Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (UNAUDITED)
PRINCIPAL AMOUNT | VALUE | |||||||||
CONVERTIBLE BONDS (17.8%) | ||||||||||
Communication Services (1.4%) | ||||||||||
Liberty Media Corp.* | ||||||||||
60,000 | 2.375%, 09/30/53 | $ | 60,439 | |||||||
70,000 | 3.750%, 03/15/28 | 79,980 | ||||||||
90,000 | Liberty Media Corp.-Liberty Formula One 2.250%, 08/15/27 | 88,112 | ||||||||
170,000 | Live Nation Entertainment, Inc.^ 2.000%, 02/15/25 | 173,944 | ||||||||
|
| |||||||||
402,475 | ||||||||||
|
| |||||||||
Consumer Discretionary (3.0%) | ||||||||||
95,000 | Booking Holdings, Inc.^ | 159,086 | ||||||||
55,000 | DISH Network Corp. | 33,234 | ||||||||
115,000 | Ford Motor Company | 112,769 | ||||||||
95,000 | Marriott Vacations Worldwide Corp. | 83,825 | ||||||||
50,000 | Rivian Automotive, Inc.* | 72,940 | ||||||||
14,000 | Royal Caribbean Cruises, Ltd. | 27,616 | ||||||||
7,000 | Tesla, Inc. | 84,994 | ||||||||
55,000 | Vail Resorts, Inc. | 48,734 | ||||||||
200,000 | Wynn Macau, Ltd.* | 212,046 | ||||||||
|
| |||||||||
835,244 | ||||||||||
|
| |||||||||
Energy (0.7%) | ||||||||||
18,000 | EQT Corp. | 50,102 | ||||||||
70,000 | Nabors Industries, Inc.* | 61,912 | ||||||||
65,000 | Northern Oil & Gas, Inc.* | 80,256 | ||||||||
|
| |||||||||
192,270 | ||||||||||
|
| |||||||||
Financials (1.0%) | ||||||||||
50,000 | Ares Capital Corp. | 50,824 | ||||||||
100,000 | EUR | JPMorgan Chase Bank NA | 108,611 | |||||||
110,000 | Morgan Stanley Finance, LLC | 115,357 | ||||||||
|
| |||||||||
274,792 | ||||||||||
|
| |||||||||
Health Care (1.6%) | ||||||||||
85,000 | Alnylam Pharmaceuticals, Inc. | 79,003 | ||||||||
130,000 | Dexcom, Inc. | 122,724 | ||||||||
39,000 | Envista Holdings Corp.* | 36,063 | ||||||||
75,000 | Integer Holdings Corp.* | 81,771 |
PRINCIPAL AMOUNT | VALUE | |||||||||
95,000 | Pacira BioSciences, Inc. | $ | 86,204 | |||||||
29,000 | Shockwave Medical, Inc.* | 27,845 | ||||||||
|
| |||||||||
433,610 | ||||||||||
|
| |||||||||
Industrials (2.8%) | ||||||||||
58,000 | Advanced Energy Industries, Inc.* | 58,621 | ||||||||
55,000 | Axon Enterprise, Inc.* | 58,822 | ||||||||
85,000 | Fluor Corp.* | 88,046 | ||||||||
55,000 | Granite Construction, Inc.* | 57,968 | ||||||||
170,000 | John Bean Technologies Corp. | 153,709 | ||||||||
170,000 | Middleby Corp.^ | 190,483 | ||||||||
55,000 | Southwest Airlines Company^ | 55,196 | ||||||||
100,000 | Tetra Tech, Inc.* | 98,614 | ||||||||
|
| |||||||||
761,459 | ||||||||||
|
| |||||||||
Information Technology (4.8%) | ||||||||||
Akamai Technologies, Inc. | ||||||||||
100,000 | 1.125%, 02/15/29* | 101,247 | ||||||||
41,000 | 0.375%, 09/01/27 | 42,786 | ||||||||
47,000 | BILL Holdings, Inc. | 47,268 | ||||||||
166,000 | CyberArk Software, Ltd. | 191,700 | ||||||||
Enphase Energy, Inc. | ||||||||||
50,000 | 0.000%, 03/01/26 | 44,033 | ||||||||
65,000 | 0.000%, 03/01/28 | 53,923 | ||||||||
67,000 | Microchip Technology, Inc. | 70,678 | ||||||||
170,000 | ON Semiconductor Corp.* | 187,435 | ||||||||
25,000 | Palo Alto Networks, Inc. | 58,927 | ||||||||
60,000 | Rapid7, Inc.* | 58,204 | ||||||||
57,000 | Seagate HDD Cayman* | 58,887 | ||||||||
200,000 | SK Hynix, Inc. | 243,980 | ||||||||
60,000 | Tyler Technologies, Inc.^ | 58,310 | ||||||||
55,000 | Wolfspeed, Inc.*^ | 35,955 | ||||||||
60,000 | Workiva, Inc.* | 59,336 | ||||||||
|
| |||||||||
1,312,669 | ||||||||||
|
| |||||||||
Real Estate (1.3%) | ||||||||||
100,000 | EUR | ANLLIAN Capital, Ltd. | 112,776 | |||||||
115,000 | Pebblebrook Hotel Trust | 95,854 | ||||||||
140,000 | Welltower OP, LLC* | 143,021 | ||||||||
|
| |||||||||
351,651 | ||||||||||
|
|
See accompanying Notes to Schedule of Investments
1
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (UNAUDITED)
PRINCIPAL AMOUNT | VALUE | |||||||||
Utilities (1.2%) | ||||||||||
165,000 | CMS Energy Corp.* | $ | 154,754 | |||||||
195,000 | PPL Capital Funding, Inc.* | 177,758 | ||||||||
|
|
| ||||||||
332,512 | ||||||||||
|
|
| ||||||||
TOTAL CONVERTIBLE BONDS (Cost $4,920,002) | 4,896,682 | |||||||||
|
|
| ||||||||
NUMBER OF | VALUE | |||||||||
COMMON STOCKS (76.2%) | ||||||||||
Communication Services (8.2%) | ||||||||||
9,195 | Alphabet, Inc. - Class A# | 1,203,258 | ||||||||
3,690 | Comcast Corp. - Class A | 163,614 | ||||||||
1,440 | Meta Platforms, Inc. - Class A# | 432,302 | ||||||||
375 | Netflix, Inc.# | 141,600 | ||||||||
1,315 | T-Mobile U.S., Inc.# | 184,166 | ||||||||
1,615 | Walt Disney Company# | 130,896 | ||||||||
|
|
| ||||||||
2,255,836 | ||||||||||
|
|
| ||||||||
Consumer Discretionary (8.2%) | ||||||||||
7,240 | Amazon.com, Inc.# | 920,349 | ||||||||
1,607 | Aptiv, PLC# | 158,434 | ||||||||
560 | Home Depot, Inc. | 169,210 | ||||||||
2,880 | Las Vegas Sands Corp. | 132,019 | ||||||||
535 | Lowe’s Companies, Inc. | 111,194 | ||||||||
560 | McDonald’s Corp. | 147,526 | ||||||||
1,340 | NIKE, Inc. - Class B | 128,131 | ||||||||
1,185 | Starbucks Corp. | 108,155 | ||||||||
1,100 | Tesla, Inc.# | 275,242 | ||||||||
970 | TJX Cos., Inc. | 86,214 | ||||||||
|
|
| ||||||||
2,236,474 | ||||||||||
|
|
| ||||||||
Consumer Staples (5.8%) | ||||||||||
4,990 | Coca-Cola Company | 279,340 | ||||||||
325 | Costco Wholesale Corp. | 183,612 | ||||||||
410 | Estee Lauder Companies, Inc. - Class A | 59,265 | ||||||||
1,484 | Kenvue, Inc. | 29,799 | ||||||||
1,105 | Mondelez International, Inc. - Class A | 76,687 | ||||||||
1,460 | Monster Beverage Corp.# | 77,307 | ||||||||
1,240 | PepsiCo, Inc. | 210,106 | ||||||||
2,050 | Philip Morris International, Inc. | 189,789 | ||||||||
1,910 | Procter & Gamble Company | 278,593 | ||||||||
1,340 | Walmart, Inc. | 214,306 | ||||||||
|
|
| ||||||||
1,598,804 | ||||||||||
|
|
| ||||||||
Energy (4.3%) | ||||||||||
1,335 | Chevron Corp. | 225,108 | ||||||||
1,005 | ConocoPhillips | 120,399 | ||||||||
3,230 | Exxon Mobil Corp. | 379,783 | ||||||||
730 | Hess Corp. | 111,690 | ||||||||
865 | Marathon Petroleum Corp. | 130,909 | ||||||||
305 | Pioneer Natural Resources Company | 70,013 | ||||||||
2,335 | Schlumberger, NV | 136,130 | ||||||||
|
|
| ||||||||
1,174,032 | ||||||||||
|
|
| ||||||||
Financials (10.0%) | ||||||||||
485 | American Express Company | 72,357 |
NUMBER OF | VALUE | |||||||||
1,350 | American International Group, Inc. | $ | 81,810 | |||||||
583 | Assurant, Inc. | 83,707 | ||||||||
6,695 | Bank of America Corp. | 183,309 | ||||||||
125 | BlackRock, Inc. | 80,811 | ||||||||
1,020 | Chubb, Ltd. | 212,344 | ||||||||
775 | Citigroup, Inc. | 31,876 | ||||||||
270 | Goldman Sachs Group, Inc. | 87,364 | ||||||||
2,085 | JPMorgan Chase & Company | 302,367 | ||||||||
1,164 | KKR & Company, Inc. | 71,703 | ||||||||
1,170 | Marsh & McLennan Cos., Inc. | 222,651 | ||||||||
885 | Mastercard, Inc. - Class A | 350,380 | ||||||||
3,105 | Morgan Stanley | 253,585 | ||||||||
150 | S&P Global, Inc. | 54,812 | ||||||||
2,130 | Visa, Inc. - Class A | 489,921 | ||||||||
4,100 | Wells Fargo & Company | 167,526 | ||||||||
|
|
| ||||||||
2,746,523 | ||||||||||
|
|
| ||||||||
Health Care (10.1%) | ||||||||||
810 | Abbott Laboratories | 78,449 | ||||||||
935 | AbbVie, Inc. | 139,371 | ||||||||
1,210 | Alcon, Inc. | 93,243 | ||||||||
3,408 | Boston Scientific Corp.# | 179,942 | ||||||||
1,260 | Bristol-Myers Squibb Company | 73,130 | ||||||||
450 | Danaher Corp. | 111,645 | ||||||||
350 | Dexcom, Inc.# | 32,655 | ||||||||
230 | Elevance Health, Inc. | 100,147 | ||||||||
480 | Eli Lilly & Company | 257,822 | ||||||||
105 | Humana, Inc. | 51,085 | ||||||||
1,935 | Johnson & Johnson | 301,376 | ||||||||
345 | McKesson Corp. | 150,023 | ||||||||
2,305 | Medtronic, PLC | 180,620 | ||||||||
2,170 | Merck & Company, Inc. | 223,402 | ||||||||
2,495 | Pfizer, Inc. | 82,759 | ||||||||
230 | Stryker Corp. | 62,852 | ||||||||
320 | Thermo Fisher Scientific, Inc.~ | 161,974 | ||||||||
755 | UnitedHealth Group, Inc. | 380,663 | ||||||||
1,095 | Zimmer Biomet Holdings, Inc. | 122,881 | ||||||||
|
|
| ||||||||
2,784,039 | ||||||||||
|
|
| ||||||||
Industrials (4.8%) | ||||||||||
8,415 | CSX Corp. | 258,761 | ||||||||
1,455 | Honeywell International, Inc. | 268,797 | ||||||||
775 | JB Hunt Transport Services, Inc. | 146,103 | ||||||||
305 | Northrop Grumman Corp. | 134,258 | ||||||||
585 | Parker-Hannifin Corp. | 227,869 | ||||||||
3,415 | RTX Corp. | 245,777 | ||||||||
1,510 | Southwest Airlines Company | 40,876 | ||||||||
|
|
| ||||||||
1,322,441 | ||||||||||
|
|
| ||||||||
Information Technology (21.0%) | ||||||||||
765 | Accenture, PLC - Class A | 234,939 | ||||||||
225 | Adobe, Inc.# | 114,728 | ||||||||
675 | Advanced Micro Devices, Inc.# | 69,404 | ||||||||
11,270 | Apple, Inc.~ | 1,929,537 | ||||||||
347 | Broadcom, Inc. | 288,211 | ||||||||
2,510 | Cisco Systems, Inc. | 134,938 | ||||||||
100 | Intuit, Inc. | 51,094 | ||||||||
165 | Lam Research Corp. | 103,417 | ||||||||
1,005 | Micron Technology, Inc. | 68,370 | ||||||||
5,570 | Microsoft Corp.~ | 1,758,727 | ||||||||
1,570 | NVIDIA Corp. | 682,934 | ||||||||
805 | Oracle Corp. | 85,266 | ||||||||
590 | Salesforce, Inc.# | 119,640 | ||||||||
250 | ServiceNow, Inc.#~ | 139,740 | ||||||||
|
|
| ||||||||
5,780,945 | ||||||||||
|
|
|
See accompanying Notes to Schedule of Investments
2
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (UNAUDITED)
NUMBER OF | VALUE | |||||||||
Materials (2.5%) | ||||||||||
3,750 | Freeport-McMoRan, Inc. | $ | 139,838 | |||||||
5,875 | GBP | Glencore, PLC | 33,455 | |||||||
775 | Linde, PLC | 288,571 | ||||||||
1,225 | PPG Industries, Inc. | 159,005 | ||||||||
355 | Vulcan Materials Company | 71,717 | ||||||||
|
| |||||||||
692,586 | ||||||||||
|
| |||||||||
Real Estate (0.6%) | ||||||||||
680 | American Tower Corp. | 111,826 | ||||||||
1,540 | Invitation Homes, Inc. | 48,803 | ||||||||
|
| |||||||||
160,629 | ||||||||||
|
| |||||||||
Utilities (0.7%) | ||||||||||
1,730 | DTE Energy Company | 171,754 | ||||||||
413 | NextEra Energy, Inc. | 23,661 | ||||||||
|
| |||||||||
195,415 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost $11,208,347) | 20,947,724 | |||||||||
|
| |||||||||
CONVERTIBLE PREFERRED STOCKS (1.9%) | ||||||||||
Financials (0.8%) | ||||||||||
1,180 | AMG Capital Trust II^ | 57,602 | ||||||||
2,905 | Apollo Global Management, Inc. | 160,065 | ||||||||
|
| |||||||||
217,667 | ||||||||||
|
| |||||||||
Industrials (0.2%) | ||||||||||
678 | Chart Industries, Inc. | 45,209 | ||||||||
|
| |||||||||
Utilities (0.9%) | ||||||||||
2,050 | AES Corp.^ | 125,050 | ||||||||
875 | CenterPoint Energy, Inc. (Warner Media, LLC, Charter Communications Time, Inc.)§** | 35,845 | ||||||||
2,600 | NextEra Energy, Inc.^ | 98,358 | ||||||||
|
| |||||||||
259,253 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $627,249) | 522,129 | |||||||||
|
| |||||||||
PRINCIPAL | VALUE | |||||||||
U.S. GOVERNMENT AND AGENCY SECURITIES (2.1%) | ||||||||||
Other (2.1%) | ||||||||||
U.S. Treasury Note | ||||||||||
295,000 | 2.250%, 03/31/24 | 290,419 | ||||||||
300,000 | 4.375%, 10/31/24 | 296,637 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $594,198) | 587,056 | |||||||||
|
|
NUMBER OF | VALUE | |||||||||
PURCHASED OPTIONS (0.1%) # | ||||||||||
Other (0.1%) | ||||||||||
71 | iShares MSCI EAFE ETF | |||||||||
269,445 | Call, 12/15/23, Strike $41.00 | $ | 1,988 | |||||||
20 | SPDR S&P 500 ETF Trust | |||||||||
854,960 | Put, 01/19/24, Strike $440.00 | 36,110 | ||||||||
|
| |||||||||
38,098 | ||||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS (Cost $39,334) | 38,098 | |||||||||
|
| |||||||||
NUMBER OF | VALUE | |||||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (3.3%) | |||||||||
894,113 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.354%†*** | 894,113 | ||||||||
|
| |||||||||
| TOTAL INVESTMENTS (101.4%) | 27,885,802 | ||||||||
|
| |||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN | (894,113 | ) | |||||||
|
| |||||||||
OTHER ASSETS, LESS LIABILITIES (1.8%) | 507,769 | |||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 27,499,458 | ||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS
* | Securities issued and sold pursuant to a Rule 144A transaction are exempted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements. |
^ | Security, or portion of security, is on loan. |
# | Non-income producing security. |
~ | Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options. The aggregate value of such securities is $175,029. |
§ | Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical. |
** | Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at September 30, 2023. |
† | Represents investment of cash collateral received from securities on loan as of September 30, 2023. |
*** | The rate disclosed is the 7 day net yield as of September 30, 2023. |
See accompanying Notes to Schedule of Investments
3
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (UNAUDITED)
FOREIGN CURRENCY ABBREVIATIONS | ||
EUR | European Monetary Unit | |
GBP | British Pound Sterling |
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
See accompanying Notes to Schedule of Investments
4
Notes to Schedule of Investments (Unaudited)
Note 1 – Organization and Significant Accounting Policies
Organization. Calamos Advisors Trust (the “Trust”), a Massachusetts business trust organized February 17, 1999, consists of a single series, Calamos Growth and Income Portfolio (the “Portfolio”), which commenced operations on May 19, 1999.
The Trust currently offers the Portfolio’s shares to certain life insurance companies for allocation to certain separate accounts established for the purpose of funding qualified and non-qualified variable annuity contracts and variable life insurance contracts. The Portfolio seeks high long-term total return through growth and current income.
The Portfolio invests primarily in a diversified portfolio of convertible instruments (including synthetic convertible instruments), equity and fixed-income securities of U.S. companies without regard to market capitalization. In pursuing its investment objective, the Portfolio attempts to utilize these different types of securities to strike, in the investment adviser’s opinion, the appropriate balance between risk and return in terms of growth and income.
Significant Accounting Policies. The Schedule of Investments has been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP) and the Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Portfolio:
Portfolio Valuation. The Trust’s Board of Trustees (“Board” or “Trustees”), including a majority of the Trustees who are not “interested persons” of the Trust, have designated Calamos Advisors LLC (“Calamos Advisors”, or the “Advisor”) to perform fair valuation determinations related to all Portfolio investments under the oversight of the Board. As “valuation designee” Calamos Advisors has adopted procedures (as approved by the Board) to guide the determination of the net asset value (“NAV”) on any day on which the Portfolio’s NAVs is determined. The valuation of the Portfolio’s investments is in accordance with these procedures.
Portfolio securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time the Portfolio determines its NAV. Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time a Portfolio determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the Board. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the Board. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the Board or based on a quotation provided by the counterparty to such option under the ultimate supervision of the Board.
Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the Board. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Portfolio determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Portfolio’s NAV is not calculated.
If the Advisor’s pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee.
The Portfolio also may use fair value pricing, pursuant to guidelines adopted by Calamos Advisors, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Portfolio’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by Calamos Advisors, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by a Portfolio to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For hedging and investment purposes, the Portfolio may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Portfolio pays a premium whether or not the option is exercised. Additionally, the Portfolio bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Portfolio as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
Forward Foreign Currency Contracts. The Portfolio may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to the Portfolio on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates.
As of September 30, 2023, the Portfolio had outstanding forward foreign currency contracts as listed on the Schedule of Investments.
Note 2 – Investments
The cost basis of investments for federal income tax purposes at September 30, 2023 was as follows*:
Cost basis of investments | $ | 18,283,243 | ||
|
| |||
Gross unrealized appreciation | 10,412,898 | |||
Gross unrealized depreciation | (810,339 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 9,602,559 | ||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Portfolio’s most recent semi-annual or annual report. |