Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
BNYM | CAD | 17,301 | USD | (12,762) | 1/3/23 | $16 | $— | |||||
BNYM | CAD | (47,128) | USD | 34,763 | 1/3/23 | — | (45) | |||||
TD | CAD | (695,000) | USD | 522,446 | 1/20/23 | 9,099 | — | |||||
Total Foreign Currency Exchange Contracts | $9,115 | $(45) |
Futures Contracts Exchange-Traded | |||||||||||
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Variation Margin Due from (Due to) Brokers | ||||||
4 | US Treasury 2 yr Notes | $820,312 | $819,572 | 3/31/23 | $741 | $(625) | |||||
(5) | US Treasury 10 yr Notes | (561,484) | (568,832) | 3/22/23 | 7,347 | 703 | |||||
(4) | US Treasury 10 yr Ultra Notes | (473,125) | (478,865) | 3/22/23 | 5,740 | 250 | |||||
2 | US Treasury Long Bonds | 250,688 | 250,646 | 3/22/23 | 42 | (312) | |||||
Total Futures Contracts | $22,521 | $13,870 | $16 |
Summary of abbreviations: |
ADR – American Depositary Receipt |
AG – Aktiengesellschaft |
BNYM – Bank of New York Mellon |
CDOR03M – 3 Month Canadian Dollar Offered Rate |
CVA – Certified Dutch Certificate |
ETF – Exchange-Traded Fund |
ICE – Intercontinental Exchange, Inc. |
LIBOR – London Interbank Offered Rate |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
PIK – Payment-in-kind |
REIT – Real Estate Investment Trust |
S&P – Standard & Poor’s Financial Services LLC |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
SOFR03M – Secured Overnight Financing Rate 3 Month |
SPDR – Standard & Poor's Depositary Receipt |
TD – TD Bank |
Summary of abbreviations: (continued) |
yr – Year |
Summary of currencies: |
CAD – Canadian Dollar |
EUR – European Monetary Unit |
USD – US Dollar |