| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| Futures contracts outstanding at September 30, 2020: | ||||||||
| Number
of Contracts |
Type | Expiration
Date |
Current
Notional Amount |
Value
/ Unrealized Appreciation (Depreciation) | ||||
| Long Positions: | ||||||||
| 116 | 2 Year U.S. Treasury Notes | Dec. 2020 | $25,631,469 | $ 9,969 | ||||
| 30 | 5 Year U.S. Treasury Notes | Dec. 2020 | 3,780,937 | 3,609 | ||||
| 47 | 10 Year U.S. Treasury Notes | Dec. 2020 | 6,557,969 | 8,202 | ||||
| SCHEDULE OF INVESTMENTS | as of September 30, 2020 (unaudited) |
| Futures contracts outstanding at September 30, 2020 (continued): | ||||||||
| Number
of Contracts |
Type | Expiration
Date |
Current
Notional Amount |
Value
/ Unrealized Appreciation (Depreciation) | ||||
| Long Positions (cont’d): | ||||||||
| 37 | 20 Year U.S. Treasury Bonds | Dec. 2020 | $ 6,522,406 | $(30,784 ) | ||||
| (9,004 ) | ||||||||
| Short Position: | ||||||||
| 9 | 30 Year U.S. Ultra Treasury Bonds | Dec. 2020 | 1,996,313 | 17,779 | ||||
| $ 8,775 | ||||||||
| Reference
Entity/ Obligation |
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Value
at Trade Date |
Value
at September 30, 2020 |
Unrealized
Appreciation (Depreciation) | ||||||||
| Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): | ||||||||||||||
| CDX.NA.HY.35.V1 | 12/20/25 | 5.000%(Q) | 15,910 | $(655,943) | $(688,215) | $(32,272) | ||||||||
| (1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |