Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
BAML | AUD | 5,164,000 | USD | (3,480,568) | 1/10/23 | $36,984 | $— | |||||
BAML | EUR | 630,000 | USD | (669,353) | 1/10/23 | 5,563 | — | |||||
BAML | GBP | (243,000) | USD | 296,103 | 1/10/23 | 2,240 | — | |||||
BAML | JPY | (2,147,483,648) | USD | 82,510,293 | 1/23/23 | — | (9,230,746) | |||||
BAML | ZAR | 20,256,749 | USD | (1,141,357) | 1/9/23 | 49,789 | — | |||||
BAML | ZAR | 31,484,599 | USD | (1,756,610) | 2/17/23 | 88,330 | — | |||||
BCLY | HUF | 5,488,000 | USD | (14,614) | 1/3/23 | 78 | — | |||||
BNP | CAD | (1,476,000) | USD | 1,100,304 | 1/10/23 | 10,142 | — | |||||
BNP | COP | 1,508,200,000 | USD | (304,883) | 3/15/23 | 1,746 | — | |||||
BNP | HUF | (955,488,341) | USD | 2,500,000 | 1/3/23 | — | (58,121) | |||||
BNP | INR | 24,805,188 | USD | (299,012) | 3/14/23 | — | (721) | |||||
BNP | JPY | 1,755,080,219 | USD | (12,707,373) | 1/10/23 | 685,926 | — | |||||
BNP | KRW | (127,502,958) | USD | 96,900 | 1/19/23 | — | (4,386) | |||||
BNP | MXN | (23,826,000) | USD | 1,182,187 | 3/21/23 | — | (22,405) | |||||
BNP | PLN | (20,764,000) | USD | 4,128,564 | 1/13/23 | — | (605,288) | |||||
BNP | ZAR | 18,444,909 | USD | (1,026,780) | 2/13/23 | 54,399 | — | |||||
CITI | BRL | 36,269,170 | USD | (6,882,848) | 2/2/23 | — | (60,304) | |||||
CITI | EUR | (88,778,000) | USD | 92,039,890 | 1/10/23 | — | (3,067,564) | |||||
CITI | MXN | 60,612 | USD | (2,998) | 5/9/23 | 37 | — | |||||
CITI | ZAR | 10,804,000 | USD | (611,520) | 9/12/23 | 11,134 | — | |||||
DB | JPY | (2,147,483,648) | USD | 34,980,048 | 1/17/23 | — | (3,289,604) | |||||
DB | ZAR | 8,244,054 | USD | (493,641) | 2/13/23 | — | (10,402) | |||||
JPMCB | DKK | (25,845,000) | USD | 3,613,713 | 1/10/23 | — | (109,984) | |||||
JPMCB | EUR | (921,000) | USD | 955,973 | 2/3/23 | — | (32,384) | |||||
JPMCB | GBP | (6,529,000) | USD | 7,883,937 | 1/10/23 | — | (11,691) |
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
JPMCB | MXN | (14,887,838) | USD | 726,193 | 2/21/23 | $— | $(30,281) | |||||
JPMCB | ZAR | 18,410,492 | USD | (1,026,780) | 1/18/23 | 54,837 | — | |||||
TD | EUR | (6,452,284) | USD | 6,735,668 | 1/20/23 | — | (161,041) | |||||
Total Foreign Currency Exchange Contracts | $1,001,205 | $(16,694,922) |
Futures Contracts Exchange-Traded | |||||||||||||
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||
(173) | Euro-Bobl | $(21,435,494) | $(22,086,845) | 3/8/23 | $651,351 | $— | $81,554 | ||||||
5 | Euro-BTP | 582,967 | 626,218 | 3/8/23 | — | (43,251) | (6,120) | ||||||
(127) | Euro-Bund | (18,071,455) | (19,235,698) | 3/8/23 | 1,164,243 | — | 147,535 | ||||||
(309) | Euro-Schatz | (34,869,673) | (35,310,049) | 3/8/23 | 440,376 | — | 44,336 | ||||||
(25) | Long 10 yr Gilt | (3,019,353) | (3,216,689) | 3/29/23 | 197,336 | — | (2,968) | ||||||
712 | US Treasury 2 yr Notes | 146,015,625 | 145,909,492 | 3/31/23 | 106,133 | — | (111,250) | ||||||
2,241 | US Treasury 5 yr Notes | 241,870,430 | 242,072,003 | 3/31/23 | — | (201,573) | (192,592) | ||||||
(674) | US Treasury 10 yr Notes | (75,688,097) | (76,285,836) | 3/22/23 | 597,739 | — | 94,778 | ||||||
641 | US Treasury 10 yr Notes | 71,982,300 | 72,184,132 | 3/22/23 | — | (201,832) | (90,137) | ||||||
(366) | US Treasury 10 yr Ultra Notes | (43,290,938) | (43,352,171) | 3/22/23 | 61,233 | — | 22,875 | ||||||
505 | US Treasury Long Bonds | 63,298,594 | 64,105,695 | 3/22/23 | — | (807,101) | (78,906) | ||||||
(2) | US Treasury Long Bonds | (250,688) | (250,651) | 3/22/23 | — | (37) | 312 | ||||||
29 | US Treasury Ultra Bonds | 3,895,063 | 3,886,219 | 3/22/23 | 8,844 | — | (14,500) | ||||||
(3) | US Treasury Ultra Bonds | (402,938) | (402,957) | 3/22/23 | 19 | — | 1,500 | ||||||
Total Futures Contracts | $328,642,863 | $3,227,274 | $(1,253,794) | $(103,583) |
CDS Contracts1 | ||||||||||||||
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared: | ||||||||||||||
Protection Sold/Moody's Ratings: | ||||||||||||||
AT&T 2.45% 5/15/18 Baa2 6/20/24-Quarterly | 1,800,000 | 1.000% | $2,304 | $15,136 | $— | $(12,832) | $(22,702) | |||||||
Boeing 2.60% 10/20/25 Baa3 12/20/26-Quarterly | 4,100,000 | 1.000% | (49,089) | (18,249) | — | (30,840) | (19,075) | |||||||
Boeing 2.60% 10/30/25 Baa2 6/20/23-Quarterly | 1,400,000 | 1.000% | 1,760 | 944 | 816 | — | (5,014) | |||||||
Boeing 2.60% 10/30/25 Baa2 6/26/26-Quarterly | 700,000 | 1.000% | (6,717) | (3,590) | — | (3,127) | (7,119) | |||||||
British Telecom 2.70% 10/9/22 Baa1 12/20/28-Quarterly | EUR 1,600,000 | 1.000% | (69,812) | (69,502) | — | (310) | 3,980 | |||||||
British Telecom 5.75% 12/7/28 Baa2 12/20/24-Quarterly | EUR 2,800,000 | 1.000% | 17,994 | 40,126 | — | (22,132) | (46,948) | |||||||
CDX.ITRX.EUR.344 6/20/27-Quarterly | EUR 100,000 | 1.000% | 692 | (421) | 1,113 | — | (139,079) | |||||||
CDX.NA.IG.355 12/20/25-Quarterly | 400,000 | 1.000% | 5,029 | 6,269 | — | (1,240) | (649,269) | |||||||
CDX.NA.IG.365 6/20/26-Quarterly | 1,900,000 | 1.000% | 23,126 | 32,730 | — | (9,604) | (384,054) | |||||||
CDX.NA.IG.375 12/20/26-Quarterly | 300,000 | 1.000% | 3,309 | 5,275 | — | (1,966) | 246,118 | |||||||
General Electric 2.70% 10/9/22 Baa1 12/20/26-Quarterly | 1,200,000 | 1.000% | 5,007 | 10,314 | — | (5,307) | 11,234 | |||||||
General Electric 2.70% 10/9/22 Baa1 6/20/26-Quarterly | 600,000 | 1.000% | 3,563 | 4,023 | — | (460) | 2,801 | |||||||
General Motors 5.70% 10/9/22 Baa1 12/20/26-Quarterly | 600,000 | 5.000% | 62,589 | 89,825 | — | (27,236) | (3,542) | |||||||
Stellantis 5.00% 1/11/21 Baa3 6/20/26-Quarterly | EUR 3,100,000 | 5.000% | 389,691 | 528,321 | — | (138,630) | 78,466 | |||||||
Tesco 1.00% 6/25/19 Baa3 6/20/28-Quarterly | EUR 2,700,000 | 1.000% | (60,632) | 648 | — | (61,280) | (24,109) | |||||||
Valeo 1.00% Baa3 6/20/26-Quarterly | EUR 400,000 | 1.000% | (17,369) | (5,122) | — | (12,247) | (288,888) | |||||||
Valeo 1.00% Baa3 6/20/28-Quarterly | EUR 3,000,000 | 1.000% | (292,115) | (110,050) | — | (182,065) | 3,682 |
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared:Protection Sold/Moody's Ratings (continued): | ||||||||||||||
19,330 | 526,677 | 1,929 | (509,276) | (1,243,518) | ||||||||||
Over-The-Counter: | ||||||||||||||
Protection Purchased/Moody’s Ratings: | ||||||||||||||
JPMCB Mexico 10.375% 1/28/33 Baa2 6/22/26-Quarterly | 2,085,000 | 1.000% | $(2,595) | $10,828 | $— | $(13,423) | $— | |||||||
JPMCB Republic of Brazil 4.25% 1/7/25 Ba2 6/20/26-Quarterly | 2,570,000 | 1.000% | 69,366 | 56,380 | 12,986 | — | — | |||||||
Protection Sold/Moody's Ratings: | ||||||||||||||
DB CMBX.NA.AAA6 10/17/57-Monthly | 14,200,000 | 0.500% | 10,906 | (800,809) | 811,715 | — | — | |||||||
JPMCB HOCHTIEF 1.00% 3/7/25 BBB 12/20/26-Quarterly | EUR 1,100,000 | 5.000% | 126,502 | 204,412 | — | (77,910) | — | |||||||
JPMCB HOCHTIEF 5.00% 3/7/25 BBB 12/20/26-Quarterly | EUR 1,100,000 | 5.000% | 126,502 | 202,779 | — | (76,277) | — | |||||||
JPMCB Republic of South Africa 5.50% 3/9/20 Baa3 12/20/23-Quarterly | 700,000 | 1.000% | 930 | (6,540) | 7,470 | — | — | |||||||
331,611 | (332,950) | 832,171 | (167,610) | — | ||||||||||
Total CDS Contracts | $350,941 | $193,727 | $834,100 | $(676,886) | $(1,243,518) |
IRS Contracts7 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount2 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared: | ||||||||||||||
1 yr IRS8 3/24/23- (28 Days/ 28 Days) | MXN 172,990,000 | (5.66)%/ 7.235% | $(110,687) | $(1,226) | $— | $(109,461) | $(115,615) | |||||||
1 yr IRS9 11/4/23- (Semiannually/ Quarterly) | 156,100,000 | (1.27)%/ 4.767% | (4,949,063) | — | — | (4,949,063) | (3,941,948) | |||||||
2 yr IRS9 3/30/23- (Semiannually/ Quarterly) | 7,600,000 | 0.25%/ (4.767)% | 84,209 | (822) | 85,031 | — | (58,834) |
IRS Contracts7 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount2 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared (continued): | ||||||||||||||
2 yr IRS10 8/10/24- (Annually/ Semiannually) | EUR 1,500,000 | (0.55)%/ 2.693% | $(70,810) | $— | $— | $(70,810) | $(3,401) | |||||||
3 yr IRS11 1/2/25- (At Maturity/ At Maturity) | BRL 36,000,000 | 11.835%/ (13.65)% | (142,314) | — | — | (142,314) | 107,353 | |||||||
3 yr IRS11 1/2/25- (At Maturity/ At Maturity) | BRL 37,000,000 | 11.80%/ (13.65)% | (151,571) | — | — | (151,571) | 105,000 | |||||||
3 yr IRS11 1/2/25- (At Maturity/ At Maturity) | BRL 37,000,000 | 11.734%/ (13.65)% | (161,565) | — | — | (161,565) | 94,985 | |||||||
5 yr IRS9 2/18/26- (Semiannually/ Quarterly) | 42,100,000 | (0.64)%/ 4.767% | (4,472,713) | (228,296) | — | (4,244,417) | (175,357) | |||||||
5 yr IRS11 1/4/27- (At Maturity/ At Maturity) | BRL 6,600,000 | 10.12%/ (13.65)% | (146,338) | — | — | (146,338) | 22,089 | |||||||
5 yr IRS10 1/4/27- (Semiannually/ Annually) | EUR 4,100,000 | (1.00)%/ 2.693% | (383,664) | — | — | (383,664) | 13,866 | |||||||
5 yr IRS11 1/4/27- (At Maturity/ At Maturity) | BRL 43,000,000 | 11.115%/ (13.65)% | (570,463) | (226,907) | — | (343,556) | 122,615 | |||||||
5 yr IRS12 3/15/28- (Annually/ Annually) | GBP 27,600,000 | 2.25%/ (3.43)% | 2,684,628 | 1,609,154 | 1,075,474 | — | 3,747,450 | |||||||
5 yr IRS12 9/16/25- (Annually/ Annually) | GBP 5,700,000 | 0.50%/ (3.428)% | 667,723 | (33,684) | 701,407 | — | (292,644) | |||||||
5 yr IRS10 4/11/27- (Annually/ Semiannually) | EUR 1,900,000 | (0.70)%/ 2.693% | (198,806) | — | — | (198,806) | 10,738 | |||||||
5 yr IRS10 4/12/27- (Annually/ Semiannually) | EUR 3,800,000 | (0.65)%/ 2.693% | (405,761) | — | — | (405,761) | 26,059 | |||||||
5 yr IRS10 5/18/27- (Annually/ Semiannually) | EUR 2,000,000 | (1.00)%/ 2.693% | (188,011) | — | — | (188,011) | 5,428 | |||||||
6 yr IRS11 1/4/27- (At Maturity/ At Maturity) | BRL 32,100,000 | 11.065%/ (13.65)% | (434,795) | — | — | (434,795) | 209,696 | |||||||
6 yr IRS11 1/4/27- (At Maturity/ At Maturity) | BRL 67,700,000 | 10.995%/ (13.65)% | (960,880) | — | — | (960,880) | (209,306) | |||||||
6 yr IRS11 1/4/27- (At Maturity/ At Maturity) | BRL 32,400,000 | 11.098%/ (13.65)% | (435,093) | — | — | (435,093) | 210,927 |
IRS Contracts7 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount2 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared (continued): | ||||||||||||||
10 yr IRS10 3/15/33- (Annually/ Semiannually) | EUR 15,660,000 | (1.75)%/ 2.693% | $(2,002,032) | $(1,913,935) | $— | $(88,097) | $50,421 | |||||||
10 yr IRS9 3/3/25- (Semiannually/ Quarterly) | 8,600,000 | (1.80)%/ 4.767% | (1,308,452) | 109,101 | — | (1,417,553) | (1,486,048) | |||||||
10 yr IRS13 5/18/32- (Annually/ Annually) | 9,900,000 | (1.852)%/ 4.30% | (1,359,277) | — | — | (1,359,277) | 52,982 | |||||||
10 yr IRS13 12/14/32- (Annually/ Annually) | 9,700,000 | 3.35%/ (4.30)% | 169,267 | — | 169,267 | — | 159,777 | |||||||
10yr IRS13 7/15/32-(Annually/ Annually) | 16,200,000 | 1.857%/ (4.30)% | (2,214,431) | — | — | (2,214,431) | 6,646 | |||||||
30 yr IRS13 12/21/52- (Annually/ Annually) | 17,000,000 | 1.75%/ (4.30)% | 4,653,486 | 3,483,626 | 1,169,860 | — | (4,657) | |||||||
Total IRS Contracts | $(12,407,413) | $2,797,011 | $3,201,039 | $(18,405,463) | $(1,341,778) |