Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 9,805,120 | EUR | 9,015,019 | Standard Chartered Bank | 3/4/24 | $ 61,692 | $ — |
USD | 75,316 | EUR | 67,555 | Australia and New Zealand Banking Group Limited | 3/28/24 | 2,232 | — |
USD | 1,292,507 | EUR | 1,159,175 | Goldman Sachs International | 3/28/24 | 38,452 | — |
USD | 611,456 | EUR | 565,892 | HSBC Bank USA, N.A. | 3/28/24 | — | (755) |
USD | 1,304,399 | EUR | 1,170,000 | State Street Bank and Trust Company | 3/28/24 | 38,633 | — |
USD | 1,297,430 | EUR | 1,164,000 | State Street Bank and Trust Company | 3/28/24 | 38,155 | — |
USD | 1,271,243 | EUR | 1,140,000 | State Street Bank and Trust Company | 3/28/24 | 37,932 | — |
USD | 9,767,386 | EUR | 9,015,019 | Standard Chartered Bank | 4/3/24 | 12,063 | — |
USD | 1,318,486 | EUR | 1,210,000 | Bank of America, N.A. | 5/31/24 | 6,027 | — |
USD | 1,321,168 | EUR | 1,212,728 | Bank of America, N.A. | 5/31/24 | 5,750 | — |
USD | 1,122,307 | EUR | 1,030,000 | Bank of America, N.A. | 5/31/24 | 5,089 | — |
USD | 1,089,339 | EUR | 1,000,000 | Bank of America, N.A. | 5/31/24 | 4,661 | — |
USD | 1,340,362 | EUR | 1,230,000 | State Street Bank and Trust Company | 5/31/24 | 6,209 | — |
USD | 1,320,335 | EUR | 1,212,000 | State Street Bank and Trust Company | 5/31/24 | 5,705 | — |
USD | 1,317,975 | EUR | 1,210,000 | State Street Bank and Trust Company | 5/31/24 | 5,516 | — |
USD | 1,434,234 | GBP | 1,130,000 | HSBC Bank USA, N.A. | 5/31/24 | 7,127 | — |
USD | 1,442,164 | GBP | 1,135,902 | State Street Bank and Trust Company | 5/31/24 | 7,603 | — |
$282,846 | $(755) |
Abbreviations: | |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PCL | – Public Company Limited |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Interbank Average |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $6,063,549 | $135,821,703 | $(138,026,199) | $ — | $ — | $3,859,053 | $454,365 | 3,859,053 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3* | Total |
Asset-Backed Securities | $ — | $ 29,010,745 | $ — | $ 29,010,745 |
Closed-End Funds | 7,745,621 | — | — | 7,745,621 |
Common Stocks | 34,441 | 3,305,724 | 7,549 | 3,347,714 |
Corporate Bonds | — | 25,397,280 | — | 25,397,280 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 485,008,970 | 447,240 | 485,456,210 |
Short-Term Investments | 3,859,053 | — | — | 3,859,053 |
Total Investments | $11,639,115 | $542,722,719 | $454,789 | $554,816,623 |
Forward Foreign Currency Exchange Contracts | $ — | $ 282,846 | $ — | $ 282,846 |
Total | $11,639,115 | $543,005,565 | $454,789 | $555,099,469 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (755) | $ — | $ (755) |
Total | $ — | $ (755) | $ — | $ (755) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Trust. |