At January 31, 2023, the Fund held the following forward foreign currency contracts: |
Sale Contracts Settlement Date | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
United States Dollar/Euro | ||||||||
04/19/2023 | Royal Bank of Canada | USD | 8,696,976 | EUR | 8,000,000 | $8,738,379 | $(41,403) |
Shares | Value | ||
SHORT-TERM INVESTMENT—1.2% | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.18%(c) | 604,168 | $ 604,168 | |
Total Short-Term Investment | 604,168 | ||
Total Investments (Cost $45,884,508)—98.8% | 51,408,074 | ||
Other Assets in Excess of Liabilities—1.2% | 614,136 | ||
Net Assets—100.0% | $52,022,210 |
(a) | Denotes a security issued under Regulation S or Rule 144A. |
(b) | Non-income producing security. |
(c) | Registered investment company advised by State Street Global Advisors. The rate shown is the 7 day yield as of January 31, 2023. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
Shares | Value | ||
COMMON STOCKS (continued) | |||
UNITED KINGDOM (continued) | |||
Health Care—4.6% | |||
Dechra Pharmaceuticals PLC | 142,110 | $ 5,040,094 | |
Genus PLC | 102,756 | 3,685,540 | |
8,725,634 | |||
Information Technology—2.1% | |||
Endava PLC, ADR(b) | 44,359 | 3,897,825 | |
Total United Kingdom | 19,674,701 | ||
UNITED STATES—1.1% | |||
Health Care—1.1% | |||
Inmode Ltd.(b) | 56,878 | 1,993,574 | |
VIETNAM—2.2% | |||
Information Technology—2.2% | |||
FPT Corp. | 1,140,240 | 4,070,389 | |
Total Common Stocks | 183,725,854 | ||
PREFERRED STOCKS—1.7% | |||
GERMANY—1.7% | |||
Industrials—1.7% | |||
Jungheinrich AG | 81,488 | 3,240,764 | |
Total Preferred Stocks | 3,240,764 | ||
SHORT-TERM INVESTMENT—1.9% | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.18%(c) | 3,616,624 | 3,616,624 | |
Total Short-Term Investment | 3,616,624 | ||
Total Investments (Cost $202,632,987)—100.9% | 190,583,242 | ||
Liabilities in Excess of Other Assets—(0.9%) | (1,633,426) | ||
Net Assets—100.0% | $188,949,816 |
(a) | Denotes a security issued under Regulation S or Rule 144A. |
(b) | Non-income producing security. |
(c) | Registered investment company advised by State Street Global Advisors. The rate shown is the 7 day yield as of January 31, 2023. |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
Shares | Value | ||
COMMON STOCKS (continued) | |||
UNITED STATES—8.8% | |||
Consumer Staples—4.0% | |||
Nestle SA | 28,081 | $ 3,426,136 | |
Health Care—2.1% | |||
ResMed, Inc. | 7,821 | 1,786,082 | |
Industrials—2.7% | |||
Schneider Electric SE | 14,586 | 2,366,076 | |
Total United States | 7,578,294 | ||
Total Common Stocks | 83,271,399 | ||
SHORT-TERM INVESTMENT—2.8% | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.18%(e) | 2,385,909 | 2,385,909 | |
Total Short-Term Investment | 2,385,909 | ||
Total Investments (Cost $96,786,947)—99.5% | 85,657,308 | ||
Other Assets in Excess of Liabilities—0.5% | 453,624 | ||
Net Assets—100.0% | $86,110,932 |
(a) | Denotes a security issued under Regulation S or Rule 144A. |
(b) | Non-income producing security. |
(c) | Level 3 security. See Note 1(a) of the accompanying Notes to Statements of Investments. |
(d) | The Fund’s adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. Illiquid securities held by the Fund represent 0.00% of net assets as of January 31, 2023. |
(e) | Registered investment company advised by State Street Global Advisors. The rate shown is the 7 day yield as of January 31, 2023. |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
At January 31, 2023, the Fund held the following forward foreign currency contracts: |
Purchase Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
Brazilian Real/United States Dollar | ||||||||
02/23/2023 | Barclays Bank PLC | BRL | 8,843,000 | USD | 1,639,916 | $1,735,351 | $95,435 | |
Colombian Peso/United States Dollar | ||||||||
02/23/2023 | Morgan Stanley & Co. | COP | 1,245,498,000 | USD | 242,955 | 265,636 | 22,681 | |
Indian Rupee/United States Dollar | ||||||||
02/23/2023 | Barclays Bank PLC | INR | 3,510,000 | USD | 42,741 | 42,891 | 150 | |
$2,043,878 | $118,266 |
Sale Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
United States Dollar/Brazilian Real | ||||||||
02/23/2023 | Deutsche Bank AG | USD | 1,437,897 | BRL | 7,613,000 | $1,493,976 | $(56,079) | |
02/23/2023 | UBS AG | USD | 231,111 | BRL | 1,230,000 | 241,375 | (10,264) | |
United States Dollar/Colombian Peso | ||||||||
02/23/2023 | Royal Bank of Canada | USD | 254,888 | COP | 1,245,498,000 | 265,636 | (10,748) | |
United States Dollar/Indian Rupee | ||||||||
02/23/2023 | Barclays Bank PLC | USD | 42,224 | INR | 3,510,000 | 42,891 | (667) | |
$2,043,878 | $(77,758) | |||||||
Unrealized appreciation on forward foreign currency exchange contracts | $118,266 | |||||||
Unrealized depreciation on forward foreign currency exchange contracts | $(77,758) |
* | Certain contracts with different trade dates and like characteristics have been shown net. |
At January 31, 2023, the Fund held the following futures contracts: |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation/ (Depreciation) |
Long Contract Positions | |||||
ICE U.S. MSCI Emerging Markets EM Index | 29 | 3/17/2023 | $1,523,129 | $1,514,670 | $(8,459) |
United States Treasury Note 6%–10 year Ultra | 103 | 3/22/2023 | 12,354,733 | 12,483,922 | 129,189 |
$120,730 | |||||
Short Contract Positions | |||||
Euro-BTP Italian Bond | (21) | 3/08/2023 | $(2,680,083) | $(2,605,378) | $74,705 |
ICE U.S. mini MSCI EAFE Index | (15) | 3/17/2023 | (1,584,957) | (1,589,250) | (4,293) |
S&P 500 E-Mini | (21) | 3/17/2023 | (4,209,569) | (4,294,500) | (84,931) |
$(14,519) | |||||
$106,211 |
At January 31, 2023, the Fund held the following forward foreign currency contracts: |
Purchase Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
Australian Dollar/United States Dollar | ||||||||
02/09/2023 | UBS AG | AUD | 220,000 | USD | 139,472 | $155,333 | $15,861 | |
03/09/2023 | Barclays Bank PLC | AUD | 6,250,000 | USD | 4,338,869 | 4,417,637 | 78,768 | |
05/11/2023 | Goldman Sachs & Co. | AUD | 220,000 | USD | 154,813 | 155,855 | 1,042 | |
Brazilian Real/United States Dollar | ||||||||
02/09/2023 | Barclays Bank PLC | BRL | 1,451,170 | USD | 269,331 | 285,439 | 16,108 | |
02/09/2023 | UBS AG | BRL | 19,761,466 | USD | 3,878,781 | 3,886,992 | 8,211 | |
04/20/2023 | Citibank N.A. | BRL | 4,110,000 | USD | 776,629 | 798,435 | 21,806 | |
British Pound/United States Dollar | ||||||||
02/09/2023 | Barclays Bank PLC | GBP | 425,000 | USD | 480,375 | 524,035 | 43,660 | |
02/13/2023 | Morgan Stanley & Co. | GBP | 2,340,000 | USD | 2,893,855 | 2,885,514 | (8,341) | |
05/11/2023 | UBS AG | GBP | 425,000 | USD | 524,739 | 524,975 | 236 | |
Canadian Dollar/United States Dollar | ||||||||
02/09/2023 | Barclays Bank PLC | CAD | 310,000 | USD | 225,717 | 232,999 | 7,282 | |
02/09/2023 | UBS AG | CAD | 541,477 | USD | 401,946 | 406,979 | 5,033 | |
05/11/2023 | UBS AG | CAD | 310,000 | USD | 230,684 | 233,196 | 2,512 |
Purchase Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
Chinese Renminbi/United States Dollar | ||||||||
02/17/2023 | Barclays Bank PLC | CNY | 22,560,000 | USD | 3,338,611 | $3,345,597 | $6,986 | |
02/17/2023 | HSBC Bank PLC | CNY | 2,630,000 | USD | 378,968 | 390,023 | 11,055 | |
Danish Krone/United States Dollar | ||||||||
02/09/2023 | HSBC Bank PLC | DKK | 300,000 | USD | 39,713 | 43,865 | 4,152 | |
02/09/2023 | UBS AG | DKK | 1,028,398 | USD | 149,070 | 150,367 | 1,297 | |
05/11/2023 | UBS AG | DKK | 300,000 | USD | 43,961 | 44,139 | 178 | |
Euro/United States Dollar | ||||||||
02/09/2023 | Goldman Sachs & Co. | EUR | 140,000 | USD | 149,086 | 152,276 | 3,190 | |
02/09/2023 | HSBC Bank PLC | EUR | 430,414 | USD | 449,757 | 468,156 | 18,399 | |
02/09/2023 | JPMorgan Chase Bank N.A. | EUR | 970,000 | USD | 980,089 | 1,055,056 | 74,967 | |
02/09/2023 | Morgan Stanley & Co. | EUR | 10,296,032 | USD | 11,073,768 | 11,198,875 | 125,107 | |
02/09/2023 | Morgan Stanley & Co. | EUR | 1,876,068 | USD | 2,041,210 | 2,040,577 | (633) | |
02/09/2023 | UBS AG | EUR | 2,058,966 | USD | 2,132,360 | 2,239,515 | 107,155 | |
05/11/2023 | Morgan Stanley & Co. | EUR | 640,000 | USD | 697,121 | 699,858 | 2,737 | |
Hong Kong Dollar/United States Dollar | ||||||||
02/09/2023 | UBS AG | HKD | 1,928,696 | USD | 246,254 | 246,086 | (168) | |
Indonesian Rupiah/United States Dollar | ||||||||
04/20/2023 | HSBC Bank PLC | IDR | 12,000,000,000 | USD | 798,882 | 800,731 | 1,849 | |
Japanese Yen/United States Dollar | ||||||||
02/09/2023 | Barclays Bank PLC | JPY | 4,013,389 | USD | 29,417 | 30,863 | 1,446 | |
02/09/2023 | Citibank N.A. | JPY | 304,214,235 | USD | 2,337,458 | 2,339,386 | 1,928 | |
02/09/2023 | Morgan Stanley & Co. | JPY | 62,000,000 | USD | 423,890 | 476,776 | 52,886 | |
04/11/2023 | Morgan Stanley & Co. | JPY | 582,200,000 | USD | 4,523,662 | 4,515,312 | (8,350) | |
05/11/2023 | Citibank N.A. | JPY | 62,000,000 | USD | 482,491 | 482,897 | 406 | |
MXN/United States Dollar | ||||||||
04/20/2023 | Citibank N.A. | MXN | 15,100,000 | USD | 785,288 | 790,765 | 5,477 | |
New Taiwan Dollar/United States Dollar | ||||||||
02/17/2023 | HSBC Bank PLC | TWD | 13,800,000 | USD | 456,644 | 460,213 | 3,569 | |
NOK/United States Dollar | ||||||||
02/09/2023 | Goldman Sachs & Co. | NOK | 2,473,796 | USD | 246,521 | 247,919 | 1,398 | |
02/09/2023 | Morgan Stanley & Co. | NOK | 109,226 | USD | 10,888 | 10,946 | 58 | |
Singapore Dollar/United States Dollar | ||||||||
02/17/2023 | HSBC Bank PLC | SGD | 6,800,000 | USD | 4,961,807 | 5,177,494 | 215,687 | |
Swedish Krona/United States Dollar | ||||||||
03/23/2023 | Morgan Stanley & Co. | SEK | 2,360,000 | USD | 229,243 | 226,295 | (2,948) | |
Swiss Franc/United States Dollar | ||||||||
02/09/2023 | Barclays Bank PLC | CHF | 66,729 | USD | 71,327 | 72,943 | 1,616 | |
02/09/2023 | Morgan Stanley & Co. | CHF | 630,209 | USD | 650,942 | 688,900 | 37,958 | |
03/23/2023 | Morgan Stanley & Co. | CHF | 3,959,000 | USD | 4,312,168 | 4,347,922 | 35,754 | |
05/11/2023 | Morgan Stanley & Co. | CHF | 370,000 | USD | 403,022 | 408,379 | 5,357 | |
Thai Baht/United States Dollar | ||||||||
02/09/2023 | Morgan Stanley & Co. | THB | 4,344,732 | USD | 131,742 | 131,724 | (18) | |
02/17/2023 | Goldman Sachs & Co. | THB | 29,100,000 | USD | 828,092 | 882,988 | 54,896 | |
02/17/2023 | JPMorgan Chase Bank N.A. | THB | 88,800,000 | USD | 2,521,860 | 2,694,480 | 172,620 | |
$61,368,712 | $1,128,189 |
Sale Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
United States Dollar/Australian Dollar | ||||||||
02/09/2023 | Goldman Sachs & Co. | USD | 154,284 | AUD | 220,000 | $155,333 | $(1,049) | |
03/09/2023 | Morgan Stanley & Co. | USD | 4,269,244 | AUD | 6,250,000 | 4,417,637 | (148,393) | |
United States Dollar/Brazilian Real | ||||||||
02/09/2023 | Barclays Bank PLC | USD | 1,221,928 | BRL | 6,556,730 | 1,289,680 | (67,752) | |
02/09/2023 | Goldman Sachs & Co. | USD | 2,752,899 | BRL | 14,655,905 | 2,882,752 | (129,853) | |
05/11/2023 | UBS AG | USD | 3,815,822 | BRL | 19,761,466 | 3,824,583 | (8,761) | |
United States Dollar/British Pound | ||||||||
02/09/2023 | UBS AG | USD | 523,720 | GBP | 425,000 | 524,035 | (315) | |
02/13/2023 | Morgan Stanley & Co. | USD | 1,996,327 | GBP | 1,660,000 | 2,046,989 | (50,662) | |
02/13/2023 | UBS AG | USD | 830,414 | GBP | 680,000 | 838,525 | (8,111) | |
04/20/2023 | Barclays Bank PLC | USD | 3,969,293 | GBP | 3,210,000 | 3,963,640 | 5,653 | |
United States Dollar/Canadian Dollar | ||||||||
02/09/2023 | Barclays Bank PLC | USD | 394,260 | CAD | 541,477 | 406,979 | (12,719) | |
02/09/2023 | UBS AG | USD | 230,496 | CAD | 310,000 | 232,999 | (2,503) | |
05/11/2023 | UBS AG | USD | 361,531 | CAD | 485,835 | 365,468 | (3,937) | |
United States Dollar/Chinese Renminbi | ||||||||
02/17/2023 | HSBC Bank PLC | USD | 3,608,055 | CNY | 25,190,000 | 3,735,620 | (127,565) | |
United States Dollar/Danish Krone | ||||||||
02/09/2023 | HSBC Bank PLC | USD | 136,136 | DKK | 1,028,398 | 150,367 | (14,231) | |
02/09/2023 | UBS AG | USD | 43,690 | DKK | 300,000 | 43,865 | (175) | |
05/11/2023 | UBS AG | USD | 126,025 | DKK | 860,017 | 126,535 | (510) | |
United States Dollar/Euro | ||||||||
02/09/2023 | Citibank N.A. | USD | 116,490 | EUR | 110,000 | 119,646 | (3,156) | |
02/09/2023 | HSBC Bank PLC | USD | 390,200 | EUR | 370,000 | 402,445 | (12,245) | |
02/09/2023 | JPMorgan Chase Bank N.A. | USD | 141,956 | EUR | 130,000 | 141,399 | 557 | |
02/09/2023 | JPMorgan Chase Bank N.A. | USD | 12,022,360 | EUR | 12,202,363 | 13,272,368 | (1,250,008) | |
02/09/2023 | Morgan Stanley & Co. | USD | 3,120,961 | EUR | 2,959,117 | 3,218,597 | (97,636) | |
05/11/2023 | Morgan Stanley & Co. | USD | 8,405,467 | EUR | 7,716,740 | 8,438,468 | (33,001) | |
United States Dollar/Hong Kong Dollar | ||||||||
02/09/2023 | UBS AG | USD | 245,957 | HKD | 1,928,696 | 246,086 | (129) | |
05/11/2023 | UBS AG | USD | 902,424 | HKD | 7,046,371 | 902,095 | 329 | |
United States Dollar/Japanese Yen | ||||||||
02/09/2023 | Citibank N.A. | USD | 476,383 | JPY | 62,000,000 | 476,776 | (393) | |
02/09/2023 | Morgan Stanley & Co. | USD | 2,107,331 | JPY | 308,227,624 | 2,370,249 | (262,918) | |
04/11/2023 | Morgan Stanley & Co. | USD | 522,827 | JPY | 67,500,000 | 523,503 | (676) | |
05/11/2023 | Citibank N.A. | USD | 2,367,426 | JPY | 304,214,235 | 2,369,420 | (1,994) | |
United States Dollar/New Taiwan Dollar | ||||||||
02/17/2023 | Goldman Sachs & Co. | USD | 3,167,107 | TWD | 95,900,000 | 3,198,144 | (31,037) | |
02/17/2023 | HSBC Bank PLC | USD | 3,700,603 | TWD | 112,700,000 | 3,758,403 | (57,800) | |
04/19/2023 | HSBC Bank PLC | USD | 1,202,898 | TWD | 36,200,000 | 1,218,732 | (15,834) | |
United States Dollar/NOK | ||||||||
02/09/2023 | Barclays Bank PLC | USD | 246,042 | NOK | 2,583,022 | 258,865 | (12,823) | |
05/11/2023 | Goldman Sachs & Co. | USD | 247,588 | NOK | 2,473,796 | 249,017 | (1,429) | |
United States Dollar/Singapore Dollar | ||||||||
02/17/2023 | Goldman Sachs & Co. | USD | 1,660,534 | SGD | 2,270,000 | 1,728,369 | (67,835) | |
02/17/2023 | JPMorgan Chase Bank N.A. | USD | 208,164 | SGD | 277,000 | 210,907 | (2,743) | |
United States Dollar/Swedish Krona | ||||||||
03/23/2023 | Goldman Sachs & Co. | USD | 4,237,524 | SEK | 43,260,000 | 4,148,108 | 89,416 | |
04/20/2023 | UBS AG | USD | 1,193,982 | SEK | 12,300,000 | 1,181,282 | 12,700 |
Sale Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
United States Dollar/Swiss Franc | ||||||||
02/09/2023 | Morgan Stanley & Co. | USD | 726,296 | CHF | 696,938 | $761,843 | $(35,547) | |
03/23/2023 | Citibank N.A. | USD | 337,829 | CHF | 310,000 | 340,454 | (2,625) | |
05/11/2023 | Morgan Stanley & Co. | USD | 283,431 | CHF | 260,209 | 287,199 | (3,768) | |
United States Dollar/Thai Baht | ||||||||
02/09/2023 | Goldman Sachs & Co. | USD | 115,523 | THB | 4,344,732 | 131,724 | (16,201) | |
02/17/2023 | Goldman Sachs & Co. | USD | 331,376 | THB | 11,000,000 | 333,776 | (2,400) | |
05/11/2023 | Morgan Stanley & Co. | USD | 132,926 | THB | 4,344,732 | 132,934 | (8) | |
$75,425,816 | $(2,380,087) |
At January 31, 2023, Fund's open forward foreign cross currency contracts were as follows: |
Purchase/Sale Settlement Date | Counterparty | Amount Purchased | Amount Sold | Contract Value | Fair Value | Unrealized Appreciation/ (Depreciation) | ||
Euro / British Pound | ||||||||
02/13/2023 | Morgan Stanley & Co. | EUR | 1,889,426 | GBP | 1,660,000 | $1,956,972 | $1,965,602 | $8,630 |
02/13/2023 | UBS AG | EUR | 777,416 | GBP | 680,000 | 823,516 | 830,787 | 7,271 |
$2,796,389 | $15,901 | |||||||
Unrealized appreciation on forward foreign currency exchange contracts | $1,273,203 | |||||||
Unrealized depreciation on forward foreign currency exchange contracts | $(2,509,200) |
* | Certain contracts with different trade dates and like characteristics have been shown net. |
At January 31, 2023, the Fund held the following centrally cleared credit default swaps: | ||||||||
Expiration Date | Notional Amount | Credit Index | Fixed Rate | Implied Credit Spread* | Frequency of Payments Made | Premiums Paid (Received) | Value | Unrealized Appreciation/ (Depreciation) |
Buy Protection: | ||||||||
12/20/2027 | 1,890,000 | CDX.NA.HY | Equal to (1.00%) | N/A | Quarterly | $(5,442) | $(31,079) | $(25,637) |
12/20/2027 | 10,800,000 | CDX.NA.HY | Equal to (1.00%) | N/A | Quarterly | (51,681) | (198,177) | (146,496) |
12/20/2027 | 6,720,000 | iTraxx Europe Crossover | Equal to (5.00%) | N/A | Quarterly | 266,989 | (20,542) | (287,531) |
$209,866 | $(249,798) | $(459,664) | ||||||
Sell Protection: | ||||||||
12/20/2027 | 23,260,000 | CDX.NA.HY | Equal to 1.00% | N/A | Quarterly | $24,845 | $340,355 | $315,510 |
12/20/2027 | 2,450,000 | iTraxx Europe Crossover | Equal to 5.00% | N/A | Quarterly | (85,839) | 18,990 | 104,829 |
12/20/2027 | 2,030,000 | iTraxx Europe Crossover | Equal to 5.00% | N/A | Quarterly | (38,232) | 48,626 | 86,858 |
$(99,226) | $407,971 | $507,197 |
* | Implied credit spreads, represented in absolute terms, are utilized in determining the market value of credit default swaps agreements on corporate issues or sovereign issues and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made prior to entering into the agreement. For credit default swap with asset-backed securities or credit indices as the underlying assets, the quoted market prices and resulting market values serve as an indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
At January 31, 2023, the Fund held the following over-the-counter total return swaps: |
Currency | Notional Amount | Expiration Date | Receive (Pay) Total Return of Equity Index | Equity Index | Floating Rate Index | Frequency of Payments Made | Value | Unrealized Appreciation/ (Depreciation) |
USD | (1,600,679) | 04/05/2023 | Pay | S&P 500 Low Volatility Net Total Return Index | 1-month SOFR | Monthly | $(31,920) | $(31,920) |
USD | 2,411,200 | 03/06/2023 | Receive | MSCI World Consumer Staples Index | 1-month SOFR | Monthly | 51,893 | 51,893 |
USD | 4,557,630 | 03/31/2023 | Receive | MSCI World Quality Index | 1-month SOFR | Monthly | 67,317 | 67,317 |
$87,290 |
At January 31, 2023, the Fund held the following purchased options: | |||||||
Description | Expiration Date | Exercise Price | Contracts | Notional Amount | Cost | Value | Unrealized Value |
Put Options Purchased 0.4% | |||||||
Index Options 0.4% | |||||||
S&P 500 Index | 07/21/2023 | 4,050.00 | 1,000 | 10 | $163,515 | $162,700 | $(815) |
At January 31, 2023, the Fund held the following written options: | |||||||
Description | Expiration Date | Exercise Price | Contracts | Notional Amount | Cost | Value | Unrealized Value |
Put Options Written 0.1% | |||||||
Index Options 0.1% | |||||||
S&P 500 Index | 07/21/2023 | 3,650.00 | (500) | (5) | $(35,767) | $(37,900) | $(2,133) |
S&P 500 Index | 07/21/2023 | 3,250.00 | (500) | (5) | (15,593) | (15,580) | 13 |
(51,360) | $(53,480) | $(2,120) |
At January 31, 2023, the Fund held the following forward foreign currency contracts: |
Purchase Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
Euro/United States Dollar | ||||||||
04/19/2023 | UBS AG | EUR | 378,473 | USD | 411,712 | $413,405 | $1,693 |
Sale Contracts Settlement Date* | Counterparty | Amount Purchased | Amount Sold | Fair Value | Unrealized Appreciation/ (Depreciation) | |||
United States Dollar/British Pound | ||||||||
04/19/2023 | Barclays Bank PLC | USD | 303,851 | GBP | 245,065 | $302,627 | $1,224 | |
04/19/2023 | Royal Bank of Canada | USD | 3,784,307 | GBP | 3,122,067 | 3,855,391 | (71,084) | |
United States Dollar/Euro | ||||||||
04/19/2023 | Royal Bank of Canada | USD | 1,288,562 | EUR | 1,177,205 | 1,285,858 | 2,704 | |
04/19/2023 | Royal Bank of Canada | USD | 18,301,760 | EUR | 16,835,057 | 18,388,888 | (87,128) | |
$23,832,764 | $(154,284) | |||||||
Unrealized appreciation on forward foreign currency exchange contracts | $5,621 | |||||||
Unrealized depreciation on forward foreign currency exchange contracts | $(158,212) |
* | Certain contracts with different trade dates and like characteristics have been shown net. |
Principal Amount | Value | ||
MUNICIPAL BONDS (continued) | |||
WISCONSIN (continued) | |||
Wisconsin Public Finance Authority Educational Facilities Revenue Bonds (Guilford College) | |||
5.00%, 01/01/2026 | $ | 685,000 | $ 694,374 |
5.00%, 01/01/2027 | 830,000 | 844,123 | |
Wisconsin Public Finance Authority Educational Facilities Revenue Bonds (Piedmont Community Charter School) | |||
5.00%, 06/15/2024 | 210,000 | 213,468 | |
5.00%, 06/15/2026 | 230,000 | 239,488 | |
5.00%, 06/15/2027 | 160,000 | 168,380 | |
Total Wisconsin | 14,916,575 | ||
Total Municipal Bonds | 149,020,613 | ||
Total Investments (Cost $162,847,336)—99.9% | 149,020,613 | ||
Other Assets in Excess of Liabilities—0.1% | 107,971 | ||
Net Assets—100.0% | $149,128,584 |
(a) | Denotes a security issued under Regulation S or Rule 144A. |
(b) | Variable Rate Instrument. The rate shown is based on the latest available information as of January 31, 2023. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(c) | Security is in default. |
(d) | Illiquid security. |
(e) | Security is in forbearance as of January 31, 2023 |
AMT | Alternative Minimum Tax |
FRN | Floating Rate Note |
VRN | Variable Rate Note |
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