NPORT-EX 1 IPTRBF.htm IVY PICTET TARGETED RETURN BOND FUND SOI HTML
     SCHEDULE OF INVESTMENTS   
     Ivy Pictet Targeted Return Bond Fund (in thousands)   

JUNE 30, 2019 (UNAUDITED)

 

      

 

PURCHASED
OPTIONS

   Number of
Contracts
(Unrounded)		     Notional
Amount		     Value  

AUD versus USD:

      

Call $0.71, Expires 10-29-19, OTC (Ctrpty: Goldman Sachs International)

     2,285,000       2,285     $ 34  

Call $0.71, Expires 10-29-19, OTC (Ctrpty: Barclays Capital, Inc.)

     2,285,000       2,285       34  

EUR versus HUF,

      

Call $324.68, Expires 10-30-19, OTC (Ctrpty: Barclays Capital, Inc.)

     8,185,000       8,185       68  

EUR versus NOK,

      

Put $9.76, Expires 10-29-19, OTC (Ctrpty: Morgan Stanley & Co., Inc.)

     4,101,000       4,101       73  

EUR versus SEK,

      

Put $10.60, Expires 10-29-19, OTC (Ctrpty: Morgan Stanley & Co., Inc.)

     8,201,000       8,201       126  

EUR versus USD,

      

Call $1.14, Expires 9-20-19, OTC (Ctrpty: Citibank N.A.)

     8,143,000       8,143       106  

Euro-Bobl 5-Year Bond September Futures,

      

Call EUR138.25, Expires 8-23-19(A)

     248       24,800       1  

Euro-Bund 10-Year Bond September Futures,

      

Put EUR154.50, Expires 8-23-19(A)

     87       8,700       1  

Euro-OAT 10-Year Bond September Futures,

      

Call EUR178.00, Expires 8-23-19(A)

     243       24,300       3  

GBP versus USD:

      

Put $1.05, Expires 1-9-20, OTC (Ctrpty: Goldman Sachs International)

     11,662,000       11,662       12  

Call $1.44, Expires 2-27-20, OTC (Ctrpty: Goldman Sachs International)

     11,564,000       11,564       20  

NZD versus USD:

      

Call $0.71, Expires 8-16-19, OTC (Ctrpty: Goldman Sachs International)

     29,662,000       29,662       9  

Call $0.74, Expires 8-16-19, OTC (Ctrpty: Morgan Stanley & Co., Inc.)

     29,662,000       29,662       —   * 

TYU9 116 SEP PUT,

      

Put $116.00, Expires 8-23-19

     136       13,600       1  

U.S. 5-Year Treasury Note September Futures:

      

Put $116.50, Expires 8-3-19

     240       24,000       19  

Put $110.25, Expires 8-23-19

     249       24,900       2  

Put $115.50, Expires 8-23-19

     230       23,000       9  

U.S. Treasury Long Bond September Futures,

      

Call $191.00, Expires 8-23-19

     49       4,900       —   * 

USD versus BRL:

      

Put $3.86, Expires 7-2-19, OTC (Ctrpty: Citibank N.A.)

     4,600,000       4,600       43  

Call $4.32, Expires 8-21-19, OTC (Ctrpty: Morgan Stanley & Co., Inc.)

     6,820,000       6,820       9  

USD versus JPY,

      

Call $111.31, Expires 11-27-19, OTC (Ctrpty: Goldman Sachs International)

     4,536,000       4,536       14  

USD versus KRW,

      

Put $1,141.00, Expires 11-27-19, OTC (Ctrpty: Morgan Stanley & Co., Inc.)

     4,536,000       4,536       56  

USD versus MXN,

      

Call $20.07, Expires 8-27-19, OTC (Ctrpty: Morgan Stanley & Co., Inc.)

     4,540,000       4,540       28  

USD versus ZAR,

      

Call $18.07, Expires 8-22-19, OTC (Ctrpty: Morgan Stanley & Co., Inc.)

     3,401,421       3,401       —   * 
     

 

 

  

TOTAL PURCHASED OPTIONS – 0.2%

 

   $ 668  
 

 

 

  

(Cost: $1,532)

 

 

CORPORATE DEBT
SECURITIES

   Principal        

Communication Services

 

Broadcasting – 0.5%

 

Discovery Communications LLC (GTD by Discovery, Inc.),

    

5.300%, 5-15-49

   $ 492       529  

Fox Corp.,

    

5.576%, 1-25-49

     531       647  
   

 

 

  
      1,176  
   

 

 

  

Cable & Satellite – 0.3%

 

Charter Communications Operating LLC and Charter Communications Operating Capital Corp.,

    

5.750%, 4-1-48

     600       663  
   

 

 

  

Integrated Telecommunication Services – 1.1%

 

AT&T, Inc.:

    

4.250%, 6-1-43(A)

   GBP 353       497  

5.150%, 2-15-50

   $ 558       614  

Telefonica Emisiones S.A.U.,

    

4.693%, 11-11-19(A)

   EUR   1,200       1,389  
   

 

 

  
      2,500  
   

 

 

  

Wireless Telecommunication Service – 0.3%

 

Bharti Airtel Ltd.,

    

4.375%, 6-10-25

   $ 561       566  
   

 

 

  

Total Communication Services - 2.2%

 

     4,905  
 

 

 

  

Consumer Discretionary

 

Apparel, Accessories & Luxury Goods – 0.4%

 

PVH Corp.,

    

3.125%, 12-15-27(A)

   EUR 680       843  
   

 

 

  

Home Improvement Retail – 0.3%

 

Lowe’s Co., Inc.,

    

4.550%, 4-5-49

   $ 619       667  
   

 

 

  

Restaurants – 0.1%

 

Starbucks Corp.,

    

4.450%, 8-15-49

     246       269  
   

 

 

  

Total Consumer Discretionary - 0.8%

 

     1,779  
 

 

 

  

Consumer Staples

 

Brewers – 0.3%

 

Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB):

    

4.750%, 4-15-58

     271       286  

5.800%, 1-23-59

     365       457  
   

 

 

  
      743  
   

 

 

  

Drug Retail – 0.3%

 

CVS Health Corp.,

    

5.050%, 3-25-48

     639       679  
   

 

 

  

Packaged Foods & Meats – 0.2%

 

Mars, Inc.,

    

4.200%, 4-1-59(B)

     395       429  
   

 

 

  

Total Consumer Staples - 0.8%

 

     1,851  
 

 

 

  

Energy

 

Integrated Oil & Gas – 1.7%

 

Korea National Oil Corp.,

    

2.875%, 3-27-22(B)

     731       738  

Nexen Energy ULC,

    

6.400%, 5-15-37

     229       305  

Pemex Project Funding Master Trust (GTD by Petroleos Mexicanos),

    

6.625%, 6-15-35

     545       503  

Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.):

    

4.750%, 1-14-25(A)

   EUR 200       257  

6.625%, 1-16-34(A)

   GBP 400       565  

Petroleos Mexicanos,

    

4.875%, 2-21-28(A)

   EUR 281       312  

PT Perusahaan Gas Negara Tbk,

    

5.125%, 5-16-24

   $ 600       643  

Raizen Fuels Finance Ltd.,

    

5.300%, 1-20-27(B)

     589       627  
   

 

 

  
      3,950  
   

 

 

  

Oil & Gas Exploration & Production – 1.1%

 

Abu Dhabi National Energy Co.,

    

4.875%, 4-23-30

     600       659  

Gazprom OAO Via Gaz Capital S.A.,

    

4.250%, 4-6-24(A)

   GBP 550       740  

Oil and Gas Holding Co.,

    

7.500%, 10-25-27

   $ 600       631  

ONGC Videsh Vankorneft Pte. Ltd. (GTD by Oil and Natural Gas Corp. Ltd.),

    

3.750%, 7-27-26(C)

     508       514  
   

 

 

  
      2,544  
   

 

 

  

Oil & Gas Refining & Marketing – 0.2%

 

Thaioil Treasury Center Co. Ltd.,

    

4.625%, 11-20-28(B)

     420       460  
   

 

 

  

Oil & Gas Storage & Transportation – 0.9%

 

Energy Transfer Partners L.P.,

    

6.000%, 6-15-48

     730       832  

Kunlun Energy Co. Ltd.,

    

3.750%, 5-13-25

     464       483  

TransCanada PipeLines Ltd.,

    

5.300%, 3-15-77

     743       714  
   

 

 

  
      2,029  
   

 

 

  

Total Energy - 3.9%

 

     8,983  
 

 

 

  

Financials

 

Asset Management & Custody Banks – 0.7%

 

Charming Light Investments Ltd.:

    

4.375%, 12-21-27

     458       480  

4.250%, 6-21-67

     233       234  

China Cinda Finance (2017) I Ltd.,

    

4.400%, 3-9-27

     808       845  
   

 

 

  
      1,559  
   

 

 

  

Diversified Banks – 5.0%

 

ABANCA Corp. Bancaria S.A.,

    

6.125%, 1-18-29(A)

   EUR 400       478  

ABN AMRO Bank N.V.,

    

2.875%, 1-18-28(A)

     300       368  

Banco Santander S.A.,

    

6.750%, 7-25-66(A)

     500       620  

Bankia S.A.,

    

6.000%, 10-18-66(A)

     1,000       1,167  

Barclays plc,

    

5.875%, 12-15-65(A)

   GBP 400       492  

BNP Paribas S.A.,

    

3.375%, 1-9-25(B)

   $ 850       864  

Caixa Geral de Depositos,

    

5.750%, 6-28-28(A)

   EUR 400       496  

CaixaBank S.A.:

    

5.250%, 6-23-66(A)

     400       427  

6.750%, 9-13-66(A)

     400       491  

CYBG plc:

    

3.125%, 6-22-25(A)

   GBP 750       928  

8.000%, 6-8-66(A)

     200       247  

Erste Group Bank AG,

    

6.500%, 10-15-66(A)

   EUR 800       1,042  

Intesa Sanpaola S.p.A.,

    

6.250%, 11-16-66(A)

     200       234  

Intesa Sanpaolo S.p.A.,

    

6.625%, 9-13-23(A)

     613       828  

Novo Banco S.A.,

    

8.500%, 7-6-28(A)(C)

     200       234  

Royal Bank of Scotland Group plc (The),

    

1.750%, 3-2-26(A)

     1,000       1,164  

UniCredit S.p.A.,

    

5.861%, 6-19-32

   $ 400       383  

Unione di Banche Italiane S.p.A.,

    

4.450%, 9-15-27(A)

   EUR 805       932  
   

 

 

  
      11,395  
   

 

 

  

Diversified Capital Markets – 0.6%

 

Credit Suisse Group AG,

    

7.250%, 3-12-67

   $ 400       430  

Investec plc,

    

6.750%, 12-5-66(A)

   GBP 500       625  

UBS Group Funding (Switzerland) AG,

    

7.000%, 7-31-67(B)

   $ 333       354  
   

 

 

  
      1,409  
   

 

 

  

Investment Banking & Brokerage – 0.4%

 

Macquarie Group Ltd.,

    

3.189%, 11-28-23(B)

     921       932  
   

 

 

  

Life & Health Insurance – 1.0%

 

Credit Agricole Assurances S.A.,

    

2.625%, 1-29-48(A)

   EUR 400       449  

Just Group plc,

    

3.500%, 2-7-25(A)

   GBP 238       289  

NN Group N.V.:

    

4.625%, 4-8-44(A)

   EUR 245       316  

4.625%, 1-13-48(A)

     241       314  

4.500%, 7-15-66(A)

     600       753  

Phoenix Group Holdings,

    

4.375%, 1-24-29(A)

     205       237  
   

 

 

  
      2,358  
   

 

 

  

Multi-Line Insurance – 1.4%

 

Assicurazioni Generali S.p.A.,

    

5.000%, 6-8-48(A)

     600       754  

Aviva plc,

    

3.375%, 12-4-45(A)

     434       527  

Axa S.A.:

    

3.375%, 7-6-47(A)

     200       256  

3.250%, 5-28-49(A)

     600       750  

3.875%, 10-8-66(A)

     500       633  

Sampo Oyj,

    

2.250%, 9-27-30(A)

     100       126  
   

 

 

  
      3,046  
   

 

 

  

Other Diversified Financial Services – 0.2%

 

Caisse Nationale de Reassurance Mutuelle Agricole Groupama,

    

3.375%, 9-24-28(A)

     300       362  
   

 

 

  

Property & Casualty Insurance – 0.6%

 

Chubb INA Holdings, Inc. (GTD by Chubb Ltd.),

    

2.500%, 3-15-38(A)

     487       633  

Direct Line Insurance Group plc,

    

4.750%, 6-7-66(A)

   GBP 400       433  

Mapfre S.A.,

    

1.625%, 5-19-26(A)

   EUR 200       241  
   

 

 

  
      1,307  
   

 

 

  

Reinsurance – 0.1%

 

RenaissanceRe Holdings Ltd.,

    

3.600%, 4-15-29

   $ 272       279  
   

 

 

  

Specialized Finance – 1.6%

 

China Great Wall International Holdings III Ltd.,

    

3.875%, 8-31-27

     358       363  
 

Huarong Finance 2017 Co. Ltd.,

    

4.250%, 11-7-27

     354       355  

Huarong Finance II Co. Ltd.,

    

2.875%, 3-14-67

     231       225  

Siemens Financieringsmaatschappij N.V.,

    

2.200%, 3-16-20(B)

     1,028       1,027  

Tesco Corporate Treasury Services plc,

    

1.375%, 7-1-19(A)

   EUR 325       370  

Trust F/1401:

    

4.869%, 1-15-30(B)

   $ 200       201  

6.390%, 1-15-50(B)

     200       205  

WPC Eurobond B.V.,

    

2.125%, 4-15-27(A)

   EUR 800       954  
   

 

 

  
      3,700  
   

 

 

  

Thrifts & Mortgage Finance – 0.6%

 

Coventry Building Society,

    

6.875%, 9-18-67(A)

   GBP 353       457  

Deutsche Pfandbriefbank AG,

    

2.875%, 6-28-27(A)

   EUR 800       919  
   

 

 

  
      1,376  
   

 

 

  

Total Financials - 12.2%

 

     27,723  
 

 

 

  

Health Care

 

Health Care Facilities – 0.2%

 

HCA, Inc. (GTD by HCA Holdings, Inc.),

    

5.250%, 6-15-49

   $ 489       508  
   

 

 

  

Health Care Supplies – 0.2%

 

Medtronic Global Holdings SCA:

    

1.000%, 7-2-31(A)

   EUR 157       178  

1.750%, 7-2-49(A)

     163       179  
   

 

 

  
      357  
   

 

 

  

Life Sciences Tools & Services – 0.2%

 

Thermo Fisher Scientific, Inc.,

    

2.875%, 7-24-37(A)

     350       474  
   

 

 

  

Pharmaceuticals – 0.4%

 

Teva Pharmaceutical Finance II B.V.:

    

1.250%, 3-31-23(A)

     500       505  

1.125%, 10-15-24(A)

     200       188  

1.875%, 3-31-27(A)

     300       261  
   

 

 

  
      954  
   

 

 

  

Total Health Care - 1.0%

 

     2,293  
 

 

 

  

Industrials

 

Diversified Support Services – 0.8%

 

Logicor Financing S.a.r.l.:

    

2.250%, 5-13-25(A)

     1,200       1,455  

3.250%, 11-13-28(A)

     200       251  
   

 

 

  
      1,706  
   

 

 

  

Industrial Conglomerates – 0.3%

 

General Electric Co.,

    

4.125%, 10-9-42

   $ 437       402  

Thyssenkrupp AG,

    

3.125%, 10-25-19(A)

   EUR 343       391  
   

 

 

  
      793  
   

 

 

  

Industrial Machinery – 0.1%

 

Parker Hannifin Corp.,

    

4.000%, 6-14-49

   $ 244       258  
   

 

 

  

Marine Ports & Services – 0.4%

 

CCCI Treasure Ltd. (GTD by China Communications Construction Co. Ltd.),

    

3.500%, 12-29-49

     834       833  
   

 

 

  

Railroads – 0.5%

 

CSX Corp.,

    

4.750%, 11-15-48

     1,021       1,188  
   

 

 

  

Research & Consulting Services – 0.1%

 

IHS Markit Ltd.,

    

4.250%, 5-1-29

     265       279  
   

 

 

  

Total Industrials - 2.2%

 

     5,057  
 

 

 

  

Information Technology

 

IT Consulting & Other Services – 0.5%

 

Capgemini SE,

    

1.750%, 7-1-20(A)

   EUR 400       461  

International Business Machines Corp.,

    

4.250%, 5-15-49

   $ 567       609  
   

 

 

  
      1,070  
   

 

 

  

Systems Software – 0.3%

 

Microsoft Corp.,

    

4.250%, 2-6-47

     702       832  
   

 

 

  

Technology Hardware, Storage & Peripherals – 1.4%

 

Apple, Inc.,

    

3.200%, 5-11-27

     1,093       1,139  

Hewlett Packard Enterprise Co.:

    

2.100%, 10-4-19(B)

     610       609  

4.900%, 10-15-25(D)

     563       615  

6.350%, 10-15-45(D)

     642       711  

Hewlett Packard Enterprise Co. (3-Month U.S. LIBOR plus 72 bps),

    

3.318%, 10-5-21(E)

     97       97  
   

 

 

  
      3,171  
   

 

 

  

Total Information Technology - 2.2%

 

     5,073  
 

 

 

  

Materials

 

Aluminum – 0.3%

 

PT Indonesia Asahan Aluminum Persero Tbk:

    

6.757%, 11-15-48

     315       387  

6.757%, 11-15-48(B)

     200       246  
   

 

 

  
      633  
   

 

 

  

Diversified Chemicals – 0.8%

 

CNAC (HK) Finbridge Co. Ltd.,

    

1.750%, 6-14-22(A)

   EUR 578       674  

CNAK (HK) Finbridge Co. Ltd.,

    

5.125%, 3-14-28

   $ 200       220  

Dow Chemical Co. (The),

    

4.375%, 11-15-42

     892       901  
   

 

 

  
      1,795  
   

 

 

  

Diversified Metals & Mining – 0.2%

 

Glencore Finance (Europe) S.A. (GTD by Glencore Xstrata plc, Glencore International AG and Xstrata (Schweiz) AG),

    

3.375%, 9-30-20(A)

   EUR 507       601  
   

 

 

  

Fertilizers & Agricultural Chemicals – 0.3%

 

Israel Chemicals Ltd.,

    

6.375%, 5-31-38

   $ 616       694  
   

 

 

  

Specialty Chemicals – 0.2%

 

International Flavors & Fragrances, Inc.,

    

5.000%, 9-26-48

     343       381  
   

 

 

  

Total Materials - 1.8%

 

     4,104  
 

 

 

  

Real Estate

 

Diversified Real Estate Activities – 1.3%

 

Blackstone Property Partners Europe L.P.,

    

2.200%, 7-24-25(A)

   EUR 800       960  

CPI Property Group S.A.,

    

2.125%, 10-4-24(A)(D)

     600       697  

Inmobiliaria Colonial Socimi S.A.,

    

2.500%, 11-28-29(A)

     300       372  

Shimao Property Holdings Ltd.,

    

6.125%, 2-21-24

   $ 542       570  

Vanke Real Estate (Hong Kong) Co. Ltd.,

    

3.975%, 11-9-27

     335       336  
   

 

 

  
      2,935  
   

 

 

  

Diversified REITs – 0.7%

 

Aroundtown S.A.,

    

1.625%, 1-31-28(A)

   EUR   1,100       1,260  

Powerlong Real Estate Holdings Ltd.,

    

5.950%, 7-19-20

   $ 441       440  
   

 

 

  
      1,700  
   

 

 

  

Hotel & Resort REITs – 0.3%

 

China Aoyuan Property Group Ltd.:

    

7.500%, 5-10-21

     234       241  

5.375%, 9-13-22

     400       392  
   

 

 

  
      633  
   

 

 

  

Office REITs – 0.3%

 

Dream Global Funding I S.a.r.l.,

    

1.375%, 12-21-21(A)

   EUR 600       694  
   

 

 

  

Real Estate Development – 1.5%

 

China Evergrande Group:

    

8.250%, 3-23-22

   $ 500       482  

8.750%, 6-28-25

     600       532  

Country Garden Holdings Co. Ltd.,

    

8.000%, 1-27-24(C)

     600       652  

Longfor Properties Co. Ltd.,

    

4.500%, 1-16-28(C)

     706       718  

RKPF Overseas 2019 A Ltd.,

    

7.875%, 2-1-23

     300       316  

Sunac China Holdings Ltd.,

    

7.950%, 10-11-23

     800       808  
   

 

 

  
      3,508  
   

 

 

  

Real Estate Operating Companies – 0.2%

 

Grand City Properties S.A.,

    

1.500%, 2-22-27(A)

   EUR 400       467  
   

 

 

  

Residential REITs – 0.3%

 

Heimstaden Bostad AB,

    

1.750%, 12-7-21(A)(D)

     600       703  
   

 

 

  

Retail REITs – 0.2%

 

MAF Global Securities Ltd.,

    

5.500%, 9-7-67

   $ 400       400  
   

 

 

  

Total Real Estate - 4.8%

 

     11,040  
 

 

 

  

Utilities

 

Electric Utilities – 0.2%

 

State Grid Europe Development (2014) plc,

    

1.500%, 1-26-22(A)

   EUR 309       363  
   

 

 

  

Gas Utilities – 0.2%

 

Origin Energy Finance Ltd.:

    

2.875%, 10-11-19(A)

     200       229  
 

2.500%, 10-23-20(A)

     300       352  
   

 

 

  
      581  
   

 

 

  

Total Utilities - 0.4%

 

     944  
 

 

 

  

TOTAL CORPORATE DEBT SECURITIES – 32.3%

 

   $ 73,752  
 

 

 

  

(Cost: $71,819)

 

OTHER GOVERNMENT
SECURITIES(F)

            

Argentina - 0.4%

 

Republic of Argentina:

    

35.900%, 6-21-20 (A)

   ARS 8,819       204  

5.830%, 7-31-20 (A)

     34,083       764  
   

 

 

  
      968  
   

 

 

  

Brazil - 0.5%

 

Federative Republic of Brazil,

    

4.625%, 1-13-28

   $ 1,136       1,192  
   

 

 

  

Columbia - 0.9%

 

Republic of Colombia:

    

4.500%, 3-15-29

     1,186       1,295  

6.125%, 1-18-41

     623       771  
   

 

 

  
      2,066  
   

 

 

  

Dominican Republic - 0.3%

 

Dominican Republic,

    

6.000%, 7-19-28

     720       777  
   

 

 

  

Egypt - 1.1%

 

Arab Republic of Egypt:

    

4.750%, 4-16-26 (A)

   EUR 416       475  

7.500%, 1-31-27

   $ 862       919  

6.375%, 4-11-31 (A)

   EUR 524       605  

8.500%, 1-31-47 (B)

   $ 277       293  

8.700%, 3-1-49

     222       239  
   

 

 

  
      2,531  
   

 

 

  

France - 3.4%

 

France Government Bond,

    

2.000%, 5-25-48 (A)

   EUR 5,337       7,812  
   

 

 

  

Germany - 14.2%

 

Bundesrepublik Deutschland:

    

0.250%, 2-15-29 (A)

     15,127       18,174  

1.250%, 8-15-48 (A)

     9,700       14,076  
   

 

 

  
      32,250  
   

 

 

  

Ghana - 0.2%

 

Republic of Ghana,

    

7.875%, 8-7-23

   $ 310       336  
   

 

 

  

Indonesia - 0.8%

 

Indonesia Government Bond:

    

3.700%, 1-8-22 (B)

     310       317  

8.500%, 10-12-35

     200       301  

8.375%, 4-15-39 (A)

   IDR 7,041,000       519  

Republic of Indonesia:

    

1.450%, 9-18-26 (A)

   EUR 187       217  

6.625%, 2-17-37

   $ 300       390  
   

 

 

  
      1,744  
   

 

 

  

Italy - 9.3%

 

Buoni del Tesoro Poliennali:

    

2.500%, 11-15-25 (A)

   EUR 16,468       19,775  

2.700%, 3-1-47 (A)

     1,230       1,367  
   

 

 

  
      21,142  
   

 

 

  

Nigeria - 0.4%

 

Republic of Nigeria:

    

7.625%, 11-21-25 (B)

   $ 200       218  

7.625%, 11-28-47

     479       477  

9.248%, 1-21-49 (B)

     200       227  
   

 

 

  
      922  
   

 

 

  

Norway - 6.5%

 

Norway Government Bond:

    

1.750%, 2-17-27 (A)

   NOK 69,196       8,326  

1.750%, 9-6-29 (A)

     54,111       6,513  
   

 

 

  
      14,839  
   

 

 

  

Panama - 0.5%

 

Republic of Panama,

    

9.375%, 4-1-29

   $ 816       1,223  
   

 

 

  

Peru - 0.7%

 

Republic of Peru:

    

7.350%, 7-21-25

     309       394  

8.750%, 11-21-33

     785       1,268  
   

 

 

  
      1,662  
   

 

 

  

Qatar - 0.5%

 

Qatar Government Bond,

    

5.103%, 4-23-48

     900       1,072  
   

 

 

  

Romania - 0.8%

 

Romania Government Bond:

    

2.875%, 3-11-29 (A)

   EUR 900       1,133  

4.125%, 3-11-39 (A)

     450       586  
   

 

 

  
      1,719  
   

 

 

  

South Africa - 1.1%

 

Republic of South Africa:

    

5.875%, 9-16-25

   $ 427       468  

5.875%, 6-22-30

     740       802  

9.000%, 1-31-40 (A)

   ZAR 16,991       1,136  
   

 

 

  
      2,406  
   

 

 

  

Sri Lanka - 0.7%

 

Republic of Sri Lanka:

    

6.850%, 11-3-25

   $ 1,091       1,094  

6.200%, 5-11-27 (B)

     580       550  
   

 

 

  
      1,644  
   

 

 

  

Tunisia - 0.3%

 

Banque Centrale de Tunisie,

    

5.625%, 2-17-24 (A)

   EUR 606       684  
   

 

 

  

United Arab Emirates - 0.3%

 

Abu Dhabi Government Bond,

    

4.125%, 10-11-47

   $ 515       565  
   

 

 

  

Uzbekistan - 0.2%

 

Republic of Uzbekistan,

    

5.375%, 2-20-29

     459       489  
   

 

 

  

TOTAL OTHER GOVERNMENT SECURITIES – 43.1%

 

   $ 98,043  
 

 

 

  

(Cost: $91,384)

 

UNITED STATES
GOVERNMENT
OBLIGATIONS

            

Treasury Obligations - 14.7%

 

U.S. Treasury Bonds,

    

3.375%, 11-15-48(G)

     5,200       6,113  

U.S. Treasury Notes:

    

2.875%, 10-31-23(H)

     14,700       15,383  

2.000%, 2-15-25

     11,816       11,930  
   

 

 

  
      33,426  
   

 

 

  

TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 14.7%

 

   $ 33,426  
 

 

 

  

(Cost: $32,421)

 

SHORT-TERM SECURITIES

        

Commercial Paper(I) - 2.2%

 

Sonoco Products Co.,

    

2.531%, 7-1-19

     2,424       2,424  

UnitedHealth Group, Inc.,

    

2.481%, 7-3-19

     2,500       2,499  
   

 

 

  
      4,923  
   

 

 

  

Japan Government Treasury Bills - 4.1%

 

Japan Government Treasury Bills,

    

0.000%, 11-20-19(A)

   JPY 1,000,000       9,282  
   

 

 

  

Master Note - 2.0%

 

Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps),

    

2.620%, 7-5-19(J)

     4,650       4,650  
   

 

 

  
    Shares        

Money Market Funds - 0.4%

 

Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares,

    

2.360%, (K)(L)

     923       923  
   

 

 

  

TOTAL SHORT-TERM SECURITIES – 8.7%

 

   $ 19,778  
 

 

 

  

(Cost: $19,377)

 

TOTAL INVESTMENT SECURITIES – 99.0%

 

   $ 225,667  
 

 

 

  

(Cost: $216,533)

 

CASH AND OTHER ASSETS, NET OF LIABILITIES(M)(N) – 1.0%

 

     2,339  
 

 

 

  

NET ASSETS – 100.0%

 

   $ 228,006  
 

 

 

  
 

Notes to Schedule of Investments

 

*

Not shown due to rounding.

(A)

Principal amounts are denominated in the indicated foreign currency, where applicable (ARS - Argentine Peso, BRL – Brazilian Real, CNY - Chinese Yuan Renminbi, EUR - Euro, GBP - British Pound, HUF - Hungarian Forint, IDR - Indonesian Rupiah, JPY - Japanese Yen, KRW – South Korean Won, MXN - Mexican Peso, NOK - Norwegian Krone, NZD - New Zealand Dollar, PLN - Polish Zloty, SEK – Swedish Krona and ZAR - South African Rand).

(B)

Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the total value of these securities amounted to $8,297 or 3.6% of net assets.

(C)

All or a portion of securities with an aggregate value of $911 are on loan.

(D)

Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at June 30, 2019.

(E)

Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2019. Description of the reference rate and spread, if applicable, are included in the security description.

(F)

Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities.

(G)

All or a portion of securities with an aggregate value of $2,680 have been pledged as collateral on open futures contracts.

(H)

All or a portion of securities with an aggregate value of $628 are held in collateralized accounts for OTC foreign forward currency contracts collateral.

(I)

Rate shown is the yield to maturity at June 30, 2019.

(J)

Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2019. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description.

(K)

Investment made with cash collateral received from securities on loan.

(L)

Rate shown is the annualized 7-day yield at June 30, 2019.

(M)

Cash of $35 has been pledged as collateral on OTC foreign forward currency contracts.

(N)

Cash of $1,399 is held in collateralized accounts for centrally cleared swap agreement collateral.

The following centrally cleared credit default swaps - buy protection(1) were outstanding at June 30, 2019:

 

Index

    (Pay)
Fixed
Rate		     Maturity
Date		      Notional
Amount(2)		      Value     Upfront
Payments/
(Receipts)		     Unrealized
Depreciation		  

Credit Derivatives Series 31 Index – Investment Grade

      (1.000 %)      12-20-23        24,200      $ (541 )    $ (385 )    $ (155 ) 

iTraxx Asia ex-Japan IG Series 31 Index

      (1.000 %)      6-20-24        9,100        (149 )      (121 )      (29 ) 

iTraxx Europe Crossover Series 31 Index

      (5.000 %)      6-20-24        3,800        (491 )      (428 )      (63 ) 

iTraxx Europe Senior Financials Series 31Index

      (1.000 %)      6-20-24        4,200        (86 )      (40 )      (46 ) 

iTraxx Europe Series 31 Index

      (1.000 %)      6-20-22        8,000        (203 )      (164 )      (38 ) 
          

 

 

    

 

 

    

 

 

  
           $ (1,470 )    $ (1,138 )    $ (331 ) 
          

 

 

    

 

 

    

 

 

  

The following centrally cleared credit default swaps - sold protection (3) were outstanding at June 30, 2019:

 

Index

    Receive
Fixed
Rate		     Maturity
Date		      Implied
Credit
Spread at
June 30,
2019(4)		     Notional
Amount(2)		      Value      Upfront
Payments/
(Receipts)		      Unrealized
Appreciation		  

Credit Derivatives Series 32 Index – Investment Grade

      1.000 %      6-20-24        0.912 %      9,100      $ 197      $ 153      $ 44  
            

 

 

     

 

 

     

 

 

  

The following over the counter credit default swaps - buy protection(1) were outstanding at June 30, 2019:

 

Referenced Obligation

    Counterparty    (Pay)
Fixed
Rate		     Maturity
Date		      Notional
Amount(2)		      Value     Upfront
Payments/
(Receipts)		     Unrealized
Appreciation
(Depreciation)		  

Banco Bilbao Vizcaya Argentaria SA

    Morgan Stanley & Co.
International plc		      (1.000 %)      6-20-24        800      $ (23 )    $ (11 )    $ (12 ) 

BNP Paribas

    Barclays Bank plc      (1.000 %)      6-20-24        800        (33 )      (24 )      (9 ) 

Bouygues SA

    Barclays Bank plc      (1.000 %)      6-20-24        1,000        (39 )      (27 )      (12 ) 

China

    Barclays Bank plc      (1.000 %)      6-20-24        7,200        (193 )      (146 )      (47 ) 

Commerzbank AG

     
 Morgan Stanley & Co.
International plc		  
 		      (1.000 %)      6-20-24        800        16       (16 )      32  

Diageo PLC

     
 Morgan Stanley & Co.
International plc		  
 		      (1.000 %)      6-20-24        800        (36 )      (32 )      (4 ) 

Korea

     
 Morgan Stanley & Co.
International plc		  
 		      (1.000 %)      6-20-24        4,600        (150 )      (146 )      (4 ) 

Societe Generale SA

      Citibank N.A.        (1.000 %)      6-20-24        400        (16 )      (11 )      (5 ) 

Societe Generale SA

      Citibank N.A.        (1.000 %)      6-20-24        400        (16 )      (11 )      (5 ) 

Standard Chartered PLC

      Barclays Bank plc        (1.000 %)      6-20-24        1,100        (27 )      (11 )      (16 ) 

Standard Chartered PLC

     
 Morgan Stanley & Co.
International plc		  
 		      (1.000 %)      12-20-23        1,000        (25 )      (2 )      (23 ) 
             

 

 

    

 

 

    

 

 

  
              $ (542 )    $ (437 )    $ (105 ) 
             

 

 

    

 

 

    

 

 

  

 

(1)

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller 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) 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)

The maximum potential amount the Fund 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 the swap agreement.

(3)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and/or deliver 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.

(4)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, sovereign issues, or an index as of period end 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. Wider credit spreads represent a deterioration of the referenced 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.

The following forward foreign currency contracts were outstanding at June 30, 2019:

 

    Currency to be
Delivered		         Currency to be
Received		     Settlement
Date		    

Counterparty

   Unrealized
Appreciation		     Unrealized
Depreciation		  

Czech Koruna

     61,296     Euro     2,388       9-18-19     Barclays Capital, Inc.   $ —       $ 12  

U.S. Dollar

     362     Hungarian Forint     103,465       9-18-19     Barclays Capital, Inc.     4       —    

New Taiwan Dollar

     71,781     U.S. Dollar     2,281       8-8-19     Citibank N.A.     —         41  

South Korean Won

     5,329,312     U.S. Dollar     4,565       8-8-19     Citibank N.A.     —         45  

U.S. Dollar

     2,237     Indonesian Rupiah     32,540,754       8-8-19     Citibank N.A.     56       —    

British Pound

     4,500     U.S. Dollar     5,688       9-18-19     Citibank N.A.     —         48  

Canadian Dollar

     1,040     U.S. Dollar     777       9-18-19     Citibank N.A.     —         19  

Euro

     2,115     Polish Zloty     9,054       9-18-19     Citibank N.A.     9       —    

Euro

     76,000     U.S. Dollar     85,864       9-18-19     Citibank N.A.     —         1,100  

Israeli Shekel

     7,990     U.S. Dollar     2,228       9-18-19     Citibank N.A.     —         22  

Norwegian Krone

     125,041     U.S. Dollar     14,518       9-18-19     Citibank N.A.     —         172  

Turkish New Lira

     280     U.S. Dollar     45       9-18-19     Citibank N.A.     —         1  

U.S. Dollar

     6,836     Brazilian Real     28,030       9-18-19     Citibank N.A.     407       —    

Japanese Yen

     1,000,000     U.S. Dollar     9,169       11-20-19     Citibank N.A.     —         206  

South African Rand

     16,632     U.S. Dollar     1,114       9-18-19     Deutsche Bank AG     —         55  

Thai Baht

     147,300     U.S. Dollar     4,729       9-18-19     Deutsche Bank AG     —         83  

U.S. Dollar

     2,244     South African Rand     33,624       9-18-19     Deutsche Bank AG     120       —    

Canadian Dollar

     410     U.S. Dollar     309       9-18-19     Goldman Sachs International     —         5  

Euro

     2,036     British Pound     1,814       9-18-19     Goldman Sachs International     —         18  

Mexican Peso

     44,960     U.S. Dollar     2,312       9-18-19     Goldman Sachs International     1       —    

Norwegian Krone

     2,900     Euro     294       9-18-19     Goldman Sachs International     —         4  

Swedish Krona

     17,000     U.S. Dollar     1,828       9-18-19     Goldman Sachs International     —         14  

U.S. Dollar

     1,391     Australian Dollar     2,020       9-18-19     Goldman Sachs International     31       —    

U.S. Dollar

     9,477     Japanese Yen     1,022,000       9-18-19     Goldman Sachs International     57       —    

U.S. Dollar

     2,073     Swedish Krona     19,400       9-18-19     Goldman Sachs International     28       —    

Indonesian Rupiah

     5,800,000     U.S. Dollar     393       8-8-19     Morgan Stanley International     —         16  

Philippine Peso

     122,000     U.S. Dollar     2,332       8-8-19     Morgan Stanley International     —         45  

South African Rand

     65,000     U.S. Dollar     4,464       9-18-19     Morgan Stanley International     —         104  
           

 

 

    

 

 

  
            $ 713     $ 2,010  
           

 

 

    

 

 

  

The following futures contracts were outstanding at June 30, 2019 (contracts unrounded):

 

Description

    Type      Number
of
Contracts		      Expiration
Date		      Notional
Amount		      Value     Unrealized
Appreciation
(Depreciation)		  

BTP Italian Government Bond

      Short        66        9-6-19        6,600      $ (10,079 )    $ (391 ) 

BTP Italian Government Notes

      Short        196        9-6-19        19,600        (24,850 )      (281 ) 

Euro-Bobl 5-Year Bond

      Short        298        9-6-19        29,800        (45,556 )      (157 ) 

Euro-Bund 10-Year Bond

      Long        149        9-6-19        14,900        29,267       241  

Euro-OAT France Government 10-Year Bond

      Short        270        9-6-19        27,000        (50,618 )      (901 ) 

Euro-Buxl 30-Year Bond

      Short        19        9-10-19        1,900        (4,384 )      (2 ) 

U.S. 10-Year Ultra Treasury Note

      Short        52        9-19-19        5,200        (7,182 )      (130 ) 

U.S. Treasury Ultra Long Bond

      Long        9        9-19-19        900        1,598       (1 ) 

United Kingdom Long Gilt

      Short        66        9-26-19        6,600        (10,921 )      (147 ) 

U.S. 30-Year Treasury Bond

      Short        52        9-30-19        5,200        (8,091 )      (158 ) 

U.S. 5-Year Treasury Note

      Long        371        10-3-19        37,100        43,836       497  
              

 

 

    

 

 

  
               $ (86,980 )    $ (1,430 ) 
              

 

 

    

 

 

  

The following centrally cleared interest rate swap agreements were outstanding at June 30, 2019:

 

Counterparty

   Pay/Receive
Floating Rate		    

Floating Rate Index

   Fixed Rate     Maturity
Date		     Notional
Amount(A)		     Value     Upfront
Payments/
(Receipts)		     Unrealized
Appreciation
(Depreciation)		  

Citibank N.A.

     Receive     6-Month EURIBOR     0.256 %      9/19/2029     EUR 11,717     $ (63 )    $ —       $ (63 ) 

Citibank N.A.

     Pay     7-Day China Fixing Repo Rates     3.065 %      9/18/2024     CNY 1,996       8       —         8  

Goldman Sachs International

     Pay     28-Day Mexico Equilibrium Interbank Interest Rate     8.420 %      8/10/2028     MXN 3,007       48       —         48  

Goldman Sachs International

     Pay     28-Day Mexico Equilibrium Interbank Interest Rate     8.420 %      8/10/2028       1,641       26       (25 )      51  

Goldman Sachs International

     Pay     3-Month New Zealand Dollar LIBOR     1.905 %      2/15/2020     NZD 58,406       142       —         142  

Goldman Sachs International

     Receive     3-Month New Zealand Dollar LIBOR     2.070 %      2/15/2024       12,932       (356 )      —         (356 ) 

Goldman Sachs International

     Receive     6-Month British Pound LIBOR     1.229 %      12/13/2021     GBP 12,005       (92 )      —         (92 ) 

Goldman Sachs International

     Receive     6-Month British Pound LIBOR     1.272 %      12/13/2021       12,005       (102 )      —         (102 ) 

Goldman Sachs International

     Receive     6-Month Budapest Interbank Offered Rate     3.130 %      10/15/2022     HUF 12,914       (517 )      —         (517 ) 

Goldman Sachs International

     Receive     6-Month Warsaw Interbank Offered Rate     1.828 %      9/16/2021     PLN 19,940       10       —         10  

Goldman Sachs International

     Receive     6-Month Warsaw Interbank Offered Rate     2.110 %      9/16/2024       9,891       (92 )      —         (92 ) 

Morgan Stanley & Co. International plc

     Receive     3-Month LIBOR     2.398 %      11/16/2045     $ 4,046       (106 )      —         (106 ) 

Morgan Stanley & Co. International plc

     Receive     3-Month LIBOR     2.881 %      11/16/2045       4,769       (445 )      —         (445 ) 

Morgan Stanley & Co. International plc

     Pay     7-Day China Fixing Repo Rates     3.062 %      9/18/2024     CNY 3,821       15       —         15  
           

 

 

    

 

 

    

 

 

  
            $ (1,524 )    $ (25 )    $ (1,499 ) 
           

 

 

    

 

 

    

 

 

  

The following over the counter interest rate swap agreements were outstanding at June 30, 2019:

 

Counterparty

   Pay/Receive
Floating Rate		    

Floating Rate Index

   Fixed Rate     Maturity
Date		     Notional
Amount(A)		     Value     Upfront
Payments/
(Receipts)		     Unrealized
Appreciation
(Depreciation)		  

Citibank N.A.

     Pay     7-Day China Fixing Repo Rates     2.920 %      9/18/2024     CNY   2,560     $ (4 )    $ —       $ (4 ) 

Goldman Sachs International

     Pay     7-Day China Fixing Repo Rates     2.921 %      9/18/2024       3,042       (6 )      —         (6 ) 
           

 

 

    

 

 

    

 

 

  
            $ (10 )    $ —       $ (10 ) 
           

 

 

    

 

 

    

 

 

  

The following written options were outstanding at June 30, 2019 (contracts and exercise prices unrounded):

 

Underlying Security

   

Counterparty, if OTC

   

Type

    Number of
Contracts		      Notional
Amount		     

Expiration Month

    Exercise Price      Premium
Received		      Value  

EUR versus NOK

    Morgan Stanley & Co., Inc.    Call      4,075,000        4,075      October 2019    $ 10.09      $ 39      $ (15 ) 

EUR versus SEK

    Morgan Stanley & Co., Inc.    Put      8,143,000        8,143      October 2019      10.43        39        (58 ) 

GBP versus USD

   

Morgan Stanley & Co., Inc.

      Put        11,662,000        11,662        January 2020        1.05        74        (12 ) 
  

Goldman Sachs International

      Call        11,564,000        11,564        February 2020        1.44        28        (20 ) 

NZD versus USD

   

Morgan Stanley & Co., Inc.

      Call        2,000,000        2,000        August 2019        0.71        10        (1 ) 
  

Morgan Stanley & Co., Inc.

      Call        29,662,000        29,662        August 2019        0.74        165        —   * 

U.S. 5-Year Treasury Note September Futures

   

N/A

      Call        230        23,000        August 2019        117.50        62        (214 ) 
  

N/A

      Call        240        24,000        August 2019        118.75        82        (79 ) 

USD versus JPY

   

Goldman Sachs International

      Put        4,536,000        4,536        November 2019        104.11        39        (38 ) 

USD versus KRW

   

Morgan Stanley & Co., Inc.

      Call        4,536,000        4,536        November 2019        1,227.00        38        (20 ) 

USD versus MXN

   

Morgan Stanley & Co., Inc.

      Put        4,540,000        4,540        August 2019        18.75        31        (19 ) 

USD versus ZAR

   

Morgan Stanley & Co., Inc.

      Call        3,401,421        3,401        August 2019        18.07        101        —   * 
                    

 

 

     

 

 

  
                     $ 708      $ (476 ) 
                    

 

 

     

 

 

  

Each Fund’s investments are reported at fair value. Fair value is defined as the price that each Fund would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.

Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Fund.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:

 

•  

Level 1 - Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

 

•  

Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

•  

Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of June 30, 2019:

 

     Level 1      Level 2      Level 3  

Assets

         

Investments in Securities

         

Purchased Options

    $ 36      $ 632      $ —    

Corporate Debt Securities

      —          73,752        —    

Other Government Securities

      —          98,043        —    

United States Government Obligations

      —          33,426        —    

Short-Term Securities

      923        18,855        —    
  

 

 

     

 

 

     

 

 

  

Total

    $ 959      $ 224,708      $ —    
  

 

 

     

 

 

     

 

 

  

Centrally Cleared Credit Default Swaps

    $ 44      $ —        $ —    

Over the Counter Credit Default Swaps

    $ —        $ 16      $ —    

Forward Foreign Currency Contracts

    $ —        $ 713      $ —    

Futures Contracts

    $ 738      $ —        $ —    

Centrally Cleared Interest Rate Swaps

    $ —        $ 274      $ —    
  

 

 

     

 

 

     

 

 

  

Liabilities

         

Centrally Cleared Credit Default Swaps

    $ 138      $ 193      $ —    

Over the Counter Credit Default Swaps

    $ 477      $ 81      $ —    

Forward Foreign Currency Contracts

    $ —        $ 2,010      $ —    

Futures Contracts

    $ 2,168      $ —        $ —    

Centrally Cleared Interest Rate Swaps

    $ —        $ 1,773      $ —    

Over the Counter Interest Rate Swaps

    $ —        $ 10      $ —    

Written Options

    $ 293      $ 183      $ —    
  

 

 

     

 

 

     

 

 

  

The following acronyms are used throughout this schedule:

GTD = Guaranteed

LIBOR = London Interbank Offered Rate

OTC = Over the Counter

REIT = Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at June 30, 2019 and the related unrealized appreciation (depreciation) were as follows:

 

Cost

    $ 216,533  
  

 

 

  

Gross unrealized appreciation

      11,524  

Gross unrealized depreciation

      (2,390 ) 
  

 

 

  

Net unrealized appreciation

    $ 9,134