Counterparty | Termination Date | Notional Amount(2) | Pay Fixed Rate | Clearinghouse | Underlying Bond | Value(3) | Premiums (Received) | Unrealized Appreciation/ Depreciation |
Buy Protection: | ||||||||
Goldman Sachs Bank USA | 6/20/25 | $500,000 | 5.000% | ICE | American Axle & Manufacturing Inc. USD SR 5Y D14 | $(10,236) | $(2,067) | $(8,169) |
Wells Fargo | 12/20/25 | $568,538 | 5.000% | ICE | Markit CDX North America High Yield Series 35 5Y Index | $(15,679) | $(35,393) | $19,714 |
$11,545 | ||||||||
Sell Protection: | ||||||||
Wells Fargo | 12/20/24 | $750,000 | 1.000% | ICE | RIGINC CDS USD SR 2Y D14 12/20/2024 | $(108,426) | $(170,414) | $61,988 |
(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 deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments 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 that particular swap agreement. |
(3) | The quoted market prices and resulting values for credit default swap agreements on the underlying bond serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, 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. |
Contract to | ||||||
Counterparty | Expiration Date | Receive | Deliver | Unrealized Depreciation | ||
Wells Fargo | 1/17/2023 | USD | 5,185,959 | EUR | 4,858,587 | $(21,514) |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $2,847,089,582 | $— | $— | $2,847,089,582 |
Short-Term Investment Fund | 6,216,918 | — | — | 6,216,918 |
Total | $2,853,306,500 | $— | $— | $2,853,306,500 |
Ω | Represents the 7-Day SEC yield as of December 31, 2022. |
Portfolio Abbreviations: |
FHLMC – Federal Home Loan Mortgage Corporation |
FNMA – Federal National Mortgage Association |
FREMF – Freddie Mac Multifamily Securitization |
FRESB – Freddie Mac Multifamily Securitization Small Balance Loan |
GNMA – Government National Mortgage Association |
HFA – Housing Finance Authority/Agency |
LIBOR – London Interbank Offered Rate |
LLC – Limited Liability Company |
LP – Limited Partnership |
REIT – Real Estate Investment Trust |
UTGO – Unlimited Tax General Obligation |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, these securities were valued at $74,487,410 or 15.0% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $— | $156,196,652 | $— | $156,196,652 |
U.S. Government Agency Obligations | — | 103,968,365 | — | 103,968,365 |
Agency Collateralized Mortgage Obligations | — | 62,485,733 | — | 62,485,733 |
U.S. Government Mortgage-Backed Obligations | — | 53,530,035 | — | 53,530,035 |
Municipal Bonds | — | 42,683,424 | — | 42,683,424 |
U.S. Treasury Obligations | — | 30,835,716 | — | 30,835,716 |
Asset-Backed Securities | — | 24,302,853 | — | 24,302,853 |
Commercial Mortgage-Backed Securities | — | 16,704,171 | — | 16,704,171 |
Non-Agency Collateralized Mortgage Obligations | — | 419,323 | — | 419,323 |
Short-Term Investment Fund | 3,383,091 | — | — | 3,383,091 |
Total | $3,383,091 | $491,126,272 | $— | $494,509,363 |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of December 31, 2022 was $263,734. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of December 31, 2022. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PCL – Public Company Limited |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
France | $2,110,224 | $3,636,188 | $— | $5,746,412 |
Japan | — | 5,340,340 | — | 5,340,340 |
United Kingdom | — | 3,431,819 | — | 3,431,819 |
Sweden | — | 2,966,880 | — | 2,966,880 |
Singapore | — | 1,794,485 | — | 1,794,485 |
Germany | — | 1,793,531 | — | 1,793,531 |
Switzerland | 816,358 | 796,278 | — | 1,612,636 |
South Korea | 393,984 | 1,045,776 | — | 1,439,760 |
India | 1,307,993 | — | — | 1,307,993 |
Taiwan | 878,461 | — | — | 878,461 |
Hong Kong | — | 724,447 | — | 724,447 |
Denmark | — | 518,684 | — | 518,684 |
Netherlands | — | 484,280 | — | 484,280 |
Ireland | 454,196 | — | — | 454,196 |
Thailand | — | 335,710 | — | 335,710 |
Canada | 275,139 | — | — | 275,139 |
Preferred Stocks | — | 697,283 | — | 697,283 |
Short-Term Investment Funds | 276,692 | — | — | 276,692 |
Total | $6,513,047 | $23,565,701 | $— | $30,078,748 |