700,000 | (121,396) | (263,901) | 142,505 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.85% | 1.00% | 6/20/2026 | USD | 1,800,000 | 13,759 | 7,234 | 6,525 | ||||||||
British Telecommunications, 5.75% due 12/7/28 (Receive Quarterly) | 1.04% | 1.00% | 6/20/2028 | EUR | 1,800,000 | (5,420) | (10,409) | 4,989 | ||||||||
Subtotal Appreciation | $17,643 | $(314,409) | $332,052 | |||||||||||||
Republic of Colombia, 10.38% due 1/28/33 (Receive Quarterly) | 0.84% | 1.00% | 6/20/2024 | USD | 1,000,000 | $5,261 | $5,985 | $(724) | ||||||||
The Boeing Co., 8.75% due 8/15/21 (Receive Quarterly) | 0.77% | 1.00% | 6/20/2024 | USD | 475,000 | 3,644 | 11,979 | (8,335) | ||||||||
Republic of Peru, 8.75% due 11/21/33 (Receive Quarterly) | 0.59% | 1.00% | 12/20/2024 | USD | 1,000,000 | 15,358 | 21,212 | (5,854) | ||||||||
Russian Federation, 7.50% due 3/31/30 (Receive Quarterly) | 0.85% | 1.00% | 12/20/2024 | USD | 1,950,000 | 11,514 | 33,333 | (21,819) | ||||||||
Subtotal Depreciation | $35,777 | $72,509 | $(36,732) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection
outstanding at March 31, 2021 | $53,420 | $(241,900) | $295,320 |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.32% | 1.00% | 6/20/2023 | USD | 7,550,000 | $116,863 | $98,308 | $18,555 | ||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.57% | 1.00% | 6/20/2025 | USD | 29,723,000 | 543,532 | 286,050 | 257,482 | ||||||||
iTraxx Europe & Crossover Series 35 (Receive Quarterly) | 2.24% | 5.00% | 12/20/2025 | EUR | 887,994 | 128,785 | 120,263 | 8,522 | ||||||||
Markit CDX.NA.HY.35 Index (Receive Quarterly) | 2.88% | 5.00% | 12/20/2025 | USD | 450,000 | 41,457 | 33,835 | 7,622 | ||||||||
iTraxx Europe & Crossover Series 35 (Receive Quarterly) | 2.53% | 5.00% | 6/20/2026 | EUR | 4,200,000 | 591,208 | 546,530 | 44,678 | ||||||||
Markit CDX.NA.HY.36 Index (Receive Quarterly) | 3.08% | 5.00% | 6/20/2026 | USD | 430,000 | 38,972 | 36,583 | 2,389 | ||||||||
Markit CDX.NA.IG.36 Index (Receive Quarterly) | 0.54% | 1.00% | 6/20/2026 | USD | 55,940,000 | 1,323,522 | 1,224,431 | 99,091 | ||||||||
$2,784,339 | $2,346,000 | $438,339 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.02% (Upon termination) | 1/4/2027 | CITI | BRL | 15,744,747 | $(97,675) | $10,600 | $(108,275) | ||||||||
$(97,675) | $10,600 | $(108,275) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
2.85% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 12,735,575 | $24,549 | $(83) | $24,632 | |||||||
2.86% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 22,364,363 | 43,090 | (495) | 43,585 | |||||||
3-Month LIBOR (Quarterly) | 0.19% (Semiannually) | 6/15/2022 | USD | 21,256,000 | 3,949 | (96) | 4,045 | |||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 10,262,470 | 13,297 | 11,958 | 1,339 | |||||||
3-Month ASX BBSW (Quarterly) | 0.19% (Quarterly) | 2/22/2023 | AUD | 159,920,000 | (45,938) | (55,639) | 9,701 | |||||||
3-Month CDOR (Semiannually) | 0.80% (Semiannually) | 2/28/2023 | CAD | 137,610,000 | 102,229 | 19,338 | 82,891 | |||||||
3-Month CDOR (Semiannually) | 0.75% (Semiannually) | 3/1/2023 | CAD | 113,070,000 | 34,639 | (31,561) | 66,200 | |||||||
0.28% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/3/2023 | USD | 88,220,000 | 50,585 | 18,237 | 32,348 | |||||||
4.70% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 6/14/2023 | MXN | 12,600,000 | 6,563 | 6,415 | 148 | |||||||
6-Month EURIBOR (Semiannually) | (0.50)% (Annually) | 6/16/2023 | EUR | 3,320,000 | (1,012) | (3,137) | 2,125 | |||||||
1- Day SOFR + 0.24% (Quarterly) | 3-Month LIBOR (Quarterly) | 11/10/2024 | USD | 24,810,000 | 3,770 | 23 | 3,747 | |||||||
6.32% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 8,111,868 | 71,745 | 19,709 | 52,036 | |||||||
1.55% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/23/2026 | AUD | 14,730,000 | 22,316 | 11,031 | 11,285 | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/11/2026 | USD | 11,100,000 | 53,423 | 23,528 | 29,895 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 6/16/2026 | EUR | 8,950,000 | 37,774 | 26,789 | 10,985 | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/16/2026 | USD | 80,000 | 2,498 | 1,809 | 689 | |||||||
3 MONTH SEK STIBOR (Quarterly) | 0.50% (Annually) | 6/16/2026 | SEK | 133,600,000 | 106,746 | 101,118 | 5,628 | |||||||
3-Month JIBAR (Quarterly) | 6.25% (Quarterly) | 6/17/2026 | ZAR | 10,840,000 | 1,622 | 735 | 887 | |||||||
0.26% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 5/15/2027 | USD | 13,194,000 | 647,892 | (42,548) | 690,440 | |||||||
0.78% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2027 | USD | 9,184,000 | 364,047 | 22,994 | 341,053 | |||||||
1.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2028 | USD | 12,141,000 | 183,214 | 19,593 | 163,621 | |||||||
1.35% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2028 | USD | 20,478,000 | 177,165 | 92,812 | 84,353 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 6/16/2028 | EUR | 6,580,000 | 121,109 | 110,111 | 10,998 | |||||||
1.00% (Semiannually) | 3-Month CDOR (Semiannually) | 6/16/2028 | CAD | 4,970,000 | 220,983 | 173,390 | 47,593 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | 460,473 | 68,836 | 391,637 | |||||||
0.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2030 | JPY | 272,930,000 | (3,341) | (8,779) | 5,438 | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/18/2030 | EUR | 7,680,000 | 39,574 | (74,006) | 113,580 | |||||||
0.75% (Annually) | 3-Month STIBOR (Quarterly) | 6/18/2030 | SEK | 10,980,000 | 25,099 | (535) | 25,634 | |||||||
1.24% (Annually) | 6-Month NIBOR (Semiannually) | 10/29/2030 | NOK | 57,990,000 | 311,790 | 188,373 | 123,417 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 1/26/2031 | GBP | 10,120,000 | 620,596 | 326,356 | 294,240 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/2/2031 | USD | 1,920,000 | 91,676 | 52,405 | 39,271 | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/10/2031 | GBP | 7,120,000 | 204,440 | 74,670 | 129,770 | |||||||
6.40% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 6/4/2031 | MXN | 38,055,000 | 72,765 | 6,350 | 66,415 | |||||||
0.25% (Annually) | 1-Day SONIA (Annually) | 6/16/2031 | GBP | 16,700,000 | 1,300,622 | 1,133,056 | 167,566 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
2.00% (Annually) | 6-Month NIBOR (Semiannually) | 6/16/2031 | NOK | 20,160,000 | $(24,052) | $(35,492) | $11,440 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 9/15/2031 | GBP | 6,200,000 | 95,410 | (5,183) | 100,593 | |||||||
1.10% (Annually) | 1-Day SONIA (Annually) | 2/17/2036 | GBP | 5,870,000 | 63,181 | 10,991 | 52,190 | |||||||
2.43% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/25/2036 | USD | 10,010,000 | 105,112 | 11,873 | 93,239 | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/10/2036 | USD | 12,570,000 | 96,148 | 70,479 | 25,669 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 16,100,000 | 1,135,256 | 328,386 | 806,870 | |||||||
2.75% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/24/2041 | AUD | 4,540,000 | 67,568 | 16,511 | 51,057 | |||||||
6-Month LIBOR (Semiannually) | 0.43% (Semiannually) | 3/19/2041 | JPY | 154,000,000 | 275 | — | 275 | |||||||
1.10% (Annually) | 1-Day SONIA (Annually) | 3/24/2041 | GBP | 4,530,000 | 58,697 | 38,357 | 20,340 | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/16/2041 | EUR | 140,000 | 7,415 | 4,720 | 2,695 | |||||||
0.56% (Annually) | 1-Day SOFR (Annually) | 7/20/2045 | USD | 5,310,000 | 1,410,247 | 70,079 | 1,340,168 | |||||||
0.74% (Annually) | 1-Day SOFR (Annually) | 8/19/2045 | USD | 3,610,000 | 828,854 | — | 828,854 | |||||||
0.80% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2045 | USD | 1,668,000 | 465,837 | 76,382 | 389,455 | |||||||
1.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 8,077,000 | 2,030,601 | 97,887 | 1,932,714 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,621,000 | 339,904 | 8,929 | 330,975 | |||||||
1.23% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 905,000 | 185,048 | 1,039 | 184,009 | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,769,000 | 226,115 | 9,710 | 216,405 | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 7,396,000 | 365,753 | (174,963) | 540,716 | |||||||
0.90% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2050 | USD | 2,110,000 | 629,297 | (64) | 629,361 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 10/7/2050 | USD | 1,114,000 | 255,151 | (487) | 255,638 | |||||||
0.54% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/15/2051 | JPY | 138,000,000 | 10,972 | (3,301) | 14,273 | |||||||
0.56% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/15/2051 | JPY | 222,000,000 | 6,856 | (712) | 7,568 | |||||||
0.35% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/17/2051 | JPY | 111,000,000 | 62,458 | 60,944 | 1,514 | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/3/2051 | USD | 1,164,000 | 64,529 | 10,952 | 53,577 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 6/16/2051 | EUR | 490,000 | 81,722 | 73,923 | 7,799 | |||||||
0.50% (Annually) | 1-Day SONIA (Annually) | 6/16/2051 | GBP | 8,500,000 | 1,473,712 | 399,655 | 1,074,057 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/16/2051 | JPY | 194,560,000 | 37,866 | 32,584 | 5,282 | |||||||
Subtotal Appreciation | $15,449,881 | $3,395,956 | $12,053,925 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 18,510,000 | $(3,374) | $(950) | $(2,424) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.36% (Upon termination) | 1/3/2022 | BRL | 286,224,050 | (134,583) | 102,156 | (236,739) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.35% (Upon termination) | 1/3/2022 | BRL | 94,028,297 | (113,772) | 287 | (114,059) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.70% (Upon termination) | 1/3/2022 | BRL | 88,138,258 | (82,486) | (17,065) | (65,421) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.98% (Upon termination) | 1/3/2022 | BRL | 31,092,652 | (20,062) | — | (20,062) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.39% (Upon termination) | 1/3/2022 | BRL | 14,546,447 | (19,011) | — | (19,011) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 5,804,074 | 15,415 | 25,213 | (9,798) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.23% (Upon termination) | 1/2/2023 | BRL | 3,551,131 | (15,889) | (1,045) | (14,844) | |||||||
1.00% (Quarterly) | 3-Month KWCDC (Quarterly) | 6/16/2023 | KRW | 11,437,470,000 | 28,858 | 38,218 | (9,360) | |||||||
2.75% (Quarterly) | 7-Day CFETS Repo Rate (Quarterly) | 6/16/2023 | CNY | 3,560,000 | (1,575) | (180) | (1,395) | |||||||
6-Month WIBOR (Semiannually) | 0.35% (Annually) | 6/16/2023 | PLN | 1,570,000 | (1,983) | 208 | (2,191) | |||||||
3-Month CDOR (Semiannually) | 0.70% (Semiannually) | 11/18/2023 | CAD | 31,750,000 | (107,973) | 23,929 | (131,902) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 2,302,419 | (17,569) | 598 | (18,167) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 1/25/2024 | AUD | 78,660,000 | (70,775) | 115,341 | (186,116) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 2/24/2024 | AUD | 25,930,000 | 19,915 | 64,091 | (44,176) | |||||||
6-Month LIBOR (Semiannually) | 0.10% (Semiannually) | 3/20/2024 | JPY | 800,000,000 | 26,842 | 42,931 | (16,089) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
1-Month LIBOR + 0.09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 41,780,000 | $7,904 | $14,038 | $(6,134) | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 3,720,000 | (19,134) | (794) | (18,340) | |||||||
3-Month LIBOR (Quarterly) | 1.10% (Semiannually) | 12/18/2025 | USD | 39,304,000 | (349,683) | — | (349,683) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 5.55% (Lunar) | 6/10/2026 | MXN | 650,000 | (880) | — | (880) | |||||||
(0.25)% (Annually) | 6-Month EURIBOR (Semiannually) | 6/16/2026 | EUR | 1,460,000 | (3,506) | (3,045) | (461) | |||||||
1-Day SONIA (Annually) | 0.00% (Annually) | 6/16/2026 | GBP | 24,930,000 | (849,805) | (794,443) | (55,362) | |||||||
6-Month NIBOR (Semiannually) | 1.50% (Annually) | 6/16/2026 | NOK | 34,590,000 | (3,191) | (2,999) | (192) | |||||||
6-Month ASX BBSW (Semiannually) | 0.75% (Semiannually) | 6/16/2028 | AUD | 5,290,000 | (194,142) | (179,596) | (14,546) | |||||||
6-Month LIBOR (Semiannually) | (0.25)% (Annually) | 6/16/2028 | CHF | 7,880,000 | (32,552) | (3,720) | (28,832) | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/19/2030 | AUD | 6,540,000 | (202,921) | (37,252) | (165,669) | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 30,520,000 | (500,706) | 69,713 | (570,419) | |||||||
6-Month ASX BBSW (Semiannually) | 1.24% (Semiannually) | 10/28/2030 | AUD | 6,930,000 | (368,886) | (185,542) | (183,344) | |||||||
6-Month ASX BBSW (Semiannually) | 1.71% (Semiannually) | 1/21/2031 | AUD | 16,190,000 | (625,616) | (219,333) | (406,283) | |||||||
6-Month ASX BBSW (Semiannually) | 1.50% (Semiannually) | 2/2/2031 | AUD | 2,400,000 | (110,330) | (66,294) | (44,036) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 2/12/2031 | EUR | 9,490,000 | 36,430 | 137,656 | (101,226) | |||||||
1-Day SONIA (Annually) | 0.90% (Annually) | 2/17/2031 | GBP | 5,100,000 | (87,770) | (16,298) | (71,472) | |||||||
6-Month ASX BBSW (Semiannually) | 2.50% (Semiannually) | 2/24/2031 | AUD | 14,400,000 | (179,787) | (102,176) | (77,611) | |||||||
3-Month LIBOR (Quarterly) | 2.21% (Semiannually) | 2/25/2031 | USD | 8,140,000 | (129,101) | (24,435) | (104,666) | |||||||
3-Month LIBOR (Quarterly) | 2.38% (Semiannually) | 3/9/2031 | USD | 15,950,000 | (133,851) | (84,714) | (49,137) | |||||||
1-Day SONIA (Annually) | 1.05% (Annually) | 3/24/2031 | GBP | 7,070,000 | (55,502) | (33,154) | (22,348) | |||||||
3-Month CDOR (Semiannually) | 1.25% (Semiannually) | 6/16/2031 | CAD | 2,650,000 | (175,423) | (161,839) | (13,584) | |||||||
6-Month ASX BBSW (Semiannually) | 1.00% (Semiannually) | 6/16/2031 | AUD | 3,840,000 | (248,248) | (233,504) | (14,744) | |||||||
6-Month LIBOR (Semiannually) | 0.04% (Semiannually) | 3/10/2038 | JPY | 344,000,000 | (168,377) | — | (168,377) | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2038 | JPY | 1,090,200,000 | (642,579) | 22,808 | (665,387) | |||||||
6-Month LIBOR (Semiannually) | 0.41% (Semiannually) | 3/25/2041 | JPY | 27,000,000 | (928) | — | (928) | |||||||
0.57% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2051 | JPY | 106,000,000 | (556) | — | (556) | |||||||
Subtotal Depreciation | $(5,537,162) | $(1,511,191) | $(4,025,971) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at March 31, 2021 | $9,912,719 | $1,884,765 | $8,027,954 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 06/2021 | 7 | $1,406,020 | $(5,630) | ||||
Euro-Schatz | 06/2021 | 113 | 14,854,943 | 1,458 | ||||
Euro-Bobl | 06/2021 | (20) | (3,168,166) | (1,267) | ||||
10-Year Japanese E-Mini | 06/2021 | 163 | 22,221,585 | (388) | ||||
10-Year Commonwealth Treasury Bond | 06/2021 | 39 | 4,091,285 | (32,123) | ||||
10-Year Bond | 06/2021 | 16 | 1,766,786 | (44,299) | ||||
10-Year U.S. Treasury Note | 06/2021 | (15) | (1,964,063) | 49,571 | ||||
U.S. Treasury Long Bond | 06/2021 | (28) | (4,328,625) | 171,858 | ||||
Ultra Long U.S. Treasury Bond | 06/2021 | (37) | (6,705,094) | 334,830 | ||||
Long GILT | 06/2021 | 76 | 13,368,065 | (129,769) | ||||
2-Year U.S. Treasury Note | 06/2021 | 311 | 68,645,961 | (65,656) | ||||
30-Year Euro Buxl | 06/2021 | 14 | 3,382,724 | (33,137) | ||||
5-Year U.S. Treasury Note | 06/2021 | (339) | (41,832,070) | 419,004 | ||||
Ultra 10-Year U.S. Treasury Note | 06/2021 | (139) | (19,972,563) | 689,514 | ||||
90-Day Eurodollar | 12/2021 | (146) | (36,403,275) | 12,775 | ||||
90-Day Eurodollar | 12/2023 | 146 | 36,060,175 | (204,400) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $51,423,688 | $1,162,341 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | U.S. Dollars | 145,255,934 | Euro | 119,652,426 | SS | $4,881,297 | ||||||
04/20/21 | U.S. Dollars | 15,559,202 | Japanese Yen | 1,622,397,372 | SS | 903,532 | ||||||
04/20/21 | U.S. Dollars | 18,278,223 | Swiss Francs | 16,526,744 | SC | 782,874 | ||||||
04/19/21 | U.S. Dollars | 14,989,320 | Japanese Yen | 1,577,871,000 | CITI | 736,026 | ||||||
04/20/21 | U.S. Dollars | 14,040,911 | Euro | 11,566,780 | CITI | 470,919 | ||||||
04/20/21 | U.S. Dollars | 13,535,269 | Euro | 11,167,527 | SC | 433,677 | ||||||
04/20/21 | U.S. Dollars | 6,314,279 | Swiss Francs | 5,612,131 | RBC | 373,231 | ||||||
04/20/21 | U.S. Dollars | 12,358,521 | New Zealand Dollars | 17,174,619 | SC | 364,226 | ||||||
04/20/21 | U.S. Dollars | 7,294,915 | Swedish Kronor | 60,893,412 | SC | 321,176 | ||||||
04/19/21 | U.S. Dollars | 9,690,174 | Euro | 7,990,000 | CITI | 316,607 | ||||||
04/20/21 | U.S. Dollars | 12,525,801 | Australian Dollars | 16,190,567 | SC | 226,853 | ||||||
04/20/21 | Canadian Dollars | 24,307,146 | U.S. Dollars | 19,158,359 | SC | 184,506 | ||||||
04/20/21 | U.S. Dollars | 4,949,867 | Euro | 4,073,743 | RBC | 170,606 | ||||||
04/20/21 | U.S. Dollars | 3,855,587 | Japanese Yen | 409,244,691 | SC | 158,740 | ||||||
04/19/21 | U.S. Dollars | 4,261,794 | Indonesian Rupiahs | 59,878,206,000 | CITI | 158,101 | ||||||
04/19/21 | Canadian Dollars | 9,608,964 | U.S. Dollars | 7,500,202 | CITI | 146,294 | ||||||
04/20/21 | U.S. Dollars | 2,367,589 | Brazilian Reals | 12,588,163 | SC | 133,802 | ||||||
04/20/21 | U.S. Dollars | 1,560,826 | Turkish Lira | 11,970,755 | RBC | 133,131 | ||||||
04/19/21 | British Pounds | 1,750,000 | Euro | 1,944,088 | CITI | 131,974 | ||||||
04/20/21 | British Pounds | 9,242,383 | U.S. Dollars | 12,611,777 | SC | 130,637 | ||||||
04/20/21 | U.S. Dollars | 2,287,901 | Polish Zloty | 8,596,631 | SS | 112,392 | ||||||
04/20/21 | U.S. Dollars | 3,542,803 | Swiss Francs | 3,255,398 | SS | 96,613 | ||||||
04/20/21 | U.S. Dollars | 3,381,607 | New Zealand Dollars | 4,706,346 | CITI | 94,820 | ||||||
04/19/21 | U.S. Dollars | 3,205,063 | Australian Dollars | 4,106,365 | CITI | 85,735 | ||||||
04/20/21 | U.S. Dollars | 3,107,500 | Australian Dollars | 4,006,989 | RBC | 63,644 | ||||||
04/20/21 | U.S. Dollars | 2,592,283 | Australian Dollars | 3,329,131 | SS | 63,353 | ||||||
04/20/21 | U.S. Dollars | 2,779,987 | British Pounds | 1,982,700 | SC | 46,452 | ||||||
04/20/21 | U.S. Dollars | 712,672 | Brazilian Reals | 3,771,032 | CITI | 43,498 | ||||||
04/19/21 | Indian Rupees | 301,423,535 | U.S. Dollars | 4,068,343 | CITI | 38,483 | ||||||
04/20/21 | U.S. Dollars | 1,157,404 | Czech Republic Koruna | 24,952,799 | SC | 36,220 | ||||||
04/20/21 | U.S. Dollars | 749,813 | Hungarian Forint | 220,756,197 | SC | 35,163 | ||||||
04/20/21 | U.S. Dollars | 383,381 | Turkish Lira | 2,935,933 | SS | 33,226 | ||||||
04/19/21 | U.S. Dollars | 909,300 | Euro | 750,000 | GSC | 29,428 | ||||||
04/20/21 | U.S. Dollars | 1,855,248 | British Pounds | 1,326,639 | SS | 26,220 | ||||||
04/20/21 | U.S. Dollars | 6,002,096 | Norwegian Kroner | 51,118,126 | SS | 25,500 | ||||||
04/20/21 | U.S. Dollars | 2,823,831 | Norwegian Kroner | 23,942,389 | SC | 24,550 | ||||||
04/20/21 | South African Rand | 11,639,916 | U.S. Dollars | 762,872 | SC | 23,591 | ||||||
04/20/21 | U.S. Dollars | 1,103,915 | Russian Rubles | 81,873,879 | CITI | 23,400 | ||||||
04/20/21 | U.S. Dollars | 810,166 | South Korean Won | 888,704,795 | RBC | 23,038 | ||||||
04/20/21 | U.S. Dollars | 388,659 | Swiss Francs | 345,623 | CITI | 22,779 | ||||||
04/20/21 | U.S. Dollars | 687,227 | Hungarian Forint | 205,379,216 | CITI | 22,357 | ||||||
04/20/21 | U.S. Dollars | 831,368 | New Zealand Dollars | 1,158,813 | SS | 22,083 | ||||||
04/19/21 | Euro | 799,188 | Polish Zloty | 3,620,000 | CITI | 21,484 | ||||||
04/20/21 | U.S. Dollars | 756,924 | South Korean Won | 830,799,569 | CITI | 21,082 | ||||||
04/20/21 | Chilean Pesos | 580,284,121 | U.S. Dollars | 788,162 | RBC | 17,414 | ||||||
04/19/21 | British Pounds | 819,249 | U.S. Dollars | 1,112,109 | CITI | 17,380 | ||||||
04/20/21 | U.S. Dollars | 741,274 | Mexican Pesos | 14,845,042 | SC | 16,554 | ||||||
04/20/21 | U.S. Dollars | 2,344,757 | Canadian Dollars | 2,926,496 | SC | 15,944 | ||||||
04/20/21 | British Pounds | 990,460 | U.S. Dollars | 1,350,917 | SS | 14,623 | ||||||
04/20/21 | U.S. Dollars | 371,669 | New Zealand Dollars | 516,418 | RBC | 11,017 | ||||||
04/20/21 | Canadian Dollars | 1,973,559 | U.S. Dollars | 1,560,731 | CITI | 9,765 | ||||||
04/20/21 | U.S. Dollars | 351,796 | South Korean Won | 386,247,149 | SS | 9,696 | ||||||
04/20/21 | U.S. Dollars | 415,114 | Mexican Pesos | 8,317,078 | SS | 9,083 | ||||||
04/20/21 | U.S. Dollars | 778,048 | Swedish Kronor | 6,723,736 | SS | 8,021 | ||||||
04/20/21 | U.S. Dollars | 164,045 | Swedish Kronor | 1,365,893 | RBC | 7,618 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | Canadian Dollars | 989,066 | U.S. Dollars | 780,510 | SS | $6,558 | ||||||
04/20/21 | U.S. Dollars | 1,168,301 | Norwegian Kroner | 9,944,433 | CITI | 5,625 | ||||||
04/20/21 | U.S. Dollars | 1,130,641 | Swiss Francs | 1,062,973 | UBS | 5,369 | ||||||
04/20/21 | U.S. Dollars | 631,060 | Chinese Offshore Yuan | 4,111,104 | SC | 5,358 | ||||||
04/20/21 | U.S. Dollars | 216,870 | South Korean Won | 239,243,138 | SC | 4,971 | ||||||
04/20/21 | Norwegian Kroner | 8,501,705 | U.S. Dollars | 990,955 | SS | 3,042 | ||||||
04/20/21 | Brazilian Reals | 849,722 | U.S. Dollars | 147,778 | RBC | 3,007 | ||||||
04/19/21 | Australian Dollars | 5,070,000 | U.S. Dollars | 3,848,657 | CITI | 2,679 | ||||||
04/20/21 | Russian Rubles | 25,255,682 | U.S. Dollars | 330,764 | SC | 2,542 | ||||||
04/20/21 | U.S. Dollars | 95,233 | Euro | 79,115 | UBS | 2,416 | ||||||
04/20/21 | U.S. Dollars | 151,816 | Australian Dollars | 197,393 | CITI | 1,869 | ||||||
04/20/21 | Brazilian Reals | 526,687 | U.S. Dollars | 91,797 | SS | 1,664 | ||||||
04/20/21 | Norwegian Kroner | 4,364,584 | U.S. Dollars | 508,714 | SC | 1,582 | ||||||
04/20/21 | U.S. Dollars | 72,929 | Russian Rubles | 5,419,414 | SS | 1,407 | ||||||
04/20/21 | U.S. Dollars | 75,063 | Brazilian Reals | 415,211 | SS | 1,383 | ||||||
04/20/21 | South Korean Won | 1,191,707,483 | U.S. Dollars | 1,054,131 | SC | 1,368 | ||||||
04/20/21 | British Pounds | 64,346 | U.S. Dollars | 87,435 | CITI | 1,278 | ||||||
04/19/21 | U.S. Dollars | 75,365 | Mexican Pesos | 1,520,000 | CITI | 1,152 | ||||||
04/20/21 | Japanese Yen | 164,914,451 | U.S. Dollars | 1,488,658 | SC | 1,070 | ||||||
04/20/21 | Euro | 1,391,496 | U.S. Dollars | 1,631,863 | SC | 622 | ||||||
04/20/21 | Norwegian Kroner | 1,063,324 | U.S. Dollars | 123,785 | CITI | 536 | ||||||
04/20/21 | Polish Zloty | 938,535 | U.S. Dollars | 237,058 | RBC | 453 | ||||||
04/20/21 | Hungarian Forint | 36,669,187 | U.S. Dollars | 118,353 | RBC | 355 | ||||||
04/20/21 | British Pounds | 42,233 | Euro | 49,355 | SC | 325 | ||||||
04/20/21 | Czech Republic Koruna | 2,300,343 | U.S. Dollars | 103,177 | RBC | 182 | ||||||
04/19/21 | U.S. Dollars | 7,369 | Mexican Pesos | 147,393 | GSC | 173 | ||||||
04/20/21 | Swedish Kronor | 8,617,292 | U.S. Dollars | 986,717 | SC | 167 | ||||||
04/20/21 | U.S. Dollars | 1,788 | Polish Zloty | 6,694 | SC | 94 | ||||||
04/20/21 | South African Rand | 1,403 | U.S. Dollars | 91 | RBC | 3 | ||||||
04/20/21 | U.S. Dollars | 10 | Czech Republic Koruna | 207 | RBC | — | ||||||
04/20/21 | Chilean Pesos | 1,696 | U.S. Dollars | 2 | SC | — | ||||||
Subtotal Appreciation | $12,387,685 | |||||||||||
04/20/21 | U.S. Dollars | 72,379 | Australian Dollars | 95,465 | SS | $(140) | ||||||
04/20/21 | U.S. Dollars | 797,349 | Norwegian Kroner | 6,824,394 | RBC | (541) | ||||||
04/20/21 | British Pounds | 79,308 | U.S. Dollars | 110,257 | CITI | (915) | ||||||
04/20/21 | British Pounds | 70,289 | U.S. Dollars | 98,022 | SS | (1,115) | ||||||
04/19/21 | Russian Rubles | 17,710,000 | U.S. Dollars | 235,252 | GSC | (1,503) | ||||||
04/20/21 | U.S. Dollars | 813,295 | Norwegian Kroner | 6,975,668 | SS | (2,282) | ||||||
04/20/21 | U.S. Dollars | 1,039,961 | Norwegian Kroner | 8,916,706 | UBS | (2,557) | ||||||
04/20/21 | Euro | 65,276 | U.S. Dollars | 79,144 | RBC | (2,563) | ||||||
04/20/21 | New Zealand Dollars | 158,176 | U.S. Dollars | 114,629 | CITI | (4,163) | ||||||
04/20/21 | Polish Zloty | 278,280 | U.S. Dollars | 74,721 | SC | (4,298) | ||||||
04/20/21 | Czech Republic Koruna | 24,007,997 | U.S. Dollars | 1,083,169 | SC | (4,436) | ||||||
04/20/21 | Polish Zloty | 388,709 | U.S. Dollars | 103,827 | CITI | (5,459) | ||||||
04/20/21 | Norwegian Kroner | 6,080,053 | U.S. Dollars | 716,671 | SS | (5,808) | ||||||
04/20/21 | British Pounds | 239,017 | U.S. Dollars | 335,524 | SC | (5,992) | ||||||
04/20/21 | South Korean Won | 244,738,350 | U.S. Dollars | 222,994 | SC | (6,229) | ||||||
04/19/21 | Russian Rubles | 88,010,000 | U.S. Dollars | 1,168,080 | CITI | (6,462) | ||||||
04/20/21 | U.S. Dollars | 734,009 | Norwegian Kroner | 6,335,625 | SC | (6,736) | ||||||
04/20/21 | Canadian Dollars | 939,719 | U.S. Dollars | 754,582 | SC | (6,783) | ||||||
04/20/21 | U.S. Dollars | 740,328 | Canadian Dollars | 938,880 | RBC | (6,803) | ||||||
04/20/21 | Brazilian Reals | 899,627 | U.S. Dollars | 166,866 | SC | (7,226) | ||||||
04/20/21 | Brazilian Reals | 613,414 | U.S. Dollars | 116,089 | RBC | (7,238) | ||||||
04/20/21 | U.S. Dollars | 822,415 | Canadian Dollars | 1,042,921 | CITI | (7,509) | ||||||
04/20/21 | U.S. Dollars | 689,671 | British Pounds | 505,735 | CITI | (7,583) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | South Korean Won | 404,988,438 | U.S. Dollars | 367,597 | CITI | $(8,897) | ||||||
04/20/21 | U.S. Dollars | 701,918 | South African Rand | 10,538,726 | SS | (10,141) | ||||||
04/20/21 | Mexican Pesos | 11,128,938 | U.S. Dollars | 553,742 | RBC | (10,438) | ||||||
04/20/21 | Chinese Offshore Yuan | 8,667,963 | U.S. Dollars | 1,332,801 | SS | (13,554) | ||||||
04/19/21 | U.S. Dollars | 2,441,742 | South African Rand | 36,380,000 | CITI | (16,647) | ||||||
04/20/21 | U.S. Dollars | 1,298,182 | Brazilian Reals | 7,413,916 | SC | (17,426) | ||||||
04/20/21 | U.S. Dollars | 787,907 | Chilean Pesos | 580,293,801 | CITI | (17,681) | ||||||
04/20/21 | U.S. Dollars | 1,640,230 | British Pounds | 1,202,559 | RBC | (17,730) | ||||||
04/19/21 | U.S. Dollars | 3,157,895 | Turkish Lira | 26,610,000 | GSC | (18,202) | ||||||
04/20/21 | Norwegian Kroner | 25,425,188 | U.S. Dollars | 2,991,434 | CITI | (18,788) | ||||||
04/20/21 | Mexican Pesos | 17,585,373 | U.S. Dollars | 878,197 | CITI | (19,698) | ||||||
04/20/21 | U.S. Dollars | 3,186,609 | British Pounds | 2,326,095 | SC | (20,363) | ||||||
04/20/21 | Czech Republic Koruna | 16,304,593 | U.S. Dollars | 754,163 | CITI | (21,561) | ||||||
04/20/21 | Australian Dollars | 1,832,066 | U.S. Dollars | 1,420,940 | CITI | (29,236) | ||||||
04/20/21 | Russian Rubles | 107,901,511 | U.S. Dollars | 1,454,370 | SS | (30,362) | ||||||
04/19/21 | Brazilian Reals | 4,260,000 | U.S. Dollars | 786,355 | GSC | (30,367) | ||||||
04/20/21 | Norwegian Kroner | 50,448,383 | U.S. Dollars | 5,931,684 | RBC | (33,393) | ||||||
04/20/21 | Hungarian Forint | 255,179,573 | U.S. Dollars | 861,184 | SC | (35,096) | ||||||
04/20/21 | Norwegian Kroner | 46,609,667 | U.S. Dollars | 5,486,167 | SC | (36,687) | ||||||
04/20/21 | Polish Zloty | 2,767,551 | U.S. Dollars | 740,174 | RBC | (39,803) | ||||||
04/20/21 | Russian Rubles | 168,225,969 | U.S. Dollars | 2,261,313 | SC | (41,187) | ||||||
04/20/21 | Swedish Kronor | 7,650,791 | U.S. Dollars | 918,104 | SS | (41,907) | ||||||
04/20/21 | Hungarian Forint | 350,737,359 | U.S. Dollars | 1,180,596 | SS | (45,161) | ||||||
04/20/21 | U.S. Dollars | 5,644,851 | Canadian Dollars | 7,152,271 | SC | (46,701) | ||||||
04/20/21 | Euro | 2,161,996 | U.S. Dollars | 2,592,093 | UBS | (55,668) | ||||||
04/20/21 | Australian Dollars | 6,277,920 | U.S. Dollars | 4,836,894 | SC | (67,955) | ||||||
04/20/21 | Japanese Yen | 155,318,506 | U.S. Dollars | 1,492,941 | CITI | (89,896) | ||||||
04/20/21 | Swedish Kronor | 24,414,094 | U.S. Dollars | 2,895,416 | SC | (99,423) | ||||||
04/20/21 | Polish Zloty | 7,500,008 | U.S. Dollars | 2,002,910 | SS | (104,918) | ||||||
04/20/21 | Swedish Kronor | 19,553,172 | U.S. Dollars | 2,348,405 | CITI | (109,103) | ||||||
04/20/21 | Swiss Francs | 1,657,433 | U.S. Dollars | 1,863,821 | CITI | (109,250) | ||||||
04/20/21 | U.S. Dollars | 10,967,141 | Canadian Dollars | 13,923,247 | SS | (112,541) | ||||||
04/20/21 | Japanese Yen | 448,642,224 | U.S. Dollars | 4,173,530 | SS | (120,792) | ||||||
04/19/21 | Brazilian Reals | 12,732,000 | U.S. Dollars | 2,383,912 | CITI | (124,466) | ||||||
04/20/21 | Euro | 3,457,364 | U.S. Dollars | 4,186,035 | CITI | (129,901) | ||||||
04/20/21 | U.S. Dollars | 12,784,821 | British Pounds | 9,371,539 | SS | (135,659) | ||||||
04/20/21 | Australian Dollars | 9,374,096 | U.S. Dollars | 7,257,032 | SS | (136,125) | ||||||
04/20/21 | Brazilian Reals | 12,823,221 | U.S. Dollars | 2,423,408 | CITI | (147,910) | ||||||
04/19/21 | Indonesian Rupiahs | 59,878,206,000 | U.S. Dollars | 4,252,109 | CITI | (148,417) | ||||||
04/20/21 | Turkish Lira | 14,854,631 | U.S. Dollars | 1,933,852 | SS | (162,210) | ||||||
04/20/21 | Brazilian Reals | 16,423,741 | U.S. Dollars | 3,102,637 | SS | (188,221) | ||||||
04/20/21 | New Zealand Dollars | 11,096,118 | U.S. Dollars | 7,961,559 | SC | (212,325) | ||||||
04/20/21 | Swiss Francs | 4,735,377 | U.S. Dollars | 5,225,361 | SC | (212,452) | ||||||
04/20/21 | New Zealand Dollars | 11,369,250 | U.S. Dollars | 8,171,515 | SS | (231,534) | ||||||
04/19/21 | Euro | 10,800,000 | U.S. Dollars | 13,043,296 | CITI | (373,143) | ||||||
04/20/21 | Japanese Yen | 742,299,892 | U.S. Dollars | 7,138,137 | RBC | (432,689) | ||||||
04/19/21 | Turkish Lira | 26,610,000 | U.S. Dollars | 3,647,135 | GSC | (471,039) | ||||||
04/20/21 | Swiss Francs | 9,155,557 | U.S. Dollars | 10,226,929 | SS | (534,783) | ||||||
04/20/21 | Euro | 21,160,525 | U.S. Dollars | 25,657,304 | SS | (832,059) | ||||||
04/20/21 | Japanese Yen | 1,620,135,673 | U.S. Dollars | 15,525,923 | SC | (890,683) | ||||||
04/19/21 | Euro | 33,161,940 | U.S. Dollars | 40,774,134 | GSC | (1,869,794) | ||||||
04/20/21 | Euro | 82,401,441 | U.S. Dollars | 99,971,463 | SC | (3,299,187) | ||||||
04/19/21 | Japanese Yen | 5,500,502,000 | U.S. Dollars | 53,355,825 | CITI | (3,668,449) | ||||||
Subtotal Depreciation | $(15,795,959) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $(3,408,274) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
iTraxx Europe & Crossover Series 35 (Pay Quarterly) | (5.00)% | 12/20/2025 | EUR | 10,723,021 | $(1,555,146) | $(1,506,009) | $(49,137) | |||||||
$(1,555,146) | $(1,506,009) | $(49,137) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $3,915.00, Expires 04/07/21 (MSCS)††† | (50) | $(19,864,450) | $(50,250) | ||
Wal-Mart Stores, Inc., Strike Price $124.00, Expires 04/16/21 (MSCS) | (7) | (95,081) | (77) | ||
(420,492) | |||||
Total Written Options (Premiums received $(936,418)) | (551,480) | ||||
Liabilities in Excess of Other Assets — (1.6)% | (21,152,673) | ||||
NET ASSETS — 100.0% | $1,361,190,081 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/30/21 | U.S. Dollars | 15,507,685 | Euro | 12,974,558 | CS | $262,495 | ||||||
06/30/21 | U.S. Dollars | 16,205,710 | Swiss Francs | 15,038,737 | MSCS | 253,941 | ||||||
06/30/21 | U.S. Dollars | 1,842,698 | Japanese Yen | 200,802,510 | BOA | 27,561 | ||||||
Subtotal Appreciation | $543,997 | |||||||||||
06/30/21 | Japanese Yen | 11,972,700 | U.S. Dollars | 110,093 | BOA | $(1,867) | ||||||
Subtotal Depreciation | $(1,867) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $542,130 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Canadian Dollar | 06/2021 | 6 | $477,420 | $2,626 | ||||
MSCI EAFE Index E-Mini | 06/2021 | 46 | 5,041,600 | (12,987) | ||||
MSCI Emerging Markets E-Mini | 06/2021 | 37 | 2,446,625 | (21,347) | ||||
S&P/TSX 60 Index | 06/2021 | 3 | 530,485 | (985) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $8,496,130 | $(32,693) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 06/2021 | 230 | $45,625,100 | $442,382 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 06/2021 | 195 | $38,682,150 | $421,666 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/30/21 | U.S. Dollars | 18,176,635 | Euro | 15,207,545 | CS | $307,672 | ||||||
06/30/21 | U.S. Dollars | 16,641,488 | Swiss Francs | 15,443,134 | MSCS | 260,769 | ||||||
06/30/21 | U.S. Dollars | 16,030,209 | British Pounds | 11,504,797 | JPM | 165,052 | ||||||
Subtotal Appreciation | $733,493 | |||||||||||
06/30/21 | U.S. Dollars | 428,421 | Euro | 364,846 | CS | $(275) | ||||||
06/30/21 | Swiss Francs | 337,404 | U.S. Dollars | 360,317 | MSCS | (2,428) | ||||||
Subtotal Depreciation | $(2,703) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $730,790 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 06/2021 | 302 | $59,907,740 | $602,700 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CME Russell 2000 Index E-Mini | 06/2021 | 301 | $33,448,625 | $(1,439,635) |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.02%ا | 11,123,389 | $11,123,389 | ||
Total Money Market Funds (Cost $33,910,708) | 33,910,708 | |||
TOTAL INVESTMENTS — 100.2% (Cost $690,819,010) | 802,990,050 | |||
Liabilities in Excess of Other Assets — (0.2)% | (1,797,423) | |||
NET ASSETS — 100.0% | $801,192,627 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 06/2021 | 291 | $31,893,600 | $(97,156) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
AEX Index | 04/2021 | 46 | $7,542,910 | $136,470 | ||||
CAC40 10 Euro | 04/2021 | (132) | (9,389,950) | (54,592) | ||||
IBEX 35 Index | 04/2021 | (165) | (16,614,878) | 109,165 | ||||
OMXS30 Index | 04/2021 | (71) | (1,778,160) | (22,030) | ||||
Hang Seng Index | 04/2021 | 48 | 8,741,642 | 12,430 | ||||
MSCI Singapore Index | 04/2021 | 52 | 1,383,690 | 5,756 | ||||
Topix Index® | 06/2021 | 285 | 50,294,875 | 1,315,207 | ||||
ASX SPI 200 Index | 06/2021 | (70) | (8,993,452) | (26,723) | ||||
DAX Index | 06/2021 | 3 | 1,321,838 | 34,034 | ||||
FTSE 100 Index® | 06/2021 | (199) | (18,324,636) | 151,323 | ||||
FTSE/MIB Index | 06/2021 | 109 | 15,590,730 | 227,254 | ||||
MSCI EAFE Index | 06/2021 | 537 | 58,855,200 | (200,848) | ||||
S&P/TSX 60 Index | 06/2021 | (22) | (3,890,220) | 7,036 | ||||
Total Futures Contracts outstanding at March 31, 2021 | $84,739,589 | $1,694,482 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/16/21 | U.S. Dollars | 55,370,536 | New Zealand Dollars | 76,998,000 | CITI | $1,605,451 | ||||||
06/16/21 | U.S. Dollars | 37,972,038 | Swiss Francs | 34,346,000 | CITI | 1,554,918 | ||||||
06/16/21 | U.S. Dollars | 20,741,357 | Euro | 17,139,000 | CITI | 609,019 | ||||||
06/16/21 | U.S. Dollars | 20,175,063 | Australian Dollars | 25,901,000 | CITI | 495,457 | ||||||
06/16/21 | U.S. Dollars | 27,601,555 | Norwegian Kroner | 233,253,826 | CITI | 331,589 | ||||||
06/16/21 | U.S. Dollars | 20,456,615 | British Pounds | 14,684,000 | CITI | 208,333 | ||||||
06/16/21 | Canadian Dollars | 38,735,000 | U.S. Dollars | 30,671,335 | CITI | 154,497 | ||||||
06/16/21 | U.S. Dollars | 1,938,810 | Swiss Francs | 1,711,000 | NT | 124,634 | ||||||
06/16/21 | U.S. Dollars | 2,501,208 | Japanese Yen | 264,183,000 | CITI | 113,504 | ||||||
06/16/21 | U.S. Dollars | 11,265,648 | Canadian Dollars | 14,069,750 | CITI | 68,752 | ||||||
06/16/21 | U.S. Dollars | 924,019 | Danish Kroner | 5,720,000 | CITI | 21,027 | ||||||
06/16/21 | U.S. Dollars | 413,359 | Swedish Kronor | 3,470,000 | CITI | 15,745 | ||||||
06/16/21 | U.S. Dollars | 209,889 | Israeli Shekels | 690,000 | CITI | 3,264 | ||||||
06/16/21 | U.S. Dollars | 1,396,210 | Hong Kong Dollars | 10,833,000 | CITI | 2,482 | ||||||
06/16/21 | Norwegian Kroner | 11,867,000 | U.S. Dollars | 1,385,593 | CITI | 1,791 | ||||||
06/16/21 | U.S. Dollars | 49,424 | Singapore Dollars | 66,000 | CITI | 378 | ||||||
06/16/21 | Singapore Dollars | 148,000 | U.S. Dollars | 109,760 | CITI | 221 | ||||||
04/06/21 | U.S. Dollars | 58,387 | British Pounds | 42,304 | BBH | 65 | ||||||
04/07/21 | Hong Kong Dollars | 5,367,973 | U.S. Dollars | 690,472 | CITI | 36 | ||||||
04/06/21 | U.S. Dollars | 36,794 | British Pounds | 26,677 | NT | 17 | ||||||
06/16/21 | Hong Kong Dollars | 1,489,000 | U.S. Dollars | 191,560 | CITI | 8 | ||||||
04/07/21 | Hong Kong Dollars | 177,063 | U.S. Dollars | 22,776 | NT | 1 | ||||||
Subtotal Appreciation | $5,311,189 | |||||||||||
06/16/21 | U.S. Dollars | 23,004 | Singapore Dollars | 31,000 | CITI | $(32) | ||||||
06/16/21 | U.S. Dollars | 293,147 | Australian Dollars | 386,000 | CITI | (136) | ||||||
04/06/21 | Euro | 132,027 | U.S. Dollars | 155,141 | BBH | (293) | ||||||
04/06/21 | Euro | 163,192 | U.S. Dollars | 191,721 | NT | (323) | ||||||
04/06/21 | U.S. Dollars | 813,778 | Euro | 694,134 | NT | (334) | ||||||
06/16/21 | U.S. Dollars | 1,079,578 | Norwegian Kroner | 9,257,174 | CITI | (2,689) | ||||||
06/16/21 | Singapore Dollars | 1,429,000 | U.S. Dollars | 1,074,817 | CITI | (12,898) | ||||||
06/16/21 | Hong Kong Dollars | 75,086,987 | U.S. Dollars | 9,684,074 | CITI | (23,695) | ||||||
06/16/21 | Canadian Dollars | 6,362,000 | U.S. Dollars | 5,087,365 | CITI | (24,400) | ||||||
06/16/21 | Israeli Shekels | 5,413,000 | U.S. Dollars | 1,649,342 | CITI | (28,384) | ||||||
06/16/21 | Danish Kroner | 11,744,000 | U.S. Dollars | 1,902,448 | CITI | (48,472) | ||||||
06/16/21 | Swiss Francs | 6,976,000 | U.S. Dollars | 7,465,389 | CITI | (68,726) | ||||||
06/16/21 | Norwegian Kroner | 83,886,000 | U.S. Dollars | 9,896,287 | CITI | (89,079) | ||||||
06/16/21 | U.S. Dollars | 33,421,652 | Canadian Dollars | 42,209,250 | CITI | (169,034) | ||||||
06/16/21 | Swedish Kronor | 49,823,000 | U.S. Dollars | 5,966,125 | CITI | (257,117) | ||||||
06/16/21 | New Zealand Dollars | 15,776,000 | U.S. Dollars | 11,453,079 | CITI | (437,235) | ||||||
06/16/21 | Japanese Yen | 2,896,102,000 | U.S. Dollars | 26,830,808 | CITI | (655,640) | ||||||
06/16/21 | British Pounds | 40,655,000 | U.S. Dollars | 56,837,153 | CITI | (776,545) | ||||||
06/16/21 | Australian Dollars | 88,723,000 | U.S. Dollars | 69,477,168 | CITI | (2,065,342) | ||||||
06/16/21 | Euro | 63,716,000 | U.S. Dollars | 77,427,811 | CITI | (2,583,767) | ||||||
Subtotal Depreciation | $(7,244,141) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $(1,932,952) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decrease in total return of Hang Seng Index (At Termination) | Increase in total return of Hang Seng Index (At Termination) | 4/29/2021 | GSC | HKD | 69,374,200 | $57,301 | $— | $57,301 | ||||||||
Decrease in total return of Hang Seng Index (At Termination) | Increase in total return of Hang Seng Index (At Termination) | 4/29/2021 | JPM | HKD | 41,058,200 | 46,856 | — | 46,856 | ||||||||
Decrease in total return of Tel Aviv 35 Index (At Termination) | Increase in total return of Tel Aviv 35 Index (At Termination) | 4/30/2021 | CITI | ILS | 4,813,860 | 18,070 | — | 18,070 | ||||||||
Financing Index: 1-Month EURIBOR - 0.19% | MSCI Netherlands Net Return EUR Index (Monthly) | 6/16/2021 | GSC | EUR | 100,028 | 222 | — | 222 | ||||||||
Financing Index: 1-Month EURIBOR - 1.11% | MSCI Germany Net Return EUR Index (Monthly) | 6/16/2021 | GSC | EUR | 386,131 | 14,967 | — | 14,967 | ||||||||
Financing Index: 1-Month EURIBOR + 0.55% | MSCI Italy Net Return EUR Index (Monthly) | 6/16/2021 | GSC | EUR | 3,046,046 | 108,880 | — | 108,880 | ||||||||
Financing Index: 1-Month HIBOR - 0.20% | MSCI Hong Kong Net Return HKD Index (Monthly) | 6/16/2021 | GSC | HKD | 268,776 | 2,719 | — | 2,719 | ||||||||
Financing Index: 1-Month ICE LIBOR USD + 0.20% | MSCI Daily TR Net Israel Index (Monthly) | 6/16/2021 | JPM | USD | 44,794 | 753 | — | 753 | ||||||||
Financing Index: 1-Month LIBOR + 0.60% | MSCI Japan Net Return JPY Index (Monthly) | 6/16/2021 | GSC | JPY | 481,946 | 17,029 | — | 17,029 | ||||||||
Subtotal Appreciation | $266,797 | $ — | $266,797 | |||||||||||||
MSCI Spain Net Return EUR Index (Monthly) | Financing Index: 1-Month EURIBOR + 0.40% | 6/16/2021 | GSC | EUR | 5,162,388 | $(70,239) | $— | $(70,239) | ||||||||
Increase in total return of Swiss Market Index (At Termination) | Decrease in total return of Swiss Market Index (At Termination) | 6/18/2021 | CITI | CHF | 12,020,800 | (259,177) | — | (259,177) | ||||||||
Subtotal Depreciation | $(329,416) | $ — | $(329,416) | |||||||||||||
Net Total Return Swaps outstanding at March 31, 2021 | $(62,619) | $ — | $(62,619) |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and pays or receives the LIBOR minus a specified spread (-0.35%), which is denominated in CHF based on the local currencies of the positions within the swap (Monthly). | 53-57 months maturity ranging from 08/08/2025- 12/15/2025 | GSC
| 3,742,337 | $6,672 | $ — | $6,672 | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA or EURIBOR plus or minus a specified spread (-0.35% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swap (Monthly).* | 53-60 months maturity ranging from 08/08/2025- 03/25/2026 | GSC
| 46,736,078 | 1,418,533 | — | 1,418,533 |
Common Stock | Shares | Notional Value | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
ACS Actividades de Construccion y Servicios SA | 2,597 | 73,391 | $3,699 | 0.26% | ||||
Aeroports de Paris | (4,217) | 429,712 | 12,634 | 0.89 | ||||
Aegon NV | (151,897) | 615,183 | 42,755 | 3.01 | ||||
Airbus SE | (585) | 56,476 | 2,522 | 0.18 | ||||
Amadeus IT Group SA | (20,318) | 1,226,801 | (24,879) | (1.75) | ||||
Amundi SA | 1,133 | 77,271 | 3,137 | 0.22 | ||||
APERAM SA | (1,524) | 58,552 | (6,131) | (0.43) | ||||
Argenx SE | (1,156) | 270,966 | 28,148 | 1.98 | ||||
Arkema SA | 1,680 | 173,628 | 10,214 | 0.72 | ||||
Atos SE | 28,360 | 1,886,507 | 62,881 | 4.43 | ||||
Banco Bilbao Vizcaya Argentaria SA | 307,678 | 1,361,783 | (72,527) | (5.11) | ||||
BNP Paribas SA | 13,946 | 723,518 | (11,467) | (0.81) | ||||
Bollore SA | 18,712 | 77,056 | 2,498 | 0.18 | ||||
Bouygues SA | 7,974 | 272,631 | (5,369) | (0.38) | ||||
CaixaBank SA | 47,757 | 126,030 | 9,851 | 0.69 | ||||
Carl Zeiss Meditec AG | (1,333) | 171,291 | (1,771) | (0.12) | ||||
Carrefour SA | 135,563 | 2,093,771 | 164,720 | 11.60 | ||||
Cellnex Telecom SA | (31,157) | 1,529,806 | (268,842) | (18.96) | ||||
CNP Assurances | 12,535 | 203,192 | (401) | (0.03) | ||||
Cie de St-Gobain | 44,661 | 2,247,342 | 140,259 | 9.89 | ||||
Credit Agricole SA | 18,152 | 224,086 | (594) | (0.04) | ||||
CTS Eventim AG & Co. KGaA | (5,042) | 249,276 | 51,056 | 3.60 | ||||
Dassault Aviation SA | 93 | 88,257 | 1,926 | 0.14 | ||||
Delivery Hero SE | (5,318) | 587,639 | (3,018) | (0.21) | ||||
Deutsche Bank AG | (29,487) | 300,414 | 17,752 | 1.25 | ||||
Deutsche Lufthansa AG | (110,438) | 1,248,502 | 137,883 | 9.71 | ||||
Electricite de France SA | 52,122 | 596,276 | 91,168 | 6.43 | ||||
EDP - Energias de Portugal SA | 19,980 | 97,303 | 3,627 | 0.26 | ||||
Eiffage SA | 659 | 56,252 | (3,064) | (0.22) | ||||
Enagas SA | 46,964 | 869,773 | 42,022 | 2.96 | ||||
Endesa SA | 64,220 | 1,448,803 | 108,325 | 7.64 | ||||
Eutelsat Communications SA | 114,129 | 1,184,659 | 44,659 | 3.15 | ||||
Evonik Industries AG | (2,510) | 75,702 | (627) | (0.04) | ||||
Evotec SE | (8,758) | 269,221 | (16,973) | (1.20) | ||||
Faurecia SE | (2,811) | 127,704 | 7,744 | 0.55 | ||||
Fraport AG Frankfurt Airport ServicesWorldwide | (4,148) | 215,074 | 9,858 | 0.69 | ||||
Galapagos NV | (3,682) | 243,454 | 20,930 | 1.48 | ||||
Gecina SA REIT | 674 | 79,128 | 964 | 0.07 | ||||
Grifols SA | 3,411 | 76,168 | 10,593 | 0.75 | ||||
Industria de Diseno Textil SA | 13,569 | 381,289 | (15,198) | (1.07) | ||||
Infineon Technologies AG | (3,219) | 116,383 | (7,832) | (0.55) | ||||
Infrastrutture Wireless Italiane SpA | (18,715) | 177,793 | (14,903) | (1.05) | ||||
Ipsen SA | 6,595 | 482,424 | 44,997 | 3.17 | ||||
Kesko OYJ, B Shares | (2,433) | 63,453 | (13,267) | (0.94) | ||||
Koninklijke DSM NV | (1,528) | 220,490 | (2,447) | (0.17) | ||||
Koninklijke KPN NV | (67,987) | 196,754 | (2,417) | (0.17) | ||||
Leonardo SpA | (18,841) | 130,078 | 6,468 | 0.46 | ||||
Mapfre SA | 346,760 | 615,846 | 39,058 | 2.75 | ||||
Mediobanca Banca di Credito Finanziario SpA | (150,452) | 1,422,674 | (39,566) | (2.79) | ||||
Cie Generale des Etablissements Michelin SCA | 13,615 | 1,737,955 | 33,069 | 2.33 | ||||
MTU Aero Engines AG | (4,467) | 896,527 | 38,816 | 2.74 | ||||
Neste OYJ | (6,307) | 285,455 | 39,508 | 2.79 | ||||
Nexi SpA | (33,774) | 502,557 | (12,810) | (0.90) | ||||
OCI NV | (8,528) | 157,171 | 515 | 0.04 | ||||
Orange SA | 111,523 | 1,171,549 | 60,659 | 4.28 |
Common Stock | Shares | Notional Value | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
Plastic Omnium | (1,953) | 61,012 | $1,617 | 0.11% | ||||
Publicis Groupe SA | 29,056 | 1,512,074 | 56,852 | 4.01 | ||||
Rational AG | (297) | 196,763 | 188 | 0.01 | ||||
Red Electrica Corporation SA | 6,329 | 95,568 | 6,400 | 0.45 | ||||
Renault SA | (7,309) | 269,921 | 33,362 | 2.35 | ||||
Repsol SA | 62,008 | 654,804 | (11,867) | (0.84) | ||||
Rexel SA | 111,709 | 1,887,882 | 200,102 | 14.10 | ||||
Rubis | 13,988 | 565,115 | (4,012) | (0.28) | ||||
Saipem SpA | (69,778) | 162,164 | 7,355 | 0.52 | ||||
Sanofi | 33,652 | 2,835,181 | 189,944 | 13.39 | ||||
Sartorius AG | (719) | 305,719 | 14,168 | 1.00 | ||||
Sartorius Stedim Biotech | (278) | 97,634 | 4,221 | 0.30 | ||||
SCOR SE | (3,108) | 90,443 | 828 | 0.06 | ||||
SEB SA | 6,199 | 932,330 | 73,663 | 5.19 | ||||
SES SA | 67,774 | 459,101 | (7,862) | (0.55) | ||||
Societe BIC SA | 22,054 | 1,100,936 | 731 | 0.05 | ||||
Societe Generale SA | 12,207 | 272,399 | 7,353 | 0.52 | ||||
Sodexo SA | 8,316 | 680,082 | (37,308) | (2.63) | ||||
STMicroelectronics NV | 22,671 | 736,581 | 70,080 | 4.94 | ||||
Tenaris SA | (32,057) | 308,132 | (2,496) | (0.18) | ||||
Thales SA | 1,580 | 133,858 | 6,285 | 0.44 | ||||
thyssenkrupp AG | (55,631) | 633,359 | 18,258 | 1.29 | ||||
Umicore SA | (4,756) | 215,114 | 12,873 | 0.91 | ||||
Unibail-Rodamco-Westfield REIT | (33,054) | 2,258,910 | 6,986 | 0.49 | ||||
46,736,078 | $1,418,533 | 100.00% |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread (-0.25% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swap (Monthly).* | 53-60 months maturity ranging from 08/08/2025 - 03/25/2026 | GSC
| $40,870,212 | $677,901 | $ — | $677,901 |
Common Stocks | Shares | Notional Value | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
3i Group PLC | 15,222 | 175,586 | $(2,663) | (0.40%) | ||||
Aggreko PLC | 102,664 | 900,363 | (18,606) | (2.70) | ||||
Anglo American PLC | 33,181 | 943,170 | 3,735 | 0.60 | ||||
Antofagasta PLC | (5,449) | 92,088 | 3,817 | 0.60 | ||||
Ashtead Group PLC | 6,403 | 277,058 | 12,209 | 1.80 | ||||
ASOS PLC | 23,308 | 1,289,865 | 24,133 | 3.60 | ||||
AstraZeneca PLC | 2,964 | 214,801 | 10,307 | 1.50 | ||||
Avast PLC | 13,904 | 63,402 | 2,171 | 0.30 | ||||
Aviva PLC | 735,590 | 3,002,676 | 124,074 | 18.30 | ||||
BAE Systems PLC | 242,303 | 1,223,630 | 20,103 | 3.00 | ||||
Barclays PLC | 385,862 | 717,395 | 61,933 | 9.10 | ||||
BHP Group PLC | 45,350 | 949,856 | (20,552) | (3.00) |
Common Stocks | Shares | Notional Value | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
boohoo Group PLC | 208,069 | 707,435 | $17,054 | 2.50% | ||||
BP PLC | 316,972 | 933,958 | (62,872) | (9.30) | ||||
BT Group PLC | 413,072 | 639,435 | 101,806 | 15.00 | ||||
Bunzl PLC | 9,413 | 218,664 | 13,968 | 2.10 | ||||
Carnival PLC | 21,137 | 335,127 | (19,165) | (2.80) | ||||
Centrica PLC | (250,216) | 135,467 | (7,931) | (1.20) | ||||
Compass Group PLC | 24,901 | 363,928 | (38,365) | (5.70) | ||||
ConvaTec Group PLC | 44,048 | 86,378 | 4,900 | 0.70 | ||||
Croda International PLC | (1,356) | 86,079 | (1,770) | (0.30) | ||||
DCC PLC | 7,847 | 493,576 | 10,639 | 1.60 | ||||
Direct Line Insurance Group PLC | 159,207 | 498,796 | (13,942) | (2.10) | ||||
Dunelm Group PLC | 24,230 | 314,748 | 7,946 | 1.20 | ||||
easyJet PLC | (24,074) | 235,492 | 8,526 | 1.30 | ||||
Evraz PLC | 163,111 | 942,782 | 35,620 | 5.30 | ||||
GlaxoSmithKline PLC | 88,982 | 1,146,088 | 64,272 | 9.50 | ||||
Halma PLC | (3,187) | 75,659 | (3,746) | (0.60) | ||||
Hays PLC | 63,494 | 94,924 | (7,113) | (1.00) | ||||
Hikma Pharmaceuticals PLC | 11,831 | 269,274 | 8,973 | 1.30 | ||||
Hiscox, Ltd. | (18,114) | 155,853 | 8,616 | 1.30 | ||||
Inchcape PLC | 192,049 | 1,446,129 | (12,243) | (1.80) | ||||
Informa PLC | (43,389) | 242,892 | 16,829 | 2.50 | ||||
InterContinental Hotels Group PLC | (4,291) | 213,477 | 5,861 | 0.90 | ||||
Intermediate Capital Group PLC | (9,913) | 182,597 | 6,258 | 0.90 | ||||
Investec PLC | 125,993 | 276,177 | (1,973) | (0.30) | ||||
JD Sports Fashion PLC | 6,306 | 51,999 | (12) | 0.00 | ||||
John Wood Group PLC | 41,489 | 112,269 | (15,881) | (2.30) | ||||
Kingfisher PLC | 440,519 | 1,402,172 | 195,266 | 28.80 | ||||
Legal & General Group PLC | (79,786) | 222,683 | 3,156 | 0.50 | ||||
London Stock Exchange Group PLC | 3,641 | 252,685 | (45,742) | (6.70) | ||||
M&G PLC | 482,629 | 1,000,973 | 31,902 | 4.70 | ||||
Man Group PLC | 709,250 | 1,142,247 | 54,995 | 8.10 | ||||
Marks & Spencer Group PLC | 875,994 | 1,321,437 | (38,346) | (5.70) | ||||
Meggitt PLC | (33,793) | 161,328 | (7,198) | (1.10) | ||||
Mondi PLC | 8,545 | 158,083 | 5,561 | 0.80 | ||||
Moneysupermarket.com Group PLC | 332,180 | 885,592 | (120,201) | (17.70) | ||||
Natwest Group PLC | (410,518) | 805,642 | (55,828) | (8.20) | ||||
Ocado Group PLC | (22,742) | 462,800 | 16,607 | 2.40 | ||||
Pennon Group PLC | (4,985) | 48,604 | (1,547) | (0.20) | ||||
Prudential PLC | (64,542) | 994,270 | (1,287) | (0.20) | ||||
Quilter PLC | (49,094) | 78,477 | (9,013) | (1.30) | ||||
Rio Tinto PLC | 45,659 | 2,534,075 | 21,630 | 3.20 | ||||
Rolls-Royce Holdings PLC | (1,902,848) | 2,003,699 | 223,401 | 32.70 | ||||
Royal Dutch Shell PLC, A Shares | 51,276 | 724,940 | (68,379) | (10.10) | ||||
Royal Dutch Shell PLC, B Shares | 46,826 | 625,127 | (90,559) | (13.40) | ||||
Royal Mail PLC | 457,380 | 2,307,939 | 196,240 | 28.90 | ||||
RSA Insurance Group PLC | 31,029 | 211,307 | 1,236 | 0.20 | ||||
Sage Group PLC (The) | 87,998 | 539,252 | 21,404 | 3.20 | ||||
J Sainsbury PLC | (92,527) | 224,378 | (14,957) | (2.20) | ||||
Severn Trent PLC | (3,372) | 77,758 | (3,405) | (0.50) | ||||
SSE PLC | (5,526) | 80,403 | (9,077) | (1.30) | ||||
St. James’s Place PLC | (2,963) | 37,749 | (1,873) | (0.30) | ||||
Standard Chartered PLC | 51,103 | 255,259 | 5,260 | 0.80 | ||||
Tate & Lyle PLC | 164,840 | 1,264,652 | 12,897 | 1.90 | ||||
Tesco PLC | (30,960) | 70,852 | (3,276) | (0.50) | ||||
United Utilities Group PLC | (19,537) | 180,874 | (8,484) | (1.30) |
Common Stocks | Shares | Notional Value | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
Vodafone Group PLC | 130,137 | 171,625 | $7,498 | 1.10% | ||||
WH Smith PLC | (14,256) | 256,180 | 27,473 | 4.10 | ||||
Wm Morrison Supermarkets PLC | (141,440) | 258,057 | (14,369) | (2.10) | ||||
40,870,212 | $677,901 | 100.00% |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the MUTSCALM minus a specified spread (-0.33%), which is denominated in JPY based on the local currenciesof the positions within the swap (Monthly). | 53-60 months maturity ranging from 08/08/2025 - 03/25/2026 | GSC
| $992,491,100 | $114,546 | $ — | $114,546 | ||||||
Subtotal Appreciation | $2,217,652 | $ — | $2,217,652 | |||||||||
The Fund receives the total return on a portfolio of short equity positions and receives the RBACOR minus a specified spread (-0.40%), which is denominated in AUD based on the local currencies of the positions within the swap (Monthly). | 53-59 months maturity ranging from 08/08/2025 - 02/19/2026 | GSC
| 9,674,247 | (97,980) | — | (97,980) | ||||||
The Fund receives the total return on a portfolio ofshort equity positions and receives the DETNT/N minus a specified spread (-0.35%), which is denominated in DKK based on the local currencies of the positions within the swap. | 53 months maturity 08/08/2025 | GSC
| 13,273,192 | (181,537) | — | (181,537) | ||||||
The Fund receives the total return on a portfolio of long equity positions and pays HIBOR plus a specified spread (0.20%), which is denominated in HKD based on the local currencies of the positions within the swap (Monthly). | 53-59 months maturity ranging from 08/08/2025 - 02/24/2026 | GSC
| 71,700,340 | (317,746) | — | (317,746) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the NOWA minus a specified spread (-0.35%), which is denominated in NOK based on the local currencies of the positions within the swap (Monthly). | 53-60 months maturity ranging from 08/08/2025 - 03/25/2026 | GSC
| 3,603,344 | (7,979) | — | (7,979) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the STIBOR plus or minus a specified spread (-0.35%), which is denominated in SEK based on the local currencies of the positions within the swap (Monthly). | 53-56 months maturity ranging from 08/08/2025 - 11/17/2025 | GSC
| 26,683,380 | (429,752) | — | (429,752) |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the SORF1D minus a specified spread (-0.40%), which is denominated in SGD based on the local currencies of the positions within the swap (Monthly). | 56 months maturity ranging from 11/17/2025 | GSC
| $377,955 | $(12,168) | $ — | $(12,168) | ||||||
Subtotal Depreciation | $(1,047,162) | $ — | $(1,047,162) | |||||||||
Net Total Return Basket Swaps | $1,170,490 | $ — | $1,170,490 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
FTSE Taiwan Index | 04/2021 | 7 | $405,580 | $4,100 | ||||
HSCEI Index | 04/2021 | 115 | 8,093,831 | 28,857 | ||||
MSCI Singapore Index | 04/2021 | (318) | (8,461,798) | (28,443) | ||||
SGX Nifty 50 Index | 04/2021 | (6) | (176,952) | 518 | ||||
FTSE KLCI | 04/2021 | 85 | 1,611,238 | (29,135) | ||||
KOSPI2 Index | 06/2021 | 123 | 11,266,170 | 210,029 | ||||
Mexican Bolsa Index | 06/2021 | 28 | 642,687 | (14,307) | ||||
MSCI Emerging Markets | 06/2021 | 830 | 54,883,750 | (473,694) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $68,264,506 | $(302,075) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/16/21 | U.S. Dollars | 23,527,201 | Czech Republic Koruna | 508,500,000 | CITI | $677,140 | ||||||
06/16/21 | U.S. Dollars | 15,137,999 | Polish Zloty | 57,233,000 | CITI | 649,847 | ||||||
06/16/21 | Mexican Pesos | 528,717,000 | U.S. Dollars | 25,267,305 | CITI | 379,244 | ||||||
06/16/21 | U.S. Dollars | 25,679,121 | Singapore Dollars | 34,130,000 | CITI | 316,417 | ||||||
06/16/21 | U.S. Dollars | 16,716,259 | Israeli Shekels | 54,843,000 | CITI | 293,157 | ||||||
06/17/21 | South African Rand | 263,783,750 | U.S. Dollars | 17,405,205 | CITI | 279,912 | ||||||
06/16/21 | U.S. Dollars | 6,694,132 | Hungarian Forint | 1,990,344,000 | CITI | 256,745 | ||||||
06/16/21 | U.S. Dollars | 12,865,173 | Chinese Offshore Yuan | 83,906,562 | CITI | 159,177 | ||||||
06/16/21 | U.S. Dollars | 7,424,299 | Indonesian Rupiahs | 107,078,813,210 | CITI | 153,326 | ||||||
06/16/21 | U.S. Dollars | 8,239,879 | Colombian Pesos | 29,737,500,000 | CITI | 136,797 | ||||||
06/16/21 | U.S. Dollars | 3,092,211 | Thai Baht | 93,931,000 | CITI | 87,276 | ||||||
06/16/21 | Indian Rupees | 1,226,840,000 | U.S. Dollars | 16,478,252 | CITI | 81,713 | ||||||
06/16/21 | Brazilian Reals | 13,283,500 | U.S. Dollars | 2,299,149 | CITI | 47,715 | ||||||
06/16/21 | U.S. Dollars | 6,336,818 | Indian Rupees | 466,349,000 | CITI | 42,010 | ||||||
06/16/21 | South Korean Won | 4,067,446,000 | U.S. Dollars | 3,583,264 | CITI | 23,727 | ||||||
06/16/21 | U.S. Dollars | 6,516,330 | Mexican Pesos | 134,000,000 | CITI | 16,373 | ||||||
06/16/21 | U.S. Dollars | 7,859,949 | Hong Kong Dollars | 60,975,000 | CITI | 15,161 | ||||||
06/16/21 | Chilean Pesos | 839,741,250 | U.S. Dollars | 1,152,952 | CITI | 13,217 | ||||||
06/16/21 | U.S. Dollars | 3,914,757 | Philippine Pesos | 190,826,000 | CITI | 11,046 | ||||||
06/17/21 | U.S. Dollars | 2,418,342 | South African Rand | 35,910,000 | CITI | 10,792 | ||||||
06/16/21 | U.S. Dollars | 1,718,139 | Chilean Pesos | 1,230,000,000 | CITI | 10,008 | ||||||
06/16/21 | U.S. Dollars | 805,926 | South Korean Won | 900,852,000 | CITI | 7,055 | ||||||
06/16/21 | Russian Rubles | 83,000,000 | U.S. Dollars | 1,082,658 | CITI | 5,148 | ||||||
06/16/21 | U.S. Dollars | 328,784 | Brazilian Reals | 1,836,000 | CITI | 4,409 | ||||||
06/16/21 | Philippine Pesos | 18,000,000 | U.S. Dollars | 366,981 | CITI | 1,243 | ||||||
06/16/21 | Thai Baht | 5,943,000 | U.S. Dollars | 189,359 | CITI | 763 | ||||||
06/16/21 | U.S. Dollars | 26,357 | Taiwan Dollars | 723,000 | CITI | 749 | ||||||
06/16/21 | Chinese Offshore Yuan | 1,767,000 | U.S. Dollars | 267,237 | CITI | 341 | ||||||
06/16/21 | U.S. Dollars | 12,030 | Euro | 10,000 | CITI | 283 | ||||||
06/16/21 | Saudi Riyals | 3,803,000 | U.S. Dollars | 1,013,857 | CITI | 44 | ||||||
06/16/21 | U.S. Dollars | 789 | Russian Rubles | 59,000 | CITI | 15 | ||||||
06/16/21 | Hong Kong Dollars | 1,300,000 | U.S. Dollars | 167,246 | CITI | 6 | ||||||
Subtotal Appreciation | $3,680,856 | |||||||||||
06/16/21 | U.S. Dollars | 31,990 | Thai Baht | 1,000,000 | CITI | $(1) | ||||||
04/07/21 | Hong Kong Dollars | 679,377 | U.S. Dollars | 87,400 | NT | (8) | ||||||
06/16/21 | Saudi Riyals | 2,524,000 | U.S. Dollars | 672,926 | CITI | (12) | ||||||
06/16/21 | U.S. Dollars | 295,887 | Hong Kong Dollars | 2,300,000 | CITI | (21) | ||||||
06/16/21 | U.S. Dollars | 322,280 | Saudi Riyals | 1,209,000 | CITI | (47) | ||||||
06/16/21 | U.S. Dollars | 375,054 | Chinese Offshore Yuan | 2,478,000 | CITI | (191) | ||||||
04/07/21 | South African Rand | 1,745,095 | U.S. Dollars | 118,311 | MSCS | (192) | ||||||
06/16/21 | Philippine Pesos | 13,000,000 | U.S. Dollars | 266,236 | CITI | (296) | ||||||
06/16/21 | U.S. Dollars | 176,808 | Polish Zloty | 700,000 | CITI | (392) | ||||||
06/16/21 | Polish Zloty | 39,000 | U.S. Dollars | 10,378 | CITI | (505) | ||||||
06/16/21 | Mexican Pesos | 6,000,000 | U.S. Dollars | 292,661 | CITI | (1,618) | ||||||
06/16/21 | U.S. Dollars | 149,680 | Chilean Pesos | 110,000,000 | CITI | (3,080) | ||||||
06/16/21 | U.S. Dollars | 4,001,455 | Singapore Dollars | 5,390,000 | CITI | (3,965) | ||||||
06/16/21 | Peruvian Nuevo Soles | 629,874 | U.S. Dollars | 172,389 | CITI | (4,191) | ||||||
06/17/21 | U.S. Dollars | 310,246 | South African Rand | 4,700,000 | CITI | (4,861) | ||||||
06/16/21 | U.S. Dollars | 1,046,744 | Colombian Pesos | 3,862,500,000 | CITI | (5,737) | ||||||
06/16/21 | Euro | 243,000 | U.S. Dollars | 294,940 | CITI | (9,500) | ||||||
06/16/21 | U.S. Dollars | 2,968,807 | Brazilian Reals | 16,871,000 | CITI | (11,880) | ||||||
06/16/21 | U.S. Dollars | 1,756,299 | Indian Rupees | 131,000,000 | CITI | (11,947) | ||||||
06/16/21 | U.S. Dollars | 3,103,401 | Taiwan Dollars | 88,000,000 | CITI | (13,492) | ||||||
06/16/21 | U.S. Dollars | 8,398,481 | Philippine Pesos | 411,826,000 | CITI | (26,209) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/16/21 | U.S. Dollars | 5,842,336 | South Korean Won | 6,621,194,000 | CITI | $(29,306) | ||||||
06/16/21 | Colombian Pesos | 4,700,000,000 | U.S. Dollars | 1,314,658 | CITI | (33,969) | ||||||
06/16/21 | Hong Kong Dollars | 119,914,000 | U.S. Dollars | 15,463,183 | CITI | (35,549) | ||||||
06/16/21 | U.S. Dollars | 3,714,022 | Mexican Pesos | 77,318,000 | CITI | (36,453) | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | (48,051) | ||||||
06/17/21 | South African Rand | 81,942,250 | U.S. Dollars | 5,553,305 | CITI | (59,569) | ||||||
06/16/21 | Israeli Shekels | 14,162,000 | U.S. Dollars | 4,302,611 | CITI | (61,706) | ||||||
06/16/21 | Chinese Offshore Yuan | 45,135,000 | U.S. Dollars | 6,913,361 | CITI | (78,554) | ||||||
06/16/21 | Indonesian Rupiahs | 36,000,000,000 | U.S. Dollars | 2,525,826 | CITI | (81,318) | ||||||
06/16/21 | Chilean Pesos | 4,159,223,750 | U.S. Dollars | 5,872,337 | CITI | (96,323) | ||||||
06/16/21 | Russian Rubles | 606,227,000 | U.S. Dollars | 8,096,362 | CITI | (151,091) | ||||||
06/16/21 | Indian Rupees | 2,068,400,000 | U.S. Dollars | 28,070,625 | CITI | (151,230) | ||||||
06/16/21 | South Korean Won | 21,817,701,000 | U.S. Dollars | 19,575,385 | CITI | (227,557) | ||||||
07/16/25 | U.S. Dollars | 3,253,457 | Chinese Offshore Yuan | 24,819,000 | MSCS | (237,082) | ||||||
06/16/21 | Brazilian Reals | 67,236,500 | U.S. Dollars | 12,205,259 | CITI | (326,239) | ||||||
06/16/21 | Taiwan Dollars | 419,516,000 | U.S. Dollars | 15,248,579 | CITI | (389,643) | ||||||
06/16/21 | Thai Baht | 500,395,000 | U.S. Dollars | 16,541,237 | CITI | (533,165) | ||||||
Subtotal Depreciation | $(2,674,950) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $1,005,906 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 4/21/2021 | GS | TWD | 354,736,800 | $189,493 | $— | $189,493 | ||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 4/21/2021 | CITI | TWD | 78,830,400 | 40,479 | — | 40,479 | ||||||||
Decrease in total return of HSCEI Index (At Termination) | Increase in total return of HSCEI Index (At Termination) | 4/29/2021 | GS | HKD | 32,281,850 | 29,469 | — | 29,469 | ||||||||
Decrease in total return of HSCEI Index (At Termination) | Increase in total return of HSCEI Index (At Termination) | 4/29/2021 | CITI | HKD | 8,754,400 | 4,511 | — | 4,511 | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 6/10/2021 | GS | KRW | 6,012,425,000 | 89,546 | — | 89,546 | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 6/10/2021 | CITI | KRW | 4,561,150,000 | 77,286 | — | 77,286 | ||||||||
Financing Index: 1-Month LIBOR - 0.10% | MSCI Daily Total Return Net Emerging Markets USD Index (Monthly) | 6/16/2021 | GS | USD | 383,453 | 5,227 | — | 5,227 | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.15% | MSCI Mexico Net MXN Index (Monthly) | 6/16/2021 | GS | MXN | 375,326 | 1,423 | — | 1,423 | ||||||||
MSCI South Africa Net Return ZAR Index (Monthly) | Financing Index: 1-Month SAFE South Africa JIBAR - 0.05% | 6/17/2021 | GS | ZAR | 116,483 | 21,987 | — | 21,987 | ||||||||
Subtotal Appreciation | $459,421 | $ — | $459,421 | |||||||||||||
Increase in total return of Bovespa Index (At Termination) | Decrease in total return of Bovespa Index (At Termination) | 4/14/2021 | GS | BRL | 3,498,900 | $(8,756) | $— | $(8,756) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Decrease in total return of BIST 30 Index (At Termination) | Increase in total return of BIST 30 Index (At Termination) | 4/30/2021 | GS | TRY | 2,019,150 | $(35,849) | $— | $(35,849) | ||||||||
Increase in total return of Tel Aviv 35 Index (At Termination) | Decrease in total return of Tel Aviv 35 Index (At Termination) | 4/30/2021 | GS | ILS | 2,406,930 | (9,035) | — | (9,035) | ||||||||
Financing Index: 1-Month WIBOR + 0.04% | MSCI Poland Net Return PLN Index (Monthly) | 6/16/2021 | GS | PLN | 737,351 | (6,148) | — | (6,148) | ||||||||
MSCI Daily TR Net Israel Index (Monthly) | Financing Index: 1-Month LIBOR + 0.13% | 6/16/2021 | JPM | USD | 908 | (21,807) | — | (21,807) | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index (Monthly) | Financing Index: 1-Month LIBOR - 0.15% | 6/16/2021 | GS | USD | 14,461,602 | (76,378) | — | (76,378) | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: 1-Month SORF + 0.00% | 6/16/2021 | GS | SGD | 3,641,703 | (110,939) | — | (110,939) | ||||||||
Decrease in total return of WIG20 Index (At Termination) | Increase in total return of WIG20 Index (At Termination) | 6/18/2021 | GS | PLN | 3,222,060 | (21,396) | — | (21,396) | ||||||||
Subtotal Depreciation | $(290,308) | $ — | $(290,308) | |||||||||||||
Net Total Return Swaps outstanding at March 31, 2021 | $169,113 | $ — | $169,113 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P MidCap 400 Index E-Mini | 06/2021 | 37 | $9,639,610 | $(100,991) |
Number of Contracts | Notional Amount | Value | |||
Pay 3-Month LIBOR (Quarterly); Receive 0.96% (Semiannually); Interest Rate Swap Maturing 06/08/2026 USD, Strike Price $0.96, Expires 06/04/21 (MSCS) | (1) | $(3,000,000) | $(30,260) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.03% (Semiannually); Interest Rate Swap Maturing 06/09/2026 USD, Strike Price $1.03, Expires 06/07/21 (CITI) | (1) | (2,980,000) | (24,625) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.10% (Semiannually); Interest Rate Swap Maturing 06/03/2026 USD, Strike Price $1.10, Expires 06/01/21 (DEUT) | (1) | (10,200,000) | (60,566) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.27% (Semiannually); Interest Rate Swap Maturing 06/03/2026 USD, Strike Price $1.27, Expires 06/01/21 (DEUT) | (1) | (10,200,000) | (30,652) | ||
Pay 3-Month LIBOR (Semiannually); Receive 1.25% (Quarterly); Interest Rate Swap Maturing 07/02/2026 USD, Strike Price $1.25, Expires 06/30/21 (BOA) | (1) | (3,000,000) | (149) | ||
Total Written Options (Premiums received $ (179,397)) | (215,007) | ||||
Liabilities in Excess of Other Assets — (3.7)% | (11,905,590) | ||||
NET ASSETS — 100.0% | $324,320,378 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 06/2021 | 1 | $200,860 | $(1,435) | ||||
Euro-OAT | 06/2021 | 5 | 949,594 | (1,607) | ||||
Australian Dollar | 06/2021 | (226) | (17,179,390) | 262,226 | ||||
British Pound | 06/2021 | (5) | (430,656) | 3,953 | ||||
CHF/USD | 06/2021 | (3) | (397,312) | 6,630 | ||||
Euro Fx | 06/2021 | (173) | (25,392,075) | 354,657 | ||||
Japanese Yen | 06/2021 | (10) | (1,129,437) | 14,600 | ||||
Mexican Peso | 06/2021 | (21) | (509,670) | (19,681) | ||||
New Zealand | 06/2021 | (2) | (139,660) | 3,452 | ||||
USD/CZK | 06/2021 | 1 | 99,994 | 1,008 | ||||
USD/NOK | 06/2021 | 1 | 100,074 | 726 | ||||
USD/SEK | 06/2021 | 3 | 299,797 | 7,330 | ||||
ZAR/USD | 06/2021 | (15) | (503,438) | (13,935) | ||||
10-Year Commonwealth Treasury Bond | 06/2021 | (7) | (734,333) | (1,214) | ||||
Canadian Dollar | 06/2021 | (63) | (5,012,910) | (25,081) | ||||
S&P 500® E-Mini | 06/2021 | 81 | 16,067,970 | 161,651 | ||||
10-Year Bond | 06/2021 | (13) | (1,435,514) | 32,046 | ||||
10-Year U.S. Treasury Note | 06/2021 | (37) | (4,844,688) | 38,056 | ||||
U.S. Treasury Long Bond | 06/2021 | (3) | (463,781) | 3,438 | ||||
Ultra Long U.S. Treasury Bond | 06/2021 | (5) | (906,094) | 6,382 | ||||
Long GILT | 06/2021 | 3 | 527,687 | (2,307) | ||||
2-Year U.S. Treasury Note | 06/2021 | (78) | (17,216,672) | 7,696 | ||||
5-Year U.S. Treasury Note | 06/2021 | (95) | (11,722,852) | 8,196 | ||||
Ultra 10-Year U.S. Treasury Note | 06/2021 | (10) | (1,436,875) | 13,859 | ||||
Total Futures Contracts outstanding at March 31, 2021 | $(71,209,381) | $860,646 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | U.S. Dollars | 26,539,595 | Swiss Francs | 23,999,747 | SC | $1,133,264 | ||||||
04/20/21 | U.S. Dollars | 33,241,253 | Euro | 27,404,531 | SS | 1,090,623 | ||||||
04/20/21 | U.S. Dollars | 27,481,996 | New Zealand Dollars | 38,198,201 | SC | 805,390 | ||||||
04/20/21 | U.S. Dollars | 21,038,509 | Euro | 17,326,320 | GSC | 711,501 | ||||||
04/20/21 | U.S. Dollars | 10,170,866 | Japanese Yen | 1,057,675,428 | RBC | 616,522 | ||||||
04/20/21 | U.S. Dollars | 12,739,428 | Swiss Francs | 11,482,600 | SS | 583,853 | ||||||
04/20/21 | U.S. Dollars | 12,085,929 | Swedish Kronor | 100,906,091 | SC | 529,789 | ||||||
04/20/21 | U.S. Dollars | 5,068,040 | Japanese Yen | 526,901,776 | JPM | 308,356 | ||||||
04/20/21 | U.S. Dollars | 4,903,464 | Swiss Francs | 4,354,462 | JPM | 293,794 | ||||||
04/20/21 | U.S. Dollars | 4,850,550 | Swiss Francs | 4,311,169 | RBC | 286,711 | ||||||
04/20/21 | U.S. Dollars | 3,278,410 | Turkish Lira | 25,143,767 | RBC | 279,633 | ||||||
04/20/21 | U.S. Dollars | 7,914,124 | Euro | 6,516,176 | CITI | 269,433 | ||||||
04/20/21 | British Pounds | 16,018,571 | U.S. Dollars | 21,839,511 | JPM | 245,187 | ||||||
04/20/21 | U.S. Dollars | 3,867,687 | Japanese Yen | 402,221,274 | GSC | 234,285 | ||||||
04/20/21 | U.S. Dollars | 13,519,701 | Australian Dollars | 17,499,998 | SC | 226,059 | ||||||
04/20/21 | U.S. Dollars | 10,596,115 | Australian Dollars | 13,663,239 | RBC | 217,018 | ||||||
04/20/21 | U.S. Dollars | 5,204,642 | Japanese Yen | 552,554,222 | SC | 213,230 | ||||||
04/20/21 | U.S. Dollars | 7,154,841 | Euro | 5,924,207 | SC | 204,639 | ||||||
04/20/21 | U.S. Dollars | 6,168,640 | New Zealand Dollars | 8,580,053 | SS | 176,559 | ||||||
06/16/21 | U.S. Dollars | 11,546,776 | Euro | 9,683,549 | MSCS | 171,985 | ||||||
04/20/21 | U.S. Dollars | 2,986,289 | Brazilian Reals | 15,894,808 | SC | 165,734 | ||||||
04/20/21 | U.S. Dollars | 3,608,431 | Japanese Yen | 381,260,001 | SS | 164,378 | ||||||
04/20/21 | Canadian Dollars | 20,945,968 | U.S. Dollars | 16,513,069 | SC | 155,076 | ||||||
04/20/21 | U.S. Dollars | 3,292,967 | Swedish Kronor | 27,430,418 | CITI | 151,534 | ||||||
04/20/21 | U.S. Dollars | 7,424,710 | Australian Dollars | 9,576,811 | CITI | 149,813 | ||||||
04/20/21 | U.S. Dollars | 4,256,284 | Euro | 3,502,924 | RBC | 146,700 | ||||||
04/20/21 | U.S. Dollars | 6,307,439 | Australian Dollars | 8,119,184 | SS | 139,809 | ||||||
04/09/21 | U.S. Dollars | 4,006,690 | Euro | 3,300,846 | MSCS | 135,065 | ||||||
04/20/21 | U.S. Dollars | 3,256,837 | Hungarian Forint | 969,699,807 | CITI | 117,647 | ||||||
04/20/21 | Canadian Dollars | 14,289,322 | U.S. Dollars | 11,257,729 | GSC | 113,265 | ||||||
06/16/21 | U.S. Dollars | 4,045,501 | Swedish Kronor | 34,453,759 | MSCS | 97,588 | ||||||
04/20/21 | U.S. Dollars | 3,286,074 | Czech Republic Koruna | 71,049,761 | GSC | 93,652 | ||||||
05/19/21 | U.S. Dollars | 1,887,542 | Swedish Kronor | 15,684,257 | MSCS | 90,840 | ||||||
04/20/21 | U.S. Dollars | 4,470,654 | Australian Dollars | 5,768,459 | GSC | 88,721 | ||||||
06/16/21 | U.S. Dollars | 4,594,657 | Japanese Yen | 498,637,765 | MSCS | 87,936 | ||||||
04/20/21 | U.S. Dollars | 3,070,265 | South Korean Won | 3,368,571,519 | GSC | 86,711 | ||||||
04/20/21 | British Pounds | 6,452,032 | U.S. Dollars | 8,808,893 | SC | 86,481 | ||||||
04/20/21 | U.S. Dollars | 1,353,769 | Polish Zloty | 5,069,263 | SS | 70,914 | ||||||
04/20/21 | U.S. Dollars | 1,286,059 | Polish Zloty | 4,814,553 | SC | 67,661 | ||||||
06/16/21 | Mexican Pesos | 57,909,548 | U.S. Dollars | 2,746,070 | MSCS | 62,957 | ||||||
04/20/21 | U.S. Dollars | 2,480,058 | Swiss Francs | 2,283,583 | GSC | 62,638 | ||||||
04/20/21 | U.S. Dollars | 1,199,331 | Swedish Kronor | 9,950,526 | GSC | 59,760 | ||||||
04/20/21 | U.S. Dollars | 1,314,028 | Swedish Kronor | 10,954,941 | JPM | 59,428 | ||||||
04/20/21 | U.S. Dollars | 10,006,840 | Norwegian Kroner | 85,081,100 | SC | 59,384 | ||||||
06/16/21 | U.S. Dollars | 3,285,067 | Swiss Francs | 3,043,108 | MSCS | 58,455 | ||||||
04/20/21 | U.S. Dollars | 3,420,978 | British Pounds | 2,440,526 | SC | 56,241 | ||||||
04/20/21 | British Pounds | 3,578,481 | U.S. Dollars | 4,880,793 | SS | 52,834 | ||||||
04/20/21 | U.S. Dollars | 1,104,991 | Hungarian Forint | 325,325,870 | SC | 51,820 | ||||||
04/05/21 | U.S. Dollars | 1,429,187 | South Korean Won | 1,558,375,458 | MSCS | 51,403 | ||||||
04/20/21 | U.S. Dollars | 11,682,939 | Norwegian Kroner | 99,499,390 | SS | 49,733 | ||||||
04/20/21 | U.S. Dollars | 553,683 | Turkish Lira | 4,240,103 | SS | 47,986 | ||||||
04/20/21 | South African Rand | 16,953,523 | U.S. Dollars | 1,103,896 | RBC | 41,587 | ||||||
04/20/21 | U.S. Dollars | 1,856,103 | Mexican Pesos | 37,188,244 | SS | 40,612 | ||||||
04/20/21 | U.S. Dollars | 2,723,838 | British Pounds | 1,947,800 | SS | 38,418 | ||||||
04/20/21 | South African Rand | 16,822,068 | U.S. Dollars | 1,102,507 | SC | 34,094 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | U.S. Dollars | 6,683,846 | Norwegian Kroner | 56,895,728 | JPM | $31,748 | ||||||
04/20/21 | Canadian Dollars | 5,063,571 | U.S. Dollars | 3,999,436 | CITI | 29,995 | ||||||
04/20/21 | Chilean Pesos | 883,735,613 | U.S. Dollars | 1,200,320 | RBC | 26,520 | ||||||
06/17/21 | South African Rand | 15,463,069 | U.S. Dollars | 1,013,260 | MSCS | 23,445 | ||||||
04/20/21 | U.S. Dollars | 3,411,729 | Canadian Dollars | 4,258,148 | SC | 23,229 | ||||||
04/20/21 | U.S. Dollars | 1,013,819 | Mexican Pesos | 20,306,049 | RBC | 22,499 | ||||||
05/21/21 | U.S. Dollars | 947,950 | Norwegian Kroner | 7,920,020 | MSCS | 21,991 | ||||||
04/20/21 | U.S. Dollars | 401,503 | Polish Zloty | 1,503,708 | GSC | 20,967 | ||||||
04/20/21 | U.S. Dollars | 577,224 | Czech Republic Koruna | 12,438,346 | SC | 18,341 | ||||||
04/20/21 | U.S. Dollars | 621,608 | South Korean Won | 682,482,511 | SS | 17,132 | ||||||
06/16/21 | Canadian Dollars | 3,105,318 | U.S. Dollars | 2,455,511 | MSCS | 15,743 | ||||||
04/27/21 | U.S. Dollars | 700,104 | Colombian Pesos | 2,512,926,393 | MSCS | 14,086 | ||||||
04/20/21 | South African Rand | 5,630,821 | U.S. Dollars | 366,378 | CITI | 14,075 | ||||||
06/02/21 | U.S. Dollars | 623,304 | Polish Zloty | 2,407,000 | MSCS | 14,051 | ||||||
05/17/21 | Chilean Pesos | 731,899,909 | U.S. Dollars | 1,002,807 | MSCS | 13,413 | ||||||
06/16/21 | U.S. Dollars | 1,011,163 | New Zealand Dollars | 1,430,177 | MSCS | 12,519 | ||||||
05/25/21 | South African Rand | 7,213,012 | U.S. Dollars | 473,040 | MSCS | 11,960 | ||||||
06/16/21 | U.S. Dollars | 1,013,623 | Australian Dollars | 1,318,556 | MSCS | 11,784 | ||||||
04/20/21 | U.S. Dollars | 1,108,468 | Swedish Kronor | 9,579,162 | SS | 11,427 | ||||||
05/04/21 | Brazilian Reals | 2,435,520 | U.S. Dollars | 420,385 | MSCS | 11,412 | ||||||
06/16/21 | U.S. Dollars | 1,448,855 | British Pounds | 1,042,493 | MSCS | 11,325 | ||||||
04/08/21 | U.S. Dollars | 519,107 | Taiwan Dollars | 14,473,340 | MSCS | 11,117 | ||||||
06/01/21 | U.S. Dollars | 1,058,194 | Australian Dollars | 1,379,530 | MSCS | 10,088 | ||||||
05/20/21 | U.S. Dollars | 945,331 | British Pounds | 679,271 | MSCS | 8,743 | ||||||
05/21/21 | U.S. Dollars | 234,020 | Swiss Francs | 213,000 | MSCS | 8,340 | ||||||
05/19/21 | Mexican Pesos | 11,239,375 | U.S. Dollars | 538,644 | MSCS | 8,236 | ||||||
04/20/21 | Canadian Dollars | 1,059,213 | U.S. Dollars | 834,848 | SS | 8,040 | ||||||
06/16/21 | U.S. Dollars | 1,381,664 | Norwegian Kroner | 11,753,946 | MSCS | 7,496 | ||||||
04/20/21 | U.S. Dollars | 1,553,361 | Norwegian Kroner | 13,225,470 | CITI | 7,074 | ||||||
04/19/21 | U.S. Dollars | 898,713 | Taiwan Dollars | 25,361,072 | MSCS | 6,795 | ||||||
04/05/21 | U.S. Dollars | 815,813 | Indonesian Rupiahs | 11,769,727,500 | MSCS | 6,467 | ||||||
06/01/21 | Canadian Dollars | 2,215,559 | U.S. Dollars | 1,757,208 | MSCS | 5,921 | ||||||
04/12/21 | U.S. Dollars | 814,356 | Taiwan Dollars | 23,021,844 | MSCS | 5,738 | ||||||
06/15/21 | South Korean Won | 2,482,213,222 | U.S. Dollars | 2,195,589 | MSCS | 5,614 | ||||||
06/16/21 | British Pounds | 251,364 | Swiss Francs | 322,065 | MSCS | 5,128 | ||||||
04/20/21 | British Pounds | 313,296 | U.S. Dollars | 427,132 | GSC | 4,806 | ||||||
06/16/21 | U.S. Dollars | 1,362,500 | Chinese Offshore Yuan | 8,966,664 | MSCS | 4,674 | ||||||
06/16/21 | U.S. Dollars | 131,827 | Turkish Lira | 1,109,584 | MSCS | 4,362 | ||||||
06/16/21 | Euro | 1,189,779 | Japanese Yen | 154,179,365 | MSCS | 4,090 | ||||||
06/16/21 | U.S. Dollars | 150,872 | Polish Zloty | 580,147 | MSCS | 4,012 | ||||||
04/20/21 | Norwegian Kroner | 9,821,523 | U.S. Dollars | 1,144,420 | SS | 3,887 | ||||||
06/10/21 | U.S. Dollars | 207,626 | Japanese Yen | 22,627,434 | MSCS | 3,131 | ||||||
05/20/21 | British Pounds | 383,097 | U.S. Dollars | 525,368 | MSCS | 2,852 | ||||||
06/16/21 | Norwegian Kroner | 6,439,591 | U.S. Dollars | 750,091 | MSCS | 2,768 | ||||||
05/28/21 | U.S. Dollars | 296,132 | Czech Republic Koruna | 6,533,898 | MSCS | 2,534 | ||||||
05/19/21 | U.S. Dollars | 124,268 | Russian Rubles | 9,261,231 | MSCS | 2,451 | ||||||
04/20/21 | Norwegian Kroner | 6,759,417 | U.S. Dollars | 787,843 | SC | 2,450 | ||||||
04/27/21 | Colombian Pesos | 431,942,256 | U.S. Dollars | 115,496 | MSCS | 2,423 | ||||||
04/20/21 | South African Rand | 964,087 | U.S. Dollars | 62,740 | SS | 2,400 | ||||||
06/16/21 | Swiss Francs | 699,468 | Euro | 629,467 | MSCS | 2,243 | ||||||
04/29/21 | U.S. Dollars | 108,717 | Turkish Lira | 899,025 | MSCS | 2,239 | ||||||
06/16/21 | Euro | 678,847 | Swiss Francs | 750,005 | MSCS | 2,178 | ||||||
04/27/21 | Indian Rupees | 41,076,977 | U.S. Dollars | 556,736 | MSCS | 2,020 | ||||||
06/10/21 | U.S. Dollars | 73,203 | New Zealand Dollars | 102,106 | MSCS | 1,905 | ||||||
04/20/21 | Japanese Yen | 265,880,369 | U.S. Dollars | 2,400,063 | SC | 1,726 | ||||||
04/20/21 | U.S. Dollars | 51,170 | South Korean Won | 56,159,094 | SC | 1,429 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/01/21 | U.S. Dollars | 799,026 | Indonesian Rupiahs | 11,769,727,500 | MSCS | $1,391 | ||||||
04/20/21 | Euro | 2,056,836 | U.S. Dollars | 2,412,134 | SC | 919 | ||||||
04/05/21 | South Korean Won | 1,868,150,699 | U.S. Dollars | 1,650,966 | MSCS | 696 | ||||||
06/16/21 | British Pounds | 195,543 | Japanese Yen | 29,774,325 | MSCS | 538 | ||||||
04/05/21 | Brazilian Reals | 623,934 | U.S. Dollars | 110,290 | MSCS | 526 | ||||||
05/28/21 | U.S. Dollars | 71,102 | Hungarian Forint | 21,846,000 | MSCS | 420 | ||||||
06/16/21 | Chinese Offshore Yuan | 1,814,422 | U.S. Dollars | 274,343 | MSCS | 416 | ||||||
04/20/21 | Swedish Kronor | 12,300,044 | U.S. Dollars | 1,408,408 | SC | 238 | ||||||
06/16/21 | Euro | 232,069 | Australian Dollars | 358,474 | MSCS | 231 | ||||||
06/17/21 | U.S. Dollars | 327,428 | South African Rand | 4,880,772 | MSCS | 202 | ||||||
06/16/21 | Singapore Dollars | 1,539,874 | U.S. Dollars | 1,144,156 | MSCS | 156 | ||||||
05/10/21 | Indonesian Rupiahs | 1,757,184,841 | U.S. Dollars | 119,789 | MSCS | 146 | ||||||
04/20/21 | South Korean Won | 1,490,756,914 | U.S. Dollars | 1,320,247 | SC | 121 | ||||||
06/16/21 | U.S. Dollars | 79,187 | Hungarian Forint | 24,447,052 | MSCS | 117 | ||||||
06/16/21 | British Pounds | 188,373 | U.S. Dollars | 259,673 | MSCS | 80 | ||||||
04/20/21 | New Zealand Dollars | 1,446,036 | U.S. Dollars | 1,009,820 | GSC | 53 | ||||||
06/02/21 | U.S. Dollars | 88,466 | Hong Kong Dollars | 687,253 | MSCS | 49 | ||||||
04/20/21 | Chilean Pesos | 254 | U.S. Dollars | — | SC | — | ||||||
Subtotal Appreciation | $12,184,044 | |||||||||||
06/01/21 | U.S. Dollars | 2,134,545 | Australian Dollars | 2,809,628 | MSCS | $(87) | ||||||
05/17/21 | Chilean Pesos | 106,328,966 | U.S. Dollars | 147,843 | MSCS | (209) | ||||||
06/16/21 | Euro | 447,000 | Swedish Kronor | 4,584,834 | MSCS | (288) | ||||||
04/12/21 | U.S. Dollars | 108,716 | Indonesian Rupiahs | 1,591,607,950 | MSCS | (546) | ||||||
06/10/21 | U.S. Dollars | 130,231 | New Zealand Dollars | 187,322 | MSCS | (571) | ||||||
06/16/21 | Mexican Pesos | 5,271,391 | U.S. Dollars | 256,285 | MSCS | (585) | ||||||
04/05/21 | U.S. Dollars | 273,276 | South Korean Won | 309,775,241 | MSCS | (601) | ||||||
05/28/21 | Hungarian Forint | 36,632,485 | U.S. Dollars | 119,228 | MSCS | (705) | ||||||
06/16/21 | U.S. Dollars | 540,254 | New Zealand Dollars | 774,835 | MSCS | (787) | ||||||
05/25/21 | Singapore Dollars | 103,302 | U.S. Dollars | 77,620 | MSCS | (850) | ||||||
06/16/21 | Swiss Francs | 522,033 | Euro | 471,966 | MSCS | (882) | ||||||
06/16/21 | Euro | 419,282 | Swiss Francs | 465,579 | MSCS | (1,144) | ||||||
06/16/21 | Swedish Kronor | 2,388,679 | Norwegian Kroner | 2,351,872 | MSCS | (1,251) | ||||||
04/20/21 | U.S. Dollars | 56,074 | Chilean Pesos | 41,320,643 | GSC | (1,289) | ||||||
06/16/21 | Norwegian Kroner | 4,671,573 | Euro | 466,099 | MSCS | (1,345) | ||||||
04/27/21 | Indian Rupees | 20,845,302 | U.S. Dollars | 284,917 | MSCS | (1,366) | ||||||
06/16/21 | Israeli Shekels | 915,264 | U.S. Dollars | 275,474 | MSCS | (1,392) | ||||||
04/20/21 | U.S. Dollars | 1,101,157 | British Pounds | 799,731 | GSC | (1,427) | ||||||
06/16/21 | Euro | 233,077 | Canadian Dollars | 345,845 | MSCS | (1,443) | ||||||
06/10/21 | Japanese Yen | 11,440,110 | U.S. Dollars | 104,973 | MSCS | (1,583) | ||||||
05/21/21 | U.S. Dollars | 154,577 | Norwegian Kroner | 1,335,978 | MSCS | (1,617) | ||||||
04/12/21 | Taiwan Dollars | 7,673,533 | U.S. Dollars | 271,889 | MSCS | (2,365) | ||||||
06/16/21 | Euro | 246,944 | British Pounds | 212,136 | MSCS | (2,449) | ||||||
06/16/21 | British Pounds | 309,765 | U.S. Dollars | 429,661 | MSCS | (2,517) | ||||||
04/20/21 | U.S. Dollars | 840,407 | Norwegian Kroner | 7,210,352 | GSC | (2,609) | ||||||
05/28/21 | Czech Republic Koruna | 7,091,000 | U.S. Dollars | 321,382 | MSCS | (2,750) | ||||||
06/17/21 | South African Rand | 6,540,878 | U.S. Dollars | 441,373 | MSCS | (2,846) | ||||||
04/08/21 | U.S. Dollars | 1,095,466 | Taiwan Dollars | 31,295,462 | MSCS | (2,952) | ||||||
04/20/21 | U.S. Dollars | 1,144,223 | Norwegian Kroner | 9,814,055 | SS | (3,211) | ||||||
05/03/21 | Indonesian Rupiahs | 9,886,034,567 | U.S. Dollars | 678,660 | MSCS | (3,216) | ||||||
04/12/21 | Indonesian Rupiahs | 6,605,211,930 | U.S. Dollars | 457,095 | MSCS | (3,654) | ||||||
04/20/21 | U.S. Dollars | 1,511,850 | Norwegian Kroner | 12,962,722 | UBS | (3,717) | ||||||
04/27/21 | U.S. Dollars | 578,374 | Indian Rupees | 42,822,839 | MSCS | (4,129) | ||||||
04/27/21 | U.S. Dollars | 417,000 | Colombian Pesos | 1,542,879,150 | MSCS | (4,200) | ||||||
05/20/21 | British Pounds | 358,875 | U.S. Dollars | 499,441 | MSCS | (4,619) | ||||||
06/16/21 | U.S. Dollars | 1,337,552 | Canadian Dollars | 1,687,250 | MSCS | (5,184) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
05/24/21 | U.S. Dollars | 186,325 | Turkish Lira | 1,644,782 | MSCS | $(5,529) | ||||||
06/15/21 | U.S. Dollars | 1,651,068 | South Korean Won | 1,868,150,699 | MSCS | (5,591) | ||||||
06/01/21 | U.S. Dollars | 1,637,077 | Canadian Dollars | 2,064,525 | MSCS | (5,859) | ||||||
04/20/21 | Czech Republic Koruna | 33,665,020 | U.S. Dollars | 1,518,864 | SC | (6,221) | ||||||
04/05/21 | Brazilian Reals | 1,811,587 | U.S. Dollars | 328,198 | MSCS | (6,443) | ||||||
05/19/21 | U.S. Dollars | 403,296 | Mexican Pesos | 8,425,043 | MSCS | (6,646) | ||||||
04/20/21 | Norwegian Kroner | 10,415,443 | U.S. Dollars | 1,224,640 | RBC | (6,894) | ||||||
06/16/21 | Euro | 310,889 | Norwegian Kroner | 3,190,509 | MSCS | (7,820) | ||||||
04/05/21 | Indonesian Rupiahs | 9,886,034,568 | U.S. Dollars | 687,724 | MSCS | (7,911) | ||||||
05/21/21 | Swiss Francs | 207,060 | U.S. Dollars | 227,494 | MSCS | (8,108) | ||||||
04/20/21 | Euro | 1,374,344 | U.S. Dollars | 1,620,571 | GSC | (8,209) | ||||||
04/20/21 | U.S. Dollars | 1,144,933 | British Pounds | 836,529 | SS | (8,384) | ||||||
04/20/21 | Mexican Pesos | 7,861,271 | U.S. Dollars | 392,545 | SC | (8,766) | ||||||
04/20/21 | Canadian Dollars | 1,320,889 | U.S. Dollars | 1,060,656 | SC | (9,534) | ||||||
04/20/21 | U.S. Dollars | 1,059,548 | Norwegian Kroner | 9,145,527 | SC | (9,723) | ||||||
06/10/21 | New Zealand Dollars | 528,340 | U.S. Dollars | 378,786 | MSCS | (9,858) | ||||||
05/17/21 | U.S. Dollars | 601,378 | Chilean Pesos | 440,584,579 | MSCS | (10,360) | ||||||
06/16/21 | Canadian Dollars | 1,803,520 | U.S. Dollars | 1,445,995 | MSCS | (10,731) | ||||||
04/20/21 | Norwegian Kroner | 11,842,255 | U.S. Dollars | 1,395,877 | SS | (11,312) | ||||||
06/02/21 | Polish Zloty | 2,039,000 | U.S. Dollars | 528,008 | MSCS | (11,903) | ||||||
05/10/21 | Indonesian Rupiahs | 5,807,124,446 | U.S. Dollars | 408,299 | MSCS | (11,939) | ||||||
04/20/21 | U.S. Dollars | 1,361,636 | Canadian Dollars | 1,726,820 | RBC | (12,513) | ||||||
06/17/21 | U.S. Dollars | 603,957 | South African Rand | 9,195,786 | MSCS | (12,565) | ||||||
06/16/21 | Swedish Kronor | 5,971,180 | U.S. Dollars | 698,254 | MSCS | (14,042) | ||||||
04/20/21 | U.S. Dollars | 1,014,542 | South African Rand | 15,232,337 | SS | (14,647) | ||||||
04/20/21 | Norwegian Kroner | 23,759,418 | U.S. Dollars | 2,793,197 | SC | (15,309) | ||||||
06/16/21 | Chinese Offshore Yuan | 15,660,279 | U.S. Dollars | 2,387,132 | MSCS | (15,690) | ||||||
05/25/21 | U.S. Dollars | 721,569 | South African Rand | 10,981,724 | MSCS | (16,838) | ||||||
05/19/21 | Russian Rubles | 58,818,187 | U.S. Dollars | 791,343 | MSCS | (17,682) | ||||||
05/21/21 | Norwegian Kroner | 6,739,901 | U.S. Dollars | 806,701 | MSCS | (18,714) | ||||||
04/20/21 | Czech Republic Koruna | 14,165,640 | U.S. Dollars | 655,544 | SS | (19,050) | ||||||
04/20/21 | Mexican Pesos | 17,128,101 | U.S. Dollars | 855,362 | CITI | (19,186) | ||||||
04/20/21 | U.S. Dollars | 1,507,161 | Brazilian Reals | 8,605,579 | SC | (19,911) | ||||||
04/20/21 | New Zealand Dollars | 1,058,154 | U.S. Dollars | 760,744 | GSC | (21,757) | ||||||
06/16/21 | U.S. Dollars | 1,052,760 | Turkish Lira | 9,362,627 | MSCS | (22,782) | ||||||
04/20/21 | Hungarian Forint | 163,502,629 | U.S. Dollars | 552,655 | SC | (23,351) | ||||||
04/27/21 | Colombian Pesos | 4,746,819,745 | U.S. Dollars | 1,319,241 | MSCS | (23,380) | ||||||
04/20/21 | U.S. Dollars | 1,143,829 | Chilean Pesos | 842,429,712 | CITI | (25,669) | ||||||
06/16/21 | Swiss Francs | 1,407,372 | U.S. Dollars | 1,518,561 | MSCS | (26,323) | ||||||
06/16/21 | Norwegian Kroner | 28,721,218 | U.S. Dollars | 3,385,279 | MSCS | (27,450) | ||||||
04/20/21 | U.S. Dollars | 3,271,129 | British Pounds | 2,393,304 | SC | (28,504) | ||||||
04/20/21 | Brazilian Reals | 2,495,153 | U.S. Dollars | 471,549 | CITI | (28,780) | ||||||
04/20/21 | Australian Dollars | 3,137,993 | U.S. Dollars | 2,415,961 | SS | (32,227) | ||||||
06/16/21 | Japanese Yen | 238,456,992 | U.S. Dollars | 2,188,000 | MSCS | (32,809) | ||||||
04/19/21 | Taiwan Dollars | 53,908,628 | U.S. Dollars | 1,935,866 | MSCS | (39,966) | ||||||
04/20/21 | Mexican Pesos | 38,070,625 | U.S. Dollars | 1,900,367 | GSC | (41,799) | ||||||
04/20/21 | South Korean Won | 1,884,030,205 | U.S. Dollars | 1,714,142 | CITI | (45,451) | ||||||
04/08/21 | Taiwan Dollars | 46,737,607 | U.S. Dollars | 1,689,077 | MSCS | (48,664) | ||||||
06/01/21 | Australian Dollars | 4,367,224 | U.S. Dollars | 3,367,841 | MSCS | (49,815) | ||||||
04/20/21 | Norwegian Kroner | 93,933,146 | U.S. Dollars | 11,035,144 | CITI | (52,729) | ||||||
04/20/21 | U.S. Dollars | 4,397,336 | Canadian Dollars | 5,593,225 | SS | (53,578) | ||||||
04/20/21 | Russian Rubles | 231,722,720 | U.S. Dollars | 3,111,815 | SC | (53,703) | ||||||
06/16/21 | Australian Dollars | 4,913,545 | U.S. Dollars | 3,788,608 | MSCS | (55,290) | ||||||
04/20/21 | Swedish Kronor | 15,561,045 | U.S. Dollars | 1,841,750 | GSC | (59,642) | ||||||
04/20/21 | U.S. Dollars | 1,530,594 | South African Rand | 23,555,520 | GSC | (60,959) | ||||||
06/16/21 | New Zealand Dollars | 3,707,903 | U.S. Dollars | 2,655,765 | MSCS | (66,662) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | New Zealand Dollars | 3,238,664 | U.S. Dollars | 2,328,499 | JPM | $(66,702) | ||||||
04/20/21 | U.S. Dollars | 8,099,339 | Canadian Dollars | 10,264,571 | SC | (68,883) | ||||||
04/20/21 | Polish Zloty | 4,814,224 | U.S. Dollars | 1,287,552 | RBC | (69,238) | ||||||
06/16/21 | U.S. Dollars | 2,714,645 | Mexican Pesos | 57,503,460 | MSCS | (74,684) | ||||||
04/20/21 | Czech Republic Koruna | 57,553,811 | U.S. Dollars | 2,662,130 | CITI | (76,110) | ||||||
04/20/21 | Australian Dollars | 7,794,996 | U.S. Dollars | 5,998,501 | SC | (77,136) | ||||||
04/20/21 | Hungarian Forint | 664,537,814 | U.S. Dollars | 2,236,862 | SS | (85,567) | ||||||
05/19/21 | Swedish Kronor | 14,285,000 | U.S. Dollars | 1,722,479 | MSCS | (86,067) | ||||||
04/20/21 | Hungarian Forint | 683,679,523 | U.S. Dollars | 2,302,243 | GSC | (88,981) | ||||||
04/20/21 | U.S. Dollars | 8,367,975 | British Pounds | 6,136,229 | CITI | (92,003) | ||||||
04/20/21 | Polish Zloty | 6,573,235 | U.S. Dollars | 1,755,766 | CITI | (92,307) | ||||||
04/20/21 | Swedish Kronor | 17,931,641 | U.S. Dollars | 2,151,818 | SS | (98,220) | ||||||
04/20/21 | U.S. Dollars | 9,700,971 | Canadian Dollars | 12,315,693 | JPM | (99,471) | ||||||
06/16/21 | Turkish Lira | 7,865,619 | U.S. Dollars | 1,005,862 | MSCS | (102,291) | ||||||
06/16/21 | Euro | 4,691,479 | U.S. Dollars | 5,616,724 | MSCS | (105,874) | ||||||
04/20/21 | Norwegian Kroner | 178,673,052 | U.S. Dollars | 21,002,536 | GSC | (112,555) | ||||||
04/09/21 | Euro | 3,761,031 | U.S. Dollars | 4,535,873 | MSCS | (124,487) | ||||||
04/20/21 | New Zealand Dollars | 6,502,313 | U.S. Dollars | 4,670,976 | SS | (129,934) | ||||||
04/20/21 | Swedish Kronor | 28,209,981 | U.S. Dollars | 3,361,920 | SC | (131,209) | ||||||
04/20/21 | Brazilian Reals | 11,928,483 | U.S. Dollars | 2,256,063 | GSC | (139,337) | ||||||
04/20/21 | Turkish Lira | 13,452,924 | U.S. Dollars | 1,755,615 | GSC | (151,148) | ||||||
04/20/21 | Turkish Lira | 15,855,918 | U.S. Dollars | 2,063,700 | SS | (172,640) | ||||||
04/20/21 | Brazilian Reals | 14,928,943 | U.S. Dollars | 2,824,295 | SS | (175,134) | ||||||
04/20/21 | U.S. Dollars | 17,806,159 | British Pounds | 13,054,847 | RBC | (192,473) | ||||||
04/20/21 | Japanese Yen | 752,998,600 | U.S. Dollars | 7,046,797 | SS | (244,704) | ||||||
04/20/21 | Euro | 7,721,111 | U.S. Dollars | 9,333,960 | SS | (275,655) | ||||||
04/20/21 | Swiss Francs | 6,691,606 | U.S. Dollars | 7,385,492 | SC | (301,702) | ||||||
04/20/21 | New Zealand Dollars | 14,486,356 | U.S. Dollars | 10,424,067 | SC | (307,181) | ||||||
04/20/21 | New Zealand Dollars | 18,858,911 | U.S. Dollars | 13,557,671 | CITI | (387,110) | ||||||
04/20/21 | Swedish Kronor | 72,093,603 | U.S. Dollars | 8,658,488 | RBC | (402,061) | ||||||
04/20/21 | Swiss Francs | 8,001,791 | U.S. Dollars | 8,897,159 | SS | (426,397) | ||||||
04/20/21 | Australian Dollars | 34,139,943 | U.S. Dollars | 26,461,870 | JPM | (527,917) | ||||||
04/20/21 | Japanese Yen | 1,548,045,832 | U.S. Dollars | 14,884,340 | CITI | (900,313) | ||||||
04/20/21 | Euro | 24,993,133 | U.S. Dollars | 30,233,224 | SC | (911,613) | ||||||
04/20/21 | Swiss Francs | 15,366,960 | U.S. Dollars | 17,280,421 | CITI | (1,012,831) | ||||||
04/20/21 | Japanese Yen | 2,193,238,105 | U.S. Dollars | 21,006,597 | SC | (1,194,327) | ||||||
04/20/21 | Euro | 29,291,208 | U.S. Dollars | 35,575,432 | JPM | (1,211,376) | ||||||
Subtotal Depreciation | $(12,081,202) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $102,842 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 11,831,599 | $15,331 | $7,701 | $7,630 | |||||||
3-Month ASX BBSW (Quarterly) | 0.19% (Quarterly) | 2/22/2023 | AUD | 79,450,000 | (22,822) | (28,747) | 5,925 | |||||||
3-Month CDOR (Semiannually) | 0.80% (Semiannually) | 2/28/2023 | CAD | 61,240,000 | 45,494 | 8,748 | 36,746 | |||||||
3-Month CDOR (Semiannually) | 0.75% (Semiannually) | 3/1/2023 | CAD | 123,720,000 | 37,902 | (33,551) | 71,453 | |||||||
0.28% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/3/2023 | USD | 97,290,000 | 55,785 | 20,790 | 34,995 | |||||||
1.40% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 6/16/2023 | CLP | 2,995,490,000 | 26,228 | 8,251 | 17,977 | |||||||
1.50% (Annually) | 6-Month BUBOR (Semiannually) | 6/16/2023 | HUF | 2,191,470,000 | 12,190 | (6,442) | 18,632 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
6-Month EURIBOR (Semiannually) | (0.50)% (Annually) | 6/16/2023 | EUR | 7,640,000 | $(2,329) | $(6,382) | $4,053 | |||||||
Colombia Overnight Interbank Rate (Quarterly) | 3.30% (Quarterly) | 6/16/2023 | COP | 5,629,700,000 | 1,214 | 295 | 919 | |||||||
0.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/16/2024 | USD | 6,060,000 | 62,590 | 46,150 | 16,440 | |||||||
1-Day SOFR + 0.24% (Quarterly) | 3-Month LIBOR (Quarterly) | 11/10/2024 | USD | 40,350,000 | 6,133 | 38 | 6,095 | |||||||
6.32% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 19,895,989 | 175,970 | 27,728 | 148,242 | |||||||
0.27% (Annually) | 1-Day SONIA (Annually) | 6/17/2025 | GBP | 10,000 | 38 | (174) | 212 | |||||||
1.55% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/23/2026 | AUD | 24,800,000 | 37,571 | 18,552 | 19,019 | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/11/2026 | USD | 18,500,000 | 89,038 | 37,223 | 51,815 | |||||||
4.75% (Semiannually) | 1-Day MIBOR (Semiannually) | 3/17/2026 | INR | 593,150,000 | 154,267 | (3,167) | 157,434 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 6/16/2026 | EUR | 34,500,000 | 145,608 | 124,687 | 20,921 | |||||||
(0.50)% (Annually) | 6-Month LIBOR (Semiannually) | 6/16/2026 | CHF | 2,180,000 | 13,667 | 12,931 | 736 | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/16/2026 | JPY | 797,170,000 | 7,556 | 6,485 | 1,071 | |||||||
1-Day SONIA (Annually) | 0.00% (Annually) | 6/16/2026 | GBP | 5,360,000 | (182,710) | (183,980) | 1,270 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 6/16/2026 | NZD | 5,930,000 | 9,929 | (5,736) | 15,665 | |||||||
3-Month SEK STIBOR (Quarterly) | 0.50% (Annually) | 6/16/2026 | SEK | 143,170,000 | 114,392 | 107,297 | 7,095 | |||||||
6-Month NIBOR (Semiannually) | 1.50% (Annually) | 6/16/2026 | NOK | 116,620,000 | (10,759) | (18,219) | 7,460 | |||||||
3-Month JIBAR (Quarterly) | 6.25% (Quarterly) | 6/17/2026 | ZAR | 25,285,000 | 3,784 | 1,874 | 1,910 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 6/16/2028 | EUR | 7,470,000 | 137,489 | 125,004 | 12,485 | |||||||
1.00% (Semiannually) | 3-Month CDOR (Semiannually) | 6/16/2028 | CAD | 5,760,000 | 256,109 | 200,951 | 55,158 | |||||||
0.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2030 | JPY | 273,080,000 | (3,342) | (7,968) | 4,626 | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/18/2030 | EUR | 7,240,000 | 37,307 | (76,553) | 113,860 | |||||||
0.75% (Annually) | 3-Month STIBOR (Quarterly) | 6/18/2030 | SEK | 9,340,000 | 21,350 | (9,358) | 30,708 | |||||||
1.24% (Annually) | 6-Month NIBOR (Semiannually) | 10/29/2030 | NOK | 69,540,000 | 373,891 | 217,585 | 156,306 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 1/26/2031 | GBP | 10,740,000 | 658,617 | 315,698 | 342,919 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/2/2031 | USD | 2,160,000 | 103,135 | 58,793 | 44,342 | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/10/2031 | GBP | 8,030,000 | 230,570 | 80,782 | 149,788 | |||||||
6.40% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 6/4/2031 | MXN | 78,160,000 | 149,449 | 13,145 | 136,304 | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/16/2031 | JPY | 1,051,170,000 | 158,502 | 155,126 | 3,376 | |||||||
0.25% (Annually) | 1-Day SONIA (Annually) | 6/16/2031 | GBP | 7,750,000 | 603,582 | 524,554 | 79,028 | |||||||
0.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/16/2031 | USD | 340,000 | 34,475 | 26,972 | 7,503 | |||||||
1.10% (Annually) | 3-Month TELBOR (Quarterly) | 6/16/2031 | ILS | 6,640,000 | 49,785 | (4,793) | 54,578 | |||||||
2.00% (Annually) | 6-Month NIBOR (Semiannually) | 6/16/2031 | NOK | 21,090,000 | (25,161) | (37,354) | 12,193 | |||||||
2.25% (Annually) | 6-Month BUBOR (Semiannually) | 6/16/2031 | HUF | 236,825,000 | 33,543 | 4,687 | 28,856 | |||||||
1.10% (Annually) | 1-Day SONIA (Annually) | 2/17/2036 | GBP | 9,950,000 | 107,094 | 18,471 | 88,623 | |||||||
2.43% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/25/2036 | USD | 17,340,000 | 182,081 | 20,567 | 161,514 | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/10/2036 | USD | 20,910,000 | 159,941 | 106,475 | 53,466 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 28,220,000 | 1,989,871 | 426,551 | 1,563,320 | |||||||
2.75% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/24/2041 | AUD | 7,650,000 | 113,852 | 27,896 | 85,956 | |||||||
1.10% (Annually) | 1-Day SONIA (Annually) | 3/24/2041 | GBP | 7,790,000 | 100,939 | 66,223 | 34,716 | |||||||
1.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/11/2051 | GBP | 1,610,000 | 38,471 | 12,708 | 25,763 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 6/16/2051 | EUR | 440,000 | 73,383 | 60,217 | 13,166 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/16/2051 | JPY | 210,710,000 | 41,008 | 35,288 | 5,720 | |||||||
Subtotal Appreciation | $6,422,008 | $2,504,019 | $3,917,989 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 42,620,000 | $(7,769) | $(2,188) | $(5,581) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.39% (Upon termination) | 1/3/2022 | BRL | 33,647,155 | (43,973) | — | (43,973) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 14,754,934 | 39,188 | 62,563 | (23,375) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.23% (Upon termination) | 1/2/2023 | BRL | 11,656,189 | $(52,154) | $2,673 | $(54,827) | |||||||
4.70% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 6/14/2023 | MXN | 30,975,000 | 16,133 | 16,983 | (850) | |||||||
0.35% (Semiannually) | 6-Month EURIBOR (Annually) | 6/16/2023 | PLN | 221,749 | (280) | 29 | (309) | |||||||
1.00% (Quarterly) | 3-Month KWCDC (Quarterly) | 6/16/2023 | KRW | 18,391,080,000 | 46,402 | 61,442 | (15,040) | |||||||
2.75% (Quarterly) | 7-Day CFETS Repo Rate (Quarterly) | 6/16/2023 | CNY | 6,260,000 | (2,770) | (317) | (2,453) | |||||||
4.75% (Semiannually) | 1-Day MIBOR (Semiannually) | 6/16/2023 | INR | 66,700,000 | (5,764) | (1,293) | (4,471) | |||||||
3-Month CDOR (Semiannually) | 0.70% (Semiannually) | 11/18/2023 | CAD | 15,490,000 | (52,677) | 16,178 | (68,855) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 4,579,538 | (34,945) | 2,088 | (37,033) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 1/25/2024 | AUD | 41,880,000 | (37,682) | 61,410 | (99,092) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 2/24/2024 | AUD | 13,810,000 | 10,607 | 34,134 | (23,527) | |||||||
3-Month CDOR (Semiannually) | 0.75% (Semiannually) | 6/16/2024 | CAD | 6,960,000 | (44,766) | (36,791) | (7,975) | |||||||
1-Month LIBOR + 0.09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 68,000,000 | 12,865 | 22,829 | (9,964) | |||||||
1.25% (Semiannually) | 6-Month THBFIX (Semiannually) | 6/17/2025 | THB | 20,000 | (9) | — | (9) | |||||||
6-Month THBFIX (Semiannually) | 0.75% (Semiannually) | 12/16/2025 | THB | 128,470,000 | (52,678) | 1,642 | (54,320) | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 8,550,000 | (43,977) | (1,832) | (42,145) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 5.55% (Lunar) | 6/10/2026 | MXN | 4,280,000 | (5,797) | — | (5,797) | |||||||
(0.25)% (Annually) | 6-Month EURIBOR (Semiannually) | 6/16/2026 | EUR | 7,500,000 | (18,012) | (17,302) | (710) | |||||||
3-Month CDOR (Semiannually) | 1.00% (Semiannually) | 6/16/2026 | CAD | 2,840,000 | (59,154) | (48,076) | (11,078) | |||||||
3-Month LIBOR (Quarterly) | 0.50% (Semiannually) | 6/16/2026 | USD | 15,230,000 | (475,659) | (353,074) | (122,585) | |||||||
6-Month ASX BBSW (Semiannually) | 0.50% (Semiannually) | 6/16/2026 | AUD | 13,310,000 | (251,043) | (229,078) | (21,965) | |||||||
6-Month ASX BBSW (Semiannually) | 0.75% (Semiannually) | 6/16/2028 | AUD | 6,200,000 | (227,539) | (210,490) | (17,049) | |||||||
6-Month LIBOR (Semiannually) | (0.25)% (Annually) | 6/16/2028 | CHF | 8,370,000 | (34,576) | (623) | (33,953) | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/19/2030 | AUD | 5,460,000 | (169,411) | 2,745 | (172,156) | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 53,930,000 | (884,766) | 236,191 | (1,120,957) | |||||||
1-Day SONIA (Annually) | 0.31% (Annually) | 6/17/2030 | GBP | 10,000 | (541) | 307 | (848) | |||||||
6-Month ASX BBSW (Semiannually) | 1.24% (Semiannually) | 10/28/2030 | AUD | 8,320,000 | (442,877) | (210,727) | (232,150) | |||||||
6-Month ASX BBSW (Semiannually) | 1.71% (Semiannually) | 1/21/2031 | AUD | 17,280,000 | (667,737) | (225,848) | (441,889) | |||||||
6-Month ASX BBSW (Semiannually) | 1.50% (Semiannually) | 2/2/2031 | AUD | 3,240,000 | (148,946) | (97,466) | (51,480) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 2/12/2031 | EUR | 10,700,000 | 41,074 | 157,986 | (116,912) | |||||||
1-Day SONIA (Annually) | 0.90% (Annually) | 2/17/2031 | GBP | 8,620,000 | (148,349) | (27,206) | (121,143) | |||||||
6-Month ASX BBSW (Semiannually) | 2.50% (Semiannually) | 2/24/2031 | AUD | 24,240,000 | (302,643) | (178,179) | (124,464) | |||||||
3-Month LIBOR (Quarterly) | 2.21% (Semiannually) | 2/25/2031 | USD | 14,100,000 | (223,625) | (42,325) | (181,300) | |||||||
3-Month LIBOR (Quarterly) | 2.38% (Semiannually) | 3/9/2031 | USD | 26,530,000 | (222,637) | (126,064) | (96,573) | |||||||
1-Day SONIA (Annually) | 1.05% (Annually) | 3/24/2031 | GBP | 12,180,000 | (95,616) | (57,457) | (38,159) | |||||||
3-Month CDOR (Semiannually) | 1.25% (Semiannually) | 6/16/2031 | CAD | 2,770,000 | (183,367) | (169,011) | (14,356) | |||||||
6-Month ASX BBSW (Semiannually) | 1.00% (Semiannually) | 6/16/2031 | AUD | 4,200,000 | (271,522) | (255,396) | (16,126) | |||||||
1-Day SONIA (Annually) | 0.40% (Annually) | 6/17/2040 | GBP | 10,000 | (1,409) | 512 | (1,921) | |||||||
3-Month LIBOR (Quarterly) | 2.00% (Semiannually) | 2/10/2051 | USD | 2,400,000 | (162,486) | (127,796) | (34,690) | |||||||
Subtotal Depreciation | $(5,210,887) | $(1,738,827) | $(3,472,060) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at March 31, 2021 | $1,211,121 | $765,192 | $445,929 |
Reference Obligation | Counterparty | Currency | Notional Amount | Settlement Date | Unrealized Appreciation (Depreciation) | |||||
Colombian Domestic Bond, 6.25%, 11/26/2025 | DEUT | COP | 4,599,207,263 | 5/6/2021 | $(33,058) | |||||
Colombian Domestic Bond, 7.50%, 08/26/2026 | DEUT | COP | 1,680,200,000 | 5/6/2021 | (15,623) | |||||
Total Non-Deliverable Bond Forward Contracts outstanding at March 31, 2021 | $(48,681) |