Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 11 | $1,246,850 | $(52,095) | ||||
MSCI Emerging Markets | 12/2021 | 5 | 311,400 | (65,283) | ||||
10-Year U.S. Treasury Note | 12/2021 | 33 | 4,343,109 | (61,194) | ||||
S&P 500® E-Mini | 12/2021 | 9 | 1,933,988 | (7,890) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $7,835,347 | $(186,462) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 33 | $3,740,550 | $(176,341) | ||||
MSCI Emerging Markets | 12/2021 | 16 | 996,480 | (46,729) | ||||
10-Year U.S. Treasury Note | 12/2021 | 74 | 9,739,094 | (143,574) | ||||
S&P 500® E-Mini | 12/2021 | 33 | 7,091,287 | (306,071) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $21,567,411 | $(672,715) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 52 | $5,894,200 | $(260,000) | ||||
MSCI Emerging Markets | 12/2021 | 25 | 1,557,000 | (66,773) | ||||
10-Year U.S. Treasury Note | 12/2021 | 55 | 7,238,516 | (91,498) | ||||
S&P 500 ® E-Mini | 12/2021 | 52 | 11,174,150 | (469,797) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $25,863,866 | $(888,068) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-mini | 12/2021 | 53 | $6,007,550 | $(282,746) | ||||
MSCI Emerging Markets E-Mini | 12/2021 | 23 | 1,432,440 | (67,431) | ||||
10-Year U.S. Treasury Note | 12/2021 | 24 | 3,158,625 | (45,776) | ||||
S&P 500® E-Mini | 12/2021 | 55 | 11,818,813 | (510,118) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $22,417,428 | $(906,071) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 19 | $2,153,650 | $(64,262) | ||||
MSCI Emerging Markets | 12/2021 | 10 | 622,800 | (12,720) | ||||
10-Year U.S. Treasury Note | 12/2021 | 6 | 789,656 | (9,154) | ||||
S&P 500® E-Mini | 12/2021 | 20 | 4,297,750 | (145,843) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $7,863,856 | $(231,979) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 5 | $566,750 | $(22,547) | ||||
MSCI Emerging Markets | 12/2021 | 4 | 249,120 | (10,978) | ||||
2-Year U.S. Treasury Note | 12/2021 | 37 | 8,142,023 | (7,731) | ||||
S&P 500® E-Mini | 12/2021 | 6 | 1,289,325 | (42,204) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $10,247,218 | $(83,460) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 51 | $5,780,850 | $(274,386) | ||||
MSCI Emerging Markets | 12/2021 | 37 | 2,304,360 | (107,985) | ||||
10-Year U.S. Treasury Note | 12/2021 | 35 | 4,606,328 | (64,072) | ||||
U.S. Treasury Long Bond | 12/2021 | 33 | 5,254,219 | (151,275) | ||||
5-Year U.S. Treasury Note | 12/2021 | 55 | 6,750,820 | (42,802) | ||||
S&P 500® E-Mini | 12/2021 | 56 | 12,033,700 | (519,393) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $36,730,277 | $(1,159,913) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 64 | $7,254,400 | $(341,957) | ||||
MSCI Emerging Markets | 12/2021 | 47 | 2,927,160 | (136,415) | ||||
10-Year U.S. Treasury Note | 12/2021 | 14 | 1,842,531 | (26,067) | ||||
U.S. Treasury Long Bond | 12/2021 | 13 | 2,069,844 | (61,523) | ||||
5-Year U.S. Treasury Note | 12/2021 | 22 | 2,700,328 | (17,177) | ||||
S&P 500® E-Mini | 12/2021 | 71 | 15,257,013 | (658,516) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $32,051,276 | $(1,241,655) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 69 | $7,821,150 | $(367,226) | ||||
MSCI Emerging Markets | 12/2021 | 55 | 3,425,400 | (160,084) | ||||
S&P 500® E-Mini | 12/2021 | 79 | 16,976,113 | (732,715) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $28,222,663 | $(1,260,025) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 12/2021 | (50) | $(7,814,809) | $51,405 | ||||
Euro-Bund | 12/2021 | (1) | (196,711) | 2,359 | ||||
Euro-Schatz | 12/2021 | (39) | (5,068,934) | 3,447 | ||||
10-Year U.S. Treasury Note | 12/2021 | (99) | (13,029,328) | 120,740 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2021 | (97) | (14,089,250) | 304,711 | ||||
Ultra Long U.S. Treasury Bond | 12/2021 | (2) | (382,125) | 10,313 | ||||
2-Year U.S. Treasury Note | 12/2021 | 1,211 | 266,486,227 | (157,975) | ||||
5-Year U.S. Treasury Note | 12/2021 | (1,034) | (126,915,422) | 400,981 | ||||
90-Day Bank Acceptance | 12/2022 | 302 | 58,875,217 | (169,758) | ||||
90-Day Bank Acceptance | 03/2023 | 216 | 42,019,896 | (330,324) | ||||
90-Day Eurodollar | 12/2023 | 37 | 9,144,087 | (8,787) | ||||
90-Day Eurodollar | 12/2024 | (37) | (9,101,537) | 19,509 | ||||
Total Futures Contracts outstanding at September 30, 2021 | $199,927,311 | $246,621 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/04/21 | U.S. Dollars | 21,302,405 | British Pounds | 15,539,000 | BAR | $365,052 | ||||||
12/15/21 | U.S. Dollars | 9,042,687 | Euro | 7,628,500 | HSBC | 191,292 | ||||||
12/15/21 | U.S. Dollars | 9,036,157 | Euro | 7,628,500 | BNP | 184,762 | ||||||
10/04/21 | U.S. Dollars | 6,882,812 | Euro | 5,827,000 | BNP | 132,586 | ||||||
03/17/22 | U.S. Dollars | 5,854,506 | Euro | 4,958,000 | HSBC | 90,100 | ||||||
11/08/21 | U.S. Dollars | 10,107,768 | Japanese Yen | 1,115,000,000 | RBS | 86,626 | ||||||
10/04/21 | U.S. Dollars | 17,876,020 | Canadian Dollars | 22,565,152 | JPM | 60,601 | ||||||
11/08/21 | U.S. Dollars | 3,369,655 | Japanese Yen | 370,000,000 | JPM | 44,254 | ||||||
10/05/21 | U.S. Dollars | 7,804,557 | Australian Dollars | 10,762,255 | BNP | 23,805 | ||||||
11/02/21 | Japanese Yen | 574,200,000 | U.S. Dollars | 5,140,400 | BAR | 20,040 | ||||||
11/02/21 | U.S. Dollars | 7,793,003 | Australian Dollars | 10,762,255 | UBS | 11,268 | ||||||
12/15/21 | U.S. Dollars | 320,025 | Australian Dollars | 433,000 | CBA | 6,866 | ||||||
11/02/21 | U.S. Dollars | 4,848,559 | Canadian Dollars | 6,133,669 | MSCS | 6,182 | ||||||
12/15/21 | U.S. Dollars | 294,772 | Euro | 251,000 | RBS | 3,535 | ||||||
11/02/21 | U.S. Dollars | 6,756,848 | Euro | 5,827,000 | BNP | 2,824 | ||||||
12/15/21 | U.S. Dollars | 298,689 | Canadian Dollars | 376,000 | BOA | 1,830 | ||||||
11/02/21 | U.S. Dollars | 813,613 | Canadian Dollars | 1,029,573 | HSBC | 791 | ||||||
Subtotal Appreciation | $1,232,414 | |||||||||||
12/15/21 | U.S. Dollars | 75,307 | Euro | 65,000 | HSBC | $(113) | ||||||
03/17/22 | U.S. Dollars | 1,985,499 | Canadian Dollars | 2,518,000 | HSBC | (2,292) | ||||||
11/02/21 | U.S. Dollars | 6,718,105 | Canadian Dollars | 8,521,910 | BNP | (9,727) | ||||||
11/02/21 | U.S. Dollars | 20,925,301 | British Pounds | 15,539,000 | BAR | (12,696) | ||||||
10/04/21 | Canadian Dollars | 6,880,000 | U.S. Dollars | 5,459,340 | BNP | (27,510) | ||||||
10/04/21 | Japanese Yen | 376,500,000 | U.S. Dollars | 3,428,082 | BNP | (45,087) | ||||||
Subtotal Depreciation | $(97,425) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $1,134,989 |
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 10/28/2027 (Pay Quarterly) | (1.00%) | 6/20/2024 | MS | USD | 1,600,000 | $(34,111) | $(35,993) | $1,882 | ||||||||
$(34,111) | $(35,993) | $1,882 |
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.37 Index (Pay Quarterly) | (1.00%) | 12/20/2026 | USD | 34,300,000 | $(829,036) | $(856,374) | $27,338 | |||||||
$(829,036) | $(856,374) | $27,338 |
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 | $(7,444) | $— | $(7,444) | |||||||
1-Month LIBOR + .098% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 10,800,000 | (5,714) | — | (5,714) | |||||||
$(13,158) | $ — | $(13,158) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 12/2021 | (20) | $(4,710,778) | $139,721 | ||||
Euro-OAT | 12/2021 | 38 | 7,304,671 | (131,107) | ||||
Euro-Bobl | 12/2021 | (5) | (781,481) | 4,592 | ||||
Euro-Bund | 12/2021 | (130) | (25,572,431) | 579,569 | ||||
90-Day Eurodollar | 12/2021 | (610) | (152,240,750) | (83,274) | ||||
10-Year Commonwealth Treasury Bond | 12/2021 | 74 | 7,568,543 | (170,727) | ||||
10-Year Japanese Treasury Bond | 12/2021 | (9) | (12,240,712) | 35,513 | ||||
10-Year U.S. Treasury Note | 12/2021 | 605 | 79,623,672 | (1,166,996) | ||||
U.S. Treasury Long Bond | 12/2021 | (292) | (46,491,875) | 1,017,741 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2021 | (93) | (13,508,250) | 216,343 | ||||
Ultra Long U.S. Treasury Bond | 12/2021 | 361 | 68,973,563 | (2,041,641) | ||||
Long GILT | 12/2021 | (69) | (11,635,271) | 366,407 | ||||
2-Year U.S. Treasury Note | 12/2021 | 989 | 217,634,086 | (124,142) | ||||
5-Year U.S. Treasury Note | 12/2021 | 1,679 | 206,084,133 | (1,307,551) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
90-Day Eurodollar | 06/2023 | 156 | $38,693,850 | $(10,201) | ||||
90-Day Eurodollar | 09/2023 | 37 | 9,156,575 | (8,550) | ||||
90-Day Eurodollar | 12/2023 | 921 | 227,613,638 | (179,075) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $595,471,183 | $(2,863,378) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/04/21 | U.S. Dollars | 27,578,036 | British Pounds | 20,118,000 | BAR | $470,908 | ||||||
10/19/21 | Russian Rubles | 572,480,971 | U.S. Dollars | 7,613,734 | GSC | 228,836 | ||||||
10/04/21 | U.S. Dollars | 11,461,116 | Euro | 9,703,000 | BNP | 220,779 | ||||||
10/19/21 | U.S. Dollars | 8,829,792 | Euro | 7,437,148 | GSC | 211,815 | ||||||
10/12/21 | U.S. Dollars | 1,908,393 | Peruvian Nuevo Soles | 7,052,466 | HSBC | 203,136 | ||||||
10/27/21 | U.S. Dollars | 5,087,734 | British Pounds | 3,650,573 | SS | 168,787 | ||||||
11/12/21 | U.S. Dollars | 1,229,754 | Peruvian Nuevo Soles | 4,609,488 | GSC | 116,211 | ||||||
10/19/21 | Indonesian Rupiahs | 56,877,253,622 | U.S. Dollars | 3,853,472 | GSC | 110,360 | ||||||
10/04/21 | U.S. Dollars | 4,448,504 | Brazilian Reals | 23,710,527 | GSC | 97,291 | ||||||
10/19/21 | U.S. Dollars | 2,887,640 | Mexican Pesos | 58,446,819 | CITI | 64,293 | ||||||
11/24/21 | U.S. Dollars | 2,336,336 | Euro | 1,974,169 | DEUT | 47,067 | ||||||
10/04/21 | U.S. Dollars | 2,319,923 | Euro | 1,962,000 | GSC | 47,065 | ||||||
10/19/21 | U.S. Dollars | 1,007,583 | Euro | 850,000 | CITI | 22,625 | ||||||
11/04/21 | U.S. Dollars | 402,584 | Peruvian Nuevo Soles | 1,573,218 | HSBC | 22,423 | ||||||
10/04/21 | U.S. Dollars | 1,894,608 | Canadian Dollars | 2,387,000 | BNP | 10,047 | ||||||
11/04/21 | U.S. Dollars | 638,158 | Peruvian Nuevo Soles | 2,604,516 | BNP | 8,788 | ||||||
10/04/21 | U.S. Dollars | 163,837 | Peruvian Nuevo Soles | 645,453 | GSC | 7,739 | ||||||
12/15/21 | U.S. Dollars | 753,473 | Japanese Yen | 82,951,989 | MSCS | 7,579 | ||||||
10/19/21 | U.S. Dollars | 260,823 | British Pounds | 188,429 | GSC | 6,928 | ||||||
11/02/21 | Australian Dollars | 1,674,000 | U.S. Dollars | 1,204,157 | GSC | 6,242 | ||||||
11/02/21 | U.S. Dollars | 13,526,451 | Euro | 11,665,000 | BNP | 5,654 | ||||||
12/15/21 | U.S. Dollars | 401,520 | Swiss Francs | 368,787 | UBS | 4,994 | ||||||
12/15/21 | U.S. Dollars | 234,452 | Swedish Kronor | 2,015,622 | CITI | 4,024 | ||||||
12/15/21 | U.S. Dollars | 295,498 | Japanese Yen | 32,538,963 | UBS | 2,911 | ||||||
11/17/21 | U.S. Dollars | 293,985 | Japanese Yen | 32,400,000 | BAR | 2,769 | ||||||
10/19/21 | Chinese Offshore Yuan | 2,958,374 | U.S. Dollars | 456,391 | GSC | 1,694 | ||||||
12/15/21 | U.S. Dollars | 458,511 | Canadian Dollars | 578,650 | UBS | 1,655 | ||||||
11/12/21 | U.S. Dollars | 408,206 | Canadian Dollars | 515,436 | JPM | 1,288 | ||||||
12/15/21 | U.S. Dollars | 13,819 | Norwegian Kroner | 120,031 | DEUT | 97 | ||||||
Subtotal Appreciation | $2,104,005 | |||||||||||
01/18/22 | U.S. Dollars | 453,293 | Chinese Offshore Yuan | 2,958,374 | GSC | $(1,462) | ||||||
11/12/21 | Australian Dollars | 1,481,932 | U.S. Dollars | 1,074,423 | BOA | (2,861) | ||||||
11/24/21 | Euro | 147,151 | U.S. Dollars | 174,146 | DEUT | (3,508) | ||||||
10/19/21 | U.S. Dollars | 452,898 | Chinese Offshore Yuan | 2,958,374 | GSC | (5,188) | ||||||
12/15/21 | Australian Dollars | 451,000 | U.S. Dollars | 332,507 | UBS | (6,330) | ||||||
11/02/21 | Australian Dollars | 11,455,000 | U.S. Dollars | 8,294,623 | UBS | (11,993) | ||||||
12/15/21 | Euro | 513,550 | U.S. Dollars | 609,472 | CITI | (13,596) | ||||||
10/05/21 | Australian Dollars | 4,366,000 | U.S. Dollars | 3,170,103 | JPM | (13,630) | ||||||
10/19/21 | Euro | 1,050,000 | U.S. Dollars | 1,231,680 | CITI | (14,966) | ||||||
11/02/21 | U.S. Dollars | 25,146,989 | British Pounds | 18,674,000 | BAR | (15,257) | ||||||
10/19/21 | Canadian Dollars | 2,515,065 | U.S. Dollars | 2,002,399 | CITI | (16,776) | ||||||
10/04/21 | British Pounds | 709,000 | U.S. Dollars | 978,073 | MSCS | (22,762) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/19/21 | Canadian Dollars | 1,480,000 | U.S. Dollars | 1,192,268 | GSC | $(23,820) | ||||||
10/05/21 | Australian Dollars | 7,089,000 | U.S. Dollars | 5,152,807 | BNP | (27,696) | ||||||
10/04/21 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,384,505 | MSCS | (33,292) | ||||||
01/31/22 | U.S. Dollars | 2,219,614 | Israeli Shekels | 7,282,000 | HSBC | (42,447) | ||||||
04/06/22 | U.S. Dollars | 2,131,981 | Israeli Shekels | 6,999,294 | GSC | (44,622) | ||||||
10/19/21 | Australian Dollars | 2,211,180 | U.S. Dollars | 1,655,314 | CITI | (56,601) | ||||||
10/19/21 | Mexican Pesos | 56,757,973 | U.S. Dollars | 2,800,132 | CITI | (58,367) | ||||||
10/19/21 | Brazilian Reals | 15,244,857 | U.S. Dollars | 2,871,728 | CITI | (80,684) | ||||||
11/03/21 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,427,736 | GSC | (97,513) | ||||||
10/19/21 | Japanese Yen | 917,179,528 | U.S. Dollars | 8,358,215 | CITI | (116,159) | ||||||
12/15/21 | Chilean Pesos | 1,891,114,500 | U.S. Dollars | 2,449,789 | BAR | (133,926) | ||||||
Subtotal Depreciation | $(843,456) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $1,260,549 |
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)% | 6/20/2022 | JPM | USD | 630,000 | $(4,285) | $(6,835) | $2,550 | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | CITI | USD | 70,000 | (476) | (1,226) | 750 | ||||||||
Subtotal Appreciation | $(4,761) | $(8,061) | $3,300 | |||||||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 12/20/2021 | DEUT | USD | 430,000 | $(995) | $1,639 | $(2,634) | ||||||||
Subtotal Depreciation | $(995) | $1,639 | $(2,634) | |||||||||||||
Net Credit Default Swaps on Sovereign Issuers—Buy Protection outstanding at September 30, 2021 | $(5,756) | $(6,422) | $666 |
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 | ||||||||||||||||
The Boeing Co., 2.60% due 10/30/25 (Receive Quarterly) | 0.62% | 1.00% | 6/20/2023 | USD | 2,200,000 | $15,241 | $5,839 | $9,402 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.35% | 1.00% | 12/20/2023 | USD | 600,000 | 8,842 | (25,420) | 34,262 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.41% | 1.00% | 6/20/2024 | USD | 1,000,000 | 16,241 | (20,253) | 36,494 | ||||||||
Prudential Financial, Inc., 3.50% due 5/15/24 (Receive Quarterly) | 0.27% | 1.00% | 6/20/2024 | USD | 1,075,000 | 21,916 | 19,844 | 2,072 | ||||||||
Republic of Indonesia, 5.88% due 3/13/20 (Receive Quarterly) | 0.40% | 1.00% | 6/20/2024 | USD | 3,470,000 | 57,619 | 13,562 | 44,057 | ||||||||
Rolls-Royce Holdings PLC, 2.13% due 6/18/21 (Receive Quarterly) | 1.46% | 1.00% | 6/20/2025 | EUR | 1,700,000 | (32,654) | (263,901) | 231,247 | ||||||||
Devon Energy Corporation, 7.95% due 4/15/32 (Receive Quarterly) | 0.92% | 1.00% | 6/20/2026 | USD | 2,800,000 | 10,846 | (26,054) | 36,900 |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.69% | 1.00% | 6/20/2026 | USD | 2,100,000 | $30,226 | $11,126 | $19,100 | ||||||||
The Boeing Co., 2.60% due 10/30/25 (Receive Quarterly) | 1.01% | 1.00% | 6/20/2026 | USD | 2,400,000 | (83) | (17,161) | 17,078 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.77% | 1.00% | 12/20/2026 | USD | 2,600,000 | 31,632 | 29,130 | 2,502 | ||||||||
General Motors Co., 4.88% due 10/2/23 (Receive Quarterly) | 1.01% | 5.00% | 12/20/2026 | USD | 2,200,000 | 443,519 | 443,519 | — | ||||||||
British Telecommunications, 5.75% due 12/7/28 (Receive Quarterly) | 1.07% | 1.00% | 6/20/2028 | EUR | 2,000,000 | (10,626) | (11,393) | 767 | ||||||||
British Telecommunications, 5.75% due 12/7/28 (Receive Quarterly) | 1.13% | 1.00% | 12/20/2028 | EUR | 2,000,000 | (20,990) | (23,988) | 2,998 | ||||||||
Subtotal Appreciation | $571,729 | $134,850 | $436,879 | |||||||||||||
The Boeing Co., 8.75% due 8/15/21 (Receive Quarterly) | 0.76% | 1.00% | 6/20/2024 | USD | 475,000 | $3,185 | $11,966 | $(8,781) | ||||||||
Republic of Peru, 8.75% due 11/21/33 (Receive Quarterly) | 0.65% | 1.00% | 12/20/2024 | USD | 290,000 | 3,365 | 6,740 | (3,375) | ||||||||
Russian Federation, 7.50% due 3/31/30 (Receive Quarterly) | 0.58% | 1.00% | 12/20/2024 | USD | 950,000 | 13,252 | 17,427 | (4,175) | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.69% | 1.00% | 6/20/2026 | USD | 1,100,000 | 15,833 | 17,601 | (1,768) | ||||||||
Russian Federation, 7.50% due 3/31/30 (Receive Quarterly) | 0.89% | 1.00% | 12/20/2026 | USD | 320,000 | 1,934 | 2,212 | (278) | ||||||||
Verizon Communications, Inc., 4.13% due 3/16/27 (Receive Quarterly) | 0.53% | 1.00% | 12/20/2026 | USD | 2,100,000 | 50,539 | 51,189 | (650) | ||||||||
Subtotal Depreciation | $88,108 | $107,135 | $(19,027) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection
outstanding at September 30, 2021 | $659,837 | $241,985 | $417,852 |
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 | ||||||||||||||
CDX.NA.HY.37 (Pay Quarterly) | (5.00)% | 12/20/2026 | USD | 1,020,000 | $(96,494) | $(97,955) | $1,461 | |||||||
$(96,494) | $(97,955) | $1,461 |
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) | 0.46% | 1.00% | 6/20/2025 | USD | 22,475,000 | $449,782 | $232,085 | $217,697 | ||||||||
Markit CDX.NA.IG.37 Index (Receive Quarterly) | 0.53% | 1.00% | 12/20/2026 | USD | 14,000,000 | 338,382 | 325,681 | 12,701 | ||||||||
Subtotal Appreciation | $788,164 | $557,766 | $230,398 | |||||||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.25% | 1.00% | 6/20/2023 | USD | 7,550,000 | $100,485 | $114,038 | $(13,553) | ||||||||
iTraxx Europe & Crossover Series 35 (Receive Quarterly) | 2.35% | 5.00% | 6/20/2026 | EUR | 6,400,000 | 875,495 | 917,063 | (41,568) |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Markit CDX.NA.IG.36 Index (Receive Quarterly) | 0.48% | 1.00% | 6/20/2026 | USD | 18,600,000 | $453,517 | $457,606 | $(4,089) | ||||||||
iTraxx Europe & Crossover Series 36 (Receive Quarterly) | 2.53% | 5.00% | 12/20/2026 | EUR | 4,900,000 | 678,665 | 704,812 | (26,147) | ||||||||
Markit CDX.NA.IG.37 Index (Receive Quarterly) | 0.53% | 1.00% | 12/20/2026 | USD | 69,129,000 | 1,670,859 | 1,678,068 | (7,209) | ||||||||
Subtotal Depreciation | $3,779,021 | $3,871,587 | $(92,566) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection outstanding at September 30, 2021 | $4,567,185 | $4,429,353 | $137,832 |
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 | $(291,138) | $10,600 | $(301,738) | ||||||||
$(291,138) | $10,600 | $(301,738) |
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-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 5,804,074 | $12,363 | $— | $12,363 | |||||||
2.85% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 12,735,575 | 33,791 | (83) | 33,874 | |||||||
2.86% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 22,364,363 | 59,315 | (495) | 59,810 | |||||||
3-Month LIBOR (Quarterly) | 0.19% (Semiannually) | 6/15/2022 | USD | 21,256,000 | 17,421 | (96) | 17,517 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 9/15/2022 | NZD | 18,340,000 | 5,826 | 626 | 5,200 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 12/15/2022 | NZD | 9,510,000 | (1,937) | (10,537) | 8,600 | |||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 10,262,469 | 53,831 | — | 53,831 | |||||||
3-Month ASX BBSW (Quarterly) | 0.19% (Quarterly) | 2/22/2023 | AUD | 98,600,000 | 10,342 | — | 10,342 | |||||||
3-Month CDOR (Semiannually) | 1.10% (Semiannually) | 6/15/2023 | CAD | 21,140,000 | (708) | (728) | 20 | |||||||
1.25% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/15/2023 | KRW | 5,554,169,927 | 27,395 | — | 27,395 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 9/15/2023 | CNY | 111,354,201 | 65,830 | 45,031 | 20,799 | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/21/2023 | USD | 18,500,000 | 10,426 | (8,162) | 18,588 | |||||||
6.20% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/13/2023 | MXN | 85,070,000 | 33,456 | (2,012) | 35,468 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 12/15/2023 | KRW | 3,772,620,000 | 9,808 | 1,488 | 8,320 | |||||||
9.20% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 1,793,550 | 3,543 | (432) | 3,975 | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 2/24/2024 | AUD | 23,170,000 | 20,104 | — | 20,104 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 3/16/2024 | KRW | 9,657,570,000 | 38,397 | 22,339 | 16,058 | |||||||
1-Month LIBOR + 0.09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 41,780,000 | 1,784 | — | 1,784 | |||||||
6.32% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 5,365,429 | 95,785 | — | 95,785 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.75% (Quarterly) | 9/15/2026 | CNY | 11,648,207 | 21,874 | 11,937 | 9,937 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
6.70% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/9/2026 | MXN | 36,200,000 | $35,744 | $380 | $35,364 | |||||||
(0.25)% (Annually) | 6-Month EURIBOR (Semiannually) | 12/15/2026 | EUR | 3,340,000 | 16,514 | (8,331) | 24,845 | |||||||
0.25% (Annually) | 3-Month STIBOR (Quarterly) | 12/15/2026 | SEK | 14,500,000 | 25,146 | 14,825 | 10,321 | |||||||
1.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/15/2026 | USD | 5,410,000 | (27,769) | (32,192) | 4,423 | |||||||
1.70% (Annually) | 6-Month WIBOR (Semiannually) | 12/15/2026 | PLN | 1,400,000 | 4,602 | 263 | 4,339 | |||||||
8.50% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 5,028,649 | 74,560 | — | 74,560 | |||||||
9.90% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 1,647,005 | 8,009 | (1,135) | 9,144 | |||||||
0.71% (Annually) | 1-Day SOFR (Annually) | 5/15/2027 | USD | 22,990,000 | 235,004 | 24,706 | 210,298 | |||||||
1.68% (Semiannually) | 3-Month CDOR (Semiannually) | 8/22/2028 | CAD | 11,720,000 | 168,163 | (12,022) | 180,185 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | 77,642 | 68,836 | 8,806 | |||||||
1.24% (Annually) | 6-Month NIBOR (Semiannually) | 10/29/2030 | NOK | 65,600,000 | 280,552 | 88,106 | 192,446 | |||||||
1.00% (Annually) | 1-Day SONIA (Annually) | 2/10/2031 | GBP | 5,330,000 | 23,131 | (100,212) | 123,343 | |||||||
3-Month STIBOR (Quarterly) | 1.27% (Annually) | 5/11/2031 | SEK | 30,840,000 | 1,362 | — | 1,362 | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/17/2031 | USD | 8,140,000 | (166,231) | (262,985) | 96,754 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/24/2031 | USD | 4,450,000 | 112,541 | 56,518 | 56,023 | |||||||
0.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/15/2031 | JPY | 721,720,000 | 42,378 | 22,583 | 19,795 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 12/15/2031 | GBP | 18,220,000 | 447,038 | (281,549) | 728,587 | |||||||
1.50% (Annually) | 6-Month NIBOR (Semiannually) | 12/15/2031 | NOK | 5,570,000 | 24,679 | 8,818 | 15,861 | |||||||
2.00% (Semiannually) | 3-Month CDOR (Semiannually) | 12/15/2031 | CAD | 6,140,000 | 6,786 | (107,118) | 113,904 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 3/16/2032 | GBP | 6,200,000 | 171,978 | (47,814) | 219,792 | |||||||
2.00% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 3/17/2032 | AUD | 1,430,000 | 18,818 | 6,315 | 12,503 | |||||||
1.63% (Annually) | 1-Day SOFR (Annually) | 9/22/2036 | USD | 10,960,000 | 118,027 | 3,371 | 114,656 | |||||||
0.61% (Annually) | 6-Month EURIBOR (Semiannually) | 7/22/2041 | EUR | 8,960,000 | 246,537 | 72,400 | 174,137 | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 12/15/2041 | EUR | 130,000 | 295 | (4,472) | 4,767 | |||||||
0.56% (Annually) | 1-Day SOFR (Annually) | 7/20/2045 | USD | 5,310,000 | 1,077,113 | 70,079 | 1,007,034 | |||||||
0.74% (Annually) | 1-Day SOFR (Annually) | 8/19/2045 | USD | 3,610,000 | 602,994 | — | 602,994 | |||||||
0.80% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2045 | USD | 1,668,000 | 354,288 | 76,382 | 277,906 | |||||||
1.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 8,077,000 | 1,464,860 | 97,887 | 1,366,973 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,621,000 | 224,836 | 8,929 | 215,907 | |||||||
1.23% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 905,000 | 120,795 | 1,039 | 119,756 | |||||||
1.52% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 2,248,000 | 22,555 | (49,391) | 71,946 | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,769,000 | 94,947 | 9,710 | 85,237 | |||||||
1.63% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 5,134,000 | 252,239 | 29,337 | 222,902 | |||||||
0.90% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2050 | USD | 2,110,000 | 471,717 | (64) | 471,781 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 10/7/2050 | USD | 1,114,000 | 168,542 | (487) | 169,029 | |||||||
1.67% (Semiannually) | 3-Month LIBOR (Quarterly) | 7/9/2051 | USD | 2,945,000 | 127,163 | (13,125) | 140,288 | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/15/2051 | USD | 4,170,000 | (146,788) | (360,971) | 214,183 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 3/16/2052 | GBP | 8,200,000 | 690,574 | (143,996) | 834,570 | |||||||
Subtotal Appreciation | $7,989,987 | $(706,504) | $8,696,491 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 18,510,000 | $(8,848) | $— | $(8,848) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.36% (Upon termination) | 1/3/2022 | BRL | 286,224,050 | (323,906) | 102,156 | (426,062) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.35% (Upon termination) | 1/3/2022 | BRL | 94,028,297 | (178,839) | 287 | (179,126) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.70% (Upon termination) | 1/3/2022 | BRL | 88,138,258 | (142,267) | (17,065) | (125,202) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.98% (Upon termination) | 1/3/2022 | BRL | 31,092,652 | (40,724) | — | (40,724) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.39% (Upon termination) | 1/3/2022 | BRL | 14,546,447 | (29,131) | — | (29,131) |
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) | 7.20% (Upon termination) | 1/2/2023 | BRL | 11,043,254 | $(38,061) | $1,084 | $(39,145) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.23% (Upon termination) | 1/2/2023 | BRL | 3,551,131 | (30,320) | — | (30,320) | |||||||
3-Month CDOR (Semiannually) | 0.80% (Semiannually) | 2/28/2023 | CAD | 158,430,000 | (76,312) | (19,854) | (56,458) | |||||||
0.45% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/15/2023 | USD | 19,100,000 | (8,458) | 487 | (8,945) | |||||||
3-Month CDOR (Semiannually) | 1.20% (Semiannually) | 9/21/2023 | CAD | 22,870,000 | (18,860) | 10,620 | (29,480) | |||||||
6-Month EURIBOR (Semiannually) | (0.50)% (Annually) | 12/15/2023 | EUR | 2,640,000 | (5,986) | (2,721) | (3,265) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 2,302,419 | (32,867) | — | (32,867) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.00% (Annually) | 3/17/2024 | JPY | 750,000,000 | 5,997 | 11,605 | (5,608) | |||||||
0.49% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 6/29/2024 | AUD | 9,720,000 | (4,797) | 307 | (5,104) | |||||||
3-Month CDOR (Semiannually) | 1.56% (Semiannually) | 8/22/2025 | CAD | 16,510,000 | (78,543) | 7,820 | (86,363) | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 3,720,000 | (34,239) | — | (34,239) | |||||||
1-Day ESTR (Annually) | (0.25)% (Annually) | 12/15/2026 | EUR | 580,000 | 2,763 | 5,138 | (2,375) | |||||||
1-Day SONIA (Annually) | 0.50% (Annually) | 12/15/2026 | GBP | 35,800,000 | (675,891) | (58,813) | (617,078) | |||||||
1.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2028 | USD | 19,865,000 | (958) | 27,321 | (28,279) | |||||||
1.35% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2028 | USD | 30,090,000 | (192,378) | 26,354 | (218,732) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 2/12/2031 | EUR | 6,900,000 | 27,553 | 137,981 | (110,428) | |||||||
2.13% (Annually) | 6-Month NIBOR (Semiannually) | 5/11/2031 | NOK | 28,750,000 | (7,209) | — | (7,209) | |||||||
6-Month EURIBOR (Semiannually) | 0.22% (Annually) | 7/22/2031 | EUR | 16,080,000 | (251,965) | (28,864) | (223,101) | |||||||
6-Month EURIBOR (Semiannually) | 0.25% (Annually) | 9/2/2031 | EUR | 6,800,000 | (100,143) | (25,582) | (74,561) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 3.00% (Semiannually) | 9/16/2031 | NZD | 910,000 | 9,277 | 22,419 | (13,142) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 9/16/2031 | EUR | 4,100,000 | (1,455) | 36,595 | (38,050) | |||||||
1-Day SOFR (Annually) | 1.53% (Annually) | 9/22/2031 | USD | 9,100,000 | (99,721) | 1,015 | (100,736) | |||||||
1-Day SONIA (Annually) | 1.00% (Annually) | 9/23/2031 | GBP | 3,690,000 | (21,790) | 23,900 | (45,690) | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 12/15/2031 | USD | 6,420,000 | 98,109 | 231,012 | (132,903) | |||||||
3-Month STIBOR (Quarterly) | 0.75% (Annually) | 12/15/2031 | SEK | 24,900,000 | (48,509) | 5,889 | (54,398) | |||||||
6-Month ASX BBSW (Semiannually) | 2.00% (Semiannually) | 12/15/2031 | AUD | 710,000 | 14,227 | 22,199 | (7,972) | |||||||
6-Month EURIBOR (Semiannually) | 0.00% (Annually) | 12/15/2031 | EUR | 680,000 | (14,652) | (1,861) | (12,791) | |||||||
1-Day SONIA (Annually) | 1.00% (Annually) | 3/17/2032 | GBP | 1,770,000 | (12,582) | (3,823) | (8,759) | |||||||
3-Month STIBOR (Quarterly) | 1.00% (Annually) | 3/17/2032 | SEK | 11,010,000 | (19,835) | (8,768) | (11,067) | |||||||
Swiss Average Overnight Rate (Annually) | 0.50% (Annually) | 3/17/2032 | CHF | 1,120,000 | 1,189 | 8,464 | (7,275) | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2038 | JPY | 489,200,000 | (341,630) | 34,429 | (376,059) | |||||||
1.73% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 2,706,000 | (105,225) | — | (105,225) | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 6,273,000 | (197,342) | 19,314 | (216,656) | |||||||
0.54% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/15/2051 | JPY | 138,000,000 | (6,378) | (3,301) | (3,077) | |||||||
0.56% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/15/2051 | JPY | 222,000,000 | (20,698) | (712) | (19,986) | |||||||
0.35% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/17/2051 | JPY | 111,000,000 | 47,900 | 60,944 | (13,044) | |||||||
0.57% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2051 | JPY | 106,000,000 | (13,552) | — | (13,552) | |||||||
0.57% (Semiannually) | 6-Month LIBOR (Semiannually) | 4/7/2051 | JPY | 48,000,000 | (7,440) | — | (7,440) | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/3/2051 | USD | 1,164,000 | (44,746) | 10,953 | (55,699) | |||||||
3-Month CDOR (Semiannually) | 2.25% (Semiannually) | 12/15/2051 | CAD | 6,290,000 | (165,487) | 84,730 | (250,217) | |||||||
3-Month CDOR (Semiannually) | 2.18% (Semiannually) | 8/22/2052 | CAD | 1,240,000 | (59,667) | 8,518 | (68,185) | |||||||
Subtotal Depreciation | $(3,254,396) | $730,177 | $(3,984,573) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at September 30, 2021 | $4,735,591 | $23,673 | $4,711,918 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 12/2021 | 13 | $3,062,006 | $(102,121) | ||||
Euro-OAT | 12/2021 | (1) | (192,228) | 2,994 | ||||
10-Year Japanese E-Mini | 12/2021 | 175 | 23,821,825 | (93,859) | ||||
Euro-Bobl | 12/2021 | (17) | (2,657,035) | 17,833 | ||||
Euro-Bund | 12/2021 | (17) | (3,344,087) | 54,812 | ||||
Euro-Schatz | 12/2021 | 86 | 11,177,649 | (8,621) | ||||
90-Day Eurodollar | 12/2021 | (146) | (36,437,950) | (21,900) | ||||
10-Year Commonwealth Treasury Bond | 12/2021 | 16 | 1,636,442 | (29,982) | ||||
10-Year Bond | 12/2021 | 13 | 1,469,248 | (27,338) | ||||
10-Year U.S. Treasury Note | 12/2021 | 47 | 6,185,641 | (68,406) | ||||
U.S. Treasury Long Bond | 12/2021 | (1) | (159,219) | (9,306) | ||||
Ultra 10-Year U.S. Treasury Note | 12/2021 | (83) | (12,055,750) | 161,931 | ||||
Ultra Long U.S. Treasury Bond | 12/2021 | (59) | (11,272,688) | 296,870 | ||||
Long GILT | 12/2021 | 31 | 5,227,440 | (143,337) | ||||
2-Year U.S. Treasury Note | 12/2021 | 241 | 53,033,180 | (26,576) | ||||
5-Year U.S. Treasury Note | 12/2021 | (381) | (46,764,773) | 258,905 | ||||
90-Day Eurodollar | 12/2023 | 146 | 36,082,075 | (182,500) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $28,811,776 | $79,399 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/20/21 | U.S. Dollars | 263,903,448 | Euro | 222,765,454 | SS | $5,763,563 | ||||||
10/20/21 | U.S. Dollars | 18,247,359 | British Pounds | 13,189,452 | SS | 475,452 | ||||||
10/20/21 | U.S. Dollars | 15,173,830 | Euro | 12,826,676 | UBS | 310,319 | ||||||
10/20/21 | U.S. Dollars | 15,060,789 | Euro | 12,744,648 | CITI | 292,331 | ||||||
10/20/21 | U.S. Dollars | 8,728,598 | Australian Dollars | 11,695,488 | SC | 272,564 | ||||||
10/20/21 | U.S. Dollars | 11,671,293 | Swiss Francs | 10,672,502 | SC | 213,759 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/20/21 | U.S. Dollars | 4,025,117 | Brazilian Reals | 21,045,487 | CITI | $172,695 | ||||||
10/20/21 | U.S. Dollars | 11,546,341 | Canadian Dollars | 14,454,230 | SS | 134,867 | ||||||
10/20/21 | U.S. Dollars | 5,292,042 | Euro | 4,458,467 | RBC | 125,586 | ||||||
10/20/21 | U.S. Dollars | 6,145,835 | Swiss Francs | 5,612,131 | RBC | 120,895 | ||||||
10/20/21 | U.S. Dollars | 12,186,665 | Japanese Yen | 1,344,080,263 | SS | 108,265 | ||||||
10/19/21 | U.S. Dollars | 2,501,031 | South African Rand | 36,380,000 | GSC | 91,493 | ||||||
10/20/21 | U.S. Dollars | 4,990,920 | Swedish Kronor | 42,984,548 | SC | 80,159 | ||||||
10/20/21 | U.S. Dollars | 2,266,804 | Australian Dollars | 3,025,782 | RBC | 79,113 | ||||||
10/20/21 | Russian Rubles | 153,573,124 | U.S. Dollars | 2,024,869 | UBS | 78,659 | ||||||
10/19/21 | U.S. Dollars | 3,844,483 | Euro | 3,250,000 | CITI | 78,466 | ||||||
10/18/21 | Indian Rupees | 301,423,535 | U.S. Dollars | 3,984,870 | CITI | 65,804 | ||||||
10/20/21 | Russian Rubles | 215,803,022 | U.S. Dollars | 2,891,662 | SC | 64,243 | ||||||
10/20/21 | U.S. Dollars | 4,100,288 | New Zealand Dollars | 5,851,338 | CITI | 61,286 | ||||||
10/20/21 | U.S. Dollars | 772,582 | Chilean Pesos | 580,293,801 | CITI | 58,355 | ||||||
10/20/21 | U.S. Dollars | 1,669,367 | British Pounds | 1,202,559 | RBC | 48,999 | ||||||
10/20/21 | U.S. Dollars | 2,174,939 | Brazilian Reals | 11,616,521 | SC | 48,509 | ||||||
10/19/21 | Russian Rubles | 105,720,000 | U.S. Dollars | 1,401,444 | GSC | 46,843 | ||||||
10/20/21 | U.S. Dollars | 5,507,086 | New Zealand Dollars | 7,910,548 | SC | 46,672 | ||||||
10/20/21 | U.S. Dollars | 791,621 | Hungarian Forint | 234,839,935 | UBS | 35,269 | ||||||
10/20/21 | U.S. Dollars | 2,855,602 | Canadian Dollars | 3,572,441 | CITI | 35,195 | ||||||
10/20/21 | U.S. Dollars | 1,108,625 | South Korean Won | 1,274,951,944 | CITI | 32,364 | ||||||
10/20/21 | U.S. Dollars | 1,099,493 | Polish Zloty | 4,248,028 | SS | 31,447 | ||||||
10/20/21 | U.S. Dollars | 2,993,736 | Swedish Kronor | 25,947,676 | BNP | 29,351 | ||||||
10/20/21 | U.S. Dollars | 2,103,628 | Norwegian Kroner | 18,136,322 | CITI | 29,265 | ||||||
10/20/21 | U.S. Dollars | 845,455 | Australian Dollars | 1,130,213 | CITI | 28,292 | ||||||
10/20/21 | U.S. Dollars | 1,906,310 | Japanese Yen | 209,068,471 | SC | 27,542 | ||||||
10/20/21 | U.S. Dollars | 1,110,807 | Mexican Pesos | 22,528,873 | SC | 22,687 | ||||||
10/19/21 | South African Rand | 36,380,000 | U.S. Dollars | 2,387,922 | CITI | 21,615 | ||||||
10/20/21 | U.S. Dollars | 789,832 | British Pounds | 570,592 | CITI | 20,998 | ||||||
10/20/21 | Chinese Offshore Yuan | 17,335,926 | U.S. Dollars | 2,660,884 | SC | 20,987 | ||||||
10/20/21 | U.S. Dollars | 1,160,717 | Swiss Francs | 1,062,973 | UBS | 19,555 | ||||||
10/20/21 | U.S. Dollars | 1,593,181 | Japanese Yen | 175,204,352 | BNP | 18,729 | ||||||
10/20/21 | U.S. Dollars | 468,901 | Polish Zloty | 1,805,261 | SC | 15,019 | ||||||
10/20/21 | U.S. Dollars | 712,887 | South African Rand | 10,538,726 | SS | 14,977 | ||||||
10/20/21 | U.S. Dollars | 565,278 | Hungarian Forint | 170,955,840 | SC | 14,679 | ||||||
10/20/21 | U.S. Dollars | 848,351 | Swiss Francs | 777,713 | SS | 13,432 | ||||||
10/20/21 | Norwegian Kroner | 9,620,403 | U.S. Dollars | 1,087,719 | BNP | 12,626 | ||||||
10/20/21 | U.S. Dollars | 753,450 | Canadian Dollars | 938,880 | RBC | 12,213 | ||||||
10/20/21 | U.S. Dollars | 1,613,653 | Canadian Dollars | 2,028,920 | BNP | 11,840 | ||||||
10/20/21 | U.S. Dollars | 1,500,253 | Czech Republic Koruna | 32,596,713 | BNP | 11,240 | ||||||
10/20/21 | U.S. Dollars | 404,666 | Mexican Pesos | 8,153,596 | BNP | 10,857 | ||||||
10/19/21 | Euro | 794,546 | Polish Zloty | 3,620,000 | CITI | 10,552 | ||||||
10/20/21 | U.S. Dollars | 525,728 | Euro | 444,705 | SC | 10,405 | ||||||
10/20/21 | U.S. Dollars | 410,605 | Mexican Pesos | 8,317,078 | SS | 8,899 | ||||||
10/20/21 | U.S. Dollars | 349,016 | South African Rand | 5,164,523 | BNP | 7,004 | ||||||
10/20/21 | Turkish Lira | 11,918,698 | U.S. Dollars | 1,320,480 | SS | 5,463 | ||||||
10/20/21 | U.S. Dollars | 360,683 | New Zealand Dollars | 516,418 | RBC | 4,215 | ||||||
10/20/21 | Norwegian Kroner | 18,282,171 | U.S. Dollars | 2,087,311 | SC | 3,733 | ||||||
10/20/21 | U.S. Dollars | 749,803 | Norwegian Kroner | 6,524,089 | BNP | 3,603 | ||||||
10/18/21 | U.S. Dollars | 4,054,116 | Indian Rupees | 301,423,535 | CITI | 3,443 | ||||||
10/20/21 | U.S. Dollars | 159,460 | Swedish Kronor | 1,365,893 | RBC | 3,414 | ||||||
10/20/21 | U.S. Dollars | 77,478 | Polish Zloty | 300,000 | UBS | 2,051 | ||||||
10/19/21 | U.S. Dollars | 82,380 | Mexican Pesos | 1,667,392 | CITI | 1,834 | ||||||
10/20/21 | U.S. Dollars | 176,320 | Canadian Dollars | 221,271 | SC | 1,629 | ||||||
10/20/21 | U.S. Dollars | 237,581 | New Zealand Dollars | 342,059 | BNP | 1,468 | ||||||
10/20/21 | Australian Dollars | 158,389 | U.S. Dollars | 113,460 | SC | 1,058 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/20/21 | U.S. Dollars | 98,643 | British Pounds | 72,499 | SC | $955 | ||||||
10/20/21 | U.S. Dollars | 164,206 | Norwegian Kroner | 1,427,702 | SC | 911 | ||||||
10/20/21 | U.S. Dollars | 91,244 | Swedish Kronor | 790,706 | SS | 910 | ||||||
10/20/21 | U.S. Dollars | 96,332 | Japanese Yen | 10,647,939 | CITI | 646 | ||||||
10/20/21 | U.S. Dollars | 26,036 | Swiss Francs | 23,842 | BNP | 440 | ||||||
10/20/21 | U.S. Dollars | 20,822 | Czech Republic Koruna | 450,000 | UBS | 266 | ||||||
10/20/21 | U.S. Dollars | 7,538 | British Pounds | 5,453 | BNP | 190 | ||||||
Subtotal Appreciation | $9,402,165 | |||||||||||
10/20/21 | South African Rand | 1,403 | U.S. Dollars | 96 | RBC | $(3) | ||||||
10/20/21 | Swiss Francs | 71,886 | U.S. Dollars | 77,548 | BNP | (374) | ||||||
10/20/21 | Czech Republic Koruna | 2,300,136 | U.S. Dollars | 106,076 | RBC | (1,007) | ||||||
10/20/21 | Japanese Yen | 10,245,516 | U.S. Dollars | 93,308 | SS | (1,238) | ||||||
10/20/21 | Swedish Kronor | 3,431,585 | U.S. Dollars | 393,364 | SC | (1,324) | ||||||
10/20/21 | U.S. Dollars | 96,747 | Norwegian Kroner | 857,967 | SC | (1,384) | ||||||
10/20/21 | U.S. Dollars | 1,205,450 | Japanese Yen | 134,296,191 | SC | (1,385) | ||||||
10/20/21 | U.S. Dollars | 1,017,885 | Norwegian Kroner | 8,916,706 | UBS | (1,973) | ||||||
10/20/21 | Mexican Pesos | 2,140,706 | U.S. Dollars | 105,687 | CITI | (2,293) | ||||||
10/20/21 | Polish Zloty | 388,709 | U.S. Dollars | 100,666 | CITI | (2,936) | ||||||
10/20/21 | Japanese Yen | 41,785,265 | U.S. Dollars | 378,604 | BNP | (3,106) | ||||||
10/19/21 | Brazilian Reals | 593,000 | U.S. Dollars | 111,706 | CITI | (3,139) | ||||||
10/20/21 | South African Rand | 5,600,314 | U.S. Dollars | 374,045 | BNP | (3,174) | ||||||
10/20/21 | Hungarian Forint | 36,669,187 | U.S. Dollars | 122,020 | RBC | (3,919) | ||||||
10/20/21 | Czech Republic Koruna | 9,393,086 | U.S. Dollars | 433,008 | SC | (3,933) | ||||||
10/20/21 | Norwegian Kroner | 43,113,292 | U.S. Dollars | 4,935,575 | CITI | (4,443) | ||||||
01/18/22 | Indian Rupees | 301,423,535 | U.S. Dollars | 4,013,095 | CITI | (4,966) | ||||||
10/20/21 | Swedish Kronor | 6,415,372 | U.S. Dollars | 739,939 | BNP | (7,016) | ||||||
10/20/21 | Czech Republic Koruna | 16,304,593 | U.S. Dollars | 751,880 | CITI | (7,089) | ||||||
10/20/21 | Polish Zloty | 1,957,642 | U.S. Dollars | 500,763 | SC | (8,569) | ||||||
10/20/21 | Japanese Yen | 115,825,811 | U.S. Dollars | 1,049,582 | UBS | (8,729) | ||||||
10/20/21 | Polish Zloty | 1,433,443 | U.S. Dollars | 370,482 | BNP | (10,084) | ||||||
10/20/21 | Euro | 377,880 | U.S. Dollars | 449,076 | RBC | (11,191) | ||||||
10/20/21 | Canadian Dollars | 3,920,245 | U.S. Dollars | 3,107,042 | CITI | (12,046) | ||||||
10/20/21 | U.S. Dollars | 808,115 | Russian Rubles | 60,006,563 | BNP | (13,809) | ||||||
10/20/21 | U.S. Dollars | 1,317,003 | Turkish Lira | 11,970,755 | RBC | (14,731) | ||||||
10/20/21 | British Pounds | 588,908 | U.S. Dollars | 808,813 | UBS | (15,298) | ||||||
10/20/21 | Swiss Francs | 1,722,526 | U.S. Dollars | 1,864,984 | SC | (15,755) | ||||||
10/20/21 | Mexican Pesos | 11,128,938 | U.S. Dollars | 553,332 | RBC | (15,816) | ||||||
10/20/21 | U.S. Dollars | 408,893 | Russian Rubles | 31,011,905 | UBS | (15,884) | ||||||
10/20/21 | South African Rand | 11,639,916 | U.S. Dollars | 787,385 | SC | (16,551) | ||||||
10/19/21 | Euro | 1,210,000 | U.S. Dollars | 1,419,819 | CITI | (17,703) | ||||||
10/20/21 | British Pounds | 500,000 | U.S. Dollars | 694,089 | RBC | (20,373) | ||||||
10/20/21 | Euro | 707,267 | U.S. Dollars | 840,542 | CITI | (20,962) | ||||||
01/18/22 | U.S. Dollars | 2,357,668 | South African Rand | 36,380,000 | CITI | (21,158) | ||||||
10/20/21 | Swiss Francs | 1,795,045 | U.S. Dollars | 1,948,428 | CITI | (21,346) | ||||||
10/20/21 | U.S. Dollars | 5,503,797 | Norwegian Kroner | 48,308,887 | SS | (21,586) | ||||||
10/20/21 | Polish Zloty | 3,151,405 | U.S. Dollars | 815,660 | SS | (23,329) | ||||||
10/20/21 | Mexican Pesos | 25,598,581 | U.S. Dollars | 1,261,117 | BNP | (24,734) | ||||||
10/20/21 | Japanese Yen | 354,017,936 | U.S. Dollars | 3,209,990 | CITI | (28,655) | ||||||
10/19/21 | Australian Dollars | 3,163,635 | U.S. Dollars | 2,316,578 | CITI | (29,228) | ||||||
10/20/21 | Swedish Kronor | 20,640,021 | U.S. Dollars | 2,388,827 | CITI | (30,813) | ||||||
10/20/21 | Hungarian Forint | 373,386,382 | U.S. Dollars | 1,234,879 | SS | (32,309) | ||||||
10/20/21 | South Korean Won | 1,274,663,633 | U.S. Dollars | 1,108,375 | CITI | (32,356) | ||||||
10/20/21 | Norwegian Kroner | 43,623,989 | U.S. Dollars | 5,022,742 | RBC | (33,199) | ||||||
10/20/21 | Polish Zloty | 3,706,086 | U.S. Dollars | 965,567 | RBC | (33,777) | ||||||
10/20/21 | British Pounds | 1,201,838 | U.S. Dollars | 1,658,039 | SS | (38,643) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/20/21 | Swedish Kronor | 21,511,398 | U.S. Dollars | 2,497,675 | SS | $(40,109) | ||||||
10/19/21 | Canadian Dollars | 6,048,964 | U.S. Dollars | 4,815,955 | CITI | (40,349) | ||||||
10/20/21 | U.S. Dollars | 4,922,420 | Chinese Offshore Yuan | 32,099,667 | SC | (43,404) | ||||||
10/20/21 | U.S. Dollars | 2,618,188 | Russian Rubles | 194,754,149 | SC | (49,405) | ||||||
10/20/21 | New Zealand Dollars | 8,324,722 | U.S. Dollars | 5,795,821 | SS | (49,515) | ||||||
10/20/21 | Japanese Yen | 660,162,753 | U.S. Dollars | 5,988,854 | RBC | (56,389) | ||||||
10/19/21 | Canadian Dollars | 3,560,000 | U.S. Dollars | 2,867,887 | GSC | (57,297) | ||||||
10/20/21 | Chilean Pesos | 580,285,817 | U.S. Dollars | 772,571 | CITI | (58,354) | ||||||
10/20/21 | Swiss Francs | 2,858,939 | U.S. Dollars | 3,127,964 | SS | (58,732) | ||||||
10/20/21 | Brazilian Reals | 15,690,978 | U.S. Dollars | 2,937,791 | SC | (65,523) | ||||||
10/19/21 | British Pounds | 1,750,000 | U.S. Dollars | 2,429,016 | CITI | (71,010) | ||||||
10/20/21 | Euro | 3,560,720 | U.S. Dollars | 4,197,769 | BNP | (71,618) | ||||||
10/19/21 | British Pounds | 2,019,249 | U.S. Dollars | 2,795,043 | GSC | (74,242) | ||||||
10/20/21 | Australian Dollars | 4,202,672 | U.S. Dollars | 3,114,260 | BNP | (75,658) | ||||||
10/20/21 | Australian Dollars | 4,948,914 | U.S. Dollars | 3,664,153 | CITI | (86,006) | ||||||
10/20/21 | Canadian Dollars | 10,642,574 | U.S. Dollars | 8,502,971 | SC | (100,762) | ||||||
10/19/21 | South Korean Won | 3,422,044,000 | U.S. Dollars | 2,995,198 | CITI | (106,377) | ||||||
10/20/21 | Japanese Yen | 1,461,989,460 | U.S. Dollars | 13,255,674 | SC | (117,698) | ||||||
10/20/21 | Brazilian Reals | 22,513,111 | U.S. Dollars | 4,305,811 | CITI | (184,738) | ||||||
10/20/21 | Australian Dollars | 11,902,147 | U.S. Dollars | 8,888,952 | SS | (283,502) | ||||||
10/20/21 | British Pounds | 10,584,910 | U.S. Dollars | 14,649,674 | SC | (387,213) | ||||||
10/19/21 | Japanese Yen | 3,079,952,000 | U.S. Dollars | 28,067,461 | CITI | (390,070) | ||||||
10/20/21 | Euro | 27,785,639 | U.S. Dollars | 32,895,037 | SS | (697,129) | ||||||
10/20/21 | Euro | 46,514,435 | U.S. Dollars | 55,026,112 | UBS | (1,125,335) | ||||||
10/19/21 | Euro | 41,796,940 | U.S. Dollars | 49,638,673 | GSC | (1,205,448) | ||||||
10/20/21 | Euro | 139,916,948 | U.S. Dollars | 165,713,575 | SC | (3,578,270) | ||||||
Subtotal Depreciation | $(9,717,489) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $(315,324) |
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 Credit Indexes—Buy Protection | ||||||||||||||||
iTraxx Europe & Crossover Series 36 (Pay Quarterly) | (5.00)% | 12/20/2026 | CITI | EUR | 11,707,000 | $(1,621,456) | $(1,637,869) | $16,413 | ||||||||
$(1,621,456) | $(1,637,869) | $16,413 |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $4,360.00, Expires 10/01/21 (MSCS) | (48) | $(20,676,192) | $(244,368) | ||
S&P 500®, Strike Price $4,375.00, Expires 10/04/21 (MSCS) | (48) | (20,676,192) | (333,120) | ||
(2,412,163) | |||||
Total Written Options (Premiums received $(1,282,050)) | (2,421,908) | ||||
Liabilities in Excess of Other Assets — (2.9)% | (41,835,946) | ||||
NET ASSETS — 100.0% | $1,434,190,535 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/31/21 | U.S. Dollars | 16,203,573 | Euro | 13,783,529 | GSC | $202,864 | ||||||
12/30/21 | U.S. Dollars | 17,134,638 | Swiss Francs | 15,764,895 | MSCS | 175,786 | ||||||
12/30/21 | U.S. Dollars | 2,731,393 | Japanese Yen | 299,166,750 | BOA | 40,532 | ||||||
12/30/21 | U.S. Dollars | 589,280 | Swedish Kronor | 5,096,025 | UBS | 6,502 | ||||||
12/30/21 | Swiss Francs | 404,534 | U.S. Dollars | 433,987 | MSCS | 1,184 | ||||||
Subtotal Appreciation | $426,868 | |||||||||||
12/30/21 | U.S. Dollars | 71,206 | Japanese Yen | 7,936,470 | BOA | $(179) | ||||||
Subtotal Depreciation | $(179) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $426,689 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Canadian Dollars/U.S. Dollars | 12/2021 | 6 | $473,940 | $361 | ||||
MSCI EAFE Index | 12/2021 | 46 | 5,214,100 | (246,482) | ||||
MSCI Emerging Markets | 12/2021 | 41 | 2,553,480 | (120,711) | ||||
S&P/TSX 60 Index | 12/2021 | 3 | 566,604 | (13,977) | ||||
10-Year U.S. Treasury Note | 12/2021 | (40) | (5,264,375) | 69,375 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2021 | (8) | (1,162,000) | 22,008 | ||||
Ultra Long U.S. Treasury Bond | 12/2021 | 33 | 6,305,062 | (219,618) | ||||
2-Year U.S. Treasury Note | 12/2021 | 25 | 5,501,367 | (3,125) | ||||
5-Year U.S. Treasury Note | 12/2021 | 8 | 981,938 | (6,187) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $15,170,116 | $(518,356) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2021 | 338 | $72,631,975 | $(2,931,658) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2021 | 218 | $46,845,475 | $(1,860,400) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/31/21 | U.S. Dollars | 21,170,586 | Euro | 18,009,171 | CS | $264,511 | ||||||
12/31/21 | U.S. Dollars | 14,590,944 | British Pounds | 10,686,956 | JPM | 187,493 | ||||||
12/30/21 | U.S. Dollars | 11,311,676 | Swiss Francs | 10,408,186 | MSCS | 115,223 | ||||||
12/31/21 | Euro | 400,375 | U.S. Dollars | 464,248 | CS | 530 | ||||||
Subtotal Appreciation | $567,757 | |||||||||||
12/31/21 | U.S. Dollars | 432,452 | British Pounds | 321,200 | JPM | $(449) | ||||||
Subtotal Depreciation | $(449) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $567,308 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2021 | 268 | $57,589,850 | $(1,945,061) |
Shares | Value | |||
United Kingdom — 0.3% | ||||
Gates Industrial Corporation PLC* | 101,686 | $1,654,431 | ||
LivaNova PLC* | 6,653 | 526,851 | ||
Luxfer Holdings PLC | 19,564 | 384,041 | ||
2,565,323 | ||||
Total Foreign Common Stocks (Cost $20,410,352) | 22,120,990 | |||
MASTER LIMITED PARTNERSHIP — 0.2% | ||||
Enviva Partners LP (Cost $929,834) | 22,497 | 1,216,863 | ||
RIGHTS — 0.0% | ||||
Aduro Biotech, Inc.†††Δ* (Cost $—) | 2,714 | — | ||
MONEY MARKET FUNDS — 6.0% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 26,819,412 | 26,819,412 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 22,776,164 | 22,776,164 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 42,812 | 42,812 | ||
Total Money Market Funds (Cost $49,638,388) | 49,638,388 | |||
TOTAL INVESTMENTS — 102.6% (Cost $697,386,323) | 849,006,123 | |||
Liabilities in Excess of Other Assets — (2.6)% | (21,117,118) | |||
NET ASSETS — 100.0% | $827,889,005 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CME Russell 2000 Index E-Mini | 12/2021 | 237 | $26,079,480 | $(225,756) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/30/21 | U.S. Dollars | 1,037,622 | Swedish Kronor | 8,975,272 | UBS | $11,215 | ||||||
12/30/21 | Swedish Kronor | 216,581 | U.S. Dollars | 24,632 | UBS | 136 | ||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $11,351 |
Shares | Value | |||
MONEY MARKET FUNDS — 5.2% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 22,871,912 | $22,871,912 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 15,875,457 | 15,875,457 | ||
Total Money Market Funds (Cost $38,747,369) | 38,747,369 | |||
TOTAL INVESTMENTS — 101.0% (Cost $649,800,758) | 761,834,045 | |||
Liabilities in Excess of Other Assets — (1.0)% | (7,196,815) | |||
NET ASSETS — 100.0% | $754,637,230 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2021 | 268 | $30,377,800 | $(1,192,898) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
AEX Index | 10/2021 | 31 | $5,532,333 | $(144,175) | ||||
CAC40 10 Euro | 10/2021 | 221 | 16,685,777 | (285,257) | ||||
IBEX 35 Index | 10/2021 | (117) | (11,948,599) | (113,483) | ||||
OMXS30 Index | 10/2021 | (31) | (797,893) | 19,764 | ||||
Hang Seng Index | 10/2021 | 25 | 3,937,878 | 29,412 | ||||
MSCI Singapore Index | 10/2021 | 71 | 1,848,468 | (22,778) | ||||
Topix Index® | 12/2021 | 221 | 40,319,916 | (744,808) | ||||
DAX Index | 12/2021 | (14) | (6,198,099) | 50,564 | ||||
FTSE 100 Index | 12/2021 | (292) | (27,830,035) | (245,527) | ||||
FTSE/MIB Index | 12/2021 | 72 | 10,580,694 | (103,585) | ||||
MSCI EAFE Index | 12/2021 | 395 | 44,773,250 | (1,913,242) | ||||
S&P/TSX 60 Index | 12/2021 | (57) | (10,765,467) | 265,346 | ||||
Total Futures Contracts outstanding at September 30, 2021 | $66,138,223 | $(3,207,769) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/15/21 | U.S. Dollars | 48,593,760 | Swiss Francs | 44,582,000 | CITI | $658,417 | ||||||
12/15/21 | U.S. Dollars | 18,338,695 | British Pounds | 13,361,000 | CITI | 333,258 | ||||||
12/15/21 | Australian Dollars | 39,877,000 | U.S. Dollars | 28,606,267 | CITI | 234,030 | ||||||
12/15/21 | U.S. Dollars | 17,066,655 | Japanese Yen | 1,873,588,000 | CITI | 219,589 | ||||||
12/15/21 | Norwegian Kroner | 137,398,000 | U.S. Dollars | 15,497,100 | CITI | 210,065 | ||||||
12/15/21 | U.S. Dollars | 14,980,445 | Australian Dollars | 20,558,000 | CITI | 112,255 | ||||||
12/15/21 | U.S. Dollars | 9,970,935 | New Zealand Dollars | 14,321,500 | CITI | 90,207 | ||||||
12/15/21 | U.S. Dollars | 2,163,190 | Swiss Francs | 1,934,000 | NT | 83,719 | ||||||
12/15/21 | Swedish Kronor | 71,803,500 | U.S. Dollars | 8,129,887 | CITI | 78,753 | ||||||
12/15/21 | U.S. Dollars | 3,935,343 | Euro | 3,337,000 | CITI | 63,402 | ||||||
12/15/21 | U.S. Dollars | 20,151,686 | Canadian Dollars | 25,444,000 | CITI | 63,144 | ||||||
12/15/21 | U.S. Dollars | 10,684,697 | Swedish Kronor | 92,928,000 | CITI | 61,085 | ||||||
12/15/21 | U.S. Dollars | 8,624,071 | Norwegian Kroner | 74,968,000 | CITI | 53,824 | ||||||
12/15/21 | Canadian Dollars | 2,079,500 | U.S. Dollars | 1,612,752 | CITI | 29,055 | ||||||
12/15/21 | U.S. Dollars | 1,372,526 | Danish Kroner | 8,634,000 | CITI | 25,523 | ||||||
12/15/21 | Hong Kong Dollars | 32,772,493 | U.S. Dollars | 4,207,578 | CITI | 3,135 | ||||||
12/15/21 | Israeli Shekels | 1,852,750 | U.S. Dollars | 572,965 | CITI | 2,154 | ||||||
12/15/21 | Japanese Yen | 58,275,000 | U.S. Dollars | 522,576 | CITI | 1,425 | ||||||
12/15/21 | Singapore Dollars | 268,625 | U.S. Dollars | 196,880 | CITI | 924 | ||||||
12/15/21 | U.S. Dollars | 151,728 | Singapore Dollars | 205,000 | CITI | 774 | ||||||
12/15/21 | U.S. Dollars | 119,371 | Israeli Shekels | 383,000 | CITI | 483 | ||||||
12/15/21 | U.S. Dollars | 611,852 | Hong Kong Dollars | 4,760,000 | CITI | 273 | ||||||
Subtotal Appreciation | $2,325,494 | |||||||||||
12/15/21 | Swiss Francs | 2,000 | U.S. Dollars | 2,192 | CITI | $(42) | ||||||
12/15/21 | U.S. Dollars | 32,159 | Israeli Shekels | 104,000 | CITI | (124) | ||||||
12/15/21 | U.S. Dollars | 48,394 | Singapore Dollars | 66,000 | CITI | (206) | ||||||
12/15/21 | U.S. Dollars | 681,386 | Hong Kong Dollars | 5,305,000 | CITI | (218) | ||||||
12/15/21 | Hong Kong Dollars | 32,146,494 | U.S. Dollars | 4,130,914 | CITI | (632) | ||||||
12/15/21 | Israeli Shekels | 3,294,250 | U.S. Dollars | 1,023,726 | CITI | (1,147) | ||||||
12/15/21 | U.S. Dollars | 2,588,448 | Canadian Dollars | 3,282,000 | CITI | (2,756) | ||||||
12/15/21 | U.S. Dollars | 956,241 | Swedish Kronor | 8,402,000 | CITI | (4,283) | ||||||
12/15/21 | U.S. Dollars | 11,330,671 | Swiss Francs | 10,548,000 | CITI | (10,722) | ||||||
12/15/21 | Singapore Dollars | 2,379,375 | U.S. Dollars | 1,765,113 | CITI | (13,039) | ||||||
12/15/21 | Canadian Dollars | 6,238,500 | U.S. Dollars | 4,945,085 | CITI | (19,665) | ||||||
12/15/21 | Danish Kroner | 10,652,000 | U.S. Dollars | 1,685,119 | CITI | (23,285) | ||||||
12/15/21 | U.S. Dollars | 7,148,486 | Australian Dollars | 9,951,000 | CITI | (48,389) | ||||||
12/15/21 | U.S. Dollars | 9,790,126 | New Zealand Dollars | 14,321,500 | CITI | (90,601) | ||||||
12/15/21 | New Zealand Dollars | 19,630,000 | U.S. Dollars | 13,703,797 | CITI | (160,615) | ||||||
12/15/21 | Swedish Kronor | 205,524,500 | U.S. Dollars | 23,693,307 | CITI | (197,563) | ||||||
12/15/21 | British Pounds | 14,414,000 | U.S. Dollars | 19,716,707 | CITI | (292,235) | ||||||
12/15/21 | Japanese Yen | 3,634,137,000 | U.S. Dollars | 33,024,539 | CITI | (346,841) | ||||||
12/15/21 | Norwegian Kroner | 345,430,000 | U.S. Dollars | 39,894,425 | CITI | (405,304) | ||||||
12/15/21 | Australian Dollars | 41,407,000 | U.S. Dollars | 30,398,365 | CITI | (451,524) | ||||||
12/15/21 | U.S. Dollars | 25,075,868 | Norwegian Kroner | 224,904,000 | CITI | (634,873) | ||||||
12/15/21 | Euro | 46,585,000 | U.S. Dollars | 54,816,008 | CITI | (763,150) | ||||||
Subtotal Depreciation | $(3,467,214) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $(1,141,720) |
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) | 10/28/2021 | GSC | HKD | 52,726,600 | $39,300 | $— | $39,300 | ||||||||
MSCI Australia Net Return AUD Index (Monthly) | Financing Index: 1-Month ASX BBSW + 0.05% | 12/15/2021 | GSC | AUD | 905,719 | 6,381 | — | 6,381 | ||||||||
MSCI Spain Net Return EUR Index (Monthly) | Financing Index: Euro Short Term Rate - 0.33% | 12/15/2021 | GSC | EUR | 8,401,104 | 101,442 | — | 101,442 | ||||||||
Subtotal Appreciation | $147,123 | $ — | $147,123 | |||||||||||||
Decrease in total return of Tel Aviv 35 Index (At Termination) | Increase in total return of Tel Aviv 35 Index (At Termination) | 10/29/2021 | GSC | ILS | 4,685,876 | $(6,726) | $— | $(6,726) | ||||||||
Financing Index: 1-Month HIBOR - 0.05% | MSCI Hong Kong Net Return HKD Index (Monthly) | 12/15/2021 | GSC | HKD | 1,943,443 | (17,488) | — | (17,488) | ||||||||
Financing Index: Bank of Japan Unsecured Overnight Call Rate - 0.45% | MSCI Japan Net Return JPY Index (Monthly) | 12/15/2021 | GSC | JPY | 56,125,353 | (9,017) | — | (9,017) | ||||||||
Financing Index: Euro Short Term Rate - 0.61% | MSCI Italy Net Return EUR Index (Monthly) | 12/15/2021 | GSC | EUR | 2,695,311 | (22,409) | — | (22,409) | ||||||||
Financing Index: Euro Short Term Rate + 0.02% | MSCI Netherlands Net Return EUR Index (Monthly) | 12/15/2021 | GSC | EUR | 95,753 | (8,112) | — | (8,112) | ||||||||
Financing Index: Overnight Bank Funding Rate - 0.3% | MSCI Daily TR Net Israel Index (Monthly) | 12/15/2021 | JPM | USD | 48,374 | (1,404) | — | (1,404) | ||||||||
Decrease in total return of Swiss Market Index (At Termination) | Increase in total return of Swiss Market Index (At Termination) | 12/17/2021 | CITI | CHF | 7,192,620 | (295,431) | — | (295,431) | ||||||||
Subtotal Depreciation | $(360,587) | $ — | $(360,587) | |||||||||||||
Net Total Return Swaps outstanding at September 30, 2021 | $(213,464) | $ — | $(213,464) |
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 RBA minus a specified spread(-0.40%), which is denominated in AUD based on the local currencies of the positions within the swap (Monthly). | 47-60 months maturity ranging from 08/08/2025 - 09/04/2026 | GSC
| $12,027,515 | $85,773 | $— | $85,773 | ||||||
The Fund receives the total return on a portfolio of short 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. | 47 months maturity 08/08/2025 | GSC
| 5,231,263 | 78,804 | — | 78,804 | ||||||
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). | 47-56 months maturity ranging from 08/08/2025 - 05/11/2026 | GSC
| 7,506,540 | 80,088 | — | 80,088 |
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 STIBOR minus a specified spread(-0.35%), which is denominated in SEK based on the local currencies of the positions within the swap (Monthly). | 47-56 months maturity ranging from 08/08/2025 - 05/25/2026 | GSC
| $25,126,930 | $305,506 | $— | $305,506 | ||||||
Subtotal Appreciation | $550,171 | $ — | $550,171 |
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 LIBOR minus a specified spread(-0.35%), which is denominated in CHF based on the local currencies of the positions within the swap (Monthly). | 47-57 months maturity ranging from 08/08/2025 - 06/12/2026 | GSC
| $4,332,075 | $(380,264) | $— | $(380,264) | ||||||
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(-.35% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swap (Monthly).* | 47-60 months maturity ranging from 08/08/2025 - 09/04/2026 | GSC
| 48,537,180 | (443,981) | — | (443,981) | ||||||
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).** | 47-60 months maturity ranging from 08/08/2025 - 09/18/2026 | GSC
| 37,084,530 | (812,283) | — | (812,283) | ||||||
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). | 47-60 months maturity ranging from 08/08/2025 - 09/18/2026 | GSC
| 63,033,751 | (506,171) | — | (506,171) | ||||||
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 currencies of the positions within the swap (Monthly).*** | 47-59 months maturity ranging from 08/08/2025 - 08/10/2026 | GSC
| 1,645,492,408 | (339,891) | — | (339,891) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the STIBOR minus a specified spread(-0.40%), which is denominated in SGD based on the local currencies of the positions within the swap (Monthly). | 58 months maturity 07/27/2026 | GSC
| 146,507 | (2,215) | — | (2,215) | ||||||
Subtotal Depreciation | $(2,484,805) | $ — | $(2,484,805) | |||||||||
Net Total Return Basket Swaps | $(1,934,634) | $ — | $(1,934,634) | |||||||||
*The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Accor SA | (13,148) | $404,732 | $(30,512) | 6.87% | ||||
Acerinox SA | 34,402 | 380,657 | (12,738) | 2.87 | ||||
ACS Actividades de Construccion y Servicios SA | (19,385) | 453,329 | (10,869) | 2.45 | ||||
Aeroports de Paris | (11,172) | 1,228,365 | (152,257) | 34.29 | ||||
Alstom SA | (20,719) | 678,490 | (2,863) | 0.65 | ||||
Amadeus IT Group SA | (29,092) | 1,651,862 | (119,979) | 27.02 | ||||
Amundi SA | 1,133 | 82,266 | (9,816) | 2.21 | ||||
Argenx SE | (4,526) | 1,180,714 | 115,417 | (26.00) | ||||
Arkema SA | 702 | 79,916 | (933) | 0.21 | ||||
Atos SE | 29,138 | 1,336,267 | 116,985 | (26.35) | ||||
Banco Santander SA | 94,697 | 296,134 | 7,198 | (1.62) | ||||
Bankinter SA | 65,875 | 332,753 | 17,547 | (3.95) | ||||
BioMerieux | 3,415 | 335,462 | (48,268) | 10.87 | ||||
BNP Paribas SA | 13,946 | 770,298 | 46,051 | (10.37) | ||||
Bollore SA | 47,788 | 238,241 | (6,305) | 1.42 | ||||
Bouygues SA | 19,899 | 710,640 | (13,424) | 3.02 | ||||
CaixaBank SA | 220,473 | 590,230 | 16,602 | (3.74) | ||||
Carl Zeiss Meditec AG | (511) | 84,502 | 18,356 | (4.13) | ||||
Carrefour SA | 114,683 | 1,774,321 | 277 | (0.06) | ||||
Casino Guichard Perrachon SA | 13,154 | 305,197 | (10,255) | 2.31 | ||||
Cie de St-Gobain | 28,583 | 1,660,596 | (107,017) | 24.10 | ||||
Cie Generale des Etablissements Michelin SCA | 8,246 | 1,091,592 | (42,522) | 9.58 | ||||
CNP Assurances | 20,818 | 283,656 | (13,200) | 2.97 | ||||
Credit Agricole SA | 18,152 | 215,399 | (5,001) | 1.13 | ||||
CTS Eventim AG & Co. KGaA | (6,162) | 400,249 | (62,350) | 14.04 | ||||
Delivery Hero SE | (6,903) | 760,145 | 111,208 | (25.05) | ||||
EDP - Energias de Portugal SA | 19,980 | 90,609 | (3,456) | 0.78 | ||||
Eiffage SA | 1,072 | 93,533 | (2,727) | 0.61 | ||||
Electricite de France SA | 55,449 | 601,529 | 2,666 | (0.60) | ||||
Enagas SA | 30,225 | 579,898 | 9,411 | (2.12) | ||||
Endesa SA | 39,611 | 689,650 | (133,359) | 30.04 | ||||
EssilorLuxottica SA | 1,294 | 213,471 | (8,072) | 1.82 | ||||
Eurofins Scientific SE | 5,574 | 617,822 | (85,628) | 19.29 | ||||
Eutelsat Communications SA | 116,886 | 1,387,586 | 268,177 | (60.40) | ||||
Evotec SE | (7,052) | 288,673 | 16,331 | (3.68) | ||||
Ferrovial SA | (15,270) | 384,781 | (5,455) | 1.23 | ||||
Fluidra SA | 35,794 | 1,224,994 | (123,190) | 27.75 | ||||
Fraport AG Frankfurt Airport ServicesWorldwide | (10,180) | 608,461 | (71,343) | 16.07 | ||||
Galapagos NV | (3,682) | 166,772 | 22,717 | (5.12) | ||||
Gecina SA REIT | 674 | 78,282 | (8,265) | 1.86 | ||||
HUGO BOSS AG | (4,846) | 250,595 | (6,121) | 1.38 | ||||
Iberdrola SA | 33,169 | 288,078 | (61,027) | 13.75 | ||||
Infrastrutture Wireless Italiane SpA | (12,295) | 118,222 | 5,421 | (1.22) | ||||
Ipsen SA | 6,595 | 542,528 | 6,535 | (1.47) | ||||
Just Eat Takeaway.com NV | (2,503) | 157,879 | 49,818 | (11.22) | ||||
Kering SA | 99 | 60,703 | (9,487) | 2.14 | ||||
Mapfre SA | 366,008 | 688,648 | 25,744 | (5.80) | ||||
Mediobanca Banca di Credito Finanziario SpA | (7,919) | 82,249 | (5,102) | 1.15 | ||||
MTU Aero Engines AG | (3,182) | 617,588 | (16,249) | 3.66 | ||||
Nexi SpA | (29,329) | 472,152 | 61,303 | (13.81) | ||||
OCI NV | (8,973) | 228,855 | (49,194) | 11.08 | ||||
Orange SA | 222,341 | 2,075,873 | (22,753) | 5.13 | ||||
Prosus NV | (6,607) | 456,538 | 8,820 | (1.99) | ||||
Publicis Groupe SA | 29,056 | 1,685,085 | 58,650 | (13.21) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Rational AG | (808) | $655,255 | $113,339 | (25.53)% | ||||
Red Electrica Corporation SA | 25,063 | 434,084 | 6,741 | (1.52) | ||||
Repsol SA | 46,471 | 523,686 | 102,785 | (23.15) | ||||
Rexel SA | 83,951 | 1,396,451 | (103,415) | 23.29 | ||||
Rubis | 20,790 | 621,413 | (52,387) | 11.80 | ||||
Saipem SpA | (285,791) | 605,437 | (37,840) | 8.52 | ||||
Sanofi | 10,559 | 877,500 | (2,375) | 0.54 | ||||
SEB SA | 17,627 | 2,140,855 | (283,813) | 63.92 | ||||
SES SA | 43,764 | 336,865 | 20,500 | (4.62) | ||||
Societe BIC SA | 19,037 | 968,983 | (101,262) | 22.81 | ||||
Societe Generale SA | 12,207 | 330,004 | 8,737 | (1.97) | ||||
Sodexo SA | 8,931 | 673,830 | 47,575 | (10.72) | ||||
STMicroelectronics NV | 49,531 | 1,866,974 | 7,353 | (1.66) | ||||
Telefonica SA | 334,066 | 1,353,330 | (44,291) | 9.98 | ||||
Tenaris SA | (35,200) | 319,654 | (30,433) | 6.85 | ||||
Thales SA | 2,422 | 202,725 | (1,087) | 0.25 | ||||
thyssenkrupp AG | (78,108) | 709,293 | 3,772 | (0.85) | ||||
Ubisoft Entertainment SA | 1,631 | 84,316 | (7,058) | 1.59 | ||||
Unibail-Rodamco-Westfield REIT | (33,054) | 2,100,225 | 195,517 | (44.04) | ||||
Valeo | 3,608 | 86,927 | 7,966 | (1.79) | ||||
Veolia Environnement SA | 6,532 | 172,306 | (19,802) | 4.46 | ||||
$48,537,180 | $(443,981) | 100.00% |
**The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
3i Group PLC | 15,222 | $194,051 | $(6,845) | 0.84% | ||||
Abcam PLC | (5,486) | 82,180 | 1,468 | (0.18) | ||||
Anglo American PLC | 49,526 | 1,288,274 | (203,520) | 25.05 | ||||
Antofagasta PLC | 6,039 | 81,450 | (4,147) | 0.51 | ||||
Ashtead Group PLC | 11,350 | 636,771 | (15,520) | 1.91 | ||||
ASOS PLC | 12,668 | 380,293 | (25,849) | 3.18 | ||||
Avast PLC | 13,904 | 78,947 | (3,147) | 0.39 | ||||
Aviva PLC | 235,201 | 925,142 | (8,624) | 1.06 | ||||
BAE Systems PLC | 76,952 | 432,566 | 6,269 | (0.77) | ||||
Barclays PLC | 507,200 | 956,498 | 60,267 | (7.42) | ||||
Barratt Developments PLC | 133,239 | 874,131 | (21,179) | 2.61 | ||||
Bellway PLC | 2,303 | 75,388 | (5,089) | 0.63 | ||||
BHP Group PLC | 112,721 | 2,107,712 | (81,973) | 10.09 | ||||
BP PLC | 527,698 | 1,783,871 | 326,294 | (40.17) | ||||
BT Group PLC | (441,897) | 703,090 | 12,371 | (1.52) | ||||
Bunzl PLC | 9,413 | 230,501 | (15,170) | 1.87 | ||||
Burberry Group PLC | 5,147 | 92,965 | (7,530) | 0.93 | ||||
Carnival PLC | (6,671) | 112,028 | (13,562) | 1.67 | ||||
DCC PLC | 8,353 | 516,814 | 5,213 | (0.64) | ||||
Direct Line Insurance Group PLC | 24,906 | 72,128 | (5,014) | 0.62 | ||||
Dunelm Group PLC | 21,187 | 301,279 | 6,643 | (0.82) | ||||
easyJet PLC | (107,413) | 703,824 | (84,640) | 10.42 | ||||
Evraz PLC | 327,385 | 1,927,766 | 9,255 | (1.14) | ||||
GlaxoSmithKline PLC | 33,600 | 470,639 | (379) | 0.05 | ||||
Glencore PLC | 17,914 | 62,542 | 4,086 | (0.50) | ||||
Hiscox, Ltd. | (18,114) | 151,543 | 20,615 | (2.54) | ||||
HSBC Holdings PLC | 118,278 | 458,986 | 21,684 | (2.67) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
IMI PLC | 14,439 | $239,687 | $(25,360) | 3.12% | ||||
Inchcape PLC | 126,466 | 1,025,639 | (69,214) | 8.52 | ||||
Informa PLC | (43,389) | 236,812 | (8,792) | 1.08 | ||||
Intermediate Capital Group PLC | 5,844 | 118,765 | (17,013) | 2.09 | ||||
Intertek Group PLC | 2,548 | 126,449 | (11,805) | 1.45 | ||||
Investec PLC | 42,542 | 134,736 | 18,442 | (2.27) | ||||
J Sainsbury PLC | (149,612) | 425,583 | 25,026 | (3.08) | ||||
JD Sports Fashion PLC | 17,273 | 180,159 | 2,179 | (0.27) | ||||
Kingfisher PLC | 440,519 | 1,475,767 | (93,440) | 11.50 | ||||
Lloyds Banking Group PLC | 211,204 | 97,564 | 10,482 | (1.29) | ||||
London Stock Exchange Group PLC | 3,641 | 270,787 | (30,955) | 3.81 | ||||
M&G PLC | 372,321 | 754,979 | 54,004 | (6.65) | ||||
Man Group PLC | 709,250 | 1,448,998 | (78,645) | 9.68 | ||||
Marks & Spencer Group PLC | 64,197 | 116,951 | (2,077) | 0.26 | ||||
Mondi PLC | 10,775 | 195,972 | (24,600) | 3.03 | ||||
Moneysupermarket.com Group PLC | 99,054 | 210,985 | (40,886) | 5.03 | ||||
Ocado Group PLC | (59,922) | 993,860 | 176,288 | (21.70) | ||||
Persimmon PLC | 15,685 | 416,338 | (18,178) | 2.24 | ||||
Prudential PLC | (4,292) | 61,814 | 2,333 | (0.29) | ||||
Quilter PLC | (49,094) | 69,871 | 3,149 | (0.39) | ||||
Rio Tinto PLC | 60,715 | 2,953,835 | (2,183) | 0.27 | ||||
Rolls-Royce Holdings PLC | (1,726,556) | 2,393,290 | (642,498) | 79.10 | ||||
Royal Dutch Shell PLC, A Shares | 67,897 | 1,120,657 | 224,734 | (27.67) | ||||
Royal Dutch Shell PLC, B Shares | 46,826 | 770,006 | 153,178 | (18.86) | ||||
Royal Mail PLC | 317,302 | 1,331,781 | (239,614) | 29.50 | ||||
Sage Group PLC (The) | 87,998 | 621,855 | (40,354) | 4.97 | ||||
Severn Trent PLC | (3,372) | 87,614 | 9,608 | (1.18) | ||||
Smith & Nephew PLC | 9,410 | 120,316 | (9,050) | 1.11 | ||||
Spirax-Sarco Engineering PLC | 998 | 149,030 | (19,557) | 2.41 | ||||
St. James’s Place PLC | (2,963) | 44,360 | 5,178 | (0.64) | ||||
Standard Life Aberdeen PLC | 170,567 | 432,932 | 8,235 | (1.01) | ||||
Tate & Lyle PLC | 150,500 | 1,041,159 | (35,890) | 4.42 | ||||
Taylor Wimpey PLC | 28,273 | 43,765 | (5,930) | 0.73 | ||||
Unilever PLC | 4,294 | 172,532 | 3,005 | (0.37) | ||||
Vodafone Group PLC | 102,833 | 116,135 | (8,260) | 1.02 | ||||
Weir Group PLC (The) | 2,907 | 48,702 | (1,328) | 0.16 | ||||
WH Smith PLC | (14,256) | 242,967 | (39,369) | 4.85 | ||||
Wm Morrison Supermarkets PLC | (370,289) | 1,090,501 | (15,103) | 1.86 | ||||
$37,084,532 | $(812,283) | 100.00% |
***The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Aeon Co., Ltd. | (23,800) | $69,637,457 | $27,930 | (8.22)% | ||||
ANA Holdings, Inc. | (39,800) | 115,156,778 | (89,874) | 26.44 | ||||
Central Japan Railway Co. | (2,400) | 42,636,830 | (39,955) | 11.75 | ||||
Denso Corporation | (1,000) | 7,267,269 | 5,333 | (1.57) | ||||
East Japan Railway Co. | (22,800) | 179,335,030 | (169,557) | 49.88 | ||||
Harmonic Drive Systems, Inc. | (2,600) | 13,877,319 | 29,004 | (8.53) | ||||
Isetan Mitsukoshi Holdings, Ltd. | (16,300) | 13,634,338 | (7,409) | 2.18 | ||||
Japan Airlines Co., Ltd. | (26,200) | 69,418,704 | (51,312) | 15.10 | ||||
Japan Airport Terminal Co., Ltd. | (12,400) | 67,725,593 | (40,396) | 11.88 | ||||
Kawasaki Heavy Industries, Ltd. | (6,700) | 17,154,482 | (7,570) | 2.23 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Keikyu Corporation | (35,800) | $49,641,175 | $(22,140) | 6.51% | ||||
Keio Corporation | (7,600) | 45,241,301 | (2,306) | 0.68 | ||||
Keisei Electric Railway Co., Ltd. | (6,600) | 24,332,023 | (13,179) | 3.88 | ||||
Kikkoman Corporation | (2,200) | 19,924,021 | 1,981 | (0.58) | ||||
Kintetsu Group Holdings Co., Ltd. | (6,800) | 25,450,819 | (5,399) | 1.59 | ||||
Lasertec Corporation | (2,000) | 50,674,296 | 46,898 | (13.80) | ||||
Mercari, Inc. | (20,500) | 126,073,760 | (37,008) | 10.89 | ||||
Mitsubishi Motors Corporation | (200,400) | 60,838,310 | (31,747) | 9.34 | ||||
Nippon Paint Holdings Co., Ltd. | (48,600) | 58,904,245 | 68,015 | (20.01) | ||||
Odakyu Electric Railway Co., Ltd. | (42,900) | 110,507,409 | (6,302) | 1.85 | ||||
Park24 Co., Ltd. | (34,600) | 65,528,111 | 63,429 | (18.66) | ||||
Rakuten, Inc. | (106,000) | 114,914,392 | 37,828 | (11.13) | ||||
Seibu Holdings, Inc. | (21,300) | 29,923,230 | (7,478) | 2.20 | ||||
Shiseido Co., Ltd. | (2,000) | 14,960,157 | 7,559 | (2.22) | ||||
Showa Denko KK | (39,000) | 105,617,838 | 413 | (0.12) | ||||
Sumitomo Metal Mining Co., Ltd. | (1,700) | 6,841,638 | 3,190 | (0.94) | ||||
West Japan Railway Co. | (21,700) | 121,400,071 | (99,336) | 29.23 | ||||
Z Holdings Corporation | (26,500) | 18,875,812 | (503) | 0.15 | ||||
$1,645,492,408 | $(339,891) | 100.00% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
FTSE Taiwan Index | 10/2021 | 59 | $3,490,440 | $(54,248) | ||||
MSCI Singapore Index | 10/2021 | (82) | (2,134,850) | 28,115 | ||||
SGX Nifty 50 Index | 10/2021 | 154 | 5,421,416 | (61,322) | ||||
FTSE KLCI | 10/2021 | 79 | 1,451,116 | 7,364 | ||||
KOSPI2 Index | 12/2021 | 203 | 17,209,565 | (612,722) | ||||
FTSE/JSE Top 40 Index | 12/2021 | (75) | (2,897,701) | 6,535 | ||||
Mexican Bolsa Index | 12/2021 | 17 | 424,187 | 957 | ||||
MSCI Emerging Markets | 12/2021 | 882 | 54,930,960 | (2,373,617) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $77,895,133 | $(3,058,938) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/15/21 | Russian Rubles | 2,553,403,000 | U.S. Dollars | 34,081,767 | CITI | $511,962 | ||||||
12/15/21 | U.S. Dollars | 18,259,999 | Philippine Pesos | 924,458,000 | CITI | 329,988 | ||||||
12/15/21 | U.S. Dollars | 20,221,439 | South Korean Won | 23,608,128,000 | CITI | 308,927 | ||||||
12/15/21 | U.S. Dollars | 9,058,802 | Polish Zloty | 34,956,000 | CITI | 271,980 | ||||||
12/15/21 | U.S. Dollars | 7,294,165 | Brazilian Reals | 38,964,000 | CITI | 234,523 | ||||||
12/15/21 | U.S. Dollars | 33,377,186 | Singapore Dollars | 45,036,250 | CITI | 214,340 | ||||||
12/15/21 | U.S. Dollars | 10,535,174 | Mexican Pesos | 215,495,000 | CITI | 211,716 | ||||||
12/15/21 | U.S. Dollars | 18,655,601 | Czech Republic Koruna | 405,500,000 | CITI | 164,300 | ||||||
12/15/21 | Chinese Offshore Yuan | 102,665,438 | U.S. Dollars | 15,752,869 | CITI | 71,575 | ||||||
12/15/21 | Colombian Pesos | 27,200,000,000 | U.S. Dollars | 7,036,775 | CITI | 68,977 | ||||||
12/15/21 | U.S. Dollars | 2,527,906 | Thai Baht | 83,360,000 | CITI | 65,224 | ||||||
12/15/21 | U.S. Dollars | 996,640 | South African Rand | 14,427,000 | CITI | 48,842 | ||||||
12/15/21 | Indian Rupees | 817,112,250 | U.S. Dollars | 10,871,577 | CITI | 39,814 | ||||||
12/15/21 | U.S. Dollars | 1,248,156 | Hungarian Forint | 380,000,000 | CITI | 26,675 | ||||||
12/15/21 | South African Rand | 21,966,000 | U.S. Dollars | 1,417,831 | CITI | 25,252 | ||||||
12/15/21 | U.S. Dollars | 1,915,741 | Colombian Pesos | 7,250,000,000 | CITI | 21,745 | ||||||
12/15/21 | Singapore Dollars | 6,360,000 | U.S. Dollars | 4,664,478 | CITI | 18,764 | ||||||
12/15/21 | U.S. Dollars | 803,173 | Chilean Pesos | 644,562,000 | CITI | 13,841 | ||||||
12/15/21 | Taiwan Dollars | 67,896,222 | U.S. Dollars | 2,441,201 | CITI | 10,045 | ||||||
12/15/21 | Czech Republic Koruna | 36,000,000 | U.S. Dollars | 1,631,623 | CITI | 10,021 | ||||||
12/15/21 | U.S. Dollars | 9,462,304 | Israeli Shekels | 30,456,500 | CITI | 8,196 | ||||||
12/15/21 | Brazilian Reals | 20,050,000 | U.S. Dollars | 3,628,833 | CITI | 3,901 | ||||||
12/15/21 | Hong Kong Dollars | 41,943,000 | U.S. Dollars | 5,385,249 | CITI | 3,718 | ||||||
12/15/21 | U.S. Dollars | 1,501,473 | Indonesian Rupiahs | 21,669,310,106 | CITI | 1,631 | ||||||
12/15/21 | U.S. Dollars | 2,927,517 | Hong Kong Dollars | 22,773,000 | CITI | 1,572 | ||||||
12/15/21 | Israeli Shekels | 1,217,250 | U.S. Dollars | 376,404 | CITI | 1,448 | ||||||
12/15/21 | U.S. Dollars | 193,894 | Taiwan Dollars | 5,341,000 | CITI | 1,069 | ||||||
12/15/21 | U.S. Dollars | 58,781 | Euro | 50,000 | CITI | 766 | ||||||
12/15/21 | Saudi Riyals | 5,795,580 | U.S. Dollars | 1,544,302 | CITI | 135 | ||||||
12/15/21 | South Korean Won | 9,470,000 | U.S. Dollars | 7,976 | CITI | 12 | ||||||
12/15/21 | U.S. Dollars | 26,649 | Saudi Riyals | 100,000 | CITI | 1 | ||||||
Subtotal Appreciation | $2,690,960 | |||||||||||
12/15/21 | Chinese Offshore Yuan | 312,000 | U.S. Dollars | 48,092 | CITI | $(2) | ||||||
12/15/21 | U.S. Dollars | 7,174 | South Korean Won | 8,523,000 | CITI | (15) | ||||||
12/15/21 | Saudi Riyals | 2,998,420 | U.S. Dollars | 799,074 | CITI | (38) | ||||||
12/15/21 | U.S. Dollars | 1,059,674 | Saudi Riyals | 3,977,000 | CITI | (138) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/15/21 | Indonesian Rupiahs | 1,093,042,000 | U.S. Dollars | 75,957 | CITI | $(302) | ||||||
12/15/21 | Czech Republic Koruna | 8,000,000 | U.S. Dollars | 365,517 | CITI | (707) | ||||||
12/15/21 | Israeli Shekels | 2,078,750 | U.S. Dollars | 645,995 | CITI | (724) | ||||||
12/15/21 | U.S. Dollars | 300,550 | Thai Baht | 10,205,000 | CITI | (934) | ||||||
12/15/21 | U.S. Dollars | 2,260,334 | Hong Kong Dollars | 17,600,000 | CITI | (969) | ||||||
12/15/21 | Russian Rubles | 34,000,000 | U.S. Dollars | 461,763 | CITI | (1,128) | ||||||
12/15/21 | Peruvian Nuevo Soles | 529,874 | U.S. Dollars | 129,843 | CITI | (2,064) | ||||||
12/15/21 | Philippine Pesos | 12,000,000 | U.S. Dollars | 235,217 | CITI | (2,475) | ||||||
12/15/21 | Polish Zloty | 519,000 | U.S. Dollars | 133,399 | CITI | (2,939) | ||||||
12/15/21 | Hong Kong Dollars | 88,345,000 | U.S. Dollars | 11,354,097 | CITI | (3,258) | ||||||
12/15/21 | Colombian Pesos | 6,100,000,000 | U.S. Dollars | 1,598,708 | CITI | (5,137) | ||||||
12/15/21 | U.S. Dollars | 900,411 | Brazilian Reals | 5,000,000 | CITI | (5,508) | ||||||
12/15/21 | U.S. Dollars | 3,375,142 | Indian Rupees | 253,210,000 | CITI | (6,124) | ||||||
12/15/21 | Euro | 443,000 | U.S. Dollars | 521,984 | CITI | (7,967) | ||||||
12/15/21 | U.S. Dollars | 1,915,552 | South African Rand | 29,300,000 | CITI | (9,347) | ||||||
12/15/21 | South Korean Won | 1,016,456,000 | U.S. Dollars | 868,754 | CITI | (11,414) | ||||||
12/15/21 | U.S. Dollars | 1,623,343 | Indonesian Rupiahs | 23,653,697,106 | CITI | (13,848) | ||||||
12/15/21 | U.S. Dollars | 4,714,981 | Singapore Dollars | 6,433,750 | CITI | (22,568) | ||||||
12/15/21 | U.S. Dollars | 8,483,565 | Israeli Shekels | 27,428,500 | CITI | (30,610) | ||||||
12/15/21 | Taiwan Dollars | 173,893,668 | U.S. Dollars | 6,310,753 | CITI | (32,698) | ||||||
12/15/21 | U.S. Dollars | 4,847,069 | Chinese Offshore Yuan | 31,731,359 | CITI | (43,876) | ||||||
12/15/21 | Singapore Dollars | 6,540,000 | U.S. Dollars | 4,860,524 | CITI | (44,737) | ||||||
12/15/21 | U.S. Dollars | 2,548,813 | Russian Rubles | 192,822,000 | CITI | (63,557) | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | (78,784) | ||||||
12/15/21 | U.S. Dollars | 5,594,688 | Colombian Pesos | 21,750,000,000 | CITI | (87,304) | ||||||
12/15/21 | Indian Rupees | 634,713,750 | U.S. Dollars | 8,568,168 | CITI | (92,452) | ||||||
12/15/21 | Chilean Pesos | 5,017,246,890 | U.S. Dollars | 6,395,963 | CITI | (251,832) | ||||||
07/16/25 | U.S. Dollars | 3,253,457 | Chinese Offshore Yuan | 24,819,000 | MSCS | (342,294) | ||||||
12/15/21 | Hungarian Forint | 2,579,656,000 | U.S. Dollars | 8,647,867 | CITI | (355,752) | ||||||
12/15/21 | South African Rand | 157,434,000 | U.S. Dollars | 10,710,594 | CITI | (367,779) | ||||||
12/15/21 | Thai Baht | 508,168,000 | U.S. Dollars | 15,402,603 | CITI | (389,947) | ||||||
12/15/21 | Mexican Pesos | 839,066,479 | U.S. Dollars | 40,769,647 | CITI | (573,508) | ||||||
12/15/21 | Brazilian Reals | 134,961,000 | U.S. Dollars | 25,201,775 | CITI | (749,036) | ||||||
Subtotal Depreciation | $(3,601,772) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $(910,812) |
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) | 10/20/2021 | GSC | TWD | 372,218,000 | $13,360,062 | $— | $13,360,062 | ||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 10/20/2021 | CITI | TWD | 10,151,400 | 364,365 | — | 364,365 | ||||||||
Decrease in total return of BIST 30 Index (At Termination) | Increase in total return of BIST 30 Index (At Termination) | 10/27/2021 | GSC | TRY | 21,248,500 | 2,389,351 | — | 2,389,351 | ||||||||
Decrease in total return of HSCEI Index (At Termination) | Increase in total return of HSCEI Index (At Termination) | 10/28/2021 | GSC | HKD | 4,360,500 | 560,141 | — | 560,141 | ||||||||
Decrease in total return of SGX Nifty 50 Index (At Termination) | Increase in total return of SGX Nifty 50 Index (At Termination) | 10/28/2021 | GSC | USD | 1,548,976 | 1,548,976 | — | 1,548,976 |
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 KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 12/9/2021 | GSC | KRW | 5,821,750,000 | $4,917,019 | $— | $4,917,019 | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 12/9/2021 | CITI | KRW | 4,416,500,000 | 3,730,152 | — | 3,730,152 | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.35% | MSCI Mexico Net MXN Index (Monthly) | 12/15/2021 | GSC | MXN | 78,728,874 | 32 | — | 32 | ||||||||
MSCI Brazil Net Return BRL Index (Monthly) | Financing Index: Brazil Cetip Di Interbank Deposit Rate - 0.45% | 12/15/2021 | GSC | BRL | 4,356,741 | 27,392 | — | 27,392 | ||||||||
MSCI Daily TR Net Israel Index (Monthly) | Financing Index: Overnight Bank Funding Rate + 0.09% | 12/15/2021 | GSC | USD | 951,248 | 27,798 | — | 27,798 | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index (Monthly) | Financing Index: Overnight Bank Funding Rate - 0.35% | 12/15/2021 | GSC | USD | 13,265,740 | 695,054 | — | 695,054 | ||||||||
Decrease in total return of WIG20 Index (At Termination) | Increase in total return of WIG20 Index (At Termination) | 12/17/2021 | GSC | PLN | 1,842,400 | 463,235 | — | 463,235 | ||||||||
Subtotal Appreciation | $28,083,577 | $ — | $28,083,577 | |||||||||||||
Increase in total return of Bovespa Index (At Termination) | Decrease in total return of Bovespa Index (At Termination) | 10/13/2021 | GSC | BRL | 5,538,650 | (1,017,059) | $— | $(1,017,059) | ||||||||
Increase in total return of Tel Aviv 35 Index (At Termination) | Decrease in total return of Tel Aviv 35 Index (At Termination) | 10/29/2021 | GSC | ILS | 3,784,746 | (1,173,947) | — | (1,173,947) | ||||||||
Financing Index: Overnight Bank Funding Rate + 0.05% | MSCI Daily Total Return Net Emerging Markets USD Index (Monthly) | 12/15/2021 | GSC | USD | 348,810 | (17,300) | — | (17,300) | ||||||||
Increase in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | Decrease in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | 12/15/2021 | GSC | ZAR | 117,830 | (7,825) | — | (7,825) | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: Singapore Overnight Rate + 0% | 12/15/2021 | GSC | SGD | 4,880,737 | (10,898) | — | (10,898) | ||||||||
MSCI South Africa Net Return ZAR Index (Monthly) | Financing Index: 1-Month SAFE South Africa JIBAR + 0.1% | 12/15/2021 | GSC | ZAR | 19,383,989 | (25,800) | — | (25,800) | ||||||||
Subtotal Depreciation | $(2,252,829) | $ — | $(2,252,829) | |||||||||||||
Net Total Return Swaps outstanding at September 30, 2021 | $25,830,748 | $ — | $25,830,748 |
Shares | Value | |||
MONEY MARKET FUNDS — 3.6% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 8,073,214 | $8,073,214 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 2,809,640 | 2,809,640 | ||
Total Money Market Funds (Cost $10,882,854) | 10,882,854 | |||
TOTAL INVESTMENTS — 100.7% (Cost $273,295,856) | 304,777,940 | |||
Liabilities in Excess of Other Assets — (0.7)% | (2,189,516) | |||
NET ASSETS — 100.0% | $302,588,424 |
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 | 12/2021 | 35 | $9,216,200 | $(121,537) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-OAT | 12/2021 | (3) | $(576,685) | $7,694 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 12/2021 | (2) | $(312,592) | $1,837 | ||||
Euro-Bund | 12/2021 | 6 | 1,180,266 | 5,397 | ||||
10-Year Commonwealth Treasury Bond | 12/2021 | (8) | (818,221) | 781 | ||||
Australian Dollars/U.S. Dollars | 12/2021 | (258) | (18,663,720) | 322,992 | ||||
British Pounds/U.S. Dollars | 12/2021 | (8) | (673,750) | 14,375 | ||||
Canadian Dollars/U.S. Dollars | 12/2021 | (15) | (1,184,850) | (1,875) | ||||
Euro/U.S. Dollars | 12/2021 | (183) | (26,535,000) | 537,122 | ||||
Japanese Yen/U.S. Dollars | 12/2021 | (7) | (785,837) | 6,634 | ||||
Mexican Pesos/U.S. Dollars | 12/2021 | (36) | (863,820) | 21,552 | ||||
New Zealand Dollars/U.S. Dollars | 12/2021 | (13) | (897,585) | 14,361 | ||||
South African Rand/U.S. Dollars | 12/2021 | (27) | (886,613) | 22,494 | ||||
Swiss Francs/U.S. Dollars | 12/2021 | (1) | (134,275) | 1,462 | ||||
U.S. Dollars/Czech Republic Koruna | 12/2021 | 1 | 100,240 | 2,083 | ||||
U.S. Dollars/Norwegian Kroner | 12/2021 | 1 | 100,029 | 359 | ||||
U.S. Dollars/Swedish Kroner | 12/2021 | 7 | 699,744 | 7,930 | ||||
E-Mini Dow | 12/2021 | 38 | 6,407,180 | (185,640) | ||||
10-Year Bond | 12/2021 | (13) | (1,469,248) | 37,143 | ||||
10-Year U.S. Treasury Note | 12/2021 | 21 | 2,763,797 | 19,745 | ||||
U.S. Treasury Long Bond | 12/2021 | (2) | (318,438) | 871 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2021 | 1 | 145,250 | (2,040) | ||||
Ultra Long U.S. Treasury Bond | 12/2021 | (46) | (8,788,875) | 192,991 | ||||
Long GILT | 12/2021 | (3) | (505,881) | 11,234 | ||||
2-Year U.S. Treasury Note | 12/2021 | (15) | (3,300,820) | 1,875 | ||||
5-Year U.S. Treasury Note | 12/2021 | (37) | (4,541,461) | (18) | ||||
NASDAQ 100 E-Mini | 12/2021 | 22 | 6,460,300 | (408,557) | ||||
S&P 500® E-Mini | 12/2021 | 77 | 16,546,338 | (766,797) | ||||
Total Futures Contracts outstanding at September 30, 2021 | $(36,854,527) | $(133,995) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/15/21 | U.S. Dollars | 9,634,297 | Euro | 8,142,265 | MSCS | $186,780 | ||||||
12/15/21 | U.S. Dollars | 5,206,740 | British Pounds | 3,778,589 | MSCS | 114,669 | ||||||
11/24/21 | U.S. Dollars | 4,457,328 | Euro | 3,765,293 | MSCS | 91,050 | ||||||
12/15/21 | U.S. Dollars | 2,625,515 | Turkish Lira | 23,491,364 | MSCS | 88,998 | ||||||
12/15/21 | U.S. Dollars | 6,813,154 | Japanese Yen | 750,267,904 | MSCS | 66,840 | ||||||
12/15/21 | U.S. Dollars | 2,589,472 | New Zealand Dollars | 3,672,454 | MSCS | 55,763 | ||||||
06/14/22 | U.S. Dollars | 979,000 | Turkish Lira | 9,446,860 | MSCS | 50,276 | ||||||
12/15/21 | U.S. Dollars | 3,450,657 | Swiss Francs | 3,167,875 | MSCS | 44,502 | ||||||
12/15/21 | U.S. Dollars | 735,057 | South African Rand | 10,652,190 | MSCS | 35,249 | ||||||
12/15/21 | U.S. Dollars | 2,220,857 | Swedish Kronor | 19,138,729 | MSCS | 32,901 | ||||||
10/29/21 | U.S. Dollars | 1,630,046 | Swedish Kronor | 13,991,072 | MSCS | 31,534 | ||||||
11/15/21 | Russian Rubles | 107,811,313 | U.S. Dollars | 1,441,328 | MSCS | 28,905 | ||||||
10/27/21 | U.S. Dollars | 772,074 | British Pounds | 553,982 | MSCS | 25,614 | ||||||
11/15/21 | U.S. Dollars | 1,737,886 | South Korean Won | 2,032,140,111 | MSCS | 23,308 | ||||||
11/12/21 | U.S. Dollars | 846,017 | Chilean Pesos | 670,176,434 | MSCS | 22,934 | ||||||
12/15/21 | Canadian Dollars | 1,857,867 | Euro | 1,248,043 | MSCS | 18,712 | ||||||
12/15/21 | Norwegian Kroner | 10,643,483 | Euro | 1,035,741 | MSCS | 14,973 | ||||||
12/15/21 | U.S. Dollars | 489,473 | Mexican Pesos | 9,915,733 | MSCS | 14,451 | ||||||
10/29/21 | U.S. Dollars | 419,907 | Mexican Pesos | 8,425,043 | MSCS | 13,545 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
11/01/21 | Norwegian Kroner | 10,995,243 | U.S. Dollars | 1,244,165 | MSCS | $13,309 | ||||||
12/15/21 | U.S. Dollars | 1,245,376 | Norwegian Kroner | 10,809,297 | MSCS | 9,671 | ||||||
11/16/21 | U.S. Dollars | 716,389 | Polish Zloty | 2,812,208 | MSCS | 9,422 | ||||||
12/15/21 | U.S. Dollars | 3,481,752 | Canadian Dollars | 4,399,293 | MSCS | 8,422 | ||||||
12/15/21 | U.S. Dollars | 252,037 | Thai Baht | 8,248,917 | MSCS | 8,342 | ||||||
12/07/21 | U.S. Dollars | 979,018 | Indian Rupees | 72,629,507 | MSCS | 8,286 | ||||||
12/15/21 | U.S. Dollars | 476,201 | Australian Dollars | 648,360 | MSCS | 7,287 | ||||||
11/01/21 | U.S. Dollars | 235,525 | Swiss Francs | 213,000 | MSCS | 6,788 | ||||||
12/15/21 | Chinese Offshore Yuan | 20,690,575 | U.S. Dollars | 3,182,490 | MSCS | 6,672 | ||||||
11/17/21 | U.S. Dollars | 443,787 | Japanese Yen | 48,633,797 | MSCS | 6,659 | ||||||
10/12/21 | U.S. Dollars | 1,455,035 | Taiwan Dollars | 40,321,981 | MSCS | 6,013 | ||||||
10/04/21 | U.S. Dollars | 245,158 | Brazilian Reals | 1,304,075 | MSCS | 5,842 | ||||||
11/16/21 | Indonesian Rupiahs | 6,733,935,817 | U.S. Dollars | 462,464 | MSCS | 5,208 | ||||||
11/08/21 | U.S. Dollars | 401,877 | South African Rand | 6,009,000 | MSCS | 5,014 | ||||||
11/12/21 | U.S. Dollars | 1,455,569 | Canadian Dollars | 1,838,053 | MSCS | 4,492 | ||||||
11/12/21 | U.S. Dollars | 373,977 | Czech Republic Koruna | 8,096,331 | MSCS | 4,477 | ||||||
12/15/21 | Euro | 208,079 | Hungarian Forint | 74,022,191 | MSCS | 3,497 | ||||||
11/15/21 | U.S. Dollars | 72,888 | Hungarian Forint | 21,846,000 | MSCS | 2,601 | ||||||
11/16/21 | U.S. Dollars | 478,172 | Indonesian Rupiahs | 6,855,602,135 | MSCS | 2,050 | ||||||
11/17/21 | Russian Rubles | 54,236,893 | U.S. Dollars | 737,344 | MSCS | 2,019 | ||||||
12/15/21 | Swiss Francs | 225,270 | Euro | 207,031 | MSCS | 1,994 | ||||||
11/12/21 | U.S. Dollars | 621,060 | Australian Dollars | 856,617 | MSCS | 1,654 | ||||||
12/15/21 | Australian Dollars | 531,882 | U.S. Dollars | 383,159 | MSCS | 1,515 | ||||||
12/15/21 | U.S. Dollars | 249,658 | Israeli Shekels | 799,756 | MSCS | 1,403 | ||||||
10/18/21 | U.S. Dollars | 490,015 | Taiwan Dollars | 13,592,029 | MSCS | 1,275 | ||||||
12/15/21 | Australian Dollars | 486,476 | New Zealand Dollars | 508,355 | MSCS | 1,109 | ||||||
12/15/21 | Swedish Kronor | 1,557,624 | U.S. Dollars | 177,279 | MSCS | 790 | ||||||
12/15/21 | Canadian Dollars | 206,004 | U.S. Dollars | 161,863 | MSCS | 781 | ||||||
12/15/21 | South African Rand | 3,742,974 | U.S. Dollars | 245,312 | MSCS | 587 | ||||||
11/15/21 | U.S. Dollars | 244,832 | Russian Rubles | 17,920,961 | MSCS | 442 | ||||||
12/15/21 | Euro | 208,258 | Polish Zloty | 959,724 | MSCS | 399 | ||||||
12/15/21 | Euro | 417,279 | Swedish Kronor | 4,232,296 | MSCS | 332 | ||||||
11/24/21 | U.S. Dollars | 70,778 | New Zealand Dollars | 102,106 | MSCS | 317 | ||||||
11/08/21 | Singapore Dollars | 103,302 | U.S. Dollars | 75,963 | MSCS | 110 | ||||||
Subtotal Appreciation | $1,099,783 | |||||||||||
11/16/21 | U.S. Dollars | 74,135 | Hong Kong Dollars | 577,594 | MSCS | $(72) | ||||||
12/15/21 | Australian Dollars | 680,773 | New Zealand Dollars | 713,804 | MSCS | (113) | ||||||
12/15/21 | Chinese Offshore Yuan | 1,589,535 | U.S. Dollars | 245,198 | MSCS | (193) | ||||||
12/15/21 | U.S. Dollars | 72,649 | New Zealand Dollars | 105,768 | MSCS | (323) | ||||||
12/15/21 | Japanese Yen | 53,361,343 | Euro | 413,885 | MSCS | (415) | ||||||
11/17/21 | Russian Rubles | 17,958,397 | U.S. Dollars | 245,285 | MSCS | (474) | ||||||
12/15/21 | U.S. Dollars | 61,059 | Norwegian Kroner | 538,508 | MSCS | (503) | ||||||
12/15/21 | U.S. Dollars | 141,365 | Swiss Francs | 131,962 | MSCS | (522) | ||||||
12/15/21 | U.S. Dollars | 399,140 | British Pounds | 296,775 | MSCS | (798) | ||||||
12/15/21 | U.S. Dollars | 489,770 | Singapore Dollars | 666,210 | MSCS | (799) | ||||||
12/15/21 | Swiss Francs | 100,359 | U.S. Dollars | 108,709 | MSCS | (801) | ||||||
12/15/21 | Euro | 207,641 | Czech Republic Koruna | 5,302,723 | MSCS | (884) | ||||||
12/15/21 | U.S. Dollars | 489,837 | Thai Baht | 16,612,205 | MSCS | (932) | ||||||
12/15/21 | U.S. Dollars | 994,967 | Canadian Dollars | 1,261,445 | MSCS | (969) | ||||||
11/24/21 | New Zealand Dollars | 341,018 | U.S. Dollars | 236,387 | MSCS | (1,060) | ||||||
12/15/21 | Polish Zloty | 959,419 | Euro | 208,762 | MSCS | (1,061) | ||||||
12/15/21 | Euro | 418,935 | Swiss Francs | 453,304 | MSCS | (1,308) | ||||||
11/08/21 | South African Rand | 2,240,288 | U.S. Dollars | 149,829 | MSCS | (1,869) | ||||||
12/15/21 | Norwegian Kroner | 2,105,452 | Euro | 209,155 | MSCS | (1,991) | ||||||
12/15/21 | U.S. Dollars | 810,265 | Japanese Yen | 90,362,814 | MSCS | (2,266) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/18/21 | Taiwan Dollars | 13,536,482 | U.S. Dollars | 489,831 | MSCS | $(3,088) | ||||||
11/12/21 | Australian Dollars | 1,600,629 | U.S. Dollars | 1,160,479 | MSCS | (3,089) | ||||||
11/17/21 | Japanese Yen | 25,938,328 | U.S. Dollars | 236,689 | MSCS | (3,551) | ||||||
12/15/21 | Euro | 620,765 | Australian Dollars | 1,001,006 | MSCS | (3,681) | ||||||
11/12/21 | Czech Republic Koruna | 7,091,000 | U.S. Dollars | 327,540 | MSCS | (3,921) | ||||||
12/15/21 | Turkish Lira | 1,321,287 | U.S. Dollars | 146,717 | MSCS | (4,049) | ||||||
12/15/21 | Thai Baht | 5,672,132 | U.S. Dollars | 171,974 | MSCS | (4,404) | ||||||
11/15/21 | U.S. Dollars | 233,701 | Russian Rubles | 17,463,920 | MSCS | (4,456) | ||||||
11/15/21 | Hungarian Forint | 37,657,572 | U.S. Dollars | 125,642 | MSCS | (4,483) | ||||||
12/15/21 | U.S. Dollars | 1,414,204 | Chinese Offshore Yuan | 9,206,693 | MSCS | (4,879) | ||||||
12/15/21 | Hungarian Forint | 32,344,219 | U.S. Dollars | 108,952 | MSCS | (4,984) | ||||||
11/17/21 | U.S. Dollars | 233,021 | Russian Rubles | 17,513,951 | MSCS | (5,731) | ||||||
11/12/21 | Canadian Dollars | 2,395,823 | U.S. Dollars | 1,897,271 | MSCS | (5,854) | ||||||
12/15/21 | Swedish Kronor | 4,314,087 | U.S. Dollars | 499,698 | MSCS | (6,507) | ||||||
11/01/21 | Swiss Francs | 207,059 | U.S. Dollars | 228,955 | MSCS | (6,599) | ||||||
11/16/21 | Polish Zloty | 2,039,000 | U.S. Dollars | 519,420 | MSCS | (6,831) | ||||||
12/15/21 | Hungarian Forint | 147,738,438 | Euro | 415,401 | MSCS | (7,098) | ||||||
10/04/21 | Brazilian Reals | 1,295,027 | U.S. Dollars | 244,760 | MSCS | (7,105) | ||||||
10/12/21 | Taiwan Dollars | 40,285,239 | U.S. Dollars | 1,455,494 | MSCS | (7,793) | ||||||
11/15/21 | South Korean Won | 1,436,973,284 | U.S. Dollars | 1,220,682 | MSCS | (8,264) | ||||||
12/15/21 | Canadian Dollars | 2,729,057 | U.S. Dollars | 2,163,944 | MSCS | (9,300) | ||||||
12/15/21 | British Pounds | 887,830 | Euro | 1,039,554 | MSCS | (9,752) | ||||||
12/15/21 | Norwegian Kroner | 11,463,163 | U.S. Dollars | 1,321,330 | MSCS | (10,877) | ||||||
11/01/21 | U.S. Dollars | 1,620,987 | Norwegian Kroner | 14,298,377 | MSCS | (14,252) | ||||||
11/12/21 | Chilean Pesos | 377,436,756 | U.S. Dollars | 477,956 | MSCS | (14,404) | ||||||
10/27/21 | British Pounds | 358,875 | U.S. Dollars | 500,158 | MSCS | (16,593) | ||||||
12/15/21 | Czech Republic Koruna | 21,942,612 | U.S. Dollars | 1,020,233 | MSCS | (19,623) | ||||||
10/29/21 | Mexican Pesos | 12,421,871 | U.S. Dollars | 619,111 | MSCS | (19,971) | ||||||
12/15/21 | Polish Zloty | 2,250,032 | U.S. Dollars | 588,891 | MSCS | (23,305) | ||||||
12/15/21 | South African Rand | 10,807,328 | U.S. Dollars | 734,928 | MSCS | (24,928) | ||||||
12/07/21 | Indian Rupees | 158,627,721 | U.S. Dollars | 2,145,595 | MSCS | (25,450) | ||||||
10/29/21 | Swedish Kronor | 14,285,000 | U.S. Dollars | 1,664,290 | MSCS | (32,197) | ||||||
12/15/21 | British Pounds | 1,937,590 | U.S. Dollars | 2,644,455 | MSCS | (33,336) | ||||||
12/14/21 | Turkish Lira | 8,664,150 | U.S. Dollars | 979,000 | MSCS | (42,946) | ||||||
12/15/21 | Japanese Yen | 492,301,990 | U.S. Dollars | 4,493,400 | MSCS | (66,683) | ||||||
12/15/21 | Australian Dollars | 5,820,072 | U.S. Dollars | 4,279,234 | MSCS | (69,975) | ||||||
11/24/21 | Euro | 3,937,176 | U.S. Dollars | 4,660,801 | MSCS | (95,206) | ||||||
12/15/21 | New Zealand Dollars | 8,815,624 | U.S. Dollars | 6,257,017 | MSCS | (174,918) | ||||||
12/15/21 | Euro | 7,044,210 | U.S. Dollars | 8,358,931 | MSCS | (185,490) | ||||||
Subtotal Depreciation | $(1,012,926) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2021 | $86,857 |
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 | ||||||||||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 9/15/2022 | NZD | 7,410,000 | $2,354 | $253 | $2,101 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 12/15/2022 | NZD | 3,850,000 | (784) | (4,266) | 3,482 | |||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 11,831,599 | 62,062 | 7,701 | 54,361 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
3-Month ASX BBSW (Quarterly) | 0.19% (Quarterly) | 2/22/2023 | AUD | 41,140,000 | $4,315 | $(23,072) | $27,387 | |||||||
1.25% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/15/2023 | KRW | 8,413,300,000 | 41,497 | 15,115 | 26,382 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 9/15/2023 | CNY | 198,641,989 | 117,433 | 85,390 | 32,043 | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/21/2023 | USD | 19,170,000 | 10,804 | (4,038) | 14,842 | |||||||
6.20% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/13/2023 | MXN | 86,330,000 | 33,952 | (2,042) | 35,994 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 12/15/2023 | EUR | 12,270,000 | (5,618) | (11,134) | 5,516 | |||||||
0.30% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 12/15/2023 | AUD | 9,420,000 | 6,699 | 4,257 | 2,442 | |||||||
1.00% (Semiannually) | 3-Month CDOR (Semiannually) | 12/15/2023 | CAD | 11,880,000 | 16,228 | 11,862 | 4,366 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 12/15/2023 | KRW | 5,455,690,000 | 14,183 | 2,152 | 12,031 | |||||||
2.65% (Annually) | 6-Month BUBOR (Semiannually) | 12/15/2023 | HUF | 4,029,360,000 | 29,607 | 8,253 | 21,354 | |||||||
2.70% (Annually) | 6-Month PRIBOR (Semiannually) | 12/15/2023 | CZK | 514,780,000 | 62,409 | (22,331) | 84,740 | |||||||
4.30% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 12/15/2023 | CLP | 5,121,300,000 | 28,185 | (1,191) | 29,376 | |||||||
4.90% (Quarterly) | 1-Day COP-IBR-OIS (Quarterly) | 12/15/2023 | COP | 15,674,830,000 | 21,096 | (3,537) | 24,633 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 3/16/2024 | KRW | 20,069,380,000 | 79,792 | 46,403 | 33,389 | |||||||
6.32% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 13,638,031 | 243,468 | 29,978 | 213,490 | |||||||
0.27% (Annually) | 1-Day SONIA (Annually) | 6/17/2025 | GBP | 10,000 | 192 | (174) | 366 | |||||||
6-Month THBFIX (Semiannually) | 0.75% (Semiannually) | 12/16/2025 | THB | 87,850,000 | (15,614) | (21,848) | 6,234 | |||||||
1-Day MIBOR (Semiannually) | 5.50% (Semiannually) | 9/15/2026 | INR | 245,090,000 | 28,478 | (11,246) | 39,724 | |||||||
6.70% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/9/2026 | MXN | 85,770,000 | 84,690 | 200 | 84,490 | |||||||
(0.25)% (Annually) | 6-Month EURIBOR (Semiannually) | 12/15/2026 | EUR | 8,190,000 | 40,493 | (20,675) | 61,168 | |||||||
(0.25)% (Annually) | 1-Day ESTR (Annually) | 12/15/2026 | EUR | 5,650,000 | (26,909) | (62,948) | 36,039 | |||||||
(0.50)% (Annually) | Swiss Average Overnight Rate (Annually) | 12/15/2026 | CHF | 550,000 | 5,351 | 1,338 | 4,013 | |||||||
0.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/15/2026 | JPY | 3,487,650,000 | (31,152) | (68,742) | 37,590 | |||||||
1.70% (Annually) | 6-Month WIBOR (Semiannually) | 12/15/2026 | PLN | 2,875,000 | 9,450 | 540 | 8,910 | |||||||
8.50% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 11,817,325 | 175,217 | (32,404) | 207,621 | |||||||
9.90% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 935,113 | 4,547 | (500) | 5,047 | |||||||
2.81% (Annually) | 6-Month BUBOR (Semiannually) | 9/21/2027 | HUF | 1,393,475,000 | 101,881 | (17,899) | 119,780 | |||||||
1.68% (Semiannually) | 3-Month CDOR (Semiannually) | 8/22/2028 | CAD | 17,030,000 | 244,353 | (17,478) | 261,831 | |||||||
1.24% (Annually) | 6-Month NIBOR (Semiannually) | 10/29/2030 | NOK | 68,420,000 | 292,612 | 213,587 | 79,025 | |||||||
1.00% (Annually) | 1-Day SONIA (Annually) | 2/10/2031 | GBP | 5,250,000 | 22,784 | (95,038) | 117,822 | |||||||
3-Month STIBOR (Quarterly) | 1.27% (Annually) | 5/11/2031 | SEK | 31,670,000 | 1,398 | (4,155) | 5,553 | |||||||
1.75% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/15/2031 | KRW | 934,120,000 | 13,092 | (8,035) | 21,127 | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/17/2031 | USD | 7,790,000 | (159,083) | (251,878) | 92,795 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/24/2031 | USD | 4,320,000 | 109,254 | 54,869 | 54,385 | |||||||
7.15% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/3/2031 | MXN | 30,820,000 | 41,192 | (793) | 41,985 | |||||||
0.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/15/2031 | JPY | 1,677,030,000 | 98,471 | 53,617 | 44,854 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 12/15/2031 | EUR | 680,000 | 14,652 | 1,425 | 13,227 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 12/15/2031 | GBP | 8,670,000 | 212,724 | (116,664) | 329,388 | |||||||
1.30% (Annually) | 3-Month TELBOR (Quarterly) | 12/15/2031 | ILS | 3,825,000 | 16,604 | 287 | 16,317 | |||||||
1.50% (Annually) | 6-Month NIBOR (Semiannually) | 12/15/2031 | NOK | 4,780,000 | 21,179 | 7,567 | 13,612 | |||||||
2.00% (Semiannually) | 3-Month CDOR (Semiannually) | 12/15/2031 | CAD | 4,920,000 | 5,438 | (85,435) | 90,873 | |||||||
2.20% (Annually) | 6-Month PRIBOR (Semiannually) | 12/15/2031 | CZK | 29,850,000 | 31,189 | (3,134) | 34,323 | |||||||
3.05% (Annually) | 6-Month BUBOR (Semiannually) | 12/15/2031 | HUF | 598,940,000 | 58,683 | 4,477 | 54,206 | |||||||
2.00% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 3/17/2032 | AUD | 1,500,000 | 19,739 | 6,624 | 13,115 | |||||||
1.63% (Annually) | 1-Day SOFR (Annually) | 9/22/2036 | USD | 16,630,000 | 179,087 | 5,100 | 173,987 | |||||||
0.61% (Annually) | 6-Month EURIBOR (Semiannually) | 7/22/2041 | EUR | 13,540,000 | 372,557 | 104,934 | 267,623 |
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% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/15/2051 | USD | 3,970,000 | $(139,748) | (343,744) | $203,996 | |||||||
Subtotal Appreciation | $2,600,483 | $(568,472) | $3,168,955 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 42,620,000 | $(20,372) | $(2,188) | $(18,184) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.39% (Upon termination) | 1/3/2022 | BRL | 33,647,155 | (67,382) | — | (67,382) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 14,754,934 | 31,430 | 62,563 | (31,133) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 0.50% (Semiannually) | 9/15/2022 | NZD | 111,410,000 | (402,489) | (361,882) | (40,607) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.20% (Upon termination) | 1/2/2023 | BRL | 22,194,952 | (76,495) | 2,179 | (78,674) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.23% (Upon termination) | 1/2/2023 | BRL | 11,656,189 | (99,522) | 2,673 | (102,195) | |||||||
3-Month CDOR (Semiannually) | 0.80% (Semiannually) | 2/28/2023 | CAD | 64,560,000 | (31,097) | (6,419) | (24,678) | |||||||
0.45% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/15/2023 | USD | 19,010,000 | (8,418) | (103) | (8,315) | |||||||
3-Month CDOR (Semiannually) | 1.10% (Semiannually) | 6/15/2023 | CAD | 21,830,000 | (730) | 888 | (1,618) | |||||||
1-Day MIBOR (Semiannually) | 4.29% (Semiannually) | 7/23/2023 | INR | 588,650,000 | 5,550 | 9,987 | (4,437) | |||||||
3-Month CDOR (Semiannually) | 1.20% (Semiannually) | 9/21/2023 | CAD | 22,170,000 | (18,282) | 8,035 | (26,317) | |||||||
0.00% (Annually) | 3-Month STIBOR (Quarterly) | 12/15/2023 | SEK | 67,540,000 | 24,700 | 25,636 | (936) | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/15/2023 | USD | 5,160,000 | (3,877) | (1,368) | (2,509) | |||||||
6-Month EURIBOR (Semiannually) | (0.50)% (Annually) | 12/15/2023 | EUR | 6,060,000 | (13,742) | (6,246) | (7,496) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.37% (Upon termination) | 1/2/2024 | BRL | 11,273,086 | (81,425) | 17,211 | (98,636) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 4,579,538 | (65,373) | 2,088 | (67,461) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 2/24/2024 | AUD | 11,690,000 | 10,143 | 28,925 | (18,782) | |||||||
0.49% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 6/29/2024 | AUD | 3,870,000 | (1,909) | 123 | (2,032) | |||||||
3-Month LIBOR (Quarterly) | 1-Month LIBOR + .09% (Quarterly) | 7/25/2024 | USD | 68,000,000 | 2,903 | 22,829 | (19,926) | |||||||
6-Month BUBOR (Semiannually) | 2.68% (Annually) | 9/21/2024 | HUF | 3,358,700,000 | (90,922) | 15,551 | (106,473) | |||||||
3-Month CDOR (Semiannually) | 1.56% (Semiannually) | 8/22/2025 | CAD | 24,000,000 | (114,175) | 11,370 | (125,545) | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 8,550,000 | (78,694) | (1,832) | (76,862) | |||||||
2.75% (Quarterly) | 7-Day CFETS Repo Rate (Quarterly) | 9/15/2026 | CNY | 1,660,296 | (3,118) | (2,898) | (220) | |||||||
6-Month THBFIX (Semiannually) | 1.00% (Semiannually) | 9/15/2026 | THB | 163,225,000 | (14,327) | (3,756) | (10,571) | |||||||
1-Day SONIA (Annually) | 0.50% (Annually) | 12/15/2026 | GBP | 12,160,000 | (229,576) | (82,566) | (147,010) | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 12/15/2026 | CAD | 3,790,000 | 18,235 | 45,678 | (27,443) | |||||||
3-Month LIBOR (Quarterly) | 1.25% (Semiannually) | 12/15/2026 | USD | 4,130,000 | 21,199 | 36,397 | (15,198) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.75% (Semiannually) | 12/15/2026 | NZD | 7,070,000 | (45,835) | (31,017) | (14,818) | |||||||
3-Month STIBOR (Quarterly) | 0.25% (Annually) | 12/15/2026 | SEK | 14,690,000 | (25,475) | (21,834) | (3,641) | |||||||
6-Month ASX BBSW (Semiannually) | 1.25% (Semiannually) | 12/15/2026 | AUD | 13,380,000 | 77,732 | 144,957 | (67,225) | |||||||
6-Month NIBOR (Semiannually) | 1.50% (Annually) | 12/15/2026 | NOK | 38,170,000 | (57,053) | (1,682) | (55,371) | |||||||
6-Month THBFIX (Semiannually) | 1.00% (Semiannually) | 3/16/2027 | THB | 196,440,000 | (64,343) | (22,056) | (42,287) | |||||||
1-Day SONIA (Annually) | 0.31% (Annually) | 6/17/2030 | GBP | 10,000 | (640) | 307 | (947) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 2/12/2031 | EUR | 7,240,000 | 28,912 | 139,519 | (110,607) | |||||||
2.13% (Annually) | 6-Month NIBOR (Semiannually) | 5/11/2031 | NOK | 28,030,000 | (7,029) | 6,476 | (13,505) | |||||||
6-Month EURIBOR (Semiannually) | 0.22% (Annually) | 7/22/2031 | EUR | 24,300,000 | (380,768) | (38,713) | (342,055) | |||||||
6-Month EURIBOR (Semiannually) | 0.25% (Annually) | 9/2/2031 | EUR | 6,780,000 | (99,850) | (27,051) | (72,799) | |||||||
3-Month HIBOR (Quarterly) | 1.50% (Quarterly) | 9/15/2031 | HKD | 4,508,144 | (1,013) | 5,894 | (6,907) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 3.00% (Semiannually) | 9/16/2031 | NZD | 780,000 | 7,952 | 19,216 | (11,264) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 9/16/2031 | EUR | 4,040,000 | (1,434) | 36,890 | (38,324) | |||||||
1-Day SOFR (Annually) | 1.53% (Annually) | 9/22/2031 | USD | 13,790,000 | (151,114) | 1,501 | (152,615) | |||||||
1-Day SONIA (Annually) | 1.00% (Annually) | 9/23/2031 | GBP | 3,580,000 | (21,141) | 23,185 | (44,326) | |||||||
1-Day CLP-TNA (Semiannually) | 5.10% (Semiannually) | 12/15/2031 | CLP | 1,502,700,000 | (58,108) | (921) | (57,187) | |||||||
1-Day COP-IBR-OIS (Quarterly) | 6.40% (Quarterly) | 12/15/2031 | COP | 4,960,410,000 | (30,428) | 3,875 | (34,303) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
3-Month JIBAR (Quarterly) | 7.40% (Quarterly) | 12/15/2031 | ZAR | 9,175,000 | $(13,112) | $(2,933) | $(10,179) | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 12/15/2031 | USD | 4,860,000 | 74,270 | 173,823 | (99,553) | |||||||
3-Month STIBOR (Quarterly) | 0.75% (Annually) | 12/15/2031 | SEK | 25,240,000 | (49,172) | 5,969 | (55,141) | |||||||
6-Month ASX BBSW (Semiannually) | 2.00% (Semiannually) | 12/15/2031 | AUD | 690,000 | 13,826 | 21,573 | (7,747) | |||||||
6-Month WIBOR (Semiannually) | 2.00% (Annually) | 12/15/2031 | PLN | 6,625,000 | (43,732) | 1,603 | (45,335) | |||||||
1-Day SONIA (Annually) | 1.00% (Annually) | 3/17/2032 | GBP | 1,850,000 | (13,151) | (4,598) | (8,553) | |||||||
3-Month STIBOR (Quarterly) | 1.00% (Annually) | 3/17/2032 | SEK | 11,860,000 | (21,367) | (9,445) | (11,922) | |||||||
Swiss Average Overnight Rate (Annually) | 0.50% (Annually) | 3/17/2032 | CHF | 980,000 | 1,040 | 7,406 | (6,366) | |||||||
1-Day SONIA (Annually) | 0.40% (Annually) | 6/17/2040 | GBP | 10,000 | (1,413) | 512 | (1,925) | |||||||
3-Month CDOR (Semiannually) | 2.25% (Semiannually) | 12/15/2051 | CAD | 6,180,000 | (162,593) | 83,677 | (246,270) | |||||||
3-Month CDOR (Semiannually) | 2.18% (Semiannually) | 8/22/2052 | CAD | 1,800,000 | (86,613) | 12,363 | (98,976) | |||||||
Subtotal Depreciation | $(2,439,417) | $351,371 | $(2,790,788) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at September 30, 2021 | $161,066 | $(217,101) | $378,167 |
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 USFFE or plus or minus a specified spread(-7.73% to 0.15%), which is denominated in USD based on the local currencies of the positions within the swap (Monthly).* | 56-60 months maturity ranging from 05/26/2026 - 09/28/2026 | GSC
| $157,315,312 | $(837,004) | $— | $(837,004) |
*The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
10X Genomics, Inc. Class A | (286) | $41,636 | $11,024 | (1.32)% | ||||
3M Co. | 2,364 | 414,693 | (20,131) | 2.40 | ||||
A.O. Smith Corporation | 4,167 | 254,479 | (41,244) | 4.93 | ||||
Abbott Laboratories | 7,440 | 878,887 | (73,387) | 8.77 | ||||
ABIOMED, Inc. | 744 | 242,187 | (30,028) | 3.59 | ||||
Acadia Healthcare Co., Inc. | 1,427 | 91,014 | (2,750) | 0.33 | ||||
Acceleron Pharma, Inc. | (1,385) | 238,358 | (56,971) | 6.81 | ||||
Accenture PLC Class A | 1,160 | 371,107 | (24,612) | 2.94 | ||||
ACI Worldwide, Inc. | 4,021 | 123,565 | (7,292) | 0.87 | ||||
Activision Blizzard, Inc. | 2,019 | 156,250 | 390 | (0.05) | ||||
Adaptive Biotechnologies Corporation | (6,863) | 233,273 | 29,914 | (3.57) | ||||
Adient PLC | (1,311) | 54,341 | (7,750) | 0.93 | ||||
Adobe, Inc. | 1,169 | 673,017 | (100,571) | 12.02 | ||||
ADT, Inc. | (21,814) | 176,475 | 5,999 | (0.72) | ||||
Adtalem Global Education, Inc. | (4,755) | 179,787 | 2,039 | (0.24) | ||||
Advanced Drainage Systems, Inc. | 128 | 13,846 | (1,114) | 0.13 | ||||
Advanced Micro Devices, Inc. | 1,716 | 176,576 | (5,597) | 0.67 | ||||
AECOM | (1,543) | 97,440 | 4,286 | (0.51) | ||||
AES Corporation (The) | (4,185) | 95,544 | 5,144 | (0.61) | ||||
AGCO Corporation | 4,052 | 496,492 | (25,943) | 3.10 | ||||
Agilent Technologies, Inc. | 448 | 70,573 | (8,834) | 1.06 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Air Lease Corporation | 793 | $31,197 | $20 | (0.00)% | ||||
Air Products & Chemicals, Inc. | (33) | 8,452 | 363 | (0.04) | ||||
Akamai Technologies, Inc. | 195 | 20,395 | (1,716) | 0.20 | ||||
Alaska Air Group, Inc. | 3,907 | 228,950 | 1,538 | (0.18) | ||||
Albemarle Corporation | (1,322) | 289,478 | 31,793 | (3.80) | ||||
Albertsons Cos., Inc. Class A | (389) | 12,110 | 327 | (0.04) | ||||
Alcoa Corporation | (4,446) | 217,587 | (6,365) | 0.76 | ||||
Alexandria Real Estate Equities, Inc. REIT | 434 | 82,924 | (4,445) | 0.53 | ||||
Align Technology, Inc. | 13 | 8,651 | (794) | 0.09 | ||||
Allegion PLC | 1,511 | 199,724 | (16,796) | 2.01 | ||||
ALLETE, Inc. | (1,124) | 66,900 | 7,753 | (0.93) | ||||
Alliance Data Systems Corporation | 339 | 34,202 | 2,224 | (0.27) | ||||
Alliant Energy Corporation | 5,466 | 305,987 | (25,836) | 3.09 | ||||
Allison Transmission Holdings, Inc. | 3,521 | 124,362 | (2,232) | 0.27 | ||||
Ally Financial, Inc. | 6,512 | 332,438 | 1,983 | (0.24) | ||||
Alnylam Pharmaceuticals, Inc. | (587) | 110,831 | 460 | (0.06) | ||||
Alphabet, Inc. Class A | 321 | 858,200 | (63,433) | 7.58 | ||||
Alteryx, Inc. Class A | (2,277) | 166,449 | 2,627 | (0.31) | ||||
Altice U.S.A., Inc. Class A | (1,351) | 27,993 | 8,753 | (1.05) | ||||
Amedisys, Inc. | 1,439 | 214,555 | (43,796) | 5.23 | ||||
AMERCO | 70 | 45,222 | (582) | 0.07 | ||||
Ameren Corporation | 169 | 13,689 | (1,071) | 0.13 | ||||
American Airlines Group, Inc. | (5,583) | 114,563 | (1,225) | 0.15 | ||||
American Campus Communities, Inc. REIT | 2,065 | 100,049 | (4,761) | 0.57 | ||||
American Electric Power Co., Inc. | 1,650 | 133,947 | (15,229) | 1.82 | ||||
American Express Co. | (2,924) | 489,858 | (22,925) | 2.74 | ||||
American Financial Group, Inc. | (636) | 80,028 | 3,102 | (0.37) | ||||
American Homes 4 Rent Class A REIT | (283) | 10,788 | 835 | (0.10) | ||||
American International Group, Inc. | (10,868) | 596,545 | (5,653) | 0.68 | ||||
American Tower Corporation REIT | 954 | 253,201 | (28,746) | 3.43 | ||||
American Water Works Co., Inc. | 165 | 27,892 | (3,056) | 0.36 | ||||
Americold Realty Trust REIT | (2,885) | 83,809 | 19,759 | (2.36) | ||||
Ameriprise Financial, Inc. | (636) | 167,980 | 3,448 | (0.41) | ||||
AMETEK, Inc. | (200) | 24,802 | 1,510 | (0.18) | ||||
Amgen, Inc. | 1,352 | 287,503 | (3,993) | 0.48 | ||||
Amkor Technology, Inc. | 2,253 | 56,212 | (6,766) | 0.81 | ||||
Amphenol Corporation Class A | (790) | 57,852 | 1,457 | (0.17) | ||||
Analog Devices, Inc. | (229) | 38,353 | 303 | (0.04) | ||||
Anaplan, Inc. | 2,269 | 138,159 | (11,770) | 1.41 | ||||
ANSYS, Inc. | (379) | 129,031 | 11,941 | (1.43) | ||||
Anthem, Inc. | 171 | 63,749 | 421 | (0.05) | ||||
APA Corporation | 6,692 | 143,410 | 13,133 | (1.57) | ||||
Apartment Income REIT Corporation | (2,434) | 118,804 | 4,767 | (0.57) | ||||
Applied Materials, Inc. | 943 | 121,392 | (5,700) | 0.68 | ||||
Aptiv PLC | (1,628) | 242,523 | (73) | 0.01 | ||||
Aramark | (17,482) | 574,459 | 6,799 | (0.81) | ||||
Archer-Daniels-Midland Co. | (1,383) | 82,994 | (487) | 0.06 | ||||
Armstrong World Industries, Inc. | (476) | 45,444 | 2,126 | (0.25) | ||||
Arrowhead Pharmaceuticals, Inc. | (3,055) | 190,724 | 8,475 | (1.01) | ||||
Arthur J. Gallagher & Co. | (85) | 12,635 | (318) | 0.04 | ||||
ASGN, Inc. | 237 | 26,814 | 137 | (0.02) | ||||
Aspen Technology, Inc. | 1,988 | 244,126 | (9,882) | 1.18 | ||||
Associated Banc-Corp | 6,692 | 143,343 | 10,514 | (1.26) | ||||
Assurant, Inc. | (912) | 143,868 | 10,421 | (1.25) | ||||
Assured Guaranty, Ltd. | (4,326) | 202,500 | 3,021 | (0.36) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
AT&T, Inc. | (9,046) | $244,332 | $3,431 | (0.41)% | ||||
Atmos Energy Corporation | 725 | 63,945 | (5,800) | 0.69 | ||||
Autodesk, Inc. | 858 | 244,676 | (2,180) | 0.26 | ||||
Autoliv, Inc. | 1,610 | 138,009 | (287) | 0.03 | ||||
Automatic Data Processing, Inc. | 763 | 152,539 | (1,636) | 0.20 | ||||
Avalara, Inc. | (375) | 65,539 | 3,406 | (0.41) | ||||
AvalonBay Communities, Inc. REIT | (465) | 103,063 | 2,024 | (0.24) | ||||
Avangrid, Inc. | 796 | 38,686 | (3,507) | 0.42 | ||||
Avient Corporation | (2,978) | 138,030 | 3,774 | (0.45) | ||||
Avis Budget Group, Inc. | (2,115) | 246,419 | (53,262) | 6.36 | ||||
Axalta Coating Systems, Ltd. | (288) | 8,407 | 95 | (0.01) | ||||
Axis Capital Holdings, Ltd. | (3,417) | 157,319 | 7,136 | (0.85) | ||||
Axon Enterprise, Inc. | 512 | 89,610 | (3,149) | 0.38 | ||||
AZEK Co., Inc. (The) | (3,660) | 133,700 | 14,086 | (1.68) | ||||
Baker Hughes Co. | 407 | 10,065 | 496 | (0.06) | ||||
BancorpSouth Bank | 6,275 | 186,870 | 4,311 | (0.52) | ||||
Bank of America Corporation | (5,085) | 215,858 | (8,803) | 1.05 | ||||
Bank of Hawaii Corporation | (371) | 30,485 | (1,054) | 0.13 | ||||
Bank of New York Mellon Corporation (The) | (3,665) | 189,994 | 3,805 | (0.45) | ||||
Bank OZK | (1,115) | 47,923 | (2,064) | 0.25 | ||||
Bath & Body Works, Inc. | (4,122) | 259,810 | 7,100 | (0.85) | ||||
Baxter International, Inc. | 449 | 36,113 | (418) | 0.05 | ||||
Becton, Dickinson and Co. | (263) | 64,651 | 3,766 | (0.45) | ||||
Belden, Inc. | (3,359) | 195,695 | (1,056) | 0.13 | ||||
Beyond Meat, Inc. | (3,604) | 379,357 | 29,695 | (3.55) | ||||
Bill.com Holdings, Inc. | (1,072) | 286,170 | 26,655 | (3.18) | ||||
Biogen, Inc. | (58) | 16,413 | 995 | (0.12) | ||||
Bio-Rad Laboratories, Inc. Class A | 89 | 66,390 | (5,779) | 0.69 | ||||
BJ's Wholesale Club Holdings, Inc. | (797) | 43,771 | 2,437 | (0.29) | ||||
Black Hills Corporation | (1,714) | 107,571 | 10,589 | (1.27) | ||||
Black Knight, Inc. | (603) | 43,416 | 1,940 | (0.23) | ||||
Blackbaud, Inc. | (1,928) | 135,635 | (5,827) | 0.70 | ||||
BlackRock, Inc. | (53) | 44,449 | 4,204 | (0.50) | ||||
Boeing Co. (The) | (3,279) | 721,183 | (19,697) | 2.35 | ||||
BOK Financial Corporation | 3,182 | 284,948 | 17,790 | (2.13) | ||||
Booking Holdings, Inc. | (120) | 284,864 | (6,633) | 0.79 | ||||
Booz Allen Hamilton Holding Corporation | 2,454 | 194,725 | (7,384) | 0.88 | ||||
BorgWarner, Inc. | (5,524) | 238,692 | (4,210) | 0.50 | ||||
Boston Properties, Inc. REIT | (350) | 37,922 | 723 | (0.09) | ||||
Boston Scientific Corporation | (5,050) | 219,120 | 10,193 | (1.22) | ||||
Bright Horizons Family Solutions, Inc. | (1,644) | 229,206 | 3,987 | (0.48) | ||||
Brighthouse Financial, Inc. | (1,425) | 64,453 | 2,848 | (0.34) | ||||
Brink's Co. (The) | (273) | 17,281 | 2,849 | (0.34) | ||||
Brixmor Property Group, Inc. REIT | (6,370) | 140,841 | 6,110 | (0.73) | ||||
Broadcom, Inc. | 199 | 96,501 | (998) | 0.12 | ||||
Broadridge Financial Solutions, Inc. | (272) | 45,326 | 938 | (0.11) | ||||
Brookfield Asset Management, Inc. Class A | (366) | 19,585 | 878 | (0.11) | ||||
Brookfield Property Preferred LP | (263) | 6,433 | 187 | (0.02) | ||||
Brooks Automation, Inc. | (1,999) | 204,598 | (12,879) | 1.54 | ||||
Bruker Corporation | 347 | 27,101 | (4,258) | 0.51 | ||||
Brunswick Corporation | 4,613 | 439,481 | (4,684) | 0.56 | ||||
Builders FirstSource, Inc. | (3,595) | 186,005 | 9,448 | (1.13) | ||||
Bunge, Ltd. | (2,824) | 229,648 | (16,019) | 1.91 | ||||
Burlington Stores, Inc. | (259) | 73,445 | 2,745 | (0.33) | ||||
BWX Technologies, Inc. | (226) | 12,172 | 578 | (0.07) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
C.H. Robinson Worldwide, Inc. | (5,143) | $447,441 | $(996) | 0.12% | ||||
Cable One, Inc. | (88) | 159,555 | 15,216 | (1.82) | ||||
Cabot Oil & Gas Corporation | 20,112 | 437,637 | 64,921 | (7.76) | ||||
CACI International, Inc. Class A | 674 | 176,655 | 2,448 | (0.29) | ||||
Cadence Design Systems, Inc. | 1,871 | 283,344 | (27,107) | 3.24 | ||||
Callaway Golf Co. | (7,049) | 194,764 | 5,069 | (0.61) | ||||
Camden Property Trust REIT | 695 | 102,492 | (1,554) | 0.19 | ||||
Campbell Soup Co. | 2,016 | 84,289 | (2,005) | 0.24 | ||||
Capital One Financial Corporation | 3,565 | 577,423 | 22,007 | (2.63) | ||||
Capri Holdings, Ltd. | (3,256) | 157,623 | 24,349 | (2.91) | ||||
Cardinal Health, Inc. | (4,106) | 203,083 | 13,711 | (1.64) | ||||
Carlisle Cos., Inc. | (1,130) | 224,633 | 3,066 | (0.37) | ||||
CarMax, Inc. | (1,458) | 186,566 | 7,677 | (0.92) | ||||
Carnival Corporation | (12,522) | 313,175 | (19,975) | 2.39 | ||||
Carrier Global Corporation | (498) | 25,776 | 2,474 | (0.30) | ||||
Carter's, Inc. | 145 | 14,100 | (439) | 0.05 | ||||
Carvana Co. | (564) | 170,069 | 15,279 | (1.83) | ||||
Catalent, Inc. | (2,202) | 293,020 | 17,518 | (2.09) | ||||
Caterpillar, Inc. | 223 | 42,809 | (1,082) | 0.13 | ||||
Cathay General Bancorp | 4,488 | 185,758 | 6,084 | (0.73) | ||||
Cboe Global Markets, Inc. | 817 | 101,194 | 86 | (0.01) | ||||
CBRE Group, Inc. Class A | (357) | 34,758 | 277 | (0.03) | ||||
CDK Global, Inc. | (1,931) | 82,164 | (794) | 0.09 | ||||
Centene Corporation | (2,127) | 132,533 | (627) | 0.07 | ||||
CenterPoint Energy, Inc. | (14,794) | 363,932 | 28,983 | (3.46) | ||||
Ceridian HCM Holding, Inc. | (2,940) | 331,103 | (805) | 0.10 | ||||
Cerner Corporation | 11,514 | 811,967 | (49,719) | 5.94 | ||||
CF Industries Holdings, Inc. | (8,440) | 471,121 | (87,957) | 10.51 | ||||
ChampionX Corporation | 3,653 | 81,681 | 649 | (0.08) | ||||
ChargePoint Holdings, Inc. | 2,953 | 59,030 | (5,559) | 0.66 | ||||
Charles River Laboratories International, Inc. | (431) | 177,861 | 13,066 | (1.56) | ||||
Charles Schwab Corporation (The) | (9,840) | 716,746 | (5,042) | 0.60 | ||||
Charter Communications, Inc. Class A | 248 | 180,435 | (14,368) | 1.72 | ||||
Chegg, Inc. | (2,164) | 147,195 | 25,551 | (3.05) | ||||
Chemed Corporation | 946 | 440,004 | (12,716) | 1.52 | ||||
Chemours Co. (The) | (3,830) | 111,300 | 9,766 | (1.17) | ||||
Cheniere Energy, Inc. | (764) | 74,620 | (5,987) | 0.72 | ||||
Chevron Corporation | 603 | 61,174 | 3,280 | (0.39) | ||||
Chipotle Mexican Grill, Inc. | (40) | 72,701 | 3,685 | (0.44) | ||||
Choice Hotels International, Inc. | 540 | 68,240 | 3,609 | (0.43) | ||||
Cigna Corporation | 1,532 | 306,645 | (19,630) | 2.35 | ||||
Cimarex Energy Co. | 250 | 21,800 | 3,273 | (0.39) | ||||
Cinemark Holdings, Inc. | (9,961) | 191,351 | (15,688) | 1.87 | ||||
Cintas Corporation | 612 | 232,964 | (12,696) | 1.52 | ||||
Cirrus Logic, Inc. | 2,276 | 187,429 | (9,945) | 1.19 | ||||
Citigroup, Inc. | (5,905) | 414,413 | 2,367 | (0.28) | ||||
Citizens Financial Group, Inc. | (6,446) | 302,833 | (21,950) | 2.62 | ||||
Citrix Systems, Inc. | (1,047) | 112,416 | 581 | (0.07) | ||||
Clarivate PLC | (12,873) | 281,919 | 49,843 | (5.96) | ||||
Clean Harbors, Inc. | (489) | 50,792 | (1,610) | 0.19 | ||||
Cleveland-Cliffs, Inc. | (9,484) | 187,878 | 33,471 | (4.00) | ||||
Cloudflare, Inc. Class A | (958) | 107,919 | 14,692 | (1.76) | ||||
CMC Materials, Inc. | (1,712) | 210,970 | 15,897 | (1.90) | ||||
CME Group, Inc. | 539 | 104,232 | 970 | (0.12) | ||||
CMS Energy Corporation | 7,251 | 433,102 | (34,203) | 4.09 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
CNX Resources Corporation | (3,244) | $40,939 | $(2,531) | 0.30% | ||||
Coca-Cola Co. (The) | 2,891 | 151,691 | (6,419) | 0.77 | ||||
Cognizant Technology Solutions Corporation Class A | 2,708 | 200,961 | (6,170) | 0.74 | ||||
Colfax Corporation | (2,849) | 130,769 | 2,930 | (0.35) | ||||
Columbia Sportswear Co. | 1,946 | 186,505 | (9,007) | 1.08 | ||||
Comcast Corporation Class A | (1,164) | 65,103 | 4,223 | (0.50) | ||||
Comerica, Inc. | (3,453) | 277,967 | (22,977) | 2.74 | ||||
Commerce Bancshares, Inc. | 2,083 | 145,143 | 2,247 | (0.27) | ||||
Commercial Metals Co. | (1,834) | 55,864 | 1,117 | (0.13) | ||||
CommScope Holding Co., Inc. | (10,944) | 148,729 | 12,244 | (1.46) | ||||
CommVault Systems, Inc. | 1,644 | 123,810 | (5,308) | 0.63 | ||||
Compass Minerals International, Inc. | (3,555) | 228,942 | 2,681 | (0.32) | ||||
Conagra Brands, Inc. | 9,099 | 308,183 | 5,882 | (0.70) | ||||
Concentrix Corporation | 784 | 138,768 | 2,274 | (0.27) | ||||
Consolidated Edison, Inc. | (2,293) | 166,449 | 5,780 | (0.69) | ||||
Copart, Inc. | 854 | 118,467 | (2,891) | 0.35 | ||||
CoreSite Realty Corporation REIT | (530) | 73,426 | 5,520 | (0.66) | ||||
Corning, Inc. | (2,033) | 74,184 | 3,793 | (0.45) | ||||
Corporate Office Properties Trust REIT | 5,270 | 142,185 | (4,258) | 0.51 | ||||
CoStar Group, Inc. | 768 | 66,094 | (2,795) | 0.33 | ||||
Coty, Inc. Class A | (23,276) | 182,949 | 13,715 | (1.64) | ||||
Coupa Software, Inc. | (1,358) | 297,646 | 48,714 | (5.82) | ||||
Cousins Properties, Inc. REIT | 571 | 21,293 | (316) | 0.04 | ||||
Cracker Barrel Old Country Store, Inc. | 1,174 | 164,172 | (2,755) | 0.33 | ||||
Crane Co. | (526) | 49,870 | (159) | 0.02 | ||||
Credit Acceptance Corporation | 231 | 135,204 | (6,183) | 0.74 | ||||
Cree, Inc. | (3,871) | 312,506 | 18,183 | (2.17) | ||||
Crocs, Inc. | 528 | 75,757 | 1,021 | (0.12) | ||||
Crowdstrike Holdings, Inc. Class A | (36) | 8,848 | 697 | (0.08) | ||||
Crown Castle International Corporation REIT | 1,271 | 220,290 | (19,594) | 2.34 | ||||
Crown Holdings, Inc. | (5,297) | 533,832 | 29,962 | (3.58) | ||||
CSX Corporation | 4,348 | 129,310 | (7,015) | 0.84 | ||||
CubeSmart REIT | 1,055 | 51,115 | (4,743) | 0.57 | ||||
Cullen/Frost Bankers, Inc. | (251) | 29,774 | (1,825) | 0.22 | ||||
Cummins, Inc. | 626 | 140,575 | (3,763) | 0.45 | ||||
Curtiss-Wright Corporation | 1,488 | 187,756 | 15,724 | (1.88) | ||||
CVS Health Corporation | (5,920) | 502,371 | 3,239 | (0.39) | ||||
CyrusOne, Inc. REIT | 1,946 | 150,640 | 237 | (0.03) | ||||
D.R. Horton, Inc. | 636 | 53,405 | (3,994) | 0.48 | ||||
Dana, Inc. | (1,754) | 39,009 | (1,931) | 0.23 | ||||
Danaher Corporation | 151 | 45,970 | (3,589) | 0.43 | ||||
Darden Restaurants, Inc. | 1,703 | 257,953 | 5,575 | (0.67) | ||||
Darling Ingredients, Inc. | 1,722 | 123,812 | 2,294 | (0.27) | ||||
Datadog, Inc. Class A | (169) | 23,888 | (77) | 0.01 | ||||
DaVita, Inc. | (100) | 11,626 | 1,018 | (0.12) | ||||
Deckers Outdoor Corporation | 838 | 301,848 | (39,063) | 4.67 | ||||
Deere & Co. | 36 | 12,063 | (1,035) | 0.12 | ||||
Delta Air Lines, Inc. | (6,212) | 264,693 | (9,451) | 1.13 | ||||
DENTSPLY SIRONA, Inc. | (1,887) | 109,540 | 8,112 | (0.97) | ||||
Devon Energy Corporation | 302 | 10,724 | 2,279 | (0.27) | ||||
DexCom, Inc. | (232) | 126,872 | 1,341 | (0.16) | ||||
Digital Realty Trust, Inc. REIT | 240 | 34,668 | (3,227) | 0.39 | ||||
Discover Financial Services | (66) | 8,108 | (169) | 0.02 | ||||
Discovery, Inc. Class A | (9,039) | 229,410 | 9,889 | (1.18) | ||||
DISH Network Corporation Class A | (6,169) | 268,105 | 2,030 | (0.24) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
DocuSign, Inc. | 762 | $196,162 | $(18,220) | 2.18% | ||||
Dolby Laboratories, Inc. Class A | 2,998 | 263,824 | (19,100) | 2.28 | ||||
Dollar General Corporation | (935) | 198,351 | 7,473 | (0.89) | ||||
Dollar Tree, Inc. | (1,321) | 126,446 | (5,975) | 0.71 | ||||
Dominion Energy, Inc. | 466 | 34,027 | (2,078) | 0.25 | ||||
Domino’s Pizza, Inc. | 1,054 | 502,716 | (41,334) | 4.94 | ||||
Donaldson Co., Inc. | 4,902 | 281,424 | (15,375) | 1.84 | ||||
Douglas Emmett, Inc. REIT | 969 | 30,630 | (836) | 0.10 | ||||
Dow, Inc. | (5,446) | 313,472 | 14,802 | (1.77) | ||||
Dropbox, Inc. Class A | 3,160 | 92,335 | (9,112) | 1.09 | ||||
DTE Energy Co. | 611 | 68,255 | (4,917) | 0.59 | ||||
Duke Energy Corporation | 2,421 | 236,265 | (14,071) | 1.68 | ||||
Duke Realty Corporation REIT | 520 | 24,892 | (1,828) | 0.22 | ||||
Dun & Bradstreet Holdings, Inc. | (9,127) | 153,425 | 12,772 | (1.53) | ||||
DuPont de Nemours, Inc. | (4,959) | 337,162 | 9,960 | (1.19) | ||||
DXC Technology Co. | (7,877) | 264,746 | 14,599 | (1.74) | ||||
Dynatrace, Inc. | (1,392) | 98,790 | (463) | 0.06 | ||||
Eagle Materials, Inc. | (1,883) | 246,974 | 23,416 | (2.80) | ||||
EastGroup Properties, Inc. REIT | 1,741 | 290,103 | (15,511) | 1.85 | ||||
Eaton Corporation PLC | (1,829) | 273,088 | 22,341 | (2.67) | ||||
eBay, Inc. | (685) | 47,724 | 2,283 | (0.27) | ||||
Edwards Lifesciences Corporation | 1,282 | 145,135 | (11,388) | 1.36 | ||||
Elanco Animal Health, Inc. | (10,939) | 348,845 | 18,037 | (2.16) | ||||
Elastic NV | (320) | 47,677 | 5,461 | (0.65) | ||||
Electronic Arts, Inc. | 774 | 110,101 | 73 | (0.01) | ||||
Eli Lilly and Co. | 547 | 126,384 | (4,910) | 0.59 | ||||
EMCOR Group, Inc. | 3,189 | 367,947 | (8,895) | 1.06 | ||||
Emergent BioSolutions, Inc. | (157) | 7,861 | 398 | (0.05) | ||||
Emerson Electric Co. | 1,988 | 187,270 | (11,711) | 1.40 | ||||
Encompass Health Corporation | (5,653) | 424,201 | 26,400 | (3.15) | ||||
Energizer Holdings, Inc. | (5,277) | 206,067 | (2,008) | 0.24 | ||||
EnerSys, Inc. | (158) | 11,762 | 875 | (0.10) | ||||
Enphase Energy, Inc. | (1,282) | 192,262 | 14,595 | (1.74) | ||||
Entegris, Inc. | (1,306) | 164,425 | (8,089) | 0.97 | ||||
Entergy Corporation | (116) | 11,520 | 1,109 | (0.13) | ||||
Envestnet, Inc. | (2,455) | 196,989 | (6,414) | 0.77 | ||||
Envista Holdings Corporation | (3,590) | 150,098 | 5,452 | (0.65) | ||||
EOG Resources, Inc. | 4,570 | 366,834 | 59,011 | (7.05) | ||||
EPAM Systems, Inc. | 274 | 156,312 | (15,475) | 1.85 | ||||
EPR Properties REIT | (4,577) | 226,012 | (3,027) | 0.36 | ||||
EQT Corporation | (15,818) | 323,636 | (8,648) | 1.03 | ||||
Equifax, Inc. | (917) | 232,386 | 20,177 | (2.41) | ||||
Equinix, Inc. REIT | (257) | 203,063 | 15,820 | (1.89) | ||||
Equitable Holdings, Inc. | (2,713) | 80,413 | 2,358 | (0.28) | ||||
Equity Residential REIT | (859) | 69,510 | 1,330 | (0.16) | ||||
Essent Group, Ltd. | (1,478) | 65,047 | 3,087 | (0.37) | ||||
Essential Utilities, Inc. | (2,088) | 96,215 | 8,432 | (1.01) | ||||
Essex Property Trust, Inc. REIT | 871 | 278,494 | (5,666) | 0.68 | ||||
Euronet Worldwide, Inc. | (1,892) | 240,814 | 7,427 | (0.89) | ||||
Everbridge, Inc. | (1,711) | 258,429 | 15,869 | (1.90) | ||||
Evercore, Inc. Class A | 1,086 | 145,166 | (5,099) | 0.61 | ||||
Everest Re Group, Ltd. | (985) | 247,018 | 7,436 | (0.89) | ||||
Evergy, Inc. | 1,222 | 76,008 | (6,675) | 0.80 | ||||
Eversource Energy | (624) | 51,018 | 4,647 | (0.56) | ||||
Exact Sciences Corporation | (3,149) | 300,572 | 32,739 | (3.91) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Exelixis, Inc. | 7,937 | $167,788 | $12,682 | (1.52)% | ||||
Exelon Corporation | (6,042) | 292,070 | 11,409 | (1.36) | ||||
Expedia Group, Inc. | (482) | 79,000 | (8,273) | 0.99 | ||||
Expeditors International of Washington, Inc. | 945 | 112,578 | (4,095) | 0.49 | ||||
Extra Space Storage, Inc. REIT | 1,442 | 242,242 | (25,841) | 3.09 | ||||
Exxon Mobil Corporation | (3,785) | 222,634 | (17,910) | 2.14 | ||||
Facebook, Inc. Class A | 3,678 | 1,248,276 | (128,383) | 15.34 | ||||
FactSet Research Systems, Inc. | 395 | 155,938 | 4,799 | (0.57) | ||||
Fair Isaac Corporation | 736 | 292,876 | (46,891) | 5.60 | ||||
Fastenal Co. | 7,346 | 379,127 | (13,265) | 1.58 | ||||
Fastly, Inc. Class A | (2,307) | 93,295 | 10,295 | (1.23) | ||||
Federal Realty Investment Trust REIT | (2,514) | 296,627 | 3,140 | (0.38) | ||||
Federated Hermes, Inc. | 2,779 | 90,317 | 1,519 | (0.18) | ||||
FedEx Corporation | (630) | 138,153 | 24,678 | (2.95) | ||||
Fidelity National Information Services, Inc. | (1,513) | 184,102 | 7,093 | (0.85) | ||||
Fifth Third Bancorp | (8,038) | 341,133 | (31,679) | 3.78 | ||||
FireEye, Inc. | (11,361) | 202,226 | 7,615 | (0.91) | ||||
First Citizens BancShares, Inc. Class A | 151 | 127,319 | (5,209) | 0.62 | ||||
First Financial Bankshares, Inc. | 2,130 | 97,873 | 3,376 | (0.40) | ||||
First Hawaiian, Inc. | 2,571 | 75,459 | 6,574 | (0.79) | ||||
First Horizon Corporation | (11,538) | 187,954 | (10,514) | 1.26 | ||||
First Industrial Realty Trust, Inc. REIT | 1,289 | 67,131 | (2,624) | 0.31 | ||||
First Republic Bank | (827) | 159,512 | 3,791 | (0.45) | ||||
First Solar, Inc. | (511) | 48,780 | (599) | 0.07 | ||||
FirstCash, Inc. | 2,403 | 210,262 | (215) | 0.03 | ||||
FirstEnergy Corporation | (1,527) | 54,392 | 4,197 | (0.50) | ||||
Fiserv, Inc. | (1,956) | 212,226 | 12,726 | (1.52) | ||||
Five Below, Inc. | (699) | 123,590 | 5,161 | (0.62) | ||||
FleetCor Technologies, Inc. | 112 | 29,262 | (376) | 0.04 | ||||
Floor & Decor Holdings, Inc. Class A | (212) | 25,607 | 803 | (0.10) | ||||
Flowers Foods, Inc. | 14,443 | 341,288 | 5,018 | (0.60) | ||||
Flowserve Corporation | (2,346) | 81,336 | 3,776 | (0.45) | ||||
Fluor Corporation | (15,814) | 252,550 | 1,712 | (0.20) | ||||
FNB Corporation | (2,250) | 26,145 | (1,261) | 0.15 | ||||
Ford Motor Co. | 5,844 | 82,751 | 8,174 | (0.98) | ||||
Fortinet, Inc. | 28 | 8,177 | (513) | 0.06 | ||||
Fortive Corporation | (7,984) | 563,431 | 41,010 | (4.90) | ||||
Fortune Brands Home & Security, Inc. | (1,579) | 141,194 | 9,595 | (1.15) | ||||
Fox Corporation Class A | 836 | 33,532 | 3,132 | (0.37) | ||||
Fox Factory Holding Corporation | (543) | 78,485 | 3,587 | (0.43) | ||||
Franklin Resources, Inc. | (4,330) | 128,688 | 5,885 | (0.70) | ||||
Freshpet, Inc. | (1,463) | 208,755 | (16,333) | 1.95 | ||||
Frontdoor, Inc. | 3,232 | 135,421 | (13,946) | 1.67 | ||||
FTI Consulting, Inc. | 752 | 101,294 | (1,996) | 0.24 | ||||
GameStop Corporation Class A | (257) | 45,096 | 3,130 | (0.37) | ||||
Gap, Inc. (The) | (19,082) | 433,161 | 35,124 | (4.20) | ||||
Garmin, Ltd. | 2,173 | 337,815 | (36,938) | 4.41 | ||||
Gartner, Inc. | 781 | 237,330 | (9,391) | 1.12 | ||||
Gates Industrial Corporation PLC | (557) | 9,062 | 384 | (0.05) | ||||
GATX Corporation | (3,180) | 284,801 | (3,930) | 0.47 | ||||
Generac Holdings, Inc. | 606 | 247,654 | (28,251) | 3.38 | ||||
General Electric Co. | (9,823) | 1,012,064 | 933 | (0.11) | ||||
General Mills, Inc. | 2,200 | 131,604 | 3,000 | (0.36) | ||||
Gentex Corporation | 20,461 | 674,804 | 36,351 | (4.34) | ||||
Gilead Sciences, Inc. | 1,064 | 74,320 | (61) | 0.01 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Glacier Bancorp, Inc. | 1,728 | $95,645 | $7,075 | (0.85)% | ||||
Global Payments, Inc. | 127 | 20,013 | (1,112) | 0.13 | ||||
Globus Medical, Inc. Class A | 137 | 10,497 | (900) | 0.11 | ||||
GoDaddy, Inc. Class A | 1,091 | 76,043 | (6,162) | 0.74 | ||||
Graco, Inc. | 4,372 | 305,909 | (31,734) | 3.79 | ||||
Graham Holdings Co. Class B | 56 | 32,993 | (482) | 0.06 | ||||
Grand Canyon Education, Inc. | 3,417 | 300,559 | (6,218) | 0.74 | ||||
Graphic Packaging Holding Co. | (8,429) | 160,488 | 7,966 | (0.95) | ||||
Greif, Inc. Class A | (949) | 61,305 | 588 | (0.07) | ||||
Grocery Outlet Holding Corporation | (11,726) | 252,930 | 36,194 | (4.32) | ||||
Guardant Health, Inc. | (1,735) | 216,892 | 10,125 | (1.21) | ||||
Guidewire Software, Inc. | (1,681) | 199,820 | 5,372 | (0.64) | ||||
H&R Block, Inc. | 5,583 | 139,575 | 152 | (0.02) | ||||
Haemonetics Corporation | (4,956) | 349,844 | (24,444) | 2.92 | ||||
Halliburton Co. | (3,116) | 67,368 | (6,620) | 0.79 | ||||
Hancock Whitney Corporation | (2,771) | 130,570 | (8,345) | 1.00 | ||||
Hanesbrands, Inc. | (5,197) | 89,181 | 8,624 | (1.03) | ||||
Harley-Davidson, Inc. | (2,148) | 78,638 | 1,745 | (0.21) | ||||
Hartford Financial Services Group, Inc. (The) | (1,950) | 136,988 | (3,937) | 0.47 | ||||
Hasbro, Inc. | (3,409) | 304,151 | 30,056 | (3.59) | ||||
Hawaiian Electric Industries, Inc. | 3,478 | 142,007 | (6,624) | 0.79 | ||||
HCA Healthcare, Inc. | (994) | 241,264 | 14,947 | (1.79) | ||||
Healthcare Realty Trust, Inc. REIT | 7,793 | 232,076 | (3,299) | 0.39 | ||||
Healthcare Services Group, Inc. | 8,659 | 216,388 | (12,678) | 1.51 | ||||
Healthcare Trust of America, Inc. Class A REIT | 11,971 | 355,060 | (8,539) | 1.02 | ||||
HealthEquity, Inc. | (1,894) | 122,655 | 2,288 | (0.27) | ||||
Healthpeak Properties, Inc. REIT | (2,973) | 99,536 | 6,329 | (0.76) | ||||
HEICO Corporation | 1,409 | 185,805 | 7,233 | (0.86) | ||||
Helen of Troy, Ltd. | 768 | 172,554 | (4,704) | 0.56 | ||||
Henry Schein, Inc. | 3,004 | 228,785 | (4,862) | 0.58 | ||||
Herman Miller, Inc. | 2,097 | 78,973 | (4,460) | 0.53 | ||||
Hershey Co. (The) | 2,997 | 507,242 | (15,759) | 1.88 | ||||
Hess Corporation | (2,981) | 232,846 | (29,165) | 3.48 | ||||
Hewlett Packard Enterprise Co. | (14,924) | 212,667 | 3,842 | (0.46) | ||||
Hexcel Corporation | (2,208) | 131,133 | (11,331) | 1.35 | ||||
Highwoods Properties, Inc. REIT | 5,802 | 254,476 | (5,888) | 0.70 | ||||
Hilton Worldwide Holdings, Inc. | (168) | 22,194 | (606) | 0.07 | ||||
HollyFrontier Corporation | (713) | 23,622 | (1,304) | 0.16 | ||||
Hologic, Inc. | 2,869 | 211,761 | (17,641) | 2.11 | ||||
Home BancShares, Inc. | 5,267 | 123,933 | 10,680 | (1.28) | ||||
Honeywell International, Inc. | (941) | 199,755 | 10,015 | (1.20) | ||||
Horizon Pharma PLC | (1,336) | 146,345 | (2,837) | 0.34 | ||||
Hormel Foods Corporation | (4,601) | 188,641 | 5,515 | (0.66) | ||||
Host Hotels & Resorts, Inc. REIT | (6,124) | 100,005 | (1,473) | 0.18 | ||||
Howard Hughes Corporation (The) | (229) | 20,108 | 439 | (0.05) | ||||
Howmet Aerospace, Inc. | (1,985) | 61,932 | 931 | (0.11) | ||||
Hubbell, Inc. | (541) | 97,742 | 6,991 | (0.84) | ||||
HubSpot, Inc. | 49 | 33,128 | (288) | 0.03 | ||||
Hudson Pacific Properties, Inc. REIT | 11,447 | 300,713 | (4,956) | 0.59 | ||||
Huntington Bancshares, Inc. | (28,767) | 444,738 | (7,516) | 0.90 | ||||
Huntington Ingalls Industries, Inc. | 622 | 120,083 | (3,913) | 0.47 | ||||
Hyatt Hotels Corporation Class A | (2,475) | 190,823 | (12,282) | 1.47 | ||||
IAA, Inc. | (1,767) | 96,425 | (2,883) | 0.34 | ||||
IAC/InterActiveCorp | (1,413) | 184,100 | 1,509 | (0.18) | ||||
ICU Medical, Inc. | 842 | 196,506 | (15,937) | 1.90 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
IDACORP, Inc. | 3,302 | $341,361 | $(13,114) | 1.57% | ||||
IDEX Corporation | (125) | 25,869 | 1,348 | (0.16) | ||||
IDEXX Laboratories, Inc. | 557 | 346,398 | (30,492) | 3.64 | ||||
II-VI, Inc. | (2,378) | 141,158 | 6,364 | (0.76) | ||||
Illinois ToolWorks, Inc. | 1,232 | 254,568 | (13,433) | 1.60 | ||||
Illumina, Inc. | (106) | 42,995 | 5,684 | (0.68) | ||||
Incyte Corporation | 5,169 | 355,524 | (20,252) | 2.42 | ||||
Ingersoll-Rand, Inc. | (6,727) | 339,108 | 23,398 | (2.80) | ||||
Ingredion, Inc. | (2,413) | 214,781 | (6,594) | 0.79 | ||||
Insperity, Inc. | 738 | 81,726 | 2,641 | (0.32) | ||||
Insulet Corporation | (626) | 177,928 | 11,287 | (1.35) | ||||
Integra LifeSciences Holdings Corporation | (641) | 43,896 | 3,062 | (0.37) | ||||
Intel Corporation | 2,362 | 125,847 | (297) | 0.04 | ||||
Intercontinental Exchange, Inc. | 639 | 73,370 | (2,967) | 0.35 | ||||
International Bancshares Corporation | 1,453 | 60,503 | 999 | (0.12) | ||||
International Business Machines Corporation | 1,952 | 271,191 | 2,294 | (0.27) | ||||
International Flavors & Fragrances, Inc. | (2,900) | 387,788 | 47,349 | (5.66) | ||||
International Paper Co. | (8,854) | 495,116 | 18,688 | (2.23) | ||||
Interpublic Group of Cos., Inc. (The) | 894 | 32,783 | 104 | (0.01) | ||||
Intuit, Inc. | 472 | 254,649 | (13,358) | 1.60 | ||||
Invesco, Ltd. | (9,389) | 226,369 | 6,283 | (0.75) | ||||
Invitation Homes, Inc. REIT | 3,248 | 124,496 | (9,011) | 1.08 | ||||
Ionis Pharmaceuticals, Inc. | (6,324) | 212,107 | 17,195 | (2.05) | ||||
Iovance Biotherapeutics, Inc. | (7,682) | 189,438 | (4,746) | 0.57 | ||||
IQVIA Holdings, Inc. | (1,440) | 344,938 | 31,293 | (3.74) | ||||
Iridium Communications, Inc. | (1,299) | 51,765 | 6,624 | (0.79) | ||||
Iron Mountain, Inc. REIT | (2,574) | 111,840 | 8,651 | (1.03) | ||||
ITT, Inc. | 3,232 | 277,435 | (13,154) | 1.57 | ||||
J.M. Smucker Co. (The) | 1,713 | 205,611 | (1,307) | 0.16 | ||||
J2 Global, Inc. | (288) | 39,347 | 494 | (0.06) | ||||
Jabil, Inc. | (4,317) | 251,983 | 15,662 | (1.87) | ||||
Jack Henry & Associates, Inc. | 1,934 | 317,292 | (13,022) | 1.56 | ||||
Jack in the Box, Inc. | 678 | 65,990 | (3,065) | 0.37 | ||||
Jacobs Engineering Group, Inc. | (1,400) | 185,542 | 4,222 | (0.50) | ||||
Jazz Pharmaceuticals PLC | (1,317) | 171,487 | 5,685 | (0.68) | ||||
JBG SMITH Properties REIT | 2,046 | 60,582 | (661) | 0.08 | ||||
Jefferies Financial Group, Inc. | 7,742 | 287,460 | 2,524 | (0.30) | ||||
JetBlue Airways Corporation | (14,845) | 226,980 | 141 | (0.02) | ||||
John Wiley & Sons, Inc. Class A | (231) | 12,061 | 1,212 | (0.15) | ||||
Jones Lang LaSalle, Inc. | (956) | 237,174 | (5,992) | 0.72 | ||||
JPMorgan Chase & Co. | (2,658) | 435,088 | (11,975) | 1.43 | ||||
Juniper Networks, Inc. | (8,998) | 247,625 | 3,181 | (0.38) | ||||
KAR Auction Services, Inc. | (20,046) | 328,554 | (5,185) | 0.62 | ||||
KB Home | (1,440) | 56,045 | 4,102 | (0.49) | ||||
KBR, Inc. | (967) | 38,100 | (137) | 0.02 | ||||
Kellogg Co. | 3,900 | 249,288 | 5,823 | (0.70) | ||||
Kennametal, Inc. | (4,482) | 153,419 | 8,914 | (1.07) | ||||
KeyCorp | (10,409) | 225,043 | (13,071) | 1.56 | ||||
Kilroy Realty Corporation REIT | 5,333 | 353,098 | 7,268 | (0.87) | ||||
Kimberly-Clark Corporation | (1,194) | 158,133 | 6,392 | (0.76) | ||||
Kimco Realty Corporation REIT | (9,072) | 188,244 | 4,618 | (0.55) | ||||
Kinder Morgan, Inc. | 22,444 | 375,488 | 16,794 | (2.01) | ||||
Kirby Corporation | (2,473) | 118,605 | 10,185 | (1.22) | ||||
KLA Corporation | 121 | 40,476 | (1,616) | 0.19 | ||||
Knight-Swift Transportation Holdings | 5,925 | 303,064 | (863) | 0.10 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Kraft Heinz Co. (The) | (8,613) | $317,131 | $(2,249) | 0.27% | ||||
L3Harris Technologies, Inc. | (201) | 44,268 | 2,167 | (0.26) | ||||
Laboratory Corporation of America Holdings | 603 | 169,708 | (13,117) | 1.57 | ||||
Lam Research Corporation | 201 | 114,399 | (4,628) | 0.55 | ||||
Lamar Advertising Co. Class A REIT | 178 | 20,194 | 468 | (0.06) | ||||
Lamb Weston Holdings, Inc. | (2,938) | 180,305 | (359) | 0.04 | ||||
Lancaster Colony Corporation | 992 | 167,460 | (3,423) | 0.41 | ||||
Landstar System, Inc. | 1,111 | 175,338 | (3,819) | 0.46 | ||||
Lattice Semiconductor Corporation | 404 | 26,119 | 1,056 | (0.13) | ||||
Lear Corporation | 1,885 | 294,965 | 533 | (0.06) | ||||
Leggett & Platt, Inc. | (2,732) | 122,503 | 5,129 | (0.61) | ||||
Leidos Holdings, Inc. | (1,079) | 103,724 | 2,497 | (0.30) | ||||
LendingTree, Inc. | (1,541) | 215,478 | 32,075 | (3.83) | ||||
Lennar Corporation Class A | 316 | 29,603 | (2,026) | 0.24 | ||||
Lennox International, Inc. | 1,132 | 333,000 | (34,747) | 4.15 | ||||
LHC Group, Inc. | 71 | 11,141 | (1,590) | 0.19 | ||||
Liberty Broadband Corporation Class C | (100) | 17,270 | 1,142 | (0.14) | ||||
Liberty Media Corporation-Liberty SiriusXM Class C | (3,498) | 166,050 | 2,093 | (0.25) | ||||
Ligand Pharmaceuticals, Inc. | (1,667) | 232,246 | (5,575) | 0.67 | ||||
Lincoln Electric Holdings, Inc. | 1,395 | 179,662 | (6,870) | 0.82 | ||||
Lincoln National Corporation | (2,363) | 162,456 | (5,440) | 0.65 | ||||
Linde PLC | (77) | 22,590 | 1,405 | (0.17) | ||||
Lithia Motors, Inc. Class A | (50) | 15,852 | 753 | (0.09) | ||||
Littelfuse, Inc. | (395) | 107,942 | 48 | (0.01) | ||||
LivaNova PLC | (2,826) | 223,791 | 14,376 | (1.72) | ||||
Live Nation Entertainment, Inc. | (3,511) | 319,957 | (16,687) | 1.99 | ||||
LiveRamp Holdings, Inc. | 255 | 12,044 | (710) | 0.08 | ||||
Lockheed Martin Corporation | 1,415 | 488,316 | (1,794) | 0.21 | ||||
Loews Corporation | (14,389) | 775,999 | 9,327 | (1.11) | ||||
LPL Financial Holdings, Inc. | (3,429) | 537,530 | (36,227) | 4.33 | ||||
Lululemon Athletica, Inc. | 603 | 244,034 | (9,682) | 1.16 | ||||
Lumentum Holdings, Inc. | (1,262) | 105,427 | 6,533 | (0.78) | ||||
Lyft, Inc. Class A | (3,691) | 197,801 | (11,374) | 1.36 | ||||
LyondellBasell Industries NV Class A | (579) | 54,339 | (1,310) | 0.16 | ||||
M&T Bank Corporation | 246 | 36,738 | 3,165 | (0.38) | ||||
Macerich Co. (The) REIT | (12,542) | 209,577 | 6,891 | (0.82) | ||||
Madison Square Garden Sports Corporation | (1,016) | 188,925 | (9,739) | 1.16 | ||||
Manhattan Associates, Inc. | 1,463 | 223,883 | (12,798) | 1.53 | ||||
ManpowerGroup, Inc. | 156 | 16,892 | (1,805) | 0.22 | ||||
Marathon Oil Corporation | 19,020 | 260,003 | 44,103 | (5.27) | ||||
Marathon Petroleum Corporation | (3,941) | 243,593 | (16,653) | 1.99 | ||||
MarketAxess Holdings, Inc. | 224 | 94,235 | (5,149) | 0.61 | ||||
Marriott Vacations Worldwide Corporation | 564 | 88,734 | 4,193 | (0.50) | ||||
Marsh & McLennan Cos., Inc. | (681) | 103,124 | 6,030 | (0.72) | ||||
Marvell Technology, Inc. | (10,928) | 659,068 | 10,250 | (1.22) | ||||
Masco Corporation | 4,610 | 256,086 | (17,963) | 2.15 | ||||
Masimo Corporation | 739 | 200,055 | (1,448) | 0.17 | ||||
MasTec, Inc. | 733 | 63,243 | (3,005) | 0.36 | ||||
Mastercard, Inc. Class A | (234) | 81,357 | 870 | (0.10) | ||||
Mattel, Inc. | (1,088) | 20,193 | 1,947 | (0.23) | ||||
McCormick & Co., Inc. (Non-Voting Shares) | (1,583) | 128,270 | 9,066 | (1.08) | ||||
McDonald’s Corporation | 1,289 | 310,791 | 4,852 | (0.58) | ||||
MDU Resources Group, Inc. | 6,161 | 182,797 | (8,569) | 1.02 | ||||
Medical Properties Trust, Inc. REIT | (2,150) | 43,150 | 2,601 | (0.31) | ||||
Medpace Holdings, Inc. | (408) | 77,226 | 1,593 | (0.19) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Medtronic PLC | 359 | $45,001 | $(1,753) | 0.21% | ||||
MercadoLibre, Inc. | (55) | 92,367 | 10,926 | (1.31) | ||||
Mercury Systems, Inc. | 3,601 | 170,759 | (1,855) | 0.22 | ||||
MetLife, Inc. | (3,362) | 207,536 | (3,973) | 0.47 | ||||
Mettler-Toledo International, Inc. | 224 | 308,529 | (46,505) | 5.56 | ||||
MGIC Investment Corporation | (7,558) | 113,068 | 2,188 | (0.26) | ||||
Microchip Technology, Inc. | (1,480) | 227,165 | 3,663 | (0.44) | ||||
Micron Technology, Inc. | (2,343) | 166,306 | 4,194 | (0.50) | ||||
Microsoft Corporation | 4,347 | 1,225,506 | (67,039) | 8.01 | ||||
Mid-America Apartment Communities, Inc. REIT | (48) | 8,964 | 245 | (0.03) | ||||
Middleby Corporation (The) | (822) | 140,159 | 4,187 | (0.50) | ||||
Minerals Technologies, Inc. | (197) | 13,758 | 1,274 | (0.15) | ||||
Mirati Therapeutics, Inc. | (1,786) | 315,961 | (18,995) | 2.27 | ||||
MKS Instruments, Inc. | (131) | 19,769 | (315) | 0.04 | ||||
Moderna, Inc. | 45 | 17,319 | (2,877) | 0.34 | ||||
Mohawk Industries, Inc. | (1,487) | 263,794 | 19,232 | (2.30) | ||||
Molina Healthcare, Inc. | 1,116 | 302,782 | 14,030 | (1.68) | ||||
Mondelez International, Inc. Class A | 2,565 | 149,232 | (5,352) | 0.64 | ||||
MongoDB, Inc. | (58) | 27,348 | 2,111 | (0.25) | ||||
Monolithic Power Systems, Inc. | 287 | 139,103 | (891) | 0.11 | ||||
Monster Beverage Corporation | 3,715 | 330,003 | (27,976) | 3.34 | ||||
Moody’s Corporation | 121 | 42,968 | (2,725) | 0.33 | ||||
Morgan Stanley | 5,773 | 561,771 | (37,763) | 4.51 | ||||
Morningstar, Inc. | 642 | 166,297 | (14,420) | 1.72 | ||||
MSC Industrial Direct Co., Inc. Class A | (272) | 21,812 | 304 | (0.04) | ||||
MSCI, Inc. | 188 | 114,368 | (8,416) | 1.01 | ||||
Murphy Oil Corporation | (9,834) | 245,555 | (41,878) | 5.00 | ||||
Nasdaq, Inc. | 721 | 139,167 | (3,173) | 0.38 | ||||
Natera, Inc. | (770) | 85,809 | 6,634 | (0.79) | ||||
National Fuel Gas Co. | 768 | 40,335 | 645 | (0.08) | ||||
National Retail Properties, Inc. REIT | 10,369 | 447,837 | (33,026) | 3.95 | ||||
Navient Corporation | (5,745) | 113,349 | 18,955 | (2.26) | ||||
NCR Corporation | (8,381) | 324,848 | 17,421 | (2.08) | ||||
Nektar Therapeutics | (8,433) | 151,457 | (18,388) | 2.20 | ||||
Neogen Corporation | 462 | 20,065 | 298 | (0.04) | ||||
Netflix, Inc. | 308 | 187,985 | 3,922 | (0.47) | ||||
NetScout Systems, Inc. | (958) | 25,818 | (30) | 0.00 | ||||
Neurocrine Biosciences, Inc. | 2,480 | 237,857 | 3,595 | (0.43) | ||||
New Fortress Energy, Inc. | (6,940) | 192,585 | 7,589 | (0.91) | ||||
New Jersey Resources Corporation | 510 | 17,753 | (847) | 0.10 | ||||
New Relic, Inc. | (3,218) | 230,956 | 22,936 | (2.74) | ||||
New York Community Bancorp, Inc. | 768 | 9,884 | 383 | (0.05) | ||||
New York Times Co. (The) Class A | 5,535 | 272,709 | (6,229) | 0.74 | ||||
Newell Brands, Inc. | (14,955) | 331,104 | 48,595 | (5.81) | ||||
News Corporation Class A | (11,735) | 276,125 | (17,384) | 2.08 | ||||
Nexstar Media Group, Inc. Class A | 2,106 | 320,028 | 16,815 | (2.01) | ||||
NextEra Energy, Inc. | (4,584) | 359,936 | 31,145 | (3.72) | ||||
Nielsen Holdings PLC | (5,386) | 103,357 | 5,867 | (0.70) | ||||
NIKE, Inc. Class B | 984 | 142,906 | (17,567) | 2.10 | ||||
Nordson Corporation | 2,536 | 603,948 | (13,124) | 1.57 | ||||
Nordstrom, Inc. | (4,101) | 108,471 | 2,826 | (0.34) | ||||
Norfolk Southern Corporation | (636) | 152,163 | 5,318 | (0.64) | ||||
Northern Trust Corporation | (3,818) | 411,619 | 23,154 | (2.77) | ||||
Northrop Grumman Corporation | 798 | 287,400 | 3,911 | (0.47) | ||||
NorthWestern Corporation | (608) | 34,838 | 3,988 | (0.48) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
NortonLifeLock, Inc. | (2,866) | $72,510 | $5,602 | (0.67)% | ||||
Norwegian Cruise Line Holdings, Ltd. | (10,591) | 282,886 | (17,644) | 2.11 | ||||
NOV, Inc. | (13,219) | 173,301 | (4,391) | 0.52 | ||||
Novocure, Ltd. | (1,057) | 122,792 | 22,614 | (2.70) | ||||
NRG Energy, Inc. | 3,453 | 140,986 | (11,943) | 1.43 | ||||
Nutanix, Inc. Class A | (1,535) | 57,869 | 8,374 | (1.00) | ||||
NuVasive, Inc. | (2,867) | 171,590 | (2,959) | 0.35 | ||||
nVent Electric PLC | (2,506) | 81,019 | 2,228 | (0.27) | ||||
NVIDIA Corporation | (1,499) | 310,533 | 21,833 | (2.61) | ||||
NVR, Inc. | 2 | 9,588 | (610) | 0.07 | ||||
NXP Semiconductor NV | 2,999 | 587,414 | (42,137) | 5.03 | ||||
Occidental Petroleum Corporation | (6,745) | 199,517 | (23,361) | 2.79 | ||||
OGE Energy Corporation | (9,215) | 303,726 | 23,395 | (2.80) | ||||
Okta, Inc. | (576) | 136,708 | 15,326 | (1.83) | ||||
Old Dominion Freight Line, Inc. | 2,171 | 620,863 | (7,552) | 0.90 | ||||
Olin Corporation | (6,796) | 327,907 | (4,496) | 0.54 | ||||
Omega Healthcare Investors, Inc. REIT | 4,090 | 122,536 | (9,856) | 1.18 | ||||
Omnicom Group, Inc. | 2,629 | 190,497 | 1,702 | (0.20) | ||||
ON Semiconductor Corporation | (620) | 28,377 | (330) | 0.04 | ||||
ONE Gas, Inc. | (2,330) | 147,652 | 17,073 | (2.04) | ||||
OneMain Holdings, Inc. | 2,740 | 151,604 | (3,853) | 0.46 | ||||
ONEOK, Inc. | 1,261 | 73,125 | 7,042 | (0.84) | ||||
Opendoor Technologies, Inc. | (696) | 14,289 | (299) | 0.04 | ||||
Oracle Corporation | 4,485 | 390,778 | (10,852) | 1.30 | ||||
Organon & Co. | 9,790 | 321,014 | (17,882) | 2.14 | ||||
Oshkosh Corporation | 751 | 76,880 | (5,236) | 0.63 | ||||
Otis Worldwide Corporation | 2,325 | 191,301 | (19,088) | 2.28 | ||||
PACCAR, Inc. | 803 | 63,373 | (3,452) | 0.41 | ||||
PacWest Bancorp | (810) | 36,709 | (2,196) | 0.26 | ||||
Palo Alto Networks, Inc. | (489) | 234,231 | (6,120) | 0.73 | ||||
Papa John's International, Inc. | 1,642 | 208,518 | (2,880) | 0.34 | ||||
Park Hotels & Resorts, Inc. REIT | (20,647) | 395,184 | (6,826) | 0.82 | ||||
Parker-Hannifin Corporation | (53) | 14,820 | 445 | (0.05) | ||||
Patterson Cos., Inc. | 3,608 | 108,745 | (7,301) | 0.87 | ||||
Paychex, Inc. | 877 | 98,619 | 980 | (0.12) | ||||
Paylocity Holding Corporation | (194) | 54,398 | (2,599) | 0.31 | ||||
PayPal Holdings, Inc. | (266) | 69,216 | 7,092 | (0.85) | ||||
Pebblebrook Hotel Trust REIT | (12,463) | 279,296 | (7,210) | 0.86 | ||||
Pegasystems, Inc. | (315) | 40,036 | 2,999 | (0.36) | ||||
Peloton Interactive, Inc. Class A | (1,920) | 167,136 | 35,841 | (4.28) | ||||
Penske Automotive Group, Inc. | (307) | 30,884 | (3,415) | 0.41 | ||||
Pentair PLC | 2,873 | 208,666 | (10,280) | 1.23 | ||||
Penumbra, Inc. | (43) | 11,459 | 214 | (0.03) | ||||
PerkinElmer, Inc. | 757 | 131,181 | (10,280) | 1.23 | ||||
PG&E Corporation | (34,422) | 330,451 | (8,005) | 0.96 | ||||
Phillips 66 | (3,318) | 232,360 | (10,750) | 1.28 | ||||
Physicians Realty Trust REIT | 16,213 | 285,673 | (13,976) | 1.67 | ||||
Pinnacle Financial Partners, Inc. | (92) | 8,655 | (86) | 0.01 | ||||
Pinnacle West Capital Corporation | 2,490 | 180,176 | (7,939) | 0.95 | ||||
Pinterest, Inc. Class A | 2,133 | 108,676 | (8,907) | 1.06 | ||||
Planet Fitness, Inc. Class A | (2,280) | 179,094 | 313 | (0.04) | ||||
Plug Power, Inc. | (6,246) | 159,523 | (1,754) | 0.21 | ||||
PNC Financial Services Group, Inc. (The) | (1,065) | 208,357 | (3,585) | 0.43 | ||||
Polaris, Inc. | 1,100 | 131,626 | 3,033 | (0.36) | ||||
Post Holdings, Inc. | (2,287) | 251,936 | (4,582) | 0.55 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
PotlatchDeltic Corporation REIT | 5,796 | $298,958 | $3,445 | (0.41)% | ||||
Premier, Inc. Class A | (841) | 32,597 | 49 | (0.01) | ||||
Principal Financial Group, Inc. | (3,101) | 199,704 | 710 | (0.09) | ||||
PROG Holdings, Inc. | 370 | 15,544 | (1,084) | 0.13 | ||||
Prologis, Inc. REIT | (813) | 101,975 | 7,040 | (0.84) | ||||
Prosperity Bancshares, Inc. | 4,403 | 313,185 | 16,303 | (1.95) | ||||
PS Business Parks, Inc. REIT | 4,237 | 664,107 | (2,022) | 0.24 | ||||
PTC, Inc. | (611) | 73,192 | 4,641 | (0.55) | ||||
Public Storage REIT | 1,512 | 449,215 | (30,702) | 3.67 | ||||
PulteGroup, Inc. | 2,381 | 109,336 | (5,710) | 0.68 | ||||
PVH Corporation | (1,545) | 158,811 | 12,339 | (1.47) | ||||
Qorvo, Inc. | 478 | 79,917 | (5,635) | 0.67 | ||||
QUALCOMM, Inc. | 2,348 | 302,845 | (28,024) | 3.35 | ||||
Qualys, Inc. | 2,086 | 232,151 | (12,438) | 1.49 | ||||
Quanta Services, Inc. | 1,674 | 190,535 | (1,059) | 0.13 | ||||
QuantumScape Corporation | (6,714) | 164,762 | (21,154) | 2.53 | ||||
Quest Diagnostics, Inc. | 2,477 | 359,933 | (29,865) | 3.57 | ||||
Quidel Corporation | 986 | 139,174 | 54 | (0.01) | ||||
Qurate Retail, Inc. Class A | (12,136) | 123,666 | 3,515 | (0.42) | ||||
R1 RCM, Inc. | (4,389) | 96,602 | (8,522) | 1.02 | ||||
Ralph Lauren Corporation | (1,496) | 166,116 | 3,038 | (0.36) | ||||
Raymond James Financial, Inc. | 1,446 | 133,437 | 892 | (0.11) | ||||
Rayonier, Inc. REIT | 2,546 | 90,841 | (2,072) | 0.25 | ||||
Raytheon Technologies Corporation | (2,244) | 192,894 | (5,167) | 0.62 | ||||
Realty Income Corporation REIT | 2,326 | 150,864 | (10,109) | 1.21 | ||||
Regal Beloit Corporation | 2,062 | 310,001 | 18,236 | (2.18) | ||||
Regency Centers Corporation REIT | 1,840 | 123,887 | (888) | 0.11 | ||||
Regeneron Pharmaceuticals, Inc. | 185 | 111,958 | (7,585) | 0.91 | ||||
Regions Financial Corporation | (2,709) | 57,729 | (3,337) | 0.40 | ||||
Reinsurance Group of America, Inc. | (1,084) | 120,606 | 6,207 | (0.74) | ||||
Repligen Corporation | (428) | 123,688 | 2,427 | (0.29) | ||||
Republic Services, Inc. | 933 | 112,016 | (3,250) | 0.39 | ||||
ResMed, Inc. | 159 | 41,904 | (2,846) | 0.34 | ||||
RH | (101) | 67,358 | 5,865 | (0.70) | ||||
RingCentral, Inc. Class A | (845) | 183,787 | 12,407 | (1.48) | ||||
RLI Corporation | (892) | 89,441 | 4,770 | (0.57) | ||||
Robert Half International, Inc. | 4,625 | 464,026 | (12,169) | 1.45 | ||||
Rockwell Automation, Inc. | 876 | 257,579 | (18,417) | 2.20 | ||||
Roku, Inc. | 51 | 15,981 | (1,282) | 0.15 | ||||
Rollins, Inc. | 9,879 | 349,025 | (32,148) | 3.84 | ||||
Roper Technologies, Inc. | (95) | 42,382 | 3,113 | (0.37) | ||||
Ross Stores, Inc. | (3,899) | 424,406 | 19,918 | (2.38) | ||||
Royal Caribbean Cruises, Ltd. | (3,687) | 327,959 | (26,135) | 3.12 | ||||
Ryder System, Inc. | 3,162 | 261,529 | 19,215 | (2.30) | ||||
S&P Global, Inc. | 311 | 132,141 | (8,257) | 0.99 | ||||
Sabre Corporation | (33,529) | 396,983 | (24,153) | 2.89 | ||||
Sage Therapeutics, Inc. | 2,940 | 130,271 | (808) | 0.10 | ||||
Sailpoint Technologies Holdings, Inc. | (2,874) | 123,237 | 9,825 | (1.17) | ||||
salesforce.com, Inc. | (1,327) | 359,909 | (12,416) | 1.48 | ||||
SBA Communications Corporation REIT | (286) | 94,543 | 4,517 | (0.54) | ||||
Schlumberger NV | 3,628 | 107,534 | 11,400 | (1.36) | ||||
Schneider National, Inc. Class B | 6,913 | 157,202 | 3,716 | (0.44) | ||||
Science Applications International Corporation | (3,034) | 259,589 | (160) | 0.02 | ||||
Seagen, Inc. | 2,191 | 372,032 | 44,245 | (5.29) | ||||
SEI Investments Co. | 7,307 | 433,305 | (6,265) | 0.75 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Sempra Energy | 848 | $107,272 | $(5,278) | 0.63% | ||||
Semtech Corporation | 674 | 52,552 | 2,084 | (0.25) | ||||
Sensata Technologies Holding PLC | (1,788) | 97,839 | 2,357 | (0.28) | ||||
Service Corporation International | 2,825 | 170,235 | (5,584) | 0.67 | ||||
ServiceNow, Inc. | 230 | 143,122 | (6,438) | 0.77 | ||||
Shift4 Payments, Inc. Class A | (2,151) | 166,746 | 6,447 | (0.77) | ||||
Signature Bank | (2,192) | 596,838 | (25,402) | 3.03 | ||||
Silicon Laboratories, Inc. | (583) | 81,713 | 3,463 | (0.41) | ||||
Simon Property Group, Inc. REIT | (1,033) | 134,259 | 915 | (0.11) | ||||
Simpson Manufacturing Co., Inc. | 3,324 | 355,568 | (7,086) | 0.85 | ||||
Sirius XM Holdings, Inc. | 14,230 | 86,803 | 418 | (0.05) | ||||
Six Flags Entertainment Corporation | (2,247) | 95,497 | (3,231) | 0.39 | ||||
Skyworks Solutions, Inc. | (201) | 33,121 | 2,541 | (0.30) | ||||
SL Green Realty Corporation REIT | (5,104) | 361,567 | (9,919) | 1.18 | ||||
Smartsheet, Inc. Class A | 887 | 61,043 | (5,498) | 0.66 | ||||
Snap, Inc. Class A | (2,129) | 157,269 | 2,006 | (0.24) | ||||
Snap-on, Inc. | 778 | 162,563 | (8,857) | 1.06 | ||||
SolarEdge Technologies, Inc. | (1,148) | 304,473 | 12,308 | (1.47) | ||||
Solarwinds Corporation | 3,877 | 64,862 | (1,750) | 0.21 | ||||
Southern Co. (The) | 3,364 | 208,467 | (17,551) | 2.10 | ||||
Southwest Airlines Co. | 3,695 | 190,034 | 8,109 | (0.97) | ||||
Southwest Gas Holdings, Inc. | (5,096) | 340,820 | 18,181 | (2.17) | ||||
Spire, Inc. | 568 | 34,750 | (26) | 0.00 | ||||
Spirit AeroSystems Holdings, Inc. Class A | (5,638) | 249,143 | (30,232) | 3.61 | ||||
Spirit Realty Capital, Inc. REIT | 608 | 27,992 | (2,599) | 0.31 | ||||
Splunk, Inc. | (2,387) | 345,423 | 25,654 | (3.07) | ||||
Square, Inc. Class A | (325) | 77,948 | 3,800 | (0.45) | ||||
STAAR Surgical Co. | 1,061 | 136,370 | (29,111) | 3.48 | ||||
Stanley Black & Decker, Inc. | 88 | 15,427 | (883) | 0.11 | ||||
Starbucks Corporation | 393 | 43,352 | (3,338) | 0.40 | ||||
State Street Corporation | (1,967) | 166,644 | 5,114 | (0.61) | ||||
Stericycle, Inc. | (1,205) | 81,904 | 3,540 | (0.42) | ||||
STERIS PLC | (977) | 199,582 | 8,635 | (1.03) | ||||
Stifel Financial Corporation | 4,022 | 273,335 | (150) | 0.02 | ||||
STORE Capital Corporation REIT | (5,205) | 166,716 | 13,033 | (1.56) | ||||
Strategic Education, Inc. | (450) | 31,725 | 2,612 | (0.31) | ||||
Stryker Corporation | (485) | 127,904 | 6,092 | (0.73) | ||||
Sun Communities, Inc. REIT | (44) | 8,144 | 834 | (0.10) | ||||
Sunrun, Inc. | (4,908) | 215,952 | 2,550 | (0.30) | ||||
SVB Financial Group | (293) | 189,536 | (16,780) | 2.00 | ||||
Switch, Inc. Class A | (4,848) | 123,091 | 3,389 | (0.41) | ||||
Synaptics, Inc. | (434) | 78,003 | 1,790 | (0.21) | ||||
Synchrony Financial | (6,548) | 320,066 | (15,070) | 1.80 | ||||
Syneos Health, Inc. | (1,773) | 155,102 | 12,281 | (1.47) | ||||
SYNNEX Corporation | (1,366) | 142,201 | 24,828 | (2.97) | ||||
Synopsys, Inc. | 532 | 159,286 | (18,182) | 2.17 | ||||
Synovus Financial Corporation | 419 | 18,390 | 1,289 | (0.15) | ||||
Sysco Corporation | (989) | 77,636 | (989) | 0.12 | ||||
T. Rowe Price Group, Inc. | 1,815 | 357,010 | (35,308) | 4.22 | ||||
Take-Two Interactive Software, Inc. | 1,126 | 173,483 | (3,352) | 0.40 | ||||
Tandem Diabetes Care, Inc. | 548 | 65,420 | (3,304) | 0.39 | ||||
Tapestry, Inc. | 2,122 | 78,556 | (7,267) | 0.87 | ||||
Targa Resources Corporation | 2,258 | 111,116 | 11,844 | (1.42) | ||||
Taylor Morrison Home Corporation Class A | (5,835) | 150,426 | 6,705 | (0.80) | ||||
TEGNA, Inc. | 15,226 | 300,257 | 48,733 | (5.82) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Teladoc Health, Inc. | (1,393) | $176,646 | $21,440 | (2.56)% | ||||
Teledyne Technologies, Inc. | (745) | 320,037 | 8,475 | (1.01) | ||||
Teleflex, Inc. | (840) | 316,302 | 7,073 | (0.85) | ||||
Telephone & Data Systems, Inc. | (5,856) | 114,192 | 1,312 | (0.16) | ||||
Tempur Sealy International, Inc. | 4,798 | 222,675 | (5,063) | 0.60 | ||||
Tenet Healthcare Corporation | (2,806) | 186,431 | 21,796 | (2.60) | ||||
Teradata Corporation | 2,044 | 117,223 | 1,970 | (0.24) | ||||
Teradyne, Inc. | (117) | 12,773 | 1,158 | (0.14) | ||||
Terex Corporation | 340 | 14,314 | (1,437) | 0.17 | ||||
Terminix Global Holdings, Inc. | (3,295) | 137,303 | 10,109 | (1.21) | ||||
Tesla, Inc. | (121) | 93,833 | (2,498) | 0.30 | ||||
Tetra Tech, Inc. | 600 | 89,604 | 254 | (0.03) | ||||
Texas Capital Bancshares, Inc. | (2,425) | 145,549 | (4,976) | 0.59 | ||||
Texas Instruments, Inc. | 1,759 | 338,097 | 6,543 | (0.78) | ||||
Texas Roadhouse, Inc. | (3,955) | 361,210 | 6,951 | (0.83) | ||||
Textron, Inc. | (1,884) | 131,522 | 2,857 | (0.34) | ||||
T-Mobile US, Inc. | (1,629) | 208,121 | 5,988 | (0.72) | ||||
Toll Brothers, Inc. | 2,466 | 136,345 | (14,911) | 1.78 | ||||
TopBuild Corporation | 137 | 28,059 | (2,595) | 0.31 | ||||
Toro Co. (The) | 2,377 | 231,544 | (22,728) | 2.72 | ||||
Trade Desk, Inc. (The) Class A | (182) | 12,795 | 1,098 | (0.13) | ||||
Tradeweb Markets, Inc. Class A | (400) | 32,312 | 2,598 | (0.31) | ||||
Trane Technologies PLC | 111 | 19,164 | (1,645) | 0.20 | ||||
TransDigm Group, Inc. | (346) | 216,101 | (9,176) | 1.10 | ||||
TransUnion | 3,700 | 415,547 | (43,969) | 5.25 | ||||
Travel + Leisure Co. | 942 | 51,367 | 1,624 | (0.19) | ||||
TreeHouse Foods, Inc. | (2,373) | 94,635 | (1,474) | 0.18 | ||||
Trex Co., Inc. | (225) | 22,934 | 2,173 | (0.26) | ||||
Tri Pointe Homes, Inc. | (569) | 11,960 | 597 | (0.07) | ||||
Trinity Industries, Inc. | (13,576) | 368,860 | 21,437 | (2.56) | ||||
TripAdvisor, Inc. | (6,227) | 210,784 | 5,659 | (0.68) | ||||
Truist Financial Corporation | (1,284) | 75,307 | (3,752) | 0.45 | ||||
Twilio, Inc. Class A | (741) | 236,416 | 23,654 | (2.83) | ||||
Twitter, Inc. | (6,463) | 390,301 | 13,365 | (1.60) | ||||
Tyler Technologies, Inc. | (579) | 265,558 | 10,899 | (1.30) | ||||
Tyson Foods, Inc. Class A | 2,773 | 218,901 | 10,529 | (1.26) | ||||
U.S. Bancorp | (898) | 53,377 | (3,665) | 0.44 | ||||
U.S. Foods Holding Corporation | (6,875) | 238,288 | (11,557) | 1.38 | ||||
Uber Technologies, Inc. | (11,053) | 495,174 | (49,201) | 5.88 | ||||
UDR, Inc. REIT | (571) | 30,252 | 330 | (0.04) | ||||
UGI Corporation | 5,607 | 238,970 | (14,466) | 1.73 | ||||
Ultragenyx Pharmaceutical, Inc. | (1,630) | 147,010 | 17,769 | (2.12) | ||||
UMB Financial Corporation | 3,754 | 363,049 | 29,545 | (3.53) | ||||
Under Armour, Inc. Class A | 6,017 | 121,423 | (17,946) | 2.14 | ||||
United Airlines Holdings, Inc. | (4,151) | 197,463 | (1,274) | 0.15 | ||||
United Bankshares, Inc. | (789) | 28,704 | (1,997) | 0.24 | ||||
United Parcel Service, Inc. Class B | 1,176 | 214,150 | (8,150) | 0.97 | ||||
United Rentals, Inc. | (109) | 38,251 | (966) | 0.12 | ||||
United States Steel Corporation | (382) | 8,393 | (14) | 0.00 | ||||
United Therapeutics Corporation | 450 | 83,061 | (11,174) | 1.33 | ||||
UnitedHealth Group, Inc. | (41) | 16,020 | 439 | (0.05) | ||||
Univar Solutions, Inc. | (6,785) | 161,619 | (6,519) | 0.78 | ||||
Universal Display Corporation | 3,488 | 596,308 | (105,214) | 12.57 | ||||
Universal Health Services, Inc. Class B | (3,288) | 454,961 | 37,964 | (4.54) | ||||
Unum Group | (1,955) | 48,992 | 772 | (0.09) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Urban Edge Properties REIT | 3,094 | $56,651 | $694 | (0.08)% | ||||
Urban Outfitters, Inc. | (870) | 25,830 | 2,261 | (0.27) | ||||
UWM Holdings Corporation | 25,413 | 176,620 | (4,086) | 0.49 | ||||
Vail Resorts, Inc. | 185 | 61,799 | 6,365 | (0.76) | ||||
Valero Energy Corporation | (2,507) | 176,919 | (14,726) | 1.76 | ||||
Valley National Bancorp | 4,547 | 60,521 | 4,268 | (0.51) | ||||
Valmont Industries, Inc. | (128) | 30,095 | 784 | (0.09) | ||||
Veeva Systems, Inc. Class A | 756 | 217,857 | (13,603) | 1.63 | ||||
Ventas, Inc. REIT | (12,793) | 706,302 | 6,908 | (0.83) | ||||
VeriSign, Inc. | 1,873 | 383,984 | (31,680) | 3.78 | ||||
Verizon Communications, Inc. | 2,439 | 131,730 | (1,035) | 0.12 | ||||
Vertex Pharmaceuticals, Inc. | 1,821 | 330,311 | (12,238) | 1.46 | ||||
Vertiv Holdings Co. | (1,814) | 43,699 | 1,776 | (0.21) | ||||
VF Corporation | (3,560) | 238,484 | 16,612 | (1.98) | ||||
Viasat, Inc. | (5,848) | 322,049 | (34,454) | 4.12 | ||||
Viatris, Inc. | (23,897) | 323,804 | 14,956 | (1.79) | ||||
Vimeo, Inc. | 3,105 | 91,194 | (29,968) | 3.58 | ||||
Virgin Galactic Holdings, Inc. | (2,770) | 70,081 | 617 | (0.07) | ||||
Virtu Financial, Inc. Class A | 6,949 | 169,764 | 3,387 | (0.40) | ||||
Visa, Inc. Class A | 1,653 | 368,206 | (7,876) | 0.94 | ||||
Visteon Corporation | (135) | 12,743 | 1,036 | (0.12) | ||||
Vistra Corporation | (9,845) | 168,350 | 16,244 | (1.94) | ||||
VMware, Inc. Class A | 705 | 104,833 | 2,243 | (0.27) | ||||
Vornado Realty Trust REIT | (1,469) | 61,713 | (883) | 0.11 | ||||
Voya Financial, Inc. | 1,735 | 106,512 | (4,922) | 0.59 | ||||
Vroom, Inc. | (3,255) | 71,838 | 14,293 | (1.71) | ||||
W.R. Berkley Corporation | (354) | 25,906 | (213) | 0.03 | ||||
W.W. Grainger, Inc. | 907 | 356,505 | (20,962) | 2.50 | ||||
Walgreens Boots Alliance, Inc. | (2,397) | 112,779 | 8,433 | (1.01) | ||||
Walt Disney Co. (The) | (2,155) | 364,561 | 36,061 | (4.31) | ||||
Washington Federal, Inc. | 3,517 | 120,668 | 4,137 | (0.49) | ||||
Waste Connections, Inc. | 93 | 11,711 | (598) | 0.07 | ||||
Waste Management, Inc. | (1,261) | 188,343 | 4,747 | (0.57) | ||||
Waters Corporation | 339 | 121,125 | (21,956) | 2.62 | ||||
Watsco, Inc. | 516 | 136,544 | (9,242) | 1.10 | ||||
Wayfair, Inc. Class A | (31) | 7,921 | 594 | (0.07) | ||||
Webster Financial Corporation | (2,231) | 121,500 | (11,716) | 1.40 | ||||
WEC Energy Group, Inc. | 294 | 25,931 | (637) | 0.08 | ||||
Wells Fargo & Co. | 17,062 | 791,847 | 34,895 | (4.17) | ||||
Welltower, Inc. REIT | (6,933) | 571,279 | 25,702 | (3.07) | ||||
Wendy's Co. (The) | 12,827 | 278,089 | (13,115) | 1.57 | ||||
Werner Enterprises, Inc. | 2,159 | 95,579 | (6,035) | 0.72 | ||||
West Pharmaceutical Services, Inc. | 308 | 130,758 | (11,319) | 1.35 | ||||
Western Alliance Bancorp | 6,459 | 702,868 | 75,696 | (9.04) | ||||
Western Digital Corporation | (1,821) | 102,777 | 4,185 | (0.50) | ||||
Westinghouse Air Brake Technologies Corporation | (7,108) | 612,781 | 21,943 | (2.62) | ||||
Westrock Co. | (2,645) | 131,800 | 5,153 | (0.62) | ||||
WEX, Inc. | (1,832) | 322,688 | (4,334) | 0.52 | ||||
Weyerhaeuser Co. REIT | 3,337 | 118,697 | 3,115 | (0.37) | ||||
Whirlpool Corporation | 914 | 186,328 | (10,971) | 1.31 | ||||
Williams Cos., Inc. (The) | 673 | 17,458 | 2,046 | (0.24) | ||||
Wingstop, Inc. | 1,447 | 237,207 | (24,208) | 2.89 | ||||
Wintrust Financial Corporation | 620 | 49,829 | 3,659 | (0.44) | ||||
Woodward, Inc. | 3,235 | 366,202 | (19,096) | 2.28 | ||||
Workday, Inc. Class A | 883 | 220,653 | (17,783) | 2.12 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
World Fuel Services Corporation | 8,243 | $277,130 | $12,228 | (1.46)% | ||||
World Wrestling Entertainment, Inc. Class A | 2,832 | 159,328 | 18,006 | (2.15) | ||||
Worthington Industries, Inc. | (574) | 30,250 | 423 | (0.05) | ||||
WP Carey, Inc. REIT | 1,349 | 98,531 | (4,636) | 0.55 | ||||
WW International, Inc. | (2,695) | 49,184 | 7,427 | (0.89) | ||||
Wyndham Hotels & Resorts, Inc. | 5,006 | 386,413 | 29,346 | (3.51) | ||||
Xcel Energy, Inc. | (1,705) | 106,562 | 10,139 | (1.21) | ||||
Xerox Holdings Corporation | (10,873) | 219,308 | 8,086 | (0.97) | ||||
XPO Logistics, Inc. | (1,114) | 88,652 | 5,826 | (0.70) | ||||
Xylem, Inc. | (240) | 29,683 | 2,336 | (0.28) | ||||
Yelp, Inc. | 4,058 | 151,120 | 3,433 | (0.41) | ||||
YETI Holdings, Inc. | 2,801 | 240,018 | (38,824) | 4.64 | ||||
Yum! Brands, Inc. | 1,853 | 226,640 | (12,886) | 1.54 | ||||
Zillow Group, Inc. Class C | (2,410) | 212,417 | 10,704 | (1.28) | ||||
Zimmer Biomet Holdings, Inc. | (2,184) | 319,650 | (4,946) | 0.59 | ||||
Zions Bancorp NA | 3,227 | 199,719 | 13,953 | (1.67) | ||||
Zoetis, Inc. | 2,322 | 450,793 | (26,921) | 3.22 | ||||
Zoom Video Communications, Inc. Class A | 452 | 118,198 | (14,653) | 1.75 | ||||
Zscaler, Inc. | (107) | 28,058 | 1,925 | (0.23) | ||||
Zynga, Inc. Class A | (1,987) | 14,962 | 1,490 | (0.18) | ||||
$157,315,312 | $(837,004) | 100.00% |